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Investments | 12 Months Ended
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Dec. 31, 2021
Investments, Debt and Equity Securities [Abstract] |
Investments | Investments The components of net investment income for the following periods were as follows:
($ in millions) |  | Year Ended December 31,
|  | 2021 |  | 2020 |  | 2019
Fixed maturity securities |  | $ | 235.6 |  |  | $ | 232.9 |  |  | $ | 283.2 |
Equity securities |  | 5.3 |  |  | 4.7 |  |  | 4.9 |
Limited partnership interests |  | 79.0 |  |  | 20.9 |  |  | 25.7 |
Short-term and other investments |  | 11.6 |  |  | 11.4 |  |  | (10.1) |
Investment expenses |  | (10.1) |  |  | (9.6) |  |  | (9.4) |
Net investment income - investment portfolio |  | 321.4 |  |  | 260.3 |  |  | 294.3 |
Investment income - deposit asset on reinsurance |  | 101.1 |  |  | 97.3 |  |  | 70.8 |
Total net investment income |  | $ | 422.5 |  |  | $ | 357.6 |  |  | $ | 365.1 |
Net Investment Gains (Losses) Net investment gains (losses) for the following periods were as follows:
($ in millions) |  | Year Ended December 31,
|  | 2021 |  | 2020 |  | 2019
Fixed maturity securities(1) |  | $ | (7.7) |  |  | $ | 9.4 |  |  | $ | 141.4 |
Equity securities |  | (0.8) |  |  | 1.8 |  |  | 16.0 |
Short-term investments and other |  | (2.5) |  |  | (13.5) |  |  | (4.1) |
Net investment gains (losses) |  | $ | (11.0) |  |  | $ | (2.3) |  |  | $ | 153.3 |
(1) Net investment gains on fixed maturity securities include a $135.3 million realized investment gain associated with a transfer of investments to a reinsurer as consideration paid in connection with a reinsurance transaction of a $2.9 billion block of in force fixed and variable annuity business in 2019. See Notes 6 and 18 for further information. The Company, from time to time, sells fixed maturity securities subsequent to the reporting date that were considered temporarily impaired at such reporting date. Such sales are due to issuer specific events occurring subsequent to the reporting date that result in a change in the Company's intent or ability to hold a fixed maturity security. The types of events that may result in a sale include significant changes in the economic facts and circumstances related to the invested asset, significant unforeseen changes in liquidity needs, or changes in the Company's investment strategy. Net Investment Gains (Losses) by Transaction Type The following table reconciles net investment gains (losses) pretax by transaction type:
($ in millions) |  | Year Ended December 31,
|  | 2021 |  | 2020 |  | 2019
Credit loss impairments(1) |  | $ | (8.1) |  |  | $ | — |  |  | $ | (1.1) |
Intent-to-sell impairments |  | (2.3) |  |  | (5.3) |  |  | (0.3) |
Total impairments on investments recognized in net income |  | (10.4) |  |  | (5.3) |  |  | (1.4) |
Sales and other, net |  | 4.3 |  |  | 15.0 |  |  | 151.5 |
Change in fair value - equity securities |  | (2.3) |  |  | (0.2) |  |  | 7.3 |
Change in fair value and losses realized on settlements - derivatives |  | (2.6) |  |  | (11.8) |  |  | (4.1) |
Net investment (losses) gains |  | $ | (11.0) |  |  | $ | (2.3) |  |  | $ | 153.3 |
(1) Due to the adoption of the measurement of credit losses on financial instruments accounting standard in 2020, other-than-temporary write-downs reported in 2019 are now presented as credit losses, Allowance for Credit Loss Impairments on Fixed Maturity Securities The following table presents changes in the allowance for credit loss impairments on fixed maturity securities classified as available for sale for the category of other asset-backed securities (no other categories of fixed maturity securities have an allowance for credit loss impairments):
($ in millions) |  | Year Ended December 31,
|  | 2021 |  | 2020
Beginning balance |  | $ | — |  |  | $ | — |
Credit losses on fixed maturity securities for which credit losses were not previously reported(1) |  | 8.1 |  |  | — |
Net (increases) decreases related to credit losses previously reported |  | — |  |  | — |
Reduction of credit allowances related to sales |  | — |  |  | — |
Write-offs |  | (0.4) |  |  | — |
Ending balance |  | $ | 7.7 |  |  | $ | — |
(1) Because the standard for the measurement of credit losses on financial instruments became effective January 1, 2020, there are no allowances for credit loss impairments to report for the year ended December 31, 2019. Fixed Maturity Securities The Company's investment portfolio is comprised primarily of fixed maturity securities. Amortized cost, net, unrealized investment gains (losses) and fair values of all fixed maturity securities in the portfolio were as follows:
($ in millions) |  | Amortized Cost, net |  | Gross Unrealized Gains |  | Gross Unrealized Losses |  | Fair Value
December 31, 2021 |  |  |  |  |  |  |  |
Fixed maturity securities |  |  |  |  |  |  |  |
U.S. Government and federally sponsored agency obligations:(1) |  |  |  |  |  |  |  |
Mortgage-backed securities |  | $ | 612.1 |  |  | $ | 51.9 |  |  | $ | 1.5 |  |  | $ | 662.5 |
Other, including U.S. Treasury securities |  | 342.5 |  |  | 27.7 |  |  | 4.3 |  |  | 365.9 |
Municipal bonds |  | 1,519.7 |  |  | 184.4 |  |  | 0.7 |  |  | 1,703.4 |
Foreign government bonds |  | 40.2 |  |  | 3.4 |  |  | — |  |  | 43.6 |
Corporate bonds |  | 2,217.7 |  |  | 176.2 |  |  | 5.2 |  |  | 2,388.7 |
Other asset-backed securities |  | 1,065.5 |  |  | 16.6 |  |  | 6.9 |  |  | 1,075.2 |
Totals |  | $ | 5,797.7 |  |  | $ | 460.2 |  |  | $ | 18.6 |  |  | $ | 6,239.3 |
December 31, 2020 |  |  |  |  |  |  |  |
Fixed maturity securities |  |  |  |  |  |  |  |
U.S. Government and federally sponsored agency obligations:(1) |  |  |  |  |  |  |  |
Mortgage-backed securities |  | $ | 605.5 |  |  | $ | 79.6 |  |  | $ | 0.3 |  |  | $ | 684.8 |
Other, including U.S. Treasury securities |  | 395.0 |  |  | 39.2 |  |  | 1.0 |  |  | 433.2 |
Municipal bonds |  | 1,612.3 |  |  | 215.7 |  |  | 0.5 |  |  | 1,827.5 |
Foreign government bonds |  | 40.2 |  |  | 4.9 |  |  | — |  |  | 45.1 |
Corporate bonds |  | 1,905.2 |  |  | 221.6 |  |  | 3.9 |  |  | 2,122.9 |
Other asset-backed securities |  | 1,230.4 |  |  | 24.1 |  |  | 22.7 |  |  | 1,231.8 |
Totals |  | $ | 5,788.6 |  |  | $ | 585.1 |  |  | $ | 28.4 |  |  | $ | 6,345.3 |
(1) Fair value includes securities issued by Federal National Mortgage Association (FNMA) of $376.7 million and $387.1 million; Federal Home Loan Mortgage Corporation (FHLMC) of $326.5 million and $344.3 million; and Government National Mortgage Association (GNMA) of $112.1 million and $132.3 million as of December 31, 2021 and 2020, respectively. The following table presents the fair value and gross unrealized losses for fixed maturity securities in an unrealized loss position at December 31, 2021 and 2020, respectively. The Company views the decrease in fair value of all fixed maturity securities with unrealized losses at December 31, 2021 — which was driven largely by increasing interest rates, spread widening, financial market illiquidity and/or market volatility from the date of acquisition — as temporary. As of December 31, 2021, the Company has not made the decision to sell and it is not more likely than not the Company will be required to sell the fixed maturity securities with unrealized losses before anticipated recovery in value. Therefore, it was determined that the unrealized losses on the fixed maturity securities presented in the table below were not indicative of any impairments as of December 31, 2021.
($ in millions) |  | 12 months or less |  | More than 12 months |  | Total
|  | Fair Value |  | Gross Unrealized Losses |  | Fair Value |  | Gross Unrealized Losses |  | Fair Value |  | Gross Unrealized Losses
December 31, 2021 |  |  |  |  |  |  |  |  |  |  |  |
Fixed maturity securities |  |  |  |  |  |  |  |  |  |  |  |
U.S. Government and federally sponsored agency obligations: |  |  |  |  |  |  |  |  |  |  |  |
Mortgage-backed securities |  | $ | 67.4 |  |  | $ | 1.3 |  |  | $ | 3.9 |  |  | $ | 0.2 |  |  | $ | 71.3 |  |  | $ | 1.5 |
Other |  | 59.5 |  |  | 1.7 |  |  | 35.1 |  |  | 2.6 |  |  | 94.6 |  |  | 4.3 |
Municipal bonds |  | 56.8 |  |  | 0.7 |  |  | 0.6 |  |  | — |  |  | 57.4 |  |  | 0.7 |
Foreign government bonds |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Corporate bonds |  | 220.7 |  |  | 3.8 |  |  | 44.1 |  |  | 1.4 |  |  | 264.8 |  |  | 5.2 |
Other asset-backed securities |  | 379.0 |  |  | 3.8 |  |  | 128.2 |  |  | 3.1 |  |  | 507.2 |  |  | 6.9 |
Total |  | $ | 783.4 |  |  | $ | 11.3 |  |  | $ | 211.9 |  |  | $ | 7.3 |  |  | $ | 995.3 |  |  | $ | 18.6 |
Number of positions with a gross unrealized loss |  | 516 |  |  |  |  | 122 |  |  |  |  | 638 |  |  |
Fair value as a percentage of total fixed maturities securities fair value |  | 12.6 | % |  |  |  | 3.4 | % |  |  |  | 16.0 | % |  |
December 31, 2020 |  |  |  |  |  |  |  |  |  |  |  |
Fixed maturity securities |  |  |  |  |  |  |  |  |  |  |  |
U.S. Government and federally sponsored agency obligations: |  |  |  |  |  |  |  |  |  |  |  |
Mortgage-backed securities |  | $ | 4.9 |  |  | $ | 0.1 |  |  | $ | 2.6 |  |  | $ | 0.2 |  |  | $ | 7.5 |  |  | $ | 0.3 |
Other |  | 95.9 |  |  | 1.0 |  |  | — |  |  | — |  |  | 95.9 |  |  | 1.0 |
Municipal bonds |  | 18.1 |  |  | 0.5 |  |  | — |  |  | — |  |  | 18.1 |  |  | 0.5 |
Foreign government bonds |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Corporate bonds |  | 126.6 |  |  | 3.7 |  |  | 10.9 |  |  | 0.2 |  |  | 137.5 |  |  | 3.9 |
Other asset-backed securities |  | 316.9 |  |  | 17.2 |  |  | 409.3 |  |  | 5.5 |  |  | 726.2 |  |  | 22.7 |
Total |  | $ | 562.4 |  |  | $ | 22.5 |  |  | $ | 422.8 |  |  | $ | 5.9 |  |  | $ | 985.2 |  |  | $ | 28.4 |
Number of positions with a gross unrealized loss |  | 308 |  |  |  |  | 123 |  |  |  |  | 431 |  |  |
Fair value as a percentage of total fixed maturities securities fair value |  | 8.9 | % |  |  |  | 6.7 | % |  |  |  | 15.6 | % |  |
Fixed maturity securities with an investment grade rating represented 69.8% of the gross unrealized losses as of December 31, 2021. With respect to fixed maturity securities involving securitized financial assets, the underlying collateral cash flows were stress tested to determine there was no adverse change in the present value of cash flows below the amortized cost basis. Maturities of Fixed Maturity Securities The following table presents the distribution of the Company's fixed maturity securities portfolio by estimated expected maturity. Estimated expected maturities differ from contractual maturities, reflecting assumptions regarding borrowers' utilization of the right to call or prepay obligations with or without call or prepayment penalties. For structured securities, estimated expected maturities consider broker-dealer survey prepayment assumptions and are verified for consistency with the interest rate and economic environments.
($ in millions) |  | December 31, 2021
|  | Amortized Cost, net |  | Fair Value |  | Percent of Total Fair Value
Estimated expected maturity: |  |  |  |  |  |
Due in 1 year or less |  | $ | 245.4 |  |  | $ | 250.8 |  |  | 4.0 | %
Due after 1 year through 5 years |  | 1,613.8 |  |  | 1,686.2 |  |  | 27.0 | %
Due after 5 years through 10 years |  | 1,600.5 |  |  | 1,729.5 |  |  | 27.7 | %
Due after 10 years through 20 years |  | 1,339.9 |  |  | 1,488.2 |  |  | 23.9 | %
Due after 20 years |  | 998.1 |  |  | 1,084.6 |  |  | 17.4 | %
Total |  | $ | 5,797.7 |  |  | $ | 6,239.3 |  |  | 100.0 | %
Average option-adjusted duration, in years |  | 6.7 |  |  |  |
Sales of Fixed Maturity and Equity Securities Proceeds received from sales of fixed maturity and equity securities, each determined using the specific identification method, and gross gains and gross losses realized as a result of those sales for each year were as follows:
($ in millions) |  | Year Ended December 31,
|  | 2021 |  | 2020 |  | 2019(1)
Fixed maturity securities |  |  |  |  |  |
Proceeds received |  | $ | 578.2 |  |  | $ | 472.9 |  |  | $ | 805.9 |
Gross gains realized |  | 10.5 |  |  | 20.5 |  |  | 150.9 |
Gross losses realized |  | (7.7) |  |  | (6.1) |  |  | (7.8) |
Equity securities |  |  |  |  |  |
Proceeds received |  | $ | 4.7 |  |  | $ | 12.7 |  |  | $ | 29.9 |
Gross gains realized |  | 1.5 |  |  | 2.2 |  |  | 9.2 |
Gross losses realized |  | (0.1) |  |  | (1.9) |  |  | (0.8) |
(1) Gross gains realized presented above include a $135.3 million realized investment gain associated with a transfer of investments to a reinsurer as consideration paid during the second quarter of 2019 in connection with the reinsurance of a $2.9 billion block of in force fixed and variable annuity business. See Notes 6 and 18 for further information. Net Unrealized Investment Gains (Losses) on Fixed Maturity Securities The following table reconciles the net unrealized investment gains (losses) on fixed maturity securities, net of tax, included in AOCI, before the impact on DAC:
($ in millions) |  | Year Ended December 31,
|  | 2021 |  | 2020 |  | 2019
Net unrealized investment gains (losses) on fixed maturity securities, net of tax |  |  |  |  |  |
Beginning of period |  | $ | 439.8 |  |  | $ | 264.4 |  |  | $ | 111.7 |
Change in net unrealized investment (losses) gains on fixed maturity securities |  | (97.6) |  |  | 184.2 |  |  | 277.1 |
Reclassification of net investment losses (gains) on fixed maturity securities to net income |  | 6.7 |  |  | (8.8) |  |  | (124.4) |
End of period |  | $ | 348.9 |  |  | $ | 439.8 |  |  | $ | 264.4 |
Limited Partnership Interests All investments in limited partnership interests are accounted for using EMA and include interests in commercial mortgage loan funds, private equity funds, infrastructure debt funds, infrastructure equity funds and other funds. Principal factors influencing carrying amount appreciation or decline include operating performance, comparable public company earnings multiples, capitalization rates and the economic environment. The Company recognizes an impairment loss for equity method limited partnership interests when evidence demonstrates that the loss is other than temporary. Evidence of a loss in value that is other than temporary may include the absence of an ability to recover the carrying amount of the investment or the inability of the investee to sustain a level of earnings that would justify the carrying amount of the investment. The carrying amounts of equity method limited partnership interests were as follows:
($ in millions) |  | Year Ended December 31,
|  | 2021 |  | 2020
Commercial mortgage loan funds |  | $ | 346.8 |  |  | $ | 149.6 |
Private equity funds |  | 74.0 |  |  | 39.6 |
Infrastructure debt funds |  | 62.4 |  |  | 58.3 |
Infrastructure equity funds |  | 58.3 |  |  | 52.1 |
Other funds(1) |  | 171.3 |  |  | 149.4 |
Total |  | $ | 712.8 |  |  | $ | 449.0 |
(1)Other funds consist primarily of limited partnership interests in hedge funds, real estate equity and corporate mezzanine funds. Investment in Entities Exceeding 10% of Shareholders' Equity At December 31, 2021 and 2020, there were no investments which exceeded 10% of total shareholders' equity in entities other than obligations of the U.S. Government and federally sponsored government agencies and authorities. Offsetting of Assets and Liabilities The Company's derivatives are subject to enforceable master netting arrangements. Collateral support agreements associated with each master netting arrangement provide that the Company will receive or pledge financial collateral in the event minimum thresholds have been reached. The following table presents the instruments that were subject to a master netting arrangement for the Company.
($ in millions) |  |  |  | Gross Amounts Offset in the Consolidated Balance Sheets |  | Net Amounts of Assets/ Liabilities Presented in the Consolidated Balance Sheets |  | Gross Amounts Not Offset in the Consolidated Balance Sheets |  |
|  | Gross Amounts |  |  |  | Financial Instruments |  | Cash Collateral Received |  | Net Amount
December 31, 2021 |  |  |  |  |  |  |  |  |  |  |  |
Asset derivatives |  |  |  |  |  |  |  |  |  |  |  |
Free-standing derivatives |  | $ | 10.7 |  |  | $ | — |  |  | $ | 10.7 |  |  | $ | 4.5 |  |  | $ | 6.4 |  |  | $ | (0.2) |
December 31, 2020 |  |  |  |  |  |  |  |  |  |  |  |
Asset derivatives |  |  |  |  |  |  |  |  |  |  |  |
Free-standing derivatives |  | $ | 16.8 |  |  | $ | — |  |  | $ | 16.8 |  |  | $ | 13.7 |  |  | $ | 2.6 |  |  | $ | 0.5 |
Deposits At December 31, 2021 and 2020, fixed maturity securities with a fair value of $26.2 million and $26.9 million, respectively, were on deposit with governmental agencies as required by law in various states for which the insurance subsidiaries of the Company conduct business. In addition, at December 31, 2021 and 2020, fixed maturity securities with a fair value of $870.1 million and $707.3 million, respectively, were on deposit with FHLB as collateral for amounts subject to funding agreements, advances and borrowings which were equal to $787.5 million and $644.5 million at the respective dates. The deposited securities are reported as Fixed maturity securities on the Company's Consolidated Balance Sheets.

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- Definition The entire disclosure for investments in certain debt and equity securities. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 942 -SubTopic 320 -URI http://asc.fasb.org/subtopic&trid=2209399 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 946 -SubTopic 320 -URI http://asc.fasb.org/subtopic&trid=2324412 Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 320 -URI http://asc.fasb.org/topic&trid=2196928 Reference 4: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 940 -SubTopic 320 -URI http://asc.fasb.org/subtopic&trid=2176304 Reference 5: http://www.xbrl.org/2003/role/disclosureRef -Publisher SEC -Name Regulation S-K (SK) -Number 229 -Section 1403 -Paragraph (b) + Details
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