Included in “total investments” in our consolidated balance sheets at December 31, 2021 and 2020 is $89.6 million and $140.3 million, respectively, of assets managed on behalf of the trade capital providers, who are third-party participants that provide underwriting capital to the operations of Syndicates 1200 and 1910.


December 31, 2021
(in millions)	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Allowance for Credit Losses(1)		Fair Value
Fixed maturities
U.S. Governments	$	422.7	$	5.5	$	3.2	$	—	$	425.0
Foreign Governments	234.7		2.2		3.9		0.2		232.8
Obligations of states and political subdivisions	166.7		5.8		1.2		—		171.3
Corporate bonds	1,972.3		33.5		20.3		2.2		1,983.3
Commercial mortgage-backed securities	416.7		6.3		4.3		—		418.7
Residential mortgage-backed securities	480.7		7.5		5.7		—		482.5
Asset-backed securities	173.0		1.3		0.6		0.1		173.6
Collateralized loan obligations	336.4		1.3		1.6		—		336.1
Total fixed maturities	$	4,203.2	$	63.4	$	40.8	$	2.5	$	4,223.3


December 31, 2020
(in millions)	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Allowance for Credit Losses		Fair Value
Fixed maturities
U.S. Governments	$	385.4	$	14.7	$	0.3	$	—	$	399.8
Foreign Governments	284.1		11.6		0.7		0.2		294.8
Obligations of states and political subdivisions	163.1		7.7		0.3		0.1		170.4
Corporate bonds	1,925.9		75.3		13.3		6.1		1,981.8
Commercial mortgage-backed securities	324.8		15.2		0.3		—		339.7
Residential mortgage-backed securities	491.4		17.4		0.6		—		508.2
Asset-backed securities	120.5		2.9		0.4		0.2		122.8
Collateralized loan obligations	285.9		4.9		1.2		—		289.6
Total fixed maturities	$	3,981.1	$	149.7	$	17.1	$	6.6	$	4,107.1


(in millions)	Amortized Cost		Fair Value
Due in one year or less	$	281.7	$	284.6
Due after one year through five years	1,692.0		1,704.8
Due after five years through ten years	710.0		711.3
Thereafter	112.6		111.6
Structured securities	1,406.9		1,411.0
Total	$	4,203.2	$	4,223.3

•Private equity: Private equity includes buyout funds, real asset/infrastructure funds, credit special situations funds, mezzanine lending funds and direct investments and strategic non-controlling minority investments in private companies that are principally accounted for using the equity method of accounting.


December 31, 2021	Less Than One Year				One Year or Greater				Total
(in millions)	Fair Value		Unrealized Losses		Fair Value		Unrealized Losses		Fair Value		Unrealized Losses
Fixed maturities
U.S. Governments	$	193.4	$	2.6	$	14.6	$	0.6	$	208.0	$	3.2
Foreign Governments	152.4		3.3		2.6		0.6		155.0		3.9
Obligations of states and political subdivisions	46.0		0.8		0.1		0.4		46.1		1.2
Corporate bonds	854.3		18.3		41.7		2.0		896.0		20.3
Commercial mortgage-backed securities	198.8		4.1		6.5		0.2		205.3		4.3
Residential mortgage-backed securities	284.2		5.6		4.0		0.1		288.2		5.7
Asset-backed securities	62.6		0.6		—				62.6		0.6
Collateralized loan obligations	176.1		1.6		0.5				176.6		1.6
Total fixed maturities	$	1,967.8	$	36.9	$	70.0	$	3.9	$	2,037.8	$	40.8


December 31, 2020	Less Than One Year				One Year or Greater				Total
(in millions)	Fair Value		Unrealized Losses		Fair Value		Unrealized Losses		Fair Value		Unrealized Losses
Fixed maturities
U.S. Governments	$	40.6	$	0.3	$	—	$	—	$	40.6	$	0.3
Foreign Governments	18.0		0.5		0.1		0.2		18.1		0.7
Obligations of states and political subdivisions	5.2		0.3		—		—		5.2		0.3
Corporate bonds	202.5		6.7		17.5		6.6		220.0		13.3
Commercial mortgage-backed securities	21.8		0.3		—		—		21.8		0.3
Residential mortgage-backed securities	74.4		0.4		3.0		0.2		77.4		0.6
Asset-backed securities	4.6		0.4		—		—		4.6		0.4
Collateralized loan obligations	121.1		0.9		49.1		0.3		170.2		1.2
Total fixed maturities	$	488.2	$	9.8	$	69.7	$	7.3	$	557.9	$	17.1

We hold a total of 5,207 fixed maturity securities, of which 697 were in an unrealized loss position for less than one year and 82 were in an unrealized loss position for a period one year or greater as of December 31, 2021.

For fixed maturities for which a decline in the fair value between the amortized cost is due to credit-related factors, an allowance is established for the difference between the estimated recoverable value and amortized cost with a corresponding charge to realized investment losses in the Statement of Income (Loss). The allowance is limited to the difference between amortized cost and fair value.

The estimated recoverable value is the present value of cash flows expected to be collected, as determined by management. The difference between fair value and amortized cost that is not associated with credit-related factors is recognized in the Statement of Comprehensive Income (Loss). Accrued interest is excluded from the measurement of the allowance for credit losses.

When determining if a credit loss has been incurred, we may consider the historical performance of the security, available market information and security specific considerations such as the priority payment of the security. In addition, inputs used in our analysis include, but are not limited to, credit ratings and downgrades, delinquency rates, missed scheduled interest or principal payments, purchase yields, underlying asset performance, collateral types, modeled default rates, modeled severity rates, call/prepayment rates, expected cash flows, industry concentrations, and potential or filed bankruptcies or restructurings.

We evaluate for credit losses each period. If we determine that all or a portion of a fixed maturity is uncollectible, the uncollectible amortized cost is written off with a corresponding reduction to the allowance for credit losses. If we collect cash flows that were previously written off, the recovery is recognized in realized investment gains. We also consider whether we intend to sell an available-for-sale security or if it is more likely than not that we will be required to sell the security before recovery of its amortized cost. In these instances, a decline in fair value is recognized in net realized gains (losses) in the Statement of Income based on the fair value of the security at the time of assessment, resulting in a new cost basis for the security.

Prior to the adoption of ASU 2016-13, the evaluation for a credit loss was generally based on the present value of expected cash flows of the security as compared to the amortized cost. For structured securities, frequency and severity of loss inputs were used in projecting future cash flows of the securities. Loss frequency was measured on the credit default rate, which included factors such as loan-to-value ratios and credit scores of borrowers. If a determination was made that the unrealized loss was other-than-temporary, a realized loss was recognized in the realized investment losses in the Statement of Income (Loss) and the amortized cost basis of the security was reduced to reflect the loss.


	Foreign Governments		Obligations of states and political subdivisions		Corporate bonds		Asset backed securities		Total
Beginning balance, January 1, 2020	$	—	$	—	$	—	$	—	$	—
Additions-initial adoption of accounting standard	—		—		6.8		0.1		6.9
Securities for which allowance was not previously recorded	0.3		0.3		15.3		—		15.9
Securities sold during the period	(0.2)		—		(39.0)		(0.1)		(39.3)
Additional net increases (decreases) in existing allowance	0.1		(0.2)		23.0		0.2		23.1
Ending balance, December 31, 2020	$	0.2	$	0.1	$	6.1	$	0.2	$	6.6


	Foreign Governments		Obligations of states and political subdivisions		Corporate bonds		Asset backed securities		Total
Beginning balance, January 1, 2021	$	0.2	$	0.1	$	6.1	$	0.2	$	6.6

Securities for which allowance was not previously recorded	—		—		2.7		0.2		2.9
Securities sold during the period	—		—		(3.5)		—		(3.5)
Additional net increases (decreases) in existing allowance	—		(0.1)		(3.1)		(0.3)		(3.5)
Ending balance, December 31, 2021	$	0.2	$	—	$	2.2	$	0.1	$	2.5

Total change in allowance for credit losses included in net realized investment gains (losses) in the Consolidated Statement of Income was $0.6 million and $(39.9) million for the year ended December 31, 2021 and 2020, respectively.

Investment income and expenses were as follows:


	For the Years Ended December 31,
(in millions)	2021		2020		2019
Investment income:
Interest on fixed maturities	$	98.9	$	108.6	$	129.5
Dividends on equity securities	3.1		2.8		11.1
Income on alternative investments	95.5		10.4		22.4
Income on short-term and other investments	3.3		3.9		8.9
Investment income	200.8		125.7		171.9
Investment expenses	(13.2)		(13.0)		(20.8)
Net investment income	$	187.6	$	112.7	$	151.1


	For the Years Ended December 31,
(in millions)	2021		2020		2019
Realized gains on fixed maturities and other
Fixed maturities	$	30.6	$	37.1	$	22.2
Other investments, including short-terms	9.8		93.8		0.1
Other assets	3.3		33.2		33.0
	43.7		164.1		55.3
Realized losses on fixed maturities and other
Fixed maturities	(11.8)		(35.2)		(11.7)
Other investments, including short-terms	(18.5)		(78.6)		(31.3)
Other assets	(12.5)		(7.2)		—


	(42.8)		(121.0)		(43.0)

Net (losses) recognized on fixed maturities and other
Credit losses on fixed maturities	0.6		(39.9)		—
Other-than-temporary impairment losses	—		—		(20.3)
Other	(6.3)		—		—
	(5.7)		(39.9)		(20.3)

Equity securities
Net realized gains (losses) on equity securities	71.5		(17.1)		128.9
Change in unrealized gains (losses) on equity securities held at the end of the period	(34.1)		10.3		(40.8)
Net realized gains (losses) on equity securities	37.4		(6.8)		88.1
Net realized investment and other gains (losses) before income taxes	32.6		(3.6)		80.1
Income tax (benefit) provision	6.2		1.3		16.2
Net realized investment gains (losses), net of income taxes	$	26.4	$	(4.9)	$	63.9


	For the Years Ended December 31,
(in millions)	2021		2020		2019
Change in unrealized gains (losses)
Fixed maturities	$	(105.9)	$	96.0	$	93.3
Other investments	—		(14.3)		4.4
Other and short-term investments	(1.0)		0.7		0.2
Net unrealized investment gains (losses) before income taxes	(106.9)		82.4		97.9
Income tax provision (benefit)	(21.5)		16.5		15.4
Net unrealized investment gains (losses), net of income taxes	$	(85.4)	$	65.9	$	82.5

We entered into foreign currency exchange forward contracts to manage operational currency exposure from our non-USD insurance operations, , and gain exposure to a total return strategy which invests in multiple currencies. The currency forward contracts are carried at fair value in our consolidated balance sheets in “other assets” at December 31, 2021 and 2020. The gains and losses are included in “net realized investment and other gains” in our consolidated statements of income (loss).


	For the Years Ended December 31,
(in millions)	2021		2020		2019
Realized gains
Operational currency exposure	$	16.5	$	13.2	$	5.7
Asset manager investment exposure	3.7		2.2		2.7
Total return strategy	13.0		61.6		22.5
Gross realized investment gains	33.2		77.0		30.9
Realized losses
Operational currency exposure	(28.9)		(8.6)		(10.6)
Asset manager investment exposure	(1.0)		(4.0)		(0.8)
Total return strategy	(12.0)		(62.3)		(17.6)
Gross realized investment losses	(41.9)		(74.9)		(29.0)
Net realized investment gains (losses) on foreign currency exchange forward contracts	$	(8.7)	$	2.1	$	1.9

We are required to maintain assets on deposit with various regulatory authorities to support our insurance and reinsurance operations. We maintain assets pledged as collateral in support of irrevocable letters of credit issued under the terms of certain reinsurance agreements for reported loss and loss expense reserves. The following table presents our components of restricted assets at December 31:


(in millions)	December 31, 2021		December 31, 2020
Securities on deposit for regulatory and other purposes	$	195.6	$	227.5
Securities pledged as collateral for letters of credit and other	193.9		189.4
Securities and cash on deposit supporting Lloyd’s business (1)	296.8		409.2
Total restricted investments	$	686.3	$	826.1

(1) Argo Group is required to maintain “Funds at Lloyd’s” or “FAL” to support its business for Syndicate 1200 and Syndicate 1910. At December 31, 2021 the amount pledged for FAL was $296.8 million, of which $140.3 million was provided by Argo Re.

Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. Fair value measurement assumes that the transaction to sell the asset or transfer the liability occurs in the principal market for the asset or liability, or in the absence of a principal market, the most advantageous market. Market participants are buyers and sellers in the principal (or most advantageous) market that are independent, knowledgeable, able to transact for the asset or liability and willing to transfer the asset or liability.

•Level 1 inputs are quoted prices (unadjusted) in active markets for identical assets or liabilities that can be accessed at the reporting date. We define actively traded as a security that has traded in the past seven days. We receive one quote per instrument for Level 1 inputs.

•Level 3 inputs are unobservable inputs. Unobservable inputs reflect our own assumptions about the assumptions market participants would use in pricing the asset or liability based on the best information available in the circumstances.

We receive fair value prices from third-party pricing services and our outside investment managers. These prices are determined using observable market information such as dealer quotes, market spreads, cash flows, yield curves, live trading levels, trade execution data, market consensus prepayment speeds, credit information and the security’s terms and conditions, among other things. We have reviewed the processes used by the third-party providers for pricing the securities, and have determined that these processes result in fair values consistent with GAAP requirements. In addition, we review these prices for reasonableness, and have not adjusted any prices received from the third-party providers as of December 31, 2021 and 2020. A description of the valuation techniques we use to measure assets at fair value is as follows:

•U.S. Treasury securities are typically valued using Level 1 inputs. For these securities, we obtain fair value measurements from third-party pricing services using quoted prices (unadjusted) in active markets at the reporting date.

•U.S. Government agencies, non-U.S. Government securities, obligations of states and political subdivisions, credit securities and foreign denominated government and credit securities are reported at fair value using Level 2 inputs. For these securities, we obtain fair value measurements from third-party pricing services. Observable data may include dealer quotes, market spreads, yield curves, live trading levels, trade execution data, credit information and the security’s terms and conditions, among other things.

•Asset and mortgage-backed securities and collateralized loan obligations are reported at fair value using Level 2 inputs. For these securities, we obtain fair value measurements from third-party pricing services. Observable data may include dealer quotes, market spreads, cash flows, yield curves, live trading levels, trade execution data, market consensus prepayment speeds, credit information and the security’s terms and conditions, among other things.

Equity Securities Level 1: Equity securities are principally reported at fair value using Level 1 inputs. For these securities, we obtain fair value measurements from a third-party pricing service using quoted prices (unadjusted) in active markets at the reporting date.

Other Investments Level 2: Foreign regulatory deposits are assets held in trust in jurisdictions where there is a legal and regulatory requirement to maintain funds locally in order to protect policyholders. Lloyd’s is the appointed investment manager for the funds. These assets are invested in short-term government securities, agency securities and corporate bonds and are valued using Level 2 inputs based upon values obtained from Lloyd’s.

Short-term Investments: Short-term investments are principally reported at fair value using Level 1 inputs, with the exception of short-term corporate and governmental bonds reported at fair value using Level 2 inputs as described in the fixed maturities section above. Values for the investments categorized as Level 1 are obtained from various financial institutions as of the reporting date.

Based on an analysis of the inputs, our financial assets measured at fair value on a recurring basis have been categorized as follows:


			Fair Value Measurements at Reporting Date Using
(in millions)	December 31, 2021		Level 1 (a)		Level 2 (b)		Level 3 (c)
Fixed maturities
U.S. Governments	$	425.0	$	417.4	$	7.6	$	—
Foreign Governments	232.8		—		232.8		—
Obligations of states and political subdivisions	171.3		—		171.3		—
Corporate bonds	1,983.3		—		1,980.5		2.8
Commercial mortgage-backed securities	418.7		—		418.7		—
Residential mortgage-backed securities	482.5		—		482.5		—
Asset-backed securities	173.6		—		173.6		—
Collateralized loan obligations	336.1		—		336.1		—
Total fixed maturities	4,223.3		417.4		3,803.1		2.8
Equity securities	56.3		41.6		—		14.7
Other investments	75.4		—		75.4		—
Short-term investments	655.8		653.9		1.9		—
	$	5,010.8	$	1,112.9	$	3,880.4	$	17.5


			Fair Value Measurements at Reporting Date Using
(in millions)	December 31, 2020		Level 1 (a)		Level 2 (b)		Level 3 (c)
Fixed maturities
U.S. Governments	$	399.8	$	383.5	$	16.3	$	—
Foreign Governments	294.8		—		294.8		—
Obligations of states and political subdivisions	170.4		—		170.4		—
Corporate bonds	1,981.8		—		1,974.8		7.0
Commercial mortgage-backed securities	339.7		—		339.7		—
Residential mortgage-backed securities	508.2		—		508.2		—
Asset-backed securities	122.8		—		122.8		—
Collateralized loan obligations	289.6		—		289.6		—
Total fixed maturities	4,107.1		383.5		3,716.6		7.0
Equity securities	176.7		159.2		—		17.5
Other investments	102.5		0.4		102.1		—
Short-term investments	542.6		526.5		16.1		—
	$	4,928.9	$	1,069.6	$	3,834.8	$	24.5

The fair value measurements in the tables above do not equal “total investments” on our consolidated balance sheets as they exclude certain other investments that are accounted for under the equity-method of accounting.

Fair Value Measurements Using Observable Inputs (Level 3)


(in millions)	Credit Financial		Equity Securities		Total
Beginning balance, January 1, 2021	$	7.0	$	17.5	$	24.5
Transfers into Level 3	—		1.0		1.0
Transfers out of Level 3	—		—		—
Total gains or losses (realized/unrealized):
Included in net income	—		4.2		4.2
Included in other comprehensive income	(0.8)		—		(0.8)
Purchases, issuances, sales, and settlements:
Purchases	0.1		1.2		1.3
Issuances	—		—		—
Sales	(3.5)		(10.6)		(14.1)
Settlements	—		—		—
Ending balance, December 31, 2021	$	2.8	$	13.3	$	16.1
Amount of total gains or losses for the year included in net income attributable to the change in unrealized gains or losses relating to assets still held at December 31, 2021	$	—	$	—	$	—


(in millions)	Credit Financial		Equity Securities		Total
Beginning balance, January 1, 2020	$	7.4	$	18.2	$	25.6
Transfers into Level 3	—		—		—
Transfers out of Level 3	—		—		—
Total gains or losses (realized/unrealized):
Included in net income	—		(5.9)		(5.9)
Included in other comprehensive loss	(0.5)		—		(0.5)
Purchases, issuances, sales, and settlements:
Purchases	0.1		5.2		5.3
Issuances	—		—		—
Sales	—		—		—
Settlements	—		—		—
Ending balance, December 31, 2020	$	7.0	$	17.5	$	24.5
Amount of total gains or losses for the year included in net income attributable to the change in unrealized gains or losses relating to assets still held at December 31, 2020	$	—	$	—	$	—