
March 31, 2022
(in millions)	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Allowance for Credit Losses		Fair Value
Fixed maturities
U.S. Governments	$	496.0	$	0.4	$	17.0	$	—	$	479.4
Foreign Governments	211.7		3.7		7.6		0.3		207.5
Obligations of states and political subdivisions	169.6		2.3		4.9		0.4		166.6
Corporate bonds	2,009.0		9.7		86.2		2.1		1,930.4
Commercial mortgage-backed securities	422.7		0.6		23.1		—		400.2
Residential mortgage-backed securities	455.4		1.9		26.5		—		430.8
Asset-backed securities	205.6		0.3		5.3		0.1		200.5
Collateralized loan obligations	332.7		0.6		4.8		—		328.5
Total fixed maturities	$	4,302.7	$	19.5	$	175.4	$	2.9	$	4,143.9


December 31, 2021
(in millions)	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Allowance for Credit Losses		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


(in millions)	Amortized Cost		Fair Value
Due in one year or less	$	229.3	$	232.1
Due after one year through five years	1,849.4		1,795.6
Due after five years through ten years	719.4		673.7
Due after ten years	88.2		82.5
Structured securities	1,416.4		1,360.0
Total	$	4,302.7	$	4,143.9


March 31, 2022
(in millions)	Carrying Value		Unfunded Commitments
Investment Type
Hedge funds	$	58.1	$	—
Private equity	259.6		68.8
Overseas deposits	83.6		—
Commercial Mortgage Loans	46.5		—
Other	4.7		—
Total other investments	$	452.5	$	68.8


December 31, 2021
(in millions)	Carrying Value		Unfunded Commitments
Investment Type
Hedge funds	$	58.6	$	—
Private equity	248.9		64.2
Overseas deposits	74.9		—
Other	4.8		—
Total other investments	$	387.2	$	64.2

•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.

•Commercial mortgage loans: Commercial mortgage loan investments are composed of participation interests in a portfolio of commercial mortgage loans. Loan collateral is diversified with regard to property type and geography.


March 31, 2022	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	$	416.1	$	12.8	$	49.6	$	4.2	$	465.7	$	17.0
Foreign Governments	150.2		6.7		25.4		0.9		175.6		7.6
Obligations of states and political subdivisions	78.7		4.7		3.0		0.2		81.7		4.9
Corporate bonds	1,275.0		62.9		219.6		23.3		1,494.6		86.2
Commercial mortgage-backed securities	296.8		17.8		41.7		5.3		338.5		23.1
Residential mortgage-backed securities	234.6		13.8		120.7		12.7		355.3		26.5
Asset-backed securities	135.9		4.7		7.0		0.6		142.9		5.3
Collateralized loan obligations	274.8		4.8		1.0		—		275.8		4.8
Total fixed maturities	$	2,862.1	$	128.2	$	468.0	$	47.2	$	3,330.1	$	175.4


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

We hold a total of 5,203 fixed maturity securities, of which 1,080 were in an unrealized loss position for less than one year and 208 were in an unrealized loss position for a period one year or greater as of March 31, 2022.

For fixed maturities with a decline in the fair value between the amortized cost 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 Net realized investment and other gains (losses) in the Condensed Consolidated Statements 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 Condensed Consolidated Statements 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 quarter. 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 investment and other gains (losses) in the Condensed Consolidated Statements of Income (Loss) based on the fair value of the security at the time of assessment, resulting in a new cost basis for the security.

The following table presents a roll-forward of the changes in allowance for credit losses on available-for-sale fixed maturities by industry category for the three months ending March 31, 2022 and 2021, respectively:


(in millions)	Foreign Governments		Obligations of states and political subdivisions		Corporate bonds		Asset backed securities		Total
Beginning balance, January 1, 2022	$	0.2	$	—	$	2.2	$	0.1	$	2.5

Securities for which allowance was not previously recorded	0.1		—		0.4		—		0.5
Securities sold during the period	—		—		(0.6)		—		(0.6)
Additional net increases (decreases) in existing allowance	—		0.4		0.1		—		0.5
Ending balance, March 31, 2022	$	0.3	$	0.4	$	2.1	$	0.1	$	2.9


(in millions)	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	—		—		2.1		—		2.1
Securities sold during the period	—		—		(0.4)		—		(0.4)
Additional net increases (decreases) in existing allowance	(0.1)		(0.1)		(0.7)		(0.2)		(1.1)
Ending balance, March 31, 2021	$	0.1	$	—	$	7.1	$	—	$	7.2

Total credit impairment (gains) losses included in Net realized investment and other gains (losses) in the Condensed Consolidated Statements of Income (Loss) was $1.0 million and $1.1 million for the three months ended March 31, 2022 and 2021, respectively.

The following table presents our gross realized investment gains and losses:


	For the Three Months Ended March 31,
(in millions)		2022		2021
Realized gains on fixed maturities and other
Fixed maturities		$	11.2	$	5.5
Other investments, including short-terms		1.5		6.0

		12.7		11.5
Realized losses on fixed maturities and other
Fixed maturities		(16.6)		(1.5)
Other investments, including short-terms		(6.8)		(9.5)

		(23.4)		(11.0)


Net (losses) recognized on fixed maturities and other
Credit losses on fixed maturities		(1.0)		(1.1)

Other(1)		(28.5)		—
		(29.5)		(1.1)
Equity securities
Net realized gains (losses) on equity securities		(1.0)		(1.8)
Change in unrealized gains (losses) on equity securities held at the end of the period		6.7		15.5
Net realized gains (losses) on equity securities		5.7		13.7
Net realized investment and other gains (losses) before income taxes		(34.5)		13.1
Income tax (benefit) provision		(0.7)		2.6
Net realized investment and other gains (losses), net of income taxes		$	(33.8)	$	10.5


	For the Three Months Ended March 31,
(in millions)		2022		2021
Change in unrealized gains (losses)
Fixed maturities		$	(177.9)	$	(65.7)


Other and short-term investments		0.1		(0.4)
Net unrealized investment gains (losses) before income taxes		(177.8)		(66.1)
Income tax provision (benefit)		(33.9)		(12.6)
Net unrealized investment gains (losses), net of income taxes		$	(143.9)	$	(53.5)

We enter 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 Condensed Consolidated Balance Sheets in Other liabilities and Other assets at March 31, 2022 and December 31, 2021, respectively. The net realized gains and (losses) are included in Net realized investment and other gains (losses) in our Condensed Consolidated Statements of Income (Loss).


	For the Three Months Ended March 31,
(in millions)		2022		2021
Realized gains
Operational currency exposure		$	2.5	$	3.9
Asset manager investment exposure		1.1		1.0
Total return strategy		—		8.5
Gross realized investment gains		3.6		13.4
Realized losses
Operational currency exposure		(8.8)		(9.2)

Total return strategy		—		(7.5)
Gross realized investment losses		(8.8)		(16.7)
Net realized investment (losses) gains on foreign currency exchange forward contracts		$	(5.2)	$	(3.3)

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:


(in millions)	March 31, 2022		December 31, 2021
Securities on deposit for regulatory and other purposes	$	177.0	$	195.6
Securities pledged as collateral for letters of credit and other	185.4		193.9
Securities and cash on deposit supporting Lloyd’s business (1)	290.9		296.8
Total restricted investments	$	653.3	$	686.3

(1) Argo Group is required to maintain Funds at Lloyd’s (“FAL”) to support it business for Syndicate 1200 and Syndicate 1910. At March 31, 2022 the amount pledged for FAL was $290.9 million, of which $137.6 million was provided by Argo Re Ltd.

Fair value is the price that would be received upon the sale of 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.

Valuation techniques consistent with the market approach, income approach and/or cost approach are used to measure fair value. The inputs of these valuation techniques are categorized into three levels.

•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 2 inputs are inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly or indirectly. We receive one quote per instrument for Level 2 inputs.

•Level 3 inputs are unobservable inputs. Unobservable inputs reflect our own judgments 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 March 31, 2022 and December 31, 2021. A description of the valuation techniques we use to measure assets at fair value is as follows:

•United States 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.

•United States 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 or Level 3 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.


			Fair Value Measurements at Reporting Date Using
(in millions)	March 31, 2022		Level 1 (a)		Level 2 (b)		Level 3 (c)
Fixed maturities
U.S. Governments	$	479.5	$	472.2	$	7.3	$	—
Foreign Governments	207.5		—		207.5		—
Obligations of states and political subdivisions	166.6		—		166.6		—
Corporate bonds	1,930.3		—		1,915.3		15.0
Commercial mortgage-backed securities	400.2		—		400.2		—
Residential mortgage-backed securities	430.8		—		430.8		—
Asset-backed securities	200.5		—		179.3		21.2
Collateralized loan obligations	328.5		—		328.5		—
Total fixed maturities	4,143.9		472.2		3,635.5		36.2
Equity securities	54.0		36.4		—		17.6
Other investments	84.0		—		84.0		—
Short-term investments	421.1		419.9		1.2		—
	$	4,703.0	$	928.5	$	3,720.7	$	53.8


			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

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.


(in millions)	Credit Financial		Equity Securities		Total
Beginning balance, January 1, 2022	$	2.8	$	14.7	$	17.5
Transfers into Level 3	34.7		0.1		34.8
Transfers out of Level 3	—		—		—
Total gains or losses (realized/unrealized):
Included in net income	(0.4)		1.8		1.4
Included in other comprehensive income	0.8		—		0.8
Purchases, issuances, sales, and settlements:
Purchases	—		1.0		1.0
Issuances	—		—		—
Sales	(1.7)		—		(1.7)
Settlements	—		—		—
Ending balance, March 31, 2022	$	36.2	$	17.6	$	53.8
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, 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 loss	(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, 2020	$	—	$	—	$	—

At March 31, 2022 and December 31, 2021, we did not have any financial assets or financial liabilities measured at fair value on a nonrecurring basis or any financial liabilities on a recurring basis.