Investments

12 Months Ended

Dec. 31, 2021

The amortized cost, gross unrealized gains, gross unrealized losses, and estimated fair value of the Company's AFS investments were as follows:


	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Estimated Fair Value
At December 31, 2021	(in millions)
Fixed maturity securities
U.S. Treasuries	$	64.3	$	1.6	$	(0.2)	$	65.7
U.S. Agencies	2.2		0.2		—		2.4
States and municipalities	413.8		22.4		(0.1)		436.1
Corporate securities	1,035.1		47.0		(1.8)		1,080.3
Residential mortgage-backed securities	319.0		7.0		(4.2)		321.8
Commercial mortgage-backed securities	87.9		4.5		(0.1)		92.3
Asset-backed securities	68.6		0.4		(0.5)		68.5
Collateralized loan obligations	85.5		—		(0.1)		85.4
Foreign government securities	12.7		—		(0.2)		12.5
Other securities(1)	177.0		1.2		(0.5)		177.7
Total fixed maturity securities	2,266.1		84.3		(7.7)		2,342.7
Short-term investments	10.5		—		—		10.5
Total AFS investments	$	2,276.6	$	84.3	$	(7.7)	$	2,353.2

At December 31, 2020
Fixed maturity securities
U.S. Treasuries	$	74.3	$	4.0	$	—	$	78.3
U.S. Agencies	2.8		0.3		—		3.1
States and municipalities	449.4		33.3		—		482.7
Corporate securities	963.5		83.2		(0.3)		1,046.4
Residential mortgage-backed securities	444.6		16.7		(0.3)		461.0
Commercial mortgage-backed securities	94.7		7.8		(0.1)		102.4
Asset-backed securities	42.0		0.9		(0.3)		42.6
Collateralized loan obligations	84.4		—		(0.8)		83.6
Foreign government securities	8.0		0.2		—		8.2
Other securities(1)	169.9		1.5		(0.5)		170.9
Total fixed maturity securities	2,333.6		147.9		(2.3)		2,479.2
Short-term investments	26.5		0.1		—		26.6
Total AFS investments	$	2,360.1	$	148.0	$	(2.3)	$	2,505.8

(1)Other securities within fixed maturity securities consist of bank loans, which are classified as AFS and reported at fair value.

The cost and estimated fair value of the Company's equity securities recorded at fair value at December 31, 2021 and 2020 were as follows:


	Cost		Estimated Fair Value
	(in millions)
At December 31, 2021
Equity securities at fair value
Industrial and miscellaneous	$	170.5	$	283.1
Other	42.1		55.7
Total equity securities at fair value	$	212.6	$	338.8

At December 31, 2020
Equity securities at fair value
Industrial and miscellaneous	$	94.1	$	179.1
Other	18.3		29.4
Total equity securities at fair value	$	112.4	$	208.5

The Company had Other invested assets totaling $38.4 million and $36.2 million at December 31, 2021 and 2020, respectively. These investments consisted of: (i) private equity limited partnerships that totaled $38.4 million and $16.2 million (initial cost of $34.1 million and $16.8 million) at December 31, 2021 and 2020, respectively, which are carried at NAV based on information provided by the general partner; and (ii) convertible preferred shares of real estate investment trusts that totaled $20.0 million at December 31, 2020, which were carried at cost and approximated fair value. The investments in private equity limited partnerships are non-redeemable until conversion and are periodically evaluated by the Company for impairment based on the ultimate recovery of the investment. Changes in the value of these investments are recorded through Net realized and unrealized gains and losses on the Company's Consolidated Statements of Comprehensive Income.

The amortized cost and estimated fair value of the Company's fixed maturity securities at December 31, 2021, by contractual maturity, are shown below. Expected maturities differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment penalties.


	Amortized Cost		Estimated Fair Value
	(in millions)
Due in one year or less	$	97.4	$	98.8
Due after one year through five years	766.4		799.8
Due after five years through ten years	733.2		763.4
Due after ten years	108.1		112.7
Mortgage and asset-backed securities	561.0		568.0
Total	$	2,266.1	$	2,342.7

The following is a summary of AFS investments that have been in a continuous unrealized loss position for less than 12 months and those that have been in a continuous unrealized loss position for 12 months or greater as of December 31, 2021 and 2020.


	December 31, 2021					December 31, 2020
	Estimated Fair Value		Gross Unrealized Losses		Number of Issues	Estimated Fair Value		Gross Unrealized Losses		Number of Issues
Less than 12 months:	(dollars in millions)
Fixed maturity securities
U.S. Treasuries	$	12.8	$	(0.2)	4	$	—	$	—	—

States and municipalities	7.7		(0.1)		4	—		—		—
Corporate securities	113.0		(1.8)		87	9.7		(0.3)		10
Residential mortgage-backed securities	146.3		(3.9)		65	47.4		(0.3)		13
Commercial mortgage-backed securities	—		—		—	5.5		(0.1)		6
Asset-backed securities	50.1		(0.5)		14	7.8		(0.3)		6
Collateralized loan obligations	24.4		(0.1)		10	74.6		(0.8)		18
Foreign government securities	12.5		(0.2)		2	—		—		—
Other securities	66.3		(0.4)		176	60.4		(0.5)		146
Total fixed maturity securities	433.1		(7.2)		362	205.4		(2.3)		199
Total less than 12 months	$	433.1	$	(7.2)	362	$	205.4	$	(2.3)	199

12 months or greater:
Fixed maturity securities




Residential mortgage-backed securities	$	4.9	$	(0.3)	3	$	—	$	—	—
Commercial mortgage-backed securities	2.4		(0.1)		2	—		—		—


Other securities	8.0		(0.1)		29	—		—		—
Total fixed maturity securities	15.3		(0.5)		34	—		—		—
Total 12 months or greater	$	15.3	$	(0.5)	34	$	—	$	—	—

The Company recorded an allowance for CECL on AFS debt securities of $0.2 million and $0.7 million during the years ended December 31, 2021 and 2020 (see Note 6). Those fixed maturity securities whose total fair value was less than amortized cost at December 31, 2021, were those in which the Company had no intent, need or requirement to sell at an amount less than their amortized cost. There were no other-than-temporary impairments recognized on fixed maturity securities during the year ended December 31, 2019. The Company determined that the remaining unrealized losses on fixed maturity securities at December 31, 2019 were primarily the result of changes in prevailing interest rates and not the credit quality of the issuers.

Realized gains and losses on investments include the gain or loss on a security at the time of sale compared to its original or adjusted cost (equity securities and other invested assets) or amortized cost (fixed maturity securities). Realized losses on fixed maturity securities are also recognized when securities are written down as a result of an other-than-temporary impairment or for changes in the CECL allowance.

Net realized gains on investments and the change in unrealized gains (losses) on the Company's investments recorded at fair value are determined on a specific-identification basis and were as follows:


	Gross Realized Gains		Gross Realized Losses		Net Change in CECL Allowance		Change in Net Unrealized Gains (Losses)		Changes in Fair Value Reflected in Earnings		Changes in Fair Value Reflected in AOCI, before tax
	(in millions)
Year Ended December 31, 2021
Fixed maturity securities	$	4.7	$	(1.1)	$	0.5	$	(68.9)	$	4.1	$	(68.9)
Equity securities	20.6		(5.0)		—		30.0		45.6		—
Other invested assets	—		—		—		4.9		4.9		—
Short-term investments	—		—		—		(0.1)		—		(0.1)
Total investments	$	25.3	$	(6.1)	$	0.5	$	(34.1)	$	54.6	$	(69.0)

Year Ended December 31, 2020
Fixed maturity securities	$	9.2	$	(4.1)	$	(0.7)	$	63.0	$	4.4	$	63.0
Equity securities	42.6		(21.8)		—		(5.0)		15.8		—
Other invested assets	—		—		—		(1.3)		(1.3)		—
Short-term investments	0.1		—		—		0.1		0.1		0.1
Total investments	$	51.9	$	(25.9)	$	(0.7)	$	56.8	$	19.0	$	63.1

Year Ended December 31, 2019
Fixed maturity securities	$	5.2	$	(1.3)	$	—	$	99.9	$	3.9	$	99.9
Equity securities	17.8		(4.4)		—		33.1		46.5		—
Other invested assets	—		—		—		$	0.7	0.7		—

Total investments	$	23.0	$	(5.7)	$	—	$	133.7	$	51.1	$	99.9

Proceeds from the sales of fixed maturity securities were $206.7 million, $349.5 million and $163.0 million for years ended December 31, 2021, 2020 and 2019, respectively.

Net investment income was as follows:


	Years Ended December 31,
	2021		2020		2019
	(in millions)
Fixed maturity securities	$	71.5	$	72.6	$	81.9
Equity securities	3.7		4.4		7.9
Other invested assets	2.7		2.8		1.2
Short-term investments	0.2		1.5		—
Cash equivalents and restricted cash	—		0.5		1.7
Gross investment income	78.1		81.8		92.7
Investment expenses	(5.4)		(5.5)		(4.6)
Net investment income	$	72.7	$	76.3	$	88.1

The Company is required by various state laws and regulations to support, through securities on deposit or otherwise, its outstanding loss reserves in certain states in which it does business. These laws and regulations govern not only the amount but also the types of securities that are eligible for deposit. As of December 31, 2021 and 2020, securities having a fair value of $861.4 million and $768.7 million, respectively, were on deposit. Additionally, standby letters of credit from the FHLB were in place in lieu of $70.0 million and $275.0 million of securities on deposit as of December 31, 2021 and 2020, respectively (see Note 11).

Certain reinsurance contracts require the Company's funds to be held in trust for the benefit of the ceding reinsurer to secure the outstanding liabilities assumed by the Company. The fair value of fixed maturity securities and restricted cash and cash equivalents held in trust for the benefit of ceding reinsurers at December 31, 2021 and 2020 was $3.1 million and $3.2 million, respectively.