
September 30, 2020
($ in thousands)	Cost/ Amortized Cost		Allowance for Credit Losses	Unrealized Gains	Unrealized Losses	Fair Value
AFS fixed income securities:
U.S. government and government agencies	$	110,201	—	7,374	(46)	117,529
Foreign government	15,679		(7)	1,336	—	17,008
Obligations of states and political subdivisions	1,152,794		(15)	78,841	(164)	1,231,456
Corporate securities	2,154,302		(5,358)	157,689	(7,802)	2,298,831
Collateralized loan obligations ("CLO") and other asset-backed securities ("ABS")	942,627		(1,121)	18,274	(14,198)	945,582
Residential mortgage-backed securities ("RMBS")	1,122,678		(647)	61,259	(333)	1,182,957
Commercial mortgage-backed securities ("CMBS")	599,692		(32)	46,386	(1,872)	644,174
Total AFS fixed income securities	$	6,097,973	(7,180)	371,159	(24,415)	6,437,537


December 31, 2019
($ in thousands)	Cost/ Amortized Cost		Unrealized Gains	Unrealized Losses	Fair Value
AFS fixed income securities:
U.S. government and government agencies	$	112,680	3,506	—	116,186
Foreign government	18,011		533	(2)	18,542
Obligations of states and political subdivisions	1,168,185		62,175	(270)	1,230,090
Corporate securities	1,866,881		81,906	(1,310)	1,947,477
CLO and other ABS	790,517		7,929	(5,434)	793,012
RMBS	1,409,003		43,421	(455)	1,451,969
CMBS	514,709		23,902	(267)	538,344
Total AFS fixed income securities	$	5,879,986	223,372	(7,738)	6,095,620


Quarter ended September 30, 2020
($ in thousands)	Beginning Balance		Current Provision for Securities without Prior Allowance	Increase (Decrease) on Securities with Prior Allowance, excluding intent (or Requirement) to Sell Securities	Reductions for Securities Sold	Reductions for Securities Identified as Intent (or Requirement) to Sell during the Period	Ending Balance
Foreign government	$	28	—	(2)	(19)	—	7
Obligations of states and political subdivisions	17		9	(11)	—	—	15
Corporate securities	8,077		1,016	(3,455)	(265)	(15)	5,358
CLO and other ABS	1,389		—	(210)	(51)	(7)	1,121
RMBS	831		—	(157)	(27)	—	647
CMBS	53		—	(21)	—	—	32
Total AFS fixed income securities	$	10,395	1,025	(3,856)	(362)	(22)	7,180


Nine Months ended September 30, 2020
($ in thousands)	Beginning Balance		Current Provision for Securities without Prior Allowance	Increase (Decrease) on Securities with Prior Allowance, excluding intent (or Requirement) to Sell Securities	Reductions for Securities Sold	Reductions for Securities Identified as Intent (or Requirement) to Sell during the Period	Ending Balance

Foreign government	$	—	26	—	(19)	—	7
Obligations of states and political subdivisions	—		15	—	—	—	15
Corporate securities	—		6,100	—	(659)	(83)	5,358
CLO and other ABS	—		1,237	—	(109)	(7)	1,121
RMBS	—		690	—	(43)	—	647
CMBS	—		32	—	—	—	32
Total AFS fixed income securities	$	—	8,100	—	(830)	(90)	7,180

During 2020, we neither experienced any write-offs or recoveries of our AFS fixed income securities nor purchased any assets with credit deterioration, so these items are not included in the table above.

As disclosed in Note 1. "Basis of Presentation and Accounting Policies," we do not evaluate accrued interest on our AFS securities for credit impairment as we write-off these balances in a timely manner. As of September 30, 2020, accrued interest on AFS securities amounted to $45.3 million and we did not record any write-offs of accrued interest during 2020.


September 30, 2020	Less than 12 months			12 months or longer		Total
($ in thousands)	Fair Value		Unrealized Losses	Fair Value	Unrealized Losses	Fair Value	Unrealized Losses
AFS fixed income securities:
U.S. government and government agencies	$	4,855	(46)	—	—	4,855	(46)

Obligations of states and political subdivisions	15,929		(164)	—	—	15,929	(164)
Corporate securities	100,989		(7,444)	2,695	(358)	103,684	(7,802)
CLO and other ABS	302,492		(7,804)	149,893	(6,394)	452,385	(14,198)
RMBS	55,128		(300)	2,316	(33)	57,444	(333)
CMBS	80,308		(1,320)	14,342	(552)	94,650	(1,872)
Total AFS fixed income securities	$	559,701	(17,078)	169,246	(7,337)	728,947	(24,415)


December 31, 2019	Less than 12 months			12 months or longer		Total
($ in thousands)	Fair Value		Unrealized Losses	Fair Value	Unrealized Losses	Fair Value	Unrealized Losses
AFS fixed income securities:

Foreign government	$	1,416	(2)	—	—	1,416	(2)
Obligations of states and political subdivisions	35,838		(270)	—	—	35,838	(270)
Corporate securities	84,832		(480)	20,182	(830)	105,014	(1,310)
CLO and other ABS	205,191		(1,938)	204,385	(3,496)	409,576	(5,434)
RMBS	126,089		(425)	5,375	(30)	131,464	(455)
CMBS	62,893		(264)	828	(3)	63,721	(267)
Total AFS fixed income securities	$	516,259	(3,379)	230,770	(4,359)	747,029	(7,738)

We currently do not intend to sell any of the securities in the tables above, nor is it likely we will be required to sell any of them. After considering these factors and our review of these securities under our methodology for analyzing OTTI, we have concluded that they are temporarily impaired because we believe (i) they will mature at par value, (ii) they have not incurred a credit impairment, and (iii) future values of these securities will fluctuate with changes in interest rates. This conclusion reflects our current judgment as to the financial position and future prospects of the entity that issued the investment security and underlying collateral.

The COVID-19-related governmental orders have caused uncertainty and volatility in the financial markets. While market conditions improved during Third Quarter 2020, gross unrealized losses on our AFS fixed income securities portfolio increased to $24.4 million at September 30, 2020, from $7.7 million at December 31, 2019. This increase was driven by widening credit spreads as a result of the uncertainty in the marketplace, and was partially offset by a significant decline in benchmark United States Treasury rates.

(c) Fixed income securities at September 30, 2020, are shown below by contractual maturity. Mortgage-backed securities are included in the maturity tables using the estimated average life of each security. Expected maturities may differ from contractual maturities because issuers may have the right to call or prepay obligations, with or without call or prepayment penalties.


	AFS		HTM
($ in thousands)	Fair Value		Carrying Value	Fair Value
Due in one year or less	$	336,142	1,456	1,490
Due after one year through five years	3,714,414		15,131	16,293
Due after five years through 10 years	1,960,132		2,500	2,430
Due after 10 years	426,849		—	—
Total fixed income securities	$	6,437,537	19,087	20,213


Other Investments	September 30, 2020				December 31, 2019
($ in thousands)	Carrying Value		Remaining Commitment	Maximum Exposure to Loss1	Carrying Value	Remaining Commitment	Maximum Exposure to Loss1
Alternative Investments
Private equity	$	146,810	110,173	256,983	118,352	93,138	211,490
Private credit	49,254		96,131	145,385	42,532	105,340	147,872
Real assets	21,859		19,070	40,929	23,256	20,741	43,997
Total alternative investments	217,923		225,374	443,297	184,140	219,219	403,359
Other securities	40,725		—	40,725	32,667	—	32,667
Total other investments	$	258,648	225,374	484,022	216,807	219,219	436,026

1The maximum exposure to loss includes both the carry value of these investments and the related remaining commitments. In addition, tax credits that have been previously recognized in Other securities are subject to the risk of recapture, which we do not consider significant.

We are contractually committed to make additional investments up to the remaining commitments stated above; but we do not have a future obligation to fund losses or debts on behalf of these investments. We have not provided any non-contractual financial support at any time during 2020 or 2019.

The following table shows gross summarized financial information for our other investments portfolio, including the portion we do not own. The majority of these investments are carried under the equity method of accounting and report results to us on a one-quarter lag. The following table provides (i) the gross summarized financial statement information for these investments for the three-month and nine-month periods ended June 30, and (ii) the portion of these results that are included in our Third Quarter results:


Income Statement Information	Quarter ended September 30,			Nine Months ended September 30,
($ in millions)	2020		2019	2020	2019
Net investment (loss) income	$	83.4	(14.0)	92.9	10.1
Realized (losses) gains	731.3		121.1	1,075.0	370.4
Net change in unrealized appreciation (depreciation)	2,230.4		1,739.4	571.6	4,517.4
Net income	$	3,045.1	1,846.5	1,739.5	4,897.9
Insurance Subsidiaries’ alternative investments income	$	18.7	5.2	8.9	13.0

As noted above, the majority of our alternative investments report their results to us on a one-quarter lag, so the $18.7 million of gains in the table above reflects the improvement in the financial markets during the second quarter of 2020.

(e) Certain Insurance Subsidiaries, as members of the Federal Home Loan Bank of Indianapolis ("FHLBI") and the Federal Home Loan Bank of New York ("FHLBNY"), have pledged certain AFS fixed income securities as collateral. To comply with insurance laws, certain Insurance Subsidiaries also had certain securities deposited with various state and regulatory agencies at September 30, 2020. We retain all rights regarding all securities pledged as collateral. The following table summarizes the market value of these securities at September 30, 2020:


($ in millions)	FHLBI Collateral		FHLBNY Collateral	State and Regulatory Deposits	Total
U.S. government and government agencies	$	—	—	22.7	22.7
Obligations of states and political subdivisions	—		—	5.1	5.1



RMBS	133.0		205.2	—	338.2
CMBS	7.2		36.7	—	43.9


Total pledged as collateral	$	140.2	241.9	27.8	409.9

(f) We did not have exposure to any credit concentration risk of a single issuer greater than 10% of our stockholders' equity, other than certain U.S. government-backed investments, as of September 30, 2020, or December 31, 2019.


	Quarter ended September 30,			Nine Months ended September 30,
($ in thousands)	2020		2019	2020	2019
Fixed income securities	$	51,285	50,749	152,617	150,689
CMLs	245		—	463	—
Equity securities	1,948		1,885	5,523	5,265
Short-term investments	244		1,410	1,830	5,213
Other investments	18,671		5,267	9,167	13,421
Investment expenses	(4,208)		(3,485)	(11,004)	(9,639)
Net investment income earned	$	68,185	55,826	158,596	164,949

The increase in net investment income earned in Third Quarter 2020 compared to Third Quarter 2019 was driven by our alternative investments in our other investments portfolio, and reflect the improvement in the equity markets from the second quarter of 2020, as our results on these holdings are recorded on a one-quarter lag.

The decrease in net investment income earned Nine Months 2020 compared to Nine Months 2019 was driven by our alternative investments within our other investments portfolio, and reflects deterioration in the equity markets related to the financial market volatility that existed in the year due to COVID-19.


	Quarter ended September 30,
	2020				2019
($ in thousands)	Credit Loss Benefit (Expense)		Other Impairment Expense	Recognized in Earnings	Recognized in Earnings
HTM fixed income securities:

Corporate securities	$	3	—	3	—
Total HTM fixed income securities	3		—	3	—
AFS fixed income securities:

Foreign government	3		—	3	—
Obligations of states and political subdivisions	2		—	2	—
Corporate securities	2,454		—	2,454	(1,681)
CLO and other ABS	217		(44)	173	—
RMBS	157		—	157	—
CMBS	21		—	21	—
Total AFS fixed income securities	2,854		(44)	2,810	(1,681)
CMLs	(2)		—	(2)	—
Short term investments	(1)		—	(1)	—
Other investments	—		—	—	(610)
Total OTTI benefit (expense)	$	2,854	(44)	2,810	(2,291)


	Nine Months ended September 30,
	2020				2019
($ in thousands)	Credit Loss (Expense) Benefit		Other Impairment Expense	Recognized in Earnings	Recognized in Earnings
HTM fixed income securities:

Corporate securities	$	4	—	4	—
Total HTM fixed income securities	4		—	4	—
AFS fixed income securities:
U.S. government and government agencies	—		(14)	(14)	—
Foreign government	(25)		—	(25)	—
Obligations of states and political subdivisions	(15)		(62)	(77)	(65)
Corporate securities	(6,018)		(12,103)	(18,121)	(2,455)
CLO and other ABS	(1,230)		(2,137)	(3,367)	—
RMBS	(690)		(91)	(781)	—
CMBS	(32)		(1,852)	(1,884)	—
Total AFS fixed income securities	(8,010)		(16,259)	(24,269)	(2,520)
CMLs	(220)		—	(220)	—
Short-term investments	(1)		—	(1)	—
Other investments	—		—	—	(846)
Total OTTI expense	$	(8,227)	(16,259)	(24,486)	(3,366)

OTTI amounted to $24.5 million in Nine Months 2020 and included $16.3 million of impairments on securities we intended to sell to provide our investment managers flexibility to trade and optimize our investment portfolio in the COVID-19-related market volatility and uncertainty. The remaining $8.2 million of OTTI in Nine Months 2020 related to our allowance for credit losses and included an approximate $2.9 million reduction of this allowance in Third Quarter 2020 from improving market conditions during the quarter as compared to June 30, 2020.


	Quarter ended September 30,			Nine Months ended September 30,
($ in thousands)	2020		2019	2020		2019
Net realized gains (losses) on the disposals of securities:
Fixed income securities	$	561	(1,141)	7,137		2,063
CMLs	1		—	2		—
Equity securities	—		21,602	(3)		24,733
Short-term investments	11		(36)	157		(21)
Other investments	—		—	(5)		(23)
Net realized gains (losses) on the disposal of securities	573		20,425	7,288		26,752
OTTI benefit (expense)	2,810		(2,291)	(24,486)		(3,366)
Net realized gains (losses)	3,383		18,134	(17,198)		23,386
Unrealized gains (losses) recognized in income on equity securities	4,338		(20,317)	(7,098)		(8,091)
Total net realized and unrealized investment gains (losses)	$	7,721	(2,183)	$	(24,296)	15,295

During Third Quarter 2020, the $9.9 million increase in net realized and unrealized investment gains was primarily driven by the improvements in the allowance for credit losses on our AFS fixed income securities as discussed above. Excluding OTTI, realized and unrealized gains and losses were impacted in Third Quarter 2020 by improvements in market conditions that resulted in unrealized gains on our equity portfolio. In the comparable quarter last year, we sold a significant portion of our public equity securities, realizing net gains of $21.6 million. These realized gains were substantially offset by the reversal of previously-recorded unrealized gains related to the securities sold, which accounted for $21.4 million of the $20.3 million reduction in the table above.

For Nine Months 2020, net realized and unrealized investment losses were $24.3 million, compared to net gains of $15.3 million for Nine Months 2019. This fluctuation was driven by the increase in OTTI expense discussed above, coupled with the decrease in realized gains on the disposal of securities, which were higher last year due to the referenced public equity sales.


	Quarter ended September 30,			Nine Months ended September 30,
($ in thousands)	2020		2019	2020	2019
Unrealized gains (losses) recognized in income on equity securities:
On securities remaining in our portfolio at September 30, 2020	$	4,338	1,109	(7,101)	1,805
On securities sold in each respective period	—		(21,426)	3	(9,896)
Total unrealized gains (losses) recognized in income on equity securities	$	4,338	(20,317)	(7,098)	(8,091)


	Quarter ended September 30,			Nine Months ended September 30,
($ in thousands)	2020		2019	2020	2019
HTM fixed income securities
Gains	$	1	—	2	1
Losses	—		—	—	(15)
AFS fixed income securities
Gains	2,955		1,078	14,770	5,565
Losses	(2,395)		(2,219)	(7,635)	(3,488)
CMLs
Gains	1		—	2	—
Losses	—		—	—	—
Equity securities
Gains	—		21,630	—	24,868
Losses	—		(28)	(3)	(135)
Short-term investments
Gains	18		2	355	18
Losses	(7)		(38)	(198)	(39)
Other investments
Gains	—		—	—	7
Losses	—		—	(5)	(30)
Total net realized gains on disposals of securities	$	573	20,425	7,288	26,752