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Fair Value (Tables)

9 Months Ended

Sep. 30, 2020

Fair Value Disclosures [Abstract]

Composition of Investment Portfolio by Major Security Type

The composition of the investment portfolio by major security type and our outstanding debt was:

			Fair Value
(millions)			Level 1						Level 2						Level 3						Total						Cost
September 30, 2020
Fixed maturities:
U.S. government obligations			$	10,203.8					$	0					$	0					$	10,203.8					$	9,835.1
State and local government obligations			0						4,529.8						0						4,529.8						4,382.1
Corporate debt securities			0						10,612.0						0						10,612.0						10,038.7
Subtotal			10,203.8						15,141.8						0						25,345.6						24,255.9
Asset-backed securities:
Residential mortgage-backed			0						531.0						0						531.0						525.4
Commercial mortgage-backed			0						6,053.6						0						6,053.6						5,964.4
Other asset-backed			0						4,200.3						0						4,200.3						4,155.8
Subtotal asset-backed securities			0						10,784.9						0						10,784.9						10,645.6
Redeemable preferred stocks:
Financials			0						49.2						0						49.2						51.2
Utilities			0						11.3						0						11.3						10.0
Industrials			10.1						112.4						0						122.5						120.1
Subtotal redeemable preferred stocks			10.1						172.9						0						183.0						181.3
Total fixed maturities			10,213.9						26,099.6						0						36,313.5						35,082.8
Short-term investments			4,506.2						161.6						0						4,667.8						4,667.8
Total available-for-sale securities			14,720.1						26,261.2						0						40,981.3						39,750.6
Equity securities:
Nonredeemable preferred stocks:
Financials			112.6						1,096.1						38.1						1,246.8						1,222.7
Utilities			0						40.7						0						40.7						39.9
Industrials			0						20.5						15.2						35.7						40.1
Subtotal nonredeemable preferred stocks			112.6						1,157.3						53.3						1,323.2						1,302.7
Common equities:
Common stocks			3,457.1						0						0						3,457.1						1,127.3
Other risk investments			0						0						2.7						2.7						2.7
Subtotal common equities			3,457.1						0						2.7						3,459.8						1,130.0
Total equity securities			3,569.7						1,157.3						56.0						4,783.0						2,432.7
Total portfolio			$	18,289.8					$	27,418.5					$	56.0					$	45,764.3					$	42,183.3
Debt			$	0					$	6,687.4					$	0					$	6,687.4					$	5,395.4

			Fair Value
(millions)			Level 1						Level 2						Level 3						Total						Cost
September 30, 2019
Fixed maturities:
U.S. government obligations			$	13,678.7					$	0					$	0					$	13,678.7					$	13,387.6
State and local government obligations			0						1,683.7						0						1,683.7						1,652.2
Corporate debt securities			0						7,281.1						0						7,281.1						7,048.9
Subtotal			13,678.7						8,964.8						0						22,643.5						22,088.7
Asset-backed securities:
Residential mortgage-backed			0						681.5						0						681.5						677.5
Commercial mortgage-backed			0						4,639.0						0						4,639.0						4,547.9
Other asset-backed			0						4,621.9						0						4,621.9						4,601.0
Subtotal asset-backed securities			0						9,942.4						0						9,942.4						9,826.4
Redeemable preferred stocks:
Financials			0						51.7						0						51.7						51.7
Utilities			0						10.9						0						10.9						10.0
Industrials			11.2						153.0						0						164.2						158.1
Subtotal redeemable preferred stocks			11.2						215.6						0						226.8						219.8
Total fixed maturities			13,689.9						19,122.8						0						32,812.7						32,134.9
Short-term investments			1,464.9						2.5						0						1,467.4						1,467.4
Total available-for-sale securities			15,154.8						19,125.3						0						34,280.1						33,602.3
Equity securities:
Nonredeemable preferred stocks:
Financials			82.2						967.1						27.1						1,076.4						1,004.3
Utilities			0						42.1						0						42.1						39.9
Industrials			0						5.0						5.0						10.0						10.0
Subtotal nonredeemable preferred stocks			82.2						1,014.2						32.1						1,128.5						1,054.2
Common equities:
Common stocks			3,164.8						0						0						3,164.8						1,210.0
Other risk investments			0						0						0.3						0.3						0.3
Subtotal common equities			3,164.8						0						0.3						3,165.1						1,210.3
Total equity securities			3,247.0						1,014.2						32.4						4,293.6						2,264.5
Total portfolio			$	18,401.8					$	20,139.5					$	32.4					$	38,573.7					$	35,866.8
Debt			$	0					$	5,113.3					$	0					$	5,113.3					$	4,406.5

			Fair Value
(millions)			Level 1						Level 2						Level 3						Total						Cost
December 31, 2019
Fixed maturities:
U.S. government obligations			$	13,251.1					$	0					$	0					$	13,251.1					$	13,100.7
State and local government obligations			0						1,713.3						0						1,713.3						1,686.0
Corporate debt securities			0						7,067.7						0						7,067.7						6,860.3
Subtotal			13,251.1						8,781.0						0						22,032.1						21,647.0
Asset-backed securities:
Residential mortgage-backed			0						627.5						0						627.5						625.0
Commercial mortgage-backed			0						5,076.2						0						5,076.2						5,020.7
Other asset-backed			0						5,179.5						0						5,179.5						5,164.7
Subtotal asset-backed securities			0						10,883.2						0						10,883.2						10,810.4
Redeemable preferred stocks:
Financials			0						51.7						0						51.7						51.5
Utilities			0						11.1						0						11.1						10.0
Industrials			11.1						121.1						0						132.2						124.2
Subtotal redeemable preferred stocks			11.1						183.9						0						195.0						185.7
Total fixed maturities			13,262.2						19,848.1						0						33,110.3						32,643.1
Short-term investments			1,797.4						1.4						0						1,798.8						1,798.8
Total available-for-sale securities			15,059.6						19,849.5						0						34,909.1						34,441.9
Equity securities:
Nonredeemable preferred stocks:
Financials			77.4						850.7						27.1						955.2						891.3
Utilities			0						42.3						0						42.3						39.9
Industrials			0						25.4						16.0						41.4						40.1
Subtotal nonredeemable preferred stocks			77.4						918.4						43.1						1,038.9						971.3
Common equities:
Common stocks			3,306.0						0						0						3,306.0						1,125.2
Other risk investments			0						0						0.3						0.3						0.3
Subtotal common equities			3,306.0						0						0.3						3,306.3						1,125.5
Total equity securities			3,383.4						918.4						43.4						4,345.2						2,096.8
Total portfolio			$	18,443.0					$	20,767.9					$	43.4					$	39,254.3					$	36,538.7
Debt			$	0					$	5,119.6					$	0					$	5,119.6					$	4,407.1

Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation

The following tables provide a summary of changes in fair value associated with Level 3 assets for the three and nine months ended September 30, 2020 and 2019:

			Level 3 Fair Value
(millions)			Fair Value at June 30, 2020			Calls/ Maturities/ Paydowns			Purchases			Sales			Net Realized (Gain)/Loss on Sales			Change in Valuation			Net Transfers In (Out)			Fair Value at September 30, 2020
Equity securities:
Nonredeemable preferred stocks:
Financials			$	38.1		$	0		$	0		$	0		$	0		$	0		$	0		$	38.1
Industrials			15.2			0			0			0			0			0			0			15.2
Common equities:
Other risk investments			0.3			0			2.4			0			0			0			0			2.7
Total Level 3 securities			$	53.6		$	0		$	2.4		$	0		$	0		$	0		$	0		$	56.0

			Level 3 Fair Value
(millions)			Fair Value at June 30, 2019			Calls/ Maturities/ Paydowns			Purchases			Sales			Net Realized (Gain)/Loss on Sales			Change in Valuation			Net Transfers In (Out)			Fair Value at September 30, 2019
Equity securities:
Nonredeemable preferred stocks:
Financials			$	27.1		$	0		$	0		$	0		$	0		$	0		$	0		$	27.1
Industrials			5.0			0			0			0			0			0			0			5.0
Common equities:
Other risk investments			0.3			0			0			0			0			0			0			0.3
Total Level 3 securities			$	32.4		$	0		$	0		$	0		$	0		$	0		$	0		$	32.4

			Level 3 Fair Value
(millions)			Fair Value at December 31, 2019			Calls/ Maturities/ Paydowns			Purchases			Sales			Net Realized (Gain)/Loss on Sales			Change in Valuation			Net Transfers In (Out)			Fair Value at September 30, 2020
Equity securities:
Nonredeemable preferred stocks:
Financials			$	27.1		$	0		$	25.0		$	0		$	0		$	(14.0)		$	0		$	38.1
Industrials			16.0			0			0			0			0			(0.8)			0			15.2
Common equities:
Other risk investments			0.3			0			2.4			0			0			0			0			2.7
Total Level 3 securities			$	43.4		$	0		$	27.4		$	0		$	0		$	(14.8)		$	0		$	56.0

			Level 3 Fair Value
(millions)			Fair Value at December 31, 2018			Calls/ Maturities/ Paydowns			Purchases			Sales			Net Realized (Gain)/Loss on Sales			Change in Valuation			Net Transfers In (Out)			Fair Value at September 30, 2019
Equity securities:
Nonredeemable preferred stocks:
Financials			$	25.1		$	0		$	2.0		$	0		$	0		$	0		$	0		$	27.1
Industrials			5.0			0			0			0			0			0			0			5.0
Common equities:
Other risk investments			0.3			0			0			0			0			0			0			0.3
Total Level 3 securities			$	30.4		$	0		$	2.0		$	0		$	0		$	0		$	0		$	32.4

Fair Value Measurement Inputs and Valuation Techniques

The following tables provide a summary of the quantitative information about Level 3 fair value measurements for our applicable securities at September 30, 2020 and 2019, and December 31, 2019:

Quantitative Information about Level 3 Fair Value Measurements

($ in millions)

Fair Value at September 30, 2020

Valuation Technique

Unobservable Input

Unobservable Input Assumption

Equity securities:

Nonredeemable preferred stocks:

Financials

$

13.1

Guideline public company method

Weighted average capitalization %

(51.5)

Financials1

25.0

Internal price

Unadjusted purchase price per share

3.7

Industrials

15.2

Guideline public company method

Weighted average capitalization %

(19.2)

Subtotal Level 3 securities

53.3

Pricing exemption securities

2.7

Total Level 3 securities

$

56.0

1 The security was purchased in May 2020 and the valuation remained the same at September 30, 2020.

Quantitative Information about Level 3 Fair Value Measurements

($ in millions)

Fair Value at September 30, 2019

Valuation Technique

Unobservable Input

Unobservable Input Assumption

Equity securities:

Nonredeemable preferred stocks:

Financials1

$

27.1

Internal price

Unadjusted purchase price per share

9.0

Industrials

5.0

Internal price

Price-to-sales ratio

5.5

Subtotal Level 3 securities

32.1

Pricing exemption securities

0.3

Total Level 3 securities

$

32.4

1 The security was purchased in December 2018.

Quantitative Information about Level 3 Fair Value Measurements

($ in millions)

Fair Value at December 31, 2019

Valuation Technique

Unobservable Input

Unobservable Input Assumption

Equity securities:

Nonredeemable preferred stocks:

Financials

$

27.1

Pricing firm

Recent transaction price per share

9.0

Industrials

6.0

Pricing firm

Performance-based transaction price adjustment per share

4.8

Industrials1

10.0

Internal price

Unadjusted purchase price per share

4.9

Subtotal Level 3 securities

43.1

Pricing exemption securities

0.3

Total Level 3 securities

$

43.4

1 The security was purchased in November 2019.

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- Definition

Tabular disclosure of input and valuation technique used to measure fair value and change in valuation approach and technique for each separate class of asset and liability measured on recurring and nonrecurring basis.

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Tabular disclosure of assets, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, by class that are measured at fair value on a recurring basis. The disclosures contemplated herein include the fair value measurements at the reporting date by the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3).

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Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets) and gains or losses recognized in other comprehensive income (loss), and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs), by class of asset.

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