XML 44 R33.htm IDEA: XBRL DOCUMENT
v3.20.2

Fair Value Measurements (Tables) | 6 Months Ended
--- | ---
Jun. 30, 2020
Fair Value Disclosures [Abstract] |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis | The valuation of assets measured at fair value in Company’s Condensed Consolidated Balance Sheet at June 30, 2020 is summarized below.
|  | Fair Value Measurements |  |
(Dollars in Millions) |  | Quoted Prices in Active Markets for Identical Assets (Level 1) |  | Significant Other Observable Inputs (Level 2) |  | Significant Unobservable Inputs (Level 3) |  | Measured at Net Asset Value |  | Total Fair Value
Fixed Maturities: |  |  |  |  |  |  |  |  |  |
U.S. Government and Government Agencies and Authorities |  | $ | 147.2 |  |  | $ | 564.4 |  |  | $ | — |  |  | $ | — |  |  | $ | 711.6 |
States and Political Subdivisions |  | — |  |  | 1,508.1 |  |  | — |  |  | — |  |  | 1,508.1 |
Foreign Governments |  | — |  |  | 5.0 |  |  | — |  |  | — |  |  | 5.0 |
Corporate Securities: |  |  |  |  |  |  |  |  |  |
Bonds and Notes |  | — |  |  | 3,872.0 |  |  | 452.3 |  |  | — |  |  | 4,324.3 |
Redeemable Preferred Stock |  | — |  |  | 1.3 |  |  | 5.4 |  |  | — |  |  | 6.7 |
Collateralized Loan Obligations |  | — |  |  | 711.1 |  |  | — |  |  | — |  |  | 711.1 |
Other Mortgage- and Asset-backed |  | — |  |  | 203.3 |  |  | 10.3 |  |  | — |  |  | 213.6 |
Total Investments in Fixed Maturities |  | 147.2 |  |  | 6,865.2 |  |  | 468.0 |  |  | — |  |  | 7,480.4 |
Equity Securities at Fair Value: |  |  |  |  |  |  |  |  |  |
Preferred Stocks: |  |  |  |  |  |  |  |  |  |
Finance, Insurance and Real Estate |  | — |  |  | 40.5 |  |  | — |  |  | — |  |  | 40.5 |
Other Industries |  | — |  |  | 14.0 |  |  | — |  |  | — |  |  | 14.0 |
Common Stocks: |  |  |  |  |  |  |  |  |  |
Finance, Insurance and Real Estate |  | 7.9 |  |  | — |  |  | — |  |  | — |  |  | 7.9 |
Other Industries |  | 0.5 |  |  | — |  |  | — |  |  | — |  |  | 0.5 |
Other Equity Interests: |  |  |  |  |  |  |  |  |  |
Exchange Traded Funds |  | 445.5 |  |  | — |  |  | — |  |  | — |  |  | 445.5 |
Limited Liability Companies and Limited Partnerships |  | — |  |  | — |  |  | — |  |  | 274.9 |  |  | 274.9 |
Total Investments in Equity Securities at Fair Value |  | 453.9 |  |  | 54.5 |  |  | — |  |  | 274.9 |  |  | 783.3 |
Convertible Securities at Fair Value |  | — |  |  | 35.0 |  |  | — |  |  | — |  |  | 35.0 |
Total |  | $ | 601.1 |  |  | $ | 6,954.7 |  |  | $ | 468.0 |  |  | $ | 274.9 |  |  | $ | 8,298.7 |
The valuation of assets measured at fair value in the Company’s Consolidated Balance Sheet at December 31, 2019 is summarized below.
|  | Fair Value Measurements |  |
(Dollars in Millions) |  | Quoted Prices in Active Markets for Identical Assets (Level 1) |  | Significant Other Observable Inputs (Level 2) |  | Significant Unobservable Inputs (Level 3) |  | Measured at Net Asset Value |  | Total Fair Value
Fixed Maturities: |  |  |  |  |  |  |  |  |  |
U.S. Government and Government Agencies and Authorities |  | $ | 144.3 |  |  | $ | 671.6 |  |  | $ | — |  |  | $ | — |  |  | $ | 815.9 |
States and Political Subdivisions |  | — |  |  | 1,515.8 |  |  | — |  |  | — |  |  | 1,515.8 |
Foreign Governments |  | — |  |  | 16.8 |  |  | — |  |  | — |  |  | 16.8 |
Corporate Securities: |  |  |  |  |  |  |  |  |  |
Bonds and Notes |  | — |  |  | 3,450.6 |  |  | 409.1 |  |  | — |  |  | 3,859.7 |
Redeemable Preferred Stocks |  | — |  |  | — |  |  | 6.7 |  |  | — |  |  | 6.7 |
Collateralized Loan Obligations |  | — |  |  | — |  |  | 618.2 |  |  | — |  |  | 618.2 |
Other Mortgage- and Asset-backed |  | — |  |  | 78.8 |  |  | 10.2 |  |  | — |  |  | 89.0 |
Total Investments in Fixed Maturities |  | 144.3 |  |  | 5,733.6 |  |  | 1,044.2 |  |  | — |  |  | 6,922.1 |
Equity Securities at Fair Value: |  |  |  |  |  |  |  |  |  |
Preferred Stocks: |  |  |  |  |  |  |  |  |  |
Finance, Insurance and Real Estate |  | — |  |  | 44.5 |  |  | — |  |  | — |  |  | 44.5 |
Other Industries |  | 0.9 |  |  | 13.8 |  |  | — |  |  | — |  |  | 14.7 |
Common Stocks: |  |  |  |  |  |  |  |  |  |
Finance, Insurance and Real Estate |  | 12.8 |  |  | — |  |  | — |  |  | — |  |  | 12.8 |
Other Industries |  | 0.2 |  |  | 0.2 |  |  | — |  |  | — |  |  | 0.4 |
Other Equity Interests: |  |  |  |  |  |  |  |  |  |
Exchange Traded Funds |  | 586.8 |  |  | — |  |  | — |  |  | — |  |  | 586.8 |
Limited Liability Companies and Limited Partnerships |  | — |  |  | — |  |  | — |  |  | 248.1 |  |  | 248.1 |
Total Investments in Equity Securities at Fair Value |  | 600.7 |  |  | 58.5 |  |  | — |  |  | 248.1 |  |  | 907.3 |
Convertible Securities at Fair Value |  | — |  |  | 37.3 |  |  | — |  |  | — |  |  | 37.3 |
Total |  | $ | 745.0 |  |  | $ | 5,829.4 |  |  | $ | 1,044.2 |  |  | $ | 248.1 |  |  | $ | 7,866.7 |
Fair Value Measurement Inputs and Valuation Techniques | The table below presents quantitative information about the significant unobservable inputs utilized by the Company in determining fair values for fixed maturity investments classified as Level 3 at December 31, 2019.
(Dollars in Millions) |  | Unobservable Input |  | Total Fair Value |  | Range of Unobservable Inputs |  | Weighted-average Yield
Investment-grade |  | Market Yield |  | $ | 204.2 |  |  | 2.4 | % | - | 8.5 | % |  | 4.1 | %
Non-investment-grade: |  |  |  |  |  |  |  |  |  |
Senior Debt |  | Market Yield |  | 123.7 |  |  | 2.4 |  | - | 21.5 |  |  | 9.1 |
Junior Debt |  | Market Yield |  | 81.3 |  |  | 9.6 |  | - | 18.0 |  |  | 13.1 |
Collateralized Loan Obligations (investment grade and non-investment grade) |  | Market Yield |  | 613.5 |  |  | 3.2 |  | - | 12.5 |  |  | 5.1 |
Other |  | Various |  | 21.5 |  |  |  |  |  |  |
Total Level 3 Fixed Maturity Investments |  |  |  | $ | 1,044.2 |  |  |  |  |  |  |
The table below presents quantitative information about the significant unobservable inputs utilized by the Company in determining fair values for fixed maturity investments classified as Level 3 at June 30, 2020.
(Dollars in Millions) |  | Unobservable Input |  | Total Fair Value |  | Range of Unobservable Inputs |  | Weighted-average Yield
Investment-grade |  | Market Yield |  | $ | 222.0 |  |  | 1.3 | % | - | 9.6 | % |  | 4.0 | %
Non-investment-grade: |  |  |  |  |  |  |  |  |  |
Senior Debt |  | Market Yield |  | 139.9 |  |  | 2.4 |  | - | 20.5 |  |  | 10.0 |
Junior Debt |  | Market Yield |  | 78.0 |  |  | 8.9 |  | - | 21.5 |  |  | 14.3 |
Other |  | Various |  | 28.1 |  |  |  |  |  |  |
Total Level 3 Fixed Maturity Investments |  |  |  | $ | 468.0 |  |  |  |  |  |  |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation | Information by security type pertaining to the changes in the fair value of the Company’s investments classified as Level 3 for the six months ended June 30, 2020 is presented below.
|  | Fixed Maturities |  |
(Dollars in Millions) |  | Corporate Bonds and Notes |  | States and Political Sub- divisions |  | Redeemable Preferred Stocks |  | Collateralized Loan Obligations |  | Other Mortgage- and Asset- backed |  | Total
Balance at Beginning of Period |  | $ | 409.1 |  |  | $ | — |  |  | $ | 6.7 |  |  | $ | 618.2 |  |  | $ | 10.2 |  |  | $ | 1,044.2 |
Total Gains (Losses): |  |  |  |  |  |  |  |  |  |  |  |
Included in Condensed Consolidated Statement of Income |  | (5.0 | ) |  | — |  |  | — |  |  | (0.3 | ) |  | — |  |  | (5.3 | )
Included in Other Comprehensive Income (Loss) |  | (6.1 | ) |  | 0.1 |  |  | (0.1 | ) |  | (9.4 | ) |  | 0.4 |  |  | (15.1 | )
Purchases |  | 80.6 |  |  | 0.6 |  |  | — |  |  | 53.5 |  |  | — |  |  | 134.7 |
Settlements |  | — |  |  | — |  |  | — |  |  | — |  |  | (0.1 | ) |  | (0.1 | )
Sales |  | (33.7 | ) |  | — |  |  | — |  |  | (26.4 | ) |  | (0.2 | ) |  | (60.3 | )
Transfers into Level 3 |  | 7.4 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 7.4 |
Transfers out of Level 3 |  | — |  |  | (0.7 | ) |  | (1.2 | ) |  | (635.6 | ) |  | — |  |  | (637.5 | )
Balance at End of Period |  | $ | 452.3 |  |  | $ | — |  |  | $ | 5.4 |  |  | $ | — |  |  | $ | 10.3 |  |  | $ | 468.0 |
Information by security type pertaining to the changes in the fair value of the Company’s investments classified as Level 3 for the three months ended June 30, 2020 is presented below.
|  | Fixed Maturities |  |
(Dollars in Millions) |  | Corporate Bonds and Notes |  | States and Political Sub- divisions |  | Redeemable Preferred Stocks |  | Collateralized Loan Obligations |  | Other Mortgage- and Asset- backed |  | Total
Balance at Beginning of Period |  | $ | 390.6 |  |  | $ | 0.7 |  |  | $ | 6.7 |  |  | $ | 77.9 |  |  | $ | 9.4 |  |  | $ | 485.3 |
Total Gains (Losses): |  |  |  |  |  |  |  |  |  |  |  |
Included in Condensed Consolidated Statement of Income |  | (2.3 | ) |  | — |  |  | — |  |  | — |  |  | — |  |  | (2.3 | )
Included in Other Comprehensive Income (Loss) |  | 18.7 |  |  | — |  |  | (0.1 | ) |  | 0.1 |  |  | 1.0 |  |  | 19.7 |
Purchases |  | 53.4 |  |  | — |  |  | — |  |  | (0.1 | ) |  | — |  |  | 53.3 |
Settlements |  | — |  |  | — |  |  | — |  |  | — |  |  | (0.1 | ) |  | (0.1 | )
Sales |  | (15.5 | ) |  | — |  |  | — |  |  | — |  |  | — |  |  | (15.5 | )
Transfers into Level 3 |  | 7.4 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 7.4 |
Transfers out of Level 3 |  | — |  |  | (0.7 | ) |  | (1.2 | ) |  | (77.9 | ) |  | — |  |  | (79.8 | )
Balance at End of Period |  | $ | 452.3 |  |  | $ | — |  |  | $ | 5.4 |  |  | $ | — |  |  | $ | 10.3 |  |  | $ | 468.0 |
There was $637.5 million in transfers out of Level 3 for the six months ended June 30, 2020. The transfers out of Level 3 were due to primarily to changes in the availability of market observable inputs due to change in pricing provider. Note 13 - Fair Value Measurements (continued) Information by security type pertaining to the changes in the fair value of the Company’s investments classified as Level 3 for the six months ended June 30, 2019 is presented below.
|  | Fixed Maturities |  |  |  |
(Dollars in Millions) |  | Corporate Bonds and Notes |  | Collateralized Loan Obligations |  | Other Mortgage- and Asset- backed |  | Total
Balance at Beginning of Period |  | $ | 382.6 |  |  | $ | 504.9 |  |  | $ | 9.9 |  |  | $ | 897.4 |
Total Gains (Losses): |  |  |  |  |  |  |  |
Included in Condensed Consolidated Statement of Income |  | (7.7 | ) |  | 0.1 |  |  | — |  |  | (7.6 | )
Included in Other Comprehensive Income (Loss) |  | 10.2 |  |  | 7.7 |  |  | 0.8 |  |  | 18.7 |
Purchases |  | 161.4 |  |  | 24.2 |  |  | — |  |  | 185.6 |
Settlements |  | (16.1 | ) |  | (12.0 | ) |  | (0.3 | ) |  | (28.4 | )
Sales |  | (115.7 | ) |  | (2.9 | ) |  | — |  |  | (118.6 | )
Transfers into Level 3 |  | 2.5 |  |  | 17.0 |  |  | — |  |  | 19.5 |
Transfers out of Level 3 |  | (1.6 | ) |  | — |  |  | — |  |  | (1.6 | )
Balance at End of Period |  | $ | 415.6 |  |  | $ | 539.0 |  |  | $ | 10.4 |  |  | $ | 965.0 |
Information by security type pertaining to the changes in the fair value of the Company’s investments classified as Level 3 for the three months ended June 30, 2019 is presented below.
|  | Fixed Maturities |  |  |  |
(Dollars in Millions) |  | Corporate Bonds and Notes |  | Collateralized Loan Obligations |  | Other Mortgage- and Asset- backed |  | Total
Balance at Beginning of Period |  | $ | 411.9 |  |  | $ | 528.5 |  |  | $ | 10.3 |  |  | $ | 950.7 |
Total Gains (Losses): |  |  |  |  |  |  |  |
Included in Condensed Consolidated Statement of Income |  | (5.2 | ) |  | 0.4 |  |  | — |  |  | (4.8 | )
Included in Other Comprehensive Income (Loss) |  | 4.8 |  |  | 1.7 |  |  | 0.3 |  |  | 6.8 |
Purchases |  | 60.1 |  |  | 20.3 |  |  | — |  |  | 80.4 |
Settlements |  | (4.6 | ) |  | (12.0 | ) |  | (0.2 | ) |  | (16.8 | )
Sales |  | (49.8 | ) |  | (2.9 | ) |  | — |  |  | (52.7 | )
Transfers into Level 3 |  | — |  |  | 3.0 |  |  | — |  |  | 3.0 |
Transfers out of Level 3 |  | (1.6 | ) |  | — |  |  | — |  |  | (1.6 | )
Balance at End of Period |  | $ | 415.6 |  |  | $ | 539.0 |  |  | $ | 10.4 |  |  | $ | 965.0 |
There were $1.6 million transfers out of Level 3 were for the six months ended June 30, 2019. The transfers into Level 3 were due to changes in the availability of market observable inputs.
Fair Value, by Balance Sheet Grouping | Presented below are the carrying values and fair value estimates of financial instruments not carried at fair value.
|  | June 30, 2020 |  | December 31, 2019
(Dollars in Millions) |  | Carrying Value |  | Fair Value |  | Carrying Value |  | Fair Value
Financial Assets: |  |  |  |  |  |  |  |
Loans to Policyholders |  | $ | 301.0 |  |  | $ | 301.0 |  |  | $ | 305.6 |  |  | $ | 612.4 |
Short-term Investments |  | 154.2 |  |  | 154.2 |  |  | 470.9 |  |  | 470.9 |
Mortgage Loans |  | 30.7 |  |  | 30.7 |  |  | 27.5 |  |  | 27.5 |
Financial Liabilities: |  |  |  |  |  |  |  |
Debt |  | $ | 777.7 |  |  | $ | 824.1 |  |  | $ | 778.4 |  |  | $ | 820.2 |
Policyholder Contract Liabilities |  | 454.3 |  |  | 454.3 |  |  | 243.4 |  |  | 243.4 |

X
- Definition Tabular disclosure of financial instruments measured at fair value, including those classified in shareholders' equity measured on a recurring or nonrecurring basis. Disclosures include, but are not limited to, fair value measurements recorded and the reasons for the measurements, level within the fair value hierarchy in which the fair value measurements are categorized and transfers between levels 1 and 2. Nonrecurring fair value measurements are those that are required or permitted in the statement of financial position in particular circumstances. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (b) -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 3 -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19279-110258 Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2C -URI http://asc.fasb.org/extlink&oid=117815213&loc=SL7498348-110258 Reference 4: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (a) -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258 Reference 5: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (bb) -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258 + Details
Name: | us-gaap_FairValueAssetsAndLiabilitiesMeasuredOnRecurringAndNonrecurringBasisTableTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- 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. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (bbb) -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258 + Details
Name: | us-gaap_FairValueAssetsAndLiabilitiesMeasuredOnRecurringAndNonrecurringBasisValuationTechniquesTableTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition 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. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 3 -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19279-110258 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (c) -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258 + Details
Name: | us-gaap_FairValueAssetsMeasuredOnRecurringBasisUnobservableInputReconciliationTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure of the fair value of financial instruments, including financial assets and financial liabilities, and the measurements of those instruments, assets, and liabilities. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 11 -URI http://asc.fasb.org/extlink&oid=121572278&loc=d3e13467-108611 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (a) -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258 + Details
Name: | us-gaap_FairValueByBalanceSheetGroupingTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- References No definition available. + Details
Name: | us-gaap_FairValueDisclosuresAbstract
Namespace Prefix: | us-gaap_
Data Type: | xbrli:stringItemType
Balance Type: | na
Period Type: | duration