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Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 2021

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 Sheets at March 31, 2021 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						$	133.0					$	399.4					$	—					$	—					$	532.4
States and Political Subdivisions						—						1,667.9						—						—						1,667.9
Foreign Governments						—						4.8						—						—						4.8
Corporate Securities:
Bonds and Notes						—						3,856.3						414.5						—						4,270.8
Redeemable Preferred Stock						—						1.3						5.7						—						7.0
Collateralized Loan Obligations						—						782.9						—						—						782.9
Other Mortgage and Asset-backed						—						204.6						9.0						—						213.6
Total Investments in Fixed Maturities						133.0						6,917.2						429.2						—						7,479.4
Equity Securities at Fair Value:
Preferred Stocks:
Finance, Insurance and Real Estate						—						38.6						—						—						38.6
Other Industries						—						16.0						—						—						16.0
Common Stocks:
Finance, Insurance and Real Estate						6.8						1.7						—						—						8.5
Other Industries						2.8						—						0.1						—						2.9
Other Equity Interests:
Exchange Traded Funds						522.5						—						—						—						522.5
Limited Liability Companies and Limited Partnerships						—						—						—						308.9						308.9
Total Investments in Equity Securities at Fair Value						532.1						56.3						0.1						308.9						897.4
Convertible Securities at Fair Value						—						42.6						—						—						42.6
Total						$	665.1					$	7,016.1					$	429.3					$	308.9					$	8,419.4

The valuation of assets measured at fair value in the Company’s Consolidated Balance Sheets at December 31, 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						$	134.0					$	451.3					$	—					$	—					$	585.3
States and Political Subdivisions						—						1,589.5						—						—						1,589.5
Foreign Governments						—						5.2						—						—						5.2
Corporate Securities:
Bonds and Notes						—						3,992.4						433.0						—						4,425.4
Redeemable Preferred Stocks						—						1.3						6.2						—						7.5
Collateralized Loan Obligations						—						767.7						—						—						767.7
Other Mortgage and Asset-backed						—						215.3						10.0						—						225.3
Total Investments in Fixed Maturities						134.0						7,022.7						449.2						—						7,605.9
Equity Securities at Fair Value:
Preferred Stocks:
Finance, Insurance and Real Estate						—						43.7						—						—						43.7
Other Industries						—						15.4						—						—						15.4
Common Stocks:
Finance, Insurance and Real Estate						8.7						1.7						—						—						10.4
Other Industries						0.4						—						—						—						0.4
Other Equity Interests:
Exchange Traded Funds						496.4						—						—						—						496.4
Limited Liability Companies and Limited Partnerships						—						—						—						292.2						292.2
Total Investments in Equity Securities at Fair Value						505.5						60.8						—						292.2						858.5
Other Investments:
Convertible Securities at Fair Value						—						39.9						—						—						39.9
Total						$	639.5					$	7,123.4					$	449.2					$	292.2					$	8,504.3

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 March 31, 2021.

(Dollars in Millions)						Unobservable Input						Total Fair Value						Range of Unobservable Inputs												Weighted-average Yield
Investment-grade						Market Yield						$	251.7					0.9		%	-			12.0		%				3.4		%
Non-investment-grade:
Senior Debt						Market Yield						95.4						0.9			-			19.3						9.7
Junior Debt						Market Yield						59.1						2.2			-			27.9						14.5
Other						Various						23.0
Total Level 3 Fixed Maturity Investments												$	429.2

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 December 31, 2020.

(Dollars in Millions)						Unobservable Input						Total Fair Value						Range of Unobservable Inputs												Weighted-average Yield
Investment-grade						Market Yield						$	246.7					1.4		%	-			13.0		%				3.8		%
Non-investment-grade:
Senior Debt						Market Yield						111.1						2.4			-			23.4						9.5
Junior Debt						Market Yield						64.6						3.1			-			27.9						13.7
Other						Various						26.8
Total Level 3 Fixed Maturity Investments												$	449.2

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 three months ended March 31, 2021 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 Year						$	433.0					$	—					$	6.2					$	—					$	10.0																							$	449.2
Total Gains (Losses):
Included in Condensed Consolidated Statement of   Income						(1.1)						—						—						—						—																								(1.1)
Included in Other Comprehensive Income (Loss)						(3.7)						—						(0.5)						—						(0.8)																								(5.0)
Purchases						17.8						—						—						—						—																								17.8
Settlements						—						—						—						—						—																								—
Sales						(30.9)						—						—						—						(0.2)																								(31.1)
Transfers into Level 3						—						—						—						—						—																								—
Transfers out of Level 3						(0.6)						—						—						—						—																								(0.6)
Balance at End of Period						$	414.5					$	—					$	5.7					$	—					$	9.0																							$	429.2

The transfers into and out of Level 3 were due primarily to changes in the availability of market observable inputs due to change in pricing provider.

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 March 31, 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 Year						$	409.1					$	—					$	6.7					$	618.2					$	10.2																							$	1,044.2
Total Gains (Losses):
Included in Condensed Consolidated Statement of Income						(2.7)						—						—						(0.3)						—																								(3.0)
Included in Other Comprehensive Income (Loss)						(24.8)						0.1						—						(9.5)						(0.6)																								(34.8)
Purchases						27.2						0.6						—						53.6						—																								81.4
Settlements						—						—						—						—						—																								—
Sales						(18.2)						—						—						(26.4)						(0.2)																								(44.8)
Transfers into Level 3						—						—						—						—						—																								—
Transfers out of Level 3						—						—						—						(557.7)						—																								(557.7)
Balance at End of Period						$	390.6					$	0.7					$	6.7					$	77.9					$	9.4																							$	485.3

The transfers into and out of 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.

						March 31, 2021												December 31, 2020
(Dollars in Millions)						Carrying Value						Fair Value						Carrying Value						Fair Value
Financial Assets:
Loans to Policyholders						$	295.1					$	295.1					$	297.9					$	297.9
Short-term Investments						196.9						196.9						875.4						875.4
Mortgage Loans						73.2						73.2						54.6						54.6
Financial Liabilities:
Long-term Debt						$	1,122.6					$	1,213.3					$	1,172.8					$	1,247.8
Policyholder Obligations						407.5						407.5						407.8						407.8

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- 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.

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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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