XML 37 R27.htm IDEA: XBRL DOCUMENT v3.23.2
Fair Values of Financial Instruments (Tables)
 6 Months Ended
Jun. 30, 2023
Fair Value Disclosures [Abstract]  
Fair Value, Investments, Entities that Calculate Net Asset Value Per Share
The following tables present additional information about our private equity partnerships, including commitments for additional investments which may or may not be funded:
June 30, 2023
Investment CategoryFair ValueRedemption Term / Redemption NoticeUnfunded Commitments
(in millions of dollars)(in millions of dollars)
Private Credit(a)$239.0 Not redeemable$131.9 
45.4 Quarterly / 90 days notice5.1 
Total Private Credit284.4 137.0 
Private Equity(b)491.7 Not redeemable411.0 
25.4Initial 5.5 year lock on each new investment / Quarterly after 5.5 year lock with 90 days notice17.8
Total Private Equity517.1428.8
Real Assets(c)405.7 Not redeemable274.3 
60.9 Quarterly / 90 days notice— 
Total Real Assets466.6 274.3 
Total Partnerships$1,268.1 $840.1 
December 31, 2022
Investment CategoryFair ValueRedemption Term / Redemption NoticeUnfunded Commitments
(in millions of dollars)(in millions of dollars)
Private Credit(a)$239.3 Not redeemable$90.9 
35.7 Initial 2 year lock on each new investment / Quarterly after 2 year lock with 90 days notice13.4 
Total Private Credit275.0 104.3 
Private Equity(b)453.6 Not redeemable377.2 
31.7 Initial 5.5 year lock on each new investment / Quarterly after 5.5 year lock with 90 days notice39.1
Total Private Equity485.3 416.3 
Real Assets(c)373.9 Not redeemable256.3 
60.1 Quarterly / 90 days notice— 
Total Real Assets434.0 256.3 
Total Partnerships$1,194.3 $776.9 
Fair Values by Fair Value Hierarchy Input level The following tables present information about financial instruments measured at fair value on a recurring basis by fair value level, based on the observability of the inputs used:
 June 30, 2023
 Level 1Level 2Level 3NAVTotal
(in millions of dollars)
Assets
Fixed Maturity Securities
United States Government and Government Agencies and Authorities$81.7 $487.4 $— $— $569.1 
States, Municipalities, and Political Subdivisions5.0 3,532.6 — — 3,537.6 
Foreign Governments— 870.7 — — 870.7 
Public Utilities664.2 4,512.0 — — 5,176.2 
Mortgage/Asset-Backed Securities— 532.0 24.1 — 556.1 
All Other Corporate Bonds7,813.8 16,718.3 128.8 — 24,660.9 
Redeemable Preferred Stocks— 3.5 — — 3.5 
Total Fixed Maturity Securities8,564.7 26,656.5 152.9 — 35,374.1 
Other Long-term Investments
Derivatives
Forwards— 7.0 — — 7.0 
Foreign Exchange Contracts— 73.6 — — 73.6 
Total Derivatives— 80.6 — — 80.6 
Perpetual Preferred and Equity Securities— 10.3 17.5 — 27.8 
Private Equity Partnerships— — — 1,268.1 1,268.1 
Total Other Long-term Investments— 90.9 17.5 1,268.1 1,376.5 
Total Financial Instrument Assets Carried at Fair Value$8,564.7 $26,747.4 $170.4 $1,268.1 $36,750.6 
Liabilities
Other Liabilities
Derivatives
Forwards $— $44.5 $— $— $44.5 
Foreign Exchange Contracts— 31.9 — — 31.9 
Embedded Derivative in Modified Coinsurance Arrangement— — 8.4 — 8.4 
Total Derivatives— 76.4 8.4 — 84.8 
Total Financial Instrument Liabilities Carried at Fair Value$— $76.4 $8.4 $— $84.8 
 December 31, 2022
 Level 1Level 2Level 3NAVTotal
(in millions of dollars)
Assets
Fixed Maturity Securities
United States Government and Government Agencies and Authorities$81.7 $416.5 $— $— $498.2 
States, Municipalities, and Political Subdivisions8.7 3,448.3 0.2 — 3,457.2 
Foreign Governments— 827.1 — — 827.1 
Public Utilities160.1 4,796.8 — — 4,956.9 
Mortgage/Asset-Backed Securities— 551.3 22.0 — 573.3 
All Other Corporate Bonds4,268.6 20,097.3 158.7 — 24,524.6 
Redeemable Preferred Stocks— 3.5 — — 3.5 
Total Fixed Maturity Securities4,519.1 30,140.8 180.9 — 34,840.8 
Other Long-term Investments
Derivatives
Forwards— 5.6 — — 5.6 
Foreign Exchange Contracts— 83.5 — — 83.5 
Total Derivatives— 89.1 — — 89.1 
Perpetual Preferred and Equity Securities— 9.6 16.2 — 25.8 
Private Equity Partnerships— — — 1,194.3 1,194.3 
Total Other Long-term Investments— 98.7 16.2 1,194.3 1,309.2 
Total Financial Instrument Assets Carried at Fair Value$4,519.1 $30,239.5 $197.1 $1,194.3 $36,150.0 
Liabilities
Other Liabilities
Derivatives
Forwards$— $48.5 $— $— $48.5 
Foreign Exchange Contracts— 25.5 — — 25.5 
Embedded Derivative in Modified Coinsurance Arrangement— — 13.9 — 13.9 
Total Derivatives— 74.0 13.9 — 87.9 
Total Financial Instrument Liabilities Carried at Fair Value$— $74.0 $13.9 $— $87.9 
Changes in Assets and Liabilities Measured at Fair Value on a Recurring Basis using Significant Unobservable Inputs
Changes in assets and liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3) are as follows:
 Three Months Ended June 30, 2023
 Fair Value Beginning of PeriodTotal Realized
and Unrealized
Investment Gains (Losses) in		  Level 3 TransfersFair Value End of PeriodChange in Unrealized Gain (Loss) on Securities Held at the End of Period included in
 EarningsOCIPurchasesSales/MaturitiesIntoOut ofOCIEarnings
(in millions of dollars)
Fixed Maturity Securities
States, Municipalities, and Political Subdivisions$0.1 $— $— $— $— $— $(0.1)$— $— $— 
Public Utilities— 0.2 (0.3)— (3.2)3.3 — — (0.3)— 
Mortgage/Asset-Backed Securities28.8 — (0.1)3.9 (0.1)— (8.4)24.1 (0.1)— 
All Other Corporate Bonds139.1 (0.4)(29.0)30.0 (92.4)195.3 (113.8)128.8 (29.0)— 
Total Fixed Maturity Securities168.0 (0.2)(29.4)33.9 (95.7)198.6 (122.3)152.9 (29.4)— 
Perpetual Preferred and Equity Securities
16.2 0.5 — 0.8 — — — 17.5 — 0.5 
Embedded Derivative in Modified Coinsurance Arrangement(13.6)5.2 — — — — — (8.4)— 5.2 
 Three Months Ended June 30, 2022
 Fair Value Beginning of PeriodTotal Realized and Unrealized Investment Gains (Losses) in  Level 3 TransfersFair Value End of PeriodChange in Unrealized Gain (Loss) on Securities Held at the End of Period included in
 EarningsOCIPurchasesSales/MaturitiesIntoOut ofOCIEarnings
(in millions of dollars)
Fixed Maturity Securities
Foreign Governments$20.4 $— $(0.2)$— $— $— $— $20.2 $(0.2)$— 
Public Utilities13.7 — (0.1)— — — — 13.6 (0.1)— 
Mortgage/Asset-Backed Securities49.8 — (0.8)— (0.6)0.2 (37.0)11.6 (0.8)— 
All Other Corporate Bonds80.7 — (9.9)— — 50.5 (17.8)103.5 (9.9)— 
Total Fixed Maturity Securities164.6 — (11.0)— (0.6)50.7 (54.8)148.9 (11.0)— 
Perpetual Preferred and Equity Securities
10.5 — — 0.4 — — — 10.9 — — 
Embedded Derivative in Modified Coinsurance Arrangement(33.5)(0.8)— — — — — (34.3)— (0.8)
 Six Months Ended June 30, 2023
 Fair Value Beginning of YearTotal Realized
and Unrealized
Investment Gains (Losses) in		  Level 3 TransfersFair Value End of PeriodChange in Unrealized Gain (Loss) on Securities Held at the End of Period included in
 EarningsOCIPurchasesSales/MaturitiesIntoOut ofOCIEarnings
(in millions of dollars)
Fixed Maturity Securities
States, Municipalities, and Political Subdivisions$0.2 $— $— $— $— $— $(0.2)$— $— $— 
Public Utilities— 0.3 (0.3)— (3.3)3.3 — — (0.3)— 
Mortgage/Asset-Backed Securities22.0 — (0.1)10.9 (0.3)0.4 (8.8)24.1 (0.1)— 
All Other Corporate Bonds158.7 (0.5)(24.1)31.5 (152.1)205.8 (90.5)128.8 (24.1)— 
Total Fixed Maturity Securities180.9 (0.2)(24.5)42.4 (155.7)209.5 (99.5)152.9 (24.5)— 
Perpetual Preferred and Equity Securities
16.2 0.5 — 0.8 — — — 17.5 — 0.5 
Embedded Derivative in Modified Coinsurance Arrangement(13.9)5.5 — — — — — (8.4)— 5.5 
 Six Months Ended June 30, 2022
 Fair Value Beginning of YearTotal Realized and Unrealized Investment Gains (Losses) in  Level 3 TransfersFair Value End of PeriodChange in Unrealized Gain (Loss) on Securities Held at the End of Period included in
 EarningsOCIPurchasesSales/MaturitiesIntoOut ofOCIEarnings
(in millions of dollars)
Fixed Maturity Securities
States, Municipalities, and Political Subdivisions$13.4 $— $— $— $— $— $(13.4)$— $— $— 
Foreign Governments20.8 — (0.6)— — — — 20.2 (0.6)— 
Public Utilities44.5 (4.1)2.1 — (10.8)15.6 (33.7)13.6 2.1 (4.1)
Mortgage/Asset-Backed Securities187.2 — (5.6)8.9 (4.9)— (174.0)11.6 (5.6)— 
All Other Corporate Bonds861.5 — (20.6)32.6 (20.9)13.2 (762.3)103.5 (20.6)— 
Total Fixed Maturity Securities1,127.4 (4.1)(24.7)41.5 (36.6)28.8 (983.4)148.9 (24.7)(4.1)
Perpetual Preferred and Equity Securities
5.8 2.8 — 2.3 — — — 10.9 — 2.8 
Embedded Derivative in Modified Coinsurance Arrangement(30.1)(4.2)— — — — — (34.3)— (4.2)
Realized and unrealized investment gains and losses presented in the preceding tables represent gains and losses only for the time during which the applicable financial instruments were classified as Level 3. The transfers between levels resulted primarily from a change in observability of three inputs used to determine fair values of the securities transferred: (1) transactional data for new issuance and secondary trades, (2) broker/dealer quotes and pricing, primarily related to changes in the level of activity in the market and whether the market was considered orderly, and (3) comparable bond metrics from which to perform an analysis. For fair value measurements of financial instruments that were transferred either into or out of Level 3, we reflect the transfers using the fair value at the beginning of the period. We believe this allows for greater transparency, as all changes in fair value that arise during the reporting period of the transfer are disclosed as a component of our Level 3 reconciliation.
Quantitative Information Regarding Significant Unobservable Inputs
The table below provides quantitative information regarding the significant unobservable inputs used in Level 3 fair value measurements derived from internal models. Unobservable inputs for fixed maturity securities are weighted by the fair value of the securities. Certain securities classified as Level 3 are excluded from the table below due to limitations in our ability to obtain the underlying inputs used by external pricing sources.
June 30, 2023
Fair ValueValuation MethodUnobservable InputRange/Weighted Average
(in millions of dollars)
Fixed Maturity Securities
All Other Corporate Bonds - Private$16.4 Market Approach
Volatility of Credit
Market Convention
(a)
(b)
4.75% - 4.75% / 4.75%
Priced at Par Value
Perpetual Preferred and Equity Securities 17.5 Market Approach
Market Convention
(b)Priced at Cost, Owner's Equity, or Most Recent Round
Embedded Derivative in Modified Coinsurance Arrangement(8.4)Discounted Cash Flows
Projected Liability Cash Flows
Weighted Spread of Swap Curve
(c)
Actuarial Assumptions
0.4%
December 31, 2022
Fair ValueValuation MethodUnobservable InputRange/Weighted Average
(in millions of dollars)
Fixed Maturity Securities
All Other Corporate Bonds - Private$15.3 Market Approach
Volatility of Credit
Market Convention
(a)
(b)
5.41% - 5.41% / 5.41%
Priced at Par Value
Perpetual Preferred and Equity Securities 16.2 Market ApproachMarket Convention(b)Priced at Cost, Owner's Equity, or Most Recent Round
Embedded Derivative in Modified Coinsurance Arrangement(13.9)Discounted Cash Flows
Projected Liability Cash Flows
Weighted Spread of Swap Curve
(c)
Actuarial Assumptions
0.6%

(a)Represents basis point adjustments for credit-specific factors
(b)Represents a decision to price based on par value, cost, owner's equity, or the price of the most recent capital funding round when limited data is available
(c)Represents various actuarial assumptions required to derive the liability cash flows. Fair value of embedded derivative is most often driven by the change in the weighted average credit spread to the swap curve for the assets backing the hypothetical loan
Carrying Amount and Fair Value of Financial Instruments The following table presents the carrying amounts and estimated fair values of our financial instruments not measured at fair value and indicates the level in the fair value hierarchy of the estimated fair value measurement based on the observability of the inputs used:
June 30, 2023
Estimated Fair Value
Level 1Level 2Level 3TotalCarrying Value
(in millions of dollars)
Assets
Mortgage Loans$— $2,096.1 $— $2,096.1 $2,372.8 
Policy Loans— — 3,568.1 3,568.1 3,493.3 
Other Long-term Investments
Miscellaneous Long-term Investments— 14.8 0.7 15.5 15.5 
Total Financial Instrument Assets Not Carried at Fair Value$— $2,110.9 $3,568.8 $5,679.7 $5,881.6 
Liabilities
Long-term Debt$2,267.5 $863.3 $— $3,130.8 $3,429.1 
Other Liabilities
Unfunded Commitments— 0.7 — 0.7 0.7 
Payable for Collateral on FHLB Funding Agreements— 55.1 — 55.1 55.1 
Total Financial Instrument Liabilities Not Carried at Fair Value$2,267.5 $919.1 $— $3,186.6 $3,484.9 
December 31, 2022
Estimated Fair Value
Level 1Level 2Level 3TotalCarrying Value
(in millions of dollars)
Assets
Mortgage Loans$— $2,159.5 $— $2,159.5 $2,435.4 
Policy Loans— — 3,677.0 3,677.0 3,601.2 
Other Long-term Investments
Miscellaneous Long-term Investments— 17.1 1.3 18.4 18.4 
Total Financial Instrument Assets Not Carried at Fair Value$— $2,176.6 $3,678.3 $5,854.9 $6,055.0 
Liabilities
Long-term Debt$2,288.9 $783.1 $— $3,072.0 $3,427.8 
Other Liabilities
Unfunded Commitments— 0.7 — 0.7 0.7 
Payable for Collateral on FHLB Funding Agreements— 99.1 — 99.1 99.1 
Total Financial Instrument Liabilities Not Carried at Fair Value$2,288.9 $882.9 $— $3,171.8 $3,527.6