Fair Value (Tables)

6 Months Ended

Jun. 30, 2021

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
June 30, 2021
Fixed maturities:
U.S. government obligations	$	19,437.7	$	0	$	0	$	19,437.7	$	19,339.3
State and local government obligations	0		2,440.5		0		2,440.5		2,379.1
Corporate debt securities	0		10,690.9		0		10,690.9		10,327.5
Subtotal	19,437.7		13,131.4		0		32,569.1		32,045.9
Asset-backed securities:
Residential mortgage-backed	0		671.3		0		671.3		666.9
Commercial mortgage-backed	0		5,708.1		0		5,708.1		5,628.2
Other asset-backed	0		3,899.0		0		3,899.0		3,865.9
Subtotal asset-backed securities	0		10,278.4		0		10,278.4		10,161.0
Redeemable preferred stocks:
Financials	0		51.3		0		51.3		50.9
Utilities	0		0		0		0		0
Industrials	10.8		121.4		0		132.2		120.2
Subtotal redeemable preferred stocks	10.8		172.7		0		183.5		171.1
Total fixed maturities	19,448.5		23,582.5		0		43,031.0		42,378.0
Short-term investments	1,679.8		30.8		0		1,710.6		1,710.6
Total available-for-sale securities	21,128.3		23,613.3		0		44,741.6		44,088.6
Equity securities:
Nonredeemable preferred stocks:
Financials	98.4		1,332.5		128.9		1,559.8		1,456.2
Utilities	0		42.5		0		42.5		39.9
Industrials	0		25.6		34.4		60.0		40.1
Subtotal nonredeemable preferred stocks	98.4		1,400.6		163.3		1,662.3		1,536.2
Common equities:
Common stocks	4,527.3		0		0		4,527.3		1,201.8
Other risk investments	0		0		11.6		11.6		11.6
Subtotal common equities	4,527.3		0		11.6		4,538.9		1,213.4
Total equity securities	4,625.7		1,400.6		174.9		6,201.2		2,749.6
Total portfolio	$	25,754.0	$	25,013.9	$	174.9	$	50,942.8	$	46,838.2
Debt	$	0	$	6,446.7	$	0	$	6,446.7	$	5,397.5


	Fair Value
(millions)	Level 1		Level 2		Level 3		Total		Cost
June 30, 2020
Fixed maturities:
U.S. government obligations	$	9,277.8	$	0	$	0	$	9,277.8	$	8,814.5
State and local government obligations	0		3,574.3		0		3,574.3		3,426.0
Corporate debt securities	0		11,062.5		0		11,062.5		10,493.2
Subtotal	9,277.8		14,636.8		0		23,914.6		22,733.7
Asset-backed securities:
Residential mortgage-backed	0		543.0		0		543.0		541.0
Commercial mortgage-backed	0		5,761.8		0		5,761.8		5,728.5
Other asset-backed	0		4,354.9		0		4,354.9		4,313.3
Subtotal asset-backed securities	0		10,659.7		0		10,659.7		10,582.8
Redeemable preferred stocks:
Financials	0		51.1		0		51.1		51.3
Utilities	0		10.8		0		10.8		10.0
Industrials	9.7		80.5		0		90.2		90.1
Subtotal redeemable preferred stocks	9.7		142.4		0		152.1		151.4
Total fixed maturities	9,287.5		25,438.9		0		34,726.4		33,467.9
Short-term investments	4,428.0		272.5		0		4,700.5		4,700.5
Total available-for-sale securities	13,715.5		25,711.4		0		39,426.9		38,168.4
Equity securities:
Nonredeemable preferred stocks:
Financials	108.2		958.3		38.1		1,104.6		1,125.3
Utilities	0		38.7		0		38.7		40.0
Industrials	0		22.1		15.2		37.3		40.1
Subtotal nonredeemable preferred stocks	108.2		1,019.1		53.3		1,180.6		1,205.4
Common equities:
Common stocks	3,170.1		0		0		3,170.1		1,128.5
Other risk investments	0		0		0.3		0.3		0.3
Subtotal common equities	3,170.1		0		0.3		3,170.4		1,128.8
Total equity securities	3,278.3		1,019.1		53.6		4,351.0		2,334.2
Total portfolio	$	16,993.8	$	26,730.5	$	53.6	$	43,777.9	$	40,502.6
Debt	$	0	$	6,664.3	$	0	$	6,664.3	$	5,394.7


	Fair Value
(millions)	Level 1		Level 2		Level 3		Total		Cost
December 31, 2020
Fixed maturities:
U.S. government obligations	$	12,740.0	$	0	$	0	$	12,740.0	$	12,437.9
State and local government obligations	0		3,221.8		0		3,221.8		3,099.4
Corporate debt securities	0		10,185.2		0		10,185.2		9,579.7
Subtotal	12,740.0		13,407.0		0		26,147.0		25,117.0
Asset-backed securities:
Residential mortgage-backed	0		509.5		0		509.5		503.3
Commercial mortgage-backed	0		6,175.1		0		6,175.1		6,042.6
Other asset-backed	0		3,784.6		0		3,784.6		3,745.0
Subtotal asset-backed securities	0		10,469.2		0		10,469.2		10,290.9
Redeemable preferred stocks:
Financials	0		51.6		0		51.6		51.1
Utilities	0		11.7		0		11.7		10.0
Industrials	10.8		120.6		0		131.4		120.1
Subtotal redeemable preferred stocks	10.8		183.9		0		194.7		181.2
Total fixed maturities	12,750.8		24,060.1		0		36,810.9		35,589.1
Short-term investments	4,704.9		513.6		0		5,218.5		5,218.5
Total available-for-sale securities	17,455.7		24,573.7		0		42,029.4		40,807.6
Equity securities:
Nonredeemable preferred stocks:
Financials	117.7		1,212.3		35.0		1,365.0		1,278.6
Utilities	0		41.9		0		41.9		40.0
Industrials	0		24.3		16.7		41.0		40.1
Subtotal nonredeemable preferred stocks	117.7		1,278.5		51.7		1,447.9		1,358.7
Common equities:
Common stocks	4,049.9		0		0		4,049.9		1,184.2
Other risk investments	0		0		3.1		3.1		3.1
Subtotal common equities	4,049.9		0		3.1		4,053.0		1,187.3
Total equity securities	4,167.6		1,278.5		54.8		5,500.9		2,546.0
Total portfolio	$	21,623.3	$	25,852.2	$	54.8	$	47,530.3	$	43,353.6
Debt	$	0	$	6,793.5	$	0	$	6,793.5	$	5,396.1

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 six months ended June 30, 2021 and 2020:


	Level 3 Fair Value
(millions)	Fair Value at March 31, 2021		Calls/ Maturities/ Paydowns		Purchases		Sales		Net Realized (Gain)/Loss on Sales		Change in Valuation		Net Transfers In (Out)		Fair Value at June 30, 2021




Equity securities:
Nonredeemable preferred stocks:
Financials	$	35.0	$	0	$	60.2	$	0	$	0	$	33.7	$	0	$	128.9
Industrials	16.6		0		5.0		(5.0)		(4.5)		22.3		0		34.4
Common equities:
Other risk investments	3.2		0		8.4		0		0		0		0		11.6
Total Level 3 securities	$	54.8	$	0	$	73.6	$	(5.0)	$	(4.5)	$	56.0	$	0	$	174.9


	Level 3 Fair Value
(millions)	Fair Value at March 31, 2020		Calls/ Maturities/ Paydowns		Purchases		Sales		Net Realized (Gain)/Loss on Sales		Change in Valuation		Net Transfers In (Out)		Fair Value at June 30, 2020




Equity securities:
Nonredeemable preferred stocks:
Financials	$	13.1	$	0	$	25.0	$	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		0		0		0		0		0		0.3
Total Level 3 securities	$	28.6	$	0	$	25.0	$	0	$	0	$	0	$	0	$	53.6


	Level 3 Fair Value
(millions)	Fair Value at December 31, 2020		Calls/ Maturities/ Paydowns		Purchases		Sales		Net Realized (Gain)/Loss on Sales		Change in Valuation		Net Transfers In (Out)		Fair Value at June 30, 2021




Equity securities:
Nonredeemable preferred stocks:
Financials	$	35.0	$	0	$	60.2	$	0	$	0	$	33.7	$	0	$	128.9
Industrials	16.7		0		5.0		(5.0)		(4.5)		22.2		0		34.4
Common equities:
Other risk investments	3.1		0		8.5		0		0		0		0		11.6
Total Level 3 securities	$	54.8	$	0	$	73.7	$	(5.0)	$	(4.5)	$	55.9	$	0	$	174.9


	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 June 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		0		0		0		0		0		0.3
Total Level 3 securities	$	43.4	$	0	$	25.0	$	0	$	0	$	(14.8)	$	0	$	53.6

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 June 30, 2021 and 2020, and December 31, 2020:

Quantitative Information about Level 3 Fair Value Measurements

($ in millions)

Fair Value at June 30, 2021

Valuation Technique

Unobservable Input

Unobservable Input Assumption

Equity securities:

Nonredeemable preferred stocks:

Financials

52.5

Pricing firm

Market approach (guideline public company method) price per share

7.7

Financials

16.2

Internal price

Recent transaction price per share

27.5

Financials1

22.5

Internal price

Unadjusted purchase price per share

20.1

Financials1

12.5

Internal price

Unadjusted purchase price per share

11.8

Financials1

10.2

Internal price

Unadjusted purchase price per share

32.1

Financials1

15.0

Internal price

Unadjusted purchase price per share

6.8

Industrials

10.7

Internal price

Recent transaction price per share

5.2

Industrials

23.7

Internal price

Recent transaction price per share

9.6

Subtotal Level 3 securities

163.3

Pricing exemption securities

11.6

Total Level 3 securities

174.9

1 These securities were purchased during second quarter 2021.

Quantitative Information about Level 3 Fair Value Measurements

($ in millions)

Fair Value at June 30, 2020

Valuation Technique

Unobservable Input

Unobservable Input Assumption

Equity securities:

Nonredeemable preferred stocks:

Financials

13.1

Internal price

Market approach (guideline public company method) price per share

4.4

Financials1

25.0

Internal price

Unadjusted purchase price per share

3.7

Industrials2

7.1

Internal price

Market approach (guideline public company method) price per share

5.6

Industrials2

8.1

Internal price

Market approach (guideline public company method) price per share

4.0

Subtotal Level 3 securities

53.3

Pricing exemption securities

0.3

Total Level 3 securities

53.6

1This security was purchased in second quarter 2020.

2Modified prior year disclosure to present securities individually to conform to the current year presentation.

Quantitative Information about Level 3 Fair Value Measurements

($ in millions)

Fair Value at December 31, 2020

Valuation Technique

Unobservable Input

Unobservable Input Assumption

Equity securities:

Nonredeemable preferred stocks:

Financials1

25.0

Internal price

Unadjusted purchase price per share

3.7

Financials2

10.0

Internal price

Unadjusted purchase price per share

16.9

Industrials

6.9

Pricing firm

Market approach (guideline public company method) price per share

5.4

Industrials

9.8

Pricing firm

Market approach (guideline public company method) price per share

4.8

Subtotal Level 3 securities

51.7

Pricing exemption securities

3.1

Total Level 3 securities

54.8

1 This security was purchased in second quarter 2020.

2 This security was purchased in fourth quarter 2020.