Fair Value (Tables)

6 Months Ended

Jun. 30, 2022

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, 2022
Fixed maturities:
U.S. government obligations	$	18,719.2	$	0	$	0	$	18,719.2	$	19,832.3
State and local government obligations	0		2,135.4		0		2,135.4		2,281.9
Foreign government obligations	0		16.4		0		16.4		17.7
Corporate debt securities	0		10,167.8		0		10,167.8		10,869.6
Subtotal	18,719.2		12,319.6		0		31,038.8		33,001.5
Asset-backed securities:
Residential mortgage-backed	0		799.3		0		799.3		826.5
Commercial mortgage-backed	0		6,094.6		0		6,094.6		6,739.4
Other asset-backed	0		5,036.0		0		5,036.0		5,239.4
Subtotal asset-backed securities	0		11,929.9		0		11,929.9		12,805.3
Redeemable preferred stocks:
Financials	0		58.7		0		58.7		62.5
Utilities	0		8.8		0		8.8		10.5
Industrials	9.9		126.4		0		136.3		149.0
Subtotal redeemable preferred stocks	9.9		193.9		0		203.8		222.0
Total fixed maturities	18,729.1		24,443.4		0		43,172.5		46,028.8
Short-term investments	4,549.8		62.0		0		4,611.8		4,611.8
Total available-for-sale securities	23,278.9		24,505.4		0		47,784.3		50,640.6
Equity securities:
Nonredeemable preferred stocks:
Financials	87.8		1,099.7		64.9		1,252.4		1,402.5
Utilities	0		67.3		0		67.3		79.9
Industrials	0		23.8		17.0		40.8		40.1
Subtotal nonredeemable preferred stocks	87.8		1,190.8		81.9		1,360.5		1,522.5
Common equities:
Common stocks	2,716.8		49.4		0		2,766.2		765.1
Other risk investments	0		0		18.5		18.5		18.5
Subtotal common equities	2,716.8		49.4		18.5		2,784.7		783.6
Total equity securities	2,804.6		1,240.2		100.4		4,145.2		2,306.1
Total portfolio	$	26,083.5	$	25,745.6	$	100.4	$	51,929.5	$	52,946.7
Debt	$	0	$	6,028.9	$	0	$	6,028.9	$	6,386.5


	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
Foreign government obligations	0		12.7		0		12.7		12.7
Corporate debt securities	0		10,678.2		0		10,678.2		10,314.8
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		76.4		1,507.3		1,431.2
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		110.8		1,609.8		1,511.2
Common equities:
Common stocks	4,527.3		0		52.5		4,579.8		1,226.8
Other risk investments	0		0		11.6		11.6		11.6
Subtotal common equities	4,527.3		0		64.1		4,591.4		1,238.4
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
December 31, 2021
Fixed maturities:
U.S. government obligations	$	18,488.2	$	0	$	0	$	18,488.2	$	18,586.1
State and local government obligations	0		2,185.3		0		2,185.3		2,162.6
Foreign government obligations	0		17.9		0		17.9		17.9
Corporate debt securities	0		10,692.1		0		10,692.1		10,526.2
Subtotal	18,488.2		12,895.3		0		31,383.5		31,292.8
Asset-backed securities:
Residential mortgage-backed	0		790.0		0		790.0		787.7
Commercial mortgage-backed	0		6,535.6		0		6,535.6		6,561.0
Other asset-backed	0		4,982.3		0		4,982.3		4,981.8
Subtotal asset-backed securities	0		12,307.9		0		12,307.9		12,330.5
Redeemable preferred stocks:
Financials	0		50.9		0		50.9		50.7
Utilities	0		0		0		0		0
Industrials	10.7		120.1		0		130.8		120.2
Subtotal redeemable preferred stocks	10.7		171.0		0		181.7		170.9
Total fixed maturities	18,498.9		25,374.2		0		43,873.1		43,794.2
Short-term investments	942.4		0.2		0		942.6		942.6
Total available-for-sale securities	19,441.3		25,374.4		0		44,815.7		44,736.8
Equity securities:
Nonredeemable preferred stocks:
Financials	115.3		1,305.7		76.4		1,497.4		1,451.7
Utilities	0		82.9		0		82.9		80.0
Industrials	0		25.2		34.4		59.6		40.1
Subtotal nonredeemable preferred stocks	115.3		1,413.8		110.8		1,639.9		1,571.8
Common equities:
Common stocks	4,991.6		50.0		0		5,041.6		1,247.2
Other risk investments	0		0		16.9		16.9		16.9
Subtotal common equities	4,991.6		50.0		16.9		5,058.5		1,264.1
Total equity securities	5,106.9		1,463.8		127.7		6,698.4		2,835.9
Total portfolio	$	24,548.2	$	26,838.2	$	127.7	$	51,514.1	$	47,572.7
Debt	$	0	$	5,857.4	$	0	$	5,857.4	$	4,898.8

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, 2022 and 2021:


	Level 3 Fair Value
(millions)	Fair Value at March 31, 2022		Calls/ Maturities/ Paydowns/Other		Purchases		Sales		Net Realized (Gain)/Loss on Sales		Change in Valuation		Net Transfers In (Out)		Fair Value at June 30, 2022




Equity securities:
Nonredeemable preferred stocks:
Financials	$	61.4	$	0	$	0	$	0	$	0	$	3.5	$	0	$	64.9
Industrials	33.9		0		0		0		0		(16.9)		0		17.0
Common equities:

Other risk investments	20.1		(1.6)		0		0		0		0		0		18.5
Total Level 3 securities	$	115.4	$	(1.6)	$	0	$	0	$	0	$	(13.4)	$	0	$	100.4





	Level 3 Fair Value
(millions)	Fair Value at March 31, 2021		Calls/ Maturities/ Paydowns/Other		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	$	10.0	$	0	$	60.2	$	0	$	0	$	6.2	$	0	$	76.4
Industrials	16.6		0		5.0		(5.0)		(4.5)		22.3		0		34.4
Common equities:
Common stocks	25.0		0		0		0		0		27.5		0		52.5
Other risk investments	3.2		8.4		0		0		0		0		0		11.6
Total Level 3 securities	$	54.8	$	8.4	$	65.2	$	(5.0)	$	(4.5)	$	56.0	$	0	$	174.9


	Level 3 Fair Value
(millions)	Fair Value at Dec. 31, 2021		Calls/ Maturities/ Paydowns/Other		Purchases		Sales		Net Realized (Gain)/Loss on Sales		Change in Valuation		Net Transfers In (Out)		Fair Value at June 30, 2022
Equity securities:
Nonredeemable preferred stocks:
Financials	$	76.4	$	0	$	0	$	(15.0)	$	(17.2)	$	20.7	$	0	$	64.9
Industrials	34.4		(0.5)		0		0		0		(16.9)		0		17.0
Common equities:

Other risk investments	16.9		1.6		0		0		0		0		0		18.5
Total Level 3 securities	$	127.7	$	1.1	$	0	$	(15.0)	$	(17.2)	$	3.8	$	0	$	100.4


	Level 3 Fair Value
(millions)	Fair Value at Dec. 31, 2020		Calls/ Maturities/ Paydowns/Other		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	$	10.0	$	0	$	60.2	$	0	$	0	$	6.2	$	0	$	76.4
Industrials	16.7		0		5.0		(5.0)		(4.5)		22.2		0		34.4
Common equities:
Common stocks	25.0		0		0		0		0		27.5		0		52.5
Other risk investments	3.1		8.5		0		0		0		0		0		11.6
Total Level 3 securities	$	54.8	$	8.5	$	65.2	$	(5.0)	$	(4.5)	$	55.9	$	0	$	174.9

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, 2022 and 2021, and December 31, 2021:

Quantitative Information about Level 3 Fair Value Measurements

($ in millions)

Fair Value at June 30, 2022

Valuation Technique

Unobservable Input

Range of Input Values Increase (Decrease)

Weighted Average Increase (Decrease)

Equity securities:

Nonredeemable preferred stocks

81.9

Market comparables

Weighted average market capitalization price change %

(47.3)% to (2.2)%

(13.3)

Subtotal Level 3 securities

81.9

Pricing exemption securities

18.5

Total Level 3 securities

100.4

Quantitative Information about Level 3 Fair Value Measurements

($ in millions)

Fair Value at June 30, 2021

Valuation Technique

Unobservable Input

Range of Input Values Increase (Decrease)

Weighted Average Increase (Decrease)

Equity securities:

Nonredeemable preferred stocks

110.8

Market comparables

Weighted average market capitalization price change %

(8.0)% to 9.9%

4.2

Common stocks

52.5

Market comparables

Weighted average market capitalization price change %

(12.1)% to 24.5%

12.1

Subtotal Level 3 securities

163.3

Pricing exemption securities

11.6

Total Level 3 securities

174.9

Note: The table was updated to agree with the current year presentation and to reflect the purchase of a nonredeemable preferred stock security in the second quarter 2020 that was subject to an automatic conversion to common stock during third quarter 2020.

Quantitative Information about Level 3 Fair Value Measurements

($ in millions)

Fair Value at Dec. 31, 2021

Valuation Technique

Unobservable Input

Range of Input Values Increase (Decrease)

Weighted Average Increase (Decrease)

Equity securities:

Nonredeemable preferred stocks

110.8

Market comparables

Weighted average market capitalization price change %

(20.2)% to (2.3)%

(7.7)%

Subtotal Level 3 securities

110.8

Pricing exemption securities

16.9

Total Level 3 securities

127.7