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Fair Value (Tables)

9 Months Ended

Sep. 30, 2024

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
September 30, 2024
Fixed maturities:
U.S. government obligations	$	44,428.5	$	0	$	0	$	44,428.5	$	44,231.3
State and local government obligations	0		2,601.4		0		2,601.4		2,681.0
Foreign government obligations	0		16.4		0		16.4		16.9
Corporate and other debt securities	0		15,032.5		3.0		15,035.5		14,969.8
Subtotal	44,428.5		17,650.3		3.0		62,081.8		61,899.0
Asset-backed securities:
Residential mortgage-backed	0		1,423.9		0		1,423.9		1,403.5
Commercial mortgage-backed	0		4,291.6		0		4,291.6		4,664.4
Other asset-backed	0		6,613.9		0		6,613.9		6,628.3
Subtotal asset-backed securities	0		12,329.4		0		12,329.4		12,696.2





Total fixed maturities	44,428.5		29,979.7		3.0		74,411.2		74,595.2
Short-term investments	754.8		1.7		0		756.5		756.5
Total available-for-sale securities	45,183.3		29,981.4		3.0		75,167.7		75,351.7
Equity securities:

Nonredeemable preferred stocks	0		683.1		51.9		735.0		759.7



Common equities:
Common stocks	3,452.0		0		22.5		3,474.5		711.0
Other risk investments	0		0		22.5		22.5		22.5
Subtotal common equities	3,452.0		0		45.0		3,497.0		733.5
Total equity securities	3,452.0		683.1		96.9		4,232.0		1,493.2
Total portfolio	$	48,635.3	$	30,664.5	$	99.9	$	79,399.7	$	76,844.9
Debt	$	0	$	6,498.3	$	0	$	6,498.3	$	6,891.8


	Fair Value
(millions)	Level 1		Level 2		Level 3		Total		Cost
September 30, 2023
Fixed maturities:
U.S. government obligations	$	34,293.8	$	0	$	0	$	34,293.8	$	36,392.2
State and local government obligations	0		2,054.3		0		2,054.3		2,257.6
Foreign government obligations	0		15.4		0		15.4		16.9
Corporate and other debt securities	0		10,421.3		0		10,421.3		11,069.8
Subtotal	34,293.8		12,491.0		0		46,784.8		49,736.5
Asset-backed securities:
Residential mortgage-backed	0		515.8		0		515.8		530.4
Commercial mortgage-backed	0		3,977.7		0		3,977.7		4,699.5
Other asset-backed	0		5,313.6		0		5,313.6		5,524.2
Subtotal asset-backed securities	0		9,807.1		0		9,807.1		10,754.1





Total fixed maturities	34,293.8		22,298.1		0		56,591.9		60,490.6
Short-term investments	1,763.2		32.0		0		1,795.2		1,795.2
Total available-for-sale securities	36,057.0		22,330.1		0		58,387.1		62,285.8
Equity securities:

Nonredeemable preferred stocks	0		805.2		63.7		868.9		976.9



Common equities:
Common stocks	2,573.6		0		18.3		2,591.9		640.0
Other risk investments	0		0		22.6		22.6		22.6
Subtotal common equities	2,573.6		0		40.9		2,614.5		662.6
Total equity securities	2,573.6		805.2		104.6		3,483.4		1,639.5
Total portfolio	$	38,630.6	$	23,135.3	$	104.6	$	61,870.5	$	63,925.3
Debt	$	0	$	5,932.1	$	0	$	5,932.1	$	6,887.6


	Fair Value
(millions)	Level 1		Level 2		Level 3		Total		Cost
December 31, 2023
Fixed maturities:
U.S. government obligations	$	36,869.4	$	0	$	0	$	36,869.4	$	37,823.2
State and local government obligations	0		2,202.8		0		2,202.8		2,338.4
Foreign government obligations	0		16.3		0		16.3		17.3
Corporate and other debt securities	0		11,354.4		3.0		11,357.4		11,633.7
Subtotal	36,869.4		13,573.5		3.0		50,445.9		51,812.6
Asset-backed securities:
Residential mortgage-backed	0		417.2		0		417.2		426.9
Commercial mortgage-backed	0		3,939.7		0		3,939.7		4,535.2
Other asset-backed	0		5,575.4		0		5,575.4		5,667.2
Subtotal asset-backed securities	0		9,932.3		0		9,932.3		10,629.3





Total fixed maturities	36,869.4		23,505.8		3.0		60,378.2		62,441.9
Short-term investments	1,757.0		32.9		0		1,789.9		1,789.9
Total available-for-sale securities	38,626.4		23,538.7		3.0		62,168.1		64,231.8
Equity securities:

Nonredeemable preferred stocks	0		838.1		64.0		902.1		977.1



Common equities:
Common stocks	2,885.3		0		22.5		2,907.8		685.4
Other risk investments	0		0		20.6		20.6		20.6
Subtotal common equities	2,885.3		0		43.1		2,928.4		706.0
Total equity securities	2,885.3		838.1		107.1		3,830.5		1,683.1
Total portfolio	$	41,511.7	$	24,376.8	$	110.1	$	65,998.6	$	65,914.9
Debt	$	0	$	6,431.3	$	0	$	6,431.3	$	6,888.6

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 nine months ended September 30, 2024 and 2023:


	Level 3 Fair Value
(millions)	Fair Value at June 30, 2024		Calls/ Maturities/ Paydowns/Other		Purchases		Sales		Net Realized (Gain)/Loss on Sales		Change in Valuation1		Net Transfers In (Out)		Fair Value at September 30, 2024
Fixed maturities:
Corporate and other debt securities	$	3.0	$	0	$	0	$	0	$	0	$	0	$	0	$	3.0
Equity securities:

Nonredeemable preferred stocks	51.9		0		0		0		0		0		0		51.9

Common equities:
Common stocks	22.5		0		0		0		0		0		0		22.5
Other risk investments	23.9		(1.4)		0		0		0		0		0		22.5
Total Level 3 securities	$	101.3	$	(1.4)	$	0	$	0	$	0	$	0	$	0	$	99.9





	Level 3 Fair Value
(millions)	Fair Value at June 30, 2023		Calls/ Maturities/ Paydowns/Other		Purchases		Sales		Net Realized (Gain)/Loss on Sales		Change in Valuation1		Net Transfers In (Out)		Fair Value at September 30, 2023
Equity securities:

Nonredeemable preferred stocks	$	71.8	$	(8.1)	$	0	$	0	$	0	$	0	$	0	$	63.7

Common equities:
Common stocks	18.3		8.1		0		(10.0)		8.9		(7.0)		0		18.3
Other risk investments	21.9		0.7		0		0		0		0		0		22.6
Total Level 3 securities	$	112.0	$	0.7	$	0	$	(10.0)	$	8.9	$	(7.0)	$	0	$	104.6


	Level 3 Fair Value
(millions)	Fair Value at December 31, 2023		Calls/ Maturities/ Paydowns/Other		Purchases		Sales		Net Realized (Gain)/Loss on Sales		Change in Valuation1		Net Transfers In (Out)		Fair Value at September 30, 2024
Fixed maturities:
Corporate and other debt securities	$	3.0	$	0	$	0	$	0	$	0	$	0	$	0	$	3.0
Equity securities:

Nonredeemable preferred stocks	64.0		0		0		0		0		(12.1)		0		51.9

Common equities:
Common stocks	22.5		0		0		0		0		0		0		22.5
Other risk investments	20.6		1.9		0		0		0		0		0		22.5
Total Level 3 securities	$	110.1	$	1.9	$	0	$	0	$	0	$	(12.1)	$	0	$	99.9








	Level 3 Fair Value
(millions)	Fair Value at December 31, 2022		Calls/ Maturities/ Paydowns/Other		Purchases		Sales		Net Realized (Gain)/Loss on Sales		Change in Valuation1		Net Transfers In (Out)		Fair Value at September 30, 2023
Equity securities:
Nonredeemable preferred stocks	$	83.8	$	(8.1)	$	0	$	0	$	0	$	(12.0)	$	0	$	63.7

Common equities:
Common stocks	18.3		8.1		0		(10.0)		8.9		(7.0)		0		18.3
Other risk investments	19.8		2.8		0		0		0		0		0		22.6
Total Level 3 securities	$	121.9	$	2.8	$	0	$	(10.0)	$	8.9	$	(19.0)	$	0	$	104.6

1 For fixed maturities, amounts included are unrealized gains (losses) included in accumulated other comprehensive income (loss) on our consolidated balance sheets. For equity securities, amounts included are net holding period gains (losses) on securities on our consolidated statements of comprehensive income.

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 September 30, 2024 and 2023, and December 31, 2023:

Quantitative Information about Level 3 Fair Value Measurements

($ in millions)

Fair Value at September 30, 2024

Valuation Technique

Unobservable Input

Range of Input Values Increase (Decrease)

Weighted Average Increase (Decrease)

Fixed maturities:

Corporate and other debt securities

3.0

Market comparables

Weighted average market capitalization price change %

(3.1)% to 10.9%

2.6

Equity securities:

Nonredeemable preferred stocks

51.9

Market comparables

Weighted average market capitalization price change %

4.0% to 25.0%

18.1

Common stocks

22.5

Market comparables

Weighted average market capitalization price change %

(19.1)% to 69.6%

19.0

Subtotal Level 3 securities

77.4

Pricing exemption securities

22.5

Total Level 3 securities

99.9

Quantitative Information about Level 3 Fair Value Measurements

($ in millions)

Fair Value at September 30, 2023

Valuation Technique

Unobservable Input

Range of Input Values Increase (Decrease)

Weighted Average Increase (Decrease)

Equity securities:

Nonredeemable preferred stocks

63.7

Market comparables

Weighted average market capitalization price change %

(10.8)% to 4.5%

1.7

Common stocks

18.3

Market comparables

Weighted average market capitalization price change %

(37.4)% to 130.2%

(7.9)

Subtotal Level 3 securities

82.0

Pricing exemption securities

22.6

Total Level 3 securities

104.6

Quantitative Information about Level 3 Fair Value Measurements

($ in millions)

Fair Value at December 31, 2023

Valuation Technique

Unobservable Input

Range of Input Values Increase (Decrease)

Weighted Average Increase (Decrease)

Fixed maturities:

Corporate and other debt securities

3.0

Market comparables

Weighted average market capitalization price change %

0.3% to 7.7%

2.6

Equity securities:

Nonredeemable preferred stocks

64.0

Market comparables

Weighted average market capitalization price change %

17.2% to 39.7%

21.7

Common stocks

22.5

Market comparables

Weighted average market capitalization price change %

(45.8)% to 95.6%

39.7

Subtotal Level 3 securities

89.5

Pricing exemption securities

20.6

Total Level 3 securities

110.1

- 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.

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