Fair Value Measurements (Tables)

12 Months Ended

Dec. 31, 2018

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis

The valuation of assets measured at fair value in the Company’s Consolidated Balance Sheet at December 31, 2018 is summarized below. The Company has no material liabilities that are measured and reported at fair value.



DOLLARS IN MILLIONS	Fair Value Measurements								Fair Value
	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
Fixed Maturities:
U.S. Government and Government Agencies and Authorities	$	156.5	$	709.2	$	—	—		$	865.7
States and Political Subdivisions	—		1,619.1		—		—		1,619.1
Foreign Governments	—		5.9		—		—		5.9
Corporate Securities:
Bonds and Notes	—		3,011.2		382.6		—		3,393.8
Collateralized Loan Obligations	—		19.1		504.9		—		524.0
Other Mortgage- and Asset-backed	—		5.8		9.9		—		15.7
Total Investments in Fixed Maturities	156.5		5,370.3		897.4		—		6,424.2
Equity Securities at Fair Value:
Preferred Stocks:
Finance, Insurance and Real Estate	—		41.2		—		—		41.2
Other Industries	—		13.0		—		—		13.0
Common Stocks:
Finance, Insurance and Real Estate	10.2		—		—		—		10.2
Other Industries	0.2		0.5		—		—		0.7
Other Equity Interests:
Exchange Traded Funds	427.3		—		—		—		427.3
Limited Liability Companies and Limited Partnerships	—		—		—		192.0		192.0
Total Investments in Equity Securities at Fair Value	437.7		54.7		—		192.0		684.4
Convertible Securities at Fair Value	—		31.5		—		—		31.5
Total	$	594.2	$	5,456.5	$	897.4	$	192.0	$	7,140.1

At December 31, 2018, the Company had unfunded commitments to invest an additional $148.2 million in certain limited liability investment companies and limited partnerships that will be included in Other Equity Interests when funded.

NOTE 22. FAIR VALUE MEASUREMENTS (Continued)

The valuation of assets measured at fair value in the Company’s Consolidated Balance Sheet at December 31, 2017 is summarized below.



DOLLARS IN MILLIONS	Fair Value Measurements									Fair Value
	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
Fixed Maturities:
U.S. Government and Government Agencies and Authorities	$	115.8	$	440.3		$	—	$	—	$	556.1
States and Political Subdivisions	—		1,701.8			—		—		1,701.8
Foreign Governments	—		3.2			—		—		3.2
Corporate Securities:
Bonds and Notes	—		2,579.1			401.5		—		2,980.6
Redeemable Preferred Stocks	—		—			0.1		—		0.1
Collateralized Loan Obligations	—		46.6			93.2		—		139.8
Other Mortgage- and Asset-backed	—		1.1			—		—		1.1
Total Investments in Fixed Maturities	115.8		4,772.1			494.8		—		5,382.7
Equity Securities:
Preferred Stocks:
Finance, Insurance and Real Estate	—		55.7			—		—		55.7
Other Industries	—		12.3			10.8		—		23.1
Common Stocks:
Finance, Insurance and Real Estate	7.0		0.1			—		—		7.1
Other Industries	0.7		0.4			16.6		—		17.7
Other Equity Interests:
Exchange Traded Funds	219.5		—			—		—		219.5
Limited Liability Companies and Limited Partnerships	—		—			34.4		168.5		202.9
Total Investments in Equity Securities	227.2		68.5			61.8		168.5		526.0
Fair Value Option Investments:
Limited Liability Companies and Limited Partnerships Hedge Funds	—		—			—		77.5		77.5
Other Investments:
Trading Securities	6.7		—			—		—		6.7
Other Liabilities:
Derivative Instrument Classified as Cash Flow Hedge	—		(0.8		)	—		—		(0.8		)
Total	$	349.7	$	4,839.8		$	556.6	$	246.0	$	5,992.1

Fair Value Inputs, Assets, Quantitative Information

The table below presents quantitative information about the significant unobservable inputs utilized by the Company in determining fair values for fixed maturity investments in corporate securities classified as Level 3 at December 31, 2018.



DOLLARS IN MILLIONS	Unobservable Input	Total Fair Value		Range of Unobservable Inputs					Weighted Average Yield
Investment-grade	Market Yield	$	146.7	3.7	%	-	10.9	%	5.2	%
Non-investment-grade:
Senior Debt	Market Yield	142.3		4.8		-	30.0		11.5
Junior Debt	Market Yield	87.6		11.0		-	28.5		14.2
Collateralized Loan Obligations (investment-grade and non-investment-grade)	Market Yield	504.9		4.1		-	13.4		6.1
Other	Various	15.9
Total Fixed Maturity Investments in Corporate Securities		$	897.4

NOTE 22. FAIR VALUE MEASUREMENTS (Continued)



DOLLARS IN MILLIONS	Unobservable Input	Total Fair Value		Range of Unobservable Inputs					Weighted Average Yield
Investment-grade	Market Yield	$	96.2	3.0	%	-	6.7	%	3.8	%
Non-investment-grade:
Senior Debt	Market Yield	138.1		4.5		-	15.7		10.0
Junior Debt	Market Yield	154.1		9.6		-	24.3		12.9
Collateralized Loan Obligations	Market Yield	93.2		4.3		-	10.6		7.8
Other	Various	13.2
Total Fixed Maturity Investments in Corporate Securities		$	494.8

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 year ended December 31, 2018 is presented below.



DOLLARS IN MILLIONS	Fixed Maturities															Equity Securities
DOLLARS IN MILLIONS	Corporate Bonds and Notes			States and Political Sub-divisions			Redeemable Preferred Stocks			Collateralized Loan Obligations			Other Mortgage- and Asset- backed			Preferred and Common Stocks			Other Equity Interests			Total
Balance at Beginning of Year	$	401.5		$	—		$	0.1		$	93.2		$	—		$	27.4		$	34.4		$	556.6
Total Gains (Losses):
Included in Consolidated Statements of Income	4.4			—			(0.1		)	2.7			—			—			—			7.0
Included in Other Comprehensive Income	(2.2		)	—			—			(16.3		)	0.1			—			—			(18.4		)
Purchases	201.8			1.8			—			449.7			10.0			—			—			663.3
Settlements	(108.1		)	—			—			(58.3		)	(0.2		)	—			—			(166.6		)
Sales	(109.5		)	—			—			—			—			—			—			(109.5		)
Transfers into Level 3	2.4			—			—			33.9			—			—			—			36.3
Transfers out of Level 3	(7.7		)	(1.8		)	—			—			—			(27.4		)	(34.4		)	(71.3		)
Balance at End of Year	$	382.6		$	—		$	—		$	504.9		$	9.9		$	—		$	—		$	897.4

Information by security type pertaining to the changes in the fair value of the Company’s investments classified as Level 3 for the year ended December 31, 2017 is presented below.



DOLLARS IN MILLIONS	Fixed Maturities														Equity Securities						Total
DOLLARS IN MILLIONS	Corporate Bonds and Notes			States and Political Sub-divisions			Redeemable Preferred Stocks			Collateralized Loan Obligations			Other Mortgage- and Asset- backed		Preferred and Common Stocks			Other Equity Interests			Total
Balance at Beginning of Year	$	403.2		$	3.8		$	0.6		$	103.5		$	—	$	29.7		$	40.9		$	581.7
Total Gains (Losses):
Included in Consolidated Statement of Income	(5.7		)	(1.2		)	0.1			1.5			—		1.4			4.0			0.1
Included in Other Comprehensive Income	4.9			0.1			(0.1		)	2.4			—		3.4			(4.8		)	5.9
Purchases	171.0			—			—			34.0			—		4.6			3.1			212.7
Settlements	(110.6		)	(2.6		)	(0.5		)	(33.5		)	—		—			—			(147.2		)
Sales	(40.8		)	—			—			(7.9		)	—		(8.2		)	(8.8		)	(65.7		)
Transfers into Level 3	8.1			1.4			—			5.0			—		—			—			14.5
Transfers out of Level 3	(28.6		)	(1.5		)	—			(11.8		)	—		(3.5		)	—			(45.4		)
Balance at End of Year	$	401.5		$	—		$	0.1		$	93.2		$	—	$	27.4		$	34.4		$	556.6

- 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.

+ References + Details