Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 2020

Fair Value Disclosures [Abstract]

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

The valuation of assets measured at fair value in Company’s Condensed Consolidated Balance Sheet at March 31, 2020 is summarized below.

	Fair Value Measurements
(Dollars in Millions)	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		Total Fair Value
Fixed Maturities:
U.S. Government and Government Agencies and Authorities	$	151.3	$	609.3	$	—	$	—	$	760.6
States and Political Subdivisions	—		1,528.3		0.7		—		1,529.0
Foreign Governments	—		5.0		—		—		5.0
Corporate Securities:
Bonds and Notes	—		3,543.4		390.6		—		3,934.0
Redeemable Preferred Stock	—		—		6.7		—		6.7
Collateralized Loan Obligations	—		515.6		77.9		—		593.5
Other Mortgage- and Asset-backed	—		160.3		9.4		—		169.7
Total Investments in Fixed Maturities	151.3		6,361.9		485.3		—		6,998.5
Equity Securities at Fair Value:
Preferred Stocks:
Finance, Insurance and Real Estate	—		38.6		—		—		38.6
Other Industries	0.8		11.4		—		—		12.2
Common Stocks:
Finance, Insurance and Real Estate	9.0		—		—		—		9.0
Other Industries	0.1		0.1		—		—		0.2
Other Equity Interests:
Exchange Traded Funds	374.7		—		—		—		374.7
Limited Liability Companies and Limited Partnerships	—		—		—		275.1		275.1
Total Investments in Equity Securities at Fair Value	384.6		50.1		—		275.1		709.8
Convertible Securities at Fair Value	—		32.8		—		—		32.8
Total	$	535.9	$	6,444.8	$	485.3	$	275.1	$	7,741.1

The valuation of assets measured at fair value in the Company’s Consolidated Balance Sheet at December 31, 2019 is summarized below.

	Fair Value Measurements
(Dollars in Millions)	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		Total Fair Value
Fixed Maturities:
U.S. Government and Government Agencies and Authorities	$	144.3	$	671.6	$	—	$	—	$	815.9
States and Political Subdivisions	—		1,515.8		—		—		1,515.8
Foreign Governments	—		16.8		—		—		16.8
Corporate Securities:
Bonds and Notes	—		3,450.6		409.1		—		3,859.7
Redeemable Preferred Stocks	—		—		6.7		—		6.7
Collateralized Loan Obligations	—		—		618.2		—		618.2
Other Mortgage- and Asset-backed	—		78.8		10.2		—		89.0
Total Investments in Fixed Maturities	144.3		5,733.6		1,044.2		—		6,922.1
Equity Securities at Fair Value:
Preferred Stocks:
Finance, Insurance and Real Estate	—		44.5		—		—		44.5
Other Industries	0.9		13.8		—		—		14.7
Common Stocks:
Finance, Insurance and Real Estate	12.8		—		—		—		12.8
Other Industries	0.2		0.2		—		—		0.4
Other Equity Interests:
Exchange Traded Funds	586.8		—		—		—		586.8
Limited Liability Companies and Limited Partnerships	—		—		—		248.1		248.1
Total Investments in Equity Securities at Fair Value	600.7		58.5		—		248.1		907.3
Convertible Securities at Fair Value	—		37.3		—		—		37.3
Total	$	745.0	$	5,829.4	$	1,044.2	$	248.1	$	7,866.7

Fair Value Measurement Inputs and Valuation Techniques

The table below presents quantitative information about the significant unobservable inputs utilized by the Company in determining fair values for fixed maturity investments classified as Level 3 at December 31, 2019.

(Dollars in Millions)	Unobservable Input	Total Fair Value		Range of Unobservable Inputs					Weighted-average Yield
Investment-grade	Market Yield	$	204.2	2.4	%	-	8.5	%	4.1	%
Non-investment-grade:
Senior Debt	Market Yield	123.7		2.4		-	21.5		9.1
Junior Debt	Market Yield	81.3		9.6		-	18.0		13.1
Collateralized Loan Obligations (investment grade and non-investment grade)	Market Yield	613.5		3.2		-	12.5		5.1
Other	Various	21.5
Total Level 3 Fixed Maturity Investments		$	1,044.2

The table below presents quantitative information about the significant unobservable inputs utilized by the Company in determining fair values for fixed maturity investments classified as Level 3 at March 31, 2020.

(Dollars in Millions)	Unobservable Input	Total Fair Value		Range of Unobservable Inputs					Weighted-average Yield
Investment-grade	Market Yield	$	186.0	2.4	%	-	10.0	%	4.3	%
Non-investment-grade:
Senior Debt	Market Yield	118.0		2.4		-	20.3		10.9
Junior Debt	Market Yield	77.5		8.9		-	20.5		14.6
Collateralized Loan Obligations (investment grade and non-investment grade)	Market Yield	77.9		2.9		-	20.1		7.3
Other	Various	25.9
Total Level 3 Fixed Maturity Investments		$	485.3

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 three months ended March 31, 2020 is presented below.

	Fixed Maturities
(Dollars in Millions)	Corporate Bonds and Notes			States and Political Sub- divisions		Redeemable Preferred Stocks		Collateralized Loan Obligations			Other Mortgage- and Asset- backed			Total
Balance at Beginning of Period	$	409.1		$	—	$	6.7	$	618.2		$	10.2		$	1,044.2
Total Gains (Losses):
Included in Condensed Consolidated Statement of Income	(2.7		)	—		—		(0.3		)	—			(3.0		)
Included in Other Comprehensive Income (Loss)	(24.8		)	0.1		—		(9.5		)	(0.6		)	(34.8		)
Purchases	27.2			0.6		—		53.6			—			81.4
Settlements	—			—		—		—			—			—
Sales	(18.2		)	—		—		(26.4		)	(0.2		)	(44.8		)
Transfers into Level 3	—			—		—		—			—			—
Transfers out of Level 3	—			—		—		(557.7		)	—			(557.7		)
Balance at End of Period	$	390.6		$	0.7	$	6.7	$	77.9		$	9.4		$	485.3

There was $557.7 million in transfers out of Level 3 for the three months ended March 31, 2020. The transfers out of Level 3 were due to primarily to changes in the availability of market observable inputs due to change in pricing provider.

Information by security type pertaining to the changes in the fair value of the Company’s investments classified as Level 3 for the three months ended March 31, 2019 is presented below.

	Fixed Maturities
(Dollars in Millions)	Corporate Bonds and Notes			Collateralized Loan Obligations			Other Mortgage- and Asset- backed			Total
Balance at Beginning of Period	$	382.6		$	504.9		$	9.9		$	897.4
Total Gains (Losses):
Included in Condensed Consolidated Statement of Income	(2.5		)	(0.3		)	—			(2.8		)
Included in Other Comprehensive Income (Loss)	5.4			6.0			0.5			11.9
Purchases	101.3			3.9			—			105.2
Settlements	(11.5		)	—			(0.1		)	(11.6		)
Sales	(65.9		)	—			—			(65.9		)
Transfers into Level 3	2.5			14.0			—			16.5
Transfers out of Level 3	—			—			—			—
Balance at End of Period	$	411.9		$	528.5		$	10.3		$	950.7

There were no transfers out of Level 3 were for the three months ended March 31, 2019. The transfers into Level 3 were due to changes in the availability of market observable inputs.

Fair Value, by Balance Sheet Grouping

Presented below are the carrying values and fair value estimates of financial instruments not carried at fair value.

	March 31, 2020				December 31, 2019
(Dollars in Millions)	Carrying Value		Fair Value		Carrying Value		Fair Value
Financial Assets:
Loans to Policyholders	$	307.1	$	734.8	$	305.6	$	612.4
Short-term Investments	166.7		166.7		470.9		470.9
Mortgage Loans	24.1		24.1		27.5		27.5
Financial Liabilities:
Debt	$	778.1	$	779.7	$	778.4	$	820.2
Policyholder Contract Liabilities	364.2		364.2		243.4		243.4