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Fair Value Measurements (Tables)

6 Months Ended

Jun. 30, 2021

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 Sheets at June 30, 2021 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	$	137.9	$	384.4	$	—	$	—	$	522.3
States and Political Subdivisions	—		1,805.8		—		—		1,805.8
Foreign Governments	—		5.1		—		—		5.1
Corporate Securities:
Bonds and Notes	—		4,066.2		409.2		—		4,475.4
Redeemable Preferred Stock	—		1.3		6.2		—		7.5
Collateralized Loan Obligations	—		742.4		27.8		—		770.2
Other Mortgage and Asset-backed	—		230.5		18.2		—		248.7
Total Investments in Fixed Maturities	137.9		7,235.7		461.4		—		7,835.0
Equity Securities at Fair Value:
Preferred Stocks:
Finance, Insurance and Real Estate	—		34.8		—		—		34.8
Other Industries	—		15.9		1.7		—		17.6
Common Stocks:
Finance, Insurance and Real Estate	20.0		—		1.7		—		21.7
Other Industries	2.8		0.1				—		2.9
Other Equity Interests:
Exchange Traded Funds	564.3		—		—		—		564.3
Limited Liability Companies and Limited Partnerships	—		—		—		316.4		316.4
Total Investments in Equity Securities at Fair Value	587.1		50.8		3.4		316.4		957.7






Convertible Securities at Fair Value	—		43.6		—		—		43.6


Total	$	725.0	$	7,330.1	$	464.8	$	316.4	$	8,836.3

The valuation of assets measured at fair value in the Company’s Consolidated Balance Sheets at December 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	$	134.0	$	451.3	$	—	$	—	$	585.3
States and Political Subdivisions	—		1,589.5		—		—		1,589.5
Foreign Governments	—		5.2		—		—		5.2
Corporate Securities:
Bonds and Notes	—		3,992.4		433.0		—		4,425.4
Redeemable Preferred Stocks	—		1.3		6.2		—		7.5
Collateralized Loan Obligations	—		767.7		—		—		767.7
Other Mortgage and Asset-backed	—		215.3		10.0		—		225.3
Total Investments in Fixed Maturities	134.0		7,022.7		449.2		—		7,605.9
Equity Securities at Fair Value:
Preferred Stocks:
Finance, Insurance and Real Estate	—		43.7		—		—		43.7
Other Industries	—		15.4		—		—		15.4
Common Stocks:

Finance, Insurance and Real Estate	8.7		1.7		—		—		10.4
Other Industries	0.4		—		—		—		0.4
Other Equity Interests:
Exchange Traded Funds	496.4		—		—		—		496.4
Limited Liability Companies and Limited Partnerships	—		—		—		292.2		292.2
Total Investments in Equity Securities at Fair Value	505.5		60.8		—		292.2		858.5


Other Investments:

Convertible Securities at Fair Value	—		39.9		—		—		39.9


Total	$	639.5	$	7,123.4	$	449.2	$	292.2	$	8,504.3

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 June 30, 2021.


(Dollars in Millions)	Unobservable Input	Total Fair Value		Range of Unobservable Inputs				Weighted-average Yield
Investment-grade	Market Yield	$	263.7	0.9	%	9.4	%	3.2	%
Non-investment-grade:
Senior Debt	Market Yield	60.3		1.6		19.0		6.7
Junior Debt	Market Yield	68.6		6.0		26.5		14.7

Other	Various	68.8
Total Level 3 Fixed Maturity Investments		$	461.4


(Dollars in Millions)	Unobservable Input	Total Fair Value		Range of Unobservable Inputs				Weighted-average Yield
Investment-grade	Market Yield	$	246.7	1.4	%	13.0	%	3.8	%
Non-investment-grade:
Senior Debt	Market Yield	111.1		2.4		23.4		9.5
Junior Debt	Market Yield	64.6		3.1		27.9		13.7
Other	Various	26.8
Total Level 3 Fixed Maturity Investments		$	449.2

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 six months ended June 30, 2021 is presented below.


	Fixed Maturities						Equity Securities
(Dollars in Millions)	Corporate Bonds and Notes		Redeemable Preferred Stocks		Collateralized Loan Obligations		Other Mortgage- and Asset- backed		Preferred and Common Stocks		Total
Balance at Beginning of Year	$	433.0	$	6.2	$	—	$	10.0	$	—	$	449.2
Total Gains (Losses):
Included in Condensed Consolidated Statement of Income	—		—		—		—		—		—
Included in Other Comprehensive Income (Loss)	0.8		—		0.1		(0.5)		—		0.4
Purchases	39.5		—		17.7		9.0		1.7		67.9
Settlements	—		—		—		(0.1)		—		(0.1)
Sales	(66.0)		—		—		(0.2)		—		(66.2)
Transfers into Level 3	2.5		—		10.0		—		1.7		14.2
Transfers out of Level 3	(0.6)		—		—		—		—		(0.6)
Balance at End of Period	$	409.2	$	6.2	$	27.8	$	18.2	$	3.4	$	464.8

The transfers into and out of Level 3 were due 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 June 30, 2021 is presented below.


	Fixed Maturities						Equity Securities
(Dollars in Millions)	Corporate Bonds and Notes		Redeemable Preferred Stocks		Collateralized Loan Obligations		Other Mortgage- and Asset- backed		Preferred and Common Stocks		Total
Balance at Beginning of Period	$	414.5	$	5.7	$	—	$	9.0	$	—	$	429.2
Total Gains (Losses):
Included in Condensed Consolidated Statement of Income	1.1		—		—		—		—		1.1
Included in Other Comprehensive Income (Loss)	4.5		0.5		0.1		0.3		—		5.4
Purchases	21.7		—		17.7		9.0		1.7		50.1
Settlements	—		—		—		(0.1)		—		(0.1)
Sales	(35.1)		—		—		—		—		(35.1)
Transfers into Level 3	2.5		—		10.0		—		1.7		14.2
Transfers out of Level 3	—		—		—		—		—		—
Balance at End of Period	$	409.2	$	6.2	$	27.8	$	18.2	$	3.4	$	464.8

Note 7 - Fair Value Measurements (continued)

Information by security type pertaining to the changes in the fair value of the Company’s investments classified as Level 3 for the six months ended June 30, 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 Year	$	409.1	$	—	$	6.7	$	618.2	$	10.2	$	1,044.2
Total Gains (Losses):
Included in Condensed Consolidated Statement of Income	(5.0)		—		—		(0.3)		—		(5.3)
Included in Other Comprehensive Income (Loss)	(6.1)		0.1		(0.1)		(9.4)		0.4		(15.1)
Purchases	80.6		0.6		—		53.5		—		134.7
Settlements	—		—		—		—		(0.1)		(0.1)
Sales	(33.7)		—		—		(26.4)		(0.2)		(60.3)
Transfers into Level 3	7.4		—		—		—		—		7.4
Transfers out of Level 3	—		(0.7)		(1.2)		(635.6)		—		(637.5)
Balance at End of Period	$	452.3	$	—	$	5.4	$	—	$	10.3	$	468.0

The transfers into and out of Level 3 were due to changes in the availability of market observable inputs.

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 June 30, 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	$	390.6	$	0.7	$	6.7	$	77.9	$	9.4	$	485.3
Total Gains (Losses):
Included in Condensed Consolidated Statement of Income	(2.3)		—		—		—		—		(2.3)
Included in Other Comprehensive Income (Loss)	18.7		—		(0.1)		0.1		1.0		19.7
Purchases	53.4		—		—		(0.1)		—		53.3
Settlements	—		—		—		—		(0.1)		(0.1)
Sales	(15.5)		—		—		—		—		(15.5)
Transfers into Level 3	7.4		—		—		—		—		7.4
Transfers out of Level 3	—		(0.7)		(1.2)		(77.9)		—		(79.8)
Balance at End of Period	$	452.3	$	—	$	5.4	$	—	$	10.3	$	468.0

Fair Value, by Balance Sheet Grouping

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


	June 30, 2021				December 31, 2020
(Dollars in Millions)	Carrying Value		Fair Value		Carrying Value		Fair Value
Financial Assets:
Loans to Policyholders	$	291.7	$	291.7	$	297.9	$	297.9
Short-term Investments	370.6		370.6		875.4		875.4
Mortgage Loans	85.7		85.7		54.6		54.6
Company-Owned Life Insurance	433.5		433.5		$	327.4	$	327.4
Equity Securities at Modified Cost	32.5		35.4		40.1		40.1
Financial Liabilities:
Long-term Debt	$	1,122.3	$	1,175.6	$	1,172.8	$	1,247.8
Policyholder Obligations	382.8		382.8		407.8		407.8

- 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