Fair Value Measurements (Tables)

6 Months Ended

12 Months Ended

Jun. 30, 2023

Jun. 30, 2022

Dec. 31, 2022

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

The valuation of assets and liabilities measured at fair value in Company’s Condensed Consolidated Balance Sheets at June 30, 2023 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
Assets:
Fixed Maturities:
U.S. Government and Government Agencies and Authorities	$	120.0	$	425.5	$	—	$	—	$	545.5
States and Political Subdivisions	—		1,461.0		—		—		1,461.0
Foreign Governments	—		4.0		—		—		4.0
Corporate Securities:
Bonds and Notes	—		3,446.0		187.4		—		3,633.4
Redeemable Preferred Stock	—		1.2		6.7		—		7.9
Collateralized Loan Obligations	—		987.2		—		—		987.2
Other Mortgage and Asset-backed	—		299.6		5.2		—		304.8
Total Investments in Fixed Maturities	120.0		6,624.5		199.3		—		6,943.8
Equity Securities at Fair Value:
Preferred Stocks:
Finance, Insurance and Real Estate	—		30.0		—		—		30.0
Other Industries	—		9.5		1.8		—		11.3
Common Stocks:
Finance, Insurance and Real Estate	0.6		—		—		—		0.6
Other Industries	0.4		—		0.4		—		0.8
Other Equity Interests:
Exchange Traded Funds	7.3		—		—		—		7.3
Limited Liability Companies and Limited Partnerships	—		—		—		197.0		197.0
Total Investments in Equity Securities at Fair Value	8.3		39.5		2.2		197.0		247.0


Other Investments:
Convertible Securities at Fair Value	—		46.2		—		—		46.2
Other Assets:

Derivative Instrument Not Designated as Hedges	—		3.2		—		—		3.2


Total Assets	$	128.3	$	6,713.4	$	201.5	$	197.0	$	7,240.2

The valuation of assets measured at fair value in the Company’s Consolidated Balance Sheets at December 31, 2022 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
Assets:
Fixed Maturities:
U.S. Government and Government Agencies and Authorities	$	103.6	$	424.4	$	—	$	—	$	528.0
States and Political Subdivisions	—		1,568.9		—		—		1,568.9
Foreign Governments	—		4.1		—		—		4.1
Corporate Securities:
Bonds and Notes	—		3,323.4		216.0		—		3,539.4
Redeemable Preferred Stocks	—		1.2		6.8		—		8.0
Collateralized Loan Obligations	—		953.9		—		—		953.9
Other Mortgage and Asset-backed	—		287.4		5.1		—		292.5
Total Investments in Fixed Maturities	103.6		6,563.3		227.9		—		6,894.8
Equity Securities at Fair Value:
Preferred Stocks:
Finance, Insurance and Real Estate	—		29.0		—		—		29.0
Other Industries	—		9.2		1.6		—		10.8
Common Stocks:

Finance, Insurance and Real Estate	0.9		—		—		—		0.9
Other Industries	0.3		0.4		0.5		—		1.2
Other Equity Interests:
Exchange Traded Funds	12.2		—		—		—		12.2
Limited Liability Companies and Limited Partnerships	—		—		—		189.1		189.1
Total Investments in Equity Securities at Fair Value	13.4		38.6		2.1		189.1		243.2
Other Investments:
Convertible Securities at Fair Value	—		43.3		—		—		43.3


Other Assets:

Derivative Instruments Not Designated as Hedges	—		1.7		—		—		1.7


Total Assets	$	117.0	$	6,646.9	$	230.0	$	189.1	$	7,183.0
Liabilities:
Accrued Expenses and Other Liabilities:
Derivative Instruments Designated as Fair Value Hedges	$	—	$	(0.4)	$	—	$	—	$	(0.4)
Total Liabilities	$	—	$	(0.4)	$	—	$	—	$	(0.4)

Note 11 - Fair Value Measurements (Continued)

The Company’s investments in Fixed Maturities that are classified as Level 1 primarily consist of U.S. Treasury Bonds and Notes. The Company’s investments in Equity Securities at Fair Value that are classified as Level 1 consist of either investments in publicly-traded common stocks or exchange traded funds. The Company’s investments in Fixed Maturities that are classified as Level 2 primarily consist of investments in corporate bonds, obligations of states and political subdivisions, collateralized loan obligations, and mortgage-backed securities of U.S. government agencies. The Company’s investments in Equity Securities at Fair Value that are classified as Level 2 primarily consist of investments in preferred stocks. The Company’s Derivative Instruments Designated as Fair Value Hedges that are classified as Level 2 primarily consist of hedges against the Company’s available for sale debt securities portfolio. The Company uses a leading, nationally recognized provider of market data and analytics to price the vast majority of the Company’s Level 2 measurements. The provider utilizes evaluated pricing models that vary by asset class and incorporate available trade, bid and other market information. Because many fixed maturity securities do not trade on a daily basis, the provider’s evaluated pricing applications apply available information through processes such as benchmark curves, benchmarking of like securities, sector groupings and matrix pricing to prepare evaluations. In addition, the provider uses model processes to develop prepayment and interest rate scenarios. The pricing provider’s models and processes also take into account market convention. For each asset class, teams of its evaluators gather information from market sources and integrate relevant credit information, perceived market movements and sector news into the evaluated pricing applications and models. The Company generally validates the measurements obtained from its primary pricing provider by comparing them with measurements obtained from one additional pricing provider that provides either prices from recent market transactions, quotes in inactive markets or evaluations based on its own proprietary models.

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, 2023.


(Dollars in Millions)	Unobservable Input	Total Fair Value		Range of Unobservable Inputs					Weighted-average Yield
Investment-grade	Market Yield	$	57.4	4.2	%	-	14.3	%	10.0	%
Non-investment-grade:
Senior Debt	Market Yield	47.8		6.3		-	39.9		15.3
Junior Debt	Market Yield	33.2		6.3		-	22.5		19.4

Other	Various	60.9
Total Level 3 Fixed Maturity Investments		$	199.3


(Dollars in Millions)	Unobservable Input	Total Fair Value		Range of Unobservable Inputs					Weighted-average Yield
Investment-grade	Market Yield	$	56.5	4.6	%	-	14.5	%	9.2	%
Non-investment-grade:
Senior Debt	Market Yield	72.9		4.6		-	36.7		10.9
Junior Debt	Market Yield	42.1		8.8		-	22.5		15.1
Other	Various	56.4
Total Level 3 Fixed Maturity Investments		$	227.9

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, 2023 is presented below.


	Fixed Maturities				Equity Securities
(Dollars in Millions)	Corporate Bonds and Notes		Redeemable Preferred Stocks			Other Mortgage- and Asset- backed		Preferred and Common Stocks		Total
Balance at Beginning of Year	$	216.0	$	6.8		$	5.1	$	2.1	$	230.0
Total Gains (Losses):
Included in Condensed Consolidated Statements of Loss	0.5		—			—		(1.4)		(0.9)
Included in Other Comprehensive Income	2.4		(0.1)			0.1		—		2.4
Purchases	37.9		—			—		1.1		39.0
Settlements	—		—			—		—		—
Sales	(69.3)		—			—		—		(69.3)
Transfers into Level 3	—		—			—		0.4		0.4
Transfers out of Level 3	(0.1)		—			—		—		(0.1)
Balance at End of Period	$	187.4	$	6.7		$	5.2	$	2.2	$	201.5

The transfers into and out of Level 3 were due primarily 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, 2023 is presented below.


	Fixed Maturities				Equity Securities
(Dollars in Millions)	Corporate Bonds and Notes		Redeemable Preferred Stocks			Other Mortgage- and Asset- backed		Preferred and Common Stocks		Total
Balance at Beginning of Period	$	196.1	$	6.8		$	5.3	$	2.0	$	210.2
Total Gains (Losses):
Included in Condensed Consolidated Statements of Loss	0.1		—			—		(0.9)		(0.8)
Included in Other Comprehensive Loss	0.9		(0.1)			(0.1)		—		0.7
Purchases	18.5		—			—		1.1		19.6
Settlements	—		—			—		—		—
Sales	(28.1)		—			—		—		(28.1)
Transfers into Level 3	—		—			—		—		—
Transfers out of Level 3	(0.1)		—			—		—		(0.1)
Balance at End of Period	$	187.4	$	6.7		$	5.2	$	2.2	$	201.5

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

Note 11 - 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, 2022 is presented below.


	Fixed Maturities				Equity Securities
(Dollars in Millions)	Corporate Bonds and Notes		Redeemable Preferred Stocks			Other Mortgage- and Asset- backed		Preferred and Common Stocks		Total
Balance at Beginning of Year	$	236.8	$	6.1		$	7.0	$	1.5	$	251.4
Total (Losses) Gains:
Included in Condensed Consolidated Statements of Loss	(5.9)		—			—		—		(5.9)
Included in Other Comprehensive Loss	(9.4)		(1.2)			(1.4)		0.2		(11.8)
Purchases	21.6		2.0			—		—		23.6
Settlements	—		—			—		—		—
Sales	(65.6)		—			—		—		(65.6)
Transfers into Level 3	5.3		—			—		—		5.3
Transfers out of Level 3	(5.7)		—			—		—		(5.7)
Balance at End of Period	$	177.1	$	6.9		$	5.6	$	1.7	$	191.3

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, 2022 is presented below.


	Fixed Maturities				Equity Securities
(Dollars in Millions)	Corporate Bonds and Notes		Redeemable Preferred Stocks			Other Mortgage- and Asset- backed		Preferred and Common Stocks		Total
Balance at Beginning of Period	$	205.6	$	5.6		$	6.2	$	1.5	$	218.9
Total (Losses) Gains:
Included in Condensed Consolidated Statements of Loss	(0.2)		—			—		—		(0.2)
Included in Other Comprehensive Loss	(7.7)		(0.7)			(0.6)		0.2		(8.8)
Purchases	7.9		2.0			—		—		9.9
Settlements	—		—			—		—		—
Sales	(22.8)		—			—		—		(22.8)
Transfers into Level 3	—		—			—		—		—
Transfers out of Level 3	(5.7)		—			—		—		(5.7)
Balance at End of Period	$	177.1	$	6.9		$	5.6	$	1.7	$	191.3

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, 2023				December 31, 2022
(Dollars in Millions)	Carrying Value		Fair Value		Carrying Value		Fair Value
Financial Assets:
Loans to Policyholders	$	281.6	$	281.6	$	283.4	$	283.4
Short-term Investments	406.3		406.3		278.4		278.4
Mortgage Loans	92.6		92.6		91.1		91.1
Company-Owned Life Insurance	500.5		500.5		586.5		586.5
Equity Securities at Modified Cost	34.7		34.7		38.4		38.4
Financial Liabilities:
Long-term Debt	$	1,388.1	$	1,183.5	$	1,386.9	$	1,195.1
Policyholder Obligations	601.0		601.0		601.0		601.0