Fair Value of Financial Instruments (Tables)

3 Months Ended

Mar. 31, 2020

Company's Investments within Fair Value Hierarchy

The following tables set forth the Company’s investments within the fair value hierarchy at March 31, 2020 and December 31, 2019:



($ millions)	Total		Level 1		Level 2
March 31, 2020
Available-for-sale fixed maturities:
U.S. treasury securities and obligations of U.S. government agencies	$	597.1	$	—	$	597.1
Obligations of states and political subdivisions	413.7		—		413.7
Corporate securities	467.9		—		467.9
U.S. government agencies mortgage-backed securities	649.6		—		649.6
Total available-for-sale fixed maturities	2,128.3		—		2,128.3
Equity securities:
Large-cap securities	86.9		86.9		—
Mutual and exchange traded funds	188.8		188.8		—
Total equity securities	275.7		275.7		—
Other invested assets	12.0		12.0		—
Total investments	$	2,416.0	$	287.7	$	2,128.3

($ millions)	Total		Level 1		Level 2
December 31, 2019
Available-for-sale fixed maturities:
U.S. treasury securities and obligations of U.S. government agencies	$	578.2	$	—	$	578.2
Obligations of states and political subdivisions	425.4		—		425.4
Corporate securities	471.8		—		471.8
U.S. government agencies mortgage-backed securities	652.5		—		652.5
Total available-for-sale fixed maturities	2,127.9		—		2,127.9
Equity securities:
Large-cap securities	104.4		104.4		—
Mutual and exchange traded funds	290.8		290.8		—
Total equity securities	395.2		395.2		—
Other invested assets	13.3		13.3		—
Total investments	$	2,536.4	$	408.5	$	2,127.9

Company Estimates Receivable from Affiliate using Market Quotations for U.S. Treasury Securities

Consequently this has been placed in Level 2 of the fair value hierarchy.



($ millions, except interest rates)	March 31, 2020						December 31, 2019
	Carrying value		Fair value		Interest rate		Carrying value		Fair value		Interest rate
Notes receivable from affiliate, May 2019	$	70.0	$	82.6	4.05	%	$	70.0	$	74.6	4.05	%

Included in Notes Payable are Senior Notes and Subordinated Debentures

The carrying amount of the Subordinated Debentures approximates its fair value as the interest rate adjusts quarterly and has been disclosed in Level 3.



($ millions, except interest rates)	March 31, 2020						December 31, 2019
	Carrying value		Fair Value		Interest rate		Carrying value		Fair value		Interest rate
FHLB Loan due 2021: issued $21.5, September 2016 with fixed interest	$	21.6	$	21.5	1.73	%	$	21.5	$	21.5	1.73	%
FHLB Loan due 2033: issued $85.0, May 2018 with fixed interest	85.3		100.0		3.96	%	85.3		97.8		3.96	%
FHLB REPO Based Advances due 2020:, issued $60.0, March 2020 with fixed interest	60.0		60.0		0.38	%	—		—		—	%
Affiliate Subordinated Debentures due 2033: issued $15.5, May 2003 with variable interest	15.2		15.2		5.78	%	15.2		15.2		6.11	%
Total notes payable	$	182.1	$	196.7			$	122.0	$	134.5