XML 47 R34.htm IDEA: XBRL DOCUMENT v3.22.4
Fair Value (Tables)
 12 Months Ended
Dec. 31, 2022
Fair Value Disclosures [Abstract]  
Fair Values of Financial Instruments

The estimated fair values of the financial instruments were as follows:

 

 

 

December 31, 2022

 

 

December 31, 2021

 

 

 

Carrying

 

 

Fair

 

 

Carrying

 

 

Fair

 

(in millions)

 

Value

 

 

Value

 

 

Value

 

 

Value

 

Financial Assets carried at:

 

 

 

 

 

 

 

 

 

 

 

 

Fair Value through AOCI:

 

 

 

 

 

 

 

 

 

 

 

 

Fixed maturities

 

$

7,481.8

 

 

$

7,481.8

 

 

$

7,723.9

 

 

$

7,723.9

 

Fair Value through Net Income:

 

 

 

 

 

 

 

 

 

 

 

 

Equity securities

 

 

241.9

 

 

 

241.9

 

 

 

661.3

 

 

 

661.3

 

Other investments

 

 

131.8

 

 

 

131.8

 

 

 

143.8

 

 

 

143.8

 

Amortized Cost/Cost:

 

 

 

 

 

 

 

 

 

 

 

 

Other investments

 

 

432.3

 

 

 

401.0

 

 

 

450.8

 

 

 

472.9

 

Cash and cash equivalents

 

 

305.0

 

 

 

305.0

 

 

 

230.9

 

 

 

230.9

 

Total financial instruments

 

$

8,592.8

 

 

$

8,561.5

 

 

$

9,210.7

 

 

$

9,232.8

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Financial Liabilities carried at:

 

 

 

 

 

 

 

 

 

 

 

 

Amortized Cost:

 

 

 

 

 

 

 

 

 

 

 

 

Debt

 

$

782.4

 

 

$

713.9

 

 

$

781.6

 

 

$

845.5

 
Fair Value, Investment Assets Measured on Recurring Basis

The following tables provide, for each hierarchy level, the Company’s investment assets that were measured at fair value on a recurring basis.

 

 

DECEMBER 31, 2022

 

(in millions)

 

Total

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

Fixed maturities:

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Treasury and government agencies

 

$

420.2

 

 

$

282.7

 

 

$

137.5

 

 

$

—

 

Foreign government

 

 

2.2

 

 

 

—

 

 

 

2.2

 

 

 

—

 

Municipal

 

 

1,076.1

 

 

 

—

 

 

 

1,066.8

 

 

 

9.3

 

Corporate

 

 

3,729.9

 

 

 

—

 

 

 

3,729.8

 

 

 

0.1

 

Residential mortgage-backed, U.S. agency backed

 

 

974.0

 

 

 

—

 

 

 

974.0

 

 

 

—

 

Residential mortgage-backed, non-agency

 

 

99.8

 

 

 

—

 

 

 

99.8

 

 

 

—

 

Commercial mortgage-backed

 

 

836.4

 

 

 

—

 

 

 

828.9

 

 

 

7.5

 

Asset-backed

 

 

343.2

 

 

 

—

 

 

 

343.2

 

 

 

—

 

Total fixed maturities

 

 

7,481.8

 

 

 

282.7

 

 

 

7,182.2

 

 

 

16.9

 

Equity securities

 

 

241.9

 

 

 

234.4

 

 

 

—

 

 

 

7.5

 

Other investments

 

 

3.6

 

 

 

—

 

 

 

—

 

 

 

3.6

 

Total investment assets at fair value

 

$

7,727.3

 

 

$

517.1

 

 

$

7,182.2

 

 

$

28.0

 

 

 

 

 

DECEMBER 31, 2021

 

(in millions)

 

Total

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

Fixed maturities:

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Treasury and government agencies

 

$

396.2

 

 

$

221.5

 

 

$

174.7

 

 

$

—

 

Foreign government

 

 

2.6

 

 

 

—

 

 

 

2.6

 

 

 

—

 

Municipal

 

 

1,200.8

 

 

 

—

 

 

 

1,186.8

 

 

 

14.0

 

Corporate

 

 

4,090.1

 

 

 

—

 

 

 

4,090.0

 

 

 

0.1

 

Residential mortgage-backed

 

 

1,069.6

 

 

 

—

 

 

 

1,069.6

 

 

 

—

 

Commercial mortgage-backed

 

 

824.4

 

 

 

—

 

 

 

813.1

 

 

 

11.3

 

Asset-backed

 

 

140.2

 

 

 

—

 

 

 

140.2

 

 

 

—

 

Total fixed maturities

 

 

7,723.9

 

 

 

221.5

 

 

 

7,477.0

 

 

 

25.4

 

Equity securities

 

 

661.3

 

 

 

651.2

 

 

 

—

 

 

 

10.1

 

Other investments

 

 

4.3

 

 

 

—

 

 

 

—

 

 

 

4.3

 

Total investment assets at fair value

 

$

8,389.5

 

 

$

872.7

 

 

$

7,477.0

 

 

$

39.8

 
Estimated Fair Values of Financial Instruments Not Carried at Fair Value

The following tables provide, for each hierarchy level, the Company’s estimated fair values of financial instruments that were not carried at fair value.

 

 

DECEMBER 31, 2022

 

(in millions)

 

Total

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

Cash and cash equivalents

 

$

305.0

 

 

$

305.0

 

 

$

—

 

 

$

—

 

Other investments

 

 

401.0

 

 

 

—

 

 

 

6.0

 

 

 

395.0

 

Total financial instruments

 

$

706.0

 

 

$

305.0

 

 

$

6.0

 

 

$

395.0

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

Debt

 

$

713.9

 

 

$

—

 

 

$

713.9

 

 

$

—

 

 

 

 

DECEMBER 31, 2021

 

(in millions)

 

Total

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

Cash and cash equivalents

 

$

230.9

 

 

$

230.9

 

 

$

—

 

 

$

—

 

Other investments

 

 

472.9

 

 

 

—

 

 

 

2.8

 

 

 

470.1

 

Total financial instruments

 

$

703.8

 

 

$

230.9

 

 

$

2.8

 

 

$

470.1

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

Debt

 

$

845.5

 

 

$

—

 

 

$

845.0

 

 

$

—

 
Fair Value on Recurring Basis Using Significant Unobservable Inputs (Level 3) he following tables provide a reconciliation for all assets measured at fair value on a recurring basis using significant unobservable inputs (Level 3).

YEAR ENDED DECEMBER 31, 2022

 

Fixed Maturities

 

 

 

 

 

 

 

(in millions)

 

Municipal

 

 

Corporate

 

 

Commercial
mortgage-
backed

 

 

Total

 

 

Equity
and
Other

 

 

Total
Assets

 

Balance at beginning of year

 

$

14.0

 

 

$

0.1

 

 

$

11.3

 

 

$

25.4

 

 

$

14.4

 

 

$

39.8

 

Total losses:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Included in total net realized and unrealized investment losses

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

(3.3

)

 

 

(3.3

)

Included in other comprehensive loss - net depreciation on available-for-sale securities

 

 

(1.1

)

 

 

—

 

 

 

(1.1

)

 

 

(2.2

)

 

 

—

 

 

 

(2.2

)

Sales

 

 

(3.6

)

 

 

—

 

 

 

(2.7

)

 

 

(6.3

)

 

 

—

 

 

 

(6.3

)

Balance at end of year

 

$

9.3

 

 

$

0.1

 

 

$

7.5

 

 

$

16.9

 

 

$

11.1

 

 

$

28.0

 

Changes in unrealized losses for the period included in other comprehensive loss for assets held at the end of the year

 

$

(1.1

)

 

$

—

 

 

$

(1.1

)

 

$

(2.2

)

 

$

—

 

 

$

(2.2

)

 

 

YEAR ENDED DECEMBER 31, 2021

 

Fixed Maturities

 

 

 

 

 

 

 

(in millions)

 

Municipal

 

 

Corporate

 

 

Commercial
mortgage-
backed

 

 

Total

 

 

Equity
and
Other

 

 

Total
Assets

 

Balance at beginning of year

 

$

7.0

 

 

$

0.5

 

 

$

12.4

 

 

$

19.9

 

 

$

9.5

 

 

$

29.4

 

Total gains (losses):

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Included in total net realized and unrealized investment gains

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

4.6

 

 

 

4.6

 

Included in other comprehensive loss - net appreciation (depreciation) on available-for-sale securities

 

 

(0.1

)

 

 

—

 

 

 

(0.5

)

 

 

(0.6

)

 

 

0.3

 

 

 

(0.3

)

Purchases and sales:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Purchases

 

 

10.0

 

 

 

—

 

 

 

—

 

 

 

10.0

 

 

 

—

 

 

 

10.0

 

Sales

 

 

(2.9

)

 

 

(0.4

)

 

 

(0.6

)

 

 

(3.9

)

 

 

—

 

 

 

(3.9

)

Balance at end of year

 

$

14.0

 

 

$

0.1

 

 

$

11.3

 

 

$

25.4

 

 

$

14.4

 

 

$

39.8

 

Changes in unrealized losses for the period included in other comprehensive loss for assets held at the end of the year

 

$

—

 

 

$

—

 

 

$

(0.5

)

 

$

(0.5

)

 

$

—

 

 

$

(0.5

)
Schedule of Additional Information About Significant Unobservable Inputs Used in Fair Valuations of Level 3

The following table provides quantitative information about the significant unobservable inputs used by the Company in the fair value measurements of Level 3 assets. Where discounted cash flows were used in the valuation of fixed maturities, the internally-developed discount rate was adjusted by the significant unobservable inputs shown in the table.

DECEMBER 31,

 

2022

 

2021

 

 

Valuation

 

Significant

 

Fair

 

 

Range

 

Fair

 

 

Range

(in millions)

 

Technique

 

Unobservable Inputs

 

Value

 

 

(Wtd Average)

 

Value

 

 

(Wtd Average)

Fixed maturities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Municipal

 

Discounted

 

Discount for:

 

$

9.3

 

 

 

 

$

14.0

 

 

 

 

 

cash flow

 

Small issue size

 

 

 

 

4.5 - 6.8% (6.6%)

 

 

 

 

4.5 - 6.8% (6.5%)

Corporate

 

Discounted

 

Discount for:

 

 

0.1

 

 

 

 

 

0.1

 

 

 

 

 

cash flow

 

Small issue size

 

 

 

 

2.5% (2.5%)

 

 

 

 

2.5% (2.5%)

 

 

 

 

Above-market coupon

 

 

 

 

0.3% (0.3%)

 

 

 

 

0.3% (0.3%)

Commercial

 

Discounted

 

Discount for:

 

 

7.5

 

 

 

 

 

11.3

 

 

 

mortgage-backed

 

cash flow

 

Small issue size

 

 

 

 

3.0 - 3.1% (3.0%)

 

 

 

 

1.9 - 3.1% (2.7%)

 

 

 

 

Above-market coupon

 

 

 

 

0.5% (0.5%)

 

 

 

 

0.5% (0.5%)

 

 

 

 

Lease structure

 

 

 

 

0.3% (0.3%)

 

 

 

 

0.3% (0.3%)

Equity securities

 

Market
   comparables

 

Net tangible asset

 

 

1.1

 

 

N/A

 

 

1.3

 

 

N/A

 

 

Internal price based

 

Discount for:

 

 

6.4

 

 

 

 

 

8.8

 

 

 

 

 

on financing round

 

Market liquidity

 

 

 

 

27.0% (27.0%)

 

 

 

 

N/A

Other

 

Discounted cash flow

 

Discount rate

 

 

3.6

 

 

17.2% (17.2%)

 

 

4.3

 

 

16.1% (16.1%)