Fair Value (Tables)

9 Months Ended

Sep. 30, 2021

Composition of Investment Portfolio by Major Security Type

The composition of the investment portfolio by major security type and our outstanding debt was:


	Fair Value
(millions)	Level 1		Level 2		Level 3		Total		Cost
September 30, 2021
Fixed maturities:
U.S. government obligations	$	21,142.1	$	0	$	0	$	21,142.1	$	21,093.1
State and local government obligations	0		2,165.9		0		2,165.9		2,123.8
Corporate debt securities	0		10,874.0		0		10,874.0		10,568.7
Subtotal	21,142.1		13,039.9		0		34,182.0		33,785.6
Asset-backed securities:
Residential mortgage-backed	0		627.9		0		627.9		624.4
Commercial mortgage-backed	0		5,789.0		0		5,789.0		5,739.4
Other asset-backed	0		4,262.2		0		4,262.2		4,235.6
Subtotal asset-backed securities	0		10,679.1		0		10,679.1		10,599.4
Redeemable preferred stocks:
Financials	0		51.4		0		51.4		50.8
Utilities	0		0		0		0		0
Industrials	10.6		122.6		0		133.2		120.2
Subtotal redeemable preferred stocks	10.6		174.0		0		184.6		171.0
Total fixed maturities	21,152.7		23,893.0		0		45,045.7		44,556.0
Short-term investments	1,078.5		10.2		0		1,088.7		1,088.7
Total available-for-sale securities	22,231.2		23,903.2		0		46,134.4		45,644.7
Equity securities:
Nonredeemable preferred stocks:
Financials	89.8		1,304.6		76.4		1,470.8		1,399.8
Utilities	0		42.1		0		42.1		40.0
Industrials	0		25.5		34.4		59.9		40.1
Subtotal nonredeemable preferred stocks	89.8		1,372.2		110.8		1,572.8		1,479.9
Common equities:
Common stocks	4,513.1		0		54.5		4,567.6		1,225.8
Other risk investments	0		0		12.6		12.6		12.6
Subtotal common equities	4,513.1		0		67.1		4,580.2		1,238.4
Total equity securities	4,602.9		1,372.2		177.9		6,153.0		2,718.3
Total portfolio	$	26,834.1	$	25,275.4	$	177.9	$	52,287.4	$	48,363.0
Debt	$	0	$	5,881.7	$	0	$	5,881.7	$	4,898.2


	Fair Value
(millions)	Level 1		Level 2		Level 3		Total		Cost
September 30, 2020
Fixed maturities:
U.S. government obligations	$	10,203.8	$	0	$	0	$	10,203.8	$	9,835.1
State and local government obligations	0		4,529.8		0		4,529.8		4,382.1
Corporate debt securities	0		10,612.0		0		10,612.0		10,038.7
Subtotal	10,203.8		15,141.8		0		25,345.6		24,255.9
Asset-backed securities:
Residential mortgage-backed	0		531.0		0		531.0		525.4
Commercial mortgage-backed	0		6,053.6		0		6,053.6		5,964.4
Other asset-backed	0		4,200.3		0		4,200.3		4,155.8
Subtotal asset-backed securities	0		10,784.9		0		10,784.9		10,645.6
Redeemable preferred stocks:
Financials	0		49.2		0		49.2		51.2
Utilities	0		11.3		0		11.3		10.0
Industrials	10.1		112.4		0		122.5		120.1
Subtotal redeemable preferred stocks	10.1		172.9		0		183.0		181.3
Total fixed maturities	10,213.9		26,099.6		0		36,313.5		35,082.8
Short-term investments	4,506.2		161.6		0		4,667.8		4,667.8
Total available-for-sale securities	14,720.1		26,261.2		0		40,981.3		39,750.6
Equity securities:
Nonredeemable preferred stocks:
Financials	112.6		1,096.1		13.1		1,221.8		1,197.7
Utilities	0		40.7		0		40.7		39.9
Industrials	0		20.5		15.2		35.7		40.1
Subtotal nonredeemable preferred stocks	112.6		1,157.3		28.3		1,298.2		1,277.7
Common equities:
Common stocks	3,457.1		0		25.0		3,482.1		1,152.3
Other risk investments	0		0		2.7		2.7		2.7
Subtotal common equities	3,457.1		0		27.7		3,484.8		1,155.0
Total equity securities	3,569.7		1,157.3		56.0		4,783.0		2,432.7
Total portfolio	$	18,289.8	$	27,418.5	$	56.0	$	45,764.3	$	42,183.3
Debt	$	0	$	6,687.4	$	0	$	6,687.4	$	5,395.4


	Fair Value
(millions)	Level 1		Level 2		Level 3		Total		Cost
December 31, 2020
Fixed maturities:
U.S. government obligations	$	12,740.0	$	0	$	0	$	12,740.0	$	12,437.9
State and local government obligations	0		3,221.8		0		3,221.8		3,099.4
Corporate debt securities	0		10,185.2		0		10,185.2		9,579.7
Subtotal	12,740.0		13,407.0		0		26,147.0		25,117.0
Asset-backed securities:
Residential mortgage-backed	0		509.5		0		509.5		503.3
Commercial mortgage-backed	0		6,175.1		0		6,175.1		6,042.6
Other asset-backed	0		3,784.6		0		3,784.6		3,745.0
Subtotal asset-backed securities	0		10,469.2		0		10,469.2		10,290.9
Redeemable preferred stocks:
Financials	0		51.6		0		51.6		51.1
Utilities	0		11.7		0		11.7		10.0
Industrials	10.8		120.6		0		131.4		120.1
Subtotal redeemable preferred stocks	10.8		183.9		0		194.7		181.2
Total fixed maturities	12,750.8		24,060.1		0		36,810.9		35,589.1
Short-term investments	4,704.9		513.6		0		5,218.5		5,218.5
Total available-for-sale securities	17,455.7		24,573.7		0		42,029.4		40,807.6
Equity securities:
Nonredeemable preferred stocks:
Financials	117.7		1,212.3		10.0		1,340.0		1,253.6
Utilities	0		41.9		0		41.9		40.0
Industrials	0		24.3		16.7		41.0		40.1
Subtotal nonredeemable preferred stocks	117.7		1,278.5		26.7		1,422.9		1,333.7
Common equities:
Common stocks	4,049.9		0		25.0		4,074.9		1,209.2
Other risk investments	0		0		3.1		3.1		3.1
Subtotal common equities	4,049.9		0		28.1		4,078.0		1,212.3
Total equity securities	4,167.6		1,278.5		54.8		5,500.9		2,546.0
Total portfolio	$	21,623.3	$	25,852.2	$	54.8	$	47,530.3	$	43,353.6
Debt	$	0	$	6,793.5	$	0	$	6,793.5	$	5,396.1

Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation

The following tables provide a summary of changes in fair value associated with Level 3 assets for the three and nine months ended September 30, 2021 and 2020:


	Level 3 Fair Value
(millions)	Fair Value at June 30, 2021		Calls/ Maturities/ Paydowns/Other		Purchases		Sales		Net Realized (Gain)/Loss on Sales		Change in Valuation		Net Transfers In (Out)		Fair Value at September 30, 2021




Equity securities:
Nonredeemable preferred stocks:
Financials	$	76.4	$	0	$	0	$	0	$	0	$	0	$	0	$	76.4
Industrials	34.4		0		0		0		0		0		0		34.4
Common equities:
Common stocks	52.5		0		2.0		0		0		0		0		54.5
Other risk investments	11.6		0		1.0		0		0		0		0		12.6
Total Level 3 securities	$	174.9	$	0	$	3.0	$	0	$	0	$	0	$	0	$	177.9


	Level 3 Fair Value
(millions)	Fair Value at June 30, 2020		Calls/ Maturities/ Paydowns/Other		Purchases		Sales		Net Realized (Gain)/Loss on Sales		Change in Valuation		Net Transfers In (Out)		Fair Value at September 30, 2020




Equity securities:
Nonredeemable preferred stocks:
Financials1	$	38.1	$	(25.0)	$	0	$	0	$	0	$	0	$	0	$	13.1
Industrials	15.2		0		0		0		0		0		0		15.2
Common equities:
Common stocks1	0		25.0		0		0		0		0		0		25.0
Other risk investments	0.3		0		2.4		0		0		0		0		2.7
Total Level 3 securities	$	53.6	$	0	$	2.4	$	0	$	0	$	0	$	0	$	56.0

1 We purchased a nonredeemable preferred stock security in second quarter 2020 that was subject to an automatic conversion to common stock during third quarter 2020.


	Level 3 Fair Value
(millions)	Fair Value at December 31, 2020		Calls/ Maturities/ Paydowns/Other		Purchases		Sales		Net Realized (Gain)/Loss on Sales1		Change in Valuation		Net Transfers In (Out)		Fair Value at September 30, 2021




Equity securities:
Nonredeemable preferred stocks:
Financials	$	10.0	$	0	$	60.2	$	0	$	0	$	6.2	$	0	$	76.4
Industrials	16.7		0		0		0		(4.5)		22.2		0		34.4
Common equities:
Common stocks	25.0		0		2.0		0		0		27.5		0		54.5
Other risk investments2	3.1		0		9.5		0		0		0		0		12.6
Total Level 3 securities	$	54.8	$	0	$	71.7	$	0	$	(4.5)	$	55.9	$	0	$	177.9

1 Recognized in conjunction with a merger transaction.

2 Purchases include securities assumed in the Protective Insurance acquisition.


	Level 3 Fair Value
(millions)	Fair Value at December 31, 2019		Calls/ Maturities/ Paydowns/Other		Purchases		Sales		Net Realized (Gain)/Loss on Sales		Change in Valuation		Net Transfers In (Out)		Fair Value at September 30, 2020




Equity securities:
Nonredeemable preferred stocks:
Financials1	$	27.1	$	(25.0)	$	25.0	$	0	$	0	$	(14.0)	$	0	$	13.1
Industrials	16.0		0		0		0		0		(0.8)		0		15.2
Common equities:
Common stocks1	0		25.0		0		0		0		0		0		25.0
Other risk investments	0.3		0		2.4		0		0		0		0		2.7
Total Level 3 securities	$	43.4	$	0	$	27.4	$	0	$	0	$	(14.8)	$	0	$	56.0

1 We purchased a nonredeemable preferred stock security in second quarter 2020 that was subject to an automatic conversion to common stock during third quarter 2020.

Fair Value Measurement Inputs and Valuation Techniques

The following tables provide a summary of the quantitative information about Level 3 fair value measurements for our applicable securities at September 30, 2021 and 2020, and December 31, 2020:

Quantitative Information about Level 3 Fair Value Measurements

($ in millions)

Fair Value at September 30, 2021

Valuation Technique

Unobservable Input

Unobservable Input Assumption

Equity securities:

Nonredeemable preferred stocks:

Financials

16.2

Internal price

Recent transaction price per share

27.5

Financials1

22.5

Internal price

Unadjusted purchase price per share

20.1

Financials1

12.5

Internal price

Unadjusted purchase price per share

11.8

Financials1

10.2

Internal price

Unadjusted purchase price per share

32.1

Financials1

15.0

Internal price

Unadjusted purchase price per share

6.8

Industrials

10.7

Internal price

Recent transaction price per share

5.2

Industrials

23.7

Internal price

Recent transaction price per share

9.6

Common equities:

Common stocks

54.5

Pricing firm

Market approach (guideline public company method) price per share

7.7

Subtotal Level 3 securities

165.3

Pricing exemption securities

12.6

Total Level 3 securities

177.9

1 These securities were purchased during second quarter 2021.

Quantitative Information about Level 3 Fair Value Measurements

($ in millions)

Fair Value at September 30, 2020

Valuation Technique

Unobservable Input

Unobservable Input Assumption

Equity securities:

Nonredeemable preferred stocks:

Financials

13.1

Internal price

Market approach (guideline public company method) price per share

4.4

Industrials1

7.1

Internal price

Market approach (guideline public company method) price per share

5.6

Industrials1

8.1

Internal price

Market approach (guideline public company method) price per share

4.0

Common equities:

Common stocks2

25.0

Internal price

Unadjusted purchase price per share

3.7

Subtotal Level 3 securities

53.3

Pricing exemption securities

2.7

Total Level 3 securities

56.0

1 Modified prior year disclosure to present securities individually to conform to the current year presentation.

2 This security converted from nonredeemable preferred stock to common stock as a result of an automatic conversion during third quarter 2020.

Quantitative Information about Level 3 Fair Value Measurements

($ in millions)

Fair Value at December 31, 2020

Valuation Technique

Unobservable Input

Unobservable Input Assumption

Equity securities:

Nonredeemable preferred stocks:

Financials1

10.0

Internal price

Unadjusted purchase price per share

16.9

Industrials

6.9

Pricing firm

Market approach (guideline public company method) price per share

5.4

Industrials

9.8

Pricing firm

Market approach (guideline public company method) price per share

4.8

Common equities:

Common stocks2

25.0

Internal price

Unadjusted purchase price per share

3.7

Subtotal Level 3 securities

51.7

Pricing exemption securities

3.1

Total Level 3 securities

54.8

1 This security was purchased in second quarter 2020.

2 This security converted from nonredeemable preferred stock to common stock as a result of an automatic conversion during third quarter 2020.