Fair Value (Tables)

9 Months Ended

Sep. 30, 2017

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

	September 30, 2017				December 31, 2016
	Carrying		Fair		Carrying		Fair
(in millions)	Value		Value		Value		Value
Financial Assets
Cash and cash equivalents	$	227.2	$	227.2	$	282.6	$	282.6
Fixed maturities		7,890.5		7,890.5		7,331.3		7,331.3
Equity securities		566.5		566.5		584.4		584.4
Other investments		577.1		586.0		497.8		497.6
Total financial assets	$	9,261.3	$	9,270.2	$	8,696.1	$	8,695.9
Financial Liabilities
Debt	$	786.8	$	873.3	$	786.4	$	841.9

Fair Value, Assets Measured on Recurring Basis

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

	September 30, 2017
(in millions)	Total		Level 1		Level 2		Level 3
Fixed maturities:
U.S. Treasury and government agencies	$	434.1	$	198.4	$	235.7	$	—
Foreign government		245.0		44.7		200.3		—
Municipal		1,093.2		—		1,065.1		28.1
Corporate		4,426.5		—		4,425.6		0.9
Residential mortgage-backed, U.S. agency backed		1,000.2		—		1,000.2		—
Residential mortgage-backed, non-agency		32.9		—		32.9		—
Commercial mortgage-backed		598.2		—		583.8		14.4
Asset-backed		60.4		—		60.4		—
Total fixed maturities		7,890.5		243.1		7,604.0		43.4
Equity securities		558.1		557.0		—		1.1
Other investments		118.5		—		114.4		4.1
Total investment assets at fair value	$	8,567.1	$	800.1	$	7,718.4	$	48.6

	December 31, 2016
(in millions)	Total		Level 1		Level 2		Level 3
Fixed maturities:
U.S. Treasury and government agencies	$	341.1	$	209.5	$	131.6	$	—
Foreign government		240.7		47.3		193.4		—
Municipal		1,095.4		—		1,064.4		31.0
Corporate		4,053.8		—		4,049.6		4.2
Residential mortgage-backed, U.S. agency backed		924.4		—		924.4		—
Residential mortgage-backed, non-agency		49.8		—		49.8		—
Commercial mortgage-backed		554.3		—		539.3		15.0
Asset-backed		71.8		—		71.8		—
Total fixed maturities		7,331.3		256.8		7,024.3		50.2
Equity securities		574.6		573.1		—		1.5
Other investments		106.3		—		102.2		4.1
Total investment assets at fair value	$	8,012.2	$	829.9	$	7,126.5	$	55.8

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:

	September 30, 2017
(in millions)	Total		Level 1		Level 2		Level 3
Assets:
Cash and cash equivalents	$	227.2	$	227.2	$	—	$	—
Equity securities		8.4		—		8.4		—
Other investments		334.4		—		—		334.4
Liabilities:
Debt	$	873.3	$	—	$	873.3	$	—

	December 31, 2016
(in millions)	Total		Level 1		Level 2		Level 3
Assets:
Cash and cash equivalents	$	282.6	$	282.6	$	—	$	—
Equity securities		9.8		—		9.8		—
Other investments		297.2		—		—		297.2
Liabilities:
Debt	$	841.9	$	—	$	841.9	$	—

Fair Value on Recurring Basis Using Significant Unobservable Inputs (Level 3)

The tables below provide a reconciliation for all assets measured at fair value on a recurring basis using significant unobservable inputs (Level 3).

	Fixed Maturities
(in millions)	Municipal			Corporate			Commercial mortgage- backed			Asset- backed			Total			Equity and Other			Total Assets
Three Months Ended
September 30, 2017
Balance July 1, 2017	$	30.1		$	1.0		$	14.6		$	—		$	45.7		$	5.6		$	51.3
Transfers out of Level 3		(1.9	)		—			—			—			(1.9	)		(0.4	)		(2.3	)
Total gains:
Included in other comprehensive income-net appreciation on available-for-sale securities		0.2			—			—			—			0.2			—			0.2
Sales		(0.3	)		(0.1	)		(0.2	)		—			(0.6	)		—			(0.6	)
Balance September 30, 2017	$	28.1		$	0.9		$	14.4		$	—		$	43.4		$	5.2		$	48.6
Three Months Ended
September 30, 2016
Balance July 1, 2016	$	34.4		$	4.4		$	16.7		$	0.4		$	55.9		$	4.9		$	60.8
Transfers out of Level 3		(1.2	)		—			—			—			(1.2	)		—			(1.2	)
Total (losses) gains:
Included in other comprehensive income-net (depreciation) appreciation on available-for-sale securities		(0.1	)		(0.1	)		(0.1	)		—			(0.3	)		0.1			(0.2	)
Sales		(0.8	)		—			(0.4	)		(0.4	)		(1.6	)		—			(1.6	)
Balance September 30, 2016	$	32.3		$	4.3		$	16.2		$	—		$	52.8		$	5.0		$	57.8

	Fixed Maturities
(in millions)	Municipal			Corporate			Commercial mortgage- backed			Asset- backed			Total			Equity and Other			Total Assets
Nine Months Ended
September 30, 2017
Balance January 1, 2017	$	31.0		$	4.2		$	15.0		$	—		$	50.2		$	5.6		$	55.8
Transfers out of Level 3		(1.9	)		—			—			—			(1.9	)		(0.4	)		(2.3	)
Total gains (losses):
Included in total net realized investment gains		—			0.3			—			—			0.3			—			0.3
Included in other comprehensive income-net appreciation (depreciation) on available-for-sale securities		0.6			(0.2	)		0.1			—			0.5			—			0.5
Sales		(1.6	)		(3.4	)		(0.7	)		—			(5.7	)		—			(5.7	)
Balance September 30, 2017	$	28.1		$	0.9		$	14.4		$	—		$	43.4		$	5.2		$	48.6

Nine Months Ended
September 30, 2016
Balance January 1, 2016	$	34.4		$	3.7		$	17.0		$	0.5		$	55.6		$	4.9		$	60.5
Transfers out of Level 3		(1.2	)		—			—			—			(1.2	)		—			(1.2	)
Total gains (losses):
Included in total net realized investment gains		0.1			(0.2	)		—			—			(0.1	)		—			(0.1	)
Included in other comprehensive income-net appreciation on available-for-sale securities		1.5			0.6			0.6			—			2.7			0.1			2.8
Purchases and sales:
Purchases		—			0.3			—			—			0.3			—			0.3
Sales		(2.5	)		(0.1	)		(1.4	)		(0.5	)		(4.5	)		—			(4.5	)
Balance September 30, 2016	$	32.3		$	4.3		$	16.2		$	—		$	52.8		$	5.0		$	57.8

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. Valuations of $0.6 million at December 31, 2016, for securities based on broker quotes for which there was a lack of transparency as to inputs used to develop the valuations, have been excluded.

September 30, 2017

December 31, 2016

Valuation

Significant

Fair

Range

Fair

Range

(in millions)

Technique

Unobservable Inputs

Value

(Wtd Average)

Value

(Wtd Average)

Fixed maturities:

Municipal

Discounted

Discount for:

28.1

31.0

cash flow

Small issue size

Credit stress

Above-market coupon

0.7 -6.8% (3.4%)

0.9 - 1.5% (1.2%)

0.3 - 0.5% (0.4%)

0.7 - 6.8% (3.3%)

0.9 - 1.5% (1.2%)

0.3 - 0.5% (0.4%)

Corporate

Discounted

Discount for:

0.9

4.0

cash flow

Small issue size

Credit stress

Above-market coupon

2.5% (2.5%)

—

0.3% (0.3%)

2.0 - 2.5% (2.1%)

1.0% (1.0%)

0.3 - 0.8% (0.6%)

Commercial mortgage-backed

Discounted

Discount for:

14.4

15.0

cash flow

Small issue size

Above-market coupon

Lease structure

1.9 - 3.1% (2.6%)

0.5% (0.5%)

0.3% (0.3%)

1.9 - 3.1% (2.6%)

0.5% (0.5%)

0.3% (0.3%)

Equity securities

Market

Net tangible asset

1.1

comparables

market multiples

1.0X (1.0X)

Other

Discounted

Discount rate

4.1

18.0% (18.0%)

4.1

18.0% (18.0%)

cash flow