XML 37 R24.htm IDEA: XBRL DOCUMENT v3.10.0.1
Fair Value (Tables)
 6 Months Ended
Jun. 30, 2018
Fair Value Disclosures [Abstract]  
Fair Value of Financial Instruments

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

 

 

 

June 30, 2018

 

 

December 31, 2017

 

 

 

Carrying

 

 

Fair

 

 

Carrying

 

 

Fair

 

(in millions)

 

Value

 

 

Value

 

 

Value

 

 

Value

 

Financial Assets carried at (1):

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fair Value through AOCI:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fixed maturities

 

$

7,729.9

 

 

$

7,729.9

 

 

$

7,779.7

 

 

$

7,779.7

 

Equity securities

 

 

—

 

 

 

—

 

 

 

576.5

 

 

 

576.5

 

Other investments

 

 

—

 

 

 

—

 

 

 

3.6

 

 

 

3.6

 

Fair Value through Net Income:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Equity securities

 

 

554.0

 

 

 

554.0

 

 

 

—

 

 

 

—

 

Other investments

 

 

286.8

 

 

 

286.8

 

 

 

122.8

 

 

 

122.8

 

Amortized Cost/Cost:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Other investments

 

 

393.0

 

 

 

394.4

 

 

 

512.8

 

 

 

518.3

 

Cash and cash equivalents

 

 

244.9

 

 

 

244.9

 

 

 

376.4

 

 

 

376.4

 

 

 

$

9,208.6

 

 

$

9,210.0

 

 

$

9,371.8

 

 

$

9,377.3

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Financial Liabilities carried at:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Amortized Cost:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Debt

 

$

787.1

 

 

$

838.6

 

 

$

786.9

 

 

$

865.7

 

 

 

(1)

Due to the adoption of ASU No. 2016-01, certain classifications are not comparable to the prior year. See Note 2 – “New Accounting Pronouncements”.
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.

 

 

 

June 30, 2018

 

(in millions)

 

Total

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

Fixed maturities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Treasury and government agencies

 

$

580.5

 

 

$

235.4

 

 

$

345.1

 

 

$

—

 

Foreign government

 

 

209.5

 

 

 

21.1

 

 

 

188.4

 

 

 

—

 

Municipal

 

 

1,037.7

 

 

 

—

 

 

 

1,013.3

 

 

 

24.4

 

Corporate

 

 

4,216.3

 

 

 

—

 

 

 

4,215.5

 

 

 

0.8

 

Residential mortgage-backed, U.S. agency backed

 

 

993.8

 

 

 

—

 

 

 

993.8

 

 

 

—

 

Residential mortgage-backed, non-agency

 

 

3.2

 

 

 

—

 

 

 

3.2

 

 

 

—

 

Commercial mortgage-backed

 

 

611.6

 

 

 

—

 

 

 

598.3

 

 

 

13.3

 

Asset-backed

 

 

77.3

 

 

 

—

 

 

 

77.3

 

 

 

—

 

Total fixed maturities

 

 

7,729.9

 

 

 

256.5

 

 

 

7,434.9

 

 

 

38.5

 

Equity securities

 

 

554.0

 

 

 

552.9

 

 

 

—

 

 

 

1.1

 

Other investments

 

 

128.5

 

 

 

—

 

 

 

124.9

 

 

 

3.6

 

Total investment assets at fair value

 

$

8,412.4

 

 

$

809.4

 

 

$

7,559.8

 

 

$

43.2

 

 

 

 

December 31, 2017

 

(in millions)

 

Total

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

Fixed maturities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Treasury and government agencies

 

$

511.4

 

 

$

227.6

 

 

$

283.8

 

 

$

—

 

Foreign government

 

 

242.7

 

 

 

50.1

 

 

 

192.6

 

 

 

—

 

Municipal

 

 

1,076.0

 

 

 

—

 

 

 

1,049.2

 

 

 

26.8

 

Corporate

 

 

4,307.5

 

 

 

—

 

 

 

4,306.6

 

 

 

0.9

 

Residential mortgage-backed, U.S. agency backed

 

 

956.4

 

 

 

—

 

 

 

956.4

 

 

 

—

 

Residential mortgage-backed, non-agency

 

 

29.6

 

 

 

—

 

 

 

29.6

 

 

 

—

 

Commercial mortgage-backed

 

 

596.4

 

 

 

—

 

 

 

582.2

 

 

 

14.2

 

Asset-backed

 

 

59.7

 

 

 

—

 

 

 

59.7

 

 

 

—

 

Total fixed maturities

 

 

7,779.7

 

 

 

277.7

 

 

 

7,460.1

 

 

 

41.9

 

Equity securities

 

 

568.1

 

 

 

567.0

 

 

 

—

 

 

 

1.1

 

Other investments

 

 

126.4

 

 

 

—

 

 

 

122.8

 

 

 

3.6

 

Total investment assets at fair value

 

$

8,474.2

 

 

$

844.7

 

 

$

7,582.9

 

 

$

46.6

 

 
Estimated Fair Values of Financial Instruments Not Carried at Fair Value

Limited partnerships measured at fair value using NAV based on an ownership interest in partners’ capital have not been included in the tables above. At June 30, 2018 and December 31, 2017, the fair values of these investments were $158.3 million and $149.4 million, respectively, which are less than 2% of total investment assets.

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

 

 

 

June 30, 2018

 

(in millions)

 

Total

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash and cash equivalents

 

$

244.9

 

 

$

244.9

 

 

$

—

 

 

$

—

 

Other investments

 

 

394.4

 

 

 

—

 

 

 

8.8

 

 

 

385.6

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Debt

 

$

838.6

 

 

$

—

 

 

$

838.6

 

 

$

—

 

 

 

 

December 31, 2017

 

(in millions)

 

Total

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash and cash equivalents

 

$

376.4

 

 

$

376.4

 

 

$

—

 

 

$

—

 

Equity securities

 

 

8.4

 

 

 

—

 

 

 

8.4

 

 

 

—

 

Other investments

 

 

368.9

 

 

 

—

 

 

 

—

 

 

 

368.9

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Debt

 

$

865.7

 

 

$

—

 

 

$

865.7

 

 

$

—

 

 
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

 

 

Total

 

 

Equity and

Other

 

 

Total

Assets

 

Three Months Ended

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

June 30, 2018

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Balance April 1, 2018

 

$

25.3

 

 

$

0.8

 

 

$

13.5

 

 

$

39.6

 

 

$

4.7

 

 

$

44.3

 

Total losses:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Included in other comprehensive

   income-net depreciation

   on available-for-sale securities

 

 

(0.1

)

 

 

—

 

 

 

(0.1

)

 

 

(0.2

)

 

 

—

 

 

 

(0.2

)

Sales

 

 

(0.8

)

 

 

—

 

 

 

(0.1

)

 

 

(0.9

)

 

 

—

 

 

 

(0.9

)

Balance June 30, 2018

 

$

24.4

 

 

$

0.8

 

 

$

13.3

 

 

$

38.5

 

 

$

4.7

 

 

$

43.2

 

Three Months Ended

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

June 30, 2017

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Balance April 1, 2017

 

$

30.8

 

 

$

3.9

 

 

$

14.6

 

 

$

49.3

 

 

$

5.6

 

 

$

54.9

 

Total gains (losses):

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Included in total net realized and unrealized

   investment gains

 

 

—

 

 

 

0.3

 

 

 

—

 

 

 

0.3

 

 

 

—

 

 

 

0.3

 

Included in other comprehensive

   income-net appreciation (depreciation)

   on available-for-sale securities

 

 

0.2

 

 

 

(0.2

)

 

 

0.1

 

 

 

0.1

 

 

 

—

 

 

 

0.1

 

Sales

 

 

(0.9

)

 

 

(3.0

)

 

 

(0.1

)

 

 

(4.0

)

 

 

—

 

 

 

(4.0

)

Balance June 30, 2017

 

$

30.1

 

 

$

1.0

 

 

$

14.6

 

 

$

45.7

 

 

$

5.6

 

 

$

51.3

 

 

 

 

Fixed Maturities

 

 

 

 

 

 

 

 

 

(in millions)

 

Municipal

 

 

Corporate

 

 

Commercial

mortgage-

backed

 

 

Total

 

 

Equity and

Other

 

 

Total

Assets

 

Six Months Ended

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

June 30, 2018

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Balance January 1, 2018

 

$

26.8

 

 

$

0.9

 

 

$

14.2

 

 

$

41.9

 

 

$

4.7

 

 

$

46.6

 

Total gains (losses):

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Included in total net realized and unrealized

   investment gains

 

 

0.1

 

 

 

—

 

 

 

—

 

 

 

0.1

 

 

 

—

 

 

 

0.1

 

Included in other comprehensive

   income-net depreciation

   on available-for-sale securities

 

 

(0.6

)

 

 

—

 

 

 

(0.3

)

 

 

(0.9

)

 

 

—

 

 

 

(0.9

)

Sales

 

 

(1.9

)

 

 

(0.1

)

 

 

(0.6

)

 

 

(2.6

)

 

 

—

 

 

 

(2.6

)

Balance June 30, 2018

 

$

24.4

 

 

$

0.8

 

 

$

13.3

 

 

$

38.5

 

 

$

4.7

 

 

$

43.2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Six Months Ended

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

June 30, 2017

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Balance January 1, 2017

 

$

31.0

 

 

$

4.2

 

 

$

15.0

 

 

$

50.2

 

 

$

5.6

 

 

$

55.8

 

Total gains (losses):

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Included in total net realized and unrealized

   investment gains

 

 

—

 

 

 

0.3

 

 

 

—

 

 

 

0.3

 

 

 

—

 

 

 

0.3

 

Included in other comprehensive

   income-net appreciation (depreciation)

   on available-for-sale securities

 

 

0.4

 

 

 

(0.2

)

 

 

0.1

 

 

 

0.3

 

 

 

—

 

 

 

0.3

 

Sales

 

 

(1.3

)

 

 

(3.3

)

 

 

(0.5

)

 

 

(5.1

)

 

 

—

 

 

 

(5.1

)

Balance June 30, 2017

 

$

30.1

 

 

$

1.0

 

 

$

14.6

 

 

$

45.7

 

 

$

5.6

 

 

$

51.3

 

 
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.

 

 

 

 

 

 

 

June 30, 2018

 

December 31, 2017

 

 

Valuation

 

Significant

 

Fair

 

 

Range

 

Fair

 

 

Range

(in millions)

 

Technique

 

Unobservable Inputs

 

Value

 

 

(Wtd Average)

 

Value

 

 

(Wtd Average)

Fixed maturities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Municipal

 

Discounted

 

Discount for:

 

$

24.4

 

 

 

 

$

26.8

 

 

 

 

 

cash flow

 

Small issue size

Credit stress

Above-market coupon

 

 

 

 

 

0.7 -6.8% (3.2%)

1.3% (1.3%)

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:

 

 

0.8

 

 

 

 

 

0.9

 

 

 

 

 

cash flow

 

Small issue size

Above-market coupon

 

 

 

 

 

2.5% (2.5%)

0.3% (0.3%)

 

 

 

 

 

2.5% (2.5%)

0.3% (0.3%)

Commercial mortgage-backed

 

Discounted

 

Discount for:

 

 

13.3

 

 

 

 

 

14.2

 

 

 

 

 

cash flow

 

Small issue size

Above-market coupon

Lease structure

 

 

 

 

 

1.9 - 3.1% (2.7%)

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

 

 

 

 

 

1.1

 

 

 

 

 

comparables

 

market multiples

 

 

 

 

 

1.0X (1.0X)

 

 

 

 

 

1.0X (1.0X)

Other

 

Discounted

 

Discount rate

 

 

3.6

 

 

18.0% (18.0%)

 

3.6

 

 

18.0% (18.0%)

 

 

cash flow