Fair Value (Tables)

3 Months Ended

Mar. 31, 2019

Fair Value Disclosures [Abstract]

Fair Value of Financial Instruments

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

	March 31, 2019				December 31, 2018
	Carrying		Fair		Carrying		Fair
(in millions)	Value		Value		Value		Value
Financial Assets carried at:
Fair Value through AOCI:
Fixed maturities	$	6,559.4	$	6,559.4	$	6,161.5	$	6,161.5
Fair Value through Net Income:
Equity securities		504.7		504.7		464.4		464.4
Other investments		180.3		180.3		175.0		175.0
Amortized Cost/Cost:
Other investments		421.5		425.7		414.4		418.9
Cash and cash equivalents		168.5		168.5		1,020.7		1,020.7
Total financial instruments, excluding held-for-sale		7,834.4		7,838.6		8,236.0		8,240.5
Financial instruments, held-for-sale (Chaucer)		2.8		2.8		27.8		27.8
Total financial instruments	$	7,837.2	$	7,841.4	$	8,263.8	$	8,268.3
Financial Liabilities carried at:
Amortized Cost:
Debt	$	653.0	$	694.2	$	777.9	$	825.0

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.

	March 31, 2019
(in millions)	Total		Level 1		Level 2		Level 3
Fixed maturities:
U.S. Treasury and government agencies	$	406.7	$	159.3	$	247.4	$	—
Foreign government		7.4		—		7.4		—
Municipal		865.5		—		845.0		20.5
Corporate		3,674.6		—		3,673.9		0.7
Residential mortgage-backed, U.S. agency backed		817.2		—		817.2		—
Residential mortgage-backed, non-agency		2.7		—		2.7		—
Commercial mortgage-backed		691.9		—		679.1		12.8
Asset-backed		93.4		—		93.4		—
Total fixed maturities		6,559.4		159.3		6,366.1		34.0
Equity securities		504.7		503.6		—		1.1
Other investments		3.5		—		—		3.5
Total investment assets at fair value	$	7,067.6	$	662.9	$	6,366.1	$	38.6

	December 31, 2018
(in millions)	Total		Level 1		Level 2		Level 3
Fixed maturities:
U.S. Treasury and government agencies	$	409.9	$	154.9	$	255.0	$	—
Foreign government		7.4		—		7.4		—
Municipal		885.8		—		864.7		21.1
Corporate		3,410.7		—		3,409.9		0.8
Residential mortgage-backed, U.S. agency backed		713.7		—		713.7		—
Residential mortgage-backed, non-agency		2.7		—		2.7		—
Commercial mortgage-backed		640.3		—		627.2		13.1
Asset-backed		91.0		—		91.0		—
Total fixed maturities		6,161.5		154.9		5,971.6		35.0
Equity securities		464.4		463.3		—		1.1
Other investments		3.5		—		—		3.5
Total investment assets at fair value, excluding held-for-sale     (Chaucer)		6,629.4		618.2		5,971.6		39.6
Investment assets, held-for-sale		24.5		5.7		18.8		—
Total investment assets at fair value	$	6,653.9	$	623.9	$	5,990.4	$	39.6

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:

	March 31, 2019
(in millions)	Total		Level 1		Level 2		Level 3
Assets:
Cash and cash equivalents	$	168.5	$	168.5	$	—	$	—
Other investments		425.7		—		1.8		423.9
Total financial instruments, excluding held-for-sale		594.2		168.5		1.8		423.9
Financial instruments, held-for-sale (Chaucer)		2.8		2.8		—		—
Total financial instruments	$	597.0	$	171.3	$	1.8	$	423.9
Liabilities:
Debt	$	694.2	$	—	$	694.2	$	—

	December 31, 2018
(in millions)	Total		Level 1		Level 2		Level 3
Assets:
Cash and cash equivalents	$	1,020.7	$	1,020.7	$	—	$	—
Other investments		418.9		—		8.7		410.2
Total financial instruments, excluding held-for-sale		1,439.6		1,020.7		8.7		410.2
Financial instruments, held-for-sale (Chaucer)		3.3		3.3		—		—
Total financial instruments	$	1,442.9	$	1,024.0	$	8.7	$	410.2
Liabilities:
Debt	$	825.0	$	—	$	825.0	$	—

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

The table 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
March 31, 2019
Balance January 1, 2019	$	21.1		$	0.8		$	13.1		$	35.0		$	4.6	$	39.6
Total gains:
Included in total net realized and unrealized    investment gains		0.1			—			—			0.1			—		0.1
Included in other comprehensive income-net    appreciation on available-for-sale securities		0.2			—			0.2			0.4			—		0.4
Sales		(0.9	)		(0.1	)		(0.5	)		(1.5	)		—		(1.5	)
Balance March 31, 2019	$	20.5		$	0.7		$	12.8		$	34.0		$	4.6	$	38.6
Three Months Ended
March 31, 2018
Balance January 1, 2018, excluding held-for-sale (Chaucer)	$	24.6		$	0.9		$	14.2		$	39.7		$	4.7	$	44.4
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		(0.5	)		—			(0.2	)		(0.7	)		—		(0.7	)
Sales		(1.1	)		(0.1	)		(0.5	)		(1.7	)		—		(1.7	)
Balance March 31, 2018, excluding held-for-sale (Chaucer)	$	23.1		$	0.8		$	13.5		$	37.4		$	4.7	$	42.1

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

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.  

			March 31, 2019			December 31, 2018
	Valuation	Significant	Fair		Range	Fair		Range
(in millions)	Technique	Unobservable Inputs	Value		(Wtd Average)	Value		(Wtd Average)
Fixed maturities:
Municipal	Discounted cash flow	Discount for:    Small issue size    Credit stress    Above-market coupon	$	20.5	0.7 - 6.8% (3.3%) 1.3% (1.3%) 0.3 - 0.5% (0.5%)	$	21.1	0.7 - 6.8% (3.4%) 1.3% (1.3%) 0.3 - 0.5% (0.5%)
Corporate	Discounted cash flow	Discount for:    Small issue size    Above-market coupon	0.7		2.5% (2.5%) 0.3% (0.3%)	0.8		2.5% (2.5%) 0.3% (0.3%)
Commercial    mortgage-backed	Discounted cash flow	Discount for:    Small issue size    Above-market coupon    Lease structure	12.8		1.9 - 3.1% (2.7%) 0.5% (0.5%) 0.3% (0.3%)	13.1		1.9 - 3.1% (2.7%) 0.5% (0.5%) 0.3% (0.3%)
Equity securities	Market comparables	Net tangible asset    market multiples		1.1	1.0X (1.0X)		1.1	1.0X (1.0X)
Other	Discounted cash flow	Discount rate		3.5	18.0% (18.0%)		3.5	18.0% (18.0%)