Fair Value (Tables)

3 Months Ended

Mar. 31, 2021

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

	March 31, 2021				December 31, 2020
	Carrying		Fair		Carrying		Fair
(in millions)	Value		Value		Value		Value
Financial Assets carried at:
Fair Value through AOCI:
Fixed maturities	$	7,370.3	$	7,370.3	$	7,454.4	$	7,454.4
Fair Value through Net Income:
Equity securities		641.0		641.0		598.5		598.5
Other investments		176.9		176.9		176.8		176.8
Amortized Cost/Cost:
Other investments		459.7		489.9		470.3		504.8
Cash and cash equivalents		112.1		112.1		120.6		120.6
Total financial instruments	$	8,760.0	$	8,790.2	$	8,820.6	$	8,855.1

Financial Liabilities carried at:
Amortized Cost:
Debt	$	781.0	$	858.7	$	780.8	$	887.7

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, 2021
(in millions)	Total		Level 1		Level 2		Level 3
Fixed maturities:
U.S. Treasury and government agencies	$	359.7	$	155.3	$	204.4	$	—
Foreign government		2.6		—		2.6		—
Municipal		1,073.1		—		1,066.9		6.2
Corporate		4,115.2		—		4,114.8		0.4
Residential mortgage-backed		994.2		—		994.2		—
Commercial mortgage-backed		756.5		—		744.7		11.8
Asset-backed		69.0		—		69.0		—
Total fixed maturities		7,370.3		155.3		7,196.6		18.4
Equity securities		641.0		635.4		—		5.6
Other investments		4.0		—		—		4.0
Total investment assets at fair value	$	8,015.3	$	790.7	$	7,196.6	$	28.0

	December 31, 2020
(in millions)	Total		Level 1		Level 2		Level 3
Fixed maturities:
U.S. Treasury and government agencies	$	392.0	$	155.8	$	236.2	$	—
Foreign government		2.7		—		2.7		—
Municipal		1,103.7		—		1,096.7		7.0
Corporate		4,111.3		—		4,110.8		0.5
Residential mortgage-backed		1,010.7		—		1,010.7		—
Commercial mortgage-backed		760.0		—		747.6		12.4
Asset-backed		74.0		—		74.0		—
Total fixed maturities		7,454.4		155.8		7,278.7		19.9
Equity securities		598.5		593.0		—		5.5
Other investments		4.0		—		—		4.0
Total investment assets at fair value	$	8,056.9	$	748.8	$	7,278.7	$	29.4

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, 2021
(in millions)	Total		Level 1		Level 2		Level 3
Assets:
Cash and cash equivalents	$	112.1	$	112.1	$	—	$	—
Other investments		489.9		—		2.7		487.2
Total financial instruments	$	602.0	$	112.1	$	2.7	$	487.2

Liabilities:
Debt	$	858.7	$	—	$	858.7	$	—

	December 31, 2020
(in millions)	Total		Level 1		Level 2		Level 3
Assets:
Cash and cash equivalents	$	120.6	$	120.6	$	—	$	—
Other investments		504.8		—		2.7		502.1
Total financial instruments	$	625.4	$	120.6	$	2.7	$	502.1

Liabilities:
Debt	$	887.7	$	—	$	887.7	$	—

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

The tables below provide 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, 2021
Balance January 1, 2021	$	7.0		$	0.5		$	12.4		$	19.9		$	9.5	$	29.4
Total gains (losses):
Included in total net realized and unrealized investment gains		—			—			—			—			0.1		0.1
Included in other comprehensive loss-net depreciation on available-for-sale securities		—			—			(0.4	)		(0.4	)		—		(0.4	)
Sales		(0.8	)		(0.1	)		(0.2	)		(1.1	)		—		(1.1	)
Balance March 31, 2021	$	6.2		$	0.4		$	11.8		$	18.4		$	9.6	$	28.0
Change in unrealized losses for the period included in other comprehensive loss for assets held at the end of the period	$	—		$	—		$	(0.4	)	$	(0.4	)	$	—	$	(0.4	)

Three Months Ended March 31, 2020
Balance January 1, 2020	$	12.1		$	0.6		$	12.7		$	25.4		$	5.6	$	31.0
Total gains (losses):
Included in other comprehensive loss-net appreciation (depreciation) on available-for-sale securities		0.1			—			(0.4	)		(0.3	)		—		(0.3	)
Sales		(0.8	)		(0.1	)		(0.5	)		(1.4	)		—		(1.4	)
Balance March 31, 2020	$	11.4		$	0.5		$	11.8		$	23.7		$	5.6	$	29.3
Change in unrealized gains (losses) for the period included in other comprehensive loss for assets held at the end of the period	$	0.1		$	—		$	(0.4	)	$	(0.3	)	$	—	$	(0.3	)

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.

			March 31, 2021			December 31, 2020
	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	$	6.2	0.7 - 6.8% (5.0%) 0.2% (0.2%)	$	7.0	0.7 - 6.8% (5.0%) 0.2% (0.2%)
Corporate	Discounted cash flow	Discount for: Small issue size Above-market coupon	0.4		2.5% (2.5%) 0.3% (0.3%)	0.5		2.5% (2.5%) 0.3% (0.3%)
Commercial mortgage-backed	Discounted cash flow	Discount for: Small issue size Above-market coupon Lease structure Credit stress	11.8		1.9 - 3.1% (2.7%) 0.5% (0.5%) 0.3% (0.3%) —	12.4		1.9 - 3.1% (2.7%) 0.5% (0.5%) 0.3% (0.3%) 0.2% (0.2%)
Equity securities	Market comparables	Net tangible asset market multiples	1.2		1.0X (1.0X)		1.1	1.0X (1.0X)
	Internal price	Unadjusted price from financing round	4.4		5.60 (5.60)		4.4	5.60 (5.60)
Other	Discounted cash flow	Discount rate	4.0		16.2% (16.2%)		4.0	16.2% (16.2%)