| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | June 30, 2021 | | | | | | | | | | |
(in millions) | | Amortized Cost | | Gross Unrealized Gains | | Gross Unrealized Losses | | Allowance for Credit Losses | | Fair Value |
Fixed maturities | | | | | | | | | | |
U.S. Governments | | $ | 350.7 | | | $ | 8.6 | | | $ | 1.5 | | | $ | — | | | $ | 357.8 | |
Foreign Governments | | 209.9 | | | 4.1 | | | 1.1 | | | 0.2 | | | 212.7 | |
Obligations of states and political subdivisions | | 185.5 | | | 7.5 | | | 0.5 | | | — | | | 192.5 | |
Corporate bonds | | 1,956.0 | | | 55.4 | | | 11.0 | | | 6.2 | | | 1,994.2 | |
Commercial mortgage-backed securities | | 342.2 | | | 10.6 | | | 1.7 | | | — | | | 351.1 | |
Residential mortgage-backed securities | | 510.8 | | | 12.0 | | | 3.6 | | | — | | | 519.2 | |
Asset-backed securities | | 121.1 | | | 2.6 | | | 0.4 | | | — | | | 123.3 | |
Collateralized loan obligations | | 305.0 | | | 2.6 | | | 0.7 | | | — | | | 306.9 | |
Total fixed maturities | | $ | 3,981.2 | | | $ | 103.4 | | | $ | 20.5 | | | $ | 6.4 | | | $ | 4,057.7 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
December 31, 2020 | | | | | | | | | | |
(in millions) | | Amortized Cost | | Gross Unrealized Gains | | Gross Unrealized Losses | | Allowance for Credit Losses | | Fair Value |
Fixed maturities | | | | | | | | | | |
U.S. Governments | | $ | 385.4 | | | $ | 14.7 | | | $ | 0.3 | | | $ | — | | | $ | 399.8 | |
Foreign Governments | | 284.1 | | | 11.6 | | | 0.7 | | | 0.2 | | | 294.8 | |
Obligations of states and political subdivisions | | 163.1 | | | 7.7 | | | 0.3 | | | 0.1 | | | 170.4 | |
Corporate bonds | | 1,925.9 | | | 75.3 | | | 13.3 | | | 6.1 | | | 1,981.8 | |
Commercial mortgage-backed securities | | 324.8 | | | 15.2 | | | 0.3 | | | — | | | 339.7 | |
Residential mortgage-backed securities | | 491.4 | | | 17.4 | | | 0.6 | | | — | | | 508.2 | |
Asset-backed securities | | 120.5 | | | 2.9 | | | 0.4 | | | 0.2 | | | 122.8 | |
Collateralized loan obligations | | 285.9 | | | 4.9 | | | 1.2 | | | — | | | 289.6 | |
Total fixed maturities | | $ | 3,981.1 | | | $ | 149.7 | | | $ | 17.1 | | | $ | 6.6 | | | $ | 4,107.1 | |
Contractual Maturity
The amortized cost and fair values of fixed maturity investments as of June 30, 2021, by contractual maturity, were as follows: | | | | | | | | | | | | | | |
(in millions) | | Amortized Cost | | Fair Value |
Due in one year or less | | $ | 284.5 | | | $ | 288.7 | |
Due after one year through five years | | 1,596.3 | | | 1,630.2 | |
Due after five years through ten years | | 714.6 | | | 729.9 | |
Due after ten years | | 106.7 | | | 108.4 | |
Structured securities | | 1,279.1 | | | 1,300.5 | |
Total | | $ | 3,981.2 | | | $ | 4,057.7 | |
The expected maturities may differ from the contractual maturities because debtors may have the right to call or prepay obligations.
Other Investments
Details regarding the carrying value and unfunded investment commitments of other investments as of June 30, 2021 and December 31, 2020 were as follows: | | | | | | | | | | | | | | |
June 30, 2021 | | | | |
(in millions) | | Carrying Value | | Unfunded Commitments |
Investment Type | | | | |
Hedge funds | | $ | 99.4 | | | $ | — | |
Private equity | | 243.1 | | | 67.9 | |
Overseas deposits | | 65.1 | | | — | |
Other | | 4.7 | | | — | |
Total other investments | | $ | 412.3 | | | $ | 67.9 | |
| | | | | | | | | | | | | | |
December 31, 2020 | | | | |
(in millions) | | Carrying Value | | Unfunded Commitments |
Investment Type | | | | |
Hedge funds | | $ | 111.2 | | | $ | — | |
Private equity | | 211.4 | | | 80.0 | |
Overseas deposits | | 102.1 | | | — | |
Other | | 4.7 | | | — | |
Total other investments | | $ | 429.4 | | | $ | 80.0 | |
The following describes each investment type:
•Hedge funds: Hedge funds include funds that primarily buy and sell stocks, including short sales, multi-strategy credit, relative value credit and distressed credit.
•Private equity: Private equity includes buyout funds, real asset/infrastructure funds, credit special situations funds, mezzanine lending funds and direct investments and strategic non-controlling minority investments in private companies that are principally accounted for using the equity method of accounting.
•Overseas deposits: Overseas deposits are principally invested in short-term sovereign fixed income and investment grade corporate securities and international stocks.
•Other: Other includes participation in investment pools.
Unrealized Losses
An aging of unrealized losses on our investments in fixed maturities is presented below: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
June 30, 2021 | | Less Than One Year | | One Year or Greater | | Total |
(in millions) | | Fair Value | | Unrealized Losses | | Fair Value | | Unrealized Losses | | Fair Value | | Unrealized Losses |
Fixed maturities | | | | | | | | | | | | |
U.S. Governments | | $ | 106.6 | | | $ | 1.5 | | | $ | — | | | $ | — | | | $ | 106.6 | | | $ | 1.5 | |
Foreign Governments | | 97.6 | | | 0.9 | | | — | | | 0.2 | | | 97.6 | | | 1.1 | |
Obligations of states and political subdivisions | | 22.4 | | | 0.3 | | | 0.4 | | | 0.2 | | | 22.8 | | | 0.5 | |
Corporate bonds | | 476.9 | | | 8.6 | | | 26.9 | | | 2.4 | | | 503.8 | | | 11.0 | |
Commercial mortgage-backed securities | | 76.6 | | | 1.5 | | | 7.0 | | | 0.2 | | | 83.6 | | | 1.7 | |
Residential mortgage-backed securities | | 157.6 | | | 3.5 | | | 5.1 | | | 0.1 | | | 162.7 | | | 3.6 | |
Asset-backed securities | | 16.4 | | | 0.4 | | | 3.1 | | | — | | | 19.5 | | | 0.4 | |
Collateralized loan obligations | | 100.3 | | | 0.7 | | | 2.8 | | | — | | | 103.1 | | | 0.7 | |
Total fixed maturities | | $ | 1,054.4 | | | $ | 17.4 | | | $ | 45.3 | | | $ | 3.1 | | | $ | 1,099.7 | | | $ | 20.5 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
December 31, 2020 | | Less Than One Year | | One Year or Greater | | Total |
(in millions) | | Fair Value | | Unrealized Losses | | Fair Value | | Unrealized Losses | | Fair Value | | Unrealized Losses |
Fixed maturities | | | | | | | | | | | | |
U.S. Governments | | $ | 40.6 | | | $ | 0.3 | | | $ | — | | | $ | — | | | $ | 40.6 | | | $ | 0.3 | |
Foreign Governments | | 18.0 | | | 0.5 | | | 0.1 | | | 0.2 | | | 18.1 | | | 0.7 | |
Obligations of states and political subdivisions | | 5.2 | | | 0.3 | | | — | | | — | | | 5.2 | | | 0.3 | |
Corporate bonds | | 202.5 | | | 6.7 | | | 17.5 | | | 6.6 | | | 220.0 | | | 13.3 | |
Commercial mortgage-backed securities | | 21.8 | | | 0.3 | | | — | | | — | | | 21.8 | | | 0.3 | |
Residential mortgage-backed securities | | 74.4 | | | 0.4 | | | 3.0 | | | 0.2 | | | 77.4 | | | 0.6 | |
Asset-backed securities | | 4.6 | | | 0.4 | | | — | | | — | | | 4.6 | | | 0.4 | |
Collateralized loan obligations | | 121.1 | | | 0.9 | | | 49.1 | | | 0.3 | | | 170.2 | | | 1.2 | |
Total fixed maturities | | $ | 488.2 | | | $ | 9.8 | | | $ | 69.7 | | | $ | 7.3 | | | $ | 557.9 | | | $ | 17.1 | |
We hold a total of 5,244 fixed maturity securities, of which 477 were in an unrealized loss position for less than one year and 78 were in an unrealized loss position for a period one year or greater as of June 30, 2021.
Allowance for Credit Losses
For fixed maturities with a decline in the fair value between the amortized cost due to credit-related factors, an allowance is established for the difference between the estimated recoverable value and amortized cost with a corresponding charge to realized investment losses in the Statement of Income (Loss). The allowance is limited to the difference between amortized cost and fair value. The estimated recoverable value is the present value of cash flows expected to be collected, as determined by management. The difference between fair value and amortized cost that is not associated with credit-related factors is recognized in the Statement of Comprehensive Income (Loss). Accrued interest is excluded from the measurement of the allowance for credit losses.
When determining if a credit loss has been incurred, we may consider the historical performance of the security, available market information and security specific considerations such as the priority payment of the security. In addition, inputs used in our analysis include, but are not limited to, credit ratings and downgrades, delinquency rates, missed scheduled interest or principal payments, purchase yields, underlying asset performance, collateral types, modeled default rates, modeled severity rates, call/prepayment rates, expected cash flows, industry concentrations, and potential or filed bankruptcies or restructurings.
We evaluate for credit losses each quarter. If we determine that all or a portion of a fixed maturity is uncollectible, the uncollectible amortized cost is written off with a corresponding reduction to the allowance for credit losses. If we collect cash flows that were previously written off, the recovery is recognized in realized investment gains. We also consider whether we intend to sell an available-for-sale security or if it is more likely than not that we will be required to sell the security before recovery of its amortized cost. In these instances, a decline in fair value is recognized in net realized gains (losses) in the Statement of Income based on the fair value of the security at the time of assessment, resulting in a new cost basis for the security.
The following table presents a roll-forward of the changes in allowance for credit losses on available-for-sale fixed maturities by industry category:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
(in millions) | | Foreign Governments | | Obligations of states and political subdivisions | | Corporate bonds | | Asset backed securities | | Total |
Beginning balance, January 1, 2021 | | $ | 0.2 | | | $ | 0.1 | | | $ | 6.1 | | | $ | 0.2 | | | $ | 6.6 | |
| | | | | | | | | | |
Securities for which allowance was not previously recorded | | — | | | — | | | 2.0 | | | — | | | 2.0 | |
Securities sold during the period | | — | | | — | | | (0.9) | | | — | | | (0.9) | |
Additional net increases (decreases) in existing allowance | | — | | | (0.1) | | | (1.0) | | | (0.2) | | | (1.3) | |
Ending balance, June 30, 2020 | | $ | 0.2 | | | $ | — | | | $ | 6.2 | | | $ | — | | | $ | 6.4 | |
Total credit impairment (gains) losses included in net realized investment gains (losses) in the Consolidated Statement of Income was $(0.4) million and $0.7 million for the three and six months ended June 30, 2021, respectively. Total credit impairment losses included in net realized investment gains (losses) in the Consolidated Statement of Income was $7.8 million and $32.5 million for the three and six months ended June 30, 2020, respectively.
Investment Gains and Losses
The following table presents our gross realized investment gains (losses):
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | For the Three Months Ended June 30, | | For the Six Months Ended June 30, |
(in millions) | | 2021 | | 2020 | | 2021 | | 2020 |
Realized gains on fixed maturities and other | | | | | | | | |
Fixed maturities | | $ | 17.5 | | | $ | 2.5 | | | $ | 23.0 | | | $ | 23.3 | |
Other investments, including short-terms | | 5.8 | | | 11.5 | | | 8.0 | | | 59.7 | |
Other assets | | 3.3 | | | 32.5 | | | 3.3 | | | 32.5 | |
| | 26.6 | | | 46.5 | | | 34.3 | | | 115.5 | |
Realized losses on fixed maturities and other | | | | | | | | |
Fixed maturities | | (3.0) | | | (10.5) | | | (4.5) | | | (18.2) | |
Other investments, including short-terms | | (8.8) | | | (14.4) | | | (14.5) | | | (46.3) | |
Other assets | | (11.5) | | | — | | | (11.5) | | | — | |
Credit losses on fixed maturities | | 0.4 | | | (7.8) | | | (0.7) | | | (32.5) | |
| | | | | | | | |
| | (22.9) | | | (32.7) | | | (31.2) | | | (97.0) | |
Equity securities | | | | | | | | |
Net realized (losses) on equity securities | | 0.7 | | | (11.0) | | | (1.1) | | | (12.6) | |
Change in unrealized gains (losses) on equity securities held at the end of the period | | 20.3 | | | 15.1 | | | 35.8 | | | (24.2) | |
Net realized gains (losses) on equity securities | | 21.0 | | | 4.1 | | | 34.7 | | | (36.8) | |
Net realized investment and other gains (losses) before income taxes | | 24.7 | | | 17.9 | | | 37.8 | | | (18.3) | |
Income tax (benefit) provision | | 5.2 | | | 6.7 | | | 7.9 | | | (1.3) | |
Net realized investment gains (losses), net of income taxes | | $ | 19.5 | | | $ | 11.2 | | | $ | 29.9 | | | $ | (17.0) | |
The cost of securities sold is based on the specific identification method.
Changes in unrealized gains (losses) related to investments are summarized as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | For the Three Months Ended June 30, | | For the Six Months Ended June 30, |
(in millions) | | 2021 | | 2020 | | 2021 | | 2020 |
Change in unrealized losses | | | | | | | | |
Fixed maturities | | $ | 18.0 | | | $ | 136.2 | | | $ | (47.7) | | | $ | 24.4 | |
| | | | | | | | |
Other investments | | — | | | — | | | — | | | (14.2) | |
Other and short-term investments | | 0.1 | | | 0.2 | | | (0.3) | | | — | |
Net unrealized investment gains (losses) before income taxes | | 18.1 | | | 136.4 | | | (48.0) | | | 10.2 | |
Income tax provision (benefit) | | 4.0 | | | 24.4 | | | (8.6) | | | 5.2 | |
Net unrealized investment gains (losses), net of income taxes | | $ | 14.1 | | | $ | 112.0 | | | $ | (39.4) | | | $ | 5.0 | |
Foreign Currency Exchange Forward Contracts
We enter into foreign currency exchange forward contracts to manage operational currency exposure on our Canadian dollar investment portfolio and certain catastrophic events, minimize negative impacts to investment portfolio returns and gain exposure to a total return strategy which invests in multiple currencies. The currency forward contracts are carried at fair value in our Consolidated Balance Sheets in “Other liabilities” and “Other assets” at June 30, 2021 and December 31, 2020, respectively. The net realized gains and (losses) are included in “Net realized investment gains (losses)” in our Consolidated Statements of Income (Loss).
The fair value of our foreign currency exchange forward contracts as of June 30, 2021 and December 31, 2020 was as follows:
| | | | | | | | | | | | | | |
(in millions) | | June 30, 2021 | | December 31, 2020 |
Operational currency exposure | | $ | (1.1) | | | $ | 0.4 | |
Asset manager investment exposure | | 1.0 | | | (0.2) | |
Total return strategy | | — | | | 0.7 | |
Total | | $ | (0.1) | | | $ | 0.9 | |
The following table represents our gross investment realized gains and losses on our foreign currency exchange forward contracts: | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | For the Three Months Ended June 30, | | For the Six Months Ended June 30, |
(in millions) | | 2021 | | 2020 | | 2021 | | 2020 |
Realized gains | | | | | | | | |
Operational currency exposure | | $ | 3.2 | | | $ | 0.5 | | | $ | 7.1 | | | $ | 5.9 | |
Asset manager investment exposure | | 0.9 | | | 0.2 | | | 1.8 | | | 1.0 | |
Total return strategy | | — | | | 8.2 | | | 6.1 | | | 33.2 | |
Gross realized investment gains | | 4.1 | | | 8.9 | | | 15.0 | | | 40.1 | |
Realized losses | | | | | | | | |
Operational currency exposure | | (3.5) | | | (3.0) | | | (12.7) | | | (4.7) | |
Asset manager investment exposure | | (0.8) | | | (0.6) | | | (0.8) | | | (1.0) | |
Total return strategy | | — | | | (8.6) | | | (5.1) | | | (36.6) | |
Gross realized investment losses | | (4.3) | | | (12.2) | | | (18.6) | | | (42.3) | |
Net realized investment (losses) gains on foreign currency exchange forward contracts | | $ | (0.2) | | | $ | (3.3) | | | $ | (3.6) | | | $ | (2.2) | |
Regulatory Deposits, Pledged Securities and Letters of Credit
We are required to maintain assets on deposit with various regulatory authorities to support our insurance and reinsurance operations. We maintain assets pledged as collateral in support of irrevocable letters of credit issued under the terms of certain reinsurance agreements for reported loss and loss expense reserves. The following table presents our components of restricted assets: | | | | | | | | | | | | | | |
(in millions) | | June 30, 2021 | | December 31, 2020 |
Securities on deposit for regulatory and other purposes | | $ | 214.5 | | | $ | 227.5 | |
Securities pledged as collateral for letters of credit and other | | 190.6 | | | 189.4 | |
Securities and cash on deposit supporting Lloyd’s business | | 353.0 | | | 409.2 | |
Total restricted investments | | $ | 758.1 | | | $ | 826.1 | |
Fair Value Measurements
Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. Fair value measurement assumes that the transaction to sell the asset or transfer the liability occurs in the principal market for the asset or liability, or in the absence of a principal market, the most advantageous market. Market participants are buyers and sellers in the principal (or most advantageous) market that are independent, knowledgeable, able to transact for the asset or liability and willing to transfer the asset or liability.
Valuation techniques consistent with the market approach, income approach and/or cost approach are used to measure fair value. The inputs of these valuation techniques are categorized into three levels.
•Level 1 inputs are quoted prices (unadjusted) in active markets for identical assets or liabilities that can be accessed at the reporting date. We define actively traded as a security that has traded in the past seven days. We receive one quote per instrument for Level 1 inputs.
•Level 2 inputs are inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly or indirectly. We receive one quote per instrument for Level 2 inputs.
•Level 3 inputs are unobservable inputs. Unobservable inputs reflect our own judgments about the assumptions market participants would use in pricing the asset or liability based on the best information available in the circumstances.
We receive fair value prices from third-party pricing services and our outside investment managers. These prices are determined using observable market information such as dealer quotes, market spreads, cash flows, yield curves, live trading levels, trade execution data, market consensus prepayment speeds, credit information and the security’s terms and conditions, among other things. We have reviewed the processes used by the third-party providers for pricing the securities and have determined that these processes result in fair values consistent with GAAP requirements. In addition, we review these prices for reasonableness, and have not adjusted any prices received from the third-party providers as of June 30, 2021 and December 31, 2020. A description of the valuation techniques we use to measure assets at fair value is as follows:
Fixed Maturities (Available-for-Sale) Levels 1 and 2:
•United States Treasury securities are typically valued using Level 1 inputs. For these securities, we obtain fair value measurements from third-party pricing services using quoted prices (unadjusted) in active markets at the reporting date.
•United States Government agencies, non-U.S. Government securities, obligations of states and political subdivisions, credit securities and foreign denominated government and credit securities are reported at fair value using Level 2 inputs. For these securities, we obtain fair value measurements from third-party pricing services. Observable data may include dealer quotes, market spreads, yield curves, live trading levels, trade execution data, credit information and the security’s terms and conditions, among other things.
•Asset and mortgage-backed securities and collateralized loan obligations are reported at fair value using Level 2 inputs. For these securities, we obtain fair value measurements from third-party pricing services. Observable data may include dealer quotes, market spreads, cash flows, yield curves, live trading levels, trade execution data, market consensus prepayment speeds, credit information and the security’s terms and conditions, among other things.
Fixed Maturities (Available-for-Sale) Levels 3: We own term loans that are valued using unobservable inputs.
Equity Securities Level 1: Equity securities are principally reported at fair value using Level 1 inputs. For these securities, we obtain fair value measurements from a third-party pricing service using quoted prices (unadjusted) in active markets at the reporting date.
Equity Securities Level 3: We own certain equity securities that are reported at fair value using Level 3 inputs. The valuation techniques for these securities include the following:
•Fair value measurements for an investment in an equity fund obtained by applying final prices provided by the administrator of the fund, which is based upon certain estimates and assumptions.
•Fair value measurements from brokers and independent valuation services, both based upon estimates, assumptions and other unobservable inputs.
Other Investments Level 2: Foreign regulatory deposits are assets held in trust in jurisdictions where there is a legal and regulatory requirement to maintain funds locally in order to protect policyholders. Lloyd’s is the appointed investment manager for the funds. These assets are invested in short-term government securities, agency securities and corporate bonds and are valued using Level 2 inputs based upon values obtained from Lloyd’s.
Short-term Investments: Short-term investments are principally reported at fair value using Level 1 inputs, with the exception of short-term corporate and governmental bonds reported at fair value using Level 2 inputs as described in the fixed maturities section above. Values for the investments categorized as Level 1 are obtained from various financial institutions as of the reporting date.
Based on an analysis of the inputs, our financial assets measured at fair value on a recurring basis have been categorized as follows: | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | Fair Value Measurements at Reporting Date Using |
(in millions) | | June 30, 2021 | | Level 1 (a) | | Level 2 (b) | | Level 3 (c) |
Fixed maturities | | | | | | | | |
U.S. Governments | | $ | 357.8 | | | $ | 343.6 | | | $ | 14.2 | | | $ | — | |
Foreign Governments | | 212.7 | | | — | | | 212.7 | | | — | |
Obligations of states and political subdivisions | | 192.5 | | | — | | | 192.5 | | | — | |
Corporate bonds | | 1,994.2 | | | — | | | 1,990.6 | | | 3.6 | |
Commercial mortgage-backed securities | | 351.1 | | | — | | | 351.1 | | | — | |
Residential mortgage-backed securities | | 519.2 | | | — | | | 519.2 | | | — | |
Asset-backed securities | | 123.3 | | | — | | | 123.3 | | | — | |
Collateralized loan obligations | | 306.9 | | | — | | | 306.9 | | | — | |
Total fixed maturities | | 4,057.7 | | | 343.6 | | | 3,710.5 | | | 3.6 | |
Equity securities | | 185.7 | | | 162.0 | | | — | | | 23.7 | |
Other investments | | 65.6 | | | — | | | 65.6 | | | — | |
Short-term investments | | 530.2 | | | 518.8 | | | 11.3 | | | 0.1 | |
| | $ | 4,839.2 | | | $ | 1,024.4 | | | $ | 3,787.4 | | | $ | 27.4 | |
(a)Quoted prices in active markets for identical assets
(b)Significant other observable inputs
(c)Significant unobservable inputs
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | Fair Value Measurements at Reporting Date Using |
(in millions) | | December 31, 2020 | | Level 1 (a) | | Level 2 (b) | | Level 3 (c) |
Fixed maturities | | | | | | | | |
U.S. Governments | | $ | 399.8 | | | $ | 383.5 | | | $ | 16.3 | | | $ | — | |
Foreign Governments | | 294.8 | | | — | | | 294.8 | | | — | |
Obligations of states and political subdivisions | | 170.4 | | | — | | | 170.4 | | | — | |
Corporate bonds | | 1,981.8 | | | — | | | 1,974.8 | | | 7.0 | |
Commercial mortgage-backed securities | | 339.7 | | | — | | | 339.7 | | | — | |
Residential mortgage-backed securities | | 508.2 | | | — | | | 508.2 | | | — | |
Asset-backed securities | | 122.8 | | | — | | | 122.8 | | | — | |
Collateralized loan obligations | | 289.6 | | | — | | | 289.6 | | | — | |
Total fixed maturities | | 4,107.1 | | | 383.5 | | | 3,716.6 | | | 7.0 | |
Equity securities | | 176.7 | | | 159.2 | | | — | | | 17.5 | |
Other investments | | 102.5 | | | 0.4 | | | 102.1 | | | — | |
Short-term investments | | 542.6 | | | 526.5 | | | 16.1 | | | — | |
| | $ | 4,928.9 | | | $ | 1,069.6 | | | $ | 3,834.8 | | | $ | 24.5 | |
(a)Quoted prices in active markets for identical assets
(b)Significant other observable inputs
(c)Significant unobservable inputs
The fair value measurements in the tables above do not equal “Total investments” on our Consolidated Balance Sheets as they exclude certain other investments that are accounted for under the equity-method of accounting.
A reconciliation of the beginning and ending balances for the investments categorized as Level 3 are as follows:
Fair Value Measurements Using Observable Inputs (Level 3)
| | | | | | | | | | | | | | | | | | | | | | | | | | |
(in millions) | | Corporate Bonds | | Equity Securities | | Short Term Investments | | Total |
Beginning balance, January 1, 2021 | | $ | 7.0 | | | $ | 17.5 | | | $ | — | | | $ | 24.5 | |
Transfers into Level 3 | | — | | | — | | | — | | | — | |
Transfers out of Level 3 | | — | | | — | | | — | | | — | |
Total gains or losses (realized/unrealized): | | | | | | | | |
Included in net income | | — | | | 6.2 | | | — | | | 6.2 | |
Included in other comprehensive income | | 0.1 | | | — | | | — | | | 0.1 | |
Purchases, issuances, sales, and settlements: | | | | | | | | |
Purchases | | — | | | — | | | 0.1 | | | 0.1 | |
Issuances | | — | | | — | | | — | | | — | |
Sales | | (3.5) | | | — | | | — | | | (3.5) | |
Settlements | | — | | | — | | | — | | | — | |
Ending balance, June 30, 2021 | | $ | 3.6 | | | $ | 23.7 | | | $ | 0.1 | | | $ | 27.4 | |
Amount of total gains or losses for the year included in net income attributable to the change in unrealized gains or losses relating to assets still held at June 30, 2021 | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
(in millions) | | Credit Financial | | Equity Securities | | Total |
Beginning balance, January 1, 2020 | | $ | 7.4 | | | $ | 18.2 | | | $ | 25.6 | |
Transfers into Level 3 | | — | | | — | | | — | |
Transfers out of Level 3 | | — | | | — | | | — | |
Total gains or losses (realized/unrealized): | | | | | | |
Included in net income | | — | | | (5.9) | | | (5.9) | |
Included in other comprehensive loss | | (0.5) | | | — | | | (0.5) | |
Purchases, issuances, sales, and settlements: | | | | | | |
Purchases | | 0.1 | | | 5.2 | | | 5.3 | |
Issuances | | — | | | — | | | — | |
Sales | | — | | | — | | | — | |
Settlements | | — | | | — | | | — | |
Ending balance, December 31, 2020 | | $ | 7.0 | | | $ | 17.5 | | | $ | 24.5 | |
Amount of total gains or losses for the year included in net income attributable to the change in unrealized gains or losses relating to assets still held at December 31, 2020 | | $ | — | | | $ | — | | | $ | — | |
At June 30, 2021 and December 31, 2020, we did not have any financial assets or financial liabilities measured at fair value on a nonrecurring basis or any financial liabilities on a recurring basis.
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- DefinitionThe entire disclosure for investments in certain debt and equity securities. + ReferencesReference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 942 -SubTopic 320 -URI http://asc.fasb.org/subtopic&trid=2209399
Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 946 -SubTopic 320 -URI http://asc.fasb.org/subtopic&trid=2324412
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Reference 5: http://www.xbrl.org/2003/role/disclosureRef -Publisher SEC -Name Regulation S-K (SK) -Number 229 -Section 1403 -Paragraph (b)
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