Fair Value of Financial Instruments (Tables)

12 Months Ended

Dec. 31, 2011

Estimated Carrying Values and Fair Values of Consolidated Financial Instruments

The estimated carrying values and fair values of Alleghany’s consolidated financial instruments as of December 31, 2011 and December 31, 2010 were as follows (in millions):

	December 31, 2011				December 31, 2010
	Carrying Value		Fair Value		Carrying Value		Fair Value
Assets
Investments (excluding equity method investments)*	$	4,670.6	$	4,670.6	$	4,622.7	$	4,622.7
Liabilities
Senior Notes**	$	299.0	$	314.8	$	298.9	$	291.8

* This table includes available-for-sale investments (securities as well as partnership investments carried at fair value that are included in other invested assets). This table excludes investments accounted for using the equity method (Homesite, ORX and other investments) and certain loans receivable that are carried at cost, all of which are included in other invested assets. The fair value of short-term investments approximates amortized cost. The fair value of all other categories of investments is discussed below.

** See Note 7.

Estimated Fair Values of Financial Instruments

The estimated fair values of Alleghany’s financial instruments as of December 31, 2011 and December 31, 2010 allocated among the three levels set forth above were as follows (in millions):

	Level 1		Level 2		Level 3		Total
As of December 31, 2011
Equity securities:
Common stock(1)	$	871.0	$	—	$	—	$	871.0
Preferred stock		—		—		—		—
Debt securities:
U.S. Government obligations		267.8		—		—		267.8
Mortgage and asset-backed securities(2)		—		860.5		—		860.5
States, municipalities and political subdivision bonds		—		1,113.6		—		1,113.6
Foreign bonds		—		83.5		—		83.5
Corporate bonds and other		—		354.1		—		354.1
		267.8		2,411.7		—		2,679.5
Short-term investments		54.3		1,042.2		—		1,096.5
Other invested assets(3)		—		—		23.6		23.6
Investments (excluding equity method investments)	$	1,193.1	$	3,453.9	$	23.6	$	4,670.6
Senior Notes	$	—	$	314.8	$	—	$	314.8
As of December 31, 2010
Equity securities:
Common stock(1)	$	1,500.7	$	—	$	—	$	1,500.7
Preferred stock		—		—		—		—
Debt securities:
U.S. Government obligations		307.3		30.5		—		337.8
Mortgage and asset-backed securities(2)		—		866.5		—		866.5
States, municipalities and political subdivision bonds		—		1,068.5		—		1,068.5
Foreign bonds		—		114.2		—		114.2
Corporate bonds and other		—		445.4		—		445.4
		307.3		2,525.1		—		2.832.4
Short-term investments		86.4		178.4		—		264.8
Other invested assets(3)		—		—		24.8		24.8
Investments (excluding equity method investments)	$	1,894.4	$	2,703.5	$	24.8	$	4,622.7
Senior Notes	$	—	$	291.8	$	—	$	291.8

(1) Of the $871.0 million of fair value as of December 31, 2011, $573.3 million related to certain energy sector businesses. Of the $1,500.7 million of fair value as of December 31, 2010, $1,004.8 million related to certain energy sector businesses.

(2) Of the $860.5 million of fair value as of December 31, 2011, $497.3 million related to RMBS, $144.7 million related to CMBS and $218.5 million related to other asset-backed securities. Of the $866.5 million of fair value as of December 31, 2010, $499.9 million related to RMBS, $173.4 million related to CMBS and $193.2 million related to other asset-backed securities.

(3) Level 3 securities consist of partnership investments. The carrying value of partnership investments of $23.6 million as of December 31, 2011 decreased by $1.2 million from the December 31, 2010 carrying value of $24.8 million, due primarily to net return of capital during 2011.