Investments (Tables)

3 Months Ended

Mar. 31, 2016

Amortized Cost or Cost and Fair Value of Available For Sale Securities

The amortized cost or cost and the fair value of AFS securities as of March 31, 2016 and December 31, 2015 are summarized as follows:

	Amortized Cost or Cost		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value
	($ in millions)
As of March 31, 2016
Equity securities:
Common stock	$	2,637.8	$	307.7	$	(56.4)	$	2,889.1
Preferred stock		-		-		-		-
Total equity securities		2,637.8		307.7		(56.4)		2,889.1
Debt securities:
U.S. Government obligations		1,147.7		19.2		(0.7)		1,166.2
Municipal bonds		4,268.9		159.4		(8.4)		4,419.9
Foreign government obligations		1,061.7		29.9		(0.2)		1,091.4
U.S. corporate bonds		1,979.7		50.2		(18.5)		2,011.4
Foreign corporate bonds		1,035.2		32.0		(3.7)		1,063.5
Mortgage and asset-backed securities:
RMBS		1,296.7		18.8		(2.0)		1,313.5
CMBS		1,009.7		16.0		(8.2)		1,017.5
Other asset-backed securities(1)		1,585.7		1.5		(52.4)		1,534.8
Total debt securities		13,385.3		327.0		(94.1)		13,618.2
Short-term investments		493.6		-		-		493.6
Total	$	16,516.7	$	634.7	$	(150.5)	$	17,000.9

	Amortized Cost  or Cost		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value
	($ in millions)
As of December 31, 2015
Equity securities:
Common stock	$	2,741.0	$	351.9	$	(87.0)	$	3,005.9
Preferred stock		-		-		-		-
Total equity securities		2,741.0		351.9		(87.0)		3,005.9
Debt securities:
U.S. Government obligations		1,086.8		1.9		(14.0)		1,074.7
Municipal bonds		4,213.6		134.8		(8.8)		4,339.6
Foreign government obligations		924.1		18.6		(1.3)		941.4
U.S. corporate bonds		2,201.3		23.4		(48.0)		2,176.7
Foreign corporate bonds		1,219.0		24.0		(12.7)		1,230.3
Mortgage and asset-backed securities:
RMBS		1,255.1		10.7		(12.4)		1,253.4
CMBS		1,024.8		8.2		(9.6)		1,023.4
Other asset-backed securities(1)		1,605.2		0.3		(39.0)		1,566.5
Total debt securities		13,529.9		221.9		(145.8)		13,606.0
Short-term investments		365.8		-		-		365.8
Total	$	16,636.7	$	573.8	$	(232.8)	$	16,977.7

(1) Includes $913.9 million and $946.7 million of collateralized loan obligations as of March 31, 2016 and December 31, 2015, respectively.

Amortized Cost and Estimated Fair Value of Debt Securities by Contractual Maturity

The amortized cost and estimated fair value of debt securities by contractual maturity as of March 31, 2016 are shown below. Expected maturities will differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment penalties.

	Amortized Cost or Cost		Fair Value
	($ in millions)
Short-term investments due in one year or less	$	493.6	$	493.6
Mortgage and asset-backed securities(1)		3,892.1		3,865.8
Debt securities with maturity dates:
One year or less		416.2		418.1
Over one through five years		2,851.5		2,895.3
Over five through ten years		3,079.9		3,176.6
Over ten years		3,145.6		3,262.4
Total debt securities		13,385.3		13,618.2
Equity securities		2,637.8		2,889.1
Total	$	16,516.7	$	17,000.9

(1) Mortgage and asset-backed securities by their nature do not generally have single maturity dates.

Net Investment Income

Net investment income for the three months ended March 31, 2016 and 2015 were as follows:

	Three Months Ended March 31,
	2016		2015
	($ in millions)
Interest income	$	101.2	$	94.7
Dividend income		12.1		14.5
Investment expenses		(6.9)		(7.3)
Equity in results of Pillar Investments(1)		3.1		6.6
Equity in results of Ares(1)		0.4		2.3
Equity in results of ORX		-		(1.0)
Other investment results		(5.0)		3.6
Total	$	104.9	$	113.4

(1) See Note 3(g) for discussion of the Pillar Investments and the investment in Ares as defined therein.

Amount of Gross Realized Capital Gains and Gross Realized Capital Losses of Available For Sale Securities

Realized capital gains and losses for the three months ended March 31, 2016 and 2015 primarily reflect sales of equity and debt securities. Gross realized capital gains and gross realized capital losses for the three months ended March 31, 2016 and 2015 were as follows:

	Three Months Ended March 31,
	2016		2015
	($ in millions)
Gross realized capital gains	$	82.4	$	114.4
Gross realized capital losses		(46.5)		(71.3)
Net realized capital gains	$	35.9	$	43.1

Gross Unrealized Losses and Related Fair Values for Debt Securities and Equity Securities Grouped by Duration of Time in Continuous Unrealized Loss Position

As of March 31, 2016 and December 31, 2015, gross unrealized losses and related fair values for equity securities and debt securities, grouped by duration of time in a continuous unrealized loss position, were as follows:

	Less Than 12 Months				12 Months or More				Total
	Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses
	($ in millions)
As of March 31, 2016
Equity securities:
Common stock	$	1,030.5	$	56.4	$	-	$	-	$	1,030.5	$	56.4
Preferred stock		-		-		-		-		-		-
Total equity securities		1,030.5		56.4		-		-		1,030.5		56.4
Debt securities:
U.S. Government obligations		110.0		0.7		4.3		-		114.3		0.7
Municipal bonds		203.0		1.0		155.4		7.4		358.4		8.4
Foreign government obligations		152.9		0.2		2.6		-		155.5		0.2
U.S. corporate bonds		300.6		15.0		157.3		3.5		457.9		18.5
Foreign corporate bonds		122.2		1.4		72.7		2.3		194.9		3.7
Mortgage and asset-backed securities:
RMBS		7.9		0.1		334.1		1.9		342.0		2.0
CMBS		372.8		6.5		35.1		1.7		407.9		8.2
Other asset-backed securities		950.8		35.7		275.3		16.7		1,226.1		52.4
Total debt securities		2,220.2		60.6		1,036.8		33.5		3,257.0		94.1
Total temporarily impaired securities	$	3,250.7	$	117.0	$	1,036.8	$	33.5	$	4,287.5	$	150.5
	Less Than 12 Months				12 Months or More				Total
	Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses
	($ in millions)
As of December 31, 2015
Equity securities:
Common stock	$	1,355.6	$	87.0	$	-	$	-	$	1,355.6	$	87.0
Preferred stock		-		-		-		-		-		-
Total equity securities		1,355.6		87.0		-		-		1,355.6		87.0
Debt securities:
U.S. Government obligations		818.4		13.9		7.9		0.1		826.3		14.0
Municipal bonds		276.2		2.4		108.3		6.4		384.5		8.8
Foreign government obligations		208.5		1.3		-		-		208.5		1.3
U.S. corporate bonds		1,149.8		39.0		70.0		9.0		1,219.8		48.0
Foreign corporate bonds		479.9		10.8		12.5		1.9		492.4		12.7
Mortgage and asset-backed securities:
RMBS		511.1		6.5		250.6		5.9		761.7		12.4
CMBS		593.1		9.4		15.1		0.2		608.2		9.6
Other asset-backed securities		1,164.8		27.2		265.0		11.8		1,429.8		39.0
Total debt securities		5,201.8		110.5		729.4		35.3		5,931.2		145.8
Total temporarily impaired securities	$	6,557.4	$	197.5	$	729.4	$	35.3	$	7,286.8	$	232.8