Investments (Tables)

3 Months Ended

Mar. 31, 2017

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, 2017 and December 31, 2016 are summarized as follows:

	Amortized Cost or Cost		Gross   Unrealized   Gains		Gross   Unrealized   Losses		Fair Value
			($ in millions)
As of March 31, 2017
Equity securities:
Common stock	$	1,814.4	$	402.2	$	(3.5)	$	2,213.1
Preferred stock		2.4		-		-		2.4
Total equity securities		1,816.8		402.2		(3.5)		2,215.5
Debt securities:
U.S. Government obligations		1,142.4		1.8		(20.4)		1,123.8
Municipal bonds		4,077.5		75.0		(34.4)		4,118.1
Foreign government obligations		1,036.7		20.6		(3.2)		1,054.1
U.S. corporate bonds		2,246.0		41.9		(18.2)		2,269.7
Foreign corporate bonds		1,143.3		24.7		(4.8)		1,163.2
Mortgage and asset-backed securities:
RMBS		976.2		6.6		(11.9)		970.9
CMBS		620.0		8.4		(3.5)		624.9
Other asset-backed securities(1)		1,722.2		8.7		(3.1)		1,727.8
Total debt securities		12,964.3		187.7		(99.5)		13,052.5
Short-term investments		1,725.1		-		-		1,725.1
Total investments	$	16,506.2	$	589.9	$	(103.0)	$	16,993.1

	Amortized     Cost or Cost		Gross     Unrealized     Gains		Gross     Unrealized     Losses		Fair Value
			($ in millions)
As of December 31, 2016
Equity securities:
Common stock	$	2,816.6	$	332.1	$	(39.2)	$	3,109.5
Preferred stock		-		-		-		-
Total equity securities		2,816.6		332.1		(39.2)		3,109.5
Debt securities:
U.S. Government obligations		1,265.7		2.2		(24.6)		1,243.3
Municipal bonds		4,161.0		66.9		(42.1)		4,185.8
Foreign government obligations		1,030.9		20.2		(4.0)		1,047.1
U.S. corporate bonds		2,168.9		43.5		(19.3)		2,193.1
Foreign corporate bonds		1,068.3		27.3		(6.8)		1,088.8
Mortgage and asset-backed securities:
RMBS		1,005.9		7.0		(12.5)		1,000.4
CMBS		728.8		9.6		(3.6)		734.8
Other asset-backed securities(1)		1,497.6		4.0		(11.7)		1,489.9
Total debt securities		12,927.1		180.7		(124.6)		12,983.2
Short-term investments		778.4		-		-		778.4
Total investments	$	16,522.1	$	512.8	$	(163.8)	$	16,871.1

(1) Includes $1,184.2 million and $903.8 million of collateralized loan obligations as of March 31, 2017 and December 31, 2016, respectively.

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

The amortized cost or cost and estimated fair value of debt securities by contractual maturity as of March 31, 2017 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)
As of March 31, 2017
Short-term investments due in one year or less	$	1,725.1	$	1,725.1
Mortgage and asset-backed securities(1)		3,318.4		3,323.6
Debt securities with maturity dates:
One year or less		499.1		501.1
Over one through five years		2,971.4		3,002.5
Over five through ten years		3,195.2		3,228.0
Over ten years		2,980.2		2,997.3
Total debt securities		12,964.3		13,052.5
Equity securities		1,816.8		2,215.5
Total	$	16,506.2	$	16,993.1

(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, 2017 and 2016 was as follows:

	Three Months Ended March 31,
	2017		2016
	($ in millions)
Interest income	$	99.2	$	101.2
Dividend income		9.4		12.1
Investment expenses		(7.3)		(6.9)
Equity in results of Pillar Investments(1)		3.4		3.1
Equity in results of Ares(1)		5.2		0.4
Other investment results		5.6		(5.0)
Total	$	115.5	$	104.9

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

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

The amount of gross realized capital gains and gross realized capital losses for the three months ended March 31, 2017 and 2016 were as follows:

	Three Months Ended March 31,
	2017		2016
	($ in millions)
Gross realized capital gains	$	108.7	$	82.4
Gross realized capital losses		(49.1)		(46.5)
Net realized capital gains	$	59.6	$	35.9

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, 2017 and December 31, 2016, 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, 2017
Equity securities:
Common stock	$	90.5	$	3.5	$	-	$	-	$	90.5	$	3.5
Preferred stock		-		-		-		-		-		-
Total equity securities		90.5		3.5		-		-		90.5		3.5
Debt securities:
U.S. Government obligations		900.8		20.4		-		-		900.8		20.4
Municipal bonds		1,123.1		31.5		53.6		2.9		1,176.7		34.4
Foreign government obligations		227.9		3.2		-		-		227.9		3.2
U.S. corporate bonds		754.1		17.4		40.9		0.8		795.0		18.2
Foreign corporate bonds		343.4		4.8		1.9		-		345.3		4.8
Mortgage and asset-backed securities:
RMBS		632.3		11.0		35.7		0.9		668.0		11.9
CMBS		159.3		1.3		58.4		2.2		217.7		3.5
Other asset-backed securities		324.5		1.1		319.8		2.0		644.3		3.1
Total debt securities		4,465.4		90.7		510.3		8.8		4,975.7		99.5
Total temporarily impaired securities	$	4,555.9	$	94.2	$	510.3	$	8.8	$	5,066.2	$	103.0
	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, 2016
Equity securities:
Common stock	$	619.4	$	39.2	$	-	$	-	$	619.4	$	39.2
Preferred stock		-		-		-		-		-		-
Total equity securities		619.4		39.2		-		-		619.4		39.2
Debt securities:
U.S. Government obligations		975.0		24.6		-		-		975.0		24.6
Municipal bonds		1,464.5		39.7		41.6		2.4		1,506.1		42.1
Foreign government obligations		238.3		4.0		-		-		238.3		4.0
U.S. corporate bonds		727.9		18.1		52.6		1.2		780.5		19.3
Foreign corporate bonds		331.0		6.6		4.1		0.2		335.1		6.8
Mortgage and asset-backed securities:
RMBS		652.0		11.4		43.4		1.1		695.4		12.5
CMBS		148.9		1.4		117.7		2.2		266.6		3.6
Other asset-backed securities		334.7		1.6		550.4		10.1		885.1		11.7
Total debt securities		4,872.3		107.4		809.8		17.2		5,682.1		124.6
Total temporarily impaired securities	$	5,491.7	$	146.6	$	809.8	$	17.2	$	6,301.5	$	163.8