Investments (Tables)

9 Months Ended

Sep. 30, 2017

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

The following tables present the amortized cost or cost and the fair value of AFS securities as of September 30, 2017 and December 31, 2016:


	Amortized Cost or Cost		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value
	($ in millions)
As of September 30, 2017
Equity securities:
Common stock	$	3,170.0	$	662.8	$	(16.2)	$	3,816.6
Preferred stock		4.8		0.2		-		5.0

Total equity securities		3,174.8		663.0		(16.2)		3,821.6


Debt securities:
U.S. Government obligations		1,033.1		1.6		(14.0)		1,020.7
Municipal bonds		4,039.6		106.9		(14.8)		4,131.7
Foreign government obligations		1,134.6		14.0		(7.7)		1,140.9
U.S. corporate bonds		2,425.6		63.6		(8.2)		2,481.0
Foreign corporate bonds		1,270.5		27.1		(3.4)		1,294.2
Mortgage and asset-backed securities:
RMBS		953.9		7.7		(7.4)		954.2
CMBS		509.2		10.0		(2.3)		516.9
Other asset-backed securities⁽¹⁾		1,661.1		13.4		(1.7)		1,672.8

Total debt securities		13,027.6		244.3		(59.5)		13,212.4
Short-term investments		547.8		-		-		547.8

Total investments	$	16,750.2	$	907.3	$	(75.7)	$	17,581.8


	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 $1,146.2 million and $903.8 million of collateralized loan obligations as of September 30, 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 September 30, 2017 are presented 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 September 30, 2017
Short-term investments due in one year or less	$	547.8	$	547.8


Mortgage and asset-backed securities⁽¹⁾		3,124.2		3,143.9
Debt securities with maturity dates:
One year or less		385.2		386.1
Over one through five years		3,089.6		3,124.6
Over five through ten years		3,359.4		3,414.9
Over ten years		3,069.2		3,142.9

Total debt securities		13,027.6		13,212.4


Equity securities		3,174.8		3,821.6

Total	$	16,750.2	$	17,581.8

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

Net Investment Income

The following table presents net investment income for the three and nine months ended September 30, 2017 and 2016:


	Three Months Ended September 30,				Nine Months Ended September 30,
	2017		2016		2017		2016
	($ in millions)
Interest income	$	104.6	$	99.0	$	306.3	$	299.0
Dividend income		6.7		12.2		27.9		35.5
Investment expenses		(5.8)		(6.2)		(20.1)		(19.8)
Equity in results of Pillar Investments⁽¹⁾		(9.4)		5.9		(2.9)		12.9
Equity in results of Ares⁽¹⁾		6.9		4.6		(0.4)		5.1
Other investment results		1.7		5.1		11.1		(0.4)

Total	$	104.7	$	120.6	$	321.9	$	332.3

(1)	See Note 3(g) of this Form 10-Q for discussion of the Pillar Investments and the investment in Ares, each as defined therein.

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

The following table presents amounts of gross realized capital gains and gross realized capital losses for the three and nine months ended September 30, 2017 and 2016:


	Three Months Ended September 30,				Nine Months Ended September 30,
	2017		2016		2017		2016
	($ in millions)
Gross realized capital gains	$	47.0	$	32.7	$	189.7	$	217.7
Gross realized capital losses		(14.1)		(5.5)		(87.9)		(100.6)

Net realized capital gains	$	32.9	$	27.2	$	101.8	$	117.1

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

The following tables present gross unrealized losses and related fair values for equity securities and debt securities, grouped by duration of time in a continuous unrealized loss position, as of September 30, 2017 and December 31, 2016:


	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 September 30, 2017
Equity securities:
Common stock	$	998.5	$	16.2	$	-	$	-	$	998.5	$	16.2
Preferred stock		-		-		-		-		-		-

Total equity securities		998.5		16.2		-		-		998.5		16.2


Debt securities:
U.S. Government obligations		626.0		5.9		242.9		8.1		868.9		14.0
Municipal bonds		404.5		2.5		358.4		12.3		762.9		14.8
Foreign government obligations		408.2		4.9		76.0		2.8		484.2		7.7
U.S. corporate bonds		399.3		5.0		206.3		3.2		605.6		8.2
Foreign corporate bonds		236.6		1.6		117.3		1.8		353.9		3.4
Mortgage and asset-backed securities:
RMBS		429.7		4.7		132.8		2.7		562.5		7.4
CMBS		24.8		0.2		41.8		2.1		66.6		2.3
Other asset-backed securities		232.5		0.7		90.8		1.0		323.3		1.7

Total debt securities		2,761.6		25.5		1,266.3		34.0		4,027.9		59.5

Total temporarily impaired securities	$	3,760.1	$	41.7	$	1,266.3	$	34.0	$	5,026.4	$	75.7


	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