Investments (Tables)

6 Months Ended

Jun. 30, 2018

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 June 30, 2018 and December 31, 2017:


	Amortized Cost or Cost		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value
	($ in millions)
As of June 30, 2018
Debt securities:
U.S. Government obligations	$	1,026.0	$	0.6	$	(33.0)	$	993.6
Municipal bonds		2,803.5		56.1		(17.1)		2,842.5
Foreign government obligations		929.3		9.3		(5.7)		932.9
U.S. corporate bonds		2,432.4		17.9		(41.9)		2,408.4
Foreign corporate bonds		1,418.5		12.9		(19.0)		1,412.4
Mortgage and asset-backed securities:
RMBS		1,184.1		3.3		(26.7)		1,160.7
CMBS		545.5		2.5		(7.4)		540.6
Other asset-backed securities⁽¹⁾		1,866.7		4.9		(6.8)		1,864.8

Total debt securities		12,206.0		107.5		(157.6)		12,155.9


Short-term investments		472.8		-		-		472.8

Total investments	$	12,678.8	$	107.5	$	(157.6)	$	12,628.7


	Amortized Cost or Cost		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value
			($ in millions)
As of December 31, 2017
Equity securities:
Common stock	$	3,165.8	$	932.5	$	(3.8)	$	4,094.5
Preferred stock		4.9		0.1		-		5.0

Total equity securities		3,170.7		932.6		(3.8)		4,099.5


Debt securities:
U.S. Government obligations		963.9		1.7		(17.6)		948.0
Municipal bonds		3,578.9		109.8		(6.6)		3,682.1
Foreign government obligations		1,000.1		11.2		(4.7)		1,006.6
U.S. corporate bonds		2,381.1		61.6		(9.7)		2,433.0
Foreign corporate bonds		1,481.8		24.5		(6.5)		1,499.8
Mortgage and asset-backed securities:
RMBS		993.9		6.3		(4.6)		995.6
CMBS		545.0		9.0		(2.3)		551.7
Other asset-backed securities⁽¹⁾		1,592.1		13.8		(1.3)		1,604.6

Total debt securities		12,536.8		237.9		(53.3)		12,721.4


Short-term investments		578.1		-		-		578.1

Total investments	$	16,285.6	$	1,170.5	$	(57.1)	$	17,399.0

(1)

Includes $1,224.0 million and $1,101.3 million of collateralized loan obligations as of June 30, 2018 and December 31, 2017, respectively.

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

The following table presents the amortized cost or cost and estimated fair value of debt securities by contractual maturity as of June 30, 2018. 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 June 30, 2018
Short-term investments due in one year or less	$	472.8	$	472.8


Mortgage and asset-backed securities⁽¹⁾		3,596.3		3,566.1
Debt securities with maturity dates:
One year or less		348.2		348.2
Over one through five years		3,042.6		3,024.8
Over five through ten years		2,997.0		2,973.6
Over ten years		2,221.9		2,243.2

Total debt securities	$	12,206.0	$	12,155.9

(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 six months ended June 30, 2018 and 2017:


	Three Months Ended						Six Months Ended
	June 30,						June 30,
	2018			2017			2018			2017
	($ in millions)
Interest income	$	104.8		$	102.5		$	206.8		$	201.7
Dividend income		22.3			11.8			38.6			21.2
Investment expenses		(6.6	)		(6.9	)		(18.6	)		(14.3	)
Pillar Investments⁽¹⁾		1.9			3.2			1.9			6.6
Limited partnership interests in certain subsidiaries of Ares⁽¹⁾		(0.7	)		(12.6	)		13.2			(7.4	)
Other investment results		4.6			3.7			8.5			9.4

Total	$	126.3		$	101.7		$	250.4		$	217.2

(1)	See Note 3(h) of this Form 10-Q for discussion of the Pillar Investments, as defined therein, and limited partnership interests in certain subsidiaries of Ares.

Summary of Increases in Fair Value of Equity Securities

The following table presents increases in the fair value of equity securities for the three and six months ended June 30, 2018:


	Three Months Ended		Six Months Ended
	June 30, 2018		June 30, 2018
	($ in millions)
Change in the fair value of equity securities sold during the period	$	4.4	$	16.0
Change in the fair value of equity securities held at the end of the period		180.8		126.6

Change in the fair value of equity securities	$	185.2	$	142.6

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 six months ended June 30, 2018 and 2017:


	Three Months Ended June 30,				Six Months Ended June 30,
	2018		2017		2018		2017
	($ in millions)
Gross realized capital gains	$	6.5	$	34.0	$	66.4	$	142.7
Gross realized capital losses		-		(24.7)		(15.4)		(73.8)

Net realized capital gains	$	6.5	$	9.3	$	51.0	$	68.9

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

The following tables present gross unrealized losses and related fair values for Alleghany’s AFS securities, grouped by duration of time in a continuous unrealized loss position, as of June 30, 2018 and December 31, 2017:


	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 June 30, 2018
Debt securities:
U.S. Government obligations	$	532.8	$	12.7	$	390.1	$	20.3	$	922.9	$	33.0
Municipal bonds		543.2		8.2		215.2		8.9		758.4		17.1
Foreign government obligations		189.9		2.1		130.5		3.6		320.4		5.7
U.S. corporate bonds		1,355.7		32.1		174.1		9.8		1,529.8		41.9
Foreign corporate bonds		656.7		12.7		189.2		6.3		845.9		19.0
Mortgage and asset-backed securities:
RMBS		887.3		21.3		116.5		5.4		1,003.8		26.7
CMBS		277.9		4.6		32.3		2.8		310.2		7.4
Other asset-backed securities		982.2		6.4		27.7		0.4		1,009.9		6.8

Total temporarily impaired securities	$	5,425.7	$	100.1	$	1,275.6	$	57.5	$	6,701.3	$	157.6


	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, 2017
Equity securities:
Common stock	$	145.7	$	3.8	$	-	$	-	$	145.7	$	3.8
Preferred stock		-		-		-		-		-		-

Total equity securities		145.7		3.8		-		-		145.7		3.8


Debt securities:
U.S. Government obligations		447.8		4.4		416.6		13.2		864.4		17.6
Municipal bonds		240.0		1.5		267.3		5.1		507.3		6.6
Foreign government obligations		321.9		2.7		72.2		2.0		394.1		4.7
U.S. corporate bonds		568.8		6.1		207.3		3.6		776.1		9.7
Foreign corporate bonds		417.4		3.0		159.4		3.5		576.8		6.5
Mortgage and asset-backed securities:
RMBS		284.2		1.6		131.5		3.0		415.7		4.6
CMBS		112.2		0.5		34.7		1.8		146.9		2.3
Other asset-backed securities		211.1		0.9		65.7		0.4		276.8		1.3

Total debt securities		2,603.4		20.7		1,354.7		32.6		3,958.1		53.3

Total temporarily impaired securities	$	2,749.1	$	24.5	$	1,354.7	$	32.6	$	4,103.8	$	57.1