XML 32 R21.htm IDEA: XBRL DOCUMENT v3.19.2
Investments (Tables)
 6 Months Ended
Jun. 30, 2019
Amortized Cost or Cost and Fair Value of Available For Sale Securities
The following tables present the amortized cost and the fair value of AFS securities as of June 30, 2019 and December 31, 2018:
                                 
 
Amortized
Cost
   
Gross
Unrealized
Gains
   
Gross
Unrealized
Losses
   
Fair Value
 
 
 
 
 
 
 
 
 
 
 
 
 
 
($ in millions)
 
As of June 30, 2019
   
     
     
     
 
Debt securities:
   
     
     
     
 
U.S. Government obligations
  $
1,242.2
    $
17.3
    $
(3.0
)   $
1,256.5
 
Municipal bonds
   
2,335.8
     
112.6
     
(0.1
)    
2,448.3
 
Foreign government obligations
   
759.3
     
24.6
     
(0.5
)    
783.4
 
U.S. corporate bonds
   
2,975.3
     
120.4
     
(5.3
)    
3,090.4
 
Foreign corporate bonds
   
1,403.6
     
35.3
     
(1.8
)    
1,437.1
 
Mortgage and asset-backed securities:
   
     
     
     
 
RMBS
   
1,878.3
     
40.6
     
(3.0
)    
1,915.9
 
CMBS
   
766.0
     
23.0
     
(0.6
)    
788.4
 
Other asset-backed securities
(1)
    
2,396.4
     
27.7
     
(14.5
)    
2,409.6
 
                                 
Total debt securities
   
13,756.9
     
401.5
     
(28.8
)    
14,129.6
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
                                 
Short-term investments
   
1,054.8
     
-
     
-
     
1,054.8
 
                                 
Total investments
    $
14,811.7
      $
401.5
      $
(28.8
)  
  
$
15,184.4
 
                                 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
                                 
 
Amortized
Cost
   
Gross
Unrealized
Gains
   
Gross
Unrealized
Losses
   
Fair Value
 
 
 
 
 
 
 
 
 
 
 
 
 
 
($ in millions)
 
As of December 31, 2018
   
     
     
     
 
Debt securities:
   
     
     
     
 
U.S. Government obligations
  $
1,042.4
    $
2.4
    $
(22.4
 )   $
1,022.4
 
Municipal bonds
   
2,177.5
     
44.4
     
(7.2
 )    
2,214.7
 
Foreign government obligations
   
939.0
     
12.3
     
(3.4
 )    
947.9
 
U.S. corporate bonds
   
2,431.4
     
13.2
     
(59.3
 )    
2,385.3
 
Foreign corporate bonds
   
1,363.0
     
9.1
     
(18.8
 )    
1,353.3
 
Mortgage and asset-backed securities:
   
     
     
     
 
RMBS
   
1,392.4
     
10.3
     
(14.8
 )    
1,387.9
 
CMBS
   
536.9
     
2.8
     
(6.4
 )    
533.3
 
Other asset-backed securities
(1)
    
2,013.3
     
4.4
     
(38.5
 )    
1,979.2
 
 
                                
Total debt securities
   
11,895.9
     
98.9
     
(170.8
 )    
11,824.0
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
                                 
Short-term investments
   
893.8
     
-
     
-
     
893.8
 
                                 
Total investments
    $
12,789.7
      $
98.9
      $
(170.8
 )     $
12,717.8
 
                                 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
     
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
(1)
Includes $
952.5
 million and $
1,266.9
 million of collateralized loan obligations as of June 30, 2019 and December 31, 2018, respectively.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Amortized Cost and Estimated Fair Value of Debt Securities by Contractual Maturity The following table presents the amortized cost and estimated fair value of debt securities by contractual maturity as of June 30, 2019. 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
   
Fair Value
 
 
 
 
 
 
 
 
($ in millions)
 
As of June 30, 2019
   
     
 
Short-term investments due in one year or less
  $
1,054.8
    $
1,054.8
 
                 
 
 
 
 
 
 
 
 
 
Mortgage and asset-backed securities
(1)
    
5,040.7
     
5,113.9
 
Debt securities with maturity dates:
   
     
 
One year or less
   
531.0
     
532.5
 
Over one through five years
   
3,377.5
     
3,443.2
 
Over five through ten years
   
2,707.6
     
2,808.6
 
Over ten years
   
2,100.1
     
2,231.4
 
                 
Total debt securities
    $
13,756.9
      $    
14,129.6
 
                 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
(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, 2019 and 2018:
                                 
 
Three Months Ended
June 30,
   
Six Months Ended
June 30,
 
 
2019
   
2018
   
2019
   
2018
 
 
 
 
 
 
 
 
 
 
 
 
 
 
($ in millions)
 
 
 
 
Interest income
  $
127.2
    $
104.8
    $
246.5
    $
206.8
 
Dividend income
   
9.4
     
22.3
     
19.2
     
38.6
 
Investment expenses
   
(7.2
)    
(6.6
 )    
(14.7
)    
(18.6
 )
Pillar Investments
(1)
    
3.3
     
1.9
     
4.4
     
1.9
 
Limited partnership interests in certain subsidiaries of Ares
(1)
    
-
     
(0.7
 )    
-
     
13.2
 
Other investment results
   
10.0
     
4.6
     
10.4
     
8.5
 
                                 
Total
  $
142.7
    $
126.3
    $
265.8
    $
250.4
 
                                 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
     
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
(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 Changes in Fair Value of Equity Securities
The following table presents changes in the fair value of equity securities for the three and six months ended June 30, 2019 and 2018:
                                 
 
Three Months Ended
June 30,
   
Six Months Ended
June 30,
 
 
2019
   
2018
   
2019
   
2018
 
 
 
 
 
 
 
 
 
 
 
 
 
 
($ in millions)
 
 
 
 
Change in the fair value of equity securities sold during the period
   $
11.8
     $
4.4
     $
73.9
     $
16.0
 
Change in the fair value of equity securities held at the end of the period
   
131.9
     
180.8
     
462.1
     
126.6
 
                                 
Change in the fair value of equity securities
   $
143.7
     $
185.2
     $
536.0
     $
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, 2019 and 2018:
                                 
 
Three Months Ended
June 30,
   
Six Months Ended
June 30,
 
 
2019
   
2018
   
2019
   
2018
 
 
 
 
 
 
 
 
 
 
 
 
 
 
($ in millions)
 
Gross realized capital gains
   $
13.6
     $
6.5
     $
25.7
     $
66.4
 
Gross realized capital losses
   
(1.2
)    
-
     
(8.9
)    
(15.4
 )
                                 
Net realized capital gains
   $
12.4
     $
6.5
     $
16.8
     $   
51.0
 
                                 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
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, 2019 and December 31, 2018:
 
                                                 
 
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, 2019
   
     
     
     
     
     
 
Debt securities:
   
     
     
     
     
     
 
U.S. Government obligations
   $
40.7
    $
0.1
    $
336.0
    $
2.9
    $
376.7
    $
3.0
 
Municipal bonds
   
2.2
     
-
     
23.2
     
0.1
     
25.4
     
0.1
 
Foreign government obligations
   
33.5
     
-
     
76.7
     
0.5
     
110.2
     
0.5
 
U.S. corporate bonds
   
121.1
     
2.6
     
180.9
     
2.7
     
302.0
     
5.3
 
Foreign corporate bonds
   
49.7
     
0.4
     
167.8
     
1.4
     
217.5
     
1.8
 
Mortgage and asset-backed securities:
   
     
     
     
     
     
 
RMBS
   
40.9
     
0.5
     
212.1
     
2.5
     
253.0
     
3.0
 
CMBS
   
18.0
     
-
     
19.4
     
0.6
     
37.4
     
0.6
 
Other asset-backed securities
   
566.8
     
6.0
     
404.7
     
8.5
     
971.5
     
14.5
 
Total temporarily impaired securities
 
  $
872.9
 
 
  $
9.6
 
 
  $
1,420.8
 
 
  $
19.2
 
 
  $
2,293.7
 
 
  $
28.8
 
                                                 
                                                 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
                                                 
 
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, 2018
   
     
     
     
     
     
 
Debt securities:
   
     
     
     
     
     
 
U.S. Government obligations
  $
78.5
    $
0.9
    $
690.5
    $
21.5
    $
769.0
    $
22.4
 
Municipal bonds
   
312.4
     
2.5
     
202.5
     
4.7
     
514.9
     
7.2
 
Foreign government obligations
   
60.7
     
0.1
     
186.7
     
3.3
     
247.4
     
3.4
 
U.S. corporate bonds
   
1,187.9
     
39.4
     
379.7
     
19.9
     
1,567.6
     
59.3
 
Foreign corporate bonds
   
501.5
     
9.7
     
349.1
     
9.1
     
850.6
     
18.8
 
Mortgage and asset-backed securities:
   
     
     
     
     
     
 
RMBS
   
397.7
     
6.4
     
225.9
     
8.4
     
623.6
     
14.8
 
CMBS
   
199.1
     
1.3
     
109.5
     
5.1
     
308.6
     
6.4
 
Other asset-backed securities
   
1,442.8
     
36.7
     
121.6
     
1.8
     
1,564.4
     
38.5
 
                                                 
Total temporarily impaired securities
    $
4,180.6
      $
97.0
      $
2,265.5
      $
73.8
      $
6,446.1
      $
170.8