Fair Value of Financial Instruments (Tables)

6 Months Ended

Jun. 30, 2022

Fair Value Disclosures [Abstract]

Carrying Value and Estimated Fair Value of Consolidated Financial Instruments

The following table presents the carrying value and estimated fair value of Alleghany’s consolidated financial instruments as of June 30, 2022 and December 31, 2021:

	June 30, 2022				December 31, 2021
	Carrying Value		Fair Value		Carrying Value		Fair Value
	($ in millions)
Assets
Investments (excluding equity method investments and loans)(1)	$	19,145.1	$	19,145.1	$	20,887.7	$	20,887.7
Liabilities
Senior notes and other debt(2)	$	2,339.6	$	2,267.8	$	2,847.2	$	3,157.9

(1)This table includes debt and equity securities, as well as partnership and non-marketable equity investments accounted for at fair value that are included in other invested assets. This table excludes investments accounted for using the equity method and commercial mortgage loans that are accounted for at unpaid principal balance. The fair value of short-term investments approximates amortized cost.

(2)See Note 8 to Notes to Consolidated Financial Statements set forth in Part II, Item 8, “Financial Statements and Supplementary Data” of the 2021 Form 10-K for additional information on the senior notes and other debt.

Financial Instruments at Fair Value and Level of Fair Value Hierarchy of Inputs

The following tables present Alleghany’s financial instruments at fair value and the level of the fair value hierarchy of inputs used as of June 30, 2022 and December 31, 2021:

	Level 1		Level 2		Level 3		Total
	($ in millions)
As of June 30, 2022
Equity securities:
Common stock	$	2,863.0	$	2.4	$	—	$	2,865.4
Preferred stock		—		2.7		1.3		4.0
Total equity securities		2,863.0		5.1		1.3		2,869.4
Debt securities:
U.S. Government obligations		—		1,538.5		—		1,538.5
Municipal bonds		—		2,626.8		—		2,626.8
Foreign government obligations		—		744.2		—		744.2
U.S. corporate bonds		—		2,538.3		618.9		3,157.2
Foreign corporate bonds		—		900.6		184.5		1,085.1
Mortgage and asset-backed securities:
Residential mortgage-backed securities (“RMBS”)(1)		—		1,667.2		1.5		1,668.7
Commercial mortgage-backed securities (“CMBS”)		—		925.7		—		925.7
Other asset-backed securities(2)		—		1,656.0		1,249.1		2,905.1
Total debt securities		—		12,597.3		2,054.0		14,651.3
Short-term investments		—		1,624.4		—		1,624.4
Total investments (excluding equity method investments and loans)	$	2,863.0	$	14,226.8	$	2,055.3	$	19,145.1
Senior notes and other debt	$	—	$	1,595.2	$	672.6	$	2,267.8

	Level 1		Level 2		Level 3		Total
	($ in millions)
As of December 31, 2021
Equity securities:
Common stock	$	3,677.1	$	2.1	$	—	$	3,679.2
Preferred stock		—		3.3		1.3		4.6
Total equity securities		3,677.1		5.4		1.3		3,683.8
Debt securities:
U.S. Government obligations		—		2,050.7		—		2,050.7
Municipal bonds		—		2,535.9		—		2,535.9
Foreign government obligations		—		854.9		—		854.9
U.S. corporate bonds		—		2,807.0		670.3		3,477.3
Foreign corporate bonds		—		1,049.7		177.2		1,226.9
Mortgage and asset-backed securities:
RMBS(1)		—		2,007.1		1.9		2,009.0
CMBS		—		905.9		—		905.9
Other asset-backed securities(2)		—		1,652.7		1,348.3		3,001.0
Total debt securities		—		13,863.9		2,197.7		16,061.6
Short-term investments		—		1,142.3		—		1,142.3
Total investments (excluding equity method investments and loans)	$	3,677.1	$	15,011.6	$	2,199.0	$	20,887.7
Senior notes and other debt	$	—	$	2,377.4	$	780.5	$	3,157.9

(1)Primarily includes government agency pass-through securities guaranteed by a government agency or government sponsored enterprise, among other types of RMBS.

(2)Includes $1,229.6 million and $1,320.4 million of collateralized loan obligations as of June 30, 2022 and December 31, 2021, respectively.

Reconciliations of Changes in Level Three Assets Measured at Fair Value

The following tables present reconciliations of the changes during the six months ended June 30, 2022 and 2021 in Level 3 assets measured at fair value:

			Debt Securities
									Mortgage and asset-backed
Six Months Ended June 30, 2022	Preferred Stock		U.S. Corporate Bonds			Foreign Corporate Bonds			RMBS			CMBS			Other Asset- backed Securities			Other Invested Assets(1)		Total
	($ in millions)
Balance as of January 1, 2022	$	1.3	$	670.3		$	177.2		$	1.9		$	—		$	1,348.3		$	—	$	2,199.0
Net realized/unrealized gains (losses) included in:
Net earnings(2)		—		(0.2	)		(0.2	)		—			—			(0.1	)		—		(0.5	)
Other comprehensive (loss)		—		(60.8	)		(17.2	)		(0.2	)		—			(48.8	)		—		(127.0	)
Purchases		—		59.7			30.3			—			4.3			67.5			—		161.8
Sales		—		(0.6	)		(0.3	)		—			—			(42.4	)		—		(43.3	)
Issuances		—		—			—			—			—			—			—		—
Settlements		—		(48.3	)		(2.2	)		(0.2	)		—			(30.3	)		—		(81.0	)
Transfers into Level 3		—		—			—			—			—			—			—		—
Transfers out of Level 3		—		(1.2	)		(3.1	)		—			(4.3	)		(45.1	)		—		(53.7	)
Balance as of June 30, 2022	$	1.3	$	618.9		$	184.5		$	1.5		$	—		$	1,249.1		$	—	$	2,055.3

			Debt Securities
									Mortgage and asset-backed
Six Months Ended June 30, 2021	Preferred Stock		U.S. Corporate Bonds			Foreign Corporate Bonds			RMBS			CMBS			Other Asset- backed Securities			Other Invested Assets(1)			Total
	($ in millions)
Balance as of January 1, 2021	$	1.3	$	631.6		$	189.5		$	2.5		$	5.8		$	902.7		$	0.3		$	1,733.7
Net realized/unrealized gains (losses) included in:
Net earnings(2)		—		0.2			(0.1	)		—			—			0.3			0.1			0.5
Other comprehensive income (loss)		—		(11.4	)		(3.0	)		—			—			9.4			—			(5.0	)
Purchases		—		46.4			2.0			—			—			693.5			—			741.9
Sales		—		—			—			—			—			(0.1	)		(0.4	)		(0.5	)
Issuances		—		—			—			—			—			—			—			—
Settlements		—		(44.6	)		(2.4	)		(0.3	)		—			(188.1	)		—			(235.4	)
Transfers into Level 3		—		—			—			—			—			5.8			—			5.8
Transfers out of Level 3		—		(0.6	)		—			—			(5.8	)		(29.0	)		—			(35.4	)
Balance as of June 30, 2021	$	1.3	$	621.6		$	186.0		$	2.2		$	—		$	1,394.5		$	—		$	2,205.6

(1)Includes partnership and non-marketable equity investments accounted for at fair value.

(2)There were minimal or no credit losses recorded in net earnings related to Level 3 instruments still held as of June 30, 2022 and 2021.