XML 34 R24.htm IDEA: XBRL DOCUMENT v3.22.2
Investments (Tables)
 6 Months Ended
Jun. 30, 2022
Investments [Abstract]  
Amortized 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, 2022 and December 31, 2021:

 

 

 

Amortized
Cost

 

 

Gross
Unrealized
Gains

 

 

Gross
Unrealized
Losses

 

 

Allowance for Credit Losses

 

 

Fair Value

 

 

 

($ in millions)

 

As of June 30, 2022

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Debt securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Government obligations

 

$

1,637.2

 

 

$

0.7

 

 

$

(99.4

)

 

$

—

 

 

$

1,538.5

 

Municipal bonds

 

 

2,764.1

 

 

 

13.9

 

 

 

(151.2

)

 

 

—

 

 

 

2,626.8

 

Foreign government obligations

 

 

790.3

 

 

 

0.2

 

 

 

(46.3

)

 

 

—

 

 

 

744.2

 

U.S. corporate bonds

 

 

3,414.6

 

 

 

6.7

 

 

 

(256.6

)

 

 

(7.5

)

 

 

3,157.2

 

Foreign corporate bonds

 

 

1,180.1

 

 

 

0.2

 

 

 

(94.0

)

 

 

(1.2

)

 

 

1,085.1

 

Mortgage and asset-backed securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

RMBS

 

 

1,837.3

 

 

 

3.9

 

 

 

(172.5

)

 

 

—

 

 

 

1,668.7

 

CMBS

 

 

980.9

 

 

 

0.1

 

 

 

(55.3

)

 

 

—

 

 

 

925.7

 

Other asset-backed securities(1)

 

 

3,090.0

 

 

 

0.8

 

 

 

(185.7

)

 

 

—

 

 

 

2,905.1

 

Total debt securities

 

 

15,694.5

 

 

 

26.5

 

 

 

(1,061.0

)

 

 

(8.7

)

 

 

14,651.3

 

Short-term investments

 

 

1,624.4

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

1,624.4

 

Total investments

 

$

17,318.9

 

 

$

26.5

 

 

$

(1,061.0

)

 

$

(8.7

)

 

$

16,275.7

 

 

 

 

Amortized
Cost

 

 

Gross
Unrealized
Gains

 

 

Gross
Unrealized
Losses

 

 

Allowance for Credit Losses

 

 

Fair Value

 

 

 

($ in millions)

 

As of December 31, 2021

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Debt securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Government obligations

 

$

2,039.7

 

 

$

27.9

 

 

$

(16.9

)

 

$

—

 

 

$

2,050.7

 

Municipal bonds

 

 

2,412.7

 

 

 

127.3

 

 

 

(4.1

)

 

 

—

 

 

 

2,535.9

 

Foreign government obligations

 

 

850.8

 

 

 

12.0

 

 

 

(7.9

)

 

 

—

 

 

 

854.9

 

U.S. corporate bonds

 

 

3,336.9

 

 

 

159.2

 

 

 

(18.3

)

 

 

(0.5

)

 

 

3,477.3

 

Foreign corporate bonds

 

 

1,216.6

 

 

 

19.9

 

 

 

(9.6

)

 

 

—

 

 

 

1,226.9

 

Mortgage and asset-backed securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

RMBS

 

 

1,993.6

 

 

 

37.2

 

 

 

(21.8

)

 

 

—

 

 

 

2,009.0

 

CMBS

 

 

879.8

 

 

 

28.3

 

 

 

(2.2

)

 

 

—

 

 

 

905.9

 

Other asset-backed securities(1)

 

 

2,997.0

 

 

 

22.0

 

 

 

(18.0

)

 

 

—

 

 

 

3,001.0

 

Total debt securities

 

 

15,727.1

 

 

 

433.8

 

 

 

(98.8

)

 

 

(0.5

)

 

 

16,061.6

 

Short-term investments

 

 

1,142.3

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

1,142.3

 

Total investments

 

$

16,869.4

 

 

$

433.8

 

 

$

(98.8

)

 

$

(0.5

)

 

$

17,203.9

 

 

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

 

 

 

 

 

 

Short-term investments due in one year or less

 

$

1,624.4

 

 

$

1,624.4

 

Mortgage and asset-backed securities(1)

 

 

5,908.2

 

 

 

5,499.5

 

Debt securities with maturity dates:

 

 

 

 

 

 

One year or less

 

 

624.0

 

 

 

617.5

 

Over one through five years

 

 

3,512.8

 

 

 

3,369.9

 

Over five through ten years

 

 

2,976.1

 

 

 

2,713.7

 

Over ten years

 

 

2,673.4

 

 

 

2,450.7

 

Total debt securities

 

$

15,694.5

 

 

$

14,651.3

 

 

(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, 2022 and 2021:

 

 

 

Three Months Ended
June 30,

 

 

Six Months Ended
June 30,

 

 

 

2022

 

 

2021

 

 

2022

 

 

2021

 

 

 

($ in millions)

 

Interest income

 

$

109.0

 

 

$

99.0

 

 

$

209.3

 

 

$

199.0

 

Dividend income

 

 

12.8

 

 

 

29.9

 

 

 

25.5

 

 

 

46.6

 

Investment expenses

 

 

(7.4

)

 

 

(6.9

)

 

 

(14.7

)

 

 

(12.9

)

Partnerships and other investment results

 

 

(8.9

)

 

 

4.9

 

 

 

(1.2

)

 

 

47.7

 

Total

 

$

105.5

 

 

$

126.9

 

 

$

218.9

 

 

$

280.4

 
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, 2022 and 2021:

 

 

 

Three Months Ended
June 30,

 

 

Six Months Ended
June 30,

 

 

 

2022

 

 

2021

 

 

2022

 

 

2021

 

 

 

($ in millions)

 

Change in the fair value of equity securities sold during the period

 

$

(2.5

)

 

$

11.1

 

 

$

(20.7

)

 

$

7.9

 

Change in the fair value of equity securities held at the end of the period

 

 

(497.7

)

 

 

192.8

 

 

 

(618.3

)

 

 

308.7

 

Change in the fair value of equity securities

 

$

(500.2

)

 

$

203.9

 

 

$

(639.0

)

 

$

316.6

 

 
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, 2022 and 2021:

 

 

 

Three Months Ended
June 30,

 

 

 

Six Months Ended
June 30,

 

 

2022

 

 

 

2021

 

 

 

2022

 

 

 

2021

 

 

 

 

($ in millions)

Gross realized capital gains

 

$

15.6

 

 

 

$

21.3

 

 

 

$

26.9

 

 

 

$

42.3

 

 

Gross realized capital losses

 

 

(4.5

)

 

 

 

(8.4

)

 

 

 

(25.7

)

 

 

 

(16.4

)

 

Net realized capital gains

 

$

11.1

 

 

 

$

12.9

 

 

 

$

1.2

 

 

 

$

25.9

 

 
Allowance for Credit Losses on Available for Sale Securities

The following table presents a rollforward of Alleghany’s allowance for credit losses on AFS securities for the three and six months ended June 30, 2022 and 2021:

 

 

 

Three Months Ended
June 30,

 

 

Six Months Ended
June 30,

 

 

 

2022

 

 

2021

 

 

2022

 

 

2021

 

 

 

($ in millions)

 

Allowance for Credit Losses

 

 

 

 

 

 

 

 

 

 

 

 

Beginning balance

 

$

1.1

 

 

$

0.6

 

 

$

0.5

 

 

$

2.6

 

Provision for credit losses

 

 

7.6

 

 

 

(0.2

)

 

 

8.2

 

 

 

(2.2

)

Charge-offs

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

Recoveries

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

Ending balance

 

$

8.7

 

 

$

0.4

 

 

$

8.7

 

 

$

0.4

 
Summary of Rating of Debt securities

The following table presents the ratings of Alleghany’s debt securities as of June 30, 2022:

 

 

 

Ratings as of June 30, 2022

 

 

 

AAA / Aaa

 

 

AA / Aa

 

 

A

 

 

BBB / Baa

 

 

Below
BBB / Baa
or Not
Rated(1)

 

 

Total

 

 

 

($ in millions)

 

U.S. Government obligations

 

$

1.3

 

 

$

1,537.2

 

 

$

—

 

 

$

—

 

 

$

—

 

 

$

1,538.5

 

Municipal bonds

 

 

293.2

 

 

 

1,759.1

 

 

 

490.3

 

 

 

76.3

 

 

 

7.9

 

 

 

2,626.8

 

Foreign government obligations

 

 

325.5

 

 

 

345.7

 

 

 

72.0

 

 

 

1.0

 

 

 

—

 

 

 

744.2

 

U.S. corporate bonds

 

 

12.9

 

 

 

142.4

 

 

 

1,437.5

 

 

 

1,249.1

 

 

 

315.3

 

 

 

3,157.2

 

Foreign corporate bonds

 

 

142.6

 

 

 

59.5

 

 

 

514.0

 

 

 

336.6

 

 

 

32.4

 

 

 

1,085.1

 

Mortgage and asset-backed securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

RMBS

 

 

5.3

 

 

 

1,657.5

 

 

 

0.4

 

 

 

0.7

 

 

 

4.8

 

 

 

1,668.7

 

CMBS

 

 

373.8

 

 

 

352.3

 

 

 

169.7

 

 

 

29.8

 

 

 

0.1

 

 

 

925.7

 

Other asset-backed securities

 

 

1,383.9

 

 

 

611.6

 

 

 

454.7

 

 

 

389.9

 

 

 

65.0

 

 

 

2,905.1

 

Total debt securities

 

$

2,538.5

 

 

$

6,465.3

 

 

$

3,138.6

 

 

$

2,083.4

 

 

$

425.5

 

 

$

14,651.3

 

Percentage of debt securities, before
   allowance for credit losses

 

 

17.3

%

 

 

44.1

%

 

 

21.5

%

 

 

14.2

%

 

 

2.9

%

 

 

100.0

%

 

(1)
Consists of $124.4 million of securities rated BB / Ba, $173.7 million of securities rated B, $21.2 million of securities rated CCC, $0.5 million of securities rated CC, $2.9 million of securities rated below CC and $102.8 million of not rated securities.
Gross Unrealized Losses and Related Fair Values for AFS Securities before an Allowance for Credit Losses 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 before an allowance for credit losses, grouped by duration of time in a continuous unrealized loss position, as of June 30, 2022 and December 31, 2021:

 

 

 

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, 2022

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Debt securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Government obligations

 

$

1,285.4

 

 

$

82.8

 

 

$

240.7

 

 

$

16.6

 

 

$

1,526.1

 

 

$

99.4

 

Municipal bonds

 

 

1,543.9

 

 

 

146.8

 

 

 

24.0

 

 

 

4.4

 

 

 

1,567.9

 

 

 

151.2

 

Foreign government obligations

 

 

572.4

 

 

 

31.3

 

 

 

130.2

 

 

 

15.0

 

 

 

702.6

 

 

 

46.3

 

U.S. corporate bonds

 

 

2,569.2

 

 

 

208.8

 

 

 

187.9

 

 

 

47.8

 

 

 

2,757.1

 

 

 

256.6

 

Foreign corporate bonds

 

 

914.6

 

 

 

78.1

 

 

 

102.4

 

 

 

15.9

 

 

 

1,017.0

 

 

 

94.0

 

Mortgage and asset-backed securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

RMBS

 

 

1,137.1

 

 

 

92.9

 

 

 

506.8

 

 

 

79.6

 

 

 

1,643.9

 

 

 

172.5

 

CMBS

 

 

853.8

 

 

 

51.1

 

 

 

33.8

 

 

 

4.2

 

 

 

887.6

 

 

 

55.3

 

Other asset-backed securities

 

 

2,210.9

 

 

 

148.6

 

 

 

618.5

 

 

 

37.1

 

 

 

2,829.4

 

 

 

185.7

 

Total temporarily impaired securities

 

$

11,087.3

 

 

$

840.4

 

 

$

1,844.3

 

 

$

220.6

 

 

$

12,931.6

 

 

$

1,061.0

 

 

 

 

 

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, 2021

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Debt securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Government obligations

 

$

1,196.3

 

 

$

11.1

 

 

$

122.1

 

 

$

5.8

 

 

$

1,318.4

 

 

$

16.9

 

Municipal bonds

 

 

267.3

 

 

 

4.0

 

 

 

2.8

 

 

 

0.1

 

 

 

270.1

 

 

 

4.1

 

Foreign government obligations

 

 

350.0

 

 

 

5.3

 

 

 

73.2

 

 

 

2.6

 

 

 

423.2

 

 

 

7.9

 

U.S. corporate bonds

 

 

814.2

 

 

 

12.4

 

 

 

79.3

 

 

 

5.9

 

 

 

893.5

 

 

 

18.3

 

Foreign corporate bonds

 

 

460.6

 

 

 

8.3

 

 

 

34.6

 

 

 

1.3

 

 

 

495.2

 

 

 

9.6

 

Mortgage and asset-backed securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

RMBS

 

 

1,072.8

 

 

 

20.5

 

 

 

50.7

 

 

 

1.3

 

 

 

1,123.5

 

 

 

21.8

 

CMBS

 

 

197.8

 

 

 

0.6

 

 

 

40.9

 

 

 

1.6

 

 

 

238.7

 

 

 

2.2

 

Other asset-backed securities

 

 

1,609.9

 

 

 

13.2

 

 

 

291.5

 

 

 

4.8

 

 

 

1,901.4

 

 

 

18.0

 

Total temporarily impaired securities

 

$

5,968.9

 

 

$

75.4

 

 

$

695.1

 

 

$

23.4

 

 

$

6,664.0

 

 

$

98.8

 
Allowance for Credit Losses on Commercial Mortgage Loans

The following table presents a rollforward of Alleghany’s allowance for credit losses on commercial mortgage loans for the three and six months ended June 30, 2022 and 2021:

 

 

 

Three Months Ended
June 30,

 

 

Six Months Ended
June 30,

 

 

 

2022

 

 

2021

 

 

2022

 

 

2021

 

 

 

($ in millions)

 

Allowance for Credit Losses

 

 

 

 

 

 

 

 

 

 

 

 

Beginning balance

 

$

0.4

 

 

$

1.6

 

 

$

0.2

 

 

$

1.4

 

Provision for credit losses

 

 

0.7

 

 

 

(1.0

)

 

 

0.9

 

 

 

(0.8

)

Charge-offs

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

Recoveries

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

Ending balance

 

$

1.1

 

 

$

0.6

 

 

$

1.1

 

 

$

0.6