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Investments (Tables)
 9 Months Ended
Sep. 30, 2019
Investments [Abstract]  
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 September 30, 2019 and December 31, 2018:

 

 

 

Amortized

Cost

 

 

Gross

Unrealized

Gains

 

 

Gross

Unrealized

Losses

 

 

Fair Value

 

 

 

($ in millions)

 

As of September 30, 2019

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Debt securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Government obligations

 

$

1,262.8

 

 

$

26.9

 

 

$

(1.5

)

 

$

1,288.2

 

Municipal bonds

 

 

2,218.3

 

 

 

130.4

 

 

 

-

 

 

 

2,348.7

 

Foreign government obligations

 

 

728.2

 

 

 

29.1

 

 

 

(0.4

)

 

 

756.9

 

U.S. corporate bonds

 

 

3,174.3

 

 

 

155.2

 

 

 

(3.5

)

 

 

3,326.0

 

Foreign corporate bonds

 

 

1,417.2

 

 

 

41.7

 

 

 

(4.8

)

 

 

1,454.1

 

Mortgage and asset-backed securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

RMBS

 

 

1,881.5

 

 

 

55.4

 

 

 

(1.2

)

 

 

1,935.7

 

CMBS

 

 

786.5

 

 

 

35.1

 

 

 

(0.1

)

 

 

821.5

 

Other asset-backed securities(1)

 

 

2,543.5

 

 

 

32.0

 

 

 

(18.3

)

 

 

2,557.2

 

Total debt securities

 

 

14,012.3

 

 

 

505.8

 

 

 

(29.8

)

 

 

14,488.3

 

Short-term investments

 

 

968.5

 

 

 

-

 

 

 

-

 

 

 

968.5

 

Total investments

 

$

14,980.8

 

 

$

505.8

 

 

$

(29.8

)

 

$

15,456.8

 

 

 

 

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 $842.1 million and $1,266.9 million of collateralized loan obligations as of September 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 September 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 September 30, 2019

 

 

 

 

 

 

 

 

Short-term investments due in one year or less

 

$

968.5

 

 

$

968.5

 

 

 

 

 

 

 

 

 

 

Mortgage and asset-backed securities(1)

 

 

5,211.5

 

 

 

5,314.4

 

Debt securities with maturity dates:

 

 

 

 

 

 

 

 

One year or less

 

 

513.8

 

 

 

516.0

 

Over one through five years

 

 

3,565.8

 

 

 

3,638.9

 

Over five through ten years

 

 

2,669.2

 

 

 

2,802.2

 

Over ten years

 

 

2,052.0

 

 

 

2,216.8

 

Total debt securities

 

$

14,012.3

 

 

$

14,488.3

 

 

(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 nine months ended September 30, 2019 and 2018:

 

 

 

Three Months Ended

September 30,

 

 

Nine Months Ended

September 30,

 

 

 

2019

 

 

2018

 

 

2019

 

 

2018

 

 

 

($ in millions)

 

Interest income

 

$

130.1

 

 

$

106.4

 

 

$

376.6

 

 

$

313.2

 

Dividend income

 

 

9.7

 

 

 

16.2

 

 

 

28.9

 

 

 

54.9

 

Investment expenses

 

 

(7.4

)

 

 

(6.8

)

 

 

(22.1

)

 

 

(25.4

)

Pillar Investments(1)

 

 

7.2

 

 

 

(0.8

)

 

 

11.6

 

 

 

1.2

 

Limited partnership interests in certain subsidiaries of Ares(1)

 

 

-

 

 

 

7.0

 

 

 

-

 

 

 

20.2

 

Other investment results

 

 

8.2

 

 

 

5.3

 

 

 

18.6

 

 

 

13.6

 

Total

 

$

147.8

 

 

$

127.3

 

 

$

413.6

 

 

$

377.7

 

 

(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 nine months ended September 30, 2019 and 2018:

 

 

 

Three Months Ended

September 30,

 

 

Nine Months Ended

September 30,

 

 

 

2019

 

 

2018

 

 

2019

 

 

2018

 

 

 

($ in millions)

 

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

 

$

(16.2

)

 

$

7.3

 

 

$

57.7

 

 

$

23.3

 

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

 

 

(0.5

)

 

 

362.9

 

 

 

461.6

 

 

 

489.5

 

Change in the fair value of equity securities

 

$

(16.7

)

 

$

370.2

 

 

$

519.3

 

 

$

512.8

 
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, 2019 and 2018:

 

 

 

Three Months Ended

September 30,

 

 

Nine Months Ended

September 30,

 

 

 

2019

 

 

2018

 

 

2019

 

 

2018

 

 

 

($ in millions)

 

Gross realized capital gains

 

$

12.6

 

 

$

16.9

 

 

$

38.3

 

 

$

83.3

 

Gross realized capital losses

 

 

(8.7

)

 

 

(0.7

)

 

 

(17.5

)

 

 

(16.1

)

Net realized capital gains

 

$

3.9

 

 

$

16.2

 

 

$

20.8

 

 

$

67.2

 
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 September 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 September 30, 2019

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Debt securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Government obligations

 

$

57.2

 

 

$

0.5

 

 

$

157.2

 

 

$

1.0

 

 

$

214.4

 

 

$

1.5

 

Municipal bonds

 

 

4.8

 

 

 

-

 

 

 

5.3

 

 

 

-

 

 

 

10.1

 

 

 

-

 

Foreign government obligations

 

 

22.0

 

 

 

0.1

 

 

 

39.2

 

 

 

0.3

 

 

 

61.2

 

 

 

0.4

 

U.S. corporate bonds

 

 

156.1

 

 

 

2.1

 

 

 

52.5

 

 

 

1.4

 

 

 

208.6

 

 

 

3.5

 

Foreign corporate bonds

 

 

101.8

 

 

 

4.1

 

 

 

80.6

 

 

 

0.7

 

 

 

182.4

 

 

 

4.8

 

Mortgage and asset-backed securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

RMBS

 

 

57.8

 

 

 

0.3

 

 

 

96.6

 

 

 

0.9

 

 

 

154.4

 

 

 

1.2

 

CMBS

 

 

67.8

 

 

 

0.1

 

 

 

1.3

 

 

 

-

 

 

 

69.1

 

 

 

0.1

 

Other asset-backed securities

 

 

377.9

 

 

 

3.4

 

 

 

588.0

 

 

 

14.9

 

 

 

965.9

 

 

 

18.3

 

Total temporarily impaired securities

 

$

845.4

 

 

$

10.6

 

 

$

1,020.7

 

 

$

19.2

 

 

$

1,866.1

 

 

$

29.8

 

 

 

 

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