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Investments (Tables)
 3 Months Ended
Mar. 31, 2017
Investments, Debt and Equity Securities [Abstract]  
Summary of Investment Income
Investment Income. The following table summarizes investment income for the three months ended March 31, 2017 and 2016:
 
For the Three Months Ended
 
March 31, 2017
 
March 31, 2016
 
($ in millions)
Fixed income securities — Available for sale
$
33.9

 
$
36.6

Fixed income securities — Trading
10.1

 
7.4

Short-term investments — Available for sale
0.1

 
0.1

Short-term investments — Trading
0.2

 
—

Cash and cash equivalents
0.7

 
0.5

Equity securities — Trading
5.2

 
6.9

Catastrophe bonds — Trading
0.4

 
0.6

Total
$
50.6

 
$
52.1

Investment expenses
(2.9
)
 
(2.6
)
Net investment income
$
47.7

 
$
49.5
Net Realized and Unrealized Investment Gains and Losses and Change in Unrealized Gains and Losses on Investments
The following table summarizes the net realized and unrealized investment gains and losses recorded in the statement of operations and the change in unrealized gains and losses on investments recorded in other comprehensive income for the three months ended March 31, 2017 and 2016:
 
For the Three Months Ended
 
March 31, 2017
 
March 31, 2016
 
($ in millions)
Available for sale:
 
 
 
Fixed income securities — gross realized gains
$
2.2

 
$
7.1

Fixed income securities — gross realized (losses)
(1.3
)
 
(2.4
)
Short-term investments — gross realized gains
0.1

 
—

Cash and cash equivalents — gross realized (losses)
—

 
(0.7
)
Other-than-temporary impairments
(0.3
)
 
—

Trading:
 
 
 
Fixed income securities — gross realized gains
1.8

 
1.2

Fixed income securities — gross realized (losses)
(2.0
)
 
(5.8
)
Equity securities — gross realized gains
4.5

 
5.9

Equity securities — gross realized (losses)
(1.4
)
 
(11.5
)
Catastrophe bonds
—

 
(0.2
)
Net change in gross unrealized gains
40.9

 
51.4

Other investments:
 
 
 
Gross unrealized gain in Chaspark
1.7

 
—

Total net realized and unrealized investment gains recorded in the statement of operations
$
46.2

 
$
45.0

 
 
 
 
Change in available for sale net unrealized gains:
 
 
 
Fixed income securities
2.0

 
85.0

Total change in pre-tax available for sale unrealized gains
2.0

 
85.0

Change in taxes
0.1

 
(8.1
)
Total change in net unrealized gains, net of taxes, recorded in other comprehensive income
$
2.1

 
$
76.9
Cost, Gross Unrealized Gains and Losses, and Estimated Fair Value of Available for Sale Investments in Fixed Income Maturities, Short-Term Investments and Equities
Fixed Income Securities and Short-Term Investments — Available For Sale. The following tables present the cost or amortized cost, gross unrealized gains and losses and estimated fair market value of available for sale investments in fixed income securities and short-term investments as at March 31, 2017 and December 31, 2016:
 
As at March 31, 2017
 
Cost or
Amortized Cost
 
Gross
Unrealized
Gains
 
Gross
Unrealized
Losses
 
Fair Market
Value
 
($ in millions)
U.S. government
$
1,267.1

 
$
9.3

 
$
(9.3
)
 
$
1,267.1

U.S. agency
106.1

 
1.3

 
—

 
107.4

Municipal
22.9

 
1.7

 
(0.2
)
 
24.4

Corporate
2,564.5

 
40.0

 
(16.8
)
 
2,587.7

Non-U.S. government-backed corporate
84.0

 
0.6

 
(0.1
)
 
84.5

Non-U.S. government
483.2

 
11.4

 
(0.4
)
 
494.2

Asset-backed
54.5

 
0.3

 
—

 
54.8

Non-agency commercial mortgage-backed
11.3

 
0.2

 
—

 
11.5

Agency mortgage-backed
1,024.2

 
17.5

 
(8.9
)
 
1,032.8

Total fixed income securities — Available for sale
5,617.8

 
82.3

 
(35.7
)
 
5,664.4

Total short-term investments — Available for sale
163.5

 
—

 
—

 
163.5

Total
$
5,781.3

 
$
82.3

 
$
(35.7
)
 
$
5,827.9

 
All equities are held in the trading portfolio. There were no non-cash transfers of securities from available for sale to trading during the three months ended March 31, 2017.
 
As at December 31, 2016
 
Cost or
Amortized Cost
 
Gross
Unrealized
Gains
 
Gross
Unrealized
Losses
 
Fair Market
Value
 
($ in millions)
U.S. government
$
1,207.9

 
$
9.4

 
$
(11.2
)
 
$
1,206.1

U.S. agency
117.7

 
1.9

 
—

 
119.6

Municipal
23.2

 
1.6

 
(0.4
)
 
24.4

Corporate
2,566.9

 
39.6

 
(20.0
)
 
2,586.5

Non-U.S. government-backed corporate
89.2

 
0.7

 
(0.1
)
 
89.8

Non-U.S. government
477.7

 
11.8

 
(0.8
)
 
488.7

Asset-backed
62.6

 
0.4

 
—

 
63.0

Non-agency commercial mortgage-backed
12.3

 
0.3

 
—

 
12.6

Agency mortgage-backed
1,062.6

 
19.6

 
(8.3
)
 
1,073.9

Total fixed income securities — Available for sale
5,620.1

 
85.3

 
(40.8
)
 
5,664.6

Total short-term investments — Available for sale
145.3

 
—

 
—

 
145.3

Total
$
5,765.4

 
$
85.3

 
$
(40.8
)
 
$
5,809.9
Cost, Gross Unrealized Gains and Losses, and Estimated Fair Value of Trading Investments in Fixed Income Maturities
Fixed Income Securities, Short-Term Investments, Equities and Catastrophe Bonds — Trading. The following tables present the cost or amortized cost, gross unrealized gains and losses, and estimated fair market value of trading investments in fixed income securities, short-term investments, equity securities and catastrophe bonds as at March 31, 2017 and December 31, 2016:
 
As at March 31, 2017
 
Cost or
Amortized Cost
 
Gross
Unrealized
Gains
 
Gross
Unrealized
Losses
 
Fair Market
Value
 
($ in millions)
U.S. government
$
94.8

 
$
0.7

 
$
(0.1
)
 
$
95.4

Municipal
15.7

 
—

 
(0.1
)
 
15.6

Corporate
858.6

 
12.4

 
(4.8
)
 
866.2

Non-U.S. government
187.2

 
5.7

 
(1.2
)
 
191.7

Asset-backed
13.4

 
—

 
—

 
13.4

Agency mortgage-backed
132.0

 
0.1

 
(1.2
)
 
130.9

Total fixed income securities — Trading
1,301.7

 
18.9

 
(7.4
)
 
1,313.2

Total short-term investments — Trading
184.7

 
—

 
(0.1
)
 
184.6

Total equity securities — Trading
563.2

 
78.3

 
(17.9
)
 
623.6

Total catastrophe bonds — Trading
41.8

 
—

 
—

 
41.8

Total
$
2,091.4

 
$
97.2

 
$
(25.4
)
 
$
2,163.2

 
 
As at December 31, 2016
 
Cost or
Amortized Cost
 
Gross
Unrealized
Gains
 
Gross
Unrealized
Losses
 
Fair Market
Value
 
($ in millions)
U.S. government
$
82.8

 
$
0.4

 
$
(0.8
)
 
$
82.4

Municipal
15.7

 
—

 
(0.2
)
 
15.5

Corporate
817.8

 
9.9

 
(7.1
)
 
820.6

Non-U.S. government
203.4

 
3.5

 
(4.1
)
 
202.8

Asset-backed
14.5

 
—

 
—

 
14.5

Agency mortgage-backed
130.6

 
0.2

 
(0.9
)
 
129.9

Total fixed income securities — Trading
1,264.8

 
14.0

 
(13.1
)
 
1,265.7

Total short-term investments — Trading
185.4

 
—

 
—

 
185.4

Total equity securities — Trading
554.3

 
55.4

 
(25.0
)
 
584.7

Total catastrophe bonds — Trading
42.5

 
—

 
—

 
42.5

Total
$
2,047.0

 
$
69.4

 
$
(38.1
)
 
$
2,078.3
Other Investments
The tables below show the Company’s investments in the MVI, Chaspark, Bene and Digital Re for the three months ended March 31, 2017 and March 31, 2016:
 
For the Three Months Ended March 31, 2017
 
MVI
 
Chaspark
 
Bene
 
Digital Re
 
Total
 
($ in millions)
Opening undistributed value of investment
$
0.5

 
$
8.4

 
$
3.2

 
$
—

 
$
12.1

Initial investment
—

 
—

 
—

 
2.3

 
2.3

Goodwill
—

 
—

 
—

 
(1.8
)
 
(1.8
)
Distribution received
—

 
(9.3
)
 
—

 
—

 
(9.3
)
Realized/unrealized gain for the three months to March 31, 2017
—

 
1.7

 
—

 
—

 
1.7

Closing undistributed value of investment
$
0.5

 
$
0.8

 
$
3.2

 
$
0.5

 
$
5.0




 
For the Three Months Ended March 31, 2016
 
MVI
 
Chaspark
 
Total
 
($ in millions)
Opening and closing undistributed value of investment
$
0.8

 
$
8.7

 
$
9.5
Summary of Fixed Maturities
Fixed Income Securities. The scheduled maturity distribution of available for sale fixed income securities as at March 31, 2017 and December 31, 2016 is set forth in the tables below. Actual maturities may differ from contractual maturities because issuers of securities may have the right to call or prepay obligations with or without call or prepayment penalties.
 
As at March 31, 2017
 
Amortized
Cost or Cost
 
Fair Market
Value
 
Average
S&P Ratings by
Maturity
 
($ in millions)
Due one year or less
$
569.6

 
$
572.1

 
AA
Due after one year through five years
2,693.0

 
2,721.6

 
AA-
Due after five years through ten years
1,174.0

 
1,173.7

 
AA-
Due after ten years
91.2

 
97.9

 
A+
Subtotal
4,527.8

 
4,565.3

 
 
Non-agency commercial mortgage-backed
11.3

 
11.5

 
AAA
Agency mortgage-backed
1,024.2

 
1,032.8

 
AA+
Asset-backed
54.5

 
54.8

 
AAA
Total fixed income securities — Available for sale
$
5,617.8

 
$
5,664.4

 
 
 
 
As at December 31, 2016
 
Amortized
Cost or Cost
 
Fair Market
Value
 
Average
S&P Ratings by
Maturity
 
($ in millions)
Due one year or less
$
567.2

 
$
570.0

 
AA
Due after one year through five years
2,643.7

 
2,671.9

 
AA-
Due after five years through ten years
1,172.3

 
1,168.1

 
A+
Due after ten years
99.4

 
105.1

 
A+
Subtotal
4,482.6

 
4,515.1

 
 
Non-agency commercial mortgage-backed
12.3

 
12.6

 
AAA
Agency mortgage-backed
1,062.6

 
1,073.9

 
AA+
Asset-backed
62.6

 
63.0

 
AAA
Total fixed income securities — Available for sale
$
5,620.1

 
$
5,664.6

 
 
Aggregate Fair Value and Gross Unrealized Loss by Type of Security
Gross Unrealized Loss. The following tables summarize as at March 31, 2017 and December 31, 2016 by type of security, the aggregate fair value and gross unrealized loss by length of time the security has been in an unrealized loss position in the Company’s available for sale portfolio:
 
As at March 31, 2017
 
0-12 months
 
Over 12 months
 
Total
 
Fair
Market
Value
 
Gross
Unrealized
Loss
 
Fair
Market
Value
 
Gross
Unrealized
Loss
 
Fair
Market
Value
 
Gross
Unrealized
Loss
 
Number of
Securities
 
($ in millions)
U.S. government
$
683.2

 
$
(9.3
)
 
$
—

 
$
—

 
$
683.2

 
$
(9.3
)
 
77

U.S. agency
14.8

 
—

 
—

 
—

 
14.8

 
—

 
6

Municipal
6.5

 
(0.2
)
 
—

 
—

 
6.5

 
(0.2
)
 
3

Corporate
895.0

 
(16.6
)
 
3.4

 
(0.2
)
 
898.4

 
(16.8
)
 
339

Non-U.S. government-backed corporate
32.0

 
(0.1
)
 
—

 
—

 
32.0

 
(0.1
)
 
10

Non-U.S. government
87.7

 
(0.3
)
 
40.7

 
(0.1
)
 
128.4

 
(0.4
)
 
28

Asset-backed
23.9

 
—

 
0.7

 
—

 
24.6

 
—

 
16

Agency mortgage-backed
553.2

 
(8.2
)
 
28.5

 
(0.7
)
 
581.7

 
(8.9
)
 
156

Total fixed income securities — Available for sale
2,296.3

 
(34.7
)
 
73.3

 
(1.0
)
 
2,369.6

 
(35.7
)
 
635

Total short-term investments — Available for sale
34.1

 
—

 
—

 
—

 
34.1

 
—

 
13

Total
$
2,330.4

 
$
(34.7
)
 
$
73.3

 
$
(1.0
)
 
$
2,403.7

 
$
(35.7
)
 
648

 
 
As at December 31, 2016
 
0-12 months
 
Over 12 months
 
Total
 
Fair
Market
Value
 
Gross
Unrealized
Loss
 
Fair
Market
Value
 
Gross
Unrealized
Loss
 
Fair
Market
Value
 
Gross
Unrealized
Loss
 
Number of
Securities
 
($ in millions)
U.S. government
$
724.4

 
$
(11.2
)
 
$
—

 
$
—

 
$
724.4

 
$
(11.2
)
 
78
U.S. agency
14.1

 
—

 
—

 
—

 
14.1

 
—

 
4
Municipal
7.7

 
(0.2
)
 
0.8

 
(0.2
)
 
8.5

 
(0.4
)
 
6
Corporate
1,044.4

 
(19.4
)
 
6.6

 
(0.6
)
 
1,051.0

 
(20.0
)
 
386
Non-U.S. government-backed corporate
29.6

 
(0.1
)
 
—

 
—

 
29.6

 
(0.1
)
 
11
Non-U.S. government
143.5

 
(0.8
)
 
1.0

 
—

 
144.5

 
(0.8
)
 
29
Asset-backed
25.8

 
—

 
1.4

 
—

 
27.2

 
—

 
15
Agency mortgage-backed
527.6

 
(7.6
)
 
27.2

 
(0.7
)
 
554.8

 
(8.3
)
 
148
Total fixed income securities — Available for sale
2,517.1

 
(39.3
)
 
37.0

 
(1.5
)
 
2,554.1

 
(40.8
)
 
677
Total short-term investments — Available for sale
1.1

 
—

 
—

 
—

 
1.1

 
—

 
2
Total
$
2,518.2

 
$
(39.3
)
 
$
37.0

 
$
(1.5
)
 
$
2,555.2

 
$
(40.8
)
 
679