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Investments (Tables)
 9 Months Ended
Sep. 30, 2017
Investments, Debt and Equity Securities [Abstract]  
Summary of Investment Income
Investment Income. The following table summarizes investment income for the three and nine months ended September 30, 2017 and 2016:
 
For the Three Months Ended
 
For the Nine Months Ended
 
September 30, 2017
 
September 30, 2016
 
September 30, 2017
 
September 30, 2016
 
($ in millions)
 
($ in millions)
Fixed income securities — Available for sale
$
32.9

 
$
34.8

 
$
100.7

 
$
107.9

Fixed income securities — Trading
11.1

 
7.6

 
31.6

 
22.9

Short-term investments — Available for sale
0.1

 
0.2

 
0.4

 
0.5

Short-term investments — Trading
—

 
—

 
0.5

 
—

Cash and cash equivalents
2.1

 
0.8

 
4.1

 
2.2

Equity securities — Trading
2.8

 
5.5

 
11.7

 
17.9

Catastrophe bonds — Trading
0.5

 
0.2

 
1.3

 
1.3

Total
$
49.5

 
$
49.1

 
$
150.3

 
$
152.7

Investment expenses
(3.1
)
 
(2.7
)
 
(8.8
)
 
(8.8
)
Net investment income
$
46.4

 
$
46.4

 
$
141.5

 
$
143.9
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 and nine months ended September 30, 2017 and 2016:

 
For the Three Months Ended
 
For the Nine Months Ended
 
September 30, 2017
 
September 30, 2016
 
September 30, 2017
 
September 30, 2016
 
($ in millions)
 
($ in millions)
Available for sale:
 
 
 
 
 
 
 
Fixed income securities — gross realized gains
$
2.3

 
$
5.5

 
$
7.8

 
$
14.7

Fixed income securities — gross realized (losses)
(1.6
)
 
(0.9
)
 
(5.3
)
 
(4.6
)
Short-term investments — gross realized gains
—

 
0.1

 
0.1

 
—

Short-term investments — gross realized (losses)
—

 
(0.2
)
 
—

 
—

Cash and cash equivalents — gross realized gains
0.3

 
—

 
0.3

 
0.1

Cash and cash equivalents — gross realized (losses)
—

 
—

 
(0.1
)
 
(0.5
)
Other-than-temporary impairments
(0.1
)
 
—

 
(0.5
)
 
—

Trading:
 
 
 
 
 
 
 
Fixed income securities — gross realized gains
3.0

 
4.3

 
8.3

 
9.5

Fixed income securities — gross realized (losses)
(0.2
)
 
(0.5
)
 
(2.6
)
 
(6.9
)
Short-term investments — gross realized gains
1.9

 
—

 
2.0

 
—

Cash and cash equivalents — gross realized gains
1.3

 
—

 
1.3

 
—

Equity securities — gross realized gains
46.1

 
8.1

 
55.0

 
23.3

Equity securities — gross realized (losses)
(7.4
)
 
(4.2
)
 
(12.4
)
 
(22.2
)
Catastrophe bonds — net unrealized (losses)/gains
(3.1
)
 
0.3

 
(3.2
)
 
0.1

Net change in gross unrealized (losses)/gains
(25.0
)
 
8.0

 
54.4

 
88.8

Other investments:
 
 
 
 
 
 
 
Gross realized and unrealized (loss) in MVI
—

 
—

 
(0.1
)
 
—

Gross realized (loss)/gain in Chaspark
—

 
1.0

 
0.9

 
1.0

Gross realized and unrealized (loss) in Bene
—

 
—

 
(0.2
)
 
—

Total net realized and unrealized investment gains recorded in the statement of operations
$
17.5

 
$
21.5

 
$
105.7

 
$
103.3

 
 
 
 
 
 
 
 
Change in available for sale net unrealized gains:
 
 
 
 
 
 
 
Fixed income securities
0.3

 
(23.2
)
 
15.2

 
104.0

Total change in pre-tax available for sale unrealized gains
0.3

 
(23.2
)
 
15.2

 
104.0

Change in taxes
(0.4
)
 
2.0

 
(1.4
)
 
(11.1
)
Total change in net unrealized gains, net of taxes, recorded in other comprehensive income
$
(0.1
)
 
$
(21.2
)
 
$
13.8

 
$
92.9
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 September 30, 2017 and December 31, 2016:
 
As at September 30, 2017
 
Cost or
Amortized Cost
 
Gross
Unrealized
Gains
 
Gross
Unrealized
Losses
 
Fair Market
Value
 
($ in millions)
U.S. government
$
1,171.3

 
$
7.6

 
$
(6.2
)
 
$
1,172.7

U.S. agency
61.3

 
0.9

 
(0.1
)
 
62.1

Municipal
47.9

 
2.2

 
—

 
50.1

Corporate
2,431.5

 
45.4

 
(8.6
)
 
2,468.3

Non-U.S. government-backed corporate
94.0

 
0.4

 
(0.4
)
 
94.0

Non-U.S. government
525.3

 
7.9

 
(1.5
)
 
531.7

Asset-backed
33.6

 
0.1

 
—

 
33.7

Agency mortgage-backed
940.8

 
17.4

 
(5.4
)
 
952.8

Total fixed income securities — Available for sale
5,305.7

 
81.9

 
(22.2
)
 
5,365.4

Total short-term investments — Available for sale
34.4

 
—

 
—

 
34.4

Total
$
5,340.1

 
$
81.9

 
$
(22.2
)
 
$
5,399.8

 
 
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 September 30, 2017 and December 31, 2016:
 
As at September 30, 2017
 
Cost or
Amortized Cost
 
Gross
Unrealized
Gains
 
Gross
Unrealized
Losses
 
Fair Market
Value
 
($ in millions)
U.S. government
$
160.6

 
$
0.6

 
$
(0.6
)
 
$
160.6

Municipal
32.4

 
—

 
(0.1
)
 
32.3

Corporate
1,029.8

 
17.9

 
(2.7
)
 
1,045.0

Non-U.S government-backed corporate
2.0

 
—

 
—

 
2.0

Non-U.S. government
203.5

 
7.8

 
(0.4
)
 
210.9

Asset-backed
11.0

 
0.1

 
—

 
11.1

Agency mortgage-backed
203.1

 
0.7

 
(0.7
)
 
203.1

Total fixed income securities — Trading
1,642.4

 
27.1

 
(4.5
)
 
1,665.0

Total short-term investments — Trading
90.3

 
—

 
—

 
90.3

Total equity securities — Trading
407.2

 
68.7

 
(7.3
)
 
468.6

Total catastrophe bonds — Trading
33.5

 
—

 
(3.2
)
 
30.3

Total
$
2,173.4

 
$
95.8

 
$
(15.0
)
 
$
2,254.2

 
 
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 and nine months ended September 30, 2017 and September 30, 2016:
 
For the Three Months Ended September 30, 2017
 
MVI
 
Chaspark
 
Bene
 
Digital Re
 
Total
 
($ in millions)
Opening undistributed value of investment
$
0.4

 
$
—

 
$
3.0

 
$
0.5

 
$
3.9

Additional investment
0.1

 
—

 
—

 
—

 
0.1

Closing undistributed value of investment
$
0.5

 
$
—

 
$
3.0

 
$
0.5

 
$
4.0


 
For the Three Months Ended September 30, 2016
 
MVI
 
Chaspark
 
Bene
 
Total
 
($ in millions)
Opening undistributed value of investment
$
0.6

 
$
8.1

 
$
—

 
$
8.7

Initial investment
—

 
—

 
3.3

 
3.3

Realized/unrealized gain for the three months to September 30, 2016
—

 
1.0

 
—

 
1.0

Closing value of investment
$
0.6

 
$
9.1

 
$
3.3

 
$
13.0



 
For the Nine Months Ended September 30, 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
)
Additional investment
0.1

 
—

 
—

 
—

 
0.1

Distribution received
—

 
(9.3
)
 
—

 
—

 
(9.3
)
Realized/unrealized gain/(losses) for the nine months to September 30, 2017
(0.1
)
 
0.9

 
(0.2
)
 
—

 
0.6

Closing undistributed value of investment
$
0.5

 
$
—

 
$
3.0

 
$
0.5

 
$
4.0


 
For the Nine Months Ended September 30, 2016
 
MVI
 
Chaspark
 
Bene
 
Total
 
($ in millions)
Opening undistributed value of investment
$
0.8

 
$
8.1

 
$
—

 
$
8.9

Initial investment
—

 
—

 
3.3

 
3.3

Realized/unrealized gain for the nine months to September 30, 2016
(0.2
)
 
1.0

 
—

 
0.8

Closing value of investment
$
0.6

 
$
9.1

 
$
3.3

 
$
13.0
Summary of Fixed Maturities
Fixed Income Securities. The scheduled maturity distribution of available for sale fixed income securities as at September 30, 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 September 30, 2017
 
Amortized
Cost or Cost
 
Fair Market
Value
 
Average
S&P Ratings by
Maturity
 
($ in millions)
Due one year or less
$
577.8

 
$
579.2

 
AA
Due after one year through five years
2,597.3

 
2,623.2

 
AA-
Due after five years through ten years
1,060.6

 
1,070.1

 
AA-
Due after ten years
95.6

 
106.4

 
A+
Subtotal
4,331.3

 
4,378.9

 
 
Agency mortgage-backed
940.8

 
952.8

 
AA+
Asset-backed
33.6

 
33.7

 
AAA
Total fixed income securities — Available for sale
$
5,305.7

 
$
5,365.4

 
 
 
 
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, 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 September 30, 2017 and December 31, 2016:
 
As at September 30, 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
$
617.5

 
$
(5.0
)
 
$
62.5

 
$
(1.2
)
 
$
680.0

 
$
(6.2
)
 
80

U.S. agency
19.6

 
(0.1
)
 
—

 
—

 
19.6

 
(0.1
)
 
7

Municipal
19.2

 
—

 
—

 
—

 
19.2

 
—

 
6

Corporate
483.9

 
(4.6
)
 
154.1

 
(4.0
)
 
638.0

 
(8.6
)
 
255

Non-U.S. government-backed corporate
63.4

 
(0.4
)
 
0.4

 
—

 
63.8

 
(0.4
)
 
15

Non-U.S. government
211.5

 
(1.2
)
 
36.8

 
(0.3
)
 
248.3

 
(1.5
)
 
43

Asset-backed
12.2

 
—

 
—

 
—

 
12.2

 
—

 
9

Agency mortgage-backed
426.0

 
(4.5
)
 
33.9

 
(0.9
)
 
459.9

 
(5.4
)
 
133

Total fixed income securities — Available for sale
1,853.3

 
(15.8
)
 
287.7

 
(6.4
)
 
2,141.0

 
(22.2
)
 
548

Total short-term investments — Available for sale
25.7

 
—

 
—

 
—

 
25.7

 
—

 
10

Total
$
1,879.0

 
$
(15.8
)
 
$
287.7

 
$
(6.4
)
 
$
2,166.7

 
$
(22.2
)
 
558

 
 
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