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Investments (Tables)
 3 Months Ended
Mar. 31, 2018
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, 2018 and 2017:
 
For the Three Months Ended
 
March 31, 2018
 
March 31, 2017
 
($ in millions)
Fixed income securities — Available for sale
$
33.3

 
$
33.9

Fixed income securities — Trading
12.0

 
10.1

Short-term investments — Available for sale
0.2

 
0.1

Short-term investments — Trading
0.2

 
0.2

Fixed term deposits (included in cash and cash equivalents)
2.4

 
0.7

Equity securities — Trading
1.2

 
5.2

Catastrophe bonds — Trading
0.6

 
0.4

Total
$
49.9

 
$
50.6

Investment expenses
(2.6
)
 
(2.9
)
Net investment income
$
47.3

 
$
47.7
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, 2018 and 2017:

 
For the Three Months Ended
 
March 31, 2018
 
March 31, 2017
 
($ in millions)
Available for sale:
 
 
 
Fixed income securities — gross realized gains
$
1.8

 
$
2.2

Fixed income securities — gross realized (losses)
(1.8
)
 
(1.3
)
Short-term investments — gross realized gains
—

 
0.1

Cash and cash equivalents — gross realized gains
0.2

 
—

Cash and cash equivalents — gross realized (losses)
(0.1
)
 
—

Other-than-temporary impairments
—

 
(0.3
)
Trading:
 
 
 
Fixed income securities — gross realized gains
1.6

 
1.8

Fixed income securities — gross realized (losses)
(7.0
)
 
(2.0
)
Cash and cash equivalents — gross realized gains
1.6

 
—

Equity securities — gross realized gains
94.5

 
4.5

Equity securities — gross realized (losses)
(20.3
)
 
(1.4
)
Catastrophe bonds — net unrealized (losses)/gains
0.9

 
—

Net change in gross unrealized (losses)/gains
(108.8
)
 
40.9

Other investments:
 
 
 
Gross realized and unrealized (loss) in MVI
(0.1
)
 
—

Gross realized (loss)/gain in Chaspark
—

 
1.7

Gross realized and unrealized (loss) in Bene
(0.2
)
 
—

Total net realized and unrealized investment (losses)/gains recorded in the statement of operations
$
(37.7
)
 
$
46.2

 
 
 
 
Change in available for sale net unrealized (losses)/gains:
 
 
 
Fixed income securities
(82.9
)
 
2.0

Total change in pre-tax available for sale unrealized (losses)/gains
(82.9
)
 
2.0

Change in taxes
5.5

 
0.1

Total change in net unrealized gains, net of taxes, recorded in other comprehensive income
$
(77.4
)
 
$
2.1
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, 2018 and December 31, 2017:
 
As at March 31, 2018
 
Cost or
Amortized Cost
 
Gross
Unrealized
Gains
 
Gross
Unrealized
Losses
 
Fair Market
Value
 
($ in millions)
U.S. government
$
1,311.3

 
$
2.5

 
$
(21.6
)
 
$
1,292.2

U.S. agency
52.9

 
0.2

 
(0.4
)
 
52.7

Municipal
46.5

 
1.7

 
(0.6
)
 
47.6

Corporate
2,471.3

 
16.3

 
(41.4
)
 
2,446.2

Non-U.S. government-backed corporate
98.2

 
0.1

 
(0.5
)
 
97.8

Non-U.S. government
480.7

 
4.5

 
(1.8
)
 
483.4

Asset-backed
18.7

 
—

 
(0.2
)
 
18.5

Agency mortgage-backed
985.6

 
8.6

 
(20.4
)
 
973.8

Total fixed income securities — Available for sale
5,465.2

 
33.9

 
(86.9
)
 
5,412.2

Total short-term investments — Available for sale
54.7

 
—

 
(0.1
)
 
54.6

Total
$
5,519.9

 
$
33.9

 
$
(87.0
)
 
$
5,466.8

 
 
As at December 31, 2017
 
Cost or
Amortized Cost
 
Gross
Unrealized
Gains
 
Gross
Unrealized
Losses
 
Fair Market
Value
 
($ in millions)
U.S. government
$
1,166.5

 
$
4.5

 
$
(11.6
)
 
$
1,159.4

U.S. agency
51.8

 
0.5

 
(0.2
)
 
52.1

Municipal
53.0

 
2.1

 
(0.2
)
 
54.9

Corporate
2,391.4

 
36.1

 
(11.8
)
 
2,415.7

Non-U.S. government-backed corporate
91.5

 
0.3

 
(0.5
)
 
91.3

Non-U.S. government
479.7

 
6.4

 
(1.2
)
 
484.9

Asset-backed
26.3

 
—

 
(0.1
)
 
26.2

Agency mortgage-backed
941.0

 
13.7

 
(8.2
)
 
946.5

Total fixed income securities — Available for sale
5,201.2

 
63.6

 
(33.8
)
 
5,231.0

Total short-term investments — Available for sale
90.0

 
—

 
(0.1
)
 
89.9

Total
$
5,291.2

 
$
63.6

 
$
(33.9
)
 
$
5,320.9
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, 2018 and December 31, 2017:
 
As at March 31, 2018
 
Cost or
Amortized Cost
 
Gross
Unrealized
Gains
 
Gross
Unrealized
Losses
 
Fair Market
Value
 
($ in millions)
U.S. government
$
141.8

 
$
0.6

 
$
(0.7
)
 
$
141.7

Municipal
75.0

 
—

 
(0.7
)
 
74.3

Corporate
1,014.5

 
5.8

 
(16.7
)
 
1,003.6

Non-U.S government-backed corporate
1.0

 
—

 
—

 
1.0

Non-U.S. government
216.2

 
3.4

 
(3.0
)
 
216.6

Asset-backed
8.4

 
—

 
(0.1
)
 
8.3

Agency mortgage-backed
195.8

 
0.3

 
(4.0
)
 
192.1

Total fixed income securities — Trading
1,652.7

 
10.1

 
(25.2
)
 
1,637.6

Total short-term investments — Trading
27.0

 
—

 
—

 
27.0

Total catastrophe bonds — Trading
35.0

 
—

 
(0.2
)
 
34.8

Total
$
1,714.7

 
$
10.1

 
$
(25.4
)
 
$
1,699.4

 
 
As at December 31, 2017
 
Cost or
Amortized Cost
 
Gross
Unrealized
Gains
 
Gross
Unrealized
Losses
 
Fair Market
Value
 
($ in millions)
U.S. government
$
162.3

 
$
0.4

 
$
(0.8
)
 
$
161.9

Municipal
32.4

 
—

 
(0.2
)
 
32.2

Corporate
1,036.5

 
14.0

 
(4.2
)
 
1,046.3

Non-U.S. government-backed corporate
1.0

 
—

 
—

 
1.0

Non-U.S. government
196.1

 
6.9

 
(0.5
)
 
202.5

Asset-backed
9.9

 
—

 
—

 
9.9

Agency mortgage-backed
196.7

 
0.2

 
(1.4
)
 
195.5

Total fixed income securities — Trading
1,634.9

 
21.5

 
(7.1
)
 
1,649.3

Total short-term investments — Trading
73.0

 
—

 
—

 
73.0

Total equity securities — Trading
414.8

 
83.5

 
(7.3
)
 
491.0

Total catastrophe bonds — Trading
33.5

 
—

 
(1.1
)
 
32.4

Total
$
2,156.2

 
$
105.0

 
$
(15.5
)
 
$
2,245.7
Other Investments
The tables below show the Company’s investments in the MVI, Bene, Digital Re and Crop Re for the three months ended March 31, 2018:
 
For the Three Months Ended March 31, 2018
 
MVI
 
Bene
 
Digital Re
 
Crop Re
 
Total
 
($ in millions)
Opening undistributed value of investment
$
0.5

 
$
2.9

 
$
0.5

 
$
62.5

 
$
66.4

Realized/unrealized losses for the three months to March 31, 2018
(0.1
)
 
(0.2
)
 
—

 
—

 
(0.3
)
Closing undistributed value of investment
$
0.4

 
$
2.7

 
$
0.5

 
$
62.5

 
$
66.1
Summary of Fixed Maturities
Fixed Income Securities. The scheduled maturity distribution of available for sale fixed income securities as at March 31, 2018 and December 31, 2017 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, 2018
 
Amortized
Cost or Cost
 
Fair Market
Value
 
Average
S&P Ratings by
Maturity
 
($ in millions)
Due one year or less
$
592.2

 
$
593.2

 
AA
Due after one year through five years
2,608.0

 
2,582.6

 
AA-
Due after five years through ten years
1,153.4

 
1,128.1

 
AA-
Due after ten years
107.3

 
116.0

 
A+
Subtotal
4,460.9

 
4,419.9

 
 
Agency mortgage-backed
985.6

 
973.8

 
AA+
Asset-backed
18.7

 
18.5

 
AAA
Total fixed income securities — Available for sale
$
5,465.2

 
$
5,412.2

 
 
 
 
As at December 31, 2017
 
Amortized
Cost or Cost
 
Fair Market
Value
 
Average
S&P Ratings by
Maturity
 
($ in millions)
Due one year or less
$
561.7

 
$
562.4

 
AA
Due after one year through five years
2,486.7

 
2,492.2

 
AA-
Due after five years through ten years
1,092.2

 
1,097.4

 
A+
Due after ten years
93.3

 
106.3

 
A
Subtotal
4,233.9

 
4,258.3

 
 
Agency mortgage-backed
941.0

 
946.5

 
AA+
Asset-backed
26.3

 
26.2

 
AAA
Total fixed income securities — Available for sale
$
5,201.2

 
$
5,231.0

 
 
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 March 31, 2018 and December 31, 2017:
 
As at March 31, 2018
 
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
$
772.9

 
$
(12.7
)
 
$
286.8

 
$
(8.9
)
 
$
1,059.7

 
$
(21.6
)
 
112

U.S. agency
30.8

 
(0.4
)
 
5.5

 
—

 
36.3

 
(0.4
)
 
12

Municipal
36.0

 
(0.6
)
 
—

 
—

 
36.0

 
(0.6
)
 
11

Corporate
1,544.3

 
(26.3
)
 
320.4

 
(15.0
)
 
1,864.7

 
(41.3
)
 
661

Non-U.S. government-backed corporate
50.0

 
(0.4
)
 
10.0

 
(0.1
)
 
60.0

 
(0.5
)
 
17

Non-U.S. government
247.5

 
(1.4
)
 
23.8

 
(0.4
)
 
271.3

 
(1.8
)
 
58

Asset-backed
13.4

 
(0.1
)
 
5.0

 
(0.1
)
 
18.4

 
(0.2
)
 
7

Agency mortgage-backed
427.5

 
(8.6
)
 
290.5

 
(11.8
)
 
718.0

 
(20.4
)
 
228

Total fixed income securities — Available for sale
3,122.4

 
(50.5
)
 
942.0

 
(36.3
)
 
4,064.4

 
(86.8
)
 
1,106

Total short-term investments — Available for sale
41.8

 
(0.1
)
 
—

 
—

 
41.8

 
(0.1
)
 
10

Total
$
3,164.2

 
$
(50.6
)
 
$
942.0

 
$
(36.3
)
 
$
4,106.2

 
$
(86.9
)
 
1,116

 
 
As at December 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
$
652.1

 
$
(5.1
)
 
$
259.8

 
$
(6.5
)
 
$
911.9

 
$
(11.6
)
 
101
U.S. agency
20.1

 
(0.2
)
 
6.1

 
—

 
26.2

 
(0.2
)
 
10
Municipal
28.5

 
(0.2
)
 
—

 
—

 
28.5

 
(0.2
)
 
9
Corporate
699.3

 
(3.4
)
 
360.7

 
(8.4
)
 
1,060.0

 
(11.8
)
 
412
Non-U.S. government-backed corporate
43.5

 
(0.3
)
 
13.3

 
(0.2
)
 
56.8

 
(0.5
)
 
15
Non-U.S. government
206.2

 
(0.8
)
 
32.0

 
(0.4
)
 
238.2

 
(1.2
)
 
47
Asset-backed
11.1

 
—

 
10.5

 
(0.1
)
 
21.6

 
(0.1
)
 
11
Agency mortgage-backed
257.6

 
(1.9
)
 
301.9

 
(6.3
)
 
559.5

 
(8.2
)
 
156
Total fixed income securities — Available for sale
1,918.4

 
(11.9
)
 
984.3

 
(21.9
)
 
2,902.7

 
(33.8
)
 
761
Total short-term investments — Available for sale
46.9

 
(0.1
)
 
—

 
—

 
46.9

 
(0.1
)
 
8
Total
$
1,965.3

 
$
(12.0
)
 
$
984.3

 
$
(21.9
)
 
$
2,949.6

 
$
(33.9
)
 
769