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Investments (Tables) | 9 Months Ended
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Sep. 30, 2018
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, 2018 and 2017:
| For the Three Months Ended |  | For the Nine Months Ended
| September 30, 2018 |  | September 30, 2017 |  | September 30, 2018 |  | September 30, 2017
| ($ in millions) |  | ($ in millions)
Fixed income securities — Available for sale | $ | 33.0 |  |  | $ | 32.9 |  |  | $ | 99.8 |  |  | $ | 100.7 |
Fixed income securities — Trading | 12.5 |  |  | 11.1 |  |  | 37.7 |  |  | 31.6 |
Short-term investments — Available for sale | 0.4 |  |  | 0.1 |  |  | 0.9 |  |  | 0.4 |
Short-term investments — Trading | 0.1 |  |  | — |  |  | 0.4 |  |  | 0.5 |
Fixed term deposits (included in cash and cash equivalents) | 3.5 |  |  | 2.1 |  |  | 10.1 |  |  | 4.1 |
Equity securities — Trading | — |  |  | 2.8 |  |  | 1.9 |  |  | 11.7 |
Catastrophe bonds — Trading | 0.5 |  |  | 0.5 |  |  | 1.8 |  |  | 1.3 |
Other investments, at fair value | 0.5 |  |  | — |  |  | 0.5 |  |  | — |
Total | $ | 50.5 |  |  | $ | 49.5 |  |  | $ | 153.1 |  |  | $ | 150.3 |
Investment expenses | (2.5 | ) |  | (3.1 | ) |  | (7.4 | ) |  | (8.8 | )
Net investment income | $ | 48.0 |  |  | $ | 46.4 |  |  | $ | 145.7 |  |  | $ | 141.5 |
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 and nine months ended September 30, 2018 and 2017:
| For the Three Months Ended |  | For the Nine Months Ended
| September 30, 2018 |  | September 30, 2017 |  | September 30, 2018 |  | September 30, 2017
| ($ in millions) |  | ($ in millions)
Available for sale: |  |  |  |  |  |  |
Fixed income securities — gross realized gains | $ | 0.8 |  |  | $ | 2.3 |  |  | $ | 5.2 |  |  | $ | 7.8 |
Fixed income securities — gross realized (losses) | (1.1 | ) |  | (1.6 | ) |  | (8.5 | ) |  | (5.3 | )
Short-term investments — gross realized gains | — |  |  | — |  |  | — |  |  | 0.1 |
Short-term investments — gross realized (losses) | (0.1 | ) |  | — |  |  | (0.1 | ) |  | — |
Cash and cash equivalents — gross realized gains | — |  |  | 0.3 |  |  | 0.2 |  |  | 0.3 |
Cash and cash equivalents — gross realized (losses) | — |  |  | — |  |  | (0.4 | ) |  | (0.1 | )
Other-than-temporary impairments | — |  |  | (0.1 | ) |  | — |  |  | (0.5 | )
Trading: |  |  |  |  |  |  |
Fixed income securities — gross realized gains | 1.0 |  |  | 3.0 |  |  | 3.6 |  |  | 8.3 |
Fixed income securities — gross realized (losses) | (4.1 | ) |  | (0.2 | ) |  | (14.5 | ) |  | (2.6 | )
Short-term investments — gross realized gains | — |  |  | 1.9 |  |  | — |  |  | 2.0 |
Short-term investments — gross realized (losses) | (1.4 | ) |  | — |  |  | (1.4 | ) |  | — |
Cash and cash equivalents — gross realized gains | — |  |  | 1.3 |  |  | 1.5 |  |  | 1.3 |
Cash and cash equivalents — gross realized (losses) | (0.2 | ) |  | — |  |  | (0.2 | ) |  | — |
Equity securities — gross realized gains | — |  |  | 46.1 |  |  | 94.5 |  |  | 55.0 |
Equity securities — gross realized (losses) | — |  |  | (7.4 | ) |  | (20.1 | ) |  | (12.4 | )
Catastrophe bonds — net unrealized (losses) gains | — |  |  | (3.1 | ) |  | 0.9 |  |  | (3.2 | )
Net change in gross unrealized gains (losses) | 4.5 |  |  | (25.0 | ) |  | (119.2 | ) |  | 54.4 |
Investments — equity method: |  |  |  |  |  |  |
Gross realized and unrealized (loss) in MVI | — |  |  | — |  |  | (0.2 | ) |  | (0.1 | )
Gross realized (loss)/gain in Chaspark | — |  |  | — |  |  | — |  |  | 0.9 |
Gross realized and unrealized (loss) in Bene | (0.3 | ) |  | — |  |  | (0.6 | ) |  | (0.2 | )
Total net realized and unrealized investment (losses) gains recorded in the statement of operations | $ | (0.9 | ) |  | $ | 17.5 |  |  | $ | (59.3 | ) |  | $ | 105.7 |
Change in available for sale net unrealized (losses) gains: |  |  |  |  |  |  |
Fixed income securities | (21.0 | ) |  | 0.3 |  |  | (126.7 | ) |  | 15.2 |
Total change in pre-tax available for sale unrealized (losses) gains | (21.0 | ) |  | 0.3 |  |  | (126.7 | ) |  | 15.2 |
Change in taxes | 1.3 |  |  | (0.4 | ) |  | 8.0 |  |  | (1.4 | )
Total change in net unrealized gains, net of taxes, recorded in other comprehensive income | $ | (19.7 | ) |  | $ | (0.1 | ) |  | $ | (118.7 | ) |  | $ | 13.8 |
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, 2018 and December 31, 2017:
| As at September 30, 2018
| Cost or Amortized Cost |  | Gross Unrealized Gains |  | Gross Unrealized Losses |  | Fair Market Value
| ($ in millions)
U.S. government | $ | 1,420.1 |  |  | $ | 0.8 |  |  | $ | (33.1 | ) |  | $ | 1,387.8 |
U.S. agency | 47.1 |  |  | 0.1 |  |  | (0.8 | ) |  | 46.4 |
Municipal | 51.9 |  |  | 1.7 |  |  | (1.5 | ) |  | 52.1 |
Corporate | 2,305.9 |  |  | 8.0 |  |  | (47.9 | ) |  | 2,266.0 |
Non-U.S. government-backed corporate | 91.4 |  |  | 0.1 |  |  | (0.7 | ) |  | 90.8 |
Non-U.S. government | 404.1 |  |  | 3.1 |  |  | (1.8 | ) |  | 405.4 |
Asset-backed | 18.7 |  |  | — |  |  | (0.2 | ) |  | 18.5 |
Agency mortgage-backed | 934.2 |  |  | 4.3 |  |  | (29.1 | ) |  | 909.4 |
Total fixed income securities — Available for sale | 5,273.4 |  |  | 18.1 |  |  | (115.1 | ) |  | 5,176.4 |
Total short-term investments — Available for sale | 120.4 |  |  | — |  |  | — |  |  | 120.4 |
Total | $ | 5,393.8 |  |  | $ | 18.1 |  |  | $ | (115.1 | ) |  | $ | 5,296.8 |
| 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 September 30, 2018 and December 31, 2017:
| As at September 30, 2018
| Cost or Amortized Cost |  | Gross Unrealized Gains |  | Gross Unrealized Losses |  | Fair Market Value
| ($ in millions)
U.S. government | $ | 167.2 |  |  | $ | — |  |  | $ | (1.3 | ) |  | $ | 165.9 |
Municipal | 21.7 |  |  | — |  |  | (1.0 | ) |  | 20.7 |
Corporate | 892.4 |  |  | 2.7 |  |  | (20.2 | ) |  | 874.9 |
Non-U.S government-backed corporate | — |  |  | — |  |  | — |  |  | — |
Non-U.S. government | 229.8 |  |  | 2.4 |  |  | (4.7 | ) |  | 227.5 |
Asset-backed | 5.0 |  |  | — |  |  | (0.1 | ) |  | 4.9 |
Agency mortgage-backed | 118.1 |  |  | — |  |  | (4.8 | ) |  | 113.3 |
Total fixed income securities — Trading | 1,434.2 |  |  | 5.1 |  |  | (32.1 | ) |  | 1,407.2 |
Total short-term investments — Trading | 4.3 |  |  | — |  |  | — |  |  | 4.3 |
Total catastrophe bonds — Trading | 37.7 |  |  | 0.1 |  |  | (0.4 | ) |  | 37.4 |
Total | $ | 1,476.2 |  |  | $ | 5.2 |  |  | $ | (32.5 | ) |  | $ | 1,448.9 |
| 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 and nine months ended September 30, 2018:
| For the Three Months Ended September 30, 2018
| MVI |  | Bene |  | Digital Re |  | Crop Re |  | Total
| ($ in millions)
Opening undistributed value of investment | $ | 0.3 |  |  | $ | 3.8 |  |  | $ | 0.5 |  |  | $ | 62.5 |  |  | $ | 67.1 |
Investment in the period | — |  |  | — |  |  | — |  |  | — |  |  | — |
Realized/unrealized losses for the three months to September 30, 2018 | 0.1 |  |  | (0.3 | ) |  | — |  |  | — |  |  | (0.2 | )
Closing undistributed value of investment | $ | 0.4 |  |  | $ | 3.5 |  |  | $ | 0.5 |  |  | $ | 62.5 |  |  | $ | 66.9 |
Summary of Fixed Maturities | Fixed Income Securities. The scheduled maturity distribution of available for sale fixed income securities as at September 30, 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 September 30, 2018
| Amortized Cost or Cost |  | Fair Market Value |  | Average S&P Ratings by Maturity
| ($ in millions)
Due one year or less | $ | 445.6 |  |  | $ | 445.5 |  |  | AA-
Due after one year through five years | 2,720.5 |  |  | 2,680.5 |  |  | AA-
Due after five years through ten years | 1,044.4 |  |  | 1,008.5 |  |  | AA-
Due after ten years | 110.0 |  |  | 114.0 |  |  | A+
Subtotal | 4,320.5 |  |  | 4,248.5 |  |  |
Agency mortgage-backed | 934.2 |  |  | 909.4 |  |  | AA+
Asset-backed | 18.7 |  |  | 18.5 |  |  | AAA
Total fixed income securities — Available for sale | $ | 5,273.4 |  |  | $ | 5,176.4 |  |  |
| 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 September 30, 2018 and December 31, 2017:
| As at September 30, 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 | $ | 827.9 |  |  | $ | (15.3 | ) |  | $ | 457.3 |  |  | $ | (17.8 | ) |  | $ | 1,285.2 |  |  | $ | (33.1 | ) |  | 140 |
U.S. agency | 25.5 |  |  | (0.4 | ) |  | 13.1 |  |  | (0.4 | ) |  | 38.6 |  |  | (0.8 | ) |  | 15 |
Municipal | 33.3 |  |  | (1.1 | ) |  | 7.2 |  |  | (0.4 | ) |  | 40.5 |  |  | (1.5 | ) |  | 13 |
Corporate | 1,466.5 |  |  | (28.7 | ) |  | 416.7 |  |  | (19.2 | ) |  | 1,883.2 |  |  | (47.9 | ) |  | 725 |
Non-U.S. government-backed corporate | 43.2 |  |  | (0.3 | ) |  | 25.4 |  |  | (0.4 | ) |  | 68.6 |  |  | (0.7 | ) |  | 15 |
Non-U.S. government | 193.8 |  |  | (0.9 | ) |  | 50.1 |  |  | (0.9 | ) |  | 243.9 |  |  | (1.8 | ) |  | 61 |
Asset-backed | 13.4 |  |  | (0.2 | ) |  | 5.0 |  |  | — |  |  | 18.4 |  |  | (0.2 | ) |  | 7 |
Agency mortgage-backed | 426.3 |  |  | (10.2 | ) |  | 360.0 |  |  | (18.9 | ) |  | 786.3 |  |  | (29.1 | ) |  | 265 |
Total fixed income securities — Available for sale | 3,029.9 |  |  | (57.1 | ) |  | 1,334.8 |  |  | (58.0 | ) |  | 4,364.7 |  |  | (115.1 | ) |  | 1,241 |
Total short-term investments — Available for sale | 76.4 |  |  | — |  |  | — |  |  | — |  |  | 76.4 |  |  | — |  |  | 13 |
Total | $ | 3,106.3 |  |  | $ | (57.1 | ) |  | $ | 1,334.8 |  |  | $ | (58.0 | ) |  | $ | 4,441.1 |  |  | $ | (115.1 | ) |  | 1,254 |
| 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

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- Definition Tabular disclosure of the significant judgments and assumptions made in determining whether a variable interest (as defined) held by the entity requires the variable interest entity (VIE) (as defined) to be consolidated and (or) disclose information about its involvement with the VIE, individually or in aggregate (as applicable); the nature of restrictions, if any, on the consolidated VIE's assets and on the settlement of its liabilities reported by an entity in its statement of financial position, including the carrying amounts of such assets and liabilities; the nature of, and changes in, the risks associated with involvement in the VIE; how involvement with the VIE affects the entity's financial position, financial performance, and cash flows; the lack of recourse if creditors (or beneficial interest holders) of the consolidated VIE have no recourse to the general credit of the primary beneficiary (if applicable); the terms of arrangements, giving consideration to both explicit arrangements and implicit variable interests, if any, that could require the entity to provide financial support to the VIE, including events or circumstances that could expose the entity to a loss; the methodology used by the entity for determining whether or not it is the primary beneficiary of the variable interest entity; the significant factors considered and judgments made in determining that the power to direct the activities of a VIE that most significantly impact the VIE's economic performance are shared (as defined); the carrying amounts and classification of assets and liabilities of the VIE included in the statement of financial position; the entity's maximum exposure to loss, if any, as a result of its involvement with the VIE, including how the maximum exposure is determined and significant sources of the entity's exposure to the VIE; a comparison of the carrying amounts of the assets and liabilities and the entity's maximum exposure to loss; information about any liquidity arrangements, guarantees, and (or) other commitments by third parties that may affect the fair value or risk of the entity's variable interest in the VIE; whether or not the entity has provided financial support or other support (explicitly or implicitly) to the VIE that it was not previously contractually required to provide or whether the entity intends to provide that support, including the type and amount of the support and the primary reasons for providing the support; and supplemental information the entity determines necessary to provide. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 810 -SubTopic 10 -Section 50 -Paragraph 5A -URI http://asc.fasb.org/extlink&oid=108788376&loc=SL6759159-111685 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 810 -SubTopic 10 -Section 50 -Paragraph 6 -URI http://asc.fasb.org/extlink&oid=108788376&loc=d3e5747-111685 Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 810 -SubTopic 10 -Section 50 -Paragraph 9 -URI http://asc.fasb.org/extlink&oid=108788376&loc=SL6228884-111685 Reference 4: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 810 -SubTopic 10 -Section 50 -Paragraph 3 -URI http://asc.fasb.org/extlink&oid=108788376&loc=d3e5710-111685 Reference 5: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 810 -SubTopic 10 -Section 50 -Paragraph 4 -URI http://asc.fasb.org/extlink&oid=108788376&loc=d3e5728-111685 + Details
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- Definition Tabular disclosure of investment in debt security measured at fair value with change in fair value recognized in net income (trading) and investment in equity security measured at fair value with change in fair value recognized in net income (FV-NI). + References No definition available. + Details
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