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Investments (Tables)
 3 Months Ended
Mar. 31, 2019
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, 2019 and 2018:
 
For the Three Months Ended
 
March 31, 2019
 
March 31, 2018
 
($ in millions)
Fixed income securities — Available for sale
$
34.3

 
$
33.3

Fixed income securities — Trading
11.7

 
12.0

Short-term investments — Available for sale
0.8

 
0.2

Short-term investments — Trading
0.2

 
0.2

Fixed term deposits (included in cash and cash equivalents)
4.5

 
2.4

Equity securities — Trading
—

 
1.2

Catastrophe bonds — Trading
0.8

 
0.6

Other investments, at fair value
1.4

 
—

Total
$
53.7

 
$
49.9

Investment expenses
(2.2
)
 
(2.6
)
Net investment income
$
51.5

 
$
47.3
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, 2019 and 2018:

 
For the Three Months Ended
 
March 31, 2019
 
March 31, 2018
 
($ in millions)
Available for sale:
 
 
 
Fixed income securities — gross realized gains
$
3.0

 
$
1.8

Fixed income securities — gross realized (losses)
(3.2
)
 
(1.8
)
Cash and cash equivalents — gross realized gains
—

 
0.2

Cash and cash equivalents — gross realized (losses)
—

 
(0.1
)
Trading:
 
 
 
Fixed income securities — gross realized gains
2.3

 
1.6

Fixed income securities — gross realized (losses)
(2.8
)
 
(7.0
)
Short-term investments — gross realized (losses)
(0.1
)
 
—

Cash and cash equivalents — gross realized gains
0.1

 
1.6

Equity securities — gross realized gains
—

 
94.5

Equity securities — gross realized (losses)
—

 
(20.3
)
Catastrophe bonds — net unrealized gains
0.3

 
0.9

Net change in gross unrealized gains/(losses)
36.3

 
(108.8
)
Investments — equity method:
 
 
 
Gross realized and unrealized (loss) in MVI
—

 
(0.1
)
Gross realized and unrealized (loss) in Bene
(0.1
)
 
(0.2
)
Total net realized and unrealized investment gains/(losses) recorded in the statement of operations
$
35.8

 
$
(37.7
)
 
 
 
 
Change in available for sale net unrealized gains/(losses):
 
 
 
Fixed income securities
75.6

 
(82.9
)
Change in taxes
(5.2
)
 
5.5

Total change in net unrealized gains/(losses), net of taxes, recorded in other comprehensive income
$
70.4

 
$
(77.4
)
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, 2019 and December 31, 2018:
 
As at March 31, 2019
 
Cost or
Amortized Cost
 
Gross
Unrealized
Gains
 
Gross
Unrealized
Losses
 
Fair Market
Value
 
($ in millions)
U.S. government
$
1,352.6

 
$
14.6

 
$
(8.0
)
 
$
1,359.2

U.S. agency
39.3

 
0.3

 
(0.1
)
 
39.5

Municipal
46.5

 
1.9

 
(0.2
)
 
48.2

Corporate
2,151.6

 
21.8

 
(10.8
)
 
2,162.6

Non-U.S. government-backed corporate
98.1

 
0.4

 
(0.2
)
 
98.3

Non-U.S. government
356.9

 
4.9

 
(0.2
)
 
361.6

Asset-backed
16.2

 
—

 
(0.1
)
 
16.1

Agency mortgage-backed
955.3

 
9.9

 
(10.2
)
 
955.0

Total fixed income securities — Available for sale
5,016.5

 
53.8

 
(29.8
)
 
5,040.5

Total short-term investments — Available for sale
160.7

 
0.2

 
—

 
160.9

Total
$
5,177.2

 
$
54.0

 
$
(29.8
)
 
$
5,201.4

 
 
As at December 31, 2018
 
Cost or
Amortized Cost
 
Gross
Unrealized
Gains
 
Gross
Unrealized
Losses
 
Fair Market
Value
 
($ in millions)
U.S. government
$
1,413.5

 
$
6.8

 
$
(16.1
)
 
$
1,404.2

U.S. agency
47.7

 
0.1

 
(0.4
)
 
47.4

Municipal
46.7

 
1.3

 
(0.8
)
 
47.2

Corporate
2,238.9

 
7.8

 
(40.5
)
 
2,206.2

Non-U.S. government-backed corporate
93.2

 
0.2

 
(0.2
)
 
93.2

Non-U.S. government
399.8

 
3.6

 
(0.8
)
 
402.6

Asset-backed
17.4

 
—

 
(0.1
)
 
17.3

Agency mortgage-backed
1,025.1

 
6.5

 
(19.0
)
 
1,012.6

Total fixed income securities — Available for sale
5,282.3

 
26.3

 
(77.9
)
 
5,230.7

Total short-term investments — Available for sale
105.6

 
—

 
—

 
105.6

Total
$
5,387.9

 
$
26.3

 
$
(77.9
)
 
$
5,336.3
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, 2019 and December 31, 2018:
 
As at March 31, 2019
 
Cost or
Amortized Cost
 
Gross
Unrealized
Gains
 
Gross
Unrealized
Losses
 
Fair Market
Value
 
($ in millions)
U.S. government
$
217.4

 
$
1.6

 
$
(0.2
)
 
$
218.8

Municipal
3.0

 
—

 
—

 
3.0

Corporate
754.9

 
12.4

 
(3.4
)
 
763.9

Non-U.S. government
246.4

 
6.8

 
(0.7
)
 
252.5

Asset-backed
2.3

 
—

 
—

 
2.3

Agency mortgage-backed
49.1

 
0.3

 
(0.6
)
 
48.8

Total fixed income securities — Trading
1,273.1

 
21.1

 
(4.9
)
 
1,289.3

Total short-term investments — Trading
81.0

 
—

 
—

 
81.0

Total catastrophe bonds — Trading
39.5

 
—

 
(1.4
)
 
38.1

Total
$
1,393.6

 
$
21.1

 
$
(6.3
)
 
$
1,408.4

 
 
As at December 31, 2018
 
Cost or
Amortized Cost
 
Gross
Unrealized
Gains
 
Gross
Unrealized
Losses
 
Fair Market
Value
 
($ in millions)
U.S. government
$
146.6

 
$
1.6

 
$
(0.5
)
 
$
147.7

Municipal
2.8

 
—

 
(0.1
)
 
2.7

Corporate
734.2

 
2.6

 
(16.6
)
 
720.2

Non-U.S. government
268.7

 
1.9

 
(5.2
)
 
265.4

Asset-backed
2.4

 
—

 
—

 
2.4

Agency mortgage-backed
50.3

 
0.2

 
(1.1
)
 
49.4

Total fixed income securities — Trading
1,205.0

 
6.3

 
(23.5
)
 
1,187.8

Total short-term investments — Trading
9.5

 
—

 
—

 
9.5

Total catastrophe bonds — Trading
37.9

 
0.1

 
(1.8
)
 
36.2

Total
$
1,252.4

 
$
6.4

 
$
(25.3
)
 
$
1,233.5
Other Investments
The table below shows the Company’s investments in the MVI, Bene, Digital Re and Crop Re for the three months ended March 31, 2019:
 
For the Three Months Ended March 31, 2019
 
MVI
 
Bene
 
Digital Re
 
Crop Re
 
Total
 
($ in millions)
Opening undistributed value of investment
$
0.5

 
$
3.2

 
$
0.9

 
$
62.5

 
$
67.1

Investment in the period
—

 
—

 
—

 
—

 
—

Realized/unrealized losses for the three months to March 31, 2019
—

 
(0.1
)
 
—

 
—

 
(0.1
)
Closing undistributed value of investment
$
0.5

 
$
3.1

 
$
0.9

 
$
62.5

 
$
67.0
Summary of Fixed Maturities
Fixed Income Securities. The scheduled maturity distribution of available for sale fixed income securities as at March 31, 2019 and December 31, 2018 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, 2019
 
Amortized
Cost or Cost
 
Fair Market
Value
 
Average
S&P Ratings by
Maturity
 
($ in millions)
Due one year or less
$
441.1

 
$
440.7

 
AA-
Due after one year through five years
2,463.8

 
2,467.0

 
AA-
Due after five years through ten years
1,014.7

 
1,025.1

 
AA-
Due after ten years
125.4

 
136.6

 
AA-
Subtotal
4,045.0

 
4,069.4

 
 
Agency mortgage-backed
955.3

 
955.0

 
AA+
Asset-backed
16.2

 
16.1

 
AAA
Total fixed income securities — Available for sale
$
5,016.5

 
$
5,040.5

 
 
 
 
As at December 31, 2018
 
Amortized
Cost or Cost
 
Fair Market
Value
 
Average
S&P Ratings by
Maturity
 
($ in millions)
Due one year or less
$
464.3

 
$
463.5

 
AA-
Due after one year through five years
2,605.7

 
2,582.0

 
AA-
Due after five years through ten years
1,047.9

 
1,028.3

 
AA-
Due after ten years
121.9

 
127.0

 
AA-
Subtotal
4,239.8

 
4,200.8

 
 
Agency mortgage-backed
1,025.1

 
1,012.6

 
AA+
Asset-backed
17.4

 
17.3

 
AAA
Total fixed income securities — Available for sale
$
5,282.3

 
$
5,230.7

 
 
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, 2019 and December 31, 2018:
 
As at March 31, 2019
 
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
$
90.9

 
$
(0.2
)
 
$
645.1

 
$
(7.8
)
 
$
736.0

 
$
(8.0
)
 
75

U.S. agency
1.4

 
—

 
14.8

 
(0.1
)
 
16.2

 
(0.1
)
 
7

Municipal
—

 
—

 
25.4

 
(0.2
)
 
25.4

 
(0.2
)
 
8

Corporate
27.8

 
(0.1
)
 
966.9

 
(10.7
)
 
994.7

 
(10.8
)
 
380

Non-U.S. government-backed corporate
—

 
—

 
28.1

 
(0.2
)
 
28.1

 
(0.2
)
 
10

Non-U.S. government
5.7

 
—

 
53.2

 
(0.2
)
 
58.9

 
(0.2
)
 
35

Asset-backed
—

 
—

 
13.1

 
(0.1
)
 
13.1

 
(0.1
)
 
6

Agency mortgage-backed
28.5

 
(0.1
)
 
496.6

 
(10.1
)
 
525.1

 
(10.2
)
 
197

Total fixed income securities — Available for sale
154.3

 
(0.4
)
 
2,243.2

 
(29.4
)
 
2,397.5

 
(29.8
)
 
718

Total short-term investments — Available for sale
17.2

 
—

 
—

 
—

 
17.2

 
—

 
7

Total
$
171.5

 
$
(0.4
)
 
$
2,243.2

 
$
(29.4
)
 
$
2,414.7

 
$
(29.8
)
 
725

 
 
As at December 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
$
180.2

 
$
(0.7
)
 
$
740.6

 
$
(15.4
)
 
$
920.8

 
$
(16.1
)
 
103
U.S. agency
13.5

 
(0.2
)
 
18.4

 
(0.2
)
 
31.9

 
(0.4
)
 
12
Municipal
3.1

 
(0.1
)
 
25.0

 
(0.7
)
 
28.1

 
(0.8
)
 
9
Corporate
999.1

 
(15.2
)
 
762.2

 
(25.3
)
 
1,761.3

 
(40.5
)
 
667
Non-U.S. government-backed corporate
14.5

 
—

 
25.8

 
(0.2
)
 
40.3

 
(0.2
)
 
12
Non-U.S. government
64.0

 
(0.3
)
 
91.0

 
(0.5
)
 
155.0

 
(0.8
)
 
57
Asset-backed
6.3

 
—

 
10.8

 
(0.1
)
 
17.1

 
(0.1
)
 
8
Agency mortgage-backed
245.7

 
(2.6
)
 
447.3

 
(16.4
)
 
693.0

 
(19.0
)
 
253
Total fixed income securities — Available for sale
1,526.4

 
(19.1
)
 
2,121.1

 
(58.8
)
 
3,647.5

 
(77.9
)
 
1,121
Total short-term investments — Available for sale
34.5

 
—

 
—

 
—

 
34.5

 
—

 
12
Total
$
1,560.9

 
$
(19.1
)
 
$
2,121.1

 
$
(58.8
)
 
$
3,682.0

 
$
(77.9
)
 
1,133