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Investments (Tables)
 12 Months Ended
Dec. 31, 2019
Investments, Debt and Equity Securities [Abstract]  
Summary of Investment Income
The following table summarizes investment income for the twelve months ended December 31, 2019, 2018 and 2017:
 
 
For the Twelve Months Ended
 
 
December 31, 2019
 
December 31, 2018
 
December 31, 2017
 
 
($ in millions)
Fixed income securities — Available for sale
 
$
128.2

 
$
134.1

 
$
133.3

Fixed income securities — Trading
 
42.0

 
49.6

 
44.0

Short-term investments — Available for sale
 
2.3

 
1.4

 
0.4

Short-term investments — Trading
 
2.5

 
0.4

 
0.8

Fixed term deposits (included in cash and cash equivalents)
 
19.5

 
14.2

 
6.2

Equity securities — Trading
 
—

 
2.1

 
13.6

Catastrophe bonds — Trading
 
2.3

 
2.8

 
1.8

Privately-held investments — Trading
 
3.4

 
—

 
—

Other investments, at fair value
 
8.9

 
2.5

 
—

Total
 
209.1

 
207.1

 
200.1

Investment expenses
 
(11.8
)
 
(8.9
)
 
(11.1
)
Net investment income
 
$
197.3

 
$
198.2

 
$
189.0
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 twelve months ended December 31, 2019, 2018 and 2017:
 
 
For the Twelve Months Ended
 
 
December 31, 2019
 
December 31, 2018
 
December 31, 2017
 
 
($ in millions)
Available for sale:
 
 
 
 
 
 
Fixed income securities — gross realized gains
 
$
14.4

 
$
6.4

 
$
10.2

Fixed income securities — gross realized (losses)
 
(7.3
)
 
(11.4
)
 
(6.6
)
Short-term investments — gross realized gains
 
—

 
—

 
0.1

Cash and cash equivalents — gross realized gains
 
0.1

 
0.3

 
0.4

Cash and cash equivalents — gross realized (losses)
 
(0.2
)
 
(0.5
)
 
(0.1
)
Other-than-temporary impairments
 
—

 
—

 
(0.7
)
Trading:
 
 
 
 
 
 
Fixed income securities — gross realized gains
 
34.3

 
4.6

 
9.7

Fixed income securities — gross realized (losses)
 
(2.6
)
 
(25.0
)
 
(4.5
)
Short-term investments — gross realized gains
 
—

 
0.1

 
2.7

Short-term investments — gross realized (losses)
 
—

 
(4.2
)
 
—

Cash and cash equivalents — gross realized gains
 
—

 
1.5

 
1.3

Cash and cash equivalents — gross realized (losses)
 
(0.3
)
 
(0.3
)
 
—

Equity securities — gross realized gains
 
—

 
94.5

 
59.0

Equity securities — gross realized (losses)
 
—

 
(20.1
)
 
(13.7
)
Privately-held investments — gross realized (losses)
 
(0.2
)
 
—

 
—

Catastrophe bonds — net unrealized gains/(losses)
 
0.9

 
2.2

 
(2.4
)
Net change in gross unrealized gains / losses
 
47.2

 
(112.1
)
 
60.3

Investments — equity method:
 
 
 
 
 
 
Gross realized and unrealized (loss) in MVI
 
(0.1
)
 
(0.2
)
 
(0.1
)
Gross unrealized gain in Chaspark
 
—

 
—

 
0.9

Gross realized and unrealized (loss) gain in Digital Risk
 
(0.2
)
 
0.4

 
—

Gross realized and unrealized (loss) in Bene
 
—

 
(0.9
)
 
(0.3
)
Gross realized gain on sale of AgriLogic
 
—

 
—

 
4.3

Total net realized and unrealized investment gains/(losses) recorded in the statement of operations
 
$
86.2

 
$
(64.7
)
 
$
120.5

 
 
 
 
 
 
 
Change in available for sale net unrealized gain/(losses):
 
 
 
 
 
 
Fixed income securities
 
164.9

 
(81.3
)
 
(14.8
)
Change in taxes
 
(13.6
)
 
4.8

 
2.0

Total change in net unrealized gains/(losses), net of taxes recorded in other comprehensive income
 
$
151.3

 
$
(76.5
)
 
$
(12.8
)
Cost, Gross Unrealized Gains and Losses, and Estimated Fair Value of Available for Sale Investments in Fixed Income Maturities and Short-Term Investments
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 December 31, 2019 and December 31, 2018:
 
 
As at December 31, 2019
 
 
Cost or
Amortized Cost
 
Gross
Unrealized
Gains
 
Gross
Unrealized
Losses
 
Fair Market
Value
 
 
($ in millions)
U.S. government
 
$
1,383.2

 
$
31.3

 
$
(1.4
)
 
$
1,413.1

U.S. agency
 
38.7

 
0.9

 
—

 
39.6

Municipal
 
47.8

 
2.9

 
—

 
50.7

Corporate
 
1,905.6

 
54.8

 
(0.6
)
 
1,959.8

Non-U.S. government-backed corporate
 
86.1

 
0.5

 
(0.1
)
 
86.5

Non-U.S. government
 
324.7

 
4.5

 
(0.4
)
 
328.8

Asset-backed
 
0.2

 
—

 
—

 
0.2

Non-agency commercial mortgage-backed
 
6.7

 
—

 
(0.2
)
 
6.5

Agency mortgage-backed
 
1,052.2

 
21.9

 
(1.1
)
 
1,073.0

Total fixed income securities — Available for sale
 
4,845.2

 
116.8

 
(3.8
)
 
4,958.2

Total short-term investments — Available for sale
 
117.6

 
—

 
—

 
117.6

Total
 
$
4,962.8

 
$
116.8

 
$
(3.8
)
 
$
5,075.8


 
 
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
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, catastrophe bonds and privately-held investments as at December 31, 2019 and December 31, 2018:
 
 
As at December 31, 2019
 
 
Cost or
Amortized Cost
 
Gross
Unrealized
Gains
 
Gross
Unrealized
Losses
 
Fair Market
Value
 
 
($ in millions)
Fixed Income Securities — Trading
 
 
 
 
 
 
 
 
U.S. government
 
$
183.3

 
$
1.8

 
$
(0.1
)
 
$
185.0

Municipal
 
3.1

 
0.1

 
—

 
3.2

Corporate
 
231.7

 
11.6

 
(0.1
)
 
243.2

Non-U.S. government
 
143.9

 
7.4

 
(0.1
)
 
151.2

Asset-backed
 
491.7

 
2.4

 
(1.7
)
 
492.4

Agency mortgage-backed
 
52.9

 
0.9

 
—

 
53.8

Total fixed income securities — Trading
 
1,106.6

 
24.2

 
(2.0
)
 
1,128.8

Short-term investments — Trading
 
79.2

 
—

 
—

 
79.2

Catastrophe bonds — Trading
 
29.4

 
—

 
(0.8
)
 
28.6

Privately-held investments — Trading
 
 
 
 
 
 
 
 
Commercial mortgage loans
 
$
156.3

 
$
0.3

 
$
—

 
$
156.6

Middle market loans
 
111.7

 
0.2

 
(0.2
)
 
111.7

Asset-backed securities
 
8.7

 
—

 
—

 
8.7

Equity securities
 
2.5

 
0.2

 
—

 
2.7

Total privately-held investments — Trading
 
279.2

 
0.7

 
(0.2
)
 
279.7

Total Investments — Trading
 
$
1,494.4

 
$
24.9

 
$
(3.0
)
 
$
1,516.3

 
 
As at December 31, 2018
 
 
Cost or
Amortized Cost
 
Gross
Unrealized
Gains
 
Gross
Unrealized
Losses
 
Fair Market
Value
 
 
($ in millions)
Fixed Income Securities — Trading
 
 
 
 
 
 
 
 
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

Short-term investments — Trading
 
9.5

 
—

 
—

 
9.5

Catastrophe bonds — Trading
 
37.9

 
0.1

 
(1.8
)
 
36.2

Total Investments — Trading
 
$
1,252.4

 
$
6.4

 
$
(25.3
)
 
$
1,233.5
Schedule of Commercial Mortgage and Middle Market Loans
The following table presents the type of commercial mortgage loans and geographic region as at December 31, 2019:
 
 
As at December 31, 2019
 
 
Net Carrying Value
 
Percentage of Total
 
 
(in millions)
 
(%)
Property type
 
 
 
 
 
 
 
Apartment
 
$
48.3

 
31
%
Hotels
 
47.7

 
30

Office building
 
21.9

 
14

Other commercial
 
17.0

 
11

Retail
 
15.2

 
10

Industrial
 
6.5

 
4

Total commercial mortgage loans
 
$
156.6

 
100
%
 
 
 
 
 
Geographic Region
 
 
 
 
U.S.
 
$
85.5

 
55
%
International
 
71.1

 
45

Total commercial mortgage loans
 
$
156.6

 
100
%
The following table presents the type of middle market loans and geographic region as at December 31, 2019:
 
 
December 31, 2019
 
 
Net Carrying Value
 
Percentage of Total
 
 
(in millions)
 
(%)
Industry type
 
 
 
 
 
 
 
Materials
 
$
29.5

 
26
%
Financials
 
22.2

 
20

Industrials
 
18.9

 
17

Consumer discretionary
 
14.2

 
13

Health care
 
8.2

 
7

Energy
 
7.4

 
7

Consumer staples
 
6.4

 
6

Information technology
 
4.9

 
4

Total middle market mortgage loans
 
$
111.7

 
100
%
 
 
 
 
 
Geographic Region
 
 
 
 
U.S.
 
$
91.8

 
82
%
International
 
19.9

 
18

Total middle market loans
 
$
111.7

 
100
%
Credit Quality Indicators of Commercial Mortgage and Middle Market Loans
The following table represents the loan-to-enterprise-value ratio of the middle market loan portfolio as at December 31, 2019:

 
 
As at December 31, 2019
 
 
(in millions)
Less than 50%
 
$
90.6

50% to 60%
 
21.1

Middle market loans
 
$
111.7

A loan-to-value ratio in excess of 100% indicates the unpaid loan amount exceeds the underlying collateral. The following table represents the loan-to-value ratio of the commercial mortgage loan portfolio as at December 31, 2019:
 
 
As at December 31, 2019
 
 
(in millions)
50% to 60%
 
$
80.5

61% to 70%
 
35.5

71% to 80%
 
40.6

Commercial mortgage loans
 
$
156.6
Debt Service and Fixed Charge Coverage Ratios
The following table represents the debt-service coverage ratio of the commercial mortgage loan portfolio as at December 31, 2019:
 
 
As at December 31, 2019
 
 
(in millions)
Greater than 1.20x
 
$
94.6

1.00 - 1.20x
 
48.3

Less than 1.00x
 
13.7

Commercial mortgage loans
 
$
156.6

The following represents the fixed charge coverage ratio of the middle market loan portfolio as at December 31, 2019
 
 
As at December 31, 2019
 
 
(in millions)
Greater than 1.20x
 
$
68.4

1.00 - 1.20x
 
25.5

Less than 1.00x
 
17.8

Middle market loans
 
$
111.7
Other Investments
The table below shows the Company’s investments in MVI, Bene, Digital Re and Crop Re for the twelve months ended December 31, 2019 and 2018:
 
 
MVI
 
Bene
 
Digital Re
 
Crop Re
 
Total
 
 
($ in millions)
Opening undistributed value of investment as at January 1, 2019
 
$
0.5

 
$
3.2

 
$
0.9

 
$
62.5

 
$
67.1

Investment in the period
 
—

 
1.1

 
—

 
—

 
1.1

Unrealized (loss)/gain for the twelve months to December 31, 2019
 
(0.1
)
 
—

 
(0.2
)
 
—

 
(0.3
)
Closing value of investment as at December 31, 2019
 
$
0.4

 
$
4.3

 
$
0.7

 
$
62.5

 
$
67.9

 
 
 
 
 
 
 
 
 
 
 
Opening undistributed value of investment as at January 1, 2018
 
$
0.5

 
$
2.9

 
$
0.5

 
$
62.5

 
$
66.4

Investment in the period
 
0.2

 
1.2

 
—

 
—

 
1.4

Unrealized (loss)/gain for the twelve months to December 31, 2018
 
(0.2
)
 
(0.9
)
 
0.4

 
—

 
(0.7
)
Closing value of investment as at December 31, 2018
 
$
0.5

 
$
3.2

 
$
0.9

 
$
62.5

 
$
67.1
Summary of Fixed Maturities
The scheduled maturity distribution of the Company’s available for sale fixed income securities as at December 31, 2019 and December 31, 2018 is set forth 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 December 31, 2019
 
 
Amortized
Cost or Cost
 
Fair Market
Value
 
Average
S&P Ratings by
Maturity
 
 
($ in millions)
Due one year or less
 
$
572.7

 
$
574.6

 
AA
Due after one year through five years
 
2,230.3

 
2,269.3

 
AA-
Due after five years through ten years
 
864.1

 
896.3

 
AA-
Due after ten years
 
119.0

 
138.3

 
AA-
Total — Government and corporate
 
3,786.1

 
3,878.5

 
 
Non-agency commercial mortgage-backed
 
6.7

 
6.5

 
AA+
Agency mortgage-backed
 
1,052.2

 
1,073.0

 
AA+
Asset-backed
 
0.2

 
0.2

 
AAA
Total fixed income securities — Available for sale
 
$
4,845.2

 
$
4,958.2

 
 

 
 
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-
Total — Government and corporate
 
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
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 for the Company’s available for sale portfolio as at December 31, 2019 and December 31, 2018:
 
 
December 31, 2019
 
 
0-12 months
 
Over 12 months
 
Total
 
 
Fair
Market
Value
 
Gross
Unrealized
Losses
 
Fair
Market
Value
 
Gross
Unrealized
Losses
 
Fair
Market
Value
 
Gross
Unrealized
Losses
 
Number of
Securities
 
 
($ in millions)
U.S. government
 
$
142.0

 
$
(1.0
)
 
$
138.2

 
$
(0.4
)
 
$
280.2

 
$
(1.4
)
 
49
U.S. agency
 
3.0

 
—

 
6.0

 
—

 
9.0

 
—

 
2
Municipal
 
3.7

 
—

 
—

 
—

 
3.7

 
—

 
2
Corporate
 
167.7

 
(0.6
)
 
37.1

 
—

 
204.8

 
(0.6
)
 
91
Non-U.S. government-backed corporate
 
31.8

 
(0.1
)
 
—

 
—

 
31.8

 
(0.1
)
 
9
Non-U.S. government
 
48.6

 
(0.4
)
 
0.6

 
—

 
49.2

 
(0.4
)
 
20
Asset-backed
 
—

 
—

 
0.2

 
—

 
0.2

 
—

 
1
Non-agency commercial mortgage-backed
 
6.5

 
(0.2
)
 
—

 
—

 
6.5

 
(0.2
)
 
1
Agency mortgage-backed
 
149.7

 
(0.3
)
 
68.4

 
(0.8
)
 
218.1

 
(1.1
)
 
80
Total fixed income securities — Available for sale
 
553.0

 
(2.6
)
 
250.5

 
(1.2
)
 
803.5

 
(3.8
)
 
255
Total short-term investments — Available for sale
 
29.5

 
—

 
—

 
—

 
29.5

 
—

 
5
Total
 
$
582.5

 
$
(2.6
)
 
$
250.5

 
$
(1.2
)
 
$
833.0

 
$
(3.8
)
 
260
 
 
 
December 31, 2018
 
 
0-12 months
 
Over 12 months
 
Total
 
 
Fair
Market
Value
 
Gross
Unrealized
Losses
 
Fair
Market
Value
 
Gross
Unrealized
Losses
 
Fair
Market
Value
 
Gross
Unrealized
Losses
 
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