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Investments (Tables)

12 Months Ended

Dec. 31, 2020

Investments, Debt and Equity Securities [Abstract]

Summary of Investment Income

The following table summarizes investment income for the twelve months ended December 31, 2020, 2019 and 2018:

						For the Twelve Months Ended
						December 31, 2020						December 31, 2019						December 31, 2018
						($ in millions)
Fixed income securities — Available for sale						$	106.5					$	128.2					$	134.1
Fixed income securities — Trading						32.8						42.0						49.6
Short-term investments — Available for sale						0.8						2.3						1.4
Short-term investments — Trading						0.5						2.5						0.4
Fixed term deposits (included in cash and cash equivalents)						6.4						19.5						14.2
Equity securities — Trading						—						—						2.1
Catastrophe bonds — Trading						1.4						2.3						2.8
Privately-held investments — Trading						20.9						3.4						—
Other investments, at fair value(1)						(2.0)						8.9						2.5
Total						167.3						209.1						207.1
Investment expenses						(12.7)						(11.8)						(8.9)
Net investment income						$	154.6					$	197.3					$	198.2

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, 2020, 2019 and 2018:

						For the Twelve Months Ended
						December 31, 2020						December 31, 2019						December 31, 2018
						($ in millions)
Available for sale:
Fixed income securities — gross realized gains						$	68.8					$	14.4					$	6.4
Fixed income securities — gross realized (losses)						(1.8)						(7.3)						(11.4)
Cash and cash equivalents — gross realized gains						0.5						0.1						0.3
Cash and cash equivalents — gross realized (losses)						(0.4)						(0.2)						(0.5)
Net change in expected credit gains						0.4						—						—
Trading:
Fixed income securities — gross realized gains						18.2						34.3						4.6
Fixed income securities — gross realized (losses)						(3.8)						(2.6)						(25.0)
Short-term investments — gross realized gains						—						—						0.1
Short-term investments — gross realized (losses)						—						—						(4.2)
Cash and cash equivalents — gross realized gains						0.2						—						1.5
Cash and cash equivalents — gross realized (losses)						(0.3)						(0.3)						(0.3)
Equity securities — gross realized gains						—						—						94.5
Equity securities — gross realized (losses)						—						—						(20.1)
Privately-held investments — gross realized gains						—						0.2						—
Privately-held investments — gross realized (losses)						—						(0.2)						—
Privately-held investments — net change in gross unrealized (losses)						(20.4)						—						—
Catastrophe bonds — net unrealized gains						—						0.9						2.2
Net change in gross unrealized gains / (losses)						—						47.2						(112.1)
Investments — equity method:
Gross realized and unrealized (loss) in MVI						(0.4)						(0.1)						(0.2)
Gross realized and unrealized (loss) gain in Digital Risk						(0.3)						(0.2)						0.4
Gross realized and unrealized gain in Bene						—						—						(0.9)
Gross realized gain on sale of Bene						1.8						—						—
Gross realized gain on sale of Crop Re						8.6						—						—
Total net realized and unrealized investment gains/(losses) recorded in the statement of operations						$	71.1					$	86.2					$	(64.7)
Change in available for sale net unrealized gain/(losses):
Fixed income securities						108.5						164.9						(81.3)
Income tax (expense)/benefit						(6.2)						(13.6)						4.8
Total change in net unrealized gains/(losses), net of taxes recorded in other comprehensive income						$	102.3					$	151.3					$	(76.5)

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, 2020 and December 31, 2019:

						As at December 31, 2020
						Cost or Amortized Cost						Gross Unrealized Gains						Gross Unrealized Losses						Allowance for Credit Losses						Fair Market Value
						($ in millions)
U.S. government						$	1,041.3					$	60.5					$	(0.6)					$	—					$	1,101.2
U.S. agency						32.8						1.5						—						—						34.3
Municipal						61.6						5.5						—						—						67.1
Corporate						1,714.5						112.0						(0.1)						(0.2)						1,826.2
Non-U.S. government-backed corporate						62.7						0.7						—						—						63.4
Non-U.S. government						268.8						4.3						—						—						273.1
Asset-backed						2.3						—						—						—						2.3
Non-agency commercial mortgage-backed						6.7						0.7						—						—						7.4
Agency mortgage-backed						936.0						37.2						(0.1)						—						973.1
Total fixed income securities — Available for sale						4,126.7						222.4						(0.8)						(0.2)						4,348.1
Total short-term investments — Available for sale						88.0						—						(0.2)						—						87.8
Total						$	4,214.7					$	222.4					$	(1.0)					$	(0.2)					$	4,435.9

Effective January 1, 2020, the Company adopted ASU 2016-13 prospectively and as a result any credit losses on the Company's available-for-sale investments are recorded as an allowance, subject to reversal. See Note 2, “Basis of Preparation and Significant Accounting Policies” and Note 23, “Allowance for Credit Losses” for further details.

						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

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, 2020 and December 31, 2019:

						As at December 31, 2020
						Cost or Amortized Cost						Gross Unrealized Gains						Gross Unrealized Losses						Fair Market Value
						($ in millions)
Fixed Income Securities — Trading
U.S. government						$	117.9					$	2.7					$	(0.1)					$	120.5
Municipal						3.2						0.3						—						3.5
Corporate						94.4						9.1						—						103.5
High yield loans						10.0						—						(0.2)						9.8
Non-U.S. government						41.5						0.1						—						41.6
Asset-backed						541.7						3.1						(5.7)						539.1
Agency mortgage-backed						36.1						1.5						—						37.6
Total fixed income securities — Trading						844.8						16.8						(6.0)						855.6
Short-term investments — Trading						35.4						—						—						35.4
Catastrophe bonds — Trading						18.8						—						—						18.8
Privately-held investments — Trading
Commercial mortgage loans						$	178.6					$	0.1					$	(15.1)					$	163.6
Middle market loans						117.4						0.2						(5.5)						112.1
Asset-backed securities						18.7						—						(0.1)						18.6
Equity securities						5.0						—						—						5.0
Total privately-held investments — Trading						319.7						0.3						(20.7)						299.3
Total Investments — Trading						$	1,218.7					$	17.1					$	(26.7)					$	1,209.1

						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

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, 2020 and December 31, 2019:

						As at December 31, 2020												As at December 31, 2019
						Net Carrying Value						Percentage of Total						Net Carrying Value						Percentage of Total
						($ millions)						(%)						($ millions)						(%)
Property type
Apartment						80.7						49.3						48.3						30.8
Hotels						20.4						12.5						47.7						30.4
Office building						33.9						20.7						21.9						14.0
Other commercial						28.6						17.5						17.0						10.9
Retail						—						—						15.2						9.7
Industrial						—						—						6.5						4.2
Total commercial mortgage loans						$	163.6					100		%				156.6						100		%
Geographic Region
U.S.						122.7						75.0						85.5						54.6
International						40.9						25.0						71.1						45.4
Total commercial mortgage loans						$	163.6					100		%				156.6						100		%

The following table presents the type of middle market loans and geographic region as at December 31, 2020 and December 31, 2019:

						As at December 31, 2020												As at December 31, 2019
						Net Carrying Value						Percentage of Total						Net Carrying Value						Percentage of Total
						($ millions)						(%)						($ millions)						(%)
Industry type
Materials						28.0						24.9						29.5						26.4
Financials						27.1						24.2						22.2						19.8
Industrials						17.3						15.5						18.9						17.0
Consumer discretionary						13.7						12.2						14.2						12.7
Health care						7.5						6.7						8.2						7.4
Energy						7.3						6.5						7.4						6.6
Consumer staples						6.4						5.7						6.4						5.7
Information technology						4.8						4.3						4.9						4.4
Total middle market mortgage loans						$	112.1					100		%				$	111.7					100		%
Geographic Region
U.S.						91.8						81.9						91.8						82.2
International						20.3						18.1						19.9						17.8
Total middle market loans						$	112.1					100		%				$	111.7					100		%

Credit Quality Indicators of Commercial Mortgage and Middle Market Loans

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, 2020 and December 31, 2019:

						As at December 31, 2020						As at December 31, 2019
						(in millions)
Less than 50%						$	14.9					$	—
50% to 60%						39.3						80.5
61% to 70%						99.5						35.5
71% to 80%						9.9						40.6
Commercial mortgage loans						$	163.6					$	156.6

The following table represents the loan-to-enterprise-value ratio of the middle market loan portfolio as at December 31, 2020 and December 31, 2019:

						As at December 31, 2020						As at December 31, 2019
						(in millions)
Less than 50%						$	59.8					$	90.6
50% to 60%						11.0						21.1
61% to 70%						6.4						—
81% to 100%						17.2						—
Greater than 100%						17.7						—
Middle market loans						$	112.1					$	111.7

Debt Service and Fixed Charge Coverage Ratios

The following table represents the debt-service coverage ratio of the commercial mortgage loan portfolio, excluding those that are non-performing and construction loans which are still under development, as at December 31, 2020 and December 31, 2019:

						As at December 31, 2020						As at December 31, 2019
						(in millions)
Greater than 1.20x						$	82.2					$	94.6
1.00 - 1.20x						14.9						—
Less than 1.00x						—						13.7
Commercial mortgage loans (1)						97.1						108.3

The following represents the fixed charge coverage ratio of the middle market loan portfolio as at December 31, 2020 and December 31, 2019

						As at December 31, 2020						As at December 31, 2019
						(in millions)
Greater than 1.20x						$	73.6					$	68.4
1.00 - 1.20x						—						25.5
Less than 1.00x						38.5						17.8
Middle market loans						$	112.1					$	111.7

Other Investments

The table below shows the Company’s investments in MVI, Multi-Line Reinsurer, Bene, Digital Re and Crop Re for the twelve months ended December 31, 2020 and 2019:

						MVI						Multi-Line Reinsurer						Bene						Digital Re						Crop Re						Total
						($ in millions)
Opening undistributed value of investment as at January 1, 2020						$	0.4					$	—					$	4.3					$	0.7					$	62.5					$	67.9
Investment in the period						—						0.5						—						—						—						0.5
Unrealized (loss) for the twelve months to December 31, 2020						(0.4)						—						—						(0.3)						—						(0.7)
Gain on disposal						—						—						1.8						—						8.6						10.4
Proceeds from disposal						—						—						(6.1)						—						(71.1)						(77.2)
Closing value of investment as at December 31, 2020						$	—					$	0.5					$	—					$	0.4					$	—					0.9
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) 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

Summary of Fixed Maturities

The scheduled maturity distribution of the Company’s available for sale fixed income securities as at December 31, 2020 and December 31, 2019 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, 2020
						Amortized Cost or Cost						Fair Market Value						Average S&P Ratings by Maturity
						($ in millions)
Due one year or less						$	498.6					$	501.3					AA
Due after one year through five years						1,833.6						1,925.9						AA-
Due after five years through ten years						741.9						806.5						AA-
Due after ten years						107.6						131.6						AA-
Total — Government and corporate						3,181.7						3,365.3
Non-agency commercial mortgage-backed						6.7						7.4						AA+
Agency mortgage-backed						936.0						973.1						AA+
Asset-backed						2.3						2.3						AAA
Total fixed income securities — Available for sale						$	4,126.7					$	4,348.1

						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

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, 2020 and December 31, 2019:

						December 31, 2020
						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						$	58.7					$	(0.6)					$	—					$	—					$	58.7					$	(0.6)					10
Corporate						39.6						(0.1)						—						—						39.6						(0.1)						16
Non-U.S. government						7.5						—						—						—						7.5						—						4
Agency mortgage-backed						33.3						(0.1)						2.1						—						35.4						(0.1)						19
Total fixed income securities — Available for sale						139.1						(0.8)						2.1						—						141.2						(0.8)						49
Total short-term investments — Available for sale						8.7						—						—						(0.2)						8.7						(0.2)						15
Total						$	147.8					$	(0.8)					$	2.1					$	(0.2)					$	149.9					$	(1.0)					64

						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 securities						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

X

- Definition

Tabular disclosure of available-for-sale securities which includes, but is not limited to, changes in the cost basis and fair value, fair value and gross unrealized gain (loss), fair values by type of security, contractual maturity and classification, amortized cost basis, contracts to acquire securities to be accounted for as available-for-sale, debt maturities, transfers to trading, change in net unrealized holding gain (loss) net of tax, continuous unrealized loss position fair value, aggregate losses qualitative disclosures, other than temporary impairment (OTTI) losses or other disclosures related to available for sale securities.

+ References

No definition available.

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- Definition

Tabular disclosure of financing receivables by credit quality indicator. The credit quality indicator is a statistic about the credit quality of financing receivables. Examples include, but not limited to, consumer credit risk scores, credit-rating-agency ratings, an entity's internal credit risk grades, loan-to-value ratios, collateral, collection experience and other internal metrics.

+ References

Reference 1: http://www.xbrl.org/2009/role/commonPracticeRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 326
-SubTopic 20
-Section 50
-Paragraph 5
-URI http://asc.fasb.org/extlink&oid=119407570&loc=SL82919230-210447

Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 310
-SubTopic 10
-Section 50
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-URI http://asc.fasb.org/extlink&oid=118936363&loc=SL6953659-111524

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X

- Definition

Tabular disclosure of investment income, including, but not limited to, interest and dividend income and amortization of discount (premium) derived from debt and equity securities. Excludes realized and unrealized gain (loss) on investments.

+ References

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 220
-SubTopic 10
-Section S99
-Paragraph 2
-Subparagraph (SX 210.5-03.9)
-URI http://asc.fasb.org/extlink&oid=116634182&loc=SL114868664-224227

Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
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-Section S99
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-Subparagraph (SX 210.7-04.2)
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-Publisher FASB
-Name Accounting Standards Codification
-Topic 220
-SubTopic 10
-Section S99
-Paragraph 2
-Subparagraph (SX 210.5-03.7(a),(b))
-URI http://asc.fasb.org/extlink&oid=116634182&loc=SL114868664-224227

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-Name Accounting Standards Codification
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