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Investments (Tables)

12 Months Ended

Dec. 31, 2021

Investments, Debt and Equity Securities [Abstract]

Summary of Investment Income

The following table summarizes investment income for the twelve months ended December 31, 2021, 2020 and 2019:

						For the Twelve Months Ended
						December 31, 2021						December 31, 2020						December 31, 2019
						($ in millions)
Fixed income securities — Available for sale						$	87.2					$	106.5					$	128.2
Fixed income securities — Trading						30.2						32.8						42.0
Short-term investments — Available for sale						0.1						0.8						2.3
Short-term investments — Trading						—						0.5						2.5
Fixed term deposits (included in cash and cash equivalents)						0.7						6.4						19.5
Catastrophe bonds — Trading						0.9						1.4						2.3
Privately-held investments — Trading						18.2						20.9						3.4
Other investments, at fair value (1)						21.9						(2.0)						8.9
Total						159.2						167.3						209.1
Investment expenses						(11.7)						(12.7)						(11.8)
Net investment income						$	147.5					$	154.6					$	197.3

_____________(1)    Other investments represents the Company’s investments in real estate funds. The movement in the year represents the change in fair value of the investment and has been included as part of our investment income.

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, 2021, 2020 and 2019:

						For the Twelve Months Ended
						December 31, 2021						December 31, 2020						December 31, 2019
						($ in millions)
Available for sale:
Fixed income securities — gross realized gains						$	22.7					$	68.8					$	14.4
Fixed income securities — gross realized (losses)						(3.6)						(1.8)						(7.3)
Cash and cash equivalents — gross realized gains						2.0						0.5						0.1
Cash and cash equivalents — gross realized (losses)						(0.8)						(0.4)						(0.2)
Net change in expected credit gains						(2.5)						0.4						—
Trading:
Fixed income securities — gross realized gains						12.2						18.2						34.3
Fixed income securities — gross realized (losses)						(2.0)						(3.8)						(2.6)
Cash and cash equivalents — gross realized gains						0.1						0.2						—
Cash and cash equivalents — gross realized (losses)						(0.3)						(0.3)						(0.3)
Privately-held investments — gross realized gains						0.6						—						0.2
Privately-held investments — gross realized (losses)						(13.8)						—						(0.2)
Privately-held investments — net unrealized gains/(losses)						18.1						(20.4)						—
Catastrophe bonds — net unrealized (losses)/gains						(0.8)						—						0.9
Net unrealized (losses)/gains						(23.4)						—						47.2
Investments — equity method:
Gross realized and unrealized gain (loss) in MVI						0.1						(0.4)						(0.1)
Gross unrealized gain in Multi-Line Reinsurer						0.2						—						—
Gross realized and unrealized (loss) gain in Digital Risk						—						(0.3)						(0.2)
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 recorded in the statement of operations						$	8.8					$	71.1					$	86.2
Change in available for sale net unrealized (losses)/gains:
Fixed income securities						(157.6)						108.5						164.9
Income tax expense						(0.3)						(0.5)						(13.6)
Total change in net unrealized (losses)/gains, net of taxes recorded in other comprehensive income						$	(157.9)					$	108.0					$	151.3

Cost or Amortized Cost, Unrealized and Realized Gains and Losses and Estimated Fair Value of Available for Sale 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, 2021 and December 31, 2020:

						As at December 31, 2021
						Cost or Amortized Cost						Gross Unrealized Gains						Gross Unrealized Losses						Allowance for Credit Losses						Fair Market Value
						($ in millions)
U.S. government						$	1,066.2					$	24.0					$	(5.9)					$	—					$	1,084.3
U.S. agency						20.7						0.8						—						—						21.5
Municipal						81.2						2.0						(0.5)						(0.1)						82.6
Corporate						2,176.1						47.5						(13.0)						(2.3)						2,208.3
Non-U.S. government-backed corporate						138.5						0.2						(1.9)						—						136.8
Non-U.S. government						250.8						1.4						(1.2)						(0.3)						250.7
Asset-backed						0.5						—						—						—						0.5
Non-agency commercial mortgage-backed						6.6						0.3						—						—						6.9
Agency mortgage-backed						1,082.9						19.1						(12.0)						—						1,090.0
Total fixed income securities — Available for sale						4,823.5						95.3						(34.5)						(2.7)						4,881.6
Total short-term investments — Available for sale						10.1						—						—						—						10.1
Total						$	4,833.6					$	95.3					$	(34.5)					$	(2.7)					$	4,891.7

						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

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, 2021 and December 31, 2020:

						As at December 31, 2021
						Cost or Amortized Cost						Gross Unrealized Gains						Gross Unrealized Losses						Fair Market Value
						($ in millions)
Fixed Income Securities — Trading
U.S. government						$	115.9					$	0.6					$	(0.2)					$	116.3
Municipal						3.9						0.1						—						4.0
Corporate						95.7						1.9						(0.8)						96.8
High yield loans						77.2						0.1						(0.4)						76.9
Non-U.S. government-backed corporate						13.3						—						(0.2)						13.1
Non-U.S. government						34.9						—						(0.4)						34.5
Asset-backed						784.3						3.3						(1.9)						785.7
Agency mortgage-backed						30.3						0.2						(0.3)						30.2
Total fixed income securities — Trading						1,155.5						6.2						(4.2)						1,157.5
Short-term investments — Trading						2.0						—						—						2.0
Catastrophe bonds — Trading						5.3						—						(1.9)						3.4
Privately-held investments — Trading
Commercial mortgage loans						$	212.0					$	0.4					$	(0.9)					$	211.5
Middle market loans						66.9						—						(1.5)						65.4
Asset-backed securities						26.8						—						(0.2)						26.6
Equity securities						3.5						0.1						—						3.6
Total privately-held investments — Trading						309.2						0.5						(2.6)						307.1
Total Investments — Trading						$	1,472.0					$	6.7					$	(8.7)					$	1,470.0

						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

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, 2021 and December 31, 2020:

						As at December 31, 2021												As at December 31, 2020
						Net Carrying Value						Percentage of Total						Net Carrying Value						Percentage of Total
						($ millions)						(%)						($ millions)						(%)
Property type
Apartment						101.6						48.1						80.7						49.3
Hotels						68.8						32.5						20.4						12.5
Office building						33.9						16.0						33.9						20.7
Other commercial						7.2						3.4						28.6						17.5
Total commercial mortgage loans						$	211.5					100		%				163.6						100		%
Geographic Region
U.S.						183.7						86.9						122.7						75.0
International						27.8						13.1						40.9						25.0
Total commercial mortgage loans						$	211.5					100		%				163.6						100		%

The following table presents the type of middle market loans and geographic region as at December 31, 2021 and December 31, 2020:

						As at December 31, 2021												As at December 31, 2020
						Net Carrying Value						Percentage of Total						Net Carrying Value						Percentage of Total
						($ millions)						(%)						($ millions)						(%)
Industry type
Materials						20.9						32.0						28.0						24.9
Financials						6.1						9.3						27.1						24.2
Industrials						18.7						28.5						17.3						15.5
Consumer discretionary						4.3						6.6						13.7						12.2
Health care						—						—						7.5						6.7
Energy						5.6						8.6						7.3						6.5
Consumer staples						4.9						7.5						6.4						5.7
Information technology						4.9						7.5						4.8						4.3
Total middle market mortgage loans						$	65.4					100		%				$	112.1					100		%
Geographic Region
U.S.						56.2						85.9						91.8						81.9
International						9.2						14.1						20.3						18.1
Total middle market loans						$	65.4					100		%				$	112.1					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, 2021 and December 31, 2020:

						As at December 31, 2021						As at December 31, 2020
						(in millions)
Less than 50%						$	—					$	14.9
50% to 60%						131.2						39.3
61% to 70%						80.3						99.5
71% to 80%						—						9.9
Commercial mortgage loans						$	211.5					$	163.6

The following table represents the loan-to-enterprise-value ratio of the middle market loan portfolio as at December 31, 2021 and December 31, 2020:

						As at December 31, 2021						As at December 31, 2020
						(in millions)
Less than 50%						$	11.0					$	59.8
50% to 60%						9.2						11.0
61% to 70%						15.8						6.4
71% to 80%						5.6						—
81% to 100%						12.0						17.2
Greater than 100%						11.8						17.7
Middle market loans						$	65.4					$	112.1

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, 2021 and December 31, 2020:

						As at December 31, 2021						As at December 31, 2020
						(in millions)
Greater than 1.20x						$	66.3					$	82.2
1.00 - 1.20x						62.4						14.9
Less than 1.00x						18.8						—
Commercial mortgage loans (1)						$	147.5					$	97.1

_______________

(1)    As at December 31, 2021, we have non-performing loans of $Nil (December 31, 2020 — $0.7 million) and construction loans of $64.0 million (December 31, 2020 — $65.8 million) which only generate income when the construction is completed. As no income is currently being generated on these loans, they are not included in the table above. The total value of commercial mortgage loans are $211.5 million as at December 31, 2021, (December 31, 2020 — $163.6 million).

The following represents the fixed charge coverage ratio of the middle market loan portfolio as at December 31, 2021 and December 31, 2020

						As at December 31, 2021						As at December 31, 2020
						(in millions)
Greater than 1.20x						$	25.8					$	73.6
1.00 - 1.20x						22.8						—
Less than 1.00x						16.8						38.5
Middle market loans						$	65.4					$	112.1

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, 2021 and 2020:

						MVI						Multi-Line Reinsurer						Bene						Digital Re						Crop Re						Total
						($ in millions)
Opening undistributed value of investment as at January 1, 2021						$	—					$	0.5					$	—					$	0.4					$	—					$	0.9
Investment in the period						0.4						2.5						—						0.3						—						3.2
Distribution received						—						—						—						(0.5)						—						(0.5)
Unrealized gain for the twelve months to December 31, 2021						0.1						0.2						—						—						—						0.3
Closing value of investment as at December 31, 2021						0.5						3.2						—						0.2						—						3.9
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 investments at December 31, 2020						$	—					$	0.5					$	—					$	0.4					$	—					$	0.9

Summary of Fixed Maturities

The scheduled maturity distribution of the Company’s available for sale fixed income securities as at December 31, 2021 and December 31, 2020 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, 2021
						Amortized Cost or Cost						Fair Market Value						Average S&P Ratings by Maturity
						($ in millions)
Due one year or less						$	545.1					$	549.0					AA-
Due after one year through five years						2,057.2						2,087.5						AA-
Due after five years through ten years						1,090.5						1,106.3						A+
Due after ten years						40.7						41.4						A-
Total — Government and corporate						3,733.5						3,784.2
Non-agency commercial mortgage-backed						6.6						6.9						AA+
Agency mortgage-backed						1,082.9						1,090.0						AA+
Asset-backed						0.5						0.5						AAA
Total fixed income securities — Available for sale						$	4,823.5					$	4,881.6

						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

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, 2021 and December 31, 2020:

						December 31, 2021
						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						$	309.1					$	(4.0)					$	29.3					$	(1.9)					$	338.4					$	(5.9)					51
U.S. agency						6.1						—						—						—						6.1						—						5
Municipal						29.7						(0.5)						—						—						29.7						(0.5)						20
Corporate						804.6						(11.7)						23.6						(1.3)						828.2						(13.0)						400
Non-U.S. government-backed corporate						114.4						(1.9)						—						—						114.4						(1.9)						10
Non-U.S. government						181.8						(1.2)						3.1						—						184.9						(1.2)						35
Agency mortgage-backed						564.5						(11.6)						16.0						(0.4)						580.5						(12.0)						116
Total fixed income securities — Available for sale						2,010.2						(30.9)						72.0						(3.6)						2,082.2						(34.5)						637
Total short-term investments — Available for sale						4.4						—						—						—						4.4						—						7
Total						$	2,014.6					$	(30.9)					$	72.0					$	(3.6)					$	2,086.6					$	(34.5)					644

						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

X

- Definition

Tabular disclosure of investment in debt security measured at fair value with change in fair value recognized in other comprehensive income (available-for-sale).

+ References

Reference 1: http://www.xbrl.org/2009/role/commonPracticeRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 320
-URI http://asc.fasb.org/topic&trid=2196928

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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=124255953&loc=SL82919230-210447

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-Publisher FASB
-Name Accounting Standards Codification
-Topic 310
-SubTopic 10
-Section 50
-Paragraph 29
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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=123367319&loc=SL114868664-224227

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-Name Accounting Standards Codification
-Topic 944
-SubTopic 220
-Section S99
-Paragraph 1
-Subparagraph (SX 210.7-04.2)
-URI http://asc.fasb.org/extlink&oid=120400993&loc=SL114874131-224263

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-Name Accounting Standards Codification
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-Subparagraph (SX 210.5-03.7(a),(b))
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