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Investments (Tables) | 12 Months Ended
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Dec. 31, 2022
Investments, Debt and Equity Securities [Abstract] |
Summary of Investment Income | The following table summarizes investment income for the twelve months ended December 31, 2022, 2021 and 2020:
|  | For the Twelve Months Ended
|  | December 31, 2022 |  | December 31, 2021 |  | December 31, 2020
|  | ($ in millions)
Fixed income securities — Available for sale |  | $ | 95.6 |  |  | $ | 87.2 |  |  | $ | 106.5 |
Fixed income securities — Trading |  | 57.0 |  |  | 30.2 |  |  | 32.8 |
Short-term investments — Available for sale |  | 0.6 |  |  | 0.1 |  |  | 0.8 |
Short-term investments — Trading |  | 0.1 |  |  | — |  |  | 0.5 |
Fixed term deposits (included in cash and cash equivalents) |  | 6.6 |  |  | 0.7 |  |  | 6.4 |
Catastrophe bonds — Trading |  | 0.3 |  |  | 0.9 |  |  | 1.4 |
Privately-held investments — Trading |  | 24.3 |  |  | 18.2 |  |  | 20.9 |
Other investments, at fair value (1) |  | 13.9 |  |  | 21.9 |  |  | (2.0) |
Total |  | 198.4 |  |  | 159.2 |  |  | 167.3 |
Investment expenses |  | (10.3) |  |  | (11.7) |  |  | (12.7) |
Net investment income |  | $ | 188.1 |  |  | $ | 147.5 |  |  | $ | 154.6 |
_____________(1) Other investments represents the Company’s investments in real estate funds and other special purpose vehicles. 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 consolidated 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, 2022, 2021 and 2020:
|  | For the Twelve Months Ended
|  | December 31, 2022 |  | December 31, 2021 |  | December 31, 2020
|  | ($ in millions)
Available for sale: |  |  |  |  |  |
Fixed income securities — gross realized gains |  | $ | 2.9 |  |  | $ | 22.7 |  |  | $ | 68.8 |
Fixed income securities — gross realized (losses) |  | (58.4) |  |  | (3.6) |  |  | (1.8) |
Short-term investments — gross realized gains |  | 1.0 |  |  | 2.0 |  |  | 0.5 |
Short-term investments — gross realized (losses) |  | (0.5) |  |  | (0.8) |  |  | (0.4) |
Net change in expected credit (losses)/gains |  | (5.0) |  |  | (2.5) |  |  | 0.4 |
Trading: |  |  |  |  |  |
Fixed income securities — gross realized gains |  | 0.2 |  |  | 12.2 |  |  | 18.2 |
Fixed income securities — gross realized (losses) |  | (1.8) |  |  | (2.0) |  |  | (3.8) |
Short-term investments — gross realized gains |  | — |  |  | 0.1 |  |  | 0.2 |
Short-term investments — gross realized (losses) |  | — |  |  | (0.3) |  |  | (0.3) |
Privately-held investments — gross realized gains |  | 0.7 |  |  | 0.6 |  |  | — |
Privately-held investments — gross realized (losses) |  | (0.1) |  |  | (13.8) |  |  | — |
Privately-held investments — net unrealized (losses)/gains |  | (2.5) |  |  | 18.1 |  |  | (20.4) |
Catastrophe bonds — net unrealized gains/(losses) |  | 0.2 |  |  | (0.8) |  |  | — |
Fixed income securities — net unrealized (losses) |  | (113.9) |  |  | (23.4) |  |  | — |
Investments — equity method: |  |  |  |  |  |
Gross realized and unrealized gains/(losses) in MVI |  | — |  |  | 0.1 |  |  | (0.4) |
Gross unrealized (losses)/gains in Multi-Line Reinsurer |  | (0.4) |  |  | 0.2 |  |  | — |
Gross realized and unrealized (losses)/gains in Digital Risk |  | — |  |  | — |  |  | (0.3) |
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 (losses)/gains recorded in the consolidated statement of operations |  | $ | (177.6) |  |  | $ | 8.8 |  |  | $ | 71.1 |
Change in available for sale net unrealized (losses)/gains: |  |  |  |  |  |
Fixed income securities |  | (391.7) |  |  | (157.6) |  |  | 108.5 |
Income tax benefit/(expense) |  | 23.9 |  |  | (0.3) |  |  | (0.5) |
Total change in net unrealized (losses)/gains, net of taxes recorded in other comprehensive income |  | $ | (367.8) |  |  | $ | (157.9) |  |  | $ | 108.0 |
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, 2022 and December 31, 2021:
|  | As at December 31, 2022
|  | Cost or Amortized Cost |  | Gross Unrealized Gains |  | Gross Unrealized Losses |  | Allowance for Credit Losses (1) |  | Fair Market Value
|  | ($ in millions)
U.S. government |  | $ | 1,003.7 |  |  | $ | — |  |  | $ | (50.7) |  |  | $ | — |  |  | $ | 953.0 |
U.S. agency |  | 9.2 |  |  | — |  |  | (0.4) |  |  | — |  |  | 8.8 |
Municipal |  | 159.9 |  |  | — |  |  | (9.4) |  |  | (1.0) |  |  | 149.5 |
Corporate |  | 2,016.9 |  |  | 3.5 |  |  | (169.1) |  |  | (6.3) |  |  | 1,845.0 |
Non-U.S. government-backed corporate |  | 119.4 |  |  | — |  |  | (8.8) |  |  | (0.2) |  |  | 110.4 |
Non-U.S. government |  | 225.2 |  |  | 0.1 |  |  | (11.5) |  |  | (0.2) |  |  | 213.6 |
Non-agency commercial mortgage-backed |  | 6.6 |  |  | — |  |  | (1.0) |  |  | — |  |  | 5.6 |
Agency mortgage-backed |  | 590.4 |  |  | — |  |  | (87.7) |  |  | — |  |  | 502.7 |
Total fixed income securities — Available for sale |  | 4,131.3 |  |  | 3.6 |  |  | (338.6) |  |  | (7.7) |  |  | 3,788.6 |
Total short-term investments — Available for sale |  | 52.4 |  |  | — |  |  | (0.4) |  |  | — |  |  | 52.0 |
Total |  | $ | 4,183.7 |  |  | $ | 3.6 |  |  | $ | (339.0) |  |  | $ | (7.7) |  |  | $ | 3,840.6 |
_____________ (1) For the twelve months ended December 31, 2022, there was an increase in the CECL allowance on available-for-sale investments of $5.0 million (December 31, 2021 — $2.5 million decrease).
|  | As at December 31, 2021
|  | Cost or Amortized Cost |  | Gross Unrealized Gains |  | Gross Unrealized Losses |  | Allowance for Credit Losses |  | Fair Market Value
|  | ($ 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 |
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, 2022 and December 31, 2021:
|  | As at December 31, 2022
|  | Cost or Amortized Cost |  | Gross Unrealized Gains |  | Gross Unrealized Losses |  | Fair Market Value
|  | ($ in millions)
Fixed Income Securities — Trading |  |  |  |  |  |  |  |
U.S. government |  | $ | 267.9 |  |  | $ | — |  |  | $ | (6.3) |  |  | $ | 261.6 |
Municipal |  | 3.9 |  |  | — |  |  | (0.3) |  |  | 3.6 |
Corporate |  | 175.3 |  |  | 0.3 |  |  | (13.5) |  |  | 162.1 |
High yield loans |  | 90.2 |  |  | 0.2 |  |  | (2.1) |  |  | 88.3 |
Non-U.S. government-backed corporate |  | 12.2 |  |  | — |  |  | (0.6) |  |  | 11.6 |
Non-U.S. government |  | 32.2 |  |  | — |  |  | (1.8) |  |  | 30.4 |
Asset-backed |  | 970.3 |  |  | 0.2 |  |  | (74.0) |  |  | 896.5 |
Agency mortgage-backed |  | 24.7 |  |  | — |  |  | (3.3) |  |  | 21.4 |
Total fixed income securities — Trading |  | 1,576.7 |  |  | 0.7 |  |  | (101.9) |  |  | 1,475.5 |
Short-term investments — Trading |  | 6.3 |  |  | — |  |  | — |  |  | 6.3 |
Catastrophe bonds — Trading |  | 5.1 |  |  | — |  |  | (2.2) |  |  | 2.9 |
Privately-held investments — Trading |  |  |  |  |  |  |  |
Commercial mortgage loans |  | $ | 312.6 |  |  | $ | 0.6 |  |  | $ | (1.1) |  |  | $ | 312.1 |
Middle market loans |  | 109.0 |  |  | — |  |  | (2.1) |  |  | 106.9 |
Asset-backed securities |  | 68.8 |  |  | — |  |  | (2.0) |  |  | 66.8 |
Global corporate securities |  | 15.1 |  |  | — |  |  | (0.1) |  |  | 15.0 |
Equity securities |  | 6.6 |  |  | — |  |  | — |  |  | 6.6 |
Short-term investments |  | 25.6 |  |  | — |  |  | — |  |  | 25.6 |
Total privately-held investments — Trading |  | 537.7 |  |  | 0.6 |  |  | (5.3) |  |  | 533.0 |
Total Investments — Trading |  | $ | 2,125.8 |  |  | $ | 1.3 |  |  | $ | (109.4) |  |  | $ | 2,017.7 |
|  | 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 |
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, 2022 and December 31, 2021:
|  | As at December 31, 2022 |  | As at December 31, 2021
|  | Net Carrying Value |  | Percentage of Total |  | Net Carrying Value |  | Percentage of Total
|  | ($ millions) |  | (%) |  | ($ millions) |  | (%)
Property type |  |  |  |
Apartment |  | 115.3 |  |  | 36.9 |  |  | 101.6 |  |  | 48.1 |
Hotels |  | 108.0 |  |  | 34.6 |  |  | 68.8 |  |  | 32.5 |
Office building |  | 42.1 |  |  | 13.5 |  |  | 33.9 |  |  | 16.0 |
Other commercial |  | 41.4 |  |  | 13.3 |  |  | 7.2 |  |  | 3.4 |
Retail |  | 3.3 |  |  | 1.1 |  |  | — |  |  | — |
Industrial |  | 2.0 |  |  | 0.6 |  |  | — |  |  | — |
Total commercial mortgage loans |  | $ | 312.1 |  |  | 100 | % |  | 211.5 |  |  | 100 | %
Geographic Region |  |  |  |  |  |  |  |
U.S. |  | 269.8 |  |  | 86.4 |  |  | 183.7 |  |  | 86.9 |
International |  | 42.3 |  |  | 13.6 |  |  | 27.8 |  |  | 13.1 |
Total commercial mortgage loans |  | $ | 312.1 |  |  | 100 | % |  | 211.5 |  |  | 100 | %
The following table presents the type of middle market loans and geographic region as at December 31, 2022 and December 31, 2021:
|  | As at December 31, 2022 |  | As at December 31, 2021
|  | Net Carrying Value |  | Percentage of Total |  | Net Carrying Value |  | Percentage of Total
|  | ($ millions) |  | (%) |  | ($ millions) |  | (%)
Industry type |  |  |  |
Materials |  | 19.8 |  |  | 18.5 |  |  | 20.9 |  |  | 32.0 |
Financials |  | 53.1 |  |  | 49.7 |  |  | 6.1 |  |  | 9.3 |
Industrials |  | 18.7 |  |  | 17.5 |  |  | 18.7 |  |  | 28.5 |
Consumer discretionary |  | 4.9 |  |  | 4.6 |  |  | 4.3 |  |  | 6.6 |
Energy |  | 5.7 |  |  | 5.3 |  |  | 5.6 |  |  | 8.6 |
Consumer staples |  | — |  |  | — |  |  | 4.9 |  |  | 7.5 |
Information technology |  | 4.7 |  |  | 4.4 |  |  | 4.9 |  |  | 7.5 |
Total middle market mortgage loans |  | $ | 106.9 |  |  | 100 | % |  | $ | 65.4 |  |  | 100 | %
Geographic Region |  |  |  |  |  |  |  |
U.S. |  | 64.1 |  |  | 59.9 |  |  | 56.2 |  |  | 85.9 |
International |  | 42.8 |  |  | 40.1 |  |  | 9.2 |  |  | 14.1 |
Total middle market loans |  | $ | 106.9 |  |  | 100 | % |  | $ | 65.4 |  |  | 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, 2022 and December 31, 2021:
|  | As at December 31, 2022 |  | As at December 31, 2021
|  | (in millions)
Less than 50% |  | $ | 41.1 |  |  | $ | — |
50% to 60% |  | 248.3 |  |  | 131.2 |
61% to 70% |  | 22.7 |  |  | 80.3 |
Commercial mortgage loans |  | $ | 312.1 |  |  | $ | 211.5 |
The following table represents the loan-to-enterprise-value ratio of the middle market loan portfolio as at December 31, 2022 and December 31, 2021:
|  | As at December 31, 2022 |  | As at December 31, 2021
|  | (in millions)
Less than 50% |  | $ | 63.5 |  |  | $ | 11.0 |
50% to 60% |  | 16.4 |  |  | 9.2 |
61% to 70% |  | 27.0 |  |  | 15.8 |
71% to 80% |  | — |  |  | 5.6 |
81% to 100% |  | — |  |  | 12.0 |
Greater than 100% |  | — |  |  | 11.8 |
Middle market loans |  | $ | 106.9 |  |  | $ | 65.4 |
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, 2022 and December 31, 2021:
|  | As at December 31, 2022 |  | As at December 31, 2021
|  | (in millions)
Greater than 1.20x |  | $ | 106.1 |  |  | $ | 66.3 |
1.00 - 1.20x |  | 186.1 |  |  | 62.4 |
Less than 1.00x |  | — |  |  | 18.8 |
Commercial mortgage loans (1) |  | $ | 292.2 |  |  | $ | 147.5 |
_______________ (1) As at December 31, 2022, we have non-performing loans of $Nil (December 31, 2021 — $Nil) and construction loans of $19.9 million (December 31, 2021 — $64.0 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 is $312.1 million as at December 31, 2022 (December 31, 2021 — $211.5 million). The following represents the fixed charge coverage ratio of the middle market loan portfolio as at December 31, 2022 and December 31, 2021:
|  | As at December 31, 2022 |  | As at December 31, 2021
|  | (in millions)
Greater than 1.20x |  | $ | 95.2 |  |  | $ | 25.8 |
1.00 - 1.20x |  | 3.8 |  |  | 22.8 |
Less than 1.00x |  | 7.9 |  |  | 16.8 |
Middle market loans |  | $ | 106.9 |  |  | $ | 65.4 |
Other Investments | The table below shows the Company’s investments in MVI, Multi-Line Reinsurer and Digital Re for the twelve months ended December 31, 2022 and 2021:
|  | MVI |  | Multi-Line Reinsurer |  |  |  | Digital Re |  |  |  | Total
|  | ($ in millions)
Opening undistributed value of investment as at January 1, 2022 |  | $ | 0.5 |  |  | $ | 3.2 |  |  |  |  | $ | 0.2 |  |  |  |  | $ | 3.9 |
Investment in the period |  | 0.4 |  |  | 1.6 |  |  |  |  | — |  |  |  |  | 2.0 |
Distribution received |  | — |  |  | — |  |  |  |  | — |  |  |  |  | — |
Unrealized (loss)/gain for the twelve months to December 31, 2022 |  | (0.1) |  |  | 0.4 |  |  |  |  | — |  |  |  |  | 0.3 |
Closing value of investment as at December 31, 2022 |  | 0.8 |  |  | 5.2 |  |  |  |  | 0.2 |  |  |  |  | 6.2 |
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 investments at December 31, 2021 |  | $ | 0.5 |  |  | $ | 3.2 |  |  |  |  | $ | 0.2 |  |  |  |  | $ | 3.9 |
Summary of Fixed Maturities | The scheduled maturity distribution of the Company’s available for sale fixed income securities as at December 31, 2022 and December 31, 2021 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, 2022
|  | Amortized Cost or Cost |  | Fair Market Value |  | Average S&P Ratings by Maturity
|  | ($ in millions)
Due one year or less |  | $ | 179.1 |  |  | $ | 176.0 |  |  | AA+
Due after one year through five years |  | 2,526.9 |  |  | 2,385.7 |  |  | AA-
Due after five years through ten years |  | 815.1 |  |  | 707.7 |  |  | A+
Due after ten years |  | 13.2 |  |  | 10.9 |  |  | A-
Total — Government and corporate |  | 3,534.3 |  |  | 3,280.3 |  |  |
Non-agency commercial mortgage-backed |  | 6.6 |  |  | 5.6 |  |  | AA+
Agency mortgage-backed |  | 590.4 |  |  | 502.7 |  |  | AA+
Total fixed income securities — Available for sale |  | $ | 4,131.3 |  |  | $ | 3,788.6 |  |  |
|  | 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 |  |  |
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, 2022 and December 31, 2021:
|  | December 31, 2022
|  | 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 |  | $ | 741.1 |  |  | $ | (30.6) |  |  | $ | 203.4 |  |  | $ | (20.1) |  |  | $ | 944.5 |  |  | $ | (50.7) |  |  | 118
U.S. agency |  | 7.1 |  |  | (0.4) |  |  | 1.7 |  |  | — |  |  | 8.8 |  |  | (0.4) |  |  | 5
Municipal |  | 133.1 |  |  | (7.1) |  |  | 16.4 |  |  | (2.3) |  |  | 149.5 |  |  | (9.4) |  |  | 59
Corporate |  | 1,104.7 |  |  | (77.6) |  |  | 568.2 |  |  | (91.5) |  |  | 1,672.9 |  |  | (169.1) |  |  | 701
Non-U.S. government-backed corporate |  | 11.3 |  |  | (0.5) |  |  | 99.0 |  |  | (8.3) |  |  | 110.3 |  |  | (8.8) |  |  | 16
Non-U.S. government |  | 63.8 |  |  | (2.9) |  |  | 135.9 |  |  | (8.6) |  |  | 199.7 |  |  | (11.5) |  |  | 45
Non-agency commercial mortgage-backed |  | 5.6 |  |  | (1.0) |  |  | — |  |  | — |  |  | 5.6 |  |  | (1.0) |  |  | 1
Agency mortgage-backed |  | 202.8 |  |  | (24.9) |  |  | 299.1 |  |  | (62.8) |  |  | 501.9 |  |  | (87.7) |  |  | 220
Total fixed income securities — Available for sale |  | 2,269.5 |  |  | (145.0) |  |  | 1,323.7 |  |  | (193.6) |  |  | 3,593.2 |  |  | (338.6) |  |  | 1,165
Total short-term investments — Available for sale |  | 51.9 |  |  | (0.4) |  |  | — |  |  | — |  |  | 51.9 |  |  | (0.4) |  |  | 1
Total |  | $ | 2,321.4 |  |  | $ | (145.4) |  |  | $ | 1,323.7 |  |  | $ | (193.6) |  |  | $ | 3,645.1 |  |  | $ | (339.0) |  |  | 1,166
|  | 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

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