
	For the Six Months Ended
	June 30, 2023		June 30, 2022
	($ in millions)
Fixed income securities — Available for sale	$	55.7	$	44.5
Fixed income securities — Trading	47.8		18.9
Short-term investments — Available for sale	1.6		—
Short-term investments — Trading	0.1		—
Fixed term deposits (included in cash and cash equivalents)	17.3		0.5


Catastrophe bonds — Trading	1.1		0.1
Privately-held investments — Trading	21.5		8.8
Other investments, at fair value (1)	(10.4)		20.7
Total	134.7		93.5
Investment expenses	(5.3)		(4.8)
Net investment income	$	129.4	$	88.7

_____________

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 six months ended June 30, 2023 and 2022:


	For the Six Months Ended
	June 30, 2023		June 30, 2022
	($ in millions)
Available for sale:
Fixed income securities — gross realized gains	$	0.4	$	1.4
Fixed income securities — gross realized (losses)	(6.9)		(29.9)



Short-term investments — gross realized (losses)	(0.2)		—
Cash and cash equivalents — gross realized gains	0.1		0.9
Cash and cash equivalents — gross realized (losses)	(0.1)		(0.2)
Net change in expected credit gains/(losses)	3.7		(7.7)

Trading:
Fixed income securities — gross realized gains	0.3		—
Fixed income securities — gross realized (losses)	(1.1)		(0.2)


Short-term investments — gross realized gains	0.1		—
Short-term investments — gross realized (losses)	(0.2)		—


Privately-held investments — gross realized gains	0.1		0.2

Privately-held investments — net unrealized (losses)	(9.0)		(1.3)
Catastrophe bonds — net unrealized (losses)	(0.6)		(0.1)
Fixed income securities — net unrealized gains/(losses)	31.0		(89.6)

Investments — equity method:

Net change in realized and unrealized gains in Multi-Line Reinsurer	0.4		0.1




Total net realized and unrealized investment gains/(losses) recorded in the consolidated statement of operations	$	18.0	$	(126.4)

Change in available for sale net unrealized gains/(losses):
Fixed income securities gains/(losses)	12.3		(316.0)



Income tax (expense)/benefit	(1.6)		29.5
Total change in net unrealized gains/(losses), net of taxes recorded in other comprehensive income	$	10.7	$	(286.5)

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 June 30, 2023 and December 31, 2022:


	As at June 30, 2023
	Cost or Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Allowance for Credit Losses (1)		Fair Market Value
	($ in millions)
U.S. government	$	1,064.9	$	—	$	(51.1)	$	—	$	1,013.8
U.S. agency	8.6		—		(0.4)		—		8.2
Municipal	159.0		—		(8.8)		(0.7)		149.5
Corporate	2,031.9		2.4		(155.2)		(3.2)		1,875.9
Non-U.S. government-backed corporate	119.6		—		(8.7)		—		110.9
Non-U.S. government	281.3		—		(12.0)		(0.1)		269.2

Non-agency commercial mortgage-backed	6.6		—		(0.9)		—		5.7
Agency mortgage-backed	559.3		—		(84.3)		—		475.0
Total fixed income securities — Available for sale	4,231.2		2.4		(321.4)		(4.0)		3,908.2
Total short-term investments — Available for sale	169.3		—		—		—		169.3

Total	$	4,400.5	$	2.4	$	(321.4)	$	(4.0)	$	4,077.5


	As at December 31, 2022
	Cost or Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Allowance for Credit Losses		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

Fixed Income Securities, Short-Term Investments, Equities, Catastrophe Bonds and Privately-held Investments — 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, catastrophe bonds and privately-held investments as at June 30, 2023 and December 31, 2022:


	As at June 30, 2023
	Cost or Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Fair Market Value
	($ in millions)
Fixed Income Securities — Trading
U.S. government	$	241.9	$	—	$	(6.9)	$	235.0

Municipal	3.4		—		(0.3)		3.1
Corporate	176.9		0.3		(11.8)		165.4
High yield loans	86.1		1.2		(0.7)		86.6
Non-U.S. government-backed corporate	10.1		—		(0.5)		9.6
Non-U.S. government	35.8		—		(1.7)		34.1
Asset-backed	975.2		1.0		(51.6)		924.6

Agency mortgage-backed	23.3		—		(3.2)		20.1
Total fixed income securities — Trading	1,552.7		2.5		(76.7)		1,478.5
Short-term investments — Trading	11.0		—		—		11.0

Catastrophe bonds — Trading	2.4		—		—		2.4
Privately-held investments — Trading
Commercial mortgage loans	$	305.5	$	1.3	$	(11.8)	$	295.0
Middle market loans	104.1		—		(2.0)		102.1
Asset-backed securities	59.5		—		(1.1)		58.4
Global corporate securities	14.9		—		(0.1)		14.8
Equity securities	12.1		—		—		12.1

Total privately-held investments — Trading	496.1		1.3		(15.0)		482.4
Total Investments — Trading	$	2,062.2	$	3.8	$	(91.7)	$	1,974.3


	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
Short-term investments	25.6		—		—		25.6
Equity securities	6.6		—		—		6.6
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

Catastrophe bonds. The Company has invested in catastrophe bonds with a total value of $2.4 million as at June 30, 2023 (December 31, 2022 — $2.9 million). The bonds are either zero-coupon notes or receive quarterly interest payments based on variable interest rates with scheduled maturities ranging from 2023 to 2026. The redemption value of the bonds will adjust based on the occurrence or aggregate occurrence of a covered event, such as windstorms and earthquakes in the United States, Canada, the North Atlantic, South America, Europe, Japan or Australia.

Privately-held investments. The Company has invested in privately-held investments, which primarily include commercial mortgage loans of $295.0 million and middle market loans of $102.1 million as at June 30, 2023 (December 31, 2022 — commercial mortgage loans of $312.1 million; middle market loans of $106.9 million). Privately-held investments also includes investments in asset-backed securities, equity securities and other short-term investments.

Commercial Mortgage Loans. The commercial mortgage loans are related to investments in properties including apartments, hotels, office and retail buildings, other commercial properties and industrial properties. The commercial mortgage loan portfolio is diversified by property type, geographic region and issuer to reduce risks. As part of our investment process, we evaluate factors such as size, property type, and security to determine that properties are performing at a consistent and acceptable level to secure the related debt. The following table presents the type of commercial mortgage loans and geographic region as at June 30, 2023 and December 31, 2022:


	As at June 30, 2023				As at December 31, 2022
	Net Carrying Value		Percentage of Total		Net Carrying Value	Percentage of Total
	($ millions)		(%)		($ millions)	(%)
Property type

Apartment	107.8		36.6		115.3	36.9
Hotels	98.1		33.3		108.0	34.6
Office building	45.9		15.5		42.1	13.5
Other commercial	37.9		12.8		41.4	13.3
Retail	3.3		1.1		3.3	1.1
Industrial	2.0		0.7		2.0	0.6
Total commercial mortgage loans	$	295.0	100	%	312.1	100	%

Geographic Region
U.S.	263.6		89.4		269.8	86.4
International	31.4		10.6		42.3	13.6
Total commercial mortgage loans	$	295.0	100	%	312.1	100	%

The primary credit quality indicator of commercial mortgage loans is loan performance. Non-performing commercial mortgage loans are generally 90 days or more past due. As of June 30, 2023, none of our commercial mortgage loans were non-performing. Loan-to-value and debt service coverage ratios are measures we use to assess the risk and quality of commercial mortgage loans. The loan-to-value ratio is expressed as a percentage of the value of the loan relative to the value of the underlying property. 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 June 30, 2023 and December 31, 2022:

The debt-service coverage ratio is measured by a property’s net operating income as a multiple of its debt re-payments. A ratio of less than 1.0 reflects a property’s operations is not sufficient to cover its debt payments. 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 June 30, 2023 and December 31, 2022:

(1) As at June 30, 2023, we have non-performing loans of $Nil (December 31, 2022 — $Nil) and construction loans of $Nil (December 31, 2022 — $19.9 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 $295.0 million as at June 30, 2023 (December 31, 2022 — $312.1 million).

Middle Market Loans. The middle market loans are investments in senior secured loan positions with full covenants, focused on the middle market in the U.S., Europe and the Caribbean. The middle market loan portfolio is diversified by industry type, geographic region and issuer to reduce risks. As part of our investment process, we evaluate factors such as size, industry and security to determine that loans are performing at a consistent and acceptable level to secure the related debt. The following table presents the type of middle market loans and geographic region as at June 30, 2023 and December 31, 2022:


	As at June 30, 2023				As at December 31, 2022
	Net Carrying Value		Percentage of Total		Net Carrying Value		Percentage of Total
	($ millions)		(%)		($ millions)		(%)
Industry type

Materials	20.0		19.6		19.8		18.5
Financials	48.3		47.3		53.1		49.7
Industrials	18.6		18.2		18.7		17.5
Consumer discretionary	4.9		4.8		4.9		4.6

Energy	5.6		5.5		5.7		5.3

Information technology	4.7		4.6		4.7		4.4
Total middle market mortgage loans	$	102.1	100	%	$	106.9	100	%

Geographic Region
U.S.	59.4		58.2		64.1		60.0
International	42.7		41.8		42.8		40.0
Total middle market loans	$	102.1	100	%	$	106.9	100	%

Loan-to-enterprise-value and fixed charge coverage ratios are measures we use to assess the risk and quality of middle market loans. The loan-to-enterprise-value ratio is expressed as a percentage of the value of the loan relative to the value of the business. A loan-to-enterprise-value ratio in excess of 100% indicates the unpaid loan amount exceeds the value of the underlying business. The following table represents the loan-to-enterprise-value ratio of the middle market loan portfolio as at June 30, 2023 and December 31, 2022:

The fixed charge coverage ratio, based upon the most recent financial statements, is expressed as a percentage of a firm’s earnings plus fixed charges to its fixed charges. Fixed charges include debt repayments, interest and equipment lease expenses. A fixed charge coverage ratio of less than 1.0 indicates a firm’s operations do not generate enough income to cover its fixed charges. The following represents the fixed charge coverage ratio of the middle market loan portfolio as at June 30, 2023 and December 31, 2022:

The Company has individually assessed each of the middle market loans with the fixed charge coverage ratio of less than 1.00x. This is mainly due to increased capital investment to support the increased business post COVID-19. These investments have been performing with the fixed charged increasing over the year.

Equity securities. Equity securities consists of a single non-U.S. private issuer that is a special purpose vehicle designed to grant a first lien right to the underlying senior notes. The underlying issuer is a financial services lender to middle market companies and this security is performing.

Investments — Equity Method. In January 2015, the Company, along with seven other insurance companies, established a micro-insurance venture consortium and micro-insurance incubator (“MVI”) domiciled in Bermuda. The MVI is a social impact organization that provides micro-insurance products to assist global emerging consumers. In March 2021, the Company committed an additional $0.8 million equity contribution to MVI over a 2 year period and paid $0.4 million in the period ending December 31, 2022.

On January 1, 2017, the Company purchased through its wholly-owned subsidiary, Aspen U.S. Holdings, Inc. (“Aspen U.S. Holdings”), a 49% share of Digital Risk Resources, LLC (“Digital Re”), a U.S.-based enterprise engaged in the business of developing, marketing and servicing turnkey information security and privacy liability insurance products for a total consideration of $2.3 million. The investment is accounted for under the equity method and adjustments to the carrying value of this investment are made based on the Company’s share of capital, including share of income and expenses.

On December 23, 2019, the Company committed $5.0 million as an equity investment in the holding company of a multi-line reinsurer. The strategy for the multi-line reinsurer is to combine a diversified reinsurance business, focused primarily on long-tailed lines of property and casualty business and, potentially to a lesser extent, life business, with a diversified investment strategy. During the period ending June 30, 2023, $0.4 million (December 31, 2022 —$1.6 million) capital was invested in multi-line reinsurer.


	MVI		Multi-Line Reinsurer		Digital Re		Total
	($ in millions)
Opening undistributed value of investment as at January 1, 2023	$	0.8	$	5.2	$	0.2	$	6.2
Investment in the period	—		0.4		—		0.4


Unrealized gain for the period to June 30, 2023	—		0.4		—		0.4

Closing value of investment as at June 30, 2023	0.8		6.0		0.2		7.0


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


Unrealized (loss)/gain for the period to December 31, 2022	(0.1)		0.4		—		0.3

Closing value of investments at December 31, 2022	$	0.8	$	5.2	$	0.2	$	6.2

Other Investments. On December 20, 2017, the Company committed to, and during 2018 invested $100.0 million as a limited partner to a real estate fund, classified as other investments. As at June 30, 2023, the current fair value of the fund is $125.2 million (December 31, 2022 — $134.6 million).

On September 30, 2021, the Company committed $20.0 million as a limited partner to a third party managed real estate fund. The Partnership was established to make equity and equity related investments in multifamily and other commercial real estate properties located in the United States and its territories, with the goal of generating superior risk-adjusted returns. The Partnership seeks to acquire commercial real estate assets including real estate assets (or interests therein) that may have management or operational problems and require improvements or lack sufficient capital, including mortgage loans and development or redevelopment properties. On April 1, 2022, the Company committed an additional $10.0 million to the fund. As at June 30, 2023, the current fair value of the fund is $39.2 million (December 31, 2022 — $40.6 million) and the unfunded commitment is $3.3 million (December 31, 2022 — $3.3 million).

On April 1, 2022, the Company committed $30.0 million as a limited partner to a related party managed real estate fund. The Partnership was established to pursue investment opportunities to acquire, recapitalize, restructure and reposition real estate assets, portfolios and companies primarily in the United States. As at June 30, 2023, the current fair value of the fund is $22.9 million (December 31, 2022 — $25.3 million) and the unfunded commitment is $5.3 million (December 31, 2022 — $5.3 million).

On May 5, 2022, the Company committed $15.0 million as a limited partner to a third party managed infrastructure fund. The Partnership was established to make investments in value added infrastructure investments in environmental services, transportation, communications and digital, energy/energy transition and other infrastructure sectors primarily in North America. As at June 30, 2023, the current fair value of the fund is $11.7 million (December 31, 2022 — $8.2 million) and the unfunded commitment is $6.4 million (December 31, 2022 — $8.4 million).

Fixed income maturities, Available for sale. The scheduled maturity distribution of the Company’s available for sale fixed income securities as at June 30, 2023 and December 31, 2022 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 June 30, 2023
	Amortized Cost or Cost		Fair Market Value		Average S&P Ratings by Maturity
	($ in millions)
Due one year or less	$	242.4	$	236.5	AA
Due after one year through five years	2,736.2		2,594.7		AA-
Due after five years through ten years	684.9		595.2		A+
Due after ten years	1.8		1.1		BB
Total — Government and corporate	3,665.3		3,427.5
Non-agency commercial mortgage-backed	6.6		5.7		AA+
Agency mortgage-backed	559.3		475.0		AA+

Total fixed income securities — Available for sale	$	4,231.2	$	3,908.2


	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

Guaranteed Investments. As at June 30, 2023 and December 31, 2022, the Company held no investments which are guaranteed by mono-line insurers, excluding those with explicit government guarantees. The Company’s exposure to other third-party guaranteed debt is primarily to investments backed by non-U.S. government guaranteed issuers.

Gross unrealized losses, available for sale. 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 June 30, 2023 and December 31, 2022:


	June 30, 2023
	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	$	494.8	$	(12.8)	$	519.1	$	(38.3)	$	1,013.9	$	(51.1)	105
U.S. agency	7.0		(0.4)		1.1		—		8.1		(0.4)		4
Municipal	90.9		(3.7)		58.7		(5.1)		149.6		(8.8)		60
Corporate	467.4		(13.1)		1,254.7		(142.1)		1,722.1		(155.2)		727
Non-U.S. government-backed corporate	5.2		—		105.7		(8.7)		110.9		(8.7)		16
Non-U.S. government	80.1		(1.2)		182.2		(10.8)		262.3		(12.0)		61

Non-agency commercial mortgage-backed	—		—		5.6		(0.9)		5.6		(0.9)		1
Agency mortgage-backed	18.4		(1.3)		455.6		(83.0)		474.0		(84.3)		214
Total fixed income securities — Available for sale	1,163.8		(32.5)		2,582.7		(288.9)		3,746.5		(321.4)		1,188
Total short-term investments — Available for sale	11.8		—		—		—		11.8		—		5

Total	$	1,175.6	$	(32.5)	$	2,582.7	$	(288.9)	$	3,758.3	$	(321.4)	1,193


	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 securities	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