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Investments (Tables)

6 Months Ended

Jun. 30, 2023

Investments, Debt and Equity Securities [Abstract]

Summary of Investment Income

The following table summarizes investment income for the six months ended June 30, 2023 and 2022;

						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

_____________(1)    Other investments represents the Company’s investments in real estate, infrastructure and direct lending funds. The movement in the periods represent 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 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)

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 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

_____________

(1)    For the six months ended June 30, 2023, there was a decrease in the CECL allowance on available-for-sale investments of $3.7 million (December 31, 2022 — $5.0 million increase).

						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

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 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

Schedule of Commercial Mortgage and Middle Market Loans

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 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		%

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 June 30, 2023 and December 31, 2022:

						As at June 30, 2023						As at December 31, 2022
						(in millions)
Less than 50%						$	47.5					$	41.1
50% to 60%						227.3						248.3
61% to 70%						20.2						22.7
Commercial mortgage loans						$	295.0					$	312.1

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:

						As at June 30, 2023						As at December 31, 2022
						(in millions)
Less than 50%						$	63.5					$	63.5
50% to 60%						23.3						16.4
61% to 70%						15.3						27.0
Middle market loans						$	102.1					$	106.9

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 June 30, 2023 and December 31, 2022:

						As at June 30, 2023						As at December 31, 2022
						(in millions)
Greater than 1.20x						$	112.3					$	106.1
1.00 - 1.20x						182.7						186.1
Less than 1.00x						—						—
Commercial mortgage loans (1)						$	295.0					$	292.2

_______________

(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).

The following represents the fixed charge coverage ratio of the middle market loan portfolio as at June 30, 2023 and December 31, 2022:

						As at June 30, 2023						As at December 31, 2022
						(in millions)
Greater than 1.20x						$	78.9					$	95.2
1.00 - 1.20x						3.8						3.8
Less than 1.00x						19.4						7.9
Middle market loans						$	102.1					$	106.9

Other Investments

The table below shows the Company’s investments in MVI, Multi-Line Reinsurer and Digital Re for the six months ended June 30, 2023 and the twelve months ended December 31, 2022:

						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

Summary of Fixed Maturities

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

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 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

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 https://asc.fasb.org/topic&trid=2196928

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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 https://asc.fasb.org/extlink&oid=124255953&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
-Paragraph 29
-URI https://asc.fasb.org/extlink&oid=123577603&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 https://asc.fasb.org/extlink&oid=126953954&loc=SL114868664-224227

Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 944
-SubTopic 220
-Section S99
-Paragraph 1
-Subparagraph (SX 210.7-04.2)
-URI https://asc.fasb.org/extlink&oid=120400993&loc=SL114874131-224263

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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 https://asc.fasb.org/extlink&oid=126953954&loc=SL114868664-224227

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-Publisher FASB
-Name Accounting Standards Codification
-Topic 220
-SubTopic 10
-Section S99
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