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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 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.

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 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

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 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

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 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

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 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		%

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						59.9
International			42.7						41.8						42.8						40.1
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 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

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 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

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 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

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

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

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 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

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

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For all investments in an unrealized loss position, including those for which other-than-temporary impairments have not been recognized in earnings (including investments for which a portion of an other-than-temporary impairment has been recognized in other comprehensive income), a tabular disclosure of the aggregate related fair value of investments with unrealized losses and the aggregate amount of unrealized losses (that is, the amount by which amortized cost basis exceeds fair value).

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-Publisher FASB
-Name Accounting Standards Codification
-Topic 320
-SubTopic 10
-Section 50
-Paragraph 6
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Tabular disclosure of the significant judgments and assumptions made in determining whether a variable interest (as defined) held by the entity requires the variable interest entity (VIE) (as defined) to be consolidated and (or) disclose information about its involvement with the VIE, individually or in aggregate (as applicable); the nature of restrictions, if any, on the consolidated VIE's assets and on the settlement of its liabilities reported by an entity in its statement of financial position, including the carrying amounts of such assets and liabilities; the nature of, and changes in, the risks associated with involvement in the VIE; how involvement with the VIE affects the entity's financial position, financial performance, and cash flows; the lack of recourse if creditors (or beneficial interest holders) of the consolidated VIE have no recourse to the general credit of the primary beneficiary (if applicable); the terms of arrangements, giving consideration to both explicit arrangements and implicit variable interests, if any, that could require the entity to provide financial support to the VIE, including events or circumstances that could expose the entity to a loss; the methodology used by the entity for determining whether or not it is the primary beneficiary of the variable interest entity; the significant factors considered and judgments made in determining that the power to direct the activities of a VIE that most significantly impact the VIE's economic performance are shared (as defined); the carrying amounts and classification of assets and liabilities of the VIE included in the statement of financial position; the entity's maximum exposure to loss, if any, as a result of its involvement with the VIE, including how the maximum exposure is determined and significant sources of the entity's exposure to the VIE; a comparison of the carrying amounts of the assets and liabilities and the entity's maximum exposure to loss; information about any liquidity arrangements, guarantees, and (or) other commitments by third parties that may affect the fair value or risk of the entity's variable interest in the VIE; whether or not the entity has provided financial support or other support (explicitly or implicitly) to the VIE that it was not previously contractually required to provide or whether the entity intends to provide that support, including the type and amount of the support and the primary reasons for providing the support; and supplemental information the entity determines necessary to provide.

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-Publisher FASB
-Name Accounting Standards Codification
-Topic 810
-SubTopic 10
-Section 50
-Paragraph 5A
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Tabular disclosure of investment in debt security measured at fair value with change in fair value recognized in net income (trading) and investment in equity security measured at fair value with change in fair value recognized in net income (FV-NI).

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No definition available.

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