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Investments (Tables) | 9 Months Ended
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Sep. 30, 2024
Investments, Debt and Equity Securities [Abstract] |
Schedule of Fixed Maturity and Short-Term Investments | The Company’s fixed maturity and short-term investments are as follows:
| September 30, 2024
($ in thousands) | Amortized Cost |  | Gross Unrealized Gains |  | Gross Unrealized Losses |  | Fair Value
Fixed maturities: |  |  |  |  |  |  |
U.S. government treasuries | $ | 761,334 |  |  | $ | 9,273 |  |  | $ | (5,679) |  |  | $ | 764,928 |
U.S. states, territories and municipalities | 13,528 |  |  | 114 |  |  | (175) |  |  | 13,467 |
Non-U.S. sovereign governments and supranationals | 74,679 |  |  | 3,029 |  |  | (532) |  |  | 77,176 |
Corporate | 1,118,605 |  |  | 24,677 |  |  | (9,485) |  |  | 1,133,797 |
Residential mortgage-backed securities - Agency | 258,788 |  |  | 3,069 |  |  | (10,343) |  |  | 251,514 |
Residential mortgage-backed securities - Non-agency | 5,790 |  |  | 109 |  |  | (540) |  |  | 5,359 |
Commercial mortgage-backed securities - Non-agency | 33,189 |  |  | 535 |  |  | (615) |  |  | 33,109 |
Other asset-backed securities | 40,255 |  |  | 660 |  |  | (81) |  |  | 40,834 |
Total fixed maturities | 2,306,168 |  |  | 41,466 |  |  | (27,450) |  |  | 2,320,184 |
Short-term investments | 506,244 |  |  | 1,709 |  |  | (6) |  |  | 507,947 |
Total | $ | 2,812,412 |  |  | $ | 43,175 |  |  | $ | (27,456) |  |  | $ | 2,828,131 |
| December 31, 2023
($ in thousands) | Amortized Cost |  | Gross Unrealized Gains |  | Gross Unrealized Losses |  | Fair Value
Fixed maturities: |  |  |  |  |  |  |
U.S. government treasuries | $ | 717,134 |  |  | $ | 5,137 |  |  | $ | (14,021) |  |  | $ | 708,250 |
U.S. states, territories and municipalities | 4,656 |  |  | — |  |  | (286) |  |  | 4,370 |
Non-U.S. sovereign governments and supranationals | 55,662 |  |  | 2,175 |  |  | (1,591) |  |  | 56,246 |
Corporate | 877,493 |  |  | 8,443 |  |  | (22,060) |  |  | 863,876 |
Residential mortgage-backed securities - Agency | 180,661 |  |  | 435 |  |  | (12,583) |  |  | 168,513 |
Residential mortgage-backed securities - Non-agency | 5,639 |  |  | 16 |  |  | (671) |  |  | 4,984 |
Commercial mortgage-backed securities - Non-agency | 11,473 |  |  | — |  |  | (1,050) |  |  | 10,423 |
Other asset-backed securities | 14,781 |  |  | 20 |  |  | (195) |  |  | 14,606 |
Total fixed maturities | 1,867,499 |  |  | 16,226 |  |  | (52,457) |  |  | 1,831,268 |
Short-term investments | 427,437 |  |  | 1,441 |  |  | — |  |  | 428,878 |
Total | $ | 2,294,936 |  |  | $ | 17,667 |  |  | $ | (52,457) |  |  | $ | 2,260,146 |
Schedule of Contractual Maturities of Fixed Maturity Securities | The following table presents contractual maturities of fixed maturity securities. Expected maturities will differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment penalties.
| September 30, 2024
($ in thousands) | Amortized Cost |  | Fair Value
Due less than one year | $ | 149,305 |  |  | $ | 148,136 |
Due after one through five years | 1,590,516 |  |  | 1,607,936 |
Due after five through ten years | 224,518 |  |  | 229,859 |
Due after ten years | 3,807 |  |  | 3,437 |
Mortgage-backed securities | 297,767 |  |  | 289,982 |
Asset-backed securities | 40,255 |  |  | 40,834 |
Total | $ | 2,306,168 |  |  | $ | 2,320,184 |
Schedule of Investments in Two Sigma Funds | The Company’s investments in Two Sigma Funds are as follows:
| September 30, 2024 |  | December 31, 2023
($ in thousands) | Cost |  | Net Unrealized Gains (Losses) |  | Fair Value |  | Cost |  | Net Unrealized Gains (Losses) |  | Fair Value
Two Sigma Futures Portfolio, LLC (FTV) | $ | 352,138 |  |  | $ | 7,017 |  |  | $ | 359,155 |  |  | $ | 433,911 |  |  | $ | (38,105) |  |  | $ | 395,806 |
Two Sigma Spectrum Portfolio, LLC (STV) | 337,247 |  |  | 55,581 |  |  | 392,828 |  |  | 193,299 |  |  | 88,228 |  |  | 281,527 |
Two Sigma Equity Spectrum Portfolio, LLC (ESTV) | 140,221 |  |  | 40,583 |  |  | 180,804 |  |  | 142,981 |  |  | 31,156 |  |  | 174,137 |
Total | $ | 829,606 |  |  | $ | 103,181 |  |  | $ | 932,787 |  |  | $ | 770,191 |  |  | $ | 81,279 |  |  | $ | 851,470 |
Schedule of Certain Investments of FTV, STV and ESTV | The following table summarizes certain investments of FTV, STV and ESTV where TS Hamilton Fund’s proportionate share of the fair value of the investment represents more than 5% of TS Hamilton Fund’s members’ equity:
| September 30, 2024
($ in thousands) | Principal / Shares (1) |  | Fair Value (1) |  | % of Members' Equity
State Street Treasury Obligations Money Market Fund | 185,175 |  |  | $ | 185,175 |  |  | 9.9 | %
U.S. Treasury Securities, 0.0000% - 4.2500%, due 10/29/2024 - 8/15/2044 | 2,049,275 |  |  | $ | 2,073,372 |  |  | 110.3 | %
State Street Institutional Treasury Plus Money Market Fund | 98,599 |  |  | $ | 98,599 |  |  | 5.3 | %
U.S. Treasury Securities, 3.5000% - 4.2500%, due 9/30/2026 - 8/15/2054 | (852,058) |  |  | $ | (850,202) |  |  | (45.2) | %
(1) Values represent TS Hamilton Fund’s proportionate share of the aggregate of FTV, STV and ESTV total holdings.
Schedule of Realized and Unrealized Gains (Losses) on Investments and Net Investment Income (Loss) | The components of total net realized and unrealized gains (losses) on investments and net investment income (loss) are as follows:
|  |  |  | Three Months Ended |  | Nine Months Ended
|  |  |  | September 30, |  | September 30,
($ in thousands) |  |  |  | 2024 |  | 2023 |  | 2024 |  | 2023
Net realized and unrealized gains (losses) on investments: |  |  |  |  |  |  |  |  |  |
Net realized gains (losses) on investments |  |  |  | $ | 93,711 |  |  | $ | 42,403 |  |  | $ | 382,646 |  |  | $ | 32,363 |
Change in net unrealized gains (losses) on investments |  |  |  | (45,483) |  |  | 4,940 |  |  | 72,205 |  |  | 69,518 |
Net realized and unrealized gains (losses) on investments |  |  |  | 48,228 |  |  | 47,343 |  |  | 454,851 |  |  | 101,881 |
Net investment income (loss): |  |  |  |  |  |  |  |  |  |
Fixed maturities |  |  |  | 22,067 |  |  | 12,208 |  |  | 58,025 |  |  | 31,178 |
Short-term investments |  |  |  | 10 |  |  | 38 |  |  | 50 |  |  | 287 |
TS Hamilton Fund |  |  |  | 3,108 |  |  | 3,121 |  |  | 9,040 |  |  | 13,033 |
Cash and cash equivalents |  |  |  | 4,384 |  |  | 4,029 |  |  | 12,594 |  |  | 8,752 |
Other |  |  |  | 306 |  |  | (104) |  |  | 1,473 |  |  | 1,015 |
Interest and other |  |  |  | 29,875 |  |  | 19,292 |  |  | 81,182 |  |  | 54,265 |
Management fees |  |  |  | (12,207) |  |  | (10,958) |  |  | (36,640) |  |  | (35,806) |
Other expenses |  |  |  | (338) |  |  | (265) |  |  | (875) |  |  | (740) |
Net investment income (loss) |  |  |  | 17,330 |  |  | 8,069 |  |  | 43,667 |  |  | 17,719 |
Total net realized and unrealized gains (losses) on investments and net investment income (loss) |  |  |  | $ | 65,558 |  |  | $ | 55,412 |  |  | $ | 498,518 |  |  | $ | 119,600 |
Schedule of Realized Gain (Loss) on Investments | The components of net realized gains (losses) on investments are as follows:
| Three Months Ended |  | Nine Months Ended
| September 30, |  | September 30,
($ in thousands) | 2024 |  | 2023 |  | 2024 |  | 2023
Fixed maturities and short-term investments | $ | 2,769 |  |  | $ | (7,688) |  |  | $ | (1,866) |  |  | $ | (10,796) |
TS Hamilton Fund | 90,942 |  |  | 50,091 |  |  | 384,228 |  |  | 42,948 |
Other | — |  |  | — |  |  | 284 |  |  | 211 |
Net realized gains (losses) on investments | $ | 93,711 |  |  | $ | 42,403 |  |  | $ | 382,646 |  |  | $ | 32,363 |
Schedule of Unrealized Gain (Loss) on Investments | The components of net unrealized gains (losses) on investments are as follows:
| Three Months Ended |  | Nine Months Ended
| September 30, |  | September 30,
($ in thousands) | 2024 |  | 2023 |  | 2024 |  | 2023
Fixed maturities and short-term investments | $ | 64,903 |  |  | $ | (12,818) |  |  | $ | 50,304 |  |  | $ | (9,800) |
TS Hamilton Fund | (110,386) |  |  | 17,758 |  |  | 21,901 |  |  | 79,318 |
Net unrealized gains (losses) on investments | $ | (45,483) |  |  | $ | 4,940 |  |  | $ | 72,205 |  |  | $ | 69,518 |

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