
March 31, 2020
(in millions)	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Allowance for Credit Losses⁽¹⁾		Fair Value
Fixed maturities
U.S. Governments	$	320.2	$	18.5	$	—	$	—	$	338.7
Foreign Governments	245.9		4.6		10.4		0.4		239.7
Obligations of states and political subdivisions	143.8		5.4		0.7		—		148.5
Corporate bonds	1,705.4		17.8		98.3		31.1		1,593.8
Commercial mortgage-backed securities	242.9		2.4		3.5		—		241.8
Residential mortgage-backed securities	534.0		18.8		6.4		—		546.4
Asset-backed securities	166.9		1.1		6.2		0.1		161.7
Collateralized loan obligations	275.3		0.4		22.8		—		252.9
Total fixed maturities	$	3,634.4	$	69.0	$	148.3	$	31.6	$	3,523.5

⁽¹⁾ Effective January 1, 2020 we adopted ASC-326 and as a result any credit impairment losses on our available-for-sale fixed maturities are recorded as an allowance, subject to reversal. Prior periods have not been restated to conform with the current year presentation. See Note 1.


December 31, 2019
(in millions)	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value
Fixed maturities
U.S. Governments	$	353.5	$	2.3	$	1.2	$	354.6
Foreign Governments	244.8		4.6		0.7		248.7
Obligations of states and political subdivisions	145.8		6.9		0.1		152.6
Corporate bonds	1,777.4		37.7		34.7		1,780.4
Commercial mortgage-backed securities	213.5		4.6		1.1		217.0
Residential mortgage-backed securities	479.1		10.4		0.6		488.9
Asset-backed securities	164.2		1.5		0.2		165.5
Collateralized loan obligations	226.7		0.5		1.4		225.8
Total fixed maturities	$	3,605.0	$	68.5	$	40.0	$	3,633.5


(in millions)	Amortized Cost		Fair Value
Due in one year or less	$	306.6	$	301.6
Due after one year through five years	1,489.7		1,419.3
Due after five years through ten years	554.2		536.8
Thereafter	64.8		63.0
Structured securities	1,219.1		1,202.8
Total	$	3,634.4	$	3,523.5


March 31, 2020
(in millions)	Carrying Value		Unfunded Commitments
Investment Type
Hedge funds	$	105.7	$	—
Private equity	220.1		104.6
Overseas deposits	92.3		—
Other	4.3		—
Total other investments	$	422.4	$	104.6


December 31, 2019
(in millions)	Carrying Value		Unfunded Commitments
Investment Type
Hedge funds	$	109.5	$	—
Private equity	268.1		110.0
Overseas deposits	114.6		—
Other	4.3		—
Total other investments	$	496.5	$	110.0

•Private equity: Private equity includes buyout funds, real asset/infrastructure funds, credit special situations funds, mezzanine lending funds and direct investments and strategic non-controlling minority investments in private companies that are principally accounted for using the equity method of accounting.

•Overseas deposits: Overseas deposits are principally invested in short-term sovereign fixed income and investment grade corporate securities and international stocks.


March 31, 2020	Less Than One Year						One Year or Greater						Total
(in millions)	Fair Value		Unrealized Losses		Fair Value		Unrealized Losses		Fair Value		Unrealized Losses
Fixed maturities
U.S. Governments ⁽¹⁾	$	1.4	$	—	$	—	$	—	$	1.4	$	—
Foreign Governments	143.6		10.4		—		—		143.6		10.4
Obligations of states and political subdivisions	24.2		0.7		—		—		24.2		0.7
Corporate bonds	850.3		75.7		29.7		22.6		880.0		98.3
Commercial mortgage-backed securities	132.6		3.5		—		—		132.6		3.5
Residential mortgage-backed securities	101.1		5.5		8.9		0.9		110.0		6.4
Asset-backed securities	103.3		5.8		4.7		0.4		108.0		6.2
Collateralized loan obligations	194.9		19.0		54.9		3.8		249.8		22.8
Total fixed maturities	$	1,551.4	$	120.6	$	98.2	$	27.7	$	1,649.6	$	148.3


December 31, 2019	Less Than One Year						One Year or Greater						Total
(in millions)	Fair Value		Unrealized Losses		Fair Value		Unrealized Losses		Fair Value		Unrealized Losses
Fixed maturities
U.S. Governments	$	114.6	$	1.1	$	17.0	$	0.1	$	131.6	$	1.2
Foreign Governments ⁽¹⁾	117.6		0.7		5.1		—		122.7		0.7
Obligations of states and political subdivisions ⁽¹⁾	0.7		—		2.1		0.1		2.8		0.1
Corporate bonds	249.4		18.9		63.6		15.8		313.0		34.7
Commercial mortgage-backed securities ⁽¹⁾	74.8		1.1		4.9		—		79.7		1.1
Residential mortgage-backed securities	66.9		0.3		25.2		0.3		92.1		0.6
Asset-backed securities	22.5		0.1		18.9		0.1		41.4		0.2
Collateralized loan obligations	54.7		0.8		116.7		0.6		171.4		1.4
Total fixed maturities	$	701.2	$	23.0	$	253.5	$	17.0	$	954.7	$	40.0

We hold a total of 4,842 fixed income securities, of which 2,480 were in an unrealized loss position for less than one year and 194 were in an unrealized loss position for a period one year or greater as of March 31, 2020.

Following the adoption of ASC 326, as described in Note 1, beginning January 1, 2020 we complete a detailed analysis each quarter to assess whether the decline in the fair value of a fixed maturity security below its amortized cost basis is the result of a credit loss. All available-for-sale securities with unrealized losses are reviewed. We consider many factors in completing this detailed analysis to determine where a credit loss exists, including the extent to which fair value is below cost, the implied yield to maturity, rating downgrades of the security and whether or not the issuer has failed to make scheduled principal or interest payments. We also take into consideration information about the financial condition of the issuer and industry factors that could negatively impact the capital markets

If the decline in fair value of an available-for-sale fixed maturity security below its amortized cost is considered to be the result of a credit loss, we compare the estimated present value of the cash flows expected to be collected to the amortized cost of the security. The extent to which the estimated present value of the cash flows expected to be collected is less than the amortized cost of the security represents the credit loss, which is recorded as an allowance and recognized in net realized gains (losses) in the Statement of (Loss) Income. The allowance is limited to the difference between the fair value and the amortized cost of the security. Any remaining decline in fair value represents the non-credit portion of the impairment, which is recognized in other comprehensive income.

We also consider whether we intend to sell an available-for-sale security or if it is more likely than not that we will be required to sell the security before recovery of its amortized cost. In these instances, a decline in fair value is recognized in net realized gains (losses) in the Statement of Income based on the fair value of the security at the time of assessment, resulting in a new cost basis for the security.


	For the Three Months Ended March 31,
(in millions)	2020
Beginning balance, January 1, 2020	$	—
Additions related to initial adoption of accounting standard	6.9
Provision for expected credit losses	24.7
Reductions due to sales/defaults of credit-impaired securities	—
Ending balance, March 31, 2020	$	31.6

Total credit impairment charges included in net realized investment gains (losses) in the Consolidated Statement of (Loss) Income was $24.7 million for the three months ended March 31, 2020. Total other-than-temporary impairment charges included in net realized investments (gains) losses was $4.3 million for the three months ended March 31, 2019.


	For the Three Months Ended March 31,
(in millions)	2020		2019
Realized gains on fixed maturities and other
Fixed maturities	$	20.8	$	3.6
Other investments	48.2		8.8
	69.0		12.4
Realized losses on fixed maturities and other
Fixed maturities	(7.7)		(2.4)
Other investments	(31.8)		(8.1)

Credit losses on fixed maturities	(24.7)		(4.3)

	(64.2)		(14.8)
Equity securities
Net realized (losses) gains on equity securities	(1.6)		0.7
Change in unrealized (losses) gains on equity securities held at the end of the period	(39.3)		54.2
Net realized (losses) gains on equity securities	(40.9)		54.9
Net realized investment (losses) gains before income taxes	(36.1)		52.5
Income tax benefit (provision)	8.0		(9.7)
Net realized investment (losses) gains net of income taxes	$	(28.1)	$	42.8


	For the Three Months Ended March 31,
(in millions)	2020		2019
Change in unrealized (losses) gains
Fixed maturities	$	(111.8)	$	59.9

Other investments	(14.2)		—
Other and short-term investments	(0.2)		—
Net unrealized investment (losses) gains before income taxes	(126.2)		59.9
Income tax benefit (provision)	19.2		(9.6)
Net unrealized investment (losses) gains, net of income taxes	$	(107.0)	$	50.3

We entered into foreign currency exchange forward contracts to manage operational currency exposure on our Canadian dollar investment portfolio and certain catastrophic events, minimize negative impacts to investment portfolio returns, and gain exposure to a total return strategy which invests in multiple currencies. The currency forward contracts are carried at fair value in our Consolidated Balance Sheets in “Other assets.” The net gains are included in “Net realized investment (losses) gains” in our Consolidated Statements of (Loss) Income.


(in millions)	March 31, 2020		December 31, 2019
Operational currency exposure	$	7.0	$	(0.8)
Asset manager investment exposure	0.2		(0.3)
Total return strategy	(2.3)		2.2
Total	$	4.9	$	1.1


	For the Three Months Ended March 31,
(in millions)	2020		2019
Realized gains
Operational currency exposure	$	5.4	$	0.3
Asset manager investment exposure	0.8		1.1
Total return strategy	25.0		6.3
Gross realized investment gains	31.2		7.7
Realized losses
Operational currency exposure	(1.7)		(2.1)
Asset manager investment exposure	(0.4)		(0.2)
Total return strategy	(28.0)		(4.7)
Gross realized investment losses	(30.1)		(7.0)
Net realized investment gains on foreign currency exchange forward contracts	$	1.1	$	0.7

We are required to maintain assets on deposit with various regulatory authorities to support our insurance and reinsurance operations. We maintain assets pledged as collateral in support of irrevocable letters of credit issued under the terms of certain reinsurance agreements for reported loss and loss expense reserves. The following table presents our components of restricted assets:


(in millions)	March 31, 2020		December 31, 2019
Securities on deposit for regulatory and other purposes	$	228.3	$	192.5
Securities pledged as collateral for letters of credit and other	170.8		169.9
Securities and cash on deposit supporting Lloyd’s business	400.7		412.8
Total restricted investments	$	799.8	$	775.2

Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. Fair value measurement assumes that the transaction to sell the asset or transfer the liability occurs in the principal market for the asset or liability, or in the absence of a principal market, the most advantageous market. Market participants are buyers and sellers in the principal (or most advantageous) market that are independent, knowledgeable, able to transact for the asset or liability and willing to transfer the asset or liability.

Valuation techniques consistent with the market approach, income approach and/or cost approach are used to measure fair value. The inputs of these valuation techniques are categorized into three levels.

•Level 1 inputs are quoted prices (unadjusted) in active markets for identical assets or liabilities that can be accessed at the reporting date. We define actively traded as a security that has traded in the past seven days. We receive one quote per instrument for Level 1 inputs.

•Level 2 inputs are inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly or indirectly. We receive one quote per instrument for Level 2 inputs.

•Level 3 inputs are unobservable inputs. Unobservable inputs reflect our own judgments about the assumptions market participants would use in pricing the asset or liability based on the best information available in the circumstances.

We receive fair value prices from third-party pricing services and our outside investment managers. These prices are determined using observable market information such as dealer quotes, market spreads, cash flows, yield curves, live trading levels, trade execution data, market consensus prepayment speeds, credit information and the security’s terms and conditions, among other things. We have reviewed the processes used by the third-party providers for pricing the securities and have determined that these processes result in fair values consistent with GAAP requirements. In addition, we review these prices for reasonableness, and have not adjusted any prices received from the third-party providers as of March 31, 2020 and December 31, 2019. A description of the valuation techniques we use to measure assets at fair value is as follows:

•United States Treasury securities are typically valued using Level 1 inputs. For these securities, we obtain fair value measurements from third-party pricing services using quoted prices (unadjusted) in active markets at the reporting date.

•United States Government agencies, non-U.S. Government securities, obligations of states and political subdivisions, credit securities and foreign denominated government and credit securities are reported at fair value using Level 2 inputs. For these securities, we obtain fair value measurements from third-party pricing services. Observable data may include dealer quotes, market spreads, yield curves, live trading levels, trade execution data, credit information and the security’s terms and conditions, among other things.

•Asset and mortgage-backed securities and collateralized loan obligations are reported at fair value using Level 2 inputs. For these securities, we obtain fair value measurements from third-party pricing services. Observable data may include dealer quotes, market spreads, cash flows, yield curves, live trading levels, trade execution data, market consensus prepayment speeds, credit information and the security’s terms and conditions, among other things.

Equity Securities Level 1: Equity securities are principally reported at fair value using Level 1 inputs. For these securities, we obtain fair value measurements from a third-party pricing service using quoted prices (unadjusted) in active markets at the reporting date.

Equity Securities Level 3: We own certain equity securities that are reported at fair value using Level 3 inputs. The valuation techniques for these securities include the following:

•Fair value measurements for an investment in an equity fund obtained by applying final prices provided by the administrator of the fund, which is based upon certain estimates and assumptions.

Other Investments Level 2: Foreign regulatory deposits are assets held in trust in jurisdictions where there is a legal and regulatory requirement to maintain funds locally in order to protect policyholders. Lloyd’s is the appointed investment manager for the funds. These assets are invested in short-term government securities, agency securities and corporate bonds and are valued using Level 2 inputs based upon values obtained from Lloyd’s.

Short-term Investments: Short-term investments are principally reported at fair value using Level 1 inputs, with the exception of short-term corporate and governmental bonds reported at fair value using Level 2 inputs as described in the fixed maturities section above. Values for the investments categorized as Level 1 are obtained from various financial institutions as of the reporting date.


			Fair Value Measurements at Reporting Date Using
(in millions)	March 31, 2020		Level 1^(a)		Level 2 ^(b)		Level 3 ^(c)
Fixed maturities
U.S. Governments	$	338.7	$	336.6	$	2.1	$	—
Foreign Governments	239.7		—		239.7		—
Obligations of states and political subdivisions	148.5		—		148.5		—
Corporate bonds	1,593.8		—		1,586.4		7.4
Commercial mortgage-backed securities	241.8		—		241.8		—
Residential mortgage-backed securities	546.4		—		546.4		—
Asset-backed securities	161.7		—		161.7		—
Collateralized loan obligations	252.9		—		252.9		—
Total fixed maturities	3,523.5		336.6		3,179.5		7.4
Equity securities	132.9		127.2		—		5.7
Other investments	92.3		—		92.3		—
Short-term investments	732.6		708.3		24.3		—
	$	4,481.3	$	1,172.1	$	3,296.1	$	13.1


			Fair Value Measurements at Reporting Date Using
(in millions)	December 31, 2019		Level 1^(a)		Level 2 ^(b)		Level 3 ^(c)
Fixed maturities
U.S. Governments	$	354.6	$	349.1	$	5.5	$	—
Foreign Governments	248.7		—		248.7		—
Obligations of states and political subdivisions	152.6		—		152.6		—
Corporate bonds	1,780.4		—		1,773.0		7.4
Commercial mortgage-backed securities	217.0		—		217.0		—
Residential mortgage-backed securities	488.9		—		488.9		—
Asset-backed securities	165.5		—		165.5		—
Collateralized loan obligations	225.8		—		225.8		—
Total fixed maturities	3,633.5		349.1		3,277.0		7.4
Equity securities	124.4		117.8		—		6.6
Other investments	400.2		—		400.2		—
Short-term investments	845.0		823.5		21.5		—
	$	5,003.1	$	1,290.4	$	3,698.7	$	14.0

The fair value measurements in the tables above do not equal “Total investments” on our Consolidated Balance Sheets as they exclude certain other investments that are accounted for under the equity-method of accounting.


(in millions)	Credit Financial		Equity Securities		Total
Beginning balance, January 1, 2020	$	7.4	$	6.6	$	14.0
Transfers into Level 3	—		—		—
Transfers out of Level 3	—		—		—
Total gains or losses (realized/unrealized):
Included in net income	—		—		—
Included in other comprehensive income	—		(0.9)		(0.9)
Purchases, issuances, sales, and settlements:
Purchases	—		—		—
Issuances	—		—		—
Sales	—		—		—
Settlements	—		—		—
Ending balance, March 31, 2020	$	7.4	$	5.7	$	13.1
Amount of total gains or losses for the year included in net income attributable to the change in unrealized gains or losses relating to assets still held at March 31, 2020	$	—	$	—	$	—


(in millions)	Credit Financial		Equity Securities		Total
Beginning balance, January 1, 2019	$	2.2	$	8.2	$	10.4
Transfers into Level 3	3.5		—		3.5
Transfers out of Level 3	—		—		—
Total gains or losses (realized/unrealized):
Included in net income	(0.4)		(1.6)		(2.0)
Included in other comprehensive loss	0.6		—		0.6
Purchases, issuances, sales, and settlements:
Purchases	1.9		—		1.9
Issuances	—		—		—
Sales	(0.4)		—		(0.4)
Settlements	—		—		—
Ending balance, December 31, 2019	$	7.4	$	6.6	$	14.0
Amount of total gains or losses for the year included in net income attributable to the change in unrealized gains or losses relating to assets still held at December 31, 2019	$	—	$	—	$	—

At March 31, 2020 and December 31, 2019, we did not have any financial assets or financial liabilities measured at fair value on a nonrecurring basis or any financial liabilities on a recurring basis.