10-Q 1 ahl10-qq22017doc.htm 10-Q Document


UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
 
 ____________________________________________________________
Form 10-Q
 ____________________________________________________________
  
ý
QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
For the Quarterly Period Ended June 30, 2017
Or 
¨
TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
Commission file number 001-31909 
  ____________________________________________________________
ASPEN INSURANCE HOLDINGS LIMITED
(Exact Name of Registrant as Specified in its Charter) 
  ____________________________________________________________
 
Bermuda
 
Not Applicable
(State or Other Jurisdiction of
Incorporation or Organization)
 
(I.R.S. Employer
Identification No.)
 
 
 
141 Front Street
Hamilton, Bermuda
 
HM 19
(Address of Principal Executive Offices)
 
(Zip Code)
Registrant’s telephone number, including area code
(441) 295-8201
___________________________________________________________
  
Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter periods that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.    Yes  ý    No  ¨
Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files).    Yes  ý    No  ¨
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, or a smaller reporting company. See the definitions of “large accelerated filer,” “accelerated filer,” “smaller reporting company,” and “emerging growth company” in Rule 12b-2 of the Exchange Act. (Check one):
Large accelerated filer
 
ý
 
Accelerated filer
 
¨
 
 
 
 
 
 
 
Non-accelerated filer
 
¨ (Do not check if a smaller reporting company)
 
Smaller reporting company
 
¨
 
 
 
 
 
 
 
 
 
 
 
Emerging growth company
 
¨
If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ¨
Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).    Yes  ¨   No  ý
As at June 30, 2017, there were 59,844,075 outstanding ordinary shares, with a par value of 0.15144558¢ per ordinary share, outstanding.



INDEX
 
 
 
Page
 
Item 1.
 
Unaudited Condensed Consolidated Balance Sheets as at June 30, 2017 and December 31, 2016
 
Unaudited Condensed Consolidated Statements of Operations and Other Comprehensive Income for the Three and Six Months Ended June 30, 2017 and 2016
 
Unaudited Condensed Consolidated Statements of Changes in Shareholders’ Equity for the Six Months Ended June 30, 2017 and 2016
 
Unaudited Condensed Consolidated Statements of Cash Flows for the Six Months Ended June 30, 2017 and 2016
 
Item 2.
Management’s Discussion and Analysis of Financial Condition and Results of Operations
Item 3.
Item 4.
 
Item 1.
Item 1A.
Item 2.
Item 3.
Item 4.
Item 5.
Item 6.
CERTIFICATIONS
 

2


PART I
FINANCIAL INFORMATION

Item 1. Unaudited Condensed Consolidated Financial Statements

ASPEN INSURANCE HOLDINGS LIMITED
UNAUDITED CONDENSED CONSOLIDATED BALANCE SHEETS
As at June 30, 2017 and December 31, 2016
($ in millions, except share and per share amounts)  
 
As at June 30,
2017
 
As at December 31, 2016
ASSETS
 
 
 
Investments:
 
 
 
Fixed income securities, available for sale at fair value
(amortized cost — $5,437.9 and $5,620.1)
$
5,497.3

 
$
5,664.6

Fixed income securities, trading at fair value
(amortized cost — $1,338.3 and $1,264.8)
1,357.5

 
1,265.7

Equity securities, trading at fair value
(cost — $569.5 and $554.3)
658.7

 
584.7

Short-term investments, available for sale at fair value
(amortized cost — $41.9 and $145.3)
41.9

 
145.3

Short-term investments, trading at fair value
(amortized cost — $73.7 and $185.4)
73.7


185.4

Catastrophe bonds, trading at fair value (cost — $28.3 and $42.5)
28.3

 
42.5

Other investments, equity method
3.9

 
12.1

Total investments
7,661.3

 
7,900.3

Cash and cash equivalents (including $165.5 and $291.3 within consolidated variable interest entities)
1,228.4

 
1,273.8

Reinsurance recoverables
 
 
 
Unpaid losses
779.4

 
560.7

Ceded unearned premiums
464.1

 
255.2

Receivables
 
 
 
Underwriting premiums
1,614.1

 
1,399.4

Other
106.1

 
95.5

Funds withheld
89.9

 
73.1

Deferred policy acquisition costs
364.6

 
358.4

Derivatives at fair value
22.1

 
7.2

Receivables for securities sold
13.6

 
1.6

Office properties and equipment
85.3

 
83.8

Tax recoverable
7.2

 
0.5

Other assets
1.0

 
1.0

Intangible assets and goodwill
79.4

 
79.6

Total assets
$
12,516.5

 
$
12,090.1

See accompanying notes to unaudited condensed consolidated financial statements.



3



ASPEN INSURANCE HOLDINGS LIMITED
UNAUDITED CONDENSED CONSOLIDATED BALANCE SHEETS
As at June 30, 2017 and December 31, 2016
($ in millions, except share and per share amounts)
 
 
As at June 30,
2017
 
As at December 31, 2016
LIABILITIES
 
 
 
Insurance reserves
 
 
 
Losses and loss adjustment expenses
$
5,571.4

 
$
5,319.9

Unearned premiums
1,981.5

 
1,618.6

Total insurance reserves
7,552.9

 
6,938.5

Payables
 
 
 
Reinsurance premiums
316.7

 
345.3

Deferred taxation
4.4

 
6.1

Accrued expenses and other payables
352.8

 
469.2

Liabilities under derivative contracts
8.6

 
18.4

Total payables
682.5

 
839.0

Loan notes issued by variable interest entities, at fair value
110.8

 
115.0

Long-term debt
549.4

 
549.3

Total liabilities
$
8,895.6

 
$
8,441.8

Commitments and contingent liabilities (see Note 16)

 

SHAREHOLDERS’ EQUITY
 
 
 
Ordinary shares:
 
 
 
59,844,075 shares of par value 0.15144558¢ each
(December 31, 2016 - 59,774,464)
$
0.1

 
$
0.1

Preference shares:
 
 
 
11,000,000 5.95% shares of par value 0.15144558¢ each
(December 31, 2016 — 11,000,000)

 

Nil 7.401% shares of par value 0.15144558¢ each
(December 31, 2016 — 5,327,500)

 

6,400,000 7.250% shares of par value 0.15144558¢ each
(December 31, 2016 — 6,400,000)

 

10,000,000 5.625% shares of par value 0.15144558¢ each
(December 31, 2016 — 10,000,000)

 

Non-controlling interest
1.6

 
1.4

Additional paid-in capital
1,125.2

 
1,259.6

Retained earnings
2,516.2

 
2,392.3

Accumulated other comprehensive income, net of taxes
(22.2
)
 
(5.1
)
Total shareholders’ equity
3,620.9

 
3,648.3

Total liabilities and shareholders’ equity
$
12,516.5

 
$
12,090.1

See accompanying notes to unaudited condensed consolidated financial statements.

4


ASPEN INSURANCE HOLDINGS LIMITED

UNAUDITED CONDENSED CONSOLIDATED STATEMENTS OF OPERATIONS
AND OTHER COMPREHENSIVE INCOME
($ in millions, except share and per share amounts)
 
Three Months Ended June 30,
 
Six Months Ended June 30,
 
2017
 
2016
 
2017
 
2016
Revenues
 
 
 
 
 
 
 
Net earned premium
$
562.0

 
$
680.8

 
$
1,143.1

 
$
1,343.9

Net investment income
47.4

 
48.0

 
95.1

 
97.5

Realized and unrealized investment gains
49.0

 
45.1

 
100.2

 
110.7

Other income
3.6

 
(0.5
)
 
7.2

 
0.9

Total revenues
662.0

 
773.4

 
1,345.6

 
1,553.0

Expenses
 
 
 
 
 
 
 
Losses and loss adjustment expenses
346.1

 
442.2

 
674.3

 
799.6

Amortization of deferred policy acquisition costs
96.3

 
126.7

 
210.0

 
256.9

General, administrative and corporate expenses
119.9

 
116.4

 
241.2

 
236.2

Interest on long-term debt
7.4

 
7.4

 
14.8

 
14.8

Change in fair value of derivatives
(17.6
)
 
0.4

 
(20.7
)
 
7.6

Change in fair value of loan notes issued by variable interest entities
3.3

 
(0.5
)
 
6.2

 
3.9

Realized and unrealized investment losses
7.0

 
8.3

 
12.0

 
28.9

Net realized and unrealized foreign exchange losses
20.6

 
5.3

 
29.5

 
21.0

Other expenses
2.0

 
1.0

 
2.0

 
1.0

Total expenses
585.0

 
707.2

 
1,169.3

 
1,369.9

Income from operations before income tax
77.0

 
66.2

 
176.3

 
183.1

Income tax expense
(1.2
)
 
(1.3
)
 
(4.0
)
 
(3.8
)
Net income
$
75.8

 
$
64.9

 
$
172.3

 
$
179.3

Amount attributable to non-controlling interest
(0.1
)
 
(0.4
)
 
(0.2
)
 
(0.2
)
Net income attributable to Aspen Insurance Holdings Limited’s ordinary shareholders
$
75.7

 
$
64.5

 
$
172.1

 
$
179.1

Other Comprehensive Income:
 
 
 
 
 
 
 
Available for sale investments:
 
 
 
 
 
 
 
Reclassification adjustment for net realized gains on investments included in net income
$
(0.8
)
 
$
(1.1
)
 
$
(1.8
)
 
$
(5.3
)
Change in net unrealized gains on available for sale securities held
13.7

 
43.3

 
16.7

 
132.5

Net change from current period hedged transactions
2.4

 
(2.9
)
 
3.7

 
(5.0
)
Change in foreign currency translation adjustment
(27.6
)
 
(3.1
)
 
(44.8
)
 
(16.6
)
Other comprehensive income, gross of tax
(12.3
)
 
36.2

 
(26.2
)
 
105.6

Tax thereon:
 
 
 
 
 
 
 
Reclassification adjustment for net realized gains on investments included in net income

 
0.1

 
0.2

 
0.6

Change in net unrealized gains on available for sale securities held
(1.1
)
 
(5.1
)
 
(1.2
)
 
(13.7
)
Net change from current period hedged transactions
(0.4
)
 
0.5

 
(0.5
)
 
1.2

Change in foreign currency translation adjustment
6.3

 
1.3

 
10.6

 
3.8

Total tax on other comprehensive income
4.8

 
(3.2
)
 
9.1

 
(8.1
)
Other comprehensive (loss)/income net of tax
(7.5
)
 
33.0

 
(17.1
)
 
97.5

Total comprehensive income attributable to Aspen Insurance Holdings Limited’s ordinary shareholders
$
68.2

 
$
97.5

 
$
155.0

 
$
276.6

Per Share Data
 
 
 
 
 
 
 
Weighted average number of ordinary share and share equivalents
 
 
 
 
 
 
 
Basic
59,966,358

 
60,705,028

 
59,914,797

 
60,771,601

Diluted
61,022,981

 
62,192,142

 
61,095,817

 
62,263,209

Basic earnings per ordinary share adjusted for preference share dividends
$
1.09

 
$
0.91

 
$
2.48

 
$
2.64

Diluted earnings per ordinary share adjusted for preference share dividends
$
1.07

 
$
0.89

 
$
2.43

 
$
2.57

See accompanying notes to unaudited condensed consolidated financial statements.

5



ASPEN INSURANCE HOLDINGS LIMITED
UNAUDITED CONDENSED CONSOLIDATED STATEMENTS OF
CHANGES IN SHAREHOLDERS’ EQUITY
($ in millions)
 
Six Months Ended June 30,
 
2017
 
2016
Ordinary shares
 
 
 
Beginning and end of the period
$
0.1

 
$
0.1

Preference shares
 
 
 
Beginning and end of the period

 

Non-controlling interest
 
 
 
Beginning of the period
1.4

 
1.3

Net change attributable to non-controlling interest for the period
0.2

 
0.2

End of the period
1.6

 
1.5

Additional paid-in capital
 
 
 
Beginning of the period
1,259.6

 
1,075.3

New ordinary shares issued
0.4

 
1.9

Ordinary shares repurchased and cancelled
(10.0
)
 
(43.5
)
Preference shares redeemed and cancelled
(133.2
)
 

Preference shares redemption (1)
2.4

 

Share-based compensation (2)
6.0

 
6.8

End of the period
1,125.2

 
1,040.5

Retained earnings
 
 
 
Beginning of the period
2,392.3

 
2,283.6

Net income for the period
172.3

 
179.3

Dividends on ordinary shares
(27.6
)
 
(26.2
)
Dividends on preference shares
(21.0
)
 
(18.9
)
Preference shares redemption (1)
(2.4
)
 

Net change attributable to non-controlling interest for the period
(0.2
)
 
(0.2
)
Share-based payment (3)
2.8

 

End of the period
2,516.2

 
2,417.6

Accumulated other comprehensive income:
 
 
 
Cumulative foreign currency translation adjustments, net of taxes:
 
 
 
Beginning of the period
(27.1
)
 
0.6

Change for the period, net of income tax
(34.2
)
 
(12.8
)
End of the period
(61.3
)
 
(12.2
)
Loss on derivatives, net of taxes:
 
 
 
Beginning of the period
(0.5
)
 
(1.2
)
Net change from current period hedged transactions
3.2

 
(3.8
)
End of the period
2.7

 
(5.0
)
Unrealized appreciation on investments, net of taxes:
 
 
 
Beginning of the period
22.5

 
60.2

Change for the period, net of taxes
13.9

 
114.1

End of the period
36.4

 
174.3

Total accumulated other comprehensive (loss)/income, net of taxes
(22.2
)
 
157.1

 
 
 
 
Total shareholders’ equity
$
3,620.9

 
$
3,616.8

 

(1) The $2.4 million reclassification from additional paid-in capital to retained earnings is the difference between the capital raised upon issuance of the 7.401% Perpetual Non-Cumulative Preference Shares, net of issuance costs, and the final redemption costs of $133.2 million.
(2) The balance includes $7.9 million reclassification from accrued expenses and other payable as a result of the classification of restricted share units as equity following the adoption of ASU 2016-09. The adjustment has been applied using a modified retrospective approach.
(3) The $2.8 million relates to the cumulative effect-adjustment to opening retained earnings as a result of the classification of restricted share units as equity following the adoption of ASU 2016-09. The adjustment has been applied using a modified retrospective approach.
 
See accompanying notes to unaudited condensed consolidated financial statements.

6


ASPEN INSURANCE HOLDINGS LIMITED
UNAUDITED CONDENSED CONSOLIDATED STATEMENTS OF CASH FLOWS
($ in millions)
 
 
Six Months Ended June 30,
 
2017
 
2016
Cash flows (used in)/from operating activities:
 
 
 
Net income
$
172.3

 
$
179.3

Proportion due to non-controlling interest
(0.2
)
 
(0.2
)
Adjustments to reconcile net income to net cash flows from operating activities:
 
 
 
Depreciation and amortization
27.4

 
23.1

Share-based compensation
6.0

 
6.8

Realized and unrealized investment (gains)
(100.2
)
 
(110.7
)
Realized and unrealized investment losses
12.0

 
28.9

Change in fair value of loan notes issued by variable interest entities
6.2

 
3.9

Net realized and unrealized investment foreign exchange losses
(8.7
)
 
79.9

Net change from current period hedged transactions
3.2

 
(3.8
)
Changes in:
 
 
 
Insurance reserves:
 
 
 
Losses and loss adjustment expenses
166.4

 
189.4

Unearned premiums
339.5

 
212.3

Reinsurance recoverables:
 
 
 
Unpaid losses
(212.6
)
 
(48.7
)
Ceded unearned premiums
(207.5
)
 
(55.7
)
Other receivables
(9.3
)
 
(27.5
)
Deferred policy acquisition costs
(2.2
)
 
(47.9
)
Reinsurance premiums payable
(18.5
)
 
47.8

Funds withheld
(16.8
)
 
(10.0
)
Premiums receivable
(213.3
)
 
(287.0
)
Deferred taxes
(1.7
)
 
14.9

Income tax payable
4.3

 
6.9

Accrued expenses and other payables
(22.0
)
 
32.4

Fair value of derivatives and settlement of liabilities under derivatives
(24.7
)
 
3.8

Long-term debt and loan notes issued by variable interest entities
(4.1
)
 
1.2

Other assets

 
3.1

Net cash (used in)/from operating activities
$
(104.5
)
 
$
242.2


See accompanying notes to unaudited condensed consolidated financial statements.


7


UNAUDITED CONDENSED CONSOLIDATED STATEMENTS OF CASH FLOWS
($ in millions)
 
 
Six Months Ended June 30,
 
2017
 
2016
Cash flows from/(used in) investing activities:
 
 
 
(Purchases) of fixed income securities — Available for sale
$
(847.6
)
 
$
(1,191.6
)
(Purchases) of fixed income securities — Trading
(556.0
)
 
(414.4
)
Proceeds from sales and maturities of fixed income securities — Available for sale
1,039.9

 
1,188.1

Proceeds from sales and maturities of fixed income securities — Trading
497.3

 
300.9

(Purchases) of equity securities — Trading
(70.1
)
 
(118.5
)
Net proceeds of catastrophe bonds — Trading
13.8

 
33.5

Proceeds from sales of equity securities — Trading
58.9

 
107.4

(Purchases) of short-term investments — Available for sale
(33.2
)
 
(81.6
)
Proceeds from sales of short-term investments — Available for sale
138.4

 
139.7

(Purchases) of short-term investments — Trading
(21.3
)
 
(5.0
)
Proceeds from sales of short-term investments — Trading
135.2

 
1.8

Net change in (payable)/receivable for securities (purchased)/sold
20.9

 
(7.6
)
Net (purchases) of equipment
(17.6
)
 
(18.5
)
Sale of investment
9.3

 

Payments for acquisitions and investments, net of cash acquired
(2.3
)
 
(52.7
)
Net cash from/(used in) investing activities
365.6

 
(118.5
)
 
 
 
 
Cash flows (used in) financing activities:
 
 
 
Proceeds from the issuance of ordinary shares, net of issuance costs
0.4

 
1.9

Ordinary shares repurchased
(10.0
)
 
(43.5
)
Preference share redemption
(133.2
)
 

Repayment of long-term debt issued by Silverton
(114.1
)
 
(89.0
)
Dividends paid on ordinary shares
(27.6
)
 
(26.2
)
Dividends paid on preference shares
(21.0
)
 
(18.9
)
Cash paid for tax withholding purposes (1)
(9.1
)
 

Net cash (used in) financing activities
(314.6
)
 
(175.7
)

 
 
 
Effect of exchange rate movements on cash and cash equivalents
8.1

 
(8.7
)
 
 
 
 
Decrease in cash and cash equivalents
(45.4
)
 
(60.7
)
Cash and cash equivalents at beginning of period
1,273.8

 
1,099.5

Cash and cash equivalents at end of period
$
1,228.4

 
$
1,038.8

 
 
 
 
Supplemental disclosure of cash flow information:
 
 
 
Net cash paid (received) during the period for income tax
$
(2.6
)
 
$
(2.6
)
Cash paid during the period for interest
$
14.8

 
$
14.5


(1) The cash paid to the tax authority when withholding shares from employees’ awards for tax-withholding purposes has been reclassified from operating activity to financing activity following the adoption of ASU 2016-09. The adjustment has been applied using a modified retrospective approach.
See accompanying notes to unaudited condensed consolidated financial statements.

8



ASPEN INSURANCE HOLDINGS LIMITED
NOTES TO THE UNAUDITED CONDENSED CONSOLIDATED FINANCIAL STATEMENTS
 
1.
History and Organization
Aspen Insurance Holdings Limited (“Aspen Holdings”) was incorporated on May 23, 2002 as a holding company headquartered in Bermuda. We underwrite specialty insurance and reinsurance on a global basis through our Operating Subsidiaries (as defined below) based in Bermuda, the United States and the United Kingdom: Aspen Insurance UK Limited (“Aspen U.K.”) and Aspen Underwriting Limited (corporate member of Lloyd’s Syndicate 4711, “AUL” and managed by Aspen Managing Agency Limited (“AMAL”)) (United Kingdom), Aspen Bermuda Limited (“Aspen Bermuda”) (Bermuda), Aspen Specialty Insurance Company (“Aspen Specialty”) and Aspen American Insurance Company (“AAIC”) (United States) (collectively, the “Operating Subsidiaries”). We also have branches in Australia, Canada, France, Germany, Ireland, Singapore, Switzerland and the United Arab Emirates. We established Aspen Capital Management, Ltd and other related entities (collectively, “ACM”) to leverage our existing underwriting franchise, increase our operational flexibility in the capital markets and provide investors direct access to our underwriting expertise. References to the “Company,” the “Group,” “we,” “us” or “our” refer to Aspen Holdings or Aspen Holdings and its subsidiaries.
2.
Basis of Preparation
The accompanying unaudited condensed consolidated financial statements have been prepared on the basis of generally accepted accounting principles in the United States (“U.S. GAAP”) for interim financial information and in accordance with the instructions to Form 10-Q and Article 10 of Regulation S-X. Accordingly, they do not include all of the information and footnotes required by U.S. GAAP for complete financial statements. In the opinion of management, all adjustments considered necessary for a fair presentation have been included. Results for the three and six months ended June 30, 2017 are not necessarily indicative of the results that may be expected for the year ended December 31, 2017. The unaudited condensed consolidated financial statements include the accounts of Aspen Holdings and its subsidiaries. All intercompany transactions and balances have been eliminated on consolidation.
The balance sheet as at December 31, 2016 has been derived from the audited consolidated financial statements at that date, but does not include all of the information and footnotes required by U.S. GAAP for complete financial statements. These unaudited condensed consolidated financial statements and notes thereto should be read in conjunction with the consolidated financial statements and notes thereto for the year ended December 31, 2016 contained in the Company’s Annual Report on Form 10-K filed with the United States Securities and Exchange Commission (the “SEC”) on February 22, 2017 (File No. 001-31909). Except for the changes associated with ASU 2016-09, “Compensation — Stock Compensation” listed below, there have been no changes to significant accounting policies from those disclosed in the Company’s 2016 Annual Report on Form 10-K.
Assumptions and estimates made by management have a significant effect on the amounts reported within the unaudited condensed consolidated financial statements. The most significant of these assumptions and estimates relate to losses and loss adjustment expenses, reinsurance recoverables, gross written premiums and commissions which have not been reported to the Company such as those relating to proportional treaty reinsurance contracts, unrecognized tax benefits, the fair value of derivatives and the fair value of other investments. All material assumptions and estimates are regularly reviewed and adjustments made as necessary, but actual results could turn out significantly different from those expected when the assumptions or estimates were made.
Accounting Pronouncements Adopted in 2017
On March 30, 2016, the Financial Accounting Standards Board (“FASB”) issued ASU 2016-09, “Compensation — Stock Compensation” which provides guidance on several aspects of the accounting for share-based payment transactions, including the income tax consequences, classification of awards as either equity or liabilities, and classification on the statement of cash flows. This ASU is effective for fiscal years beginning after December 15, 2016 and interim periods beginning after December 15, 2016. Following the adoption of this ASU, all excess tax benefits or expense related to stock-based compensation transactions are recognized prospectively as income tax benefits or expense in the Consolidated Income Statement and the excess tax benefits or expense from stock-based compensation transactions previously included in “Financing activities” on the Consolidated Statements of Cash Flows are prospectively included on that statement as “Operating activities.” The cash paid to the tax authority for tax withholding purposes has also been reclassified from operating to financing activity in the Consolidated Statement of Cash Flows and the comparative period has been restated. This ASU also allows share withholding up to the maximum statutory withholding requirement while still avoiding liability accounting. As a result, the Company has applied the equity accounting method for its restricted share units retrospectively and has recorded a cumulative effect adjustment of $2.8 million through opening retained earnings and $7.9 million through additional paid-in capital.

9



Accounting Pronouncements Not Yet Adopted

On March 10, 2017, FASB issued ASU 2017-7, “Improving the Presentation of Net Periodic Pension Cost and Net Periodic Post Retirement Benefit Cost” which changes how employers report defined benefit pension and/or other post-retirement benefit costs in their financial statements. This ASU is effective for fiscal years beginning after December 15, 2017 and interim periods beginning after December 15, 2017. As the Company does not operate a defined benefit pension scheme, the impact from the adoption of the ASU is unlikely to have a material impact on future financial statements and disclosures.
Other accounting pronouncements were issued during the three months ended June 30, 2017 which were either not relevant to the Company or did not impact the Company’s consolidated financial statements.
3.
Reclassifications from Accumulated Other Comprehensive Income
The following tables set out the components of the Company’s accumulated other comprehensive income (“AOCI”) that are reclassified into the unaudited condensed consolidated statement of operations for the three and six months ended June 30, 2017 and 2016:
 
 
Amount Reclassified from AOCI
 
 
Details about the AOCI Components
 
Three Months Ended June 30, 2017
 
Three Months Ended June 30, 2016
 
Affected Line Item in the Unaudited
Condensed Consolidated Statement
of Operations
 
 
($ in millions)
 
 
Available for sale securities:
 
 
 
 
Realized gains on sale of securities
 
$
3.3

 
$
2.4

 
Realized and unrealized investment gains
Realized (losses) on sale of securities
 
(2.5
)
 
(1.3
)
 
Realized and unrealized investment losses
 
 
0.8

 
1.1

 
Income from operations before income tax
Tax on net realized gains of securities
 

 
(0.1
)
 
Income tax expense
 
 
$
0.8

 
$
1.0

 
Net income
Realized derivatives:
 
 
 
 
 
 
Net realized (losses) on settled derivatives
 
$
0.9

 
$
(1.4
)
 
General, administrative and corporate expenses
Tax on settled derivatives
 
(0.2
)
 
0.5

 
Income tax expense
 
 
$
0.7

 
$
(0.9
)
 
Net income
 
 
 
 
 
 
 
Total reclassifications from AOCI to the statement of operations, net of income tax
 
$
1.5

 
$
0.1

 
Net income


10



 
 
Amount Reclassified from AOCI
 
 
Details about the AOCI Components
 
Six Months Ended June 30, 2017
 
Six Months Ended June 30, 2016
 
Affected Line Item in the Unaudited
Condensed Consolidated Statement
of Operations
 
 
($ in millions)
 
 
Available for sale securities:
 
 
 
 
Realized gains on sale of securities
 
$
5.6

 
$
9.5

 
Realized and unrealized investment gains
Realized (losses) on sale of securities
 
(3.8
)
 
(4.2
)
 
Realized and unrealized investment losses
 
 
1.8

 
5.3

 
Income from operations before income tax
Tax on net realized gains of securities
 
(0.2
)
 
(0.6
)
 
Income tax expense
 
 
$
1.6

 
$
4.7

 
Net income
Realized derivatives:
 
 
 
 
 
 
Net realized (losses) on settled derivatives
 
$
1.2

 
$
(2.5
)
 
General, administrative and corporate expenses
Tax on settled derivatives
 
(0.2
)
 
0.5

 
Income tax expense
 
 
$
1.0

 
$
(2.0
)
 
Net income
 
 
 
 
 
 
 
Total reclassifications from AOCI to the statement of operations, net of income tax
 
$
2.6

 
$
2.7

 
Net income



11



4.
Earnings per Ordinary Share
Basic earnings per ordinary share are calculated by dividing net income available to holders of Aspen Holdings’ ordinary shares by the weighted average number of ordinary shares outstanding. Net income available to ordinary shareholders is calculated by deducting preference share dividends and net income/(loss) attributable to non-controlling interest from net income/ (loss) after tax for the period. Diluted earnings per ordinary share are based on the weighted average number of ordinary shares and dilutive potential ordinary shares outstanding during the period of calculation using the treasury stock method. The following table sets forth the computation of basic and diluted earnings per ordinary share for the three and six months ended June 30, 2017 and 2016, respectively:
 
Three Months Ended June 30,
 
Six Months Ended June 30,
 
2017
 
2016
 
2017
 
2016
 
($ in millions, except share and per share amounts)
 
 
 
 
 
 
 
 
Net income
$
75.8

 
$
64.9

 
$
172.3

 
$
179.3

Preference share dividends
(10.5
)
 
(9.4
)
 
(21.0
)
 
(18.9
)
Change in redemption value (1)

 

 
(2.4
)
 

Net amount attributable to non-controlling interest
(0.1
)
 
(0.4
)
 
(0.2
)
 
(0.2
)
Basic and diluted net income available to ordinary shareholders
$
65.2

 
$
55.1

 
$
148.7

 
$
160.2

Ordinary shares:
 
 
 
 
 
 
 
Basic weighted average ordinary shares
59,966,358

 
60,705,028

 
59,914,797

 
60,771,601

Weighted average effect of dilutive securities (2)
1,056,623

 
1,487,114

 
1,181,020

 
1,491,608

Total diluted weighted average ordinary shares
61,022,981

 
62,192,142

 
61,095,817

 
62,263,209

Earnings per ordinary share:
 
 
 
 
 
 
 
Basic
$
1.09

 
$
0.91

 
$
2.48

 
$
2.64

Diluted
$
1.07

 
$
0.89

 
$
2.43

 
$
2.57

 
(1) 
The $2.4 million deduction from net income in 2017 is attributable to the reclassification from additional paid-in capital to retained earnings representing the difference between the capital raised upon issuance of the 7.401% Perpetual Non-Cumulative Preference Shares, net of issuance costs, and the final redemption costs of $133.2 million.
(2) 
Dilutive securities consist of employee restricted share units and performance shares associated with the Company’s long-term incentive plan, employee share purchase plans and director restricted share units as described in Note 14.
Dividends. On July 26, 2017, the Company’s Board of Directors (the “Board of Directors”) declared the following quarterly dividends:
 
Dividend
 
Payable on:
 
Record Date:
Ordinary shares
$
0.24

 
August 29, 2017
 
August 14, 2017
5.95% preference shares
$
0.3719

 
October 1, 2017
 
September 15, 2017
5.625% preference shares
$
0.3516

 
October 1, 2017
 
September 15, 2017
5.
Segment Reporting
The Company has two reporting business segments: Insurance and Reinsurance. In addition to the way the Company manages its business, the Company has considered similarities in economic characteristics, products, customers, distribution, the regulatory environment of the Company’s business segments and quantitative thresholds to determine the Company’s reportable segments. Segment profit or loss for each of the Company’s business segments is measured by underwriting profit or loss. Underwriting profit is the excess of net earned premiums over the sum of losses and loss expenses, amortization of deferred policy acquisition costs and general and administrative expenses. Underwriting profit or loss provides a basis for management to evaluate the business segment’s underwriting performance.
Reinsurance Segment. The reinsurance segment consists of property catastrophe reinsurance, other property reinsurance (risk excess, pro rata and facultative), casualty reinsurance (U.S. treaty, international treaty and global facultative) and specialty insurance and reinsurance (credit and surety, mortgage reinsurance and insurance, agriculture insurance and reinsurance, marine, aviation, terrorism, engineering, cyber and other specialty lines). ACM forms part of our property catastrophe reinsurance line of business as it focuses primarily on property catastrophe business through the use of alternative capital. For a more detailed

12



description of this business segment, see Part I, Item 1, “Business — Business Segments — Reinsurance” in the Company’s 2016 Annual Report on Form 10-K filed with the SEC.
Insurance Segment. The insurance segment consists of property and casualty insurance, marine, aviation and energy insurance and financial and professional lines insurance. For a more detailed description of this business segment, see Part I, Item 1 “Business — Business Segments — Insurance” in the Company’s 2016 Annual Report on Form 10-K filed with the SEC.
Non-underwriting Disclosures. The Company has provided additional disclosures for corporate and other (non-operating) income and expenses. Corporate and other income and expenses include net investment income, net realized and unrealized investment gains or losses, expenses associated with managing the Group, certain strategic and non-recurring costs, changes in fair value of derivatives and changes in fair value of the loan notes issued by variable interest entities, interest expenses, net realized and unrealized foreign exchange gains or losses, and income taxes, none of which are allocated to the business segments. Corporate expenses are not allocated to the Company’s business segments as they typically do not fluctuate with the levels of premiums written and are not directly related to the Company’s business segment operations. The Company does not allocate its assets by business segment as it evaluates underwriting results of each business segment separately from the results of the Company’s investment portfolio.

13



The following tables provide a summary of gross and net written and earned premiums, underwriting results, ratios and reserves for each of the Company’s business segments for the three months ended June 30, 2017 and 2016:
 
Three Months Ended June 30, 2017
 
 
Reinsurance
 
Insurance
 
Total
 
 
($ in millions)
 
Underwriting Revenues
 
 
 
 
 
 
Gross written premiums
$
335.6

 
$
486.5

 
$
822.1

 
Net written premiums
285.5

 
293.2

 
578.7

 
Gross earned premiums
320.6

 
429.1

 
749.7

 
Net earned premiums
272.7

 
289.3

 
562.0

 
Underwriting Expenses
 
 
 
 
 
 
Losses and loss adjustment expenses
152.6

 
193.5

 
346.1

 
Amortization of deferred policy acquisition costs
53.4

 
42.9

 
96.3

 
General and administrative expenses
40.7

 
65.7

 
106.4

 
Underwriting income
$
26.0

 
$
(12.8
)
 
13.2

 
Corporate expenses
 
 
 
 
(11.4
)
 
Non-operating expenses
 
 
 
 
(2.1
)
 
Net investment income
 
 
 
 
47.4

 
Realized and unrealized investment gains
 
 
 
 
49.0

 
Realized and unrealized investment losses
 
 
 
 
(7.0
)
 
Change in fair value of loan notes issued by variable interest entities
 
 
 
 
(3.3
)
 
Change in fair value of derivatives
 
 
 
 
17.6

 
Interest expense on long term debt
 
 
 
 
(7.4
)
 
Net realized and unrealized foreign exchange losses
 
 
 
 
(20.6
)
 
Other income
 
 
 
 
3.6

 
Other expenses
 
 
 
 
(2.0
)
 
Income before tax
 
 
 
 
$
77.0

 
 
 
 
 
 
 
 
Net reserves for loss and loss adjustment expenses
$
2,445.0

 
$
2,347.0

 
$
4,792.0

 
Ratios
 
 
 
 
 
 
Loss ratio
56.0
%
 
66.9
%
 
61.6
%
 
Policy acquisition expense ratio
19.6

 
14.8

 
17.1

 
General and administrative expense ratio
14.9

 
22.7

 
21.3

(1) 
Expense ratio
34.5

 
37.5

 
38.4

 
Combined ratio
90.5
%
 
104.4
%
 
100.0
%
 
 
(1) 
The general and administrative expense ratio in the total column includes corporate and non-operating expenses.

14



 
Three Months Ended June 30, 2016
 
 
Reinsurance
 
Insurance
 
Total
 
 
( $ in millions)
 
Underwriting Revenues
 
 
 
 
 
 
Gross written premiums
$
332.6

 
$
469.1

 
$
801.7

 
Net written premiums
306.8

 
418.0

 
724.8

 
Gross earned premiums
329.8

 
454.7

 
784.5

 
Net earned premiums
299.4

 
381.4

 
680.8

 
Underwriting Expenses
 
 
 
 
 
 
Losses and loss adjustment expenses
181.1

 
261.1

 
442.2

 
Amortization of deferred policy acquisition costs
50.7

 
76.0

 
126.7

 
General and administrative expenses
39.1

 
57.2

 
96.3

 
Underwriting income/(loss)
$
28.5

 
$
(12.9
)
 
15.6

 
Corporate expenses
 
 
 
 
(20.1
)
 
Net investment income
 
 
 
 
48.0

 
Realized and unrealized investment gains
 
 
 
 
45.1

 
Realized and unrealized investment losses
 
 
 
 
(8.3
)
 
Change in fair value of loan notes issued by variable interest entities
 
 
 
 
0.5

 
Change in fair value of derivatives
 
 
 
 
(0.4
)
 
Interest expense on long term debt
 
 
 
 
(7.4
)
 
Net realized and unrealized foreign exchange losses
 
 
 
 
(5.3
)
 
Other income
 
 
 
 
(0.5
)
 
Other expenses
 
 
 
 
(1.0
)
 
Income before tax
 
 
 
 
$
66.2

 
 
 
 
 
 
 
 
Net reserves for loss and loss adjustment expenses
$
2,474.6

 
$
2,296.5

 
$
4,771.1

 
Ratios
 
 
 
 
 
 
Loss ratio
60.5
%
 
68.5
%
 
65.0
%
 
Policy acquisition expense ratio
16.9

 
19.9

 
18.6

 
General and administrative expense ratio
13.1

 
15.0

 
17.1

(1) 
Expense ratio
30.0

 
34.9

 
35.7

 
Combined ratio
90.5
%
 
103.4
%
 
100.7
%
 
 
(1) 
The general and administrative expense ratio in the total column includes corporate expenses.



15



The following tables provide a summary of gross and net written and earned premiums, underwriting results, ratios and reserves for each of the Company’s business segments for the six months ended June 30, 2017 and 2016:
 
Six Months Ended June 30, 2017
 
 
Reinsurance
 
Insurance
 
Total
 
 
($ in millions)
 
Underwriting Revenues
 
 
 
 
 
 
Gross written premiums
$
900.9

 
$
919.2

 
$
1,820.1

 
Net written premiums
733.7

 
531.2

 
1,264.9

 
Gross earned premiums
648.2

 
852.8

 
1,501.0

 
Net earned premiums
550.2

 
592.9

 
1,143.1

 
Underwriting Expenses
 
 
 
 
 
 
Losses and loss adjustment expenses
295.7

 
378.6

 
674.3

 
Amortization of deferred policy acquisition costs
112.9

 
97.1

 
210.0

 
General and administrative expenses
84.6

 
127.5

 
212.1

 
Underwriting income
$
57.0

 
$
(10.3
)
 
46.7

 
Corporate expenses
 
 
 
 
(24.8
)
 
Non-operating expenses
 
 
 
 
(4.3
)
 
Net investment income
 
 
 
 
95.1

 
Realized and unrealized investment gains
 
 
 
 
100.2

 
Realized and unrealized investment losses
 
 
 
 
(12.0
)
 
Change in fair value of loan notes issued by variable interest entities
 
 
 
 
(6.2
)
 
Change in fair value of derivatives
 
 
 
 
20.7

 
Interest expense on long term debt
 
 
 
 
(14.8
)
 
Net realized and unrealized foreign exchange losses
 
 
 
 
(29.5
)
 
Other income
 
 
 
 
7.2

 
Other expense
 
 
 
 
(2.0
)
 
Income before tax
 
 
 
 
$
176.3

 
 
 
 
 
 
 
 
Net reserves for loss and loss adjustment expenses
$
2,445.0

 
$
2,347.0

 
$
4,792.0

 
Ratios
 
 
 
 
 
 
Loss ratio
53.7
%
 
63.9
%
 
59.0
%
 
Policy acquisition expense ratio
20.5

 
16.4

 
18.4

 
General and administrative expense ratio
15.4

 
21.5

 
21.1

(1) 
Expense ratio
35.9

 
37.9

 
39.5

 
Combined ratio
89.6
%
 
101.8
%
 
98.5
%
 

(1) 
The general and administrative expense ratio in the total column includes corporate and non-operating expenses.

16



 
Six Months Ended June 30, 2016
 
 
Reinsurance
 
Insurance
 
Total
 
 
( $ in millions)
 
Underwriting Revenues
 
 
 
 
 
 
Gross written premiums
$
850.2

 
$
927.2

 
$
1,777.4

 
Net written premiums
756.3

 
768.2

 
1,524.5

 
Gross earned premiums
636.6

 
900.3

 
1,536.9

 
Net earned premiums
579.7

 
764.2

 
1,343.9

 
Underwriting Expenses
 
 
 
 
 
 
Losses and loss adjustment expenses
315.6

 
484.0

 
799.6

 
Amortization of deferred policy acquisition costs
110.1

 
146.8

 
256.9

 
General and administrative expenses
83.2

 
115.8

 
199.0

 
Underwriting income
$
70.8

 
$
17.6

 
88.4

 
Corporate expenses
 
 
 
 
(37.2
)
 
Net investment income
 
 
 
 
97.5

 
Realized and unrealized investment gains
 
 
 
 
110.7

 
Realized and unrealized investment losses
 
 
 
 
(28.9
)
 
Change in fair value of loan notes issued by variable interest entities
 
 
 
 
(3.9
)
 
Change in fair value of derivatives
 
 
 
 
(7.6
)
 
Interest expense on long term debt
 
 
 
 
(14.8
)
 
Net realized and unrealized foreign exchange losses
 
 
 
 
(21.0
)
 
Other income
 
 
 
 
0.9

 
Other expenses
 
 
 
 
(1.0
)
 
Income before tax
 
 
 
 
$
183.1

 
 
 
 
 
 
 
 
Net reserves for loss and loss adjustment expenses
$
2,474.6

 
$
2,296.5

 
$
4,771.1

 
Ratios
 
 
 
 
 
 
Loss ratio
54.4
%
 
63.3
%
 
59.5
%
 
Policy acquisition expense ratio
19.0

 
19.2

 
19.1

 
General and administrative expense ratio
14.4

 
15.2

 
17.6

(1) 
Expense ratio
33.4

 
34.4

 
36.7

 
Combined ratio
87.8
%
 
97.7
%
 
96.2
%
 

(1) 
The general and administrative expense ratio in the total column includes corporate expenses.
    
The Company uses underwriting ratios as measures of performance. The loss ratio is the ratio of losses and loss adjustment expenses to net earned premiums. The policy acquisition expense ratio is the ratio of amortization of deferred policy acquisition costs to net earned premiums. The general and administrative expense ratio is the ratio of general, administrative and corporate expenses to net earned premiums. The combined ratio is the sum of the loss ratio, the policy acquisition expense ratio and the general and administrative expense ratio.


17



6.     Investments
Income Statement
Investment Income. The following table summarizes investment income for the three and six months ended June 30, 2017 and 2016:
 
For the Three Months Ended
 
For the Six Months Ended
 
June 30, 2017
 
June 30, 2016
 
June 30, 2017
 
June 30, 2016
 
($ in millions)
 
($ in millions)
Fixed income securities — Available for sale
$
33.9

 
$
36.5

 
$
67.8

 
$
73.1

Fixed income securities — Trading
10.4

 
7.9

 
20.5

 
15.3

Short-term investments — Available for sale
0.2

 
0.2

 
0.3

 
0.3

Short-term investments — Trading
0.3

 

 
0.5

 

Cash and cash equivalents
1.3

 
0.9

 
2.0

 
1.4

Equity securities — Trading
3.7

 
5.5

 
8.9

 
12.4

Catastrophe bonds — Trading
0.4

 
0.5

 
0.8

 
1.1

Total
$
50.2

 
$
51.5

 
$
100.8

 
$
103.6

Investment expenses
(2.8
)
 
(3.5
)
 
(5.7
)
 
(6.1
)
Net investment income
$
47.4

 
$
48.0

 
$
95.1

 
$
97.5


18



The following table summarizes the net realized and unrealized investment gains and losses recorded in the statement of operations and the change in unrealized gains and losses on investments recorded in other comprehensive income for the three and six months ended June 30, 2017 and 2016:
 
For the Three Months Ended
 
For the Six Months Ended
 
June 30, 2017
 
June 30, 2016
 
June 30, 2017
 
June 30, 2016
 
($ in millions)
 
($ in millions)
Available for sale:
 
 
 
 
 
 
 
Fixed income securities — gross realized gains
$
3.3

 
$
2.1

 
$
5.5

 
$
9.2

Fixed income securities — gross realized (losses)
(2.4
)
 
(1.3
)
 
(3.7
)
 
(3.7
)
Short-term investments — gross realized gains

 
0.2

 
0.1

 
0.2

Short-term investments — gross realized (losses)

 
(0.1
)
 

 
(0.1
)
Cash and cash equivalents — gross realized gains

 
0.1

 

 
0.1

Cash and cash equivalents — gross realized (losses)
(0.1
)
 
0.2

 
(0.1
)
 
(0.5
)
Other-than-temporary impairments
(0.1
)
 

 
(0.4
)
 

Trading:
 
 
 
 
 
 
 
Fixed income securities — gross realized gains
3.5

 
4.0

 
5.3

 
5.2

Fixed income securities — gross realized (losses)
(0.4
)
 
(0.6
)
 
(2.4
)
 
(6.4
)
Short-term investments — gross realized gains
0.1

 

 
0.1

 

Equity securities — gross realized gains
4.4

 
9.3

 
8.9

 
15.2

Equity securities — gross realized (losses)
(3.6
)
 
(6.5
)
 
(5.0
)
 
(18.0
)
Catastrophe bonds
(0.1
)
 

 
(0.1
)
 
(0.2
)
Net change in gross unrealized gains
38.5

 
29.4

 
79.4

 
80.8

Other investments:
 
 
 
 
 
 
 
Gross realized and unrealized (loss) in MVI
(0.1
)
 

 
(0.1
)
 

Gross realized (loss)/gain in Chaspark
(0.8
)
 

 
0.9

 

Gross realized and unrealized (loss) in Bene
(0.2
)
 

 
(0.2
)
 

Total net realized and unrealized investment gains recorded in the statement of operations
$
42.0

 
$
36.8

 
$
88.2

 
$
81.8

 
 
 
 
 
 
 
 
Change in available for sale net unrealized gains:
 
 
 
 
 
 
 
Fixed income securities
12.9

 
42.2

 
14.9

 
127.2

Total change in pre-tax available for sale unrealized gains
12.9

 
42.2

 
14.9

 
127.2

Change in taxes
(1.1
)
 
(5.0
)
 
(1.0
)
 
(13.1
)
Total change in net unrealized gains, net of taxes, recorded in other comprehensive income
$
11.8

 
$
37.2

 
$
13.9

 
$
114.1

Other-Than-Temporary Impairments. A security is potentially impaired when its fair value is below its amortized cost. The Company reviews its available for sale fixed income portfolios on an individual security basis for potential other-than-temporary impairment (“OTTI”) each quarter based on criteria including issuer-specific circumstances, credit ratings actions and general macro-economic conditions. The total OTTI charge for the three and six months ended June 30, 2017 was $0.1 million and $0.4 million, respectively (2016 — $Nil and $Nil). For a more detailed description of accounting policies for OTTI, please refer to Note 2(c) of the “Notes to the Audited Consolidated Financial Statements” in the Company’s 2016 Annual Report on Form 10-K filed with the SEC.

19



Balance Sheet
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, 2017 and December 31, 2016:
 
As at June 30, 2017
 
Cost or
Amortized Cost
 
Gross
Unrealized
Gains
 
Gross
Unrealized
Losses
 
Fair Market
Value
 
($ in millions)
U.S. government
$
1,218.3

 
$
9.2

 
$
(6.7
)
 
$
1,220.8

U.S. agency
74.4

 
1.1

 

 
75.5

Municipal
30.8

 
2.0

 

 
32.8

Corporate
2,469.3

 
44.7

 
(10.6
)
 
2,503.4

Non-U.S. government-backed corporate
92.3

 
0.5

 
(0.2
)
 
92.6

Non-U.S. government
516.9

 
9.7

 
(0.7
)
 
525.9

Asset-backed
48.7

 
0.2

 

 
48.9

Non-agency commercial mortgage-backed
4.3

 

 

 
4.3

Agency mortgage-backed
982.9

 
17.4

 
(7.2
)
 
993.1

Total fixed income securities — Available for sale
5,437.9

 
84.8

 
(25.4
)
 
5,497.3

Total short-term investments — Available for sale
41.9

 

 

 
41.9

Total
$
5,479.8

 
$
84.8

 
$
(25.4
)
 
$
5,539.2

 
 
As at December 31, 2016
 
Cost or
Amortized Cost
 
Gross
Unrealized
Gains
 
Gross
Unrealized
Losses
 
Fair Market
Value
 
($ in millions)
U.S. government
$
1,207.9

 
$
9.4

 
$
(11.2
)
 
$
1,206.1

U.S. agency
117.7

 
1.9

 

 
119.6

Municipal
23.2

 
1.6

 
(0.4
)
 
24.4

Corporate
2,566.9

 
39.6

 
(20.0
)
 
2,586.5

Non-U.S. government-backed corporate
89.2

 
0.7

 
(0.1
)
 
89.8

Non-U.S. government
477.7

 
11.8

 
(0.8
)
 
488.7

Asset-backed
62.6

 
0.4

 

 
63.0

Non-agency commercial mortgage-backed
12.3

 
0.3

 

 
12.6

Agency mortgage-backed
1,062.6

 
19.6

 
(8.3
)
 
1,073.9

Total fixed income securities — Available for sale
5,620.1

 
85.3

 
(40.8
)
 
5,664.6

Total short-term investments — Available for sale
145.3

 

 

 
145.3

Total
$
5,765.4

 
$
85.3

 
$
(40.8
)
 
$
5,809.9


20




Fixed Income Securities, Short-Term Investments, Equities and Catastrophe Bonds — 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 and catastrophe bonds as at June 30, 2017 and December 31, 2016:
 
As at June 30, 2017
 
Cost or
Amortized Cost
 
Gross
Unrealized
Gains
 
Gross
Unrealized
Losses
 
Fair Market
Value
 
($ in millions)
U.S. government
$
112.4

 
$
0.7

 
$
(0.3
)
 
$
112.8

Municipal
5.7

 

 

 
5.7

Corporate
882.5

 
16.1

 
(2.7
)
 
895.9

Bonds backed by Non-U.S government
2.0

 

 

 
2.0

Non-U.S. government
180.8

 
6.3

 
(0.6
)
 
186.5

Asset-backed
12.2

 

 

 
12.2

Agency mortgage-backed
142.7

 
0.4

 
(0.7
)
 
142.4

Total fixed income securities — Trading
1,338.3

 
23.5

 
(4.3
)
 
1,357.5

Total short-term investments — Trading
73.7

 

 

 
73.7

Total equity securities — Trading
569.5

 
99.4

 
(10.2
)
 
658.7

Total catastrophe bonds — Trading
28.3

 

 

 
28.3

Total
$
2,009.8

 
$
122.9