Investment information (Tables)

3 Months Ended

Mar. 31, 2020

Investments, Debt and Equity Securities [Abstract]

Summary of fair value and cost or amortized cost of available for sale securities

The following tables summarize the fair value of the Company’s securities classified as available for sale as of March 31, 2020 and December 31, 2019:

	Cost or Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses (1)			Fair Value
	($ in thousands)
March 31, 2020
Fixed maturities:
U.S. government and government agency bonds	$	256,191	$	8,635	$	—		$	264,826
Non-U.S. government and government agency bonds	151,000		4,040		(6,564		)	148,476
Corporate bonds	169,735		2,296		(4,969		)	167,062
Asset-backed securities	144,808		—		(31,225		)	113,583
Mortgage-backed securities	26,341		—		(4,556		)	21,785
Municipal government and government agency bonds	1,760		60		—			1,820
Total investments, available for sale	$	749,835	$	15,031	$	(47,314	)	$	717,552

(1) Effective January 1, 2020, the Company adopted ASU 2016-13, and as a result any credit impairment losses on the Company’s available for sale securities are recorded as an allowance, subject to reversal. See Note 2. "Basis of presentation and significant accounting policies-(b) Recent accounting pronouncements-Issued and effective as of March 31, 2020 - Credit Losses" above for more information about ASU 2016-13. Included within the gross unrealized losses for corporate bonds is a credit allowance of $0.6 million for securities with an unrealized loss of $5.7 million as of March 31, 2020.

	Cost or Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses			Fair Value
	($ in thousands)
December 31, 2019
Fixed maturities:
U.S. government and government agency bonds	$	282,076	$	1,708	$	(137	)	$	283,647
Corporate bonds	155,834		2,326		(41		)	158,119
Asset-backed securities	145,555		614		(735		)	145,434
Non-U.S. government and government agency bonds	129,456		3,530		(1,033		)	131,953
Mortgage-backed securities	24,776		18		(44		)	24,750
Municipal government and government agency bonds	1,759		46		—			1,805
Total investments, available for sale	$	739,456	$	8,242	$	(1,990	)	$	745,708

Summary of available for sale securities in a continual unrealized loss position

The following table summarizes, for all available for sale securities in an unrealized loss position, the fair value and gross unrealized losses by length of time the security has been in a continual unrealized loss position:

	Less than 12 Months					12 Months or More					Total
	Fair Value		Gross Unrealized Losses			Fair Value		Gross Unrealized Losses			Fair Value		Gross Unrealized Losses
March 31, 2020	($ in thousands)
Fixed maturities:
Non-U.S. government and government agency bonds	$	120,115	$	(6,564	)	$	—	$	—		$	120,115	$	(6,564	)
Corporate bonds	86,724		(4,969		)	—		—			86,724		(4,969		)
Asset-backed securities	100,514		(27,336		)	13,069		(3,889		)	113,583		(31,225		)
Mortgage-backed securities	21,784		(4,556		)	—		—			21,784		(4,556		)
Total	$	329,137	$	(43,425	)	$	13,069	$	(3,889	)	$	342,206	$	(47,314	)
December 31, 2019
Fixed maturities:
U.S. government and government agency bonds	$	36,540	$	(137	)	$	—	$	—		$	36,540	$	(137	)
Non-U.S. government and government agency bonds	51,779		(1,027		)	5,410		(6		)	57,189		(1,033		)
Corporate bonds	9,854		(41		)	—		—			9,854		(41		)
Asset-backed securities	55,194		(504		)	19,430		(231		)	74,624		(735		)
Mortgage-backed securities	14,481		(44		)	—		—			14,481		(44		)
Total	$	167,848	$	(1,753	)	$	24,840	$	(237	)	$	192,688	$	(1,990	)

Contractual maturities of investments

The amortized cost and fair value of our fixed maturities classified as available for sale, summarized by contractual maturity as of March 31, 2020 and December 31, 2019 are shown in the following tables.

	March 31, 2020
	Amortized Cost		Estimated Fair Value		% of Fair Value
	($ in thousands)
Due in one year or less	$	15,055	$	14,846	2.1	%
Due after one year through five years	423,133		428,376		59.7	%
Due after five years through ten years	127,826		127,555		17.8	%
Due after ten years	12,672		11,407		1.6	%
Asset-backed securities	144,808		113,583		15.8	%
Mortgage-backed securities	26,341		21,785		3.0	%
Total investments, available for sale	$	749,835	$	717,552	100.0	%

	December 31, 2019
	Amortized Cost		Estimated Fair Value		% of Fair Value
	($ in thousands)
Due in one year or less	$	9,235	$	9,248	1.3	%
Due after one year through five years	414,235		417,921		56.0	%
Due after five years through ten years	133,822		136,329		18.3	%
Due after ten years	11,833		12,026		1.6	%
Asset-backed securities	145,555		145,434		19.5	%
Mortgage-backed securities	24,776		24,750		3.3	%
Total investments, available for sale	$	739,456	$	745,708	100.0	%

The amortized cost and fair value of our term loans, fixed maturities and short-term investments, excluding securities classified as available for sale, summarized by contractual maturity as of March 31, 2020 and December 31, 2019 are shown in the following tables.

	March 31, 2020
	Amortized Cost		Estimated Fair Value		% of Fair Value
	($ in thousands)
Due in one year or less	$	368,381	$	361,088	22.0	%
Due after one year through five years	809,886		660,746		40.2	%
Due after five years through ten years	582,501		472,336		28.7	%
Asset-backed securities	198,262		140,613		8.6	%
Mortgage-backed securities	7,289		8,529		0.5	%
Total	$	1,966,319	$	1,643,312	100.0	%

	December 31, 2019
	Amortized Cost		Estimated Fair Value		% of Fair Value
	($ in thousands)
Due in one year or less	$	368,452	$	370,479	20.5	%
Due after one year through five years	779,643		742,960		41.1	%
Due after five years through ten years	514,961		495,416		27.4	%
Due after ten years	514		533		—	%
Asset-backed securities	200,361		190,737		10.6	%
Mortgage-backed securities	7,399		7,706		0.4	%
Total	$	1,871,330	$	1,807,831	100.0	%

Summary of fair value option and fair value through net income

The following table summarizes the fair value of the Company’s securities held as of March 31, 2020 and December 31, 2019, classified as fair value through net income or for which the fair value option was elected:

	Cost or Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses			Fair Value
	($ in thousands)
March 31, 2020
Term loan investments	$	1,113,510	$	986	$	(207,497	)	$	906,999
Fixed maturities:
Corporate bonds	296,918		4,038		(59,878		)	241,078
U.S. government and government agency bonds	586		11		—			597
Asset-backed securities	198,262		2,231		(59,880		)	140,613
Mortgage-backed securities	7,289		1,649		(409		)	8,529
Non-U.S. government and government agency bonds	1,443		42		(103		)	1,382
Municipal government and government agency bonds	252		1		—			253
Short-term investments	348,059		542		(4,740		)	343,861
Other investments	28,673		2,009		—			30,682
Equities	53,111		12,130		(7,150		)	58,091
Investments, fair value option	$	2,048,103	$	23,639	$	(339,657	)	$	1,732,085
Fair Value Through Net Income:
Equities, fair value through net income	$	88,134	$	1,855	$	(26,820	)	$	63,169

	Cost or Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses			Fair Value
	($ in thousands)
December 31, 2019
Term loan investments	$	1,113,212	$	7,340	$	(58,618	)	$	1,061,934
Fixed maturities:
Corporate bonds	221,024		8,430		(15,100		)	214,354
U.S. government and government agency bonds	1,963		1		(2		)	1,962
Asset-backed securities	200,361		3,329		(12,953		)	190,737
Mortgage-backed securities	7,399		712		(405		)	7,706
Non-U.S. government and government agency bonds	1,449		18		(11		)	1,456
Municipal government and government agency bonds	380		—		(1		)	379
Short-term investments	325,542		3,817		(56		)	329,303
Other investments	28,672		2,264		(475		)	30,461
Equities	54,893		10,690		(5,784		)	59,799
Investments, fair value option	$	1,954,895	$	36,601	$	(93,405	)	$	1,898,091
Fair Value Through Net Income:
Equities, fair value through net income	$	78,031	$	2,360	$	(15,053	)	$	65,338

Summary of investments classified by investment rating

The table below summarizes the credit quality of our total investments as of March 31, 2020 and December 31, 2019, as rated by Standard & Poor’s Financial Services, LLC, or Standard & Poor’s, Moody’s Investors Service, or Moody’s, Fitch Ratings Inc., or Fitch, Kroll Bond Rating Agency, or KBRA, or DBRS Morningstar, or DBRS, as applicable:

	Credit Rating (1)
March 31, 2020	Fair Value		AAA		AA		A		BBB		BB		B		CCC		CC		C		D		Not Rated
	($ in thousands)
Term loan investments	$	906,999	$	—	$	—	$	—	$	—	$	10,277	$	650,028	$	161,307	$	2,823	$	1,314	$	1,590	$	79,660
Fixed maturities:
Corporate bonds	408,140		—		34,647		76,063		58,018		19,222		84,955		118,847		1,872		—		3,699		10,817
U.S. government and government agency bonds	265,423		—		265,423		—		—		—		—		—		—		—		—		—
Asset-backed securities	254,196		1,628		—		19,319		181,547		19,727		7,395		1,418		—		—		—		23,162
Mortgage-backed securities	30,314		—		—		4,600		17,185		1,190		—		—		—		—		2,552		4,787
Non-U.S. government and government agency bonds	149,858		—		149,858		—		—		—		—		—		—		—		—		—
Municipal government and government agency bonds	2,073		1,023		570		480		—		—		—		—		—		—		—		—
Total fixed income instruments	2,017,003		2,651		450,498		100,462		256,750		50,416		742,378		281,572		4,695		1,314		7,841		118,426
Short-term investments	343,861		30,174		154,787		402		110,795		—		40,000		—		—		—		—		7,703
Total fixed income instruments and short-term investments	2,360,864		32,825		605,285		100,864		367,545		50,416		782,378		281,572		4,695		1,314		7,841		126,129
Other Investments	30,682
Equities	121,260
Total	$	2,512,806	$	32,825	$	605,285	$	100,864	$	367,545	$	50,416	$	782,378	$	281,572	$	4,695	$	1,314	$	7,841	$	126,129

(1) For individual fixed maturity investments, Standard & Poor’s ratings are used. In the absence of a Standard & Poor’s rating, ratings from Moody’s are used, followed by ratings from Fitch, followed by ratings from KBRA, followed by ratings from DBRS.

	Credit Rating (1)
December 31, 2019	Fair Value		AAA		AA		A		BBB		BB		B		CCC		CC		C		D		Not Rated
	($ in thousands)
Term loan investments	$	1,061,934	$	—	$	—	$	—	$	—	$	9,617	$	761,168	$	215,909	$	6,823	$	2,119	$	—	$	66,298
Fixed maturities:
Corporate bonds	372,473		—		36,128		81,401		41,103		9,003		58,345		135,613		—		—		—		10,880
U.S. government and government agency bonds	285,609		—		285,609		—		—		—		—		—		—		—		—		—
Asset-backed securities	336,171		2,006		—		29,179		223,956		29,695		18,381		—		—		—		—		32,954
Mortgage-backed securities	32,456		—		—		1,100		23,650		976		—		—		—		—		2,497		4,233
Non-U.S. government and government agency bonds	133,409		—		132,460		—		949		—		—		—		—		—		—		—
Municipal government and government agency bonds	2,184		1,135		573		476		—		—		—		—		—		—		—		—
Total fixed income instruments	2,224,236		3,141		454,770		112,156		289,658		49,291		837,894		351,522		6,823		2,119		2,497		114,365
Short-term investments	329,303		25,783		136,842		34,903		115,155		—		—		8,359		—		—		—		8,261
Total fixed income instruments and short-term investments	2,553,539		28,924		591,612		147,059		404,813		49,291		837,894		359,881		6,823		2,119		2,497		122,626
Other Investments	30,461
Equities	125,137
Total	$	2,709,137	$	28,924	$	591,612	$	147,059	$	404,813	$	49,291	$	837,894	$	359,881	$	6,823	$	2,119	$	2,497	$	122,626

(1) For individual fixed maturity investments, Standard & Poor’s ratings are used. In the absence of a Standard & Poor’s rating, ratings from Moody’s are used, followed by ratings from Fitch, followed by ratings from KBRA, followed by ratings from DBRS.

Summary of components of net investment income

The components of net investment income (loss) for the three months ended March 31, 2020 and 2019 were derived from the following sources:

	Three Months Ended March 31, 2020
	Net Interest Income			Net Unrealized Gains (Losses)			Net Realized Gains (Losses)			Net Investment Income (Loss)
	($ in thousands)
Net investment income (loss) by asset class:
Term loan investments	$	21,018		$	(155,233	)	$	(8,145	)	$	(142,360	)
Fixed maturities - Fair value option	9,068			(89,675		)	(1,244		)	(81,851		)
Fixed maturities - Available for sale (1)	4,660			—			2,180			6,840
Short-term investments	1,850			(3,440		)	87			(1,503		)
Equities (2)	—			76			1,041			1,117
Equities, fair value through net income (2)	377			(12,275		)	(212		)	(12,110		)
Other investments	851			220			—			1,071
Other (3)	—			(25,129		)	1,247			(23,882		)
Investment management fees - related parties	(4,352		)	—			—			(4,352		)
Borrowing and miscellaneous other investment expenses	(5,669		)	—			—			(5,669		)
	$	27,803		$	(285,456	)	$	(5,046	)	$	(262,699	)

(1) Net realized gains (losses) from the fixed maturities available for sale portfolio consists of realized gains and realized losses of $3.3 million and $1.1 million, respectively. Realized losses include an allowance for expected credit losses on available for sale securities of $0.6 million for the three months ended March 31, 2020.

(2) Net interest income includes dividends for securities held in long and short positions.

(3) Other includes unrealized gains and unrealized losses for total return swaps.

	Three Months Ended March 31, 2019
	Net Interest Income			Net Unrealized Gains (Losses)			Net Realized Gains (Losses)			Net Investment Income (Loss)
	($ in thousands)
Net investment income (loss) by asset class:
Term loan investments	$	22,410		$	9,366		$	64		$	31,840
Fixed maturities - Fair value option	16,043			19,975			(749		)	35,269
Fixed maturities - Available for sale (1)	3,422			—			395			3,817
Short-term investments	524			(448		)	—			76
Equities (2)	120			2,158			—			2,278
Equities, fair value through net income (2)	622			(1,989		)	1,572			205
Other investments	—			1,794			—			1,794
Other (3)	—			1,582			—			1,582
Investment management fees - related parties	(4,409		)	—			—			(4,409		)
Borrowing and miscellaneous other investment expenses	(8,298		)	—			—			(8,298		)
Investment performance fees - related parties	—			—			—			(5,800		)
	$	30,434		$	32,438		$	1,282		$	58,354

(1) Net realized gains (losses) from the fixed maturities available for sale portfolio consists of realized gains and realized losses of $498.0 thousand and $103.0 thousand, respectively.

(2) Net interest income includes dividends for securities held in long and short positions.

(3) Other includes unrealized gains and unrealized losses for total return swaps.