Investment information (Tables)

6 Months Ended

Jun. 30, 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 June 30, 2020 and December 31, 2019:

	Cost or Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses (1)			Fair Value
	($ in thousands)
June 30, 2020
Fixed maturities:
U.S. government and government agency bonds	$	215,127	$	1,741	$	(4	)	$	216,864
Non-U.S. government and government agency bonds	151,335		4,998		(6,591		)	149,742
Corporate bonds	164,417		7,215		(2,224		)	169,408
Asset-backed securities	141,760		134		(11,567		)	130,327
Mortgage-backed securities	24,498		17		(2,497		)	22,018
Municipal government and government agency bonds	1,760		106		—			1,866
Total investments, available for sale	$	698,897	$	14,211	$	(22,883	)	$	690,225

(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 June 30, 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 $0.4 million for securities with an unrealized loss of $2.6 million as of June 30, 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
	($ in thousands)
June 30, 2020
Fixed maturities:
U.S. government and government agency bonds	$	28,550	$	(4	)	$	—	$	—		$	28,550	$	(4	)
Non-U.S. government and government agency bonds	121,648		(6,591		)	—		—			121,648		(6,591		)
Corporate bonds	24,696		(2,224		)	—		—			24,696		(2,224		)
Asset-backed securities	105,868		(9,343		)	16,135		(2,224		)	122,003		(11,567		)
Mortgage-backed securities	21,415		(2,497		)	—		—			21,415		(2,497		)
Total	$	302,177	$	(20,659	)	$	16,135	$	(2,224	)	$	318,312	$	(22,883	)
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 June 30, 2020 and December 31, 2019 are shown in the following tables.

	June 30, 2020
	Amortized Cost		Estimated Fair Value		% of Fair Value
	($ in thousands)
Due in one year or less	$	19,500	$	19,525	2.8	%
Due after one year through five years	345,922		349,444		50.6	%
Due after five years through ten years	152,830		155,652		22.6	%
Due after ten years	14,387		13,259		1.9	%
Asset-backed securities	141,760		130,327		18.9	%
Mortgage-backed securities	24,498		22,018		3.2	%
Total investments, available for sale	$	698,897	$	690,225	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 June 30, 2020 and December 31, 2019 are shown in the following tables.

	June 30, 2020
	Amortized Cost		Estimated Fair Value		% of Fair Value
	($ in thousands)
Due in one year or less	$	423,881	$	415,624	23.2	%
Due after one year through five years	797,528		708,229		39.5	%
Due after five years through ten years	538,257		495,214		27.6	%
Due after ten years	8,136		7,480		0.4	%
Asset-backed securities	198,619		157,925		8.8	%
Mortgage-backed securities	6,950		9,164		0.5	%
Total	$	1,973,371	$	1,793,636	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 June 30, 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)
June 30, 2020
Term loan investments	$	991,130	$	1,959	$	(117,529	)	$	875,560
Fixed maturities:
Corporate bonds	403,424		11,858		(36,589		)	378,693
U.S. government and government agency bonds	584		11		—			595
Asset-backed securities	198,619		2,229		(42,923		)	157,925
Mortgage-backed securities	6,950		2,257		(43		)	9,164
Non-U.S. government and government agency bonds	1,437		52		(107		)	1,382
Municipal government and government agency bonds	251		—		—			251
Short-term investments	370,976		597		(1,507		)	370,066
Other investments	28,673		5,469		—			34,142
Equities	50,863		13,524		(5,489		)	58,898
Investments, fair value option	$	2,052,907	$	37,956	$	(204,187	)	$	1,886,676
Fair Value Through Net Income:
Equities, fair value through net income	$	72,892	$	6,956	$	(17,404	)	$	62,444

	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 June 30, 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)
June 30, 2020	Fair Value		AAA		AA		A		BBB		BB		B		CCC		CC		C		D		Not Rated
	($ in thousands)
Term loan investments	$	875,560	$	—	$	—	$	—	$	—	$	23,218	$	530,118	$	247,478	$	15,191	$	2,192	$	28,046	$	29,317
Fixed maturities:
Corporate bonds	548,101		—		16,032		90,087		96,231		55,066		152,648		113,723		6,268		5,585		3,956		8,505
U.S. government and government agency bonds	217,459		—		217,459		—		—		—		—		—		—		—		—		—
Asset-backed securities	288,252		1,377		—		23,475		207,617		23,675		8,767		1,663		—		—		—		21,678
Mortgage-backed securities	31,182		—		602		4,794		16,622		1,292		—		—		—		—		3,224		4,648
Non-U.S. government and government agency bonds	151,124		—		151,124		—		—		—		—		—		—		—		—		—
Municipal government and government agency bonds	2,117		1,039		586		492		—		—		—		—		—		—		—		—
Total fixed income instruments	2,113,795		2,416		385,803		118,848		320,470		103,251		691,533		362,864		21,459		7,777		35,226		64,148
Short-term investments	370,066		38,307		194,822		60,880		73,874		502		—		—		—		—		—		1,681
Total fixed income instruments and short-term investments	2,483,861		40,723		580,625		179,728		394,344		103,753		691,533		362,864		21,459		7,777		35,226		65,829
Other Investments	34,142
Equities	121,342
Total	$	2,639,345	$	40,723	$	580,625	$	179,728	$	394,344	$	103,753	$	691,533	$	362,864	$	21,459	$	7,777	$	35,226	$	65,829

(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 and six months ended June 30, 2020 and 2019 were derived from the following sources:

	Three Months Ended June 30, 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	$	18,022		$	90,951	$	(6,142	)	$	102,831
Fixed maturities - Fair value option	10,887			45,781		230			56,898
Fixed maturities - Available for sale (1)	3,648			—		8,911			12,559
Short-term investments	2,881			3,513		38			6,432
Equities (2)	—			5,792		(3,156		)	2,636
Equities, fair value through net income (2)	196			11,781		(6,085		)	5,892
Other investments	819			3,463		—			4,282
Other (3)	—			16,783		203			16,986
Investment management fees - related parties	(4,262		)	—		—			(4,262		)
Borrowing and miscellaneous other investment expenses	(4,763		)	—		—			(4,763		)
	$	27,428		$	178,064	$	(6,001	)	$	199,491

(1) Net realized gains (losses) from the fixed maturities available for sale portfolio consists of realized gains and realized losses of $9.5 million and $0.6 million, respectively. Realized gains include a reversal of the allowance for expected credit losses on available for sale securities of $0.2 million for the three months ended June 30, 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 June 30, 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	$	22,665		$	(11,437	)	$	148		$	11,376
Fixed maturities - Fair value option	9,592			8,995			1,655			20,242
Fixed maturities - Available for sale (1)	4,411			—			1,816			6,227
Short-term investments	1,055			(48		)	25			1,032
Equities (2)	80			(1,096		)	—			(1,016		)
Equities, fair value through net income (2)	793			3,687			(3,599		)	881
Other investments	—			(2,213		)	(202		)	(2,415		)
Other (3)	—			387			946			1,333
Investment management fees - related parties	(4,570		)	—			—			(4,570		)
Borrowing and miscellaneous other investment expenses	(7,611		)	—			—			(7,611		)
Investment performance fees - related parties	—			—			—			(1,692		)
	$	26,415		$	(1,725	)	$	789		$	23,787

(1) Net realized gains (losses) from the fixed maturities available for sale portfolio consists of realized gains and realized losses of $1.9 million and $0.1 million, 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.

	Six Months Ended June 30, 2020
	Net Interest Income			Net Unrealized Gains (Losses)			Net Realized Gains (Losses)			Net Investment Income (Loss)
Net investment income (loss) by asset class:	($ in thousands)
Term loan investments	$	39,040		$	(64,282	)	$	(14,287	)	$	(39,529	)
Fixed maturities - Fair value option	19,955			(43,894		)	(1,014		)	(24,953		)
Fixed maturities - Available for sale (1)	8,308			—			11,091			19,399
Short-term investments	4,731			73			125			4,929
Equities (2)	—			5,868			(3,195		)	2,673
Equities, fair value through net income (2)	573			(494		)	(5,217		)	(5,138		)
Other investments	1,670			3,683			—			5,353
Other (3)	—			(8,346		)	1,450			(6,896		)
Investment management fees - related parties	(8,614		)	—			—			(8,614		)
Borrowing and miscellaneous other investment expenses	(10,432		)	—			—			(10,432		)
	$	55,231		$	(107,392	)	$	(11,047	)	$	(63,208	)

(1) Net realized gains (losses) from the fixed maturities available for sale portfolio consists of realized gains and realized losses of $12.8 million and $1.7 million, respectively. Realized losses include an allowance for expected credit losses on available for sale securities of $0.4 million for the six months ended June 30, 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.

	Six Months Ended June 30, 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	$	45,075		$	(2,071	)	$	212		$	43,216
Fixed maturities - Fair value option	25,635			28,970			906			55,511
Fixed maturities - Available for sale (1)	7,833			—			2,211			10,044
Short-term investments	1,579			(496		)	25			1,108
Equities (2)	200			1,062			—			1,262
Equities, fair value through net income (2)	1,415			1,698			(2,027		)	1,086
Other investments	—			(419		)	(202		)	(621		)
Other (3)	—			1,969			946			2,915
Investment management fees - related parties	(8,979		)	—			—			(8,979		)
Borrowing and miscellaneous other investment expenses	(15,909		)	—			—			(15,909		)
Investment performance fees - related parties	—			—			—			(7,492		)
	$	56,849		$	30,713		$	2,071		$	82,141

(1) Net realized gains (losses) from the fixed maturities available for sale portfolio consists of realized gains and realized losses of $2.4 million and $0.2 million, 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.