Investment securities (Tables)

3 Months Ended

Mar. 31, 2019

Marketable securities

Schedule of net investment income

	For the three months ended
	March 31,
(Millions)	2019		2018
Fixed maturity investments	$	16.8	$	9.9
Short-term investments		0.4		0.8
Equity securities		2.7		1.2
Other long-term investments		3.9		1.2
Total investment income		23.8		13.1
Investment expenses		(3.7)		(2.3)
Net investment income	$	20.1	$	10.8

Schedule of net realized and unrealized investment (losses) gains

	For the three months ended March 31,
(Millions)	2019		2018
Gross realized gains	$	14.1	$	8.4
Gross realized (losses)		(5.1)		(12.1)
Net realized gains (losses) on investments(1)		9.0		(3.7)
Net unrealized gains on investments(2)		74.0		16.0
Net realized and unrealized investment gains on investments	$	83.0	$	12.3

⁽¹⁾ Includes $10.9 and $(1.1) of realized gains (losses) due to foreign currency during 2019 and 2018, respectively.

⁽²⁾ Includes $25.0 and $18.9 ofunrealized gains due to foreign currency during 2019 and 2018, respectively.

Schedule of net realized investment gains (losses)

	For the three months ended March 31,
(Millions)	2019		2018
Fixed maturity investments	$	6.8	$	(2.8)
Short-term investments		0.1		—
Equity securities		(0.6)		(1.5)
Other long-term investments		3.3		0.6
Derivative instruments(1)		(0.6)		—
Net realized investment gains (losses)	$	9.0	$	(3.7)

(1) See Note 11.

Schedule of net unrealized investment gains (losses)

	For the three months ended March 31,
(Millions)	2019		2018
Fixed maturity investments	$	29.7	$	3.0
Short-term investments		2.7		—
Equity securities		25.1		6.4
Other long-term investments		17.1		6.6
Derivative instruments(1)		(0.6)		—
Net unrealized investment gains	$	74.0	$	16.0

(1) See Note 11.

Level 3

Marketable securities

Schedule of net unrealized investment gains (losses)

	For the three months ended
	March 31,
(Millions)	2019		2018
Other long-term investments	$	8.8	$	0.4
Total unrealized investment gains - Level 3 investments	$	8.8	$	0.4

Hedge funds and private equity funds

Marketable securities

Schedule of redemption frequency and advance notice period requirements for investments

The following summarizes the March 31, 2019 fair value of hedge funds subject to restrictions on redemption frequency and advance notice period requirements for investments in active hedge funds:

	Notice Period
Redemption Frequency	30-59 days		60-89 days		90-119 days		120+ days
(Millions)	notice		notice		notice		notice		Total
Monthly	$	—	$	32.7	$	—	$	—	$	32.7
Quarterly		0.8		—		—		—		0.8
Semi-annual		—		0.8		—		—		0.8
Annual		—		16.9		51.6		20.3		88.8
Total	$	0.8	$	50.4	$	51.6	$	20.3	$	123.1

Private equity securities

Marketable securities

Schedule of investment securities by lock-up period.

As of March 31, 2019, investments in private equity funds were subject to lock-up periods as follows:

(Millions)	1 - 3 years		3 – 5 years		5 – 10 years		Total
Private Equity Funds – expected lock-up period remaining	$	12.6	$	4.3	$	161.7	$	178.6

Fixed maturity investments

Marketable securities

Schedule of investment securities and other long-term investments

	March 31, 2019
							Net foreign
	Cost or		Gross		Gross		currency
	amortized		unrealized		unrealized		gains		Fair
(Millions)	cost		gains		losses		(losses)		value
Corporate debt securities	$	614.6	$	3.0	$	(2.7)	$	13.2	$	628.1
Asset-backed securities		476.7		0.3		(3.9)		3.8		476.9
Residential mortgage-backed securities		415.1		5.2		(3.9)		9.4		425.8
U.S. government and government agency		151.9		0.3		(0.2)		6.4		158.4
Commercial mortgage-backed securities		113.6		0.4		(1.6)		1.2		113.6
Non-U.S. government and government agency		37.8		—		(0.1)		0.8		38.5
Preferred stocks		2.5		0.1		—		(0.1)		2.5
U.S. States, municipalities and political subdivision		2.6		—		—		—		2.6
Total fixed maturity investments	$	1,814.8	$	9.3	$	(12.4)	$	34.7	$	1,846.4

	December 31, 2018
							Net foreign
	Cost or		Gross		Gross		currency
	amortized		unrealized		unrealized		gains		Fair
(Millions)	cost		gains		losses		(losses)		value
Corporate debt securities	$	694.1	$	1.4	$	(7.3)	$	7.6	$	695.8
Asset-backed securities		496.3		0.1		(3.8)		1.9		494.5
Residential mortgage-backed securities		413.0		1.7		(7.1)		5.9		413.5
U.S. government and government agency		163.9		0.3		(0.5)		4.2		167.9
Commercial mortgage-backed securities		117.7		0.2		(2.7)		0.7		115.9
Non-U.S. government and government agency		50.6		—		(0.2)		(0.1)		50.3
Preferred stocks		14.5		0.6		(6.8)		0.2		8.5
U.S. States, municipalities and political subdivision		2.8		—		—		—		2.8
Total fixed maturity investments	$	1,952.9	$	4.3	$	(28.4)	$	20.4	$	1,949.2

Schedule of fixed maturity investment by contractual maturity

	March 31, 2019				December 31, 2018
	Cost or		Fair		Cost or		Fair
(Millions)	amortized cost		value		amortized cost		value
Due in one year or less	$	241.7	$	250.0	$	249.6	$	254.6
Due after one year through five years		554.3		566.8		635.6		636.4
Due after five years through ten years		10.9		10.8		26.2		25.7
Due after ten years		—		—		0.1		0.1
Mortgage-backed and asset-backed securities		1,005.4		1,016.3		1,026.9		1,023.9
Preferred stocks		2.5		2.5		14.5		8.5
Total	$	1,814.8	$	1,846.4	$	1,952.9	$	1,949.2

Schedule of ratings and fair value of fixed maturity investments

(Millions)	March 31, 2019		December 31, 2018
AAA	$	575.6	$	602.0
AA		799.8		818.0
A		254.2		290.5
BBB		154.4		167.4
Other		62.4		71.3
Total fixed maturity investments(1)	$	1,846.4	$	1,949.2

⁽¹⁾ Credit ratings are assigned based on the following hierarchy: 1) Standard & Poor's (“S&P”) and 2) Moody's Investors Service (“Moody’s”).

Other long-term investments

Marketable securities

Schedule of investment securities and other long-term investments

(Millions)	March 31, 2019		December 31, 2018
Hedge funds and private equity funds	$	301.7	$	301.4
Limited liability companies and private equity securities		88.0		63.6
Total other long-term investments	$	389.7	$	365.0

Other long-term investments | Hedge funds and private equity funds

Marketable securities

Summary of investment securities by investment objective and sector

	March 31, 2019				December 31, 2018
			Unfunded				Unfunded
(Millions)	Fair Value		Commitments		Fair Value		Commitments
Hedge funds:
Long/short multi-sector	$	49.5	$	—	$	41.0	$	—
Distressed mortgage credit		50.8		—		54.8		—
Private Credit		20.3		—		20.0		—
Other		2.5		—		2.5		—
Total hedge funds		123.1		—		118.3		—
Private equity funds:
Energy infrastructure & services		87.5		30.7		93.7		54.2
Multi-sector		9.2		0.7		9.0		0.7
Healthcare		31.7		15.6		31.7		15.6
Life settlement		23.9		—		23.7		—
Manufacturing/Industrial		23.6		3.1		23.6		10.4
Private equity secondaries		1.1		1.1		1.1		1.1
Real estate		0.3		—		0.3		—
Other		1.3		2.0		—		—
Total private equity funds		178.6		53.2		183.1		82.0
Total hedge and private equity funds included in other long-term investments	$	301.7	$	53.2	$	301.4	$	82.0

Equity securities and Other long-term investments

Marketable securities

Schedule of investment securities and other long-term investments

	March 31, 2019
	Cost or		Gross		Gross		Net foreign
	amortized		unrealized		unrealized		currency		Fair
(Millions)	cost		gains		losses		gains		value
Equity securities	$	398.4	$	26.2	$	(38.7)	$	8.5	$	394.4
Other long-term investments	$	351.7	$	48.3	$	(20.5)	$	10.2	$	389.7

	December 31, 2018
	Cost or		Gross		Gross		Net foreign
	amortized		unrealized		unrealized		currency		Fair
(Millions)	cost		gains		losses		gains		value
Equity securities	$	409.4	$	17.8	$	(50.8)	$	3.6	$	380.0
Other long-term investments	$	337.6	$	32.6	$	(13.5)	$	8.3	$	365.0