Investment securities (Tables)

6 Months Ended

Jun. 30, 2019


	For the three months ended				For the six months ended
	June 30,				June 30,
(Millions)	2019		2018		2019		2018
Fixed maturity investments	$	13.1	$	13.7	$	27.2	$	23.6
Short-term investments		4.8		0.5		7.9		1.3
Equity securities		7.1		7.1		9.8		8.3
Other long-term investments		3.2		1.3		7.1		2.5
Total investment income		28.2		22.6		52.0		35.7
Investment expenses		(3.8)		(3.4)		(7.5)		(5.7)
Net investment income	$	24.4	$	19.2	$	44.5	$	30.0

Schedule of net realized and unrealized investment gains (losses)


	For the three months ended June 30,				For the six months ended June 30,
(Millions)	2019		2018		2019		2018
Gross realized gains	$	26.9	$	12.0	$	41.0	$	20.4
Gross realized (losses)		(11.3)		(4.2)		(16.4)		(16.3)
Net realized gains (losses) on investments(1)(2)		15.6		7.8		24.6		4.1
Net unrealized gains (losses) on investments(3)(4)		15.5		24.7		89.5		40.7
Net realized and unrealized gains (losses) on investments	$	31.1	$	32.5	$	114.1	$	44.8

(1) Includes $9.7 and $7.1 of realized gains due to foreign currency for the three months ended June 30, 2019 and 2018, respectively.

(2) Includes $20.5 and $6.0 of realized gains due to foreign currency for the six months ended June 30, 2019 and 2018, respectively.

(3) Includes $(7.2) and $29.7 of unrealized (losses) gains due to foreign currency for the three months ended June 30, 2019 and 2018, respectively.

(4) Includes $17.8 and $48.6 of unrealized gains due to foreign currency for the six months ended June 30, 2019 and 2018, respectively.

Schedule of net realized investment gains (losses)


	For the three months ended June 30,				For the six months ended June 30,
(Millions)	2019		2018		2019		2018
Fixed maturity investments	$	8.1	$	3.6	$	14.9	$	0.8
Equity securities		(1.2)		1.7		(1.8)		0.2
Short-term investments		3.1		—		3.2		—
Derivative instruments		(0.2)		—		(0.8)		—
Other long-term investments		5.8		2.5		9.1		3.1
Net realized investment gains (losses)	$	15.6	$	7.8	$	24.6	$	4.1

Schedule of net unrealized investment gains (losses)


	For the three months ended June 30,				For the six months ended June 30,
(Millions)	2019		2018		2019		2018
Fixed maturity investments	$	11.0	$	17.8	$	40.7	$	20.8
Equity securities		13.3		(5.2)		38.4		1.2
Short-term investments		(0.9)		—		1.8		—
Derivative instruments		(0.1)		—		(0.7)		—
Other long-term investments		(7.8)		12.1		9.3		18.7
Net unrealized investment (losses) gains	$	15.5	$	24.7	$	89.5	$	40.7

Level 3

Marketable securities

Schedule of net unrealized investment gains (losses)


	For the three months ended				For the six months ended
	June 30,				June 30,
(Millions)	2019		2018		2019		2018
Fixed maturity investments	$	—	$	(2.1)	$	—	$	(2.1)
Other long-term investments		—		7.3		8.8		7.7
Total unrealized investment gains (losses) - Level 3 investments	$	—	$	5.2	$	8.8	$	5.6

Hedge funds and private equity funds

Marketable securities

Schedule of redemption frequency and advance notice period requirements for investments

The following summarizes the June 30, 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	$	—	$	32.3	$	—	$	—	$	32.3
Quarterly		0.8		—		—		—		0.8
Semi-annual		—		0.7		—		—		0.7
Annual		—		15.4		50.4		20.8		86.6
Total	$	0.8	$	48.4	$	50.4	$	20.8	$	120.4

Private equity securities

Marketable securities

Schedule of investment securities by lock-up period.

As of June 30, 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	$	10.6	$	4.2	$	156.7	$	171.5

Fixed maturity investments

Marketable securities

Schedule of investment securities and other long-term investments


	June 30, 2019
							Net foreign
	Cost or		Gross		Gross		currency
	amortized		unrealized		unrealized		gains
(Millions)	cost		gains		(losses)		(losses)		Fair value
Corporate debt securities	$	588.8	$	5.0	$	(1.1)	$	13.9	$	606.6
Residential mortgage-backed securities		381.5		9.9		(1.7)		8.3		398.0
Asset-backed securities		510.9		1.0		(1.8)		3.5		513.6
Commercial mortgage-backed securities		106.3		0.8		(0.5)		1.2		107.8
Non-U.S. government and government agency		27.9		—		—		0.6		28.5
U.S. government and government agency		155.1		1.1		(0.1)		1.3		157.4
Preferred stocks		1.1		0.1		—		—		1.2
U.S. States, municipalities and political subdivision		2.6		—		—		—		2.6
Total fixed maturity investments	$	1,774.2	$	17.9	$	(5.2)	$	28.8	$	1,815.7


	December 31, 2018
							Net foreign
	Cost or		Gross		Gross		currency
	amortized		unrealized		unrealized		gains
(Millions)	cost		gains		(losses)		(losses)		Fair 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


	June 30, 2019				December 31, 2018
	Cost or		Fair		Cost or
(Millions)	amortized cost		value		amortized cost		Fair value
Due in one year or less	$	197.9	$	202.9	$	249.6	$	254.6
Due after one year through five years		523.5		538.7		635.6		636.4
Due after five years through ten years		52.9		53.4		26.2		25.7
Due after ten years		0.1		0.1		0.1		0.1
Mortgage-backed and asset-backed securities		998.7		1,019.4		1,026.9		1,023.9
Preferred stocks		1.1		1.2		14.5		8.5
Total	$	1,774.2	$	1,815.7	$	1,952.9	$	1,949.2

Schedule of ratings and fair value of fixed maturity investments


(Millions)	June 30, 2019		December 31, 2018
AAA	$	597.8	$	602.0
AA		746.8		818.0
A		278.2		290.5
BBB		133.5		167.4
Other		59.4		71.3
Total fixed maturity investments(1)	$	1,815.7	$	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)	June 30, 2019		December 31, 2018
Hedge funds and private equity funds	$	291.9	$	301.4
Limited liability companies and private equity securities		88.0		63.6
Total other long-term investments	$	379.9	$	365.0

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

Marketable securities

Summary of investment securities by investment objective and sector


	June 30, 2019				December 31, 2018
			Unfunded				Unfunded
(Millions)	Fair Value		Commitments		Fair Value		Commitments
Hedge funds:
Long/short multi-sector	$	47.7	$	—	$	41.0	$	—
Distressed mortgage credit		49.6		—		54.8		—
Private Credit		20.8		—		20.0
Other		2.3		—		2.5		—
Total hedge funds		120.4		—		118.3		—
Private equity funds:
Energy infrastructure & services		74.8		41.9		93.7		54.2
Multi-sector		6.5		0.7		9.0		0.7
Healthcare		35.6		11.7		31.7		15.6
Life settlement		24.8		—		23.7		—
Manufacturing/Industrial		27.5		4.0		23.6		10.4
Private equity secondaries		0.8		0.8		1.1		1.1
Real estate		0.3		—		0.3		—
Other		1.2		2.6		—		—
Total private equity funds		171.5		61.7		183.1		82.0
Total hedge and private equity funds included in other long-term investments	$	291.9	$	61.7	$	301.4	$	82.0

Equity securities

Marketable securities

Schedule of investment securities and other long-term investments


(Millions)	June 30, 2019		December 31, 2018
Investment grade fixed income mutual funds	$	151.9	$	157.7
Common stocks		233.4		222.3
Other		2.5		—
Total Equity securities	$	387.8	$	380.0

Equity securities and Other long-term investments

Marketable securities

Schedule of investment securities and other long-term investments


	June 30, 2019
	Cost or		Gross		Gross		Net foreign
	amortized		unrealized		unrealized		currency
(Millions)	cost		gains		losses		gains		Fair value
Equity securities	$	376.2	$	38.6	$	(36.7)	$	9.7	$	387.8
Other long-term investments	$	349.9	$	44.2	$	(24.6)	$	10.4	$	379.9


	December 31, 2018
	Cost or		Gross		Gross		Net foreign
	amortized		unrealized		unrealized		currency
(Millions)	cost		gains		losses		gains		Fair 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