As at June 30, 2023 | As at December 31, 2022 | |||||||||||||
ASSETS | ||||||||||||||
Fixed income maturities, available for sale (amortized cost — 2023: $ net of allowance for expected credit losses 2023: $ | $ | $ | ||||||||||||
Fixed income maturities, trading at fair value (amortized cost — 2023: $ | ||||||||||||||
Short-term investments, available for sale (amortized cost — 2023: $ | ||||||||||||||
Short-term investments, trading at fair value (amortized cost — 2023: $ | ||||||||||||||
Catastrophe bonds, trading at fair value (amortized cost — 2023: $ | ||||||||||||||
Privately-held investments, trading at fair value (amortized cost — 2023: $ | ||||||||||||||
Investments, equity method | ||||||||||||||
Other investments, at fair value (2) | ||||||||||||||
Total investments | ||||||||||||||
Cash and cash equivalents (including cash within consolidated variable interest entities of — 2023: $ | ||||||||||||||
Unpaid losses recoverable from reinsurers (net of allowance for expected credit losses of 2023: $ | ||||||||||||||
Ceded unearned premiums | ||||||||||||||
Underwriting premiums receivables (net of allowance for expected credit losses of 2023: $ | ||||||||||||||
Other receivables | ||||||||||||||
Funds withheld | ||||||||||||||
Deferred acquisition costs | ||||||||||||||
Derivative assets | ||||||||||||||
Receivables for securities sold | ||||||||||||||
Tax assets | ||||||||||||||
Other assets | ||||||||||||||
Intangible assets and goodwill | ||||||||||||||
Total assets | $ | $ |
LIABILITIES | ||||||||||||||
Losses and loss adjustment expenses | $ | $ | ||||||||||||
Unearned premiums | ||||||||||||||
Total insurance reserves | ||||||||||||||
Reinsurance premiums | ||||||||||||||
Tax liabilities | ||||||||||||||
Accrued expenses and other payables (4) | ||||||||||||||
Payables for securities purchased | ||||||||||||||
Operating lease liabilities | ||||||||||||||
Derivative liabilities | ||||||||||||||
Short-term debt | ||||||||||||||
Total liabilities | $ | $ | ||||||||||||
Commitments and contingent liabilities (see Note 12) | ||||||||||||||
SHAREHOLDERS’ EQUITY | ||||||||||||||
(December 31, 2022 — | $ | $ | ||||||||||||
Preference shares (5) | ||||||||||||||
Additional paid-in capital (5) | ||||||||||||||
Retained earnings | ||||||||||||||
Accumulated other comprehensive (loss) | ( | ( | ||||||||||||
Total shareholders’ equity | ||||||||||||||
Total liabilities and shareholders’ equity | $ | $ |
Six Months Ended June 30, | ||||||||||||||
2023 | 2022 | |||||||||||||
Revenues | ||||||||||||||
Net earned premium | ||||||||||||||
Net investment income (1) | ||||||||||||||
Realized and unrealized investment gains | ||||||||||||||
Total revenues | ||||||||||||||
Expenses | ||||||||||||||
Losses and loss adjustment expenses | ||||||||||||||
Acquisition costs | ||||||||||||||
General, administrative and other expenses (2)(3) | ||||||||||||||
Interest expense | ||||||||||||||
Change in fair value of derivatives (gains)/losses | ( | |||||||||||||
Realized and unrealized investment losses (4) | ||||||||||||||
Net realized and unrealized foreign exchange losses/(gains) | ( | |||||||||||||
Total expenses | ||||||||||||||
Income from operations before income taxes | ||||||||||||||
Income tax (expense) | ( | ( | ||||||||||||
Net income | ||||||||||||||
Dividends on preference shares | ( | ( | ||||||||||||
Net income attributable to Aspen Insurance Holdings Limited’s ordinary shareholders | ||||||||||||||
Other Comprehensive Income/(Loss): | ||||||||||||||
Available for sale investments: | ||||||||||||||
Reclassification adjustment for net realized gains on investments included in net income | ||||||||||||||
Change in net unrealized gains/(losses) on available for sale securities held | ( | |||||||||||||
Net change from current period hedged transactions | ( | ( | ||||||||||||
Change in foreign currency translation adjustment | ( | |||||||||||||
Other comprehensive income/(loss), before income taxes | ( | |||||||||||||
Income tax (expense)/benefit thereon: | ||||||||||||||
Change in net unrealized gains on available for sale securities held | ( | |||||||||||||
Net change from current period hedged transactions | ||||||||||||||
Total income tax (expense)/benefit allocated to other comprehensive income/(loss) | ( | |||||||||||||
Other comprehensive income/(loss), net of income taxes | ( | |||||||||||||
Total comprehensive income/(loss) attributable to Aspen Insurance Holdings Limited’s ordinary shareholders | ( | |||||||||||||
Six Months Ended June 30, | ||||||||||||||
2023 | 2022 | |||||||||||||
Ordinary shares | ||||||||||||||
Beginning of the year | $ | $ | ||||||||||||
End of the period | ||||||||||||||
Preference shares (1) | ||||||||||||||
Beginning of the year | ||||||||||||||
End of the period | ||||||||||||||
Additional paid-in capital (1) | ||||||||||||||
Beginning of the year | ||||||||||||||
End of the period | ||||||||||||||
Retained earnings | ||||||||||||||
Beginning of the year | ||||||||||||||
Net income for the period | ||||||||||||||
Dividends on ordinary shares | ( | ( | ||||||||||||
Dividends on preference shares | ( | ( | ||||||||||||
End of the period | ||||||||||||||
Accumulated other comprehensive (loss): | ||||||||||||||
Cumulative foreign currency translation adjustments: | ||||||||||||||
Beginning of the year | ( | ( | ||||||||||||
Change for the period, net of income taxes | ( | |||||||||||||
End of the period | ( | ( | ||||||||||||
Gain (loss) on derivatives: | ||||||||||||||
Beginning of the year | ( | |||||||||||||
Net change from current period hedged transactions, net of income taxes | ( | ( | ||||||||||||
End of the period | ( | |||||||||||||
Unrealized appreciation on available for sale investments: | ||||||||||||||
Beginning of the year | ( | |||||||||||||
Change for the period, net of income taxes | ( | |||||||||||||
End of the period | ( | ( | ||||||||||||
Total accumulated other comprehensive (loss) | ( | ( | ||||||||||||
Total shareholders’ equity | $ | $ |
Six Months Ended June 30, | ||||||||||||||
2023 | 2022 | |||||||||||||
Cash flows (used in)/from operating activities: | ||||||||||||||
Net income | $ | $ | ||||||||||||
Adjustments to reconcile net income to net cash flows from operating activities: | ||||||||||||||
Depreciation and amortization | ||||||||||||||
Amortization of right-of-use operating lease assets | ||||||||||||||
Interest on operating lease liabilities | ||||||||||||||
Net (additions) of right-to-use operating lease assets | ( | |||||||||||||
Net disposals of lease liabilities | ||||||||||||||
Lease repayments | ( | |||||||||||||
Realized and unrealized investment gains | ( | ( | ||||||||||||
Realized and unrealized investment losses | ||||||||||||||
Deferred tax expense/(benefit) | ( | |||||||||||||
Net realized and unrealized investment foreign exchange (gains)/losses | ( | |||||||||||||
Net change from current period hedged transactions | ( | ( | ||||||||||||
Unrealized loss/(gain) on real estate funds in net investment income | ( | |||||||||||||
Changes in: | ||||||||||||||
Insurance reserves: | ||||||||||||||
Losses and loss adjustment expenses | ( | |||||||||||||
Unearned premiums | ||||||||||||||
Reinsurance recoverables: | ||||||||||||||
Unpaid losses | ( | |||||||||||||
Ceded unearned premiums | ( | ( | ||||||||||||
Other receivables | ( | |||||||||||||
Deferred acquisition costs | ( | ( | ||||||||||||
Reinsurance premiums payable | ( | |||||||||||||
Funds withheld | ||||||||||||||
Premiums receivable | ( | ( | ||||||||||||
Income tax payable | ( | |||||||||||||
Accrued expenses and other payable | ( | ( | ||||||||||||
Derivative assets and derivative liabilities | ||||||||||||||
Other assets | ( | ( | ||||||||||||
Net cash from operating activities |
Six Months Ended June 30, | ||||||||||||||
2023 | 2022 | |||||||||||||
Cash flows (used in)/from investing activities: | ||||||||||||||
(Purchases) of fixed income securities — Available for sale | $ | ( | $ | ( | ||||||||||
(Purchases) of fixed income securities — Trading | ( | ( | ||||||||||||
Proceeds from sales and maturities of fixed income securities — Available for sale | ||||||||||||||
Proceeds from sales and maturities of fixed income securities — Trading | ||||||||||||||
(Purchases) of short-term investments — Available for sale | ( | ( | ||||||||||||
Proceeds from sale of short-term investments — Available for sale | ||||||||||||||
(Purchases) of short-term investments — Trading | ( | |||||||||||||
Proceeds from sale of short-term investments — Trading | ||||||||||||||
(Purchases) of privately-held investments — Trading | ( | ( | ||||||||||||
Proceeds from sale of privately-held investments — Trading | ||||||||||||||
Net change in (payable)/receivable for securities (purchased)/sold | ||||||||||||||
(Purchases) of other investments | ( | ( | ||||||||||||
Net proceeds from sales of other investments | ||||||||||||||
Net (purchases) of fixed assets | ( | ( | ||||||||||||
Investment in Multiline reinsurer | ( | ( | ||||||||||||
Net (purchases) of investments, equity method | ( | |||||||||||||
Net cash (used in) investing activities | ( | ( | ||||||||||||
Cash flows (used in)/from financing activities: | ||||||||||||||
Dividends paid on ordinary shares | ( | ( | ||||||||||||
Dividends paid on preference shares | ( | ( | ||||||||||||
Net cash (used in) financing activities | ( | ( | ||||||||||||
Effect of exchange rate movements on cash and cash equivalents | ( | |||||||||||||
Increase/(decrease) in cash and cash equivalents | ( | |||||||||||||
Cash and cash equivalents at beginning of period | ||||||||||||||
Cash and cash equivalents at end of period (1) | $ | $ | ||||||||||||
Six Months Ended June 30, 2023 | |||||||||||||||||
Reinsurance | Insurance | Total | |||||||||||||||
($ in millions) | |||||||||||||||||
Underwriting Revenues | |||||||||||||||||
Gross written premiums | $ | $ | $ | ||||||||||||||
Net written premiums | |||||||||||||||||
Net earned premiums | |||||||||||||||||
Underwriting Expenses | |||||||||||||||||
Losses and loss adjustment expenses | |||||||||||||||||
Acquisition costs | |||||||||||||||||
General and administrative expenses | |||||||||||||||||
Underwriting income | |||||||||||||||||
Corporate and other expenses (1) | ( | ||||||||||||||||
Non-operating expenses | ( | ||||||||||||||||
Net investment income | |||||||||||||||||
Realized and unrealized investment gains | |||||||||||||||||
Realized and unrealized investment losses | ( | ||||||||||||||||
Change in fair value of derivatives | |||||||||||||||||
Interest expense | ( | ||||||||||||||||
Net realized and unrealized foreign exchange losses | ( | ||||||||||||||||
Income before income taxes | |||||||||||||||||
Income tax (expense) | ( | ||||||||||||||||
Net income | $ | ||||||||||||||||
Net reserves for loss and loss adjustment expenses | $ | $ | $ | ||||||||||||||
Ratios | |||||||||||||||||
Loss ratio | % | % | % | ||||||||||||||
Acquisition cost ratio | |||||||||||||||||
General and administrative expense ratio | |||||||||||||||||
Expense ratio | |||||||||||||||||
Combined ratio | % | % | % |
Six Months Ended June 30, 2022 | |||||||||||||||||
Reinsurance | Insurance | Total | |||||||||||||||
( $ in millions) | |||||||||||||||||
Underwriting Revenues | |||||||||||||||||
Gross written premiums | $ | $ | $ | ||||||||||||||
Net written premiums | |||||||||||||||||
Net earned premiums | |||||||||||||||||
Underwriting Expenses | |||||||||||||||||
Losses and loss adjustment expenses | |||||||||||||||||
Acquisition costs | |||||||||||||||||
General and administrative expenses | |||||||||||||||||
Underwriting income | |||||||||||||||||
Corporate and other expenses (1) | ( | ||||||||||||||||
Non-operating expenses | ( | ||||||||||||||||
Net investment income | |||||||||||||||||
Realized and unrealized investment gains | |||||||||||||||||
Realized and unrealized investment losses | ( | ||||||||||||||||
Change in fair value of derivatives | ( | ||||||||||||||||
Interest expense | ( | ||||||||||||||||
Net realized and unrealized foreign exchange gains | |||||||||||||||||
Income before income taxes | |||||||||||||||||
Income tax (expense) | ( | ||||||||||||||||
Net income | $ | ||||||||||||||||
Net reserves for loss and loss adjustment expenses | $ | $ | $ | ||||||||||||||
Ratios | |||||||||||||||||
Loss ratio | % | % | % | ||||||||||||||
Acquisition cost ratio | |||||||||||||||||
General and administrative expense ratio | |||||||||||||||||
Expense ratio | |||||||||||||||||
Combined ratio | % | % | % |
For the Six Months Ended | ||||||||||||||
June 30, 2023 | June 30, 2022 | |||||||||||||
($ in millions) | ||||||||||||||
Fixed income securities — Available for sale | $ | $ | ||||||||||||
Fixed income securities — Trading | ||||||||||||||
Short-term investments — Available for sale | ||||||||||||||
Short-term investments — Trading | ||||||||||||||
Fixed term deposits (included in cash and cash equivalents) | ||||||||||||||
Catastrophe bonds — Trading | ||||||||||||||
Privately-held investments — Trading | ||||||||||||||
Other investments, at fair value (1) | ( | |||||||||||||
Total | ||||||||||||||
Investment expenses | ( | ( | ||||||||||||
Net investment income | $ | $ |
For the Six Months Ended | ||||||||||||||
June 30, 2023 | June 30, 2022 | |||||||||||||
($ in millions) | ||||||||||||||
Available for sale: | ||||||||||||||
Fixed income securities — gross realized gains | $ | $ | ||||||||||||
Fixed income securities — gross realized (losses) | ( | ( | ||||||||||||
Short-term investments — gross realized (losses) | ( | |||||||||||||
Cash and cash equivalents — gross realized gains | ||||||||||||||
Cash and cash equivalents — gross realized (losses) | ( | ( | ||||||||||||
Net change in expected credit gains/(losses) | ( | |||||||||||||
Trading: | ||||||||||||||
Fixed income securities — gross realized gains | ||||||||||||||
Fixed income securities — gross realized (losses) | ( | ( | ||||||||||||
Short-term investments — gross realized gains | ||||||||||||||
Short-term investments — gross realized (losses) | ( | |||||||||||||
Privately-held investments — gross realized gains | ||||||||||||||
Privately-held investments — net unrealized (losses) | ( | ( | ||||||||||||
Catastrophe bonds — net unrealized (losses) | ( | ( | ||||||||||||
Fixed income securities — net unrealized gains/(losses) | ( | |||||||||||||
Investments — equity method: | ||||||||||||||
Net change in realized and unrealized gains in Multi-Line Reinsurer | ||||||||||||||
Total net realized and unrealized investment gains/(losses) recorded in the consolidated statement of operations | $ | $ | ( | |||||||||||
Change in available for sale net unrealized gains/(losses): | ||||||||||||||
Fixed income securities gains/(losses) | ( | |||||||||||||
Income tax (expense)/benefit | ( | |||||||||||||
Total change in net unrealized gains/(losses), net of taxes recorded in other comprehensive income | $ | $ | ( |
As at June 30, 2023 | ||||||||||||||||||||||||||||||||
Cost or Amortized Cost | Gross Unrealized Gains | Gross Unrealized Losses | Allowance for Credit Losses (1) | Fair Market Value | ||||||||||||||||||||||||||||
($ in millions) | ||||||||||||||||||||||||||||||||
U.S. government | $ | $ | $ | ( | $ | $ | ||||||||||||||||||||||||||
U.S. agency | ( | |||||||||||||||||||||||||||||||
Municipal | ( | ( | ||||||||||||||||||||||||||||||
Corporate | ( | ( | ||||||||||||||||||||||||||||||
Non-U.S. government-backed corporate | ( | |||||||||||||||||||||||||||||||
Non-U.S. government | ( | ( | ||||||||||||||||||||||||||||||
Non-agency commercial mortgage-backed | ( | |||||||||||||||||||||||||||||||
Agency mortgage-backed | ( | |||||||||||||||||||||||||||||||
Total fixed income securities — Available for sale | ( | ( | ||||||||||||||||||||||||||||||
Total short-term investments — Available for sale | ||||||||||||||||||||||||||||||||
Total | $ | $ | $ | ( | $ | ( | $ |
As at December 31, 2022 | ||||||||||||||||||||||||||||||||
Cost or Amortized Cost | Gross Unrealized Gains | Gross Unrealized Losses | Allowance for Credit Losses | Fair Market Value | ||||||||||||||||||||||||||||
($ in millions) | ||||||||||||||||||||||||||||||||
U.S. government | $ | $ | $ | ( | $ | $ | ||||||||||||||||||||||||||
U.S. agency | ( | |||||||||||||||||||||||||||||||
Municipal | ( | ( | ||||||||||||||||||||||||||||||
Corporate | ( | ( | ||||||||||||||||||||||||||||||
Non-U.S. government-backed corporate | ( | ( | ||||||||||||||||||||||||||||||
Non-U.S. government | ( | ( | ||||||||||||||||||||||||||||||
Non-agency commercial mortgage-backed | ( | |||||||||||||||||||||||||||||||
Agency mortgage-backed | ( | |||||||||||||||||||||||||||||||
Total fixed income securities — Available for sale | ( | ( | ||||||||||||||||||||||||||||||
Total short-term investments — Available for sale | ( | |||||||||||||||||||||||||||||||
Total | $ | $ | $ | ( | $ | ( | $ |
As at June 30, 2023 | ||||||||||||||||||||||||||
Cost or Amortized Cost | Gross Unrealized Gains | Gross Unrealized Losses | Fair Market Value | |||||||||||||||||||||||
($ in millions) | ||||||||||||||||||||||||||
Fixed Income Securities — Trading | ||||||||||||||||||||||||||
U.S. government | $ | $ | $ | ( | $ | |||||||||||||||||||||
Municipal | ( | |||||||||||||||||||||||||
Corporate | ( | |||||||||||||||||||||||||
High yield loans | ( | |||||||||||||||||||||||||
Non-U.S. government-backed corporate | ( | |||||||||||||||||||||||||
Non-U.S. government | ( | |||||||||||||||||||||||||
Asset-backed | ( | |||||||||||||||||||||||||
Agency mortgage-backed | ( | |||||||||||||||||||||||||
Total fixed income securities — Trading | ( | |||||||||||||||||||||||||
Short-term investments — Trading | ||||||||||||||||||||||||||
Catastrophe bonds — Trading | ||||||||||||||||||||||||||
Privately-held investments — Trading | ||||||||||||||||||||||||||
Commercial mortgage loans | $ | $ | $ | ( | $ | |||||||||||||||||||||
Middle market loans | ( | |||||||||||||||||||||||||
Asset-backed securities | ( | |||||||||||||||||||||||||
Global corporate securities | ( | |||||||||||||||||||||||||
Equity securities | ||||||||||||||||||||||||||
Total privately-held investments — Trading | ( | |||||||||||||||||||||||||
Total Investments — Trading | $ | $ | $ | ( | $ |
As at December 31, 2022 | ||||||||||||||||||||||||||
Cost or Amortized Cost | Gross Unrealized Gains | Gross Unrealized Losses | Fair Market Value | |||||||||||||||||||||||
($ in millions) | ||||||||||||||||||||||||||
Fixed Income Securities — Trading | ||||||||||||||||||||||||||
U.S. government | $ | $ | $ | ( | $ | |||||||||||||||||||||
Municipal | ( | |||||||||||||||||||||||||
Corporate | ( | |||||||||||||||||||||||||
High yield loans | ( | |||||||||||||||||||||||||
Non-U.S. government-backed corporate | ( | |||||||||||||||||||||||||
Non-U.S. government | ( | |||||||||||||||||||||||||
Asset-backed | ( | |||||||||||||||||||||||||
Agency mortgage-backed | ( | |||||||||||||||||||||||||
Total fixed income securities — Trading | ( | |||||||||||||||||||||||||
Short-term investments — Trading | ||||||||||||||||||||||||||
Catastrophe bonds — Trading | ( | |||||||||||||||||||||||||
Privately-held investments — Trading | ||||||||||||||||||||||||||
Commercial mortgage loans | $ | ( | $ | |||||||||||||||||||||||
Middle market loans | ( | |||||||||||||||||||||||||
Asset-backed securities | ( | |||||||||||||||||||||||||
Global corporate securities | ( | |||||||||||||||||||||||||
Short-term investments | ||||||||||||||||||||||||||
Equity securities | ||||||||||||||||||||||||||
Total privately-held investments — Trading | ( | |||||||||||||||||||||||||
Total Investments — Trading | $ | $ | $ | ( | $ |
As at June 30, 2023 | As at December 31, 2022 | |||||||||||||||||||||||||
Net Carrying Value | Percentage of Total | Net Carrying Value | Percentage of Total | |||||||||||||||||||||||
($ millions) | (%) | ($ millions) | (%) | |||||||||||||||||||||||
Property type | ||||||||||||||||||||||||||
Apartment | ||||||||||||||||||||||||||
Hotels | ||||||||||||||||||||||||||
Office building | ||||||||||||||||||||||||||
Other commercial | ||||||||||||||||||||||||||
Retail | ||||||||||||||||||||||||||
Industrial | ||||||||||||||||||||||||||
Total commercial mortgage loans | $ | % | % | |||||||||||||||||||||||
Geographic Region | ||||||||||||||||||||||||||
U.S. | ||||||||||||||||||||||||||
International | ||||||||||||||||||||||||||
Total commercial mortgage loans | $ | % | % | |||||||||||||||||||||||
As at June 30, 2023 | As at December 31, 2022 | |||||||||||||
(in millions) | ||||||||||||||
Less than 50% | $ | $ | ||||||||||||
50% to 60% | ||||||||||||||
61% to 70% | ||||||||||||||
Commercial mortgage loans | $ | $ |
As at June 30, 2023 | As at December 31, 2022 | |||||||||||||
(in millions) | ||||||||||||||
Greater than 1.20x | $ | $ | ||||||||||||
1.00 - 1.20x | ||||||||||||||
Less than 1.00x | ||||||||||||||
Commercial mortgage loans (1) | $ | $ | ||||||||||||
As at June 30, 2023 | As at December 31, 2022 | |||||||||||||||||||||||||
Net Carrying Value | Percentage of Total | Net Carrying Value | Percentage of Total | |||||||||||||||||||||||
($ millions) | (%) | ($ millions) | (%) | |||||||||||||||||||||||
Industry type | ||||||||||||||||||||||||||
Materials | ||||||||||||||||||||||||||
Financials | ||||||||||||||||||||||||||
Industrials | ||||||||||||||||||||||||||
Consumer discretionary | ||||||||||||||||||||||||||
Energy | ||||||||||||||||||||||||||
Information technology | ||||||||||||||||||||||||||
Total middle market mortgage loans | $ | % | $ | % | ||||||||||||||||||||||
Geographic Region | ||||||||||||||||||||||||||
U.S. | ||||||||||||||||||||||||||
International | ||||||||||||||||||||||||||
Total middle market loans | $ | % | $ | % |
As at June 30, 2023 | As at December 31, 2022 | |||||||||||||
(in millions) | ||||||||||||||
Less than 50% | $ | $ | ||||||||||||
50% to 60% | ||||||||||||||
61% to 70% | ||||||||||||||
Middle market loans | $ | $ |
As at June 30, 2023 | As at December 31, 2022 | |||||||||||||
(in millions) | ||||||||||||||
Greater than 1.20x | $ | $ | ||||||||||||
1.00 - 1.20x | ||||||||||||||
Less than 1.00x | ||||||||||||||
Middle market loans | $ | $ |
MVI | Multi-Line Reinsurer | Digital Re | Total | |||||||||||||||||||||||
($ in millions) | ||||||||||||||||||||||||||
Opening undistributed value of investment as at January 1, 2023 | $ | $ | $ | $ | ||||||||||||||||||||||
Investment in the period | ||||||||||||||||||||||||||
Unrealized gain for the period to June 30, 2023 | ||||||||||||||||||||||||||
Closing value of investment as at June 30, 2023 | ||||||||||||||||||||||||||
Opening undistributed value of investment as at January 1, 2022 | $ | $ | $ | $ | ||||||||||||||||||||||
Investment in the period | ||||||||||||||||||||||||||
Unrealized (loss)/gain for the period to December 31, 2022 | ( | |||||||||||||||||||||||||
Closing value of investments at December 31, 2022 | $ | $ | $ | $ |
As at June 30, 2023 | ||||||||||||||||||||
Amortized Cost or Cost | Fair Market Value | Average S&P Ratings by Maturity | ||||||||||||||||||
($ in millions) | ||||||||||||||||||||
Due one year or less | $ | $ | ||||||||||||||||||
Due after one year through five years | ||||||||||||||||||||
Due after five years through ten years | ||||||||||||||||||||
Due after ten years | ||||||||||||||||||||
Total — Government and corporate | ||||||||||||||||||||
Non-agency commercial mortgage-backed | ||||||||||||||||||||
Agency mortgage-backed | ||||||||||||||||||||
Total fixed income securities — Available for sale | $ | $ |
As at December 31, 2022 | ||||||||||||||||||||
Amortized Cost or Cost | Fair Market Value | Average S&P Ratings by Maturity | ||||||||||||||||||
($ in millions) | ||||||||||||||||||||
Due one year or less | $ | $ | ||||||||||||||||||
Due after one year through five years | ||||||||||||||||||||
Due after five years through ten years | ||||||||||||||||||||
Due after ten years | ||||||||||||||||||||
Total — Government and corporate | ||||||||||||||||||||
Non-agency commercial mortgage-backed | ||||||||||||||||||||
Agency mortgage-backed | ||||||||||||||||||||
Total fixed income securities — Available for sale | $ | $ |
June 30, 2023 | ||||||||||||||||||||||||||||||||||||||||||||
0-12 months | Over 12 months | Total | ||||||||||||||||||||||||||||||||||||||||||
Fair Market Value | Gross Unrealized Losses | Fair Market Value | Gross Unrealized Losses | Fair Market Value | Gross Unrealized Losses | Number of Securities | ||||||||||||||||||||||||||||||||||||||
($ in millions) | ||||||||||||||||||||||||||||||||||||||||||||
U.S. government | $ | $ | ( | $ | $ | ( | $ | $ | ( | |||||||||||||||||||||||||||||||||||
U.S. agency | ( | ( | ||||||||||||||||||||||||||||||||||||||||||
Municipal | ( | ( | ( | |||||||||||||||||||||||||||||||||||||||||
Corporate | ( | ( | ( | |||||||||||||||||||||||||||||||||||||||||
Non-U.S. government-backed corporate | ( | ( | ||||||||||||||||||||||||||||||||||||||||||
Non-U.S. government | ( | ( | ( | |||||||||||||||||||||||||||||||||||||||||
Non-agency commercial mortgage-backed | ( | ( | ||||||||||||||||||||||||||||||||||||||||||
Agency mortgage-backed | ( | ( | ( | |||||||||||||||||||||||||||||||||||||||||
Total fixed income securities — Available for sale | ( | ( | ( | |||||||||||||||||||||||||||||||||||||||||
Total short-term investments — Available for sale | ||||||||||||||||||||||||||||||||||||||||||||
Total | $ | $ | ( | $ | $ | ( | $ | $ | ( |
December 31, 2022 | ||||||||||||||||||||||||||||||||||||||||||||
0-12 months | Over 12 months | Total | ||||||||||||||||||||||||||||||||||||||||||
Fair Market Value | Gross Unrealized Losses | Fair Market Value | Gross Unrealized Losses | Fair Market Value | Gross Unrealized Losses | Number of Securities | ||||||||||||||||||||||||||||||||||||||
($ in millions) | ||||||||||||||||||||||||||||||||||||||||||||
U.S. government | $ | $ | ( | $ | $ | ( | $ | $ | ( | |||||||||||||||||||||||||||||||||||
U.S. agency | ( | ( | ||||||||||||||||||||||||||||||||||||||||||
Municipal | ( | ( | ( | |||||||||||||||||||||||||||||||||||||||||
Corporate | ( | ( | ( | |||||||||||||||||||||||||||||||||||||||||
Non-U.S. government-backed corporate | ( | ( | ( | |||||||||||||||||||||||||||||||||||||||||
Non-U.S. government | ( | ( | ( | |||||||||||||||||||||||||||||||||||||||||
Non-agency commercial mortgage-backed securities | ( | ( | ||||||||||||||||||||||||||||||||||||||||||
Agency mortgage-backed | ( | ( | ( | |||||||||||||||||||||||||||||||||||||||||
Total fixed income securities — Available for sale | ( | ( | ( | |||||||||||||||||||||||||||||||||||||||||
Total short-term investments — Available for sale | ( | ( | ||||||||||||||||||||||||||||||||||||||||||
Total | $ | $ | ( | $ | $ | ( | $ | $ | ( |
As at June 30, 2023 | ||||||||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||||||||||||
($ in millions) | ||||||||||||||||||||||||||
Fixed income securities, available for sale. at fair value | ||||||||||||||||||||||||||
U.S. government | $ | $ | $ | $ | ||||||||||||||||||||||
U.S. agency | ||||||||||||||||||||||||||
Municipal | ||||||||||||||||||||||||||
Corporate | ||||||||||||||||||||||||||
Non-U.S. government-backed corporate | ||||||||||||||||||||||||||
Non-U.S. government | ||||||||||||||||||||||||||
Non-agency commercial mortgage-backed | ||||||||||||||||||||||||||
Agency mortgage-backed | ||||||||||||||||||||||||||
Total fixed income securities available for sale, at fair value | ||||||||||||||||||||||||||
Short-term investments available for sale, at fair value | ||||||||||||||||||||||||||
Fixed income securities, trading, at fair value | ||||||||||||||||||||||||||
Municipal | ||||||||||||||||||||||||||
Corporate | ||||||||||||||||||||||||||
Non-U.S. government-backed corporate | ||||||||||||||||||||||||||
High yield loans | ||||||||||||||||||||||||||
Non-U.S. government | ||||||||||||||||||||||||||
Asset-backed | ||||||||||||||||||||||||||
Agency mortgage-backed | ||||||||||||||||||||||||||
Total fixed income securities trading, at fair value | ||||||||||||||||||||||||||
Short-term investments trading, at fair value | ||||||||||||||||||||||||||
Privately-held investments trading, at fair value | ||||||||||||||||||||||||||
Catastrophe bonds trading, at fair value | ||||||||||||||||||||||||||
Other investments (1) | ||||||||||||||||||||||||||
Other financial assets and liabilities, at fair value | ||||||||||||||||||||||||||
Derivative assets — foreign exchange contracts | ||||||||||||||||||||||||||
Derivative liabilities — foreign exchange contracts | ( | ( | ||||||||||||||||||||||||
Derivative liabilities — loss portfolio transfer(2) | ( | ( | ||||||||||||||||||||||||
Total |
As at December 31, 2022 | |||||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||||||
($ in millions) | |||||||||||||||||||||||
Fixed income securities, available for sale. at fair value | |||||||||||||||||||||||
U.S. government | $ | $ | $ | $ | |||||||||||||||||||
U.S. agency | |||||||||||||||||||||||
Municipal | |||||||||||||||||||||||
Corporate | |||||||||||||||||||||||
Non-U.S. government-backed corporate | |||||||||||||||||||||||
Non-U.S. government | |||||||||||||||||||||||
Non-agency commercial mortgage-backed | |||||||||||||||||||||||
Agency mortgage-backed | |||||||||||||||||||||||
Total fixed income securities available for sale, at fair value | |||||||||||||||||||||||
Short-term investments available for sale, at fair value | |||||||||||||||||||||||
Fixed income securities, trading, at fair value | |||||||||||||||||||||||
U.S. government | |||||||||||||||||||||||
Municipal | |||||||||||||||||||||||
Corporate | |||||||||||||||||||||||
Non-U.S. government-backed corporate | |||||||||||||||||||||||
High yield loans | |||||||||||||||||||||||
Non-U.S. government | |||||||||||||||||||||||
Asset-backed | |||||||||||||||||||||||
Agency mortgage-backed | |||||||||||||||||||||||
Total fixed income securities trading, at fair value | |||||||||||||||||||||||
Short-term investments trading, at fair value | |||||||||||||||||||||||
Privately-held investments | |||||||||||||||||||||||
Catastrophe bonds trading, at fair value | |||||||||||||||||||||||
Other investments (1) | |||||||||||||||||||||||
Other financial assets and liabilities, at fair value | |||||||||||||||||||||||
Derivative assets — foreign exchange contracts | |||||||||||||||||||||||
Derivative liabilities — foreign exchange contracts | ( | ( | |||||||||||||||||||||
Derivative liabilities — loss portfolio transfer | ( | ( | |||||||||||||||||||||
Total | $ | $ | $ | $ |
Six Months Ended June 30, 2023 | Balance at beginning of period | Purchases and issuances | Transfers (out) | Settlements and sales | Increase/(decrease) in fair value including net income | Balance at end of period | ||||||||||||||||||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||||||||||||||||||||
Privately-held investments — trading | ||||||||||||||||||||||||||||||||||||||||||||
Commercial mortgage loans | $ | $ | $ | $ | ( | $ | ( | $ | $ | ( | ||||||||||||||||||||||||||||||||||
Middle market loans | ( | ( | ||||||||||||||||||||||||||||||||||||||||||
Asset-backed securities | ( | ( | ( | |||||||||||||||||||||||||||||||||||||||||
Global corporate securities | ( | ( | ||||||||||||||||||||||||||||||||||||||||||
Equity securities | ( | ( | ( | |||||||||||||||||||||||||||||||||||||||||
Short-term investments | ( | |||||||||||||||||||||||||||||||||||||||||||
Total Level 3 assets | $ | $ | $ | ( | $ | ( | $ | ( | $ | $ | ( | |||||||||||||||||||||||||||||||||
Liabilities | ||||||||||||||||||||||||||||||||||||||||||||
Derivative liabilities - loss portfolio transfer | $ | ( | $ | $ | $ | $ | $ | ( | $ | |||||||||||||||||||||||||||||||||||
Total Level 3 liabilities | $ | ( | $ | $ | $ | $ | $ | ( | $ | |||||||||||||||||||||||||||||||||||
Twelve Months Ended December 31, 2022 | ||||||||||||||||||||||||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||||||||||||||||||||
Privately-held investments — trading | ||||||||||||||||||||||||||||||||||||||||||||
Commercial mortgage loans | $ | $ | $ | $ | ( | $ | ( | $ | $ | ( | ||||||||||||||||||||||||||||||||||
Middle market loans | ( | ( | ( | |||||||||||||||||||||||||||||||||||||||||
Asset-backed securities | ( | ( | ( | |||||||||||||||||||||||||||||||||||||||||
Global corporate securities | ( | |||||||||||||||||||||||||||||||||||||||||||
Equity securities | ( | ( | ||||||||||||||||||||||||||||||||||||||||||
Short-term investments | ||||||||||||||||||||||||||||||||||||||||||||
Total Level 3 assets | $ | $ | $ | $ | ( | $ | ( | $ | $ | ( | ||||||||||||||||||||||||||||||||||
Liabilities | ||||||||||||||||||||||||||||||||||||||||||||
Derivative liabilities - loss portfolio transfer | $ | $ | ( | $ | $ | $ | ( | $ | ( | $ | ||||||||||||||||||||||||||||||||||
Total Level 3 liabilities | $ | $ | ( | $ | $ | $ | ( | $ | ( | $ |
At June 30, 2023 | Fair Value Level 3 | Valuation Techniques | Unobservable (U) inputs | Ranges | Weighted Average | |||||||||||||||||||||||||||||||||
($ in millions) | ||||||||||||||||||||||||||||||||||||||
Privately-held investments — Trading | ||||||||||||||||||||||||||||||||||||||
Commercial mortgage loans | $ | Discounted cash flow | Discount rate | — | ||||||||||||||||||||||||||||||||||
Commercial mortgage loans | 3rd party NAV | n/a | n/a | n/a | n/a | |||||||||||||||||||||||||||||||||
Middle market loans | Discounted cash flow | Discount rate | — | |||||||||||||||||||||||||||||||||||
Asset-backed securities | Discounted cash flow | Discount rate | — | |||||||||||||||||||||||||||||||||||
Global corporate securities | Discounted cash flow | Discount rate | — | |||||||||||||||||||||||||||||||||||
Equity securities | Discounted cash flow | Discount rate | — | |||||||||||||||||||||||||||||||||||
Total | $ | |||||||||||||||||||||||||||||||||||||
Six Months Ended June 30, | ||||||||||||||
2023 | 2022 | |||||||||||||
($ in millions) | ||||||||||||||
Premiums written: | ||||||||||||||
Insurance | $ | $ | ||||||||||||
Reinsurance | ||||||||||||||
Ceded | ( | ( | ||||||||||||
Net premiums written | $ | $ | ||||||||||||
Premiums earned: | ||||||||||||||
Insurance | $ | $ | ||||||||||||
Reinsurance | ||||||||||||||
Ceded | ( | ( | ||||||||||||
Net premiums earned | $ | $ | ||||||||||||
Insurance losses and loss adjustment expenses: | ||||||||||||||
Insurance | $ | $ | ||||||||||||
Reinsurance | ||||||||||||||
Ceded | ( | ( | ||||||||||||
Net insurance losses and loss adjustment expenses | $ | $ |
As at June 30, 2023 | As at December 31, 2022 | |||||||||||||||||||||||||||||||
Derivatives Not Designated as Hedging Instruments Under ASC 815 | Balance Sheet Location | Notional Amount | Fair Value | Notional Amount | Fair Value | |||||||||||||||||||||||||||
($ in millions) | ($ in millions) | |||||||||||||||||||||||||||||||
Foreign Exchange Contracts (1) | Derivative assets | $ | $ | $ | $ | |||||||||||||||||||||||||||
Foreign Exchange Contracts | Derivative liabilities | $ | $ | ( | $ | $ | ( | |||||||||||||||||||||||||
Loss Portfolio Transfer Liability - Embedded Derivative (2) | Derivative liabilities | $ | ( | ( |
As at June 30, 2023 | As at December 31, 2022 | ||||||||||||||||||||||||||||||||||
Derivatives Designated as Hedging Instruments Under ASC 815 | Balance Sheet Location | Notional Amount | Fair Value | Notional Amount | Fair Value | ||||||||||||||||||||||||||||||
($ in millions) | ($ in millions) | ||||||||||||||||||||||||||||||||||
Foreign Exchange Contracts | Derivative assets | $ | $ | $ | $ | ||||||||||||||||||||||||||||||
For the Six Months Ended | |||||||||||||||||||||||||||||
Location of Gain/(Loss) Recognized on Derivatives | June 30, 2023 | June 30, 2022 | |||||||||||||||||||||||||||
Derivatives not designated as hedges | ($ in millions) | ||||||||||||||||||||||||||||
Foreign Exchange Contracts | Change in Fair Value of Derivatives | ( | |||||||||||||||||||||||||||
Derivatives designated as hedges | |||||||||||||||||||||||||||||
Foreign Exchange Contracts | General, administrative and corporate expenses in consolidated statement of operations | ( | |||||||||||||||||||||||||||
Foreign Exchange Contracts | Net change from current period hedged transactions in other comprehensive income | ( | ( |
As at June 30, | As at June 30, | |||||||||||||
2023 | 2022 | |||||||||||||
($ in millions) | ||||||||||||||
Provision for losses and LAE at the start of the period | $ | $ | ||||||||||||
Less reinsurance recoverable | ( | ( | ||||||||||||
Net loss and LAE at the start of the period | ||||||||||||||
Net loss and LAE expenses transferred (1) | ( | |||||||||||||
Movement in net provision for losses and LAE for claims incurred: | ||||||||||||||
Current year | ||||||||||||||
Prior years | ( | ( | ||||||||||||
Total incurred | ||||||||||||||
Net Losses and LAE payments for claims incurred: | ||||||||||||||
Current year | ( | ( | ||||||||||||
Prior years | ( | ( | ||||||||||||
Total paid | ( | ( | ||||||||||||
Foreign exchange losses/(gains) | ( | |||||||||||||
Net losses and LAE reserves at the end of the period | ||||||||||||||
Plus reinsurance recoverable on unpaid losses at the end of the period | ||||||||||||||
Provision for losses and LAE at the end of the period | $ | $ |
As at June 30, 2023 | As at December 31, 2022 | |||||||||||||||||||||||||
Number | $ in Thousands | Number | $ in Thousands | |||||||||||||||||||||||
Authorized share capital: | ||||||||||||||||||||||||||
Ordinary Shares $ | ||||||||||||||||||||||||||
Preference Shares | ||||||||||||||||||||||||||
Total authorized share capital | ||||||||||||||||||||||||||
Issued share capital: | ||||||||||||||||||||||||||
Issued ordinary shares $ | ||||||||||||||||||||||||||
Issued | ||||||||||||||||||||||||||
Issued | ||||||||||||||||||||||||||
Issued | ||||||||||||||||||||||||||
Total issued share capital |
Dividend | Payable on: | Record Date: | ||||||||||||||||||
$ | ||||||||||||||||||||
$ | ||||||||||||||||||||
$ |
As at June 30, 2023 | As at December 31, 2022 | |||||||||||||
($ in millions, except percentages) | ||||||||||||||
Regulatory trusts and deposits: | ||||||||||||||
Affiliated transactions | $ | $ | ||||||||||||
Third party | ||||||||||||||
Letters of credit / guarantees(1) | ||||||||||||||
Total restricted assets (excluding illiquid assets) | ||||||||||||||
Other investments — illiquid assets | ||||||||||||||
Total restricted assets and illiquid assets | $ | $ | ||||||||||||
Total as percent of cash and investable assets (2) | % | % |
Amount Reclassified from AOCI | ||||||||||||||||||||
Details about the AOCI Components | Six Months Ended June 30, 2023 | Six Months Ended June 30, 2022 | Affected Line Item in the Consolidated Statement of Operations | |||||||||||||||||
($ in millions) | ||||||||||||||||||||
Available for sale: | ||||||||||||||||||||
Realized gains on sale of securities and cash and cash equivalents | $ | ( | $ | ( | Realized and unrealized investment gains | |||||||||||||||
Realized losses on sale of securities and cash and cash equivalents | Realized and unrealized investment losses | |||||||||||||||||||
Income/(loss) from operations before income tax | ||||||||||||||||||||
Tax on net realized gains of securities | Income tax (expense)/benefit | |||||||||||||||||||
$ | $ | Net income/(loss) | ||||||||||||||||||
Realized derivatives: | ||||||||||||||||||||
Net realized loss on settled derivatives | ( | ( | General, administrative and corporate expenses | |||||||||||||||||
Tax on settled derivatives | Income tax (expense)/benefit | |||||||||||||||||||
$ | ( | $ | ( | Net Income/(loss) | ||||||||||||||||
Total reclassifications from AOCI to the statement of operations, net of income tax | $ | $ | Net income/(loss) |
Six Months Ended | ||||||||||||||
June 30, 2023 | June 30, 2022 | |||||||||||||
($ in millions, except for percentages) | ||||||||||||||
Underwriting Revenues | ||||||||||||||
Gross written premiums | $ | 2,125.2 | $ | 2,351.3 | ||||||||||
Net premiums written | 1,350.5 | 1,506.1 | ||||||||||||
Net premiums earned | 1,287.4 | 1,327.2 | ||||||||||||
Underwriting Expenses | ||||||||||||||
Losses and loss adjustment expenses | (717.1) | (767.7) | ||||||||||||
Acquisition costs | (192.9) | (216.5) | ||||||||||||
General and administrative expenses | (169.0) | (186.5) | ||||||||||||
Other Income and Expense | ||||||||||||||
Corporate expenses | (53.1) | (43.3) | ||||||||||||
Non-operating expenses | (10.6) | (3.6) | ||||||||||||
Net investment income | 129.4 | 88.7 | ||||||||||||
Realized and unrealized investment gains | 36.1 | 2.5 | ||||||||||||
Realized and unrealized investment losses | (18.1) | (128.9) | ||||||||||||
Change in fair value of derivatives | 19.6 | (84.9) | ||||||||||||
Interest expense | (42.9) | (9.1) | ||||||||||||
Net realized and unrealized foreign exchange (losses)/gains | (13.7) | 75.2 | ||||||||||||
Income before income tax | 255.1 | 53.1 | ||||||||||||
Income tax (expense) | (36.2) | (4.7) | ||||||||||||
Net Income | $ | 218.9 | $ | 48.4 | ||||||||||
Other Metrics | ||||||||||||||
Underwriting income | 208.4 | 156.5 | ||||||||||||
Loss ratio | 55.7 | % | 57.8 | % | ||||||||||
Expense ratio | 28.1 | % | 30.4 | % | ||||||||||
Combined ratio | 83.8 | % | 88.2 | % | ||||||||||
Adjusted combined ratio (1) | 84.8 | % | 90.2 | % |
Gross Written Premiums for the Six Months Ended June 30, | ||||||||||||||||||||
Business Segment | 2023 | 2022 | ||||||||||||||||||
($ in millions) | % change | ($ in millions) | ||||||||||||||||||
Reinsurance | $ | 875.7 | (16.2) | % | $ | 1,045.6 | ||||||||||||||
Insurance | 1,249.5 | (4.3) | % | 1,305.7 | ||||||||||||||||
Total | $ | 2,125.2 | (9.6) | % | $ | 2,351.3 |
Ceded Written Premiums for the Six Months Ended June 30, | ||||||||||||||||||||
Business Segment | 2023 | 2022 | ||||||||||||||||||
($ in millions) | % change | ($ in millions) | ||||||||||||||||||
Reinsurance | $ | 270.7 | 3.4 | % | $ | 261.9 | ||||||||||||||
Insurance | 504.0 | (13.6) | % | 583.3 | ||||||||||||||||
Total | $ | 774.7 | (8.3) | % | $ | 845.2 |
Net Premiums Earned for the Six Months Ended June 30, | ||||||||||||||||||||
Business Segment | 2023 | 2022 | ||||||||||||||||||
($ in millions) | % change | ($ in millions) | ||||||||||||||||||
Reinsurance | $ | 572.0 | (4.8) | % | $ | 600.8 | ||||||||||||||
Insurance | 715.4 | (1.5) | % | 726.4 | ||||||||||||||||
Total | $ | 1,287.4 | (3.0) | % | $ | 1,327.2 |
Six Months Ended June 30, 2023 | |||||||||||||||||||||||||||||||||||
Reinsurance | Insurance | Total | |||||||||||||||||||||||||||||||||
Net Loss Expense | Loss Ratio | Net Loss Expense | Loss Ratio | Net Loss Expense | Loss Ratio | ||||||||||||||||||||||||||||||
($ in millions) | % | ($ in millions) | % | ($ in millions) | % | ||||||||||||||||||||||||||||||
Current accident year losses, excluding catastrophe losses | $ | 259.6 | 45.4 | % | $ | 410.5 | 57.3 | % | $ | 670.1 | 52.1 | % | |||||||||||||||||||||||
Catastrophe losses | 35.5 | 6.2 | 17.9 | 2.5 | 53.4 | 4.1 | |||||||||||||||||||||||||||||
Prior year (favorable)/ adverse reserve development — Post-LPT years | 1.3 | 0.2 | 4.7 | 0.7 | 6.0 | 0.5 | |||||||||||||||||||||||||||||
Adjusted losses and loss adjustment expenses | 296.4 | 51.8 | 433.1 | 60.5 | 729.5 | 56.7 | |||||||||||||||||||||||||||||
Impact of LPT and changes in retroactive reinsurance | 0.8 | 0.2 | (13.2) | (1.8) | (12.4) | (1.0) | |||||||||||||||||||||||||||||
Total losses and loss adjustment expenses | $ | 297.2 | 52.0 | % | $ | 419.9 | 58.7 | % | $ | 717.1 | 55.7 | % |
Six Months Ended June 30, 2022 | |||||||||||||||||||||||||||||||||||
Reinsurance | Insurance | Total | |||||||||||||||||||||||||||||||||
Net Loss Expense | Loss Ratio | Net Loss Expense | Loss Ratio | Net Loss Expense | Loss Ratio | ||||||||||||||||||||||||||||||
($ in millions) | % | ($ in millions) | % | ($ in millions) | % | ||||||||||||||||||||||||||||||
Current accident year losses, excluding catastrophe losses | $ | 286.9 | 47.8 | % | $ | 395.1 | 54.4 | % | $ | 682.0 | 51.4 | % | |||||||||||||||||||||||
Catastrophe losses | 73.3 | 12.2 | 19.7 | 2.7 | 93.0 | 7.0 | |||||||||||||||||||||||||||||
Prior year (favorable)/ adverse reserve development — Post-LPT years | 22.4 | 3.7 | (3.8) | (0.5) | 18.6 | 1.4 | |||||||||||||||||||||||||||||
Adjusted losses and loss adjustment expenses | 382.6 | 63.7 | 411.0 | 56.6 | 793.6 | 59.8 | |||||||||||||||||||||||||||||
Impact of LPT and changes in retroactive deferred gain | (13.6) | (2.3) | (12.3) | (1.7) | (25.9) | (2.0) | |||||||||||||||||||||||||||||
Total losses and loss adjustment expenses | $ | 369.0 | 61.4 | % | $ | 398.7 | 54.9 | % | $ | 767.7 | 57.8 | % |
For the Six Months Ended June 30, 2023 | ||||||||||||||||||||
Ratios Based on Net Earned Premium | Reinsurance | Insurance | Total | |||||||||||||||||
Net acquisition cost ratio | 18.5 | % | 12.2 | % | 15.0 | % | ||||||||||||||
General and administrative expense ratio | 10.2 | % | 15.5 | % | 13.1 | % | ||||||||||||||
Total expense ratio | 28.7 | % | 27.7 | % | 28.1 | % |
For the Six Months Ended June 30, 2022 | ||||||||||||||||||||
Ratios Based on Net Earned Premium | Reinsurance | Insurance | Total | |||||||||||||||||
Net acquisition cost ratio | 20.7 | % | 12.7 | % | 16.3 | % | ||||||||||||||
General and administrative expense ratio | 11.6 | % | 16.1 | % | 14.1 | % | ||||||||||||||
Total expense ratio | 32.3 | % | 28.8 | % | 30.4 | % |
For the Six Months Ended June 30, | |||||||||||||||||
ACM (in $ millions) | 2023 | 2022 | |||||||||||||||
Fee income (1) | $ | 60.6 | $ | 47.0 | |||||||||||||
As at June 30, | |||||||||||||||||
2023 | 2022 | ||||||||||||||||
Assets under management (Managed third-party capital) | $ | 1,339.0 | $ | 999.2 |
Combined Ratios for the Six Months Ended June 30, | ||||||||||||||
Business Segment | 2023 | 2022 | ||||||||||||
Reinsurance | 80.7 | % | 93.7 | % | ||||||||||
Insurance | 86.4 | % | 83.7 | % | ||||||||||
Total (1) | 83.8 | % | 88.2 | % | ||||||||||
Adjusted total combined ratio (2) | 84.8 | % | 90.2 | % |
For the Six Months Ended June 30, | ||||||||||||||||||||
Lines of Business | 2023 | 2022 | ||||||||||||||||||
($ in millions) | % change | ($ in millions) | ||||||||||||||||||
Property catastrophe reinsurance | $ | 269.1 | 4.3 | % | $ | 258.1 | ||||||||||||||
Other property reinsurance | 209.0 | (17.8) | % | 254.4 | ||||||||||||||||
Casualty reinsurance | 297.0 | (9.7) | % | 328.8 | ||||||||||||||||
Specialty reinsurance | 100.6 | (50.8) | % | 204.3 | ||||||||||||||||
Total | $ | 875.7 | (16.2) | % | $ | 1,045.6 |
For the Six Months Ended June 30, | ||||||||||||||||||||
Lines of Business | 2023 | 2022 | ||||||||||||||||||
($ in millions) | % change | ($ in millions) | ||||||||||||||||||
First party and specialty insurance (1) | $ | 377.3 | (1.9) | % | $ | 384.8 | ||||||||||||||
Casualty and liability insurance | 321.5 | (9.0) | % | 353.3 | ||||||||||||||||
Financial and professional lines insurance | 550.7 | (3.0) | % | 567.6 | ||||||||||||||||
Total | $ | 1,249.5 | (4.3) | % | $ | 1,305.7 |
As at June 30, 2023 | As at December 31, 2022 | |||||||||||||||||||||||||
Estimated Fair Value | Percentage of Total Cash and Investments | Estimated Fair Value | Percentage of Total Cash and Investments | |||||||||||||||||||||||
($ in millions except for percentages) | ||||||||||||||||||||||||||
Fixed Income Securities — Available for Sale | ||||||||||||||||||||||||||
U.S. government | $ | 1,013.8 | 13.8 | % | $ | 953.0 | 13.5 | % | ||||||||||||||||||
U.S. agency | 8.2 | 0.1 | 8.8 | 0.1 | ||||||||||||||||||||||
Municipal | 149.5 | 2.0 | 149.5 | 2.1 | ||||||||||||||||||||||
Corporate | 1,875.9 | 25.6 | 1,845.0 | 26.2 | ||||||||||||||||||||||
Non-U.S. government-backed corporate | 110.9 | 1.5 | 110.4 | 1.6 | ||||||||||||||||||||||
Foreign government | 269.2 | 3.7 | 213.6 | 3.1 | ||||||||||||||||||||||
Non-agency commercial mortgage-backed | 5.7 | 0.1 | 5.6 | 0.1 | ||||||||||||||||||||||
Agency mortgage-backed | 475.0 | 6.5 | 502.7 | 7.1 | ||||||||||||||||||||||
Total Fixed Income Securities — Available for Sale | $ | 3,908.2 | 53.3 | % | $ | 3,788.6 | 53.8 | % | ||||||||||||||||||
Fixed Income Securities — Trading | ||||||||||||||||||||||||||
U.S. government | 235.0 | 3.2 | % | 261.6 | 3.7 | % | ||||||||||||||||||||
Municipal | 3.1 | — | 3.6 | 0.1 | ||||||||||||||||||||||
Corporate | 165.4 | 2.3 | 162.1 | 2.3 | ||||||||||||||||||||||
High yield loans | 86.6 | 1.2 | 88.3 | 1.2 | ||||||||||||||||||||||
Non-U.S. government-backed corporate | 9.6 | 0.1 | 11.6 | 0.2 | ||||||||||||||||||||||
Foreign government | 34.1 | 0.5 | 30.4 | 0.4 | ||||||||||||||||||||||
Asset-backed | 924.6 | 12.6 | 896.5 | 12.7 | ||||||||||||||||||||||
Agency mortgage-backed securities | 20.1 | 0.3 | 21.4 | 0.3 | ||||||||||||||||||||||
Total Fixed Income Securities — Trading | $ | 1,478.5 | 20.2 | % | $ | 1,475.5 | 20.9 | % | ||||||||||||||||||
Total other investments, equity method | 7.0 | 0.1 | 6.2 | 0.1 | ||||||||||||||||||||||
Total other investments (1) | 213.4 | 2.9 | 221.3 | 3.1 | ||||||||||||||||||||||
Total catastrophe bonds — trading | 2.4 | — | 2.9 | 0.1 | ||||||||||||||||||||||
Privately-held investments — Trading | ||||||||||||||||||||||||||
Commercial mortgage loans | 295.0 | 4.0 | 312.1 | 4.4 | ||||||||||||||||||||||
Middle market loans | 102.1 | 1.4 | 106.9 | 1.5 | ||||||||||||||||||||||
Asset-backed securities | 58.4 | 0.8 | 66.8 | 0.9 | ||||||||||||||||||||||
Global corporate securities | 14.8 | 0.2 | 14.9 | 0.2 | ||||||||||||||||||||||
Equity securities | 12.1 | 0.2 | 6.6 | 0.1 | ||||||||||||||||||||||
Short-term investments | — | — | 25.6 | 0.4 | ||||||||||||||||||||||
Total Privately-held investments — Trading | $ | 482.4 | 6.6 | % | $ | 533.0 | 7.6 | % | ||||||||||||||||||
Total short-term investments — available for sale | 169.3 | 2.3 | 52.0 | 0.7 | ||||||||||||||||||||||
Total short-term investments — trading | 11.0 | 0.1 | 6.3 | 0.1 | ||||||||||||||||||||||
Total cash and cash equivalents | 1,061.5 | 14.5 | 959.2 | 13.6 | ||||||||||||||||||||||
Total Cash and Investments | $ | 7,333.7 | 100.0 | % | $ | 7,045.0 | 100.0 | % | ||||||||||||||||||
Net (payable)/receivable for securities sold | $ | (29.5) | $ | 20.4 | ||||||||||||||||||||||
Accrued interest receivable | 48.7 | 44.9 | ||||||||||||||||||||||||
Total Investable Assets | $ | 7,352.9 | $ | 7,096.5 |
AAA | AA+ | Total | ||||||||||||||||||
($ in millions) | ||||||||||||||||||||
Agency | $ | — | $ | 495.0 | $ | 495.0 | ||||||||||||||
Non-agency commercial | — | 5.8 | 5.8 | |||||||||||||||||
Total mortgage-backed securities | $ | — | $ | 500.8 | $ | 500.8 |
As at June 30, 2023 | ||||||||||||||||||||
Business Segment | Gross | Reinsurance Recoverable | Net | |||||||||||||||||
($ in millions) | ||||||||||||||||||||
Reinsurance | $ | 3,271.4 | $ | (1,830.2) | $ | 1,441.2 | ||||||||||||||
Insurance | 4,469.5 | (2,827.8) | 1,641.7 | |||||||||||||||||
Total losses and loss expense reserves | $ | 7,740.9 | $ | (4,658.0) | $ | 3,082.9 |
As at December 31, 2022 | ||||||||||||||||||||
Business Segment | Gross | Reinsurance Recoverable | Net | |||||||||||||||||
($ in millions) | ||||||||||||||||||||
Reinsurance | $ | 3,350.5 | $ | (1,989.8) | $ | 1,360.7 | ||||||||||||||
Insurance | 4,360.4 | (2,907.9) | 1,452.5 | |||||||||||||||||
Total losses and loss expense reserves | $ | 7,710.9 | $ | (4,897.7) | $ | 2,813.2 |
As at June 30, 2023 | ||||||||||||||||||||||||||
Gross Case Reserves | Gross IBNR | Gross Reserve | % IBNR | |||||||||||||||||||||||
($ in millions, except for percentages) | ||||||||||||||||||||||||||
Reinsurance | $ | 1,612.8 | $ | 1,658.6 | $ | 3,271.4 | 50.7 | % | ||||||||||||||||||
Insurance | 1,673.9 | 2,795.6 | 4,469.5 | 62.5 | % | |||||||||||||||||||||
Total losses and loss expense reserves | $ | 3,286.7 | $ | 4,454.2 | $ | 7,740.9 | 57.5 | % |
As at December 31, 2022 | ||||||||||||||||||||||||||
Gross Case Reserves | Gross IBNR | Gross Reserve | % IBNR | |||||||||||||||||||||||
($ in millions, except for percentages) | ||||||||||||||||||||||||||
Reinsurance | $ | 1,750.9 | $ | 1,599.6 | $ | 3,350.5 | 47.7 | % | ||||||||||||||||||
Insurance | 1,636.9 | 2,723.5 | 4,360.4 | 62.5 | % | |||||||||||||||||||||
Total losses and loss expense reserves | $ | 3,387.8 | $ | 4,323.1 | $ | 7,710.9 | 56.1 | % |
For the Six Months Ended | ||||||||||||||
Business Segment | June 30, 2023 | June 30, 2022 | ||||||||||||
($ in millions) | ||||||||||||||
Reinsurance | $ | 2.1 | $ | 8.8 | ||||||||||
Insurance | (8.5) | (16.1) | ||||||||||||
Total losses and loss expense reserves changes | $ | (6.4) | $ | (7.3) |
As at June 30, 2023 | As at December 31, 2022 | |||||||||||||
($ in millions, except percentages) | ||||||||||||||
Regulatory trusts and deposits: | ||||||||||||||
Affiliated transactions | $ | 617.0 | $ | 707.1 | ||||||||||
Third party | 2,773.8 | 2,817.7 | ||||||||||||
Letters of credit / guarantees | 266.5 | 471.3 | ||||||||||||
Total restricted assets (excluding illiquid assets) | 3,657.3 | 3,996.1 | ||||||||||||
Other investments — illiquid assets | 213.4 | 221.3 | ||||||||||||
Total restricted assets and illiquid assets | $ | 3,870.7 | $ | 4,217.4 | ||||||||||
Total as percent of cash and invested assets | 52.6 | % | 59.4 | % |
As at June 30, 2023 | As at December 31, 2022 | |||||||||||||
($ in millions) | ||||||||||||||
Share capital, additional paid-in capital, retained income and accumulated other comprehensive income attributable to ordinary shareholders | $ | 1,795.2 | $ | 1,604.5 | ||||||||||
Preference shares (liquidation preferences net of issue costs) | 753.5 | 753.5 | ||||||||||||
Short-term debt | 299.9 | 299.9 | ||||||||||||
Total capital | $ | 2,848.6 | $ | 2,657.9 |
As at June 30, 2023 | As at June 30, 2022 | |||||||||||||
($ in millions) | ||||||||||||||
Total shareholders’ equity | $ | 2,548.7 | $ | 2,469.0 | ||||||||||
Preference shares less issue expenses | (753.5) | (753.5) | ||||||||||||
Closing equity | 1,795.2 | 1,715.5 | ||||||||||||
Average adjustment | (76.1) | 141.9 | ||||||||||||
Average equity | $ | 1,719.1 | $ | 1,857.4 | ||||||||||
Operating income | $ | 191.1 | $ | 130.0 | ||||||||||
Annualized operating income return on average equity | 22.2 | % | 14.0 | % | ||||||||||
Annualized net income, adjusted for preference share dividends, on average equity | 22.9 | % | 2.8 | % | ||||||||||
Annualized net income, adjusted for preference share dividends, on closing equity | 21.9 | % | 3.1 | % |
Operating Income Reconciliation | Six Months Ended June 30, 2023 | Six Months Ended June 30, 2022 | ||||||||||||
($ in millions) | ||||||||||||||
Net income as reported | $ | 218.9 | $ | 48.4 | ||||||||||
Preference share dividends | (22.2) | (22.2) | ||||||||||||
Net income attributable to ordinary shareholders | 196.7 | 26.2 | ||||||||||||
Add/(deduct) before tax | ||||||||||||||
Net foreign exchange (gains)/losses | (5.9) | 9.7 | ||||||||||||
Net realized and unrealized investment (gains)/losses | (18.0) | 126.4 | ||||||||||||
Non-operating expenses | 10.6 | 3.6 | ||||||||||||
Add change in deferred gain on retroactive reinsurance contracts, net of certain costs related to the LPT contract with Enstar | 6.8 | (25.9) | ||||||||||||
Non-operating income tax expense/ (benefit) | 0.9 | (10.0) | ||||||||||||
Operating income | $ | 191.1 | $ | 130.0 | ||||||||||
Six Months Ended June 30, 2023 | Six Months Ended June 30, 2022 | |||||||||||||||||||||||||||||||||||||
Retention ratio | Reinsurance | Insurance | Total | Reinsurance | Insurance | Total | ||||||||||||||||||||||||||||||||
($ in millions) | ($ in millions) | |||||||||||||||||||||||||||||||||||||
Gross written premium | $ | 875.7 | $ | 1,249.5 | $ | 2,125.2 | $ | 1,045.6 | $ | 1,305.7 | $ | 2,351.3 | ||||||||||||||||||||||||||
Net written premium | $ | 605.0 | $ | 745.5 | $ | 1,350.5 | $ | 783.7 | $ | 722.4 | $ | 1,506.1 | ||||||||||||||||||||||||||
Retention ratio | 69.1 | % | 59.7 | % | 63.5 | % | 75.0 | % | 55.3 | % | 64.1 | % |
Adjusted Combined Ratio | Six Months Ended June 30, 2023 | |||||||||||||||||||
(in US$ millions except where stated) | Reinsurance | Insurance | Total | |||||||||||||||||
Net earned premium | $ | 572.0 | $ | 715.4 | $ | 1,287.4 | ||||||||||||||
Losses and loss adjustment expenses | 297.2 | 419.9 | 717.1 | |||||||||||||||||
Acquisition costs | 105.7 | 87.2 | 192.9 | |||||||||||||||||
General and administrative expenses | 58.4 | 110.6 | 169.0 | |||||||||||||||||
Underwriting expenses | 461.3 | 617.7 | 1,079.0 | |||||||||||||||||
Underwriting income | 110.7 | 97.7 | 208.4 | |||||||||||||||||
Combined ratio | 80.7 | % | 86.4 | % | 83.8 | % | ||||||||||||||
Adjustments to underwriting expenses | ||||||||||||||||||||
Add: movement in deferred gain on retroactive contracts and the LPT impact (1) | 0.8 | (13.2) | (12.4) | |||||||||||||||||
Adjusted underwriting expenses | 460.5 | 630.9 | 1,091.4 | |||||||||||||||||
Adjusted underwriting income | 111.5 | 84.5 | 196.0 | |||||||||||||||||
Adjusted combined ratio | 80.5 | % | 88.2 | % | 84.8 | % |
Adjusted Combined Ratio | Six Months Ended June 30, 2022 | |||||||||||||||||||
(in US$ millions except where stated) | Reinsurance | Insurance | Total | |||||||||||||||||
Net earned premium | $ | 600.8 | $ | 726.4 | $ | 1,327.2 | ||||||||||||||
Losses and loss adjustment expenses | 369.0 | 398.7 | 767.7 | |||||||||||||||||
Acquisition costs | 124.1 | 92.4 | 216.5 | |||||||||||||||||
General and administrative expenses | 69.7 | 116.8 | 186.5 | |||||||||||||||||
Underwriting expenses | 562.8 | 607.9 | 1,170.7 | |||||||||||||||||
Underwriting income | 38.0 | 118.5 | 156.5 | |||||||||||||||||
Combined ratio | 93.7 | % | 83.7 | % | 88.2 | % | ||||||||||||||
Adjustments to underwriting expenses | ||||||||||||||||||||
Add: movement in deferred gain on retroactive contracts(1) | (13.6) | (12.3) | (25.9) | |||||||||||||||||
Adjusted underwriting expenses | 576.4 | 620.2 | 1,196.6 | |||||||||||||||||
Adjusted underwriting income | 24.4 | — | 106.2 | — | 130.6 | |||||||||||||||
Adjusted combined ratio | 95.9 | % | 85.4 | % | 90.2 | % |
Cover Page |
6 Months Ended |
---|---|
Jun. 30, 2023 | |
Document Information [Line Items] | |
Document Type | 6-K |
Document Period End Date | Jun. 30, 2023 |
Entity File Number | 001-31909 |
Entity Registrant Name | ASPEN INSURANCE HOLDINGS LIMITED |
Entity Address, Address Line One | 141 Front Street |
Entity Address, City or Town | Hamilton |
Entity Address, Postal Zip Code | HM 19 |
Entity Address, Country | BM |
Amendment Flag | false |
Document Fiscal Year Focus | 2023 |
Document Fiscal Period Focus | Q2 |
Entity Central Index Key | 0001267395 |
CONSOLIDATED BALANCE SHEETS - USD ($) $ in Thousands |
Jun. 30, 2023 |
Dec. 31, 2022 |
||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
Investments: | ||||||||||||
Debt Securities, Available-for-sale | $ 3,908,200 | $ 3,788,600 | ||||||||||
Short-term investments, available for sale | 169,300 | |||||||||||
Short-term investments, trading at fair value | 11,000 | |||||||||||
Catastrophe bonds, trading at fair value (amortized cost — 2023: $2.4 and 2022: $5.1) | 2,400 | 2,900 | ||||||||||
Privately-held Investments | [1] | 482,400 | 533,000 | |||||||||
Investments, equity method | 7,000 | 6,200 | ||||||||||
Other investments, at fair value (2) | [2] | 213,400 | 221,300 | |||||||||
Investments, Excluding Derivative Assets | 6,272,200 | 6,085,800 | ||||||||||
Cash and cash equivalents (including cash within consolidated variable interest entities of — $11.42048409 and $65.7448377) | [3] | 1,061,500 | 959,200 | |||||||||
Reinsurance recoverables: | ||||||||||||
Unpaid losses recoverable from reinsurers (net of allowance for expected credit losses of 2023: $3.3 — 2022: $3.7) | 4,658,000 | 4,897,700 | ||||||||||
Ceded unearned premiums | 837,300 | 737,300 | ||||||||||
Receivables: | ||||||||||||
Underwriting premiums receivables (net of allowance for expected credit losses of 2023: $21.6 — 2022: $25.0) | 1,676,800 | 1,482,400 | ||||||||||
Other receivables | 160,300 | 179,400 | ||||||||||
Funds withheld | 59,400 | 102,600 | ||||||||||
Deferred acquisition costs | 353,100 | 319,000 | ||||||||||
Derivative assets | 17,200 | 56,200 | ||||||||||
Receivables for securities sold | 16,600 | 13,500 | ||||||||||
Tax assets | 110,900 | 140,900 | ||||||||||
Other assets | 148,100 | 161,500 | ||||||||||
Intangible assets and goodwill | 21,700 | 21,800 | ||||||||||
Total assets | 15,393,100 | 15,157,300 | ||||||||||
Insurance reserves | ||||||||||||
Losses and loss adjustment expenses | 7,740,900 | 7,710,900 | ||||||||||
Unearned premiums | 2,623,500 | 2,457,500 | ||||||||||
Total insurance reserves | 10,364,400 | 10,168,400 | ||||||||||
Reinsurance premiums | 1,833,700 | 1,980,100 | ||||||||||
Payables | ||||||||||||
Tax liabilities | 800 | 11,800 | ||||||||||
Accrued expenses and other payables (4) | [4] | 171,400 | 201,800 | |||||||||
Payables for securities purchased | 46,100 | 6,900 | ||||||||||
Operating lease liabilities | 91,300 | 95,500 | ||||||||||
Derivative liabilities | 36,800 | 34,900 | ||||||||||
Short-term debt | 299,900 | 299,900 | ||||||||||
Total liabilities | 12,844,400 | 12,799,300 | ||||||||||
Commitments and contingent liabilities (see Note 12) | 0 | 0 | ||||||||||
Ordinary shares: | ||||||||||||
60,395,839 ordinary shares of par value $0.01 each (December 31, 2022 — 60,395,839 shares) | 604 | 604 | ||||||||||
Preference shares, value | 753,500 | 753,500 | ||||||||||
Additional paid-in capital (5) | [5] | 761,200 | 761,200 | |||||||||
Retained earnings | 1,525,700 | 1,349,000 | ||||||||||
Accumulated other comprehensive (loss) | (492,300) | (506,300) | ||||||||||
Total shareholders' equity | 2,548,700 | 2,358,000 | ||||||||||
Total liabilities and shareholders’ equity | 15,393,100 | 15,157,300 | ||||||||||
Fixed Income Investments | ||||||||||||
Investments: | ||||||||||||
Debt Securities, Available-for-sale | 3,908,200 | 3,788,600 | ||||||||||
Fixed Income Investments | ||||||||||||
Investments: | ||||||||||||
Debt Securities, Trading | $ 1,478,500 | 1,475,500 | ||||||||||
Short-term investments | ||||||||||||
Investments: | ||||||||||||
Short-term investments, available for sale | 52,000 | |||||||||||
Short-term investments, trading at fair value | $ 6,300 | |||||||||||
|
CONSOLIDATED STATEMENTS OF OPERATIONS AND OTHER COMPREHENSIVE INCOME - USD ($) $ in Millions |
6 Months Ended | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Jun. 30, 2023 |
Jun. 30, 2022 |
|||||||||
Revenues | ||||||||||
Net earned premiums | $ 1,287.4 | $ 1,327.2 | ||||||||
Net investment income (1) | 129.4 | 88.7 | ||||||||
Realized and unrealized investment gains | [1] | 36.1 | 2.5 | |||||||
Total revenues | 1,452.9 | 1,418.4 | ||||||||
Expenses | ||||||||||
Losses and loss adjustment expenses | 717.1 | 767.7 | ||||||||
Acquisition costs | 192.9 | 216.5 | ||||||||
General, administrative and other expenses (2)(3) | [2],[3] | 232.7 | 233.4 | |||||||
Interest expense | 42.9 | 9.1 | ||||||||
Change in fair value of derivatives (gains)/losses | (19.6) | 84.9 | ||||||||
Realized and unrealized investment losses (4) | [4] | 18.1 | 128.9 | |||||||
Net realized and unrealized foreign exchange losses/(gains) | (13.7) | 75.2 | ||||||||
Total expenses | 1,197.8 | 1,365.3 | ||||||||
Income (loss) from operations before income taxes | 255.1 | 53.1 | ||||||||
Income tax (expense) | (36.2) | (4.7) | ||||||||
Net income/(loss) | 218.9 | 48.4 | ||||||||
Net income attributable to Aspen Insurance Holdings Limited’s ordinary shareholders | 196.7 | 26.2 | ||||||||
Available for sale investments: | ||||||||||
Reclassification adjustment for net realized gains on investments included in net income | 6.8 | 27.8 | ||||||||
Change in net unrealized gains/(losses) on available for sale securities held | 5.5 | (343.8) | ||||||||
Net change from current period hedged transactions | (4.3) | (6.4) | ||||||||
Change in foreign currency translation adjustment | 7.6 | (19.7) | ||||||||
Other comprehensive income/(loss), before income taxes | 15.6 | (342.1) | ||||||||
Income tax (expense)/benefit thereon: | ||||||||||
Change in net unrealized gains on available for sale securities held | (1.6) | 29.5 | ||||||||
Change in foreign currency translation adjustment | 0.0 | 0.6 | ||||||||
Total income tax (expense)/benefit allocated to other comprehensive income/(loss) | (1.6) | 30.1 | ||||||||
Other comprehensive (loss)/income, net of tax | 14.0 | (312.0) | ||||||||
Total comprehensive (loss)/income attributable to Aspen Insurance Holdings Limited's ordinary shareholders | 210.7 | (285.8) | ||||||||
Preference shares | ||||||||||
Expenses | ||||||||||
Dividends on preference shares | 22.2 | 22.2 | ||||||||
Real estate fund | Investment Income | ||||||||||
Related party fees | (1.3) | 0.0 | ||||||||
Asset Management Arrangement | Investment Income | ||||||||||
Related party fees | (5.2) | (0.6) | ||||||||
Management Consulting Agreement | General, administrative and corporate expenses | ||||||||||
Related party fees | (2.5) | (2.5) | ||||||||
Related party investment income | Investment Income | ||||||||||
Related party fees | (1.7) | (0.2) | ||||||||
Apollo, Class A & B Notes | Gain (Loss) on Investments | ||||||||||
Related party fees | $ (2.0) | $ (0.8) | ||||||||
|
CONSOLIDATED STATEMENTS OF CHANGES IN SHAREHOLDERS' EQUITY - USD ($) $ in Millions |
Total |
Preference shares |
Ordinary shares |
Preference shares |
Additional paid-in capital (1) |
Retained earnings |
Retained earnings
Ordinary shares
|
Retained earnings
Preference shares
|
Cumulative foreign currency translation adjustments: |
Unrealized appreciation on available for sale investments: |
Gain on derivatives, net of taxes |
||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||||||||||||
Stockholders' Equity, Including Portion Attributable to Noncontrolling Interest | $ 0.6 | $ 753.5 | [1] | $ 761.2 | [1] | $ 1,382.5 | $ (156.0) | $ 34.6 | $ (1.6) | ||||||
Net income/(loss) for the year | $ 48.4 | ||||||||||||||
Dividends | $ (22.2) | $ (20.0) | $ (22.2) | ||||||||||||
Change for the year, net of income taxes | (19.7) | (286.5) | |||||||||||||
Preferred stock issuance cost | 21.5 | ||||||||||||||
Stockholders' Equity, Including Portion Attributable to Noncontrolling Interest | 2,469.0 | 0.6 | 753.5 | 761.2 | 1,388.7 | (175.7) | (251.9) | (7.4) | |||||||
Net change from current period hedged transactions | (5.8) | ||||||||||||||
Total accumulated other comprehensive (loss)/income | (435.0) | ||||||||||||||
Aggregate liquidation preferences | 775.0 | ||||||||||||||
Stockholders' Equity, Including Portion Attributable to Noncontrolling Interest | 2,358.0 | 0.6 | 753.5 | [1] | 761.2 | [1] | 1,349.0 | (186.9) | (333.2) | 13.8 | |||||
Total accumulated other comprehensive (loss)/income | (506.3) | ||||||||||||||
Net income/(loss) for the year | 218.9 | ||||||||||||||
Dividends | $ (22.2) | $ (20.0) | $ (22.2) | ||||||||||||
Change for the year, net of income taxes | 7.6 | 10.7 | |||||||||||||
Preferred stock issuance cost | 21.5 | ||||||||||||||
Stockholders' Equity, Including Portion Attributable to Noncontrolling Interest | 2,548.7 | $ 0.6 | $ 753.5 | $ 761.2 | $ 1,525.7 | $ (179.3) | $ (322.5) | 9.5 | |||||||
Net change from current period hedged transactions | $ (4.3) | ||||||||||||||
Total accumulated other comprehensive (loss)/income | (492.3) | ||||||||||||||
Aggregate liquidation preferences | $ 775.0 | ||||||||||||||
|
CONSOLIDATED STATEMENTS OF CASH FLOWS - USD ($) $ in Millions |
6 Months Ended | |||||||
---|---|---|---|---|---|---|---|---|
Jun. 30, 2023 |
Jun. 30, 2022 |
|||||||
Net Cash Provided by (Used in) Operating Activities [Abstract] | ||||||||
Net income/(loss) | $ 218.9 | $ 48.4 | ||||||
Adjustments to Reconcile Net Income (Loss) to Cash Provided by (Used in) Operating Activities [Abstract] | ||||||||
Depreciation and amortization | 9.6 | 22.0 | ||||||
Amortization of right-of-use operating lease assets | 5.1 | 5.2 | ||||||
Interest on operating lease liabilities | 2.4 | 2.8 | ||||||
Net (additions)/disposals of right-to-use operating lease assets | (0.1) | 0.0 | ||||||
Net (additions)/disposals of lease liabilities | 0.1 | 0.0 | ||||||
Lease repayments | (7.7) | 0.0 | ||||||
Realized and unrealized investment gains | [1] | (36.1) | (2.5) | |||||
Realized and unrealized investment losses | [2] | 18.1 | 128.9 | |||||
Deferred tax expense/(benefit) | 7.5 | (2.8) | ||||||
Gains (Losses) On Investment And Foreign Exchange | (2.3) | 18.3 | ||||||
Gain (Loss) on Sale of Derivatives | (4.3) | (5.8) | ||||||
Unrealized (gain)/loss on real estate fund in net investment income | 10.5 | (13.5) | ||||||
Losses and loss adjustment expenses | 30.0 | (100.0) | ||||||
Unearned premiums | 166.0 | 381.2 | ||||||
Unpaid losses | 239.7 | (1,708.4) | ||||||
Increase (Decrease) in Prepaid Reinsurance Premiums | (100.0) | (220.7) | ||||||
Increase (Decrease) in Other Receivables | 19.1 | (15.2) | ||||||
Increase (Decrease) in Deferred Policy Acquisition Costs | (34.1) | (24.1) | ||||||
Reinsurance premiums payable | (146.4) | 1,844.2 | ||||||
Increase (Decrease) in Funds Held under Reinsurance Agreements | 43.2 | 11.4 | ||||||
Increase (Decrease) in Premiums Receivable | (194.4) | (275.2) | ||||||
Income tax payable | 9.9 | (6.6) | ||||||
Increase (Decrease) in Accrued Liabilities | (30.6) | (20.8) | ||||||
Fair Value Of Derivatives And Settlement Of Liabilities Under Derivatives | 40.9 | 45.1 | ||||||
Other assets | (0.4) | (7.1) | ||||||
Increase (Decrease) in Insurance Assets [Abstract] | ||||||||
Net cash from operating activities | 264.6 | 104.8 | ||||||
Cash flows (used in)/from investing activities: | ||||||||
Payments to Acquire Debt Securities, Available-for-Sale | (789.2) | (695.9) | ||||||
Payments to Acquire Trading Securities Held-for-investment | (254.6) | (370.9) | ||||||
Proceeds from sales and maturities of fixed income securities — Available for sale | 685.8 | 1,003.5 | ||||||
Proceeds from sales and maturities of fixed income securities — Trading | 283.9 | 134.8 | ||||||
(Purchases) of short-term investments — Available for sale | (215.0) | (28.7) | ||||||
Proceeds from sale of short-term investments — Available for sale | 101.0 | 9.9 | ||||||
(Purchases) of short-term investments — Trading | (15.0) | 0.0 | ||||||
Proceeds from sale of short-term investments — Trading | 10.4 | 2.0 | ||||||
(Purchases) of privately-held investments — Trading | (23.1) | (175.6) | ||||||
Proceeds from sale of privately-held investments — Trading | 58.0 | 79.0 | ||||||
Net change in (payable)/receivable for securities (purchased)/sold | 36.1 | 11.4 | ||||||
(Purchases) of other investments | (3.0) | (46.6) | ||||||
Payments for (Proceeds from) Investing Activities, Net of Cash | 1.8 | 0.0 | ||||||
Net (purchases) of fixed assets | (1.2) | (13.9) | ||||||
Investment in multiline reinsurer | (0.4) | (1.5) | ||||||
Net (purchases) of investments, equity method | 0.0 | (0.4) | ||||||
Net cash (used in) investing activities | (124.5) | (92.9) | ||||||
Cash flows (used in)/from financing activities: | ||||||||
Dividends paid on ordinary shares | (20.0) | (20.0) | ||||||
Dividends paid on preference shares | (22.2) | (22.2) | ||||||
Net cash (used in) financing activities | (42.2) | (42.2) | ||||||
Effect of exchange rate movements on cash and cash equivalents | 4.4 | (18.9) | ||||||
Increase/(decrease) in cash and cash equivalents | 102.3 | (49.2) | ||||||
Cash and cash equivalents at beginning of period | 959.2 | 1,314.1 | ||||||
Cash and cash equivalents at end of period (1) | [3] | 1,061.5 | $ 1,264.9 | |||||
Restricted cash | [3] | $ 312.1 | ||||||
|
History and Organization |
6 Months Ended |
---|---|
Jun. 30, 2023 | |
Accounting Policies [Abstract] | |
History and Organization | History and Organization 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 Bermuda Limited (“Aspen Bermuda”), Aspen Specialty Insurance Company (“Aspen Specialty”), Aspen American Insurance Company (“AAIC”), Aspen Insurance UK Limited (“Aspen UK”) and Aspen Underwriting Limited (“AUL”) (as corporate member of our Lloyd’s operations, Syndicate 4711, which are managed by Aspen Managing Agency Limited (“AMAL”) (together, “Aspen Lloyd’s”)), each referred to herein as an “Operating Subsidiary” and collectively referred to as the “Operating Subsidiaries”. We also have branches in Canada, Singapore and Switzerland. We established Aspen Capital Management, Ltd. (“ACML”) and other related entities (collectively, “ACM”) to leverage our existing underwriting franchise, increase our operational flexibility and provide third-party investors direct access to our capital markets and underwriting expertise. References to the “Company,” the “Group,” “we,” “us” or “our” refer to Aspen Holdings or Aspen Holdings and its consolidated subsidiaries. Since February 2019, the Company has been a wholly-owned subsidiary of Highlands Bermuda Holdco, Ltd. (“Parent”), which holds all of the Company’s ordinary shares. Parent, a Bermuda exempted company, is an affiliate of certain investment funds managed by affiliates of Apollo Global Management, Inc., a leading global investment manager (collectively with its subsidiaries, “Apollo”). The Company’s preference shares and depositary shares are listed on the New York Stock Exchange (“NYSE”) under the following symbols: AHL PRC, AHL PRD and AHL PRE.
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Basis of Preparation and Significant Accounting Policies |
6 Months Ended |
---|---|
Jun. 30, 2023 | |
Accounting Policies [Abstract] | |
Basis of Preparation and Significant Accounting Policies | Basis of Presentation and Significant Accounting Policies The accompanying unaudited condensed consolidated financial statements have been prepared in accordance with United States Generally Accepted Accounting Principles (“U.S. GAAP”) for interim financial information. 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 (consisting of normal recurring adjustments) considered necessary for a fair presentation have been included. Results for the six months ended June 30, 2023 are not necessarily indicative of the results that may be expected for the year ended December 31, 2023. The unaudited condensed consolidated financial statements include the accounts of Aspen Holdings and its subsidiaries. Transactions between Aspen Holdings and its subsidiaries are eliminated within the unaudited condensed consolidated financial statements. The balance sheet as at December 31, 2022 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, 2022 contained in the Company’s Annual Report on Form 20-F filed with the United States Securities and Exchange Commission (the “SEC”) on April 20, 2023 (File No. 001-31909). 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 differ significantly from those expected when the assumptions or estimates were made. To facilitate period-to-period comparisons, certain reclassifications have been made to prior year consolidated financial statement amounts to conform to the current year presentation. There was no effect on net income from this change in presentation. The condensed consolidated financial statements have been prepared on a going concern basis. Accounting Pronouncements Adopted in 2023 In January 2017, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update 2017-04, Simplifying the Test for Goodwill Impairment (“ASU 2017-04”). Among other things, ASU 2017-04 requires the following: (1) the elimination of step two of the goodwill impairment test; entities will no longer utilize the implied fair value of their assets and liabilities for purposes of testing goodwill for impairment, and (2) the quantitative portion of the goodwill impairment test will be performed by comparing the fair value of a reporting unit with its carrying amount; an impairment charge is to be recognized for the excess of carrying amount over fair value, but only to the extent of the amount of goodwill allocated to that reporting unit. The effective date for this ASU was amended via ASU 2019-10, Effective Dates, and became effective for annual periods beginning after December 15, 2022. The adoption of this ASU did not have a material impact on the Company’s consolidated financial statements.
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Segment Reporting |
6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Segment Reporting [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Segment Reporting | Segment Reporting The Company manages its underwriting operations as two business segments: Aspen Reinsurance and Aspen Insurance. The Company has determined its reportable segments by taking into account the manner in which management makes operating decisions and assesses operating performance. Profit or loss for each of the Company’s business segments is measured by underwriting income or loss. Underwriting profit is the excess of net earned premiums over the sum of losses and loss expenses, acquisition costs and general and administrative expenses. Underwriting income or loss provides a basis for management to evaluate the segment’s underwriting performance. Reinsurance Segment. The reinsurance segment consists of property catastrophe reinsurance, other property reinsurance, casualty reinsurance and specialty reinsurance. For a more detailed description of this business segment, refer to the Item 4, “Information on the Company — Business Overview — Aspen Reinsurance” in the Company’s 2022 Annual Report on Form 20-F filed with the SEC. Insurance Segment. The insurance segment consists of first party and specialty insurance, casualty and liability insurance and financial and professional lines insurance. Additionally, the insurance segment includes Aspen Underwriting Limited’s participation as a corporate member in Carbon Syndicate 4747 (“Carbon Syndicate”). For a more detailed description of this segment, refer to the Item 4, “Information on the Company — Business Overview — Aspen Insurance” in the Company’s 2022 Annual Report on Form 20-F filed with the SEC. Non-underwriting Disclosures. The Company provides additional disclosures for corporate and other (non-operating) income and expenses. Corporate and other income and expenses include: corporate expenses, net investment income, net realized and unrealized investment gains or losses, other strategic and other costs, changes in fair value of derivatives or the loan notes issued by variable interest entities, interest expenses, net realized and unrealized foreign exchange gains or losses, asset impairments and income taxes. These income and expense items are not allocated to the Company’s business segments as they are not directly related to the Company’s business segment operations and is consistent with how management measures the performance of its segments. The Company does not allocate its assets by business segment. 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 acquisition cost ratio is the ratio of acquisition costs to net earned premiums. The general and administrative expense ratio is the ratio of general and administrative expenses to net earned premiums. The combined ratio is the sum of the loss ratio, the acquisition cost ratio and the general and administrative expense ratio. The following tables provide a summary of gross and net written and earned premiums, underwriting income or loss, ratios and reserves for each of the Company’s business segments for six months ended June 30, 2023 and 2022:
_____________ (1) Corporate and other operating expenses includes other income/expenses, which were previously presented separately.
_____________ (1) Corporate and other operating expenses includes other income/expenses, which were previously presented separately.
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Investments |
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Investments, Debt and Equity Securities [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments | Investments Income Statement Net investment income. The following table summarizes investment income for the six months ended June 30, 2023 and 2022;
(1) Other investments represents the Company’s investments in real estate, infrastructure and direct lending funds. The movement in the periods represent the change in fair value of the investment and has been included as part of our investment income. The following table summarizes the net realized and unrealized investment gains and losses recorded in the consolidated statement of operations and the change in unrealized gains and losses on investments recorded in other comprehensive income for the six months ended June 30, 2023 and 2022:
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, 2023 and December 31, 2022:
_____________ (1) For the six months ended June 30, 2023, there was a decrease in the CECL allowance on available-for-sale investments of $3.7 million (December 31, 2022 — $5.0 million increase).
Fixed Income Securities, Short-Term Investments, Equities, Catastrophe Bonds and Privately-held Investments — 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, catastrophe bonds and privately-held investments as at June 30, 2023 and December 31, 2022:
Catastrophe bonds. The Company has invested in catastrophe bonds with a total value of $2.4 million as at June 30, 2023 (December 31, 2022 — $2.9 million). The bonds are either zero-coupon notes or receive quarterly interest payments based on variable interest rates with scheduled maturities ranging from 2023 to 2026. The redemption value of the bonds will adjust based on the occurrence or aggregate occurrence of a covered event, such as windstorms and earthquakes in the United States, Canada, the North Atlantic, South America, Europe, Japan or Australia. Privately-held investments. The Company has invested in privately-held investments, which primarily include commercial mortgage loans of $295.0 million and middle market loans of $102.1 million as at June 30, 2023 (December 31, 2022 — commercial mortgage loans of $312.1 million; middle market loans of $106.9 million). Privately-held investments also includes investments in asset-backed securities, equity securities and other short-term investments. Commercial Mortgage Loans. The commercial mortgage loans are related to investments in properties including apartments, hotels, office and retail buildings, other commercial properties and industrial properties. The commercial mortgage loan portfolio is diversified by property type, geographic region and issuer to reduce risks. As part of our investment process, we evaluate factors such as size, property type, and security to determine that properties are performing at a consistent and acceptable level to secure the related debt. The following table presents the type of commercial mortgage loans and geographic region as at June 30, 2023 and December 31, 2022:
The primary credit quality indicator of commercial mortgage loans is loan performance. Non-performing commercial mortgage loans are generally 90 days or more past due. As of June 30, 2023, none of our commercial mortgage loans were non-performing. Loan-to-value and debt service coverage ratios are measures we use to assess the risk and quality of commercial mortgage loans. The loan-to-value ratio is expressed as a percentage of the value of the loan relative to the value of the underlying property. A loan-to-value ratio in excess of 100% indicates the unpaid loan amount exceeds the underlying collateral. The following table represents the loan-to-value ratio of the commercial mortgage loan portfolio as at June 30, 2023 and December 31, 2022:
The debt-service coverage ratio is measured by a property’s net operating income as a multiple of its debt re-payments. A ratio of less than 1.0 reflects a property’s operations is not sufficient to cover its debt payments. The following table represents the debt-service coverage ratio of the commercial mortgage loan portfolio, excluding those that are non-performing and construction loans which are still under development, as at June 30, 2023 and December 31, 2022:
_______________ (1) As at June 30, 2023, we have non-performing loans of $Nil (December 31, 2022 — $Nil) and construction loans of $Nil (December 31, 2022 — $19.9 million) which only generate income when the construction is completed. As no income is currently being generated on these loans, they are not included in the table above. The total value of commercial mortgage loans is $295.0 million as at June 30, 2023 (December 31, 2022 — $312.1 million). Middle Market Loans. The middle market loans are investments in senior secured loan positions with full covenants, focused on the middle market in the U.S., Europe and the Caribbean. The middle market loan portfolio is diversified by industry type, geographic region and issuer to reduce risks. As part of our investment process, we evaluate factors such as size, industry and security to determine that loans are performing at a consistent and acceptable level to secure the related debt. The following table presents the type of middle market loans and geographic region as at June 30, 2023 and December 31, 2022:
Loan-to-enterprise-value and fixed charge coverage ratios are measures we use to assess the risk and quality of middle market loans. The loan-to-enterprise-value ratio is expressed as a percentage of the value of the loan relative to the value of the business. A loan-to-enterprise-value ratio in excess of 100% indicates the unpaid loan amount exceeds the value of the underlying business. The following table represents the loan-to-enterprise-value ratio of the middle market loan portfolio as at June 30, 2023 and December 31, 2022:
The fixed charge coverage ratio, based upon the most recent financial statements, is expressed as a percentage of a firm’s earnings plus fixed charges to its fixed charges. Fixed charges include debt repayments, interest and equipment lease expenses. A fixed charge coverage ratio of less than 1.0 indicates a firm’s operations do not generate enough income to cover its fixed charges. The following represents the fixed charge coverage ratio of the middle market loan portfolio as at June 30, 2023 and December 31, 2022:
The Company has individually assessed each of the middle market loans with the fixed charge coverage ratio of less than 1.00x. This is mainly due to increased capital investment to support the increased business post COVID-19. These investments have been performing with the fixed charged increasing over the year. Asset-backed securities. Asset-backed securities represent interests in underlying pools of diversified referenced assets that are collateralized and backed by future cash flows and these securities are performing. Global corporate securities. The Global corporates portfolio consists of debt securities with a non-U.S. debt issuer that are backed by the cash flows generated from real estate holdings and these securities are performing. Equity securities. Equity securities consists of a single non-U.S. private issuer that is a special purpose vehicle designed to grant a first lien right to the underlying senior notes. The underlying issuer is a financial services lender to middle market companies and this security is performing. Investments — Equity Method. In January 2015, the Company, along with seven other insurance companies, established a micro-insurance venture consortium and micro-insurance incubator (“MVI”) domiciled in Bermuda. The MVI is a social impact organization that provides micro-insurance products to assist global emerging consumers. In March 2021, the Company committed an additional $0.8 million equity contribution to MVI over a 2 year period and paid $0.4 million in the period ending December 31, 2022. On January 1, 2017, the Company purchased through its wholly-owned subsidiary, Aspen U.S. Holdings, Inc. (“Aspen U.S. Holdings”), a 49% share of Digital Risk Resources, LLC (“Digital Re”), a U.S.-based enterprise engaged in the business of developing, marketing and servicing turnkey information security and privacy liability insurance products for a total consideration of $2.3 million. The investment is accounted for under the equity method and adjustments to the carrying value of this investment are made based on the Company’s share of capital, including share of income and expenses. On December 23, 2019, the Company committed $5.0 million as an equity investment in the holding company of a multi-line reinsurer. The strategy for the multi-line reinsurer is to combine a diversified reinsurance business, focused primarily on long-tailed lines of property and casualty business and, potentially to a lesser extent, life business, with a diversified investment strategy. During the period ending June 30, 2023, $0.4 million (December 31, 2022 —$1.6 million) capital was invested in multi-line reinsurer. The table below shows the Company’s investments in MVI, Multi-Line Reinsurer and Digital Re for the six months ended June 30, 2023 and the twelve months ended December 31, 2022:
Other Investments. On December 20, 2017, the Company committed to, and during 2018 invested $100.0 million as a limited partner to a real estate fund, classified as other investments. As at June 30, 2023, the current fair value of the fund is $125.2 million (December 31, 2022 — $134.6 million). On September 30, 2021, the Company committed $20.0 million as a limited partner to a third party managed real estate fund. The Partnership was established to make equity and equity related investments in multifamily and other commercial real estate properties located in the United States and its territories, with the goal of generating superior risk-adjusted returns. The Partnership seeks to acquire commercial real estate assets including real estate assets (or interests therein) that may have management or operational problems and require improvements or lack sufficient capital, including mortgage loans and development or redevelopment properties. On April 1, 2022, the Company committed an additional $10.0 million to the fund. As at June 30, 2023, the current fair value of the fund is $39.2 million (December 31, 2022 — $40.6 million) and the unfunded commitment is $3.3 million (December 31, 2022 — $3.3 million). On April 1, 2022, the Company committed $30.0 million as a limited partner to a related party managed real estate fund. The Partnership was established to pursue investment opportunities to acquire, recapitalize, restructure and reposition real estate assets, portfolios and companies primarily in the United States. As at June 30, 2023, the current fair value of the fund is $22.9 million (December 31, 2022 — $25.3 million) and the unfunded commitment is $5.3 million (December 31, 2022 — $5.3 million). On May 5, 2022, the Company committed $15.0 million as a limited partner to a third party managed infrastructure fund. The Partnership was established to make investments in value added infrastructure investments in environmental services, transportation, communications and digital, energy/energy transition and other infrastructure sectors primarily in North America. As at June 30, 2023, the current fair value of the fund is $11.7 million (December 31, 2022 — $8.2 million) and the unfunded commitment is $6.4 million (December 31, 2022 — $8.4 million). As at June 30, 2023, the aggregate current fair value of the fund investments described above is $213.4 million (December 31, 2022 — $221.3 million). For further information on the funds, refer to Note 12(a) in these consolidated financial statements, “Commitments and Contingencies.” Fixed income maturities, Available for sale. The scheduled maturity distribution of the Company’s available for sale fixed income securities as at June 30, 2023 and December 31, 2022 is set forth below. Actual maturities may differ from contractual maturities because issuers of securities may have the right to call or prepay obligations with or without call or prepayment penalties.
Guaranteed Investments. As at June 30, 2023 and December 31, 2022, the Company held no investments which are guaranteed by mono-line insurers, excluding those with explicit government guarantees. The Company’s exposure to other third-party guaranteed debt is primarily to investments backed by non-U.S. government guaranteed issuers. Gross unrealized losses, available for sale. The following tables summarize, by type of security, the aggregate fair value and gross unrealized loss by length of time the security has been in an unrealized loss position for the Company’s available for sale portfolio as at June 30, 2023 and December 31, 2022:
The overall gross unrealized loss position is largely attributable to the impact of rising interest rates on our bond portfolio and mortgage-backed securities.
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Fair Value Measurements |
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Fair Value Disclosures [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value Measurements | Fair Value MeasurementsThe Company’s estimates of fair value for financial assets and liabilities are based on the framework established in the fair value accounting guidance included in ASC Topic 820, “Fair Value Measurements and Disclosures.” The framework prioritizes the inputs, which refer broadly to assumptions market participants would use in pricing an asset or liability, into three levels. The Company considers prices for actively traded securities to be derived based on quoted prices in an active market for identical assets, which are Level 1 inputs in the fair value hierarchy. The majority of these securities are valued using prices supplied by pricing services. The Company considers prices for other securities that may not be as actively traded which are priced via pricing services, vendors and broker-dealers, or with reference to interest rates and yield curves, to be derived based on inputs that are observable for the asset, either directly or indirectly, which are Level 2 inputs in the fair value hierarchy. The majority of these securities are also valued using prices supplied by pricing services. The Company considers securities, other financial instruments, privately-held investments and derivative insurance contracts subject to fair value measurement whose valuation is derived by internal valuation models to be based largely on unobservable inputs, which are Level 3 inputs in the fair value hierarchy. The following tables present the level within the fair value hierarchy at which the Company’s financial assets and liabilities are measured on a recurring basis as at June 30, 2023 and December 31, 2022:
______________ (1)Other investments represents our investments in real estate, infrastructure and direct lending funds and are measured at fair value using the net asset value per share practical expedient. As a result this has not been classified in the fair value hierarchy. The fair value amounts presented in the table above are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the consolidated balance sheets. The investment in the real estate and other funds is subject to restrictions as detailed in Note 12(a), “Commitments and Contingencies.” (2)The loss portfolio transfer contract includes a funds withheld arrangement that provides variable interest expense based on Aspen’s investment performance. As a result, this funds withheld arrangement is considered an embedded derivative and accounted for as an option-based derivative.
______________ (1)Other investments represents our investments in real estate, infrastructure and direct lending funds and are measured at fair value using the net asset value per share practical expedient. As a result this has not been classified in the fair value hierarchy. The fair value amounts presented in the table above are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the consolidated balance sheets. The investment in the real estate funds is subject to restrictions as detailed in Note 12(a), “Commitments and Contingencies.” Transfers of assets into or out of a particular level are recorded at their fair values as of the end of each reporting period consistent with the date of the determination of fair value. During the six months ended June 30, 2023, $6.7 million (December 31, 2022 — $Nil) was transferred out of Level 3. As at June 30, 2023, there were privately-held investments carried at $482.4 million (December 31, 2022 — $533.0 million) classified as Level 3. As a result of loans sold by Aspen and loans repaid to Aspen by borrowers, a net settlement of $58.4 million occurred during the period (December 31, 2022 — $147.4 million). Additionally as at June 30, 2023, there was an embedded derivative as part of the loss portfolio transfer agreement worth $23.4 million classified as Level 3 (December 31, 2022 — $31.7 million). The following table presents a reconciliation of the beginning and ending balances for all assets and liabilities measured at fair value on a recurring basis using Level 3 inputs for the six months ended June 30, 2023 and the twelve months ended December 31, 2022:
Valuation of Fixed Income Securities. The Company’s fixed income securities are classified as either available for sale or trading and are reported at fair value. As at June 30, 2023 and December 31, 2022, the Company’s fixed income securities were valued by pricing services or broker-dealers using standard market conventions. The market conventions utilize market quotations, market transactions in comparable instruments and various relationships between instruments including, but not limited to, yield to maturity, dollar prices and spread prices in determining value. Independent Pricing Services. The underlying methodology used to determine the fair value of securities in the Company’s available for sale and trading portfolios is by the pricing services. Pricing services will gather observable pricing inputs from multiple external sources, including buy and sell-side contacts and broker-dealers, in order to develop their internal prices. Pricing services provide pricing for less complex, liquid securities based on market quotations in active markets. Pricing services supply prices for a broad range of securities including those for actively traded securities, such as Treasury and other Government securities, in addition to those that trade less frequently or where valuation includes reference to credit spreads, pay down and pre-pay features and other observable inputs. These securities include Government agency, municipals, corporate and asset-backed securities. For securities that may trade less frequently or do not trade on a listed exchange, these pricing services may use matrix pricing consisting of observable market inputs to estimate the fair value of a security. These observable market inputs include reported trades, benchmark yields, broker-dealer quotes, issuer spreads, two-sided markets, benchmark securities, bids, offers, reference data, and industry and economic factors. Additionally, pricing services may use a valuation model such as an option adjusted spread model commonly used for estimating fair values of mortgage-backed and asset-backed securities. The Company does not derive dollar prices using an index as a pricing input for any individual security. Broker-Dealers. The Company obtains quotes from broker-dealers who are active in the corresponding markets when prices are unavailable from independent pricing services or index providers. Generally, broker-dealers value securities through their trading desks based on observable market inputs. Their pricing methodologies include mapping securities based on trade data, bids or offers, observed spreads and performance of newly issued securities. They may also establish pricing through observing secondary trading of similar securities. Quotes from broker-dealers are non-binding. The Company obtains prices for all of its fixed income investment securities via its third-party accounting service provider, and in the majority of cases receiving a number of quotes so as to obtain the most comprehensive information available to determine a security’s fair value. A single valuation is applied to each security based on the vendor hierarchy maintained by the Company’s third-party accounting service provider. As at June 30, 2023, the Company obtained an average of 2.8 quotes per fixed income investment compared to 2.9 quotes at December 31, 2022. The Company, in conjunction with its third-party accounting service provider, obtains an understanding of the methods, models and inputs used by the third-party pricing service and index providers to assess the ongoing appropriateness of vendors’ prices. The Company and its third-party accounting service provider also have controls in place to validate that amounts provided represent fair values. Processes to validate and review pricing include, but are not limited to: •quantitative analysis (e.g., comparing the quarterly return for each managed portfolio to its target benchmark, with significant differences identified and investigated); •comparison of market values obtained from pricing services and broker-dealers against alternative price sources for each security where further investigation is completed when significant differences exist for pricing of individual securities between pricing sources; •initial and ongoing evaluation of methodologies used by outside parties to calculate fair value; and •comparison of the fair value estimates to the Company’s knowledge of the current market. Prices obtained from pricing services and broker-dealers are not adjusted by us; however, prices provided by a pricing service, or broker-dealer in certain instances may be challenged based on market or information available from internal sources, including those available to the Company’s third-party investment accounting service provider. Subsequent to any challenge, revisions made by the pricing service or broker-dealer to the quotes are supplied to the Company’s investment accounting service provider. Management reviews the vendor hierarchy maintained by the Company’s third-party accounting service provider in order to determine which price source provides the most appropriate fair value (i.e., a price obtained from a pricing service with more seniority in the hierarchy will be used over a less senior one in all cases). The hierarchy level assigned to each security in the Company’s available for sale and trading portfolios is based upon its assessment of the transparency and reliability of the inputs used in the valuation as of the measurement date. The hierarchy of pricing services is determined using various qualitative and quantitative points arising from reviews of the vendors conducted by the Company’s third-party accounting service provider. Vendor reviews include annual due diligence meetings with index providers and pricing services vendors covering valuation methodology, operational walkthroughs and legal and compliance updates. Fixed Income Securities. Fixed income securities are traded on the over-the-counter (“OTC”) market based on prices provided by one or more market makers in each security. Securities such as U.S. Government, U.S. Agency, Foreign Government and investment grade corporate bonds have multiple market makers in addition to readily observable market value indicators such as expected credit spread, except for Treasury securities, over the yield curve. The Company uses a variety of pricing sources to value fixed income securities including those securities that have pay down/prepay features such as mortgage-backed securities and asset-backed securities in order to ensure fair and accurate pricing. The fair value estimates for the investment grade securities in the Company’s portfolio do not use significant unobservable inputs or modeling techniques. U.S. Government and Agency Securities. U.S. government and agency securities consist primarily of bonds issued by the U.S. Treasury and corporate debt issued by agencies such as the Federal National Mortgage Association (“FNMA”), the Federal Home Loan Mortgage Corporation (“FHLMC”) and the Federal Home Loan Bank. As the fair values of U.S. Treasury securities are based on unadjusted market prices in active markets, they are classified within Level 1. The fair values of U.S. government agency securities are priced using the spread above the risk-free yield curve. As the yields for the risk-free yield curve and the spreads for these securities are observable market inputs, the fair values of U.S. government agency securities are classified within Level 2. Municipal Securities. The Company’s municipal portfolio consist of bonds issued by U.S. domiciled state and municipality entities. The fair value of these securities is determined using spreads obtained from broker-dealers, trade prices and the new issue market which are Level 2 inputs in the fair value hierarchy. Consequently, these securities are classified within Level 2. Non-U.S. Government. The issuers for securities in this category are non-U.S. governments and their agents including, but not limited to, the U.K., Australia, Canada, France and Germany. The fair values of certain non-U.S. government bonds, primarily sourced from international indices, are based on unadjusted market prices in active markets and are therefore classified within Level 1. The remaining non-U.S. government bonds are classified within level 2 as they are not actively traded. The fair values of the non-U.S. agency securities, again primarily sourced from international indices, are priced using the spread above the risk-free yield curve. As the yields for the risk-free yield curve and the spreads for these securities are observable market inputs, the fair values of non-U.S. agency securities are classified within Level 2. In addition, foreign government securities include a portion of the Emerging Market Debt (“EMD”) portfolio which is also classified within Level 2. Corporate. Corporate securities consist primarily of short-term, medium-term and long-term debt issued by U.S. and foreign corporations covering a variety of industries and are generally priced by index providers and pricing vendors. Some issuers may participate in government programs which guarantee timely payment of principal and interest in the event of a default. The fair values of these securities are generally determined using the spread above the risk-free yield curve. Inputs used in the evaluation of these securities include credit data, interest rate data, market observations and sector news, broker-dealer quotes and trade volumes. In addition, corporate securities include a portion of the EMD portfolio. The Company classifies these securities across Level 1 and 2, with majority of them being in Level 1. Mortgage-backed Securities. Residential and commercial mortgage-backed securities consist of bonds issued by the Government National Mortgage Association, the FNMA and the FHLMC as well as private non-agency issuers. The fair values of these securities are determined through the use of a pricing model (including Option Adjusted Spread) which uses prepayment speeds and spreads to determine the appropriate average life of the mortgage-backed security. These spreads are generally obtained from broker-dealers, trade prices and the new issue market. As the significant inputs used to price mortgage-backed securities are observable market inputs, these securities are classified within Level 2. Asset-backed securities. Asset-backed securities are securities backed by notes or receivables against assets other than real estate. The underlying collateral for the Company’s asset-backed securities consists mainly of student loans, automobile loans and credit card receivables. These securities are primarily priced by index providers and pricing vendors. Inputs to the valuation process include broker-dealer quotes and other available trade information, prepayment speeds, interest rate data and credit spreads. The Company classifies these securities within Level 2. Privately-Held Investments. Privately-held investments are initially valued at cost or transaction value which approximates fair value. In subsequent measurement periods, the fair values of these securities are determined using internally developed discounted cash flow models. These models include inputs that are specific to each investment. The inputs used in the fair value measurements include dividend or interest rates and appropriate discount rates. The selection of an appropriate discount rate is judgmental and is the most significant unobservable input used in the valuation of these securities. A significant increase (decrease) in this input in isolation could result in significantly lower (higher) fair value measurement for privately-held investments. In order to assess the reasonableness of the inputs the Company uses in the discounted cash flow models, the Company maintains an understanding of current market conditions, issuer specific information that may impact future cash flows as well as collaboration with independent vendors for most securities to assess the reasonableness of the discount rate being used. Commercial mortgage loans. Commercial mortgage loans consists in investments in properties including apartments, hotels, office and retail buildings, other commercial properties and industrial properties. The commercial mortgage loan portfolio is diversified by property type, geographic region and issuer to reduce risks. Commercial Mortgage Loans are initially valued at cost or transaction value which approximates fair value. In subsequent measurement periods, the fair values of these securities are determined using internally developed discounted cash flow models and are classified as Level 3. Middle market loans. The middle market loans consist in investments in senior secured loan positions with full covenants, focused on the middle market in both U.S., Europe and the Caribbean. The middle market loan portfolio is diversified by industry type, geographic region and issuer to reduce risks. Middle Market Loans are initially valued at cost or transaction value which approximates fair value. In subsequent measurement periods, the fair values of these securities are determined using internally developed discounted cash flow models and are classified as Level 3. Asset-backed securities. Asset-backed securities represent interests in underlying pools of diversified referenced assets that are collateralized and backed by future cash flows and these securities are performing. The fair values of these securities are determined by using discounted cash flow models and are classified as Level 3. Global corporate securities. The global corporates portfolio consists of debt securities with a non-U.S. debt issuer that are backed by the cash flows generated from real estate holdings and these securities are performing. The fair value of these securities are determined by using discounted cash flow models and are classified as Level 3. Equity securities. Equity securities consists of a single non-U.S. based issuer that is a special purpose vehicle designed to grant a first lien right to the underlying senior notes within the structure. The underlying issuer is a financial services lender to middle market companies and this security is performing. The valuation of the investments is DCF and the securities are classified as Level 3. Short-term investments. Short-term investments consist of highly liquid debt securities with a maturity greater than three months but less than one year from the date of purchase. Short-term investments are classified as either trading or available for sale according to the facts and circumstances of the investment held. Short-term investments are valued in a manner similar to the Company’s fixed maturity investments and are classified within Levels 1 and 2. The following table summarizes the quantitative inputs and assumptions used for financial assets and liabilities investments categorized as Level 3 under the fair value hierarchy as at June 30, 2023:
Catastrophe Bonds. Catastrophe bonds are variable rate fixed income instruments with redemption values adjusted based on the occurrence of a covered event, usually windstorms and earthquakes. Catastrophe bonds are classified as trading and reported at fair value. Catastrophe bonds are priced using an average of multiple broker-dealer quotes and as such, are considered Level 2. Foreign Exchange Contracts. The foreign exchange contracts which the Company uses to mitigate currency risk are characterized as OTC due to their customized nature and the fact that they do not trade on a major exchange. These instruments trade in a very deep liquid market, providing substantial price transparency and accordingly are classified as Level 2. Derivative Liabilities - Loss Portfolio Transfer. The LPT embedded derivative is valued using the Black-Scholes model. The two primary inputs of this model are expected claim settlement patterns and expected return of the investment portfolio above a fixed minimum rate over the specified time horizon. The expected claim settlement pattern is determined on an actuarial basis for the cohort of business within scope of the LPT and is consistent with the patterns used in the valuation of technical provisions. The expected return of the investment portfolio, above a fixed minimum rate, directly impacts on the LPT derivative valuation and is subject to changes in the market conditions. In order to assess the reasonableness of the inputs, the Company updates the expected claim settlement patterns on a regular basis whilst maintaining an understanding of the current market conditions. Other Investments. The Company’s other investments represent our investments in real estate, infrastructure and direct lending funds. Adjustments to the fair values are made based on the net asset value of the investments. The net valuation criteria established by the manager of such investments are established in accordance with the governing documents and the asset manager’s valuation guidelines, which include: the discounted cash flows method and the performance multiple approach, which uses a multiple derived from market data of comparable companies or assets to produce operating performance metrics. Alternative valuation methodologies may be employed for investments with unusual characteristics.
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Reinsurance |
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Reinsurance Disclosures [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Reinsurance | Reinsurance The Company purchases retrocession and reinsurance to limit the Company’s risk exposure and to increase its own insurance and reinsurance underwriting capacity. These agreements provide for recovery of losses and loss adjustment expenses from reinsurers. The Company remains liable to the extent that reinsurers do not meet their obligations under these agreements. In line with its risk management objectives, the Company evaluates the financial condition of its reinsurers and monitors concentrations of credit risk. Balances pertaining to reinsurance transactions are reported “gross” on the consolidated balance sheet, meaning that reinsurance recoverable on unpaid losses and ceded unearned premiums are not deducted from insurance reserves but are recorded as assets. For more information on reinsurance recoverables, refer to Note 13, “Concentrations of Credit Risk —Reinsurance recoverables” and Note 8, “Reserves for Losses and Loss Adjustment Expenses” of these unaudited condensed consolidated financial statements. The effect of ceded reinsurance on premiums written, premiums earned and insurance losses and loss adjustment expenses for the six months ended June 30, 2023 and 2022 was as follows:
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Derivative Contracts |
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Derivative Instruments and Hedging Activities Disclosure [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative Contracts | Derivative Contracts The following table summarizes information on the location and amounts of derivative fair values on the consolidated balance sheet as at June 30, 2023 and December 31, 2022:
______________ (1)Fair value is net of $2.7 million of cash collateral (December 31, 2022 — $3.7 million). (2) The LPT contains an embedded derivative within the contract in relation to the variable interest crediting rate.
The following table provides the unrealized and realized gains/(losses) recorded in the consolidated statements of operations and other comprehensive income for derivatives that are not designated or designated as hedging instruments under ASC 815 — “Derivatives and Hedging” for the six months ended June 30, 2023 and 2022:
Foreign Exchange Contracts. The Company uses foreign exchange contracts to manage foreign currency risk associated with our operating expenses but also foreign exchange risk associated with net assets or liabilities in currencies other than the U.S. dollar. A foreign exchange contract involves an obligation to purchase or sell a specified currency at a future date at a price set at the time of the contract. Foreign exchange contracts will not eliminate fluctuations in the value of the Company’s assets and liabilities denominated in foreign currencies but rather allow it to establish a rate of exchange for a future point in time. As at June 30, 2023, the Company held foreign exchange contracts that were not designated as hedges under ASC 815 with an aggregate nominal amount of $1,884.0 million (December 31, 2022 — $1,675.3 million). The foreign exchange contracts are recorded as derivative assets or derivative liabilities in the consolidated balance sheet with changes recorded as a change in fair value of derivatives in the consolidated statement of operations. For the six months ended June 30, 2023, the impact of foreign exchange contracts on net income was a gain of $19.6 million (June 30, 2022 — loss of $84.9 million). As at June 30, 2023, the Company held foreign exchange contracts that were designated as hedges under ASC 815 with an aggregate notional amount of $54.7 million (December 31, 2022 — $109.7 million). The foreign exchange contracts are recorded as derivative assets in the consolidated balance sheet with the effective portion recorded in other comprehensive income and the ineffective portion recorded as a change in fair value of derivatives in the consolidated statement of operations. The contracts are effective and therefore the movement in other comprehensive income representing the effective portion for the six months ended June 30, 2023 was a loss of $4.3 million (June 30, 2022 — loss of $6.4 million). As the foreign exchange contracts settle, the realized gain or loss is reclassified from other comprehensive income into general, administration and corporate expenses of the consolidated statement of operations. For the six months ended June 30, 2023, the amount recognized within general, administration and corporate expenses for settled foreign exchange contracts was a realized loss of $3.7 million (June 30, 2022 — gain of $2.8 million). Embedded derivative on loss portfolio contract. The loss portfolio transfer contract includes a funds withheld arrangement that provides returns to the reinsurer based on Aspen’s investment performance, guaranteeing a minimum of 1.75% return. Such funds withheld arrangements are examples of embedded derivatives and therefore this instrument is accounted for as an option-based derivative. For the six months ended June 30, 2023, the amount recognized as a change in fair value of derivatives in the consolidated statement of operations is $8.3 million (June 30, 2022 — $Nil).
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Reserves for Losses and Adjustment Expenses |
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Insurance [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Reserves for Losses and Adjustment Expenses | Reserves for Losses and Loss Adjustment Expenses The following table represents a reconciliation of beginning and ending consolidated loss and LAE reserves for the six months at June 30, 2023 and June 30, 2022:
______________ (1) Net loss and LAE expenses transferred of $1,840.1 million relates to the LPT with Enstar and represents the net loss reserves as at May 20, 2022 (“Closing Date”) for losses in relation to 2019 and prior accident years, in addition to the $770.0 million of ceded reserves under the previous ADC agreement, recognizing a total recoverable of $2,610.1 million. These reserves were rolled forward from the initial effective date of September 30, 2021, at which time the net losses reserves were $3,120.0 million. As at June 30, 2023 the total amount recoverable from Enstar under the LPT was $1,877.3 million (As at December 31, 2022 — $2,132.0 million) which includes claims paid and reserve development since the Closing Date. For the six months ended June 30, 2023, there was a reduction of $6.4 million in the Company’s estimate of the ultimate claims to be paid in respect of prior accident years compared to a reduction of $7.3 million for the six months ended June 30, 2022. Reinsurance. Net unfavorable reserve development of $2.1 million in the six months ended June 30, 2023 were mainly due to reserve strengthening in property catastrophe and reinsurance lines of business, offset by reserve releases from casualty reinsurance and specialty reinsurance. Insurance. Net reserve releases of $8.5 million in the six months ended June 30, 2023 included favorable development of $13.2 million representing the movement on the deferred gain on the LPT, offset by unfavorable development on post-LPT years of $4.7 million.
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Capital Structure |
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Equity [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Capital Structure | Capital Structure The following table provides a summary of the Company’s authorized and issued share capital as at June 30, 2023 and December 31, 2022:
______________ (1) Each depositary share represents a 1/1000th interest in a share of the 5.625% preference shares. (a) Ordinary Shares Issued Ordinary Shares. The Company’s issued ordinary shares of par value $0.01 at both June 30, 2023 and December 31, 2022 was 60,395,839. The Company did not acquire any ordinary shares for the six months ended June 30, 2023. (b) Preference Shares Preference Shares Issuance. On May 2, 2013, the Company issued 11,000,000 5.950% Fixed-to-Floating Rate Perpetual Non-Cumulative Preference Shares, with a liquidation preference of $25 per share (the “5.950% Preference Shares”). Net proceeds were $270.6 million, consisting of $275.0 million of total liquidation preference less $4.4 million of issuance expenses. The first floating rate-period commences July 1, 2023 (payable on October 1, 2023), where the floating rate will be tied to LIBOR, being 3-month LIBOR, and as contemplated by the governing instrument, 3-month LIBOR will be the rate for 3-month deposits in U.S. dollars on June 29, 2023. The 5.950% Preference Shares are listed on the NYSE under symbol “AHLPRC”. On September 20, 2016, the Company issued 10,000,000 shares of 5.625% Perpetual Non-Cumulative Preference Shares (the “5.625% Preference Shares”). The 5.625% Preference Shares have a liquidation preference of $25 per share. Net proceeds were $241.3 million, consisting of $250.0 million of total liquidation preference less $8.7 million of issuance expenses. The 5.625% Preference Shares are listed on the NYSE under the symbol “AHL PRD”. On August 13, 2019, the Company issued 10,000,000 depositary shares, each of which represents 1/1000th interest in a share of the newly designated 5.625% Perpetual Non-Cumulative Preference Shares. The depositary shares have a liquidation preference of $25 per share. Net proceeds were $241.6 million, comprising $250.0 million of total liquidation preference less $8.4 million of issuance expenses. The depositary shares are listed on the NYSE under the symbol “AHL PRE”.
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Dividends |
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Jun. 30, 2023 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Earnings Per Share [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Dividends | Dividends. On June 1, 2023, the Company’s Board of Directors declared the following dividends:
______________ (1) The 5.625% Preference Shares are represented by depositary shares, each representing a 1/1000th interest in a share of the 5.625% Preference Shares. The dividend paid per depositary share is likewise 1/1000th of the declared dividend, equivalent to $0.35156 per depositary share. In the six months ended June 30, 2023, the Company paid an ordinary shares dividend of $20.0 million to Highlands Bermuda Holdco, Ltd., the holder of all the Company’s ordinary shares.
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Related Party Transactions |
6 Months Ended |
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Jun. 30, 2023 | |
Related Party Transactions [Abstract] | |
Related Party Transactions | Related Party Transactions Apollo’s indirect subsidiary, Apollo Asset Management Europe PC LLP (“AAME”), serves as the investment manager for the Company and certain of the Company’s subsidiaries, and Apollo’s indirect subsidiary, Apollo Management Holdings, L.P. (“AMH”), provides the Company with management consulting services and advisory services. Additionally, certain employees of Apollo and its affiliates serve on the Board. A description of relationships and transactions that have existed or that the Company and certain of the Company’s subsidiaries has entered into with Apollo and its affiliates are described below. Investment Management Relationships AAME provides centralized asset management investment advisory and risk services for the portfolio of the Company’s investments and investments of such subsidiaries pursuant to the investment management agreements (“IMAs”) that have been entered into with AAME. In addition, pursuant to the IMAs, AAME may engage sub-advisors or delegates to provide certain of the investment advisory and management services to the Company’s subsidiaries. Such sub-advisors may include affiliates of AAME. Under each of the IMAs, AAME will be paid an annual investment management fee (the “Management Fee”) which will be based on a cost-plus structure up to 25% based on an applicable transfer pricing study. The Management Fee will be subject to certain maximum threshold levels, including an annual fee cap of 15 bps of the total amount of investable assets. Affiliated sub-advisors, including AMI and AMC, will also earn additional fees for sub-advisory services rendered. During the six months ended June 30, 2023, the Company recognized IMA fees of $5.2 million (June 30, 2022 — $0.6 million), of which $2.4 million (December 31, 2022 — $4.5 million) remains payable to AAME as at June 30, 2023. Management Consulting Agreement As previously disclosed, the Company entered into a Management Consulting Agreement, dated March 28, 2019 (the “Management Consulting Agreement”), with AMH. Pursuant to the Management Consulting Agreement, AMH will provide the Company management consulting and advisory services related to the business and affairs of the Company and its subsidiaries. The Company will pay AMH in consideration for its services under the Management Consulting Agreement, an annual management consulting fee equal to the greater of (i) 1% of the consolidated net income of the Company and its subsidiaries for the applicable fiscal year, or (ii) $5 million. During the six months ended June 30, 2023, the Company recognized Management Consulting fees of $2.5 million (June 30, 2022 — $2.5 million), of which $2.5 million remains payable to AMH as at June 30, 2023 (December 31, 2022 — $1.3 million). Related Party Investments During the six months ended June 30, 2023, the Company bought or held the following securities or investments in Apollo originated and managed investments: Apollo U.S. Real Estate Fund II LP. As at June 30, 2023, the Company’s investment in Apollo U.S. Real Estate Fund II LP had a fair value of $22.9 million (December 31, 2022 — $25.3 million). This investment is included in other investments on the consolidated balance sheet. The Company incurred losses of $1.3 million (June 30, 2022 — $Nil) and is included in net investment income on the consolidated statement of operations and other comprehensive income. Apollo Origination Partnership (“AOP”) Fund. As at June 30, 2023, the Company’s investment in the AOP Fund had a fair value of $12.6 million (December 31, 2022 —$12.7 million). This investment is included in other investments on the consolidated balance sheet. The Company incurred losses of $0.4 million (June 30, 2022 — $0.2 million) and is included in net investments income on the consolidated statement of operations and other comprehensive income. AOP Class A notes; AOP Class B notes. As at June 30, 2023, the Company’s investment in AOP Class A notes had a fair value of $28.6 million (December 31, 2022 —$30.0 million). As at June 30, 2023, the Company’s investment in AOP Class B notes had a fair value of $14.0 million (December 31, 2022 —$14.8 million). The Company earned income of $1.3 million (June 30, 2022 — $0.5 million) and $0.7 million (June 30, 2022 — $0.3 million) on AOP Class A and B notes, respectively, and is included in realized and unrealized investment losses on the consolidated statement of operations and other comprehensive income. These investments are included in privately-held investments on the consolidated balance sheet. During the six months ended June 30, 2023, there were no expenses incurred relating to any of these investments (June 30, 2022 — $Nil). The above transactions were entered into at arm’s length. Other Payables to Related Parties As at June 30, 2023, the Company had an intercompany payable balance of $2.2 million (December 31, 2022 — $2.0 million), due to its parent, Highlands Bermuda Holdco, Ltd.
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Commitments and Contingencies |
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Commitments and Contingencies Disclosure [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Commitments and Contingencies | Commitments and Contingent Liabilities (a)Restricted assets The Company’s subsidiaries are obliged by the terms of its contractual obligations to U.S. policyholders and by obligations to certain regulatory authorities to facilitate issue of letters of credit or maintain certain balances in trust funds for the benefit of policyholders. The following table details the forms and value of Company’s material restricted assets as at June 30, 2023 and December 31, 2022:
(1)As at June 30, 2023, the Company had pledged funds as collateral for the secured letters of credit of $266.5 million (December 31, 2022 — $471.3 million). (2)Investable assets comprise total investments, cash and cash equivalents, accrued interest, receivables for securities sold and payables for securities purchased. The Company’s banking arrangements related to letters of credit, require the Company to provide collateral in the form of cash and securities for the full amount of all secured and undrawn letters of credit that are outstanding. The Company monitors the proportion of liquid assets that are committed to trust funds or to the collateralization of letters of credit. As at June 30, 2023 and December 31, 2022, these funds amounted to approximately 52.6% of the $7.4 billion and approximately 59.4% of the $7.1 billion of investable assets held by the Company, respectively. We do not consider that this unduly restricts our liquidity at this time. Real Estate Funds. The Company invests in real estate funds which have lock-up periods, being the initial amount of time an investor is contractually required to remain invested before having the ability to redeem. As at June 30, 2023, the lock-up periods across these funds range from one quarter to several years. Thereafter these funds may be redeemed on a pro-rata basis depending on the liquidity position of the fund. There are no assurances as to when the Company may receive, in whole or in part, its redemption request from the fund. Funds at Lloyd’s. AUL operates at Lloyd’s as the corporate member for Syndicate 4711. AUL also participates in underwriting activities of Carbon Syndicate 4747. Lloyd’s determines required regulatory capital by considering the underwriting activities of AUL, called Funds at Lloyd’s and consists of investable assets as at June 30, 2023 in the amount of $551.0 million (December 31, 2022 — $489.5 million). The Funds at Lloyd’s will be drawn upon and become a liability of the Company in the event of Syndicate 4711 declaring a loss at a level that cannot be funded from other resources, or if Syndicate 4711 requires funds to cover a short-term liquidity gap. The amount which the Company provides as Funds at Lloyd’s is not available for distribution to the Company for the payment of dividends. Aspen Managing Agency Limited, the managing agent to Syndicate 4711, is also required by Lloyd’s to maintain a minimum level of capital which as at June 30, 2023 was £0.4 million (December 31, 2022 — £0.4 million). This is not available for distribution by the Company for the payment of dividends. U.S. Reinsurance Trust Fund. For its U.S. reinsurance activities, Aspen UK has established and must retain a multi-beneficiary U.S. trust fund for the benefit of its U.S. cedants so that they may take financial statement credit without the need to post cedant-specific security. The minimum trust fund amount is $20.0 million plus an amount equal to 100% of Aspen UK’s U.S. reinsurance liabilities, which were $1,009.3 million as at June 30, 2023 and $1,166.4 million as at December 31, 2022. As at June 30, 2023, the balance (including applicable letter of credit facilities) held in the trust was $1,167.8 million (December 31, 2022 — $1,389.5 million). Aspen Bermuda has also established and must retain a multi-beneficiary U.S. trust fund for the benefit of its U.S. cedants so that they may take financial statement credit without the need to post cedant-specific security. The minimum trust fund amount is $20.0 million plus an amount equal to 100% of Aspen Bermuda’s liabilities to its U.S. cedants which was $306.7 million and $380.3 million as at June 30, 2023 and December 31, 2022, respectively. As at June 30, 2023, the balance held in the U.S. trust fund and other Aspen Bermuda trusts was $383.2 million (December 31, 2022 — $509.2 million). U.S. Surplus Lines Trust Fund. Aspen UK and Syndicate 4711 have also established a U.S. surplus lines trust fund with a U.S. bank to secure liabilities under U.S. surplus lines policies. The balance held in trust as at June 30, 2023 was $141.0 million (December 31, 2022 — $215.1 million). U.S. Regulatory Deposits. As at June 30, 2023, Aspen Specialty had a total of $10.3 million (December 31, 2022 — $6.7 million) on deposit with six U.S. states in order to satisfy state regulations for writing business in those states. AAIC had a further $6.7 million (December 31, 2022 — $6.5 million) on deposit with twelve U.S. states. Canadian Trust Fund. Aspen UK has established a Canadian trust fund with a Canadian bank to secure a Canadian insurance license. As at June 30, 2023, the balance held in trust was CAD$200.9 million ($151.8 million) (December 31, 2022 — CAD$185.8 million). Australian Trust Fund. Aspen UK has established an Australian trust fund with an Australian bank to secure policyholder liabilities and as a condition for maintaining an Australian insurance license. As at June 30, 2023, the balance held in trust was AUD$153.2 million ($102.0 million) (December 31, 2022 — AUD$183.9 million). Swiss Trust Fund. Aspen UK has established a Swiss trust fund with a Swiss bank to secure policyholder liabilities and as a condition for maintaining a Swiss insurance license. As at June 30, 2023, the balance held in trust was CHF$9.5 million ($10.6 million) (December 31, 2022 — CHF9.4 million). Singapore Fund. Aspen UK has established a segregated Singaporean bank account to secure policyholder liabilities and as a condition for maintaining a Singaporean insurance license and meet local solvency requirements. As at June 30, 2023, the balance in the account was SGD$172.6 million ($127.5 million) (December 31, 2022 — SGD$174.7 million). (b) Contingent liabilities In common with the rest of the insurance and reinsurance industry, the Company is also subject to litigation and arbitration in the ordinary course of business. The Company’s Operating Subsidiaries are regularly engaged in the investigation, conduct and defense of disputes, or potential disputes, resulting from questions of insurance or reinsurance coverage or claims activities. Pursuant to insurance and reinsurance arrangements, many of these disputes are resolved by arbitration or other forms of alternative dispute resolution. Such legal proceedings are considered in connection with estimating the Company’s Insurance Reserves — Loss and Loss Adjustment Expenses, as provided on the Company’s consolidated balance sheet. In some jurisdictions, noticeably the U.S., a failure to deal with such disputes or potential disputes in an appropriate manner could result in an award of “bad faith” punitive damages against the Company’s Operating Subsidiaries. In accordance with ASC 450-20-50-4b, for (a) reasonably possible losses for which no accrual is made because any of the conditions for accrual in ASC 450-20-25-2 are not met and (b) reasonably possible losses in excess of the amounts accrued pursuant to ASC 450-20-30-1, the Company will provide an estimate of the possible loss or range of possible loss or state that such an estimate cannot be made. As at June 30, 2023, it was the opinion of the Company’s management based on available information that the probability of the ultimate resolution of pending or threatened litigation or arbitrations having a material effect on the Company’s financial condition, results of operations or liquidity would be remote
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Concentration of Credit Risk |
6 Months Ended |
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Jun. 30, 2023 | |
Risks and Uncertainties [Abstract] | |
Concentrations of Credit Risk | Concentrations of Credit Risk The Company is potentially exposed to concentrations of credit risk in respect of amounts recoverable from reinsurers, investments and cash and cash equivalents, and insurance and reinsurance balances owed by the brokers with whom the Company transacts business. The Company defines credit risk tolerances in line with the risk appetite set by our Board and they, together with the group’s risk management function, monitor exposures to individual counterparties. Any exceptions are reported to senior management and the Risk Committee of the Board of Directors. Reinsurance recoverables At June 30, 2023, the total amount recoverable by the Company from reinsurers was $4,658.0 million (December 31, 2022 — $4,897.7 million). Of the Company’s reinsurance recoverable balance at June 30, 2023, 56.0% is collateralized by our reinsurers, 43.5% is recoverable from reinsurers rated A- or higher by major rating agencies and 0.5% is recoverable from reinsurers rated lower than A- by major rating agencies (December 31, 2022 — 57.9%, 42.0% and 0.1%, respectively). As at June 30, 2023, the Company’s largest collateralized exposures to individual reinsurers represent 16.0% (December 31, 2022 —16.3%), 9.2% (December 31, 2022 — 9.7%), and 7.8% (December 31, 2022 — 8.2%). Under the current expected credit loss model (“CECL”), the Company recognized a provision against reinsurance recoverables of $3.3 million as at June 30, 2023 (December 31, 2022 — $3.7 million). For the six months ended June 30, 2023 there was a decrease in the CECL allowance on reinsurance recoverables of $0.4 million (December 31, 2022 — $0.4 million increase). Underwriting premium receivables The total underwriting premium receivable by the Company as at June 30, 2023 was $1,676.8 million (December 31, 2022 — $1,482.4 million). As at June 30, 2023, $5.9 million of the total underwriting premium receivable balance has been due for settlement for more than one year. The Company assesses the recoverability of premium receivables through a review of policies and the concentration of receivables by broker. Allowance for credit losses of $21.6 million as at June 30, 2023 (December 31, 2022 — $25.0 million) for underwriting premiums unlikely to be collected. Investments and cash and cash equivalents The Company’s investment policies include specific provisions that limit the allowable holdings of a single issue and issuer. As at June 30, 2023, there were no investments in any single issuer, other than the U.S. government and the Canadian government in excess of 2% of the aggregate investment portfolio.
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Reclassifications from Accumulated Other Comprehensive Income |
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Jun. 30, 2023 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Equity [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Reclassifications from Accumulated Other Comprehensive Income | Reclassifications from Accumulated Other Comprehensive Income The following table sets out the components of the Company’s AOCI that are reclassified into the condensed consolidated statement of operations for the six months ended June 30, 2023 and 2022:
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Subsequent Events |
6 Months Ended |
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Jun. 30, 2023 | |
Subsequent Events [Abstract] | |
Subsequent Events | Subsequent EventsIn July 2023, we entered into a delayed draw term loan facility for $300 million, which remains undrawn. |
Basis of Preparation and Significant Accounting Policies Basis of Preparation and Significant Accounting Policies (Policies) |
6 Months Ended |
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Jun. 30, 2023 | |
Accounting Policies [Abstract] | |
Accounting Pronouncements | Accounting Pronouncements Adopted in 2023 In January 2017, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update 2017-04, Simplifying the Test for Goodwill Impairment (“ASU 2017-04”). Among other things, ASU 2017-04 requires the following: (1) the elimination of step two of the goodwill impairment test; entities will no longer utilize the implied fair value of their assets and liabilities for purposes of testing goodwill for impairment, and (2) the quantitative portion of the goodwill impairment test will be performed by comparing the fair value of a reporting unit with its carrying amount; an impairment charge is to be recognized for the excess of carrying amount over fair value, but only to the extent of the amount of goodwill allocated to that reporting unit. The effective date for this ASU was amended via ASU 2019-10, Effective Dates, and became effective for annual periods beginning after December 15, 2022. The adoption of this ASU did not have a material impact on the Company’s consolidated financial statements.
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Segment Reporting (Tables) |
6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2023 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Segment Reporting [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Summary of gross and net written and earned premiums, underwriting results, ratios and reserves for each of Company's business segments | The following tables provide a summary of gross and net written and earned premiums, underwriting income or loss, ratios and reserves for each of the Company’s business segments for six months ended June 30, 2023 and 2022:
_____________ (1) Corporate and other operating expenses includes other income/expenses, which were previously presented separately.
_____________ (1) Corporate and other operating expenses includes other income/expenses, which were previously presented separately.
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Investments (Tables) |
6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2023 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments, Debt and Equity Securities [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Summary of Investment Income | The following table summarizes investment income for the six months ended June 30, 2023 and 2022;
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Net Realized and Unrealized Investment Gains and Losses and Change in Unrealized Gains and Losses on Investments | The following table summarizes the net realized and unrealized investment gains and losses recorded in the consolidated statement of operations and the change in unrealized gains and losses on investments recorded in other comprehensive income for the six months ended June 30, 2023 and 2022:
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Cost or Amortized Cost, Unrealized and Realized Gains and Losses and Estimated Fair Value of Available for Sale Investments | 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, 2023 and December 31, 2022:
_____________ (1) For the six months ended June 30, 2023, there was a decrease in the CECL allowance on available-for-sale investments of $3.7 million (December 31, 2022 — $5.0 million increase).
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Cost, Gross Unrealized Gains and Losses, and Estimated Fair Value of Trading Investments in Fixed Income Maturities | 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, catastrophe bonds and privately-held investments as at June 30, 2023 and December 31, 2022:
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Schedule of Commercial Mortgage and Middle Market Loans | The following table presents the type of commercial mortgage loans and geographic region as at June 30, 2023 and December 31, 2022:
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Credit Quality Indicators of Commercial Mortgage and Middle Market Loans | A loan-to-value ratio in excess of 100% indicates the unpaid loan amount exceeds the underlying collateral. The following table represents the loan-to-value ratio of the commercial mortgage loan portfolio as at June 30, 2023 and December 31, 2022:
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Debt Service and Fixed Charge Coverage Ratios | The following table represents the debt-service coverage ratio of the commercial mortgage loan portfolio, excluding those that are non-performing and construction loans which are still under development, as at June 30, 2023 and December 31, 2022:
_______________ (1) As at June 30, 2023, we have non-performing loans of $Nil (December 31, 2022 — $Nil) and construction loans of $Nil (December 31, 2022 — $19.9 million) which only generate income when the construction is completed. As no income is currently being generated on these loans, they are not included in the table above. The total value of commercial mortgage loans is $295.0 million as at June 30, 2023 (December 31, 2022 — $312.1 million). The following represents the fixed charge coverage ratio of the middle market loan portfolio as at June 30, 2023 and December 31, 2022:
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Other Investments | The table below shows the Company’s investments in MVI, Multi-Line Reinsurer and Digital Re for the six months ended June 30, 2023 and the twelve months ended December 31, 2022:
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Summary of Fixed Maturities | The scheduled maturity distribution of the Company’s available for sale fixed income securities as at June 30, 2023 and December 31, 2022 is set forth below. Actual maturities may differ from contractual maturities because issuers of securities may have the right to call or prepay obligations with or without call or prepayment penalties.
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Aggregate Fair Value and Gross Unrealized Loss by Type of Security | The following tables summarize, by type of security, the aggregate fair value and gross unrealized loss by length of time the security has been in an unrealized loss position for the Company’s available for sale portfolio as at June 30, 2023 and December 31, 2022:
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Fair Value Measurements (Tables) |
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Fair Value Disclosures [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Assets Measured on Recurring Basis | The following tables present the level within the fair value hierarchy at which the Company’s financial assets and liabilities are measured on a recurring basis as at June 30, 2023 and December 31, 2022:
______________ (1)Other investments represents our investments in real estate, infrastructure and direct lending funds and are measured at fair value using the net asset value per share practical expedient. As a result this has not been classified in the fair value hierarchy. The fair value amounts presented in the table above are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the consolidated balance sheets. The investment in the real estate and other funds is subject to restrictions as detailed in Note 12(a), “Commitments and Contingencies.” (2)The loss portfolio transfer contract includes a funds withheld arrangement that provides variable interest expense based on Aspen’s investment performance. As a result, this funds withheld arrangement is considered an embedded derivative and accounted for as an option-based derivative.
______________ (1)Other investments represents our investments in real estate, infrastructure and direct lending funds and are measured at fair value using the net asset value per share practical expedient. As a result this has not been classified in the fair value hierarchy. The fair value amounts presented in the table above are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the consolidated balance sheets. The investment in the real estate funds is subject to restrictions as detailed in Note 12(a), “Commitments and Contingencies.”
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Fair Value, Measured on a Recurring Basis, Gain (Loss) Included in Earnings | The following table presents a reconciliation of the beginning and ending balances for all assets and liabilities measured at fair value on a recurring basis using Level 3 inputs for the six months ended June 30, 2023 and the twelve months ended December 31, 2022:
Valuation of Fixed Income Securities. The Company’s fixed income securities are classified as either available for sale or trading and are reported at fair value. As at June 30, 2023 and December 31, 2022, the Company’s fixed income securities were valued by pricing services or broker-dealers using standard market conventions. The market conventions utilize market quotations, market transactions in comparable instruments and various relationships between instruments including, but not limited to, yield to maturity, dollar prices and spread prices in determining value. Independent Pricing Services. The underlying methodology used to determine the fair value of securities in the Company’s available for sale and trading portfolios is by the pricing services. Pricing services will gather observable pricing inputs from multiple external sources, including buy and sell-side contacts and broker-dealers, in order to develop their internal prices. Pricing services provide pricing for less complex, liquid securities based on market quotations in active markets. Pricing services supply prices for a broad range of securities including those for actively traded securities, such as Treasury and other Government securities, in addition to those that trade less frequently or where valuation includes reference to credit spreads, pay down and pre-pay features and other observable inputs. These securities include Government agency, municipals, corporate and asset-backed securities. For securities that may trade less frequently or do not trade on a listed exchange, these pricing services may use matrix pricing consisting of observable market inputs to estimate the fair value of a security. These observable market inputs include reported trades, benchmark yields, broker-dealer quotes, issuer spreads, two-sided markets, benchmark securities, bids, offers, reference data, and industry and economic factors. Additionally, pricing services may use a valuation model such as an option adjusted spread model commonly used for estimating fair values of mortgage-backed and asset-backed securities. The Company does not derive dollar prices using an index as a pricing input for any individual security. Broker-Dealers. The Company obtains quotes from broker-dealers who are active in the corresponding markets when prices are unavailable from independent pricing services or index providers. Generally, broker-dealers value securities through their trading desks based on observable market inputs. Their pricing methodologies include mapping securities based on trade data, bids or offers, observed spreads and performance of newly issued securities. They may also establish pricing through observing secondary trading of similar securities. Quotes from broker-dealers are non-binding. The Company obtains prices for all of its fixed income investment securities via its third-party accounting service provider, and in the majority of cases receiving a number of quotes so as to obtain the most comprehensive information available to determine a security’s fair value. A single valuation is applied to each security based on the vendor hierarchy maintained by the Company’s third-party accounting service provider. As at June 30, 2023, the Company obtained an average of 2.8 quotes per fixed income investment compared to 2.9 quotes at December 31, 2022. The Company, in conjunction with its third-party accounting service provider, obtains an understanding of the methods, models and inputs used by the third-party pricing service and index providers to assess the ongoing appropriateness of vendors’ prices. The Company and its third-party accounting service provider also have controls in place to validate that amounts provided represent fair values. Processes to validate and review pricing include, but are not limited to: •quantitative analysis (e.g., comparing the quarterly return for each managed portfolio to its target benchmark, with significant differences identified and investigated); •comparison of market values obtained from pricing services and broker-dealers against alternative price sources for each security where further investigation is completed when significant differences exist for pricing of individual securities between pricing sources; •initial and ongoing evaluation of methodologies used by outside parties to calculate fair value; and •comparison of the fair value estimates to the Company’s knowledge of the current market. Prices obtained from pricing services and broker-dealers are not adjusted by us; however, prices provided by a pricing service, or broker-dealer in certain instances may be challenged based on market or information available from internal sources, including those available to the Company’s third-party investment accounting service provider. Subsequent to any challenge, revisions made by the pricing service or broker-dealer to the quotes are supplied to the Company’s investment accounting service provider. Management reviews the vendor hierarchy maintained by the Company’s third-party accounting service provider in order to determine which price source provides the most appropriate fair value (i.e., a price obtained from a pricing service with more seniority in the hierarchy will be used over a less senior one in all cases). The hierarchy level assigned to each security in the Company’s available for sale and trading portfolios is based upon its assessment of the transparency and reliability of the inputs used in the valuation as of the measurement date. The hierarchy of pricing services is determined using various qualitative and quantitative points arising from reviews of the vendors conducted by the Company’s third-party accounting service provider. Vendor reviews include annual due diligence meetings with index providers and pricing services vendors covering valuation methodology, operational walkthroughs and legal and compliance updates. Fixed Income Securities. Fixed income securities are traded on the over-the-counter (“OTC”) market based on prices provided by one or more market makers in each security. Securities such as U.S. Government, U.S. Agency, Foreign Government and investment grade corporate bonds have multiple market makers in addition to readily observable market value indicators such as expected credit spread, except for Treasury securities, over the yield curve. The Company uses a variety of pricing sources to value fixed income securities including those securities that have pay down/prepay features such as mortgage-backed securities and asset-backed securities in order to ensure fair and accurate pricing. The fair value estimates for the investment grade securities in the Company’s portfolio do not use significant unobservable inputs or modeling techniques. U.S. Government and Agency Securities. U.S. government and agency securities consist primarily of bonds issued by the U.S. Treasury and corporate debt issued by agencies such as the Federal National Mortgage Association (“FNMA”), the Federal Home Loan Mortgage Corporation (“FHLMC”) and the Federal Home Loan Bank. As the fair values of U.S. Treasury securities are based on unadjusted market prices in active markets, they are classified within Level 1. The fair values of U.S. government agency securities are priced using the spread above the risk-free yield curve. As the yields for the risk-free yield curve and the spreads for these securities are observable market inputs, the fair values of U.S. government agency securities are classified within Level 2. Municipal Securities. The Company’s municipal portfolio consist of bonds issued by U.S. domiciled state and municipality entities. The fair value of these securities is determined using spreads obtained from broker-dealers, trade prices and the new issue market which are Level 2 inputs in the fair value hierarchy. Consequently, these securities are classified within Level 2. Non-U.S. Government. The issuers for securities in this category are non-U.S. governments and their agents including, but not limited to, the U.K., Australia, Canada, France and Germany. The fair values of certain non-U.S. government bonds, primarily sourced from international indices, are based on unadjusted market prices in active markets and are therefore classified within Level 1. The remaining non-U.S. government bonds are classified within level 2 as they are not actively traded. The fair values of the non-U.S. agency securities, again primarily sourced from international indices, are priced using the spread above the risk-free yield curve. As the yields for the risk-free yield curve and the spreads for these securities are observable market inputs, the fair values of non-U.S. agency securities are classified within Level 2. In addition, foreign government securities include a portion of the Emerging Market Debt (“EMD”) portfolio which is also classified within Level 2. Corporate. Corporate securities consist primarily of short-term, medium-term and long-term debt issued by U.S. and foreign corporations covering a variety of industries and are generally priced by index providers and pricing vendors. Some issuers may participate in government programs which guarantee timely payment of principal and interest in the event of a default. The fair values of these securities are generally determined using the spread above the risk-free yield curve. Inputs used in the evaluation of these securities include credit data, interest rate data, market observations and sector news, broker-dealer quotes and trade volumes. In addition, corporate securities include a portion of the EMD portfolio. The Company classifies these securities across Level 1 and 2, with majority of them being in Level 1. Mortgage-backed Securities. Residential and commercial mortgage-backed securities consist of bonds issued by the Government National Mortgage Association, the FNMA and the FHLMC as well as private non-agency issuers. The fair values of these securities are determined through the use of a pricing model (including Option Adjusted Spread) which uses prepayment speeds and spreads to determine the appropriate average life of the mortgage-backed security. These spreads are generally obtained from broker-dealers, trade prices and the new issue market. As the significant inputs used to price mortgage-backed securities are observable market inputs, these securities are classified within Level 2. Asset-backed securities. Asset-backed securities are securities backed by notes or receivables against assets other than real estate. The underlying collateral for the Company’s asset-backed securities consists mainly of student loans, automobile loans and credit card receivables. These securities are primarily priced by index providers and pricing vendors. Inputs to the valuation process include broker-dealer quotes and other available trade information, prepayment speeds, interest rate data and credit spreads. The Company classifies these securities within Level 2. Privately-Held Investments. Privately-held investments are initially valued at cost or transaction value which approximates fair value. In subsequent measurement periods, the fair values of these securities are determined using internally developed discounted cash flow models. These models include inputs that are specific to each investment. The inputs used in the fair value measurements include dividend or interest rates and appropriate discount rates. The selection of an appropriate discount rate is judgmental and is the most significant unobservable input used in the valuation of these securities. A significant increase (decrease) in this input in isolation could result in significantly lower (higher) fair value measurement for privately-held investments. In order to assess the reasonableness of the inputs the Company uses in the discounted cash flow models, the Company maintains an understanding of current market conditions, issuer specific information that may impact future cash flows as well as collaboration with independent vendors for most securities to assess the reasonableness of the discount rate being used. Commercial mortgage loans. Commercial mortgage loans consists in investments in properties including apartments, hotels, office and retail buildings, other commercial properties and industrial properties. The commercial mortgage loan portfolio is diversified by property type, geographic region and issuer to reduce risks. Commercial Mortgage Loans are initially valued at cost or transaction value which approximates fair value. In subsequent measurement periods, the fair values of these securities are determined using internally developed discounted cash flow models and are classified as Level 3. Middle market loans. The middle market loans consist in investments in senior secured loan positions with full covenants, focused on the middle market in both U.S., Europe and the Caribbean. The middle market loan portfolio is diversified by industry type, geographic region and issuer to reduce risks. Middle Market Loans are initially valued at cost or transaction value which approximates fair value. In subsequent measurement periods, the fair values of these securities are determined using internally developed discounted cash flow models and are classified as Level 3. Asset-backed securities. Asset-backed securities represent interests in underlying pools of diversified referenced assets that are collateralized and backed by future cash flows and these securities are performing. The fair values of these securities are determined by using discounted cash flow models and are classified as Level 3. Global corporate securities. The global corporates portfolio consists of debt securities with a non-U.S. debt issuer that are backed by the cash flows generated from real estate holdings and these securities are performing. The fair value of these securities are determined by using discounted cash flow models and are classified as Level 3. Equity securities. Equity securities consists of a single non-U.S. based issuer that is a special purpose vehicle designed to grant a first lien right to the underlying senior notes within the structure. The underlying issuer is a financial services lender to middle market companies and this security is performing. The valuation of the investments is DCF and the securities are classified as Level 3. Short-term investments. Short-term investments consist of highly liquid debt securities with a maturity greater than three months but less than one year from the date of purchase. Short-term investments are classified as either trading or available for sale according to the facts and circumstances of the investment held. Short-term investments are valued in a manner similar to the Company’s fixed maturity investments and are classified within Levels 1 and 2. The following table summarizes the quantitative inputs and assumptions used for financial assets and liabilities investments categorized as Level 3 under the fair value hierarchy as at June 30, 2023:
Catastrophe Bonds. Catastrophe bonds are variable rate fixed income instruments with redemption values adjusted based on the occurrence of a covered event, usually windstorms and earthquakes. Catastrophe bonds are classified as trading and reported at fair value. Catastrophe bonds are priced using an average of multiple broker-dealer quotes and as such, are considered Level 2. Foreign Exchange Contracts. The foreign exchange contracts which the Company uses to mitigate currency risk are characterized as OTC due to their customized nature and the fact that they do not trade on a major exchange. These instruments trade in a very deep liquid market, providing substantial price transparency and accordingly are classified as Level 2. Derivative Liabilities - Loss Portfolio Transfer. The LPT embedded derivative is valued using the Black-Scholes model. The two primary inputs of this model are expected claim settlement patterns and expected return of the investment portfolio above a fixed minimum rate over the specified time horizon. The expected claim settlement pattern is determined on an actuarial basis for the cohort of business within scope of the LPT and is consistent with the patterns used in the valuation of technical provisions. The expected return of the investment portfolio, above a fixed minimum rate, directly impacts on the LPT derivative valuation and is subject to changes in the market conditions. In order to assess the reasonableness of the inputs, the Company updates the expected claim settlement patterns on a regular basis whilst maintaining an understanding of the current market conditions. Other Investments. The Company’s other investments represent our investments in real estate, infrastructure and direct lending funds. Adjustments to the fair values are made based on the net asset value of the investments. The net valuation criteria established by the manager of such investments are established in accordance with the governing documents and the asset manager’s valuation guidelines, which include: the discounted cash flows method and the performance multiple approach, which uses a multiple derived from market data of comparable companies or assets to produce operating performance metrics. Alternative valuation methodologies may be employed for investments with unusual characteristics.
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Reinsurance (Tables) |
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Reinsurance Disclosures [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Summary of Assumed and Ceded Reinsurance on Premiums Written, Premiums Earned and Insurance Losses and Loss Adjustment Expenses | The effect of ceded reinsurance on premiums written, premiums earned and insurance losses and loss adjustment expenses for the six months ended June 30, 2023 and 2022 was as follows:
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Derivative Contracts (Tables) |
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Derivative Instruments and Hedging Activities Disclosure [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value of Derivative Instruments | The following table summarizes information on the location and amounts of derivative fair values on the consolidated balance sheet as at June 30, 2023 and December 31, 2022:
______________ (1)Fair value is net of $2.7 million of cash collateral (December 31, 2022 — $3.7 million). (2) The LPT contains an embedded derivative within the contract in relation to the variable interest crediting rate.
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Gain/(Loss) Recognized in Income on Derivative | The following table provides the unrealized and realized gains/(losses) recorded in the consolidated statements of operations and other comprehensive income for derivatives that are not designated or designated as hedging instruments under ASC 815 — “Derivatives and Hedging” for the six months ended June 30, 2023 and 2022:
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Reserves for Losses and Adjustment Expenses (Tables) |
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Insurance [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Liability for Unpaid Claims and Claims Adjustment Expense | The following table represents a reconciliation of beginning and ending consolidated loss and LAE reserves for the six months at June 30, 2023 and June 30, 2022:
______________ (1) Net loss and LAE expenses transferred of $1,840.1 million relates to the LPT with Enstar and represents the net loss reserves as at May 20, 2022 (“Closing Date”) for losses in relation to 2019 and prior accident years, in addition to the $770.0 million of ceded reserves under the previous ADC agreement, recognizing a total recoverable of $2,610.1 million. These reserves were rolled forward from the initial effective date of September 30, 2021, at which time the net losses reserves were $3,120.0 million. As at June 30, 2023 the total amount recoverable from Enstar under the LPT was $1,877.3 million (As at December 31, 2022 — $2,132.0 million) which includes claims paid and reserve development since the Closing Date.
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Capital Structure (Tables) |
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Equity [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Summary of Authorized and Issued Share Capital | The following table provides a summary of the Company’s authorized and issued share capital as at June 30, 2023 and December 31, 2022:
______________ (1) Each depositary share represents a 1/1000th interest in a share of the 5.625% preference shares.
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Dividends (Tables) |
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Summary of Declared Dividends | Dividends. On June 1, 2023, the Company’s Board of Directors declared the following dividends:
______________ (1) The 5.625% Preference Shares are represented by depositary shares, each representing a 1/1000th interest in a share of the 5.625% Preference Shares. The dividend paid per depositary share is likewise 1/1000th of the declared dividend, equivalent to $0.35156 per depositary share. In the six months ended June 30, 2023, the Company paid an ordinary shares dividend of $20.0 million to Highlands Bermuda Holdco, Ltd., the holder of all the Company’s ordinary shares.
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Commitments and Contingencies (Tables) |
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Commitments and Contingencies Disclosure [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Company's Restricted Assets | The following table details the forms and value of Company’s material restricted assets as at June 30, 2023 and December 31, 2022:
(1)As at June 30, 2023, the Company had pledged funds as collateral for the secured letters of credit of $266.5 million (December 31, 2022 — $471.3 million). (2)Investable assets comprise total investments, cash and cash equivalents, accrued interest, receivables for securities sold and payables for securities purchased.
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Reclassifications from Accumulated Other Comprehensive Income (Tables) |
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Equity [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Accumulated Other Comprehensive Income Reclassification | The following table sets out the components of the Company’s AOCI that are reclassified into the condensed consolidated statement of operations for the six months ended June 30, 2023 and 2022:
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Segment Reporting - Additional Information - Narrative (Details) |
6 Months Ended |
---|---|
Jun. 30, 2023
segement
| |
Segment Reporting [Abstract] | |
Number of business segments | 2 |
Segment Reporting - Summary of Gross and Net Written and Earned Premiums, Underwriting Results, Ratios and Reserves for Each of Company's Business Segments (Details) - USD ($) $ in Millions |
6 Months Ended | |||||||
---|---|---|---|---|---|---|---|---|
Jun. 30, 2023 |
Jun. 30, 2022 |
Dec. 31, 2022 |
Dec. 31, 2021 |
|||||
Segment Reporting Information [Line Items] | ||||||||
Gross written premiums | $ 2,125.2 | $ 2,351.3 | ||||||
Net written premiums | 1,350.5 | 1,506.1 | ||||||
Net earned premiums | 1,287.4 | 1,327.2 | ||||||
Losses and loss adjustment expenses | 717.1 | 767.7 | ||||||
Acquisition costs | 192.9 | 216.5 | ||||||
General and administrative expenses | 169.0 | 186.5 | ||||||
Underwriting income (loss) | 208.4 | 156.5 | ||||||
Corporate and Other expenses | (53.1) | (43.3) | ||||||
Non-operating expenses | (10.6) | (3.6) | ||||||
Net investment income (1) | 129.4 | 88.7 | ||||||
Realized and unrealized investment gains | [1] | 36.1 | 2.5 | |||||
Realized and unrealized investment losses | [2] | (18.1) | (128.9) | |||||
Change in fair value of derivatives | 19.6 | (84.9) | ||||||
Interest Expense, Debt | (42.9) | (9.1) | ||||||
Net realized and unrealized foreign exchange losses | (13.7) | 75.2 | ||||||
Income (loss) from operations before income taxes | 255.1 | 53.1 | ||||||
Income Tax Expense (Benefit) | (36.2) | (4.7) | ||||||
Net income/(loss) | 218.9 | 48.4 | ||||||
Losses and loss adjustment expenses | 7,740.9 | 7,511.8 | $ 7,710.9 | $ 7,611.8 | ||||
Liability for Unpaid Claims and Claims Adjustment Expense, Net, Total | $ 3,082.9 | $ 2,505.3 | $ 2,813.2 | $ 4,313.7 | ||||
Ratios | ||||||||
Loss ratio | 55.70% | 57.80% | ||||||
Acquisition cost ratio | 15.00% | 16.30% | ||||||
General and administrative expense ratio | 13.10% | 14.10% | ||||||
Expense ratio | 28.10% | 30.40% | ||||||
Combined ratio | 83.80% | 88.20% | ||||||
Reinsurance | ||||||||
Segment Reporting Information [Line Items] | ||||||||
Losses and loss adjustment expenses | $ 1,441.2 | $ 1,190.4 | ||||||
Ratios | ||||||||
Loss ratio | 52.00% | 61.40% | ||||||
Acquisition cost ratio | 18.50% | 20.70% | ||||||
General and administrative expense ratio | 10.20% | 11.60% | ||||||
Expense ratio | 28.70% | 32.30% | ||||||
Combined ratio | 80.70% | 93.70% | ||||||
Insurance | ||||||||
Segment Reporting Information [Line Items] | ||||||||
Losses and loss adjustment expenses | $ 1,641.7 | $ 1,314.9 | ||||||
Ratios | ||||||||
Loss ratio | 58.70% | 54.90% | ||||||
Acquisition cost ratio | 12.20% | 12.70% | ||||||
General and administrative expense ratio | 15.50% | 16.10% | ||||||
Expense ratio | 27.70% | 28.80% | ||||||
Combined ratio | 86.40% | 83.70% | ||||||
Operating Segments | Reinsurance | ||||||||
Segment Reporting Information [Line Items] | ||||||||
Gross written premiums | $ 875.7 | $ 1,045.6 | ||||||
Net written premiums | 605.0 | 783.7 | ||||||
Net earned premiums | 572.0 | 600.8 | ||||||
Losses and loss adjustment expenses | 297.2 | 369.0 | ||||||
Acquisition costs | 105.7 | 124.1 | ||||||
General and administrative expenses | 58.4 | 69.7 | ||||||
Underwriting income (loss) | 110.7 | 38.0 | ||||||
Operating Segments | Insurance | ||||||||
Segment Reporting Information [Line Items] | ||||||||
Gross written premiums | 1,249.5 | 1,305.7 | ||||||
Net written premiums | 745.5 | 722.4 | ||||||
Net earned premiums | 715.4 | 726.4 | ||||||
Losses and loss adjustment expenses | 419.9 | 398.7 | ||||||
Acquisition costs | 87.2 | 92.4 | ||||||
General and administrative expenses | 110.6 | 116.8 | ||||||
Underwriting income (loss) | $ 97.7 | $ 118.5 | ||||||
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Investments - Summary of Investment Income (Details) - USD ($) $ in Millions |
6 Months Ended | |
---|---|---|
Jun. 30, 2023 |
Jun. 30, 2022 |
|
Schedule of Investment Income, Reported Amounts, by Category [Line Items] | ||
Investment income | $ (134.7) | $ (93.5) |
Investment expenses | (5.3) | (4.8) |
Net investment income | 129.4 | 88.7 |
Fixed income securities | ||
Schedule of Investment Income, Reported Amounts, by Category [Line Items] | ||
Investment income | (55.7) | (44.5) |
Short-term investments | ||
Schedule of Investment Income, Reported Amounts, by Category [Line Items] | ||
Investment income | (1.6) | 0.0 |
Short-term investment, Trading | ||
Schedule of Investment Income, Reported Amounts, by Category [Line Items] | ||
Investment income | (0.1) | 0.0 |
Fixed term deposits (included in cash and cash equivalents) | ||
Schedule of Investment Income, Reported Amounts, by Category [Line Items] | ||
Investment income | (17.3) | (0.5) |
Catastrophe bonds — Trading | ||
Schedule of Investment Income, Reported Amounts, by Category [Line Items] | ||
Investment income | (1.1) | (0.1) |
Privately-held investments — Trading | ||
Schedule of Investment Income, Reported Amounts, by Category [Line Items] | ||
Investment income | (21.5) | (8.8) |
Other investments, at fair value | ||
Schedule of Investment Income, Reported Amounts, by Category [Line Items] | ||
Investment income | 10.4 | (20.7) |
Fixed Income Securities | ||
Schedule of Investment Income, Reported Amounts, by Category [Line Items] | ||
Investment income | $ (47.8) | $ (18.9) |
Investments - Net Realized and Unrealized Investment Gains and Losses and Change in Unrealized Gains and Losses on Investments (Details) - USD ($) $ in Millions |
6 Months Ended | |
---|---|---|
Jun. 30, 2023 |
Jun. 30, 2022 |
|
Schedule of Investment Income, Reported Amounts, by Category [Line Items] | ||
Fixed income securities - gross realized gains | $ 0.4 | $ 1.4 |
Fixed income securities - gross realizes (losses) | (6.9) | (29.9) |
Net change in expected credit gains (losses) | 3.7 | (7.7) |
Fixed income securities, trading - gross realized gains | 0.3 | 0.0 |
Fixed income securities, trading, gross realizes (losses) | (1.1) | (0.2) |
Privately-held investments net unrealized gains/(losses) | 31.0 | (89.6) |
Catastrophe bonds | (0.6) | (0.1) |
Total net realized and unrealized investment gains/(losses) recorded in the consolidated statement of operations | 18.0 | (126.4) |
Change in available for sale net unrealized gains/(losses): | ||
Fixed income securities gains/(losses) | 12.3 | (316.0) |
Income tax (expense)/benefit | (1.6) | 29.5 |
Total change in net unrealized gains/(losses), net of taxes recorded in other comprehensive income | 10.7 | (286.5) |
Cash and cash equivalents | ||
Schedule of Investment Income, Reported Amounts, by Category [Line Items] | ||
Fixed income securities - gross realized gains | 0.1 | 0.9 |
Fixed income securities - gross realizes (losses) | (0.1) | (0.2) |
Fixed income securities, trading - gross realized gains | 0.1 | 0.0 |
Fixed income securities, trading, gross realizes (losses) | (0.2) | 0.0 |
Privately-held investments | ||
Schedule of Investment Income, Reported Amounts, by Category [Line Items] | ||
Fixed income securities, trading - gross realized gains | 0.1 | 0.2 |
Privately-held investments net unrealized gains/(losses) | 9.0 | 1.3 |
Short-term investments | ||
Schedule of Investment Income, Reported Amounts, by Category [Line Items] | ||
Fixed income securities - gross realizes (losses) | (0.2) | 0.0 |
Multi-Line Insurer | ||
Schedule of Investment Income, Reported Amounts, by Category [Line Items] | ||
Income/(loss) from equity method investment | $ 0.4 | $ 0.1 |
Investments - Cost, Gross Unrealized Gains and Losses, and Estimated Fair Value of Available for Sale Investments in Fixed Income Maturities and Short-Term Investments (Details) $ in Millions |
Jun. 30, 2023
USD ($)
security
Security
|
Dec. 31, 2022
USD ($)
security
Security
|
---|---|---|
Schedule of Trading Securities and Other Trading Items [Line Items] | ||
Available for sale investments in fixed income maturities, Fair Market Value | $ 3,908.2 | $ 3,788.6 |
Gross unrealized gains | 2.4 | 3.6 |
Gross unrealized losses | (321.4) | (338.6) |
Allowance for credit losses | (4.0) | (7.7) |
Fixed income securities, available for sale amortized cost | 4,231.2 | 4,131.3 |
0-12 months, Fair Market Value | 1,175.6 | 2,321.4 |
Debt Securities, Available-for-Sale, Continuous Unrealized Loss Position, Less than 12 Months | 32.5 | 145.4 |
Over 12 months, Fair Market Value | 2,582.7 | 1,323.7 |
Debt Securities, Available for Sale, Continuous Loss Position, Fair Market Value | 3,758.3 | 3,645.1 |
Debt Securities, Available-for-sale, Unrealized Loss Position, Accumulated Loss | $ 321.4 | $ 339.0 |
Number of Securities | security | 1,193 | 1,166 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | $ (288.9) | $ (193.6) |
Total short-term investments — Available for sale | ||
Schedule of Trading Securities and Other Trading Items [Line Items] | ||
Gross unrealized gains | 0.0 | 0.0 |
Gross unrealized losses | 0.0 | (0.4) |
Allowance for credit losses | 0.0 | 0.0 |
Total fixed income securities — Available for sale | ||
Schedule of Trading Securities and Other Trading Items [Line Items] | ||
Available for sale investments in fixed income maturities, Fair Market Value | 4,077.5 | 3,840.6 |
Gross unrealized gains | 2.4 | 3.6 |
Gross unrealized losses | (321.4) | (339.0) |
Allowance for credit losses | (4.0) | (7.7) |
Fixed income securities, available for sale amortized cost | 4,400.5 | 4,183.7 |
Fixed income securities — Available for sale | ||
Schedule of Trading Securities and Other Trading Items [Line Items] | ||
0-12 months, Fair Market Value | 1,163.8 | 2,269.5 |
Debt Securities, Available-for-Sale, Continuous Unrealized Loss Position, Less than 12 Months | 32.5 | 145.0 |
Over 12 months, Fair Market Value | 2,582.7 | 1,323.7 |
Debt Securities, Available for Sale, Continuous Loss Position, Fair Market Value | 3,746.5 | 3,593.2 |
Debt Securities, Available-for-sale, Unrealized Loss Position, Accumulated Loss | $ 321.4 | $ 338.6 |
Number of Securities | Security | 1,188 | 1,165 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | $ (288.9) | $ (193.6) |
Short-term investments | ||
Schedule of Trading Securities and Other Trading Items [Line Items] | ||
0-12 months, Fair Market Value | 11.8 | 51.9 |
Debt Securities, Available-for-Sale, Continuous Unrealized Loss Position, Less than 12 Months | 0.0 | 0.4 |
Over 12 months, Fair Market Value | 0.0 | 0.0 |
Debt Securities, Available for Sale, Continuous Loss Position, Fair Market Value | 11.8 | 51.9 |
Debt Securities, Available-for-sale, Unrealized Loss Position, Accumulated Loss | $ 0.0 | $ 0.4 |
Number of Securities | 5 | 1 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | $ 0.0 | $ 0.0 |
U.S. government | ||
Schedule of Trading Securities and Other Trading Items [Line Items] | ||
Available for sale investments in fixed income maturities, Fair Market Value | 1,013.8 | 953.0 |
Gross unrealized gains | 0.0 | 0.0 |
Gross unrealized losses | (51.1) | (50.7) |
Allowance for credit losses | 0.0 | 0.0 |
Fixed income securities, available for sale amortized cost | 1,064.9 | 1,003.7 |
0-12 months, Fair Market Value | 494.8 | 741.1 |
Debt Securities, Available-for-Sale, Continuous Unrealized Loss Position, Less than 12 Months | 12.8 | 30.6 |
Over 12 months, Fair Market Value | 519.1 | 203.4 |
Debt Securities, Available for Sale, Continuous Loss Position, Fair Market Value | 1,013.9 | 944.5 |
Debt Securities, Available-for-sale, Unrealized Loss Position, Accumulated Loss | $ 51.1 | $ 50.7 |
Number of Securities | security | 105 | 118 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | $ (38.3) | $ (20.1) |
U.S. agency | ||
Schedule of Trading Securities and Other Trading Items [Line Items] | ||
Available for sale investments in fixed income maturities, Fair Market Value | 8.2 | 8.8 |
Gross unrealized gains | 0.0 | 0.0 |
Gross unrealized losses | (0.4) | (0.4) |
Allowance for credit losses | 0.0 | 0.0 |
Fixed income securities, available for sale amortized cost | 8.6 | 9.2 |
0-12 months, Fair Market Value | 7.0 | 7.1 |
Debt Securities, Available-for-Sale, Continuous Unrealized Loss Position, Less than 12 Months | 0.4 | 0.4 |
Over 12 months, Fair Market Value | 1.1 | 1.7 |
Debt Securities, Available for Sale, Continuous Loss Position, Fair Market Value | 8.1 | 8.8 |
Debt Securities, Available-for-sale, Unrealized Loss Position, Accumulated Loss | $ 0.4 | $ 0.4 |
Number of Securities | security | 4 | 5 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | $ 0.0 | $ 0.0 |
Municipal | ||
Schedule of Trading Securities and Other Trading Items [Line Items] | ||
Available for sale investments in fixed income maturities, Fair Market Value | 149.5 | 149.5 |
Gross unrealized gains | 0.0 | 0.0 |
Gross unrealized losses | (8.8) | (9.4) |
Allowance for credit losses | (0.7) | (1.0) |
Fixed income securities, available for sale amortized cost | 159.0 | 159.9 |
0-12 months, Fair Market Value | 90.9 | 133.1 |
Debt Securities, Available-for-Sale, Continuous Unrealized Loss Position, Less than 12 Months | 3.7 | 7.1 |
Over 12 months, Fair Market Value | 58.7 | 16.4 |
Debt Securities, Available for Sale, Continuous Loss Position, Fair Market Value | 149.6 | 149.5 |
Debt Securities, Available-for-sale, Unrealized Loss Position, Accumulated Loss | $ 8.8 | $ 9.4 |
Number of Securities | security | 60 | 59 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | $ (5.1) | $ (2.3) |
Corporate | ||
Schedule of Trading Securities and Other Trading Items [Line Items] | ||
Available for sale investments in fixed income maturities, Fair Market Value | 1,875.9 | 1,845.0 |
Gross unrealized gains | 2.4 | 3.5 |
Gross unrealized losses | (155.2) | (169.1) |
Allowance for credit losses | (3.2) | (6.3) |
Fixed income securities, available for sale amortized cost | 2,031.9 | 2,016.9 |
0-12 months, Fair Market Value | 467.4 | 1,104.7 |
Debt Securities, Available-for-Sale, Continuous Unrealized Loss Position, Less than 12 Months | 13.1 | 77.6 |
Over 12 months, Fair Market Value | 1,254.7 | 568.2 |
Debt Securities, Available for Sale, Continuous Loss Position, Fair Market Value | 1,722.1 | 1,672.9 |
Debt Securities, Available-for-sale, Unrealized Loss Position, Accumulated Loss | $ 155.2 | $ 169.1 |
Number of Securities | security | 727 | 701 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | $ (142.1) | $ (91.5) |
Non-U.S. government-backed corporate | ||
Schedule of Trading Securities and Other Trading Items [Line Items] | ||
Available for sale investments in fixed income maturities, Fair Market Value | 110.9 | 110.4 |
Gross unrealized gains | 0.0 | 0.0 |
Gross unrealized losses | (8.7) | (8.8) |
Allowance for credit losses | 0.0 | (0.2) |
Fixed income securities, available for sale amortized cost | 119.6 | 119.4 |
0-12 months, Fair Market Value | 5.2 | 11.3 |
Debt Securities, Available-for-Sale, Continuous Unrealized Loss Position, Less than 12 Months | 0.0 | 0.5 |
Over 12 months, Fair Market Value | 105.7 | 99.0 |
Debt Securities, Available for Sale, Continuous Loss Position, Fair Market Value | 110.9 | 110.3 |
Debt Securities, Available-for-sale, Unrealized Loss Position, Accumulated Loss | $ 8.7 | $ 8.8 |
Number of Securities | security | 16 | 16 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | $ (8.7) | $ (8.3) |
Non-U.S government | ||
Schedule of Trading Securities and Other Trading Items [Line Items] | ||
Available for sale investments in fixed income maturities, Fair Market Value | 269.2 | 213.6 |
Gross unrealized gains | 0.0 | 0.1 |
Gross unrealized losses | (12.0) | (11.5) |
Allowance for credit losses | (0.1) | (0.2) |
Fixed income securities, available for sale amortized cost | 281.3 | 225.2 |
0-12 months, Fair Market Value | 80.1 | 63.8 |
Debt Securities, Available-for-Sale, Continuous Unrealized Loss Position, Less than 12 Months | 1.2 | 2.9 |
Over 12 months, Fair Market Value | 182.2 | 135.9 |
Debt Securities, Available for Sale, Continuous Loss Position, Fair Market Value | 262.3 | 199.7 |
Debt Securities, Available-for-sale, Unrealized Loss Position, Accumulated Loss | $ 12.0 | $ 11.5 |
Number of Securities | security | 61 | 45 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | $ (10.8) | $ (8.6) |
Non-agency commercial mortgage-backed securities | ||
Schedule of Trading Securities and Other Trading Items [Line Items] | ||
Available for sale investments in fixed income maturities, Fair Market Value | 5.7 | 5.6 |
Gross unrealized gains | 0.0 | 0.0 |
Gross unrealized losses | (0.9) | (1.0) |
Allowance for credit losses | 0.0 | 0.0 |
Fixed income securities, available for sale amortized cost | 6.6 | 6.6 |
0-12 months, Fair Market Value | 0.0 | 5.6 |
Debt Securities, Available-for-Sale, Continuous Unrealized Loss Position, Less than 12 Months | 0.0 | 1.0 |
Over 12 months, Fair Market Value | 5.6 | 0.0 |
Debt Securities, Available for Sale, Continuous Loss Position, Fair Market Value | 5.6 | 5.6 |
Debt Securities, Available-for-sale, Unrealized Loss Position, Accumulated Loss | $ 0.9 | $ 1.0 |
Number of Securities | security | 1 | 1 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | $ (0.9) | $ 0.0 |
Agency mortgage-backed | ||
Schedule of Trading Securities and Other Trading Items [Line Items] | ||
Available for sale investments in fixed income maturities, Fair Market Value | 475.0 | 502.7 |
Gross unrealized gains | 0.0 | 0.0 |
Gross unrealized losses | (84.3) | (87.7) |
Allowance for credit losses | 0.0 | 0.0 |
Fixed income securities, available for sale amortized cost | 559.3 | 590.4 |
0-12 months, Fair Market Value | 18.4 | 202.8 |
Debt Securities, Available-for-Sale, Continuous Unrealized Loss Position, Less than 12 Months | 1.3 | 24.9 |
Over 12 months, Fair Market Value | 455.6 | 299.1 |
Debt Securities, Available for Sale, Continuous Loss Position, Fair Market Value | 474.0 | 501.9 |
Debt Securities, Available-for-sale, Unrealized Loss Position, Accumulated Loss | $ 84.3 | $ 87.7 |
Number of Securities | security | 214 | 220 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | $ (83.0) | $ (62.8) |
Total short-term investments — Available for sale | ||
Schedule of Trading Securities and Other Trading Items [Line Items] | ||
Available for sale investments in fixed income maturities, Fair Market Value | 169.3 | 52.0 |
Fixed income securities, available for sale amortized cost | $ 169.3 | $ 52.4 |
Investments - Cost, Gross Unrealized Gains and Losses, and Estimated Fair Value of Trading Investments in Fixed Income Maturities (Details) - USD ($) $ in Millions |
Jun. 30, 2023 |
Dec. 31, 2022 |
---|---|---|
Schedule of Trading Securities and Other Trading Items [Line Items] | ||
Debt Securities, Trading, Amortized Cost | $ 1,552.7 | $ 1,576.7 |
High yield loans | ||
Schedule of Trading Securities and Other Trading Items [Line Items] | ||
Gross Unrealized Gains | 1.2 | 0.2 |
Gross Unrealized Losses | (0.7) | (2.1) |
Fair market value, trading | 86.6 | 88.3 |
Debt Securities, Trading, Amortized Cost | 86.1 | 90.2 |
Fixed income securities - trading | ||
Schedule of Trading Securities and Other Trading Items [Line Items] | ||
Gross Unrealized Gains | 2.5 | 0.7 |
Gross Unrealized Losses | (76.7) | (101.9) |
Fair market value, trading | 1,478.5 | 1,475.5 |
Debt Securities, Trading, Amortized Cost | 1,552.7 | 1,576.7 |
Short-term investments | ||
Schedule of Trading Securities and Other Trading Items [Line Items] | ||
Gross Unrealized Gains | 0.0 | 0.0 |
Gross Unrealized Losses | 0.0 | 0.0 |
Fair market value, trading | 11.0 | 6.3 |
Debt Securities, Trading, Amortized Cost | 11.0 | 6.3 |
Catastrophe Bonds | ||
Schedule of Trading Securities and Other Trading Items [Line Items] | ||
Gross Unrealized Gains | 0.0 | 0.0 |
Gross Unrealized Losses | 0.0 | (2.2) |
Fair market value, trading | 2.4 | 2.9 |
Debt Securities, Trading, Amortized Cost | 2.4 | 5.1 |
Commercial mortgage loans | ||
Schedule of Trading Securities and Other Trading Items [Line Items] | ||
Gross Unrealized Gains | 1.3 | 0.6 |
Gross Unrealized Losses | (11.8) | (1.1) |
Fair market value, trading | 295.0 | 312.1 |
Debt Securities, Trading, Amortized Cost | 305.5 | 312.6 |
Middle market loans | ||
Schedule of Trading Securities and Other Trading Items [Line Items] | ||
Gross Unrealized Gains | 0.0 | 0.0 |
Gross Unrealized Losses | (2.0) | (2.1) |
Fair market value, trading | 102.1 | 106.9 |
Debt Securities, Trading, Amortized Cost | 104.1 | 109.0 |
Securities, asset-backed | ||
Schedule of Trading Securities and Other Trading Items [Line Items] | ||
Gross Unrealized Gains | 0.0 | 0.0 |
Gross Unrealized Losses | (1.1) | (2.0) |
Fair market value, trading | 58.4 | 66.8 |
Debt Securities, Trading, Amortized Cost | 59.5 | 68.8 |
Global corporates securities | ||
Schedule of Trading Securities and Other Trading Items [Line Items] | ||
Gross Unrealized Gains | 0.0 | 0.0 |
Gross Unrealized Losses | (0.1) | (0.1) |
Fair market value, trading | 14.8 | 15.0 |
Debt Securities, Trading, Amortized Cost | 14.9 | 15.1 |
Equity securities — Trading | ||
Schedule of Trading Securities and Other Trading Items [Line Items] | ||
Gross Unrealized Gains | 0.0 | 0.0 |
Gross Unrealized Losses | 0.0 | 0.0 |
Fair market value, trading | 12.1 | 6.6 |
Debt Securities, Trading, Amortized Cost | 12.1 | 6.6 |
Short-term investments | ||
Schedule of Trading Securities and Other Trading Items [Line Items] | ||
Gross Unrealized Gains | 0.0 | |
Gross Unrealized Losses | 0.0 | |
Fair market value, trading | 25.6 | |
Debt Securities, Trading, Amortized Cost | 25.6 | |
Privately-held investments | ||
Schedule of Trading Securities and Other Trading Items [Line Items] | ||
Gross Unrealized Gains | 1.3 | 0.6 |
Gross Unrealized Losses | (15.0) | (5.3) |
Fair market value, trading | 482.4 | 533.0 |
Debt Securities, Trading, Amortized Cost | 496.1 | 537.7 |
Total - Trading | ||
Schedule of Trading Securities and Other Trading Items [Line Items] | ||
Gross Unrealized Gains | 3.8 | 1.3 |
Gross Unrealized Losses | (91.7) | (109.4) |
Fair market value, trading | 1,974.3 | 2,017.7 |
Debt Securities, Trading, Amortized Cost | 2,062.2 | 2,125.8 |
U.S. government | ||
Schedule of Trading Securities and Other Trading Items [Line Items] | ||
Gross Unrealized Gains | 0.0 | 0.0 |
Gross Unrealized Losses | (6.9) | (6.3) |
Fair market value, trading | 235.0 | 261.6 |
Debt Securities, Trading, Amortized Cost | 241.9 | 267.9 |
Municipal | ||
Schedule of Trading Securities and Other Trading Items [Line Items] | ||
Gross Unrealized Gains | 0.0 | 0.0 |
Gross Unrealized Losses | (0.3) | (0.3) |
Fair market value, trading | 3.1 | 3.6 |
Debt Securities, Trading, Amortized Cost | 3.4 | 3.9 |
Corporate | ||
Schedule of Trading Securities and Other Trading Items [Line Items] | ||
Gross Unrealized Gains | 0.3 | 0.3 |
Gross Unrealized Losses | (11.8) | (13.5) |
Fair market value, trading | 165.4 | 162.1 |
Debt Securities, Trading, Amortized Cost | 176.9 | 175.3 |
Non-U.S government | ||
Schedule of Trading Securities and Other Trading Items [Line Items] | ||
Gross Unrealized Gains | 0.0 | 0.0 |
Gross Unrealized Losses | (1.7) | (1.8) |
Fair market value, trading | 34.1 | 30.4 |
Debt Securities, Trading, Amortized Cost | 35.8 | 32.2 |
Asset-backed | ||
Schedule of Trading Securities and Other Trading Items [Line Items] | ||
Gross Unrealized Gains | 1.0 | 0.2 |
Gross Unrealized Losses | (51.6) | (74.0) |
Fair market value, trading | 924.6 | 896.5 |
Debt Securities, Trading, Amortized Cost | 975.2 | 970.3 |
Agency mortgage-backed | ||
Schedule of Trading Securities and Other Trading Items [Line Items] | ||
Gross Unrealized Gains | 0.0 | 0.0 |
Gross Unrealized Losses | (3.2) | (3.3) |
Fair market value, trading | 20.1 | 21.4 |
Debt Securities, Trading, Amortized Cost | 23.3 | 24.7 |
Non-U.S. government-backed corporate | ||
Schedule of Trading Securities and Other Trading Items [Line Items] | ||
Gross Unrealized Gains | 0.0 | 0.0 |
Gross Unrealized Losses | (0.5) | (0.6) |
Fair market value, trading | 9.6 | 11.6 |
Debt Securities, Trading, Amortized Cost | $ 10.1 | $ 12.2 |
Investments Investments - Distribution of Commercial Mortgage and Middle Market Loans (Details) - USD ($) $ in Millions |
6 Months Ended | 12 Months Ended |
---|---|---|
Jun. 30, 2023 |
Dec. 31, 2022 |
|
Commercial mortgage loans | ||
SEC Schedule, 12-28, Real Estate Companies, Investment in Real Estate and Accumulated Depreciation [Line Items] | ||
Fair market value, trading | $ 295.0 | $ 312.1 |
Middle market loans | ||
SEC Schedule, 12-28, Real Estate Companies, Investment in Real Estate and Accumulated Depreciation [Line Items] | ||
Fair market value, trading | $ 102.1 | $ 106.9 |
Investment, Net Carrying Value | Commercial mortgage loans | Product Concentration Risk | ||
SEC Schedule, 12-28, Real Estate Companies, Investment in Real Estate and Accumulated Depreciation [Line Items] | ||
Concentration risk percentage | 100.00% | 100.00% |
Investment, Net Carrying Value | Commercial mortgage loans | Product Concentration Risk | Apartment | ||
SEC Schedule, 12-28, Real Estate Companies, Investment in Real Estate and Accumulated Depreciation [Line Items] | ||
Fair market value, trading | $ 107.8 | $ 115.3 |
Concentration risk percentage | 36.60% | 36.90% |
Investment, Net Carrying Value | Commercial mortgage loans | Product Concentration Risk | Hotel | ||
SEC Schedule, 12-28, Real Estate Companies, Investment in Real Estate and Accumulated Depreciation [Line Items] | ||
Fair market value, trading | $ 98.1 | $ 108.0 |
Concentration risk percentage | 33.30% | 34.60% |
Investment, Net Carrying Value | Commercial mortgage loans | Product Concentration Risk | Office building | ||
SEC Schedule, 12-28, Real Estate Companies, Investment in Real Estate and Accumulated Depreciation [Line Items] | ||
Fair market value, trading | $ 45.9 | $ 42.1 |
Concentration risk percentage | 15.50% | 13.50% |
Investment, Net Carrying Value | Commercial mortgage loans | Product Concentration Risk | Other commercial | ||
SEC Schedule, 12-28, Real Estate Companies, Investment in Real Estate and Accumulated Depreciation [Line Items] | ||
Fair market value, trading | $ 37.9 | $ 41.4 |
Concentration risk percentage | 12.80% | 13.30% |
Investment, Net Carrying Value | Commercial mortgage loans | Product Concentration Risk | Retail | ||
SEC Schedule, 12-28, Real Estate Companies, Investment in Real Estate and Accumulated Depreciation [Line Items] | ||
Fair market value, trading | $ 3.3 | $ 3.3 |
Concentration risk percentage | 1.10% | 1.10% |
Investment, Net Carrying Value | Commercial mortgage loans | Product Concentration Risk | Industrial | ||
SEC Schedule, 12-28, Real Estate Companies, Investment in Real Estate and Accumulated Depreciation [Line Items] | ||
Fair market value, trading | $ 2.0 | $ 2.0 |
Concentration risk percentage | 0.70% | 0.60% |
Investment, Net Carrying Value | Commercial mortgage loans | Geographic Concentration Risk | ||
SEC Schedule, 12-28, Real Estate Companies, Investment in Real Estate and Accumulated Depreciation [Line Items] | ||
Concentration risk percentage | 100.00% | 100.00% |
Investment, Net Carrying Value | Middle market loans | Product Concentration Risk | ||
SEC Schedule, 12-28, Real Estate Companies, Investment in Real Estate and Accumulated Depreciation [Line Items] | ||
Concentration risk percentage | 100.00% | 100.00% |
Investment, Net Carrying Value | Middle market loans | Product Concentration Risk | Materials | ||
SEC Schedule, 12-28, Real Estate Companies, Investment in Real Estate and Accumulated Depreciation [Line Items] | ||
Fair market value, trading | $ 20.0 | $ 19.8 |
Concentration risk percentage | 19.60% | 18.50% |
Investment, Net Carrying Value | Middle market loans | Product Concentration Risk | Financials | ||
SEC Schedule, 12-28, Real Estate Companies, Investment in Real Estate and Accumulated Depreciation [Line Items] | ||
Fair market value, trading | $ 48.3 | $ 53.1 |
Concentration risk percentage | 47.30% | 49.70% |
Investment, Net Carrying Value | Middle market loans | Product Concentration Risk | Industrials | ||
SEC Schedule, 12-28, Real Estate Companies, Investment in Real Estate and Accumulated Depreciation [Line Items] | ||
Fair market value, trading | $ 18.6 | $ 18.7 |
Concentration risk percentage | 18.20% | 17.50% |
Investment, Net Carrying Value | Middle market loans | Product Concentration Risk | Consumer discretionary | ||
SEC Schedule, 12-28, Real Estate Companies, Investment in Real Estate and Accumulated Depreciation [Line Items] | ||
Fair market value, trading | $ 4.9 | $ 4.9 |
Concentration risk percentage | 4.80% | 4.60% |
Investment, Net Carrying Value | Middle market loans | Product Concentration Risk | Energy | ||
SEC Schedule, 12-28, Real Estate Companies, Investment in Real Estate and Accumulated Depreciation [Line Items] | ||
Fair market value, trading | $ 5.6 | $ 5.7 |
Concentration risk percentage | 5.50% | 5.30% |
Investment, Net Carrying Value | Middle market loans | Product Concentration Risk | Information technology | ||
SEC Schedule, 12-28, Real Estate Companies, Investment in Real Estate and Accumulated Depreciation [Line Items] | ||
Fair market value, trading | $ 4.7 | $ 4.7 |
Concentration risk percentage | 4.60% | 4.40% |
Investment, Net Carrying Value | Middle market loans | Geographic Concentration Risk | ||
SEC Schedule, 12-28, Real Estate Companies, Investment in Real Estate and Accumulated Depreciation [Line Items] | ||
Concentration risk percentage | 100.00% | 100.00% |
U.S. | Investment, Net Carrying Value | Commercial mortgage loans | Geographic Concentration Risk | ||
SEC Schedule, 12-28, Real Estate Companies, Investment in Real Estate and Accumulated Depreciation [Line Items] | ||
Fair market value, trading | $ 263.6 | $ 269.8 |
Concentration risk percentage | 89.40% | 86.40% |
U.S. | Investment, Net Carrying Value | Middle market loans | Geographic Concentration Risk | ||
SEC Schedule, 12-28, Real Estate Companies, Investment in Real Estate and Accumulated Depreciation [Line Items] | ||
Fair market value, trading | $ 59.4 | $ 64.1 |
Concentration risk percentage | 58.20% | 60.00% |
International | Investment, Net Carrying Value | Commercial mortgage loans | Geographic Concentration Risk | ||
SEC Schedule, 12-28, Real Estate Companies, Investment in Real Estate and Accumulated Depreciation [Line Items] | ||
Fair market value, trading | $ 31.4 | $ 42.3 |
Concentration risk percentage | 10.60% | 13.60% |
International | Investment, Net Carrying Value | Middle market loans | Geographic Concentration Risk | ||
SEC Schedule, 12-28, Real Estate Companies, Investment in Real Estate and Accumulated Depreciation [Line Items] | ||
Fair market value, trading | $ 42.7 | $ 42.8 |
Concentration risk percentage | 41.80% | 40.00% |
Investments Investments - Loan-to-Value Ratios (Details) - USD ($) $ in Millions |
Jun. 30, 2023 |
Dec. 31, 2022 |
---|---|---|
Commercial mortgage loans | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Fair market value, trading | $ 295.0 | $ 312.1 |
Commercial mortgage loans | Less than 50 Percent | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Fair market value, trading | 47.5 | 41.1 |
Commercial mortgage loans | 50 to 60 Percent | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Fair market value, trading | 227.3 | 248.3 |
Commercial mortgage loans | 61 to 70 Percent | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Fair market value, trading | 20.2 | 22.7 |
Middle market loans | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Fair market value, trading | 102.1 | 106.9 |
Middle market loans | Less than 50 Percent | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Fair market value, trading | 63.5 | 63.5 |
Middle market loans | 50 to 60 Percent | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Fair market value, trading | 23.3 | 16.4 |
Middle market loans | 61 to 70 Percent | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Fair market value, trading | $ 15.3 | $ 27.0 |
Investments Investments - Debt Service and Fixed Charge Coverage Ratios (Details) - USD ($) $ in Millions |
Jun. 30, 2023 |
Dec. 31, 2022 |
---|---|---|
Commercial mortgage loans | ||
Loans and Leases Receivable Disclosure [Line Items] | ||
Fair market value, trading | $ 295.0 | $ 312.1 |
Commercial mortgage loans | 295.0 | 292.2 |
Delinquent amount of loans at end of period | 0.0 | 19.9 |
Commercial mortgage loans | Nonperforming loans | ||
Loans and Leases Receivable Disclosure [Line Items] | ||
Fair market value, trading | 0.0 | 0.0 |
Commercial mortgage loans | Less than 50 Percent | ||
Loans and Leases Receivable Disclosure [Line Items] | ||
Fair market value, trading | 47.5 | 41.1 |
Commercial mortgage loans | 50 to 60 Percent | ||
Loans and Leases Receivable Disclosure [Line Items] | ||
Fair market value, trading | 227.3 | 248.3 |
Commercial mortgage loans | 61 to 70 Percent | ||
Loans and Leases Receivable Disclosure [Line Items] | ||
Fair market value, trading | 20.2 | 22.7 |
Middle market loans | ||
Loans and Leases Receivable Disclosure [Line Items] | ||
Fair market value, trading | 102.1 | 106.9 |
Middle market loans | Less than 50 Percent | ||
Loans and Leases Receivable Disclosure [Line Items] | ||
Fair market value, trading | 63.5 | 63.5 |
Middle market loans | 50 to 60 Percent | ||
Loans and Leases Receivable Disclosure [Line Items] | ||
Fair market value, trading | 23.3 | 16.4 |
Middle market loans | 61 to 70 Percent | ||
Loans and Leases Receivable Disclosure [Line Items] | ||
Fair market value, trading | 15.3 | 27.0 |
Greater than 1.20x | Commercial mortgage loans | ||
Loans and Leases Receivable Disclosure [Line Items] | ||
Fair market value, trading | 112.3 | 106.1 |
Greater than 1.20x | Middle market loans | ||
Loans and Leases Receivable Disclosure [Line Items] | ||
Fair market value, trading | 78.9 | 95.2 |
1.00 - 1.20x | Commercial mortgage loans | ||
Loans and Leases Receivable Disclosure [Line Items] | ||
Fair market value, trading | 182.7 | 186.1 |
1.00 - 1.20x | Middle market loans | ||
Loans and Leases Receivable Disclosure [Line Items] | ||
Fair market value, trading | 3.8 | 3.8 |
Less than 1.00x | Commercial mortgage loans | ||
Loans and Leases Receivable Disclosure [Line Items] | ||
Fair market value, trading | 0.0 | 0.0 |
Less than 1.00x | Middle market loans | ||
Loans and Leases Receivable Disclosure [Line Items] | ||
Fair market value, trading | $ 19.4 | $ 7.9 |
Investments - Other Investments (Details) - USD ($) $ in Millions |
1 Months Ended | 6 Months Ended | 12 Months Ended |
---|---|---|---|
Mar. 31, 2021 |
Jun. 30, 2023 |
Dec. 31, 2022 |
|
Equity Method Investment, Aggregate Cost [Roll Forward] | |||
Opening undistributed value of investment, beginning balance | $ 6.2 | $ 3.9 | |
Investment in the period | 0.4 | 2.0 | |
Closing value of investment, ending balance | 7.0 | 6.2 | |
Equity Method Investment, Nonconsolidated Investee, Other | |||
Equity Method Investment, Aggregate Cost [Roll Forward] | |||
Unrealized Gain (Loss) on Investments | 0.4 | 0.3 | |
Fair Value, Recurring [Member] | Real estate fund (Dec 2017) | |||
Equity Method Investment, Aggregate Cost [Roll Forward] | |||
Investments, fair value | 125.2 | 134.6 | |
MVI | |||
Equity Method Investment, Aggregate Cost [Roll Forward] | |||
Opening undistributed value of investment, beginning balance | 0.8 | 0.5 | |
Investment in the period | $ 0.8 | 0.0 | 0.4 |
Closing value of investment, ending balance | 0.8 | 0.8 | |
MVI | Equity Method Investment, Nonconsolidated Investee, Other | |||
Equity Method Investment, Aggregate Cost [Roll Forward] | |||
Unrealized Gain (Loss) on Investments | 0.0 | (0.1) | |
Digital Re | |||
Equity Method Investment, Aggregate Cost [Roll Forward] | |||
Opening undistributed value of investment, beginning balance | 0.2 | 0.2 | |
Investment in the period | 0.0 | 0.0 | |
Closing value of investment, ending balance | 0.2 | 0.2 | |
Digital Re | Equity Method Investment, Nonconsolidated Investee, Other | |||
Equity Method Investment, Aggregate Cost [Roll Forward] | |||
Unrealized Gain (Loss) on Investments | 0.0 | 0.0 | |
Multi-Line Insurer | |||
Equity Method Investment, Aggregate Cost [Roll Forward] | |||
Opening undistributed value of investment, beginning balance | 5.2 | 3.2 | |
Investment in the period | 0.4 | 1.6 | |
Closing value of investment, ending balance | 6.0 | 5.2 | |
Multi-Line Insurer | Equity Method Investment, Nonconsolidated Investee, Other | |||
Equity Method Investment, Aggregate Cost [Roll Forward] | |||
Unrealized Gain (Loss) on Investments | $ 0.4 | $ 0.4 |
Investments - Summary of Fixed Maturities (Details) - USD ($) $ in Millions |
6 Months Ended | 12 Months Ended |
---|---|---|
Jun. 30, 2023 |
Dec. 31, 2022 |
|
Debt Securities, Available-for-sale [Line Items] | ||
Fixed income securities, available for sale amortized cost | $ 4,231.2 | $ 4,131.3 |
Available for sale investments in fixed income maturities, Fair Market Value | 3,908.2 | 3,788.6 |
Total fixed income securities — Available for sale | ||
Debt Securities, Available-for-sale [Line Items] | ||
Due one year or less, Cost or Amortized Cost | 242.4 | 179.1 |
Due after one year through five years, Cost or Amortized Cost | 2,736.2 | 2,526.9 |
Due after five years through ten years, Cost or Amortized Cost | 684.9 | 815.1 |
Due after ten years, Cost or Amortized Cost | 1.8 | 13.2 |
Fixed income securities, available for sale amortized cost | 3,665.3 | 3,534.3 |
Due one year or less, Fair Market Value | $ 236.5 | $ 176.0 |
Available For Sale Securities Debt Maturities Within One Year Average Ratings By Maturity | AA | AA+ |
Due after one year through five years, Fair Market Value | $ 2,594.7 | $ 2,385.7 |
Available For Sale Securities Debt Maturities After One Through Five Years Average Ratings By Maturity | AA- | AA- |
Due after five years through ten years, Fair Market Value | $ 595.2 | $ 707.7 |
Available For Sale Securities Debt Maturities After Five Through Ten Years Average Ratings By Maturity | A+ | A+ |
Due after ten years, Fair Market Value | $ 1.1 | $ 10.9 |
Available For Sale Securities Debt Maturities After Ten Years Average Ratings By Maturity | BB | A- |
Available for sale investments in fixed income maturities, Fair Market Value | $ 3,427.5 | $ 3,280.3 |
Agency mortgage-backed | ||
Debt Securities, Available-for-sale [Line Items] | ||
Fixed income securities, available for sale amortized cost | 559.3 | 590.4 |
Available for sale investments in fixed income maturities, Fair Market Value | $ 475.0 | $ 502.7 |
Available For Sale Securities Average Ratings By Maturity | AA+ | AA+ |
Non-agency commercial mortgage-backed securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Fixed income securities, available for sale amortized cost | $ 6.6 | $ 6.6 |
Available for sale investments in fixed income maturities, Fair Market Value | $ 5.7 | $ 5.6 |
Available For Sale Securities Average Ratings By Maturity | AA+ | AA+ |
Fixed maturities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Fixed income securities, available for sale amortized cost | $ 4,231.2 | $ 4,131.3 |
Available for sale investments in fixed income maturities, Fair Market Value | $ 3,908.2 | $ 3,788.6 |
Investments - Aggregate Fair Value and Gross Unrealized Loss by Type of Security (Details) $ in Millions |
Jun. 30, 2023
USD ($)
security
Security
|
Dec. 31, 2022
USD ($)
security
Security
|
---|---|---|
Debt Securities, Available-for-sale [Line Items] | ||
0-12 months, Fair Market Value | $ 1,175.6 | $ 2,321.4 |
Gross unrealized losses, less than twelve months | (32.5) | (145.4) |
Over 12 months, Fair Market Value | 2,582.7 | 1,323.7 |
Over 12 months, Gross Unrealized Losses | (288.9) | (193.6) |
Total, Fair Market Value | 3,758.3 | 3,645.1 |
Total, Gross Unrealized Losses | $ (321.4) | $ (339.0) |
Number of Securities | security | 1,193 | 1,166 |
Fixed income securities — Available for sale | ||
Debt Securities, Available-for-sale [Line Items] | ||
0-12 months, Fair Market Value | $ 1,163.8 | $ 2,269.5 |
Gross unrealized losses, less than twelve months | (32.5) | (145.0) |
Over 12 months, Fair Market Value | 2,582.7 | 1,323.7 |
Over 12 months, Gross Unrealized Losses | (288.9) | (193.6) |
Total, Fair Market Value | 3,746.5 | 3,593.2 |
Total, Gross Unrealized Losses | $ (321.4) | $ (338.6) |
Number of Securities | Security | 1,188 | 1,165 |
Short-term investments | ||
Debt Securities, Available-for-sale [Line Items] | ||
0-12 months, Fair Market Value | $ 11.8 | $ 51.9 |
Gross unrealized losses, less than twelve months | 0.0 | (0.4) |
Over 12 months, Fair Market Value | 0.0 | 0.0 |
Over 12 months, Gross Unrealized Losses | 0.0 | 0.0 |
Total, Fair Market Value | 11.8 | 51.9 |
Total, Gross Unrealized Losses | $ 0.0 | $ (0.4) |
Number of Securities | 5 | 1 |
U.S. government | ||
Debt Securities, Available-for-sale [Line Items] | ||
0-12 months, Fair Market Value | $ 494.8 | $ 741.1 |
Gross unrealized losses, less than twelve months | (12.8) | (30.6) |
Over 12 months, Fair Market Value | 519.1 | 203.4 |
Over 12 months, Gross Unrealized Losses | (38.3) | (20.1) |
Total, Fair Market Value | 1,013.9 | 944.5 |
Total, Gross Unrealized Losses | $ (51.1) | $ (50.7) |
Number of Securities | security | 105 | 118 |
U.S. agency | ||
Debt Securities, Available-for-sale [Line Items] | ||
0-12 months, Fair Market Value | $ 7.0 | $ 7.1 |
Gross unrealized losses, less than twelve months | (0.4) | (0.4) |
Over 12 months, Fair Market Value | 1.1 | 1.7 |
Over 12 months, Gross Unrealized Losses | 0.0 | 0.0 |
Total, Fair Market Value | 8.1 | 8.8 |
Total, Gross Unrealized Losses | $ (0.4) | $ (0.4) |
Number of Securities | security | 4 | 5 |
Municipal | ||
Debt Securities, Available-for-sale [Line Items] | ||
0-12 months, Fair Market Value | $ 90.9 | $ 133.1 |
Gross unrealized losses, less than twelve months | (3.7) | (7.1) |
Over 12 months, Fair Market Value | 58.7 | 16.4 |
Over 12 months, Gross Unrealized Losses | (5.1) | (2.3) |
Total, Fair Market Value | 149.6 | 149.5 |
Total, Gross Unrealized Losses | $ (8.8) | $ (9.4) |
Number of Securities | security | 60 | 59 |
Corporate | ||
Debt Securities, Available-for-sale [Line Items] | ||
0-12 months, Fair Market Value | $ 467.4 | $ 1,104.7 |
Gross unrealized losses, less than twelve months | (13.1) | (77.6) |
Over 12 months, Fair Market Value | 1,254.7 | 568.2 |
Over 12 months, Gross Unrealized Losses | (142.1) | (91.5) |
Total, Fair Market Value | 1,722.1 | 1,672.9 |
Total, Gross Unrealized Losses | $ (155.2) | $ (169.1) |
Number of Securities | security | 727 | 701 |
Non-U.S. government-backed corporate | ||
Debt Securities, Available-for-sale [Line Items] | ||
0-12 months, Fair Market Value | $ 5.2 | $ 11.3 |
Gross unrealized losses, less than twelve months | 0.0 | (0.5) |
Over 12 months, Fair Market Value | 105.7 | 99.0 |
Over 12 months, Gross Unrealized Losses | (8.7) | (8.3) |
Total, Fair Market Value | 110.9 | 110.3 |
Total, Gross Unrealized Losses | $ (8.7) | $ (8.8) |
Number of Securities | security | 16 | 16 |
Non-U.S government | ||
Debt Securities, Available-for-sale [Line Items] | ||
0-12 months, Fair Market Value | $ 80.1 | $ 63.8 |
Gross unrealized losses, less than twelve months | (1.2) | (2.9) |
Over 12 months, Fair Market Value | 182.2 | 135.9 |
Over 12 months, Gross Unrealized Losses | (10.8) | (8.6) |
Total, Fair Market Value | 262.3 | 199.7 |
Total, Gross Unrealized Losses | $ (12.0) | $ (11.5) |
Number of Securities | security | 61 | 45 |
Non-agency commercial mortgage-backed securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
0-12 months, Fair Market Value | $ 0.0 | $ 5.6 |
Gross unrealized losses, less than twelve months | 0.0 | (1.0) |
Over 12 months, Fair Market Value | 5.6 | 0.0 |
Over 12 months, Gross Unrealized Losses | (0.9) | 0.0 |
Total, Fair Market Value | 5.6 | 5.6 |
Total, Gross Unrealized Losses | $ (0.9) | $ (1.0) |
Number of Securities | security | 1 | 1 |
Agency mortgage-backed | ||
Debt Securities, Available-for-sale [Line Items] | ||
0-12 months, Fair Market Value | $ 18.4 | $ 202.8 |
Gross unrealized losses, less than twelve months | (1.3) | (24.9) |
Over 12 months, Fair Market Value | 455.6 | 299.1 |
Over 12 months, Gross Unrealized Losses | (83.0) | (62.8) |
Total, Fair Market Value | 474.0 | 501.9 |
Total, Gross Unrealized Losses | $ (84.3) | $ (87.7) |
Number of Securities | security | 214 | 220 |
Investments - Additional Information (Narrative) (Details) - USD ($) $ in Millions |
1 Months Ended | 6 Months Ended | 12 Months Ended | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Mar. 31, 2021 |
Jun. 30, 2023 |
Jun. 30, 2022 |
Dec. 31, 2022 |
May 05, 2022 |
Apr. 01, 2022 |
Dec. 31, 2021 |
Sep. 30, 2021 |
Dec. 23, 2019 |
Dec. 20, 2017 |
Jan. 01, 2017 |
|||
Gain (Loss) on Securities [Line Items] | |||||||||||||
Catastrophe bonds, trading, cost | $ 2.4 | $ 2.9 | |||||||||||
Investment in the period | 0.4 | 2.0 | |||||||||||
Equity method investment, aggregate cost | 7.0 | 6.2 | $ 3.9 | ||||||||||
Other investments, at fair value (2) | [1] | 213.4 | 221.3 | ||||||||||
Restricted assets | 266.5 | 471.3 | |||||||||||
Investment funded | 0.0 | ||||||||||||
Available-for-sale investment, allowance for credit loss, increase (decrease) | (3.7) | 5.0 | |||||||||||
Investment, Identifier [Axis]: Unfunded Commitment, Apollo Real Estate Fund | |||||||||||||
Gain (Loss) on Securities [Line Items] | |||||||||||||
Unfunded commitment | $ 5.3 | 5.3 | |||||||||||
Investment, Identifier [Axis]: Unfunded Commitment, Infrastructure fund | |||||||||||||
Gain (Loss) on Securities [Line Items] | |||||||||||||
Unfunded commitment | 6.4 | 8.4 | |||||||||||
Investment, Identifier [Axis]: Unfunded Commitment, Real Estate Fund (Sept 2021) | |||||||||||||
Gain (Loss) on Securities [Line Items] | |||||||||||||
Unfunded commitment | 3.3 | 3.3 | |||||||||||
Fair Value, Recurring [Member] | Apollo real estate fund | |||||||||||||
Gain (Loss) on Securities [Line Items] | |||||||||||||
Other investments, at fair value (2) | 22.9 | 25.3 | |||||||||||
Real estate fund | Fair Value, Recurring [Member] | |||||||||||||
Gain (Loss) on Securities [Line Items] | |||||||||||||
Investments, fair value | 213.4 | 221.3 | |||||||||||
Commercial mortgage loans | |||||||||||||
Gain (Loss) on Securities [Line Items] | |||||||||||||
Fair market value, trading | 295.0 | 312.1 | |||||||||||
Middle market loans | |||||||||||||
Gain (Loss) on Securities [Line Items] | |||||||||||||
Fair market value, trading | 102.1 | 106.9 | |||||||||||
Privately-held investments | |||||||||||||
Gain (Loss) on Securities [Line Items] | |||||||||||||
Fair market value, trading | 482.4 | 533.0 | |||||||||||
Real estate fund (Dec 2017) | Fair Value, Recurring [Member] | |||||||||||||
Gain (Loss) on Securities [Line Items] | |||||||||||||
Investments, fair value | 125.2 | 134.6 | |||||||||||
Real estate fund (Sept 2021) | Fair Value, Recurring [Member] | |||||||||||||
Gain (Loss) on Securities [Line Items] | |||||||||||||
Investments, fair value | 39.2 | 40.6 | |||||||||||
Infrastructure fund | Fair Value, Recurring [Member] | |||||||||||||
Gain (Loss) on Securities [Line Items] | |||||||||||||
Investments, fair value | 11.7 | 8.2 | |||||||||||
MVI | |||||||||||||
Gain (Loss) on Securities [Line Items] | |||||||||||||
Investment in the period | $ 0.8 | 0.0 | 0.4 | ||||||||||
Equity method investment, aggregate cost | 0.8 | 0.8 | 0.5 | ||||||||||
Digital Re | |||||||||||||
Gain (Loss) on Securities [Line Items] | |||||||||||||
Investment in the period | 0.0 | 0.0 | |||||||||||
Equity method investment, ownership percentage | 49.00% | ||||||||||||
Equity method investment, aggregate cost | 0.2 | 0.2 | 0.2 | $ 2.3 | |||||||||
Multi-Line Insurer | |||||||||||||
Gain (Loss) on Securities [Line Items] | |||||||||||||
Investment in the period | 0.4 | 1.6 | |||||||||||
Equity method investment, aggregate cost | 6.0 | 5.2 | $ 3.2 | ||||||||||
Other investments, at fair value (2) | $ 5.0 | ||||||||||||
Gross realized and unrealized gains (loss) | 0.4 | $ 0.1 | |||||||||||
Limited Partner | Real estate fund | |||||||||||||
Gain (Loss) on Securities [Line Items] | |||||||||||||
Other investments, at fair value (2) | $ 213.4 | $ 221.3 | |||||||||||
Restricted assets | $ 10.0 | $ 20.0 | $ 100.0 | ||||||||||
Limited Partner | Real estate fund | Apollo real estate fund | |||||||||||||
Gain (Loss) on Securities [Line Items] | |||||||||||||
Restricted assets | $ 30.0 | ||||||||||||
Limited Partner | Infrastructure fund | |||||||||||||
Gain (Loss) on Securities [Line Items] | |||||||||||||
Restricted assets | $ 15.0 | ||||||||||||
|
Fair Value Measurements - Financial Assets Measured on Recurring Basis (Details) - USD ($) $ in Millions |
Jun. 30, 2023 |
Dec. 31, 2022 |
---|---|---|
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Catastrophe Bonds, Fair Value Disclosure | $ 2.4 | $ 5.1 |
Derivative assets | 17.2 | 56.2 |
Recurring | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total | 6,245.6 | 6,100.9 |
Recurring | Derivatives at fair value | Foreign exchange contracts | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative assets | 17.2 | 56.2 |
Recurring | Liabilities under derivative contracts | Foreign exchange contracts | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Liabilities under derivative contracts, fair value | (13.4) | (3.2) |
Recurring | Liabilities under derivative contracts | Loss Portfolio Transfer | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Liabilities under derivative contracts, fair value | (23.4) | (31.7) |
Recurring | Total fixed income securities — Available for sale | Non-agency commercial mortgage-backed securities | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Investments, fair value | 5.7 | |
Recurring | Fixed income securities — Available for sale | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Investments, fair value | 3,908.2 | 3,788.6 |
Recurring | Short-term investments | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Investments, fair value | 169.3 | 52.0 |
Recurring | Fixed income securities, trading, at fair value | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Investments, fair value | 1,478.5 | 1,475.5 |
Privately-held Investments, at fair value | 482.4 | 533.0 |
Catastrophe Bonds, Fair Value Disclosure | 2.4 | 2.9 |
Recurring | Short-term investments trading at fair value | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Investments, fair value | 11.0 | 6.3 |
Recurring | Real estate fund | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Investments, fair value | 213.4 | 221.3 |
Recurring | Level 1 | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total | 1,632.5 | 1,428.7 |
Recurring | Level 1 | Derivatives at fair value | Foreign exchange contracts | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative assets | 0.0 | 0.0 |
Recurring | Level 1 | Liabilities under derivative contracts | Foreign exchange contracts | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Liabilities under derivative contracts, fair value | 0.0 | 0.0 |
Recurring | Level 1 | Liabilities under derivative contracts | Loss Portfolio Transfer | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Liabilities under derivative contracts, fair value | 0.0 | 0.0 |
Recurring | Level 1 | Total fixed income securities — Available for sale | Non-agency commercial mortgage-backed securities | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Investments, fair value | 0.0 | |
Recurring | Level 1 | Fixed income securities — Available for sale | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Investments, fair value | 1,206.5 | 1,098.3 |
Recurring | Level 1 | Short-term investments | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Investments, fair value | 169.2 | 51.9 |
Recurring | Level 1 | Fixed income securities, trading, at fair value | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Investments, fair value | 247.7 | 272.2 |
Privately-held Investments, at fair value | 0.0 | 0.0 |
Catastrophe Bonds, Fair Value Disclosure | 0.0 | 0.0 |
Recurring | Level 1 | Short-term investments trading at fair value | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Investments, fair value | 9.1 | 6.3 |
Recurring | Level 1 | Real estate fund | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Investments, fair value | 0.0 | 0.0 |
Recurring | Level 2 | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total | 3,940.7 | 3,949.6 |
Recurring | Level 2 | Derivatives at fair value | Foreign exchange contracts | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative assets | 17.2 | 56.2 |
Recurring | Level 2 | Liabilities under derivative contracts | Foreign exchange contracts | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Liabilities under derivative contracts, fair value | (13.4) | (3.2) |
Recurring | Level 2 | Liabilities under derivative contracts | Loss Portfolio Transfer | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Liabilities under derivative contracts, fair value | 0.0 | 0.0 |
Recurring | Level 2 | Total fixed income securities — Available for sale | Non-agency commercial mortgage-backed securities | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Investments, fair value | 5.7 | |
Recurring | Level 2 | Fixed income securities — Available for sale | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Investments, fair value | 2,701.7 | 2,690.3 |
Recurring | Level 2 | Short-term investments | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Investments, fair value | 0.1 | 0.1 |
Recurring | Level 2 | Fixed income securities, trading, at fair value | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Investments, fair value | 1,230.8 | 1,203.3 |
Privately-held Investments, at fair value | 0.0 | 0.0 |
Catastrophe Bonds, Fair Value Disclosure | 2.4 | 2.9 |
Recurring | Level 2 | Short-term investments trading at fair value | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Investments, fair value | 1.9 | 0.0 |
Recurring | Level 2 | Real estate fund | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Investments, fair value | 0.0 | 0.0 |
Recurring | Level 3 | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total | 459.0 | 501.3 |
Recurring | Level 3 | Derivatives at fair value | Foreign exchange contracts | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative assets | 0.0 | 0.0 |
Recurring | Level 3 | Liabilities under derivative contracts | Foreign exchange contracts | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Liabilities under derivative contracts, fair value | 0.0 | 0.0 |
Recurring | Level 3 | Liabilities under derivative contracts | Loss Portfolio Transfer | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Liabilities under derivative contracts, fair value | (23.4) | (31.7) |
Recurring | Level 3 | Total fixed income securities — Available for sale | Non-agency commercial mortgage-backed securities | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Investments, fair value | 0.0 | |
Recurring | Level 3 | Fixed income securities — Available for sale | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Investments, fair value | 0.0 | 0.0 |
Recurring | Level 3 | Short-term investments | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Investments, fair value | 0.0 | 0.0 |
Recurring | Level 3 | Fixed income securities, trading, at fair value | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Investments, fair value | 0.0 | 0.0 |
Privately-held Investments, at fair value | 482.4 | 533.0 |
Catastrophe Bonds, Fair Value Disclosure | 0.0 | 0.0 |
Recurring | Level 3 | Short-term investments trading at fair value | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Investments, fair value | 0.0 | 0.0 |
Recurring | Level 3 | Real estate fund | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Investments, fair value | 0.0 | 0.0 |
U.S. government | Recurring | Total fixed income securities — Available for sale | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Investments, fair value | 1,013.8 | 953.0 |
U.S. government | Recurring | Fixed income securities, trading, at fair value | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Investments, fair value | 235.0 | 261.6 |
U.S. government | Recurring | Level 1 | Total fixed income securities — Available for sale | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Investments, fair value | 1,013.8 | 953.0 |
U.S. government | Recurring | Level 1 | Fixed income securities, trading, at fair value | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Investments, fair value | 235.0 | 261.6 |
U.S. government | Recurring | Level 2 | Total fixed income securities — Available for sale | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Investments, fair value | 0.0 | 0.0 |
U.S. government | Recurring | Level 2 | Fixed income securities, trading, at fair value | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Investments, fair value | 0.0 | 0.0 |
U.S. government | Recurring | Level 3 | Total fixed income securities — Available for sale | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Investments, fair value | 0.0 | 0.0 |
U.S. government | Recurring | Level 3 | Fixed income securities, trading, at fair value | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Investments, fair value | 0.0 | 0.0 |
U.S. agency | Recurring | Total fixed income securities — Available for sale | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Investments, fair value | 8.2 | 8.8 |
U.S. agency | Recurring | Level 1 | Total fixed income securities — Available for sale | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Investments, fair value | 0.0 | 0.0 |
U.S. agency | Recurring | Level 2 | Total fixed income securities — Available for sale | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Investments, fair value | 8.2 | 8.8 |
U.S. agency | Recurring | Level 3 | Total fixed income securities — Available for sale | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Investments, fair value | 0.0 | 0.0 |
Municipal | Recurring | Total fixed income securities — Available for sale | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Investments, fair value | 149.5 | 149.5 |
Municipal | Recurring | Fixed income securities, trading, at fair value | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Investments, fair value | 3.1 | 3.6 |
Municipal | Recurring | Level 1 | Total fixed income securities — Available for sale | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Investments, fair value | 0.0 | 0.0 |
Municipal | Recurring | Level 1 | Fixed income securities, trading, at fair value | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Investments, fair value | 0.0 | 0.0 |
Municipal | Recurring | Level 2 | Total fixed income securities — Available for sale | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Investments, fair value | 149.5 | 149.5 |
Municipal | Recurring | Level 2 | Fixed income securities, trading, at fair value | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Investments, fair value | 3.1 | 3.6 |
Municipal | Recurring | Level 3 | Total fixed income securities — Available for sale | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Investments, fair value | 0.0 | 0.0 |
Municipal | Recurring | Level 3 | Fixed income securities, trading, at fair value | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Investments, fair value | 0.0 | 0.0 |
Corporate | Recurring | Total fixed income securities — Available for sale | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Investments, fair value | 1,875.9 | 1,845.0 |
Corporate | Recurring | Fixed income securities, trading, at fair value | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Investments, fair value | 165.4 | 162.1 |
Corporate | Recurring | Level 1 | Total fixed income securities — Available for sale | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Investments, fair value | 0.0 | 0.0 |
Corporate | Recurring | Level 1 | Fixed income securities, trading, at fair value | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Investments, fair value | 0.0 | 0.0 |
Corporate | Recurring | Level 2 | Total fixed income securities — Available for sale | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Investments, fair value | 1,875.9 | 1,845.0 |
Corporate | Recurring | Level 2 | Fixed income securities, trading, at fair value | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Investments, fair value | 165.4 | 162.1 |
Corporate | Recurring | Level 3 | Total fixed income securities — Available for sale | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Investments, fair value | 0.0 | 0.0 |
Corporate | Recurring | Level 3 | Fixed income securities, trading, at fair value | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Investments, fair value | 0.0 | 0.0 |
Non-U.S. government-backed corporate | Recurring | Total fixed income securities — Available for sale | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Investments, fair value | 110.9 | 110.4 |
Non-U.S. government-backed corporate | Recurring | Fixed income securities, trading, at fair value | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Investments, fair value | 9.6 | 11.6 |
Non-U.S. government-backed corporate | Recurring | Level 1 | Total fixed income securities — Available for sale | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Investments, fair value | 0.0 | 0.0 |
Non-U.S. government-backed corporate | Recurring | Level 1 | Fixed income securities, trading, at fair value | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Investments, fair value | 0.0 | 0.0 |
Non-U.S. government-backed corporate | Recurring | Level 2 | Total fixed income securities — Available for sale | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Investments, fair value | 110.9 | 110.4 |
Non-U.S. government-backed corporate | Recurring | Level 2 | Fixed income securities, trading, at fair value | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Investments, fair value | 9.6 | 11.6 |
Non-U.S. government-backed corporate | Recurring | Level 3 | Total fixed income securities — Available for sale | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Investments, fair value | 0.0 | 0.0 |
Non-U.S. government-backed corporate | Recurring | Level 3 | Fixed income securities, trading, at fair value | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Investments, fair value | 0.0 | 0.0 |
Non-U.S government | Recurring | Total fixed income securities — Available for sale | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Investments, fair value | 269.2 | 213.6 |
Non-U.S government | Recurring | Fixed income securities, trading, at fair value | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Investments, fair value | 34.1 | 30.4 |
Non-U.S government | Recurring | Level 1 | Total fixed income securities — Available for sale | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Investments, fair value | 192.7 | 145.3 |
Non-U.S government | Recurring | Level 1 | Fixed income securities, trading, at fair value | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Investments, fair value | 12.7 | 10.6 |
Non-U.S government | Recurring | Level 2 | Total fixed income securities — Available for sale | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Investments, fair value | 76.5 | 68.3 |
Non-U.S government | Recurring | Level 2 | Fixed income securities, trading, at fair value | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Investments, fair value | 21.4 | 19.8 |
Non-U.S government | Recurring | Level 3 | Total fixed income securities — Available for sale | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Investments, fair value | 0.0 | 0.0 |
Non-U.S government | Recurring | Level 3 | Fixed income securities, trading, at fair value | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Investments, fair value | 0.0 | 0.0 |
Asset-backed | Recurring | Fixed income securities, trading, at fair value | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Investments, fair value | 924.6 | 896.5 |
Asset-backed | Recurring | Level 1 | Fixed income securities, trading, at fair value | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Investments, fair value | 0.0 | 0.0 |
Asset-backed | Recurring | Level 2 | Fixed income securities, trading, at fair value | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Investments, fair value | 924.6 | 896.5 |
Asset-backed | Recurring | Level 3 | Fixed income securities, trading, at fair value | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Investments, fair value | 0.0 | 0.0 |
Non-agency commercial mortgage-backed securities | Recurring | Total fixed income securities — Available for sale | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Investments, fair value | 5.6 | |
Non-agency commercial mortgage-backed securities | Recurring | Level 1 | Total fixed income securities — Available for sale | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Investments, fair value | 0.0 | |
Non-agency commercial mortgage-backed securities | Recurring | Level 2 | Total fixed income securities — Available for sale | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Investments, fair value | 5.6 | |
Non-agency commercial mortgage-backed securities | Recurring | Level 3 | Total fixed income securities — Available for sale | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Investments, fair value | 0.0 | |
Agency mortgage-backed | Recurring | Total fixed income securities — Available for sale | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Investments, fair value | 475.0 | 502.7 |
Agency mortgage-backed | Recurring | Fixed income securities, trading, at fair value | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Investments, fair value | 20.1 | 21.4 |
Agency mortgage-backed | Recurring | Level 1 | Total fixed income securities — Available for sale | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Investments, fair value | 0.0 | 0.0 |
Agency mortgage-backed | Recurring | Level 1 | Fixed income securities, trading, at fair value | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Investments, fair value | 0.0 | 0.0 |
Agency mortgage-backed | Recurring | Level 2 | Total fixed income securities — Available for sale | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Investments, fair value | 475.0 | 502.7 |
Agency mortgage-backed | Recurring | Level 2 | Fixed income securities, trading, at fair value | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Investments, fair value | 20.1 | 21.4 |
Agency mortgage-backed | Recurring | Level 3 | Total fixed income securities — Available for sale | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Investments, fair value | 0.0 | 0.0 |
Agency mortgage-backed | Recurring | Level 3 | Fixed income securities, trading, at fair value | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Investments, fair value | 0.0 | 0.0 |
High yield loans | Recurring | Fixed income securities, trading, at fair value | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Investments, fair value | 86.6 | 88.3 |
High yield loans | Recurring | Level 1 | Fixed income securities, trading, at fair value | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Investments, fair value | 0.0 | 0.0 |
High yield loans | Recurring | Level 2 | Fixed income securities, trading, at fair value | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Investments, fair value | 86.6 | 88.3 |
High yield loans | Recurring | Level 3 | Fixed income securities, trading, at fair value | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Investments, fair value | $ 0.0 | $ 0.0 |
Fair Value Measurements Fair Value Measurements - Reconciliation of Level 3 Assets and Liabilities (Details) - USD ($) $ in Millions |
6 Months Ended | 12 Months Ended | |
---|---|---|---|
Jun. 30, 2023 |
Jun. 30, 2022 |
Dec. 31, 2022 |
|
Fair Value, Assets Measured on Recurring Basis, Calculation [Roll Forward] | |||
Fair Value, Asset, Recurring Basis, Still Held, Unrealized Gain (Loss), Statement of Income or Comprehensive Income [Extensible Enumeration] | Accumulated other comprehensive (loss) | ||
Commercial mortgage loans | |||
Fair Value, Assets Measured on Recurring Basis, Calculation [Roll Forward] | |||
Balance at the beginning of the year | $ 312.1 | ||
Balance at the end of the year | 295.0 | $ 312.1 | |
Middle market loans | |||
Fair Value, Assets Measured on Recurring Basis, Calculation [Roll Forward] | |||
Balance at the beginning of the year | 106.9 | ||
Balance at the end of the year | 102.1 | 106.9 | |
Equity securities | |||
Fair Value, Assets Measured on Recurring Basis, Calculation [Roll Forward] | |||
Balance at the beginning of the year | 6.6 | ||
Balance at the end of the year | 12.1 | 6.6 | |
Short-term investments | |||
Fair Value, Assets Measured on Recurring Basis, Calculation [Roll Forward] | |||
Balance at the beginning of the year | 25.6 | ||
Balance at the end of the year | 25.6 | ||
Recurring | Level 3 | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | |||
Change in unrealized investment gains (losses) | (13.7) | $ (4.6) | |
Fair Value, Assets Measured on Recurring Basis, Calculation [Roll Forward] | |||
Balance at the end of the year | 482.4 | 533.0 | |
Recurring | Level 3 | Liability | |||
Fair Value, Assets Measured on Recurring Basis, Calculation [Roll Forward] | |||
Balance at the beginning of the year | (31.7) | 0.0 | 0.0 |
Liability purchases | 0.0 | (17.2) | |
Liability transfers | 0.0 | 0.0 | |
Liability sales | 0.0 | 0.0 | |
Liability, increase (decrease) in fv included in net income | 8.3 | (14.5) | |
Balance at the end of the period | (23.4) | (31.7) | (31.7) |
Change in unrealized gains or losses | 0.0 | 0.0 | |
Recurring | Level 3 | Liability | Loss Portfolio Transfer | |||
Fair Value, Assets Measured on Recurring Basis, Calculation [Roll Forward] | |||
Balance at the beginning of the year | (31.7) | 0.0 | 0.0 |
Liability purchases | 0.0 | (17.2) | |
Liability transfers | 0.0 | 0.0 | |
Liability sales | 0.0 | 0.0 | |
Liability, increase (decrease) in fv included in net income | (14.5) | ||
Balance at the end of the period | (23.4) | (31.7) | (31.7) |
Change in unrealized gains or losses | 0.0 | 0.0 | |
Recurring | Commercial mortgage loans | Level 3 | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | |||
Change in unrealized investment gains (losses) | (10.5) | (0.5) | |
Fair Value, Assets Measured on Recurring Basis, Calculation [Roll Forward] | |||
Balance at the end of the year | 295.0 | 312.1 | |
Recurring | Middle market loans | Level 3 | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | |||
Change in unrealized investment gains (losses) | (2.0) | (2.1) | |
Fair Value, Assets Measured on Recurring Basis, Calculation [Roll Forward] | |||
Balance at the end of the year | 102.1 | 106.9 | |
Recurring | Asset-backed | Level 3 | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | |||
Change in unrealized investment gains (losses) | (1.1) | (2.0) | |
Fair Value, Assets Measured on Recurring Basis, Calculation [Roll Forward] | |||
Balance at the end of the year | 58.4 | 66.8 | |
Recurring | Global corporate securities | Level 3 | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | |||
Change in unrealized investment gains (losses) | (0.1) | 0.0 | |
Fair Value, Assets Measured on Recurring Basis, Calculation [Roll Forward] | |||
Balance at the end of the year | 14.8 | 15.0 | |
Recurring | Equity securities | Level 3 | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | |||
Change in unrealized investment gains (losses) | 0.0 | 0.0 | |
Fair Value, Assets Measured on Recurring Basis, Calculation [Roll Forward] | |||
Balance at the end of the year | 12.1 | 6.6 | |
Recurring | Short-term investments | Level 3 | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | |||
Change in unrealized investment gains (losses) | 0.0 | 0.0 | |
Fair Value, Assets Measured on Recurring Basis, Calculation [Roll Forward] | |||
Balance at the end of the year | 0.0 | 25.6 | |
Assets | Recurring | Level 3 | |||
Fair Value, Assets Measured on Recurring Basis, Calculation [Roll Forward] | |||
Balance at the beginning of the year | 533.0 | 307.1 | 307.1 |
Purchases and issuances | 23.0 | 378.2 | |
Settlements and sales | (58.4) | (147.4) | |
Increase (decrease) in fair value included in net income | (8.5) | (4.9) | |
Balance at the end of the year | 533.0 | ||
Transfers in/(out) | (6.7) | 0.0 | |
Assets | Recurring | Commercial mortgage loans | Level 3 | |||
Fair Value, Assets Measured on Recurring Basis, Calculation [Roll Forward] | |||
Balance at the beginning of the year | 312.1 | 211.5 | 211.5 |
Purchases and issuances | 15.9 | 215.7 | |
Settlements and sales | (23.2) | (113.1) | |
Increase (decrease) in fair value included in net income | (9.8) | (2.0) | |
Balance at the end of the year | 312.1 | ||
Transfers in/(out) | 0.0 | 0.0 | |
Assets | Recurring | Middle market loans | Level 3 | |||
Fair Value, Assets Measured on Recurring Basis, Calculation [Roll Forward] | |||
Balance at the beginning of the year | 106.9 | 65.3 | 65.3 |
Purchases and issuances | 0.1 | 61.8 | |
Settlements and sales | (5.4) | (19.3) | |
Increase (decrease) in fair value included in net income | 0.5 | (0.9) | |
Balance at the end of the year | 106.9 | ||
Transfers in/(out) | 0.0 | 0.0 | |
Assets | Recurring | Asset-backed | Level 3 | |||
Fair Value, Assets Measured on Recurring Basis, Calculation [Roll Forward] | |||
Balance at the beginning of the year | 66.8 | 26.7 | 26.7 |
Purchases and issuances | 0.0 | 54.5 | |
Settlements and sales | (3.8) | (12.6) | |
Increase (decrease) in fair value included in net income | 0.9 | (1.8) | |
Balance at the end of the year | 66.8 | ||
Transfers in/(out) | (5.5) | 0.0 | |
Assets | Recurring | Global corporate securities | Level 3 | |||
Fair Value, Assets Measured on Recurring Basis, Calculation [Roll Forward] | |||
Balance at the beginning of the year | 15.0 | 0.0 | 0.0 |
Purchases and issuances | 0.0 | 15.1 | |
Settlements and sales | (0.2) | 0.0 | |
Increase (decrease) in fair value included in net income | 0.0 | (0.1) | |
Balance at the end of the year | 15.0 | ||
Transfers in/(out) | 0.0 | 0.0 | |
Assets | Recurring | Equity securities | Level 3 | |||
Fair Value, Assets Measured on Recurring Basis, Calculation [Roll Forward] | |||
Balance at the beginning of the year | 6.6 | 3.6 | 3.6 |
Purchases and issuances | 7.0 | 5.5 | |
Settlements and sales | (0.2) | (2.4) | |
Increase (decrease) in fair value included in net income | (0.1) | (0.1) | |
Balance at the end of the year | 6.6 | ||
Transfers in/(out) | (1.2) | 0.0 | |
Assets | Recurring | Preference shares | Level 3 | |||
Fair Value, Assets Measured on Recurring Basis, Calculation [Roll Forward] | |||
Transfers in/(out) | 0.0 | ||
Assets | Recurring | Short-term investments | Level 3 | |||
Fair Value, Assets Measured on Recurring Basis, Calculation [Roll Forward] | |||
Balance at the beginning of the year | 25.6 | 0.0 | 0.0 |
Purchases and issuances | 0.0 | 25.6 | |
Settlements and sales | (25.6) | 0.0 | |
Increase (decrease) in fair value included in net income | 0.0 | 0.0 | |
Balance at the end of the year | $ 25.6 | ||
Transfers in/(out) | $ 0.0 | $ 0.0 |
Fair Value Measurements - Inputs Used (Details) $ in Millions |
6 Months Ended | ||
---|---|---|---|
Jun. 30, 2023
USD ($)
|
Jun. 30, 2022
USD ($)
|
Dec. 31, 2022
USD ($)
|
|
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Gross written premiums | $ 2,125.2 | $ 2,351.3 | |
Fixed income securities, trading, at fair value | Recurring | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Privately-held Investments, at fair value | 482.4 | $ 533.0 | |
Fixed income securities, trading, at fair value | Recurring | Level 3 | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Privately-held Investments, at fair value | $ 482.4 | $ 533.0 | |
Discounted cash flow | Commercial mortgage loans | Minimum | Level 3 | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Measurement inputs | 0.037 | ||
Discounted cash flow | Commercial mortgage loans | Maximum | Level 3 | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Measurement inputs | 0.112 | ||
Discounted cash flow | Commercial mortgage loans | Weighted Average | Level 3 | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Measurement inputs | 0.062 | ||
Discounted cash flow | Commercial mortgage loans | Recurring | Level 3 | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Privately-held Investments, at fair value | $ 270.0 | ||
Discounted cash flow | Middle market loans | Minimum | Level 3 | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Measurement inputs | 0.058 | ||
Discounted cash flow | Middle market loans | Maximum | Level 3 | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Measurement inputs | 0.093 | ||
Discounted cash flow | Middle market loans | Weighted Average | Level 3 | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Measurement inputs | 0.068 | ||
Discounted cash flow | Middle market loans | Recurring | Level 3 | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Privately-held Investments, at fair value | $ 58.4 | ||
Discounted cash flow | Asset-backed | Minimum | Level 3 | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Measurement inputs | 0.064 | ||
Discounted cash flow | Asset-backed | Maximum | Level 3 | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Measurement inputs | 0.074 | ||
Discounted cash flow | Asset-backed | Weighted Average | Level 3 | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Measurement inputs | 0.064 | ||
Discounted cash flow | Asset-backed | Recurring | Level 3 | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Privately-held Investments, at fair value | $ 14.8 | ||
Discounted cash flow | Global corporate securities | Minimum | Level 3 | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Measurement inputs | 0.086 | ||
Discounted cash flow | Global corporate securities | Maximum | Level 3 | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Measurement inputs | 0.086 | ||
Discounted cash flow | Global corporate securities | Weighted Average | Level 3 | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Measurement inputs | 0.086 | ||
Discounted cash flow | Global corporate securities | Recurring | Level 3 | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Privately-held Investments, at fair value | $ 12.1 | ||
Discounted cash flow | Short-term investments | Recurring | Level 3 | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Privately-held Investments, at fair value | 482.4 | ||
Transaction value | Commercial mortgage loans | Recurring | Level 3 | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Privately-held Investments, at fair value | $ 25.0 | ||
Liquidation method | Commercial mortgage loans | Minimum | Level 3 | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Measurement inputs | 0.076 | ||
Liquidation method | Commercial mortgage loans | Maximum | Level 3 | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Measurement inputs | 0.209 | ||
Liquidation method | Commercial mortgage loans | Weighted Average | Level 3 | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Measurement inputs | 0.108 | ||
Recovery approach | Commercial mortgage loans | Recurring | Level 3 | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Privately-held Investments, at fair value | $ 102.1 |
Fair Value Measurements - Additional Information - Narrative (Details) $ in Millions |
6 Months Ended | ||
---|---|---|---|
Jun. 30, 2023
USD ($)
quotesPerInvestment
|
Jun. 30, 2022
USD ($)
|
Dec. 31, 2022
USD ($)
quotesPerInvestment
|
|
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Quotes per fixed income investment | quotesPerInvestment | 2.8 | 2.9 | |
Assets | Recurring | Level 3 | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Transfers in/(out) | $ (6.7) | $ 0.0 | |
Settlements and sales | (58.4) | $ (147.4) | |
Fixed income securities, trading, at fair value | Recurring | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Privately-held Investments, at fair value | 482.4 | $ 533.0 | |
Fixed income securities, trading, at fair value | Recurring | Level 3 | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Privately-held Investments, at fair value | $ 482.4 | $ 533.0 |
Reinsurance - Summary of Assumed and Ceded Reinsurance on Premiums Written, Premiums Earned and Insurance Losses and Loss Adjustment Expenses (Details) - USD ($) $ in Millions |
6 Months Ended | |
---|---|---|
Jun. 30, 2023 |
Jun. 30, 2022 |
|
Premiums Written, Net [Abstract] | ||
Direct Premiums Written | $ 1,249.5 | $ 1,305.7 |
Assumed Premiums Written | 875.7 | 1,045.6 |
Ceded Premiums Written | (774.7) | (845.2) |
Premiums Written, Net, Total | 1,350.5 | 1,506.1 |
Premiums Earned, Net [Abstract] | ||
Direct Premiums Earned | 1,203.6 | 1,171.5 |
Assumed Premiums Earned | 755.7 | 776.9 |
Ceded Premiums Earned | (671.9) | (621.2) |
Premiums Earned, Net, Total | 1,287.4 | 1,327.2 |
Policyholder Benefits and Claims Incurred, Net [Abstract] | ||
Policyholder Benefits and Claims Incurred, Direct | 691.7 | 719.2 |
Policyholder Benefits and Claims Incurred, Assumed | 353.4 | 402.4 |
Policyholder Benefits and Claims Incurred, Ceded | (328.0) | (353.9) |
Policyholder Benefits and Claims Incurred, Net, Total | $ 717.1 | $ 767.7 |
Reinsurance - Additional Information (Details) - USD ($) $ in Millions |
6 Months Ended | 12 Months Ended | |||
---|---|---|---|---|---|
Oct. 01, 2022 |
Jun. 30, 2023 |
Dec. 31, 2022 |
Jun. 30, 2022 |
Mar. 02, 2020 |
|
SEC Schedule, 12-17, Insurance Companies, Reinsurance [Line Items] | |||||
Plus reinsurance recoverable on unpaid losses at the end of the period | $ 4,658.0 | $ 4,897.7 | $ 5,006.5 | ||
Reinsurance Recoverable, Allowance for Credit Loss | 3.3 | 3.7 | |||
Reinsurance Recoverable, Allowance for Credit Loss, Period Increase (Decrease) | $ (0.4) | $ 0.4 | |||
Reinsurance Contracts [Axis]: Funds withheld credited with interest for periods after October 1, 2022 | |||||
SEC Schedule, 12-17, Insurance Companies, Reinsurance [Line Items] | |||||
Reinsurance Retention Policy, Retrocession Premium, Interest Rate | 1.75% | ||||
Enstar | |||||
SEC Schedule, 12-17, Insurance Companies, Reinsurance [Line Items] | |||||
Plus reinsurance recoverable on unpaid losses at the end of the period | $ 770.0 | ||||
Enstar | Reinsurance Contracts [Axis]: LPT losses reinsured] | |||||
SEC Schedule, 12-17, Insurance Companies, Reinsurance [Line Items] | |||||
Plus reinsurance recoverable on unpaid losses at the end of the period | $ 3,120.0 |
Derivative Contracts - Fair Value of Derivative Instruments (Details) - USD ($) $ in Millions |
Jun. 30, 2023 |
Dec. 31, 2022 |
---|---|---|
Not Designated as Hedging Instrument | Foreign exchange contracts | ||
Derivatives, Fair Value [Line Items] | ||
Derivative, Notional Amount | $ 1,884.0 | $ 1,675.3 |
Cash collateral | 2.7 | 3.7 |
Not Designated as Hedging Instrument | Derivatives at Fair Value | Foreign exchange contracts | ||
Derivatives, Fair Value [Line Items] | ||
Fair Value | 7.2 | 41.9 |
Derivative, Notional Amount | 670.6 | 945.8 |
Not Designated as Hedging Instrument | Liabilities Under Derivative Contracts | Foreign exchange contracts | ||
Derivatives, Fair Value [Line Items] | ||
Fair Value | (13.4) | (3.2) |
Derivative, Notional Amount | 1,213.4 | 729.5 |
Not Designated as Hedging Instrument | Liabilities Under Derivative Contracts | Embedded Derivative Financial Instruments | ||
Derivatives, Fair Value [Line Items] | ||
Fair Value | (23.4) | (31.7) |
Derivative, Notional Amount | 0.0 | 0.0 |
Designated as Hedging Instrument | Derivatives at Fair Value | Foreign exchange contracts | ||
Derivatives, Fair Value [Line Items] | ||
Fair Value | 10.0 | 14.3 |
Derivative, Notional Amount | $ 54.7 | $ 109.7 |
Derivative Contracts - Gain/(Loss) Recognized in Income on Derivative (Details) - Foreign exchange contracts - USD ($) $ in Millions |
6 Months Ended | |
---|---|---|
Jun. 30, 2023 |
Jun. 30, 2022 |
|
Not Designated as Hedging Instrument | Gain (loss) on derivative instruments | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Gain (loss) to net income from derivative instruments | $ 19.6 | $ (84.9) |
Designated as Hedging Instrument | General, administrative and corporate expenses | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Gain (loss) on foreign currency fair value hedge derivatives | (3.7) | 2.8 |
Designated as Hedging Instrument | Net change from current period hedged transactions | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Gain (loss) on foreign currency fair value hedge derivatives | $ (4.3) | $ (6.4) |
Derivative Contracts - Additional Information (Details) - USD ($) $ in Millions |
6 Months Ended | 12 Months Ended | ||
---|---|---|---|---|
Oct. 01, 2022 |
Jun. 30, 2023 |
Jun. 30, 2022 |
Dec. 31, 2022 |
|
Reinsurance Contracts [Axis]: Funds withheld credited with interest for periods after October 1, 2022 | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Reinsurance Retention Policy, Retrocession Premium, Interest Rate | 1.75% | |||
Level 3 | Liability | Fair Value, Recurring [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Liability, increase (decrease) in fv included in net income | $ 8.3 | $ (14.5) | ||
Foreign exchange contracts | Not Designated as Hedging Instrument | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Purchase of US and foreign exchange | 1,884.0 | $ 1,675.3 | ||
Foreign exchange contracts | Not Designated as Hedging Instrument | Derivative At Fair Value | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Purchase of US and foreign exchange | 670.6 | 945.8 | ||
Foreign exchange contracts | Not Designated as Hedging Instrument | Liabilities Under Derivative Contracts | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Purchase of US and foreign exchange | 1,213.4 | 729.5 | ||
Foreign exchange contracts | Designated as Hedging Instrument | Derivative At Fair Value | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Purchase of US and foreign exchange | 54.7 | 109.7 | ||
Foreign exchange contracts | Net change from current period hedged transactions | Designated as Hedging Instrument | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gain (loss) on foreign currency fair value hedge derivatives | (4.3) | (6.4) | ||
Foreign exchange contracts | General, administrative and corporate expenses | Designated as Hedging Instrument | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gain (loss) on foreign currency fair value hedge derivatives | (3.7) | 2.8 | ||
Foreign exchange contracts | Gain (loss) on derivative instruments | Not Designated as Hedging Instrument | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gain (loss) to net income from derivative instruments | 19.6 | (84.9) | ||
Loss Portfolio Transfer | Level 3 | Liability | Fair Value, Recurring [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Liability, increase (decrease) in fv included in net income | $ (14.5) | |||
Loss Portfolio Transfer | Fair value of derivatives | Level 3 | Fair Value, Recurring [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Liability, increase (decrease) in fv included in net income | $ 8.3 | $ 0.0 |
Reserves for Losses and Adjustment Expenses - Reconciliation of Beginning and Ending Consolidated Loss and Loss Adjustment Expenses (LAE) Reserves (Details) - USD ($) $ in Millions |
6 Months Ended | |||||
---|---|---|---|---|---|---|
Jun. 30, 2023 |
Jun. 30, 2022 |
Dec. 31, 2022 |
May 30, 2022 |
Dec. 31, 2021 |
Mar. 02, 2020 |
|
Insurance [Abstract] | ||||||
Provision for losses and LAE, beginning balance | $ 7,710.9 | $ 7,611.8 | ||||
Less reinsurance recoverable | $ (4,897.7) | $ (3,298.1) | ||||
Net losses and LAE reserves, beginning balance | 2,813.2 | 4,313.7 | ||||
Movement in net provision for losses and LAE for claims incurred: | ||||||
Current year | 723.5 | 775.0 | ||||
Prior years | (6.4) | (7.3) | ||||
Total incurred | 717.1 | 767.7 | ||||
Net Losses and LAE payments for claims incurred: | ||||||
Current year | (30.8) | (35.5) | ||||
Prior years | (438.6) | (616.9) | ||||
Total paid | (469.4) | (652.4) | ||||
Foreign exchange losses/(gains) | 22.0 | (83.6) | ||||
Net losses and LAE reserves, ending balance | 3,082.9 | 2,505.3 | ||||
Plus reinsurance recoverable on unpaid losses at the end of the period | 4,658.0 | 5,006.5 | 4,897.7 | |||
Provision for losses and LAE at the end of the period | 7,740.9 | 7,511.8 | ||||
SEC Schedule, 12-17, Insurance Companies, Reinsurance [Line Items] | ||||||
Net loss and LAE expenses transferred (1) | 0.0 | 1,840.1 | ||||
Plus reinsurance recoverable on unpaid losses at the end of the period | 4,658.0 | 5,006.5 | $ 4,897.7 | |||
Reinsurance Contracts [Axis]: LPT | ||||||
SEC Schedule, 12-17, Insurance Companies, Reinsurance [Line Items] | ||||||
Reinsurance recoverable total | $ 2,610.1 | |||||
Insurance | ||||||
Movement in net provision for losses and LAE for claims incurred: | ||||||
Prior years | (8.5) | |||||
Net Losses and LAE payments for claims incurred: | ||||||
Provision for losses and LAE at the end of the period | 1,641.7 | $ 1,314.9 | ||||
Insurance | Reinsurance Contracts [Axis]: LPT, deferred gain | ||||||
Movement in net provision for losses and LAE for claims incurred: | ||||||
Prior years | (13.2) | |||||
Insurance | Reinsurance Contracts [Axis]: LPT, offset post-LPT years | ||||||
Movement in net provision for losses and LAE for claims incurred: | ||||||
Prior years | $ (4.7) | |||||
Enstar | ||||||
Net Losses and LAE payments for claims incurred: | ||||||
Plus reinsurance recoverable on unpaid losses at the end of the period | $ 770.0 | |||||
SEC Schedule, 12-17, Insurance Companies, Reinsurance [Line Items] | ||||||
Plus reinsurance recoverable on unpaid losses at the end of the period | 770.0 | |||||
Enstar | Reinsurance Contracts [Axis]: LPT losses reinsured] | ||||||
Net Losses and LAE payments for claims incurred: | ||||||
Plus reinsurance recoverable on unpaid losses at the end of the period | 3,120.0 | |||||
SEC Schedule, 12-17, Insurance Companies, Reinsurance [Line Items] | ||||||
Plus reinsurance recoverable on unpaid losses at the end of the period | $ 3,120.0 |
Reserves for Losses and Adjustment Expenses - Additional Information (Details) - USD ($) $ in Millions |
6 Months Ended | |
---|---|---|
Jun. 30, 2023 |
Jun. 30, 2022 |
|
Insurance [Abstract] | ||
Provision for losses and LAE for claims incurred | $ 6.4 | $ 7.3 |
Prior years | 6.4 | 7.3 |
Financial Guarantee Insurance Contracts, Premium Received over Contract Period [Line Items] | ||
Prior years | 6.4 | $ 7.3 |
Reinsurance | ||
Insurance [Abstract] | ||
Provision for losses and LAE for claims incurred | (2.1) | |
Prior years | (2.1) | |
Financial Guarantee Insurance Contracts, Premium Received over Contract Period [Line Items] | ||
Prior years | (2.1) | |
Insurance | ||
Insurance [Abstract] | ||
Provision for losses and LAE for claims incurred | 8.5 | |
Prior years | 8.5 | |
Financial Guarantee Insurance Contracts, Premium Received over Contract Period [Line Items] | ||
Prior years | 8.5 | |
Insurance | Reinsurance Contracts [Axis]: LPT, deferred gain | ||
Insurance [Abstract] | ||
Provision for losses and LAE for claims incurred | 13.2 | |
Prior years | 13.2 | |
Financial Guarantee Insurance Contracts, Premium Received over Contract Period [Line Items] | ||
Prior years | 13.2 | |
Insurance | Reinsurance Contracts [Axis]: LPT, offset post-LPT years | ||
Insurance [Abstract] | ||
Provision for losses and LAE for claims incurred | 4.7 | |
Prior years | 4.7 | |
Financial Guarantee Insurance Contracts, Premium Received over Contract Period [Line Items] | ||
Prior years | $ 4.7 |
Reserves for Losses and Adjustment Expenses - Reconciliation of Reinsurance Recoverables on Unpaid Losses (Details) - USD ($) $ in Millions |
6 Months Ended | |
---|---|---|
Jun. 30, 2023 |
Jun. 30, 2022 |
|
SEC Schedule, 12-17, Insurance Companies, Reinsurance [Line Items] | ||
Provision for losses and LAE for claims incurred | $ 6.4 | $ 7.3 |
Reinsurance | ||
SEC Schedule, 12-17, Insurance Companies, Reinsurance [Line Items] | ||
Provision for losses and LAE for claims incurred | (2.1) | |
Reinsurance Contracts [Axis]: Retroactive Reinsurance | ||
SEC Schedule, 12-17, Insurance Companies, Reinsurance [Line Items] | ||
Reinsurance recoverable for unpaid claims under retroactive reinsurance, beginning balance | 2,132.0 | |
Reinsurance recoverable for unpaid claims under retroactive reinsurance, beginning balance, Ending Balance | $ 1,877.3 |
Capital Structure - Summary of Authorized and Issued Share Capital (Details) - USD ($) $ / shares in Units, $ in Thousands |
6 Months Ended | ||||||
---|---|---|---|---|---|---|---|
Jun. 15, 2023 |
Aug. 13, 2019 |
Sep. 20, 2016 |
Jun. 30, 2023 |
Jun. 30, 2022 |
Dec. 31, 2022 |
May 02, 2013 |
|
Authorized share capital: | |||||||
Number of ordinary shares | 70,000,000 | 70,000,000 | |||||
Number of preference shares | 30,000,000 | 30,000,000 | |||||
Ordinary Shares, authorized | $ 700 | $ 700 | |||||
Preference Shares, authorized | 45 | 45 | |||||
Total authorized share capital | $ 745 | $ 745 | |||||
Issued share capital: | |||||||
Ordinary shares, issued | 60,395,839 | 60,395,839 | |||||
Ordinary shares, value | $ 604 | $ 604 | |||||
Total issued share capital | $ 636 | $ 636 | |||||
Ordinary shares, par value | $ 0.01 | $ 0.01 | |||||
Preference shares, par value | $ 0.0015144558 | ||||||
5.950% Preference Shares (AHL PRC) | |||||||
Issued share capital: | |||||||
Preference shares, issued | 11,000,000 | 11,000,000 | 11,000,000 | ||||
Preference shares, value | $ 17 | $ 17 | |||||
Preferred Stock, Dividend Rate, Percentage | 5.95% | 5.95% | 5.95% | ||||
Preference shares, par value | $ 0.0015144558 | ||||||
Redemption price per share | $ 25 | ||||||
5.625% Preference Shares (AHL PRD) | |||||||
Issued share capital: | |||||||
Preference shares, issued | 10,000,000 | 10,000,000 | |||||
Preference shares, value | $ 15 | $ 15 | |||||
Preferred Stock, Dividend Rate, Percentage | 5.625% | 5.625% | 5.625% | 5.625% | |||
Preference shares, par value | $ 0.0015144558 | ||||||
Redemption price per share | $ 25 | $ 25 | $ 25 | ||||
5.625% Preference Shares, rep by Dep Shares (AHL PRE) | |||||||
Issued share capital: | |||||||
Preference shares, issued | 10,000,000 | 10,000,000 | 10,000,000 | ||||
Preference shares, value | $ 0 | $ 0 | |||||
Preferred Stock, Dividend Rate, Percentage | 5.625% | 5.625% | 5.625% | 5.625% | |||
Preference shares, par value | $ 0.0015144558 | $ 0.0015144558 | |||||
Redemption price per share | $ 25 | $ 25 | $ 25 |
Capital Structure - Summary of Authorized and Issued Share Capital (Details)(Phantom) - $ / shares |
Jun. 30, 2023 |
Dec. 31, 2022 |
Aug. 13, 2019 |
Sep. 20, 2016 |
May 02, 2013 |
---|---|---|---|---|---|
Class of Stock [Line Items] | |||||
Ordinary shares, par value | $ 0.01 | $ 0.01 | |||
Preference shares, par value | 0.0015144558 | ||||
5.950% Preference Shares (AHL PRC) | |||||
Class of Stock [Line Items] | |||||
Preference shares, par value | 0.0015144558 | ||||
Redemption price per share | $ 25 | ||||
5.625% Preference Shares (AHL PRD) | |||||
Class of Stock [Line Items] | |||||
Preference shares, par value | 0.0015144558 | ||||
Redemption price per share | 25 | 25 | $ 25 | ||
5.625% Preference Shares, rep by Dep Shares (AHL PRE) | |||||
Class of Stock [Line Items] | |||||
Preference shares, par value | 0.0015144558 | 0.0015144558 | |||
Redemption price per share | $ 25 | $ 25 | $ 25 |
Capital Structure - Additional Information (Details) - USD ($) $ / shares in Units, $ in Thousands |
6 Months Ended | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
Jul. 01, 2023 |
Jun. 15, 2023 |
Aug. 13, 2019 |
Sep. 20, 2016 |
May 02, 2013 |
Jun. 30, 2023 |
Jun. 30, 2022 |
Jun. 30, 2020 |
Dec. 31, 2022 |
Dec. 31, 2020 |
|||
Class of Stock [Line Items] | ||||||||||||
Additional paid in capital | [1] | $ 761,200 | $ 761,200 | |||||||||
Preferred stock issuance cost | 21,500 | $ 21,500 | ||||||||||
Authorized share capital | $ 745 | $ 745 | ||||||||||
Number of ordinary shares | 70,000,000 | 70,000,000 | ||||||||||
Ordinary shares, par value | $ 0.01 | $ 0.01 | ||||||||||
Number of preference shares | 30,000,000 | 30,000,000 | ||||||||||
Preference shares, par value | $ 0.0015144558 | |||||||||||
Ordinary shares, issued | 60,395,839 | 60,395,839 | ||||||||||
Preference shares liquidation preference, value | $ 250,000 | |||||||||||
5.950% Preference Shares (AHL PRC) | ||||||||||||
Class of Stock [Line Items] | ||||||||||||
Preferred stock issuance cost | $ 4,400 | |||||||||||
Preference shares, par value | $ 0.0015144558 | |||||||||||
Preference shares, issued | 11,000,000 | 11,000,000 | 11,000,000 | |||||||||
Preference shares, rate | 5.95% | 5.95% | 5.95% | |||||||||
Redemption price per share | $ 25 | |||||||||||
Proceeds or share issuance | $ 270,600 | |||||||||||
Preference shares liquidation preference, value | $ 275,000 | |||||||||||
5.950% Preference Shares (AHL PRC) | LIBOR | Subsequent Event | ||||||||||||
Class of Stock [Line Items] | ||||||||||||
Preferred Stock Liquidation Preference Value, Fixed for Floating Rate | LIBOR | |||||||||||
5.625% Preference Shares (AHL PRD) | ||||||||||||
Class of Stock [Line Items] | ||||||||||||
Preferred stock issuance cost | $ 8,700 | |||||||||||
Preference shares, par value | $ 0.0015144558 | |||||||||||
Preference shares, issued | 10,000,000 | 10,000,000 | ||||||||||
Preference shares, rate | 5.625% | 5.625% | 5.625% | 5.625% | ||||||||
Redemption price per share | $ 25 | $ 25 | $ 25 | |||||||||
Proceeds or share issuance | $ 241,300 | |||||||||||
Preference shares liquidation preference, value | $ 250,000 | |||||||||||
5.625% Preference Shares, rep by Dep Shares (AHL PRE) | ||||||||||||
Class of Stock [Line Items] | ||||||||||||
Preferred stock issuance cost | $ 8,400 | |||||||||||
Preference shares, par value | $ 0.0015144558 | $ 0.0015144558 | ||||||||||
Preference shares, issued | 10,000,000 | 10,000,000 | 10,000,000 | |||||||||
Preference shares, rate | 5.625% | 5.625% | 5.625% | 5.625% | ||||||||
Redemption price per share | $ 25 | $ 25 | $ 25 | |||||||||
Additional paid-in capital (1) | Preference shares | ||||||||||||
Class of Stock [Line Items] | ||||||||||||
Proceeds or share issuance | $ 241,600 | |||||||||||
|
Dividends - Summary of Declared Dividends (Details) - USD ($) $ / shares in Units, $ in Millions |
6 Months Ended | |||||
---|---|---|---|---|---|---|
Jul. 01, 2023 |
Jun. 15, 2023 |
Aug. 13, 2019 |
Sep. 20, 2016 |
Jun. 30, 2023 |
Jun. 30, 2022 |
|
Dividends Payable [Line Items] | ||||||
Payments of Ordinary Dividends | $ 20.0 | |||||
5.625% Preference Shares, rep by Dep Shares (AHL PRE) | ||||||
Dividends Payable [Line Items] | ||||||
Record Date | Jun. 15, 2023 | |||||
Preferred Stock, Dividend Rate, Percentage | 5.625% | 5.625% | 5.625% | 5.625% | ||
5.950% Preference Shares (AHL PRC) | ||||||
Dividends Payable [Line Items] | ||||||
Record Date | Jun. 15, 2023 | |||||
Preferred Stock, Dividend Rate, Percentage | 5.95% | 5.95% | 5.95% | |||
5.625% Preference Shares (AHL PRD) | ||||||
Dividends Payable [Line Items] | ||||||
Record Date | Jun. 15, 2023 | |||||
Preferred Stock, Dividend Rate, Percentage | 5.625% | 5.625% | 5.625% | 5.625% | ||
Subsequent Event | 5.625% Preference Shares, rep by Dep Shares (AHL PRE) | ||||||
Dividends Payable [Line Items] | ||||||
Dividend, in usd per share | $ 351.56 | |||||
Payable Date | Jul. 01, 2023 | |||||
Depositary share dividend | $ 0.35156 | |||||
Depositary share interest of 1/1000th in each 5.625% | 0.001% | |||||
Subsequent Event | 5.950% Preference Shares (AHL PRC) | ||||||
Dividends Payable [Line Items] | ||||||
Dividend, in usd per share | $ 0.3719 | |||||
Payable Date | Jul. 01, 2023 | |||||
Subsequent Event | 5.625% Preference Shares (AHL PRD) | ||||||
Dividends Payable [Line Items] | ||||||
Dividend, in usd per share | $ 0.3516 | |||||
Payable Date | Jul. 01, 2023 |
Related Party Transactions - Narrative (Details) $ in Millions |
6 Months Ended | ||||||
---|---|---|---|---|---|---|---|
Jun. 30, 2023
USD ($)
|
Dec. 31, 2022
USD ($)
|
Jun. 30, 2022
USD ($)
|
|||||
Related Party Transaction [Line Items] | |||||||
Plus component of annual investment management fee | 0.25 | ||||||
Annual fee cap | 0.15 | ||||||
Privately-held Investments | [1] | $ 482.4 | $ 533.0 | ||||
Other investments, at fair value (2) | [2] | 213.4 | 221.3 | ||||
Asset Management Arrangement | Investment Income | |||||||
Related Party Transaction [Line Items] | |||||||
Related party fees | (5.2) | $ (0.6) | |||||
Management Consulting Agreement | General, administrative and corporate expenses | |||||||
Related Party Transaction [Line Items] | |||||||
Related party fees | (2.5) | (2.5) | |||||
Apollo originating partnership | Gain (Loss) on Investments | |||||||
Related Party Transaction [Line Items] | |||||||
Related party fees | (0.4) | (0.2) | |||||
Beneficial owner | |||||||
Related Party Transaction [Line Items] | |||||||
Intercompany balance payable | 2.2 | 2.0 | |||||
Apollo real estate fund | Fair Value, Recurring [Member] | |||||||
Related Party Transaction [Line Items] | |||||||
Other investments, at fair value (2) | 22.9 | 25.3 | |||||
Apollo originating partnership | Fair Value, Recurring [Member] | |||||||
Related Party Transaction [Line Items] | |||||||
Privately-held Investments | 42.7 | 44.8 | |||||
Other investments, at fair value (2) | 12.6 | 12.7 | |||||
Apollo originating partnership, class A notes | Privately-held investments | |||||||
Related Party Transaction [Line Items] | |||||||
Privately-held investment, losses incurred | 1.3 | 0.5 | |||||
Apollo originating partnership, class A notes | Fair Value, Recurring [Member] | |||||||
Related Party Transaction [Line Items] | |||||||
Privately-held Investments | 28.6 | 30.0 | |||||
Apollo originating partnership, class B notes | Privately-held investments | |||||||
Related Party Transaction [Line Items] | |||||||
Privately-held investment, losses incurred | 0.7 | $ 0.3 | |||||
Apollo originating partnership, class B notes | Fair Value, Recurring [Member] | |||||||
Related Party Transaction [Line Items] | |||||||
Privately-held Investments | $ 14.0 | $ 14.8 | |||||
Maximum | |||||||
Related Party Transaction [Line Items] | |||||||
Percentage of consolidated group's net income due to Apollo Management | 1.00% | ||||||
Fees due to Apollo Management | $ 5.0 | ||||||
|
Commitments and Contingencies - Schedule of Company's Restricted Assets (Details) - USD ($) $ in Millions |
6 Months Ended | |||||||
---|---|---|---|---|---|---|---|---|
Jun. 30, 2023 |
Jun. 30, 2022 |
Dec. 31, 2022 |
Apr. 01, 2022 |
Sep. 30, 2021 |
Dec. 20, 2017 |
|||
Fair Value, Separate Account Investment [Line Items] | ||||||||
Restricted Assets | $ 266.5 | $ 471.3 | ||||||
Restricted assets, excluding illiquid assets | 3,657.3 | 3,996.1 | ||||||
Other investments, at fair value (2) | [1] | 213.4 | 221.3 | |||||
Total restricted assets | $ 3,870.7 | 4,217.4 | ||||||
Total as percent of investable assets | 52.60% | 59.40% | ||||||
Securities and cash as collateral secured letters of credit | $ 266.5 | 471.3 | ||||||
Affiliated transactions | ||||||||
Fair Value, Separate Account Investment [Line Items] | ||||||||
Restricted Assets | 617.0 | 707.1 | ||||||
Third party | ||||||||
Fair Value, Separate Account Investment [Line Items] | ||||||||
Restricted Assets | 2,773.8 | 2,817.7 | ||||||
Limited Partner | Real estate fund | ||||||||
Fair Value, Separate Account Investment [Line Items] | ||||||||
Restricted Assets | $ 10.0 | $ 20.0 | $ 100.0 | |||||
Other investments, at fair value (2) | $ 213.4 | $ 221.3 | ||||||
|
Commitments and Contingencies - Additional Information (Details) £ in Millions, SFr in Millions, $ in Millions, $ in Millions, $ in Millions, $ in Millions |
1 Months Ended | 6 Months Ended | 12 Months Ended | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Mar. 31, 2021
USD ($)
|
Jun. 30, 2023
USD ($)
|
Jun. 30, 2022 |
Dec. 31, 2022
USD ($)
|
Jun. 30, 2023
GBP (£)
|
Jun. 30, 2023
CAD ($)
|
Jun. 30, 2023
AUD ($)
|
Jun. 30, 2023
CHF (SFr)
|
Jun. 30, 2023
SGD ($)
|
Dec. 31, 2022
GBP (£)
|
Dec. 31, 2022
CAD ($)
|
Dec. 31, 2022
AUD ($)
|
Dec. 31, 2022
CHF (SFr)
|
Dec. 31, 2022
SGD ($)
|
Apr. 01, 2022
USD ($)
|
Sep. 30, 2021
USD ($)
|
Dec. 23, 2019
USD ($)
|
Dec. 20, 2017
USD ($)
|
|||
Restricted Cash And Collateral [Line Items] | ||||||||||||||||||||
Restricted assets | $ 266.5 | $ 471.3 | ||||||||||||||||||
Other investments (equity method) | [1] | $ 213.4 | 221.3 | |||||||||||||||||
Total as percent of investable assets | 52.60% | 59.40% | ||||||||||||||||||
Investment in the period | $ 0.4 | 2.0 | ||||||||||||||||||
Investable assets held by the Company | 7,400.0 | 7,100.0 | ||||||||||||||||||
Investable assets held by insurance regulators | $ 551.0 | 489.5 | ||||||||||||||||||
Minimum capital required | £ | £ 0.4 | £ 0.4 | ||||||||||||||||||
Percentage of reinsurance liabilities | 100.00% | 100.00% | 100.00% | 100.00% | 100.00% | 100.00% | ||||||||||||||
Reinsurance liabilities | $ 1,009.3 | 1,166.4 | ||||||||||||||||||
Assets held-in-trust | 1,167.8 | 1,389.5 | ||||||||||||||||||
Regulatory deposits | 10.3 | 6.7 | ||||||||||||||||||
Deposit with states | 6.7 | 6.5 | ||||||||||||||||||
MVI | ||||||||||||||||||||
Restricted Cash And Collateral [Line Items] | ||||||||||||||||||||
Investment in the period | $ 0.8 | 0.0 | 0.4 | |||||||||||||||||
Multi-Line Insurer | ||||||||||||||||||||
Restricted Cash And Collateral [Line Items] | ||||||||||||||||||||
Other investments (equity method) | $ 5.0 | |||||||||||||||||||
Investment in the period | 0.4 | 1.6 | ||||||||||||||||||
Us Multi Beneficiary Trust Fund | ||||||||||||||||||||
Restricted Cash And Collateral [Line Items] | ||||||||||||||||||||
Minimum trust fund | 20.0 | |||||||||||||||||||
Assets held-in-trust | 383.2 | 509.2 | ||||||||||||||||||
Us Surplus Lines Trust Fund | ||||||||||||||||||||
Restricted Cash And Collateral [Line Items] | ||||||||||||||||||||
Assets held-in-trust | 141.0 | 215.1 | ||||||||||||||||||
Canadian Trust Fund | ||||||||||||||||||||
Restricted Cash And Collateral [Line Items] | ||||||||||||||||||||
Assets held-in-trust | 151.8 | $ 200.9 | $ 185.8 | |||||||||||||||||
Australian Trust Fund | ||||||||||||||||||||
Restricted Cash And Collateral [Line Items] | ||||||||||||||||||||
Assets held-in-trust | 102.0 | $ 153.2 | $ 183.9 | |||||||||||||||||
Swiss Trust Fund | ||||||||||||||||||||
Restricted Cash And Collateral [Line Items] | ||||||||||||||||||||
Assets held-in-trust | 10.6 | SFr 9.5 | SFr 9.4 | |||||||||||||||||
Singapore Trust Fund | ||||||||||||||||||||
Restricted Cash And Collateral [Line Items] | ||||||||||||||||||||
Assets held-in-trust | $ 127.5 | $ 172.6 | $ 174.7 | |||||||||||||||||
Bermuda | ||||||||||||||||||||
Restricted Cash And Collateral [Line Items] | ||||||||||||||||||||
Percentage of reinsurance liabilities | 100.00% | 100.00% | 100.00% | 100.00% | 100.00% | 100.00% | ||||||||||||||
Reinsurance liabilities | $ 306.7 | 380.3 | ||||||||||||||||||
Limited Partner | Real estate fund | ||||||||||||||||||||
Restricted Cash And Collateral [Line Items] | ||||||||||||||||||||
Restricted assets | $ 10.0 | $ 20.0 | $ 100.0 | |||||||||||||||||
Other investments (equity method) | $ 213.4 | $ 221.3 | ||||||||||||||||||
|
Concentration of Credit Risk - Additional Information (Details) $ in Millions |
6 Months Ended | 12 Months Ended | |
---|---|---|---|
Jun. 30, 2023
USD ($)
|
Dec. 31, 2022
USD ($)
|
Jun. 30, 2022
USD ($)
|
|
Concentration Risk [Line Items] | |||
Less foreign exchange (gains)/losses | $ 4,658.0 | $ 4,897.7 | $ 5,006.5 |
Reinsurance Recoverables, Collateralized | 0.560 | 0.579 | |
Underwriting premiums receivables (net of allowance for expected credit losses of 2023: $21.6 — 2022: $25.0) | $ 1,676.8 | $ 1,482.4 | |
Due for settlement | 5.9 | ||
Premium Receivable, Allowance for Credit Loss | $ 21.6 | 25.0 | $ 25.0 |
Allowable holdings of a single issue or issuer, percentage | 2.00% | ||
Reinsurance Recoverable, Allowance for Credit Loss | $ 3.3 | $ 3.7 | |
Munich Re | |||
Concentration Risk [Line Items] | |||
Concentration risk | 0.092 | 0.097 | |
Everest Re | |||
Concentration Risk [Line Items] | |||
Concentration risk | 0.160 | 0.163 | |
Lloyd's | |||
Concentration Risk [Line Items] | |||
Concentration risk | 0.078 | 0.082 | |
AA- or higher | |||
Concentration Risk [Line Items] | |||
Reinsurance Recoverables, Collateralized | 0.435 | 0.420 | |
AA- or lower | |||
Concentration Risk [Line Items] | |||
Reinsurance Recoverables, Collateralized | 0.005 | 0.001 |
Reclassifications from Accumulated Other Comprehensive Income - Schedule of Accumulated Other Comprehensive Income Reclassification (Details) - USD ($) $ in Millions |
6 Months Ended | |||||
---|---|---|---|---|---|---|
Jun. 30, 2023 |
Jun. 30, 2022 |
|||||
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items] | ||||||
Income (loss) from operations before income taxes | $ 255.1 | $ 53.1 | ||||
Income tax (expense)/benefit | (36.2) | (4.7) | ||||
General, administrative and corporate expenses | [1],[2] | (232.7) | (233.4) | |||
Net income/(loss) | 218.9 | 48.4 | ||||
Net (loss) | 218.9 | 48.4 | ||||
Reclassification out of Accumulated Other Comprehensive Income | ||||||
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items] | ||||||
Net income/(loss) | 2.5 | 22.0 | ||||
Available for sale securities | Reclassification out of Accumulated Other Comprehensive Income | ||||||
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items] | ||||||
Available for sale securities — gross realized (losses) | (0.4) | (2.3) | ||||
Realized losses on sale of securities and cash and cash equivalents | 7.2 | 30.1 | ||||
Income (loss) from operations before income taxes | 6.8 | 27.8 | ||||
Income tax (expense)/benefit | 0.0 | 0.0 | ||||
Net (loss) | 6.8 | 27.8 | ||||
Realized derivatives | Reclassification out of Accumulated Other Comprehensive Income | ||||||
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items] | ||||||
Income tax (expense)/benefit | 0.0 | 0.6 | ||||
General, administrative and corporate expenses | (4.3) | (6.4) | ||||
Net income/(loss) | $ (4.3) | $ (5.8) | ||||
|
Subsequent Events - Narrative (Details) $ in Millions |
1 Months Ended |
---|---|
Jul. 31, 2023
USD ($)
| |
Subsequent Event | |
Subsequent Event [Line Items] | |
Delayed draw term loan facility | $ 300.0 |
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