Cost
December 31, 2017 | ||||||||||||||||
(in millions) | Amortized Cost | Gross Unrealized Gains | Gross Unrealized Losses | Fair Value | ||||||||||||
Fixed maturities | ||||||||||||||||
U.S. Governments | $ | 419.9 | $ | 0.2 | $ | 5.0 | $ | 415.1 | ||||||||
Foreign Governments | 229.0 | 6.7 | 2.5 | 233.2 | ||||||||||||
Obligations of states and political subdivisions | 327.7 | 9.3 | 1.1 | 335.9 | ||||||||||||
Corporate bonds | 1,514.5 | 24.4 | 13.2 | 1,525.7 | ||||||||||||
Commercial mortgage-backed securities | 136.3 | 0.1 | 1.5 | 134.9 | ||||||||||||
Residential mortgage-backed securities | 309.3 | 2.8 | 2.7 | 309.4 | ||||||||||||
Asset-backed securities | 161.3 | 0.7 | 0.8 | 161.2 | ||||||||||||
Collateralized loan obligations | 222.6 | 5.9 | 0.5 | 228.0 | ||||||||||||
Total fixed maturities | $ | 3,320.6 | $ | 50.1 | $ | 27.3 | $ | 3,343.4 |
(in millions) | Amortized Cost | Fair Value | ||||||
Due in one year or less | $ | 208.9 | $ | 208.6 | ||||
Due after one year through five years | 1,482.3 | 1,465.7 | ||||||
Due after five years through ten years | 597.2 | 588.0 | ||||||
Thereafter | 149.7 | 149.1 | ||||||
Structured securities | 900.4 | 890.0 | ||||||
Total | $ | 3,338.5 | $ | 3,301.4 |
June 30, 2018 | ||||||||
(in millions) | Carrying Value | Unfunded Commitments | ||||||
Investment Type | ||||||||
Hedge funds | $ | 140.0 | $ | — | ||||
Private equity | 199.0 | 114.9 | ||||||
Long only funds | 182.6 | — | ||||||
Other | 4.3 | — | ||||||
Total other investments | $ | 525.9 | $ | 114.9 |
December 31, 2017 | ||||||||
(in millions) | Carrying Value | Unfunded Commitments | ||||||
Investment Type | ||||||||
Hedge funds | $ | 163.6 | $ | — | ||||
Private equity | 179.2 | 129.9 | ||||||
Long only funds | 196.5 | — | ||||||
Other | 4.3 | — | ||||||
Total other investments | $ | 543.6 | $ | 129.9 |
• | Hedge funds: Hedge funds include funds that primarily buy and sell stocks, including short sales, multi-strategy credit, relative value credit and distressed credit. |
• | Private equity: Private equity includes buyout funds, real asset/infrastructure funds, credit special situations funds, mezzanine lending funds and direct investments and strategic non-controlling minority investments in private companies that are principally accounted for using the equity method of accounting. |
• | Long only funds: Our long only funds include a fund that primarily owns international stocks and funds that primarily own investment-grade corporate and sovereign fixed income securities. |
• | Other: Other includes participation in investment pools. |
June 30, 2018 | Less Than One Year | One Year or Greater | Total | |||||||||||||||||||||
(in millions) | Fair Value | Unrealized Losses | Fair Value | Unrealized Losses | Fair Value | Unrealized Losses | ||||||||||||||||||
Fixed maturities | ||||||||||||||||||||||||
U.S. Governments | $ | 223.4 | $ | 6.1 | $ | 17.2 | $ | 0.9 | $ | 240.6 | $ | 7.0 | ||||||||||||
Foreign Governments (1) | 212.9 | 5.9 | 5.0 | — | 217.9 | 5.9 | ||||||||||||||||||
Obligations of states and political subdivisions | 67.5 | 1.1 | 14.6 | 0.7 | 82.1 | 1.8 | ||||||||||||||||||
Corporate bonds | 1,195.0 | 28.7 | 28.9 | 1.8 | 1,223.9 | 30.5 | ||||||||||||||||||
Commercial mortgage-backed securities | 105.2 | 1.9 | 15.8 | 0.9 | 121.0 | 2.8 | ||||||||||||||||||
Residential mortgage-backed securities | 288.2 | 8.9 | 14.0 | 0.7 | 302.2 | 9.6 | ||||||||||||||||||
Asset-backed securities | 107.1 | 1.0 | 7.0 | 0.3 | 114.1 | 1.3 | ||||||||||||||||||
Collateralized loan obligations | 129.8 | 0.8 | — | — | 129.8 | 0.8 | ||||||||||||||||||
Total fixed maturities | $ | 2,329.1 | $ | 54.4 | $ | 102.5 | $ | 5.3 | $ | 2,431.6 | $ | 59.7 |
December 31, 2017 | Less Than One Year | One Year or Greater | Total | |||||||||||||||||||||
(in millions) | Fair Value | Unrealized Losses | Fair Value | Unrealized Losses | Fair Value | Unrealized Losses | ||||||||||||||||||
Fixed maturities | ||||||||||||||||||||||||
U.S. Governments | $ | 313.7 | $ | 1.9 | $ | 83.7 | $ | 3.1 | $ | 397.4 | $ | 5.0 | ||||||||||||
Foreign Governments | 175.2 | 2.0 | 35.9 | 0.5 | 211.1 | 2.5 | ||||||||||||||||||
Obligations of states and political subdivisions | 33.3 | 0.5 | 22.4 | 0.6 | 55.7 | 1.1 | ||||||||||||||||||
Corporate bonds | 674.1 | 9.9 | 77.7 | 3.3 | 751.8 | 13.2 | ||||||||||||||||||
Commercial mortgage-backed securities | 58.2 | 0.4 | 37.8 | 1.1 | 96.0 | 1.5 | ||||||||||||||||||
Residential mortgage-backed securities | 164.4 | 1.6 | 52.4 | 1.1 | 216.8 | 2.7 | ||||||||||||||||||
Asset-backed securities | 85.4 | 0.4 | 31.9 | 0.4 | 117.3 | 0.8 | ||||||||||||||||||
Collateralized loan obligations (1) | 34.6 | 0.5 | 0.9 | — | 35.5 | 0.5 | ||||||||||||||||||
Total fixed maturities | $ | 1,538.9 | $ | 17.2 | $ | 342.7 | $ | 10.1 | $ | 1,881.6 | $ | 27.3 |
(1) | Unrealized losses one year or greater are less than $0.1 million. |
For the Three Months Ended June 30, | For the Six Months Ended June 30, | |||||||||||||||
(in millions) | 2018 | 2017 | 2018 | 2017 | ||||||||||||
Other-than-temporary impairment: | ||||||||||||||||
Corporate bonds | $ | (0.9 | ) | $ | — | (1.9 | ) | — | ||||||||
Equity securities | — | (1.1 | ) | — | (1.5 | ) | ||||||||||
Other-than-temporary impairment losses | $ | (0.9 | ) | $ | (1.1 | ) | $ | (1.9 | ) | $ | (1.5 | ) |
For the Three Months Ended June 30, | For the Six Months Ended June 30, | |||||||||||||||
(in millions) | 2018 | 2017 | 2018 | 2017 | ||||||||||||
Realized gains on fixed maturities and other | ||||||||||||||||
Fixed maturities | $ | 3.7 | $ | 5.5 | $ | 11.2 | $ | 12.6 | ||||||||
Equity securities (1) | — | 12.0 | — | 27.7 | ||||||||||||
Other and short-term investments | 15.6 | 5.1 | 27.3 | 11.3 | ||||||||||||
19.3 | 22.6 | 38.5 | 51.6 | |||||||||||||
Realized losses on fixed maturities and other | ||||||||||||||||
Fixed maturities | (6.5 | ) | (5.0 | ) | (11.4 | ) | (11.2 | ) | ||||||||
Equity securities (1) | — | (1.8 | ) | — | (2.5 | ) | ||||||||||
Other and Short-term investments | (16.3 | ) | (10.2 | ) | (25.6 | ) | (17.3 | ) | ||||||||
Other-than-temporary impairment losses on fixed maturities | (0.9 | ) | — | (1.9 | ) | — | ||||||||||
Other-than-temporary impairment losses on equity securities | — | (1.1 | ) | — | (1.5 | ) | ||||||||||
(23.7 | ) | (18.1 | ) | (38.9 | ) | (32.5 | ) | |||||||||
Equity securities (1) | ||||||||||||||||
Net realized gains on equity securities sold during the period | 10.6 | — | 21.8 | — | ||||||||||||
Change in unrealized gains (losses) on equity securities held at the end of the period | 4.3 | — | (26.6 | ) | — | |||||||||||
Net realized gains (losses) on equity securities | 14.9 | — | (4.8 | ) | — | |||||||||||
Net realized investment gains (losses) before income taxes | 10.5 | 4.5 | (5.2 | ) | 19.1 | |||||||||||
Income tax (expense) benefit | (2.4 | ) | (1.3 | ) | 0.5 | (5.7 | ) | |||||||||
Net realized investment gains (losses), net of income taxes | $ | 8.1 | $ | 3.2 | $ | (4.7 | ) | $ | 13.4 |
(1) | Effective January 1, 2018, we adopted ASU 2016-1. As a result, unrealized gains (losses) at the date of adoption have been reclassified from accumulated other comprehensive income to retained earnings. Additionally, all changes in the fair value of equity securities are recognized in net realized investment gains (losses). Prior periods have not been restated to conform to the current presentation. See Note 2, "Recently Issued Accounting Pronouncements." |
For the Three Months Ended June 30, | For the Six Months Ended June 30, | |||||||||||||||
(in millions) | 2018 | 2017 | 2018 | 2017 | ||||||||||||
Change in unrealized (losses) gains | ||||||||||||||||
Fixed maturities | $ | (21.8 | ) | $ | 19.5 | (58.9 | ) | 32 | ||||||||
Equity securities | — | 3.3 | — | 8.7 | ||||||||||||
Other investments | 0.1 | 2.0 | 0.1 | 2 | ||||||||||||
Short-term investments | 0.1 | — | — | — | ||||||||||||
Net unrealized investment (losses) gains before income taxes | (21.6 | ) | 24.8 | (58.8 | ) | 42.7 | ||||||||||
Income tax benefit (expense) | 2.8 | (5.1 | ) | 9.1 | (9.7 | ) | ||||||||||
Net unrealized investment (losses) gains, net of income taxes | $ | (18.8 | ) | $ | 19.7 | $ | (49.7 | ) | $ | 33.0 |
(in millions) | June 30, 2018 | December 31, 2017 | ||||||
Operational currency exposure | $ | (2.2 | ) | $ | (0.2 | ) | ||
Asset manager investment exposure | 0.2 | (0.9 | ) | |||||
Total return strategy | (0.3 | ) | 0.7 | |||||
Total | $ | (2.3 | ) | $ | (0.4 | ) |
For the Three Months Ended June 30, | For the Six Months Ended June 30, | |||||||||||||||
(in millions) | 2018 | 2017 | 2018 | 2017 | ||||||||||||
Realized gains | ||||||||||||||||
Operational currency exposure | $ | 1.7 | $ | 3.7 | $ | 6.0 | $ | 5.7 | ||||||||
Asset manager investment exposure | 8.7 | — | 13.0 | 0.5 | ||||||||||||
Total return strategy | 4.3 | 0.5 | 6.9 | 3.6 | ||||||||||||
Gross realized investment gains | 14.7 | 4.2 | 25.9 | 9.8 | ||||||||||||
Realized losses | ||||||||||||||||
Operational currency exposure | (3.7 | ) | (3.7 | ) | (4.3 | ) | (5.9 | ) | ||||||||
Asset manager investment exposure | (5.7 | ) | (5.4 | ) | (11.6 | ) | (6.8 | ) | ||||||||
Total return strategy | (6.0 | ) | (0.8 | ) | (8.1 | ) | (2.7 | ) | ||||||||
Gross realized investment losses | (15.4 | ) | (9.9 | ) | (24.0 | ) | (15.4 | ) | ||||||||
Net realized investment (losses) gains on foreign currency exchange forward contracts | $ | (0.7 | ) | $ | (5.7 | ) | $ | 1.9 | $ | (5.6 | ) |
(in millions) | June 30, 2018 | June 30, 2017 | ||||||
Securities on deposit for regulatory and other purposes | $ | 167.0 | $ | 176.0 | ||||
Securities pledged as collateral for letters of credit | 78.1 | 29.1 | ||||||
Securities and cash on deposit supporting Lloyd’s business | 373.9 | 397.2 | ||||||
Total restricted investments | $ | 619.0 | $ | 602.3 |
• | Level 1 inputs are quoted prices (unadjusted) in active markets for identical assets or liabilities that can be accessed at the reporting date. We define actively traded as a security that has traded in the past seven days. We receive one quote per instrument for Level 1 inputs. |
• | Level 2 inputs are inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly or indirectly. We receive one quote per instrument for Level 2 inputs. |
• | Level 3 inputs are unobservable inputs. Unobservable inputs reflect our own judgments about the assumptions market participants would use in pricing the asset or liability based on the best information available in the circumstances. |
• | United States Treasury securities are typically valued using Level 1 inputs. For these securities, we obtain fair value measurements from third-party pricing services using quoted prices (unadjusted) in active markets at the reporting date. |
• | United States Government agencies, non-U.S. Government securities, obligations of states and political subdivisions, credit securities and foreign denominated government and credit securities are reported at fair value using Level 2 inputs. For these securities, we obtain fair value measurements from third-party pricing services. Observable data may include dealer quotes, market spreads, yield curves, live trading levels, trade execution data, credit information and the security’s terms and conditions, among other things. |
• | Asset and mortgage-backed securities and collateralized loan obligations are reported at fair value using Level 2 inputs. For these securities, we obtain fair value measurements from third-party pricing services. Observable data may include dealer quotes, market spreads, cash flows, yield curves, live trading levels, trade execution data, market consensus prepayment speeds, credit information and the security’s terms and conditions, among other things. |
• | We own term loans that are valued using unobservable inputs. |
• | Fair value measurements obtained from the National Association of Insurance Commissioners’ Security Valuation Office at the reporting date. |
• | Fair value measurements for an investment in an equity fund obtained by applying final prices provided by the administrator of the fund, which is based upon certain estimates and assumptions. |
• | Fair value measurements from a broker and an independent valuation service, both based upon estimates and assumptions. |
Fair Value Measurements at Reporting Date Using | ||||||||||||||||
(in millions) | June 30, 2018 | Level 1 (a) | Level 2 (b) | Level 3 (c) | ||||||||||||
Fixed maturities | ||||||||||||||||
U.S. Governments | $ | 261.2 | $ | 252.2 | $ | 9.0 | $ | — | ||||||||
Foreign Governments | 244.1 | — | 244.1 | — | ||||||||||||
Obligations of states and political subdivisions | 270.7 | — | 270.7 | — | ||||||||||||
Corporate bonds | 1,635.4 | — | 1,631.8 | 3.6 | ||||||||||||
Commercial mortgage-backed securities | 143.0 | — | 143.0 | — | ||||||||||||
Residential mortgage-backed securities | 368.1 | — | 368.1 | — | ||||||||||||
Asset-backed securities | 158.5 | — | 158.5 | — | ||||||||||||
Collateralized loan obligations | 220.4 | — | 220.4 | — | ||||||||||||
Total fixed maturities | 3,301.4 | 252.2 | 3,045.6 | 3.6 | ||||||||||||
Equity securities | 492.2 | 484.1 | 2.1 | 6.0 | ||||||||||||
Other investments | 95.4 | — | 95.4 | — | ||||||||||||
Short-term investments | 449.4 | 391.8 | 57.6 | — | ||||||||||||
$ | 4,338.4 | $ | 1,128.1 | $ | 3,200.7 | $ | 9.6 |
(a) | Quoted prices in active markets for identical assets |
(b) | Significant other observable inputs |
(c) | Significant unobservable inputs |
Fair Value Measurements at Reporting Date Using | ||||||||||||||||
(in millions) | December 31, 2017 | Level 1 (a) | Level 2 (b) | Level 3 (c) | ||||||||||||
Fixed maturities | ||||||||||||||||
U.S. Governments | $ | 415.1 | $ | 410.6 | $ | 4.5 | $ | — | ||||||||
Foreign Governments | 233.2 | — | 233.2 | — | ||||||||||||
Obligations of states and political subdivisions | 335.9 | — | 335.9 | — | ||||||||||||
Corporate bonds | 1,525.7 | — | 1,523.8 | 1.9 | ||||||||||||
Commercial mortgage-backed securities | 134.9 | — | 134.9 | — | ||||||||||||
Residential mortgage-backed securities | 309.4 | — | 309.4 | — | ||||||||||||
Asset-backed securities | 161.2 | — | 161.2 | — | ||||||||||||
Collateralized loan obligations | 228.0 | — | 228.0 | — | ||||||||||||
Total fixed maturities | 3,343.4 | 410.6 | 2,930.9 | 1.9 | ||||||||||||
Equity securities | 487.4 | 483.0 | 2.1 | 2.3 | ||||||||||||
Other investments | 108.8 | — | 108.8 | — | ||||||||||||
Short-term investments | 368.5 | 333.7 | 34.8 | — | ||||||||||||
$ | 4,308.1 | $ | 1,227.3 | $ | 3,076.6 | $ | 4.2 |
(a) | Quoted prices in active markets for identical assets |
(b) | Significant other observable inputs |
(c) | Significant unobservable inputs |
(in millions) | Credit Financial | Equity Securities | Total | |||||||||
Beginning balance, January 1, 2018 | $ | 1.9 | $ | 2.3 | $ | 4.2 | ||||||
Transfers into Level 3 | — | — | — | |||||||||
Transfers out of Level 3 | — | — | — | |||||||||
Total gains or losses (realized/unrealized): | ||||||||||||
Included in net income (loss) | — | — | — | |||||||||
Included in other comprehensive income (loss) | — | — | — | |||||||||
Purchases, issuances, sales, and settlements: | ||||||||||||
Purchases | 1.7 | 4.1 | 5.8 | |||||||||
Issuances | — | — | — | |||||||||
Sales | — | (0.4 | ) | (0.4 | ) | |||||||
Settlements | — | — | — | |||||||||
Ending balance, June 30, 2018 | $ | 3.6 | $ | 6.0 | $ | 9.6 | ||||||
Amount of total gains or losses for the year included in net income (loss) attributable to the change in unrealized gains or losses relating to assets still held at June 30, 2018 | $ | — | $ | — | $ | — |
(in millions) | Credit Financial | Equity Securities | Total | |||||||||
Beginning balance, January 1, 2017 | $ | 2.0 | $ | 0.4 | $ | 2.4 | ||||||
Transfers into Level 3 | — | — | — | |||||||||
Transfers out of Level 3 | — | — | — | |||||||||
Total gains or losses (realized/unrealized): | ||||||||||||
Included in net income (loss) | — | — | — | |||||||||
Included in other comprehensive income (loss) | (0.1 | ) | 0.2 | 0.1 | ||||||||
Purchases, issuances, sales, and settlements: | ||||||||||||
Purchases | — | 1.7 | 1.7 | |||||||||
Issuances | — | — | — | |||||||||
Sales | — | — | — | |||||||||
Settlements | — | — | — | |||||||||
Ending balance, December 31, 2017 | $ | 1.9 | $ | 2.3 | $ | 4.2 | ||||||
Amount of total gains or losses for the year included in net income (loss) attributable to the change in unrealized gains or losses relating to assets still held at December 31, 2017 | $ | — | $ | — | $ | — |