v3.26.3
Investments
 9 Months Ended
Sep. 30, 2026
Investments, Debt and Equity Securities [Abstract]  
Investments Investments
Fixed Maturity and Short-Term Investments - Trading

The Company’s fixed maturity and short-term investments are as follows:

September 30, 2026
($ in thousands)
Amortized CostGross Unrealized GainsGross Unrealized LossesFair Value
Fixed maturities:
U.S. government treasuries$365,667 $— $(14,989)$350,678 
U.S. states, territories and municipalities9,462 — (223)9,239 
Non-U.S. sovereign governments and supranationals96,034 345 (4,029)92,350 
Corporate1,891,295 4,448 (66,339)1,829,404 
Residential mortgage-backed securities - Agency366,158 4 (19,785)346,377 
Residential mortgage-backed securities - Non-agency100,297 95 (3,958)96,434 
Commercial mortgage-backed securities - Non-agency87,238 3 (2,759)84,482 
Other asset-backed securities351,536 396 (2,971)348,961 
Total fixed maturities3,267,687 5,291 (115,053)3,157,925 
Short-term investments
423,363 709 (26)424,046 
Total$3,691,050 $6,000 $(115,079)$3,581,971 

December 31, 2025
($ in thousands)
Amortized CostGross Unrealized GainsGross Unrealized LossesFair Value
Fixed maturities:
U.S. government treasuries$795,780 $4,782 $(2,728)$797,834 
U.S. states, territories and municipalities12,924 89 (53)12,960 
Non-U.S. sovereign governments and supranationals108,296 3,102 (537)110,861 
Corporate1,557,582 29,899 (3,337)1,584,144 
Residential mortgage-backed securities - Agency370,516 4,419 (9,285)365,650 
Residential mortgage-backed securities - Non-agency33,052 319 (826)32,545 
Commercial mortgage-backed securities - Non-agency94,223 835 (360)94,698 
Other asset-backed securities238,567 1,401 (117)239,851 
Total fixed maturities3,210,940 44,846 (17,243)3,238,543 
Short-term investments
200,052 419 (12)200,459 
 Total
$3,410,992 $45,265 $(17,255)$3,439,002 
Contractual Maturities Summary

The following table presents contractual maturities of fixed maturity securities. Expected maturities will differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment penalties.

September 30, 2026
($ in thousands)
Amortized CostFair Value
Due less than one year
$47,870 $47,814 
Due after one through five years
1,418,639 1,384,030 
Due after five through ten years
814,853 774,640 
Due after ten years
81,096 75,187 
Mortgage-backed securities
553,693 527,293 
Asset-backed securities
351,536 348,961 
Total
$3,267,687 $3,157,925 

Investments in Two Sigma Funds

TS Hamilton Fund invests in Two Sigma Funds ("Two Sigma Funds"), which are stated at their estimated fair values, which generally represent the Company’s proportionate interest in the members’ equity of the Two Sigma Funds as reported by the respective funds based on the net asset value ("NAV") provided by the fund administrator. The Company accounts for its investment in Two Sigma Funds under the variable interest model at NAV as a practical expedient for fair value in the consolidated balance sheet.

The Company owns the following interest in each of the Two Sigma Funds:

September 30, 2026
Two Sigma FundsAbbreviation%
Two Sigma Spectrum Portfolio, LLCSTV12.3 %
Two Sigma Equity Spectrum Portfolio, LLCESTV9.6 %
Two Sigma Absolute Return Portfolio, LLCATV0.2 %
Two Sigma Futures Portfolio, LLCFTV6.5 %
Two Sigma Horizon Portfolio, LLCHTV5.2 %
Two Sigma Navigator Portfolio, LLCNTV5.8 %
Two Sigma Kuiper Portfolio, LLCKTV5.1 %

The Company, through its investments in the Two Sigma Funds, seeks to achieve absolute dollar-denominated returns on a substantial capital base, primarily by combining multiple hedged and leveraged systematic and non-systematic investment strategies with proprietary risk management and execution techniques. These strategies include, but are not limited to, technical and statistically-based, fundamental-based, event-based, market condition-based and spread-based strategies as well as contributor-based and/or sentiment-based strategies and blended strategies.

•STV primarily utilizes systematic strategies to trade exchange-traded funds.
•ESTV primarily utilizes systematic strategies to trade U.S. listed and non-U.S.-listed equity securities, swap contracts, money market funds, government debt securities, futures and foreign currency forward contracts.
•ATV primarily utilizes systematic strategies to trade a diversified, global, equity market neutral portfolio, predominantly of equity securities, equity-related derivatives and other related instruments.
•FTV primarily utilizes systematic macro strategies to trade exchange traded funds, exchange memberships, government debt securities, money market funds, option contracts, swap contracts, futures and forward contracts.
•HTV primarily utilizes systematic strategies and non-systematic discretionary strategies to trade futures, futures options, foreign currency spot, forward and option contracts, exchange-traded products ("ETPs") and ETP options, debt securities, and various types of derivatives and other instruments.
•NTV primarily utilizes non-systematic discretionary macro strategies that combine human discretion with quantitative analysis for purposes of trading globally across various asset classes.
•KTV primarily utilizes non-systematic discretionary strategies that combine human discretion with quantitative analysis to trade futures, futures options, foreign currency spot, forward and option contracts, ETPs and ETP options, debt securities, and various types of derivatives and other instruments.

The Company’s investments in Two Sigma Funds are as follows:

($ in thousands)
September 30, 2026December 31, 2025
Two Sigma FundsCostNet Unrealized Gains (Losses)Fair ValueCostNet Unrealized Gains (Losses)Fair Value
Two Sigma Spectrum Portfolio, LLC$48,246 $19,105 $67,351 $500,616 $131,996 $632,612 
Two Sigma Equity Spectrum Portfolio, LLC769,374 280,203 1,049,577 187,718 49,906 237,624 
Two Sigma Absolute Return Portfolio, LLC9,789 3,210 12,999 93,092 8,882 101,974 
Two Sigma Futures Portfolio, LLC236,926 49,433 286,359 192,064 44,998 237,062 
Two Sigma Horizon Portfolio, LLC266,392 22,480 288,872 241,090 4,585 245,675 
Two Sigma Navigator Portfolio, LLC125,927 27,418 153,345 110,577 (9,585)100,992 
Two Sigma Kuiper Portfolio, LLC15,331 45 15,376 30,406 1,313 31,719 
Total
$1,471,985 $401,894 $1,873,879 $1,355,563 $232,095 $1,587,658 

The following table summarizes certain investments of the Two Sigma Funds where TS Hamilton Fund’s proportionate share of the fair value of the investment represents more than 5% of TS Hamilton Fund’s members’ equity:

September 30, 2026
($ in thousands)
Principal / Shares (1)
Fair
Value (1)
% of Members’ Equity
BlackRock Liquidity Funds T-Fund Portfolio155,787 $155,787 5.9 %
Invesco Treasury Portfolio Money Market Fund167,517 $167,517 6.3 %
U.S. Treasury Securities, 0.0000% - 5.1250%, due 10/1/2026 - 5/15/20562,230,441 $2,166,051 81.6 %
U.S. Treasury Securities, 3.5000% - 5.1250%, due 1/31/2027 - 8/15/2056(201,398)$(190,608)(7.2)%
(1) Values represent TS Hamilton Fund’s proportionate share of the aggregate of the Two Sigma Funds’ total holdings.
Two Sigma and the Managing Member are related parties to the Company as described further in Note 1, Organization. The LLCA requires TS Hamilton Fund to incur a management fee of 2.5% per annum of the non-managing members’ equity in the net asset value of the TS Hamilton Fund. The management fee for the three months ended September 30, 2026 and 2025 was $15.7 million and $13.3 million, respectively, and the management fee for the nine months ended September 30, 2026 and 2025 was $44.3 million and $38.7 million, respectively.
Under the terms of the LLCA, the Managing Member is entitled to an incentive allocation equal to 30% of TS Hamilton Fund’s net profits, subject to high watermark provisions, and adjusted for withdrawals and any incentive allocation to the Managing Member. In the event there is a net loss during a quarter and a net profit during any subsequent quarter, the Managing Member is entitled to a modified incentive allocation whereby the regular incentive allocation will be reduced by 50% until subsequent cumulative net profits are credited in an amount equal to 200% of the previously allocated net losses. The Managing Member is also entitled to receive an additional incentive allocation as of the end of each fiscal year (or on any date Hamilton Re withdraws all or a portion of its capital), in an amount equal to 25% of the Excess Profits. "Excess Profits" for any given fiscal year (or other such accounting period) means the net profits over 10% for such fiscal year, net of management fees and expenses and gross of incentive allocations, but only after recouping previously unrecouped net losses. To the extent Hamilton Re contributes capital other than at the beginning of a fiscal year or withdraws capital other than at the end of a fiscal year, the additional incentive allocation hurdle with respect to such capital is prorated. The aggregate incentive allocation (inclusive of the additional incentive allocation) for the three months ended September 30, 2026 and 2025 was $146.7 million and $40.2 million, respectively, and the aggregate incentive allocation (inclusive of the additional incentive allocation) for the nine months ended September 30, 2026 and 2025 was $341.2 million and $221.0 million, respectively.
On April 1, 2026, the Company, Hamilton Re, TS Hamilton Fund, the Managing Member and Two Sigma entered into the Original Investment Agreement relating to Hamilton Re’s investment in the TS Hamilton Fund. The Original Investment Agreement replaced and superseded the Prior Commitment Agreement, which previously governed such investment. On June 1, 2026, the parties entered into the amended and restated Investment Agreement, which amended and restated, and superseded in its entirety, the Original Investment Agreement. The principal effect of the June 1, 2026 amendment and restatement was to relocate the provisions governing withdrawals from the Investment Agreement to the LLCA. The terms governing withdrawals were not substantively changed in connection with such amendment and restatement, and, other than the relocation of such provisions, no other material terms were modified.

Under the Investment Agreement, Hamilton Re has agreed to use its reasonable best efforts to maintain an investment in the TS Hamilton Fund in an amount not less than the lesser of (i) $1.8 billion or (ii) 60% of Hamilton Group’s net tangible assets (the "Minimum Commitment Amount"). The Investment Agreement distinguishes between capital attributable to amounts in excess of the Minimum Commitment Amount ("Sub‑Series A Interests") and capital at or below such amount ("Sub‑Series B Interests"). The terms governing withdrawals, as set forth in the LLCA, provide that (i) withdrawals of Sub‑Series A Interests may be made as of the last calendar day of each calendar quarter upon at least 55 days’ prior notice, and (ii) withdrawals of Sub‑Series B Interests may be made monthly, subject to a six‑month notice requirement and monthly withdrawal limitations, including a maximum withdrawal of one-twelfth of the Sub‑Series B Interests per month.
Total Net Realized and Unrealized Gains (Losses) on Investments and Net Investment Income (Loss)

The components of total net realized and unrealized gains (losses) on investments and net investment income (loss) are as follows:

Three Months EndedNine Months Ended
September 30,September 30,
($ in thousands)
2026202520262025
Net realized and unrealized gains (losses) on investments:
Net realized gains (losses) on investments$166,722 $109,355 $554,472 $424,142 
Change in net unrealized gains (losses) on investments41,804 5,781 32,986 147,822 
Net realized and unrealized gains (losses) on investments208,526 115,136 587,458 571,964 
Net investment income (loss):
Fixed maturities36,065 30,070 104,850 82,674 
Short-term investments3 155 22 453 
TS Hamilton Fund1,507 3,243 5,091 7,837 
Cash and cash equivalents5,002 3,986 13,491 12,576 
Other781 (575)1,184 611 
Interest and other43,358 36,879 124,638 104,151 
Management fees(16,432)(13,889)(46,544)(40,574)
Other expenses(311)(263)(1,010)(856)
Net investment income (loss)
26,615 22,727 77,084 62,721 
Total net realized and unrealized gains (losses) on investments and net investment income (loss)$235,141 $137,863 $664,542 $634,685 

Net Realized Gains (Losses) on Investments

The components of net realized gains (losses) on investments are as follows:

Three Months EndedNine Months Ended
September 30,September 30,
($ in thousands)
2026202520262025
Fixed maturities and short-term investments$(6,983)$3,274 $(9,316)$4,140 
TS Hamilton Fund 173,705 106,081 563,788 420,002 
Net realized gains (losses) on investments$166,722 $109,355 $554,472 $424,142 

Net Unrealized Gains (Losses) on Investments

The components of net unrealized gains (losses) on investments are as follows:

Three Months EndedNine Months Ended
September 30,September 30,
($ in thousands)
2026202520262025
Fixed maturities and short-term investments$(90,312)$7,227 $(137,483)$70,496 
TS Hamilton Fund 132,116 (1,446)170,469 77,326 
Net unrealized gains (losses) on investments$41,804 $5,781 $32,986 $147,822 
Pledged Assets

At September 30, 2026 and December 31, 2025, pledged investments at fair value were comprised of $283.2 million and $263.1 million, respectively, securing a portion of the capital requirements for business written at Lloyd’s, $279.3 million and $265.0 million, respectively, held in trust accounts for the benefit of U.S. state regulatory authorities and $78.6 million and $90.4 million, respectively, securing other underwriting obligations. In addition, certain investments were pledged as security for letter of credit facilities as described further in Note 9, Debt and Credit Facilities.

At September 30, 2026 and December 31, 2025, restricted cash and cash equivalents balances were comprised of $121.6 million and $106.2 million, respectively, securing other underwriting obligations, $5.5 million and $1.4 million, respectively, securing a portion of the capital requirements for business written at Lloyd’s and $2.2 million and $2.1 million, respectively, in trust accounts for the benefit of regulatory authorities.

Total cash and cash equivalents and restricted cash and cash equivalents of $1.3 billion presented in the statement of cash flows was comprised of cash and cash equivalents of $1.2 billion and restricted cash and cash equivalents of $129.3 million on the balance sheet at September 30, 2026. Total cash and cash equivalents and restricted cash and cash equivalents of $1.2 billion presented in the statement of cash flows at December 31, 2025 was comprised of cash and cash equivalents of $1.1 billion and restricted cash and cash equivalents of $109.7 million on the balance sheet.