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Fair Value Measurements (Tables) | 9 Months Ended
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Sep. 30, 2017
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 September 30, 2017 and December 31, 2016:
| As at September 30, 2017
| Level 1 |  | Level 2 |  | Level 3 |  | Total
| ($ in millions)
Available for sale financial assets, at fair value |  |  |  |  |  |  |
U.S. government | $ | 1,172.6 |  |  | $ | — |  |  | $ | — |  |  | $ | 1,172.6 |
U.S. agency | — |  |  | 62.1 |  |  | — |  |  | 62.1 |
Municipal | — |  |  | 50.1 |  |  | — |  |  | 50.1 |
Corporate | — |  |  | 2,468.4 |  |  | — |  |  | 2,468.4 |
Non-U.S. government-backed corporate | — |  |  | 94.0 |  |  | — |  |  | 94.0 |
Non-U.S. government | 375.2 |  |  | 156.5 |  |  | — |  |  | 531.7 |
Asset-backed | — |  |  | 33.7 |  |  | — |  |  | 33.7 |
Agency mortgage-backed | — |  |  | 952.8 |  |  | — |  |  | 952.8 |
Total fixed income securities available for sale, at fair value | 1,547.8 |  |  | 3,817.6 |  |  | — |  |  | 5,365.4 |
Short-term investments available for sale, at fair value | 27.4 |  |  | 7.0 |  |  | — |  |  | 34.4 |
Held for trading financial assets, at fair value |  |  |  |  |  |  |
U.S. government | 160.6 |  |  | — |  |  | — |  |  | 160.6 |
U.S. agency | — |  |  | — |  |  | — |  |  | — |
Municipal | — |  |  | 32.3 |  |  | — |  |  | 32.3 |
Corporate | — |  |  | 1,045.0 |  |  | — |  |  | 1,045.0 |
Non-U.S. government-backed corporate | — |  |  | 2.0 |  |  | — |  |  | 2.0 |
Non-U.S. government | 24.5 |  |  | 186.4 |  |  | — |  |  | 210.9 |
Asset-backed | — |  |  | 11.1 |  |  | — |  |  | 11.1 |
Agency mortgage-backed | — |  |  | 203.1 |  |  | — |  |  | 203.1 |
Total fixed income securities trading, at fair value | 185.1 |  |  | 1,479.9 |  |  | — |  |  | 1,665.0 |
Short-term investments trading, at fair value | 90.0 |  |  | 0.3 |  |  | — |  |  | 90.3 |
Equity investments trading, at fair value | 468.6 |  |  | — |  |  | — |  |  | 468.6 |
Catastrophe bonds trading, at fair value | — |  |  | 30.3 |  |  | — |  |  | 30.3 |
Other financial assets and liabilities, at fair value |  |  |  |  |  |  |
Derivatives at fair value — foreign exchange contracts | — |  |  | 8.4 |  |  | — |  |  | 8.4 |
Liabilities under derivative contracts — foreign exchange contracts | — |  |  | (2.9 | ) |  | — |  |  | (2.9 | )
Loan notes issued by variable interest entities, at fair value | — |  |  | — |  |  | (101.5 | ) |  | (101.5 | )
Loan notes issued by variable interest entities, at fair value (included within accrued expenses and other payables) | — |  |  | — |  |  | (2.4 | ) |  | (2.4 | )
Total | $ | 2,318.9 |  |  | $ | 5,340.6 |  |  | $ | (103.9 | ) |  | $ | 7,555.6 |
There were no transfers between Level 1, Level 2 and Level 3 during the three and nine months ended September 30, 2017. The Company settled $1.4 million and $115.9 million of Level 3 liabilities in respect of the Loan Notes issued by Silverton for the three and nine months ended September 30, 2017, respectively. As at September 30, 2017, there were no assets classified as Level 3 and the Company’s Level 3 liabilities consisted solely of the Loan Notes issued by Silverton.
| As at December 31, 2016
| Level 1 |  | Level 2 |  | Level 3 |  | Total
| ($ in millions)
Available for sale financial assets, at fair value |  |  |  |  |  |  |
U.S. government | $ | 1,206.1 |  |  | $ | — |  |  | $ | — |  |  | $ | 1,206.1 |
U.S. agency | — |  |  | 119.6 |  |  | — |  |  | 119.6 |
Municipal | — |  |  | 24.4 |  |  | — |  |  | 24.4 |
Corporate | — |  |  | 2,586.5 |  |  | — |  |  | 2,586.5 |
Non-U.S. government-backed corporate | — |  |  | 89.8 |  |  | — |  |  | 89.8 |
Non-U.S. government | 343.7 |  |  | 145.0 |  |  | — |  |  | 488.7 |
Asset-backed | — |  |  | 63.0 |  |  | — |  |  | 63.0 |
Non-agency commercial mortgage-backed | — |  |  | 12.6 |  |  | — |  |  | 12.6 |
Agency mortgage-backed | — |  |  | 1,073.9 |  |  | — |  |  | 1,073.9 |
Total fixed income securities available for sale, at fair value | 1,549.8 |  |  | 4,114.8 |  |  | — |  |  | 5,664.6 |
Short-term investments available for sale, at fair value | 118.6 |  |  | 26.7 |  |  | — |  |  | 145.3 |
Held for trading financial assets, at fair value |  |  |  |  |  |  |
U.S. government | 82.4 |  |  | — |  |  | — |  |  | 82.4 |
Municipal | — |  |  | 15.5 |  |  | — |  |  | 15.5 |
Corporate | — |  |  | 820.6 |  |  | — |  |  | 820.6 |
Non-U.S. government | — |  |  | 202.8 |  |  | — |  |  | 202.8 |
Asset-backed | — |  |  | 14.5 |  |  | — |  |  | 14.5 |
Agency mortgage-backed | — |  |  | 129.9 |  |  | — |  |  | 129.9 |
Total fixed income securities trading, at fair value | 82.4 |  |  | 1,183.3 |  |  | — |  |  | 1,265.7 |
Short-term investments trading, at fair value | 76.1 |  |  | 109.3 |  |  | — |  |  | 185.4 |
Equity investments trading, at fair value | 584.7 |  |  | — |  |  | — |  |  | 584.7 |
Catastrophe bonds trading, at fair value | — |  |  | 42.5 |  |  | — |  |  | 42.5 |
Other financial assets and liabilities, at fair value |  |  |  |  |  |  |
Derivatives at fair value – foreign exchange contracts | — |  |  | 7.2 |  |  | — |  |  | 7.2 |
Liabilities under derivative contracts – foreign exchange contracts | — |  |  | (18.4 | ) |  | — |  |  | (18.4 | )
Loan notes issued by variable interest entities, at fair value | — |  |  | — |  |  | (115.0 | ) |  | (115.0 | )
Loan notes issued by variable interest entities, at fair value (included within accrued expenses and other payables) | — |  |  | — |  |  | (108.4 | ) |  | (108.4 | )
Total | $ | 2,411.6 |  |  | $ | 5,465.4 |  |  | $ | (223.4 | ) |  | $ | 7,653.6 |
Reconciliation of Liabilities Using Level 3 Inputs | 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 three and nine months ended September 30, 2017 and 2016:
Reconciliation of Liabilities Using Level 3 Inputs |  |  | Three Months Ended September 30, 2017 |  | Three Months Ended September 30, 2016
|  |  | ($ in millions)
Balance at the beginning of the period |  |  | $ | 115.1 |  |  | $ | 105.5 |
Distributed to third party |  |  | (1.4 | ) |  | (0.3 | )
Total change in fair value included in the statement of operations |  | (9.8 | ) |  | 9.8 |
Balance at the end of the period (1) |  |  | $ | 103.9 |  |  | $ | 115.0 |
Reconciliation of Liabilities Using Level 3 Inputs |  |  | Nine Months Ended September 30, 2017 |  | Nine Months Ended September 30, 2016
|  |  | ($ in millions)
Balance at the beginning of the period |  |  | 223.4 |  |  | 190.6 |
Distributed to third party |  |  | (115.9 | ) |  | (89.3 | )
Total change in fair value included in the statement of operations |  | (3.6 | ) |  | 13.7 |
Balance at the end of the period (1) |  |  | 103.9 |  |  | 115.0 |
(1) The amount classified within accrued expenses and other payables was $2.4 million and $2.3 million as at September 30, 2017 and September 30, 2016, respectively.
Pricing Sources Used in Pricing Fixed Income Investments | Pricing sources used in pricing fixed income investments as at September 30, 2017 and December 31, 2016 were as follows:
| As at September 30, 2017 |  | As at December 31, 2016
Index providers | 84 | % |  | 87 | %
Pricing services | 10 |  |  | 7 |
Broker-dealers | 6 |  |  | 6 |
Total | 100 | % |  | 100 | %
Summary of Securities Priced Using Pricing Information from Index Providers | A summary of securities priced using pricing information from index providers as at September 30, 2017 and December 31, 2016 is provided below:
| As at September 30, 2017 |  | As at December 31, 2016
| Fair Market Value Determined using Prices from Index Providers |  | % of Total Fair Value by Security Type |  | Fair Market Value Determined using Prices from Index Providers |  | % of Total Fair Value by Security Type
| ($ in millions, except for percentages)
U.S. government | $ | 1,333.2 |  |  | 100 | % |  | $ | 1,288.2 |  |  | 100 | %
U.S. agency | 53.2 |  |  | 86 | % |  | 110.2 |  |  | 92 | %
Municipal | 31.2 |  |  | 38 | % |  | 28.8 |  |  | 72 | %
Corporate | 3,346.0 |  |  | 95 | % |  | 3,275.3 |  |  | 96 | %
Non-U.S. government-backed corporate | 47.8 |  |  | 50 | % |  | 44.8 |  |  | 50 | %
Non-U.S. government | 425.6 |  |  | 61 | % |  | 455.6 |  |  | 72 | %
Asset-backed | 14.2 |  |  | 32 | % |  | 32.1 |  |  | 41 | %
Non-agency commercial mortgage-backed | — |  |  | — | % |  | 12.5 |  |  | 98 | %
Agency mortgage-backed | 618.2 |  |  | 54 | % |  | 691.9 |  |  | 58 | %
Total fixed income securities | $ | 5,869.4 |  |  | 84 | % |  | $ | 5,939.4 |  |  | 87 | %
Equities | 468.6 |  |  | 100 | % |  | 584.7 |  |  | 100 | %
Total fixed income securities and equity investments | $ | 6,338.0 |  |  | 85 | % |  | $ | 6,524.1 |  |  | 88 | %
Fair Value Inputs, Assets, Quantitative Information | The observable and unobservable inputs used to determine the fair value of the Loan Notes as at September 30, 2017 and December 31, 2016 are presented in the tables below:
As at September 30, 2017 |  | Fair Value Level 3 |  | Valuation Method |  | Observable (O) and Unobservable (U) inputs |  | Low |  | High
| ($ in millions) |  |  |  |  | ($ in millions)
Loan Notes |  | $ | 103.9 |  | (1) | Internal Valuation Model |  | Gross premiums written (O) |  | $ | 50.1 |  |  | $ | 57.6 |
|  |  |  |  |  | Reserve for losses (U) |  | $ | 4.2 |  |  | $ | 37.5 |
|  |  |  |  |  | Contract period (O) |  | N/A |  |  | 365 days |
|  |  |  |  |  | Initial value of issuance (O) |  | $ | 325.0 |  |  | $ | 325.0 |
As at December 31, 2016 |  | Fair Value Level 3 |  | Valuation Method |  | Observable (O) and Unobservable (U) inputs |  | Low |  | High
| ($ in millions) |  |  |  |  | ($ in millions)
Loan Notes |  | $ | 223.4 |  | (1) | Internal Valuation Model |  | Gross premiums written (O) |  | $ | 38.9 |  |  | $ | 43.4 |
|  |  |  |  |  | Reserve for losses (U) |  | $ | 2.7 |  |  | $ | 11.8 |
|  |  |  |  |  | Contract period (O) |  | N/A |  |  | 365 days |
|  |  |  |  |  | Initial value of issuance (O) |  | $ | 220.0 |  |  | $ | 220.0 |
(1) The amounts classified within accrued expenses and other payables were $2.4 million and $108.4 million as at September 30, 2017 and December 31, 2016, respectively.

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- Definition Tabular disclosure of assets, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, by class that are measured at fair value on a recurring basis. The disclosures contemplated herein include the fair value measurements at the reporting date by the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3). + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (b) -URI http://asc.fasb.org/extlink&oid=66048111&loc=d3e19207-110258 Reference 2: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 1 -URI http://asc.fasb.org/extlink&oid=66048111&loc=d3e19190-110258 Reference 3: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (a) -URI http://asc.fasb.org/extlink&oid=66048111&loc=d3e19207-110258 + Details
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- Definition Tabular disclosure of quantitative information about the inputs used in the fair value measurement of assets. This disclosure may include, but is not limited to, the fair value of the asset, valuation technique used to measure fair value, the inputs used to measure fair value, the ranges of the inputs, and the weighted averages of the inputs. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (bbb) -URI http://asc.fasb.org/extlink&oid=66048111&loc=d3e19207-110258 + Details
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- Definition Tabular disclosure of the fair value measurement of liabilities using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets), and gains or losses recognized in other comprehensive income (loss) and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs) by class of liability. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 3 -URI http://asc.fasb.org/extlink&oid=66048111&loc=d3e19279-110258 Reference 2: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (c) -URI http://asc.fasb.org/extlink&oid=66048111&loc=d3e19207-110258 + Details
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