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Fair Value Measurements (Tables) | 9 Months Ended
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Sep. 30, 2018
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, 2018 and December 31, 2017:
| As at September 30, 2018
| Level 1 |  | Level 2 |  | Level 3 |  | Total
| ($ in millions)
Available for sale financial assets, at fair value |  |  |  |  |  |  |
U.S. government | $ | 1,387.8 |  |  | $ | — |  |  | $ | — |  |  | $ | 1,387.8 |
U.S. agency | — |  |  | 46.4 |  |  | — |  |  | 46.4 |
Municipal | — |  |  | 52.1 |  |  | — |  |  | 52.1 |
Corporate | — |  |  | 2,266.0 |  |  | — |  |  | 2,266.0 |
Non-U.S. government-backed corporate | — |  |  | 90.8 |  |  | — |  |  | 90.8 |
Non-U.S. government | 270.4 |  |  | 135.0 |  |  | — |  |  | 405.4 |
Asset-backed | — |  |  | 18.5 |  |  | — |  |  | 18.5 |
Agency mortgage-backed | — |  |  | 909.4 |  |  | — |  |  | 909.4 |
Total fixed income securities available for sale, at fair value | 1,658.2 |  |  | 3,518.2 |  |  | — |  |  | 5,176.4 |
Short-term investments available for sale, at fair value | 109.9 |  |  | 10.5 |  |  | — |  |  | 120.4 |
Held for trading financial assets, at fair value |  |  |  |  |  |  |
U.S. government | 165.9 |  |  | — |  |  | — |  |  | 165.9 |
Municipal | — |  |  | 20.7 |  |  | — |  |  | 20.7 |
Corporate | — |  |  | 874.9 |  |  | — |  |  | 874.9 |
Non-U.S. government-backed corporate | — |  |  | — |  |  | — |  |  | — |
Non-U.S. government | 49.4 |  |  | 178.1 |  |  | — |  |  | 227.5 |
Asset-backed | — |  |  | 4.9 |  |  | — |  |  | 4.9 |
Agency mortgage-backed | — |  |  | 113.3 |  |  | — |  |  | 113.3 |
Total fixed income securities trading, at fair value | 215.3 |  |  | 1,191.9 |  |  | — |  |  | 1,407.2 |
Short-term investments trading, at fair value | 0.5 |  |  | 3.8 |  |  | — |  |  | 4.3 |
Equity investments trading, at fair value | — |  |  | — |  |  | — |  |  | — |
Catastrophe bonds trading, at fair value | — |  |  | 37.4 |  |  | — |  |  | 37.4 |
Other investments (1) | — |  |  | — |  |  | — |  |  | 100.5 |
Other financial assets and liabilities, at fair value |  |  |  |  |  |  |
Derivatives at fair value — foreign exchange contracts | — |  |  | 6.4 |  |  | — |  |  | 6.4 |
Liabilities under derivative contracts — foreign exchange contracts | — |  |  | (3.1 | ) |  | — |  |  | (3.1 | )
Loan notes issued by variable interest entities, at fair value (included within accrued expenses and other payables) | — |  |  | — |  |  | (12.3 | ) |  | (12.3 | )
Total | $ | 1,983.9 |  |  | $ | 4,765.1 |  |  | $ | (12.3 | ) |  | $ | 6,837.2 |
(1) | Other investments represents our investment in a real estate fund and is 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 this table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the condensed consolidated balance sheets. The investment the real estate fund is subject to restrictions as detailed in Note 16.
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. There were no significant transfers between Level 1, Level 2 and Level 3 during the nine months ended September 30, 2018. The Company settled $78.4 million of Level 3 liabilities in respect of the Loan Notes issued by Silverton for the nine months ended September 30, 2018. As at September 30, 2018, there were no the assets classified as Level 3 and the Company’s Level 3 liabilities consisted solely of the Loan Notes issued by Silverton.
| As at December 31, 2017
| Level 1 |  | Level 2 |  | Level 3 |  | Total
| ($ in millions)
Available for sale financial assets, at fair value |  |  |  |  |  |  |
U.S. government | $ | 1,159.4 |  |  | $ | — |  |  | $ | — |  |  | $ | 1,159.4 |
U.S. agency | — |  |  | 52.1 |  |  | — |  |  | 52.1 |
Municipal | — |  |  | 54.9 |  |  | — |  |  | 54.9 |
Corporate | — |  |  | 2,415.7 |  |  | — |  |  | 2,415.7 |
Non-U.S. government-backed corporate | — |  |  | 91.3 |  |  | — |  |  | 91.3 |
Non-U.S. government | 341.2 |  |  | 143.7 |  |  | — |  |  | 484.9 |
Asset-backed | — |  |  | 26.2 |  |  | — |  |  | 26.2 |
Agency mortgage-backed | — |  |  | 946.5 |  |  | — |  |  | 946.5 |
Total fixed income securities available for sale, at fair value | 1,500.6 |  |  | 3,730.4 |  |  | — |  |  | 5,231.0 |
Short-term investments available for sale, at fair value | 87.3 |  |  | 2.6 |  |  | — |  |  | 89.9 |
Held for trading financial assets, at fair value |  |  |  |  |  |  |
U.S. government | 161.9 |  |  | — |  |  | — |  |  | 161.9 |
Municipal | — |  |  | 32.2 |  |  | — |  |  | 32.2 |
Corporate | — |  |  | 1,046.3 |  |  | — |  |  | 1,046.3 |
Non-U.S. government-backed corporate | — |  |  | 1.0 |  |  | — |  |  | 1.0 |
Non-U.S. government | 24.5 |  |  | 178.0 |  |  | — |  |  | 202.5 |
Asset-backed | — |  |  | 9.9 |  |  | — |  |  | 9.9 |
Agency mortgage-backed | — |  |  | 195.5 |  |  | — |  |  | 195.5 |
Total fixed income securities trading, at fair value | 186.4 |  |  | 1,462.9 |  |  | — |  |  | 1,649.3 |
Short-term investments trading, at fair value | 73.0 |  |  | — |  |  | — |  |  | 73.0 |
Equity investments trading, at fair value | 491.0 |  |  | — |  |  | — |  |  | 491.0 |
Catastrophe bonds trading, at fair value | — |  |  | 32.4 |  |  | — |  |  | 32.4 |
Other financial assets and liabilities, at fair value |  |  |  |  |  |  |
Derivatives at fair value – foreign exchange contracts | — |  |  | 6.4 |  |  | — |  |  | 6.4 |
Liabilities under derivative contracts – foreign exchange contracts | — |  |  | (1.0 | ) |  | — |  |  | (1.0 | )
Loan notes issued by variable interest entities, at fair value | — |  |  | — |  |  | (44.2 | ) |  | (44.2 | )
Loan notes issued by variable interest entities, at fair value (included within accrued expenses and other payables) | — |  |  | — |  |  | (42.4 | ) |  | (42.4 | )
Total | $ | 2,338.3 |  |  | $ | 5,233.7 |  |  | $ | (86.6 | ) |  | $ | 7,485.4 |
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, 2018 and 2017:
Reconciliation of Liabilities Using Level 3 Inputs |  |  | Three Months Ended September 30, 2018 |  | Three Months Ended September 30, 2017
|  |  | ($ in millions)
Balance at the beginning of the period |  |  | $ | 25.3 |  |  | $ | 115.1 |
Distributed to third party |  |  | (14.7 | ) |  | (1.4 | )
Total change in fair value included in the statement of operations |  | 1.7 |  |  | (9.8 | )
Balance at the end of the period (1) |  |  | $ | 12.3 |  |  | $ | 103.9 |
Pricing Sources Used in Pricing Fixed Income Investments | Pricing sources used in pricing fixed income investments as at September 30, 2018 and December 31, 2017 were as follows:
| As at September 30, 2018 |  | As at December 31, 2017
Index providers | 85 | % |  | 84 | %
Pricing services | 13 |  |  | 11 |
Broker-dealers | 2 |  |  | 5 |
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, 2018 and December 31, 2017 is provided below:
| As at September 30, 2018 |  | As at December 31, 2017
| 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 | $ | 1,553.6 |  |  | 100 | % |  | $ | 1,321.3 |  |  | 100 | %
U.S. agency | 44.6 |  |  | 96 | % |  | 43.4 |  |  | 83 | %
Municipal | 22.3 |  |  | 31 | % |  | 37.4 |  |  | 43 | %
Corporate | 2,980.9 |  |  | 95 | % |  | 3,299.6 |  |  | 83 | %
Non-U.S. government-backed corporate | 40.0 |  |  | 44 | % |  | 44.0 |  |  | 48 | %
Non-U.S. government | 360.4 |  |  | 57 | % |  | 399.4 |  |  | 58 | %
Asset-backed | 7.7 |  |  | 33 | % |  | 13.5 |  |  | 37 | %
Agency mortgage-backed | 553.1 |  |  | 54 | % |  | 605.0 |  |  | 53 | %
Total fixed income securities | $ | 5,562.6 |  |  | 85 | % |  | $ | 5,763.6 |  |  | 84 | %
Equities | — |  |  | — | % |  | 491.0 |  |  | 100 | %
Total fixed income securities and equity investments | $ | 5,562.6 |  |  | 85 | % |  | $ | 6,254.6 |  |  | 85 | %
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, 2018 and December 31, 2017 are presented in the tables below:
As at September 30, 2018 |  | Fair Value Level 3 |  | Valuation Method |  | Observable (O) and Unobservable (U) inputs |  | Low |  | High
| ($ in millions) |  |  |  |  | ($ in millions)
Loan Notes |  | $ | 12.3 |  | (1) | Internal Valuation Model |  | Gross premiums written (O) |  | $ | 50.1 |  |  | $ | 61.1 |
|  |  |  |  |  | Reserve for losses (U) |  | $ | 4.2 |  |  | $ | 61.9 |
|  |  |  |  |  | Contract period (O) |  | N/A |  |  | 365 days |
|  |  |  |  |  | Initial value of issuance (O) |  | $ | 325.0 |  |  | $ | 325.0 |
As at December 31, 2017 |  | Fair Value Level 3 |  | Valuation Method |  | Observable (O) and Unobservable (U) inputs |  | Low |  | High
| ($ in millions) |  |  |  |  | ($ in millions)
Loan Notes |  | $ | 86.6 |  | (1) | Internal Valuation Model |  | Gross premiums written (O) |  | $ | 50.1 |  |  | $ | 61.1 |
|  |  |  |  |  | Reserve for losses (U) |  | $ | 4.2 |  |  | $ | 61.9 |
|  |  |  |  |  | Contract period (O) |  | N/A |  |  | 365 days |
|  |  |  |  |  | Initial value of issuance (O) |  | $ | 325.0 |  |  | $ | 325.0 |
(1) The amounts classified within accrued expenses and other payables were $12.3 million and $42.4 million as at September 30, 2018 and December 31, 2017, 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://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (b) -URI http://asc.fasb.org/extlink&oid=99377789&loc=d3e19207-110258 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 1 -URI http://asc.fasb.org/extlink&oid=99377789&loc=d3e19190-110258 Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (a) -URI http://asc.fasb.org/extlink&oid=99377789&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://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (c) -URI http://asc.fasb.org/extlink&oid=99377789&loc=d3e19207-110258 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 3 -URI http://asc.fasb.org/extlink&oid=99377789&loc=d3e19279-110258 + Details
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