XML 25 R14.htm IDEA: XBRL DOCUMENT
v3.10.0.1

Fair Value Measurements | 9 Months Ended
--- | ---
Sep. 30, 2018
Fair Value Disclosures [Abstract] |
Fair Value Measurements | Fair Value Measurements The 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 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 index providers. The Company considers prices for other securities that may not be as actively traded which are priced via pricing services, index providers, 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 index providers. The Company considers securities, other financial instruments 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 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 |
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 twelve months ended December 31, 2017, there were no transfers between Level 1, 2 and 3. The Company settled $115.6 million of Level 3 liabilities in respect of the Loan Notes issued by Silverton for the twelve months ended December 31, 2017. As at December 31, 2017, there were no assets classified as Level 3 and the Company’s Level 3 liabilities consisted solely of the Loan Notes issued by Silverton. The following table presents a reconciliation of the beginning and ending balances for all assets and liabilities measured at fair value on a recurring basis using Level 3 inputs for the three and nine months ended September 30, 2018 and 2017:
Reconciliation of Liabilities Using Level 3 Inputs |  |  | Three Months Ended September 30, 2018 |  | Three Months Ended September 30, 2017
|  |  | ($ 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 |
Reconciliation of Liabilities Using Level 3 Inputs |  |  | Nine Months Ended September 30, 2018 |  | Nine Months Ended September 30, 2017
|  |  | ($ in millions)
Balance at the beginning of the period |  |  | $ | 86.6 |  |  | $ | 223.4 |
Distributed to third party |  |  | (78.4 | ) |  | (115.9 | )
Total change in fair value included in the statement of operations |  | 4.1 |  |  | (3.6 | )
Balance at the end of the period (1) |  |  | $ | 12.3 |  |  | $ | 103.9 |
(1) | The amount classified within accrued expenses and other payables was $12.3 million and $2.4 million as at September 30, 2018 and September 30, 2017, respectively.
Valuation of Fixed Income Securities. The Company’s fixed income securities are classified as either available for sale or trading and carried at fair value. As at September 30, 2018 and December 31, 2017, the Company’s fixed income securities were valued by pricing services, index providers 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 and Index Providers. The underlying methodology used to determine the fair value of securities in the Company’s available for sale and trading portfolios by the pricing services and index providers the Company uses is very similar. 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. Index providers are those firms which provide prices for a range of securities within one or more asset classes, typically using their own in-house market makers (traders) as the primary pricing source for the indices, although ultimate valuations may also rely on other observable data inputs to derive a dollar price for all index-eligible securities. Index providers without in-house trading desks will function similarly to a pricing service in that they will gather their observable pricing inputs from multiple external sources. All prices for the Company’s securities attributed to index providers are for an individual security within the respective indices. Pricing services and index providers provide pricing for less complex, liquid securities based on market quotations in active markets. Pricing services and index providers 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 and index providers 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 and index providers 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. Neither the Company, nor its index providers, derives 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. 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 September 30, 2018 the Company obtained an average of 2.2 quotes per fixed income investment compared to 2.0 quotes as at December 31, 2017. 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 Pricing Information Table. 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 | %
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, index providers 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, index providers and broker-dealers are not adjusted by us; however, prices provided by a pricing service, index provider or broker-dealer in certain instances may be challenged based on information available from market or 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, index provider 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 index providers and 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 onsite due diligence meetings with index providers and pricing services vendors covering valuation methodology, operational walkthroughs and legal and compliance updates. Index providers are assigned the highest priority in the pricing hierarchy due primarily to availability and reliability of pricing information. Fixed Income Securities. The Company’s 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, Non-U.S. 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. 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. Municipals. The Company’s municipal portfolio comprises 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. Foreign Government. The issuers for securities in this category are non-U.S. governments and their agencies. 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 as 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 U.S. and foreign corporations covering a variety of industries and are for the most part 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 all of these securities within Level 2. Mortgage-backed Securities. The Company’s 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. 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. Short-term Investments. Short-term investments comprise 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 valued in a manner similar to the Company’s fixed income investments and are classified within Levels 1 and 2. Catastrophe Bonds. Catastrophe bonds held by the Company are variable rate fixed income instruments with redemption values adjusted based on the occurrence of a covered event, usually windstorms and earthquakes. These bonds have been classified as trading and carried at fair value. Bonds are priced using an average of multiple broker-dealer quotes and, as such, are classified as 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 globally in a deep, liquid market, providing substantial price transparency and accordingly are classified as Level 2. Other investments. The Company’s other investments represent our investment in a real estate fund. Adjustments to the fair value are made based on the net asset value of the investment. 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 consider a two part approach: the discounted cash flows approach and the performance multiple approach, which uses a multiple/capitalization rate derived from market metrics from comparable companies or assets to produce operating performance metrics. Alternative valuation methodologies may be employed for investments with unusual characteristics. Loan Notes Issued by Silverton. Silverton, a licensed special purpose insurer, is consolidated into the Company’s accounts as a VIE. In the fourth quarter of 2014, Silverton issued an additional $85.0 million ($70.0 million third-party funded) of Loan Notes with a maturity date of September 18, 2017. In the fourth quarter of 2015, Silverton issued an additional $125.0 million ($100.0 million third-party funded) of Loan Notes with a maturity date of September 17, 2018. In the fourth quarter of 2016, Silverton issued an additional $130.0 million ($105.0 million third-party funded) of Loan Notes with a maturity date of September 16, 2019. Silverton was not renewed in 2017 and has not issued any Loan Notes since, in the future, any such quota share support for Aspen Re will be provided by a separate cell of Peregrine. The Company elected to account for the Loan Notes at fair value using the guidance as prescribed under ASC 825, Financial Instruments as the Company believes it represents the most meaningful measurement basis for these liabilities. The Loan Notes are recorded at fair value at each reporting period and, as they are not quoted on an active market and contain significant unobservable inputs, they have been classified as a Level 3 instrument in the Company’s fair value hierarchy. The Loan Notes are unique because they are linked to the specific risks of the Company’s property catastrophe book. To determine the fair value of the Loan Notes the Company runs an internal model which considers the seasonality of the risk assumed under the retrocessional agreement between Aspen Bermuda or a combination of Aspen Bermuda and Aspen U.K., as ceding reinsurers, and Silverton. The seasonality used in the model is initially determined by applying the percentage of property catastrophe losses planned by the Company’s actuaries to the estimated written premium to determine earned premium for each quarter. The inputs to the internal model are based on Company specific data due to the lack of observable market inputs. Reserves for losses are the most significant unobservable input. An increase in reserves for losses would normally result in a decrease in the fair value of the Loan Notes while a decrease in reserves would normally result in an increase in the fair value of the Loan Notes. 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. The observable and unobservable inputs represent the potential variation around the inputs used in the internal model. The contract period is defined in the respective Loan Notes agreements and the initial value represents the funds received from third parties. For further information regarding Silverton, refer to Note 7 of these unaudited condensed consolidated financial statements.

X
- References No definition available. + Details
Name: | us-gaap_FairValueDisclosuresAbstract
Namespace Prefix: | us-gaap_
Data Type: | xbrli:stringItemType
Balance Type: | na
Period Type: | duration

X
- Definition The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -URI http://asc.fasb.org/topic&trid=2155941 + Details
Name: | us-gaap_FairValueDisclosuresTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration