XML 105 R40.htm IDEA: XBRL DOCUMENT v3.20.1

Fair Value Measurements (Tables)

12 Months Ended

Dec. 31, 2019

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 December 31, 2019 and December 31, 2018:

		As at December 31, 2019
		Level 1				Level 2				Level 3				Total
		($ in millions)
Available for sale financial assets, at fair value
U.S. government		$	1,413.1			$	—			$	—			$	1,413.1
U.S. agency		—				39.6				—				39.6
Municipal		—				50.7				—				50.7
Corporate		—				1,959.8				—				1,959.8
Non-U.S. government-backed corporate		—				86.5				—				86.5
Non-U.S. government		199.8				129.0				—				328.8
Asset-backed		—				0.2				—				0.2
Non-agency commercial mortgage-backed		—				6.5				—				6.5
Agency mortgage-backed		—				1,073.0				—				1,073.0
Total fixed income securities available for sale, at fair value		1,612.9				3,345.3				—				4,958.2
Short-term investments available for sale, at fair value		108.1				9.5				—				117.6
Held for trading financial assets, at fair value
U.S. government		185.0				—				—				185.0
Municipal		—				3.2				—				3.2
Corporate		—				243.2				—				243.2
Non-U.S. government-backed corporate		—				—				—				—
Non-U.S. government		48.3				102.9				—				151.2
Asset-backed		—				492.4				—				492.4
Agency mortgage-backed		—				53.8				—				53.8
Total fixed income securities trading, at fair value		233.3				895.5				—				1,128.8
Short-term investments trading, at fair value		79.2				—				—				79.2
Privately-held investments trading, at fair value		—				—				279.7				279.7
Catastrophe bonds trading, at fair value		—				28.6				—				28.6
Other investments (1)		—				—				—				111.4
Other financial assets and liabilities, at fair value
Derivatives at fair value — foreign exchange contracts		—				12.9				—				12.9
Liabilities under derivative contracts — foreign exchange contracts		—				(8.9		)		—				(8.9		)
Derivatives at fair value — interest rate swaps		—				(78.3		)		—				(78.3		)
Loan notes issued by variable interest entities, at fair value (included within accrued expenses and other payables)		—				—				—				—
Total		$	2,033.5			$	4,204.6			$	279.7			$	6,629.2

______________

⁽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 the table above are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the consolidated balance sheets. The investment in the real estate fund is subject to restrictions as detailed in Note 20(a), “Commitments and Contingencies.”

	At December 31, 2018
	Level 1				Level 2				Level 3				Total
	($ in millions)
Available for sale financial assets, at fair value
U.S. government	$	1,404.2			$	—			$	—			$	1,404.2
U.S. agency	—				47.4				—				47.4
Municipal	—				47.2				—				47.2
Corporate	—				2,206.2				—				2,206.2
Non-U.S. government-backed corporate	—				93.2				—				93.2
Non-U.S. government	268.0				134.6				—				402.6
Asset-backed	—				17.3				—				17.3
Agency mortgage-backed	—				1,012.6				—				1,012.6
Total fixed income securities available for sale, at fair value	1,672.2				3,558.5				—				5,230.7
Short-term investments available for sale, at fair value	93.7				11.9				—				105.6
Held for trading financial assets, at fair value
U.S. government	147.7				—				—				147.7
Municipal	—				2.7				—				2.7
Corporate	—				720.2				—				720.2
Non-U.S. government-backed corporate	—				—				—				—
Non-U.S. government	68.2				197.2				—				265.4
Asset-backed	—				2.4				—				2.4
Agency mortgage-backed	—				49.4				—				49.4
Total fixed income securities trading, at fair value	215.9				971.9				—				1,187.8
Short-term investments trading, at fair value	4.5				5.0				—				9.5
Catastrophe bonds trading, at fair value	—				36.2				—				36.2
Other investments (1)	—				—				—				102.5
Other financial assets and liabilities, at fair value
Derivatives at fair value — foreign exchange contracts	—				14.6				—				14.6
Liabilities under derivative contracts — foreign exchange contracts	—				(15.1		)		—				(15.1		)
Loan notes issued by variable interest entities, at fair value (included within accrued expenses and other payables)	—				—				(4.6		)		(4.6		)
Total	$	1,986.3			$	4,583.0			$	(4.6	)		$	6,667.2

Fair Value, Measured on a Recurring Basis, Gain (Loss) Included in Earnings

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 twelve months ended December 31, 2019 and December 31, 2018:

Twelve Months Ended December 31, 2019		Balance at beginning of year				Purchases and issuances				Settlements and sales				Increase/(decrease) in fair value included net income				Balance at end of year				Change in unrealized investment gains (losses) relating to assets held at end of year
Assets
Privately-held investments — trading
Commercial mortgage loans		$	—			$	174.7			$	(20.1	)		$	1.7			$	156.4			$	0.3
Middle market loans		—				115.5				(3.8		)		0.1				111.7				—
Asset-backed securities		—				8.7				—				—				8.7				—
Equity securities		—				2.7				—				—				2.7				—
Total Level 3 assets		$	—			$	301.5			$	(23.9	)		$	1.8			$	279.5			$	0.3
Liabilities
Loan notes issued by Silverton (1)		$	4.6			$	—			$	(7.7	)		$	3.1			$	—			$	—
Total Level 3 liabilities		$	4.6			$	—			$	(7.7	)		$	3.1			$	—			$	—
Twelve Months Ended December 31, 2018
Liabilities
Loan notes issued by Silverton (1)		$	86.6			$	—			$	(86.4	)		$	4.4			$	4.6			$	—
Total Level 3 liabilities		$	86.6			$	—			$	(86.4	)		$	4.4			$	4.6			$	—

____________________

⁽¹⁾ The amount classified as other payables was $Nil and $4.6 million as at December 31, 2019 and December 31, 2018, respectively.

Fair Value Inputs, and Valuation Techniques

he observable and unobservable inputs used to determine the fair value of the Loan Notes as at December 31, 2018.

At December 31, 2018		Fair Value Level 3				Valuation Method		Observable (O) and  Unobservable (U) inputs		Low				High
	($ in millions)									($ in millions)
Loan Notes		$	4.6		(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 amount classified as other payables was $Nil and $4.6 million as at December 31, 2019 and December 31, 2018, respectively.

The following table summarizes the quantitative inputs and assumptions used for financial assets and liabilities categorized as Level 3 under the fair value hierarchy as at December 31, 2019:

At December 31, 2019

Fair Value Level 3

Valuation Techniques

Unobservable (U) inputs

Ranges

Weighted Average

($ in millions)

Privately-held investments — Trading

Commercial mortgage loans

$

125.7

Discounted cash flow

Discount rate

5.0%

6.3%

5.8%

Commercial mortgage loans

30.9

Transaction Value

n/a

n/a

n/a

n/a

Middle market loans

111.7

Discounted cash flow

Discount rate

6.8%

10.3%

7.9%

Asset-backed securities

8.7

Discounted cash flow

Discount rate

6.4%

6.4%

6.4%

Equity securities

$

2.7

Transaction Value

n/a

n/a

n/a

n/a

$

279.7

X

- Definition

Tabular disclosure of input and valuation technique used to measure fair value and change in valuation approach and technique for each separate class of asset and liability measured on recurring and nonrecurring basis.

+ 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 (bbb)
-URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258

+ Details

Name:	us-gaap_FairValueAssetsAndLiabilitiesMeasuredOnRecurringAndNonrecurringBasisValuationTechniquesTableTextBlock
Namespace Prefix:	us-gaap_
Data Type:	nonnum:textBlockItemType
Balance Type:	na
Period Type:	duration

X

- 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=117815213&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 2
-Subparagraph (a)
-URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258

+ Details

Name:	us-gaap_FairValueAssetsMeasuredOnRecurringBasisTextBlock
Namespace Prefix:	us-gaap_
Data Type:	nonnum:textBlockItemType
Balance Type:	na
Period Type:	duration

X

- Definition

Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period 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 asset.

+ References

Reference 1: 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=117815213&loc=d3e19279-110258

Reference 2: 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=117815213&loc=d3e19207-110258

+ Details

Name:	us-gaap_FairValueAssetsMeasuredOnRecurringBasisUnobservableInputReconciliationTextBlock
Namespace Prefix:	us-gaap_
Data Type:	nonnum:textBlockItemType
Balance Type:	na
Period Type:	duration

X

- References

No definition available.

+ Details

Name:	us-gaap_FairValueDisclosuresAbstract
Namespace Prefix:	us-gaap_
Data Type:	xbrli:stringItemType
Balance Type:	na
Period Type:	duration