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Fair Value Measurements (Tables) | 12 Months Ended
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Dec. 31, 2020
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, 2020 and December 31, 2019:
|  | As at December 31, 2020
|  | Level 1 |  | Level 2 |  | Level 3 |  | Total
|  | ($ in millions)
Available for sale financial assets, at fair value |  |  |  |  |  |  |  |
U.S. government |  | $ | 1,101.2 |  |  | $ | — |  |  | $ | — |  |  | $ | 1,101.2 |
U.S. agency |  | — |  |  | 34.3 |  |  | — |  |  | 34.3 |
Municipal |  | — |  |  | 67.1 |  |  | — |  |  | 67.1 |
Corporate |  | 184.2 |  |  | 88.9 |  |  | — |  |  | 273.1 |
Non-U.S. government-backed corporate |  | — |  |  | 63.4 |  |  | — |  |  | 63.4 |
Non-U.S. government |  | — |  |  | 7.4 |  |  | — |  |  | 7.4 |
Asset-backed |  | — |  |  | 973.1 |  |  | — |  |  | 973.1 |
Non-agency commercial mortgage-backed |  | — |  |  | 2.3 |  |  | — |  |  | 2.3 |
Agency mortgage-backed |  | — |  |  | 1,826.2 |  |  | — |  |  | 1,826.2 |
Total fixed income securities available for sale, at fair value |  | 1,285.4 |  |  | 3,062.7 |  |  | — |  |  | 4,348.1 |
Short-term investments available for sale, at fair value |  | 81.0 |  |  | 6.8 |  |  | — |  |  | 87.8 |
Held for trading financial assets, at fair value |  |  |  |  |  |  |  |
U.S. government |  | 120.5 |  |  | — |  |  | — |  |  | 120.5 |
Municipal |  | — |  |  | 3.5 |  |  | — |  |  | 3.5 |
Corporate |  | — |  |  | 103.5 |  |  | — |  |  | 103.5 |
High yield loans |  | — |  |  | 9.8 |  |  | — |  |  | 9.8 |
Non-U.S. government |  | 41.2 |  |  | 0.4 |  |  | — |  |  | 41.6 |
Asset-backed |  | — |  |  | 539.1 |  |  | — |  |  | 539.1 |
Agency mortgage-backed |  | — |  |  | 37.6 |  |  | — |  |  | 37.6 |
Total fixed income securities trading, at fair value |  | 161.7 |  |  | 693.9 |  |  | — |  |  | 855.6 |
Short-term investments trading, at fair value |  | 35.4 |  |  | — |  |  | — |  |  | 35.4 |
Privately-held investments trading, at fair value |  | — |  |  | — |  |  | 299.3 |  |  | 299.3 |
Catastrophe bonds trading, at fair value |  | — |  |  | 18.8 |  |  | — |  |  | 18.8 |
Other investments (1) |  | — |  |  | — |  |  | — |  |  | 109.4 |
Other financial assets and liabilities, at fair value |  |  |  |  |  |  |  |
Derivatives at fair value — foreign exchange contracts |  | — |  |  | 26.8 |  |  | — |  |  | 26.8 |
Liabilities under derivative contracts — foreign exchange contracts |  | — |  |  | (13.6) |  |  | — |  |  | (13.6) |
Total |  | 1,563.5 |  |  | 3,795.4 |  |  | 299.3 |  |  | 5,767.6 |
______________ (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, 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 | 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 | — |  |  | — |  |  | 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 |
Derivatives at fair value — interest rate swaps | — |  |  | (78.3) |  |  | — |  |  | (78.3) |
Liabilities under derivative contracts — foreign exchange contracts | — |  |  | (8.9) |  |  | — |  |  | (8.9) |
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.”
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 Lev el 3 inputs for the twelve months ended December 31, 2020 and December 31, 2019:
Twelve Months Ended December 31, 2020 |  | Balance at beginning of year |  |  |  | Purchases and issuances |  | Transfers in/(out) |  | Settlements and sales |  | Increase/(decrease) in fair value including 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 |  | $ | 156.4 |  |  |  |  | $ | 79.7 |  |  | $ | — |  |  | $ | (59.4) |  |  | $ | (13.1) |  |  | $ | 163.6 |  |  | $ | 0.1 |
Middle market loans |  | 111.7 |  |  |  |  | 0.9 |  |  | 8.3 |  |  | (4.8) |  |  | (4.0) |  |  | 112.1 |  |  | (5.3) |
Asset-backed securities |  | 8.7 |  |  |  |  | 10.0 |  |  | — |  |  | — |  |  | (0.1) |  |  | 18.6 |  |  | — |
Equity securities |  | 2.7 |  |  |  |  | 2.4 |  |  | — |  |  | (0.1) |  |  | — |  |  | 5.0 |  |  | — |
Total Level 3 assets |  | $ | 279.5 |  |  |  |  | $ | 93.0 |  |  | $ | 8.3 |  |  | $ | (64.3) |  |  | $ | (17.2) |  |  | $ | 299.3 |  |  | $ | (5.2) |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Loan notes issued by Silverton |  | $ | — |  |  |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |
Total Level 3 liabilities |  | $ | — |  |  |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |
Twelve Months Ended December 31, 2019 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
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 |  | $ | 4.6 |  |  |  |  | $ | — |  |  | $ | — |  |  | $ | (7.7) |  |  | $ | 3.1 |  |  | $ | — |  |  | $ | — |
Total Level 3 liabilities |  | $ | 4.6 |  |  |  |  | $ | — |  |  | $ | — |  |  | $ | (7.7) |  |  | $ | 3.1 |  |  | $ | — |  |  | $ | — |
Fair Value Inputs, and Valuation Techniques | 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, 2020:
At December 31, 2020 |  | Fair Value Level 3 |  | Valuation Techniques |  | Unobservable (U) inputs |  | Ranges |  | Weighted Average
| ($ in millions) |  |  |  |  |  |  |  |  |
Privately-held investments — Trading |  |  |  |  |  |  |  |  |  |  |  |
Commercial mortgage loans |  | $ | 150.8 |  |  | Discounted cash flow |  | Discount rate |  | 6.0% | — | 9.0% |  | 7.3%
Commercial mortgage loans |  | 12.1 |  |  | Transaction Value |  | n/a |  | n/a |  | n/a |  | n/a
Commercial mortgage loans |  | 0.7 |  |  | Liquidation Method |  | n/a |  | n/a |  | n/a |  | n/a
Middle market loans |  | 106.5 |  |  | Discounted cash flow |  | Discount rate |  | 6.3% | — | 16.5% |  | 8.7%
Middle market loans |  | 5.6 |  |  | Recovery Approach |  | n/a |  | n/a |  | n/a |  | n/a
Asset-backed securities |  | 18.6 |  |  | Discounted cash flow |  | Discount rate |  | 5.7% | — | 6.9% |  | 6.2%
Equity securities |  | 4.3 |  |  | Discounted cash flow |  | Discount rate |  | 9.3% |  | n/a |  | 9.3%
Equity securities |  | 0.7 |  |  | Transaction Value |  | n/a |  | n/a |  | n/a |  | n/a
|  | $ | 299.3 |  |  |  |  |  |  |  |  |  |  |

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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=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
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