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Fair Value Measurements (Tables)

12 Months Ended

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 Level 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

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)
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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
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-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
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- 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

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-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

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