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Fair Value Of Financial Instruments (Tables)
 9 Months Ended
Sep. 30, 2016
Fair Value Disclosures [Abstract]  
Fair value hierarchy and related disclosures
The following table shows the fair value of the Company’s financial instruments and where in the fair value hierarchy the fair value measurements are included as of the dates indicated below:
September 30, 2016
 
Carrying
Amount
 
Total
Fair Value
 
Level 1
 
Level 2
 
Level 3
ASSETS:
 
 
 
 
 
 
 
 
 
 
Fixed maturity investments:
 
 
 
 
 
 
 
 
 
 
U.S. government and government agencies
 
$
1,471.2

 
$
1,471.2

 
$
1,429.4

 
$
41.8

 
$
—

Non-U.S. government and government agencies
 
488.1

 
488.1

 
—

 
488.1

 
—

States, municipalities and political subdivisions
 
480.8

 
480.8

 
—

 
480.8

 
—

Corporate debt
 


 


 
 
 
 
 
 
Financial institutions
 
1,084.2

 
1,084.2

 
—

 
1,080.7

 
3.5

Industrials
 
1,372.5

 
1,372.5

 
—

 
1,371.7

 
0.8

Utilities
 
138.4

 
138.4

 
—

 
138.4

 
—

Mortgage-backed
 


 


 
 
 
 
 
 
Agency mortgage-backed
 
845.9

 
845.9

 
—

 
558.3

 
287.6

Non-agency residential mortgage-backed
 
22.6

 
22.6

 
—

 
22.6

 
—

Commercial mortgage-backed
 
631.8

 
631.8

 
—

 
630.6

 
1.2

Asset-backed
 
791.8

 
791.8

 
—

 
728.1

 
63.7

Total fixed maturity investments
 
7,327.3

 
7,327.3

 
1,429.4

 
5,541.1

 
356.8

Equity securities
 
216.1

 
216.1

 
216.1

 
—

 
—

Other invested assets (1)
 
827.1

 
827.1

 
—

 
—

 
—

Total investments
 
$
8,370.5

 
$
8,370.5

 
$
1,645.5

 
$
5,541.1

 
$
356.8

LIABILITIES:
 
 
 
 
 
 
 
 
 
 
Derivative liabilities:
 
 
 
 
 
 
 
 
 
 
Foreign exchange contracts
 
$
2.2

 
$
2.2

 
$
—

 
$
2.2

 
$
—

Senior notes
 
$
794.0

 
$
850.5

 
$
—

 
$
850.5

 
$
—

Other long-term debt
 
$
23.3

 
$
30.0

 
$
—

 
$
30.0

 
$
—

December 31, 2015
 
Carrying
Amount
 
Total
Fair Value
 
Level 1
 
Level 2
 
Level 3
ASSETS:
 
 
 
 
 
 
 
 
 
 
Fixed maturity investments:
 
 
 
 
 
 
 
 
 
 
U.S. government and government agencies
 
$
1,434.0

 
$
1,434.0

 
$
1,396.4

 
$
37.6

 
$
—

Non-U.S. government and government agencies
 
556.8

 
556.8

 
—

 
556.8

 
—

States, municipalities and political subdivisions
 
413.5

 
413.5

 
—

 
413.5

 
—

Corporate debt
 


 


 


 


 


Financial institutions
 
1,275.4

 
1,275.4

 
—

 
1,275.4

 
—

Industrials
 
1,308.1

 
1,308.1

 
—

 
1,308.1

 
—

Utilities
 
118.9

 
118.9

 
—

 
118.9

 
—

Mortgage-backed
 


 


 


 


 


Agency mortgage-backed
 
751.8

 
751.8

 
—

 
645.7

 
106.1

Non-agency residential mortgage-backed
 
34.0

 
34.0

 
—

 
34.0

 
—

Commercial mortgage-backed
 
582.8

 
582.8

 
—

 
582.8

 
—

Asset-backed
 
726.2

 
726.2

 
—

 
663.2

 
63.0

Total fixed maturity investments
 
7,201.5

 
7,201.5

 
1,396.4

 
5,636.0

 
169.1

Equity securities
 
403.0

 
403.0

 
403.0

 
—

 
—

Other invested assets (1)
 
840.2

 
840.2

 
—

 
—

 
—

Total investments
 
$
8,444.7

 
$
8,444.7

 
$
1,799.4

 
$
5,636.0

 
$
169.1

Derivative assets:
 
 
 
 
 
 
 
 
 
 
Foreign exchange contracts
 
$
0.1

 
$
0.1

 
$
—

 
$
0.1

 
$
—

LIABILITIES:
 
 
 
 
 
 
 
 
 
 
Derivative liabilities:
 
 
 
 
 
 
 
 
 
 
Foreign exchange contracts
 
$
3.0

 
$
3.0

 
$
—

 
$
3.0

 
$
—

Interest rate swaps
 
$
0.5

 
$
0.5

 
$
—

 
$
0.5

 
$
—

Senior notes
 
$
1,292.9

 
$
1,337.9

 
$
—

 
$
1,337.9

 
$
—

Other long-term debt
 
$
23.0

 
$
27.7

 
$
—

 
$
27.7

 
$
—



(1) In accordance with U.S. GAAP, other invested assets, excluding other private securities, are measured at fair value using the net asset value per share (or its equivalent) practical expedient and have not been classified in the fair value hierarchy.
Fair value measurements using significant unobservable inputs (Level 3)
The following is a reconciliation of the beginning and ending balance of financial instruments using significant unobservable inputs (Level 3):
Three Months Ended September 30, 2016
MBS
 
CMBS
 
Total mortgage-backed
 
Asset-backed
 
Equities
 
Corporate debt - financial
 
Corporate debt - industrial
Opening balance
$
138.2

 
$
—

 
$
138.2

 
$
62.3

 
$
—

 
$
—

 
$
—

Realized and unrealized gains (losses) included in net income (loss)
0.9

 
—

 
0.9

 
1.7

 
—

 
—

 
—

Purchases
178.0

 
—

 
178.0

 
6.6

 
—

 
—

 
—

Sales
(19.4
)
 
—

 
(19.4
)
 
(5.5
)
 
—

 
—

 
—

Transfers into Level 3 from Level 2
0.3

 
1.2

 
1.5

 
—

 
—

 
3.5

 
0.8

Transfers out of Level 3 into Level 2 (1)
(10.4
)
 
—

 
(10.4
)
 
(1.4
)
 
—

 
—

 
—

Ending balance
$
287.6

 
$
1.2

 
$
288.8

 
$
63.7

 
$
—

 
$
3.5

 
$
0.8

Three Months Ended September 30, 2015
 
 
 
 
 
 
 
 
 
 
 
 
 
Opening balance
$
96.5

 
$
3.1

 
$
99.6

 
$
83.9

 
$
57.8

 
$
—

 
$
—

Realized and unrealized gains (losses) included in net income (loss)
0.8

 
—

 
0.8

 
(2.5
)
 
(11.0
)
 
—

 
—

Purchases
9.7

 
—

 
9.7

 
0.1

 
—

 
—

 
—

Sales
(6.5
)
 
(2.9
)
 
(9.4
)
 
(7.9
)
 
(20.0
)
 
—

 
—

Transfers into Level 3 from Level 2
3.1

 
—

 
3.1

 
0.6

 
—

 
—

 
—

Transfers out of Level 3 into Level 2 (1)
—

 
(0.2
)
 
(0.2
)
 
(16.7
)
 
—

 
—

 
—

Ending balance
$
103.6

 
$
—

 
$
103.6

 
$
57.5

 
$
26.8

 
$
—

 
$
—

Nine Months Ended September 30, 2016
MBS
 
CMBS
 
Total mortgage-backed
 
Asset-backed
 
Equities
 
Corporate debt - financial
 
Corporate debt - industrial
Opening balance
$
106.1

 
$
—

 
$
106.1

 
$
63.0

 
$
—

 
$
—

 
$
—

Realized and unrealized gains (losses) included in net income (loss)
3.4

 
—

 
3.4

 
2.5

 
—

 
—

 
—

Purchases
216.4

 
—

 
216.4

 
18.4

 
—

 
1.5

 
—

Sales
(29.7
)
 
—

 
(29.7
)
 
(10.4
)
 
—

 
—

 
—

Transfers into Level 3 from Level 2
1.8

 
1.2

 
3.0

 
8.0

 
—

 
2.0

 
0.8

Transfers out of Level 3 into Level 2 (1)
(10.4
)
 
—

 
(10.4
)
 
(17.8
)
 
—

 
—

 
—

Ending balance
$
287.6

 
$
1.2

 
$
288.8

 
$
63.7

 
$
—

 
$
3.5

 
$
0.8

Nine Months Ended September 30, 2015
 
 
 
 
 
 
 
 
 
 
 
 
 
Opening balance
$
180.1

 
$
1.7

 
$
181.8

 
$
55.5

 
$
43.3

 
$
—

 
$
—

Realized and unrealized gains (losses) included in net income (loss)
(0.1
)
 
0.1

 
—

 
(3.0
)
 
3.5

 
—

 
—

Purchases
14.8

 
1.8

 
16.6

 
7.0

 
—

 
—

 
—

Sales
(91.2
)
 
(3.6
)
 
(94.8
)
 
(20.2
)
 
(20.0
)
 
—

 
—

Transfers into Level 3 from Level 2
—

 
—

 
—

 
41.2

 
—

 
—

 
—

Transfers out of Level 3 into Level 2 (1)
—

 
—

 
—

 
(23.0
)
 
—

 
—

 
—

Ending balance
$
103.6

 
$
—

 
$
103.6

 
$
57.5

 
$
26.8

 
$
—

 
$
—


(1) 
Transfers out of Level 3 are primarily attributable to the availability of market observable information.