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Fair value measurements (Tables)
 12 Months Ended
Dec. 31, 2021
Fair Value Disclosures [Abstract]  
Schedule of investments, categorized by the level of the fair value hierarchy
The following tables present the Company’s investments, categorized by the level of the fair value hierarchy as of December 31, 2021 and 2020:
2021
 Quoted prices in active markets Significant other observable inputs Significant unobservable inputs Total
 (Level 1) (Level 2) (Level 3)
Assets
Asset-backed securities$— $513.1 $— $513.1 
Residential mortgage-backed securities— 301.9 — 301.9 
Commercial mortgage-backed securities— 147.3 — 147.3 
Corporate debt securities— 602.6 — 602.6 
U.S. government and government agency360.9 24.5 — 385.4 
Non-U.S. government and government agency17.8 114.5 — 132.3 
U.S. states, municipalities and political subdivision— 0.2 — 0.2 
Preferred stocks— — 2.8 2.8 
Total debt securities378.7 1,704.1 2.8 2,085.6 
Fixed income mutual funds2.1 — — 2.1 
Common stocks0.7 — — 0.7 
Total equity securities2.8 — — 2.8 
Short-term investments1,073.2 2.6 — 1,075.8 
Other long-term investments— — 336.9 336.9 
Derivative assets0.2 — 0.4 0.6 
$1,454.9 $1,706.7 $340.1 3,501.7 
Investments in funds valued at NAV1,028.8 
Total assets$4,530.5 
Liabilities
Liability-classified capital instruments$— $30.6 $57.2 $87.8 
Derivative liabilities — — 3.2 3.2 
Total liabilities$— $30.6 $60.4 $91.0 
2020
 Quoted prices in active markets Significant other observable inputs Significant unobservable inputs Total
 (Level 1) (Level 2) (Level 3)
Assets
Asset-backed securities$— $1.3 $— $1.3 
Residential mortgage-backed securities— 8.7 — 8.7 
Bank debt— 0.4 — 0.4 
Corporate debt securities— 37.7 — 37.7 
U.S. Government and government agency— 53.2 — 53.2 
Total debt securities— 101.3 — 101.3 
Other long-term investments— — 4.0 4.0 
Derivative assets— — 1.2 1.2 
$— $101.3 $5.2 106.5 
Investments in funds valued at NAV1,055.6 
Total assets$1,162.1 
Liabilities
U.S. Government and government agency$— $12.0 $— $12.0 
Total securities sold, not yet purchased— 12.0 — 12.0 
Derivative liabilities— — 1.0 1.0 
Total liabilities$— $12.0 $1.0 $13.0 
Reconciliation of assets measured at fair value using Level 3 inputs
The following table presents the reconciliation of all investments measured at fair value using Level 3 inputs for the years ended December 31, 2021 and 2020:
January 1,
2021		Transfers in to (out of) Level 3Purchases
Assets Acquired (1)
Sales
Realized and Unrealized Gains (Losses) (2)
December 31,
2021
Assets
Preferred stocks$— $— $10.0 $2.8 $(10.0)$— $2.8 
Other long-term investments4.0 — 103.6 259.0 (24.9)(4.8)336.9 
Derivative assets1.2 (1.2)— 0.3 (1.4)1.5 0.4 
Loan participations— — 9.0 32.8 (42.8)1.0 — 
Total assets$5.2 $(1.2)$122.6 $294.9 $(79.1)$(2.3)$340.1 
Liabilities
Liability-classified capital instruments$— $27.0 $(137.6)$— $— $53.4 $(57.2)
Contingent consideration liabilities— — — (0.7)1.9 (1.2)— 
Derivative liabilities(1.0)1.2 (0.4)(2.0)— (1.0)(3.2)
Total liabilities$(1.0)$28.2 $(138.0)$(2.7)$1.9 $51.2 $(60.4)
January 1,
2020		Transfers in to (out of) Level 3PurchasesAssets AcquiredSales
Realized and Unrealized Gains (Losses) (2)
December 31,
2020
Assets
Other long-term investments$4.0 $— $— $— $— $— $4.0 
Derivative assets— — — — 1.2 1.2 
Total assets$4.0 $— $— $— $— $1.2 $5.2 
Liabilities
Derivative liabilities$— $— $— $— $(1.0)$— $(1.0)
Total liabilities$— $— $— $— $(1.0)$— $(1.0)
(1)Includes amounts acquired as a result of the Sirius Group acquisition.
(2)Total change in realized and unrealized gains (losses) recorded on Level 3 financial instruments is included in total realized and unrealized investment gains (losses) and net investment income (loss) in the consolidated statements of income. Realized and unrealized gains (losses) related to underwriting-related derivative assets and liabilities are included in other underwriting expenses, net of foreign exchange (gains) losses, in the consolidated statements of income.
Reconciliation of liabilities measured at fair value using Level 3 inputs
The following table presents the reconciliation of all investments measured at fair value using Level 3 inputs for the years ended December 31, 2021 and 2020:
January 1,
2021		Transfers in to (out of) Level 3Purchases
Assets Acquired (1)
Sales
Realized and Unrealized Gains (Losses) (2)
December 31,
2021
Assets
Preferred stocks$— $— $10.0 $2.8 $(10.0)$— $2.8 
Other long-term investments4.0 — 103.6 259.0 (24.9)(4.8)336.9 
Derivative assets1.2 (1.2)— 0.3 (1.4)1.5 0.4 
Loan participations— — 9.0 32.8 (42.8)1.0 — 
Total assets$5.2 $(1.2)$122.6 $294.9 $(79.1)$(2.3)$340.1 
Liabilities
Liability-classified capital instruments$— $27.0 $(137.6)$— $— $53.4 $(57.2)
Contingent consideration liabilities— — — (0.7)1.9 (1.2)— 
Derivative liabilities(1.0)1.2 (0.4)(2.0)— (1.0)(3.2)
Total liabilities$(1.0)$28.2 $(138.0)$(2.7)$1.9 $51.2 $(60.4)
January 1,
2020		Transfers in to (out of) Level 3PurchasesAssets AcquiredSales
Realized and Unrealized Gains (Losses) (2)
December 31,
2020
Assets
Other long-term investments$4.0 $— $— $— $— $— $4.0 
Derivative assets— — — — 1.2 1.2 
Total assets$4.0 $— $— $— $— $1.2 $5.2 
Liabilities
Derivative liabilities$— $— $— $— $(1.0)$— $(1.0)
Total liabilities$— $— $— $— $(1.0)$— $(1.0)
(1)Includes amounts acquired as a result of the Sirius Group acquisition.
(2)Total change in realized and unrealized gains (losses) recorded on Level 3 financial instruments is included in total realized and unrealized investment gains (losses) and net investment income (loss) in the consolidated statements of income. Realized and unrealized gains (losses) related to underwriting-related derivative assets and liabilities are included in other underwriting expenses, net of foreign exchange (gains) losses, in the consolidated statements of income.
Schedule of significant unobservable inputs used for recurring fair value measurements for certain Level 3 instruments
The table below presents information about the significant unobservable inputs used for recurring fair value measurements for certain Level 3 instruments as of December 31, 2021, and includes only those instruments for which information about the inputs is reasonably available to the Company, such as data from independent third-party valuation service providers and from internal valuation models.
2021
Assets (Liability)Fair ValueValuation TechniqueUnobservable input
Private equity securities (1)
$156.1 Market multiple analysisBook value multiples
Tangible book value multiples
Revenue multiples
Earnings multiples
Various depending on nature of investment
Private equity funds (2)
80.6 Net asset value discountDiscount range
5% - 50%
Private equity securities40.0 Discounted cash flowShare price51.26 
Private debt instrument5.7 Discounted cash flowDiscount yield
Range - 4.74%-5.70%
Median - 5.14%
Derivative investments (3)
(3.8)Third party appraisalBroker quotes(3.8)
Series A preference shares (4)
(20.4)Model simulationShare price1.74 
Warrants (1) (4)
$(36.8)Black Scholes pricing modelWarrant priceVarious
(1)Consists of investments valued under similar methodologies.
(2)Represents multiple private equity funds where a discount on net asset value was taken.
(3)See Note 11 for discussion of derivative instruments.
(4)See Note 3 for discussion of Series A preference shares and warrants.
Schedule of financial instruments for which the carrying value differs from the estimated fair values The following table includes financial instruments for which the carrying value differs from the estimated fair values at December 31, 2021 and 2020:
20212020
Fair ValueCarrying ValueFair ValueCarrying Value
2017 SEK Subordinated Notes (1)
$302.3 $296.3 n/an/a
2016 SIG Senior Notes (1)
412.8 406.0 n/an/a
2015 Senior Notes (1)
120.5 114.4 117.8 114.3 
Series B preference shares (1)
$220.9 $200.0 n/an/a
(1)Fair value based on observable inputs and considered a Level 2 measurement