Fair value (Tables)

3 Months Ended

Mar. 31, 2020

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

The following table presents the Company’s financial assets and liabilities measured at fair value by level as of March 31, 2020 and December 31, 2019:



			Fair Value Measurement Using:
March 31, 2020	Estimated Fair Value		Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
	($ in thousands)
Assets measured at fair value:
Term loans	$	906,999	$	—	$	871,054	$	35,945
Fixed maturities:
Corporate bonds	408,140		—		407,175		965
U.S. government and government agency bonds	265,423		265,310		113		—
Asset-backed securities	254,196		—		254,196		—
Mortgage-backed securities	30,314		—		30,314		—
Non-U.S. government and government agency bonds	149,858		—		149,858		—
Municipal government and government agency bonds	2,073		—		2,073		—
Short-term investments	343,861		296,158		47,703		—
Equities	121,260		9,750		1,420		110,090
Other investments measured at net asset value (1)	30,682		—		—		—
Total assets measured at fair value	$	2,512,806	$	571,218	$	1,763,906	$	147,000

Other underwriting derivative liabilities	$	314	$	—	$	314	$	—
Investment derivative liabilities (2)	23,726		—		23,726		—
Payable for securities sold short:
Corporate bonds	30,076		—		30,076		—
Total liabilities measured at fair value	$	54,116	$	—	$	54,116	$	—

(1) In accordance with applicable accounting guidance, other investments that are measured at fair value using the net asset value practical expedient have not been classified in the fair value hierarchy. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the consolidated balance sheets.

(2) Investment derivative assets and liabilities represent the fair value of total return swaps, which are recorded in “other liabilities” in the consolidated balance sheets as of March 31, 2020.



			Fair Value Measurement Using:
December 31, 2019	Estimated Fair Value		Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
	($ in thousands)
Assets measured at fair value:
Term loans	$	1,061,934	$	—	$	1,025,886	$	36,048
Fixed maturities:
Corporate bonds	372,473		—		371,540		933
U.S. government and government agency bonds	285,609		285,500		109		—
Asset-backed securities	336,171		—		336,171		—
Mortgage-backed securities	32,456		—		32,456		—
Non-U.S. government and government agency bonds	133,409		—		133,409		—
Municipal government and government agency bonds	2,184		—		2,184		—
Short-term investments	329,303		318,012		11,291		—
Equities	125,137		13,548		2,998		108,591
Other underwriting derivative assets	148		—		148		—
Investment derivative assets (1)	1,667		—		1,667		—
Other investments measured at net asset value (2)	30,461		—		—		—
Total assets measured at fair value	$	2,710,952	$	617,060	$	1,917,859	$	145,572

Investment derivative liabilities (1)	257		—		257		—
Payable for securities sold short:
Corporate bonds	66,257		—		66,257		—
Total liabilities measured at fair value	$	66,514	$	—	$	66,514	$	—

(1) Investment derivative assets and liabilities represent the fair value of total return swaps, which are recorded in “other assets” and “other liabilities,” respectively, in the consolidated balance sheets as of December 31, 2019.

(2) In accordance with applicable accounting guidance, other investments that are measured at fair value using the net asset value practical expedient have not been classified in the fair value hierarchy. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the consolidated balance sheets.

Rollforward of level 3 investments

The following table presents a reconciliation of the beginning and ending balances for all the financial assets measured at fair value on a recurring basis using Level 3 inputs for the three months ended March 31, 2020 and 2019:



Three Months Ended March 31, 2020	Beginning Balance		Net Purchases (Sales)(1)			Net Unrealized Gains (Losses)(2)			Net Unrealized Foreign Exchange Gains (Losses)		Ending Balance
Term loans	$	36,048	$	(74	)	$	(29	)	$	—	$	35,945
Corporate bonds	933		32			—			—		965
Equities	108,591		3,277			(1,778		)	—		110,090
Total	$	145,572	$	3,235		$	(1,807	)	$	—	$	147,000



Three Months Ended March 31, 2019	Beginning Balance		Transfers in (out) of Level 3 (3)			Net Purchases (Sales)(1)			Net Unrealized Gains (Losses)(2)			Net Unrealized Foreign Exchange Gains (Losses)			Ending Balance
Term loans	$	47,479	$	—		$	163		$	(274	)	$	—		$	47,368
Corporate bonds	24,277		—			(90		)	(69		)	(399		)	23,719
Asset-backed securities	22,560		(22,560		)	—			—			—			—
Equities	70,451		—			30,534			(334		)	—			100,651
Total	$	164,767	$	(22,560	)	$	30,607		$	(677	)	$	(399	)	$	171,738

(1) For the three months ended March 31, 2020, the net purchases (sales) consisted of purchases of $3.3 million of equities and $32.0 thousand of corporate bonds, partially offset by calls and redemptions of $74.0 thousand of term loans. For the three months ended March 31, 2019, the net purchases (sales) consisted of purchases of $37.8 million of equities and $237.0 thousand of term loans, offset in part by sales, calls and redemptions of $7.3 million of equities, $89.9 thousand of corporate bonds and $74.0 thousand of term loans.

(2) Realized and unrealized gains or losses on Level 3 investments are included in “realized and unrealized gain (loss) on investments” in the Company’s consolidated statements of income (loss).

(3) During the three months ended March 31, 2019, the Company obtained pricing for an asset-backed security, for which pricing was not available as of December 31, 2018. As such, the security was transferred from Level 3 to Level 2 at its fair value as of December 31, 2018.