Fair value (Tables)

6 Months Ended

Jun. 30, 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 June 30, 2020 and December 31, 2019:



			Fair Value Measurement Using:
June 30, 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	$	875,560	$	—	$	846,907	$	28,653
Fixed maturities:
Corporate bonds	548,101		—		547,103		998
U.S. government and government agency bonds	217,459		217,347		112		—
Asset-backed securities	288,252		—		288,252		—
Mortgage-backed securities	31,182		—		31,182		—
Non-U.S. government and government agency bonds	151,124		—		151,124		—
Municipal government and government agency bonds	2,117		—		2,117		—
Short-term investments	370,066		368,384		1,682		—
Equities	121,342		12,402		1,096		107,844
Other underwriting derivative assets	6		—		6		—
Other investments measured at net asset value (1)	34,142		—		—		—
Total assets measured at fair value	$	2,639,351	$	598,133	$	1,869,581	$	137,495

Investment derivative liabilities (2)	$	6,935	$	—	$	6,935	$	—
Payable for securities sold short:
Corporate bonds	23,166		—		23,166		—
U.S. government and government agency bonds	6,123		6,123		—		—
Total liabilities measured at fair value	$	36,224	$	6,123	$	30,101	$	—

(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 assets and other liabilities, respectively, in the consolidated balance sheets as of June 30, 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 and six months ended June 30, 2020 and 2019:



Three Months Ended June 30, 2020	Beginning Balance		Net Purchases (Sales)(1)			Net Unrealized Gains (Losses)(2)			Net Unrealized Foreign Exchange Gains (Losses)		Ending Balance
	($ in thousands)
Term loans	$	35,945	$	(7,184	)	$	(108	)	$	—	$	28,653
Corporate bonds	965		33			—			—		998
Equities	110,090		(15,449		)	13,203			—		107,844
Total	$	147,000	$	(22,600	)	$	13,095		$	—	$	137,495



Three Months Ended June 30, 2019	Beginning Balance		Net Purchases (Sales)(1)		Net Unrealized Gains (Losses)(2)			Net Unrealized Foreign Exchange Gains (Losses)		Ending Balance
	($ in thousands)
Term loans	$	47,368	$	170	$	1,047		$	—	$	48,585
Corporate bonds	23,719		—		(110		)	311		23,920
Equities	100,651		—		1,555			—		102,206
Total	$	171,738	$	170	$	2,492		$	311	$	174,711

(1) For the three months ended June 30, 2020, the net purchases (sales) consisted of sales of equities of $25.1 million and sales, calls and redemptions of $7.2 million of term loans, offset by purchases of $9.6 million of equities and $33.0 thousand of corporate bonds. For the three months ended June 30, 2019, the net purchases (sales) consisted of purchases of $0.2 million of term loans, offset in part by calls and redemptions of $0.1 million.

(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).



Six Months Ended June 30, 2020	Beginning Balance		Net Purchases (Sales)(2)			Net Unrealized Gains (Losses)(3)			Net Unrealized Foreign Exchange Gains (Losses)		Ending Balance
	($ in thousands)
Term loans	$	36,048	$	(7,258	)	$	(137	)	$	—	$	28,653
Corporate bonds	933		65			—			—		998
Equities	108,591		(12,172		)	11,425			—		107,844
Total	$	145,572	$	(19,365	)	$	11,288		$	—	$	137,495



Six Months Ended June 30, 2019	Beginning Balance		Transfers in (out) of Level 3 (1)			Net Purchases (Sales)(2)			Net Unrealized Gains (Losses)(3)			Net Unrealized Foreign Exchange Gains (Losses)			Ending Balance
	($ in thousands)
Term loans	$	47,479	$	—		$	333		$	773		$	—		$	48,585
Corporate bonds	24,277		—			(90		)	(179		)	(88		)	23,920
Asset-backed securities	22,560		(22,560		)	—			—			—			—
Equities	70,451		—			30,534			1,221			—			102,206
Total	$	164,767	$	(22,560	)	$	30,777		$	1,815		$	(88	)	$	174,711

(1) During the six months ended June 30, 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.

(2) For the six months ended June 30, 2020, the net purchases (sales) consisted of sales of $25.1 million of equities and $7.3 million of sales, calls and redemptions of term loans, offset by purchases of $12.9 million of equities and $65.0 thousand of corporate bonds. For the six months ended June 30, 2019, the net purchases (sales) consisted of purchases of $37.8 million of equities and $0.5 million of term loans, offset in part by the sale of $7.3 million of equities, $0.1 million of redemptions of term loans and $0.1 million of corporate bonds.

(3) 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).