Fair value measurements (Tables)

12 Months Ended

Dec. 31, 2018

Fair value measurements

Summary of financial assets and liabilities measured at fair value

	2018
	Fair		Level 1		Level 2		Level 3
(Millions)	value		inputs		inputs		inputs
Assets measured at fair value
Fixed maturity investments:
U.S. Government and government agency	$	167.9	$	164.7	$	3.2	$	—
Corporate debt securities		695.8		—		695.8		—
Asset-backed securities		494.5		—		494.5		—
Residential mortgage-backed securities		413.5		—		413.5		—
Commercial mortgage-backed securities		115.9		—		115.9		—
Non-U.S. government and government agency		50.3		42.9		7.4		—
Preferred stocks		8.5		—		3.1		5.4
U.S. States, municipalities, and political subdivision		2.8		—		2.8		—
Total fixed maturity investments		1,949.2		207.6		1,736.2		5.4
Short-term investments		715.5		679.3		36.2		—
Equity securities		380.0		380.0		—		—
Other long-term investments(1)		63.6		—		—		63.6
Total investments	$	3,108.3	$	1,266.9	$	1,772.4	$	69.0
Derivative instruments		4.1		—		—		4.1
Total assets measured at fair value	$	3,112.4	$	1,266.9	$	1,772.4	$	73.1
Liabilities measured at fair value
Contingent consideration liabilities	$	28.8	$	—	$	—	$	28.8
Derivative instruments		5.1		0.5		—		4.6
Total liabilities measured at fair value	$	33.9	$	0.5	$	—	$	33.4

(1) Excludes fair value of $301.4 associated with hedge funds and private equity funds which fair value is measured at net asset value using the practical expedient.

	2017
	Fair		Level 1		Level 2		Level 3
(Millions)	value		inputs		inputs		inputs
Assets measured at fair value
Fixed maturity investments:
U.S. Government and government agency	$	84.8	$	83.2	$	1.6	$	—
Corporate debt securities		1,014.5		—		1,014.5		—
Asset-backed securities		475.4		—		475.4		—
Residential mortgage-backed securities(1)		293.5		—		293.5		—
Commercial mortgage-backed securities(1)		191.0		—		191.0		—
Non-U.S. government and government agency		107.2		94.8		12.4		—
Preferred stocks		9.8		—		1.8		8.0
U.S. States, municipalities, and political subdivision		3.8		—		3.8		—
Total fixed maturity investments		2,180.0		178.0		1,994.0		8.0
Short-term investments		625.0		566.2		58.8		—
Equity securities		299.2		298.6		0.6		—
Other long-term investments(2)		64.2		—		—		64.2
Total investments	$	3,168.4	$	1,042.8	$	2,053.4	$	72.2
Derivative instruments		4.5		—		—		4.5
Total assets measured at fair value	$	3,172.9	$	1,042.8	$	2,053.4	$	76.7
Liabilities measured at fair value
Contingent consideration liabilities	$	42.8	$	—	$	—	$	42.8
Derivative instruments		10.6		—		—		10.6
Total liabilities measured at fair value	$	53.4	$	—	$	—	$	53.4

(1)   2017 figures have been revised to correct for a misclassification in prior disclosure of subcategories within residential mortgage-backed securities and commercial mortgage-backed securities.  Fair value and Level 2 input balances increased by $41.4 for residential mortgage-backed securities and decreased by the same amount for commercial mortgage-backed securities.

(2)   Excludes fair value of $205.3 associated with hedge funds and private equity funds which fair value is measured at net asset value using the practical expedient.

Rollforward of Level 3 fair value measurements

	2018
					Derivative
			Other		instruments		Contingent
	Fixed		long-term		assets &		consideration
(Millions)	maturities		investments(1)		(liabilities)		(liabilities)
Balance at January 1, 2018	$	8.0	$	64.2	$	(6.1)	$	(42.8)
Fair value of contingent consideration liabilities at date of purchase (See Note 3)		—		—		—		—
Total realized and unrealized gains		(6.1)		6.8		12.0		9.6
Foreign currency losses through Other Comprehensive Income		—		(4.4)		—		—
Purchases		4.0		1.2		—		—
Sales/settlements		(0.5)		(4.2)		(6.4)		4.4
Transfers out		—		—		—		—
Balance at December 31, 2018	$	5.4	$	63.6	$	(0.5)	$	(28.8)

(1) Excludes fair value of $301.5 associated with hedge funds and private equity funds which fair value is measured at net asset value using the practical expedient.

	2017
					Derivative
			Other		instruments		Contingent
	Fixed		long-term		assets &		consideration
(Millions)	maturities		investments(1)		(liabilities)		(liabilities)
Balance at January 1, 2017	$	27.7	$	29.1	$	12.7	$	—
Fair value of contingent consideration liabilities at date of purchase (See Note 3)		—		—		—		(122.2)
Total realized and unrealized gains		(4.9)		(0.5)		(14.6)		48.8
Foreign currency losses through Other Comprehensive Income		(0.1)		1.0		—		—
Purchases		4.7		36.0		—		—
Sales/settlements		(1.0)		(1.4)		(4.2)		30.6
Transfers out(2)		(18.4)		—		—		—
Balance at December 31, 2017	$	8.0	$	64.2	$	(6.1)	$	(42.8)

(1) Excludes fair value of $205.3 associated with hedge funds and private equity funds which fair value is measured at net asset value using the practical expedient.

(2) Transfer from Level 3 to Level 2.

Schedule of significant unobservable inputs used for recurring fair value measurements for Level 3 instruments

(Millions)	2018
		Fair
Description	Valuation technique(s)	value		Unobservable input
Private equity securities (1)	Share price of recent transaction	$	32.5	Purchase share price	$	40.63
Private equity securities (1)	Multiple of GAAP book value	$	14.7	Book value multiple		0.9	X
Private debt instrument (1)	Purchase price of recent transaction	$	9.0	Purchase price	$	9.0
Private debt instrument (1)	Purchase price of recent transaction	$	6.0	Purchase price	$	6.0
Preferred stock (1)	Share price of recent transaction	$	4.6	Purchase price	$	1.88
Weather derivatives (2)	Third party appraisal	$	3.9	Broker quote	$	3.9
Common stock (1)	Purchase price of recent transaction	$	0.9	Purchase price	$	1.88
Preferred stock (1)	Share price of recent transaction	$	0.8	Purchase price	$	0.8
Common stock (1)	Share price of recent transaction	$	0.3	Purchase price	$	10.0
Private debt instrument (1)	Purchase price of recent transaction	$	0.2	Purchase price	$	0.2
Interest rate cap (2)	Third party appraisal	$	0.2	Broker quote	$	0.2
Currency swaps (2)	Third party appraisal	$	(4.6)	Broker quote	$	(4.6)
Contingent consideration	External valuation model	$	(28.8)	Discounted future payments	$	(28.8)

(1) As of December 31, 2018, each asset type consists of one security.

(2) See Note 13 for discussion of derivative instruments.

(Millions)	2017
		Fair
Description	Valuation technique(s)	value		Unobservable input
Private equity securities (1)	Share price of recent transaction	$	25.0	Purchase share price	$	31.25
Private equity securities (1)	Multiple of GAAP book value	$	17.2	Book value multiple		1.0	X
Private debt instrument (1)	Purchase price of recent transaction	$	9.0	Purchase price	$	9.0
Private debt instrument (1)	Purchase price of recent transaction	$	9.0	Purchase price	$	9.0
Preferred stock (1)	Purchase price of recent transaction	$	6.0	Average share price	$	0.6
Weather derivatives (2)	Third party appraisal	$	4.2	Broker quote	$	4.2
Private debt instrument (1)	Internal valuation model	$	2.5	Purchase price less pay down	$	2.5
Preferred stock (1)	Share price of recent transaction	$	2.0	Average share price	$	11.79
Private debt instrument (1)	Purchase price of recent transaction	$	1.5	Purchase price	$	1.5
Interest rate cap (2)	Third party appraisal	$	0.3	Broker quote	$	0.3
Currency swaps (2)	Third party appraisal	$	(10.6)	Broker quote	$	(10.6)
Contingent consideration	External valuation model	$	(42.8)	Discounted future payments	$	(42.8)

(1) As of December 31, 2017, each asset type consists of one security.

(2) See Note 13 for discussion of derivative instruments.

Schedule of financial instruments disclosed, but not carried at fair value

	2018				2017
	Fair		Carrying		Fair		Carrying
(Millions)	Value(1)		Value		Value(1)		Value
Liabilities, Mezzanine equity, and Non-controlling interest:
2017 SEK Subordinated Notes	$	309.5	$	303.6	$	341.4	$	330.7
2016 SIG Senior Notes	$	347.6	$	393.2	$	392.3	$	392.5
Series B preference shares	$	191.7	$	232.2	$	—	$	—
Series A redeemable preference shares	$	—	$	—	$	90.0	$	106.1

(1) Fair value estimated by internal pricing and considered a Level 3 measurement.