XML 42 R30.htm IDEA: XBRL DOCUMENT v3.19.1
Fair value measurements (Tables)
 3 Months Ended
Mar. 31, 2019
Fair value measurements  
Summary of financial assets and liabilities measured at fair value

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

March 31, 2019

 

 

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

 

$

158.4

 

$

157.0

 

$

1.4

 

$

 —

Corporate debt securities

 

 

628.1

 

 

 —

 

 

628.1

 

 

 —

Residential mortgage-backed securities

 

 

425.8

 

 

 —

 

 

425.8

 

 

 —

Asset-backed securities

 

 

476.9

 

 

 —

 

 

476.9

 

 

 —

Commercial mortgage-backed securities

 

 

113.6

 

 

 —

 

 

113.6

 

 

 —

Non-U.S. government and government agency

 

 

38.5

 

 

33.9

 

 

4.6

 

 

 —

Preferred stocks

 

 

2.5

 

 

 —

 

 

2.5

 

 

 —

U.S. States, municipalities, and political subdivision

 

 

2.6

 

 

 —

 

 

2.6

 

 

 —

Total fixed maturity investments

 

 

1,846.4

 

 

190.9

 

 

1,655.5

 

 

 —

Short-term investments

 

 

833.6

 

 

792.5

 

 

41.1

 

 

 —

Equity securities

 

 

394.4

 

 

393.5

 

 

0.9

 

 

 —

Other long-term investments(1)

 

 

88.0

 

 

 —

 

 

 —

 

 

88.0

Total investments

 

$

3,162.4

 

$

1,376.9

 

$

1,697.5

 

$

88.0

Derivative instruments

 

 

0.8

 

 

0.5

 

 

 —

 

 

0.3

Total assets measured at fair value

 

$

3,163.2

 

$

1,377.4

 

$

1,697.5

 

$

88.3

Liabilities measured at fair value

 

 

  

 

 

  

 

 

  

 

 

  

Contingent consideration liabilities

 

$

28.8

 

$

 —

 

$

 —

 

$

28.8

Derivative instruments

 

 

5.3

 

 

0.2

 

 

 —

 

 

5.1

Total liabilities measured at fair value

 

$

34.1

 

$

0.2

 

$

 —

 

$

33.9

(1)

Excludes fair value of $301.7 associated with hedge funds and private equity funds which fair value is measured using the NAV practical expedient.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

December 31, 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.
Rollforward of Level 3 fair value measurements

 

The following tables present changes in Level 3 for financial instruments measured at fair value for the three months ended March 31, 2019 and 2018:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

For the Three Months Ended March 31, 2019

 

    

 

 

    

 

 

    

Derivative 

    

 

 

 

 

 

 

 

Other 

 

instruments

 

Contingent 

 

 

Fixed

 

long-term 

 

assets &

 

consideration 

(Millions)

    

Maturities

    

investments(1)

    

(liabilities)

    

(liabilities)

Balance at January 1, 2018

 

$

5.4

 

$

63.6

 

$

(0.5)

 

$

(28.8)

Total realized and unrealized gains

 

 

 —

 

 

9.3

 

 

(5.1)

 

 

 —

Foreign currency losses through Other Comprehensive Income

 

 

 —

 

 

(0.7)

 

 

 —

 

 

 —

Purchases

 

 

 —

 

 

15.8

 

 

 —

 

 

 —

Sales/Settlements

 

 

(5.4)

 

 

 —

 

 

0.8

 

 

 —

Balance at March 31, 2019

 

$

 —

 

$

88.0

 

$

(4.8)

 

$

(28.8)

(1)

Excludes fair value of $301.7 associated with hedge funds and private equity funds which fair value is measured using the NAV practical expedient.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

For the Three Months Ended March 31, 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)

Total realized and unrealized gains

 

 

 —

 

 

0.8

 

 

 —

 

 

 —

Foreign currency losses through Other Comprehensive Income

 

 

 —

 

 

(0.3)

 

 

 —

 

 

 —

Purchases

 

 

0.6

 

 

0.4

 

 

 —

 

 

 —

Sales/Settlements

 

 

 —

 

 

(0.2)

 

 

 —

 

 

 —

Balance at March 31, 2018

 

$

8.6

 

$

64.9

 

$

(6.1)

 

$

(42.8)

(1)

Excludes fair value of $221.9 associated with hedge funds and private equity funds which fair value is measured at net asset value using the practical expedient.
Schedule of significant unobservable inputs used for recurring fair value measurements for Level 3 instruments

 

 

 

 

 

 

 

 

 

 

 

 

(Millions, except share prices)

 

March 31, 2019

 

Description

    

Valuation Technique(s)

    

Fair Value

    

Unobservable Input

 

Private equity securities(1)

    

Share price of recent transaction

    

$

32.5

    

Purchase share price

$

40.63

 

Preferred stock(1)

 

Share price of recent transaction

 

$

17.5

 

Purchase price

$

7.74

 

Private equity securities(1)

 

Multiple of GAAP book value

 

$

16.8

 

Book value multiple

 

1.0X

 

Private debt instrument(1)

 

Purchase price of recent transaction

 

$

7.8

 

Purchase price

$

9.0

 

Private debt instrument(1)

 

Purchase price of recent transaction

 

$

6.0

 

Purchase price

$

6.0

 

Private equity securities(1)

 

Share price of recent transaction

 

$

5.1

 

Purchase price

$

7.74

 

Private equity securities(1)

 

Purchase price of recent transaction

 

$

1.0

 

Purchase price

$

10.0

 

Private equity securities(1)

 

Purchase price of recent transaction

 

$

0.8

 

Purchase price

$

0.8

 

Private equity securities(1)

 

Purchase price of recent transaction

 

$

0.3

 

Purchase price

$

0.3

 

Private debt instrument (1)

 

Purchase price of recent transaction

 

$

0.2

 

Purchase price

$

0.2

 

Currency forwards(2)

 

Third party appraisal

 

$

0.2

 

Broker quote

$

0.2

 

Interest rate cap(2)

 

Third party appraisal

 

$

0.1

 

Broker quote

$

0.1

 

Weather derivatives(2)

 

Third party appraisal

 

$

(1.3)

 

Broker quote

$

(1.3)

 

Currency swaps (2)

 

Third party appraisal

 

$

(3.8)

 

Broker quote

$

(3.8)

 

Contingent consideration

 

External valuation model

 

$

(28.8)

 

Discounted future payments

$

(28.8)

 

(1)

As of March 31, 2019, each asset type consists of one security.

(2)

See Note 11 for discussion of derivative instruments.

 

 

 

 

 

 

 

 

 

 

 

 

(Millions)

 

December 31, 2018

 

Description

    

Valuation technique(s)

    

Fair 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

 

0.9X

 

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

 

Private equity securities(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

 

Private equity securities(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 11 for discussion of derivative instruments.
Schedule of financial instruments disclosed, but not carried at fair value

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

March 31, 2019

 

December 31, 2018

(Millions)

    

Fair Value(1)

    

Carrying Value

    

Fair Value(1)

    

Carrying Value

Liabilities, Mezzanine equity, and Non-controlling interest:

 

 

 

 

 

 

 

 

 

 

 

 

2017 SEK Subordinated Notes

 

$

297.0

 

$

292.7

 

$

309.5

 

$

303.6

2016 SIG Senior Notes

 

$

361.7

 

$

393.4

 

$

347.6

 

$

393.2

Series B preference shares

 

$

200.2

 

$

240.6

 

$

191.7

 

$

232.2

(1)

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