Fair Value Of Financial Instruments (Tables)

9 Months Ended

Sep. 30, 2014

Fair Value Disclosures [Abstract]

Fair value hierarchy and related disclosures

The following table shows the fair value of the Company’s financial instruments and where in the fair value hierarchy the fair value measurements are included as of the dates indicated below:

September 30, 2014	Carrying Amount		Total Fair Value		Level 1		Level 2		Level 3
Fixed maturity investments:
U.S. Government and Government agencies	$	1,184,115	$	1,184,115	$	998,487	$	185,628	$	—
Non-U.S. Government and Government agencies	219,287		219,287		—		219,287		—
States, municipalities and political subdivisions	260,690		260,690		—		260,690		—
Corporate debt	2,523,368		2,523,368		—		2,523,368		—
Mortgage-backed	1,240,362		1,240,362		—		1,120,454		119,908
Asset-backed	700,415		700,415		—		609,045		91,370
Total fixed maturity investments	6,128,237		6,128,237		998,487		4,918,472		211,278
Equity securities	945,076		945,076		907,041		—		38,035
Other invested assets	806,124		806,124		—		—		806,124
Total investments	$	7,879,437	$	7,879,437	$	1,905,528	$	4,918,472	$	1,055,437
Derivative assets:
Foreign exchange contracts	$	814	$	814	$	—	$	814	$	—
Interest rate swaps	414		414		—		414		—
Derivative liabilities:
Foreign exchange contracts	$	22	$	22	$	—	$	22	$	—
Interest rate swaps	—		—		—		—		—
Senior notes	$	798,725	$	888,370	$	—	$	888,370	$	—

December 31, 2013	Carrying Amount		Total Fair Value		Level 1		Level 2		Level 3
Fixed maturity investments:
U.S. Government and Government agencies	$	1,676,788	$	1,676,788	$	1,370,088	$	306,700	$	—
Non-U.S. Government and Government agencies	191,776		191,776		—		191,776		—
States, municipalities and political subdivisions	231,555		231,555		—		231,555		—
Corporate debt	2,202,267		2,202,267		—		2,202,267		—
Mortgage-backed	1,292,502		1,292,502		—		1,145,164		147,338
Asset-backed	505,910		505,910		—		412,497		93,413
Total fixed maturity investments	6,100,798		6,100,798		1,370,088		4,489,959		240,751
Equity securities	699,846		699,846		625,942		—		73,904
Other invested assets	764,081		764,081		—		—		764,081
Total investments	$	7,564,725	$	7,564,725	$	1,996,030	$	4,489,959	$	1,078,736
Derivative assets:
Foreign exchange contracts	$	6,254	$	6,254	$	—	$	6,254	$	—
Interest rate swaps	6,829		6,829		—		6,829		—
Derivative liabilities:
Foreign exchange contracts	$	1,176	$	1,176	$	—	$	1,176	$	—
Interest rate swaps	$	4,214	$	4,214	$	—	$	4,214	$	—
Senior notes	$	798,499	$	897,601	$	—	$	897,601	$	—

Fair value measurements using significant unobservable inputs (Level 3)

The following is a reconciliation of the beginning and ending balance of financial instruments using significant unobservable inputs (Level 3):

Three Months Ended September 30, 2014	Other invested assets			Mortgage-backed			Asset-backed			Equities
Opening balance	$	804,505		$	146,801		$	71,232		$	34,863
Realized and unrealized gains (losses) included in net income	6,797			(882		)	(253		)	3,172
Purchases	78,629			16,311			18,021			—
Sales	(83,807		)	(28,761		)	(9,970		)	—
Transfers into Level 3 from Level 2	—			1,628			17,863			—
Transfers out of Level 3 into Level 2 (1)	—			(15,189		)	(5,523		)	—
Ending balance	$	806,124		$	119,908		$	91,370		$	38,035
Three Months Ended September 30, 2013
Opening balance	$	714,391		$	198,003		$	61,285		$	53,499
Realized and unrealized gains (losses) included in net income	9,403			464			(313		)	3,972
Purchases	67,554			69,775			16,969			10,000
Sales	(24,277		)	(79,001		)	(1,302		)	—
Transfers into Level 3 from Level 2	—			13			3,394			—
Transfers out of Level 3 into Level 2 (1)	—			—			—			—
Ending balance	$	767,071		$	189,254		$	80,033		$	67,471

Nine Months Ended September 30, 2014	Other invested assets			Mortgage-backed			Asset-backed			Equities
Opening balance	$	764,081		$	147,338		$	93,413		$	73,904
Realized and unrealized gains (losses) included in net income	51,921			3,654			(659		)	(6,572		)
Purchases	267,549			34,187			35,526			—
Sales	(277,427		)	(65,038		)	(19,871		)	(29,297		)
Transfers into Level 3 from Level 2	—			1,253			13,923			—
Transfers out of Level 3 into Level 2 (1)	—			(1,486		)	(30,962		)	—
Ending balance	$	806,124		$	119,908		$	91,370		$	38,035
Nine Months Ended September 30, 2013
Opening balance	$	655,888		$	167,825		$	62,246		$	54,680
Realized and unrealized gains (losses) included in net income	53,365			(5,910		)	(791		)	2,791
Purchases	237,506			102,369			42,956			10,000
Sales	(179,688		)	(69,968		)	(26,728		)	—
Transfers into Level 3 from Level 2	—			5,073			2,350			—
Transfers out of Level 3 into Level 2 (1)	—			(10,135		)	—			—
Ending balance	$	767,071		$	189,254		$	80,033		$	67,471

_______________________ 

(1) Transfers out of Level 3 are primarily attributable to the availability of market observable information.