Fair Value Of Financial Instruments (Tables)

12 Months Ended

Dec. 31, 2014

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:



December 31, 2014	Carrying amount		Total fair value		Level 1		Level 2		Level 3
Fixed maturity investments:
U.S. government and government agencies	$	1,610,502	$	1,610,502	$	1,499,347	$	111,155	$	—
Non-U.S. government and government agencies	188,199		188,199		—		188,199		—
States, municipalities and political subdivisions	170,567		170,567		—		170,567		—
Corporate debt	2,165,393		2,165,393		—		2,165,393		—
Mortgage-backed	1,263,517		1,263,517		—		1,081,734		181,783
Asset-backed	670,832		670,832		—		615,419		55,413
Total fixed maturity investments	6,069,010		6,069,010		1,499,347		4,332,467		237,196
Equity securities	844,163		844,163		800,833		—		43,330
Other invested assets	812,543		812,543		—		—		812,543
Total investments	$	7,725,716	$	7,725,716	$	2,300,180	$	4,332,467	$	1,093,069
Derivative assets:
Foreign exchange contracts	$	1,274	$	1,274	$	—	$	1,274	$	—
Derivative liabilities:
Foreign exchange contracts	$	991	$	991	$	—	$	991	$	—
Interest rate swaps	683		683		—		683		—
Senior notes	$	798,802	$	879,317	$	—	$	879,317	$	—
Other long-term debt	$	19,213	$	22,583	$	—	$	22,583	$	—



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 rollforward of the beginning and ending balance of financial instruments using significant unobservable inputs (Level 3):



	Fair value measurement using significant unobservable inputs (Level 3):
	Other invested assets			Mortgage- backed			Asset-backed			Equities
Year Ended December 31, 2014
Opening balance	$	764,081		$	147,338		$	93,413		$	73,904
Realized and unrealized gains (losses) included in net income	64,566			5,505			(2,068		)	(1,277		)
Purchases	331,099			100,019			4,628			—
Sales	(347,203		)	(71,141		)	(24,463		)	(29,297		)
Transfers into Level 3 from Level 2	—			1,505			28,813			—
Transfers out of Level 3 into Level 2 (1)	—			(1,443		)	(44,910		)	—
Ending balance	$	812,543		$	181,783		$	55,413		$	43,330
Realized and unrealized losses (gains) included in net income for investments still held as of December 31, 2014	$	(17,925	)	$	4,341		$	(116	)	$	(1,277	)
Year Ended December 31, 2013
Opening balance	$	655,888		$	167,825		$	62,246		$	54,680
Realized and unrealized gains included in net income	83,621			(7,658		)	(1,176		)	9,224
Purchases	287,977			83,455			50,669			10,000
Sales	(263,405		)	(92,985		)	(28,393		)	—
Transfers into Level 3 from Level 2	—			5,393			10,067			—
Transfers out of Level 3 into Level 2 (1)	—			(8,692		)	—			—
Ending balance	$	764,081		$	147,338		$	93,413		$	73,904
Realized and unrealized gains (losses) included in net income for investments still held as of December 31, 2013	$	62,104		$	(4,914	)	$	(360	)	$	9,225

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

- Definition

Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets) and gains or losses recognized in other comprehensive income (loss), and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs), by class of asset.

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