Fair Value Of Financial Instruments (Tables)

9 Months Ended

Sep. 30, 2015

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, 2015	Carrying Amount		Total Fair Value		Level 1		Level 2		Level 3
ASSETS:
Fixed maturity investments:
U.S. government and government agencies	$	1,287,748	$	1,287,748	$	1,225,745	$	62,003	$	—
Non-U.S. government and government agencies	427,096		427,096		—		427,096		—
States, municipalities and political subdivisions	422,007		422,007		—		422,007		—
Corporate debt	2,427,779		2,427,779		—		2,427,779		—
Mortgage-backed	1,302,678		1,302,678		—		1,199,013		103,665
Asset-backed	679,685		679,685		—		622,131		57,554
Total fixed maturity investments	6,546,993		6,546,993		1,225,745		5,160,029		161,219
Equity securities	663,390		663,390		636,576		—		26,814
Other invested assets ⁽¹⁾	845,167		845,167		—		—		—
Total investments	$	8,055,550	$	8,055,550	$	1,862,321	$	5,160,029	$	188,033
Derivative assets:
Foreign exchange contracts	$	28	$	28	$	—	$	28	$	—
Interest rate swaps	330		330		—		330		—
LIABILITIES:
Derivative liabilities:
Foreign exchange contracts	$	9	$	9	$	—	$	9	$	—
Senior notes	$	799,043	$	859,307	$	—	$	859,307	$	—
Other long-term debt	$	23,328	$	28,112	$	—	$	28,112	$	—



December 31, 2014	Carrying Amount		Total Fair Value		Level 1		Level 2		Level 3
ASSETS:
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⁽¹⁾	812,543		812,543		—		—		—
Total investments	$	7,725,716	$	7,725,716	$	2,300,180	$	4,332,467	$	280,526
Derivative assets:
Foreign exchange contracts	$	1,274	$	1,274	$	—	$	1,274	$	—
LIABILITIES:
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	$	—

⁽¹⁾ In accordance with U.S. GAAP, other invested assets, excluding other private securities, are measured at fair value using the net asset value per share (or its equivalent) practical expedient and have not been classified in the fair value hierarchy.

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, 2015	Mortgage-backed			Asset-backed			Equities
Opening balance	$	99,637		$	83,908		$	57,807
Realized and unrealized gains (losses) included in net (loss) income	808			(2,547		)	(10,993		)
Purchases	9,666			122			—
Sales	(9,390		)	(7,892		)	(20,000		)
Transfers into Level 3 from Level 2	3,126			627			—
Transfers out of Level 3 into Level 2⁽¹⁾	(182		)	(16,664		)	—
Ending balance	$	103,665		$	57,554		$	26,814
Three Months Ended September 30, 2014
Opening balance	$	146,801		$	71,232		$	34,863
Realized and unrealized gains (losses) included in net (loss) income	(882		)	(253		)	3,172
Purchases	16,311			18,021			—
Sales	(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	$	119,908		$	91,370		$	38,035



Nine Months Ended September 30, 2015	Mortgage-backed			Asset-backed			Equities
Opening balance	$	181,783		$	55,413		$	43,330
Realized and unrealized gains (losses) included in net (loss) income	27			(2,960		)	3,484
Purchases	16,657			7,011			—
Sales	(94,802		)	(20,160		)	(20,000		)
Transfers into Level 3 from Level 2	—			41,234			—
Transfers out of Level 3 into Level 2⁽¹⁾	—			(22,984		)	—
Ending balance	$	103,665		$	57,554		$	26,814
Nine Months Ended September 30, 2014
Opening balance	$	147,338		$	93,413		$	73,904
Realized and unrealized gains (losses) included in net (loss) income	3,654			(659		)	(6,572		)
Purchases	34,187			35,526			—
Sales	(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	$	119,908		$	91,370		$	38,035


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