Fair value measurements (Tables)

6 Months Ended

Jun. 30, 2016

Fair value hierarchy - allocation of investments

At June 30, 2016, the Company’s investments were allocated between Levels 1, 2 and 3 as follows:



	Level 1		Level 2		Level 3		Fair value based on NAV practical expedient		Total
Managed investments
U.S. government and government agency	$	—	$	931,803	$	—	$	—	$	931,803
Non-U.S. government and government agency	—		215,250		—		—		215,250
U.S. states, municipalities and political subdivisions	—		285,412		—		—		285,412
Agency residential mortgage-backed securities	—		676,783		—		—		676,783
Non-agency residential mortgage-backed securities	—		23,389		—		—		23,389
U.S. corporate	—		1,556,047		—		—		1,556,047
Non-U.S. corporate	—		364,406		—		—		364,406
Bank loans	—		353,914		243,148		—		597,062
Asset-backed securities	—		416,957		12,383		—		429,340
Commercial mortgage-backed securities	—		314,033		—		—		314,033
Total fixed maturities	—		5,137,994		255,531		—		5,393,525
Short-term investments	186,276		3,352		—		—		189,628
Other investments
Fund of hedge funds	—		—		—		959		959
Hedge funds	—		—		—		18,625		18,625
Private equity investments	—		—		—		73,306		73,306
Investment funds	—		22,335		—		181,536		203,871
Overseas deposits	—		—		—		55,301		55,301
Mutual funds	—		7,464		—		—		7,464
Total other investments	—		29,799		—		329,727		359,526
Total managed investments	$	186,276	$	5,171,145	$	255,531	$	329,727	$	5,942,679
Non-managed investments
Catastrophe bonds	$	—	$	120,543	$	37,518	$	—	$	158,061
Short-term investments	2,180,026		—		—		—		2,180,026
Total non-managed investments	2,180,026		120,543		37,518		—		2,338,087
Total investments	$	2,366,302	$	5,291,688	$	293,049	$	329,727	$	8,280,766

At December 31, 2015, the Company’s investments were allocated between Levels 1, 2 and 3 as follows:



	Level 1		Level 2		Level 3		Fair value based on NAV practical expedient		Total
Managed investments
U.S. government and government agency	$	—	$	937,202	$	—	$	—	$	937,202
Non-U.S. government and government agency	—		237,968		—		—		237,968
U.S. states, municipalities and political subdivisions	—		301,289		—		—		301,289
Agency residential mortgage-backed securities	—		610,582		—		—		610,582
Non-agency residential mortgage-backed securities	—		26,920		—		—		26,920
U.S. corporate	—		1,489,951		—		—		1,489,951
Non-U.S. corporate	—		446,570		—		—		446,570
Bank loans	—		343,874		232,337		—		576,211
Asset-backed securities	—		437,124		—		—		437,124
Commercial mortgage-backed securities	—		260,135		—		—		260,135
Total fixed maturities	—		5,091,615		232,337		—		5,323,952
Short-term investments	222,678		14,691		—		—		237,369
Other investments
Fund of hedge funds	—		—		—		1,417		1,417
Hedge funds	—		—		—		20,980		20,980
Private equity investments	—		—		—		63,771		63,771
Investment funds	—		20,811		—		167,910		188,721
Overseas deposits	—		—		—		54,484		54,484
Mutual funds	—		7,483		—		—		7,483
Total other investments	—		28,294		—		308,562		336,856
Total managed investments	$	222,678	$	5,134,600	$	232,337	$	308,562	$	5,898,177
Non-managed investments
Catastrophe bonds	$	—	$	172,879	$	13,500	$	—	$	186,379
Short-term investments	1,704,266		—		—		—		1,704,266
Total non-managed investments	1,704,266		172,879		13,500		—		1,890,645
Total investments	$	1,926,944	$	5,307,479	$	245,837	$	308,562	$	7,788,822

Reconciliation of beginning and ending balances for all Level 3 investments measured at fair value on recurring basis

The following table presents a reconciliation of the beginning and ending balances for all investments measured at fair value on a recurring basis using Level 3 inputs during the three and six months ended June 30, 2016 and 2015:



	Three Months Ended June 30, 2016
	Bank Loans			Catastrophe Bonds		Asset Backed Securities		Total
Level 3 investments—beginning of period	$	255,011		$	37,105	$	—	$	292,116
Purchases	8,885			—		12,383		21,268
Settlements	(17,784		)	—		—		(17,784		)
Change in net unrealized (losses) gains	(2,964		)	413		—		(2,551		)
Transfers into Level 3 during the period	—			—		—		—
Transfers out of Level 3 during the period	—			—		—		—
Level 3 investments—end of period	$	243,148		$	37,518	$	12,383	$	293,049



	Three Months Ended June 30, 2015
	Bank Loans			Catastrophe Bonds			Total
Level 3 investments—beginning of period	$	86,533		$	15,500		$	102,033
Purchases	43,791			—			43,791
Sales	(929		)	(2,000		)	(2,929		)
Settlements	(4,203		)	—			(4,203		)
Change in net unrealized losses	(210		)	—			(210		)
Transfers into Level 3 during the period	—			—			—
Transfers out of Level 3 during the period	—			—			—
Level 3 investments—end of period	$	124,982		$	13,500		$	138,482



	Six Months Ended June 30, 2016
	Bank Loans			Catastrophe Bonds			Asset Backed Securities		Total
Level 3 investments—beginning of period	$	232,337		$	13,500		$	—	$	245,837
Purchases	50,988			23,272			12,383		86,643
Sales	(2,389		)	—			—		(2,389		)
Settlements	(34,033		)	(125		)	—		(34,158		)
Change in net unrealized (losses) gains	(3,755		)	871			—		(2,884		)
Transfers into Level 3 during the period	—			—			—		—
Transfers out of Level 3 during the period	—			—			—		—
Level 3 investments—end of period	$	243,148		$	37,518		$	12,383	$	293,049



	Six Months Ended June 30, 2015
	Bank Loans			Catastrophe Bonds			Total
Level 3 investments—beginning of period	$	32,748		$	17,500		$	50,248
Purchases	101,966			—			101,966
Sales	(929		)	(3,989		)	(4,918		)
Settlements	(8,198		)	—			(8,198		)
Net realized losses	—			(11		)	(11		)
Change in net unrealized losses	(605		)	—			(605		)
Transfers into Level 3 during the period	—			—			—
Transfers out of Level 3 during the period	—			—			—
Level 3 investments—end of period	$	124,982		$	13,500		$	138,482