Fair value measurements (Tables)

9 Months Ended

Sep. 30, 2016

Fair value hierarchy - allocation of investments

At September 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	$	—	$	837,546	$	—	$	—	$	837,546
Non-U.S. government and government agency	—		248,390		—		—		248,390
U.S. states, municipalities and political subdivisions	—		283,361		—		—		283,361
Agency residential mortgage-backed securities	—		657,876		—		—		657,876
Non-agency residential mortgage-backed securities	—		20,615		—		—		20,615
U.S. corporate	—		1,526,677		—		—		1,526,677
Non-U.S. corporate	—		431,632		—		—		431,632
Bank loans	—		335,037		252,500		—		587,537
Asset-backed securities	—		461,623		23,896		—		485,519
Commercial mortgage-backed securities	—		340,797		—		—		340,797
Total fixed maturities	—		5,143,554		276,396		—		5,419,950
Short-term investments	176,809		20,994		—		—		197,803
Other investments
Fund of hedge funds	—		—		—		959		959
Hedge funds	—		—		—		18,056		18,056
Private equity investments	—		—		—		83,670		83,670
Fixed income investment funds	—		31,670		—		201,767		233,437
Overseas deposits	—		—		—		53,246		53,246
Mutual funds	—		5,327		—		—		5,327
Total other investments	—		36,997		—		357,698		394,695
Total managed investments	$	176,809	$	5,201,545	$	276,396	$	357,698	$	6,012,448
Non-managed investments
Catastrophe bonds	$	—	$	118,356	$	38,035	$	—	$	156,391
Short-term investments	2,283,603		—		—		—		2,283,603
Total non-managed investments	2,283,603		118,356		38,035		—		2,439,994
Total investments	$	2,460,412	$	5,319,901	$	314,431	$	357,698	$	8,452,442

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
Fixed income 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 nine months ended September 30, 2016 and 2015:



	Three Months Ended September 30, 2016
	Bank Loans			Catastrophe Bonds		Asset Backed Securities		Total
Level 3 investments—beginning of period	$	243,148		$	37,518	$	12,383	$	293,049
Purchases	21,256			—		11,513		32,769
Sales	(12,388		)	—		—		(12,388		)
Change in net unrealized (losses) gains	484			517		—		1,001
Transfers into Level 3 during the period	—			—		—		—
Transfers out of Level 3 during the period	—			—		—		—
Level 3 investments—end of period	$	252,500		$	38,035	$	23,896	$	314,431



	Three Months Ended September 30, 2015
	Bank Loans			Catastrophe Bonds		Total
Level 3 investments—beginning of period	$	124,982		$	13,500	$	138,482
Purchases	50,831			—		50,831
Sales	(107		)	—		(107		)
Settlements	(13,815		)	—		(13,815		)
Change in net unrealized losses	(55		)	—		(55		)
Transfers into Level 3 during the period	—			—		—
Transfers out of Level 3 during the period	—			—		—
Level 3 investments—end of period	$	161,836		$	13,500	$	175,336



	Nine Months Ended September 30, 2016
	Bank Loans			Catastrophe Bonds			Asset Backed Securities		Total
Level 3 investments—beginning of period	$	232,337		$	13,500		$	—	$	245,837
Purchases	72,244			23,272			23,896		119,412
Sales	(14,777		)	—			—		(14,777		)
Settlements	(34,033		)	(125		)	—		(34,158		)
Change in net unrealized (losses) gains	(3,271		)	1,388			—		(1,883		)
Transfers into Level 3 during the period	—			—			—		—
Transfers out of Level 3 during the period	—			—			—		—
Level 3 investments—end of period	$	252,500		$	38,035		$	23,896	$	314,431



	Nine Months Ended September 30, 2015
	Bank Loans			Catastrophe Bonds			Total
Level 3 investments—beginning of period	$	32,748		$	17,500		$	50,248
Purchases	152,797			—			152,797
Sales	(1,036		)	(3,989		)	(5,025		)
Settlements	(22,013		)	—			(22,013		)
Net realized losses	—			(11		)	(11		)
Change in net unrealized losses	(660		)	—			(660		)
Transfers into Level 3 during the period	—			—			—
Transfers out of Level 3 during the period	—			—			—
Level 3 investments—end of period	$	161,836		$	13,500		$	175,336