Fair value measurements (Tables)

12 Months Ended

Dec. 31, 2016

Fair value hierarchy - allocation of investments

At December 31, 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	$	—	$	804,126	$	—	$	—	$	804,126
Non-U.S. government and government agency	—		240,791		—		—		240,791
U.S. states, municipalities and political subdivisions	—		271,830		—		—		271,830
Agency residential mortgage-backed securities	—		679,595		—		—		679,595
Non-agency residential mortgage-backed securities	—		15,477		—		—		15,477
U.S. corporate	—		1,534,508		—		—		1,534,508
Non-U.S. corporate	—		410,227		—		—		410,227
Bank loans	—		323,903		246,496		—		570,399
Asset-backed securities	—		502,883		23,931		—		526,814
Commercial mortgage-backed securities	—		330,932		—		—		330,932
Total fixed maturities	—		5,114,272		270,427		—		5,384,699
Short-term investments	209,651		18,735		—		—		228,386
Other investments
Fund of hedge funds	—		—		—		955		955
Hedge funds	—		—		—		17,381		17,381
Private equity investments	—		—		—		89,809		89,809
Fixed income investment funds	—		30,941		12,168		198,984		242,093
Overseas deposits	—		—		—		50,106		50,106
Mutual funds	—		5,368		—		—		5,368
Total other investments	—		36,309		12,168		357,235		405,712
Investments in investment affiliates ^(a)	—		—		—		—		100,431
Total managed investments	$	209,651	$	5,169,316	$	282,595	$	357,235	$	6,119,228
Non-managed investments
Catastrophe bonds	$	—	$	109,956	$	48,375	$	—	$	158,331
Short-term investments	2,567,784		—		—		—		2,567,784
Total non-managed investments	2,567,784		109,956		48,375		—		2,726,115
Total investments	$	2,777,435	$	5,279,272	$	330,970	$	357,235	$	8,845,343


(a)	In accordance with ASC Topic 825 “Financial Instruments,” the Company’s investments in investment affiliates have not been classified in the fair value hierarchy.

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
Investments in investment affiliates^(a)	—		—		—		—		87,673
Total managed investments	$	222,678	$	5,134,600	$	232,337	$	308,562	$	5,985,850
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	$	7,876,495


(a)	In accordance with ASC Topic 825 “Financial Instruments,” the Company’s investments in investment affiliates have not been classified in the fair value hierarchy.

Reconciliation of investments measured at fair value on a recurring basis using Level 3 inputs

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 years ended December 31, 2016 and 2015:



	Year Ended December 31, 2016
	Bank Loans			Catastrophe Bonds			Fixed Income Investment Funds		Asset Backed Securities		Total
Level 3 investments, beginning of year	$	232,337		$	13,500		$	—	$	—	$	245,837
Purchases	87,345			33,272			12,168		23,896		156,681
Sales	(2,389		)	—			—		—		(2,389		)
Settlements	(69,496		)	(125		)	—		—		(69,621		)
Change in net unrealized (losses) gains	(1,301		)	1,728			—		35		462
Level 3 investments, end of year	$	246,496		$	48,375		$	12,168	$	23,931	$	330,970



	Year Ended December 31, 2015
	Bank Loans			Catastrophe Bonds			Total
Level 3 investments, beginning of year	$	32,748		$	17,500		$	50,248
Purchases	230,070			—			230,070
Sales	(1,036		)	(3,989		)	(5,025		)
Settlements	(27,429		)	—			(27,429		)
Net realized losses	—			(11		)	(11		)
Change in net unrealized losses	(2,016		)	—			(2,016		)
Level 3 investments, end of year	$	232,337		$	13,500		$	245,837