Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2017

The following tables set forth the Company's assets and liabilities that were accounted for at fair value at September 30, 2017 and December 31, 2016 by level within the fair value hierarchy:



September 30, 2017 (U.S. dollars in thousands)	Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Other Unobservable Inputs (Level 3)		Counterparty Netting		Balance at September 30, 2017
Assets
Fixed maturities - AFS - Excluding Life Funds Withheld Assets
U.S. Government	$	—	$	4,294,540	$	18,796	$	—	$	4,313,336
U.S. States, municipalities and political subdivisions	—		2,111,217		—		—		2,111,217
Non-U.S. Governments	—		5,260,637		—		—		5,260,637
Corporate	—		10,071,680		1,294		—		10,072,974
RMBS	—		4,941,702		—		—		4,941,702
CMBS	—		1,277,216		778		—		1,277,994
Other asset-backed securities	—		1,551,264		16,251		—		1,567,515
Total fixed maturities - AFS - Excluding Funds Withheld Assets, at fair value	$	—	$	29,508,256	$	37,119	$	—	$	29,545,375
Short-term investments, at fair value (1)	—		336,054		—		—		336,054
Equity securities, at fair value	844,923		167,019		—		—		1,011,942
Total investments AFS - Excluding Funds Withheld Assets	$	844,923	$	30,011,329	$	37,119	$	—	$	30,893,371
Fixed maturities - Life Funds Withheld Assets
U.S. Government	$	—	$	11,090	$	—	$	—	$	11,090
Non-U.S. Governments	—		611,843		—		—		611,843
Corporate	—		1,211,551		—		—		1,211,551
RMBS	—		589		—		—		589
CMBS	—		122,223		—		—		122,223
Other asset-backed securities	—		172,838		—		—		172,838
Total fixed maturities - AFS - Life Funds Withheld Assets, at fair value	$	—	$	2,130,134	$	—	$	—	$	2,130,134
Total investments - AFS, at fair value	$	844,923	$	32,141,463	$	37,119	$	—	$	33,023,505

Fixed maturities - Trading
U.S. Government	$	—	$	15,815	$	—	$	—	$	15,815
Non-U.S. Governments	—		465,262		—		—		465,262
Corporate	—		1,334,783		—		—		1,334,783
RMBS	—		818		—		—		818
CMBS	—		7,581		—		—		7,581
Other asset-backed securities	—		42,206		—		—		42,206
Total fixed maturities - Trading - Life Funds Withheld Assets, at fair value	$	—	$	1,866,465	$	—	$	—	$	1,866,465
Short-term investments, at fair value (1)	—		9,361		—		—		9,361
Total investments, Trading	$	—	$	1,875,826	$	—	$	—	$	1,875,826



September 30, 2017 (U.S. dollars in thousands)	Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Other Unobservable Inputs (Level 3)		Counterparty Netting			Balance at September 30, 2017
Cash equivalents (2)	242,977		1,386,542		—		—			1,629,519
Cash equivalents - Life Funds Withheld Assets (2)	505		64,769		—		—			65,274
Other investments (3)	—		558,934		219,462		—			778,396
Other assets (4)	—		5,628		17,616		(3,681		)	19,563
Total assets accounted for at fair value	$	1,088,405	$	36,033,162	$	274,197	$	(3,681	)	$	37,392,083
Liabilities
Funds withheld on GreyCastle Life Retro Arrangements (net of future policy benefit reserves recoverable) (5)	$	—	$	1,037,270	$	—	$	—		$	1,037,270
Other liabilities (4)	—		60,318		17,470		(3,681		)	74,107
Total liabilities accounted for at fair value	$	—	$	1,097,588	$	17,470	$	(3,681	)	$	1,111,377



December 31, 2016 (U.S. dollars in thousands)	Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Other Unobservable Inputs (Level 3)		Counterparty Netting		Balance at December 31, 2016
Assets
Fixed maturities - AFS - Excluding Life Funds Withheld Assets
U.S. Government	$	—	$	3,869,637	$	24,751	$	—	$	3,894,388
U.S. States, municipalities and political subdivisions	—		2,478,112		—		—		2,478,112
Non-U.S. Governments	—		5,030,132		—		—		5,030,132
Corporate	—		10,114,644		20,085		—		10,134,729
RMBS	—		4,492,625		—		—		4,492,625
CMBS	—		665,087		99		—		665,186
Other asset-backed securities	—		1,252,257		1,131		—		1,253,388
Total fixed maturities - AFS - Excluding Funds Withheld Assets, at fair value	$	—	$	27,902,494	$	46,066	$	—	$	27,948,560
Short-term investments, at fair value (1)	—		625,193		—		—		625,193
Equity securities, at fair value	898,664		138,667		—		—		1,037,331
Total investments AFS - Excluding Funds Withheld Assets	$	898,664	$	28,666,354	$	46,066	$	—	$	29,611,084
Fixed maturities - Life Funds Withheld Assets
U.S. Government	$	—	$	10,577	$	—	$	—	$	10,577
Non-U.S. Governments	—		624,677		—		—		624,677
Corporate	—		1,454,608		—		—		1,454,608
RMBS	—		22,380		—		—		22,380
CMBS	—		94,240		—		—		94,240
Other asset-backed securities	—		101,560		—		—		101,560
Total fixed maturities - AFS - Life Funds Withheld Assets, at fair value	$	—	$	2,308,042	$	—	$	—	$	2,308,042
Total investments - AFS, at fair value	$	898,664	$	30,974,396	$	46,066	$	—	$	31,919,126



December 31, 2016 (U.S. dollars in thousands)	Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Other Unobservable Inputs (Level 3)		Counterparty Netting			Balance at December 31, 2016
Fixed maturities - Trading
U.S. Government	$	—	$	14,708	$	—	$	—		$	14,708
U.S. States, municipalities and political subdivisions	—		224		—		—			224
Non-U.S. Governments	—		444,944		—		—			444,944
Corporate	—		1,111,205		—		—			1,111,205
RMBS	—		961		—		—			961
CMBS	—		5,526		—		—			5,526
Other asset-backed securities	—		39,446		—		—			39,446
Total fixed maturities - Trading - Life Funds Withheld Assets, at fair value	$	—	$	1,617,014	$	—	$	—		$	1,617,014
Short-term investments, at fair value (1)	—		9,563		—		—			9,563
Total investments, Trading	$	—	$	1,626,577	$	—	$	—		$	1,626,577
Cash equivalents (2)	573,398		1,096,254		—		—			1,669,652
Cash equivalents - Life Funds Withheld Assets (2)	—		72,798		—		—			72,798
Other investments (3)	—		493,874		205,528		—			699,402
Other assets (4)	—		87,655		19,841		(17,947		)	89,549
Total assets accounted for at fair value	$	1,472,062	$	34,351,554	$	271,435	$	(17,947	)	$	36,077,104
Liabilities
Funds withheld on GreyCastle Life Retro Arrangements (net of future policy benefit reserves recoverable) (5)	$	—	$	937,721	$	—	$	—		$	937,721
Other liabilities (4)	—		44,865		19,839		(17,947		)	46,757
Total liabilities accounted for at fair value	$	—	$	982,586	$	19,839	$	(17,947	)	$	984,478

____________


(1)	Short-term investments consist primarily of Other asset-backed securities, U.S. and Non-U.S. Government securities and Corporate securities.


(2)	Cash equivalents balances subject to fair value measurement include certificates of deposit and money market funds. Operating cash balances are not subject to recurring fair value measurement guidance.

(3)

Excluded from Other Investments are certain investments that are measured using net asset value as a practical expedient in the amount of $194.7 million and $322.9 million at September 30, 2017 and December 31, 2016, respectively. Under GAAP, these investments are excluded from the fair value hierarchy table. In addition, the Other investments balance excludes loans held at amortized cost. These investments, which totaled $172.5 million at September 30, 2017 and $142.3 million at December 31, 2016, are carried at amortized cost. For further information, see Item 8, Note 6, "Other Investments," to the Consolidated Financial Statements included in the Company's Annual Report on Form 10-K for the year ended December 31, 2016.

(4)

Other assets and other liabilities include derivative instruments. The derivative balances included in each category are reported gross of cash collateral by level with a counterparty netting adjustment presented separately in the Counterparty Netting column. The fair values of the individual derivative contracts are reported gross in their respective levels based on the fair value hierarchy. For further details regarding derivative fair values and associated collateral received or paid, see Note 5, "Derivative Instruments."


(5)	Funds withheld on GreyCastle Life Retro Arrangements (net of future policy benefit reserves recoverable) include balances related to the life retrocession embedded derivative, under which all investment results associated with the Life Funds Withheld Assets related to the GreyCastle Life Retro Arrangements described in Note 1, "Significant Accounting Policies," accrue to the benefit of GCLR.

Level 3 Roll Forward



	Level 3 Assets and Liabilities - Three Months Ended September 30, 2017
(U.S. dollars in thousands)	Balance, beginning of period			Realized gains (losses)			Movement in unrealized gains (losses)			Purchases and Issuances		Sales			Settlements			Net transfers into (out of) Level 3 (1)			Balance, end of period		Movement in total gains (losses) relating to investments still held
U.S. Government	$	19,059		$	—		$	50		$	—	$	—		$	(313	)	$	—		$	18,796	$	50
Corporate	1,184			—			1			—		—			—			109			1,294		(1		)
CMBS	78			—			4			698		—			(2		)	—			778		4
Other asset-backed securities	6,891			15			—			15,582		(3,770		)	—			(2,467		)	16,251		—
Short-term investments	3			—			—			—		—			(3		)	—			—		—
Other investments	220,348			2,571			8,047			5,464		—			(9,813		)	(7,155		)	219,462		(1,620		)
Derivative Contracts - Net	540			—			(394		)	—		—			—			—			146		(394		)
Total	$	248,103		$	2,586		$	7,708		$	21,744	$	(3,770	)	$	(10,131	)	$	(9,513	)	$	256,727	$	(1,961	)

	Level 3 Assets and Liabilities - Three Months Ended September 30, 2016
(U.S. dollars in thousands)	Balance, beginning of period			Realized gains (losses)			Movement in unrealized gains (losses)			Purchases and Issuances		Sales			Settlements			Net transfers into (out of) Level 3 (1)			Balance, end of period		Movement in total gains (losses) relating to investments still held
U.S. Government	$	44,256		$	(37	)	$	116		$	—	$	—		$	(685	)	$	—		$	43,650	$	79
Corporate	45,566			(3,088		)	94			—		(30,420		)	—			(1,866		)	10,286		17
RMBS	15			—			—			—		—			—			(15		)	—		—
CMBS	—			—			(1		)	—		—			—			102			101		(1		)
Other asset-backed securities	24,649			92			1,189			124,843		—			(4,267		)	(4,095		)	142,411		333
Other investments	225,094			7,757			(62		)	9,297		(12,000		)	(14,869		)	(2,463		)	212,754		6,902
Derivative Contracts - Net	(9,836		)	—			9,879			—		—			—			—			43		55
Total	$	329,744		$	4,724		$	11,215		$	134,140	$	(42,420	)	$	(19,821	)	$	(8,337	)	$	409,245	$	7,385

____________


(1)	Net transfers include both movement in and movement out of Level 3. Other asset-backed securities, for the three months ended September 30, 2017, includes $3.1 million of outgoing transfers partially offset by $0.7 million of incoming transfers.



	Level 3 Assets and Liabilities - Nine Months Ended September 30, 2017
(U.S. dollars in thousands)	Balance, beginning of period			Realized gains (losses)			Movement in unrealized gains (losses)			Purchases and Issuances		Sales			Settlements			Net transfers into (out of) Level 3 (1)			Balance, end of period		Movement in total gains (losses) relating to investments still held
U.S. Government	$	24,751		$	(38	)	$	(224	)	$	—	$	—		$	(935	)	$	(4,758	)	$	18,796	$	227
Corporate	20,085			27			(18		)	—		(20,014		)	(31		)	1,245			1,294		5
RMBS	—			17			(526		)	—		—			(173		)	682			—		—
CMBS	99			21			(14		)	698		—			(26		)	—			778		4
Other asset-backed securities	1,131			101			1,111			22,472		(5,216		)	(286		)	(3,062		)	16,251		—
Short-term investments	—			—			—			11,693		(11,662		)	(31		)	—			—		—
Other investments	205,528			2,097			24,327			21,743		(2,207		)	(22,162		)	(9,864		)	219,462		8,581
Derivative Contracts - Net	2			—			144			—		—			—			—			146		146
Total	$	251,596		$	2,225		$	24,800		$	56,606	$	(39,099	)	$	(23,644	)	$	(15,757	)	$	256,727	$	8,963

	Level 3 Assets and Liabilities - Nine Months Ended September 30, 2016
(U.S. dollars in thousands)	Balance, beginning of period			Realized gains (losses)			Movement in unrealized gains (losses)			Purchases and Issuances		Sales			Settlements			Net transfers into (out of) Level 3 (1)			Balance, end of period		Movement in total gains (losses) relating to investments still held
U.S. Government	$	45,063		$	(112	)	$	743		$	—	$	—		$	(2,044	)	$	—		$	43,650	$	630
Corporate	53,873			(2,991		)	26			1,955		(30,420		)	(6		)	(12,151		)	10,286		48
RMBS	3,077			(3		)	7			—		—			(229		)	(2,852		)	—		—
CMBS	—			—			(1		)	—		—			—			102			101		(1		)
Other asset-backed securities	50,265			704			4,722			125,915		—			(37,220		)	(1,975		)	142,411		4,479
Other investments	264,415			14,588			(8,519		)	34,450		(12,000		)	(34,334		)	(45,846		)	212,754		5,276
Derivative Contracts - Net	(9,791		)	—			9,834			—		—			—			—			43		10
Total	$	406,902		$	12,186		$	6,812		$	162,320	$	(42,420	)	$	(73,833	)	$	(62,722	)	$	409,245	$	10,442

____________

(1)

Net transfers include both movement in and movement out of Level 3. Corporate for the nine months ended September 30, 2017, includes $1.4 million of incoming transfers partially offset by $0.1 million of outgoing transfers. RMBS for the nine months ended September 30, 2017, includes $4.1 million of incoming transfers partially offset by $3.4 million of outgoing transfers. Other asset-backed securities, for the nine months ended September 30, 2017, includes $9.8 million of outgoing transfers partially offset by $6.8 million of incoming transfers. Other investments, for the nine months ended September 30, 2016, includes $61.3 million of outgoing transfers partially offset by $15.5 million of incoming transfers. Other asset-backed securities, for the nine months ended September 30, 2016, includes $5.0 million of outgoing transfers partially offset by $3.0 million of incoming transfers.

Financial Instruments Not Carried at Fair Value

The following table includes financial instruments for which the carrying values differ from the estimated fair values at September 30, 2017 and December 31, 2016. All of these fair value estimates are considered Level 2 fair value measurements.



	September 30, 2017				December 31, 2016
(U.S. dollars in thousands)	Carrying Value		Fair Value		Carrying Value		Fair Value
Financial Assets - Other investments	$	172,453	$	182,454	$	142,271	$	153,173
Deposit liabilities	$	1,030,290	$	1,258,115	$	1,116,233	$	1,337,406
Notes payable and debt	3,210,063		3,476,673		2,647,677		2,813,257
Financial Liabilities	$	4,240,353	$	4,734,788	$	3,763,910	$	4,150,663