Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2016

Schedule Of Assets And Liabilities Measured At Fair Value On A Recurring Basis

Below is a summary of the assets and liabilities that are measured at fair value on a recurring basis and also represents the carrying amount on the Company’s consolidated balance sheets:




At September 30, 2016	Total			Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)
Fixed maturity investments
U.S. treasuries	$	2,564,635		$	2,564,635	$	—		$	—
Agencies	120,761			—		120,761			—
Municipal	550,062			—		550,062			—
Non-U.S. government (Sovereign debt)	313,560			—		313,560			—
Non-U.S. government-backed corporate	129,423			—		129,423			—
Corporate	1,916,092			—		1,916,092			—
Agency mortgage-backed	521,987			—		521,987			—
Non-agency mortgage-backed	283,333			—		283,333			—
Commercial mortgage-backed	492,311			—		492,311			—
Asset-backed	207,976			—		207,976			—
Total fixed maturity investments	7,100,140			2,564,635		4,535,505			—
Short term investments	1,136,660			—		1,136,660			—
Equity investments trading	345,565			345,565		—			—
Other investments
Catastrophe bonds	298,408			—		298,408			—
Private equity partnerships (1)	192,217			—		—			—
Senior secured bank loan fund (1)	19,440			—		—			—
Hedge funds (1)	1,556			—		—			—
Total other investments	511,621			—		298,408			—
Other assets and (liabilities)
Assumed and ceded (re)insurance contracts (2)	(12,012		)	—		—			(12,012		)
Derivatives (3)	4,682			916		3,766			—
Other	(8,173		)	—		(8,173		)	—
Total other assets and (liabilities)	(15,503		)	916		(4,407		)	(12,012		)
	$	9,078,483		$	2,911,116	$	5,966,166		$	(12,012	)


(1)	Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been classified in the fair value hierarchy. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the consolidated balance sheet.


(2)	Included in assumed and ceded (re)insurance contracts at September 30, 2016 was $5.8 million and $17.8 million of other assets and other liabilities, respectively.


(3)	See “Note 11. Derivative Instruments” for additional information related to the fair value by type of contract, of derivatives entered into by the Company.




At December 31, 2015	Total			Quoted Prices in Active Markets for Identical Assets (Level 1)			Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)
Fixed maturity investments
U.S. treasuries	$	2,064,944		$	2,064,944		$	—		$	—
Agencies	137,976			—			137,976			—
Municipal	583,282			—			583,282			—
Non-U.S. government (Sovereign debt)	334,981			—			334,981			—
Non-U.S. government-backed corporate	138,994			—			138,994			—
Corporate	2,055,323			—			2,047,705			7,618
Agency mortgage-backed	504,518			—			504,518			—
Non-agency mortgage-backed	270,763			—			270,763			—
Commercial mortgage-backed	561,496			—			561,496			—
Asset-backed	130,541			—			130,541			—
Total fixed maturity investments	6,782,818			2,064,944			4,710,256			7,618
Short term investments	1,208,401			—			1,208,401			—
Equity investments trading	393,877			393,877			—			—
Other investments
Catastrophe bonds	241,253			—			241,253			—
Private equity partnerships (1)	214,848			—			—			—
Senior secured bank loan fund (1)	23,231			—			—			—
Hedge funds (1)	2,289			—			—			—
Total other investments	481,621			—			241,253			—
Other assets and (liabilities)
Assumed and ceded (re)insurance contracts (2)	(5,899		)	—			—			(5,899		)
Derivatives (3)	1,486			(1,234		)	2,720			—
Other	(12,320		)	—			(12,320		)	—
Total other assets and (liabilities)	(16,733		)	(1,234		)	(9,600		)	(5,899		)
	$	8,849,984		$	2,457,587		$	6,150,310		$	1,719


(1)	Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been classified in the fair value hierarchy. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the consolidated balance sheet.


(2)	Included in assumed and ceded (re)insurance contracts at December 31, 2015 was $3.5 million and $9.4 million of other assets and other liabilities, respectively.


(3)	See “Note 11. Derivative Instruments” for additional information related to the fair value by type of contract, of derivatives entered into by the Company.

Schedule Of Quantitative Information Used As Level 3 Inputs

Below is a summary of quantitative information regarding the significant observable and unobservable inputs (Level 3) used in determining the fair value of assets and liabilities measured at fair value on a recurring basis:




At September 30, 2016	Fair Value (Level 3)			Valuation Technique	Unobservable (U) and Observable (O) Inputs	Low		High		Weighted Average or Actual
Other assets and (liabilities)
Assumed and ceded (re)insurance contracts	(677		)	Internal valuation model	Bond price (U)	$	100.01	$	102.95	$	101.57
					Liquidity discount (U)	n/a		n/a		1.3		%
Assumed and ceded (re)insurance contracts	(11,335		)	Internal valuation model	Net undiscounted cash flows (U)	n/a		n/a		$	(11,520	)
					Expected loss ratio (U)	n/a		n/a		39.0		%
					Net acquisition expense ratio (O)	n/a		n/a		(21.7		)%
					Contract period (O)	0.7 years		4.7 years		4.3 years
					Discount rate (U)	n/a		n/a		1.1		%
Total assumed and ceded (re)insurance contracts	(12,012		)
Total other assets and (liabilities)	(12,012		)
	$	(12,012	)

Schedule Of Assets And Liabilities Measured At Fair Value On A Recurring Basis Using Level 3 Inputs

Below is a reconciliation of the beginning and ending balances, for the periods shown, of assets and liabilities measured at fair value on a recurring basis using Level 3 inputs. Interest and dividend income are included in net investment income and are excluded from the reconciliation.




	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
	Fixed maturity investments trading			Other assets and (liabilities)			Total
Balance - July 1, 2016	$	—		$	(2,680	)	$	(2,680	)
Total realized gains
Included in other income	—			795			795
Purchases	—			(10,127		)	(10,127		)
Settlements	—			—			—
Balance - September 30, 2016	$	—		$	(12,012	)	$	(12,012	)



	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
	Fixed maturity investments trading			Other assets and (liabilities)			Total
Balance - January 1, 2016	$	7,618		$	(5,899	)	$	1,719
Total unrealized losses
Included in net investment income	(118		)	—			(118		)
Total realized gains
Included in other income	—			4,587			4,587
Purchases	—			(10,700		)	(10,700		)
Settlements	(7,500		)	—			(7,500		)
Balance - September 30, 2016	$	—		$	(12,012	)	$	(12,012	)




	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
	Fixed maturity investments trading			Other assets and (liabilities)			Total
Balance - July 1, 2015	$	7,660		$	75,687		$	83,347
Total unrealized (losses) gains
Included in net investment income	(65		)	4			(61		)
Included in other income	—			(78		)	(78		)
Total realized gains
Included in other income	—			1,827			1,827
Total foreign exchange losses	—			7			7
Purchases	—			(498		)	(498		)
Settlements	—			—			—
Balance - September 30, 2015	$	7,595		$	76,949		$	84,544
Change in unrealized gains for the period included in earnings for assets held at the end of the period included in net investment income	$	(65	)	$	4		$	(61	)
Change in unrealized gains for the period included in earnings for assets held at the end of the period included in other income	$	—		$	(78	)	$	(78	)



	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
	Fixed maturity investments trading			Other assets and (liabilities)			Total
Balance - January 1, 2015	$	15,660		$	(8,934	)	$	6,726
Total unrealized (losses) gains
Included in net investment income	(565		)	180			(385		)
Included in other income	—			(426		)	(426		)
Total realized gains
Included in other income	—			4,655			4,655
Total foreign exchange gains	—			7			7
Purchases	—			81,467			81,467
Settlements	(7,500		)	—			(7,500		)
Balance - September 30, 2015	$	7,595		$	76,949		$	84,544
Change in unrealized gains for the period included in earnings for assets held at the end of the period included in net investment income	$	(383	)	$	180		$	(203	)
Change in unrealized gains for the period included in earnings for assets held at the end of the period included in other income	$	—		$	(426	)	$	(426	)

Schedule Of Assets And Liabilities Measured At Fair Value On A Recurring Basis Using Level 3 Inputs




	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
	Fixed maturity investments trading			Other assets and (liabilities)			Total
Balance - July 1, 2016	$	—		$	(2,680	)	$	(2,680	)
Total realized gains
Included in other income	—			795			795
Purchases	—			(10,127		)	(10,127		)
Settlements	—			—			—
Balance - September 30, 2016	$	—		$	(12,012	)	$	(12,012	)



	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
	Fixed maturity investments trading			Other assets and (liabilities)			Total
Balance - January 1, 2016	$	7,618		$	(5,899	)	$	1,719
Total unrealized losses
Included in net investment income	(118		)	—			(118		)
Total realized gains
Included in other income	—			4,587			4,587
Purchases	—			(10,700		)	(10,700		)
Settlements	(7,500		)	—			(7,500		)
Balance - September 30, 2016	$	—		$	(12,012	)	$	(12,012	)




	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
	Fixed maturity investments trading			Other assets and (liabilities)			Total
Balance - July 1, 2015	$	7,660		$	75,687		$	83,347
Total unrealized (losses) gains
Included in net investment income	(65		)	4			(61		)
Included in other income	—			(78		)	(78		)
Total realized gains
Included in other income	—			1,827			1,827
Total foreign exchange losses	—			7			7
Purchases	—			(498		)	(498		)
Settlements	—			—			—
Balance - September 30, 2015	$	7,595		$	76,949		$	84,544
Change in unrealized gains for the period included in earnings for assets held at the end of the period included in net investment income	$	(65	)	$	4		$	(61	)
Change in unrealized gains for the period included in earnings for assets held at the end of the period included in other income	$	—		$	(78	)	$	(78	)



	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
	Fixed maturity investments trading			Other assets and (liabilities)			Total
Balance - January 1, 2015	$	15,660		$	(8,934	)	$	6,726
Total unrealized (losses) gains
Included in net investment income	(565		)	180			(385		)
Included in other income	—			(426		)	(426		)
Total realized gains
Included in other income	—			4,655			4,655
Total foreign exchange gains	—			7			7
Purchases	—			81,467			81,467
Settlements	(7,500		)	—			(7,500		)
Balance - September 30, 2015	$	7,595		$	76,949		$	84,544
Change in unrealized gains for the period included in earnings for assets held at the end of the period included in net investment income	$	(383	)	$	180		$	(203	)
Change in unrealized gains for the period included in earnings for assets held at the end of the period included in other income	$	—		$	(426	)	$	(426	)

Schedule Of The Balances The Company Has Elected To Account For At Fair Value

Below is a summary of the balances the Company has elected to account for at fair value:




	September 30, 2016		December 31, 2015
Other investments	$	511,621	$	481,621
Other assets	$	5,804	$	3,463
Other liabilities	$	17,816	$	9,362

Schedule Of Other Investments Measured Using Net Asset Valuations

The table below shows the Company’s portfolio of other investments measured using net asset valuations as a practical expedient:

At September 30, 2016

Fair Value

Unfunded
Commitments

Redemption Frequency

Redemption
Notice Period (Minimum Days)

Redemption
Notice Period (Maximum Days)

Private equity partnerships

192,217

233,006

See below

Senior secured bank loan fund

19,440

5,055

See below

Hedge funds

1,556

—

See below

Total other investments measured using net asset valuations

213,213

238,061

- Definition

Tabular disclosure of the application of the fair value option for measurement and reporting of eligible financial assets and liabilities (as defined), as well as certain other eligible items (as defined) included in the statement of financial position, whether such option is elected for a single eligible item or a group of similar eligible items and is in addition to other disclosures concerning fair value which the company may be required to provide. Such disclosure might be expected to include: (1) for items included in the statement of financial position: (a) for each line item in the statement of financial position that includes an item or items for which the fair value option has been elected, provide the aggregate carrying amount of ineligible items included in each line item in the balance sheet, if any; (b) the difference between the aggregate fair value and the aggregate unpaid principal balance (assuming contractual principal amounts and fair value option elected) of: (i) loans and long-term receivables (other than securities otherwise reported at fair value) and (ii) long-term debt instruments; (c) for loans held as assets for which the fair value option has been elected: (i) the aggregate fair value of loans that are 90 days or more past due, (ii) if the policy is to recognize interest income separately from other changes in fair value, the aggregate fair value of loans in nonaccrual status, and (iii) the difference between the aggregate fair value and the aggregate unpaid principal balance for loans that are 90 days or more past due, in nonaccrual status, or both; (2) for items included in the income statement: (a) the amounts of gains and losses from fair value changes included in earnings and in which line in the income statement those gains and losses are reported whether or not combined with gains and losses from items required to be accounted for at fair value; (b) for loans and other receivables held as assets, the estimated amount of gains or losses included in earnings attributable to changes in instrument-specific credit risk; (c) for liabilities with fair values that have been significantly affected during the reporting period by changes in the instrument-specific credit risk, the estimated amount of gains and losses from fair value changes included in earnings that are attributable to changes in the instrument-specific credit risk; and (3) certain other disclosures as required or determined to be provided.

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