Fair Value Measurements (Tables)

12 Months Ended

Dec. 31, 2018

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 December 31, 2018	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	$	3,331,411		$	3,331,411	$	—	$	—
Agencies	174,883			—		174,883		—
Municipal	6,854			—		6,854		—
Non-U.S. government	279,818			—		279,818		—
Non-U.S. government-backed corporate	160,063			—		160,063		—
Corporate	2,450,244			—		2,450,244		—
Agency mortgage-backed	817,880			—		817,880		—
Non-agency mortgage-backed	278,680			—		278,680		—
Commercial mortgage-backed	282,294			—		282,294		—
Asset-backed	306,743			—		306,743		—
Total fixed maturity investments	8,088,870			3,331,411		4,757,459		—
Short term investments	2,586,520			—		2,586,520		—
Equity investments trading	310,252			310,252		—		—
Other investments
Catastrophe bonds	516,571			—		516,571		—
Private equity investments (1)	242,647			—		—		54,545
Senior secured bank loan funds (1)	14,482			—		—		—
Hedge funds (1)	11,233			—		—		—
Total other investments	784,933			—		516,571		54,545
Other assets and (liabilities)
Assumed and ceded (re)insurance contracts (2)	(8,359		)	—		—		(8,359		)
Derivatives (3)	12,399			484		11,915		—
Total other assets and (liabilities)	4,040			484		11,915		(8,359		)
	$	11,774,615		$	3,642,147	$	7,872,465	$	46,186


(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, 2018 was $5.0 million and $13.3 million of other assets and other liabilities, respectively.


(3)	See “Note 18. Derivative Instruments” for additional information related to the fair value, by type of contract, of derivatives entered into by the Company.




At December 31, 2017	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	$	3,168,763		$	3,168,763		$	—	$	—
Agencies	47,646			—			47,646		—
Municipal	509,802			—			509,802		—
Non-U.S. government	287,660			—			287,660		—
Non-U.S. government-backed corporate	163,651			—			163,651		—
Corporate	2,063,459			—			2,063,459		—
Agency mortgage-backed	500,456			—			500,456		—
Non-agency mortgage-backed	300,331			—			300,331		—
Commercial mortgage-backed	202,062			—			202,062		—
Asset-backed	182,725			—			182,725		—
Total fixed maturity investments	7,426,555			3,168,763			4,257,792		—
Short term investments	991,863			—			991,863		—
Equity investments trading	388,254			388,254			—		—
Other investments
Catastrophe bonds	380,475			—			380,475		—
Private equity investments (1)	196,220			—			—		—
Senior secured bank loan fund (1)	17,574			—			—		—
Hedge funds (1)	524			—			—		—
Total other investments	594,793			—			380,475		—
Other assets and (liabilities)
Assumed and ceded (re)insurance contracts (2)	(2,952		)	—			—		(2,952		)
Derivatives (3)	4,636			(45		)	4,681		—
Total other assets and (liabilities)	1,684			(45		)	4,681		(2,952		)
	$	9,403,149		$	3,556,972		$	5,634,811	$	(2,952	)


(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, 2017 was $2.5 million and $5.5 million of other assets and other liabilities, respectively.


(2)	See “Note 18. 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:




December 31, 2018	Fair Value (Level 3)			Valuation Technique	Unobservable Inputs	Low			High			Weighted Average or Actual

Other investments
Private equity investments	$	54,545		Internal valuation model	Discount rate	16.8		%	29.6		%	23.2		%
Total other investments	54,545
Other assets and (liabilities)
Assumed and ceded (re)insurance contracts	550			Internal valuation model	Bond price	$	100.74		$	107.82		$	104.66
					Liquidity discount	n/a			n/a			1.3		%
Assumed and ceded (re)insurance contracts	(8,909		)	Internal valuation model	Net undiscounted cash flows	n/a			n/a			$	(10,528	)
					Expected loss ratio	n/a			n/a			36.1		%
					Discount rate	n/a			n/a			2.5		%
Total other assets and (liabilities)	$	(8,359	)
	$	46,186

Schedule of Assets and Liabilities Measured at Fair Value an 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.




	Other investments		Other assets and (liabilities)			Total
Balance - January 1, 2018	$	—	$	(2,952	)	$	(2,952	)
Total realized and unrealized gains
Included in other income	—		2,901			2,901
Purchases	54,545		(9,291		)	45,254
Settlements	—		983			983
Balance - December 31, 2018	$	54,545	$	(8,359	)	$	46,186




	Other assets and (liabilities)
Balance - January 1, 2017	$	(13,004	)
Total realized and unrealized gains
Included in other income	3,761
Purchases	354
Settlements	5,937
Balance - December 31, 2017	$	(2,952	)

Schedule of Assets and Liabilities Measured at Fair Value an a Recurring Basis Using Level 3 Inputs




	Other investments		Other assets and (liabilities)			Total
Balance - January 1, 2018	$	—	$	(2,952	)	$	(2,952	)
Total realized and unrealized gains
Included in other income	—		2,901			2,901
Purchases	54,545		(9,291		)	45,254
Settlements	—		983			983
Balance - December 31, 2018	$	54,545	$	(8,359	)	$	46,186




	Other assets and (liabilities)
Balance - January 1, 2017	$	(13,004	)
Total realized and unrealized gains
Included in other income	3,761
Purchases	354
Settlements	5,937
Balance - December 31, 2017	$	(2,952	)

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:




	2018		2017
Other investments	$	784,933	$	594,793
Other assets	$	4,968	$	2,542
Other liabilities	$	13,327	$	5,494

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 December 31, 2018

Fair Value

Unfunded
Commitments

Redemption Frequency

Redemption
Notice Period (Minimum Days)

Redemption
Notice Period (Maximum Days)

Private equity investments

188,102

393,700

See below

Senior secured bank loan funds

14,482

20,121

See below

Hedge funds

11,233

—

See below

Total other investments measured using net asset valuations

213,817

413,821