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Fair Value Measurements (Tables)
 12 Months Ended
Dec. 31, 2019
Fair Value Disclosures [Abstract]  
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, 2019
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
$
4,467,345

 
$
4,467,345

 
$
—

 
$
—

 
 
Agencies
343,031

 
—

 
343,031

 
—

 
 
Non-U.S. government
497,392

 
—

 
497,392

 
—

 
 
Non-U.S. government-backed corporate
321,356

 
—

 
321,356

 
—

 
 
Corporate
3,075,660

 
—

 
3,075,660

 
—

 
 
Agency mortgage-backed
1,148,499

 
—

 
1,148,499

 
—

 
 
Non-agency mortgage-backed
294,604

 
—

 
294,604

 
—

 
 
Commercial mortgage-backed
468,698

 
—

 
468,698

 
—

 
 
Asset-backed
555,070

 
—

 
555,070

 
—

 
 
Total fixed maturity investments
11,171,655

 
4,467,345

 
6,704,310

 
—

 
 
Short term investments
4,566,277

 
—

 
4,566,277

 
—

 
 
Equity investments trading
436,931

 
436,931

 
—

 
—

 
 
Other investments
 
 
 
 
 
 
 
 
 
Catastrophe bonds
781,641

 
—

 
781,641

 
—

 
 
Private equity investments (1)
271,047

 
—

 
—

 
74,634

 
 
Senior secured bank loan funds (1)
22,598

 
—

 
—

 
—

 
 
Hedge funds (1)
12,091

 
—

 
—

 
—

 
 
Total other investments
1,087,377

 
—

 
781,641

 
74,634

 
 
Other assets and (liabilities)
 
 
 
 
 
 
 
 
 
Assumed and ceded (re)insurance contracts (2)
4,731

 
—

 
—

 
4,731

 
 
Derivatives (3)
16,937

 
(1,020
)
 
17,957

 
—

 
 
Total other assets and (liabilities)
21,668

 
(1,020
)
 
17,957

 
4,731

 
 
 
$
17,283,908

 
$
4,903,256

 
$
12,070,185

 
$
79,365

 
 
 
 
 
 
 
 
 
 
 
(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, 2019 was $32.9 million of other assets and $28.2 million of other liabilities.
(3)
Refer to “Note 19. Derivative Instruments” for additional information related to the fair value, by type of contract, of derivatives entered into by the Company.

 
 
 
 
 
 
 
 
 
 
 
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 of other assets and $13.3 million of other liabilities.
(3)
Refer to “Note 19. 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 unobservable inputs (Level 3) used in determining the fair value of assets and liabilities measured at fair value on a recurring basis:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
At December 31, 2019
Fair Value
(Level 3)
 
Valuation Technique
 
Unobservable Inputs
 
Low
 
High
 
Weighted Average or Actual
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Other investments
 
 
 
 
 
 
 
 
 
 
 
 
 
Private equity investment
$
10,327

 
External valuation model
 
Manager pricing
 
$
103.20

 
$
103.77

 
$
103.20

 
 
Private equity investments
64,307

 
Internal valuation model
 
Discount rate
 
8.0
%
 
10.0
%
 
9.0
%
 
 
 
 
 
 
 
Liquidity discount
 
n/a

 
n/a

 
15.0
%
 
 
Total other investments
74,634

 
 
 
 
 
 
 
 
 
 
 
 
Other assets and (liabilities)
 
 
 
 
 
 
 
 
 
 
 
 
 
Assumed and ceded (re)insurance contracts
501

 
Internal valuation model
 
Bond price
 
$
100.29

 
$
106.26

 
$
103.58

 
 
 
 
 
 
 
Liquidity discount
 
n/a

 
n/a

 
1.3
%
 
 
Assumed and ceded (re)insurance contracts
(8,767
)
 
Internal valuation model
 
Net undiscounted cash flows
 
n/a

 
n/a

 
$
(11,179
)
 
 
 
 
 
 
 
Expected loss ratio
 
n/a

 
n/a

 
33.1
%
 
 
 
 
 
 
 
Discount rate
 
n/a

 
n/a

 
1.7
%
 
 
Assumed and ceded (re)insurance contracts
12,997

 
Internal valuation model
 
Expected loss ratio
 
n/a

 
n/a

 
0.0
%
 
 
Total other assets and (liabilities)
4,731

 
 
 
 
 
 
 
 
 
 
 
 
Total other assets and (liabilities) measured at fair value on a recurring basis using Level 3 inputs
$
79,365

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
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, 2019
$
54,545

 
$
(8,359
)
 
$
46,186

 
 
Total realized and unrealized gains (losses)
 
 
 
 
 
 
 
Included in other income
2,126

 
(2,347
)
 
(221
)
 
 
Total foreign exchange gains
5

 
—

 
5

 
 
Purchases
17,958

 
(4,553
)
 
13,405

 
 
Settlements
—

 
20

 
20

 
 
Amounts acquired (1)
—

 
19,970

 
19,970

 
 
Balance - December 31, 2019
$
74,634

 
$
4,731

 
$
79,365

 
 
 
 
 
 
 
 
 
(1)
Represents the fair value of the other assets acquired from TMR, measured at fair value on a recurring basis using Level 3 inputs at March 22, 2019. Refer to “Note 3. Acquisition of Tokio Millennium Re” for additional information related to the acquisition of TMR.
 
 
 
 
 
 
 
 
 
  
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

 
 
 
 
 
 
 
 
 
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, 2019
$
54,545

 
$
(8,359
)
 
$
46,186

 
 
Total realized and unrealized gains (losses)
 
 
 
 
 
 
 
Included in other income
2,126

 
(2,347
)
 
(221
)
 
 
Total foreign exchange gains
5

 
—

 
5

 
 
Purchases
17,958

 
(4,553
)
 
13,405

 
 
Settlements
—

 
20

 
20

 
 
Amounts acquired (1)
—

 
19,970

 
19,970

 
 
Balance - December 31, 2019
$
74,634

 
$
4,731

 
$
79,365

 
 
 
 
 
 
 
 
 
(1)
Represents the fair value of the other assets acquired from TMR, measured at fair value on a recurring basis using Level 3 inputs at March 22, 2019. Refer to “Note 3. Acquisition of Tokio Millennium Re” for additional information related to the acquisition of TMR.
 
 
 
 
 
 
 
 
 
  
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

 
 
 
 
 
 
 
 
 
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:
 
 
 
 
 
 
 
 
2019
 
2018
 
 
Other investments
$
1,087,377

 
$
784,933

 
 
Other assets
$
32,944

 
$
4,968

 
 
Other liabilities
$
28,213

 
$
13,327

 
 
 
 
 
 
 
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, 2019
Fair Value
 
Unfunded
Commitments
 
Redemption Frequency
 
Redemption
Notice Period (Minimum Days)
 
Redemption
Notice Period (Maximum Days)
 
 
Private equity investments
$
196,413

 
$
351,028

 
See below
 
See below
 
See below
 
 
Senior secured bank loan funds
22,598

 
8,702

 
See below
 
See below
 
See below
 
 
Hedge funds
12,091

 
—

 
See below
 
See below
 
See below
 
 
Total other investments measured using net asset valuations
$
231,102

 
$
359,730