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Fair Value (Tables)
 6 Months Ended
Jun. 30, 2020
Fair Value Disclosures [Abstract]  
Fair value hierarchy
The following table presents the Company’s financial assets and liabilities measured at fair value by level at June 30, 2020:
 
 
 
Estimated Fair Value Measurements Using:
 
Estimated
Fair
Value
 
Quoted Prices in
Active Markets
for Identical
Assets
(Level 1)
 
Significant
Other
Observable
Inputs
(Level 2)
 
Significant
Unobservable
Inputs
(Level 3)
Assets measured at fair value (1):
 

 
 

 
 

 
 

Available for sale securities:
 

 
 

 
 

 
 

Fixed maturities:
 

 
 

 
 

 
 

Corporate bonds
$
7,143,600

 
$
—

 
$
7,142,743

 
$
857

Mortgage backed securities
610,839

 
—

 
610,621

 
218

Municipal bonds
517,089

 
—

 
517,089

 
—

Commercial mortgage backed securities
395,682

 
—

 
395,682

 
—

U.S. government and government agencies
5,192,991

 
5,077,056

 
115,935

 
—

Non-U.S. government securities
2,171,955

 
—

 
2,171,955

 
—

Asset backed securities
1,633,481

 
—

 
1,630,249

 
3,232

Total
17,665,637

 
5,077,056

 
12,584,274

 
4,307

 
 
 
 
 
 
 
 
Short-term investments
2,277,866

 
2,250,377

 
27,489

 
—

 
 
 
 
 
 
 
 
Equity securities, at fair value
1,263,914

 
1,205,352

 
6,581

 
51,981

 
 
 
 
 
 
 
 
Derivative instruments (4)
96,909

 
—

 
96,909

 
—

 
 
 
 
 
 
 
 
Fair value option:
 
 
 
 
 
 
 
Corporate bonds
673,457

 
—

 
672,459

 
998

Non-U.S. government bonds
68,340

 
—

 
68,340

 
—

Mortgage backed securities
14,142

 
—

 
14,142

 
—

Municipal bonds
249

 
—

 
249

 
—

Commercial mortgage backed securities
1,131

 
—

 
1,131

 
—

Asset backed securities
165,890

 
—

 
165,890

 
—

U.S. government and government agencies
595

 
483

 
112

 
—

Short-term investments
384,382

 
370,286

 
14,096

 
—

Equity securities
90,096

 
28,507

 
142

 
61,447

Other investments
1,167,345

 
39,493

 
1,081,399

 
46,453

Other investments measured at net asset value (2)
955,145

 
 
 
 
 
 
Total
3,520,772

 
438,769

 
2,017,960

 
108,898

 
 
 
 
 
 
 
 
Total assets measured at fair value
$
24,825,098

 
$
8,971,554

 
$
14,733,213

 
$
165,186

 
 
 
 
 
 
 
 
Liabilities measured at fair value:
 

 
 

 
 

 
 

Contingent consideration liabilities
$
(1,250
)
 
$
—

 
$
—

 
$
(1,250
)
Securities sold but not yet purchased (3)
(29,289
)
 
—

 
(29,289
)
 
—

Derivative instruments (4)
(66,821
)
 
—

 
(66,821
)
 
—

Total liabilities measured at fair value
$
(97,360
)
 
$
—

 
$
(96,110
)
 
$
(1,250
)

(1)
In securities lending transactions, the Company receives collateral in excess of the fair value of the securities pledged. For purposes of this table, the Company has excluded the collateral received under securities lending, at fair value and included the securities pledged under securities lending, at fair value. See note 7, “—Securities Lending Agreements.”
(2)
In accordance with applicable accounting guidance, 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 sheets.
(3)
Represents the Company’s obligations to deliver securities that it did not own at the time of sale. Such amounts are included in “other liabilities” on the Company’s consolidated balance sheets.
(4)
See note 9.
The following table presents the Company’s financial assets and liabilities measured at fair value by level at December 31, 2019:
 
 
 
Estimated Fair Value Measurements Using:
 
Estimated
Fair
Value
 
Quoted Prices in
Active Markets
for Identical
Assets
(Level 1)
 
Significant
Other
Observable
Inputs
(Level 2)
 
Significant
Unobservable
Inputs
(Level 3)
Assets measured at fair value (1):
 
 
 
 
 
 
 
Available for sale securities:
 
 
 
 
 
 
 
Fixed maturities:
 
 
 
 
 
 
 
Corporate bonds
$
6,406,591

 
$
—

 
$
6,397,740

 
$
8,851

Mortgage backed securities
562,309

 
—

 
562,055

 
254

Municipal bonds
881,926

 
—

 
881,926

 
—

Commercial mortgage backed securities
733,108

 
—

 
733,108

 
—

U.S. government and government agencies
4,916,592

 
4,805,581

 
111,011

 
—

Non-U.S. government securities
2,078,757

 
—

 
2,078,757

 
—

Asset backed securities
1,683,753

 
—

 
1,678,791

 
4,962

Total
17,263,036

 
4,805,581

 
12,443,388

 
14,067

 
 
 
 
 
 
 
 
Short-term investments
956,546

 
904,804

 
51,742

 
—

 
 
 
 
 
 
 
 
Equity securities, at fair value
850,283

 
789,596

 
4,798

 
55,889

 
 
 
 
 
 
 
 
Derivative instruments (4)
48,946

 
—

 
48,946

 
—

 
 
 
 
 
 
 
 
Fair value option:
 
 
 
 
 
 
 
Corporate bonds
488,402

 
—

 
487,470

 
932

Non-U.S. government bonds
50,465

 
—

 
50,465

 
—

Mortgage backed securities
11,947

 
—

 
11,947

 
—

Municipal bonds
377

 
—

 
377

 
—

Commercial mortgage backed securities
1,134

 
—

 
1,134

 
—

Asset backed securities
200,163

 
—

 
200,163

 
—

U.S. government and government agencies
1,962

 
1,852

 
110

 
—

Short-term investments
377,014

 
333,320

 
43,694

 
—

Equity securities
102,697

 
43,962

 
641

 
58,094

Other investments
1,418,273

 
53,287

 
1,296,169

 
68,817

Other investments measured at net asset value (2)
1,011,043

 
 
 
 
 
 
Total
3,663,477

 
432,421

 
2,092,170

 
127,843

 
 
 
 
 
 
 
 
Total assets measured at fair value
$
22,782,288

 
$
6,932,402

 
$
14,641,044

 
$
197,799

 
 
 
 
 
 
 
 
Liabilities measured at fair value:
 
 
 
 
 
 
 
Contingent consideration liabilities
$
(7,998
)
 
$
—

 
$
—

 
$
(7,998
)
Securities sold but not yet purchased (3)
(66,257
)
 
—

 
(66,257
)
 
—

Derivative instruments (4)
(39,750
)
 
—

 
(39,750
)
 
—

Total liabilities measured at fair value
$
(114,005
)
 
$
—

 
$
(106,007
)
 
$
(7,998
)

(1)
In securities lending transactions, the Company receives collateral in excess of the fair value of the securities pledged. For purposes of this table, the Company has excluded the collateral received under securities lending, at fair value and included the securities pledged under securities lending, at fair value. See note 7, “—Securities Lending Agreements.”
(2)
In accordance with applicable accounting guidance, 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 sheets.
(3)
Represents the Company’s obligations to deliver securities that it did not own at the time of sale. Such amounts are included in “other liabilities” on the Company’s consolidated balance sheets.
(4)
See note 9.
Rollforward of Level 3 investments
The following table presents a reconciliation of the beginning and ending balances for all financial assets and liabilities measured at fair value on a recurring basis using Level 3 inputs:
 
Assets
Liabilities
s
Available For Sale
 
Fair Value Option
 
Fair Value
 
 
 
Structured Securities (1)
 
Corporate
Bonds
 
Corporate
Bonds
 
Other
Investments
 
Equity
Securities
 
Equity
Securities
 
Contingent Consideration Liabilities
Three Months Ended June 30, 2020
 
 
 

 
 
 
 
 
 
 
 

 
 
Balance at beginning of period
$
3,846

 
$
1,980

 
$
965

 
$
54,620

 
$
60,015

 
$
55,632

 
$
(7,967
)
Total gains or (losses) (realized/unrealized)
 
 
 
 
 
 
 
 
 
 


 
 
Included in earnings (2)
(64
)
 
—

 
—

 
(987
)
 
1,432

 
11,799

 
(18
)
Included in other comprehensive income
(287
)
 
(1,123
)
 
—

 
—

 
—

 
—

 
—

Purchases, issuances, sales and settlements
 
 
 
 
 
 
 
 
 
 


 
 
Purchases
—

 
—

 
33

 
3

 
—

 
—

 
—

Issuances
—

 
—

 
—

 
—

 
—

 
—

 
—

Sales
—

 
—

 
—

 
(7,183
)
 
—

 
(15,450
)
 
—

Settlements
(45
)
 
—

 
—

 
—

 
—

 
—

 
6,735

Transfers in and/or out of Level 3
—

 
—

 
—

 
—

 
—

 
—

 
—

Balance at end of period
$
3,450

 
$
857

 
$
998

 
$
46,453

 
$
61,447

 
$
51,981

 
$
(1,250
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Three Months Ended June 30, 2019
 
 
 

 
 
 
 
 
 
 
 

 
 
Balance at beginning of period
$
302

 
$
7,567

 
$
2,233

 
$
62,329

 
$
—

 
$
—

 
$
(68,121
)
Total gains or (losses) (realized/unrealized)
 
 
 
 
 
 
 
 
 
 


 
 
Included in earnings (2)
—

 
—

 
(49
)
 
(11,614
)
 
—

 
—

 
(423
)
Included in other comprehensive income
1

 
102

 
—

 
—

 
—

 
—

 
—

Purchases, issuances, sales and settlements
 
 
 
 
 
 
 
 
 
 


 
 
Purchases
—

 
429

 
—

 
—

 
—

 
—

 
—

Issuances
—

 
—

 
—

 
—

 
—

 
—

 
—

Sales
—

 
—

 
—

 
(74
)
 
—

 
—

 
—

Settlements
(13
)
 
(456
)
 
—

 
—

 
—

 
—

 
60,719

Transfers in and/or out of Level 3
—

 
—

 
23,919

 
44,632

 
56,145

 
51,212

 
—

Balance at end of period
$
290

 
$
7,642

 
$
26,103

 
$
95,273

 
$
56,145

 
$
51,212

 
$
(7,825
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Six Months Ended June 30, 2020
 
 
 

 
 
 
 
 
 
 
 

 
 
Balance at beginning of year
$
5,216

 
$
8,851

 
$
932

 
$
68,817

 
$
58,094

 
$
55,889

 
$
(7,998
)
Total gains or (losses) (realized/unrealized)
 
 
 
 
 
 
 
 
 
 


 
 
Included in earnings (2)
(55
)
 
7

 
—

 
(1,014
)
 
3,353

 
8,078

 
(72
)
Included in other comprehensive income
(309
)
 
(6,539
)
 
—

 
—

 
—

 
—

 
—

Purchases, issuances, sales and settlements
 
 
 
 
 
 
 
 
 
 


 
 
Purchases
—

 
—

 
66

 
24

 
—

 
3,464

 
—

Issuances
—

 
—

 
—

 
—

 
—

 
—

 
—

Sales
—

 
—

 
—

 
(24,358
)
 
—

 
(15,450
)
 
—

Settlements
(1,402
)
 
(1,462
)
 
—

 
—

 
—

 
—

 
6,820

Transfers in and/or out of Level 3
—

 
—

 
—

 
2,984

 
—

 
—

 
—

Balance at end of period
$
3,450

 
$
857

 
$
998

 
$
46,453

 
$
61,447

 
$
51,981

 
$
(1,250
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Six Months Ended June 30, 2019
 
 
 

 
 
 
 
 
 
 
 

 
 
Balance at beginning of year
$
313

 
$
8,141

 
$
5,758

 
$
62,705

 
$
—

 
$
—

 
$
(66,665
)
Total gains or (losses) (realized/unrealized)
 
 
 
 
 
 
 
 
 
 


 
 
Included in earnings (2)
1,757

 
—

 
(339
)
 
(11,316
)
 
—

 
—

 
(1,331
)
Included in other comprehensive income
5

 
(16
)
 
—

 
—

 
—

 
—

 
—

Purchases, issuances, sales and settlements
 
 
 
 
 
 
 
 
 
 


 
 
Purchases
—

 
429

 
—

 
—

 
—

 
—

 
—

Issuances
—

 
—

 
—

 
—

 
—

 
—

 
(548
)
Sales
(1,757
)
 
—

 
(3,235
)
 
(148
)
 
—

 
—

 
—

Settlements
(28
)
 
(912
)
 
—

 
(600
)
 
—

 
—

 
60,719

Transfers in and/or out of Level 3
—

 
—

 
23,919

 
44,632

 
56,145

 
51,212

 
—

Balance at end of period
$
290

 
$
7,642

 
$
26,103

 
$
95,273

 
$
56,145

 
$
51,212

 
$
(7,825
)

(1)
Includes asset backed securities, mortgage backed securities and commercial mortgage backed securities.
(2)
Gains or losses were included in net realized gains (losses).