Fair Value Measurements (Tables)

6 Months Ended

Jun. 30, 2012

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 sheet:




At June 30, 2012	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	$	1,126,759	$	1,126,759		$	—	$	—
Agencies	436,691		—			436,691		—
Non-U.S. government (Sovereign debt)	177,231		—			177,231		—
FDIC guaranteed corporate	29,386		—			29,386		—
Non-U.S. government-backed corporate	393,875		—			393,875		—
Corporate	1,664,722		—			1,636,947		27,775
Agency mortgage-backed	592,355		—			592,355		—
Non-agency mortgage-backed	153,674		—			153,674		—
Commercial mortgage-backed	470,167		—			470,167		—
Asset-backed	12,197		—			12,197		—
Total fixed maturity investments	5,057,057		1,126,759			3,902,523		27,775
Short term investments	654,912		—			654,912		—
Equity investments trading	55,381		55,381			—		—
Other investments
Private equity partnerships	360,268		—			—		360,268
Senior secured bank loan funds	269,317		—			246,593		22,724
Catastrophe bonds	106,470		—			106,470		—
Hedge funds	6,243		—			—		6,243
Miscellaneous other investments	1,270		—			—		1,270
Total other investments	743,568		—			353,063		390,505
Other assets and (liabilities)
Assumed and ceded (re)insurance contracts	9,689		—			—		9,689
Derivatives (1)	14,752		2,011			3,660		9,081
Other	10,811		(4,604		)	—		15,415
Total other assets and (liabilities)	35,252		(2,593		)	3,660		34,185
	$	6,546,170	$	1,179,547		$	4,914,158	$	452,465

(1) See "Note 12. Derivative Instruments" for additional information related to the fair value by type of contract, of derivatives entered into by the Company.




At December 31, 2011	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	$	885,152	$	885,152		$	—		$	—
Agencies	158,561		—			158,561			—
Non-U.S. government (Sovereign debt)	227,912		—			227,912			—
FDIC guaranteed corporate	423,630		—			423,630			—
Non-U.S. government-backed corporate	641,082		—			641,082			—
Corporate	1,206,904		—			1,179,143			27,761
Agency mortgage-backed	441,749		—			441,749			—
Non-agency mortgage-backed	104,771		—			104,771			—
Commercial mortgage-backed	325,729		—			325,729			—
Asset-backed	18,027		—			18,027			—
Total fixed maturity investments	4,433,517		885,152			3,520,604			27,761
Short term investments	905,477		—			905,477			—
Equity investments trading	50,560		50,560			—			—
Other investments
Private equity partnerships	367,909		—			—			367,909
Senior secured bank loan funds	257,870		—			237,815			20,055
Catastrophe bonds	70,999		—			70,999			—
Non-U.S. fixed income funds	28,862		—			28,862			—
Hedge funds	21,344		—			14,782			6,562
Miscellaneous other investments	2,000		—			—			2,000
Total other investments	748,984		—			352,458			396,526
Other assets and (liabilities)
Assumed and ceded (re)insurance contracts	2,115		—			—			2,115
Derivatives (1)	3,312		707			(6,293		)	8,898
Other	10,644		(6,869		)	—			17,513
Total other assets and (liabilities)	16,071		(6,162		)	(6,293		)	28,526
	$	6,154,609	$	929,550		$	4,772,246		$	452,813

(1) See "Note 12. 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 June 30, 2012	Fair Value (Level 3)		Valuation Technique	Unobservable (U) and Observable (O) Inputs	Low			High			Weighted Average or Actual
Fixed maturity investments
Corporate	$	17,521	Discounted cash flow ("DCF")	Credit spread (U)	n/a			n/a			4.6	%
				Illiquidity premium (U)	n/a			n/a			1.0	%
				Risk-free rate (O)	n/a			n/a			0.2	%
				Dividend rate (O)	n/a			n/a			5.9	%
	10,254		Internal valuation model	Private transaction (U)	n/a			n/a			See below
Total fixed maturity investments	27,775
Other investments
Private equity partnerships	360,268		Net asset valuation	Estimated performance (U)	(19.7		)%	12.6		%	(1.4	)%
Senior secured bank loan funds	22,724		Net asset valuation	Estimated performance (U)	n/a			n/a			0.4	%
Hedge funds	6,243		Net asset valuation	Estimated performance (U)	(0.4		)%	3.0		%	1.9	%
Miscellaneous other investments	1,270		DCF	Illiquidity premium (U)	n/a			n/a			1.0	%
				Risk-free rate (O)	n/a			n/a			0.5	%
				Credit spread (U)	n/a			n/a			7.4	%
Total other investments	390,505
Other assets and (liabilities)
Assumed and ceded (re)insurance contracts	9,689		Internal valuation model	Net premiums written (O)	—			$12.3 million			See below
				Contract period (O)	183 days			365 days			See below
				Net reserve for claims and claim expenses (U)	—			—			See below
Weather and energy related derivatives	9,081		Spread option; Quanto; Black Scholes; Simulation	Correlation (U)	0			1			See below
				Volatility (U)	9.4		%	525.0		%	See below
				Commodity curve (U)	$	2.62		$	200.00		See below
				Weather curve (U)	19			5,000			See below
				Counterparty default risk (U)	0.0		%	22.5		%	See below
Other	14,165		Net asset valuation	Estimated performance (U)	n/a			n/a			See below
	1,250		Internal valuation model	Private transaction (U)	n/a			n/a			See below
Total other assets and (liabilities)	34,185
	$	452,465

Reconciliation 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 investments			Other assets and (liabilities)			Total
Balance – April 1, 2012	$	27,838		$	418,537		$	48,145		$	494,520
Total unrealized losses
Included in net investment income	(63		)	(13,013		)	—			(13,076		)
Included in other income	—			—			(15,576		)	(15,576		)
Total realized gains
Included in net investment income	—			—			—			—
Included in other income	—			—			22,076			22,076
Total foreign exchange (losses) gains	—			(1,394		)	371			(1,023		)
Purchases	—			5,956			40,878			46,834
Sales	—			—			(91,655		)	(91,655		)
Settlements	—			(19,581		)	29,946			10,365
Net transfers into Level 3	—			—			—			—
Balance – June 30, 2012	$	27,775		$	390,505		$	34,185		$	452,465
Change in unrealized gains (losses) for the period included in earnings for assets held at the end of the period included in net investment income	$	(63	)	$	(13,013	)	$	—		$	(13,076	)
Change in unrealized gains (losses) for the period included in earnings for assets held at the end of the period included in other income (loss)	$	—		$	—		$	8,019		$	8,019




	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
	Fixed maturity investments, trading		Other investments			Other assets and (liabilities)			Total
Balance – January 1, 2012	$	27,761	$	396,526		$	28,526		$	452,813
Total unrealized gains (losses)
Included in net investment income	14		16,094			—			16,108
Included in other loss	—		—			2,987			2,987
Total realized gains
Included in net investment income	—		—			—			—
Included in other loss	—		—			(33,232		)	(33,232		)
Total foreign exchange losses	—		(664		)	(6		)	(670		)
Purchases	—		18,645			50,159			68,804
Sales	—		—			(105,086		)	(105,086		)
Settlements	—		(40,096		)	90,837			50,741
Net transfers into Level 3	—		—			—			—
Balance – June 30, 2012	$	27,775	$	390,505		$	34,185		$	452,465
Change in unrealized gains (losses) for the period included in earnings for assets held at the end of the period included in net investment income	$	14	$	16,094		$	—		$	16,108
Change in unrealized gains (losses) for the period included in earnings for assets held at the end of the period included in other income (loss)	$	—	$	—		$	9,678		$	9,678




	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
	Fixed maturity investments trading			Other investments			Other assets and (liabilities)			Total
Balance – April 1, 2011	$	21,826		$	381,815		$	68,380		$	472,021
Total unrealized (losses) gains
Included in net investment income	(562		)	6,135			—			5,573
Included in other loss	—			—			91			91
Total realized gains
Included in net investment income	—			—			—			—
Included in other loss	—			—			3,307			3,307
Total foreign exchange losses	—			553			(91		)	462
Purchases	—			11,219			8,984			20,203
Sales	—			—			(6,864		)	(6,864		)
Settlements	—			(18,599		)	(815		)	(19,414		)
Net transfers into Level 3	—			—			—			—
Balance – June 30, 2011	$	21,264		$	381,123		$	72,992		$	475,379
Change in unrealized gains (losses) for the period included in earnings for assets held at the end of the period included in net investment income	$	(562	)	$	6,135		$	—		$	5,573
Change in unrealized gains (losses) for the period included in earnings for assets held at the end of the period included in other income (loss)	$	—		$	—		$	4,195		$	4,195




	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
	Fixed maturity investments trading			Other investments			Other assets and (liabilities)			Total
Balance – January 1, 2011	$	21,785		$	362,102		$	16,499		$	400,386
Total unrealized (losses) gains
Included in net investment income	(521		)	29,892			—			29,371
Included in other income	—			—			41,599			41,599
Total realized gains
Included in net investment income	—			—			—			—
Included in other income	—			—			12,822			12,822
Total foreign exchange losses	—			1,922			(142		)	1,780
Purchases	—			28,684			10,615			39,299
Sales	—			—			(11,024		)	(11,024		)
Settlements	—			(41,477		)	2,623			(38,854		)
Net transfers into Level 3	—			—			—			—
Balance – June 30, 2011	$	21,264		$	381,123		$	72,992		$	475,379
Change in unrealized gains (losses) for the period included in earnings for assets held at the end of the period included in net investment income	$	(521	)	$	29,892		$	—		$	29,371
Change in unrealized gains (losses) for the period included in earnings for assets held at the end of the period included in other income (loss)	$	—		$	—		$	48,598		$	48,598

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:




	June 30, 2012		December 31, 2011
Other investments	$	743,568	$	748,984
Other assets	$	25,104	$	19,628

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:

At June 30, 2012

Fair Value

Unfunded
Commitments

Redemption Frequency

Redemption
Notice Period (Minimum Days)

Redemption
Notice Period (Maximum Days)

Private equity partnerships

360,268

99,125

See below

Senior secured bank loan funds

269,317

2,901

See below

Hedge funds

6,243

—

See below

Total other investments measured using net asset valuations

635,828

102,026

- Definition

Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets) and gains or losses recognized in other comprehensive income, and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issuances, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs), by class of asset.

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- Definition

Tabular disclosure of the fair value of investees that calculate net asset value per share (including by unit, membership interest, or other equity (ownership interest) unit measure) (alternative investments), whether measured at fair value on a recurring or nonrecurring basis, by major category of assets and liabilities (as defined), including, for example, (i) fair value measurements at the reporting date, (ii) the level within the fair value hierarchy in which the fair value measurements fall, (iii) a reconciliation of beginning and ending balances for those alternative investments that are measured at fair value using unobservable inputs (Level 3 - fair value hierarchy fair value measurement inputs), (iv) the inputs and valuation techniques used to measure fair value, (v) a discussion of changes to valuation techniques and inputs, if any, during the period, (vi) a description of the nature and risk associated with the alternative investments, and (vii) a discussion of the probability that any of the alternative investments are to be sold.

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- Definition

Tabular disclosure of the fair value measurement of assets and liabilities which includes [financial] instruments measured at fair value that are classified in stockholders' equity. Such assets and liabilities may be measured on a recurring or nonrecurring basis. The disclosures which may be required or desired include: (1) for assets and liabilities measured on a recurring basis, disclosure may include: (a) the fair value measurements at the reporting date; (b) the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets or liabilities (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3); (c) for fair value measurements using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (i) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets), and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (ii) purchases, sales, issuances, and settlements (net); (iii) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs); (d) the amount of the total gains or losses for the period in subparagraph (c) (i) above included in earnings (or changes in net assets) that are attributable to the change in unrealized gains or losses relating to those assets and liabilities still held at the reporting date and a description of where those unrealized gains or losses are reported in the statement of income (or activities); (e) the valuation technique(s) used to measure fair value and a discussion of changes in valuation techniques, if any, during the period and (2) for assets and liabilities that are measured at fair value on a nonrecurring basis (for example, impaired assets) disclosure may include, in addition to (a) above: (a) the reasons for the fair value measurements recorded; (b) the same as (b) above; (c) for fair value measurements using significant unobservable inputs (Level 3), a description of the inputs and the information used to develop the inputs; and (d) the valuation technique(s) used to measure fair value and a discussion of changes, if any, in the valuation technique(s) used to measure similar assets and/or liabilities in prior periods. Where the quoted price in an active market for the identical liability is not available, the Level 1 input is the quoted price of an identical liability when traded as an asset.

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- 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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