Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 2013

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 March 31, 2013	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	$	1,186,742		$	1,186,742	$	—		$	—
Agencies	285,969			—		285,969			—
Non-U.S. government (Sovereign debt)	199,561			—		199,561			—
Non-U.S. government-backed corporate	291,077			—		291,077			—
Corporate	1,603,571			—		1,575,504			28,067
Agency mortgage-backed	440,538			—		440,538			—
Non-agency mortgage-backed	240,217			—		240,217			—
Commercial mortgage-backed	297,101			—		297,101			—
Asset-backed	12,363			—		12,363			—
Total fixed maturity investments	4,557,139			1,186,742		3,342,330			28,067
Short term investments	997,889			—		997,889			—
Equity investments trading	555			555		—			—
Other investments
Private equity partnerships	345,666			—		—			345,666
Senior secured bank loan funds	204,114			—		175,577			28,537
Catastrophe bonds	75,019			—		75,019			—
Hedge funds	5,219			—		—			5,219
Miscellaneous other investments	22,784			—		—			22,784
Total other investments	652,802			—		250,596			402,206
Other assets and (liabilities)
Assumed and ceded (re)insurance contracts	676			—		—			676
Derivatives (1)	23,663			399		3,237			20,027
Other	(1,381		)	—		(2,006		)	625
Total other assets and (liabilities)	22,958			399		1,231			21,328
	$	6,231,343		$	1,187,696	$	4,592,046		$	451,601

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




December 31, 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	$	1,259,800	$	1,259,800		$	—		$	—
Agencies	315,154		—			315,154			—
Non-U.S. government (Sovereign debt)	133,198		—			133,198			—
Non-U.S. government-backed corporate	349,514		—			349,514			—
Corporate	1,615,207		—			1,587,415			27,792
Agency mortgage-backed	408,531		—			408,531			—
Non-agency mortgage-backed	248,339		—			248,339			—
Commercial mortgage-backed	406,166		—			406,166			—
Asset-backed	12,954		—			12,954			—
Total fixed maturity investments	4,748,863		1,259,800			3,461,271			27,792
Short term investments	821,163		—			821,163			—
Equity investments trading	58,186		58,186			—			—
Other investments
Private equity partnerships	344,669		—			—			344,669
Senior secured bank loan funds	202,929		—			172,334			30,595
Catastrophe bonds	91,310		—			91,310			—
Hedge funds	5,803		—			—			5,803
Total other investments	644,711		—			263,644			381,067
Other assets and (liabilities)
Assumed and ceded (re)insurance contracts	2,647		—			—			2,647
Derivatives (1)	19,123		(125		)	14,821			4,427
Other	7,315		—			(11,551		)	18,866
Total other assets and (liabilities)	29,085		(125		)	3,270			25,940
	$	6,302,008	$	1,317,861		$	4,549,348		$	434,799

(1) 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 March 31, 2013	Fair Value (Level 3)		Valuation Technique	Unobservable (U) and Observable (O) Inputs	Low			High			Weighted Average or Actual
Fixed maturity investments
Corporate	$	17,813	Discounted cash flow ("DCF")	Credit spread (U)	n/a			n/a			2.4	%
				Illiquidity premium (U)	n/a			n/a			1.0	%
				Risk-free rate (O)	n/a			n/a			0.1	%
				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	28,067
Other investments
Private equity partnerships	345,666		Net asset valuation	Estimated performance (U)	(12.0		)%	120.0		%	4.9	%
Senior secured bank loan funds	28,537		Net asset valuation	Estimated performance (U)	0.8		%	2.1		%	1.3	%
Hedge funds	5,219		Net asset valuation	Estimated performance (U)	0.0		%	0.0		%	0.0	%
Miscellaneous other investment	22,784		Net asset valuation	Estimated performance (U)	n/a			n/a			0.9	%
Total other investments	402,206
Other assets and (liabilities)
Assumed and ceded (re)insurance contracts	676		Internal valuation model	Net premiums written (O)	—			—			$6.5 million
				Contract period (O)	—			—			365 days
				Net reserve for claims and claim expenses (U)	—			—			See below
Weather and energy related derivatives	20,027		Spread option; Quanto; Black Scholes; Simulation	Correlation (U)	0			1			See below
				Volatility (U)	4.0		%	79.0		%	See below
				Commodity curve (U)	$	3.83		$	93.26		See below
				Weather curve (U)	7			5,427			See below
				Counterparty default risk (U)	0.0		%	22.5		%	See below
Other	625		Internal valuation model	Private transaction (U)	n/a			n/a			See below
Total other assets and (liabilities)	21,328
	$	451,601

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 investments			Other assets and (liabilities)			Total
Balance - January 1, 2013	$	27,792	$	381,067		$	25,940		$	434,799
Total unrealized gains (losses)
Included in net investment income	275		13,016			—			13,291
Included in other income (loss)	—		—			9,776			9,776
Total realized losses
Included in other income (loss)	—		—			6,108			6,108
Total foreign exchange gains	—		(781		)	(80		)	(861		)
Purchases	—		10,785			—			10,785
Sales	—		(424		)	—			(424		)
Settlements	—		(19,699		)	(2,174		)	(21,873		)
Reclassified from other assets to other investments	—		18,242			(18,242		)	—
Net transfers into Level 3	—		—			—			—
Balance - March 31, 2013	$	28,067	$	402,206		$	21,328		$	451,601
Change in unrealized gains for the period included in earnings for assets held at the end of the period included in net investment income	$	275	$	13,016		$	—		$	13,291
Change in unrealized gains for the period included in earnings for assets held at the end of the period included in other income (loss)	$	—	$	—		$	11,893		$	11,893




	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	77		29,107			—			29,184
Included in other income (loss)	—		—			18,563			18,563
Total realized gains
Included in other income (loss)	—		—			(55,308		)	(55,308		)
Total foreign exchange losses	—		730			(377		)	353
Purchases	—		12,689			9,281			21,970
Sales	—		—			(13,431		)	(13,431		)
Settlements	—		(20,515		)	60,891			40,376
Net transfers into Level 3	—		—			—			—
Balance - March 31, 2012	$	27,838	$	418,537		$	48,145		$	494,520
Change in unrealized gains for the period included in earnings for assets held at the end of the period included in net investment income	$	77	$	29,107		$	—		$	29,184
Change in unrealized gains for the period included in earnings for assets held at the end of the period included in other income (loss)	$	—	$	—		$	10,513		$	10,513

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:




	March 31, 2013		December 31, 2012
Other investments	$	652,802	$	644,711
Other assets	$	1,301	$	21,513

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 March 31, 2013

Fair Value

Unfunded
Commitments

Redemption Frequency

Redemption
Notice Period (Minimum Days)

Redemption
Notice Period (Maximum Days)

Private equity partnerships

345,666

84,958

See below

Senior secured bank loan funds

204,114

17,506

See below

Hedge funds

5,219

—

See below

Miscellaneous other investment

22,784

19,730

See below

Total other investments measured using net asset valuations

577,783

122,194

- 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 (loss), 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, issues, 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

The entire disclosure of the fair value measurement of assets and liabilities, which includes financial instruments measured at fair value that are classified in shareholders' equity, which may be measured on a recurring or nonrecurring basis.

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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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