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Fair Value Measurements (Tables)

6 Months Ended

Jun. 30, 2014

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 June 30, 2014	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	$	1,706,929			$	1,706,929			$	—			$	—
	Agencies	121,650				—				121,650				—
	Non-U.S. government (Sovereign debt)	271,495				—				271,495				—
	Non-U.S. government-backed corporate	163,911				—				163,911				—
	Corporate	1,580,038				—				1,533,862				46,176
	Agency mortgage-backed	326,304				—				326,304				—
	Non-agency mortgage-backed	265,340				—				265,340				—
	Commercial mortgage-backed	400,288				—				400,288				—
	Asset-backed	34,873				—				34,873				—
	Total fixed maturity investments	4,870,828				1,706,929				3,117,723				46,176
	Short term investments	957,698				—				957,698				—
	Equity investments trading	254,408				254,408				—				—
	Other investments
	Private equity partnerships	314,983				—				—				314,983
	Catastrophe bonds	179,465				—				179,465				—
	Senior secured bank loan funds	15,976				—				—				15,976
	Hedge funds	3,190				—				—				3,190
	Total other investments	513,614				—				179,465				334,149
	Other assets and (liabilities)
	Derivatives (1)	6,491				(340		)		5,760				1,071
	Other	(5,214		)		—				(5,214		)		—
	Total other assets and (liabilities)	1,277				(340		)		546				1,071
		$	6,597,825			$	1,960,997			$	4,255,432			$	381,396

(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.

	December 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	$	1,352,413			$	1,352,413			$	—			$	—
	Agencies	186,050				—				186,050				—
	Non-U.S. government (Sovereign debt)	334,580				—				334,580				—
	Non-U.S. government-backed corporate	237,479				—				237,479				—
	Corporate	1,803,415				—				1,775,835				27,580
	Agency mortgage-backed	341,908				—				341,908				—
	Non-agency mortgage-backed	257,938				—				257,938				—
	Commercial mortgage-backed	314,236				—				314,236				—
	Asset-backed	15,258				—				15,258				—
	Total fixed maturity investments	4,843,277				1,352,413				3,463,284				27,580
	Short term investments	1,044,779				—				1,044,779				—
	Equity investments trading	254,776				254,776				—				—
	Other investments
	Private equity partnerships	322,391				—				—				322,391
	Catastrophe bonds	229,016				—				229,016				—
	Senior secured bank loan funds	18,048				—				—				18,048
	Hedge funds	3,809				—				—				3,809
	Total other investments	573,264				—				229,016				344,248
	Other assets and (liabilities)
	Derivatives (1)	4,758				823				6,425				(2,490		)
	Other	(12,991		)		—				(12,991		)		—
	Total other assets and (liabilities)	(8,233		)		823				(6,566		)		(2,490		)
		$	6,707,863			$	1,608,012			$	4,730,513			$	369,338

(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, 2014

Fair Value (Level 3)

Valuation Technique

Unobservable (U) and Observable (O) Inputs

Low

High

Weighted Average or Actual

Fixed maturity investments

Corporate

$

15,938

Discounted cash flow (“DCF”)

Credit spread (U)

n/a

n/a

1.1

%

Liquidity discount (U)

n/a

n/a

1.0

%

Risk-free rate (O)

n/a

n/a

0.3

%

Dividend rate (O)

n/a

n/a

6.2

%

Corporate

30,238

Internal valuation model

Private transaction (U)

n/a

n/a

See below

Total fixed maturity investments

46,176

Other investments

Private equity partnerships

314,983

Net asset valuation

Estimated performance (U)

(3.0

)%

18.9

%

4.0

%

Senior secured bank loan funds

15,976

Net asset valuation

Estimated performance (U)

n/a

n/a

0.7

%

Hedge funds

3,190

Net asset valuation

Estimated performance (U)

0.0

%

0.0

%

0.0

%

Total other investments

334,149

Other assets and (liabilities)

Weather contract

(1,149

)

Internal valuation model

See below

n/a

n/a

See below

Call rights

2,220

Internal valuation model

See below

n/a

n/a

See below

Total other assets and (liabilities)

1,071

$

381,396

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 - April 1, 2014	$	37,138			$	342,778			$	(1,307	)		$	378,609
	Total unrealized gains (losses)
	Included in net investment income	9,038				1,579				179				10,796
	Included in other loss	—				—				2,220				2,220
	Total foreign exchange gains	—				(205		)		(21		)		(226		)
	Purchases	—				10,391				—				10,391
	Settlements	—				(20,394		)		—				(20,394		)
	Balance - June 30, 2014	$	46,176			$	334,149			$	1,071			$	381,396
	Change in unrealized gains for the period included in earnings for assets held at the end of the period included in net investment income	$	9,038			$	1,579			$	179			$	10,796
	Change in unrealized gains for the period included in earnings for assets held at the end of the period included in other loss	$	—			$	—			$	2,220			$	2,220

		Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
		Fixed maturity investments trading				Other investments				Other assets and (liabilities)				Total
	Balance - January 1, 2014	$	27,580			$	344,248			$	(2,490	)		$	369,338
	Total unrealized gains (losses)
	Included in net investment income	18,596				9,455				1,395				29,446
	Included in other loss	—				—				2,220				2,220
	Total foreign exchange gains	—				(199		)		(54		)		(253		)
	Purchases	—				25,392				—				25,392
	Settlements	—				(44,747		)		—				(44,747		)
	Balance - June 30, 2014	$	46,176			$	334,149			$	1,071			$	381,396
	Change in unrealized gains for the period included in earnings for assets held at the end of the period included in net investment income	$	18,596			$	9,455			$	1,395			$	29,446
	Change in unrealized gains for the period included in earnings for assets held at the end of the period included in other loss	$	—			$	—			$	2,220			$	2,220

		Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
		Fixed maturity investments trading				Other investments				Other assets  and (liabilities)				Total
	Balance - April 1, 2013	$	28,067			$	402,206			$	1,301			$	431,574
	Total unrealized gains (losses)
	Included in net investment income	114				(2,373		)		—				(2,259		)
	Total realized losses
	Included in other income (loss)	—				—				(676		)		(676		)
	Total foreign exchange gains	—				364				—				364
	Purchases	—				18,411				—				18,411
	Sales	—				424				—				424
	Settlements	(2,500		)		(25,328		)		—				(27,828		)
	Balance - June 30, 2013	$	25,681			$	393,704			$	625			$	420,010
	Change in unrealized gains for the period included in earnings for assets held at the end of the period included in net investment income	$	114			$	(2,373	)		$	—			$	(2,259	)

		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			$	21,513			$	430,372
	Total unrealized gains (losses)
	Included in net investment income	389				10,643				—				11,032
	Total realized losses
	Included in other income (loss)	—				—				(2,646		)		(2,646		)
	Total foreign exchange gains	—				(417		)		—				(417		)
	Purchases	—				29,196				—				29,196
	Settlements	(2,500		)		(45,027		)		—				(47,527		)
	Reclassified from other assets to other investments	—				18,242				(18,242		)		—
	Balance - June 30, 2013	$	25,681			$	393,704			$	625			$	420,010
	Change in unrealized gains for the period included in earnings for assets held at the end of the period included in net investment income	$	389			$	10,643			$	—			$	11,032

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, 2014				December 31, 2013
	Other investments	$	513,614			$	573,264

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, 2014

Fair Value

Unfunded Commitments

Redemption Frequency

Redemption Notice Period (Minimum Days)

Redemption Notice Period (Maximum Days)

Private equity partnerships

$

314,983

$

84,529

See below

See below

See below

Senior secured bank loan funds

15,976

9,272

See below

See below

See below

Hedge funds

3,190

—

See below

See below

See below

Total other investments measured using net asset valuations

$

334,149

$

93,801

X

- 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.

+ References

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-Publisher FASB

-Name Accounting Standards Codification

-Topic 820

-SubTopic 10

-Section 50

-Paragraph 3

-URI http://asc.fasb.org/extlink&oid=25499696&loc=d3e19279-110258



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Tabular disclosure of quantitative information about the inputs used in the fair value measurement of assets. This disclosure may include, but is not limited to, the fair value of the asset, valuation technique used to measure fair value, the inputs used to measure fair value, the ranges of the inputs, and the weighted averages of the inputs.

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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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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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Tabular disclosure of assets and liabilities, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, that are measured at fair value on a recurring basis. The disclosures contemplated herein include the fair value measurements at the reporting date by 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 (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3).

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