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Fair Value Measurements (Tables)

9 Months Ended

Sep. 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 September 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	$	1,636,326			$	1,636,326			$	—			$	—
	Agencies	120,025				—				120,025				—
	Non-U.S. government (Sovereign debt)	282,326				—				282,326				—
	Non-U.S. government-backed corporate	141,159				—				141,159				—
	Corporate	1,572,168				—				1,556,232				15,936
	Agency mortgage-backed	325,138				—				325,138				—
	Non-agency mortgage-backed	264,455				—				264,455				—
	Commercial mortgage-backed	405,635				—				405,635				—
	Asset-backed	31,603				—				31,603				—
	Total fixed maturity investments	4,778,835				1,636,326				3,126,573				15,936
	Short term investments	1,031,143				—				1,031,143				—
	Equity investments trading	301,714				301,714				—				—
	Other investments
	Private equity partnerships	300,800				—				—				300,800
	Catastrophe bonds	179,246				—				179,246				—
	Senior secured bank loan fund	18,723				—				—				18,723
	Hedge funds	2,718				—				—				2,718
	Total other investments	501,487				—				179,246				322,241
	Other assets and (liabilities)
	Assumed and ceded (re)insurance contracts	(7,281		)		—				—				(7,281		)
	Derivatives (1)	(1,468		)		479				(1,957		)		10
	Other	(8,523		)		—				(8,523		)		—
	Total other assets and (liabilities)	(17,272		)		479				(10,480		)		(7,271		)
		$	6,595,907			$	1,938,519			$	4,326,482			$	330,906

(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 September 30, 2014	Fair Value (Level 3)				Valuation Technique		Unobservable (U) and Observable (O) Inputs		Low				High				Weighted Average or Actual
	Fixed maturity investments
	Corporate	$	15,936			Discounted cash flow (“DCF”)		Credit spread (U)		n/a				n/a				0.0		%
								Liquidity discount (U)		n/a				n/a				1.0		%
								Risk-free rate (O)		n/a				n/a				0.4		%
								Dividend rate (O)		n/a				n/a				6.2		%
	Total fixed maturity investments	15,936
	Other investments
	Private equity partnerships	300,800				Net asset valuation		Estimated performance (U)		(13.9		)%		8.3		%		(0.4		)%
	Senior secured bank loan fund	18,723				Net asset valuation		Estimated performance (U)		n/a				n/a				0.5		%
	Hedge funds	2,718				Net asset valuation		Estimated performance (U)		0.0		%		0.0		%		0.0		%
	Total other investments	322,241
	Other assets and (liabilities)
	Assumed and ceded (re)insurance contracts	(7,281		)		Internal valuation model		Net undiscounted cash flows (U)		$	140			$	6,284			$	3,784
								Contract period (O)		824				1,100				857
								Discount rate (U)		n/a				n/a				0.8		%
	Weather contract	(254		)		Internal valuation model		See below		n/a				n/a				See below
	Call rights	264				Internal valuation model		See below		n/a				n/a				See below
	Total other assets and (liabilities)	(7,271		)
		$	330,906

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 - July 1, 2014	$	46,176			$	334,149			$	1,071			$	381,396
	Total unrealized gains (losses)
	Included in net investment income	(5,596		)		(8,054		)		9				(13,641		)
	Included in other (loss) income	—				—				(1,956		)		(1,956		)
	Total realized losses
	Included in other (loss) income	—				—				225				225
	Total foreign exchange gains	—				(2,074		)		20				(2,054		)
	Purchases	—				12,425				(6,640		)		5,785
	Settlements	—				(14,205		)		—				(14,205		)
	Net transfers out of Level 3	(24,644		)		—				—				(24,644		)
	Balance - September 30, 2014	$	15,936			$	322,241			$	(7,271	)		$	330,906
	Change in unrealized gains for the period included in earnings for assets held at the end of the period included in net investment income	$	(2	)		$	(8,054	)		$	9			$	(8,047	)
	Change in unrealized gains for the period included in earnings for assets held at the end of the period included in other loss	$	—			$	—			$	(1,956	)		$	(1,956	)

		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	13,000				1,401				1,404				15,805
	Included in other (loss) income	—				—				264				264
	Total realized losses
	Included in other (loss) income	—				—				225				225
	Total foreign exchange gains	—				(2,273		)		(34		)		(2,307		)
	Purchases	—				37,817				(6,640		)		31,177
	Settlements	—				(58,952		)		—				(58,952		)
	Net transfers out of Level 3	(24,644		)		—				—				(24,644		)
	Balance - September 30, 2014	$	15,936			$	322,241			$	(7,271	)		$	330,906
	Change in unrealized gains for the period included in earnings for assets held at the end of the period included in net investment income	$	210			$	1,401			$	1,404			$	3,015
	Change in unrealized gains for the period included in earnings for assets held at the end of the period included in other loss	$	—			$	—			$	264			$	264

		Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
		Fixed maturity investments trading				Other investments				Other assets  and (liabilities)				Total
	Balance - July 1, 2013	$	25,681			$	393,704			$	625			$	420,010
	Total unrealized gains (losses)
	Included in net investment income	(311		)		20,480				—				20,169
	Included in other (loss) income	—				—				(625		)		(625		)
	Total realized losses
	Included in other (loss) income	—				—				281				281
	Total foreign exchange gains	—				1,218				—				1,218
	Purchases	—				6,056				(563		)		5,493
	Settlements	—				(22,829		)		—				(22,829		)
	Balance - September 30, 2013	$	25,370			$	398,629			$	(282	)		$	423,717
	Change in unrealized gains for the period included in earnings for assets held at the end of the period included in net investment income	$	(311	)		$	20,480			$	—			$	20,169
	Change in unrealized gains for the period included in earnings for assets held at the end of the period included in other income (loss)	$	—			$	—			$	(625	)		$	(625	)

		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	78				31,123				—				31,201
	Included in other income (loss)	—				—				(625		)		(625		)
	Total realized losses
	Included in other income (loss)	—				—				(2,365		)		(2,365		)
	Total foreign exchange gains	—				801				—				801
	Purchases	—				35,252				(563		)		34,689
	Settlements	(2,500		)		(67,856		)		—				(70,356		)
	Reclassified from other assets to other investments	—				18,242				(18,242		)		—
	Balance - September 30, 2013	$	25,370			$	398,629			$	(282	)		$	423,717
	Change in unrealized gains for the period included in earnings for assets held at the end of the period included in net investment income	$	78			$	29,913			$	—			$	29,991
	Change in unrealized gains for the period included in earnings for assets held at the end of the period included in other income (loss)	$	—			$	—			$	(625	)		$	(625	)

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:

		September 30, 2014				December 31, 2013
	Other investments	$	501,487			$	573,264
	Other liabilities	$	7,281			$	—

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 September 30, 2014

Fair Value

Unfunded Commitments

Redemption Frequency

Redemption Notice Period (Minimum Days)

Redemption Notice Period (Maximum Days)

Private equity partnerships

$

300,800

$

77,563

See below

See below

See below

Senior secured bank loan fund

18,723

6,666

See below

See below

See below

Hedge funds

2,718

—

See below

See below

See below

Total other investments measured using net asset valuations

$

322,241

$

84,229

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.

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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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