Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2015

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, 2015	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	$	1,984,841		$	1,984,841	$	—		$	—
Agencies	131,524			—		131,524			—
Municipal	675,349			—		675,349			—
Non-U.S. government (Sovereign debt)	393,320			—		393,320			—
Non-U.S. government-backed corporate	172,548			—		172,548			—
Corporate	2,141,859			—		2,134,264			7,595
Agency mortgage-backed	497,092			—		497,092			—
Non-agency mortgage-backed	268,389			—		268,389			—
Commercial mortgage-backed	552,617			—		552,617			—
Asset-backed	107,668			—		107,668			—
Total fixed maturity investments	6,925,207			1,984,841		4,932,771			7,595
Short term investments	998,906			—		998,906			—
Equity investments trading	462,198			462,198		—			—
Other investments
Private equity partnerships	226,000			—		—			226,000
Catastrophe bonds	233,223			—		233,223			—
Senior secured bank loan fund	22,345			—		—			22,345
Hedge funds	2,390			—		—			2,390
Total other investments	483,958			—		233,223			250,735
Other assets and (liabilities)
Assumed and ceded (re)insurance contracts	76,952			—		—			76,952
Derivatives (1)	(3,357		)	576		(3,930		)	(3		)
Other	(8,523		)	—		(8,523		)	—
Total other assets and (liabilities)	65,072			576		(12,453		)	76,949
	$	8,935,341		$	2,447,615	$	6,152,447		$	335,279

(1) See “Note 13. Derivative Instruments” for additional information related to the fair value by type of contract, of derivatives entered into by the Company.




At December 31, 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	$	1,671,471		$	1,671,471		$	—		$	—
Agencies	96,208			—			96,208			—
Non-U.S. government (Sovereign debt)	280,651			—			280,651			—
Non-U.S. government-backed corporate	146,467			—			146,467			—
Corporate	1,610,442			—			1,594,782			15,660
Agency mortgage-backed	316,620			—			316,620			—
Non-agency mortgage-backed	253,050			—			253,050			—
Commercial mortgage-backed	381,051			—			381,051			—
Asset-backed	27,610			—			27,610			—
Total fixed maturity investments	4,783,570			1,671,471			3,096,439			15,660
Short term investments	1,013,222			—			1,013,222			—
Equity investments trading	322,098			322,098			—			—
Other investments
Private equity partnerships	281,932			—			—			281,932
Catastrophe bonds	200,329			—			200,329			—
Senior secured bank loan funds	19,316			—			—			19,316
Hedge funds	2,570			—			—			2,570
Total other investments	504,147			—			200,329			303,818
Other assets and (liabilities)
Assumed and ceded (re)insurance contracts	(8,744		)	—			—			(8,744		)
Derivatives (1)	6,345			(569		)	7,104			(190		)
Other	(11,509		)	—			(11,509		)	—
Total other assets and (liabilities)	(13,908		)	(569		)	(4,405		)	(8,934		)
	$	6,609,129		$	1,993,000		$	4,305,585		$	310,544

(1) See “Note 13. 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, 2015	Fair Value (Level 3)			Valuation Technique	Unobservable (U) and Observable (O) Inputs	Low			High			Weighted Average or Actual
Fixed maturity investments
Corporate	$	7,595		Discounted cash flow (“DCF”)	Credit spread (U)	n/a			n/a			4.3		%
					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			6.5		%
Total fixed maturity investments	7,595
Other investments
Private equity partnerships	226,000			Net asset valuation	Estimated performance (U)	(25.1		)%	12.0		%	(5.3		)%
Senior secured bank loan fund	22,345			Net asset valuation	Estimated performance (U)	n/a			n/a			0.1		%
Hedge funds	2,390			Net asset valuation	Estimated performance (U)	0.0		%	0.0		%	0.0		%
Total other investments	250,735
Other assets and (liabilities)
Assumed and ceded (re)insurance contracts	83,517			Internal valuation model	Estimated performance (U)	n/a			n/a			3.0		%
Assumed and ceded (re)insurance contracts	(1,179		)	Internal valuation model	Bond price (U)	$	93.91		$	99.91		$	97.20
					Liquidity discount (U)	n/a			n/a			1.3		%
Assumed and ceded (re)insurance contracts	(5,386		)	Internal valuation model	Net undiscounted cash flows (U)	n/a			n/a			$	(9,727	)
					Expected loss ratio (U)	n/a			n/a			23.0		%
					Net acquisition expense ratio (O)	n/a			n/a			15.0		%
					Contract period (O)	0.5 years			3.0 years			2.3 years
					Discount rate (U)	n/a			n/a			0.9		%
Total assumed and ceded (re)insurance contracts	76,952
Weather contract	(3		)	Internal valuation model	See below	n/a			n/a			See below
Total other assets and (liabilities)	76,949
	$	335,279

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, 2015	$	7,660		$	275,695		$	75,687		$	359,042
Total unrealized (losses) gains
Included in net investment income	(65		)	(17,610		)	4			(17,671		)
Included in other income (loss)	—			—			(78		)	(78		)
Total realized gains
Included in other income (loss)	—			—			1,827			1,827
Total foreign exchange gains (losses)	—			33			7			40
Purchases	—			4,853			(498		)	4,355
Settlements	—			(12,236		)	—			(12,236		)
Balance - September 30, 2015	$	7,595		$	250,735		$	76,949		$	335,279
Change in unrealized gains for the period included in earnings for assets held at the end of the period included in net investment income	$	(65	)	$	(17,610	)	$	4		$	(17,671	)
Change in unrealized gains for the period included in earnings for assets held at the end of the period included in other income (loss)	$	—		$	—		$	(78	)	$	(78	)



	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
	Fixed maturity investments trading			Other investments			Other assets and (liabilities)			Total
Balance - January 1, 2015	$	15,660		$	303,818		$	(8,934	)	$	310,544
Total unrealized (losses) gains
Included in net investment income	(565		)	(12,702		)	180			(13,087		)
Included in other income (loss)	—			—			(426		)	(426		)
Total realized gains
Included in other income (loss)	—			—			4,655			4,655
Total foreign exchange losses	—			(1,811		)	7			(1,804		)
Purchases	—			15,728			81,467			97,195
Settlements	(7,500		)	(54,298		)	—			(61,798		)
Balance - September 30, 2015	$	7,595		$	250,735		$	76,949		$	335,279
Change in unrealized gains for the period included in earnings for assets held at the end of the period included in net investment income	$	(383	)	$	(12,702	)	$	180		$	(12,905	)
Change in unrealized gains for the period included in earnings for assets held at the end of the period included in other income (loss)	$	—		$	—		$	(426	)	$	(426	)




	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 (losses) gains
Included in net investment income	(5,596		)	(8,054		)	9			(13,641		)
Included in other income (loss)	—			—			(1,956		)	(1,956		)
Total realized gains
Included in other income (loss)	—			—			225			225
Total foreign exchange (losses) 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 income (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
Included in net investment income	13,000			1,401			1,404			15,805
Included in other income (loss)	—			—			264			264
Total realized gains
Included in other income (loss)	—			—			225			225
Total foreign exchange losses	—			(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 income (loss)	$	—		$	—		$	264		$	264

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, 2015		December 31, 2014
Other investments	$	483,958	$	504,147
Other assets	$	87,839	$	5,664
Other liabilities	$	10,887	$	14,408

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, 2015

Fair Value

Unfunded
Commitments

Redemption Frequency

Redemption
Notice Period (Minimum Days)

Redemption
Notice Period (Maximum Days)

Private equity partnerships

226,000

178,496

See below

Senior secured bank loan fund

22,345

3,182

See below

Hedge funds

2,390

—

See below

Total other investments measured using net asset valuations

250,735

181,678

- 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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