Fair Value Measurements (Tables)

12 Months Ended

Dec. 31, 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 December 31, 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	$	2,064,944		$	2,064,944		$	—		$	—
Agencies	137,976			—			137,976			—
Municipal	583,282			—			583,282			—
Non-U.S. government (Sovereign debt)	334,981			—			334,981			—
Non-U.S. government-backed corporate	138,994			—			138,994			—
Corporate	2,055,323			—			2,047,705			7,618
Agency mortgage-backed	504,518			—			504,518			—
Non-agency mortgage-backed	270,763			—			270,763			—
Commercial mortgage-backed	561,496			—			561,496			—
Asset-backed	130,541			—			130,541			—
Total fixed maturity investments	6,782,818			2,064,944			4,710,256			7,618
Short term investments	1,208,401			—			1,208,401			—
Equity investments trading	393,877			393,877			—			—
Other investments
Catastrophe bonds	241,253			—			241,253			—
Private equity partnerships	214,848			—			—			214,848
Senior secured bank loan fund	23,231			—			—			23,231
Hedge funds	2,289			—			—			2,289
Total other investments	481,621			—			241,253			240,368
Other assets and (liabilities)
Assumed and ceded (re)insurance contracts (1)	(5,899		)	—			—			(5,899		)
Derivatives (2)	1,486			(1,234		)	2,720			—
Other	(12,320		)	—			(12,320		)	—
Total other assets and (liabilities)	(16,733		)	(1,234		)	(9,600		)	(5,899		)
	$	8,849,984		$	2,457,587		$	6,150,310		$	242,087


(1)	Included in assumed and ceded (re)insurance contracts at December 31, 2015 are $3.5 million and $9.4 million of other assets and other liabilities, respectively.


(2)	See “Note 20. 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 fund	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 (1)	(8,744		)	—			—			(8,744		)
Derivatives (2)	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)	Included in assumed and ceded (re)insurance contracts at December 31, 2014 are $5.7 million and $14.6 million of other assets and other liabilities, respectively.


(2)	See “Note 20. 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:




December 31, 2015	Fair Value (Level 3)			Valuation Technique	Unobservable (U) and Observable (O) Inputs	Low			High			Weighted Average or Actual
Fixed maturity investments
Corporate	$	7,618		Discounted cash flow	Credit spread (U)	n/a			n/a			2.9		%
					Liquidity discount (U)	n/a			n/a			1.0		%
					Risk-free rate (O)	n/a			n/a			0.5		%
					Dividend rate (O)	n/a			n/a			6.7		%
Total fixed maturity investments	7,618
Other investments
Private equity partnerships	214,848			Net asset valuation	Estimated performance (U)	(24.6		)%	39.0		%	0.5		%
Senior secured bank loan fund	23,231			Net asset valuation	Estimated performance (U)	n/a			n/a			0.9		%
Hedge funds	2,289			Net asset valuation	Estimated performance (U)	0.0		%	0.0		%	0.0		%
Total other investments	240,368
Other assets and (liabilities)
Assumed and ceded (re)insurance contracts	(1,270		)	Internal valuation model	Bond price (U)	$	93.24		$	99.86		$	96.63
					Liquidity discount (U)	n/a			n/a			1.3		%
Assumed and ceded (re)insurance contracts	(4,629		)	Internal valuation model	Net undiscounted cash flows (U)	n/a			n/a			$	(10,228	)
					Expected loss ratio (U)	n/a			n/a			18.0		%
					Net acquisition expense ratio (O)	n/a			n/a			17.0		%
					Contract period (O)	0.5 years			3.0 years			2.3 years
					Discount rate (U)	n/a			n/a			1.3		%
Total assumed and ceded (re)insurance contracts	(5,899		)
Total other assets and (liabilities)	(5,899		)
	$	242,087

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, 2014	$	27,580		$	344,248		$	(2,490	)	$	369,338
Total unrealized gains (losses)
Included in net investment income	12,724			1,045			1,455			15,224
Total realized (losses) gains
Included in other income (loss)	—			—			1,262			1,262
Total foreign exchange losses	—			(3,279		)	(21		)	(3,300		)
Purchases	—			43,130			(9,140		)	33,990
Settlements	—			(81,326		)	—			(81,326		)
Net transfers out of Level 3	(24,644		)	—			—			(24,644		)
Balance - December 31, 2014	$	15,660		$	303,818		$	(8,934	)	$	310,544
Change in unrealized gains for the period included in earnings for assets held at the end of the period included in net investment income	$	(66	)	$	1,045		$	1,455		$	2,434




	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	(542		)	(12,992		)	183			(13,351		)
Included in other income (loss)	—			—			(426		)	(426		)
Total realized gains
Included in other income (loss)	—			—			6,628			6,628
Total foreign exchange gains	—			(2,181		)	7			(2,174		)
Purchases	—			24,446			80,996			105,442
Sales	—			—			(84,353		)	(84,353		)
Settlements	(7,500		)	(72,723		)	—			(80,223		)
Balance - December 31, 2015	$	7,618		$	240,368		$	(5,899	)	$	242,087
Change in unrealized gains for the period included in earnings for assets held at the end of the period included in net investment income	$	(359	)	$	(12,992	)	$	—		$	(13,351	)
Change in unrealized gains for the period included in earnings for assets held at the end of the period included in other loss	$	—		$	—		$	(426	)	$	(426	)

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:




	2015		2014
Other investments	$	481,621	$	504,147
Other assets	$	3,463	$	5,664
Other liabilities	$	9,362	$	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 December 31, 2015

Fair Value

Unfunded
Commitments

Redemption Frequency

Redemption
Notice Period (Minimum Days)

Redemption
Notice Period (Maximum Days)

Private equity partnerships

214,848

202,050

See below

Senior secured bank loan fund

23,231

2,475

See below

Hedge funds

2,289

—

See below

Total other investments measured using net asset valuations

240,368

204,525

- 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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