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Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2017

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, 2017	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	$	2,956,952			$	2,956,952			$	—			$	—
	Agencies	41,109				—				41,109				—
	Municipal	521,220				—				521,220				—
	Non-U.S. government (Sovereign debt)	177,855				—				177,855				—
	Non-U.S. government-backed corporate	121,892				—				121,892				—
	Corporate	2,028,750				—				2,028,750				—
	Agency mortgage-backed	499,310				—				499,310				—
	Non-agency mortgage-backed	299,530				—				299,530				—
	Commercial mortgage-backed	263,029				—				263,029				—
	Asset-backed	183,322				—				183,322				—
	Total fixed maturity investments	7,092,969				2,956,952				4,136,017				—
	Short term investments	1,497,262				—				1,497,262				—
	Equity investments trading	402,035				402,035				—				—
	Other investments
	Catastrophe bonds	332,044				—				332,044				—
	Private equity partnerships (1)	196,280				—				—				—
	Senior secured bank loan funds (1)	19,572				—				—				—
	Hedge funds (1)	596				—				—				—
	Total other investments	548,492				—				332,044				—
	Other assets and (liabilities)
	Assumed and ceded (re)insurance contracts (2)	(3,493		)		—				—				(3,493		)
	Derivatives (3)	1,944				(114		)		2,058				—
	Other	(8,777		)		—				(8,777		)		—
	Total other assets and (liabilities)	(10,326		)		(114		)		(6,719		)		(3,493		)
		$	9,530,432			$	3,358,873			$	5,958,604			$	(3,493	)

(1) Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been classified in the fair value hierarchy. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the consolidated balance sheet.

(2) Included in assumed and ceded (re)insurance contracts at September 30, 2017 was $1.8 million and $5.3 million of other assets and other liabilities, respectively.

(3) 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, 2016	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	$	2,617,894			$	2,617,894			$	—			$	—
	Agencies	90,972				—				90,972				—
	Municipal	519,069				—				519,069				—
	Non-U.S. government (Sovereign debt)	333,224				—				333,224				—
	Non-U.S. government-backed corporate	133,300				—				133,300				—
	Corporate	1,877,243				—				1,877,243				—
	Agency mortgage-backed	462,493				—				462,493				—
	Non-agency mortgage-backed	258,944				—				258,944				—
	Commercial mortgage-backed	409,747				—				409,747				—
	Asset-backed	188,358				—				188,358				—
	Total fixed maturity investments	6,891,244				2,617,894				4,273,350				—
	Short term investments	1,368,379				—				1,368,379				—
	Equity investments trading	383,313				383,313				—				—
	Other investments
	Catastrophe bonds	335,209				—				335,209				—
	Private equity partnerships (1)	191,061				—				—				—
	Senior secured bank loan funds (1)	22,040				—				—				—
	Hedge funds (1)	1,495				—				—				—
	Total other investments	549,805				—				335,209				—
	Other assets and (liabilities)
	Assumed and ceded (re)insurance contracts (2)	(13,004		)		—				—				(13,004		)
	Derivatives (3)	(8,922		)		(646		)		(8,276		)		—
	Other	(13,105		)		—				(13,105		)		—
	Total other assets and (liabilities)	(35,031		)		(646		)		(21,381		)		(13,004		)
		$	9,157,710			$	3,000,561			$	5,955,557			$	(13,004	)

(1) Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been classified in the fair value hierarchy. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the consolidated balance sheet.

(2) Included in assumed and ceded (re)insurance contracts at December 31, 2016 was $4.4 million and $17.4 million of other assets and other liabilities, respectively.

(3) 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, 2017	Fair Value (Level 3)				Valuation Technique		Unobservable (U) and Observable (O) Inputs		Low				High				Weighted Average or Actual
	Other assets and (liabilities)
	Assumed and ceded (re)insurance contracts	$	582			Internal valuation model		Bond price (U)		$	101.28			$	109.27			$	105.64
								Liquidity discount (U)		n/a				n/a				1.3		%
	Assumed and ceded (re)insurance contracts	(4,075		)		Internal valuation model		Net undiscounted cash flows (U)		n/a				n/a				$	(4,733	)
								Expected loss ratio (U)		n/a				n/a				24.3		%
								Net acquisition expense ratio (O)		n/a				n/a				13.4		%
								Contract period (O)		2.0 years				4.7 years				4.1 years
								Discount rate (U)		n/a				n/a				1.9		%
	Total other assets and (liabilities)	$	(3,493	)

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.

		Other assets and (liabilities)
	Balance - July 1, 2017	$	(9,502	)
	Total realized and unrealized gains
	Included in other income	135
	Purchases	(63		)
	Settlements	5,937
	Balance - September 30, 2017	$	(3,493	)
		Other assets and (liabilities)
	Balance - January 1, 2017	$	(13,004	)
	Total realized and unrealized gains
	Included in other income	3,525
	Purchases	49
	Settlements	5,937
	Balance - September 30, 2017	$	(3,493	)

		Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
		Fixed maturity investments trading				Other assets  and (liabilities)				Total
	Balance - July 1, 2016	$	—			$	(2,680	)		$	(2,680	)
	Total realized and unrealized gains
	Included in other income	—				795				795
	Purchases	—				(10,127		)		(10,127		)
	Balance - September 30, 2016	$	—			$	(12,012	)		$	(12,012	)
		Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
		Fixed maturity investments trading				Other assets  and (liabilities)				Total
	Balance - January 1, 2016	$	7,618			$	(5,899	)		$	1,719
	Total realized and unrealized (losses) gains
	Included in net investment income	(118		)		—				(118		)
	Included in other income	—				4,587				4,587
	Purchases	—				(10,700		)		(10,700		)
	Settlements	(7,500		)		—				(7,500		)
	Balance - September 30, 2016	$	—			$	(12,012	)		$	(12,012	)

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.

		Other assets and (liabilities)
	Balance - July 1, 2017	$	(9,502	)
	Total realized and unrealized gains
	Included in other income	135
	Purchases	(63		)
	Settlements	5,937
	Balance - September 30, 2017	$	(3,493	)
		Other assets and (liabilities)
	Balance - January 1, 2017	$	(13,004	)
	Total realized and unrealized gains
	Included in other income	3,525
	Purchases	49
	Settlements	5,937
	Balance - September 30, 2017	$	(3,493	)

		Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
		Fixed maturity investments trading				Other assets  and (liabilities)				Total
	Balance - July 1, 2016	$	—			$	(2,680	)		$	(2,680	)
	Total realized and unrealized gains
	Included in other income	—				795				795
	Purchases	—				(10,127		)		(10,127		)
	Balance - September 30, 2016	$	—			$	(12,012	)		$	(12,012	)
		Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
		Fixed maturity investments trading				Other assets  and (liabilities)				Total
	Balance - January 1, 2016	$	7,618			$	(5,899	)		$	1,719
	Total realized and unrealized (losses) gains
	Included in net investment income	(118		)		—				(118		)
	Included in other income	—				4,587				4,587
	Purchases	—				(10,700		)		(10,700		)
	Settlements	(7,500		)		—				(7,500		)
	Balance - September 30, 2016	$	—			$	(12,012	)		$	(12,012	)

Schedule Of Balances 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, 2017				December 31, 2016
	Other investments	$	548,492			$	549,805
	Other assets	$	2,383			$	4,379
	Other liabilities	$	5,876			$	17,383

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 as a practical expedient:

At September 30, 2017

Fair Value

Unfunded Commitments

Redemption Frequency

Redemption Notice Period (Minimum Days)

Redemption Notice Period (Maximum Days)

Private equity partnerships

$

196,280

$

300,482

See below

See below

See below

Senior secured bank loan funds

19,572

23,758

See below

See below

See below

Hedge funds

596

—

See below

See below

See below

Total other investments measured using net asset valuations

$

216,448

$

324,240

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
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-SubTopic 10
-Section 50
-Paragraph 2
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Tabular disclosure of the fair value measurement of liabilities using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes 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 liability.

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