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Fair Value Measurements (Tables)

6 Months Ended

Jun. 30, 2018

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, 2018	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	$	2,968,855			$	2,968,855			$	—			$	—
	Agencies	55,199				—				55,199				—
	Municipal	6,164				—				6,164				—
	Non-U.S. government (Sovereign debt)	298,811				—				298,811				—
	Non-U.S. government-backed corporate	185,640				—				185,640				—
	Corporate	2,280,080				—				2,280,080				—
	Agency mortgage-backed	762,077				—				762,077				—
	Non-agency mortgage-backed	300,311				—				300,311				—
	Commercial mortgage-backed	248,590				—				248,590				—
	Asset-backed	315,051				—				315,051				—
	Total fixed maturity investments	7,420,778				2,968,855				4,451,923				—
	Short term investments	2,031,943				—				2,031,943				—
	Equity investments trading	432,804				432,804				—				—
	Other investments
	Catastrophe bonds	501,025				—				501,025				—
	Private equity partnerships (1)	186,200				—				—				—
	Senior secured bank loan funds (1)	14,414				—				—				—
	Hedge funds (1)	11,561				—				—				—
	Total other investments	713,200				—				501,025				—
	Other assets and (liabilities)
	Assumed and ceded (re)insurance contracts (2)	(2,018		)		—				—				(2,018		)
	Derivatives (3)	(2,161		)		(95		)		(2,066		)		—
	Total other assets and (liabilities)	(4,179		)		(95		)		(2,066		)		(2,018		)
		$	10,594,546			$	3,401,564			$	6,982,825			$	(2,018	)

(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 June 30, 2018 was $2.5 million and $4.5 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, 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	$	3,168,763			$	3,168,763			$	—			$	—
	Agencies	47,646				—				47,646				—
	Municipal	509,802				—				509,802				—
	Non-U.S. government (Sovereign debt)	287,660				—				287,660				—
	Non-U.S. government-backed corporate	163,651				—				163,651				—
	Corporate	2,063,459				—				2,063,459				—
	Agency mortgage-backed	500,456				—				500,456				—
	Non-agency mortgage-backed	300,331				—				300,331				—
	Commercial mortgage-backed	202,062				—				202,062				—
	Asset-backed	182,725				—				182,725				—
	Total fixed maturity investments	7,426,555				3,168,763				4,257,792				—
	Short term investments	991,863				—				991,863				—
	Equity investments trading	388,254				388,254				—				—
	Other investments
	Catastrophe bonds	380,475				—				380,475				—
	Private equity partnerships (1)	196,220				—				—				—
	Senior secured bank loan funds (1)	17,574				—				—				—
	Hedge funds (1)	524				—				—				—
	Total other investments	594,793				—				380,475				—
	Other assets and (liabilities)
	Assumed and ceded (re)insurance contracts (2)	(2,952		)		—				—				(2,952		)
	Derivatives (3)	4,636				(45		)		4,681				—
	Total other assets and (liabilities)	1,684				(45		)		4,681				(2,952		)
		$	9,403,149			$	3,556,972			$	5,634,811			$	(2,952	)

(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, 2017 was $2.5 million and $5.5 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 June 30, 2018	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	$	935			Internal valuation model		Bond price (O)		$	101.38			$	110.93			$	106.64
								Liquidity discount (U)		n/a				n/a				1.3		%
	Assumed and ceded (re)insurance contracts	(2,953		)		Internal valuation model		Net undiscounted cash flows (U)		n/a				n/a				$	4,815
								Expected loss ratio (U)		n/a				n/a				18.7		%
								Net acquisition expense ratio (O)		n/a				n/a				13.8		%
								Contract period (O)		2.0 years				4.7 years				4.1 years
								Discount rate (U)		n/a				n/a				2.7		%
	Total other assets and (liabilities)	$	(2,018	)

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 - January 1, 2018	$	(2,952	)
	Total realized and unrealized gains
	Included in other income (loss)	645
	Purchases	289
	Balance - June 30, 2018	$	(2,018	)

		Other assets  and (liabilities)
	Balance - January 1, 2017	$	(13,004	)
	Total realized and unrealized gains
	Included in other income (loss)	3,390
	Purchases	112
	Balance - June 30, 2017	$	(9,502	)

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 - January 1, 2018	$	(2,952	)
	Total realized and unrealized gains
	Included in other income (loss)	645
	Purchases	289
	Balance - June 30, 2018	$	(2,018	)

		Other assets  and (liabilities)
	Balance - January 1, 2017	$	(13,004	)
	Total realized and unrealized gains
	Included in other income (loss)	3,390
	Purchases	112
	Balance - June 30, 2017	$	(9,502	)

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:

		June 30, 2018				December 31, 2017
	Other investments	$	713,200			$	594,793
	Other assets	$	2,488			$	2,542
	Other liabilities	$	4,506			$	5,494

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 June 30, 2018

Fair Value

Unfunded Commitments

Redemption Frequency

Redemption Notice Period (Minimum Days)

Redemption Notice Period (Maximum Days)

Private equity partnerships

$

186,200

$

421,299

See below

See below

See below

Senior secured bank loan funds

14,414

23,811

See below

See below

See below

Hedge funds

11,561

—

See below

See below

See below

Total other investments measured using net asset valuations

$

212,175

$

445,110

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 2
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+ References

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