XML 37 R26.htm IDEA: XBRL DOCUMENT v3.10.0.1

Fair Value Measurements (Tables)

9 Months Ended

Sep. 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 September 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	$	3,117,911			$	3,117,911			$	—			$	—
	Agencies	143,980				—				143,980				—
	Municipal	7,061				—				7,061				—
	Non-U.S. government (Sovereign debt)	254,169				—				254,169				—
	Non-U.S. government-backed corporate	137,512				—				137,512				—
	Corporate	2,448,795				—				2,448,795				—
	Agency mortgage-backed	836,376				—				836,376				—
	Non-agency mortgage-backed	289,649				—				289,649				—
	Commercial mortgage-backed	257,434				—				257,434				—
	Asset-backed	321,892				—				321,892				—
	Total fixed maturity investments	7,814,779				3,117,911				4,696,868				—
	Short term investments	2,461,415				—				2,461,415				—
	Equity investments trading	413,271				413,271				—				—
	Other investments
	Catastrophe bonds	525,126				—				525,126				—
	Private equity partnerships (1)	185,121				—				—				—
	Senior secured bank loan funds (1)	17,057				—				—				—
	Hedge funds (1)	11,615				—				—				—
	Total other investments	738,919				—				525,126				—
	Other assets and (liabilities)
	Assumed and ceded (re)insurance contracts (2)	(8,949		)		—				—				(8,949		)
	Derivatives (3)	1,594				249				1,345				—
	Total other assets and (liabilities)	(7,355		)		249				1,345				(8,949		)
		$	11,421,029			$	3,531,431			$	7,684,754			$	(8,949	)

(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, 2018 was $5.3 million and $14.2 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 September 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	$	994			Internal valuation model		Bond price (O)		$	101.31			$	111.12			$	106.80
								Liquidity discount (U)		n/a				n/a				1.3		%
	Assumed and ceded (re)insurance contracts	(9,943		)		Internal valuation model		Net undiscounted cash flows (U)		n/a				n/a				$	10,180
								Expected loss ratio (U)		n/a				n/a				38.2		%
								Net acquisition expense ratio (O)		n/a				n/a				4.9		%
								Contract period (O)		2.0 years				5.0 years				4.7 years
								Discount rate (U)		n/a				n/a				3.0		%
	Total other assets and (liabilities)	$	(8,949	)

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	2,399
	Purchases	(9,379		)
	Settlements	983
	Balance - September 30, 2018	$	(8,949	)

		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	)

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	2,399
	Purchases	(9,379		)
	Settlements	983
	Balance - September 30, 2018	$	(8,949	)

		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	)

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, 2018				December 31, 2017
	Other investments	$	738,919			$	594,793
	Other assets	$	5,259			$	2,542
	Other liabilities	$	14,208			$	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 September 30, 2018

Fair Value

Unfunded Commitments

Redemption Frequency

Redemption Notice Period (Minimum Days)

Redemption Notice Period (Maximum Days)

Private equity partnerships

$

185,121

$

416,847

See below

See below

See below

Senior secured bank loan funds

17,057

20,262

See below

See below

See below

Hedge funds

11,615

—

See below

See below

See below

Total other investments measured using net asset valuations

$

213,793

$

437,109

X

- Definition

Tabular disclosure of input and valuation technique used to measure fair value and change in valuation approach and technique for each separate class of asset and liability measured on recurring and nonrecurring basis.

+ References

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
-Subparagraph (bbb)
-URI http://asc.fasb.org/extlink&oid=99377789&loc=d3e19207-110258

+ Details

Name:	us-gaap_FairValueAssetsAndLiabilitiesMeasuredOnRecurringAndNonrecurringBasisValuationTechniquesTableTextBlock
Namespace Prefix:	us-gaap_
Data Type:	nonnum:textBlockItemType
Balance Type:	na
Period Type:	duration

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

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 3
-URI http://asc.fasb.org/extlink&oid=99377789&loc=d3e19279-110258

Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
-Subparagraph (c)
-URI http://asc.fasb.org/extlink&oid=99377789&loc=d3e19207-110258

+ Details

Name:	us-gaap_FairValueAssetsMeasuredOnRecurringBasisUnobservableInputReconciliationTextBlock
Namespace Prefix:	us-gaap_
Data Type:	nonnum:textBlockItemType
Balance Type:	na
Period Type:	duration

X

- References

No definition available.

+ Details

Name:	us-gaap_FairValueDisclosuresAbstract
Namespace Prefix:	us-gaap_
Data Type:	xbrli:stringItemType
Balance Type:	na
Period Type:	duration

X

- Definition

Tabular disclosure of investments in certain entities that calculate net asset value per share or equivalent measured at fair value on a recurring or nonrecurring basis.

+ References

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 6A
-Subparagraph (a)
-URI http://asc.fasb.org/extlink&oid=99377789&loc=SL6742756-110258

+ Details

Name:	us-gaap_FairValueInvestmentsEntitiesThatCalculateNetAssetValuePerShareTableTextBlock
Namespace Prefix:	us-gaap_
Data Type:	nonnum:textBlockItemType
Balance Type:	na
Period Type:	duration

X

- Definition

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.

+ References

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
-Subparagraph (c)
-URI http://asc.fasb.org/extlink&oid=99377789&loc=d3e19207-110258

Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 3
-URI http://asc.fasb.org/extlink&oid=99377789&loc=d3e19279-110258

+ Details

Name:	us-gaap_FairValueLiabilitiesMeasuredOnRecurringBasisUnobservableInputReconciliationTextBlock
Namespace Prefix:	us-gaap_
Data Type:	nonnum:textBlockItemType
Balance Type:	na
Period Type:	duration

X

- Definition

Tabular disclosure of information about asset and liability measured at fair value under fair value option.

+ References

Reference 1: http://www.xbrl.org/2009/role/commonPracticeRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 825
-SubTopic 10
-Section 50
-Paragraph 31
-URI http://asc.fasb.org/extlink&oid=75031198&loc=d3e14210-108612

Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 825
-SubTopic 10
-Section 50
-Paragraph 30
-URI http://asc.fasb.org/extlink&oid=75031198&loc=d3e14172-108612

Reference 3: http://www.xbrl.org/2009/role/commonPracticeRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 825
-SubTopic 10
-Section 50
-Paragraph 32
-URI http://asc.fasb.org/extlink&oid=75031198&loc=d3e14217-108612

Reference 4: http://www.xbrl.org/2009/role/commonPracticeRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 825
-SubTopic 10
-Section 50
-Paragraph 28
-URI http://asc.fasb.org/extlink&oid=75031198&loc=d3e14064-108612

+ Details

Name:	us-gaap_FairValueOptionQuantitativeDisclosuresTextBlock
Namespace Prefix:	us-gaap_
Data Type:	nonnum:textBlockItemType
Balance Type:	na
Period Type:	duration

X

- Definition

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).

+ References

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 1
-URI http://asc.fasb.org/extlink&oid=99377789&loc=d3e19190-110258

+ Details

Name:	us-gaap_ScheduleOfFairValueAssetsAndLiabilitiesMeasuredOnRecurringBasisTableTextBlock
Namespace Prefix:	us-gaap_
Data Type:	nonnum:textBlockItemType
Balance Type:	na
Period Type:	duration