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Fair Value Measurements (Tables)

6 Months Ended

Jun. 30, 2019

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, 2019	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	$	3,961,306			$	3,961,306			$	—			$	—
	Agencies	334,923				—				334,923				—
	Municipal	2,859				—				2,859				—
	Non-U.S. government	370,505				—				370,505				—
	Non-U.S. government-backed corporate	207,668				—				207,668				—
	Corporate	3,268,511				—				3,268,511				—
	Agency mortgage-backed	1,167,735				—				1,167,735				—
	Non-agency mortgage-backed	266,963				—				266,963				—
	Commercial mortgage-backed	374,584				—				374,584				—
	Asset-backed	524,612				—				524,612				—
	Total fixed maturity investments	10,479,666				3,961,306				6,518,360				—
	Short term investments	4,579,171				—				4,579,171				—
	Equity investments trading	273,646				273,646				—				—
	Other investments
	Catastrophe bonds	652,668				—				652,668				—
	Private equity investments (1)	270,246				—				—				74,810
	Senior secured bank loan funds (1)	20,591				—				—				—
	Hedge funds (1)	11,932				—				—				—
	Total other investments	955,437				—				652,668				74,810
	Other assets and (liabilities)
	Assumed and ceded (re)insurance contracts (2)	7,942				—				—				7,942
	Derivatives (3)	554				(207		)		761				—
	Total other assets and (liabilities)	8,496				(207		)		761				7,942
		$	16,296,416			$	4,234,745			$	11,750,960			$	82,752

(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, 2019 was $42.4 million of other assets and $34.4 million of other liabilities.

(3) See “Note 14. Derivative Instruments” for additional information related to the fair value by type of contract, of derivatives entered into by the Company.

	At December 31, 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	$	3,331,411			$	3,331,411			$	—			$	—
	Agencies	174,883				—				174,883				—
	Municipal	6,854				—				6,854				—
	Non-U.S. government	279,818				—				279,818				—
	Non-U.S. government-backed corporate	160,063				—				160,063				—
	Corporate	2,450,244				—				2,450,244				—
	Agency mortgage-backed	817,880				—				817,880				—
	Non-agency mortgage-backed	278,680				—				278,680				—
	Commercial mortgage-backed	282,294				—				282,294				—
	Asset-backed	306,743				—				306,743				—
	Total fixed maturity investments	8,088,870				3,331,411				4,757,459				—
	Short term investments	2,586,520				—				2,586,520				—
	Equity investments trading	310,252				310,252				—				—
	Other investments
	Catastrophe bonds	516,571				—				516,571				—
	Private equity investments (1)	242,647				—				—				54,545
	Senior secured bank loan funds (1)	14,482				—				—				—
	Hedge funds (1)	11,233				—				—				—
	Total other investments	784,933				—				516,571				54,545
	Other assets and (liabilities)
	Assumed and ceded (re)insurance contracts (2)	(8,359		)		—				—				(8,359		)
	Derivatives (3)	12,399				484				11,915				—
	Total other assets and (liabilities)	4,040				484				11,915				(8,359		)
		$	11,774,615			$	3,642,147			$	7,872,465			$	46,186

(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, 2018 was $5.0 million of other assets and $13.3 million of other liabilities.

(3)

See “Note 14. 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 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, 2019	Fair Value (Level 3)				Valuation Technique		Unobservable Inputs		Low				High				Weighted Average or Actual
	Other investments
	Private equity investment	$	10,401			External valuation model		Indicative pricing		$	—			$	104.58			$	104.01
	Private equity investments	64,409				Internal valuation model		Liquidity discount		n/a				n/a				12.5		%
	Total other investments	74,810
	Other assets and (liabilities)
	Assumed and ceded (re)insurance contracts	382				Internal valuation model		Bond price		$	100.50			$	106.35			$	103.73
								Liquidity discount		n/a				n/a				1.3		%
	Assumed and ceded (re)insurance contracts	(9,396		)		Internal valuation model		Net undiscounted cash flows		n/a				n/a				$	10,628
								Expected loss ratio		n/a				n/a				37.1		%
								Discount rate		n/a				n/a				1.8		%
	Assumed and ceded (re)insurance contracts	16,956				Internal valuation model		Expected loss ratio		n/a				n/a				0.0		%
	Total other assets and (liabilities)	7,942
	Total other assets and (liabilities) measured at fair value on a recurring basis using Level 3 inputs	$	82,752

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 investments				Other assets and (liabilities)				Total
	Balance - April 1, 2019	$	63,695			$	11,827			$	75,522
	Total realized and unrealized gains (losses)
	Included in other income (loss)	3,493				(935		)		2,558
	Total foreign exchange losses	(7		)		—				(7		)
	Purchases	7,629				(2,950		)		4,679
	Sales	—				—				—
	Settlements	—				—				—
	Balance - June 30, 2019	$	74,810			$	7,942			$	82,752
		Other investments				Other assets and (liabilities)				Total
	Balance - January 1, 2019	$	54,545			$	(8,359	)		$	46,186
	Total realized and unrealized gains (losses)
	Included in other income (loss)	2,382				158				2,540
	Total foreign exchange losses	(8		)		—				(8		)
	Purchases	17,891				(3,847		)		14,044
	Settlements	—				20				20
	Amounts acquired (1)	—				19,970				19,970
	Balance - June 30, 2019	$	74,810			$	7,942			$	82,752

(1) Represents the fair value of the other assets acquired from the TMR Group Entities, measured at fair value on a recurring basis using Level 3 inputs at March 22, 2019. See “Note 3. Acquisition of Tokio Millennium Re” for additional information related to the acquisition of the TMR Group Entities.

		Other assets  and (liabilities)
	Balance - April 1, 2018	$	(2,780	)
	Total realized and unrealized gains
	Included in other income (loss)	439
	Purchases	323
	Balance - June 30, 2018	$	(2,018	)
		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	)

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 investments				Other assets and (liabilities)				Total
	Balance - April 1, 2019	$	63,695			$	11,827			$	75,522
	Total realized and unrealized gains (losses)
	Included in other income (loss)	3,493				(935		)		2,558
	Total foreign exchange losses	(7		)		—				(7		)
	Purchases	7,629				(2,950		)		4,679
	Sales	—				—				—
	Settlements	—				—				—
	Balance - June 30, 2019	$	74,810			$	7,942			$	82,752
		Other investments				Other assets and (liabilities)				Total
	Balance - January 1, 2019	$	54,545			$	(8,359	)		$	46,186
	Total realized and unrealized gains (losses)
	Included in other income (loss)	2,382				158				2,540
	Total foreign exchange losses	(8		)		—				(8		)
	Purchases	17,891				(3,847		)		14,044
	Settlements	—				20				20
	Amounts acquired (1)	—				19,970				19,970
	Balance - June 30, 2019	$	74,810			$	7,942			$	82,752

(1) Represents the fair value of the other assets acquired from the TMR Group Entities, measured at fair value on a recurring basis using Level 3 inputs at March 22, 2019. See “Note 3. Acquisition of Tokio Millennium Re” for additional information related to the acquisition of the TMR Group Entities.

		Other assets  and (liabilities)
	Balance - April 1, 2018	$	(2,780	)
	Total realized and unrealized gains
	Included in other income (loss)	439
	Purchases	323
	Balance - June 30, 2018	$	(2,018	)
		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	)

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, 2019				December 31, 2018
	Other investments	$	955,437			$	784,933
	Other assets	$	42,372			$	4,968
	Other liabilities	$	34,430			$	13,327

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, 2019

Fair Value

Unfunded Commitments

Redemption Frequency

Redemption Notice Period (Minimum Days)

Redemption Notice Period (Maximum Days)

Private equity investments

$

195,436

$

372,916

See below

See below

See below

Senior secured bank loan funds

20,591

11,977

See below

See below

See below

Hedge funds

11,932

—

See below

See below

See below

Total other investments measured using net asset valuations

$

227,959

$

384,893

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