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Fair Value Measurements (Tables)

9 Months Ended

Sep. 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 September 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	$	4,314,006			$	4,314,006			$	—			$	—
	Agencies	507,903				—				507,903				—
	Municipal	1,629				—				1,629				—
	Non-U.S. government	379,154				—				379,154				—
	Non-U.S. government-backed corporate	263,170				—				263,170				—
	Corporate	3,453,222				—				3,453,222				—
	Agency mortgage-backed	1,248,722				—				1,248,722				—
	Non-agency mortgage-backed	261,850				—				261,850				—
	Commercial mortgage-backed	406,268				—				406,268				—
	Asset-backed	550,304				—				550,304				—
	Total fixed maturity investments	11,386,228				4,314,006				7,072,222				—
	Short term investments	4,116,156				—				4,116,156				—
	Equity investments trading	379,422				379,422				—				—
	Other investments
	Catastrophe bonds	659,466				—				659,466				—
	Private equity investments (1)	266,048				—				—				74,210
	Senior secured bank loan funds (1)	24,567				—				—				—
	Hedge funds (1)	12,028				—				—				—
	Total other investments	962,109				—				659,466				74,210
	Other assets and (liabilities)
	Assumed and ceded (re)insurance contracts (2)	6,219				—				—				6,219
	Derivatives (3)	18,565				212				18,353				—
	Total other assets and (liabilities)	24,784				212				18,353				6,219
		$	16,868,699			$	4,693,640			$	11,866,197			$	80,429

(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, 2019 was $37.8 million of other assets and $31.6 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 September 30, 2019	Fair Value (Level 3)				Valuation Technique		Unobservable Inputs		Low				High				Weighted Average or Actual
	Other investments
	Private equity investment	$	10,455			External valuation model		Indicative pricing		$	—			$	105.12			$	104.55
	Private equity investments	63,755				Internal valuation model		Liquidity discount		n/a				n/a				12.5		%
	Total other investments	74,210
	Other assets and (liabilities)
	Assumed and ceded (re)insurance contracts	484				Internal valuation model		Bond price		$	100.32			$	106.08			$	103.49
								Liquidity discount		n/a				n/a				1.3		%
	Assumed and ceded (re)insurance contracts	(9,242		)		Internal valuation model		Net undiscounted cash flows		n/a				n/a				$	(11,028	)
								Expected loss ratio		n/a				n/a				34.9		%
								Discount rate		n/a				n/a				1.6		%
	Assumed and ceded (re)insurance contracts	14,977				Internal valuation model		Expected loss ratio		n/a				n/a				0.0		%
	Total other assets and (liabilities)	6,219
	Total other assets and (liabilities) measured at fair value on a recurring basis using Level 3 inputs	$	80,429

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 - July 1, 2019	$	74,810			$	7,942			$	82,752
	Total realized and unrealized losses
	Included in other income	(592		)		(1,188		)		(1,780		)
	Total foreign exchange losses	(8		)		—				(8		)
	Purchases	—				(535		)		(535		)
	Balance - September 30, 2019	$	74,210			$	6,219			$	80,429
		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	1,790				(1,030		)		760
	Total foreign exchange losses	(16		)		—				(16		)
	Purchases	17,891				(4,382		)		13,509
	Settlements	—				20				20
	Amounts acquired (1)	—				19,970				19,970
	Balance - September 30, 2019	$	74,210			$	6,219			$	80,429

(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 - July 1, 2018	$	(2,018	)
	Total realized and unrealized gains
	Included in other income	1,754
	Purchases	(9,668		)
	Settlements	983
	Balance - September 30, 2018	$	(8,949	)
		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	)

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 - July 1, 2019	$	74,810			$	7,942			$	82,752
	Total realized and unrealized losses
	Included in other income	(592		)		(1,188		)		(1,780		)
	Total foreign exchange losses	(8		)		—				(8		)
	Purchases	—				(535		)		(535		)
	Balance - September 30, 2019	$	74,210			$	6,219			$	80,429
		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	1,790				(1,030		)		760
	Total foreign exchange losses	(16		)		—				(16		)
	Purchases	17,891				(4,382		)		13,509
	Settlements	—				20				20
	Amounts acquired (1)	—				19,970				19,970
	Balance - September 30, 2019	$	74,210			$	6,219			$	80,429

(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 - July 1, 2018	$	(2,018	)
	Total realized and unrealized gains
	Included in other income	1,754
	Purchases	(9,668		)
	Settlements	983
	Balance - September 30, 2018	$	(8,949	)
		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	)

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, 2019				December 31, 2018
	Other investments	$	962,109			$	784,933
	Other assets	$	37,820			$	4,968
	Other liabilities	$	31,601			$	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 September 30, 2019

Fair Value

Unfunded Commitments

Redemption Frequency

Redemption Notice Period (Minimum Days)

Redemption Notice Period (Maximum Days)

Private equity investments

$

191,838

$

359,470

See below

See below

See below

Senior secured bank loan funds

24,567

7,400

See below

See below

See below

Hedge funds

12,028

—

See below

See below

See below

Total other investments measured using net asset valuations

$

228,433

$

366,870

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