XML 48 R40.htm IDEA: XBRL DOCUMENT
v3.19.3.a.u2

Fair Value Measurements (Tables) | 12 Months Ended
--- | ---
Dec. 31, 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 December 31, 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 | $ | 4,467,345 |  |  | $ | 4,467,345 |  |  | $ | — |  |  | $ | — |  |
| Agencies | 343,031 |  |  | — |  |  | 343,031 |  |  | — |  |
| Non-U.S. government | 497,392 |  |  | — |  |  | 497,392 |  |  | — |  |
| Non-U.S. government-backed corporate | 321,356 |  |  | — |  |  | 321,356 |  |  | — |  |
| Corporate | 3,075,660 |  |  | — |  |  | 3,075,660 |  |  | — |  |
| Agency mortgage-backed | 1,148,499 |  |  | — |  |  | 1,148,499 |  |  | — |  |
| Non-agency mortgage-backed | 294,604 |  |  | — |  |  | 294,604 |  |  | — |  |
| Commercial mortgage-backed | 468,698 |  |  | — |  |  | 468,698 |  |  | — |  |
| Asset-backed | 555,070 |  |  | — |  |  | 555,070 |  |  | — |  |
| Total fixed maturity investments | 11,171,655 |  |  | 4,467,345 |  |  | 6,704,310 |  |  | — |  |
| Short term investments | 4,566,277 |  |  | — |  |  | 4,566,277 |  |  | — |  |
| Equity investments trading | 436,931 |  |  | 436,931 |  |  | — |  |  | — |  |
| Other investments |  |  |  |  |  |  |  |
| Catastrophe bonds | 781,641 |  |  | — |  |  | 781,641 |  |  | — |  |
| Private equity investments (1) | 271,047 |  |  | — |  |  | — |  |  | 74,634 |  |
| Senior secured bank loan funds (1) | 22,598 |  |  | — |  |  | — |  |  | — |  |
| Hedge funds (1) | 12,091 |  |  | — |  |  | — |  |  | — |  |
| Total other investments | 1,087,377 |  |  | — |  |  | 781,641 |  |  | 74,634 |  |
| Other assets and (liabilities) |  |  |  |  |  |  |  |
| Assumed and ceded (re)insurance contracts (2) | 4,731 |  |  | — |  |  | — |  |  | 4,731 |  |
| Derivatives (3) | 16,937 |  |  | (1,020 | ) |  | 17,957 |  |  | — |  |
| Total other assets and (liabilities) | 21,668 |  |  | (1,020 | ) |  | 17,957 |  |  | 4,731 |  |
|  | $ | 17,283,908 |  |  | $ | 4,903,256 |  |  | $ | 12,070,185 |  |  | $ | 79,365 |  |
(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, 2019 was $32.9 million of other assets and $28.2 million of other liabilities.
(3) | Refer to “Note 19. 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) Refer to “Note 19. 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 December 31, 2019 | Fair Value (Level 3) |  | Valuation Technique |  | Unobservable Inputs |  | Low |  | High |  | Weighted Average or Actual |
| Other investments |  |  |  |  |  |  |  |  |  |  |  |
| Private equity investment | $ | 10,327 |  |  | External valuation model |  | Manager pricing |  | $ | 103.20 |  |  | $ | 103.77 |  |  | $ | 103.20 |  |
| Private equity investments | 64,307 |  |  | Internal valuation model |  | Discount rate |  | 8.0 | % |  | 10.0 | % |  | 9.0 | % |
|  |  |  |  |  | Liquidity discount |  | n/a |  |  | n/a |  |  | 15.0 | % |
| Total other investments | 74,634 |  |  |  |  |  |  |  |  |  |  |  |
| Other assets and (liabilities) |  |  |  |  |  |  |  |  |  |  |  |
| Assumed and ceded (re)insurance contracts | 501 |  |  | Internal valuation model |  | Bond price |  | $ | 100.29 |  |  | $ | 106.26 |  |  | $ | 103.58 |  |
|  |  |  |  |  | Liquidity discount |  | n/a |  |  | n/a |  |  | 1.3 | % |
| Assumed and ceded (re)insurance contracts | (8,767 | ) |  | Internal valuation model |  | Net undiscounted cash flows |  | n/a |  |  | n/a |  |  | $ | (11,179 | ) |
|  |  |  |  |  | Expected loss ratio |  | n/a |  |  | n/a |  |  | 33.1 | % |
|  |  |  |  |  | Discount rate |  | n/a |  |  | n/a |  |  | 1.7 | % |
| Assumed and ceded (re)insurance contracts | 12,997 |  |  | Internal valuation model |  | Expected loss ratio |  | n/a |  |  | n/a |  |  | 0.0 | % |
| Total other assets and (liabilities) | 4,731 |  |  |  |  |  |  |  |  |  |  |  |
| Total other assets and (liabilities) measured at fair value on a recurring basis using Level 3 inputs | $ | 79,365 |  |  |  |  |  |  |  |  |  |  |  |
Schedule of Assets and Liabilities Measured at Fair Value an 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 - January 1, 2019 | $ | 54,545 |  |  | $ | (8,359 | ) |  | $ | 46,186 |  |
| Total realized and unrealized gains (losses) |  |  |  |  |  |
| Included in other income | 2,126 |  |  | (2,347 | ) |  | (221 | ) |
| Total foreign exchange gains | 5 |  |  | — |  |  | 5 |  |
| Purchases | 17,958 |  |  | (4,553 | ) |  | 13,405 |  |
| Settlements | — |  |  | 20 |  |  | 20 |  |
| Amounts acquired (1) | — |  |  | 19,970 |  |  | 19,970 |  |
| Balance - December 31, 2019 | $ | 74,634 |  |  | $ | 4,731 |  |  | $ | 79,365 |  |
(1) | Represents the fair value of the other assets acquired from TMR, measured at fair value on a recurring basis using Level 3 inputs at March 22, 2019. Refer to “Note 3. Acquisition of Tokio Millennium Re” for additional information related to the acquisition of TMR.
|  | Other investments |  | Other assets and (liabilities) |  | Total |
| Balance - January 1, 2018 | $ | — |  |  | $ | (2,952 | ) |  | $ | (2,952 | ) |
| Total realized and unrealized gains |  |  |  |  |  |
| Included in other income | — |  |  | 2,901 |  |  | 2,901 |  |
| Purchases | 54,545 |  |  | (9,291 | ) |  | 45,254 |  |
| Settlements | — |  |  | 983 |  |  | 983 |  |
| Balance - December 31, 2018 | $ | 54,545 |  |  | $ | (8,359 | ) |  | $ | 46,186 |  |
Schedule of Assets and Liabilities Measured at Fair Value an 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 - January 1, 2019 | $ | 54,545 |  |  | $ | (8,359 | ) |  | $ | 46,186 |  |
| Total realized and unrealized gains (losses) |  |  |  |  |  |
| Included in other income | 2,126 |  |  | (2,347 | ) |  | (221 | ) |
| Total foreign exchange gains | 5 |  |  | — |  |  | 5 |  |
| Purchases | 17,958 |  |  | (4,553 | ) |  | 13,405 |  |
| Settlements | — |  |  | 20 |  |  | 20 |  |
| Amounts acquired (1) | — |  |  | 19,970 |  |  | 19,970 |  |
| Balance - December 31, 2019 | $ | 74,634 |  |  | $ | 4,731 |  |  | $ | 79,365 |  |
(1) | Represents the fair value of the other assets acquired from TMR, measured at fair value on a recurring basis using Level 3 inputs at March 22, 2019. Refer to “Note 3. Acquisition of Tokio Millennium Re” for additional information related to the acquisition of TMR.
|  | Other investments |  | Other assets and (liabilities) |  | Total |
| Balance - January 1, 2018 | $ | — |  |  | $ | (2,952 | ) |  | $ | (2,952 | ) |
| Total realized and unrealized gains |  |  |  |  |  |
| Included in other income | — |  |  | 2,901 |  |  | 2,901 |  |
| Purchases | 54,545 |  |  | (9,291 | ) |  | 45,254 |  |
| Settlements | — |  |  | 983 |  |  | 983 |  |
| Balance - December 31, 2018 | $ | 54,545 |  |  | $ | (8,359 | ) |  | $ | 46,186 |  |
Schedule of the Balances the Company has Elected to Account for at Fair Value | Below is a summary of the balances the Company has elected to account for at fair value:
|  | 2019 |  | 2018 |
| Other investments | $ | 1,087,377 |  |  | $ | 784,933 |  |
| Other assets | $ | 32,944 |  |  | $ | 4,968 |  |
| Other liabilities | $ | 28,213 |  |  | $ | 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 December 31, 2019 | Fair Value |  | Unfunded Commitments |  | Redemption Frequency |  | Redemption Notice Period (Minimum Days) |  | Redemption Notice Period (Maximum Days) |
| Private equity investments | $ | 196,413 |  |  | $ | 351,028 |  |  | See below |  | See below |  | See below |
| Senior secured bank loan funds | 22,598 |  |  | 8,702 |  |  | See below |  | See below |  | See below |
| Hedge funds | 12,091 |  |  | — |  |  | See below |  | See below |  | See below |
| Total other investments measured using net asset valuations | $ | 231,102 |  |  | $ | 359,730 |  |  |  |  |  |  |  |

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=117815213&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=117815213&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=117815213&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=117815213&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=117815213&loc=d3e19279-110258 + Details
Name: | us-gaap_FairValueLiabilitiesMeasuredOnRecurringBasisUnobservableInputReconciliationTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition The entire disclosure of the fair value measurement of assets and liabilities, which includes financial instruments measured at fair value that are classified in shareholders' equity, which may be measured 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 -URI http://asc.fasb.org/topic&trid=2155941 + Details
Name: | us-gaap_FairValueMeasurementInputsDisclosureTextBlock
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://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (b) -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258 Reference 2: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (a) -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258 + Details
Name: | us-gaap_ScheduleOfFairValueAssetsAndLiabilitiesMeasuredOnRecurringBasisTableTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration