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Fair Value Measurements | 3 Months Ended
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Mar. 31, 2020
Fair Value Disclosures [Abstract] |
Fair Value Measurements | FAIR VALUE MEASUREMENTS The use of fair value to measure certain assets and liabilities with resulting unrealized gains or losses is pervasive within the Company’s consolidated financial statements. Fair value is defined under accounting guidance currently applicable to the Company to be the price that would be received upon the sale of an asset or paid to transfer a liability in an orderly transaction between open market participants at the measurement date. The Company recognizes the change in unrealized gains and losses arising from changes in fair value in its consolidated statements of operations. FASB ASC Topic Fair Value Measurements and Disclosures prescribes a fair value hierarchy that prioritizes the inputs to the respective valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to valuation techniques that use at least one significant input that is unobservable (Level 3). The three levels of the fair value hierarchy are described below:
• | Fair values determined by Level 1 inputs utilize unadjusted quoted prices obtained from active markets for identical assets or liabilities for which the Company has access. The fair value is determined by multiplying the quoted price by the quantity held by the Company;
• | Fair values determined by Level 2 inputs utilize inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. Level 2 inputs include quoted prices for similar assets and liabilities in active markets, and inputs other than quoted prices that are observable for the asset or liability, such as interest rates and yield curves that are observable at commonly quoted intervals, broker quotes and certain pricing indices; and
• | Level 3 inputs are based all or in part on significant unobservable inputs for the asset or liability, and include situations where there is little, if any, market activity for the asset or liability. In these cases, significant management assumptions can be used to establish management’s best estimate of the assumptions used by other market participants in determining the fair value of the asset or liability.
In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, the level in the fair value hierarchy within which the fair value measurement in its entirety falls has been determined based on the lowest level input that is significant to the fair value measurement of the asset or liability. The Company’s assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment, and the Company considers factors specific to the asset or liability. In order to determine if a market is active or inactive for a security, the Company considers a number of factors, including, but not limited to, the spread between what a seller is asking for a security and what a buyer is bidding for the same security, the volume of trading activity for the security in question, the price of the security compared to its par value (for fixed maturity investments), and other factors that may be indicative of market activity. There have been no material changes in the Company’s valuation techniques, nor have there been any transfers between Level 1 and Level 2, or Level 2 and Level 3 during the period represented by these consolidated financial statements. 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 March 31, 2020 | 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 | $ | 3,915,130 |  |  | $ | 3,915,130 |  |  | $ | — |  |  | $ | — |  |
| Agencies | 537,490 |  |  | — |  |  | 537,490 |  |  | — |  |
| Non-U.S. government | 635,282 |  |  | — |  |  | 635,282 |  |  | — |  |
| Non-U.S. government-backed corporate | 283,577 |  |  | — |  |  | 283,577 |  |  | — |  |
| Corporate | 3,259,780 |  |  | — |  |  | 3,259,780 |  |  | — |  |
| Agency mortgage-backed | 1,056,272 |  |  | — |  |  | 1,056,272 |  |  | — |  |
| Non-agency mortgage-backed | 275,026 |  |  | — |  |  | 275,026 |  |  | — |  |
| Commercial mortgage-backed | 540,502 |  |  | — |  |  | 540,502 |  |  | — |  |
| Asset-backed | 542,742 |  |  | — |  |  | 542,742 |  |  | — |  |
| Total fixed maturity investments | 11,045,801 |  |  | 3,915,130 |  |  | 7,130,671 |  |  | — |  |
| Short term investments | 5,263,242 |  |  | — |  |  | 5,263,242 |  |  | — |  |
| Equity investments trading | 360,444 |  |  | 360,444 |  |  | — |  |  | — |  |
| Other investments |  |  |  |  |  |  |  |
| Catastrophe bonds | 786,531 |  |  | — |  |  | 786,531 |  |  | — |  |
| Private equity investments (1) | 240,277 |  |  | — |  |  | — |  |  | 72,620 |  |
| Senior secured bank loan funds (1) | 22,579 |  |  | — |  |  | — |  |  | — |  |
| Hedge funds (1) | 9,327 |  |  | — |  |  | — |  |  | — |  |
| Total other investments | 1,058,714 |  |  | — |  |  | 786,531 |  |  | 72,620 |  |
| Other assets and (liabilities) |  |  |  |  |  |  |  |
| Assumed and ceded (re)insurance contracts (2) | 1,223 |  |  | — |  |  | — |  |  | 1,223 |  |
| Derivatives (3) | 1,855 |  |  | (2,328 | ) |  | 4,183 |  |  | — |  |
| Total other assets and (liabilities) | 3,078 |  |  | (2,328 | ) |  | 4,183 |  |  | 1,223 |  |
|  | $ | 17,731,279 |  |  | $ | 4,273,246 |  |  | $ | 13,184,627 |  |  | $ | 73,843 |  |
(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 March 31, 2020 was $26.4 million of other assets and $25.2 million of other liabilities.
(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, 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) | See “Note 13. Derivative Instruments” for additional information related to the fair value, by type of contract, of derivatives entered into by the Company.
Level 1 and Level 2 Assets and Liabilities Measured at Fair Value Fixed Maturity Investments Fixed maturity investments included in Level 1 consist of the Company’s investments in U.S. treasuries. Fixed maturity investments included in Level 2 are agencies, municipal, non-U.S. government, non-U.S. government-backed corporate, corporate, agency mortgage-backed, non-agency mortgage-backed, commercial mortgage-backed and asset-backed. The Company’s fixed maturity investments are primarily priced using pricing services, such as index providers and pricing vendors, as well as broker quotations. In general, the pricing vendors provide pricing for a high volume of liquid securities that are actively traded. For securities that do not trade on an exchange, the pricing services generally utilize market data and other observable inputs in matrix pricing models to determine month end prices. Observable inputs include benchmark yields, reported trades, broker-dealer quotes, issuer spreads, bids, offers, reference data and industry and economic events. Index pricing generally relies on market traders as the primary source for pricing; however, models are also utilized to provide prices for all index eligible securities. The models use a variety of observable inputs such as benchmark yields, transactional data, dealer runs, broker-dealer quotes and corporate actions. Prices are generally verified using third-party data. Securities which are priced by an index provider are generally included in the index. In general, broker-dealers value securities through their trading desks based on observable inputs. The methodologies include mapping securities based on trade data, bids or offers, observed spreads, and performance on newly issued securities. Broker-dealers also determine valuations by observing secondary trading of similar securities. Prices obtained from broker quotations are considered non-binding, however they are based on observable inputs and by observing secondary trading of similar securities obtained from active, non-distressed markets. The Company considers these broker quotations to be Level 2 inputs as they are corroborated with other market observable inputs. The techniques generally used to determine the fair value of the Company’s fixed maturity investments are detailed below by asset class. U.S. treasuries Level 1 - At March 31, 2020, the Company’s U.S. treasuries fixed maturity investments were primarily priced by pricing services and had a weighted average yield to maturity of 0.4% and a weighted average credit quality of AA (December 31, 2019 - 1.7% and AA, respectively). When pricing these securities, the pricing services utilize daily data from many real time market sources, including active broker-dealers. Certain data sources are regularly reviewed for accuracy to attempt to ensure the most reliable price source is used for each issue and maturity date. Agencies Level 2 - At March 31, 2020, the Company’s agency fixed maturity investments had a weighted average yield to maturity of 1.0% and a weighted average credit quality of AA (December 31, 2019 - 2.1% and AA, respectively). The issuers of the Company’s agency fixed maturity investments primarily consist of the Federal National Mortgage Association, the Federal Home Loan Mortgage Corporation and other agencies. Fixed maturity investments included in agencies are primarily priced by pricing services. When evaluating these securities, the pricing services gather information from market sources and integrate other observations from markets and sector news. Evaluations are updated by obtaining broker-dealer quotes and other market information including actual trade volumes, when available. The fair value of each security is individually computed using analytical models which incorporate option adjusted spreads and other daily interest rate data. Non-U.S. government Level 2 - At March 31, 2020, the Company’s non-U.S. government fixed maturity investments had a weighted average yield to maturity of 0.8% and a weighted average credit quality of AAA (December 31, 2019 - 1.6% and AA, respectively). The issuers of securities in this sector are non-U.S. governments and their respective agencies as well as supranational organizations. Securities held in these sectors are primarily priced by pricing services that employ proprietary discounted cash flow models to value the securities. Key quantitative inputs for these models are daily observed benchmark curves for treasury, swap and high issuance credits. The pricing services then apply a credit spread for each security which is developed by in-depth and real time market analysis. For securities in which trade volume is low, the pricing services utilize data from more frequently traded securities with similar attributes. These models may also be supplemented by daily market and credit research for international markets. Non-U.S. government-backed corporate Level 2 - At March 31, 2020, the Company’s non-U.S. government-backed corporate fixed maturity investments had a weighted average yield to maturity of 1.2% and a weighted average credit quality of AAA (December 31, 2019 - 2.0% and AA, respectively). Non-U.S. government-backed corporate fixed maturity investments are primarily priced by pricing services that employ proprietary discounted cash flow models to value the securities. Key quantitative inputs for these models are daily observed benchmark curves for treasury, swap and high issuance credits. The pricing services then apply a credit spread to the respective curve for each security which is developed by in-depth and real time market analysis. For securities in which trade volume is low, the pricing services utilize data from more frequently traded securities with similar attributes. These models may also be supplemented by daily market and credit research for international markets. Corporate Level 2 - At March 31, 2020, the Company’s corporate fixed maturity investments principally consisted of U.S. and international corporations and had a weighted average yield to maturity of 3.8% and a weighted average credit quality of BBB (December 31, 2019 - 3.0% and BBB, respectively). The Company’s corporate fixed maturity investments are primarily priced by pricing services. When evaluating these securities, the pricing services gather information from market sources regarding the issuer of the security and obtain credit data, as well as other observations, from markets and sector news. Evaluations are updated by obtaining broker-dealer quotes and other market information including actual trade volumes, when available. The pricing services also consider the specific terms and conditions of the securities, including any specific features which may influence risk. In certain instances, securities are individually evaluated using a spread which is added to the U.S. treasury curve or a security specific swap curve as appropriate. Agency mortgage-backed Level 2 - At March 31, 2020, the Company’s agency mortgage-backed fixed maturity investments included agency residential mortgage-backed securities with a weighted average yield to maturity of 1.4%, a weighted average credit quality of AA and a weighted average life of 3.5 years (December 31, 2019 - 2.5%, AA and 4.9 years, respectively). The Company’s agency mortgage-backed fixed maturity investments are primarily priced by pricing services using a mortgage pool specific model which utilizes daily inputs from the active to-be-announced market which is very liquid, as well as the U.S. treasury market. The model also utilizes additional information, such as the weighted average maturity, weighted average coupon and other available pool level data which is provided by the sponsoring agency. Valuations are also corroborated with daily active market quotes. Non-agency mortgage-backed Level 2 - The Company’s non-agency mortgage-backed fixed maturity investments include non-agency prime, non-agency Alt-A and other non-agency residential mortgage-backed securities. At March 31, 2020, the Company’s non-agency prime residential mortgage-backed fixed maturity investments had a weighted average yield to maturity of 5.6%, a weighted average credit quality of BBB and a weighted average life of 4.4 years (December 31, 2019 - 3.3%, BBB and 4.8 years, respectively). The Company’s non-agency Alt-A fixed maturity investments held at March 31, 2020 had a weighted average yield to maturity of 6.3%, a weighted average credit quality of non-investment grade and a weighted average life of 5.9 years (December 31, 2019 - 3.8%, non-investment grade and 6.3 years, respectively). Securities held in these sectors are primarily priced by pricing services using an option adjusted spread model or other relevant models, which principally utilize inputs including benchmark yields, available trade information or broker quotes, and issuer spreads. The pricing services also review collateral prepayment speeds, loss severity and delinquencies among other collateral performance indicators for the securities valuation, when applicable. Commercial mortgage-backed Level 2 - At March 31, 2020, the Company’s commercial mortgage-backed fixed maturity investments had a weighted average yield to maturity of 3.1%, a weighted average credit quality of AAA, and a weighted average life of 5.8 years (December 31, 2019 - 2.6%, AAA and 5.7 years, respectively). Securities held in these sectors are primarily priced by pricing services. The pricing services apply dealer quotes and other available trade information such as bids and offers, prepayment speeds which may be adjusted for the underlying collateral or current price data, the U.S. treasury curve and swap curve as well as cash settlement. The pricing services discount the expected cash flows for each security held in this sector using a spread adjusted benchmark yield based on the characteristics of the security. Asset-backed Level 2 - At March 31, 2020, the Company’s asset-backed fixed maturity investments had a weighted average yield to maturity of 4.4%, a weighted average credit quality of AAA and a weighted average life of 3.0 years (December 31, 2019 - 3.3%, AAA and 3.2 years, respectively). The underlying collateral for the Company’s asset-backed fixed maturity investments primarily consists of bank loans, student loans, credit card receivables, auto loans and other receivables. Securities held in these sectors are primarily priced by pricing services. The pricing services apply dealer quotes and other available trade information such as bids and offers, prepayment speeds which may be adjusted for the underlying collateral or current price data, the U.S. treasury curve and swap curve as well as cash settlement. The pricing services determine the expected cash flows for each security held in this sector using historical prepayment and default projections for the underlying collateral and current market data. In addition, a spread is applied to the relevant benchmark and used to discount the cash flows noted above to determine the fair value of the securities held in this sector. Short Term Investments Level 2 - At March 31, 2020, the Company’s short term investments had a weighted average yield to maturity of 0.5% and a weighted average credit quality of AAA (December 31, 2019 - 1.6% and AAA, respectively). The fair value of the Company’s portfolio of short term investments is generally determined using amortized cost which approximates fair value and, in certain cases, in a manner similar to the Company’s fixed maturity investments noted above. Equity Investments, Classified as Trading Level 1 - The fair value of the Company’s portfolio of equity investments, classified as trading is primarily priced by pricing services, reflecting the closing price quoted for the final trading day of the period. When pricing these securities, the pricing services utilize daily data from many real time market sources, including applicable securities exchanges. All data sources are regularly reviewed for accuracy to attempt to ensure the most reliable price source was used for each security. Other investments Catastrophe bonds Level 2 - The Company’s other investments include investments in catastrophe bonds which are recorded at fair value based on broker or underwriter bid indications. Other assets and liabilities Derivatives Level 1 and Level 2 - Other assets and liabilities include certain derivatives entered into by the Company. The fair value of these transactions includes certain exchange traded futures contracts which are considered Level 1, and foreign currency contracts and certain credit derivatives, determined using standard industry valuation models and considered Level 2, as the inputs to the valuation model are based on observable market inputs. For credit derivatives, these inputs include credit spreads, credit ratings of the underlying referenced security, the risk free rate and the contract term. For foreign currency contracts, these inputs include spot rates and interest rate curves. Level 3 Assets and Liabilities Measured at Fair Value 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 March 31, 2020 | Fair Value (Level 3) |  | Valuation Technique |  | Unobservable Inputs |  | Low |  | High |  | Weighted Average or Actual |
| Other investments |  |  |  |  |  |  |  |  |  |  |  |
| Private equity investment | $ | 1,822 |  |  | External valuation model |  | Manager pricing |  | $ | 151.69 |  |  | $ | 158.90 |  |  | $ | 151.69 |  |
| Private equity investments | 70,798 |  |  | Internal valuation model |  | Discount rate |  | 8.0 | % |  | 10.0 | % |  | 8.0 | % |
|  |  |  |  |  | Liquidity discount |  | n/a |  |  | n/a |  |  | 15.0 | % |
| Total other investments | 72,620 |  |  |  |  |  |  |  |  |  |  |  |
| Other assets and (liabilities) |  |  |  |  |  |  |  |  |  |  |  |
| Assumed and ceded (re)insurance contracts | (1,232 | ) |  | Internal valuation model |  | Bond price |  | $ | 90.99 |  |  | $ | 98.19 |  |  | $ | 94.46 |  |
|  |  |  |  |  | Liquidity discount |  | n/a |  |  | n/a |  |  | 1.3 | % |
| Assumed and ceded (re)insurance contracts | (8,556 | ) |  | Internal valuation model |  | Net undiscounted cash flows |  | n/a |  |  | n/a |  |  | $ | 11,371 |  |
|  |  |  |  |  | Expected loss ratio |  | n/a |  |  | n/a |  |  | 30.5 | % |
|  |  |  |  |  | Discount rate |  | n/a |  |  | n/a |  |  | 0.4 | % |
| Assumed and ceded (re)insurance contracts | 11,011 |  |  | Internal valuation model |  | Expected loss ratio |  | n/a |  |  | n/a |  |  | 0.0 | % |
| Total other assets and (liabilities) | 1,223 |  |  |  |  |  |  |  |  |  |  |  |
| Total assets and (liabilities) measured at fair value on a recurring basis using Level 3 inputs | $ | 73,843 |  |  |  |  |  |  |  |  |  |  |  |
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, 2020 | $ | 74,634 |  |  | $ | 4,731 |  |  | $ | 79,365 |  |
| Total realized and unrealized losses |  |  |  |  |  |
| Included in net realized and unrealized (losses) gains on investments | (14,156 | ) |  | — |  |  | (14,156 | ) |
| Included in other (loss) income | — |  |  | (2,897 | ) |  | (2,897 | ) |
| Total foreign exchange losses | (21 | ) |  | — |  |  | (21 | ) |
| Purchases | 20,962 |  |  | (611 | ) |  | 20,351 |  |
| Sales | (8,799 | ) |  | — |  |  | (8,799 | ) |
| Balance - March 31, 2020 | $ | 72,620 |  |  | $ | 1,223 |  |  | $ | 73,843 |  |
|  | Other investments |  | Other assets and (liabilities) |  | Total |
| Balance - January 1, 2019 | $ | 54,545 |  |  | $ | (8,359 | ) |  | $ | 46,186 |  |
| Total realized and unrealized (losses) gains |  |  |  |  |  |
| Included in net realized and unrealized (losses) gains on investments | (1,111 | ) |  | — |  |  | (1,111 | ) |
| Included in other (loss) income | — |  |  | 1,093 |  |  | 1,093 |  |
| Total foreign exchange losses | (1 | ) |  | — |  |  | (1 | ) |
| Purchases | 10,262 |  |  | (897 | ) |  | 9,365 |  |
| Settlements | — |  |  | 20 |  |  | 20 |  |
| Amounts acquired (1) | — |  |  | 19,970 |  |  | 19,970 |  |
| Balance - March 31, 2019 | $ | 63,695 |  |  | $ | 11,827 |  |  | $ | 75,522 |  |
(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. See “Note 3. Acquisition of Tokio Millennium Re” in the Company’s “Notes to the Consolidated Financial Statements” included in the Company’s Form 10-K for the year ended December 31, 2019 for additional information related to the acquisition of TMR.
Other investments Private equity investments Level 3 - At March 31, 2020, the Company’s other investments included a $1.8 million private equity investment which is recorded at fair value, with the fair value obtained through the receipt of an indicative pricing obtained from the insurance manager of the security. The Company considers the price obtained to be unobservable, as there is little, if any, market activity for this security. This unobservable input in isolation can cause significant increases or decreases in fair value. Generally, an increase in the indicative pricing would result in an increase in the fair value of this private equity investment. Level 3 - At March 31, 2020, the Company’s other investments included $70.8 million of private equity investments which are recorded at fair value, with the fair value obtained through the use of internal valuation models. The Company measured the fair value of these investments using multiples of net tangible book value of the underlying entity. The significant unobservable inputs used in the fair value measurement of these investments are liquidity discount rates applied to each of the net tangible book value multiples used in the internal valuation models, and discount rates applied to the expected cash flows of the underlying entity in various scenarios. These unobservable inputs in isolation can cause significant increases or decreases in fair value. Generally, an increase in the liquidity discount rate or discount rates would result in a decrease in the fair value of these private equity investments. Other assets and liabilities Assumed and ceded (re)insurance contracts Level 3 - At March 31, 2020, the Company had a $1.2 million net liability related to an assumed reinsurance contract accounted for at fair value, with the fair value obtained through the use of an internal valuation model. The inputs to the internal valuation model are principally based on indicative pricing obtained from independent brokers and pricing vendors for similarly structured marketable securities. The most significant unobservable inputs include prices for similar marketable securities and a liquidity premium. The Company considers the prices for similar securities to be unobservable, as there is little, if any market activity for these similar assets. In addition, the Company has estimated a liquidity premium that would be required if the Company attempted to effectively exit its position by executing a short sale of these securities. Generally, an increase in the prices for similar marketable securities or a decrease in the liquidity premium would result in an increase in the expected profit and ultimate fair value of this assumed reinsurance contract. Level 3 - At March 31, 2020, the Company had a $8.6 million net liability related to assumed and ceded (re)insurance contracts accounted for at fair value, with the fair value obtained through the use of an internal valuation model. The inputs to the internal valuation model are principally based on proprietary data as observable market inputs are generally not available. The most significant unobservable inputs include the assumed and ceded expected net cash flows related to the contracts, including the expected premium, acquisition expenses and losses; the expected loss ratio and the relevant discount rate used to present value the net cash flows. The contract period and acquisition expense ratio are considered an observable input as each is defined in the contract. Generally, an increase in the net expected cash flows and expected term of the contract and a decrease in the discount rate, expected loss ratio or acquisition expense ratio, would result in an increase in the expected profit and ultimate fair value of these assumed and ceded (re)insurance contracts. Level 3 - At March 31, 2020, the Company had a $11.0 million net asset related to assumed and ceded (re)insurance contracts accounted for at fair value, with the fair value obtained through the use of internal valuation models. The inputs to the models are primarily based on the unexpired period of risk and an evaluation of the probability of loss. The fair value of the contracts are sensitive to loss-triggering events. In the event of a loss, the Company would adjust the fair value of the contract to account for a recovery or liability in accordance with the contract terms and the estimate of exposure under the contract. The inputs for the contracts are based on management’s evaluation and are unobservable. Financial Instruments Disclosed, But Not Carried, at Fair Value The Company uses various financial instruments in the normal course of its business. The Company’s insurance contracts are excluded from the fair value of financial instruments accounting guidance, unless the Company elects the fair value option, and therefore, are not included in the amounts discussed herein. The carrying values of cash and cash equivalents, accrued investment income, receivables for investments sold, certain other assets, payables for investments purchased, certain other liabilities, and other financial instruments not included herein approximated their fair values. Debt Included on the Company’s consolidated balance sheet at March 31, 2020 were debt obligations of $1.1 billion (December 31, 2019 - $1.4 billion). At March 31, 2020, the fair value of the Company’s debt obligations was $1.2 billion (December 31, 2019 – $1.5 billion). The fair value of the Company’s debt obligations is determined using indicative market pricing obtained from third-party service providers, which the Company considers Level 2 in the fair value hierarchy. There have been no changes during the period in the Company’s valuation technique used to determine the fair value of the Company’s debt obligations. Refer to “Note 7. Debt and Credit Facilities” for additional information related to the Company’s debt obligations. The Fair Value Option for Financial Assets and Financial Liabilities The Company has elected to account for certain financial assets and financial liabilities at fair value using the guidance under FASB ASC Topic Financial Instruments as the Company believes it represents the most meaningful measurement basis for these assets and liabilities. Below is a summary of the balances the Company has elected to account for at fair value:
|  | March 31, 2020 |  | December 31, 2019 |
| Other investments | $ | 1,058,714 |  |  | $ | 1,087,377 |  |
| Other assets | $ | 26,442 |  |  | $ | 32,944 |  |
| Other liabilities | $ | 25,219 |  |  | $ | 28,213 |  |
Included in net realized and unrealized (losses) gains on investments for the three months ended March 31, 2020 were net unrealized losses of $60.1 million, related to the changes in fair value of other investments (2019 – net unrealized gains of $1.3 million). Included in other (loss) income for the three months ended March 31, 2020 were net unrealized gains of $Nil related to the changes in the fair value of other assets and liabilities (2019 - $Nil). Measuring the Fair Value of Other Investments 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 March 31, 2020 | Fair Value |  | Unfunded Commitments |  | Redemption Frequency |  | Redemption Notice Period (Minimum Days) |  | Redemption Notice Period (Maximum Days) |
| Private equity investments | $ | 167,657 |  |  | $ | 417,393 |  |  | See below |  | See below |  | See below |
| Senior secured bank loan funds | 22,579 |  |  | 7,141 |  |  | See below |  | See below |  | See below |
| Hedge funds | 9,327 |  |  | — |  |  | See below |  | See below |  | See below |
| Total other investments measured using net asset valuations | $ | 199,563 |  |  | $ | 424,534 |  |  |  |  |  |  |  |
Private equity investments – A significant portion of the Company’s investments in private equity investments include alternative asset limited partnerships (or similar corporate structures) that invest in certain private equity asset classes including U.S. and global leveraged buyouts, mezzanine investments, distressed securities, real estate, and oil, gas and power. The Company generally has no right to redeem its interest in any of these private equity investments in advance of dissolution of the applicable private equity investment. Instead, the nature of these investments is that distributions are received by the Company in connection with the liquidation of the underlying assets of the respective private equity investment. It is estimated that the majority of the underlying assets of the limited partnerships would liquidate over 7 to 10 years from inception of the respective limited partnership. Senior secured bank loan funds – At March 31, 2020, the Company had $22.6 million invested in closed end funds which invest primarily in loans. The Company has no right to redeem its investment in these funds. It is estimated that the majority of the underlying assets in these closed end funds would begin to liquidate over 4 to 5 years from inception of the applicable fund. Hedge funds – At March 31, 2020, the Company had $9.3 million of investments in hedge funds that are primarily focused on global credit opportunities which are generally redeemable at the option of the shareholder.

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- Definition The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information. + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258 + Details
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