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Fair Value Measurements (Tables)

6 Months Ended

Jun. 30, 2020

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, 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			$	4,258,675					$	4,258,675					$	—					$	—
			Agencies			505,038						—						505,038						—
			Non-U.S. government			584,206						—						584,206						—
			Non-U.S. government-backed corporate			314,833						—						314,833						—
			Corporate			4,428,553						—						4,428,553						—
			Agency mortgage-backed			985,851						—						985,851						—
			Non-agency mortgage-backed			276,300						—						276,300						—
			Commercial mortgage-backed			591,238						—						591,238						—
			Asset-backed			550,441						—						550,441						—
			Total fixed maturity investments			12,495,135						4,258,675						8,236,460						—
			Short term investments			5,570,804						—						5,570,804						—
			Equity investments trading			470,087						470,087						—						—
			Other investments
			Catastrophe bonds			807,162						—						807,162						—
			Private equity investments (1)			254,257						—						—						71,450
			Senior secured bank loan funds (1)			22,261						—						—						—
			Hedge funds (1)			9,658						—						—						—
			Total other investments			1,093,338						—						807,162						71,450
			Other assets and (liabilities)
			Assumed and ceded (re)insurance contracts (2)			(6,711)						—						—						(6,711)
			Derivatives (3)			4,075						(310)						4,385						—
			Total other assets and (liabilities)			(2,636)						(310)						4,385						(6,711)
						$	19,626,728					$	4,728,452					$	14,618,811					$	64,739

(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, 2020 was $14.0 million of other assets and $20.7 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.

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, 2020			Fair Value (Level 3)						Valuation Technique						Unobservable Inputs						Low						High						Weighted Average or Actual
			Other investments
			Private equity investment			$	1,143					External valuation model						Manager pricing						$	277.73					$	369.09					$	323.41
			Private equity investments			70,307						Internal valuation model						Discount rate						n/a						n/a						8.0		%
																		Liquidity discount						n/a						n/a						15.0		%
			Total other investments			71,450
			Other assets and (liabilities)
			Assumed and ceded (re)insurance contracts			(1,442)						Internal valuation model						Bond price						$	88.09					$	99.25					$	93.59
																		Liquidity discount						n/a						n/a						1.3		%
			Assumed and ceded (re)insurance contracts			(8,232)						Internal valuation model						Net undiscounted cash flows						n/a						n/a						$	11,752
																		Expected loss ratio						n/a						n/a						28.3		%
																		Discount rate						n/a						n/a						0.3		%
			Assumed and ceded (re)insurance contracts			2,963						Internal valuation model						Expected loss ratio						n/a						n/a						0.0		%
			Total other assets and (liabilities)			(6,711)
			Total assets and (liabilities) measured at fair value on a recurring basis using Level 3 inputs			$	64,739

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, 2020									$	72,620					$	1,223					$	73,843
			Total realized and unrealized losses
			Included in net realized and unrealized gains on investments									(380)						—						(380)
			Included in other (loss) income									—						(1,713)						(1,713)
			Purchases									—						(482)						(482)
			Sales									(790)						—						(790)
			Settlements									—						(5,739)						(5,739)
			Balance - June 30, 2020									$	71,450					$	(6,711)					$	64,739
												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 gains on investments									(14,536)						—						(14,536)
			Included in other (loss) income									—						(4,610)						(4,610)
			Total foreign exchange losses									(21)						—						(21)
			Purchases									20,962						(1,093)						19,869
			Sales									(9,589)						—						(9,589)
			Settlements									—						(5,739)						(5,739)
			Balance - June 30, 2020									$	71,450					$	(6,711)					$	64,739

												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 net realized and unrealized gains on investments									3,493						—						3,493
			Included in other (loss) income									—						(935)						(935)
			Total foreign exchange losses									(7)						—						(7)
			Purchases									7,629						(2,950)						4,679
			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
			Included in net realized and unrealized gains on investments									2,382						—						2,382
			Included in other (loss) income									—						158						158
			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 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.

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, 2020									$	72,620					$	1,223					$	73,843
			Total realized and unrealized losses
			Included in net realized and unrealized gains on investments									(380)						—						(380)
			Included in other (loss) income									—						(1,713)						(1,713)
			Purchases									—						(482)						(482)
			Sales									(790)						—						(790)
			Settlements									—						(5,739)						(5,739)
			Balance - June 30, 2020									$	71,450					$	(6,711)					$	64,739
												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 gains on investments									(14,536)						—						(14,536)
			Included in other (loss) income									—						(4,610)						(4,610)
			Total foreign exchange losses									(21)						—						(21)
			Purchases									20,962						(1,093)						19,869
			Sales									(9,589)						—						(9,589)
			Settlements									—						(5,739)						(5,739)
			Balance - June 30, 2020									$	71,450					$	(6,711)					$	64,739

												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 net realized and unrealized gains on investments									3,493						—						3,493
			Included in other (loss) income									—						(935)						(935)
			Total foreign exchange losses									(7)						—						(7)
			Purchases									7,629						(2,950)						4,679
			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
			Included in net realized and unrealized gains on investments									2,382						—						2,382
			Included in other (loss) income									—						158						158
			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 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.

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, 2020						December 31, 2019
			Other investments			$	1,093,338					$	1,087,377
			Other assets			$	12,537					$	32,944
			Other liabilities			$	19,248					$	28,213

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, 2020

Fair Value

Unfunded Commitments

Redemption Frequency

Redemption Notice Period (Minimum Days)

Redemption Notice Period (Maximum Days)

Private equity investments

$

182,807

$

455,883

See below

See below

See below

Senior secured bank loan funds

22,261

6,995

See below

See below

See below

Hedge funds

9,658

—

See below

See below

See below

Total other investments measured using net asset valuations

$

214,726

$

462,878

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