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Fair Value Measurements (Tables)

9 Months Ended

Sep. 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 September 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			$	4,350,971					$	4,350,971					$	—					$	—
			Agencies			437,681						—						437,681						—
			Non-U.S. government			568,960						—						568,960						—
			Non-U.S. government-backed corporate			401,449						—						401,449						—
			Corporate			4,655,765						—						4,655,765						—
			Agency mortgage-backed			1,086,474						—						1,086,474						—
			Non-agency mortgage-backed			293,953						—						293,953						—
			Commercial mortgage-backed			788,995						—						788,995						—
			Asset-backed			807,070						—						807,070						—
			Total fixed maturity investments			13,391,318						4,350,971						9,040,347						—
			Short term investments			5,158,961						—						5,158,961						—
			Equity investments trading			547,381						547,381						—						—
			Other investments
			Catastrophe bonds			816,971						—						816,971						—
			Private equity investments (1)			274,810						—						—						74,959
			Senior secured bank loan funds (1)			20,933						—						—						—
			Hedge funds (1)			9,969						—						—						—
			Total other investments			1,122,683						—						816,971						74,959
			Other assets and (liabilities)
			Assumed and ceded (re)insurance contracts (2)			(6,608)						—						—						(6,608)
			Derivatives (3)			(1,473)						1,232						(2,705)						—
			Total other assets and (liabilities)			(8,081)						1,232						(2,705)						(6,608)
						$	20,212,262					$	4,899,584					$	15,013,574					$	68,351

(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, 2020 was $2.2 million of other assets and $8.8 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 September 30, 2020

Fair Value (Level 3)

Valuation Technique

Unobservable Inputs

Low

High

Weighted Average or Actual

Other investments

Private equity investment

$

74,959

Internal valuation model

Discount rate

n/a

n/a

8.0%

Liquidity discount

n/a

n/a

15.0

%

Total other investments

74,959

Other assets and (liabilities)

Assumed and ceded (re)insurance contracts

(934)

Internal valuation model

Bond price

n/a

n/a

$

92.24

Liquidity discount

n/a

n/a

1.3

%

Assumed and ceded (re)insurance contracts

(7,842)

Internal valuation model

Net undiscounted cash flows

n/a

n/a

$

12,133

Expected loss ratio

n/a

n/a

26.2

%

Discount rate

n/a

n/a

0.3

%

Assumed and ceded (re)insurance contracts

2,168

Internal valuation model

Expected loss ratio

n/a

n/a

0.0

%

Total other assets and (liabilities)

(6,608)

Total assets and (liabilities) measured at fair value on a recurring basis using Level 3 inputs

$

68,351

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, 2020									$	71,450					$	(6,711)					$	64,739
			Total realized and unrealized losses
			Included in net realized and unrealized gains on investments									4,044						—						4,044
			Included in other income (loss)									—						575						575
			Total foreign exchange losses									13						—						13
			Purchases									—						(472)						(472)
			Sales									(548)						—						(548)
			Balance - September 30, 2020									$	74,959					$	(6,608)					$	68,351
												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									(10,492)						—						(10,492)
			Included in other income (loss)									—						(4,035)						(4,035)
			Total foreign exchange losses									(8)						—						(8)
			Purchases									20,962						(1,565)						19,397
			Sales									(10,137)						—						(10,137)
			Settlements									—						(5,739)						(5,739)
			Balance - September 30, 2020									$	74,959					$	(6,608)					$	68,351

												Other investments						Other assets  and (liabilities)						Total
			Balance - July 1, 2019									$	74,810					$	7,942					$	82,752
			Total realized and unrealized losses
			Included in net realized and unrealized gains on investments									(592)						—						(592)
			Included in other income (loss)									—						(1,188)						(1,188)
			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 net realized and unrealized gains on investments									1,790												1,790
			Included in other income (loss)															(1,030)						(1,030)
			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 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 - July 1, 2020									$	71,450					$	(6,711)					$	64,739
			Total realized and unrealized losses
			Included in net realized and unrealized gains on investments									4,044						—						4,044
			Included in other income (loss)									—						575						575
			Total foreign exchange losses									13						—						13
			Purchases									—						(472)						(472)
			Sales									(548)						—						(548)
			Balance - September 30, 2020									$	74,959					$	(6,608)					$	68,351
												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									(10,492)						—						(10,492)
			Included in other income (loss)									—						(4,035)						(4,035)
			Total foreign exchange losses									(8)						—						(8)
			Purchases									20,962						(1,565)						19,397
			Sales									(10,137)						—						(10,137)
			Settlements									—						(5,739)						(5,739)
			Balance - September 30, 2020									$	74,959					$	(6,608)					$	68,351

												Other investments						Other assets  and (liabilities)						Total
			Balance - July 1, 2019									$	74,810					$	7,942					$	82,752
			Total realized and unrealized losses
			Included in net realized and unrealized gains on investments									(592)						—						(592)
			Included in other income (loss)									—						(1,188)						(1,188)
			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 net realized and unrealized gains on investments									1,790												1,790
			Included in other income (loss)															(1,030)						(1,030)
			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 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:

						September 30, 2020						December 31, 2019
			Other investments			$	1,122,683					$	1,087,377
			Other assets			$	11,508					$	32,944
			Other liabilities			$	18,116					$	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 September 30, 2020

Fair Value

Unfunded Commitments

Redemption Frequency

Redemption Notice Period (Minimum Days)

Redemption Notice Period (Maximum Days)

Private equity investments

$

199,851

$

686,588

See below

See below

See below

Senior secured bank loan funds

20,933

8,185

See below

See below

See below

Hedge funds

9,969

—

See below

See below

See below

Total other investments measured using net asset valuations

$

230,753

$

694,773

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