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Fair Value Measurements (Tables) | 3 Months Ended
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Mar. 31, 2021
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 March 31, 2021 | 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 | $ | 5,107,878 |  |  | $ | 5,107,878 |  |  | $ | — |  |  | $ | — |  |
| Agencies | 227,184 |  |  | — |  |  | 227,184 |  |  | — |  |
| Non-U.S. government | 518,162 |  |  | — |  |  | 518,162 |  |  | — |  |
| Non-U.S. government-backed corporate | 335,662 |  |  | — |  |  | 335,662 |  |  | — |  |
| Corporate | 4,289,072 |  |  | — |  |  | 4,289,072 |  |  | — |  |
| Agency mortgage-backed | 957,563 |  |  | — |  |  | 957,563 |  |  | — |  |
| Non-agency mortgage-backed | 272,529 |  |  | — |  |  | 272,529 |  |  | — |  |
| Commercial mortgage-backed | 713,044 |  |  | — |  |  | 713,044 |  |  | — |  |
| Asset-backed | 888,140 |  |  | — |  |  | 888,140 |  |  | — |  |
| Total fixed maturity investments | 13,309,234 |  |  | 5,107,878 |  |  | 8,201,356 |  |  | — |  |
| Short term investments | 5,091,143 |  |  | — |  |  | 5,091,143 |  |  | — |  |
| Equity investments trading | 503,137 |  |  | 503,137 |  |  | — |  |  | — |  |
| Other investments |  |  |  |  |  |  |  |
| Catastrophe bonds | 941,604 |  |  | — |  |  | 941,604 |  |  | — |  |
| Private equity investments | 75,874 |  |  | — |  |  | — |  |  | 75,874 |  |
|  | 1,017,478 |  |  | — |  |  | 941,604 |  |  | 75,874 |  |
| Fund investments (1) | 361,578 |  |  |  |  |  |  |  |
| Total other investments | 1,379,056 |  |  | — |  |  | 941,604 |  |  | 75,874 |  |
| Other assets and (liabilities) |  |  |  |  |  |  |  |
| Assumed and ceded (re)insurance contracts (2) | (6,421) |  |  | — |  |  | — |  |  | (6,421) |  |
| Derivative assets (3) | 20,449 |  |  | 2,317 |  |  | 18,132 |  |  | — |  |
| Derivative liabilities (3) | (26,464) |  |  | (2,494) |  |  | (23,970) |  |  | — |  |
| Total other assets and (liabilities) | (12,436) |  |  | (177) |  |  | (5,838) |  |  | (6,421) |  |
|  | $ | 20,270,134 |  |  | $ | 5,610,838 |  |  | $ | 14,228,265 |  |  | $ | 69,453 |  |
(1) Fund investments, which are comprised of private equity funds, senior secured bank loan funds and hedge funds, are measured at fair value using the net asset value per share (or its equivalent) as a practical expedient and 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, 2021 was $0.6 million of other assets and $7.0 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, 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 | $ | 4,960,409 |  |  | $ | 4,960,409 |  |  | $ | — |  |  | $ | — |  |
| Agencies | 368,032 |  |  | — |  |  | 368,032 |  |  | — |  |
| Non-U.S. government | 491,531 |  |  | — |  |  | 491,531 |  |  | — |  |
| Non-U.S. government-backed corporate | 338,014 |  |  | — |  |  | 338,014 |  |  | — |  |
| Corporate | 4,261,025 |  |  | — |  |  | 4,261,025 |  |  | — |  |
| Agency mortgage-backed | 1,113,792 |  |  | — |  |  | 1,113,792 |  |  | — |  |
| Non-agency mortgage-backed | 291,444 |  |  | — |  |  | 291,444 |  |  | — |  |
| Commercial mortgage-backed | 791,272 |  |  | — |  |  | 791,272 |  |  | — |  |
| Asset-backed | 890,984 |  |  | — |  |  | 890,984 |  |  | — |  |
| Total fixed maturity investments | 13,506,503 |  |  | 4,960,409 |  |  | 8,546,094 |  |  | — |  |
| Short term investments | 4,993,735 |  |  | — |  |  | 4,993,735 |  |  | — |  |
| Equity investments trading | 702,617 |  |  | 702,617 |  |  | — |  |  | — |  |
| Other investments |  |  |  |  |  |  |  |
| Catastrophe bonds | 881,290 |  |  | — |  |  | 881,290 |  |  | — |  |
| Private equity investments | 79,807 |  |  | — |  |  | — |  |  | 79,807 |  |
|  | 961,097 |  |  | — |  |  | 881,290 |  |  | 79,807 |  |
| Fund investments (1) | 295,851 |  |  |  |  |  |  |  |
| Total other investments | 1,256,948 |  |  | — |  |  | 881,290 |  |  | 79,807 |  |
| Other assets and (liabilities) |  |  |  |  |  |  |  |
| Assumed and ceded (re)insurance contracts (2) | (6,211) |  |  | — |  |  | — |  |  | (6,211) |  |
| Derivative assets (3) | 45,233 |  |  | 156 |  |  | 45,077 |  |  | — |  |
| Derivative liabilities (3) | (22,360) |  |  | (567) |  |  | (21,793) |  |  | — |  |
| Total other assets and (liabilities) | 16,662 |  |  | (411) |  |  | 23,284 |  |  | (6,211) |  |
|  | $ | 20,476,465 |  |  | $ | 5,662,615 |  |  | $ | 14,444,403 |  |  | $ | 73,596 |  |
(1) Fund investments, which are comprised of private equity funds, senior secured bank loan funds and hedge funds, are measured at fair value using the net asset value per share (or its equivalent) as a practical expedient and 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, 2020 was $1.4 million of other assets and $7.6 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 March 31, 2021 | Fair Value (Level 3) |  | Valuation Technique |  | Unobservable Inputs |  | Low |  | High |  | Weighted Average or Actual |
| Other investments |  |  |  |  |  |  |  |  |  |  |  |
| Private equity investment | $ | 75,874 |  |  | Internal valuation model |  | Discount rate |  | n/a |  | n/a |  | 9.0% |
|  |  |  |  |  | Liquidity discount |  | n/a |  | n/a |  | 15.0 | % |
| Total other investments | 75,874 |  |  |  |  |  |  |  |  |  |  |  |
| Other assets and (liabilities) |  |  |  |  |  |  |  |  |  |  |  |
| Assumed and ceded (re)insurance contracts | (168) |  |  | Internal valuation model |  | Bond price |  | n/a |  | n/a |  | $ | 99.51 |  |
|  |  |  |  |  | Liquidity discount |  | n/a |  | n/a |  | 1.3 | % |
| Assumed and ceded (re)insurance contracts | (6,849) |  |  | Internal valuation model |  | Net undiscounted cash flows |  | n/a |  | n/a |  | $ | 12,895 |
|  |  |  |  |  | Expected loss ratio |  | n/a |  | n/a |  | 21.9 | % |
|  |  |  |  |  | Discount rate |  | n/a |  | n/a |  | 0.9 | % |
| Assumed and ceded (re)insurance contracts | 596 |  |  | Internal valuation model |  | Expected loss ratio |  | n/a |  | n/a |  | 0.0 | % |
| Total other assets and (liabilities) | (6,421) |  |  |  |  |  |  |  |  |  |  |  |
| Total assets and (liabilities) measured at fair value on a recurring basis using Level 3 inputs | $ | 69,453 |  |  |  |  |  |  |  |  |  |  |  |
| At December 31, 2020 | Fair Value (Level 3) |  | Valuation Technique |  | Unobservable Inputs |  | Low |  | High |  | Weighted Average or Actual |
| Other investments |  |  |  |  |  |  |  |  |  |  |  |
| Private equity investment | $ | 79,807 |  |  | Internal valuation model |  | Discount rate |  | n/a |  | n/a |  | 9.0 | % |
|  |  |  |  |  | Liquidity discount |  | n/a |  | n/a |  | 15.0 | % |
| Total other investments | 79,807 |  |  |  |  |  |  |  |  |  |  |  |
| Other assets and (liabilities) |  |  |  |  |  |  |  |  |  |  |  |
| Assumed and ceded (re)insurance contracts | (190) |  |  | Internal valuation model |  | Bond price |  | n/a |  | n/a |  | $ | 99.31 |  |
|  |  |  |  |  | Liquidity discount |  | n/a |  | n/a |  | 1.3 | % |
| Assumed and ceded (re)insurance contracts | (7,395) |  |  | Internal valuation model |  | Net undiscounted cash flows |  | n/a |  | n/a |  | $ | 12,514 |  |
|  |  |  |  |  | Expected loss ratio |  | n/a |  | n/a |  | 24.0 | % |
|  |  |  |  |  | Discount rate |  | n/a |  | n/a |  | 0.4 | % |
| Assumed and ceded (re)insurance contracts | 1,374 |  |  | Internal valuation model |  | Expected loss ratio |  | n/a |  | n/a |  | 0.0 | % |
| Total other assets and (liabilities) | (6,211) |  |  |  |  |  |  |  |  |  |  |  |
| Total other assets and (liabilities) measured at fair value on a recurring basis using Level 3 inputs | $ | 73,596 |  |  |  |  |  |  |  |  |  |  |  |
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 - January 1, 2021 |  |  | $ | 79,807 |  |  | $ | (6,211) |  |  | $ | 73,596 |  |
| Total realized and unrealized losses |  |  |  |  |  |  |  |
| Included in net realized and unrealized losses on investments |  |  | (3,936) |  |  | — |  |  | (3,936) |  |
| Included in other income (loss) |  |  | — |  |  | 96 |  |  | 96 |  |
| Total foreign exchange gains |  |  | 3 |  |  | — |  |  | 3 |  |
| Purchases |  |  | — |  |  | (306) |  |  | (306) |  |
| Sales |  |  | — |  |  | — |  |  | — |  |
| Balance - March 31, 2021 |  |  | $ | 75,874 |  |  | $ | (6,421) |  |  | $ | 69,453 |  |
|  |  |  | 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 |  |  | (14,156) |  |  | — |  |  | (14,156) |  |
| Included in other income (loss) |  |  | — |  |  | (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 |  |
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 - January 1, 2021 |  |  | $ | 79,807 |  |  | $ | (6,211) |  |  | $ | 73,596 |  |
| Total realized and unrealized losses |  |  |  |  |  |  |  |
| Included in net realized and unrealized losses on investments |  |  | (3,936) |  |  | — |  |  | (3,936) |  |
| Included in other income (loss) |  |  | — |  |  | 96 |  |  | 96 |  |
| Total foreign exchange gains |  |  | 3 |  |  | — |  |  | 3 |  |
| Purchases |  |  | — |  |  | (306) |  |  | (306) |  |
| Sales |  |  | — |  |  | — |  |  | — |  |
| Balance - March 31, 2021 |  |  | $ | 75,874 |  |  | $ | (6,421) |  |  | $ | 69,453 |  |
|  |  |  | 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 |  |  | (14,156) |  |  | — |  |  | (14,156) |  |
| Included in other income (loss) |  |  | — |  |  | (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 |  |
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:
|  | March 31, 2021 |  | December 31, 2020 |
| Other investments | $ | 1,379,056 |  |  | $ | 1,256,948 |  |
| Other assets | $ | 6,437 |  |  | $ | 8,982 |  |
| Other liabilities | $ | 12,858 |  |  | $ | 15,193 |  |
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 March 31, 2021 | Fair Value |  | Unfunded Commitments |  | Redemption Frequency |  | Redemption Notice Period (Minimum Days) |  | Redemption Notice Period (Maximum Days) |
| Private equity funds | $ | 333,910 |  |  | $ | 1,031,629 |  |  | See below |  | See below |  | See below |
| Senior secured bank loan funds | 16,886 |  |  | 7,920 |  |  | See below |  | See below |  | See below |
| Hedge funds | 10,782 |  |  | — |  |  | See below |  | See below |  | See below |
| Total other investments measured using net asset valuations | $ | 361,578 |  |  | $ | 1,039,549 |  |  |  |  |  |  |  |

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- 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
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