XML 37 R26.htm IDEA: XBRL DOCUMENT v3.21.1

Fair Value Measurements (Tables)

3 Months Ended

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

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