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Fair Value Measurements (Tables)

6 Months Ended

Jun. 30, 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 June 30, 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			$	6,327,895					$	6,327,895					$	—					$	—
			Agencies			325,051						—						325,051						—
			Non-U.S. government			508,320						—						508,320						—
			Non-U.S. government-backed corporate			396,966						—						396,966						—
			Corporate			3,387,433						—						3,387,433						—
			Agency mortgage-backed			703,757						—						703,757						—
			Non-agency mortgage-backed			260,432						—						260,432						—
			Commercial mortgage-backed			588,262						—						588,262						—
			Asset-backed			920,273						—						920,273						—
			Total fixed maturity investments			13,418,389						6,327,895						7,090,494						—
			Short term investments			4,392,652						—						4,392,652						—
			Equity investments trading			577,090						577,090						—						—
			Other investments
			Catastrophe bonds			1,026,397						—						1,026,397						—
			Private equity investments			81,344						—						—						81,344
						1,107,741						—						1,026,397						81,344
			Fund investments (1)			477,295
			Total other investments			1,585,036						—						1,026,397						81,344
			Other assets and (liabilities)
			Assumed and ceded (re)insurance contracts (2)			(6,193)						—						—						(6,193)
			Derivative assets (3)			9,465						837						8,628						—
			Derivative liabilities (3)			(15,630)						(1,281)						(14,349)						—
			Total other assets and (liabilities)			(12,358)						(444)						(5,721)						(6,193)
						$	19,960,809					$	6,904,541					$	12,503,822					$	75,151

(1)    Fund investments, which are comprised of private equity and private credit 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 June 30, 2021 was $Nil of other assets and $6.2 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, 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 and private credit 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 June 30, 2021

Fair Value (Level 3)

Valuation Technique

Unobservable Inputs

Low

High

Weighted Average or Actual

Other investments

Private equity investment

$

81,344

Internal valuation model

Discount rate

n/a

n/a

9.0%

Liquidity discount

n/a

n/a

15.0

%

Total other investments

81,344

Other assets and (liabilities)

Assumed and ceded (re)insurance contracts

(6,193)

Internal valuation model

Net undiscounted cash flows

n/a

n/a

$

13,233

Expected loss ratio

n/a

n/a

20.0

%

Discount rate

n/a

n/a

0.9

%

Total other assets and (liabilities)

(6,193)

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

$

75,151

At December 31, 2020

Fair Value (Level 3)

Valuation Technique

Unobservable Inputs

Low

High

Weighted Average or Actual

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

(6,211)

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

%

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 - April 1, 2021									$	75,874					$	(6,421)					$	69,453
			Total realized and unrealized gains (losses)
			Included in net realized and unrealized gains (losses) on investments									1,415						—						1,415
			Included in other income (loss)									—						440						440
			Total foreign exchange gains									1						—						1
			Purchases									5,000						(212)						4,788
			Sales									(946)						—						(946)
			Settlements									—						—						—
			Balance - June 30, 2021									$	81,344					$	(6,193)					$	75,151
												Other investments						Other assets and (liabilities)						Total
			Balance - January 1, 2021									$	79,807					$	(6,211)					$	73,596
			Total realized and unrealized gains (losses)
			Included in net realized and unrealized gains (losses) on investments									(2,521)						—						(2,521)
			Included in other income (loss)									—						536						536
			Total foreign exchange gains									4						—						4
			Purchases									5,000						(518)						4,482
			Sales									(946)						—						(946)
			Settlements									—						—						—
			Balance - June 30, 2021									$	81,344					$	(6,193)					$	75,151

												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 income (loss)									—						(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 income (loss)									—						(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

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, 2021									$	75,874					$	(6,421)					$	69,453
			Total realized and unrealized gains (losses)
			Included in net realized and unrealized gains (losses) on investments									1,415						—						1,415
			Included in other income (loss)									—						440						440
			Total foreign exchange gains									1						—						1
			Purchases									5,000						(212)						4,788
			Sales									(946)						—						(946)
			Settlements									—						—						—
			Balance - June 30, 2021									$	81,344					$	(6,193)					$	75,151
												Other investments						Other assets and (liabilities)						Total
			Balance - January 1, 2021									$	79,807					$	(6,211)					$	73,596
			Total realized and unrealized gains (losses)
			Included in net realized and unrealized gains (losses) on investments									(2,521)						—						(2,521)
			Included in other income (loss)									—						536						536
			Total foreign exchange gains									4						—						4
			Purchases									5,000						(518)						4,482
			Sales									(946)						—						(946)
			Settlements									—						—						—
			Balance - June 30, 2021									$	81,344					$	(6,193)					$	75,151

												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 income (loss)									—						(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 income (loss)									—						(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

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, 2021						December 31, 2020
			Other investments			$	1,585,036					$	1,256,948
			Other assets			$	4,418					$	8,982
			Other liabilities			$	10,611					$	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 June 30, 2021

Fair Value

Unfunded Commitments

Redemption Frequency

Redemption Notice Period (Minimum Days)

Redemption Notice Period (Maximum Days)

Private equity and private credit funds

$

453,675

$

1,186,194

See below

See below

See below

Senior secured bank loan funds

12,251

7,818

See below

See below

See below

Hedge funds

11,369

—

See below

See below

See below

Total other investments measured using net asset valuations

$

477,295

$

1,194,012

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