XML 33 R22.htm IDEA: XBRL DOCUMENT
v3.4.0.3

FAIR VALUE MEASUREMENTS (TABLES) | 3 Months Ended
--- | ---
Mar. 31, 2016
Fair Value Disclosures [Abstract] |
FINANCIAL INSTRUMENTS MEASURED AT FAIR VALUE ON A RECURRING BASIS | The tables below present the financial instruments measured at fair value on a recurring basis for the periods indicated:
|  | Quoted Prices in Active Markets for Identical Assets (Level 1) |  | Significant Other Observable Inputs (Level 2) |  | Significant Unobservable Inputs (Level 3) |  | Fair value based on NAV practical expedient |  | Total Fair Value |
| At March 31, 2016 |  |  |  |  |  |  |  |  |  |
| Assets |  |  |  |  |  |  |  |  |  |
| Fixed maturities |  |  |  |  |  |  |  |  |  |
| U.S. government and agency | $ | 1,503,841 |  |  | $ | 66,339 |  |  | $ | — |  |  | $ | — |  |  | $ | 1,570,180 |  |
| Non-U.S. government | — |  |  | 720,723 |  |  | — |  |  | — |  |  | 720,723 |  |
| Corporate debt | — |  |  | 4,384,792 |  |  | 40,250 |  |  | — |  |  | 4,425,042 |  |
| Agency RMBS | — |  |  | 2,421,301 |  |  | — |  |  | — |  |  | 2,421,301 |  |
| CMBS | — |  |  | 1,096,133 |  |  | 10,551 |  |  | — |  |  | 1,106,684 |  |
| Non-Agency RMBS | — |  |  | 95,022 |  |  | — |  |  | — |  |  | 95,022 |  |
| ABS | — |  |  | 1,343,150 |  |  | — |  |  | — |  |  | 1,343,150 |  |
| Municipals | — |  |  | 155,966 |  |  | — |  |  | — |  |  | 155,966 |  |
|  | 1,503,841 |  |  | 10,283,426 |  |  | 50,801 |  |  | — |  |  | 11,838,068 |  |
| Equity securities |  |  |  |  |  |  |  |  |  |
| Common stocks | 178 |  |  | — |  |  | — |  |  | — |  |  | 178 |  |
| Exchange-traded funds | 500,668 |  |  | — |  |  | — |  |  | — |  |  | 500,668 |  |
| Bond mutual funds | — |  |  | 136,479 |  |  | — |  |  | — |  |  | 136,479 |  |
|  | 500,846 |  |  | 136,479 |  |  | — |  |  | — |  |  | 637,325 |  |
| Other investments |  |  |  |  |  |  |  |  |  |
| Hedge funds | — |  |  | — |  |  | — |  |  | 587,206 |  |  | 587,206 |  |
| Direct lending funds | — |  |  | — |  |  | — |  |  | 112,889 |  |  | 112,889 |  |
| Private equity funds | — |  |  | — |  |  | — |  |  | 93,783 |  |  | 93,783 |  |
| Real estate funds | — |  |  | — |  |  | — |  |  | 5,390 |  |  | 5,390 |  |
| CLO - Equities | — |  |  | — |  |  | 60,371 |  |  | — |  |  | 60,371 |  |
|  | — |  |  | — |  |  | 60,371 |  |  | 799,268 |  |  | 859,639 |  |
| Short-term investments | — |  |  | 29,540 |  |  | — |  |  | — |  |  | 29,540 |  |
| Other assets |  |  |  |  |  |  |  |  |  |
| Derivative instruments (see Note 5) | — |  |  | 5,980 |  |  | 5,977 |  |  | — |  |  | 11,957 |  |
| Insurance-linked securities | — |  |  | — |  |  | 24,916 |  |  | — |  |  | 24,916 |  |
| Strategic investments | — |  |  | — |  |  | 36,712 |  |  | — |  |  | 36,712 |  |
| Total Assets | $ | 2,004,687 |  |  | $ | 10,455,425 |  |  | $ | 178,777 |  |  | $ | 799,268 |  |  | $ | 13,438,157 |  |
| Liabilities |  |  |  |  |  |  |  |  |  |
| Derivative instruments (see Note 5) | $ | — |  |  | $ | 6,841 |  |  | $ | 15,028 |  |  | $ | — |  |  | $ | 21,869 |  |
| Cash settled awards (see Note 7) | — |  |  | 22,101 |  |  | — |  |  | — |  |  | 22,101 |  |
| Total Liabilities | $ | — |  |  | $ | 28,942 |  |  | $ | 15,028 |  |  | $ | — |  |  | $ | 43,970 |  |
|  | Quoted Prices in Active Markets for Identical Assets (Level 1) |  | Significant Other Observable Inputs (Level 2) |  | Significant Unobservable Inputs (Level 3) |  | Fair value based on NAV practical expedient |  | Total Fair Value |
| At December 31, 2015 |  |  |  |  |  |  |  |  |  |
| Assets |  |  |  |  |  |  |  |  |  |
| Fixed maturities |  |  |  |  |  |  |  |  |  |
| U.S. government and agency | $ | 1,632,355 |  |  | $ | 19,594 |  |  | $ | — |  |  | $ | — |  |  | $ | 1,651,949 |  |
| Non-U.S. government | — |  |  | 739,005 |  |  | — |  |  | — |  |  | 739,005 |  |
| Corporate debt | — |  |  | 4,324,251 |  |  | 38,518 |  |  | — |  |  | 4,362,769 |  |
| Agency RMBS | — |  |  | 2,249,236 |  |  | — |  |  | — |  |  | 2,249,236 |  |
| CMBS | — |  |  | 1,072,376 |  |  | 10,922 |  |  | — |  |  | 1,083,298 |  |
| Non-Agency RMBS | — |  |  | 101,008 |  |  | — |  |  | — |  |  | 101,008 |  |
| ABS | — |  |  | 1,371,270 |  |  | — |  |  | — |  |  | 1,371,270 |  |
| Municipals | — |  |  | 161,214 |  |  | — |  |  | — |  |  | 161,214 |  |
|  | 1,632,355 |  |  | 10,037,954 |  |  | 49,440 |  |  | — |  |  | 11,719,749 |  |
| Equity securities |  |  |  |  |  |  |  |  |  |
| Common stocks | — |  |  | — |  |  | — |  |  | — |  |  | — |  |
| Exchange-traded funds | 473,973 |  |  | — |  |  | — |  |  | — |  |  | 473,973 |  |
| Bond mutual funds | — |  |  | 124,025 |  |  | — |  |  | — |  |  | 124,025 |  |
|  | 473,973 |  |  | 124,025 |  |  | — |  |  | — |  |  | 597,998 |  |
| Other investments |  |  |  |  |  |  |  |  |  |
| Hedge funds | — |  |  | — |  |  | — |  |  | 656,773 |  |  | 656,773 |  |
| Direct lending funds | — |  |  | — |  |  | — |  |  | 90,120 |  |  | 90,120 |  |
| Private equity funds | — |  |  | — |  |  | — |  |  | — |  |  | — |  |
| Real estate funds | — |  |  | — |  |  | — |  |  | 4,929 |  |  | 4,929 |  |
| CLO - Equities | — |  |  | — |  |  | 27,257 |  |  | 37,677 |  |  | 64,934 |  |
|  | — |  |  | — |  |  | 27,257 |  |  | 789,499 |  |  | 816,756 |  |
| Short-term investments | — |  |  | 34,406 |  |  | — |  |  | — |  |  | 34,406 |  |
| Other assets |  |  |  |  |  |  |  |  |  |
| Derivative instruments (see Note 5) | — |  |  | 2,072 |  |  | 4,395 |  |  | — |  |  | 6,467 |  |
| Insurance-linked securities | — |  |  | — |  |  | 24,925 |  |  | — |  |  | 24,925 |  |
| Strategic investments | — |  |  | — |  |  | — |  |  | — |  |  | — |  |
| Total Assets | $ | 2,106,328 |  |  | $ | 10,198,457 |  |  | $ | 106,017 |  |  | $ | 789,499 |  |  | $ | 13,200,301 |  |
| Liabilities |  |  |  |  |  |  |  |  |  |
| Derivative instruments (see Note 5) | $ | — |  |  | $ | 7,692 |  |  | $ | 10,937 |  |  | $ | — |  |  | $ | 18,629 |  |
| Cash settled awards (see Note 7) | — |  |  | 33,215 |  |  | — |  |  | — |  |  | 33,215 |  |
| Total Liabilities | $ | — |  |  | $ | 40,907 |  |  | $ | 10,937 |  |  | $ | — |  |  | $ | 51,844 |  |
LEVEL 3 FAIR VALUE MEASUREMENT INPUTS | Except for hedge funds, direct lending funds, private equity funds and real estate funds priced using NAV as a practical expedient and certain fixed maturities and insurance-linked securities priced using broker-dealer quotes (underlying inputs are not available), the following table quantifies the significant unobservable inputs we have used in estimating fair value at March 31, 2016 for our investments classified as Level 3 in the fair value hierarchy.
|  | Fair Value | Valuation Technique | Unobservable Input | Range | Weighted Average |
| Other investments - CLO - Equities | $ | 39,616 |  | Discounted cash flow | Default rates | 4.0% | 4.0% |
|  |  |  | Loss severity rate | 35.0% - 53.5% | 36.5% |
|  |  |  | Collateral spreads | 3.2% - 4.0% | 3.9% |
|  |  |  | Estimated maturity dates | 3 - 7 years | 7 years |
|  | 20,755 |  | Liquidation value | Fair value of collateral | 100% | 100% |
|  |  |  | Discount margin | 0.7% - 25.9% | 5.5% |
| Derivatives - Weather derivatives, net | $ | (9,051 | ) | Simulation model | Weather curve | 1 - 2331(1) | n/a (2) |
|  |  |  | Weather standard deviation | 1 - 165(1) | n/a (2) |
(1) Measured in Heating Degree Days ("HDD") which is the number of degrees the daily temperature is below a reference temperature. The cumulative HDD for the duration of the derivatives contract is compared to the strike value to determine the necessary settlement.
(2) | Due to the diversity of the portfolio, the range of unobservable inputs can be widespread; therefore, presentation of a weighted average is not useful. Weather parameters may include various temperature and/or precipitation measures that will naturally vary by geographic location of each counterparty's operations.
CHANGES IN LEVEL 3 FINANCIAL INSTRUMENTS MEASURED AT FAIR VALUE ON A RECURRING BASIS | The following tables present changes in Level 3 for financial instruments measured at fair value on a recurring basis for the periods indicated:
|  | Opening Balance |  | Transfers into Level 3 |  | Transfers out of Level 3 |  | Included in earnings (1) |  | Included in OCI (2) |  | Purchases |  | Sales |  | Settlements/ Distributions |  | Closing Balance |  | Change in unrealized investment gain/(loss) (3) |
| Three months ended March 31, 2016 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Fixed maturities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Corporate debt | $ | 38,518 |  |  | $ | — |  |  | $ | (1,955 | ) |  | $ | 2 |  |  | $ | (76 | ) |  | $ | 5,821 |  |  | $ | (1,910 | ) |  | $ | (150 | ) |  | $ | 40,250 |  |  | $ | — |  |
| CMBS | 10,922 |  |  | — |  |  | — |  |  | — |  |  | (144 | ) |  | — |  |  | — |  |  | (227 | ) |  | 10,551 |  |  | — |  |
| ABS | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |
|  | 49,440 |  |  | — |  |  | (1,955 | ) |  | 2 |  |  | (220 | ) |  | 5,821 |  |  | (1,910 | ) |  | (377 | ) |  | 50,801 |  |  | — |  |
| Other investments |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CLO - Equities | 27,257 |  |  | 36,378 |  |  | — |  |  | (1,016 | ) |  | — |  |  | — |  |  | — |  |  | (2,248 | ) |  | 60,371 |  |  | (1,016 | ) |
|  | 27,257 |  |  | 36,378 |  |  | — |  |  | (1,016 | ) |  | — |  |  | — |  |  | — |  |  | (2,248 | ) |  | 60,371 |  |  | (1,016 | ) |
| Other assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Derivative instruments | 4,395 |  |  | — |  |  | — |  |  | 2,948 |  |  | — |  |  | 1,359 |  |  | — |  |  | (2,725 | ) |  | 5,977 |  |  | 1,479 |  |
| Insurance-linked securities | 24,925 |  |  | — |  |  | — |  |  | (9 | ) |  | — |  |  | — |  |  | — |  |  | — |  |  | 24,916 |  |  | (9 | ) |
| Strategic investments | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 36,712 |  |  | — |  |  | — |  |  | 36,712 |  |  | — |  |
|  | 29,320 |  |  | — |  |  | — |  |  | 2,939 |  |  | — |  |  | 38,071 |  |  | — |  |  | (2,725 | ) |  | 67,605 |  |  | 1,470 |  |
| Total assets | $ | 106,017 |  |  | $ | 36,378 |  |  | $ | (1,955 | ) |  | $ | 1,925 |  |  | $ | (220 | ) |  | $ | 43,892 |  |  | $ | (1,910 | ) |  | $ | (5,350 | ) |  | $ | 178,777 |  |  | $ | 454 |  |
| Other liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Derivative instruments | $ | 10,937 |  |  | $ | — |  |  | $ | — |  |  | $ | 3,423 |  |  | $ | — |  |  | $ | (1,025 | ) |  | $ | — |  |  | $ | 1,693 |  |  | $ | 15,028 |  |  | $ | 3,682 |  |
| Total liabilities | $ | 10,937 |  |  | $ | — |  |  | $ | — |  |  | $ | 3,423 |  |  | $ | — |  |  | $ | (1,025 | ) |  | $ | — |  |  | $ | 1,693 |  |  | $ | 15,028 |  |  | $ | 3,682 |  |
|  | Opening Balance |  | Transfers into Level 3 |  | Transfers out of Level 3 |  | Included in earnings (1) |  | Included in OCI (2) |  | Purchases |  | Sales |  | Settlements/ Distributions |  | Closing Balance |  | Change in unrealized investment gain/(loss) (3) |
| Three months ended March 31, 2015 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Fixed maturities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Corporate debt | $ | 15,837 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 180 |  |  | $ | 10,910 |  |  | $ | — |  |  | $ | (70 | ) |  | $ | 26,857 |  |  | $ | — |  |
| CMBS | 17,763 |  |  | — |  |  | — |  |  | — |  |  | (204 | ) |  | — |  |  | — |  |  | (498 | ) |  | 17,061 |  |  | — |  |
| ABS | 40,031 |  |  | — |  |  | — |  |  | — |  |  | 62 |  |  | — |  |  | — |  |  | (172 | ) |  | 39,921 |  |  | — |  |
|  | 73,631 |  |  | — |  |  | — |  |  | — |  |  | 38 |  |  | 10,910 |  |  | — |  |  | (740 | ) |  | 83,839 |  |  | — |  |
| Other investments |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CLO - Equities | 37,046 |  |  | — |  |  | — |  |  | 3,530 |  |  | — |  |  | — |  |  | — |  |  | (3,616 | ) |  | 36,960 |  |  | 3,530 |  |
|  | 37,046 |  |  | — |  |  | — |  |  | 3,530 |  |  | — |  |  | — |  |  | — |  |  | (3,616 | ) |  | 36,960 |  |  | 3,530 |  |
| Other assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Derivative instruments | 111 |  |  | — |  |  | — |  |  | (1,067 | ) |  | — |  |  | — |  |  | — |  |  | 956 |  |  | — |  |  | — |  |
| Insurance-linked securities | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 25,000 |  |  | — |  |  | — |  |  | 25,000 |  |  | — |  |
| Strategic investments | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |
|  | 111 |  |  | — |  |  | — |  |  | (1,067 | ) |  | — |  |  | 25,000 |  |  | — |  |  | 956 |  |  | 25,000 |  |  | — |  |
| Total assets | $ | 110,788 |  |  | $ | — |  |  | $ | — |  |  | $ | 2,463 |  |  | $ | 38 |  |  | $ | 35,910 |  |  | $ | — |  |  | $ | (3,400 | ) |  | $ | 145,799 |  |  | $ | 3,530 |  |
| Other liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Derivative instruments | $ | 15,288 |  |  | $ | — |  |  | $ | — |  |  | $ | (8,551 | ) |  | $ | — |  |  | $ | 1,082 |  |  | $ | — |  |  | $ | (511 | ) |  | $ | 7,308 |  |  | $ | (2,058 | ) |
| Total liabilities | $ | 15,288 |  |  | $ | — |  |  | $ | — |  |  | $ | (8,551 | ) |  | $ | — |  |  | $ | 1,082 |  |  | $ | — |  |  | $ | (511 | ) |  | $ | 7,308 |  |  | $ | (2,058 | ) |
(1) | Gains and losses included in earnings on fixed maturities are included in net realized investment gains (losses). Gains and (losses) included in earnings on other investments are included in net investment income. Gains (losses) on weather derivatives included in earnings are included in other insurance-related income.
(2) | Gains and losses included in other comprehensive income (“OCI”) on fixed maturities are included in unrealized gains (losses) arising during the period.
(3) | Change in unrealized investment gain (loss) relating to assets held at the reporting date.

X
- Definition Tabular disclosure of the fair value measurement of assets and liabilities 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 or liability. + References No definition available. + Details
Name: | axs_FairValueAssetsandLiabilitiesMeasuredonRecurringBasisUnobservableInputReconciliationTableTextBlock
Namespace Prefix: | axs_
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 quantitative information about the inputs used in the fair value measurement of assets. This disclosure may include, but is not limited to, the fair value of the asset, valuation technique used to measure fair value, the inputs used to measure fair value, the ranges of the inputs, and the weighted averages of the inputs. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (bbb) -URI http://asc.fasb.org/extlink&oid=36462937&loc=d3e19207-110258 + Details
Name: | us-gaap_FairValueInputsAssetsQuantitativeInformationTableTextBlock
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/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 1 -URI http://asc.fasb.org/extlink&oid=36462937&loc=d3e19190-110258 + Details
Name: | us-gaap_ScheduleOfFairValueAssetsAndLiabilitiesMeasuredOnRecurringBasisTableTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration