XML 63 R39.htm IDEA: XBRL DOCUMENT
v3.10.0.1

FAIR VALUE MEASUREMENTS (Tables) | 12 Months Ended
--- | ---
Dec. 31, 2018
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 December 31, 2018 |  |  |  |  |  |  |  |  |  |
| Assets |  |  |  |  |  |  |  |  |  |
| Fixed maturities |  |  |  |  |  |  |  |  |  |
| U.S. government and agency | $ | 1,480,466 |  |  | $ | 35,231 |  |  | $ | — |  |  | $ | — |  |  | $ | 1,515,697 |  |
| Non-U.S. government | — |  |  | 493,016 |  |  | — |  |  | — |  |  | 493,016 |  |
| Corporate debt | — |  |  | 4,827,909 |  |  | 49,012 |  |  | — |  |  | 4,876,921 |  |
| Agency RMBS | — |  |  | 1,643,308 |  |  | — |  |  | — |  |  | 1,643,308 |  |
| CMBS | — |  |  | 1,073,396 |  |  | 19,134 |  |  | — |  |  | 1,092,530 |  |
| Non-Agency RMBS | — |  |  | 40,687 |  |  | — |  |  | — |  |  | 40,687 |  |
| ABS | — |  |  | 1,619,070 |  |  | 18,533 |  |  | — |  |  | 1,637,603 |  |
| Municipals | — |  |  | 135,585 |  |  | — |  |  | — |  |  | 135,585 |  |
|  | 1,480,466 |  |  | 9,868,202 |  |  | 86,679 |  |  | — |  |  | 11,435,347 |  |
| Equity securities |  |  |  |  |  |  |  |  |  |
| Common stocks | 527 |  |  | — |  |  | — |  |  | — |  |  | 527 |  |
| Exchange-traded funds | 236,839 |  |  | — |  |  | — |  |  | — |  |  | 236,839 |  |
| Bond mutual funds | — |  |  | 144,267 |  |  | — |  |  | — |  |  | 144,267 |  |
|  | 237,366 |  |  | 144,267 |  |  | — |  |  | — |  |  | 381,633 |  |
| Other investments |  |  |  |  |  |  |  |  |  |
| Hedge funds(1) | — |  |  | — |  |  | — |  |  | 194,598 |  |  | 194,598 |  |
| Direct lending funds | — |  |  | — |  |  | — |  |  | 274,478 |  |  | 274,478 |  |
| Private equity funds | — |  |  | — |  |  | — |  |  | 64,566 |  |  | 64,566 |  |
| Real estate funds | — |  |  | — |  |  | — |  |  | 84,202 |  |  | 84,202 |  |
| Other privately held investments | — |  |  | — |  |  | 44,518 |  |  | — |  |  | 44,518 |  |
| CLO-Equities | — |  |  | — |  |  | 21,271 |  |  | — |  |  | 21,271 |  |
| Overseas deposits | — |  |  | 104,154 |  |  | — |  |  | — |  |  | 104,154 |  |
|  | — |  |  | 104,154 |  |  | 65,789 |  |  | 617,844 |  |  | 787,787 |  |
| Short-term investments | — |  |  | 144,040 |  |  | — |  |  | — |  |  | 144,040 |  |
| Other assets |  |  |  |  |  |  |  |  |  |
| Derivative instruments (refer to Note 8) | — |  |  | 8,237 |  |  | — |  |  | — |  |  | 8,237 |  |
| Total Assets | $ | 1,717,832 |  |  | $ | 10,268,900 |  |  | $ | 152,468 |  |  | $ | 617,844 |  |  | $ | 12,757,044 |  |
| Liabilities |  |  |  |  |  |  |  |  |  |
| Derivative instruments (refer to Note 8) | $ | — |  |  | $ | 4,223 |  |  | $ | 10,299 |  |  | $ | — |  |  | $ | 14,522 |  |
| Cash settled awards (refer to Note 16) | — |  |  | 20,648 |  |  | — |  |  | — |  |  | 20,648 |  |
| Total Liabilities | $ | — |  |  | $ | 24,871 |  |  | $ | 10,299 |  |  | $ | — |  |  | $ | 35,170 |  |
(1) | Includes Long/short equity, Multi-strategy and Event-driven funds.
|  | 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, 2017 |  |  |  |  |  |  |  |  |  |
| Assets |  |  |  |  |  |  |  |  |  |
| Fixed maturities |  |  |  |  |  |  |  |  |  |
| U.S. government and agency | $ | 1,658,622 |  |  | $ | 53,847 |  |  | $ | — |  |  | $ | — |  |  | $ | 1,712,469 |  |
| Non-U.S. government | — |  |  | 806,299 |  |  | — |  |  | — |  |  | 806,299 |  |
| Corporate debt | — |  |  | 5,244,969 |  |  | 52,897 |  |  | — |  |  | 5,297,866 |  |
| Agency RMBS | — |  |  | 2,395,152 |  |  | — |  |  | — |  |  | 2,395,152 |  |
| CMBS | — |  |  | 777,728 |  |  | — |  |  | — |  |  | 777,728 |  |
| Non-Agency RMBS | — |  |  | 46,831 |  |  | — |  |  | — |  |  | 46,831 |  |
| ABS | — |  |  | 1,436,281 |  |  | — |  |  | — |  |  | 1,436,281 |  |
| Municipals | — |  |  | 149,380 |  |  | — |  |  | — |  |  | 149,380 |  |
|  | 1,658,622 |  |  | 10,910,487 |  |  | 52,897 |  |  | — |  |  | 12,622,006 |  |
| Equity securities |  |  |  |  |  |  |  |  |  |
| Common stocks | 25,658 |  |  | — |  |  | — |  |  | — |  |  | 25,658 |  |
| Exchange-traded funds | 427,633 |  |  | — |  |  | — |  |  | — |  |  | 427,633 |  |
| Bond mutual funds | — |  |  | 182,220 |  |  | — |  |  | — |  |  | 182,220 |  |
|  | 453,291 |  |  | 182,220 |  |  | — |  |  | — |  |  | 635,511 |  |
| Other investments |  |  |  |  |  |  |  |  |  |
| Hedge funds(1) | — |  |  | — |  |  | — |  |  | 363,811 |  |  | 363,811 |  |
| Direct lending funds | — |  |  | — |  |  | — |  |  | 250,681 |  |  | 250,681 |  |
| Private equity funds | — |  |  | — |  |  | — |  |  | 68,812 |  |  | 68,812 |  |
| Real estate funds | — |  |  | — |  |  | — |  |  | 50,009 |  |  | 50,009 |  |
| Other privately held investments | — |  |  | — |  |  | 46,430 |  |  | — |  |  | 46,430 |  |
| CLO-Equities | — |  |  | — |  |  | 31,413 |  |  | — |  |  | 31,413 |  |
| Overseas deposits | — |  |  | 198,217 |  |  | — |  |  | — |  |  | 198,217 |  |
|  | — |  |  | 198,217 |  |  | 77,843 |  |  | 733,313 |  |  | 1,009,373 |  |
| Short-term investments | — |  |  | 83,661 |  |  | — |  |  | — |  |  | 83,661 |  |
| Other assets |  |  |  |  |  |  |  |  |  |
| Derivative instruments (refer to Note 8) | — |  |  | 5,125 |  |  | — |  |  | — |  |  | 5,125 |  |
| Insurance-linked securities | — |  |  | — |  |  | 25,090 |  |  | — |  |  | 25,090 |  |
| Total Assets | $ | 2,111,913 |  |  | $ | 11,379,710 |  |  | $ | 155,830 |  |  | $ | 733,313 |  |  | $ | 14,380,766 |  |
| Liabilities |  |  |  |  |  |  |  |  |  |
| Derivative instruments (refer to Note 8) | $ | — |  |  | $ | 2,876 |  |  | $ | 11,510 |  |  | $ | — |  |  | $ | 14,386 |  |
| Cash settled awards (refer to Note 16) | — |  |  | 21,535 |  |  | — |  |  | — |  |  | 21,535 |  |
| Total Liabilities | $ | — |  |  | $ | 24,411 |  |  | $ | 11,510 |  |  | $ | — |  |  | $ | 35,921 |  |
(1) | Includes Long/short equity, Multi-strategy and Event-driven funds.
LEVEL 3 FAIR VALUE MEASUREMENT INPUTS | The following table quantifies the significant unobservable inputs used in estimating fair values at December 31, 2018 of investments classified as Level 3 in the fair value hierarchy.
|  | Fair value | Valuation technique | Unobservable input | Range | Weighted average |
| Other investments - CLO-Equities | $ | 21,271 |  | Discounted cash flow | Default rates | 3.0% | 3.0% |
|  |  |  | Loss severity rate | 35% | 35% |
|  |  |  | Collateral spreads | 3.0% | 3.0% |
|  |  |  | Estimated maturity dates | 7 years | 7 years |
| Other investments - Other privately held investments | $ | 44,518 |  | Discounted cash flow | Discount rate | 3.0% - 8.0% | 7.1% |
| Derivatives - Other underwriting-related derivatives | $ | (10,299 | ) | Discounted cash flow | Discount rate | 2.6% | 2.6% |
Note: Fixed maturities and insurance-linked securities that are classified as Level 3 are excluded from the above table as these securities are priced using broker-dealer quotes.
CHANGES IN LEVEL 3 FINANCIAL INSTRUMENTS MEASURED AT FAIR VALUE ON A RECURRING BASIS, ASSETS | The following table presents 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 net income(1) |  | Included in OCI (2) |  | Purchases |  | Sales |  | Settlements/ distributions |  | Closing balance |  | Change in unrealized investment gains/losses (3) |
| Year ended December 31, 2018 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Fixed maturities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Corporate debt | $ | 52,897 |  |  | $ | 2,935 |  |  | $ | (4,279 | ) |  | $ | (591 | ) |  | $ | 6,343 |  |  | $ | 10,267 |  |  | $ | (7,446 | ) |  | $ | (11,114 | ) |  | $ | 49,012 |  |  | $ | — |  |
| CMBS | — |  |  | 5,096 |  |  | — |  |  | — |  |  | (145 | ) |  | 17,200 |  |  | — |  |  | (3,017 | ) |  | 19,134 |  |  | — |  |
| ABS | — |  |  | 1,979 |  |  | — |  |  | — |  |  | (446 | ) |  | 17,000 |  |  | — |  |  | — |  |  | 18,533 |  |  | — |  |
|  | 52,897 |  |  | 10,010 |  |  | (4,279 | ) |  | (591 | ) |  | 5,752 |  |  | 44,467 |  |  | (7,446 | ) |  | (14,131 | ) |  | 86,679 |  |  | — |  |
| Other investments |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Other privately held investments | 46,430 |  |  | — |  |  | — |  |  | (913 | ) |  | — |  |  | 3,110 |  |  | (4,109 | ) |  | — |  |  | 44,518 |  |  | (913 | ) |
| CLO-Equities | 31,413 |  |  | — |  |  | — |  |  | 6,627 |  |  | — |  |  | — |  |  | — |  |  | (16,769 | ) |  | 21,271 |  |  | 6,627 |  |
|  | 77,843 |  |  | — |  |  | — |  |  | 5,714 |  |  | — |  |  | 3,110 |  |  | (4,109 | ) |  | (16,769 | ) |  | 65,789 |  |  | 5,714 |  |
| Other assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Derivative instruments | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |
| Insurance-linked securities | 25,090 |  |  | — |  |  | — |  |  | (90 | ) |  | — |  |  | — |  |  | — |  |  | (25,000 | ) |  | — |  |  | — |  |
|  | 25,090 |  |  | — |  |  | — |  |  | (90 | ) |  | — |  |  | — |  |  | — |  |  | (25,000 | ) |  | — |  |  | — |  |
| Total assets | $ | 155,830 |  |  | $ | 10,010 |  |  | $ | (4,279 | ) |  | $ | 5,033 |  |  | $ | 5,752 |  |  | $ | 47,577 |  |  | $ | (11,555 | ) |  | $ | (55,900 | ) |  | $ | 152,468 |  |  | $ | 5,714 |  |
| Other liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Derivative instruments | 11,510 |  |  | — |  |  | — |  |  | (1,211 | ) |  | — |  |  | — |  |  | — |  |  | — |  |  | 10,299 |  |  | (1,211 | ) |
| Total liabilities | $ | 11,510 |  |  | $ | — |  |  | $ | — |  |  | $ | (1,211 | ) |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 10,299 |  |  | $ | (1,211 | ) |
| Year ended December 31, 2017 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Fixed maturities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Corporate debt | $ | 75,875 |  |  | $ | 2,324 |  |  | $ | (2,721 | ) |  | $ | (503 | ) |  | $ | (1,524 | ) |  | $ | 17,062 |  |  | $ | (22,903 | ) |  | $ | (14,713 | ) |  | $ | 52,897 |  |  | $ | — |  |
| CMBS | 3,061 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | (3,061 | ) |  | — |  |  | — |  |
| ABS | 17,464 |  |  | — |  |  | (18,949 | ) |  | — |  |  | 1,485 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |
|  | 96,400 |  |  | 2,324 |  |  | (21,670 | ) |  | (503 | ) |  | (39 | ) |  | 17,062 |  |  | (22,903 | ) |  | (17,774 | ) |  | 52,897 |  |  | — |  |
| Other investments |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Other privately held investments | 42,142 |  |  | — |  |  | — |  |  | 1,584 |  |  | — |  |  | 2,704 |  |  | — |  |  | — |  |  | 46,430 |  |  | 1,584 |  |
| CLO-Equities | 60,700 |  |  | — |  |  | — |  |  | 2,558 |  |  | — |  |  | — |  |  | — |  |  | (31,845 | ) |  | 31,413 |  |  | 2,558 |  |
|  | 102,842 |  |  | — |  |  | — |  |  | 4,142 |  |  | — |  |  | 2,704 |  |  | — |  |  | (31,845 | ) |  | 77,843 |  |  | 4,142 |  |
| Other assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Derivative instruments | 2,532 |  |  | — |  |  | — |  |  | 653 |  |  | — |  |  | — |  |  | — |  |  | (3,185 | ) |  | — |  |  | — |  |
| Insurance-linked securities | 25,023 |  |  | — |  |  | — |  |  | 67 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 25,090 |  |  | 67 |  |
|  | 27,555 |  |  | — |  |  | — |  |  | 720 |  |  | — |  |  | — |  |  | — |  |  | (3,185 | ) |  | 25,090 |  |  | 67 |  |
| Total assets | $ | 226,797 |  |  | $ | 2,324 |  |  | $ | (21,670 | ) |  | $ | 4,359 |  |  | $ | (39 | ) |  | $ | 19,766 |  |  | $ | (22,903 | ) |  | $ | (52,804 | ) |  | $ | 155,830 |  |  | $ | 4,209 |  |
| Other liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Derivative instruments | 6,500 |  |  | — |  |  | — |  |  | 9,320 |  |  | — |  |  | 12,472 |  |  | — |  |  | (16,782 | ) |  | 11,510 |  |  | (962 | ) |
| Total liabilities | $ | 6,500 |  |  | $ | — |  |  | $ | — |  |  | $ | 9,320 |  |  | $ | — |  |  | $ | 12,472 |  |  | $ | — |  |  | $ | (16,782 | ) |  | $ | 11,510 |  |  | $ | (962 | ) |
(1) | Realized investment gains (losses) on fixed maturities, and realized and unrealized gains (losses) on other assets and other liabilities included in net income are included in net investment gains (losses). Realized and unrealized gains (losses) on other investments included in net income are included in net investment income.
(2) | Unrealized investment gains (losses) on fixed maturities are included in other comprehensive income ("OCI").
(3) | Change in unrealized investment gains (losses) relating to assets held at the reporting date.
CHANGES IN LEVEL 3 FINANCIAL INSTRUMENTS MEASURED AT FAIR VALUE ON A RECURRING BASIS, LIABILITIES | The following table presents 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 net income(1) |  | Included in OCI (2) |  | Purchases |  | Sales |  | Settlements/ distributions |  | Closing balance |  | Change in unrealized investment gains/losses (3) |
| Year ended December 31, 2018 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Fixed maturities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Corporate debt | $ | 52,897 |  |  | $ | 2,935 |  |  | $ | (4,279 | ) |  | $ | (591 | ) |  | $ | 6,343 |  |  | $ | 10,267 |  |  | $ | (7,446 | ) |  | $ | (11,114 | ) |  | $ | 49,012 |  |  | $ | — |  |
| CMBS | — |  |  | 5,096 |  |  | — |  |  | — |  |  | (145 | ) |  | 17,200 |  |  | — |  |  | (3,017 | ) |  | 19,134 |  |  | — |  |
| ABS | — |  |  | 1,979 |  |  | — |  |  | — |  |  | (446 | ) |  | 17,000 |  |  | — |  |  | — |  |  | 18,533 |  |  | — |  |
|  | 52,897 |  |  | 10,010 |  |  | (4,279 | ) |  | (591 | ) |  | 5,752 |  |  | 44,467 |  |  | (7,446 | ) |  | (14,131 | ) |  | 86,679 |  |  | — |  |
| Other investments |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Other privately held investments | 46,430 |  |  | — |  |  | — |  |  | (913 | ) |  | — |  |  | 3,110 |  |  | (4,109 | ) |  | — |  |  | 44,518 |  |  | (913 | ) |
| CLO-Equities | 31,413 |  |  | — |  |  | — |  |  | 6,627 |  |  | — |  |  | — |  |  | — |  |  | (16,769 | ) |  | 21,271 |  |  | 6,627 |  |
|  | 77,843 |  |  | — |  |  | — |  |  | 5,714 |  |  | — |  |  | 3,110 |  |  | (4,109 | ) |  | (16,769 | ) |  | 65,789 |  |  | 5,714 |  |
| Other assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Derivative instruments | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |
| Insurance-linked securities | 25,090 |  |  | — |  |  | — |  |  | (90 | ) |  | — |  |  | — |  |  | — |  |  | (25,000 | ) |  | — |  |  | — |  |
|  | 25,090 |  |  | — |  |  | — |  |  | (90 | ) |  | — |  |  | — |  |  | — |  |  | (25,000 | ) |  | — |  |  | — |  |
| Total assets | $ | 155,830 |  |  | $ | 10,010 |  |  | $ | (4,279 | ) |  | $ | 5,033 |  |  | $ | 5,752 |  |  | $ | 47,577 |  |  | $ | (11,555 | ) |  | $ | (55,900 | ) |  | $ | 152,468 |  |  | $ | 5,714 |  |
| Other liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Derivative instruments | 11,510 |  |  | — |  |  | — |  |  | (1,211 | ) |  | — |  |  | — |  |  | — |  |  | — |  |  | 10,299 |  |  | (1,211 | ) |
| Total liabilities | $ | 11,510 |  |  | $ | — |  |  | $ | — |  |  | $ | (1,211 | ) |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 10,299 |  |  | $ | (1,211 | ) |
| Year ended December 31, 2017 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Fixed maturities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Corporate debt | $ | 75,875 |  |  | $ | 2,324 |  |  | $ | (2,721 | ) |  | $ | (503 | ) |  | $ | (1,524 | ) |  | $ | 17,062 |  |  | $ | (22,903 | ) |  | $ | (14,713 | ) |  | $ | 52,897 |  |  | $ | — |  |
| CMBS | 3,061 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | (3,061 | ) |  | — |  |  | — |  |
| ABS | 17,464 |  |  | — |  |  | (18,949 | ) |  | — |  |  | 1,485 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |
|  | 96,400 |  |  | 2,324 |  |  | (21,670 | ) |  | (503 | ) |  | (39 | ) |  | 17,062 |  |  | (22,903 | ) |  | (17,774 | ) |  | 52,897 |  |  | — |  |
| Other investments |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Other privately held investments | 42,142 |  |  | — |  |  | — |  |  | 1,584 |  |  | — |  |  | 2,704 |  |  | — |  |  | — |  |  | 46,430 |  |  | 1,584 |  |
| CLO-Equities | 60,700 |  |  | — |  |  | — |  |  | 2,558 |  |  | — |  |  | — |  |  | — |  |  | (31,845 | ) |  | 31,413 |  |  | 2,558 |  |
|  | 102,842 |  |  | — |  |  | — |  |  | 4,142 |  |  | — |  |  | 2,704 |  |  | — |  |  | (31,845 | ) |  | 77,843 |  |  | 4,142 |  |
| Other assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Derivative instruments | 2,532 |  |  | — |  |  | — |  |  | 653 |  |  | — |  |  | — |  |  | — |  |  | (3,185 | ) |  | — |  |  | — |  |
| Insurance-linked securities | 25,023 |  |  | — |  |  | — |  |  | 67 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 25,090 |  |  | 67 |  |
|  | 27,555 |  |  | — |  |  | — |  |  | 720 |  |  | — |  |  | — |  |  | — |  |  | (3,185 | ) |  | 25,090 |  |  | 67 |  |
| Total assets | $ | 226,797 |  |  | $ | 2,324 |  |  | $ | (21,670 | ) |  | $ | 4,359 |  |  | $ | (39 | ) |  | $ | 19,766 |  |  | $ | (22,903 | ) |  | $ | (52,804 | ) |  | $ | 155,830 |  |  | $ | 4,209 |  |
| Other liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Derivative instruments | 6,500 |  |  | — |  |  | — |  |  | 9,320 |  |  | — |  |  | 12,472 |  |  | — |  |  | (16,782 | ) |  | 11,510 |  |  | (962 | ) |
| Total liabilities | $ | 6,500 |  |  | $ | — |  |  | $ | — |  |  | $ | 9,320 |  |  | $ | — |  |  | $ | 12,472 |  |  | $ | — |  |  | $ | (16,782 | ) |  | $ | 11,510 |  |  | $ | (962 | ) |
(1) | Realized investment gains (losses) on fixed maturities, and realized and unrealized gains (losses) on other assets and other liabilities included in net income are included in net investment gains (losses). Realized and unrealized gains (losses) on other investments included in net income are included in net investment income.
(2) | Unrealized investment gains (losses) on fixed maturities are included in other comprehensive income ("OCI").
(3) | Change in unrealized investment gains (losses) relating to assets held at the reporting date.

X
- Definition Tabular disclosure of input and valuation technique used to measure fair value and change in valuation approach and technique for each separate class of asset and liability measured on recurring and 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 2 -Subparagraph (bbb) -URI http://asc.fasb.org/extlink&oid=99377789&loc=d3e19207-110258 + Details
Name: | us-gaap_FairValueAssetsAndLiabilitiesMeasuredOnRecurringAndNonrecurringBasisValuationTechniquesTableTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration

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=99377789&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=99377789&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 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=99377789&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=99377789&loc=d3e19279-110258 + Details
Name: | us-gaap_FairValueLiabilitiesMeasuredOnRecurringBasisUnobservableInputReconciliationTextBlock
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://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 1 -URI http://asc.fasb.org/extlink&oid=99377789&loc=d3e19190-110258 + Details
Name: | us-gaap_ScheduleOfFairValueAssetsAndLiabilitiesMeasuredOnRecurringBasisTableTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration