Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2014

Fair Value Disclosures [Abstract]

Fair Value Hierarchy

The following tables set forth the Company’s assets and liabilities that were accounted for at fair value at September 30, 2014 and December 31, 2013 by level within the fair value hierarchy:

September 30, 2014 (U.S. dollars in thousands)	Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Other Unobservable Inputs (Level 3)		Collateral and Counterparty Netting			Balance at September 30, 2014
Assets
Fixed maturities - Available for Sale ("AFS") - Excluding Life Funds Withheld Assets
U.S. Government and Government-Related/Supported	$	—	$	2,127,508	$	—	$	—		$	2,127,508
Corporate (1)	—		9,419,983		7,042		—			9,427,025
Residential mortgage-backed securities – Agency (“RMBS - Agency”)	—		3,328,400		6,482		—			3,334,882
Residential mortgage-backed securities – Non-Agency (“RMBS - Non-Agency”)	—		435,644		10		—			435,654
Commercial mortgage-backed securities (“CMBS”)	—		1,099,253		—		—			1,099,253
Collateralized debt obligations (“CDO”)	—		4,152		742,483		—			746,635
Other asset-backed securities	—		1,145,415		12,050		—			1,157,465
U.S. States and political subdivisions of the States	—		1,981,459		—		—			1,981,459
Non-U.S. Sovereign Government, Provincial, Supranational and Government-Related/Supported	—		4,233,178		—		—			4,233,178
Total fixed maturities - AFS - Excluding Funds Withheld Assets, at fair value	$	—	$	23,774,992	$	768,067	$	—		$	24,543,059
Equity securities, at fair value	589,321		371,047		—		—			960,368
Short-term investments, at fair value (1)(2)	—		281,887		—		—			281,887
Total investments AFS - Excluding Funds Withheld Assets	$	589,321	$	24,427,926	$	768,067	$	—		$	25,785,314
Fixed maturities - Life Funds Withheld Assets
U.S. Government and Government-Related/Supported	$	—	$	18,326	$	—	$	—		$	18,326
Corporate	—		2,898,684		—		—			2,898,684
RMBS – Agency	—		3,896		—		—			3,896
RMBS – Non-Agency	—		86,542		—		—			86,542
CMBS	—		200,348		—		—			200,348
CDO	—		—		—		—			—
Other asset-backed securities	—		278,229		—		—			278,229
U.S. States and political subdivisions of the States	—		—		—		—			—
Non-U.S. Sovereign Government, Provincial, Supranational and Government-Related/Supported	—		1,777,060		—		—			1,777,060
Total fixed maturities - AFS - Life Funds Withheld Assets, at fair value	$	—	$	5,263,085	$	—	$	—		$	5,263,085
Total investments - AFS, at fair value	$	589,321	$	29,691,011	$	768,067	$	—		$	31,048,399
Cash equivalents (3)	990,185		394,942		—		—			1,385,127
Cash equivalents - Life Funds Withheld Assets (3)	1,470		103,729		—		—			105,199
Other investments (4)	—		854,734		146,535		—			1,001,269
Other assets (5)	—		70,453		11,597		(7,579		)	74,471
Total assets accounted for at fair value	$	1,580,976	$	31,114,869	$	926,199	$	(7,579	)	$	33,614,465
Liabilities
Funds withheld on life retrocession arrangements (net of future policy benefit reserves recoverable) (6)	$	—	$	189,623	$	—	$	—		$	189,623
Financial instruments sold, but not yet purchased (7)	6,884		28,178		—		—			35,062
Other liabilities (5)	—		10,626		29,797		(7,579		)	32,844
Total liabilities accounted for at fair value	$	6,884	$	228,427	$	29,797	$	(7,579	)	$	257,529

December 31, 2013 (U.S. dollars in thousands)	Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Other Unobservable Inputs (Level 3)		Collateral and Counterparty Netting			Balance at December 31, 2013
Assets
U.S. Government and Government - Related/Supported	$	—	$	2,501,851	$	—	$	—		$	2,501,851
Corporate (1)	—		11,094,257		31,573		—			11,125,830
RMBS – Agency	—		3,535,649		10,473		—			3,546,122
RMBS – Non-Agency	—		398,759		9		—			398,768
CMBS	—		1,234,262		12,533		—			1,246,795
CDO	—		7,060		710,253		—			717,313
Other asset-backed securities	—		1,230,227		11,877		—			1,242,104
U.S. States and political subdivisions of the States	—		1,845,812		—		—			1,845,812
Non-U.S. Sovereign Government, Provincial, Supranational and Government-Related/Supported	—		4,875,541		—		—			4,875,541
Total fixed maturities, at fair value	$	—	$	26,723,418	$	776,718	$	—		$	27,500,136
Equity securities, at fair value	540,331		499,906		—		—			1,040,237
Short-term investments, at fair value (1)(2)	—		454,273		2,015		—			456,288
Total investments available for sale	$	540,331	$	27,677,597	$	778,733	$	—		$	28,996,661
Cash equivalents (3)	834,514		226,636		—		—			1,061,150
Other investments (4)	—		757,110		113,472		—			870,582
Other assets (5)	—		27,487		—		(1,342		)	26,145
Total assets accounted for at fair value	$	1,374,845	$	28,688,830	$	892,205	$	(1,342	)	$	30,954,538
Liabilities
Financial instruments sold, but not yet purchased (7)	$	—	$	28,861	$	—	$	—		$	28,861
Other liabilities (5)	—		76,375		29,110		(1,342		)	104,143
Total liabilities accounted for at fair value	$	—	$	105,236	$	29,110	$	(1,342	)	$	133,004

____________

(1) Included within Corporate are certain medium term notes supported primarily by pools of European investment grade credit with varying degrees of leverage. The notes had a fair value of $152.4 million and $154.6 million and an amortized cost of $141.1 million and $147.7 million at September 30, 2014 and December 31, 2013, respectively. These notes allow the investor to participate in cash flows of the underlying bonds including certain residual values, which could serve to either decrease or increase the ultimate values of these notes.

(2) Short-term investments consist primarily of Corporate securities and U.S. and Non-U.S. Government and Government-Related/Supported securities.

(3) Cash equivalents balances subject to fair value measurement include certificates of deposit and money market funds. Operating cash balances are not subject to recurring fair value measurement guidance.

(4) The Other investments balance excludes certain structured transactions including certain investments in project finance transactions, a payment obligation and liquidity financing provided to a structured credit vehicle as a part of a third party medium term note facility. These investments, which totaled $276.2 million at September 30, 2014 and $294.0 million at December 31, 2013, are carried at amortized cost. For further information, see Item 8, Note 7, “Other Investments,” to the Consolidated Financial Statements included in our Annual Report on Form 10-K for the year ended December 31, 2013.

(5) Other assets and other liabilities include derivative instruments. The derivative balances included in each category are reported on a gross basis by level with a netting adjustment presented separately in the Collateral and Counterparty Netting column. The fair values of the individual derivative contracts are reported gross in their respective levels based on the fair value hierarchy. For further details regarding derivative fair values and associated collateral received or paid see Note 7, “Derivative Instruments,” to the Unaudited Consolidated Financial Statements.

(6) Funds withheld on life retrocession arrangements (net of future policy benefit reserves recoverable) include balances related to the life retrocession embedded derivative, under which all investment results associated with the Life Funds Withheld Assets related the Life Retro Arrangements described in Note 3, ”Sale of Life Reinsurance Subsidiary”, accrue to the benefit of GreyCastle.

(7) Financial instruments sold, but not yet purchased, represent “short sales” and are included within “Payable for investments purchased” on the balance sheets.

Level 3 Roll Forward

	Level 3 Assets and Liabilities -Three Months Ended September 30, 2014
(U.S. dollars in thousands)	Corporate			RMBS - Agency			RMBS - Non Agency			CMBS			CDO
Balance, beginning of period	$	3,933		$	6,896		$	11		$	1,945		$	732,824
Realized gains (losses)	3			(1		)	—			—			707
Movement in unrealized gains (losses)	24			(7		)	(1		)	—			1,591
Purchases and issuances	2,316			120			—			—			82,695
Sales	—			—			—			—			(7,489		)
Settlements	—			(526		)	—			(569		)	(67,845		)
Transfers into Level 3	766			—			—			—			—
Transfers out of Level 3	—			—			—			(1,376		)	—
Fixed maturities to short-term investments classification change	—			—			—			—			—
Balance, end of period	$	7,042		$	6,482		$	10		$	—		$	742,483
Movement in total gains (losses) above relating to instruments still held at the reporting date	$	27		$	(8	)	$	—		$	—		$	2,297
	Level 3 Assets and Liabilities -Three Months Ended September 30, 2014
(U.S. dollars in thousands)	Other asset- backed securities			Non-US Sovereign Government, Provincial, Supranational and Government Related/Supported			Short-term investments			Other investments			Derivative Contracts - Net
Balance, beginning of period	$	11,704		$	—		$	—		$	124,475		$	(18,910	)
Realized gains (losses)	3			—			—			1,850			—
Movement in unrealized gains (losses)	(113		)	—			—			2,790			710
Purchases and issuances	2,182			—			—			22,308			—
Sales	—			—			—			—			—
Settlements	(1,726		)	—			—			(4,888		)	—
Transfers into Level 3	—			—			—			—			—
Transfers out of Level 3	—			—			—			—			—
Fixed maturities to short-term investments classification change	—			—			—			—			—
Balance, end of period	$	12,050		$	—		$	—		$	146,535		$	(18,200	)
Movement in total gains (losses) above relating to instruments still held at the reporting date	$	(110	)	$	—		$	—		$	4,639		$	710

	Level 3 Assets and Liabilities -Three Months Ended September 30, 2013
(U.S. dollars in thousands)	Corporate			RMBS - Agency			RMBS - Non Agency			CMBS			CDO
Balance, beginning of period	$	32,173		$	18,214		$	3,411		$	24,423		$	706,013
Realized gains (losses)	32			(1		)	(1		)	1			584
Movement in unrealized gains (losses)	352			(11		)	(1		)	(58		)	(3,405		)
Purchases and issuances	70			—			—			—			70,552
Sales	—			—			—			—			—
Settlements	—			(913		)	(74		)	(4,406		)	(69,193		)
Transfers into Level 3	—			—			—			—			—
Transfers out of Level 3	—			—			(3,326		)	—			—
Fixed maturities to short-term investments classification change	—			—			—			—			—
Balance, end of period	$	32,627		$	17,289		$	9		$	19,960		$	704,551
Movement in total gains (losses) above relating to instruments still held at the reporting date	$	385		$	(12	)	$	—		$	(57	)	$	(3,681	)
	Level 3 Assets and Liabilities -Three Months Ended September 30, 2013
(U.S. dollars in thousands)	Other asset- backed securities			Non-US Sovereign Government, Provincial, Supranational and Government Related/Supported			Short-term investments			Other investments			Derivative Contracts - Net
Balance, beginning of period	$	27,539		$	—		$	1,999		$	103,844		$	(29,374	)
Realized gains (losses)	810			—			(5		)	1,082			—
Movement in unrealized gains (losses)	722			—			64			1,974			(4,015		)
Purchases and issuances	—			—			—			2,333			—
Sales	(15,711		)	—			—			—			—
Settlements	(906		)	—			—			(5,377		)	—
Transfers into Level 3	—			—			—			—			—
Transfers out of Level 3	—			—			—			—			—
Fixed maturities to short-term investments classification change	—			—			—			—			—
Balance, end of period	$	12,454		$	—		$	2,058		$	103,856		$	(33,389	)
Movement in total gains (losses) above relating to instruments still held at the reporting date	$	(4	)	$	—		$	59		$	3,057		$	(4,015	)

	Level 3 Assets and Liabilities - Nine Months Ended September 30, 2014
(U.S. dollars in thousands)	Corporate			RMBS - Agency			RMBS - Non Agency			CMBS			CDO
Balance, beginning of period	$	31,573		$	10,473		$	9		$	12,533		$	710,253
Realized gains (losses)	158			5			—			3			3,163
Movement in unrealized gains (losses)	(72		)	(20		)	1			(3		)	13,604
Purchases and issuances	3,759			120			—			1,376			185,710
Sales	—			—			—			—			(48,313		)
Settlements	(5,513		)	(3,124		)	—			(12,533		)	(121,934		)
Transfers into Level 3	766			—			—			—			—
Transfers out of Level 3	(23,629		)	(972		)	—			(1,376		)	—
Fixed maturities to short-term investments classification change	—			—			—			—			—
Balance, end of period	$	7,042		$	6,482		$	10		$	—		$	742,483
Movement in total gains (losses) above relating to instruments still held at the reporting date	$	117		$	(14	)	$	2		$	—		$	15,513
	Level 3 Assets and Liabilities - Nine Months Ended September 30, 2014
(U.S. dollars in thousands)	Other asset- backed securities			Non-US Sovereign Government, Provincial, Supranational and Government Related/Supported			Short-term investments			Other investments			Derivative Contracts - Net
Balance, beginning of period	$	11,877		$	—		$	2,015		$	113,472		$	(29,110	)
Realized gains (losses)	(17		)	—			—			10,541			—
Movement in unrealized gains (losses)	93			—			(15		)	2,508			10,910
Purchases and issuances	5,182			—			—			43,394			—
Sales	—			—			—			—			—
Settlements	(5,085		)	—			(2,000		)	(23,380		)	—
Transfers into Level 3	—			—			—			—			—
Transfers out of Level 3	—			—			—			—			—
Fixed maturities to short-term investments classification change	—			—			—			—			—
Balance, end of period	$	12,050		$	—		$	—		$	146,535		$	(18,200	)
Movement in total gains (losses) above relating to instruments still held at the reporting date	$	76		$	—		$	—		$	13,048		$	10,910

	Level 3 Assets and Liabilities - Nine Months Ended September 30, 2013
(U.S. dollars in thousands)	Corporate			RMBS - Agency			RMBS - Non Agency			CMBS			CDO
Balance, beginning of period	$	30,098		$	32,005		$	116		$	25,347		$	701,736
Realized gains (losses)	(39		)	10			(1		)	1			885
Movement in unrealized gains (losses)	982			(48		)	(1		)	(76		)	32,341
Purchases and issuances	10,691			—			3,326			—			75,914
Sales	—			(535		)	—			—			—
Settlements	(7,245		)	(2,678		)	(105		)	(5,312		)	(106,325		)
Transfers into Level 3	—			—			—			—			—
Transfers out of Level 3	(1,860		)	(11,465		)	(3,326		)	—			—
Fixed maturities to short-term investments classification change	—			—			—			—			—
Balance, end of period	$	32,627		$	17,289		$	9		$	19,960		$	704,551
Movement in total gains (losses) above relating to instruments still held at the reporting date	$	1,012		$	(52	)	$	(1	)	$	(75	)	$	30,597
	Level 3 Assets and Liabilities - Nine Months Ended September 30, 2013
(U.S. dollars in thousands)	Other asset- backed securities			Non-US Sovereign Government, Provincial, Supranational and Government Related/Supported			Short-term investments			Other investments			Derivative Contracts - Net
Balance, beginning of period	$	18,128		$	—		$	—		$	115,272		$	(36,247	)
Realized gains (losses)	848			—			(15		)	6,869			—
Movement in unrealized gains (losses)	1,685			—			56			1,004			2,858
Purchases and issuances	21,686			—			2,017			5,240			—
Sales	(15,711		)	—			—			—			—
Settlements	(7,676		)	—			—			(24,529		)	—
Transfers into Level 3	—			—			—			—			—
Transfers out of Level 3	(6,506		)	—			—			—			—
Fixed maturities to short-term investments classification change	—			—			—			—			—
Balance, end of period	$	12,454		$	—		$	2,058		$	103,856		$	(33,389	)
Movement in total gains (losses) above relating to instruments still held at the reporting date	$	(520	)	$	—		$	41		$	7,865		$	2,858

Financial Instruments Not Carried at Fair Value

	September 30, 2014				December 31, 2013
(U.S. dollars in thousands)	Carrying Value		Fair Value		Carrying Value		Fair Value
Fixed maturities, held to maturity	$	—	$	—	$	2,858,695	$	3,131,235
Other investments - structured transactions	276,172		299,216		294,048		296,799
Financial Assets	$	276,172	$	299,216	$	3,152,743	$	3,428,034
Deposit liabilities	$	1,242,696	$	1,495,346	$	1,509,243	$	1,718,394
Notes payable and debt	1,662,206		1,880,124		2,263,203		2,429,412
Financial Liabilities	$	2,904,902	$	3,375,470	$	3,772,446	$	4,147,806