Fair Value Measurements (Tables)

12 Months Ended

Dec. 31, 2014

Fair Value Disclosures [Abstract]

Summary of assets and liabilities that were accounted for at fair value

The following tables set forth the Company’s assets and liabilities that were accounted for at fair value at December 31, 2014 and 2013 by level within the fair value hierarchy. For further information, see Note 2 (b), “Significant Accounting Policies – Fair Value Measurements”:

December 31, 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 December 31, 2014
Assets
Fixed maturities - Available for Sale ("AFS") - Excluding Life Funds Withheld Assets
U.S. Government and Government - Related/Supported	$	—	$	2,171,953	$	—	$	—		$	2,171,953
Corporate (1)	—		8,772,479		5,894		—			8,778,373
Residential mortgage-backed securities – Agency (“RMBS - Agency”)	—		3,726,666		1,910		—			3,728,576
Residential mortgage-backed securities – Non-Agency (“RMBS - Non-Agency”)	—		427,351		—		—			427,351
Commercial mortgage-backed securities (“CMBS”)	—		1,052,544		—		—			1,052,544
Collateralized debt obligations (“CDO”)	—		4,076		687,958		—			692,034
Other asset-backed securities (1)	—		1,060,005		5,288		—			1,065,293
U.S. States and political subdivisions of the States	—		2,021,272		—		—			2,021,272
Non-U.S. Sovereign Government, Provincial, Supranational and Government-Related/Supported	—		4,240,073		—		—			4,240,073
Total fixed maturities - AFS - Excluding Life Funds Withheld Assets, at fair value	$	—	$	23,476,419	$	701,050	$	—		$	24,177,469
Equity securities, at fair value	502,284		366,008		—		—			868,292
Short-term investments, at fair value (1)(2)	—		256,727		—		—			256,727
Total investments AFS - Excluding Life Funds Withheld Assets	$	502,284	$	24,099,154	$	701,050	$	—		$	25,302,488
Fixed maturities - AFS - Life Funds Withheld Assets
U.S. Government and Government - Related/Supported	—		18,724		—		—			18,724
Corporate (1)	—		2,817,980		—		—			2,817,980
RMBS - Agency	—		3,782		—		—			3,782
RMBS - Non-Agency	—		85,335		—		—			85,335
CMBS	—		193,167		—		—			193,167
Other asset-backed securities	—		273,541		—		—			273,541
Non-U.S. Sovereign Government, Provincial, Supranational and Government-Related/Supported	—		1,789,036		—		—			1,789,036
Total fixed maturities - AFS - Life Funds Withheld Assets, at fair value	—		5,181,565		—		—			5,181,565
Total investments - AFS, at fair value	502,284		29,280,719		701,050		—			30,484,053
Fixed maturities - Trading
Corporate (1)	—		1,171		—		—			1,171
Total fixed maturities - Trading, at fair value	—		1,171		—		—			1,171
Cash equivalents (3)	1,103,877		397,955		—		—			1,501,832
Cash equivalents - Life Funds Withheld Assets	460		132,738		—		—			133,198
Other investments (4)	—		708,974		185,083		—			894,057
Other assets (5)	—		122,996		13,663		(696		)	135,963
Total assets accounted for at fair value	$	1,606,621	$	30,644,553	$	899,796	$	(696	)	$	33,150,274
Liabilities
Funds withheld on life retrocession arrangements (net of future policy benefit reserves recoverable) (6)	$	—	$	450,831	$	—	$	—		$	450,831
Financial instruments sold, but not yet purchased (7)	4,737		25,669		—		—			30,406
Other liabilities (5)	—		7,757		23,427		(696		)	30,488
Total liabilities accounted for at fair value	$	4,737	$	484,257	$	23,427	$	(696	)	$	511,725

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)	—		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 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 $79.9 million and $154.6 million and an amortized cost of $68.4 million and $147.7 million at December 31, 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 $354.4 million at December 31, 2014 and $294.0 million at December 31, 2013, are carried at amortized cost. For further information, see Note 8, “Other Investments.”

(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 16, “Derivative Instruments."

(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 GCLR.

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

Additional information about assets and liabilities measured at fair value on a recurring basis - Level 3

(U.S. dollars in thousands)	Level 3 Assets and Liabilities – Year Ended December 31, 2014
	Corporate			RMBS – Agency			RMBS – Non Agency			CMBS			CDO
Balance, beginning of period	$	31,573		$	10,473		$	9		$	12,533		$	710,253
Realized gains (losses)	199			5			1			3			3,781
Movement in unrealized gains (losses)	(128		)	(18		)	1			(3		)	11,604
Purchases and issuances	3,759			120			—			1,376			185,710
Sales	—			—			—			—			(48,313		)
Settlements	(6,543		)	(3,205		)	(11		)	(12,533		)	(175,077		)
Transfers into Level 3	766			—			—			—			—
Transfers out of Level 3	(23,732		)	(5,465		)	—			(1,376		)	—
Fixed maturities to short-term investments classification change	—			—			—			—			—
Balance, end of period	$	5,894		$	1,910		$	—		$	—		$	687,958
Movement in total gains (losses) above relating to instruments still held at the reporting date	$	60		$	(12	)	$	—		$	—		$	14,432

(U.S. dollars in thousands)	Level 3 Assets and Liabilities – Year Ended December 31, 2014
	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)	(7		)	—		—			12,676			—
Movement in unrealized gains (losses)	65			—		(15		)	538			19,346
Purchases and issuances	5,182			—		—			59,401			—
Sales	—			—		—			—			—
Settlements	(5,705		)	—		(2,000		)	(25,498		)	—
Transfers into Level 3	—			—		—			24,494			—
Transfers out of Level 3	(6,124		)	—		—						—
Fixed maturities to short-term investments classification change	—			—		—			—			—
Balance, end of period	$	5,288		$	—	$	—		$	185,083		$	(9,764	)
Movement in total gains (losses) above relating to instruments still held at the reporting date	$	57		$	—	$	—		$	13,212		$	19,346

(U.S. dollars in thousands)	Level 3 Assets and Liabilities – Year Ended December 31, 2013
	Corporate			RMBS – Agency			RMBS – Non Agency			CMBS			CDO
Balance, beginning of period	$	30,098		$	32,005		$	116		$	25,347		$	701,736
Realized gains (losses)	4			10			(1		)	3			4,364
Movement in unrealized gains (losses)	766			(23		)	(1		)	(68		)	37,916
Purchases and issuances	10,691			—			3,326			—			136,035
Sales	(71		)	(535		)	—			—			(48,226		)
Settlements	(7,274		)	(3,349		)	(105		)	(12,749		)	(121,572		)
Transfers into Level 3	—			—			—			—			—
Transfers out of Level 3	(2,641		)	(17,635		)	(3,326		)	—			—
Fixed maturities to short-term investments classification change	—			—			—			—			—
Balance, end of period	$	31,573		$	10,473		$	9		$	12,533		$	710,253
Movement in total gains (losses) above relating to instruments still held at the reporting date	$	845		$	(27	)	$	(1	)	$	(65	)	$	39,259

(U.S. dollars in thousands)	Level 3 Assets and Liabilities – Year Ended December 31, 2013
	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			—		(17		)	7,545			—
Movement in unrealized gains (losses)	1,691			—		15			4,095			7,137
Purchases and issuances	21,686			—		2,017			18,340			—
Sales	(15,711		)	—		—			(1,237		)	—
Settlements	(8,259		)	—		—			(30,543		)	—
Transfers into Level 3	—			—		—			—			—
Transfers out of Level 3	(6,506		)	—		—			—			—
Fixed maturities to short-term investments classification change	—			—		—			—			—
Balance, end of period	$	11,877		$	—	$	2,015		$	113,472		$	(29,110	)
Movement in total gains (losses) above relating to instruments still held at the reporting date	$	(515	)	$	—	$	(2	)	$	10,750		$	7,137

Financial instruments for which the carrying values differs from the estimated fair value

(U.S. dollars in thousands)	2014				2013
	Carrying Value		Fair Value		Carrying Value		Fair Value
Fixed maturities, held to maturity	$	—	$	—	$	2,858,695	$	3,131,235
Other investments – structured transactions and other	354,382		371,625		294,048		296,799
Financial Assets	$	354,382	$	371,625	$	3,152,743	$	3,428,034
Deposit liabilities	$	1,245,367	$	1,543,761	$	1,509,243	$	1,718,394
Notes payable and debt	1,662,580		1,897,854		2,263,203		2,429,412
Financial Liabilities	$	2,907,947	$	3,441,615	$	3,772,446	$	4,147,806