Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 2015

The following tables set forth the Company’s assets and liabilities that were accounted for at fair value as of March 31, 2015 and December 31, 2014 by level within the fair value hierarchy:



March 31, 2015 (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 March 31, 2015
Assets
Fixed maturities - Available for Sale ("AFS") - Excluding Life Funds Withheld Assets
U.S. Government and Government-Related/Supported	$	—	$	3,378,342	$	—	$	—		$	3,378,342
Corporate (1)	—		8,148,777		5,861		—			8,154,638
Residential mortgage-backed securities – Agency (“RMBS - Agency”)	—		3,709,514		1,820		—			3,711,334
Residential mortgage-backed securities – Non-Agency (“RMBS - Non-Agency”)	—		380,135		—		—			380,135
Commercial mortgage-backed securities (“CMBS”)	—		1,032,720		—		—			1,032,720
Collateralized debt obligations (“CDO”)	—		4,051		496,923		—			500,974
Other asset-backed securities	—		1,165,123		2,244		—			1,167,367
U.S. States and political subdivisions of the States	—		1,973,140		—		—			1,973,140
Non-U.S. Sovereign Government, Provincial, Supranational and Government-Related/Supported	—		4,093,771		—		—			4,093,771
Total fixed maturities - AFS - Excluding Funds Withheld Assets, at fair value	$	—	$	23,885,573	$	506,848	$	—		$	24,392,421
Equity securities, at fair value	497,496		285,975		—		—			783,471
Short-term investments, at fair value (1)(2)	—		168,862		—		—			168,862
Total investments AFS - Excluding Funds Withheld Assets	$	497,496	$	24,340,410	$	506,848	$	—		$	25,344,754
Fixed maturities - Life Funds Withheld Assets
U.S. Government and Government-Related/Supported	$	—	$	17,613	$	—	$	—		$	17,613
Corporate	—		2,746,226		—		—			2,746,226
RMBS – Agency	—		2,130		—		—			2,130
RMBS – Non-Agency	—		38,808		—		—			38,808
CMBS	—		159,257		—		—			159,257
Other asset-backed securities	—		244,140		—		—			244,140
Non-U.S. Sovereign Government, Provincial, Supranational and Government-Related/Supported	—		1,509,805		—		—			1,509,805
Total fixed maturities - AFS - Life Funds Withheld Assets, at fair value	$	—	$	4,717,979	$	—	$	—		$	4,717,979
Total investments - AFS, at fair value	$	497,496	$	29,058,389	$	506,848	$	—		$	30,062,733
Fixed maturities - trading securities ("Trading")
Corporate	—		137,438		—		—			137,438
Other asset-backed securities	—		1,939		—		—			1,939
Total fixed maturities - Trading, at fair value	$	—	$	139,377	$	—	$	—		$	139,377
Cash equivalents (3)	1,835,344		393,154		—		—			2,228,498
Cash equivalents - Life Funds Withheld Assets (3)	788		120,721		—		—			121,509
Other investments (4)	—		784,486		190,097		—			974,583
Other assets (5)	—		244,900		12,980		(587		)	257,293
Total assets accounted for at fair value	$	2,333,628	$	30,741,027	$	709,925	$	(587	)	$	33,783,993
Liabilities
Funds withheld on life retrocession arrangements (net of future policy benefit reserves recoverable) (6)	$	—	$	654,561	$	—	$	—		$	654,561
Financial instruments sold, but not yet purchased (7)	1,572		5,660		—		—			7,232
Other liabilities (5)	—		99,649		22,586		(587		)	121,648
Total liabilities accounted for at fair value	$	1,572	$	759,870	$	22,586	$	(587	)	$	783,441



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 - 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 – RMBS - Agency	—		3,726,666		1,910		—			$	3,728,576
Residential mortgage-backed securities – RMBS - Non-Agency	—		427,351		—		—			$	427,351
CMBS	—		1,052,544		—		—			$	1,052,544
CDO	—		4,076		687,958		—			$	692,034
Other asset-backed securities	—		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 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 Funds Withheld Assets	$	502,284	$	24,099,154	$	701,050	$	—		$	25,302,488
Fixed maturities - Life Funds Withheld Assets
U.S. Government and Government-Related/Supported	$	—	$	18,724	$	—	$	—		$	18,724
Corporate	—		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	—		1,171		—		—			$	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 (3)	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

____________

(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 $74.8 million and $79.9 million and an amortized cost of $63.8 million and $68.4 million as of March 31, 2015 and December 31, 2014, 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 as of March 31, 2015 and $354.4 million at December 31, 2014, are carried at amortized cost. For further information, see Item 8, Note 8, “Other Investments,” to the Consolidated Financial Statements included in our Annual Report on Form 10-K for the year ended December 31, 2014.

(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 to the Life Retro Arrangements described in Note 3(c), ”Acquisition and Disposals - 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.

Level 3 Roll Forward



	Level 3 Assets and Liabilities -Three Months Ended March 31, 2015
(U.S. dollars in thousands)	Corporate			RMBS - Agency			RMBS - Non Agency		CMBS			CDO
Balance, beginning of period	$	5,894		$	1,910		$	—	$	—		$	687,958
Realized gains (losses)	(1		)	—			—		—			36
Movement in unrealized gains (losses)	48			(1		)	—		—			5,555
Purchases and issuances	—			—			—		—			—
Sales	—			—			—		—			(155,085		)
Settlements	(80		)	(89		)	—		—			(41,541		)
Transfers into Level 3				—			—		—			—
Transfers out of Level 3	—			—			—		—			—
Fixed maturities to short-term investments classification change	—			—			—		—			—
Balance, end of period	$	5,861		$	1,820		$	—	$	—		$	496,923
Movement in total gains (losses) above relating to instruments still held at the reporting date	$	48		$	(1	)	$	—	$	—		$	2,668

	Level 3 Assets and Liabilities -Three Months Ended March 31, 2015
(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	$	5,288		$	—		$	—	$	185,083		$	(9,764	)
Realized gains (losses)	(1		)	—			—		1,302			—
Movement in unrealized gains (losses)	2			—			—		(1,827		)	158
Purchases and issuances	—			—			—		6,793			—
Sales	—			—			—		—
Settlements	(3,045		)	—			—		(1,254		)	—
Transfers into Level 3	—			—			—		—			—
Transfers out of Level 3	—			—			—		—			—
Fixed maturities to short-term investments classification change	—			—			—		—			—
Balance, end of period	$	2,244		$	—		$	—	$	190,097		$	(9,606	)
Movement in total gains (losses) above relating to instruments still held at the reporting date	$	—		$	—		$	—	$	(524	)	$	158



	Level 3 Assets and Liabilities -Three Months Ended March 31, 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)	120			(1		)	—			2			1,581
Movement in unrealized gains (losses)	(2		)	1			2			(3		)	3,681
Purchases and issuances	1,434			—			—			—			27,814
Sales	—			—			—			—			(9,931		)
Settlements	(5,114		)	(573		)	—			(6,606		)	(14,571		)
Transfers into Level 3	—			—			—			—			—
Transfers out of Level 3	(23,629		)	(972		)	—			—			—
Fixed maturities to short-term investments classification change	—			—			—			—			—
Balance, end of period	$	4,382		$	8,928		$	11		$	5,926		$	718,827
Movement in total gains (losses) above relating to instruments still held at the reporting date	$	148		$	—		$	2		$	—		$	4,969

	Level 3 Assets and Liabilities -Three Months Ended March 31, 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)	(15		)	—			—			3,566			—
Movement in unrealized gains (losses)	62			—			(15		)	1,494			(3,386		)
Purchases and issuances	—			—			—			11,089			—
Sales	—			—			—			—			—
Settlements	(1,251		)	—			(2,000		)	(13,203		)	—
Transfers into Level 3	—			—			—			—			—
Transfers out of Level 3	—			—			—			—			—
Fixed maturities to short-term investments classification change	—			—			—			—			—
Balance, end of period	$	10,673		$	—		$	—		$	116,418		$	(32,496	)
Movement in total gains (losses) above relating to instruments still held at the reporting date	$	46		$	—		$	—		$	5,061		$	(3,386	)

Financial Instruments Not Carried at Fair Value



	March 31, 2015				December 31, 2014
(U.S. dollars in thousands)	Carrying Value		Fair Value		Carrying Value		Fair Value
Financial Assets - Other investments, structured transactions	$	354,352	$	367,491	$	354,382	$	371,625
Deposit liabilities	$	1,211,203	$	1,528,570	$	1,245,367	$	1,543,761
Notes payable and debt	2,643,561		2,957,605		1,662,580		1,897,854
Financial Liabilities	$	3,854,764	$	4,486,175	$	2,907,947	$	3,441,615

- Definition

Tabular disclosure of the fair value of financial instruments, including financial assets and financial liabilities, and the measurements of those instruments, assets, and liabilities.

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