Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2015

The following tables set forth the Company’s assets and liabilities that were accounted for at fair value as of September 30, 2015 and December 31, 2014 by level within the fair value hierarchy:



September 30, 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 September 30, 2015
Assets
Fixed maturities - Available for Sale ("AFS") - Excluding Life Funds Withheld Assets
U.S. Government and Government-Related/Supported	$	—	$	4,298,723	$	—	$	—	$	4,298,723
Corporate - Financials	—		3,062,530		10,000		—		3,072,530
Corporate - Non Financials (1)	—		6,850,318		5,272		—		6,855,590



Residential mortgage-backed securities – Agency ("RMBS - Agency")	—		3,920,607		2,882		—			3,923,489
Residential mortgage-backed securities – Non-Agency ("RMBS - Non-Agency")	—		362,965		—		—			362,965
Commercial mortgage-backed securities ("CMBS")	—		850,084		—		—			850,084
Collateralized debt obligations ("CDOs")	—		2,500		407,663		—			410,163
Other asset-backed securities (1)	—		2,059,478		36,120		—			2,095,598
U.S. States and political subdivisions of the States	—		2,648,670		—		—			2,648,670
Non-U.S. Sovereign Government, Provincial, Supranational and Government-Related/Supported	—		5,120,149		—		—			5,120,149
Total fixed maturities - AFS - Excluding Funds Withheld Assets, at fair value	$	—	$	29,176,024	$	461,937	$	—		$	29,637,961
Equity securities, at fair value	478,815		490,891		—		—			969,706
Short-term investments, at fair value (1)(2)	—		546,020		—		—			546,020
Total investments AFS - Excluding Funds Withheld Assets	$	478,815	$	30,212,935	$	461,937	$	—		$	31,153,687
Fixed maturities - Life Funds Withheld Assets
U.S. Government and Government-Related/Supported	$	—	$	13,412	$	—	$	—		$	13,412
Corporate - Financials	—		669,788		—		—			669,788
Corporate - Non Financials	—		1,480,112		—		—			1,480,112
RMBS – Agency	—		814		—		—			814
RMBS – Non-Agency	—		28,833		—		—			28,833
CMBS	—		141,166		—		—			141,166
Other asset-backed securities	—		162,871		—		—			162,871
Non-U.S. Sovereign Government, Provincial, Supranational and Government-Related/Supported	—		1,141,365		—		—			1,141,365
Total fixed maturities - AFS - Life Funds Withheld Assets, at fair value	$	—	$	3,638,361	$	—	$	—		$	3,638,361
Total investments - AFS, at fair value	$	478,815	$	33,851,296	$	461,937	$	—		$	34,792,048
Fixed maturities - trading securities ("Trading")
U.S. Government and Government-Related/Supported	$	—	$	4,610	$	—	$	—		$	4,610
Corporate - Financials	—		219,767		—		—			219,767
Corporate - Non Financials	—		393,246		—		—			393,246
CMBS	—		4,982		—		—			4,982
Other asset-backed securities	—		19,872		—		—			19,872
Non-U.S. Sovereign Government, Provincial, Supranational and Government-Related/Supported	—		342,746		—		—			342,746
Total fixed maturities - Trading, at fair value	$	—	$	985,223	$	—	$	—		$	985,223
Cash equivalents (3)	940,303		455,699		—		—			1,396,002
Cash equivalents - Life Funds Withheld Assets (3)	1,440		86,840		—		—			88,280
Other investments (4)	—		1,051,558		278,222		—			1,329,780
Other assets (5)	—		59,231		14,884		(3,900		)	70,215
Total assets accounted for at fair value	$	1,420,558	$	36,489,847	$	755,043	$	(3,900	)	$	38,661,548
Liabilities
Funds withheld on life retrocession arrangements (net of future policy benefit reserves recoverable) (6)	$	—	$	468,187	$	—	$	—		$	468,187
Financial instruments sold, but not yet purchased (7)	1,588		693		—		—			2,281
Other liabilities (5)	—		25,142		24,568		(3,900		)	45,810
Total liabilities accounted for at fair value	$	1,588	$	494,022	$	24,568	$	(3,900	)	$	516,278



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 - Financials	—		2,761,916		—		—			$	2,761,916
Corporate - Non Financials (1)	—		6,010,563		5,894		—			$	6,016,457
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
CDOs	—		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 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 - Financials	—		801,019		—		—			$	801,019
Corporate - Non Financials	—		2,016,961		—		—			$	2,016,961
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 - Non Financials	—		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 $74.3 million and $79.9 million and an amortized cost of $64.6 million and $68.4 million as of September 30, 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, and 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 $346.4 million as of September 30, 2015 and $354.4 million as of 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(e), "Acquisitions 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 September 30, 2015
(U.S. dollars in thousands)	Corporate - Financials		Corporate - Non-Financials			RMBS - Agency			RMBS - Non Agency
Balance, beginning of period	$	10,000	$	5,554		$	3,038		$	—
Realized gains (losses)	—		(45		)	—			—
Movement in unrealized gains (losses)	—		(1		)	(2		)	—
Purchases and issuances (1)	—		—			—			—
Sales	—		—			—			—
Settlements	—		(236		)	(154		)	—
Transfers into Level 3			—			—			—
Transfers out of Level 3	—		—			—			—
Fixed maturities to short-term investments classification change	—		—			—			—
Balance, end of period	$	10,000	$	5,272		$	2,882		$	—
Movement in total gains (losses) above relating to instruments still held at the reporting date	$	—	$	(1	)	$	(2	)	$	—

	Level 3 Assets and Liabilities - Three Months Ended September 30, 2015
(U.S. dollars in thousands)	CMBS		CDO			Other asset- backed securities			Non-US Sovereign Government, Provincial, Supranational and Government Related/Supported
Balance, beginning of period	$	—	$	484,171		$	42,745		$	—
Realized gains (losses)	—		(8,469		)	553			—
Movement in unrealized gains (losses)	—		8,994			(976		)	—
Purchases and issuances (1)	—		2,101			3,334			—
Sales	—		(56,576		)	—			—
Settlements	—		(22,558		)	(3,087		)	—
Transfers into Level 3	—		—			—			—
Transfers out of Level 3	—		—			(6,449		)	—
Fixed maturities to short-term investments classification change	—		—			—			—
Balance, end of period	$	—	$	407,663		$	36,120		$	—
Movement in total gains (losses) above relating to instruments still held at the reporting date	$	—	$	164		$	(5	)	$	—

	Level 3 Assets and Liabilities - Three Months Ended September 30, 2015
(U.S. dollars in thousands)			Short-term investments			Other investments			Derivative Contracts - Net
Balance, beginning of period			$	—		$	255,672		$	(9,753	)
Realized gains (losses)			—			9,185			—
Movement in unrealized gains (losses)			—			(5,567		)	69
Purchases and issuances (1)			—			30,519			—
Sales			—			(1,417		)
Settlements			—			(10,170		)	—
Transfers into Level 3			—			—			—
Transfers out of Level 3			—			—			—
Fixed maturities to short-term investments classification change			—			—			—
Balance, end of period			$	—		$	278,222		$	(9,684	)
Movement in total gains (losses) above relating to instruments still held at the reporting date			$	—		$	3,618		$	69

____________

(1) Includes assets acquired as result of the transaction described in Note 3(c), "Acquisitions and Disposals - Catlin Acquisition."



	Level 3 Assets and Liabilities - Three Months Ended September 30, 2014
(U.S. dollars in thousands)	Corporate - Financials			Corporate - Non-Financials			RMBS - Agency			RMBS - Non Agency
Balance, beginning of period	$	—		$	3,933		$	6,896		$	11
Realized gains (losses)	—			3			(1		)	—
Movement in unrealized gains (losses)	—			24			(7		)	(1		)
Purchases and issuances (1)	—			2,316			120			—
Sales	—			—			—			—
Settlements	—			—			(526		)	—
Transfers into Level 3	—			766			—			—
Transfers out of Level 3	—			—			—			—
Fixed maturities to short-term investments classification change	—			—			—			—
Balance, end of period	$	—		$	7,042		$	6,482		$	10
Movement in total gains (losses) above relating to instruments still held at the reporting date	$	—		$	27		$	(8	)	$	—

	Level 3 Assets and Liabilities - Three Months Ended September 30, 2014
(U.S. dollars in thousands)	CMBS			CDO			Other asset- backed securities			Non-US Sovereign Government, Provincial, Supranational and Government Related/Supported
Balance, beginning of period	$	1,945		$	732,824		$	11,704		$	—
Realized gains (losses)	—			707			3			—
Movement in unrealized gains (losses)	—			1,591			(113		)	—
Purchases and issuances (1)	—			82,695			2,182			—
Sales	—			(7,489		)	—			—
Settlements	(569		)	(67,845		)	(1,726		)	—
Transfers into Level 3	—			—			—			—
Transfers out of Level 3	(1,376		)	—			—			—
Fixed maturities to short-term investments classification change	—			—			—			—
Balance, end of period	$	—		$	742,483		$	12,050		$	—
Movement in total gains (losses) above relating to instruments still held at the reporting date	$	—		$	2,297		$	(110	)	$	—

	Level 3 Assets and Liabilities - Three Months Ended September 30, 2014
(U.S. dollars in thousands)				Short-term investments			Other investments			Derivative Contracts - Net
Balance, beginning of period				$	—		$	124,475		$	(18,910	)
Realized gains (losses)				—			1,850			—
Movement in unrealized gains (losses)				—			2,790			710
Purchases and issuances (1)				—			22,308			—
Sales				—			—			—
Settlements				—			(4,888		)	—
Transfers into Level 3				—			—			—
Transfers out of Level 3				—			—			—
Fixed maturities to short-term investments classification change				—			—			—
Balance, end of period				$	—		$	146,535		$	(18,200	)
Movement in total gains (losses) above relating to instruments still held at the reporting date				$	—		$	4,639		$	710

____________

(1) Includes assets acquired as result of the transaction described in Note 3(c), "Acquisitions and Disposals - Catlin Acquisition."



	Level 3 Assets and Liabilities - Nine Months Ended September 30, 2015
(U.S. dollars in thousands)	Corporate - Financials		Corporate - Non-Financials			RMBS - Agency			RMBS - Non Agency
Balance, beginning of period	$	—	$	5,894		$	1,910		$	—
Realized gains (losses)	—		(186		)	—			—
Movement in unrealized gains (losses)	—		3			(4		)	—
Purchases and issuances (1)	10,000		(123		)	1,297			—
Sales	—		—			—			—
Settlements	—		(316		)	(321		)	—
Transfers into Level 3	—		—			—			—
Transfers out of Level 3	—		—			—			—
Fixed maturities to short-term investments classification change	—		—			—			—
Balance, end of period	$	10,000	$	5,272		$	2,882		$	—
Movement in total gains (losses) above relating to instruments still held at the reporting date	$	—	$	(137	)	$	(2	)	$	—

	Level 3 Assets and Liabilities - Nine Months Ended September 30, 2015
(U.S. dollars in thousands)	CMBS		CDO			Other asset- backed securities			Non-US Sovereign Government, Provincial, Supranational and Government Related/Supported
Balance, beginning of period	$	—	$	687,958		$	5,288		$	—
Realized gains (losses)	—		(8,209		)	644			—
Movement in unrealized gains (losses)	—		16,994			(966		)	—
Purchases and issuances (1)	—		14,042			43,962			—
Sales	—		(211,661		)	—			—
Settlements	—		(91,461		)	(6,359		)	—
Transfers into Level 3	—		—			—			—
Transfers out of Level 3	—		—			(6,449		)	—
Fixed maturities to short-term investments classification change	—		—			—			—
Balance, end of period	$	—	$	407,663		$	36,120		$	—
Movement in total gains (losses) above relating to instruments still held at the reporting date	$	—	$	4,889		$	95		$	—

	Level 3 Assets and Liabilities - Nine Months Ended September 30, 2015
(U.S. dollars in thousands)			Short-term investments			Other investments			Derivative Contracts - Net
Balance, beginning of period			$	—		$	185,083		$	(9,764	)
Realized gains (losses)			—			11,778			—
Movement in unrealized gains (losses)			—			(7,533		)	80
Purchases and issuances (1)			—			103,822			—
Sales			—			(1,417		)	—
Settlements			—			(13,511		)	—
Transfers into Level 3			—			—			—
Transfers out of Level 3			—			—			—
Fixed maturities to short-term investments classification change			—			—			—
Balance, end of period			$	—		$	278,222		$	(9,684	)
Movement in total gains (losses) above relating to instruments still held at the reporting date			$	—		$	4,246		$	80

____________

(1) Includes assets acquired as result of the transaction described in Note 3(c), "Acquisitions and Disposals - Catlin Acquisition"



	Level 3 Assets and Liabilities - Nine Months Ended September 30, 2014
(U.S. dollars in thousands)	Corporate - Financials			Corporate - Non-Financials			RMBS - Agency			RMBS - Non Agency
Balance, beginning of period	$	—		$	31,573		$	10,473		$	9
Realized gains (losses)	—			158			5			—
Movement in unrealized gains (losses)	—			(72		)	(20		)	1
Purchases and issuances (1)	—			3,759			120			—
Sales	—			—			—			—
Settlements	—			(5,513		)	(3,124		)	—
Transfers into Level 3	—			766			—			—
Transfers out of Level 3	—			(23,629		)	(972		)	—
Fixed maturities to short-term investments classification change	—			—			—			—
Balance, end of period	$	—		$	7,042		$	6,482		$	10
Movement in total gains (losses) above relating to instruments still held at the reporting date	$	—		$	117		$	(14	)	$	2

	Level 3 Assets and Liabilities - Nine Months Ended September 30, 2014
(U.S. dollars in thousands)	CMBS			CDO			Other asset- backed securities			Non-US Sovereign Government, Provincial, Supranational and Government Related/Supported
Balance, beginning of period	$	12,533		$	710,253		$	11,877		$	—
Realized gains (losses)	3			3,163			(17		)	—
Movement in unrealized gains (losses)	(3		)	13,604			93			—
Purchases and issuances (1)	1,376			185,710			5,182			—
Sales	—			(48,313		)	—			—
Settlements	(12,533		)	(121,934		)	(5,085		)	—
Transfers into Level 3	—			—			—			—
Transfers out of Level 3	(1,376		)	—			—			—
Fixed maturities to short-term investments classification change	—			—			—			—
Balance, end of period	$	—		$	742,483		$	12,050		$	—
Movement in total gains (losses) above relating to instruments still held at the reporting date	$	—		$	15,513		$	76		$	—

	Level 3 Assets and Liabilities - Nine Months Ended September 30, 2014
(U.S. dollars in thousands)				Short-term investments			Other investments			Derivative Contracts - Net
Balance, beginning of period				$	2,015		$	113,472		$	(29,110	)
Realized gains (losses)				—			10,541			—
Movement in unrealized gains (losses)				(15		)	2,508			10,910
Purchases and issuances (1)				—			43,394			—
Sales				—			—			—
Settlements				(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				$	—		$	146,535		$	(18,200	)
Movement in total gains (losses) above relating to instruments still held at the reporting date				$	—		$	13,048		$	10,910

____________

(1) Includes assets acquired as result of the transaction described in Note 3(c), "Acquisitions and Disposals - Catlin Acquisition".

Financial Instruments Not Carried at Fair Value

The following table includes financial instruments for which the carrying value differs from the estimated fair values as of September 30, 2015 and December 31, 2014. All of these fair value estimates are considered Level 2 fair value measurements.



	September 30, 2015				December 31, 2014
(U.S. dollars in thousands)	Carrying Value		Fair Value		Carrying Value		Fair Value
Financial Assets - Other investments, structured transactions	$	346,359	$	363,251	$	354,382	$	371,625
Deposit liabilities	$	1,194,815	$	1,471,562	$	1,245,367	$	1,543,761
Notes payable and debt	2,726,917		2,919,907		1,662,580		1,897,854
Financial Liabilities	$	3,921,732	$	4,391,469	$	2,907,947	$	3,441,615