Fair Value Measurements (Tables)

12 Months Ended

Dec. 31, 2015

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, 2015 and 2014 by level within the fair value hierarchy. For further information, see Note 2(b), "Significant Accounting Policies - Fair Value Measurements":



December 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 December 31, 2015
Assets
Fixed maturities - Available for Sale ("AFS") - Excluding Life Funds Withheld Assets
U.S. Government and Government - Related/Supported	$	—	$	5,020,574	$	45,063	$	—	$	5,065,637
Corporate - Financials	—		3,508,224		53,685		—		3,561,909
Corporate - Non Financials	—		6,900,259		188		—		6,900,447
Residential mortgage-backed securities – Agency ("RMBS - Agency")	—		3,754,894		3,077		—		3,757,971
Residential mortgage-backed securities – Non-Agency ("RMBS - Non-Agency")	—		328,540		—		—		328,540
Commercial mortgage-backed securities ("CMBS")	—		405,316		—		—		405,316
Collateralized debt obligations ("CDO")	—		2		32,408		—		32,410
Other asset-backed securities	—		1,150,715		17,857		—		1,168,572
U.S. States and political subdivisions of the States	—		2,632,070		—		—		2,632,070
Non-U.S. Sovereign Government, Provincial, Supranational and Government-Related/Supported	—		5,251,614		—		—		5,251,614
Total fixed maturities - AFS - Excluding Life Funds Withheld Assets, at fair value	$	—	$	28,952,208	$	152,278	$	—	$	29,104,486
Equity securities, at fair value	528,581		350,338		—		—		878,919
Short-term investments, at fair value (1)	—		617,390		—		—		617,390
Total investments AFS - Excluding Life Funds Withheld Assets	$	528,581	$	29,919,936	$	152,278	$	—	$	30,600,795
Fixed maturities - AFS - Life Funds Withheld Assets
U.S. Government and Government - Related/Supported	—		12,742		—		—		12,742
Corporate - Financials	—		598,236		—		—		598,236
Corporate - Non Financials	—		1,308,628		—		—		1,308,628
RMBS - Agency	—		752		—		—		752
RMBS - Non-Agency	—		26,953		—		—		26,953
CMBS	—		122,481		—		—		122,481
Other asset-backed securities	—		149,795		—		—		149,795
Non-U.S. Sovereign Government, Provincial, Supranational and Government-Related/Supported	—		933,516		—		—		933,516
Total fixed maturities - AFS - Life Funds Withheld Assets, at fair value	—		3,153,103		—		—		3,153,103
Total investments - AFS, at fair value	528,581		33,073,039		152,278		—		33,753,898



December 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 December 31, 2015
Fixed maturities - Trading
U.S. Government and Government - Related/Supported	—		4,990		—		—			4,990
Corporate - Financials	—		335,956		—		—			335,956
Corporate - Non Financials	—		493,621		—		—			493,621
RMBS - Agency	—		368		—		—			368
CMBS	—		4,803		—		—			4,803
Other asset-backed securities	—		25,700		—		—			25,700
Non-U.S. Sovereign Government, Provincial, Supranational and Government-Related/Supported	—		370,261		—		—			370,261
Total fixed maturities - Trading, at fair value	—		1,235,699		—		—			1,235,699
Short-term investments, at fair value	—		60,330		—		—			60,330
Total investments Trading	—		1,296,029		—		—			1,296,029
Cash equivalents (2)	437,742		830,924		—		—			1,268,666
Cash equivalents - Life Funds Withheld Assets	517		100,757		—		—			101,274
Other investments (3)	—		1,008,176		283,550		—			1,291,726
Other assets (4)	—		69,914		19,400		(3,087		)	86,227
Total assets accounted for at fair value	$	966,840	$	36,378,839	$	455,228	$	(3,087	)	$	37,797,820
Liabilities
Funds withheld on life retrocession arrangements (net of future policy benefit reserves recoverable) (5)	$	—	$	463,915	$	—	$	—		$	463,915
Financial instruments sold, but not yet purchased (6)	347		—		—		—			347
Other liabilities (4)	—		16,304		29,191		(3,087		)	42,408
Total liabilities accounted for at fair value	$	347	$	480,219	$	29,191	$	(3,087	)	$	506,670



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	—		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	—		1,060,005		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)	—		256,727		—		—		256,727
Total investments AFS - Excluding Funds Withheld Assets	$	502,284	$	24,099,154	$	701,050	$	—	$	25,302,488



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
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 (2)	1,103,877		397,955		—		—			$	1,501,832
Cash equivalents - Life Funds Withheld Assets (2)	460		132,738		—		—			$	133,198
Other investments (3)	—		708,974		185,083		—			$	894,057
Other assets (4)	—		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) (5)	$	—	$	450,831	$	—	$	—		$	450,831
Financial instruments sold, but not yet purchased (6)	4,737		25,669		—		—			$	30,406
Other liabilities (4)	—		7,757		23,427		(696		)	$	30,488
Total liabilities accounted for at fair value	$	4,737	$	484,257	$	23,427	$	(696	)	$	511,725

____________


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


(2)	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.

(3)

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 $141.3 million at December 31, 2015 and $354.4 million at December 31, 2014, are carried at amortized cost. For further information, see Note 8, "Other Investments."

(4)

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 15, "Derivative Instruments."

(5)

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 GreyCastle Life Retro Arrangements described in Note 3(e), "Acquisitions and Disposals - Sale of Life Reinsurance Subsidiary", accrue to the benefit of GCLR.


(6)	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



	Level 3 Assets and Liabilities - Year Ended December 31, 2015
(U.S. dollars in thousands)	U.S. Government and Government - Related/Supported		Corporate - Financials			Corporate - Non-Financials			RMBS - Agency
Balance, beginning of period	$	—	$	—		$	5,894		$	1,910
Realized gains (losses)	—		9			(186		)	—
Movement in unrealized gains (losses)	—		(10		)	(13		)	(3		)
Purchases and issuances (1)	35,044		53,686			(123		)	1,297
Sales	—		—			—			—
Settlements	—		—			(316		)	(323		)
Transfers into Level 3	10,019		—			—			3,059
Transfers out of Level 3	—		—			(5,068		)	(2,863		)
Fixed maturities to short-term investments classification change	—		—			—			—
Balance, end of period	$	45,063	$	53,685		$	188		$	3,077
Movement in total gains (losses) above relating to instruments still held at the reporting date	$	—	$	(2	)	$	(153	)	$	(2	)

	RMBS - Non Agency		CMBS			CDO			Other asset- backed securities
Balance, beginning of period	$	—	$	—		$	687,958		$	5,288
Realized gains (losses)	—		—			(8,658		)	628
Movement in unrealized gains (losses)	—		—			16,688			(599		)
Purchases and issuances (1)	—		—			25,882			46,940
Sales	—		—			(366,633		)	(7,269		)
Settlements	—		—			(322,829		)	(6,359		)
Transfers into Level 3	—		—			—			13,317
Transfers out of Level 3	—		—			—			(34,089		)
Fixed maturities to short-term investments classification change	—		—			—			—
Balance, end of period	$	—	$	—		$	32,408		$	17,857
Movement in total gains (losses) above relating to instruments still held at the reporting date	$	—	$	—		$	5,279		$	451

	Non-US Sovereign Government, Provincial, Supranational and Government Related/Supported		Short-term investments			Other investments			Derivative Contracts - Net
Balance, beginning of period	$	—	$	—		$	185,083		$	(9,764	)
Realized gains (losses)	—		—			15,270			—
Movement in unrealized gains (losses)	—		—			(12,548		)	(27		)
Purchases and issuances (1)	—		—			117,143			—
Sales	—		—			(1,417		)	—
Settlements	—		—			(19,981		)	—
Transfers into Level 3	—		—			—			—
Transfers out of Level 3	—		—			—			—
Fixed maturities to short-term investments classification change	—		—			—			—
Balance, end of period	$	—	$	—		$	283,550		$	(9,791	)
Movement in total gains (losses) above relating to instruments still held at the reporting date	$	—	$	—		$	2,724		$	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 - Year Ended December 31, 2014
(U.S. dollars in thousands)	U.S. Government and Government - Related/Supported			Corporate - Financials			Corporate - Non-Financials			RMBS - Agency
Balance, beginning of period	$	—		$	—		$	31,573		$	10,473
Realized gains (losses)	—			—			199			5
Movement in unrealized gains (losses)	—			—			(128		)	(18		)
Purchases and issuances	—			—			3,759			120
Sales	—			—			—			—
Settlements	—			—			(6,543		)	(3,205		)
Transfers into Level 3	—			—			766			—
Transfers out of Level 3	—			—			(23,732		)	(5,465		)
Fixed maturities to short-term investments classification change	—			—			—			—
Balance, end of period	$	—		$	—		$	5,894		$	1,910
Movement in total gains (losses) above relating to instruments still held at the reporting date	$	—		$	—		$	60		$	(12	)

	RMBS - Non Agency			CMBS			CDO			Other asset- backed securities
Balance, beginning of period	$	9		$	12,533		$	710,253		$	11,877
Realized gains (losses)	1			3			3,781			(7		)
Movement in unrealized gains (losses)	1			(3		)	11,604			65
Purchases and issuances	—			1,376			185,710			5,182
Sales	—			—			(48,313		)	—
Settlements	(11		)	(12,533		)	(175,077		)	(5,705		)
Transfers into Level 3	—			—			—			—
Transfers out of Level 3	—			(1,376		)	—			(6,124		)
Fixed maturities to short-term investments classification change	—			—			—			—
Balance, end of period	$	—		$	—		$	687,958		$	5,288
Movement in total gains (losses) above relating to instruments still held at the reporting date	$	—		$	—		$	14,432		$	57

	Non-US Sovereign Government, Provincial, Supranational and Government Related/Supported			Short-term investments			Other investments			Derivative Contracts - Net
Balance, beginning of period	$	—		$	2,015		$	113,472		$	(29,110	)
Realized gains (losses)	—			—			12,676			—
Movement in unrealized gains (losses)	—			(15		)	538			19,346
Purchases and issuances	—			—			59,401			—
Sales	—			—			—			—
Settlements	—			(2,000		)	(25,498		)	—
Transfers into Level 3	—			—			24,494			—
Transfers out of Level 3	—			—			—			—
Fixed maturities to short-term investments classification change	—			—			—			—
Balance, end of period	$	—		$	—		$	185,083		$	(9,764	)
Movement in total gains (losses) above relating to instruments still held at the reporting date	$	—		$	—		$	13,212		$	19,346

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

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



(U.S. dollars in thousands)	2015				2014
(U.S. dollars in thousands)	Carrying Value		Fair Value		Carrying Value		Fair Value
Financial Assets - Other investments, structured transactions	$	141,329	$	154,065	$	354,382	$	371,625
Deposit liabilities	$	1,168,376	$	1,436,210	$	1,245,367	$	1,543,761
Notes payable and debt	2,644,970		2,805,152		1,662,580		1,897,854
Financial Liabilities	$	3,813,346	$	4,241,362	$	2,907,947	$	3,441,615