Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 2016

The following tables set forth the Company’s assets and liabilities that were accounted for at fair value as of March 31, 2016 and December 31, 2015 by level within the fair value hierarchy:



March 31, 2016 (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, 2016
Assets
Fixed maturities - Available for Sale ("AFS") - Excluding Life Funds Withheld Assets
U.S. Government and Government-Related/Supported ("U.S. Government")	$	—	$	4,532,047	$	44,940	$	—	$	4,576,987
Corporate - Financials	—		3,660,732		43,583		—		3,704,315
Corporate - Non Financials	—		7,091,329		181		—		7,091,510
Residential mortgage-backed securities – Agency ("RMBS - Agency")	—		4,364,154		2,853		—		4,367,007
Residential mortgage-backed securities – Non-Agency ("RMBS - Non-Agency")	—		302,843		—		—		302,843
Commercial mortgage-backed securities ("CMBS")	—		325,485		—		—		325,485
Collateralized debt obligations ("CDOs")	—		—		21,729		—		21,729
Other asset-backed securities (1)	—		1,158,698		4,200		—		1,162,898
U.S. States and political subdivisions of the States	—		2,584,747		—		—		2,584,747
Non-U.S. Sovereign Government, Provincial, Supranational and Government-Related/Supported ("Non-U.S. Governments")	—		5,546,695		—		—		5,546,695
Total fixed maturities - AFS - Excluding Funds Withheld Assets, at fair value	$	—	$	29,566,730	$	117,486	$	—	$	29,684,216
Equity securities, at fair value	532,672		345,735				—		878,407
Short-term investments, at fair value (1)	—		317,304		—		—		317,304
Total investments AFS - Excluding Funds Withheld Assets	$	532,672	$	30,229,769	$	117,486	$	—	$	30,879,927
Fixed maturities - Life Funds Withheld Assets
U.S. Government	$	—	$	12,692	$	—	$	—	$	12,692
Corporate - Financials	—		547,279		—		—		547,279
Corporate - Non Financials	—		1,269,262		—		—		1,269,262
RMBS – Agency	—		733		—		—		733
RMBS – Non-Agency	—		25,829		—		—		25,829
CMBS	—		108,914		—		—		108,914
Other asset-backed securities	—		121,721		—		—		121,721
Non-U.S. Governments	—		876,927		—		—		876,927
Total fixed maturities - AFS - Life Funds Withheld Assets, at fair value	$	—	$	2,963,357	$	—	$	—	$	2,963,357
Total investments - AFS, at fair value	$	532,672	$	33,193,126	$	117,486	$	—	$	33,843,284
Fixed maturities - Trading
U.S. Government	$	—	$	15,267	$	—	$	—	$	15,267
Corporate - Financials	—		382,755		—		—		382,755
Corporate - Non Financials	—		558,284		—		—		558,284
RMBS – Agency	—		1,869		—		—		1,869
CMBS	—		4,760		—		—		4,760
Other asset-backed securities	—		25,615		—		—		25,615
Non-U.S. Governments	—		421,033		—		—		421,033
Total fixed maturities - Trading, at fair value	$	—	$	1,409,583	$	—	$	—	$	1,409,583
Short-term investments, at fair value (1)	—		26,959		—		—		$	26,959
Total investments, Trading	$	—	$	1,436,542	$	—	$	—	$	1,436,542



March 31, 2016 (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, 2016
Cash equivalents (2)	295,962		881,157		—		—			1,177,119
Cash equivalents - Life Funds Withheld Assets (2)	—		92,444		—		—			92,444
Other investments (3)	—		1,011,336		301,095		—			1,312,431
Other assets (4)	—		56,118		20,486		(37,870		)	38,734
Total assets accounted for at fair value	$	828,634	$	36,670,723	$	439,067	$	(37,870	)	$	37,900,554
Liabilities
Funds withheld on GreyCastle life retrocession arrangements (net of future policy benefit reserves recoverable) (5)	$	—	$	681,811	$	—	$	—		$	681,811
Financial instruments sold, but not yet purchased (6)	2,180		—		—		—			2,180
Other liabilities (4)	—		58,350		30,338		(37,870		)	50,818
Total liabilities accounted for at fair value	$	2,180	$	740,161	$	30,338	$	(37,870	)	$	734,809



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 - AFS - Excluding Life Funds Withheld Assets
U.S. Government	$	—	$	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
RMBS - Agency	—		3,754,894		3,077		—		$	3,757,971
RMBS - Non-Agency	—		328,540		—		—		$	328,540
CMBS	—		405,316		—		—		$	405,316
CDOs	—		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. Government	—		5,251,614		—		—		$	5,251,614
Total fixed maturities - AFS - Excluding 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 Funds Withheld Assets	$	528,581	$	29,919,936	$	152,278	$	—	$	30,600,795
Fixed maturities - Life Funds Withheld Assets
U.S. Government	$	—	$	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. Government	—		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	$	—	$	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. Government	—		370,261		—		—			$	370,261
Total fixed maturities - Trading, at fair value	$	—	$	1,235,699	$	—	$	—		$	1,235,699
Short-term investments, at fair value (1)	—		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 (2)	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 GreyCastle 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

____________


(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, 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 $141.5 million as of March 31, 2016 and $141.3 million as of December 31, 2015, 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, 2015.

(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 7, "Derivative Instruments."

(5)

Funds withheld on GreyCastle 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 GreyCastle Life Retro Arrangements described in Note 1, "Basis of Preparation and Consolidation," 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.

Level 3 Roll Forward



	Level 3 Assets and Liabilities - Three Months Ended March 31, 2016
(U.S. dollars in thousands)	U.S. Government			Corporate - Financials			Corporate - Non-Financials			RMBS - Agency
Balance, beginning of period	$	45,063		$	53,685		$	188		$	3,077
Realized gains (losses)	(37		)	53			—			(3		)
Movement in unrealized gains (losses)	593			(39		)	(1		)	7
Purchases and issuances	—			169			—			—
Sales	—			—			—			—
Settlements	(679		)	—			(6		)	(228		)
Transfers into Level 3	—			—			—			—
Transfers out of Level 3	—			(10,285		)	—			—
Fixed maturities to short-term investments classification change				—			—			—
Balance, end of period	$	44,940		$	43,583		$	181		$	2,853
Movement in total gains (losses) above relating to instruments still held at the reporting date	$	554		$	15		$	(1	)	$	4

(U.S. dollars in thousands)	RMBS - Non Agency			CMBS			CDO			Other asset- backed securities
Balance, beginning of period	$	—		$	—		$	32,408		$	17,857
Realized gains (losses)	—			—			41			1,049
Movement in unrealized gains (losses)	—			—			5,257			(2,758		)
Purchases and issuances	—			—			—			—
Sales	—			—			—			—
Settlements	—			—			(15,977		)	(11,948		)
Transfers into Level 3	—			—			—			—
Transfers out of Level 3	—			—			—			—
Fixed maturities to short-term investments classification change	—			—			—			—
Balance, end of period	$	—		$	—		$	21,729		$	4,200
Movement in total gains (losses) above relating to instruments still held at the reporting date	$	—		$	—		$	5,297		$	(1,708	)

(U.S. dollars in thousands)	Non-US Government			Short-term investments			Other investments			Derivative Contracts - Net
Balance, beginning of period	$	—		$	—		$	283,550		$	(9,791	)
Realized gains (losses)	—			—			5,807			—
Movement in unrealized gains (losses)	—			—			(2,717		)	(61		)
Purchases and issuances	—			—			13,779			—
Sales	—			—			—			—
Settlements	—			—			(14,818		)	—
Transfers into Level 3	—			—			15,494			—
Transfers out of Level 3	—			—			—			—
Fixed maturities to short-term investments classification change	—			—			—			—
Balance, end of period	$	—		$	—		$	301,095		$	(9,852	)
Movement in total gains (losses) above relating to instruments still held at the reporting date	$	—		$	—		$	3,090		$	(61	)



	Level 3 Assets and Liabilities - Three Months Ended March 31, 2015
(U.S. dollars in thousands)	U.S. Government		Corporate - Financials		Corporate - Non-Financials			RMBS - Agency
Balance, beginning of period	$	—	$	—	$	5,894		$	1,910
Realized gains (losses)	—		—		(1		)	—
Movement in unrealized gains (losses)	—		—		48			(1		)
Purchases and issuances (1)	—		—		—			—
Sales	—		—		—			—
Settlements	—		—		(80		)	(89		)
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
Movement in total gains (losses) above relating to instruments still held at the reporting date	$	—	$	—	$	48		$	(1	)

(U.S. dollars in thousands)	RMBS - Non Agency		CMBS		CDO			Other asset- backed securities
Balance, beginning of period	$	—	$	—	$	687,958		$	5,288
Realized gains (losses)	—		—		36			(1		)
Movement in unrealized gains (losses)	—		—		5,555			2
Purchases and issuances (1)	—		—		—			—
Sales	—		—		(155,085		)	—
Settlements	—		—		(41,541		)	(3,045		)
Transfers into Level 3	—		—		—			—
Transfers out of Level 3	—		—		—			—
Fixed maturities to short-term investments classification change	—		—		—			—
Balance, end of period	$	—	$	—	$	496,923		$	2,244
Movement in total gains (losses) above relating to instruments still held at the reporting date	$	—	$	—	$	2,668		$	—

(U.S. dollars in thousands)	Non-US Government		Short-term investments		Other investments			Derivative Contracts - Net
Balance, beginning of period	$	—	$	—	$	185,083		$	(9,764	)
Realized gains (losses)	—		—		1,302			—
Movement in unrealized gains (losses)	—		—		(1,827		)	158
Purchases and issuances (1)	—		—		6,793			—
Sales	—		—		—			—
Settlements	—		—		(1,254		)	—
Transfers into Level 3	—		—		—			—
Transfers out of Level 3	—		—		—			—
Fixed maturities to short-term investments classification change	—		—		—			—
Balance, end of period	$	—	$	—	$	190,097		$	(9,606	)
Movement in total gains (losses) above relating to instruments still held at the reporting date	$	—	$	—	$	(524	)	$	158

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 March 31, 2016 and December 31, 2015. All of these fair value estimates are considered Level 2 fair value measurements.



	March 31, 2016				December 31, 2015
(U.S. dollars in thousands)	Carrying Value		Fair Value		Carrying Value		Fair Value
Financial Assets - Other investments	$	141,459	$	153,844	$	141,329	$	154,065
Deposit liabilities	$	1,171,655	$	1,478,856	$	1,168,376	$	1,436,210
Notes payable and debt	2,645,647		2,815,562		2,644,970		2,805,152
Financial Liabilities	$	3,817,302	$	4,294,418	$	3,813,346	$	4,241,362