Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2016

Fair Value Disclosures [Abstract]

Fair Value Hierarchy

The following tables set forth the Company’s assets and liabilities that were accounted for at fair value as of September 30, 2016 and December 31, 2015 by level within the fair value hierarchy:

September 30, 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 September 30, 2016
Assets
Fixed maturities - AFS - Excluding Life Funds Withheld Assets
U.S. Government and Government-Related/Supported ("U.S. Government")	$	—	$	3,889,709	$	43,650	$	—	$	3,933,359
Corporate - Financials	—		3,768,137		10,207		—		3,778,344
Corporate - Non Financials	—		6,898,790		79		—		6,898,869
Residential mortgage-backed securities – Agency ("RMBS - Agency")	—		4,591,774		—		—		4,591,774
Residential mortgage-backed securities – Non-Agency ("RMBS - Non-Agency")	—		285,927		—		—		285,927
Commercial mortgage-backed securities ("CMBS")	—		296,003		101		—		296,104
Collateralized debt obligations ("CDOs")	—		—		141,281		—		141,281
Other asset-backed securities	—		972,040		1,130		—		973,170
U.S. States and political subdivisions of the States	—		2,598,854		—		—		2,598,854
Non-U.S. Sovereign Government, Provincial, Supranational and Government-Related/Supported ("Non-U.S. Governments")	—		5,642,141		—		—		5,642,141
Total fixed maturities - AFS - Excluding Funds Withheld Assets, at fair value	$	—	$	28,943,375	$	196,448	$	—	$	29,139,823
Equity securities, at fair value	693,510		344,655		—		—		1,038,165
Short-term investments, at fair value (1)	—		652,772		—		—		652,772
Total investments AFS - Excluding Funds Withheld Assets	$	693,510	$	29,940,802	$	196,448	$	—	$	30,830,760
Fixed maturities - Life Funds Withheld Assets
U.S. Government	$	—	$	12,391	$	—	$	—	$	12,391
Corporate - Financials	—		498,074		—		—		498,074
Corporate - Non Financials	—		1,185,022		—		—		1,185,022
RMBS – Agency	—		671		—		—		671
RMBS – Non-Agency	—		65		—		—		65
CMBS	—		105,969		—		—		105,969
Other asset-backed securities	—		137,929		—		—		137,929
Non-U.S. Governments	—		854,191		—		—		854,191
Total fixed maturities - AFS - Life Funds Withheld Assets, at fair value	$	—	$	2,794,312	$	—	$	—	$	2,794,312
Total investments - AFS, at fair value	$	693,510	$	32,735,114	$	196,448	$	—	$	33,625,072

September 30, 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 September 30, 2016
Fixed maturities - Trading
U.S. Government	$	—	$	16,866	$	—	$	—		$	16,866
Corporate - Financials	—		487,472		—		—			487,472
Corporate - Non Financials	—		675,644		—		—			675,644
RMBS – Agency	—		1,680		—		—			1,680
RMBS – Non-Agency	—		151		—		—			151
CMBS	—		5,614		—		—			5,614
Other asset-backed securities	—		27,699		—		—			27,699
Non-U.S. Governments	—		393,756		—		—			393,756
Total fixed maturities - Trading - Life Funds Withheld Assets, at fair value	$	—	$	1,608,882	$	—	$	—		$	1,608,882
Short-term investments, at fair value (1)	—		24,169		—		—			$	24,169
Total investments, Trading	$	—	$	1,633,051	$	—	$	—		$	1,633,051
Cash equivalents (2)	270,607		1,460,054		—		—			1,730,661
Cash equivalents - Life Funds Withheld Assets (2)	—		74,936		—		—			74,936
Other investments (3)	—		527,802		212,754		—			740,556
Other assets (4)	—		60,684		18,683		(23,873		)	55,494
Total assets accounted for at fair value	$	964,117	$	36,491,641	$	427,885	$	(23,873	)	$	37,859,770
Liabilities
Funds withheld on GreyCastle Life Retro Arrangements (net of future policy benefit reserves recoverable) (5)	$	—	$	1,122,127	$	—	$	—		$	1,122,127
Other liabilities (4)	—		48,347		18,640		(23,873		)	43,114
Total liabilities accounted for at fair value	$	—	$	1,170,474	$	18,640	$	(23,873	)	$	1,165,241

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

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 - 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
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 - Life Funds Withheld Assets, 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)	—		490,058		264,415		—			754,473
Other assets (4)	—		69,914		19,400		(3,087		)	86,227
Total assets accounted for at fair value	$	966,840	$	35,860,721	$	436,093	$	(3,087	)	$	37,260,567
Liabilities
Funds withheld on GreyCastle Life Retro 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 Other asset-backed securities, U.S. and Non-U.S. Government securities and Corporate 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) Excluded from Other Investments are $378.4 million and $537.2 million as of September 30, 2016 and December 31, 2015, respectively, measured using Net Asset Value. Based on new accounting guidance, these investments are excluded from the fair value hierarchy table. In addition, the Other investments balance excludes a certain payment obligation. This investment, which totaled $142.0 million as of September 30, 2016 and $141.3 million as of December 31, 2015, is carried at amortized cost. For further information, see Item 8, Note 8, "Other Investments," to the Consolidated Financial Statements included in the Company's 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 Retro 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 September 30, 2016
(U.S. dollars in thousands)	U.S. Government			Corporate - Financials			Corporate - Non-Financials			RMBS - Agency
Balance, beginning of period	$	44,256		$	43,637		$	1,929		$	15
Realized gains (losses)	(37		)	(3,088		)	—			—
Movement in unrealized gains (losses)	116			78			16			—
Purchases and issuances	—			—			—			—
Sales	—			(30,420		)	—			—
Settlements	(685		)	—			—			—
Transfers into Level 3	—			—			—			—
Transfers out of Level 3	—			—			(1,866		)	(15		)
Balance, end of period	$	43,650		$	10,207		$	79		$	—
Movement in total gains (losses) above relating to instruments still held at the reporting date	$	79		$	—		$	17		$	—
(U.S. dollars in thousands)	RMBS - Non Agency			CMBS			CDO			Other asset- backed securities
Balance, beginning of period	$	—		$	—		$	17,794		$	6,855
Realized gains (losses)	—			—			99			(7		)
Movement in unrealized gains (losses)	—			(1		)	1,141			48
Purchases and issuances	—			—			124,843			—
Sales	—			—			—			—
Settlements	—			—			(2,596		)	(1,671		)
Transfers into Level 3	—			102			—			—
Transfers out of Level 3	—			—			—			(4,095		)
Balance, end of period	$	—		$	101		$	141,281		$	1,130
Movement in total gains (losses) above relating to instruments still held at the reporting date	$	—		$	(1	)	$	333		$	—
(U.S. dollars in thousands)	Non-U.S. Government			Short-term investments			Other investments			Derivative Contracts - Net
Balance, beginning of period	$	—		$	—		$	225,094		$	(9,836	)
Realized gains (losses)	—			—			7,757			—
Movement in unrealized gains (losses)	—			—			(62		)	9,879
Purchases and issuances	—			—			9,297			—
Sales	—			—			(12,000		)	—
Settlements	—			—			(14,869		)	—
Transfers into Level 3	—			—			—			—
Transfers out of Level 3	—			—			(2,463		)	—
Balance, end of period	$	—		$	—		$	212,754		$	43
Movement in total gains (losses) above relating to instruments still held at the reporting date	$	—		$	—		$	6,902		$	55

	Level 3 Assets and Liabilities - Three Months Ended September 30, 2015
(U.S. dollars in thousands)	U.S. Government		Corporate - Financials		Corporate - Non-Financials			RMBS - 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	—		—		—			—
Sales	—		—		—			—
Settlements	—		—		(236		)	(154		)
Transfers into Level 3	—		—		—			—
Transfers out of Level 3	—		—		—			—
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	)
(U.S. dollars in thousands)	RMBS - Non Agency		CMBS		CDO			Other asset- backed securities
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	—		—		2,101			3,334
Sales	—		—		(56,576		)	—
Settlements	—		—		(22,558		)	(3,087		)
Transfers into Level 3	—		—		—			—
Transfers out of Level 3	—		—		—			(6,449		)
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	)
(U.S. dollars in thousands)	Non-U.S. Government		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	—		—		30,519			—
Sales	—		—		(1,417		)	—
Settlements	—		—		(10,170		)	—
Transfers into Level 3	—		—		—			—
Transfers out of Level 3	—		—		—			—
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

	Level 3 Assets and Liabilities - Nine Months Ended September 30, 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)	(112		)	(2,991		)	—			(3		)
Movement in unrealized gains (losses)	743			10			16			7
Purchases and issuances	—			208			1,747			—
Sales	—			(30,420		)	—			—
Settlements	(2,044		)	—			(6		)	(229		)
Transfers into Level 3	—			—			—			—
Transfers out of Level 3	—			(10,285		)	(1,866		)	(2,852		)
Balance, end of period	$	43,650		$	10,207		$	79		$	—
Movement in total gains (losses) above relating to instruments still held at the reporting date	$	630		$	31		$	17		$	—
(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)	—			—			189			515
Movement in unrealized gains (losses)	—			(1		)	6,871			(2,149		)
Purchases and issuances	—			—			124,843			1,072
Sales	—			—			—			—
Settlements	—			—			(23,030		)	(14,190		)
Transfers into Level 3	—			102			—			3,015
Transfers out of Level 3	—			—			—			(4,990		)
Balance, end of period	$	—		$	101		$	141,281		$	1,130
Movement in total gains (losses) above relating to instruments still held at the reporting date	$	—		$	(1	)	$	6,152		$	(1,673	)
(U.S. dollars in thousands)	Non-U.S. Government			Short-term investments			Other investments			Derivative Contracts - Net
Balance, beginning of period	$	—		$	—		$	264,415		$	(9,791	)
Realized gains (losses)	—			—			14,588			—
Movement in unrealized gains (losses)	—			—			(8,519		)	9,834
Purchases and issuances	—			—			34,450			—
Sales	—			—			(12,000		)	—
Settlements	—			—			(34,334		)	—
Transfers into Level 3	—			—			15,494			—
Transfers out of Level 3	—			—			(61,340		)	—
Balance, end of period	$	—		$	—		$	212,754		$	43
Movement in total gains (losses) above relating to instruments still held at the reporting date	$	—		$	—		$	5,276		$	10

	Level 3 Assets and Liabilities - Nine Months Ended September 30, 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)	—		—		(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	—		—		—			—
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	)
(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)	—		—		(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		)
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
(U.S. dollars in thousands)	Non-U.S. Government		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	—		—		—			—
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

Financial Instruments Not Carried at Fair Value

The following table includes financial instruments for which the carrying values differ from the estimated fair values as of September 30, 2016 and December 31, 2015. All of these fair value estimates are considered Level 2 fair value measurements.

	September 30, 2016				December 31, 2015
(U.S. dollars in thousands)	Carrying Value		Fair Value		Carrying Value		Fair Value
Financial Assets - Other investments	$	141,995	$	153,398	$	141,329	$	154,065
Deposit liabilities	$	1,138,789	$	1,450,164	$	1,168,376	$	1,436,210
Notes payable and debt	2,675,000		2,921,113		2,644,970		2,805,152
Financial Liabilities	$	3,813,789	$	4,371,277	$	3,813,346	$	4,241,362