Fair Value Measurements (Tables)

12 Months Ended

Dec. 31, 2016

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, 2016 and 2015 by level within the fair value hierarchy. For further information, see Note 1(b), "Significant Accounting Policies - Fair Value Measurements":



December 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 December 31, 2016
Assets
Fixed maturities - AFS - Excluding Life Funds Withheld Assets
U.S. Government	$	—	$	3,869,637	$	24,751	$	—	$	3,894,388
Corporate - Financials	—		3,612,006		10,284		—		3,622,290
Corporate - Non Financials	—		6,502,638		9,801		—		6,512,439
RMBS - Agency	—		4,218,367		—		—		4,218,367
RMBS - Non-Agency	—		274,258		—		—		274,258
CMBS	—		665,087		99		—		665,186
CDO	—		377,490		1		—		377,491
Other asset-backed securities	—		874,767		1,130		—		875,897
U.S. States and political subdivisions of the States	—		2,478,112		—		—		2,478,112
Non-U.S. Government	—		5,030,132		—		—		5,030,132
Total fixed maturities - AFS - Excluding Life Funds Withheld Assets, at fair value	$	—	$	27,902,494	$	46,066	$	—	$	27,948,560
Equity securities, at fair value	898,664		138,667		—		—		1,037,331
Short-term investments, at fair value (1)	—		625,193		—		—		625,193
Total investments AFS - Excluding Life Funds Withheld Assets	$	898,664	$	28,666,354	$	46,066	$	—	$	29,611,084
Fixed maturities - AFS - Life Funds Withheld Assets
U.S. Government	—		10,577		—		—		10,577
Corporate - Financials	—		439,267		—		—		439,267
Corporate - Non Financials	—		1,015,341		—		—		1,015,341
RMBS - Agency	—		613		—		—		613
RMBS - Non-Agency	—		21,767		—		—		21,767
CMBS	—		94,240		—		—		94,240
Other asset-backed securities	—		101,560		—		—		101,560
Non-U.S. Government	—		624,677		—		—		624,677
Total fixed maturities - AFS - Life Funds Withheld Assets, at fair value	—		2,308,042		—		—		2,308,042
Total investments - AFS, at fair value	898,664		30,974,396		46,066		—		31,919,126



December 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 December 31, 2016
Fixed maturities - Trading - Life Funds Withheld Assets
U.S. Government	—		14,708		—		—			14,708
Corporate - Financials	—		468,175		—		—			468,175
Corporate - Non Financials	—		643,030		—		—			643,030
RMBS - Agency	—		852		—		—			852
RMBS - Non-Agency	—		109		—		—			109
CMBS	—		5,526		—		—			5,526
Other asset-backed securities	—		39,446		—		—			39,446
U.S. States and political subdivisions of the States	—		224		—		—			224
Non-U.S. Government	—		444,944		—		—			444,944
Total fixed maturities - Trading - Life Funds Withheld Assets, at fair value	—		1,617,014		—		—			1,617,014
Short-term investments, at fair value	—		9,563		—		—			9,563
Total investments, Trading	—		1,626,577		—		—			1,626,577
Cash equivalents (2)	573,398		1,096,254		—		—			1,669,652
Cash equivalents - Life Funds Withheld Assets	—		72,798		—		—			72,798
Other investments (3)			493,874		205,528		—			699,402
Other assets (4)	—		87,655		19,841		(17,947		)	89,549
Total assets accounted for at fair value	$	1,472,062	$	34,351,554	$	271,435	$	(17,947	)	$	36,077,104
Liabilities
Funds withheld on GreyCastle Life Retro Arrangements (net of future policy benefit reserves recoverable) (5)	$	—	$	937,721	$	—	$	—		$	937,721
Other liabilities (4)	—		44,865		19,839		(17,947		)	46,757
Total liabilities accounted for at fair value	$	—	$	982,586	$	19,839	$	(17,947	)	$	984,478



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 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. 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 - Life Funds Withheld Assets
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	—		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		283,550		—			$	773,608
Other assets (4)	—		69,914		19,400		(3,087		)	$	86,227
Total assets accounted for at fair value	$	966,840	$	35,860,721	$	455,228	$	(3,087	)	$	37,279,702
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

____________


(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)

Other Investments balance excludes $322.9 million and $518.1 million as of December 31, 2016 and December 31, 2015, respectively, measured using Net Asset Value, based on new accounting guidance. In addition, the Other investments balance excludes a certain payment obligation. These investments, which totaled $142.3 million at December 31, 2016 and $141.3 million at December 31, 2015, are carried at amortized cost. For further information, see Note 6, "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 7, "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 to the GreyCastle Life Retro Arrangements described in Note 2(g), "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, 2016
(U.S. dollars in thousands)	Balance, beginning of period			Realized gains (losses)			Movement in unrealized gains (losses)			Purchases and Issuances			Sales			Settlements			Net transfers into (out of) Level 3 (2)			Balance, end of period			Movement in total gains (losses) relating to investments still held
U.S. Government	$	45,063		$	264		$	687		$	—		$	(19,101	)	$	(2,162	)	$	—		$	24,751		$	886
Corporate - Financials	53,685			(2,991		)	10			285			(30,420		)	—			(10,285		)	10,284			31
Corporate - Non-Financials	188			—			13			1,747			—			(6		)	7,859			9,801			14
RMBS - Agency	3,077			(3		)	7			—			—			(229		)	(2,852		)	—			—
CMBS	—			—			(3		)	—			—			—			102			99			(3		)
CDO	32,408			189			6,870			—			—			(23,030		)	(16,436		)	1			6,152
Other asset-backed securities	17,857			479			(2,113		)	1,072			—			(14,190		)	(1,975		)	1,130			(1,673		)
Other investments	283,550			18,097			(10,622		)	47,998			(27,676		)	(43,607		)	(62,212		)	205,528			2,454
Derivative Contracts - Net	(9,791		)	—			9,793			—			—			—			—			2			10
Total	$	426,037		$	16,035		$	4,642		$	51,102		$	(77,197	)	$	(83,224	)	$	(85,799	)	$	251,596		$	7,871

	Level 3 Assets and Liabilities - Year Ended December 31, 2015
(U.S. dollars in thousands)	Balance, beginning of period			Realized gains (losses)			Movement in unrealized gains (losses)			Purchases and Issuances (1)			Sales			Settlements			Net transfers into (out of) Level 3 (2)			Balance, end of period			Movement in total gains (losses) relating to investments still held
U.S. Government	$	—		$	—		$	—		$	35,044		$	—		$	—		$	10,019		$	45,063		$	—
Corporate - Financials	—			9			(10		)	53,686			—			—			—			53,685			(2		)
Corporate - Non-Financials	5,894			(186		)	(13		)	(123		)	—			(316		)	(5,068		)	188			(153		)
RMBS - Agency	1,910			—			(3		)	1,297			—			(323		)	196			3,077			(2		)
CDO	687,958			(8,658		)	16,688			25,882			(366,633		)	(322,829		)	—			32,408			5,279
Other asset-backed securities	5,288			628			(599		)	46,940			(7,269		)	(6,359		)	(20,772		)	17,857			451
Other investments	185,083			15,270			(12,548		)	117,143			(1,417		)	(19,981		)	—			283,550			2,724
Derivative Contracts - Net	(9,764		)	—			(27		)	—			—			—			—			(9,791		)	80
Total	$	876,369		$	7,063		$	3,488		$	279,869		$	(375,319	)	$	(349,808	)	$	(15,625	)	$	426,037		$	8,377

____________

(1) Includes assets acquired as result of the transaction described in Note 2(e), "Acquisitions and Disposals - Catlin Acquisition"

(2) Net transfers include both movement in and movement out of Level 3. Corporate - Non-Financials securities for 2016 includes $9.7 million of incoming transfers partially offset by $1.9 million outgoing transfers. Other asset-backed securities for 2016 includes $5.0 million of outgoing transfers partially offset by $3.0 million of incoming transfers, and 2015 includes $34.1 million of outgoing transfers partially offset by $13.3 million of incoming transfers. Other investments for 2016 includes $77.7 million of outgoing transfers partially offset by $15.5 million of incoming transfers. RMBS-Agency for 2015 includes $3.1 million of incoming transfers partially offset by $2.9 million of outgoing transfers.

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



(U.S. dollars in thousands)	2016				2015
(U.S. dollars in thousands)	Carrying Value		Fair Value		Carrying Value		Fair Value
Financial Assets - Other investments, structured transactions	$	142,271	$	153,173	$	141,329	$	154,065
Deposit liabilities	$	1,116,233	$	1,337,406	$	1,168,376	$	1,436,210
Notes payable and debt	2,647,677		2,813,257		2,644,970		2,805,152
Financial Liabilities	$	3,763,910	$	4,150,663	$	3,813,346	$	4,241,362