Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 2017

The following tables set forth the Company’s assets and liabilities that were accounted for at fair value at March 31, 2017 and December 31, 2016 by level within the fair value hierarchy:



March 31, 2017 (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, 2017
Assets
Fixed maturities - AFS - Excluding Life Funds Withheld Assets
U.S. Government	$	—	$	4,184,045	$	19,308	$	—	$	4,203,353
U.S. States, municipalities and political subdivisions	—		2,350,859		—		—		2,350,859
Non-U.S. Governments	—		4,979,908		—		—		4,979,908
Corporate	—		10,569,467		9,899		—		10,579,366
RMBS	—		4,374,054		3,381		—		4,377,435
CMBS	—		700,096		101		—		700,197
Other asset-backed securities	—		1,245,741		3,950		—		1,249,691
Total fixed maturities - AFS - Excluding Funds Withheld Assets, at fair value	$	—	$	28,404,170	$	36,639	$	—	$	28,440,809
Equity securities, at fair value	942,865		151,644		—		—		1,094,509
Short-term investments, at fair value (1)	—		248,488		11,665		—		260,153
Total investments AFS - Excluding Funds Withheld Assets	$	942,865	$	28,804,302	$	48,304	$	—	$	29,795,471
Fixed maturities - Life Funds Withheld Assets
U.S. Government	$	—	$	10,732	$	—	$	—	$	10,732
Non-U.S. Governments	—		588,622		—		—		588,622
Corporate	—		1,395,551		—		—		1,395,551
RMBS	—		22,338		—		—		22,338
CMBS	—		93,810		—		—		93,810
Other asset-backed securities	—		99,928		—		—		99,928
Total fixed maturities - AFS - Life Funds Withheld Assets, at fair value	$	—	$	2,210,981	$	—	$	—	$	2,210,981
Total investments - AFS, at fair value	$	942,865	$	31,015,283	$	48,304	$	—	$	32,006,452



March 31, 2017 (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, 2017
Fixed maturities - Trading
U.S. Government	$	—	$	16,340	$	—	$	—		$	16,340
U.S. States, municipalities and political subdivisions	—		126		—		—			126
Non-U.S. Governments	—		469,597		—		—			469,597
Corporate	—		1,167,081		—		—			1,167,081
RMBS	—		930		—		—			930
CMBS	—		5,550		—		—			5,550
Other asset-backed securities	—		40,484		—		—			40,484
Total fixed maturities - Trading - Life Funds Withheld Assets, at fair value	$	—	$	1,700,108	$	—	$	—		$	1,700,108
Short-term investments, at fair value (1)	—		754		—		—			754
Total investments, Trading	$	—	$	1,700,862	$	—	$	—		$	1,700,862
Cash equivalents (2)	301,491		1,484,375		—		—			1,785,866
Cash equivalents - Life Funds Withheld Assets (2)	—		86,463		—		—			86,463
Other investments (3)	—		520,965		203,965		—			724,930
Other assets (4)	—		12,425		18,560		(8,565		)	22,420
Total assets accounted for at fair value	$	1,244,356	$	34,820,373	$	270,829	$	(8,565	)	$	36,326,993
Liabilities
Funds withheld on GreyCastle Life Retro Arrangements (net of future policy benefit reserves recoverable) (5)	$	—	$	977,942	$	—	$	—		$	977,942
Other liabilities (4)	—		29,390		18,397		(8,565		)	39,222
Total liabilities accounted for at fair value	$	—	$	1,007,332	$	18,397	$	(8,565	)	$	1,017,164



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
U.S. States, municipalities and political subdivisions	—		2,478,112		—		—		2,478,112
Non-U.S. Governments	—		5,030,132		—		—		5,030,132
Corporate	—		10,114,644		20,085		—		10,134,729
RMBS	—		4,492,625		—		—		4,492,625
CMBS	—		665,087		99		—		665,186
Other asset-backed securities	—		1,252,257		1,131		—		1,253,388
Total fixed maturities - AFS - Excluding 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 Funds Withheld Assets	$	898,664	$	28,666,354	$	46,066	$	—	$	29,611,084



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 - Life Funds Withheld Assets
U.S. Government	$	—	$	10,577	$	—	$	—		$	10,577
U.S. States, municipalities and political subdivisions	—		—		—		—			—
Non-U.S. Governments	—		624,677		—		—			624,677
Corporate	—		1,454,608		—		—			1,454,608
RMBS	—		22,380		—		—			22,380
CMBS	—		94,240		—		—			94,240
Other asset-backed securities	—		101,560		—		—			101,560
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
Fixed maturities - Trading
U.S. Government	$	—	$	14,708	$	—	$	—		$	14,708
U.S. States, municipalities and political subdivisions	—		224		—		—			224
Non-U.S. Governments	—		444,944		—		—			444,944
Corporate	—		1,111,205		—		—			1,111,205
RMBS	—		961		—		—			961
CMBS	—		5,526		—		—			5,526
Other asset-backed securities	—		39,446		—		—			39,446
Total fixed maturities - Trading - Life Funds Withheld Assets, at fair value	$	—	$	1,617,014	$	—	$	—		$	1,617,014
Short-term investments, at fair value (1)	—		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 (2)	—		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

____________


(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 certain investments which are measured using net asset value as a practical expedient in the amount of $283.0 million and $322.9 million at March 31, 2017 and December 31, 2016, respectively. 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 $142.5 million at March 31, 2017 and $142.3 million at December 31, 2016, is carried at amortized cost. For further information, see Item 8, Note 6, "Other Investments," to the Consolidated Financial Statements included in the Company's Annual Report on Form 10-K for the year ended December 31, 2016.

(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 5, "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, "Significant Accounting Policies," accrue to the benefit of GCLR.

Level 3 Roll Forward



	Level 3 Assets and Liabilities - Three Months Ended March 31, 2017
(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			Balance, end of period			Movement in total gains (losses) relating to investments still held
U.S. Government	$	24,751		$	(19	)	$	(355	)	$	—	$	—		$	(311	)	$	(4,758	)	$	19,308		$	(373	)
Corporate	20,085			—			11			—		(10,284		)	(31		)	118			9,899			11
RMBS	—			17			(526		)	—		—			(173		)	4,063			3,381			(509		)
CMBS	99			—			2			—		—			—			—			101			2
Other asset-backed securities	1,131			30			101			—		—			(46		)	2,734			3,950			131
Short-term investments	—			—			—			11,693		—			(28		)	—			11,665			—
Other investments	205,528			(5,541		)	7,102			4,982		—			(5,397		)	(2,709		)	203,965			6,343
Derivative Contracts - Net	2			—			161			—		—			—			—			163			163
Total	$	251,596		$	(5,513	)	$	6,496		$	16,675	$	(10,284	)	$	(5,986	)	$	(552	)	$	252,432		$	5,768

	Level 3 Assets and Liabilities - Three Months Ended March 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			Balance, end of period			Movement in total gains (losses) relating to investments still held
U.S. Government	$	45,063		$	(37	)	$	593		$	—	$	—		$	(679	)	$	—		$	44,940		$	554
Corporate	53,873			53			(40		)	169		—			(6		)	(10,285		)	43,764			14
RMBS	3,077			(3		)	7			—		—			(228		)	—			2,853			4
Other asset-backed securities	50,265			1,090			2,499			—		—			(27,925		)	—			25,929			3,589
Other investments	283,550			5,807			(2,717		)	13,779		—			(14,818		)	15,494			301,095			3,090
Derivative Contracts - Net	(9,791		)	—			(61		)	—		—			—			—			(9,852		)	(61		)
Total	$	426,037		$	6,910		$	281		$	13,948	$	—		$	(43,656	)	$	5,209		$	408,729		$	7,190

Financial Instruments Not Carried at Fair Value

The following table includes financial instruments for which the carrying values differ from the estimated fair values at March 31, 2017 and December 31, 2016. All of these fair value estimates are considered Level 2 fair value measurements.



	March 31, 2017				December 31, 2016
(U.S. dollars in thousands)	Carrying Value		Fair Value		Carrying Value		Fair Value
Financial Assets - Other investments	$	142,523	$	154,262	$	142,271	$	153,173
Deposit liabilities	$	1,121,194	$	1,387,944	$	1,116,233	$	1,337,406
Notes payable and debt	2,648,353		2,870,898		2,647,677		2,813,257
Financial Liabilities	$	3,769,547	$	4,258,842	$	3,763,910	$	4,150,663