Fair Value Measurements (Tables)

6 Months Ended

Jun. 30, 2017

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 at June 30, 2017 and December 31, 2016 by level within the fair value hierarchy:

June 30, 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)		Counterparty Netting		Balance at June 30, 2017
Assets
Fixed maturities - AFS - Excluding Life Funds Withheld Assets
U.S. Government	$	—	$	4,336,342	$	19,059	$	—	$	4,355,401
U.S. States, municipalities and political subdivisions	—		2,283,272		—		—		2,283,272
Non-U.S. Governments	—		5,123,524		—		—		5,123,524
Corporate	—		10,541,731		1,184		—		10,542,915
RMBS	—		3,954,318		—		—		3,954,318
CMBS	—		795,375		78		—		795,453
Other asset-backed securities	—		1,580,165		6,891		—		1,587,056
Total fixed maturities - AFS - Excluding Funds Withheld Assets, at fair value	$	—	$	28,614,727	$	27,212	$	—	$	28,641,939
Short-term investments, at fair value (1)	—		617,891		3		—		617,894
Equity securities, at fair value	983,785		190,715		—		—		1,174,500
Total investments AFS - Excluding Funds Withheld Assets	$	983,785	$	29,423,333	$	27,215	$	—	$	30,434,333
Fixed maturities - Life Funds Withheld Assets
U.S. Government	$	—	$	10,923	$	—	$	—	$	10,923
U.S. States, municipalities and political subdivisions	—		—		—		—		—
Non-U.S. Governments	—		595,736		—		—		595,736
Corporate	—		1,247,327		—		—		1,247,327
RMBS	—		627		—		—		627
CMBS	—		121,094		—		—		121,094
Other asset-backed securities	—		193,078		—		—		193,078
Total fixed maturities - AFS - Life Funds Withheld Assets, at fair value	$	—	$	2,168,785	$	—	$	—	$	2,168,785
Total investments - AFS, at fair value	$	983,785	$	31,592,118	$	27,215	$	—	$	32,603,118

June 30, 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)		Counterparty Netting			Balance at June 30, 2017
Fixed maturities - Trading
U.S. Government	$	—	$	16,308	$	—	$	—		$	16,308
U.S. States, municipalities and political subdivisions	—		70		—		—			70
Non-U.S. Governments	—		463,489		—		—			463,489
Corporate	—		1,243,221		—		—			1,243,221
RMBS	—		838		—		—			838
CMBS	—		7,318		—		—			7,318
Other asset-backed securities	—		41,633		—		—			41,633
Total fixed maturities - Trading - Life Funds Withheld Assets, at fair value	$	—	$	1,772,877	$	—	$	—		$	1,772,877
Short-term investments, at fair value (1)	—		—		—		—			—
Total investments, Trading	$	—	$	1,772,877	$	—	$	—		$	1,772,877
Cash equivalents (2)	627,621		752,843		—		—			1,380,464
Cash equivalents - Life Funds Withheld Assets (2)	—		78,200		—		—			78,200
Other investments (3)	—		509,951		220,348		—			730,299
Other assets (4)	—		12,446		18,541		(2,460		)	28,527
Total assets accounted for at fair value	$	1,611,406	$	34,718,435	$	266,104	$	(2,460	)	$	36,593,485
Liabilities
Funds withheld on GreyCastle Life Retro Arrangements (net of future policy benefit reserves recoverable) (5)	$	—	$	1,010,974	$	—	$	—		$	1,010,974
Other liabilities (4)	—		72,533		18,001		(2,460		)	88,074
Total liabilities accounted for at fair value	$	—	$	1,083,507	$	18,001	$	(2,460	)	$	1,099,048

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)		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
Short-term investments, at fair value (1)	—		625,193		—		—		625,193
Equity securities, at fair value	898,664		138,667		—		—		1,037,331
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)		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 $247.8 million and $322.9 million at June 30, 2017 and December 31, 2016, respectively. Under GAAP, these investments are excluded from the fair value hierarchy table. In addition, the Other investments balance excludes loans held at amortized cost. These investments, which totaled $148.6 million at June 30, 2017 and $142.3 million at December 31, 2016, are 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 gross of cash collateral by level with a counterparty netting adjustment presented separately in the 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 June 30, 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 (1)			Balance, end of period			Movement in total gains (losses) relating to investments still held
U.S. Government	$	19,308		$	(19	)	$	81		$	—	$	—		$	(311	)	$	—		$	19,059		$	96
Non-U.S. Governments	—			—			—			—		—			—			—			—			—
Corporate	9,899			27			(30		)	—		(9,730		)	—			1,018			1,184			(31		)
RMBS	3,381			—			—			—		—			—			(3,381		)	—			—
CMBS	101			21			(20		)	—		—			(24		)	—			78			(20		)
Other asset-backed securities	3,950			56			1,010			6,890		(1,446		)	(240		)	(3,329		)	6,891			—
Short-term investments	11,665			—			—			—		(11,662		)	—			—			3			—
Other investments	203,965			5,067			9,178			11,297		(2,207		)	(6,952		)	—			220,348			3,858
Derivative Contracts - Net	163			—			377			—		—			—			—			540			377
Total	$	252,432		$	5,152		$	10,596		$	18,187	$	(25,045	)	$	(7,527	)	$	(5,692	)	$	248,103		$	4,280
	Level 3 Assets and Liabilities - Three Months Ended June 30, 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 (1)			Balance, end of period			Movement in total gains (losses) relating to investments still held
U.S. Government	$	44,940		$	(38	)	$	34		$	—	$	—		$	(680	)	$	—		$	44,256		$	(3	)
Non-U.S. Governments	—			—			—			—		—			—			—			—			—
Corporate	43,764			44			(28		)	1,786		—			—			—			45,566			17
RMBS	2,853			—			—			—		—			(1		)	(2,837		)	15			—
CMBS	—			—			—			—		—			—			—			—			—
Other asset-backed securities	25,929			(478		)	1,034			1,072		—			(5,028		)	2,120			24,649			557
Short-term investments	—			—			—			—		—			—			—			—			—
Other investments	301,095			1,024			(5,740		)	11,374		—			(4,647		)	(59,868		)	243,238			(4,716		)
Derivative Contracts - Net	(9,852		)	—			16			—		—			—			—			(9,836		)	16
Total	$	408,729		$	552		$	(4,684	)	$	14,232	$	—		$	(10,356	)	$	(60,585	)	$	347,888		$	(4,129	)

____________

(1) Net transfers include both movement in and movement out of Level 3. Corporate for the three months ended June 30, 2017, includes $1.1 million of incoming transfers partially offset by $0.1 million of outgoing transfers. Other asset-backed securities, for the three months ended June 30, 2017, includes $6.7 million of outgoing transfers partially offset by $3.4 million of incoming transfers. Other asset-backed securities, for the three months ended June 30, 2016, includes $3.0 million of incoming transfers partially offset by $0.9 million of outgoing transfers.

	Level 3 Assets and Liabilities - Six Months Ended June 30, 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 (1)			Balance, end of period			Movement in total gains (losses) relating to investments still held
U.S. Government	$	24,751		$	(38	)	$	(274	)	$	—	$	—		$	(622	)	$	(4,758	)	$	19,059		$	(278	)
Non-U.S. Governments	—			—			—			—		—			—			—			—			—
Corporate	20,085			27			(19		)	—		(20,014		)	(31		)	1,136			1,184			(32		)
RMBS	—			17			(526		)	—		—			(173		)	682			—			—
CMBS	99			21			(18		)	—		—			(24		)	—			78			(18		)
Other asset-backed securities	1,131			86			1,111			6,890		(1,446		)	(286		)	(595		)	6,891			—
Short-term investments	—			—			—			11,693		(11,662		)	(28		)	—			3			—
Other investments	205,528			(474		)	16,280			16,279		(2,207		)	(12,349		)	(2,709		)	220,348			10,201
Derivative Contracts - Net	2			—			538			—		—			—			—			540			538
Total	$	251,596		$	(361	)	$	17,092		$	34,862	$	(35,329	)	$	(13,513	)	$	(6,244	)	$	248,103		$	10,411
	Level 3 Assets and Liabilities - Six Months Ended June 30, 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 (1)			Balance, end of period			Movement in total gains (losses) relating to investments still held
U.S. Government	$	45,063		$	(75	)	$	627		$	—	$	—		$	(1,359	)	$	—		$	44,256		$	551
Non-U.S. Governments	—			—			—			—		—			—			—			—			—
Corporate	53,873			97			(68		)	1,955		—			(6		)	(10,285		)	45,566			31
RMBS	3,077			(3		)	7			—		—			(229		)	(2,837		)	15			4
CMBS	—			—			—			—		—			—			—			—			—
Other asset-backed securities	50,265			612			3,533			1,072		—			(32,953		)	2,120			24,649			4,146
Short-term investments	—			—			—			—		—			—			—			—			—
Other investments	283,550			6,831			(8,457		)	25,153		—			(19,465		)	(44,374		)	243,238			(1,626		)
Derivative Contracts - Net	(9,791		)	—			(45		)	—		—			—			—			(9,836		)	(45		)
Total	$	426,037		$	7,462		$	(4,403	)	$	28,180	$	—		$	(54,012	)	$	(55,376	)	$	347,888		$	3,061

____________

(1) Net transfers include both movement in and movement out of Level 3. Corporate for the six months ended June 30, 2017, includes $1.2 million of incoming transfers partially offset by $0.1 million of outgoing transfers. RMBS for the six months ended June 30, 2017, includes $4.1 million of incoming transfers partially offset by $3.4 million of outgoing transfers. Other asset-backed securities, for the six months ended June 30, 2017, includes $6.7 million of outgoing transfers partially offset by $6.1 million of incoming transfers. Other investments, for the six months ended June 30, 2016, includes $59.9 million of outgoing transfers partially offset by $15.5 million of incoming transfers. Other asset-backed securities, for the six months ended June 30, 2016, includes $3.0 million of incoming transfers partially offset by $0.9 million of outgoing transfers.

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 June 30, 2017 and December 31, 2016. All of these fair value estimates are considered Level 2 fair value measurements.

	June 30, 2017				December 31, 2016
(U.S. dollars in thousands)	Carrying Value		Fair Value		Carrying Value		Fair Value
Financial Assets - Other investments	$	148,634	$	158,585	$	142,271	$	153,173
Deposit liabilities	$	1,123,628	$	1,365,910	$	1,116,233	$	1,337,406
Notes payable and debt	3,243,800		3,494,523		2,647,677		2,813,257
Financial Liabilities	$	4,367,428	$	4,860,433	$	3,763,910	$	4,150,663