Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 2018

The following tables set forth the Company's assets and liabilities that were accounted for at fair value at March 31, 2018 and December 31, 2017 by level within the fair value hierarchy:



March 31, 2018 (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 March 31, 2018
Assets
Fixed maturities - AFS - Excluding Life Funds Withheld Assets
U.S. Government	$	—	$	4,182,925	$	5,034	$	—		$	4,187,959
U.S. States, municipalities and political subdivisions	—		2,013,162		—		—			2,013,162
Non-U.S. Governments	—		5,306,651		—		—			5,306,651
Corporate	—		9,740,542		2,128		—			9,742,670
RMBS	—		4,522,786		6,937		—			4,529,723
CMBS	—		1,259,519		—		—			1,259,519
Other asset-backed securities	—		1,588,659		19,737		—			1,608,396
Total fixed maturities - AFS - Excluding Funds Withheld Assets, at fair value	$	—	$	28,614,244	$	33,836	$	—		$	28,648,080
Short-term investments, at fair value (1)	—		500,170		—		—			500,170
Total investments AFS - Excluding Funds Withheld Assets	$	—	$	29,114,414	$	33,836	$	—		$	29,148,250
Fixed maturities - Life Funds Withheld Assets
U.S. Government	$	—	$	11,616	$	—	$	—		$	11,616
Non-U.S. Governments	—		584,406		—		—			584,406
Corporate	—		1,121,203		—		—			1,121,203
RMBS	—		503		—		—			503
CMBS	—		130,070		—		—			130,070
Other asset-backed securities	—		160,750		—		—			160,750
Total fixed maturities - AFS - Life Funds Withheld Assets, at fair value	$	—	$	2,008,548	$	—	$	—		$	2,008,548
Total investments - AFS, at fair value	$	—	$	31,122,962	$	33,836	$	—		$	31,156,798

Fixed maturities trading
U.S. Government	$	—	$	9,320	$	—	$	—		$	9,320
Non-U.S. Governments	—		497,108		—		—			497,108
Corporate	—		1,525,761		—		—			1,525,761
RMBS	—		893		—		—			893
CMBS	—		7,472		—		—			7,472
Other asset-backed securities	—		43,697		—		—			43,697
Total fixed maturities trading - Life Funds Withheld Assets, at fair value	$	—	$	2,084,251	$	—	$	—		$	2,084,251
Short-term investments trading, at fair value (1)	—		7,425		—		—			7,425
Total investments trading	$	—	$	2,091,676	$	—	$	—		$	2,091,676
Cash equivalents (2)	522,096		1,409,637		—		—			1,931,733
Cash equivalents - Life Funds Withheld Assets (2)	1,514		77,938		—		—			79,452
Equity securities, at fair value	474,118		163,754		—		—			637,872
Other investments (3)	—		580,946		231,368		—			812,314
Other assets (4)	—		17,728		18,175		(7,239		)	28,664
Total assets accounted for at fair value	$	997,728	$	35,464,641	$	283,379	$	(7,239	)	$	36,738,509
Liabilities
Funds withheld on GreyCastle Life Retro Arrangements (net of future policy benefit reserves recoverable) (5)	$	—	$	1,085,099	$	—	$	—		$	1,085,099
Other liabilities (4)	—		29,560		17,841		(7,239		)	40,162
Total liabilities accounted for at fair value	$	—	$	1,114,659	$	17,841	$	(7,239	)	$	1,125,261



December 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)		Counterparty Netting			Balance at December 31, 2017
Assets
Fixed maturities - AFS - Excluding Life Funds Withheld Assets
U.S. Government	$	—	$	4,344,450	$	18,290	$	—		$	4,362,740
U.S. States, municipalities and political subdivisions	—		2,064,640		—		—			2,064,640
Non-U.S. Governments	—		5,201,581		—		—			5,201,581
Corporate	—		9,793,841		1,292		—			9,795,133
RMBS	—		4,724,402		—		—			4,724,402
CMBS	—		1,244,017		—		—			1,244,017
Other asset-backed securities	—		1,504,131		5,232		—			1,509,363
Total fixed maturities - AFS - Excluding Funds Withheld Assets, at fair value	$	—	$	28,877,062	$	24,814	$	—		$	28,901,876
Short-term investments, at fair value (1)	—		815,481		—		—			815,481
Equity securities, at fair value	557,510		156,457		—		—			713,967
Total investments AFS - Excluding Funds Withheld Assets	$	557,510	$	29,849,000	$	24,814	$	—		$	30,431,324
Fixed maturities - Life Funds Withheld Assets
U.S. Government	$	—	$	11,316	$	—	$	—		$	11,316
Non-U.S. Governments	—		584,534		—		—			584,534
Corporate	—		1,137,213		—		—			1,137,213
RMBS	—		515		—		—			515
CMBS	—		122,272		—		—			122,272
Other asset-backed securities	—		171,262		—		—			171,262
Total fixed maturities - AFS - Life Funds Withheld Assets, at fair value	$	—	$	2,027,112	$	—	$	—		$	2,027,112
Total investments - AFS, at fair value	$	557,510	$	31,876,112	$	24,814	$	—		$	32,458,436
Fixed maturities trading
U.S. Government	$	—	$	11,042	$	—	$	—		$	11,042
U.S. States, municipalities and political subdivisions	—		31		—		—			31
Non-U.S. Governments	—		485,171		—		—			485,171
Corporate	—		1,460,292		—		—			1,460,292
RMBS	—		932		—		—			932
CMBS	—		7,580		—		—			7,580
Other asset-backed securities	—		41,337		—		—			41,337
Total fixed maturities trading - Life Funds Withheld Assets, at fair value	$	—	$	2,006,385	$	—	$	—		$	2,006,385
Short-term investments trading, at fair value (1)	—		14,965		—		—			14,965
Total investments trading	$	—	$	2,021,350	$	—	$	—		$	2,021,350
Cash equivalents (2)	279,224		1,271,483		—		—			1,550,707
Cash equivalents - Life Funds Withheld Assets (2)	—		67,982		—		—			67,982
Other investments (3)	—		570,931		221,708		—			792,639
Other assets (4)	—		14,467		18,327		(3,579		)	29,215
Total assets accounted for at fair value	$	836,734	$	35,822,325	$	264,849	$	(3,579	)	$	36,920,329
Liabilities
Funds withheld on GreyCastle Life Retro Arrangements (net of future policy benefit reserves recoverable) (5)	$	—	$	1,112,969	$	—	$	—		$	1,112,969
Other liabilities (4)	—		44,591		18,305		(3,579		)	59,317
Total liabilities accounted for at fair value	$	—	$	1,157,560	$	18,305	$	(3,579	)	$	1,172,286

____________


(1)	Short-term investments consist primarily of U.S. and Non-U.S. Government securities, Corporate securities, and Other asset-backed 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 that are measured using net asset value as a practical expedient in the amount of $201.8 million and $198.2 million at March 31, 2018 and December 31, 2017, 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, which totaled $172.9 million at March 31, 2018 and $173.0 million at December 31, 2017. 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, 2017.

(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(a), "Significant Accounting Policies - Basis of Preparation and Consolidation," accrue to the benefit of GCLR.

Level 3 Roll Forward



	Level 3 Assets and Liabilities - Three Months Ended March 31, 2018
(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	$	18,290	$	(354	)	$	114		$	—	$	(13,016	)	$	—		$	—		$	5,034	$	(36	)
Corporate	1,292		—			43			—		—			(101		)	894			2,128		44
RMBS	—		—			—			980		—			—			5,957			6,937		—
Other asset-backed securities	5,232		—			(28		)	15,407		—			(874		)	—			19,737		—
Other investments	221,708		847			5,191			14,280		—			(10,658		)	—			231,368		5,338
Derivative Contracts - Net	22		—			312			—		—			—			—			334		312
Total	$	246,544	$	493		$	5,632		$	30,667	$	(13,016	)	$	(11,633	)	$	6,851		$	265,538	$	5,658

	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

Financial Instruments Not Carried at Fair Value

The following table includes financial instruments for which the carrying value differs from the estimated fair values at March 31, 2018 and December 31, 2017. All of these fair value estimates are considered Level 2 fair value measurements.



	March 31, 2018				December 31, 2017
(U.S. dollars in thousands)	Carrying Value		Fair Value		Carrying Value		Fair Value
Financial Assets - Other investments	$	172,879	$	181,349	$	172,982	$	182,222
Deposit liabilities	$	982,963	$	1,190,885	$	1,042,677	$	1,266,682
Notes payable and debt	3,240,461		3,483,428		3,220,769		3,507,108
Financial Liabilities	$	4,223,424	$	4,674,313	$	4,263,446	$	4,773,790