Fair Value Measurements

Fair value is defined as the amount that would be received for the sale of an asset or paid to transfer a liability (an exit price), in the principal or most advantageous market for the asset or liability in an orderly transaction between market participants at the measurement date. Applicable accounting guidance provides an established hierarchy for inputs used in measuring fair value that maximizes the use of observable inputs and minimizes the use of unobservable inputs by requiring that the most observable inputs be used when available. Observable inputs are inputs that market participants would use in valuing the asset or liability and are developed based on market data obtained from sources independent of the Company. Unobservable inputs are inputs that reflect the Company's assumptions about the factors that market participants would use in valuing the asset or liability. Assets and liabilities are classified based on the lowest level of input that is significant to the fair value measurements. The Company reviews the fair value hierarchy classification on a quarterly basis. Changes in the observability of valuation inputs may result in a reclassification of levels for certain securities within the fair value hierarchy.

The fair values for AFS investments are generally sourced from third parties. The fair value of fixed income securities is based upon quoted market values where available, "evaluated bid" prices provided by third-party pricing services ("pricing services") where quoted market values are not available, or by reference to broker quotes where pricing services do not provide coverage for a particular security. While the Company receives values for the majority of the investment securities it holds from pricing services, it is ultimately management's responsibility to determine whether the values received and recorded in the financial statements are representative of appropriate fair value measurements.

The Company performs regular reviews of the prices received from its third-party valuation sources to assess whether the prices represent a reasonable estimate of the fair value. The approaches taken by the Company include, but are not limited to, annual reviews of the controls of the external parties responsible for sourcing valuations that are subjected to automated tolerance checks, quarterly reviews of the valuation sources and dates, comparisons of executed sales prices to prior valuations, regular comprehensive analyses on a sample of securities across our major asset classes and monthly reconciliations between the valuations provided by external parties and valuations provided by third-party investment managers at a portfolio level.

In addition, the Company assesses the effectiveness of valuation controls performed by external parties responsible for sourcing appropriate valuations from third parties on its behalf. The approaches taken by these external parties to gain comfort include, but are not limited to, comparing valuations between external sources, completing recurring reviews of third-party pricing services' methodologies and reviewing controls of the third-party pricing service providers to support the completeness and accuracy of the prices received. Where broker quotes are the primary source of the valuations, sufficient information regarding the specific inputs utilized by the brokers is generally not available to support a Level 2 classification. The Company obtains the majority of broker quoted values from third-party investment managers who perform independent verifications of these valuations using pricing matrices based upon information gathered by market traders. In addition, for the majority of these securities, the Company compares the broker quotes to independent valuations obtained from pricing services, which may also consist of broker quotes, to assess if the prices received represent reasonable estimates of the fair value.

For further information about the Company's fair value measurements, see Item 8, Note 1(b), "Significant Accounting Policies - Fair Value Measurements," and Item 8, Note 8, "Fair Value Measurements," to the Consolidated Financial Statements included in the Company's Annual Report on Form 10-K for the year ended December 31, 2017.

(a) Fair Value Summary

The following tables set forth the Company's assets and liabilities that were accounted for at fair value at June 30, 2018 and December 31, 2017 by level within the fair value hierarchy:



June 30, 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 June 30, 2018
Assets
Fixed maturities - AFS - Excluding Life Funds Withheld Assets
U.S. Government	$	—	$	3,955,271	$	5,020	$	—	$	3,960,291
U.S. States, municipalities and political subdivisions	—		1,858,142		—		—		1,858,142
Non-U.S. Governments	—		5,115,860		—		—		5,115,860
Corporate	—		9,948,048		2,047		—		9,950,095
RMBS	—		4,248,089		5,947		—		4,254,036
CMBS	—		1,363,850		—		—		1,363,850
Other asset-backed securities	—		1,699,143		—		—		1,699,143
Total fixed maturities - AFS - Excluding Funds Withheld Assets, at fair value	$	—	$	28,188,403	$	13,014	$	—	$	28,201,417
Short-term investments, at fair value (1)	—		623,113		—		—		623,113
Total investments AFS - Excluding Funds Withheld Assets	$	—	$	28,811,516	$	13,014	$	—	$	28,824,530
Fixed maturities - Life Funds Withheld Assets
U.S. Government	$	—	$	10,934	$	—	$	—	$	10,934
Non-U.S. Governments	—		467,920		—		—		467,920
Corporate	—		869,594		—		—		869,594
RMBS	—		483		—		—		483
CMBS	—		119,611		—		—		119,611
Other asset-backed securities	—		123,192		—		—		123,192
Total fixed maturities - AFS - Life Funds Withheld Assets, at fair value	$	—	$	1,591,734	$	—	$	—	$	1,591,734
Total investments - AFS, at fair value	$	—	$	30,403,250	$	13,014	$	—	$	30,416,264

Fixed maturities trading
U.S. Government	$	—	$	9,633	$	—	$	—	$	9,633
Non-U.S. Governments	—		489,276		—		—		489,276
Corporate	—		1,440,572		—		—		1,440,572
RMBS	—		919		—		—		919
CMBS	—		7,411		—		—		7,411
Other asset-backed securities	—		42,533		—		—		42,533
Total fixed maturities trading - Life Funds Withheld Assets, at fair value	$	—	$	1,990,344	$	—	$	—	$	1,990,344
Short-term investments trading, at fair value (1)	—		5,788		—		—		5,788
Total investments trading	$	—	$	1,996,132	$	—	$	—	$	1,996,132



June 30, 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 June 30, 2018
Cash equivalents (2)	380,587		1,080,353		—		—			1,460,940
Cash equivalents - Life Funds Withheld Assets (2)	—		64,885		—		—			64,885
Equity securities, at fair value	492,472		152,239		—		—			644,711
Other investments (3)	—		533,090		218,222		—			751,312
Other assets (4)	—		64,665		17,879		(7,627		)	74,917
Total assets accounted for at fair value	$	873,059	$	34,294,614	$	249,115	$	(7,627	)	$	35,409,161
Liabilities
Funds withheld on GreyCastle Life Retro Arrangements (net of future policy benefit reserves recoverable) (5)	$	—	$	889,813	$	—	$	—		$	889,813
Other liabilities (4)	—		29,829		17,822		(7,627		)	40,024
Total liabilities accounted for at fair value	$	—	$	919,642	$	17,822	$	(7,627	)	$	929,837



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



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
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 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 that are measured using net asset value as a practical expedient in the amount of $227.2 million and $198.2 million at June 30, 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 $173.2 million at June 30, 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.

(b) Level 2 Asset Valuations

U.S. Government, Corporate and Non-U.S. Governments

Transaction activity inputs utilized in the valuation of fair value hierarchy Level 2 securities within these sub-categories include actual trades, dealer posts, results of bids-wanted, institutional secondary offerings, primary market offerings and Trade Reporting and Compliance Engine trade feeds. As part of the evaluation process, transaction activity is compared to prior evaluations and necessary adjustments are made accordingly. Market-color inputs include actively quoted benchmark issues, buy-side/evaluator dialogue, sell-side/evaluator dialogue and credit derivative indices.

U.S. States, municipalities and political subdivisions

Transaction activity inputs utilized in the valuation of fair value hierarchy Level 2 securities within this sub-category include actual trades, dealer posts, results of bids-wanted, institutional secondary offerings, primary market offerings, and Municipal Securities Rulemaking trade feeds. As part of the evaluation process, transaction activity is compared to prior evaluations and necessary adjustments are made accordingly. Market-color inputs include bids, offerings, two-sided markets, buy-side/evaluator dialogue and sell-side/evaluator dialogue. Credit information inputs include issuer financial statements, default and material event notices, developer reports and liquidation and restructuring analyses.

RMBS, CMBS and Other asset-backed securities

As part of the fair valuation process, Level 2 securities in these sub-categories are analyzed by collateral type, deal structure, deal performance and vintage. Market inputs into the valuation process for each sub-category include reported or observed trades, results of bids-wanted, buy-side/evaluator dialogue, sell-side/evaluator dialogue, dealer offerings and market research reports. Cash flow inputs into the evaluation process include conditional prepayment rates, conditional decay rates, delinquency rates and loss severity rates. This assumptive data is reviewed and updated using third-party reported information to reflect current market convention.

Equity securities and other investments

Equity securities and other investment securities generally include investments in thinly traded equity funds and fixed income funds (including overseas deposits). Fair value is determined based upon prices received from pricing services as well as from net asset values ("NAV") received from the fund administrators.

Other assets and other liabilities

Other assets and other liabilities primarily include over-the-counter ("OTC") derivatives, which are valued using market transactions and other market evidence whenever possible, including market-based inputs to models, model calibration to market clearing transactions, broker or dealer quotations or alternative independent pricing sources where an understanding of the inputs utilized in arriving at the valuations is obtained. Where models are used, the selection of a particular model to value an OTC derivative depends upon the contractual terms and specific risks inherent in the instrument as well as the availability of pricing information in the market. The Company generally uses similar models to value similar instruments. Valuation models require a variety of inputs, including contractual terms, market prices, yield curves, credit curves, measures of volatility, prepayment rates and correlations of such inputs. For OTC derivatives that trade in liquid markets, such as generic forwards, interest rate swaps and options, model inputs can generally be verified against observable inputs and model selection does not involve significant management judgment.

Funds withheld on GreyCastle Life Retro Arrangements (net of future policy benefit reserves recoverable)

The calculation of the change in fair value of the embedded derivative associated with the GreyCastle Life Retro Arrangements includes the interest income, realized and unrealized gains and losses on Life Funds Withheld Assets and certain expenses related to the Life Funds Withheld Assets. The fair value of the embedded derivative is included in "Funds withheld on GreyCastle life retrocession arrangements, net of future policy benefit reserves recoverable" on the Unaudited Consolidated Balance Sheets. The fair value of the embedded derivative is considered a Level 2 valuation.

There were no significant transfers between Level 1 and Level 2 during each of the three and six months ended June 30, 2018 and 2017.

The tables below present additional information about assets and liabilities measured at fair value on a recurring basis and for which Level 3 inputs were utilized to determine fair value. The tables present a reconciliation of the beginning and ending balances for the three and six months ended June 30, 2018 and 2017 for all financial assets and liabilities measured at fair value using significant unobservable inputs (Level 3) at June 30, 2018 and 2017, respectively. The tables do not include gains or losses that were reported in Level 3 in prior periods for assets that were transferred out of Level 3 prior to June 30, 2018 and 2017, respectively. Gains and losses for assets and liabilities classified within Level 3 in the table below may include changes in fair value that are attributable to both observable inputs (Levels 1 and 2) and unobservable inputs (Level 3). Further, the tables below do not take into consideration the effect of offsetting Level 1 and 2 financial instruments entered into by the Company that are either economically hedged by certain exposures to the Level 3 positions or that hedge the exposures in Level 3 positions.

In general, Level 3 assets include securities for which values were obtained from brokers where either significant inputs were utilized in determining the values that were difficult to corroborate with observable market data, or sufficient information regarding the specific inputs utilized by the broker was not available to support a Level 2 classification. Transfers into or out of Level 3 primarily arise as a result of the valuations utilized by the Company changing between either those provided by independent pricing services that do not contain significant unobservable inputs and other valuations sourced from brokers that are considered Level 3.

Fixed maturities and short-term investments

The Company's Level 3 assets consist primarily of U.S. Government securities, Corporates and Other asset-backed securities, for which non-binding broker quotes are the primary source of the valuations. Sufficient information regarding the specific inputs utilized by the brokers was not available to support a Level 2 classification. The Company obtains the majority of broker quotes for these securities from third-party investment managers who perform independent verifications of these valuations using pricing matrices based upon information gathered by market traders. In addition, for the majority of these securities, the Company compares the broker quotes to independent valuations obtained from pricing services, which may also consist of broker quotes, to assess if the prices received represent a reasonable estimate of the fair value. Although the Company does not have access to the specific unobservable inputs that may have been used in the fair value measurements of these securities provided by brokers, we would expect that the significant inputs considered are prepayment rates, probability of default, loss severity in the event of default, recovery rates, liquidity premiums and reinvestment rates. Significant increases (decreases) in any of those inputs in isolation could result in a significantly different fair value measurement. Generally, a change in the assumption used for the probability of default is accompanied by a directionally similar change in the assumption used for the loss severity and a directionally opposite change in the assumption used for prepayment rates.

The remainder of the Level 3 assets relate primarily to private investments (including funds), hedge funds and certain derivative positions as described below.

Other investments

Included within the other investments component of the Company's Level 3 valuations are private investments (including funds) and hedge funds where the Company is not deemed to have significant influence over the investee. The fair value of these investments is based upon net asset values received from the investment manager or general partner of the respective entity. The underlying investments held by the investee that form the basis of the net asset value include assets such as private business ventures that require significant Level 3 inputs in the determination of the individual underlying holding values. Accordingly, the fair value of the Company's investment in each entity is classified within Level 3. Management reviews the values and incorporates factors such as the most recent financial information received, annual audited financial statements and the values at which capital transactions with the investee take place when applying judgment regarding whether any adjustments should be made to the net asset value received in recording the fair value of each position. Investments in hedge funds included in other investments utilize strategies including arbitrage, directional, event driven and multi-style. The funds potentially have lockup and gate provisions that may limit redemption liquidity. For further details regarding the nature of other investments and related features, 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.

Derivative instruments

Derivative instruments recorded within other liabilities and classified within Level 3 include: credit derivatives sold providing protection on senior tranches of structured finance transactions where the value is obtained directly from the investment bank counterparty and sufficient information regarding the inputs utilized in such valuation was not obtained to support a Level 2 classification, and guaranteed minimum income benefits embedded within one reinsurance contract. The majority of inputs utilized in the valuations of these types of derivative contracts are considered Level 1 or Level 2; however, each valuation includes at least one Level 3 input that was significant to the valuation and, accordingly, the values are disclosed within Level 3.



	Level 3 Assets and Liabilities - Three Months Ended June 30, 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 (1)			Balance, end of period		Movement in total gains (losses) relating to investments still held
U.S. Government	$	5,034	$	—		$	(14	)	$	—	$	—		$	—		$	—		$	5,020	$	(14	)
Corporate	2,128		—			11			—		—			(92		)	—			2,047		11
RMBS	6,937		—			(10		)	—		—			—			(980		)	5,947		(10		)
Other asset-backed securities	19,737		—			—			—		—			—			(19,737		)	—		—
Other investments	231,368		8,046			(5,116		)	7,343		—			(12,724		)	(10,695		)	218,222		(4,710		)
Derivative Contracts - Net	334		—			(277		)	—		—			—			—			57		(277		)
Total	$	265,538	$	8,046		$	(5,406	)	$	7,343	$	—		$	(12,816	)	$	(31,412	)	$	231,293	$	(5,000	)

	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
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

____________


(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.



	Level 3 Assets and Liabilities - Six Months Ended June 30, 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 (1)			Balance, end of period		Movement in total gains (losses) relating to investments still held
U.S. Government	$	18,290	$	(354	)	$	100		$	—	$	(13,016	)	$	—		$	—		$	5,020	$	(50	)
Corporate	1,292		—			54			—		—			(193		)	894			2,047		54
RMBS	—		—			(10		)	980		—			—			4,977			5,947		(10		)
Other asset-backed securities	5,232		—			(28		)	15,407		—			(874		)	(19,737		)	—		—
Other investments	221,708		8,893			75			21,623		—			(23,382		)	(10,695		)	218,222		628
Derivative Contracts - Net	22		—			35			—		—			—			—			57		35
Total	$	246,544	$	8,539		$	226		$	38,010	$	(13,016	)	$	(24,449	)	$	(24,561	)	$	231,293	$	657

	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	)
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

____________

(1)

Net transfers include both movement in and movement out of Level 3. RMBS for the six months ended June 30, 2018, includes $6.0 million of incoming transfers partially offset by $1.0 million of outgoing transfers. 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.

(d) Financial Instruments Not Carried at Fair Value

Authoritative guidance over disclosures about the fair value of financial instruments requires additional disclosure of fair value information for financial instruments not carried at fair value in both interim and annual reporting periods. Certain financial instruments, particularly insurance contracts, are excluded from these fair value disclosure requirements. The carrying values of cash and cash equivalents, accrued investment income, net receivable from investments sold, other assets, net payable for investments purchased, other liabilities and other financial instruments not included below approximated their fair values.

The following table includes financial instruments for which the carrying value differs from the estimated fair values at June 30, 2018 and December 31, 2017. All of these fair value estimates are considered Level 2 fair value measurements.



	June 30, 2018				December 31, 2017
(U.S. dollars in thousands)	Carrying Value		Fair Value		Carrying Value		Fair Value
Financial Assets - Other investments	$	173,224	$	181,551	$	172,982	$	182,222
Deposit liabilities	$	940,557	$	1,144,027	$	1,042,677	$	1,266,682
Notes payable and debt	3,217,123		3,393,394		3,220,769		3,507,108
Financial Liabilities	$	4,157,680	$	4,537,421	$	4,263,446	$	4,773,790

The Company historically participated in structured transactions, the remaining of which are largely comprised of an investment in a payment obligation with an insurance company. This transaction is carried at amortized cost. The fair value of this investment held by the Company is determined through use of an internal model utilizing benchmark yields, issuer spreads and reference data.

Deposit liabilities include obligations under structured insurance and reinsurance transactions. For purposes of fair value disclosures, the Company determined the estimated fair value of the deposit liabilities by assuming a discount rate equal to the appropriate U.S. Treasury rate plus 23.3 basis points and 45.5 basis points at June 30, 2018 and December 31, 2017, respectively. The discount rate incorporates the Company's own credit risk into the determination of estimated fair value.

The fair values of the Company's notes payable and debt outstanding were determined based on quoted market prices.

There are no significant concentrations of credit risk within the Company's financial instruments not carried at fair value as defined in the authoritative guidance over necessary disclosures, which excludes certain financial instruments, particularly insurance contracts.