Fair Value Measurements (Tables)

6 Months Ended

Jun. 30, 2018

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.

Level 3 Roll Forward



	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.

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 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