Schedule of Assets and Liabilities Measured at Fair Value on a Recurring Basis |
Below is a summary of the assets and liabilities that are measured at fair value on a recurring basis and also represents the carrying amount on the Company’s consolidated balance sheets: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | At March 31, 2020 | Total | | Quoted Prices in Active Markets for Identical Assets (Level 1) | | Significant Other Observable Inputs (Level 2) | | Significant Unobservable Inputs (Level 3) | | | Fixed maturity investments | | | | | | | | | | U.S. treasuries | $ | 3,915,130 |
| | $ | 3,915,130 |
| | $ | — |
| | $ | — |
| | | Agencies | 537,490 |
| | — |
| | 537,490 |
| | — |
| | | Non-U.S. government | 635,282 |
| | — |
| | 635,282 |
| | — |
| | | Non-U.S. government-backed corporate | 283,577 |
| | — |
| | 283,577 |
| | — |
| | | Corporate | 3,259,780 |
| | — |
| | 3,259,780 |
| | — |
| | | Agency mortgage-backed | 1,056,272 |
| | — |
| | 1,056,272 |
| | — |
| | | Non-agency mortgage-backed | 275,026 |
| | — |
| | 275,026 |
| | — |
| | | Commercial mortgage-backed | 540,502 |
| | — |
| | 540,502 |
| | — |
| | | Asset-backed | 542,742 |
| | — |
| | 542,742 |
| | — |
| | | Total fixed maturity investments | 11,045,801 |
| | 3,915,130 |
| | 7,130,671 |
| | — |
| | | Short term investments | 5,263,242 |
| | — |
| | 5,263,242 |
| | — |
| | | Equity investments trading | 360,444 |
| | 360,444 |
| | — |
| | — |
| | | Other investments | | | | | | | | | | Catastrophe bonds | 786,531 |
| | — |
| | 786,531 |
| | — |
| | | Private equity investments (1) | 240,277 |
| | — |
| | — |
| | 72,620 |
| | | Senior secured bank loan funds (1) | 22,579 |
| | — |
| | — |
| | — |
| | | Hedge funds (1) | 9,327 |
| | — |
| | — |
| | — |
| | | Total other investments | 1,058,714 |
| | — |
| | 786,531 |
| | 72,620 |
| | | Other assets and (liabilities) | | | | | | | | | | Assumed and ceded (re)insurance contracts (2) | 1,223 |
| | — |
| | — |
| | 1,223 |
| | | Derivatives (3) | 1,855 |
| | (2,328 | ) | | 4,183 |
| | — |
| | | Total other assets and (liabilities) | 3,078 |
| | (2,328 | ) | | 4,183 |
| | 1,223 |
| | | | $ | 17,731,279 |
| | $ | 4,273,246 |
| | $ | 13,184,627 |
| | $ | 73,843 |
| | | | | | | | | | | |
| | (1) | Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been classified in the fair value hierarchy. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the consolidated balance sheet. |
| | (2) | Included in assumed and ceded (re)insurance contracts at March 31, 2020 was $26.4 million of other assets and $25.2 million of other liabilities. |
| | (3) | See “Note 13. Derivative Instruments” for additional information related to the fair value, by type of contract, of derivatives entered into by the Company. |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | At December 31, 2019 | Total | | Quoted Prices in Active Markets for Identical Assets (Level 1) | | Significant Other Observable Inputs (Level 2) | | Significant Unobservable Inputs (Level 3) | | | Fixed maturity investments | | | | | | | | | | U.S. treasuries | $ | 4,467,345 |
| | $ | 4,467,345 |
| | $ | — |
| | $ | — |
| | | Agencies | 343,031 |
| | — |
| | 343,031 |
| | — |
| | | Non-U.S. government | 497,392 |
| | — |
| | 497,392 |
| | — |
| | | Non-U.S. government-backed corporate | 321,356 |
| | — |
| | 321,356 |
| | — |
| | | Corporate | 3,075,660 |
| | — |
| | 3,075,660 |
| | — |
| | | Agency mortgage-backed | 1,148,499 |
| | — |
| | 1,148,499 |
| | — |
| | | Non-agency mortgage-backed | 294,604 |
| | — |
| | 294,604 |
| | — |
| | | Commercial mortgage-backed | 468,698 |
| | — |
| | 468,698 |
| | — |
| | | Asset-backed | 555,070 |
| | — |
| | 555,070 |
| | — |
| | | Total fixed maturity investments | 11,171,655 |
| | 4,467,345 |
| | 6,704,310 |
| | — |
| | | Short term investments | 4,566,277 |
| | — |
| | 4,566,277 |
| | — |
| | | Equity investments trading | 436,931 |
| | 436,931 |
| | — |
| | — |
| | | Other investments | | | | | | | | | | Catastrophe bonds | 781,641 |
| | — |
| | 781,641 |
| | — |
| | | Private equity investments (1) | 271,047 |
| | — |
| | — |
| | 74,634 |
| | | Senior secured bank loan funds (1) | 22,598 |
| | — |
| | — |
| | — |
| | | Hedge funds (1) | 12,091 |
| | — |
| | — |
| | — |
| | | Total other investments | 1,087,377 |
| | — |
| | 781,641 |
| | 74,634 |
| | | Other assets and (liabilities) | | | | | | | | | | Assumed and ceded (re)insurance contracts (2) | 4,731 |
| | — |
| | — |
| | 4,731 |
| | | Derivatives (3) | 16,937 |
| | (1,020 | ) | | 17,957 |
| | — |
| | | Total other assets and (liabilities) | 21,668 |
| | (1,020 | ) | | 17,957 |
| | 4,731 |
| | | | $ | 17,283,908 |
| | $ | 4,903,256 |
| | $ | 12,070,185 |
| | $ | 79,365 |
| | | | | | | | | | | |
| | (1) | Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been classified in the fair value hierarchy. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the consolidated balance sheet. |
| | (2) | Included in assumed and ceded (re)insurance contracts at December 31, 2019 was $32.9 million of other assets and $28.2 million of other liabilities. |
(3) See “Note 13. Derivative Instruments” for additional information related to the fair value, by type of contract, of derivatives entered into by the Company.
|
Schedule of Assets and Liabilities Measured at Fair Value on a Recurring Basis Using Level 3 Inputs |
Below is a reconciliation of the beginning and ending balances, for the periods shown, of assets and liabilities measured at fair value on a recurring basis using Level 3 inputs. Interest and dividend income are included in net investment income and are excluded from the reconciliation. | | | | | | | | | | | | | | | | | | | | | | | | | Other investments | | Other assets and (liabilities) | | Total | | | Balance - January 1, 2020 | $ | 74,634 |
| | $ | 4,731 |
| | $ | 79,365 |
| | | Total realized and unrealized losses | | | | | | | | Included in net realized and unrealized (losses) gains on investments | (14,156 | ) | | — |
| | (14,156 | ) | | | Included in other (loss) income | — |
| | (2,897 | ) | | (2,897 | ) | | | Total foreign exchange losses | (21 | ) | | — |
| | (21 | ) | | | Purchases | 20,962 |
| | (611 | ) | | 20,351 |
| | | Sales | (8,799 | ) | | — |
| | (8,799 | ) | | | Balance - March 31, 2020 | $ | 72,620 |
| | $ | 1,223 |
| | $ | 73,843 |
| | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | Other investments | | Other assets and (liabilities) | | Total | | | Balance - January 1, 2019 | $ | 54,545 |
| | $ | (8,359 | ) | | $ | 46,186 |
| | | Total realized and unrealized (losses) gains | | | | | | | | Included in net realized and unrealized (losses) gains on investments | (1,111 | ) | | — |
| | (1,111 | ) | | | Included in other (loss) income | — |
| | 1,093 |
| | 1,093 |
| | | Total foreign exchange losses | (1 | ) | | — |
| | (1 | ) | | | Purchases | 10,262 |
| | (897 | ) | | 9,365 |
| | | Settlements | — |
| | 20 |
| | 20 |
| | | Amounts acquired (1) | — |
| | 19,970 |
| | 19,970 |
| | | Balance - March 31, 2019 | $ | 63,695 |
| | $ | 11,827 |
| | $ | 75,522 |
| | | | | | | | | |
(1) Represents the fair value of the other assets acquired from TMR, measured at fair value on a recurring basis using Level 3 inputs at March 22, 2019. See “Note 3. Acquisition of Tokio Millennium Re” in the Company’s “Notes to the Consolidated Financial Statements” included in the Company’s Form 10-K for the year ended December 31, 2019 for additional information related to the acquisition of TMR.
|
Schedule of Assets and Liabilities Measured at Fair Value on a Recurring Basis Using Level 3 Inputs |
Below is a reconciliation of the beginning and ending balances, for the periods shown, of assets and liabilities measured at fair value on a recurring basis using Level 3 inputs. Interest and dividend income are included in net investment income and are excluded from the reconciliation. | | | | | | | | | | | | | | | | | | | | | | | | | Other investments | | Other assets and (liabilities) | | Total | | | Balance - January 1, 2020 | $ | 74,634 |
| | $ | 4,731 |
| | $ | 79,365 |
| | | Total realized and unrealized losses | | | | | | | | Included in net realized and unrealized (losses) gains on investments | (14,156 | ) | | — |
| | (14,156 | ) | | | Included in other (loss) income | — |
| | (2,897 | ) | | (2,897 | ) | | | Total foreign exchange losses | (21 | ) | | — |
| | (21 | ) | | | Purchases | 20,962 |
| | (611 | ) | | 20,351 |
| | | Sales | (8,799 | ) | | — |
| | (8,799 | ) | | | Balance - March 31, 2020 | $ | 72,620 |
| | $ | 1,223 |
| | $ | 73,843 |
| | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | Other investments | | Other assets and (liabilities) | | Total | | | Balance - January 1, 2019 | $ | 54,545 |
| | $ | (8,359 | ) | | $ | 46,186 |
| | | Total realized and unrealized (losses) gains | | | | | | | | Included in net realized and unrealized (losses) gains on investments | (1,111 | ) | | — |
| | (1,111 | ) | | | Included in other (loss) income | — |
| | 1,093 |
| | 1,093 |
| | | Total foreign exchange losses | (1 | ) | | — |
| | (1 | ) | | | Purchases | 10,262 |
| | (897 | ) | | 9,365 |
| | | Settlements | — |
| | 20 |
| | 20 |
| | | Amounts acquired (1) | — |
| | 19,970 |
| | 19,970 |
| | | Balance - March 31, 2019 | $ | 63,695 |
| | $ | 11,827 |
| | $ | 75,522 |
| | | | | | | | | |
(1) Represents the fair value of the other assets acquired from TMR, measured at fair value on a recurring basis using Level 3 inputs at March 22, 2019. See “Note 3. Acquisition of Tokio Millennium Re” in the Company’s “Notes to the Consolidated Financial Statements” included in the Company’s Form 10-K for the year ended December 31, 2019 for additional information related to the acquisition of TMR.
|