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Fair Value Measurements (Tables)
3 Months Ended
Mar. 31, 2020
Fair Value Disclosures [Abstract]  
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 Quantitative Information Used as Level 3 Inputs
Below is a summary of quantitative information regarding the significant unobservable inputs (Level 3) used in determining the fair value of assets and liabilities measured at fair value on a recurring basis:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
At March 31, 2020
Fair Value
(Level 3)
 
Valuation Technique
 
Unobservable
Inputs
 
Low
 
High
 
Weighted Average or Actual
 
 
Other investments
 
 
 
 
 
 
 
 
 
 
 
 
 
Private equity investment
$
1,822

 
External valuation model
 
Manager pricing
 
$
151.69

 
$
158.90

 
$
151.69

 
 
Private equity investments
70,798

 
Internal valuation model
 
Discount rate
 
8.0
%
 
10.0
%
 
8.0
%
 
 
 
 
 
 
 
Liquidity discount
 
n/a

 
n/a

 
15.0
%
 
 
Total other investments
72,620

 
 
 
 
 
 
 
 
 
 
 
 
Other assets and (liabilities)
 
 
 
 
 
 
 
 
 
 
 
 
 
Assumed and ceded (re)insurance contracts
(1,232
)
 
Internal valuation model
 
Bond price
 
$
90.99

 
$
98.19

 
$
94.46

 
 
 
 
 
 
 
Liquidity discount
 
n/a

 
n/a

 
1.3
%
 
 
Assumed and ceded (re)insurance contracts
(8,556
)
 
Internal valuation model
 
Net undiscounted cash flows
 
n/a

 
n/a

 
$
11,371

 
 
 
 
 
 
 
Expected loss ratio
 
n/a

 
n/a

 
30.5
%
 
 
 
 
 
 
 
Discount rate
 
n/a

 
n/a

 
0.4
%
 
 
Assumed and ceded (re)insurance contracts
11,011

 
Internal valuation model
 
Expected loss ratio
 
n/a

 
n/a

 
0.0
%
 
 
Total other assets and (liabilities)
1,223

 
 
 
 
 
 
 
 
 
 
 
 
Total assets and (liabilities) measured at fair value on a recurring basis using Level 3 inputs
$
73,843

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 

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.
Schedule of Balances Elected to Account for at Fair Value Below is a summary of the balances the Company has elected to account for at fair value:
 
 
 
 
 
 
 
 
March 31,
2020
 
December 31,
2019
 
 
Other investments
$
1,058,714

 
$
1,087,377

 
 
Other assets
$
26,442

 
$
32,944

 
 
Other liabilities
$
25,219

 
$
28,213

 
 
 
 
 
 
 

Schedule of Other Investments Measured Using Net Asset Valuations
The table below shows the Company’s portfolio of other investments measured using net asset valuations as a practical expedient:
 
 
 
 
 
 
 
 
 
 
 
 
 
At March 31, 2020
Fair Value
 
Unfunded
Commitments
 
Redemption Frequency
 
Redemption
Notice Period (Minimum Days)
 
Redemption
Notice Period (Maximum Days)
 
 
Private equity investments
$
167,657

 
$
417,393

 
See below
 
See below
 
See below
 
 
Senior secured bank loan funds
22,579

 
7,141

 
See below
 
See below
 
See below
 
 
Hedge funds
9,327

 

 
See below
 
See below
 
See below
 
 
Total other investments measured using net asset valuations
$
199,563

 
$
424,534