| Fair Value Disclosures [Text Block] | 4. Fair Value (a) Fair Value of Financial Instrument Assets The fair value hierarchy prioritizes the inputs to valuation techniques used to measure fair value by maximizing the use of observable inputs and minimizing 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 pricing an asset or liability based on market data obtained from sources independent of the Company. Unobservable inputs are inputs that reflect the Company’s assumptions about what market participants would use in pricing the asset or liability based on the best information available in the circumstances. The level in the hierarchy within which a given fair value measurement falls is determined based on the lowest level input that is significant to the measurement. The Company determines the appropriate level in the hierarchy for each financial instrument that it measures at fair value. In determining fair value, the Company uses various valuation approaches, including market, income and cost approaches. The hierarchy is broken down into three levels based on the observability of inputs as follows: • Level 1 inputs—Unadjusted, quoted prices in active markets for identical assets or liabilities that the Company has the ability to access. The Company’s financial instruments that it measures at fair value using Level 1 inputs generally include: equities and real estate investment trusts listed on a major exchange, exchange traded funds and exchange traded derivatives, including futures that are actively traded. • Level 2 inputs—Quoted prices in active markets for similar assets or liabilities, quoted prices for identical or similar assets or liabilities in inactive markets and significant directly or indirectly observable inputs, other than quoted prices, used in industry accepted models. The Company’s financial instruments that it measures at fair value using Level 2 inputs generally include: U.S. government issued bonds; U.S. government sponsored enterprises bonds; U.S. state, territory and municipal entities bonds; non-U.S. sovereign government, supranational and government related bonds consisting primarily of bonds issued by non-U.S. national governments and their agencies, non-U.S. regional governments and supranational organizations; investment grade and high yield corporate bonds; asset-backed securities; mortgage-backed securities; short-term investments; certain equities traded on foreign exchanges; certain preferred equities; certain fixed income mutual funds; foreign exchange forward contracts and over-the-counter derivatives such as foreign currency option contracts, credit default swaps, interest rate swaps and to-be-announced mortgage-backed securities (TBAs). • Level 3 inputs—Unobservable inputs. The Company’s financial instruments that it measures at fair value using Level 3 inputs generally include: inactively traded fixed maturities including U.S. state, territory and municipal bonds; special purpose financing asset-backed bonds; unlisted equities; real estate and certain other mutual fund investments; inactively traded weather derivatives; notes and loan receivables, notes securitizations, annuities and residuals, private equities and longevity and other total return swaps. The Company’s policy is to recognize transfers between the hierarchy levels at the beginning of the period. The Company’s financial instruments measured at fair value include investments and the segregated investment portfolio underlying the funds held – directly managed account. At September 30, 2015 and December 31, 2014 , the Company’s financial instruments measured at fair value were classified between Levels 1, 2 and 3 as follows (in thousands of U.S. dollars): September 30, 2015 Quoted prices in active markets for identical assets (Level 1) Significant other observable inputs (Level 2) Significant unobservable inputs (Level 3) Total Fixed maturities U.S. government and government sponsored enterprises $ — $ 2,195,753 $ — $ 2,195,753 U.S. states, territories and municipalities — 634,874 125,480 760,354 Non-U.S. sovereign government, supranational and government related — 1,288,188 — 1,288,188 Corporate — 5,366,280 — 5,366,280 Asset-backed securities — 681,758 400,831 1,082,589 Residential mortgage-backed securities — 2,281,275 — 2,281,275 Other mortgage-backed securities — 51,810 — 51,810 Fixed maturities $ — $ 12,499,938 $ 526,311 $ 13,026,249 Short-term investments $ — $ 100,365 $ — $ 100,365 Equities Real estate investment trusts $ 180,387 $ — $ — $ 180,387 Consumer noncyclical 115,462 — — 115,462 Finance 74,552 4,698 21,861 101,111 Insurance 94,523 5,250 — 99,773 Energy 72,880 — — 72,880 Industrials 55,322 8,751 — 64,073 Technology 45,364 — 8,416 53,780 Communications 43,024 — 2,568 45,592 Consumer cyclical 44,401 — — 44,401 Utilities 24,616 — — 24,616 Other 16,005 — — 16,005 Mutual funds and exchange traded funds 179,195 — 6,841 186,036 Equities $ 945,731 $ 18,699 $ 39,686 $ 1,004,116 Other invested assets Derivative assets Foreign exchange forward contracts $ — $ 12,880 $ — $ 12,880 Insurance-linked securities — — 8,523 8,523 Total return swaps — — 1,487 1,487 TBAs — 2,159 — 2,159 Other Notes and loan receivables and notes securitization — — 91,386 91,386 Annuities and residuals — — 10,044 10,044 Private equities — — 70,070 70,070 Derivative liabilities Foreign exchange forward contracts — (2,939 ) — (2,939 ) Foreign currency option contracts — (4,614 ) — (4,614 ) Futures contracts (16,382 ) — — (16,382 ) Total return swaps — — (2,609 ) (2,609 ) Interest rate swaps — (25,518 ) — (25,518 ) Other invested assets $ (16,382 ) $ (18,032 ) $ 178,901 $ 144,487 Funds held – directly managed U.S. government and government sponsored enterprises $ — $ 165,297 $ — $ 165,297 Non-U.S. sovereign government, supranational and government related — 124,294 — 124,294 Corporate — 107,826 — 107,826 Short-term investments — 6,063 — 6,063 Other invested assets — — 11,877 11,877 Funds held – directly managed $ — $ 403,480 $ 11,877 $ 415,357 Total $ 929,349 $ 13,004,450 $ 756,775 $ 14,690,574 December 31, 2014 Quoted prices in active markets for identical assets (Level 1) Significant other observable inputs (Level 2) Significant unobservable inputs (Level 3) Total Fixed maturities U.S. government and government sponsored enterprises $ — $ 2,315,422 $ — $ 2,315,422 U.S. states, territories and municipalities — 380,875 149,728 530,603 Non-U.S. sovereign government, supranational and government related — 1,976,202 — 1,976,202 Corporate — 5,604,160 — 5,604,160 Asset-backed securities — 681,502 449,918 1,131,420 Residential mortgage-backed securities — 2,306,476 — 2,306,476 Other mortgage-backed securities — 54,462 — 54,462 Fixed maturities $ — $ 13,319,099 $ 599,646 $ 13,918,745 Short-term investments $ — $ 25,678 $ — $ 25,678 Equities Real estate investment trusts $ 213,770 $ — $ — $ 213,770 Insurance 140,916 4,521 — 145,437 Energy 123,978 — — 123,978 Consumer noncyclical 100,134 — — 100,134 Finance 70,621 7,354 20,353 98,328 Technology 52,707 — 8,555 61,262 Communications 51,829 — 2,640 54,469 Industrials 49,983 — — 49,983 Consumer cyclical 39,002 — — 39,002 Utilities 31,748 — — 31,748 Other 11,571 — — 11,571 Mutual funds and exchange traded funds 118,246 — 8,586 126,832 Equities $ 1,004,505 $ 11,875 $ 40,134 $ 1,056,514 Other invested assets Derivative assets Foreign exchange forward contracts $ — $ 20,033 $ — $ 20,033 Futures contracts 846 — — 846 Insurance-linked securities — — 3 3 Total return swaps — — 485 485 TBAs — 154 — 154 Other Notes and loan receivables and notes securitization — — 44,817 44,817 Annuities and residuals — — 13,243 13,243 Private equities — — 59,872 59,872 Derivative liabilities Foreign exchange forward contracts — (7,446 ) — (7,446 ) Foreign currency option contracts — (1,196 ) — (1,196 ) Futures contracts (467 ) — — (467 ) Insurance-linked securities — — (339 ) (339 ) Total return swaps — — (2,007 ) (2,007 ) Interest rate swaps — (16,282 ) — (16,282 ) TBAs — (240 ) — (240 ) Other invested assets $ 379 $ (4,977 ) $ 116,074 $ 111,476 Funds held – directly managed U.S. government and government sponsored enterprises $ — $ 153,483 $ — $ 153,483 U.S. states, territories and municipalities — — 132 132 Non-U.S. sovereign government, supranational and government related — 128,233 — 128,233 Corporate — 177,347 — 177,347 Other invested assets — — 13,398 13,398 Funds held – directly managed $ — $ 459,063 $ 13,530 $ 472,593 Total $ 1,004,884 $ 13,810,738 $ 769,384 $ 15,585,006 At September 30, 2015 and December 31, 2014 , the aggregate carrying amounts of items included in Other invested assets that the Company did not measure at fair value were $200.2 million and $187.3 million , respectively, which related to the Company’s investments that are accounted for using the cost method of accounting or equity method of accounting. In addition to the investments underlying the funds held – directly managed account held at fair value of $415.4 million and $472.6 million at September 30, 2015 and December 31, 2014 , respectively, the funds held – directly managed account also included cash and cash equivalents, carried at fair value, of $64.2 million and $42.3 million , respectively, and accrued investment income of $5.4 million and $5.7 million , respectively. At September 30, 2015 and December 31, 2014 , the aggregate carrying amounts of items included in the funds held – directly managed account that the Company did not measure at fair value were $110.7 million and $88.3 million , respectively, which primarily related to other assets and liabilities held by Colisée Re related to the underlying business, which are carried at cost (see Note 5 to the Consolidated Financial Statements included in the Company’s Annual Report on Form 10-K for the year ended December 31, 2014 ). At September 30, 2015 and December 31, 2014 , substantially all of the accrued investment income in the Condensed Consolidated Balance Sheets relate to the Company’s investments and the investments underlying the funds held – directly managed account for which the fair value option was elected. During the three months and nine months ended September 30, 2015 and 2014 , there were no transfers between Level 1 and Level 2. Disclosures about the fair value of financial instruments that the Company does not measure at fair value exclude insurance contracts and certain other financial instruments. At September 30, 2015 and December 31, 2014 , the fair values of financial instrument assets recorded in the Condensed Consolidated Balance Sheets not described above, approximate their carrying values. The reconciliations of the beginning and ending balances for all financial instruments measured at fair value using Level 3 inputs for the three months ended September 30, 2015 and 2014 , were as follows (in thousands of U.S. dollars): For the three months ended September 30, 2015 Balance at beginning of period Realized and unrealized investment gains (losses) included in net loss Purchases and issuances (1) Settlements and sales (2) Net transfers into/ (out of) Level 3 Balance at end of period Change in unrealized investment gains (losses) relating to assets held at end of period Fixed maturities U.S. states, territories and municipalities $ 112,221 $ 13,399 $ — $ (140 ) $ — $ 125,480 $ 13,398 Asset-backed securities 411,649 30 78,244 (89,092 ) — 400,831 552 Fixed maturities $ 523,870 $ 13,429 $ 78,244 $ (89,232 ) $ — $ 526,311 $ 13,950 Equities Finance $ 20,964 $ 897 $ — $ — $ — $ 21,861 $ 897 Technology 9,215 (799 ) — — — 8,416 (799 ) Communications 2,580 (12 ) — — — 2,568 (12 ) Mutual funds and exchange traded funds 8,923 136 — (2,218 ) — 6,841 (595 ) Equities $ 41,682 $ 222 $ — $ (2,218 ) $ — $ 39,686 $ (509 ) Other invested assets Derivatives, net $ (2,410 ) $ 9,811 $ — $ — $ — $ 7,401 $ 9,811 Notes and loan receivables and notes securitization 65,450 (1,594 ) 28,893 (1,363 ) — 91,386 (3,112 ) Annuities and residuals 11,096 (226 ) — (826 ) — 10,044 148 Private equities 71,543 (2,015 ) 1,553 (1,011 ) — 70,070 (2,015 ) Other invested assets $ 145,679 $ 5,976 $ 30,446 $ (3,200 ) $ — $ 178,901 $ 4,832 Funds held – directly managed Other invested assets $ 12,348 $ (471 ) $ — $ — $ — $ 11,877 $ (471 ) Funds held – directly managed $ 12,348 $ (471 ) $ — $ — $ — $ 11,877 $ (471 ) Total $ 723,579 $ 19,156 $ 108,690 $ (94,650 ) $ — $ 756,775 $ 17,802 (1) There were no issuances for the three months ended September 30, 2015 . (2) Settlements and sales of mutual funds and exchange traded funds and private equities include sales of $2.2 million and $0.2 million , respectively. For the three months ended September 30, 2014 Balance at beginning of period Realized and unrealized investment gains (losses) included in net income Purchases and issuances (1) Settlements and sales (1) Net transfers into/(out of) Level 3 Balance at end of period Change in Fixed maturities U.S. states, territories and municipalities $ 123,617 $ 3,636 $ 5,695 $ (2,205 ) $ — $ 130,743 $ 3,747 Asset-backed securities 489,106 (4,439 ) 11,085 (37,577 ) — 458,175 (4,403 ) Fixed maturities $ 612,723 $ (803 ) $ 16,780 $ (39,782 ) $ — $ 588,918 $ (656 ) Equities Finance $ 19,564 $ (428 ) $ — $ — $ — $ 19,136 $ (428 ) Communications 2,067 (101 ) — — — 1,966 (101 ) Technology 7,645 (327 ) — — — 7,318 (327 ) Other 7 — — — — 7 — Mutual funds and exchange traded funds 8,246 129 — — — 8,375 129 Equities $ 37,529 $ (727 ) $ — $ — $ — $ 36,802 $ (727 ) Other invested assets Derivatives, net $ (852 ) $ (1,255 ) $ 57 $ 560 $ — $ (1,490 ) $ (1,255 ) Notes and loan receivables and notes securitization 38,603 (1,379 ) 29,286 (21,114 ) — 45,396 (1,379 ) Annuities and residuals 17,134 (475 ) — (1,779 ) — 14,880 (474 ) Private equities 54,928 (1,348 ) 248 (809 ) — 53,019 (1,348 ) Other invested assets $ 109,813 $ (4,457 ) $ 29,591 $ (23,142 ) $ — $ 111,805 $ (4,456 ) Funds held – directly managed U.S. states, territories and municipalities $ 305 $ 6 $ — $ — $ — $ 311 $ 6 Other invested assets 15,800 (1,467 ) 220 — — 14,553 (1,467 ) Funds held – directly managed $ 16,105 $ (1,461 ) $ 220 $ — $ — $ 14,864 $ (1,461 ) Total $ 776,170 $ (7,448 ) $ 46,591 $ (62,924 ) $ — $ 752,389 $ (7,300 ) (1) There were no issuances or sales for the three months ended September 30, 2014 . The reconciliations of the beginning and ending balances for all financial instruments measured at fair value using Level 3 inputs for the nine months ended September 30, 2015 and 2014 , were as follows (in thousands of U.S. dollars): For the nine months ended September 30, 2015 Balance at beginning of period Realized and unrealized investment gains (losses) included in net loss Purchases and issuances (1) Settlements and (2) Net transfers into/(out of) Level 3 Balance at end of period Change in gains (losses) relating to Fixed maturities U.S. states, territories and municipalities $ 149,728 $ 3,148 $ 16,440 $ (43,836 ) $ — $ 125,480 $ 3,140 Asset-backed securities 449,918 (6,420 ) 138,946 (181,613 ) — 400,831 (6,094 ) Fixed maturities $ 599,646 $ (3,272 ) $ 155,386 $ (225,449 ) $ — $ 526,311 $ (2,954 ) Equities Finance $ 20,353 $ 1,640 $ — $ (132 ) $ — $ 21,861 $ 1,640 Technology 8,555 (139 ) — — — 8,416 (139 ) Communications 2,640 (72 ) — — — 2,568 (72 ) Mutual funds and exchange traded funds 8,586 473 249,340 (251,558 ) — 6,841 (259 ) Equities $ 40,134 $ 1,902 $ 249,340 $ (251,690 ) $ — $ 39,686 $ 1,170 Other invested assets Derivatives, net $ (1,858 ) $ 9,259 $ — $ — $ — $ 7,401 $ 9,259 Notes and loan receivables and notes securitization 44,817 (1,030 ) 51,575 (3,976 ) — 91,386 (1,030 ) Annuities and residuals 13,243 95 — (3,294 ) — 10,044 469 Private equities 59,872 (463 ) 13,491 (2,830 ) — 70,070 (611 ) Other invested assets $ 116,074 $ 7,861 $ 65,066 $ (10,100 ) $ — $ 178,901 $ 8,087 Funds held – directly managed U.S. states, territories and municipalities $ 132 $ 68 $ — $ (200 ) $ — $ — $ — Other invested assets 13,398 (1,521 ) — — — 11,877 (1,521 ) Funds held – directly managed $ 13,530 $ (1,453 ) $ — $ (200 ) $ — $ 11,877 $ (1,521 ) Total $ 769,384 $ 5,038 $ 469,792 $ (487,439 ) $ — $ 756,775 $ 4,782 (1) There were no issuances for the nine months ended September 30, 2015 . (2) Settlements and sales of mutual funds and exchange traded funds and private equities include sales of $2.2 million and $0.2 million , respectively. For the nine months ended September 30, 2014 Balance at beginning of period Realized and unrealized investment gains (losses) included in net income Purchases and issuances (1) Settlements and (2) Net transfers into/(out of) Level 3 Balance at end of period Change in gains (losses) relating to Fixed maturities U.S. states, territories and municipalities $ 108,380 $ 10,488 $ 14,220 $ (2,345 ) $ — $ 130,743 $ 10,483 Asset-backed securities 446,577 4,698 138,538 (131,638 ) — 458,175 4,993 Fixed maturities $ 554,957 $ 15,186 $ 152,758 $ (133,983 ) $ — $ 588,918 $ 15,476 Equities Finance $ 20,207 $ (1,071 ) $ — $ — $ — $ 19,136 $ (1,071 ) Communications 2,199 (233 ) — — — 1,966 (233 ) Technology 7,752 (434 ) — — — 7,318 (434 ) Other — (1 ) 8 — — 7 (1 ) Mutual funds and exchange traded funds 7,887 488 — — — 8,375 488 Equities $ 38,045 $ (1,251 ) $ 8 $ — $ — $ 36,802 $ (1,251 ) Other invested assets Derivatives, net $ (788 ) $ (391 ) $ (871 ) $ 560 $ — $ (1,490 ) $ (391 ) Notes and loan receivables and notes securitization 41,446 2,188 32,202 (30,440 ) — 45,396 3,707 Annuities and residuals 24,064 (84 ) — (9,100 ) — 14,880 (44 ) Private equities 39,131 (3,179 ) 20,792 (3,725 ) — 53,019 (3,210 ) Other invested assets $ 103,853 $ (1,466 ) $ 52,123 $ (42,705 ) $ — $ 111,805 $ 62 Funds held – directly managed U.S. states, territories and municipalities $ 286 $ 25 $ — $ — $ — $ 311 $ 25 Other invested assets 15,165 (1,087 ) 475 — — 14,553 (1,087 ) Funds held – directly managed $ 15,451 $ (1,062 ) $ 475 $ — $ — $ 14,864 $ (1,062 ) Total $ 712,306 $ 11,407 $ 205,364 $ (176,688 ) $ — $ 752,389 $ 13,225 (1) Purchases and issuances of derivatives include issuances of $0.9 million . (2) There were no sales for the nine months ended September 30, 2014 . The significant unobservable inputs used in the valuation of financial instruments measured at fair value using Level 3 inputs at September 30, 2015 and December 31, 2014 were as follows (fair value in thousands of U.S. dollars): September 30, 2015 Fair value Valuation techniques Unobservable inputs Range (Weighted average) Fixed maturities U.S. states, territories and municipalities $ 125,480 Discounted cash flow Credit spreads 2.5% – 11.1% (5.8%) Asset-backed securities 400,831 Discounted cash flow Credit spreads 4.1% – 11.2% (7.5%) Equities Finance 15,426 Weighted market comparables Net income multiple 14.4 (14.4) Tangible book value multiple 1.5 (1.5) Liquidity discount 25.0% (25.0%) Comparable return 5.9% (5.9%) Finance 6,435 Profitability analysis Projected return on equity 14.0% (14.0%) Technology 8,416 Weighted market comparables Revenue multiple 1.2 (1.2) Adjusted earnings multiple 10.7 (10.7) Communications 2,568 Weighted market comparables Adjusted earnings multiple 9.4 (9.4) Comparable return 0% (0%) Other invested assets Total return swaps, net (1,122 ) Discounted cash flow Credit spreads 3.8% – 24.7% (17.2%) Longevity swaps 8,413 Discounted cash flow Credit spreads 2.6% (2.6%) Notes and loan receivables 47,870 Discounted cash flow Credit spreads 6.1% – 27.6% (8.7%) Notes and loan receivables 12,140 Discounted cash flow Credit spreads 17.5% (17.5%) Gross revenue/fair value 1.3 – 1.6 (1.6) Notes securitization 31,376 Discounted cash flow Credit spreads 3.7% – 7.1% (6.9%) Annuities and residuals 10,044 Discounted cash flow Credit spreads 5.8% – 11.6% (10.1%) Prepayment speed 0% – 15.0% (2.4%) Constant default rate 0.3% – 17.5% (4.5%) Private equity – direct 9,323 Discounted cash flow and weighted market comparables Net income multiple 9.4 (9.4) Tangible book value multiple 2.2 (2.2) Recoverability of intangible assets 0% (0%) Private equity funds 26,321 Reported market value Net asset value, as reported 100.0% (100.0%) Market adjustments -17.9% – -0.5% (-10.1%) Private equity – other 34,426 Discounted cash flow Effective yield 5.8% (5.8%) Funds held – directly managed Other invested assets 11,877 Reported market value Net asset value, as reported 100.0% (100.0%) Market adjustments -15.3% – 0% (-13.4%) December 31, 2014 Fair value Valuation techniques Unobservable inputs Range (Weighted average) Fixed maturities U.S. states, territories and municipalities $ 149,728 Discounted cash flow Credit spreads 2.2% – 10.1% (4.6%) Asset-backed securities 449,918 Discounted cash flow Credit spreads 4.0% – 12.1% (7.1%) Equities Finance 14,561 Weighted market comparables Net income multiple 19.0 (19.0) Tangible book value multiple 1.3 (1.3) Liquidity discount 25.0% (25.0%) Comparable return 7.3% (7.3%) Finance 5,792 Profitability analysis Projected return on equity 14.0% (14.0%) Technology 8,555 Weighted market comparables Revenue multiple 1.6 (1.6) Adjusted earnings multiple 10.2 (10.2) Communications 2,640 Weighted market comparables Adjusted earnings multiple 9.4 (9.4) Comparable return -10.6% (-10.6%) Other invested assets Total return swaps, net (1,522 ) Discounted cash flow Credit spreads 3.6% – 19.3% (16.3%) Notes and loan receivables 8,068 Discounted cash flow Credit spreads 12.6% (12.6%) Notes and loan receivables 13,237 Discounted cash flow Credit spreads 17.5% (17.5%) Gross revenue/fair value 1.5 – 1.7 (1.7) Notes securitization 23,512 Discounted cash flow Credit spreads 3.5% – 6.6% (6.4%) Annuities and residuals 13,243 Discounted cash flow Credit spreads 4.9% – 9.6% (7.8%) Prepayment speed 0% – 15.0% (4.3%) Constant default rate 0.3% – 17.5% (6.3%) Private equity – direct 8,536 Discounted cash flow and weighted market comparables Net income multiple 9.0 (9.0) Tangible book value multiple 2.0 (2.0) Recoverability of intangible assets 0% (0%) Private equity funds 18,494 Reported market value Net asset value, as reported 100.0% (100.0%) Market adjustments -7.6% – 11.0% (-1.6%) Private equity – other 32,842 Discounted cash flow Effective yield 5.8% (5.8%) Funds held – directly managed Other invested assets 13,398 Reported market value Net asset value, as reported 100.0% (100.0%) Market adjustments -15.4% – 0% (-14.5%) The tables above do not include financial instruments that are measured using unobservable inputs (Level 3) where the unobservable inputs were obtained from external sources and used without adjustment. These financial instruments include mutual fund investments (included within equities) and certain derivatives. The Company has established a Valuation Committee which is responsible for determining the Company’s invested asset valuation policy and related procedures, for reviewing significant changes in the fair value measurements of securities classified as Level 3 from period to period, and for reviewing in accordance with the invested asset valuation policy an independent internal peer analysis that is performed on the fair value measurements of significant securities that are classified as Level 3. The Valuation Committee is comprised of members of the Company’s senior management team and meets on a quarterly basis. The Company’s invested asset valuation policy is monitored by the Company’s Audit Committee of the Board of Directors (Board) and approved annually by the Company’s Risk and Finance Committee of the Board. Changes in the fair value of the Company’s financial instruments subject to the fair value option during the three months and nine months ended September 30, 2015 and 2014 were as follows (in thousands of U.S. dollars): For the three months ended For the nine months ended September 30, 2015 September 30, 2014 September 30, 2015 September 30, 2014 Fixed maturities and short-term investments $ (19,375 ) $ (75,537 ) $ (196,322 ) $ 167,696 Equities (94,869 ) (31,093 ) (147,408 ) (14,447 ) Other invested assets (4,072 ) (3,497 ) (1,359 ) 60 Funds held – directly managed 1,674 (540 ) (2,084 ) 937 Total $ (116,642 ) $ (110,667 ) $ (347,173 ) $ 154,246 Substantially all of the above changes in fair value are included in the Condensed Consolidated Statements of Operations under the caption Net realized and unrealized investment (losses) gains. The following methods and assumptions were used by the Company in estimating the fair value of each class of financial instrument recorded in the Condensed Consolidated Balance Sheets. There have been no material changes in the Company’s valuation techniques during the periods presented. Fixed maturities • U.S. government and government sponsored enterprises —U.S. government and government sponsored enterprises securities consist primarily of bonds issued by the U.S. Treasury and corporate debt securities issued by government sponsored enterprises and federally owned or established corporations. These securities are generally priced by independent pricing services. The independent pricing services may use actual transaction prices for securities that have been actively traded. For securities that have not been actively traded, each pricing source has its own proprietary method to determine the fair value, which may incorporate option adjusted spreads (OAS), interest rate data and market news. The Company generally classifies these securities in Level 2. • U.S. states, territories and municipalities —U.S. states, territories and municipalities securities consist primarily of bonds issued by U.S. states, territories and municipalities and the Federal Home Loan Mortgage Corporation. These securities are generally priced by independent pricing services using the techniques described for U.S. government and government sponsored enterprises above. The Company generally classifies these securities in Level 2. Certain of the bonds that are issued by municipal housing authorities and the Federal Home Loan Mortgage Corporation are not actively traded and are priced based on internal models using unobservable inputs. Accordingly, the Company classifies these securities in Level 3. The significant unobservable input used in the fair value measurement of these U.S. states, territories and municipalities securities classified as Level 3 is credit spreads. A significant increase (decrease) in credit spreads in isolation could result in a significantly lower (higher) fair value measurement. • Non-U.S. sovereign government, supranational and government related —Non-U.S. sovereign government, supranational and government related securities consist primarily of bonds issued by non-U.S. national governments and their agencies, non-U.S. regional governments and supranational organizations. These securities are generally priced by independent pricing services using the techniques described for U.S. government and government sponsored enterprises above. The Company generally classifies these securities in Level 2. • Corporate —Corporate securities consist primarily of bonds issued by U.S. and foreign corporations covering a variety of industries and issuing countries. These securities are generally priced by independent pricing services and brokers. The pricing provider incorporates information including credit spreads, interest rate data and market news into the valuation of each security. The Company generally classifies these securities in Level 2. When a corporate security is inactively traded or the valuation model uses unobservable inputs, the Company classifies the security in Level 3. • Asset-backed securities —Asset - backed securities primarily consist of bonds issued by U.S. and foreign corporations that are predominantly backed by student loans, automobile loans, credit card receivables, equipment leases, and special purpose financing. With the exception of special purpose financing, these asset-backed securities are generally priced by independent pricing services and brokers. The pricing provider applies dealer quotes and other available trade information, prepayment speeds, yield curves and credit spreads to the valuation. The Company generally classifies these securities in Level 2. Special purpose financing securities are generally inactively traded and are priced based on valuation models using unobservable inputs. The Company generally classifies these securities in Level 3. The significant unobservable input used in the fair value measurement of these asset-backed securities classified as Level 3 is credit spreads. A significant increase (decrease) in credit spreads in isolation could result in a significantly lower (higher) fair value measurement. • Residential mortgage-backed securities —Residential mortgage-backed securities primarily consist of bonds issued by the Government National Mortgage Association, the Federal National Mortgage Association, the Federal Home Loan Mortgage Corporation, as well as private, non-agency issuers. These residential mortgage-backed securities are generally priced by independent pricing services and brokers. When current market trades are not available, the pricing provider or the Company will employ proprietary models with observable inputs including other trade information, prepayment speeds, yield curves and credit spreads. The Company generally classifies these securities in Level 2. • Other mortgage-backed securities —Other mortgage-backed securities primarily consist of commercial mortgage-backed securities. These securities are generally priced by independent pricing services and brokers. The pricing provider applies dealer quotes and other available trade information, prepayment speeds, yield curves and credit spreads to the valuation. The Company generally classifies these securities in Level 2. In general, the methods employed by the independent pricing services to determine the fair value of the securities that have not been actively traded primarily involve the use of “matrix pricing” in which the independent pricing source applies the credit spread for a comparable security that has traded recently to the current yield curve to determine a reasonable fair value. The Company generally uses one pricing source per security and uses a pricing service ranking to consistently select the most appropriate pricing service in instances where it receives multiple quotes on the same security. When fair values are unavailable from these independent pricing sources, quotes are obtained directly from broker-dealers who are active in the corresponding markets. Most of the Company’s fixed maturities are priced from the pricing services or dealer quotes. The Company will typically not make adjustments to prices received from pricing services or dealer quotes; however, in instances where the quoted external price for a security uses significant unobservable inputs, the Company will classify that security as Level 3. The methods used to develop and substantiate the unobservable inputs used are based on the Company’s valuation policy and are dependent upon the facts and circumstances surrounding the individual investments which are generally transaction specific. The Company’s inactively traded fixed maturities are classified as Level 3. For all fixed maturity investments, the bid price is used for estimating fair value. To validate prices, the Company compares the fair value estimates to its knowledge of the current market and will investigate prices that it considers not to be representative of fair value. The Company also reviews an internally generated fixed maturity price validation report which converts prices received for fixed maturity investments from the independent pricing sources and from broker-dealers quotes and plots OAS and duration on a sector and rating basis. The OAS is calculated using established algorithms developed by an independent risk analytics platform vendor. The OAS on the fixed maturity price validation report are compared for securities in a similar sector and having a similar rating, and outliers are identified and investigated for price reasonableness. In addition, the Company completes quantitative analyses to compare the performance of each fixed maturity investment portfolio to the performance of an appropriate benchmark, with significant differences identified and investigated. Short-term investments Short-term investments are valued in a manner similar to the Company’s fixed maturity investments and are generally classified in Level 2. Equities Equity securities include U.S. and foreign common and preferred stocks, real estate investment trusts, mutual funds and exchange traded funds. Equities, real estate investment trusts |
