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Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 2022

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, 2022			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			$	5,792,746					$	5,792,746					$	—					$	—
			Agencies			363,256						—						363,256						—
			Non-U.S. government			485,193						—						485,193						—
			Non-U.S. government-backed corporate			431,008						—						431,008						—
			Corporate			3,420,946						—						3,420,946						—
			Agency mortgage-backed			714,176						—						714,176						—
			Non-agency mortgage-backed			212,145						—						212,145						—
			Commercial mortgage-backed			567,186						—						567,186						—
			Asset-backed			1,042,429						—						1,042,429						—
			Total fixed maturity investments			13,029,085						5,792,746						7,236,339						—
			Short term investments			4,685,280						—						4,685,280						—
			Equity investments trading			873,268						873,268						—						—
			Other investments
			Catastrophe bonds			1,233,023						—						1,233,023						—
			Direct private equity investments			80,213						—						—						80,213
			Term loans			85,000						—						—						85,000
						1,398,236						—						1,233,023						165,213
			Fund investments (1)			784,243
			Total other investments			2,182,479						—						1,233,023						165,213
			Other assets and (liabilities)
			Assumed and ceded (re)insurance contracts (2)			(4,099)						—						—						(4,099)
			Derivative assets (3)			16,530						1,613						14,917						—
			Derivative liabilities (3)			(40,423)						(4,843)						(35,580)						—
			Total other assets and (liabilities)			(27,992)						(3,230)						(20,663)						(4,099)
						$	20,742,120					$	6,662,784					$	13,133,979					$	161,114

(1)    Fund investments, which are comprised of private equity funds, private credit funds and hedge funds, are measured at fair value using the net asset value per share (or its equivalent) as a practical expedient and 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, 2022 was $4.4 million of other assets and $8.5 million of other liabilities.

(3)    Refer to “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, 2021			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			$	6,247,779					$	6,247,779					$	—					$	—
			Agencies			361,684						—						361,684						—
			Non-U.S. government			549,613						—						549,613						—
			Non-U.S. government-backed corporate			474,848						—						474,848						—
			Corporate			3,214,438						—						3,214,438						—
			Agency mortgage-backed			721,955						—						721,955						—
			Non-agency mortgage-backed			233,346						—						233,346						—
			Commercial mortgage-backed			634,925						—						634,925						—
			Asset-backed			1,068,543						—						1,068,543						—
			Total fixed maturity investments			13,507,131						6,247,779						7,259,352						—
			Short term investments			5,298,385						—						5,298,385						—
			Equity investments trading			546,016						546,016						—						—
			Other investments
			Catastrophe bonds			1,104,034						—						1,104,034						—
			Direct private equity investments			88,373						—						—						88,373
			Term loans			74,850																		74,850
						1,267,257						—						1,104,034						163,223
			Fund investments (1)			725,802
			Total other investments			1,993,059						—						1,104,034						163,223
			Other assets and (liabilities)
			Assumed and ceded (re)insurance contracts (2)			(4,727)						—						—						(4,727)
			Derivative assets (3)			17,889						1,067						16,822						—
			Derivative liabilities (3)			(16,954)						(1,598)						(15,356)						—
			Total other assets and (liabilities)			(3,792)						(531)						1,466						(4,727)
						$	21,340,799					$	6,793,264					$	13,663,237					$	158,496

(1)Fund investments, which are comprised of private equity funds, private credit funds and hedge funds, are measured at fair value using the net asset value per share (or its equivalent) as a practical expedient and 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, 2021 was $6.1 million of other assets and $10.8 million of other liabilities.

(3)Refer to “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, 2022

Fair Value (Level 3)

Valuation Technique

Unobservable Inputs

Low

High

Weighted Average or Actual

Other investments

Direct private equity investment

$

80,213

Internal valuation model

Discount rate

n/a

n/a

7.5%

Liquidity discount

n/a

n/a

15.0

%

Term loans

85,000

Discounted cash flow

Credit Spread Adjustment

n/a

n/a

0.2

%

Risk Premium

n/a

n/a

2.6

%

Total other investments

165,213

Other assets and (liabilities)

Assumed and ceded (re)insurance contracts

(4,099)

Internal valuation model

Net undiscounted cash flows

n/a

n/a

$

14,700

Expected loss ratio

n/a

n/a

9.8

%

Discount rate

n/a

n/a

2.4

%

Total other assets and (liabilities)

(4,099)

Total other assets and (liabilities) measured at fair value on a recurring basis using Level 3 inputs

$

161,114

At December 31, 2021

Fair Value (Level 3)

Valuation Technique

Unobservable Inputs

Low

High

Weighted Average or Actual

Direct private equity investment

$

88,373

Internal valuation model

Discount rate

n/a

n/a

7.5

%

Liquidity discount

n/a

n/a

15.0

%

Term loans

74,850

Discounted cash flow

Credit Spread Adjustment

n/a

n/a

0.2

%

Risk Premium

n/a

n/a

2.6

%

Total other investments

163,223

Other assets and (liabilities)

Assumed and ceded (re)insurance contracts

(4,727)

Internal valuation model

Net undiscounted cash flows

n/a

n/a

$

14,920

Expected loss ratio

n/a

n/a

14.7

%

Discount rate

n/a

n/a

1.3

%

Total other assets and (liabilities)

(4,727)

Total other assets and (liabilities) measured at fair value on a recurring basis using Level 3 inputs

$

158,496

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
												Direct private equity investments						Term loans
			Balance - January 1, 2022									$	88,373					$	74,850					$	(4,727)					$	158,496
			Included in net investment income									—						605						—						605
			Included in net realized and unrealized gains (losses) on investments									(8,150)						—						—						(8,150)
			Included in other income (loss)									—						—						909						909
			Total foreign exchange gains (losses)									(10)						—						—						(10)
			Purchases									—						10,000						(281)						9,719
			Settlements									—						(455)						—						(455)
			Balance - March 31, 2022									$	80,213					$	85,000					$	(4,099)					$	161,114

												Other investments												Other assets  and (liabilities)						Total
												Direct private equity investments						Term loans
			Balance - January 1, 2021									$	79,807					$	—					$	(6,211)					$	73,596
			Included in net realized and unrealized gains (losses) on investments									(3,936)						—						—						(3,936)
			Included in other income (loss)									—						—						96						96
			Total foreign exchange gains (losses)									3						—						—						3
			Purchases									—						—						(306)						(306)
			Balance - March 31, 2021									$	75,874					$	—					$	(6,421)					$	69,453

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
												Direct private equity investments						Term loans
			Balance - January 1, 2022									$	88,373					$	74,850					$	(4,727)					$	158,496
			Included in net investment income									—						605						—						605
			Included in net realized and unrealized gains (losses) on investments									(8,150)						—						—						(8,150)
			Included in other income (loss)									—						—						909						909
			Total foreign exchange gains (losses)									(10)						—						—						(10)
			Purchases									—						10,000						(281)						9,719
			Settlements									—						(455)						—						(455)
			Balance - March 31, 2022									$	80,213					$	85,000					$	(4,099)					$	161,114

												Other investments												Other assets  and (liabilities)						Total
												Direct private equity investments						Term loans
			Balance - January 1, 2021									$	79,807					$	—					$	(6,211)					$	73,596
			Included in net realized and unrealized gains (losses) on investments									(3,936)						—						—						(3,936)
			Included in other income (loss)									—						—						96						96
			Total foreign exchange gains (losses)									3						—						—						3
			Purchases									—						—						(306)						(306)
			Balance - March 31, 2021									$	75,874					$	—					$	(6,421)					$	69,453

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, 2022						December 31, 2021
			Other investments			$	2,182,479					$	1,993,059
			Other assets			$	4,416					$	6,100
			Other liabilities			$	8,515					$	10,827

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, 2022

Fair Value

Unfunded Commitments

Redemption Frequency

Redemption Notice Period (Minimum Days)

Redemption Notice Period (Maximum Days)

Private equity funds

$

238,473

$

456,092

See below

See below

See below

Private credit funds

545,769

904,187

See below

See below

See below

Hedge funds

—

—

See below

See below

See below

Total other investments measured using net asset valuations

$

784,242

$

1,360,279

At December 31, 2021

Fair Value

Unfunded Commitments

Redemption Frequency

Redemption Notice Period (Minimum Days)

Redemption Notice Period (Maximum Days)

Private equity funds

$

241,297

$

458,566

See below

See below

See below

Private credit funds

473,112

868,571

See below

See below

See below

Hedge funds

11,394

—

See below

See below

See below

Total other investments measured using net asset valuations

$

725,803

$

1,327,137

Schedule of Variable Interest Entities

The following table summarizes the aggregate carrying amount of the unconsolidated fund investments in VIEs, as well as our maximum exposure to loss associated with these VIEs:

						Maximum Exposure to Loss
			At March 31, 2022			Carrying amount						Unfunded Commitments						Total
			Other investments			$	596,925					$	1,315,179					$	1,912,104
			At December 31, 2021
			Other investments			$	539,866					$	1,282,451					$	1,822,317

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-URI http://asc.fasb.org/extlink&oid=123419778&loc=d3e5728-111685

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