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FAIR VALUE MEASUREMENTS (Tables)

12 Months Ended

Dec. 31, 2019

Fair Value Disclosures [Abstract]

FINANCIAL INSTRUMENTS MEASURED AT FAIR VALUE ON A RECURRING BASIS

The tables below present the financial instruments measured at fair value on a recurring basis for the periods indicated:

		Quoted prices in active markets for identical assets (Level 1)				Significant other observable inputs (Level 2)				Significant unobservable inputs (Level 3)				Fair value based on NAV practical expedient				Total fair value
	At December 31, 2019
	Assets
	Fixed maturities
	U.S. government and agency	$	2,053,622			$	59,259			$	—			$	—			$	2,112,881
	Non-U.S. government	—				576,592				—				—				576,592
	Corporate debt	—				4,927,957				2,297				—				4,930,254
	Agency RMBS	—				1,592,584				—				—				1,592,584
	CMBS	—				1,359,817				5,235				—				1,365,052
	Non-Agency RMBS	—				84,922				—				—				84,922
	ABS	—				1,598,204				489				—				1,598,693
	Municipals	—				207,227				—				—				207,227
		2,053,622				10,406,562				8,021				—				12,468,205
	Equity securities
	Common stocks	193				—				—				—				193
	Exchange-traded funds	297,325				—				—				—				297,325
	Bond mutual funds	—				176,689				—				—				176,689
		297,518				176,689				—				—				474,207
	Other investments
	Hedge funds(1)	—				—				—				167,790				167,790
	Direct lending funds	—				—				—				277,395				277,395
	Private equity funds	—				—				—				80,412				80,412
	Real estate funds	—				—				—				130,112				130,112
	Other privately held investments	—				—				36,934				—				36,934
	CLO-Equities	—				—				14,328				—				14,328
	Overseas deposits	—				63,952				—				—				63,952
		—				63,952				51,262				655,709				770,923
	Short-term investments	—				38,471				—				—				38,471
	Other assets
	Derivative instruments (refer to Note 7)	—				3,174				—				—				3,174
	Total Assets	$	2,351,140			$	10,688,848			$	59,283			$	655,709			$	13,754,980
	Liabilities
	Derivative instruments (refer to Note 7)	$	—			$	3,965			$	9,672			$	—			$	13,637
	Cash settled awards (refer to Note 16)	—				21,731				—				—				21,731
	Total Liabilities	$	—			$	25,696			$	9,672			$	—			$	35,368

(1) Includes Long/short equity and Multi-strategy funds.

		Quoted prices in active markets for identical assets (Level 1)				Significant other observable inputs (Level 2)				Significant unobservable inputs (Level 3)				Fair value based on NAV practical expedient				Total fair value
	At December 31, 2018
	Assets
	Fixed maturities
	U.S. government and agency	$	1,480,466			$	35,231			$	—			$	—			$	1,515,697
	Non-U.S. government	—				493,016				—				—				493,016
	Corporate debt	—				4,827,909				49,012				—				4,876,921
	Agency RMBS	—				1,643,308				—				—				1,643,308
	CMBS	—				1,073,396				19,134				—				1,092,530
	Non-Agency RMBS	—				40,687				—				—				40,687
	ABS	—				1,619,070				18,533				—				1,637,603
	Municipals	—				135,585				—				—				135,585
		1,480,466				9,868,202				86,679				—				11,435,347
	Equity securities
	Common stocks	527				—				—				—				527
	Exchange-traded funds	236,839				—				—				—				236,839
	Bond mutual funds	—				144,267				—				—				144,267
		237,366				144,267				—				—				381,633
	Other investments
	Hedge funds(1)	—				—				—				194,598				194,598
	Direct lending funds	—				—				—				274,478				274,478
	Private equity funds	—				—				—				64,566				64,566
	Real estate funds	—				—				—				84,202				84,202
	Other privately held investments	—				—				44,518				—				44,518
	CLO-Equities	—				—				21,271				—				21,271
	Overseas deposits	—				104,154				—				—				104,154
		—				104,154				65,789				617,844				787,787
	Short-term investments	—				144,040				—				—				144,040
	Other assets
	Derivative instruments (refer to Note 7)	—				8,237				—				—				8,237
	Total Assets	$	1,717,832			$	10,268,900			$	152,468			$	617,844			$	12,757,044
	Liabilities
	Derivative instruments (refer to Note 7)	$	—			$	4,223			$	10,299			$	—			$	14,522
	Cash settled awards (refer to Note 16)	—				20,648				—				—				20,648
	Total Liabilities	$	—			$	24,871			$	10,299			$	—			$	35,170

(1)

Includes Long/short equity and Multi-strategy funds.

LEVEL 3 FAIR VALUE MEASUREMENT INPUTS

The following table quantifies the significant unobservable inputs used in estimating fair values at December 31, 2019 of investments classified as Level 3 in the fair value hierarchy:

		Fair value			Valuation technique	Unobservable input	Range	Weighted average
	Other investments - CLO-Equities	$	14,328		Discounted cash flow	Default rates	3.5%	3.5%
						Loss severity rate	35.0%	35.0%
						Collateral spreads	3.0%	3.0%
						Estimated maturity dates	7 years	7 years
	Derivatives - Other underwriting-related derivatives	$	(9,672	)	Discounted cash flow	Discount rate	1.8%	1.8%

Note: Fixed maturities and insurance-linked securities that are classified as Level 3 of $8 million are excluded from the above table as these securities are priced using broker-dealer quotes. In addition, other privately held investments of $37 million that are classified as Level 3 are excluded from the above table as these investments are priced using capital statements received from investee companies.

CHANGES IN LEVEL 3 FINANCIAL INSTRUMENTS MEASURED AT FAIR VALUE ON A RECURRING BASIS, ASSETS

The following table presents changes in Level 3 for financial instruments measured at fair value on a recurring basis:

		Opening balance				Transfers into Level 3				Transfers out of Level 3				Included in net income(1)				Included in OCI (2)				Purchases				Sales				Settlements/ distributions				Closing balance				Change in unrealized gains/losses (3)
	Year ended December 31, 2019
	Fixed maturities
	Corporate debt	$	49,012			$	—			$	—			$	4,790			$	(4,168	)		$	—			$	(6,068	)		$	(41,269	)		$	2,297			$	—
	CMBS	19,134				—				(7,077		)		—				142				—				—				(6,964		)		5,235				—
	ABS	18,533				—				(18,230		)		—				186				—				—				—				489				—
		86,679				—				(25,307		)		4,790				(3,840		)		—				(6,068		)		(48,233		)		8,021				—
	Other investments
	Other privately held investments	44,518				—				—				18,092				—				22,500				(48,176		)		—				36,934				5,150
	CLO-Equities	21,271				—				—				(199		)		—				—				—				(6,744		)		14,328				(199		)
		65,789				—				—				17,893				—				22,500				(48,176		)		(6,744		)		51,262				4,951
	Other assets
	Insurance-linked securities	—				—				—				—				—				—				—				—				—				—
		—				—				—				—				—				—				—				—				—				—
	Total assets	$	152,468			$	—			$	(25,307	)		$	22,683			$	(3,840	)		$	22,500			$	(54,244	)		$	(54,977	)		$	59,283			$	4,951
	Other liabilities
	Derivative instruments	10,299				—				—				(627		)		—				—				—				—				9,672				(627		)
	Total liabilities	$	10,299			$	—			$	—			$	(627	)		$	—			$	—			$	—			$	—			$	9,672			$	(627	)
	Year ended December 31, 2018
	Fixed maturities
	Corporate debt	$	52,897			$	2,935			$	(4,279	)		$	(591	)		$	6,343			$	10,267			$	(7,446	)		$	(11,114	)		$	49,012			$	—
	CMBS	—				5,096				—				—				(145		)		17,200				—				(3,017		)		19,134				—
	ABS	—				1,979				—				—				(446		)		17,000				—				—				18,533				—
		52,897				10,010				(4,279		)		(591		)		5,752				44,467				(7,446		)		(14,131		)		86,679				—
	Other investments
	Other privately held investments	46,430				—				—				(913		)		—				3,110				(4,109		)		—				44,518				(913		)
	CLO-Equities	31,413				—				—				6,627				—				—				—				(16,769		)		21,271				6,627
		77,843				—				—				5,714				—				3,110				(4,109		)		(16,769		)		65,789				5,714
	Other assets
	Insurance-linked securities	25,090				—				—				(90		)		—				—				—				(25,000		)		—				—
		25,090				—				—				(90		)		—				—				—				(25,000		)		—				—
	Total assets	$	155,830			$	10,010			$	(4,279	)		$	5,033			$	5,752			$	47,577			$	(11,555	)		$	(55,900	)		$	152,468			$	5,714
	Other liabilities
	Derivative instruments	11,510				—				—				(1,211		)		—				—				—				—				10,299				(1,211		)
	Total liabilities	$	11,510			$	—			$	—			$	(1,211	)		$	—			$	—			$	—			$	—			$	10,299			$	(1,211	)

(1) Realized gains (losses) on fixed maturities, and realized and unrealized gains (losses) on other assets and other liabilities included in net income are included in net investment gains (losses). Realized and unrealized gains (losses) on other investments included in net income are included in net investment income.

(2) Unrealized gains (losses) on fixed maturities are included in other comprehensive income ("OCI").

(3)

Change in unrealized gains (losses) relating to assets held at the reporting date.

CHANGES IN LEVEL 3 FINANCIAL INSTRUMENTS MEASURED AT FAIR VALUE ON A RECURRING BASIS, LIABILITIES

The following table presents changes in Level 3 for financial instruments measured at fair value on a recurring basis:

		Opening balance				Transfers into Level 3				Transfers out of Level 3				Included in net income(1)				Included in OCI (2)				Purchases				Sales				Settlements/ distributions				Closing balance				Change in unrealized gains/losses (3)
	Year ended December 31, 2019
	Fixed maturities
	Corporate debt	$	49,012			$	—			$	—			$	4,790			$	(4,168	)		$	—			$	(6,068	)		$	(41,269	)		$	2,297			$	—
	CMBS	19,134				—				(7,077		)		—				142				—				—				(6,964		)		5,235				—
	ABS	18,533				—				(18,230		)		—				186				—				—				—				489				—
		86,679				—				(25,307		)		4,790				(3,840		)		—				(6,068		)		(48,233		)		8,021				—
	Other investments
	Other privately held investments	44,518				—				—				18,092				—				22,500				(48,176		)		—				36,934				5,150
	CLO-Equities	21,271				—				—				(199		)		—				—				—				(6,744		)		14,328				(199		)
		65,789				—				—				17,893				—				22,500				(48,176		)		(6,744		)		51,262				4,951
	Other assets
	Insurance-linked securities	—				—				—				—				—				—				—				—				—				—
		—				—				—				—				—				—				—				—				—				—
	Total assets	$	152,468			$	—			$	(25,307	)		$	22,683			$	(3,840	)		$	22,500			$	(54,244	)		$	(54,977	)		$	59,283			$	4,951
	Other liabilities
	Derivative instruments	10,299				—				—				(627		)		—				—				—				—				9,672				(627		)
	Total liabilities	$	10,299			$	—			$	—			$	(627	)		$	—			$	—			$	—			$	—			$	9,672			$	(627	)
	Year ended December 31, 2018
	Fixed maturities
	Corporate debt	$	52,897			$	2,935			$	(4,279	)		$	(591	)		$	6,343			$	10,267			$	(7,446	)		$	(11,114	)		$	49,012			$	—
	CMBS	—				5,096				—				—				(145		)		17,200				—				(3,017		)		19,134				—
	ABS	—				1,979				—				—				(446		)		17,000				—				—				18,533				—
		52,897				10,010				(4,279		)		(591		)		5,752				44,467				(7,446		)		(14,131		)		86,679				—
	Other investments
	Other privately held investments	46,430				—				—				(913		)		—				3,110				(4,109		)		—				44,518				(913		)
	CLO-Equities	31,413				—				—				6,627				—				—				—				(16,769		)		21,271				6,627
		77,843				—				—				5,714				—				3,110				(4,109		)		(16,769		)		65,789				5,714
	Other assets
	Insurance-linked securities	25,090				—				—				(90		)		—				—				—				(25,000		)		—				—
		25,090				—				—				(90		)		—				—				—				(25,000		)		—				—
	Total assets	$	155,830			$	10,010			$	(4,279	)		$	5,033			$	5,752			$	47,577			$	(11,555	)		$	(55,900	)		$	152,468			$	5,714
	Other liabilities
	Derivative instruments	11,510				—				—				(1,211		)		—				—				—				—				10,299				(1,211		)
	Total liabilities	$	11,510			$	—			$	—			$	(1,211	)		$	—			$	—			$	—			$	—			$	10,299			$	(1,211	)

(1) Realized gains (losses) on fixed maturities, and realized and unrealized gains (losses) on other assets and other liabilities included in net income are included in net investment gains (losses). Realized and unrealized gains (losses) on other investments included in net income are included in net investment income.

(2) Unrealized gains (losses) on fixed maturities are included in other comprehensive income ("OCI").

(3)

Change in unrealized gains (losses) relating to assets held at the reporting date.

X

- Definition

Tabular disclosure of input and valuation technique used to measure fair value and change in valuation approach and technique for each separate class of asset and liability measured on recurring and nonrecurring basis.

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Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets) and gains or losses recognized in other comprehensive income (loss), and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs), by class of asset.

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Tabular disclosure of the fair value measurement of liabilities using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets), and gains or losses recognized in other comprehensive income (loss) and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs) by class of liability.

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Tabular disclosure of assets and liabilities, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, that are measured at fair value on a recurring basis. The disclosures contemplated herein include the fair value measurements at the reporting date by the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3).

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