XML 35 R24.htm IDEA: XBRL DOCUMENT v3.21.1

FAIR VALUE MEASUREMENTS (Tables)

3 Months Ended

Mar. 31, 2021

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 March 31, 2021
			Assets
			Fixed maturities, available for sale
			U.S. government and agency			$	2,121,183					$	65,910					$	—					$	—					$	2,187,093
			Non-U.S. government			—						714,721						—						—						714,721
			Corporate debt			—						4,492,873						2,405						—						4,495,278
			Agency RMBS			—						1,208,494						—						—						1,208,494
			CMBS			—						1,273,144						905						—						1,274,049
			Non-agency RMBS			—						167,169						—						—						167,169
			ABS			—						1,395,786						7,175						—						1,402,961
			Municipals			—						278,846						—						—						278,846
						2,121,183						9,596,943						10,485						—						11,728,611
			Equity securities
			Common stocks			9,717						—						—						—						9,717
			Preferred stocks			6,949						—						—						—						6,949
			Exchange-traded funds			269,386						—						—						—						269,386
			Bond mutual funds			—						261,624						—						—						261,624
						286,052						261,624						—						—						547,676
			Other investments
			Hedge funds (1)			—						—						—						126,004						126,004
			Direct lending funds			—						—						—						279,324						279,324
			Private equity funds			—						—						—						153,515						153,515
			Real estate funds			—						—						—						163,635						163,635
			CLO-Equities			—						—						6,269						—						6,269
			Other privately held investments			—						—						61,783						—						61,783
			Overseas deposits			—						—						—						—						—
						—						—						68,052						722,478						790,530
			Short-term investments			—						185,699						—						—						185,699
			Other assets
			Derivative instruments (refer to Note 5)			—						3,254						—						—						3,254
			Total Assets			$	2,407,235					$	10,047,520					$	78,537					$	722,478					$	13,255,770
			Liabilities
			Derivative instruments (refer to Note 5)			$	—					$	19,705					$	8,462					$	—					$	28,167
			Cash settled awards (refer to Note 8)			—						4,626						—						—						4,626
			Total Liabilities			$	—					$	24,331					$	8,462					$	—					$	32,793

(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, 2020
			Assets
			Fixed maturities, available for sale
			U.S. government and agency			$	1,861,240					$	57,459					$	—					$	—					$	1,918,699
			Non-U.S. government			—						671,273						—						—						671,273
			Corporate debt			—						4,653,447						2,504						—						4,655,951
			Agency RMBS			—						1,286,209						—						—						1,286,209
			CMBS			—						1,351,847						1,740						—						1,353,587
			Non-agency RMBS			—						140,104						—						—						140,104
			ABS			—						1,709,413						10,665						—						1,720,078
			Municipals			—						295,898						—						—						295,898
						1,861,240						10,165,650						14,909						—						12,041,799
			Equity securities
			Common stocks			$	10,942					$	—					$	—					$	—					$	10,942
			Preferred stocks			8,068						—						—						—						8,068
			Exchange-traded funds			221,718						—						—						—						221,718
			Bond mutual funds			—						277,717						—						—						277,717
						240,728						277,717						—						—						518,445
			Other investments
			Hedge funds (1)			—						—						—						146,720						146,720
			Direct lending funds			—						—						—						272,131						272,131
			Private equity funds			—						—						—						124,706						124,706
			Real estate funds			—						—						—						164,250						164,250
			CLO-Equities			—						—						6,173						—						6,173
			Other privately held investments			—						—						70,011						—						70,011
			Overseas deposits			—						45,165						—						—						45,165
						—						45,165						76,184						707,807						829,156
			Short-term investments			—						161,897						—						—						161,897
			Other assets
			Derivative instruments (refer to Note 5)			—						18,875						—						—						18,875
			Total Assets			$	2,101,968					$	10,669,304					$	91,093					$	707,807					$	13,570,172
			Liabilities
			Derivative instruments (refer to Note 5)			$	—					$	2,364					$	9,122					$	—					$	11,486
			Cash settled awards (refer to Note 8)			—						13,273						—						—						13,273
			Total Liabilities			$	—					$	15,637					$	9,122					$	—					$	24,759

(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 March 31, 2021 of investments classified as Level 3 in the fair value hierarchy:

						Fair value			Valuation technique			Unobservable input			Range			Weighted average
			Other investments - CLO-Equities			$	6,269		Discounted cash flow			Default rates			4.5%			4.5%
												Loss severity rate			50.0%			50.0%
												Collateral spreads			3.0%			3.0%
												Estimated maturity dates			5 years			5 years
			Other investments - Other privately held investments			$	21,643		Discounted cash flow			Discount rate			1.3%			1.3%
												Default rate			0.5%			0.5%
												Loss absorption yield			1.0%			1.0%
												Estimated maturity date			5 years			5 years
			Derivatives - Other underwriting-related derivatives			$	(8,462)		Discounted cash flow			Discount rate			0.9%			0.9%

Note: Fixed maturities of $10 million that are classified as Level 3 are excluded from the above table as these securities are priced using broker-dealer quotes. In addition, other privately held investments of $40 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 tables present 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)
			Three months ended March 31, 2021
			Fixed maturities, available for sale
			Corporate debt			$	2,504					$	—					$	—					$	—					$	(99)					$	—					$	—					$	—					$	2,405					$	—
			CMBS			1,740						—						—						—						14						—						—						(849)						905						—
			Non-agency RMBS			—						—						—						—						—						—						—						—						—						—
			ABS			10,665						6,184						(9,203)						—						29						—						—						(500)						7,175						—
						14,909						6,184						(9,203)						—						(56)						—						—						(1,349)						10,485						—
			Other investments
			CLO-Equities			6,173						—						—						570						—						—						—						(474)						6,269						570
			Other privately held investments			70,011						—						—						18,479						—						273						(26,980)						—						61,783						1,098
						76,184						—						—						19,049						—						273						(26,980)						(474)						68,052						1,668
			Total assets			$	91,093					$	6,184					$	(9,203)					$	19,049					$	(56)					$	273					$	(26,980)					$	(1,823)					$	78,537					$	1,668
			Other liabilities
			Derivative instruments			$	9,122					$	—					$	—					$	(660)					$	—					$	—					$	—					$	—					$	8,462					$	(660)
			Total liabilities			$	9,122					$	—					$	—					$	(660)					$	—					$	—					$	—					$	—					$	8,462					$	(660)

						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)
			Three months ended March 31, 2020
			Fixed maturities, available for sale
			Corporate debt			$	2,297					$	—					$	—					$	—					$	(52)					$	—					$	—					$	—					$	2,245					$	—
			CMBS			5,235						—						—						—						(293)						—						—						(571)						4,371						—
			Non-agency RMBS			—						9,185						—						—						—						—						—						—						9,185						—
			ABS			489						—						—						—						(153)						—						—						—						336						—
						8,021						9,185						—						—						(498)						—						—						(571)						16,137						—
			Other investments
			CLO-Equities			14,328						—						—						(847)						—						—						—						(688)						12,793						(847)
			Other privately held investments			36,934						—						—						80						—						427						—						—						37,441						80
						51,262						—						—						(767)						—						427						—						(688)						50,234						(767)
			Total assets			$	59,283					$	9,185					$	—					$	(767)					$	(498)					$	427					$	—					$	(1,259)					$	66,371					$	(767)
			Other liabilities
			Derivative instruments			$	9,672					$	—					$	—					$	10,492					$	—					$	—					$	—					$	—					$	20,164					$	10,492
			Total liabilities			$	9,672					$	—					$	—					$	10,492					$	—					$	—					$	—					$	—					$	20,164					$	10,492

(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 and liabilities held at the reporting date.

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

The following tables present 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)
			Three months ended March 31, 2021
			Fixed maturities, available for sale
			Corporate debt			$	2,504					$	—					$	—					$	—					$	(99)					$	—					$	—					$	—					$	2,405					$	—
			CMBS			1,740						—						—						—						14						—						—						(849)						905						—
			Non-agency RMBS			—						—						—						—						—						—						—						—						—						—
			ABS			10,665						6,184						(9,203)						—						29						—						—						(500)						7,175						—
						14,909						6,184						(9,203)						—						(56)						—						—						(1,349)						10,485						—
			Other investments
			CLO-Equities			6,173						—						—						570						—						—						—						(474)						6,269						570
			Other privately held investments			70,011						—						—						18,479						—						273						(26,980)						—						61,783						1,098
						76,184						—						—						19,049						—						273						(26,980)						(474)						68,052						1,668
			Total assets			$	91,093					$	6,184					$	(9,203)					$	19,049					$	(56)					$	273					$	(26,980)					$	(1,823)					$	78,537					$	1,668
			Other liabilities
			Derivative instruments			$	9,122					$	—					$	—					$	(660)					$	—					$	—					$	—					$	—					$	8,462					$	(660)
			Total liabilities			$	9,122					$	—					$	—					$	(660)					$	—					$	—					$	—					$	—					$	8,462					$	(660)

						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)
			Three months ended March 31, 2020
			Fixed maturities, available for sale
			Corporate debt			$	2,297					$	—					$	—					$	—					$	(52)					$	—					$	—					$	—					$	2,245					$	—
			CMBS			5,235						—						—						—						(293)						—						—						(571)						4,371						—
			Non-agency RMBS			—						9,185						—						—						—						—						—						—						9,185						—
			ABS			489						—						—						—						(153)						—						—						—						336						—
						8,021						9,185						—						—						(498)						—						—						(571)						16,137						—
			Other investments
			CLO-Equities			14,328						—						—						(847)						—						—						—						(688)						12,793						(847)
			Other privately held investments			36,934						—						—						80						—						427						—						—						37,441						80
						51,262						—						—						(767)						—						427						—						(688)						50,234						(767)
			Total assets			$	59,283					$	9,185					$	—					$	(767)					$	(498)					$	427					$	—					$	(1,259)					$	66,371					$	(767)
			Other liabilities
			Derivative instruments			$	9,672					$	—					$	—					$	10,492					$	—					$	—					$	—					$	—					$	20,164					$	10,492
			Total liabilities			$	9,672					$	—					$	—					$	10,492					$	—					$	—					$	—					$	—					$	20,164					$	10,492

(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 and liabilities 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.

+ References

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
-Subparagraph (bbb)
-URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258

+ Details

Name:	us-gaap_FairValueAssetsAndLiabilitiesMeasuredOnRecurringAndNonrecurringBasisValuationTechniquesTableTextBlock
Namespace Prefix:	us-gaap_
Data Type:	nonnum:textBlockItemType
Balance Type:	na
Period Type:	duration

X

- Definition

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.

+ References

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 3
-URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19279-110258

Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
-Subparagraph (c)
-URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258

+ Details

Name:	us-gaap_FairValueAssetsMeasuredOnRecurringBasisUnobservableInputReconciliationTextBlock
Namespace Prefix:	us-gaap_
Data Type:	nonnum:textBlockItemType
Balance Type:	na
Period Type:	duration

X

- References

No definition available.

+ Details

Name:	us-gaap_FairValueDisclosuresAbstract
Namespace Prefix:	us-gaap_
Data Type:	xbrli:stringItemType
Balance Type:	na
Period Type:	duration

X

- Definition

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.

+ References

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
-Subparagraph (c)
-URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258

Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 3
-URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19279-110258

+ Details

Name:	us-gaap_FairValueLiabilitiesMeasuredOnRecurringBasisUnobservableInputReconciliationTextBlock
Namespace Prefix:	us-gaap_
Data Type:	nonnum:textBlockItemType
Balance Type:	na
Period Type:	duration

X

- Definition

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).

+ References

Reference 1: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
-Subparagraph (b)
-URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258

Reference 2: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
-Subparagraph (a)
-URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258

+ Details

Name:	us-gaap_ScheduleOfFairValueAssetsAndLiabilitiesMeasuredOnRecurringBasisTableTextBlock
Namespace Prefix:	us-gaap_
Data Type:	nonnum:textBlockItemType
Balance Type:	na
Period Type:	duration