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FAIR VALUE MEASUREMENTS (Tables)

9 Months Ended

Sep. 30, 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 September 30, 2021
			Assets
			Fixed maturities, available for sale
			U.S. government and agency			$	2,643,471					$	48,923					$	—					$	—					$	2,692,394
			Non-U.S. government			—						719,922						—						—						719,922
			Corporate debt			—						4,500,045						47,605						—						4,547,650
			Agency RMBS			—						1,163,038						—						—						1,163,038
			CMBS			—						1,226,225						—						—						1,226,225
			Non-agency RMBS			—						193,764						—						—						193,764
			ABS			—						1,643,245						—						—						1,643,245
			Municipals			—						194,721						—						—						194,721
						2,643,471						9,689,883						47,605						—						12,380,959
			Equity securities
			Common stocks			1,027						—						—						—						1,027
			Preferred stocks			263						—						—						—						263
			Exchange-traded funds			309,840						—						—						—						309,840
			Bond mutual funds			—						307,692						—						—						307,692
						311,130						307,692						—						—						618,822
			Other investments
			Hedge funds (1)			—						—						—						71,390						71,390
			Direct lending funds			—						—						—						297,047						297,047
			Private equity funds			—						—						—						226,745						226,745
			Real estate funds			—						—						—						225,673						225,673
			CLO-Equities			—						—						6,297						—						6,297
			Other privately held investments			—						—						65,512						—						65,512
			Overseas deposits			—						—						—						—						—
						—						—						71,809						820,855						892,664
			Short-term investments			—						68,267						—						—						68,267
			Other assets
			Derivative instruments (refer to Note 5)			—						3,290						—						—						3,290
			Total Assets			$	2,954,601					$	10,069,132					$	119,414					$	820,855					$	13,964,002
			Liabilities
			Derivative instruments (refer to Note 5)			$	—					$	12,370					$	7,719					$	—					$	20,089
			Cash settled awards (refer to Note 8)			—						6,697						—						—						6,697
			Total Liabilities			$	—					$	19,067					$	7,719					$	—					$	26,786

(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 September 30, 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			$	6,297		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			7 years			7 years
			Other investments - Other privately held investments			$	20,442		Discounted cash flow			Discount rate			1.6%			1.6%
												Default rate			0.5%			0.5%
												Loss absorption yield			1.0%			1.0%
												Estimated maturity date			3-4 years			4 years
			Derivatives - Other underwriting-related derivatives			$	(7,719)		Discounted cash flow			Discount rate			1.0%			1.0%

Note: Fixed maturities of $48 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 $45 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 September 30, 2021
			Fixed maturities, available for sale
			Corporate debt			$	22,726					$	—					$	—					$	—					$	(121)					$	25,000					$	—					$	—					$	47,605					$	—
			CMBS			—						—						—						—						—						—						—						—						—						—
			ABS			12,560						—						(12,582)						—						22						—						—						—						—						—
						35,286						—						(12,582)						—						(99)						25,000						—						—						47,605						—
			Other investments
			CLO-Equities			7,002						—						—						356						—						—						—						(1,061)						6,297						356
			Other privately held investments			64,786						—						—						213						—						3,436						—						(2,923)						65,512						213
						71,788						—						—						569						—						3,436						—						(3,984)						71,809						569
			Total assets			$	107,074					$	—					$	(12,582)					$	569					$	(99)					$	28,436					$	—					$	(3,984)					$	119,414					$	569
			Other liabilities
			Derivative instruments			$	8,117					$	—					$	—					$	(398)					$	—					$	—					$	—					$	—					$	7,719					$	(398)
			Total liabilities			$	8,117					$	—					$	—					$	(398)					$	—					$	—					$	—					$	—					$	7,719					$	(398)
			Nine months ended September 30, 2021
			Fixed maturities
			Corporate debt			$	2,504					$	7,000					$	—					$	—					$	(199)					$	38,300					$	—					$	—					$	47,605					$	—
			CMBS			1,740						—						—						—						13						—						—						(1,753)						—						—
			ABS			10,665						18,566						(28,789)						—						58						—						—						(500)						—						—
						14,909						25,566						(28,789)						—						(128)						38,300						—						(2,253)						47,605						—
			Other investments
			CLO-Equities			6,173						—						—						2,337						—						—						—						(2,213)						6,297						2,337
			Other privately held investments			70,011						—						—						18,694						—						6,710						(26,980)						(2,923)						65,512						1,314
						76,184						—						—						21,031						—						6,710						(26,980)						(5,136)						71,809						3,651
			Total assets			$	91,093					$	25,566					$	(28,789)					$	21,031					$	(128)					$	45,010					$	(26,980)					$	(7,389)					$	119,414					$	3,651
			Other liabilities
			Derivative instruments			$	9,122					$	—					$	—					$	(1,403)					$	—					$	—					$	—					$	—					$	7,719					$	(1,403)
			Total liabilities			$	9,122					$	—					$	—					$	(1,403)					$	—					$	—					$	—					$	—					$	7,719					$	(1,403)

(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.

						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 September 30, 2020
			Fixed maturities, available for sale
			Corporate debt			$	2,298					$	—					$	—					$	—					$	101					$	—					$	—					$	—					$	2,399					$	—
			CMBS			4,434						—						—						—						148						—						—						(1,959)						2,623						—
			Non-agency RMBS			9,562						—						—						—						70						—						—						—						9,632						—
			ABS			441						10,060						—						—						9						—						—						—						10,510						—
						16,735						10,060						—						—						328						—						—						(1,959)						25,164						—
			Other investments
			CLO-Equities			9,943						—						—						(422)						—						—						—						(332)						9,189						(422)
			Other privately held investments			37,420						—						—						797						—						1,276						—						—						39,493						566
						47,363						—						—						375						—						1,276						—						(332)						48,682						144
			Total assets			$	64,098					$	10,060					$	—					$	375					$	328					$	1,276					$	—					$	(2,291)					$	73,846					$	144
			Other liabilities
			Derivative instruments			$	9,818					$	—					$	—					$	(370)					$	—					$	—					$	—					$	—					$	9,448					$	(370)
			Total liabilities			$	9,818					$	—					$	—					$	(370)					$	—					$	—					$	—					$	—					$	9,448					$	(370)
			Nine months ended September 30, 2020
			Fixed maturities
			Corporate debt			$	2,297					$	—					$	—					$	—					$	102					$	—					$	—					$	—					$	2,399					$	—
			CMBS			5,235						—						—						—						(64)						—						—						(2,548)						2,623						—
			Non-agency RMBS			—						9,185						—						—						447						—						—						—						9,632						—
			ABS			489						10,060						—						—						(39)						—						—						—						10,510						—
						8,021						19,245						—						—						446						—						—						(2,548)						25,164						—
			Other investments
			CLO-Equities			14,328						—						—						(3,592)						—						—						—						(1,547)						9,189						(3,592)
			Other privately held investments			36,934						—						—						801						—						1,758						—						—						39,493						570
						51,262						—						—						(2,791)						—						1,758						—						(1,547)						48,682						(3,022)
			Total assets			$	59,283					$	19,245					$	—					$	(2,791)					$	446					$	1,758					$	—					$	(4,095)					$	73,846					$	(3,022)
			Other liabilities
			Derivative instruments			$	9,672					$	—					$	—					$	9,747					$	—					$	—					$	—					$	(9,971)					$	9,448					$	(224)
			Total liabilities			$	9,672					$	—					$	—					$	9,747					$	—					$	—					$	—					$	(9,971)					$	9,448					$	(224)

(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 September 30, 2021
			Fixed maturities, available for sale
			Corporate debt			$	22,726					$	—					$	—					$	—					$	(121)					$	25,000					$	—					$	—					$	47,605					$	—
			CMBS			—						—						—						—						—						—						—						—						—						—
			ABS			12,560						—						(12,582)						—						22						—						—						—						—						—
						35,286						—						(12,582)						—						(99)						25,000						—						—						47,605						—
			Other investments
			CLO-Equities			7,002						—						—						356						—						—						—						(1,061)						6,297						356
			Other privately held investments			64,786						—						—						213						—						3,436						—						(2,923)						65,512						213
						71,788						—						—						569						—						3,436						—						(3,984)						71,809						569
			Total assets			$	107,074					$	—					$	(12,582)					$	569					$	(99)					$	28,436					$	—					$	(3,984)					$	119,414					$	569
			Other liabilities
			Derivative instruments			$	8,117					$	—					$	—					$	(398)					$	—					$	—					$	—					$	—					$	7,719					$	(398)
			Total liabilities			$	8,117					$	—					$	—					$	(398)					$	—					$	—					$	—					$	—					$	7,719					$	(398)
			Nine months ended September 30, 2021
			Fixed maturities
			Corporate debt			$	2,504					$	7,000					$	—					$	—					$	(199)					$	38,300					$	—					$	—					$	47,605					$	—
			CMBS			1,740						—						—						—						13						—						—						(1,753)						—						—
			ABS			10,665						18,566						(28,789)						—						58						—						—						(500)						—						—
						14,909						25,566						(28,789)						—						(128)						38,300						—						(2,253)						47,605						—
			Other investments
			CLO-Equities			6,173						—						—						2,337						—						—						—						(2,213)						6,297						2,337
			Other privately held investments			70,011						—						—						18,694						—						6,710						(26,980)						(2,923)						65,512						1,314
						76,184						—						—						21,031						—						6,710						(26,980)						(5,136)						71,809						3,651
			Total assets			$	91,093					$	25,566					$	(28,789)					$	21,031					$	(128)					$	45,010					$	(26,980)					$	(7,389)					$	119,414					$	3,651
			Other liabilities
			Derivative instruments			$	9,122					$	—					$	—					$	(1,403)					$	—					$	—					$	—					$	—					$	7,719					$	(1,403)
			Total liabilities			$	9,122					$	—					$	—					$	(1,403)					$	—					$	—					$	—					$	—					$	7,719					$	(1,403)

(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.

						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 September 30, 2020
			Fixed maturities, available for sale
			Corporate debt			$	2,298					$	—					$	—					$	—					$	101					$	—					$	—					$	—					$	2,399					$	—
			CMBS			4,434						—						—						—						148						—						—						(1,959)						2,623						—
			Non-agency RMBS			9,562						—						—						—						70						—						—						—						9,632						—
			ABS			441						10,060						—						—						9						—						—						—						10,510						—
						16,735						10,060						—						—						328						—						—						(1,959)						25,164						—
			Other investments
			CLO-Equities			9,943						—						—						(422)						—						—						—						(332)						9,189						(422)
			Other privately held investments			37,420						—						—						797						—						1,276						—						—						39,493						566
						47,363						—						—						375						—						1,276						—						(332)						48,682						144
			Total assets			$	64,098					$	10,060					$	—					$	375					$	328					$	1,276					$	—					$	(2,291)					$	73,846					$	144
			Other liabilities
			Derivative instruments			$	9,818					$	—					$	—					$	(370)					$	—					$	—					$	—					$	—					$	9,448					$	(370)
			Total liabilities			$	9,818					$	—					$	—					$	(370)					$	—					$	—					$	—					$	—					$	9,448					$	(370)
			Nine months ended September 30, 2020
			Fixed maturities
			Corporate debt			$	2,297					$	—					$	—					$	—					$	102					$	—					$	—					$	—					$	2,399					$	—
			CMBS			5,235						—						—						—						(64)						—						—						(2,548)						2,623						—
			Non-agency RMBS			—						9,185						—						—						447						—						—						—						9,632						—
			ABS			489						10,060						—						—						(39)						—						—						—						10,510						—
						8,021						19,245						—						—						446						—						—						(2,548)						25,164						—
			Other investments
			CLO-Equities			14,328						—						—						(3,592)						—						—						—						(1,547)						9,189						(3,592)
			Other privately held investments			36,934						—						—						801						—						1,758						—						—						39,493						570
						51,262						—						—						(2,791)						—						1,758						—						(1,547)						48,682						(3,022)
			Total assets			$	59,283					$	19,245					$	—					$	(2,791)					$	446					$	1,758					$	—					$	(4,095)					$	73,846					$	(3,022)
			Other liabilities
			Derivative instruments			$	9,672					$	—					$	—					$	9,747					$	—					$	—					$	—					$	(9,971)					$	9,448					$	(224)
			Total liabilities			$	9,672					$	—					$	—					$	9,747					$	—					$	—					$	—					$	(9,971)					$	9,448					$	(224)

(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.

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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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