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FAIR VALUE MEASUREMENTS (Tables)

3 Months Ended

Mar. 31, 2022

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, 2022
			Assets
			Fixed maturities, available for sale
			U.S. government and agency			$	2,226,233					$	46,970					$	—					$	—					$	2,273,203
			Non-U.S. government			—						739,133						—						—						739,133
			Corporate debt			—						4,412,661						60,890						—						4,473,551
			Agency RMBS			—						935,837						—						—						935,837
			CMBS			—						1,159,385						—						—						1,159,385
			Non-agency RMBS			—						174,888						—						—						174,888
			ABS			—						1,534,005						—						—						1,534,005
			Municipals			—						166,022						—						—						166,022
						2,226,233						9,168,901						60,890						—						11,456,024
			Equity securities
			Common stocks			1,509						—						—						—						1,509
			Preferred stocks			191						—						—						—						191
			Exchange-traded funds			320,256						—						—						—						320,256
			Bond mutual funds			—						241,994						—						—						241,994
						321,956						241,994						—						—						563,950
			Other investments
			Hedge funds (1)			—						—						—						51,617						51,617
			Direct lending funds			—						—						—						276,211						276,211
			Private equity funds			—						—						—						260,596						260,596
			Real estate funds			—						—						—						245,823						245,823
			CLO-Equities			—						—						4,881						—						4,881
			Other privately held investments			—						—						115,474						—						115,474
						—						—						120,355						834,247						954,602
			Short-term investments			—						70,385						—						—						70,385
			Other assets
			Derivative instruments (refer to Note 5)			—						1,091						—						—						1,091
			Total Assets			$	2,548,189					$	9,482,371					$	181,245					$	834,247					$	13,046,052
			Liabilities
			Derivative instruments (refer to Note 5)			$	—					$	18,892					$	5,074					$	—					$	23,966
			Cash-settled awards (refer to Note 8)			—						3,023						—						—						3,023
			Total Liabilities			$	—					$	21,915					$	5,074					$	—					$	26,989

(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, 2021
			Assets
			Fixed maturities, available for sale
			U.S. government and agency			$	2,632,541					$	49,907					$	—					$	—					$	2,682,448
			Non-U.S. government			—						795,178						—						—						795,178
			Corporate debt			—						4,452,418						42,894						—						4,495,312
			Agency RMBS			—						1,074,589						—						—						1,074,589
			CMBS			—						1,248,191						—						—						1,248,191
			Non-agency RMBS			—						186,164						—						—						186,164
			ABS			—						1,622,480						—						—						1,622,480
			Municipals			—						208,838						—						—						208,838
						2,632,541						9,637,765						42,894						—						12,313,200
			Equity securities
			Common stocks			1,364						—						—						—						1,364
			Preferred stocks			179						—						—						—						179
			Exchange-traded funds			336,815						—						—						—						336,815
			Bond mutual funds			—						317,317						—						—						317,317
						338,358						317,317						—						—						655,675
			Other investments
			Hedge funds (1)			—						—						—						59,488						59,488
			Direct lending funds			—						—						—						289,867						289,867
			Private equity funds			—						—						—						249,974						249,974
			Real estate funds			—						—						—						238,222						238,222
			CLO-Equities			—						—						5,910						—						5,910
			Other privately held investments			—						—						104,521						—						104,521
						—						—						110,431						837,551						947,982
			Short-term investments			—						31,063						—						—						31,063
			Other assets
			Derivative instruments (refer to Note 5)			—						3,116						—						—						3,116
			Total Assets			$	2,970,899					$	9,989,261					$	153,325					$	837,551					$	13,951,036
			Liabilities
			Derivative instruments (refer to Note 5)			$	—					$	14,987					$	5,630					$	—					$	20,617
			Cash-settled awards (refer to Note 8)			—						9,091						—						—						9,091
			Total Liabilities			$	—					$	24,078					$	5,630					$	—					$	29,708

(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, 2022 of investments classified as Level 3 in the fair value hierarchy:

						Fair value			Valuation technique			Unobservable input			Amount / Range			Weighted average
			Other investments - CLO-Equities			$	4,881		Discounted cash flow			Default rate			4.5%			4.5%
												Loss severity rate			50.0%			50.0%
												Collateral spread			3.0%			3.0%
												Estimated maturity date			6 years			6 years
			Other investments - Other privately held investments			$	20,867		Discounted cash flow			Discount rate			2.5%			2.5%
												Default rate			0.5%			0.5%
												Loss absorption yield			1.0%			1.0%
												Estimated maturity date			2-4 years			3 years
			Derivatives - Other underwriting-related derivatives			$	(5,074)		Discounted cash flow			Discount rate			2.5%			2.5%

Note: Fixed maturities of $61 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 $95 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)
			Three months ended March 31, 2022
			Fixed maturities, available for sale
			Corporate debt			$	42,894					$	—					$	—					$	—					$	(2,794)					$	21,462					$	—					$	(672)					$	60,890					$	—
			CMBS			—						—						—						—						—						—						—						—						—						—
			ABS			—						—						—						—						—						—						—						—						—						—
						42,894						—						—						—						(2,794)						21,462						—						(672)						60,890						—
			Other investments
			CLO-Equities			5,910						—						—						872						—						—						—						(1,901)						4,881						872
			Other privately held investments			104,521						—						—						1,618						—						9,335						—						—						115,474						1,618
						110,431						—						—						2,490						—						9,335						—						(1,901)						120,355						2,490
			Total assets			$	153,325					$	—					$	—					$	2,490					$	(2,794)					$	30,797					$	—					$	(2,573)					$	181,245					$	2,490
			Other liabilities
			Derivative instruments			$	5,630					$	—					$	—					$	(556)					$	—					$	—					$	—					$	—					$	5,074					$	(556)
			Total liabilities			$	5,630					$	—					$	—					$	(556)					$	—					$	—					$	—					$	—					$	5,074					$	(556)
			Three months ended March 31, 2021
			Fixed maturities
			Corporate debt			$	2,504					$	—					$	—					$	—					$	(99)					$	—					$	—					$	—					$	2,405					$	—
			CMBS			1,740						—						—						—						14						—						—						(849)						905						—
			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)

(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 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)
			Three months ended March 31, 2022
			Fixed maturities, available for sale
			Corporate debt			$	42,894					$	—					$	—					$	—					$	(2,794)					$	21,462					$	—					$	(672)					$	60,890					$	—
			CMBS			—						—						—						—						—						—						—						—						—						—
			ABS			—						—						—						—						—						—						—						—						—						—
						42,894						—						—						—						(2,794)						21,462						—						(672)						60,890						—
			Other investments
			CLO-Equities			5,910						—						—						872						—						—						—						(1,901)						4,881						872
			Other privately held investments			104,521						—						—						1,618						—						9,335						—						—						115,474						1,618
						110,431						—						—						2,490						—						9,335						—						(1,901)						120,355						2,490
			Total assets			$	153,325					$	—					$	—					$	2,490					$	(2,794)					$	30,797					$	—					$	(2,573)					$	181,245					$	2,490
			Other liabilities
			Derivative instruments			$	5,630					$	—					$	—					$	(556)					$	—					$	—					$	—					$	—					$	5,074					$	(556)
			Total liabilities			$	5,630					$	—					$	—					$	(556)					$	—					$	—					$	—					$	—					$	5,074					$	(556)
			Three months ended March 31, 2021
			Fixed maturities
			Corporate debt			$	2,504					$	—					$	—					$	—					$	(99)					$	—					$	—					$	—					$	2,405					$	—
			CMBS			1,740						—						—						—						14						—						—						(849)						905						—
			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)

(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.

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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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