XML 37 R27.htm IDEA: XBRL DOCUMENT
v3.22.2.2

FAIR VALUE MEASUREMENTS (Tables) | 9 Months Ended
--- | ---
Sep. 30, 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 September 30, 2022 |  |  |  |  |  |  |  |  |  |
| Assets |  |  |  |  |  |  |  |  |  |
| Fixed maturities, available for sale |  |  |  |  |  |  |  |  |  |
| U.S. government and agency | $ | 2,348,010 |  |  | $ | 38,498 |  |  | $ | — |  |  | $ | — |  |  | $ | 2,386,508 |  |
| Non-U.S. government | — |  |  | 515,695 |  |  | — |  |  | — |  |  | 515,695 |  |
| Corporate debt | — |  |  | 4,044,161 |  |  | 95,951 |  |  | — |  |  | 4,140,112 |  |
| Agency RMBS | — |  |  | 1,016,008 |  |  | — |  |  | — |  |  | 1,016,008 |  |
| CMBS | — |  |  | 1,005,008 |  |  | — |  |  | — |  |  | 1,005,008 |  |
| Non-agency RMBS | — |  |  | 141,356 |  |  | — |  |  | — |  |  | 141,356 |  |
| ABS | — |  |  | 1,436,712 |  |  | — |  |  | — |  |  | 1,436,712 |  |
| Municipals | — |  |  | 142,954 |  |  | — |  |  | — |  |  | 142,954 |  |
|  | 2,348,010 |  |  | 8,340,392 |  |  | 95,951 |  |  | — |  |  | 10,784,353 |  |
| Equity securities |  |  |  |  |  |  |  |  |  |
| Common stocks | 11,287 |  |  | — |  |  | — |  |  | — |  |  | 11,287 |  |
| Preferred stocks | 72 |  |  | — |  |  | — |  |  | — |  |  | 72 |  |
| Exchange-traded funds | 270,580 |  |  | — |  |  | — |  |  | — |  |  | 270,580 |  |
| Bond mutual funds | — |  |  | 187,900 |  |  | — |  |  | — |  |  | 187,900 |  |
|  | 281,939 |  |  | 187,900 |  |  | — |  |  | — |  |  | 469,839 |  |
| Other investments |  |  |  |  |  |  |  |  |  |
| Hedge funds (1) | — |  |  | — |  |  | — |  |  | 39,138 |  |  | 39,138 |  |
| Direct lending funds | — |  |  | — |  |  | — |  |  | 249,561 |  |  | 249,561 |  |
| Private equity funds | — |  |  | — |  |  | — |  |  | 268,593 |  |  | 268,593 |  |
| Real estate funds | — |  |  | — |  |  | — |  |  | 287,932 |  |  | 287,932 |  |
| CLO-Equities | — |  |  | — |  |  | 5,167 |  |  | — |  |  | 5,167 |  |
| Other privately held investments | — |  |  | — |  |  | 119,919 |  |  | — |  |  | 119,919 |  |
|  | — |  |  | — |  |  | 125,086 |  |  | 845,224 |  |  | 970,310 |  |
| Short-term investments | — |  |  | 80,260 |  |  | — |  |  | — |  |  | 80,260 |  |
| Other assets |  |  |  |  |  |  |  |  |  |
| Derivative instruments (refer to Note 5) | — |  |  | 13,929 |  |  | — |  |  | — |  |  | 13,929 |  |
| Total Assets | $ | 2,629,949 |  |  | $ | 8,622,481 |  |  | $ | 221,037 |  |  | $ | 845,224 |  |  | $ | 12,318,691 |  |
| Liabilities |  |  |  |  |  |  |  |  |  |
| Derivative instruments (refer to Note 5) | $ | — |  |  | $ | 20,207 |  |  | $ | 4,286 |  |  | $ | — |  |  | $ | 24,493 |  |
| Cash-settled awards (refer to Note 8) | — |  |  | 4,084 |  |  | — |  |  | — |  |  | 4,084 |  |
| Total Liabilities | $ | — |  |  | $ | 24,291 |  |  | $ | 4,286 |  |  | $ | — |  |  | $ | 28,577 |  |
(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 September 30, 2022 of investments classified as Level 3 in the fair value hierarchy:
|  | Asset / Liability - Fair value | Valuation technique | Unobservable input | Amount / Range | Weighted average |
| Other investments - CLO-Equities | $ | 5,167 |  | 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 | $ | 15,910 |  | Discounted cash flow | Discount rate | 5.4% | 5.4% |
|  |  | Default rate | 0.5% | 0.5% |
|  |  |  | Loss absorption yield | 1.0% | 1.0% |
|  |  |  | Estimated maturity date | 2-3 years | 3 years |
| Derivatives - Other underwriting-related derivatives | $ | (4,286) |  | Discounted cash flow | Discount rate | 4.1% | 4.1% |
Note: Fixed maturities of $96 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 $104 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 September 30, 2022 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Fixed maturities, available for sale |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Corporate debt | $ | 72,830 |  |  | $ | — |  |  | $ | — |  |  | $ | (34) |  |  | $ | (3,977) |  |  | $ | 27,600 |  |  | $ | — |  |  | $ | (468) |  |  | $ | 95,951 |  |  | $ | — |  |  |
| CMBS | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  |
| ABS | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  |
|  | 72,830 |  |  | — |  |  | — |  |  | (34) |  |  | (3,977) |  |  | 27,600 |  |  | — |  |  | (468) |  |  | 95,951 |  |  | — |  |  |
| Other investments |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CLO-Equities | 4,808 |  |  | — |  |  | — |  |  | 890 |  |  | — |  |  | — |  |  | — |  |  | (531) |  |  | 5,167 |  |  | 890 |  |  |
| Other privately held investments | 115,970 |  |  | — |  |  | — |  |  | 1,249 |  |  | — |  |  | 2,700 |  |  | — |  |  | — |  |  | 119,919 |  |  | 1,249 |  |  |
|  | 120,778 |  |  | — |  |  | — |  |  | 2,139 |  |  | — |  |  | 2,700 |  |  | — |  |  | (531) |  |  | 125,086 |  |  | 2,139 |  |  |
| Total assets | $ | 193,608 |  |  | $ | — |  |  | $ | — |  |  | $ | 2,105 |  |  | $ | (3,977) |  |  | $ | 30,300 |  |  | $ | — |  |  | $ | (999) |  |  | $ | 221,037 |  |  | $ | 2,139 |  |  |
| Other liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Derivative instruments | $ | 4,708 |  |  | $ | — |  |  | $ | — |  |  | $ | (422) |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 4,286 |  |  | $ | (422) |  |  |
| Total liabilities | $ | 4,708 |  |  | $ | — |  |  | $ | — |  |  | $ | (422) |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 4,286 |  |  | $ | (422) |  |  |
| Nine months ended September 30, 2022 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Fixed maturities, available for sale |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Corporate debt | $ | 42,894 |  |  | $ | — |  |  | $ | — |  |  | $ | (34) |  |  | $ | (10,600) |  |  | $ | 64,832 |  |  | $ | — |  |  | $ | (1,141) |  |  | $ | 95,951 |  |  | $ | — |  |  |
| CMBS | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  |
| ABS | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  |
|  | 42,894 |  |  | — |  |  | — |  |  | (34) |  |  | (10,600) |  |  | 64,832 |  |  | — |  |  | (1,141) |  |  | 95,951 |  |  | — |  |  |
| Other investments |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CLO-Equities | 5,910 |  |  | — |  |  | — |  |  | 2,566 |  |  | — |  |  | — |  |  | — |  |  | (3,309) |  |  | 5,167 |  |  | 2,566 |  |  |
| Other privately held investments | 104,521 |  |  | — |  |  | — |  |  | (2,242) |  |  | — |  |  | 19,640 |  |  | — |  |  | (2,000) |  |  | 119,919 |  |  | (2,242) |  |  |
|  | 110,431 |  |  | — |  |  | — |  |  | 324 |  |  | — |  |  | 19,640 |  |  | — |  |  | (5,309) |  |  | 125,086 |  |  | 324 |  |  |
| Total assets | $ | 153,325 |  |  | $ | — |  |  | $ | — |  |  | $ | 290 |  |  | $ | (10,600) |  |  | $ | 84,472 |  |  | $ | — |  |  | $ | (6,450) |  |  | $ | 221,037 |  |  | $ | 324 |  |  |
| Other liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Derivative instruments | $ | 5,630 |  |  | $ | — |  |  | $ | — |  |  | $ | (1,344) |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 4,286 |  |  | $ | (1,344) |  |  |
| Total liabilities | $ | 5,630 |  |  | $ | — |  |  | $ | — |  |  | $ | (1,344) |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 4,286 |  |  | $ | (1,344) |  |  |
(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, 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, available for sale |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| 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.
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 September 30, 2022 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Fixed maturities, available for sale |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Corporate debt | $ | 72,830 |  |  | $ | — |  |  | $ | — |  |  | $ | (34) |  |  | $ | (3,977) |  |  | $ | 27,600 |  |  | $ | — |  |  | $ | (468) |  |  | $ | 95,951 |  |  | $ | — |  |  |
| CMBS | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  |
| ABS | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  |
|  | 72,830 |  |  | — |  |  | — |  |  | (34) |  |  | (3,977) |  |  | 27,600 |  |  | — |  |  | (468) |  |  | 95,951 |  |  | — |  |  |
| Other investments |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CLO-Equities | 4,808 |  |  | — |  |  | — |  |  | 890 |  |  | — |  |  | — |  |  | — |  |  | (531) |  |  | 5,167 |  |  | 890 |  |  |
| Other privately held investments | 115,970 |  |  | — |  |  | — |  |  | 1,249 |  |  | — |  |  | 2,700 |  |  | — |  |  | — |  |  | 119,919 |  |  | 1,249 |  |  |
|  | 120,778 |  |  | — |  |  | — |  |  | 2,139 |  |  | — |  |  | 2,700 |  |  | — |  |  | (531) |  |  | 125,086 |  |  | 2,139 |  |  |
| Total assets | $ | 193,608 |  |  | $ | — |  |  | $ | — |  |  | $ | 2,105 |  |  | $ | (3,977) |  |  | $ | 30,300 |  |  | $ | — |  |  | $ | (999) |  |  | $ | 221,037 |  |  | $ | 2,139 |  |  |
| Other liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Derivative instruments | $ | 4,708 |  |  | $ | — |  |  | $ | — |  |  | $ | (422) |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 4,286 |  |  | $ | (422) |  |  |
| Total liabilities | $ | 4,708 |  |  | $ | — |  |  | $ | — |  |  | $ | (422) |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 4,286 |  |  | $ | (422) |  |  |
| Nine months ended September 30, 2022 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Fixed maturities, available for sale |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Corporate debt | $ | 42,894 |  |  | $ | — |  |  | $ | — |  |  | $ | (34) |  |  | $ | (10,600) |  |  | $ | 64,832 |  |  | $ | — |  |  | $ | (1,141) |  |  | $ | 95,951 |  |  | $ | — |  |  |
| CMBS | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  |
| ABS | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  |
|  | 42,894 |  |  | — |  |  | — |  |  | (34) |  |  | (10,600) |  |  | 64,832 |  |  | — |  |  | (1,141) |  |  | 95,951 |  |  | — |  |  |
| Other investments |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CLO-Equities | 5,910 |  |  | — |  |  | — |  |  | 2,566 |  |  | — |  |  | — |  |  | — |  |  | (3,309) |  |  | 5,167 |  |  | 2,566 |  |  |
| Other privately held investments | 104,521 |  |  | — |  |  | — |  |  | (2,242) |  |  | — |  |  | 19,640 |  |  | — |  |  | (2,000) |  |  | 119,919 |  |  | (2,242) |  |  |
|  | 110,431 |  |  | — |  |  | — |  |  | 324 |  |  | — |  |  | 19,640 |  |  | — |  |  | (5,309) |  |  | 125,086 |  |  | 324 |  |  |
| Total assets | $ | 153,325 |  |  | $ | — |  |  | $ | — |  |  | $ | 290 |  |  | $ | (10,600) |  |  | $ | 84,472 |  |  | $ | — |  |  | $ | (6,450) |  |  | $ | 221,037 |  |  | $ | 324 |  |  |
| Other liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Derivative instruments | $ | 5,630 |  |  | $ | — |  |  | $ | — |  |  | $ | (1,344) |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 4,286 |  |  | $ | (1,344) |  |  |
| Total liabilities | $ | 5,630 |  |  | $ | — |  |  | $ | — |  |  | $ | (1,344) |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 4,286 |  |  | $ | (1,344) |  |  |
(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, 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, available for sale |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| 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.

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 https://asc.fasb.org/extlink&oid=126976982&loc=d3e19207-110258 + Details
Name: | us-gaap_FairValueAssetsAndLiabilitiesMeasuredOnRecurringAndNonrecurringBasisValuationTechniquesTableTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types: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 https://asc.fasb.org/extlink&oid=126976982&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 https://asc.fasb.org/extlink&oid=126976982&loc=d3e19207-110258 + Details
Name: | us-gaap_FairValueAssetsMeasuredOnRecurringBasisUnobservableInputReconciliationTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types: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 https://asc.fasb.org/extlink&oid=126976982&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 https://asc.fasb.org/extlink&oid=126976982&loc=d3e19279-110258 + Details
Name: | us-gaap_FairValueLiabilitiesMeasuredOnRecurringBasisUnobservableInputReconciliationTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types: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 https://asc.fasb.org/extlink&oid=126976982&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 https://asc.fasb.org/extlink&oid=126976982&loc=d3e19207-110258 + Details
Name: | us-gaap_ScheduleOfFairValueAssetsAndLiabilitiesMeasuredOnRecurringBasisTableTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration