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FAIR VALUE MEASUREMENTS | 9 Months Ended
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Sep. 30, 2022
Fair Value Disclosures [Abstract] |
FAIR VALUE MEASUREMENTS | Fair Value Hierarchy Fair value is defined as the price to sell an asset or transfer a liability (i.e. the "exit price") in an orderly transaction between market participants. U.S. GAAP prescribes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to quoted prices in active markets and the lowest priority to unobservable data. The level in the hierarchy within which a given fair value measurement falls is determined based on the lowest level input that is significant to the measurement. The hierarchy is broken down into three levels as follows: •Level 1 - Valuations based on unadjusted quoted prices in active markets for identical assets or liabilities that the Company has the ability to access. •Level 2 - Valuations based on quoted prices in active markets for similar assets or liabilities, quoted prices for identical assets or liabilities in inactive markets, or for which significant inputs are observable (e.g. interest rates, yield curves, prepayment speeds, default rates, loss severities, etc.) or can be corroborated by observable market data. •Level 3 - Valuations based on inputs that are unobservable and significant to the overall fair value measurement. The unobservable inputs reflect the Company's judgments about assumptions that market participants might use. The availability of observable inputs can vary from financial instrument to financial instrument and is affected by a wide variety of factors including, for example, the type of financial instrument, whether the financial instrument is new and not yet established in the marketplace, and other characteristics particular to the transaction. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires significantly more judgment. Accordingly, the degree of judgment exercised by management in determining fair value is greatest for financial instruments categorized as Level 3. In periods of market dislocation, the observability of prices and inputs may be reduced for many financial instruments. This may lead the Company to change the selection of valuation technique (from market to cash flow approach) or may cause the Company to use multiple valuation techniques to estimate the fair value of a financial instrument. This circumstance could cause an instrument to be reclassified between levels within the fair value hierarchy. Valuation Techniques The valuation techniques, including significant inputs and assumptions generally used to determine the fair values of the Company's financial instruments as well as the classification of the fair values of its financial instruments in the fair value hierarchy are described in detail below. Fixed Maturities At each valuation date, the Company uses the market approach valuation technique to estimate the fair value of its fixed maturities portfolio, where possible. The market approach includes, but is not limited to, prices obtained from third-party pricing services for identical or comparable securities and the use of "pricing matrix models" using observable market inputs such as yield curves, credit risks and spreads, measures of volatility, and prepayment speeds. Pricing from third-party pricing services is sourced from multiple vendors, where available, and the Company maintains a vendor hierarchy by asset type based on historical pricing experience and vendor expertise. Where prices are unavailable from pricing services, the Company obtains non-binding quotes from broker-dealers who are active in the corresponding markets. The valuation techniques including significant inputs and assumptions generally used to determine the fair values of the Company's fixed maturities by asset class as well as the classifications of the fair values of these securities in the fair value hierarchy are described in detail below. U.S. Government and Agency U.S. government and agency securities consist primarily of bonds issued by the U.S. Treasury and mortgage pass-through agencies such as the Federal National Mortgage Association, the Federal Home Loan Mortgage Corporation and the Government National Mortgage Association. As the fair values of U.S. Treasury securities are based on unadjusted quoted market prices in active markets, the fair values of these securities are classified as Level 1. The fair values of U.S. government agency securities are determined using the spread above the risk-free yield curve. As the yields for the risk-free yield curve and the spreads are observable market inputs, the fair values of U.S. government agency securities are classified as Level 2. Non-U.S. Government Non-U.S. government securities include bonds issued by non-U.S. governments and their agencies along with supranational organizations (collectively also known as sovereign debt securities). The fair values of these securities are based on prices obtained from international indices or valuation models that include inputs such as interest rate yield curves, cross-currency basis index spreads, and country credit spreads for structures similar to the sovereign bond in terms of issuer, maturity and seniority. As the significant inputs used to price these securities are observable market inputs, the fair values of non-U.S. government securities are classified as Level 2. Corporate Debt Corporate debt securities consist primarily of investment-grade debt of a wide variety of corporate issuers and industries. The fair values of these securities are generally determined using the spread above the risk-free yield curve. These spreads are generally obtained from the new issue market, secondary trading and broker-dealer quotes. As the yields for the risk-free yield curve and the spreads are observable market inputs, the fair values of corporate debt securities are generally classified as Level 2. Where pricing is unavailable from pricing services, the Company obtains non-binding quotes from broker-dealers to estimate fair value. This is generally the case when there is a low volume of trading activity and current transactions are not orderly. In this event, the fair values of these securities are classified as Level 3. Agency RMBS Agency RMBS consist of bonds issued by the Federal National Mortgage Association, the Federal Home Loan Mortgage Corporation and the Government National Mortgage Association. The fair values of these securities are priced using a mortgage pool specific model which uses daily inputs from the active to be announced market and the spread associated with each mortgage pool based on vintage. As the significant inputs used to price these securities are observable market inputs, the fair values of Agency RMBS are classified as Level 2. CMBS CMBS mainly include investment-grade bonds originated by non-agencies. The fair values of these securities are determined using a pricing model which uses dealer quotes and other available trade information along with security level characteristics to determine deal specific spreads. As the significant inputs used to price these securities are observable market inputs, the fair values of CMBS are generally classified as Level 2. Where pricing is unavailable from pricing services, the Company obtains non-binding quotes from broker-dealers to estimate fair value. This is generally the case when there is a low volume of trading activity and current transactions are not orderly. I n this event, the fair values of these securities are classified as Level 3. Non-agency RMBS Non-agency RMBS mainly include investment-grade bonds originated by non-agencies. The fair values of these securities are determined using an option adjusted spread model or other relevant models, which use inputs including available trade information or broker quotes, prepayment and default projections based on historical statistics of the underlying collateral and current market data. As the significant inputs used to price these securities are observable market inputs, the fair values of non-agency RMBS are generally classified as Level 2. Where pricing is unavailable from pricing services, the Company obtains non-binding quotes from broker-dealers to estimate fair value. This is generally the case when there is a low volume of trading activity and current transactions are not orderly. I n this event, the fair values of these securities are classified as Level 3. ABS ABS mainly include investment-grade bonds backed by pools of loans with a variety of underlying collateral, including auto loans, student loans, credit card receivables and collateralized loan obligations ("CLOs"), originated by a variety of financial institutions. The fair values of these securities are determined using a model which uses prepayment speeds and spreads sourced primarily from the new issue market. As the significant inputs used to price these securities are observable market inputs, the fair values of ABS are generally classified as Level 2. Where pricing is unavailable from pricing services, the Company obtains non-binding quotes from broker-dealers t o estimate fair value. This is generally the case when there is a low volume of trading activity and current transactions are not orderly. I n this event, the fair values of these securities are classified as Level 3. Municipals Municipals comprise revenue bonds and general obligation bonds issued by U.S. domiciled state and municipal entities. The fair values of these securities are determined using spreads obtained from the new issue market, trade prices and broker-dealers quotes. As the significant inputs used to price these securities are observable market inputs, the fair values of municipals are classified as Level 2. Equity Securities Equity securities include common stocks, preferred stocks, exchange-traded funds and bond mutual funds. As the fair values of common stocks, preferred stocks and exchange-traded funds are based on unadjusted quoted market prices in active markets, the fair values of these securities are classified as Level 1. As bond mutual funds have daily liquidity, the fair values of these securities are classified as Level 2. Other Investments The fair value of an indirect investment in CLO-Equities is estimated using an income approach valuation technique, specifically an externally developed discounted cash flow model due to the lack of observable and relevant trades in secondary markets. As the significant inputs used to price this security are unobservable, the fair value of the indirect investment in CLO-Equities is classified as Level 3. Other privately held investments include convertible preferred shares, common shares, convertible notes, investments in limited partnerships and a variable yield security. These investments are initially valued at cost, which approximates fair value. In subsequent measurement periods, the fair values of these investments is derived from one or a combination of valuation methodologies which consider factors including recent capital raises by the investee companies, comparable precedent transaction multiples, comparable publicly traded multiples, third-party valuations, discounted cash-flow models, and other techniques that account for the industry and development stage of each investee company. The fair value of the variable yield security is determined using an externally developed discounted cash flow model. In order to assess the reasonableness of the information received from investee companies, the Company maintains an understanding of current market conditions, historical results, and emerging trends that may impact the results of operations, financial condition or liquidity of these companies. In addition, the Company engages in regular communication with management at investee companies. As the significant inputs used to price these investments are unobservable, the fair values of other privately held investments are classified as Level 3. Short-term Investments Short-term investments primarily comprise highly liquid securities with maturities greater than three months but less than one year from the date of purchase. These securities are typically not actively traded due to their approaching maturity, therefore their amortized cost approximates fair value. The fair values of short-term investments are classified as Level 2. Derivative Instruments Derivative instruments include foreign exchange forward contracts that are customized to the Company's economic hedging strategies and trade in the over-the-counter derivative market. The fair values of these derivatives are determined using a market approach valuation technique based on significant observable market inputs from third-party pricing vendors, non-binding broker-dealer quotes and/or recent trading activity. As the significant inputs used to price these derivatives are observable market inputs, the fair values of these derivatives are classified as Level 2. Other underwriting-related derivatives include insurance and reinsurance contracts that are accounted for as derivatives. These derivative contracts are initially valued at cost which approximates fair value. In subsequent measurement periods, the fair values of these derivatives are determined using internally developed discounted cash flow models. As the significant inputs used to price these derivatives are unobservable, the fair values of these contracts are classified as Level 3. Cash-Settled Awards Cash-settled awards comprise restricted stock units that form part of the Company's compensation program. Although the fair values of these awards are determined using observable quoted market prices in active markets, the restricted stock units are not actively traded. As the significant inputs used to price these securities are observable market inputs, the fair values of these liabilities are classified as Level 2. 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. 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. Other Investments - CLO-Equities The CLO-Equities market continues to be relatively inactive with only a small number of transactions being observed, particularly related to transactions involving CLO-Equities held by the Company. Accordingly, the fair value of the Company's indirect investment in CLO-Equities is determined using a discounted cash flow model prepared by an external investment manager. The default and loss severity rates are the most judgmental unobservable market inputs to the discounted cash flow model to which the valuation of the Company's indirect investment in CLO-Equities is most sensitive. A significant increase (decrease) in either of these significant inputs in isolation would result in a lower (higher) fair value estimate for the investment in CLO-Equities and, in general, a change in default rate assumptions would be accompanied by a directionally similar change in loss severity rate assumptions. Collateral spreads and estimated maturity dates are less judgmental inputs as they are based on the historical average of actual spreads and the weighted average life of the current underlying portfolios, respectively. A significant increase (decrease) in either of these significant inputs in isolation would result in a higher (lower) fair value estimate for the investment in CLO-Equities. In general, these inputs have no significant interrelationship with each other or with default and loss severity rates. On a quarterly basis, the Company's valuation process for its indirect investment in CLO-Equities includes a review of the underlying cash flows and key assumptions used in the discounted cash flow model. The above significant unobservable inputs are reviewed and updated based on information obtained from secondary markets, including information received from the managers of the Company's CLO-Equities investment. In order to assess the reasonableness of the inputs the Company uses in the discounted cash flow model, the Company maintains an understanding of current market conditions, historical results, and emerging trends that may impact future cash flows. In addition, the assumptions the Company uses in its models are updated through regular communication with industry participants and ongoing monitoring of the deals in which the Company participates. Other Investments - Other Privately Held Securities Other privately held securities are initially valued at cost which approximates fair value. In subsequent measurement periods, the fair value of the variable yield security was determined using an externally developed discounted cash flow model. This model includes inputs that are specific to that investment. The inputs used in the fair value measurement include an appropriate discount rate, default rate, loss absorption rate and estimated maturity date. The selection of an appropriate discount rate is judgmental and is the most significant unobservable input used in the valuation of this investment. A significant increase (decrease) in this input in isolation could result in significantly lower (higher) fair value measurement for this investment. In order to assess the reasonableness of the inputs the Company uses in the discounted cash flow model, the Company maintains an understanding of current market conditions, historical results, as well as investee specific information that may impact future cash flows. Derivatives - Other Underwriting-related Derivatives Other underwriting-related derivatives are initially valued at cost which approximates fair value. In subsequent measurement periods, the fair values of these derivatives are determined using internally developed discounted cash flow models which use appropriate discount rates. The selection of an appropriate discount rate is judgmental and is the most significant unobservable input used in the valuation of these derivatives. A significant increase (decrease) in this input in isolation could result in a significantly lower (higher) fair value measurement for the derivative contracts. In order to assess the reasonableness of the inputs the Company uses in the discounted cash flow model, the Company maintains an understanding of current market conditions, historical results, as well as contract specific information that may impact future cash flows. 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. Transfers into Level 3 from Level 2 There were no transfers into Level 3 from Level 2 during the three and nine months ended September 30, 2022. There were no transfers into Level 3 from Level 2 during the three months ended September 30, 2021. The transfers into Level 3 from Level 2 during the nine months ended September 30, 2021 were primarily due to the lack of observable market inputs and multiple quotes from pricing vendors and broker-dealers for certain fixed maturities. Transfers out of Level 3 into Level 2 There were no transfers out of Level 3 into Level 2 during the three and nine months ended September 30, 2022. The transfers out of Level 3 into Level 2 during the three and nine months ended September 30, 2021 were primarily due to the availability of observable market inputs and multiple quotes from pricing vendors for certain fixed maturities. Measuring the Fair Value of Other Investments Using Net Asset Valuations The fair values of hedge funds, direct lending funds, private equity funds and real estate funds are estimated using net asset valuations ("NAVs") as advised by external fund managers or third-party administrators. For these funds, NAVs are based on the manager's or administrator's valuation of the underlying holdings in accordance with the fund's governing documents and in accordance with U.S. GAAP. For hedge funds, direct lending funds, private equity funds and real estate funds, valuation statements are typically released on a reporting lag, therefore, the Company estimates the fair value of these funds by starting with the most recent fund valuations and adjusting for capital calls, redemptions, drawdowns and distributions. Return estimates are not available from the relevant fund managers for these funds, therefore the Company typically has a reporting lag in its fair value measurements of these funds. At September 30, 2022 and December 31, 2021 all funds measured at fair value using NAVs are reported generally on a one quarter lag. The Company often does not have access to financial information relating to the underlying securities held within the funds, therefore, management is unable to corroborate the fair values placed on the securities underlying the asset valuations provided by fund managers or fund administrators. In order to assess the reasonableness of the NAVs, the Company performs a number of monitoring procedures on a quarterly basis, to assess the quality of the information provided by fund managers and fund administrators. These procedures include, but are not limited to, regular review and discussion of each fund's performance with its manager, regular evaluation of fund performance against applicable benchmarks and the backtesting of the Company's fair value estimates against subsequently received NAVs. Backtesting involves comparing the Company's previously reported fair values for each fund against NAVs per audited financial statements (for year-end values) and final NAVs from fund managers and fund administrators (for interim values). The fair values of hedge funds, direct lending funds, private equity funds and real estate funds are measured using the NAV practical expedient, therefore the fair values of these funds have not been categorized within the fair value hierarchy. Financial Instruments Disclosed, But Not Carried, at Fair Value The fair value of financial instruments accounting guidance also applies to financial instruments disclosed, but not carried, at fair value, except for certain financial instruments, including insurance contracts. At September 30, 2022, the carrying values of cash and cash equivalents including restricted amounts, accrued investment income, receivable for investments sold, certain other assets, payable for investments purchased and certain other liabilities approximated fair values due to their short maturities. As these financial instruments are not actively traded, their fair values are classified as Level 2. At September 30, 2022, the Company's fixed maturities held to maturity, were recorded at amortized cost with a carrying value of $690 million (2021: $446 million) and a fair value of $664 million (2021: $445 million). The fair values of these securities are determined using a model which uses prepayment speeds and spreads sourced primarily from the new issue market. As the significant inputs used to price these securities are observable market inputs, their fair values are classified as Level 2. At September 30, 2022, the carrying value of mortgage loans, held for investment, approximated fair value. The fair values of mortgage loans are primarily determined by estimating expected future cash flows and discounting them using current interest rates for similar mortgage loans with similar credit risk or are determined from pricing for similar loans. As mortgage loans are not actively traded, their fair values are classified as Level 3. At September 30, 2022, the Company's debt was recorded at amortized cost with a carrying value of $1,313 million (2021: $1,311 million) and a fair value of $1,136 million (2021: $1,453 million). The fair value of the Company's debt is based on prices obtained from a third-party pricing service and is determined using the spread above the risk-free yield curve. These spreads are generally obtained from the new issue market, secondary trading and broker-dealer quotes. As the yields for the risk-free yield curve and the spreads are observable market inputs, the fair value of the Company's debt is classified as Level 2. At September 30, 2022, Federal Home Loan Bank advances were recorded at amortized cost with a carrying value of $81 million (2021: $nil) and a fair value of $81 million (2021: $nil).

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- Definition The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information. + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -URI https://asc.fasb.org/extlink&oid=126976982&loc=d3e19207-110258 + Details
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