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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
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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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