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FAIR VALUE MEASUREMENTS (Tables)

3 Months Ended

Mar. 31, 2023

Fair Value Disclosures [Abstract]

FINANCIAL INSTRUMENTS MEASURED AT FAIR VALUE ON A RECURRING BASIS

The tables below present the financial instruments measured at fair value on a recurring basis for the periods indicated:

						Quoted prices in active markets for identical assets (Level 1)						Significant other observable inputs (Level 2)						Significant unobservable inputs (Level 3)						Fair value based on NAV practical expedient						Total fair value
			At March 31, 2023
			Assets
			Fixed maturities, available for sale
			U.S. government and agency			$	2,862,087					$	39,225					$	—					$	—					$	2,901,312
			Non-U.S. government			—						558,077						—						—						558,077
			Corporate debt			—						4,166,785						130,427						—						4,297,212
			Agency RMBS			—						1,272,161						—						—						1,272,161
			CMBS			—						923,503						—						—						923,503
			Non-agency RMBS			—						129,485						—						—						129,485
			ABS			—						1,397,383						—						—						1,397,383
			Municipals			—						148,422						—						—						148,422
						2,862,087						8,635,041						130,427						—						11,627,555
			Equity securities
			Common stocks			3,014						—						—						—						3,014
			Preferred stocks			2						—						—						—						2
			Exchange-traded funds			279,719						—						—						—						279,719
			Bond mutual funds			—						291,181						—						—						291,181
						282,735						291,181						—						—						573,916
			Other investments
			Multi-strategy funds			—						—						—						30,721						30,721
			Direct lending funds			—						—						—						258,183						258,183
			Private equity funds			—						—						—						273,859						273,859
			Real estate funds			—						—						—						300,152						300,152
			CLO-Equities			—						—						5,019						—						5,019
			Other privately held investments			—						—						140,953						—						140,953
						—						—						145,972						862,915						1,008,887
			Short-term investments			—						70,416						—						—						70,416
			Other assets
			Derivative instruments (refer to Note 5)			—						7,752						—						—						7,752
			Total Assets			$	3,144,822					$	9,004,390					$	276,399					$	862,915					$	13,288,526
			Liabilities
			Derivative instruments (refer to Note 5)			$	—					$	2,789					$	—					$	—					$	2,789
			Cash-settled awards (refer to Note 8)			—						—						—						—						—
			Total Liabilities			$	—					$	2,789					$	—					$	—					$	2,789

						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, 2022
			Assets
			Fixed maturities, available for sale
			U.S. government and agency			$	2,600,636					$	38,694					$	—					$	—					$	2,639,330
			Non-U.S. government			—						562,029						—						—						562,029
			Corporate debt			—						4,136,452						119,104						—						4,255,556
			Agency RMBS			—						1,202,785						—						—						1,202,785
			CMBS			—						947,778						—						—						947,778
			Non-agency RMBS			—						133,534						—						—						133,534
			ABS			—						1,429,527						—						—						1,429,527
			Municipals			—						156,355						—						—						156,355
						2,600,636						8,607,154						119,104						—						11,326,894
			Equity securities
			Common stocks			7,473						—						—						—						7,473
			Preferred stocks			72						—						—						—						72
			Exchange-traded funds			269,806						—						—						—						269,806
			Bond mutual funds			—						207,902						—						—						207,902
						277,351						207,902						—						—						485,253
			Other investments
			Multi-strategy funds			—						—						—						32,616						32,616
			Direct lending funds			—						—						—						258,626						258,626
			Private equity funds			—						—						—						265,836						265,836
			Real estate funds			—						—						—						298,499						298,499
			CLO-Equities			—						—						5,016						—						5,016
			Other privately held investments			—						—						136,158						—						136,158
						—						—						141,174						855,577						996,751
			Short-term investments			—						70,310						—						—						70,310
			Other assets
			Derivative instruments (refer to Note 5)			—						37,682						—						—						37,682
			Total Assets			$	2,877,987					$	8,923,048					$	260,278					$	855,577					$	12,916,890
			Liabilities
			Derivative instruments (refer to Note 5)			$	—					$	703					$	—					$	—					$	703
			Cash-settled awards (refer to Note 8)			—						4,792						—						—						4,792
			Total Liabilities			$	—					$	5,495					$	—					$	—					$	5,495

LEVEL 3 FAIR VALUE MEASUREMENT INPUTS

The following table quantifies the significant unobservable inputs used in estimating fair values at March 31, 2023 of investments classified as Level 3 in the fair value hierarchy:

						Asset fair value			Valuation technique			Unobservable input			Amount / Range			Weighted average
			Other investments - CLO-Equities			$	5,019		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			5 years			5 years
			Other investments - Other privately held investments			$	17,522		Discounted cash flow			Discount rate			6.6%			6.6%
												Default rate			0.5%			0.5%
												Loss absorption yield			1.0%			1.0%
												Estimated maturity date			1-3 years			2 years

Note: Fixed maturities of $130 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 $123 million that are classified as Level 3 are excluded from the above table as these investments are priced using capital statements received from investee companies.

CHANGES IN LEVEL 3 FINANCIAL INSTRUMENTS MEASURED AT FAIR VALUE ON A RECURRING BASIS, ASSETS

The following table presents changes in Level 3 for financial instruments measured at fair value on a recurring basis:

						Opening balance						Transfers into Level 3						Transfers out of Level 3						Included  in net income(1)						Included in OCI (2)						Purchases						Sales						Settlements/ distributions						Closing balance						Change in unrealized gains/(losses) (3)
			Three months ended March 31, 2023
			Fixed maturities, available for sale
			Corporate debt			$	119,104					$	—					$	—					$	(7)					$	1,183					$	18,910					$	—					$	(8,763)					$	130,427					$	—
						119,104						—						—						(7)						1,183						18,910						—						(8,763)						130,427						—
			Other investments
			CLO-Equities			5,016						—						—						411						—						—						—						(408)						5,019						411
			Other privately held investments			136,158						—						—						336						—						4,459						—						—						140,953						336
						141,174						—						—						747						—						4,459						—						(408)						145,972						747
			Total assets			$	260,278					$	—					$	—					$	740					$	1,183					$	23,369					$	—					$	(9,171)					$	276,399					$	747
			Other liabilities
			Derivative instruments			$	—					$	—					$	—					$	—					$	—					$	—					$	—					$	—					$	—					$	—
			Total liabilities			$	—					$	—					$	—					$	—					$	—					$	—					$	—					$	—					$	—					$	—
			Three months ended March 31, 2022
			Fixed maturities, available for sale
			Corporate debt			$	42,894					$	—					$	—					$	—					$	(2,794)					$	21,462					$	—					$	(672)					$	60,890					$	—
						42,894						—						—						—						(2,794)						21,462						—						(672)						60,890						—
			Other investments
			CLO-Equities			5,910						—						—						872						—						—						—						(1,901)						4,881						872
			Other privately held investments			104,521						—						—						1,618						—						9,335						—						—						115,474						1,618
						110,431						—						—						2,490						—						9,335						—						(1,901)						120,355						2,490
			Total assets			$	153,325					$	—					$	—					$	2,490					$	(2,794)					$	30,797					$	—					$	(2,573)					$	181,245					$	2,490
			Other liabilities
			Derivative instruments			$	5,630					$	—					$	—					$	(556)					$	—					$	—					$	—					$	—					$	5,074					$	(556)
			Total liabilities			$	5,630					$	—					$	—					$	(556)					$	—					$	—					$	—					$	—					$	5,074					$	(556)

(1) Realized gains (losses) on fixed maturities and realized and unrealized gains (losses) on other assets and other liabilities included in net income are included in net investment gains (losses). Realized and unrealized gains (losses) on other investments included in net income are included in net investment income.

(2) Unrealized gains (losses) on fixed maturities are included in other comprehensive income ("OCI").

(3) Change in unrealized gains (losses) relating to assets and liabilities held at the reporting date.

CHANGES IN LEVEL 3 FINANCIAL INSTRUMENTS MEASURED AT FAIR VALUE ON A RECURRING BASIS, LIABILITIES

The following table presents changes in Level 3 for financial instruments measured at fair value on a recurring basis:

						Opening balance						Transfers into Level 3						Transfers out of Level 3						Included  in net income(1)						Included in OCI (2)						Purchases						Sales						Settlements/ distributions						Closing balance						Change in unrealized gains/(losses) (3)
			Three months ended March 31, 2023
			Fixed maturities, available for sale
			Corporate debt			$	119,104					$	—					$	—					$	(7)					$	1,183					$	18,910					$	—					$	(8,763)					$	130,427					$	—
						119,104						—						—						(7)						1,183						18,910						—						(8,763)						130,427						—
			Other investments
			CLO-Equities			5,016						—						—						411						—						—						—						(408)						5,019						411
			Other privately held investments			136,158						—						—						336						—						4,459						—						—						140,953						336
						141,174						—						—						747						—						4,459						—						(408)						145,972						747
			Total assets			$	260,278					$	—					$	—					$	740					$	1,183					$	23,369					$	—					$	(9,171)					$	276,399					$	747
			Other liabilities
			Derivative instruments			$	—					$	—					$	—					$	—					$	—					$	—					$	—					$	—					$	—					$	—
			Total liabilities			$	—					$	—					$	—					$	—					$	—					$	—					$	—					$	—					$	—					$	—
			Three months ended March 31, 2022
			Fixed maturities, available for sale
			Corporate debt			$	42,894					$	—					$	—					$	—					$	(2,794)					$	21,462					$	—					$	(672)					$	60,890					$	—
						42,894						—						—						—						(2,794)						21,462						—						(672)						60,890						—
			Other investments
			CLO-Equities			5,910						—						—						872						—						—						—						(1,901)						4,881						872
			Other privately held investments			104,521						—						—						1,618						—						9,335						—						—						115,474						1,618
						110,431						—						—						2,490						—						9,335						—						(1,901)						120,355						2,490
			Total assets			$	153,325					$	—					$	—					$	2,490					$	(2,794)					$	30,797					$	—					$	(2,573)					$	181,245					$	2,490
			Other liabilities
			Derivative instruments			$	5,630					$	—					$	—					$	(556)					$	—					$	—					$	—					$	—					$	5,074					$	(556)
			Total liabilities			$	5,630					$	—					$	—					$	(556)					$	—					$	—					$	—					$	—					$	5,074					$	(556)

(1) Realized gains (losses) on fixed maturities and realized and unrealized gains (losses) on other assets and other liabilities included in net income are included in net investment gains (losses). Realized and unrealized gains (losses) on other investments included in net income are included in net investment income.

(2) Unrealized gains (losses) on fixed maturities are included in other comprehensive income ("OCI").

(3) Change in unrealized gains (losses) relating to assets and liabilities held at the reporting date.

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- Definition

Tabular disclosure of input and valuation technique used to measure fair value and change in valuation approach and technique for each separate class of asset and liability measured on recurring and nonrecurring basis.

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Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets) and gains or losses recognized in other comprehensive income (loss), and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs), by class of asset.

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Tabular disclosure of the fair value measurement of liabilities using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets), and gains or losses recognized in other comprehensive income (loss) and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs) by class of liability.

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Tabular disclosure of assets and liabilities, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, that are measured at fair value on a recurring basis. The disclosures contemplated herein include the fair value measurements at the reporting date by the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3).

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