XML 66 R42.htm IDEA: XBRL DOCUMENT v3.24.0.1

FAIR VALUE MEASUREMENTS (Tables)

12 Months Ended

Dec. 31, 2023

Fair Value Disclosures [Abstract]

Summary of 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 December 31, 2023
			Assets
			Fixed maturities, available for sale
			U.S. government and agency			$	2,989,612					$	17,916					$	—					$	—					$	3,007,528
			Non-U.S. government			—						723,959						—						—						723,959
			Corporate debt			—						4,338,419						135,753						—						4,474,172
			Agency RMBS			—						1,634,661						—						—						1,634,661
			CMBS			—						839,696						—						—						839,696
			Non-agency RMBS			—						153,396						—						—						153,396
			ABS			—						1,242,971						—						—						1,242,971
			Municipals			—						158,359						—						—						158,359
						2,989,612						9,109,377						135,753						—						12,234,742
			Equity securities
			Common stocks			2,546						—						—						—						2,546
			Preferred stocks			1						5,600						—						—						5,601
			Exchange-traded funds			287,275						—						—						—						287,275
			Bond mutual funds			—						293,089						—						—						293,089
						289,822						298,689						—						—						588,511
			Other investments
			Multi-strategy funds			—						—						—						24,619						24,619
			Direct lending funds			—						—						—						192,270						192,270
			Private equity funds			—						—						—						301,712						301,712
			Real estate funds			—						—						—						317,325						317,325
			CLO-Equities			—						—						5,300						—						5,300
			Other privately held investments			—						—						87,289						20,898						108,187
						—						—						92,589						856,824						949,413
			Short-term investments			—						17,216						—						—						17,216
			Other assets
			Derivative instruments (refer to Note 7)			—						4,424						—						—						4,424
			Total Assets			$	3,279,434					$	9,429,706					$	228,342					$	856,824					$	13,794,306
			Liabilities
			Derivative instruments (refer to Note 7)			$	—					$	10,165					$	—					$	—					$	10,165
			Cash-settled awards (refer to Note 17)			—						—						—						—						—
			Total Liabilities			$	—					$	10,165					$	—					$	—					$	10,165

						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 7)			—						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 7)			$	—					$	703					$	—					$	—					$	703
			Cash-settled awards (refer to Note 17)			—						4,792						—						—						4,792
			Total Liabilities			$	—					$	5,495					$	—					$	—					$	5,495

Summary of Level 3 Fair Value Measurement Inputs

The following table quantifies the significant unobservable inputs used in estimating fair values at December 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			$	5,300		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			4 years			4 years
			Other investments - Other privately     held investments			$	18,940		Discounted cash flow			Discount rate			6.0%			6.0%
												Default rate			0.5%			0.5%
												Loss absorption yield			1.0%			1.0%
												Estimated maturity date			0 - 2 years			1 year

Note: Fixed maturities of $136 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 $68 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.

Summary of 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)
			Year ended December 31, 2023
			Fixed maturities, available for sale
			Corporate debt			$	119,104					$	—					$	—					$	(8,527)					$	2,438					$	38,173					$	(770)					$	(14,665)					$	135,753					$	—
						119,104						—						—						(8,527)						2,438						38,173						(770)						(14,665)						135,753						—
			Other investments
			CLO-Equities			5,016						—						—						2,395						—						—						—						(2,111)						5,300						2,395
			Other privately held investments			136,158						—						(25,510)						(9,904)						—						21,077						(34,532)						—						87,289						(17,986)
						141,174						—						(25,510)						(7,509)						—						21,077						(34,532)						(2,111)						92,589						(15,591)
			Total assets			$	260,278					$	—					$	(25,510)					$	(16,036)					$	2,438					$	59,250					$	(35,302)					$	(16,776)					$	228,342					$	(15,591)
			Other liabilities
			Derivative instruments			$	—					$	—					$	—					$	—					$	—					$	—					$	—					$	—					$	—					$	—
			Total liabilities			$	—					$	—					$	—					$	—					$	—					$	—					$	—					$	—					$	—					$	—
			Year ended December 31, 2022
			Fixed maturities, available for sale
			Corporate debt			$	42,894					$	—					$	—					$	(104)					$	(9,014)					$	90,130					$	—					$	(4,802)					$	119,104					$	—
						42,894						—						—						(104)						(9,014)						90,130						—						(4,802)						119,104						—
			Other investments
			CLO-Equities			5,910						—						—						2,611						—						—						—						(3,505)						5,016						2,611
			Other privately held investments			104,521						—						—						13,646						—						19,991						—						(2,000)						136,158						13,646
						110,431						—						—						16,257						—						19,991						—						(5,505)						141,174						16,257
			Total assets			$	153,325					$	—					$	—					$	16,153					$	(9,014)					$	110,121					$	—					$	(10,307)					$	260,278					$	16,257
			Other liabilities
			Derivative instruments			$	5,630					$	—					$	—					$	(3,542)					$	—					$	—					$	—					$	(2,088)					$	—					$	—
			Total liabilities			$	5,630					$	—					$	—					$	(3,542)					$	—					$	—					$	—					$	(2,088)					$	—					$	—

(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.

Summary of 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)
			Year ended December 31, 2023
			Fixed maturities, available for sale
			Corporate debt			$	119,104					$	—					$	—					$	(8,527)					$	2,438					$	38,173					$	(770)					$	(14,665)					$	135,753					$	—
						119,104						—						—						(8,527)						2,438						38,173						(770)						(14,665)						135,753						—
			Other investments
			CLO-Equities			5,016						—						—						2,395						—						—						—						(2,111)						5,300						2,395
			Other privately held investments			136,158						—						(25,510)						(9,904)						—						21,077						(34,532)						—						87,289						(17,986)
						141,174						—						(25,510)						(7,509)						—						21,077						(34,532)						(2,111)						92,589						(15,591)
			Total assets			$	260,278					$	—					$	(25,510)					$	(16,036)					$	2,438					$	59,250					$	(35,302)					$	(16,776)					$	228,342					$	(15,591)
			Other liabilities
			Derivative instruments			$	—					$	—					$	—					$	—					$	—					$	—					$	—					$	—					$	—					$	—
			Total liabilities			$	—					$	—					$	—					$	—					$	—					$	—					$	—					$	—					$	—					$	—
			Year ended December 31, 2022
			Fixed maturities, available for sale
			Corporate debt			$	42,894					$	—					$	—					$	(104)					$	(9,014)					$	90,130					$	—					$	(4,802)					$	119,104					$	—
						42,894						—						—						(104)						(9,014)						90,130						—						(4,802)						119,104						—
			Other investments
			CLO-Equities			5,910						—						—						2,611						—						—						—						(3,505)						5,016						2,611
			Other privately held investments			104,521						—						—						13,646						—						19,991						—						(2,000)						136,158						13,646
						110,431						—						—						16,257						—						19,991						—						(5,505)						141,174						16,257
			Total assets			$	153,325					$	—					$	—					$	16,153					$	(9,014)					$	110,121					$	—					$	(10,307)					$	260,278					$	16,257
			Other liabilities
			Derivative instruments			$	5,630					$	—					$	—					$	(3,542)					$	—					$	—					$	—					$	(2,088)					$	—					$	—
			Total liabilities			$	5,630					$	—					$	—					$	(3,542)					$	—					$	—					$	—					$	(2,088)					$	—					$	—

(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
-Name Accounting Standards Codification
-Section 50
-Paragraph 2
-Subparagraph (bbb)
-SubTopic 10
-Topic 820
-Publisher FASB
-URI https://asc.fasb.org//1943274/2147482106/820-10-50-2

+ 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
-Name Accounting Standards Codification
-Section 50
-Paragraph 2
-Subparagraph (c)
-SubTopic 10
-Topic 820
-Publisher FASB
-URI https://asc.fasb.org//1943274/2147482106/820-10-50-2

Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 3
-Publisher FASB
-URI https://asc.fasb.org//1943274/2147482106/820-10-50-3

+ 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
-Name Accounting Standards Codification
-Section 50
-Paragraph 2
-Subparagraph (c)
-SubTopic 10
-Topic 820
-Publisher FASB
-URI https://asc.fasb.org//1943274/2147482106/820-10-50-2

Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 3
-Publisher FASB
-URI https://asc.fasb.org//1943274/2147482106/820-10-50-3

+ 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
-Topic 820
-SubTopic 10
-Name Accounting Standards Codification
-Section 50
-Paragraph 2
-Subparagraph (a)
-Publisher FASB
-URI https://asc.fasb.org//1943274/2147482106/820-10-50-2

Reference 2: http://www.xbrl.org/2003/role/disclosureRef
-Topic 820
-SubTopic 10
-Name Accounting Standards Codification
-Section 50
-Paragraph 2
-Subparagraph (b)
-Publisher FASB
-URI https://asc.fasb.org//1943274/2147482106/820-10-50-2

+ Details

Name:	us-gaap_ScheduleOfFairValueAssetsAndLiabilitiesMeasuredOnRecurringBasisTableTextBlock
Namespace Prefix:	us-gaap_
Data Type:	dtr-types:textBlockItemType
Balance Type:	na
Period Type:	duration