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Fair value (Tables)

3 Months Ended

Mar. 31, 2025

Fair Value Disclosures [Abstract]

Summary of Significant Inputs used for Fair Value Measurement of Fixed Maturity Securities

The following table presents a summary of the significant inputs used by our pricing services for certain fair value measurements of fixed maturity securities that are classified as Level 2 as of March 31, 2025:

(Amounts in thousands)

Fair value

Primary methodologies

Significant inputs

U.S. government, agencies and GSEs

$

289,008

Price quotes from trading desk, broker feeds

Bid side prices, trade prices, Option Adjusted Spread (“OAS”) to swap curve, Bond Market Association OAS, Treasury Curve, Agency Bullet Curve, maturity to issuer spread

State and political subdivisions

$

476,141

Multi-dimensional attribute-based modeling systems, third-party pricing vendors

Trade prices, material event notices, Municipal Market Data benchmark yields, broker quotes

Non-U.S. government

$

113,153

Matrix pricing, spread priced to benchmark curves, price quotes from market makers

Benchmark yields, trade prices, broker quotes, comparative transactions, issuer spreads, bid-offer spread, market research publications, third-party pricing sources

U.S. corporate

$

2,483,692

Multi-dimensional attribute-based modeling systems, broker quotes, price quotes from market makers, internal models, OAS-based models

Bid side prices to Treasury Curve, Issuer Curve, which includes sector, quality, duration, OAS percentage and change for spread matrix, trade prices, comparative transactions, Trade Reporting and Compliance Engine (“TRACE”) reports

Non-U.S. corporate

$

644,100

Multi-dimensional attribute-based modeling systems, OAS-based models, price quotes from market makers

Benchmark yields, trade prices, broker quotes, comparative transactions, issuer spreads, bid-offer spread, market research publications, third-party pricing sources

Residential mortgage-backed

$

111,683

OAS-based models, single factor binomial models, internally priced

Prepayment and default assumptions, aggregation of bonds with similar characteristics, including collateral type, vintage, tranche type, weighted-average life, weighted-average loan age, issuer program and delinquency ratio, pay up and pay down factors, TRACE reports

Commercial mortgage-backed			$	20,702					Multi-dimensional attribute-based modeling systems, pricing matrix, spread matrix priced to swap curves, Trepp commercial mortgage-backed securities analytics model						Credit risk, interest rate risk, prepayment speeds, new issue data, collateral performance, origination year, tranche type, original credit ratings, weighted-average life, cash flows, spreads derived from broker quotes, bid side prices, spreads to daily updated swaps curves, TRACE reports
Other asset-backed			$	1,132,232					Multi-dimensional attribute-based modeling systems, spread matrix priced to swap curves, price quotes from market makers						Spreads to daily updated swap curves, spreads derived from trade prices and broker quotes, bid side prices, new issue data, collateral performance, analysis of prepayment speeds, cash flows, collateral loss analytics, historical issue analysis, trade data from market makers, TRACE reports

Schedule of Fair Value Assets Measured on Recurring Basis

The following tables set forth our assets by class of instrument that are measured at fair value on a recurring basis as of the dates indicated:

			March 31, 2025
(Amounts in thousands)			Total						Level 1						Level 2						Level 3
Fixed maturity securities:
U.S. government, agencies and GSEs			$	289,008					$	—					$	289,008					$	—
State and political subdivisions			476,141						—						476,141						—
Non-U.S. government			113,153						—						113,153						—
U.S. corporate			2,900,205						—						2,674,235						225,970
Non-U.S. corporate			768,953						—						718,479						50,474
Residential mortgage-backed			111,683						—						111,683						—
Commercial mortgage-backed			20,702						—						20,702						—
Other asset-backed			1,135,492						—						1,132,232						3,260
Total fixed maturity securities			5,815,337						—						5,535,633						279,704
Short-term investments			3,696						—						3,696						—
Total			$	5,819,033					$	—					$	5,539,329					$	279,704

			December 31, 2024
(Amounts in thousands)			Total						Level 1						Level 2						Level 3
Fixed maturity securities:
U.S. government, agencies and GSEs			$	277,363					$	—					$	277,363					$	—
State and political subdivisions			467,476						—						467,476						—
Non-U.S. government			83,802						—						83,802						—
U.S. corporate			2,825,679						—						2,602,893						222,786
Non-U.S. corporate			772,624						—						716,071						56,553
Residential mortgage-backed			8,364						—						8,364						—
Other asset-backed			1,189,465						—						1,187,263						2,202
Total fixed maturity securities			5,624,773						—						5,343,232						281,541
Short-term investments			3,367						—						3,367						—
Total			$	5,628,140					$	—					$	5,346,599					$	281,541

Schedule of Fair Value Assets Measured on Recurring Basis, Unobservable Input Reconciliation

The following tables present additional information about assets measured at fair value on a recurring basis and for which we have utilized significant unobservable (Level 3) inputs to determine fair value as of or for the dates indicated:

			Beginning balance as of January 1, 2025						Total realized and unrealized gains (losses)												Purchases						Sales												Settlements						Transfer into Level 3 (1)						Transfer out of Level 3 (1)						Ending balance as of March 31, 2025						Total gains (losses) attributable to assets still held
(Amounts in thousands)									Included in net income						Included in OCI																																													Included in net income						Included in OCI
Fixed maturity securities:
U.S. corporate			$	222,786					$	239					$	3,167					$	—					$	—											$	(222)					$	—					$	—					$	225,970					$	239					$	3,167
Non-U.S. corporate			56,553						(6)						232						1,800						—												(8,105)						—						—						50,474						(6)						223
Other asset-backed			2,202						9						(36)						986						—												(1)						100						—						3,260						9						(35)
Total			$	281,541					$	242					$	3,363					$	2,786					$	—											$	(8,328)					$	100					$	—					$	279,704					$	242					$	3,355
			Beginning balance as of January 1, 2024						Total realized and unrealized gains (losses)												Purchases						Sales												Settlements						Transfer into Level 3 (1)						Transfer out of Level 3 (1)						Ending balance as of March 31, 2024						Total gains (losses) attributable to assets still held
(Amounts in thousands)									Included in net income						Included in OCI																																													Included in net income						Included in OCI
Fixed maturity securities:
U.S. corporate			$	247,205					$	(7)					$	(1,892)					$	—					$	—											$	(358)					$	4,651					$	—					$	249,599					$	(7)					$	(1,892)
Non-U.S. corporate			81,321						7						(669)						—						—												(105)						—						—						80,554						7						(669)
Other asset-backed			2,958						8						38						3,935						—												(60)						—						(2,088)						4,791						8						13
Total			$	331,484					$	8					$	(2,523)					$	3,935					$	—											$	(523)					$	4,651					$	(2,088)					$	334,944					$	8					$	(2,548)

______________

(1)The transfers into and out of Level 3 for fixed maturity securities were related to changes in the primary pricing source and changes in the observability of external information used in determining the fair value, such as external ratings or credit spreads.

The following table presents a summary of the significant unobservable inputs used for certain asset fair value measurements that are based on internal models and classified as Level 3 as of March 31, 2025:

(Amounts in thousands)

Valuation technique

Fair value (1)

Unobservable input

Range (bps)

Weighted- average (2) (bps)

Fixed maturity securities:

U.S. corporate

Internal models

$

225,970

Credit spreads

14 - 174

102

Non-U.S. corporate

Internal models

$

38,603

Credit spreads

90 - 143

118

______________

(1)Certain classes of instruments classified as Level 3 may be excluded as a result of not being material or due to limitations in being able to obtain the underlying inputs used by certain third-party sources, such as broker quotes, used as an input in determining fair value.

(2)Unobservable inputs weighted by the relative fair value of the associated instrument.

Schedule of Estimated Fair Value Liabilities

The following represents our estimated fair value of financial liabilities that are not required to be carried at fair value, classified as Level 2, as of the dates indicated:

			March 31, 2025												December 31, 2024
(Amounts in thousands)			Carrying amount						Fair value						Carrying amount						Fair value
Long-term borrowings			$	743,399					$	769,943					$	743,050					$	764,070

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.

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Tabular disclosure of assets, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, by class 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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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 liabilities, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, by class 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). Where the quoted price in an active market for the identical liability is not available, the Level 1 input is the quoted price of an identical liability when traded as an asset.

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