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Fair Value | 9 Months Ended
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Sep. 30, 2023
Fair Value Disclosures [Abstract] |
Fair Value | Fair Value Financial Instruments Subject to Fair Value Measurements Accounting guidance over fair value measurements requires that a fair value measurement reflect the assumptions market participants would use in pricing an asset or liability based on the best information available. Assumptions include the risks inherent in a particular valuation technique (such as a pricing model) and/or the risks inherent in the inputs to the model. The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (the “exit price”). Instruments that the Company owns are marked to bid prices. Basis of Fair Value Measurements Fair value measurement accounting guidance also establishes a fair value hierarchy that prioritizes the inputs to the respective valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). An asset or liability’s classification within the fair value hierarchy is based on the lowest level of significant input to its valuation. The three levels of the fair value hierarchy are: •Level 1 - Inputs that reflect unadjusted quoted prices in active markets for identical assets or liabilities that the Company has the ability to access at the measurement date; •Level 2 - Inputs other than quoted prices included within Level 1 that are observable for the asset or liability either directly or indirectly, including inputs in markets that are not considered to be active; and •Level 3 - Inputs that are both significant to the fair value measurement and unobservable. Assets Recorded at Fair Value - Fixed Maturity and Short-term Investments The following section describes the valuation methodologies used to determine the fair value of the Company’s fixed maturity and short-term investments by asset class: •U.S. government treasuries: fair value based on observable market inputs such as quoted prices, reported trades, quoted prices for similar issuances and benchmark yields; •U.S. states, territories and municipalities: fair value based on observable market inputs such as quoted market prices, quoted prices for similar securities, benchmark yields and credit spreads; •Non-U.S. sovereign governments and supranationals: fair value based on observable market inputs such as quoted market prices, quoted prices for similar securities and models with observable inputs such as benchmark yields and credit spreads, and then, where applicable, converted to U.S. dollars using an exchange rate from a nationally recognized source; •Corporate: fair value based on observable market inputs such as quoted market prices, quoted prices for similar securities, benchmark yields and credit spreads; •Asset-backed and mortgage-backed securities: fair value based on observable inputs such as quoted prices, reported trades, quoted prices for similar issuances or benchmark yields and cash flow models using observable inputs such as prepayment speeds, collateral performance and default spreads; and •Short-term investments: fair value based on observable market inputs such as quoted prices, reported trades, quoted prices for similar issuances and benchmark yields. The following table presents the financial instruments measured at fair value on a recurring basis at September 30, 2023 and December 31, 2022:
| 2023
(Expressed in thousands of U.S. Dollars) | Level 1 |  | Level 2 |  | Level 3 |  | Total
Fixed maturities: |  |  |  |  |  |  |
U.S. government treasuries | $ | — |  |  | $ | 619,086 |  |  | $ | — |  |  | $ | 619,086 |
U.S. states, territories and municipalities | — |  |  | 4,354 |  |  | — |  |  | 4,354 |
Non-U.S. sovereign governments and supranationals | — |  |  | 43,332 |  |  | — |  |  | 43,332 |
Corporate | — |  |  | 811,337 |  |  | — |  |  | 811,337 |
Residential mortgage-backed securities - Agency | — |  |  | 127,980 |  |  | — |  |  | 127,980 |
Residential mortgage-backed securities - Non-agency | — |  |  | 3,944 |  |  | — |  |  | 3,944 |
Commercial mortgage-backed securities - Non-agency | — |  |  | 8,893 |  |  | — |  |  | 8,893 |
Other asset-backed securities | — |  |  | 12,545 |  |  | — |  |  | 12,545 |
Total fixed maturities | — |  |  | 1,631,471 |  |  | — |  |  | 1,631,471 |
Short-term investments | — |  |  | 348,968 |  |  | — |  |  | 348,968 |
Total | $ | — |  |  | $ | 1,980,439 |  |  | $ | — |  |  | $ | 1,980,439 |
| 2022
(Expressed in thousands of U.S. Dollars) | Level 1 |  | Level 2 |  | Level 3 |  | Total
Fixed maturities: |  |  |  |  |  |  |
U.S. government treasuries | $ | — |  |  | $ | 471,851 |  |  | $ | — |  |  | $ | 471,851 |
U.S. states, territories and municipalities | — |  |  | 4,307 |  |  | — |  |  | 4,307 |
Non-U.S. sovereign governments and supranationals | — |  |  | 12,952 |  |  | — |  |  | 12,952 |
Corporate | — |  |  | 647,477 |  |  | — |  |  | 647,477 |
Residential mortgage-backed securities - Agency | — |  |  | 96,410 |  |  | — |  |  | 96,410 |
Residential mortgage-backed securities - Non-agency | — |  |  | 4,375 |  |  | — |  |  | 4,375 |
Commercial mortgage-backed securities - Non-agency | — |  |  | 9,219 |  |  | — |  |  | 9,219 |
Other asset-backed securities | — |  |  | 12,885 |  |  | — |  |  | 12,885 |
Total fixed maturities | — |  |  | 1,259,476 |  |  | — |  |  | 1,259,476 |
Short-term investments | — |  |  | 286,111 |  |  | — |  |  | 286,111 |
Total | $ | — |  |  | $ | 1,545,587 |  |  | $ | — |  |  | $ | 1,545,587 |
The carrying values of cash and cash equivalents, restricted cash and cash equivalents, accrued investment income, receivables for investments sold, certain other assets, payables for investments purchased, and certain other liabilities approximate their fair values.

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