XML 21 R10.htm IDEA: XBRL DOCUMENT v3.24.3
Fair Value
 9 Months Ended
Sep. 30, 2024
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:

September 30, 2024
($ in thousands)
Level 1Level 2Level 3Total
Fixed maturities:
U.S. government treasuries$— $764,928 $— $764,928 
U.S. states, territories and municipalities— 13,467 — 13,467 
Non-U.S. sovereign governments and supranationals— 77,176 — 77,176 
Corporate— 1,133,797 — 1,133,797 
Residential mortgage-backed securities - Agency— 251,514 — 251,514 
Residential mortgage-backed securities - Non-agency— 5,359 — 5,359 
Commercial mortgage-backed securities - Non-agency— 33,109 — 33,109 
Other asset-backed securities— 40,834 — 40,834 
Total fixed maturities— 2,320,184 — 2,320,184 
Short-term investments— 507,947 — 507,947 
Total$— $2,828,131 $— $2,828,131 

December 31, 2023
($ in thousands)
Level 1Level 2Level 3Total
Fixed maturities:
U.S. government treasuries$— $708,250 $— $708,250 
U.S. states, territories and municipalities— 4,370 — 4,370 
Non-U.S. sovereign governments and supranationals— 56,246 — 56,246 
Corporate— 863,876 — 863,876 
Residential mortgage-backed securities - Agency— 168,513 — 168,513 
Residential mortgage-backed securities - Non-agency— 4,984 — 4,984 
Commercial mortgage-backed securities - Non-agency— 10,423 — 10,423 
Other asset-backed securities— 14,606 — 14,606 
Total fixed maturities— 1,831,268 — 1,831,268 
Short-term investments— 428,878 — 428,878 
Total$— $2,260,146 $— $2,260,146 
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.