FAIR VALUE MEASUREMENTS (Tables)

12 Months Ended

Dec. 31, 2018

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, 2018
Assets
Fixed maturities
U.S. government and agency	$	1,480,466	$	35,231	$	—	$	—	$	1,515,697
Non-U.S. government	—		493,016		—		—		493,016
Corporate debt	—		4,827,909		49,012		—		4,876,921
Agency RMBS	—		1,643,308		—		—		1,643,308
CMBS	—		1,073,396		19,134		—		1,092,530
Non-Agency RMBS	—		40,687		—		—		40,687
ABS	—		1,619,070		18,533		—		1,637,603
Municipals	—		135,585		—		—		135,585
	1,480,466		9,868,202		86,679		—		11,435,347
Equity securities
Common stocks	527		—		—		—		527
Exchange-traded funds	236,839		—		—		—		236,839
Bond mutual funds	—		144,267		—		—		144,267
	237,366		144,267		—		—		381,633
Other investments
Hedge funds⁽¹⁾	—		—		—		194,598		194,598
Direct lending funds	—		—		—		274,478		274,478
Private equity funds	—		—		—		64,566		64,566
Real estate funds	—		—		—		84,202		84,202
Other privately held investments	—		—		44,518		—		44,518
CLO-Equities	—		—		21,271		—		21,271
Overseas deposits	—		104,154		—		—		104,154
	—		104,154		65,789		617,844		787,787
Short-term investments	—		144,040		—		—		144,040
Other assets
Derivative instruments (refer to Note 8)	—		8,237		—		—		8,237
Total Assets	$	1,717,832	$	10,268,900	$	152,468	$	617,844	$	12,757,044
Liabilities
Derivative instruments (refer to Note 8)	$	—	$	4,223	$	10,299	$	—	$	14,522
Cash settled awards (refer to Note 16)	—		20,648		—		—		20,648
Total Liabilities	$	—	$	24,871	$	10,299	$	—	$	35,170


(1)	Includes Long/short equity, Multi-strategy and Event-driven funds.



	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, 2017
Assets
Fixed maturities
U.S. government and agency	$	1,658,622	$	53,847	$	—	$	—	$	1,712,469
Non-U.S. government	—		806,299		—		—		806,299
Corporate debt	—		5,244,969		52,897		—		5,297,866
Agency RMBS	—		2,395,152		—		—		2,395,152
CMBS	—		777,728		—		—		777,728
Non-Agency RMBS	—		46,831		—		—		46,831
ABS	—		1,436,281		—		—		1,436,281
Municipals	—		149,380		—		—		149,380
	1,658,622		10,910,487		52,897		—		12,622,006
Equity securities
Common stocks	25,658		—		—		—		25,658
Exchange-traded funds	427,633		—		—		—		427,633
Bond mutual funds	—		182,220		—		—		182,220
	453,291		182,220		—		—		635,511
Other investments
Hedge funds⁽¹⁾	—		—		—		363,811		363,811
Direct lending funds	—		—		—		250,681		250,681
Private equity funds	—		—		—		68,812		68,812
Real estate funds	—		—		—		50,009		50,009
Other privately held investments	—		—		46,430		—		46,430
CLO-Equities	—		—		31,413		—		31,413
Overseas deposits	—		198,217		—		—		198,217
	—		198,217		77,843		733,313		1,009,373
Short-term investments	—		83,661		—		—		83,661
Other assets
Derivative instruments (refer to Note 8)	—		5,125		—		—		5,125
Insurance-linked securities	—		—		25,090		—		25,090
Total Assets	$	2,111,913	$	11,379,710	$	155,830	$	733,313	$	14,380,766
Liabilities
Derivative instruments (refer to Note 8)	$	—	$	2,876	$	11,510	$	—	$	14,386
Cash settled awards (refer to Note 16)	—		21,535		—		—		21,535
Total Liabilities	$	—	$	24,411	$	11,510	$	—	$	35,921


(1)	Includes Long/short equity, Multi-strategy and Event-driven funds.

LEVEL 3 FAIR VALUE MEASUREMENT INPUTS

The following table quantifies the significant unobservable inputs used in estimating fair values at December 31, 2018 of investments classified as Level 3 in the fair value hierarchy.




	Fair value			Valuation technique	Unobservable input	Range	Weighted average

Other investments - CLO-Equities	$	21,271		Discounted cash flow	Default rates	3.0%	3.0%
					Loss severity rate	35%	35%
					Collateral spreads	3.0%	3.0%
					Estimated maturity dates	7 years	7 years

Other investments - Other privately held investments	$	44,518		Discounted cash flow	Discount rate	3.0% - 8.0%	7.1%

Derivatives - Other underwriting-related derivatives	$	(10,299	)	Discounted cash flow	Discount rate	2.6%	2.6%

Note: Fixed maturities and insurance-linked securities that are classified as Level 3 are excluded from the above table as these securities are priced using broker-dealer quotes.

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 for the periods indicated:



	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 investment gains/losses⁽³⁾

Year ended December 31, 2018
Fixed maturities
Corporate debt	$	52,897	$	2,935	$	(4,279	)	$	(591	)	$	6,343		$	10,267	$	(7,446	)	$	(11,114	)	$	49,012	$	—
CMBS	—		5,096		—			—			(145		)	17,200		—			(3,017		)	19,134		—
ABS	—		1,979		—			—			(446		)	17,000		—			—			18,533		—
	52,897		10,010		(4,279		)	(591		)	5,752			44,467		(7,446		)	(14,131		)	86,679		—
Other investments
Other privately held investments	46,430		—		—			(913		)	—			3,110		(4,109		)	—			44,518		(913		)
CLO-Equities	31,413		—		—			6,627			—			—		—			(16,769		)	21,271		6,627
	77,843		—		—			5,714			—			3,110		(4,109		)	(16,769		)	65,789		5,714
Other assets
Derivative instruments	—		—		—			—			—			—		—			—			—		—
Insurance-linked securities	25,090		—		—			(90		)	—			—		—			(25,000		)	—		—
	25,090		—		—			(90		)	—			—		—			(25,000		)	—		—
Total assets	$	155,830	$	10,010	$	(4,279	)	$	5,033		$	5,752		$	47,577	$	(11,555	)	$	(55,900	)	$	152,468	$	5,714

Other liabilities
Derivative instruments	11,510		—		—			(1,211		)	—			—		—			—			10,299		(1,211		)
Total liabilities	$	11,510	$	—	$	—		$	(1,211	)	$	—		$	—	$	—		$	—		$	10,299	$	(1,211	)

Year ended December 31, 2017
Fixed maturities
Corporate debt	$	75,875	$	2,324	$	(2,721	)	$	(503	)	$	(1,524	)	$	17,062	$	(22,903	)	$	(14,713	)	$	52,897	$	—
CMBS	3,061		—		—			—			—			—		—			(3,061		)	—		—
ABS	17,464		—		(18,949		)	—			1,485			—		—			—			—		—
	96,400		2,324		(21,670		)	(503		)	(39		)	17,062		(22,903		)	(17,774		)	52,897		—
Other investments
Other privately held investments	42,142		—		—			1,584			—			2,704		—			—			46,430		1,584
CLO-Equities	60,700		—		—			2,558			—			—		—			(31,845		)	31,413		2,558
	102,842		—		—			4,142			—			2,704		—			(31,845		)	77,843		4,142
Other assets
Derivative instruments	2,532		—		—			653			—			—		—			(3,185		)	—		—
Insurance-linked securities	25,023		—		—			67			—			—		—			—			25,090		67
	27,555		—		—			720			—			—		—			(3,185		)	25,090		67
Total assets	$	226,797	$	2,324	$	(21,670	)	$	4,359		$	(39	)	$	19,766	$	(22,903	)	$	(52,804	)	$	155,830	$	4,209

Other liabilities
Derivative instruments	6,500		—		—			9,320			—			12,472		—			(16,782		)	11,510		(962		)
Total liabilities	$	6,500	$	—	$	—		$	9,320		$	—		$	12,472	$	—		$	(16,782	)	$	11,510	$	(962	)


(1)	Realized investment 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 investment gains (losses) on fixed maturities are included in other comprehensive income ("OCI").


(3)	Change in unrealized investment gains (losses) relating to assets 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 for the periods indicated:



	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 investment gains/losses⁽³⁾

Year ended December 31, 2018
Fixed maturities
Corporate debt	$	52,897	$	2,935	$	(4,279	)	$	(591	)	$	6,343		$	10,267	$	(7,446	)	$	(11,114	)	$	49,012	$	—
CMBS	—		5,096		—			—			(145		)	17,200		—			(3,017		)	19,134		—
ABS	—		1,979		—			—			(446		)	17,000		—			—			18,533		—
	52,897		10,010		(4,279		)	(591		)	5,752			44,467		(7,446		)	(14,131		)	86,679		—
Other investments
Other privately held investments	46,430		—		—			(913		)	—			3,110		(4,109		)	—			44,518		(913		)
CLO-Equities	31,413		—		—			6,627			—			—		—			(16,769		)	21,271		6,627
	77,843		—		—			5,714			—			3,110		(4,109		)	(16,769		)	65,789		5,714
Other assets
Derivative instruments	—		—		—			—			—			—		—			—			—		—
Insurance-linked securities	25,090		—		—			(90		)	—			—		—			(25,000		)	—		—
	25,090		—		—			(90		)	—			—		—			(25,000		)	—		—
Total assets	$	155,830	$	10,010	$	(4,279	)	$	5,033		$	5,752		$	47,577	$	(11,555	)	$	(55,900	)	$	152,468	$	5,714

Other liabilities
Derivative instruments	11,510		—		—			(1,211		)	—			—		—			—			10,299		(1,211		)
Total liabilities	$	11,510	$	—	$	—		$	(1,211	)	$	—		$	—	$	—		$	—		$	10,299	$	(1,211	)

Year ended December 31, 2017
Fixed maturities
Corporate debt	$	75,875	$	2,324	$	(2,721	)	$	(503	)	$	(1,524	)	$	17,062	$	(22,903	)	$	(14,713	)	$	52,897	$	—
CMBS	3,061		—		—			—			—			—		—			(3,061		)	—		—
ABS	17,464		—		(18,949		)	—			1,485			—		—			—			—		—
	96,400		2,324		(21,670		)	(503		)	(39		)	17,062		(22,903		)	(17,774		)	52,897		—
Other investments
Other privately held investments	42,142		—		—			1,584			—			2,704		—			—			46,430		1,584
CLO-Equities	60,700		—		—			2,558			—			—		—			(31,845		)	31,413		2,558
	102,842		—		—			4,142			—			2,704		—			(31,845		)	77,843		4,142
Other assets
Derivative instruments	2,532		—		—			653			—			—		—			(3,185		)	—		—
Insurance-linked securities	25,023		—		—			67			—			—		—			—			25,090		67
	27,555		—		—			720			—			—		—			(3,185		)	25,090		67
Total assets	$	226,797	$	2,324	$	(21,670	)	$	4,359		$	(39	)	$	19,766	$	(22,903	)	$	(52,804	)	$	155,830	$	4,209

Other liabilities
Derivative instruments	6,500		—		—			9,320			—			12,472		—			(16,782		)	11,510		(962		)
Total liabilities	$	6,500	$	—	$	—		$	9,320		$	—		$	12,472	$	—		$	(16,782	)	$	11,510	$	(962	)


(1)	Realized investment 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 investment gains (losses) on fixed maturities are included in other comprehensive income ("OCI").


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