FAIR VALUE MEASUREMENTS (Tables)

6 Months Ended

Jun. 30, 2019

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 June 30, 2019
Assets
Fixed maturities
U.S. government and agency	$	2,281,604	$	35,823	$	—	$	—	$	2,317,427
Non-U.S. government	—		537,824		—		—		537,824
Corporate debt	—		4,906,448		39,137		—		4,945,585
Agency RMBS	—		1,686,912		—		—		1,686,912
CMBS	—		1,174,376		9,892		—		1,184,268
Non-Agency RMBS	—		55,980		—		—		55,980
ABS	—		1,600,280		491		—		1,600,771
Municipals	—		194,188		—		—		194,188
	2,281,604		10,191,831		49,520		—		12,522,955
Equity securities
Common stocks	257		—		—		—		257
Exchange-traded funds	273,269		—		—		—		273,269
Bond mutual funds	—		159,881		—		—		159,881
	273,526		159,881		—		—		433,407
Other investments
Hedge funds ⁽¹⁾	—		—		—		195,649		195,649
Direct lending funds	—		—		—		273,864		273,864
Private equity funds	—		—		—		60,285		60,285
Real estate funds	—		—		—		134,763		134,763
Other privately held investments	—		—		28,452		—		28,452
CLO-Equities	—		—		17,798		—		17,798
Overseas deposits	—		91,253		—		—		91,253
	—		91,253		46,250		664,561		802,064
Short-term investments	—		32,421		—		—		32,421
Other assets
Derivative instruments (refer to Note 5)	—		863		—		—		863
Total Assets	$	2,555,130	$	10,476,249	$	95,770	$	664,561	$	13,791,710
Liabilities
Derivative instruments (refer to Note 5)	$	—	$	2,686	$	10,262	$	—	$	12,948
Cash settled awards (refer to Note 8)	—		12,946		—		—		12,946
Total Liabilities	$	—	$	15,632	$	10,262	$	—	$	25,894

(1) Includes Long/short equity and Multi-strategy 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, 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 5)	—		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 5)	$	—	$	4,223	$	10,299	$	—	$	14,522
Cash settled awards (refer to Note 8)	—		20,648		—		—		20,648
Total Liabilities	$	—	$	24,871	$	10,299	$	—	$	35,170

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

LEVEL 3 FAIR VALUE MEASUREMENT INPUTS

The following table quantifies the significant unobservable inputs used in estimating fair values at June 30, 2019 of investments classified as Level 3 in the fair value hierarchy.



	Fair value			Valuation technique	Unobservable input	Range	Weighted average

Other investments - CLO-Equities	$	17,798		Discounted cash flow	Default rates	3.0%	3.0%
					Loss severity rate	35.0%	35.0%
					Collateral spreads	3.0%	3.0%
					Estimated maturity dates	7 years	7 years

Other investments - Other privately held investments	$	28,452		Discounted cash flow	Discount rate	3.0%	3.0%

Derivatives - Other underwriting-related derivatives	$	(10,262	)	Discounted cash flow	Discount rate	1.9%	1.9%

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 tables present 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⁾

Three months ended June 30, 2019
Fixed maturities
Corporate debt	$	41,125	$	—	$	—		$	(763	)	$	309	$	—	$	(31	)	$	(1,503	)	$	39,137	$	—
CMBS	11,145		—		—			—			21		—		—			(1,274		)	9,892		—
ABS	12,043		—		(11,564		)	—			12		—		—			—			491		—
	64,313		—		(11,564		)	(763		)	342		—		(31		)	(2,777		)	49,520		—
Other investments
Other privately held investments	47,685		—		—			14,194			—		—		(33,427		)	—			28,452		767
CLO - Equities	18,022		—		—			833			—		—		—			(1,057		)	17,798		833
	65,707		—		—			15,027			—		—		(33,427		)	(1,057		)	46,250		1,600
Total assets	$	130,020	$	—	$	(11,564	)	$	14,264		$	342	$	—	$	(33,458	)	$	(3,834	)	$	95,770	$	1,600

Other liabilities
Derivative instruments	$	10,233	$	—	$	—		$	29		$	—	$	—	$	—		$	—		$	10,262	$	29
Total liabilities	$	10,233	$	—	$	—		$	29		$	—	$	—	$	—		$	—		$	10,262	$	29

Six months ended June 30, 2019
Fixed maturities
Corporate debt	$	49,012	$	—	$	—		$	(1,459	)	$	933	$	—	$	(5,578	)	$	(3,771	)	$	39,137	$	—
CMBS	19,134		—		(4,767		)	—			164		—		—			(4,639		)	9,892		—
ABS	18,533		—		(27,966		)	—			174		9,750		—			—			491		—
	86,679		—		(32,733		)	(1,459		)	1,271		9,750		(5,578		)	(8,410		)	49,520		—
Other investments
Other privately held investments	44,518		—		—			14,861			—		2,500		(33,427		)	—			28,452		1,434
CLO - Equities	21,271		—		—			1,248			—		—		—			(4,721		)	17,798		1,248
	65,789		—		—			16,109			—		2,500		(33,427		)	(4,721		)	46,250		2,682
Total assets	$	152,468	$	—	$	(32,733	)	$	14,650		$	1,271	$	12,250	$	(39,005	)	$	(13,131	)	$	95,770	$	2,682

Other liabilities
Derivative instruments	$	10,299	$	—	$	—		$	(37	)	$	—	$	—	$	—		$	—		$	10,262	$	(37	)
Total liabilities	$	10,299	$	—	$	—		$	(37	)	$	—	$	—	$	—		$	—		$	10,262	$	(37	)

(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.



	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⁾

Three months ended June 30, 2018
Fixed maturities
Corporate debt	$	43,471	$	1,589	$	—		$	(1	)	$	(388	)	$	3,185	$	(3,218	)	$	(2,085	)	$	42,553	$	—
Non-Agency RMBS	—		—		—			—			3			900		—			—			903		—
CMBS	—		1,936		—			—			(2		)	16,215		—			—			18,149		—
	43,471		3,525		—			(1		)	(387		)	20,300		(3,218		)	(2,085		)	61,605		—
Other investments
Other privately held investments	48,787		—		—			(1,174		)	—			—		—			—			47,613		(1,174		)
CLO - Equities	28,556		—		—			3,068			—			—		—			(5,471		)	26,153		3,068
	77,343		—		—			1,894			—			—		—			(5,471		)	73,766		1,894
Other assets
Insurance-linked securities	25,000		—		—			—			—			—		—			(25,000		)	—		—
	25,000		—		—			—			—			—		—			(25,000		)	—		—
Total assets	$	145,814	$	3,525	$	—		$	1,893		$	(387	)	$	20,300	$	(3,218	)	$	(32,556	)	$	135,371	$	1,894

Other liabilities
Derivative instruments	$	10,942	$	—	$	—		$	(353	)	$	—		$	—	$	—		$	—		$	10,589	$	(353	)
Total liabilities	$	10,942	$	—	$	—		$	(353	)	$	—		$	—	$	—		$	—		$	10,589	$	(353	)

Six months ended June 30, 2018
Fixed maturities
Corporate debt	$	52,897	$	1,589	$	(4,279	)	$	(119	)	$	1,015		$	3,185	$	(5,754	)	$	(5,981	)	$	42,553	$	—
Non-Agency RMBS	—		—		—			—			3			900		—			—			903		—
CMBS	—		1,936		—			—			(2		)	16,215		—			—			18,149		—
	52,897		3,525		(4,279		)	(119		)	1,016			20,300		(5,754		)	(5,981		)	61,605		—
Other investments
Other privately held investments	46,430		—		—			(428		)	—			3,111		(1,500		)	—			47,613		(428		)
CLO - Equities	31,413		—		—			4,684			—			—		—			(9,944		)	26,153		4,684
	77,843		—		—			4,256			—			3,111		(1,500		)	(9,944		)	73,766		4,256
Other assets
Insurance-linked securities	25,090		—		—			(90		)	—			—		—			(25,000		)	—		—
	25,090		—		—			(90		)	—			—		—			(25,000		)	—		—
Total assets	$	155,830	$	3,525	$	(4,279	)	$	4,047		$	1,016		$	23,411	$	(7,254	)	$	(40,925	)	$	135,371	$	4,256

Other liabilities
Derivative instruments	$	11,510	$	—	$	—		$	(921	)	$	—		$	—	$	—		$	—		$	10,589	$	(921	)
Total liabilities	$	11,510	$	—	$	—		$	(921	)	$	—		$	—	$	—		$	—		$	10,589	$	(921	)

CHANGES IN LEVEL 3 FINANCIAL INSTRUMENTS MEASURED AT FAIR VALUE ON A RECURRING BASIS, LIABILITIES

The following tables present 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⁾

Three months ended June 30, 2019
Fixed maturities
Corporate debt	$	41,125	$	—	$	—		$	(763	)	$	309	$	—	$	(31	)	$	(1,503	)	$	39,137	$	—
CMBS	11,145		—		—			—			21		—		—			(1,274		)	9,892		—
ABS	12,043		—		(11,564		)	—			12		—		—			—			491		—
	64,313		—		(11,564		)	(763		)	342		—		(31		)	(2,777		)	49,520		—
Other investments
Other privately held investments	47,685		—		—			14,194			—		—		(33,427		)	—			28,452		767
CLO - Equities	18,022		—		—			833			—		—		—			(1,057		)	17,798		833
	65,707		—		—			15,027			—		—		(33,427		)	(1,057		)	46,250		1,600
Total assets	$	130,020	$	—	$	(11,564	)	$	14,264		$	342	$	—	$	(33,458	)	$	(3,834	)	$	95,770	$	1,600

Other liabilities
Derivative instruments	$	10,233	$	—	$	—		$	29		$	—	$	—	$	—		$	—		$	10,262	$	29
Total liabilities	$	10,233	$	—	$	—		$	29		$	—	$	—	$	—		$	—		$	10,262	$	29

Six months ended June 30, 2019
Fixed maturities
Corporate debt	$	49,012	$	—	$	—		$	(1,459	)	$	933	$	—	$	(5,578	)	$	(3,771	)	$	39,137	$	—
CMBS	19,134		—		(4,767		)	—			164		—		—			(4,639		)	9,892		—
ABS	18,533		—		(27,966		)	—			174		9,750		—			—			491		—
	86,679		—		(32,733		)	(1,459		)	1,271		9,750		(5,578		)	(8,410		)	49,520		—
Other investments
Other privately held investments	44,518		—		—			14,861			—		2,500		(33,427		)	—			28,452		1,434
CLO - Equities	21,271		—		—			1,248			—		—		—			(4,721		)	17,798		1,248
	65,789		—		—			16,109			—		2,500		(33,427		)	(4,721		)	46,250		2,682
Total assets	$	152,468	$	—	$	(32,733	)	$	14,650		$	1,271	$	12,250	$	(39,005	)	$	(13,131	)	$	95,770	$	2,682

Other liabilities
Derivative instruments	$	10,299	$	—	$	—		$	(37	)	$	—	$	—	$	—		$	—		$	10,262	$	(37	)
Total liabilities	$	10,299	$	—	$	—		$	(37	)	$	—	$	—	$	—		$	—		$	10,262	$	(37	)


(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.



	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⁾

Three months ended June 30, 2018
Fixed maturities
Corporate debt	$	43,471	$	1,589	$	—		$	(1	)	$	(388	)	$	3,185	$	(3,218	)	$	(2,085	)	$	42,553	$	—
Non-Agency RMBS	—		—		—			—			3			900		—			—			903		—
CMBS	—		1,936		—			—			(2		)	16,215		—			—			18,149		—
	43,471		3,525		—			(1		)	(387		)	20,300		(3,218		)	(2,085		)	61,605		—
Other investments
Other privately held investments	48,787		—		—			(1,174		)	—			—		—			—			47,613		(1,174		)
CLO - Equities	28,556		—		—			3,068			—			—		—			(5,471		)	26,153		3,068
	77,343		—		—			1,894			—			—		—			(5,471		)	73,766		1,894
Other assets
Insurance-linked securities	25,000		—		—			—			—			—		—			(25,000		)	—		—
	25,000		—		—			—			—			—		—			(25,000		)	—		—
Total assets	$	145,814	$	3,525	$	—		$	1,893		$	(387	)	$	20,300	$	(3,218	)	$	(32,556	)	$	135,371	$	1,894

Other liabilities
Derivative instruments	$	10,942	$	—	$	—		$	(353	)	$	—		$	—	$	—		$	—		$	10,589	$	(353	)
Total liabilities	$	10,942	$	—	$	—		$	(353	)	$	—		$	—	$	—		$	—		$	10,589	$	(353	)

Six months ended June 30, 2018
Fixed maturities
Corporate debt	$	52,897	$	1,589	$	(4,279	)	$	(119	)	$	1,015		$	3,185	$	(5,754	)	$	(5,981	)	$	42,553	$	—
Non-Agency RMBS	—		—		—			—			3			900		—			—			903		—
CMBS	—		1,936		—			—			(2		)	16,215		—			—			18,149		—
	52,897		3,525		(4,279		)	(119		)	1,016			20,300		(5,754		)	(5,981		)	61,605		—
Other investments
Other privately held investments	46,430		—		—			(428		)	—			3,111		(1,500		)	—			47,613		(428		)
CLO - Equities	31,413		—		—			4,684			—			—		—			(9,944		)	26,153		4,684
	77,843		—		—			4,256			—			3,111		(1,500		)	(9,944		)	73,766		4,256
Other assets
Insurance-linked securities	25,090		—		—			(90		)	—			—		—			(25,000		)	—		—
	25,090		—		—			(90		)	—			—		—			(25,000		)	—		—
Total assets	$	155,830	$	3,525	$	(4,279	)	$	4,047		$	1,016		$	23,411	$	(7,254	)	$	(40,925	)	$	135,371	$	4,256

Other liabilities
Derivative instruments	$	11,510	$	—	$	—		$	(921	)	$	—		$	—	$	—		$	—		$	10,589	$	(921	)
Total liabilities	$	11,510	$	—	$	—		$	(921	)	$	—		$	—	$	—		$	—		$	10,589	$	(921	)