FAIR VALUE MEASUREMENTS (Tables)

9 Months Ended

Sep. 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 September 30, 2019
Assets
Fixed maturities
U.S. government and agency	$	2,081,388	$	52,568	$	—	$	—	$	2,133,956
Non-U.S. government	—		537,632		—		—		537,632
Corporate debt	—		5,038,544		38,551		—		5,077,095
Agency RMBS	—		1,632,768		—		—		1,632,768
CMBS	—		1,354,116		14,774		—		1,368,890
Non-Agency RMBS	—		58,952		—		—		58,952
ABS	—		1,600,043		492		—		1,600,535
Municipals	—		206,413		—		—		206,413
	2,081,388		10,481,036		53,817		—		12,616,241
Equity securities
Common stocks	184		—		—		—		184
Exchange-traded funds	273,722		—		—		—		273,722
Bond mutual funds	—		155,997		—		—		155,997
	273,906		155,997		—		—		429,903
Other investments
Hedge funds ⁽¹⁾	—		—		—		196,696		196,696
Direct lending funds	—		—		—		275,619		275,619
Private equity funds	—		—		—		67,210		67,210
Real estate funds	—		—		—		130,209		130,209
Other privately held investments	—		—		30,719		—		30,719
CLO-Equities	—		—		15,454		—		15,454
Overseas deposits	—		63,293		—		—		63,293
	—		63,293		46,173		669,734		779,200
Short-term investments	—		12,539		—		—		12,539
Other assets
Derivative instruments (refer to Note 5)	—		1,343		—		—		1,343
Total Assets	$	2,355,294	$	10,714,208	$	99,990	$	669,734	$	13,839,226
Liabilities
Derivative instruments (refer to Note 5)	$	—	$	7,465	$	10,136	$	—	$	17,601
Cash settled awards (refer to Note 8)	—		19,060		—		—		19,060
Total Liabilities	$	—	$	26,525	$	10,136	$	—	$	36,661

(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 September 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	$	15,454		Discounted cash flow	Default rates	3.5%	3.5%
					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	$	30,719		Discounted cash flow	Discount rate	3.0%	3.0%

Derivatives - Other underwriting-related derivatives	$	(10,136	)	Discounted cash flow	Discount rate	1.6%	1.6%

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 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 September 30, 2019
Fixed maturities
Corporate debt	$	39,137	$	—	$	(489	)	$	—		$	(97	)	$	—	$	—		$	—		$	38,551	$	—
CMBS	9,892		5,285		—			—			(13		)	—		—			(390		)	14,774		—
ABS	491		—		—			—			1			—		—			—			492		—
	49,520		5,285		(489		)	—			(109		)	—		—			(390		)	53,817		—
Other investments
Other privately held investments	28,452		—		—			2,016			—			15,000		(14,749		)	—			30,719		2,502
CLO - Equities	17,798		—		—			(1,308		)	—			—		—			(1,036		)	15,454		(1,308		)
	46,250		—		—			708			—			15,000		(14,749		)	(1,036		)	46,173		1,194
Total assets	$	95,770	$	5,285	$	(489	)	$	708		$	(109	)	$	15,000	$	(14,749	)	$	(1,426	)	$	99,990	$	1,194

Other liabilities
Derivative instruments	$	10,262	$	—	$	—		$	(126	)	$	—		$	—	$	—		$	—		$	10,136	$	(126	)
Total liabilities	$	10,262	$	—	$	—		$	(126	)	$	—		$	—	$	—		$	—		$	10,136	$	(126	)

Nine months ended September 30, 2019
Fixed maturities
Corporate debt	$	49,012	$	—	$	(489	)	$	(1,459	)	$	836		$	—	$	(5,578	)	$	(3,771	)	$	38,551	$	—
CMBS	19,134		5,285		(4,767		)	—			151			—		—			(5,029		)	14,774		—
ABS	18,533		—		(27,966		)	—			175			9,750		—			—			492		—
	86,679		5,285		(33,222		)	(1,459		)	1,162			9,750		(5,578		)	(8,800		)	53,817		—
Other investments
Other privately held investments	44,518		—		—			16,877			—			17,500		(48,176		)	—			30,719		3,936
CLO - Equities	21,271		—		—			(60		)	—			—		—			(5,757		)	15,454		(60		)
	65,789		—		—			16,817			—			17,500		(48,176		)	(5,757		)	46,173		3,876
Total assets	$	152,468	$	5,285	$	(33,222	)	$	15,358		$	1,162		$	27,250	$	(53,754	)	$	(14,557	)	$	99,990	$	3,876

Other liabilities
Derivative instruments	$	10,299	$	—	$	—		$	(163	)	$	—		$	—	$	—		$	—		$	10,136	$	(163	)
Total liabilities	$	10,299	$	—	$	—		$	(163	)	$	—		$	—	$	—		$	—		$	10,136	$	(163	)

(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 September 30, 2018
Fixed maturities
Corporate debt	$	42,553	$	1,346	$	—		$	(579	)	$	4,962		$	13,871	$	(3,960	)	$	(5,093	)	$	53,100	$	—
Non-Agency RMBS	903		—		(790		)	—			(1		)	—		—			(112		)	—		—
CMBS	18,149		3,160		(10,422		)	—			(55		)	—		—			(61		)	10,771		—
ABS	—		3,657		—			—			—			—		—			—			3,657		—
	61,605		8,163		(11,212		)	(579		)	4,906			13,871		(3,960		)	(5,266		)	67,528		—
Other investments
Other privately held investments	47,613		—		—			(224		)	—			—		—			—			47,389		(224		)
CLO - Equities	26,153		—		—			2,035			—			—		—			(3,924		)	24,264		2,035
	73,766		—		—			1,811			—			—		—			(3,924		)	71,653		1,811
Other assets
Insurance-linked securities	—		—		—			—			—			—		—			—			—		—
	—		—		—			—			—			—		—			—			—		—
Total assets	$	135,371	$	8,163	$	(11,212	)	$	1,232		$	4,906		$	13,871	$	(3,960	)	$	(9,190	)	$	139,181	$	1,811

Other liabilities
Derivative instruments	$	10,589	$	—	$	—		$	(377	)	$	—		$	—	$	—		$	—		$	10,212	$	(377	)
Total liabilities	$	10,589	$	—	$	—		$	(377	)	$	—		$	—	$	—		$	—		$	10,212	$	(377	)

Nine months ended September 30, 2018
Fixed maturities
Corporate debt	$	52,897	$	2,935	$	(4,279	)	$	(698	)	$	5,977		$	17,056	$	(9,714	)	$	(11,074	)	$	53,100	$	—
Non-Agency RMBS	—		—		(789		)	—			1			900		—			(112		)	—		—
CMBS	—		5,096		(10,422		)	—			(57		)	16,215		—			(61		)	10,771		—
ABS	—		3,657		—			—			—			—		—			—			3,657		—
	52,897		11,688		(15,490		)	(698		)	5,921			34,171		(9,714		)	(11,247		)	67,528		—
Other investments
Other privately held investments	46,430		—		—			(652		)	—			3,111		(1,500		)	—			47,389		(652		)
CLO - Equities	31,413		—		—			6,719			—			—		—			(13,868		)	24,264		6,719
	77,843		—		—			6,067			—			3,111		(1,500		)	(13,868		)	71,653		6,067
Other assets
Insurance-linked securities	25,090		—		—			(90		)	—			—		—			(25,000		)	—		—
	25,090		—		—			(90		)	—			—		—			(25,000		)	—		—
Total assets	$	155,830	$	11,688	$	(15,490	)	$	5,279		$	5,921		$	37,282	$	(11,214	)	$	(50,115	)	$	139,181	$	6,067

Other liabilities
Derivative instruments	$	11,510	$	—	$	—		$	(1,298	)	$	—		$	—	$	—		$	—		$	10,212	$	(1,298	)
Total liabilities	$	11,510	$	—	$	—		$	(1,298	)	$	—		$	—	$	—		$	—		$	10,212	$	(1,298	)

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 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 September 30, 2019
Fixed maturities
Corporate debt	$	39,137	$	—	$	(489	)	$	—		$	(97	)	$	—	$	—		$	—		$	38,551	$	—
CMBS	9,892		5,285		—			—			(13		)	—		—			(390		)	14,774		—
ABS	491		—		—			—			1			—		—			—			492		—
	49,520		5,285		(489		)	—			(109		)	—		—			(390		)	53,817		—
Other investments
Other privately held investments	28,452		—		—			2,016			—			15,000		(14,749		)	—			30,719		2,502
CLO - Equities	17,798		—		—			(1,308		)	—			—		—			(1,036		)	15,454		(1,308		)
	46,250		—		—			708			—			15,000		(14,749		)	(1,036		)	46,173		1,194
Total assets	$	95,770	$	5,285	$	(489	)	$	708		$	(109	)	$	15,000	$	(14,749	)	$	(1,426	)	$	99,990	$	1,194

Other liabilities
Derivative instruments	$	10,262	$	—	$	—		$	(126	)	$	—		$	—	$	—		$	—		$	10,136	$	(126	)
Total liabilities	$	10,262	$	—	$	—		$	(126	)	$	—		$	—	$	—		$	—		$	10,136	$	(126	)

Nine months ended September 30, 2019
Fixed maturities
Corporate debt	$	49,012	$	—	$	(489	)	$	(1,459	)	$	836		$	—	$	(5,578	)	$	(3,771	)	$	38,551	$	—
CMBS	19,134		5,285		(4,767		)	—			151			—		—			(5,029		)	14,774		—
ABS	18,533		—		(27,966		)	—			175			9,750		—			—			492		—
	86,679		5,285		(33,222		)	(1,459		)	1,162			9,750		(5,578		)	(8,800		)	53,817		—
Other investments
Other privately held investments	44,518		—		—			16,877			—			17,500		(48,176		)	—			30,719		3,936
CLO - Equities	21,271		—		—			(60		)	—			—		—			(5,757		)	15,454		(60		)
	65,789		—		—			16,817			—			17,500		(48,176		)	(5,757		)	46,173		3,876
Total assets	$	152,468	$	5,285	$	(33,222	)	$	15,358		$	1,162		$	27,250	$	(53,754	)	$	(14,557	)	$	99,990	$	3,876

Other liabilities
Derivative instruments	$	10,299	$	—	$	—		$	(163	)	$	—		$	—	$	—		$	—		$	10,136	$	(163	)
Total liabilities	$	10,299	$	—	$	—		$	(163	)	$	—		$	—	$	—		$	—		$	10,136	$	(163	)

(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 September 30, 2018
Fixed maturities
Corporate debt	$	42,553	$	1,346	$	—		$	(579	)	$	4,962		$	13,871	$	(3,960	)	$	(5,093	)	$	53,100	$	—
Non-Agency RMBS	903		—		(790		)	—			(1		)	—		—			(112		)	—		—
CMBS	18,149		3,160		(10,422		)	—			(55		)	—		—			(61		)	10,771		—
ABS	—		3,657		—			—			—			—		—			—			3,657		—
	61,605		8,163		(11,212		)	(579		)	4,906			13,871		(3,960		)	(5,266		)	67,528		—
Other investments
Other privately held investments	47,613		—		—			(224		)	—			—		—			—			47,389		(224		)
CLO - Equities	26,153		—		—			2,035			—			—		—			(3,924		)	24,264		2,035
	73,766		—		—			1,811			—			—		—			(3,924		)	71,653		1,811
Other assets
Insurance-linked securities	—		—		—			—			—			—		—			—			—		—
	—		—		—			—			—			—		—			—			—		—
Total assets	$	135,371	$	8,163	$	(11,212	)	$	1,232		$	4,906		$	13,871	$	(3,960	)	$	(9,190	)	$	139,181	$	1,811

Other liabilities
Derivative instruments	$	10,589	$	—	$	—		$	(377	)	$	—		$	—	$	—		$	—		$	10,212	$	(377	)
Total liabilities	$	10,589	$	—	$	—		$	(377	)	$	—		$	—	$	—		$	—		$	10,212	$	(377	)

Nine months ended September 30, 2018
Fixed maturities
Corporate debt	$	52,897	$	2,935	$	(4,279	)	$	(698	)	$	5,977		$	17,056	$	(9,714	)	$	(11,074	)	$	53,100	$	—
Non-Agency RMBS	—		—		(789		)	—			1			900		—			(112		)	—		—
CMBS	—		5,096		(10,422		)	—			(57		)	16,215		—			(61		)	10,771		—
ABS	—		3,657		—			—			—			—		—			—			3,657		—
	52,897		11,688		(15,490		)	(698		)	5,921			34,171		(9,714		)	(11,247		)	67,528		—
Other investments
Other privately held investments	46,430		—		—			(652		)	—			3,111		(1,500		)	—			47,389		(652		)
CLO - Equities	31,413		—		—			6,719			—			—		—			(13,868		)	24,264		6,719
	77,843		—		—			6,067			—			3,111		(1,500		)	(13,868		)	71,653		6,067
Other assets
Insurance-linked securities	25,090		—		—			(90		)	—			—		—			(25,000		)	—		—
	25,090		—		—			(90		)	—			—		—			(25,000		)	—		—
Total assets	$	155,830	$	11,688	$	(15,490	)	$	5,279		$	5,921		$	37,282	$	(11,214	)	$	(50,115	)	$	139,181	$	6,067

Other liabilities
Derivative instruments	$	11,510	$	—	$	—		$	(1,298	)	$	—		$	—	$	—		$	—		$	10,212	$	(1,298	)
Total liabilities	$	11,510	$	—	$	—		$	(1,298	)	$	—		$	—	$	—		$	—		$	10,212	$	(1,298	)