FAIR VALUE MEASUREMENTS (Tables)

3 Months Ended

Mar. 31, 2020

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 March 31, 2020
Assets
Fixed maturities
U.S. government and agency	$	1,787,049	$	79,091	$	—	$	—	$	1,866,140
Non-U.S. government	—		598,641		—		—		598,641
Corporate debt	—		4,777,507		2,245		—		4,779,752
Agency RMBS	—		1,616,510		—		—		1,616,510
CMBS	—		1,424,312		4,371		—		1,428,683
Non-agency RMBS	—		113,826		9,185		—		123,011
ABS	—		1,444,843		336		—		1,445,179
Municipals	—		218,270		—		—		218,270
	1,787,049		10,273,000		16,137		—		12,076,186
Equity securities
Common stocks	118		—		—		—		118
Preferred stocks	7,308		—		—		—		7,308
Exchange-traded funds	222,343		—		—		—		222,343
Bond mutual funds	—		175,176		—		—		175,176
	229,769		175,176		—		—		404,945
Other investments
Hedge funds ⁽¹⁾	—		—		—		162,377		162,377
Direct lending funds	—		—		—		289,952		289,952
Private equity funds	—		—		—		83,693		83,693
Real estate funds	—		—		—		157,039		157,039
CLO-Equities	—		—		12,793		—		12,793
Other privately held investments	—		—		37,441		—		37,441
Overseas deposits	—		54,513		—		—		54,513
	—		54,513		50,234		693,061		797,808
Short-term investments	—		77,101		—		—		77,101
Other assets
Derivative instruments (refer to Note 5)	—		8,956		—		—		8,956

Total Assets	$	2,016,818	$	10,588,746	$	66,371	$	693,061	$	13,364,996
Liabilities
Derivative instruments (refer to Note 5)	$	—	$	2,081	$	20,164	$	—	$	22,245
Cash settled awards (refer to Note 8)	—		5,711		—		—		5,711
Total Liabilities	$	—	$	7,792	$	20,164	$	—	$	27,956

(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, 2019
Assets
Fixed maturities
U.S. government and agency	$	2,053,622	$	59,259	$	—	$	—	$	2,112,881
Non-U.S. government	—		576,592		—		—		576,592
Corporate debt	—		4,927,957		2,297		—		4,930,254
Agency RMBS	—		1,592,584		—		—		1,592,584
CMBS	—		1,359,817		5,235		—		1,365,052
Non-agency RMBS	—		84,922		—		—		84,922
ABS	—		1,598,204		489		—		1,598,693
Municipals	—		207,227		—		—		207,227
	2,053,622		10,406,562		8,021		—		12,468,205
Equity securities
Common stocks	$	193	$	—	$	—	$	—	$	193
Preferred stocks	—		—		—		—		—
Exchange-traded funds	297,325		—		—		—		297,325
Bond mutual funds	—		176,689		—		—		176,689
	297,518		176,689		—		—		474,207
Other investments
Hedge funds ⁽¹⁾	—		—		—		167,790		167,790
Direct lending funds	—		—		—		277,395		277,395
Private equity funds	—		—		—		80,412		80,412
Real estate funds	—		—		—		130,112		130,112
CLO-Equities	—		—		14,328		—		14,328
Other privately held investments	—		—		36,934		—		36,934
Overseas deposits	—		63,952		—		—		63,952
	—		63,952		51,262		655,709		770,923
Short-term investments	—		38,471		—		—		38,471
Other assets
Derivative instruments (refer to Note 5)	—		3,174		—		—		3,174

Total Assets	$	2,351,140	$	10,688,848	$	59,283	$	655,709	$	13,754,980
Liabilities
Derivative instruments (refer to Note 5)	$	—	$	3,965	$	9,672	$	—	$	13,637
Cash settled awards (refer to Note 8)	—		21,731		—		—		21,731
Total Liabilities	$	—	$	25,696	$	9,672	$	—	$	35,368

(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 March 31, 2020 of investments classified as Level 3 in the fair value hierarchy:


	Fair value		Valuation technique	Unobservable input	Range	Weighted average

Other investments - CLO-Equities	$	12,793	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






Derivatives - Other underwriting-related derivatives	$	(20,164)	Discounted cash flow	Discount rate	0.5%	0.5%

Note: Fixed maturities of $16 million that are classified as Level 3 are excluded from the above table as these securities are priced using broker-dealer quotes. In addition, privately held investments of $37 million that are classified as Level 3 are excluded from the above table as these investments are priced using capital statements received from investee companies.

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:


	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 gains/losses⁽³⁾

Three months ended March 31, 2020
Fixed maturities
Corporate debt	$	2,297	$	—	$	—	$	—	$	(52)	$	—	$	—	$	—	$	2,245	$	—
CMBS	5,235		—		—		—		(293)		—		—		(571)		4,371		—
Non-agency RMBS	—		9,185		—		—		—		—		—		—		9,185		—
ABS	489		—		—		—		(153)		—		—		—		336		—
	8,021		9,185		—		—		(498)		—		—		(571)		16,137		—
Other investments



CLO-Equities	14,328		—		—		(847)		—		—		—		(688)		12,793		(847)
Other privately held investments	36,934		—		—		80		—		427		—		—		37,441		80
	51,262		—		—		(767)		—		427		—		(688)		50,234		(767)




Total assets	$	59,283	$	9,185	$	—	$	(767)	$	(498)	$	427	$	—	$	(1,259)	$	66,371	$	(767)

Other liabilities
Derivative instruments	$	9,672	$	—	$	—	$	10,492	$	—	$	—	$	—	$	—	$	20,164	$	10,492
Total liabilities	$	9,672	$	—	$	—	$	10,492	$	—	$	—	$	—	$	—	$	20,164	$	10,492


	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 gains/losses⁽³⁾

Three months ended March 31, 2019
Fixed maturities
Corporate debt	$	49,012	$	—	$	—	$	(696)	$	624	$	—	$	(5,547)	$	(2,268)	$	41,125	$	—
CMBS	19,134		—		(4,767)		—		143		—		—		(3,365)		11,145		—
Non-agency RMBS	—		—		—		—		—		—		—		—		—		—
ABS	18,533		—		(16,402)		—		162		9,750		—		—		12,043		—
	86,679		—		(21,169)		(696)		929		9,750		(5,547)		(5,633)		64,313		—
Other investments



CLO-Equities	21,271		—		—		415		—		—		—		(3,664)		18,022		415
Other privately held investments	44,518		—		—		667		—		2,500		—		—		47,685		667
	65,789		—		—		1,082		—		2,500		—		(3,664)		65,707		1,082





Total assets	$	152,468	$	—	$	(21,169)	$	386	$	929	$	12,250	$	(5,547)	$	(9,297)	$	130,020	$	1,082

Other liabilities
Derivative instruments	$	10,299	$	—	$	—	$	(66)	$	—	$	—	$	—	$	—	$	10,233	$	(66)
Total liabilities	$	10,299	$	—	$	—	$	(66)	$	—	$	—	$	—	$	—	$	10,233	$	(66)

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

(3) Change in unrealized 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:


	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 gains/losses⁽³⁾

Three months ended March 31, 2020
Fixed maturities
Corporate debt	$	2,297	$	—	$	—	$	—	$	(52)	$	—	$	—	$	—	$	2,245	$	—
CMBS	5,235		—		—		—		(293)		—		—		(571)		4,371		—
Non-agency RMBS	—		9,185		—		—		—		—		—		—		9,185		—
ABS	489		—		—		—		(153)		—		—		—		336		—
	8,021		9,185		—		—		(498)		—		—		(571)		16,137		—
Other investments



CLO-Equities	14,328		—		—		(847)		—		—		—		(688)		12,793		(847)
Other privately held investments	36,934		—		—		80		—		427		—		—		37,441		80
	51,262		—		—		(767)		—		427		—		(688)		50,234		(767)




Total assets	$	59,283	$	9,185	$	—	$	(767)	$	(498)	$	427	$	—	$	(1,259)	$	66,371	$	(767)

Other liabilities
Derivative instruments	$	9,672	$	—	$	—	$	10,492	$	—	$	—	$	—	$	—	$	20,164	$	10,492
Total liabilities	$	9,672	$	—	$	—	$	10,492	$	—	$	—	$	—	$	—	$	20,164	$	10,492


	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 gains/losses⁽³⁾

Three months ended March 31, 2019
Fixed maturities
Corporate debt	$	49,012	$	—	$	—	$	(696)	$	624	$	—	$	(5,547)	$	(2,268)	$	41,125	$	—
CMBS	19,134		—		(4,767)		—		143		—		—		(3,365)		11,145		—
Non-agency RMBS	—		—		—		—		—		—		—		—		—		—
ABS	18,533		—		(16,402)		—		162		9,750		—		—		12,043		—
	86,679		—		(21,169)		(696)		929		9,750		(5,547)		(5,633)		64,313		—
Other investments



CLO-Equities	21,271		—		—		415		—		—		—		(3,664)		18,022		415
Other privately held investments	44,518		—		—		667		—		2,500		—		—		47,685		667
	65,789		—		—		1,082		—		2,500		—		(3,664)		65,707		1,082





Total assets	$	152,468	$	—	$	(21,169)	$	386	$	929	$	12,250	$	(5,547)	$	(9,297)	$	130,020	$	1,082

Other liabilities
Derivative instruments	$	10,299	$	—	$	—	$	(66)	$	—	$	—	$	—	$	—	$	10,233	$	(66)
Total liabilities	$	10,299	$	—	$	—	$	(66)	$	—	$	—	$	—	$	—	$	10,233	$	(66)

(2) Unrealized gains (losses) on fixed maturities are included in other comprehensive income ("OCI").

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