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FAIR VALUE MEASUREMENTS (Tables)
9 Months Ended
Sep. 30, 2020
Fair Value Disclosures [Abstract]  
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 expedientTotal fair value
At September 30, 2020
Assets
Fixed maturities
U.S. government and agency$1,911,014 $80,452 $— $— $1,991,466 
Non-U.S. government— 673,801 — — 673,801 
Corporate debt— 4,794,332 2,399 — 4,796,731 
Agency RMBS— 1,677,106 — — 1,677,106 
CMBS— 1,378,115 2,623 — 1,380,738 
Non-agency RMBS— 123,898 9,632 — 133,530 
ABS— 1,661,665 10,510 — 1,672,175 
Municipals— 283,694 — — 283,694 
 1,911,014 10,673,063 25,164 — 12,609,241 
Equity securities
Common stocks9,295 — — — 9,295 
Preferred stocks7,754 — — — 7,754 
Exchange-traded funds192,202 — — — 192,202 
Bond mutual funds— 208,635 — — 208,635 
 209,251 208,635 — — 417,886 
Other investments
Hedge funds (1)
— — — 136,795 136,795 
Direct lending funds— — — 269,783 269,783 
Private equity funds— — — 106,701 106,701 
Real estate funds— — — 153,163 153,163 
CLO-Equities— — 9,189 — 9,189 
Other privately held investments— — 39,493 — 39,493 
Overseas deposits— 45,082 — — 45,082 
— 45,082 48,682 666,442 760,206 
Short-term investments— 69,996 — — 69,996 
Other assets
Derivative instruments (refer to Note 5)— 7,267 — — 7,267 
Total Assets$2,120,265 $11,004,043 $73,846 $666,442 $13,864,596 
Liabilities
Derivative instruments (refer to Note 5)$— $1,578 $9,448 $— $11,026 
Cash settled awards (refer to Note 8)— 10,160 — — 10,160 
 Total Liabilities$— $11,738 $9,448 $— $21,186 
(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 expedientTotal 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 funds297,325 — — — 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 September 30, 2020 of investments classified as Level 3 in the fair value hierarchy:
Fair valueValuation techniqueUnobservable inputRange
Weighted
average
Other investments - CLO-Equities$9,189 Discounted cash flowDefault rates3.8%3.8%
  Loss severity rate50.0%50.0%
  Collateral spreads3.0%3.0%
Estimated maturity dates5 years5 years
Derivatives - Other underwriting-related derivatives
$(9,448)
Discounted cash flow
Discount rate0.5%0.5%
Note: Fixed maturities of $25 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 $39 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)
PurchasesSales
Settlements/
distributions
Closing
balance
Change in
unrealized
gains/(losses) (3)
  
Three months ended September 30, 2020
Fixed maturities          
Corporate debt$2,298 $— $— $— $101 $— $— $— $2,399 $— 
CMBS4,434 — — — 148 — — (1,959)2,623 — 
Non-agency RMBS9,562 — — — 70 — — — 9,632 — 
ABS441 10,060 — — 9 — — — 10,510 — 
 16,735 10,060 — — 328 — — (1,959)25,164 — 
Other investments
CLO-Equities9,943 — — (422)— — — (332)9,189 (422)
Other privately held investments
37,420 — — 797 — 1,276 — — 39,493 566 
 47,363 — — 375 — 1,276 — (332)48,682 144 
Total assets$64,098 $10,060 $— $375 $328 $1,276 $— $(2,291)$73,846 $144 
  
Other liabilities
Derivative instruments$9,818 $— $— $(370)$— $— $— $— $9,448 $(370)
Total liabilities$9,818 $— $— $(370)$— $— $— $— $9,448 $(370)
Nine months ended September 30, 2020
Fixed maturities          
Corporate debt$2,297 $— $— $— $102 $— $— $— $2,399 $— 
CMBS5,235 — — — (64)— — (2,548)2,623 — 
Non-agency RMBS— 9,185 — — 447 — — — 9,632 — 
ABS489 10,060 — — (39)— — — 10,510 — 
 8,021 19,245 — — 446 — — (2,548)25,164 — 
Other investments
CLO-Equities14,328 — — (3,592)— — — (1,547)9,189 (3,592)
Other privately held investments
36,934 — — 801 — 1,758 — — 39,493 570 
 51,262 — — (2,791)— 1,758 — (1,547)48,682 (3,022)
Total assets$59,283 $19,245 $— $(2,791)$446 $1,758 $— $(4,095)$73,846 $(3,022)
Other liabilities
Derivative instruments$9,672 $— $— $9,747 $— $— $— $(9,971)$9,448 $(224)
Total liabilities$9,672 $— $— $9,747 $— $— $— $(9,971)$9,448 $(224)
           
(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.
Opening
balance
Transfers
into
Level 3
Transfers
out of
Level 3
Included in
net income(1)
Included
in OCI (2)
PurchasesSales
Settlements/
distributions
Closing
balance
Change in
unrealized
gains/(losses)(3)
  
Three months ended September 30, 2019
Fixed maturities          
Corporate debt$39,137 $— $(489)$— $(97)$— $— $— $38,551 $— 
CMBS9,892 5,285 — — (13)— — (390)14,774 — 
Non-agency RMBS— — — — — — — — — — 
ABS491 — — — 1 — — — 492 — 
 49,520 5,285 (489)— (109)— — (390)53,817 — 
Other investments
CLO-Equities17,798 — — (1,308)— — — (1,036)15,454 (1,308)
Other privately held investments
28,452 — — 2,016 — 15,000 (14,749)— 30,719 2,502 
 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 $— 
CMBS19,134 5,285 (4,767)— 151 — — (5,029)14,774 — 
Non-agency RMBS— — — — — — — — — — 
ABS18,533 — (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
CLO-Equities21,271 — — (60)— — — (5,757)15,454 (60)
Other privately held investments
44,518 — — 16,877 — 17,500 (48,176)— 30,719 3,936 
 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 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)
PurchasesSales
Settlements/
distributions
Closing
balance
Change in
unrealized
gains/(losses) (3)
  
Three months ended September 30, 2020
Fixed maturities          
Corporate debt$2,298 $— $— $— $101 $— $— $— $2,399 $— 
CMBS4,434 — — — 148 — — (1,959)2,623 — 
Non-agency RMBS9,562 — — — 70 — — — 9,632 — 
ABS441 10,060 — — 9 — — — 10,510 — 
 16,735 10,060 — — 328 — — (1,959)25,164 — 
Other investments
CLO-Equities9,943 — — (422)— — — (332)9,189 (422)
Other privately held investments
37,420 — — 797 — 1,276 — — 39,493 566 
 47,363 — — 375 — 1,276 — (332)48,682 144 
Total assets$64,098 $10,060 $— $375 $328 $1,276 $— $(2,291)$73,846 $144 
  
Other liabilities
Derivative instruments$9,818 $— $— $(370)$— $— $— $— $9,448 $(370)
Total liabilities$9,818 $— $— $(370)$— $— $— $— $9,448 $(370)
Nine months ended September 30, 2020
Fixed maturities          
Corporate debt$2,297 $— $— $— $102 $— $— $— $2,399 $— 
CMBS5,235 — — — (64)— — (2,548)2,623 — 
Non-agency RMBS— 9,185 — — 447 — — — 9,632 — 
ABS489 10,060 — — (39)— — — 10,510 — 
 8,021 19,245 — — 446 — — (2,548)25,164 — 
Other investments
CLO-Equities14,328 — — (3,592)— — — (1,547)9,189 (3,592)
Other privately held investments
36,934 — — 801 — 1,758 — — 39,493 570 
 51,262 — — (2,791)— 1,758 — (1,547)48,682 (3,022)
Total assets$59,283 $19,245 $— $(2,791)$446 $1,758 $— $(4,095)$73,846 $(3,022)
Other liabilities
Derivative instruments$9,672 $— $— $9,747 $— $— $— $(9,971)$9,448 $(224)
Total liabilities$9,672 $— $— $9,747 $— $— $— $(9,971)$9,448 $(224)
           
(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.
Opening
balance
Transfers
into
Level 3
Transfers
out of
Level 3
Included in
net income(1)
Included
in OCI (2)
PurchasesSales
Settlements/
distributions
Closing
balance
Change in
unrealized
gains/(losses)(3)
  
Three months ended September 30, 2019
Fixed maturities          
Corporate debt$39,137 $— $(489)$— $(97)$— $— $— $38,551 $— 
CMBS9,892 5,285 — — (13)— — (390)14,774 — 
Non-agency RMBS— — — — — — — — — — 
ABS491 — — — 1 — — — 492 — 
 49,520 5,285 (489)— (109)— — (390)53,817 — 
Other investments
CLO-Equities17,798 — — (1,308)— — — (1,036)15,454 (1,308)
Other privately held investments
28,452 — — 2,016 — 15,000 (14,749)— 30,719 2,502 
 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 $— 
CMBS19,134 5,285 (4,767)— 151 — — (5,029)14,774 — 
Non-agency RMBS— — — — — — — — — — 
ABS18,533 — (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
CLO-Equities21,271 — — (60)— — — (5,757)15,454 (60)
Other privately held investments
44,518 — — 16,877 — 17,500 (48,176)— 30,719 3,936 
 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 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.