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 expedient		Total 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 stocks	9,295		—		—		—		9,295
Preferred stocks	7,754		—		—		—		7,754
Exchange-traded funds	192,202		—		—		—		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 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 September 30, 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	$	9,189	Discounted cash flow	Default rates	3.8%	3.8%
				Loss severity rate	50.0%	50.0%
				Collateral spreads	3.0%	3.0%
				Estimated maturity dates	5 years	5 years
Derivatives - Other underwriting-related derivatives	$	(9,448)	Discounted cash flow	Discount rate	0.5%	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)		Purchases		Sales		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	$	—
CMBS	4,434		—		—		—		148		—		—		(1,959)		2,623		—
Non-agency RMBS	9,562		—		—		—		70		—		—		—		9,632		—
ABS	441		10,060		—		—		9		—		—		—		10,510		—
	16,735		10,060		—		—		328		—		—		(1,959)		25,164		—
Other investments
CLO-Equities	9,943		—		—		(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	$	—
CMBS	5,235		—		—		—		(64)		—		—		(2,548)		2,623		—
Non-agency RMBS	—		9,185		—		—		447		—		—		—		9,632		—
ABS	489		10,060		—		—		(39)		—		—		—		10,510		—
	8,021		19,245		—		—		446		—		—		(2,548)		25,164		—
Other investments
CLO-Equities	14,328		—		—		(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)		Purchases		Sales		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	$	—
CMBS	9,892		5,285		—		—		(13)		—		—		(390)		14,774		—
Non-agency RMBS	—		—		—		—		—		—		—		—		—		—
ABS	491		—		—		—		1		—		—		—		492		—
	49,520		5,285		(489)		—		(109)		—		—		(390)		53,817		—
Other investments
CLO-Equities	17,798		—		—		(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	$	—
CMBS	19,134		5,285		(4,767)		—		151		—		—		(5,029)		14,774		—
Non-agency RMBS	—		—		—		—		—		—		—		—		—		—
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
CLO-Equities	21,271		—		—		(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)		Purchases		Sales		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	$	—
CMBS	4,434		—		—		—		148		—		—		(1,959)		2,623		—
Non-agency RMBS	9,562		—		—		—		70		—		—		—		9,632		—
ABS	441		10,060		—		—		9		—		—		—		10,510		—
	16,735		10,060		—		—		328		—		—		(1,959)		25,164		—
Other investments
CLO-Equities	9,943		—		—		(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	$	—
CMBS	5,235		—		—		—		(64)		—		—		(2,548)		2,623		—
Non-agency RMBS	—		9,185		—		—		447		—		—		—		9,632		—
ABS	489		10,060		—		—		(39)		—		—		—		10,510		—
	8,021		19,245		—		—		446		—		—		(2,548)		25,164		—
Other investments
CLO-Equities	14,328		—		—		(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)		Purchases		Sales		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	$	—
CMBS	9,892		5,285		—		—		(13)		—		—		(390)		14,774		—
Non-agency RMBS	—		—		—		—		—		—		—		—		—		—
ABS	491		—		—		—		1		—		—		—		492		—
	49,520		5,285		(489)		—		(109)		—		—		(390)		53,817		—
Other investments
CLO-Equities	17,798		—		—		(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	$	—
CMBS	19,134		5,285		(4,767)		—		151		—		—		(5,029)		14,774		—
Non-agency RMBS	—		—		—		—		—		—		—		—		—		—
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
CLO-Equities	21,271		—		—		(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.