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FAIR VALUE MEASUREMENTS (Tables)
 6 Months Ended
Jun. 30, 2021
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 June 30, 2021
Assets
Fixed maturities, available for sale
U.S. government and agency$2,504,245 $47,695 $— $— $2,551,940 
Non-U.S. government— 680,572 — — 680,572 
Corporate debt— 4,476,668 22,726 — 4,499,394 
Agency RMBS— 1,044,556 — — 1,044,556 
CMBS— 1,144,592 — — 1,144,592 
Non-agency RMBS— 207,489 — — 207,489 
ABS— 1,487,079 12,560 — 1,499,639 
Municipals— 270,118 — — 270,118 
 2,504,245 9,358,769 35,286 — 11,898,300 
Equity securities
Common stocks952 — — — 952 
Preferred stocks251 — — — 251 
Exchange-traded funds309,985 — — — 309,985 
Bond mutual funds— 277,008 — — 277,008 
 311,188 277,008 — — 588,196 
Other investments
Hedge funds (1)
— — — 112,748 112,748 
Direct lending funds— — — 288,404 288,404 
Private equity funds— — — 190,465 190,465 
Real estate funds— — — 201,833 201,833 
CLO-Equities— — 7,002 — 7,002 
Other privately held investments— — 64,786 — 64,786 
Overseas deposits— — — — — 
— — 71,788 793,450 865,238 
Short-term investments— 112,862 — — 112,862 
Other assets
Derivative instruments (refer to Note 5)— 3,140 — — 3,140 
Total Assets$2,815,433 $9,751,779 $107,074 $793,450 $13,467,736 
Liabilities
Derivative instruments (refer to Note 5)$— $10,265 $8,117 $— $18,382 
Cash settled awards (refer to Note 8)— 5,804 — — 5,804 
 Total Liabilities$— $16,069 $8,117 $— $24,186 
(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, 2020
Assets
Fixed maturities, available for sale
U.S. government and agency$1,861,240 $57,459 $— $— $1,918,699 
Non-U.S. government— 671,273 — — 671,273 
Corporate debt— 4,653,447 2,504 — 4,655,951 
Agency RMBS— 1,286,209 — — 1,286,209 
CMBS— 1,351,847 1,740 — 1,353,587 
Non-agency RMBS— 140,104 — — 140,104 
ABS— 1,709,413 10,665 — 1,720,078 
Municipals— 295,898 — — 295,898 
 1,861,240 10,165,650 14,909 — 12,041,799 
Equity securities
Common stocks$10,942 $— $— $— $10,942 
Preferred stocks8,068 — — — 8,068 
Exchange-traded funds221,718 — — — 221,718 
Bond mutual funds— 277,717 — — 277,717 
 240,728 277,717 — — 518,445 
Other investments
Hedge funds (1)
— — — 146,720 146,720 
Direct lending funds— — — 272,131 272,131 
Private equity funds— — — 124,706 124,706 
Real estate funds— — — 164,250 164,250 
CLO-Equities— — 6,173 — 6,173 
Other privately held investments— — 70,011 — 70,011 
Overseas deposits— 45,165 — — 45,165 
— 45,165 76,184 707,807 829,156 
Short-term investments— 161,897 — — 161,897 
Other assets
Derivative instruments (refer to Note 5)— 18,875 — — 18,875 
Total Assets$2,101,968 $10,669,304 $91,093 $707,807 $13,570,172 
Liabilities
Derivative instruments (refer to Note 5)$— $2,364 $9,122 $— $11,486 
Cash settled awards (refer to Note 8)— 13,273 — — 13,273 
Total Liabilities$— $15,637 $9,122 $— $24,759 
(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, 2021 of investments classified as Level 3 in the fair value hierarchy:
Fair valueValuation techniqueUnobservable inputRange
Weighted
average
Other investments - CLO-Equities$7,002 Discounted cash flowDefault rates4.5%4.5%
  Loss severity rate50.0%50.0%
  Collateral spreads3.0%3.0%
Estimated maturity dates7 years7 years
Other investments - Other privately held investments
$21,643 Discounted cash flowDiscount rate1.3%1.3%
Default rate0.5%0.5%
Loss absorption yield1.0%1.0%
Estimated maturity date5 years5 years
Derivatives - Other underwriting-related derivatives
$(8,117)
Discounted cash flow
Discount rate0.9%0.9%
Note: Fixed maturities of $35 million that are classified as Level 3 are excluded from the above table as these securities are priced using broker-dealer quotes. In addition, other privately held investments of $43 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 June 30, 2021
Fixed maturities, available for sale         
Corporate debt$2,405 $7,000 $— $— $21 $13,300 $— $— $22,726 $— 
CMBS905 — — — (2)— — (903)— — 
ABS7,175 12,382 (7,004)— 7 — — — 12,560 — 
 10,485 19,382 (7,004)— 26 13,300 — (903)35,286 — 
Other investments
CLO-Equities6,269 — — 1,410 — — — (677)7,002 1,410 
Other privately held investments
61,783 — — 3 — 3,000 — — 64,786 3 
 68,052 — — 1,413 — 3,000 — (677)71,788 1,413 
Total assets$78,537 $19,382 $(7,004)$1,413 $26 $16,300 $— $(1,580)$107,074 $1,413 
  
Other liabilities
Derivative instruments$8,462 $— $— $(345)$— $— $— $— $8,117 $(345)
Total liabilities$8,462 $— $— $(345)$— $— $— $— $8,117 $(345)
Six months ended June 30, 2021
Fixed maturities          
Corporate debt$2,504 $7,000 $— $— $(78)$13,300 $— $— $22,726 $— 
CMBS1,740 — — — 13 — — (1,753)— — 
ABS10,665 18,566 (16,207)— 36 — — (500)12,560 — 
 14,909 25,566 (16,207)— (29)13,300 — (2,253)35,286 — 
Other investments
CLO-Equities6,173 — — 1,980 — — — (1,151)7,002 1,980 
Other privately held investments
70,011 — — 18,482 — 3,273 (26,980)— 64,786 1,101 
 76,184 — — 20,462 — 3,273 (26,980)(1,151)71,788 3,081 
Total assets$91,093 $25,566 $(16,207)$20,462 $(29)$16,573 $(26,980)$(3,404)$107,074 $3,081 
Other liabilities
Derivative instruments$9,122 $— $— $(1,005)$— $— $— $— $8,117 $(1,005)
Total liabilities$9,122 $— $— $(1,005)$— $— $— $— $8,117 $(1,005)
           

(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 and liabilities 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 June 30, 2020
Fixed maturities, available for sale         
Corporate debt$2,245 $— $— $— $53 $— $— $— $2,298 $— 
CMBS4,371 — — — 81 — — (18)4,434 — 
Non-agency RMBS9,185 — — — 377 — — — 9,562 — 
ABS336 — — — 105 — — — 441 — 
 16,137 — — — 616 — — (18)16,735 — 
Other investments
CLO-Equities12,793 — — (2,322)— — — (528)9,943 (2,322)
Other privately held investments
37,441 — — (76)— 55 — — 37,420 (76)
 50,234 — — (2,398)— 55 — (528)47,363 (2,398)
Total assets$66,371 $— $— $(2,398)$616 $55 $— $(546)$64,098 $(2,398)
Other liabilities
Derivative instruments$20,164 $— $— $(375)$— $— $— $(9,971)$9,818 $(346)
Total liabilities$20,164 $— $— $(375)$— $— $— $(9,971)$9,818 $(346)
Six months ended June 30, 2020
Fixed maturities          
Corporate debt$2,297 $— $— $— $1 $— $— $— $2,298 $— 
CMBS5,235 — — — (212)— — (589)4,434 — 
Non-agency RMBS— 9,185 — — 377 — — — 9,562 — 
ABS489 — — — (48)— — — 441 — 
 8,021 9,185 — — 118 — — (589)16,735 — 
Other investments
CLO-Equities14,328 — — (3,169)— — — (1,216)9,943 (3,169)
Other privately held investments
36,934 — — 4 — 482 — — 37,420 4 
 51,262 — — (3,165)— 482 — (1,216)47,363 (3,165)
Total assets$59,283 $9,185 $— $(3,165)$118 $482 $— $(1,805)$64,098 $(3,165)
Other liabilities
Derivative instruments$9,672 $— $— $10,117 $— $— $— $(9,971)$9,818 $146 
Total liabilities$9,672 $— $— $10,117 $— $— $— $(9,971)$9,818 $146 
           

(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 and liabilities 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 June 30, 2021
Fixed maturities, available for sale         
Corporate debt$2,405 $7,000 $— $— $21 $13,300 $— $— $22,726 $— 
CMBS905 — — — (2)— — (903)— — 
ABS7,175 12,382 (7,004)— 7 — — — 12,560 — 
 10,485 19,382 (7,004)— 26 13,300 — (903)35,286 — 
Other investments
CLO-Equities6,269 — — 1,410 — — — (677)7,002 1,410 
Other privately held investments
61,783 — — 3 — 3,000 — — 64,786 3 
 68,052 — — 1,413 — 3,000 — (677)71,788 1,413 
Total assets$78,537 $19,382 $(7,004)$1,413 $26 $16,300 $— $(1,580)$107,074 $1,413 
  
Other liabilities
Derivative instruments$8,462 $— $— $(345)$— $— $— $— $8,117 $(345)
Total liabilities$8,462 $— $— $(345)$— $— $— $— $8,117 $(345)
Six months ended June 30, 2021
Fixed maturities          
Corporate debt$2,504 $7,000 $— $— $(78)$13,300 $— $— $22,726 $— 
CMBS1,740 — — — 13 — — (1,753)— — 
ABS10,665 18,566 (16,207)— 36 — — (500)12,560 — 
 14,909 25,566 (16,207)— (29)13,300 — (2,253)35,286 — 
Other investments
CLO-Equities6,173 — — 1,980 — — — (1,151)7,002 1,980 
Other privately held investments
70,011 — — 18,482 — 3,273 (26,980)— 64,786 1,101 
 76,184 — — 20,462 — 3,273 (26,980)(1,151)71,788 3,081 
Total assets$91,093 $25,566 $(16,207)$20,462 $(29)$16,573 $(26,980)$(3,404)$107,074 $3,081 
Other liabilities
Derivative instruments$9,122 $— $— $(1,005)$— $— $— $— $8,117 $(1,005)
Total liabilities$9,122 $— $— $(1,005)$— $— $— $— $8,117 $(1,005)
           

(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 and liabilities 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 June 30, 2020
Fixed maturities, available for sale         
Corporate debt$2,245 $— $— $— $53 $— $— $— $2,298 $— 
CMBS4,371 — — — 81 — — (18)4,434 — 
Non-agency RMBS9,185 — — — 377 — — — 9,562 — 
ABS336 — — — 105 — — — 441 — 
 16,137 — — — 616 — — (18)16,735 — 
Other investments
CLO-Equities12,793 — — (2,322)— — — (528)9,943 (2,322)
Other privately held investments
37,441 — — (76)— 55 — — 37,420 (76)
 50,234 — — (2,398)— 55 — (528)47,363 (2,398)
Total assets$66,371 $— $— $(2,398)$616 $55 $— $(546)$64,098 $(2,398)
Other liabilities
Derivative instruments$20,164 $— $— $(375)$— $— $— $(9,971)$9,818 $(346)
Total liabilities$20,164 $— $— $(375)$— $— $— $(9,971)$9,818 $(346)
Six months ended June 30, 2020
Fixed maturities          
Corporate debt$2,297 $— $— $— $1 $— $— $— $2,298 $— 
CMBS5,235 — — — (212)— — (589)4,434 — 
Non-agency RMBS— 9,185 — — 377 — — — 9,562 — 
ABS489 — — — (48)— — — 441 — 
 8,021 9,185 — — 118 — — (589)16,735 — 
Other investments
CLO-Equities14,328 — — (3,169)— — — (1,216)9,943 (3,169)
Other privately held investments
36,934 — — 4 — 482 — — 37,420 4 
 51,262 — — (3,165)— 482 — (1,216)47,363 (3,165)
Total assets$59,283 $9,185 $— $(3,165)$118 $482 $— $(1,805)$64,098 $(3,165)
Other liabilities
Derivative instruments$9,672 $— $— $10,117 $— $— $— $(9,971)$9,818 $146 
Total liabilities$9,672 $— $— $10,117 $— $— $— $(9,971)$9,818 $146 
           

(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 and liabilities held at the reporting date.