FAIR VALUE MEASUREMENTS (Tables)

9 Months Ended

Sep. 30, 2023

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, 2023
Assets
Fixed maturities, available for sale
U.S. government and agency	$	2,829,541	$	31,092	$	—	$	—	$	2,860,633
Non-U.S. government	—		670,255		—		—		670,255
Corporate debt	—		4,096,395		133,468		—		4,229,863
Agency RMBS	—		1,541,505		—		—		1,541,505
CMBS	—		865,051		—		—		865,051
Non-agency RMBS	—		137,804		—		—		137,804
ABS	—		1,266,868		—		—		1,266,868
Municipals	—		151,389		—		—		151,389
	2,829,541		8,760,359		133,468		—		11,723,368
Equity securities
Common stocks	3,050		—		—		—		3,050
Preferred stocks	3		5,083		—		—		5,086
Exchange-traded funds	273,794		—		—		—		273,794
Bond mutual funds	—		274,332		—		—		274,332
	276,847		279,415		—		—		556,262
Other investments
Multi-strategy funds	—		—		—		25,465		25,465
Direct lending funds	—		—		—		229,235		229,235
Private equity funds	—		—		—		283,838		283,838
Real estate funds	—		—		—		307,177		307,177
CLO-Equities	—		—		4,684		—		4,684
Other privately held investments	—		—		89,951		14,221		104,172
	—		—		94,635		859,936		954,571
Short-term investments	—		115,959		—		—		115,959
Other assets
Derivative instruments (refer to Note 5)	—		4,466		—		—		4,466
Total Assets	$	3,106,388	$	9,160,199	$	228,103	$	859,936	$	13,354,626
Liabilities
Derivative instruments (refer to Note 5)	$	—	$	9,666	$	—	$	—	$	9,666
Cash-settled awards (refer to Note 8)	—		—		—		—		—
Total Liabilities	$	—	$	9,666	$	—	$	—	$	9,666

	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, 2022
Assets
Fixed maturities, available for sale
U.S. government and agency	$	2,600,636	$	38,694	$	—	$	—	$	2,639,330
Non-U.S. government	—		562,029		—		—		562,029
Corporate debt	—		4,136,452		119,104		—		4,255,556
Agency RMBS	—		1,202,785		—		—		1,202,785
CMBS	—		947,778		—		—		947,778
Non-agency RMBS	—		133,534		—		—		133,534
ABS	—		1,429,527		—		—		1,429,527
Municipals	—		156,355		—		—		156,355
	2,600,636		8,607,154		119,104		—		11,326,894
Equity securities
Common stocks	7,473		—		—		—		7,473
Preferred stocks	72		—		—		—		72
Exchange-traded funds	269,806		—		—		—		269,806
Bond mutual funds	—		207,902		—		—		207,902
	277,351		207,902		—		—		485,253
Other investments
Multi-strategy funds	—		—		—		32,616		32,616
Direct lending funds	—		—		—		258,626		258,626
Private equity funds	—		—		—		265,836		265,836
Real estate funds	—		—		—		298,499		298,499
CLO-Equities	—		—		5,016		—		5,016
Other privately held investments	—		—		136,158		—		136,158
	—		—		141,174		855,577		996,751
Short-term investments	—		70,310		—		—		70,310
Other assets
Derivative instruments (refer to Note 5)	—		37,682		—		—		37,682
Total Assets	$	2,877,987	$	8,923,048	$	260,278	$	855,577	$	12,916,890
Liabilities
Derivative instruments (refer to Note 5)	$	—	$	703	$	—	$	—	$	703
Cash-settled awards (refer to Note 8)	—		4,792		—		—		4,792
Total Liabilities	$	—	$	5,495	$	—	$	—	$	5,495

LEVEL 3 FAIR VALUE MEASUREMENT INPUTS

The following table quantifies the significant unobservable inputs used in estimating fair values at September 30, 2023 of investments classified as Level 3 in the fair value hierarchy:

	Asset fair value		Valuation technique	Unobservable input	Amount / Range	Weighted average
Other investments - CLO-Equities	$	4,684	Discounted cash flow	Default rate	4.5%	4.5%
				Loss severity rate	50.0%	50.0%
				Collateral spread	3.0%	3.0%
				Estimated maturity date	5 years	5 years
Other investments - Other privately held investments	$	17,097	Discounted cash flow	Discount rate	7.9%	7.9%
				Default rate	0.5%	0.5%
				Loss absorption yield	1.0%	1.0%
				Estimated maturity date	1-2 years	2 years

Note: Fixed maturities of $133 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 $73 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 table presents 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, 2023
Fixed maturities, available for sale
Corporate debt	$	129,046	$	—	$	—	$	(733)	$	(1,243)	$	9,717	$	—	$	(3,319)	$	133,468	$	—
	129,046		—		—		(733)		(1,243)		9,717		—		(3,319)		133,468		—
Other investments
CLO-Equities	4,877		—		—		333		—		—		—		(526)		4,684		333
Other privately held investments	115,048		—		(25,510)		(1,348)		—		1,761		—		—		89,951		(1,348)
	119,925		—		(25,510)		(1,015)		—		1,761		—		(526)		94,635		(1,015)
Total assets	$	248,971	$	—	$	(25,510)	$	(1,748)	$	(1,243)	$	11,478	$	—	$	(3,845)	$	228,103	$	(1,015)
Other liabilities
Derivative instruments	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—
Total liabilities	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—
Nine months ended September 30, 2023
Fixed maturities, available for sale
Corporate debt	$	119,104	$	—	$	—	$	(4,043)	$	(1,414)	$	34,178	$	—	$	(14,357)	$	133,468	$	—
	119,104		—		—		(4,043)		(1,414)		34,178		—		(14,357)		133,468		—
Other investments
CLO-Equities	5,016		—		—		1,236		—		—		—		(1,568)		4,684		1,236
Other privately held investments	136,158		—		(25,510)		(7,242)		—		21,077		(34,532)		—		89,951		(15,324)
	141,174		—		(25,510)		(6,006)		—		21,077		(34,532)		(1,568)		94,635		(14,088)
Total assets	$	260,278	$	—	$	(25,510)	$	(10,049)	$	(1,414)	$	55,255	$	(34,532)	$	(15,925)	$	228,103	$	(14,088)
Other liabilities
Derivative instruments	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—
Total liabilities	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—

(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)		Purchases		Sales		Settlements/ distributions		Closing balance		Change in unrealized gains/(losses)(3)
Three months ended September 30, 2022
Fixed maturities, available for sale
Corporate debt	$	72,830	$	—	$	—	$	(34)	$	(3,977)	$	27,600	$	—	$	(468)	$	95,951	$	—
	72,830		—		—		(34)		(3,977)		27,600		—		(468)		95,951		—
Other investments
CLO-Equities	4,808		—		—		890		—		—		—		(531)		5,167		890
Other privately held investments	115,970		—		—		1,249		—		2,700		—		—		119,919		1,249
	120,778		—		—		2,139		—		2,700		—		(531)		125,086		2,139
Total assets	$	193,608	$	—	$	—	$	2,105	$	(3,977)	$	30,300	$	—	$	(999)	$	221,037	$	2,139
Other liabilities
Derivative instruments	$	4,708	$	—	$	—	$	(422)	$	—	$	—	$	—	$	—	$	4,286	$	(422)
Total liabilities	$	4,708	$	—	$	—	$	(422)	$	—	$	—	$	—	$	—	$	4,286	$	(422)
Nine months ended September 30, 2022
Fixed maturities, available for sale
Corporate debt	$	42,894	$	—	$	—	$	(34)	$	(10,600)	$	64,832	$	—	$	(1,141)	$	95,951	$	—
	42,894		—		—		(34)		(10,600)		64,832		—		(1,141)		95,951		—
Other investments
CLO-Equities	5,910		—		—		2,566		—		—		—		(3,309)		5,167		2,566
Other privately held investments	104,521		—		—		(2,242)		—		19,640		—		(2,000)		119,919		(2,242)
	110,431		—		—		324		—		19,640		—		(5,309)		125,086		324
Total assets	$	153,325	$	—	$	—	$	290	$	(10,600)	$	84,472	$	—	$	(6,450)	$	221,037	$	324
Other liabilities
Derivative instruments	$	5,630	$	—	$	—	$	(1,344)	$	—	$	—	$	—	$	—	$	4,286	$	(1,344)
Total liabilities	$	5,630	$	—	$	—	$	(1,344)	$	—	$	—	$	—	$	—	$	4,286	$	(1,344)

(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 table presents 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, 2023
Fixed maturities, available for sale
Corporate debt	$	129,046	$	—	$	—	$	(733)	$	(1,243)	$	9,717	$	—	$	(3,319)	$	133,468	$	—
	129,046		—		—		(733)		(1,243)		9,717		—		(3,319)		133,468		—
Other investments
CLO-Equities	4,877		—		—		333		—		—		—		(526)		4,684		333
Other privately held investments	115,048		—		(25,510)		(1,348)		—		1,761		—		—		89,951		(1,348)
	119,925		—		(25,510)		(1,015)		—		1,761		—		(526)		94,635		(1,015)
Total assets	$	248,971	$	—	$	(25,510)	$	(1,748)	$	(1,243)	$	11,478	$	—	$	(3,845)	$	228,103	$	(1,015)
Other liabilities
Derivative instruments	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—
Total liabilities	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—
Nine months ended September 30, 2023
Fixed maturities, available for sale
Corporate debt	$	119,104	$	—	$	—	$	(4,043)	$	(1,414)	$	34,178	$	—	$	(14,357)	$	133,468	$	—
	119,104		—		—		(4,043)		(1,414)		34,178		—		(14,357)		133,468		—
Other investments
CLO-Equities	5,016		—		—		1,236		—		—		—		(1,568)		4,684		1,236
Other privately held investments	136,158		—		(25,510)		(7,242)		—		21,077		(34,532)		—		89,951		(15,324)
	141,174		—		(25,510)		(6,006)		—		21,077		(34,532)		(1,568)		94,635		(14,088)
Total assets	$	260,278	$	—	$	(25,510)	$	(10,049)	$	(1,414)	$	55,255	$	(34,532)	$	(15,925)	$	228,103	$	(14,088)
Other liabilities
Derivative instruments	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—
Total liabilities	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—

(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)		Purchases		Sales		Settlements/ distributions		Closing balance		Change in unrealized gains/(losses)(3)
Three months ended September 30, 2022
Fixed maturities, available for sale
Corporate debt	$	72,830	$	—	$	—	$	(34)	$	(3,977)	$	27,600	$	—	$	(468)	$	95,951	$	—
	72,830		—		—		(34)		(3,977)		27,600		—		(468)		95,951		—
Other investments
CLO-Equities	4,808		—		—		890		—		—		—		(531)		5,167		890
Other privately held investments	115,970		—		—		1,249		—		2,700		—		—		119,919		1,249
	120,778		—		—		2,139		—		2,700		—		(531)		125,086		2,139
Total assets	$	193,608	$	—	$	—	$	2,105	$	(3,977)	$	30,300	$	—	$	(999)	$	221,037	$	2,139
Other liabilities
Derivative instruments	$	4,708	$	—	$	—	$	(422)	$	—	$	—	$	—	$	—	$	4,286	$	(422)
Total liabilities	$	4,708	$	—	$	—	$	(422)	$	—	$	—	$	—	$	—	$	4,286	$	(422)
Nine months ended September 30, 2022
Fixed maturities, available for sale
Corporate debt	$	42,894	$	—	$	—	$	(34)	$	(10,600)	$	64,832	$	—	$	(1,141)	$	95,951	$	—
	42,894		—		—		(34)		(10,600)		64,832		—		(1,141)		95,951		—
Other investments
CLO-Equities	5,910		—		—		2,566		—		—		—		(3,309)		5,167		2,566
Other privately held investments	104,521		—		—		(2,242)		—		19,640		—		(2,000)		119,919		(2,242)
	110,431		—		—		324		—		19,640		—		(5,309)		125,086		324
Total assets	$	153,325	$	—	$	—	$	290	$	(10,600)	$	84,472	$	—	$	(6,450)	$	221,037	$	324
Other liabilities
Derivative instruments	$	5,630	$	—	$	—	$	(1,344)	$	—	$	—	$	—	$	—	$	4,286	$	(1,344)
Total liabilities	$	5,630	$	—	$	—	$	(1,344)	$	—	$	—	$	—	$	—	$	4,286	$	(1,344)

(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.