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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 expedientTotal 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 stocks3,050 — — — 3,050 
Preferred stocks3 5,083 — — 5,086 
Exchange-traded funds273,794 — — — 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 expedientTotal 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 stocks7,473 — — — 7,473 
Preferred stocks72 — — — 72 
Exchange-traded funds269,806 — — — 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 valueValuation techniqueUnobservable inputAmount / Range
Weighted
average
Other investments - CLO-Equities$4,684 Discounted cash flowDefault rate4.5%4.5%
  Loss severity rate50.0%50.0%
  Collateral spread3.0%3.0%
Estimated maturity date5 years5 years
Other investments - Other privately held investments
$17,097 Discounted cash flowDiscount rate7.9%7.9%
Default rate0.5%0.5%
Loss absorption yield1.0%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)
PurchasesSales
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-Equities4,877 — — 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-Equities5,016 — — 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)
PurchasesSalesSettlements/
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-Equities4,808 — — 890 — — — (531)5,167 890 
 Other privately held investments115,970 — — 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-Equities5,910 — — 2,566 — — — (3,309)5,167 2,566 
 Other privately held investments104,521 — — (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)
PurchasesSales
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-Equities4,877 — — 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-Equities5,016 — — 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)
PurchasesSalesSettlements/
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-Equities4,808 — — 890 — — — (531)5,167 890 
 Other privately held investments115,970 — — 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-Equities5,910 — — 2,566 — — — (3,309)5,167 2,566 
 Other privately held investments104,521 — — (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.