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FAIR VALUE MEASUREMENTS (Tables)

9 Months Ended

Sep. 30, 2023

Schedule of Assets and Liabilities Measured at Fair Value on a Recurring Basis

Below is a summary of the assets and liabilities that are measured at fair value on a recurring basis and also represents the carrying amount on the Company’s consolidated balance sheets:



At September 30, 2023	Total		Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
Fixed maturity investments trading
U.S. treasuries	$	8,587,946	$	8,587,946	$	—	$	—
Corporate (1)	4,482,082		—		4,482,082		—
Agencies	460,936		—		460,936		—

Non-U.S. government	403,758		—		403,758		—



Residential mortgage-backed	806,120		—		806,120		—
Commercial mortgage-backed	210,942		—		210,942		—
Asset-backed	1,131,262		—		1,131,262		—
Total fixed maturity investments trading	16,083,046		8,587,946		7,495,100		—
Short term investments	6,519,207		67,176		6,452,031		—
Equity investments trading	95,342		95,342		—		—
Other investments
Catastrophe bonds	1,697,810		—		1,697,810		—
Term loans	98,876		—		—		98,876
Direct private equity investments	67,515		—		—		67,515
	1,864,201		—		1,697,810		166,391
Fund investments (2)	1,303,740		—		—		—



Total other investments	3,167,941		—		1,697,810		166,391
Other assets and (liabilities)
Assumed and ceded (re)insurance contracts (3)	(545)		—		—		(545)

Derivative assets (4)	18,233		6,819		11,414		—
Derivative liabilities (4)	(35,557)		(7,139)		(28,418)		—

Total other assets and (liabilities)	(17,869)		(320)		(17,004)		(545)
	$	25,847,667	$	8,750,144	$	15,627,937	$	165,846

(1)Corporate fixed maturity investments include non-U.S. government-backed corporate fixed maturity investments.

(2)Fund investments, which may include private equity funds, private credit funds, and hedge funds, are measured at fair value using the net asset value per share (or its equivalent) as a practical expedient and have not been classified in the fair value hierarchy. The fair value presented in this table is provided to permit reconciliation of the fair value hierarchy to the amounts presented in the consolidated balance sheet.

(3)Included in assumed and ceded (re)insurance contracts at September 30, 2023 was $3.2 million of other assets and $3.7 million of other liabilities.

(4)Refer to “Note 13. Derivative Instruments” for additional information related to the fair value, by type of contract, of derivatives entered into by the Company.



At December 31, 2022	Total		Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
Fixed maturity investments trading
U.S. treasuries	$	7,180,129	$	7,180,129	$	—	$	—
Corporate (1)	4,390,568		—		4,390,568		—
Agencies	395,149		—		395,149		—

Non-U.S. government	383,838		—		383,838		—



Residential mortgage-backed	710,429		—		710,429		—
Commercial mortgage-backed	213,987		—		213,987		—
Asset-backed	1,077,302		—		1,077,302		—
Total fixed maturity investments trading	14,351,402		7,180,129		7,171,273		—
Short term investments	4,669,272		—		4,669,272		—
Equity investments	625,058		625,058		—		—
Other investments
Catastrophe bonds	1,241,468		—		1,241,468		—
Term loans	100,000		—		—		100,000
Direct private equity investments	66,780		—		—		66,780
	1,408,248		—		1,241,468		166,780
Fund investments (2)	1,086,706		—		—		—



Total other investments	2,494,954		—		1,241,468		166,780
Other assets and (liabilities)
Assumed and ceded (re)insurance contracts (3)	(1,832)		—		—		(1,832)
Derivative assets (4)	44,400		387		44,013		—
Derivative liabilities (4)	(7,560)		(2,008)		(5,552)		—

Total other assets and (liabilities)	35,008		(1,621)		38,461		(1,832)
	$	22,175,694	$	7,803,566	$	13,120,474	$	164,948

(1)Corporate fixed maturity investments include non-U.S. government-backed corporate fixed maturity investments.

(2)Fund investments, which may include private equity funds, private credit funds and hedge funds, are measured at fair value using the net asset value per share (or its equivalent) as a practical expedient and have not been classified in the fair value hierarchy. The fair value presented in this table is provided to permit reconciliation of the fair value hierarchy to the amounts presented in the consolidated balance sheet.

(3)Included in assumed and ceded (re)insurance contracts at December 31, 2022 was $3.5 million of other assets and $5.3 million of other liabilities.

(4)Refer to “Note 13. Derivative Instruments” for additional information related to the fair value, by type of contract, of derivatives entered into by the Company.

Schedule of Quantitative Information Used as Level 3 Inputs

Below is a summary of quantitative information regarding the significant unobservable inputs (Level 3) used in determining the fair value of assets and liabilities measured at fair value on a recurring basis:



At September 30, 2023	Fair Value (Level 3)		Valuation Technique	Unobservable Inputs	Weighted Average or Actual
Other investments
Direct private equity investments	$	67,515	Internal valuation model	Discount rate	10.0		%

				Liquidity discount	15.0		%
Term loans	98,876		Discounted cash flow	Credit spread adjustment	0.2		%
				Risk premium	2.6		%
Total other investments	166,391
Other assets and (liabilities)


Assumed and ceded (re)insurance contracts	(545)		Internal valuation model	Net undiscounted cash flows	$	12,433
				Expected loss ratio	2.6		%


				Discount rate	4.6		%



Total other assets and (liabilities)	(545)
Total assets and (liabilities) measured at fair value on a recurring basis using Level 3 inputs	$	165,846



At December 31, 2022	Fair Value (Level 3)		Valuation Technique	Unobservable Inputs	Weighted Average or Actual
Other investments








Direct private equity investments	$	66,780	Internal valuation model	Discount rate	7.5		%
				Liquidity discount	15.0		%
Term loans	100,000		Discounted cash flow	Credit spread adjustment	0.2		%
				Risk premium	2.6		%
Total other investments	166,780
Other assets and (liabilities)


Assumed and ceded (re)insurance contracts	(1,832)		Internal valuation model	Net undiscounted cash flows	$	14,734
				Expected loss ratio	5.8		%


				Discount rate	4.0		%


Total other assets and (liabilities)	(1,832)
Total assets and (liabilities) measured at fair value on a recurring basis using Level 3 inputs	$	164,948

Schedule of Assets Measured at Fair Value on a Recurring Basis Using Level 3 Inputs

Below is a reconciliation of the beginning and ending balances, for the periods shown, of assets and liabilities measured at fair value on a recurring basis using Level 3 inputs.



	Other investments
	Direct private equity investments		Term loans		Other assets and (liabilities)		Total
Balance - July 1, 2023	$	71,155	$	100,000	$	(475)	$	170,680

Included in net investment income	63		—		—		63
Included in net realized and unrealized gains (losses) on investments	(3,686)		—		—		(3,686)
Included in other income (loss)	—		—		(541)		(541)
Total foreign exchange gains (losses)	(17)		—		—		(17)
Purchases	—		—		471		471

Settlements	—		(1,124)		—		(1,124)



Balance - September 30, 2023	$	67,515	$	98,876	$	(545)	$	165,846





	Other investments
	Direct private equity investments		Term loans		Other assets and (liabilities)		Total
Balance - January 1, 2023	$	66,780	$	100,000	$	(1,832)	$	164,948
Included in net investment income	187		—		—		187
Included in net realized and unrealized gains (losses) on investments	571		—		—		571
Included in other income (loss)	—		—		(550)		(550)
Total foreign exchange gains (losses)	(23)		—		—		(23)
Purchases	—		—		1,837		1,837
Settlements	—		(1,124)		—		(1,124)



Balance - September 30, 2023	$	67,515	$	98,876	$	(545)	$	165,846



	Other investments
	Direct private equity investments		Term loans		Other assets and (liabilities)		Total
Balance - July 1, 2022	$	81,610	$	100,000	$	(3,064)	$	178,546
Included in net investment income	125		—		—		125
Included in net realized and unrealized gains (losses) on investments	(11,762)		—		—		(11,762)
Included in other income (loss)	—		—		543		543
Total foreign exchange gains (losses)	(50)		—		—		(50)
Purchases	—		—		(50)		(50)




Balance - September 30, 2022	$	69,923	$	100,000	$	(2,571)	$	167,352





	Other investments
	Direct private equity investments		Term loans		Other assets and (liabilities)		Total
Balance - January 1, 2022	$	88,373	$	74,850	$	(4,727)	$	158,496

Included in net investment income	125		605		—		730
Included in net realized and unrealized gains (losses) on investments	(23,515)		—		—		(23,515)
Included in other income (loss)	—		—		1,732		1,732
Total foreign exchange losses	(60)		—		—		(60)
Purchases	5,000		25,000		424		30,424

Settlements	—		(455)		—		(455)


Balance - September 30, 2022	$	69,923	$	100,000	$	(2,571)	$	167,352

Schedule of Liabilities Measured at Fair Value on a Recurring Basis Using Level 3 Inputs

Below is a reconciliation of the beginning and ending balances, for the periods shown, of assets and liabilities measured at fair value on a recurring basis using Level 3 inputs.



	Other investments
	Direct private equity investments		Term loans		Other assets and (liabilities)		Total
Balance - July 1, 2023	$	71,155	$	100,000	$	(475)	$	170,680

Included in net investment income	63		—		—		63
Included in net realized and unrealized gains (losses) on investments	(3,686)		—		—		(3,686)
Included in other income (loss)	—		—		(541)		(541)
Total foreign exchange gains (losses)	(17)		—		—		(17)
Purchases	—		—		471		471

Settlements	—		(1,124)		—		(1,124)



Balance - September 30, 2023	$	67,515	$	98,876	$	(545)	$	165,846





	Other investments
	Direct private equity investments		Term loans		Other assets and (liabilities)		Total
Balance - January 1, 2023	$	66,780	$	100,000	$	(1,832)	$	164,948
Included in net investment income	187		—		—		187
Included in net realized and unrealized gains (losses) on investments	571		—		—		571
Included in other income (loss)	—		—		(550)		(550)
Total foreign exchange gains (losses)	(23)		—		—		(23)
Purchases	—		—		1,837		1,837
Settlements	—		(1,124)		—		(1,124)



Balance - September 30, 2023	$	67,515	$	98,876	$	(545)	$	165,846



	Other investments
	Direct private equity investments		Term loans		Other assets and (liabilities)		Total
Balance - July 1, 2022	$	81,610	$	100,000	$	(3,064)	$	178,546
Included in net investment income	125		—		—		125
Included in net realized and unrealized gains (losses) on investments	(11,762)		—		—		(11,762)
Included in other income (loss)	—		—		543		543
Total foreign exchange gains (losses)	(50)		—		—		(50)
Purchases	—		—		(50)		(50)




Balance - September 30, 2022	$	69,923	$	100,000	$	(2,571)	$	167,352





	Other investments
	Direct private equity investments		Term loans		Other assets and (liabilities)		Total
Balance - January 1, 2022	$	88,373	$	74,850	$	(4,727)	$	158,496

Included in net investment income	125		605		—		730
Included in net realized and unrealized gains (losses) on investments	(23,515)		—		—		(23,515)
Included in other income (loss)	—		—		1,732		1,732
Total foreign exchange losses	(60)		—		—		(60)
Purchases	5,000		25,000		424		30,424

Settlements	—		(455)		—		(455)


Balance - September 30, 2022	$	69,923	$	100,000	$	(2,571)	$	167,352

Schedule of Balances Elected to Account for at Fair Value

Below is a summary of the balances the Company has elected to account for at fair value:



	September 30, 2023		December 31, 2022
Other investments	$	3,167,941	$	2,494,954
Other assets	$	3,141	$	3,499
Other liabilities	$	3,686	$	5,331

Schedule of Other Investments Measured Using Net Asset Valuations

The table below shows the Company’s portfolio of other investments measured using net asset valuations as a practical expedient:



At September 30, 2023	Fair Value		Unfunded Commitments		Redemption Frequency	Redemption Notice Period (Minimum Days)	Redemption Notice Period (Maximum Days)
Private credit funds	$	928,961	$	877,045	See below	See below	See below
Private equity funds	374,779		597,967		See below	See below	See below



Total other investments measured using net asset valuations	$	1,303,740	$	1,475,012



At December 31, 2022	Fair Value		Unfunded Commitments		Redemption Frequency	Redemption Notice Period (Minimum Days)	Redemption Notice Period (Maximum Days)
Private credit funds	$	771,383	$	714,302	See below	See below	See below
Private equity funds	315,323		493,155		See below	See below	See below

Total other investments measured using net asset valuations	$	1,086,706	$	1,207,457

Schedule of Variable Interest Entities

The following table summarizes the aggregate carrying amount of the unconsolidated fund investments in VIEs, as well as our maximum exposure to loss associated with these VIEs:



	Maximum Exposure to Loss
At September 30, 2023	Carrying amount		Unfunded Commitments		Total
Other investments	$	1,140,450	$	1,402,261	$	2,542,711

At December 31, 2022
Other investments	$	916,248	$	1,148,630	$	2,064,878

- Definition

Tabular disclosure of the significant judgments and assumptions made in determining whether a variable interest (as defined) held by the entity requires the variable interest entity (VIE) (as defined) to be consolidated and (or) disclose information about its involvement with the VIE, individually or in aggregate (as applicable); the nature of restrictions, if any, on the consolidated VIE's assets and on the settlement of its liabilities reported by an entity in its statement of financial position, including the carrying amounts of such assets and liabilities; the nature of, and changes in, the risks associated with involvement in the VIE; how involvement with the VIE affects the entity's financial position, financial performance, and cash flows; the lack of recourse if creditors (or beneficial interest holders) of the consolidated VIE have no recourse to the general credit of the primary beneficiary (if applicable); the terms of arrangements, giving consideration to both explicit arrangements and implicit variable interests, if any, that could require the entity to provide financial support to the VIE, including events or circumstances that could expose the entity to a loss; the methodology used by the entity for determining whether or not it is the primary beneficiary of the variable interest entity; the significant factors considered and judgments made in determining that the power to direct the activities of a VIE that most significantly impact the VIE's economic performance are shared (as defined); the carrying amounts and classification of assets and liabilities of the VIE included in the statement of financial position; the entity's maximum exposure to loss, if any, as a result of its involvement with the VIE, including how the maximum exposure is determined and significant sources of the entity's exposure to the VIE; a comparison of the carrying amounts of the assets and liabilities and the entity's maximum exposure to loss; information about any liquidity arrangements, guarantees, and (or) other commitments by third parties that may affect the fair value or risk of the entity's variable interest in the VIE; whether or not the entity has provided financial support or other support (explicitly or implicitly) to the VIE that it was not previously contractually required to provide or whether the entity intends to provide that support, including the type and amount of the support and the primary reasons for providing the support; and supplemental information the entity determines necessary to provide.

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