Fair Value (Tables)

9 Months Ended

Sep. 30, 2021

The following table presents the Company’s financial assets and liabilities measured at fair value by level at September 30, 2021:


			Estimated Fair Value Measurements Using:
	Estimated Fair Value		Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
Assets measured at fair value (1):
Available for sale securities:
Fixed maturities:
Corporate bonds	$	6,403,617	$	—	$	6,403,604	$	13
Mortgage backed securities	405,797		—		405,797		—
Municipal bonds	382,722		—		382,722		—
Commercial mortgage backed securities	579,424		—		579,424		—
U.S. government and government agencies	4,460,515		4,431,935		28,580		—
Non-U.S. government securities	1,863,734		—		1,863,734		—
Asset backed securities	2,672,554		—		2,669,110		3,444
Total	16,768,363		4,431,935		12,332,971		3,457

Short-term investments	3,069,965		2,046,391		1,023,574		—

Equity securities, at fair value	1,790,640		1,756,462		31,596		2,582





Derivative instruments (4)	89,958		—		89,958		—

Residential mortgage loans	7,701		—		7,701		—

Fair value option:
Corporate bonds	374,326		—		374,326		—
Non-U.S. government bonds	19,829		—		19,829		—
Mortgage backed securities	—		—		—		—

Commercial mortgage backed securities	—		—		—		—
Asset backed securities	19,852		—		19,852		—
U.S. government and government agencies	—		—		—		—
Short-term investments	115,681		1,190		114,491		—
Equity securities	24,522		19,987		—		4,535
Other investments	359,011		17,861		311,393		29,757
Other investments measured at net asset value (2)	1,130,748
Total	2,043,969		39,038		839,891		34,292

Total assets measured at fair value	$	23,770,596	$	8,273,826	$	14,325,691	$	40,331

Liabilities measured at fair value:
Contingent consideration liabilities	$	(17,811)	$	—	$	—	$	(17,811)
Securities sold but not yet purchased (3)	—		—		—		—
Derivative instruments (4)	(43,526)		—		(43,526)		—
Total liabilities measured at fair value	$	(61,337)	$	—	$	(43,526)	$	(17,811)

(1) In securities lending transactions, the Company receives collateral in excess of the fair value of the securities pledged. For purposes of this table, the Company has excluded the collateral received under securities lending, at fair value and included the securities pledged under securities lending, at fair value. See note 8, “—Securities Lending Agreements.” In September 2021, the Company terminated its securities lending program and no longer enters into securities lending agreements with financial institutions.

(2) In accordance with applicable accounting guidance, certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been classified in the fair value hierarchy. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the consolidated balance sheets.

(3) Represents the Company’s obligations to deliver securities that it did not own at the time of sale. Such amounts are included in “other liabilities” on the Company’s consolidated balance sheets.

(4) See note 10.

The following table presents the Company’s financial assets and liabilities measured at fair value by level at December 31, 2020:


			Estimated Fair Value Measurements Using:
	Estimated Fair Value		Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
Assets measured at fair value (1):
Available for sale securities:
Fixed maturities:
Corporate bonds	$	7,856,571	$	—	$	7,856,558	$	13
Mortgage backed securities	630,001		—		630,001		—
Municipal bonds	494,522		—		494,522		—
Commercial mortgage backed securities	389,900		—		389,900		—
U.S. government and government agencies	5,557,077		5,463,356		93,721		—
Non-U.S. government securities	2,433,733		—		2,433,733		—
Asset backed securities	1,634,804		—		1,631,378		3,426
Total	18,996,608		5,463,356		13,529,813		3,439

Short-term investments	1,924,922		1,920,565		4,357		—

Equity securities, at fair value	1,460,959		1,401,653		17,291		42,015





Derivative instruments (4)	177,383		—		177,383		—

Fair value option:
Corporate bonds	651,294		—		650,309		985
Non-U.S. government bonds	35,263		—		35,263		—
Mortgage backed securities	3,282		—		3,282		—

Commercial mortgage backed securities	1,090		—		1,090		—
Asset backed securities	152,151		—		152,151		—
U.S. government and government agencies	274		164		110		—
Short-term investments	557,008		420,131		136,877		—
Equity securities	92,549		23,373		188		68,988
Other investments	1,134,229		51,149		1,015,977		67,103
Other investments measured at net asset value (2)	1,197,656
Total	3,824,796		494,817		1,995,247		137,076

Total assets measured at fair value	$	26,384,668	$	9,280,391	$	15,724,091	$	182,530

Liabilities measured at fair value:
Contingent consideration liabilities	$	(461)	$	—	$	—	$	(461)
Securities sold but not yet purchased (3)	(21,679)		—		(21,679)		—
Derivative instruments (4)	(108,705)		—		(108,705)		—
Total liabilities measured at fair value	$	(130,845)	$	—	$	(130,384)	$	(461)

(4) See note 10.

Rollforward of Level 3 investments

The following table presents a reconciliation of the beginning and ending balances for all financial assets and liabilities measured at fair value on a recurring basis using Level 3 inputs:


	Assets												Liabilities
s	Available For Sale				Fair Value Option						Fair Value
	Structured Securities (1)		Corporate Bonds		Corporate Bonds		Other Investments		Equity Securities		Equity Securities		Contingent Consideration Liabilities
Three Months Ended September 30, 2021
Balance at beginning of period	$	3,424	$	13	$	998	$	73,900	$	73,678	$	49,136	$	(466)
Total gains or (losses) (realized/unrealized)
Included in earnings (2)	10		—		—		—		38		11		—
Included in other comprehensive income	10		—		—		—		—		—		—
Purchases, issuances, sales and settlements
Purchases	—		—		—		—		—		208		(17,345)
Issuances	—		—		—		—		—		—		—
Sales (3)	—		—		(998)		(44,143)		(69,181)		(46,773)		—
Settlements	—		—		—		—		—		—		—
Transfers in and/or out of Level 3	—		—		—		—		—		—		—
Balance at end of period	$	3,444	$	13	$	—	$	29,757	$	4,535	$	2,582	$	(17,811)

Three Months Ended September 30, 2020
Balance at beginning of period	$	3,450	$	857	$	998	$	46,453	$	61,447	$	51,981	$	(1,250)
Total gains or (losses) (realized/unrealized)
Included in earnings (2)	(75)		(5,872)		(34)		885		2,076		(946)		—
Included in other comprehensive income	191		6,936		—		—		—		—		—
Purchases, issuances, sales and settlements
Purchases	—		—		—		22,436		—		—		—
Issuances	—		—		—		—		—		—		—
Sales	—		—		—		(3,588)		—		(8,349)		—
Settlements	(11)		—		—		—		—		—		620
Transfers in and/or out of Level 3	—		(1,908)		—		—		—		—		—
Balance at end of period	$	3,555	$	13	$	964	$	66,186	$	63,523	$	42,686	$	(630)

Nine Months Ended September 30, 2021
Balance at beginning of year	$	3,426	$	13	$	985	$	67,103	$	68,988	$	42,015	$	(461)
Total gains or (losses) (realized/unrealized)
Included in earnings (2)	(46)		—		13		881		4,728		1,837		—
Included in other comprehensive income	67		—		—		—		—		—		—
Purchases, issuances, sales and settlements
Purchases	—		—		—		13,003		—		5,503		(17,345)
Issuances	—		—		—		—		—		—		—
Sales (3)	—		—		(998)		(51,230)		(69,181)		(46,773)		—
Settlements	(3)		—		—		—		—		—		(5)
Transfers in and/or out of Level 3	—		—		—		—		—		—		—
Balance at end of period	$	3,444	$	13	$	—	$	29,757	$	4,535	$	2,582	$	(17,811)

Nine Months Ended September 30, 2020
Balance at beginning of year	$	5,216	$	8,851	$	932	$	68,817	$	58,094	$	55,889	$	(7,998)
Total gains or (losses) (realized/unrealized)
Included in earnings (2)	(130)		(5,865)		(34)		(129)		5,429		7,132		(72)
Included in other comprehensive income	(118)		397		—		—		—		—		—
Purchases, issuances, sales and settlements
Purchases	—		—		66		22,460		—		3,464		—
Issuances	—		—		—		—		—		—		—
Sales	—		—		—		(27,946)		—		(23,799)		—
Settlements	(1,413)		(1,462)		—		—		—		—		7,440
Transfers in and/or out of Level 3	—		(1,908)		—		2,984		—		—		—
Balance at end of period	$	3,555	$	13	$	964	$	66,186	$	63,523	$	42,686	$	(630)

(1) Includes asset backed securities, mortgage backed securities and commercial mortgage backed securities.

(2) Gains or losses were included in net realized gains (losses).

(3) Sales for the 2021 periods primarily related to the Company’s deconsolidation of Watford.