using the spread above the risk-free yield curve. These spreads are generally obtained from the new issue market, secondary trading and from broker-dealers who trade in the relevant security market. As the significant inputs used in the pricing process for corporate bonds are observable market inputs, the fair value of these securities are classified within Level 2.

Mortgage-backed securities – valuations provided by independent pricing services, substantially all through pricing vendors and index providers with a small amount through broker-dealers. The fair values of these securities are generally determined through the use of pricing models (including Option Adjusted Spread) which use spreads to determine the expected average life of the securities. These spreads are generally obtained from the new issue market, secondary trading and from broker-dealers who trade in the relevant security market. The pricing services also review prepayment speeds and other indicators, when applicable. As the significant inputs used in the pricing process for mortgage-backed securities are observable market inputs, the fair value of these securities are classified within Level 2.

Municipal bonds – valuations provided by independent pricing services, with all prices provided through index providers and pricing vendors. The fair values of these securities are generally determined using spreads obtained from broker-dealers who trade in the relevant security market, trade prices and the new issue market. As the significant inputs used in the pricing process for municipal bonds are observable market inputs, the fair value of these securities are classified within Level 2.

Commercial mortgage-backed securities – valuations provided by independent pricing services, substantially all through index providers and pricing vendors with a small amount through broker-dealers. The fair values of these securities are generally determined through the use of pricing models which use spreads to determine the appropriate average life of the securities. These spreads are generally obtained from the new issue market, secondary trading and from broker-dealers who trade in the relevant security market. As the significant inputs used in the pricing process for commercial mortgage-backed securities are observable market inputs, the fair value of these securities are classified within Level 2.

Non-U.S. government securities – valuations provided by independent pricing services, with all prices provided through index providers and pricing vendors. The fair values of these securities are generally based on international indices or valuation models which include daily observed yield curves, cross-currency basis index spreads and country credit spreads. As the significant inputs used in the pricing process for non-U.S. government securities are observable market inputs, the fair value of these securities are classified within Level 2.

Asset-backed securities – valuations provided by independent pricing services, substantially all through index providers and pricing vendors with a small amount through broker-dealers. The fair values of these securities are generally determined through the use of pricing models (including Option Adjusted Spread) which use spreads to determine the appropriate average life of the securities. These spreads are generally obtained from the new issue market, secondary trading and from broker-dealers who trade in the relevant security market. As the significant inputs used in the pricing process for asset-backed securities are observable market inputs, the fair value of these securities are classified within Level 2. A small number of securities are included in Level 3 due to a low level of transparency on the inputs used in the pricing process.

Equity securities

The Company determined that exchange-traded equity securities would be included in Level 1 as their fair values are based on quoted market prices in active markets. Other equity securities are included in Level 2 of the valuation hierarchy. A small number of securities are included in Level 3 due to the lack of an available independent price source for such securities. As the significant inputs used to price these securities are unobservable, the fair value of such securities are classified as Level 3.

Other investments

The Company determined that exchange-traded investments would be included in Level 1 as their fair values are based on quoted market prices in active markets. Other investments also include term loan investments for which fair values are estimated by using quoted prices of term loan investments with similar characteristics, pricing models or matrix pricing. Such investments are generally classified within Level 2. A small number of securities are included in Level 3 due to the lack of an available independent price source for such securities.

Derivative instruments

The Company’s futures contracts, foreign currency forward contracts, interest rate swaps and other derivatives trade in

the over-the-counter derivative market. The Company uses the market approach valuation technique to estimate the fair value for these derivatives based on significant observable market inputs from third party pricing vendors, non-binding broker-dealer quotes and/or recent trading activity. As the significant inputs used in the pricing process for these derivative instruments are observable market inputs, the fair value of these securities are classified within Level 2.

Short-term investments

The Company determined that certain of its short-term investments held in highly liquid money market-type funds, Treasury bills and commercial paper would be included in Level 1 as their fair values are based on quoted market prices in active markets. The fair values of other short-term investments are generally determined using the spread above the risk-free yield curve and are classified within Level 2.

Residential mortgage loans

The Company’s residential mortgage loans (included in ‘other assets’ in the consolidated balance sheets) include amounts related to the Company’s whole mortgage loan purchase and sell program. Fair values of residential mortgage loans are generally determined based on market prices. As significant inputs used in pricing process for these residential mortgage loans are observable market inputs, the fair value of these securities are classified within Level 2.

Contingent consideration liabilities

Contingent consideration liabilities (included in ‘other liabilities’ in the consolidated balance sheets) include amounts related to the Company’s acquisitions. Such amounts are remeasured at fair value at each balance sheet date with changes in fair value recognized in ‘net realized gains (losses).’ To determine the fair value of contingent consideration liabilities, the Company estimates future payments using an income approach based on modeled inputs which include a weighted average cost of capital. The Company determined that contingent consideration liabilities would be included within Level 3.

The following table presents the Company’s financial assets and liabilities measured at fair value by level at December 31, 2021:


			Fair Value Measurement 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:
Available for sale securities:
Fixed maturities:
Corporate bonds	$	6,553,333	$	—	$	6,553,320	$	13
Mortgage backed securities	408,477		—		408,477		—
Municipal bonds	404,666		—		404,666		—
Commercial mortgage backed securities	1,046,484		—		1,046,484		—
U.S. government and government agencies	4,772,764		4,744,517		28,247		—
Non-U.S. government securities	2,120,294		—		2,120,294		—
Asset backed securities	2,692,091		—		2,688,744		3,347
Total	17,998,109		4,744,517		13,250,232		3,360

Short-term investments	1,734,716		1,052,822		681,894		—

Equity securities, at fair value	1,804,170		1,762,864		38,388		2,918





Derivative instruments (3)	127,121		—		127,121		—

Residential mortgage loans	49,847		—		49,847		—

Fair value option:
Corporate bonds	388,546		—		388,546		—
Non-U.S. government bonds	23,785		—		23,785		—



Asset backed securities	4,367		—		4,367		—

Short-term investments	97,806		528		97,278		—
Equity securities	26,493		21,745		—		4,748
Other investments	310,798		20,352		262,465		27,981
Other investments measured at net asset value (1)	1,121,755
Total	1,973,550		42,625		776,441		32,729

Total assets measured at fair value	$	23,687,513	$	7,602,828	$	14,923,923	$	39,007

Liabilities measured at fair value:
Contingent consideration liabilities	$	(16,960)	$	—	$	—	$	(16,960)
Securities sold but not yet purchased (2)	—		—		—		—
Derivative instruments (3)	(54,224)		—		(54,224)		—
Total liabilities measured at fair value	$	(71,184)	$	—	$	(54,224)	$	(16,960)

(1) 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.

(2) 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.

(3) See Note 11.

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


			Fair Value Measurement 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

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

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





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)

(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 9.

(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 11.

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 for 2021 and 2020:




			Assets										Liabilities
	Available For Sale				Fair Value Option						Fair Value
	Structured Securities (1)		Corporate Bonds		Corporate Bonds		Other Investments		Equity Securities		Equity Securities			Contingent Consideration Liabilities
Year Ended December 31, 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)	(135)		—		13		868		4,941		1,958			—
Included in other comprehensive income	133		—		—		—		—		—			—
Purchases, issuances, sales and settlements
Purchases	—		—		—		13,213		—		5,718			(16,494)
Issuances	—		—		—		—		—		—			—
Sales (3)	—		—		(998)		(53,203)		(69,181)		(46,773)			—
Settlements	(77)		—		—		—		—		—			(5)
Transfers in and/or out of Level 3	—		—		—		—		—		—			—
Balance at end of year	$	3,347	$	13	$	—	$	27,981	$	4,748	$	2,918		$	(16,960)

Year Ended December 31, 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)	—		(5,865)		(13)		(314)		10,894		8,214			(72)
Included in other comprehensive income	(169)		397		—		—		—		—			—
Purchases, issuances, sales and settlements
Purchases	—		—		66		52,449		—		4,030			—
Issuances	—		—		—		—		—		—			—
Sales	—		—		—		(56,833)		—		(26,118)			—
Settlements	(1,413)		(1,462)		—		—		—		—			7,609
Transfers in and/or out of Level 3	(208)		(1,908)		—		2,984		—		—			—
Balance at end of year	$	3,426	$	13	$	985	$	67,103	$	68,988	$	42,015		$	(461)

(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 period primarily relates to the Company’s deconsolidation of Somers.

Financial Instruments Disclosed, But Not Carried, At Fair Value

The Company uses various financial instruments in the normal course of its business. The carrying values of cash, accrued investment income, receivable for securities sold, certain other assets, payable for securities purchased and certain other liabilities approximated their fair values at December 31, 2021, due to their respective short maturities. As these financial instruments are not actively traded, their respective fair values are classified within Level 2.

At December 31, 2021, the Company’s senior notes were carried at their cost, net of debt issuance costs, of $2.7 billion and had a fair value of $3.3 billion. At December 31, 2020, the Company’s senior notes were carried at their cost, net of debt issuance costs, of $2.9 billion and had a fair value of $3.7 billion. The fair values of the senior notes were obtained

from a third party pricing service and are based on observable market inputs. As such, the fair value of the senior notes is classified within Level 2.

Fair Value Measurements on a Non-Recurring Basis

The Company measures the fair value of certain assets on a non-recurring basis, generally quarterly, annually, or when events or changes in circumstances indicate that the carrying amount of the assets may not be recoverable. These assets include investments accounted for using the equity method, certain other investments, goodwill and intangible assets, and long-lived assets. The Company uses a variety of techniques to measure the fair value of these assets when appropriate, as described below:

Investments accounted for using the equity method. When the Company determines that the carrying value of these assets may not be recoverable, the Company records the assets at fair value with the loss recognized in income. In such cases, the Company measures the fair value of these assets using the techniques discussed above in “—Fair Value Measurements on a Recurring Basis.”

Goodwill and Intangible Assets. The Company tests goodwill and intangible assets annually for impairment whenever events or changes in circumstances indicate the carrying amount may not be recoverable. When the Company determines goodwill and intangible assets may be impaired, the Company uses techniques including discounted expected future cash flows, to measure fair value.

Long-Lived Assets. The Company tests its long-lived assets for impairment whenever events or changes in circumstances indicate the carrying amount of a long-lived asset may not be recoverable.