XML 47 R33.htm IDEA: XBRL DOCUMENT v3.23.1
Fair Value (Tables)
 12 Months Ended
Dec. 31, 2022
Fair Value Disclosures [Abstract]  
Financial instruments measured at fair value and categorized between Levels 1, 2 and 3
At December 31, 2022 and 2021, the Company’s financial instruments measured at fair value were classified between Levels 1, 2 and 3 as follows (in thousands of U.S. dollars):
December 31, 2022Quoted 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 as practical expedientTotal
Fixed maturities
U.S. government and government sponsored enterprises$— $1,797,934 $— $— $1,797,934 
U.S. states, territories and municipalities— 10,126 48,747 — 58,873 
Non-U.S. sovereign government, supranational and government related— 1,654,532 — — 1,654,532 
Corporate bonds— 5,759,149 — — 5,759,149 
Asset-backed securities— 12,434 15,930 — 28,364 
Residential mortgage-backed securities— 3,723,062 — — 3,723,062 
Fixed maturities$— $12,957,237 $64,677 $— $13,021,914 
Short-term investments$— $516,603 $6,907 $— $523,510 
Equities
Real estate$61,754 $— $1,814 $— $63,568 
Consumer non-cyclical— — 10,081 — 10,081 
Diversified— — 9,667 — 9,667 
Consumer cyclical4,449 — 28 — 4,477 
Energy3 — 1,514 — 1,517 
Finance— — 120 — 120 
Industrials20 — 76 — 96 
Insurance— 42 — — 42 
Fund investments— — — 840,318 840,318 
Equities$66,226 $42 $23,300 $840,318 $929,886 
Other invested assets
Derivative assets
Foreign exchange forward contracts$— $13,705 $— $— $13,705 
Interest rate swaps— 258 — — 258 
Insurance-linked securities— — 6,657 — 6,657 
Options and warrants— — 8,691 — 8,691 
TBAs— 578 — — 578 
Other
Corporate loans (1)
— 1,015,529 287,278 — 1,302,807 
Notes and loans receivable and notes securitization— — 3,166 — 3,166 
Real estate company investment— — 491,602 — 491,602 
Fund investments— — 36,274 1,271,612 1,307,886 
Derivative liabilities
Foreign exchange forward contracts— (17,336)— — (17,336)
Interest rate swaps— (153)— — (153)
Other invested assets$— $1,012,581 $833,668 $1,271,612 $3,117,861 
Total$66,226 $14,486,463 $928,552 $2,111,930 $17,593,171 
(1)Corporate loans includes a portfolio of third-party, individually managed privately issued corporate loans that are managed under an externally managed mandate with a fair value of $1.0 billion and $1.0 billion at December 31, 2022 and 2021, respectively. The mandate primarily invests in U.S. floating rate, first lien, senior secured broadly syndicated loans with a focus on facility sizes greater than $300 million. Corporate loans also includes $0.3 billion and $0.4 billion of other privately issued corporate loans at December 31, 2022 and 2021, respectively.
December 31, 2021Quoted prices in
active markets for
identical assets
(Level 1)		Significant
other observable
inputs
(Level 2)		Significant
unobservable
inputs
(Level 3)		Fair value based on NAV practical expedientTotal
Fixed maturities
U.S. government and government sponsored enterprises$— $2,118,772 $— $— $2,118,772 
U.S. states, territories and municipalities— 12,878 95,181 — 108,059 
Non-U.S. sovereign government, supranational and government related— 2,181,127 — — 2,181,127 
Corporate bonds— 5,441,908 — — 5,441,908 
Asset-backed securities— — 16,764 — 16,764 
Residential mortgage-backed securities— 4,204,644 — — 4,204,644 
Fixed maturities$— $13,959,329 $111,945 $— $14,071,274 
Short-term investments$— $205,146 $— $— $205,146 
Equities
Real estate$97,854 $— $2,097 $— $99,951 
Consumer non-cyclical343 — 10,081 10,424 
Consumer cyclical7,341 — 1,394 — 8,735 
Diversified4 — 7,468 — 7,472 
Energy1,112 — 2,368 — 3,480 
Industrials137 — 220 — 357 
Finance— — 128 — 128 
Insurance— 18 — — 18 
Fund investments (1)
— — — 1,621,019 1,621,019 
Equities$106,791 $18 $23,756 $1,621,019 $1,751,584 
Other invested assets
Derivative assets
Foreign exchange forward contracts$— $8,841 $— $— $8,841 
Total return swaps— — 153 — 153 
Insurance-linked securities— — 5,663 — 5,663 
Other— — 3,059 — 3,059 
Other    
Corporate loans (1)
— 1,104,444 287,527 — 1,391,971 
Notes and loans receivable and notes securitization— — 6,575 — 6,575 
Real estate company investment (2)
— — 560,687 — 560,687 
Fund investments (1)
— — 11,739 1,346,797 1,358,536 
Derivative liabilities 
Foreign exchange forward contracts— (6,657)— — (6,657)
Total return swaps— — (1,079)— (1,079)
Interest rate swaps— (10,489)— — (10,489)
Other invested assets$— $1,096,139 $874,324 $1,346,797 $3,317,260 
Total$106,791 $15,260,632 $1,010,025 $2,967,816 $19,345,264 
(1)The classification of fund investments was revised from Level 3 to "Fair values based on NAV practical expedient" in order to align the disclosure with the valuation methodology used by the Company. In addition, the classification of certain investments in corporate loans was revised from Level 3 to Level 2 to reflect the appropriate fair value hierarchy level for investments with quoted prices, and one investment was reclassified from corporate loans to fund investments. The comparative disclosures as of December 31, 2021 have been revised to align with the presentation at December 31, 2022. These revisions are not considered to be material to previously issued financial statements.
(2)A certain investment previously disclosed as equity method and excluded from the fair value table is now included and presented as a Level 3 investment in order to align the disclosure with the valuation methodology used by the Company. The comparative disclosures as of December 31, 2021 have been revised to align with the presentation at December 31, 2022. This revision is not considered to be material to previously issued financial statements. Accordingly, no changes were made to the prior period Consolidated Balance Sheet or Consolidated Statements of Operations.
Reconciliation of beginning and ending balances for all financial instruments measured at fair value using Level 3 inputs
The reconciliations of the beginning and ending balances for financial instruments measured at fair value using Level 3 inputs for the years ended December 31, 2022 and 2021, were as follows (in thousands of U.S. dollars):
For the year ended December 31, 2022Balance at
beginning
of year		(Losses) gains
included in
net income		Purchases
Settlements
and
sales (1)
Net
transfers into Level 3		Balance
at end of
year		Change in
unrealized
(losses) gains
relating to
assets held at
end of year
Fixed maturities
U.S. states, territories and municipalities$95,181 $(13,862)$— $(32,572)$— $48,747 $(14,108)
Asset-backed securities16,764 — — (834)— 15,930 — 
Fixed maturities$111,945 $(13,862)$— $(33,406)$— $64,677 $(14,108)
Short-term investments$— $— $6,907 $— $— $6,907 $— 
Equities
Energy$2,368 $(854)$— $— $— $1,514 $(854)
Consumer non-cyclical10,081 — — — — 10,081 — 
Real estate2,097 (283)— — — 1,814 (283)
Consumer cyclical1,394 (1,366)— — — 28 (1,366)
Finance128 (8)— — — 120 (8)
Industrials220 13 — (157)— 76 (53)
Diversified7,468 (223)2,759 (337)— 9,667 (344)
Equities$23,756 $(2,721)$2,759 $(494)$— $23,300 $(2,908)
Other invested assets
Derivatives, net$7,796 $1,929 $5,631 $(8)$— $15,348 $996 
Corporate loans287,527 1,443 34,543 (42,589)6,354 287,278 2,166 
Notes and loan receivables and notes securitization6,575 (594)— (2,815)— 3,166 2,301 
Fund investments11,739 92 30,286 (5,843)— 36,274 322 
Real estate company investment560,687 (69,085)— — — 491,602 (69,085)
Other invested assets$874,324 $(66,215)$70,460 $(51,255)$6,354 $833,668 $(63,300)
Total$1,010,025 $(82,798)$80,126 $(85,155)$6,354 $928,552 $(80,316)
(1)Included sales of Fixed maturities and Other invested assets of $32 million and $36 million, respectively. Sales of Fixed maturities were comprised of U.S. states, territories and municipalities. Sales of Other invested assets included sales of corporate loans of $33 million and sales of notes and loan receivables and notes securitization of $3 million.
For the year ended December 31, 2021Balance at
beginning
of year		(Losses) gains
included in
net income		Purchases
Settlements
and
sales (1)
Net
transfers into (out of)
Level 3		Balance
at end of
year		Change in
unrealized
(losses)
gains relating to
assets held at
end of year
Fixed maturities
U.S. states, territories and municipalities$120,477 $(7,330)$— $(17,966)$— $95,181 $(8,818)
Asset-backed securities17,528 — — (764)— 16,764 — 
Corporate16,530 165 — (16,695)— — — 
Fixed maturities$154,535 $(7,165)$— $(35,425)$— $111,945 $(8,818)
Equities
Energy$34,448 $54,509 $6 $(86,595)$— $2,368 $1,326 
Consumer non-cyclical6,886 7,557 — — (4,362)10,081 4,522 
Insurance4,000 — — (4,000)— — — 
Real estate2,338 (241)— — — 2,097 (241)
Consumer cyclical475 (916)1,835 — — 1,394 (916)
Finance138 (10)— — — 128 (10)
Industrials39 245 309 (334)(39)220 99 
Diversified3,098 1,901 2,469 — — 7,468 1,901 
Equities (2)
$51,422 $63,045 $4,619 $(90,929)$(4,401)$23,756 $6,681 
Other invested assets
Derivatives, net$(862)$5,718 $3,059 $(119)$— $7,796 $4,018 
Corporate loans (2)
374,556 (9,883)78,673 (151,543)(4,276)287,527 (6,844)
Notes and loan receivables and notes securitization7,121 (71)21 (496)— 6,575 (6,895)
Fund investments (2)
32,810 (149)392 (21,314)— 11,739 (149)
Real estate company investment (2)
494,010 66,677 — — — 560,687 66,677 
Other invested assets$907,635 $62,292 $82,145 $(173,472)$(4,276)$874,324 $56,807 
Total$1,113,592 $118,172 $86,764 $(299,826)$(8,677)$1,010,025 $54,670 
(1)Included sales of Fixed maturities, Equities and Other invested assets of $17 million, $91 million and $119 million, respectively. Sales of Fixed maturities were comprised of U.S. states, territories and municipalities. Sales of Equities included sales of $87 million in energy and $4 million in insurance. Sales of Other invested assets included sales of corporate loans.
(2)The Level 3 reconciliation for the year ended December 31, 2021 has been recast to reflect the reclassification of certain investments within the fair value table as discussed above.
Summary of significant unobservable inputs used in the valuation of financial instruments
The significant unobservable inputs used in the valuation of financial instruments measured at fair value using Level 3 inputs at December 31, 2022 and 2021 were as follows (fair value in thousands of U.S. dollars):

December 31, 2022Fair valueValuation techniquesUnobservable inputs
Range
(Weighted average (1))
Fixed maturities
U.S. states, territories and municipalities$48,747 Discounted cash flowCredit spreads
2.7% – 3.6% (3.4%)
Short-term investments6,907 Discounted cash flowCredit spreads
2.5% (2.5%)
Other invested assets
Insurance-linked securities – longevity swaps6,657 Discounted cash flowCredit spreads
5.7% (5.7%)
Fund investments6,008 Discounted cash flowEffective yield
0.6% (0.6%)
Note securitization188 Discounted cash flowCredit spreads
2.5% (2.5%)
Real estate company investment491,602 Income capitalizationEstimated rental value (per sq ft)
$84 – $90 ($87)
Net initial yield
2.2% – 4.6% (3.9%)
Reversionary yield
4.6% – 5.3% (4.9%)
Comparable method Sale value (per sq ft)
$1,617 – $5,459 ($4,836)

December 31, 2021Fair valueValuation techniquesUnobservable inputs
Range
(Weighted average (1))
Fixed maturities
U.S. states, territories and municipalities$95,181 Discounted cash flowCredit spreads
2.5% – 254.5%, (14.3%)
Other invested assets
Total return swaps, net(926)Discounted cash flowCredit spreads
2.4% – 41.3%, (36.5%)
Insurance-linked securities – longevity swaps5,663 Discounted cash flowCredit spreads
1.7% (1.7%)
Notes and loans receivables1,791 Discounted cash flowCredit spreads
17.5% (17.5%)
Gross revenue/fair value
1.1 (1.1)
Note securitization403 Discounted cash flowCredit spreads
2.5% (2.5%)
Fund investments8,832 Discounted cash flowEffective yield
3.5% (3.5%)
Real estate company investment560,687 Income capitalizationEstimated rental value (per sq ft)
$92 - $100 ($96)
Net initial yield
2.2% - 4.5% (3.9%)
Reversionary yield
4.4% - 4.9% (4.7%)
Comparable methodSale value (per sq ft)
$1,763 - $5,916 ($5,222)
(1)Unobservable inputs were weighted by the relative fair value of the instruments.
Change in fair value of financial instruments subject to fair value option
Changes in the fair value of the Company’s financial instruments subject to the fair value option during the years ended December 31, 2022, 2021 and 2020 were as follows (in thousands of U.S. dollars):
202220212020
Fixed maturities and short-term investments$(1,807,048)$(558,466)$219,946 
Equities(505,072)198,780 167,456 
Other invested assets(136,580)184,209 63,669 
Total$(2,448,700)$(175,477)$451,071 
Details of portfolio of investments using NAV as a practical expedient
The table below reflects the Company's portfolio of investments measured using net asset valuations as the practical expedient (in thousands of US dollars):
At December 31, 2022December 31, 2021
Carrying Value (1)
Remaining Unfunded Commitment
Carrying Value (1)
Remaining Unfunded CommitmentRedemption FrequencyRedemption Notice Period
Public equity funds$629,125 $— $1,461,620 $— See belowSee below
Private equity funds389,736 150,458 499,289 195,871 See belowSee below
Private credit funds404,065 67,815 294,760 184,590 See belowSee below
Multi-strategy funds689,004 147,409 712,147 114,880 See belowSee below
Total fund investments$2,111,930 $365,682 $2,967,816 $495,341 
(1)The table above only reflects the Company's investments valued at fair value based on the NAV practical expedient, which includes fund investments of $840 million included in Equities and $1,272 million included in Other invested assets at December 31, 2022 and fund investments of $1,621 million included in Equities and $1,347 million included in Other invested assets at December 31, 2021.