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, 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 | $ | 5,745,880 | | | $ | 5,745,880 | | | $ | — | | | $ | — | | | | Corporate (1) | 4,121,508 | | | — | | | 4,121,508 | | | — | | | | Agencies | 375,894 | | | — | | | 375,894 | | | — | | | | | | | | | | | | | | Non-U.S. government | 443,869 | | | — | | | 443,869 | | | — | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Residential mortgage-backed | 698,496 | | | — | | | 698,496 | | | — | | | | Commercial mortgage-backed | 257,827 | | | — | | | 257,827 | | | — | | | | Asset-backed | 1,027,624 | | | — | | | 1,027,624 | | | — | | | | Total fixed maturity investments trading | 12,671,098 | | | 5,745,880 | | | 6,925,218 | | | — | | | | Short term investments | 4,935,960 | | | — | | | 4,935,960 | | | — | | | | Equity investments trading | 950,393 | | | 950,393 | | | — | | | — | | | | Other investments | | | | | | | | | | Catastrophe bonds | 1,135,053 | | | — | | | 1,135,053 | | | — | | | | Direct private equity investments | 69,923 | | | — | | | — | | | 69,923 | | | | Term loans | 100,000 | | | — | | | — | | | 100,000 | | | | | 1,304,976 | | | — | | | 1,135,053 | | | 169,923 | | | | Fund investments (2) | 958,188 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Total other investments | 2,263,164 | | | — | | | 1,135,053 | | | 169,923 | | | | Other assets and (liabilities) | | | | | | | | | | Assumed and ceded (re)insurance contracts (3) | (2,571) | | | — | | | — | | | (2,571) | | | | | | | | | | | | | | Derivative assets (4) | 53,921 | | | 1,179 | | | 52,742 | | | — | | | | Derivative liabilities (4) | (47,385) | | | (5,773) | | | (41,612) | | | — | | | | | | | | | | | | | | Total other assets and (liabilities) | 3,965 | | | (4,594) | | | 11,130 | | | (2,571) | | | | | $ | 20,824,580 | | | $ | 6,691,679 | | | $ | 13,007,361 | | | $ | 167,352 | | | | | | | | | | | | |
(1)Corporate fixed maturity investments include non-U.S. government-backed corporate fixed maturity investments. (2)Fund investments, which are comprised of private equity funds and private credit 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 amounts presented in this table are intended 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, 2022 was $5.0 million of other assets and $7.5 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, 2021 | 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 | $ | 6,247,779 | | | $ | 6,247,779 | | | $ | — | | | $ | — | | | | Corporate (1) | 3,689,286 | | | — | | | 3,689,286 | | | — | | | | Agencies | 361,684 | | | — | | | 361,684 | | | — | | | | | | | | | | | | | | Non-U.S. government | 549,613 | | | — | | | 549,613 | | | — | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Residential mortgage-backed | 955,301 | | | — | | | 955,301 | | | — | | | | Commercial mortgage-backed | 634,925 | | | — | | | 634,925 | | | — | | | | Asset-backed | 1,068,543 | | | — | | | 1,068,543 | | | — | | | | Total fixed maturity investments trading | 13,507,131 | | | 6,247,779 | | | 7,259,352 | | | — | | | | Short term investments | 5,298,385 | | | — | | | 5,298,385 | | | — | | | | Equity investments trading | 546,016 | | | 546,016 | | | — | | | — | | | | Other investments | | | | | | | | | | Catastrophe bonds | 1,104,034 | | | — | | | 1,104,034 | | | — | | | | Direct private equity investments | 88,373 | | | — | | | — | | | 88,373 | | | | Term loans | 74,850 | | | | | | | 74,850 | | | | | 1,267,257 | | | — | | | 1,104,034 | | | 163,223 | | | | Fund investments (2) | 725,802 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Total other investments | 1,993,059 | | | — | | | 1,104,034 | | | 163,223 | | | | Other assets and (liabilities) | | | | | | | | | | Assumed and ceded (re)insurance contracts (3) | (4,727) | | | — | | | — | | | (4,727) | | | | Derivative assets (4) | 17,889 | | | 1,067 | | | 16,822 | | | — | | | | Derivative liabilities (4) | (16,954) | | | (1,598) | | | (15,356) | | | — | | | | | | | | | | | | | | Total other assets and (liabilities) | (3,792) | | | (531) | | | 1,466 | | | (4,727) | | | | | $ | 21,340,799 | | | $ | 6,793,264 | | | $ | 13,663,237 | | | $ | 158,496 | | | | | | | | | | | | |
(1)Corporate fixed maturity investments include non-U.S. government-backed corporate fixed maturity investments. (2)Fund investments, which are comprised of 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 amounts presented in this table are intended 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, 2021 was $6.1 million of other assets and $10.8 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.
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Schedule of Assets and 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. Interest and dividend income are included in net investment income and are excluded from the reconciliation. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Other Investments | | Other Assets and (Liabilities) | | Total | | | | | | Direct private equity investments | | Term loans | | | | | | | 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) | | | | | | | | | | | | | | | | Settlements | | | — | | | — | | | — | | | — | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Balance - September 30, 2022 | | | $ | 69,923 | | | $ | 100,000 | | | $ | (2,571) | | | $ | 167,352 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Other Investments | | Other Assets and (Liabilities) | | Total | | | | | | Direct private equity investments | | Term loans | | | | | | | 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 gains (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 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Other investments | | Other assets and (liabilities) | | Total | | | | | | Direct private equity investments | | Term loans | | | | | | | Balance - July 1, 2021 | | | $ | 81,344 | | | $ | — | | | $ | (6,193) | | | $ | 75,151 | | | | | | | | | | | | | | | | Included in net realized and unrealized gains (losses) on investments | | | 3,252 | | | — | | | — | | | 3,252 | | | | Included in other income (loss) | | | — | | | — | | | 548 | | | 548 | | | | Total foreign exchange gains (losses) | | | (9) | | | — | | | — | | | (9) | | | | Purchases | | | — | | | — | | | 124 | | | 124 | | | | Sales | | | — | | | — | | | — | | | — | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Balance - September 30, 2021 | | | $ | 84,587 | | | $ | — | | | $ | (5,521) | | | $ | 79,066 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Other investments | | Other assets and (liabilities) | | Total | | | | | | Direct private equity investments | | Term loans | | | | | | | Balance - January 1, 2021 | | | $ | 79,807 | | | $ | — | | | $ | (6,211) | | | $ | 73,596 | | | | | | | | | | | | | | | | Included in net realized and unrealized gains (losses) on investments | | | 731 | | | — | | | — | | | 731 | | | | Included in other income (loss) | | | — | | | — | | | 1,084 | | | 1,084 | | | | Total foreign exchange losses | | | (5) | | | — | | | — | | | (5) | | | | Purchases | | | 5,000 | | | — | | | (394) | | | 4,606 | | | | Sales | | | (946) | | | — | | | — | | | (946) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Balance - September 30, 2021 | | | $ | 84,587 | | | $ | — | | | $ | (5,521) | | | $ | 79,066 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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Schedule of Assets and 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. Interest and dividend income are included in net investment income and are excluded from the reconciliation. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Other Investments | | Other Assets and (Liabilities) | | Total | | | | | | Direct private equity investments | | Term loans | | | | | | | 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) | | | | | | | | | | | | | | | | Settlements | | | — | | | — | | | — | | | — | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Balance - September 30, 2022 | | | $ | 69,923 | | | $ | 100,000 | | | $ | (2,571) | | | $ | 167,352 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Other Investments | | Other Assets and (Liabilities) | | Total | | | | | | Direct private equity investments | | Term loans | | | | | | | 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 gains (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 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Other investments | | Other assets and (liabilities) | | Total | | | | | | Direct private equity investments | | Term loans | | | | | | | Balance - July 1, 2021 | | | $ | 81,344 | | | $ | — | | | $ | (6,193) | | | $ | 75,151 | | | | | | | | | | | | | | | | Included in net realized and unrealized gains (losses) on investments | | | 3,252 | | | — | | | — | | | 3,252 | | | | Included in other income (loss) | | | — | | | — | | | 548 | | | 548 | | | | Total foreign exchange gains (losses) | | | (9) | | | — | | | — | | | (9) | | | | Purchases | | | — | | | — | | | 124 | | | 124 | | | | Sales | | | — | | | — | | | — | | | — | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Balance - September 30, 2021 | | | $ | 84,587 | | | $ | — | | | $ | (5,521) | | | $ | 79,066 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Other investments | | Other assets and (liabilities) | | Total | | | | | | Direct private equity investments | | Term loans | | | | | | | Balance - January 1, 2021 | | | $ | 79,807 | | | $ | — | | | $ | (6,211) | | | $ | 73,596 | | | | | | | | | | | | | | | | Included in net realized and unrealized gains (losses) on investments | | | 731 | | | — | | | — | | | 731 | | | | Included in other income (loss) | | | — | | | — | | | 1,084 | | | 1,084 | | | | Total foreign exchange losses | | | (5) | | | — | | | — | | | (5) | | | | Purchases | | | 5,000 | | | — | | | (394) | | | 4,606 | | | | Sales | | | (946) | | | — | | | — | | | (946) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Balance - September 30, 2021 | | | $ | 84,587 | | | $ | — | | | $ | (5,521) | | | $ | 79,066 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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