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FAIR VALUE MEASUREMENTS (Tables)
9 Months Ended
Sep. 30, 2022
Fair Value Disclosures [Abstract]  
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, 2022TotalQuoted
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 — 
Agencies375,894 — 375,894 — 
Non-U.S. government443,869 — 443,869 — 
Residential mortgage-backed698,496 — 698,496 — 
Commercial mortgage-backed257,827 — 257,827 — 
Asset-backed1,027,624 — 1,027,624 — 
Total fixed maturity investments trading12,671,098 5,745,880 6,925,218 — 
Short term investments4,935,960 — 4,935,960 — 
Equity investments trading950,393 950,393 — — 
Other investments
Catastrophe bonds1,135,053 — 1,135,053 — 
Direct private equity investments69,923 — — 69,923 
Term loans100,000 — — 100,000 
1,304,976 — 1,135,053 169,923 
Fund investments (2)
958,188 
Total other investments2,263,164 — 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, 2021TotalQuoted
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 — 
Agencies361,684 — 361,684 — 
Non-U.S. government549,613 — 549,613 — 
Residential mortgage-backed955,301 — 955,301 — 
Commercial mortgage-backed634,925 — 634,925 — 
Asset-backed1,068,543 — 1,068,543 — 
Total fixed maturity investments trading13,507,131 6,247,779 7,259,352 — 
Short term investments5,298,385 — 5,298,385 — 
Equity investments trading546,016 546,016 — — 
Other investments
Catastrophe bonds1,104,034 — 1,104,034 — 
Direct private equity investments88,373 — — 88,373 
Term loans74,850 74,850 
1,267,257 — 1,104,034 163,223 
Fund investments (2)
725,802 
Total other investments1,993,059 — 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.
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, 2022Fair Value
(Level 3)
Valuation TechniqueUnobservable
Inputs
LowHighWeighted Average or Actual
Other investments
Direct private equity investments$69,923 Internal valuation modelDiscount raten/an/a7.5%
Liquidity discountn/an/a15.0 %
Term loans100,000 Discounted cash flowCredit spread adjustmentn/an/a0.2 %
Risk premiumn/an/a2.6 %
Total other investments169,923 
Other assets and (liabilities)
Assumed and ceded (re)insurance contracts(2,571)Internal valuation modelNet undiscounted cash flowsn/an/a$14,499
Expected loss ration/an/a7.3 %
Discount raten/an/a4.1 %
Total other assets and (liabilities)
(2,571)
Total other assets and (liabilities) measured at fair value on a recurring basis using Level 3 inputs$167,352 
At December 31, 2021Fair Value
(Level 3)
Valuation TechniqueUnobservable InputsLowHighWeighted Average or Actual

Direct private equity investments$88,373 Internal valuation modelDiscount raten/an/a7.5 %
Liquidity discountn/an/a15.0 %
Term loans74,850 Discounted cash flowCredit Spread Adjustmentn/an/a0.2 %
Risk Premiumn/an/a2.6 %
Total other investments163,223 
Other assets and (liabilities)
Assumed and ceded (re)insurance contracts
(4,727)Internal valuation modelNet undiscounted cash flowsn/an/a$14,920
Expected loss ration/an/a14.7 %
Discount raten/an/a1.3 %
Total other assets and (liabilities)
(4,727)
Total other assets and (liabilities) measured at fair value on a recurring basis using Level 3 inputs
$158,496 
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 investmentsTerm loans
Balance - July 1, 2022$81,610 $100,000 $(3,064)$178,546 
Included in net investment income125 — — 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 investmentsTerm loans
Balance - January 1, 2022$88,373 $74,850 $(4,727)$158,496 
Included in net investment income125 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)
Purchases5,000 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 investmentsTerm 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 investmentsTerm 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)
Purchases5,000 — (394)4,606 
Sales(946)— — (946)
Balance - September 30, 2021$84,587 $— $(5,521)$79,066 
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 investmentsTerm loans
Balance - July 1, 2022$81,610 $100,000 $(3,064)$178,546 
Included in net investment income125 — — 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 investmentsTerm loans
Balance - January 1, 2022$88,373 $74,850 $(4,727)$158,496 
Included in net investment income125 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)
Purchases5,000 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 investmentsTerm 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 investmentsTerm 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)
Purchases5,000 — (394)4,606 
Sales(946)— — (946)
Balance - September 30, 2021$84,587 $— $(5,521)$79,066 
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,
2022
December 31,
2021
Other investments$2,263,164 $1,993,059 
Other assets$4,954 $6,100 
Other liabilities$7,525 $10,827 
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, 2022Fair ValueUnfunded
Commitments
Redemption FrequencyRedemption
Notice Period (Minimum Days)
Redemption
Notice Period (Maximum Days)
Private credit funds$677,499 $764,384 See belowSee belowSee below
Private equity funds280,689 445,941 See belowSee belowSee below
Total other investments measured using net asset valuations
$958,188 $1,210,325 
At December 31, 2021Fair ValueUnfunded
Commitments
Redemption FrequencyRedemption
Notice Period (Minimum Days)
Redemption
Notice Period (Maximum Days)
Private credit funds$473,112 $868,571 See belowSee belowSee below
Private equity funds241,297 458,566 See belowSee belowSee below
Hedge funds
11,394 — See belowSee belowSee below
Total other investments measured using net asset valuations
$725,803 $1,327,137 
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, 2022Carrying amountUnfunded CommitmentsTotal
Other investments$787,941 $1,151,926 $1,939,867 
At December 31, 2021
Other investments$539,866 $1,282,451 $1,822,317