FAIR VALUE MEASUREMENTS (Tables)
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9 Months Ended |
Sep. 30, 2024 |
Fair Value Disclosures [Abstract] |
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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, 2024 | 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 | $ | 11,736,158 | | | $ | 11,736,158 | | | $ | — | | | $ | — | | | | Corporate (1) | 7,790,634 | | | — | | | 7,790,634 | | | — | | | | Residential mortgage-backed | 1,753,318 | | | — | | | 1,753,318 | | | — | | | | Asset-backed | 1,440,194 | | | — | | | 1,440,194 | | | — | | | | Agencies | 615,627 | | | — | | | 615,627 | | | — | | | | | | | | | | | | | | Non-U.S. government | 609,355 | | | — | | | 609,355 | | | — | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Commercial mortgage-backed | 341,899 | | | — | | | 341,899 | | | — | | | | Total fixed maturity investments trading | 24,287,185 | | | 11,736,158 | | | 12,551,027 | | | — | | | | Short term investments | 4,302,991 | | | 141,839 | | | 4,161,152 | | | — | | | | Equity investments | 133,091 | | | 133,091 | | | — | | | — | | | | Other investments | | | | | | | | | | Catastrophe bonds | 1,896,075 | | | — | | | 1,896,075 | | | — | | | | Direct private equity investments | 199,039 | | | — | | | 148,005 | | | 51,034 | | | | Term loans | 94,575 | | | — | | | — | | | 94,575 | | | | | 2,189,689 | | | — | | | 2,044,080 | | | 145,609 | | | | Fund investments (2) | 1,982,762 | | | — | | | — | | | — | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Total other investments | 4,172,451 | | | — | | | 2,044,080 | | | 145,609 | | | | Other assets and (liabilities) | | | | | | | | | | Assumed and ceded (re)insurance contracts (3) | (497) | | | — | | | — | | | (497) | | | | | | | | | | | | | | Derivative assets (4) | 87,029 | | | 9,329 | | | 77,700 | | | — | | | | Derivative liabilities (4) | (78,668) | | | (17,841) | | | (60,827) | | | — | | | | | | | | | | | | | | Total other assets and (liabilities) | 7,864 | | | (8,512) | | | 16,873 | | | (497) | | | | | $ | 32,903,582 | | | $ | 12,002,576 | | | $ | 18,773,132 | | | $ | 145,112 | | | | | | | | | | | | |
(1)Corporate fixed maturity investments include non-U.S. government-backed corporate fixed maturity investments. (2)Fund investments, which may include 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 presented in this table is provided 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, 2024 was $3.0 million of other assets and $3.5 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, 2023 | 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 | $ | 10,060,203 | | | $ | 10,060,203 | | | $ | — | | | $ | — | | | | Corporate (1) | 6,499,075 | | | — | | | 6,499,075 | | | — | | | | Asset-backed | 1,491,695 | | | — | | | 1,491,695 | | | — | | | | Residential mortgage-backed | 1,420,362 | | | — | | | 1,420,362 | | | — | | | | Agencies | 489,117 | | | — | | | 489,117 | | | — | | | | Non-U.S. government | 483,576 | | | — | | | 483,576 | | | — | | | | Commercial mortgage-backed | 433,080 | | | — | | | 433,080 | | | — | | | | Total fixed maturity investments trading | 20,877,108 | | | 10,060,203 | | | 10,816,905 | | | — | | | | Short term investments | 4,604,079 | | | 130,232 | | | 4,473,847 | | | — | | | | Equity investments | 106,766 | | | 106,766 | | | — | | | — | | | | Other investments | | | | | | | | | | Catastrophe bonds | 1,942,199 | | | — | | | 1,942,199 | | | — | | | | Term loans | 97,658 | | | — | | | — | | | 97,658 | | | | Direct private equity investments | 59,905 | | | — | | | — | | | 59,905 | | | | | 2,099,762 | | | — | | | 1,942,199 | | | 157,563 | | | | Fund investments (2) | 1,415,804 | | | — | | | — | | | — | | | | | | | | | | | | | | | | | | | | | | | | Total other investments | 3,515,566 | | | — | | | 1,942,199 | | | 157,563 | | | | Other assets and (liabilities) | | | | | | | | | | Assumed and ceded (re)insurance contracts (3) | (515) | | | — | | | — | | | (515) | | | | Derivative assets (4) | 44,724 | | | 16,701 | | | 28,023 | | | — | | | | Derivative liabilities (4) | (29,992) | | | (10,372) | | | (19,620) | | | — | | | | | | | | | | | | | | Total other assets and (liabilities) | 14,217 | | | 6,329 | | | 8,403 | | | (515) | | | | | $ | 29,117,736 | | | $ | 10,303,530 | | | $ | 17,241,354 | | | $ | 157,048 | | | | | | | | | | | | |
(1)Corporate fixed maturity investments include non-U.S. government-backed corporate fixed maturity investments. (2)Fund investments, which may include 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 presented in this table is provided 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, 2023 was $2.2 million of other assets and $2.7 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 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, 2024 | Fair Value (Level 3) | | Valuation Technique | | Unobservable Inputs | | | | | | Weighted Average or Actual | | | Other investments | | | | | | | | | | | | | | Direct private equity investments | $ | 51,034 | | | Internal valuation model | | Discount rate | | | | | | 10.0 | % | | | | | | | | | | | | | | | | | | | | | | Liquidity discount | | | | | | 15.0 | % | | | Term loans | 94,575 | | | Discounted cash flow | | Credit spread adjustment | | | | | | 0.2 | % | | | | | | | | Risk premium | | | | | | 2.6 | % | | | Total other investments | 145,609 | | | | | | | | | | | | | | Other assets and (liabilities) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Assumed and ceded (re)insurance contracts | (497) | | | Internal valuation model | | Net undiscounted cash flows | | | | | | $ | 12,612 | | | | | | | | Expected loss ratio | | | | | | 1.5 | % | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Discount rate | | | | | | 3.6 | % | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Total other assets and (liabilities) | (497) | | | | | | | | | | | | | | Total assets and (liabilities) measured at fair value on a recurring basis using Level 3 inputs | $ | 145,112 | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | At December 31, 2023 | Fair Value (Level 3) | | Valuation Technique | | Unobservable Inputs | | | | | | Weighted Average or Actual | | | Other investments | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Direct private equity investments | $ | 59,905 | | | Internal valuation model | | Discount rate | | | | | | 10.0 | % | | | | | | | | Liquidity discount | | | | | | 15.0 | % | | | Term loans | 97,658 | | | Discounted cash flow | | Credit spread adjustment | | | | | | 0.2 | % | | | | | | | | Risk premium | | | | | | 2.6 | % | | | Total other investments | 157,563 | | | | | | | | | | | | | | Other assets and (liabilities) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Assumed and ceded (re)insurance contracts | (515) | | | Internal valuation model | | Net undiscounted cash flows | | | | | | $ | 12,478 | | | | | | | | Expected loss ratio | | | | | | 2.3 | % | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Discount rate | | | | | | 3.8 | % | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Total other assets and (liabilities) | (515) | | | | | | | | | | | | | | Total assets and (liabilities) measured at fair value on a recurring basis using Level 3 inputs | $ | 157,048 | | | | | | | | | | | | | | | | | | | | | | | | | | |
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Schedule of Assets 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. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Other Investments | | | | | | | | | | Direct Private Equity Investments | | Term Loans | | Other Assets and (Liabilities) | | Total | | | Balance - July 1, 2024 | | | $ | 45,278 | | | $ | 96,639 | | | $ | (440) | | | $ | 141,477 | | | | | | | | | | | | | | | | Included in net investment income | | | 125 | | | — | | | — | | | 125 | | | | Included in net realized and unrealized gains (losses) on investments | | | 5,298 | | | — | | | — | | | 5,298 | | | | Included in other income (loss) | | | — | | | — | | | 151 | | | 151 | | | | Total foreign exchange gains (losses) | | | 26 | | | — | | | — | | | 26 | | | | Purchases | | | 577 | | | — | | | 3,499 | | | 4,076 | | | | Sales | | | (270) | | | — | | | (3,626) | | | (3,896) | | | | Settlements | | | — | | | (2,064) | | | (81) | | | (2,145) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Balance - September 30, 2024 | | | $ | 51,034 | | | $ | 94,575 | | | $ | (497) | | | $ | 145,112 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Other investments | | | | | | | | | | Direct Private Equity Investments | | Term Loans | | Other Assets and (Liabilities) | | Total | | | Balance - January 1, 2024 | | | $ | 59,905 | | | $ | 97,658 | | | $ | (515) | | | $ | 157,048 | | | | Included in net investment income | | | 188 | | | — | | | — | | | 188 | | | | Included in net realized and unrealized gains (losses) on investments | | | (9,389) | | | — | | | — | | | (9,389) | | | | Included in other income (loss) | | | — | | | — | | | 186 | | | 186 | | | | Total foreign exchange gains (losses) | | | 23 | | | — | | | — | | | 23 | | | | Purchases | | | 577 | | | — | | | 3,640 | | | 4,217 | | | | Sales | | | (270) | | | — | | | (3,626) | | | (3,896) | | | | Settlements | | | — | | | (3,083) | | | (182) | | | (3,265) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Balance - September 30, 2024 | | | $ | 51,034 | | | $ | 94,575 | | | $ | (497) | | | $ | 145,112 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Other Investments | | | | | | | | | | Direct Private Equity Investments | | Term Loans | | Other Assets and (Liabilities) | | Total | | | Balance - July 1, 2023 | | | $ | 71,155 | | | $ | 100,000 | | | $ | (475) | | | $ | 170,680 | | | | Included in net investment income | | | 63 | | | — | | | — | | | 63 | | | | Included in net realized and unrealized gains (losses) on investments | | | (3,686) | | | — | | | — | | | (3,686) | | | | Included in other income (loss) | | | — | | | — | | | (541) | | | (541) | | | | Total foreign exchange gains (losses) | | | (17) | | | — | | | — | | | (17) | | | | Purchases | | | — | | | — | | | 471 | | | 471 | | | | | | | | | | | | | | | | Settlements | | | — | | | (1,124) | | | — | | | (1,124) | | | | | | | | | | | | | | | | | | | | | | | | | | | | Balance - September 30, 2023 | | | $ | 67,515 | | | $ | 98,876 | | | $ | (545) | | | $ | 165,846 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Other investments | | | | | | | | | | Direct Private Equity Investments | | Term Loans | | Other Assets and (Liabilities) | | Total | | | Balance - January 1, 2023 | | | $ | 66,780 | | | $ | 100,000 | | | $ | (1,832) | | | $ | 164,948 | | | | Included in net investment income | | | 187 | | | — | | | — | | | 187 | | | | Included in net realized and unrealized gains (losses) on investments | | | 571 | | | — | | | — | | | 571 | | | | Included in other income (loss) | | | — | | | — | | | (550) | | | (550) | | | | Total foreign exchange losses | | | (23) | | | — | | | — | | | (23) | | | | Purchases | | | — | | | — | | | 1,837 | | | 1,837 | | | | | | | | | | | | | | | | Settlements | | | — | | | (1,124) | | | — | | | (1,124) | | | | | | | | | | | | | | | | | | | | | | | | | | | | Balance - September 30, 2023 | | | $ | 67,515 | | | $ | 98,876 | | | $ | (545) | | | $ | 165,846 | | | | | | | | | | | | | | |
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Schedule of 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. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Other Investments | | | | | | | | | | Direct Private Equity Investments | | Term Loans | | Other Assets and (Liabilities) | | Total | | | Balance - July 1, 2024 | | | $ | 45,278 | | | $ | 96,639 | | | $ | (440) | | | $ | 141,477 | | | | | | | | | | | | | | | | Included in net investment income | | | 125 | | | — | | | — | | | 125 | | | | Included in net realized and unrealized gains (losses) on investments | | | 5,298 | | | — | | | — | | | 5,298 | | | | Included in other income (loss) | | | — | | | — | | | 151 | | | 151 | | | | Total foreign exchange gains (losses) | | | 26 | | | — | | | — | | | 26 | | | | Purchases | | | 577 | | | — | | | 3,499 | | | 4,076 | | | | Sales | | | (270) | | | — | | | (3,626) | | | (3,896) | | | | Settlements | | | — | | | (2,064) | | | (81) | | | (2,145) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Balance - September 30, 2024 | | | $ | 51,034 | | | $ | 94,575 | | | $ | (497) | | | $ | 145,112 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Other investments | | | | | | | | | | Direct Private Equity Investments | | Term Loans | | Other Assets and (Liabilities) | | Total | | | Balance - January 1, 2024 | | | $ | 59,905 | | | $ | 97,658 | | | $ | (515) | | | $ | 157,048 | | | | Included in net investment income | | | 188 | | | — | | | — | | | 188 | | | | Included in net realized and unrealized gains (losses) on investments | | | (9,389) | | | — | | | — | | | (9,389) | | | | Included in other income (loss) | | | — | | | — | | | 186 | | | 186 | | | | Total foreign exchange gains (losses) | | | 23 | | | — | | | — | | | 23 | | | | Purchases | | | 577 | | | — | | | 3,640 | | | 4,217 | | | | Sales | | | (270) | | | — | | | (3,626) | | | (3,896) | | | | Settlements | | | — | | | (3,083) | | | (182) | | | (3,265) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Balance - September 30, 2024 | | | $ | 51,034 | | | $ | 94,575 | | | $ | (497) | | | $ | 145,112 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Other Investments | | | | | | | | | | Direct Private Equity Investments | | Term Loans | | Other Assets and (Liabilities) | | Total | | | Balance - July 1, 2023 | | | $ | 71,155 | | | $ | 100,000 | | | $ | (475) | | | $ | 170,680 | | | | Included in net investment income | | | 63 | | | — | | | — | | | 63 | | | | Included in net realized and unrealized gains (losses) on investments | | | (3,686) | | | — | | | — | | | (3,686) | | | | Included in other income (loss) | | | — | | | — | | | (541) | | | (541) | | | | Total foreign exchange gains (losses) | | | (17) | | | — | | | — | | | (17) | | | | Purchases | | | — | | | — | | | 471 | | | 471 | | | | | | | | | | | | | | | | Settlements | | | — | | | (1,124) | | | — | | | (1,124) | | | | | | | | | | | | | | | | | | | | | | | | | | | | Balance - September 30, 2023 | | | $ | 67,515 | | | $ | 98,876 | | | $ | (545) | | | $ | 165,846 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Other investments | | | | | | | | | | Direct Private Equity Investments | | Term Loans | | Other Assets and (Liabilities) | | Total | | | Balance - January 1, 2023 | | | $ | 66,780 | | | $ | 100,000 | | | $ | (1,832) | | | $ | 164,948 | | | | Included in net investment income | | | 187 | | | — | | | — | | | 187 | | | | Included in net realized and unrealized gains (losses) on investments | | | 571 | | | — | | | — | | | 571 | | | | Included in other income (loss) | | | — | | | — | | | (550) | | | (550) | | | | Total foreign exchange losses | | | (23) | | | — | | | — | | | (23) | | | | Purchases | | | — | | | — | | | 1,837 | | | 1,837 | | | | | | | | | | | | | | | | Settlements | | | — | | | (1,124) | | | — | | | (1,124) | | | | | | | | | | | | | | | | | | | | | | | | | | | | Balance - September 30, 2023 | | | $ | 67,515 | | | $ | 98,876 | | | $ | (545) | | | $ | 165,846 | | | | | | | | | | | | | | |
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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, 2024 | | December 31, 2023 | | | Other investments | $ | 4,172,451 | | | $ | 3,515,566 | | | | Other assets | $ | 2,960 | | | $ | 2,227 | | | | Other liabilities | $ | 3,457 | | | $ | 2,742 | | | | | | | | |
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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, 2024 | Fair Value | | Unfunded Commitments | | Redemption Frequency | | Redemption Notice Period (Minimum Days) | | Redemption Notice Period (Maximum Days) | | | Private credit funds | $ | 1,107,258 | | | $ | 1,104,342 | | | See below | | See below | | See below | | | Private equity funds | 541,995 | | | 727,696 | | | See below | | See below | | See below | | | | | | | | | | | | | | | Hedge funds | 333,509 | | | — | | | See below | | See below | | See below | | | | | | | | | | | | | | | Total other investments measured using net asset valuations | $ | 1,982,762 | | | $ | 1,832,038 | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | At December 31, 2023 | Fair Value | | Unfunded Commitments | | Redemption Frequency | | Redemption Notice Period (Minimum Days) | | Redemption Notice Period (Maximum Days) | | | Private credit funds | $ | 982,016 | | | $ | 949,135 | | | See below | | See below | | See below | | | Private equity funds | 433,788 | | | 673,778 | | | See below | | See below | | See below | | | | | | | | | | | | | | | Total other investments measured using net asset valuations | $ | 1,415,804 | | | $ | 1,622,913 | | | | | | | | | | | | | | | | | | | | |
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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, 2024 | Carrying amount | | Unfunded Commitments | | Total | | Other investments | $ | 1,843,323 | | | $ | 1,745,757 | | | $ | 3,589,080 | | | | | | | | | | At December 31, 2023 | | | | | | | Other investments | $ | 1,251,799 | | | $ | 1,550,452 | | | $ | 2,802,251 | | | | | | | | |
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