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FAIR VALUE MEASUREMENTS (Tables)

9 Months Ended

Sep. 30, 2024

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.

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

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

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

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

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

Private equity funds

541,995

727,696

See below

Hedge funds

333,509

—

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

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

- Definition

Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets) and gains or losses recognized in other comprehensive income (loss), and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs), by class of asset.

+ References + Details

- Definition

Tabular disclosure of the significant judgments and assumptions made in determining whether a variable interest (as defined) held by the entity requires the variable interest entity (VIE) (as defined) to be consolidated and (or) disclose information about its involvement with the VIE, individually or in aggregate (as applicable); the nature of restrictions, if any, on the consolidated VIE's assets and on the settlement of its liabilities reported by an entity in its statement of financial position, including the carrying amounts of such assets and liabilities; the nature of, and changes in, the risks associated with involvement in the VIE; how involvement with the VIE affects the entity's financial position, financial performance, and cash flows; the lack of recourse if creditors (or beneficial interest holders) of the consolidated VIE have no recourse to the general credit of the primary beneficiary (if applicable); the terms of arrangements, giving consideration to both explicit arrangements and implicit variable interests, if any, that could require the entity to provide financial support to the VIE, including events or circumstances that could expose the entity to a loss; the methodology used by the entity for determining whether or not it is the primary beneficiary of the variable interest entity; the significant factors considered and judgments made in determining that the power to direct the activities of a VIE that most significantly impact the VIE's economic performance are shared (as defined); the carrying amounts and classification of assets and liabilities of the VIE included in the statement of financial position; the entity's maximum exposure to loss, if any, as a result of its involvement with the VIE, including how the maximum exposure is determined and significant sources of the entity's exposure to the VIE; a comparison of the carrying amounts of the assets and liabilities and the entity's maximum exposure to loss; information about any liquidity arrangements, guarantees, and (or) other commitments by third parties that may affect the fair value or risk of the entity's variable interest in the VIE; whether or not the entity has provided financial support or other support (explicitly or implicitly) to the VIE that it was not previously contractually required to provide or whether the entity intends to provide that support, including the type and amount of the support and the primary reasons for providing the support; and supplemental information the entity determines necessary to provide.

+ References + Details