v3.25.1
Fair Value Measurements
 3 Months Ended
Mar. 31, 2025
Fair Value Disclosures [Abstract]  
FAIR VALUE MEASUREMENTS 10. FAIR VALUE MEASUREMENTS
Fair Value Hierarchy
Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability (i.e. the "exit price") in an orderly transaction between market participants. We use a fair value hierarchy that gives the highest priority to quoted prices in active markets and the lowest priority to unobservable data. The hierarchy is broken down into three levels as follows:
•Level 1 - Valuations based on unadjusted quoted prices in active markets that we have the ability to access for identical assets or liabilities. Valuation adjustments and block discounts are not applied to Level 1 instruments.
•Level 2 - Valuations based on quoted prices in active markets for similar assets or liabilities, quoted prices for identical assets or liabilities in inactive markets, or significant inputs that are observable (e.g. interest rates, yield curves, prepayment speeds, default rates, loss severities, etc.) or can be corroborated by observable market data.
•Level 3 - Valuations based on unobservable inputs where there is little or no market activity. Unadjusted third party pricing sources or management's assumptions and internal valuation models may be used to determine the fair values.
In addition, certain of our other investments are measured at fair value using net asset value ("NAV") per share (or its equivalent) as a practical expedient and have not been classified within the fair value hierarchy as defined above.
There have been no material changes in our valuation techniques during the period represented by these unaudited condensed consolidated financial statements.
We have categorized our assets and liabilities that are recorded at fair value on a recurring and nonrecurring basis among levels based on the observability of inputs, or at fair value using NAV per share (or its equivalent) as follows:
 March 31, 2025
Quoted Prices in
Active Markets for
Identical Assets
(Level 1)		Significant
Other Observable
Inputs
(Level 2)		Significant
Unobservable
Inputs
(Level 3)		Measured Using NAV as Practical ExpedientTotal Fair
Value
(in millions of U.S. dollars)
Investments:
Short-term and fixed maturity investments:
U.S. government and agency$— $579 $— $— $579 
U.K. government— 53 — — 53 
Other government— 364 — — 364 
Corporate— 3,414 13 — 3,427 
Municipal— 105 — — 105 
Residential mortgage-backed— 444 — — 444 
Commercial mortgage-backed— 742 — — 742 
Asset-backed— 759 30 — 789 
$— $6,460 $43 $— $6,503 
Funds held (1)
$70 $2,209 $4 $74 $2,357 
Equities:
Privately held equity investments$— $— $384 $71 $455 
Publicly traded equity investments143 9 1 — 153 
Exchange-traded funds135 — — — 135 
Warrant and others— — 16 — 16 
$278 $9 $401 $71 $759 
Other investments:
Private equity funds$— $— $— $1,949 $1,949 
Private credit funds— 386 — 529 915 
Hedge funds— — — 386 386 
Fixed income funds— 5 — 370 375 
Real estate fund— — — 427 427 
CLO equity funds— — — 124 124 
CLO equities— 25 — — 25 
Equity funds— 5 — — 5 
$— $421 $— $3,785 $4,206 
Total Investments, excluding funds held by reinsured companies and equity method investments$348 $9,099 $448 $3,930 $13,825 
Reinsurance balances recoverable on paid and unpaid losses:$— $— $194 $— $194 
Other Assets:
Derivatives qualifying as hedging$— $1 $— $— $1 
Derivatives not qualifying as hedging— 11 — — 11 
Derivative instruments $— $12 $— $— $12 
Losses and LAE:$— $— $996 $— $996 
Other Liabilities:
Derivatives qualifying as hedging$— $5 $— $— $5 
Derivatives not qualifying as hedging— 3 — — 3 
Derivative instruments $— $8 $— $— $8 
(1) The difference in the amount of funds held shown at fair value and the funds held shown in our unaudited condensed consolidated balance sheet relates to the $2.3 billion of funds held by reinsured companies carried at amortized cost as of March 31, 2025.
 December 31, 2024
 Quoted Prices in
Active Markets for
Identical Assets
(Level 1)		Significant
Other Observable
Inputs
(Level 2)		Significant
Unobservable
Inputs
(Level 3)		Measured Using NAV as Practical ExpedientTotal Fair
Value
(in millions of U.S. dollars)
Investments:
Short-term and fixed maturity investments:
U.S. government and agency$— $420 $— $— $420 
U.K government— 44 — — 44 
Other government— 359 — — 359 
Corporate— 3,244 17 — 3,261 
Municipal— 109 — — 109 
Residential mortgage-backed— 421 — — 421 
Commercial mortgage-backed— 784 — — 784 
Asset-backed— 742 30 — 772 
— 6,123 47 — 6,170 
Funds held (1)
$70 $2,305 $5 $71 $2,451 
Equities:
Privately held equity investments$— $— $389 $71 $460 
Publicly traded equity investments166 9 1 — 176 
Exchange-traded funds151 — — — 151 
Warrant and others— — 16 — 16 
$317 $9 $406 $71 $803 
Other investments:
Private equity funds$— $— $— $1,926 $1,926 
Private credit funds— 363 — 501 864 
Hedge funds— — — 410 410 
Real estate funds— — — 401 401 
Fixed income funds— 5 — 364 369 
CLO equity funds— — — 162 162 
CLO equities— 52 — — 52 
Equity funds— 4 — — 4 
$— $424 $— $3,764 $4,188 
Total Investments, excluding funds held by reinsured companies and equity method investments$387 $8,861 $458 $3,906 $13,612 
Reinsurance balances recoverable on paid and unpaid losses:$— $— $179 $— $179 
Other Assets:
Derivatives qualifying as hedging$— $2 $— $— $2 
Derivatives not qualifying as hedging— 3 — — 3 
Derivative instruments $— $5 $— $— $5 
Losses and LAE:$— $— $997 $— $997 
Other Liabilities:
Derivatives not qualifying as hedging$— $7 $— $— $7 
(1) The difference in the amount of funds held shown at fair value and the funds held shown in our consolidated balance sheet relates to the $2.5 billion of funds held by reinsured companies carried at amortized cost as of December 31, 2024.
Level 3 Measurements and Changes in Leveling
Transfers into or out of levels are recorded at their fair values as of the end of the reporting period, consistent with the date of determination of fair value.
Investments
The following table presents a reconciliation of the beginning and ending balances for all investments measured at fair value on a recurring basis using Level 3 inputs:
Three Months Ended
March 31, 2025
Fixed maturity investmentsEquitiesTotal
CorporateAsset-backedPrivately-held EquitiesPublic EquitiesWarrants and Other
(in millions of U.S. dollars)
Beginning fair value$17 $30 $389 $1 $16 $453 
Sales and paydowns(5)— — — — (5)
Total fair value changes in trading securities, funds held and other investments (1)
1 — (5)— — (4)
Ending fair value$13 $30 $384 $1 $16 $444 
Three Months Ended
March 31, 2024
Fixed maturity investmentsEquitiesTotal
CorporateAsset-backedPrivately-held EquitiesPublic Equities
(in millions of U.S. dollars)
Beginning fair value$12 $11 $299 $1 $323 
Total fair value changes in trading securities, funds held and other investments (1)
— — (2)— (2)
Transfer into Level 3 from Level 25 15 — — 20 
Ending fair value$17 $26 $297 $1 $341 
(1) Fair value changes in trading securities, funds held and other investments included in our consolidated statements of operations is equal to the change in fair value changes in trading securities, funds held and other investments relating to assets held at the end of the reporting period.
Fair value changes in trading securities, funds held and other investments related to Level 3 assets in the tables above are included in fair value changes in trading securities, funds held and other investments in our consolidated statements of operations.
Transfers into Level 3 are primarily attributable to the lack of observable market transactions and price information and the use of unobservable inputs within valuation methodologies.
Valuation Techniques and Inputs
The table below presents the quantitative information related to the fair value measurements for our fixed maturity and equity investments measured at fair value on a recurring and non-recurring basis using Level 3 inputs:

Qualitative Information about Level 3 Fair Value Measurements
Valuation Techniques
Fair Value as of March 31, 2025
Unobservable Input
Range (Average) (1)
(in millions of U.S. dollars)
Recurring basis:
Fixed maturities
Corporate
Discounted cash flow$13 YTM; implied total yield
6.04% - 9.65%
Asset-backed
Discounted cash flow30YTM
6.32% - 9.41%
Total fixed maturities$43 
Equity investments
Privately held equity investments
Guideline company methodology;
Option pricing model		$220 P/BV multiple
P/BV (excluding AOCI) multiple
Expected term
1.3x - 1.8x
1.3x -1.7x
1-3 years

Guideline companies method		67 P/BV multiple
Price/2025 earnings
1.6x - 1.7x
8x - 9.5x
Guideline companies method36 LTM Enterprise Value/ EBITDA multiples
14.5x - 15.9x
Earnings4 Multiple on earnings
5x
Dividend discount model56 Discount rate
7.4%
383 
Publicly traded equity investments
Discounted cash flow1 Implied total yield
8.50%
Warrants and Other
Black-Scholes model16 Expected term in years
9.5 years
Total recurring equity Investments$400 
Non-recurring basis:
Privately held equity investments
Cost as approximation of fair value$1 Cost as approximation of fair value
Total Recurring and Non-recurring equity investments$401 
(1) The average represents the arithmetic average of the inputs and is not weighted by the relative fair value.
Funds Held by Reinsured Companies - Embedded Derivative
As described in Note 5, we have an embedded derivative in relation to the Aspen LPT transaction to account for the fair value of the full crediting rate we expect to earn on the funds withheld received as consideration.
The following table presents a reconciliation of the beginning and ending balances for the embedded derivative measured at fair value on a recurring basis using Level 3 inputs:
Three Months Ended March 31,
20252024
(in millions of U.S. dollars)
Beginning fair value$5 $40 
Total fair value changes(1)(18)
Ending fair value$4 $22 
Fair value changes in trading securities, funds held and other investments in the table above are included in fair value changes in trading securities, funds held and other investments in our unaudited condensed consolidated statements of operations.
Valuations Techniques and Inputs
The table below presents the qualitative information related to the fair value measurements for the embedded derivative on our funds held by reinsured companies measured at fair value on a recurring basis using Level 3 inputs:
Qualitative Information about Level 3 Fair Value Measurements
Valuation TechniquesFair Value as of March 31, 2025Unobservable InputAverage
(in millions of U.S. dollars)
Monte Carlo simulation model;
Discounted cash flow analysis		$4 Volatility rate; Expected Loss Payments
3.46%
$210 million
Three Months Ended March 31,
20252024
Liability for losses and LAEReinsurance balances recoverableNetLiability for losses and LAEReinsurance balances recoverableNet
(in millions of U.S. dollars)
Beginning fair value$997 $183 $814 $1,163 $217 $946 
Incurred losses and LAE:
(Reduction) increase in estimates of ultimate losses(2)1 (3)(6)(9)3 
Reduction in unallocated LAE(1)— (1)(2)— (2)
Change in fair value due to changes in :
Average payout9 1 8 10 2 8 
Corporate bond yield(3)— (3)(16)(3)(13)
Risk cost of capital— — — 1 — 1 
Total change in fair value6 1 5 (5)(1)(4)
Total incurred losses and LAE3 2 1 (13)(10)(3)
Paid losses(26)6 (32)(39)(6)(33)
Effect of exchange rate movements22 3 19 (13)6 (19)
Ending fair value$996 $194 $802 $1,098 $207 $891 
Below is a summary of the quantitative information regarding the significant observable and unobservable inputs used in the internal model to determine fair value on a recurring basis:
Valuation TechniqueMarch 31, 2025December 31, 2024
Unobservable (U) and Observable (O) InputsWeighted Average
Internal modelCorporate bond yield (O)A RatedA Rated
Internal modelCredit spread for Instrument-specific credit risk (U)0.40%0.40%
Internal modelRisk cost of capital (U)6.15%6.15%
Internal modelWeighted average cost of capital (U)9.25%9.25%
Internal modelAverage payout - liability (U)8.01 years8.10 years
Internal modelAverage payout - reinsurance balances recoverable on paid and unpaid losses (U)8.04 years8.39 years
The fair value of the liability for losses and LAE and reinsurance balances recoverable on paid and unpaid losses may increase or decrease due to changes in the corporate bond rate, the credit spread for non-performance risk, the risk cost of capital, the weighted average cost of capital and the estimated payment pattern.
In addition, the estimate of the capital required to support the liabilities is based upon current industry standards for capital adequacy.
Changes in the fair value due to changes in average payout and corporate bond yields are included in net incurred losses and loss adjustment expenses in our unaudited condensed consolidated statements of operations. Changes in the fair value due to changes in credit spread for Instrument-specific credit risk are classified to other comprehensive income.
Disclosure of Fair Values for Financial Instruments Carried at Cost
Senior and Junior Subordinated Notes
The following table presents the fair values of our Senior and Junior Subordinated Notes carried at amortized cost:
March 31, 2025
Amortized CostFair Value
(in millions of U.S. dollars)
4.95% Senior Notes due 2029
$497 $498 
3.10% Senior Notes due 2031
496 432 
Total Senior Notes$993 $930 
5.75% Junior Subordinated Notes due 2040
$116 $117 
5.50% Junior Subordinated Notes due 2042
494 487 
7.50% Junior Subordinated Notes due 2045
345 355 
Total Junior Subordinated Notes$955 $959 
Total debt$1,948 $1,889 
The fair value of our Senior Notes and our Junior Subordinated Notes was based on observable market pricing from a third-party pricing service.
Both the Senior Notes and Junior Subordinated Notes are classified as Level 2.
Insurance Contracts
Disclosure of fair value of amounts relating to insurance contracts is not required, except those for which we elected the fair value option, as described above.
Remaining Financial Assets and Liabilities
Our remaining financial assets and liabilities were generally carried at cost or amortized cost, which due to their short-term nature approximates fair value as of March 31, 2025 and December 31, 2024.