Fair value (Tables)
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6 Months Ended |
Jun. 30, 2025 |
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| Fair Value Disclosures [Abstract] |
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| Summary of Significant Inputs used for Fair Value Measurement of Fixed Maturity Securities |
The following table presents a summary of the significant inputs used by our pricing services for certain fair value measurements of fixed maturity securities that are classified as Level 2 as of June 30, 2025: | | | | | | | | | | | | | | | | | | (Amounts in thousands) | Fair value | | Primary methodologies | | Significant inputs | | U.S. government, agencies and GSEs | $ | 264,981 | | | Price quotes from trading desk, broker feeds | | Bid side prices, trade prices, Option Adjusted Spread (“OAS”) to swap curve, Bond Market Association OAS, Treasury Curve, Agency Bullet Curve, maturity to issuer spread | | State and political subdivisions | $ | 479,355 | | | Multi-dimensional attribute-based modeling systems, third-party pricing vendors | | Trade prices, material event notices, Municipal Market Data benchmark yields, broker quotes | | Non-U.S. government | $ | 154,536 | | | Matrix pricing, spread priced to benchmark curves, price quotes from market makers | | Benchmark yields, trade prices, broker quotes, comparative transactions, issuer spreads, bid-offer spread, market research publications, third-party pricing sources | | U.S. corporate | $ | 2,427,112 | | | Multi-dimensional attribute-based modeling systems, broker quotes, price quotes from market makers, internal models, OAS-based models | | Bid side prices to Treasury Curve, Issuer Curve, which includes sector, quality, duration, OAS percentage and change for spread matrix, trade prices, comparative transactions, Trade Reporting and Compliance Engine (“TRACE”) reports | | Non-U.S. corporate | $ | 659,665 | | | Multi-dimensional attribute-based modeling systems, OAS-based models, price quotes from market makers | | Benchmark yields, trade prices, broker quotes, comparative transactions, issuer spreads, bid-offer spread, market research publications, third-party pricing sources | | Residential mortgage-backed | $ | 261,415 | | | OAS-based models, single factor binomial models, internally priced | | Prepayment and default assumptions, aggregation of bonds with similar characteristics, including collateral type, vintage, tranche type, weighted-average life, weighted-average loan age, issuer program and delinquency ratio, pay up and pay down factors, TRACE reports |
| | | | | | | | | | | | | | | | | | | Commercial mortgage-backed | $ | 48,809 | | | Multi-dimensional attribute-based modeling systems, pricing matrix, spread matrix priced to swap curves, Trepp commercial mortgage-backed securities analytics model | | Credit risk, interest rate risk, prepayment speeds, new issue data, collateral performance, origination year, tranche type, original credit ratings, weighted-average life, cash flows, spreads derived from broker quotes, bid side prices, spreads to daily updated swaps curves, TRACE reports | | Other asset-backed | $ | 1,049,773 | | | Multi-dimensional attribute-based modeling systems, spread matrix priced to swap curves, price quotes from market makers | | Spreads to daily updated swap curves, spreads derived from trade prices and broker quotes, bid side prices, new issue data, collateral performance, analysis of prepayment speeds, cash flows, collateral loss analytics, historical issue analysis, trade data from market makers, TRACE reports |
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| Schedule of Fair Value Assets Measured on Recurring Basis |
The following tables set forth our assets by class of instrument that are measured at fair value on a recurring basis as of the dates indicated: | | | | | | | | | | | | | | | | | | | | | | | | | | June 30, 2025 | (Amounts in thousands) | Total | | Level 1 | | Level 2 | | Level 3 | | Fixed maturity securities: | | | | | | | | | U.S. government, agencies and GSEs | $ | 264,981 | | | $ | — | | | $ | 264,981 | | | $ | — | | | State and political subdivisions | 479,355 | | | — | | | 479,355 | | | — | | | Non-U.S. government | 154,536 | | | — | | | 154,536 | | | — | | | U.S. corporate | 2,851,475 | | | — | | | 2,644,758 | | | 206,717 | | | Non-U.S. corporate | 783,184 | | | — | | | 737,081 | | | 46,103 | | | Residential mortgage-backed | 261,415 | | | — | | | 261,415 | | | — | | | Commercial mortgage-backed | 48,809 | | | — | | | 48,809 | | | — | | | Other asset-backed | 1,053,063 | | | — | | | 1,049,773 | | | 3,290 | | | Total fixed maturity securities | 5,896,818 | | | — | | | 5,640,708 | | | 256,110 | | | Short-term investments | 3,001 | | | — | | | 3,001 | | | — | | | Total | $ | 5,899,819 | | | $ | — | | | $ | 5,643,709 | | | $ | 256,110 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | December 31, 2024 | (Amounts in thousands) | Total | | Level 1 | | Level 2 | | Level 3 | | Fixed maturity securities: | | | | | | | | | U.S. government, agencies and GSEs | $ | 277,363 | | | $ | — | | | $ | 277,363 | | | $ | — | | | State and political subdivisions | 467,476 | | | — | | | 467,476 | | | — | | | Non-U.S. government | 83,802 | | | — | | | 83,802 | | | — | | | U.S. corporate | 2,825,679 | | | — | | | 2,602,893 | | | 222,786 | | | Non-U.S. corporate | 772,624 | | | — | | | 716,071 | | | 56,553 | | | Residential mortgage-backed | 8,364 | | | — | | | 8,364 | | | — | | | Other asset-backed | 1,189,465 | | | — | | | 1,187,263 | | | 2,202 | | | Total fixed maturity securities | 5,624,773 | | | — | | | 5,343,232 | | | 281,541 | | | Short-term investments | 3,367 | | | — | | | 3,367 | | | — | | | Total | $ | 5,628,140 | | | $ | — | | | $ | 5,346,599 | | | $ | 281,541 | |
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| Schedule of Fair Value Assets Measured on Recurring Basis, Unobservable Input Reconciliation |
The following tables present additional information about assets measured at fair value on a recurring basis and for which we have utilized significant unobservable (Level 3) inputs to determine fair value as of or for the dates indicated: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Beginning balance as of April 1, 2025 | | Total realized and unrealized gains (losses) | | Purchases | | Sales | | | | Settlements | | Transfer into Level 3 (1) | | Transfer out of Level 3 (1) | | Ending balance as of June 30, 2025 | | Total gains (losses) attributable to assets still held | (Amounts in thousands) | | Included in net income | | Included in OCI | | | | | | | | | Included in net income | | Included in OCI | | Fixed maturity securities: | | | | | | | | | | | | | | | | | | | | | | | | | U.S. corporate | $ | 225,970 | | | $ | 245 | | | $ | 3,081 | | | $ | — | | | $ | — | | | | | $ | (4,000) | | | $ | — | | | $ | (18,579) | | | $ | 206,717 | | | $ | 245 | | | $ | 2,758 | | | Non-U.S. corporate | 50,474 | | | (1,259) | | | 724 | | | 90 | | | (17) | | | | | (106) | | | — | | | (3,803) | | | 46,103 | | | (1,255) | | | 672 | | | Other asset-backed | 3,260 | | | 9 | | | 23 | | | — | | | — | | | | | (2) | | | — | | | — | | | 3,290 | | | 9 | | | 22 | | | Total | $ | 279,704 | | | $ | (1,005) | | | $ | 3,828 | | | $ | 90 | | | $ | (17) | | | | | $ | (4,108) | | | $ | — | | | $ | (22,382) | | | $ | 256,110 | | | $ | (1,001) | | | $ | 3,452 | | | | | | | | | | | | | | | | | | | | | | | | | | | Beginning balance as of April 1, 2024 | | Total realized and unrealized gains (losses) | | Purchases | | Sales | | | | Settlements | | Transfer into Level 3 (1) | | Transfer out of Level 3 (1) | | Ending balance as of June 30, 2024 | | Total gains (losses) attributable to assets still held | (Amounts in thousands) | | Included in net income | | Included in OCI | | | | | | | | | Included in net income | | Included in OCI | | Fixed maturity securities: | | | | | | | | | | | | | | | | | | | | | | | | | U.S. corporate | $ | 249,599 | | | $ | (352) | | | $ | (60) | | | $ | — | | | $ | (1,739) | | | | | $ | (10,000) | | | $ | — | | | $ | — | | | $ | 237,448 | | | $ | (8) | | | $ | (294) | | | Non-U.S. corporate | 80,554 | | | 9 | | | (1,395) | | | 6,000 | | | (9) | | | | | (3,106) | | | — | | | — | | | 82,053 | | | 10 | | | (1,404) | | | Other asset-backed | 4,791 | | | 9 | | | (29) | | | 12,999 | | | — | | | | | (271) | | | — | | | (3,592) | | | 13,907 | | | 9 | | | (12) | | | Total | $ | 334,944 | | | $ | (334) | | | $ | (1,484) | | | $ | 18,999 | | | $ | (1,748) | | | | | $ | (13,377) | | | $ | — | | | $ | (3,592) | | | $ | 333,408 | | | $ | 11 | | | $ | (1,710) | |
______________(1)The transfers into and out of Level 3 for fixed maturity securities were related to changes in the primary pricing source and changes in the observability of external information used in determining the fair value, such as external ratings or credit spreads. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Beginning balance as of January 1, 2025 | | Total realized and unrealized gains (losses) | | Purchases | | Sales | | | | Settlements | | Transfer into Level 3 (1) | | Transfer out of Level 3 (1) | | Ending balance as of June 30, 2025 | | Total gains (losses) attributable to assets still held | (Amounts in thousands) | | Included in net income | | Included in OCI | | | | | | | | | Included in net income | | Included in OCI | | Fixed maturity securities: | | | | | | | | | | | | | | | | | | | | | | | | | U.S. corporate | $ | 222,786 | | | $ | 484 | | | $ | 6,248 | | | $ | — | | | $ | — | | | | | $ | (4,222) | | | $ | — | | | $ | (18,579) | | | $ | 206,717 | | | $ | 484 | | | $ | 5,925 | | | Non-U.S. corporate | 56,553 | | | (1,265) | | | 956 | | | 1,890 | | | (17) | | | | | (8,211) | | | — | | | (3,803) | | | 46,103 | | | (1,261) | | | 895 | | | Other asset-backed | 2,202 | | | 18 | | | (13) | | | 986 | | | — | | | | | (3) | | | 100 | | | — | | | 3,290 | | | 18 | | | (13) | | | Total | $ | 281,541 | | | $ | (763) | | | $ | 7,191 | | | $ | 2,876 | | | $ | (17) | | | | | $ | (12,436) | | | $ | 100 | | | $ | (22,382) | | | $ | 256,110 | | | $ | (759) | | | $ | 6,807 | | | | | | | | | | | | | | | | | | | | | | | | | | | (Amounts in thousands) | Beginning balance as of January 1, 2024 | | Total realized and
unrealized gains
(losses) | | Purchases | | Sales | | | | Settlements | | Transfer into Level 3 (1) | | Transfer out of Level 3 (1) | | Ending balance as of June 30, 2024 | | Total gains
(losses)
attributable to
assets still held | | Included
in net
income | | Included
in OCI | | | | | | | | | Included in net income | | Included in OCI | | Fixed maturity securities: | | | | | | | | | | | | | | | | | | | | | | | | | U.S. corporate | $ | 247,205 | | | $ | (359) | | | $ | (1,952) | | | $ | — | | | $ | (1,739) | | | | | $ | (10,358) | | | $ | 4,651 | | | $ | — | | | $ | 237,448 | | | $ | (15) | | | $ | (2,186) | | | Non-U.S. corporate | 81,321 | | | 16 | | | (2,064) | | | 6,000 | | | (9) | | | | | (3,211) | | | — | | | — | | | 82,053 | | | 17 | | | (2,073) | | | Other asset-backed | 2,958 | | | 17 | | | 9 | | | 16,934 | | | — | | | | | (331) | | | — | | | (5,680) | | | 13,907 | | | 17 | | | 1 | | | Total | $ | 331,484 | | | $ | (326) | | | $ | (4,007) | | | $ | 22,934 | | | $ | (1,748) | | | | | $ | (13,900) | | | $ | 4,651 | | | $ | (5,680) | | | $ | 333,408 | | | $ | 19 | | | $ | (4,258) | |
______________ (1)The transfers into and out of Level 3 for fixed maturity securities were related to changes in the primary pricing source and changes in the observability of external information used in determining the fair value, such as external ratings or credit spreads. The following table presents a summary of the significant unobservable inputs used for certain asset fair value measurements that are based on internal models and classified as Level 3 as of June 30, 2025: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | (Amounts in thousands) | Valuation technique | | Fair value (1) | | Unobservable input | | Range (bps) | | Weighted- average (2) (bps) | | Fixed maturity securities: | | | | | | | | | | | U.S. corporate | Internal models | | $ | 206,717 | | | Credit spreads | | 14 - 156 | | 94 | | Non-U.S. corporate | Internal models | | $ | 35,164 | | | Credit spreads | | 82 - 126 | | 103 |
______________(1)Certain classes of instruments classified as Level 3 may be excluded as a result of not being material or due to limitations in being able to obtain the underlying inputs used by certain third-party sources, such as broker quotes, used as an input in determining fair value. (2)Unobservable inputs weighted by the relative fair value of the associated instrument.
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| Schedule of Estimated Fair Value Liabilities |
The following represents our estimated fair value of financial liabilities that are not required to be carried at fair value, classified as Level 2, as of the dates indicated: | | | | | | | | | | | | | | | | | | | | | | | | | June 30, 2025 | | December 31, 2024 | (Amounts in thousands) | Carrying amount | | Fair value | | Carrying amount | | Fair value | | Long-term borrowings | $ | 743,753 | | | $ | 778,523 | | | $ | 743,050 | | | $ | 764,070 | |
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