v3.26.1
FAIR VALUE MEASUREMENTS
 6 Months Ended
Jun. 30, 2026
Fair Value Disclosures [Abstract]  
FAIR VALUE MEASUREMENTS FAIR VALUE MEASUREMENTS
The use of fair value to measure certain assets and liabilities with resulting unrealized gains or losses is pervasive within the Company’s consolidated financial statements. Fair value is defined as the price that would be received upon the sale of an asset or paid to transfer a liability in an orderly transaction between open market participants at the measurement date. The Company recognizes the change in unrealized gains or losses arising from changes in fair value in its consolidated statements of operations.
FASB ASC Topic 820, Fair Value Measurement prescribes a fair value hierarchy that prioritizes the inputs to the respective valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to valuation techniques that use at least one significant input that is unobservable (Level 3). The three levels of the fair value hierarchy are described below:
•Fair values determined by Level 1 inputs utilize unadjusted quoted prices obtained from active markets for identical assets or liabilities for which the Company has access at the measurement date. The fair value is determined by multiplying the quoted price by the quantity held by the Company;
•Fair values determined by Level 2 inputs utilize inputs (other than quoted prices included in Level 1) that are observable for the asset or liability, either directly or indirectly. Level 2 inputs include quoted prices for similar assets and liabilities in active markets, and inputs other than quoted prices that are observable for the asset or liability, such as interest rates and yield curves that are observable at commonly quoted intervals, broker quotes and certain pricing indices; and
•Level 3 inputs are based all or in part on significant unobservable inputs for the asset or liability, and include situations where there is little, if any, market activity for the asset or liability. In these cases, significant management assumptions can be used to establish management’s best estimate of the assumptions used by other market participants in determining the fair value of the asset or liability.
In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, the level in the fair value hierarchy within which the fair value measurement in its entirety falls has been determined based on the lowest level input that is significant to the fair value measurement of the asset or liability. The Company’s assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment, and the Company considers factors specific to the asset or liability.
In order to determine if a market is active or inactive for a security, the Company considers a number of factors, including, but not limited to, the spread between what a seller is asking for a security and what a buyer is bidding for the same security, the volume of trading activity for the security in question, the price of the security compared to its par value (for fixed maturity investments), and other factors that may be indicative of market activity.
There have been no material changes in the Company’s valuation techniques, nor have there been any transfers between Level 1 and Level 2, or Level 2 and Level 3 during the period represented by these consolidated financial statements.
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 June 30, 2026Total
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
Corporate$9,916,723 $— $9,697,026 $219,697 
U.S. treasuries9,308,212 9,308,212 — — 
Residential mortgage-backed2,690,648 — 2,690,648 — 
Asset-backed1,688,500 — 1,596,733 91,767 
Non-U.S. government683,983 — 683,983 — 
Agencies560,030 — 560,030 — 
Commercial mortgage-backed337,334 — 337,334 — 
Total fixed maturity investments trading25,185,430 9,308,212 15,565,754 311,464 
Short term investments3,949,012 8,815 3,940,197 — 
Equity investments
Fixed income exchange traded funds1,603,299 1,603,299 — — 
Equity exchange traded funds102,273 102,273 — — 
Common stock140,580 140,580 — — 
Total equity investments1,846,152 1,846,152 — — 
Other investments
Catastrophe bonds1,772,044 — 1,772,044 — 
Direct private equity investments154,876 — 131,251 23,625 
1,926,920 — 1,903,295 23,625 
Fund investments (1)
3,156,249 — — — 
Total other investments5,083,169 — 1,903,295 23,625 
Other assets and (liabilities)
Derivative assets (2)
31,284 19,808 11,476 — 
Derivative liabilities (2)
(34,267)(9,281)(24,986)— 
Total other assets and (liabilities)(2,983)10,527 (13,510)— 
 
$36,060,780 $11,173,706 $21,395,736 $335,089 
(1)Fund investments are measured at fair value using the NAV 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.
(2)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, 2025Total
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$10,641,503 $10,641,503 $— $— 
Corporate8,528,828 — 8,414,572 114,256 
Residential mortgage-backed2,606,882 — 2,606,882 — 
Asset-backed1,606,790 — 1,566,931 39,859 
Non-U.S. government691,912 — 691,912 — 
Agencies486,817 — 486,817 — 
Commercial mortgage-backed321,591 — 321,591 — 
Total fixed maturity investments trading24,884,323 10,641,503 14,088,705 154,115 
Short term investments4,759,811 959 4,758,852 — 
Equity investments
Fixed income exchange traded funds1,582,811 1,582,811 — — 
Common stock150,179 150,179 — — 
Total equity investments1,732,990 1,732,990 — — 
Other investments
Catastrophe bonds1,613,710 — 1,613,710 — 
Direct private equity investments185,005 — 157,010 27,995 
1,798,715 — 1,770,720 27,995 
Fund investments (1)
2,775,499 — — — 
Total other investments4,574,214 — 1,770,720 27,995 
Other assets and (liabilities)
Assumed and ceded (re)insurance contracts(34)— — (34)
Derivative assets (2)
18,347 7,400 10,947 — 
Derivative liabilities (2)
(41,200)(30,477)(10,723)— 
Total other assets and (liabilities)(22,887)(23,077)224 (34)
 $35,928,451 $12,352,375 $20,618,501 $182,076 
(1)Fund investments are measured at fair value using the NAV 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.
(2)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.
Assets and Liabilities Measured at Fair Value
Fixed Maturity Investments
The Company’s fixed maturity investments are primarily priced using pricing services, such as index providers and pricing vendors, as well as broker quotations. In general, the pricing vendors provide pricing for a high volume of liquid securities that are actively traded. For securities that do not trade on an exchange, the pricing services generally utilize market data and other observable inputs in matrix pricing models to determine month end prices. Observable inputs include benchmark yields, reported trades, broker-dealer quotes, issuer spreads, bids, offers, reference data and industry and economic events. Index pricing generally relies on market traders as the primary source for pricing; however, models are also utilized to provide prices for all index eligible securities. The models use a variety of observable inputs such as benchmark yields, transactional data, dealer runs, broker-dealer quotes and corporate actions. Prices are generally verified using third-party data. Securities which are priced by an index provider are generally included in the index.
In general, broker-dealers value securities through their trading desks based on observable inputs. The methodologies include mapping securities based on trade data, bids or offers, observed spreads, and performance on newly issued securities. Broker-dealers also determine valuations by observing secondary trading of similar securities. Prices obtained from broker quotations are considered non-binding; however, they are based on observable inputs and by observing secondary trading of similar securities obtained from active and non-distressed markets. The Company considers these broker quotations to be Level 2 inputs as they are corroborated with other market observable inputs.
The techniques generally used to determine the fair value of the Company’s fixed maturity investments are detailed below by asset class.
Corporate
Level 2 - The Company’s corporate fixed maturity investments principally consisted of U.S. and international corporations and non-U.S. government-backed corporations.
The Company’s corporate fixed maturity investments, other than non-U.S. government-backed corporations, are primarily priced by pricing services. When evaluating these securities, the pricing services gather information from market sources regarding the issuer of the security and obtain credit data, as well as other observations, from markets and sector news. Evaluations are updated by obtaining broker-dealer quotes and other market information, including actual trade volumes, when available. The pricing services also consider the specific terms and conditions of the securities, including any specific features which may influence risk. In certain instances, securities are individually evaluated using a spread which is added to the U.S. treasury curve or a security specific swap curve as appropriate.
Non-U.S. government-backed corporate fixed maturity investments are primarily priced by pricing services that employ proprietary discounted cash flow models to value the securities. Key quantitative inputs for these models are daily observed benchmark curves for treasury, swap and high-quality credits. The pricing services then apply a credit spread to the respective curve for each security which is developed by in-depth and real time market analysis. For securities in which trade volume is low, the pricing services utilize data from more frequently traded securities with similar attributes. These models may also be supplemented by daily market and credit research for international markets.
Level 3 - The Company’s corporate fixed maturity investments included certain investments whose fair value was obtained using significant unobservable inputs which were not developed by the Company. These investments were valued by the Company’s external investment managers without significant adjustment. The Company’s external investment managers have used independent third parties to determine the fair value of these securities. At December 31, 2025, these investments were valued at recent transaction price, due to a lack of observable pricing inputs. At June 30, 2026 and December 31, 2025, these securities had a weighted average credit quality of BBB.
U.S. Treasuries
Level 1 - The Company’s U.S. treasuries fixed maturity investments were primarily priced by pricing services. When pricing these securities, the pricing services utilize daily data from many real time market sources, including active broker-dealers. Certain data sources are regularly reviewed for accuracy to attempt to ensure the most reliable price source is used for each issue and maturity date.
Residential Mortgage-backed
Level 2 - The Company’s residential mortgage-backed fixed maturity investments include both agency and non-agency mortgage-backed securities. The Company’s agency mortgage-backed fixed maturity investments are primarily priced by pricing services using a mortgage pool specific model which utilizes daily inputs from the active to-be-announced market, which is very liquid, as well as the U.S. treasury market. The model also utilizes additional information, such as the weighted average maturity, weighted average coupon and other available pool level data which is provided by the sponsoring agency. Valuations are also corroborated with active market quotes.
Non-agency mortgage-based securities are primarily priced by pricing services using an option adjusted spread model or other relevant models, which principally utilize inputs including benchmark yields, available trade information or broker quotes, and issuer spreads. The pricing services also review collateral
prepayment speeds, loss severity and delinquencies among other collateral performance indicators for the securities valuation, when applicable.
Asset-backed
Level 2 - The Company’s asset-backed fixed maturity investments primarily consist of collateralized loan obligations, along with asset-backed finance and other receivables. Securities held in these sectors are primarily priced by pricing services. The pricing services apply dealer quotes and other available trade information such as bids and offers, prepayment speeds which may be adjusted for the underlying collateral or current price data, the U.S. treasury curve and swap curve as well as cash settlement. The pricing services determine the expected cash flows for each security held in this sector using historical prepayment and default projections for the underlying collateral and current market data. In addition, a spread is applied to the relevant benchmark and used to discount the cash flows noted above to determine the fair value of the securities held in this sector.
Level 3 - At June 30, 2026, the Company’s asset-backed fixed maturity investments included $50.2 million (December 31, 2025 - $Nil) whose fair value was obtained using significant unobservable inputs which were not developed by the Company. These investments were valued by the Company’s external investment managers without significant adjustment. The Company’s external investment managers have used independent third parties to determine the fair value of these securities. At June 30, 2026, these securities had a weighted average credit quality of BBB.
The Company’s asset-backed fixed maturity investments also included $41.6 million (December 31, 2025 - $39.9 million) of investments with the fair value obtained through the use of discounted cash flow models developed by the Company, due to a lack of observable pricing inputs. At June 30, 2026 and December 31, 2025, these securities had a weighted average credit quality of BBB.
Non-U.S. Government
Level 2 - The Company’s non-U.S. government fixed maturity investments consisted of securities issued by non-U.S. governments and their respective agencies as well as supranational organizations. Securities held in these sectors are primarily priced by pricing services that employ proprietary discounted cash flow models to value the securities. Key quantitative inputs for these models are daily observed benchmark curves for treasury, swap and high issuance credits. The pricing services then apply a credit spread for each security which is developed by in-depth and real time market analysis. For securities in which trade volume is low, the pricing services utilize data from more frequently traded securities with similar attributes. These models may also be supplemented by daily market and credit research for international markets.
Agencies
Level 2 - The Company’s agency fixed maturity investments primarily consist of the Federal National Mortgage Association, the Federal Home Loan Mortgage Corporation and other agencies. Fixed maturity investments included in agencies are primarily priced by pricing services. When evaluating these securities, the pricing services gather information from market sources and integrate other observations from markets and sector news. Evaluations are updated by obtaining broker-dealer quotes and other market information, including actual trade volumes, when available. The fair value of each security is individually computed using analytical models which incorporate option adjusted spreads and other daily interest rate data.
Commercial Mortgage-backed
Level 2 - The Company’s commercial mortgage-backed fixed maturity investments are primarily priced by pricing services. The pricing services apply dealer quotes and other available trade information such as bids and offers, prepayment speeds which may be adjusted for the underlying collateral or current price data, the U.S. treasury curve and swap curve as well as cash settlement. The pricing services discount the expected cash flows for each security held in this sector using a spread adjusted benchmark yield based on the characteristics of the security.
Short Term Investments
Level 1 - The Company’s short term investments in U.S. treasuries were primarily priced by pricing services which utilize daily data from many real time market sources, including active broker-dealers. Certain data sources are regularly reviewed for accuracy to attempt to ensure the most reliable price source is used for each issue and maturity date.
Level 2 - Amortized cost approximates fair value for the majority of the remainder of the Company’s short term investments portfolio and, in certain cases, fair value is determined in a manner similar to the Company’s fixed maturity investments noted above.
Equity Investments
Level 1 - The fair value of the Company’s portfolio of equity investments are primarily priced by pricing services, reflecting the closing price quoted for the final trading day of the period. When pricing these securities, the pricing services utilize daily data from many real time market sources, including applicable securities exchanges. All data sources are regularly reviewed for accuracy to attempt to ensure the most reliable price source was used for each security.
Other Investments
Catastrophe Bonds
Level 2 - The Company’s other investments include investments in catastrophe bonds which are recorded at fair value based on broker or underwriter bid indications.
Direct Private Equity Investments
Level 2 - The Company’s other investments included direct private equity investments which are recorded at fair value based on quoted prices for similar assets.
Level 3 - The Company’s other investments included direct private equity investments which are recorded at fair value obtained through the use of internal valuation models. The Company measured the fair value of these investments using multiples of net tangible book value, excluding mark-to-market impacts on invested assets, of the underlying entities. The significant unobservable inputs used in the fair value measurement of these investments are liquidity discount rates applied to each of the book value multiples used in the internal valuation models, and discount rates applied to the expected cash flows of the underlying entities in various scenarios. These unobservable inputs in isolation can cause significant increases or decreases in fair value. Generally, an increase in the liquidity discount rate or discount rates would result in a decrease in the fair value of these private equity investments.
Other Assets and Liabilities
Derivatives
Level 1 and Level 2 - Other assets and liabilities include certain derivatives entered into by the Company. The fair value of these transactions includes certain exchange traded futures and options contracts which are considered Level 1, and foreign currency contracts and certain credit derivatives, determined using standard industry valuation models and considered Level 2, as the inputs to the valuation model are based on observable market inputs. For credit derivatives, these inputs include credit spreads, credit ratings of the underlying referenced security, the risk-free rate and the contract term. For foreign currency contracts, these inputs include spot rates and interest rate curves.
Assumed and Ceded (Re)insurance Contracts
Level 3 - During the first quarter of 2026, the Company’s assumed and ceded (re)insurance contracts accounted for at fair value expired, and, as a result, at June 30, 2026, future cash flows are expected to be immaterial. At December 31, 2025, the related net liability was not material. The fair value of these contracts had been determined through the use of an internal valuation model. The most significant unobservable inputs included the assumed and ceded expected net cash flows related to the contracts, including the
expected premium, acquisition expenses and losses; the expected loss ratio and the relevant discount rate used to calculate the present value of the net cash flows.
Level 3 Assets and Liabilities Measured at Fair Value
Quantitative Information About Level 3 Fair Value Measurements
Below is a summary of quantitative information regarding the significant unobservable inputs (Level 3) developed by the Company in determining the fair value of assets and liabilities measured at fair value on a recurring basis:
At June 30, 2026Fair Value
(Level 3)		Valuation Technique
Unobservable Inputs
Weighted Average or Actual
Fixed maturity investments trading
Asset-backed$41,609 Discounted cash flowDiscount rate11.3%
Other investments
Direct private equity investments23,625 Internal valuation modelDiscount rate12.0%
Liquidity discount10.0%
Total assets and (liabilities) measured at fair value on a recurring basis using Level 3 inputs$65,234 
At December 31, 2025Fair Value
(Level 3)		Valuation TechniqueUnobservable InputsWeighted Average or Actual
Fixed maturity investments trading
Corporate$114,256 Recent transaction priceN/AN/A
Asset-backed39,859 Discounted cash flow
Discount rate
11.3%
Total fixed maturity investments trading154,115 
Other investments
Direct private equity investments27,995 Internal valuation modelDiscount rate13.0%
Liquidity discount10.0%
Other assets and (liabilities)
Assumed and ceded (re)insurance contracts(34)Internal valuation modelNet undiscounted cash flows$12,836
Expected loss ratio—%
Discount rate3.7%
Total assets and (liabilities) measured at fair value on a recurring basis using Level 3 inputs$182,076 
Reconciliation of Fair Value Measurements Categorized within Level 3 of the Fair Value Hierarchy
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.
Fixed Maturity Investments Trading
Other
Investments
Corporate
Asset-backed
Direct Private Equity Investments
Other Assets
and
(Liabilities)		Total
Balance - April 1, 2026$144,696 $83,652 $24,296 $— $252,644 
Net investment income
— 1,166 82 — 1,248 
Net realized and unrealized gains (losses) on investments
— (366)(755)— (1,121)
Net foreign exchange gains (losses)
— — 2 — 2 
Purchases75,001 8,245 — — 83,246 
Sales— (25)— — (25)
Settlements— (905)— — (905)
Balance - June 30, 2026$219,697 $91,767 $23,625 $— $335,089 
Fixed Maturity Investments Trading
Other
Investments
  
Corporate
Asset-backed
Direct Private Equity Investments
Other Assets
and
(Liabilities)		Total
Balance - January 1, 2026$114,256 $39,859 $27,995 $(34)$182,076 
Net investment income
— 2,318 163 — 2,481 
Net realized and unrealized gains (losses) on investments
— (292)(4,526)— (4,818)
Other income (loss)
— — — 17 17 
Net foreign exchange gains (losses)
— — (7)— (7)
Purchases105,441 50,888 — — 156,329 
Sales
— (25)— — (25)
Settlements— (981)— 17 (964)
Balance - June 30, 2026$219,697 $91,767 $23,625 $— $335,089 
Fixed Maturity Investments TradingOther
Investments
Asset-backed
Direct Private Equity Investments
Other Assets
and
(Liabilities)		Total
Balance - April 1, 2025$— $38,987 $(234)$38,753 
Net investment income
— 70 — 70 
Net realized and unrealized gains (losses) on investments
— (3,778)— (3,778)
Other income (loss)
— — 126 126 
Net foreign exchange gains (losses)
— 29 — 29 
Purchases41,459 — — 41,459 
Settlements(523)— (42)(565)
Balance - June 30, 2025$40,936 $35,308 $(150)$76,094 
Fixed Maturity Investments Trading
Other Investments
  
Asset-backedDirect Private Equity InvestmentsOther Assets
and
(Liabilities)		Total
Balance - January 1, 2025$— $43,777 $(405)$43,372 
Net investment income
— 139 — 139 
Net realized and unrealized gains (losses) on investments
— (8,651)— (8,651)
Other income (loss)
— — 493 493 
Net foreign exchange gains (losses)
— 43 — 43 
Purchases41,459 — — 41,459 
Settlements(523)— (238)(761)
Balance - June 30, 2025$40,936 $35,308 $(150)$76,094 
The Fair Value Option for Financial Assets and Financial Liabilities
The Company has elected to account for other investments and certain assumed and ceded (re)insurance contracts at fair value using the guidance under FASB ASC Topic 825, Financial Instruments, as the Company believes it represents the most meaningful measurement basis for these assets and liabilities.
The change in fair value of other investments resulted in net unrealized gains on investments for the three and six months ended June 30, 2026 of $83.0 million and $0.9 million (June 30, 2025 - gains of $68.7 million and $19.8 million).
Measuring the Fair Value of Other Investments 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 June 30, 2026At December 31, 2025
Fair ValueUnfunded
Commitments		Fair ValueUnfunded
Commitments
Private credit funds$1,531,757 $2,021,558 $1,445,158 $1,605,126 
Private equity funds793,136 634,527 701,837 661,159 
Multi-strategy funds (1)
593,071 — 473,990 — 
Insurance-linked securities funds
162,192 — 154,514 — 
Equity funds76,093 — — — 
Total other investments measured using net asset valuations
$3,156,249 $2,656,085 $2,775,499 $2,266,285 
(1)In the first quarter of 2026, the Company revised the classification of its “fund investments - hedge funds” to be included within “fund investments - multi-strategy funds.”
Financial Instruments Disclosed, But Not Carried, at Fair Value
The Company uses various financial instruments in the normal course of its business. The Company’s (re)insurance contracts are excluded from the fair value of financial instruments accounting guidance, unless the Company elects the fair value option, and therefore, are not included in the amounts discussed herein. The carrying values of cash and cash equivalents, accrued investment income, receivables for investments sold, certain other assets, payables for investments purchased, certain other liabilities, and other financial instruments not included herein approximated their fair values.
Debt
Included in the Company’s consolidated balance sheet at June 30, 2026 were debt obligations with a carrying value of $2.3 billion (December 31, 2025 - $2.3 billion), consisting of $2.2 billion classified as Level 2 and $99.3 million classified as Level 3 (December 31, 2025 - $2.2 billion and $99.2 million). At June 30, 2026, the fair value of the Level 2 and Level 3 debt obligations were $2.3 billion and $98.3 million, respectively (December 31, 2025 - $2.3 billion and $100.2 million).
The fair value of the Company’s Level 2 debt obligations is determined using indicative pricing obtained from independent third‑party pricing service providers. The fair value of the Company’s Level 3 debt obligations is obtained through the use of a discounted cash flow model. The significant unobservable inputs used in the discounted cash flow model were the cash flow projection of the associated debt obligations and the discount rate, adjusted for credit risk. There were no changes in the Company’s valuation techniques used to determine the fair value of the Company’s debt obligations during the period.
Refer to “Note 7. Debt and Credit Facilities” for additional information related to the Company’s debt obligations.