FAIR VALUE MEASUREMENTS (TABLES)


	At December 31,	2011	2010

	Default rates	4.0% - 5.0%	3.8% - 5.0%
	Loss severity rate	53.5%	65.0%
	Collateral spreads	2.6% - 4.2%	2.4% - 4.2%
	Estimated maturity dates	2.5 - 5.2 years	1.5 - 10.5 years


The changes made to the above significant inputs in 2011 did not impact significantly the total change in fair value of the CLO - Equities recognized in earnings.

The table below presents the financial instruments measured at fair value on a recurring basis.

		Quoted Prices in		Significant		Significant
		Active Markets for		Other Observable		Unobservable
		Identical Assets		Inputs		Inputs		Total Fair
		(Level 1)		(Level 2)		(Level 3)		Value
	At December 31, 2011
	Assets
	Fixed maturities
	U.S. government and agency	$	765,519	$	382,748	$	-	$	1,148,267
	Non-U.S. government		-		1,212,451		-		1,212,451
	Corporate debt		-		3,608,041		1,550		3,609,591
	Agency RMBS		-		2,636,634		-		2,636,634
	CMBS		-		312,691		-		312,691
	Non-Agency RMBS		-		165,713		-		165,713
	ABS		-		582,714		49,328		632,042
	Municipals		-		1,222,711		-		1,222,711
			765,519		10,123,703		50,878		10,940,100
	Equity securities		561,436		116,124		-		677,560
	Other investments		-		286,516		412,804		699,320
	Other assets (see Note 7)		-		38,175		-		38,175
	Total	$	1,326,955	$	10,564,518	$	463,682	$	12,355,155

	Liabilities
	Other liabilities (see Note 7)	$	-	$	2,035	$	-	$	2,035


	At December 31, 2010
	Assets
	Fixed maturities
	U.S. government and agency	$	588,281	$	271,839	$	-	$	860,120
	Non-U.S. government		-		772,798		-		772,798
	Corporate debt		-		4,161,358		1,550		4,162,908
	Agency RMBS		-		2,593,582		-		2,593,582
	CMBS		-		474,785		-		474,785
	Non-Agency RMBS		-		224,524		19,678		244,202
	ABS		-		618,665		43,178		661,843
	Municipals		-		712,659		-		712,659
			588,281		9,830,210		64,406		10,482,897
	Equity securities		271,451		77,803		-		349,254
	Other investments		-		-		519,296		519,296
	Other assets (see Note 7)		-		6,641		-		6,641
	Total	$	859,732	$	9,914,654	$	583,702	$	11,358,088

	Liabilities
	Other liabilities (see Note 7)	$	-	$	14,986	$	-	$	14,986


During 2011 and 2010, we had no transfers between Levels 1 and 2.

Level 3 financial instruments

The following tables present changes in Level 3 for financial instruments measured at fair value on a recurring basis for the periods indicated:

			Fixed Maturities
			Corporate				Non-Agency						Other		Total
			Debt		CMBS		RMBS		ABS		Total		Investments		Assets

	Year ended December 31, 2011
	Balance at beginning of period	$	1,550	$	-	$	19,678	$	43,178	$	64,406	$	519,296	$	583,702
	Total net realized and unrealized gains
	included in net income⁽¹⁾		-		-		-		-		-		74,497		74,497
	Total net realized and unrealized losses
	included in net income⁽¹⁾		-		-		-		-		-		(43,498)		(43,498)
	Change in net unrealized gains included
	in other comprehensive income		-		-		123		5,289		5,412		-		5,412
	Change in net unrealized losses included
	in other comprehensive income		-		-		(60)		(937)		(997)		-		(997)
	Purchases		-		-		-		-		-		195,000		195,000
	Sales		-		-		-		-		-		(25,268)		(25,268)
	Settlements / distributions		-		-		(2,046)		(93)		(2,139)		(45,720)		(47,859)
	Transfers into Level 3		-		-		-		1,891		1,891		-		1,891
	Transfers out of Level 3		-		-		(17,695)		-		(17,695)		(261,503)		(279,198)
	Balance at end of period	$	1,550	$	-	$	-	$	49,328	$	50,878	$	412,804	$	463,682

	Level 3 gains / losses included in
	earnings attributable to the change
	in unrealized gains /losses relating
	to those assets held at the
	reporting date	$	-	$	-	$	-	$	-	$	-	$	31,855	$	31,855

	Year ended December 31, 2010
	Balance at beginning of period	$	18,130	$	2,409	$	6,639	$	43,585	$	70,763	$	520,188	$	590,951
	Total net realized and unrealized gains
	included in net income⁽¹⁾		-		-		-		-		-		60,969		60,969
	Total net realized and unrealized losses
	included in net income⁽¹⁾		(1,550)		(119)		(581)		(1,134)		(3,384)		-		(3,384)
	Change in net unrealized gains included
	in other comprehensive income		2,201		1,273		1,825		3,361		8,660		-		8,660
	Change in net unrealized losses included
	in other comprehensive income		(34)		(238)		(27)		(71)		(370)		-		(370)
	Purchases		-		3,474		20,230		4,000		27,704		65,000		92,704
	Sales		(12)		(206)		(211)		(2,004)		(2,433)		(99,822)		(102,255)
	Settlements / distributions		-		(694)		(1,832)		(369)		(2,895)		(27,039)		(29,934)
	Transfers into Level 3		-		-		781		-		781		-		781
	Transfers out of Level 3		(17,185)		(5,899)		(7,146)		(4,190)		(34,420)		-		(34,420)
	Balance at end of period	$	1,550	$	-	$	19,678	$	43,178	$	64,406	$	519,296	$	583,702

	Level 3 gains / losses included in
	earnings attributable to the change
	in unrealized gains /losses relating
	to those assets held at the
	reporting date	$	(1,550)	$	-	$	-	$	-	$	(1,550)	$	60,969	$	59,419

(1) Realized gains and losses on fixed maturities are included in net realized investment gains (losses). Realized gains and (losses) on other investments are included in net investment income.

- 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, 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, issuances, 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