FAIR VALUE MEASUREMENTS (TABLES)



	Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Total Fair Value

At June 30, 2013
Assets
Fixed maturities
U.S. government and agency	$	1,168,380	$	170,434	$	—	$	1,338,814
Non-U.S. government	—		1,176,949		—		1,176,949
Corporate debt	—		3,479,916		—		3,479,916
Agency RMBS	—		2,333,624		—		2,333,624
CMBS	—		762,865		11,785		774,650
Non-Agency RMBS	—		88,866		—		88,866
ABS	—		857,556		54,125		911,681
Municipals	—		1,540,412		—		1,540,412
	1,168,380		10,410,622		65,910		11,644,912
Equity securities
Common stocks	390,180		—		—		390,180
Exchange-traded funds	119,236		—		—		119,236
Non-U.S. bond mutual funds	—		109,379		—		109,379
	509,416		109,379		—		618,795
Other investments
Hedge funds	—		460,819		444,220		905,039
Direct lending funds	—		—		4,232		4,232
CLO - Equities	—		—		53,044		53,044
	—		460,819		501,496		962,315
Short-term investments	—		45,904		—		45,904
Derivative instruments (see Note 5)	—		7,792		—		7,792
Total	$	1,677,796	$	11,034,516	$	567,406	$	13,279,718
Liabilities
Derivative instruments (see Note 5)	$	—	$	9,722	$	—	$	9,722
Cash settled awards (see Note 7)	—		4,106		—		4,106
Total	$	—	$	13,828	$	—	$	13,828

At December 31, 2012
Assets
Fixed maturities
U.S. government and agency	$	1,094,220	$	328,665	$	—	$	1,422,885
Non-U.S. government	—		1,104,576		—		1,104,576
Corporate debt	—		3,874,832		1,550		3,876,382
Agency RMBS	—		2,659,908		—		2,659,908
CMBS	—		835,788		4,296		840,084
Non-Agency RMBS	—		94,089		1,110		95,199
ABS	—		579,231		63,975		643,206
Municipals	—		1,285,809		—		1,285,809
	1,094,220		10,762,898		70,931		11,928,049
Equity securities
Common stocks	443,398		—		—		443,398
Exchange-traded funds	119,161		—		—		119,161
Non-U.S. bond mutual funds	—		103,989		—		103,989
	562,559		103,989		—		666,548
Other investments
Hedge funds	—		421,006		359,996		781,002
Direct lending funds	—		—		—		—
CLO - Equities	—		—		62,435		62,435
	—		421,006		422,431		843,437
Short-term investments	—		108,860		—		108,860
Derivative instruments (see Note 5)	—		5,838		—		5,838
Total	$	1,656,779	$	11,402,591	$	493,362	$	13,552,732
Liabilities
Derivative instruments (see Note 5)	$	—	$	3,737	$	—	$	3,737
Cash settled awards (see Note 7)	—		—		—		—
Total	$	—	$	3,737	$	—	$	3,737



	Fair Value		Valuation Technique	Unobservable Input	Range	Weighted Average

ABS - CLO Debt	$	53,113	Discounted cash flow	Credit spreads	3.2% - 4.9%	3.74%
				Illiquidity discount⁽¹⁾	5.0%	5%

Other investments - CLO - Equities	$	53,044	Discounted cash flow	Default rates	4.0% - 5.0%	4.35%
				Loss severity rate	53.5%	53.5%
				Collateral spreads	2.6% - 4.2%	3.24%
				Estimated maturity dates	2.0 - 5.4 years	4.2 years

(1) Judgmentally determined based on limited trades of similar securities observed in the secondary markets.



	Opening Balance		Transfers into Level 3		Transfers out of Level 3			Included in earnings⁽¹⁾			Included in OCI⁽²⁾			Purchases		Sales			Settlements/ Distributions			Closing Balance		Change in unrealized investment gain/loss⁽³⁾

Three months ended June 30, 2013
Fixed maturities
Corporate debt	$	—	$	—	$	—		$	—		$	—		$	—	$	—		$	—		$	—	$	—
Non-Agency RMBS	1,300		—		(1,223		)	—			(77		)	—		—			—			—		—
CMBS	12,600		—		—			—			(69		)	—		—			(746		)	11,785		—
ABS	266,749		—		(213,212		)	—			693			—		—			(105		)	54,125		—
	280,649		—		(214,435		)	—			547			—		—			(851		)	65,910		—
Other investments
Hedge funds	414,716		29,953		—			6,962			—			—		—			(7,411		)	444,220		6,962
Direct lending funds	2,436		—		—			—			—			1,796		—			—			4,232		—
CLO - Equities	64,255		—		—			5,072			—			—		—			(16,283		)	53,044		5,072
	481,407		29,953		—			12,034			—			1,796		—			(23,694		)	501,496		12,034
Total assets	$	762,056	$	29,953	$	(214,435	)	$	12,034		$	547		$	1,796	$	—		$	(24,545	)	$	567,406	$	12,034

Six months ended June 30, 2013
Fixed maturities
Corporate debt	$	1,550	$	—	$	—		$	1,550		$	—		$	—	$	(3,100	)	$	—		$	—	$	—
Non-Agency RMBS	1,110		—		(1,223		)	—			135			—		—			(22		)	—		—
CMBS	4,296		8,382		—			—			(147		)	—		—			(746		)	11,785		—
ABS	63,975		—		(213,212		)	(112		)	981			212,889		(10,190		)	(206		)	54,125		—
	70,931		8,382		(214,435		)	1,438			969			212,889		(13,290		)	(974		)	65,910		—
Other investments
Hedge funds	359,996		29,953		—			25,490			—			50,000		—			(21,219		)	444,220		25,490
Direct lending funds	—		—		—			—			—			4,232		—			—			4,232		—
CLO - Equities	62,435		—		—			15,025			—			—		—			(24,416		)	53,044		15,025
	422,431		29,953		—			40,515			—			54,232		—			(45,635		)	501,496		40,515
Total assets	$	493,362	$	38,335	$	(214,435	)	$	41,953		$	969		$	267,121	$	(13,290	)	$	(46,609	)	$	567,406	$	40,515


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


(2)	Gains and losses included in other comprehensive income (“OCI”) on fixed maturities are included in unrealized gains (losses) arising during the period.


(3)	Change in unrealized investment gain/(loss) relating to assets held at the reporting date.



	Opening Balance		Transfers into Level 3		Transfers out of Level 3		Included in earnings⁽¹⁾			Included in OCI⁽²⁾		Purchases		Sales		Settlements/ Distributions			Closing Balance		Change in unrealized investment gain/loss⁽³⁾

Three months ended June 30, 2012
Fixed maturities
Corporate debt	$	1,550	$	—	$	—	$	—		$	—	$	—	$	—	$	—		$	1,550	$	—
Non-Agency RMBS	—		—		—		—			—		—		—		—			—		—
CMBS	—		—		—		—			—		—		—		—			—		—
ABS	50,415		—		—		—			164		—		—		(635		)	49,944		—
	51,965		—		—		—			164		—		—		(635		)	51,494		—
Other investments
Hedge funds	364,786		—		—		(10,261		)	—		—		—		(3		)	354,522		(10,261		)
Direct lending funds	—		—		—		—			—		—		—		—			—		—
CLO - Equities	60,908		—		—		9,634			—		—		—		(8,976		)	61,566		9,634
	425,694		—		—		(627		)	—		—		—		(8,979		)	416,088		(627		)
Total assets	$	477,659	$	—	$	—	$	(627	)	$	164	$	—	$	—	$	(9,614	)	$	467,582	$	(627	)

Six months ended June 30, 2012
Fixed maturities
Corporate debt	$	1,550	$	—	$	—	$	—		$	—	$	—	$	—	$	—		$	1,550	$	—
Non-Agency RMBS	—		—		—		—			—		—		—		—			—		—
CMBS	—		—		—		—			—		—		—		—			—		—
ABS	49,328		—		—		—			1,427		—		—		(811		)	49,944		—
	50,878		—		—		—			1,427		—		—		(811		)	51,494		—
Other investments
Hedge funds	346,244		—		—		11,271			—		—		—		(2,993		)	354,522		11,271
Direct lending funds	—		—		—		—			—		—		—		—			—		—
CLO - Equities	66,560		—		—		13,024			—		—		—		(18,018		)	61,566		13,024
	412,804		—		—		24,295			—		—		—		(21,011		)	416,088		24,295
Total assets	$	463,682	$	—	$	—	$	24,295		$	1,427	$	—	$	—	$	(21,822	)	$	467,582	$	24,295


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


(2)	Gains and losses included in other comprehensive income (“OCI”) on fixed maturities are included in unrealized gains (losses) arising during the period.


(3)	Change in unrealized investment gain/(loss) relating to assets held at the reporting date.

- 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.

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