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 December 31, 2013
Assets
Fixed maturities
U.S. government and agency	$	1,119,632	$	269,066	$	—	$	1,388,698
Non-U.S. government	—		1,176,382		—		1,176,382
Corporate debt	—		3,608,238		—		3,608,238
Agency RMBS	—		2,448,827		—		2,448,827
CMBS	—		793,396		4,018		797,414
Non-Agency RMBS	—		67,567		—		67,567
ABS	—		922,652		30,799		953,451
Municipals	—		1,545,750		—		1,545,750
	1,119,632		10,831,878		34,817		11,986,327
Equity securities
Common stocks	438,318		—		—		438,318
Exchange-traded funds	138,847		—		—		138,847
Non-U.S. bond mutual funds	—		124,822		—		124,822
	577,165		124,822		—		701,987
Other investments
Hedge funds	—		488,755		461,055		949,810
Direct lending funds	—		—		22,134		22,134
CLO-Equities	—		—		73,866		73,866
	—		488,755		557,055		1,045,810
Short-term investments	—		46,212		—		46,212
Derivative instruments (see Note 7)	—		6,824		984		7,808
Total Assets	$	1,696,797	$	11,498,491	$	592,856	$	13,788,144
Liabilities
Derivative instruments (see Note 7)	$	—	$	1,152	$	815	$	1,967
Cash settled awards (see Note 16)	—		8,693		—		8,693
Total Liabilities	$	—	$	9,845	$	815	$	10,660

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 7)	—		5,838		—		5,838
Total Assets	$	1,656,779	$	11,402,591	$	493,362	$	13,552,732
Liabilities
Derivative instruments (see Note 7)	$	—	$	3,737	$	—	$	3,737
Cash settled awards (see Note 16)	—		—		—		—
Total Liabilities	$	—	$	3,737	$	—	$	3,737




	Fair Value		Valuation Technique	Unobservable Input	Range	Weighted Average

ABS - CLO Debt	$	29,944	Discounted cash flow	Credit spreads	3.3% - 4.6%	3.7%
				Illiquidity discount⁽¹⁾	5%	5%
	855		Broker-dealer quote	n/a	n/a	n/a
	$	30,799

Other investments - CLO Equities	$	39,706	Discounted cash flow	Default rates	4.0% - 5.0%	4.4%
				Loss severity rate	53.5%	53.5%
				Collateral spreads	2.6% - 3.4%	3.3%
				Estimated maturity dates	2.1 - 4.6 years	4.2 years
	34,160		Net asset value	n/a	n/a	n/a
	$	73,866

Derivatives - Weather derivatives, net	$	169	Simulation model	Weather curve	525 - 4,750⁽²⁾	n/a⁽³⁾
				Weather standard deviation	94 - 290⁽²⁾	n/a⁽³⁾

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

(2) Measured in Heating Degree Days ("HDD") which is the number of degrees the daily temperature is below a reference temperature. The cumulative HDD for the duration of the derivatives contract is compared to the strike value to determine the necessary settlement.


(3)	Due to the diversity of the portfolio, the range of unobservable inputs is widespread; therefore, presentation of a weighted average is not useful. Weather parameters may include various temperature and/or precipitation measures that will naturally vary by geographic location of each counterparty's operations.



	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⁾

Year ended December 31, 2013
Fixed maturities
Corporate debt	$	1,550	$	—	$	—		$	1,550		$	—		$	—		$	—		$	(3,100	)	$	—	$	—
Non-Agency RMBS	1,110		—		(1,222		)	—			135			—			—			(23		)	—		—
CMBS	4,296		—		—			—			(278		)	—			—			—			4,018		—
ABS	63,975		—		—			(111		)	1,794			—			—			(34,859		)	30,799		—
	70,931		—		(1,222		)	1,439			1,651			—			—			(37,982		)	34,817		—
Other investments
Hedge funds	359,996		—		—			58,293			—			86,138			—			(43,372		)	461,055		58,293
Direct lending funds	—		—		—			(125		)	—			22,317			—			(58		)	22,134		(125		)
CLO-Equities	62,435		—		—			27,898			—			34,016			—			(50,483		)	73,866		27,898
	422,431		—		—			86,066			—			142,471			—			(93,913		)	557,055		86,066
Other assets
Derivative instruments	—		—		—			2,084			—			(1,100		)	—			—			984		2,084
	—		—		—			2,084			—			(1,100		)	—			—			984		2,084
Total assets	$	493,362	$	—	$	(1,222	)	$	89,589		$	1,651		$	141,371		$	—		$	(131,895	)	$	592,856	$	88,150

Other liabilities
Derivative instruments	—		—		—			98			—			717			—			—			815		98
Total liabilities	$	—	$	—	$	—		$	98		$	—		$	717		$	—		$	—		$	815	$	98

Year ended December 31, 2012
Fixed maturities
Corporate debt	$	1,550	$	—	$	—		$	—		$	—		$	—		$	—		$	—		$	1,550	$	—
Non-Agency RMBS	—		1,110		—			—			—			—			—			—			1,110		—
CMBS	—		4,296		—			—			—			—			—			—			4,296		—
ABS	49,328		10,539		—			—			5,112			—			—			(1,004		)	63,975		—
	50,878		15,945		—			—			5,112			—			—			(1,004		)	70,931		—
Other investments
Hedge funds	346,244		—		(9,435		)	33,301			—			—			(2,835		)	(7,279		)	359,996		33,301
Direct lending funds	—		—		—			—			—			—			—			—			—		—
CLO-Equities	66,560		—		—			31,108			—			—			—			(35,233		)	62,435		31,108
	412,804		—		(9,435		)	64,409			—			—			(2,835		)	(42,512		)	422,431		64,409
Other assets
Derivative instruments	—		—		—			—			—			—			—			—			—		—
	—		—		—			—			—			—			—			—			—		—
Total assets	$	463,682	$	15,945	$	(9,435	)	$	64,409		$	5,112		$	—		$	(2,835	)	$	(43,516	)	$	493,362	$	64,409

Other liabilities
Derivative instruments	—		—		—			—			—			—			—			—			—		—
Total liabilities	$	—	$	—	$	—		$	—		$	—		$	—		$	—		$	—		$	—	$	—


(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. Gains (losses) on weather derivatives included in earnings are included in other insurance-related 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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