FAIR VALUE MEASUREMENTS (TABLES)

9 Months Ended

Sep. 30, 2014

FINANCIAL INSTRUMENTS MEASURED AT FAIR VALUE ON A RECURRING BASIS [Table Text Block]



	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 September 30, 2014
Assets
Fixed maturities
U.S. government and agency	$	1,390,737	$	128,731	$	—	$	1,519,468
Non-U.S. government	—		1,138,922		—		1,138,922
Corporate debt	—		4,250,796		—		4,250,796
Agency RMBS	—		2,120,947		—		2,120,947
CMBS	—		939,897		14,620		954,517
Non-Agency RMBS	—		78,395		—		78,395
ABS	—		1,375,330		60,535		1,435,865
Municipals	—		945,774		—		945,774
	1,390,737		10,978,792		75,155		12,444,684
Equity securities
Common stocks	63,145		—		—		63,145
Exchange-traded funds	450,676		—		—		450,676
Non-U.S. bond mutual funds	—		115,681		—		115,681
	513,821		115,681		—		629,502
Other investments
Hedge funds	—		361,376		444,491		805,867
Direct lending funds	—		—		43,836		43,836
CLO - Equities	—		—		97,133		97,133
	—		361,376		585,460		946,836
Short-term investments	—		114,428		—		114,428
Derivative instruments (see Note 5)	—		16,591		228		16,819
Total Assets	$	1,904,558	$	11,586,868	$	660,843	$	14,152,269
Liabilities
Derivative instruments (see Note 5)	$	—	$	10,469	$	7,646	$	18,115
Cash settled awards (see Note 7)	—		14,106		—		14,106
Total Liabilities	$	—	$	24,575	$	7,646	$	32,221

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 5)	—		6,824		984		7,808
Total Assets	$	1,696,797	$	11,498,491	$	592,856	$	13,788,144
Liabilities
Derivative instruments (see Note 5)	$	—	$	1,152	$	815	$	1,967
Cash settled awards (see Note 7)	—		8,693		—		8,693
Total Liabilities	$	—	$	9,845	$	815	$	10,660

LEVEL 3 FAIR VALUE MEASUREMENT INPUTS [Table Text Block]



	Fair Value			Valuation Technique	Unobservable Input	Range	Weighted Average

ABS - CLO Debt	$	17,810		Discounted cash flow	Credit spreads	3.4%	3.4%
					Illiquidity discount⁽¹⁾	5.0%	5.0%
	42,725			Broker-dealer quote	n/a	n/a	n/a
	$	60,535

Other investments - CLO - Equities	$	37,420		Discounted cash flow	Default rates	4.0% - 5.0%	4.3%
					Loss severity rate	53.5%	53.5%
					Collateral spreads	2.6% - 3.5%	3.3%
					Estimated maturity dates	3.2 - 4.4 years	3.9 years
	59,713			Net asset value	n/a	n/a	n/a
	$	97,133

Derivatives - Weather derivatives, net	$	(7,418	)	Simulation model	Weather curve	33 - 2930⁽²⁾	n/a⁽³⁾
					Weather standard deviation	3 - 305⁽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 can be 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.

CHANGES IN LEVEL 3 FINANCIAL INSTRUMENTS MEASURED AT FAIR VALUE ON A RECURRING BASIS [Table Text Block]



	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 September 30, 2014
Fixed maturities
Corporate debt	$	—	$	—	$	—		$	—		$	—		$	—	$	—	$	—		$	—	$	—
Non-Agency RMBS	—		—		—			—			—			—		—		—			—		—
CMBS	3,933		10,795		—			—			(31		)	—		—		(77		)	14,620		—
ABS	30,883		42,039		—			—			882			—		—		(13,269		)	60,535		—
	34,816		52,834		—			—			851			—		—		(13,346		)	75,155		—
Other investments
Hedge funds	476,808		—		(32,255		)	(4,205		)	—			6,000		—		(1,857		)	444,491		(4,344		)
Direct lending funds	33,467		—		—			627			—			10,086		—		(344		)	43,836		627
CLO - Equities	91,106		—		—			5,729			—			6,674		—		(6,376		)	97,133		5,729
	601,381		—		(32,255		)	2,151			—			22,760		—		(8,577		)	585,460		2,012
Other assets
Derivative instruments	—		—		—			228			—			—		—		—			228		228
	—		—		—			228			—			—		—		—			228		228
Total assets	$	636,197	$	52,834	$	(32,255	)	$	2,379		$	851		$	22,760	$	—	$	(21,923	)	$	660,843	$	2,240

Other liabilities
Derivative instruments	$	750	$	—	$	—		$	(272	)	$	—		$	7,587	$	—	$	(419	)	$	7,646	$	59
Total liabilities	$	750	$	—	$	—		$	(272	)	$	—		$	7,587	$	—	$	(419	)	$	7,646	$	59

Nine months ended September 30, 2014
Fixed maturities
Corporate debt	$	—	$	—	$	—		$	—		$	—		$	—	$	—	$	—		$	—	$	—
Non-Agency RMBS	—		—		—			—			—			—		—		—			—		—
CMBS	4,018		10,795		—			—			(74		)	—		—		(119		)	14,620		—
ABS	30,799		42,167		—			—			1,060			—		—		(13,491		)	60,535		—
	34,817		52,962		—			—			986			—		—		(13,610		)	75,155		—
Other investments
Hedge funds	461,055		—		(32,255		)	16,718			—			13,500		—		(14,527		)	444,491		16,579
Direct lending funds	22,134		—		—			1,546			—			20,831		—		(675		)	43,836		1,546
CLO - Equities	73,866		—		—			17,060			—			25,941		—		(19,734		)	97,133		17,060
	557,055		—		(32,255		)	35,324			—			60,272		—		(34,936		)	585,460		35,185
Other assets
Derivative instruments	984		—		—			5,239			—			—		—		(5,995		)	228		228
	984		—		—			5,239			—			—		—		(5,995		)	228		228
Total assets	$	592,856	$	52,962	$	(32,255	)	$	40,563		$	986		$	60,272	$	—	$	(54,541	)	$	660,843	$	35,413

Other liabilities
Derivative instruments	$	815	$	—	$	—		$	624		$	—		$	8,427	$	—	$	(2,220	)	$	7,646	$	59
Total liabilities	$	815	$	—	$	—		$	624		$	—		$	8,427	$	—	$	(2,220	)	$	7,646	$	59


(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.



	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 September 30, 2013
Fixed maturities
Corporate debt	$	—	$	—	$	—		$	—		$	—		$	—	$	—		$	—		$	—	$	—
Non-Agency RMBS	—		—		—			—			—			—		—			—			—		—
CMBS	11,785		—		(6,915		)	—			(96		)	—		—			(714		)	4,060		—
ABS	54,125		34,700		—			—			1,048			—		—			(20,368		)	69,505		—
	65,910		34,700		(6,915		)	—			952			—		—			(21,082		)	73,565		—
Other investments
Hedge funds	444,220		—		—			13,233			—			—		—			(19,156		)	438,297		13,233
Direct lending funds	4,232		—		—			75			—			8,708		—			—			13,015		75
CLO - Equities	53,044		—		—			6,580			—			23,312		—			(12,736		)	70,200		6,580
	501,496		—		—			19,888			—			32,020		—			(31,892		)	521,512		19,888
Other assets
Derivative instruments	—		—		—			—			—			—		—			—			—		—
	—		—		—			—			—			—		—			—			—		—
Total assets	$	567,406	$	34,700	$	(6,915	)	$	19,888		$	952		$	32,020	$	—		$	(52,974	)	$	595,077	$	19,888

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

Nine months ended September 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		(6,915		)	—			(243		)	—		—			(1,460		)	4,060		—
ABS	63,975		34,700		(213,212		)	(112		)	2,029			212,889		(10,190		)	(20,574		)	69,505		—
	70,931		43,082		(221,350		)	1,438			1,921			212,889		(13,290		)	(22,056		)	73,565		—
Other investments
Hedge funds	359,996		29,953		—			38,723			—			50,000		—			(40,375		)	438,297		38,723
Direct lending funds	—		—		—			75			—			12,940		—			—			13,015		75
CLO - Equities	62,435		—		—			21,605			—			23,312		—			(37,152		)	70,200		21,605
	422,431		29,953		—			60,403			—			86,252		—			(77,527		)	521,512		60,403
Other assets
Derivative instruments	—		—		—			—			—			—		—			—			—		—
	—		—		—			—			—			—		—			—			—		—
Total assets	$	493,362	$	73,035	$	(221,350	)	$	61,841		$	1,921		$	299,141	$	(13,290	)	$	(99,583	)	$	595,077	$	60,403

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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