FAIR VALUE MEASUREMENTS (TABLES)

12 Months Ended

Dec. 31, 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 December 31, 2014
Assets
Fixed maturities
U.S. government and agency	$	1,497,922	$	122,155	$	—	$	1,620,077
Non-U.S. government	—		1,033,543		—		1,033,543
Corporate debt	—		4,345,287		15,837		4,361,124
Agency RMBS	—		2,278,108		—		2,278,108
CMBS	—		1,079,125		17,763		1,096,888
Non-Agency RMBS	—		73,086		—		73,086
ABS	—		1,421,555		40,031		1,461,586
Municipals	—		204,861		—		204,861
	1,497,922		10,557,720		73,631		12,129,273
Equity securities
Common stocks	—		—		—		—
Exchange-traded funds	454,890		—		—		454,890
Non-U.S. bond mutual funds	—		112,817		—		112,817
	454,890		112,817		—		567,707
Other investments
Hedge funds	—		347,621		470,918		818,539
Direct lending funds	—		—		54,438		54,438
CLO-Equities	—		—		92,488		92,488
	—		347,621		617,844		965,465
Short-term investments	—		107,534		—		107,534
Derivative instruments (see Note 7)	—		7,153		111		7,264
Total Assets	$	1,952,812	$	11,132,845	$	691,586	$	13,777,243
Liabilities
Derivative instruments (see Note 7)	$	—	$	3,041	$	15,288	$	18,329
Cash settled awards (see Note 16)	—		20,518		—		20,518
Total Liabilities	$	—	$	23,559	$	15,288	$	38,847

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

LEVEL 3 FAIR VALUE MEASUREMENT INPUTS [Table Text Block]




	Fair Value			Valuation Technique	Unobservable Input	Range	Weighted Average

Other investments - CLO Equities	$	37,046		Discounted cash flow	Default rates	4.0% - 5.0%	4.3%
					Loss severity rate	53.5%	53.5%
					Collateral spreads	3.0% - 3.5%	3.3%
					Estimated maturity dates	3.1 - 4.2 years	3.8 years

Derivatives - Weather derivatives, net	$	(15,177	)	Simulation model	Weather curve	32 - 3,370⁽¹⁾	n/a⁽²⁾
					Weather standard deviation	3 - 250⁽¹⁾	n/a⁽²⁾

(1) 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.


(2)	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.

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⁾

Year ended December 31, 2014
Fixed maturities
Corporate debt	$	—	$	—	$	—		$	—		$	(95	)	$	15,957		$	—	$	(25	)	$	15,837	$	—
Non-Agency RMBS	—		—		—			—			—			—			—		—			—		—
CMBS	4,018		9,447		—			—			1,381			5,027			—		(2,110		)	17,763		—
ABS	30,799		1,125		(6,165		)	—			2,350			39,800			—		(27,878		)	40,031		—
	34,817		10,572		(6,165		)	—			3,636			60,784			—		(30,013		)	73,631		—
Other investments
Hedge funds	461,055		12,355		(32,255		)	24,790			—			19,500			—		(14,527		)	470,918		24,651
Direct lending funds	22,134		—		—			3,515			—			30,101			—		(1,312		)	54,438		3,515
CLO-Equities	73,866		—		—			20,173			—			25,941			—		(27,492		)	92,488		20,173
	557,055		12,355		(32,255		)	48,478			—			75,542			—		(43,331		)	617,844		48,339
Other assets
Derivative instruments	984		—		—			5,112			—			—			—		(5,985		)	111		101
	984		—		—			5,112			—			—			—		(5,985		)	111		101
Total assets	$	592,856	$	22,927	$	(38,420	)	$	53,590		$	3,636		$	136,326		$	—	$	(79,329	)	$	691,586	$	48,440

Other liabilities
Derivative instruments	815		—		—			10,604			—			12,715			—		(8,846		)	15,288		6,621
Total liabilities	$	815	$	—	$	—		$	10,604		$	—		$	12,715		$	—	$	(8,846	)	$	15,288	$	6,621

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


(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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