FAIR VALUE MEASUREMENTS (TABLES)

3 Months Ended

Mar. 31, 2015

FINANCIAL INSTRUMENTS MEASURED AT FAIR VALUE ON A RECURRING BASIS

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



	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 March 31, 2015
Assets
Fixed maturities
U.S. government and agency	$	1,400,810	$	93,347	$	—	$	1,494,157
Non-U.S. government	—		873,097		—		873,097
Corporate debt	—		4,507,421		26,857		4,534,278
Agency RMBS	—		2,200,243		—		2,200,243
CMBS	—		1,114,262		17,061		1,131,323
Non-Agency RMBS	—		78,001		—		78,001
ABS	—		1,455,908		39,921		1,495,829
Municipals	—		205,966		—		205,966
	1,400,810		10,528,245		83,839		12,012,894
Equity securities
Exchange-traded funds	498,047		—		—		498,047
Non-U.S. bond mutual funds	—		103,282		—		103,282
	498,047		103,282		—		601,329
Other investments
Hedge funds	—		281,417		495,849		777,266
Direct lending funds	—		—		69,682		69,682
CLO - Equities	—		—		92,058		92,058
	—		281,417		657,589		939,006
Short-term investments	—		38,373		—		38,373
Derivative instruments (see Note 5)	—		4,250		—		4,250
Insurance-linked securities	—		—		25,000		25,000
Total Assets	$	1,898,857	$	10,955,567	$	766,428	$	13,620,852
Liabilities
Derivative instruments (see Note 5)	$	—	$	10,312	$	7,308	$	17,620
Cash settled awards (see Note 7)	—		12,641		—		12,641
Total Liabilities	$	—	$	22,953	$	7,308	$	30,261

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
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 5)	—		7,153		111		7,264
Insurance-linked securities	—		—		—		—
Total Assets	$	1,952,812	$	11,132,845	$	691,586	$	13,777,243
Liabilities
Derivative instruments (see Note 5)	$	—	$	3,041	$	15,288	$	18,329
Cash settled awards (see Note 7)	—		20,518		—		20,518
Total Liabilities	$	—	$	23,559	$	15,288	$	38,847

LEVEL 3 FAIR VALUE MEASUREMENT INPUTS

Except for hedge funds, direct lending funds and our CLO fund priced using NAV as a practical expedient and certain fixed maturities and insurance-linked securities priced using broker-dealer quotes (underlying inputs are not available), the following table quantifies the significant unobservable inputs we have used in estimating fair value at March 31, 2015 for our investments classified as Level 3 in the fair value hierarchy. These significant unobservable inputs have not changed significantly from December 31, 2014.



	Fair Value			Valuation Technique	Unobservable Input	Range	Weighted Average

Other investments - CLO - Equities	$	36,960		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	2.9 - 4.1 years	3.6 years

Derivatives - Weather derivatives, net	$	(7,308	)	Simulation model	Weather curve	632 - 2161⁽¹⁾	n/a⁽²⁾
					Weather standard deviation	59 - 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 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

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



	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 March 31, 2015
Fixed maturities
Corporate debt	$	15,837	$	—	$	—	$	—		$	180		$	10,910	$	—	$	(70	)	$	26,857	$	—
CMBS	17,763		—		—		—			(204		)	—		—		(498		)	17,061		—
ABS	40,031		—		—		—			62			—		—		(172		)	39,921		—
	73,631		—		—		—			38			10,910		—		(740		)	83,839		—
Other investments
Hedge funds	470,918		—		—		18,931			—			6,000		—		—			495,849		18,931
Direct lending funds	54,438		—		—		667			—			15,418		—		(841		)	69,682		667
CLO - Equities	92,488		—		—		6,087			—			—		—		(6,517		)	92,058		6,087
	617,844		—		—		25,685			—			21,418		—		(7,358		)	657,589		25,685
Other assets
Derivative instruments	111		—		—		(1,067		)	—			—		—		956			—		—
Insurance-linked securities	—		—		—		—			—			25,000		—		—			25,000		—
	111		—		—		(1,067		)	—			25,000		—		956			25,000		—
Total assets	$	691,586	$	—	$	—	$	24,618		$	38		$	57,328	$	—	$	(7,142	)	$	766,428	$	25,685

Other liabilities
Derivative instruments	$	15,288	$	—	$	—	$	(8,551	)	$	—		$	1,082	$	—	$	(511	)	$	7,308	$	(2,058	)
Total liabilities	$	15,288	$	—	$	—	$	(8,551	)	$	—		$	1,082	$	—	$	(511	)	$	7,308	$	(2,058	)



	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 March 31, 2014
Fixed maturities
Corporate debt	$	—	$	—	$	—	$	—	$	—		$	—	$	—	$	—		$	—	$	—
CMBS	4,018		—		—		—		(20		)	—		—		(29		)	3,969		—
ABS	30,799		128		—		—		(95		)	—		—		(108		)	30,724		—
	34,817		128		—		—		(115		)	—		—		(137		)	34,693		—
Other investments
Hedge funds	461,055		—		—		8,177		—			4,500		—		(9,066		)	464,666		8,177
Direct lending funds	22,134		—		—		552		—			3,445		—		(128		)	26,003		552
CLO - Equities	73,866		—		—		6,150		—			12,845		—		(6,682		)	86,179		6,150
	557,055		—		—		14,879		—			20,790		—		(15,876		)	576,848		14,879
Other assets
Derivative instruments	984		—		—		4,718		—			—		—		(3,995		)	1,707		1,540
Insurance-linked securities	—		—		—		—		—			—		—		—			—		—
	984		—		—		4,718		—			—		—		(3,995		)	1,707		1,540
Total assets	$	592,856	$	128	$	—	$	19,597	$	(115	)	$	20,790	$	—	$	(20,008	)	$	613,248	$	16,419

Other liabilities
Derivative instruments	$	815	$	—	$	—	$	986	$	—		$	—	$	—	$	(1,801	)	$	—	$	—
Total liabilities	$	815	$	—	$	—	$	986	$	—		$	—	$	—	$	(1,801	)	$	—	$	—


(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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