FAIR VALUE MEASUREMENTS (TABLES)

6 Months Ended

Jun. 30, 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 June 30, 2015
Assets
Fixed maturities
U.S. government and agency	$	1,613,649	$	69,460	$	—	$	1,683,109
Non-U.S. government	—		900,535		—		900,535
Corporate debt	—		4,360,944		43,008		4,403,952
Agency RMBS	—		2,134,976		—		2,134,976
CMBS	—		1,077,670		21,900		1,099,570
Non-Agency RMBS	—		101,274		—		101,274
ABS	—		1,426,951		110		1,427,061
Municipals	—		255,259		—		255,259
	1,613,649		10,327,069		65,018		12,005,736
Equity securities
Exchange-traded funds	535,980		—		—		535,980
Bond mutual funds	—		123,201		—		123,201
	535,980		123,201		—		659,181
Other investments
Hedge funds	—		160,923		524,736		685,659
Direct lending funds	—		—		73,628		73,628
Real estate funds	—		—		3,000		3,000
CLO - Equities	—		—		90,814		90,814
	—		160,923		692,178		853,101
Short-term investments	—		30,618		—		30,618
Derivative instruments (see Note 6)	—		578		240		818
Insurance-linked securities	—		—		24,837		24,837
Total Assets	$	2,149,629	$	10,642,389	$	782,273	$	13,574,291
Liabilities
Derivative instruments (see Note 6)	$	—	$	5,921	$	818	$	6,739
Cash settled awards (see Note 8)	—		19,939		—		19,939
Total Liabilities	$	—	$	25,860	$	818	$	26,678

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
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
Real estate funds	—		—		—		—
CLO - Equities	—		—		92,488		92,488
	—		347,621		617,844		965,465
Short-term investments	—		107,534		—		107,534
Derivative instruments (see Note 6)	—		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 6)	$	—	$	3,041	$	15,288	$	18,329
Cash settled awards (see Note 8)	—		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 June 30, 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	$	36,920		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	2.7 - 4.1 years	3.4 years

Derivatives - Weather derivatives, net	$	(578	)	Simulation model	Weather curve	20 - 2830⁽¹⁾	n/a⁽²⁾
					Weather standard deviation	15 - 240⁽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 June 30, 2015
Fixed maturities
Corporate debt	$	26,857	$	—	$	—		$	—		$	244		$	20,714	$	—	$	(4,807	)	$	43,008	$	—
CMBS	17,061		5,072		—			—			(120		)	—		—		(113		)	21,900		—
ABS	39,921		—		(39,851		)	—			43			—		—		(3		)	110		—
	83,839		5,072		(39,851		)	—			167			20,714		—		(4,923		)	65,018		—
Other investments
Hedge funds	495,849		—		—			8,363			—			26,000		—		(5,476		)	524,736		8,363
Direct lending funds	69,682		—		—			840			—			4,063		—		(957		)	73,628		840
Real estate funds	—		—		—			—			—			3,000		—		—			3,000		—
CLO - Equities	92,058		—		—			5,110			—			—		—		(6,354		)	90,814		5,110
	657,589		—		—			14,313			—			33,063		—		(12,787		)	692,178		14,313
Other assets
Derivative instruments	—		—		—			240			—			—		—		—			240		240
Insurance-linked securities	25,000		—		—			(163		)	—			—		—		—			24,837		(163		)
	25,000		—		—			77			—			—		—		—			25,077		77
Total assets	$	766,428	$	5,072	$	(39,851	)	$	14,390		$	167		$	53,777	$	—	$	(17,710	)	$	782,273	$	14,390

Other liabilities
Derivative instruments	$	7,308	$	—	$	—		$	(3,171	)	$	—		$	1,141	$	—	$	(4,460	)	$	818	$	13
Total liabilities	$	7,308	$	—	$	—		$	(3,171	)	$	—		$	1,141	$	—	$	(4,460	)	$	818	$	13

Six months ended June 30, 2015
Fixed maturities
Corporate debt	$	15,837	$	—	$	—		$	—		$	424		$	31,624	$	—	$	(4,877	)	$	43,008	$	—
CMBS	17,763		5,072		—			—			(324		)	—		—		(611		)	21,900		—
ABS	40,031		—		(39,851		)	—			105			—		—		(175		)	110		—
	73,631		5,072		(39,851		)	—			205			31,624		—		(5,663		)	65,018		—
Other investments
Hedge funds	470,918		—		—			27,294			—			32,000		—		(5,476		)	524,736		27,294
Direct lending funds	54,438		—		—			1,507			—			19,481		—		(1,798		)	73,628		1,507
Real estate funds	—		—		—			—			—			3,000		—		—			3,000		—
CLO - Equities	92,488		—		—			11,197			—			—		—		(12,871		)	90,814		11,197
	617,844		—		—			39,998			—			54,481		—		(20,145		)	692,178		39,998
Other assets
Derivative instruments	111		—		—			(827		)	—			—		—		956			240		240
Insurance-linked securities	—		—		—			(163		)	—			25,000		—		—			24,837		(163		)
	111		—		—			(990		)	—			25,000		—		956			25,077		77
Total assets	$	691,586	$	5,072	$	(39,851	)	$	39,008		$	205		$	111,105	$	—	$	(24,852	)	$	782,273	$	40,075

Other liabilities
Derivative instruments	$	15,288	$	—	$	—		$	(11,722	)	$	—		$	2,223	$	—	$	(4,971	)	$	818	$	13
Total liabilities	$	15,288	$	—	$	—		$	(11,722	)	$	—		$	2,223	$	—	$	(4,971	)	$	818	$	13



	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, 2014
Fixed maturities
Corporate debt	$	—	$	—	$	—	$	—		$	—		$	—	$	—	$	—		$	—	$	—
CMBS	3,969		—		—		—			(23		)	—		—		(13		)	3,933		—
ABS	30,724		—		—		—			273			—		—		(114		)	30,883		—
	34,693		—		—		—			250			—		—		(127		)	34,816		—
Other investments
Hedge funds	464,666		—		—		12,746			—			3,000		—		(3,604		)	476,808		12,746
Direct lending funds	26,003		—		—		367			—			7,300		—		(203		)	33,467		367
Real estate funds	—		—		—		—			—			—		—		—			—		—
CLO - Equities	86,179		—		—		5,181			—			6,422		—		(6,676		)	91,106		5,181
	576,848		—		—		18,294			—			16,722		—		(10,483		)	601,381		18,294
Other assets
Derivative instruments	1,707		—		—		293			—			—		—		(2,000		)	—		—
Insurance-linked securities	—		—		—		—			—			—		—		—			—		—
	1,707		—		—		293			—			—		—		(2,000		)	—		—
Total assets	$	613,248	$	—	$	—	$	18,587		$	250		$	16,722	$	—	$	(12,610	)	$	636,197	$	18,294

Other liabilities
Derivative instruments	—		—		—		(90		)	—			840		—		—			750		(90		)
Total liabilities	$	—	$	—	$	—	$	(90	)	$	—		$	840	$	—	$	—		$	750	$	(90	)

Six months ended June 30, 2014
Fixed maturities
Corporate debt	$	—	$	—	$	—	$	—		$	—		$	—	$	—	$	—		$	—	$	—
CMBS	4,018		—		—		—			(43		)	—		—		(42		)	3,933		—
ABS	30,799		128		—		—			178			—		—		(222		)	30,883		—
	34,817		128		—		—			135			—		—		(264		)	34,816		—
Other investments
Hedge funds	461,055		—		—		20,923			—			7,500		—		(12,670		)	476,808		20,923
Direct lending funds	22,134		—		—		919			—			10,745		—		(331		)	33,467		919
Real estate funds	—		—		—		—			—			—		—		—			—		—
CLO - Equities	73,866		—		—		11,331			—			19,267		—		(13,358		)	91,106		11,331
	557,055		—		—		33,173			—			37,512		—		(26,359		)	601,381		33,173
Other assets
Derivative instruments	984		—		—		5,011			—			—		—		(5,995		)	—		—
Insurance-linked securities	—		—		—		—			—			—		—		—			—		—
	984		—		—		5,011			—			—		—		(5,995		)	—		—
Total assets	$	592,856	$	128	$	—	$	38,184		$	135		$	37,512	$	—	$	(32,618	)	$	636,197	$	33,173

Other liabilities
Derivative instruments	$	815	$	—	$	—	$	896		$	—		$	840	$	—	$	(1,801	)	$	750	$	(90	)
Total liabilities	$	815	$	—	$	—	$	896		$	—		$	840	$	—	$	(1,801	)	$	750	$	(90	)


(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.