FAIR VALUE MEASUREMENTS (TABLES)

9 Months Ended

Sep. 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 September 30, 2015
Assets
Fixed maturities
U.S. government and agency	$	1,834,673	$	29,785	$	—	$	1,864,458
Non-U.S. government	—		772,714		—		772,714
Corporate debt	—		4,430,359		61,724		4,492,083
Agency RMBS	—		2,207,708		—		2,207,708
CMBS	—		1,066,541		11,318		1,077,859
Non-Agency RMBS	—		103,897		—		103,897
ABS	—		1,439,116		107		1,439,223
Municipals	—		181,653		—		181,653
	1,834,673		10,231,773		73,149		12,139,595
Equity securities
Exchange-traded funds	567,393		—		—		567,393
Bond mutual funds	—		121,764		—		121,764
	567,393		121,764		—		689,157
Other investments
Hedge funds	—		156,839		479,130		635,969
Direct lending funds	—		—		79,283		79,283
Real estate funds	—		—		4,369		4,369
CLO - Equities	—		—		80,698		80,698
	—		156,839		643,480		800,319
Short-term investments	—		7,152		—		7,152
Derivative instruments (see Note 6)	—		2,573		35		2,608
Insurance-linked securities	—		—		25,012		25,012
Total Assets	$	2,402,066	$	10,520,101	$	741,676	$	13,663,843
Liabilities
Derivative instruments (see Note 6)	$	—	$	9,345	$	6,962	$	16,307
Cash settled awards (see Note 8)	—		22,837		—		22,837
Total Liabilities	$	—	$	32,182	$	6,962	$	39,144

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 September 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	$	34,996		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	2.6 - 4.1 years	3.3 years

Derivatives - Weather derivatives, net	$	(6,927	)	Simulation model	Weather curve	30 - 2830⁽¹⁾	n/a⁽²⁾
					Weather standard deviation	78 - 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 September 30, 2015
Fixed maturities
Corporate debt	$	43,008	$	—	$	—		$	(2	)	$	300		$	22,821	$	—	$	(4,403	)	$	61,724	$	—
CMBS	21,900		—		(9,902		)	—			(219		)	—		—		(461		)	11,318		—
ABS	110		—		—			—			—			—		—		(3		)	107		—
	65,018		—		(9,902		)	(2		)	81			22,821		—		(4,867		)	73,149		—
Other investments
Hedge funds	524,736		—		—			(20,606		)	—			—		—		(25,000		)	479,130		(20,606		)
Direct lending funds	73,628		—		—			2,337			—			4,610		—		(1,292		)	79,283		2,337
Real estate funds	3,000		—		—			(1,131		)	—			2,500		—		—			4,369		(1,131		)
CLO - Equities	90,814		—		—			(3,938		)	—			—		—		(6,178		)	80,698		(3,938		)
	692,178		—		—			(23,338		)	—			7,110		—		(32,470		)	643,480		(23,338		)
Other assets
Derivative instruments	240		—		—			35			—			—		—		(240		)	35		35
Insurance-linked securities	24,837		—		—			175			—			—		—		—			25,012		175
	25,077		—		—			210			—			—		—		(240		)	25,047		210
Total assets	$	782,273	$	—	$	(9,902	)	$	(23,130	)	$	81		$	29,931	$	—	$	(37,577	)	$	741,676	$	(23,128	)

Other liabilities
Derivative instruments	$	818	$	—	$	—		$	(331	)	$	—		$	6,475	$	—	$	—		$	6,962	$	(331	)
Total liabilities	$	818	$	—	$	—		$	(331	)	$	—		$	6,475	$	—	$	—		$	6,962	$	(331	)

Nine months ended September 30, 2015
Fixed maturities
Corporate debt	$	15,837	$	—	$	—		$	(2	)	$	724		$	54,445	$	—	$	(9,280	)	$	61,724	$	—
CMBS	17,763		5,072		(9,902		)	—			(543		)	—		—		(1,072		)	11,318		—
ABS	40,031		—		(39,851		)	—			105			—		—		(178		)	107		—
	73,631		5,072		(49,753		)	(2		)	286			54,445		—		(10,530		)	73,149		—
Other investments
Hedge funds	470,918		—		—			6,688			—			32,000		—		(30,476		)	479,130		6,688
Direct lending funds	54,438		—		—			3,844			—			24,091		—		(3,090		)	79,283		3,844
Real estate funds	—		—		—			(1,131		)	—			5,500		—		—			4,369		(1,131		)
CLO - Equities	92,488		—		—			7,259			—			—		—		(19,049		)	80,698		7,259
	617,844		—		—			16,660			—			61,591		—		(52,615		)	643,480		16,660
Other assets
Derivative instruments	111		—		—			(792		)	—			—		—		716			35		35
Insurance-linked securities	—		—		—			12			—			25,000		—		—			25,012		12
	111		—		—			(780		)	—			25,000		—		716			25,047		47
Total assets	$	691,586	$	5,072	$	(49,753	)	$	15,878		$	286		$	141,036	$	—	$	(62,429	)	$	741,676	$	16,707

Other liabilities
Derivative instruments	$	15,288	$	—	$	—		$	(12,053	)	$	—		$	8,698	$	—	$	(4,971	)	$	6,962	$	(318	)
Total liabilities	$	15,288	$	—	$	—		$	(12,053	)	$	—		$	8,698	$	—	$	(4,971	)	$	6,962	$	(318	)



	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	$	—	$	—	$	—		$	—		$	—		$	—	$	—	$	—		$	—	$	—
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
Real estate funds	—		—		—			—			—			—		—		—			—		—
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
Insurance-linked securities	—		—		—			—			—			—		—		—			—		—
	—		—		—			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	$	—	$	—	$	—		$	—		$	—		$	—	$	—	$	—		$	—	$	—
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
Real estate funds	—		—		—			—			—			—		—		—			—		—
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
Insurance-linked securities	—		—		—			—			—			—		—		—			—		—
	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.