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FAIR VALUE MEASUREMENTS (TABLES)

12 Months Ended

Dec. 31, 2015

Fair Value Disclosures [Abstract]

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 December 31, 2015
	Assets
	Fixed maturities
	U.S. government and agency	$	1,632,355			$	19,594			$	—			$	1,651,949
	Non-U.S. government	—				739,005				—				739,005
	Corporate debt	—				4,324,251				38,518				4,362,769
	Agency RMBS	—				2,249,236				—				2,249,236
	CMBS	—				1,072,376				10,922				1,083,298
	Non-Agency RMBS	—				101,008				—				101,008
	ABS	—				1,371,270				—				1,371,270
	Municipals	—				161,214				—				161,214
		1,632,355				10,037,954				49,440				11,719,749
	Equity securities
	Exchange-traded funds	473,973				—				—				473,973
	Bond mutual funds	—				124,025				—				124,025
		473,973				124,025				—				597,998
	Other investments
	Hedge funds	—				181,632				475,141				656,773
	Direct lending funds	—				—				90,120				90,120
	Real estate funds	—				—				4,929				4,929
	CLO-Equities	—				—				64,934				64,934
		—				181,632				635,124				816,756
	Short-term investments	—				34,406				—				34,406
	Derivative instruments (see Note 7)	—				2,072				4,395				6,467
	Insurance-linked securities	—				—				24,925				24,925
	Total Assets	$	2,106,328			$	10,380,089			$	713,884			$	13,200,301
	Liabilities
	Derivative instruments (see Note 7)	$	—			$	7,692			$	10,937			$	18,629
	Cash settled awards (see Note 16)	—				33,215				—				33,215
	Total Liabilities	$	—			$	40,907			$	10,937			$	51,844
	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 7)	—				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 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

LEVEL 3 FAIR VALUE MEASUREMENT INPUTS

Except for hedge funds, direct lending funds, real estate 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 December 31, 2015 for our investments classified as Level 3 in the fair value hierarchy.

		Fair Value			Valuation Technique	Unobservable Input	Range	Weighted Average
	Other investments - CLO Equities	$	3,238		Discounted cash flow	Default rates	4.0%	4.0%
						Loss severity rate	53.5%	53.5%
						Collateral spreads	3.2% - 3.5%	3.3%
						Estimated maturity dates	2.6 - 4.1 years	3.8 years
		$	24,019		Liquidation value	Fair value of collateral	100%	100%
						Discount margin	2.2% - 16.3%	5.0%
	Derivatives - Weather derivatives, net	$	(6,542	)	Simulation model	Weather curve	30 - 2,462(1)	n/a (2)
						Weather standard deviation	65 - 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 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

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)
	Year ended December 31, 2015
	Fixed maturities
	Corporate debt	$	15,837			$	—			$	(7,903	)		$	(49	)		$	88			$	39,225			$	(1,723	)		$	(6,957	)		$	38,518			$	—
	CMBS	17,763				5,072				(9,902		)		—				(647		)		—				—				(1,364		)		10,922				—
	ABS	40,031				—				(39,951		)		—				102				—				—				(182		)		—				—
		73,631				5,072				(57,756		)		(49		)		(457		)		39,225				(1,723		)		(8,503		)		49,440				—
	Other investments
	Hedge funds	470,918				—				(23,813		)		16,013				—				42,500				—				(30,477		)		475,141				9,773
	Direct lending funds	54,438				—				—				4,509				—				35,564				—				(4,391		)		90,120				4,509
	Real estate funds	—				—				—				(571		)		—				5,500				—				—				4,929				(571		)
	CLO-Equities	92,488				—				—				(1,740		)		—				—				—				(25,814		)		64,934				(1,740		)
		617,844				—				(23,813		)		18,211				—				83,564				—				(60,682		)		635,124				11,971
	Other assets
	Derivative instruments	111				—				—				2,555				—				1,865				—				(136		)		4,395				3,580
	Insurance-linked securities	—				—				—				(75		)		—				25,000				—				—				24,925				(75		)
		111				—				—				2,480				—				26,865				—				(136		)		29,320				3,505
	Total assets	$	691,586			$	5,072			$	(81,569	)		$	20,642			$	(457	)		$	149,654			$	(1,723	)		$	(69,321	)		$	713,884			$	15,476
	Other liabilities
	Derivative instruments	15,288				—				—				(3,208		)		—				4,795				—				(5,938		)		10,937				8,337
	Total liabilities	$	15,288			$	—			$	—			$	(3,208	)		$	—			$	4,795			$	—			$	(5,938	)		$	10,937			$	8,337
	Year ended December 31, 2014
	Fixed maturities
	Corporate debt	$	—			$	—			$	—			$	—			$	(95	)		$	15,957			$	—			$	(25	)		$	15,837			$	—
	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
	Real estate funds	—				—				—				—				—				—				—				—				—				—
	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
	Insurance-linked securities	—				—				—				—				—				—				—				—				—				—
		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

(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.

X

- 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.

+ References

Reference 1: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
-Subparagraph (c)
-URI http://asc.fasb.org/extlink&oid=36462937&loc=d3e19207-110258

Reference 2: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 3
-URI http://asc.fasb.org/extlink&oid=36462937&loc=d3e19279-110258

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Tabular disclosure of quantitative information about the inputs used in the fair value measurement of assets. This disclosure may include, but is not limited to, the fair value of the asset, valuation technique used to measure fair value, the inputs used to measure fair value, the ranges of the inputs, and the weighted averages of the inputs.

+ References

Reference 1: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
-Subparagraph (bbb)
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Tabular disclosure of assets and liabilities, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, that are measured at fair value on a recurring basis. The disclosures contemplated herein include the fair value measurements at the reporting date by the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3).

+ References

Reference 1: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 1
-URI http://asc.fasb.org/extlink&oid=36462937&loc=d3e19190-110258

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