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FAIR VALUE MEASUREMENTS (TABLES)

3 Months Ended

Mar. 31, 2016

Fair Value Disclosures [Abstract]

FINANCIAL INSTRUMENTS MEASURED AT FAIR VALUE ON A RECURRING BASIS

The tables below present the financial instruments measured at fair value on a recurring basis for the periods indicated:

		Quoted Prices in Active Markets for Identical Assets (Level 1)				Significant Other Observable Inputs (Level 2)				Significant Unobservable Inputs (Level 3)				Fair value based on NAV practical expedient				Total Fair Value
	At March 31, 2016
	Assets
	Fixed maturities
	U.S. government and agency	$	1,503,841			$	66,339			$	—			$	—			$	1,570,180
	Non-U.S. government	—				720,723				—				—				720,723
	Corporate debt	—				4,384,792				40,250				—				4,425,042
	Agency RMBS	—				2,421,301				—				—				2,421,301
	CMBS	—				1,096,133				10,551				—				1,106,684
	Non-Agency RMBS	—				95,022				—				—				95,022
	ABS	—				1,343,150				—				—				1,343,150
	Municipals	—				155,966				—				—				155,966
		1,503,841				10,283,426				50,801				—				11,838,068
	Equity securities
	Common stocks	178				—				—				—				178
	Exchange-traded funds	500,668				—				—				—				500,668
	Bond mutual funds	—				136,479				—				—				136,479
		500,846				136,479				—				—				637,325
	Other investments
	Hedge funds	—				—				—				587,206				587,206
	Direct lending funds	—				—				—				112,889				112,889
	Private equity funds	—				—				—				93,783				93,783
	Real estate funds	—				—				—				5,390				5,390
	CLO - Equities	—				—				60,371				—				60,371
		—				—				60,371				799,268				859,639
	Short-term investments	—				29,540				—				—				29,540
	Other assets
	Derivative instruments (see Note 5)	—				5,980				5,977				—				11,957
	Insurance-linked securities	—				—				24,916				—				24,916
	Strategic investments	—				—				36,712				—				36,712
	Total Assets	$	2,004,687			$	10,455,425			$	178,777			$	799,268			$	13,438,157
	Liabilities
	Derivative instruments (see Note 5)	$	—			$	6,841			$	15,028			$	—			$	21,869
	Cash settled awards (see Note 7)	—				22,101				—				—				22,101
	Total Liabilities	$	—			$	28,942			$	15,028			$	—			$	43,970

		Quoted Prices in Active Markets for Identical Assets (Level 1)				Significant Other Observable Inputs (Level 2)				Significant Unobservable Inputs (Level 3)				Fair value based on NAV practical expedient				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
	Common stocks	—				—				—				—				—
	Exchange-traded funds	473,973				—				—				—				473,973
	Bond mutual funds	—				124,025				—				—				124,025
		473,973				124,025				—				—				597,998
	Other investments
	Hedge funds	—				—				—				656,773				656,773
	Direct lending funds	—				—				—				90,120				90,120
	Private equity funds	—				—				—				—				—
	Real estate funds	—				—				—				4,929				4,929
	CLO - Equities	—				—				27,257				37,677				64,934
		—				—				27,257				789,499				816,756
	Short-term investments	—				34,406				—				—				34,406
	Other assets
	Derivative instruments (see Note 5)	—				2,072				4,395				—				6,467
	Insurance-linked securities	—				—				24,925				—				24,925
	Strategic investments	—				—				—				—				—
	Total Assets	$	2,106,328			$	10,198,457			$	106,017			$	789,499			$	13,200,301
	Liabilities
	Derivative instruments (see Note 5)	$	—			$	7,692			$	10,937			$	—			$	18,629
	Cash settled awards (see Note 7)	—				33,215				—				—				33,215
	Total Liabilities	$	—			$	40,907			$	10,937			$	—			$	51,844

LEVEL 3 FAIR VALUE MEASUREMENT INPUTS

Except for hedge funds, direct lending funds, private equity funds and real estate funds 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, 2016 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	$	39,616		Discounted cash flow	Default rates	4.0%	4.0%
						Loss severity rate	35.0% - 53.5%	36.5%
						Collateral spreads	3.2% - 4.0%	3.9%
						Estimated maturity dates	3 - 7 years	7 years
		20,755			Liquidation value	Fair value of collateral	100%	100%
						Discount margin	0.7% - 25.9%	5.5%
	Derivatives - Weather derivatives, net	$	(9,051	)	Simulation model	Weather curve	1 - 2331(1)	n/a (2)
						Weather standard deviation	1 - 165(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, 2016
	Fixed maturities
	Corporate debt	$	38,518			$	—			$	(1,955	)		$	2			$	(76	)		$	5,821			$	(1,910	)		$	(150	)		$	40,250			$	—
	CMBS	10,922				—				—				—				(144		)		—				—				(227		)		10,551				—
	ABS	—				—				—				—				—				—				—				—				—				—
		49,440				—				(1,955		)		2				(220		)		5,821				(1,910		)		(377		)		50,801				—
	Other investments
	CLO - Equities	27,257				36,378				—				(1,016		)		—				—				—				(2,248		)		60,371				(1,016		)
		27,257				36,378				—				(1,016		)		—				—				—				(2,248		)		60,371				(1,016		)
	Other assets
	Derivative instruments	4,395				—				—				2,948				—				1,359				—				(2,725		)		5,977				1,479
	Insurance-linked securities	24,925				—				—				(9		)		—				—				—				—				24,916				(9		)
	Strategic investments	—				—				—				—				—				36,712				—				—				36,712				—
		29,320				—				—				2,939				—				38,071				—				(2,725		)		67,605				1,470
	Total assets	$	106,017			$	36,378			$	(1,955	)		$	1,925			$	(220	)		$	43,892			$	(1,910	)		$	(5,350	)		$	178,777			$	454
	Other liabilities
	Derivative instruments	$	10,937			$	—			$	—			$	3,423			$	—			$	(1,025	)		$	—			$	1,693			$	15,028			$	3,682
	Total liabilities	$	10,937			$	—			$	—			$	3,423			$	—			$	(1,025	)		$	—			$	1,693			$	15,028			$	3,682

		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
	CLO - Equities	37,046				—				—				3,530				—				—				—				(3,616		)		36,960				3,530
		37,046				—				—				3,530				—				—				—				(3,616		)		36,960				3,530
	Other assets
	Derivative instruments	111				—				—				(1,067		)		—				—				—				956				—				—
	Insurance-linked securities	—				—				—				—				—				25,000				—				—				25,000				—
	Strategic investments	—				—				—				—				—				—				—				—				—				—
		111				—				—				(1,067		)		—				25,000				—				956				25,000				—
	Total assets	$	110,788			$	—			$	—			$	2,463			$	38			$	35,910			$	—			$	(3,400	)		$	145,799			$	3,530
	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	)

(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 and liabilities 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 or liability.

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- Definition

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)
-URI http://asc.fasb.org/extlink&oid=36462937&loc=d3e19207-110258

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- Definition

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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