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FAIR VALUE MEASUREMENTS (TABLES)

9 Months Ended

Sep. 30, 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 September 30, 2016
	Assets
	Fixed maturities
	U.S. government and agency	$	1,522,246			$	40,631			$	—			$	—			$	1,562,877
	Non-U.S. government	—				582,056				—				—				582,056
	Corporate debt	—				4,499,408				69,092				—				4,568,500
	Agency RMBS	—				2,522,731				—				—				2,522,731
	CMBS	—				885,355				8,920				—				894,275
	Non-Agency RMBS	—				71,830				—				—				71,830
	ABS	—				1,235,596				—				—				1,235,596
	Municipals	—				128,995				—				—				128,995
		1,522,246				9,966,602				78,012				—				11,566,860
	Equity securities
	Common stocks	69				—				—				—				69
	Exchange-traded funds	504,206				—				—				—				504,206
	Bond mutual funds	—				140,069				—				—				140,069
		504,275				140,069				—				—				644,344
	Other investments
	Hedge funds	—				—				—				514,625				514,625
	Direct lending funds	—				—				—				125,002				125,002
	Private equity funds	—				—				—				89,170				89,170
	Real estate funds	—				—				—				11,782				11,782
	Other privately held investments	—				—				42,900				—				42,900
	CLO - Equities	—				—				63,783				—				63,783
		—				—				106,683				740,579				847,262
	Short-term investments	—				39,877				—				—				39,877
	Other assets
	Derivative instruments (see Note 5)	—				4,469				2,488				—				6,957
	Insurance-linked securities	—				—				25,283				—				25,283
	Total Assets	$	2,026,521			$	10,151,017			$	212,466			$	740,579			$	13,130,583
	Liabilities
	Derivative instruments (see Note 5)	$	—			$	4,411			$	8,184			$	—			$	12,595
	Cash settled awards (see Note 7)	—				34,288				—				—				34,288
	Total Liabilities	$	—			$	38,699			$	8,184			$	—			$	46,883

		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
	Other privately held investments	—				—				—				—				—
	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
	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 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, 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	$	35,594		Discounted cash flow	Default rates	4.0%	4.0%
						Loss severity rate	35.0% - 53.5%	35.4%
						Collateral spreads	3.6% - 4.0%	4.0%
						Estimated maturity dates	2 - 6 years	6 years
		28,189			Liquidation value	Fair value of collateral	100%	100%
						Discount margin	0.1% - 19.1%	2.4%
	Other investments - Other privately held investments	42,900			Discounted cash flow	Discount rate	5.0% - 8.0%	7.2%
	Derivatives - Weather derivatives, net	$	(5,696	)	Simulation model	Weather curve	1 - 2294(1)	n/a (2)
						Weather standard deviation	1 - 1029(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, LIABILITIES

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, 2016
	Fixed maturities
	Corporate debt	$	62,022			$	—			$	—			$	(9	)		$	100			$	7,563			$	—			$	(584	)		$	69,092			$	—
	CMBS	10,210				—				—				—				(48		)		—				—				(1,242		)		8,920				—
	ABS	—				—				—				—				—				—				—				—				—				—
		72,232				—				—				(9		)		52				7,563				—				(1,826		)		78,012				—
	Other investments
	Other privately held investments	41,755				—				—				(355		)		—				1,500				—				—				42,900				(355		)
	CLO - Equities	65,883				—				—				8,419				—				—				—				(10,519		)		63,783				8,419
		107,638				—				—				8,064				—				1,500				—				(10,519		)		106,683				8,064
	Other assets
	Derivative instruments	5				—				—				665				—				1,818				—				—				2,488				665
	Insurance-linked securities	25,025				—				—				258				—				—				—				—				25,283				258
		25,030				—				—				923				—				1,818				—				—				27,771				923
	Total assets	$	204,900			$	—			$	—			$	8,978			$	52			$	10,881			$	—			$	(12,345	)		$	212,466			$	8,987
	Other liabilities
	Derivative instruments	$	1,978			$	—			$	—			$	(169	)		$	—			$	6,384			$	—			$	(9	)		$	8,184			$	335
	Total liabilities	$	1,978			$	—			$	—			$	(169	)		$	—			$	6,384			$	—			$	(9	)		$	8,184			$	335
	Nine months ended September 30, 2016
	Fixed maturities
	Corporate debt	$	38,518			$	20,412			$	(1,955	)		$	(988	)		$	1,188			$	17,107			$	(4,015	)		$	(1,175	)		$	69,092			$	—
	CMBS	10,922				—				—				—				(134		)		—				—				(1,868		)		8,920				—
	ABS	—				—				—				—				—				—				—				—				—				—
		49,440				20,412				(1,955		)		(988		)		1,054				17,107				(4,015		)		(3,043		)		78,012				—
	Other investments
	Other privately held investments	—				—				—				(1,505		)		—				44,405				—				—				42,900				(1,505		)
	CLO - Equities	27,257				36,378				—				17,431				—				—				—				(17,283		)		63,783				17,431
		27,257				36,378				—				15,926				—				44,405				—				(17,283		)		106,683				15,926
	Other assets
	Derivative instruments	4,395				—				—				3,255				—				3,623				—				(8,785		)		2,488				669
	Insurance-linked securities	24,925				—				—				358				—				—				—				—				25,283				358
		29,320				—				—				3,613				—				3,623				—				(8,785		)		27,771				1,027
	Total assets	$	106,017			$	56,790			$	(1,955	)		$	18,551			$	1,054			$	65,135			$	(4,015	)		$	(29,111	)		$	212,466			$	16,953
	Other liabilities
	Derivative instruments	$	10,937			$	—			$	—			$	2,445			$	—			$	7,189			$	—			$	(12,387	)		$	8,184			$	457
	Total liabilities	$	10,937			$	—			$	—			$	2,445			$	—			$	7,189			$	—			$	(12,387	)		$	8,184			$	457

		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
	Other privately held investments	—				—				—				—				—				—				—				—				—				—
	CLO - Equities	36,921				—				—				1,192				—				—				—				(3,118		)		34,995				1,192
		36,921				—				—				1,192				—				—				—				(3,118		)		34,995				1,192
	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	$	127,016			$	—			$	(9,902	)		$	1,400			$	81			$	22,821			$	—			$	(8,225	)		$	133,191			$	1,402
	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
	Other privately held investments	—				—				—				—				—				—				—				—				—				—
	CLO - Equities	37,046				—				—				7,930				—				—				—				(9,981		)		34,995				7,930
		37,046				—				—				7,930				—				—				—				(9,981		)		34,995				7,930
	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	$	110,788			$	5,072			$	(49,753	)		$	7,148			$	286			$	79,445			$	—			$	(19,795	)		$	133,191			$	7,977
	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	)

(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.

CHANGES IN LEVEL 3 FINANCIAL INSTRUMENTS MEASURED AT FAIR VALUE ON A RECURRING BASIS, ASSETS

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, 2016
	Fixed maturities
	Corporate debt	$	62,022			$	—			$	—			$	(9	)		$	100			$	7,563			$	—			$	(584	)		$	69,092			$	—
	CMBS	10,210				—				—				—				(48		)		—				—				(1,242		)		8,920				—
	ABS	—				—				—				—				—				—				—				—				—				—
		72,232				—				—				(9		)		52				7,563				—				(1,826		)		78,012				—
	Other investments
	Other privately held investments	41,755				—				—				(355		)		—				1,500				—				—				42,900				(355		)
	CLO - Equities	65,883				—				—				8,419				—				—				—				(10,519		)		63,783				8,419
		107,638				—				—				8,064				—				1,500				—				(10,519		)		106,683				8,064
	Other assets
	Derivative instruments	5				—				—				665				—				1,818				—				—				2,488				665
	Insurance-linked securities	25,025				—				—				258				—				—				—				—				25,283				258
		25,030				—				—				923				—				1,818				—				—				27,771				923
	Total assets	$	204,900			$	—			$	—			$	8,978			$	52			$	10,881			$	—			$	(12,345	)		$	212,466			$	8,987
	Other liabilities
	Derivative instruments	$	1,978			$	—			$	—			$	(169	)		$	—			$	6,384			$	—			$	(9	)		$	8,184			$	335
	Total liabilities	$	1,978			$	—			$	—			$	(169	)		$	—			$	6,384			$	—			$	(9	)		$	8,184			$	335
	Nine months ended September 30, 2016
	Fixed maturities
	Corporate debt	$	38,518			$	20,412			$	(1,955	)		$	(988	)		$	1,188			$	17,107			$	(4,015	)		$	(1,175	)		$	69,092			$	—
	CMBS	10,922				—				—				—				(134		)		—				—				(1,868		)		8,920				—
	ABS	—				—				—				—				—				—				—				—				—				—
		49,440				20,412				(1,955		)		(988		)		1,054				17,107				(4,015		)		(3,043		)		78,012				—
	Other investments
	Other privately held investments	—				—				—				(1,505		)		—				44,405				—				—				42,900				(1,505		)
	CLO - Equities	27,257				36,378				—				17,431				—				—				—				(17,283		)		63,783				17,431
		27,257				36,378				—				15,926				—				44,405				—				(17,283		)		106,683				15,926
	Other assets
	Derivative instruments	4,395				—				—				3,255				—				3,623				—				(8,785		)		2,488				669
	Insurance-linked securities	24,925				—				—				358				—				—				—				—				25,283				358
		29,320				—				—				3,613				—				3,623				—				(8,785		)		27,771				1,027
	Total assets	$	106,017			$	56,790			$	(1,955	)		$	18,551			$	1,054			$	65,135			$	(4,015	)		$	(29,111	)		$	212,466			$	16,953
	Other liabilities
	Derivative instruments	$	10,937			$	—			$	—			$	2,445			$	—			$	7,189			$	—			$	(12,387	)		$	8,184			$	457
	Total liabilities	$	10,937			$	—			$	—			$	2,445			$	—			$	7,189			$	—			$	(12,387	)		$	8,184			$	457

		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
	Other privately held investments	—				—				—				—				—				—				—				—				—				—
	CLO - Equities	36,921				—				—				1,192				—				—				—				(3,118		)		34,995				1,192
		36,921				—				—				1,192				—				—				—				(3,118		)		34,995				1,192
	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	$	127,016			$	—			$	(9,902	)		$	1,400			$	81			$	22,821			$	—			$	(8,225	)		$	133,191			$	1,402
	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
	Other privately held investments	—				—				—				—				—				—				—				—				—				—
	CLO - Equities	37,046				—				—				7,930				—				—				—				(9,981		)		34,995				7,930
		37,046				—				—				7,930				—				—				—				(9,981		)		34,995				7,930
	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	$	110,788			$	5,072			$	(49,753	)		$	7,148			$	286			$	79,445			$	—			$	(19,795	)		$	133,191			$	7,977
	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	)

(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
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-Section 50
-Paragraph 2
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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

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Tabular disclosure of the fair value measurement of liabilities using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes 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 liability.

+ References

Reference 1: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Accounting Standards Codification
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-SubTopic 10
-Section 50
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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).

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