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FAIR VALUE MEASUREMENTS (Tables)

3 Months Ended

Mar. 31, 2018

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, 2018
	Assets
	Fixed maturities
	U.S. government and agency	$	1,769,810			$	27,155			$	—			$	—			$	1,796,965
	Non-U.S. government	—				661,224				—				—				661,224
	Corporate debt	—				4,596,960				43,471				—				4,640,431
	Agency RMBS	—				1,914,845				—				—				1,914,845
	CMBS	—				1,030,621				—				—				1,030,621
	Non-Agency RMBS	—				41,397				—				—				41,397
	ABS	—				1,566,698				—				—				1,566,698
	Municipals	—				149,215				—				—				149,215
		1,769,810				9,988,115				43,471				—				11,801,396
	Equity securities
	Common stocks	23,942				—				—				—				23,942
	Exchange-traded funds	262,630				—				—				—				262,630
	Bond mutual funds	—				149,170				—				—				149,170
		286,572				149,170				—				—				435,742
	Other investments
	Hedge funds (1)	—				—				—				346,467				346,467
	Direct lending funds	—				—				—				261,902				261,902
	Private equity funds	—				—				—				65,811				65,811
	Real estate funds	—				—				—				54,720				54,720
	Other privately held investments	—				—				48,787				—				48,787
	CLO-Equities	—				—				28,556				—				28,556
	Overseas deposits	—				203,344				—				—				203,344
		—				203,344				77,343				728,900				1,009,587
	Short-term investments	—				56,246				—				—				56,246
	Other assets
	Derivative instruments (see Note 5)	—				5,283				—				—				5,283
	Insurance-linked securities	—				—				25,000				—				25,000
	Total Assets	$	2,056,382			$	10,402,158			$	145,814			$	728,900			$	13,333,254
	Liabilities
	Derivative instruments (see Note 5)	$	—			$	3,439			$	10,942			$	—			$	14,381
	Cash settled awards (see Note 8)	—				8,789				—				—				8,789
	Total Liabilities	$	—			$	12,228			$	10,942			$	—			$	23,170

(1) Includes Long/short equity, Multi-strategy and Event-driven funds.

		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, 2017
	Assets
	Fixed maturities
	U.S. government and agency	$	1,658,622			$	53,847			$	—			$	—			$	1,712,469
	Non-U.S. government	—				806,299				—				—				806,299
	Corporate debt	—				5,244,969				52,897				—				5,297,866
	Agency RMBS	—				2,395,152				—				—				2,395,152
	CMBS	—				777,728				—				—				777,728
	Non-Agency RMBS	—				46,831				—				—				46,831
	ABS	—				1,436,281				—				—				1,436,281
	Municipals	—				149,380				—				—				149,380
		1,658,622				10,910,487				52,897				—				12,622,006
	Equity securities
	Common stocks	25,658				—				—				—				25,658
	Exchange-traded funds	427,633				—				—				—				427,633
	Bond mutual funds	—				182,220				—				—				182,220
		453,291				182,220				—				—				635,511
	Other investments
	Hedge funds (1)	—				—				—				363,811				363,811
	Direct lending funds	—				—				—				250,681				250,681
	Private equity funds	—				—				—				68,812				68,812
	Real estate funds	—				—				—				50,009				50,009
	Other privately held investments	—				—				46,430				—				46,430
	CLO-Equities	—				—				31,413				—				31,413
	Overseas deposits	—				198,217				—				—				198,217
		—				198,217				77,843				733,313				1,009,373
	Short-term investments	—				83,661				—				—				83,661
	Other assets
	Derivative instruments (see Note 5)	—				5,125				—				—				5,125
	Insurance-linked securities	—				—				25,090				—				25,090
	Total Assets	$	2,111,913			$	11,379,710			$	155,830			$	733,313			$	14,380,766
	Liabilities
	Derivative instruments (see Note 5)	$	—			$	2,876			$	11,510			$	—			$	14,386
	Cash settled awards (see Note 8)	—				21,535				—				—				21,535
	Total Liabilities	$	—			$	24,411			$	11,510			$	—			$	35,921

(1) Includes Long/short equity, Multi-strategy and Event-driven funds.

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 used in estimating fair values at March 31, 2018 for investments classified as Level 3 in the fair value hierarchy.

		Fair Value			Valuation Technique	Unobservable Input	Range	Weighted Average
	Other investments - CLO-Equities	$	27,118		Discounted cash flow	Default rates	3.0%	3.0%
						Loss severity rate	35.0%	35.0%
						Collateral spreads	3.0%	3.0%
						Estimated maturity dates	7 years	7 years
		$	1,438		Liquidation value	Fair value of collateral	100%	100%
						Discount margin	0.1% - 12.0%	2.1%
	Other investments - Other privately held investments	$	48,787		Discounted cash flow	Discount rate	3.0% - 8.5%	7.2%
	Derivatives - Other underwriting-related derivatives	$	(10,942	)	Discounted cash flow	Discount rate	2.7%	2.7%

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 net income(1)				Included in OCI (2)				Purchases				Sales				Settlements/ Distributions				Closing Balance				Change in unrealized investment gains/(losses) (3)
	Three months ended March 31, 2018
	Fixed maturities
	Corporate debt	$	52,897			$	—			$	(4,279	)		$	(118	)		$	1,403			$	—			$	(2,536	)		$	(3,896	)		$	43,471			$	—
	CMBS	—				—				—				—				—				—				—				—				—				—
	ABS	—				—				—				—				—				—				—				—				—				—
		52,897				—				(4,279		)		(118		)		1,403				—				(2,536		)		(3,896		)		43,471				—
	Other investments
	Other privately held investments	46,430				—				—				746				—				3,111				(1,500		)		—				48,787				746
	CLO - Equities	31,413				—				—				1,616				—				—				—				(4,473		)		28,556				1,616
		77,843				—				—				2,362				—				3,111				(1,500		)		(4,473		)		77,343				2,362
	Other assets
	Derivative instruments	—				—				—				—				—				—				—				—				—				—
	Insurance-linked securities	25,090				—				—				(90		)		—				—				—				—				25,000				(90		)
		25,090				—				—				(90		)		—				—				—				—				25,000				(90		)
	Total assets	$	155,830			$	—			$	(4,279	)		$	2,154			$	1,403			$	3,111			$	(4,036	)		$	(8,369	)		$	145,814			$	2,272
	Other liabilities
	Derivative instruments	$	11,510			$	—			$	—			$	(568	)		$	—			$	—			$	—			$	—			$	10,942			$	(568	)
	Total liabilities	$	11,510			$	—			$	—			$	(568	)		$	—			$	—			$	—			$	—			$	10,942			$	(568	)

		Opening Balance				Transfers into Level 3				Transfers out of Level 3				Included in net income(1)				Included in OCI (2)				Purchases				Sales				Settlements/ Distributions				Closing Balance				Change in unrealized investment gains/(losses) (3)
	Three months ended March 31, 2017
	Fixed maturities
	Corporate debt	$	75,875			$	—			$	—			$	58			$	(47	)		$	5,964			$	(15,720	)		$	(2,342	)		$	63,788			$	—
	CMBS	3,061				—				—				—				(3		)		9,400				—				(2,645		)		9,813				—
	ABS	17,464				—				(18,948		)		—				1,484				—				—				—				—				—
		96,400				—				(18,948		)		58				1,434				15,364				(15,720		)		(4,987		)		73,601				—
	Other investments
	Other privately held investments	42,142				—				—				236				—				—				—				—				42,378				236
	CLO - Equities	60,700				—				—				1,029				—				—				—				(7,337		)		54,392				1,029
		102,842				—				—				1,265				—				—				—				(7,337		)		96,770				1,265
	Other assets
	Derivative instruments	2,532				—				—				755				—				—				—				(90		)		3,197				755
	Insurance-linked securities	25,023				—				—				3				—				—				—				—				25,026				3
		27,555				—				—				758				—				—				—				(90		)		28,223				758
	Total assets	$	226,797			$	—			$	(18,948	)		$	2,081			$	1,434			$	15,364			$	(15,720	)		$	(12,414	)		$	198,594			$	2,023
	Other liabilities
	Derivative instruments	$	6,500			$	—			$	—			$	8,686			$	—			$	—			$	—			$	1,435			$	16,621			$	7,335
	Total liabilities	$	6,500			$	—			$	—			$	8,686			$	—			$	—			$	—			$	1,435			$	16,621			$	7,335

(1) Realized gains (losses) on fixed maturities, and realized and unrealized gains (losses) on other assets and other liabilities included in net income are included in net investment gains (losses). Realized and unrealized gains and (losses) on other investments included in net income are included in net investment income.

(2) Unrealized gains (losses) on fixed maturities are included in other comprehensive income ("OCI").

(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, 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 net income(1)				Included in OCI (2)				Purchases				Sales				Settlements/ Distributions				Closing Balance				Change in unrealized investment gains/(losses) (3)
	Three months ended March 31, 2018
	Fixed maturities
	Corporate debt	$	52,897			$	—			$	(4,279	)		$	(118	)		$	1,403			$	—			$	(2,536	)		$	(3,896	)		$	43,471			$	—
	CMBS	—				—				—				—				—				—				—				—				—				—
	ABS	—				—				—				—				—				—				—				—				—				—
		52,897				—				(4,279		)		(118		)		1,403				—				(2,536		)		(3,896		)		43,471				—
	Other investments
	Other privately held investments	46,430				—				—				746				—				3,111				(1,500		)		—				48,787				746
	CLO - Equities	31,413				—				—				1,616				—				—				—				(4,473		)		28,556				1,616
		77,843				—				—				2,362				—				3,111				(1,500		)		(4,473		)		77,343				2,362
	Other assets
	Derivative instruments	—				—				—				—				—				—				—				—				—				—
	Insurance-linked securities	25,090				—				—				(90		)		—				—				—				—				25,000				(90		)
		25,090				—				—				(90		)		—				—				—				—				25,000				(90		)
	Total assets	$	155,830			$	—			$	(4,279	)		$	2,154			$	1,403			$	3,111			$	(4,036	)		$	(8,369	)		$	145,814			$	2,272
	Other liabilities
	Derivative instruments	$	11,510			$	—			$	—			$	(568	)		$	—			$	—			$	—			$	—			$	10,942			$	(568	)
	Total liabilities	$	11,510			$	—			$	—			$	(568	)		$	—			$	—			$	—			$	—			$	10,942			$	(568	)

		Opening Balance				Transfers into Level 3				Transfers out of Level 3				Included in net income(1)				Included in OCI (2)				Purchases				Sales				Settlements/ Distributions				Closing Balance				Change in unrealized investment gains/(losses) (3)
	Three months ended March 31, 2017
	Fixed maturities
	Corporate debt	$	75,875			$	—			$	—			$	58			$	(47	)		$	5,964			$	(15,720	)		$	(2,342	)		$	63,788			$	—
	CMBS	3,061				—				—				—				(3		)		9,400				—				(2,645		)		9,813				—
	ABS	17,464				—				(18,948		)		—				1,484				—				—				—				—				—
		96,400				—				(18,948		)		58				1,434				15,364				(15,720		)		(4,987		)		73,601				—
	Other investments
	Other privately held investments	42,142				—				—				236				—				—				—				—				42,378				236
	CLO - Equities	60,700				—				—				1,029				—				—				—				(7,337		)		54,392				1,029
		102,842				—				—				1,265				—				—				—				(7,337		)		96,770				1,265
	Other assets
	Derivative instruments	2,532				—				—				755				—				—				—				(90		)		3,197				755
	Insurance-linked securities	25,023				—				—				3				—				—				—				—				25,026				3
		27,555				—				—				758				—				—				—				(90		)		28,223				758
	Total assets	$	226,797			$	—			$	(18,948	)		$	2,081			$	1,434			$	15,364			$	(15,720	)		$	(12,414	)		$	198,594			$	2,023
	Other liabilities
	Derivative instruments	$	6,500			$	—			$	—			$	8,686			$	—			$	—			$	—			$	1,435			$	16,621			$	7,335
	Total liabilities	$	6,500			$	—			$	—			$	8,686			$	—			$	—			$	—			$	1,435			$	16,621			$	7,335

(1) Realized gains (losses) on fixed maturities, and realized and unrealized gains (losses) on other assets and other liabilities included in net income are included in net investment gains (losses). Realized and unrealized gains and (losses) on other investments included in net income are included in net investment income.

(2) Unrealized gains (losses) on fixed maturities are included in other comprehensive income ("OCI").

(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=66048111&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=66048111&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 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
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 3
-URI http://asc.fasb.org/extlink&oid=66048111&loc=d3e19279-110258

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-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
-Subparagraph (c)
-URI http://asc.fasb.org/extlink&oid=66048111&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=66048111&loc=d3e19190-110258

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