FAIR VALUE MEASUREMENTS (TABLES)

9 Months Ended

Sep. 30, 2011

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		Significant		Significant
		Active Markets for		Other Observable		Unobservable
		Identical Assets		Inputs		Inputs		Total Fair
		(Level 1)		(Level 2)		(Level 3)		Value
	At September 30, 2011
	Assets
	Fixed maturities
	U.S. government and agency	$	839,376	$	270,067	$	-	$	1,109,443
	Non-U.S. government		-		1,000,578		-		1,000,578
	Corporate debt		-		3,718,550		1,550		3,720,100
	Agency RMBS		-		2,611,069		-		2,611,069
	CMBS		-		283,160		-		283,160
	Non-Agency RMBS		-		167,656		9,130		176,786
	ABS		-		590,305		48,237		638,542
	Municipals		-		1,197,051		-		1,197,051
			839,376		9,838,436		58,917		10,736,729
	Equity securities		488,646		79,235		-		567,881
	Other investments		-		-		643,270		643,270
	Other assets (see Note 6)		-		40,163		-		40,163
	Total	$	1,328,022	$	9,957,834	$	702,187	$	11,988,043

	Liabilities
	Other liabilities (see Note 6)	$	-	$	11,447	$	-	$	11,447

	At December 31, 2010
	Assets
	Fixed maturities
	U.S. government and agency	$	588,281	$	271,839	$	-	$	860,120
	Non-U.S. government		-		772,798		-		772,798
	Corporate debt		-		4,161,358		1,550		4,162,908
	Agency RMBS		-		2,593,582		-		2,593,582
	CMBS		-		474,785		-		474,785
	Non-Agency RMBS		-		224,524		19,678		244,202
	ABS		-		618,665		43,178		661,843
	Municipals		-		712,659		-		712,659
			588,281		9,830,210		64,406		10,482,897
	Equity securities		271,451		77,803		-		349,254
	Other investments		-		-		519,296		519,296
	Other assets (see Note 6)		-		6,641		-		6,641
	Total	$	859,732	$	9,914,654	$	583,702	$	11,358,088

	Liabilities
	Other liabilities (see Note 6)	$	-	$	14,986	$	-	$	14,986


During 2011 and 2010, we had no transfers between Levels 1 and 2.

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

Level 3 financial instruments

The following tables present changes in Level 3 for financial instruments measured at fair value on a recurring basis for the periods indicated:

			Fixed Maturities
			Corporate				Non-Agency						Other		Total
			Debt		CMBS		RMBS		ABS		Total		Investments		Assets

	Three months ended September 30, 2011
	Balance at beginning of period	$	1,550	$	-	$	11,268	$	44,733	$	57,551	$	623,650	$	681,201
	Total net realized and unrealized gains
	included in net income⁽¹⁾		-		-		-		-		-		4,758		4,758
	Total net realized and unrealized losses
	included in net income⁽¹⁾		-		-		-		-		-		(35,410)		(35,410)
	Change in net unrealized gains included
	in other comprehensive income		-		-		37		2,769		2,806		-		2,806
	Change in net unrealized losses included
	in other comprehensive income		-		-		(40)		(558)		(598)		-		(598)
	Purchases		-		-		-		-		-		60,000		60,000
	Sales		-		-		-		-		-		(729)		(729)
	Settlements / distributions		-		-		(610)		-		(610)		(8,999)		(9,609)
	Transfers into Level 3		-		-		-		1,293		1,293		-		1,293
	Transfers out of Level 3		-		-		(1,525)		-		(1,525)		-		(1,525)
	Balance at end of period	$	1,550	$	-	$	9,130	$	48,237	$	58,917	$	643,270	$	702,187

	Level 3 gains (losses) included in
	earnings attributable to the change
	in unrealized gains (losses) relating
	to those assets held at the
	reporting date	$	-	$	-	$	-	$	-	$	-	$	(30,376)	$	(30,376)

	Nine months ended September 30, 2011
	Balance at beginning of period	$	1,550	$	-	$	19,678	$	43,178	$	64,406	$	519,296	$	583,702
	Total net realized and unrealized gains
	included in net income⁽¹⁾		-		-		-		-		-		47,598		47,598
	Total net realized and unrealized losses
	included in net income⁽¹⁾		-		-		-		-		-		(41,709)		(41,709)
	Change in net unrealized gains included
	in other comprehensive income		-		-		124		4,624		4,748		-		4,748
	Change in net unrealized losses included
	in other comprehensive income		-		-		(55)		(858)		(913)		-		(913)
	Purchases		-		-		-		-		-		180,000		180,000
	Sales		-		-		-		-		-		(24,923)		(24,923)
	Settlements / distributions		-		-		(1,583)		-		(1,583)		(36,992)		(38,575)
	Transfers into Level 3		-		-		-		1,293		1,293		-		1,293
	Transfers out of Level 3		-		-		(9,034)		-		(9,034)		-		(9,034)
	Balance at end of period	$	1,550	$	-	$	9,130	$	48,237	$	58,917	$	643,270	$	702,187

	Level 3 gains (losses) included in
	earnings attributable to the change
	in unrealized gains (losses) relating
	to those assets held at the
	reporting date	$	-	$	-	$	-	$	-	$	-	$	6,732	$	6,732

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

			Fixed Maturities
			Corporate				Non-Agency						Other		Total
			Debt		CMBS		RMBS		ABS		Total		Investments		Assets

	Three months ended September 30, 2010
	Balance at beginning of period	$	3,100	$	3,600	$	2,973	$	46,816	$	56,489	$	496,087	$	552,576
	Total net realized and unrealized
	gains included in net income⁽¹⁾		-		-		-		-		-		23,469		23,469
	Total net realized and unrealized
	losses included in net income⁽¹⁾		-		-		-		-		-		-		-
	Change in net unrealized gains
	included in other
	comprehensive income		-		180		92		-		272		-		272
	Change in net unrealized losses
	included in other
	comprehensive income		-		-		(7)		(47)		(54)		-		(54)
	Purchases		-		-		-		-		-		25,000		25,000
	Sales		-		-		-		-		-		(3,588)		(3,588)
	Settlements / distributions		-		-		(207)		(356)		(563)		(7,896)		(8,459)
	Transfers into Level 3		-		-		-		-		-		-		-
	Transfers out of Level 3		-		(3,780)		(2,851)		(4,190)		(10,821)		-		(10,821)
	Balance at end of period	$	3,100	$	-	$	-	$	42,223	$	45,323	$	533,072	$	578,395

	Level 3 gains (losses) included in
	earnings attributable to the
	change in unrealized gains
	(losses) relating to those assets
	and liabilities held at
	the reporting date	$	-	$	-	$	-	$	-	$	-	$	23,469	$	23,469

	Nine months ended September 30, 2010
	Balance at beginning of period	$	18,130	$	2,409	$	6,639	$	43,585	$	70,763	$	520,188	$	590,951
	Total net realized and unrealized
	gains included in net income⁽¹⁾		-		-		-		-		-		35,818		35,818
	Total net realized and unrealized
	losses included in net income⁽¹⁾		(1,550)		(119)		(581)		(1,134)		(3,384)		-		(3,384)
	Change in net unrealized gains
	included in other
	comprehensive income		3,751		1,273		1,238		2,406		8,668		-		8,668
	Change in net unrealized losses
	included in other
	comprehensive income		(34)		(238)		(27)		(71)		(370)		-		(370)
	Purchases		-		3,474		-		4,000		7,474		45,000		52,474
	Sales		(12)		(206)		(211)		(2,004)		(2,433)		(47,992)		(50,425)
	Settlements / distributions		-		(694)		(692)		(369)		(1,755)		(19,942)		(21,697)
	Transfers into Level 3		-		-		780		-		780		-		780
	Transfers out of Level 3		(17,185)		(5,899)		(7,146)		(4,190)		(34,420)		-		(34,420)
	Balance at end of period	$	3,100	$	-	$	-	$	42,223	$	45,323	$	533,072	$	578,395

	Level 3 gains (losses) included in
	earnings attributable to the
	change in unrealized gains
	(losses) relating to those assets
	and liabilities held at
	the reporting date	$	(1,550)	$	-	$	-	$	-	$	(1,550)	$	35,818	$	34,268

(1) Realized gains and losses on fixed maturities are included in net realized investment gains (losses). Realized gains and (losses) on other investments are included in net investment income. Losses on other liabilities are included in other insurance related income (loss).

- 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, 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, issuances, 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.

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