FAIR VALUE MEASUREMENTS (TABLES)

6 Months Ended

Jun. 30, 2012

FINANCIAL INSTRUMENTS MEASURED AT FAIR VALUE ON A RECURRING BASIS [Table Text Block]



	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 June 30, 2012
Assets
Fixed maturities
U.S. government and agency	$	821,103	$	315,051	$	—	$	1,136,154
Non-U.S. government	—		1,262,543		—		1,262,543
Corporate debt	—		3,641,822		1,550		3,643,372
Agency RMBS	—		2,790,157		—		2,790,157
CMBS	—		623,396		—		623,396
Non-Agency RMBS	—		147,595		—		147,595
ABS	—		619,663		49,944		669,607
Municipals	—		1,231,624		—		1,231,624
	821,103		10,631,851		51,494		11,504,448
Equity securities
Common stocks	409,038		—		—		409,038
Exchange-traded funds	129,984		—		—		129,984
Non-U.S. bond mutual funds	—		92,709		—		92,709
	539,022		92,709		—		631,731
Other investments
Hedge funds	—		349,026		305,730		654,756
Credit funds	—		33,119		48,792		81,911
CLO-Equities	—		—		61,566		61,566
	—		382,145		416,088		798,233
Short-term investments	—		71,277		—		71,277
Other assets (see Note 5)	—		6,146		—		6,146
Total	$	1,360,125	$	11,184,128	$	467,582	$	13,011,835
Liabilities
Other liabilities (see Note 5)	$	—	$	9,571	$	—	$	9,571

At December 31, 2011
Assets
Fixed maturities
U.S. government and agency	$	765,519	$	382,748	$	—	$	1,148,267
Non-U.S. government	—		1,212,451		—		1,212,451
Corporate debt	—		3,608,041		1,550		3,609,591
Agency RMBS	—		2,636,634		—		2,636,634
CMBS	—		312,691		—		312,691
Non-Agency RMBS	—		165,713		—		165,713
ABS	—		582,714		49,328		632,042
Municipals	—		1,222,711		—		1,222,711
	765,519		10,123,703		50,878		10,940,100
Equity securities
Common stocks	347,455		—		—		347,455
Exchange-traded funds	213,981		—		—		213,981
Non-U.S. bond mutual funds	—		116,124		—		116,124
	561,436		116,124		—		677,560
Other investments
Hedge funds	—		248,208		296,101		544,309
Credit funds	—		38,308		50,143		88,451
CLO-Equities	—		—		66,560		66,560
	—		286,516		412,804		699,320
Short-term investments	—		149,909		—		149,909
Other assets (see Note 5)	—		38,175		—		38,175
Total	$	1,326,955	$	10,714,427	$	463,682	$	12,505,064
Liabilities
Other liabilities (see Note 5)	$	—	$	2,035	$	—	$	2,035

LEVEL 3 FAIR VALUE MEASUREMENT INPUTS [Table Text Block]



	Fair Value		Valuation Technique	Unobservable Input	Range	Weighted Average

ABS - CLO Debt	$	48,905	Discounted cash flow	Credit spreads	7.0% - 9.2%	7.7%
				Illiquidity discount⁽¹⁾	5.0% - 20.0%	7.2%

Other investments - CLO - Equities	$	61,566	Discounted cash flow	Default rates	4.0% - 5.0%	4.4%
				Loss severity rate	53.5%	53.5%
				Collateral spreads	2.6% - 4.2%	3.2%
				Estimated maturity dates	2.1 - 6.4 years	5.2 years

(1) Judgmentally determined based on limited trades of similar securities observed in the secondary markets.

CHANGES IN LEVEL 3 FINANCIAL INSTRUMENTS MEASURED AT FAIR VALUE ON A RECURRING BASIS [Table Text Block]



	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 June 30, 2012
Fixed maturities
Corporate debt	$	1,550	$	—	$	—	$	—		$	—	$	—	$	—	$	—		$	1,550	$	—
Non-Agency RMBS	—		—		—		—			—		—		—		—			—		—
ABS	50,415		—		—		—			164		—		—		(635		)	49,944		—
	51,965		—		—		—			164		—		—		(635		)	51,494		—
Other investments
Hedge funds	314,603		—		—		(8,870		)	—		—		—		(3		)	305,730		(8,870		)
Credit funds	50,183		—		—		(1,391		)	—		—		—		—			48,792		(1,391		)
CLO-Equities	60,908		—		—		9,634			—		—		—		(8,976		)	61,566		9,634
	425,694		—		—		(627		)	—		—		—		(8,979		)	416,088		(627		)
Total assets	$	477,659	$	—	$	—	$	(627	)	$	164	$	—	$	—	$	(9,614	)	$	467,582	$	(627	)

Six months ended June 30, 2012
Fixed maturities
Corporate debt	$	1,550	$	—	$	—	$	—		$	—	$	—	$	—	$	—		$	1,550	$	—
Non-Agency RMBS	—		—		—		—			—		—		—		—			—		—
ABS	49,328		—		—		—			1,427		—		—		(811		)	49,944		—
	50,878		—		—		—			1,427		—		—		(811		)	51,494		—
Other investments
Hedge funds	296,101		—		—		9,632			—		—		—		(3		)	305,730		9,632
Credit funds	50,143		—		—		1,639			—		—		—		(2,990		)	48,792		1,639
CLO-Equities	66,560		—		—		13,024			—		—		—		(18,018		)	61,566		13,024
	412,804		—		—		24,295			—		—		—		(21,011		)	416,088		24,295
Total assets	$	463,682	$	—	$	—	$	24,295		$	1,427	$	—	$	—	$	(21,822	)	$	467,582	$	24,295


(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.


(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.



	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 June 30, 2011
Fixed maturities
Corporate debt	$	1,550	$	—	$	—		$	—		$	—	$	—	$	—		$	—		$	1,550	$	—
Non-Agency RMBS	11,606		—		—			—			18		—		—			(356		)	11,268		—
ABS	43,178		—		—			—			1,555		—		—			—			44,733		—
	56,334		—		—			—			1,573		—		—			(356		)	57,551		—
Other investments
Hedge funds	389,645		—		—			(457		)	—		75,000		—			(2,609		)	461,579		(457		)
Credit funds	104,207		—		—			255			—		—		—			(5,668		)	98,794		255
CLO-Equities	60,261		—		—			11,713			—		—		—			(8,697		)	63,277		11,713
	554,113		—		—			11,511			—		75,000		—			(16,974		)	623,650		11,511
Total assets	$	610,447	$	—	$	—		$	11,511		$	1,573	$	75,000	$	—		$	(17,330	)	$	681,201	$	11,511

Six months ended June 30, 2011
Fixed maturities
Corporate debt	$	1,550	$	—	$	—		$	—		$	—	$	—	$	—		$	—		$	1,550	$	—
Non-Agency RMBS	19,678		—		(7,509		)	—			72		—		—			(973		)	11,268		—
ABS	43,178		—		—			—			1,555		—		—			—			44,733		—
	64,406		—		(7,509		)	—			1,627		—		—			(973		)	57,551		—
Other investments
Hedge funds	358,277		—		—			7,496			—		120,000		(21,585		)	(2,609		)	461,579		7,496
Credit funds	104,756		—		—			5,184			—		—		(5,478		)	(5,668		)	98,794		5,416
CLO-Equities	56,263		—		—			23,862			—		—		—			(16,848		)	63,277		23,862
	519,296		—		—			36,542			—		120,000		(27,063		)	(25,125		)	623,650		36,774
Total assets	$	583,702	$	—	$	(7,509	)	$	36,542		$	1,627	$	120,000	$	(27,063	)	$	(26,098	)	$	681,201	$	36,774


(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.


(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.

- 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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