FAIR VALUE MEASUREMENTS (TABLES)

3 Months Ended

Mar. 31, 2014

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 March 31, 2014
Assets
Fixed maturities
U.S. government and agency	$	1,462,834	$	221,168	$	—	$	1,684,002
Non-U.S. government	—		1,229,806		—		1,229,806
Corporate debt	—		3,835,565		—		3,835,565
Agency RMBS	—		2,364,758		—		2,364,758
CMBS	—		855,626		3,969		859,595
Non-Agency RMBS	—		99,489		—		99,489
ABS	—		932,822		30,724		963,546
Municipals	—		1,059,078		—		1,059,078
	1,462,834		10,598,312		34,693		12,095,839
Equity securities
Common stocks	428,234		—		—		428,234
Exchange-traded funds	153,859		—		—		153,859
Non-U.S. bond mutual funds	—		126,319		—		126,319
	582,093		126,319		—		708,412
Other investments
Hedge funds	—		428,914		464,666		893,580
Direct lending funds	—		—		26,003		26,003
CLO - Equities	—		—		86,179		86,179
	—		428,914		576,848		1,005,762
Short-term investments	—		296,800		—		296,800
Derivative instruments (see Note 5)	—		5,904		1,707		7,611
Total Assets	$	2,044,927	$	11,456,249	$	613,248	$	14,114,424
Liabilities
Derivative instruments (see Note 5)	$	—	$	2,131	$	—	$	2,131
Cash settled awards (see Note 7)	—		4,541		—		4,541
Total Liabilities	$	—	$	6,672	$	—	$	6,672

At December 31, 2013
Assets
Fixed maturities
U.S. government and agency	$	1,119,632	$	269,066	$	—	$	1,388,698
Non-U.S. government	—		1,176,382		—		1,176,382
Corporate debt	—		3,608,238		—		3,608,238
Agency RMBS	—		2,448,827		—		2,448,827
CMBS	—		793,396		4,018		797,414
Non-Agency RMBS	—		67,567		—		67,567
ABS	—		922,652		30,799		953,451
Municipals	—		1,545,750		—		1,545,750
	1,119,632		10,831,878		34,817		11,986,327
Equity securities
Common stocks	438,318		—		—		438,318
Exchange-traded funds	138,847		—		—		138,847
Non-U.S. bond mutual funds	—		124,822		—		124,822
	577,165		124,822		—		701,987
Other investments
Hedge funds	—		488,755		461,055		949,810
Direct lending funds	—		—		22,134		22,134
CLO - Equities	—		—		73,866		73,866
	—		488,755		557,055		1,045,810
Short-term investments	—		46,212		—		46,212
Derivative instruments (see Note 5)	—		6,824		984		7,808
Total Assets	$	1,696,797	$	11,498,491	$	592,856	$	13,788,144
Liabilities
Derivative instruments (see Note 5)	$	—	$	1,152	$	815	$	1,967
Cash settled awards (see Note 7)	—		8,693		—		8,693
Total Liabilities	$	—	$	9,845	$	815	$	10,660

LEVEL 3 FAIR VALUE MEASUREMENT INPUTS [Table Text Block]



	Fair Value		Valuation Technique	Unobservable Input	Range	Weighted Average

ABS - CLO Debt	$	29,911	Discounted cash flow	Credit spreads	3.6% - 4.4%	3.8%
				Illiquidity discount⁽¹⁾	5.0%	5.0%
	813		Broker-dealer quote	n/a	n/a	n/a
	$	30,724

Other investments - CLO - Equities	$	38,542	Discounted cash flow	Default rates	4.0% - 5.0%	4.3%
				Loss severity rate	53.5%	53.5%
				Collateral spreads	2.6% - 3.4%	3.3%
				Estimated maturity dates	3.4 - 4.5 years	4.1 years
	47,637		Net asset value	n/a	n/a	n/a
	$	86,179

Derivatives - Weather derivatives, net	$	1,707	Simulation model	Weather curve	5,100⁽²⁾	n/a⁽³⁾
				Weather standard deviation	55⁽²⁾	n/a⁽³⁾

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

(2) 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.


(3)	Due to the diversity of the portfolio, the range of unobservable inputs can be widespread; therefore, presentation of a weighted average is not useful. The current period reflects one open contract. 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 [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 March 31, 2014
Fixed maturities
Corporate debt	$	—	$	—	$	—	$	—	$	—		$	—	$	—	$	—		$	—	$	—
Non-Agency RMBS	—		—		—		—		—			—		—		—			—		—
CMBS	4,018		—		—		—		(20		)	—		—		(29		)	3,969		—
ABS	30,799		128		—		—		(95		)	—		—		(108		)	30,724		—
	34,817		128		—		—		(115		)	—		—		(137		)	34,693		—
Other investments
Hedge funds	461,055		—		—		8,177		—			4,500		—		(9,066		)	464,666		8,177
Direct lending funds	22,134		—		—		552		—			3,445		—		(128		)	26,003		552
CLO - Equities	73,866		—		—		6,150		—			12,845		—		(6,682		)	86,179		6,150
	557,055		—		—		14,879		—			20,790		—		(15,876		)	576,848		14,879
Other assets
Derivative instruments	984		—		—		4,718		—			—		—		(3,995		)	1,707		1,540
	984		—		—		4,718		—			—		—		(3,995		)	1,707		1,540
Total assets	$	592,856	$	128	$	—	$	19,597	$	(115	)	$	20,790	$	—	$	(20,008	)	$	613,248	$	16,419

Other liabilities
Derivative instruments	815		—		—		986		—			—		—		(1,801		)	—		—
Total liabilities	$	815	$	—	$	—	$	986	$	—		$	—	$	—	$	(1,801	)	$	—	$	—



	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, 2013
Fixed maturities
Corporate debt	$	1,550	$	—	$	—	$	1,550		$	—		$	—	$	(3,100	)	$	—		$	—	$	—
Non-Agency RMBS	1,110		—		—		—			213			—		—			(23		)	1,300		—
CMBS	4,296		8,382		—		—			(78		)	—		—			—			12,600		—
ABS	63,975		—		—		(112		)	288			212,889		(10,190		)	(101		)	266,749		—
	70,931		8,382		—		1,438			423			212,889		(13,290		)	(124		)	280,649		—
Other investments
Hedge funds	359,996		—		—		18,528			—			52,436		—			(13,808		)	417,152		18,528
Direct lending funds	—		—		—		—			—			—		—			—			—		—
CLO - Equities	62,435		—		—		9,953			—			—		—			(8,133		)	64,255		9,953
	422,431		—		—		28,481			—			52,436		—			(21,941		)	481,407		28,481
Other assets
Derivative instruments	—		—		—		—			—			—		—			—			—		—
	—		—		—		—			—			—		—			—			—		—
Total assets	$	493,362	$	8,382	$	—	$	29,919		$	423		$	265,325	$	(13,290	)	$	(22,065	)	$	762,056	$	28,481

Other liabilities
Derivative instruments	—		—		—		—			—			—		—			—			—		—
Total liabilities	$	—	$	—	$	—	$	—		$	—		$	—	$	—		$	—		$	—	$	—


(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.

- 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.

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