FAIR VALUE MEASUREMENTS (TABLES)

6 Months Ended

Jun. 30, 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 June 30, 2014
Assets
Fixed maturities
U.S. government and agency	$	1,435,966	$	162,354	$	—	$	1,598,320
Non-U.S. government	—		1,247,667		—		1,247,667
Corporate debt	—		4,263,974		—		4,263,974
Agency RMBS	—		2,105,579		—		2,105,579
CMBS	—		935,761		3,933		939,694
Non-Agency RMBS	—		84,946		—		84,946
ABS	—		1,276,042		30,883		1,306,925
Municipals	—		1,051,792		—		1,051,792
	1,435,966		11,128,115		34,816		12,598,897
Equity securities
Common stocks	385,002		—		—		385,002
Exchange-traded funds	235,372		—		—		235,372
Non-U.S. bond mutual funds	—		124,386		—		124,386
	620,374		124,386		—		744,760
Other investments
Hedge funds	—		443,111		476,808		919,919
Direct lending funds	—		—		33,467		33,467
CLO - Equities	—		—		91,106		91,106
	—		443,111		601,381		1,044,492
Short-term investments	—		100,166		—		100,166
Derivative instruments (see Note 5)	—		9,191		—		9,191
Total Assets	$	2,056,340	$	11,804,969	$	636,197	$	14,497,506
Liabilities
Derivative instruments (see Note 5)	$	—	$	2,283	$	750	$	3,033
Cash settled awards (see Note 7)	—		8,656		—		8,656
Total Liabilities	$	—	$	10,939	$	750	$	11,689

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	$	30,091		Discounted cash flow	Credit spreads	3.0% - 4.7%	3.5%
					Illiquidity discount⁽¹⁾	5.0%	5.0%
	792			Broker-dealer quote	n/a	n/a	n/a
	$	30,883

Other investments - CLO - Equities	$	37,719		Discounted cash flow	Default rates	4.0% - 5.0%	4.3%
					Loss severity rate	53.5%	53.5%
					Collateral spreads	2.6% - 3.5%	3.3%
					Estimated maturity dates	3.5 - 4.5 years	4.0 years
	53,387			Net asset value	n/a	n/a	n/a
	$	91,106

Derivatives - Weather derivatives, net	$	(750	)	Simulation model	Weather curve	21 - 106⁽²⁾	n/a⁽³⁾
					Weather standard deviation	12 - 58⁽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. 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 June 30, 2014
Fixed maturities
Corporate debt	$	—	$	—	$	—	$	—		$	—		$	—	$	—	$	—		$	—	$	—
Non-Agency RMBS	—		—		—		—			—			—		—		—			—		—
CMBS	3,969		—		—		—			(23		)	—		—		(13		)	3,933		—
ABS	30,724		—		—		—			273			—		—		(114		)	30,883		—
	34,693		—		—		—			250			—		—		(127		)	34,816		—
Other investments
Hedge funds	464,666		—		—		12,746			—			3,000		—		(3,604		)	476,808		12,746
Direct lending funds	26,003		—		—		367			—			7,300		—		(203		)	33,467		367
CLO - Equities	86,179		—		—		5,181			—			6,422		—		(6,676		)	91,106		5,181
	576,848		—		—		18,294			—			16,722		—		(10,483		)	601,381		18,294
Other assets
Derivative instruments	1,707		—		—		293			—			—		—		(2,000		)	—		—
	1,707		—		—		293			—			—		—		(2,000		)	—		—
Total assets	$	613,248	$	—	$	—	$	18,587		$	250		$	16,722	$	—	$	(12,610	)	$	636,197	$	18,294

Other liabilities
Derivative instruments	$	—	$	—	$	—	$	(90	)	$	—		$	840	$	—	$	—		$	750	$	(90	)
Total liabilities	$	—	$	—	$	—	$	(90	)	$	—		$	840	$	—	$	—		$	750	$	(90	)

Six months ended June 30, 2014
Fixed maturities
Corporate debt	$	—	$	—	$	—	$	—		$	—		$	—	$	—	$	—		$	—	$	—
Non-Agency RMBS	—		—		—		—			—			—		—		—			—		—
CMBS	4,018		—		—		—			(43		)	—		—		(42		)	3,933		—
ABS	30,799		128		—		—			178			—		—		(222		)	30,883		—
	34,817		128		—		—			135			—		—		(264		)	34,816		—
Other investments
Hedge funds	461,055		—		—		20,923			—			7,500		—		(12,670		)	476,808		20,923
Direct lending funds	22,134		—		—		919			—			10,745		—		(331		)	33,467		919
CLO - Equities	73,866		—		—		11,331			—			19,267		—		(13,358		)	91,106		11,331
	557,055		—		—		33,173			—			37,512		—		(26,359		)	601,381		33,173
Other assets
Derivative instruments	984		—		—		5,011			—			—		—		(5,995		)	—		—
	984		—		—		5,011			—			—		—		(5,995		)	—		—
Total assets	$	592,856	$	128	$	—	$	38,184		$	135		$	37,512	$	—	$	(32,618	)	$	636,197	$	33,173

Other liabilities
Derivative instruments	$	815	$	—	$	—	$	896		$	—		$	840	$	—	$	(1,801	)	$	750	$	(90	)
Total liabilities	$	815	$	—	$	—	$	896		$	—		$	840	$	—	$	(1,801	)	$	750	$	(90	)



	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, 2013
Fixed maturities
Corporate debt	$	—	$	—	$	—		$	—		$	—		$	—	$	—		$	—		$	—	$	—
Non-Agency RMBS	1,300		—		(1,223		)	—			(77		)	—		—			—			—		—
CMBS	12,600		—		—			—			(69		)	—		—			(746		)	11,785		—
ABS	266,749		—		(213,212		)	—			693			—		—			(105		)	54,125		—
	280,649		—		(214,435		)	—			547			—		—			(851		)	65,910		—
Other investments
Hedge funds	414,716		29,953		—			6,962			—			—		—			(7,411		)	444,220		6,962
Direct lending funds	2,436		—		—			—			—			1,796		—			—			4,232		—
CLO - Equities	64,255		—		—			5,072			—			—		—			(16,283		)	53,044		5,072
	481,407		29,953		—			12,034			—			1,796		—			(23,694		)	501,496		12,034
Other assets
Derivative instruments	—		—		—			—			—			—		—			—			—		—
	—		—		—			—			—			—		—			—			—		—
Total assets	$	762,056	$	29,953	$	(214,435	)	$	12,034		$	547		$	1,796	$	—		$	(24,545	)	$	567,406	$	12,034

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

Six months ended June 30, 2013
Fixed maturities
Corporate debt	$	1,550	$	—	$	—		$	1,550		$	—		$	—	$	(3,100	)	$	—		$	—	$	—
Non-Agency RMBS	1,110		—		(1,223		)	—			135			—		—			(22		)	—		—
CMBS	4,296		8,382		—			—			(147		)	—		—			(746		)	11,785		—
ABS	63,975		—		(213,212		)	(112		)	981			212,889		(10,190		)	(206		)	54,125		—
	70,931		8,382		(214,435		)	1,438			969			212,889		(13,290		)	(974		)	65,910		—
Other investments
Hedge funds	359,996		29,953		—			25,490			—			50,000		—			(21,219		)	444,220		25,490
Direct lending funds	—		—		—			—			—			4,232		—			—			4,232		—
CLO - Equities	62,435		—		—			15,025			—			—		—			(24,416		)	53,044		15,025
	422,431		29,953		—			40,515			—			54,232		—			(45,635		)	501,496		40,515
Other assets
Derivative instruments	—		—		—			—			—			—		—			—			—		—
	—		—		—			—			—			—		—			—			—		—
Total assets	$	493,362	$	38,335	$	(214,435	)	$	41,953		$	969		$	267,121	$	(13,290	)	$	(46,609	)	$	567,406	$	40,515

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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