FAIR VALUE MEASUREMENTS (TABLES)

6 Months Ended

Jun. 30, 2016

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 June 30, 2016
Assets
Fixed maturities
U.S. government and agency	$	1,483,577	$	31,801	$	—	$	—	$	1,515,378
Non-U.S. government	—		642,815		—		—		642,815
Corporate debt	—		4,340,269		62,022		—		4,402,291
Agency RMBS	—		2,383,582		—		—		2,383,582
CMBS	—		1,070,825		10,210		—		1,081,035
Non-Agency RMBS	—		85,358		—		—		85,358
ABS	—		1,297,890		—		—		1,297,890
Municipals	—		154,867		—		—		154,867
	1,483,577		10,007,407		72,232		—		11,563,216
Equity securities
Common stocks	87		—		—		—		87
Exchange-traded funds	491,319		—		—		—		491,319
Bond mutual funds	—		134,965		—		—		134,965
	491,406		134,965		—		—		626,371
Other investments
Hedge funds	—		—		—		532,233		532,233
Direct lending funds	—		—		—		120,962		120,962
Private equity funds	—		—		—		93,722		93,722
Real estate funds	—		—		—		10,851		10,851
Other privately held investments	—		—		41,755		—		41,755
CLO - Equities	—		—		65,883		—		65,883
	—		—		107,638		757,768		865,406
Short-term investments	—		41,086		—		—		41,086
Other assets
Derivative instruments (see Note 5)	—		6,734		5		—		6,739
Insurance-linked securities	—		—		25,025		—		25,025
Total Assets	$	1,974,983	$	10,190,192	$	204,900	$	757,768	$	13,127,843
Liabilities
Derivative instruments (see Note 5)	$	—	$	4,542	$	1,978	$	—	$	6,520
Cash settled awards (see Note 7)	—		29,650		—		—		29,650
Total Liabilities	$	—	$	34,192	$	1,978	$	—	$	36,170

	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, 2015
Assets
Fixed maturities
U.S. government and agency	$	1,632,355	$	19,594	$	—	$	—	$	1,651,949
Non-U.S. government	—		739,005		—		—		739,005
Corporate debt	—		4,324,251		38,518		—		4,362,769
Agency RMBS	—		2,249,236		—		—		2,249,236
CMBS	—		1,072,376		10,922		—		1,083,298
Non-Agency RMBS	—		101,008		—		—		101,008
ABS	—		1,371,270		—		—		1,371,270
Municipals	—		161,214		—		—		161,214
	1,632,355		10,037,954		49,440		—		11,719,749
Equity securities
Common stocks	—		—		—		—		—
Exchange-traded funds	473,973		—		—		—		473,973
Bond mutual funds	—		124,025		—		—		124,025
	473,973		124,025		—		—		597,998
Other investments
Hedge funds	—		—		—		656,773		656,773
Direct lending funds	—		—		—		90,120		90,120
Private equity funds	—		—		—		—		—
Real estate funds	—		—		—		4,929		4,929
Other privately held investments	—		—		—		—		—
CLO - Equities	—		—		27,257		37,677		64,934
	—		—		27,257		789,499		816,756
Short-term investments	—		34,406		—		—		34,406
Other assets
Derivative instruments (see Note 5)	—		2,072		4,395		—		6,467
Insurance-linked securities	—		—		24,925		—		24,925
Total Assets	$	2,106,328	$	10,198,457	$	106,017	$	789,499	$	13,200,301
Liabilities
Derivative instruments (see Note 5)	$	—	$	7,692	$	10,937	$	—	$	18,629
Cash settled awards (see Note 7)	—		33,215		—		—		33,215
Total Liabilities	$	—	$	40,907	$	10,937	$	—	$	51,844

LEVEL 3 FAIR VALUE MEASUREMENT INPUTS

Except for hedge funds, direct lending funds, private equity funds and real estate funds priced using NAV as a practical expedient and 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 we have used in estimating fair value at June 30,2016 for our investments classified as Level 3 in the fair value hierarchy.

	Fair Value			Valuation Technique	Unobservable Input	Range	Weighted Average
Other investments - CLO - Equities	$	39,940		Discounted cash flow	Default rates	4.0%	4.0%
					Loss severity rate	35.0% - 53.5%	36.5%
					Collateral spreads	3.2% - 4.0%	3.9%
					Estimated maturity dates	3 - 7 years	7 years
	25,943			Liquidation value	Fair value of collateral	100%	100%
					Discount margin	0.7% - 19.9%	4.2%
Derivatives - Weather derivatives, net	$	(1,973	)	Simulation model	Weather curve	1 - 1914(1)	n/a (2)
					Weather standard deviation	1 - 230(1)	n/a (2)

(1) 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.

(2) 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, 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 earnings (1)			Included in OCI (2)			Purchases		Sales			Settlements/ Distributions			Closing Balance		Change in unrealized investment gain/(loss) (3)
Three months ended June 30, 2016
Fixed maturities
Corporate debt	$	40,250	$	20,412	$	—		$	(981	)	$	1,164		$	3,723	$	(2,105	)	$	(441	)	$	62,022	$	—
CMBS	10,551		—		—			—			58			—		—			(399		)	10,210		—
ABS	—		—		—			—			—			—		—			—			—		—
	50,801		20,412		—			(981		)	1,222			3,723		(2,105		)	(840		)	72,232		—
Other investments
Other privately held investments	36,712		—		—			(1,150		)	—			6,193		—			—			41,755		(1,150		)
CLO - Equities	60,371		—		—			10,028			—			—		—			(4,516		)	65,883		10,028
	97,083		—		—			8,878			—			6,193		—			(4,516		)	107,638		8,878
Other assets
Derivative instruments	5,977		—		—			(358		)	—			446		—			(6,060		)	5		5
Insurance-linked securities	24,916		—		—			109			—			—		—			—			25,025		109
	30,893		—		—			(249		)	—			446		—			(6,060		)	25,030		114
Total assets	$	178,777	$	20,412	$	—		$	7,648		$	1,222		$	10,362	$	(2,105	)	$	(11,416	)	$	204,900	$	8,992
Other liabilities
Derivative instruments	$	15,028	$	—	$	—		$	(809	)	$	—		$	1,830	$	—		$	(14,071	)	$	1,978	$	110
Total liabilities	$	15,028	$	—	$	—		$	(809	)	$	—		$	1,830	$	—		$	(14,071	)	$	1,978	$	110
Six months ended June 30, 2016
Fixed maturities
Corporate debt	$	38,518	$	20,412	$	(1,955	)	$	(979	)	$	1,088		$	9,544	$	(4,015	)	$	(591	)	$	62,022	$	—
CMBS	10,922		—		—			—			(86		)	—		—			(626		)	10,210		—
ABS	—		—		—			—			—			—		—			—			—		—
	49,440		20,412		(1,955		)	(979		)	1,002			9,544		(4,015		)	(1,217		)	72,232		—
Other investments
Other privately held investments	—		—		—			(1,150		)	—			42,905		—			—			41,755		(1,150		)
CLO - Equities	27,257		36,378		—			9,012			—			—		—			(6,764		)	65,883		9,012
	27,257		36,378		—			7,862			—			42,905		—			(6,764		)	107,638		7,862
Other assets
Derivative instruments	4,395		—		—			2,590			—			1,805		—			(8,785		)	5		5
Insurance-linked securities	24,925		—		—			100			—			—		—			—			25,025		100
	29,320		—		—			2,690			—			1,805		—			(8,785		)	25,030		105
Total assets	$	106,017	$	56,790	$	(1,955	)	$	9,573		$	1,002		$	54,254	$	(4,015	)	$	(16,766	)	$	204,900	$	7,967
Other liabilities
Derivative instruments	$	10,937	$	—	$	—		$	2,614		$	—		$	805	$	—		$	(12,378	)	$	1,978	$	111
Total liabilities	$	10,937	$	—	$	—		$	2,614		$	—		$	805	$	—		$	(12,378	)	$	1,978	$	111

	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, 2015
Fixed maturities
Corporate debt	$	26,857	$	—	$	—		$	—		$	244		$	20,714	$	—	$	(4,807	)	$	43,008	$	—
CMBS	17,061		5,072		—			—			(120		)	—		—		(113		)	21,900		—
ABS	39,921		—		(39,851		)	—			43			—		—		(3		)	110		—
	83,839		5,072		(39,851		)	—			167			20,714		—		(4,923		)	65,018		—
Other investments
Other privately held investments	—		—		—			—			—			—		—		—			—		—
CLO - Equities	36,960		—		—			3,208			—			—		—		(3,247		)	36,921		3,208
	36,960		—		—			3,208			—			—		—		(3,247		)	36,921		3,208
Other assets
Derivative instruments	—		—		—			240			—			—		—		—			240		240
Insurance-linked securities	25,000		—		—			(163		)	—			—		—		—			24,837		(163		)
	25,000		—		—			77			—			—		—		—			25,077		77
Total assets	$	145,799	$	5,072	$	(39,851	)	$	3,285		$	167		$	20,714	$	—	$	(8,170	)	$	127,016	$	3,285
Other liabilities
Derivative instruments	$	7,308	$	—	$	—		$	(3,171	)	$	—		$	1,141	$	—	$	(4,460	)	$	818	$	13
Total liabilities	$	7,308	$	—	$	—		$	(3,171	)	$	—		$	1,141	$	—	$	(4,460	)	$	818	$	13
Six months ended June 30, 2015
Fixed maturities
Corporate debt	$	15,837	$	—	$	—		$	—		$	424		$	31,624	$	—	$	(4,877	)	$	43,008	$	—
CMBS	17,763		5,072		—			—			(324		)	—		—		(611		)	21,900		—
ABS	40,031		—		(39,851		)	—			105			—		—		(175		)	110		—
	73,631		5,072		(39,851		)	—			205			31,624		—		(5,663		)	65,018		—
Other investments
Other privately held investments	—		—		—			—			—			—		—		—			—		—
CLO - Equities	37,046		—		—			6,738			—			—		—		(6,863		)	36,921		6,738
	37,046		—		—			6,738			—			—		—		(6,863		)	36,921		6,738
Other assets
Derivative instruments	111		—		—			(827		)	—			—		—		956			240		240
Insurance-linked securities	—		—		—			(163		)	—			25,000		—		—			24,837		(163		)
	111		—		—			(990		)	—			25,000		—		956			25,077		77
Total assets	$	110,788	$	5,072	$	(39,851	)	$	5,748		$	205		$	56,624	$	—	$	(11,570	)	$	127,016	$	6,815
Other liabilities
Derivative instruments	$	15,288	$	—	$	—		$	(11,722	)	$	—		$	2,223	$	—	$	(4,971	)	$	818	$	13
Total liabilities	$	15,288	$	—	$	—		$	(11,722	)	$	—		$	2,223	$	—	$	(4,971	)	$	818	$	13

(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.

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 earnings (1)			Included in OCI (2)			Purchases		Sales			Settlements/ Distributions			Closing Balance		Change in unrealized investment gain/(loss) (3)
Three months ended June 30, 2016
Fixed maturities
Corporate debt	$	40,250	$	20,412	$	—		$	(981	)	$	1,164		$	3,723	$	(2,105	)	$	(441	)	$	62,022	$	—
CMBS	10,551		—		—			—			58			—		—			(399		)	10,210		—
ABS	—		—		—			—			—			—		—			—			—		—
	50,801		20,412		—			(981		)	1,222			3,723		(2,105		)	(840		)	72,232		—
Other investments
Other privately held investments	36,712		—		—			(1,150		)	—			6,193		—			—			41,755		(1,150		)
CLO - Equities	60,371		—		—			10,028			—			—		—			(4,516		)	65,883		10,028
	97,083		—		—			8,878			—			6,193		—			(4,516		)	107,638		8,878
Other assets
Derivative instruments	5,977		—		—			(358		)	—			446		—			(6,060		)	5		5
Insurance-linked securities	24,916		—		—			109			—			—		—			—			25,025		109
	30,893		—		—			(249		)	—			446		—			(6,060		)	25,030		114
Total assets	$	178,777	$	20,412	$	—		$	7,648		$	1,222		$	10,362	$	(2,105	)	$	(11,416	)	$	204,900	$	8,992
Other liabilities
Derivative instruments	$	15,028	$	—	$	—		$	(809	)	$	—		$	1,830	$	—		$	(14,071	)	$	1,978	$	110
Total liabilities	$	15,028	$	—	$	—		$	(809	)	$	—		$	1,830	$	—		$	(14,071	)	$	1,978	$	110
Six months ended June 30, 2016
Fixed maturities
Corporate debt	$	38,518	$	20,412	$	(1,955	)	$	(979	)	$	1,088		$	9,544	$	(4,015	)	$	(591	)	$	62,022	$	—
CMBS	10,922		—		—			—			(86		)	—		—			(626		)	10,210		—
ABS	—		—		—			—			—			—		—			—			—		—
	49,440		20,412		(1,955		)	(979		)	1,002			9,544		(4,015		)	(1,217		)	72,232		—
Other investments
Other privately held investments	—		—		—			(1,150		)	—			42,905		—			—			41,755		(1,150		)
CLO - Equities	27,257		36,378		—			9,012			—			—		—			(6,764		)	65,883		9,012
	27,257		36,378		—			7,862			—			42,905		—			(6,764		)	107,638		7,862
Other assets
Derivative instruments	4,395		—		—			2,590			—			1,805		—			(8,785		)	5		5
Insurance-linked securities	24,925		—		—			100			—			—		—			—			25,025		100
	29,320		—		—			2,690			—			1,805		—			(8,785		)	25,030		105
Total assets	$	106,017	$	56,790	$	(1,955	)	$	9,573		$	1,002		$	54,254	$	(4,015	)	$	(16,766	)	$	204,900	$	7,967
Other liabilities
Derivative instruments	$	10,937	$	—	$	—		$	2,614		$	—		$	805	$	—		$	(12,378	)	$	1,978	$	111
Total liabilities	$	10,937	$	—	$	—		$	2,614		$	—		$	805	$	—		$	(12,378	)	$	1,978	$	111

	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, 2015
Fixed maturities
Corporate debt	$	26,857	$	—	$	—		$	—		$	244		$	20,714	$	—	$	(4,807	)	$	43,008	$	—
CMBS	17,061		5,072		—			—			(120		)	—		—		(113		)	21,900		—
ABS	39,921		—		(39,851		)	—			43			—		—		(3		)	110		—
	83,839		5,072		(39,851		)	—			167			20,714		—		(4,923		)	65,018		—
Other investments
Other privately held investments	—		—		—			—			—			—		—		—			—		—
CLO - Equities	36,960		—		—			3,208			—			—		—		(3,247		)	36,921		3,208
	36,960		—		—			3,208			—			—		—		(3,247		)	36,921		3,208
Other assets
Derivative instruments	—		—		—			240			—			—		—		—			240		240
Insurance-linked securities	25,000		—		—			(163		)	—			—		—		—			24,837		(163		)
	25,000		—		—			77			—			—		—		—			25,077		77
Total assets	$	145,799	$	5,072	$	(39,851	)	$	3,285		$	167		$	20,714	$	—	$	(8,170	)	$	127,016	$	3,285
Other liabilities
Derivative instruments	$	7,308	$	—	$	—		$	(3,171	)	$	—		$	1,141	$	—	$	(4,460	)	$	818	$	13
Total liabilities	$	7,308	$	—	$	—		$	(3,171	)	$	—		$	1,141	$	—	$	(4,460	)	$	818	$	13
Six months ended June 30, 2015
Fixed maturities
Corporate debt	$	15,837	$	—	$	—		$	—		$	424		$	31,624	$	—	$	(4,877	)	$	43,008	$	—
CMBS	17,763		5,072		—			—			(324		)	—		—		(611		)	21,900		—
ABS	40,031		—		(39,851		)	—			105			—		—		(175		)	110		—
	73,631		5,072		(39,851		)	—			205			31,624		—		(5,663		)	65,018		—
Other investments
Other privately held investments	—		—		—			—			—			—		—		—			—		—
CLO - Equities	37,046		—		—			6,738			—			—		—		(6,863		)	36,921		6,738
	37,046		—		—			6,738			—			—		—		(6,863		)	36,921		6,738
Other assets
Derivative instruments	111		—		—			(827		)	—			—		—		956			240		240
Insurance-linked securities	—		—		—			(163		)	—			25,000		—		—			24,837		(163		)
	111		—		—			(990		)	—			25,000		—		956			25,077		77
Total assets	$	110,788	$	5,072	$	(39,851	)	$	5,748		$	205		$	56,624	$	—	$	(11,570	)	$	127,016	$	6,815
Other liabilities
Derivative instruments	$	15,288	$	—	$	—		$	(11,722	)	$	—		$	2,223	$	—	$	(4,971	)	$	818	$	13
Total liabilities	$	15,288	$	—	$	—		$	(11,722	)	$	—		$	2,223	$	—	$	(4,971	)	$	818	$	13

(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.