FAIR VALUE MEASUREMENTS (TABLES)

12 Months Ended

Dec. 31, 2016

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 December 31, 2016
Assets
Fixed maturities
U.S. government and agency	$	1,583,106	$	72,963	$	—	$	—	$	1,656,069
Non-U.S. government	—		565,834		—		—		565,834
Corporate debt	—		4,524,868		75,875		—		4,600,743
Agency RMBS	—		2,465,135		—		—		2,465,135
CMBS	—		663,176		3,061		—		666,237
Non-Agency RMBS	—		56,921		—		—		56,921
ABS	—		1,204,750		17,464		—		1,222,214
Municipals	—		163,961		—		—		163,961
	1,583,106		9,717,608		96,400		—		11,397,114
Equity securities
Common stocks	78		—		—		—		78
Exchange-traded funds	514,707		—		—		—		514,707
Bond mutual funds	—		123,959		—		—		123,959
	514,785		123,959		—		—		638,744
Other investments
Hedge funds	—		—		—		498,150		498,150
Direct lending funds	—		—		—		134,650		134,650
Private equity funds	—		—		—		81,223		81,223
Real estate funds	—		—		—		13,354		13,354
Other privately held investments	—		—		42,142		—		42,142
CLO-Equities	—		—		60,700		—		60,700
	—		—		102,842		727,377		830,219
Short-term investments	—		127,461		—		—		127,461
Other assets
Derivative instruments (see Note 7)	—		14,365		2,532		—		16,897
Insurance-linked securities	—		—		25,023		—		25,023
Total Assets	$	2,097,891	$	9,983,393	$	226,797	$	727,377	$	13,035,458
Liabilities
Derivative instruments (see Note 7)	$	—	$	9,076	$	6,500	$	—	$	15,576
Cash settled awards (see Note 16)	—		48,432		—		—		48,432
Total Liabilities	$	—	$	57,508	$	6,500	$	—	$	64,008



	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 7)	—		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 7)	$	—	$	7,692	$	10,937	$	—	$	18,629
Cash settled awards (see Note 16)	—		33,215		—		—		33,215
Total Liabilities	$	—	$	40,907	$	10,937	$	—	$	51,844

LEVEL 3 FAIR VALUE MEASUREMENT INPUTS

Except for certain fixed maturities and insurance-linked securities which are priced using broker-dealer quotes (underlying inputs are not available), the following table quantifies the significant unobservable inputs used in estimating fair values at December 31, 2016 for investments classified as Level 3 in the fair value hierarchy.




	Fair Value			Valuation Technique	Unobservable Input	Range	Weighted Average

Other investments - CLO-Equities	$	34,941		Discounted cash flow	Default rates	4.0%	4.0%
					Loss severity rate	35.0% - 53.5%	35.4%
					Collateral spreads	3.0% - 3.6%	3.0%
					Estimated maturity dates	2 - 6 years	6 years

	$	25,759		Liquidation value	Fair value of collateral	100%	100%
					Discount margin	0.4% - 16.4%	2.0%

Other investments - Other privately held investments	42,142			Discounted cash flow	Discount rate	5.0% - 8.0%	7.2%

Derivatives - Weather derivatives, net	$	(3,968	)	Simulation model	Weather curve	1 - 5,545⁽¹⁾	n/a⁽²⁾
					Weather standard deviation	1 - 1029⁽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 is wide; 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, 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⁾

Year ended December 31, 2016
Fixed maturities
Corporate debt	$	38,518	$	5,733	$	(4,955	)	$	(1,037	)	$	1,296		$	48,298	$	(4,371	)	$	(7,607	)	$	75,875	$	—
CMBS	10,922		—		(2,516		)	—			(192		)	—		—			(5,153		)	3,061		—
ABS	—		—		—			—			(917		)	18,381		—			—			17,464		—
	49,440		5,733		(7,471		)	(1,037		)	187			66,679		(4,371		)	(12,760		)	96,400		—
Other investments
Other privately held investments	—		—		—			(2,263		)	—			44,405		—			—			42,142		(2,263		)
CLO-Equities	27,257		36,378		—			18,976			—			—		—			(21,911		)	60,700		18,976
	27,257		36,378		—			16,713			—			44,405		—			(21,911		)	102,842		16,713
Other assets
Derivative instruments	4,395		—		—			6,772			—			1,289		—			(9,924		)	2,532		1,200
Insurance-linked securities	24,925		—		—			98			—			—		—			—			25,023		98
	29,320		—		—			6,870			—			1,289		—			(9,924		)	27,555		1,298
Total assets	$	106,017	$	42,111	$	(7,471	)	$	22,546		$	187		$	112,373	$	(4,371	)	$	(44,595	)	$	226,797	$	18,011

Other liabilities
Derivative instruments	10,937		—		—			1,862			—			2,723		—			(9,022		)	6,500		(654		)
Total liabilities	$	10,937	$	—	$	—		$	1,862		$	—		$	2,723	$	—		$	(9,022	)	$	6,500	$	(654	)

Year ended December 31, 2015
Fixed maturities
Corporate debt	$	15,837	$	—	$	(7,903	)	$	(49	)	$	88		$	39,225	$	(1,723	)	$	(6,957	)	$	38,518	$	—
CMBS	17,763		5,072		(9,902		)	—			(647		)	—		—			(1,364		)	10,922		—
ABS	40,031		—		(39,951		)	—			102			—		—			(182		)	—		—
	73,631		5,072		(57,756		)	(49		)	(457		)	39,225		(1,723		)	(8,503		)	49,440		—
Other investments
Other privately held investments	—		—		—			—			—			—		—			—			—		—
CLO-Equities	37,046		—		—			3,705			—			—		—			(13,494		)	27,257		3,705
	37,046		—		—			3,705			—			—		—			(13,494		)	27,257		3,705
Other assets
Derivative instruments	111		—		—			2,555			—			1,865		—			(136		)	4,395		3,580
Insurance-linked securities	—		—		—			(75		)	—			25,000		—			—			24,925		(75		)
	111		—		—			2,480			—			26,865		—			(136		)	29,320		3,505
Total assets	$	110,788	$	5,072	$	(57,756	)	$	6,136		$	(457	)	$	66,090	$	(1,723	)	$	(22,133	)	$	106,017	$	7,210

Other liabilities
Derivative instruments	15,288		—		—			(3,208		)	—			4,795		—			(5,938		)	10,937		8,337
Total liabilities	$	15,288	$	—	$	—		$	(3,208	)	$	—		$	4,795	$	—		$	(5,938	)	$	10,937	$	8,337


(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, 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⁾

Year ended December 31, 2016
Fixed maturities
Corporate debt	$	38,518	$	5,733	$	(4,955	)	$	(1,037	)	$	1,296		$	48,298	$	(4,371	)	$	(7,607	)	$	75,875	$	—
CMBS	10,922		—		(2,516		)	—			(192		)	—		—			(5,153		)	3,061		—
ABS	—		—		—			—			(917		)	18,381		—			—			17,464		—
	49,440		5,733		(7,471		)	(1,037		)	187			66,679		(4,371		)	(12,760		)	96,400		—
Other investments
Other privately held investments	—		—		—			(2,263		)	—			44,405		—			—			42,142		(2,263		)
CLO-Equities	27,257		36,378		—			18,976			—			—		—			(21,911		)	60,700		18,976
	27,257		36,378		—			16,713			—			44,405		—			(21,911		)	102,842		16,713
Other assets
Derivative instruments	4,395		—		—			6,772			—			1,289		—			(9,924		)	2,532		1,200
Insurance-linked securities	24,925		—		—			98			—			—		—			—			25,023		98
	29,320		—		—			6,870			—			1,289		—			(9,924		)	27,555		1,298
Total assets	$	106,017	$	42,111	$	(7,471	)	$	22,546		$	187		$	112,373	$	(4,371	)	$	(44,595	)	$	226,797	$	18,011

Other liabilities
Derivative instruments	10,937		—		—			1,862			—			2,723		—			(9,022		)	6,500		(654		)
Total liabilities	$	10,937	$	—	$	—		$	1,862		$	—		$	2,723	$	—		$	(9,022	)	$	6,500	$	(654	)

Year ended December 31, 2015
Fixed maturities
Corporate debt	$	15,837	$	—	$	(7,903	)	$	(49	)	$	88		$	39,225	$	(1,723	)	$	(6,957	)	$	38,518	$	—
CMBS	17,763		5,072		(9,902		)	—			(647		)	—		—			(1,364		)	10,922		—
ABS	40,031		—		(39,951		)	—			102			—		—			(182		)	—		—
	73,631		5,072		(57,756		)	(49		)	(457		)	39,225		(1,723		)	(8,503		)	49,440		—
Other investments
Other privately held investments	—		—		—			—			—			—		—			—			—		—
CLO-Equities	37,046		—		—			3,705			—			—		—			(13,494		)	27,257		3,705
	37,046		—		—			3,705			—			—		—			(13,494		)	27,257		3,705
Other assets
Derivative instruments	111		—		—			2,555			—			1,865		—			(136		)	4,395		3,580
Insurance-linked securities	—		—		—			(75		)	—			25,000		—			—			24,925		(75		)
	111		—		—			2,480			—			26,865		—			(136		)	29,320		3,505
Total assets	$	110,788	$	5,072	$	(57,756	)	$	6,136		$	(457	)	$	66,090	$	(1,723	)	$	(22,133	)	$	106,017	$	7,210

Other liabilities
Derivative instruments	15,288		—		—			(3,208		)	—			4,795		—			(5,938		)	10,937		8,337
Total liabilities	$	15,288	$	—	$	—		$	(3,208	)	$	—		$	4,795	$	—		$	(5,938	)	$	10,937	$	8,337


(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.