FAIR VALUE MEASUREMENTS (Tables)

3 Months Ended

Mar. 31, 2017

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 March 31, 2017
Assets
Fixed maturities
U.S. government and agency	$	1,634,937	$	70,103	$	—	$	—	$	1,705,040
Non-U.S. government	—		551,121		—		—		551,121
Corporate debt	—		4,374,329		63,788		—		4,438,117
Agency RMBS	—		2,269,712		—		—		2,269,712
CMBS	—		671,288		9,813		—		681,101
Non-Agency RMBS	—		51,515		—		—		51,515
ABS	—		1,362,651		—		—		1,362,651
Municipals	—		132,272		—		—		132,272
	1,634,937		9,482,991		73,601		—		11,191,529
Equity securities
Common stocks	274		—		—		—		274
Exchange-traded funds	526,323		—		—		—		526,323
Bond mutual funds	—		126,822		—		—		126,822
	526,597		126,822		—		—		653,419
Other investments
Hedge funds	—		—		—		414,799		414,799
Direct lending funds	—		—		—		178,390		178,390
Private equity funds	—		—		—		72,465		72,465
Real estate funds	—		—		—		17,971		17,971
Other privately held investments	—		—		42,378		—		42,378
CLO - Equities	—		—		54,392		—		54,392
	—		—		96,770		683,625		780,395
Short-term investments	—		13,338		—		—		13,338
Other assets
Derivative instruments (see Note 5)	—		841		3,197		—		4,038
Insurance-linked securities	—		—		25,026		—		25,026
Total Assets	$	2,161,534	$	9,623,992	$	198,594	$	683,625	$	12,667,745
Liabilities
Derivative instruments (see Note 5)	$	—	$	3,728	$	16,621	$	—	$	20,349
Cash settled awards (see Note 7)	—		8,612		—		—		8,612
Total Liabilities	$	—	$	12,340	$	16,621	$	—	$	28,961



	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 5)	—		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 5)	$	—	$	9,076	$	6,500	$	—	$	15,576
Cash settled awards (see Note 7)	—		48,432		—		—		48,432
Total Liabilities	$	—	$	57,508	$	6,500	$	—	$	64,008

LEVEL 3 FAIR VALUE MEASUREMENT INPUTS

Except 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 used in estimating fair values at March 31, 2017 for investments classified as Level 3 in the fair value hierarchy.



	Fair Value			Valuation Technique	Unobservable Input	Range	Weighted Average

Other investments - CLO-Equities	$	32,748		Discounted cash flow	Default rates	4.0%	4.0%
					Loss severity rate	35.0%	35.0%
					Collateral spreads	3.0%	3.0%
					Estimated maturity dates	6 years	6 years

	21,644			Liquidation value	Fair value of collateral	100%	100%
					Discount margin	0.3% - 14.1%	1.8%

Other investments - Other privately held investments	42,378			Discounted cash flow	Discount rate	5.0% - 8.0%	7.2%

Derivatives - Weather derivatives, net	$	(13,424	)	Simulation model	Weather curve	94 - 4526⁽¹⁾	n/a⁽²⁾
					Weather standard deviation	55 - 380⁽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⁾

Three months ended March 31, 2017
Fixed maturities
Corporate debt	$	75,875	$	—	$	—		$	58	$	(47	)	$	5,964	$	(15,720	)	$	(2,342	)	$	63,788	$	—
CMBS	3,061		—		—			—		(3		)	9,400		—			(2,645		)	9,813		—
ABS	17,464		—		(18,948		)	—		1,484			—		—			—			—		—
	96,400		—		(18,948		)	58		1,434			15,364		(15,720		)	(4,987		)	73,601		—
Other investments
Other privately held investments	42,142		—		—			236		—			—		—			—			42,378		236
CLO - Equities	60,700		—		—			1,029		—			—		—			(7,337		)	54,392		1,029
	102,842		—		—			1,265		—			—		—			(7,337		)	96,770		1,265
Other assets
Derivative instruments	2,532		—		—			755		—			—		—			(90		)	3,197		755
Insurance-linked securities	25,023		—		—			3		—			—		—			—			25,026		3
	27,555		—		—			758		—			—		—			(90		)	28,223		758
Total assets	$	226,797	$	—	$	(18,948	)	$	2,081	$	1,434		$	15,364	$	(15,720	)	$	(12,414	)	$	198,594	$	2,023

Other liabilities
Derivative instruments	$	6,500	$	—	$	—		$	8,686	$	—		$	—	$	—		$	1,435		$	16,621	$	7,335
Total liabilities	$	6,500	$	—	$	—		$	8,686	$	—		$	—	$	—		$	1,435		$	16,621	$	7,335



	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, 2016
Fixed maturities
Corporate debt	$	38,518	$	—	$	(1,955	)	$	2		$	(76	)	$	5,821		$	(1,910	)	$	(150	)	$	40,250	$	—
CMBS	10,922		—		—			—			(144		)	—			—			(227		)	10,551		—
ABS	—		—		—			—			—			—			—			—			—		—
	49,440		—		(1,955		)	2			(220		)	5,821			(1,910		)	(377		)	50,801		—
Other investments
Other privately held investments	—		—		—			—			—			36,712			—			—			36,712		—
CLO - Equities	27,257		36,378		—			(1,016		)	—			—			—			(2,248		)	60,371		(1,016		)
	27,257		36,378		—			(1,016		)	—			36,712			—			(2,248		)	97,083		(1,016		)
Other assets
Derivative instruments	4,395		—		—			2,948			—			1,359			—			(2,725		)	5,977		1,479
Insurance-linked securities	24,925		—		—			(9		)	—			—			—			—			24,916		(9		)
	29,320		—		—			2,939			—			38,071			—			(2,725		)	67,605		1,470
Total assets	$	106,017	$	36,378	$	(1,955	)	$	1,925		$	(220	)	$	43,892		$	(1,910	)	$	(5,350	)	$	178,777	$	454

Other liabilities
Derivative instruments	$	10,937	$	—	$	—		$	3,423		$	—		$	(1,025	)	$	—		$	1,693		$	15,028	$	3,682
Total liabilities	$	10,937	$	—	$	—		$	3,423		$	—		$	(1,025	)	$	—		$	1,693		$	15,028	$	3,682


(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⁾

Three months ended March 31, 2017
Fixed maturities
Corporate debt	$	75,875	$	—	$	—		$	58	$	(47	)	$	5,964	$	(15,720	)	$	(2,342	)	$	63,788	$	—
CMBS	3,061		—		—			—		(3		)	9,400		—			(2,645		)	9,813		—
ABS	17,464		—		(18,948		)	—		1,484			—		—			—			—		—
	96,400		—		(18,948		)	58		1,434			15,364		(15,720		)	(4,987		)	73,601		—
Other investments
Other privately held investments	42,142		—		—			236		—			—		—			—			42,378		236
CLO - Equities	60,700		—		—			1,029		—			—		—			(7,337		)	54,392		1,029
	102,842		—		—			1,265		—			—		—			(7,337		)	96,770		1,265
Other assets
Derivative instruments	2,532		—		—			755		—			—		—			(90		)	3,197		755
Insurance-linked securities	25,023		—		—			3		—			—		—			—			25,026		3
	27,555		—		—			758		—			—		—			(90		)	28,223		758
Total assets	$	226,797	$	—	$	(18,948	)	$	2,081	$	1,434		$	15,364	$	(15,720	)	$	(12,414	)	$	198,594	$	2,023

Other liabilities
Derivative instruments	$	6,500	$	—	$	—		$	8,686	$	—		$	—	$	—		$	1,435		$	16,621	$	7,335
Total liabilities	$	6,500	$	—	$	—		$	8,686	$	—		$	—	$	—		$	1,435		$	16,621	$	7,335



	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, 2016
Fixed maturities
Corporate debt	$	38,518	$	—	$	(1,955	)	$	2		$	(76	)	$	5,821		$	(1,910	)	$	(150	)	$	40,250	$	—
CMBS	10,922		—		—			—			(144		)	—			—			(227		)	10,551		—
ABS	—		—		—			—			—			—			—			—			—		—
	49,440		—		(1,955		)	2			(220		)	5,821			(1,910		)	(377		)	50,801		—
Other investments
Other privately held investments	—		—		—			—			—			36,712			—			—			36,712		—
CLO - Equities	27,257		36,378		—			(1,016		)	—			—			—			(2,248		)	60,371		(1,016		)
	27,257		36,378		—			(1,016		)	—			36,712			—			(2,248		)	97,083		(1,016		)
Other assets
Derivative instruments	4,395		—		—			2,948			—			1,359			—			(2,725		)	5,977		1,479
Insurance-linked securities	24,925		—		—			(9		)	—			—			—			—			24,916		(9		)
	29,320		—		—			2,939			—			38,071			—			(2,725		)	67,605		1,470
Total assets	$	106,017	$	36,378	$	(1,955	)	$	1,925		$	(220	)	$	43,892		$	(1,910	)	$	(5,350	)	$	178,777	$	454

Other liabilities
Derivative instruments	$	10,937	$	—	$	—		$	3,423		$	—		$	(1,025	)	$	—		$	1,693		$	15,028	$	3,682
Total liabilities	$	10,937	$	—	$	—		$	3,423		$	—		$	(1,025	)	$	—		$	1,693		$	15,028	$	3,682


(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.