FAIR VALUE MEASUREMENTS (Tables)

6 Months Ended

Jun. 30, 2017

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, 2017
Assets
Fixed maturities
U.S. government and agency	$	1,533,316	$	98,696	$	—	$	—	$	1,632,012
Non-U.S. government	—		537,521		—		—		537,521
Corporate debt	—		4,667,847		68,320		—		4,736,167
Agency RMBS	—		2,302,256		—		—		2,302,256
CMBS	—		653,807		—		—		653,807
Non-Agency RMBS	—		47,418		—		—		47,418
ABS	—		1,366,891		5,999		—		1,372,890
Municipals	—		142,224		—		—		142,224
	1,533,316		9,816,660		74,319		—		11,424,295
Equity securities
Common stocks	13,747		—		—		—		13,747
Exchange-traded funds	542,034		—		—		—		542,034
Bond mutual funds	—		182,708		—		—		182,708
	555,781		182,708		—		—		738,489
Other investments
Hedge funds	—		—		—		395,163		395,163
Direct lending funds	—		—		—		209,316		209,316
Private equity funds	—		—		—		74,740		74,740
Real estate funds	—		—		—		44,384		44,384
Other privately held investments	—		—		42,938		—		42,938
CLO-Equities	—		—		47,076		—		47,076
	—		—		90,014		723,603		813,617
Short-term investments	—		10,146		—		—		10,146
Other assets
Derivative instruments (see Note 6)	—		6,912		—		—		6,912
Insurance-linked securities	—		—		25,047		—		25,047
Total Assets	$	2,089,097	$	10,016,426	$	189,380	$	723,603	$	13,018,506
Liabilities
Derivative instruments (see Note 6)	$	—	$	1,067	$	12,209	$	—	$	13,276
Cash settled awards (see Note 9)	—		14,193		—		—		14,193
Total Liabilities	$	—	$	15,260	$	12,209	$	—	$	27,469

	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 6)	—		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 6)	$	—	$	9,076	$	6,500	$	—	$	15,576
Cash settled awards (see Note 9)	—		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 June 30,2017 for investments classified as Level 3 in the fair value hierarchy.

	Fair Value			Valuation Technique	Unobservable Input	Range	Weighted Average
Other investments - CLO-Equities	$	33,266		Discounted cash flow	Default rates	3.8%	3.8%
					Loss severity rate	35.0%	35.0%
					Collateral spreads	3.0%	3.0%
					Estimated maturity dates	7 years	7 years
	13,810			Liquidation value	Fair value of collateral	100%	100%
					Discount margin	0% - 16.2%	2.0%
Other investments - Other privately held investments	42,938			Discounted cash flow	Discount rate	6.0% - 8.0%	7.5%
Derivatives - Weather derivatives, net	$	(74	)	Simulation model	Weather curve	4526(1)	n/a (2)
					Weather standard deviation	360(1)	n/a (2)
Derivatives - Other underwriting-related derivatives	$	(12,135	)	Discounted cash flow	Discount rate	2.5%	2.5%

(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 June 30, 2017
Fixed maturities
Corporate debt	$	63,788	$	1,536	$	(1,904	)	$	15		$	(336	)	$	13,217	$	(3,481	)	$	(4,515	)	$	68,320	$	—
CMBS	9,813		—		(9,418		)	—			20			—		—			(415		)	—		—
ABS	—		—		—			—			(1		)	6,000		—			—			5,999		—
	73,601		1,536		(11,322		)	15			(317		)	19,217		(3,481		)	(4,930		)	74,319		—
Other investments
Other privately held investments	42,378		—		—			560			—			—		—			—			42,938		560
CLO - Equities	54,392		—		—			1,499			—			—		—			(8,815		)	47,076		1,499
	96,770		—		—			2,059			—			—		—			(8,815		)	90,014		2,059
Other assets
Derivative instruments	3,197		—		—			(102		)	—			—		—			(3,095		)	—		—
Insurance-linked securities	25,026		—		—			21			—			—		—			—			25,047		21
	28,223		—		—			(81		)	—			—		—			(3,095		)	25,047		21
Total assets	$	198,594	$	1,536	$	(11,322	)	$	1,993		$	(317	)	$	19,217	$	(3,481	)	$	(16,840	)	$	189,380	$	2,080
Other liabilities
Derivative instruments	$	16,621	$	—	$	—		$	1,596		$	—		$	12,135	$	—		$	(18,143	)	$	12,209	$	863
Total liabilities	$	16,621	$	—	$	—		$	1,596		$	—		$	12,135	$	—		$	(18,143	)	$	12,209	$	863
Six months ended June 30, 2017
Fixed maturities
Corporate debt	$	75,875	$	1,536	$	(1,904	)	$	73		$	(383	)	$	19,181	$	(19,201	)	$	(6,857	)	$	68,320	$	—
CMBS	3,061		—		(9,418		)	—			17			9,400		—			(3,060		)	—		—
ABS	17,464		—		(18,948		)	—			1,483			6,000		—			—			5,999		—
	96,400		1,536		(30,270		)	73			1,117			34,581		(19,201		)	(9,917		)	74,319		—
Other investments
Other privately held investments	42,142		—		—			796			—			—		—			—			42,938		796
CLO - Equities	60,700		—		—			2,528			—			—		—			(16,152		)	47,076		2,528
	102,842		—		—			3,324			—			—		—			(16,152		)	90,014		3,324
Other assets
Derivative instruments	2,532		—		—			653			—			—		—			(3,185		)	—		—
Insurance-linked securities	25,023		—		—			24			—			—		—			—			25,047		24
	27,555		—		—			677			—			—		—			(3,185		)	25,047		24
Total assets	$	226,797	$	1,536	$	(30,270	)	$	4,074		$	1,117		$	34,581	$	(19,201	)	$	(29,254	)	$	189,380	$	3,348
Other liabilities
Derivative instruments	$	6,500	$	—	$	—		$	10,282		$	—		$	12,135	$	—		$	(16,708	)	$	12,209	$	2,314
Total liabilities	$	6,500	$	—	$	—		$	10,282		$	—		$	12,135	$	—		$	(16,708	)	$	12,209	$	2,314

	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

(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 June 30, 2017
Fixed maturities
Corporate debt	$	63,788	$	1,536	$	(1,904	)	$	15		$	(336	)	$	13,217	$	(3,481	)	$	(4,515	)	$	68,320	$	—
CMBS	9,813		—		(9,418		)	—			20			—		—			(415		)	—		—
ABS	—		—		—			—			(1		)	6,000		—			—			5,999		—
	73,601		1,536		(11,322		)	15			(317		)	19,217		(3,481		)	(4,930		)	74,319		—
Other investments
Other privately held investments	42,378		—		—			560			—			—		—			—			42,938		560
CLO - Equities	54,392		—		—			1,499			—			—		—			(8,815		)	47,076		1,499
	96,770		—		—			2,059			—			—		—			(8,815		)	90,014		2,059
Other assets
Derivative instruments	3,197		—		—			(102		)	—			—		—			(3,095		)	—		—
Insurance-linked securities	25,026		—		—			21			—			—		—			—			25,047		21
	28,223		—		—			(81		)	—			—		—			(3,095		)	25,047		21
Total assets	$	198,594	$	1,536	$	(11,322	)	$	1,993		$	(317	)	$	19,217	$	(3,481	)	$	(16,840	)	$	189,380	$	2,080
Other liabilities
Derivative instruments	$	16,621	$	—	$	—		$	1,596		$	—		$	12,135	$	—		$	(18,143	)	$	12,209	$	863
Total liabilities	$	16,621	$	—	$	—		$	1,596		$	—		$	12,135	$	—		$	(18,143	)	$	12,209	$	863
Six months ended June 30, 2017
Fixed maturities
Corporate debt	$	75,875	$	1,536	$	(1,904	)	$	73		$	(383	)	$	19,181	$	(19,201	)	$	(6,857	)	$	68,320	$	—
CMBS	3,061		—		(9,418		)	—			17			9,400		—			(3,060		)	—		—
ABS	17,464		—		(18,948		)	—			1,483			6,000		—			—			5,999		—
	96,400		1,536		(30,270		)	73			1,117			34,581		(19,201		)	(9,917		)	74,319		—
Other investments
Other privately held investments	42,142		—		—			796			—			—		—			—			42,938		796
CLO - Equities	60,700		—		—			2,528			—			—		—			(16,152		)	47,076		2,528
	102,842		—		—			3,324			—			—		—			(16,152		)	90,014		3,324
Other assets
Derivative instruments	2,532		—		—			653			—			—		—			(3,185		)	—		—
Insurance-linked securities	25,023		—		—			24			—			—		—			—			25,047		24
	27,555		—		—			677			—			—		—			(3,185		)	25,047		24
Total assets	$	226,797	$	1,536	$	(30,270	)	$	4,074		$	1,117		$	34,581	$	(19,201	)	$	(29,254	)	$	189,380	$	3,348
Other liabilities
Derivative instruments	$	6,500	$	—	$	—		$	10,282		$	—		$	12,135	$	—		$	(16,708	)	$	12,209	$	2,314
Total liabilities	$	6,500	$	—	$	—		$	10,282		$	—		$	12,135	$	—		$	(16,708	)	$	12,209	$	2,314

	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

(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.