FAIR VALUE MEASUREMENTS (Tables)

9 Months Ended

Sep. 30, 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 September 30, 2017
Assets
Fixed maturities
U.S. government and agency	$	1,495,423	$	51,895	$	—	$	—	$	1,547,318
Non-U.S. government	—		573,640		—		—		573,640
Corporate debt	—		4,442,951		61,016		—		4,503,967
Agency RMBS	—		2,306,822		—		—		2,306,822
CMBS	—		669,736		—		—		669,736
Non-Agency RMBS	—		43,817		—		—		43,817
ABS	—		1,264,855		24,015		—		1,288,870
Municipals	—		152,216		—		—		152,216
	1,495,423		9,505,932		85,031		—		11,086,386
Equity securities
Common stocks	14,826		—		—		—		14,826
Exchange-traded funds	454,194		—		—		—		454,194
Bond mutual funds	—		190,731		—		—		190,731
	469,020		190,731		—		—		659,751
Other investments
Hedge funds	—		—		—		399,097		399,097
Direct lending funds	—		—		—		232,389		232,389
Private equity funds	—		—		—		71,896		71,896
Real estate funds	—		—		—		46,691		46,691
Other privately held investments	—		—		43,398		—		43,398
CLO-Equities	—		—		36,782		—		36,782
	—		—		80,180		750,073		830,253
Short-term investments	—		15,282		—		—		15,282
Other assets
Derivative instruments (see Note 6)	—		5,859		—		—		5,859
Insurance-linked securities	—		—		24,976		—		24,976
Total Assets	$	1,964,443	$	9,717,804	$	190,187	$	750,073	$	12,622,507
Liabilities
Derivative instruments (see Note 6)	$	—	$	1,873	$	11,844	$	—	$	13,717
Cash settled awards (see Note 9)	—		18,369		—		—		18,369
Total Liabilities	$	—	$	20,242	$	11,844	$	—	$	32,086



	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 September 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	$	32,141		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

	4,641			Liquidation value	Fair value of collateral	100%	100%
					Discount margin	0% - 17.8%	2.7%

Other investments - Other privately held investments	43,398			Discounted cash flow	Discount rate	6.0% - 8.0%	7.5%

Derivatives - Other underwriting-related derivatives	$	(11,844	)	Discounted cash flow	Discount rate	2.3%	2.3%

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 September 30, 2017
Fixed maturities
Corporate debt	$	68,320	$	—	$	(1,208	)	$	(835	)	$	(9	)	$	—	$	(2,274	)	$	(2,978	)	$	61,016	$	—
CMBS	—		—		—			—			—			—		—			—			—		—
ABS	5,999		—		(6,001		)	—			10			24,007		—			—			24,015		—
	74,319		—		(7,209		)	(835		)	1			24,007		(2,274		)	(2,978		)	85,031		—
Other investments
Other privately held investments	42,938		—		—			460			—			—		—			—			43,398		460
CLO - Equities	47,076		—		—			1,402			—			—		—			(11,696		)	36,782		1,402
	90,014		—		—			1,862			—			—		—			(11,696		)	80,180		1,862
Other assets
Derivative instruments	—		—		—			—			—			—		—			—			—		—
Insurance-linked securities	25,047		—		—			(71		)	—			—		—			—			24,976		(71		)
	25,047		—		—			(71		)	—			—		—			—			24,976		(71		)
Total assets	$	189,380	$	—	$	(7,209	)	$	956		$	1		$	24,007	$	(2,274	)	$	(14,674	)	$	190,187	$	1,791

Other liabilities
Derivative instruments	$	12,209	$	—	$	—		$	(291	)	$	—		$	—	$	—		$	(74	)	$	11,844	$	(291	)
Total liabilities	$	12,209	$	—	$	—		$	(291	)	$	—		$	—	$	—		$	(74	)	$	11,844	$	(291	)

Nine months ended September 30, 2017
Fixed maturities
Corporate debt	$	75,875	$	1,536	$	(3,112	)	$	(762	)	$	(392	)	$	19,181	$	(21,475	)	$	(9,835	)	$	61,016	$	—
CMBS	3,061		—		(9,418		)	—			17			9,400		—			(3,060		)	—		—
ABS	17,464		—		(24,949		)	—			1,493			30,007		—			—			24,015		—
	96,400		1,536		(37,479		)	(762		)	1,118			58,588		(21,475		)	(12,895		)	85,031		—
Other investments
Other privately held investments	42,142		—		—			1,256			—			—		—			—			43,398		1,256
CLO - Equities	60,700		—		—			3,930			—			—		—			(27,848		)	36,782		3,930
	102,842		—		—			5,186			—			—		—			(27,848		)	80,180		5,186
Other assets
Derivative instruments	2,532		—		—			653			—			—		—			(3,185		)	—		—
Insurance-linked securities	25,023		—		—			(47		)	—			—		—			—			24,976		(47		)
	27,555		—		—			606			—			—		—			(3,185		)	24,976		(47		)
Total assets	$	226,797	$	1,536	$	(37,479	)	$	5,030		$	1,118		$	58,588	$	(21,475	)	$	(43,928	)	$	190,187	$	5,139

Other liabilities
Derivative instruments	$	6,500	$	—	$	—		$	9,991		$	—		$	12,135	$	—		$	(16,782	)	$	11,844	$	(291	)
Total liabilities	$	6,500	$	—	$	—		$	9,991		$	—		$	12,135	$	—		$	(16,782	)	$	11,844	$	(291	)



	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 September 30, 2016
Fixed maturities
Corporate debt	$	62,022	$	—	$	—		$	(9	)	$	100		$	7,563	$	—		$	(584	)	$	69,092	$	—
CMBS	10,210		—		—			—			(48		)	—		—			(1,242		)	8,920		—
ABS	—		—		—			—			—			—		—			—			—		—
	72,232		—		—			(9		)	52			7,563		—			(1,826		)	78,012		—
Other investments
Other privately held investments	41,755		—		—			(355		)	—			1,500		—			—			42,900		(355		)
CLO - Equities	65,883		—		—			8,419			—			—		—			(10,519		)	63,783		8,419
	107,638		—		—			8,064			—			1,500		—			(10,519		)	106,683		8,064
Other assets
Derivative instruments	5		—		—			665			—			1,818		—			—			2,488		665
Insurance-linked securities	25,025		—		—			258			—			—		—			—			25,283		258
	25,030		—		—			923			—			1,818		—			—			27,771		923
Total assets	$	204,900	$	—	$	—		$	8,978		$	52		$	10,881	$	—		$	(12,345	)	$	212,466	$	8,987

Other liabilities
Derivative instruments	$	1,978	$	—	$	—		$	(169	)	$	—		$	6,384	$	—		$	(9	)	$	8,184	$	335
Total liabilities	$	1,978	$	—	$	—		$	(169	)	$	—		$	6,384	$	—		$	(9	)	$	8,184	$	335

Nine months ended September 30, 2016
Fixed maturities
Corporate debt	$	38,518	$	20,412	$	(1,955	)	$	(988	)	$	1,188		$	17,107	$	(4,015	)	$	(1,175	)	$	69,092	$	—
CMBS	10,922		—		—			—			(134		)	—		—			(1,868		)	8,920		—
ABS	—		—		—			—			—			—		—			—			—		—
	49,440		20,412		(1,955		)	(988		)	1,054			17,107		(4,015		)	(3,043		)	78,012		—
Other investments
Other privately held investments	—		—		—			(1,505		)	—			44,405		—			—			42,900		(1,505		)
CLO - Equities	27,257		36,378		—			17,431			—			—		—			(17,283		)	63,783		17,431
	27,257		36,378		—			15,926			—			44,405		—			(17,283		)	106,683		15,926
Other assets
Derivative instruments	4,395		—		—			3,255			—			3,623		—			(8,785		)	2,488		669
Insurance-linked securities	24,925		—		—			358			—			—		—			—			25,283		358
	29,320		—		—			3,613			—			3,623		—			(8,785		)	27,771		1,027
Total assets	$	106,017	$	56,790	$	(1,955	)	$	18,551		$	1,054		$	65,135	$	(4,015	)	$	(29,111	)	$	212,466	$	16,953

Other liabilities
Derivative instruments	$	10,937	$	—	$	—		$	2,445		$	—		$	7,189	$	—		$	(12,387	)	$	8,184	$	457
Total liabilities	$	10,937	$	—	$	—		$	2,445		$	—		$	7,189	$	—		$	(12,387	)	$	8,184	$	457


(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 September 30, 2017
Fixed maturities
Corporate debt	$	68,320	$	—	$	(1,208	)	$	(835	)	$	(9	)	$	—	$	(2,274	)	$	(2,978	)	$	61,016	$	—
CMBS	—		—		—			—			—			—		—			—			—		—
ABS	5,999		—		(6,001		)	—			10			24,007		—			—			24,015		—
	74,319		—		(7,209		)	(835		)	1			24,007		(2,274		)	(2,978		)	85,031		—
Other investments
Other privately held investments	42,938		—		—			460			—			—		—			—			43,398		460
CLO - Equities	47,076		—		—			1,402			—			—		—			(11,696		)	36,782		1,402
	90,014		—		—			1,862			—			—		—			(11,696		)	80,180		1,862
Other assets
Derivative instruments	—		—		—			—			—			—		—			—			—		—
Insurance-linked securities	25,047		—		—			(71		)	—			—		—			—			24,976		(71		)
	25,047		—		—			(71		)	—			—		—			—			24,976		(71		)
Total assets	$	189,380	$	—	$	(7,209	)	$	956		$	1		$	24,007	$	(2,274	)	$	(14,674	)	$	190,187	$	1,791

Other liabilities
Derivative instruments	$	12,209	$	—	$	—		$	(291	)	$	—		$	—	$	—		$	(74	)	$	11,844	$	(291	)
Total liabilities	$	12,209	$	—	$	—		$	(291	)	$	—		$	—	$	—		$	(74	)	$	11,844	$	(291	)

Nine months ended September 30, 2017
Fixed maturities
Corporate debt	$	75,875	$	1,536	$	(3,112	)	$	(762	)	$	(392	)	$	19,181	$	(21,475	)	$	(9,835	)	$	61,016	$	—
CMBS	3,061		—		(9,418		)	—			17			9,400		—			(3,060		)	—		—
ABS	17,464		—		(24,949		)	—			1,493			30,007		—			—			24,015		—
	96,400		1,536		(37,479		)	(762		)	1,118			58,588		(21,475		)	(12,895		)	85,031		—
Other investments
Other privately held investments	42,142		—		—			1,256			—			—		—			—			43,398		1,256
CLO - Equities	60,700		—		—			3,930			—			—		—			(27,848		)	36,782		3,930
	102,842		—		—			5,186			—			—		—			(27,848		)	80,180		5,186
Other assets
Derivative instruments	2,532		—		—			653			—			—		—			(3,185		)	—		—
Insurance-linked securities	25,023		—		—			(47		)	—			—		—			—			24,976		(47		)
	27,555		—		—			606			—			—		—			(3,185		)	24,976		(47		)
Total assets	$	226,797	$	1,536	$	(37,479	)	$	5,030		$	1,118		$	58,588	$	(21,475	)	$	(43,928	)	$	190,187	$	5,139

Other liabilities
Derivative instruments	$	6,500	$	—	$	—		$	9,991		$	—		$	12,135	$	—		$	(16,782	)	$	11,844	$	(291	)
Total liabilities	$	6,500	$	—	$	—		$	9,991		$	—		$	12,135	$	—		$	(16,782	)	$	11,844	$	(291	)



	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 September 30, 2016
Fixed maturities
Corporate debt	$	62,022	$	—	$	—		$	(9	)	$	100		$	7,563	$	—		$	(584	)	$	69,092	$	—
CMBS	10,210		—		—			—			(48		)	—		—			(1,242		)	8,920		—
ABS	—		—		—			—			—			—		—			—			—		—
	72,232		—		—			(9		)	52			7,563		—			(1,826		)	78,012		—
Other investments
Other privately held investments	41,755		—		—			(355		)	—			1,500		—			—			42,900		(355		)
CLO - Equities	65,883		—		—			8,419			—			—		—			(10,519		)	63,783		8,419
	107,638		—		—			8,064			—			1,500		—			(10,519		)	106,683		8,064
Other assets
Derivative instruments	5		—		—			665			—			1,818		—			—			2,488		665
Insurance-linked securities	25,025		—		—			258			—			—		—			—			25,283		258
	25,030		—		—			923			—			1,818		—			—			27,771		923
Total assets	$	204,900	$	—	$	—		$	8,978		$	52		$	10,881	$	—		$	(12,345	)	$	212,466	$	8,987

Other liabilities
Derivative instruments	$	1,978	$	—	$	—		$	(169	)	$	—		$	6,384	$	—		$	(9	)	$	8,184	$	335
Total liabilities	$	1,978	$	—	$	—		$	(169	)	$	—		$	6,384	$	—		$	(9	)	$	8,184	$	335

Nine months ended September 30, 2016
Fixed maturities
Corporate debt	$	38,518	$	20,412	$	(1,955	)	$	(988	)	$	1,188		$	17,107	$	(4,015	)	$	(1,175	)	$	69,092	$	—
CMBS	10,922		—		—			—			(134		)	—		—			(1,868		)	8,920		—
ABS	—		—		—			—			—			—		—			—			—		—
	49,440		20,412		(1,955		)	(988		)	1,054			17,107		(4,015		)	(3,043		)	78,012		—
Other investments
Other privately held investments	—		—		—			(1,505		)	—			44,405		—			—			42,900		(1,505		)
CLO - Equities	27,257		36,378		—			17,431			—			—		—			(17,283		)	63,783		17,431
	27,257		36,378		—			15,926			—			44,405		—			(17,283		)	106,683		15,926
Other assets
Derivative instruments	4,395		—		—			3,255			—			3,623		—			(8,785		)	2,488		669
Insurance-linked securities	24,925		—		—			358			—			—		—			—			25,283		358
	29,320		—		—			3,613			—			3,623		—			(8,785		)	27,771		1,027
Total assets	$	106,017	$	56,790	$	(1,955	)	$	18,551		$	1,054		$	65,135	$	(4,015	)	$	(29,111	)	$	212,466	$	16,953

Other liabilities
Derivative instruments	$	10,937	$	—	$	—		$	2,445		$	—		$	7,189	$	—		$	(12,387	)	$	8,184	$	457
Total liabilities	$	10,937	$	—	$	—		$	2,445		$	—		$	7,189	$	—		$	(12,387	)	$	8,184	$	457


(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.