FAIR VALUE MEASUREMENTS (Tables)

6 Months Ended

Jun. 30, 2018

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, 2018
Assets
Fixed maturities
U.S. government and agency	$	1,644,684	$	24,737	$	—	$	—	$	1,669,421
Non-U.S. government	—		585,163		—		—		585,163
Corporate debt	—		4,828,419		42,553		—		4,870,972
Agency RMBS	—		1,699,728		—		—		1,699,728
CMBS	—		1,103,818		18,149		—		1,121,967
Non-Agency RMBS	—		38,401		903		—		39,304
ABS	—		1,614,034		—		—		1,614,034
Municipals	—		138,716		—		—		138,716
	1,644,684		10,033,016		61,605		—		11,739,305
Equity securities
Common stocks	13,427		—		—		—		13,427
Exchange-traded funds	263,845		—		—		—		263,845
Bond mutual funds	—		139,940		—		—		139,940
	277,272		139,940		—		—		417,212
Other investments
Hedge funds ⁽¹⁾	—		—		—		343,714		343,714
Direct lending funds	—		—		—		259,976		259,976
Private equity funds	—		—		—		65,513		65,513
Real estate funds	—		—		—		56,855		56,855
Other privately held investments	—		—		47,613		—		47,613
CLO-Equities	—		—		26,153		—		26,153
Overseas deposits	—		116,367		—		—		116,367
	—		116,367		73,766		726,058		916,191
Short-term investments	—		168,944		—		—		168,944
Other assets
Derivative instruments (see Note 5)	—		10,091		—		—		10,091
Total Assets	$	1,921,956	$	10,468,358	$	135,371	$	726,058	$	13,251,743
Liabilities
Derivative instruments (see Note 5)	$	—	$	5,156	$	10,589	$	—	$	15,745
Cash settled awards (see Note 8)	—		13,235		—		—		13,235
Total Liabilities	$	—	$	18,391	$	10,589	$	—	$	28,980

(1) Includes Long/short equity, Multi-strategy and Event-driven funds.



	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, 2017
Assets
Fixed maturities
U.S. government and agency	$	1,658,622	$	53,847	$	—	$	—	$	1,712,469
Non-U.S. government	—		806,299		—		—		806,299
Corporate debt	—		5,244,969		52,897		—		5,297,866
Agency RMBS	—		2,395,152		—		—		2,395,152
CMBS	—		777,728		—		—		777,728
Non-Agency RMBS	—		46,831		—		—		46,831
ABS	—		1,436,281		—		—		1,436,281
Municipals	—		149,380		—		—		149,380
	1,658,622		10,910,487		52,897		—		12,622,006
Equity securities
Common stocks	25,658		—		—		—		25,658
Exchange-traded funds	427,633		—		—		—		427,633
Bond mutual funds	—		182,220		—		—		182,220
	453,291		182,220		—		—		635,511
Other investments
Hedge funds ⁽¹⁾	—		—		—		363,811		363,811
Direct lending funds	—		—		—		250,681		250,681
Private equity funds	—		—		—		68,812		68,812
Real estate funds	—		—		—		50,009		50,009
Other privately held investments	—		—		46,430		—		46,430
CLO-Equities	—		—		31,413		—		31,413
Overseas deposits	—		198,217		—		—		198,217
	—		198,217		77,843		733,313		1,009,373
Short-term investments	—		83,661		—		—		83,661
Other assets
Derivative instruments (see Note 5)	—		5,125		—		—		5,125
Insurance-linked securities	—		—		25,090		—		25,090
Total Assets	$	2,111,913	$	11,379,710	$	155,830	$	733,313	$	14,380,766
Liabilities
Derivative instruments (see Note 5)	$	—	$	2,876	$	11,510	$	—	$	14,386
Cash settled awards (see Note 8)	—		21,535		—		—		21,535
Total Liabilities	$	—	$	24,411	$	11,510	$	—	$	35,921

(1) Includes Long/short equity, Multi-strategy and Event-driven funds.

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, 2018 for investments classified as Level 3 in the fair value hierarchy.



	Fair Value			Valuation Technique	Unobservable Input	Range	Weighted Average

Other investments - CLO-Equities	$	24,715		Discounted cash flow	Default rates	3.0%	3.0%
					Loss severity rate	35.0%	35.0%
					Collateral spreads	3.0%	3.0%
					Estimated maturity dates	7 years	7 years

	$	1,438		Liquidation value	Fair value of collateral	100%	100%
					Discount margin	0.0% - 10.9%	2.2%

Other investments - Other privately held investments	$	47,613		Discounted cash flow	Discount rate	3.0% - 8.5%	7.2%

Derivatives - Other underwriting-related derivatives	$	(10,589	)	Discounted cash flow	Discount rate	2.9%	2.9%

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 net income⁽¹⁾			Included in OCI⁽²⁾			Purchases		Sales			Settlements/ Distributions			Closing Balance		Change in unrealized investment gains/(losses)⁽³⁾

Three months ended June 30, 2018
Fixed maturities
Corporate debt	$	43,471	$	1,589	$	—		$	(1	)	$	(388	)	$	3,185	$	(3,218	)	$	(2,085	)	$	42,553	$	—
Non-Agency RMBS	—		—		—			—			3			900		—			—			903		—
CMBS	—		1,936		—			—			(2		)	16,215		—			—			18,149		—
	43,471		3,525		—			(1		)	(387		)	20,300		(3,218		)	(2,085		)	61,605		—
Other investments
Other privately held investments	48,787		—		—			(1,174		)	—			—		—			—			47,613		(1,174		)
CLO - Equities	28,556		—		—			3,068			—			—		—			(5,471		)	26,153		3,068
	77,343		—		—			1,894			—			—		—			(5,471		)	73,766		1,894
Other assets
Insurance-linked securities	25,000		—		—			—			—			—		—			(25,000		)	—		—
	25,000		—		—			—			—			—		—			(25,000		)	—		—
Total assets	$	145,814	$	3,525	$	—		$	1,893		$	(387	)	$	20,300	$	(3,218	)	$	(32,556	)	$	135,371	$	1,894

Other liabilities
Derivative instruments	$	10,942	$	—	$	—		$	(353	)	$	—		$	—	$	—		$	—		$	10,589	$	(353	)
Total liabilities	$	10,942	$	—	$	—		$	(353	)	$	—		$	—	$	—		$	—		$	10,589	$	(353	)

Six months ended June 30, 2018
Fixed maturities
Corporate debt	$	52,897	$	1,589	$	(4,279	)	$	(119	)	$	1,015		$	3,185	$	(5,754	)	$	(5,981	)	$	42,553	$	—
Non-Agency RMBS	—		—		—			—			3			900		—			—			903		—
CMBS	—		1,936		—			—			(2		)	16,215		—			—			18,149		—
	52,897		3,525		(4,279		)	(119		)	1,016			20,300		(5,754		)	(5,981		)	61,605		—
Other investments
Other privately held investments	46,430		—		—			(428		)	—			3,111		(1,500		)	—			47,613		(428		)
CLO - Equities	31,413		—		—			4,684			—			—		—			(9,944		)	26,153		4,684
	77,843		—		—			4,256			—			3,111		(1,500		)	(9,944		)	73,766		4,256
Other assets
Insurance-linked securities	25,090		—		—			(90		)	—			—		—			(25,000		)	—		—
	25,090		—		—			(90		)	—			—		—			(25,000		)	—		—
Total assets	$	155,830	$	3,525	$	(4,279	)	$	4,047		$	1,016		$	23,411	$	(7,254	)	$	(40,925	)	$	135,371	$	4,256

Other liabilities
Derivative instruments	$	11,510	$	—	$	—		$	(921	)	$	—		$	—	$	—		$	—		$	10,589	$	(921	)
Total liabilities	$	11,510	$	—	$	—		$	(921	)	$	—		$	—	$	—		$	—		$	10,589	$	(921	)



	Opening Balance		Transfers into Level 3		Transfers out of Level 3			Included in net income⁽¹⁾			Included in OCI⁽²⁾			Purchases		Sales			Settlements/ Distributions			Closing Balance		Change in unrealized investment gains/(losses)⁽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	$	—
Non-Agency RMBS	—		—		—			—			—			—		—			—			—		—
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


(1)	Realized gains (losses) on fixed maturities, and realized and unrealized gains (losses) on other assets and other liabilities included in net income are included in net investment gains (losses). Realized and unrealized gains (losses) on other investments included in net income are included in net investment income.


(2)	Unrealized gains (losses) on fixed maturities are included in other comprehensive income ("OCI").


(3)	Change in unrealized investment gains (losses) 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 net income⁽¹⁾			Included in OCI⁽²⁾			Purchases		Sales			Settlements/ Distributions			Closing Balance		Change in unrealized investment gains/(losses)⁽³⁾

Three months ended June 30, 2018
Fixed maturities
Corporate debt	$	43,471	$	1,589	$	—		$	(1	)	$	(388	)	$	3,185	$	(3,218	)	$	(2,085	)	$	42,553	$	—
Non-Agency RMBS	—		—		—			—			3			900		—			—			903		—
CMBS	—		1,936		—			—			(2		)	16,215		—			—			18,149		—
	43,471		3,525		—			(1		)	(387		)	20,300		(3,218		)	(2,085		)	61,605		—
Other investments
Other privately held investments	48,787		—		—			(1,174		)	—			—		—			—			47,613		(1,174		)
CLO - Equities	28,556		—		—			3,068			—			—		—			(5,471		)	26,153		3,068
	77,343		—		—			1,894			—			—		—			(5,471		)	73,766		1,894
Other assets
Insurance-linked securities	25,000		—		—			—			—			—		—			(25,000		)	—		—
	25,000		—		—			—			—			—		—			(25,000		)	—		—
Total assets	$	145,814	$	3,525	$	—		$	1,893		$	(387	)	$	20,300	$	(3,218	)	$	(32,556	)	$	135,371	$	1,894

Other liabilities
Derivative instruments	$	10,942	$	—	$	—		$	(353	)	$	—		$	—	$	—		$	—		$	10,589	$	(353	)
Total liabilities	$	10,942	$	—	$	—		$	(353	)	$	—		$	—	$	—		$	—		$	10,589	$	(353	)

Six months ended June 30, 2018
Fixed maturities
Corporate debt	$	52,897	$	1,589	$	(4,279	)	$	(119	)	$	1,015		$	3,185	$	(5,754	)	$	(5,981	)	$	42,553	$	—
Non-Agency RMBS	—		—		—			—			3			900		—			—			903		—
CMBS	—		1,936		—			—			(2		)	16,215		—			—			18,149		—
	52,897		3,525		(4,279		)	(119		)	1,016			20,300		(5,754		)	(5,981		)	61,605		—
Other investments
Other privately held investments	46,430		—		—			(428		)	—			3,111		(1,500		)	—			47,613		(428		)
CLO - Equities	31,413		—		—			4,684			—			—		—			(9,944		)	26,153		4,684
	77,843		—		—			4,256			—			3,111		(1,500		)	(9,944		)	73,766		4,256
Other assets
Insurance-linked securities	25,090		—		—			(90		)	—			—		—			(25,000		)	—		—
	25,090		—		—			(90		)	—			—		—			(25,000		)	—		—
Total assets	$	155,830	$	3,525	$	(4,279	)	$	4,047		$	1,016		$	23,411	$	(7,254	)	$	(40,925	)	$	135,371	$	4,256

Other liabilities
Derivative instruments	$	11,510	$	—	$	—		$	(921	)	$	—		$	—	$	—		$	—		$	10,589	$	(921	)
Total liabilities	$	11,510	$	—	$	—		$	(921	)	$	—		$	—	$	—		$	—		$	10,589	$	(921	)



	Opening Balance		Transfers into Level 3		Transfers out of Level 3			Included in net income⁽¹⁾			Included in OCI⁽²⁾			Purchases		Sales			Settlements/ Distributions			Closing Balance		Change in unrealized investment gains/(losses)⁽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	$	—
Non-Agency RMBS	—		—		—			—			—			—		—			—			—		—
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


(1)	Realized gains (losses) on fixed maturities, and realized and unrealized gains (losses) on other assets and other liabilities included in net income are included in net investment gains (losses). Realized and unrealized gains (losses) on other investments included in net income are included in net investment income.


(2)	Unrealized gains (losses) on fixed maturities are included in other comprehensive income ("OCI").


(3)	Change in unrealized investment gains (losses) relating to assets held at the reporting date.