Fair Value (Tables)

3 Months Ended

Mar. 31, 2013

The following table presents the Company’s financial assets and liabilities measured at fair value by level at March 31, 2013:



			Fair Value Measurement Using:
	Fair Value		Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
Assets measured at fair value:
Available for sale securities:
Fixed maturities and fixed maturities pledged under securities lending agreements (1):
Corporate bonds	$	2,592,744	$	—	$	2,495,446	$	97,298
Mortgage backed securities	1,704,813		—		1,704,813		—
Municipal bonds	1,442,116		—		1,442,116		—
Commercial mortgage backed securities	867,856		—		867,856		—
U.S. government and government agencies	1,151,429		1,151,429		—		—
Non-U.S. government securities	1,074,797		—		1,074,797		—
Asset backed securities	1,146,611		—		1,146,611		—
Total	9,980,366		1,151,429		8,731,639		97,298

Equity securities	342,091		340,798		1,293		—
Other investments	585,277		—		399,342		185,935
Short-term investments	944,274		896,774		47,500		—

Fair value option:
Investments accounted for using the fair value option:
Corporate bonds	291,922		—		291,922		—
Non-U.S. government bonds	72,463		—		72,463		—
Other investments	537,845		—		358,475		179,370
Equity securities	—		—		—		—
Total	902,230		—		722,860		179,370

Total assets measured at fair value	$	12,754,238	$	2,389,001	$	9,902,634	$	462,603

Liabilities measured at fair value:
Fair value option:
Securities sold but not yet purchased (2)	$	—	$	—	$	—	$	—
Total liabilities measured at fair value	$	—	$	—	$	—	$	—

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(1)	In securities lending transactions, the Company receives collateral in excess of the fair value of the fixed maturities and short-term investments pledged. For purposes of this table, the Company has excluded the collateral received and reinvested and included the fixed maturities and short-term investments pledged.


(2)	Represents the Company’s obligation to deliver securities that it did not own at the time of sale. Such amounts are included in “other liabilities” on the Company’s consolidated balance sheets.

The following table presents the Company’s financial assets and liabilities measured at fair value by level at December 31, 2012:



			Fair Value Measurement Using:
	Fair Value		Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
Assets measured at fair value:
Available for sale securities:
Fixed maturities and fixed maturities pledged under securities lending agreements (1):
Corporate bonds	$	2,857,513	$	—	$	2,759,109	$	98,404
Mortgage backed securities	1,532,736		—		1,532,736		—
Municipal bonds	1,463,586		—		1,463,586		—
Commercial mortgage backed securities	824,165		—		824,165		—
U.S. government and government agencies	1,131,688		1,131,688		—		—
Non-U.S. government securities	998,901		—		998,901		—
Asset backed securities	1,073,999		—		1,073,999		—
Total	9,882,588		1,131,688		8,652,496		98,404

Equity securities	312,749		312,666		83		—
Other investments	549,280		—		365,078		184,202
Short-term investments	730,369		678,441		51,928		—

Fair value option:
Investments accounted for using the fair value option:
Corporate bonds	275,132		—		275,132		—
Non-U.S. government bonds	88,409		—		88,409		—
Other investments	527,971		—		332,621		195,350
Equity securities	25,954		25,954		—		—
Total	917,466		25,954		696,162		195,350

Total assets measured at fair value	$	12,392,452	$	2,148,749	$	9,765,747	$	477,956

Liabilities measured at fair value:
Fair value option:
Securities sold but not yet purchased (2)	$	6,924	$	6,924	$	—	$	—
Total liabilities measured at fair value	$	6,924	$	6,924	$	—	$	—

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(1)	In securities lending transactions, the Company receives collateral in excess of the fair value of the fixed maturities and short-term investments pledged. For purposes of this table, the Company has excluded the collateral received and reinvested and included the fixed maturities and short-term investments pledged.


(2)	Represents the Company’s obligation to deliver securities that it did not own at the time of sale. Such amounts are included in “other liabilities” on the Company’s consolidated balance sheets.

Rollforward of Level 3 investments

The following table presents a reconciliation of the beginning and ending balances for all investments measured at fair value on a recurring basis using Level 3 inputs for the 2013 first quarter and 2012 first quarter:



	Fair Value Measurements Using: Significant Unobservable Inputs (Level 3)
s	Available-For-Sale						Fair Value Option
	Corporate Bonds			Other Investments			Other Investments			Total
Three Months Ended March 31, 2013
Balance at beginning of period	$	98,404		$	184,202		$	195,350		$	477,956
Total gains or (losses) (realized/unrealized)
Included in earnings (1)	1,492			4,762			373			6,627
Included in other comprehensive income	(1,688		)	1,912			—			224
Purchases, issuances, sales and settlements
Purchases	—			5,000			41,654			46,654
Issuances	—			—			—			—
Sales	—			—			—			—
Settlements	(910		)	(9,942		)	(58,007		)	(68,859		)
Transfers in and/or out of Level 3	—			—			—			—
Balance at end of period	$	97,298		$	185,934		$	179,370		$	462,602

Three Months Ended March 31, 2012
Balance at beginning of period	$	92,091		$	5,124		$	—		$	97,215
Total gains or (losses) (realized/unrealized)
Included in earnings (1)	2,331			81			—			2,412
Included in other comprehensive income	2,273			1,091			—			3,364
Purchases, issuances, sales and settlements
Purchases	—			—			—			—
Issuances	—			—			—			—
Sales	—			—			—			—
Settlements	(40		)	(81		)	—			(121		)
Transfers in and/or out of Level 3	—			—			—			—
Balance at end of period	$	96,655		$	6,215		$	—		$	102,870

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(1)	Gains or losses on corporate bonds were included in net realized gains (losses) while gains or losses on other investments were recorded in net realized gains (losses) or net investment income.

- Definition

Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets) and gains or losses recognized in other comprehensive income (loss), and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs), by class of asset.

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