x
|
QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d)
OF THE SECURITIES EXCHANGE ACT OF 1934
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For the quarterly period ended June 30, 2015
|
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OR
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|
¨
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TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d)
OF THE SECURITIES EXCHANGE ACT OF 1934
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|
XL GROUP
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Public Limited Company
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(Exact name of registrant as specified in its charter)
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Ireland
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98-0665416
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(State or other jurisdiction of
incorporation or organization)
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|
(I.R.S. Employer Identification No.)
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|
Large accelerated filer
x
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Accelerated filer
¨
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Non-accelerated filer
¨
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Smaller reporting company
¨
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Page No.
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||
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Unaudited Consolidated Balance Sheets at June 30, 2015 and December 31, 2014
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Unaudited Consolidated Statements of Income for the Three and Six Months Ended June 30, 2015 and 2014
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|
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Unaudited Consolidated Statements of Comprehensive Income for the Three and Six Months Ended June 30, 2015 and 2014
|
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Unaudited Consolidated Statements of Shareholders’ Equity for the Six Months Ended June 30, 2015 and 2014
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Unaudited Consolidated Statements of Cash Flows for the Six Months Ended June 30, 2015 and 2014
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ITEM 1.
|
|
FINANCIAL STATEMENTS
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(U.S. dollars in thousands, except share data)
|
June 30, 2015
|
|
December 31, 2014
|
||||
ASSETS
|
|||||||
Investments:
|
|
|
|
|
|
||
Fixed maturities, at fair value (amortized cost: 2015, $32,699,709; 2014, $27,728,771)
|
$
|
33,767,991
|
|
|
$
|
29,359,034
|
|
Equity securities, at fair value (cost: 2015, $964,038; 2014, $763,833)
|
1,073,470
|
|
|
868,292
|
|
||
Short-term investments, at fair value (amortized cost: 2015, $806,990; 2014, $257,221)
|
807,486
|
|
|
256,727
|
|
||
Total investments available for sale
|
$
|
35,648,947
|
|
|
$
|
30,484,053
|
|
Fixed maturities, at fair value (amortized cost: 2015, $768,492; 2014, $1,180)
|
$
|
748,931
|
|
|
$
|
1,171
|
|
Short-term investments, at fair value (amortized cost: 2015, $42,557; 2014, nil)
|
42,553
|
|
|
—
|
|
||
Total investments trading
|
$
|
791,484
|
|
|
$
|
1,171
|
|
Investments in affiliates
|
1,663,852
|
|
|
1,637,620
|
|
||
Other investments
|
1,743,259
|
|
|
1,248,439
|
|
||
Total investments
|
$
|
39,847,542
|
|
|
$
|
33,371,283
|
|
Cash and cash equivalents
|
2,840,841
|
|
|
2,521,814
|
|
||
Restricted cash
|
135,638
|
|
|
—
|
|
||
Accrued investment income
|
312,856
|
|
|
315,964
|
|
||
Deferred acquisition costs and value of business acquired
|
1,121,362
|
|
|
354,533
|
|
||
Ceded unearned premiums
|
2,433,462
|
|
|
952,525
|
|
||
Premiums receivable
|
5,933,368
|
|
|
2,473,736
|
|
||
Reinsurance balances receivable
|
371,807
|
|
|
131,519
|
|
||
Unpaid losses and loss expenses recoverable
|
5,155,612
|
|
|
3,429,368
|
|
||
Receivable from investments sold
|
118,415
|
|
|
92,762
|
|
||
Goodwill and other intangible assets
|
2,205,911
|
|
|
447,952
|
|
||
Deferred tax asset
|
204,155
|
|
|
204,491
|
|
||
Other assets
|
1,069,737
|
|
|
750,872
|
|
||
Total assets
|
$
|
61,750,706
|
|
|
$
|
45,046,819
|
|
|
|
|
|
||||
LIABILITIES AND SHAREHOLDERS’ EQUITY
|
|||||||
Liabilities:
|
|
|
|
|
|
||
Unpaid losses and loss expenses
|
$
|
25,840,381
|
|
|
$
|
19,353,243
|
|
Deposit liabilities
|
1,212,206
|
|
|
1,245,367
|
|
||
Future policy benefit reserves
|
4,494,886
|
|
|
4,707,199
|
|
||
Funds withheld on life retrocession arrangements (net of future policy benefit reserves recoverable: 2015, $4,054,705; 2014, $4,265,678)
|
915,116
|
|
|
1,155,016
|
|
||
Unearned premiums
|
8,548,841
|
|
|
3,973,132
|
|
||
Notes payable and debt
|
2,726,455
|
|
|
1,662,580
|
|
||
Reinsurance balances payable
|
2,494,201
|
|
|
493,230
|
|
||
Payable for investments purchased
|
149,249
|
|
|
42,291
|
|
||
Deferred tax liability
|
144,044
|
|
|
66,246
|
|
||
Other liabilities
|
1,020,222
|
|
|
912,749
|
|
||
Total liabilities
|
$
|
47,545,601
|
|
|
$
|
33,611,053
|
|
Commitments and Contingencies
|
|
|
|
|
|
||
Shareholders’ Equity:
|
|
|
|
|
|
||
Ordinary shares, 999,990,000 authorized, par value $0.01; issued and outstanding (2015, 303,891,887; 2014, 255,182,955)
|
$
|
3,039
|
|
|
$
|
2,552
|
|
Additional paid in capital
|
9,153,868
|
|
|
7,359,102
|
|
||
Accumulated other comprehensive income
|
1,076,174
|
|
|
1,484,458
|
|
||
Retained earnings
|
2,014,217
|
|
|
1,187,639
|
|
||
Shareholders’ equity attributable to XL Group plc
|
$
|
12,247,298
|
|
|
$
|
10,033,751
|
|
Non-controlling interest in equity of consolidated subsidiaries
|
1,957,807
|
|
|
1,402,015
|
|
||
Total shareholders’ equity
|
$
|
14,205,105
|
|
|
$
|
11,435,766
|
|
Total liabilities and shareholders’ equity
|
$
|
61,750,706
|
|
|
$
|
45,046,819
|
|
|
Three Months Ended
|
|
Six Months Ended
|
||||||||||||
|
June 30,
|
|
June 30,
|
||||||||||||
(U.S. dollars in thousands, except per share data)
|
2015
|
|
2014
|
|
2015
|
|
2014
|
||||||||
Revenues:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Net premiums earned
|
$
|
2,082,053
|
|
|
$
|
1,496,594
|
|
|
$
|
3,416,053
|
|
|
$
|
2,985,433
|
|
Net investment income:
|
|
|
|
|
|
|
|
||||||||
Net investment income - excluding Life Funds Withheld Assets
|
176,340
|
|
|
213,608
|
|
|
334,434
|
|
|
446,797
|
|
||||
Net investment income - Life Funds Withheld Assets
|
46,864
|
|
|
19,165
|
|
|
97,283
|
|
|
19,165
|
|
||||
Total net investment income
|
$
|
223,204
|
|
|
$
|
232,773
|
|
|
$
|
431,717
|
|
|
$
|
465,962
|
|
Net realized gains (losses) on investments, and net unrealized gains (losses) on investments trading securities ("Trading") - Life Funds Withheld Assets:
|
|
|
|
|
|
|
|
||||||||
Net realized gains (losses) on investments sold - excluding Life Funds Withheld Assets
|
20,939
|
|
|
105,460
|
|
|
36,117
|
|
|
128,416
|
|
||||
Other-than-temporary impairments ("OTTI") on investments - excluding Life Funds Withheld Assets
|
(16,520
|
)
|
|
(24,362
|
)
|
|
(27,035
|
)
|
|
(26,638
|
)
|
||||
OTTI on investments transferred to (from) other comprehensive income - excluding Life Funds Withheld Assets
|
(68
|
)
|
|
(254
|
)
|
|
(129
|
)
|
|
(1,705
|
)
|
||||
Net realized gains (losses) on investments sold - Life Funds Withheld Assets
|
68,037
|
|
|
624
|
|
|
120,775
|
|
|
624
|
|
||||
OTTI on investments - Life Funds Withheld Assets
|
(2,878
|
)
|
|
(8,771
|
)
|
|
(8,087
|
)
|
|
(8,771
|
)
|
||||
Net unrealized gains (losses) on investments Trading - Life Funds Withheld Assets
|
(19,543
|
)
|
|
—
|
|
|
(18,783
|
)
|
|
—
|
|
||||
Total net realized gains (losses) on investments, and net unrealized gains (losses) on investments Trading - Life Funds Withheld Assets
|
$
|
49,967
|
|
|
$
|
72,697
|
|
|
$
|
102,858
|
|
|
$
|
91,926
|
|
Net realized and unrealized gains (losses) on derivative instruments
|
48,509
|
|
|
11,599
|
|
|
65,030
|
|
|
13,409
|
|
||||
Net realized and unrealized gains (losses) on life retrocession embedded derivative and derivative instruments - Life Funds Withheld Assets
|
239,174
|
|
|
(17,546
|
)
|
|
9,807
|
|
|
(17,546
|
)
|
||||
Income (loss) from investment fund affiliates
|
31,377
|
|
|
17,683
|
|
|
66,706
|
|
|
50,986
|
|
||||
Fee income and other
|
11,012
|
|
|
9,706
|
|
|
15,740
|
|
|
21,160
|
|
||||
Total revenues
|
$
|
2,685,296
|
|
|
$
|
1,823,506
|
|
|
$
|
4,107,911
|
|
|
$
|
3,611,330
|
|
Expenses:
|
|
|
|
|
|
|
|
||||||||
Net losses and loss expenses incurred
|
$
|
1,151,195
|
|
|
$
|
827,880
|
|
|
$
|
1,921,022
|
|
|
$
|
1,659,385
|
|
Claims and policy benefits
|
22,081
|
|
|
85,299
|
|
|
41,468
|
|
|
198,886
|
|
||||
Acquisition costs
|
341,617
|
|
|
184,619
|
|
|
495,313
|
|
|
384,033
|
|
||||
Operating expenses
|
507,354
|
|
|
333,029
|
|
|
833,010
|
|
|
643,453
|
|
||||
Foreign exchange (gains) losses
|
10,374
|
|
|
21,141
|
|
|
37,764
|
|
|
31,582
|
|
||||
Loss on sale of life reinsurance subsidiary
|
—
|
|
|
666,423
|
|
|
—
|
|
|
666,423
|
|
||||
Interest expense
|
49,667
|
|
|
14,085
|
|
|
101,105
|
|
|
57,026
|
|
||||
Total expenses
|
$
|
2,082,288
|
|
|
$
|
2,132,476
|
|
|
$
|
3,429,682
|
|
|
$
|
3,640,788
|
|
Income (loss) before income tax and income (loss) from operating affiliates
|
$
|
603,008
|
|
|
$
|
(308,970
|
)
|
|
$
|
678,229
|
|
|
$
|
(29,458
|
)
|
Income (loss) from operating affiliates
|
9,462
|
|
|
27,738
|
|
|
32,130
|
|
|
74,023
|
|
||||
Gain on sale of operating affiliate
|
340,407
|
|
|
—
|
|
|
340,407
|
|
|
—
|
|
||||
Provision (benefit) for income tax
|
32,959
|
|
|
(5,654
|
)
|
|
57,177
|
|
|
28,667
|
|
||||
Net income (loss)
|
$
|
919,918
|
|
|
$
|
(275,578
|
)
|
|
$
|
993,589
|
|
|
$
|
15,898
|
|
Non-controlling interests
|
4,879
|
|
|
3,682
|
|
|
42,269
|
|
|
39,441
|
|
||||
Net income (loss) attributable to ordinary shareholders
|
$
|
915,039
|
|
|
$
|
(279,260
|
)
|
|
$
|
951,320
|
|
|
$
|
(23,543
|
)
|
Weighted average ordinary shares and ordinary share equivalents outstanding, in thousands – basic
|
289,420
|
|
|
270,924
|
|
|
272,665
|
|
|
273,616
|
|
||||
Weighted average ordinary shares and ordinary share equivalents outstanding, in thousands – diluted
|
293,983
|
|
|
270,924
|
|
|
277,473
|
|
|
273,616
|
|
||||
Earnings (loss) per ordinary share and ordinary share equivalent – basic
|
$
|
3.16
|
|
|
$
|
(1.03
|
)
|
|
$
|
3.49
|
|
|
$
|
(0.09
|
)
|
Earnings (loss) per ordinary share and ordinary share equivalent – diluted
|
$
|
3.11
|
|
|
$
|
(1.03
|
)
|
|
$
|
3.43
|
|
|
$
|
(0.09
|
)
|
|
Three Months Ended
|
|
Six Months Ended
|
||||||||||||
|
June 30,
|
|
June 30,
|
||||||||||||
(U.S. dollars in thousands)
|
2015
|
|
2014
|
|
2015
|
|
2014
|
||||||||
Net income (loss) attributable to ordinary shareholders
|
$
|
915,039
|
|
|
$
|
(279,260
|
)
|
|
$
|
951,320
|
|
|
$
|
(23,543
|
)
|
Change in net unrealized gains (losses) on investments - excluding Life Funds Withheld Assets, net of tax
|
(318,935
|
)
|
|
260,690
|
|
|
(258,590
|
)
|
|
502,080
|
|
||||
Unrealized gains on held to maturity investment portfolio at time of transfer to available for sale, net of tax
|
—
|
|
|
424,861
|
|
|
—
|
|
|
424,861
|
|
||||
Change in adjustments related to future policy benefit reserves, net of tax
|
26,328
|
|
|
(440,461
|
)
|
|
86,684
|
|
|
(474,465
|
)
|
||||
Change in net unrealized gains (losses) on investments - Life Funds Withheld Assets, net of tax
|
(321,046
|
)
|
|
12,297
|
|
|
(283,931
|
)
|
|
12,297
|
|
||||
Change in net unrealized gains (losses) on affiliate and other investments, net of tax
|
18,822
|
|
|
10,850
|
|
|
34,687
|
|
|
13,973
|
|
||||
Change in OTTI losses recognized in other comprehensive income, net of tax
|
1,575
|
|
|
1,636
|
|
|
11,433
|
|
|
4,932
|
|
||||
Change in underfunded pension liability, net of tax
|
(1,329
|
)
|
|
(8
|
)
|
|
(354
|
)
|
|
(39
|
)
|
||||
Change in value of cash flow hedge
|
12
|
|
|
110
|
|
|
107
|
|
|
220
|
|
||||
Foreign currency translation adjustments, net of tax
|
(34,423
|
)
|
|
(9,602
|
)
|
|
1,680
|
|
|
(13,482
|
)
|
||||
Comprehensive income (loss)
|
$
|
286,043
|
|
|
$
|
(18,887
|
)
|
|
$
|
543,036
|
|
|
$
|
446,834
|
|
|
Six Months Ended
|
||||||
|
June 30,
|
||||||
(U.S. dollars in thousands)
|
2015
|
|
2014
|
||||
Ordinary Shares:
|
|
|
|
|
|
||
Balance - beginning of year
|
$
|
2,552
|
|
|
$
|
2,783
|
|
Issuance of ordinary shares
|
515
|
|
|
11
|
|
||
Buybacks of ordinary shares
|
(30
|
)
|
|
(113
|
)
|
||
Exercise of stock options
|
2
|
|
|
2
|
|
||
Balance - end of period
|
$
|
3,039
|
|
|
$
|
2,683
|
|
Additional Paid in Capital:
|
|
|
|
|
|
||
Balance - beginning of year
|
$
|
7,359,102
|
|
|
$
|
7,994,100
|
|
Issuance of ordinary shares
|
1,851,705
|
|
|
14
|
|
||
Buybacks of ordinary shares
|
(85,796
|
)
|
|
(323,455
|
)
|
||
Exercise of stock options
|
4,826
|
|
|
3,055
|
|
||
Share-based compensation
|
24,031
|
|
|
26,663
|
|
||
Balance - end of period
|
$
|
9,153,868
|
|
|
$
|
7,700,377
|
|
Accumulated Other Comprehensive Income (Loss):
|
|
|
|
|
|
||
Balance - beginning of year
|
$
|
1,484,458
|
|
|
$
|
736,657
|
|
Change in net unrealized gains (losses) on investments - excluding Life Funds Withheld Assets, net of tax
|
(258,590
|
)
|
|
502,080
|
|
||
Unrealized gains on held to maturity investment portfolio at time of transfer to available for sale, net of tax
|
—
|
|
|
424,861
|
|
||
Change in adjustments related to future policy benefit reserves, net of tax
|
86,684
|
|
|
(474,465
|
)
|
||
Change in net unrealized gains (losses) on investments - Life Funds Withheld Assets, net of tax
|
(283,931
|
)
|
|
12,297
|
|
||
Change in net unrealized gains (losses) on affiliate and other investments, net of tax
|
34,687
|
|
|
13,973
|
|
||
Change in OTTI losses recognized in other comprehensive income, net of tax
|
11,433
|
|
|
4,932
|
|
||
Change in underfunded pension liability, net of tax
|
(354
|
)
|
|
(39
|
)
|
||
Change in value of cash flow hedge
|
107
|
|
|
220
|
|
||
Foreign currency translation adjustments, net of tax
|
1,680
|
|
|
(13,482
|
)
|
||
Balance - end of period
|
$
|
1,076,174
|
|
|
$
|
1,207,034
|
|
Retained Earnings (Deficit):
|
|
|
|
|
|
||
Balance - beginning of year
|
$
|
1,187,639
|
|
|
$
|
1,264,093
|
|
Net income (loss) attributable to ordinary shareholders
|
951,320
|
|
|
(23,543
|
)
|
||
Dividends on ordinary shares
|
(91,133
|
)
|
|
(88,270
|
)
|
||
Buybacks of ordinary shares
|
(26,559
|
)
|
|
(28,085
|
)
|
||
Share-based compensation
|
(7,050
|
)
|
|
—
|
|
||
Balance - end of period
|
$
|
2,014,217
|
|
|
$
|
1,124,195
|
|
Non-controlling Interest in Equity of Consolidated Subsidiaries:
|
|
|
|
|
|
||
Balance - beginning of year
|
$
|
1,402,015
|
|
|
$
|
1,351,665
|
|
Non-controlling interests - contributions
|
4,659
|
|
|
21,494
|
|
||
Non-controlling interests - distributions
|
(15,026
|
)
|
|
—
|
|
||
Non-controlling interests - acquired
|
562,285
|
|
|
—
|
|
||
Non-controlling interests
|
3,874
|
|
|
1,129
|
|
||
Balance - end of period
|
$
|
1,957,807
|
|
|
$
|
1,374,288
|
|
Total Shareholders’ Equity
|
$
|
14,205,105
|
|
|
$
|
11,408,577
|
|
|
Six Months Ended
|
||||||
|
June 30,
|
||||||
(U.S. dollars in thousands)
|
2015
|
|
2014
|
||||
Cash flows provided by (used in) operating activities:
|
|
|
|
||||
Net income (loss)
|
$
|
993,589
|
|
|
$
|
15,898
|
|
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
|
|
|
|
||||
Total net realized (gains) losses on investments and net unrealized (gains) losses on investments, Trading - Life Funds Withheld Assets
|
(102,858
|
)
|
|
(91,926
|
)
|
||
Net realized and unrealized (gains) losses on derivative instruments
|
(65,030
|
)
|
|
(13,409
|
)
|
||
Net realized and unrealized (gains) losses on life retrocession embedded derivative and derivative instruments - Life Funds Withheld Assets
|
(9,807
|
)
|
|
17,546
|
|
||
Amortization of premiums (discounts) on fixed maturities
|
77,334
|
|
|
76,846
|
|
||
(Income) loss from investment and operating affiliates
|
(78,257
|
)
|
|
(68,292
|
)
|
||
Loss on sale of life reinsurance subsidiary
|
—
|
|
|
666,423
|
|
||
Gain on sale of ARX Holding Corp.
|
(340,407
|
)
|
|
—
|
|
||
Share-based compensation
|
39,641
|
|
|
40,563
|
|
||
Depreciation
|
29,349
|
|
|
29,107
|
|
||
Accretion of deposit liabilities
|
20,887
|
|
|
(7,762
|
)
|
||
Changes in:
|
|
|
|
||||
Unpaid losses and loss expenses
|
(166,007
|
)
|
|
(264,804
|
)
|
||
Future policy benefit reserves
|
(122,842
|
)
|
|
(93,202
|
)
|
||
Funds withheld on life retrocession arrangements, net
|
(156,411
|
)
|
|
(52,104
|
)
|
||
Unearned premiums
|
868,244
|
|
|
848,937
|
|
||
Premiums receivable
|
(959,771
|
)
|
|
(792,588
|
)
|
||
Unpaid losses and loss expenses recoverable
|
(255,432
|
)
|
|
136,758
|
|
||
Ceded unearned premiums
|
(343,391
|
)
|
|
(338,855
|
)
|
||
Reinsurance balances receivable
|
56,825
|
|
|
(28,270
|
)
|
||
Deferred acquisition costs and value of business acquired
|
(105,402
|
)
|
|
216,453
|
|
||
Reinsurance balances payable
|
565,221
|
|
|
420,902
|
|
||
Deferred tax asset - net
|
30,284
|
|
|
(51,571
|
)
|
||
Derivatives
|
109,745
|
|
|
(45,306
|
)
|
||
Other assets
|
(63,360
|
)
|
|
(15,478
|
)
|
||
Other liabilities
|
(59,258
|
)
|
|
(286,737
|
)
|
||
Other
|
57,618
|
|
|
34,500
|
|
||
Total adjustments
|
$
|
(973,085
|
)
|
|
$
|
337,731
|
|
Net cash provided by (used in) operating activities
|
$
|
20,504
|
|
|
$
|
353,629
|
|
Cash flows provided by (used in) investing activities:
|
|
|
|
||||
Proceeds from sale of fixed maturities and short-term investments
|
$
|
6,352,126
|
|
|
$
|
3,043,659
|
|
Proceeds from redemption of fixed maturities and short-term investments
|
1,938,622
|
|
|
1,837,319
|
|
||
Proceeds from sale of equity securities
|
271,367
|
|
|
295,448
|
|
||
Purchases of fixed maturities and short-term investments
|
(8,042,196
|
)
|
|
(3,801,109
|
)
|
||
Purchases of equity securities
|
(239,535
|
)
|
|
(239,680
|
)
|
||
Proceeds from sale of affiliates
|
86,156
|
|
|
156,481
|
|
||
Purchases of affiliates
|
(33,298
|
)
|
|
(196,487
|
)
|
||
Purchase of Catlin Group Limited, net of cash acquired
|
(1,020,015
|
)
|
|
—
|
|
||
Proceeds from sale of life reinsurance subsidiary
|
—
|
|
|
570,000
|
|
||
Proceeds from sale of ARX Holding Corp.
|
560,552
|
|
|
—
|
|
||
Change in restricted cash
|
(135,638
|
)
|
|
—
|
|
||
Other, net
|
(87,516
|
)
|
|
(96,222
|
)
|
||
Net cash provided by (used in) investing activities
|
$
|
(349,375
|
)
|
|
$
|
1,569,409
|
|
Cash flows provided by (used in) financing activities:
|
|
|
|
||||
Proceeds from issuance of ordinary shares and exercise of stock options
|
$
|
4,827
|
|
|
$
|
3,057
|
|
Buybacks of ordinary shares
|
(112,385
|
)
|
|
(351,654
|
)
|
||
Dividends paid on ordinary shares
|
(89,053
|
)
|
|
(87,056
|
)
|
||
Distributions to non-controlling interests
|
(53,456
|
)
|
|
(38,502
|
)
|
||
Contributions from non-controlling interests
|
4,658
|
|
|
21,494
|
|
||
Proceeds from the issuance of debt
|
980,600
|
|
|
—
|
|
||
Deposit liabilities
|
(49,388
|
)
|
|
(213,869
|
)
|
||
Net cash provided by (used in) financing activities
|
$
|
685,803
|
|
|
$
|
(666,530
|
)
|
Effects of exchange rate changes on foreign currency cash
|
(37,905
|
)
|
|
13,799
|
|
||
Increase (decrease) in cash and cash equivalents
|
$
|
319,027
|
|
|
$
|
1,270,307
|
|
Cash and cash equivalents - beginning of period
|
2,521,814
|
|
|
1,800,832
|
|
||
Cash and cash equivalents - end of period
|
$
|
2,840,841
|
|
|
$
|
3,071,139
|
|
(1)
|
The closing market price of XL Shares on the Acquisition Date represents the fair value of XL shares issued as part of the Acquisition Consideration.
|
•
|
Deferred acquisition costs and value of business acquired - The adjustment consists of two components. The first adjustment is the elimination of Catlin's deferred acquisition costs asset. The second adjustment is the establishment of the value of business acquired asset which represents the present value of the expected underwriting profit within the unearned premiums liability, net of reinsurance, less costs to service the related policies and a risk premium. This adjustment will be amortized to underwriting, acquisition and insurance expenses over approximately
two years
, as the contracts for business in-force as of the Acquisition Date expire. The Company has included
$183.3 million
in
|
•
|
Intangible assets - Establish the estimated fair value of intangible assets related to Catlin. See Note 8, "Goodwill and Other Intangible Assets" for further information.
|
•
|
Other assets - Establish the estimated fair value of Catlin's internally developed software.
|
•
|
Unpaid losses and loss adjustment expenses - Unpaid losses and loss adjustment expenses acquired include an increase to adjust the carrying value of Catlin's historical unpaid losses and loss adjustment expenses, net of related reinsurance recoverable, to fair value as of the Acquisition Date. The estimated fair value consists of the present value of the expected net loss and loss adjustment expense payments plus a risk premium. This adjustment, plus the unamortized fair value adjustment included in Catlin's historical unpaid losses and loss adjustment expenses, will be amortized to losses and loss adjustment expenses over a weighted average period of approximately
20 years
, based on the estimated payout pattern of net reserves as of the Acquisition Date.
|
•
|
Net deferred tax liabilities - The adjustment to deferred tax liabilities is related to the deferred tax impact of the adjustments to fair value as noted above. This net increase of deferred tax liabilities is explained further in "Income Taxes" below.
|
•
|
Non-controlling interest - The fair value was determined based on the last trade price of preferred shares issued by Catlin Insurance Company Limited ("Catlin-Bermuda"). See Note 9, "Share Capital" for further information.
|
(U.S. dollars in thousands)
|
Severance costs
|
|
Retention costs
|
|
Facilities-related costs
|
|
Consulting and other
|
||||||||
Costs incurred in 2015
|
$
|
12,274
|
|
|
$
|
365
|
|
|
$
|
1,530
|
|
|
$
|
13,676
|
|
2015 payments
|
1,639
|
|
|
—
|
|
|
462
|
|
|
4,573
|
|
||||
Liabilities at June 30, 2015
|
$
|
10,635
|
|
|
$
|
365
|
|
|
$
|
1,068
|
|
|
$
|
9,103
|
|
(U.S. dollars in thousands)
|
May 1, 2015 to June 30, 2015
|
||
Total revenues
|
$
|
709,800
|
|
Net income (loss) attributable to ordinary shareholders
|
$
|
50,017
|
|
|
Unaudited Pro Forma
|
||||||
|
Six Months Ended June 30,
|
||||||
(In thousands, except per share data)
|
2015
|
|
2014
|
||||
Total revenues
|
$
|
5,427,900
|
|
|
$
|
5,736,519
|
|
Net income attributable to ordinary shareholders
|
960,951
|
|
|
107,279
|
|
||
Earnings (loss) per ordinary share and ordinary share equivalent – basic
|
3.14
|
|
|
0.33
|
|
||
Earnings (loss) per ordinary share and ordinary share equivalent – diluted
|
3.09
|
|
|
0.33
|
|
Impact of Life Retro Arrangements
|
Three months ended June 30,
|
|
Six Months Ended June 30,
|
||||||||||||
(U.S. dollars in thousands)
|
2015
|
|
2014
|
|
2015
|
|
2014
|
||||||||
Underwriting profit (loss) (1)
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
603
|
|
|
$
|
—
|
|
Net investment income - Life Funds Withheld Assets
|
46,864
|
|
|
19,165
|
|
|
97,283
|
|
|
19,165
|
|
||||
Net realized gains (losses) on investments sold - Life Funds Withheld Assets
|
68,037
|
|
|
624
|
|
|
120,775
|
|
|
624
|
|
||||
Net unrealized gains (losses) on investments, Trading - Life Funds Withheld Assets
|
(19,543
|
)
|
|
—
|
|
|
(18,783
|
)
|
|
—
|
|
||||
OTTI on investments - Life Funds Withheld Assets
|
(2,878
|
)
|
|
(8,771
|
)
|
|
(8,087
|
)
|
|
(8,771
|
)
|
||||
Exchange gains (losses)
|
(18,370
|
)
|
|
—
|
|
|
(14,686
|
)
|
|
—
|
|
||||
Other income and expenses
|
3,773
|
|
|
(19
|
)
|
|
2,475
|
|
|
(19
|
)
|
||||
Net realized and unrealized gains (losses) on life retrocession embedded derivative and derivative instruments - Life Funds Withheld Assets
|
239,174
|
|
|
(17,546
|
)
|
|
9,807
|
|
|
(17,546
|
)
|
||||
Net income (loss)
|
$
|
317,057
|
|
|
$
|
(6,547
|
)
|
|
$
|
189,387
|
|
|
$
|
(6,547
|
)
|
Change in net unrealized gains (losses) on investments - Life Funds Withheld Assets, net of tax
|
(321,046
|
)
|
|
12,297
|
|
|
(283,931
|
)
|
|
12,297
|
|
||||
Change in adjustments related to future policy benefit reserves, net of tax
|
26,328
|
|
|
—
|
|
|
86,684
|
|
|
—
|
|
||||
Change in cumulative translation adjustment - Life Funds Withheld Assets, net of tax
|
(22,339
|
)
|
|
(5,750
|
)
|
|
8,463
|
|
|
(5,750
|
)
|
||||
Total changes to other comprehensive income as a result of Life Retro Arrangements
|
$
|
(317,057
|
)
|
|
$
|
6,547
|
|
|
$
|
(188,784
|
)
|
|
$
|
6,547
|
|
Comprehensive income (loss)
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
603
|
|
|
$
|
—
|
|
(1)
|
The underwriting profit of
$0.6 million
relates to a premium adjustment during the six months ended June 30, 2015 relating to the Life Retro Arrangements transaction. Excluding this transaction, the impact to comprehensive income relating to the Life Retro Arrangements was
nil
for the three and six months ended June 30, 2015.
|
June 30, 2015
(U.S. dollars in thousands)
|
Quoted Prices
in Active
Markets for
Identical Assets
(Level 1)
|
|
Significant
Other
Observable
Inputs
(Level 2)
|
|
Significant
Other
Unobservable
Inputs
(Level 3)
|
|
Collateral
and
Counterparty
Netting
|
|
Balance at
June 30, 2015 |
||||||||||
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Fixed maturities - Available for Sale ("AFS") - Excluding Life Funds Withheld Assets
|
|
|
|
|
|
|
|
|
|
||||||||||
U.S. Government and Government-Related/Supported
|
$
|
—
|
|
|
$
|
3,827,106
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
3,827,106
|
|
Corporate - Financials
|
—
|
|
|
3,225,513
|
|
|
10,000
|
|
|
—
|
|
|
3,235,513
|
|
|||||
Corporate - Non Financials (1)
|
—
|
|
|
6,946,510
|
|
|
5,554
|
|
|
—
|
|
|
6,952,064
|
|
|||||
Residential mortgage-backed securities – Agency ("RMBS - Agency")
|
—
|
|
|
3,955,106
|
|
|
3,038
|
|
|
—
|
|
|
3,958,144
|
|
|||||
Residential mortgage-backed securities – Non-Agency ("RMBS - Non-Agency")
|
—
|
|
|
372,271
|
|
|
—
|
|
|
—
|
|
|
372,271
|
|
|||||
Commercial mortgage-backed securities ("CMBS")
|
—
|
|
|
936,058
|
|
|
—
|
|
|
—
|
|
|
936,058
|
|
|||||
Collateralized debt obligations ("CDO")
|
—
|
|
|
3,854
|
|
|
484,171
|
|
|
—
|
|
|
488,025
|
|
|||||
Other asset-backed securities (1)
|
—
|
|
|
2,307,642
|
|
|
42,745
|
|
|
—
|
|
|
2,350,387
|
|
U.S. States and political subdivisions of the States
|
—
|
|
|
2,391,273
|
|
|
—
|
|
|
—
|
|
|
2,391,273
|
|
|||||
Non-U.S. Sovereign Government, Provincial, Supranational and Government-Related/Supported
|
—
|
|
|
5,260,062
|
|
|
—
|
|
|
—
|
|
|
5,260,062
|
|
|||||
Total fixed maturities - AFS - Excluding Funds Withheld Assets, at fair value
|
$
|
—
|
|
|
$
|
29,225,395
|
|
|
$
|
545,508
|
|
|
$
|
—
|
|
|
$
|
29,770,903
|
|
Equity securities, at fair value
|
659,338
|
|
|
414,132
|
|
|
—
|
|
|
—
|
|
|
1,073,470
|
|
|||||
Short-term investments, at fair value (1)(2)
|
—
|
|
|
807,486
|
|
|
—
|
|
|
—
|
|
|
807,486
|
|
|||||
Total investments AFS - Excluding Funds Withheld Assets
|
$
|
659,338
|
|
|
$
|
30,447,013
|
|
|
$
|
545,508
|
|
|
$
|
—
|
|
|
$
|
31,651,859
|
|
Fixed maturities - Life Funds Withheld Assets
|
|
|
|
|
|
|
|
|
|
||||||||||
U.S. Government and Government-Related/Supported
|
$
|
—
|
|
|
$
|
13,678
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
13,678
|
|
Corporate - Financials
|
—
|
|
|
722,922
|
|
|
—
|
|
|
—
|
|
|
722,922
|
|
|||||
Corporate - Non Financials
|
—
|
|
|
1,665,678
|
|
|
—
|
|
|
—
|
|
|
1,665,678
|
|
|||||
RMBS – Agency
|
—
|
|
|
837
|
|
|
—
|
|
|
—
|
|
|
837
|
|
|||||
RMBS – Non-Agency
|
—
|
|
|
29,591
|
|
|
—
|
|
|
—
|
|
|
29,591
|
|
|||||
CMBS
|
—
|
|
|
145,617
|
|
|
—
|
|
|
—
|
|
|
145,617
|
|
|||||
Other asset-backed securities
|
—
|
|
|
187,537
|
|
|
—
|
|
|
—
|
|
|
187,537
|
|
|||||
Non-U.S. Sovereign Government, Provincial, Supranational and Government-Related/Supported
|
—
|
|
|
1,231,228
|
|
|
—
|
|
|
—
|
|
|
1,231,228
|
|
|||||
Total fixed maturities - AFS - Life Funds Withheld Assets, at fair value
|
$
|
—
|
|
|
$
|
3,997,088
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
3,997,088
|
|
Total investments - AFS, at fair value
|
$
|
659,338
|
|
|
$
|
34,444,101
|
|
|
$
|
545,508
|
|
|
$
|
—
|
|
|
$
|
35,648,947
|
|
Fixed maturities - trading securities ("Trading")
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
U.S. Government and Government-Related/Supported
|
$
|
—
|
|
|
$
|
3,596
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
3,596
|
|
Corporate - Financials
|
—
|
|
|
187,169
|
|
|
—
|
|
|
—
|
|
|
187,169
|
|
|||||
Corporate - Non Financials
|
—
|
|
|
332,654
|
|
|
—
|
|
|
—
|
|
|
332,654
|
|
|||||
CMBS
|
—
|
|
|
261
|
|
|
—
|
|
|
—
|
|
|
261
|
|
|||||
Other asset-backed securities
|
—
|
|
|
14,823
|
|
|
—
|
|
|
—
|
|
|
14,823
|
|
|||||
Non-U.S. Sovereign Government, Provincial, Supranational and Government-Related/Supported
|
—
|
|
|
252,981
|
|
|
—
|
|
|
—
|
|
|
252,981
|
|
|||||
Total fixed maturities - Trading, at fair value
|
$
|
—
|
|
|
$
|
791,484
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
791,484
|
|
Cash equivalents (3)
|
705,092
|
|
|
270,784
|
|
|
—
|
|
|
—
|
|
|
975,876
|
|
|||||
Cash equivalents - Life Funds Withheld Assets (3)
|
143
|
|
|
91,367
|
|
|
—
|
|
|
—
|
|
|
91,510
|
|
|||||
Other investments (4)
|
—
|
|
|
1,139,393
|
|
|
255,672
|
|
|
—
|
|
|
1,395,065
|
|
|||||
Other assets (5)
|
—
|
|
|
215,083
|
|
|
13,392
|
|
|
(3,239
|
)
|
|
225,236
|
|
|||||
Total assets accounted for at fair value
|
$
|
1,364,573
|
|
|
$
|
36,952,212
|
|
|
$
|
814,572
|
|
|
$
|
(3,239
|
)
|
|
$
|
39,128,118
|
|
Liabilities
|
|
|
|
|
|
|
|
|
|
||||||||||
Funds withheld on life retrocession arrangements (net of future policy benefit reserves recoverable) (6)
|
$
|
—
|
|
|
$
|
381,337
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
381,337
|
|
Financial instruments sold, but not yet purchased (7)
|
1,581
|
|
|
1,233
|
|
|
—
|
|
|
—
|
|
|
2,814
|
|
|||||
Other liabilities (5)
|
—
|
|
|
59,739
|
|
|
23,145
|
|
|
(3,239
|
)
|
|
79,645
|
|
|||||
Total liabilities accounted for at fair value
|
$
|
1,581
|
|
|
$
|
442,309
|
|
|
$
|
23,145
|
|
|
$
|
(3,239
|
)
|
|
$
|
463,796
|
|
December 31, 2014
(U.S. dollars in thousands)
|
Quoted Prices
in Active
Markets for
Identical Assets
(Level 1)
|
|
Significant
Other
Observable
Inputs
(Level 2)
|
|
Significant
Other
Unobservable
Inputs
(Level 3)
|
|
Collateral
and
Counterparty
Netting
|
|
Balance at
December 31,
2014
|
||||||||||
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Fixed maturities - AFS - Excluding Life Funds Withheld Assets
|
|
|
|
|
|
|
|
|
|
||||||||||
U.S. Government and Government-Related/Supported
|
$
|
—
|
|
|
$
|
2,171,953
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
2,171,953
|
|
Corporate - Financials
|
—
|
|
|
2,761,916
|
|
|
—
|
|
|
—
|
|
|
$
|
2,761,916
|
|
||||
Corporate - Non Financials (1)
|
—
|
|
|
6,010,563
|
|
|
5,894
|
|
|
—
|
|
|
$
|
6,016,457
|
|
||||
Residential mortgage-backed securities – RMBS - Agency
|
—
|
|
|
3,726,666
|
|
|
1,910
|
|
|
—
|
|
|
$
|
3,728,576
|
|
||||
Residential mortgage-backed securities – RMBS - Non-Agency
|
—
|
|
|
427,351
|
|
|
—
|
|
|
—
|
|
|
$
|
427,351
|
|
||||
CMBS
|
—
|
|
|
1,052,544
|
|
|
—
|
|
|
—
|
|
|
$
|
1,052,544
|
|
||||
CDO
|
—
|
|
|
4,076
|
|
|
687,958
|
|
|
—
|
|
|
$
|
692,034
|
|
||||
Other asset-backed securities (1)
|
—
|
|
|
1,060,005
|
|
|
5,288
|
|
|
—
|
|
|
$
|
1,065,293
|
|
||||
U.S. States and political subdivisions of the States
|
—
|
|
|
2,021,272
|
|
|
—
|
|
|
—
|
|
|
$
|
2,021,272
|
|
||||
Non-U.S. Sovereign Government, Provincial, Supranational and Government-Related/Supported
|
—
|
|
|
4,240,073
|
|
|
—
|
|
|
—
|
|
|
$
|
4,240,073
|
|
||||
Total fixed maturities - AFS - Excluding Funds Withheld Assets, at fair value
|
$
|
—
|
|
|
$
|
23,476,419
|
|
|
$
|
701,050
|
|
|
$
|
—
|
|
|
$
|
24,177,469
|
|
Equity securities, at fair value
|
502,284
|
|
|
366,008
|
|
|
—
|
|
|
—
|
|
|
868,292
|
|
|||||
Short-term investments, at fair value (1)(2)
|
—
|
|
|
256,727
|
|
|
—
|
|
|
—
|
|
|
256,727
|
|
|||||
Total investments AFS - Excluding Funds Withheld Assets
|
$
|
502,284
|
|
|
$
|
24,099,154
|
|
|
$
|
701,050
|
|
|
$
|
—
|
|
|
$
|
25,302,488
|
|
Fixed maturities - Life Funds Withheld Assets
|
|
|
|
|
|
|
|
|
|
||||||||||
U.S. Government and Government-Related/Supported
|
$
|
—
|
|
|
$
|
18,724
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
18,724
|
|
Corporate - Financials
|
—
|
|
|
801,019
|
|
|
—
|
|
|
—
|
|
|
$
|
801,019
|
|
||||
Corporate - Non Financials
|
—
|
|
|
2,016,961
|
|
|
—
|
|
|
—
|
|
|
$
|
2,016,961
|
|
||||
RMBS – Agency
|
—
|
|
|
3,782
|
|
|
—
|
|
|
—
|
|
|
$
|
3,782
|
|
||||
RMBS – Non-Agency
|
—
|
|
|
85,335
|
|
|
—
|
|
|
—
|
|
|
$
|
85,335
|
|
||||
CMBS
|
—
|
|
|
193,167
|
|
|
—
|
|
|
—
|
|
|
$
|
193,167
|
|
||||
Other asset-backed securities
|
—
|
|
|
273,541
|
|
|
—
|
|
|
—
|
|
|
$
|
273,541
|
|
||||
Non-U.S. Sovereign Government, Provincial, Supranational and Government-Related/Supported
|
—
|
|
|
1,789,036
|
|
|
—
|
|
|
—
|
|
|
$
|
1,789,036
|
|
||||
Total fixed maturities - AFS - Life Funds Withheld Assets, at fair value
|
$
|
—
|
|
|
$
|
5,181,565
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
5,181,565
|
|
Total investments - AFS, at fair value
|
$
|
502,284
|
|
|
$
|
29,280,719
|
|
|
$
|
701,050
|
|
|
$
|
—
|
|
|
$
|
30,484,053
|
|
Fixed maturities - Trading
|
|
|
|
|
|
|
|
|
|
||||||||||
Corporate - Non Financials
|
—
|
|
|
1,171
|
|
|
—
|
|
|
—
|
|
|
$
|
1,171
|
|
||||
Total fixed maturities - Trading, at fair value
|
$
|
—
|
|
|
$
|
1,171
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
1,171
|
|
Cash equivalents (3)
|
1,103,877
|
|
|
397,955
|
|
|
—
|
|
|
—
|
|
|
$
|
1,501,832
|
|
||||
Cash equivalents - Life Funds Withheld Assets (3)
|
460
|
|
|
132,738
|
|
|
—
|
|
|
—
|
|
|
$
|
133,198
|
|
||||
Other investments (4)
|
—
|
|
|
708,974
|
|
|
185,083
|
|
|
—
|
|
|
$
|
894,057
|
|
||||
Other assets (5)
|
—
|
|
|
122,996
|
|
|
13,663
|
|
|
(696
|
)
|
|
$
|
135,963
|
|
||||
Total assets accounted for at fair value
|
$
|
1,606,621
|
|
|
$
|
30,644,553
|
|
|
$
|
899,796
|
|
|
$
|
(696
|
)
|
|
$
|
33,150,274
|
|
Liabilities
|
|
|
|
|
|
|
|
|
|
||||||||||
Funds withheld on life retrocession arrangements (net of future policy benefit reserves recoverable) (6)
|
$
|
—
|
|
|
$
|
450,831
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
450,831
|
|
Financial instruments sold, but not yet purchased (7)
|
4,737
|
|
|
25,669
|
|
|
—
|
|
|
—
|
|
|
$
|
30,406
|
|
||||
Other liabilities (5)
|
—
|
|
|
7,757
|
|
|
23,427
|
|
|
(696
|
)
|
|
$
|
30,488
|
|
||||
Total liabilities accounted for at fair value
|
$
|
4,737
|
|
|
$
|
484,257
|
|
|
$
|
23,427
|
|
|
$
|
(696
|
)
|
|
$
|
511,725
|
|
(1)
|
Included are certain medium term notes supported primarily by pools of European investment grade credit with varying degrees of leverage. The notes had a fair value of
$75.3 million
and
$79.9 million
and an amortized cost of
$64.5 million
and
$68.4 million
as of
June 30, 2015
and
December 31, 2014
, respectively. These notes allow the investor to participate in cash flows of the underlying bonds including certain residual values, which could serve to either decrease or increase the ultimate values of these notes.
|
(2)
|
Short-term investments consist primarily of Corporate securities and U.S. and Non-U.S. Government and Government-Related/Supported securities.
|
(3)
|
Cash equivalents balances subject to fair value measurement include certificates of deposit and money market funds. Operating cash balances are not subject to recurring fair value measurement guidance.
|
(4)
|
The Other investments balance excludes certain structured transactions including certain investments in project finance transactions, and a payment obligation and liquidity financing provided to a structured credit vehicle as a part of a third party medium term note facility. These investments, which totaled
$348.2 million
as of
June 30, 2015
and
$354.4 million
at
December 31, 2014
, are carried at amortized cost. For further information, see Item 8, Note 8, "Other Investments," to the Consolidated Financial Statements included in our Annual Report on Form 10-K for the year ended
December 31, 2014
.
|
(5)
|
Other assets and other liabilities include derivative instruments. The derivative balances included in each category are reported on a gross basis by level with a netting adjustment presented separately in the Collateral and Counterparty Netting column. The fair values of the individual derivative contracts are reported gross in their respective levels based on the fair value hierarchy. For further details regarding derivative fair values and associated collateral received or paid see Note 7, "Derivative Instruments," to the Unaudited Consolidated Financial Statements.
|
(6)
|
Funds withheld on life retrocession arrangements (net of future policy benefit reserves recoverable) include balances related to the life retrocession embedded derivative, under which all investment results associated with the Life Funds Withheld Assets related to the Life Retro Arrangements described in Note 3(c), "Acquisition and Disposals - Sale of Life Reinsurance Subsidiary," accrue to the benefit of GCLR.
|
(7)
|
Financial instruments sold, but not yet purchased, represent "short sales" and are included within "Payable for investments purchased" on the balance sheets.
|
|
Level 3 Assets and Liabilities -Three Months Ended June 30, 2015
|
||||||||||||||
(U.S. dollars in thousands)
|
Corporate - Financials
|
|
Corporate - Non-Financials
|
|
RMBS - Agency
|
|
RMBS - Non
Agency |
||||||||
Balance, beginning of period
|
$
|
—
|
|
|
$
|
5,861
|
|
|
$
|
1,820
|
|
|
$
|
—
|
|
Realized gains (losses)
|
—
|
|
|
(140
|
)
|
|
—
|
|
|
—
|
|
||||
Movement in unrealized gains (losses)
|
—
|
|
|
(44
|
)
|
|
(1
|
)
|
|
—
|
|
||||
Purchases and issuances (1)
|
10,000
|
|
|
(123
|
)
|
|
1,297
|
|
|
—
|
|
||||
Sales
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Settlements
|
—
|
|
|
—
|
|
|
(78
|
)
|
|
—
|
|
||||
Transfers into Level 3
|
|
|
|
|
|
|
—
|
|
|
—
|
|
||||
Transfers out of Level 3
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Fixed maturities to short-term investments classification change
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Balance, end of period
|
$
|
10,000
|
|
|
$
|
5,554
|
|
|
$
|
3,038
|
|
|
$
|
—
|
|
Movement in total gains (losses) above relating to instruments still held at the reporting date
|
$
|
—
|
|
|
$
|
(184
|
)
|
|
$
|
(1
|
)
|
|
$
|
—
|
|
|
|
|
|
|
|
|
|
||||||||
|
Level 3 Assets and Liabilities -Three Months Ended June 30, 2015
|
||||||||||||||
(U.S. dollars in thousands)
|
CMBS
|
|
CDO
|
|
Other asset-
backed securities |
|
Non-US Sovereign
Government, Provincial, Supranational and Government Related/Supported |
||||||||
Balance, beginning of period
|
$
|
—
|
|
|
$
|
496,923
|
|
|
$
|
2,244
|
|
|
$
|
—
|
|
Realized gains (losses)
|
—
|
|
|
224
|
|
|
92
|
|
|
—
|
|
||||
Movement in unrealized gains (losses)
|
—
|
|
|
2,445
|
|
|
8
|
|
|
—
|
|
||||
Purchases and issuances (1)
|
—
|
|
|
11,941
|
|
|
40,628
|
|
|
—
|
|
||||
Sales
|
—
|
|
|
—
|
|
|
|
|
|
—
|
|
||||
Settlements
|
—
|
|
|
(27,362
|
)
|
|
(227
|
)
|
|
—
|
|
||||
Transfers into Level 3
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Transfers out of Level 3
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Fixed maturities to short-term investments classification change
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Balance, end of period
|
$
|
—
|
|
|
$
|
484,171
|
|
|
$
|
42,745
|
|
|
$
|
—
|
|
Movement in total gains (losses) above relating to instruments still held at the reporting date
|
$
|
—
|
|
|
$
|
2,057
|
|
|
$
|
100
|
|
|
$
|
—
|
|
|
|
|
|
|
|
|
|
||||||||
|
Level 3 Assets and Liabilities -Three Months Ended June 30, 2015
|
||||||||||||||
(U.S. dollars in thousands)
|
|
|
Short-term
investments |
|
Other investments
|
|
Derivative Contracts
- Net |
||||||||
Balance, beginning of period
|
|
|
$
|
—
|
|
|
$
|
190,097
|
|
|
$
|
(9,606
|
)
|
||
Realized gains (losses)
|
|
|
—
|
|
|
1,291
|
|
|
—
|
|
|||||
Movement in unrealized gains (losses)
|
|
|
—
|
|
|
(139
|
)
|
|
(147
|
)
|
|||||
Purchases and issuances (1)
|
|
|
—
|
|
|
66,510
|
|
|
—
|
|
|||||
Sales
|
|
|
—
|
|
|
|
|
|
|
||||||
Settlements
|
|
|
—
|
|
|
(2,087
|
)
|
|
—
|
|
|||||
Transfers into Level 3
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
Transfers out of Level 3
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
Fixed maturities to short-term investments classification change
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
Balance, end of period
|
|
|
$
|
—
|
|
|
$
|
255,672
|
|
|
$
|
(9,753
|
)
|
||
Movement in total gains (losses) above relating to instruments still held at the reporting date
|
|
|
$
|
—
|
|
|
$
|
1,152
|
|
|
$
|
(147
|
)
|
|
Level 3 Assets and Liabilities -Three Months Ended June 30, 2014
|
||||||||||||||
(U.S. dollars in thousands)
|
Corporate - Financials
|
|
Corporate - Non-Financials
|
|
RMBS - Agency
|
|
RMBS - Non
Agency
|
||||||||
Balance, beginning of period
|
$
|
—
|
|
|
$
|
4,382
|
|
|
$
|
8,928
|
|
|
$
|
11
|
|
Realized gains (losses)
|
—
|
|
|
35
|
|
|
6
|
|
|
—
|
|
||||
Movement in unrealized gains (losses)
|
—
|
|
|
(93
|
)
|
|
(13
|
)
|
|
—
|
|
||||
Purchases and issuances (1)
|
—
|
|
|
8
|
|
|
—
|
|
|
—
|
|
||||
Sales
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Settlements
|
—
|
|
|
(399
|
)
|
|
(2,025
|
)
|
|
—
|
|
||||
Transfers into Level 3
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Transfers out of Level 3
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Fixed maturities to short-term investments classification change
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Balance, end of period
|
$
|
—
|
|
|
$
|
3,933
|
|
|
$
|
6,896
|
|
|
$
|
11
|
|
Movement in total gains (losses) above relating to instruments still held at the reporting date
|
$
|
—
|
|
|
$
|
(58
|
)
|
|
$
|
(6
|
)
|
|
$
|
—
|
|
|
|
|
|
|
|
|
|
||||||||
|
Level 3 Assets and Liabilities -Three Months Ended June 30, 2014
|
||||||||||||||
(U.S. dollars in thousands)
|
CMBS
|
|
CDO
|
|
Other asset-
backed
securities
|
|
Non-US Sovereign
Government,
Provincial,
Supranational and
Government
Related/Supported
|
||||||||
Balance, beginning of period
|
$
|
5,926
|
|
|
$
|
718,827
|
|
|
$
|
10,673
|
|
|
$
|
—
|
|
Realized gains (losses)
|
2
|
|
|
875
|
|
|
(5
|
)
|
|
—
|
|
||||
Movement in unrealized gains (losses)
|
(1
|
)
|
|
8,331
|
|
|
144
|
|
|
—
|
|
||||
Purchases and issuances (1)
|
1,376
|
|
|
75,201
|
|
|
3,000
|
|
|
—
|
|
||||
Sales
|
—
|
|
|
(30,892
|
)
|
|
—
|
|
|
—
|
|
||||
Settlements
|
(5,358
|
)
|
|
(39,518
|
)
|
|
(2,108
|
)
|
|
—
|
|
||||
Transfers into Level 3
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Transfers out of Level 3
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Fixed maturities to short-term investments classification change
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Balance, end of period
|
$
|
1,945
|
|
|
$
|
732,824
|
|
|
$
|
11,704
|
|
|
$
|
—
|
|
Movement in total gains (losses) above relating to instruments still held at the reporting date
|
$
|
—
|
|
|
$
|
8,247
|
|
|
$
|
140
|
|
|
$
|
—
|
|
|
|
|
|
|
|
|
|
||||||||
|
Level 3 Assets and Liabilities -Three Months Ended June 30, 2014
|
||||||||||||||
(U.S. dollars in thousands)
|
|
|
Short-term
investments
|
|
Other investments
|
|
Derivative Contracts
- Net
|
||||||||
Balance, beginning of period
|
|
|
$
|
—
|
|
|
$
|
116,418
|
|
|
$
|
(32,496
|
)
|
||
Realized gains (losses)
|
|
|
—
|
|
|
5,127
|
|
|
—
|
|
|||||
Movement in unrealized gains (losses)
|
|
|
—
|
|
|
(1,779
|
)
|
|
13,586
|
|
|||||
Purchases and issuances (1)
|
|
|
—
|
|
|
9,997
|
|
|
—
|
|
|||||
Sales
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
Settlements
|
|
|
—
|
|
|
(5,288
|
)
|
|
—
|
|
|||||
Transfers into Level 3
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
Transfers out of Level 3
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
Fixed maturities to short-term investments classification change
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
Balance, end of period
|
|
|
$
|
—
|
|
|
$
|
124,475
|
|
|
$
|
(18,910
|
)
|
||
Movement in total gains (losses) above relating to instruments still held at the reporting date
|
|
|
$
|
—
|
|
|
$
|
3,348
|
|
|
$
|
13,586
|
|
|
Level 3 Assets and Liabilities - Six Months Ended June 30, 2015
|
||||||||||||||
(U.S. dollars in thousands)
|
Corporate - Financials
|
|
Corporate - Non-Financials
|
|
RMBS - Agency
|
|
RMBS - Non
Agency |
||||||||
Balance, beginning of period
|
$
|
—
|
|
|
$
|
5,894
|
|
|
$
|
1,910
|
|
|
$
|
—
|
|
Realized gains (losses)
|
—
|
|
|
(141
|
)
|
|
—
|
|
|
—
|
|
||||
Movement in unrealized gains (losses)
|
—
|
|
|
4
|
|
|
(2
|
)
|
|
—
|
|
||||
Purchases and issuances (1)
|
10,000
|
|
|
(123
|
)
|
|
1,297
|
|
|
—
|
|
||||
Sales
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Settlements
|
—
|
|
|
(80
|
)
|
|
(167
|
)
|
|
—
|
|
||||
Transfers into Level 3
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Transfers out of Level 3
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Fixed maturities to short-term investments classification change
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Balance, end of period
|
$
|
10,000
|
|
|
$
|
5,554
|
|
|
$
|
3,038
|
|
|
$
|
—
|
|
Movement in total gains (losses) above relating to instruments still held at the reporting date
|
$
|
—
|
|
|
$
|
(136
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
|
|
|
|
|
|
|
||||||||
|
Level 3 Assets and Liabilities - Six Months Ended June 30, 2015
|
||||||||||||||
(U.S. dollars in thousands)
|
CMBS
|
|
CDO
|
|
Other asset-
backed securities |
|
Non-US Sovereign
Government, Provincial, Supranational and Government Related/Supported |
||||||||
Balance, beginning of period
|
$
|
—
|
|
|
$
|
687,958
|
|
|
$
|
5,288
|
|
|
$
|
—
|
|
Realized gains (losses)
|
—
|
|
|
260
|
|
|
91
|
|
|
—
|
|
||||
Movement in unrealized gains (losses)
|
—
|
|
|
8,000
|
|
|
10
|
|
|
—
|
|
||||
Purchases and issuances (1)
|
—
|
|
|
11,941
|
|
|
40,628
|
|
|
—
|
|
||||
Sales
|
—
|
|
|
(155,085
|
)
|
|
—
|
|
|
—
|
|
||||
Settlements
|
—
|
|
|
(68,903
|
)
|
|
(3,272
|
)
|
|
—
|
|
||||
Transfers into Level 3
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Transfers out of Level 3
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Fixed maturities to short-term investments classification change
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Balance, end of period
|
$
|
—
|
|
|
$
|
484,171
|
|
|
$
|
42,745
|
|
|
$
|
—
|
|
Movement in total gains (losses) above relating to instruments still held at the reporting date
|
$
|
—
|
|
|
$
|
4,725
|
|
|
$
|
100
|
|
|
$
|
—
|
|
|
|
|
|
|
|
|
|
||||||||
|
Level 3 Assets and Liabilities - Six Months Ended June 30, 2015
|
||||||||||||||
(U.S. dollars in thousands)
|
|
|
Short-term
investments |
|
Other investments
|
|
Derivative Contracts
- Net |
||||||||
Balance, beginning of period
|
|
|
$
|
—
|
|
|
$
|
185,083
|
|
|
$
|
(9,764
|
)
|
||
Realized gains (losses)
|
|
|
—
|
|
|
2,593
|
|
|
—
|
|
|||||
Movement in unrealized gains (losses)
|
|
|
—
|
|
|
(1,966
|
)
|
|
11
|
|
|||||
Purchases and issuances (1)
|
|
|
—
|
|
|
73,303
|
|
|
—
|
|
|||||
Sales
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
Settlements
|
|
|
—
|
|
|
(3,341
|
)
|
|
—
|
|
|||||
Transfers into Level 3
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
Transfers out of Level 3
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
Fixed maturities to short-term investments classification change
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
Balance, end of period
|
|
|
$
|
—
|
|
|
$
|
255,672
|
|
|
$
|
(9,753
|
)
|
||
Movement in total gains (losses) above relating to instruments still held at the reporting date
|
|
|
$
|
—
|
|
|
$
|
628
|
|
|
$
|
11
|
|
|
Level 3 Assets and Liabilities - Six Months Ended June 30, 2014
|
||||||||||||||
(U.S. dollars in thousands)
|
Corporate - Financials
|
|
Corporate - Non-Financials
|
|
RMBS - Agency
|
|
RMBS - Non
Agency
|
||||||||
Balance, beginning of period
|
$
|
—
|
|
|
$
|
31,573
|
|
|
$
|
10,473
|
|
|
$
|
9
|
|
Realized gains (losses)
|
—
|
|
|
155
|
|
|
6
|
|
|
—
|
|
||||
Movement in unrealized gains (losses)
|
—
|
|
|
(96
|
)
|
|
(13
|
)
|
|
2
|
|
||||
Purchases and issuances (1)
|
—
|
|
|
1,443
|
|
|
—
|
|
|
—
|
|
||||
Sales
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Settlements
|
—
|
|
|
(5,513
|
)
|
|
(2,598
|
)
|
|
—
|
|
||||
Transfers into Level 3
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Transfers out of Level 3
|
—
|
|
|
(23,629
|
)
|
|
(972
|
)
|
|
—
|
|
||||
Fixed maturities to short-term investments classification change
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Balance, end of period
|
$
|
—
|
|
|
$
|
3,933
|
|
|
$
|
6,896
|
|
|
$
|
11
|
|
Movement in total gains (losses) above relating to instruments still held at the reporting date
|
$
|
—
|
|
|
$
|
90
|
|
|
$
|
(6
|
)
|
|
$
|
—
|
|
|
|
|
|
|
|
|
|
||||||||
|
Level 3 Assets and Liabilities - Six Months Ended June 30, 2014
|
||||||||||||||
(U.S. dollars in thousands)
|
CMBS
|
|
CDO
|
|
Other asset-
backed
securities
|
|
Non-US Sovereign
Government,
Provincial,
Supranational and
Government
Related/Supported
|
||||||||
Balance, beginning of period
|
$
|
12,533
|
|
|
$
|
710,253
|
|
|
$
|
11,877
|
|
|
$
|
—
|
|
Realized gains (losses)
|
3
|
|
|
2,456
|
|
|
(20
|
)
|
|
—
|
|
||||
Movement in unrealized gains (losses)
|
(3
|
)
|
|
12,013
|
|
|
206
|
|
|
—
|
|
||||
Purchases and issuances (1)
|
1,376
|
|
|
103,015
|
|
|
3,000
|
|
|
—
|
|
||||
Sales
|
—
|
|
|
(40,824
|
)
|
|
—
|
|
|
—
|
|
||||
Settlements
|
(11,964
|
)
|
|
(54,089
|
)
|
|
(3,359
|
)
|
|
—
|
|
||||
Transfers into Level 3
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Transfers out of Level 3
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Fixed maturities to short-term investments classification change
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Balance, end of period
|
$
|
1,945
|
|
|
$
|
732,824
|
|
|
$
|
11,704
|
|
|
$
|
—
|
|
Movement in total gains (losses) above relating to instruments still held at the reporting date
|
$
|
—
|
|
|
$
|
13,216
|
|
|
$
|
186
|
|
|
$
|
—
|
|
|
|
|
|
|
|
|
|
||||||||
|
Level 3 Assets and Liabilities - Six Months Ended June 30, 2014
|
||||||||||||||
(U.S. dollars in thousands)
|
|
|
Short-term
investments
|
|
Other investments
|
|
Derivative Contracts
- Net
|
||||||||
Balance, beginning of period
|
|
|
$
|
2,015
|
|
|
$
|
113,472
|
|
|
$
|
(29,110
|
)
|
||
Realized gains (losses)
|
|
|
—
|
|
|
8,691
|
|
|
—
|
|
|||||
Movement in unrealized gains (losses)
|
|
|
(15
|
)
|
|
(282
|
)
|
|
10,200
|
|
|||||
Purchases and issuances (1)
|
|
|
—
|
|
|
21,086
|
|
|
—
|
|
|||||
Sales
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
Settlements
|
|
|
(2,000
|
)
|
|
(18,492
|
)
|
|
—
|
|
|||||
Transfers into Level 3
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
Transfers out of Level 3
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
Fixed maturities to short-term investments classification change
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
Balance, end of period
|
|
|
$
|
—
|
|
|
$
|
124,475
|
|
|
$
|
(18,910
|
)
|
||
Movement in total gains (losses) above relating to instruments still held at the reporting date
|
|
|
$
|
—
|
|
|
$
|
8,409
|
|
|
$
|
10,200
|
|
|
June 30, 2015
|
|
December 31, 2014
|
||||||||||||
(U.S. dollars in thousands)
|
Carrying
Value
|
|
Fair
Value
|
|
Carrying
Value
|
|
Fair
Value
|
||||||||
Financial Assets
- Other investments, structured transactions
|
$
|
348,192
|
|
|
$
|
365,335
|
|
|
$
|
354,382
|
|
|
$
|
371,625
|
|
Deposit liabilities
|
$
|
1,212,206
|
|
|
$
|
1,528,520
|
|
|
$
|
1,245,367
|
|
|
$
|
1,543,761
|
|
Notes payable and debt
|
2,726,455
|
|
|
2,911,949
|
|
|
1,662,580
|
|
|
1,897,854
|
|
||||
Financial Liabilities
|
$
|
3,938,661
|
|
|
$
|
4,440,469
|
|
|
$
|
2,907,947
|
|
|
$
|
3,441,615
|
|
Three Months Ended June 30, 2015
(U.S. dollars in thousands, except ratios)
|
Insurance
|
|
Reinsurance
|
|
Total P&C
|
|
Corporate
and Other (1)
|
|
Total
|
||||||||||
Gross premiums written
|
$
|
2,219,444
|
|
|
$
|
782,248
|
|
|
$
|
3,001,692
|
|
|
$
|
79,443
|
|
|
$
|
3,081,135
|
|
Net premiums written
|
1,401,772
|
|
|
698,301
|
|
|
2,100,073
|
|
|
18,258
|
|
|
2,118,331
|
|
|||||
Net premiums earned
|
1,412,906
|
|
|
650,889
|
|
|
2,063,795
|
|
|
18,258
|
|
|
2,082,053
|
|
|||||
Net losses and loss expenses (2)
|
896,370
|
|
|
254,825
|
|
|
1,151,195
|
|
|
22,081
|
|
|
1,173,276
|
|
|||||
Acquisition costs (2)
|
181,716
|
|
|
158,217
|
|
|
339,933
|
|
|
1,684
|
|
|
341,617
|
|
|||||
Operating expenses (3)
|
292,161
|
|
|
71,727
|
|
|
363,888
|
|
|
(59
|
)
|
|
363,829
|
|
|||||
Underwriting profit (loss)
|
$
|
42,659
|
|
|
$
|
166,120
|
|
|
$
|
208,779
|
|
|
$
|
(5,448
|
)
|
|
$
|
203,331
|
|
Net investment income - excluding Life Funds Withheld Assets (4)
|
|
|
|
|
149,461
|
|
|
10,831
|
|
|
160,292
|
|
|||||||
Net investment income - Life Funds Withheld Assets
|
|
|
|
|
|
|
46,864
|
|
|
46,864
|
|
||||||||
Net results from structured products (5)
|
3,401
|
|
|
1,856
|
|
|
5,257
|
|
|
—
|
|
|
5,257
|
|
|||||
Net fee income and other (6)
|
(2,033
|
)
|
|
623
|
|
|
(1,410
|
)
|
|
46
|
|
|
(1,364
|
)
|
|||||
Net realized gains (losses) on investments - excluding Life Funds Withheld Assets
|
|
|
|
|
|
|
4,223
|
|
|
128
|
|
|
4,351
|
|
|||||
Net realized gains (losses) on investments and net unrealized gains (losses) on investments, Trading - Life Funds Withheld Assets
|
|
|
|
|
—
|
|
|
45,616
|
|
|
45,616
|
|
|||||||
Net realized and unrealized gains (losses) on derivative instruments
|
|
|
|
|
|
|
—
|
|
|
48,509
|
|
|
48,509
|
|
|||||
Net realized and unrealized gains (losses) on life retrocession embedded derivative and derivative instruments - Life Funds Withheld Assets
|
|
|
|
|
—
|
|
|
239,174
|
|
|
239,174
|
|
|||||||
Net income (loss) from investment fund affiliates and operating affiliates (7)
|
|
|
|
|
|
|
—
|
|
|
40,839
|
|
|
40,839
|
|
|||||
Gain on sale of operating affiliate
|
|
|
|
|
—
|
|
|
340,407
|
|
|
340,407
|
|
|||||||
Exchange (gains) losses
|
|
|
|
|
|
|
—
|
|
|
10,374
|
|
|
10,374
|
|
|||||
Corporate operating expenses
|
|
|
|
|
|
|
—
|
|
|
130,987
|
|
|
130,987
|
|
|||||
Contribution from P&C and Corporate and Other
|
|
|
|
|
|
|
366,310
|
|
|
625,605
|
|
|
991,915
|
|
|||||
Interest expense (8)
|
|
|
|
|
|
|
|
|
|
39,038
|
|
|
39,038
|
|
|||||
Non-controlling interests
|
|
|
|
|
|
|
|
|
|
4,879
|
|
|
4,879
|
|
|||||
Income tax expense
|
|
|
|
|
|
|
|
|
|
32,959
|
|
|
32,959
|
|
|||||
Net income (loss) attributable to ordinary shareholders
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
915,039
|
|
||||
Ratios – P&C operations: (9)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Loss and loss expense ratio
|
63.4
|
%
|
|
39.2
|
%
|
|
55.8
|
%
|
|
|
|
|
|
|
|||||
Underwriting expense ratio
|
33.6
|
%
|
|
35.3
|
%
|
|
34.1
|
%
|
|
|
|
|
|
|
|||||
Combined ratio
|
97.0
|
%
|
|
74.5
|
%
|
|
89.9
|
%
|
|
|
|
|
|
|
(1)
|
Corporate and Other includes other items of our revenue and expenditures that are not evaluated at the segment level for reporting purposes, as well as the Company's Run-Off Life Operations.
|
(2)
|
The Company has reflected the amortization of certain fair value adjustments recorded in conjunction with the Catlin Acquisition within the respective segments.
|
(3)
|
Operating expenses of the segments exclude Corporate operating expenses, shown separately.
|
(4)
|
Net investment income - excluding Life Funds Withheld Assets does not include net investment income related to the net results from structured products.
|
(5)
|
The net results from P&C structured products include net investment income and interest expense of
$16.0 million
and
$10.6 million
, respectively.
|
(6)
|
Net fee income and other includes operating expenses from the Company's loss prevention consulting services business.
|
(7)
|
The Company generally records the income related to the alternative funds and to the private investment and operating fund affiliates on a
one
-month and
three
-month lag, respectively.
|
(8)
|
Interest expense excludes interest expense related to deposit liabilities recorded in the Insurance and Reinsurance segments.
|
(9)
|
Ratios are based on net premiums earned from P&C operations.
|
Three Months Ended June 30, 2014
(U.S. dollars in thousands, except ratios)
|
Insurance
|
|
Reinsurance
|
|
Total P&C
|
|
Corporate
and Other (1)
|
|
Total
|
||||||||||
Gross premiums written
|
$
|
1,618,405
|
|
|
$
|
493,124
|
|
|
$
|
2,111,529
|
|
|
$
|
86,710
|
|
|
$
|
2,198,239
|
|
Net premiums written
|
996,880
|
|
|
436,446
|
|
|
1,433,326
|
|
|
58,518
|
|
|
1,491,844
|
|
|||||
Net premiums earned
|
1,003,990
|
|
|
434,086
|
|
|
1,438,076
|
|
|
58,518
|
|
|
1,496,594
|
|
|||||
Net losses and loss expenses (2)
|
627,627
|
|
|
200,253
|
|
|
827,880
|
|
|
85,299
|
|
|
913,179
|
|
|||||
Acquisition costs (2)
|
99,863
|
|
|
80,874
|
|
|
180,737
|
|
|
3,882
|
|
|
184,619
|
|
|||||
Operating expenses (3)
|
213,930
|
|
|
47,582
|
|
|
261,512
|
|
|
2,209
|
|
|
263,721
|
|
|||||
Underwriting profit (loss)
|
$
|
62,570
|
|
|
$
|
105,377
|
|
|
$
|
167,947
|
|
|
$
|
(32,872
|
)
|
|
$
|
135,075
|
|
Net investment income - excluding Life Funds Withheld Assets (4)
|
|
|
|
|
144,555
|
|
|
52,118
|
|
|
196,673
|
|
|||||||
Net investment income - Life Funds Withheld Assets
|
|
|
|
|
|
|
19,165
|
|
|
19,165
|
|
||||||||
Net results from structured products (5)
|
31,645
|
|
|
3,240
|
|
|
34,885
|
|
|
—
|
|
|
34,885
|
|
|||||
Net fee income and other (6)
|
(3,567
|
)
|
|
664
|
|
|
(2,903
|
)
|
|
45
|
|
|
(2,858
|
)
|
|||||
Loss on sale of life reinsurance subsidiary
|
|
|
|
|
—
|
|
|
666,423
|
|
|
666,423
|
|
|||||||
Net realized gains (losses) on investments - excluding Life Funds Withheld Assets
|
|
|
|
|
|
|
78,505
|
|
|
2,339
|
|
|
80,844
|
|
|||||
Net realized gains (losses) on investments and net unrealized gains (losses) on investments, Trading - Life Funds Withheld Assets
|
|
|
|
|
—
|
|
|
(8,147
|
)
|
|
(8,147
|
)
|
|||||||
Net realized and unrealized gains (losses) on derivative instruments
|
|
|
|
|
|
|
—
|
|
|
11,599
|
|
|
11,599
|
|
|||||
Net realized and unrealized gains (losses) on life retrocession embedded derivative and derivative instruments - Life Funds Withheld Assets
|
|
|
|
|
—
|
|
|
(17,546
|
)
|
|
(17,546
|
)
|
|||||||
Net income (loss) from investment fund affiliates and operating affiliates (7)
|
|
|
|
|
|
|
—
|
|
|
45,421
|
|
|
45,421
|
|
|||||
Exchange (gains) losses
|
|
|
|
|
|
|
—
|
|
|
21,141
|
|
|
21,141
|
|
|||||
Corporate operating expenses
|
|
|
|
|
|
|
—
|
|
|
56,495
|
|
|
56,495
|
|
|||||
Contribution from P&C and Corporate and Other
|
|
|
|
|
|
|
422,989
|
|
|
(671,937
|
)
|
|
(248,948
|
)
|
|||||
Interest expense (8)
|
|
|
|
|
|
|
|
|
|
32,284
|
|
|
32,284
|
|
|||||
Non-controlling interests
|
|
|
|
|
|
|
|
|
|
3,682
|
|
|
3,682
|
|
|||||
Income tax expense
|
|
|
|
|
|
|
|
|
|
(5,654
|
)
|
|
(5,654
|
)
|
|||||
Net income (loss) attributable to ordinary shareholders
|
|
|
|
|
|
|
|
|
|
|
|
$
|
(279,260
|
)
|
|||||
Ratios – P&C operations: (9)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Loss and loss expense ratio
|
62.5
|
%
|
|
46.1
|
%
|
|
57.6
|
%
|
|
|
|
|
|
|
|||||
Underwriting expense ratio
|
31.3
|
%
|
|
29.6
|
%
|
|
30.7
|
%
|
|
|
|
|
|
|
|||||
Combined ratio
|
93.8
|
%
|
|
75.7
|
%
|
|
88.3
|
%
|
|
|
|
|
|
|
(1)
|
Corporate and Other includes other items of our revenue and expenditures that are not evaluated at the segment level for reporting purposes, as well as the Company's Run-Off Life Operations.
|
(2)
|
The Company has reflected the amortization of certain fair value adjustments recorded in conjunction with the Catlin Acquisition within the respective segments.
|
(3)
|
Operating expenses of the segments exclude Corporate operating expenses, shown separately.
|
(4)
|
Net investment income - excluding Life Funds Withheld Assets does not include net investment income related to the net results from structured products.
|
(5)
|
The net results from P&C structured products include net investment income and interest credit of
$16.9 million
and
$18.2 million
, respectively.
|
(6)
|
Net fee income and other includes operating expenses from the Company's loss prevention consulting services business.
|
(7)
|
The Company generally records the income related to the alternative funds and to the private investment and operating fund affiliates on a
one
-month and
three
-month lag, respectively.
|
(8)
|
Interest expense excludes interest expense related to deposit liabilities recorded in the Insurance and Reinsurance segments.
|
(9)
|
Ratios are based on net premiums earned from P&C operations.
|
Six Months Ended June 30, 2015
(U.S. dollars in thousands, except ratios)
|
Insurance
|
|
Reinsurance
|
|
Total P&C
|
|
Corporate
and Other (1)
|
|
Total
|
||||||||||
Gross premiums written
|
$
|
3,874,191
|
|
|
$
|
1,607,910
|
|
|
$
|
5,482,101
|
|
|
$
|
154,394
|
|
|
$
|
5,636,495
|
|
Net premiums written
|
2,490,880
|
|
|
1,445,936
|
|
|
3,936,816
|
|
|
32,764
|
|
|
3,969,580
|
|
|||||
Net premiums earned
|
2,375,212
|
|
|
1,008,077
|
|
|
3,383,289
|
|
|
32,764
|
|
|
3,416,053
|
|
|||||
Net losses and loss expenses (2)
|
1,513,317
|
|
|
407,705
|
|
|
1,921,022
|
|
|
41,468
|
|
|
1,962,490
|
|
|||||
Acquisition costs (2)
|
262,103
|
|
|
229,709
|
|
|
491,812
|
|
|
3,501
|
|
|
495,313
|
|
|||||
Operating expenses (3)
|
500,618
|
|
|
114,222
|
|
|
614,840
|
|
|
872
|
|
|
615,712
|
|
|||||
Underwriting profit (loss)
|
$
|
99,174
|
|
|
$
|
256,441
|
|
|
$
|
355,615
|
|
|
$
|
(13,077
|
)
|
|
$
|
342,538
|
|
Net investment income - excluding Life Funds Withheld Assets (4)
|
|
|
|
|
282,269
|
|
|
21,041
|
|
|
303,310
|
|
|||||||
Net investment income - Life Funds Withheld Assets
|
|
|
|
|
|
|
97,283
|
|
|
97,283
|
|
||||||||
Net results from structured products (5)
|
6,306
|
|
|
3,976
|
|
|
10,282
|
|
|
—
|
|
|
10,282
|
|
|||||
Net fee income and other (6)
|
(9,498
|
)
|
|
1,448
|
|
|
(8,050
|
)
|
|
178
|
|
|
(7,872
|
)
|
|||||
Net realized gains (losses) on investments - excluding Life Funds Withheld Assets
|
|
|
|
|
|
|
10,030
|
|
|
(1,077
|
)
|
|
8,953
|
|
|||||
Net realized gains (losses) on investments and net unrealized gains (losses) on investments, Trading - Life Funds Withheld Assets
|
|
|
|
|
|
|
—
|
|
|
93,905
|
|
|
93,905
|
|
|||||
Net realized and unrealized gains (losses) on derivative instruments
|
|
|
|
|
|
|
—
|
|
|
65,030
|
|
|
65,030
|
|
|||||
Net realized and unrealized gains (losses) on life retrocession embedded derivative and derivative instruments - Life Funds Withheld Assets
|
|
|
|
|
—
|
|
|
9,807
|
|
|
9,807
|
|
|||||||
Net income (loss) from investment fund affiliates and operating affiliates (7)
|
|
|
|
|
|
|
—
|
|
|
98,836
|
|
|
98,836
|
|
|||||
Gain on sale of operating affiliate
|
|
|
|
|
|
|
|
340,407
|
|
|
340,407
|
|
|||||||
Exchange (gains) losses
|
|
|
|
|
|
|
—
|
|
|
37,764
|
|
|
37,764
|
|
|||||
Corporate operating expenses
|
|
|
|
|
|
|
—
|
|
|
193,430
|
|
|
193,430
|
|
|||||
Contribution from P&C and Corporate and Other
|
|
|
|
|
|
|
650,146
|
|
|
481,139
|
|
|
1,131,285
|
|
|||||
Interest expense (8)
|
|
|
|
|
|
|
|
|
|
80,519
|
|
|
80,519
|
|
|||||
Non-controlling interests
|
|
|
|
|
|
|
|
|
|
42,269
|
|
|
42,269
|
|
|||||
Income tax expense
|
|
|
|
|
|
|
|
|
|
57,177
|
|
|
57,177
|
|
|||||
Net income (loss) attributable to ordinary shareholders
|
|
|
|
|
|
|
|
|
|
|
|
$
|
951,320
|
|
|||||
Ratios – P&C operations: (9)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Loss and loss expense ratio
|
63.7
|
%
|
|
40.4
|
%
|
|
56.8
|
%
|
|
|
|
|
|
|
|||||
Underwriting expense ratio
|
32.1
|
%
|
|
34.2
|
%
|
|
32.7
|
%
|
|
|
|
|
|
|
|||||
Combined ratio
|
95.8
|
%
|
|
74.6
|
%
|
|
89.5
|
%
|
|
|
|
|
|
|
(1)
|
Corporate and Other includes other items of our revenue and expenditures that are not evaluated at the segment level for reporting purposes, as well as the Company's Run-Off Life Operations.
|
(2)
|
The Company has reflected the amortization of certain fair value adjustments recorded in conjunction with the Catlin Acquisition within the respective segments.
|
(3)
|
Operating expenses of the segments exclude Corporate operating expenses, shown separately.
|
(4)
|
Net investment income - excluding Life Funds Withheld Assets does not include net investment income related to the net results from structured products.
|
(5)
|
The net results from P&C structured products include net investment income and interest expense of
$31.1 million
and
$20.6 million
, respectively.
|
(6)
|
Net fee income and other includes operating expenses from the Company's loss prevention consulting services business.
|
(7)
|
The Company generally records the income related to the alternative funds and to the private investment and operating fund affiliates on a
one
-month and
three
-month lag, respectively.
|
(8)
|
Interest expense excludes interest expense related to deposit liabilities recorded in the Insurance and Reinsurance segments.
|
(9)
|
Ratios are based on net premiums earned from P&C operations.
|
Six Months Ended June 30, 2014
(U.S. dollars in thousands, except ratios)
|
Insurance
|
|
Reinsurance
|
|
Total P&C
|
|
Corporate
and Other (1)
|
|
Total
|
||||||||||
Gross premiums written
|
$
|
3,189,331
|
|
|
$
|
1,350,837
|
|
|
$
|
4,540,168
|
|
|
$
|
171,007
|
|
|
$
|
4,711,175
|
|
Net premiums written
|
2,124,247
|
|
|
1,228,619
|
|
|
3,352,866
|
|
|
134,829
|
|
|
3,487,695
|
|
|||||
Net premiums earned
|
1,996,430
|
|
|
854,174
|
|
|
2,850,604
|
|
|
134,829
|
|
|
2,985,433
|
|
|||||
Net losses and loss expenses (2)
|
1,266,820
|
|
|
392,565
|
|
|
1,659,385
|
|
|
198,886
|
|
|
1,858,271
|
|
|||||
Acquisition costs (2)
|
204,863
|
|
|
168,109
|
|
|
372,972
|
|
|
11,061
|
|
|
384,033
|
|
|||||
Operating expenses (3)
|
416,983
|
|
|
88,443
|
|
|
505,426
|
|
|
5,397
|
|
|
510,823
|
|
|||||
Underwriting profit (loss)
|
$
|
107,764
|
|
|
$
|
205,057
|
|
|
$
|
312,821
|
|
|
$
|
(80,515
|
)
|
|
$
|
232,306
|
|
Net investment income - excluding Life Funds Withheld Assets (4)
|
|
|
|
|
288,082
|
|
|
123,010
|
|
|
411,092
|
|
|||||||
Net investment income - Life Funds Withheld Assets
|
|
|
|
|
|
|
19,165
|
|
|
19,165
|
|
||||||||
Net results from structured products (5)
|
36,535
|
|
|
6,303
|
|
|
42,838
|
|
|
—
|
|
|
42,838
|
|
|||||
Net fee income and other (6)
|
(4,779
|
)
|
|
1,337
|
|
|
(3,442
|
)
|
|
90
|
|
|
(3,352
|
)
|
|||||
Loss on sale of life reinsurance subsidiary
|
|
|
|
|
—
|
|
|
666,423
|
|
|
666,423
|
|
|||||||
Net realized gains (losses) on investments - excluding Life Funds Withheld Assets
|
|
|
|
|
|
|
96,171
|
|
|
3,902
|
|
|
100,073
|
|
|||||
Net realized gains (losses) on investments and net unrealized gains (losses) on investments, Trading - Life Funds Withheld Assets
|
|
|
|
|
|
|
—
|
|
|
(8,147
|
)
|
|
(8,147
|
)
|
|||||
Net realized and unrealized gains (losses) on derivative instruments
|
|
|
|
|
|
|
—
|
|
|
13,409
|
|
|
13,409
|
|
|||||
Net realized and unrealized gains (losses) on life retrocession embedded derivative and derivative instruments - Life Funds Withheld Assets
|
|
|
|
|
—
|
|
|
(17,546
|
)
|
|
(17,546
|
)
|
|||||||
Net income (loss) from investment fund affiliates and operating affiliates (7)
|
|
|
|
|
|
|
—
|
|
|
125,009
|
|
|
125,009
|
|
|||||
Exchange (gains) losses
|
|
|
|
|
|
|
—
|
|
|
31,582
|
|
|
31,582
|
|
|||||
Corporate operating expenses
|
|
|
|
|
|
|
—
|
|
|
107,833
|
|
|
107,833
|
|
|||||
Contribution from P&C and Corporate and Other
|
|
|
|
|
|
|
736,470
|
|
|
(627,461
|
)
|
|
109,009
|
|
|||||
Interest expense (8)
|
|
|
|
|
|
|
|
|
|
64,444
|
|
|
64,444
|
|
|||||
Non-controlling interests
|
|
|
|
|
|
|
|
|
|
39,441
|
|
|
39,441
|
|
|||||
Income tax expense
|
|
|
|
|
|
|
|
|
|
28,667
|
|
|
28,667
|
|
|||||
Net income (loss) attributable to ordinary shareholders
|
|
|
|
|
|
|
|
|
|
|
|
$
|
(23,543
|
)
|
|||||
Ratios – P&C operations: (9)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Loss and loss expense ratio
|
63.5
|
%
|
|
46.0
|
%
|
|
58.2
|
%
|
|
|
|
|
|
|
|||||
Underwriting expense ratio
|
31.1
|
%
|
|
30.0
|
%
|
|
30.8
|
%
|
|
|
|
|
|
|
|||||
Combined ratio
|
94.6
|
%
|
|
76.0
|
%
|
|
89.0
|
%
|
|
|
|
|
|
|
(1)
|
Corporate and Other includes other items of our revenue and expenditures that are not evaluated at the segment level for reporting purposes, as well as the Company's Run-Off Life Operations.
|
(2)
|
The Company has reflected the amortization of certain fair value adjustments recorded in conjunction with the Catlin Acquisition within the respective segments.
|
(3)
|
Operating expenses of the segments exclude Corporate operating expenses, shown separately.
|
(4)
|
Net investment income - excluding Life Funds Withheld Assets does not include net investment income related to the net results from structured products.
|
(5)
|
The net results from P&C structured products include net investment income and interest credit of
$35.7 million
and
$7.4 million
, respectively.
|
(6)
|
Net fee income and other includes operating expenses from the Company's loss prevention consulting services business.
|
(7)
|
The Company generally records the income related to the alternative funds and to the private investment and operating fund affiliates on a
one
-month and
three
-month lag, respectively.
|
(8)
|
Interest expense excludes interest expense related to deposit liabilities recorded in the Insurance and Reinsurance segments.
|
(9)
|
Ratios are based on net premiums earned from P&C operations.
|
Three Months Ended June 30, 2015
(U.S. dollars in thousands)
|
Insurance
|
|
Reinsurance
|
|
Corporate
and Other |
|
Total
|
||||||||
P&C Operations:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Professional
|
$
|
286,348
|
|
|
$
|
43,225
|
|
|
$
|
—
|
|
|
$
|
329,573
|
|
Casualty
|
420,472
|
|
|
125,787
|
|
|
—
|
|
|
546,259
|
|
||||
Property catastrophe
|
—
|
|
|
163,453
|
|
|
—
|
|
|
163,453
|
|
||||
Property
|
215,128
|
|
|
231,897
|
|
|
—
|
|
|
447,025
|
|
||||
Marine, energy, aviation and satellite
|
(16
|
)
|
|
32,549
|
|
|
—
|
|
|
32,533
|
|
||||
Specialty
|
411,438
|
|
|
—
|
|
|
—
|
|
|
411,438
|
|
||||
Other (1)
|
79,536
|
|
|
53,978
|
|
|
—
|
|
|
133,514
|
|
||||
Total P&C Operations
|
$
|
1,412,906
|
|
|
$
|
650,889
|
|
|
$
|
—
|
|
|
$
|
2,063,795
|
|
Corporate and Other:
|
|
|
|
|
|
|
|
|
|
||||||
Run-off Life operations - Annuity
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
1
|
|
|
$
|
1
|
|
Run-off Life operations - Other Life
|
—
|
|
|
—
|
|
|
18,257
|
|
|
18,257
|
|
||||
Total Corporate and Other
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
18,258
|
|
|
$
|
18,258
|
|
Total
|
$
|
1,412,906
|
|
|
$
|
650,889
|
|
|
$
|
18,258
|
|
|
$
|
2,082,053
|
|
|
|
|
|
|
|
|
|
||||||||
Three Months Ended June 30, 2014
(U.S. dollars in thousands)
|
Insurance
|
|
Reinsurance
|
|
Corporate
and Other
|
|
Total
|
||||||||
P&C Operations:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Professional
|
$
|
267,509
|
|
|
$
|
44,239
|
|
|
$
|
—
|
|
|
$
|
311,748
|
|
Casualty
|
358,990
|
|
|
82,929
|
|
|
—
|
|
|
441,919
|
|
||||
Property catastrophe
|
—
|
|
|
112,562
|
|
|
—
|
|
|
112,562
|
|
||||
Property
|
142,874
|
|
|
142,337
|
|
|
—
|
|
|
285,211
|
|
||||
Marine, energy, aviation and satellite
|
—
|
|
|
21,065
|
|
|
—
|
|
|
21,065
|
|
||||
Specialty
|
179,948
|
|
|
—
|
|
|
—
|
|
|
179,948
|
|
||||
Other (1)
|
54,669
|
|
|
30,954
|
|
|
—
|
|
|
85,623
|
|
||||
Total P&C Operations
|
$
|
1,003,990
|
|
|
$
|
434,086
|
|
|
$
|
—
|
|
|
$
|
1,438,076
|
|
Corporate and Other:
|
|
|
|
|
|
|
|
|
|
||||||
Run-off Life operations - Annuity
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
21,564
|
|
|
$
|
21,564
|
|
Run-off Life operations - Other Life
|
—
|
|
|
—
|
|
|
36,954
|
|
|
36,954
|
|
||||
Total Corporate and Other
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
58,518
|
|
|
$
|
58,518
|
|
Total
|
$
|
1,003,990
|
|
|
$
|
434,086
|
|
|
$
|
58,518
|
|
|
$
|
1,496,594
|
|
(1)
|
Other within the Insurance segment includes: excess and surplus, programs, surety, structured indemnity and certain discontinued lines. Other within the Reinsurance segment includes: whole account contracts, accident and health and other lines.
|
Six Months Ended June 30, 2015
(U.S. dollars in thousands)
|
Insurance
|
|
Reinsurance
|
|
Corporate
and Other |
|
Total
|
||||||||
P&C Operations:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Professional
|
$
|
552,759
|
|
|
$
|
78,233
|
|
|
$
|
—
|
|
|
$
|
630,992
|
|
Casualty
|
729,807
|
|
|
183,995
|
|
|
—
|
|
|
913,802
|
|
||||
Property catastrophe
|
—
|
|
|
257,526
|
|
|
—
|
|
|
257,526
|
|
||||
Property
|
343,369
|
|
|
363,121
|
|
|
—
|
|
|
706,490
|
|
||||
Marine, energy, aviation and satellite
|
(16
|
)
|
|
50,624
|
|
|
—
|
|
|
50,608
|
|
||||
Specialty
|
596,162
|
|
|
—
|
|
|
—
|
|
|
596,162
|
|
||||
Other (1)
|
153,131
|
|
|
74,578
|
|
|
—
|
|
|
227,709
|
|
||||
Total P&C Operations
|
$
|
2,375,212
|
|
|
$
|
1,008,077
|
|
|
$
|
—
|
|
|
$
|
3,383,289
|
|
Corporate and Other:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Run-off Life operations - Annuity
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
Run-off Life operations - Other Life
|
—
|
|
|
—
|
|
|
32,764
|
|
|
32,764
|
|
||||
Total Corporate and Other
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
32,764
|
|
|
$
|
32,764
|
|
Total
|
$
|
2,375,212
|
|
|
$
|
1,008,077
|
|
|
$
|
32,764
|
|
|
$
|
3,416,053
|
|
|
|
|
|
|
|
|
|
||||||||
Six Months Ended June 30, 2014
(U.S. dollars in thousands)
|
Insurance
|
|
Reinsurance
|
|
Corporate
and Other
|
|
Total
|
||||||||
P&C Operations:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Professional
|
$
|
542,936
|
|
|
$
|
94,343
|
|
|
$
|
—
|
|
|
$
|
637,279
|
|
Casualty
|
702,994
|
|
|
159,650
|
|
|
—
|
|
|
862,644
|
|
||||
Property catastrophe
|
—
|
|
|
220,999
|
|
|
—
|
|
|
220,999
|
|
||||
Property
|
282,607
|
|
|
277,576
|
|
|
—
|
|
|
560,183
|
|
||||
Marine, energy, aviation and satellite
|
—
|
|
|
44,579
|
|
|
—
|
|
|
44,579
|
|
||||
Specialty
|
356,857
|
|
|
—
|
|
|
—
|
|
|
356,857
|
|
||||
Other (1)
|
111,036
|
|
|
57,027
|
|
|
—
|
|
|
168,063
|
|
||||
Total P&C Operations
|
$
|
1,996,430
|
|
|
$
|
854,174
|
|
|
$
|
—
|
|
|
$
|
2,850,604
|
|
Corporate and Other:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Run-off Life operations - Annuity
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
53,361
|
|
|
$
|
53,361
|
|
Run-off Life operations - Other Life
|
—
|
|
|
—
|
|
|
81,468
|
|
|
81,468
|
|
||||
Total Corporate and Other
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
134,829
|
|
|
$
|
134,829
|
|
Total
|
$
|
1,996,430
|
|
|
$
|
854,174
|
|
|
$
|
134,829
|
|
|
$
|
2,985,433
|
|
(1)
|
Other within the Insurance segment includes: excess and surplus, programs, surety, structured indemnity and certain discontinued lines. Other within the Reinsurance segment includes: whole account contracts, accident and health and other lines.
|
June 30, 2015
(U.S. dollars in thousands)
|
Cost or
Amortized
Cost
|
|
Gross
Unrealized
Gains
|
|
Gross Unrealized Losses
|
|
Fair Value
|
|
Non-credit Related OTTI (1)
|
||||||||||
Fixed maturities - AFS - Excluding Life Funds Withheld Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
U.S. Government and Government-Related/Supported
|
$
|
3,786,878
|
|
|
$
|
56,994
|
|
|
$
|
(16,766
|
)
|
|
$
|
3,827,106
|
|
|
$
|
—
|
|
Corporate - Financials
|
3,194,676
|
|
|
61,404
|
|
|
(20,567
|
)
|
|
3,235,513
|
|
|
—
|
|
|||||
Corporate - Non Financials (2)
|
6,792,840
|
|
|
209,968
|
|
|
(50,744
|
)
|
|
6,952,064
|
|
|
(3,309
|
)
|
|||||
RMBS – Agency
|
3,890,265
|
|
|
88,699
|
|
|
(20,820
|
)
|
|
3,958,144
|
|
|
—
|
|
|||||
RMBS – Non-Agency
|
361,661
|
|
|
28,531
|
|
|
(17,921
|
)
|
|
372,271
|
|
|
(57,074
|
)
|
|||||
CMBS
|
929,466
|
|
|
14,903
|
|
|
(8,311
|
)
|
|
936,058
|
|
|
(1,598
|
)
|
|||||
CDO
|
505,865
|
|
|
6,733
|
|
|
(24,573
|
)
|
|
488,025
|
|
|
(1,625
|
)
|
|||||
Other asset-backed securities (2)
|
2,326,633
|
|
|
35,669
|
|
|
(11,915
|
)
|
|
2,350,387
|
|
|
(1,516
|
)
|
|||||
U.S. States and political subdivisions of the States
|
2,301,628
|
|
|
101,435
|
|
|
(11,790
|
)
|
|
2,391,273
|
|
|
—
|
|
|||||
Non-U.S. Sovereign Government, Provincial, Supranational and Government-Related/Supported
|
5,220,879
|
|
|
111,046
|
|
|
(71,863
|
)
|
|
5,260,062
|
|
|
—
|
|
|||||
Total fixed maturities - AFS - Excluding Life Funds Withheld Assets
|
$
|
29,310,791
|
|
|
$
|
715,382
|
|
|
$
|
(255,270
|
)
|
|
$
|
29,770,903
|
|
|
$
|
(65,122
|
)
|
Total short-term investments - Excluding Life Funds Withheld Assets
|
$
|
806,990
|
|
|
$
|
1,190
|
|
|
$
|
(694
|
)
|
|
$
|
807,486
|
|
|
$
|
—
|
|
Total equity securities - Excluding Life Funds Withheld Assets
|
$
|
964,038
|
|
|
$
|
136,219
|
|
|
$
|
(26,787
|
)
|
|
$
|
1,073,470
|
|
|
$
|
—
|
|
Total investments - AFS - Excluding Life Funds Withheld Assets
|
$
|
31,081,819
|
|
|
$
|
852,791
|
|
|
$
|
(282,751
|
)
|
|
$
|
31,651,859
|
|
|
$
|
(65,122
|
)
|
Fixed maturities - AFS - Life Funds Withheld Assets
|
|
|
|
|
|
|
|
|
|
||||||||||
U.S. Government and Government-Related/Supported
|
$
|
11,501
|
|
|
$
|
2,177
|
|
|
$
|
—
|
|
|
$
|
13,678
|
|
|
$
|
—
|
|
Corporate - Financials
|
639,699
|
|
|
83,223
|
|
|
—
|
|
|
722,922
|
|
|
—
|
|
|||||
Corporate - Non Financials
|
1,439,134
|
|
|
226,544
|
|
|
—
|
|
|
1,665,678
|
|
|
—
|
|
|||||
RMBS – Agency
|
674
|
|
|
163
|
|
|
—
|
|
|
837
|
|
|
—
|
|
|||||
RMBS – Non-Agency
|
26,377
|
|
|
3,214
|
|
|
—
|
|
|
29,591
|
|
|
—
|
|
|||||
CMBS
|
126,539
|
|
|
19,078
|
|
|
—
|
|
|
145,617
|
|
|
—
|
|
|||||
Other asset-backed securities
|
164,779
|
|
|
22,758
|
|
|
—
|
|
|
187,537
|
|
|
—
|
|
|||||
Non-U.S. Sovereign Government, Provincial, Supranational and Government-Related/Supported
|
980,215
|
|
|
251,013
|
|
|
—
|
|
|
1,231,228
|
|
|
—
|
|
|||||
Total fixed maturities - AFS - Life Funds Withheld Assets
|
$
|
3,388,918
|
|
|
$
|
608,170
|
|
|
$
|
—
|
|
|
$
|
3,997,088
|
|
|
$
|
—
|
|
Total investments - AFS
|
$
|
34,470,737
|
|
|
$
|
1,460,961
|
|
|
$
|
(282,751
|
)
|
|
$
|
35,648,947
|
|
|
$
|
(65,122
|
)
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Fixed maturities - Trading - Life Funds Withheld Assets
|
|
|
|
|
|
|
Amortized Cost
|
|
Fair Value
|
||||||||||
U.S. Government and Government-Related/Supported
|
|
|
|
|
|
|
$
|
3,628
|
|
|
$
|
3,596
|
|
||||||
Corporate - Financials
|
|
|
|
|
|
|
194,385
|
|
|
187,169
|
|
||||||||
Corporate - Non Financials
|
|
|
|
|
|
|
343,658
|
|
|
332,654
|
|
||||||||
CMBS
|
|
|
|
|
|
|
262
|
|
|
261
|
|
||||||||
Other asset-backed securities
|
|
|
|
|
|
|
15,016
|
|
|
14,823
|
|
||||||||
Non-U.S. Sovereign Government, Provincial, Supranational and Government-Related/Supported
|
|
|
|
|
|
|
254,100
|
|
|
252,981
|
|
||||||||
Total investments - Trading - Life Funds Withheld Assets
|
|
|
|
|
|
|
$
|
811,049
|
|
|
$
|
791,484
|
|
(1)
|
Represents the non-credit component of OTTI losses, adjusted for subsequent sales of securities. It does not include the change in fair value subsequent to the date an impairment was recorded.
|
(2)
|
Included are certain medium term notes supported primarily by pools of European investment grade credit with varying degrees of leverage. The notes have a fair value of
$75.3 million
and an amortized cost of
$64.5 million
. These notes allow the investor to participate in cash flows of the underlying bonds including certain residual values, which could serve to either decrease or increase the ultimate value of these notes.
|
December 31, 2014
(U.S. dollars in thousands)
|
Cost or
Amortized
Cost
|
|
Gross
Unrealized
Gains
|
|
Gross Unrealized Losses
|
|
Fair Value
|
|
Non-credit Related OTTI (1)
|
||||||||||
Fixed maturities - AFS - Excluding Life Funds Withheld Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
U.S. Government and Government-Related/Supported
|
$
|
2,100,851
|
|
|
$
|
77,889
|
|
|
$
|
(6,787
|
)
|
|
$
|
2,171,953
|
|
|
$
|
—
|
|
Corporate - Financials
|
2,687,797
|
|
|
87,058
|
|
|
(12,939
|
)
|
|
2,761,916
|
|
|
—
|
|
|||||
Corporate - Non Financials (2)
|
5,774,333
|
|
|
278,747
|
|
|
(36,623
|
)
|
|
6,016,457
|
|
|
(3,309
|
)
|
|||||
RMBS – Agency
|
3,625,171
|
|
|
114,188
|
|
|
(10,783
|
)
|
|
3,728,576
|
|
|
—
|
|
|||||
RMBS – Non-Agency
|
404,398
|
|
|
41,108
|
|
|
(18,155
|
)
|
|
427,351
|
|
|
(67,918
|
)
|
|||||
CMBS
|
1,033,819
|
|
|
23,987
|
|
|
(5,262
|
)
|
|
1,052,544
|
|
|
(2,033
|
)
|
|||||
CDO
|
717,544
|
|
|
1,659
|
|
|
(27,169
|
)
|
|
692,034
|
|
|
(1,663
|
)
|
|||||
Other asset-backed securities (2)
|
1,028,528
|
|
|
42,810
|
|
|
(6,045
|
)
|
|
1,065,293
|
|
|
(1,797
|
)
|
|||||
U.S. States and political subdivisions of the States
|
1,892,566
|
|
|
129,910
|
|
|
(1,204
|
)
|
|
2,021,272
|
|
|
—
|
|
|||||
Non-U.S. Sovereign Government, Provincial, Supranational and Government-Related/Supported
|
4,162,425
|
|
|
139,484
|
|
|
(61,836
|
)
|
|
4,240,073
|
|
|
—
|
|
|||||
Total fixed maturities - AFS - Excluding Life Funds Withheld Assets
|
$
|
23,427,432
|
|
|
$
|
936,840
|
|
|
$
|
(186,803
|
)
|
|
$
|
24,177,469
|
|
|
$
|
(76,720
|
)
|
Total short-term investments - Excluding Life Funds Withheld Assets
|
$
|
257,221
|
|
|
$
|
49
|
|
|
$
|
(543
|
)
|
|
$
|
256,727
|
|
|
$
|
—
|
|
Total equity securities - Excluding Life Funds Withheld Assets
|
$
|
763,833
|
|
|
$
|
130,689
|
|
|
$
|
(26,230
|
)
|
|
$
|
868,292
|
|
|
$
|
—
|
|
Total investments - AFS - Excluding Life Funds Withheld Assets
|
$
|
24,448,486
|
|
|
$
|
1,067,578
|
|
|
$
|
(213,576
|
)
|
|
$
|
25,302,488
|
|
|
$
|
(76,720
|
)
|
Fixed maturities - AFS - Life Funds Withheld Assets
|
|
|
|
|
|
|
|
|
|
||||||||||
U.S. Government and Government-Related/Supported
|
$
|
14,866
|
|
|
$
|
3,858
|
|
|
$
|
—
|
|
|
$
|
18,724
|
|
|
$
|
—
|
|
Corporate - Financials
|
701,587
|
|
|
99,432
|
|
|
—
|
|
|
801,019
|
|
|
—
|
|
|||||
Corporate - Non Financials
|
1,706,262
|
|
|
310,699
|
|
|
—
|
|
|
2,016,961
|
|
|
—
|
|
|||||
RMBS – Agency
|
3,301
|
|
|
481
|
|
|
—
|
|
|
3,782
|
|
|
—
|
|
|||||
RMBS – Non-Agency
|
71,075
|
|
|
14,260
|
|
|
—
|
|
|
85,335
|
|
|
—
|
|
|||||
CMBS
|
168,886
|
|
|
24,281
|
|
|
—
|
|
|
193,167
|
|
|
—
|
|
|||||
Other asset-backed securities
|
238,168
|
|
|
35,373
|
|
|
—
|
|
|
273,541
|
|
|
—
|
|
|||||
Non-U.S. Sovereign Government, Provincial, Supranational and Government-Related/Supported
|
1,397,194
|
|
|
391,842
|
|
|
—
|
|
|
1,789,036
|
|
|
—
|
|
|||||
Total fixed maturities - AFS - Excluding Life Funds Withheld Assets
|
$
|
4,301,339
|
|
|
$
|
880,226
|
|
|
$
|
—
|
|
|
$
|
5,181,565
|
|
|
$
|
—
|
|
Total investments - AFS
|
$
|
28,749,825
|
|
|
$
|
1,947,804
|
|
|
$
|
(213,576
|
)
|
|
$
|
30,484,053
|
|
|
$
|
(76,720
|
)
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Fixed maturities - Trading - Life Funds Withheld Assets
|
|
|
|
|
|
|
Amortized Cost
|
|
Fair Value
|
||||||||||
Corporate - Non Financials
|
|
|
|
|
|
|
$
|
1,180
|
|
|
$
|
1,171
|
|
||||||
Total investments - Trading - Life Funds Withheld Assets
|
|
|
|
|
|
|
$
|
1,180
|
|
|
$
|
1,171
|
|
(1)
|
Represents the non-credit component of OTTI losses, adjusted for subsequent sales of securities. It does not include the change in fair value subsequent to the date an impairment was recorded.
|
(2)
|
Included are certain medium term notes supported primarily by pools of European investment grade credit with varying degrees of leverage. The notes have a fair value of
$79.9 million
and an amortized cost of
$68.4 million
. These notes allow the investor to participate in cash flows of the underlying bonds including certain residual values, which could serve to either decrease or increase the ultimate value of these notes.
|
|
June 30, 2015
|
|
December 31, 2014
|
||||||||||||
(U.S. dollars in thousands)
|
Amortized
Cost
|
|
Fair
Value
|
|
Amortized
Cost
|
|
Fair
Value
|
||||||||
Fixed maturities - AFS - Excluding Life Funds Withheld Assets
|
|
|
|
|
|
|
|
|
|
|
|
||||
Due less than one year
|
$
|
1,957,896
|
|
|
$
|
1,962,391
|
|
|
$
|
1,972,224
|
|
|
$
|
1,980,429
|
|
Due after 1 through 5 years
|
12,409,937
|
|
|
12,584,530
|
|
|
8,919,037
|
|
|
9,113,651
|
|
||||
Due after 5 through 10 years
|
5,231,268
|
|
|
5,305,166
|
|
|
4,232,396
|
|
|
4,412,569
|
|
||||
Due after 10 years
|
1,697,800
|
|
|
1,813,931
|
|
|
1,494,315
|
|
|
1,705,022
|
|
||||
|
$
|
21,296,901
|
|
|
$
|
21,666,018
|
|
|
$
|
16,617,972
|
|
|
$
|
17,211,671
|
|
RMBS – Agency
|
3,890,265
|
|
|
3,958,144
|
|
|
3,625,171
|
|
|
3,728,576
|
|
||||
RMBS – Non-Agency
|
361,661
|
|
|
372,271
|
|
|
404,398
|
|
|
427,351
|
|
||||
CMBS
|
929,466
|
|
|
936,058
|
|
|
1,033,819
|
|
|
1,052,544
|
|
||||
CDO
|
505,865
|
|
|
488,025
|
|
|
717,544
|
|
|
692,034
|
|
||||
Other asset-backed securities
|
2,326,633
|
|
|
2,350,387
|
|
|
1,028,528
|
|
|
1,065,293
|
|
||||
Total mortgage and asset-backed securities
|
$
|
8,013,890
|
|
|
$
|
8,104,885
|
|
|
$
|
6,809,460
|
|
|
$
|
6,965,798
|
|
Total fixed maturities - AFS - Excluding Life Funds Withheld Assets
|
$
|
29,310,791
|
|
|
$
|
29,770,903
|
|
|
$
|
23,427,432
|
|
|
$
|
24,177,469
|
|
Fixed maturities - AFS - Life Funds Withheld Assets
|
|
|
|
|
|
|
|
|
|
|
|
||||
Due less than one year
|
$
|
87,963
|
|
|
$
|
96,402
|
|
|
$
|
117,048
|
|
|
$
|
125,326
|
|
Due after 1 through 5 years
|
468,476
|
|
|
505,063
|
|
|
638,526
|
|
|
685,787
|
|
||||
Due after 5 through 10 years
|
705,507
|
|
|
808,909
|
|
|
1,004,698
|
|
|
1,165,348
|
|
||||
Due after 10 years
|
1,808,603
|
|
|
2,223,132
|
|
|
2,059,637
|
|
|
2,649,279
|
|
||||
|
$
|
3,070,549
|
|
|
$
|
3,633,506
|
|
|
$
|
3,819,909
|
|
|
$
|
4,625,740
|
|
RMBS – Agency
|
674
|
|
|
837
|
|
|
3,301
|
|
|
3,782
|
|
||||
RMBS – Non-Agency
|
26,377
|
|
|
29,591
|
|
|
71,075
|
|
|
85,335
|
|
||||
CMBS
|
126,539
|
|
|
145,617
|
|
|
168,886
|
|
|
193,167
|
|
||||
Other asset-backed securities
|
164,779
|
|
|
187,537
|
|
|
238,168
|
|
|
273,541
|
|
||||
Total mortgage and asset-backed securities
|
$
|
318,369
|
|
|
$
|
363,582
|
|
|
$
|
481,430
|
|
|
$
|
555,825
|
|
Total fixed maturities - AFS - Life Funds Withheld Assets
|
$
|
3,388,918
|
|
|
$
|
3,997,088
|
|
|
$
|
4,301,339
|
|
|
$
|
5,181,565
|
|
Total fixed maturities - AFS
|
$
|
32,699,709
|
|
|
$
|
33,767,991
|
|
|
$
|
27,728,771
|
|
|
$
|
29,359,034
|
|
Fixed maturities - Trading - Life Funds Withheld Assets
|
|
|
|
|
|
|
|
|
|
|
|
||||
Due less than one year
|
$
|
42,557
|
|
|
$
|
42,553
|
|
|
$
|
—
|
|
|
$
|
—
|
|
Due after 1 through 5 years
|
221,522
|
|
|
220,727
|
|
|
—
|
|
|
—
|
|
||||
Due after 5 through 10 years
|
162,877
|
|
|
160,923
|
|
|
1,180
|
|
|
1,171
|
|
||||
Due after 10 years
|
368,815
|
|
|
352,197
|
|
|
—
|
|
|
—
|
|
||||
|
$
|
795,771
|
|
|
$
|
776,400
|
|
|
$
|
1,180
|
|
|
$
|
1,171
|
|
CMBS
|
262
|
|
|
261
|
|
|
—
|
|
|
—
|
|
||||
Other asset-backed securities
|
15,016
|
|
|
14,823
|
|
|
—
|
|
|
—
|
|
||||
Total mortgage and asset-backed securities
|
$
|
15,278
|
|
|
$
|
15,084
|
|
|
$
|
—
|
|
|
$
|
—
|
|
Total fixed maturities - Trading - Life Funds Withheld Assets
|
$
|
811,049
|
|
|
$
|
791,484
|
|
|
$
|
1,180
|
|
|
$
|
1,171
|
|
|
Less than 12 months
|
|
Equal to or greater
than 12 months
|
||||||||||||
June 30, 2015
(U.S. dollars in thousands)
|
Fair
Value
|
|
Gross
Unrealized
Losses
|
|
Fair
Value
|
|
Gross
Unrealized
Losses
|
||||||||
Fixed maturities and short-term investments - AFS
|
|
|
|
|
|
|
|
|
|
|
|
||||
U.S. Government and Government-Related/Supported
|
$
|
1,721,385
|
|
|
$
|
(12,211
|
)
|
|
$
|
109,027
|
|
|
$
|
(4,666
|
)
|
Corporate – Financials
|
1,054,854
|
|
|
(13,737
|
)
|
|
76,450
|
|
|
(6,846
|
)
|
||||
Corporate – Non Financials
|
2,305,696
|
|
|
(41,526
|
)
|
|
146,220
|
|
|
(9,582
|
)
|
||||
RMBS – Agency
|
1,136,559
|
|
|
(12,171
|
)
|
|
245,806
|
|
|
(8,649
|
)
|
||||
RMBS – Non-Agency
|
45,052
|
|
|
(1,959
|
)
|
|
197,361
|
|
|
(15,962
|
)
|
||||
CMBS
|
295,914
|
|
|
(5,263
|
)
|
|
100,100
|
|
|
(3,048
|
)
|
||||
CDO
|
39,969
|
|
|
(5,506
|
)
|
|
322,684
|
|
|
(19,067
|
)
|
||||
Other asset-backed securities
|
1,014,257
|
|
|
(6,535
|
)
|
|
59,985
|
|
|
(5,392
|
)
|
||||
U.S. States and political subdivisions of the States
|
706,360
|
|
|
(10,617
|
)
|
|
17,546
|
|
|
(1,181
|
)
|
||||
Non-U.S. Sovereign Government, Provincial, Supranational and Government-Related/Supported
|
1,736,079
|
|
|
(38,213
|
)
|
|
459,362
|
|
|
(33,833
|
)
|
||||
Total fixed maturities and short-term investments - AFS
|
$
|
10,056,125
|
|
|
$
|
(147,738
|
)
|
|
$
|
1,734,541
|
|
|
$
|
(108,226
|
)
|
Total equity securities
|
$
|
267,759
|
|
|
$
|
(26,787
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
Less than 12 months
|
|
Equal to or greater
than 12 months
|
||||||||||||
December 31, 2014
(U.S. dollars in thousands)
|
Fair
Value
|
|
Gross
Unrealized
Losses
|
|
Fair
Value
|
|
Gross
Unrealized
Losses
|
||||||||
Fixed maturities and short-term investments - AFS
|
|
|
|
|
|
|
|
|
|
|
|
||||
U.S. Government and Government-Related/Supported
|
$
|
251,091
|
|
|
$
|
(1,196
|
)
|
|
$
|
342,890
|
|
|
$
|
(5,603
|
)
|
Corporate – Financials
|
387,619
|
|
|
(5,858
|
)
|
|
105,155
|
|
|
(7,097
|
)
|
||||
Corporate – Non Financials
|
949,851
|
|
|
(28,023
|
)
|
|
319,066
|
|
|
(8,657
|
)
|
||||
RMBS – Agency
|
134,535
|
|
|
(220
|
)
|
|
512,652
|
|
|
(10,563
|
)
|
||||
RMBS – Non-Agency
|
45,378
|
|
|
(1,358
|
)
|
|
202,700
|
|
|
(16,797
|
)
|
||||
CMBS
|
78,356
|
|
|
(385
|
)
|
|
169,065
|
|
|
(4,877
|
)
|
||||
CDO
|
249,803
|
|
|
(2,666
|
)
|
|
414,516
|
|
|
(24,503
|
)
|
||||
Other asset-backed securities
|
143,044
|
|
|
(2,813
|
)
|
|
57,544
|
|
|
(3,232
|
)
|
||||
U.S. States and political subdivisions of the States
|
32,187
|
|
|
(210
|
)
|
|
63,695
|
|
|
(994
|
)
|
||||
Non-U.S. Sovereign Government, Provincial, Supranational and Government-Related/Supported
|
624,346
|
|
|
(19,043
|
)
|
|
558,422
|
|
|
(43,251
|
)
|
||||
Total fixed maturities and short-term investments - AFS
|
$
|
2,896,210
|
|
|
$
|
(61,772
|
)
|
|
$
|
2,745,705
|
|
|
$
|
(125,574
|
)
|
Total equity securities
|
$
|
191,193
|
|
|
$
|
(26,230
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
Net Realized Gains (Losses) on Investments
|
Three months ended June 30,
|
|
Six months ended June 30,
|
||||||||||||
(U.S. dollars in thousands)
|
2015
|
|
2014
|
|
2015
|
|
2014
|
||||||||
Net realized gains (losses) on investments - excluding Life Funds Withheld Assets:
|
|
|
|
|
|
|
|
||||||||
Gross realized gains
|
$
|
48,547
|
|
|
$
|
118,947
|
|
|
$
|
110,845
|
|
|
$
|
170,160
|
|
Gross realized losses on investments sold
|
(27,608
|
)
|
|
(13,487
|
)
|
|
(74,728
|
)
|
|
(41,744
|
)
|
||||
OTTI on investments, net of amounts transferred to other comprehensive income
|
(16,588
|
)
|
|
(24,616
|
)
|
|
(27,164
|
)
|
|
(28,343
|
)
|
||||
|
$
|
4,351
|
|
|
$
|
80,844
|
|
|
$
|
8,953
|
|
|
$
|
100,073
|
|
Net realized gains (losses) on investments and net unrealized gains (losses) on investments, Trading - Life Funds Withheld Assets:
|
|
|
|
|
|
|
|
||||||||
Gross realized gains
|
$
|
84,641
|
|
|
$
|
624
|
|
|
$
|
137,769
|
|
|
$
|
624
|
|
Gross realized losses on investments sold
|
(16,604
|
)
|
|
—
|
|
|
(16,994
|
)
|
|
—
|
|
||||
OTTI on investments, net of amounts transferred to other comprehensive income
|
(2,878
|
)
|
|
(8,771
|
)
|
|
(8,087
|
)
|
|
(8,771
|
)
|
||||
Net unrealized gains (losses) on trading securities
|
$
|
(19,543
|
)
|
|
$
|
—
|
|
|
$
|
(18,783
|
)
|
|
$
|
—
|
|
|
$
|
45,616
|
|
|
$
|
(8,147
|
)
|
|
$
|
93,905
|
|
|
$
|
(8,147
|
)
|
Total net realized gains (losses) on investments
|
$
|
49,967
|
|
|
$
|
72,697
|
|
|
$
|
102,858
|
|
|
$
|
91,926
|
|
▪
|
$6.5 million
related to certain Other Investments that we no longer intend to hold for a period sufficient to recover their fair value to amortized cost.
|
•
|
$4.8 million
related to certain high yield securities which we no longer intend to hold for a period sufficient to recover their fair value to amortized cost.
|
•
|
$4.0 million
related to certain Alternatives that were in a loss position for more than 11 months.
|
•
|
$0.3 million
related to certain equities that were in a loss position for more than 11 months.
|
•
|
$0.2 million
for structured securities, principally non-Agency RMBS, where we determined that the likely recovery on these securities was below the carrying value and, accordingly, recorded an impairment of the securities to the discounted value of the cash flows expected to be received on these securities.
|
•
|
$0.8 million
related to foreign exchange losses.
|
Credit Loss Impairments
|
Three months ended June 30,
|
|
Six months ended June 30,
|
||||||||||||
(U.S. dollars in thousands)
|
2015
|
|
2014
|
|
2015
|
|
2014
|
||||||||
Opening balance as of beginning of indicated period
|
$
|
108,458
|
|
|
$
|
171,382
|
|
|
$
|
131,942
|
|
|
$
|
174,805
|
|
Credit loss impairment recognized in the current period on securities not previously impaired
|
—
|
|
|
30
|
|
|
7,560
|
|
|
41
|
|
||||
Credit loss impairments previously recognized on securities which matured, paid down, prepaid or were sold during the period
|
(8,495
|
)
|
|
(3,322
|
)
|
|
(37,034
|
)
|
|
(7,571
|
)
|
||||
Credit loss impairments previously recognized on securities impaired to fair value during the period
|
(2,629
|
)
|
|
—
|
|
|
(2,629
|
)
|
|
—
|
|
||||
Additional credit loss impairments recognized in the current period on securities previously impaired
|
246
|
|
|
892
|
|
|
387
|
|
|
3,153
|
|
||||
Accretion of credit loss impairments previously recognized due to an increase in cash flows expected to be collected
|
(3,361
|
)
|
|
(3,105
|
)
|
|
(6,007
|
)
|
|
(4,551
|
)
|
||||
Balance as of June 30,
|
$
|
94,219
|
|
|
$
|
165,877
|
|
|
$
|
94,219
|
|
|
$
|
165,877
|
|
|
June 30, 2015
|
|
December 31, 2014
|
||||||||||||||||||||||||||||
(U.S. dollars in thousands)
|
Asset
Derivative
Notional
Amount
|
|
Asset
Derivative
Fair Value
(1)
|
|
Liability
Derivative
Notional
Amount
|
|
Liability
Derivative
Fair Value
(1)
|
|
Asset
Derivative
Notional
Amount
|
|
Asset
Derivative
Fair Value
(1)
|
|
Liability
Derivative
Notional
Amount
|
|
Liability
Derivative
Fair Value
(1)
|
||||||||||||||||
Derivatives designated as hedging instruments:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Foreign exchange contracts
|
$
|
1,834,298
|
|
|
$
|
209,675
|
|
|
$
|
720,027
|
|
|
$
|
52,188
|
|
|
$
|
2,300,609
|
|
|
$
|
121,862
|
|
|
$
|
302,211
|
|
|
$
|
2,936
|
|
Total derivatives designated as hedging instruments
|
$
|
1,834,298
|
|
|
$
|
209,675
|
|
|
$
|
720,027
|
|
|
$
|
52,188
|
|
|
$
|
2,300,609
|
|
|
$
|
121,862
|
|
|
$
|
302,211
|
|
|
$
|
2,936
|
|
Derivatives not designated as hedging instruments:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Investment Related Derivatives:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Interest rate exposure
|
$
|
10,684
|
|
|
$
|
194
|
|
|
$
|
33,934
|
|
|
$
|
44
|
|
|
$
|
394,597
|
|
|
$
|
206
|
|
|
$
|
20,782
|
|
|
$
|
51
|
|
Foreign exchange exposure
|
301,260
|
|
|
1,628
|
|
|
139,215
|
|
|
3,786
|
|
|
7,385
|
|
|
403
|
|
|
207,182
|
|
|
4,442
|
|
||||||||
Credit exposure
|
8,963
|
|
|
814
|
|
|
51,614
|
|
|
12,613
|
|
|
2,408
|
|
|
165
|
|
|
14,270
|
|
|
9,836
|
|
||||||||
Financial market exposure
|
58,875
|
|
|
2,608
|
|
|
34,794
|
|
|
405
|
|
|
46,145
|
|
|
360
|
|
|
33,670
|
|
|
34
|
|
||||||||
Other Non-Investment Derivatives:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Foreign exchange contracts
|
79,101
|
|
|
164
|
|
|
8,517
|
|
|
527
|
|
|
—
|
|
|
—
|
|
|
81,194
|
|
|
282
|
|
||||||||
Credit exposure
|
30,281
|
|
|
71
|
|
|
—
|
|
|
—
|
|
|
31,060
|
|
|
60
|
|
|
—
|
|
|
—
|
|
||||||||
Guaranteed minimum income benefit contract
|
45,006
|
|
|
13,321
|
|
|
45,006
|
|
|
13,321
|
|
|
46,249
|
|
|
13,603
|
|
|
46,249
|
|
|
13,603
|
|
||||||||
Modified coinsurance funds withheld contracts (2)
|
65,663
|
|
|
—
|
|
|
4,954,481
|
|
|
—
|
|
|
64,947
|
|
|
—
|
|
|
5,401,278
|
|
|
—
|
|
||||||||
Total derivatives not designated as hedging instruments
|
$
|
599,833
|
|
|
$
|
18,800
|
|
|
$
|
5,267,561
|
|
|
$
|
30,696
|
|
|
$
|
592,791
|
|
|
$
|
14,797
|
|
|
$
|
5,804,625
|
|
|
$
|
28,248
|
|
(1)
|
Derivative instruments in an asset or liability position are included within Other assets or Other liabilities, respectively, in the balance sheets on a net basis where the Company has both a legal right of offset and the intention to settle the contracts on a net basis.
|
(2)
|
The fair value movements in derivative assets and liabilities relating to modified coinsurance funds withheld contracts are included within the associated asset or liability at each period end on the face of the balance sheets. Notional amounts associated with reinsurance agreements under which the Company assumes reinsurance risk are recorded as asset derivative notional amounts. Notional amounts associated with the Life Retro Arrangements under which the Company cedes reinsurance risk are recorded as liability derivative notional amounts. Included in the liability derivative notional amount as of
June 30, 2015
is the cumulative net realized and unrealized loss on life retrocession embedded derivative of
$381.3 million
.
|
|
|
|
|
|
Gross Amounts Not Offset in the Balance Sheets
|
|
|
||||||||||||||||
June 30, 2015
(U.S. dollars in thousands)
|
Gross Amounts Recognized in the Balance Sheets
|
|
Gross Amounts Offset in the Balance Sheets
|
|
Net Amounts in the Balance Sheets
|
|
Financial Instruments
|
|
Cash Collateral
|
|
Net Amounts
|
||||||||||||
Derivative Assets
|
$
|
228,475
|
|
|
$
|
3,239
|
|
|
$
|
225,236
|
|
|
$
|
—
|
|
|
$
|
132,050
|
|
|
$
|
93,186
|
|
Derivative Liabilities
|
$
|
82,884
|
|
|
$
|
3,239
|
|
|
$
|
79,645
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
79,645
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
December 31, 2014
(U.S. dollars in thousands)
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Derivative Assets
|
$
|
136,659
|
|
|
$
|
696
|
|
|
$
|
135,963
|
|
|
$
|
—
|
|
|
$
|
78,580
|
|
|
$
|
57,383
|
|
Derivative Liabilities
|
$
|
31,184
|
|
|
$
|
696
|
|
|
$
|
30,488
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
30,488
|
|
|
|
Hedged Items - Amount of Gain/(Loss) Recognized in Income Attributable to Risk
|
|
||||||||
Derivatives Designated as Fair Value Hedges:
Three Months Ended June 30, 2015
(U.S. dollars in thousands)
|
Gain/(Loss)
Recognized
in Income on
Derivative
|
|
Fixed Maturity
Investments
|
|
Ineffective
Portion of
Hedging
Relationship -
Gain/(Loss)
|
||||||
Interest rate exposure
|
$
|
—
|
|
|
|
|
|
|
|
||
Foreign exchange exposure
|
—
|
|
|
|
|
|
|
|
|||
Total
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
|
|
|
|
|
|
|
|
|||
Three Months Ended June 30, 2014
|
|
|
|
|
|
|
|
|
|||
(U.S. dollars in thousands)
|
|
|
|
|
|
|
|
|
|||
Interest rate exposure
|
$
|
—
|
|
|
|
|
|
|
|
||
Foreign exchange exposure
|
(9,132
|
)
|
|
|
|
|
|
|
|||
Total
|
$
|
(9,132
|
)
|
|
$
|
7,082
|
|
|
$
|
(2,050
|
)
|
|
|
|
|
|
|
||||||
Six Months Ended June 30, 2015
|
|
|
|
|
|
|
|
|
|||
(U.S. dollars in thousands)
|
|
|
|
|
|
|
|
|
|||
Interest rate exposure
|
$
|
—
|
|
|
|
|
|
|
|
||
Foreign exchange exposure
|
—
|
|
|
|
|
|
|
|
|||
Total
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
|
|
|
|
|
||||||
Six Months Ended June 30, 2014
|
|
|
|
|
|
|
|
|
|||
(U.S. dollars in thousands)
|
|
|
|
|
|
|
|
|
|||
Interest rate exposure
|
$
|
—
|
|
|
|
|
|
|
|
||
Foreign exchange exposure
|
(15,663
|
)
|
|
|
|
|
|
|
|||
Total
|
$
|
(15,663
|
)
|
|
$
|
15,407
|
|
|
$
|
(256
|
)
|
Settlement of Fair Value Hedges - Summary
|
Fair Value Hedges - Notes
Payable and Debt June 30, |
|
Fair Value Hedges -
Deposit Liabilities
June 30, |
||||||||||||
(U.S. dollars in thousands, except years)
|
2015
|
|
2014
|
|
2015
|
|
2014
|
||||||||
Cumulative reduction to interest expense
|
$
|
—
|
|
|
$
|
20,810
|
|
|
$
|
99,141
|
|
|
$
|
90,615
|
|
Remaining balance
|
$
|
—
|
|
|
$
|
814
|
|
|
$
|
134,054
|
|
|
$
|
142,580
|
|
Weighted average years remaining to maturity
|
0.0
|
|
|
0.2
|
|
|
22.4
|
|
|
24.0
|
|
Derivative Instruments Designated as Hedges of the
Net Investment in a Foreign Operation - Summary
|
Three months ended June 30,
|
|
Six months ended June 30,
|
||||||||||||
(U.S. dollars in thousands)
|
2015
|
|
2014
|
|
2015
|
|
2014
|
||||||||
Weighted average of U.S. dollar equivalent of foreign denominated net assets
|
$
|
1,815,593
|
|
|
$
|
2,270,090
|
|
|
$
|
1,222,267
|
|
|
$
|
2,478,772
|
|
Derivative gains (losses) (1)
|
$
|
(30,498
|
)
|
|
$
|
(2,170
|
)
|
|
$
|
36,272
|
|
|
$
|
(1,210
|
)
|
(1)
|
Derivative gains (losses) from derivative instruments designated as hedges of the net investment in a foreign operation are recorded in the cumulative translation adjustment account within AOCI for each period.
|
Net Realized and Unrealized Gains (Losses) on Derivative Instruments
|
Three months ended June 30,
|
|
Six months ended June 30,
|
||||||||||||
(U.S. dollars in thousands)
|
2015
|
|
2014
|
|
2015
|
|
2014
|
||||||||
Investment Related Derivatives:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Interest rate exposure
|
$
|
(6,563
|
)
|
|
$
|
8,978
|
|
|
$
|
3,073
|
|
|
$
|
9,326
|
|
Foreign exchange exposure
|
482
|
|
|
(1,490
|
)
|
|
(880
|
)
|
|
1,798
|
|
||||
Credit exposure
|
(386
|
)
|
|
411
|
|
|
(305
|
)
|
|
7
|
|
||||
Financial market exposure
|
(1,645
|
)
|
|
2,508
|
|
|
1,398
|
|
|
3,378
|
|
||||
Financial Operations Derivatives:
|
|
|
|
|
|
|
|
|
|
||||||
Credit exposure
|
—
|
|
|
447
|
|
|
—
|
|
|
(4,353
|
)
|
||||
Other Non-Investment Derivatives:
|
|
|
|
|
|
|
|
|
|
||||||
Foreign exchange contracts
|
55,372
|
|
|
—
|
|
|
57,431
|
|
|
—
|
|
||||
Credit exposure
|
132
|
|
|
—
|
|
|
1,478
|
|
|
—
|
|
||||
Guaranteed minimum income benefit contract
|
—
|
|
|
633
|
|
|
—
|
|
|
2,257
|
|
||||
Modified coinsurance funds withheld contract
|
1,117
|
|
|
2,162
|
|
|
2,835
|
|
|
1,252
|
|
||||
Total gain (loss) recognized in income from derivatives not designated as hedging instruments
|
$
|
48,509
|
|
|
$
|
13,649
|
|
|
$
|
65,030
|
|
|
$
|
13,665
|
|
Amount of gain (loss) recognized in income from ineffective
portion of fair value hedges
|
—
|
|
|
(2,050
|
)
|
|
—
|
|
|
(256
|
)
|
||||
Net realized and unrealized gains (losses) on derivative instruments
|
$
|
48,509
|
|
|
$
|
11,599
|
|
|
$
|
65,030
|
|
|
$
|
13,409
|
|
|
|
|
|
|
|
|
|
||||||||
Net realized and unrealized gains (losses) on life retrocession embedded derivative and derivative instruments - Life Funds Withheld Assets
|
$
|
239,174
|
|
|
$
|
(17,546
|
)
|
|
$
|
9,807
|
|
|
$
|
(17,546
|
)
|
Components of Life Retrocession Embedded Derivative and Derivative Instruments - Life Funds Withheld Assets:
|
Three months ended June 30,
|
|
Six Months Ended June 30,
|
||||||||||||
(U.S. dollars in thousands)
|
2015
|
|
2014
|
|
2015
|
|
2014
|
||||||||
Interest income - Life Funds Withheld Assets
|
$
|
(47,873
|
)
|
|
(19,944
|
)
|
|
(98,869
|
)
|
|
(19,944
|
)
|
|||
Realized and unrealized gains (losses) - Life Funds Withheld Assets
|
321,038
|
|
|
1,893
|
|
|
168,208
|
|
|
1,893
|
|
||||
Other
|
59
|
|
|
505
|
|
|
155
|
|
|
505
|
|
||||
Net realized and unrealized gains (losses) on life retrocession embedded derivative
|
$
|
273,224
|
|
|
$
|
(17,546
|
)
|
|
$
|
69,494
|
|
|
$
|
(17,546
|
)
|
Net adjustments related to future policy benefit reserves, net of tax
|
$
|
(35,929
|
)
|
|
$
|
—
|
|
|
$
|
(47,883
|
)
|
|
$
|
—
|
|
Net realized and unrealized gains (losses) on derivative instruments - Life Funds Withheld Assets
|
$
|
1,879
|
|
|
$
|
—
|
|
|
$
|
(11,804
|
)
|
|
$
|
—
|
|
Net realized and unrealized gains (losses) on life retrocession embedded derivative and derivative instruments - Life Funds Withheld Assets
|
$
|
239,174
|
|
|
$
|
(17,546
|
)
|
|
$
|
9,807
|
|
|
$
|
(17,546
|
)
|
Contingent Credit Features - Summary:
(U.S. dollars in thousands)
|
June 30, 2015
|
|
December 31, 2014
|
||||
Aggregate fair value of derivative agreements with downgrade provisions in a net liability position
|
$
|
21,545
|
|
|
$
|
5,770
|
|
Collateral posted to counterparty
|
$
|
12,390
|
|
|
$
|
—
|
|
(U.S. dollars in thousands)
|
Goodwill
|
|
Intangible
assets with an indefinite life |
|
Intangible
assets with a definite life |
|
Total
|
||||||||
Balance at December 31, 2014
|
$
|
415,936
|
|
|
$
|
15,366
|
|
|
$
|
16,650
|
|
|
$
|
447,952
|
|
Additions
|
778,043
|
|
|
673,000
|
|
|
315,000
|
|
|
1,766,043
|
|
||||
Amortization
|
—
|
|
|
—
|
|
|
(4,335
|
)
|
|
(4,335
|
)
|
||||
Foreign Currency Translation
|
(3,749
|
)
|
|
—
|
|
|
—
|
|
|
(3,749
|
)
|
||||
Balance at June 30, 2015
|
$
|
1,190,230
|
|
|
$
|
688,366
|
|
|
$
|
327,315
|
|
|
$
|
2,205,911
|
|
(U.S. dollars in thousands)
|
Amount
|
Estimated Useful Life
|
||
Lloyd's - Syndicate capacity
|
$
|
660,000
|
|
Indefinite
|
Insurance licenses
|
13,000
|
|
Indefinite
|
|
Total identified indefinite life intangible assets
|
$
|
673,000
|
|
|
Lloyd's - Managing agent contracts
|
15,000
|
|
15 years
|
|
Distribution network
|
290,000
|
|
20 years
|
|
Trademarks / Trade names
|
10,000
|
|
2 years
|
|
Total identified definite life intangible assets
|
$
|
315,000
|
|
|
Total identified intangible assets
|
$
|
988,000
|
|
|
•
|
Lloyd's - Syndicate capacity - The syndicate capacity of two Lloyd's syndicates, which will allow the Company to write insurance business in the Lloyd's market globally and realize the profits from that business. The value of the syndicate capacity includes the reputational value of participation in the Lloyd's market, and the value of trade names and licenses associated with syndicate ownership.
|
•
|
Insurance licenses - U.S. State insurance licenses owned by Catlin at the time of Catlin Acquisition.
|
•
|
Lloyds - Managing agent contracts - As the managing agent for certain Lloyd's syndicates, the Company has contracts with the syndicate members to provide underwriting services, for which it earns managing agent fees and a profit commission.
|
•
|
Distribution network - A network of hundreds of retail and wholesale brokers worldwide, including specialty and regional brokerages, which allow the Company to form closer relationships with clients and brokers worldwide, which aids business retention.
|
•
|
Trademarks / Trade names - The Catlin trademarks / trade names are utilized to attract customers for the turnkey solutions provided under the Company's managing agent contracts, and to generate premium from the non-Lloyd's platform underwriting products for which the Catlin brand is known.
|
(in thousands)
|
June 30, 2015
|
|
December 31, 2014
|
||
Balance – beginning of period
|
255,183
|
|
|
278,253
|
|
Exercise of options
|
220
|
|
|
424
|
|
Net issuance of restricted shares
|
1,536
|
|
|
1,246
|
|
Share buybacks (1)
|
(2,982
|
)
|
|
(24,740
|
)
|
Issue of shares
|
49,935
|
|
|
—
|
|
Balance – end of period
|
303,892
|
|
|
255,183
|
|
(1)
|
Includes share buybacks associated with authorized share buyback programs as well as purchases related to satisfying tax withholding obligations of employees in connection with the vesting of restricted shares granted under the Company's equity compensation programs.
|
Dividend yield
|
2.00
|
%
|
Risk free interest rate
|
1.70
|
%
|
Volatility
|
21.6
|
%
|
Expected lives
|
6.0 years
|
|
(U.S. dollars in thousands)
|
June 30, 2015
|
|
December 31, 2014
|
||||||||||||
Commitment/
Debt (1)
|
|
In Use/
Outstanding (2)
|
|
Commitment/
Debt (1)
|
|
In Use/
Outstanding (2)
|
|||||||||
Debt:
|
|
|
|
|
|
|
|
||||||||
2.30% Senior Notes due 2018
|
300,000
|
|
|
297,679
|
|
|
300,000
|
|
|
297,344
|
|
||||
5.75% Senior Notes due 2021
|
400,000
|
|
|
397,307
|
|
|
400,000
|
|
|
397,092
|
|
||||
6.375% Senior Notes due 2024
|
350,000
|
|
|
348,975
|
|
|
350,000
|
|
|
348,920
|
|
||||
4.45% Subordinated Notes due 2025
|
500,000
|
|
|
492,292
|
|
|
—
|
|
|
—
|
|
||||
6.25% Senior Notes due 2027
|
325,000
|
|
|
323,140
|
|
|
325,000
|
|
|
323,062
|
|
||||
Variable Rate Note, face amount €7m, due 2035
|
7,794
|
|
|
7,301
|
|
|
—
|
|
|
—
|
|
||||
Variable Rate Note, face amount $27m, due 2036
|
27,000
|
|
|
25,259
|
|
|
—
|
|
|
—
|
|
||||
Variable Rate Note, face amount $31m, due 2036
|
31,300
|
|
|
29,281
|
|
|
—
|
|
|
—
|
|
||||
Variable Rate Note, face amount $10m, due 2036
|
9,800
|
|
|
9,168
|
|
|
—
|
|
|
—
|
|
||||
Variable Rate Note, face amount €11m, due 2036
|
12,248
|
|
|
11,473
|
|
|
—
|
|
|
—
|
|
||||
5.25% Senior Notes due 2043
|
300,000
|
|
|
296,228
|
|
|
300,000
|
|
|
296,162
|
|
||||
5.5% Subordinated Notes due 2045
|
500,000
|
|
|
488,352
|
|
|
—
|
|
|
—
|
|
||||
Total debt carrying value
|
$
|
2,763,142
|
|
|
$
|
2,726,455
|
|
|
$
|
1,675,000
|
|
|
$
|
1,662,580
|
|
(1)
|
Excluded from the table are revolving credit facilities of
$1.7 billion
and
$1.6 billion
as of
June 30, 2015
and
December 31, 2014
, respectively. As of
June 30, 2015
and
December 31, 2014
,
$667.9 million
and
$606.1 million
, respectively, were utilized under these facilities to issue letters of credit, leaving
$1.0 billion
and $
968.9 million
, respectively, available for use under the revolving credit facilities.
|
•
|
Variable rate unsecured subordinated notes in the amounts of
€7 million
and
$27 million
due March 2035 and March 2036, respectively, issued by Catlin Underwriting (formerly Wellington Underwriting plc), in May 2006. The notes are subordinated to the claims of all senior creditors, as defined in the agreement governing the notes. The notes pay interest at a floating rate based on the rate on three-month deposits in U.S. dollars plus a margin of 295 basis points and 317 basis points, respectively. Interest is payable quarterly in arrears. The notes are redeemable at the discretion of the issuer.
|
•
|
Variable rate unsecured subordinated notes in the amounts of
$31 million
,
$10 million
and
€11 million
due September 2036, issued by Catlin Underwriting, in July 2006. The notes are subordinated to the claims of all senior creditors, as defined in the agreement governing the notes. The notes pay interest at a floating rate based on the rate on three-month deposits in U.S. dollars plus a margin of 310 basis points, 300 basis points and 300 basis points, respectively. Interest is payable quarterly in arrears. The notes are redeemable at the discretion of the issuer.
|
Letter of Credit Summary:
(U.S. dollars in thousands except percentages)
|
June 30, 2015 (1)
|
|
December 31, 2014 (1)
|
||||
Revolving credit facilities (2) (3)
|
$
|
1,032,100
|
|
|
$
|
968,900
|
|
Available letter of credit facilities - commitments (4)
|
$
|
4,855,000
|
|
|
$
|
3,575,000
|
|
Available letter of credit facilities - in use
|
$
|
2,585,348
|
|
|
$
|
1,790,561
|
|
Collateralized by certain assets of the Company’s investment portfolio
|
50.2
|
%
|
|
66.2
|
%
|
(1)
|
As of
June 30, 2015
and
December 31, 2014
, there were
eighteen
and
eight
available letter of credit facilities, respectively.
|
(2)
|
As of
June 30, 2015
and
December 31, 2014
,
$976.1 million
and
$968.9 million
, respectively, of revolving credit was available under the Company's syndicated unsecured credit agreement, which currently provides for up to
$1 billion
of revolving credit loans. The Company has the option to increase the size of the facilities under the syndicated secured and unsecured credit agreements by an additional
$500 million
across both facilities.
Two
bilateral facilities assumed as a result of the Catlin Acquisition with commitments totaling
$150.0 million
also provide for revolving credit loans. As of
June 30, 2015
,
$56.0 million
of revolving credit was available to draw under these facilities.
|
(3)
|
The credit agreements initially entered into with Citicorp USA, Inc. in May through November 2013 (the "Citi Agreements") provide for issuance of letters of credit and revolving credit loans up to an aggregate amount of
$550.0 million
, compared to
$575.0 million
as of
December 31, 2014
. As of
June 30, 2015
,
$550.0 million
of letters of credit were issued under these agreements, and therefore no amounts are included in this line as available to draw under this facility. The Company also has the option to increase the maximum amount of the letters of credit and revolving credit loans available under the Citi Agreements with the lender's and issuing lender's consent.
|
(4)
|
The available letter of credit facilities include approximately
$1 billion
that is also included in the "revolving credit facilities" line in this table.
|
•
|
A
$450 million
unsecured multi-bank facility available for utilization by certain subsidiaries and guaranteed by Green Holdings. The facility has a termination date of December 31, 2016.
|
•
|
A bilateral facility available for utilization by Catlin-Bermuda, collateralized by pledged financial assets. As of
June 30, 2015
,
$147 million
of letters of credit were issued under this facility.
|
•
|
A bilateral facility available for utilization by Catlin Re Switzerland Ltd, collateralized by pledged financial assets. As of
June 30, 2015
,
$49 million
of letters of credit were issued under this facility.
|
•
|
Four
unsecured bilateral facilities available for utilization by Catlin-Bermuda and guaranteed by Green Holdings for Funds at Lloyd's purposes, amounting to a total of
$375 million
. One of the facilities has an expiration date of December 31, 2017, while the other three have expiration dates of December 31, 2018.
|
•
|
An unsecured bilateral facility valued in Australian dollars at
A$50 million
, available for utilization by certain subsidiaries of Catlin and guaranteed by Green Holdings, for the purpose of providing collateral to Australian beneficiaries.
|
•
|
Two
unsecured bilateral revolving credit and letter of credit facilities, available for utilization by certain subsidiaries of Catlin and guaranteed by Green Holdings amounting to
$150 million
.
|
•
|
A facility managed by Lloyd's, acting for Catlin Syndicate 2003. As of
June 30, 2015
,
$8 million
of letters of credit were issued under this facility.
|
•
|
Catlin, Inc. has letters of credit amounting to
$1 million
issued for the benefit of various parties.
|
(U.S. dollars in thousands)
|
Three months ended June 30,
|
|
Six months ended June 30,
|
||||||||||||
2015
|
|
2014
|
|
2015
|
|
2014
|
|||||||||
Net premiums written
|
$
|
4,445
|
|
|
$
|
18,025
|
|
|
$
|
31,521
|
|
|
$
|
36,191
|
|
Net losses and loss expenses incurred
|
$
|
65
|
|
|
$
|
7,692
|
|
|
$
|
9,166
|
|
|
$
|
14,301
|
|
Acquisition costs
|
$
|
1,384
|
|
|
$
|
6,994
|
|
|
$
|
10,395
|
|
|
$
|
15,553
|
|
Three months ended June 30, 2015
(U.S. dollars in thousands)
|
Unrealized Gains (Losses) on Investments (1)
|
|
OTTI Losses Recognized in AOCI
|
|
Foreign Currency Translation Adjustments
|
|
Underfunded Pension Liability
|
|
Cash Flow Hedge
|
|
Total
|
||||||||||||
Balance, beginning of period, net of tax
|
$
|
1,763,795
|
|
|
$
|
(66,189
|
)
|
|
$
|
24,915
|
|
|
$
|
(19,814
|
)
|
|
$
|
2,463
|
|
|
$
|
1,705,170
|
|
OCI before reclassifications
|
(544,273
|
)
|
|
—
|
|
|
(36,362
|
)
|
|
(1,329
|
)
|
|
—
|
|
|
(581,964
|
)
|
||||||
Amounts reclassified from AOCI
|
(87,558
|
)
|
|
1,662
|
|
|
—
|
|
|
—
|
|
|
12
|
|
|
(85,884
|
)
|
||||||
Tax benefit (expense)
|
37,000
|
|
|
(87
|
)
|
|
1,939
|
|
|
—
|
|
|
—
|
|
|
38,852
|
|
||||||
Net current period OCI - net of tax
|
(594,831
|
)
|
|
1,575
|
|
|
(34,423
|
)
|
|
(1,329
|
)
|
|
12
|
|
|
(628,996
|
)
|
||||||
Balance, end of period, net of tax
|
$
|
1,168,964
|
|
|
$
|
(64,614
|
)
|
|
$
|
(9,508
|
)
|
|
$
|
(21,143
|
)
|
|
$
|
2,475
|
|
|
$
|
1,076,174
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Three months ended June 30, 2014
(U.S. dollars in thousands)
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Balance, beginning of period, net of tax
|
$
|
1,032,941
|
|
|
$
|
(85,894
|
)
|
|
$
|
10,661
|
|
|
$
|
(13,270
|
)
|
|
$
|
2,223
|
|
|
$
|
946,661
|
|
OCI before reclassifications
|
363,348
|
|
|
—
|
|
|
(3,621
|
)
|
|
(8
|
)
|
|
—
|
|
|
359,719
|
|
||||||
Amounts reclassified from AOCI
|
(74,337
|
)
|
|
1,640
|
|
|
—
|
|
|
—
|
|
|
110
|
|
|
(72,587
|
)
|
||||||
Tax benefit (expense)
|
(20,774
|
)
|
|
(4
|
)
|
|
(5,981
|
)
|
|
—
|
|
|
—
|
|
|
(26,759
|
)
|
||||||
Net current period OCI - net of tax
|
268,237
|
|
|
1,636
|
|
|
(9,602
|
)
|
|
(8
|
)
|
|
110
|
|
|
260,373
|
|
||||||
Balance, end of period, net of tax
|
$
|
1,301,178
|
|
|
$
|
(84,258
|
)
|
|
$
|
1,059
|
|
|
$
|
(13,278
|
)
|
|
$
|
2,333
|
|
|
$
|
1,207,034
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Six months ended June 30, 2015
(U.S. dollars in thousands)
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Balance, beginning of period, net of tax
|
$
|
1,590,114
|
|
|
$
|
(76,047
|
)
|
|
$
|
(11,188
|
)
|
|
$
|
(20,789
|
)
|
|
$
|
2,368
|
|
|
$
|
1,484,458
|
|
OCI before reclassifications
|
(290,007
|
)
|
|
—
|
|
|
(3,958
|
)
|
|
(354
|
)
|
|
—
|
|
|
(294,319
|
)
|
||||||
Amounts reclassified from AOCI
|
(162,338
|
)
|
|
11,598
|
|
|
—
|
|
|
—
|
|
|
107
|
|
|
(150,633
|
)
|
||||||
Tax benefit (expense)
|
31,195
|
|
|
(165
|
)
|
|
5,638
|
|
|
—
|
|
|
—
|
|
|
36,668
|
|
||||||
Net current period OCI - net of tax
|
(421,150
|
)
|
|
11,433
|
|
|
1,680
|
|
|
(354
|
)
|
|
107
|
|
|
(408,284
|
)
|
||||||
Balance, end of period, net of tax
|
$
|
1,168,964
|
|
|
$
|
(64,614
|
)
|
|
$
|
(9,508
|
)
|
|
$
|
(21,143
|
)
|
|
$
|
2,475
|
|
|
$
|
1,076,174
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Six months ended June 30, 2014
(U.S. dollars in thousands)
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Balance, beginning of period, net of tax
|
$
|
822,432
|
|
|
$
|
(89,190
|
)
|
|
$
|
14,541
|
|
|
$
|
(13,239
|
)
|
|
$
|
2,113
|
|
|
$
|
736,657
|
|
OCI before reclassifications
|
628,599
|
|
|
—
|
|
|
(9,521
|
)
|
|
(39
|
)
|
|
—
|
|
|
619,039
|
|
||||||
Amounts reclassified from AOCI
|
(96,975
|
)
|
|
5,049
|
|
|
—
|
|
|
—
|
|
|
220
|
|
|
(91,706
|
)
|
||||||
Tax benefit (expense)
|
(52,878
|
)
|
|
(117
|
)
|
|
(3,961
|
)
|
|
—
|
|
|
—
|
|
|
(56,956
|
)
|
||||||
Net current period OCI - net of tax
|
478,746
|
|
|
4,932
|
|
|
(13,482
|
)
|
|
(39
|
)
|
|
220
|
|
|
470,377
|
|
||||||
Balance, end of period, net of tax
|
$
|
1,301,178
|
|
|
$
|
(84,258
|
)
|
|
$
|
1,059
|
|
|
$
|
(13,278
|
)
|
|
$
|
2,333
|
|
|
$
|
1,207,034
|
|
(1)
|
Included in these amounts is the impact of Shadow Adjustments. As of December 31, 2014 the cumulative impact of the Shadow Adjustments was
$445.1 million
. During the
six months ended June 30, 2015
, net movements of
$(86.7) million
were recorded, resulting in a total cumulative net impact of Shadow Adjustments on future policy benefit reserves of
$358.4 million
as of
June 30, 2015
.
|
Gross Amount Reclassified From AOCI
|
|||||||||||||||||
Details About AOCI Components
(U.S. dollars in thousands)
|
Three months ended June 30, 2015
|
|
Three months ended June 30, 2014
|
|
Six months ended June 30, 2015
|
|
Six months ended June 30, 2014
|
|
Affected Line Item in the Statement of Income
|
||||||||
Unrealized gains and losses on investments:
|
|
|
|
|
|
|
|
|
|
||||||||
|
$
|
(71,027
|
)
|
|
$
|
(107,470
|
)
|
|
$
|
(149,578
|
)
|
|
$
|
(132,384
|
)
|
|
Net realized gains (losses) on investments sold and net unrealized gains (losses) on investments Trading
|
|
19,398
|
|
|
33,133
|
|
|
35,122
|
|
|
35,409
|
|
|
OTTI on investments
|
||||
|
$
|
(35,929
|
)
|
|
$
|
—
|
|
|
$
|
(47,882
|
)
|
|
$
|
—
|
|
|
Net realized and unrealized gains (losses) on life retrocession embedded derivative and derivative instruments - Life Funds Withheld Assets
|
|
$
|
(87,558
|
)
|
|
$
|
(74,337
|
)
|
|
$
|
(162,338
|
)
|
|
$
|
(96,975
|
)
|
|
Total before tax
|
|
3,694
|
|
|
3,699
|
|
|
3,781
|
|
|
4,152
|
|
|
Provision (benefit) for income tax
|
||||
|
$
|
(83,864
|
)
|
|
$
|
(70,638
|
)
|
|
$
|
(158,557
|
)
|
|
$
|
(92,823
|
)
|
|
Net of tax
|
OTTI losses recognized in OCI:
|
|
|
|
|
|
|
|
|
|
||||||||
|
$
|
1,594
|
|
|
$
|
1,386
|
|
|
$
|
11,469
|
|
|
$
|
3,344
|
|
|
Net realized gains (losses) on investments sold
|
|
68
|
|
|
254
|
|
|
129
|
|
|
1,705
|
|
|
OTTI on investments transferred to (from) OCI
|
||||
|
$
|
1,662
|
|
|
$
|
1,640
|
|
|
$
|
11,598
|
|
|
$
|
5,049
|
|
|
Total before tax
|
|
(12
|
)
|
|
(4
|
)
|
|
(15
|
)
|
|
(117
|
)
|
|
Provision (benefit) for income tax
|
||||
|
$
|
1,650
|
|
|
$
|
1,636
|
|
|
$
|
11,583
|
|
|
$
|
4,932
|
|
|
Net of tax
|
Gains and losses on cash flow hedges:
|
|
|
|
|
|
|
|
|
|
||||||||
Interest rate contracts
|
$
|
12
|
|
|
$
|
110
|
|
|
$
|
107
|
|
|
$
|
220
|
|
|
Interest Expense
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
Provision (benefit) for income tax
|
||||
|
$
|
12
|
|
|
$
|
110
|
|
|
$
|
107
|
|
|
$
|
220
|
|
|
Net of tax
|
|
|
|
|
|
|
|
|
|
|
||||||||
Total reclassifications for the period, gross of tax
|
$
|
(85,884
|
)
|
|
$
|
(72,587
|
)
|
|
$
|
(150,633
|
)
|
|
$
|
(91,706
|
)
|
|
|
Tax benefit (expense)
|
3,682
|
|
|
3,695
|
|
|
3,766
|
|
|
4,035
|
|
|
|
||||
Total reclassifications for the period, net of tax
|
$
|
(82,202
|
)
|
|
$
|
(68,892
|
)
|
|
$
|
(146,867
|
)
|
|
$
|
(87,671
|
)
|
|
|
ITEM 2.
|
|
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS
|
•
|
changes in the size of our claims relating to natural or man-made catastrophe losses due to the preliminary nature of some reports and estimates of loss and damage to date;
|
•
|
trends in rates for property and casualty insurance and reinsurance;
|
•
|
the timely and full recoverability of reinsurance placed by us with third parties, or other amounts due to us;
|
•
|
changes in the projected amount of ceded reinsurance recoverables and the credit ratings and creditworthiness of reinsurers;
|
•
|
actual loss experience from insured or reinsured events and the timing of claims payments being faster or the receipt of reinsurance recoverables being slower than we anticipated;
|
•
|
increased competition on the basis of pricing, capacity, coverage terms or other factors, such as the increased inflow of third party capital into reinsurance markets, which could harm our ability to maintain or increase our business volumes or profitability;
|
•
|
greater frequency or severity of claims and loss activity than our underwriting, reserving or investment practices anticipate based on historical experience or industry data;
|
•
|
the impact of changes in the global financial markets, such as the effects of inflation on our business, including on pricing and reserving, increased government involvement or intervention in the financial services industry, changes in interest rates, credit spreads and foreign currency exchange rates and future volatility in the world's credit, financial and capital markets that adversely affect the performance and valuation of our investments, future financing activities and access to such markets or general financial condition;
|
•
|
our ability to successfully implement our business strategy;
|
•
|
our ability to successfully attract and raise additional third party capital for existing or new investment vehicles;
|
•
|
the potential impact on us from government-mandated insurance coverage for acts of terrorism and other regulation;
|
•
|
changes in credit ratings or rating agency policies or practices;
|
•
|
the potential for changes to methodologies, estimations and assumptions that underlie the valuation of our financial instruments that could result in changes to investment valuations;
|
•
|
changes to our assessment as to whether it is more likely than not that we will be required to sell, or have the intent to sell, available for sale fixed maturity securities before their anticipated recovery;
|
•
|
the availability of borrowings and letters of credit under our credit facilities;
|
•
|
the ability of our subsidiaries to pay dividends to XL-Ireland and our wholly-owned subsidiaries XLIT Ltd. ("XL-Cayman") and XL Insurance (Bermuda) Ltd ("XLIB");
|
•
|
the potential effect of legislative or regulatory developments applicable to us or our subsidiaries, brokers or customers in the jurisdictions in which we operate, such as those that could impact the financial markets or increase our business costs and required capital levels, including but not limited to changes in regulatory capital balances that must be maintained by our operating subsidiaries and governmental actions for the purpose of stabilizing the financial markets;
|
•
|
the effects of business disruption, economic contraction or economic sanctions due to global political and social conditions such as war, terrorism or other hostilities, or pandemics;
|
•
|
the actual amount of new and renewal business and acceptance of our products and services, including new products and services and the materialization of risks related to such products and services;
|
•
|
changes in the availability, cost or quality of ceded reinsurance;
|
•
|
changes in the distribution or placement of risks due to increased consolidation of insurance and reinsurance brokers and bankruptcies or other financial concerns of companies insofar as they affect property and casualty insurance and reinsurance coverages or claims that we may have as a counterparty;
|
•
|
inability to retain key personnel, including in connection with the integration of Catlin Group Limited and its consolidated subsidiaries ("Catlin");
|
•
|
changes in accounting standards, policies or practices or the application thereof;
|
•
|
the effects of mergers, acquisitions and divestitures, including our ability to modify our internal control over financial reporting as a result of any of such transactions, changes to our risk appetite as a result of such transactions and our ability to realize the value or benefits expected as a result of such transactions, including the life retrocession arrangements and the acquisition of Catlin;
|
•
|
changes in general economic conditions, including new or continued sovereign debt concerns in Euro-Zone countries or downgrades of U.S. securities by credit rating agencies, which could affect our financial condition, results of operations, liquidity or cash flows;
|
•
|
changes in applicable tax laws, tax treaties or tax regulations or the interpretation or enforcement thereof;
|
•
|
judicial decisions and rulings, new theories of liability or emerging claims coverage issues, legal tactics and settlement terms;
|
•
|
the other factors set forth in Item 1A, "Risk Factors," included in our Annual Report on Form 10-K for the year ended
December 31, 2014
and our other documents on file with the SEC.
|
(U.S. dollars in thousands, except per share amounts)
|
Three Months Ended
|
|
Six Months Ended
|
||||||||||||
June 30,
|
|
June 30,
|
|||||||||||||
2015
|
|
2014
|
|
2015
|
|
2014
|
|||||||||
Net income (loss) attributable to ordinary shareholders
|
$
|
915,039
|
|
|
$
|
(279,260
|
)
|
|
$
|
951,320
|
|
|
$
|
(23,543
|
)
|
Earnings (loss) per ordinary share – basic
|
$
|
3.16
|
|
|
$
|
(1.03
|
)
|
|
$
|
3.49
|
|
|
$
|
(0.09
|
)
|
Earnings (loss) per ordinary share – diluted
|
$
|
3.11
|
|
|
$
|
(1.03
|
)
|
|
$
|
3.43
|
|
|
$
|
(0.09
|
)
|
Weighted average number of ordinary shares and ordinary share equivalents, in thousands – basic
|
289,420
|
|
|
270,924
|
|
|
272,665
|
|
|
273,616
|
|
||||
Weighted average number of ordinary shares and ordinary share equivalents, in thousands – diluted
|
293,983
|
|
|
270,924
|
|
|
277,473
|
|
|
273,616
|
|
|
Three Months Ended
|
|
Six Months Ended
|
||||||||||||||||||||
|
June 30,
|
|
Change
|
|
June 30,
|
|
Change
|
||||||||||||||||
(U.S. dollars in thousands, except ratios and per share amounts)
|
2015
|
|
2014
|
|
2015 to 2014
|
|
2015
|
|
2014
|
|
2015 to 2014
|
||||||||||||
Underwriting profit (loss) - P&C operations
|
$
|
208,779
|
|
|
$
|
167,947
|
|
|
24.3
|
%
|
|
$
|
355,615
|
|
|
$
|
312,821
|
|
|
13.7
|
%
|
||
Combined ratio - P&C operations
|
89.9
|
%
|
|
88.3
|
%
|
|
1.6pts
|
|
|
89.5
|
%
|
|
89.0
|
%
|
|
0.5pts
|
|
||||||
Net investment income - P&C operations (1)
|
$
|
165,509
|
|
|
$
|
161,490
|
|
|
2.5
|
%
|
|
$
|
313,393
|
|
|
$
|
323,787
|
|
|
(3.2
|
)%
|
||
Operating net income (2)
|
$
|
245,797
|
|
|
$
|
279,577
|
|
|
(12.1
|
)%
|
|
$
|
440,173
|
|
|
$
|
518,226
|
|
|
(15.1
|
)%
|
||
Operating net income per ordinary share (2)
|
$
|
0.84
|
|
|
$
|
1.02
|
|
|
$
|
(0.18
|
)
|
|
$
|
1.59
|
|
|
$
|
1.86
|
|
|
$
|
(0.27
|
)
|
Annualized return on average ordinary shareholders’ equity (2)
|
32.5
|
%
|
|
(11.0
|
)%
|
|
43.5pts
|
|
|
17.1
|
%
|
|
(0.5
|
)%
|
|
17.6pts
|
|
||||||
Annualized operating return on average ordinary shareholders’ equity (2)
|
8.7
|
%
|
|
11.0
|
%
|
|
(2.3)pts
|
|
|
7.9
|
%
|
|
10.3
|
%
|
|
(2.4)pts
|
|
||||||
Annualized operating return on average ordinary shareholders’ equity excluding unrealized gains and losses on investments (2)
|
10.0
|
%
|
|
12.3
|
%
|
|
(2.3)pts
|
|
|
9.0
|
%
|
|
11.5
|
%
|
|
(2.5)pts
|
|
||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
(U.S. dollars)
|
June 30, 2015
|
|
March 31, 2015
|
|
Change
(Three Months)
|
|
June 30, 2015
|
|
December 31, 2014
|
|
Change
(Six Months) |
||||||||||||
Book value per ordinary share (2)
|
$
|
40.30
|
|
|
$
|
39.90
|
|
|
$
|
0.40
|
|
|
$
|
40.30
|
|
|
$
|
39.31
|
|
|
$
|
0.99
|
|
Fully diluted tangible book value per ordinary share (2)
|
$
|
32.53
|
|
|
$
|
37.60
|
|
|
$
|
(5.07
|
)
|
|
$
|
32.53
|
|
|
$
|
36.79
|
|
|
$
|
(4.26
|
)
|
(1)
|
Net investment income - P&C operations includes net investment income related to the net results from structured products and excluding Life Funds Withheld Assets, as defined below.
|
(2)
|
Represents a non-GAAP financial measure as discussed further below.
|
▪
|
The combined ratio related to the P&C operations is the sum of the loss and loss expense ratio and the underwriting expense ratio. A combined ratio under 100% represents an underwriting profit and over 100% represents an underwriting loss. In the P&C industry, the combined ratio is a widely used measure of underwriting profitability.
|
▪
|
The loss and loss expense ratio related to the P&C operations is calculated by dividing the losses and loss expenses incurred by the net premiums earned for the Insurance and Reinsurance segments.
|
▪
|
The underwriting expense ratio related to the P&C operations is the sum of acquisition costs and operating expenses for the Insurance and Reinsurance segments divided by net premiums earned for the Insurance and Reinsurance segments.
|
▪
|
The acquisition expense ratio related to the P&C operations is calculated by dividing the acquisition costs incurred by the net premiums earned for the Insurance and Reinsurance segments.
|
▪
|
The operating expense ratio related to the P&C operations is calculated by dividing the operating expenses incurred by the net premiums earned for the Insurance and Reinsurance segments.
|
|
Three Months Ended
|
|
Six Months Ended
|
||||||||||||||
|
June 30,
|
|
Change
|
|
June 30,
|
|
Change
|
||||||||||
|
2015
|
|
2014
|
|
2015 to 2014
|
|
2015
|
|
2014
|
|
2015 to 2014
|
||||||
Loss and loss expense ratio
|
55.8
|
%
|
|
57.6
|
%
|
|
(1.8
|
)
|
|
56.8
|
%
|
|
58.2
|
%
|
|
(1.4
|
)
|
Acquisition expense ratio
|
16.5
|
%
|
|
12.6
|
%
|
|
3.9
|
|
|
14.5
|
%
|
|
13.1
|
%
|
|
1.4
|
|
Operating expense ratio
|
17.6
|
%
|
|
18.1
|
%
|
|
(0.5
|
)
|
|
18.2
|
%
|
|
17.7
|
%
|
|
0.5
|
|
Underwriting expense ratio
|
34.1
|
%
|
|
30.7
|
%
|
|
3.4
|
|
|
32.7
|
%
|
|
30.8
|
%
|
|
1.9
|
|
Combined ratio
|
89.9
|
%
|
|
88.3
|
%
|
|
1.6
|
|
|
89.5
|
%
|
|
89.0
|
%
|
|
0.5
|
|
|
Three Months Ended
|
|
Six Months Ended
|
||||||||||||
|
June 30,
|
|
Change
|
|
June 30,
|
|
Change
|
||||||||
|
2015
|
|
2014
|
|
2015 to 2014
|
|
2015
|
|
2014
|
|
2014 to 2013
|
||||
ROE
|
32.5
|
%
|
|
(11.0
|
)%
|
|
43.5pts
|
|
17.1
|
%
|
|
(0.5
|
)%
|
|
17.6pts
|
|
Three Months Ended
|
|
Six Months Ended
|
||||||||||||||
|
June 30,
|
|
Change
|
|
June 30,
|
|
Change
|
||||||||||
|
2015
|
|
2014
|
|
2015 to 2014
|
|
2015
|
|
2014
|
|
2015 to 2014
|
||||||
Operating ROE
|
8.7
|
%
|
|
11.0
|
%
|
|
(2.3)pts
|
|
|
7.9
|
%
|
|
10.3
|
%
|
|
(2.4)pts
|
|
|
Three Months Ended
|
|
Six Months Ended
|
||||||||||||||
|
June 30,
|
|
Change
|
|
June 30,
|
|
Change
|
||||||||||
|
2015
|
|
2014
|
|
2015 to 2014
|
|
2015
|
|
2014
|
|
2015 to 2014
|
||||||
Operating ROE ex-UGL
|
10.0
|
%
|
|
12.3
|
%
|
|
(2.3)pts
|
|
|
9.0
|
%
|
|
11.5
|
%
|
|
(2.5)pts
|
|
(U.S. dollars)
|
June 30, 2015
|
|
March 31, 2015
|
|
Change
(Three Months) |
|
June 30, 2015
|
|
December 31, 2014
|
|
Change
(Six Months) |
||||||||||||
Book value per ordinary share
|
$
|
40.30
|
|
|
$
|
39.90
|
|
|
$
|
0.40
|
|
|
$
|
40.3
|
|
|
$
|
39.31
|
|
|
$
|
0.99
|
|
(U.S. dollars)
|
June 30, 2015
|
|
March 31, 2015
|
|
Change
(Three Months) |
|
June 30, 2015
|
|
December 31, 2014
|
|
Change
(Six Months) |
||||||||||||
Fully diluted tangible book value per ordinary share
|
$
|
32.53
|
|
|
$
|
37.60
|
|
|
$
|
(5.07
|
)
|
|
$
|
32.53
|
|
|
$
|
36.79
|
|
|
$
|
(4.26
|
)
|
(U.S. dollars in thousands, except ratios and per share amounts)
|
Three Months Ended
|
|
Six Months Ended
|
||||||||||||
June 30,
|
|
June 30,
|
|||||||||||||
2015
|
|
2014
|
|
2015
|
|
2014
|
|||||||||
Net income (loss) attributable to ordinary shareholders
|
$
|
915,039
|
|
|
$
|
(279,260
|
)
|
|
$
|
951,320
|
|
|
$
|
(23,543
|
)
|
Net realized and unrealized (gains) losses on life retrocession embedded derivative and derivative instruments - Life Funds Withheld Assets
|
(239,174
|
)
|
|
17,546
|
|
|
(9,807
|
)
|
|
17,546
|
|
||||
Net realized (gains) losses on investments and net unrealized (gains) losses on investments, Trading - Life Funds Withheld Assets
|
(45,616
|
)
|
|
8,147
|
|
|
(93,905
|
)
|
|
8,147
|
|
||||
Net investment income - Life Funds Withheld Assets
|
(46,864
|
)
|
|
(19,165
|
)
|
|
(97,283
|
)
|
|
(19,165
|
)
|
||||
Foreign exchange revaluation (gains) losses on and other income and expense items related to Life Funds Withheld Assets
|
14,597
|
|
|
19
|
|
|
12,211
|
|
|
19
|
|
||||
Loss on sale of life reinsurance subsidiary, net of tax
|
—
|
|
|
621,323
|
|
|
—
|
|
|
621,323
|
|
||||
Net income (loss) attributable to ordinary shareholders excluding Contribution from Life Retrocession Arrangements (1)
|
597,982
|
|
|
348,610
|
|
|
762,536
|
|
|
604,327
|
|
||||
Net realized (gains) losses on investments sold - excluding Life Funds Withheld Assets, net of tax
|
(669
|
)
|
|
(77,149
|
)
|
|
(5,187
|
)
|
|
(96,038
|
)
|
||||
Net realized and unrealized (gains) losses on derivatives
|
(48,667
|
)
|
|
(11,596
|
)
|
|
(65,188
|
)
|
|
(13,406
|
)
|
||||
Net realized and unrealized (gains) losses on investments and derivatives related to the Company's insurance company affiliates, net of tax
|
595
|
|
|
1,222
|
|
|
1,253
|
|
|
(2,736
|
)
|
||||
Exchange (gains) losses, net of tax
|
624
|
|
|
18,490
|
|
|
25,363
|
|
|
26,079
|
|
||||
Expenses related to Catlin acquisition, net of tax
|
36,339
|
|
|
—
|
|
|
61,803
|
|
|
—
|
|
||||
Gain on sale of operating affiliate
|
(340,407
|
)
|
|
—
|
|
|
(340,407
|
)
|
|
—
|
|
||||
Operating net income (loss)
|
$
|
245,797
|
|
|
$
|
279,577
|
|
|
$
|
440,173
|
|
|
$
|
518,226
|
|
Per ordinary share results:
|
|
|
|
|
|
|
|
||||||||
Net income (loss) attributable to ordinary shareholders
|
$
|
3.11
|
|
|
$
|
(1.03
|
)
|
|
$
|
3.43
|
|
|
$
|
(0.09
|
)
|
Operating net income (loss)
|
$
|
0.84
|
|
|
$
|
1.02
|
|
|
$
|
1.59
|
|
|
$
|
1.86
|
|
Weighted average ordinary shares outstanding:
|
|
|
|
|
|
|
|
||||||||
Basic
|
289,420
|
|
|
270,924
|
|
|
272,665
|
|
|
273,616
|
|
||||
Diluted - Net income
|
293,983
|
|
|
270,924
|
|
|
277,473
|
|
|
273,616
|
|
||||
Diluted - Operating net income
|
293,983
|
|
|
275,200
|
|
|
277,473
|
|
|
277,918
|
|
||||
Return on ordinary shareholders' equity:
|
|
|
|
|
|
|
|
||||||||
Closing ordinary shareholders' equity (at period end)
|
$
|
12,247,298
|
|
|
$
|
10,034,289
|
|
|
$
|
12,247,298
|
|
|
$
|
10,034,289
|
|
Unrealized (gain) loss on investments, net of tax
|
$
|
(1,104,350
|
)
|
|
$
|
(1,216,920
|
)
|
|
$
|
(1,104,350
|
)
|
|
$
|
(1,216,920
|
)
|
Average ordinary shareholders' equity for the period excluding unrealized gains and losses on investments
|
$
|
9,844,700
|
|
|
$
|
9,057,642
|
|
|
$
|
9,831,316
|
|
|
$
|
9,040,880
|
|
Average ordinary shareholders' equity for the period
|
$
|
11,245,678
|
|
|
$
|
10,139,626
|
|
|
$
|
11,140,525
|
|
|
$
|
10,015,961
|
|
Operating net income (loss)
|
$
|
245,797
|
|
|
$
|
279,577
|
|
|
$
|
440,173
|
|
|
$
|
518,226
|
|
Annualized operating net income (loss)
|
$
|
983,188
|
|
|
$
|
1,118,308
|
|
|
$
|
880,346
|
|
|
$
|
1,036,452
|
|
Annualized return on ordinary shareholders' equity - operating net income
|
8.7
|
%
|
|
11.0
|
%
|
|
7.9
|
%
|
|
10.3
|
%
|
||||
Annualized return on ordinary shareholders' equity excluding unrealized gains and losses on investments - operating net income
|
10.0
|
%
|
|
12.3
|
%
|
|
9.0
|
%
|
|
11.5
|
%
|
(1)
|
Investment results for the Life Funds Withheld Assets - including interest income, unrealized gains and losses, and gains and losses from sales - are passed directly to the reinsurer pursuant to a contractual arrangement which is accounted for as a derivative. Changes in the fair value of the embedded derivative associated with these Life Retrocession Arrangements are grouped within "Net realized and unrealized (gains) losses on life retrocession embedded derivative and derivative instruments - Life Funds Withheld Assets" in the reconciliation above.
|
(U.S. dollars in thousands)
|
Severance costs
|
|
Retention costs
|
|
Facilities-related costs
|
|
Consulting and other
|
||||||||
Costs incurred in 2015
|
$
|
12,274
|
|
|
$
|
365
|
|
|
$
|
1,530
|
|
|
$
|
13,676
|
|
2015 payments
|
1,639
|
|
|
—
|
|
|
462
|
|
|
4,573
|
|
||||
Liabilities at June 30, 2015
|
$
|
10,635
|
|
|
$
|
365
|
|
|
$
|
1,068
|
|
|
$
|
9,103
|
|
(U.S. dollars in thousands)
|
May 1, 2015 to June 30, 2015
|
||
Total revenues
|
$
|
709,800
|
|
Net income (loss) attributable to ordinary shareholders
|
$
|
50,017
|
|
|
Interest Rate Movement for the three months
ended June 30, 2015 (1) (‘+’/‘-’ represents increases / decreases in interest rates) |
|
Credit Spread Movement for the three months
ended June 30, 2015 (2) (‘+’/‘-’ represents widening / tightening of credit spreads) |
United States
|
+28 basis points (5 year Treasury)
|
|
+12 basis points (US Corporate A rated)
|
|
|
|
+9 basis points (US Mortgage Master Index)
|
|
|
|
+10 basis points (US CMBS, AAA rated)
|
United Kingdom
|
+45 basis points (10 year Gilt)
|
|
+19 basis points (UK Corporate, AA rated)
|
Euro-zone
|
+18 basis points (5 year Bund)
|
|
+22 basis points (Europe Corporate, A rated)
|
(1)
|
Source: Bloomberg Finance L.P.
|
(2)
|
Source: Merrill Lynch Global Indices.
|
|
Interest Rate Movement for the six months ended June 30, 2015 (1)
(‘+’/‘-’ represents increases / decreases in interest rates) |
|
Credit Spread Movement for the six months
ended June 30, 2015 (2) (‘+’/‘-’ represents widening / tightening of credit spreads) |
United States
|
0 basis points (5 year Treasury)
|
|
+4 basis points (US Corporate A rated)
|
|
|
|
+8 basis points (US Mortgage Master Index)
|
|
|
|
+9 basis points (US CMBS, AAA rated)
|
United Kingdom
|
+27 basis points (10 year Gilt)
|
|
-3 basis points (UK Corporate, AA rated)
|
Euro-zone
|
+6 basis points (5 year Bund)
|
|
+22 basis points (Europe Corporate, A rated)
|
(1)
|
Source: Bloomberg Finance L.P.
|
(2)
|
Source: Merrill Lynch Global Indices.
|
1.
|
We impose limits for each natural catastrophe peril region at a 1% tail value at risk (“TVaR”) probability. This statistic indicates the average amount of net loss expected to be incurred if a loss above the 1% exceedance probability level has occurred.
|
2.
|
For each event type other than natural catastrophes, we impose limits at a 1% exceedance probability. If we were to deploy the full limit, for any given event type, there would be a 1% probability that an event would occur during the next year that would result in a net underwriting loss in excess of the limit.
|
3.
|
We also impose limits for certain other event types at a 0.4% exceedance probability as described in further detail below. If we were to deploy the full limit, for any such given event type, there would be a 0.4% probability that an event would occur during the next year that would result in a net underwriting loss in excess of the limit.
|
•
|
Anticipated risk adjusted returns;
|
•
|
Strategic risk preferences;
|
•
|
Relativity to peers;
|
•
|
Shareholder expectations;
|
•
|
Robustness of exposure assessment methodology; and
|
•
|
Projected enterprise loss potential.
|
•
|
Correlation of underwriting risk with other risks (e.g., asset/investment risk, operational risk, etc.);
|
•
|
Model risk and robustness of data;
|
•
|
Geographical concentrations;
|
•
|
Exposures at lower return periods;
|
•
|
Expected payback period associated with losses;
|
•
|
Projected share of industry loss; and
|
•
|
Annual aggregate losses for natural catastrophes at various return periods including a 1% exceedance probability and a 1% TVaR level on both a peril region basis and a portfolio basis.
|
•
|
Inaccurate assumptions of event frequency and severity;
|
•
|
Inaccurate or incomplete data;
|
•
|
Changing climate conditions that may add to the unpredictability of frequency and severity of natural catastrophes in certain parts of the world and create additional uncertainty as to future trends and exposures;
|
•
|
Future possible increases in property values and the effects of inflation that may increase the severity of catastrophic events to levels above the modeled levels;
|
•
|
Natural catastrophe models that incorporate and are critically dependent on meteorological, seismological and other earth science assumptions and related statistical relationships that may not be representative of prevailing conditions and risks, and may therefore misstate how particular events actually materialize, causing a material deviation between forecasted and actual damages associated with such events; and
|
•
|
A change in the judicial climate.
|
|
|
|
|
|
1-in-100 Event
|
|
1-in-250 Event
|
||||||||||
Geographical Zone
(U.S. dollars in millions)
|
Peril
|
|
Measurement
Date
of In-Force
Exposures (1)
|
|
Probable
Maximum
Loss (2)
|
|
Percentage of
Adjusted Tangible
Capital at
June 30, 2015 (3)
|
|
Probable
Maximum
Loss (2)
|
|
Percentage of
Adjusted Tangible Capital at June 30, 2015 (3) |
||||||
North Atlantic
|
Windstorm
|
|
April 1, 2015
|
|
$
|
1,891
|
|
|
15.6
|
%
|
|
$
|
2,773
|
|
|
22.8
|
%
|
North America
|
Earthquake
|
|
April 1, 2015
|
|
983
|
|
|
8.1
|
%
|
|
1,744
|
|
|
14.3
|
%
|
||
Europe
|
Windstorm
|
|
April 1, 2015
|
|
672
|
|
|
5.5
|
%
|
|
830
|
|
|
6.8
|
%
|
||
Japan
|
Earthquake
|
|
April 1, 2015
|
|
476
|
|
|
3.9
|
%
|
|
591
|
|
|
4.9
|
%
|
||
Japan
|
Windstorm
|
|
April 1, 2015
|
|
344
|
|
|
2.8
|
%
|
|
430
|
|
|
3.5
|
%
|
(1)
|
Detailed analyses of aggregated in-force exposures and maximum loss levels are done periodically. The measurement dates represent the date of the last completed detailed analysis by geographical zone.
|
(2)
|
Probable maximum losses, which include secondary uncertainty that incorporates variability around the expected probable maximum loss for each event, do not represent our maximum potential exposures and are pre-tax.
|
(3)
|
Adjusted Tangible Capital is defined as Total Shareholders’ Equity plus (i) outstanding subordinated notes due 2025 and 2045 less (ii) Goodwill and Other Intangible Assets and less (iii) Accumulated Other Comprehensive Income (excluding certain net balances associated with Life Funds Withheld Assets).
|
|
Three Months Ended
|
|
Percentage
|
|||||||
|
June 30,
|
|
Change
|
|||||||
(U.S. dollars in thousands)
|
2015
|
|
2014
|
|
2015 to 2014
|
|||||
Gross premiums written
|
$
|
2,219,444
|
|
|
$
|
1,618,405
|
|
|
37.1
|
%
|
Net premiums written
|
1,401,772
|
|
|
996,880
|
|
|
40.6
|
%
|
||
Net premiums earned
|
1,412,906
|
|
|
1,003,990
|
|
|
40.7
|
%
|
||
Net losses and loss expenses
|
896,370
|
|
|
627,627
|
|
|
42.8
|
%
|
||
Acquisition costs
|
181,716
|
|
|
99,863
|
|
|
82.0
|
%
|
||
Operating expenses
|
292,161
|
|
|
213,930
|
|
|
36.6
|
%
|
||
Underwriting profit (loss)
|
$
|
42,659
|
|
|
$
|
62,570
|
|
|
(31.8
|
)%
|
Net results – structured products
|
3,401
|
|
|
31,645
|
|
|
(89.3
|
)%
|
||
Net fee income and other (expense)
|
(2,033
|
)
|
|
(3,567
|
)
|
|
(43.0
|
)%
|
|
Three Months Ended
|
|
Percentage
|
|||||||
|
June 30,
|
|
Change
|
|||||||
(U.S. dollars in thousands)
|
2015
|
|
2014
|
|
2015 to 2014
|
|||||
Professional
|
$
|
462,133
|
|
|
$
|
406,164
|
|
|
13.8
|
%
|
Casualty
|
790,227
|
|
|
700,780
|
|
|
12.8
|
%
|
||
EPC
|
530,432
|
|
|
267,921
|
|
|
98.0
|
%
|
||
Specialty
|
436,652
|
|
|
243,540
|
|
|
79.3
|
%
|
||
Total
|
$
|
2,219,444
|
|
|
$
|
1,618,405
|
|
|
37.1
|
%
|
▪
|
Professional - increase of
13.8%
is mainly driven by the Catlin Acquisition. Excluding the impact of the acquired business, the division experienced an increase of
1.9%
due to increases in renewals in our cybertech, international financial lines and North American businesses, as well as new business and favorable pricing in cybertech, partially offset by decreases in new business within our select professional and international financial lines businesses.
|
▪
|
Casualty - increase of
12.8%
is largely attributable to the Catlin Acquisition. Excluding the impact of the acquired business, the division experienced a decrease of
5.2%
which is largely attributable to adverse foreign exchange rates in international casualty due to the weakening of the Euro against the U.S. dollar and lower pricing in several business lines, partially offset by increased renewals in North American construction casualty, excess casualty and global risk management.
|
▪
|
EPC - increase of
98.0%
is due to the Catlin Acquisition. Excluding the impact of the acquired business, the division experienced a decrease of
13.1%
which is mainly attributable to adverse foreign exchange rates in international property and international construction, as well as decreases in renewals in energy business and North American property and decreases in new business in international property, North American property and international construction.
|
▪
|
Specialty - increase of
79.3%
is mainly attributable to the Catlin Acquisition. Excluding the impact of the acquired business, the division experienced a decrease of
0.2%
due to decreases in renewals in fine art and specie and lower pricing in several business lines, partially offset by new business in marine.
|
|
Three Months Ended
|
|
Percentage
|
|||||
|
June 30,
|
|
Point Change
|
|||||
|
2015
|
|
2014
|
|
2015 to 2014
|
|||
Loss and loss expense ratio
|
63.4
|
%
|
|
62.5
|
%
|
|
0.9
|
|
Acquisition expense ratio
|
12.9
|
%
|
|
9.9
|
%
|
|
3.0
|
|
Operating expense ratio
|
20.7
|
%
|
|
21.4
|
%
|
|
(0.7
|
)
|
Underwriting expense ratio
|
33.6
|
%
|
|
31.3
|
%
|
|
2.3
|
|
Combined ratio
|
97.0
|
%
|
|
93.8
|
%
|
|
3.2
|
|
|
Three Months Ended
|
|
Percentage
|
|||||
|
June 30,
|
|
Point Change
|
|||||
|
2015
|
|
2014
|
|
2015 to 2014
|
|||
Loss and loss expense ratio
|
63.4
|
%
|
|
62.5
|
%
|
|
0.9
|
|
Prior year reserve development
|
2.7
|
%
|
|
3.7
|
%
|
|
(1.0
|
)
|
Loss ratio excluding prior year development
|
66.1
|
%
|
|
66.2
|
%
|
|
(0.1
|
)
|
|
Three Months Ended
|
||||||
|
June 30,
|
||||||
(U.S. dollars in thousands)
|
2015
|
|
2014
|
||||
Professional
|
$
|
5,328
|
|
|
$
|
2,846
|
|
Casualty
|
(10,355
|
)
|
|
37,572
|
|
||
Property
|
362
|
|
|
(10,288
|
)
|
||
Specialty
|
(40,032
|
)
|
|
(44,536
|
)
|
||
Other (1)
|
6,562
|
|
|
(22,587
|
)
|
||
Total
|
$
|
(38,135
|
)
|
|
$
|
(36,993
|
)
|
•
|
For Professional lines, net prior year development was
$5.3 million
unfavorable predominantly as a result of worse than expected loss experience reported in the core U.S. and select books that drove deteriorations of $40.2 million and $15.8 million, respectively. This was partially offset by reductions of $34.5 million in the core Bermuda book and $15.6 million in the design book due mainly to better than expected loss experience reported on the 2008 and 2010 report years, respectively.
|
•
|
For Casualty lines, net prior year development was
$10.4 million
favorable. This was primarily due to a reduction of $17.8 million in the Bermuda excess casualty lines mainly as a result of reflecting the better than expected loss experience reported across most accident years. This reduction was partially offset by a deterioration of $7.5 million in the global risk management lines driven by worse than expected loss experience primarily on the 2011 to 2013 accident years.
|
•
|
For EPC lines, net prior year development was
$0.4 million
unfavorable.
|
•
|
For Specialty lines, net prior year development was
$40.0 million
favorable driven by a release of $18.8 million in the discontinued Bermuda political risk portfolio arising predominantly from the favorable settlement of a loss on the 2009 accident year and the lapse of the exposure for this account. There were further reductions of $11.7 million in the marine book and $5.7 million in fine art and specie to reflect better than expected loss experience reported across the 2009 to 2013 and 2014 accident years, respectively.
|
•
|
For other lines, net prior year development was
$6.6 million
unfavorable due primarily to a $5.0 million deterioration in the discontinued surety book relating to reinsurance bad debt.
|
▪
|
Acquisition expense ratio - increase mainly attributable to the EPC business acquired from Catlin, whose acquisition ratio was higher than the ratio in our legacy business mix.
|
▪
|
Operating expense ratio - decreased as a result of initial synergies realized from the Catlin Acquisition.
|
|
Three Months Ended
|
|
Percentage
|
|||||||
|
June 30,
|
|
Change
|
|||||||
(U.S. dollars in thousands)
|
2015
|
|
2014
|
|
2015 to 2014
|
|||||
Bermuda
|
$
|
398,535
|
|
|
$
|
268,586
|
|
|
48.4
|
%
|
North America
|
181,659
|
|
|
96,156
|
|
|
88.9
|
%
|
||
London
|
90,243
|
|
|
32,004
|
|
|
N/M
|
|
||
Europe and MENA
|
45,302
|
|
|
58,025
|
|
|
(21.9
|
)%
|
||
Emerging markets
|
66,509
|
|
|
38,353
|
|
|
73.4
|
%
|
||
Total
|
$
|
782,248
|
|
|
$
|
493,124
|
|
|
58.6
|
%
|
▪
|
Bermuda - increase of
48.4%
due to the Catlin Acquisition. Excluding the impact of the acquired business, the region experienced a decrease of
4.3%
mainly driven by lower property catastrophe renewals due to rate reductions.
|
▪
|
North America - increase of
88.9%
largely attributable to the Catlin Acquisition. Excluding the impact of the acquired business, the region experienced an increase of
28.7%
as a result of a large new casualty quota share.
|
▪
|
London - significant increase is a result of the Catlin Acquisition. Excluding the impact of the acquired business, the region experienced an increase of
10.0%
mainly driven by premium adjustments on prior incepting casualty policies and new property facultative business.
|
▪
|
Europe and MENA - decrease of
21.9%
is mainly attributable to the adverse effects of foreign exchange as noted above, plus lower property catastrophe renewals due to rate reductions, lower reinstatement premiums, and premium adjustments on prior incepting casualty policies.
|
▪
|
Emerging markets - increase of
73.4%
due to the Catlin Acquisition. Excluding the impact of the acquired business, the region experienced a decrease of
45.8%
, which is a result of estimated premium reductions in Asia on the 2014 underwriting year for property treaty in the current quarter, and unfavorable renewals in Latin America.
|
|
Three Months Ended
|
|
Percentage
|
|||||
|
June 30,
|
|
Point Change
|
|||||
|
2015
|
|
2014
|
|
2015 to 2014
|
|||
Loss and loss expense ratio
|
39.2
|
%
|
|
46.1
|
%
|
|
(6.9
|
)
|
Acquisition expense ratio
|
24.3
|
%
|
|
18.6
|
%
|
|
5.7
|
|
Operating expense ratio
|
11.0
|
%
|
|
11.0
|
%
|
|
—
|
|
Underwriting expense ratio
|
35.3
|
%
|
|
29.6
|
%
|
|
5.7
|
|
Combined ratio
|
74.5
|
%
|
|
75.7
|
%
|
|
(1.2
|
)
|
|
Three Months Ended
|
|
Percentage
|
|||||
|
June 30,
|
|
Point Change
|
|||||
|
2015
|
|
2014
|
|
2015 to 2014
|
|||
Loss and loss expense ratio
|
39.2
|
%
|
|
46.1
|
%
|
|
(6.9
|
)
|
Prior year reserve development
|
10.8
|
%
|
|
11.0
|
%
|
|
(0.2
|
)
|
Loss ratio excluding prior year development
|
50.0
|
%
|
|
57.1
|
%
|
|
(7.1
|
)
|
|
Three Months Ended
|
||||||
|
June 30,
|
||||||
(U.S. dollars in thousands)
|
2015
|
|
2014
|
||||
Property and other short-tail lines
|
$
|
(44,003
|
)
|
|
$
|
(20,088
|
)
|
Casualty and other long-tail lines
|
(26,732
|
)
|
|
(27,368
|
)
|
||
Total
|
$
|
(70,735
|
)
|
|
$
|
(47,456
|
)
|
▪
|
Net favorable prior year development for the short-tail lines totaled
$44.0 million
. Details of the significant components are as follows:
|
▪
|
For property catastrophe lines, net prior year development was $9.1 million favorable due to better than expected development on attritional losses mainly in Europe and a reduction on a 2012 storm being partially offset by a strengthening on 2010 and 2011 catastrophe losses.
|
▪
|
For property other lines, net prior year development was $34.3 million favorable driven primarily by better than expected development on attritional losses in the North America, Europe and Asia Pacific books being partially offset by worse than expected development on attritional losses in Latin America.
|
▪
|
For marine and aviation lines, net prior year development was $0.6 million favorable.
|
▪
|
Net favorable prior year development for the long-tail lines totaled
$26.7 million
and details of the significant components are as follows:
|
•
|
For casualty lines, net prior year development was $15.4 million favorable due to better than expected development on attritional losses in North America and London.
|
•
|
For other lines, net prior year development was $11.3 million favorable due to better than expected development on attritional losses mainly in Bermuda and North America.
|
Impact of Life Retro Arrangements
|
Three months ended June 30,
|
||||||
(U.S. dollars in thousands)
|
2015
|
|
2014
|
||||
Underwriting profit (loss)
|
$
|
—
|
|
|
$
|
—
|
|
Net investment income - Life Funds Withheld Assets
|
46,864
|
|
|
19,165
|
|
||
Net realized gains (losses) on investments sold - Life Funds Withheld Assets
|
68,037
|
|
|
624
|
|
||
Net unrealized gains (losses) on investments, Trading - Life Funds Withheld Assets
|
(19,543
|
)
|
|
—
|
|
||
OTTI on investments - Life Funds Withheld Assets
|
(2,878
|
)
|
|
(8,771
|
)
|
||
Exchange (gains) losses
|
(18,370
|
)
|
|
—
|
|
||
Other income and expenses
|
3,773
|
|
|
(19
|
)
|
||
Net realized and unrealized gains (losses) on life retrocession embedded derivative and derivative instruments - Life Funds Withheld Assets
|
239,174
|
|
|
(17,546
|
)
|
||
Net income (loss)
|
$
|
317,057
|
|
|
$
|
(6,547
|
)
|
Change in net unrealized gains (losses) on investments - Life Funds Withheld Assets, net of tax
|
(321,046
|
)
|
|
12,297
|
|
||
Change in adjustments related to future policy benefit reserves, net of tax
|
26,328
|
|
|
—
|
|
||
Change in cumulative translation adjustment - Life Funds Withheld Assets, net of tax
|
(22,339
|
)
|
|
(5,750
|
)
|
||
Total changes to other comprehensive income as a result of Life Retro Arrangements
|
$
|
(317,057
|
)
|
|
$
|
6,547
|
|
Comprehensive income (loss)
|
$
|
—
|
|
|
$
|
—
|
|
|
Three Months Ended
|
||||
|
June 30,
|
||||
|
2015
|
|
2014
|
||
Total Return on Investments (1)
|
(0.5
|
)%
|
|
1.9
|
%
|
|
|
|
|
||
Other Portfolios (2)
|
|
|
|
||
Alternative portfolio (3)
|
2.1
|
%
|
|
1.5
|
%
|
Equity portfolio
|
0.3
|
%
|
|
5.6
|
%
|
(1)
|
The performance of investment portfolios is measured on a local currency basis and is not annualized. For the aggregate performance calculation, respective local currency balances are translated to U.S. dollars using quarter end exchange rates to calculate composite portfolio results. Performance represents the P&C operations and Run-Off Life Operations for the
three months ended June 30, 2015
and the two months ending
June 30, 2014
.
|
(2)
|
Performance on Other Portfolios is included in the Total Return on Investments.
|
(3)
|
Performance on the alternative portfolio reflects the three months ended May 31, 2015 and 2014, respectively for both equity and non-equity alternative funds.
|
|
Three Months Ended
|
|
Percentage
|
|||||||
|
June 30,
|
|
Change
|
|||||||
(U.S. dollars in thousands)
|
2015
|
|
2014
|
|
2015 to 2014
|
|||||
Net investment income (1)
|
$
|
176,340
|
|
|
$
|
213,608
|
|
|
(17.4
|
)%
|
Net income (loss) from investment fund affiliates (2)
|
31,377
|
|
|
17,683
|
|
|
77.4
|
%
|
||
Net realized gains (losses) on investments
|
4,351
|
|
|
80,844
|
|
|
(94.6
|
)%
|
||
Net realized and unrealized gains (losses) on derivative instruments
|
48,509
|
|
|
11,599
|
|
|
N/M
|
|
(1)
|
Net investment income includes: Net investment income - excluding Life Funds Withheld Assets and net investment income related to the net results from structured products.
|
(2)
|
We generally record the income related to alternative fund affiliates on a one-month lag and the private investment fund affiliates on a three-month lag based upon the availability of the information provided by the investees.
|
*
|
N/M - Not Meaningful
|
▪
|
Net realized gains of
$20.9 million
resulted primarily from sales of U.S. Government and Government Related fixed maturities and equities, partially offset by losses in corporate securities.
|
▪
|
Realized losses of approximately
$16.6 million
related to the OTTI write-down of certain of our available for sale ("AFS") investments. The main components of the net impairment charges were:
|
•
|
$6.5 million
related to certain Other Investments that we no longer intend to hold for a period sufficient to recover their fair value to amortized cost.
|
•
|
$4.8 million
related to certain high yield securities that we no longer intend to hold for a period sufficient to recover their fair value to amortized cost.
|
•
|
$4.0 million
related to certain Alternatives that were in a loss position for more than 11 months.
|
•
|
$0.3 million
related to certain equities that were in a loss position for more than 11 months.
|
•
|
$0.2 million
for structured securities, principally non-Agency residential mortgage-backed securities ("RMBS"), where we determined that the likely recovery on these securities was below the carrying value and, accordingly, recorded an impairment of the securities to the discounted value of the cash flows expected to be received on these securities.
|
•
|
$0.8 million
related to foreign exchange losses.
|
|
Three Months Ended
|
|
Percentage
|
|||||||
|
June 30,
|
|
Change
|
|||||||
(U.S. dollars in thousands)
|
2015
|
|
2014
|
|
2015 to 2014
|
|||||
Net income (loss) from operating affiliates (1)
|
$
|
9,462
|
|
|
$
|
27,738
|
|
|
(65.9
|
)%
|
Gain on sale of operating affiliate
|
340,407
|
|
|
—
|
|
|
N/M
|
|
||
Exchange (gains) losses
|
10,374
|
|
|
21,141
|
|
|
(50.9
|
)%
|
||
Corporate operating expenses
|
130,987
|
|
|
56,495
|
|
|
N/M
|
|
||
Loss on sale of life reinsurance subsidiary
|
—
|
|
|
666,423
|
|
|
N/M
|
|
||
Net realized and unrealized gains (losses) on life retrocession embedded derivative and derivative instruments - Life Funds Withheld Assets
|
239,174
|
|
|
(17,546
|
)
|
|
N/M
|
|
||
Interest expense (2)
|
39,038
|
|
|
32,284
|
|
|
20.9
|
%
|
||
Income tax expense (benefit)
|
32,959
|
|
|
(5,654
|
)
|
|
N/M
|
|
(1)
|
The Company generally records the income related to certain operating affiliates on a three-month lag based upon the availability of the information provided by the investees.
|
(2)
|
Interest expense includes costs related to our debt and collateral facilities and does not include deposit liability accretion, which is included in Net investment results - structured products.
|
*
|
N/M - Not Meaningful
|
|
Three Months Ended
|
|
Percentage
|
|||||||
|
June 30,
|
|
Change
|
|||||||
(U.S. dollars in thousands)
|
2015
|
|
2014
|
|
2015 to 2014
|
|||||
Net income (loss) from investment manager affiliates
|
$
|
8,524
|
|
|
$
|
13,147
|
|
|
(35.2
|
)%
|
Net income (loss) from strategic operating affiliates
|
938
|
|
|
14,591
|
|
|
(93.6
|
)%
|
||
Net income (loss) from operating affiliates
|
$
|
9,462
|
|
|
$
|
27,738
|
|
|
(65.9
|
)%
|
|
Six Months Ended
|
|
Percentage
|
|||||||
|
June 30,
|
|
Change
|
|||||||
(U.S. dollars in thousands)
|
2015
|
|
2014
|
|
2015 to 2014
|
|||||
Gross premiums written
|
$
|
3,874,191
|
|
|
$
|
3,189,331
|
|
|
21.5
|
%
|
Net premiums written
|
2,490,880
|
|
|
2,124,247
|
|
|
17.3
|
%
|
||
Net premiums earned
|
2,375,212
|
|
|
1,996,430
|
|
|
19.0
|
%
|
||
Net losses and loss expenses
|
1,513,317
|
|
|
1,266,820
|
|
|
19.5
|
%
|
||
Acquisition costs
|
262,103
|
|
|
204,863
|
|
|
27.9
|
%
|
||
Operating expenses
|
500,618
|
|
|
416,983
|
|
|
20.1
|
%
|
||
Underwriting profit (loss)
|
$
|
99,174
|
|
|
$
|
107,764
|
|
|
(8.0
|
)%
|
Net results – structured products
|
6,306
|
|
|
36,535
|
|
|
(82.7
|
)%
|
||
Net fee income and other (expense)
|
(9,498
|
)
|
|
(4,779
|
)
|
|
98.7
|
%
|
|
Six Months Ended
|
|
Percentage
|
|||||||
|
June 30,
|
|
Change
|
|||||||
(U.S. dollars in thousands)
|
2015
|
|
2014
|
|
2015 to 2014
|
|||||
Professional
|
$
|
803,846
|
|
|
$
|
739,318
|
|
|
8.7
|
%
|
Casualty
|
1,559,329
|
|
|
1,390,964
|
|
|
12.1
|
%
|
||
EPC
|
789,127
|
|
|
556,725
|
|
|
41.7
|
%
|
||
Specialty
|
721,889
|
|
|
502,324
|
|
|
43.7
|
%
|
||
Total
|
$
|
3,874,191
|
|
|
$
|
3,189,331
|
|
|
21.5
|
%
|
▪
|
Professional - increase of
8.7%
driven mainly by the Catlin Acquisition. Excluding the impact of the acquired business, the division experienced an increase of
2.2%
due to new business in cybertech and international financial lines, as well as increased pricing and renewals in cybertech, partially offset by decreases in pricing in North America and Bermuda. The acquired Catlin business also experienced decreases in premium during the current year, mainly due to decreases in renewals in international financial lines
|
▪
|
Casualty - increase of
12.1%
largely driven by the Catlin Acquisition. Excluding the impact of the acquired business, the division experienced an increase of
3.0%
which is largely attributable to new business and increases in renewals in global risk management, North American construction casualty, casualty excess and surplus, and an increase in renewals in North American excess casualty, partially offset by adverse foreign exchange in international casualty as noted above.
|
▪
|
EPC - increase of
41.7%
largely attributable to the Catlin Acquisition. Excluding the impact of the acquired business, the division experienced a decrease of
11.7%
which is mainly attributable to adverse foreign exchange affecting international property and international construction as noted above. Additionally contributing to the adverse variance are decreases in pricing in international property and North American property and a decrease in renewals in energy. The acquired Catlin business also experienced a decrease in premiums during the current year as a result of decreases in renewal premiums in energy business, mainly due to decreases in pricing.
|
▪
|
Specialty - increase of
43.7%
due to the Catlin Acquisition. Excluding the impact of the acquired businesses, the division experienced an increase of
5.1%
mainly due to new business in marine, partially offset by a decrease in renewals in fine arts and specie.
|
|
Six Months Ended
|
|
Percentage
|
||||
|
June 30,
|
|
Change
|
||||
|
2015
|
|
2014
|
|
2015 to 2014
|
||
Loss and loss expense ratio
|
63.7
|
%
|
|
63.5
|
%
|
|
0.2
|
Acquisition expense ratio
|
11.0
|
%
|
|
10.3
|
%
|
|
0.7
|
Operating expense ratio
|
21.1
|
%
|
|
20.8
|
%
|
|
0.3
|
Underwriting expense ratio
|
32.1
|
%
|
|
31.1
|
%
|
|
1.0
|
Combined ratio
|
95.8
|
%
|
|
94.6
|
%
|
|
1.2
|
|
Six Months Ended
|
|
Percentage
|
|||||
|
June 30,
|
|
Change
|
|||||
|
2015
|
|
2014
|
|
2015 to 2014
|
|||
Loss and loss expense ratio
|
63.7
|
%
|
|
63.5
|
%
|
|
0.2
|
|
Prior year reserve development
|
1.9
|
%
|
|
2.2
|
%
|
|
(0.3
|
)
|
Loss ratio excluding prior year development
|
65.6
|
%
|
|
65.7
|
%
|
|
(0.1
|
)
|
|
Six Months Ended
|
||||||
|
June 30,
|
||||||
(U.S. dollars in thousands)
|
2015
|
|
2014
|
||||
Professional
|
$
|
7,000
|
|
|
$
|
1,620
|
|
Casualty
|
(14,919
|
)
|
|
39,274
|
|
||
Property
|
(1,214
|
)
|
|
(25,967
|
)
|
||
Specialty
|
(41,531
|
)
|
|
(39,563
|
)
|
||
Other (1)
|
6,532
|
|
|
(20,691
|
)
|
||
Total
|
$
|
(44,132
|
)
|
|
$
|
(45,327
|
)
|
(1)
|
Other includes programs, excess and surplus, surety, structured indemnity and certain discontinued lines.
|
▪
|
For professional lines, net prior year development was
$7.0 million
unfavorable primarily as a result of worse than expected loss experience reported in the core U.S. and select businesses that drove deteriorations of $40.5 million and $15.8 million respectively. This was partially offset by reductions of $34.8 million in the core Bermuda book and $15.5 million in the design book due mainly to better than expected loss experience reported on the 2008 and 2010 report years respectively.
|
▪
|
For casualty lines, net prior year development was
$14.9 million
favorable. This was driven by a reduction of $17.4 million in the Bermuda excess casualty lines mainly as a result of reflecting the better than expected loss experience reported across most accident years. This reduction was partially offset by a deterioration of $7.5 million in the global risk management lines driven by worse than expected loss experience primarily on the 2011 to 2013 accident years.
|
▪
|
For property lines, net prior year development was
$1.2 million
unfavorable.
|
▪
|
For specialty lines, net prior year development was
$41.5 million
favorable driven by a release of $18.8 million in the discontinued Bermuda political risk portfolio arising predominantly from the favorable settlement of a loss on the 2009 accident year and the lapse of the exposure for this account. There were further reductions of $12.4 million in the marine book and $5.8 million in fine art and specie to reflect better than expected loss experience reported across the 2009 to 2013 and 2014 accident years respectively.
|
▪
|
For other lines, net prior year development was
$6.5 million
unfavorable due primarily to a $5.0 million deterioration in the discontinued surety book relating to reinsurance bad debt.
|
▪
|
Acquisition expense ratio - increased as a result of increased acquisition costs mainly attributable to the EPC business acquired from Catlin, which was a result of new business, partially offset by the favorable impact of the modification of our reinsurance structure mentioned above and a change in the mix of business.
|
▪
|
Operating expense ratio - increased
0.3
percentage points largely due to business expansion in the prior year, partially offset by initial synergies realized from the Catlin Acquisition.
|
|
Six Months Ended
|
|
Percentage
|
|||||||
|
June 30,
|
|
Change
|
|||||||
(U.S. dollars in thousands)
|
2015
|
|
2014
|
|
2015 to 2014
|
|||||
Gross premiums written
|
$
|
1,607,910
|
|
|
$
|
1,350,837
|
|
|
19.0
|
%
|
Net premiums written
|
1,445,936
|
|
|
1,228,619
|
|
|
17.7
|
%
|
||
Net premiums earned
|
1,008,077
|
|
|
854,174
|
|
|
18.0
|
%
|
||
Net losses and loss expenses
|
407,705
|
|
|
392,565
|
|
|
3.9
|
%
|
||
Acquisition costs
|
229,709
|
|
|
168,109
|
|
|
36.6
|
%
|
||
Operating expenses
|
114,222
|
|
|
88,443
|
|
|
29.1
|
%
|
||
Underwriting profit (loss)
|
$
|
256,441
|
|
|
$
|
205,057
|
|
|
25.1
|
%
|
Net results – structured products
|
3,976
|
|
|
6,303
|
|
|
(36.9
|
)%
|
||
Net fee income and other
|
1,448
|
|
|
1,337
|
|
|
8.3
|
%
|
|
Six Months Ended
|
|
Percentage
|
|||||||
|
June 30,
|
|
Change
|
|||||||
(U.S. dollars in thousands)
|
2015
|
|
2014
|
|
2015 to 2014
|
|||||
Bermuda
|
$
|
664,246
|
|
|
$
|
540,706
|
|
|
22.8
|
%
|
North America
|
352,997
|
|
|
237,204
|
|
|
48.8
|
%
|
||
London
|
157,148
|
|
|
104,604
|
|
|
50.2
|
%
|
||
Europe and MENA
|
286,068
|
|
|
344,423
|
|
|
(16.9
|
)%
|
||
Emerging markets
|
147,451
|
|
|
123,900
|
|
|
19.0
|
%
|
||
Total
|
$
|
1,607,910
|
|
|
$
|
1,350,837
|
|
|
19.0
|
%
|
▪
|
Bermuda - increase of
22.8%
due to the Catlin Acquisition. Excluding the impact of the acquired business, the region experienced a decrease of
3.3%
due to reduced rates and cancellations on property catastrophe business plus the unfavorable impact of foreign exchange rates.
|
▪
|
North America - increase of
48.8%
largely attributable to the Catlin Acquisition. Excluding the impact of the acquired business, the region experienced an increase of
24.4%
as a result of increased new business and business volume, including a significant increase in our agricultural business and a large new casualty quota share.
|
▪
|
London - increase of
50.2%
is a result of the Catlin Acquisition. Excluding the impact of the acquired business, the region experienced a decrease of
2.4%
mainly driven by unfavorable foreign exchange rates particularly on the casualty lines of business.
|
▪
|
Europe and MENA - decrease of
16.9%
is mainly attributable to unfavorable foreign exchange rates particularly on the property and casualty lines of business.
|
▪
|
Emerging markets - increase of
19.0%
due to the Catlin Acquisition. Excluding the impact of the acquired businesses, the region experienced a decrease of
17.9%
, which is a result of unfavorable foreign exchange rates, as well as estimated premium reductions in Asia on the 2014 underwriting year for property treaty, and unfavorable renewals in Latin America.
|
|
Six Months Ended
|
|
Percentage
|
|||||
|
June 30,
|
|
Change
|
|||||
|
2015
|
|
2014
|
|
2015 to 2014
|
|||
Loss and loss expense ratio
|
40.4
|
%
|
|
46.0
|
%
|
|
(5.6
|
)
|
Acquisition expense ratio
|
22.8
|
%
|
|
19.7
|
%
|
|
3.1
|
|
Operating expense ratio
|
11.4
|
%
|
|
10.3
|
%
|
|
1.1
|
|
Underwriting expense ratio
|
34.2
|
%
|
|
30.0
|
%
|
|
4.2
|
|
Combined ratio
|
74.6
|
%
|
|
76.0
|
%
|
|
(1.4
|
)
|
|
Six Months Ended
|
|
Percentage
|
|||||
|
June 30,
|
|
Change
|
|||||
|
2015
|
|
2014
|
|
2015 to 2014
|
|||
Loss and loss expense ratio
|
40.4
|
%
|
|
46.0
|
%
|
|
(5.6
|
)
|
Prior year reserve development
|
11.3
|
%
|
|
9.1
|
%
|
|
2.2
|
|
Loss ratio excluding prior year development
|
51.7
|
%
|
|
55.1
|
%
|
|
(3.4
|
)
|
|
Six Months Ended
|
||||||
|
June 30,
|
||||||
(U.S. dollars in thousands)
|
2015
|
|
2014
|
||||
Property and other short-tail lines
|
$
|
(86,296
|
)
|
|
$
|
(45,638
|
)
|
Casualty and other long-tail lines
|
(26,930
|
)
|
|
(32,314
|
)
|
||
Total
|
$
|
(113,226
|
)
|
|
$
|
(77,952
|
)
|
▪
|
Net favorable prior year development for the short-tail lines totaled
$86.3 million
. Details of the significant components are as follows:
|
▪
|
For property catastrophe lines, net prior year development was $26.7 million favorable due to better than expected development on attritional losses mainly in Bermuda and Europe along with reductions on a 2012 storm and a 2013 catastrophe being partially offset by strengthening on other events.
|
▪
|
For property other lines, net prior year development was $51.2 million favorable primarily due to better than expected attritional loss development across all books.
|
▪
|
For marine and aviation lines, net prior year development was $8.5 million favorable due to better than expected attritional loss development mainly in Europe and a reduction on a 2005 hurricane.
|
▪
|
Net favorable prior year development for the long-tail lines totaled
$26.9 million
. Details of the significant components are as follows:
|
▪
|
For casualty lines, net prior year development was $16.1 million favorable due to better than expected attritional loss development across all books and reductions on a 2001 large loss being partially offset by strengthening on a 2008 large loss.
|
▪
|
For other lines, net prior year development was $10.8 million favorable due to better than expected development on attritional losses mainly in Bermuda and North America.
|
▪
|
Acquisition expense ratio - increased riven by an increase in acquisition expenses due to the amortization of fair value adjustments recognized as a result of the Catlin Acquisition. We also experienced increases in commissions in Asia and Bermuda as a result of adding the acquired businesses to our business mix, partially offset by changes to the commission structure of our agricultural business in North America.
|
▪
|
Operating expense ratio - increased in the
six months ended June 30, 2015
compared to the same period in 2014 due to higher compensation costs, which includes the expansion of our agricultural business in North America in the prior year.
|
Impact of Life Retro Arrangements
|
Six Months Ended June 30,
|
||||||
(U.S. dollars in thousands)
|
2015
|
|
2014
|
||||
Underwriting profit (loss) (1)
|
$
|
603
|
|
|
$
|
—
|
|
Net investment income - Life Funds Withheld Assets
|
97,283
|
|
|
19,165
|
|
||
Net realized gains (losses) on investments sold - Life Funds Withheld Assets
|
120,775
|
|
|
624
|
|
||
Net unrealized gains (losses) on investments, Trading - Life Funds Withheld Assets
|
(18,783
|
)
|
|
—
|
|
||
OTTI on investments - Life Funds Withheld Assets
|
(8,087
|
)
|
|
(8,771
|
)
|
||
Exchange (gains) losses
|
(14,686
|
)
|
|
—
|
|
||
Other income and expenses
|
2,475
|
|
|
(19
|
)
|
||
Net realized and unrealized gains (losses) on life retrocession embedded derivative and derivative instruments - Life Funds Withheld Assets
|
9,807
|
|
|
(17,546
|
)
|
||
Net income (loss)
|
$
|
189,387
|
|
|
$
|
(6,547
|
)
|
Change in net unrealized gains (losses) on investments - Life Funds Withheld Assets, net of tax
|
(283,931
|
)
|
|
12,297
|
|
||
Change in adjustments related to future policy benefit reserves, net of tax
|
86,684
|
|
|
—
|
|
||
Change in cumulative translation adjustment - Life Funds Withheld Assets, net of tax
|
8,463
|
|
|
(5,750
|
)
|
||
Total changes to other comprehensive income as a result of Life Retro Arrangements
|
$
|
(188,784
|
)
|
|
$
|
6,547
|
|
Comprehensive income (loss)
|
$
|
603
|
|
|
$
|
—
|
|
(1)
|
The underwriting profit of
$0.6 million
relates to a premium adjustment during the six months ended June 30, 2015 relating to the Life Retro Arrangements transaction which was completed on May 30, 2014.
|
|
Six Months Ended
|
||||
|
June 30,
|
||||
|
2015
|
|
2014
|
||
Total Return on Investments (1)
|
0.9
|
%
|
|
3.8
|
%
|
|
|
|
|
||
Other Portfolios (2)
|
|
|
|
||
Alternative portfolio (3)
|
4.7
|
%
|
|
4.0
|
%
|
Equity portfolio
|
2.0
|
%
|
|
7.1
|
%
|
(1)
|
The performance of investment portfolios is measured on a local currency basis and is not annualized. For the aggregate performance calculation, respective local currency balances are translated to U.S. dollars using quarter end exchange rates to calculate composite portfolio results. Performance represents the P&C operations and Run-Off Life Operations for the
six months ended June 30, 2015
and the two months ending
June 30, 2014
.
|
(2)
|
Performance on Other Portfolios is included in the Total Return on Investments.
|
(3)
|
Performance on the alternative portfolio reflects the six months ended May 31, 2015 and 2014, respectively, for both equity and non-equity alternative funds.
|
|
Six Months Ended
|
|
Percentage
|
|||||||
|
June 30,
|
|
Change
|
|||||||
(U.S. dollars in thousands)
|
2015
|
|
2014
|
|
2015 to 2014
|
|||||
Net investment income (1)
|
$
|
334,434
|
|
|
$
|
446,797
|
|
|
(25.1
|
)%
|
Net income (loss) from investment fund affiliates (2)
|
66,706
|
|
|
50,986
|
|
|
30.8
|
%
|
||
Net realized gains (losses) on investments
|
8,953
|
|
|
100,073
|
|
|
(91.1
|
)%
|
||
Net realized and unrealized gains (losses) on derivative instruments
|
65,030
|
|
|
13,409
|
|
|
N/M
|
|
(1)
|
Net investment income includes: Net investment income - excluding Life Funds Withheld Assets and net investment income related to the net results from structured products.
|
(2)
|
We generally record the income related to alternative fund affiliates on a one-month lag and the private investment fund affiliates on a three-month lag based upon the availability of the information provided by the investees.
|
*
|
N/M - Not Meaningful
|
▪
|
Net realized gains of
$36.1 million
resulted primarily from sales of U.S. Government and Government Related fixed maturities and equities, partially offset by losses in corporate securities and other investments.
|
▪
|
Realized losses of approximately
$27.2 million
related to the OTTI write-down of certain of our AFS investments. The main components of the net impairment charges were:
|
▪
|
$12.4 million
related to certain high yield securities which we no longer intend to hold for a period sufficient to recover fair value to amortized cost.
|
▪
|
$6.5 million
related to Other Investments that we no longer intend to hold for a period sufficient to recover fair value to amortized cost.
|
▪
|
$4.0 million
related to certain Alternatives that were in a loss position for more than 11 months.
|
▪
|
$0.6 million
related to certain equities as the holdings were in a loss position for more than 11 months.
|
▪
|
$0.3 million
for structured securities, principally non-Agency RMBS, where we determined that the likely recovery on these securities was below the carrying value and, accordingly, recorded an impairment of the securities to the discounted value of the cash flows expected to be received on these securities.
|
▪
|
$3.4 million
related to foreign exchange losses.
|
|
Six Months Ended
|
|
Percentage
|
|||||||
|
June 30,
|
|
Change
|
|||||||
(U.S. dollars in thousands)
|
2015
|
|
2014
|
|
2015 to 2014
|
|||||
Net income (loss) from operating affiliates (1)
|
$
|
32,130
|
|
|
$
|
74,023
|
|
|
(56.6
|
)%
|
Gain on sale of operating affiliate
|
340,407
|
|
|
—
|
|
|
N/M
|
|
||
Exchange (gains) losses
|
37,764
|
|
|
31,582
|
|
|
19.6
|
%
|
||
Corporate operating expenses
|
193,430
|
|
|
107,833
|
|
|
79.4
|
%
|
||
Loss on sale of life reinsurance subsidiary
|
—
|
|
|
666,423
|
|
|
N/M
|
|
||
Net realized and unrealized gains (losses) on life retrocession embedded derivative and derivative instruments - Life Funds Withheld Assets
|
9,807
|
|
|
(17,546
|
)
|
|
N/M
|
|
||
Interest expense (2)
|
80,519
|
|
|
64,444
|
|
|
24.9
|
%
|
||
Income tax expense
|
57,177
|
|
|
28,667
|
|
|
99.5
|
%
|
(1)
|
The Company generally records the income related to certain operating affiliates on a three-month lag based upon the availability of the information provided by the investees.
|
(2)
|
Interest expense includes costs related to our debt and collateral facilities and does not include deposit liability accretion, which is included in Net investment results - structured products.
|
*
|
N/M - Not Meaningful
|
|
Six Months Ended
|
|
Percentage
|
|||||||
|
June 30,
|
|
Change
|
|||||||
(U.S. dollars in thousands)
|
2015
|
|
2014
|
|
2015 to 2014
|
|||||
Net income (loss) from investment manager affiliates
|
$
|
12,263
|
|
|
$
|
40,130
|
|
|
(69.4
|
)%
|
Net income (loss) from strategic operating affiliates
|
19,867
|
|
|
33,893
|
|
|
(41.4
|
)%
|
||
Net income (loss) from operating affiliates
|
$
|
32,130
|
|
|
$
|
74,023
|
|
|
(56.6
|
)%
|
|
June 30, 2015
|
|
December 31, 2014
|
||||||||||
(U.S. dollars in thousands)
|
Carrying
Value (1)
|
|
Percent
of Total
|
|
Carrying
Value (1)
|
|
Percent
of Total
|
||||||
Cash and cash equivalents
|
$
|
2,825,416
|
|
|
7.4
|
%
|
|
$
|
2,327,160
|
|
|
7.6
|
%
|
Restricted cash
|
43,996
|
|
|
0.1
|
%
|
|
—
|
|
|
—
|
%
|
||
Net receivable/ (payable) for investments sold/ (purchased)
|
(30,834
|
)
|
|
(0.1
|
)%
|
|
50,471
|
|
|
0.2
|
%
|
||
Accrued investment income
|
236,484
|
|
|
0.6
|
%
|
|
226,721
|
|
|
0.7
|
%
|
||
Short-term investments
|
807,486
|
|
|
2.1
|
%
|
|
256,727
|
|
|
0.8
|
%
|
||
Fixed maturities - AFS:
|
|
|
|
|
|
|
|
||||||
U.S. Government and Government-Related/Supported
|
3,827,106
|
|
|
10.0
|
%
|
|
2,171,953
|
|
|
7.1
|
%
|
||
Corporate - Financials
|
3,235,513
|
|
|
8.5
|
%
|
|
2,761,916
|
|
|
9.0
|
%
|
||
Corporate - Non Financials (2)
|
6,952,064
|
|
|
18.2
|
%
|
|
6,016,457
|
|
|
19.4
|
%
|
||
RMBS – Agency
|
3,958,144
|
|
|
10.4
|
%
|
|
3,728,576
|
|
|
12.1
|
%
|
||
RMBS – Non-Agency
|
372,271
|
|
|
1.0
|
%
|
|
427,351
|
|
|
1.4
|
%
|
||
CMBS
|
936,058
|
|
|
2.5
|
%
|
|
1,052,544
|
|
|
3.4
|
%
|
||
CDO
|
488,025
|
|
|
1.3
|
%
|
|
692,034
|
|
|
2.2
|
%
|
||
Other asset-backed securities (2)
|
2,350,387
|
|
|
6.2
|
%
|
|
1,065,293
|
|
|
3.5
|
%
|
||
U.S. States and political subdivisions of the States
|
2,391,273
|
|
|
6.3
|
%
|
|
2,021,272
|
|
|
6.6
|
%
|
||
Non-U.S. Sovereign Government, Provincial, Supranational and Government-Related/Supported
|
5,260,062
|
|
|
13.8
|
%
|
|
4,240,073
|
|
|
13.8
|
%
|
||
Total fixed maturities - AFS
|
$
|
29,770,903
|
|
|
78.2
|
%
|
|
$
|
24,177,469
|
|
|
78.5
|
%
|
Equity securities
|
1,073,470
|
|
|
2.8
|
%
|
|
868,292
|
|
|
2.8
|
%
|
||
Investments in affiliates
|
1,663,852
|
|
|
4.4
|
%
|
|
1,637,620
|
|
|
5.3
|
%
|
||
Other investments
|
1,743,259
|
|
|
4.5
|
%
|
|
1,248,439
|
|
|
4.1
|
%
|
||
Total investments and cash and cash equivalents - excluding Life Funds Withheld Assets
|
$
|
38,134,032
|
|
|
100.0
|
%
|
|
$
|
30,792,899
|
|
|
100.0
|
%
|
(1)
|
Carrying value represents the fair value for AFS fixed maturities.
|
(2)
|
Includes certain floating rate medium term notes supported primarily by pools of European investment grade credit with varying degrees of leverage. The notes have a carrying value of
$75.3 million
and
$79.9 million
and an amortized cost of
$64.5 million
and
$68.4 million
as of
June 30, 2015
and
December 31, 2014
, respectively. These securities have been allocated ratings based on the underlying pool of securities. These notes allow the investor to participate in cash flows of the underlying bonds including certain residual values, which could serve to either decrease or increase the ultimate values of these notes.
|
|
June 30, 2015
|
|
December 31, 2014
|
||||||||||
Investments by Credit Rating (1)
(U.S. dollars in millions)
|
Carrying
Value (2)
|
|
Percent
of Total
|
|
Carrying
Value (2)
|
|
Percent
of Total
|
||||||
AAA
|
$
|
14,744
|
|
|
46.5
|
%
|
|
$
|
11,509
|
|
|
44.1
|
%
|
AA
|
6,866
|
|
|
21.7
|
%
|
|
5,334
|
|
|
20.4
|
%
|
||
A
|
6,864
|
|
|
21.6
|
%
|
|
6,158
|
|
|
23.6
|
%
|
||
BBB
|
2,446
|
|
|
7.7
|
%
|
|
2,321
|
|
|
8.9
|
%
|
||
BB and below
|
687
|
|
|
2.2
|
%
|
|
793
|
|
|
3.0
|
%
|
||
Not rated
|
109
|
|
|
0.3
|
%
|
|
15
|
|
|
—
|
%
|
||
Total
|
$
|
31,716
|
|
|
100.0
|
%
|
|
$
|
26,130
|
|
|
100.0
|
%
|
(1)
|
The credit rating for each asset reflected above was principally determined based on the weighted average rating of the individual securities from Standard & Poor's, Moody's Investors Service and Fitch Ratings (when available). U.S. Agency debt and related mortgage-backed securities, whether with implicit or explicit government support, reflect the credit quality rating of the U.S. government for the purpose of these calculations.
|
(2)
|
Excludes Life Funds Withheld Assets.
|
•
|
gross unrealized losses of
$88.9 million
related to Government and Government Related holdings. Securities in a gross unrealized loss position had a fair value of
$4.0 billion
as of
June 30, 2015
.
|
•
|
gross unrealized losses of
$71.7 million
related to the Corporate holdings. Securities in a gross unrealized loss position had a fair value of
$3.6 billion
as of
June 30, 2015
.
|
•
|
gross unrealized losses of
$17.9 million
related to Non-Agency RMBS securities (which consists of our holdings of sub-prime Non-Agency RMBS, second liens, asset backed securities collateralized debt obligations ("ABS CDOs") with sub-prime collateral, Alt-A and Prime RMBS). Securities in an unrealized loss position had a fair value of
$242.3 million
as of
June 30, 2015
. The Company has incurred realized losses, consisting of charges for OTTI and realized losses from sales, of approximately
$1.4 billion
since the beginning of 2007 through
June 30, 2015
on these asset classes.
|
(U.S. dollars in thousands)
|
June 30, 2015
|
||||||
Security Type and Length of Time in a Continual Unrealized Loss Position (1)
|
Amount of
Unrealized
Loss
|
|
Fair Value
of Securities in
an Unrealized
Loss Position
|
||||
Fixed Maturities and Short-Term Investments
|
|
|
|
|
|
||
Less than 6 months
|
$
|
(112,542
|
)
|
|
$
|
9,500,619
|
|
At least 6 months but less than 12 months
|
(35,196
|
)
|
|
555,506
|
|
||
At least 12 months but less than 2 years
|
(23,516
|
)
|
|
401,761
|
|
||
2 years and over
|
(84,710
|
)
|
|
1,332,780
|
|
||
Total
|
$
|
(255,964
|
)
|
|
$
|
11,790,666
|
|
Equities
|
|
|
|
|
|
||
Less than 6 months
|
$
|
(13,830
|
)
|
|
$
|
201,058
|
|
At least 6 months but less than 12 months
|
(12,957
|
)
|
|
66,701
|
|
||
Total
|
$
|
(26,787
|
)
|
|
267,759
|
|
(1)
|
Excludes Life Funds Withheld Assets.
|
|
June 30, 2015
|
||||||
(U.S. dollars in thousands)
|
Amount of
Unrealized
Loss
|
|
Fair Value
of Securities in
an Unrealized
Loss Position
|
||||
Maturity profile in years of AFS fixed income securities in a gross unrealized loss position (1)
|
|
||||||
Less than 1 year remaining
|
$
|
(16,938
|
)
|
|
$
|
788,684
|
|
At least 1 year but less than 5 years remaining (2)
|
(58,875
|
)
|
|
4,594,557
|
|
||
At least 5 years but less than 10 years remaining (2)
|
(63,757
|
)
|
|
2,369,682
|
|
||
At least 10 years but less than 20 years remaining (2)
|
(10,775
|
)
|
|
303,563
|
|
||
At least 20 years or more remaining (2)
|
(22,067
|
)
|
|
276,493
|
|
||
RMBS - Agency
|
(20,820
|
)
|
|
1,382,365
|
|
||
RMBS - Non-Agency
|
(17,921
|
)
|
|
242,413
|
|
||
CMBS
|
(8,311
|
)
|
|
396,014
|
|
||
CDO
|
(24,573
|
)
|
|
362,653
|
|
||
Other asset-backed securities
|
(11,927
|
)
|
|
1,074,242
|
|
||
Total
|
$
|
(255,964
|
)
|
|
$
|
11,790,666
|
|
(1)
|
Excludes Life Funds Withheld Assets.
|
(2)
|
Tier One and Upper Tier Two securities, representing committed term debt and hybrid instruments senior to the common and preferred equities of the financial institutions, are allocated based on the call date unless such security is not called on such date, in which case it is allocated the final or longest expected maturity. Medium term notes supported primarily by pools of European investment grade credit with varying degrees of leverage are allocated based on contractual maturity.
|
(U.S. dollars in thousands)
|
Total Assets
and Liabilities Carried at Fair Value at June 30, 2015 |
|
Fair Value
of Level 3
Assets and
Liabilities
|
|
Level 3 Assets
and Liabilities
as a Percentage
of Total Assets
and Liabilities
Carried at Fair
Value, by Class
|
|||||
Assets
|
|
|
|
|
|
|
|
|
||
Fixed maturities, at fair value
|
|
|
|
|
|
|
|
|
||
U.S. Government and Government Agency-Related/Supported
|
$
|
3,827,106
|
|
|
$
|
—
|
|
|
—
|
%
|
Corporate - Financials
|
3,235,513
|
|
|
10,000
|
|
|
0.3
|
%
|
||
Corporate - Non-Financials
|
6,952,064
|
|
|
5,554
|
|
|
0.1
|
%
|
||
RMBS – Agency
|
3,958,144
|
|
|
3,038
|
|
|
0.1
|
%
|
||
RMBS – Non-Agency
|
372,271
|
|
|
—
|
|
|
—
|
%
|
||
CMBS
|
936,058
|
|
|
—
|
|
|
—
|
%
|
||
CDO
|
488,025
|
|
|
484,171
|
|
|
99.2
|
%
|
||
Other asset-backed securities
|
2,350,387
|
|
|
42,745
|
|
|
1.8
|
%
|
||
U.S. States and political subdivisions of the States
|
2,391,273
|
|
|
—
|
|
|
—
|
%
|
||
Non-U.S. Sovereign Government, Supranational and Government-Related
|
5,260,062
|
|
|
—
|
|
|
—
|
%
|
||
Total Fixed maturities, at fair value
|
$
|
29,770,903
|
|
|
$
|
545,508
|
|
|
1.8
|
%
|
Equity securities, at fair value
|
1,073,470
|
|
|
—
|
|
|
—
|
%
|
||
Short-term investments, at fair value
|
807,486
|
|
|
—
|
|
|
—
|
%
|
||
Total investments available for sale
|
$
|
31,651,859
|
|
|
$
|
545,508
|
|
|
1.7
|
%
|
Cash equivalents (1)
|
975,876
|
|
|
—
|
|
|
—
|
%
|
||
Other investments (2)
|
1,395,065
|
|
|
255,672
|
|
|
18.3
|
%
|
||
Other assets (3)
|
225,236
|
|
|
13,392
|
|
|
5.9
|
%
|
||
Total assets carried at fair value
|
$
|
34,248,036
|
|
|
$
|
814,572
|
|
|
2.4
|
%
|
Liabilities
|
|
|
|
|
|
|
|
|
||
Financial instruments sold, but not yet purchased (4)
|
$
|
2,814
|
|
|
$
|
—
|
|
|
—
|
%
|
Other liabilities (5)
|
79,645
|
|
|
23,145
|
|
|
29.1
|
%
|
||
Total liabilities carried at fair value
|
$
|
82,459
|
|
|
$
|
23,145
|
|
|
28.1
|
%
|
(1)
|
Cash equivalents balances subject to fair value measurements include certificates of deposit and money market funds.
|
(2)
|
The Other investments balances exclude certain structured transactions including certain investments in project finance transactions and a payment obligation (for further information, see Item 8, Note 8, "Other Investments," to the Consolidated Financial Statements included in our Annual Report on Form 10-K for the year ended
December 31, 2014
) that has provided liquidity financing to a structured credit vehicle as a part of a third party medium term note facility. These Other investments are carried at amortized cost, which totaled
$348.2 million
at
June 30, 2015
.
|
(3)
|
Other assets include derivative instruments, reported on a gross basis.
|
(4)
|
Financial instruments sold, but not yet purchased, are included within "Payable for investments purchased" on the balance sheets.
|
(5)
|
Other liabilities include derivative instruments, reported on a gross basis.
|
(U.S. dollars in thousands)
|
Gross unpaid
losses and
loss
expenses
|
|
Unpaid
losses and
loss
expenses
recoverable
|
|
Net
unpaid losses
and loss
expenses
|
||||||
Balance at December 31, 2014
|
$
|
19,353,243
|
|
|
$
|
(3,411,526
|
)
|
|
$
|
15,941,717
|
|
Losses and loss expenses incurred
|
2,616,637
|
|
|
(695,615
|
)
|
|
1,921,022
|
|
|||
Losses and loss expenses (paid) / recovered
|
(2,764,250
|
)
|
|
350,344
|
|
|
(2,413,906
|
)
|
|||
Loss reserves acquired
|
6,933,143
|
|
|
(1,493,267
|
)
|
|
5,439,876
|
|
|||
Foreign exchange and other
|
(298,392
|
)
|
|
109,054
|
|
|
(189,338
|
)
|
|||
Balance at June 30, 2015
|
$
|
25,840,381
|
|
|
$
|
(5,141,010
|
)
|
|
$
|
20,699,371
|
|
(U.S. dollars in thousands)
|
June 30, 2015
|
|
December 31, 2014
|
||||
Reinsurance balances receivable
|
$
|
393,942
|
|
|
$
|
153,613
|
|
Reinsurance recoverable on future policy benefits (excluding balances related to the Life Retro Arrangements)
|
14,600
|
|
|
17,840
|
|
||
Reinsurance recoverable on unpaid losses and loss expenses
|
5,194,831
|
|
|
3,453,873
|
|
||
Bad debt reserve on unpaid losses and loss expenses recoverable and reinsurance balances receivable
|
(75,954
|
)
|
|
(64,439
|
)
|
||
Net paid and unpaid losses and loss expenses recoverable and reinsurance balances receivable
|
$
|
5,527,419
|
|
|
$
|
3,560,887
|
|
(U.S. dollars in thousands)
|
June 30, 2015
|
|
June 30, 2014
|
||||
Operating activities
|
$
|
20,504
|
|
|
$
|
353,629
|
|
Investing activities
|
$
|
(349,375
|
)
|
|
$
|
1,569,409
|
|
Financing activities
|
$
|
685,803
|
|
|
$
|
(666,530
|
)
|
Effects of exchange rate changes on foreign currency cash
|
$
|
(37,905
|
)
|
|
$
|
13,799
|
|
•
|
debt;
|
•
|
XL-Cayman and Catlin Insurance Company Ltd ("Catlin-Bermuda") preference shares;
|
•
|
letter of credit facilities and other sources of collateral; and
|
•
|
revolving credit facilities.
|
▪
|
sufficient capital to maintain our financial strength and credit ratings, as issued by several ratings agencies, at levels considered necessary by management to enable our key operating subsidiaries to compete;
|
▪
|
sufficient capital to enable our regulated subsidiaries to meet the regulatory capital levels required in the United States, the U.K., Bermuda, Ireland, Switzerland and other key markets;
|
▪
|
letters of credit and other forms of collateral that are required to be posted or deposited, as the case may be, by our operating subsidiaries that are "non-admitted" under U.S. state insurance regulations in order for the U.S. cedant to receive statutory credit for reinsurance. We also use letters of credit to support our operations at Lloyd's; and
|
▪
|
revolving credit facilities to meet short-term liquidity needs.
|
▪
|
the credit available from banks may be reduced due to market conditions resulting in our need to pledge our investment portfolio to customers, which could result in a lower investment yield;
|
▪
|
we may be downgraded by one or more rating agencies, which could materially and negatively impact our business, financial condition, results of operations and/or liquidity; and
|
▪
|
the volume of business that our subsidiaries that are not admitted in the United States are able to transact could be reduced if we are unable to obtain letter of credit facilities at an appropriate amount.
|
(U.S. dollars in thousands)
|
June 30, 2015
|
|
December 31, 2014
|
||||
Non-controlling interests - Series D preference ordinary shares of XL-Cayman
|
$
|
345,000
|
|
|
$
|
345,000
|
|
Non-controlling interests - Series E preference ordinary shares of XL-Cayman
|
999,500
|
|
|
999,500
|
|
||
Non-controlling interests - non-controlling preference shares of Catlin Insurance Company Ltd. ("Catlin-Bermuda")
|
562,285
|
|
|
—
|
|
||
Non-controlling interests - Other
|
51,022
|
|
|
57,515
|
|
||
Ordinary share capital
|
12,247,298
|
|
|
10,033,751
|
|
||
Total ordinary shares and non-controlling interests
|
$
|
14,205,105
|
|
|
$
|
11,435,766
|
|
Notes payable and debt
|
2,726,455
|
|
|
1,662,580
|
|
||
Total
|
$
|
16,931,560
|
|
|
$
|
13,098,346
|
|
(U.S. dollars in thousands)
|
June 30, 2015
|
|
December 31, 2014
|
||||
Ordinary shareholders’ equity – beginning of period
|
$
|
10,033,751
|
|
|
$
|
9,997,633
|
|
Net income (loss) attributable to ordinary shareholders
|
951,320
|
|
|
188,340
|
|
||
Share buybacks
|
(112,385
|
)
|
|
(801,953
|
)
|
||
Share issuances
|
1,857,048
|
|
|
6,406
|
|
||
Ordinary share dividends
|
(91,133
|
)
|
|
(172,080
|
)
|
||
Change in accumulated other comprehensive income
|
(408,284
|
)
|
|
747,801
|
|
||
Share-based compensation and other
|
16,981
|
|
|
67,604
|
|
||
Ordinary shareholders’ equity – end of period
|
$
|
12,247,298
|
|
|
$
|
10,033,751
|
|
|
|
|
|
|
|
|
Payments Due by Period
|
||||||||||||||||||
(U.S. dollars in thousands)
|
Commitment/
Debt (1)
|
|
In Use/
Outstanding (2)
|
|
Year of
Expiry
|
|
Less than
1 Year
|
|
1 to 3
Years
|
|
3 to 5
Years
|
|
After 5
Years
|
||||||||||||
2.30% Senior Notes
|
300,000
|
|
|
297,679
|
|
|
2018
|
|
—
|
|
|
—
|
|
|
300,000
|
|
|
—
|
|
||||||
5.75% Senior Notes
|
400,000
|
|
|
397,307
|
|
|
2021
|
|
—
|
|
|
—
|
|
|
—
|
|
|
400,000
|
|
||||||
6.375% Senior Notes
|
350,000
|
|
|
348,975
|
|
|
2024
|
|
—
|
|
|
—
|
|
|
—
|
|
|
350,000
|
|
||||||
4.45% Subordinated Notes
|
500,000
|
|
|
492,292
|
|
|
2025
|
|
—
|
|
|
—
|
|
|
—
|
|
|
500,000
|
|
||||||
6.25% Senior Notes
|
325,000
|
|
|
323,140
|
|
|
2027
|
|
—
|
|
|
—
|
|
|
—
|
|
|
325,000
|
|
||||||
Variable Rate Subordinated Notes, face amount €7m
|
7,794
|
|
|
7,301
|
|
|
2035
|
|
—
|
|
|
—
|
|
|
—
|
|
|
7,794
|
|
||||||
Variable Rate Subordinated Notes, face amount $27m
|
27,000
|
|
|
25,259
|
|
|
2036
|
|
—
|
|
|
—
|
|
|
—
|
|
|
27,000
|
|
||||||
Variable Rate Subordinated Notes, face amount $31m
|
31,300
|
|
|
29,281
|
|
|
2036
|
|
—
|
|
|
—
|
|
|
—
|
|
|
31,300
|
|
||||||
Variable Rate Subordinated Notes, face amount $10m
|
9,800
|
|
|
9,168
|
|
|
2036
|
|
—
|
|
|
—
|
|
|
—
|
|
|
9,800
|
|
||||||
Variable Rate Subordinated Notes, face amount €11m
|
12,248
|
|
|
11,473
|
|
|
2036
|
|
—
|
|
|
—
|
|
|
—
|
|
|
12,248
|
|
||||||
5.25% Senior Notes
|
300,000
|
|
|
296,228
|
|
|
2043
|
|
—
|
|
|
—
|
|
|
—
|
|
|
300,000
|
|
||||||
5.5% Subordinated Notes
|
500,000
|
|
|
488,352
|
|
|
2045
|
|
—
|
|
|
—
|
|
|
—
|
|
|
500,000
|
|
||||||
|
$
|
2,763,142
|
|
|
$
|
2,726,455
|
|
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
300,000
|
|
|
$
|
2,463,142
|
|
▪
|
available revolving credit capacity of approximately
$1.0 billion
; and
|
▪
|
senior and subordinated unsecured notes of approximately
$2.6 billion
issued by XL-Cayman. These notes require XL-Cayman to pay a fixed rate of interest during their terms. As of
June 30, 2015
, the outstanding issues of unsecured notes is as follows:
|
▪
|
$300 million senior notes due December 2018, with a fixed coupon of 2.30%. The notes are listed on the New York Stock Exchange. The notes were issued at 99.69% of the face amount and net proceeds were $296.6 million. Related expenses of the offering amounted to $2.5 million.
|
▪
|
$400 million senior notes due October 2021, with a fixed coupon of 5.75%. The notes are listed on the New York Stock Exchange. The notes were issued at 100.0% of the face amount and net proceeds were $395.7 million. Related expenses of the offering amounted to $4.3 million.
|
▪
|
$350 million senior notes due November 2024, with a fixed coupon of 6.375%. The notes are publicly traded. The notes were issued at 100.0% of the face amount and net proceeds were $347.8 million. Related expenses of the offering amounted to $2.2 million.
|
▪
|
$500 million subordinated notes due March 2025, with a fixed coupon of 4.45%. The notes are listed on the New York Stock Exchange. The notes were issued at
99.633%
of the face amount and net proceeds were
$492.2 million
. Related expenses of the offering amounted to
$5.9 million
.
|
▪
|
$325 million senior notes due May 2027, with a fixed coupon of 6.25%. The notes are publicly traded. The notes were issued at 99.805% of the face amount and net proceeds were $321.9 million. Related expenses of the offering amounted to $2.5 million.
|
▪
|
$300 million senior notes due December 2043, with a fixed coupon of 5.25%. The notes are listed on the New York Stock Exchange. The notes were issued at 99.77% of the face amount and net proceeds were $296.0 million. Related expenses of the offering amounted to $3.3 million.
|
▪
|
$500 million subordinated notes due March 2045, with a fixed coupon of 5.5%. The notes are listed on the New York Stock Exchange. The notes were issued at
99.115%
of the face amount and net proceeds were
$488.4 million
. Related expenses of the offering amounted to
$7.2 million
.
|
▪
|
subordinated unsecured notes of approximately
$82.5 million
issued by Catlin Underwriting (formerly Wellington Underwriting plc). These notes require Catlin Underwriting to pay a variable rate of interest based on the rate on three-month deposits in U.S. dollars plus a margin of basis points. As of
June 30, 2015
, the outstanding subordinated unsecured notes are as follows:
|
▪
|
€7 million subordinated notes due March 2035, with the variable rate based on the three-month deposits in U.S. dollars plus a margin of 295 basis points. Interest is payable quarterly in arrears. The notes are redeemable at the discretion of the issuer.
|
▪
|
$27 million subordinated notes due March 2036, with the variable rate based on the three-month deposits in U.S. dollars plus a margin of 317 basis points. Interest is payable quarterly in arrears. The notes are redeemable at the discretion of the issuer.
|
▪
|
$31 million subordinated notes due September 2036, with the variable rate based on the three-month deposits in U.S. dollars plus a margin of 310 basis points. Interest is payable quarterly in arrears. The notes are redeemable at the discretion of the issuer.
|
▪
|
$10 million subordinated notes due September 2036, with the variable rate based on the three-month deposits in U.S. dollars plus a margin of 300 basis points. Interest is payable quarterly in arrears. The notes are redeemable at the discretion of the issuer.
|
▪
|
€11 million subordinated notes due September 2036, with the variable rate based on the three-month deposits in U.S. dollars plus a margin of 300 basis points. Interest is payable quarterly in arrears. The notes are redeemable at the discretion of the issuer.
|
|
|
|
|
|
|
|
Amount of Commitment Expiration by Period
|
||||||||||||||||||
(U.S. dollars in thousands)
|
Commitment/
Debt
|
|
In Use/
Outstanding
|
|
Year of
Expiry
|
|
Less than
1 Year
|
|
1 to 3
Years
|
|
3 to 5
Years
|
|
After 5
Years
|
||||||||||||
LOC Facility (1) (2)
|
$
|
1,000,000
|
|
|
$
|
23,871
|
|
|
2018
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
1,000,000
|
|
|
$
|
—
|
|
LOC Facility (2)
|
1,000,000
|
|
|
690,010
|
|
|
2018
|
|
—
|
|
|
—
|
|
|
1,000,000
|
|
|
—
|
|
||||||
LOC Facility
|
600,000
|
|
|
157,902
|
|
|
Continuous
|
|
—
|
|
|
—
|
|
|
—
|
|
|
600,000
|
|
||||||
LOC Facility
|
250,000
|
|
|
133,063
|
|
|
Continuous
|
|
—
|
|
|
—
|
|
|
—
|
|
|
250,000
|
|
||||||
LOC Facility (3)
|
250,000
|
|
|
250,000
|
|
|
2015
|
|
—
|
|
|
250,000
|
|
|
—
|
|
|
—
|
|
||||||
LOC Facility (3)
|
200,000
|
|
|
200,000
|
|
|
2015
|
|
200,000
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
LOC Facility (3)
|
100,000
|
|
|
100,000
|
|
|
2016
|
|
—
|
|
|
100,000
|
|
|
—
|
|
|
—
|
|
||||||
LOC Facility
|
150,000
|
|
|
122,000
|
|
|
Continuous
|
|
—
|
|
|
—
|
|
|
—
|
|
|
150,000
|
|
||||||
LOC Facility
|
450,000
|
|
|
202,805
|
|
|
2016
|
|
—
|
|
|
450,000
|
|
|
—
|
|
|
—
|
|
||||||
LOC Facility
|
100,000
|
|
|
100,000
|
|
|
2018
|
|
—
|
|
|
—
|
|
|
100,000
|
|
|
—
|
|
||||||
LOC Facility
|
100,000
|
|
|
100,000
|
|
|
2018
|
|
—
|
|
|
—
|
|
|
100,000
|
|
|
—
|
|
||||||
LOC Facility
|
100,000
|
|
|
100,000
|
|
|
2018
|
|
—
|
|
|
—
|
|
|
100,000
|
|
|
—
|
|
||||||
LOC Facility
|
75,000
|
|
|
75,000
|
|
|
2018
|
|
—
|
|
|
—
|
|
|
75,000
|
|
|
—
|
|
||||||
LOC Facility (4)
|
75,000
|
|
|
45,000
|
|
|
2016
|
|
—
|
|
|
75,000
|
|
|
—
|
|
|
—
|
|
||||||
LOC Facility
|
50,000
|
|
|
32,670
|
|
|
2017
|
|
—
|
|
|
50,000
|
|
|
—
|
|
|
—
|
|
||||||
LOC Facility (4)
|
75,000
|
|
|
49,005
|
|
|
2016
|
|
—
|
|
|
75,000
|
|
|
—
|
|
|
—
|
|
||||||
LOC Facility
|
230,000
|
|
|
147,063
|
|
|
Continuous
|
|
—
|
|
|
—
|
|
|
—
|
|
|
230,000
|
|
||||||
LOC Facility
|
50,000
|
|
|
48,887
|
|
|
Continuous
|
|
—
|
|
|
—
|
|
|
—
|
|
|
50,000
|
|
||||||
LOC Facility
|
—
|
|
|
8,072
|
|
|
2015
|
|
8,072
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Total LOC facilities
|
$
|
4,855,000
|
|
|
$
|
2,585,348
|
|
|
|
|
$
|
208,072
|
|
|
$
|
1,000,000
|
|
|
$
|
2,375,000
|
|
|
$
|
1,280,000
|
|
(1)
|
The unused portion of this credit facility of
$976.1 million
is available as revolving credit capacity as noted within our discussion of Debt above. See also the discussion regarding the Syndicated Credit Agreements (defined below).
|
(2)
|
We have the option to increase the size of the facilities under the Syndicated Credit Agreements by an additional $500 million across both such facilities.
|
(3)
|
We have the option to increase the maximum amount of letters of credit and revolving credit loans available under the 2013 Citi Agreements (defined below), with the lender's and issuing lender's consent.
|
(4)
|
The unused portions of these credit facilities of
$56.0 million
is available as revolving credit capacity as noted within our discussion of Debt above.
|
•
|
A $450 million unsecured multi-bank facility available for utilization by certain subsidiaries of the Company and guaranteed by Green Holdings. The facility has a termination date of December 31, 2016.
|
•
|
A bilateral facility available for utilization by Catlin-Bermuda, collateralized by pledged financial assets. As of
June 30, 2015
,
$147 million
of letters of credit were issued under this facility.
|
•
|
A bilateral facility available for utilization by Catlin Re Switzerland Ltd, collateralized by pledged financial assets. As of
June 30, 2015
,
$49 million
of letters of credit were issued under this facility.
|
•
|
Four unsecured bilateral facilities available for utilization by Catlin-Bermuda and guaranteed by Green Holdings for Funds at Lloyd's purposes, amounting to a total of $375 million. One of the facilities has an expiration date of December 31, 2017, while the other three have expiration dates of December 31, 2018.
|
•
|
An unsecured bilateral facility valued in Australian dollars at
A$50 million
, available for utilization by certain subsidiaries of Catlin and guaranteed by Green Holdings, for the purpose of providing collateral to Australian beneficiaries.
|
•
|
Two unsecured bilateral revolving credit and letter of credit facilities, available for utilization by certain subsidiaries of Catlin and guaranteed by Green Holdings amounting to $150 million.
|
•
|
A facility managed by Lloyd's, acting for Catlin Syndicate 2003. As of
June 30, 2015
,
$8 million
of letters of credit were issued under this facility.
|
•
|
Catlin, Inc. has letters of credit amounting to $1 million issued for the benefit of various parties.
|
ITEM 3.
|
|
QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK
|
(1)
|
The credit ratings above were principally determined based on the weighted average rating of the individual securities from Standard & Poor's, Moody's Investors Service and Fitch Ratings (where available). The credit ratings for U.S. Agency debt and related mortgage-backed securities, whether with implicit or explicit government support, reflect the credit quality rating of the U.S. government for the purpose of these calculations.
|
(2)
|
Excludes Life Funds Withheld Assets.
|
|
June 30, 2015
|
||||||||
Issuer (by Global Ultimate Parent) (1)(2)
(U.S. dollars in millions)
|
Weighted
Average
Credit Quality (3)
|
|
Amortized Cost
|
|
Unrealized Gain/
(Loss)
|
||||
WELLS FARGO & COMPANY
|
A+
|
|
$
|
183.7
|
|
|
$
|
3.1
|
|
JPMORGAN CHASE & CO.
|
A
|
|
167.2
|
|
|
2.9
|
|
||
ROYAL BANK OF CANADA
|
AA+
|
|
163.4
|
|
|
0.5
|
|
||
THE GOLDMAN SACHS GROUP, INC.
|
A-
|
|
153.5
|
|
|
3.3
|
|
||
THE BANK OF NOVA SCOTIA
|
AA+
|
|
145.7
|
|
|
0.4
|
|
||
WESTPAC BANKING CORPORATION
|
AA+
|
|
140.6
|
|
|
2.4
|
|
||
CITIGROUP INC.
|
A-
|
|
139.7
|
|
|
4.0
|
|
||
BANK OF AMERICA CORPORATION
|
A-
|
|
135.2
|
|
|
1.6
|
|
||
RABOBANK NEDERLAND
|
AA-
|
|
124.9
|
|
|
3.5
|
|
||
UBS GROUP AG
|
AA-
|
|
120.7
|
|
|
2.1
|
|
||
COMMONWEALTH BANK OF AUSTRALIA
|
AA
|
|
114.1
|
|
|
1.5
|
|
||
THE TORONTO-DOMINION BANK
|
AA+
|
|
109.9
|
|
|
—
|
|
||
HSBC HOLDINGS PLC
|
A+
|
|
108.1
|
|
|
(0.3
|
)
|
||
LLOYDS BANKING GROUP PLC
|
AA+
|
|
105.8
|
|
|
3.1
|
|
||
THE PNC FINANCIAL SERVICES GROUP, INC.
|
A
|
|
97.2
|
|
|
0.9
|
|
||
NATIONAL AUSTRALIA BANK LIMITED
|
AA+
|
|
91.4
|
|
|
1.2
|
|
||
SVENSKA HANDELSBANKEN AB
|
AA
|
|
77.4
|
|
|
0.7
|
|
||
BB&T CORPORATION
|
A
|
|
75.5
|
|
|
0.5
|
|
||
BANK OF MONTREAL
|
AA
|
|
74.8
|
|
|
1.0
|
|
||
BNP PARIBAS
|
A+
|
|
71.3
|
|
|
0.6
|
|
||
AMERICAN EXPRESS COMPANY
|
A
|
|
71.1
|
|
|
0.9
|
|
||
AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED
|
AA+
|
|
71.0
|
|
|
1.3
|
|
||
U.S. BANCORP
|
A+
|
|
69.7
|
|
|
0.3
|
|
||
DNB ASA
|
AA+
|
|
67.4
|
|
|
0.3
|
|
||
CREDIT SUISSE GROUP AG
|
A
|
|
66.0
|
|
|
1.4
|
|
||
MORGAN STANLEY
|
A-
|
|
64.7
|
|
|
(1.6
|
)
|
||
SPAREBANK 1 BOLIGKREDITT AS
|
AAA
|
|
62.1
|
|
|
(0.2
|
)
|
||
ING GROEP N.V.
|
AA-
|
|
59.6
|
|
|
1.6
|
|
||
NATIONAL BANK OF CANADA
|
AA+
|
|
59.3
|
|
|
0.5
|
|
||
BPCE
|
AA-
|
|
55.8
|
|
|
0.4
|
|
||
MITSUBISHI UFJ FINANCIAL GROUP, INC.
|
A
|
|
54.1
|
|
|
0.4
|
|
||
FEDERATION DES CAISSES DESJARDINS DU QUEBEC
|
AA
|
|
53.6
|
|
|
0.1
|
|
||
NORDEA BANK AB
|
AA-
|
|
51.6
|
|
|
—
|
|
(1)
|
Includes Covered Bonds.
|
(2)
|
Excludes Life Funds Withheld Assets.
|
(3)
|
The credit rating for each asset reflected above was principally determined based on the weighted average rating of the individual securities from Standard & Poor's, Moody's Investors Service and Fitch Ratings (where available). U.S. Agency debt and related mortgage-backed securities, whether with implicit or explicit government support, reflect the credit quality rating of the U.S. government for the purpose of these calculations
|
Top 10 Corporate Financial Holdings (1)(2)
|
|
Percentage of Aggregate
Fixed Income Portfolio
|
WELLS FARGO & COMPANY
|
|
0.6%
|
JPMORGAN CHASE & CO.
|
|
0.5%
|
ROYAL BANK OF CANADA
|
|
0.5%
|
THE GOLDMAN SACHS GROUP, INC.
|
|
0.5%
|
CITIGROUP INC.
|
|
0.5%
|
THE BANK OF NOVA SCOTIA
|
|
0.5%
|
WESTPAC BANKING CORPORATION
|
|
0.5%
|
BANK OF AMERICA CORPORATION
|
|
0.4%
|
RABOBANK NEDERLAND
|
|
0.4%
|
UBS GROUP AG
|
|
0.4%
|
(1)
|
Corporate issuers include Covered Bonds.
|
(2)
|
Excludes Life Funds Withheld Assets.
|
Top 5 Sector Exposures (1)
(U.S. dollars in millions)
|
|
Carrying Value
|
|
Percentage of
Aggregate
Fixed Income
Portfolio
|
|||
Financials (2)
|
|
$
|
3,167.1
|
|
|
10.0
|
%
|
Consumer, non-Cyclical
|
|
1,869.4
|
|
|
5.9
|
%
|
|
Industrial
|
|
924.0
|
|
|
2.9
|
%
|
|
Consumer, Cyclical
|
|
918.1
|
|
|
2.9
|
%
|
|
Utilities
|
|
843.6
|
|
|
2.7
|
%
|
|
Total
|
|
$
|
7,722.2
|
|
|
24.4
|
%
|
(1)
|
Excludes Life Funds Withheld Assets.
|
(2)
|
Government-guaranteed securities and Covered Bonds have been excluded from the above figures.
|
(U.S. dollars in millions)
|
Carrying Value (1)
|
|
Percentage of
Structured Portfolio
|
|||
Agency RMBS
|
$
|
3,955.1
|
|
|
48.6
|
%
|
Other ABS (2)
|
2,376.3
|
|
|
29.2
|
%
|
|
CMBS
|
936.3
|
|
|
11.5
|
%
|
|
Core CDO (non-ABS CDOs and CLOs)
|
493.1
|
|
|
6.1
|
%
|
|
Non-Agency RMBS
|
374.5
|
|
|
4.6
|
%
|
|
Total
|
$
|
8,135.3
|
|
|
100.0
|
%
|
(1)
|
Excludes Life Funds Withheld Assets.
|
(2)
|
Includes Covered Bonds.
|
(U.S. dollars in millions)
|
Interest
Rate
Risk (1)
|
|
Equity
Risk
(2)
|
|
Absolute
Spread
Risk (3)
|
|
Relative
Spread
Risk (4)
|
|
VaR
(5) (6)
|
||||||||||
Total Investment Portfolio (7)
|
$
|
(1,134.9
|
)
|
|
$
|
(285.6
|
)
|
|
$
|
(1,081.6
|
)
|
|
$
|
(79.3
|
)
|
|
$
|
1,084.6
|
|
(I) Fixed Income Portfolio
|
(1,129.9
|
)
|
|
—
|
|
|
(1,041.0
|
)
|
|
(74.6
|
)
|
|
1,057.2
|
|
|||||
(a) Cash & Short Term Investments
|
(14.7
|
)
|
|
—
|
|
|
(9.8
|
)
|
|
(0.4
|
)
|
|
5.4
|
|
|||||
(b) Total Government Related
|
(486.1
|
)
|
|
—
|
|
|
(302.4
|
)
|
|
(9.1
|
)
|
|
431.7
|
|
|||||
(c) Total Corporate Credit
|
(364.7
|
)
|
|
—
|
|
|
(403.3
|
)
|
|
(40.7
|
)
|
|
374.9
|
|
|||||
(d) Total Structured Credit
|
(264.4
|
)
|
|
—
|
|
|
(325.5
|
)
|
|
(24.4
|
)
|
|
267.8
|
|
|||||
(II) Non-Fixed Income Portfolio
|
—
|
|
|
(285.6
|
)
|
|
—
|
|
|
—
|
|
|
352.7
|
|
|||||
(e) Equity Portfolio
|
—
|
|
|
(113.8
|
)
|
|
—
|
|
|
—
|
|
|
186.9
|
|
|||||
(f) Alternative Portfolio
|
—
|
|
|
(91.0
|
)
|
|
—
|
|
|
—
|
|
|
141.6
|
|
|||||
(g) Private Investments
|
—
|
|
|
(80.8
|
)
|
|
—
|
|
|
—
|
|
|
61.5
|
|
(1)
|
The estimated impact on the fair value of our fixed income portfolio of an immediate hypothetical +100 bps adverse parallel shift in global bond curves.
|
(2)
|
The estimated impact on the fair value of our investment portfolio of an immediate hypothetical -10% change in the value of equity exposures in our equity portfolio, certain equity-sensitive alternative investments and private equity investments. This includes our estimate of equity risk embedded in the alternatives and private investment portfolio with such estimates utilizing market exposures provided to us by certain individual fund investments, internal statistical analyses, and/or various assumptions regarding illiquidity and concentrations.
|
(3)
|
The estimated impact on the fair value of our fixed income portfolio of an immediate hypothetical +100 basis point increase in all global government related, corporate and structured security spreads to which our fixed income portfolio is exposed. This excludes exposure to credit spreads in our alternative investments, private investments and counterparty exposure.
|
(4)
|
The estimated impact on the fair value of our fixed income portfolio of an immediate hypothetical +10% increase in all global government related, corporate and structured security spreads to which our fixed income portfolio is exposed. This excludes exposure to credit spreads in our alternative investments, private investments and counterparty exposure.
|
(5)
|
The VaR results are based on a 95% confidence interval, with a one-year holding period, excluding foreign exchange rate risk. Our investment portfolio VaR as of
June 30, 2015
is not necessarily indicative of future VaR levels as these are based on statistical estimates of possible price changes and, therefore, exclude other sources of investment return such as coupon and dividend income.
|
(6)
|
The VaR results are the standalone VaRs, based on the prescribed methodology, for each component of our Total Investment Portfolio. The standalone VaRs of the individual components are non-additive, with the difference between the summation of the individual component VaRs and their respective aggregations being due to diversification benefits across the individual components. In the case of the VaR results for our Total Investment Portfolio, the results also include the impact associated with our Business and Other investments.
|
(7)
|
Our Total Investment Portfolio also includes our Business and Other investments that do not form part of our Fixed Income Portfolio or Non-Fixed Income Portfolio. The individual results reported in the above table for our Total Investment Portfolio therefore represent the aggregate impact on our Fixed Income Portfolio, Non-Fixed Income Portfolio and the majority of our Other investments.
|
|
Percentage of
Aggregated Fixed Income Portfolio (1) |
|
AAA
|
11.4
|
%
|
AA
|
31.3
|
%
|
A
|
31.0
|
%
|
BBB
|
25.1
|
%
|
BB or Below
|
1.2
|
%
|
Total
|
100.0
|
%
|
(1)
|
The credit ratings above were principally determined based on the weighted average rating of the individual securities from Standard & Poor's, Moody's Investors Service and Fitch Ratings (where available). The credit ratings for U.S. Agency debt and related mortgage-backed securities, whether with implicit or explicit government support, reflect the credit quality rating of the U.S. government for the purpose of these calculations.
|
Top 5 Sector Exposures
(U.S. dollars in millions)
|
|
Carrying Value
|
|
Percentage of
Aggregate
Fixed Income
Portfolio
|
|||
Financials (1)
|
|
$
|
722.7
|
|
|
14.5
|
%
|
Utilities
|
|
614.6
|
|
|
12.3
|
%
|
|
Consumer, non-Cyclical
|
|
374.0
|
|
|
7.5
|
%
|
|
Communications
|
|
237.2
|
|
|
4.8
|
%
|
|
Industrial
|
|
235.2
|
|
|
4.7
|
%
|
|
Total
|
|
$
|
2,183.7
|
|
|
43.8
|
%
|
(1)
|
Government-guaranteed securities and Covered Bonds have been excluded from the above figures.
|
ITEM 4.
|
|
CONTROLS AND PROCEDURES
|
ITEM 1.
|
|
LEGAL PROCEEDINGS
|
ITEM 1A.
|
|
RISK FACTORS
|
ITEM 2.
|
|
UNREGISTERED SALES OF EQUITY SECURITIES AND USE OF PROCEEDS
|
|
Total Number
of Shares
Purchased(1)
|
|
Average
Price Paid
per Share
|
|
Total Number
of Shares
Purchased as
Part of Publicly
Announced
Plans or
Programs
|
|
Approximate Dollar
Value of Shares
that May Yet Be
Purchased
Under the Plans or
Programs (1) (2)
|
||||||
April 1, 2015 to April 30, 2015
|
—
|
|
|
$
|
—
|
|
|
—
|
|
|
$
|
267.6
|
million
|
May 1, 2015 to May 31, 2015
|
1,255,312
|
|
|
$
|
37.35
|
|
|
1,255,312
|
|
|
$
|
220.7
|
million
|
June 1, 2015 to June 30, 2015
|
1,672,261
|
|
|
$
|
37.74
|
|
|
1,672,261
|
|
|
$
|
157.6
|
million
|
Total
|
2,927,573
|
|
|
$
|
37.57
|
|
|
2,927,573
|
|
|
$
|
157.6
|
million
|
(1)
|
Shares purchased in connection with the vesting of restricted shares granted under our restricted stock plan do not represent shares purchased as part of publicly announced plans or programs. All such purchases were made in connection with satisfying tax withholding obligations of those employees.
|
(2)
|
For information regarding our share buyback activity see Part I, Item 2, "Management's Discussion and Analysis of Financial Condition and Results of Operations - Other Key Focuses of Management - Capital Management - Buybacks of Ordinary Shares," included herein.
|
*
|
Filed herewith.
|
Date:
|
August 10, 2015
|
|
|
|
XL Group plc
|
|
|
(Registrant)
|
|
|
/s/ MICHAEL S. MCGAVICK
|
|
|
|
|
|
|
|
|
Name: Michael S. McGavick
|
|
|
Title: Chief Executive Officer and Director
|
|
|
XL Group plc
|
|
|
|
Date:
|
August 10, 2015
|
|
|
|
/s/ PETER R. PORRINO
|
|
|
|
|
|
|
|
|
Name: Peter R. Porrino
|
|
|
Title: Executive Vice President and Chief Financial Officer
|
|
|
XL Group plc
|
|
|
O'Hara House
|
|
|
One Bermudiana Road
|
|
|
|
Hamilton HM 08
|
|
|
|
PO Box HM 2245
|
|
|
|
Hamilton HM JX
|
|
|
|
Bermuda
|
|
|
|
Phone
|
+ 1 441 292 8515
|
|
|
Fax
|
+ 1 441 295 4846
|
|
|
xlgroup.com
|
|
1.
|
Duties
|
2.
|
Compensation
|
(a)
|
Base Salary
:
|
(b)
|
Annual Incentive Plan
|
(c)
|
Long Term Incentives
:
|
(d)
|
Withholdings
:
|
3.
|
Benefits
|
(a)
|
Medical, Life and LTD
:
|
(b)
|
Pension
:
|
(c)
|
Tax Preparation & Financial Consultation
:
|
(d)
|
Officers’ Annual Medical
:
|
(e)
|
Expenses
:
|
4.
|
Hours of Work
|
5.
|
Vacation Entitlement
|
6.
|
Notice and Termination
|
(a)
|
at any time or from time to time thereafter upon the request of the Company, resign without claim for compensation from all offices held in the Company or any of the companies in the XL Group;
|
(b)
|
deliver to the Board all Company property including Company ID entry cards, motor cars, car keys, credit cards and office entry keys, and if you should fail to do so the Company is hereby irrevocably authorised to appoint some person in your name and on your behalf to sign any documents and do any things necessary or requisite to give effect thereto.
|
7.
|
Confidential Information; Intellectual Property
|
8.
|
Executive Severance Benefit Plan
|
9.
|
Post-Termination Restrictions
|
(a)
|
Non-Competition and Non-Solicitation.
|
(i)
|
Restriction on Work for a Competitor/Solicitation of Business:
|
(1)
|
You will not become employed by or associated with any entity, whether as a principal, advisor, partner, employee, agent, consultant, shareholder (other than as a shareholder of less than 5% of any publicly traded company) or in any other relationship or capacity, paid or unpaid, that is actively engaged in selling or providing, either directly or indirectly, in the United States, Bermuda, Greater London, or the Republic of Ireland, any products or services that are the same as or similar to insurance and reinsurance products or services that as of the date of your termination are being provided in those locations either directly or indirectly by the Company or any other entity in the XL Group.
|
(2)
|
You will not, directly or indirectly contact, seek, entice, solicit, induce, persuade, divert or attempt to divert any business away from the XL Group, including any former, present or prospective customer, client, insured, vendor, supplier, investor, or business partner of which you have personal knowledge or with whom you are personally involved during your employment at the Company, with respect to any existing or proposed contractual or business arrangement with the XL Group, insurance or reinsurance product or service sold or provided by or to the XL Group during your employment, or any such product or service that is under development by the XL Group at the time your employment ends. It is presumed that by reason of your membership on the Leadership Team of XL Group that you have actual knowledge of any material business arrangement or contract, or any insurance or reinsurance products or services, whether currently provided or under development during, your employment. The restrictions in this paragraph shall not apply if you are expressly permitted to engage in the otherwise prohibited activity, in writing, by the Company, in its sole discretion, following its receipt of your written request before commencement of the activity.
|
(ii)
|
Restriction on the Solicitation of Employees:
|
(b)
|
Equitable Relief
:
|
(c)
|
For the purposes of clauses 7 and 9 of this Appointment Letter, references to XL Group shall include Catlin Group Limited and its subsidiaries and affiliates, which will be part of the XL Group from the completion of the Acquisition.
|
10.
|
Representations and Warranties – Disclosure of Interests
|
11.
|
General Conditions
|
12.
|
Notices
|
13.
|
Prior Agreements, Assignment and Modification
|
14.
|
Work Eligibility
|
15.
|
Governing Law and Jurisdiction
|
16.
|
Acceptance of Offer
|
/s/ Eileen Whelley
|
|
/s/ Kim Wilkerson
|
|
|
|
Eileen Whelley
|
|
Kim Wilkerson
|
Chief Human Resources Officer
|
|
(for and on behalf of
|
XL Group plc (for and on behalf of XL Group plc)
|
|
XL Services (Bermuda) Ltd)
|
|
|
|
/s/ Stephen Catlin
|
|
5/27/15
|
Stephen Catlin
|
|
Date
|
XL GROUP PLC,
|
as an Account Party and a Guarantor
|
|
|
By
/s/ Peter Porrino
|
Name: Peter Porrino
|
Title: EVP + CFO
|
|
U.S. Federal Tax Identification No.
: 98-0665416
|
XLIT LTD.,
|
as an Account Party and a Guarantor
|
|
|
By
/s/ Ronan Redmond
|
Name: Ronan Redmond
|
Title: Director
|
|
U.S. Federal Tax Identification No.
: 98-0191089
|
X.L. AMERICA, INC.,
|
as an Account Party and a Guarantor
|
|
|
By
/s/ Richard G. McCarty
|
Name: Richard G. McCarty
|
Title: Senior Vice President and Secretary
|
|
U.S. Federal Tax Identification No.
: 06-1516268
|
XL INSURANCE COMPANY SE,
|
as an Account Party
|
|
|
By
/s/ Graham Brady
|
Name: Graham Brady
|
Title: Company Secretary
|
|
U.S. Federal Tax Identification No.
: 30-0479685
|
XL INSURANCE SWITZERLAND LTD,
|
as an Account Party
|
|
|
By
/s/ Daniel Maurer
|
Name: Daniel Maurer
|
Title: Chairman
|
|
By
/s/ Wouter Moritz
|
Name: Wouter Moritz
|
Title: Director
|
|
U.S. Federal Tax Identification No.
: 30-0479676
|
XL LIFE LTD,
|
as an Account Party and a Guarantor
|
|
|
By
/s/ Mark Twite
|
Name: Mark Twite
|
Title: Director
|
|
U.S. Federal Tax Identification No.
: 98-0228561
|
XL INSURANCE (BERMUDA) LTD,
|
as an Account Party and a Guarantor
|
|
|
By
/s/ C. Stanley Lee
|
Name: C. Stanley Lee
|
Title: Director
|
|
U.S. Federal Tax Identification No.
: 98-0354869
|
XL RE LTD,
|
as an Account Party and a Guarantor
|
|
|
By
/s/ Mark Twite
|
Name: Mark Twite
|
Title: Director
|
|
U.S. Federal Tax Identification No.
: 98-0351953
|
XL RE EUROPE SE,
|
as an Account Party
|
|
|
By /
s/ Alexandre Barrage
|
Name: Alexandre Barrage
|
Title: Chief Financial Officer
|
|
U.S. Federal Tax Identification No.
: 30-0479679
|
LENDERS
|
|
JPMORGAN CHASE BANK, N.A.,
|
individually and as Administrative Agent
|
|
By
/s/ Kristen M. Murphy
|
Name: Kristen M. Murphy
|
Title: Vice President
|
|
|
|
|
DEUTSCHE BANK AG NEW YORK BRANCH
|
|
|
By
/s/ John S. McGill
|
Name: John S. McGill
|
Title: Director
|
|
|
|
By
/s/ Virginia Cosenza
|
Name: Virginia Cosenza
|
Title: Vice President
|
|
|
THE ROYAL BANK OF SCOTLAND PLC
|
|
|
By
/s/ Karen Beatty
|
Name: Karen Beatty
|
Title: Director
|
|
|
|
|
|
|
|
|
Barclays Bank PLC
|
|
|
By
/s/ Alicia Borys
|
Name: Alicia Borys
|
Title: Vice President
|
|
|
|
|
|
|
|
|
CREDIT AGRICOLE CORPORATE &
|
INVESTMENT BANK
|
|
By
/s/ Jorge Fries
|
Name: Jorge Fries
|
Title: Managing Director
|
|
By
/s/ Juliette Cohen
|
Name: Juliette Cohen
|
Title: Managing Director
|
|
|
|
|
GOLDMAN SACHS BANK USA
|
|
|
By
/s/ Jamie Minieri
|
Name: Jamie Minieri
|
Title: Authorized Signatory
|
|
|
|
HSBC Bank, USA, National Association
|
|
|
By
/s/ Richard Herder
|
Name: Richard Herder
|
Title: Managing Director
|
|
|
|
ING BANK N.V., LONDON BRANCH
|
|
|
By
/s/ M Groen
|
Name: M Groen
|
Title: Director
|
|
|
By
/s/ M E R Sharman
|
Name: M E R Sharman
|
Title: Managing Director
|
|
|
Lloyds Bank plc
|
|
|
By
/s/ Julia R. Franklin
|
Name: Julia R. Franklin - F014
|
Title: Vice President
|
|
|
By
/s/ Daven Popat
|
Name: Daven Popat - P003
|
Title: Senior Vice President
|
|
THE BANK OF NEW YORK MELLON
|
|
|
By
/s/ Michael Pensari
|
Name: Michael Pensari
|
Title: Managing Director
|
|
The Bank of Tokyo Mitsubishi UFJ, LTD
|
|
|
By
/s/ O Cortez
|
Name: O. Cortez
|
Title: Vice President
|
|
BNP Paribas
|
|
|
By
/s/ Nair P. Raghu
|
Name: Nair P. Raghu
|
Title: Vice President
|
|
|
By
/s/ Riad Jafarov
|
Name: Riad Jafarov
|
Title: Vice President
|
COMMERZBANK AG, NEW YORK BRANCH
|
|
|
By
/s/ Barry S. Feigenbaum
|
Name: Barry S. Feigenbaum
|
Title: Managing Director
|
|
|
By
/s/ Christoph Zimmermann
|
Name: Christoph Zimmermann
|
Title: Vice President
|
MORGAN STANLEY BANK, N.A.
|
|
|
By
/s/ Harry Comninellis
|
Name: Harry Comninellis
|
Title: Authorized Signatory
|
|
|
WELLS FARGO BANK, NATIONAL ASSOCIATION
|
|
|
By
/s/ Grainne Pergolini
|
Name: Grainne Pergolini
|
Title: Managing Director
|
|
|
1.
|
Letter of Credit Facility Agreement dated 4 April 2013 between Catlin Group Limited and Catlin Insurance Company Ltd. (as Original Guarantors) and Catlin Insurance Company Ltd, Catlin Insurance Company (UK) Limited, Catlin Re Schweiz AG and Catlin Underwriting Agencies Limited (as Original Borrowers) and Barclays Bank Plc, Credit Suisse AG, JPMorgan Chase Bank, N.A., London Branch and Citibank Europe Plc (as Agent) in the sum of U.S.$450,000,000.
|
2.
|
An unsecured Facilities Agreement dated 22 January 2014 between Catlin Group Limited and Catlin Insurance Company Ltd. (as Original Guarantors) and Catlin Underwriting Agencies Limited, Catlin Insurance Company Ltd. and Catlin Re Schweiz AG (as Original Borrowers) and Commonwealth Bank of Australia, London Branch in the sum of U.S.$75,000,000.
|
3.
|
An unsecured Facilities Agreement (as Amended and Restated) dated 15 January 2014 between Catlin Group Limited and Catlin Insurance Company Ltd. (as Original Guarantors) and Catlin Underwriting Agencies Limited, Catlin Insurance Company Ltd. and Catlin Re Schweiz AG (as Original Borrowers) and Wells Fargo Bank, N.A. in the sum of U.S.$75,000,000.
|
4.
|
An unsecured Facility Agreement dated 18 December 2013 between Catlin Group Limited and Catlin Insurance Company Ltd. (as Original Guarantors) and Catlin Insurance Company Ltd. (as Original Borrower) and National Australia Bank Limited in the sum of U.S.$100,000,000.
|
5.
|
An unsecured Facility Agreement dated 21 November 2013 between Catlin Group Limited and Catlin Insurance Company Ltd. (as Original Guarantors) and Catlin Insurance Company Ltd. (as Original Borrower) and ING Bank N.V., London Branch (as the Bank) in the sum of U.S.$100,000,000.
|
6.
|
An unsecured Facility Agreement dated 21 November 2013 between Catlin Group Limited and Catlin Insurance Company Ltd. (as Original Guarantors) and Catlin Insurance Company Ltd. (as Original Borrower) and Standard Chartered Bank in the sum of U.S.$100,000,000.
|
7.
|
An unsecured Facility Agreement dated 26 November 2013 between Catlin Group Limited and Catlin Insurance Company Ltd. (as Original Guarantors) and Catlin Insurance Company Ltd. (as Original Borrower) and The Royal Bank of Scotland Plc in the sum of U.S.$75,000,000.
|
8.
|
An unsecured Facility Agreement dated 30 June 2014 between Catlin Group Limited and Catlin Insurance Company Ltd. (as Original Guarantors) and Catlin Insurance Company Ltd. and Catlin Underwriting Agencies Limited (as Original Borrowers) and the National Australia Bank Limited in the sum of A$50,000,000.
|
9.
|
A secured Facility Agreement dated 28 July 2011 between Catlin Re Switzerland Ltd and Citibank, N.A. and Citibank Europe Plc in the sum of U.S.$50,000,000.
|
10.
|
A secured Facility Agreement dated 9 November 2010 between Catlin Insurance Company Ltd. and Citibank Europe Plc in the sum of U.S.$230,000,000.
|
11.
|
XLIT Ltd’s $500 million aggregate principal amount of 4.450% subordinated notes due 2025 and $500 million aggregate principal amount of 5.500% subordinated notes due 2045.
|
12.
|
Wellington Underwriting PLC’s (A) US$27,000,000 Floating Rate Subordinated Notes due 2036; (B) €7,000,000 Floating Rate Subordinated Notes due 2035; (C) US$31,300,000 Floating Rate Subordinated Notes due 2036; (D) US$9,800,000 Floating Rate Subordinated Notes due 2036 and (E) €11,000,000 Floating Rate Subordinated Notes due 2036.
|
13.
|
Catlin Finance (UK) Limited’s US$475,000,000 Long-Dated Subordinated Guaranteed Loan Notes subject to and with the benefit of a loan note deed made by way of deed poll by Catlin Finance (UK) Limited, dated June 27, 2007, and an irrevocable guarantee agreement made by way of deed poll by Catlin (North American) Holdings Limited dated June 27, 2007.
|
1.
|
Reinsurance Deposit and Securities Portfolio Security Agreement by and between Catlin Re Switzerland Ltd, as Chargor, Citibank, N.A., as Custodian, and Citibank Europe Plc, as Bank, dated July 28, 2011.
|
2.
|
Reinsurance Deposit and Securities Portfolio Security Agreement by and between Catlin Insurance Company Ltd., as Chargor, Citibank, N.A., as Custodian, and Citibank Europe Plc, as Bank, dated November 9, 2010.
|
XL GROUP PLC,
|
as an Account Party and a Guarantor
|
|
|
By
/s/ Peter Porrino
|
Name: Peter Porrino
|
Title: EVP + CFO
|
|
U.S. Federal Tax Identification No.
: 98-0665416
|
XLIT LTD.,
|
as an Account Party and a Guarantor
|
|
|
By
/s/ Ronan Redmond
|
Name: Ronan Redmond
|
Title: Director
|
|
U.S. Federal Tax Identification No.
: 98-0191089
|
X.L. AMERICA, INC.,
|
as an Account Party and a Guarantor
|
|
|
By
/s/ Richard G. McCarty
|
Name: Richard G. McCarty
|
Title: Senior Vice President and Secretary
|
|
U.S. Federal Tax Identification No.
: 06-1516268
|
XL INSURANCE COMPANY SE,
|
as an Account Party
|
|
|
By
/s/ Graham Brady
|
Name: Graham Brady
|
Title: Company Secretary
|
|
U.S. Federal Tax Identification No.
: 30-0479685
|
XL INSURANCE SWITZERLAND LTD,
|
as an Account Party
|
|
|
By
/s/ Daniel Maurer
|
Name: Daniel Maurer
|
Title: Chairman
|
|
By
/s/ Wouter Moritz
|
Name: Wouter Moritz
|
Title: Director
|
|
U.S. Federal Tax Identification No.
: 30-0479676
|
XL LIFE LTD,
|
as an Account Party and a Guarantor
|
|
|
By
/s/ Mark Twite
|
Name: Mark Twite
|
Title: Director
|
|
U.S. Federal Tax Identification No.
: 98-0228561
|
XL INSURANCE (BERMUDA) LTD,
|
as an Account Party and a Guarantor
|
|
|
By
/s/ C. Stanley Lee
|
Name: C. Stanley Lee
|
Title: Director
|
|
U.S. Federal Tax Identification No.
: 98-0354869
|
XL RE LTD,
|
as an Account Party and a Guarantor
|
|
|
By
/s/ Mark Twite
|
Name: Mark Twite
|
Title: Director
|
|
U.S. Federal Tax Identification No.
: 98-0351953
|
XL RE EUROPE SE,
|
as an Account Party
|
|
|
By
/s/ Alexandre Barrage
|
Name: Alexandre Barrage
|
Title: Chief Financial Officer
|
|
U.S. Federal Tax Identification No.
: 30-0479679
|
LENDERS
|
|
JPMORGAN CHASE BANK, N.A.,
|
individually and as Administrative Agent
|
|
By
/s/ Kristen M. Murphy
|
Name: Kristen M. Murphy
|
Title: Vice President
|
|
|
|
|
DEUTSCHE BANK AG NEW YORK BRANCH
|
|
|
By
/s/ John S. McGill
|
Name: John S. McGill
|
Title: Director
|
|
|
|
By
/s/ Virginia Cosenza
|
Name: Virginia Cosenza
|
Title: Vice President
|
|
|
THE ROYAL BANK OF SCOTLAND PLC
|
|
|
By
/s/ Karen Beatty
|
Name: Karen Beatty
|
Title: Director
|
|
|
|
|
|
|
|
|
Barclays Bank PLC
|
|
|
By
/s/ Alicia Borys
|
Name: Alicia Borys
|
Title: Vice President
|
|
|
|
|
|
|
|
|
CREDIT AGRICOLE CORPORATE &
|
INVESTMENT BANK
|
|
By
/s/ Jorge Fries
|
Name: Jorge Fries
|
Title: Managing Director
|
|
By
/s/ Juliette Cohen
|
Name: Juliette Cohen
|
Title: Managing Director
|
|
|
|
|
GOLDMAN SACHS BANK USA
|
|
|
By
/s/ Jamie Minieri
|
Name: Jamie Minieri
|
Title: Authorized Signatory
|
|
|
|
HSBC Bank, USA, National Association
|
|
|
By
/s/ Richard Herder
|
Name: Richard Herder
|
Title: Managing Director
|
|
|
|
ING BANK N.V., LONDON BRANCH
|
|
|
By
/s/ M Groen
|
Name: M Groen
|
Title: Director
|
|
|
By
/s/ M E R Sharman
|
Name: M E R Sharman
|
Title: Managing Director
|
|
|
Lloyds Bank plc
|
|
|
By
/s/ Julia R. Franklin
|
Name: Julia R. Franklin - F014
|
Title: Vice President
|
|
|
By
/s/ Daven Popat
|
Name: Daven Popat - P003
|
Title: Senior Vice President
|
|
THE BANK OF NEW YORK MELLON
|
|
|
By
/s/ Michael Pensari
|
Name: Michael Pensari
|
Title: Managing Director
|
|
The Bank of Tokyo Mitsubishi UFJ, LTD
|
|
|
By
/s/ O Cortez
|
Name: O. Cortez
|
Title: Vice President
|
|
BNP Paribas
|
|
|
By
/s/ Nair P. Raghu
|
Name: Nair P. Raghu
|
Title: Vice President
|
|
|
By
/s/ Riad Jafarov
|
Name: Riad Jafarov
|
Title: Vice President
|
COMMERZBANK AG, NEW YORK BRANCH
|
|
|
By
/s/ Barry S. Feigenbaum
|
Name: Barry S. Feigenbaum
|
Title: Managing Director
|
|
|
By
/s/ Christoph Zimmermann
|
Name: Christoph Zimmermann
|
Title: Vice President
|
MORGAN STANLEY BANK, N.A.
|
|
|
By
/s/ Harry Comninellis
|
Name: Harry Comninellis
|
Title: Authorized Signatory
|
|
|
WELLS FARGO BANK, NATIONAL ASSOCIATION
|
|
|
By
/s/ Grainne Pergolini
|
Name: Grainne Pergolini
|
Title: Managing Director
|
|
|
1.
|
Letter of Credit Facility Agreement dated 4 April 2013 between Catlin Group Limited and Catlin Insurance Company Ltd. (as Original Guarantors) and Catlin Insurance Company Ltd, Catlin Insurance Company (UK) Limited, Catlin Re Schweiz AG and Catlin Underwriting Agencies Limited (as Original Borrowers) and Barclays Bank Plc, Credit Suisse AG, JPMorgan Chase Bank, N.A., London Branch and Citibank Europe Plc (as Agent) in the sum of U.S.$450,000,000.
|
2.
|
An unsecured Facilities Agreement dated 22 January 2014 between Catlin Group Limited and Catlin Insurance Company Ltd. (as Original Guarantors) and Catlin Underwriting Agencies Limited, Catlin Insurance Company Ltd. and Catlin Re Schweiz AG (as Original Borrowers) and Commonwealth Bank of Australia, London Branch in the sum of U.S.$75,000,000.
|
3.
|
An unsecured Facilities Agreement (as Amended and Restated) dated 15 January 2014 between Catlin Group Limited and Catlin Insurance Company Ltd. (as Original Guarantors) and Catlin Underwriting Agencies Limited, Catlin Insurance Company Ltd. and Catlin Re Schweiz AG (as Original Borrowers) and Wells Fargo Bank, N.A. in the sum of U.S.$75,000,000.
|
4.
|
An unsecured Facility Agreement dated 18 December 2013 between Catlin Group Limited and Catlin Insurance Company Ltd. (as Original Guarantors) and Catlin Insurance Company Ltd. (as Original Borrower) and National Australia Bank Limited in the sum of U.S.$100,000,000.
|
5.
|
An unsecured Facility Agreement dated 21 November 2013 between Catlin Group Limited and Catlin Insurance Company Ltd. (as Original Guarantors) and Catlin Insurance Company Ltd. (as Original Borrower) and ING Bank N.V., London Branch (as the Bank) in the sum of U.S.$100,000,000.
|
6.
|
An unsecured Facility Agreement dated 21 November 2013 between Catlin Group Limited and Catlin Insurance Company Ltd. (as Original Guarantors) and Catlin Insurance Company Ltd. (as Original Borrower) and Standard Chartered Bank in the sum of U.S.$100,000,000.
|
7.
|
An unsecured Facility Agreement dated 26 November 2013 between Catlin Group Limited and Catlin Insurance Company Ltd. (as Original Guarantors) and Catlin Insurance Company Ltd. (as Original Borrower) and The Royal Bank of Scotland Plc in the sum of U.S.$75,000,000.
|
8.
|
An unsecured Facility Agreement dated 30 June 2014 between Catlin Group Limited and Catlin Insurance Company Ltd. (as Original Guarantors) and Catlin Insurance Company Ltd. and Catlin Underwriting Agencies Limited (as Original Borrowers) and the National Australia Bank Limited in the sum of A$50,000,000.
|
9.
|
A secured Facility Agreement dated 28 July 2011 between Catlin Re Switzerland Ltd and Citibank, N.A. and Citibank Europe Plc in the sum of U.S.$50,000,000.
|
10.
|
A secured Facility Agreement dated 9 November 2010 between Catlin Insurance Company Ltd. and Citibank Europe Plc in the sum of U.S.$230,000,000.
|
11.
|
XLIT Ltd’s $500 million aggregate principal amount of 4.450% subordinated notes due 2025 and $500 million aggregate principal amount of 5.500% subordinated notes due 2045.
|
12.
|
Catlin Finance (UK) Limited’s US$475,000,000 Long-Dated Subordinated Guaranteed Loan Notes subject to and with the benefit of a loan note deed made by way of deed poll by Catlin Finance (UK) Limited, dated June 27, 2007, and an irrevocable guarantee agreement made by way of deed poll by Catlin (North American) Holdings Limited dated June 27, 2007.
|
1.
|
Reinsurance Deposit and Securities Portfolio Security Agreement by and between Catlin Re Switzerland Ltd, as Chargor, Citibank, N.A., as Custodian, and Citibank Europe Plc, as Bank, dated July 28, 2011.
|
2.
|
Reinsurance Deposit and Securities Portfolio Security Agreement by and between Catlin Insurance Company Ltd., as Chargor, Citibank, N.A., as Custodian, and Citibank Europe Plc, as Bank, dated November 9, 2010.
|
1.
|
Section 2(a) of the Letter of Assignment is amended to remove “USD $1,000,000” and replace it with “USD $1,300,000” with effect from 1 September 2015.
|
2.
|
Section 2(b) of the Letter of Assignment is amended to remove the final sentence of that sub-section in its entirety and replace it with the following sentence: “Your target bonus opportunity shall be USD $2,000,000.”
|
|
Six Months Ended June 30,
|
||||||
(U.S. dollars in thousands, except ratios)
|
2015
|
|
2014
|
||||
Earnings:
|
|
|
|
||||
Pre-tax income (loss) from continuing operations
|
$
|
951,930
|
|
|
$
|
(80,444
|
)
|
Fixed charges
|
146,936
|
|
|
100,571
|
|
||
Distributed income of equity investees
|
564,923
|
|
|
112,490
|
|
||
Subtotal
|
$
|
1,663,789
|
|
|
$
|
132,617
|
|
Less: Non-controlling interests
|
3,874
|
|
|
1,129
|
|
||
Preference share dividends
|
38,395
|
|
|
38,312
|
|
||
Total earnings (loss)
|
$
|
1,621,520
|
|
|
$
|
93,176
|
|
|
|
|
|
||||
Fixed charges:
|
|
|
|
||||
Interest costs
|
$
|
80,519
|
|
|
$
|
64,444
|
|
Accretion of deposit liabilities
|
20,586
|
|
|
(7,418
|
)
|
||
Rental expense at 30% (1)
|
7,436
|
|
|
5,233
|
|
||
Total fixed charges
|
$
|
108,541
|
|
|
$
|
62,259
|
|
Preference share dividends
|
38,395
|
|
|
38,312
|
|
||
Total fixed charges and preference dividends
|
$
|
146,936
|
|
|
$
|
100,571
|
|
|
|
|
|
||||
Ratio of earnings to fixed charges
|
14.9
|
|
|
1.5
|
|
||
|
|
|
|
||||
Ratio of earnings to combined fixed charges and preference dividends
|
11.0
|
|
|
0.9
|
|
||
|
|
|
|
||||
Deficiency - fixed charges only
|
N/A
|
|
|
N/A
|
|
||
|
|
|
|
||||
Deficiency - fixed charges and preference dividends
|
N/A
|
|
|
$
|
7,395.0
|
|
(1)
|
30% represents a reasonable approximation of the interest factor.
|
1.
|
I have reviewed this Quarterly Report on Form 10-Q of XL Group plc;
|
2.
|
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
|
3.
|
Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;
|
4.
|
The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:
|
(a)
|
Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
|
(b)
|
Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
|
(c)
|
Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and
|
(d)
|
Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
|
5.
|
The registrant’s other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):
|
(a)
|
All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and
|
(b)
|
Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.
|
Dated:
|
August 10, 2015
|
|
|
|
|
|
|
/s/ MICHAEL S. MCGAVICK
|
|
|
|
|
|
|
|
|
Michael S. McGavick
|
|
|
Chief Executive Officer
|
1.
|
I have reviewed this Quarterly Report on Form 10-Q of XL Group plc;
|
2.
|
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
|
3.
|
Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;
|
4.
|
The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:
|
(a)
|
Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
|
(b)
|
Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
|
(c)
|
Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and
|
(d)
|
Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
|
5.
|
The registrant’s other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):
|
(a)
|
All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and
|
(b)
|
Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.
|
Dated:
|
August 10, 2015
|
|
|
|
|
|
|
/s/ PETER R. PORRINO
|
|
|
|
|
|
|
|
|
Peter R. Porrino
|
|
|
Executive Vice President and
|
|
|
Chief Financial Officer
|
|
Dated:
|
August 10, 2015
|
|
|
|
|
/s/ MICHAEL S. MCGAVICK
|
|
|
|
|
|
|
|
|
Michael S. McGavick
|
|
|
Chief Executive Officer
|
|
|
XL Group plc
|
|
|
|
|
|
Dated:
|
August 10, 2015
|
|
|
|
|
/s/ PETER R. PORRINO
|
|
|
|
|
|
|
|
|
Peter R. Porrino
|
|
|
Executive Vice President and
|
|
|
Chief Financial Officer
|
|
|
XL Group plc
|