x
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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, 2017
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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 LTD
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(Exact name of registrant as specified in its charter)
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Bermuda
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98-1304974
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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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Page No.
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Unaudited Consolidated Balance Sheets at June 30, 2017 and December 31, 2016
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Unaudited Consolidated Statements of Income for the Three and Six Months Ended June 30, 2017 and 2016
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Unaudited Consolidated Statements of Comprehensive Income for the Three and Six Months Ended June 30, 2017 and 2016
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Unaudited Consolidated Statements of Shareholders' Equity for the Six Months Ended June 30, 2017 and 2016
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Unaudited Consolidated Statements of Cash Flows for the Six Months Ended June 30, 2017 and 2016
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Item 5.
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Other Information
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ITEM 1.
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FINANCIAL STATEMENTS
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(U.S. dollars in thousands, except share data)
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June 30, 2017
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|
December 31, 2016
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||||
ASSETS
|
|||||||
Investments:
|
|
|
|
|
|
||
Fixed maturities, at fair value (amortized cost: 2017 - $30,012,097; 2016 - $29,587,656)
|
$
|
30,810,724
|
|
|
$
|
30,256,602
|
|
Equity securities, at fair value (cost: 2017 - $1,094,494; 2016 - $996,610)
|
1,174,500
|
|
|
1,037,331
|
|
||
Short-term investments, at fair value (amortized cost: 2017 - $617,866; 2016 - $626,142)
|
617,894
|
|
|
625,193
|
|
||
Total investments available for sale
|
$
|
32,603,118
|
|
|
$
|
31,919,126
|
|
Fixed maturities, at fair value (amortized cost: 2017 - $1,724,250; 2016 - $1,548,178)
|
1,772,877
|
|
|
1,617,014
|
|
||
Short-term investments, at fair value (amortized cost: 2017 - $0; 2016 - $9,536)
|
—
|
|
|
9,563
|
|
||
Total investments, trading
|
$
|
1,772,877
|
|
|
$
|
1,626,577
|
|
Investments in affiliates
|
2,127,115
|
|
|
2,177,645
|
|
||
Other investments
|
1,126,741
|
|
|
1,164,564
|
|
||
Total investments
|
$
|
37,629,851
|
|
|
$
|
36,887,912
|
|
Cash and cash equivalents
|
3,133,822
|
|
|
3,426,988
|
|
||
Restricted cash
|
181,230
|
|
|
153,504
|
|
||
Accrued investment income
|
270,730
|
|
|
284,366
|
|
||
Deferred acquisition costs and value of business acquired
|
1,143,671
|
|
|
946,721
|
|
||
Ceded unearned premiums
|
2,566,652
|
|
|
1,687,864
|
|
||
Premiums receivable
|
6,973,206
|
|
|
5,522,976
|
|
||
Reinsurance balances receivable
|
755,511
|
|
|
577,479
|
|
||
Unpaid losses and loss expenses recoverable
|
5,858,369
|
|
|
5,491,297
|
|
||
Receivable from investments sold
|
442,339
|
|
|
128,411
|
|
||
Goodwill and other intangible assets
|
2,219,390
|
|
|
2,203,653
|
|
||
Deferred tax asset
|
293,219
|
|
|
310,542
|
|
||
Other assets
|
914,260
|
|
|
812,389
|
|
||
Total assets
|
$
|
62,382,250
|
|
|
$
|
58,434,102
|
|
|
|
|
|
||||
LIABILITIES AND SHAREHOLDERS' EQUITY
|
|||||||
Liabilities:
|
|
|
|
|
|
||
Unpaid losses and loss expenses
|
$
|
26,822,346
|
|
|
$
|
25,939,571
|
|
Deposit liabilities
|
1,123,628
|
|
|
1,116,233
|
|
||
Future policy benefit reserves
|
3,591,573
|
|
|
3,506,047
|
|
||
Funds withheld on GreyCastle life retrocession arrangements (net of future policy benefit reserves recoverable: 2017 - $3,170,975; 2016 - $3,072,615)
|
918,304
|
|
|
998,968
|
|
||
Unearned premiums
|
8,848,374
|
|
|
7,293,028
|
|
||
Notes payable and debt
|
3,207,339
|
|
|
2,647,677
|
|
||
Reinsurance balances payable
|
3,428,302
|
|
|
2,451,717
|
|
||
Payable for investments purchased
|
268,771
|
|
|
226,009
|
|
||
Deferred tax liability
|
97,879
|
|
|
77,271
|
|
||
Other liabilities
|
973,327
|
|
|
1,216,902
|
|
||
Total liabilities
|
$
|
49,279,843
|
|
|
$
|
45,473,423
|
|
Commitments and Contingencies
|
|
|
|
|
|
||
Shareholders' Equity:
|
|
|
|
|
|
||
Common shares, 999,990,000 authorized, par value $0.01; issued and outstanding (2017 - 258,611,313; 2016 - 266,889,127)
|
$
|
2,586
|
|
|
$
|
2,669
|
|
Additional paid in capital
|
7,790,913
|
|
|
8,068,503
|
|
||
Accumulated other comprehensive income
|
921,165
|
|
|
715,546
|
|
||
Retained earnings
|
2,365,888
|
|
|
2,151,794
|
|
||
Shareholders' equity attributable to XL Group Ltd
|
$
|
11,080,552
|
|
|
$
|
10,938,512
|
|
Non-controlling interest in equity of consolidated subsidiaries
|
2,021,855
|
|
|
2,022,167
|
|
||
Total shareholders' equity
|
$
|
13,102,407
|
|
|
$
|
12,960,679
|
|
Total liabilities and shareholders' equity
|
$
|
62,382,250
|
|
|
$
|
58,434,102
|
|
|
Three Months Ended
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Six Months Ended
|
||||||||||||
|
June 30,
|
|
June 30,
|
||||||||||||
(U.S. dollars in thousands, except per share data)
|
2017
|
|
2016
|
|
2017
|
|
2016
|
||||||||
Revenues:
|
|
|
|
|
|
|
|
|
|
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|
||||
Net premiums earned
|
$
|
2,516,917
|
|
|
$
|
2,532,212
|
|
|
$
|
5,039,708
|
|
|
$
|
4,886,822
|
|
Net investment income:
|
|
|
|
|
|
|
|
||||||||
Net investment income - excluding Life Funds Withheld Assets
|
177,235
|
|
|
176,242
|
|
|
344,403
|
|
|
340,568
|
|
||||
Net investment income - Life Funds Withheld Assets
|
31,439
|
|
|
39,146
|
|
|
64,803
|
|
|
80,706
|
|
||||
Total net investment income
|
$
|
208,674
|
|
|
$
|
215,388
|
|
|
$
|
409,206
|
|
|
$
|
421,274
|
|
Net realized gains (losses) on investments, and net unrealized gains (losses) on investments, trading:
|
|
|
|
|
|
|
|
||||||||
Net realized gains (losses) on investments sold - excluding Life Funds Withheld Assets
|
50,379
|
|
|
51,990
|
|
|
61,471
|
|
|
63,154
|
|
||||
Other-than-temporary impairments ("OTTI") on investments - excluding Life Funds Withheld Assets
|
(1,160
|
)
|
|
(32,778
|
)
|
|
(8,034
|
)
|
|
(52,360
|
)
|
||||
OTTI on investments transferred to (from) other comprehensive income - excluding Life Funds Withheld Assets
|
(50
|
)
|
|
256
|
|
|
(50
|
)
|
|
258
|
|
||||
Net realized gains (losses) on investments sold - Life Funds Withheld Assets
|
29,778
|
|
|
30,114
|
|
|
64,252
|
|
|
64,530
|
|
||||
OTTI on investments - Life Funds Withheld Assets
|
—
|
|
|
(252
|
)
|
|
—
|
|
|
(2,598
|
)
|
||||
Net unrealized gains (losses) on investments, trading - Life Funds Withheld Assets
|
(22,319
|
)
|
|
55,287
|
|
|
(23,725
|
)
|
|
124,383
|
|
||||
Total net realized gains (losses) on investments, and net unrealized gains (losses) on investments, trading
|
$
|
56,628
|
|
|
$
|
104,617
|
|
|
$
|
93,914
|
|
|
$
|
197,367
|
|
Net realized and unrealized gains (losses) on derivative instruments
|
(906
|
)
|
|
906
|
|
|
(7,975
|
)
|
|
(2,716
|
)
|
||||
Net realized and unrealized gains (losses) on life retrocession embedded derivative and derivative instruments - Life Funds Withheld Assets
|
(34,596
|
)
|
|
(229,742
|
)
|
|
(84,697
|
)
|
|
(465,822
|
)
|
||||
Income (loss) from investment fund affiliates
|
30,818
|
|
|
13,179
|
|
|
69,079
|
|
|
8,600
|
|
||||
Fee income and other
|
10,225
|
|
|
10,862
|
|
|
23,886
|
|
|
19,124
|
|
||||
Total revenues
|
$
|
2,787,760
|
|
|
$
|
2,647,422
|
|
|
$
|
5,543,121
|
|
|
$
|
5,064,649
|
|
Expenses:
|
|
|
|
|
|
|
|
||||||||
Net losses and loss expenses incurred
|
$
|
1,529,083
|
|
|
$
|
1,632,386
|
|
|
$
|
3,112,539
|
|
|
$
|
3,014,871
|
|
Claims and policy benefits
|
7,595
|
|
|
5,482
|
|
|
14,886
|
|
|
10,419
|
|
||||
Acquisition costs
|
433,584
|
|
|
420,520
|
|
|
869,453
|
|
|
823,787
|
|
||||
Operating expenses
|
472,778
|
|
|
522,521
|
|
|
940,816
|
|
|
1,037,902
|
|
||||
Foreign exchange (gains) losses
|
(5,643
|
)
|
|
(19,100
|
)
|
|
(8,979
|
)
|
|
(52,919
|
)
|
||||
Interest expense
|
54,018
|
|
|
55,738
|
|
|
104,729
|
|
|
108,041
|
|
||||
Total expenses
|
$
|
2,491,415
|
|
|
$
|
2,617,547
|
|
|
$
|
5,033,444
|
|
|
$
|
4,942,101
|
|
Income (loss) before income tax and income (loss) from operating affiliates
|
$
|
296,345
|
|
|
$
|
29,875
|
|
|
$
|
509,677
|
|
|
$
|
122,548
|
|
Income (loss) from operating affiliates
|
42,704
|
|
|
21,418
|
|
|
56,313
|
|
|
34,068
|
|
||||
Provision (benefit) for income tax
|
29,006
|
|
|
2,467
|
|
|
42,098
|
|
|
24,762
|
|
||||
Net income (loss)
|
$
|
310,043
|
|
|
$
|
48,826
|
|
|
$
|
523,892
|
|
|
$
|
131,854
|
|
Non-controlling interests
|
8,423
|
|
|
5,044
|
|
|
69,429
|
|
|
66,187
|
|
||||
Net income (loss) attributable to common shareholders
|
$
|
301,620
|
|
|
$
|
43,782
|
|
|
$
|
454,463
|
|
|
$
|
65,667
|
|
Weighted average common shares and common share equivalents outstanding, in thousands – basic
|
260,990
|
|
|
281,793
|
|
|
263,327
|
|
|
286,881
|
|
||||
Weighted average common shares and common share equivalents outstanding, in thousands – diluted
|
264,943
|
|
|
285,082
|
|
|
267,279
|
|
|
290,929
|
|
||||
Earnings (loss) per common share and common share equivalent – basic
|
$
|
1.16
|
|
|
$
|
0.16
|
|
|
$
|
1.73
|
|
|
$
|
0.23
|
|
Earnings (loss) per common share and common share equivalent – diluted
|
$
|
1.14
|
|
|
$
|
0.15
|
|
|
$
|
1.70
|
|
|
$
|
0.23
|
|
|
Three Months Ended
|
|
Six Months Ended
|
||||||||||||
|
June 30,
|
|
June 30,
|
||||||||||||
(U.S. dollars in thousands)
|
2017
|
|
2016
|
|
2017
|
|
2016
|
||||||||
Net income (loss) attributable to common shareholders
|
$
|
301,620
|
|
|
$
|
43,782
|
|
|
$
|
454,463
|
|
|
$
|
65,667
|
|
Change in net unrealized gains (losses) on investments - excluding Life Funds Withheld Assets, net of tax
|
75,855
|
|
|
191,649
|
|
|
178,477
|
|
|
555,532
|
|
||||
Change in adjustments related to future policy benefit reserves, net of tax
|
3,437
|
|
|
8,727
|
|
|
8,569
|
|
|
25,762
|
|
||||
Change in net unrealized gains (losses) on investments - Life Funds Withheld Assets, net of tax
|
(11,956
|
)
|
|
77,248
|
|
|
(32,064
|
)
|
|
129,238
|
|
||||
Change in net unrealized gains (losses) on affiliate and other investments, net of tax
|
9,074
|
|
|
(28,841
|
)
|
|
7,881
|
|
|
(38,548
|
)
|
||||
Change in OTTI losses recognized in other comprehensive income, net of tax
|
1,497
|
|
|
1,852
|
|
|
2,939
|
|
|
4,119
|
|
||||
Change in underfunded pension liability, net of tax
|
(576
|
)
|
|
100
|
|
|
(933
|
)
|
|
(949
|
)
|
||||
Change in value of cash flow hedge
|
(48
|
)
|
|
(48
|
)
|
|
(96
|
)
|
|
(87
|
)
|
||||
Foreign currency translation adjustments, net of tax
|
(1,092
|
)
|
|
63,343
|
|
|
40,846
|
|
|
46,904
|
|
||||
Comprehensive income (loss)
|
$
|
377,811
|
|
|
$
|
357,812
|
|
|
$
|
660,082
|
|
|
$
|
787,638
|
|
|
Six Months Ended
|
||||||
|
June 30,
|
||||||
(U.S. dollars in thousands)
|
2017
|
|
2016
|
||||
Common Shares:
|
|
|
|
|
|
||
Balance - beginning of year
|
$
|
2,669
|
|
|
$
|
2,947
|
|
Issuance of common shares
|
11
|
|
|
16
|
|
||
Buybacks of common shares
|
(111
|
)
|
|
(196
|
)
|
||
Exercise of stock options
|
17
|
|
|
1
|
|
||
Balance - end of period
|
$
|
2,586
|
|
|
$
|
2,768
|
|
Additional Paid in Capital:
|
|
|
|
|
|
||
Balance - beginning of year
|
$
|
8,068,503
|
|
|
$
|
8,910,167
|
|
Issuance of common shares
|
17
|
|
|
15
|
|
||
Buybacks of common shares
|
(333,747
|
)
|
|
(591,757
|
)
|
||
Exercise of stock options
|
42,614
|
|
|
1,725
|
|
||
Share-based compensation
|
13,526
|
|
|
21,732
|
|
||
Balance - end of period
|
$
|
7,790,913
|
|
|
$
|
8,341,882
|
|
Accumulated Other Comprehensive Income (Loss):
|
|
|
|
|
|
||
Balance - beginning of year
|
$
|
715,546
|
|
|
$
|
686,616
|
|
Change in net unrealized gains (losses) on investments - excluding Life Funds Withheld Assets, net of tax
|
178,477
|
|
|
555,532
|
|
||
Change in adjustments related to future policy benefit reserves, net of tax
|
8,569
|
|
|
25,762
|
|
||
Change in net unrealized gains (losses) on investments - Life Funds Withheld Assets, net of tax
|
(32,064
|
)
|
|
129,238
|
|
||
Change in net unrealized gains (losses) on affiliate and other investments, net of tax
|
7,881
|
|
|
(38,548
|
)
|
||
Change in OTTI losses recognized in other comprehensive income, net of tax
|
2,939
|
|
|
4,119
|
|
||
Change in underfunded pension liability, net of tax
|
(933
|
)
|
|
(949
|
)
|
||
Change in value of cash flow hedge
|
(96
|
)
|
|
(87
|
)
|
||
Foreign currency translation adjustments, net of tax
|
40,846
|
|
|
46,904
|
|
||
Balance - end of period
|
$
|
921,165
|
|
|
$
|
1,408,587
|
|
Retained Earnings (Deficit):
|
|
|
|
|
|
||
Balance - beginning of year
|
$
|
2,151,794
|
|
|
$
|
2,077,349
|
|
Net income (loss) attributable to common shareholders
|
454,463
|
|
|
65,667
|
|
||
Dividends on common shares
|
(117,508
|
)
|
|
(115,060
|
)
|
||
Buybacks of common shares
|
(116,772
|
)
|
|
(92,433
|
)
|
||
Share-based compensation
|
(6,089
|
)
|
|
(3,572
|
)
|
||
Balance - end of period
|
$
|
2,365,888
|
|
|
$
|
1,931,951
|
|
Non-controlling Interest in Equity of Consolidated Subsidiaries:
|
|
|
|
|
|
||
Balance - beginning of year
|
$
|
2,022,167
|
|
|
$
|
1,977,384
|
|
Non-controlling interests - contributions
|
25
|
|
|
1,129
|
|
||
Non-controlling interests - distributions
|
(6,093
|
)
|
|
(5,180
|
)
|
||
Non-controlling interests
|
5,459
|
|
|
5,436
|
|
||
Non-controlling interest share in change in accumulated other comprehensive income (loss)
|
297
|
|
|
(25
|
)
|
||
Balance - end of period
|
$
|
2,021,855
|
|
|
$
|
1,978,744
|
|
Total Shareholders' Equity
|
$
|
13,102,407
|
|
|
$
|
13,663,932
|
|
|
Six Months Ended
|
||||||
|
June 30,
|
||||||
(U.S. dollars in thousands)
|
2017
|
|
2016
|
||||
Cash flows provided by (used in) operating activities:
|
|
|
|
||||
Net income (loss)
|
$
|
523,892
|
|
|
$
|
131,854
|
|
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
|
(93,914
|
)
|
|
(197,367
|
)
|
||
Net realized and unrealized (gains) losses on derivative instruments
|
7,975
|
|
|
2,716
|
|
||
Net realized and unrealized (gains) losses on life retrocession embedded derivative and derivative instruments - Life Funds Withheld Assets
|
84,697
|
|
|
465,822
|
|
||
Amortization of premiums (discounts) on fixed maturities
|
83,551
|
|
|
90,876
|
|
||
(Income) loss from investment and operating affiliates
|
(94,078
|
)
|
|
(7,186
|
)
|
||
Share-based compensation
|
29,959
|
|
|
43,226
|
|
||
Depreciation and amortization
|
36,567
|
|
|
58,643
|
|
||
Accretion of deposit liabilities
|
20,013
|
|
|
24,816
|
|
||
Changes in:
|
|
|
|
||||
Unpaid losses and loss expenses
|
343,776
|
|
|
651,236
|
|
||
Future policy benefit reserves
|
(121,082
|
)
|
|
(118,130
|
)
|
||
Funds withheld on GreyCastle life retrocession arrangements, net
|
(219,050
|
)
|
|
(133,839
|
)
|
||
Unearned premiums
|
1,381,596
|
|
|
1,273,539
|
|
||
Premiums receivable
|
(1,280,244
|
)
|
|
(1,835,783
|
)
|
||
Unpaid losses and loss expenses recoverable
|
(257,264
|
)
|
|
(189,376
|
)
|
||
Ceded unearned premiums
|
(830,558
|
)
|
|
(376,466
|
)
|
||
Reinsurance balances receivable
|
(164,010
|
)
|
|
(149,498
|
)
|
||
Deferred acquisition costs and value of business acquired
|
(174,227
|
)
|
|
(149,218
|
)
|
||
Reinsurance balances payable
|
905,779
|
|
|
798,492
|
|
||
Deferred tax asset - net
|
9,058
|
|
|
(24,124
|
)
|
||
Derivatives
|
21,701
|
|
|
50,682
|
|
||
Other assets
|
(118,147
|
)
|
|
(118,265
|
)
|
||
Other liabilities
|
(264,463
|
)
|
|
(37,943
|
)
|
||
Other
|
39,227
|
|
|
(59,506
|
)
|
||
Total adjustments
|
$
|
(653,138
|
)
|
|
$
|
63,347
|
|
Net cash provided by (used in) operating activities
|
$
|
(129,246
|
)
|
|
$
|
195,201
|
|
Cash flows provided by (used in) investing activities:
|
|
|
|
||||
Proceeds from sale of fixed maturities and short-term investments
|
$
|
6,387,610
|
|
|
$
|
7,449,955
|
|
Proceeds from redemption of fixed maturities and short-term investments
|
2,084,182
|
|
|
2,088,317
|
|
||
Proceeds from sale of equity securities
|
228,914
|
|
|
114,958
|
|
||
Purchases of fixed maturities and short-term investments
|
(8,719,024
|
)
|
|
(8,356,108
|
)
|
||
Purchases of equity securities
|
(277,329
|
)
|
|
(255,442
|
)
|
||
Proceeds from sale of affiliates
|
236,861
|
|
|
153,928
|
|
||
Purchases of affiliates
|
(51,891
|
)
|
|
(408,886
|
)
|
||
Purchase of subsidiaries, net of cash acquired
|
—
|
|
|
(69,745
|
)
|
||
Change in restricted cash
|
(27,726
|
)
|
|
(26,866
|
)
|
||
Other
|
5,127
|
|
|
108,095
|
|
||
Net cash provided by (used in) investing activities
|
$
|
(133,276
|
)
|
|
$
|
798,206
|
|
Cash flows provided by (used in) financing activities:
|
|
|
|
||||
Proceeds from issuance of common shares and exercise of stock options
|
$
|
42,630
|
|
|
$
|
1,727
|
|
Buybacks of common shares
|
(450,629
|
)
|
|
(684,386
|
)
|
||
Employee withholding on share-based compensation
|
(23,957
|
)
|
|
(27,947
|
)
|
||
Dividends paid on common shares
|
(115,589
|
)
|
|
(113,731
|
)
|
||
Distributions to non-controlling interests
|
(73,708
|
)
|
|
(65,682
|
)
|
||
Contributions from non-controlling interests
|
25
|
|
|
1,130
|
|
||
Proceeds from the issuance of debt
|
558,311
|
|
|
—
|
|
||
Repayment of debt
|
—
|
|
|
(8,248
|
)
|
||
Deposit liabilities
|
(11,150
|
)
|
|
(14,807
|
)
|
||
Net cash provided by (used in) financing activities
|
$
|
(74,067
|
)
|
|
$
|
(911,944
|
)
|
Effects of exchange rate changes on foreign currency cash
|
43,423
|
|
|
(20,950
|
)
|
||
Increase (decrease) in cash and cash equivalents
|
$
|
(293,166
|
)
|
|
$
|
60,513
|
|
Cash and cash equivalents - beginning of year
|
3,426,988
|
|
|
3,256,236
|
|
||
Cash and cash equivalents - end of period
|
$
|
3,133,822
|
|
|
$
|
3,316,749
|
|
•
|
All excess tax benefits and tax deficiencies, including tax benefits of dividends on share-based payment awards, should be recognized as income tax expense or benefit (regardless of whether the benefit reduces taxes payable in the current period) in the income statement, as opposed to additional paid-in capital as previous GAAP prescribed. This amendment has been applied prospectively from January 1, 2017.
|
•
|
The tax effects of exercised or vested awards should be treated as discrete items in the reporting period in which they occur. Adoption of this amendment had no impact on the Company's financial position or results of operations.
|
•
|
The threshold for share-based payment awards to qualify for equity classification now permits withholding up to maximum statutory tax rates in applicable jurisdictions, as opposed to employer minimum statutory withholding requirements in those jurisdictions. Adoption of this amendment had no impact on the Company's financial position or results of operations.
|
•
|
Excess tax benefits now should be classified along with other income tax cash flows as an operating activity in the statement of cash flows. This amendment has been applied prospectively from January 1, 2017.
|
•
|
Where an employer withholds shares for employee tax-withholding purposes, the resulting employee taxes paid should be classified as a financing activity as opposed to an operating activity in the statement of cash flows. This amendment was applied retrospectively. The withholding taxes are now included within the financing section of the statement of cash flows. The statement of cash flows for the
six months ended June 30, 2016
has been re-presented by
$27.9 million
to conform to the current year presentation.
|
•
|
Companies may now make an entity-wide accounting policy election to either estimate the number of share-based payment awards expected to vest (in line with previous GAAP) or account for forfeitures as they occur. The Company elected not to change its previous accounting policy for measuring forfeitures, and continues to measure the expense for share-based compensation based on the number of awards expected to vest.
|
•
|
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 at the Acquisition Date expire. The Company has included
$2.3 million
and
$39.8 million
for the
three months ended June 30, 2017 and 2016
, respectively,
$6.9 million
and
$99.4 million
for the
six months ended June 30, 2017 and 2016
, respectively, in acquisition expenses related to the amortization of the value of business acquired asset.
|
•
|
Unpaid losses and loss adjustment expenses - Unpaid losses and loss adjustment expenses acquired includes 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 at 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 at the Acquisition Date.
|
(U.S. dollars in thousands)
|
Severance related costs
|
|
Retention and other compensation costs
|
|
Facilities-related costs
|
|
Consulting and other
|
|
Total
|
||||||||||
Liabilities at December 31, 2016
|
$
|
25,360
|
|
|
$
|
4,481
|
|
|
$
|
18
|
|
|
$
|
7,107
|
|
|
$
|
36,966
|
|
Costs incurred in 2017
|
19,794
|
|
|
9,561
|
|
|
11,051
|
|
|
32,661
|
|
|
73,067
|
|
|||||
2017 payments
|
21,929
|
|
|
12,369
|
|
|
2,730
|
|
|
19,671
|
|
|
56,699
|
|
|||||
Liabilities at June 30, 2017
|
$
|
23,225
|
|
|
$
|
1,673
|
|
|
$
|
8,339
|
|
|
$
|
20,097
|
|
|
$
|
53,334
|
|
Three Months Ended June 30, 2017
(U.S. dollars in thousands) |
Insurance
|
|
Reinsurance
|
|
Total P&C
|
|
Corporate
and Other (1)
|
|
Total
|
||||||||||
Gross premiums written
|
$
|
2,576,754
|
|
|
$
|
977,676
|
|
|
$
|
3,554,430
|
|
|
$
|
58,519
|
|
|
$
|
3,612,949
|
|
Net premiums written
|
1,741,201
|
|
|
905,240
|
|
|
2,646,441
|
|
|
2,824
|
|
|
2,649,265
|
|
|||||
Net premiums earned
|
1,652,304
|
|
|
861,789
|
|
|
2,514,093
|
|
|
2,824
|
|
|
2,516,917
|
|
|||||
Less: Net losses and loss expenses (2)
|
1,077,087
|
|
|
451,996
|
|
|
1,529,083
|
|
|
7,595
|
|
|
1,536,678
|
|
|||||
Less: Acquisition costs (2)
|
231,908
|
|
|
200,394
|
|
|
432,302
|
|
|
1,282
|
|
|
433,584
|
|
|||||
Less: Operating expenses (3)
|
288,681
|
|
|
69,435
|
|
|
358,116
|
|
|
278
|
|
|
358,394
|
|
|||||
Underwriting profit (loss)
|
$
|
54,628
|
|
|
$
|
139,964
|
|
|
$
|
194,592
|
|
|
$
|
(6,331
|
)
|
|
$
|
188,261
|
|
Net investment income - excluding Life Funds Withheld Assets (4)
|
|
|
|
|
155,559
|
|
|
8,157
|
|
|
163,716
|
|
|||||||
Net investment income - Life Funds Withheld Assets
|
|
|
|
|
|
|
31,439
|
|
|
31,439
|
|
||||||||
Net results from structured products (5)
|
1,981
|
|
|
942
|
|
|
2,923
|
|
|
—
|
|
|
2,923
|
|
|||||
Net fee income and other (6)
|
(2,826
|
)
|
|
694
|
|
|
(2,132
|
)
|
|
135
|
|
|
(1,997
|
)
|
|||||
Net realized gains (losses) on investments - excluding Life Funds Withheld Assets
|
|
|
|
|
|
|
57,140
|
|
|
(7,971
|
)
|
|
49,169
|
|
|||||
Net realized gains (losses) on investments and net unrealized gains (losses) on investments, Trading
|
|
|
|
|
—
|
|
|
7,459
|
|
|
7,459
|
|
|||||||
Net realized and unrealized gains (losses) on derivative instruments
|
|
|
|
|
|
|
—
|
|
|
(906
|
)
|
|
(906
|
)
|
|||||
Net realized and unrealized gains (losses) on life retrocession embedded derivative and derivative instruments - Life Funds Withheld Assets
|
|
|
|
|
—
|
|
|
(34,596
|
)
|
|
(34,596
|
)
|
|||||||
Net income (loss) from investment fund affiliates and operating affiliates
|
|
|
|
|
|
|
—
|
|
|
73,522
|
|
|
73,522
|
|
|||||
Less: Exchange (gains) losses
|
|
|
|
|
|
|
—
|
|
|
(5,643
|
)
|
|
(5,643
|
)
|
|||||
Less: Corporate operating expenses
|
|
|
|
|
|
|
—
|
|
|
102,162
|
|
|
102,162
|
|
|||||
Contribution from P&C and Corporate and Other
|
|
|
|
|
|
|
408,082
|
|
|
(25,611
|
)
|
|
382,471
|
|
|||||
Less: Interest expense (7)
|
|
|
|
|
|
|
|
|
|
43,422
|
|
|
43,422
|
|
|||||
Less: Non-controlling interests
|
|
|
|
|
|
|
|
|
|
8,423
|
|
|
8,423
|
|
|||||
Less: Income tax expense
|
|
|
|
|
|
|
|
|
|
29,006
|
|
|
29,006
|
|
|||||
Net income (loss) attributable to common shareholders
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
301,620
|
|
||||
Ratios – P&C operations: (8)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Loss and loss expense ratio
|
65.2
|
%
|
|
52.4
|
%
|
|
60.8
|
%
|
|
|
|
|
|
|
|||||
Underwriting expense ratio
|
31.5
|
%
|
|
31.4
|
%
|
|
31.5
|
%
|
|
|
|
|
|
|
|||||
Combined ratio
|
96.7
|
%
|
|
83.8
|
%
|
|
92.3
|
%
|
|
|
|
|
|
|
(1)
|
Corporate and Other includes other items of our revenue and expenditures that are not evaluated at the segment level for reporting purposes. The underwriting profit and its components within this section are predominantly driven from 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
$13.5 million
and
$10.6 million
, respectively.
|
(6)
|
Net fee income and other includes operating expenses of
$12.2 million
from the Company's loss prevention consulting services business.
|
(7)
|
Interest expense excludes interest expense related to structured products recorded in the Insurance and Reinsurance segments.
|
(8)
|
Ratios are based on net premiums earned from P&C operations.
|
Three Months Ended June 30, 2016
(U.S. dollars in thousands) |
Insurance
|
|
Reinsurance
|
|
Total P&C
|
|
Corporate
and Other (1)
|
|
Total
|
||||||||||
Gross premiums written
|
$
|
2,512,012
|
|
|
$
|
1,018,766
|
|
|
$
|
3,530,778
|
|
|
$
|
68,545
|
|
|
$
|
3,599,323
|
|
Net premiums written
|
1,780,192
|
|
|
942,419
|
|
|
2,722,611
|
|
|
3,508
|
|
|
2,726,119
|
|
|||||
Net premiums earned
|
1,696,720
|
|
|
831,984
|
|
|
2,528,704
|
|
|
3,508
|
|
|
2,532,212
|
|
|||||
Less: Net losses and loss expenses (2)
|
1,095,739
|
|
|
536,647
|
|
|
1,632,386
|
|
|
5,482
|
|
|
1,637,868
|
|
|||||
Less: Acquisition costs (2)
|
232,414
|
|
|
186,283
|
|
|
418,697
|
|
|
1,823
|
|
|
420,520
|
|
|||||
Less: Operating expenses (3)
|
307,468
|
|
|
68,260
|
|
|
375,728
|
|
|
405
|
|
|
376,133
|
|
|||||
Underwriting profit (loss)
|
$
|
61,099
|
|
|
$
|
40,794
|
|
|
$
|
101,893
|
|
|
$
|
(4,202
|
)
|
|
$
|
97,691
|
|
Net investment income - excluding Life Funds Withheld Assets (4)
|
|
|
|
|
154,642
|
|
|
7,525
|
|
|
162,167
|
|
|||||||
Net investment income - Life Funds Withheld Assets
|
|
|
|
|
|
|
39,146
|
|
|
39,146
|
|
||||||||
Net results from structured products (5)
|
2,765
|
|
|
(706
|
)
|
|
2,059
|
|
|
—
|
|
|
2,059
|
|
|||||
Net fee income and other (6)
|
(3,749
|
)
|
|
1,248
|
|
|
(2,501
|
)
|
|
171
|
|
|
(2,330
|
)
|
|||||
Net realized gains (losses) on investments - excluding Life Funds Withheld Assets
|
|
|
|
|
|
|
27,948
|
|
|
(8,480
|
)
|
|
19,468
|
|
|||||
Net realized gains (losses) on investments and net unrealized gains (losses) on investments, Trading
|
|
|
|
|
|
|
(71
|
)
|
|
85,220
|
|
|
85,149
|
|
|||||
Net realized and unrealized gains (losses) on derivative instruments
|
|
|
|
|
|
|
—
|
|
|
906
|
|
|
906
|
|
|||||
Net realized and unrealized gains (losses) on life retrocession embedded derivative and derivative instruments - Life Funds Withheld Assets
|
|
|
|
|
—
|
|
|
(229,742
|
)
|
|
(229,742
|
)
|
|||||||
Net income (loss) from investment fund affiliates and operating affiliates
|
|
|
|
|
|
|
—
|
|
|
34,597
|
|
|
34,597
|
|
|||||
Less: Exchange (gains) losses
|
|
|
|
|
|
|
—
|
|
|
(19,100
|
)
|
|
(19,100
|
)
|
|||||
Less: Corporate operating expenses
|
|
|
|
|
|
|
—
|
|
|
133,185
|
|
|
133,185
|
|
|||||
Contribution from P&C and Corporate and Other
|
|
|
|
|
|
|
283,970
|
|
|
(188,944
|
)
|
|
95,026
|
|
|||||
Less: Interest expense (7)
|
|
|
|
|
|
|
|
|
|
43,733
|
|
|
43,733
|
|
|||||
Less: Non-controlling interests
|
|
|
|
|
|
|
|
|
5,044
|
|
|
5,044
|
|
||||||
Less: Income tax expense
|
|
|
|
|
|
|
|
|
|
2,467
|
|
|
2,467
|
|
|||||
Net income (loss) attributable to common shareholders
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
43,782
|
|
||||
Ratios – P&C operations: (8)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Loss and loss expense ratio
|
64.6
|
%
|
|
64.5
|
%
|
|
64.6
|
%
|
|
|
|
|
|
|
|||||
Underwriting expense ratio
|
31.8
|
%
|
|
30.6
|
%
|
|
31.4
|
%
|
|
|
|
|
|
|
|||||
Combined ratio
|
96.4
|
%
|
|
95.1
|
%
|
|
96.0
|
%
|
|
|
|
|
|
|
(1)
|
Corporate and Other includes other items of our revenue and expenditures that are not evaluated at the segment level for reporting purposes. The underwriting profit and its components within this section are predominantly driven from 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
$14.1 million
and
$12.0 million
, respectively.
|
(6)
|
Net fee income and other includes operating expenses of
$13.2 million
from the Company's loss prevention consulting services business.
|
(7)
|
Interest expense excludes interest expense related to structured products recorded in the Insurance and Reinsurance segments.
|
(8)
|
Ratios are based on net premiums earned from P&C operations.
|
Six Months Ended June 30, 2017
(U.S. dollars in thousands) |
Insurance
|
|
Reinsurance
|
|
Total P&C
|
|
Corporate
and Other (1)
|
|
Total
|
||||||||||
Gross premiums written
|
$
|
5,270,970
|
|
|
$
|
2,905,066
|
|
|
$
|
8,176,036
|
|
|
$
|
115,330
|
|
|
$
|
8,291,366
|
|
Net premiums written
|
3,249,792
|
|
|
2,376,409
|
|
|
5,626,201
|
|
|
6,134
|
|
|
5,632,335
|
|
|||||
Net premiums earned
|
3,287,619
|
|
|
1,745,955
|
|
|
5,033,574
|
|
|
6,134
|
|
|
5,039,708
|
|
|||||
Less: Net losses and loss expenses (2)
|
2,137,450
|
|
|
975,089
|
|
|
3,112,539
|
|
|
14,886
|
|
|
3,127,425
|
|
|||||
Less: Acquisition costs (2)
|
442,391
|
|
|
424,473
|
|
|
866,864
|
|
|
2,589
|
|
|
869,453
|
|
|||||
Less: Operating expenses (3)
|
574,410
|
|
|
141,192
|
|
|
715,602
|
|
|
511
|
|
|
716,113
|
|
|||||
Underwriting profit (loss)
|
$
|
133,368
|
|
|
$
|
205,201
|
|
|
$
|
338,569
|
|
|
$
|
(11,852
|
)
|
|
$
|
326,717
|
|
Net investment income - excluding Life Funds Withheld Assets (4)
|
|
|
|
|
302,125
|
|
|
15,384
|
|
|
317,509
|
|
|||||||
Net investment income - Life Funds Withheld Assets
|
|
|
|
|
|
|
64,803
|
|
|
64,803
|
|
||||||||
Net results from structured products (5)
|
4,250
|
|
|
1,587
|
|
|
5,837
|
|
|
—
|
|
|
5,837
|
|
|||||
Net fee income and other (6)
|
(859
|
)
|
|
1,380
|
|
|
521
|
|
|
(303
|
)
|
|
218
|
|
|||||
Net realized gains (losses) on investments - excluding Life Funds Withheld Assets
|
|
|
|
|
|
|
61,971
|
|
|
(8,584
|
)
|
|
53,387
|
|
|||||
Net realized gains (losses) on investments and net unrealized gains (losses) on investments, Trading
|
|
|
|
|
|
|
—
|
|
|
40,527
|
|
|
40,527
|
|
|||||
Net realized and unrealized gains (losses) on derivative instruments
|
|
|
|
|
|
|
—
|
|
|
(7,975
|
)
|
|
(7,975
|
)
|
|||||
Net realized and unrealized gains (losses) on life retrocession embedded derivative and derivative instruments - Life Funds Withheld Assets
|
|
|
|
|
—
|
|
|
(84,697
|
)
|
|
(84,697
|
)
|
|||||||
Net income (loss) from investment fund affiliates and operating affiliates
|
|
|
|
|
|
|
—
|
|
|
125,392
|
|
|
125,392
|
|
|||||
Less: Exchange (gains) losses
|
|
|
|
|
|
|
—
|
|
|
(8,979
|
)
|
|
(8,979
|
)
|
|||||
Less: Corporate operating expenses
|
|
|
|
|
|
|
—
|
|
|
201,035
|
|
|
201,035
|
|
|||||
Contribution from P&C and Corporate and Other
|
|
|
|
|
|
|
709,023
|
|
|
(59,361
|
)
|
|
649,662
|
|
|||||
Less: Interest expense (7)
|
|
|
|
|
|
|
|
|
|
83,672
|
|
|
83,672
|
|
|||||
Less: Non-controlling interests
|
|
|
|
|
|
|
|
|
|
69,429
|
|
|
69,429
|
|
|||||
Less: Income tax expense
|
|
|
|
|
|
|
|
|
|
42,098
|
|
|
42,098
|
|
|||||
Net income (loss) attributable to common shareholders
|
|
|
|
|
|
|
|
|
|
|
|
$
|
454,463
|
|
|||||
Ratios – P&C operations: (8)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Loss and loss expense ratio
|
65.0
|
%
|
|
55.8
|
%
|
|
61.8
|
%
|
|
|
|
|
|
|
|||||
Underwriting expense ratio
|
30.9
|
%
|
|
32.4
|
%
|
|
31.5
|
%
|
|
|
|
|
|
|
|||||
Combined ratio
|
95.9
|
%
|
|
88.2
|
%
|
|
93.3
|
%
|
|
|
|
|
|
|
(1)
|
Corporate and Other includes other items of our revenue and expenditures that are not evaluated at the segment level for reporting purposes. The underwriting profit and its components within this section are predominantly driven from 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
$26.9 million
and
$21.1 million
, respectively.
|
(6)
|
Net fee income and other includes operating expenses of
$23.7 million
from the Company's loss prevention consulting services business.
|
(7)
|
Interest expense excludes interest expense related to structured products recorded in the Insurance and Reinsurance segments.
|
(8)
|
Ratios are based on net premiums earned from P&C operations.
|
Six Months Ended June 30, 2016
(U.S. dollars in thousands) |
Insurance
|
|
Reinsurance
|
|
Total P&C
|
|
Corporate
and Other (1) |
|
Total
|
||||||||||
Gross premiums written
|
$
|
5,015,984
|
|
|
$
|
2,874,109
|
|
|
$
|
7,890,093
|
|
|
$
|
137,456
|
|
|
$
|
8,027,549
|
|
Net premiums written
|
3,284,126
|
|
|
2,500,080
|
|
|
5,784,206
|
|
|
6,672
|
|
|
5,790,878
|
|
|||||
Net premiums earned
|
3,290,594
|
|
|
1,589,556
|
|
|
4,880,150
|
|
|
6,672
|
|
|
4,886,822
|
|
|||||
Less: Net losses and loss expenses (2)
|
2,095,331
|
|
|
919,540
|
|
|
3,014,871
|
|
|
10,419
|
|
|
3,025,290
|
|
|||||
Less: Acquisition costs (2)
|
457,872
|
|
|
362,631
|
|
|
820,503
|
|
|
3,284
|
|
|
823,787
|
|
|||||
Less: Operating expenses (3)
|
619,900
|
|
|
147,494
|
|
|
767,394
|
|
|
623
|
|
|
768,017
|
|
|||||
Underwriting profit (loss)
|
$
|
117,491
|
|
|
$
|
159,891
|
|
|
$
|
277,382
|
|
|
$
|
(7,654
|
)
|
|
$
|
269,728
|
|
Net investment income - excluding Life Funds Withheld Assets (4)
|
|
|
|
|
297,773
|
|
|
16,058
|
|
|
313,831
|
|
|||||||
Net investment income - Life Funds Withheld Assets
|
|
|
|
|
|
|
80,706
|
|
|
80,706
|
|
||||||||
Net results from structured products (5)
|
3,987
|
|
|
42
|
|
|
4,029
|
|
|
—
|
|
|
4,029
|
|
|||||
Net fee income and other (6)
|
(7,611
|
)
|
|
2,085
|
|
|
(5,526
|
)
|
|
473
|
|
|
(5,053
|
)
|
|||||
Net realized gains (losses) on investments - excluding Life Funds Withheld Assets
|
|
|
|
|
|
|
16,788
|
|
|
(5,736
|
)
|
|
11,052
|
|
|||||
Net realized gains (losses) on investments and net unrealized gains (losses) on investments, Trading
|
|
|
|
|
|
|
(71
|
)
|
|
186,386
|
|
|
186,315
|
|
|||||
Net realized and unrealized gains (losses) on derivative instruments
|
|
|
|
|
|
|
—
|
|
|
(2,716
|
)
|
|
(2,716
|
)
|
|||||
Net realized and unrealized gains (losses) on life retrocession embedded derivative and derivative instruments - Life Funds Withheld Assets
|
|
|
|
|
—
|
|
|
(465,822
|
)
|
|
(465,822
|
)
|
|||||||
Net income (loss) from investment fund affiliates and operating affiliates
|
|
|
|
|
|
|
—
|
|
|
42,668
|
|
|
42,668
|
|
|||||
Less: Exchange (gains) losses
|
|
|
|
|
|
|
—
|
|
|
(52,919
|
)
|
|
(52,919
|
)
|
|||||
Less: Corporate operating expenses
|
|
|
|
|
|
|
—
|
|
|
245,695
|
|
|
245,695
|
|
|||||
Contribution from P&C and Corporate and Other
|
|
|
|
|
|
|
590,375
|
|
|
(348,413
|
)
|
|
241,962
|
|
|||||
Less: Interest expense (7)
|
|
|
|
|
|
|
|
|
|
85,346
|
|
|
85,346
|
|
|||||
Less: Non-controlling interests
|
|
|
|
|
|
|
|
|
|
66,187
|
|
|
66,187
|
|
|||||
Less: Income tax expense
|
|
|
|
|
|
|
|
|
|
24,762
|
|
|
24,762
|
|
|||||
Net income (loss) attributable to common shareholders
|
|
|
|
|
|
|
|
|
|
|
|
$
|
65,667
|
|
|||||
Ratios – P&C operations: (8)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Loss and loss expense ratio
|
63.7
|
%
|
|
57.8
|
%
|
|
61.8
|
%
|
|
|
|
|
|
|
|||||
Underwriting expense ratio
|
32.7
|
%
|
|
32.1
|
%
|
|
32.5
|
%
|
|
|
|
|
|
|
|||||
Combined ratio
|
96.4
|
%
|
|
89.9
|
%
|
|
94.3
|
%
|
|
|
|
|
|
|
(1)
|
Corporate and Other includes other items of our revenue and expenditures that are not evaluated at the segment level for reporting purposes. The underwriting profit and its components within this section are predominantly driven from 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
$26.7 million
and
$22.7 million
, respectively.
|
(6)
|
Net fee income and other includes operating expenses of
$24.2 million
from the Company's loss prevention consulting services business.
|
(7)
|
Interest expense excludes interest expense related to structured products recorded in the Insurance and Reinsurance segments.
|
(8)
|
Ratios are based on net premiums earned from P&C operations.
|
Three Months Ended June 30, 2017
(U.S. dollars in thousands) |
Insurance
|
|
Reinsurance
|
|
Corporate
and Other |
|
Total
|
||||||||
P&C Operations:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Professional
|
$
|
306,072
|
|
|
$
|
54,304
|
|
|
$
|
—
|
|
|
$
|
360,376
|
|
Casualty
|
542,439
|
|
|
149,627
|
|
|
—
|
|
|
692,066
|
|
||||
Property catastrophe
|
|
|
|
164,057
|
|
|
—
|
|
|
164,057
|
|
||||
Property
|
401,446
|
|
|
286,493
|
|
|
—
|
|
|
687,939
|
|
||||
Specialty
|
403,101
|
|
|
47,676
|
|
|
—
|
|
|
450,777
|
|
||||
Other (1)
|
(754
|
)
|
|
159,632
|
|
|
—
|
|
|
158,878
|
|
||||
Total P&C Operations
|
$
|
1,652,304
|
|
|
$
|
861,789
|
|
|
$
|
—
|
|
|
$
|
2,514,093
|
|
Corporate and Other:
|
|
|
|
|
|
|
|
|
|
||||||
Run-off Life operations - Annuity
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
Run-off Life operations - Other Life
|
—
|
|
|
—
|
|
|
2,824
|
|
|
2,824
|
|
||||
Total Corporate and Other
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
2,824
|
|
|
$
|
2,824
|
|
Total
|
$
|
1,652,304
|
|
|
$
|
861,789
|
|
|
$
|
2,824
|
|
|
$
|
2,516,917
|
|
|
|
|
|
|
|
|
|
||||||||
Three Months Ended June 30, 2016
(U.S. dollars in thousands) |
Insurance (2)
|
|
Reinsurance
|
|
Corporate
and Other |
|
Total
|
||||||||
P&C Operations:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Professional
|
$
|
292,764
|
|
|
$
|
39,798
|
|
|
$
|
—
|
|
|
$
|
332,562
|
|
Casualty
|
563,159
|
|
|
191,447
|
|
|
—
|
|
|
754,606
|
|
||||
Property catastrophe
|
|
|
|
214,313
|
|
|
—
|
|
|
214,313
|
|
||||
Property
|
376,529
|
|
|
260,270
|
|
|
—
|
|
|
636,799
|
|
||||
Specialty
|
454,688
|
|
|
45,812
|
|
|
—
|
|
|
500,500
|
|
||||
Other (1)
|
9,580
|
|
|
80,344
|
|
|
—
|
|
|
89,924
|
|
||||
Total P&C Operations
|
$
|
1,696,720
|
|
|
$
|
831,984
|
|
|
$
|
—
|
|
|
$
|
2,528,704
|
|
Corporate and Other:
|
|
|
|
|
|
|
|
|
|
||||||
Run-off Life operations - Annuity
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
1
|
|
|
$
|
1
|
|
Run-off Life operations - Other Life
|
—
|
|
|
—
|
|
|
3,507
|
|
|
3,507
|
|
||||
Total Corporate and Other
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
3,508
|
|
|
$
|
3,508
|
|
Total
|
$
|
1,696,720
|
|
|
$
|
831,984
|
|
|
$
|
3,508
|
|
|
$
|
2,532,212
|
|
(1)
|
Other within the Insurance segment includes: surety, structured indemnity and certain discontinued lines. Other within the Reinsurance segment includes: whole account contracts, structured indemnity and other lines.
|
(2)
|
Amounts from the prior year have been re-presented to reflect current mapping of underlying lines of business to be consistent with the manner in which they are reflected in the current period. The most significant movements include movement of certain items out of Other as follows: Programs business is now reflected in Property or Casualty, depending upon the predominant line for each program; Surplus lines is now reflected primarily in Casualty; and Accident & Health is now reflected in Specialty.
|
Six Months Ended June 30, 2017
(U.S. dollars in thousands) |
Insurance
|
|
Reinsurance
|
|
Corporate
and Other |
|
Total
|
||||||||
P&C Operations:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Professional
|
$
|
611,556
|
|
|
$
|
107,230
|
|
|
$
|
—
|
|
|
$
|
718,786
|
|
Casualty
|
1,072,792
|
|
|
306,261
|
|
|
—
|
|
|
1,379,053
|
|
||||
Property catastrophe
|
|
|
|
312,463
|
|
|
—
|
|
|
312,463
|
|
||||
Property
|
795,790
|
|
|
558,839
|
|
|
—
|
|
|
1,354,629
|
|
||||
Specialty
|
805,787
|
|
|
84,302
|
|
|
—
|
|
|
890,089
|
|
||||
Other (1)
|
1,694
|
|
|
376,860
|
|
|
—
|
|
|
378,554
|
|
||||
Total P&C Operations
|
$
|
3,287,619
|
|
|
$
|
1,745,955
|
|
|
$
|
—
|
|
|
$
|
5,033,574
|
|
Corporate and Other:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Run-off Life operations - Annuity
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
Run-off Life operations - Other Life
|
—
|
|
|
—
|
|
|
6,134
|
|
|
6,134
|
|
||||
Total Corporate and Other
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
6,134
|
|
|
$
|
6,134
|
|
Total
|
$
|
3,287,619
|
|
|
$
|
1,745,955
|
|
|
$
|
6,134
|
|
|
$
|
5,039,708
|
|
|
|
|
|
|
|
|
|
||||||||
Six Months Ended June 30, 2016
(U.S. dollars in thousands) |
Insurance (2)
|
|
Reinsurance
|
|
Corporate
and Other |
|
Total
|
||||||||
P&C Operations:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Professional
|
$
|
597,045
|
|
|
$
|
82,953
|
|
|
$
|
—
|
|
|
$
|
679,998
|
|
Casualty
|
1,083,586
|
|
|
346,186
|
|
|
—
|
|
|
1,429,772
|
|
||||
Property catastrophe
|
|
|
|
419,614
|
|
|
—
|
|
|
419,614
|
|
||||
Property
|
722,717
|
|
|
514,669
|
|
|
—
|
|
|
1,237,386
|
|
||||
Specialty
|
878,364
|
|
|
82,005
|
|
|
—
|
|
|
960,369
|
|
||||
Other (1)
|
8,882
|
|
|
144,129
|
|
|
—
|
|
|
153,011
|
|
||||
Total P&C Operations
|
$
|
3,290,594
|
|
|
$
|
1,589,556
|
|
|
$
|
—
|
|
|
$
|
4,880,150
|
|
Corporate and Other:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Run-off Life operations - Annuity
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
1
|
|
|
$
|
1
|
|
Run-off Life operations - Other Life
|
—
|
|
|
—
|
|
|
6,671
|
|
|
6,671
|
|
||||
Total Corporate and Other
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
6,672
|
|
|
$
|
6,672
|
|
Total
|
$
|
3,290,594
|
|
|
$
|
1,589,556
|
|
|
$
|
6,672
|
|
|
$
|
4,886,822
|
|
(1)
|
Other within the Insurance segment includes: surety, structured indemnity and certain discontinued lines. Other within the Reinsurance segment includes: whole account contracts, structured indemnity and other lines.
|
(2)
|
Amounts from the prior year have been re-presented to reflect current mapping of underlying lines of business to be consistent with the manner in which they are reflected in the current period. The most significant movements include movement of certain items out of Other as follows: Programs business is now reflected in Property or Casualty, depending upon the predominant line for each program; Surplus lines is now reflected primarily in Casualty; and Accident & Health is now reflected in Specialty.
|
|
|
|
Included in AOCI
|
|
|
|
|
||||||||||||
June 30, 2017
(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 Agencies ("U.S. Government")
|
$
|
4,338,450
|
|
|
$
|
44,745
|
|
|
$
|
(27,794
|
)
|
|
$
|
4,355,401
|
|
|
$
|
—
|
|
U.S. States, municipalities and political subdivisions
|
2,180,145
|
|
|
105,214
|
|
|
(2,087
|
)
|
|
2,283,272
|
|
|
—
|
|
|||||
Non-U.S. Governments
|
5,087,942
|
|
|
109,100
|
|
|
(73,518
|
)
|
|
5,123,524
|
|
|
—
|
|
|||||
Corporate
|
10,391,238
|
|
|
219,988
|
|
|
(68,311
|
)
|
|
10,542,915
|
|
|
(18
|
)
|
|||||
Residential mortgage-backed securities ("RMBS")
|
3,937,837
|
|
|
51,724
|
|
|
(35,243
|
)
|
|
3,954,318
|
|
|
(10,475
|
)
|
|||||
Commercial mortgage-backed securities ("CMBS")
|
794,364
|
|
|
8,356
|
|
|
(7,267
|
)
|
|
795,453
|
|
|
(1,169
|
)
|
|||||
Other asset-backed securities
|
1,570,359
|
|
|
26,334
|
|
|
(9,637
|
)
|
|
1,587,056
|
|
|
(36,556
|
)
|
|||||
Total fixed maturities - AFS - Excluding Life Funds Withheld Assets
|
$
|
28,300,335
|
|
|
$
|
565,461
|
|
|
$
|
(223,857
|
)
|
|
$
|
28,641,939
|
|
|
$
|
(48,218
|
)
|
Total short-term investments - Excluding Life Funds Withheld Assets
|
617,866
|
|
|
287
|
|
|
(259
|
)
|
|
617,894
|
|
|
—
|
|
|||||
Total equity securities - Excluding Life Funds Withheld Assets
|
1,094,494
|
|
|
84,108
|
|
|
(4,102
|
)
|
|
1,174,500
|
|
|
—
|
|
|||||
Total investments - AFS - Excluding Life Funds Withheld Assets
|
$
|
30,012,695
|
|
|
$
|
649,856
|
|
|
$
|
(228,218
|
)
|
|
$
|
30,434,333
|
|
|
$
|
(48,218
|
)
|
Fixed maturities - AFS - Life Funds Withheld Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
U.S. Government
|
$
|
8,872
|
|
|
$
|
2,051
|
|
|
$
|
—
|
|
|
$
|
10,923
|
|
|
$
|
—
|
|
Non-U.S. Governments
|
445,541
|
|
|
150,195
|
|
|
—
|
|
|
595,736
|
|
|
—
|
|
|||||
Corporate
|
1,004,706
|
|
|
242,621
|
|
|
—
|
|
|
1,247,327
|
|
|
—
|
|
|||||
RMBS
|
516
|
|
|
111
|
|
|
—
|
|
|
627
|
|
|
—
|
|
|||||
CMBS
|
96,055
|
|
|
25,039
|
|
|
—
|
|
|
121,094
|
|
|
—
|
|
|||||
Other asset-backed securities
|
156,072
|
|
|
37,006
|
|
|
—
|
|
|
193,078
|
|
|
—
|
|
|||||
Total fixed maturities - AFS - Life Funds Withheld Assets
|
$
|
1,711,762
|
|
|
$
|
457,023
|
|
|
$
|
—
|
|
|
$
|
2,168,785
|
|
|
$
|
—
|
|
Total investments - AFS
|
$
|
31,724,457
|
|
|
$
|
1,106,879
|
|
|
$
|
(228,218
|
)
|
|
$
|
32,603,118
|
|
|
$
|
(48,218
|
)
|
(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 impairment measurement date.
|
|
|
|
Included in AOCI
|
|
|
|
|
||||||||||||
December 31, 2016
(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
|
$
|
3,874,038
|
|
|
$
|
53,172
|
|
|
$
|
(32,822
|
)
|
|
$
|
3,894,388
|
|
|
$
|
—
|
|
U.S. States, municipalities and political subdivisions
|
2,399,490
|
|
|
86,041
|
|
|
(7,419
|
)
|
|
2,478,112
|
|
|
—
|
|
|||||
Non-U.S. Governments
|
5,037,482
|
|
|
112,772
|
|
|
(120,122
|
)
|
|
5,030,132
|
|
|
—
|
|
|||||
Corporate
|
10,055,757
|
|
|
198,082
|
|
|
(119,110
|
)
|
|
10,134,729
|
|
|
(36
|
)
|
|||||
RMBS
|
4,479,722
|
|
|
71,045
|
|
|
(58,142
|
)
|
|
4,492,625
|
|
|
(47,879
|
)
|
|||||
CMBS
|
670,005
|
|
|
5,955
|
|
|
(10,774
|
)
|
|
665,186
|
|
|
(1,191
|
)
|
|||||
Other asset-backed securities
|
1,252,435
|
|
|
13,195
|
|
|
(12,242
|
)
|
|
1,253,388
|
|
|
(2,029
|
)
|
|||||
Total fixed maturities - AFS - Excluding Life Funds Withheld Assets
|
$
|
27,768,929
|
|
|
$
|
540,262
|
|
|
$
|
(360,631
|
)
|
|
$
|
27,948,560
|
|
|
$
|
(51,135
|
)
|
Total short-term investments - Excluding Life Funds Withheld Assets
|
626,142
|
|
|
227
|
|
|
(1,176
|
)
|
|
625,193
|
|
|
—
|
|
|||||
Total equity securities - Excluding Life Funds Withheld Assets
|
996,610
|
|
|
48,931
|
|
|
(8,210
|
)
|
|
1,037,331
|
|
|
—
|
|
|||||
Total investments - AFS - Excluding Life Funds Withheld Assets
|
$
|
29,391,681
|
|
|
$
|
589,420
|
|
|
$
|
(370,017
|
)
|
|
$
|
29,611,084
|
|
|
$
|
(51,135
|
)
|
Fixed maturities - AFS - Life Funds Withheld Assets
|
|
|
|
|
|
|
|
|
|
||||||||||
U.S. Government
|
$
|
8,468
|
|
|
$
|
2,109
|
|
|
$
|
—
|
|
|
$
|
10,577
|
|
|
$
|
—
|
|
Non-U.S. Governments
|
454,695
|
|
|
169,982
|
|
|
—
|
|
|
624,677
|
|
|
—
|
|
|||||
Corporate
|
1,173,670
|
|
|
280,938
|
|
|
—
|
|
|
1,454,608
|
|
|
—
|
|
|||||
RMBS
|
19,591
|
|
|
2,789
|
|
|
—
|
|
|
22,380
|
|
|
—
|
|
|||||
CMBS
|
77,762
|
|
|
16,478
|
|
|
—
|
|
|
94,240
|
|
|
—
|
|
|||||
Other asset-backed securities
|
84,541
|
|
|
17,019
|
|
|
—
|
|
|
101,560
|
|
|
—
|
|
|||||
Total fixed maturities - AFS - Life Funds Withheld Assets
|
$
|
1,818,727
|
|
|
$
|
489,315
|
|
|
$
|
—
|
|
|
$
|
2,308,042
|
|
|
$
|
—
|
|
Total investments - AFS
|
$
|
31,210,408
|
|
|
$
|
1,078,735
|
|
|
$
|
(370,017
|
)
|
|
$
|
31,919,126
|
|
|
$
|
(51,135
|
)
|
(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 impairment measurement date.
|
June 30, 2017
(U.S. dollars in thousands) |
Amortized
Cost |
|
Fair Value
|
||||
Fixed maturities - trading securities ("Trading") - Life Funds Withheld Assets
|
|
|
|
|
|
||
U.S. Government
|
$
|
16,922
|
|
|
$
|
16,308
|
|
U.S. States, municipalities and political subdivisions
|
74
|
|
|
70
|
|
||
Non-U.S. Governments
|
455,646
|
|
|
463,489
|
|
||
Corporate
|
1,203,351
|
|
|
1,243,221
|
|
||
RMBS
|
880
|
|
|
838
|
|
||
CMBS
|
7,101
|
|
|
7,318
|
|
||
Other asset-backed securities
|
40,276
|
|
|
41,633
|
|
||
Total fixed maturities - Trading - Life Funds Withheld Assets
|
$
|
1,724,250
|
|
|
$
|
1,772,877
|
|
Total short-term investments - Trading - Life Funds Withheld Assets
|
$
|
—
|
|
|
$
|
—
|
|
Total investments - Trading - Life Funds Withheld Assets
|
$
|
1,724,250
|
|
|
$
|
1,772,877
|
|
December 31, 2016
(U.S. dollars in thousands) |
Amortized
Cost |
|
Fair Value
|
||||
Fixed maturities - Trading - Life Funds Withheld Assets
|
|
|
|
|
|
||
U.S. Government
|
$
|
14,361
|
|
|
$
|
14,708
|
|
U.S. States, municipalities and political subdivisions
|
219
|
|
|
224
|
|
||
Non-U.S. Governments
|
426,225
|
|
|
444,944
|
|
||
Corporate
|
1,062,853
|
|
|
1,111,205
|
|
||
RMBS
|
936
|
|
|
961
|
|
||
CMBS
|
5,242
|
|
|
5,526
|
|
||
Other asset-backed securities
|
38,342
|
|
|
39,446
|
|
||
Total fixed maturities - Trading - Life Funds Withheld Assets
|
$
|
1,548,178
|
|
|
$
|
1,617,014
|
|
Total short-term investments - Trading - Life Funds Withheld Assets
|
$
|
9,536
|
|
|
$
|
9,563
|
|
Total investments - Trading - Life Funds Withheld Assets
|
$
|
1,557,714
|
|
|
$
|
1,626,577
|
|
|
June 30, 2017
|
|
December 31, 2016
|
||||||||||||
(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
|
$
|
1,605,068
|
|
|
$
|
1,621,615
|
|
|
$
|
2,121,088
|
|
|
$
|
2,135,262
|
|
Due after 1 through 5 years
|
12,991,237
|
|
|
13,087,897
|
|
|
12,400,798
|
|
|
12,463,844
|
|
||||
Due after 5 through 10 years
|
6,178,863
|
|
|
6,262,475
|
|
|
5,509,194
|
|
|
5,531,402
|
|
||||
Due after 10 years
|
1,222,607
|
|
|
1,333,125
|
|
|
1,335,687
|
|
|
1,406,853
|
|
||||
|
$
|
21,997,775
|
|
|
$
|
22,305,112
|
|
|
$
|
21,366,767
|
|
|
$
|
21,537,361
|
|
RMBS
|
3,937,837
|
|
|
3,954,318
|
|
|
4,479,722
|
|
|
4,492,625
|
|
||||
CMBS
|
794,364
|
|
|
795,453
|
|
|
670,005
|
|
|
665,186
|
|
||||
Other asset-backed securities
|
1,570,359
|
|
|
1,587,056
|
|
|
1,252,435
|
|
|
1,253,388
|
|
||||
Total mortgage and asset-backed securities
|
$
|
6,302,560
|
|
|
$
|
6,336,827
|
|
|
$
|
6,402,162
|
|
|
$
|
6,411,199
|
|
Total fixed maturities - AFS - Excluding Life Funds Withheld Assets
|
$
|
28,300,335
|
|
|
$
|
28,641,939
|
|
|
$
|
27,768,929
|
|
|
$
|
27,948,560
|
|
Fixed maturities - AFS - Life Funds Withheld Assets
|
|
|
|
|
|
|
|
|
|
|
|
||||
Due less than one year
|
$
|
38,157
|
|
|
$
|
40,665
|
|
|
$
|
71,207
|
|
|
$
|
80,749
|
|
Due after 1 through 5 years
|
269,121
|
|
|
294,782
|
|
|
289,710
|
|
|
318,605
|
|
||||
Due after 5 through 10 years
|
241,742
|
|
|
287,171
|
|
|
274,727
|
|
|
324,759
|
|
||||
Due after 10 years
|
910,099
|
|
|
1,231,368
|
|
|
1,001,189
|
|
|
1,365,749
|
|
||||
|
$
|
1,459,119
|
|
|
$
|
1,853,986
|
|
|
$
|
1,636,833
|
|
|
$
|
2,089,862
|
|
RMBS
|
516
|
|
|
627
|
|
|
19,591
|
|
|
22,380
|
|
||||
CMBS
|
96,055
|
|
|
121,094
|
|
|
77,762
|
|
|
94,240
|
|
||||
Other asset-backed securities
|
156,072
|
|
|
193,078
|
|
|
84,541
|
|
|
101,560
|
|
||||
Total mortgage and asset-backed securities
|
$
|
252,643
|
|
|
$
|
314,799
|
|
|
$
|
181,894
|
|
|
$
|
218,180
|
|
Total fixed maturities - AFS - Life Funds Withheld Assets
|
$
|
1,711,762
|
|
|
$
|
2,168,785
|
|
|
$
|
1,818,727
|
|
|
$
|
2,308,042
|
|
Total fixed maturities - AFS
|
$
|
30,012,097
|
|
|
$
|
30,810,724
|
|
|
$
|
29,587,656
|
|
|
$
|
30,256,602
|
|
|
|
|
|
|
|
|
|
|
June 30, 2017
|
|
December 31, 2016
|
||||||||||||
(U.S. dollars in thousands)
|
Amortized
Cost
|
|
Fair
Value
|
|
Amortized
Cost
|
|
Fair
Value
|
||||||||
Fixed maturities - Trading - Life Funds Withheld Assets
|
|
|
|
|
|
|
|
|
|
|
|
||||
Due less than one year
|
$
|
60,164
|
|
|
$
|
60,176
|
|
|
$
|
59,138
|
|
|
$
|
59,553
|
|
Due after 1 through 5 years
|
428,723
|
|
|
435,199
|
|
|
322,574
|
|
|
328,997
|
|
||||
Due after 5 through 10 years
|
569,290
|
|
|
578,479
|
|
|
507,631
|
|
|
521,505
|
|
||||
Due after 10 years
|
617,816
|
|
|
649,234
|
|
|
614,315
|
|
|
661,026
|
|
||||
|
$
|
1,675,993
|
|
|
$
|
1,723,088
|
|
|
$
|
1,503,658
|
|
|
$
|
1,571,081
|
|
RMBS
|
880
|
|
|
838
|
|
|
936
|
|
|
961
|
|
||||
CMBS
|
7,101
|
|
|
7,318
|
|
|
5,242
|
|
|
5,526
|
|
||||
Other asset-backed securities
|
40,276
|
|
|
41,633
|
|
|
38,342
|
|
|
39,446
|
|
||||
Total mortgage and asset-backed securities
|
$
|
48,257
|
|
|
$
|
49,789
|
|
|
$
|
44,520
|
|
|
$
|
45,933
|
|
Total fixed maturities - Trading - Life Funds Withheld Assets
|
$
|
1,724,250
|
|
|
$
|
1,772,877
|
|
|
$
|
1,548,178
|
|
|
$
|
1,617,014
|
|
|
Less than 12 months
|
|
Equal to or greater
than 12 months
|
||||||||||||
June 30, 2017
(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
|
$
|
3,238,406
|
|
|
$
|
(25,062
|
)
|
|
$
|
117,994
|
|
|
$
|
(2,873
|
)
|
U.S. States, municipalities and political subdivisions
|
222,105
|
|
|
(1,769
|
)
|
|
5,089
|
|
|
(318
|
)
|
||||
Non-U.S. Governments
|
1,570,103
|
|
|
(18,461
|
)
|
|
515,918
|
|
|
(55,096
|
)
|
||||
Corporate
|
2,552,535
|
|
|
(28,827
|
)
|
|
341,346
|
|
|
(39,488
|
)
|
||||
RMBS
|
2,088,713
|
|
|
(28,887
|
)
|
|
197,613
|
|
|
(6,356
|
)
|
||||
CMBS
|
276,383
|
|
|
(5,218
|
)
|
|
25,570
|
|
|
(2,049
|
)
|
||||
Other asset-backed securities
|
432,329
|
|
|
(1,707
|
)
|
|
126,965
|
|
|
(8,005
|
)
|
||||
Total fixed maturities and short-term investments - AFS
|
$
|
10,380,574
|
|
|
$
|
(109,931
|
)
|
|
$
|
1,330,495
|
|
|
$
|
(114,185
|
)
|
Total equity securities
|
$
|
240,138
|
|
|
$
|
(4,102
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
Less than 12 months
|
|
Equal to or greater
than 12 months
|
||||||||||||
December 31, 2016
(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
|
$
|
2,456,685
|
|
|
$
|
(30,640
|
)
|
|
$
|
43,873
|
|
|
$
|
(2,237
|
)
|
U.S. States, municipalities and political subdivisions
|
457,288
|
|
|
(6,983
|
)
|
|
4,287
|
|
|
(437
|
)
|
||||
Non-U.S. Governments
|
1,797,405
|
|
|
(75,596
|
)
|
|
288,490
|
|
|
(45,480
|
)
|
||||
Corporate
|
3,414,252
|
|
|
(81,594
|
)
|
|
264,920
|
|
|
(37,595
|
)
|
||||
RMBS
|
2,459,545
|
|
|
(41,194
|
)
|
|
302,810
|
|
|
(16,948
|
)
|
||||
CMBS
|
467,757
|
|
|
(9,470
|
)
|
|
9,665
|
|
|
(1,304
|
)
|
||||
Other asset-backed securities
|
777,435
|
|
|
(3,888
|
)
|
|
37,535
|
|
|
(8,441
|
)
|
||||
Total fixed maturities and short-term investments - AFS
|
$
|
11,830,367
|
|
|
$
|
(249,365
|
)
|
|
$
|
951,580
|
|
|
$
|
(112,442
|
)
|
Total equity securities
|
$
|
130,487
|
|
|
$
|
(8,210
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
Net Realized Gains (Losses) on Investments
|
Three months ended June 30,
|
|
Six months ended June 30,
|
||||||||||||
(U.S. dollars in thousands)
|
2017
|
|
2016
|
|
2017
|
|
2016
|
||||||||
Net realized gains (losses) on investments - excluding Life Funds Withheld Assets:
|
|
|
|
|
|
|
|
||||||||
Gross realized gains
|
$
|
91,771
|
|
|
$
|
82,177
|
|
|
$
|
131,168
|
|
|
$
|
143,404
|
|
Gross realized losses on investments sold
|
(41,392
|
)
|
|
(30,187
|
)
|
|
(69,697
|
)
|
|
(80,250
|
)
|
||||
OTTI on investments, net of amounts transferred to other comprehensive income
|
(1,210
|
)
|
|
(32,522
|
)
|
|
(8,084
|
)
|
|
(52,102
|
)
|
||||
|
$
|
49,169
|
|
|
$
|
19,468
|
|
|
$
|
53,387
|
|
|
$
|
11,052
|
|
Net realized gains (losses) on investments and net unrealized gains (losses) on investments, Trading - Life Funds Withheld Assets:
|
|
|
|
|
|
|
|
||||||||
Gross realized gains
|
$
|
30,100
|
|
|
$
|
33,670
|
|
|
$
|
65,251
|
|
|
$
|
96,520
|
|
Gross realized losses on investments sold
|
(322
|
)
|
|
(3,556
|
)
|
|
(999
|
)
|
|
(31,990
|
)
|
||||
OTTI on investments, net of amounts transferred to other comprehensive income
|
—
|
|
|
(252
|
)
|
|
—
|
|
|
(2,598
|
)
|
||||
Net unrealized gains (losses) on trading securities
|
$
|
(22,319
|
)
|
|
$
|
55,287
|
|
|
$
|
(23,725
|
)
|
|
$
|
124,383
|
|
|
$
|
7,459
|
|
|
$
|
85,149
|
|
|
$
|
40,527
|
|
|
$
|
186,315
|
|
Total net realized gains (losses) on investments
|
$
|
56,628
|
|
|
$
|
104,617
|
|
|
$
|
93,914
|
|
|
$
|
197,367
|
|
Credit Loss Impairments
|
Three months ended June 30,
|
|
Six months ended June 30,
|
||||||||||||
(U.S. dollars in thousands)
|
2017
|
|
2016
|
|
2017
|
|
2016
|
||||||||
Opening balance at beginning of indicated period
|
$
|
58,628
|
|
|
$
|
76,979
|
|
|
$
|
61,595
|
|
|
$
|
73,469
|
|
Credit loss impairment recognized in the current period on securities not previously impaired
|
—
|
|
|
668
|
|
|
124
|
|
|
11,237
|
|
||||
Credit loss impairments previously recognized on securities that matured or were paid down, prepaid or sold during the period
|
(3,071
|
)
|
|
(2,938
|
)
|
|
(3,907
|
)
|
|
(7,818
|
)
|
||||
Additional credit loss impairments recognized in the current period on securities previously impaired
|
162
|
|
|
873
|
|
|
264
|
|
|
1,103
|
|
||||
Accretion of credit loss impairments previously recognized due to an increase in cash flows expected to be collected
|
(1,282
|
)
|
|
(2,191
|
)
|
|
(3,639
|
)
|
|
(4,600
|
)
|
||||
Closing balance at end of indicated period
|
$
|
54,437
|
|
|
$
|
73,391
|
|
|
$
|
54,437
|
|
|
$
|
73,391
|
|
|
June 30, 2017
|
|
December 31, 2016
|
||||||||||||||||||||||||||||
(U.S. dollars in thousands)
|
Asset
Derivative
Notional
Amount
|
|
Asset
Derivative
Fair Value
|
|
Liability
Derivative
Notional
Amount
|
|
Liability
Derivative
Fair Value
|
|
Asset
Derivative
Notional
Amount
|
|
Asset
Derivative
Fair Value
|
|
Liability
Derivative
Notional
Amount
|
|
Liability
Derivative
Fair Value
|
||||||||||||||||
Derivatives designated as hedging instruments:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Foreign currency exposure
|
$
|
108,607
|
|
|
$
|
2,269
|
|
|
$
|
1,554,857
|
|
|
$
|
63,939
|
|
|
$
|
1,396,801
|
|
|
$
|
85,175
|
|
|
$
|
583,722
|
|
|
$
|
25,750
|
|
Total derivatives designated as hedging instruments
|
$
|
108,607
|
|
|
$
|
2,269
|
|
|
$
|
1,554,857
|
|
|
$
|
63,939
|
|
|
$
|
1,396,801
|
|
|
$
|
85,175
|
|
|
$
|
583,722
|
|
|
$
|
25,750
|
|
Derivatives not designated as hedging instruments:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Investment Related Derivatives:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Interest rate exposure
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
24,121
|
|
|
$
|
197
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
Foreign currency exposure
|
291,013
|
|
|
9,457
|
|
|
112,144
|
|
|
1,099
|
|
|
10,049
|
|
|
190
|
|
|
273,767
|
|
|
12,137
|
|
||||||||
Credit exposure
|
7,000
|
|
|
318
|
|
|
47,000
|
|
|
7,298
|
|
|
32,500
|
|
|
1,077
|
|
|
82,500
|
|
|
6,978
|
|
||||||||
Financial market exposure
|
5
|
|
|
1
|
|
|
—
|
|
|
—
|
|
|
5
|
|
|
5
|
|
|
—
|
|
|
—
|
|
|
June 30, 2017
|
|
December 31, 2016
|
||||||||||||||||||||||||||||
(U.S. dollars in thousands)
|
Asset
Derivative
Notional
Amount
|
|
Asset
Derivative
Fair Value
|
|
Liability
Derivative
Notional
Amount
|
|
Liability
Derivative
Fair Value
|
|
Asset
Derivative
Notional
Amount
|
|
Asset
Derivative
Fair Value
|
|
Liability
Derivative
Notional
Amount
|
|
Liability
Derivative
Fair Value
|
||||||||||||||||
Other Non-Investment Derivatives:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Foreign currency exposure
|
181,300
|
|
|
401
|
|
|
—
|
|
|
—
|
|
|
181,300
|
|
|
1,208
|
|
|
—
|
|
|
—
|
|
||||||||
Credit exposure
|
25,488
|
|
|
236
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
24,490
|
|
|
340
|
|
||||||||
Guaranteed minimum income benefit contract
|
39,707
|
|
|
18,001
|
|
|
39,707
|
|
|
18,001
|
|
|
43,553
|
|
|
19,499
|
|
|
43,553
|
|
|
19,499
|
|
||||||||
Modified coinsurance funds withheld contracts (1)
|
53,105
|
|
|
—
|
|
|
4,073,981
|
|
|
—
|
|
|
59,775
|
|
|
—
|
|
|
4,048,446
|
|
|
—
|
|
||||||||
Other
|
5,000
|
|
|
304
|
|
|
—
|
|
|
—
|
|
|
15,000
|
|
|
342
|
|
|
—
|
|
|
—
|
|
||||||||
Total derivatives not designated as hedging instruments
|
$
|
602,618
|
|
|
$
|
28,718
|
|
|
$
|
4,296,953
|
|
|
$
|
26,595
|
|
|
$
|
342,182
|
|
|
$
|
22,321
|
|
|
$
|
4,472,756
|
|
|
$
|
38,954
|
|
Total derivatives
|
|
|
$
|
30,987
|
|
|
|
|
$
|
90,534
|
|
|
|
|
$
|
107,496
|
|
|
|
|
$
|
64,704
|
|
||||||||
Counterparty netting
|
|
|
(2,460
|
)
|
|
|
|
(2,460
|
)
|
|
|
|
(17,947
|
)
|
|
|
|
(17,947
|
)
|
||||||||||||
Total derivatives net of counterparty netting
|
|
|
28,527
|
|
|
|
|
88,074
|
|
|
|
|
89,549
|
|
|
|
|
46,757
|
|
||||||||||||
Cash collateral held/paid (2)
|
|
|
—
|
|
|
|
|
(46,796
|
)
|
|
|
|
(36,980
|
)
|
|
|
|
(5,810
|
)
|
||||||||||||
Total derivatives as recorded in the Unaudited Consolidated Balance Sheets
|
|
|
$
|
28,527
|
|
|
|
|
$
|
41,278
|
|
|
|
|
$
|
52,569
|
|
|
|
|
$
|
40,947
|
|
(1)
|
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 Unaudited Consolidated 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 GreyCastle Life Retro Arrangements under which the Company cedes reinsurance risk are recorded as liability derivative notional amounts. Included in the liability derivative notional amount at
June 30, 2017
is the cumulative net realized and unrealized loss on the life retrocession embedded derivative of
$1.0 billion
.
|
(2)
|
At
June 30, 2017
, the Company held cash collateral related to foreign currency derivative positions and certain other derivative positions of
nil
for derivatives in an asset position and paid cash collateral of
$46.8 million
for derivatives in a liability position. At
December 31, 2016
, the Company held cash collateral related to a foreign currency derivative position and certain other derivative positions of
$37.0 million
for derivatives in an asset position and paid cash collateral of
$5.8 million
for derivatives in a liability position. The assets and liabilities related to the net collateral paid or held were recorded as Other assets and Other liabilities within the Unaudited Consolidated Balance Sheets as the collateral and derivative positions are not intended to be settled on a net basis.
|
Derivative Instruments Designated as Hedges of a Net Investment in a Foreign Operation - Summary
|
Three months ended June 30,
|
|
Six months ended June 30,
|
||||||||||||
(U.S. dollars in thousands)
|
2017
|
|
2016
|
|
2017
|
|
2016
|
||||||||
Weighted average of U.S. dollar equivalent of foreign denominated net assets
|
$
|
1,659,312
|
|
|
$
|
2,394,185
|
|
|
$
|
1,668,229
|
|
|
$
|
2,314,466
|
|
Derivative gains (losses) (1)
|
(49,370
|
)
|
|
45,397
|
|
|
$
|
(78,767
|
)
|
|
$
|
33,882
|
|
(1)
|
Derivative gains (losses) from derivative instruments designated as hedges of an 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)
|
2017
|
|
2016
|
|
2017
|
|
2016
|
||||||||
Investment Related Derivatives:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Interest rate exposure
|
$
|
372
|
|
|
$
|
—
|
|
|
$
|
158
|
|
|
$
|
781
|
|
Foreign currency exposure
|
(988
|
)
|
|
4
|
|
|
(1,733
|
)
|
|
(666
|
)
|
||||
Credit exposure
|
(525
|
)
|
|
16
|
|
|
(1,379
|
)
|
|
(147
|
)
|
||||
Financial market exposure
|
—
|
|
|
(1,811
|
)
|
|
185
|
|
|
(2,821
|
)
|
||||
Other Non-Investment Derivatives:
|
|
|
|
|
|
|
|
|
|||||||
Foreign currency exposure
|
34
|
|
|
183
|
|
|
(1,176
|
)
|
|
(998
|
)
|
||||
Credit exposure
|
138
|
|
|
250
|
|
|
770
|
|
|
(53
|
)
|
||||
Guaranteed minimum income benefit contract
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Modified coinsurance funds withheld contract, including life retrocession embedded derivative
|
238
|
|
|
2,264
|
|
|
(3,687
|
)
|
|
1,188
|
|
||||
Other
|
(175
|
)
|
|
—
|
|
|
(1,113
|
)
|
|
—
|
|
||||
Net realized and unrealized gains (losses) on derivative instruments
|
$
|
(906
|
)
|
|
$
|
906
|
|
|
$
|
(7,975
|
)
|
|
$
|
(2,716
|
)
|
|
|
|
|
|
|
|
|
||||||||
Net realized and unrealized gains (losses) on life retrocession embedded derivative and derivative instruments - Life Funds Withheld Assets
|
$
|
(34,596
|
)
|
|
$
|
(229,742
|
)
|
|
$
|
(84,697
|
)
|
|
$
|
(465,822
|
)
|
Impact of GreyCastle Life Retro Arrangements
|
Three months ended June 30,
|
|
Six months ended June 30,
|
||||||||||||
(U.S. dollars in thousands)
|
2017
|
|
2016
|
|
2017
|
|
2016
|
||||||||
Underwriting profit (loss)
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
Net investment income - Life Funds Withheld Assets
|
31,439
|
|
|
39,146
|
|
|
64,803
|
|
|
80,706
|
|
||||
Net realized gains (losses) on investments sold - Life Funds Withheld Assets
|
29,778
|
|
|
30,114
|
|
|
64,252
|
|
|
64,530
|
|
||||
Net unrealized gains (losses) on investments, Trading - Life Funds Withheld Assets
|
(22,319
|
)
|
|
55,287
|
|
|
(23,725
|
)
|
|
124,383
|
|
||||
OTTI on investments - Life Funds Withheld Assets
|
—
|
|
|
(252
|
)
|
|
—
|
|
|
(2,598
|
)
|
||||
Foreign exchange gains (losses)
|
14,964
|
|
|
(6,755
|
)
|
|
18,259
|
|
|
4,364
|
|
||||
Other income and expenses
|
(19
|
)
|
|
(24
|
)
|
|
(90
|
)
|
|
(170
|
)
|
||||
Net realized and unrealized gains (losses) on life retrocession embedded derivative and derivative instruments - Life Funds Withheld Assets
|
(34,596
|
)
|
|
(229,742
|
)
|
|
(84,697
|
)
|
|
(465,822
|
)
|
||||
Net income (loss)
|
$
|
19,247
|
|
|
$
|
(112,226
|
)
|
|
$
|
38,802
|
|
|
$
|
(194,607
|
)
|
Change in net unrealized gains (losses) on investments - Life Funds Withheld Assets
|
(11,956
|
)
|
|
77,248
|
|
|
(32,064
|
)
|
|
129,238
|
|
||||
Change in adjustments related to future policy benefit reserves
|
3,437
|
|
|
8,727
|
|
|
8,569
|
|
|
25,762
|
|
||||
Change in cumulative translation adjustment - Life Funds Withheld Assets
|
(10,728
|
)
|
|
26,251
|
|
|
(15,307
|
)
|
|
39,607
|
|
||||
Total changes to other comprehensive income as a result of GreyCastle Life Retro Arrangements
|
$
|
(19,247
|
)
|
|
$
|
112,226
|
|
|
$
|
(38,802
|
)
|
|
$
|
194,607
|
|
Comprehensive income (loss)
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
Settlement of Fair Value Hedges - Summary
|
Fair Value Hedges - Structured Indemnity Contracts June 30,
|
||||||
(U.S. dollars in thousands, except years)
|
2017
|
|
2016
|
||||
Cumulative reduction to interest expense
|
$
|
117,818
|
|
|
$
|
108,449
|
|
Remaining balance
|
$
|
115,377
|
|
|
$
|
124,746
|
|
Weighted average years remaining to maturity
|
19.4
|
|
|
20.8
|
|
Contingent Credit Features - Summary:
(U.S. dollars in thousands) |
June 30, 2017
|
|
December 31, 2016
|
||||
Aggregate fair value of derivative agreements with downgrade provisions in a net liability position
|
$
|
52,194
|
|
|
$
|
14,130
|
|
Collateral posted to counterparty
|
$
|
42,840
|
|
|
$
|
4,630
|
|
June 30, 2017
(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)
|
|
Counterparty
Netting
|
|
Balance at
June 30, 2017 |
||||||||||
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Fixed maturities - AFS - Excluding Life Funds Withheld Assets
|
|
|
|
|
|
|
|
|
|
||||||||||
U.S. Government
|
$
|
—
|
|
|
$
|
4,336,342
|
|
|
$
|
19,059
|
|
|
$
|
—
|
|
|
$
|
4,355,401
|
|
U.S. States, municipalities and political subdivisions
|
—
|
|
|
2,283,272
|
|
|
—
|
|
|
—
|
|
|
2,283,272
|
|
|||||
Non-U.S. Governments
|
—
|
|
|
5,123,524
|
|
|
—
|
|
|
—
|
|
|
5,123,524
|
|
|||||
Corporate
|
—
|
|
|
10,541,731
|
|
|
1,184
|
|
|
—
|
|
|
10,542,915
|
|
|||||
RMBS
|
—
|
|
|
3,954,318
|
|
|
—
|
|
|
—
|
|
|
3,954,318
|
|
|||||
CMBS
|
—
|
|
|
795,375
|
|
|
78
|
|
|
—
|
|
|
795,453
|
|
|||||
Other asset-backed securities
|
—
|
|
|
1,580,165
|
|
|
6,891
|
|
|
—
|
|
|
1,587,056
|
|
|||||
Total fixed maturities - AFS - Excluding Funds Withheld Assets, at fair value
|
$
|
—
|
|
|
$
|
28,614,727
|
|
|
$
|
27,212
|
|
|
$
|
—
|
|
|
$
|
28,641,939
|
|
Short-term investments, at fair value (1)
|
—
|
|
|
617,891
|
|
|
3
|
|
|
—
|
|
|
617,894
|
|
|||||
Equity securities, at fair value
|
983,785
|
|
|
190,715
|
|
|
—
|
|
|
—
|
|
|
1,174,500
|
|
|||||
Total investments AFS - Excluding Funds Withheld Assets
|
$
|
983,785
|
|
|
$
|
29,423,333
|
|
|
$
|
27,215
|
|
|
$
|
—
|
|
|
$
|
30,434,333
|
|
Fixed maturities - Life Funds Withheld Assets
|
|
|
|
|
|
|
|
|
|
||||||||||
U.S. Government
|
$
|
—
|
|
|
$
|
10,923
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
10,923
|
|
U.S. States, municipalities and political subdivisions
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
Non-U.S. Governments
|
—
|
|
|
595,736
|
|
|
—
|
|
|
—
|
|
|
595,736
|
|
|||||
Corporate
|
—
|
|
|
1,247,327
|
|
|
—
|
|
|
—
|
|
|
1,247,327
|
|
|||||
RMBS
|
—
|
|
|
627
|
|
|
—
|
|
|
—
|
|
|
627
|
|
|||||
CMBS
|
—
|
|
|
121,094
|
|
|
—
|
|
|
—
|
|
|
121,094
|
|
|||||
Other asset-backed securities
|
—
|
|
|
193,078
|
|
|
—
|
|
|
—
|
|
|
193,078
|
|
|||||
Total fixed maturities - AFS - Life Funds Withheld Assets, at fair value
|
$
|
—
|
|
|
$
|
2,168,785
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
2,168,785
|
|
Total investments - AFS, at fair value
|
$
|
983,785
|
|
|
$
|
31,592,118
|
|
|
$
|
27,215
|
|
|
$
|
—
|
|
|
$
|
32,603,118
|
|
|
|
|
|
|
|
|
|
|
|
June 30, 2017
(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)
|
|
Counterparty
Netting
|
|
Balance at
June 30, 2017 |
||||||||||
Fixed maturities - Trading
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
U.S. Government
|
$
|
—
|
|
|
$
|
16,308
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
16,308
|
|
U.S. States, municipalities and political subdivisions
|
—
|
|
|
70
|
|
|
—
|
|
|
—
|
|
|
70
|
|
|||||
Non-U.S. Governments
|
—
|
|
|
463,489
|
|
|
—
|
|
|
—
|
|
|
463,489
|
|
|||||
Corporate
|
—
|
|
|
1,243,221
|
|
|
—
|
|
|
—
|
|
|
1,243,221
|
|
|||||
RMBS
|
—
|
|
|
838
|
|
|
—
|
|
|
—
|
|
|
838
|
|
|||||
CMBS
|
—
|
|
|
7,318
|
|
|
—
|
|
|
—
|
|
|
7,318
|
|
|||||
Other asset-backed securities
|
—
|
|
|
41,633
|
|
|
—
|
|
|
—
|
|
|
41,633
|
|
|||||
Total fixed maturities - Trading - Life Funds Withheld Assets, at fair value
|
$
|
—
|
|
|
$
|
1,772,877
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
1,772,877
|
|
Short-term investments, at fair value (1)
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
Total investments, Trading
|
$
|
—
|
|
|
$
|
1,772,877
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
1,772,877
|
|
Cash equivalents (2)
|
627,621
|
|
|
752,843
|
|
|
—
|
|
|
—
|
|
|
1,380,464
|
|
|||||
Cash equivalents - Life Funds Withheld Assets (2)
|
—
|
|
|
78,200
|
|
|
—
|
|
|
—
|
|
|
78,200
|
|
|||||
Other investments (3)
|
—
|
|
|
509,951
|
|
|
220,348
|
|
|
—
|
|
|
730,299
|
|
|||||
Other assets (4)
|
—
|
|
|
12,446
|
|
|
18,541
|
|
|
(2,460
|
)
|
|
28,527
|
|
|||||
Total assets accounted for at fair value
|
$
|
1,611,406
|
|
|
$
|
34,718,435
|
|
|
$
|
266,104
|
|
|
$
|
(2,460
|
)
|
|
$
|
36,593,485
|
|
Liabilities
|
|
|
|
|
|
|
|
|
|
||||||||||
Funds withheld on GreyCastle Life Retro Arrangements (net of future policy benefit reserves recoverable) (5)
|
$
|
—
|
|
|
$
|
1,010,974
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
1,010,974
|
|
Other liabilities (4)
|
—
|
|
|
72,533
|
|
|
18,001
|
|
|
(2,460
|
)
|
|
88,074
|
|
|||||
Total liabilities accounted for at fair value
|
$
|
—
|
|
|
$
|
1,083,507
|
|
|
$
|
18,001
|
|
|
$
|
(2,460
|
)
|
|
$
|
1,099,048
|
|
December 31, 2016
(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)
|
|
Counterparty
Netting
|
|
Balance at
December 31,
2016
|
||||||||||
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Fixed maturities - AFS - Excluding Life Funds Withheld Assets
|
|
|
|
|
|
|
|
|
|
||||||||||
U.S. Government
|
$
|
—
|
|
|
$
|
3,869,637
|
|
|
$
|
24,751
|
|
|
$
|
—
|
|
|
$
|
3,894,388
|
|
U.S. States, municipalities and political subdivisions
|
—
|
|
|
2,478,112
|
|
|
—
|
|
|
—
|
|
|
2,478,112
|
|
|||||
Non-U.S. Governments
|
—
|
|
|
5,030,132
|
|
|
—
|
|
|
—
|
|
|
5,030,132
|
|
|||||
Corporate
|
—
|
|
|
10,114,644
|
|
|
20,085
|
|
|
—
|
|
|
10,134,729
|
|
|||||
RMBS
|
—
|
|
|
4,492,625
|
|
|
—
|
|
|
—
|
|
|
4,492,625
|
|
|||||
CMBS
|
—
|
|
|
665,087
|
|
|
99
|
|
|
—
|
|
|
665,186
|
|
|||||
Other asset-backed securities
|
—
|
|
|
1,252,257
|
|
|
1,131
|
|
|
—
|
|
|
1,253,388
|
|
|||||
Total fixed maturities - AFS - Excluding Funds Withheld Assets, at fair value
|
$
|
—
|
|
|
$
|
27,902,494
|
|
|
$
|
46,066
|
|
|
$
|
—
|
|
|
$
|
27,948,560
|
|
Short-term investments, at fair value (1)
|
—
|
|
|
625,193
|
|
|
—
|
|
|
—
|
|
|
625,193
|
|
|||||
Equity securities, at fair value
|
898,664
|
|
|
138,667
|
|
|
—
|
|
|
—
|
|
|
1,037,331
|
|
|||||
Total investments AFS - Excluding Funds Withheld Assets
|
$
|
898,664
|
|
|
$
|
28,666,354
|
|
|
$
|
46,066
|
|
|
$
|
—
|
|
|
$
|
29,611,084
|
|
December 31, 2016
(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)
|
|
Counterparty
Netting
|
|
Balance at
December 31,
2016
|
||||||||||
Fixed maturities - Life Funds Withheld Assets
|
|
|
|
|
|
|
|
|
|
||||||||||
U.S. Government
|
$
|
—
|
|
|
$
|
10,577
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
10,577
|
|
U.S. States, municipalities and political subdivisions
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
Non-U.S. Governments
|
—
|
|
|
624,677
|
|
|
—
|
|
|
—
|
|
|
624,677
|
|
|||||
Corporate
|
—
|
|
|
1,454,608
|
|
|
—
|
|
|
—
|
|
|
1,454,608
|
|
|||||
RMBS
|
—
|
|
|
22,380
|
|
|
—
|
|
|
—
|
|
|
22,380
|
|
|||||
CMBS
|
—
|
|
|
94,240
|
|
|
—
|
|
|
—
|
|
|
94,240
|
|
|||||
Other asset-backed securities
|
—
|
|
|
101,560
|
|
|
—
|
|
|
—
|
|
|
101,560
|
|
|||||
Total fixed maturities - AFS - Life Funds Withheld Assets, at fair value
|
$
|
—
|
|
|
$
|
2,308,042
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
2,308,042
|
|
Total investments - AFS, at fair value
|
$
|
898,664
|
|
|
$
|
30,974,396
|
|
|
$
|
46,066
|
|
|
$
|
—
|
|
|
$
|
31,919,126
|
|
Fixed maturities - Trading
|
|
|
|
|
|
|
|
|
|
||||||||||
U.S. Government
|
$
|
—
|
|
|
$
|
14,708
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
14,708
|
|
U.S. States, municipalities and political subdivisions
|
—
|
|
|
224
|
|
|
—
|
|
|
—
|
|
|
224
|
|
|||||
Non-U.S. Governments
|
—
|
|
|
444,944
|
|
|
—
|
|
|
—
|
|
|
444,944
|
|
|||||
Corporate
|
—
|
|
|
1,111,205
|
|
|
—
|
|
|
—
|
|
|
1,111,205
|
|
|||||
RMBS
|
—
|
|
|
961
|
|
|
—
|
|
|
—
|
|
|
961
|
|
|||||
CMBS
|
—
|
|
|
5,526
|
|
|
—
|
|
|
—
|
|
|
5,526
|
|
|||||
Other asset-backed securities
|
—
|
|
|
39,446
|
|
|
—
|
|
|
—
|
|
|
39,446
|
|
|||||
Total fixed maturities - Trading - Life Funds Withheld Assets, at fair value
|
$
|
—
|
|
|
$
|
1,617,014
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
1,617,014
|
|
Short-term investments, at fair value (1)
|
—
|
|
|
9,563
|
|
|
—
|
|
|
—
|
|
|
9,563
|
|
|||||
Total investments, Trading
|
$
|
—
|
|
|
$
|
1,626,577
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
1,626,577
|
|
Cash equivalents (2)
|
573,398
|
|
|
1,096,254
|
|
|
—
|
|
|
—
|
|
|
1,669,652
|
|
|||||
Cash equivalents - Life Funds Withheld Assets (2)
|
—
|
|
|
72,798
|
|
|
—
|
|
|
—
|
|
|
72,798
|
|
|||||
Other investments (3)
|
—
|
|
|
493,874
|
|
|
205,528
|
|
|
—
|
|
|
699,402
|
|
|||||
Other assets (4)
|
—
|
|
|
87,655
|
|
|
19,841
|
|
|
(17,947
|
)
|
|
89,549
|
|
|||||
Total assets accounted for at fair value
|
$
|
1,472,062
|
|
|
$
|
34,351,554
|
|
|
$
|
271,435
|
|
|
$
|
(17,947
|
)
|
|
$
|
36,077,104
|
|
Liabilities
|
|
|
|
|
|
|
|
|
|
||||||||||
Funds withheld on GreyCastle Life Retro Arrangements (net of future policy benefit reserves recoverable) (5)
|
$
|
—
|
|
|
$
|
937,721
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
937,721
|
|
Other liabilities (4)
|
—
|
|
|
44,865
|
|
|
19,839
|
|
|
(17,947
|
)
|
|
46,757
|
|
|||||
Total liabilities accounted for at fair value
|
$
|
—
|
|
|
$
|
982,586
|
|
|
$
|
19,839
|
|
|
$
|
(17,947
|
)
|
|
$
|
984,478
|
|
(1)
|
Short-term investments consist primarily of Other asset-backed securities, U.S. and Non-U.S. Government securities and Corporate securities.
|
(2)
|
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.
|
(3)
|
Excluded from Other Investments are certain investments which are measured using net asset value as a practical expedient in the amount of
$247.8 million
and
$322.9 million
at
June 30, 2017
and
December 31, 2016
, respectively. Under GAAP, these investments are excluded from the fair value hierarchy table. In addition, the Other investments balance excludes loans held at amortized cost. These investments, which totaled
$148.6 million
at
June 30, 2017
and
$142.3 million
at
December 31, 2016
, are carried at amortized cost. For further information, see Item 8,
Note 6, "Other Investments
," to the Consolidated Financial Statements included in
the Company's Annual Report on Form 10-K for the year ended December 31, 2016
.
|
(4)
|
Other assets and other liabilities include derivative instruments. The derivative balances included in each category are reported gross of cash collateral by level with a counterparty netting adjustment presented separately in the 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 5, "Derivative Instruments
."
|
(5)
|
Funds withheld on GreyCastle Life Retro 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 GreyCastle Life Retro Arrangements described in
Note 1, "Significant Accounting Policies
," accrue to the benefit of GCLR.
|
|
Level 3 Assets and Liabilities - Three Months Ended June 30, 2017
|
||||||||||||||||||||||||||||||||||
(U.S. dollars in thousands)
|
Balance, beginning of period
|
|
Realized gains (losses)
|
|
Movement in unrealized gains (losses)
|
|
Purchases and Issuances
|
|
Sales
|
|
Settlements
|
|
Net transfers into (out of) Level 3 (1)
|
|
Balance, end of period
|
|
Movement in total gains (losses) relating to investments still held
|
||||||||||||||||||
U.S. Government
|
$
|
19,308
|
|
|
$
|
(19
|
)
|
|
$
|
81
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(311
|
)
|
|
$
|
—
|
|
|
$
|
19,059
|
|
|
$
|
96
|
|
Non-U.S. Governments
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||||||
Corporate
|
9,899
|
|
|
27
|
|
|
(30
|
)
|
|
—
|
|
|
(9,730
|
)
|
|
—
|
|
|
1,018
|
|
|
1,184
|
|
|
(31
|
)
|
|||||||||
RMBS
|
3,381
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(3,381
|
)
|
|
—
|
|
|
—
|
|
|||||||||
CMBS
|
101
|
|
|
21
|
|
|
(20
|
)
|
|
—
|
|
|
—
|
|
|
(24
|
)
|
|
—
|
|
|
78
|
|
|
(20
|
)
|
|||||||||
Other asset-backed securities
|
3,950
|
|
|
56
|
|
|
1,010
|
|
|
6,890
|
|
|
(1,446
|
)
|
|
(240
|
)
|
|
(3,329
|
)
|
|
6,891
|
|
|
—
|
|
|||||||||
Short-term investments
|
11,665
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(11,662
|
)
|
|
—
|
|
|
—
|
|
|
3
|
|
|
—
|
|
|||||||||
Other investments
|
203,965
|
|
|
5,067
|
|
|
9,178
|
|
|
11,297
|
|
|
(2,207
|
)
|
|
(6,952
|
)
|
|
—
|
|
|
220,348
|
|
|
3,858
|
|
|||||||||
Derivative Contracts - Net
|
163
|
|
|
—
|
|
|
377
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
540
|
|
|
377
|
|
|||||||||
Total
|
$
|
252,432
|
|
|
$
|
5,152
|
|
|
$
|
10,596
|
|
|
$
|
18,187
|
|
|
$
|
(25,045
|
)
|
|
$
|
(7,527
|
)
|
|
$
|
(5,692
|
)
|
|
$
|
248,103
|
|
|
$
|
4,280
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
|
Level 3 Assets and Liabilities - Three Months Ended June 30, 2016
|
||||||||||||||||||||||||||||||||||
(U.S. dollars in thousands)
|
Balance, beginning of period
|
|
Realized gains (losses)
|
|
Movement in unrealized gains (losses)
|
|
Purchases and Issuances
|
|
Sales
|
|
Settlements
|
|
Net transfers into (out of) Level 3 (1)
|
|
Balance, end of period
|
|
Movement in total gains (losses) relating to investments still held
|
||||||||||||||||||
U.S. Government
|
$
|
44,940
|
|
|
$
|
(38
|
)
|
|
$
|
34
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(680
|
)
|
|
$
|
—
|
|
|
$
|
44,256
|
|
|
$
|
(3
|
)
|
Non-U.S. Governments
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||||||
Corporate
|
43,764
|
|
|
44
|
|
|
(28
|
)
|
|
1,786
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
45,566
|
|
|
17
|
|
|||||||||
RMBS
|
2,853
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(1
|
)
|
|
(2,837
|
)
|
|
15
|
|
|
—
|
|
|||||||||
CMBS
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||||||
Other asset-backed securities
|
25,929
|
|
|
(478
|
)
|
|
1,034
|
|
|
1,072
|
|
|
—
|
|
|
(5,028
|
)
|
|
2,120
|
|
|
24,649
|
|
|
557
|
|
|||||||||
Short-term investments
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||||||
Other investments
|
301,095
|
|
|
1,024
|
|
|
(5,740
|
)
|
|
11,374
|
|
|
—
|
|
|
(4,647
|
)
|
|
(59,868
|
)
|
|
243,238
|
|
|
(4,716
|
)
|
|||||||||
Derivative Contracts - Net
|
(9,852
|
)
|
|
—
|
|
|
16
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(9,836
|
)
|
|
16
|
|
|||||||||
Total
|
$
|
408,729
|
|
|
$
|
552
|
|
|
$
|
(4,684
|
)
|
|
$
|
14,232
|
|
|
$
|
—
|
|
|
$
|
(10,356
|
)
|
|
$
|
(60,585
|
)
|
|
$
|
347,888
|
|
|
$
|
(4,129
|
)
|
(1)
|
Net transfers include both movement in and movement out of Level 3. Corporate for the
three months ended June 30, 2017
, includes
$1.1 million
of incoming transfers partially offset by
$0.1 million
of outgoing transfers. Other asset-backed securities, for the
three months ended June 30, 2017
, includes
$6.7 million
of outgoing transfers partially offset by
$3.4 million
of incoming transfers. Other asset-backed securities, for the
three months ended June 30, 2016
, includes
$3.0 million
of incoming transfers partially offset by
$0.9 million
of outgoing transfers.
|
|
Level 3 Assets and Liabilities - Six Months Ended June 30, 2017
|
||||||||||||||||||||||||||||||||||
(U.S. dollars in thousands)
|
Balance, beginning of period
|
|
Realized gains (losses)
|
|
Movement in unrealized gains (losses)
|
|
Purchases and Issuances
|
|
Sales
|
|
Settlements
|
|
Net transfers into (out of) Level 3 (1)
|
|
Balance, end of period
|
|
Movement in total gains (losses) relating to investments still held
|
||||||||||||||||||
U.S. Government
|
$
|
24,751
|
|
|
$
|
(38
|
)
|
|
$
|
(274
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(622
|
)
|
|
$
|
(4,758
|
)
|
|
$
|
19,059
|
|
|
$
|
(278
|
)
|
Non-U.S. Governments
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||||||
Corporate
|
20,085
|
|
|
27
|
|
|
(19
|
)
|
|
—
|
|
|
(20,014
|
)
|
|
(31
|
)
|
|
1,136
|
|
|
1,184
|
|
|
(32
|
)
|
|||||||||
RMBS
|
—
|
|
|
17
|
|
|
(526
|
)
|
|
—
|
|
|
—
|
|
|
(173
|
)
|
|
682
|
|
|
—
|
|
|
—
|
|
|||||||||
CMBS
|
99
|
|
|
21
|
|
|
(18
|
)
|
|
—
|
|
|
—
|
|
|
(24
|
)
|
|
—
|
|
|
78
|
|
|
(18
|
)
|
|||||||||
Other asset-backed securities
|
1,131
|
|
|
86
|
|
|
1,111
|
|
|
6,890
|
|
|
(1,446
|
)
|
|
(286
|
)
|
|
(595
|
)
|
|
6,891
|
|
|
—
|
|
|||||||||
Short-term investments
|
—
|
|
|
—
|
|
|
—
|
|
|
11,693
|
|
|
(11,662
|
)
|
|
(28
|
)
|
|
—
|
|
|
3
|
|
|
—
|
|
|||||||||
Other investments
|
205,528
|
|
|
(474
|
)
|
|
16,280
|
|
|
16,279
|
|
|
(2,207
|
)
|
|
(12,349
|
)
|
|
(2,709
|
)
|
|
220,348
|
|
|
10,201
|
|
|||||||||
Derivative Contracts - Net
|
2
|
|
|
—
|
|
|
538
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
540
|
|
|
538
|
|
|||||||||
Total
|
$
|
251,596
|
|
|
$
|
(361
|
)
|
|
$
|
17,092
|
|
|
$
|
34,862
|
|
|
$
|
(35,329
|
)
|
|
$
|
(13,513
|
)
|
|
$
|
(6,244
|
)
|
|
$
|
248,103
|
|
|
$
|
10,411
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
|
Level 3 Assets and Liabilities - Six Months Ended June 30, 2016
|
||||||||||||||||||||||||||||||||||
(U.S. dollars in thousands)
|
Balance, beginning of period
|
|
Realized gains (losses)
|
|
Movement in unrealized gains (losses)
|
|
Purchases and Issuances
|
|
Sales
|
|
Settlements
|
|
Net transfers into (out of) Level 3 (1)
|
|
Balance, end of period
|
|
Movement in total gains (losses) relating to investments still held
|
||||||||||||||||||
U.S. Government
|
$
|
45,063
|
|
|
$
|
(75
|
)
|
|
$
|
627
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(1,359
|
)
|
|
$
|
—
|
|
|
$
|
44,256
|
|
|
$
|
551
|
|
Non-U.S. Governments
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||||||
Corporate
|
53,873
|
|
|
97
|
|
|
(68
|
)
|
|
1,955
|
|
|
—
|
|
|
(6
|
)
|
|
(10,285
|
)
|
|
45,566
|
|
|
31
|
|
|||||||||
RMBS
|
3,077
|
|
|
(3
|
)
|
|
7
|
|
|
—
|
|
|
—
|
|
|
(229
|
)
|
|
(2,837
|
)
|
|
15
|
|
|
4
|
|
|||||||||
CMBS
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||||||
Other asset-backed securities
|
50,265
|
|
|
612
|
|
|
3,533
|
|
|
1,072
|
|
|
—
|
|
|
(32,953
|
)
|
|
2,120
|
|
|
24,649
|
|
|
4,146
|
|
|||||||||
Short-term investments
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||||||
Other investments
|
283,550
|
|
|
6,831
|
|
|
(8,457
|
)
|
|
25,153
|
|
|
—
|
|
|
(19,465
|
)
|
|
(44,374
|
)
|
|
243,238
|
|
|
(1,626
|
)
|
|||||||||
Derivative Contracts - Net
|
(9,791
|
)
|
|
—
|
|
|
(45
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(9,836
|
)
|
|
(45
|
)
|
|||||||||
Total
|
$
|
426,037
|
|
|
$
|
7,462
|
|
|
$
|
(4,403
|
)
|
|
$
|
28,180
|
|
|
$
|
—
|
|
|
$
|
(54,012
|
)
|
|
$
|
(55,376
|
)
|
|
$
|
347,888
|
|
|
$
|
3,061
|
|
(1)
|
Net transfers include both movement in and movement out of Level 3. Corporate for the
six months ended June 30, 2017
, includes
$1.2 million
of incoming transfers partially offset by
$0.1 million
of outgoing transfers. RMBS for the
six months ended June 30, 2017
, includes
$4.1 million
of incoming transfers partially offset by
$3.4 million
of outgoing transfers. Other asset-backed securities, for the
six months ended June 30, 2017
, includes
$6.7 million
of outgoing transfers partially offset by
$6.1 million
of incoming transfers. Other investments, for the
six months ended June 30, 2016
, includes
$59.9 million
of outgoing transfers partially offset by
$15.5 million
of incoming transfers. Other asset-backed securities, for the
six months ended June 30, 2016
, includes
$3.0 million
of incoming transfers partially offset by
$0.9 million
of outgoing transfers.
|
|
June 30, 2017
|
|
December 31, 2016
|
||||||||||||
(U.S. dollars in thousands)
|
Carrying
Value
|
|
Fair
Value
|
|
Carrying
Value
|
|
Fair
Value
|
||||||||
Financial Assets
- Other investments
|
$
|
148,634
|
|
|
$
|
158,585
|
|
|
$
|
142,271
|
|
|
$
|
153,173
|
|
Deposit liabilities
|
$
|
1,123,628
|
|
|
$
|
1,365,910
|
|
|
$
|
1,116,233
|
|
|
$
|
1,337,406
|
|
Notes payable and debt
|
3,243,800
|
|
|
3,494,523
|
|
|
2,647,677
|
|
|
2,813,257
|
|
||||
Financial Liabilities
|
$
|
4,367,428
|
|
|
$
|
4,860,433
|
|
|
$
|
3,763,910
|
|
|
$
|
4,150,663
|
|
(U.S. dollars in thousands)
|
Goodwill
|
|
Intangible
assets with an indefinite life |
|
Intangible
assets with a definite life |
|
Total
|
||||||||
Balance at December 31, 2016
|
$
|
1,213,524
|
|
|
$
|
682,779
|
|
|
$
|
307,350
|
|
|
$
|
2,203,653
|
|
Amortization
|
—
|
|
|
—
|
|
|
(10,990
|
)
|
|
(10,990
|
)
|
||||
Foreign Currency Translation
|
12,515
|
|
|
9,792
|
|
|
4,420
|
|
|
26,727
|
|
||||
Balance at June 30, 2017
|
$
|
1,226,039
|
|
|
$
|
692,571
|
|
|
$
|
300,780
|
|
|
$
|
2,219,390
|
|
(U.S. dollars in thousands)
|
2017
|
|
2016
|
||||
Unpaid losses and loss expenses at the beginning of the year
|
$
|
25,939,571
|
|
|
$
|
25,439,744
|
|
Unpaid losses and loss expenses recoverable at the beginning of the year (1)
|
5,480,300
|
|
|
5,248,905
|
|
||
Net unpaid losses and loss expenses at the beginning of the year
|
$
|
20,459,271
|
|
|
$
|
20,190,839
|
|
Acquired reserves
|
—
|
|
|
101,315
|
|
||
Increase (decrease) in net losses and loss expenses incurred in respect of losses occurring in:
|
|
|
|
||||
Current year
|
3,175,267
|
|
|
3,156,913
|
|
||
Prior year
|
(62,728
|
)
|
|
(142,042
|
)
|
||
Total net incurred losses and loss expenses
|
$
|
3,112,539
|
|
|
$
|
3,014,871
|
|
Foreign exchange and other
|
292,040
|
|
|
(286,488
|
)
|
||
Less net losses and loss expenses paid in respect of losses occurring in:
|
|
|
|
||||
Current year
|
343,934
|
|
|
336,223
|
|
||
Prior year
|
2,547,073
|
|
|
2,078,836
|
|
||
Total net paid losses
|
$
|
2,891,007
|
|
|
$
|
2,415,059
|
|
Net unpaid losses and loss expenses at June 30
|
20,972,843
|
|
|
20,605,478
|
|
||
Unpaid losses and loss expenses recoverable at June 30 (1)
|
5,849,503
|
|
|
5,415,086
|
|
||
Unpaid losses and loss expenses at June 30
|
$
|
26,822,346
|
|
|
$
|
26,020,564
|
|
|
Six Months Ended
|
||||||
|
June 30,
|
||||||
(U.S. dollars in thousands)
|
2017
|
|
2016
|
||||
Insurance segment
|
$
|
(21,869
|
)
|
|
$
|
(44,813
|
)
|
Reinsurance segment
|
(40,859
|
)
|
|
(97,229
|
)
|
||
Total
|
$
|
(62,728
|
)
|
|
$
|
(142,042
|
)
|
|
Six Months Ended
|
||||||
|
June 30,
|
||||||
(U.S. dollars in thousands)
|
2017
|
|
2016
|
||||
Professional
|
$
|
(56,390
|
)
|
|
$
|
1,500
|
|
Casualty
|
(75,674
|
)
|
|
(45,665
|
)
|
||
Property
|
93,536
|
|
|
8,984
|
|
||
Specialty
|
16,659
|
|
|
(9,632
|
)
|
||
Total
|
$
|
(21,869
|
)
|
|
$
|
(44,813
|
)
|
•
|
For professional lines, net prior year development was
$56.4 million
favorable
. This was driven by better than expected loss experience in North America, partially offset by strengthening in the international financial lines management liability book to reflect significant large loss experience.
|
•
|
For casualty lines, net prior year development was
$75.7 million
favorable
. This was driven by better than expected loss experience on mature years of a North America excess casualty book resulting in releases of
$50.4 million
, as well as reductions to reflect better than expected loss experience reported on North America construction and global risk management. This was partially offset by strengthening to reflect worse than expected loss experience reported on the excess and surplus portfolio.
|
•
|
For property lines, net prior year development was
$93.5 million
unfavorable
. This was driven by deteriorations in our view of the London wholesale property book which led to strengthening of
$49.3 million
, and significant adverse large loss experience on the energy property book resulting in strengthening of
$38.2 million
.
|
•
|
For specialty lines, net prior year development was
$16.7 million
unfavorable
. This was driven by worse than expected large losses experience in more recent years in the crisis management and political risk & trade credit portfolios.
|
|
Six Months Ended
|
||||||
|
June 30,
|
||||||
(U.S. dollars in thousands)
|
2017
|
|
2016
|
||||
Property and other short-tail lines
|
$
|
(110,025
|
)
|
|
$
|
(38,421
|
)
|
Casualty and other long-tail lines
|
69,166
|
|
|
(58,808
|
)
|
||
Total
|
$
|
(40,859
|
)
|
|
$
|
(97,229
|
)
|
▪
|
Net
favorable
prior year development for the short-tail lines totaled
$110.0 million
. Details of the significant components are as follows:
|
•
|
For property catastrophe lines, net prior year development was
$43.1 million
favorable, primarily due to better than expected experience on attritional losses.
|
•
|
For property other lines, net prior year development was
$63.4 million
favorable, mainly due to better than expected experience on attritional losses. Favorable releases on catastrophe and large losses also contributed to the favorable prior year reserve development.
|
•
|
For specialty lines, net prior year development was
$3.5 million
favorable, mainly due to favorable development on attritional losses.
|
▪
|
Net
unfavorable
prior year development for the long-tail lines totaled
$69.2 million
. Details of the significant components are as follows:
|
▪
|
For casualty lines, net prior year development was
$64.0 million
unfavorable primarily due to the decrease of the discount rate used to calculate lump sum awards in U.K. bodily injury cases from
2.5%
to negative
0.75%
, which impacted the Company's carried reserves for relevant lines of business, primarily U.K. motor business. This adverse development was partially offset by better than expected attritional experience.
|
▪
|
For other lines, net prior year development was
$5.2 million
unfavorable mainly due to worse than expected experience on attritional losses.
|
(U.S. dollars in thousands)
|
June 30, 2017
|
|
December 31, 2016
|
||||||||||||
Commitment/
Debt (1)
|
|
In Use/
Outstanding (2)
|
|
Commitment/
Debt (1)
|
|
In Use/
Outstanding (2)
|
|||||||||
Debt:
|
|
|
|
|
|
|
|
||||||||
2.30% Senior Notes due December 2018
|
$
|
300,000
|
|
|
$
|
299,021
|
|
|
$
|
300,000
|
|
|
$
|
298,686
|
|
5.75% Senior Notes due October 2021
|
400,000
|
|
|
398,169
|
|
|
400,000
|
|
|
397,953
|
|
||||
6.375% Senior Notes due November 2024
|
350,000
|
|
|
349,193
|
|
|
350,000
|
|
|
349,139
|
|
||||
4.45% Subordinated Notes due March 2025
|
500,000
|
|
|
493,733
|
|
|
500,000
|
|
|
493,329
|
|
||||
6.25% Senior Notes due May 2027
|
325,000
|
|
|
323,453
|
|
|
325,000
|
|
|
323,375
|
|
||||
5.25% Senior Notes due December 2043
|
300,000
|
|
|
296,493
|
|
|
300,000
|
|
|
296,427
|
|
||||
5.5% Subordinated Notes due March 2045
|
500,000
|
|
|
488,966
|
|
|
500,000
|
|
|
488,768
|
|
||||
3.25% Subordinated Notes due June 2047
|
568,800
|
|
|
558,311
|
|
|
—
|
|
|
—
|
|
||||
Total debt carrying value
|
$
|
3,243,800
|
|
|
$
|
3,207,339
|
|
|
$
|
2,675,000
|
|
|
$
|
2,647,677
|
|
(1)
|
Excluded from the table are certain credit facilities under which the Company is permitted to utilize up to
$750.0 million
at
June 30, 2017
and
$1.0 billion
at
December 31, 2016
, for revolving loans to support general operating and financing needs. At
June 30, 2017
and
December 31, 2016
,
$44.7 million
and
$245 million
, respectively, were utilized under these facilities to issue letters of credit, leaving
$705.3 million
and
$755.0 million
, respectively, available to support other operating and financing needs.
|
|
June 30, 2017
|
|
December 31, 2016
|
||||||||||||
(U.S. dollars in thousands)
|
Commitment/
Debt |
|
In Use/
Outstanding |
|
Commitment/
Debt |
|
In Use/
Outstanding |
||||||||
Facility Name:
|
|
|
|
|
|
|
|
||||||||
2015 Citi Facility
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
250,000
|
|
|
$
|
245,000
|
|
Goldman Facility
|
200,000
|
|
|
200,000
|
|
|
200,000
|
|
|
200,000
|
|
||||
2016 Credit Agricole Facility I
|
125,000
|
|
|
125,000
|
|
|
125,000
|
|
|
125,000
|
|
||||
2016 Credit Agricole Facility II
|
125,000
|
|
|
125,000
|
|
|
125,000
|
|
|
125,000
|
|
||||
2017 Commonwealth Bank Facility
|
215,000
|
|
|
215,000
|
|
|
—
|
|
|
—
|
|
||||
FAL Facility I
|
125,000
|
|
|
125,000
|
|
|
125,000
|
|
|
125,000
|
|
||||
FAL Facility II
|
125,000
|
|
|
125,000
|
|
|
125,000
|
|
|
125,000
|
|
||||
FAL Facility III
|
125,000
|
|
|
125,000
|
|
|
125,000
|
|
|
125,000
|
|
||||
FAL Facility IV
|
125,000
|
|
|
125,000
|
|
|
125,000
|
|
|
125,000
|
|
||||
Syndicated Unsecured Facility (1)
|
750,000
|
|
|
44,747
|
|
|
750,000
|
|
|
—
|
|
||||
Syndicated Secured Facility (1)
|
750,000
|
|
|
552,383
|
|
|
750,000
|
|
|
531,962
|
|
||||
CICL Facility
|
190,000
|
|
|
178,710
|
|
|
180,000
|
|
|
159,207
|
|
||||
Citi EU Facility
|
600,000
|
|
|
100,705
|
|
|
600,000
|
|
|
84,641
|
|
||||
London Market Facility
|
250,000
|
|
|
124,324
|
|
|
250,000
|
|
|
117,063
|
|
||||
CRCH Facility
|
270,000
|
|
|
268,872
|
|
|
250,000
|
|
|
245,733
|
|
||||
Syndicate 2003 Facility
|
14,062
|
|
|
14,070
|
|
|
11,687
|
|
|
11,687
|
|
||||
Total LOC facilities
|
$
|
3,989,062
|
|
|
$
|
2,448,811
|
|
|
$
|
3,991,687
|
|
|
$
|
2,345,293
|
|
|
|
|
|
|
|
|
|
(1)
|
We have the option to increase the size of the Syndicated Secured and Unsecured Facilities by an aggregate of
$500 million
.
|
(U.S. dollars in thousands)
|
Three months ended June 30,
|
|
Six months ended June 30,
|
||||||||||||
2017
|
|
2016
|
|
2017
|
|
2016
|
|||||||||
Reported net premiums
|
$
|
44,042
|
|
|
$
|
21,889
|
|
|
$
|
65,757
|
|
|
$
|
45,905
|
|
Reported net losses
|
$
|
20,558
|
|
|
$
|
3,836
|
|
|
$
|
31,808
|
|
|
$
|
15,896
|
|
Reported net acquisition costs
|
$
|
18,741
|
|
|
$
|
7,831
|
|
|
$
|
27,955
|
|
|
$
|
19,435
|
|
Dividend yield
|
2.00
|
%
|
Risk free interest rate
|
1.96
|
%
|
Volatility
|
19.5
|
%
|
Expected lives
|
6.0 years
|
|
Three Months Ended June 30, 2017
(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
|
$
|
816,882
|
|
|
$
|
(49,510
|
)
|
|
$
|
100,908
|
|
|
$
|
(25,244
|
)
|
|
$
|
1,938
|
|
|
$
|
844,974
|
|
OCI before reclassifications
|
179,229
|
|
|
—
|
|
|
7,028
|
|
|
(539
|
)
|
|
—
|
|
|
185,718
|
|
||||||
Amounts reclassified from AOCI
|
(94,591
|
)
|
|
1,511
|
|
|
—
|
|
|
—
|
|
|
(48
|
)
|
|
(93,128
|
)
|
||||||
Tax benefit (expense)
|
(8,228
|
)
|
|
(14
|
)
|
|
(8,120
|
)
|
|
(37
|
)
|
|
—
|
|
|
(16,399
|
)
|
||||||
Net current period OCI - net of tax
|
76,410
|
|
|
1,497
|
|
|
(1,092
|
)
|
|
(576
|
)
|
|
(48
|
)
|
|
76,191
|
|
||||||
Balance, end of period, net of tax
|
$
|
893,292
|
|
|
$
|
(48,013
|
)
|
|
$
|
99,816
|
|
|
$
|
(25,820
|
)
|
|
$
|
1,890
|
|
|
$
|
921,165
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Three Months Ended June 30, 2016
(U.S. dollars in thousands) |
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Balance, beginning of period, net of tax
|
$
|
1,226,295
|
|
|
$
|
(55,235
|
)
|
|
$
|
(52,942
|
)
|
|
$
|
(25,690
|
)
|
|
$
|
2,129
|
|
|
$
|
1,094,557
|
|
OCI before reclassifications
|
392,620
|
|
|
—
|
|
|
71,918
|
|
|
100
|
|
|
—
|
|
|
464,638
|
|
||||||
Amounts reclassified from AOCI
|
(112,377
|
)
|
|
1,810
|
|
|
—
|
|
|
—
|
|
|
(48
|
)
|
|
(110,615
|
)
|
||||||
Tax benefit (expense)
|
(31,460
|
)
|
|
42
|
|
|
(8,575
|
)
|
|
—
|
|
|
—
|
|
|
(39,993
|
)
|
||||||
Net current period OCI - net of tax
|
248,783
|
|
|
1,852
|
|
|
63,343
|
|
|
100
|
|
|
(48
|
)
|
|
314,030
|
|
||||||
Balance, end of period, net of tax
|
$
|
1,475,078
|
|
|
$
|
(53,383
|
)
|
|
$
|
10,401
|
|
|
$
|
(25,590
|
)
|
|
$
|
2,081
|
|
|
$
|
1,408,587
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Six Months Ended June 30, 2017
(U.S. dollars in thousands) |
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Balance, beginning of period, net of tax
|
$
|
730,429
|
|
|
$
|
(50,952
|
)
|
|
$
|
58,970
|
|
|
$
|
(24,887
|
)
|
|
$
|
1,986
|
|
|
$
|
715,546
|
|
OCI before reclassifications
|
329,189
|
|
|
—
|
|
|
46,232
|
|
|
(880
|
)
|
|
—
|
|
|
374,541
|
|
||||||
Amounts reclassified from AOCI
|
(147,146
|
)
|
|
2,966
|
|
|
—
|
|
|
—
|
|
|
(96
|
)
|
|
(144,276
|
)
|
||||||
Tax benefit (expense)
|
(19,180
|
)
|
|
(27
|
)
|
|
(5,386
|
)
|
|
(53
|
)
|
|
—
|
|
|
(24,646
|
)
|
||||||
Net current period OCI - net of tax
|
162,863
|
|
|
2,939
|
|
|
40,846
|
|
|
(933
|
)
|
|
(96
|
)
|
|
205,619
|
|
||||||
Balance, end of period, net of tax
|
$
|
893,292
|
|
|
$
|
(48,013
|
)
|
|
$
|
99,816
|
|
|
$
|
(25,820
|
)
|
|
$
|
1,890
|
|
|
$
|
921,165
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Six Months Ended June 30, 2016
(U.S. dollars in thousands) |
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Balance, beginning of period, net of tax
|
$
|
803,094
|
|
|
$
|
(57,502
|
)
|
|
$
|
(36,503
|
)
|
|
$
|
(24,641
|
)
|
|
$
|
2,168
|
|
|
$
|
686,616
|
|
OCI before reclassifications
|
967,642
|
|
|
—
|
|
|
56,502
|
|
|
(949
|
)
|
|
—
|
|
|
1,023,195
|
|
||||||
Amounts reclassified from AOCI
|
(229,491
|
)
|
|
4,121
|
|
|
—
|
|
|
—
|
|
|
(87
|
)
|
|
(225,457
|
)
|
||||||
Tax benefit (expense)
|
(66,167
|
)
|
|
(2
|
)
|
|
(9,598
|
)
|
|
—
|
|
|
—
|
|
|
(75,767
|
)
|
||||||
Net current period OCI - net of tax
|
671,984
|
|
|
4,119
|
|
|
46,904
|
|
|
(949
|
)
|
|
(87
|
)
|
|
721,971
|
|
||||||
Balance, end of period, net of tax
|
$
|
1,475,078
|
|
|
$
|
(53,383
|
)
|
|
$
|
10,401
|
|
|
$
|
(25,590
|
)
|
|
$
|
2,081
|
|
|
$
|
1,408,587
|
|
(1)
|
For certain annuity contracts that are subject to the GreyCastle Life Retro Arrangements, policy benefit reserves were historically increased for the impact of changes in unrealized gains on investments supporting such contracts as if the gains had been realized, with a corresponding entry to other comprehensive income ("Shadow Adjustments"). Upon completion of the GreyCastle Life Retro Arrangements, no further Shadow Adjustments were recorded. At December 31, 2016, the cumulative impact of the Shadow Adjustments was
$212.1 million
. During the
six months ended June 30, 2017
, net movements of
$(8.6) million
were recorded, resulting in a total cumulative net impact of Shadow Adjustments on future policy benefit reserves of
$203.5 million
at
June 30, 2017
.
|
Gross Amount Reclassified From AOCI
|
|||||||||||||||
Details About AOCI Components - Affected Line Items in the Unaudited Consolidated Statements of Income
(U.S. dollars in thousands)
|
Three months ended June 30, 2017
|
|
Three months ended June 30, 2016
|
|
Six months ended June 30, 2017
|
|
Six months ended June 30, 2016
|
||||||||
Unrealized gains and losses on investments:
|
|
|
|
|
|
|
|
||||||||
Net realized gains (losses) on investments sold
|
$
|
(81,618
|
)
|
|
$
|
(139,457
|
)
|
|
$
|
(128,638
|
)
|
|
$
|
(256,446
|
)
|
OTTI on investments
|
1,160
|
|
|
33,030
|
|
|
8,034
|
|
|
54,958
|
|
||||
Net realized and unrealized gains (losses) on life retrocession embedded derivative and derivative instruments - Life Funds Withheld Assets
|
(14,133
|
)
|
|
(5,950
|
)
|
|
(26,542
|
)
|
|
(28,003
|
)
|
||||
Income (loss) from investment fund affiliates
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Total before tax
|
$
|
(94,591
|
)
|
|
$
|
(112,377
|
)
|
|
$
|
(147,146
|
)
|
|
$
|
(229,491
|
)
|
Provision (benefit) for income tax
|
643
|
|
|
1,633
|
|
|
169
|
|
|
3,210
|
|
||||
Net of tax
|
$
|
(93,948
|
)
|
|
$
|
(110,744
|
)
|
|
$
|
(146,977
|
)
|
|
$
|
(226,281
|
)
|
OTTI losses recognized in OCI:
|
|
|
|
|
|
|
|
||||||||
Net realized gains (losses) on investments sold
|
$
|
1,461
|
|
|
$
|
2,066
|
|
|
$
|
2,916
|
|
|
$
|
4,379
|
|
OTTI on investments transferred to (from) OCI
|
50
|
|
|
(256
|
)
|
|
50
|
|
|
(258
|
)
|
||||
Total before tax
|
$
|
1,511
|
|
|
$
|
1,810
|
|
|
$
|
2,966
|
|
|
$
|
4,121
|
|
Provision (benefit) for income tax
|
(14
|
)
|
|
42
|
|
|
(27
|
)
|
|
(2
|
)
|
||||
Net of tax
|
$
|
1,497
|
|
|
$
|
1,852
|
|
|
$
|
2,939
|
|
|
$
|
4,119
|
|
Gains and losses on cash flow hedges:
|
|
|
|
|
|
|
|
||||||||
Interest Expense
|
$
|
(48
|
)
|
|
$
|
(48
|
)
|
|
$
|
(96
|
)
|
|
$
|
(87
|
)
|
Provision (benefit) for income tax
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Net of tax
|
$
|
(48
|
)
|
|
$
|
(48
|
)
|
|
$
|
(96
|
)
|
|
$
|
(87
|
)
|
Total reclassifications for the period, gross of tax
|
$
|
(93,128
|
)
|
|
$
|
(110,615
|
)
|
|
$
|
(144,276
|
)
|
|
$
|
(225,457
|
)
|
Tax benefit (expense)
|
629
|
|
|
1,675
|
|
|
142
|
|
|
3,208
|
|
||||
Total reclassifications for the period, net of tax
|
$
|
(92,499
|
)
|
|
$
|
(108,940
|
)
|
|
$
|
(144,134
|
)
|
|
$
|
(222,249
|
)
|
(1)
|
Results for the period include XL-Ireland, which prior to the Redomestication was the ultimate parent and is now in liquidation proceedings as outlined in
Note 1, "Significant Accounting Policies
." The Company expects the net assets of XL-Ireland to ultimately be distributed to XL Group upon completion of the liquidation.
|
(2)
|
XL Group balance includes investment in
$5.5 million
of XLIT Series D Preference Ordinary Shares and XLIT Series E Non-Cumulative Preference Ordinary Shares.
|
(1)
|
Results for the period include XL-Ireland, which prior to the Redomestication was the ultimate parent and is now in liquidation proceedings as outlined in
Note 1, "Significant Accounting Policies
." The Company expects the net assets of XL-Ireland to ultimately be distributed to XL Group upon completion of the liquidation.
|
|
Three Months Ended June 30, 2017
|
||||||||||||||||||
Condensed Consolidating Statement of Income and Comprehensive Income
(U.S. dollars in thousands, except per share data)
|
XL Group (1)
|
|
XLIT
|
|
Other XL Group Subsidiaries
|
|
Consolidating Adjustments and Eliminations
|
|
XL Group Consolidated
|
||||||||||
Revenues:
|
|
|
|
|
|
|
|
|
|
||||||||||
Net premiums earned
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
2,516,917
|
|
|
$
|
—
|
|
|
$
|
2,516,917
|
|
Total net investment income
|
10
|
|
|
2,103
|
|
|
206,571
|
|
|
(10
|
)
|
|
208,674
|
|
|||||
Total net realized gains (losses) on investments
|
—
|
|
|
1,446
|
|
|
55,182
|
|
|
—
|
|
|
56,628
|
|
|||||
Net realized and unrealized gains (losses) on derivative instruments
|
—
|
|
|
—
|
|
|
(906
|
)
|
|
—
|
|
|
(906
|
)
|
|||||
Net realized and unrealized gains (losses) on life retrocession embedded derivative and derivative instruments - Life Funds Withheld Assets
|
—
|
|
|
—
|
|
|
(34,596
|
)
|
|
—
|
|
|
(34,596
|
)
|
|||||
Income (loss) from investment fund affiliates
|
—
|
|
|
—
|
|
|
30,818
|
|
|
—
|
|
|
30,818
|
|
|||||
Fee income and other
|
—
|
|
|
—
|
|
|
10,225
|
|
|
—
|
|
|
10,225
|
|
|||||
Total revenues
|
$
|
10
|
|
|
$
|
3,549
|
|
|
$
|
2,784,211
|
|
|
$
|
(10
|
)
|
|
$
|
2,787,760
|
|
Expenses:
|
|
|
|
|
|
|
|
|
|
||||||||||
Net losses and loss expenses incurred
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
1,529,083
|
|
|
$
|
—
|
|
|
$
|
1,529,083
|
|
Claims and policy benefits
|
—
|
|
|
—
|
|
|
7,595
|
|
|
—
|
|
|
7,595
|
|
|||||
Acquisition costs
|
—
|
|
|
—
|
|
|
433,584
|
|
|
—
|
|
|
433,584
|
|
|||||
Operating expenses
|
27,389
|
|
|
1,152
|
|
|
444,237
|
|
|
—
|
|
|
472,778
|
|
|||||
Exchange (gains) losses
|
936
|
|
|
26
|
|
|
(6,605
|
)
|
|
—
|
|
|
(5,643
|
)
|
|||||
Interest expense
|
—
|
|
|
35,277
|
|
|
18,741
|
|
|
—
|
|
|
54,018
|
|
|||||
Total expenses
|
$
|
28,325
|
|
|
$
|
36,455
|
|
|
$
|
2,426,635
|
|
|
$
|
—
|
|
|
$
|
2,491,415
|
|
Income (loss) before income tax and income (loss) from operating affiliates
|
$
|
(28,315
|
)
|
|
$
|
(32,906
|
)
|
|
$
|
357,576
|
|
|
$
|
(10
|
)
|
|
$
|
296,345
|
|
Income (loss) from operating affiliates
|
—
|
|
|
—
|
|
|
42,704
|
|
|
—
|
|
|
42,704
|
|
|||||
Equity in net earnings (losses) of subsidiaries
|
329,935
|
|
|
362,841
|
|
|
—
|
|
|
(692,776
|
)
|
|
—
|
|
|||||
Provision (benefit) for income tax
|
—
|
|
|
—
|
|
|
29,006
|
|
|
—
|
|
|
29,006
|
|
|||||
Net income (loss)
|
$
|
301,620
|
|
|
$
|
329,935
|
|
|
$
|
371,274
|
|
|
$
|
(692,786
|
)
|
|
$
|
310,043
|
|
Non-controlling interests
|
—
|
|
|
—
|
|
|
8,433
|
|
|
(10
|
)
|
|
8,423
|
|
|||||
Net income (loss) attributable to common shareholders
|
$
|
301,620
|
|
|
$
|
329,935
|
|
|
$
|
362,841
|
|
|
$
|
(692,776
|
)
|
|
$
|
301,620
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Comprehensive income (loss)
|
$
|
377,811
|
|
|
$
|
406,126
|
|
|
$
|
439,032
|
|
|
$
|
(845,158
|
)
|
|
$
|
377,811
|
|
(1)
|
Results for the period include XL-Ireland, which prior to the Redomestication was the ultimate parent and is now in liquidation proceedings as outlined in
Note 1, "Significant Accounting Policies
." The Company expects the net assets of XL-Ireland to ultimately be distributed to XL Group upon completion of the liquidation.
|
|
Three Months Ended June 30, 2016
|
||||||||||||||||||
Condensed Consolidating Statement of Income and Comprehensive Income
(U.S. dollars in thousands, except per share data)
|
XL- Ireland
|
|
XLIT
|
|
Other XL-Ireland Subsidiaries
|
|
Consolidating Adjustments and Eliminations
|
|
XL-Ireland Consolidated
|
||||||||||
Revenues:
|
|
|
|
|
|
|
|
|
|
||||||||||
Net premiums earned
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
2,532,212
|
|
|
$
|
—
|
|
|
$
|
2,532,212
|
|
Total net investment income
|
64
|
|
|
3,096
|
|
|
211,747
|
|
|
481
|
|
|
215,388
|
|
|||||
Total net realized gains (losses) on investments
|
—
|
|
|
976
|
|
|
103,274
|
|
|
367
|
|
|
104,617
|
|
|||||
Net realized and unrealized gains (losses) on derivative instruments
|
—
|
|
|
—
|
|
|
906
|
|
|
—
|
|
|
906
|
|
|||||
Net realized and unrealized gains (losses) on life retrocession embedded derivative and derivative instruments - Life Funds Withheld Assets
|
—
|
|
|
—
|
|
|
(229,742
|
)
|
|
—
|
|
|
(229,742
|
)
|
|||||
Income (loss) from investment fund affiliates
|
—
|
|
|
—
|
|
|
13,179
|
|
|
—
|
|
|
13,179
|
|
|||||
Fee income and other
|
—
|
|
|
—
|
|
|
10,862
|
|
|
—
|
|
|
10,862
|
|
|||||
Total revenues
|
$
|
64
|
|
|
$
|
4,072
|
|
|
$
|
2,642,438
|
|
|
$
|
848
|
|
|
$
|
2,647,422
|
|
Expenses:
|
|
|
|
|
|
|
|
|
|
||||||||||
Net losses and loss expenses incurred
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
1,632,386
|
|
|
$
|
—
|
|
|
$
|
1,632,386
|
|
Claims and policy benefits
|
—
|
|
|
—
|
|
|
5,482
|
|
|
—
|
|
|
5,482
|
|
|||||
Acquisition costs
|
—
|
|
|
—
|
|
|
420,520
|
|
|
—
|
|
|
420,520
|
|
|||||
Operating expenses
|
(499
|
)
|
|
1,071
|
|
|
521,949
|
|
|
—
|
|
|
522,521
|
|
|||||
Exchange (gains) losses
|
(470
|
)
|
|
(136
|
)
|
|
(18,494
|
)
|
|
—
|
|
|
(19,100
|
)
|
|||||
Interest expense
|
(9
|
)
|
|
35,177
|
|
|
20,570
|
|
|
—
|
|
|
55,738
|
|
|||||
Total expenses
|
$
|
(978
|
)
|
|
$
|
36,112
|
|
|
$
|
2,582,413
|
|
|
$
|
—
|
|
|
$
|
2,617,547
|
|
Income (loss) before income tax and income (loss) from operating affiliates
|
$
|
1,042
|
|
|
$
|
(32,040
|
)
|
|
$
|
60,025
|
|
|
$
|
848
|
|
|
$
|
29,875
|
|
Income (loss) from operating affiliates
|
—
|
|
|
—
|
|
|
21,418
|
|
|
—
|
|
|
21,418
|
|
|||||
Equity in net earnings (losses) of subsidiaries
|
42,740
|
|
|
78,114
|
|
|
—
|
|
|
(120,854
|
)
|
|
—
|
|
|||||
Provision (benefit) for income tax
|
—
|
|
|
—
|
|
|
2,467
|
|
|
—
|
|
|
2,467
|
|
|||||
Net income (loss)
|
$
|
43,782
|
|
|
$
|
46,074
|
|
|
$
|
78,976
|
|
|
$
|
(120,006
|
)
|
|
$
|
48,826
|
|
Non-controlling interests
|
—
|
|
|
3,334
|
|
|
1,710
|
|
|
—
|
|
|
5,044
|
|
|||||
Net income (loss) attributable to common shareholders
|
$
|
43,782
|
|
|
$
|
42,740
|
|
|
$
|
77,266
|
|
|
$
|
(120,006
|
)
|
|
$
|
43,782
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Comprehensive income (loss)
|
$
|
357,812
|
|
|
$
|
356,770
|
|
|
$
|
391,296
|
|
|
$
|
(748,066
|
)
|
|
$
|
357,812
|
|
|
Six Months Ended June 30, 2017
|
||||||||||||||||||
Condensed Consolidating Statement of Income and Comprehensive Income
(U.S. dollars in thousands, except per share data)
|
XL Group (1)
|
|
XLIT
|
|
Other XL Group Subsidiaries
|
|
Consolidating Adjustments and Eliminations
|
|
XL Group Consolidated
|
||||||||||
Revenues:
|
|
|
|
|
|
|
|
|
|
||||||||||
Net premiums earned
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
5,039,708
|
|
|
$
|
—
|
|
|
$
|
5,039,708
|
|
Total net investment income
|
94
|
|
|
4,416
|
|
|
404,790
|
|
|
(94
|
)
|
|
409,206
|
|
|||||
Total net realized gains (losses) on investments
|
—
|
|
|
669
|
|
|
93,245
|
|
|
—
|
|
|
93,914
|
|
|||||
Net realized and unrealized gains (losses) on derivative instruments
|
—
|
|
|
—
|
|
|
(7,975
|
)
|
|
—
|
|
|
(7,975
|
)
|
|||||
Net realized and unrealized gains (losses) on life retrocession embedded derivative and derivative instruments - Life Funds Withheld Assets
|
—
|
|
|
—
|
|
|
(84,697
|
)
|
|
—
|
|
|
(84,697
|
)
|
|||||
Income (loss) from investment fund affiliates
|
—
|
|
|
—
|
|
|
69,079
|
|
|
—
|
|
|
69,079
|
|
|||||
Fee income and other
|
—
|
|
|
—
|
|
|
23,886
|
|
|
—
|
|
|
23,886
|
|
|||||
Total revenues
|
$
|
94
|
|
|
$
|
5,085
|
|
|
$
|
5,538,036
|
|
|
$
|
(94
|
)
|
|
$
|
5,543,121
|
|
Expenses:
|
|
|
|
|
|
|
|
|
|
||||||||||
Net losses and loss expenses incurred
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
3,112,539
|
|
|
$
|
—
|
|
|
$
|
3,112,539
|
|
Claims and policy benefits
|
—
|
|
|
—
|
|
|
14,886
|
|
|
—
|
|
|
14,886
|
|
|||||
Acquisition costs
|
—
|
|
|
—
|
|
|
869,453
|
|
|
—
|
|
|
869,453
|
|
|||||
Operating expenses
|
43,570
|
|
|
1,661
|
|
|
895,585
|
|
|
—
|
|
|
940,816
|
|
|||||
Exchange (gains) losses
|
1,112
|
|
|
27
|
|
|
(10,118
|
)
|
|
—
|
|
|
(8,979
|
)
|
|||||
Interest expense
|
—
|
|
|
70,424
|
|
|
34,305
|
|
|
—
|
|
|
104,729
|
|
|||||
Total expenses
|
$
|
44,682
|
|
|
$
|
72,112
|
|
|
$
|
4,916,650
|
|
|
$
|
—
|
|
|
$
|
5,033,444
|
|
Income (loss) before income tax and income (loss) from operating affiliates
|
$
|
(44,588
|
)
|
|
$
|
(67,027
|
)
|
|
$
|
621,386
|
|
|
$
|
(94
|
)
|
|
$
|
509,677
|
|
Income (loss) from operating affiliates
|
—
|
|
|
—
|
|
|
56,313
|
|
|
—
|
|
|
56,313
|
|
|||||
Equity in net earnings (losses) of subsidiaries
|
499,051
|
|
|
602,367
|
|
|
—
|
|
|
(1,101,418
|
)
|
|
—
|
|
|||||
Provision (benefit) for income tax
|
—
|
|
|
—
|
|
|
42,098
|
|
|
—
|
|
|
42,098
|
|
|||||
Net income (loss)
|
$
|
454,463
|
|
|
$
|
535,340
|
|
|
$
|
635,601
|
|
|
$
|
(1,101,512
|
)
|
|
$
|
523,892
|
|
Non-controlling interests
|
—
|
|
|
36,289
|
|
|
33,234
|
|
|
(94
|
)
|
|
69,429
|
|
|||||
Net income (loss) attributable to common shareholders
|
$
|
454,463
|
|
|
$
|
499,051
|
|
|
$
|
602,367
|
|
|
$
|
(1,101,418
|
)
|
|
$
|
454,463
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Comprehensive income (loss)
|
$
|
660,082
|
|
|
$
|
704,670
|
|
|
$
|
807,986
|
|
|
$
|
(1,512,656
|
)
|
|
$
|
660,082
|
|
(1)
|
Results for the period include XL-Ireland, which prior to the Redomestication was the ultimate parent and is now in liquidation proceedings as outlined in
Note 1, "Significant Accounting Policies
." The Company expects the net assets of XL-Ireland to ultimately be distributed to XL Group upon completion of the liquidation.
|
|
Six Months Ended June 30, 2016
|
||||||||||||||||||
Condensed Consolidating Statement of Income and Comprehensive Income
(U.S. dollars in thousands, except per share data)
|
XL- Ireland
|
|
XLIT
|
|
Other XL-Ireland Subsidiaries
|
|
Consolidating Adjustments and Eliminations
|
|
XL-Ireland Consolidated
|
||||||||||
Revenues:
|
|
|
|
|
|
|
|
|
|
||||||||||
Net premiums earned
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
4,886,822
|
|
|
$
|
—
|
|
|
$
|
4,886,822
|
|
Total net investment income
|
177
|
|
|
4,881
|
|
|
415,054
|
|
|
1,162
|
|
|
421,274
|
|
|||||
Total net realized gains (losses) on investments
|
—
|
|
|
1,253
|
|
|
194,214
|
|
|
1,900
|
|
|
197,367
|
|
|||||
Net realized and unrealized gains (losses) on derivative instruments
|
—
|
|
|
—
|
|
|
(2,716
|
)
|
|
—
|
|
|
(2,716
|
)
|
|||||
Net realized and unrealized gains (losses) on life retrocession embedded derivative and derivative instruments - Life Funds Withheld Assets
|
—
|
|
|
—
|
|
|
(465,822
|
)
|
|
—
|
|
|
(465,822
|
)
|
|||||
Income (loss) from investment fund affiliates
|
—
|
|
|
—
|
|
|
8,600
|
|
|
—
|
|
|
8,600
|
|
|||||
Fee income and other
|
—
|
|
|
—
|
|
|
19,124
|
|
|
—
|
|
|
19,124
|
|
|||||
Total revenues
|
$
|
177
|
|
|
$
|
6,134
|
|
|
$
|
5,055,276
|
|
|
$
|
3,062
|
|
|
$
|
5,064,649
|
|
Expenses:
|
|
|
|
|
|
|
|
|
|
||||||||||
Net losses and loss expenses incurred
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
3,014,871
|
|
|
$
|
—
|
|
|
$
|
3,014,871
|
|
Claims and policy benefits
|
—
|
|
|
—
|
|
|
10,419
|
|
|
—
|
|
|
10,419
|
|
|||||
Acquisition costs
|
—
|
|
|
—
|
|
|
823,787
|
|
|
—
|
|
|
823,787
|
|
|||||
Operating expenses
|
2,775
|
|
|
2,566
|
|
|
1,032,561
|
|
|
—
|
|
|
1,037,902
|
|
|||||
Exchange (gains) losses
|
(453
|
)
|
|
(172
|
)
|
|
(52,294
|
)
|
|
—
|
|
|
(52,919
|
)
|
|||||
Loss on sale of life reinsurance subsidiary
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
Extinguishment of debt
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
Interest expense
|
(15
|
)
|
|
70,346
|
|
|
37,710
|
|
|
—
|
|
|
108,041
|
|
|||||
Total expenses
|
$
|
2,307
|
|
|
$
|
72,740
|
|
|
$
|
4,867,054
|
|
|
$
|
—
|
|
|
$
|
4,942,101
|
|
Income (loss) before income tax and income (loss) from operating affiliates
|
$
|
(2,130
|
)
|
|
$
|
(66,606
|
)
|
|
$
|
188,222
|
|
|
$
|
3,062
|
|
|
$
|
122,548
|
|
Income (loss) from operating affiliates
|
—
|
|
|
—
|
|
|
34,068
|
|
|
—
|
|
|
34,068
|
|
|||||
Gain on sale of operating affiliate
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
Equity in net earnings (losses) of subsidiaries
|
67,177
|
|
|
172,894
|
|
|
—
|
|
|
(240,071
|
)
|
|
—
|
|
|||||
Provision (benefit) for income tax
|
(620
|
)
|
|
—
|
|
|
25,382
|
|
|
—
|
|
|
24,762
|
|
|||||
Net income (loss)
|
$
|
65,667
|
|
|
$
|
106,288
|
|
|
$
|
196,908
|
|
|
$
|
(237,009
|
)
|
|
$
|
131,854
|
|
Non-controlling interests
|
—
|
|
|
39,111
|
|
|
27,076
|
|
|
—
|
|
|
66,187
|
|
|||||
Net income (loss) attributable to common shareholders
|
$
|
65,667
|
|
|
$
|
67,177
|
|
|
$
|
169,832
|
|
|
$
|
(237,009
|
)
|
|
$
|
65,667
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Comprehensive income (loss)
|
$
|
787,638
|
|
|
$
|
789,148
|
|
|
$
|
891,803
|
|
|
$
|
(1,680,951
|
)
|
|
$
|
787,638
|
|
|
Six Months Ended June 30, 2017
|
||||||||||||||||||
Condensed Consolidating Statement of Cash Flows
(U.S. dollars in thousands)
|
XL Group (1)
|
|
XLIT
|
|
Other XL Group Subsidiaries
|
|
Consolidating Adjustments and Eliminations
|
|
XL Group Consolidated
|
||||||||||
Cash flows provided by (used in) operating activities:
|
|
|
|
|
|
|
|
|
|
||||||||||
Net cash provided by (used in) operating activities
|
$
|
286,697
|
|
|
$
|
332,788
|
|
|
$
|
(52,744
|
)
|
|
$
|
(695,987
|
)
|
|
$
|
(129,246
|
)
|
Cash flows provided by (used in) investing activities:
|
|
|
|
|
|
|
|
|
|
||||||||||
Proceeds from sale of fixed maturities and short-term investments
|
$
|
—
|
|
|
$
|
81,662
|
|
|
$
|
6,305,948
|
|
|
$
|
—
|
|
|
$
|
6,387,610
|
|
Proceeds from redemption of fixed maturities and short-term investments
|
—
|
|
|
82,392
|
|
|
2,001,790
|
|
|
—
|
|
|
2,084,182
|
|
|||||
Proceeds from sale of equity securities
|
—
|
|
|
677
|
|
|
228,237
|
|
|
—
|
|
|
228,914
|
|
|||||
Purchases of fixed maturities and short-term investments
|
—
|
|
|
(143,851
|
)
|
|
(8,575,173
|
)
|
|
—
|
|
|
(8,719,024
|
)
|
|||||
Purchases of equity securities
|
—
|
|
|
—
|
|
|
(277,329
|
)
|
|
—
|
|
|
(277,329
|
)
|
|||||
Proceeds from sale of affiliates
|
—
|
|
|
—
|
|
|
236,861
|
|
|
—
|
|
|
236,861
|
|
|||||
Purchases of affiliates
|
—
|
|
|
—
|
|
|
(51,891
|
)
|
|
—
|
|
|
(51,891
|
)
|
|||||
Returns of capital from subsidiaries
|
237,013
|
|
|
—
|
|
|
—
|
|
|
(237,013
|
)
|
|
—
|
|
|||||
Change in restricted cash
|
—
|
|
|
—
|
|
|
(27,726
|
)
|
|
—
|
|
|
(27,726
|
)
|
|||||
Other, net
|
—
|
|
|
—
|
|
|
5,127
|
|
|
—
|
|
|
5,127
|
|
|||||
Net cash provided by (used in) investing activities
|
$
|
237,013
|
|
|
$
|
20,880
|
|
|
$
|
(154,156
|
)
|
|
$
|
(237,013
|
)
|
|
$
|
(133,276
|
)
|
Cash flows provided by (used in) financing activities:
|
|
|
|
|
|
|
|
|
|
||||||||||
Proceeds from issuance of common shares and exercise of stock options
|
$
|
42,630
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
42,630
|
|
Buybacks of common shares
|
(450,629
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(450,629
|
)
|
|||||
Employee withholding on share-based compensation
|
—
|
|
|
—
|
|
|
(23,957
|
)
|
|
—
|
|
|
(23,957
|
)
|
|||||
Dividends paid on common shares
|
(115,589
|
)
|
|
(295,987
|
)
|
|
(400,000
|
)
|
|
695,987
|
|
|
(115,589
|
)
|
|||||
Return of capital
|
—
|
|
|
(237,013
|
)
|
|
—
|
|
|
237,013
|
|
|
—
|
|
|||||
Distributions to non-controlling interests
|
—
|
|
|
(39,867
|
)
|
|
(33,841
|
)
|
|
—
|
|
|
(73,708
|
)
|
|||||
Contributions from non-controlling interests
|
—
|
|
|
—
|
|
|
25
|
|
|
—
|
|
|
25
|
|
|||||
Proceeds from issuance of debt
|
—
|
|
|
558,311
|
|
|
—
|
|
|
—
|
|
|
558,311
|
|
|||||
Deposit liabilities
|
—
|
|
|
—
|
|
|
(11,150
|
)
|
|
—
|
|
|
(11,150
|
)
|
|||||
Net cash provided by (used in) financing activities
|
$
|
(523,588
|
)
|
|
$
|
(14,556
|
)
|
|
$
|
(468,923
|
)
|
|
$
|
933,000
|
|
|
$
|
(74,067
|
)
|
Effects of exchange rate changes on foreign currency cash
|
—
|
|
|
—
|
|
|
43,423
|
|
|
—
|
|
|
43,423
|
|
|||||
Increase (decrease) in cash and cash equivalents
|
$
|
122
|
|
|
$
|
339,112
|
|
|
$
|
(632,400
|
)
|
|
$
|
—
|
|
|
$
|
(293,166
|
)
|
Cash and cash equivalents – beginning of period
|
1,022
|
|
|
84,286
|
|
|
3,341,680
|
|
|
—
|
|
|
3,426,988
|
|
|||||
Cash and cash equivalents – end of period
|
$
|
1,144
|
|
|
$
|
423,398
|
|
|
$
|
2,709,280
|
|
|
$
|
—
|
|
|
$
|
3,133,822
|
|
(1)
|
Results for the period include XL-Ireland, which prior to the Redomestication was the ultimate parent and is now in liquidation proceedings as outlined in
Note 1, "Significant Accounting Policies
." The Company expects the net assets of XL-Ireland to ultimately be distributed to XL Group upon completion of the liquidation.
|
|
Six Months Ended June 30, 2016
|
||||||||||||||||||
Condensed Consolidating Statement of Cash Flows
(U.S. dollars in thousands)
|
XL- Ireland
|
|
XLIT
|
|
Other XL-Ireland Subsidiaries
|
|
Consolidating Adjustments and Eliminations
|
|
XL-Ireland Consolidated
|
||||||||||
Cash flows provided by (used in) operating activities:
|
|
|
|
|
|
|
|
|
|
||||||||||
Net cash provided by (used in) operating activities
|
$
|
665,895
|
|
|
$
|
656,809
|
|
|
$
|
(472,440
|
)
|
|
$
|
(655,063
|
)
|
|
$
|
195,201
|
|
Cash flows provided by (used in) investing activities:
|
|
|
|
|
|
|
|
|
|
||||||||||
Proceeds from sale of fixed maturities and short-term investments
|
$
|
—
|
|
|
$
|
231,600
|
|
|
$
|
7,796,365
|
|
|
$
|
(578,010
|
)
|
|
$
|
7,449,955
|
|
Proceeds from redemption of fixed maturities and short-term investments
|
—
|
|
|
42,744
|
|
|
2,045,573
|
|
|
—
|
|
|
2,088,317
|
|
|||||
Proceeds from sale of equity securities
|
—
|
|
|
—
|
|
|
114,958
|
|
|
—
|
|
|
114,958
|
|
|||||
Purchases of fixed maturities and short-term investments
|
—
|
|
|
(515,794
|
)
|
|
(8,418,324
|
)
|
|
578,010
|
|
|
(8,356,108
|
)
|
|||||
Purchases of equity securities
|
—
|
|
|
—
|
|
|
(255,442
|
)
|
|
—
|
|
|
(255,442
|
)
|
|||||
Proceeds from sale of affiliates
|
—
|
|
|
—
|
|
|
153,928
|
|
|
—
|
|
|
153,928
|
|
|||||
Purchases of affiliates
|
—
|
|
|
—
|
|
|
(408,886
|
)
|
|
—
|
|
|
(408,886
|
)
|
|||||
Purchase of subsidiaries, net of acquired cash
|
—
|
|
|
—
|
|
|
(69,745
|
)
|
|
—
|
|
|
(69,745
|
)
|
|||||
Returns of capital from subsidiaries
|
132,374
|
|
|
—
|
|
|
—
|
|
|
(132,374
|
)
|
|
—
|
|
|||||
Change in restricted cash
|
—
|
|
|
—
|
|
|
(26,866
|
)
|
|
—
|
|
|
(26,866
|
)
|
|||||
Other, net
|
—
|
|
|
—
|
|
|
108,095
|
|
|
—
|
|
|
108,095
|
|
|||||
Net cash provided by (used in) investing activities
|
$
|
132,374
|
|
|
$
|
(241,450
|
)
|
|
$
|
1,039,656
|
|
|
$
|
(132,374
|
)
|
|
$
|
798,206
|
|
Cash flows provided by (used in) financing activities:
|
|
|
|
|
|
|
|
|
|
||||||||||
Proceeds from issuance of common shares and exercise of stock options
|
$
|
1,727
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
1,727
|
|
Buybacks of common shares
|
(684,386
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(684,386
|
)
|
|||||
Employee withholding on share-based compensation
|
—
|
|
|
—
|
|
|
(27,947
|
)
|
|
—
|
|
|
(27,947
|
)
|
|||||
Dividends paid on common shares
|
(113,731
|
)
|
|
(655,063
|
)
|
|
—
|
|
|
655,063
|
|
|
(113,731
|
)
|
|||||
Return of capital
|
—
|
|
|
(132,374
|
)
|
|
—
|
|
|
132,374
|
|
|
—
|
|
|||||
Distributions to non-controlling interests
|
—
|
|
|
(38,862
|
)
|
|
(26,820
|
)
|
|
—
|
|
|
(65,682
|
)
|
|||||
Contributions from non-controlling interests
|
—
|
|
|
—
|
|
|
1,130
|
|
|
—
|
|
|
1,130
|
|
|||||
Repayment of debt
|
—
|
|
|
—
|
|
|
(8,248
|
)
|
|
—
|
|
|
(8,248
|
)
|
|||||
Net proceeds from affiliated notional cash pooling programs (1)
|
—
|
|
|
174,654
|
|
|
—
|
|
|
(174,654
|
)
|
|
—
|
|
|||||
Deposit liabilities
|
—
|
|
|
—
|
|
|
(14,807
|
)
|
|
—
|
|
|
(14,807
|
)
|
|||||
Net cash provided by (used in) financing activities
|
$
|
(796,390
|
)
|
|
$
|
(651,645
|
)
|
|
$
|
(76,692
|
)
|
|
$
|
612,783
|
|
|
$
|
(911,944
|
)
|
Effects of exchange rate changes on foreign currency cash
|
—
|
|
|
—
|
|
|
(20,950
|
)
|
|
—
|
|
|
(20,950
|
)
|
|||||
Increase (decrease) in cash and cash equivalents
|
$
|
1,879
|
|
|
$
|
(236,286
|
)
|
|
$
|
469,574
|
|
|
$
|
(174,654
|
)
|
|
$
|
60,513
|
|
Cash and cash equivalents – beginning of period
|
11,557
|
|
|
369,997
|
|
|
2,874,682
|
|
|
—
|
|
|
3,256,236
|
|
|||||
Cash and cash equivalents – end of period
|
$
|
13,436
|
|
|
$
|
133,711
|
|
|
$
|
3,344,256
|
|
|
$
|
(174,654
|
)
|
|
$
|
3,316,749
|
|
(1)
|
Net proceeds from affiliated notional cash pooling arrangements reflect the net impact of bank transfers to settle overdraft positions within the Company's multi-currency cash pool.
|
ITEM 2.
|
|
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS
|
▪
|
the continuation of downward trends in rates for property and casualty insurance and reinsurance;
|
▪
|
changes in the size of our claims relating to unpredictable natural or man-made catastrophe losses, such as hurricanes, typhoons, floods, nuclear accidents or terrorism, due to the preliminary nature of some reports and estimates of loss and damage to date;
|
▪
|
changes in the number of insureds and ceding companies impacted or the ultimate number and value of individual claims related to natural catastrophe events due to the preliminary nature of reports and estimates of loss and damage to date;
|
▪
|
changes in the amount or type of business that we write, whether due to our actions, changes in market conditions or other factors, and the amount of premium attributable to those businesses;
|
▪
|
the availability, cost or quality of ceded reinsurance, and the timely and full recoverability of such reinsurance, or other amounts due to us, or changes to our projections relating to such recoverables;
|
▪
|
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, 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, our ability to pay claims or our 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;
|
▪
|
changes in credit ratings or rating agency policies or practices, which could trigger cancellation provisions in our assumed reinsurance agreements or impact the availability of our credit facilities;
|
▪
|
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 ("AFS") fixed maturity securities before their anticipated recovery;
|
▪
|
unanticipated constraints on our liquidity, including the availability of borrowings and letters of credit under our credit facilities, that may inhibit our ability to support our operations, including our ability to underwrite policies and pay claims;
|
▪
|
the ability of our subsidiaries to pay dividends to XL Group, XLIT Ltd. ("XLIT") and Catlin Insurance Company Ltd;
|
▪
|
changes in regulators or regulations applicable to our brokers or customers or to us, such as changes in regulatory capital balances that our operating subsidiaries must maintain;
|
▪
|
the effects of business disruption, economic contraction or economic sanctions due to unpredictable global political and social conditions such as war, terrorism or other hostilities, cyber-attacks, 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 distribution or placement of risks due to increased consolidation of insurance and reinsurance brokers;
|
▪
|
bankruptcies or other financial concerns of companies insofar as they affect property and casualty insurance and reinsurance ("P&C") coverages or claims that we may have as a counterparty;
|
▪
|
the loss of key personnel;
|
▪
|
the effects of mergers, acquisitions and divestitures, including our ability to modify our internal control over financial reporting, changes to our risk appetite and our ability to realize the strategic value or financial benefits expected, in each case, as a result of such transactions;
|
▪
|
changes in general economic conditions, including the political, monetary, economic and operational impacts of the "Brexit" referendum held on June 23, 2016 in which the U.K. electorate voted to withdraw from the European Union ("E.U."), new or continued sovereign debt concerns in Euro-Zone countries or emerging markets such as Brazil or China, or governmental actions for the purpose of stabilizing financial markets;
|
▪
|
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 effects of climate change (such as changes to weather patterns, sea levels or temperatures) on our business, which our modeling or risk management practices may not adequately address due to the uncertain nature of climate change; and
|
•
|
the other factors set forth in Item 1A, "Risk Factors," included
the Company's Annual Report on Form 10-K for the year ended December 31, 2016
and our other documents on file with the SEC.
|
|
Three Months Ended
|
|
Six Months Ended
|
||||||||||||||||||||
|
June 30,
|
|
Change
|
|
June 30,
|
|
Change
|
||||||||||||||||
(U.S. dollars in thousands, except per share amounts)
|
2017
|
|
2016
|
|
2017 vs 2016
|
|
2017
|
|
2016
|
|
2017 vs 2016
|
||||||||||||
Net income (loss) attributable to common shareholders
|
$
|
301,620
|
|
|
$
|
43,782
|
|
|
N/M
|
|
|
$
|
454,463
|
|
|
$
|
65,667
|
|
|
N/M
|
|
||
Earnings (loss) per common share – basic
|
$
|
1.16
|
|
|
$
|
0.16
|
|
|
N/M
|
|
|
$
|
1.73
|
|
|
$
|
0.23
|
|
|
N/M
|
|
||
Earnings (loss) per common share – diluted
|
$
|
1.14
|
|
|
$
|
0.15
|
|
|
N/M
|
|
|
$
|
1.70
|
|
|
$
|
0.23
|
|
|
N/M
|
|
||
Weighted average number of common shares and common share equivalents, in thousands – basic
|
260,990
|
|
|
281,793
|
|
|
(7.4
|
)%
|
|
263,327
|
|
|
286,881
|
|
|
(8.2
|
)%
|
||||||
Weighted average number of common shares and common share equivalents, in thousands – diluted
|
264,943
|
|
|
285,082
|
|
|
(7.1
|
)%
|
|
267,279
|
|
|
290,929
|
|
|
(8.1
|
)%
|
||||||
Underwriting profit (loss) - P&C operations
|
$
|
194,592
|
|
|
$
|
101,893
|
|
|
91.0
|
%
|
|
$
|
338,569
|
|
|
$
|
277,382
|
|
|
22.1
|
%
|
||
Combined ratio - P&C operations
|
92.3
|
%
|
|
96.0
|
%
|
|
(3.7)pts
|
|
|
93.3
|
%
|
|
94.3
|
%
|
|
(1.0)pts
|
|
||||||
Net investment income - P&C operations (1)
|
$
|
169,078
|
|
|
$
|
168,717
|
|
|
0.2
|
%
|
|
$
|
329,019
|
|
|
$
|
324,510
|
|
|
1.4
|
%
|
||
Operating net income (2)
|
$
|
255,080
|
|
|
$
|
106,447
|
|
|
139.6
|
%
|
|
$
|
391,223
|
|
|
$
|
209,835
|
|
|
86.4
|
%
|
||
Operating net income per common share (2)
|
$
|
0.96
|
|
|
$
|
0.37
|
|
|
$
|
0.59
|
|
|
$
|
1.46
|
|
|
$
|
0.72
|
|
|
$
|
0.74
|
|
Annualized return on average common shareholders' equity
|
10.9
|
%
|
|
1.5
|
%
|
|
9.4pts
|
|
|
8.3
|
%
|
|
1.1
|
%
|
|
7.2pts
|
|
||||||
Annualized operating return on average common shareholders' equity (2)
|
9.3
|
%
|
|
3.6
|
%
|
|
5.7pts
|
|
|
7.1
|
%
|
|
3.6
|
%
|
|
3.5pts
|
|
||||||
Annualized operating return on average common shareholders' equity excluding accumulated other comprehensive income (2)
|
10.1
|
%
|
|
4.1
|
%
|
|
6.0pts
|
|
|
7.7
|
%
|
|
3.9
|
%
|
|
3.8pts
|
|
||||||
Annualized operating return on average common shareholders' equity excluding integration costs (2)
|
10.5
|
%
|
|
5.3
|
%
|
|
5.2pts
|
|
|
8.3
|
%
|
|
5.3
|
%
|
|
3.0pts
|
|
||||||
Annualized operating return on average common shareholders' equity excluding integration costs and accumulated other comprehensive income (2)
|
11.4
|
%
|
|
5.9
|
%
|
|
5.5pts
|
|
|
9.0
|
%
|
|
5.8
|
%
|
|
3.2pts
|
|
||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
(U.S. dollars)
|
June 30, 2017
|
|
March 31, 2017
|
|
Change
(Three Months)
|
|
June 30, 2017
|
|
December 31, 2016
|
|
Change
(Six Months) |
||||||||||||
Book value per common share
|
$
|
42.87
|
|
|
$
|
41.61
|
|
|
$
|
1.26
|
|
|
$
|
42.87
|
|
|
$
|
40.98
|
|
|
$
|
1.89
|
|
Fully diluted book value per common share
|
$
|
42.15
|
|
|
$
|
41.10
|
|
|
$
|
1.05
|
|
|
$
|
42.15
|
|
|
$
|
40.33
|
|
|
$
|
1.82
|
|
Fully diluted tangible book value per common share (2)
|
$
|
33.71
|
|
|
$
|
32.83
|
|
|
$
|
0.88
|
|
|
$
|
33.71
|
|
|
$
|
32.21
|
|
|
$
|
1.50
|
|
(1)
|
Net investment income - P&C operations includes all net investment income related to the net results from structured products and excludes all net investment income from the assets supporting the Life Funds Withheld Assets, as defined in Item 1,
Note 1, "Significant Accounting Policies
," to the Unaudited Consolidated Financial Statements included herein.
|
(2)
|
Represents a non-GAAP financial measure as discussed further below. See "Reconciliation of Non-GAAP Financial Measures" below.
|
*
|
N/M - Not Meaningful
|
|
Three Months Ended
|
|
Six Months Ended
|
||||||||||||||||
|
June 30,
|
|
Change
|
|
June 30,
|
|
Change
|
||||||||||||
(U.S. dollars in thousands, except per share amounts)
|
2017
|
|
2016
|
|
2017 vs 2016
|
|
2017
|
|
2016
|
|
2017 vs 2016
|
||||||||
Net income
|
$
|
301,620
|
|
|
$
|
43,782
|
|
|
N/M
|
|
$
|
454,463
|
|
|
$
|
65,667
|
|
|
N/M
|
EPS - basic
|
$
|
1.16
|
|
|
$
|
0.16
|
|
|
N/M
|
|
$
|
1.73
|
|
|
$
|
0.23
|
|
|
N/M
|
EPS - diluted
|
$
|
1.14
|
|
|
$
|
0.15
|
|
|
N/M
|
|
$
|
1.70
|
|
|
$
|
0.23
|
|
|
N/M
|
*
|
N/M - Not Meaningful
|
▪
|
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 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.
|
▪
|
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.
|
|
Three Months Ended
|
|
Six Months Ended
|
||||||||||||||
|
June 30,
|
|
Change
|
|
June 30,
|
|
Change
|
||||||||||
|
2017
|
|
2016
|
|
2017 vs 2016
|
|
2017
|
|
2016
|
|
2017 vs 2016
|
||||||
Loss and loss expense ("loss") ratio
|
60.8
|
%
|
|
64.6
|
%
|
|
(3.8
|
)
|
|
61.8
|
%
|
|
61.8
|
%
|
|
—
|
|
Acquisition expense ratio
|
17.2
|
%
|
|
16.6
|
%
|
|
0.6
|
|
|
17.2
|
%
|
|
16.8
|
%
|
|
0.4
|
|
Operating expense ratio
|
14.3
|
%
|
|
14.8
|
%
|
|
(0.5
|
)
|
|
14.3
|
%
|
|
15.7
|
%
|
|
(1.4
|
)
|
Underwriting expense ratio
|
31.5
|
%
|
|
31.4
|
%
|
|
0.1
|
|
|
31.5
|
%
|
|
32.5
|
%
|
|
(1.0
|
)
|
Combined ratio
|
92.3
|
%
|
|
96.0
|
%
|
|
(3.7
|
)
|
|
93.3
|
%
|
|
94.3
|
%
|
|
(1.0
|
)
|
|
Three Months Ended
|
|
Six Months Ended
|
||||||||||||||||||||
|
June 30,
|
|
Change
|
|
June 30,
|
|
Change
|
||||||||||||||||
(U.S. dollars in thousands, except per share amounts)
|
2017
|
|
2016
|
|
2017 vs 2016
|
|
2017
|
|
2016
|
|
2017 vs 2016
|
||||||||||||
Operating net income
|
$
|
255,080
|
|
|
$
|
106,447
|
|
|
139.6
|
%
|
|
$
|
391,223
|
|
|
$
|
209,835
|
|
|
86.4
|
%
|
||
Operating net income per share - diluted
|
$
|
0.96
|
|
|
$
|
0.37
|
|
|
$
|
0.59
|
|
|
$
|
1.46
|
|
|
$
|
0.72
|
|
|
$
|
0.74
|
|
|
Three Months Ended
|
|
Six Months Ended
|
||||||||||||
|
June 30,
|
|
Change
|
|
June 30,
|
|
Change
|
||||||||
|
2017
|
|
2016
|
|
2017 vs 2016
|
|
2017
|
|
2016
|
|
2017 vs 2016
|
||||
ROE
|
10.9
|
%
|
|
1.5
|
%
|
|
9.4pts
|
|
8.3
|
%
|
|
1.1
|
%
|
|
7.2pts
|
Operating ROE
|
9.3
|
%
|
|
3.6
|
%
|
|
5.7pts
|
|
7.1
|
%
|
|
3.6
|
%
|
|
3.5pts
|
Operating ROE ex-AOCI
|
10.1
|
%
|
|
4.1
|
%
|
|
6.0pts
|
|
7.7
|
%
|
|
3.9
|
%
|
|
3.8pts
|
Operating ROE ex-integration costs
|
10.5
|
%
|
|
5.3
|
%
|
|
5.2pts
|
|
8.3
|
%
|
|
5.3
|
%
|
|
3.0pts
|
Operating ROE ex-integration costs and AOCI
|
11.4
|
%
|
|
5.9
|
%
|
|
5.5pts
|
|
9.0
|
%
|
|
5.8
|
%
|
|
3.2pts
|
(U.S. dollars)
|
June 30, 2017
|
|
March 31, 2017
|
|
Change
(Three Months) |
|
December 31, 2016
|
|
Change
(Six Months) |
||||||||||
Book value per common share
|
$
|
42.87
|
|
|
$
|
41.61
|
|
|
$
|
1.26
|
|
|
$
|
40.98
|
|
|
$
|
1.89
|
|
Fully diluted book value per common share
|
$
|
42.15
|
|
|
$
|
41.10
|
|
|
$
|
1.05
|
|
|
$
|
40.33
|
|
|
$
|
1.82
|
|
Fully diluted tangible book value per common share
|
$
|
33.71
|
|
|
$
|
32.83
|
|
|
$
|
0.88
|
|
|
$
|
32.21
|
|
|
$
|
1.50
|
|
(U.S. dollars in thousands, except per share amounts)
|
Three Months Ended
|
|
Six Months Ended
|
||||||||||||
June 30,
|
|
June 30,
|
|||||||||||||
2017
|
|
2016
|
|
2017
|
|
2016
|
|||||||||
Net income (loss) attributable to common shareholders
|
$
|
301,620
|
|
|
$
|
43,782
|
|
|
$
|
454,463
|
|
|
$
|
65,667
|
|
Net realized and unrealized (gains) losses on life retrocession embedded derivative and derivative instruments - Life Funds Withheld Assets (1)
|
34,596
|
|
|
229,742
|
|
|
84,697
|
|
|
465,822
|
|
||||
Net realized (gains) losses on investments and net unrealized (gains) losses on investments, Trading - Life Funds Withheld Assets
|
(7,459
|
)
|
|
(85,149
|
)
|
|
(40,527
|
)
|
|
(186,315
|
)
|
||||
Net investment income - Life Funds Withheld Assets
|
(31,439
|
)
|
|
(39,146
|
)
|
|
(64,803
|
)
|
|
(80,706
|
)
|
||||
Foreign exchange revaluation (gains) losses on and other income and expense items related to Life Funds Withheld Assets
|
(14,945
|
)
|
|
6,779
|
|
|
(18,169
|
)
|
|
(4,194
|
)
|
||||
Net income (loss) attributable to common shareholders excluding Contribution from Life Retrocession Arrangements
|
$
|
282,373
|
|
|
$
|
156,008
|
|
|
$
|
415,661
|
|
|
$
|
260,274
|
|
Net realized (gains) losses and OTTI on investments - excluding Life Funds Withheld Assets
|
(49,169
|
)
|
|
(19,468
|
)
|
|
(53,387
|
)
|
|
(11,052
|
)
|
||||
Net realized and unrealized (gains) losses on derivatives
|
906
|
|
|
(906
|
)
|
|
7,975
|
|
|
2,716
|
|
||||
Net realized and unrealized (gains) losses on investments and derivatives related to the Company's insurance company affiliates
|
115
|
|
|
1,818
|
|
|
(1,936
|
)
|
|
2,231
|
|
||||
Exchange (gains) losses excluding Life Funds Withheld Assets
|
9,302
|
|
|
(25,879
|
)
|
|
9,190
|
|
|
(48,725
|
)
|
||||
(Provision) benefit for income tax on items excluded from operating income
|
11,553
|
|
|
(5,126
|
)
|
|
13,720
|
|
|
4,391
|
|
||||
Operating net income (loss)
|
$
|
255,080
|
|
|
$
|
106,447
|
|
|
$
|
391,223
|
|
|
$
|
209,835
|
|
Integration costs
|
39,118
|
|
|
52,117
|
|
|
73,067
|
|
|
107,104
|
|
||||
(Provision) benefit for income tax on integration costs
|
(4,147
|
)
|
|
(4,446
|
)
|
|
(7,745
|
)
|
|
(9,108
|
)
|
||||
Operating net income (loss) (excluding integration costs)
|
$
|
290,051
|
|
|
$
|
154,118
|
|
|
$
|
456,545
|
|
|
$
|
307,831
|
|
Per common share results - diluted:
|
|
|
|
|
|
|
|
||||||||
Net income (loss) attributable to common shareholders
|
$
|
1.14
|
|
|
$
|
0.15
|
|
|
$
|
1.70
|
|
|
$
|
0.23
|
|
Operating net income (loss)
|
$
|
0.96
|
|
|
$
|
0.37
|
|
|
$
|
1.46
|
|
|
$
|
0.72
|
|
Weighted average common shares outstanding:
|
|
|
|
|
|
|
|
||||||||
Basic
|
260,990
|
|
|
281,793
|
|
|
263,327
|
|
|
286,881
|
|
||||
Diluted
|
264,943
|
|
|
285,082
|
|
|
267,279
|
|
|
290,929
|
|
||||
Return on common shareholders' equity:
|
|
|
|
|
|
|
|
||||||||
Opening common shareholders' equity
|
$
|
10,974,884
|
|
|
$
|
11,688,744
|
|
|
$
|
10,938,512
|
|
|
$
|
11,677,079
|
|
Closing common shareholders' equity (at period end)
|
11,080,552
|
|
|
11,685,188
|
|
|
11,080,552
|
|
|
11,685,188
|
|
||||
Average common shareholders' equity for the period
|
11,027,718
|
|
|
11,686,966
|
|
|
11,009,532
|
|
|
11,681,134
|
|
||||
Opening AOCI
|
844,974
|
|
|
1,094,557
|
|
|
715,546
|
|
|
686,616
|
|
||||
Closing AOCI (at period end)
|
921,165
|
|
|
1,408,587
|
|
|
921,165
|
|
|
1,408,587
|
|
||||
Average AOCI for the period
|
883,070
|
|
|
1,251,572
|
|
|
818,356
|
|
|
1,047,602
|
|
||||
Average common shareholders' equity for the period excluding average AOCI
|
10,144,649
|
|
|
10,435,394
|
|
|
10,191,177
|
|
|
10,633,533
|
|
||||
Annualized net income (loss)
|
1,206,480
|
|
|
175,128
|
|
|
908,926
|
|
|
131,334
|
|
||||
Annualized operating net income (loss)
|
1,020,320
|
|
|
425,788
|
|
|
782,446
|
|
|
419,670
|
|
||||
Annualized operating net income (loss) (excluding integration costs)
|
1,160,206
|
|
|
616,473
|
|
|
913,090
|
|
|
615,663
|
|
||||
Annualized operating return on average common shareholders' equity
|
9.3
|
%
|
|
3.6
|
%
|
|
7.1
|
%
|
|
3.6
|
%
|
||||
Annualized operating return on average common shareholders' equity excluding AOCI
|
10.1
|
%
|
|
4.1
|
%
|
|
7.7
|
%
|
|
3.9
|
%
|
||||
Annualized operating return on average common shareholders' equity excluding integration costs
|
10.5
|
%
|
|
5.3
|
%
|
|
8.3
|
%
|
|
5.3
|
%
|
||||
Annualized operating return on average common shareholders' equity excluding integration costs and AOCI
|
11.4
|
%
|
|
5.9
|
%
|
|
9.0
|
%
|
|
5.8
|
%
|
|
June 30, 2017
|
|
March 31, 2017
|
|
December 31, 2016
|
||||||
Book value per common share:
|
|
|
|
|
|
||||||
Closing common shares outstanding - basic
|
258,489
|
|
|
263,774
|
|
|
266,927
|
|
|||
Closing common shares outstanding - diluted
|
262,859
|
|
|
267,008
|
|
|
271,225
|
|
|||
Book value per common share
|
$
|
42.87
|
|
|
$
|
41.61
|
|
|
$
|
40.98
|
|
Fully diluted book value per common share
|
$
|
42.15
|
|
|
$
|
41.10
|
|
|
$
|
40.33
|
|
Goodwill and other intangible assets
|
$
|
2,219,390
|
|
|
$
|
2,208,612
|
|
|
$
|
2,203,653
|
|
Tangible book value
|
$
|
8,861,162
|
|
|
$
|
8,766,272
|
|
|
$
|
8,734,859
|
|
Fully diluted tangible book value per common share
|
$
|
33.71
|
|
|
$
|
32.83
|
|
|
$
|
32.21
|
|
(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 the GreyCastle Life Retrocession Arrangements are reflected within "Net realized and unrealized (gains) losses on life retrocession embedded derivative and derivative instruments - Life Funds Withheld Assets" in the reconciliation.
|
1)
|
The impact of the decrease of the discount rate used to calculate lump sum awards in U.K. bodily injury cases ("Ogden Rate");
|
|
Natural Catastrophe Underwriting Losses
|
|
Natural Catastrophe Loss Ratio Impact
|
||||||||||
|
Three Months Ended June 30,
|
|
Three Months Ended June 30,
|
||||||||||
(U.S. dollars in thousands)
|
2017
|
|
2016
|
|
2017
|
|
2016
|
||||||
Insurance
|
$
|
79,389
|
|
|
$
|
97,230
|
|
|
4.8
|
%
|
|
5.8
|
%
|
Reinsurance
|
12,759
|
|
|
142,866
|
|
|
1.5
|
%
|
|
17.9
|
%
|
||
Total P&C
|
$
|
92,148
|
|
|
$
|
240,096
|
|
|
3.7
|
%
|
|
9.8
|
%
|
|
|
|
|
|
|
|
|
||||||
|
Six Months Ended June 30,
|
|
Six Months Ended June 30,
|
||||||||||
(U.S. dollars in thousands)
|
2017
|
|
2016
|
|
2017
|
|
2016
|
||||||
Insurance
|
$
|
149,719
|
|
|
$
|
132,513
|
|
|
4.6
|
%
|
|
4.0
|
%
|
Reinsurance
|
38,504
|
|
|
160,359
|
|
|
2.2
|
%
|
|
10.6
|
%
|
||
Total P&C
|
$
|
188,223
|
|
|
$
|
292,872
|
|
|
3.8
|
%
|
|
6.1
|
%
|
|
Interest Rate Movement for the three months ended June 30, 2017 (1) (‘+’/‘-’ represents increases / decrease
s in interest rates)
|
|
Credit Spread Movement for the three months ended June 30, 2017 (1) (‘+’/‘-’ represents widening / tightening of in
terest rates)
|
|
Equity Market Price Movement for the three months ended June 30, 2017 (1) (‘+’/‘-’ represents increases / decreases in common
equity market benchmarks)
|
United States
|
-3 basis points (5 year Treasury)
|
|
-8 basis points (U.S. Corporate A rated)
|
|
+3.61% (MSCI All Countries World)
|
|
|
|
+5 basis points (U.S. Mortgage Master Index)
|
|
+2.57% (S&P500 Index)
|
United Kingdom
|
+13 basis points (5 year Gilt)
|
|
-7 basis points (U.K. Corporate, AA rated)
|
|
|
Euro-zone
|
+16 basis points (5 year Bund)
|
|
-12 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, 2017 (1)
(‘+’/‘-’ represents increases / decreases
in interest rates)
|
|
Credit Spread Movement for the six months ended June 30, 2017 (1) (‘+’/‘
-’ represents widening / tightening of inte
rest rates)
|
|
Equity Market Price Movement for the six months ended June 30, 2017 (1) (
‘+’/‘-’ represents increases / decreases in common eq
uity market benchmarks)
|
United States
|
-4 basis points (5 year Treasury)
|
|
-16 basis points (U.S. Corporate A rated)
|
|
+10.25% (MSCI All Countries World)
|
|
|
|
+17 basis points (U.S. Mortgage Master Index)
|
|
+8.24% (S&P500 Index)
|
United Kingdom
|
+22 basis points (5 year Gilt)
|
|
-6 basis points (U.K. Corporate, AA rated)
|
|
|
Euro-zone
|
+31 basis points (5 year Bund)
|
|
-14 basis points (Europe Corporate, A rated)
|
|
|
(1)
|
Source: Bloomberg Finance L.P.
|
(2)
|
Source: Merrill Lynch Global Indices.
|
|
|
|
|
|
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
, 2017 (3)
|
|
Probable
Maximum
Loss (2)
|
|
Percentage of Adjusted Tangible Capital at June 30
, 2017 (3)
|
||||||
North Atlantic
|
Windstorm
|
|
April 1, 2017
|
|
$
|
1,069
|
|
|
9.1
|
%
|
|
$
|
1,973
|
|
|
16.8
|
%
|
North America
|
Earthquake
|
|
April 1, 2017
|
|
$
|
995
|
|
|
8.5
|
%
|
|
$
|
1,557
|
|
|
13.2
|
%
|
Europe
|
Windstorm
|
|
April 1, 2017
|
|
$
|
824
|
|
|
7.0
|
%
|
|
$
|
1,064
|
|
|
9.1
|
%
|
Japan
|
Earthquake
|
|
April 1, 2017
|
|
$
|
740
|
|
|
6.3
|
%
|
|
$
|
1,042
|
|
|
8.9
|
%
|
Japan
|
Windstorm
|
|
April 1, 2017
|
|
$
|
538
|
|
|
4.6
|
%
|
|
$
|
679
|
|
|
5.8
|
%
|
(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 (
$11.8 billion
), a non-GAAP measure, is defined as Total Shareholders’ Equity (
$13.1 billion
) plus (i) outstanding subordinated notes due 2025 (
$493.7 million
), 2045 (
$489.0 million
) and 2047 (
$558.3 million
) less (ii) Goodwill and Other Intangible Assets (
$2.2 billion
) and less (iii) Adjusted Accumulated Other Comprehensive Income (
$667.6 million
), which is defined as Accumulated Other Comprehensive Income (
$921.2 million
) plus Shadow Adjustments, as defined in Item 1,
Note 15, "Accumulated Other Comprehensive Income (Loss)
," to the Unaudited Consolidated Financial Statements included herein (
$203.5 million
) less gross unrealized gains resulting from Life Funds Withheld Assets (
$457.0 million
).
|
|
Three Months Ended
|
|
Percentage
|
|||||||
|
June 30,
|
|
Change
|
|||||||
(U.S. dollars in thousands)
|
2017
|
|
2016
|
|
2017 vs 2016
|
|||||
Gross premiums written
|
$
|
2,576,754
|
|
|
$
|
2,512,012
|
|
|
2.6
|
%
|
Net premiums written
|
1,741,201
|
|
|
1,780,192
|
|
|
(2.2
|
)%
|
||
Net premiums earned
|
1,652,304
|
|
|
1,696,720
|
|
|
(2.6
|
)%
|
||
Less: Net losses and loss expenses
|
1,077,087
|
|
|
1,095,739
|
|
|
(1.7
|
)%
|
||
Less: Acquisition costs
|
231,908
|
|
|
232,414
|
|
|
(0.2
|
)%
|
||
Less: Operating expenses
|
288,681
|
|
|
307,468
|
|
|
(6.1
|
)%
|
||
Underwriting profit (loss)
|
$
|
54,628
|
|
|
$
|
61,099
|
|
|
(10.6
|
)%
|
Net results – structured products
|
1,981
|
|
|
2,765
|
|
|
(28.4
|
)%
|
||
Net fee income and other (expense)
|
(2,826
|
)
|
|
(3,749
|
)
|
|
(24.6
|
)%
|
|
Three Months Ended
|
|
Percentage
|
|||||||
|
June 30,
|
|
Change
|
|||||||
(U.S. dollars in thousands)
|
2017
|
|
2016
|
|
2017 vs 2016
|
|||||
Global Lines
|
$
|
948,651
|
|
|
$
|
996,998
|
|
|
(4.8
|
)%
|
International
|
519,903
|
|
|
542,255
|
|
|
(4.1
|
)%
|
||
North America
|
1,108,200
|
|
|
972,759
|
|
|
13.9
|
%
|
||
Total
|
$
|
2,576,754
|
|
|
$
|
2,512,012
|
|
|
2.6
|
%
|
▪
|
Global Lines -
decrease
of
4.8%
is mainly driven by lower premium production in energy, aerospace and London wholesale business lines. These decreases were partially offset by higher new business in political risk & trade credit.
|
▪
|
International -
decrease
of
4.1%
is attributable to lower premium volume in international property lines and international casualty lines, partially offset by higher new business in international financial lines.
|
▪
|
North America -
increase
of
13.9%
due to the higher new and renewal business in global risk management, higher new business in U.S. programs and higher retention in the U.S. professional business lines.
|
|
Three Months Ended
|
|
Percentage
|
|||||
|
June 30,
|
|
Point Change
|
|||||
|
2017
|
|
2016
|
|
2017 vs 2016
|
|||
Loss and loss expense ratio
|
65.2
|
%
|
|
64.6
|
%
|
|
0.6
|
|
Acquisition expense ratio
|
14.0
|
%
|
|
13.7
|
%
|
|
0.3
|
|
Operating expense ratio
|
17.5
|
%
|
|
18.1
|
%
|
|
(0.6
|
)
|
Underwriting expense ratio
|
31.5
|
%
|
|
31.8
|
%
|
|
(0.3
|
)
|
Combined ratio
|
96.7
|
%
|
|
96.4
|
%
|
|
0.3
|
|
|
Three Months Ended
|
|
Percentage
|
|||||
|
June 30,
|
|
Point Change
|
|||||
|
2017
|
|
2016
|
|
2017 vs 2016
|
|||
Loss and loss expense ratio
|
65.2
|
%
|
|
64.6
|
%
|
|
0.6
|
|
Prior year development
|
1.0
|
%
|
|
2.0
|
%
|
|
(1.0
|
)
|
Loss ratio excluding prior year development
|
66.2
|
%
|
|
66.6
|
%
|
|
(0.4
|
)
|
Net natural catastrophe losses
|
(4.8
|
)%
|
|
(5.8
|
)%
|
|
1.0
|
|
Loss ratio excluding prior year development and net natural catastrophe losses
|
61.4
|
%
|
|
60.8
|
%
|
|
0.6
|
|
|
Three Months Ended
|
||||||
|
June 30,
|
||||||
(U.S. dollars in thousands)
|
2017
|
|
2016
|
||||
Professional
|
$
|
(56,385
|
)
|
|
$
|
1,161
|
|
Casualty and other
|
(70,904
|
)
|
|
(45,473
|
)
|
||
Property
|
93,455
|
|
|
11,429
|
|
||
Specialty
|
16,607
|
|
|
(572
|
)
|
||
Total
|
$
|
(17,227
|
)
|
|
$
|
(33,455
|
)
|
•
|
For Professional lines, net prior year development was $56.4 million favorable. This was driven by releases of better than expected loss experience in North America, partially offset by strengthening in the international financial lines management liability book to reflect significant large loss experience.
|
•
|
For Casualty lines, net prior year development was $70.9 million favorable. This was driven by better than expected loss experience on mature years of a North America excess casualty book resulting in releases of $50.4 million, as well as reductions to reflect better than expected loss experience reported on North America construction and global risk management. This was partially offset by strengthening to reflect worse than expected loss experience reported on the excess and surplus portfolios.
|
•
|
For Property lines, net prior year development was $93.5 million unfavorable. This was driven by deteriorations in our view of the London wholesale property book which led to strengthening of $49.3 million, and significant adverse large loss experience on the energy property book resulting in a strengthening of $38.2 million.
|
•
|
For Specialty lines, net prior year development was $16.6 million unfavorable driven by worse than expected large loss experience in more recent years in the crisis management and political risk & trade credit portfolios.
|
▪
|
Operating expense ratio -
decrease
d due to synergies realized from the Catlin Acquisition.
|
▪
|
Acquisition expense ratio -
increase
d due to lower profit commission recognition on our whole account quota share reinsurance as compared to prior year.
|
|
Three Months Ended
|
|
Percentage
|
|||||||
|
June 30,
|
|
Change
|
|||||||
(U.S. dollars in thousands)
|
2017
|
|
2016
|
|
2017 vs 2016
|
|||||
Gross premiums written
|
$
|
977,676
|
|
|
$
|
1,018,766
|
|
|
(4.0
|
)%
|
Net premiums written
|
905,240
|
|
|
942,419
|
|
|
(3.9
|
)%
|
||
Net premiums earned
|
861,789
|
|
|
831,984
|
|
|
3.6
|
%
|
||
Less: Net losses and loss expenses
|
451,996
|
|
|
536,647
|
|
|
(15.8
|
)%
|
||
Less: Acquisition costs
|
200,394
|
|
|
186,283
|
|
|
7.6
|
%
|
||
Less: Operating expenses
|
69,435
|
|
|
68,260
|
|
|
1.7
|
%
|
||
Underwriting profit (loss)
|
$
|
139,964
|
|
|
$
|
40,794
|
|
|
N/M
|
|
Net results – structured products
|
942
|
|
|
(706
|
)
|
|
N/M
|
|
||
Net fee income and other
|
694
|
|
|
1,248
|
|
|
(44.4
|
)%
|
*
|
N/M - Not Meaningful
|
|
Three Months Ended
|
|
Percentage
|
|||||||
|
June 30,
|
|
Change
|
|||||||
(U.S. dollars in thousands)
|
2017
|
|
2016
|
|
2017 vs 2016
|
|||||
Bermuda
|
$
|
414,352
|
|
|
$
|
425,744
|
|
|
(2.7
|
)%
|
North America
|
191,106
|
|
|
217,424
|
|
|
(12.1
|
)%
|
||
London
|
184,782
|
|
|
179,384
|
|
|
3.0
|
%
|
||
EMEA
|
46,307
|
|
|
87,349
|
|
|
(47.0
|
)%
|
||
LAC
|
141,129
|
|
|
108,865
|
|
|
29.6
|
%
|
||
Total
|
$
|
977,676
|
|
|
$
|
1,018,766
|
|
|
(4.0
|
)%
|
▪
|
Bermuda -
decrease
of
2.7%
is primarily driven by rate reductions within property treaty lines and a reduction of renewals in the period compared to the same prior year period, particularly impacting the property catastrophe line of business.
|
▪
|
North America -
decrease
of
12.1%
is largely attributable to a specific cancellation within the accident & health division, with the cedant exiting the market, along with non-renewals in the casualty line of business.
|
▪
|
London -
increase
of
3.0%
is primarily due to additional new business and increased shares written within the property lines. In addition, the casualty lines benefited from changes to the renewal dates of some policies. These increases were partially offset by foreign exchange losses.
|
▪
|
EMEA -
decrease
of
47.0%
is mainly due to a non-recurring treaty in the second quarter of 2016 within the casualty auto business. In addition, the region was negatively impacted by a premium adjustment in a professional indemnity contract, as the client exited this line of business.
|
▪
|
LAC -
increase
of
29.6%
is driven predominantly by upward premium adjustments within the crop lines of business and property treaty.
|
|
Three Months Ended
|
|
Percentage
|
|||||
|
June 30,
|
|
Point Change
|
|||||
|
2017
|
|
2016
|
|
2017 vs 2016
|
|||
Loss and loss expense ratio
|
52.4
|
%
|
|
64.5
|
%
|
|
(12.1
|
)
|
Acquisition expense ratio
|
23.3
|
%
|
|
22.4
|
%
|
|
0.9
|
|
Operating expense ratio
|
8.1
|
%
|
|
8.2
|
%
|
|
(0.1
|
)
|
Underwriting expense ratio
|
31.4
|
%
|
|
30.6
|
%
|
|
0.8
|
|
Combined ratio
|
83.8
|
%
|
|
95.1
|
%
|
|
(11.3
|
)
|
|
Three Months Ended
|
|
Percentage
|
|||||
|
June 30,
|
|
Point Change
|
|||||
|
2017
|
|
2016
|
|
2017 vs 2016
|
|||
Loss and loss expense ratio
|
52.4
|
%
|
|
64.5
|
%
|
|
(12.1
|
)
|
Prior year development
|
8.1
|
%
|
|
7.8
|
%
|
|
0.3
|
|
Loss ratio excluding prior year development
|
60.5
|
%
|
|
72.3
|
%
|
|
(11.8
|
)
|
Net natural catastrophe losses
|
(1.5
|
)%
|
|
(17.9
|
)%
|
|
16.4
|
|
Loss ratio excluding prior year development and net natural catastrophe losses
|
59.0
|
%
|
|
54.4
|
%
|
|
4.6
|
|
|
Three Months Ended
|
||||||
|
June 30,
|
||||||
(U.S. dollars in thousands)
|
2017
|
|
2016
|
||||
Property and other short-tail lines
|
$
|
(55,109
|
)
|
|
$
|
(9,729
|
)
|
Casualty and other long-tail lines
|
(14,396
|
)
|
|
(55,446
|
)
|
||
Total
|
$
|
(69,505
|
)
|
|
$
|
(65,175
|
)
|
▪
|
Net
favorable
prior year development for the short-tail lines totaled
$55.1 million
. Details of the significant components are as follows:
|
▪
|
For property catastrophe lines, net prior year development was
$12.9
million favorable, primarily due to better than expected experience on attritional losses.
|
▪
|
For property other lines, net prior year development was
$46.6
million favorable, mainly due to better than expected experience on attritional losses on the property facultative and treaty book and due to releases on natural catastrophe and large losses on the property treaty book.
|
•
|
For specialty lines, net prior year development was
$4.4
million unfavorable, largely due to minor development on large aviation losses.
|
•
|
Net
favorable
prior year development for the long-tail lines totaled
$14.4 million
. Details of the significant components are as follows:
|
•
|
For casualty lines, net prior year development was $14.3 million favorable primarily due to better than expected experience on attritional losses.
|
•
|
For other lines, net prior year development was
$0.1
million favorable.
|
•
|
Acquisition expense ratio -
deterioration
predominantly resulting from a change in product mix as a result of a material new inception written in Bermuda during fourth quarter of 2016 which had an earned acquisition impact.
|
•
|
Operating expense ratio -
improvement
was attributable to continuing synergies realized due to the Catlin Acquisition.
|
|
Three Months Ended
|
||||
|
June 30,
|
||||
|
2017
|
|
2016
|
||
Total Return on Investments (1)
|
1.0
|
%
|
|
1.5
|
%
|
|
|
|
|
||
Hedge fund portfolio (2) (3)
|
0.9
|
%
|
|
(0.1
|
)%
|
Equity portfolio (2)
|
1.0
|
%
|
|
2.6
|
%
|
(1)
|
The performance of investment portfolios is measured on a local currency basis. For the aggregate performance calculation, respective local currency balances are translated to U.S. dollars using quarter end rates to calculate composite portfolio results.
|
(2)
|
Performance on these portfolios is included in the Total Return on Investments above.
|
(3)
|
Performance on the hedge fund portfolio reflects the three months ended May 31, 2017 and May 31, 2016, respectively, for both equity and non-equity accounted hedge funds.
|
|
Three Months Ended
|
|
Percentage
|
|||||||
|
June 30,
|
|
Change
|
|||||||
(U.S. dollars in thousands)
|
2017
|
|
2016
|
|
2017 vs 2016
|
|||||
Net investment income - excluding Life Funds Withheld Assets
|
$
|
177,235
|
|
|
$
|
176,242
|
|
|
0.6
|
%
|
Net income (loss) from investment fund affiliates
|
30,818
|
|
|
13,179
|
|
|
133.8
|
%
|
||
Net realized gains (losses) on investments
|
49,169
|
|
|
19,468
|
|
|
152.6
|
%
|
||
Net realized and unrealized gains (losses) on derivative instruments (1)
|
(906
|
)
|
|
906
|
|
|
N/M
|
|
(1)
|
For a summary of realized and unrealized losses on all derivative instruments, see Item 1,
Note 5, "Derivative Instruments
," to the Unaudited Consolidated Financial Statements included herein.
|
*
|
N/M - Not Meaningful
|
|
Three Months Ended
|
|
Percentage
|
|||||||
|
June 30,
|
|
Change
|
|||||||
(U.S. dollars in thousands)
|
2017
|
|
2016
|
|
2017 vs 2016
|
|||||
Net income (loss) from operating affiliates
|
$
|
42,704
|
|
|
$
|
21,418
|
|
|
99.4
|
%
|
Exchange (gains) losses
|
(5,643
|
)
|
|
(19,100
|
)
|
|
(70.5
|
)%
|
||
Corporate operating expenses
|
102,162
|
|
|
133,185
|
|
|
(23.3
|
)%
|
||
Net realized and unrealized gains (losses) on life retrocession embedded derivative and derivative instruments - Life Funds Withheld Assets
|
(34,596
|
)
|
|
(229,742
|
)
|
|
(84.9
|
)%
|
||
Interest expense (1)
|
43,422
|
|
|
43,733
|
|
|
(0.7
|
)%
|
||
Income tax expense (benefit)
|
29,006
|
|
|
2,467
|
|
|
N/M
|
|
(1)
|
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)
|
2017
|
|
2016
|
|
2017 vs 2016
|
|||||
Net income (loss) from investment manager affiliates
|
$
|
36,108
|
|
|
$
|
15,142
|
|
|
138.5
|
%
|
Net income (loss) from strategic operating affiliates
|
6,596
|
|
|
6,276
|
|
|
5.1
|
%
|
||
Net income (loss) from operating affiliates
|
$
|
42,704
|
|
|
$
|
21,418
|
|
|
99.4
|
%
|
|
Six Months Ended
|
|
Percentage
|
|||||||
|
June 30,
|
|
Change
|
|||||||
(U.S. dollars in thousands)
|
2017
|
|
2016
|
|
2017 vs 2016
|
|||||
Gross premiums written
|
$
|
5,270,970
|
|
|
$
|
5,015,984
|
|
|
5.1
|
%
|
Net premiums written
|
3,249,792
|
|
|
3,284,126
|
|
|
(1.0
|
)%
|
||
Net premiums earned
|
3,287,619
|
|
|
3,290,594
|
|
|
(0.1
|
)%
|
||
Less: Net losses and loss expenses
|
2,137,450
|
|
|
2,095,331
|
|
|
2.0
|
%
|
||
Less: Acquisition costs
|
442,391
|
|
|
457,872
|
|
|
(3.4
|
)%
|
||
Less: Operating expenses
|
574,410
|
|
|
619,900
|
|
|
(7.3
|
)%
|
||
Underwriting profit (loss)
|
$
|
133,368
|
|
|
$
|
117,491
|
|
|
13.5
|
%
|
Net results – structured products
|
4,250
|
|
|
3,987
|
|
|
6.6
|
%
|
||
Net fee income and other (expense)
|
(859
|
)
|
|
(7,611
|
)
|
|
(88.7
|
)%
|
|
Six Months Ended
|
|
Percentage
|
|||||||
|
June 30,
|
|
Change
|
|||||||
(U.S. dollars in thousands)
|
2017
|
|
2016
|
|
2017 vs 2016
|
|||||
Global Lines
|
$
|
1,947,057
|
|
|
$
|
1,990,265
|
|
|
(2.2
|
)%
|
International
|
1,359,881
|
|
|
1,240,733
|
|
|
9.6
|
%
|
||
North America
|
1,964,032
|
|
|
1,784,986
|
|
|
10.0
|
%
|
||
Total
|
$
|
5,270,970
|
|
|
$
|
5,015,984
|
|
|
5.1
|
%
|
▪
|
Global Lines -
decrease
of
2.2%
is mainly driven lower new and renewal premiums in aerospace, lower retentions in energy property and lower premium production in the London wholesale property and accident & health business lines. These decreases were partially offset by an increase in new business in political risk & trade credit.
|
▪
|
International -
increase
of
9.6%
is attributable to growth in international property lines and international financial lines.
|
▪
|
North America -
increase
of
10.0%
due to higher new and renewal business in global risk management, higher new business in U.S. programs, and higher than expected enrollments in existing programs in our construction sub-contractor default business.
|
|
Six Months Ended
|
|
Percentage
|
|||||
|
June 30,
|
|
Change
|
|||||
|
2017
|
|
2016
|
|
2017 vs 2016
|
|||
Loss and loss expense ratio
|
65.0
|
%
|
|
63.7
|
%
|
|
1.3
|
|
Acquisition expense ratio
|
13.5
|
%
|
|
13.9
|
%
|
|
(0.4
|
)
|
Operating expense ratio
|
17.4
|
%
|
|
18.8
|
%
|
|
(1.4
|
)
|
Underwriting expense ratio
|
30.9
|
%
|
|
32.7
|
%
|
|
(1.8
|
)
|
Combined ratio
|
95.9
|
%
|
|
96.4
|
%
|
|
(0.5
|
)
|
|
Six Months Ended
|
|
Percentage
|
|||||
|
June 30,
|
|
Change
|
|||||
|
2017
|
|
2016
|
|
2017 vs 2016
|
|||
Loss and loss expense ratio
|
65.0
|
%
|
|
63.7
|
%
|
|
1.3
|
|
Prior year development
|
0.7
|
%
|
|
1.3
|
%
|
|
(0.6
|
)
|
Loss ratio excluding prior year development
|
65.7
|
%
|
|
65.0
|
%
|
|
0.7
|
|
Net natural catastrophe losses
|
(4.6
|
)%
|
|
(4.0
|
)%
|
|
(0.6
|
)
|
Loss ratio excluding prior year development and net natural catastrophe losses
|
61.1
|
%
|
|
61.0
|
%
|
|
0.1
|
|
|
Six Months Ended
|
||||||
|
June 30,
|
||||||
(U.S. dollars in thousands)
|
2017
|
|
2016
|
||||
Professional
|
$
|
(56,390
|
)
|
|
$
|
1,500
|
|
Casualty
|
(75,674
|
)
|
|
(45,665
|
)
|
||
EPC
|
93,536
|
|
|
8,984
|
|
||
Specialty
|
16,659
|
|
|
(9,632
|
)
|
||
Total
|
$
|
(21,869
|
)
|
|
$
|
(44,813
|
)
|
▪
|
Operating expense ratio -
decrease
of
1.4
percentage points due to synergies realized from the Catlin Acquisition.
|
▪
|
Acquisition expense ratio - we experienced a slight
decrease
in the gross commission ratio driven largely by changes to the business mix.
|
|
Six Months Ended
|
|
Percentage
|
|||||||
|
June 30,
|
|
Change
|
|||||||
(U.S. dollars in thousands)
|
2017
|
|
2016
|
|
2017 vs 2016
|
|||||
Gross premiums written
|
$
|
2,905,066
|
|
|
$
|
2,874,109
|
|
|
1.1
|
%
|
Net premiums written
|
2,376,409
|
|
|
2,500,080
|
|
|
(4.9
|
)%
|
||
Net premiums earned
|
1,745,955
|
|
|
1,589,556
|
|
|
9.8
|
%
|
||
Less: Net losses and loss expenses
|
975,089
|
|
|
919,540
|
|
|
6.0
|
%
|
||
Less: Acquisition costs
|
424,473
|
|
|
362,631
|
|
|
17.1
|
%
|
||
Less: Operating expenses
|
141,192
|
|
|
147,494
|
|
|
(4.3
|
)%
|
||
Underwriting profit (loss)
|
$
|
205,201
|
|
|
$
|
159,891
|
|
|
28.3
|
%
|
Net results – structured products
|
1,587
|
|
|
42
|
|
|
N/M
|
|
||
Net fee income and other
|
1,380
|
|
|
2,085
|
|
|
(33.8
|
)%
|
*
|
N/M - Not Meaningful
|
|
Six Months Ended
|
|
Percentage
|
|||||||
|
June 30,
|
|
Change
|
|||||||
(U.S. dollars in thousands)
|
2017
|
|
2016
|
|
2017 vs 2016
|
|||||
Bermuda
|
$
|
868,069
|
|
|
$
|
818,779
|
|
|
6.0
|
%
|
North America
|
496,902
|
|
|
506,767
|
|
|
(1.9
|
)%
|
||
London
|
492,648
|
|
|
488,573
|
|
|
0.8
|
%
|
||
EMEA
|
588,239
|
|
|
624,039
|
|
|
(5.7
|
)%
|
||
LAC
|
459,208
|
|
|
435,951
|
|
|
5.3
|
%
|
||
Total
|
$
|
2,905,066
|
|
|
$
|
2,874,109
|
|
|
1.1
|
%
|
▪
|
Bermuda -
increase
of
6.0%
is primarily due to new business written within the property line of business, in addition to the renewal of a certain multi-year deal within casualty lines during the first quarter of 2017. These increases were partially offset by foreign exchange losses and cancellations predominantly within whole account lines.
|
▪
|
North America -
decrease
of
1.9%
is largely attributable to non-renewals within the casualty and accident & health lines, in addition to prior year premium adjustments mainly within casualty. These reductions were partially offset by new business written in 2017.
|
▪
|
London -
increase
of
0.8%
is primarily due to additional new business and increased shares written within the property lines. In addition, the casualty lines benefited from changes to the renewal dates of some policies. These increases were partially offset by foreign exchange losses and prior year premium adjustments.
|
▪
|
EMEA -
decrease
of
5.7%
is due to cancellations in the current year, a non-recurring treaty in the second quarter of 2016 within the casualty auto business and foreign exchange losses. The reductions have been partially offset by new business and positive prior year premium adjustments recorded during 2017.
|
▪
|
LAC -
increase
of
5.3%
is driven by new business within property treaty and credit, along with positive prior year premium adjustments recorded during 2017, mainly within the crop lines of business. These increases have been partially offset by cancellations.
|
|
Six Months Ended
|
|
Percentage
|
|||||
|
June 30,
|
|
Change
|
|||||
|
2017
|
|
2016
|
|
2017 vs 2016
|
|||
Loss and loss expense ratio
|
55.8
|
%
|
|
57.8
|
%
|
|
(2.0
|
)
|
Acquisition expense ratio
|
24.3
|
%
|
|
22.8
|
%
|
|
1.5
|
|
Operating expense ratio
|
8.1
|
%
|
|
9.3
|
%
|
|
(1.2
|
)
|
Underwriting expense ratio
|
32.4
|
%
|
|
32.1
|
%
|
|
0.3
|
|
Combined ratio
|
88.2
|
%
|
|
89.9
|
%
|
|
(1.7
|
)
|
|
Six Months Ended
|
|
Percentage
|
|||||
|
June 30,
|
|
Change
|
|||||
|
2017
|
|
2016
|
|
2017 vs 2016
|
|||
Loss and loss expense ratio
|
55.8
|
%
|
|
57.8
|
%
|
|
(2.0
|
)
|
Prior year development
|
2.4
|
%
|
|
6.2
|
%
|
|
(3.8
|
)
|
Loss ratio excluding prior year development
|
58.2
|
%
|
|
64.0
|
%
|
|
(5.8
|
)
|
Net natural catastrophe losses
|
(2.2
|
)%
|
|
(10.6
|
)%
|
|
8.4
|
|
Loss ratio excluding prior year development and net natural catastrophe losses
|
56.0
|
%
|
|
53.4
|
%
|
|
2.6
|
|
|
Six Months Ended
|
||||||
|
June 30,
|
||||||
(U.S. dollars in thousands)
|
2017
|
|
2016
|
||||
Property and other short-tail lines
|
$
|
(110,025
|
)
|
|
$
|
(38,421
|
)
|
Casualty and other long-tail lines
|
69,166
|
|
|
(58,808
|
)
|
||
Total
|
$
|
(40,859
|
)
|
|
$
|
(97,229
|
)
|
•
|
Acquisition expense ratio -
deterioration
predominately resulting from a change in the product mix mainly as a result of a material new inception written in Bermuda during the fourth quarter of 2016, which had an earned acquisition impact.
|
•
|
Operating expense ratio -
improvement
was attributable to synergies realized due to the Catlin Acquisition and increased operating leverage.
|
|
Six Months Ended
|
||||
|
June 30,
|
||||
|
2017
|
|
2016
|
||
Total Return on Investments (1)
|
1.9
|
%
|
|
3.2
|
%
|
|
|
|
|
||
Hedge fund portfolio (2) (3)
|
3.0
|
%
|
|
(1.1
|
)%
|
Equity portfolio (2)
|
6.8
|
%
|
|
3.1
|
%
|
(1)
|
The performance of investment portfolios is measured on a local currency basis. For the aggregate performance calculation, respective local currency balances are translated to U.S. dollars using quarter end rates to calculate composite portfolio results.
|
(2)
|
Performance on Other Portfolios is included in the Total Return on Investments above.
|
(3)
|
Performance on the hedge fund portfolio reflects the six months ended May 31, 2017 and 2016, respectively, for both equity and non-equity accounted hedge funds.
|
|
Six Months Ended
|
|
Percentage
|
|||||||
|
June 30,
|
|
Change
|
|||||||
(U.S. dollars in thousands)
|
2017
|
|
2016
|
|
2017 vs 2016
|
|||||
Net investment income - excluding Life Funds Withheld Assets
|
$
|
344,403
|
|
|
$
|
340,568
|
|
|
1.1
|
%
|
Net income (loss) from investment fund affiliates
|
69,079
|
|
|
8,600
|
|
|
N/M
|
|
||
Net realized gains (losses) on investments
|
53,387
|
|
|
11,052
|
|
|
N/M
|
|
||
Net realized and unrealized gains (losses) on derivative instruments (1)
|
(7,975
|
)
|
|
(2,716
|
)
|
|
193.6
|
%
|
(1)
|
For a summary of realized and unrealized losses on all derivative instruments, see Item 1,
Note 5, "Derivative Instruments
," to the Unaudited Consolidated Financial Statements included herein.
|
*
|
N/M - Not Meaningful
|
|
Six Months Ended
|
|
Percentage
|
|||||||
|
June 30,
|
|
Change
|
|||||||
(U.S. dollars in thousands)
|
2017
|
|
2016
|
|
2017 vs 2016
|
|||||
Net income (loss) from operating affiliates
|
$
|
56,313
|
|
|
$
|
34,068
|
|
|
65.3
|
%
|
Exchange (gains) losses
|
(8,979
|
)
|
|
(52,919
|
)
|
|
(83.0
|
)%
|
||
Corporate operating expenses
|
201,035
|
|
|
245,695
|
|
|
(18.2
|
)%
|
||
Net realized and unrealized gains (losses) on life retrocession embedded derivative and derivative instruments - Life Funds Withheld Assets
|
(84,697
|
)
|
|
(465,822
|
)
|
|
(81.8
|
)%
|
||
Interest expense (1)
|
83,672
|
|
|
85,346
|
|
|
(2.0
|
)%
|
||
Income tax expense
|
42,098
|
|
|
24,762
|
|
|
70.0
|
%
|
(1)
|
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)
|
2017
|
|
2016
|
|
2017 vs 2016
|
|||||
Net income (loss) from investment manager affiliates
|
$
|
39,405
|
|
|
$
|
27,671
|
|
|
42.4
|
%
|
Net income (loss) from strategic and other operating affiliates
|
16,908
|
|
|
6,397
|
|
|
164.3
|
%
|
||
Net income (loss) from operating affiliates
|
$
|
56,313
|
|
|
$
|
34,068
|
|
|
65.3
|
%
|
|
June 30, 2017
|
|
December 31, 2016
|
||||||||||
(U.S. dollars in thousands)
|
Carrying
Value
|
|
Percent
of Total
|
|
Carrying
Value
|
|
Percent
of Total
|
||||||
Fixed maturities - AFS (1):
|
|
|
|
|
|
|
|
||||||
U.S. Government
|
$
|
4,355,401
|
|
|
11.7
|
%
|
|
$
|
3,894,388
|
|
|
10.6
|
%
|
U.S. States, municipalities and political subdivisions
|
2,283,272
|
|
|
6.1
|
%
|
|
2,478,112
|
|
|
6.8
|
%
|
||
Non-U.S. Governments
|
5,123,524
|
|
|
13.7
|
%
|
|
5,030,132
|
|
|
13.8
|
%
|
||
Corporate
|
10,542,915
|
|
|
28.3
|
%
|
|
10,134,729
|
|
|
27.7
|
%
|
||
RMBS
|
3,954,318
|
|
|
10.6
|
%
|
|
4,492,625
|
|
|
12.3
|
%
|
||
CMBS
|
795,453
|
|
|
2.1
|
%
|
|
665,186
|
|
|
1.8
|
%
|
||
Other asset-backed securities
|
1,587,056
|
|
|
4.3
|
%
|
|
1,253,388
|
|
|
3.4
|
%
|
||
Total fixed maturities - AFS
|
$
|
28,641,939
|
|
|
76.8
|
%
|
|
$
|
27,948,560
|
|
|
76.4
|
%
|
Short-term investments
|
617,894
|
|
|
1.7
|
%
|
|
625,193
|
|
|
1.7
|
%
|
||
Equity securities (6)
|
1,174,500
|
|
|
3.1
|
%
|
|
1,037,331
|
|
|
2.8
|
%
|
||
Investments in affiliates
|
2,127,115
|
|
|
5.7
|
%
|
|
2,177,645
|
|
|
6.0
|
%
|
||
Other investments
|
1,126,741
|
|
|
3.0
|
%
|
|
1,164,564
|
|
|
3.2
|
%
|
||
Total investments
|
$
|
33,688,189
|
|
|
90.3
|
%
|
|
$
|
32,953,293
|
|
|
90.1
|
%
|
Cash and cash equivalents
|
3,133,821
|
|
|
8.4
|
%
|
|
3,426,988
|
|
|
9.4
|
%
|
||
Restricted cash
|
88,070
|
|
|
0.2
|
%
|
|
62,137
|
|
|
0.2
|
%
|
||
Net receivable/ (payable) for investments sold/ (purchased)
|
179,848
|
|
|
0.5
|
%
|
|
(97,482
|
)
|
|
(0.3
|
)%
|
||
Accrued investment income
|
219,668
|
|
|
0.6
|
%
|
|
230,158
|
|
|
0.6
|
%
|
||
Total investments and cash and cash equivalents - excluding Life Funds Withheld Assets
|
$
|
37,309,596
|
|
|
100.0
|
%
|
|
$
|
36,575,094
|
|
|
100.0
|
%
|
(1)
|
Carrying value represents the fair value of AFS fixed maturities.
|
|
June 30, 2017
|
|
December 31, 2016
|
||||||||||
Investments by Credit Rating (1)
(U.S. dollars in millions)
|
Carrying
Value
|
|
Percent
of Total
|
|
Carrying
Value
|
|
Percent
of Total
|
||||||
AAA
|
$
|
13,288
|
|
|
45.4
|
%
|
|
$
|
12,859
|
|
|
45.0
|
%
|
AA
|
5,379
|
|
|
18.4
|
%
|
|
5,913
|
|
|
20.7
|
%
|
||
A
|
6,734
|
|
|
23.0
|
%
|
|
7,029
|
|
|
24.6
|
%
|
||
BBB
|
3,067
|
|
|
10.5
|
%
|
|
2,045
|
|
|
7.2
|
%
|
||
BB and below/not rated
|
792
|
|
|
2.7
|
%
|
|
728
|
|
|
2.5
|
%
|
||
Total
|
$
|
29,260
|
|
|
100.0
|
%
|
|
$
|
28,574
|
|
|
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.
|
•
|
gross unrealized losses of
$103.6 million
related to Government holdings. Securities in a gross unrealized loss position had a fair value of
$5.7 billion
at
June 30, 2017
.
|
•
|
gross unrealized losses of
$68.3 million
related to Corporate holdings. Securities in a gross unrealized loss position had a fair value of
$2.9 billion
at
June 30, 2017
.
|
•
|
gross unrealized losses of
$35.2 million
related to RMBS securities. Securities in an unrealized loss position had a fair value of
$2.3 billion
at
June 30, 2017
.
|
|
June 30, 2017
|
||||||
Security Type and Length of Time in a Continual Unrealized Loss Position
(U.S. dollars in thousands)
|
Amount of
Unrealized
Loss
|
|
Fair Value
of Securities in
an Unrealized
Loss Position
|
||||
Fixed Maturities and Short-Term Investments
|
|
|
|
|
|
||
Less than 6 months
|
$
|
(34,027
|
)
|
|
$
|
5,754,615
|
|
At least 6 months but less than 12 months
|
(75,904
|
)
|
|
4,625,959
|
|
||
At least 12 months but less than 2 years
|
(29,551
|
)
|
|
413,338
|
|
||
2 years and over
|
(84,634
|
)
|
|
917,157
|
|
||
Total
|
$
|
(224,116
|
)
|
|
$
|
11,711,069
|
|
Equities
|
|
|
|
|
|
||
Less than 6 months
|
$
|
(1,862
|
)
|
|
$
|
229,154
|
|
At least 6 months but less than 12 months
|
(2,240
|
)
|
|
10,985
|
|
||
Total
|
$
|
(4,102
|
)
|
|
240,139
|
|
|
June 30, 2017
|
||||||
Maturity profile in years of AFS fixed income securities in a gross unrealized loss position
(U.S. dollars in thousands)
|
Amount of
Unrealized
Loss
|
|
Fair Value
of Securities in
an Unrealized
Loss Position
|
||||
Less than 1 year remaining
|
$
|
(11,593
|
)
|
|
$
|
1,075,173
|
|
At least 1 year but less than 5 years remaining
|
(97,672
|
)
|
|
4,666,603
|
|
||
At least 5 years but less than 10 years remaining
|
(54,446
|
)
|
|
2,491,745
|
|
||
At least 10 years but less than 20 years remaining
|
(2,885
|
)
|
|
163,741
|
|
||
At least 20 years or more remaining
|
(5,299
|
)
|
|
166,233
|
|
||
RMBS
|
(35,243
|
)
|
|
2,286,326
|
|
||
CMBS
|
(7,267
|
)
|
|
301,953
|
|
||
Other asset-backed securities
|
(9,712
|
)
|
|
559,294
|
|
||
Total
|
$
|
(224,117
|
)
|
|
$
|
11,711,068
|
|
(U.S. dollars in thousands)
|
Total Assets
and Liabilities Carried at Fair Value at June 30, 2017 |
|
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
|
$
|
4,355,401
|
|
|
$
|
19,059
|
|
|
0.4
|
%
|
U.S. States, municipalities and political subdivisions
|
2,283,272
|
|
|
—
|
|
|
—
|
%
|
||
Non-U.S. Governments
|
5,123,524
|
|
|
—
|
|
|
—
|
%
|
||
Corporate
|
10,542,915
|
|
|
1,184
|
|
|
—
|
%
|
||
RMBS
|
3,954,318
|
|
|
—
|
|
|
—
|
%
|
||
CMBS
|
795,453
|
|
|
78
|
|
|
—
|
%
|
||
Other asset-backed securities
|
1,587,056
|
|
|
6,891
|
|
|
0.4
|
%
|
||
Total Fixed maturities, at fair value
|
$
|
28,641,939
|
|
|
$
|
27,212
|
|
|
0.1
|
%
|
Equity securities, at fair value
|
1,174,500
|
|
|
—
|
|
|
—
|
%
|
||
Short-term investments, at fair value
|
617,894
|
|
|
3
|
|
|
—
|
%
|
||
Total investments AFS
|
$
|
30,434,333
|
|
|
$
|
27,215
|
|
|
0.1
|
%
|
Cash equivalents (1)
|
1,380,464
|
|
|
—
|
|
|
—
|
%
|
||
Other investments (2)
|
730,299
|
|
|
220,348
|
|
|
30.2
|
%
|
||
Other assets (3)
|
28,527
|
|
|
18,541
|
|
|
65.0
|
%
|
||
Total assets carried at fair value
|
$
|
32,573,623
|
|
|
$
|
266,104
|
|
|
0.8
|
%
|
Liabilities
|
|
|
|
|
|
|
|
|
||
Other liabilities (4)
|
88,074
|
|
|
18,001
|
|
|
20.4
|
%
|
||
Total liabilities carried at fair value
|
$
|
88,074
|
|
|
$
|
18,001
|
|
|
20.4
|
%
|
(1)
|
Cash equivalents balances subject to fair value measurements include certificates of deposit and money market funds.
|
(2)
|
Excluded from Other investments balances are
$247.8 million
at
June 30, 2017
measured using Net Asset Value. Based on new accounting guidance, these investments are excluded from the fair value hierarchy table. In addition, the Other investments balance excludes certain structured transactions including certain investments in project finance transactions and a payment obligation that are carried at amortized cost, which totaled
$148.6 million
at
June 30, 2017
. For further information, see Item 8,
Note 6, "Other Investments
," to the Consolidated Financial Statements included in
the Company's Annual Report on Form 10-K for the year ended December 31, 2016
|
(3)
|
Other assets include derivative instruments, reported on a gross basis.
|
(4)
|
Other liabilities include derivative instruments, reported on a gross basis.
|
(U.S. dollars in thousands)
|
June 30, 2017
|
|
December 31, 2016
|
||||
Reinsurance balances receivable
|
$
|
780,889
|
|
|
$
|
598,189
|
|
Reinsurance recoverable on future policy benefits (excluding balances related to the GreyCastle Life Retro Arrangements)
|
8,866
|
|
|
10,997
|
|
||
Reinsurance recoverable on unpaid losses and loss expenses
|
5,886,853
|
|
|
5,522,419
|
|
||
Bad debt reserve on unpaid losses and loss expenses recoverable and reinsurance balances receivable
|
(62,728
|
)
|
|
(62,829
|
)
|
||
Net paid and unpaid losses and loss expenses recoverable and reinsurance balances receivable
|
$
|
6,613,880
|
|
|
$
|
6,068,776
|
|
(U.S. dollars in thousands)
|
June 30, 2017
|
|
June 30, 2016
|
||||
Operating activities
|
$
|
(129,246
|
)
|
|
$
|
195,201
|
|
Investing activities
|
$
|
(133,276
|
)
|
|
$
|
798,206
|
|
Financing activities
|
$
|
(74,067
|
)
|
|
$
|
(911,944
|
)
|
Effects of exchange rate changes on foreign currency cash
|
$
|
43,423
|
|
|
$
|
(20,950
|
)
|
•
|
debt;
|
•
|
XLIT and 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 rating 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, 2017
|
|
December 31, 2016
|
||||
Non-controlling interests - Series D preference ordinary shares of XLIT
|
$
|
345,000
|
|
|
$
|
345,000
|
|
Non-controlling interests - Series E preference ordinary shares of XLIT
|
999,500
|
|
|
999,500
|
|
||
Non-controlling interests - preference shares of Catlin-Bermuda
|
562,285
|
|
|
562,285
|
|
||
Non-controlling interests - Other
|
115,070
|
|
|
115,382
|
|
||
Common share capital
|
11,080,552
|
|
|
10,938,512
|
|
||
Total common shares and non-controlling interests
|
$
|
13,102,407
|
|
|
$
|
12,960,679
|
|
Notes payable and debt
|
3,207,339
|
|
|
2,647,677
|
|
||
Total
|
$
|
16,309,746
|
|
|
$
|
15,608,356
|
|
(U.S. dollars in thousands)
|
June 30, 2017
|
|
December 31, 2016
|
||||
Common shareholders' equity – beginning of period
|
$
|
10,938,512
|
|
|
$
|
11,677,079
|
|
Net income (loss) attributable to common shareholders
|
454,463
|
|
|
440,968
|
|
||
Share buybacks
|
(450,630
|
)
|
|
(1,051,050
|
)
|
||
Share issuances
|
42,659
|
|
|
9,900
|
|
||
Common share dividends
|
(117,508
|
)
|
|
(224,411
|
)
|
||
Change in accumulated other comprehensive income
|
205,619
|
|
|
28,930
|
|
||
Share-based compensation and other
|
7,437
|
|
|
57,096
|
|
||
Common shareholders' equity – end of period
|
$
|
11,080,552
|
|
|
$
|
10,938,512
|
|
|
|
|
|
|
|
|
Payments Due by Period (3)
|
||||||||||||||||||
(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
|
|
|
$
|
299,021
|
|
|
2018
|
|
$
|
—
|
|
|
$
|
300,000
|
|
|
$
|
—
|
|
|
$
|
—
|
|
5.75% Senior Notes
|
400,000
|
|
|
398,169
|
|
|
2021
|
|
—
|
|
|
—
|
|
|
400,000
|
|
|
—
|
|
||||||
6.375% Senior Notes
|
350,000
|
|
|
349,193
|
|
|
2024
|
|
—
|
|
|
—
|
|
|
—
|
|
|
350,000
|
|
||||||
4.45% Subordinated Notes
|
500,000
|
|
|
493,733
|
|
|
2025
|
|
—
|
|
|
—
|
|
|
—
|
|
|
500,000
|
|
||||||
6.25% Senior Notes
|
325,000
|
|
|
323,453
|
|
|
2027
|
|
—
|
|
|
—
|
|
|
—
|
|
|
325,000
|
|
||||||
5.25% Senior Notes
|
300,000
|
|
|
296,493
|
|
|
2043
|
|
—
|
|
|
—
|
|
|
—
|
|
|
300,000
|
|
||||||
5.5% Subordinated Notes
|
500,000
|
|
|
488,966
|
|
|
2045
|
|
—
|
|
|
—
|
|
|
—
|
|
|
500,000
|
|
||||||
3.25% Subordinated Notes
|
568,800
|
|
|
558,311
|
|
|
2047
|
|
—
|
|
|
—
|
|
|
—
|
|
|
568,800
|
|
||||||
Total
|
$
|
3,243,800
|
|
|
$
|
3,207,339
|
|
|
|
|
$
|
—
|
|
|
$
|
300,000
|
|
|
$
|
400,000
|
|
|
$
|
2,543,800
|
|
(1)
|
Excluded from the table are certain credit facilities under which the Company is permitted to utilize up to
$750.0 million
at
June 30, 2017
and
$1.0 billion
at
December 31, 2016
, for revolving loans to support general operating and financing needs. At
June 30, 2017
and
December 31, 2016
,
$44.7 million
and
$245 million
, respectively, were utilized under these facilities to issue letters of credit, leaving
$705.3 million
and $
755.0 million
, respectively, available to support other operating and financing needs.
|
(2)
|
"In Use/Outstanding" data represent
June 30, 2017
accreted values.
|
(3)
|
"Payments Due by Period" data represents ultimate redemption values.
|
▪
|
$300 million senior notes due December 2018, with a fixed coupon of 2.30%. The notes are listed on the New York Stock Exchange ("NYSE") and are guaranteed by XL Group. 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 NYSE and are guaranteed by XL Group. 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 NYSE and are guaranteed by XL Group. 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 NYSE and are guaranteed by XL Group. 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 NYSE and are guaranteed by XL Group. 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
.
|
▪
|
€500 million
(
$568.8 million
) subordinated notes due June 2047, with a fixed coupon of
3.25%
for a period of
10
years, then a floating rate of three-month EURIBOR plus
2.90%
. The notes are listed on the NYSE. The notes were issued at
99.054%
of the face amount and net proceeds were
$558.3 million
. Related expenses of the offering amounted to approximately
$10.5 million
.
|
(U.S. dollars in thousands)
|
|
|
|
|
|
|
Amount of Commitment Expiration by Period
|
||||||||||||||||||
Facility Name
|
Commitment/
Debt |
|
In Use/
Outstanding |
|
Year of
Expiry |
|
Less than
1 Year |
|
1 to 3
Years |
|
3 to 5
Years |
|
After 5
Years |
||||||||||||
Goldman Facility
|
$
|
200,000
|
|
|
$
|
200,000
|
|
|
2017
|
|
$
|
200,000
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
2016 Credit Agricole Facility I
|
125,000
|
|
|
125,000
|
|
|
2019
|
|
—
|
|
|
125,000
|
|
|
—
|
|
|
—
|
|
||||||
2016 Credit Agricole Facility II
|
125,000
|
|
|
125,000
|
|
|
2019
|
|
—
|
|
|
125,000
|
|
|
—
|
|
|
—
|
|
||||||
2017 Commonwealth Bank Facility
|
215,000
|
|
|
215,000
|
|
|
2020
|
|
—
|
|
|
215,000
|
|
|
—
|
|
|
—
|
|
||||||
FAL Facility I
|
125,000
|
|
|
125,000
|
|
|
2020
|
|
—
|
|
|
—
|
|
|
125,000
|
|
|
—
|
|
||||||
FAL Facility II
|
125,000
|
|
|
125,000
|
|
|
2020
|
|
—
|
|
|
—
|
|
|
125,000
|
|
|
—
|
|
||||||
FAL Facility III
|
125,000
|
|
|
125,000
|
|
|
2020
|
|
—
|
|
|
—
|
|
|
125,000
|
|
|
—
|
|
||||||
FAL Facility IV
|
125,000
|
|
|
125,000
|
|
|
2020
|
|
—
|
|
|
—
|
|
|
125,000
|
|
|
—
|
|
||||||
Syndicated Unsecured Facility (1)
|
750,000
|
|
|
44,747
|
|
|
2021
|
|
—
|
|
|
—
|
|
|
750,000
|
|
|
—
|
|
||||||
Syndicated Secured Facility (1)
|
750,000
|
|
|
552,383
|
|
|
2021
|
|
—
|
|
|
—
|
|
|
750,000
|
|
|
—
|
|
||||||
CICL Facility
|
190,000
|
|
|
178,710
|
|
|
Continuous
|
|
—
|
|
|
—
|
|
|
—
|
|
|
190,000
|
|
||||||
Citi EU Facility
|
600,000
|
|
|
100,705
|
|
|
Continuous
|
|
—
|
|
|
—
|
|
|
—
|
|
|
600,000
|
|
||||||
London Market Facility
|
250,000
|
|
|
124,324
|
|
|
Continuous
|
|
—
|
|
|
—
|
|
|
—
|
|
|
250,000
|
|
||||||
CRCH Facility
|
270,000
|
|
|
268,872
|
|
|
Continuous
|
|
—
|
|
|
—
|
|
|
—
|
|
|
270,000
|
|
||||||
Syndicate 2003 Facility
|
14,062
|
|
|
14,070
|
|
|
Continuous
|
|
—
|
|
|
—
|
|
|
—
|
|
|
14,062
|
|
||||||
Total LOC facilities
|
$
|
3,989,062
|
|
|
$
|
2,448,811
|
|
|
|
|
$
|
200,000
|
|
|
$
|
465,000
|
|
|
$
|
2,000,000
|
|
|
$
|
1,324,062
|
|
(1)
|
We have the option to increase the size of the Syndicated Secured and Unsecured Facilities by an aggregate of
$500 million
.
|
ITEM 3.
|
|
QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK
|
(Foreign currency in millions)
|
June 30, 2017
|
|
December 31, 2016
|
||
Euro
|
133.7
|
|
|
132.3
|
|
British Pound
|
(80.9
|
)
|
|
86.1
|
|
Swiss Franc
|
110.6
|
|
|
18.8
|
|
Canadian dollar
|
275.1
|
|
|
184.4
|
|
Top 10 Corporate holdings (1)(2)
(U.S. dollars in millions)
|
|
Carrying Value
|
|
% of Corporate
|
|
Percentage of
Aggregate
Fixed Income
Portfolio
|
||||
JPMorgan Chase & Co.
|
|
$
|
194
|
|
|
1.8
|
%
|
|
0.7
|
%
|
The Goldman Sachs Group, Inc.
|
|
181
|
|
|
1.7
|
%
|
|
0.6
|
%
|
|
Wells Fargo & Company
|
|
180
|
|
|
1.7
|
%
|
|
0.6
|
%
|
|
Morgan Stanley
|
|
174
|
|
|
1.7
|
%
|
|
0.6
|
%
|
|
Anheuser-Busch Inbev SA
|
|
166
|
|
|
1.6
|
%
|
|
0.6
|
%
|
|
Bank of America Corporation
|
|
161
|
|
|
1.5
|
%
|
|
0.6
|
%
|
|
HSBC Holdings PLC
|
|
155
|
|
|
1.5
|
%
|
|
0.5
|
%
|
|
Apple Inc.
|
|
149
|
|
|
1.4
|
%
|
|
0.5
|
%
|
|
Citigroup INC
|
|
138
|
|
|
1.3
|
%
|
|
0.5
|
%
|
|
Berkshire Hathaway Inc.
|
|
127
|
|
|
1.2
|
%
|
|
0.4
|
%
|
|
Total
|
|
$
|
1,625
|
|
|
15.4
|
%
|
|
5.6
|
%
|
(1)
|
Government-guaranteed securities and Covered Bonds have been excluded from the above figures.
|
(2)
|
Excludes short-term investments and accrued investment income.
|
(U.S. dollars in millions)
|
Carrying Value (2)
|
|
Percentage of
Structured Portfolio
|
|||
RMBS
|
$
|
3,954.3
|
|
|
62.4
|
%
|
CMBS
|
795.5
|
|
|
12.6
|
%
|
|
Other ABS (1)
|
1,587.1
|
|
|
25.0
|
%
|
|
Total
|
$
|
6,336.9
|
|
|
100.0
|
%
|
(1)
|
Includes Covered Bonds.
|
(2)
|
Excludes short-term investments and accrual investment income.
|
(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)
|
$
|
(1,192.7
|
)
|
|
$
|
(261.0
|
)
|
|
$
|
(1,055.0
|
)
|
|
$
|
(69.0
|
)
|
|
$
|
728.0
|
|
(I) Fixed Income Portfolio
|
(1,192.7
|
)
|
|
—
|
|
|
(1,055.0
|
)
|
|
(69.0
|
)
|
|
773.4
|
|
|||||
(a) Cash & Short Term Investments
|
(9.4
|
)
|
|
—
|
|
|
(4.4
|
)
|
|
(0.1
|
)
|
|
3.2
|
|
|||||
(b) Total Government Related
|
(468.2
|
)
|
|
—
|
|
|
(246.6
|
)
|
|
(5.2
|
)
|
|
284.3
|
|
|||||
(c) Total Corporate Credit
|
(436.9
|
)
|
|
—
|
|
|
(477.1
|
)
|
|
(40.6
|
)
|
|
290.9
|
|
|||||
(d) Total Structured Credit
|
(278.1
|
)
|
|
—
|
|
|
(326.9
|
)
|
|
(23.2
|
)
|
|
210.4
|
|
|||||
(II) Non-Fixed Income Portfolio
|
—
|
|
|
(261.0
|
)
|
|
—
|
|
|
—
|
|
|
270.6
|
|
|||||
(e) Equity Portfolio
|
—
|
|
|
(99.8
|
)
|
|
—
|
|
|
—
|
|
|
113.5
|
|
|||||
(f) Hedge Fund Portfolio
|
—
|
|
|
(71.3
|
)
|
|
—
|
|
|
—
|
|
|
73.2
|
|
|||||
(g) Private Investments
|
—
|
|
|
(89.9
|
)
|
|
—
|
|
|
—
|
|
|
96.7
|
|
(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 hedge fund investments and private equity investments. This includes our estimate of equity risk embedded in the hedge fund and private investment fund portfolios 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 hedge fund, private investment funds 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 hedge fund, private investment funds 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 at
June 30, 2017
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.
|
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, 2017 to April 30, 2017
|
2,486,828
|
|
|
$
|
40.24
|
|
|
2,485,300
|
|
|
$
|
800.0
|
million
|
May 1, 2017 to May 31, 2017
|
1,406,484
|
|
|
42.24
|
|
|
1,405,903
|
|
|
740.6
|
million
|
||
June 1, 2017 to June 30, 2017
|
2,080,271
|
|
|
43.56
|
|
|
2,080,271
|
|
|
650.0
|
million
|
||
Total
|
5,973,583
|
|
|
$
|
41.87
|
|
|
5,971,474
|
|
|
$
|
650.0
|
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 1,
Note 13, "Share Capital
," to the Unaudited Consolidated Financial Statements included herein.
|
ITEM 5.
|
|
OTHER INFORMATION
|
*
|
Filed herewith.
|
Date:
|
August 4, 2017
|
|
|
|
XL Group Ltd
|
|
|
(Registrant)
|
|
|
/s/ MICHAEL S. MCGAVICK
|
|
|
|
|
|
|
|
|
Name: Michael S. McGavick
|
|
|
Title: Chief Executive Officer and Director
|
|
|
XL Group Ltd
|
|
|
|
Date:
|
August 4, 2017
|
|
|
|
/s/ STEPHEN ROBB
|
|
|
|
|
|
|
|
|
Name: Stephen Robb
|
|
|
Title: Executive Vice President and Chief Financial Officer
|
|
|
XL Group Ltd
|
|
|
100 Washington Boulevard
|
|
6th Floor
|
|
|
Stamford, CT 06902
|
|
|
USA
|
|
|
Phone
+1 203 964 5500
|
|
|
Fax
+1 203 324 0700
|
|
|
xlgroup.com
|
2.
|
Discretionary Bonus/Annual Incentive Program.
|
3.
|
Long Term Incentives.
|
4.
|
Non-Competition and Non-Solicitation.
|
(a)
|
Restriction on Work for a Competitor/Solicitation of Business:
While employed by XL and for a
six month
period following termination of your employment with XL for any reason (the “Restriction Period”), except that the Restriction Period shall be
one year
following termination of your employment for any reason within twenty-four months after a Change in Control:
|
(i)
|
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 holder, or a member of a group that is a holder, of not in excess of 1% of the outstanding voting shares 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 XL.
|
(ii)
|
You will not, directly or indirectly contact, seek, entice, solicit, induce, persuade, divert or attempt to divert any business away from XL, 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 XL, with respect to any existing or proposed contractual or business arrangement with XL, insurance or reinsurance product or service sold or provided by or to XL during your employment, or any such product or service that is under development by XL 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 XL, in its sole discretion, following its receipt of your written request before commencement of the activity.
|
(b)
|
Restriction on the Solicitation of Employees:
While employed by XL and for a
one-year
period following termination of your employment with XL for any reason, you will not directly or indirectly solicit, encourage or induce any employee of XL to terminate employment with XL, and will not directly or indirectly, either individually or as owner, agent, employee, consultant or otherwise, employ or offer employment to any person who was employed by XL at the time of your termination from employment with XL or at any time during the six-month period prior to your termination ("XL employee") to engage in any business activity which competes with the insurance or reinsurance businesses of XL or its investment, corporate, or financial operations. You also agree that during the
one-year
period following your termination of employment with the Company for any reason, any subsequent employer's hiring of an XL employee into a position that reports directly or indirectly to you will constitute a breach of this paragraph.
|
5.
|
Confidentiality
.
|
6.
|
Participation in the Plan
.
|
7.
|
Equitable Relief
.
|
8.
|
Miscellaneous
.
|
9.
|
Modification
.
|
10.
|
Assignment
.
|
11.
|
Review/Consultation/Acknowledgement
.
|
|
_
/s/ STEPHEN ROBB
_____________
Signature of Executive
Stephen Robb
___________________
Print Name
Dated: _
May 5, 2017
______________
|
|
|
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 and Deductions
:
|
3.
|
Benefits
|
4.
|
Expenses & Hours of Work
|
5.
|
Annual Leave
|
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 Company 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
|
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
|
(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 be understood to include XL Group Ltd and all of its subsidiaries and affiliates.
|
10.
|
Representations and Warranties – Disclosure of Interests
|
11.
|
General Conditions
|
12.
|
Notices
|
13.
|
Prior Agreements, Assignment and Modification
|
14.
|
Governing Law and Jurisdiction
|
15.
|
Acceptance of Offer
|
(o)
|
Section 409A
.
|
(p)
|
Clawback Policy.
|
|
Six Months Ended
|
||||||
(U.S. dollars in thousands, except ratios)
|
2017
|
|
2016
|
||||
Earnings:
|
|
|
|
||||
Pre-tax income (loss) from continuing operations
|
$
|
440,598
|
|
|
$
|
113,948
|
|
Fixed charges
|
178,353
|
|
|
179,394
|
|
||
Distributed income of equity investees
|
88,305
|
|
|
104,865
|
|
||
Subtotal
|
$
|
707,256
|
|
|
$
|
398,207
|
|
Less: Non-controlling interests
|
5,459
|
|
|
5,436
|
|
||
Less: Preference share dividends
|
63,970
|
|
|
60,751
|
|
||
Total earnings (loss)
|
$
|
637,827
|
|
|
$
|
332,020
|
|
|
|
|
|
||||
Fixed charges:
|
|
|
|
||||
Interest costs
|
$
|
83,672
|
|
|
$
|
85,346
|
|
Accretion of deposit liabilities
|
21,057
|
|
|
22,695
|
|
||
Rental expense at 30% (1)
|
9,654
|
|
|
10,602
|
|
||
Total fixed charges
|
$
|
114,383
|
|
|
$
|
118,643
|
|
Preference share dividends
|
63,970
|
|
|
60,751
|
|
||
Total fixed charges and preference dividends
|
$
|
178,353
|
|
|
$
|
179,394
|
|
|
|
|
|
||||
Ratio of earnings to fixed charges
|
5.6
|
|
|
2.8
|
|
||
|
|
|
|
||||
Ratio of earnings to combined fixed charges and preference dividends
|
3.6
|
|
|
1.9
|
|
||
|
|
|
|
||||
Deficiency - fixed charges only
|
N/A
|
|
|
N/A
|
|
||
|
|
|
|
||||
Deficiency - fixed charges and preference dividends
|
N/A
|
|
|
N/A
|
|
(1)
|
30% represents a reasonable approximation of the interest factor.
|
1.
|
I have reviewed this Quarterly Report on Form 10-Q of XL Group Ltd;
|
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 4, 2017
|
|
|
|
|
|
|
/s/ MICHAEL S. MCGAVICK
|
|
|
|
|
|
|
|
|
Michael S. McGavick
|
|
|
Chief Executive Officer
|
1.
|
I have reviewed this Quarterly Report on Form 10-Q of XL Group Ltd;
|
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 4, 2017
|
|
|
|
|
|
|
/s/ STEPHEN ROBB
|
|
|
|
|
|
|
|
|
Stephen Robb
|
|
|
Executive Vice President and
|
|
|
Chief Financial Officer
|
|
Dated:
|
August 4, 2017
|
|
|
|
|
/s/ MICHAEL S. MCGAVICK
|
|
|
|
|
|
|
|
|
Michael S. McGavick
|
|
|
Chief Executive Officer
|
|
|
XL Group Ltd
|
|
|
|
|
|
Dated:
|
August 4, 2017
|
|
|
|
|
/s/ STEPHEN ROBB
|
|
|
|
|
|
|
|
|
Stephen Robb
|
|
|
Executive Vice President and
|
|
|
Chief Financial Officer
|
|
|
XL Group Ltd
|