|
|
Page
|
|
PART I
|
|
|
||
Item 1.
|
||
Item 2.
|
||
Item 3.
|
||
Item 4.
|
||
|
PART II
|
|
|
||
Item 1.
|
||
Item 1A.
|
||
Item 2.
|
||
Item 5.
|
||
Item 6.
|
||
|
PART I
|
FINANCIAL INFORMATION
|
•
|
the occurrence and magnitude of natural and man-made disasters,
|
•
|
actual claims exceeding our loss reserves,
|
•
|
general economic, capital and credit market conditions,
|
•
|
the failure of any of the loss limitation methods we employ,
|
•
|
the effects of emerging claims, coverage and regulatory issues, including uncertainty related to coverage definitions, limits, terms and conditions,
|
•
|
the failure of our cedants to adequately evaluate risks,
|
•
|
inability to obtain additional capital on favorable terms, or at all,
|
•
|
the loss of one or more key executives,
|
•
|
a decline in our ratings with rating agencies,
|
•
|
loss of business provided to us by our major brokers,
|
•
|
changes in accounting policies or practices,
|
•
|
the use of industry catastrophe models and changes to these models,
|
•
|
changes in governmental regulations,
|
•
|
increased competition,
|
•
|
changes in the political environment of certain countries in which we operate or underwrite business including the United Kingdom’s expected withdrawal from the European Union,
|
•
|
fluctuations in interest rates, credit spreads, equity prices and/or currency values, and
|
•
|
the other matters set forth under Item 1A,
‘Risk Factors’
and Item 7,
‘Management’s Discussion and Analysis of Financial Condition and Results of Operations’
included in our Annual Report on Form 10-K for the year ended
December 31, 2015
.
|
|
Page
|
|
|
Consolidated Balance Sheets at September 30, 2016 (Unaudited) and December 31, 2015
|
|
Consolidated Statements of Operations for the three and nine months ended September 30, 2016 and 2015 (Unaudited)
|
|
Consolidated Statements of Comprehensive Income for the three and nine months ended September 30, 2016 and 2015 (Unaudited)
|
|
Consolidated Statements of Changes in Shareholders' Equity for the nine months ended September 30, 2016 and 2015 (Unaudited)
|
|
Consolidated Statements of Cash Flows for the nine months ended September 30, 2016 and 2015 (Unaudited)
|
|
Notes to Consolidated Financial Statements (Unaudited)
|
|
Note 1 - Basis of Presentation and Accounting Policies
|
|
Note 2 - Segment Information
|
|
Note 3 - Investments
|
|
Note 4 - Fair Value Measurements
|
|
Note 5 - Derivative Instruments
|
|
Note 6 - Reserve for Losses and Loss Expenses
|
|
Note 7 - Share-Based Compensation
|
|
Note 8 - Earnings Per Common Share
|
|
Note 9 - Shareholders' Equity
|
|
Note 10 - Commitments and Contingencies
|
|
Note 11 - Other Comprehensive Income (Loss)
|
|
Note 12 - Subsequent Event
|
|
2016
|
|
2015
|
||||
|
(in thousands)
|
||||||
Assets
|
|
|
|
||||
Investments:
|
|
|
|
||||
Fixed maturities, available for sale, at fair value
(Amortized cost 2016: $11,462,399; 2015: $11,897,639)
|
$
|
11,566,860
|
|
|
$
|
11,719,749
|
|
Equity securities, available for sale, at fair value
(Cost 2016: $600,604; 2015: $575,776)
|
644,344
|
|
|
597,998
|
|
||
Mortgage loans, held for investment, at amortized cost and fair value
|
332,753
|
|
|
206,277
|
|
||
Other investments, at fair value
|
847,262
|
|
|
816,756
|
|
||
Equity method investments
|
111,295
|
|
|
10,932
|
|
||
Short-term investments, at amortized cost and fair value
|
39,877
|
|
|
34,406
|
|
||
Total investments
|
13,542,391
|
|
|
13,386,118
|
|
||
Cash and cash equivalents
|
848,200
|
|
|
988,133
|
|
||
Restricted cash and cash equivalents
|
229,063
|
|
|
186,618
|
|
||
Accrued interest receivable
|
71,096
|
|
|
73,729
|
|
||
Insurance and reinsurance premium balances receivable
|
2,694,976
|
|
|
1,967,535
|
|
||
Reinsurance recoverable on unpaid and paid losses
|
2,336,741
|
|
|
2,096,104
|
|
||
Deferred acquisition costs
|
545,618
|
|
|
471,782
|
|
||
Prepaid reinsurance premiums
|
582,551
|
|
|
396,201
|
|
||
Receivable for investments sold
|
2,285
|
|
|
26,478
|
|
||
Goodwill and intangible assets
|
85,501
|
|
|
86,858
|
|
||
Other assets
|
283,969
|
|
|
302,335
|
|
||
Total assets
|
$
|
21,222,391
|
|
|
$
|
19,981,891
|
|
|
|
|
|
||||
Liabilities
|
|
|
|
||||
Reserve for losses and loss expenses
|
$
|
9,874,807
|
|
|
$
|
9,646,285
|
|
Unearned premiums
|
3,453,655
|
|
|
2,760,889
|
|
||
Insurance and reinsurance balances payable
|
461,519
|
|
|
356,417
|
|
||
Senior notes
|
992,633
|
|
|
991,825
|
|
||
Payable for investments purchased
|
141,245
|
|
|
9,356
|
|
||
Other liabilities
|
272,874
|
|
|
350,237
|
|
||
Total liabilities
|
15,196,733
|
|
|
14,115,009
|
|
||
|
|
|
|
||||
Shareholders’ equity
|
|
|
|
||||
Preferred shares
|
625,000
|
|
|
627,843
|
|
||
Common shares
(2016: 176,575; 2015: 176,240 shares issued and
2016: 88,439; 2015: 96,066 shares outstanding)
|
2,206
|
|
|
2,202
|
|
||
Additional paid-in capital
|
2,307,866
|
|
|
2,241,388
|
|
||
Accumulated other comprehensive income (loss)
|
98,505
|
|
|
(188,465
|
)
|
||
Retained earnings
|
6,430,573
|
|
|
6,194,353
|
|
||
Treasury shares, at cost
(2016: 88,136; 2015: 80,174 shares)
|
(3,438,492
|
)
|
|
(3,010,439
|
)
|
||
Total shareholders’ equity
|
6,025,658
|
|
|
5,866,882
|
|
||
|
|
|
|
||||
Total liabilities and shareholders’ equity
|
$
|
21,222,391
|
|
|
$
|
19,981,891
|
|
|
Three months ended
|
|
Nine months ended
|
||||||||||||
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
|
(in thousands, except for per share amounts)
|
||||||||||||||
Revenues
|
|
|
|
|
|
|
|
||||||||
Net premiums earned
|
$
|
934,415
|
|
|
$
|
919,341
|
|
|
$
|
2,783,746
|
|
|
$
|
2,764,605
|
|
Net investment income
|
116,923
|
|
|
45,685
|
|
|
257,818
|
|
|
226,336
|
|
||||
Other insurance related income
|
5,944
|
|
|
1,158
|
|
|
4,850
|
|
|
12,319
|
|
||||
Termination fee received
|
—
|
|
|
280,000
|
|
|
—
|
|
|
280,000
|
|
||||
Net realized investment gains (losses):
|
|
|
|
|
|
|
|
||||||||
Other-than-temporary impairment ("OTTI") losses
|
(4,247
|
)
|
|
(32,301
|
)
|
|
(20,346
|
)
|
|
(62,762
|
)
|
||||
Other realized investment gains (losses)
|
9,452
|
|
|
(37,656
|
)
|
|
(19,949
|
)
|
|
(60,856
|
)
|
||||
Total net realized investment gains (losses)
|
5,205
|
|
|
(69,957
|
)
|
|
(40,295
|
)
|
|
(123,618
|
)
|
||||
Total revenues
|
1,062,487
|
|
|
1,176,227
|
|
|
3,006,119
|
|
|
3,159,642
|
|
||||
|
|
|
|
|
|
|
|
||||||||
Expenses
|
|
|
|
|
|
|
|
||||||||
Net losses and loss expenses
|
532,328
|
|
|
560,387
|
|
|
1,663,584
|
|
|
1,652,868
|
|
||||
Acquisition costs
|
189,810
|
|
|
182,744
|
|
|
559,570
|
|
|
537,549
|
|
||||
General and administrative expenses
|
142,906
|
|
|
144,727
|
|
|
439,554
|
|
|
456,451
|
|
||||
Foreign exchange gains
|
(13,795
|
)
|
|
(28,088
|
)
|
|
(69,781
|
)
|
|
(69,200
|
)
|
||||
Interest expense and financing costs
|
12,839
|
|
|
12,918
|
|
|
38,586
|
|
|
38,114
|
|
||||
Reorganization and related expenses
|
—
|
|
|
45,867
|
|
|
—
|
|
|
45,867
|
|
||||
Total expenses
|
864,088
|
|
|
918,555
|
|
|
2,631,513
|
|
|
2,661,649
|
|
||||
|
|
|
|
|
|
|
|
||||||||
Income before income taxes and interest in income (loss) of equity method investments
|
198,399
|
|
|
257,672
|
|
|
374,606
|
|
|
497,993
|
|
||||
Income tax expense
|
9,352
|
|
|
30
|
|
|
7,712
|
|
|
1,155
|
|
||||
Interest in loss of equity method investments
|
(2,434
|
)
|
|
—
|
|
|
(2,434
|
)
|
|
—
|
|
||||
Net income
|
186,613
|
|
|
257,642
|
|
|
364,460
|
|
|
496,838
|
|
||||
Preferred share dividends
|
9,969
|
|
|
10,022
|
|
|
29,906
|
|
|
30,066
|
|
||||
Net income available to common shareholders
|
$
|
176,644
|
|
|
$
|
247,620
|
|
|
$
|
334,554
|
|
|
$
|
466,772
|
|
|
|
|
|
|
|
|
|
||||||||
Per share data
|
|
|
|
|
|
|
|
||||||||
Net income per common share:
|
|
|
|
|
|
|
|
||||||||
Basic net income
|
$
|
1.97
|
|
|
$
|
2.52
|
|
|
$
|
3.64
|
|
|
$
|
4.69
|
|
Diluted net income
|
$
|
1.96
|
|
|
$
|
2.50
|
|
|
$
|
3.61
|
|
|
$
|
4.65
|
|
Weighted average number of common shares outstanding - basic
|
89,621
|
|
|
98,226
|
|
|
91,852
|
|
|
99,464
|
|
||||
Weighted average number of common shares outstanding - diluted
|
90,351
|
|
|
99,124
|
|
|
92,579
|
|
|
100,468
|
|
||||
Cash dividends declared per common share
|
$
|
0.35
|
|
|
$
|
0.29
|
|
|
$
|
1.05
|
|
|
$
|
0.87
|
|
|
Three months ended
|
|
Nine months ended
|
||||||||||||
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
|
(in thousands)
|
||||||||||||||
Net income
|
$
|
186,613
|
|
|
$
|
257,642
|
|
|
$
|
364,460
|
|
|
$
|
496,838
|
|
Other comprehensive income (loss), net of tax:
|
|
|
|
|
|
|
|
||||||||
Available for sale investments:
|
|
|
|
|
|
|
|
||||||||
Unrealized investment gains (losses) arising during the period
|
36,336
|
|
|
(99,711
|
)
|
|
238,656
|
|
|
(176,938
|
)
|
||||
Adjustment for reclassification of net realized investment gains (losses) and OTTI losses recognized in net income
|
(2,642
|
)
|
|
74,810
|
|
|
42,620
|
|
|
128,770
|
|
||||
Unrealized investment gains (losses) arising during the period, net of reclassification adjustment
|
33,694
|
|
|
(24,901
|
)
|
|
281,276
|
|
|
(48,168
|
)
|
||||
Foreign currency translation adjustment
|
1,722
|
|
|
(14,626
|
)
|
|
5,694
|
|
|
(23,851
|
)
|
||||
Total other comprehensive income (loss), net of tax
|
35,416
|
|
|
(39,527
|
)
|
|
286,970
|
|
|
(72,019
|
)
|
||||
Comprehensive income
|
$
|
222,029
|
|
|
$
|
218,115
|
|
|
$
|
651,430
|
|
|
$
|
424,819
|
|
|
2016
|
|
2015
|
||||
|
(in thousands)
|
||||||
Preferred shares
|
|
|
|
||||
Balance at beginning of period
|
$
|
627,843
|
|
|
$
|
627,843
|
|
Shares repurchased
|
(2,843
|
)
|
|
—
|
|
||
Balance at end of period
|
625,000
|
|
|
627,843
|
|
||
|
|
|
|
||||
Common shares (par value)
|
|
|
|
||||
Balance at beginning of period
|
2,202
|
|
|
2,191
|
|
||
Shares issued
|
4
|
|
|
11
|
|
||
Balance at end of period
|
2,206
|
|
|
2,202
|
|
||
|
|
|
|
||||
Additional paid-in capital
|
|
|
|
||||
Balance at beginning of period
|
2,241,388
|
|
|
2,285,016
|
|
||
Shares issued - common shares
|
(4
|
)
|
|
2,472
|
|
||
Cost of treasury shares reissued
|
(19,647
|
)
|
|
(17,674
|
)
|
||
Settlement of accelerated share repurchase
|
60,000
|
|
|
(60,000
|
)
|
||
Stock options exercised
|
—
|
|
|
558
|
|
||
Share-based compensation expense
|
26,129
|
|
|
19,906
|
|
||
Balance at end of period
|
2,307,866
|
|
|
2,230,278
|
|
||
|
|
|
|
||||
Accumulated other comprehensive income (loss)
|
|
|
|
||||
Balance at beginning of period
|
(188,465
|
)
|
|
(45,574
|
)
|
||
Unrealized gains (losses) on available for sale investments, net of tax:
|
|
|
|
||||
Balance at beginning of period
|
(149,585
|
)
|
|
(28,192
|
)
|
||
Unrealized gains (losses) arising during the period, net of reclassification adjustment
|
281,276
|
|
|
(48,168
|
)
|
||
Non-credit portion of OTTI losses
|
—
|
|
|
—
|
|
||
Balance at end of period
|
131,691
|
|
|
(76,360
|
)
|
||
Cumulative foreign currency translation adjustments, net of tax:
|
|
|
|
||||
Balance at beginning of period
|
(38,880
|
)
|
|
(17,382
|
)
|
||
Foreign currency translation adjustments
|
5,694
|
|
|
(23,851
|
)
|
||
Balance at end of period
|
(33,186
|
)
|
|
(41,233
|
)
|
||
Balance at end of period
|
98,505
|
|
|
(117,593
|
)
|
||
|
|
|
|
||||
Retained earnings
|
|
|
|
||||
Balance at beginning of period
|
6,194,353
|
|
|
5,715,504
|
|
||
Net income
|
364,460
|
|
|
496,838
|
|
||
Preferred share dividends
|
(29,906
|
)
|
|
(30,066
|
)
|
||
Common share dividends
|
(98,334
|
)
|
|
(88,379
|
)
|
||
Balance at end of period
|
6,430,573
|
|
|
6,093,897
|
|
||
|
|
|
|
||||
Treasury shares, at cost
|
|
|
|
||||
Balance at beginning of period
|
(3,010,439
|
)
|
|
(2,763,859
|
)
|
||
Shares repurchased for treasury
|
(449,086
|
)
|
|
(264,076
|
)
|
||
Cost of treasury shares reissued
|
21,033
|
|
|
17,674
|
|
||
Balance at end of period
|
(3,438,492
|
)
|
|
(3,010,261
|
)
|
||
|
|
|
|
||||
Total shareholders’ equity
|
$
|
6,025,658
|
|
|
$
|
5,826,366
|
|
|
|
|
|
|
2016
|
|
2015
|
||||
|
(in thousands)
|
||||||
Cash flows from operating activities:
|
|
|
|
||||
Net income
|
$
|
364,460
|
|
|
$
|
496,838
|
|
Adjustments to reconcile net income to net cash provided by operating activities:
|
|
|
|
||||
Net realized investment losses
|
40,295
|
|
|
123,618
|
|
||
Net realized and unrealized gains on other investments
|
(23,117
|
)
|
|
(17,616
|
)
|
||
Amortization of fixed maturities
|
51,660
|
|
|
75,645
|
|
||
Interest in loss of equity method investments
|
2,434
|
|
|
—
|
|
||
Other amortization and depreciation
|
17,370
|
|
|
26,219
|
|
||
Share-based compensation expense, net of cash payments
|
28,580
|
|
|
25,435
|
|
||
Changes in:
|
|
|
|
||||
Accrued interest receivable
|
3,286
|
|
|
7,128
|
|
||
Reinsurance recoverable balances
|
(163,212
|
)
|
|
(158,362
|
)
|
||
Deferred acquisition costs
|
(73,759
|
)
|
|
(77,348
|
)
|
||
Prepaid reinsurance premiums
|
(184,648
|
)
|
|
(69,016
|
)
|
||
Reserve for loss and loss expenses
|
216,828
|
|
|
212,066
|
|
||
Unearned premiums
|
682,686
|
|
|
380,610
|
|
||
Insurance and reinsurance balances, net
|
(623,170
|
)
|
|
(330,128
|
)
|
||
Other items
|
(74,383
|
)
|
|
7,841
|
|
||
Net cash provided by operating activities
|
265,310
|
|
|
702,930
|
|
||
|
|
|
|
||||
Cash flows from investing activities:
|
|
|
|
||||
Purchases of:
|
|
|
|
||||
Fixed maturities
|
(6,624,573
|
)
|
|
(8,110,841
|
)
|
||
Equity securities
|
(295,827
|
)
|
|
(240,415
|
)
|
||
Mortgage loans
|
(131,087
|
)
|
|
(129,431
|
)
|
||
Other investments
|
(177,500
|
)
|
|
(61,591
|
)
|
||
Equity method investments
|
(103,548
|
)
|
|
—
|
|
||
Short-term investments
|
(81,479
|
)
|
|
(34,147
|
)
|
||
Proceeds from the sale of:
|
|
|
|
||||
Fixed maturities
|
6,067,663
|
|
|
6,797,585
|
|
||
Equity securities
|
296,182
|
|
|
112,794
|
|
||
Other investments
|
170,111
|
|
|
244,353
|
|
||
Short-term investments
|
67,408
|
|
|
112,694
|
|
||
Proceeds from redemption of fixed maturities
|
977,852
|
|
|
1,107,175
|
|
||
Proceeds from redemption of short-term investments
|
8,185
|
|
|
22,337
|
|
||
Proceeds from the repayment of mortgage loans
|
4,808
|
|
|
—
|
|
||
Purchase of other assets
|
(19,055
|
)
|
|
(18,401
|
)
|
||
Change in restricted cash and cash equivalents
|
(42,445
|
)
|
|
27,996
|
|
||
Net cash provided by (used in) investing activities
|
116,695
|
|
|
(169,892
|
)
|
||
|
|
|
|
||||
Cash flows from financing activities:
|
|
|
|
||||
Repurchase of common shares
|
(389,086
|
)
|
|
(332,097
|
)
|
||
Dividends paid - common shares
|
(100,670
|
)
|
|
(89,611
|
)
|
||
Dividends paid - preferred shares
|
(29,940
|
)
|
|
(30,066
|
)
|
||
Repurchase of preferred shares
|
(2,843
|
)
|
|
—
|
|
||
Proceeds from issuance of common shares
|
8
|
|
|
3,042
|
|
||
Net cash used in financing activities
|
(522,531
|
)
|
|
(448,732
|
)
|
||
|
|
|
|
||||
Effect of exchange rate changes on foreign currency cash and cash equivalents
|
593
|
|
|
(13,883
|
)
|
||
Increase (decrease) in cash and cash equivalents
|
(139,933
|
)
|
|
70,423
|
|
||
Cash and cash equivalents - beginning of period
|
988,133
|
|
|
921,830
|
|
||
Cash and cash equivalents - end of period
|
$
|
848,200
|
|
|
$
|
992,253
|
|
|
|
|
|
1.
|
BASIS OF PRESENTATION AND ACCOUNTING POLICIES
|
1.
|
BASIS OF PRESENTATION AND ACCOUNTING POLICIES (CONTINUED)
|
2.
|
SEGMENT INFORMATION
|
|
|
2016
|
|
2015
|
|
||||||||||||||||||||
|
Three months ended and at September 30,
|
Insurance
|
|
Reinsurance
|
|
Total
|
|
Insurance
|
|
Reinsurance
|
|
Total
|
|
||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
Gross premiums written
|
$
|
675,430
|
|
|
$
|
284,532
|
|
|
$
|
959,962
|
|
|
$
|
606,704
|
|
|
$
|
329,879
|
|
|
$
|
936,583
|
|
|
|
Net premiums written
|
433,131
|
|
|
162,300
|
|
|
595,431
|
|
|
381,118
|
|
|
296,099
|
|
|
677,217
|
|
|
||||||
|
Net premiums earned
|
444,691
|
|
|
489,724
|
|
|
934,415
|
|
|
444,550
|
|
|
474,791
|
|
|
919,341
|
|
|
||||||
|
Other insurance related income
|
39
|
|
|
5,905
|
|
|
5,944
|
|
|
542
|
|
|
616
|
|
|
1,158
|
|
|
||||||
|
Net losses and loss expenses
|
(273,226
|
)
|
|
(259,102
|
)
|
|
(532,328
|
)
|
|
(283,272
|
)
|
|
(277,115
|
)
|
|
(560,387
|
)
|
|
||||||
|
Acquisition costs
|
(61,755
|
)
|
|
(128,055
|
)
|
|
(189,810
|
)
|
|
(69,118
|
)
|
|
(113,626
|
)
|
|
(182,744
|
)
|
|
||||||
|
General and administrative expenses
|
(84,588
|
)
|
|
(29,635
|
)
|
|
(114,223
|
)
|
|
(85,814
|
)
|
|
(35,309
|
)
|
|
(121,123
|
)
|
|
||||||
|
Underwriting income
|
$
|
25,161
|
|
|
$
|
78,837
|
|
|
103,998
|
|
|
$
|
6,888
|
|
|
$
|
49,357
|
|
|
56,245
|
|
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
Corporate expenses
|
|
|
|
|
(28,683
|
)
|
|
|
|
|
|
(23,604
|
)
|
|
||||||||||
|
Net investment income
|
|
|
|
|
116,923
|
|
|
|
|
|
|
45,685
|
|
|
||||||||||
|
Net realized investment gains (losses)
|
|
|
|
|
5,205
|
|
|
|
|
|
|
(69,957
|
)
|
|
||||||||||
|
Foreign exchange gains
|
|
|
|
|
13,795
|
|
|
|
|
|
|
28,088
|
|
|
||||||||||
|
Interest expense and financing costs
|
|
|
|
|
(12,839
|
)
|
|
|
|
|
|
(12,918
|
)
|
|
||||||||||
|
Termination fee received
|
|
|
|
|
—
|
|
|
|
|
|
|
280,000
|
|
|
||||||||||
|
Reorganization and related expenses
|
|
|
|
|
—
|
|
|
|
|
|
|
(45,867
|
)
|
|
||||||||||
|
Income before income taxes and interest in income (loss) of equity method investments
|
|
|
|
|
$
|
198,399
|
|
|
|
|
|
|
$
|
257,672
|
|
|
||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
Net loss and loss expense ratio
|
61.4
|
%
|
|
52.9
|
%
|
|
57.0
|
%
|
|
63.7
|
%
|
|
58.4
|
%
|
|
61.0
|
%
|
|
||||||
|
Acquisition cost ratio
|
13.9
|
%
|
|
26.1
|
%
|
|
20.3
|
%
|
|
15.5
|
%
|
|
23.9
|
%
|
|
19.9
|
%
|
|
||||||
|
General and administrative expense ratio
|
19.1
|
%
|
|
6.1
|
%
|
|
15.3
|
%
|
|
19.4
|
%
|
|
7.4
|
%
|
|
15.7
|
%
|
|
||||||
|
Combined ratio
|
94.4
|
%
|
|
85.1
|
%
|
|
92.6
|
%
|
|
98.6
|
%
|
|
89.7
|
%
|
|
96.6
|
%
|
|
||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
Goodwill and intangible assets
|
$
|
85,501
|
|
|
$
|
—
|
|
|
$
|
85,501
|
|
|
$
|
87,329
|
|
|
$
|
—
|
|
|
$
|
87,329
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2.
|
SEGMENT INFORMATION (CONTINUED)
|
|
|
2016
|
|
2015
|
|
||||||||||||||||||||
|
Nine months ended and at September 30,
|
Insurance
|
|
Reinsurance
|
|
Total
|
|
Insurance
|
|
Reinsurance
|
|
Total
|
|
||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
Gross premiums written
|
$
|
2,112,796
|
|
|
$
|
2,126,762
|
|
|
$
|
4,239,558
|
|
|
$
|
1,970,554
|
|
|
$
|
1,833,374
|
|
|
$
|
3,803,928
|
|
|
|
Net premiums written
|
1,433,058
|
|
|
1,855,529
|
|
|
3,288,587
|
|
|
1,352,122
|
|
|
1,727,185
|
|
|
3,079,307
|
|
|
||||||
|
Net premiums earned
|
1,322,649
|
|
|
1,461,097
|
|
|
2,783,746
|
|
|
1,344,339
|
|
|
1,420,266
|
|
|
2,764,605
|
|
|
||||||
|
Other insurance related income (loss)
|
(57
|
)
|
|
4,907
|
|
|
4,850
|
|
|
811
|
|
|
11,508
|
|
|
12,319
|
|
|
||||||
|
Net losses and loss expenses
|
(853,771
|
)
|
|
(809,813
|
)
|
|
(1,663,584
|
)
|
|
(866,580
|
)
|
|
(786,288
|
)
|
|
(1,652,868
|
)
|
|
||||||
|
Acquisition costs
|
(184,982
|
)
|
|
(374,588
|
)
|
|
(559,570
|
)
|
|
(200,493
|
)
|
|
(337,056
|
)
|
|
(537,549
|
)
|
|
||||||
|
General and administrative expenses
|
(252,652
|
)
|
|
(99,980
|
)
|
|
(352,632
|
)
|
|
(261,924
|
)
|
|
(110,701
|
)
|
|
(372,625
|
)
|
|
||||||
|
Underwriting income
|
$
|
31,187
|
|
|
$
|
181,623
|
|
|
212,810
|
|
|
$
|
16,153
|
|
|
$
|
197,729
|
|
|
213,882
|
|
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
Corporate expenses
|
|
|
|
|
(86,922
|
)
|
|
|
|
|
|
(83,826
|
)
|
|
||||||||||
|
Net investment income
|
|
|
|
|
257,818
|
|
|
|
|
|
|
226,336
|
|
|
||||||||||
|
Net realized investment losses
|
|
|
|
|
(40,295
|
)
|
|
|
|
|
|
(123,618
|
)
|
|
||||||||||
|
Foreign exchange gains
|
|
|
|
|
69,781
|
|
|
|
|
|
|
69,200
|
|
|
||||||||||
|
Interest expense and financing costs
|
|
|
|
|
(38,586
|
)
|
|
|
|
|
|
(38,114
|
)
|
|
||||||||||
|
Termination fee received
|
|
|
|
|
—
|
|
|
|
|
|
|
280,000
|
|
|
||||||||||
|
Reorganization and related expenses
|
|
|
|
|
—
|
|
|
|
|
|
|
(45,867
|
)
|
|
||||||||||
|
Income before income taxes and interest in income (loss) of equity method investments
|
|
|
|
|
$
|
374,606
|
|
|
|
|
|
|
$
|
497,993
|
|
|
||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
Net loss and loss expense ratio
|
64.6
|
%
|
|
55.4
|
%
|
|
59.8
|
%
|
|
64.5
|
%
|
|
55.4
|
%
|
|
59.8
|
%
|
|
||||||
|
Acquisition cost ratio
|
14.0
|
%
|
|
25.6
|
%
|
|
20.1
|
%
|
|
14.9
|
%
|
|
23.7
|
%
|
|
19.4
|
%
|
|
||||||
|
General and administrative expense ratio
|
19.0
|
%
|
|
6.9
|
%
|
|
15.8
|
%
|
|
19.5
|
%
|
|
7.8
|
%
|
|
16.5
|
%
|
|
||||||
|
Combined ratio
|
97.6
|
%
|
|
87.9
|
%
|
|
95.7
|
%
|
|
98.9
|
%
|
|
86.9
|
%
|
|
95.7
|
%
|
|
||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
Goodwill and intangible assets
|
$
|
85,501
|
|
|
$
|
—
|
|
|
$
|
85,501
|
|
|
$
|
87,329
|
|
|
$
|
—
|
|
|
$
|
87,329
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Amortized
Cost or
Cost
|
|
Gross
Unrealized
Gains
|
|
Gross
Unrealized
Losses
|
|
Fair
Value
|
|
Non-credit
OTTI
in AOCI
(5)
|
|
||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
At September 30, 2016
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
Fixed maturities
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
U.S. government and agency
|
$
|
1,542,943
|
|
|
$
|
22,349
|
|
|
$
|
(2,415
|
)
|
|
$
|
1,562,877
|
|
|
$
|
—
|
|
|
|
Non-U.S. government
|
620,601
|
|
|
4,799
|
|
|
(43,344
|
)
|
|
582,056
|
|
|
—
|
|
|
|||||
|
Corporate debt
|
4,516,290
|
|
|
87,184
|
|
|
(34,974
|
)
|
|
4,568,500
|
|
|
—
|
|
|
|||||
|
Agency RMBS
(1)
|
2,473,832
|
|
|
49,661
|
|
|
(762
|
)
|
|
2,522,731
|
|
|
—
|
|
|
|||||
|
CMBS
(2)
|
877,732
|
|
|
18,546
|
|
|
(2,003
|
)
|
|
894,275
|
|
|
—
|
|
|
|||||
|
Non-Agency RMBS
|
71,842
|
|
|
1,636
|
|
|
(1,648
|
)
|
|
71,830
|
|
|
(870
|
)
|
|
|||||
|
ABS
(3)
|
1,234,292
|
|
|
4,028
|
|
|
(2,724
|
)
|
|
1,235,596
|
|
|
—
|
|
|
|||||
|
Municipals
(4)
|
124,867
|
|
|
4,215
|
|
|
(87
|
)
|
|
128,995
|
|
|
—
|
|
|
|||||
|
Total fixed maturities
|
$
|
11,462,399
|
|
|
$
|
192,418
|
|
|
$
|
(87,957
|
)
|
|
$
|
11,566,860
|
|
|
$
|
(870
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
Equity securities
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
Common stocks
|
$
|
379
|
|
|
$
|
38
|
|
|
$
|
(348
|
)
|
|
$
|
69
|
|
|
|
|
||
|
Exchange-traded funds
|
463,655
|
|
|
41,611
|
|
|
(1,060
|
)
|
|
504,206
|
|
|
|
|
||||||
|
Bond mutual funds
|
136,570
|
|
|
3,499
|
|
|
—
|
|
|
140,069
|
|
|
|
|
||||||
|
Total equity securities
|
$
|
600,604
|
|
|
$
|
45,148
|
|
|
$
|
(1,408
|
)
|
|
$
|
644,344
|
|
|
|
|
||
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
At December 31, 2015
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
Fixed maturities
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
U.S. government and agency
|
$
|
1,673,617
|
|
|
$
|
1,545
|
|
|
$
|
(23,213
|
)
|
|
$
|
1,651,949
|
|
|
$
|
—
|
|
|
|
Non-U.S. government
|
809,025
|
|
|
2,312
|
|
|
(72,332
|
)
|
|
739,005
|
|
|
—
|
|
|
|||||
|
Corporate debt
|
4,442,315
|
|
|
16,740
|
|
|
(96,286
|
)
|
|
4,362,769
|
|
|
—
|
|
|
|||||
|
Agency RMBS
(1)
|
2,236,138
|
|
|
22,773
|
|
|
(9,675
|
)
|
|
2,249,236
|
|
|
—
|
|
|
|||||
|
CMBS
(2)
|
1,088,595
|
|
|
3,885
|
|
|
(9,182
|
)
|
|
1,083,298
|
|
|
—
|
|
|
|||||
|
Non-Agency RMBS
|
99,989
|
|
|
1,992
|
|
|
(973
|
)
|
|
101,008
|
|
|
(875
|
)
|
|
|||||
|
ABS
(3)
|
1,387,919
|
|
|
952
|
|
|
(17,601
|
)
|
|
1,371,270
|
|
|
—
|
|
|
|||||
|
Municipals
(4)
|
160,041
|
|
|
2,319
|
|
|
(1,146
|
)
|
|
161,214
|
|
|
—
|
|
|
|||||
|
Total fixed maturities
|
$
|
11,897,639
|
|
|
$
|
52,518
|
|
|
$
|
(230,408
|
)
|
|
$
|
11,719,749
|
|
|
$
|
(875
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
Equity securities
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
Common stocks
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
|
|
||
|
Exchange-traded funds
|
447,524
|
|
|
31,211
|
|
|
(4,762
|
)
|
|
473,973
|
|
|
|
|
||||||
|
Bond mutual funds
|
128,252
|
|
|
—
|
|
|
(4,227
|
)
|
|
124,025
|
|
|
|
|
||||||
|
Total equity securities
|
$
|
575,776
|
|
|
$
|
31,211
|
|
|
$
|
(8,989
|
)
|
|
$
|
597,998
|
|
|
|
|
||
|
|
|
|
|
|
|
|
|
|
|
|
(1)
|
Residential mortgage-backed securities (RMBS) originated by U.S. agencies.
|
(2)
|
Commercial mortgage-backed securities (CMBS).
|
(3)
|
Asset-backed securities (ABS) include debt tranched securities collateralized primarily by auto loans, student loans, credit cards, and other asset types. This asset class also includes collateralized loan obligations (CLOs) and collateralized debt obligations (CDOs).
|
(4)
|
Municipals include bonds issued by states, municipalities and political subdivisions.
|
(5)
|
Represents the non-credit component of the other-than-temporary impairment (OTTI) losses, adjusted for subsequent sales, maturities and redemptions. It does not include the change in fair value subsequent to the impairment measurement date.
|
3.
|
INVESTMENTS (CONTINUED)
|
|
|
Amortized
Cost
|
|
Fair
Value
|
|
% of Total
Fair Value
|
|
|||||
|
|
|
|
|
|
|
|
|||||
|
At September 30, 2016
|
|
|
|
|
|
|
|||||
|
Maturity
|
|
|
|
|
|
|
|||||
|
Due in one year or less
|
$
|
363,821
|
|
|
$
|
356,706
|
|
|
3.0
|
%
|
|
|
Due after one year through five years
|
3,809,515
|
|
|
3,801,104
|
|
|
32.9
|
%
|
|
||
|
Due after five years through ten years
|
2,286,970
|
|
|
2,330,895
|
|
|
20.2
|
%
|
|
||
|
Due after ten years
|
344,395
|
|
|
353,723
|
|
|
3.1
|
%
|
|
||
|
|
6,804,701
|
|
|
6,842,428
|
|
|
59.2
|
%
|
|
||
|
Agency RMBS
|
2,473,832
|
|
|
2,522,731
|
|
|
21.8
|
%
|
|
||
|
CMBS
|
877,732
|
|
|
894,275
|
|
|
7.7
|
%
|
|
||
|
Non-Agency RMBS
|
71,842
|
|
|
71,830
|
|
|
0.6
|
%
|
|
||
|
ABS
|
1,234,292
|
|
|
1,235,596
|
|
|
10.7
|
%
|
|
||
|
Total
|
$
|
11,462,399
|
|
|
$
|
11,566,860
|
|
|
100.0
|
%
|
|
|
|
|
|
|
|
|
|
|||||
|
At December 31, 2015
|
|
|
|
|
|
|
|||||
|
Maturity
|
|
|
|
|
|
|
|||||
|
Due in one year or less
|
$
|
291,368
|
|
|
$
|
289,571
|
|
|
2.5
|
%
|
|
|
Due after one year through five years
|
4,217,515
|
|
|
4,142,802
|
|
|
35.3
|
%
|
|
||
|
Due after five years through ten years
|
2,263,684
|
|
|
2,181,525
|
|
|
18.6
|
%
|
|
||
|
Due after ten years
|
312,431
|
|
|
301,039
|
|
|
2.6
|
%
|
|
||
|
|
7,084,998
|
|
|
6,914,937
|
|
|
59.0
|
%
|
|
||
|
Agency RMBS
|
2,236,138
|
|
|
2,249,236
|
|
|
19.2
|
%
|
|
||
|
CMBS
|
1,088,595
|
|
|
1,083,298
|
|
|
9.2
|
%
|
|
||
|
Non-Agency RMBS
|
99,989
|
|
|
101,008
|
|
|
0.9
|
%
|
|
||
|
ABS
|
1,387,919
|
|
|
1,371,270
|
|
|
11.7
|
%
|
|
||
|
Total
|
$
|
11,897,639
|
|
|
$
|
11,719,749
|
|
|
100.0
|
%
|
|
|
|
|
|
|
|
|
|
3.
|
INVESTMENTS (CONTINUED)
|
|
|
12 months or greater
|
|
Less than 12 months
|
|
Total
|
|
||||||||||||||||||
|
|
Fair
Value
|
|
Unrealized
Losses
|
|
Fair
Value
|
|
Unrealized
Losses
|
|
Fair
Value
|
|
Unrealized
Losses
|
|
||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
At September 30, 2016
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
Fixed maturities
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
U.S. government and agency
|
$
|
55,000
|
|
|
$
|
(1,635
|
)
|
|
$
|
422,681
|
|
|
$
|
(780
|
)
|
|
$
|
477,681
|
|
|
$
|
(2,415
|
)
|
|
|
Non-U.S. government
|
104,441
|
|
|
(24,061
|
)
|
|
254,694
|
|
|
(19,283
|
)
|
|
359,135
|
|
|
(43,344
|
)
|
|
||||||
|
Corporate debt
|
285,848
|
|
|
(26,202
|
)
|
|
639,722
|
|
|
(8,772
|
)
|
|
925,570
|
|
|
(34,974
|
)
|
|
||||||
|
Agency RMBS
|
80,375
|
|
|
(556
|
)
|
|
121,203
|
|
|
(206
|
)
|
|
201,578
|
|
|
(762
|
)
|
|
||||||
|
CMBS
|
99,004
|
|
|
(1,260
|
)
|
|
173,795
|
|
|
(743
|
)
|
|
272,799
|
|
|
(2,003
|
)
|
|
||||||
|
Non-Agency RMBS
|
10,184
|
|
|
(1,306
|
)
|
|
5,187
|
|
|
(342
|
)
|
|
15,371
|
|
|
(1,648
|
)
|
|
||||||
|
ABS
|
518,647
|
|
|
(2,253
|
)
|
|
50,402
|
|
|
(471
|
)
|
|
569,049
|
|
|
(2,724
|
)
|
|
||||||
|
Municipals
|
2,384
|
|
|
(18
|
)
|
|
15,567
|
|
|
(69
|
)
|
|
17,951
|
|
|
(87
|
)
|
|
||||||
|
Total fixed maturities
|
$
|
1,155,883
|
|
|
$
|
(57,291
|
)
|
|
$
|
1,683,251
|
|
|
$
|
(30,666
|
)
|
|
$
|
2,839,134
|
|
|
$
|
(87,957
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
Equity securities
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
Common stocks
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
31
|
|
|
$
|
(348
|
)
|
|
$
|
31
|
|
|
$
|
(348
|
)
|
|
|
Exchange-traded funds
|
6,153
|
|
|
(425
|
)
|
|
39,097
|
|
|
(635
|
)
|
|
45,250
|
|
|
(1,060
|
)
|
|
||||||
|
Bond mutual funds
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
||||||
|
Total equity securities
|
$
|
6,153
|
|
|
$
|
(425
|
)
|
|
$
|
39,128
|
|
|
$
|
(983
|
)
|
|
$
|
45,281
|
|
|
$
|
(1,408
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
At December 31, 2015
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
Fixed maturities
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
U.S. government and agency
|
$
|
84,179
|
|
|
$
|
(7,622
|
)
|
|
$
|
1,474,202
|
|
|
$
|
(15,591
|
)
|
|
$
|
1,558,381
|
|
|
$
|
(23,213
|
)
|
|
|
Non-U.S. government
|
170,269
|
|
|
(50,841
|
)
|
|
317,693
|
|
|
(21,491
|
)
|
|
487,962
|
|
|
(72,332
|
)
|
|
||||||
|
Corporate debt
|
340,831
|
|
|
(33,441
|
)
|
|
2,845,375
|
|
|
(62,845
|
)
|
|
3,186,206
|
|
|
(96,286
|
)
|
|
||||||
|
Agency RMBS
|
64,792
|
|
|
(1,609
|
)
|
|
1,073,566
|
|
|
(8,066
|
)
|
|
1,138,358
|
|
|
(9,675
|
)
|
|
||||||
|
CMBS
|
75,627
|
|
|
(1,579
|
)
|
|
659,480
|
|
|
(7,603
|
)
|
|
735,107
|
|
|
(9,182
|
)
|
|
||||||
|
Non-Agency RMBS
|
5,283
|
|
|
(210
|
)
|
|
43,199
|
|
|
(763
|
)
|
|
48,482
|
|
|
(973
|
)
|
|
||||||
|
ABS
|
562,599
|
|
|
(11,158
|
)
|
|
667,448
|
|
|
(6,443
|
)
|
|
1,230,047
|
|
|
(17,601
|
)
|
|
||||||
|
Municipals
|
14,214
|
|
|
(310
|
)
|
|
64,104
|
|
|
(836
|
)
|
|
78,318
|
|
|
(1,146
|
)
|
|
||||||
|
Total fixed maturities
|
$
|
1,317,794
|
|
|
$
|
(106,770
|
)
|
|
$
|
7,145,067
|
|
|
$
|
(123,638
|
)
|
|
$
|
8,462,861
|
|
|
$
|
(230,408
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
Equity securities
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
Common stocks
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
|
Exchange-traded funds
|
2,331
|
|
|
(313
|
)
|
|
110,972
|
|
|
(4,449
|
)
|
|
113,303
|
|
|
(4,762
|
)
|
|
||||||
|
Bond mutual funds
|
—
|
|
|
—
|
|
|
124,025
|
|
|
(4,227
|
)
|
|
124,025
|
|
|
(4,227
|
)
|
|
||||||
|
Total equity securities
|
$
|
2,331
|
|
|
$
|
(313
|
)
|
|
$
|
234,997
|
|
|
$
|
(8,676
|
)
|
|
$
|
237,328
|
|
|
$
|
(8,989
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3.
|
INVESTMENTS (CONTINUED)
|
|
|
September 30, 2016
|
|
December 31, 2015
|
|
||||||||||
|
|
Carrying Value
|
|
% of Total
|
|
Carrying Value
|
|
% of Total
|
|
||||||
|
|
|
|
|
|
|
|
|
|
||||||
|
Mortgage Loans held-for-investment:
|
|
|
|
|
|
|
|
|
||||||
|
Commercial
|
$
|
332,753
|
|
|
100
|
%
|
|
$
|
206,277
|
|
|
100
|
%
|
|
|
|
332,753
|
|
|
100
|
%
|
|
206,277
|
|
|
100
|
%
|
|
||
|
Valuation allowances
|
—
|
|
|
—
|
%
|
|
—
|
|
|
—
|
%
|
|
||
|
Total Mortgage Loans held-for-investment
|
$
|
332,753
|
|
|
100
|
%
|
|
$
|
206,277
|
|
|
100
|
%
|
|
|
|
|
|
|
|
|
|
|
|
3.
|
INVESTMENTS (CONTINUED)
|
|
|
Fair Value
|
|
Redemption Frequency
(if currently eligible)
|
|
Redemption
Notice Period
|
|
|||||
|
|
|
|
|
|
|
|
|
|
|||
|
At September 30, 2016
|
|
|
|
|
|
|
|
|
|
|
|
|
Long/short equity funds
|
$
|
139,460
|
|
|
16
|
%
|
|
Quarterly, Semi-annually, Annually
|
|
45-60 days
|
|
|
Multi-strategy funds
|
281,153
|
|
|
33
|
%
|
|
Quarterly, Semi-annually
|
|
60-95 days
|
|
|
|
Event-driven funds
|
94,012
|
|
|
11
|
%
|
|
Quarterly, Annually
|
|
45-60 days
|
|
|
|
Leveraged bank loan funds
|
—
|
|
|
—
|
%
|
|
n/a
|
|
n/a
|
|
|
|
Direct lending funds
|
125,002
|
|
|
15
|
%
|
|
n/a
|
|
n/a
|
|
|
|
Private equity funds
|
89,170
|
|
|
11
|
%
|
|
n/a
|
|
n/a
|
|
|
|
Real estate funds
|
11,782
|
|
|
1
|
%
|
|
n/a
|
|
n/a
|
|
|
|
CLO - Equities
|
63,783
|
|
|
8
|
%
|
|
n/a
|
|
n/a
|
|
|
|
Other privately held investments
|
42,900
|
|
|
5
|
%
|
|
n/a
|
|
n/a
|
|
|
|
Total other investments
|
$
|
847,262
|
|
|
100
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
|
At December 31, 2015
|
|
|
|
|
|
|
|
|
|
|
|
|
Long/short equity funds
|
$
|
154,348
|
|
|
19
|
%
|
|
Quarterly, Semi-annually, Annually
|
|
45-60 days
|
|
|
Multi-strategy funds
|
355,073
|
|
|
43
|
%
|
|
Quarterly, Semi-annually
|
|
60-95 days
|
|
|
|
Event-driven funds
|
147,287
|
|
|
18
|
%
|
|
Quarterly, Annually
|
|
45-60 days
|
|
|
|
Leveraged bank loan funds
|
65
|
|
|
—
|
%
|
|
n/a
|
|
n/a
|
|
|
|
Direct lending funds
|
90,120
|
|
|
11
|
%
|
|
n/a
|
|
n/a
|
|
|
|
Private equity funds
|
—
|
|
|
—
|
%
|
|
n/a
|
|
n/a
|
|
|
|
Real estate funds
|
4,929
|
|
|
1
|
%
|
|
n/a
|
|
n/a
|
|
|
|
CLO - Equities
|
64,934
|
|
|
8
|
%
|
|
n/a
|
|
n/a
|
|
|
|
Other privately held investments
|
—
|
|
|
—
|
%
|
|
n/a
|
|
n/a
|
|
|
|
Total other investments
|
$
|
816,756
|
|
|
100
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
•
|
Long/short equity funds
: Seek to achieve attractive returns primarily by executing an equity trading strategy involving both long and short investments in publicly-traded equities.
|
•
|
Multi-strategy funds
: Seek to achieve above-market returns by pursuing multiple investment strategies to diversify risks and reduce volatility. This category includes funds of hedge funds which invest in a large pool of hedge funds across a diversified range of hedge fund strategies.
|
•
|
Event-driven funds
: Seek to achieve attractive returns by exploiting situations where announced or anticipated events create opportunities.
|
•
|
Leveraged bank loan funds
: Seek to achieve attractive returns by investing primarily in bank loan collateral that has limited interest rate risk exposure.
|
3.
|
INVESTMENTS (CONTINUED)
|
•
|
Direct lending funds
: Seek to achieve attractive risk-adjusted returns, including current income generation, by investing in funds which provide financing directly to borrowers.
|
•
|
Real estate funds
: Seek to achieve attractive risk-adjusted returns by making and managing investments in real estate and real estate securities and businesses.
|
•
|
Private equity funds
: Seek to achieve attractive risk-adjusted returns by investing in private transactions over the course of several years.
|
3.
|
INVESTMENTS (CONTINUED)
|
|
|
Three months ended September 30,
|
|
Nine months ended September 30,
|
|
||||||||||||
|
|
2016
|
|
2015
|
|
2016
|
|
2015
|
|
||||||||
|
|
|
|
|
|
|
|
|
|
||||||||
|
Fixed maturities
|
$
|
75,827
|
|
|
$
|
75,980
|
|
|
$
|
229,423
|
|
|
$
|
220,066
|
|
|
|
Other investments
|
38,248
|
|
|
(27,421
|
)
|
|
25,770
|
|
|
17,616
|
|
|
||||
|
Equity securities
|
4,633
|
|
|
3,445
|
|
|
12,843
|
|
|
7,795
|
|
|
||||
|
Mortgage loans
|
2,191
|
|
|
482
|
|
|
5,683
|
|
|
776
|
|
|
||||
|
Cash and cash equivalents
|
3,768
|
|
|
993
|
|
|
7,071
|
|
|
3,770
|
|
|
||||
|
Short-term investments
|
337
|
|
|
83
|
|
|
708
|
|
|
277
|
|
|
||||
|
Gross investment income
|
125,004
|
|
|
53,562
|
|
|
281,498
|
|
|
250,300
|
|
|
||||
|
Investment expenses
|
(8,081
|
)
|
|
(7,877
|
)
|
|
(23,680
|
)
|
|
(23,964
|
)
|
|
||||
|
Net investment income
|
$
|
116,923
|
|
|
$
|
45,685
|
|
|
$
|
257,818
|
|
|
$
|
226,336
|
|
|
|
|
|
|
|
|
|
|
|
|
3.
|
INVESTMENTS (CONTINUED)
|
|
|
Three months ended September 30,
|
|
Nine months ended September 30,
|
|
||||||||||||
|
|
2016
|
|
2015
|
|
2016
|
|
2015
|
|
||||||||
|
|
|
|
|
|
|
|
|
|
||||||||
|
Gross realized gains
|
|
|
|
|
|
|
|
|
||||||||
|
Fixed maturities and short-term investments
|
$
|
26,211
|
|
|
$
|
12,126
|
|
|
$
|
67,833
|
|
|
$
|
44,853
|
|
|
|
Equities
|
5,570
|
|
|
232
|
|
|
18,804
|
|
|
447
|
|
|
||||
|
Gross realized gains
|
31,781
|
|
|
12,358
|
|
|
86,637
|
|
|
45,300
|
|
|
||||
|
Gross realized losses
|
|
|
|
|
|
|
|
|
||||||||
|
Fixed maturities and short-term investments
|
(21,908
|
)
|
|
(54,867
|
)
|
|
(90,702
|
)
|
|
(111,432
|
)
|
|
||||
|
Equities
|
(576
|
)
|
|
(1,559
|
)
|
|
(15,923
|
)
|
|
(1,952
|
)
|
|
||||
|
Gross realized losses
|
(22,484
|
)
|
|
(56,426
|
)
|
|
(106,625
|
)
|
|
(113,384
|
)
|
|
||||
|
Net OTTI recognized in earnings
|
(4,247
|
)
|
|
(32,301
|
)
|
|
(20,346
|
)
|
|
(62,762
|
)
|
|
||||
|
Change in fair value of investment derivatives
(1)
|
155
|
|
|
6,412
|
|
|
39
|
|
|
7,228
|
|
|
||||
|
Net realized investment gains (losses)
|
$
|
5,205
|
|
|
$
|
(69,957
|
)
|
|
$
|
(40,295
|
)
|
|
$
|
(123,618
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Three months ended September 30,
|
|
Nine months ended September 30,
|
|
||||||||||||
|
|
2016
|
|
2015
|
|
2016
|
|
2015
|
|
||||||||
|
|
|
|
|
|
|
|
|
|
||||||||
|
Fixed maturities:
|
|
|
|
|
|
|
|
|
||||||||
|
Non-U.S. government
|
$
|
2,456
|
|
|
$
|
1,295
|
|
|
$
|
2,953
|
|
|
$
|
2,717
|
|
|
|
Corporate debt
|
1,791
|
|
|
20,587
|
|
|
14,833
|
|
|
38,396
|
|
|
||||
|
Non-Agency RMBS
|
—
|
|
|
—
|
|
|
—
|
|
|
4
|
|
|
||||
|
ABS
|
—
|
|
|
84
|
|
|
—
|
|
|
124
|
|
|
||||
|
|
4,247
|
|
|
21,966
|
|
|
17,786
|
|
|
41,241
|
|
|
||||
|
Equity Securities
|
|
|
|
|
|
|
|
|
||||||||
|
Exchange-traded funds
|
—
|
|
|
10,335
|
|
|
2,560
|
|
|
10,335
|
|
|
||||
|
Bond mutual funds
|
—
|
|
|
—
|
|
|
—
|
|
|
11,186
|
|
|
||||
|
|
—
|
|
|
10,335
|
|
|
2,560
|
|
|
21,521
|
|
|
||||
|
Total OTTI recognized in earnings
|
$
|
4,247
|
|
|
$
|
32,301
|
|
|
$
|
20,346
|
|
|
$
|
62,762
|
|
|
|
|
|
|
|
|
|
|
|
|
3.
|
INVESTMENTS (CONTINUED)
|
|
|
Three months ended September 30,
|
|
Nine months ended September 30,
|
|
||||||||||||
|
|
2016
|
|
2015
|
|
2016
|
|
2015
|
|
||||||||
|
|
|
|
|
|
|
|
|
|
||||||||
|
Balance at beginning of period
|
$
|
1,513
|
|
|
$
|
1,564
|
|
|
$
|
1,506
|
|
|
$
|
1,531
|
|
|
|
Credit impairments recognized on securities not previously impaired
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
||||
|
Additional credit impairments recognized on securities previously impaired
|
—
|
|
|
—
|
|
|
7
|
|
|
33
|
|
|
||||
|
Change in timing of future cash flows on securities previously impaired
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
||||
|
Intent to sell of securities previously impaired
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
||||
|
Securities sold/redeemed/matured
|
(33
|
)
|
|
(43
|
)
|
|
(33
|
)
|
|
(43
|
)
|
|
||||
|
Balance at end of period
|
$
|
1,480
|
|
|
$
|
1,521
|
|
|
$
|
1,480
|
|
|
$
|
1,521
|
|
|
|
|
|
|
|
|
|
|
|
|
•
|
Level 1 - Valuations based on unadjusted quoted prices in active markets for identical assets or liabilities that we have the ability to access.
|
•
|
Level 2 - Valuations based on quoted prices in active markets for similar assets or liabilities, quoted prices for identical assets or liabilities in inactive markets, or for which significant inputs are observable (e.g. interest rates, yield curves, prepayment speeds, default rates, loss severities, etc.) or can be corroborated by observable market data.
|
•
|
Level 3 - Valuations based on inputs that are unobservable and significant to the overall fair value measurement. The unobservable inputs reflect our own judgments about assumptions that market participants might use.
|
4.
|
FAIR VALUE MEASUREMENTS
|
4.
|
FAIR VALUE MEASUREMENTS (CONTINUED)
|
4.
|
FAIR VALUE MEASUREMENTS (CONTINUED)
|
|
|
Quoted Prices in Active Markets for Identical Assets (Level 1)
|
|
Significant Other Observable Inputs (Level 2)
|
|
Significant Unobservable Inputs (Level 3)
|
|
Fair value based on NAV practical expedient
|
|
Total Fair Value
|
|
||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
At September 30, 2016
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
Assets
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
Fixed maturities
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
U.S. government and agency
|
$
|
1,522,246
|
|
|
$
|
40,631
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
1,562,877
|
|
|
|
Non-U.S. government
|
—
|
|
|
582,056
|
|
|
—
|
|
|
—
|
|
|
582,056
|
|
|
|||||
|
Corporate debt
|
—
|
|
|
4,499,408
|
|
|
69,092
|
|
|
—
|
|
|
4,568,500
|
|
|
|||||
|
Agency RMBS
|
—
|
|
|
2,522,731
|
|
|
—
|
|
|
—
|
|
|
2,522,731
|
|
|
|||||
|
CMBS
|
—
|
|
|
885,355
|
|
|
8,920
|
|
|
—
|
|
|
894,275
|
|
|
|||||
|
Non-Agency RMBS
|
—
|
|
|
71,830
|
|
|
—
|
|
|
—
|
|
|
71,830
|
|
|
|||||
|
ABS
|
—
|
|
|
1,235,596
|
|
|
—
|
|
|
—
|
|
|
1,235,596
|
|
|
|||||
|
Municipals
|
—
|
|
|
128,995
|
|
|
—
|
|
|
—
|
|
|
128,995
|
|
|
|||||
|
|
1,522,246
|
|
|
9,966,602
|
|
|
78,012
|
|
|
—
|
|
|
11,566,860
|
|
|
|||||
|
Equity securities
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
Common stocks
|
69
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
69
|
|
|
|||||
|
Exchange-traded funds
|
504,206
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
504,206
|
|
|
|||||
|
Bond mutual funds
|
—
|
|
|
140,069
|
|
|
—
|
|
|
—
|
|
|
140,069
|
|
|
|||||
|
|
504,275
|
|
|
140,069
|
|
|
—
|
|
|
—
|
|
|
644,344
|
|
|
|||||
|
Other investments
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
Hedge funds
|
—
|
|
|
—
|
|
|
—
|
|
|
514,625
|
|
|
514,625
|
|
|
|||||
|
Direct lending funds
|
—
|
|
|
—
|
|
|
—
|
|
|
125,002
|
|
|
125,002
|
|
|
|||||
|
Private equity funds
|
—
|
|
|
—
|
|
|
—
|
|
|
89,170
|
|
|
89,170
|
|
|
|||||
|
Real estate funds
|
—
|
|
|
—
|
|
|
—
|
|
|
11,782
|
|
|
11,782
|
|
|
|||||
|
Other privately held investments
|
—
|
|
|
—
|
|
|
42,900
|
|
|
—
|
|
|
42,900
|
|
|
|||||
|
CLO - Equities
|
—
|
|
|
—
|
|
|
63,783
|
|
|
—
|
|
|
63,783
|
|
|
|||||
|
|
—
|
|
|
—
|
|
|
106,683
|
|
|
740,579
|
|
|
847,262
|
|
|
|||||
|
Short-term investments
|
—
|
|
|
39,877
|
|
|
—
|
|
|
—
|
|
|
39,877
|
|
|
|||||
|
Other assets
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
Derivative instruments (see Note 5)
|
—
|
|
|
4,469
|
|
|
2,488
|
|
|
—
|
|
|
6,957
|
|
|
|||||
|
Insurance-linked securities
|
—
|
|
|
—
|
|
|
25,283
|
|
|
—
|
|
|
25,283
|
|
|
|||||
|
Total Assets
|
$
|
2,026,521
|
|
|
$
|
10,151,017
|
|
|
$
|
212,466
|
|
|
$
|
740,579
|
|
|
$
|
13,130,583
|
|
|
|
Liabilities
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
Derivative instruments (see Note 5)
|
$
|
—
|
|
|
$
|
4,411
|
|
|
$
|
8,184
|
|
|
$
|
—
|
|
|
$
|
12,595
|
|
|
|
Cash settled awards (see Note 7)
|
—
|
|
|
34,288
|
|
|
—
|
|
|
—
|
|
|
34,288
|
|
|
|||||
|
Total Liabilities
|
$
|
—
|
|
|
$
|
38,699
|
|
|
$
|
8,184
|
|
|
$
|
—
|
|
|
$
|
46,883
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4.
|
FAIR VALUE MEASUREMENTS (CONTINUED)
|
|
|
Quoted Prices in Active Markets for Identical Assets (Level 1)
|
|
Significant Other Observable Inputs (Level 2)
|
|
Significant Unobservable Inputs (Level 3)
|
|
Fair value based on NAV practical expedient
|
|
Total Fair Value
|
|
||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
At December 31, 2015
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
Assets
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
Fixed maturities
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
U.S. government and agency
|
$
|
1,632,355
|
|
|
$
|
19,594
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
1,651,949
|
|
|
|
Non-U.S. government
|
—
|
|
|
739,005
|
|
|
—
|
|
|
—
|
|
|
739,005
|
|
|
|||||
|
Corporate debt
|
—
|
|
|
4,324,251
|
|
|
38,518
|
|
|
—
|
|
|
4,362,769
|
|
|
|||||
|
Agency RMBS
|
—
|
|
|
2,249,236
|
|
|
—
|
|
|
—
|
|
|
2,249,236
|
|
|
|||||
|
CMBS
|
—
|
|
|
1,072,376
|
|
|
10,922
|
|
|
—
|
|
|
1,083,298
|
|
|
|||||
|
Non-Agency RMBS
|
—
|
|
|
101,008
|
|
|
—
|
|
|
—
|
|
|
101,008
|
|
|
|||||
|
ABS
|
—
|
|
|
1,371,270
|
|
|
—
|
|
|
—
|
|
|
1,371,270
|
|
|
|||||
|
Municipals
|
—
|
|
|
161,214
|
|
|
—
|
|
|
—
|
|
|
161,214
|
|
|
|||||
|
|
1,632,355
|
|
|
10,037,954
|
|
|
49,440
|
|
|
—
|
|
|
11,719,749
|
|
|
|||||
|
Equity securities
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
Common stocks
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
|||||
|
Exchange-traded funds
|
473,973
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
473,973
|
|
|
|||||
|
Bond mutual funds
|
—
|
|
|
124,025
|
|
|
—
|
|
|
—
|
|
|
124,025
|
|
|
|||||
|
|
473,973
|
|
|
124,025
|
|
|
—
|
|
|
—
|
|
|
597,998
|
|
|
|||||
|
Other investments
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
Hedge funds
|
—
|
|
|
—
|
|
|
—
|
|
|
656,773
|
|
|
656,773
|
|
|
|||||
|
Direct lending funds
|
—
|
|
|
—
|
|
|
—
|
|
|
90,120
|
|
|
90,120
|
|
|
|||||
|
Private equity funds
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
|||||
|
Real estate funds
|
—
|
|
|
—
|
|
|
—
|
|
|
4,929
|
|
|
4,929
|
|
|
|||||
|
Other privately held investments
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
|||||
|
CLO - Equities
|
—
|
|
|
—
|
|
|
27,257
|
|
|
37,677
|
|
|
64,934
|
|
|
|||||
|
|
—
|
|
|
—
|
|
|
27,257
|
|
|
789,499
|
|
|
816,756
|
|
|
|||||
|
Short-term investments
|
—
|
|
|
34,406
|
|
|
—
|
|
|
—
|
|
|
34,406
|
|
|
|||||
|
Other assets
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
Derivative instruments (see Note 5)
|
—
|
|
|
2,072
|
|
|
4,395
|
|
|
—
|
|
|
6,467
|
|
|
|||||
|
Insurance-linked securities
|
—
|
|
|
—
|
|
|
24,925
|
|
|
—
|
|
|
24,925
|
|
|
|||||
|
Total Assets
|
$
|
2,106,328
|
|
|
$
|
10,198,457
|
|
|
$
|
106,017
|
|
|
$
|
789,499
|
|
|
$
|
13,200,301
|
|
|
|
Liabilities
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
Derivative instruments (see Note 5)
|
$
|
—
|
|
|
$
|
7,692
|
|
|
$
|
10,937
|
|
|
$
|
—
|
|
|
$
|
18,629
|
|
|
|
Cash settled awards (see Note 7)
|
—
|
|
|
33,215
|
|
|
—
|
|
|
—
|
|
|
33,215
|
|
|
|||||
|
Total Liabilities
|
$
|
—
|
|
|
$
|
40,907
|
|
|
$
|
10,937
|
|
|
$
|
—
|
|
|
$
|
51,844
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4.
|
FAIR VALUE MEASUREMENTS (CONTINUED)
|
|
|
Fair Value
|
Valuation Technique
|
Unobservable Input
|
Range
|
Weighted
Average
|
|
||
|
|
|
|
|
|
|
|
||
|
Other investments - CLO - Equities
|
$
|
35,594
|
|
Discounted cash flow
|
Default rates
|
4.0%
|
4.0%
|
|
|
|
|
|
Loss severity rate
|
35.0% - 53.5%
|
35.4%
|
|
||
|
|
|
|
Collateral spreads
|
3.6% - 4.0%
|
4.0%
|
|
||
|
|
|
|
Estimated maturity dates
|
2 - 6 years
|
6 years
|
|
||
|
|
|
|
|
|
|
|
||
|
|
28,189
|
|
Liquidation value
|
Fair value of collateral
|
100%
|
100%
|
|
|
|
|
|
|
Discount margin
|
0.1% - 19.1%
|
2.4%
|
|
||
|
|
|
|
|
|
|
|
||
|
Other investments - Other privately held investments
|
42,900
|
|
Discounted cash flow
|
Discount rate
|
5.0% - 8.0%
|
7.2%
|
|
|
|
|
|
|
|
|
|
|
||
|
Derivatives - Weather derivatives, net
|
$
|
(5,696
|
)
|
Simulation model
|
Weather curve
|
1 - 2294
(1)
|
n/a
(2)
|
|
|
|
|
|
Weather standard deviation
|
1 - 1029
(1)
|
n/a
(2)
|
|
||
|
|
|
|
|
|
|
|
(2)
|
Due to the diversity of the portfolio, the range of unobservable inputs can be widespread; therefore, presentation of a weighted average is not useful. Weather parameters may include various temperature and/or precipitation measures that will naturally vary by geographic location of each counterparty's operations.
|
4.
|
FAIR VALUE MEASUREMENTS (CONTINUED)
|
•
|
Observable inputs: market prices for similar instruments, notional price, option strike price, term to expiry, contractual limits;
|
•
|
Unobservable inputs: correlation; and
|
•
|
Both observable and unobservable inputs: weather curves, weather standard deviation.
|
4.
|
FAIR VALUE MEASUREMENTS (CONTINUED)
|
|
|
Opening
Balance
|
|
Transfers
into
Level 3
|
|
Transfers
out of
Level 3
|
|
Included in
earnings
(1)
|
|
Included
in OCI
(2)
|
|
Purchases
|
|
Sales
|
|
Settlements/
Distributions
|
|
Closing
Balance
|
|
Change in
unrealized
investment
gain/(loss)
(3)
|
|
||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||
|
Three months ended September 30, 2016
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
|
Fixed maturities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||
|
Corporate debt
|
$
|
62,022
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(9
|
)
|
|
$
|
100
|
|
|
$
|
7,563
|
|
|
$
|
—
|
|
|
$
|
(584
|
)
|
|
$
|
69,092
|
|
|
$
|
—
|
|
|
|
CMBS
|
10,210
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(48
|
)
|
|
—
|
|
|
—
|
|
|
(1,242
|
)
|
|
8,920
|
|
|
—
|
|
|
||||||||||
|
ABS
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
||||||||||
|
|
72,232
|
|
|
—
|
|
|
—
|
|
|
(9
|
)
|
|
52
|
|
|
7,563
|
|
|
—
|
|
|
(1,826
|
)
|
|
78,012
|
|
|
—
|
|
|
||||||||||
|
Other investments
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
|
Other privately held investments
|
41,755
|
|
|
—
|
|
|
—
|
|
|
(355
|
)
|
|
—
|
|
|
1,500
|
|
|
—
|
|
|
—
|
|
|
42,900
|
|
|
(355
|
)
|
|
||||||||||
|
CLO - Equities
|
65,883
|
|
|
—
|
|
|
—
|
|
|
8,419
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(10,519
|
)
|
|
63,783
|
|
|
8,419
|
|
|
||||||||||
|
|
107,638
|
|
|
—
|
|
|
—
|
|
|
8,064
|
|
|
—
|
|
|
1,500
|
|
|
—
|
|
|
(10,519
|
)
|
|
106,683
|
|
|
8,064
|
|
|
||||||||||
|
Other assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
|
Derivative instruments
|
5
|
|
|
—
|
|
|
—
|
|
|
665
|
|
|
—
|
|
|
1,818
|
|
|
—
|
|
|
—
|
|
|
2,488
|
|
|
665
|
|
|
||||||||||
|
Insurance-linked securities
|
25,025
|
|
|
—
|
|
|
—
|
|
|
258
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
25,283
|
|
|
258
|
|
|
||||||||||
|
|
25,030
|
|
|
—
|
|
|
—
|
|
|
923
|
|
|
—
|
|
|
1,818
|
|
|
—
|
|
|
—
|
|
|
27,771
|
|
|
923
|
|
|
||||||||||
|
Total assets
|
$
|
204,900
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
8,978
|
|
|
$
|
52
|
|
|
$
|
10,881
|
|
|
$
|
—
|
|
|
$
|
(12,345
|
)
|
|
$
|
212,466
|
|
|
$
|
8,987
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
|
Other liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
|
Derivative instruments
|
$
|
1,978
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(169
|
)
|
|
$
|
—
|
|
|
$
|
6,384
|
|
|
$
|
—
|
|
|
$
|
(9
|
)
|
|
$
|
8,184
|
|
|
$
|
335
|
|
|
|
Total liabilities
|
$
|
1,978
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(169
|
)
|
|
$
|
—
|
|
|
$
|
6,384
|
|
|
$
|
—
|
|
|
$
|
(9
|
)
|
|
$
|
8,184
|
|
|
$
|
335
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||
|
Nine months ended September 30, 2016
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
|
Fixed maturities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
Corporate debt
|
$
|
38,518
|
|
|
$
|
20,412
|
|
|
$
|
(1,955
|
)
|
|
$
|
(988
|
)
|
|
$
|
1,188
|
|
|
$
|
17,107
|
|
|
$
|
(4,015
|
)
|
|
$
|
(1,175
|
)
|
|
$
|
69,092
|
|
|
$
|
—
|
|
|
|
CMBS
|
10,922
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(134
|
)
|
|
—
|
|
|
—
|
|
|
(1,868
|
)
|
|
8,920
|
|
|
—
|
|
|
||||||||||
|
ABS
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
||||||||||
|
|
49,440
|
|
|
20,412
|
|
|
(1,955
|
)
|
|
(988
|
)
|
|
1,054
|
|
|
17,107
|
|
|
(4,015
|
)
|
|
(3,043
|
)
|
|
78,012
|
|
|
—
|
|
|
||||||||||
|
Other investments
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||
|
Other privately held investments
|
—
|
|
|
—
|
|
|
—
|
|
|
(1,505
|
)
|
|
—
|
|
|
44,405
|
|
|
—
|
|
|
—
|
|
|
42,900
|
|
|
(1,505
|
)
|
|
||||||||||
|
CLO - Equities
|
27,257
|
|
|
36,378
|
|
|
—
|
|
|
17,431
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(17,283
|
)
|
|
63,783
|
|
|
17,431
|
|
|
||||||||||
|
|
27,257
|
|
|
36,378
|
|
|
—
|
|
|
15,926
|
|
|
—
|
|
|
44,405
|
|
|
—
|
|
|
(17,283
|
)
|
|
106,683
|
|
|
15,926
|
|
|
||||||||||
|
Other assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
|
Derivative instruments
|
4,395
|
|
|
—
|
|
|
—
|
|
|
3,255
|
|
|
—
|
|
|
3,623
|
|
|
—
|
|
|
(8,785
|
)
|
|
2,488
|
|
|
669
|
|
|
||||||||||
|
Insurance-linked securities
|
24,925
|
|
|
—
|
|
|
—
|
|
|
358
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
25,283
|
|
|
358
|
|
|
||||||||||
|
|
29,320
|
|
|
—
|
|
|
—
|
|
|
3,613
|
|
|
—
|
|
|
3,623
|
|
|
—
|
|
|
(8,785
|
)
|
|
27,771
|
|
|
1,027
|
|
|
||||||||||
|
Total assets
|
$
|
106,017
|
|
|
$
|
56,790
|
|
|
$
|
(1,955
|
)
|
|
$
|
18,551
|
|
|
$
|
1,054
|
|
|
$
|
65,135
|
|
|
$
|
(4,015
|
)
|
|
$
|
(29,111
|
)
|
|
$
|
212,466
|
|
|
$
|
16,953
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||
|
Other liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
|
Derivative instruments
|
$
|
10,937
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
2,445
|
|
|
$
|
—
|
|
|
$
|
7,189
|
|
|
$
|
—
|
|
|
$
|
(12,387
|
)
|
|
$
|
8,184
|
|
|
$
|
457
|
|
|
|
Total liabilities
|
$
|
10,937
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
2,445
|
|
|
$
|
—
|
|
|
$
|
7,189
|
|
|
$
|
—
|
|
|
$
|
(12,387
|
)
|
|
$
|
8,184
|
|
|
$
|
457
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4.
|
FAIR VALUE MEASUREMENTS (CONTINUED)
|
|
|
Opening
Balance
|
|
Transfers
into
Level 3
|
|
Transfers
out of
Level 3
|
|
Included in
earnings
(1)
|
|
Included
in OCI
(2)
|
|
Purchases
|
|
Sales
|
|
Settlements/
Distributions
|
|
Closing
Balance
|
|
Change in
unrealized
investment
gain/(loss)
(3)
|
|
||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||
|
Three months ended September 30, 2015
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
|
Fixed maturities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||
|
Corporate debt
|
$
|
43,008
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(2
|
)
|
|
$
|
300
|
|
|
$
|
22,821
|
|
|
$
|
—
|
|
|
$
|
(4,403
|
)
|
|
$
|
61,724
|
|
|
$
|
—
|
|
|
|
CMBS
|
21,900
|
|
|
—
|
|
|
(9,902
|
)
|
|
—
|
|
|
(219
|
)
|
|
—
|
|
|
—
|
|
|
(461
|
)
|
|
11,318
|
|
|
—
|
|
|
||||||||||
|
ABS
|
110
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(3
|
)
|
|
107
|
|
|
—
|
|
|
||||||||||
|
|
65,018
|
|
|
—
|
|
|
(9,902
|
)
|
|
(2
|
)
|
|
81
|
|
|
22,821
|
|
|
—
|
|
|
(4,867
|
)
|
|
73,149
|
|
|
—
|
|
|
||||||||||
|
Other investments
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||
|
Other privately held investments
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
||||||||||
|
CLO - Equities
|
36,921
|
|
|
—
|
|
|
—
|
|
|
1,192
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(3,118
|
)
|
|
34,995
|
|
|
1,192
|
|
|
||||||||||
|
|
36,921
|
|
|
—
|
|
|
—
|
|
|
1,192
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(3,118
|
)
|
|
34,995
|
|
|
1,192
|
|
|
||||||||||
|
Other assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
|
Derivative instruments
|
240
|
|
|
—
|
|
|
—
|
|
|
35
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(240
|
)
|
|
35
|
|
|
35
|
|
|
||||||||||
|
Insurance-linked securities
|
24,837
|
|
|
—
|
|
|
—
|
|
|
175
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
25,012
|
|
|
175
|
|
|
||||||||||
|
|
25,077
|
|
|
—
|
|
|
—
|
|
|
210
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(240
|
)
|
|
25,047
|
|
|
210
|
|
|
||||||||||
|
Total assets
|
$
|
127,016
|
|
|
$
|
—
|
|
|
$
|
(9,902
|
)
|
|
$
|
1,400
|
|
|
$
|
81
|
|
|
$
|
22,821
|
|
|
$
|
—
|
|
|
$
|
(8,225
|
)
|
|
$
|
133,191
|
|
|
$
|
1,402
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||
|
Other liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
|
Derivative instruments
|
$
|
818
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(331
|
)
|
|
$
|
—
|
|
|
$
|
6,475
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
6,962
|
|
|
$
|
(331
|
)
|
|
|
Total liabilities
|
$
|
818
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(331
|
)
|
|
$
|
—
|
|
|
$
|
6,475
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
6,962
|
|
|
$
|
(331
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||
|
Nine months ended September 30, 2015
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
|
Fixed maturities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
Corporate debt
|
$
|
15,837
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(2
|
)
|
|
$
|
724
|
|
|
$
|
54,445
|
|
|
$
|
—
|
|
|
$
|
(9,280
|
)
|
|
$
|
61,724
|
|
|
$
|
—
|
|
|
|
CMBS
|
17,763
|
|
|
5,072
|
|
|
(9,902
|
)
|
|
—
|
|
|
(543
|
)
|
|
—
|
|
|
—
|
|
|
(1,072
|
)
|
|
11,318
|
|
|
—
|
|
|
||||||||||
|
ABS
|
40,031
|
|
|
—
|
|
|
(39,851
|
)
|
|
—
|
|
|
105
|
|
|
—
|
|
|
—
|
|
|
(178
|
)
|
|
107
|
|
|
—
|
|
|
||||||||||
|
|
73,631
|
|
|
5,072
|
|
|
(49,753
|
)
|
|
(2
|
)
|
|
286
|
|
|
54,445
|
|
|
—
|
|
|
(10,530
|
)
|
|
73,149
|
|
|
—
|
|
|
||||||||||
|
Other investments
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||
|
Other privately held investments
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
||||||||||
|
CLO - Equities
|
37,046
|
|
|
—
|
|
|
—
|
|
|
7,930
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(9,981
|
)
|
|
34,995
|
|
|
7,930
|
|
|
||||||||||
|
|
37,046
|
|
|
—
|
|
|
—
|
|
|
7,930
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(9,981
|
)
|
|
34,995
|
|
|
7,930
|
|
|
||||||||||
|
Other assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
|
Derivative instruments
|
111
|
|
|
—
|
|
|
—
|
|
|
(792
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
716
|
|
|
35
|
|
|
35
|
|
|
||||||||||
|
Insurance-linked securities
|
—
|
|
|
—
|
|
|
—
|
|
|
12
|
|
|
—
|
|
|
25,000
|
|
|
—
|
|
|
—
|
|
|
25,012
|
|
|
12
|
|
|
||||||||||
|
|
111
|
|
|
—
|
|
|
—
|
|
|
(780
|
)
|
|
—
|
|
|
25,000
|
|
|
—
|
|
|
716
|
|
|
25,047
|
|
|
47
|
|
|
||||||||||
|
Total assets
|
$
|
110,788
|
|
|
$
|
5,072
|
|
|
$
|
(49,753
|
)
|
|
$
|
7,148
|
|
|
$
|
286
|
|
|
$
|
79,445
|
|
|
$
|
—
|
|
|
$
|
(19,795
|
)
|
|
$
|
133,191
|
|
|
$
|
7,977
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||
|
Other liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
|
Derivative instruments
|
$
|
15,288
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(12,053
|
)
|
|
$
|
—
|
|
|
$
|
8,698
|
|
|
$
|
—
|
|
|
$
|
(4,971
|
)
|
|
$
|
6,962
|
|
|
$
|
(318
|
)
|
|
|
Total liabilities
|
$
|
15,288
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(12,053
|
)
|
|
$
|
—
|
|
|
$
|
8,698
|
|
|
$
|
—
|
|
|
$
|
(4,971
|
)
|
|
$
|
6,962
|
|
|
$
|
(318
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1)
|
Gains and losses included in earnings on fixed maturities are included in net realized investment gains (losses). Gains and (losses) included in earnings on other investments are included in net investment income. Gains (losses) on weather derivatives included in earnings are included in other insurance-related income.
|
(2)
|
Gains and losses included in other comprehensive income (“OCI”) on fixed maturities are included in unrealized gains (losses) arising during the period.
|
(3)
|
Change in unrealized investment gain (loss) relating to assets held at the reporting date.
|
4.
|
FAIR VALUE MEASUREMENTS (CONTINUED)
|
4.
|
FAIR VALUE MEASUREMENTS (CONTINUED)
|
5.
|
DERIVATIVE INSTRUMENTS
|
|
|
September 30, 2016
|
|
December 31, 2015
|
|
||||||||||||||||||||
|
|
Derivative
Notional
Amount
|
|
Derivative
Asset
Fair
Value
(1)
|
|
Derivative
Liability
Fair
Value
(1)
|
|
Derivative
Notional
Amount
|
|
Derivative
Asset
Fair
Value
(1)
|
|
Derivative
Liability
Fair
Value
(1)
|
|
||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
Relating to investment portfolio:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
Foreign exchange forward contracts
|
$
|
40,367
|
|
|
$
|
279
|
|
|
$
|
17
|
|
|
$
|
198,406
|
|
|
$
|
490
|
|
|
$
|
837
|
|
|
|
Interest rate swaps
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
||||||
|
Relating to underwriting portfolio:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
Foreign exchange forward contracts
|
560,477
|
|
|
25
|
|
|
4,394
|
|
|
692,023
|
|
|
1,582
|
|
|
6,855
|
|
|
||||||
|
Weather-related contracts
|
59,436
|
|
|
2,488
|
|
|
8,184
|
|
|
51,395
|
|
|
4,395
|
|
|
10,937
|
|
|
||||||
|
Commodity contracts
|
181,000
|
|
|
4,165
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
||||||
|
Total derivatives
|
|
|
$
|
6,957
|
|
|
$
|
12,595
|
|
|
|
|
$
|
6,467
|
|
|
$
|
18,629
|
|
|
||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1)
|
Asset and liability derivatives are classified within other assets and other liabilities in the Consolidated Balance Sheets.
|
5.
|
DERIVATIVE INSTRUMENTS (CONTINUED)
|
|
|
September 30, 2016
|
|
December 31, 2015
|
|
||||||||||||||||
|
|
Gross Amounts
|
Gross Amounts Offset
|
Net
Amounts
(1)
|
|
Gross Amounts
|
Gross Amounts Offset
|
Net
Amounts
(1)
|
|
||||||||||||
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
Derivative assets
|
$
|
9,370
|
|
$
|
(2,413
|
)
|
$
|
6,957
|
|
|
$
|
14,336
|
|
$
|
(7,869
|
)
|
$
|
6,467
|
|
|
|
Derivative liabilities
|
$
|
15,008
|
|
$
|
(2,413
|
)
|
$
|
12,595
|
|
|
$
|
26,498
|
|
$
|
(7,869
|
)
|
$
|
18,629
|
|
|
|
|
|
|
|
|
|
|
|
|
(1)
|
Net asset and liability derivatives are classified within other assets and other liabilities in the Consolidated Balance Sheets.
|
5.
|
DERIVATIVE INSTRUMENTS (CONTINUED)
|
|
|
Location of Gain (Loss) Recognized in Income on Derivative
|
Three months ended September 30,
|
|
Nine months ended September 30,
|
|
||||||||||||
|
|
2016
|
|
2015
|
|
2016
|
|
2015
|
|
|||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
Derivatives not designated as hedging instruments
|
|
|
|
|
|
|
|
|
|||||||||
|
Relating to investment portfolio:
|
|
|
|
|
|
|
|
|
|
||||||||
|
Foreign exchange forward contracts
|
Net realized investment gains (losses)
|
$
|
155
|
|
|
$
|
6,412
|
|
|
$
|
39
|
|
|
$
|
11,234
|
|
|
|
Interest rate swaps
|
Net realized investment gains (losses)
|
—
|
|
|
—
|
|
|
—
|
|
|
(4,006
|
)
|
|
||||
|
Relating to underwriting portfolio:
|
|
|
|
|
|
|
|
|
|
||||||||
|
Foreign exchange forward contracts
|
Foreign exchange losses (gains)
|
(182
|
)
|
|
(5,210
|
)
|
|
(2,958
|
)
|
|
(21,494
|
)
|
|
||||
|
Weather-related contracts
|
Other insurance related income (losses)
|
833
|
|
|
307
|
|
|
809
|
|
|
11,274
|
|
|
||||
|
Commodity contracts
|
Other insurance related income (losses)
|
1,799
|
|
|
(33
|
)
|
|
1,499
|
|
|
(923
|
)
|
|
||||
|
Total
|
|
$
|
2,605
|
|
|
$
|
1,476
|
|
|
$
|
(611
|
)
|
|
$
|
(3,915
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
|
Nine months ended September 30,
|
2016
|
|
2015
|
|
||||
|
|
|
|
|
|
||||
|
Gross reserve for losses and loss expenses, beginning of period
|
$
|
9,646,285
|
|
|
$
|
9,596,797
|
|
|
|
Less reinsurance recoverable on unpaid losses, beginning of period
|
(2,031,309
|
)
|
|
(1,890,280
|
)
|
|
||
|
Net reserve for unpaid losses and loss expenses, beginning of period
|
7,614,976
|
|
|
7,706,517
|
|
|
||
|
|
|
|
|
|
||||
|
Net incurred losses and loss expenses related to:
|
|
|
|
|
||||
|
Current year
|
1,887,715
|
|
|
1,818,672
|
|
|
||
|
Prior years
|
(224,131
|
)
|
|
(165,804
|
)
|
|
||
|
|
1,663,584
|
|
|
1,652,868
|
|
|
||
|
Net paid losses and loss expenses related to:
|
|
|
|
|
||||
|
Current year
|
(233,124
|
)
|
|
(185,953
|
)
|
|
||
|
Prior years
|
(1,334,772
|
)
|
|
(1,293,776
|
)
|
|
||
|
|
(1,567,896
|
)
|
|
(1,479,729
|
)
|
|
||
|
|
|
|
|
|
||||
|
Foreign exchange and other
|
(112,649
|
)
|
|
(183,360
|
)
|
|
||
|
|
|
|
|
|
||||
|
Net reserve for unpaid losses and loss expenses, end of period
|
7,598,015
|
|
|
7,696,296
|
|
|
||
|
Reinsurance recoverable on unpaid losses, end of period
|
2,276,792
|
|
|
2,007,287
|
|
|
||
|
Gross reserve for losses and loss expenses, end of period
|
$
|
9,874,807
|
|
|
$
|
9,703,583
|
|
|
|
|
|
|
|
|
|
|
Three months ended September 30,
|
|
Nine months ended September 30,
|
|
||||||||||||
|
|
2016
|
|
2015
|
|
2016
|
|
2015
|
|
||||||||
|
|
|
|
|
|
|
|
|
|
||||||||
|
Insurance
|
$
|
20,688
|
|
|
$
|
2,444
|
|
|
$
|
43,181
|
|
|
$
|
21,225
|
|
|
|
Reinsurance
|
55,331
|
|
|
42,681
|
|
|
180,950
|
|
|
144,579
|
|
|
||||
|
Total
|
$
|
76,019
|
|
|
$
|
45,125
|
|
|
$
|
224,131
|
|
|
$
|
165,804
|
|
|
|
|
|
|
|
|
|
|
|
|
6.
|
RESERVE FOR LOSSES AND LOSS EXPENSES (CONTINUED)
|
7.
|
SHARE-BASED COMPENSATION
|
|
|
Performance-based Stock Awards
|
|
Service-based Stock Awards
|
|
||||||||||
|
|
Number of
Restricted
Stock
|
|
Weighted Average
Grant Date
Fair Value
|
|
Number of
Restricted
Stock
|
|
Weighted Average
Grant Date
Fair Value
(1)
|
|
||||||
|
|
|
|
|
|
|
|
|
|
||||||
|
Nonvested restricted stock - beginning of period
|
201
|
|
|
$
|
49.24
|
|
|
1,954
|
|
|
$
|
43.34
|
|
|
|
Granted
|
104
|
|
|
53.80
|
|
|
586
|
|
|
53.81
|
|
|
||
|
Vested
|
(48
|
)
|
|
45.38
|
|
|
(779
|
)
|
|
39.26
|
|
|
||
|
Forfeited
|
—
|
|
|
—
|
|
|
(94
|
)
|
|
47.03
|
|
|
||
|
Nonvested restricted stock - end of period
|
257
|
|
|
$
|
52.04
|
|
|
1,667
|
|
|
$
|
48.77
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Performance-based Cash Settled RSUs
|
|
Service-based Cash Settled RSUs
|
|
||
|
|
Number of
Restricted
Stock Units
|
|
Number of
Restricted
Stock Units
|
|
||
|
|
|
|
|
|
||
|
Nonvested restricted stock units - beginning of period
|
70
|
|
|
1,433
|
|
|
|
Granted
|
18
|
|
|
494
|
|
|
|
Vested
|
(32
|
)
|
|
(371
|
)
|
|
|
Forfeited
|
—
|
|
|
(94
|
)
|
|
|
Nonvested restricted stock units - end of period
|
56
|
|
|
1,462
|
|
|
|
|
|
|
|
|
8.
|
EARNINGS PER COMMON SHARE
|
|
|
Three months ended September 30,
|
|
Nine months ended September 30,
|
|
||||||||||||
|
|
2016
|
|
2015
|
|
2016
|
|
2015
|
|
||||||||
|
|
|
|
|
|
|
|
|
|
||||||||
|
Basic earnings per common share
|
|
|
|
|
|
|
|
|
||||||||
|
Net income
|
$
|
186,613
|
|
|
$
|
257,642
|
|
|
$
|
364,460
|
|
|
$
|
496,838
|
|
|
|
Less: preferred share dividends
|
9,969
|
|
|
10,022
|
|
|
29,906
|
|
|
30,066
|
|
|
||||
|
Net income available to common shareholders
|
176,644
|
|
|
247,620
|
|
|
334,554
|
|
|
466,772
|
|
|
||||
|
Weighted average common shares outstanding - basic
(1)
|
89,621
|
|
|
98,226
|
|
|
91,852
|
|
|
99,464
|
|
|
||||
|
Basic earnings per common share
|
$
|
1.97
|
|
|
$
|
2.52
|
|
|
$
|
3.64
|
|
|
$
|
4.69
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
Diluted earnings per common share
|
|
|
|
|
|
|
|
|
||||||||
|
Net income available to common shareholders
|
$
|
176,644
|
|
|
$
|
247,620
|
|
|
$
|
334,554
|
|
|
$
|
466,772
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
Weighted average common shares outstanding - basic
(1)
|
89,621
|
|
|
98,226
|
|
|
91,852
|
|
|
99,464
|
|
|
||||
|
Share based compensation plans
|
730
|
|
|
898
|
|
|
727
|
|
|
1,004
|
|
|
||||
|
Weighted average common shares outstanding - diluted
(1)
|
90,351
|
|
|
99,124
|
|
|
92,579
|
|
|
100,468
|
|
|
||||
|
|
|
|
|
|
|
|
|
|
||||||||
|
Diluted earnings per common share
|
$
|
1.96
|
|
|
$
|
2.50
|
|
|
$
|
3.61
|
|
|
$
|
4.65
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
Anti-dilutive shares excluded from the dilutive computation
|
—
|
|
|
—
|
|
|
226
|
|
|
219
|
|
|
||||
|
|
|
|
|
|
|
|
|
|
(1)
|
On
August 17, 2015
, the Company entered into an Accelerated Share Repurchase (“ASR”) agreement (see '
Note 9 - Shareholders' Equity'
for additional detail). The weighted-average number of shares outstanding used in the computation of basic and diluted earnings per share reflects the Company’s receipt of
4,149,378
common shares delivered to the Company on August 20, 2015, and
1,358,380
common shares delivered to the company on January 15, 2016 under the Company's ASR agreement.
|
|
|
Three months ended September 30,
|
|
Nine months ended September 30,
|
|
||||||||
|
|
2016
|
|
2015
|
|
2016
|
|
2015
|
|
||||
|
|
|
|
|
|
|
|
|
|
||||
|
Shares issued, balance at beginning of period
|
176,575
|
|
|
176,206
|
|
|
176,240
|
|
|
175,478
|
|
|
|
Shares issued
|
—
|
|
|
16
|
|
|
335
|
|
|
744
|
|
|
|
Total shares issued at end of period
|
176,575
|
|
|
176,222
|
|
|
176,575
|
|
|
176,222
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
|
Treasury shares, balance at beginning of period
|
(85,921
|
)
|
|
(75,922
|
)
|
|
(80,174
|
)
|
|
(76,052
|
)
|
|
|
Shares repurchased
|
(2,252
|
)
|
|
(4,257
|
)
|
|
(8,499
|
)
|
|
(4,607
|
)
|
|
|
Shares reissued from treasury
|
37
|
|
|
6
|
|
|
537
|
|
|
486
|
|
|
|
Total treasury shares at end of period
|
(88,136
|
)
|
|
(80,173
|
)
|
|
(88,136
|
)
|
|
(80,173
|
)
|
|
|
|
|
|
|
|
|
|
|
|
||||
|
Total shares outstanding
|
88,439
|
|
|
96,049
|
|
|
88,439
|
|
|
96,049
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Three months ended September 30,
|
|
Nine months ended September 30,
|
|
||||||||||||
|
|
2016
|
|
2015
|
|
2016
|
|
2015
|
|
||||||||
|
|
|
|
|
|
|
|
|
|
||||||||
|
In the open market:
|
|
|
|
|
|
|
|
|
||||||||
|
Total shares
(1)
|
2,232
|
|
|
4,248
|
|
|
8,236
|
|
|
4,264
|
|
|
||||
|
Total cost
|
$
|
124,948
|
|
|
$
|
245,658
|
|
|
$
|
434,948
|
|
|
$
|
246,490
|
|
|
|
Average price per share
(2)
|
$
|
56.00
|
|
|
$
|
57.83
|
|
|
$
|
52.81
|
|
|
$
|
57.80
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
From employees:
|
|
|
|
|
|
|
|
|
||||||||
|
Total shares
|
20
|
|
|
9
|
|
|
263
|
|
|
343
|
|
|
||||
|
Total cost
|
$
|
1,088
|
|
|
$
|
489
|
|
|
$
|
14,137
|
|
|
$
|
17,586
|
|
|
|
Average price per share
(2)
|
$
|
54.13
|
|
|
$
|
55.59
|
|
|
$
|
53.68
|
|
|
$
|
51.28
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
Total shares repurchased:
|
|
|
|
|
|
|
|
|
||||||||
|
Total shares
|
2,252
|
|
|
4,257
|
|
|
8,499
|
|
|
4,607
|
|
|
||||
|
Total cost
|
$
|
126,036
|
|
|
$
|
246,147
|
|
|
$
|
449,085
|
|
|
$
|
264,076
|
|
|
|
Average price per share
(2)
|
$
|
55.98
|
|
|
$
|
57.83
|
|
|
$
|
52.84
|
|
|
$
|
57.32
|
|
|
|
|
|
|
|
|
|
|
|
|
9.
|
SHAREHOLDERS' EQUITY (CONTINUED)
|
10.
|
COMMITMENTS AND CONTINGENCIES
|
|
|
2016
|
|
2015
|
|
||||||||||||||||||||
|
|
Before Tax Amount
|
|
Tax (Expense) Benefit
|
|
Net of Tax Amount
|
|
Before Tax Amount
|
|
Tax (Expense) Benefit
|
|
Net of Tax Amount
|
|
||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
Three months ended September 30,
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
Available for sale investments:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
Unrealized investment gains (losses) arising during the period
|
$
|
40,125
|
|
|
$
|
(3,789
|
)
|
|
$
|
36,336
|
|
|
$
|
(102,810
|
)
|
|
$
|
3,099
|
|
|
$
|
(99,711
|
)
|
|
|
Adjustment for reclassification of net realized investment gains (losses) and OTTI losses recognized in net income
|
(5,050
|
)
|
|
2,408
|
|
|
(2,642
|
)
|
|
76,368
|
|
|
(1,558
|
)
|
|
74,810
|
|
|
||||||
|
Unrealized investment gains (losses) arising during the period, net of reclassification adjustment
|
35,075
|
|
|
(1,381
|
)
|
|
33,694
|
|
|
(26,442
|
)
|
|
1,541
|
|
|
(24,901
|
)
|
|
||||||
|
Non-credit portion of OTTI losses
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
||||||
|
Foreign currency translation adjustment
|
1,722
|
|
|
—
|
|
|
1,722
|
|
|
(14,626
|
)
|
|
—
|
|
|
(14,626
|
)
|
|
||||||
|
Total other comprehensive income (loss), net of tax
|
$
|
36,797
|
|
|
$
|
(1,381
|
)
|
|
$
|
35,416
|
|
|
$
|
(41,068
|
)
|
|
$
|
1,541
|
|
|
$
|
(39,527
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
Nine months ended September 30,
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
Available for sale investments:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
Unrealized investment gains (losses) arising during the period
|
$
|
263,235
|
|
|
$
|
(24,579
|
)
|
|
$
|
238,656
|
|
|
$
|
(183,822
|
)
|
|
$
|
6,884
|
|
|
$
|
(176,938
|
)
|
|
|
Adjustment for reclassification of net realized investment gains and OTTI losses recognized in net income
|
40,338
|
|
|
2,282
|
|
|
42,620
|
|
|
130,858
|
|
|
(2,088
|
)
|
|
128,770
|
|
|
||||||
|
Unrealized investment gains (losses) arising during the period, net of reclassification adjustment
|
303,573
|
|
|
(22,297
|
)
|
|
281,276
|
|
|
(52,964
|
)
|
|
4,796
|
|
|
(48,168
|
)
|
|
||||||
|
Non-credit portion of OTTI losses
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
||||||
|
Foreign currency translation adjustment
|
5,694
|
|
|
—
|
|
|
5,694
|
|
|
(23,851
|
)
|
|
—
|
|
|
(23,851
|
)
|
|
||||||
|
Total other comprehensive income (loss), net of tax
|
$
|
309,267
|
|
|
$
|
(22,297
|
)
|
|
$
|
286,970
|
|
|
$
|
(76,815
|
)
|
|
$
|
4,796
|
|
|
$
|
(72,019
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Amount Reclassified from AOCI
(1)
|
|
||||||||||||||
|
Details About AOCI Components
|
Consolidated Statement of Operations Line Item That Includes Reclassification
|
Three months ended September 30,
|
|
Nine months ended September 30,
|
|
||||||||||||
|
2016
|
|
2015
|
|
2016
|
|
2015
|
|
||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
Unrealized investment gains (losses) on available for sale investments
|
|
|
|
|
|
|
|
|
|
||||||||
|
|
Other realized investment gains (losses)
|
$
|
9,297
|
|
|
$
|
(44,067
|
)
|
|
$
|
(19,992
|
)
|
|
$
|
(68,096
|
)
|
|
|
|
OTTI losses
|
(4,247
|
)
|
|
(32,301
|
)
|
|
(20,346
|
)
|
|
(62,762
|
)
|
|
||||
|
|
Total before tax
|
5,050
|
|
|
(76,368
|
)
|
|
(40,338
|
)
|
|
(130,858
|
)
|
|
||||
|
|
Income tax (expense) benefit
|
(2,408
|
)
|
|
1,558
|
|
|
(2,282
|
)
|
|
2,088
|
|
|
||||
|
|
Net of tax
|
$
|
2,642
|
|
|
$
|
(74,810
|
)
|
|
$
|
(42,620
|
)
|
|
$
|
(128,770
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
(1)
|
Amounts in parentheses are debits to net income available to common shareholders.
|
12.
|
SUBSEQUENT EVENT
|
ITEM 2.
|
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS
|
|
Page
|
|
|
Third Quarter 2016 Financial Highlights
|
|
Executive Summary
|
|
Underwriting Results – Group
|
|
Results by Segment: For the three and nine months ended September 30, 2016 and 2015
|
|
i) Insurance Segment
|
|
ii) Reinsurance Segment
|
|
Other Expenses (Revenues), Net
|
|
Net Investment Income and Net Realized Investment Gains (Losses)
|
|
Cash and Investments
|
|
Liquidity and Capital Resources
|
|
Critical Accounting Estimates
|
|
New Accounting Standards
|
|
Off-Balance Sheet and Special Purpose Entity Arrangements
|
|
Non-GAAP Financial Measures
|
•
|
Net income available to common shareholders of
$177 million
, or
$1.97
per common share and
$1.96
per diluted common share
|
•
|
Operating income of
$161 million
, or
$1.78
per diluted common share
(1)
|
•
|
Gross premiums written of
$1.0 billion
|
•
|
Net premiums written of
$595 million
, impacted by a large new retrocessional cover entered into with Harrington Re Ltd.
|
•
|
Net premiums earned of
$934 million
|
•
|
Net favorable prior year reserve development of
$76 million
|
•
|
Estimated catastrophe and weather-related pre-tax net losses, net of reinstatement premiums, of
$22 million
compared to
$43 million
during the
third
quarter of
2015
|
•
|
Underwriting income of
$104 million
and combined ratio of
92.6%
|
•
|
Net investment income of
$117 million
|
•
|
Net realized investment gains of
$5 million
|
•
|
Foreign exchange gains of
$14 million
|
•
|
Total cash and investments of
$14.6 billion
; fixed maturities, cash and short-term securities comprise
87%
of total cash and investments and have an average credit rating of AA-
|
•
|
Total assets of
$21.2 billion
|
•
|
Reserve for losses and loss expenses of
$9.9 billion
and reinsurance recoverable of
$2.3 billion
|
•
|
Total debt of
$1.0 billion
and the debt to total capital ratio of
14.1%
|
•
|
Repurchased 2.3 million common shares. At
October 27,
2016
the remaining authorization under the repurchase program approved by our Board of Directors was
$375 million
|
•
|
Common shareholders’ equity of
$5.4 billion
and diluted book value per common share of
$59.77
|
(1)
|
Operating income is a non-GAAP financial measure as defined in SEC Regulation G. Refer to ‘
Non-GAAP Financial Measures
’ for reconciliation to nearest GAAP financial measure (net income available to common shareholders).
|
•
|
continued growth of our accident and health lines, which is focused on specialty accident and health products;
|
•
|
growth of our Weather and Commodity Markets business unit which offers parametric risk management solutions to clients
|
•
|
growth of our syndicate at Lloyd's which provides us with access to Lloyd's worldwide licenses and an extensive distribution network. During the first quarter of 2016 we commenced writing business through our underwriting division at Lloyd's in China;
|
•
|
continued rebalancing of our portfolio towards less-volatile lines of business that carry attractive rates; and
|
•
|
continued expansion of our broad range of third-party capital capabilities through:
|
•
|
Our investment in Harrington Reinsurance Holdings Limited ("Harrington"), the parent company of Harrington Re Ltd. ("Harrington Re"), an independent reinsurance company jointly sponsored by AXIS Capital and The Blackstone Group L.P. ("Blackstone"). Harrington Re’s strategy is to combine a multi-line reinsurance portfolio with a diversified allocation to alternative investment strategies to earn attractive risk-adjusted returns. Harrington plans to develop a portfolio that optimizes the risk-reward characteristics of both assets and liabilities, leveraging the respective strengths of AXIS Capital and Blackstone while deploying a disciplined and fully integrated approach to both underwriting and investing;
|
•
|
AXIS Ventures Reinsurance Limited, which manages capital for investors interested in deploying funds directly into the property-catastrophe and other short-tail business; and
|
•
|
increased use of available reinsurance and retrocessional protection to optimize the risk-adjusted returns on our portfolio.
|
|
|
Three months ended September 30,
|
|
Nine months ended September 30,
|
|
||||||||||||||||
|
|
2016
|
|
% Change
|
|
2015
|
|
2016
|
|
% Change
|
|
2015
|
|
||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
Underwriting income:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
Insurance
|
$
|
25,161
|
|
|
265%
|
|
$
|
6,888
|
|
|
$
|
31,187
|
|
|
93%
|
|
$
|
16,153
|
|
|
|
Reinsurance
|
78,837
|
|
|
60%
|
|
49,357
|
|
|
181,623
|
|
|
(8%)
|
|
197,729
|
|
|
||||
|
Net investment income
|
116,923
|
|
|
156%
|
|
45,685
|
|
|
257,818
|
|
|
14%
|
|
226,336
|
|
|
||||
|
Net realized investment gains (losses)
|
5,205
|
|
|
nm
|
|
(69,957
|
)
|
|
(40,295
|
)
|
|
(67%)
|
|
(123,618
|
)
|
|
||||
|
Other expenses, net
|
(37,079
|
)
|
|
nm
|
|
(8,464
|
)
|
|
(63,439
|
)
|
|
18%
|
|
(53,895
|
)
|
|
||||
|
Termination fee received
|
—
|
|
|
nm
|
|
280,000
|
|
|
—
|
|
|
nm
|
|
280,000
|
|
|
||||
|
Reorganization and related fees
|
—
|
|
|
nm
|
|
(45,867
|
)
|
|
—
|
|
|
nm
|
|
(45,867
|
)
|
|
||||
|
Interest in loss of equity method investments
|
(2,434
|
)
|
|
nm
|
|
—
|
|
|
(2,434
|
)
|
|
nm
|
|
—
|
|
|
||||
|
Net income
|
186,613
|
|
|
(28%)
|
|
257,642
|
|
|
364,460
|
|
|
(27%)
|
|
496,838
|
|
|
||||
|
Preferred share dividends
|
(9,969
|
)
|
|
(1%)
|
|
(10,022
|
)
|
|
(29,906
|
)
|
|
(1%)
|
|
(30,066
|
)
|
|
||||
|
Net income available to common shareholders
|
$
|
176,644
|
|
|
(29%)
|
|
$
|
247,620
|
|
|
$
|
334,554
|
|
|
(28%)
|
|
$
|
466,772
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
Operating income
|
$
|
160,689
|
|
|
215%
|
|
$
|
51,031
|
|
|
$
|
309,450
|
|
|
10%
|
|
$
|
280,682
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Three months ended and at September 30,
|
|
Nine months ended and at September 30,
|
|
||||||||||||
|
|
2016
|
|
2015
|
|
2016
|
|
2015
|
|
||||||||
|
|
|
|
|
|
|
|
|
|
||||||||
|
ROACE (annualized)
(1)
|
13.2
|
%
|
|
18.8
|
%
|
|
8.4
|
%
|
|
12.0
|
%
|
|
||||
|
Operating ROACE (annualized)
(2)
|
12.0
|
%
|
|
3.9
|
%
|
|
7.8
|
%
|
|
7.2
|
%
|
|
||||
|
DBV per common share
(3)
|
$
|
59.77
|
|
|
$
|
53.68
|
|
|
$
|
59.77
|
|
|
$
|
53.68
|
|
|
|
Cash dividends declared per common share
|
0.35
|
|
|
0.29
|
|
|
1.05
|
|
|
0.87
|
|
|
||||
|
Increase in diluted book value per common share adjusted for dividends
|
$
|
2.50
|
|
|
$
|
2.16
|
|
|
$
|
6.74
|
|
|
$
|
4.67
|
|
|
|
|
|
|
|
|
|
|
|
|
(1)
|
Return on average common equity (“ROACE”) is calculated by dividing annualized net income available to common shareholders for the period by the average shareholders’ equity determined by using the common shareholders’ equity balances at the beginning and end of the period.
|
(2)
|
Operating ROACE is calculated by dividing annualized operating income for the period by the average common shareholders’ equity determined by using the common shareholders’ equity balances at the beginning and end of the period. Annualized operating ROACE is a non-GAAP financial measure as defined in SEC Regulation G. Refer to
‘Non-GAAP Financial Measures’
for additional information and reconciliation to the nearest GAAP financial measure (ROACE).
|
(3)
|
Diluted book value (“DBV”) per common share represents total common shareholders’ equity divided by the number of common shares and diluted common share equivalents outstanding, determined using the treasury stock method. Cash settled awards are excluded from the denominator.
|
|
|
Three months ended September 30,
|
|
Nine months ended September 30,
|
|
||||||||||||||||
|
|
2016
|
|
% Change
|
|
2015
|
|
2016
|
|
% Change
|
|
2015
|
|
||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
Revenues:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
Gross premiums written
|
$
|
959,962
|
|
|
2%
|
|
$
|
936,583
|
|
|
$
|
4,239,558
|
|
|
11%
|
|
$
|
3,803,928
|
|
|
|
Net premiums written
|
595,431
|
|
|
(12%)
|
|
677,217
|
|
|
3,288,587
|
|
|
7%
|
|
3,079,307
|
|
|
||||
|
Net premiums earned
|
934,415
|
|
|
2%
|
|
919,341
|
|
|
2,783,746
|
|
|
1%
|
|
2,764,605
|
|
|
||||
|
Other insurance related income
|
5,944
|
|
|
413%
|
|
1,158
|
|
|
4,850
|
|
|
(61%)
|
|
12,319
|
|
|
||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
Expenses:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
Current year net losses and loss expenses
|
(608,347
|
)
|
|
|
|
(605,512
|
)
|
|
(1,887,715
|
)
|
|
|
|
(1,818,672
|
)
|
|
||||
|
Prior year reserve development
|
76,019
|
|
|
|
|
45,125
|
|
|
224,131
|
|
|
|
|
165,804
|
|
|
||||
|
Acquisition costs
|
(189,810
|
)
|
|
|
|
(182,744
|
)
|
|
(559,570
|
)
|
|
|
|
(537,549
|
)
|
|
||||
|
Underwriting-related general and administrative
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
expenses
(1)
|
(114,223
|
)
|
|
|
|
(121,123
|
)
|
|
(352,632
|
)
|
|
|
|
(372,625
|
)
|
|
||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
Underwriting income
(2)
|
$
|
103,998
|
|
|
85%
|
|
$
|
56,245
|
|
|
$
|
212,810
|
|
|
(1%)
|
|
$
|
213,882
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
General and administrative expenses
(1)
|
$
|
142,906
|
|
|
|
|
$
|
144,727
|
|
|
$
|
439,554
|
|
|
|
|
$
|
456,451
|
|
|
|
Income before income taxes and interest in income (loss) of equity method investments
(2)
|
$
|
198,399
|
|
|
|
|
$
|
257,672
|
|
|
$
|
374,606
|
|
|
|
|
$
|
497,993
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1)
|
Underwriting-related general and administrative expenses is a non-GAAP measure as defined in SEC Regulation G. Our total general and administrative expenses also included corporate expenses of
$28,683
and
$23,604
for the three months ended
September 30, 2016
and
2015
, respectively, and
$86,922
and
$83,826
for the nine months ended September 30, 2016 and 2015, respectively. Refer to '
Other Expenses (Revenues), Net
' for additional information related to these corporate expenses. Also, refer
to
'Non-GAAP Financial Measures'
for further information.
|
(2)
|
Underwriting income is a non-GAAP financial measure as defined in SEC Regulation G. Refer to Item 1, Note 2 to the Consolidated Financial Statements for a reconciliation of underwriting income to the nearest GAAP financial measure (income before income taxes and interest in income (loss) of equity method investments) for the periods indicated above. Also, refer to '
Non-GAAP Financial Measures
' for additional information related to the presentation of underwriting income.
|
|
|
Gross Premiums Written
|
|
||||||||||||||||||
|
|
Three months ended September 30,
|
|
Nine months ended September 30,
|
|
||||||||||||||||
|
|
2016
|
|
% Change
|
|
2015
|
|
2016
|
|
% Change
|
|
2015
|
|
||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
Insurance
|
$
|
675,430
|
|
|
11%
|
|
$
|
606,704
|
|
|
$
|
2,112,796
|
|
|
7%
|
|
$
|
1,970,554
|
|
|
|
Reinsurance
|
284,532
|
|
|
(14%)
|
|
329,879
|
|
|
2,126,762
|
|
|
16%
|
|
1,833,374
|
|
|
||||
|
Total
|
$
|
959,962
|
|
|
2%
|
|
$
|
936,583
|
|
|
$
|
4,239,558
|
|
|
11%
|
|
$
|
3,803,928
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
% ceded
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
Insurance
|
36%
|
|
(1) pts
|
|
37%
|
|
32%
|
|
1 pts
|
|
31%
|
|
||||||||
|
Reinsurance
|
43%
|
|
33 pts
|
|
10%
|
|
13%
|
|
7 pts
|
|
6%
|
|
||||||||
|
Total
|
38%
|
|
10 pts
|
|
28%
|
|
22%
|
|
3 pts
|
|
19%
|
|
||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
|
Net Premiums Written
|
|
||||||||||||||||||
|
|
Three months ended September 30,
|
|
Nine months ended September 30,
|
|
||||||||||||||||
|
|
2016
|
|
% Change
|
|
2015
|
|
2016
|
|
% Change
|
|
2015
|
|
||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
Insurance
|
$
|
433,131
|
|
|
14%
|
|
$
|
381,118
|
|
|
$
|
1,433,058
|
|
|
6%
|
|
$
|
1,352,122
|
|
|
|
Reinsurance
|
162,300
|
|
|
(45%)
|
|
296,099
|
|
|
1,855,529
|
|
|
7%
|
|
1,727,185
|
|
|
||||
|
Total
|
$
|
595,431
|
|
|
(12%)
|
|
$
|
677,217
|
|
|
$
|
3,288,587
|
|
|
7%
|
|
$
|
3,079,307
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1)
|
Amounts presented on a constant currency basis are “non-GAAP financial measures” as defined in Regulation G. The constant currency basis is calculated by applying the average foreign exchange rate from the current year to the prior year balance.
|
|
|
Three months ended September 30,
|
|
|
|
Nine months ended September 30,
|
|
|
|
||||||||||||||||||||||||
|
|
2016
|
|
|
|
2015
|
|
|
|
%
Change
|
|
2016
|
|
|
|
2015
|
|
|
|
%
Change
|
|
||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
Insurance
|
$
|
444,691
|
|
|
48
|
%
|
|
$
|
444,550
|
|
|
48
|
%
|
|
—%
|
|
$
|
1,322,649
|
|
|
48
|
%
|
|
$
|
1,344,339
|
|
|
49
|
%
|
|
(2%)
|
|
|
Reinsurance
|
489,724
|
|
|
52
|
%
|
|
474,791
|
|
|
52
|
%
|
|
3%
|
|
1,461,097
|
|
|
52
|
%
|
|
1,420,266
|
|
|
51
|
%
|
|
3%
|
|
||||
|
Total
|
$
|
934,415
|
|
|
100
|
%
|
|
$
|
919,341
|
|
|
100
|
%
|
|
2%
|
|
$
|
2,783,746
|
|
|
100
|
%
|
|
$
|
2,764,605
|
|
|
100
|
%
|
|
1%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Three months ended September 30,
|
|
Nine months ended September 30,
|
|
||||||||||||
|
|
2016
|
|
% Point
Change
|
|
2015
|
|
2016
|
|
% Point
Change
|
|
2015
|
|
||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
|
Current accident year loss ratio
|
65.1
|
%
|
|
(0.8)
|
|
65.9
|
%
|
|
67.8
|
%
|
|
2.0
|
|
65.8
|
%
|
|
|
Prior year reserve development
|
(8.1
|
%)
|
|
(3.2)
|
|
(4.9
|
%)
|
|
(8.0
|
%)
|
|
(2.0)
|
|
(6.0
|
%)
|
|
|
Acquisition cost ratio
|
20.3
|
%
|
|
0.4
|
|
19.9
|
%
|
|
20.1
|
%
|
|
0.7
|
|
19.4
|
%
|
|
|
General and administrative expense ratio
(1)
|
15.3
|
%
|
|
(0.4)
|
|
15.7
|
%
|
|
15.8
|
%
|
|
(0.7)
|
|
16.5
|
%
|
|
|
Combined ratio
|
92.6
|
%
|
|
(4.0)
|
|
96.6
|
%
|
|
95.7
|
%
|
|
—
|
|
95.7
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1)
|
The general and administrative expense ratio includes corporate expenses not allocated to reportable segments of
3.1%
and
2.6%
for the three months ended
September 30, 2016
and
2015
, respectively, and
3.1%
and
3.0%
for the
nine months ended
September 30, 2016
and
2015
, respectively. These costs are further discussed in the ‘
Other Expenses (Revenues), Net
’ section.
|
|
|
Three months ended September 30,
|
|
Nine months ended September 30,
|
|
||||||||||||
|
|
2016
|
|
2015
|
|
2016
|
|
2015
|
|
||||||||
|
|
|
|
|
|
|
|
|
|
||||||||
|
Insurance
|
$
|
20,688
|
|
|
$
|
2,444
|
|
|
$
|
43,181
|
|
|
$
|
21,225
|
|
|
|
Reinsurance
|
55,331
|
|
|
42,681
|
|
|
180,950
|
|
|
144,579
|
|
|
||||
|
Total
|
$
|
76,019
|
|
|
$
|
45,125
|
|
|
$
|
224,131
|
|
|
$
|
165,804
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Three months ended September 30,
|
|
Nine months ended September 30,
|
|
||||||||||||
|
|
2016
|
|
2015
|
|
2016
|
|
2015
|
|
||||||||
|
|
|
|
|
|
|
|
|
|
||||||||
|
Property and other
|
$
|
10,061
|
|
|
$
|
20,518
|
|
|
$
|
24,048
|
|
|
$
|
49,705
|
|
|
|
Marine
|
4,682
|
|
|
2,831
|
|
|
8,382
|
|
|
23,156
|
|
|
||||
|
Aviation
|
517
|
|
|
667
|
|
|
437
|
|
|
2,884
|
|
|
||||
|
Credit and political risk
|
(25
|
)
|
|
(28
|
)
|
|
(232
|
)
|
|
(15,427
|
)
|
|
||||
|
Professional lines
|
3,378
|
|
|
(15,279
|
)
|
|
8,956
|
|
|
(15,887
|
)
|
|
||||
|
Liability
|
2,075
|
|
|
(6,265
|
)
|
|
1,590
|
|
|
(23,206
|
)
|
|
||||
|
Total
|
$
|
20,688
|
|
|
$
|
2,444
|
|
|
$
|
43,181
|
|
|
$
|
21,225
|
|
|
|
|
|
|
|
|
|
|
|
|
•
|
$10 million
of net favorable prior year reserve development on property and other business, driven by better than expected loss emergence, primarily driven by reductions in mid-size loss estimates impacting accident year 2015 and favorable loss experience in our accident and health lines impacting accident year 2014.
|
•
|
$5 million
of net favorable prior year reserve development on marine business, driven by better than expected loss emergence, primarily driven by reductions in mid-size loss estimates impacting accident year 2015.
|
•
|
$21 million
of net favorable prior year reserve development on property and other business, driven by better than expected loss emergence including reserve reductions related to Storm Sandy of $15 million.
|
•
|
$6 million
of net adverse prior year reserve development on liability business, primarily related to a higher frequency of large auto liability claims in accident year 2014.
|
•
|
$15 million
of net adverse prior year reserve development on professional lines business, predominately reflecting reserve strengthening resulting from updated actuarial assumptions for our Australian professional lines and impacting accident years 2010 to 2014, partially offset by favorable development in certain US professional lines.
|
•
|
$24 million
of net favorable prior year reserve development on property and other business, driven by better than expected loss emergence primarily related to accident year 2014.
|
•
|
$9 million
of net favorable prior year reserve development on professional lines business, driven by better than expected development related to various accident years, partially offset by reserve strengthening relating to updated information on one specific claim impacting accident year 2010.
|
•
|
$8 million
of net favorable prior year reserve development on marine business, driven by better than expected loss emergence, primarily driven by reductions in mid-size loss estimates impacting accident year 2015.
|
•
|
$50 million
of net favorable prior year reserve development on property and other business, related to the 2012 and 2013 accident years and driven by better than expected loss emergence, including reserve reductions related to Storm Sandy of $16 million.
|
•
|
$23 million
of net favorable prior year reserve development on marine business, largely related to better than expected loss emergence in our energy offshore business spanning multiple years, particularly accident year 2014.
|
•
|
$15 million
of net adverse prior year reserve development on credit and political risk business, related to updated information on one specific claim impacting accident year 2014.
|
•
|
$16 million
of net adverse prior year reserve development on professional lines business, predominately reflecting reserve strengthening resulting from updated actuarial assumptions for our Australian professional lines and impacting accident years 2010 to 2014, partially offset by favorable development in certain US professional lines.
|
•
|
$23 million
of net adverse prior year reserve development on liability business, related to strengthening of specific individual claim reserves and a higher frequency of large auto liability claims in accident year 2014.
|
|
|
Three months ended September 30,
|
|
Nine months ended September 30,
|
|
||||||||||||
|
|
2016
|
|
2015
|
|
2016
|
|
2015
|
|
||||||||
|
|
|
|
|
|
|
|
|
|
||||||||
|
Property and other
|
$
|
25,831
|
|
|
$
|
14,115
|
|
|
$
|
83,522
|
|
|
$
|
36,120
|
|
|
|
Credit and surety
|
3,900
|
|
|
7,051
|
|
|
6,761
|
|
|
18,851
|
|
|
||||
|
Professional lines
|
8,761
|
|
|
1,250
|
|
|
18,918
|
|
|
25,331
|
|
|
||||
|
Motor
|
6,653
|
|
|
8,997
|
|
|
39,794
|
|
|
27,321
|
|
|
||||
|
Liability
|
10,186
|
|
|
11,268
|
|
|
31,955
|
|
|
36,956
|
|
|
||||
|
Total
|
$
|
55,331
|
|
|
$
|
42,681
|
|
|
$
|
180,950
|
|
|
$
|
144,579
|
|
|
|
|
|
|
|
|
|
|
|
|
•
|
$26 million
of net favorable prior year reserve development on property and other business, related to the 2011 through 2015 accident years driven by better than expected loss emergence including a reserve reduction of $7 million related to Storm Sandy.
|
•
|
$10 million
of net favorable prior year reserve development on liability business, primarily related to the 2007 through 2010 accident years, for reasons discussed in the overview.
|
•
|
$9 million
of net favorable prior year reserve development on professional lines business, primarily related to the 2005 through 2010 accident years, for reasons discussed in the overview.
|
•
|
$7 million
of net favorable prior year reserve development on motor business, related to non-proportional business spanning multiple accident years, driven by better than expected loss emergence.
|
•
|
$14 million
of net favorable prior year reserve development on property and other business, related to multiple prior accident years and driven by better than expected loss emergence.
|
•
|
$11 million
of net favorable prior year reserve development on liability business, primarily related to the 2003 through 2010 accident years, for reasons discussed in the overview.
|
•
|
$9 million
of net favorable prior year reserve development on motor business, largely related to favorable loss emergence trends on several classes spanning multiple accident years.
|
•
|
$7 million
of net favorable prior year reserve development on credit and surety business, related to the 2012 accident year and driven by additional information obtained about a specific claim.
|
•
|
$84 million
of net favorable prior year development on property and other business, primarily related to the 2010 through 2015 accident years driven by better than expected loss emergence.
|
•
|
$40 million
of net favorable prior year reserve development on motor business, primarily related to non-proportional business spanning multiple accident years, driven by better than expected loss emergence.
|
•
|
$32 million
of net favorable prior year reserve development on liability business, primarily related to the 2006 through 2011 accident years, for reasons discussed in the overview.
|
•
|
$19 million
of net favorable prior year reserve development on professional lines business, primarily related to the 2005 through 2010 accident years, for reasons discussed in the overview.
|
•
|
$37 million
of net favorable prior year reserve development on liability business, primarily related to the 2003 through 2010 accident years, for reasons discussed in the overview.
|
•
|
$36 million
of net favorable prior year reserve development on property and other business, spanning a number of accident years and driven by better than expected loss emergence. Included in this net development is $20 million of adverse development on agriculture reserves relating to loss developments on the 2014 accident year driven by lower than expected crop yields reported for two specific treaties.
|
•
|
$27 million
of net favorable prior year reserve development on motor business, predominantly related to non-proportional business in accident years 2011 and prior, driven by better than expected loss emergence.
|
•
|
$25 million
of net favorable prior year reserve development on professional lines business, primarily related to the 2009 through 2010 accident years, for reasons discussed in the overview.
|
•
|
$19 million
of net favorable prior year reserve development on credit and surety business, spanning multiple accident years and driven by better than expected loss emergence, as well as additional information obtained about a specific claim.
|
|
|
Three months ended September 30,
|
|
Nine months ended September 30,
|
|
||||||||||||||||
|
|
2016
|
|
% Change
|
|
2015
|
|
2016
|
|
% Change
|
|
2015
|
|
||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
Revenues:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
Gross premiums written
|
$
|
675,430
|
|
|
11%
|
|
$
|
606,704
|
|
|
$
|
2,112,796
|
|
|
7%
|
|
$
|
1,970,554
|
|
|
|
Net premiums written
|
433,131
|
|
|
14%
|
|
381,118
|
|
|
1,433,058
|
|
|
6%
|
|
1,352,122
|
|
|
||||
|
Net premiums earned
|
444,691
|
|
|
—%
|
|
444,550
|
|
|
1,322,649
|
|
|
(2%)
|
|
1,344,339
|
|
|
||||
|
Other insurance related income (loss)
|
39
|
|
|
(93%)
|
|
542
|
|
|
(57
|
)
|
|
nm
|
|
811
|
|
|
||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
Expenses:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
Current year net losses and loss expenses
|
(293,914
|
)
|
|
|
|
(285,716
|
)
|
|
(896,952
|
)
|
|
|
|
(887,805
|
)
|
|
||||
|
Prior year reserve development
|
20,688
|
|
|
|
|
2,444
|
|
|
43,181
|
|
|
|
|
21,225
|
|
|
||||
|
Acquisition costs
|
(61,755
|
)
|
|
|
|
(69,118
|
)
|
|
(184,982
|
)
|
|
|
|
(200,493
|
)
|
|
||||
|
General and administrative expenses
|
(84,588
|
)
|
|
|
|
(85,814
|
)
|
|
(252,652
|
)
|
|
|
|
(261,924
|
)
|
|
||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
Underwriting income
|
$
|
25,161
|
|
|
265%
|
|
$
|
6,888
|
|
|
$
|
31,187
|
|
|
93%
|
|
$
|
16,153
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
Ratios:
|
|
|
% Point
Change
|
|
|
|
|
|
% Point
Change
|
|
|
|
||||||||
|
Current year loss ratio
|
66.1
|
%
|
|
1.8
|
|
64.3
|
%
|
|
67.8
|
%
|
|
1.8
|
|
66.0
|
%
|
|
||||
|
Prior year reserve development
|
(4.7
|
%)
|
|
(4.1)
|
|
(0.6
|
%)
|
|
(3.2
|
%)
|
|
(1.7)
|
|
(1.5
|
%)
|
|
||||
|
Acquisition cost ratio
|
13.9
|
%
|
|
(1.6)
|
|
15.5
|
%
|
|
14.0
|
%
|
|
(0.9)
|
|
14.9
|
%
|
|
||||
|
General and administrative expense ratio
|
19.1
|
%
|
|
(0.3)
|
|
19.4
|
%
|
|
19.0
|
%
|
|
(0.5)
|
|
19.5
|
%
|
|
||||
|
Combined ratio
|
94.4
|
%
|
|
(4.2)
|
|
98.6
|
%
|
|
97.6
|
%
|
|
(1.3)
|
|
98.9
|
%
|
|
||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Three months ended September 30,
|
|
|
|
Nine months ended September 30,
|
|
|
|
||||||||||||||||||||||||
|
|
2016
|
|
|
|
2015
|
|
|
|
% Change
|
|
2016
|
|
|
|
2015
|
|
|
|
% Change
|
|
||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
Property
|
$
|
164,605
|
|
|
25
|
%
|
|
$
|
139,488
|
|
|
24
|
%
|
|
18%
|
|
$
|
522,380
|
|
|
24
|
%
|
|
$
|
465,929
|
|
|
24
|
%
|
|
12%
|
|
|
Marine
|
33,677
|
|
|
5
|
%
|
|
38,817
|
|
|
6
|
%
|
|
(13%)
|
|
191,298
|
|
|
9
|
%
|
|
215,885
|
|
|
11
|
%
|
|
(11%)
|
|
||||
|
Terrorism
|
9,394
|
|
|
1
|
%
|
|
11,192
|
|
|
2
|
%
|
|
(16%)
|
|
28,090
|
|
|
1
|
%
|
|
25,737
|
|
|
1
|
%
|
|
9%
|
|
||||
|
Aviation
|
9,684
|
|
|
1
|
%
|
|
10,222
|
|
|
2
|
%
|
|
(5%)
|
|
37,111
|
|
|
2
|
%
|
|
29,755
|
|
|
2
|
%
|
|
25%
|
|
||||
|
Credit and Political Risk
|
5,423
|
|
|
1
|
%
|
|
8,542
|
|
|
1
|
%
|
|
(37%)
|
|
34,299
|
|
|
2
|
%
|
|
29,640
|
|
|
2
|
%
|
|
16%
|
|
||||
|
Professional Lines
|
204,926
|
|
|
30
|
%
|
|
196,218
|
|
|
32
|
%
|
|
4%
|
|
590,417
|
|
|
28
|
%
|
|
598,370
|
|
|
30
|
%
|
|
(1%)
|
|
||||
|
Liability
|
108,447
|
|
|
16
|
%
|
|
104,666
|
|
|
17
|
%
|
|
4%
|
|
310,797
|
|
|
15
|
%
|
|
300,204
|
|
|
15
|
%
|
|
4%
|
|
||||
|
Accident and Health
|
139,274
|
|
|
21
|
%
|
|
97,559
|
|
|
16
|
%
|
|
43%
|
|
398,404
|
|
|
19
|
%
|
|
305,034
|
|
|
15
|
%
|
|
31%
|
|
||||
|
Total
|
$
|
675,430
|
|
|
100
|
%
|
|
$
|
606,704
|
|
|
100
|
%
|
|
11%
|
|
$
|
2,112,796
|
|
|
100
|
%
|
|
$
|
1,970,554
|
|
|
100
|
%
|
|
7%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Three months ended September 30,
|
|
|
|
Nine months ended September 30,
|
|
|
|
||||||||||||||||||||||||
|
|
2016
|
|
|
|
2015
|
|
|
|
% Change
|
|
2016
|
|
|
|
2015
|
|
|
|
% Change
|
|
||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
Property
|
$
|
106,578
|
|
|
25
|
%
|
|
$
|
112,017
|
|
|
27
|
%
|
|
(5%)
|
|
$
|
312,804
|
|
|
23
|
%
|
|
$
|
324,720
|
|
|
24
|
%
|
|
(4%)
|
|
|
Marine
|
36,218
|
|
|
8
|
%
|
|
36,837
|
|
|
8
|
%
|
|
(2%)
|
|
113,693
|
|
|
9
|
%
|
|
143,878
|
|
|
11
|
%
|
|
(21%)
|
|
||||
|
Terrorism
|
8,276
|
|
|
2
|
%
|
|
7,985
|
|
|
2
|
%
|
|
4%
|
|
26,011
|
|
|
2
|
%
|
|
26,565
|
|
|
2
|
%
|
|
(2%)
|
|
||||
|
Aviation
|
9,015
|
|
|
2
|
%
|
|
9,982
|
|
|
2
|
%
|
|
(10%)
|
|
33,528
|
|
|
3
|
%
|
|
32,097
|
|
|
2
|
%
|
|
4%
|
|
||||
|
Credit and Political Risk
|
12,274
|
|
|
3
|
%
|
|
14,671
|
|
|
3
|
%
|
|
(16%)
|
|
42,661
|
|
|
3
|
%
|
|
45,993
|
|
|
3
|
%
|
|
(7%)
|
|
||||
|
Professional Lines
|
126,574
|
|
|
28
|
%
|
|
148,110
|
|
|
33
|
%
|
|
(15%)
|
|
386,241
|
|
|
29
|
%
|
|
451,944
|
|
|
34
|
%
|
|
(15%)
|
|
||||
|
Liability
|
42,205
|
|
|
9
|
%
|
|
41,817
|
|
|
9
|
%
|
|
1%
|
|
126,429
|
|
|
10
|
%
|
|
120,181
|
|
|
9
|
%
|
|
5%
|
|
||||
|
Accident and Health
|
103,551
|
|
|
23
|
%
|
|
73,131
|
|
|
16
|
%
|
|
42%
|
|
281,282
|
|
|
21
|
%
|
|
198,961
|
|
|
15
|
%
|
|
41%
|
|
||||
|
Total
|
$
|
444,691
|
|
|
100
|
%
|
|
$
|
444,550
|
|
|
100
|
%
|
|
—%
|
|
$
|
1,322,649
|
|
|
100
|
%
|
|
$
|
1,344,339
|
|
|
100
|
%
|
|
(2%)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Three months ended September 30,
|
|
Nine months ended September 30,
|
|
||||||||||||
|
|
2016
|
|
% Point
Change
|
|
2015
|
|
2016
|
|
% Point
Change
|
|
2015
|
|
||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
|
Current accident year
|
66.1
|
%
|
|
1.8
|
|
64.3
|
%
|
|
67.8
|
%
|
|
1.8
|
|
66.0
|
%
|
|
|
Prior year reserve development
|
(4.7
|
%)
|
|
(4.1)
|
|
(0.6
|
%)
|
|
(3.2
|
%)
|
|
(1.7)
|
|
(1.5
|
%)
|
|
|
Loss ratio
|
61.4
|
%
|
|
(2.3)
|
|
63.7
|
%
|
|
64.6
|
%
|
|
0.1
|
|
64.5
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Three months ended September 30,
|
|
Nine months ended September 30,
|
|
||||||||||||||||
|
|
2016
|
|
% Change
|
|
2015
|
|
2016
|
|
% Change
|
|
2015
|
|
||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
Revenues:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
Gross premiums written
|
$
|
284,532
|
|
|
(14%)
|
|
$
|
329,879
|
|
|
$
|
2,126,762
|
|
|
16%
|
|
$
|
1,833,374
|
|
|
|
Net premiums written
|
162,300
|
|
|
(45%)
|
|
296,099
|
|
|
1,855,529
|
|
|
7%
|
|
1,727,185
|
|
|
||||
|
Net premiums earned
|
489,724
|
|
|
3%
|
|
474,791
|
|
|
1,461,097
|
|
|
3%
|
|
1,420,266
|
|
|
||||
|
Other insurance related income
|
5,905
|
|
|
nm
|
|
616
|
|
|
4,907
|
|
|
(57%)
|
|
11,508
|
|
|
||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
Expenses:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
Current year net losses and loss expenses
|
(314,433
|
)
|
|
|
|
(319,796
|
)
|
|
(990,763
|
)
|
|
|
|
(930,867
|
)
|
|
||||
|
Prior year reserve development
|
55,331
|
|
|
|
|
42,681
|
|
|
180,950
|
|
|
|
|
144,579
|
|
|
||||
|
Acquisition costs
|
(128,055
|
)
|
|
|
|
(113,626
|
)
|
|
(374,588
|
)
|
|
|
|
(337,056
|
)
|
|
||||
|
General and administrative expenses
|
(29,635
|
)
|
|
|
|
(35,309
|
)
|
|
(99,980
|
)
|
|
|
|
(110,701
|
)
|
|
||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
Underwriting income
|
$
|
78,837
|
|
|
60%
|
|
$
|
49,357
|
|
|
$
|
181,623
|
|
|
(8%)
|
|
$
|
197,729
|
|
|
|
Ratios:
|
|
|
% Point
Change
|
|
|
|
|
|
% Point
Change
|
|
|
|
||||||||
|
Current year loss ratio
|
64.2
|
%
|
|
(3.2)
|
|
67.4
|
%
|
|
67.8
|
%
|
|
2.3
|
|
65.5
|
%
|
|
||||
|
Prior year reserve development
|
(11.3
|
%)
|
|
(2.3)
|
|
(9.0
|
%)
|
|
(12.4
|
%)
|
|
(2.3)
|
|
(10.1
|
%)
|
|
||||
|
Acquisition cost ratio
|
26.1
|
%
|
|
2.2
|
|
23.9
|
%
|
|
25.6
|
%
|
|
1.9
|
|
23.7
|
%
|
|
||||
|
General and administrative expense ratio
|
6.1
|
%
|
|
(1.3)
|
|
7.4
|
%
|
|
6.9
|
%
|
|
(0.9)
|
|
7.8
|
%
|
|
||||
|
Combined ratio
|
85.1
|
%
|
|
(4.6)
|
|
89.7
|
%
|
|
87.9
|
%
|
|
1.0
|
|
86.9
|
%
|
|
||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Three months ended September 30,
|
|
|
|
Nine months ended September 30,
|
|
|
|
||||||||||||||||||||||||
|
|
2016
|
|
|
|
2015
|
|
|
|
%
Change
|
|
2016
|
|
|
|
2015
|
|
|
|
%
Change
|
|
||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
Catastrophe
|
$
|
46,338
|
|
|
16
|
%
|
|
$
|
56,693
|
|
|
18
|
%
|
|
(18%)
|
|
$
|
316,692
|
|
|
15
|
%
|
|
$
|
283,562
|
|
|
15
|
%
|
|
12%
|
|
|
Property
|
61,957
|
|
|
22
|
%
|
|
67,539
|
|
|
20
|
%
|
|
(8%)
|
|
283,555
|
|
|
13
|
%
|
|
307,809
|
|
|
17
|
%
|
|
(8%)
|
|
||||
|
Professional Lines
|
19,479
|
|
|
7
|
%
|
|
45,509
|
|
|
14
|
%
|
|
(57%)
|
|
235,094
|
|
|
11
|
%
|
|
204,685
|
|
|
11
|
%
|
|
15%
|
|
||||
|
Credit and Surety
|
36,174
|
|
|
13
|
%
|
|
23,390
|
|
|
7
|
%
|
|
55%
|
|
315,102
|
|
|
15
|
%
|
|
230,958
|
|
|
13
|
%
|
|
36%
|
|
||||
|
Motor
|
13,344
|
|
|
5
|
%
|
|
21,359
|
|
|
6
|
%
|
|
(38%)
|
|
338,403
|
|
|
16
|
%
|
|
333,245
|
|
|
18
|
%
|
|
2%
|
|
||||
|
Liability
|
91,387
|
|
|
32
|
%
|
|
111,361
|
|
|
34
|
%
|
|
(18%)
|
|
365,380
|
|
|
17
|
%
|
|
258,862
|
|
|
14
|
%
|
|
41%
|
|
||||
|
Agriculture
|
1,286
|
|
|
—
|
%
|
|
(3,303
|
)
|
|
(1
|
%)
|
|
nm
|
|
151,315
|
|
|
7
|
%
|
|
139,135
|
|
|
8
|
%
|
|
9%
|
|
||||
|
Engineering
|
13,588
|
|
|
5
|
%
|
|
4,397
|
|
|
1
|
%
|
|
209%
|
|
56,719
|
|
|
3
|
%
|
|
58,163
|
|
|
3
|
%
|
|
(2%)
|
|
||||
|
Marine and Other
|
979
|
|
|
—
|
%
|
|
2,934
|
|
|
1
|
%
|
|
(67%)
|
|
64,502
|
|
|
3
|
%
|
|
16,955
|
|
|
1
|
%
|
|
280%
|
|
||||
|
Total
|
$
|
284,532
|
|
|
100
|
%
|
|
$
|
329,879
|
|
|
100
|
%
|
|
(14%)
|
|
$
|
2,126,762
|
|
|
100
|
%
|
|
$
|
1,833,374
|
|
|
100
|
%
|
|
16%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Three months ended September 30,
|
|
|
|
Nine months ended September 30,
|
|
|
|
||||||||||||||||||||||||
|
|
2016
|
|
|
|
2015
|
|
|
|
% Change
|
|
2016
|
|
|
|
2015
|
|
|
|
% Change
|
|
||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
Catastrophe
|
$
|
48,799
|
|
|
10
|
%
|
|
$
|
51,116
|
|
|
11
|
%
|
|
(5%)
|
|
$
|
151,416
|
|
|
12
|
%
|
|
$
|
165,840
|
|
|
12
|
%
|
|
(9%)
|
|
|
Property
|
71,649
|
|
|
15
|
%
|
|
78,343
|
|
|
17
|
%
|
|
(9%)
|
|
208,179
|
|
|
14
|
%
|
|
235,828
|
|
|
17
|
%
|
|
(12%)
|
|
||||
|
Professional Lines
|
73,109
|
|
|
15
|
%
|
|
81,986
|
|
|
17
|
%
|
|
(11%)
|
|
225,813
|
|
|
15
|
%
|
|
231,024
|
|
|
16
|
%
|
|
(2%)
|
|
||||
|
Credit and Surety
|
67,430
|
|
|
14
|
%
|
|
59,601
|
|
|
13
|
%
|
|
13%
|
|
192,135
|
|
|
13
|
%
|
|
182,508
|
|
|
13
|
%
|
|
5%
|
|
||||
|
Motor
|
77,786
|
|
|
16
|
%
|
|
72,893
|
|
|
15
|
%
|
|
7%
|
|
232,383
|
|
|
16
|
%
|
|
228,433
|
|
|
16
|
%
|
|
2%
|
|
||||
|
Liability
|
80,137
|
|
|
16
|
%
|
|
77,441
|
|
|
16
|
%
|
|
3%
|
|
247,103
|
|
|
17
|
%
|
|
218,829
|
|
|
15
|
%
|
|
13%
|
|
||||
|
Agriculture
|
36,704
|
|
|
7
|
%
|
|
33,684
|
|
|
7
|
%
|
|
9%
|
|
106,251
|
|
|
7
|
%
|
|
101,335
|
|
|
7
|
%
|
|
5%
|
|
||||
|
Engineering
|
18,573
|
|
|
4
|
%
|
|
15,128
|
|
|
3
|
%
|
|
23%
|
|
51,024
|
|
|
3
|
%
|
|
43,133
|
|
|
3
|
%
|
|
18%
|
|
||||
|
Marine and Other
|
15,537
|
|
|
3
|
%
|
|
4,599
|
|
|
1
|
%
|
|
238%
|
|
46,793
|
|
|
3
|
%
|
|
13,336
|
|
|
1
|
%
|
|
251%
|
|
||||
|
Total
|
$
|
489,724
|
|
|
100
|
%
|
|
$
|
474,791
|
|
|
100
|
%
|
|
3%
|
|
$
|
1,461,097
|
|
|
100
|
%
|
|
$
|
1,420,266
|
|
|
100
|
%
|
|
3%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Three months ended September 30,
|
|
Nine months ended September 30,
|
|
||||||||||||
|
|
2016
|
|
% Point
Change
|
|
2015
|
|
2016
|
|
% Point
Change
|
|
2015
|
|
||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
|
Current accident year
|
64.2
|
%
|
|
(3.2)
|
|
67.4
|
%
|
|
67.8
|
%
|
|
2.3
|
|
65.5
|
%
|
|
|
Prior year reserve development
|
(11.3
|
%)
|
|
(2.3)
|
|
(9.0
|
%)
|
|
(12.4
|
%)
|
|
(2.3)
|
|
(10.1
|
%)
|
|
|
Loss ratio
|
52.9
|
%
|
|
(5.5)
|
|
58.4
|
%
|
|
55.4
|
%
|
|
—
|
|
55.4
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Three months ended September 30,
|
|
Nine months ended September 30,
|
|
||||||||||||||||
|
|
2016
|
|
% Change
|
|
2015
|
|
2016
|
|
% Change
|
|
2015
|
|
||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
Corporate expenses
|
$
|
28,683
|
|
|
22%
|
|
$
|
23,604
|
|
|
$
|
86,922
|
|
|
4%
|
|
$
|
83,826
|
|
|
|
Foreign exchange gains
|
(13,795
|
)
|
|
(51%)
|
|
(28,088
|
)
|
|
(69,781
|
)
|
|
1%
|
|
(69,200
|
)
|
|
||||
|
Interest expense and financing costs
|
12,839
|
|
|
(1%)
|
|
12,918
|
|
|
38,586
|
|
|
1%
|
|
38,114
|
|
|
||||
|
Income tax expense
|
9,352
|
|
|
nm
|
|
30
|
|
|
7,712
|
|
|
nm
|
|
1,155
|
|
|
||||
|
Total
|
$
|
37,079
|
|
|
nm
|
|
$
|
8,464
|
|
|
$
|
63,439
|
|
|
18%
|
|
$
|
53,895
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Three months ended September 30,
|
|
Nine months ended September 30,
|
|
||||||||||||||||
|
|
2016
|
|
% Change
|
|
2015
|
|
2016
|
|
% Change
|
|
2015
|
|
||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
Fixed maturities
|
$
|
75,827
|
|
|
—%
|
|
$
|
75,980
|
|
|
$
|
229,423
|
|
|
4%
|
|
$
|
220,066
|
|
|
|
Other investments
|
38,248
|
|
|
nm
|
|
(27,421
|
)
|
|
25,770
|
|
|
46%
|
|
17,616
|
|
|
||||
|
Equity securities
|
4,633
|
|
|
34%
|
|
3,445
|
|
|
12,843
|
|
|
65%
|
|
7,795
|
|
|
||||
|
Mortgage loans
|
2,191
|
|
|
nm
|
|
482
|
|
|
5,683
|
|
|
nm
|
|
776
|
|
|
||||
|
Cash and cash equivalents
|
3,768
|
|
|
nm
|
|
993
|
|
|
7,071
|
|
|
88%
|
|
3,770
|
|
|
||||
|
Short-term investments
|
337
|
|
|
nm
|
|
83
|
|
|
708
|
|
|
156%
|
|
277
|
|
|
||||
|
Gross investment income
|
125,004
|
|
|
133%
|
|
53,562
|
|
|
281,498
|
|
|
12%
|
|
250,300
|
|
|
||||
|
Investment expense
|
(8,081
|
)
|
|
3%
|
|
(7,877
|
)
|
|
(23,680
|
)
|
|
(1%)
|
|
(23,964
|
)
|
|
||||
|
Net investment income
|
$
|
116,923
|
|
|
156%
|
|
$
|
45,685
|
|
|
$
|
257,818
|
|
|
14%
|
|
$
|
226,336
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
Pre-tax yield:
(1)
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
Fixed maturities
|
2.7%
|
|
|
|
2.5%
|
|
2.6%
|
|
|
|
2.4%
|
|
||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1)
|
Pre-tax yield is annualized and calculated as net investment income divided by the average month-end amortized cost balances for the periods indicated.
|
|
|
Three months ended September 30,
|
|
Nine months ended September 30,
|
|
||||||||||||
|
|
2016
|
|
2015
|
|
2016
|
|
2015
|
|
||||||||
|
|
|
|
|
|
|
|
|
|
||||||||
|
Hedge, direct lending, private equity and real estate funds
|
$
|
29,459
|
|
|
$
|
(23,483
|
)
|
|
$
|
6,127
|
|
|
$
|
10,357
|
|
|
|
Other privately held investments
|
370
|
|
|
—
|
|
|
177
|
|
|
—
|
|
|
||||
|
CLO - Equities
|
8,419
|
|
|
(3,938
|
)
|
|
19,466
|
|
|
7,259
|
|
|
||||
|
Total net investment income from other investments
|
$
|
38,248
|
|
|
$
|
(27,421
|
)
|
|
$
|
25,770
|
|
|
$
|
17,616
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
Pre-tax return on other investments
(1)
|
4.5
|
%
|
|
(3.3
|
%)
|
|
3.1
|
%
|
|
2.0
|
%
|
|
||||
|
|
|
|
|
|
|
|
|
|
(1)
|
The pre-tax return on other investments is non-annualized and calculated by dividing total net investment income from other investments by the average month-end fair value balances held for the periods indicated.
|
|
|
Three months ended September 30,
|
|
Nine months ended September 30,
|
|
||||||||||||
|
|
2016
|
|
2015
|
|
2016
|
|
2015
|
|
||||||||
|
|
|
|
|
|
|
|
|
|
||||||||
|
On sale of investments:
|
|
|
|
|
|
|
|
|
||||||||
|
Fixed maturities and short-term investments
|
$
|
4,303
|
|
|
$
|
(42,741
|
)
|
|
$
|
(22,869
|
)
|
|
$
|
(66,579
|
)
|
|
|
Equity securities
|
4,994
|
|
|
(1,327
|
)
|
|
2,881
|
|
|
(1,505
|
)
|
|
||||
|
|
9,297
|
|
|
(44,068
|
)
|
|
(19,988
|
)
|
|
(68,084
|
)
|
|
||||
|
OTTI charges recognized in earnings
|
(4,247
|
)
|
|
(32,301
|
)
|
|
(20,346
|
)
|
|
(62,762
|
)
|
|
||||
|
Change in fair value of investment derivatives
|
155
|
|
|
6,412
|
|
|
39
|
|
|
7,228
|
|
|
||||
|
Net realized investment gains (losses)
|
$
|
5,205
|
|
|
$
|
(69,957
|
)
|
|
$
|
(40,295
|
)
|
|
$
|
(123,618
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Three months ended September 30,
|
|
Nine months ended September 30,
|
|
||||||||||||
|
|
2016
|
|
2015
|
|
2016
|
|
2015
|
|
||||||||
|
|
|
|
|
|
|
|
|
|
||||||||
|
Net investment income
|
$
|
116,923
|
|
|
$
|
45,685
|
|
|
$
|
257,818
|
|
|
$
|
226,336
|
|
|
|
Net realized investments gains (losses)
|
5,205
|
|
|
(69,957
|
)
|
|
(40,295
|
)
|
|
(123,618
|
)
|
|
||||
|
Change in net unrealized gains (losses)
|
35,075
|
|
|
(26,441
|
)
|
|
303,573
|
|
|
(52,965
|
)
|
|
||||
|
Interest in loss of equity method investments
|
(2,434
|
)
|
|
—
|
|
|
(2,434
|
)
|
|
—
|
|
|
||||
|
Total
|
$
|
154,769
|
|
|
$
|
(50,713
|
)
|
|
$
|
518,662
|
|
|
$
|
49,753
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
Average cash and investments
(1)
|
$
|
14,470,231
|
|
|
$
|
14,893,376
|
|
|
$
|
14,457,978
|
|
|
$
|
14,919,752
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
Total return on average cash and investments, pre-tax:
|
|
|
|
|
|
|
|
|
||||||||
|
Inclusive of investment related foreign exchange movements
|
1.1
|
%
|
|
(0.3
|
%)
|
|
3.6
|
%
|
|
0.3
|
%
|
|
||||
|
Exclusive of investment related foreign exchange movements
|
1.1
|
%
|
|
(0.1
|
%)
|
|
3.9
|
%
|
|
0.9
|
%
|
|
||||
|
|
|
|
|
|
|
|
|
|
(1)
|
The average cash and investments balance is calculated by taking the average of the month-end fair value balances held for the periods indicated.
|
|
|
September 30, 2016
|
|
December 31, 2015
|
|
||||||
|
|
|
Fair Value
|
|
|
Fair Value
|
|
||||
|
|
|
|
|
|
|
|
||||
|
Fixed maturities
|
|
$
|
11,566,860
|
|
|
|
$
|
11,719,749
|
|
|
|
Equities
|
|
644,344
|
|
|
|
597,998
|
|
|
||
|
Mortgage loans
|
|
332,753
|
|
|
|
206,277
|
|
|
||
|
Other investments
|
|
847,262
|
|
|
|
816,756
|
|
|
||
|
Equity method investments
|
|
111,295
|
|
|
|
10,932
|
|
|
||
|
Short-term investments
|
|
39,877
|
|
|
|
34,406
|
|
|
||
|
Total investments
|
|
$
|
13,542,391
|
|
|
|
$
|
13,386,118
|
|
|
|
|
|
|
|
|
|
|
||||
|
Cash and cash equivalents
(1)
|
|
$
|
1,077,263
|
|
|
|
$
|
1,174,751
|
|
|
|
|
|
|
|
|
|
|
(1)
|
Includes restricted cash and cash equivalents of
$229 million
and
$187 million
at
September 30, 2016
and at
December 31, 2015
, respectively.
|
|
|
September 30, 2016
|
|
December 31, 2015
|
|
||||||||||
|
|
Fair Value
|
|
% of Total
|
|
Fair Value
|
|
% of Total
|
|
||||||
|
|
|
|
|
|
|
|
|
|
||||||
|
Fixed maturities:
|
|
|
|
|
|
|
|
|
||||||
|
U.S. government and agency
|
$
|
1,562,877
|
|
|
14
|
%
|
|
$
|
1,651,949
|
|
|
14
|
%
|
|
|
Non-U.S. government
|
582,056
|
|
|
5
|
%
|
|
739,005
|
|
|
6
|
%
|
|
||
|
Corporate debt
|
4,568,500
|
|
|
39
|
%
|
|
4,362,769
|
|
|
37
|
%
|
|
||
|
Agency RMBS
|
2,522,731
|
|
|
22
|
%
|
|
2,249,236
|
|
|
19
|
%
|
|
||
|
CMBS
|
894,275
|
|
|
8
|
%
|
|
1,083,298
|
|
|
9
|
%
|
|
||
|
Non-Agency RMBS
|
71,830
|
|
|
—
|
%
|
|
101,008
|
|
|
1
|
%
|
|
||
|
ABS
|
1,235,596
|
|
|
11
|
%
|
|
1,371,270
|
|
|
12
|
%
|
|
||
|
Municipals
(1)
|
128,995
|
|
|
1
|
%
|
|
161,214
|
|
|
2
|
%
|
|
||
|
Total
|
$
|
11,566,860
|
|
|
100
|
%
|
|
$
|
11,719,749
|
|
|
100
|
%
|
|
|
|
|
|
|
|
|
|
|
|
||||||
|
Credit ratings:
|
|
|
|
|
|
|
|
|
||||||
|
U.S. government and agency
|
$
|
1,562,877
|
|
|
14
|
%
|
|
$
|
1,651,949
|
|
|
14
|
%
|
|
|
AAA
(2)
|
4,359,640
|
|
|
38
|
%
|
|
4,266,673
|
|
|
36
|
%
|
|
||
|
AA
|
1,165,958
|
|
|
10
|
%
|
|
1,273,941
|
|
|
11
|
%
|
|
||
|
A
|
1,770,161
|
|
|
15
|
%
|
|
2,065,192
|
|
|
18
|
%
|
|
||
|
BBB
|
1,607,798
|
|
|
14
|
%
|
|
1,442,938
|
|
|
12
|
%
|
|
||
|
Below BBB
(3)
|
1,100,426
|
|
|
9
|
%
|
|
1,019,056
|
|
|
9
|
%
|
|
||
|
Total
|
$
|
11,566,860
|
|
|
100
|
%
|
|
$
|
11,719,749
|
|
|
100
|
%
|
|
|
|
|
|
|
|
|
|
|
|
(1)
|
Includes bonds issued by states, municipalities, and political subdivisions.
|
(2)
|
Includes U.S. government-sponsored agency RMBS and CMBS.
|
(3)
|
Non-investment grade and non-rated securities.
|
|
|
|
|
|
|
|
|
|
|
||||||
|
|
September 30, 2016
|
|
December 31, 2015
|
|
||||||||||
|
|
|
|
|
|
|
|
|
|
||||||
|
Hedge funds
|
|
|
|
|
|
|
|
|
||||||
|
Long/short equity funds
|
$
|
139,460
|
|
|
16
|
%
|
|
$
|
154,348
|
|
|
19
|
%
|
|
|
Multi-strategy funds
|
281,153
|
|
|
33
|
%
|
|
355,073
|
|
|
43
|
%
|
|
||
|
Event-driven funds
|
94,012
|
|
|
11
|
%
|
|
147,287
|
|
|
18
|
%
|
|
||
|
Leveraged bank loan funds
|
—
|
|
|
—
|
%
|
|
65
|
|
|
—
|
%
|
|
||
|
Total hedge funds
|
514,625
|
|
|
60
|
%
|
|
656,773
|
|
|
80
|
%
|
|
||
|
|
|
|
|
|
|
|
|
|
||||||
|
Direct lending funds
|
125,002
|
|
|
15
|
%
|
|
90,120
|
|
|
11
|
%
|
|
||
|
Private equity funds
|
89,170
|
|
|
11
|
%
|
|
—
|
|
|
—
|
%
|
|
||
|
Real estate funds
|
11,782
|
|
|
1
|
%
|
|
4,929
|
|
|
1
|
%
|
|
||
|
Total hedge, direct lending and real estate funds
|
740,579
|
|
|
87
|
%
|
|
751,822
|
|
|
92
|
%
|
|
||
|
|
|
|
|
|
|
|
|
|
||||||
|
Other privately held investments
|
42,900
|
|
|
5
|
%
|
|
—
|
|
|
—
|
%
|
|
||
|
CLO - Equities
|
63,783
|
|
|
8
|
%
|
|
64,934
|
|
|
8
|
%
|
|
||
|
Total other investments
|
$
|
847,262
|
|
|
100
|
%
|
|
$
|
816,756
|
|
|
100
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
September 30, 2016
|
|
December 31, 2015
|
|
||||
|
|
|
|
|
|
||||
|
Senior notes
|
$
|
992,633
|
|
|
$
|
991,825
|
|
|
|
|
|
|
|
|
||||
|
Preferred shares
|
625,000
|
|
|
627,843
|
|
|
||
|
Common equity
|
5,400,658
|
|
|
5,239,039
|
|
|
||
|
Shareholders’ equity
|
6,025,658
|
|
|
5,866,882
|
|
|
||
|
Total capital
|
$
|
7,018,291
|
|
|
$
|
6,858,707
|
|
|
|
|
|
|
|
|
||||
|
Ratio of debt to total capital
|
14.1
|
%
|
|
14.5
|
%
|
|
||
|
|
|
|
|
|
||||
|
Ratio of debt and preferred equity to total capital
|
23.0
|
%
|
|
23.6
|
%
|
|
||
|
|
|
|
|
|
|
Nine months ended September 30,
|
2016
|
|
||
|
|
|
|
||
|
Common equity - opening
|
$
|
5,239,039
|
|
|
|
Net income
|
364,460
|
|
|
|
|
Shares repurchased for treasury
|
(449,086
|
)
|
|
|
|
Change in unrealized appreciation on available for sale investments, net of tax
|
281,276
|
|
|
|
|
Settlement of accelerated share repurchase
|
60,000
|
|
|
|
|
Common share dividends
|
(98,334
|
)
|
|
|
|
Preferred share dividends
|
(29,906
|
)
|
|
|
|
Share-based compensation expense recognized in equity
|
26,129
|
|
|
|
|
Foreign currency translation adjustment
|
5,694
|
|
|
|
|
Cost of treasury shares reissued
|
1,386
|
|
|
|
|
Common equity - closing
|
$
|
5,400,658
|
|
|
|
|
|
|
•
|
reserves for losses and loss expenses;
|
•
|
reinsurance recoverable balances;
|
•
|
premiums;
|
•
|
fair value measurements for our financial assets and liabilities; and
|
•
|
assessments of other-than-temporary impairments.
|
|
|
Three months ended September 30,
|
|
Nine months ended September 30,
|
|
||||||||||||
|
|
2016
|
|
2015
|
|
2016
|
|
2015
|
|
||||||||
|
|
|
|
|
|
|
|
|
|
||||||||
|
Net income available to common shareholders
|
$
|
176,644
|
|
|
$
|
247,620
|
|
|
$
|
334,554
|
|
|
$
|
466,772
|
|
|
|
Net realized investment (gains) losses, net of tax
(1)
|
(2,726
|
)
|
|
67,897
|
|
|
42,667
|
|
|
119,442
|
|
|
||||
|
Foreign exchange gains, net of tax
(2)
|
(13,229
|
)
|
|
(27,410
|
)
|
|
(67,771
|
)
|
|
(68,456
|
)
|
|
||||
|
Termination fee received
(3)
|
—
|
|
|
(280,000
|
)
|
|
—
|
|
|
(280,000
|
)
|
|
||||
|
Reorganization and related expenses, net of tax
(4)
|
—
|
|
|
42,924
|
|
|
—
|
|
|
42,924
|
|
|
||||
|
Operating income
|
$
|
160,689
|
|
|
$
|
51,031
|
|
|
$
|
309,450
|
|
|
$
|
280,682
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
Earnings per common share - diluted
|
$
|
1.96
|
|
|
$
|
2.50
|
|
|
$
|
3.61
|
|
|
$
|
4.65
|
|
|
|
Net realized investment (gains) losses, net of tax
|
(0.03
|
)
|
|
0.68
|
|
|
0.46
|
|
|
1.19
|
|
|
||||
|
Foreign exchange gains, net of tax
|
(0.15
|
)
|
|
(0.28
|
)
|
|
(0.73
|
)
|
|
(0.69
|
)
|
|
||||
|
Termination fee received
|
—
|
|
|
(2.82
|
)
|
|
—
|
|
|
(2.79
|
)
|
|
||||
|
Reorganization and related expenses, net of tax
|
—
|
|
|
0.43
|
|
|
—
|
|
|
0.43
|
|
|
||||
|
Operating income per common share - diluted
|
$
|
1.78
|
|
|
$
|
0.51
|
|
|
$
|
3.34
|
|
|
$
|
2.79
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
Weighted average common shares and common share equivalents - diluted
(5)
|
90,351
|
|
|
99,124
|
|
|
92,579
|
|
|
100,468
|
|
|
||||
|
|
|
|
|
|
|
|
|
|
||||||||
|
Average common shareholders’ equity
|
$
|
5,369,921
|
|
|
$
|
5,259,619
|
|
|
$
|
5,319,849
|
|
|
$
|
5,195,901
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
ROACE (annualized)
|
13.2
|
%
|
|
18.8
|
%
|
|
8.4
|
%
|
|
12.0
|
%
|
|
||||
|
|
|
|
|
|
|
|
|
|
||||||||
|
Operating ROACE (annualized)
|
12.0
|
%
|
|
3.9
|
%
|
|
7.8
|
%
|
|
7.2
|
%
|
|
||||
|
|
|
|
|
|
|
|
|
|
(1)
|
Tax cost (benefit) of
$2,479
and
($2,060)
for the three months ended
September 30, 2016
and
2015
, respectively, and
$2,372
and
($4,176)
for the nine months ended September 30, 2016 and 2015, respectively. Tax impact is estimated by applying the statutory rates of applicable jurisdictions, after consideration of other relevant factors including the ability to utilize capital losses.
|
(2)
|
Tax cost of
$566
and
$678
for the three months ended
September 30, 2016
and
2015
, respectively, and
$2,010
and
$744
for the nine months ended September 30, 2016 and 2015, respectively. Tax impact is estimated by applying the statutory rates of applicable jurisdictions, after consideration of other relevant factors including the tax status of specific foreign exchange transactions.
|
(3)
|
Tax impact is nil.
|
(4)
|
Tax benefit of nil and
$2,943
for the three months ended September 30, 2016 and 2015, respectively, and nil and
$2,943
for the nine months ended September 30, 2016 and 2015, respectively. Tax impact is estimated by applying the statutory rates of applicable jurisdictions, reflecting the jurisdictional apportionment and related tax treatment of the individual components of the reorganization and related expenses.
|
(5)
|
Refer to Item 1, Note 8 to our Consolidated Financial Statements for further details on the dilution calculation.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
|
|
AUD
|
|
NZD
|
|
CAD
|
|
EUR
|
|
GBP
|
|
JPY
|
|
Other
|
|
Total
|
|
||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
|
At September 30, 2016
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
|
Net managed assets (liabilities), excluding derivatives
|
$
|
85,933
|
|
|
$
|
(6,574
|
)
|
|
$
|
74,859
|
|
|
$
|
(159,487
|
)
|
|
$
|
(59,745
|
)
|
|
$
|
21,593
|
|
|
$
|
132,185
|
|
|
$
|
88,764
|
|
|
|
Foreign currency derivatives, net
|
(79,700
|
)
|
|
7,287
|
|
|
(80,621
|
)
|
|
204,334
|
|
|
5,836
|
|
|
(26,126
|
)
|
|
11,790
|
|
|
42,800
|
|
|
||||||||
|
Net managed foreign currency exposure
|
6,233
|
|
|
713
|
|
|
(5,762
|
)
|
|
44,847
|
|
|
(53,909
|
)
|
|
(4,533
|
)
|
|
143,975
|
|
|
131,564
|
|
|
||||||||
|
Other net foreign currency exposure
|
2,060
|
|
|
—
|
|
|
—
|
|
|
22,881
|
|
|
1,011
|
|
|
—
|
|
|
68,969
|
|
|
94,921
|
|
|
||||||||
|
Total net foreign currency exposure
|
$
|
8,293
|
|
|
$
|
713
|
|
|
$
|
(5,762
|
)
|
|
$
|
67,728
|
|
|
$
|
(52,898
|
)
|
|
$
|
(4,533
|
)
|
|
$
|
212,944
|
|
|
$
|
226,485
|
|
|
|
Net foreign currency exposure as a percentage of total shareholders’ equity
|
0.1
|
%
|
|
—
|
%
|
|
(0.1
|
%)
|
|
1.1
|
%
|
|
(0.9
|
%)
|
|
(0.1
|
%)
|
|
3.5
|
%
|
|
3.8
|
%
|
|
||||||||
|
Pre-tax impact of net foreign currency exposure on shareholders’ equity given a hypothetical 10% rate movement
(1)
|
$
|
829
|
|
|
$
|
71
|
|
|
$
|
(576
|
)
|
|
$
|
6,773
|
|
|
$
|
(5,290
|
)
|
|
$
|
(453
|
)
|
|
$
|
21,294
|
|
|
$
|
22,648
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1)
|
Assumes 10% change in underlying currencies relative to the U.S. dollar.
|
Period
|
Total Number
of Shares
Purchased
|
Average
Price Paid
Per Share
|
Total Number of Shares
Purchased as Part of
Publicly Announced
Plans or Programs
(1)
|
Maximum Number (or Approximate
Dollar Value) of Shares That May Yet Be
Purchased Under the Announced Plans
or Programs
(2)
|
|
||||
|
|
|
|
|
|
||||
July 1-31, 2016
|
127
|
|
|
$55.45
|
|
108
|
|
$494.0 million
|
|
August 1-31, 2016
|
1,552
|
|
|
$55.88
|
|
1,552
|
|
$407.3 million
|
|
September 1-30, 2016
|
572
|
|
|
$56.36
|
|
571
|
|
$375.1 million
|
|
Total
|
2,251
|
|
|
2,231
|
|
$375.1 million
|
|
||
|
|
|
|
|
|
(1)
|
From time to time, we purchase shares in connection with the vesting of restricted stock awards granted to our employees under our 2007 Long-Term Equity Compensation Plan. The purchase of these shares is separately authorized and is not part of our Board-authorized share repurchase program, described below.
|
(2)
|
On December 7, 2015, our Board of Directors authorized a share repurchase plan to repurchase up to $750 million of our common shares through to December 31, 2016. The share repurchase authorization which became effective on December 31, 2015, replaced the previous plan which had $444 million available through the end of 2016. Share repurchases may be effected from time to time in the open market or privately negotiated transactions, depending on market conditions.
|
3.1
|
|
Certificate of Incorporation and Memorandum of Association (incorporated by reference to Exhibit 3.1 to the Company’s Registration Statement on Form S-1(Amendment No. 1) (No. 333-103620) filed on April 16, 2003).
|
3.2
|
|
Amended and Restated Bye-Laws (incorporated by reference to Exhibit 4.2 to the Company’s Registration Statement on Form S-8 filed on May 15, 2009).
|
4.1
|
|
Specimen Common Share Certificate (incorporated by reference to Exhibit 4.1 to the Company’s Registration Statement on Form S-1 (Amendment No. 3) (No. 333-103620) filed on June 10, 2003).
|
4.2
|
|
Certificate of Designations establishing the specific rights, preferences, limitations and other terms of the Series C Preferred Shares (incorporated by reference to Exhibit 3.1 to the Company's Current Report on Form 8-K filed on March 19, 2012).
|
4.3
|
|
Certificate of Designations establishing the specific rights, preferences, limitations and other terms of the Series D Preferred Shares (incorporated by reference to Exhibit 3.1 to the Company's Current Report on Form 8-K filed on May 20, 2013).
|
10.1
|
|
Amendment No. 1 to Employment Agreement dated June 23, 2014 by and between Peter W. Wilson and AXIS Specialty U.S. Services, Inc. effective September 21, 2016 (incorporated by reference to Exhibit 10.1 to the Company's Current Report on Form 8-K filed on September 27, 2016).
|
†31.1
|
|
Certification of Chief Executive Officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.
|
†31.2
|
|
Certification of Chief Financial Officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.
|
†32.1
|
|
Certification of Chief Executive Officer pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.
|
†32.2
|
|
Certification of Chief Financial Officer pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.
|
†101
|
|
The following financial information from AXIS Capital Holdings Limited’s Quarterly Report on Form 10-Q for the quarter ended September 30, 2016 formatted in XBRL: (i) Consolidated Balance Sheets at September 30, 2016 and December 31, 2015; (ii) Consolidated Statements of Operations for the three and nine months ended September 30, 2016 and 2015; (iii) Consolidated Statements of Comprehensive Income for the three and nine months ended September 30, 2016 and 2015; (iv) Consolidated Statements of Changes in Shareholders' Equity for the nine months ended September 30, 2016 and 2015; (v) Consolidated Statements of Cash Flows for the nine months ended September 30, 2016 and 2015; and (vi) Notes to Consolidated Financial Statements, tagged as blocks of text and in detail.
|
†
|
Filed herewith.
|
AXIS CAPITAL HOLDINGS LIMITED
|
|
By:
|
/
S
/
ALBERT BENCHIMOL
|
|
Albert Benchimol
|
|
President and Chief Executive Officer
|
|
|
|
/
S
/
JOSEPH HENRY
|
|
Joseph Henry
|
|
Executive Vice President and Chief Financial Officer
|
|
(Principal Financial Officer)
|
1.
|
I have reviewed this Quarterly Report on Form 10-Q of AXIS Capital Holdings Limited for the period ended
September 30, 2016
;
|
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.
|
|
|
/
S
/ ALBERT BENCHIMOL
|
Date:
|
October 27, 2016
|
Albert Benchimol
President and Chief Executive Officer
|
1.
|
I have reviewed this Quarterly Report on Form 10-Q of AXIS Capital Holdings Limited for the period ended
September 30, 2016
;
|
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.
|
|
|
/S/ JOSEPH HENRY
|
Date:
|
October 27, 2016
|
Joseph Henry
Executive Vice President and Chief Financial Officer
|
(1)
|
The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and
|
(2)
|
The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company.
|
Date:
|
October 27, 2016
|
/s/ ALBERT BENCHIMOL
|
|
|
Albert Benchimol
|
|
|
President and Chief Executive Officer
|
(1)
|
The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and
|
(2)
|
The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company.
|
Date:
|
October 27, 2016
|
/s/ JOSEPH HENRY
|
|
|
Joseph Henry
|
|
|
Executive Vice President and Chief Financial Officer
|