x
|
QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
|
|
|
|
For the quarterly period ended June 30, 2012
|
¨
|
TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
|
|
|
|
For the transition period from to
|
CAYMAN ISLANDS
|
N/A
|
(State or other jurisdiction of incorporation or organization)
|
(I.R.S. employer identification no.)
|
65 MARKET STREET
SUITE 1207, CAMANA BAY
P.O. BOX 31110
GRAND CAYMAN
CAYMAN ISLANDS
|
KY1-1205
|
(Address of principal executive offices)
|
(Zip code)
|
Class A Ordinary Shares, $0.10 par value
|
30,423,704
|
Class B Ordinary Shares, $0.10 par value
|
6,254,949
|
(Class)
|
(Outstanding as of July 27, 2012)
|
|
|
Page
|
|
||
|
||
|
||
|
||
|
||
|
June 30, 2012
|
|
December 31, 2011
|
||||
|
(unaudited)
|
|
(audited)
|
||||
Assets
|
|
|
|
||||
Investments
|
|
|
|
||||
Debt instruments, trading, at fair value
|
$
|
9,088
|
|
|
$
|
10,639
|
|
Equity securities, trading, at fair value
|
1,058,729
|
|
|
890,822
|
|
||
Other investments, at fair value
|
138,513
|
|
|
128,685
|
|
||
Total investments
|
1,206,330
|
|
|
1,030,146
|
|
||
Cash and cash equivalents
|
11,262
|
|
|
42,284
|
|
||
Restricted cash and cash equivalents
|
922,889
|
|
|
957,462
|
|
||
Financial contracts receivable, at fair value
|
23,972
|
|
|
23,673
|
|
||
Reinsurance balances receivable
|
179,958
|
|
|
141,278
|
|
||
Loss and loss adjustment expenses recoverable
|
36,911
|
|
|
29,758
|
|
||
Deferred acquisition costs, net
|
60,321
|
|
|
68,725
|
|
||
Unearned premiums ceded
|
11,929
|
|
|
27,233
|
|
||
Notes receivable
|
19,082
|
|
|
17,437
|
|
||
Other assets
|
4,755
|
|
|
5,492
|
|
||
Total assets
|
$
|
2,477,409
|
|
|
$
|
2,343,488
|
|
Liabilities and equity
|
|
|
|
||||
Liabilities
|
|
|
|
||||
Securities sold, not yet purchased, at fair value
|
$
|
663,542
|
|
|
$
|
683,816
|
|
Financial contracts payable, at fair value
|
12,972
|
|
|
6,324
|
|
||
Due to prime brokers
|
365,007
|
|
|
260,359
|
|
||
Loss and loss adjustment expense reserves
|
294,647
|
|
|
241,279
|
|
||
Unearned premium reserves
|
208,766
|
|
|
225,735
|
|
||
Reinsurance balances payable
|
37,947
|
|
|
32,192
|
|
||
Funds withheld
|
33,185
|
|
|
38,031
|
|
||
Other liabilities
|
7,777
|
|
|
10,054
|
|
||
Performance compensation payable to related party
|
7,870
|
|
|
—
|
|
||
Total liabilities
|
1,631,713
|
|
|
1,497,790
|
|
||
Equity
|
|
|
|
||||
Preferred share capital (par value $0.10; authorized, 50,000,000; none issued)
|
—
|
|
|
—
|
|
||
Ordinary share capital (Class A: par value $0.10; authorized, 100,000,000; issued and outstanding, 30,423,704 (2011: 30,283,200): Class B: par value $0.10; authorized, 25,000,000; issued and outstanding, 6,254,949 (2011: 6,254,949))
|
3,668
|
|
|
3,654
|
|
||
Additional paid-in capital
|
490,215
|
|
|
488,478
|
|
||
Retained earnings
|
340,035
|
|
|
310,971
|
|
||
Shareholders’ equity attributable to shareholders
|
833,918
|
|
|
803,103
|
|
||
Non-controlling interest in joint venture
|
11,778
|
|
|
42,595
|
|
||
Total equity
|
845,696
|
|
|
845,698
|
|
||
Total liabilities and equity
|
$
|
2,477,409
|
|
|
$
|
2,343,488
|
|
|
Three months ended June 30,
|
|
Six months ended June 30,
|
||||||||||||
|
2012
|
|
2011
|
|
2012
|
|
2011
|
||||||||
Revenues
|
|
|
|
|
|
|
|
||||||||
Gross premiums written
|
$
|
83,986
|
|
|
$
|
113,266
|
|
|
$
|
236,206
|
|
|
$
|
214,005
|
|
Gross premiums ceded
|
4,602
|
|
|
(17,183
|
)
|
|
(6,393
|
)
|
|
(20,659
|
)
|
||||
Net premiums written
|
88,588
|
|
|
96,083
|
|
|
229,813
|
|
|
193,346
|
|
||||
Change in net unearned premium reserves
|
41,426
|
|
|
11,068
|
|
|
1,789
|
|
|
18,962
|
|
||||
Net premiums earned
|
130,014
|
|
|
107,151
|
|
|
231,602
|
|
|
212,308
|
|
||||
Net investment income (loss)
|
(36,896
|
)
|
|
(19,469
|
)
|
|
34,711
|
|
|
(55,645
|
)
|
||||
Other income (expense), net
|
(236
|
)
|
|
(86
|
)
|
|
(448
|
)
|
|
(347
|
)
|
||||
Total revenues
|
92,882
|
|
|
87,596
|
|
|
265,865
|
|
|
156,316
|
|
||||
Expenses
|
|
|
|
|
|
|
|
||||||||
Loss and loss adjustment expenses incurred, net
|
87,337
|
|
|
56,870
|
|
|
150,644
|
|
|
122,595
|
|
||||
Acquisition costs, net
|
37,905
|
|
|
42,824
|
|
|
73,930
|
|
|
84,945
|
|
||||
General and administrative expenses
|
4,359
|
|
|
4,336
|
|
|
8,982
|
|
|
9,335
|
|
||||
Total expenses
|
129,601
|
|
|
104,030
|
|
|
233,556
|
|
|
216,875
|
|
||||
Income (loss) before income tax expense
|
(36,719
|
)
|
|
(16,434
|
)
|
|
32,309
|
|
|
(60,559
|
)
|
||||
Income tax benefit (expense)
|
201
|
|
|
(40
|
)
|
|
(62
|
)
|
|
(41
|
)
|
||||
Net income (loss) including non-controlling interest
|
(36,518
|
)
|
|
(16,474
|
)
|
|
32,247
|
|
|
(60,600
|
)
|
||||
(Income) loss attributable to non-controlling interest in joint venture
|
449
|
|
|
513
|
|
|
(3,183
|
)
|
|
1,649
|
|
||||
Net income (loss)
|
$
|
(36,069
|
)
|
|
$
|
(15,961
|
)
|
|
$
|
29,064
|
|
|
$
|
(58,951
|
)
|
Earnings (loss) per share
|
|
|
|
|
|
|
|
||||||||
Basic
|
$
|
(0.98
|
)
|
|
$
|
(0.44
|
)
|
|
$
|
0.80
|
|
|
$
|
(1.63
|
)
|
Diluted
|
$
|
(0.98
|
)
|
|
$
|
(0.44
|
)
|
|
$
|
0.78
|
|
|
$
|
(1.63
|
)
|
Weighted average number of ordinary shares used in the determination of earnings (loss) per share
|
|
|
|
|
|
|
|
||||||||
Basic
|
36,660,267
|
|
|
36,153,743
|
|
|
36,605,610
|
|
|
36,153,743
|
|
||||
Diluted
|
36,660,267
|
|
|
36,153,743
|
|
|
37,338,484
|
|
|
36,153,743
|
|
|
Ordinary share capital
|
|
Additional paid-in capital
|
|
Retained earnings
|
|
Shareholders' Equity Attributable to Shareholders
|
|
Non-controlling
interest in joint venture |
|
Total Equity
|
||||||||||||
Balance at December 31, 2010
|
$
|
3,646
|
|
|
$
|
485,555
|
|
|
$
|
304,202
|
|
|
$
|
793,403
|
|
|
$
|
45,758
|
|
|
$
|
839,161
|
|
Issue of Class A ordinary shares, net of forfeitures
|
12
|
|
|
—
|
|
|
—
|
|
|
12
|
|
|
—
|
|
|
12
|
|
||||||
Share-based compensation expense, net of forfeitures
|
—
|
|
|
2,012
|
|
|
—
|
|
|
2,012
|
|
|
—
|
|
|
2,012
|
|
||||||
Non-controlling interest withdrawal from joint venture, net
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(10,400
|
)
|
|
(10,400
|
)
|
||||||
Income (loss) attributable to non-controlling interest in joint venture
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(1,649
|
)
|
|
(1,649
|
)
|
||||||
Net income (loss)
|
—
|
|
|
—
|
|
|
(58,951
|
)
|
|
(58,951
|
)
|
|
—
|
|
|
(58,951
|
)
|
||||||
Balance at June 30, 2011
|
$
|
3,658
|
|
|
$
|
487,567
|
|
|
$
|
245,251
|
|
|
$
|
736,476
|
|
|
$
|
33,709
|
|
|
$
|
770,185
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Balance at December 31, 2011
|
$
|
3,654
|
|
|
$
|
488,478
|
|
|
$
|
310,971
|
|
|
$
|
803,103
|
|
|
$
|
42,595
|
|
|
$
|
845,698
|
|
Issue of Class A ordinary shares, net of forfeitures
|
14
|
|
|
—
|
|
|
—
|
|
|
14
|
|
|
—
|
|
|
14
|
|
||||||
Share-based compensation expense, net of forfeitures
|
—
|
|
|
1,737
|
|
|
—
|
|
|
1,737
|
|
|
—
|
|
|
1,737
|
|
||||||
Non-controlling interest withdrawal from joint venture, net
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(34,000
|
)
|
|
(34,000
|
)
|
||||||
Income (loss) attributable to non-controlling interest in joint venture
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
3,183
|
|
|
3,183
|
|
||||||
Net income (loss)
|
—
|
|
|
—
|
|
|
29,064
|
|
|
29,064
|
|
|
—
|
|
|
29,064
|
|
||||||
Balance at June 30, 2012
|
$
|
3,668
|
|
|
$
|
490,215
|
|
|
$
|
340,035
|
|
|
$
|
833,918
|
|
|
$
|
11,778
|
|
|
$
|
845,696
|
|
|
Six months ended June 30,
|
||||
|
2012
|
|
2011
|
||
Cash provided by (used in) operating activities
|
|
|
|
||
Net income (loss)
|
29,064
|
|
|
(58,951
|
)
|
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities
|
|
|
|
||
Net change in unrealized gains and losses on investments and financial contracts
|
(62,309
|
)
|
|
92,833
|
|
Net realized (gains) losses on investments and financial contracts
|
5,513
|
|
|
(57,394
|
)
|
Foreign exchange (gains) losses on restricted cash and cash equivalents
|
1,208
|
|
|
7,630
|
|
Income (loss) attributable to non-controlling interest in joint venture
|
3,183
|
|
|
(1,649
|
)
|
Share-based compensation expense, net of forfeitures
|
1,751
|
|
|
2,024
|
|
Depreciation expense
|
125
|
|
|
112
|
|
Net change in
|
|
|
|
||
Reinsurance balances receivable
|
(38,680
|
)
|
|
(8,862
|
)
|
Loss and loss adjustment expenses recoverable
|
(7,153
|
)
|
|
(3,260
|
)
|
Deferred acquisition costs, net
|
8,404
|
|
|
6,764
|
|
Unearned premiums ceded
|
15,304
|
|
|
(10,735
|
)
|
Other assets
|
612
|
|
|
(1,590
|
)
|
Loss and loss adjustment expense reserves
|
53,368
|
|
|
32,151
|
|
Unearned premium reserves
|
(16,969
|
)
|
|
(8,068
|
)
|
Reinsurance balances payable
|
5,755
|
|
|
7,988
|
|
Funds withheld
|
(4,846
|
)
|
|
4,364
|
|
Other liabilities
|
(2,277
|
)
|
|
(1,413
|
)
|
Performance compensation payable to related party
|
7,870
|
|
|
—
|
|
Net cash (used in) provided by operating activities
|
(77
|
)
|
|
1,944
|
|
Investing activities
|
|
|
|
||
Purchases of investments and financial contracts
|
(809,588
|
)
|
|
(800,629
|
)
|
Sales of investments and financial contracts
|
676,275
|
|
|
727,485
|
|
Change in due to prime brokers
|
104,648
|
|
|
36,421
|
|
Change in restricted cash and cash equivalents, net
|
33,365
|
|
|
13,000
|
|
Change in notes receivable, net
|
(1,645
|
)
|
|
(3,750
|
)
|
Non-controlling interest withdrawal from joint venture
|
(34,000
|
)
|
|
(10,400
|
)
|
Net cash used in investing activities
|
(30,945
|
)
|
|
(37,873
|
)
|
Net decrease in cash and cash equivalents
|
(31,022
|
)
|
|
(35,929
|
)
|
Cash and cash equivalents at beginning of the period
|
42,284
|
|
|
45,540
|
|
Cash and cash equivalents at end of the period
|
11,262
|
|
|
9,611
|
|
Supplementary information
|
|
|
|
||
Interest paid in cash
|
13,796
|
|
|
9,203
|
|
Interest received in cash
|
498
|
|
|
876
|
|
Income tax paid in cash
|
—
|
|
|
144
|
|
|
Cost
|
|
Accumulated depreciation
|
|
Net book value |
||||||
|
($ in thousands)
|
||||||||||
Computer software
|
$
|
200
|
|
|
$
|
(200
|
)
|
|
$
|
—
|
|
Furniture and fixtures
|
451
|
|
|
(187
|
)
|
|
264
|
|
|||
Leasehold improvements
|
1,487
|
|
|
(412
|
)
|
|
1,075
|
|
|||
Total
|
$
|
2,138
|
|
|
$
|
(799
|
)
|
|
$
|
1,339
|
|
|
Cost
|
|
Accumulated depreciation
|
|
Net book value |
||||||
|
($ in thousands)
|
||||||||||
Computer software
|
$
|
200
|
|
|
$
|
(200
|
)
|
|
$
|
—
|
|
Furniture and fixtures
|
451
|
|
|
(142
|
)
|
|
309
|
|
|||
Leasehold improvements
|
1,487
|
|
|
(332
|
)
|
|
1,155
|
|
|||
Total
|
$
|
2,138
|
|
|
$
|
(674
|
)
|
|
$
|
1,464
|
|
|
Three months ended
June 30, |
|
Six months ended
June 30, |
||||||||
|
2012
|
|
2011
|
|
2012
|
|
2011
|
||||
Weighted average shares outstanding - basic
|
36,660,267
|
|
|
36,153,743
|
|
|
36,605,610
|
|
|
36,153,743
|
|
Effect of dilutive service provider share-based awards
|
—
|
|
|
—
|
|
|
148,971
|
|
|
—
|
|
Effect of dilutive employee and director share-based awards
|
—
|
|
|
—
|
|
|
583,903
|
|
|
—
|
|
Weighted average share outstanding - diluted
|
36,660,267
|
|
|
36,153,743
|
|
|
37,338,484
|
|
|
36,153,743
|
|
Anti-dilutive stock options outstanding
|
180,000
|
|
|
240,000
|
|
|
180,000
|
|
|
240,000
|
|
Participating securities excluded from calculation of loss per share
|
307,931
|
|
|
422,073
|
|
|
—
|
|
|
422,073
|
|
|
|
Fair Value Measurements as of June 30, 2012
|
||||||||||||||
Description |
|
Quoted prices in
active markets (Level 1) |
|
Significant other
observable inputs (Level 2) |
|
Significant
unobservable inputs (Level 3) |
|
Total
|
||||||||
Assets:
|
|
($ in thousands)
|
||||||||||||||
Debt instruments
|
|
$
|
—
|
|
|
$
|
8,745
|
|
|
$
|
343
|
|
|
$
|
9,088
|
|
Listed equity securities
|
|
1,057,800
|
|
|
929
|
|
|
—
|
|
|
1,058,729
|
|
||||
Commodities
|
|
99,708
|
|
|
—
|
|
|
—
|
|
|
99,708
|
|
||||
Private and unlisted equity securities
|
|
—
|
|
|
—
|
|
|
38,805
|
|
|
38,805
|
|
||||
Financial contracts receivable
|
|
3,688
|
|
|
20,270
|
|
|
14
|
|
|
23,972
|
|
||||
|
|
$
|
1,161,196
|
|
|
$
|
29,944
|
|
|
$
|
39,162
|
|
|
$
|
1,230,302
|
|
Liabilities:
|
|
|
|
|
|
|
|
|
||||||||
Listed equity securities, sold not yet purchased
|
|
$
|
(556,993
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(556,993
|
)
|
Debt instruments, sold not yet purchased
|
|
—
|
|
|
(106,549
|
)
|
|
—
|
|
|
(106,549
|
)
|
||||
Financial contracts payable
|
|
(952
|
)
|
|
(12,020
|
)
|
|
—
|
|
|
(12,972
|
)
|
||||
|
|
$
|
(557,945
|
)
|
|
$
|
(118,569
|
)
|
|
$
|
—
|
|
|
$
|
(676,514
|
)
|
|
|
Fair Value Measurements as of December 31, 2011
|
||||||||||||||
Description |
|
Quoted prices in
active markets (Level 1) |
|
Significant other
observable inputs (Level 2) |
|
Significant
unobservable inputs (Level 3) |
|
Total
|
||||||||
Assets:
|
|
($ in thousands)
|
||||||||||||||
Debt instruments
|
|
$
|
—
|
|
|
$
|
10,174
|
|
|
$
|
465
|
|
|
$
|
10,639
|
|
Listed equity securities
|
|
866,069
|
|
|
24,753
|
|
|
—
|
|
|
890,822
|
|
||||
Commodities
|
|
97,506
|
|
|
—
|
|
|
—
|
|
|
97,506
|
|
||||
Private and unlisted equity securities
|
|
—
|
|
|
—
|
|
|
31,179
|
|
|
31,179
|
|
||||
Financial contracts receivable
|
|
881
|
|
|
22,529
|
|
|
263
|
|
|
23,673
|
|
||||
|
|
$
|
964,456
|
|
|
$
|
57,456
|
|
|
$
|
31,907
|
|
|
$
|
1,053,819
|
|
Liabilities:
|
|
|
|
|
|
|
|
|
||||||||
Listed equity securities, sold not yet purchased
|
|
$
|
(539,197
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(539,197
|
)
|
Debt instruments, sold not yet purchased
|
|
—
|
|
|
(144,619
|
)
|
|
—
|
|
|
(144,619
|
)
|
||||
Financial contracts payable
|
|
(1,070
|
)
|
|
(5,254
|
)
|
|
—
|
|
|
(6,324
|
)
|
||||
|
|
$
|
(540,267
|
)
|
|
$
|
(149,873
|
)
|
|
$
|
—
|
|
|
$
|
(690,140
|
)
|
|
|
Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
Three months ended June 30, 2012 |
|
Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
Six months ended June 30, 2012 |
||||||||||||||||||||||||||||
|
|
Debt instruments
|
|
Private and unlisted equity securities
|
|
Financial contracts receivable
|
|
Total
|
|
Debt instruments
|
|
Private and unlisted equity securities
|
|
Financial contracts receivable
|
|
Total
|
||||||||||||||||
|
|
($ in thousands)
|
|
($ in thousands)
|
||||||||||||||||||||||||||||
Beginning balance
|
|
$
|
418
|
|
|
$
|
35,758
|
|
|
$
|
125
|
|
|
$
|
36,301
|
|
|
$
|
465
|
|
|
$
|
31,178
|
|
|
$
|
263
|
|
|
$
|
31,906
|
|
Purchases
|
|
—
|
|
|
3,541
|
|
|
—
|
|
|
3,541
|
|
|
—
|
|
|
6,912
|
|
|
—
|
|
|
6,912
|
|
||||||||
Sales
|
|
—
|
|
|
(306
|
)
|
|
—
|
|
|
(306
|
)
|
|
(1
|
)
|
|
(492
|
)
|
|
—
|
|
|
(493
|
)
|
||||||||
Issuances
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||
Settlements
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||||||
Total realized and unrealized gains (losses) and amortization included in earnings, net
|
|
(75
|
)
|
|
960
|
|
|
(111
|
)
|
|
774
|
|
|
(121
|
)
|
|
2,355
|
|
|
(249
|
)
|
|
1,985
|
|
||||||||
Transfers into Level 3
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||
Transfers out of Level 3
|
|
—
|
|
|
(1,148
|
)
|
|
—
|
|
|
(1,148
|
)
|
|
—
|
|
|
(1,148
|
)
|
|
—
|
|
|
(1,148
|
)
|
||||||||
Ending balance
|
|
$
|
343
|
|
|
$
|
38,805
|
|
|
$
|
14
|
|
|
$
|
39,162
|
|
|
$
|
343
|
|
|
$
|
38,805
|
|
|
$
|
14
|
|
|
$
|
39,162
|
|
|
|
Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
Three months ended June 30, 2011 |
|
Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
Six months ended June 30, 2011 |
||||||||||||||||||||||||
|
|
Debt instruments
|
|
Private and unlisted equity securities
|
|
Total
|
|
Debt instruments
|
|
Private and unlisted equity securities
|
|
Financial contracts receivable
|
|
Total
|
||||||||||||||
|
|
($ in thousands)
|
|
($ in thousands)
|
||||||||||||||||||||||||
Beginning balance
|
|
$
|
838
|
|
|
$
|
37,601
|
|
|
$
|
38,439
|
|
|
$
|
3,245
|
|
|
$
|
42,947
|
|
|
$
|
214
|
|
|
$
|
46,406
|
|
Purchases
|
|
—
|
|
|
1,914
|
|
|
1,914
|
|
|
—
|
|
|
4,599
|
|
|
—
|
|
|
4,599
|
|
|||||||
Sales
|
|
(4
|
)
|
|
(417
|
)
|
|
(421
|
)
|
|
(2,401
|
)
|
|
(1,365
|
)
|
|
—
|
|
|
(3,766
|
)
|
|||||||
Issuances
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||||
Settlements
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||||
Total realized and unrealized gains (losses) and amortization included in earnings, net
|
|
(41
|
)
|
|
813
|
|
|
772
|
|
|
(51
|
)
|
|
3,392
|
|
|
(214
|
)
|
|
3,127
|
|
|||||||
Transfers into Level 3
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||||
Transfers out of Level 3
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(9,662
|
)
|
|
—
|
|
|
(9,662
|
)
|
|||||||
Ending balance
|
|
$
|
793
|
|
|
$
|
39,911
|
|
|
$
|
40,704
|
|
|
$
|
793
|
|
|
$
|
39,911
|
|
|
$
|
—
|
|
|
$
|
40,704
|
|
2012
|
|
Cost/
amortized cost |
|
Unrealized
gains |
|
Unrealized
losses |
|
Fair
value |
||||||||
|
|
($ in thousands)
|
||||||||||||||
Corporate debt – U.S.
|
|
$
|
5,036
|
|
|
$
|
120
|
|
|
$
|
(1,904
|
)
|
|
$
|
3,252
|
|
Corporate debt – Non U.S.
|
|
3,031
|
|
|
587
|
|
|
(59
|
)
|
|
3,559
|
|
||||
Sovereign debt – Non U.S.
|
|
$
|
2,113
|
|
|
$
|
164
|
|
|
$
|
—
|
|
|
2,277
|
|
|
Total debt instruments
|
|
$
|
10,180
|
|
|
$
|
871
|
|
|
$
|
(1,963
|
)
|
|
$
|
9,088
|
|
2011
|
|
Cost/
amortized cost |
|
Unrealized
gains |
|
Unrealized
losses |
|
Fair
value |
||||||||
|
|
($ in thousands)
|
||||||||||||||
Corporate debt – U.S.
|
|
$
|
4,064
|
|
|
$
|
49
|
|
|
$
|
(1,685
|
)
|
|
$
|
2,428
|
|
Corporate debt – Non U.S.
|
|
5,010
|
|
|
435
|
|
|
—
|
|
|
5,445
|
|
||||
Sovereign debt – Non U.S.
|
|
2,481
|
|
|
285
|
|
|
—
|
|
|
2,766
|
|
||||
Total debt instruments
|
|
$
|
11,555
|
|
|
$
|
769
|
|
|
$
|
(1,685
|
)
|
|
$
|
10,639
|
|
|
|
Cost/
amortized cost |
|
Fair
value |
||||
|
|
($ in thousands)
|
||||||
Within one year
|
|
$
|
—
|
|
|
$
|
—
|
|
From one to five years
|
|
548
|
|
|
691
|
|
||
From five to ten years
|
|
6,136
|
|
|
6,806
|
|
||
More than ten years
|
|
3,496
|
|
|
1,591
|
|
||
|
|
$
|
10,180
|
|
|
$
|
9,088
|
|
2012
|
|
Cost
|
|
Unrealized
gains |
|
Unrealized
losses |
|
Fair
value |
||||||||
|
|
($ in thousands)
|
||||||||||||||
Equities – listed
|
|
$
|
972,732
|
|
|
$
|
139,600
|
|
|
$
|
(90,420
|
)
|
|
$
|
1,021,912
|
|
Exchange traded funds
|
|
38,818
|
|
|
—
|
|
|
(2,001
|
)
|
|
36,817
|
|
||||
|
|
$
|
1,011,550
|
|
|
$
|
139,600
|
|
|
$
|
(92,421
|
)
|
|
$
|
1,058,729
|
|
2011
|
|
Cost
|
|
Unrealized
gains |
|
Unrealized
losses |
|
Fair
value |
||||||||
|
|
($ in thousands)
|
||||||||||||||
Equities – listed
|
|
$
|
827,435
|
|
|
$
|
78,947
|
|
|
$
|
(75,593
|
)
|
|
$
|
830,789
|
|
Exchange traded funds
|
|
57,011
|
|
|
6,037
|
|
|
(3,015
|
)
|
|
60,033
|
|
||||
|
|
$
|
884,446
|
|
|
$
|
84,984
|
|
|
$
|
(78,608
|
)
|
|
$
|
890,822
|
|
2012
|
|
Cost
|
|
Unrealized
gains |
|
Unrealized
losses |
|
Fair
value |
||||||||
|
|
($ in thousands)
|
||||||||||||||
Commodities
|
|
$
|
65,365
|
|
|
$
|
34,343
|
|
|
$
|
—
|
|
|
$
|
99,708
|
|
Private and unlisted equity securities
|
|
37,642
|
|
|
3,193
|
|
|
(2,030
|
)
|
|
38,805
|
|
||||
|
|
$
|
103,007
|
|
|
$
|
37,536
|
|
|
$
|
(2,030
|
)
|
|
$
|
138,513
|
|
2011
|
|
Cost
|
|
Unrealized
gains |
|
Unrealized
losses |
|
Fair
value |
||||||||
|
|
($ in thousands)
|
||||||||||||||
Commodities
|
|
$
|
65,365
|
|
|
$
|
32,141
|
|
|
$
|
—
|
|
|
$
|
97,506
|
|
Private and unlisted equity securities
|
|
32,157
|
|
|
2,146
|
|
|
(3,124
|
)
|
|
31,179
|
|
||||
|
|
$
|
97,522
|
|
|
$
|
34,287
|
|
|
$
|
(3,124
|
)
|
|
$
|
128,685
|
|
2012
|
|
Proceeds
|
|
Unrealized gains
|
|
Unrealized losses
|
|
Fair value
|
||||||||
|
|
($ in thousands)
|
||||||||||||||
Equities – listed
|
|
$
|
(634,172
|
)
|
|
$
|
139,564
|
|
|
$
|
(62,385
|
)
|
|
$
|
(556,993
|
)
|
Corporate debt – U.S
|
|
(1,870
|
)
|
|
72
|
|
|
—
|
|
|
(1,798
|
)
|
||||
Sovereign debt – Non U.S
|
|
(112,620
|
)
|
|
7,869
|
|
|
—
|
|
|
(104,751
|
)
|
||||
|
|
$
|
(748,662
|
)
|
|
$
|
147,505
|
|
|
$
|
(62,385
|
)
|
|
$
|
(663,542
|
)
|
2011
|
|
Proceeds
|
|
Unrealized gains
|
|
Unrealized losses
|
|
Fair value
|
||||||||
|
|
($ in thousands)
|
||||||||||||||
Equities – listed
|
|
$
|
(583,078
|
)
|
|
$
|
98,726
|
|
|
$
|
(54,845
|
)
|
|
$
|
(539,197
|
)
|
Corporate debt – U.S
|
|
(1,870
|
)
|
|
11
|
|
|
—
|
|
|
(1,859
|
)
|
||||
Sovereign debt – Non U.S
|
|
(153,828
|
)
|
|
11,068
|
|
|
—
|
|
|
(142,760
|
)
|
||||
|
|
$
|
(738,776
|
)
|
|
$
|
109,805
|
|
|
$
|
(54,845
|
)
|
|
$
|
(683,816
|
)
|
Financial Contracts
|
|
Listing
currency |
|
Notional amount of
underlying instruments |
|
Fair value of net assets
(obligations) on financial contracts |
|||
|
|
|
|
($ in thousands)
|
|||||
Financial contracts receivable
|
|
|
|
|
|
|
|||
Interest rate options
|
|
USD
|
|
2,638,753
|
|
|
$
|
633
|
|
Credit default swaps, purchased – corporate debt
|
|
USD
|
|
39,665
|
|
|
815
|
|
|
Total return swaps – equities
|
|
USD
|
|
22,127
|
|
|
4,981
|
|
|
Put options
|
|
USD
|
|
193,767
|
|
|
11,243
|
|
|
Call options
|
|
USD
|
|
46,740
|
|
|
2,597
|
|
|
Futures
|
|
USD
|
|
134,827
|
|
|
3,689
|
|
|
Weather derivative swap
|
|
USD
|
|
5,000
|
|
|
14
|
|
|
Total financial contracts receivable, at fair value
|
|
|
|
|
|
$
|
23,972
|
|
|
Financial contracts payable
|
|
|
|
|
|
|
|||
Credit default swaps, purchased – sovereign debt
|
|
USD
|
|
251,467
|
|
|
$
|
(5,587
|
)
|
Credit default swaps, purchased – corporate debt
|
|
USD
|
|
234,212
|
|
|
(2,101
|
)
|
|
Futures
|
|
USD
|
|
165,530
|
|
|
(878
|
)
|
|
Total return swaps – equities
|
|
USD
|
|
22,450
|
|
|
(4,326
|
)
|
|
Warrants and rights on listed equities
|
|
USD
|
|
73
|
|
|
(73
|
)
|
|
Call options
|
|
USD
|
|
103
|
|
|
(7
|
)
|
|
Total financial contracts payable, at fair value
|
|
|
|
|
|
$
|
(12,972
|
)
|
Financial Contracts
|
|
Listing
currency |
|
Notional amount of
underlying instruments |
|
Fair value of net assets
(obligations) on financial contracts |
|||
|
|
|
|
($ in thousands)
|
|||||
Financial contracts receivable
|
|
|
|
|
|
|
|||
Interest rate options
|
|
USD
|
|
3,049,338
|
|
|
$
|
2,236
|
|
Credit default swaps, purchased – sovereign debt
|
|
USD
|
|
32,952
|
|
|
6,160
|
|
|
Credit default swaps, purchased – corporate debt
|
|
USD
|
|
260,862
|
|
|
1,614
|
|
|
Total return swaps - equities
|
|
USD
|
|
45,458
|
|
|
5,390
|
|
|
Put options
|
|
USD
|
|
132,966
|
|
|
6,849
|
|
|
Call options
|
|
USD
|
|
2,714
|
|
|
280
|
|
|
Futures
|
|
USD
|
|
9,075
|
|
|
881
|
|
|
Weather derivative swap
|
|
USD
|
|
5,000
|
|
|
263
|
|
|
Total financial contracts receivable, at fair value
|
|
|
|
|
|
$
|
23,673
|
|
|
Financial contracts payable
|
|
|
|
|
|
|
|
|
|
Credit default swaps, purchased – sovereign debt
|
|
USD
|
|
251,467
|
|
|
$
|
(2,675
|
)
|
Credit default swaps, purchased – corporate debt
|
|
USD
|
|
26,029
|
|
|
(799
|
)
|
|
Futures
|
|
USD
|
|
149,201
|
|
|
(887
|
)
|
|
Total return swaps – equities
|
|
USD
|
|
11,795
|
|
|
(1,714
|
)
|
|
Warrants and rights on listed equities
|
|
USD
|
|
183
|
|
|
(183
|
)
|
|
Call options
|
|
USD
|
|
718
|
|
|
(66
|
)
|
|
Total financial contracts payable, at fair value
|
|
|
|
|
|
$
|
(6,324
|
)
|
Derivatives not designated as hedging instruments
|
|
Location of gains and losses on derivatives recognized in income
|
|
Gain (loss) on derivatives recognized
in income for the three months ended June 30, |
|
Gain (loss) on derivatives recognized
in income for the six months ended June 30, |
||||||||||||
|
|
|
|
2012
|
|
2011
|
|
2012
|
|
2011
|
||||||||
|
|
|
|
($ in thousands)
|
|
($ in thousands)
|
||||||||||||
Interest rate options
|
|
Net investment income (loss)
|
|
$
|
(1,251
|
)
|
|
$
|
(5,518
|
)
|
|
$
|
(1,603
|
)
|
|
$
|
(4,554
|
)
|
Credit default swaps, purchased – corporate debt
|
|
Net investment income (loss)
|
|
(185
|
)
|
|
(632
|
)
|
|
(4,000
|
)
|
|
(1,976
|
)
|
||||
Credit default swaps, purchased – sovereign debt
|
|
Net investment income (loss)
|
|
1,027
|
|
|
1,461
|
|
|
(3,944
|
)
|
|
(7,219
|
)
|
||||
Total return swaps – equities
|
|
Net investment income (loss)
|
|
(1,772
|
)
|
|
29
|
|
|
(2,482
|
)
|
|
3,317
|
|
||||
Credit default swaps, issued – corporate debt
|
|
Net investment income (loss)
|
|
—
|
|
|
(3
|
)
|
|
—
|
|
|
4,785
|
|
||||
Options, warrants, and rights
|
|
Net investment income (loss)
|
|
(14,981
|
)
|
|
(8,908
|
)
|
|
(10,167
|
)
|
|
(20,325
|
)
|
||||
Futures
|
|
Net investment income (loss)
|
|
(3,176
|
)
|
|
—
|
|
|
(7,959
|
)
|
|
—
|
|
||||
Currency forwards
|
|
Net investment income (loss)
|
|
—
|
|
|
(3,944
|
)
|
|
—
|
|
|
(3,944
|
)
|
||||
Weather derivative swap
|
|
Other income (expense), net
|
|
(111
|
)
|
|
—
|
|
|
(249
|
)
|
|
(214
|
)
|
||||
Total
|
|
|
|
$
|
(20,449
|
)
|
|
$
|
(17,515
|
)
|
|
$
|
(30,404
|
)
|
|
$
|
(30,130
|
)
|
|
|
Three months ended June 30, 2012
|
|
Six months ended June 30, 2012
|
||||||||||||
Derivatives not designated as hedging instruments
|
|
Entered
|
|
Exited
|
|
Entered
|
|
Exited
|
||||||||
|
|
($ in thousands)
|
|
($ in thousands)
|
||||||||||||
Credit default swaps
|
|
$
|
—
|
|
|
$
|
43,014
|
|
|
$
|
—
|
|
|
$
|
45,966
|
|
Total return swaps
|
|
728
|
|
|
6,625
|
|
|
2,806
|
|
|
20,554
|
|
||||
Options
|
|
169,304
|
|
|
59,119
|
|
|
444,207
|
|
|
202,704
|
|
||||
Futures
|
|
301,197
|
|
|
336,611
|
|
|
764,267
|
|
|
629,556
|
|
||||
Total
|
|
$
|
471,229
|
|
|
$
|
445,369
|
|
|
$
|
1,211,280
|
|
|
$
|
898,780
|
|
|
|
Three months ended June 30, 2011
|
|
Six months ended June 30, 2011
|
||||||||||||
Derivatives not designated as hedging instruments
|
|
Entered
|
|
Exited
|
|
Entered
|
|
Exited
|
||||||||
|
|
($ in thousands)
|
|
($ in thousands)
|
||||||||||||
Credit default swaps
|
|
$
|
204,053
|
|
|
$
|
91,632
|
|
|
$
|
213,942
|
|
|
$
|
137,749
|
|
Total return swaps
|
|
11,203
|
|
|
1,655
|
|
|
11,203
|
|
|
16,603
|
|
||||
Options
|
|
247,964
|
|
|
184,067
|
|
|
546,988
|
|
|
230,490
|
|
||||
Futures
|
|
12,469
|
|
|
—
|
|
|
41,726
|
|
|
55,093
|
|
||||
Currency Forwards
|
|
372,843
|
|
|
262,622
|
|
|
372,843
|
|
|
262,622
|
|
||||
Weather derivative swap
|
|
—
|
|
|
—
|
|
|
—
|
|
|
10,000
|
|
||||
Total
|
|
$
|
848,532
|
|
|
$
|
539,976
|
|
|
$
|
1,186,702
|
|
|
$
|
712,557
|
|
|
Number of
non-vested restricted shares |
|
Weighted
average grant date fair value |
|||
Balance at December 31, 2011
|
358,563
|
|
|
$
|
21.03
|
|
Granted
|
146,695
|
|
|
24.61
|
|
|
Vested
|
(191,136
|
)
|
|
17.34
|
|
|
Forfeited
|
(6,191
|
)
|
|
25.44
|
|
|
Balance at June 30, 2012
|
307,931
|
|
|
$
|
24.94
|
|
|
Number of
options |
|
Weighted
average exercise price |
|
Weighted
average grant date fair value |
|||||
Balance at December 31, 2011
|
1,399,000
|
|
|
$
|
15.06
|
|
|
$
|
6.73
|
|
Granted
|
—
|
|
|
—
|
|
|
—
|
|
||
Exercised
|
—
|
|
|
—
|
|
|
—
|
|
||
Forfeited
|
—
|
|
|
—
|
|
|
—
|
|
||
Expired
|
—
|
|
|
—
|
|
|
—
|
|
||
Balance at June 30, 2012
|
1,399,000
|
|
|
$
|
15.06
|
|
|
$
|
6.73
|
|
|
|
Facility
|
|
Termination Date
|
|
Notice period required for termination
|
||
|
|
($ in thousands)
|
|
|
|
|
||
Bank of America, N.A
|
|
$
|
200,000
|
|
|
July 20, 2013
|
|
90 days prior to termination date
|
Butterfield Bank (Cayman) Limited
|
|
60,000
|
|
|
June 30, 2013
|
|
90 days prior to termination date
|
|
Citibank Europe plc
|
|
400,000
|
|
|
October 11, 2013
|
|
120 days prior to termination date
|
|
JP Morgan Chase Bank N.A
|
|
100,000
|
|
|
January 27, 2013
|
|
120 days prior to termination date
|
|
|
|
$
|
760,000
|
|
|
|
|
|
|
2012
|
|
2013
|
|
2014
|
|
2015
|
|
2016
|
|
Thereafter
|
|
Total
|
||||||||||||||
|
($ in thousands)
|
||||||||||||||||||||||||||
Operating lease obligations
|
$
|
187
|
|
|
$
|
372
|
|
|
$
|
372
|
|
|
$
|
372
|
|
|
$
|
312
|
|
|
$
|
414
|
|
|
$
|
2,029
|
|
Specialist service agreement
|
250
|
|
|
400
|
|
|
150
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
800
|
|
|||||||
Private equity and limited partnerships (1)
|
19,037
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
19,037
|
|
|||||||
|
$
|
19,474
|
|
|
$
|
772
|
|
|
$
|
522
|
|
|
$
|
372
|
|
|
$
|
312
|
|
|
$
|
414
|
|
|
$
|
21,866
|
|
|
|
Three months ended
|
|
Three months ended
|
|
Six months ended
|
|
Six months ended
|
||||||||||||||||
|
|
June 30, 2012
|
|
June 30, 2011
|
|
June 30, 2012
|
|
June 30, 2011
|
||||||||||||||||
|
|
($ in thousands)
|
|
($ in thousands)
|
|
($ in thousands)
|
|
($ in thousands)
|
||||||||||||||||
Property
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Commercial lines
|
|
2,460
|
|
|
2.9
|
%
|
|
3,813
|
|
|
3.4
|
%
|
|
11,645
|
|
|
4.9
|
%
|
|
8,969
|
|
|
4.2
|
%
|
Motor physical damage
|
|
17,701
|
|
|
21.1
|
|
|
541
|
|
|
0.5
|
|
|
35,842
|
|
|
15.2
|
%
|
|
(1,115
|
)
|
(1)
|
(0.5
|
)
|
Personal lines
|
|
5,524
|
|
|
6.6
|
|
|
58,156
|
|
|
51.3
|
|
|
52,559
|
|
|
22.3
|
|
|
106,050
|
|
|
49.6
|
|
Total Property
|
|
25,685
|
|
|
30.6
|
|
|
62,510
|
|
|
55.2
|
|
|
100,046
|
|
|
42.4
|
|
|
113,904
|
|
|
53.3
|
|
Casualty
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
General liability
|
|
6,499
|
|
|
7.7
|
|
|
11,641
|
|
|
10.3
|
|
|
14,925
|
|
|
6.3
|
|
|
18,637
|
|
|
8.7
|
|
Marine liability
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
2,240
|
|
|
0.9
|
|
|
185
|
|
|
0.1
|
|
Motor liability
|
|
37,334
|
|
|
44.5
|
|
|
20,609
|
|
|
18.2
|
|
|
89,477
|
|
|
37.9
|
|
|
33,672
|
|
|
15.7
|
|
Professional liability
|
|
(666
|
)
|
(1)
|
(0.8
|
)
|
|
(185
|
)
|
(1)
|
(0.2
|
)
|
|
(666
|
)
|
(1)
|
(0.3
|
)
|
|
240
|
|
|
0.1
|
|
Total Casualty
|
|
43,167
|
|
|
51.4
|
|
|
32,065
|
|
|
28.3
|
|
|
105,976
|
|
|
44.8
|
|
|
52,734
|
|
|
24.6
|
|
Specialty
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Financial
|
|
1,372
|
|
|
1.6
|
|
|
1,653
|
|
|
1.5
|
|
|
3,305
|
|
|
1.4
|
|
|
6,276
|
|
|
2.9
|
|
Health
|
|
7,532
|
|
|
9.0
|
|
|
11,326
|
|
|
10.0
|
|
|
19,386
|
|
|
8.2
|
|
|
25,990
|
|
|
12.1
|
|
Workers’ compensation
|
|
6,230
|
|
|
7.4
|
|
|
5,712
|
|
|
5.0
|
|
|
7,493
|
|
|
3.2
|
|
|
15,101
|
|
|
7.1
|
|
Total Specialty
|
|
15,134
|
|
|
18.0
|
|
|
18,691
|
|
|
16.5
|
|
|
30,184
|
|
|
12.8
|
|
|
47,367
|
|
|
22.1
|
|
|
|
83,986
|
|
|
100.0
|
%
|
|
113,266
|
|
|
100.0
|
%
|
|
236,206
|
|
|
100.0
|
%
|
|
214,005
|
|
|
100.0
|
%
|
|
|
Three months ended
|
|
Three months ended
|
|
Six months ended
|
|
Six months ended
|
||||||||||||||||||||
|
|
June 30, 2012
|
|
June 30, 2011
|
|
June 30, 2012
|
|
June 30, 2011
|
||||||||||||||||||||
|
|
($ in thousands)
|
|
($ in thousands)
|
|
($ in thousands)
|
|
($ in thousands)
|
||||||||||||||||||||
U.S.
|
|
$
|
83,201
|
|
|
99.1
|
%
|
|
$
|
109,699
|
|
|
96.9
|
%
|
|
$
|
221,366
|
|
|
93.7
|
%
|
|
$
|
200,324
|
|
|
93.6
|
%
|
Worldwide (1)
|
|
1,123
|
|
|
1.3
|
|
|
3,318
|
|
|
2.9
|
|
|
15,178
|
|
|
6.4
|
|
|
13,007
|
|
|
6.1
|
|
||||
Caribbean
|
|
328
|
|
|
0.4
|
|
|
300
|
|
|
0.3
|
|
|
328
|
|
|
0.1
|
|
|
300
|
|
|
0.1
|
|
||||
Europe
|
|
(666
|
)
|
|
(0.8
|
)
|
|
(51
|
)
|
|
—
|
|
|
(666
|
)
|
|
(0.3
|
)
|
|
374
|
|
|
0.2
|
|
||||
|
|
$
|
83,986
|
|
|
100.0
|
%
|
|
$
|
113,266
|
|
|
100.0
|
%
|
|
$
|
236,206
|
|
|
100.0
|
%
|
|
$
|
214,005
|
|
|
100.0
|
%
|
(1)
|
“Worldwide” is comprised of contracts that reinsure risks in more than one geographic area and do not specifically exclude the U.S.
|
|
June 30,
2012 |
|
March 31,
2012 |
|
December 31,
2011 |
|
September 30,
2011 |
|
June 30,
2011 |
||||||||||
|
($ in thousands, except per share and share amounts)
|
||||||||||||||||||
Basic adjusted and fully diluted adjusted book value per share numerator:
|
|
|
|
|
|
|
|
|
|
||||||||||
Total equity (GAAP)
|
$
|
845,696
|
|
|
$
|
881,304
|
|
|
$
|
845,698
|
|
|
$
|
765,958
|
|
|
$
|
770,185
|
|
Less: Non-controlling interest in joint venture
|
(11,778
|
)
|
|
(12,227
|
)
|
|
(42,595
|
)
|
|
(33,866
|
)
|
|
(33,709
|
)
|
|||||
Basic adjusted book value per share numerator
|
833,918
|
|
|
869,077
|
|
|
803,103
|
|
|
732,092
|
|
|
736,476
|
|
|||||
Add: Proceeds from in-the-money stock options issued and outstanding
|
18,215
|
|
|
18,215
|
|
|
18,215
|
|
|
16,590
|
|
|
16,590
|
|
|||||
Fully diluted adjusted book value per share numerator
|
$
|
852,133
|
|
|
$
|
887,292
|
|
|
$
|
821,318
|
|
|
$
|
748,682
|
|
|
$
|
753,066
|
|
Basic adjusted and fully diluted adjusted book value per share denominator:
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Ordinary shares issued and outstanding for basic adjusted book value per share denominator
|
36,678,653
|
|
|
36,633,638
|
|
|
36,538,149
|
|
|
36,509,036
|
|
|
36,575,816
|
|
|||||
Add: In-the-money stock options issued and outstanding
|
1,469,000
|
|
|
1,469,000
|
|
|
1,469,000
|
|
|
1,419,000
|
|
|
1,419,000
|
|
|||||
Fully diluted adjusted book value per share denominator
|
38,147,653
|
|
|
38,102,638
|
|
|
38,007,149
|
|
|
37,928,036
|
|
|
37,994,816
|
|
|||||
Basic adjusted book value per share
|
$
|
22.74
|
|
|
$
|
23.72
|
|
|
$
|
21.98
|
|
|
$
|
20.05
|
|
|
$
|
20.14
|
|
Fully diluted adjusted book value per share
|
$
|
22.34
|
|
|
$
|
23.29
|
|
|
$
|
21.61
|
|
|
$
|
19.74
|
|
|
$
|
19.82
|
|
|
Three months ended June 30,
|
|
Six months ended June 30,
|
||||||||||||||||||||||||
|
2012
|
|
2011
|
|
2012
|
|
2011
|
||||||||||||||||||||
|
($ in thousands)
|
|
($ in thousands)
|
||||||||||||||||||||||||
Frequency
|
$
|
80,706
|
|
|
96.1
|
%
|
|
$
|
108,601
|
|
|
95.9
|
%
|
|
$
|
217,313
|
|
|
92.0
|
%
|
|
$
|
200,954
|
|
|
93.9
|
%
|
Severity
|
3,280
|
|
|
3.9
|
|
|
4,665
|
|
|
4.1
|
|
|
18,893
|
|
|
8.0
|
|
|
13,051
|
|
|
6.1
|
|
||||
Total
|
$
|
83,986
|
|
|
100.0
|
%
|
|
$
|
113,266
|
|
|
100.0
|
%
|
|
$
|
236,206
|
|
|
100.0
|
%
|
|
$
|
214,005
|
|
|
100.0
|
%
|
|
Three months ended June 30,
|
|
Six months ended June 30,
|
||||||||||||||||||||||||
|
2012
|
|
2011
|
|
2012
|
|
2011
|
||||||||||||||||||||
|
($ in thousands)
|
|
($ in thousands)
|
||||||||||||||||||||||||
Frequency
|
$
|
85,308
|
|
|
96.3
|
%
|
|
$
|
91,418
|
|
|
95.1
|
%
|
|
$
|
210,920
|
|
|
91.8
|
%
|
|
$
|
180,295
|
|
|
93.2
|
%
|
Severity
|
3,280
|
|
|
3.7
|
|
|
4,665
|
|
|
4.9
|
|
|
18,893
|
|
|
8.2
|
|
|
13,051
|
|
|
6.8
|
|
||||
Total
|
$
|
88,588
|
|
|
100.0
|
%
|
|
$
|
96,083
|
|
|
100.0
|
%
|
|
$
|
229,813
|
|
|
100.0
|
%
|
|
$
|
193,346
|
|
|
100.0
|
%
|
|
Three months ended June 30,
|
|
Six months ended June 30,
|
||||||||||||||||||||||||
|
2012
|
|
2011
|
|
2012
|
|
2011
|
||||||||||||||||||||
|
($ in thousands)
|
|
($ in thousands)
|
||||||||||||||||||||||||
Frequency
|
$
|
125,130
|
|
|
96.2
|
%
|
|
$
|
104,594
|
|
|
97.6
|
%
|
|
$
|
222,013
|
|
|
95.9
|
%
|
|
$
|
202,879
|
|
|
95.6
|
%
|
Severity
|
4,884
|
|
|
3.8
|
|
|
2,557
|
|
|
2.4
|
|
|
9,589
|
|
|
4.1
|
|
|
9,429
|
|
|
4.4
|
|
||||
Total
|
$
|
130,014
|
|
|
100.0
|
%
|
|
$
|
107,151
|
|
|
100.0
|
%
|
|
$
|
231,602
|
|
|
100.0
|
%
|
|
$
|
212,308
|
|
|
100.0
|
%
|
|
Three months ended June 30,
|
|
Six months ended June 30,
|
||||||||||||||||||||||||
|
2012
|
|
2011
|
|
2012
|
|
2011
|
||||||||||||||||||||
|
($ in thousands)
|
|
($ in thousands)
|
||||||||||||||||||||||||
Frequency
|
$
|
86,681
|
|
|
99.2
|
%
|
|
$
|
60,957
|
|
|
107.2
|
%
|
|
$
|
149,890
|
|
|
99.5
|
%
|
|
$
|
117,069
|
|
|
95.5
|
%
|
Severity
|
656
|
|
|
0.8
|
|
|
(4,087
|
)
|
|
(7.2
|
)
|
|
754
|
|
|
0.5
|
|
|
5,526
|
|
|
4.5
|
|
||||
Total
|
$
|
87,337
|
|
|
100.0
|
%
|
|
$
|
56,870
|
|
|
100.0
|
%
|
|
$
|
150,644
|
|
|
100.0
|
%
|
|
$
|
122,595
|
|
|
100.0
|
%
|
|
Three months ended
June 30, 2012 |
|
Three months ended
June 30, 2011 |
||||||||||||||||||||
|
Gross
|
|
Ceded
|
|
Net
|
|
Gross
|
|
Ceded
|
|
Net
|
||||||||||||
|
($ in thousands)
|
||||||||||||||||||||||
Losses paid (recovered)
|
$
|
77,135
|
|
|
$
|
(6,483
|
)
|
|
$
|
70,652
|
|
|
$
|
61,886
|
|
|
$
|
(3,254
|
)
|
|
$
|
58,632
|
|
Change in reserves
|
16,913
|
|
|
(228
|
)
|
|
16,685
|
|
|
(1,105
|
)
|
|
(657
|
)
|
|
(1,762
|
)
|
||||||
Total
|
$
|
94,048
|
|
|
$
|
(6,711
|
)
|
|
$
|
87,337
|
|
|
$
|
60,781
|
|
|
$
|
(3,911
|
)
|
|
$
|
56,870
|
|
|
Six months ended
June 30, 2012 |
|
Six months ended
June 30, 2011 |
||||||||||||||||||||
|
Gross
|
|
Ceded
|
|
Net
|
|
Gross
|
|
Ceded
|
|
Net
|
||||||||||||
|
($ in thousands)
|
||||||||||||||||||||||
Losses paid (recovered)
|
$
|
113,161
|
|
|
$
|
(8,662
|
)
|
|
$
|
104,499
|
|
|
$
|
98,345
|
|
|
$
|
(4,506
|
)
|
|
$
|
93,839
|
|
Change in reserves
|
53,499
|
|
|
(7,354
|
)
|
|
46,145
|
|
|
32,016
|
|
|
(3,260
|
)
|
|
28,756
|
|
||||||
Total
|
$
|
166,660
|
|
|
$
|
(16,016
|
)
|
|
$
|
150,644
|
|
|
$
|
130,361
|
|
|
$
|
(7,766
|
)
|
|
$
|
122,595
|
|
•
|
$5.3 million of adverse loss development, net of retrocesssion recoveries, on multi-line commercial motor and general liability quota share contracts based on data received from the clients and a reassessment in connection with our quarterly reserve analysis which indicated higher large loss activity on the accounts than originally expected;
|
•
|
$2.1 million of adverse loss development, net of retrocession recoveries, on a Florida homeowners' contract due to a combination of an increase in attritional losses as well as an increase in sinkhole losses based on updated information received from the ceding insurer during the period as well as a reassessment in connection with our quarterly reserve analysis; and
|
•
|
$2.1 million of adverse loss development on a 2010 natural peril contract relating to the 2010 New Zealand earthquake. This adverse loss development resulted from revised estimated losses expected on the underlying policies by the ceding insurer.
|
•
|
$5.9 million of adverse loss development on commercial motor liability contracts currently in run off;
|
•
|
$1.7 million of adverse loss development on Florida homeowners' contracts;
|
•
|
$1.2 million of favorable loss development on 2009 specialty health contracts;
|
▪
|
$1.0 million adverse loss development on a 2010 natural peril contract relating to the 2010 New Zealand earthquake. This loss development resulted from revised estimated losses expected to breach into our layer of coverage solely as a result of changes in the foreign currency exchange rates for the New Zealand dollar and the Australian dollar against the U.S. dollar; and
|
•
|
$0.6 million of reserves eliminated on a 2010 casualty clash excess of loss contract which expired with no reported claims.
|
|
Three months ended June 30,
|
|
Six months ended June 30,
|
||||||||||||||||||||||||
|
2012
|
|
2011
|
|
2012
|
|
2011
|
||||||||||||||||||||
|
($ in thousands)
|
|
($ in thousands)
|
||||||||||||||||||||||||
Frequency
|
$
|
37,174
|
|
|
98.1
|
%
|
|
$
|
41,855
|
|
|
97.7
|
%
|
|
$
|
72,409
|
|
|
97.9
|
%
|
|
$
|
83,176
|
|
|
97.9
|
%
|
Severity
|
731
|
|
|
1.9
|
|
|
969
|
|
|
2.3
|
|
|
1,521
|
|
|
2.1
|
|
|
1,769
|
|
|
2.1
|
|
||||
Total
|
$
|
37,905
|
|
|
100.0
|
%
|
|
$
|
42,824
|
|
|
100.0
|
%
|
|
$
|
73,930
|
|
|
100.0
|
%
|
|
$
|
84,945
|
|
|
100.0
|
%
|
|
Three months ended June 30,
|
|
Six months ended June 30,
|
||||||||||||
|
2012
|
|
2011
|
|
2012
|
|
2011
|
||||||||
|
($ in thousands)
|
|
($ in thousands)
|
||||||||||||
Realized gains (losses) and change in unrealized gains and losses, net
|
$
|
(39,080
|
)
|
|
$
|
(14,563
|
)
|
|
$
|
58,252
|
|
|
$
|
(42,856
|
)
|
Interest, dividend and other income
|
6,112
|
|
|
7,228
|
|
|
8,664
|
|
|
9,736
|
|
||||
Interest, dividend and other expenses
|
(8,866
|
)
|
|
(8,352
|
)
|
|
(16,076
|
)
|
|
(14,891
|
)
|
||||
Investment advisor compensation
|
4,938
|
|
|
(3,782
|
)
|
|
(16,129
|
)
|
|
(7,634
|
)
|
||||
Net investment income (loss)
|
$
|
(36,896
|
)
|
|
$
|
(19,469
|
)
|
|
$
|
34,711
|
|
|
$
|
(55,645
|
)
|
|
Six months ended
June 30, 2012 |
|
Six months ended
June 30, 2011 |
||||||||||||||
|
Frequency
|
|
Severity
|
|
Total
|
|
Frequency
|
|
Severity
|
|
Total
|
||||||
|
|
||||||||||||||||
Loss ratio
|
67.5
|
%
|
|
7.9
|
%
|
|
65.0
|
%
|
|
57.7
|
%
|
|
58.6
|
%
|
|
57.7
|
%
|
Acquisition cost ratio
|
32.6
|
%
|
|
15.9
|
%
|
|
31.9
|
%
|
|
41.0
|
%
|
|
18.8
|
%
|
|
40
|
%
|
Composite ratio
|
100.1
|
%
|
|
23.8
|
%
|
|
96.9
|
%
|
|
98.7
|
%
|
|
77.4
|
%
|
|
97.7
|
%
|
Internal expense ratio
|
|
|
|
|
3.9
|
%
|
|
|
|
|
|
4.4
|
%
|
||||
Combined ratio
|
|
|
|
|
100.8
|
%
|
|
|
|
|
|
102.1
|
%
|
|
June 30, 2012
|
|
December 31, 2011
|
||||||||||||||||||||
|
Case
Reserves |
|
IBNR
|
|
Total
|
|
Case
Reserves |
|
IBNR
|
|
Total
|
||||||||||||
|
($ in thousands)
|
||||||||||||||||||||||
Frequency
|
$
|
121,203
|
|
|
$
|
140,167
|
|
|
$
|
261,370
|
|
|
$
|
85,186
|
|
|
$
|
117,850
|
|
|
$
|
203,036
|
|
Severity
|
11,817
|
|
|
21,460
|
|
|
33,277
|
|
|
18,136
|
|
|
20,107
|
|
|
38,243
|
|
||||||
Total
|
$
|
133,020
|
|
|
$
|
161,627
|
|
|
$
|
294,647
|
|
|
$
|
103,322
|
|
|
$
|
137,957
|
|
|
$
|
241,279
|
|
Zone
|
|
Single Event
Loss |
|
Aggregate
Loss |
||||
|
|
($ in thousands)
|
||||||
United States (1)
|
|
$
|
77,060
|
|
|
$
|
110,640
|
|
Europe
|
|
47,500
|
|
|
49,500
|
|
||
Japan
|
|
47,500
|
|
|
49,500
|
|
||
Rest of the world
|
|
47,500
|
|
|
49,500
|
|
||
Maximum Aggregate
|
|
77,060
|
|
|
110,640
|
|
|
Less than
1 year |
|
1-3 years
|
|
3-5 years
|
|
More than
5 years |
|
Total
|
||||||||||
|
($ in thousands)
|
||||||||||||||||||
Operating lease obligations (1)
|
$
|
372
|
|
|
$
|
744
|
|
|
$
|
636
|
|
|
$
|
277
|
|
|
$
|
2,029
|
|
Specialist service agreement
|
500
|
|
|
300
|
|
|
—
|
|
|
—
|
|
|
800
|
|
|||||
Private equity and limited partnerships (2)
|
19,037
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
19,037
|
|
|||||
Loss and loss adjustment expense reserves (3)
|
144,789
|
|
|
111,879
|
|
|
28,633
|
|
|
9,346
|
|
|
294,647
|
|
|||||
|
$
|
164,698
|
|
|
$
|
112,923
|
|
|
$
|
29,269
|
|
|
$
|
9,623
|
|
|
$
|
316,513
|
|
|
10% increase in U.S. dollar
|
|
10% decrease in U.S. dollar
|
||||||||||
Foreign Currency
|
Change in
fair value |
|
Change in fair value as % of investment portfolio
|
|
Change in
fair value |
|
Change in fair value as % of investment portfolio
|
||||||
|
($ in thousands)
|
||||||||||||
British Pounds
|
$
|
133
|
|
|
—
|
%
|
|
$
|
(133
|
)
|
|
—
|
%
|
Euro
|
16,721
|
|
|
1.5
|
|
|
(4,657
|
)
|
|
(0.4
|
)
|
||
Japanese Yen
|
29,616
|
|
|
2.7
|
|
|
(8,746
|
)
|
|
(0.8
|
)
|
||
Swiss Franc
|
688
|
|
|
0.1
|
|
|
(688
|
)
|
|
(0.1
|
)
|
||
Other
|
249
|
|
|
—
|
|
|
(249
|
)
|
|
—
|
|
||
Total
|
$
|
47,407
|
|
|
4.3
|
%
|
|
$
|
(14,473
|
)
|
|
(1.3
|
)%
|
|
100 basis point increase
in interest rates |
|
100 basis point decrease
in interest rates |
||||||||||
|
Change in
fair value |
|
Change in fair value as % of investment portfolio
|
|
Change in
fair value |
|
Change in fair value as % of investment portfolio
|
||||||
|
($ in thousands)
|
||||||||||||
Debt instruments
|
$
|
7,386
|
|
|
0.7
|
%
|
|
$
|
(8,090
|
)
|
|
(0.7
|
)%
|
Credit default swaps
|
(117
|
)
|
|
—
|
|
|
117
|
|
|
—
|
|
||
Interest rate options
|
1,606
|
|
|
0.1
|
|
|
(451
|
)
|
|
—
|
|
||
Futures
|
19,702
|
|
|
1.8
|
|
|
(21,413
|
)
|
|
(1.9
|
)
|
||
Net exposure to interest rate risk
|
$
|
28,577
|
|
|
2.6
|
%
|
|
$
|
(29,837
|
)
|
|
(2.7
|
)%
|
10.1
|
Amended and Restated Employment Agreement, dated July 26, 2012, by and among Greenlight Capital Re, Ltd., Greenlight Reinsurance, Ltd. and Barton Hedges.
|
12.1
|
Ratio of Earnings to Fixed Charges and Preferred Share Dividends
|
31.1
|
Certification of the Chief Executive Officer filed hereunder pursuant to Section 302 of the Sarbanes Oxley Act of 2002
|
31.2
|
Certification of the Chief Financial Officer filed hereunder pursuant to Section 302 of the Sarbanes Oxley Act of 2002
|
32.1
|
Certification of the Chief Executive Officer filed hereunder pursuant to Section 906 of the Sarbanes Oxley Act of 2002
|
32.2
|
Certification of the Chief Financial Officer filed hereunder pursuant to Section 906 of the Sarbanes Oxley Act of 2002
|
101
|
The following materials from the Company’s Quarterly Report on Form 10-Q for the six months ended June 30, 2012, formatted in XBRL (eXtensible Business Reporting Language): (i) the Condensed Consolidated Balance Sheets; (ii) the Condensed Consolidated Statements of Income; (iii) the Condensed Consolidated Statements of Shareholders’ Equity; (iv) the Condensed Consolidated Statements of Cash Flows; and (v) the Notes to Condensed Consolidated Financial Statements. (*)
|
*
|
The XBRL related information in Exhibits 101 to this Quarterly Report on Form 10-Q shall not be deemed “filed” or a part of a registration statement or prospectus for purposes of Section 11 or 12 of the Securities Act of 1933, as amended, and is not filed for purposes of Section 18 of the Securities Exchange Act of 1934, as amended, or otherwise subject to the liabilities of those sections.
|
|
GREENLIGHT CAPITAL RE, LTD.
|
|
|
|
(Registrant)
|
|
|
|
|
/s/ Barton Hedges |
|
|
Name:
|
Barton Hedges
|
|
|
Title:
|
Chief Executive Officer
|
|
|
Date:
|
July 30, 2012
|
|
|
|
/s/ Tim Courtis |
|
|
Name:
|
Tim Courtis
|
|
|
Title:
|
Chief Financial Officer
|
|
|
Date:
|
July 30, 2012
|
|
|
Six Months Ended June 30, 2012
(2) |
|
Six Months Ended June 30, 2011
(2) |
Ratio of Earnings to Fixed Charges (1)
|
4.02
|
|
—
|
Deficiency of Earnings to Fixed Charges ($000)
|
—
|
|
39,478 (3)
|
1.
|
I have reviewed this quarterly report on Form 10-Q of Greenlight Capital Re, Ltd.;
|
2.
|
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the periods 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 officers 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:
|
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):
|
Dated:
|
July 30, 2012
|
/s/ Barton Hedges
|
|
|
Barton Hedges
|
|
|
Chief Executive Officer
|
1.
|
I have reviewed this quarterly report on Form 10-Q of Greenlight Capital Re, Ltd.;
|
2.
|
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the periods 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 officers 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:
|
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):
|
Dated:
|
July 30, 2012
|
/s/ Tim Courtis
|
|
|
Tim Courtis
|
|
|
Chief Financial Officer
|
Dated:
|
July 30, 2012
|
/s/ Barton Hedges
|
|
|
Barton Hedges
|
Dated:
|
July 30, 2012
|
/s/ Tim Courtis
|
|
|
Tim Courtis
|