x
|
QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d)
OF THE SECURITIES EXCHANGE ACT OF 1934
|
|
|
|
|
|
For the quarterly period ended March 31, 2013
|
|
|
|
|
|
OR
|
|
|
|
|
¨
|
TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d)
OF THE SECURITIES EXCHANGE ACT OF 1934
|
|
XL GROUP
|
Public Limited Company
|
(Exact name of registrant as specified in its charter)
|
Ireland
|
|
98-0665416
|
(State or other jurisdiction of
incorporation or organization)
|
|
(I.R.S. Employer Identification No.)
|
|
Large accelerated filer
x
|
Accelerated filer
¨
|
Non-accelerated filer
¨
|
Smaller reporting company
¨
|
|
|
Page No.
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||
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||
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ITEM 1.
|
|
FINANCIAL STATEMENTS
|
(U.S. dollars in thousands, except share data)
|
March 31,
2013 |
|
December 31,
2012 |
||||
ASSETS
|
|||||||
Investments:
|
|
|
|
|
|
||
Fixed maturities, at fair value (amortized cost: 2013: $26,188,523; 2012: $26,544,806)
|
$
|
27,349,185
|
|
|
$
|
27,846,920
|
|
Equity securities, at fair value (cost: 2013: $790,132; 2012: $617,486)
|
850,970
|
|
|
649,359
|
|
||
Short-term investments, at fair value (amortized cost: 2013: $260,021; 2012: $322,563)
|
258,269
|
|
|
322,703
|
|
||
Total investments available for sale
|
$
|
28,458,424
|
|
|
$
|
28,818,982
|
|
Fixed maturities, held to maturity at amortized cost (fair value: 2013: $3,086,378; 2012:$3,262,804)
|
2,661,821
|
|
|
2,814,447
|
|
||
Investments in affiliates
|
1,225,840
|
|
|
1,126,875
|
|
||
Other investments
|
1,142,188
|
|
|
1,219,879
|
|
||
Total investments
|
$
|
33,488,273
|
|
|
$
|
33,980,183
|
|
Cash and cash equivalents
|
2,473,287
|
|
|
2,618,378
|
|
||
Accrued investment income
|
316,718
|
|
|
342,778
|
|
||
Deferred acquisition costs
|
732,218
|
|
|
675,705
|
|
||
Ceded unearned premiums
|
646,269
|
|
|
587,909
|
|
||
Premiums receivable
|
3,156,137
|
|
|
2,568,861
|
|
||
Reinsurance balances receivable
|
99,337
|
|
|
58,428
|
|
||
Unpaid losses and loss expenses recoverable
|
3,341,855
|
|
|
3,382,101
|
|
||
Receivable from investments sold
|
39,659
|
|
|
16,002
|
|
||
Goodwill and other intangible assets
|
406,748
|
|
|
408,527
|
|
||
Deferred tax asset
|
172,446
|
|
|
166,142
|
|
||
Other assets
|
649,316
|
|
|
582,765
|
|
||
Total assets
|
$
|
45,522,263
|
|
|
$
|
45,387,779
|
|
|
|
|
|
||||
LIABILITIES AND SHAREHOLDERS’ EQUITY
|
|||||||
Liabilities:
|
|
|
|
|
|
||
Unpaid losses and loss expenses
|
$
|
20,177,581
|
|
|
$
|
20,484,121
|
|
Deposit liabilities
|
1,527,323
|
|
|
1,551,398
|
|
||
Future policy benefit reserves
|
4,550,916
|
|
|
4,812,045
|
|
||
Unearned premiums
|
4,342,664
|
|
|
3,755,920
|
|
||
Notes payable and debt
|
1,672,206
|
|
|
1,672,778
|
|
||
Reinsurance balances payable
|
267,472
|
|
|
143,112
|
|
||
Payable for investments purchased
|
145,854
|
|
|
102,112
|
|
||
Deferred tax liability
|
110,984
|
|
|
141,803
|
|
||
Other liabilities
|
895,417
|
|
|
868,093
|
|
||
Total liabilities
|
$
|
33,690,417
|
|
|
$
|
33,531,382
|
|
Commitments and Contingencies
|
|
|
|
|
|
||
Shareholders’ Equity:
|
|
|
|
|
|
||
Ordinary shares, 999,990,000 authorized, par value $0.01; issued and outstanding: (2013: 291,831,433; 2012: 298,681,573)
|
$
|
2,918
|
|
|
$
|
2,987
|
|
Additional paid in capital
|
8,371,527
|
|
|
8,584,753
|
|
||
Accumulated other comprehensive income
|
1,405,110
|
|
|
1,520,011
|
|
||
Retained earnings (deficit)
|
707,791
|
|
|
402,321
|
|
||
Shareholders’ equity attributable to XL Group plc
|
$
|
10,487,346
|
|
|
$
|
10,510,072
|
|
Non-controlling interest in equity of consolidated subsidiaries
|
1,344,500
|
|
|
1,346,325
|
|
||
Total shareholders’ equity
|
$
|
11,831,846
|
|
|
$
|
11,856,397
|
|
Total liabilities and shareholders’ equity
|
$
|
45,522,263
|
|
|
$
|
45,387,779
|
|
|
Three Months Ended
|
||||||
|
March 31,
|
||||||
(U.S. dollars in thousands, except per share data)
|
2013
|
|
2012
|
||||
Revenues:
|
|
|
|
|
|
||
Net premiums earned
|
$
|
1,529,691
|
|
|
$
|
1,436,418
|
|
Net investment income
|
246,469
|
|
|
265,242
|
|
||
Realized investment gains (losses):
|
|
|
|
|
|
||
Net realized gains (losses) on investments sold
|
41,147
|
|
|
41,768
|
|
||
Other-than-temporary impairments on investments
|
(3,727
|
)
|
|
(18,565
|
)
|
||
Other-than-temporary impairments on investments transferred to (from) other comprehensive income
|
(910
|
)
|
|
(2,400
|
)
|
||
Total net realized gains (losses) on investments
|
$
|
36,510
|
|
|
$
|
20,803
|
|
Net realized and unrealized gains (losses) on derivative instruments
|
7,885
|
|
|
702
|
|
||
Income (loss) from investment fund affiliates
|
32,221
|
|
|
19,408
|
|
||
Fee income and other
|
9,632
|
|
|
9,859
|
|
||
Total revenues
|
$
|
1,862,408
|
|
|
$
|
1,752,432
|
|
Expenses:
|
|
|
|
|
|
||
Net losses and loss expenses incurred
|
$
|
843,084
|
|
|
$
|
854,065
|
|
Claims and policy benefits
|
110,954
|
|
|
121,307
|
|
||
Acquisition costs
|
220,259
|
|
|
224,151
|
|
||
Operating expenses
|
283,833
|
|
|
282,411
|
|
||
Exchange (gains) losses
|
(33,435
|
)
|
|
12,718
|
|
||
Interest expense
|
38,700
|
|
|
39,298
|
|
||
Total expenses
|
$
|
1,463,395
|
|
|
$
|
1,533,950
|
|
Income (loss) before income tax and income (loss) from operating affiliates
|
$
|
399,013
|
|
|
$
|
218,482
|
|
Income (loss) from operating affiliates
|
30,998
|
|
|
16,253
|
|
||
Provision (benefit) for income tax
|
43,479
|
|
|
21,550
|
|
||
Net income (loss)
|
$
|
386,532
|
|
|
$
|
213,185
|
|
Non-controlling interests
|
(35,742
|
)
|
|
(36,557
|
)
|
||
Net income (loss) attributable to XL Group plc and ordinary shareholders
|
$
|
350,790
|
|
|
$
|
176,628
|
|
Weighted average ordinary shares and ordinary share equivalents outstanding – basic
|
295,000
|
|
|
315,120
|
|
||
Weighted average ordinary shares and ordinary share equivalents outstanding – diluted
|
299,469
|
|
|
317,639
|
|
||
Earnings (loss) per ordinary share and ordinary share equivalent – basic
|
$
|
1.19
|
|
|
$
|
0.56
|
|
Earnings (loss) per ordinary share and ordinary share equivalent –diluted
|
$
|
1.17
|
|
|
$
|
0.56
|
|
|
Three Months Ended
|
||||||
|
March 31,
|
||||||
(U.S. dollars in thousands)
|
2013
|
|
2012
|
||||
Net income (loss) attributable to XL Group plc
|
$
|
350,790
|
|
|
$
|
176,628
|
|
Change in net unrealized gains (losses) on investments, net of tax
|
(112,222
|
)
|
|
212,324
|
|
||
Change in net unrealized gains (losses) on affiliate and other investments, net of tax
|
(4,435
|
)
|
|
15,050
|
|
||
Change in OTTI losses recognized in other comprehensive income, net of tax
|
5,182
|
|
|
12,421
|
|
||
Change in underfunded pension liability
|
385
|
|
|
(174
|
)
|
||
Change in value of cash flow hedge
|
110
|
|
|
110
|
|
||
Foreign currency translation adjustments
|
(3,921
|
)
|
|
8,721
|
|
||
Comprehensive income (loss)
|
$
|
235,889
|
|
|
$
|
425,080
|
|
|
Three Months Ended
|
||||||
|
March 31,
|
||||||
(U.S. dollars in thousands)
|
2013
|
|
2012
|
||||
Ordinary Shares:
|
|
|
|
|
|
||
Balance - beginning of year
|
$
|
2,987
|
|
|
$
|
3,156
|
|
Issuance of ordinary shares
|
8
|
|
|
8
|
|
||
Buybacks of ordinary shares
|
(80
|
)
|
|
(48
|
)
|
||
Exercise of stock options
|
3
|
|
|
1
|
|
||
Balance - end of period
|
$
|
2,918
|
|
|
$
|
3,117
|
|
Additional Paid in Capital:
|
|
|
|
|
|
||
Balance - beginning of year
|
$
|
8,584,753
|
|
|
$
|
8,938,679
|
|
Issuance of ordinary shares
|
7
|
|
|
7
|
|
||
Buybacks of ordinary shares
|
(220,572
|
)
|
|
(100,442
|
)
|
||
Exercise of stock options
|
4,313
|
|
|
942
|
|
||
Share-based compensation expense
|
3,026
|
|
|
7,646
|
|
||
Balance - end of period
|
$
|
8,371,527
|
|
|
$
|
8,846,832
|
|
Accumulated Other Comprehensive Income (Loss):
|
|
|
|
|
|
||
Balance - beginning of year
|
$
|
1,520,011
|
|
|
$
|
583,064
|
|
Change in net unrealized gains (losses) on investments, net of tax
|
(112,222
|
)
|
|
212,324
|
|
||
Change in net unrealized gains (losses) on affiliate and other investments, net of tax
|
(4,435
|
)
|
|
15,050
|
|
||
Change in OTTI losses recognized in other comprehensive income, net of tax
|
5,182
|
|
|
12,421
|
|
||
Change in underfunded pension liability
|
385
|
|
|
(174
|
)
|
||
Change in value of cash flow hedge
|
110
|
|
|
110
|
|
||
Foreign currency translation adjustments
|
(3,921
|
)
|
|
8,721
|
|
||
Balance - end of period
|
$
|
1,405,110
|
|
|
$
|
831,516
|
|
Retained Earnings (Deficit):
|
|
|
|
|
|
||
Balance - beginning of year
|
$
|
402,321
|
|
|
$
|
(113,241
|
)
|
Net income (loss) attributable to XL Group plc
|
350,790
|
|
|
176,628
|
|
||
Dividends on ordinary shares
|
(41,553
|
)
|
|
(34,830
|
)
|
||
Buybacks of ordinary shares
|
(3,767
|
)
|
|
—
|
|
||
Balance - end of period
|
$
|
707,791
|
|
|
$
|
28,557
|
|
Non-controlling Interest in Equity of Consolidated Subsidiaries:
|
|
|
|
|
|
||
Balance - beginning of year
|
$
|
1,346,325
|
|
|
$
|
1,344,472
|
|
Non-controlling interests - distribution
|
(37
|
)
|
|
—
|
|
||
Non-controlling interests
|
82
|
|
|
—
|
|
||
Non-controlling interest share in change in accumulated other comprehensive income (loss)
|
(29
|
)
|
|
(5
|
)
|
||
Non-controlling interests - deconsolidation
|
(1,841
|
)
|
|
—
|
|
||
Balance - end of period
|
$
|
1,344,500
|
|
|
$
|
1,344,467
|
|
Total Shareholders’ Equity
|
$
|
11,831,846
|
|
|
$
|
11,054,489
|
|
|
Three Months Ended
|
||||||
|
March 31,
|
||||||
(U.S. dollars in thousands)
|
2013
|
|
2012
|
||||
Cash flows provided by (used in) operating activities:
|
|
|
|
||||
Net income (loss)
|
$
|
386,532
|
|
|
$
|
213,185
|
|
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
|
|
|
|
||||
Net realized (gains) losses on investments
|
(36,510
|
)
|
|
(20,803
|
)
|
||
Net realized and unrealized (gains) losses on derivative instruments
|
(7,885
|
)
|
|
(702
|
)
|
||
Amortization of premiums (discounts) on fixed maturities
|
37,783
|
|
|
36,678
|
|
||
(Income) loss from investment and operating affiliates
|
(63,219
|
)
|
|
(35,661
|
)
|
||
Share-based compensation
|
15,086
|
|
|
11,172
|
|
||
Depreciation
|
13,109
|
|
|
13,859
|
|
||
Accretion of deposit liabilities
|
12,564
|
|
|
16,446
|
|
||
Changes in:
|
|
|
|
||||
Unpaid losses and loss expenses
|
(117,861
|
)
|
|
(444,959
|
)
|
||
Future policy benefit reserves
|
(48,114
|
)
|
|
(37,565
|
)
|
||
Unearned premiums
|
636,875
|
|
|
655,416
|
|
||
Premiums receivable
|
(629,528
|
)
|
|
(573,122
|
)
|
||
Unpaid losses and loss expenses recoverable
|
2,973
|
|
|
245,960
|
|
||
Ceded unearned premiums
|
(65,191
|
)
|
|
(47,201
|
)
|
||
Reinsurance balances receivable
|
(41,234
|
)
|
|
(38,319
|
)
|
||
Deferred acquisition costs
|
(70,547
|
)
|
|
(81,792
|
)
|
||
Reinsurance balances payable
|
129,253
|
|
|
243,696
|
|
||
Deferred tax asset - net
|
(17,565
|
)
|
|
9,243
|
|
||
Derivatives
|
52,675
|
|
|
(17,908
|
)
|
||
Other assets
|
(24,197
|
)
|
|
42,434
|
|
||
Other liabilities
|
(23,052
|
)
|
|
(45,522
|
)
|
||
Other
|
3,697
|
|
|
8,835
|
|
||
Total adjustments
|
$
|
(240,888
|
)
|
|
$
|
(59,815
|
)
|
Net cash provided by (used in) operating activities
|
$
|
145,644
|
|
|
$
|
153,370
|
|
Cash flows provided by (used in) investing activities:
|
|
|
|
||||
Proceeds from sale of fixed maturities and short-term investments
|
$
|
1,198,391
|
|
|
$
|
1,499,832
|
|
Proceeds from redemption of fixed maturities and short-term investments
|
1,174,101
|
|
|
1,246,431
|
|
||
Proceeds from sale of equity securities
|
37,446
|
|
|
7,635
|
|
||
Purchases of fixed maturities and short-term investments
|
(2,262,022
|
)
|
|
(3,385,981
|
)
|
||
Purchases of equity securities
|
(209,793
|
)
|
|
(119,052
|
)
|
||
Net dispositions of investment affiliates
|
(62,387
|
)
|
|
34,358
|
|
||
Other investments, net
|
121,771
|
|
|
(45,333
|
)
|
||
Net cash provided by (used in) investing activities
|
$
|
(2,493
|
)
|
|
$
|
(762,110
|
)
|
Cash flows provided by (used in) financing activities:
|
|
|
|
||||
Proceeds from issuance of ordinary shares and exercise of stock options
|
$
|
3,248
|
|
|
$
|
942
|
|
Buybacks of ordinary shares
|
(224,420
|
)
|
|
(100,490
|
)
|
||
Dividends paid on ordinary shares
|
(805
|
)
|
|
(1,218
|
)
|
||
Distributions to non-controlling interests
|
(3,257
|
)
|
|
(3,985
|
)
|
||
Repayment of debt
|
—
|
|
|
(600,000
|
)
|
||
Deposit liabilities
|
(38,704
|
)
|
|
(30,437
|
)
|
||
Net cash provided by (used in) financing activities
|
$
|
(263,938
|
)
|
|
$
|
(735,188
|
)
|
Effects of exchange rate changes on foreign currency cash
|
(24,304
|
)
|
|
25,121
|
|
||
Increase (decrease) in cash and cash equivalents
|
$
|
(145,091
|
)
|
|
$
|
(1,318,807
|
)
|
Cash and cash equivalents - beginning of period
|
2,618,378
|
|
|
3,825,125
|
|
||
Cash and cash equivalents - end of period
|
$
|
2,473,287
|
|
|
$
|
2,506,318
|
|
March 31, 2013
(U.S. dollars in thousands)
|
Quoted Prices
in Active
Markets for
Identical Assets
(Level 1)
|
|
Significant
Other
Observable
Inputs
(Level 2)
|
|
Significant
Other
Unobservable
Inputs
(Level 3)
|
|
Collateral
and
Counterparty
Netting
|
|
Balance at
March 31,
2013
|
||||||||||
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
U.S. Government and Government - Related/Supported
|
$
|
—
|
|
|
$
|
1,978,000
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
1,978,000
|
|
Corporate (1) (2)
|
—
|
|
|
10,264,509
|
|
|
40,815
|
|
|
—
|
|
|
10,305,324
|
|
|||||
Residential mortgage-backed securities – Agency (“RMBS - Agency”)
|
—
|
|
|
4,821,601
|
|
|
19,107
|
|
|
—
|
|
|
4,840,708
|
|
|||||
Residential mortgage-backed securities – Non-Agency (“RMBS - Non-Agency”)
|
—
|
|
|
593,288
|
|
|
103
|
|
|
—
|
|
|
593,391
|
|
|||||
Commercial mortgage-backed securities (“CMBS”)
|
—
|
|
|
1,128,329
|
|
|
25,012
|
|
|
—
|
|
|
1,153,341
|
|
|||||
Collateralized debt obligations (“CDO”)
|
—
|
|
|
8,163
|
|
|
702,904
|
|
|
—
|
|
|
711,067
|
|
|||||
Other asset-backed securities (2)
|
—
|
|
|
1,244,792
|
|
|
35,887
|
|
|
—
|
|
|
1,280,679
|
|
|||||
U.S. States and political subdivisions of the States
|
—
|
|
|
1,889,269
|
|
|
—
|
|
|
—
|
|
|
1,889,269
|
|
|||||
Non-U.S. Sovereign Government, Provincial, Supranational and Government-Related/Supported
|
—
|
|
|
4,597,406
|
|
|
—
|
|
|
—
|
|
|
4,597,406
|
|
|||||
Total fixed maturities, at fair value
|
$
|
—
|
|
|
$
|
26,525,357
|
|
|
$
|
823,828
|
|
|
$
|
—
|
|
|
$
|
27,349,185
|
|
Equity securities, at fair value (3)
|
369,864
|
|
|
481,106
|
|
|
—
|
|
|
—
|
|
|
850,970
|
|
|||||
Short-term investments, at fair value (1)(4)
|
—
|
|
|
256,252
|
|
|
2,017
|
|
|
—
|
|
|
258,269
|
|
|||||
Total investments available for sale
|
$
|
369,864
|
|
|
$
|
27,262,715
|
|
|
$
|
825,845
|
|
|
$
|
—
|
|
|
$
|
28,458,424
|
|
Cash equivalents (5)
|
1,347,072
|
|
|
343,554
|
|
|
—
|
|
|
—
|
|
|
1,690,626
|
|
|||||
Other investments (6)
|
|
|
717,214
|
|
|
113,322
|
|
|
—
|
|
|
830,536
|
|
||||||
Other assets (7)
|
—
|
|
|
108,745
|
|
|
—
|
|
|
(680
|
)
|
|
108,065
|
|
|||||
Total assets accounted for at fair value
|
$
|
1,716,936
|
|
|
$
|
28,432,228
|
|
|
$
|
939,167
|
|
|
$
|
(680
|
)
|
|
$
|
31,087,651
|
|
Liabilities
|
|
|
|
|
|
|
|
|
|
||||||||||
Financial instruments sold, but not yet purchased (8)
|
$
|
165
|
|
|
$
|
30,105
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
30,270
|
|
Other liabilities (7)
|
—
|
|
|
28,844
|
|
|
32,550
|
|
|
(680
|
)
|
|
60,714
|
|
|||||
Total liabilities accounted for at fair value
|
$
|
165
|
|
|
$
|
58,949
|
|
|
$
|
32,550
|
|
|
$
|
(680
|
)
|
|
$
|
90,984
|
|
December 31, 2012
(U.S. dollars in thousands)
|
Quoted Prices
in Active
Markets for
Identical Assets
(Level 1)
|
|
Significant
Other
Observable
Inputs
(Level 2)
|
|
Significant
Other
Unobservable
Inputs
(Level 3)
|
|
Collateral
and
Counterparty
Netting
|
|
Balance at
December 31,
2012
|
||||||||||
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
U.S. Government and Government - Related/Supported
|
$
|
—
|
|
|
$
|
2,034,617
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
2,034,617
|
|
Corporate (1) (2)
|
—
|
|
|
10,451,902
|
|
|
30,098
|
|
|
—
|
|
|
10,482,000
|
|
|||||
RMBS – Agency
|
—
|
|
|
5,223,488
|
|
|
32,005
|
|
|
—
|
|
|
5,255,493
|
|
|||||
RMBS – Non-Agency
|
—
|
|
|
647,617
|
|
|
116
|
|
|
—
|
|
|
647,733
|
|
|||||
CMBS
|
—
|
|
|
1,051,904
|
|
|
25,347
|
|
|
—
|
|
|
1,077,251
|
|
|||||
CDO
|
—
|
|
|
8,080
|
|
|
701,736
|
|
|
—
|
|
|
709,816
|
|
|||||
Other asset-backed securities (2)
|
—
|
|
|
1,452,583
|
|
|
18,128
|
|
|
—
|
|
|
1,470,711
|
|
|||||
U.S. States and political subdivisions of the States
|
—
|
|
|
1,911,017
|
|
|
—
|
|
|
—
|
|
|
1,911,017
|
|
|||||
Non-U.S. Sovereign Government, Provincial, Supranational and Government-Related/Supported
|
—
|
|
|
4,258,282
|
|
|
—
|
|
|
—
|
|
|
4,258,282
|
|
|||||
Total fixed maturities, at fair value
|
$
|
—
|
|
|
$
|
27,039,490
|
|
|
$
|
807,430
|
|
|
$
|
—
|
|
|
$
|
27,846,920
|
|
Equity securities, at fair value (3)
|
253,957
|
|
|
395,402
|
|
|
—
|
|
|
—
|
|
|
649,359
|
|
|||||
Short-term investments, at fair value (1)(4)
|
—
|
|
|
322,703
|
|
|
—
|
|
|
—
|
|
|
322,703
|
|
|||||
Total investments available for sale
|
$
|
253,957
|
|
|
$
|
27,757,595
|
|
|
$
|
807,430
|
|
|
$
|
—
|
|
|
$
|
28,818,982
|
|
Cash equivalents (5)
|
1,596,376
|
|
|
408,292
|
|
|
—
|
|
|
—
|
|
|
2,004,668
|
|
|||||
Other investments (6)
|
—
|
|
|
792,483
|
|
|
115,272
|
|
|
—
|
|
|
907,755
|
|
|||||
Other assets (7)
|
—
|
|
|
24,842
|
|
|
—
|
|
|
(1,327
|
)
|
|
23,515
|
|
|||||
Total assets accounted for at fair value
|
$
|
1,850,333
|
|
|
$
|
28,983,212
|
|
|
$
|
922,702
|
|
|
$
|
(1,327
|
)
|
|
$
|
31,754,920
|
|
Liabilities
|
|
|
|
|
|
|
|
|
|
||||||||||
Financial instruments sold, but not yet purchased (8)
|
$
|
—
|
|
|
$
|
26,235
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
26,235
|
|
Other liabilities (7)
|
—
|
|
|
30,379
|
|
|
36,247
|
|
|
(1,327
|
)
|
|
65,299
|
|
|||||
Total liabilities accounted for at fair value
|
$
|
—
|
|
|
$
|
56,614
|
|
|
$
|
36,247
|
|
|
$
|
(1,327
|
)
|
|
$
|
91,534
|
|
(1)
|
Included within Corporate are certain medium term notes supported primarily by pools of European investment grade credit with varying degrees of leverage. The notes had a fair value of
$193.7 million
and
$194.3 million
and an amortized cost of
$192.4 million
and
$194.8 million
at
March 31, 2013
and
December 31, 2012
, respectively. These notes allow the investor to participate in cash flows of the underlying bonds including certain residual values, which could serve to either decrease or increase the ultimate values of these notes.
|
(2)
|
The Company invests in covered bonds (“Covered Bonds”). Covered Bonds are senior secured debt instruments issued by financial institutions and backed by over-collateralized pools of public sector or mortgage loans. At
March 31, 2013
and
December 31, 2012
, Covered Bonds with a fair value of
$521.0 million
and
$647.1 million
, respectively, are included within Other asset-backed securities.
|
(3)
|
Included within Equity securities are investments in fixed income funds with a fair value of
$101.0 million
and
$101.9 million
at
March 31, 2013
and
December 31, 2012
, respectively.
|
(4)
|
Short-term investments consist primarily of Corporate securities and U.S. and Non-U.S. Government and Government-Related/ Supported securities.
|
(5)
|
Cash equivalents balances subject to fair value measurement include certificates of deposit and money market funds. Operating cash balances are not subject to fair value measurement guidance.
|
(6)
|
The Other investments balance excludes certain structured transactions including certain investments in project finance transactions, a payment obligation and liquidity financing provided to a structured credit vehicle as a part of a third party medium term note facility. These investments, which totaled
$311.7 million
at
March 31, 2013
and
$312.1 million
at
December 31, 2012
, are carried at amortized cost. For further information, see Item 8, Note 7, “Other Investments,” to the Consolidated Financial Statements included in our Annual Report on Form 10-K for the year ended
December 31, 2012
.
|
(7)
|
Other assets and other liabilities include derivative instruments. The derivative balances included in each category are reported on a gross basis by level with a netting adjustment presented separately in the Collateral and Counterparty Netting column. The fair values of the individual derivative contracts are reported gross in their respective levels based on the fair value hierarchy. For further details regarding derivative fair values and associated collateral received or paid see Note 6, “Derivative Instruments,” to the Unaudited Consolidated Financial Statements.
|
(8)
|
Financial instruments sold, but not yet purchased, represent “short sales” and are included within “Payable for investments purchased” on the balance sheet.
|
|
Level 3 Assets and Liabilities -Three Months Ended March 31, 2013
|
||||||||||||||||||
(U.S. dollars in thousands)
|
Corporate
|
|
RMBS - Agency
|
|
RMBS - Non
Agency
|
|
CMBS
|
|
CDO
|
||||||||||
Balance, beginning of period
|
$
|
30,098
|
|
|
$
|
32,005
|
|
|
$
|
116
|
|
|
$
|
25,347
|
|
|
$
|
701,736
|
|
Realized gains (losses)
|
(2
|
)
|
|
13
|
|
|
—
|
|
|
—
|
|
|
356
|
|
|||||
Movement in unrealized gains (losses)
|
204
|
|
|
(18
|
)
|
|
—
|
|
|
1
|
|
|
21,255
|
|
|||||
Purchases and issuances
|
10,621
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
Sales
|
—
|
|
|
(535
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
Settlements
|
(106
|
)
|
|
(893
|
)
|
|
(13
|
)
|
|
(336
|
)
|
|
(20,443
|
)
|
|||||
Transfers into Level 3
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
Transfers out of Level 3
|
—
|
|
|
(11,465
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
Fixed maturities to short-term investments classification change
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
Balance, end of period
|
$
|
40,815
|
|
|
$
|
19,107
|
|
|
$
|
103
|
|
|
$
|
25,012
|
|
|
$
|
702,904
|
|
Movement in total gains (losses) above relating to instruments still held at the reporting date
|
$
|
202
|
|
|
$
|
(5
|
)
|
|
$
|
—
|
|
|
$
|
1
|
|
|
$
|
20,892
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
Level 3 Assets and Liabilities -Three Months Ended March 31, 2013
|
||||||||||||||||||
(U.S. dollars in thousands)
|
Other asset-
backed
securities
|
|
Non-US Sovereign
Government,
Provincial,
Supranational and
Government
Related/Supported
|
|
Short-term
investments
|
|
Other investments
|
|
Derivative Contracts
- Net
|
||||||||||
Balance, beginning of period
|
$
|
18,128
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
115,272
|
|
|
$
|
(36,247
|
)
|
Realized gains (losses)
|
51
|
|
|
—
|
|
|
—
|
|
|
2,915
|
|
|
—
|
|
|||||
Movement in unrealized gains (losses)
|
1,475
|
|
|
—
|
|
|
—
|
|
|
(1,902
|
)
|
|
3,697
|
|
|||||
Purchases and issuances
|
21,686
|
|
|
—
|
|
|
2,017
|
|
|
1,905
|
|
|
—
|
|
|||||
Sales
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
Settlements
|
(5,453
|
)
|
|
—
|
|
|
—
|
|
|
(4,868
|
)
|
|
—
|
|
|||||
Transfers into Level 3
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
Transfers out of Level 3
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
Fixed maturities to short-term investments classification change
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
Balance, end of period
|
$
|
35,887
|
|
|
$
|
—
|
|
|
$
|
2,017
|
|
|
$
|
113,322
|
|
|
$
|
(32,550
|
)
|
Movement in total gains (losses) above relating to instruments still held at the reporting date
|
$
|
7
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
1,013
|
|
|
$
|
3,697
|
|
|
Level 3 Assets and Liabilities - Three Months Ended March 31, 2012
|
||||||||||||||||||
(U.S. dollars in thousands)
|
Corporate
|
|
RMBS - Agency
|
|
RMBS - Non
Agency
|
|
CMBS
|
|
CDO
|
||||||||||
Balance, beginning of period
|
$
|
23,818
|
|
|
$
|
32,041
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
650,851
|
|
Realized gains (losses)
|
(18
|
)
|
|
13
|
|
|
—
|
|
|
—
|
|
|
(1,649
|
)
|
|||||
Movement in unrealized gains (losses)
|
(315
|
)
|
|
(79
|
)
|
|
—
|
|
|
—
|
|
|
33,116
|
|
|||||
Purchases and issuances
|
9,076
|
|
|
36
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
Sales
|
—
|
|
|
(1,334
|
)
|
|
—
|
|
|
—
|
|
|
(37,181
|
)
|
|||||
Settlements
|
(137
|
)
|
|
(1,014
|
)
|
|
—
|
|
|
—
|
|
|
(6,440
|
)
|
|||||
Transfers into Level 3
|
881
|
|
|
10,132
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
Transfers out of Level 3
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
Fixed maturities to short-term investments classification change
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
Balance, end of period
|
$
|
33,305
|
|
|
$
|
39,795
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
638,697
|
|
Movement in total gains (losses) above relating to instruments still held at the reporting date
|
$
|
(332
|
)
|
|
$
|
(54
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
29,202
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
Level 3 Assets and Liabilities - Three Months Ended March 31, 2012
|
||||||||||||||||||
(U.S. dollars in thousands)
|
Other asset-
backed
securities
|
|
Non-US Sovereign
Government,
Provincial,
Supranational and
Government
Related/Supported
|
|
Short-term
investments
|
|
Other investments
|
|
Derivative Contracts
- Net
|
||||||||||
Balance, beginning of period
|
$
|
16,552
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
113,959
|
|
|
$
|
(42,644
|
)
|
Realized gains (losses)
|
21
|
|
|
—
|
|
|
—
|
|
|
1,925
|
|
|
—
|
|
|||||
Movement in unrealized gains (losses)
|
(163
|
)
|
|
—
|
|
|
—
|
|
|
899
|
|
|
2,014
|
|
|||||
Purchases and issuances
|
—
|
|
|
—
|
|
|
—
|
|
|
1,317
|
|
|
—
|
|
|||||
Sales
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
Settlements
|
—
|
|
|
—
|
|
|
—
|
|
|
(2,441
|
)
|
|
—
|
|
|||||
Transfers into Level 3
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
Transfers out of Level 3
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
Fixed maturities to short-term investments classification change
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
Balance, end of period
|
$
|
16,410
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
115,659
|
|
|
$
|
(40,630
|
)
|
Movement in total gains (losses) above relating to instruments still held at the reporting date
|
$
|
(431
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(313
|
)
|
|
$
|
2,014
|
|
|
March 31, 2013
|
|
December 31, 2012
|
||||||||||||
(U.S. dollars in thousands)
|
Carrying
Value
|
|
Fair
Value
|
|
Carrying
Value
|
|
Fair
Value
|
||||||||
Fixed maturities, held to maturity
|
$
|
2,661,821
|
|
|
$
|
3,086,378
|
|
|
$
|
2,814,447
|
|
|
$
|
3,262,804
|
|
Other investments - structured transactions
|
311,651
|
|
|
304,439
|
|
|
312,122
|
|
|
293,813
|
|
||||
Financial Assets
|
$
|
2,973,472
|
|
|
$
|
3,390,817
|
|
|
$
|
3,126,569
|
|
|
$
|
3,556,617
|
|
Deposit liabilities
|
$
|
1,527,323
|
|
|
$
|
1,855,009
|
|
|
$
|
1,551,398
|
|
|
$
|
1,878,499
|
|
Notes payable and debt
|
1,672,206
|
|
|
1,908,871
|
|
|
1,672,778
|
|
|
1,918,134
|
|
||||
Financial Liabilities
|
$
|
3,199,529
|
|
|
$
|
3,763,880
|
|
|
$
|
3,224,176
|
|
|
$
|
3,796,633
|
|
Three Months Ended March 31, 2013
(U.S. dollars in thousands, except ratios)
|
Insurance
|
|
Reinsurance
|
|
Total P&C
|
|
Life
Operations
|
|
Total
|
||||||||||
Gross premiums written
|
$
|
1,497,787
|
|
|
$
|
907,129
|
|
|
$
|
2,404,916
|
|
|
$
|
72,970
|
|
|
$
|
2,477,886
|
|
Net premiums written
|
1,189,188
|
|
|
853,021
|
|
|
2,042,209
|
|
|
65,445
|
|
|
2,107,654
|
|
|||||
Net premiums earned
|
1,039,092
|
|
|
425,154
|
|
|
1,464,246
|
|
|
65,445
|
|
|
1,529,691
|
|
|||||
Net losses and loss expenses
|
650,517
|
|
|
192,567
|
|
|
843,084
|
|
|
110,954
|
|
|
954,038
|
|
|||||
Acquisition costs
|
130,622
|
|
|
85,534
|
|
|
216,156
|
|
|
4,103
|
|
|
220,259
|
|
|||||
Operating expenses (1)
|
183,997
|
|
|
40,421
|
|
|
224,418
|
|
|
2,595
|
|
|
227,013
|
|
|||||
Underwriting profit (loss)
|
$
|
73,956
|
|
|
$
|
106,632
|
|
|
$
|
180,588
|
|
|
$
|
(52,207
|
)
|
|
$
|
128,381
|
|
Net investment income
|
|
|
|
|
|
|
157,040
|
|
|
71,688
|
|
|
228,728
|
|
|||||
Net results from structured products (2)
|
4,185
|
|
|
991
|
|
|
5,176
|
|
|
—
|
|
|
5,176
|
|
|||||
Net fee income and other (3)
|
(1,939
|
)
|
|
632
|
|
|
(1,307
|
)
|
|
1,043
|
|
|
(264
|
)
|
|||||
Net realized gains (losses) on investments
|
|
|
|
|
|
|
45,579
|
|
|
(9,069
|
)
|
|
36,510
|
|
|||||
Contribution from P&C and Life Operations
|
|
|
|
|
|
|
$
|
387,076
|
|
|
$
|
11,455
|
|
|
$
|
398,531
|
|
||
Corporate & other:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Net realized & unrealized gains (losses) on derivative instruments
|
|
|
|
|
|
|
|
|
|
|
|
|
7,885
|
|
|||||
Net income (loss) from investment fund affiliates and operating affiliates (4)
|
|
|
|
|
|
|
|
|
|
|
|
|
63,219
|
|
|||||
Exchange gains (losses)
|
|
|
|
|
|
|
|
|
|
|
|
|
33,435
|
|
|||||
Corporate operating expenses
|
|
|
|
|
|
|
|
|
|
|
|
|
46,923
|
|
|||||
Interest expense (5)
|
|
|
|
|
|
|
|
|
|
|
|
|
26,136
|
|
|||||
Non-controlling interests
|
|
|
|
|
|
|
|
|
|
|
|
|
35,742
|
|
|||||
Income tax expense
|
|
|
|
|
|
|
|
|
|
|
|
|
43,479
|
|
|||||
Net income (loss) attributable to XL Group plc
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
350,790
|
|
||||
Ratios – P&C operations: (6)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Loss and loss expense ratio
|
62.6
|
%
|
|
45.3
|
%
|
|
57.6
|
%
|
|
|
|
|
|
|
|||||
Underwriting expense ratio
|
30.3
|
%
|
|
29.6
|
%
|
|
30.1
|
%
|
|
|
|
|
|
|
|||||
Combined ratio
|
92.9
|
%
|
|
74.9
|
%
|
|
87.7
|
%
|
|
|
|
|
|
|
(1)
|
Operating expenses exclude Corporate operating expenses, shown separately.
|
(2)
|
The net results from P&C structured products include net investment income and interest expense of
$17.7 million
and
$12.6 million
, respectively.
|
(3)
|
Net fee income and other includes operating expenses from the Company's loss prevention consulting services business.
|
(4)
|
The Company records the income related to the alternative funds and to the private investment and operating fund affiliates on a
one
-month and
three
-month lag, respectively.
|
(5)
|
Interest expense excludes interest expense related to deposit liabilities recorded in the Insurance and Reinsurance segments.
|
(6)
|
Ratios are based on net premiums earned from P&C operations.
|
Three Months Ended March 31, 2012
(U.S. dollars in thousands, except ratios)
|
Insurance
|
|
Reinsurance
|
|
Total P&C
|
|
Life
Operations
|
|
Total
|
||||||||||
Gross premiums written
|
$
|
1,336,634
|
|
|
$
|
980,350
|
|
|
$
|
2,316,984
|
|
|
$
|
86,683
|
|
|
$
|
2,403,667
|
|
Net premiums written
|
1,036,526
|
|
|
926,702
|
|
|
1,963,228
|
|
|
78,496
|
|
|
2,041,724
|
|
|||||
Net premiums earned
|
934,056
|
|
|
423,842
|
|
|
1,357,898
|
|
|
78,520
|
|
|
1,436,418
|
|
|||||
Net losses and loss expenses
|
631,685
|
|
|
222,380
|
|
|
854,065
|
|
|
121,307
|
|
|
975,372
|
|
|||||
Acquisition costs
|
128,256
|
|
|
88,244
|
|
|
216,500
|
|
|
7,651
|
|
|
224,151
|
|
|||||
Operating expenses (1)
|
185,346
|
|
|
38,747
|
|
|
224,093
|
|
|
2,607
|
|
|
226,700
|
|
|||||
Underwriting profit (loss)
|
$
|
(11,231
|
)
|
|
$
|
74,471
|
|
|
$
|
63,240
|
|
|
$
|
(53,045
|
)
|
|
$
|
10,195
|
|
Net investment income
|
|
|
|
|
|
|
172,968
|
|
|
75,026
|
|
|
247,994
|
|
|||||
Net results from structured products (2)
|
2,819
|
|
|
2,438
|
|
|
5,257
|
|
|
—
|
|
|
5,257
|
|
|||||
Net fee income and other (3)
|
(2,020
|
)
|
|
333
|
|
|
(1,687
|
)
|
|
48
|
|
|
(1,639
|
)
|
|||||
Net realized gains (losses) on investments
|
|
|
|
|
|
|
24,967
|
|
|
(4,164
|
)
|
|
20,803
|
|
|||||
Contribution from P&C and Life Operations
|
|
|
|
|
|
|
$
|
264,745
|
|
|
$
|
17,865
|
|
|
$
|
282,610
|
|
||
Corporate & other:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Net realized & unrealized gains (losses) on derivative instruments
|
|
|
|
|
|
|
|
|
|
|
|
|
702
|
|
|||||
Net income (loss) from investment fund affiliates and operating affiliates (4)
|
|
|
|
|
|
|
|
|
|
|
|
|
35,661
|
|
|||||
Exchange gains (losses)
|
|
|
|
|
|
|
|
|
|
|
|
|
(12,718
|
)
|
|||||
Corporate operating expenses
|
|
|
|
|
|
|
|
|
|
|
|
|
44,260
|
|
|||||
Interest expense (5)
|
|
|
|
|
|
|
|
|
|
|
|
|
27,260
|
|
|||||
Non-controlling interests
|
|
|
|
|
|
|
|
|
|
|
|
|
36,557
|
|
|||||
Income tax expense
|
|
|
|
|
|
|
|
|
|
|
|
|
21,550
|
|
|||||
Net income (loss) attributable to XL Group plc
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
176,628
|
|
||||
Ratios – P&C operations: (6)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Loss and loss expense ratio
|
67.6
|
%
|
|
52.5
|
%
|
|
62.9
|
%
|
|
|
|
|
|
|
|||||
Underwriting expense ratio
|
33.6
|
%
|
|
29.9
|
%
|
|
32.4
|
%
|
|
|
|
|
|
|
|||||
Combined ratio
|
101.2
|
%
|
|
82.4
|
%
|
|
95.3
|
%
|
|
|
|
|
|
|
(1)
|
Operating expenses exclude Corporate operating expenses, shown separately.
|
(2)
|
The net results from P&C structured products include net investment income and interest expense of
$17.2 million
and
$12.0 million
, respectively.
|
(3)
|
Net fee income and other includes operating expenses from the Company's loss prevention consulting services business.
|
(4)
|
The Company records the income related to the alternative funds and to the private investment and operating fund affiliates on a
one
-month and
three
-month lag, respectively.
|
(5)
|
Interest expense excludes interest expense related to deposit liabilities recorded in the Insurance and Reinsurance segments.
|
(6)
|
Ratios are based on net premiums earned from P&C operations.
|
Three Months Ended March 31, 2013
(U.S. dollars in thousands)
|
Insurance
|
|
Reinsurance
|
|
Life
Operations
|
|
Total
|
||||||||
P&C Operations:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Professional
|
$
|
350,838
|
|
|
$
|
45,438
|
|
|
$
|
—
|
|
|
$
|
396,276
|
|
Casualty
|
322,937
|
|
|
76,985
|
|
|
—
|
|
|
399,922
|
|
||||
Property catastrophe
|
—
|
|
|
113,645
|
|
|
—
|
|
|
113,645
|
|
||||
Property
|
124,450
|
|
|
141,263
|
|
|
—
|
|
|
265,713
|
|
||||
Marine, energy, aviation and satellite
|
—
|
|
|
27,837
|
|
|
—
|
|
|
27,837
|
|
||||
Specialty
|
182,966
|
|
|
—
|
|
|
—
|
|
|
182,966
|
|
||||
Other (1)
|
57,901
|
|
|
19,986
|
|
|
—
|
|
|
77,887
|
|
||||
Total P&C Operations
|
$
|
1,039,092
|
|
|
$
|
425,154
|
|
|
$
|
—
|
|
|
$
|
1,464,246
|
|
Life Operations:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Annuity
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
29,685
|
|
|
$
|
29,685
|
|
Other Life
|
—
|
|
|
—
|
|
|
35,760
|
|
|
35,760
|
|
||||
Total Life Operations
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
65,445
|
|
|
$
|
65,445
|
|
Total
|
$
|
1,039,092
|
|
|
$
|
425,154
|
|
|
$
|
65,445
|
|
|
$
|
1,529,691
|
|
|
|
|
|
|
|
|
|
||||||||
Three Months Ended March 31, 2012
(U.S. dollars in thousands
)
|
|
|
|
|
|
|
|
|
|
|
|
||||
P&C Operations:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Professional
|
$
|
323,822
|
|
|
$
|
54,908
|
|
|
$
|
—
|
|
|
$
|
378,730
|
|
Casualty
|
261,570
|
|
|
73,238
|
|
|
—
|
|
|
334,808
|
|
||||
Property catastrophe
|
—
|
|
|
102,925
|
|
|
—
|
|
|
102,925
|
|
||||
Property
|
125,929
|
|
|
135,743
|
|
|
—
|
|
|
261,672
|
|
||||
Marine, energy, aviation and satellite
|
—
|
|
|
35,743
|
|
|
—
|
|
|
35,743
|
|
||||
Specialty
|
164,451
|
|
|
—
|
|
|
—
|
|
|
164,451
|
|
||||
Other (1)
|
58,284
|
|
|
21,285
|
|
|
—
|
|
|
79,569
|
|
||||
Total P&C Operations
|
$
|
934,056
|
|
|
$
|
423,842
|
|
|
$
|
—
|
|
|
$
|
1,357,898
|
|
Life Operations:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Annuity
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
31,457
|
|
|
$
|
31,457
|
|
Other Life
|
—
|
|
|
—
|
|
|
47,063
|
|
|
47,063
|
|
||||
Total Life Operations
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
78,520
|
|
|
$
|
78,520
|
|
Total
|
$
|
934,056
|
|
|
$
|
423,842
|
|
|
$
|
78,520
|
|
|
$
|
1,436,418
|
|
(1)
|
Other within the Insurance segment includes: excess and surplus, surety, structured indemnity and certain other discontinued lines. Other within the Reinsurance segment includes: whole account contracts, surety and other lines.
|
|
|
|
Included in AOCI
|
|
|
|
|
||||||||||||
March 31, 2013
(U.S. dollars in thousands)
|
Cost or
Amortized
Cost
|
|
Gross
Unrealized
Gains
|
|
Gross Unrealized Losses Related to
Changes in
Estimated
Fair Value
|
|
Fair Value
|
|
Non-credit Related OTTI (1)
|
||||||||||
Fixed maturities - AFS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
U.S. Government and Government-Related/Supported (2)
|
$
|
1,857,361
|
|
|
$
|
123,329
|
|
|
$
|
(2,690
|
)
|
|
$
|
1,978,000
|
|
|
$
|
—
|
|
Corporate (4) (5)
|
9,712,063
|
|
|
658,882
|
|
|
(65,621
|
)
|
|
10,305,324
|
|
|
(11,453
|
)
|
|||||
RMBS – Agency
|
4,684,803
|
|
|
166,268
|
|
|
(10,363
|
)
|
|
4,840,708
|
|
|
—
|
|
|||||
RMBS – Non-Agency
|
600,120
|
|
|
46,414
|
|
|
(53,143
|
)
|
|
593,391
|
|
|
(88,778
|
)
|
|||||
CMBS
|
1,094,389
|
|
|
64,322
|
|
|
(5,370
|
)
|
|
1,153,341
|
|
|
(2,947
|
)
|
|||||
CDO
|
764,942
|
|
|
11,448
|
|
|
(65,323
|
)
|
|
711,067
|
|
|
(5,197
|
)
|
|||||
Other asset-backed securities (3)
|
1,240,097
|
|
|
50,081
|
|
|
(9,499
|
)
|
|
1,280,679
|
|
|
(5,514
|
)
|
|||||
U.S. States and political subdivisions of the States
|
1,764,746
|
|
|
129,271
|
|
|
(4,748
|
)
|
|
1,889,269
|
|
|
—
|
|
|||||
Non-U.S. Sovereign Government, Provincial, Supranational and Government-Related/Supported (2)
|
4,470,002
|
|
|
156,307
|
|
|
(28,903
|
)
|
|
4,597,406
|
|
|
—
|
|
|||||
Total fixed maturities - AFS
|
$
|
26,188,523
|
|
|
$
|
1,406,322
|
|
|
$
|
(245,660
|
)
|
|
$
|
27,349,185
|
|
|
$
|
(113,889
|
)
|
Total short-term investments (2)
|
$
|
260,021
|
|
|
$
|
95
|
|
|
$
|
(1,847
|
)
|
|
$
|
258,269
|
|
|
$
|
—
|
|
Total equity securities (6)
|
$
|
790,132
|
|
|
$
|
63,052
|
|
|
$
|
(2,214
|
)
|
|
$
|
850,970
|
|
|
$
|
—
|
|
Total investments - AFS
|
$
|
27,238,676
|
|
|
$
|
1,469,469
|
|
|
$
|
(249,721
|
)
|
|
$
|
28,458,424
|
|
|
$
|
(113,889
|
)
|
Fixed maturities - HTM
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
U.S. Government and Government-Related/Supported (2)
|
$
|
10,149
|
|
|
$
|
1,710
|
|
|
$
|
—
|
|
|
$
|
11,859
|
|
|
$
|
—
|
|
Corporate
|
1,300,893
|
|
|
180,171
|
|
|
(907
|
)
|
|
1,480,157
|
|
|
—
|
|
|||||
RMBS – Non-Agency
|
62,604
|
|
|
8,071
|
|
|
—
|
|
|
70,675
|
|
|
—
|
|
|||||
CMBS
|
135,505
|
|
|
22,713
|
|
|
—
|
|
|
158,218
|
|
|
—
|
|
|||||
Other asset-backed securities (3)
|
100,154
|
|
|
12,926
|
|
|
(156
|
)
|
|
112,924
|
|
|
—
|
|
|||||
Non-U.S. Sovereign Government, Provincial, Supranational and Government-Related/Supported (2)
|
1,052,516
|
|
|
200,915
|
|
|
(886
|
)
|
|
1,252,545
|
|
|
—
|
|
|||||
Total investments - HTM
|
$
|
2,661,821
|
|
|
$
|
426,506
|
|
|
$
|
(1,949
|
)
|
|
$
|
3,086,378
|
|
|
$
|
—
|
|
(1)
|
Represents the non-credit component of OTTI losses, adjusted for subsequent sales of securities. It does not include the change in fair value subsequent to the impairment measurement date.
|
(2)
|
U.S. Government and Government-Related/Supported, Non-U.S. Sovereign Government, Provincials, Supranationals and Government-Related/Supported and Total short-term investments includes government-related securities with an amortized cost of
$2,079.0 million
and fair value of
$2,164.4 million
and U.S. Agencies with an amortized cost of
$301.8 million
and fair value of
$341.5 million
.
|
(3)
|
Covered Bonds within Fixed maturities - AFS with an amortized cost of
$485.5 million
and a fair value of
$521.0 million
and Covered Bonds within Fixed maturities - HTM with an amortized cost of
$7.9 million
and a fair value of
$8.1 million
are included within Other asset-backed securities to align the Company's classification to market indices.
|
(4)
|
Included within Corporate are certain medium term notes supported primarily by pools of European investment grade credit with varying degrees of leverage. The notes have a fair value of
$193.7 million
and an amortized cost of
$192.4 million
. These notes allow the investor to participate in cash flows of the underlying bonds including certain residual values, which could serve to either decrease or increase the ultimate values of these notes.
|
(5)
|
Included within Corporate are Tier One and Upper Tier Two securities, representing committed term debt and hybrid instruments, which are senior to the common and preferred equities of the financial institutions. These securities have a fair value of
$283.5 million
and an amortized cost of
$295.7 million
at
March 31, 2013
.
|
(6)
|
Included within Total equity securities are investments in fixed income funds with a fair value of
$101.0 million
and an amortized cost of
$100.0 million
at
March 31, 2013
.
|
|
|
|
Included in AOCI
|
|
|
|
|
||||||||||||
December 31, 2012
(U.S. dollars in thousands)
|
Cost or
Amortized
Cost
|
|
Gross
Unrealized
Gains
|
|
Gross Unrealized Losses Related to
Changes in
Estimated
Fair Value
|
|
Fair Value
|
|
Non-credit Related OTTI (1)
|
||||||||||
Fixed maturities - AFS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
U.S. Government and Government-Related/Supported (2)
|
$
|
1,906,044
|
|
|
$
|
131,860
|
|
|
$
|
(3,287
|
)
|
|
$
|
2,034,617
|
|
|
$
|
—
|
|
Corporate (4) (5)
|
9,837,962
|
|
|
723,028
|
|
|
(78,990
|
)
|
|
10,482,000
|
|
|
(11,453
|
)
|
|||||
RMBS – Agency
|
5,054,097
|
|
|
206,931
|
|
|
(5,535
|
)
|
|
5,255,493
|
|
|
—
|
|
|||||
RMBS – Non-Agency
|
678,469
|
|
|
46,132
|
|
|
(76,868
|
)
|
|
647,733
|
|
|
(93,259
|
)
|
|||||
CMBS
|
1,010,794
|
|
|
70,745
|
|
|
(4,288
|
)
|
|
1,077,251
|
|
|
(2,962
|
)
|
|||||
CDO
|
784,999
|
|
|
11,973
|
|
|
(87,156
|
)
|
|
709,816
|
|
|
(4,872
|
)
|
|||||
Other asset-backed securities (3)
|
1,426,483
|
|
|
59,663
|
|
|
(15,435
|
)
|
|
1,470,711
|
|
|
(6,530
|
)
|
|||||
U.S. States and political subdivisions of the States
|
1,767,669
|
|
|
146,294
|
|
|
(2,946
|
)
|
|
1,911,017
|
|
|
—
|
|
|||||
Non-U.S. Sovereign Government, Provincial, Supranational and Government-Related/Supported (2)
|
4,078,289
|
|
|
188,186
|
|
|
(8,193
|
)
|
|
4,258,282
|
|
|
—
|
|
|||||
Total fixed maturities - AFS
|
$
|
26,544,806
|
|
|
$
|
1,584,812
|
|
|
$
|
(282,698
|
)
|
|
$
|
27,846,920
|
|
|
$
|
(119,076
|
)
|
Total short-term investments (2)
|
$
|
322,563
|
|
|
$
|
192
|
|
|
$
|
(52
|
)
|
|
$
|
322,703
|
|
|
$
|
—
|
|
Total equity securities (6)
|
$
|
617,486
|
|
|
$
|
31,935
|
|
|
$
|
(62
|
)
|
|
$
|
649,359
|
|
|
$
|
—
|
|
Total investments - AFS
|
$
|
27,484,855
|
|
|
$
|
1,616,939
|
|
|
$
|
(282,812
|
)
|
|
$
|
28,818,982
|
|
|
$
|
(119,076
|
)
|
Fixed maturities - HTM
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
U.S. Government and Government-Related/Supported (2)
|
$
|
10,788
|
|
|
$
|
1,651
|
|
|
$
|
—
|
|
|
$
|
12,439
|
|
|
$
|
—
|
|
Corporate
|
1,425,320
|
|
|
190,871
|
|
|
(794
|
)
|
|
1,615,397
|
|
|
—
|
|
|||||
RMBS – Non-Agency
|
83,205
|
|
|
10,502
|
|
|
—
|
|
|
93,707
|
|
|
—
|
|
|||||
CMBS
|
12,751
|
|
|
2,048
|
|
|
—
|
|
|
14,799
|
|
|
—
|
|
|||||
Other asset-backed securities (3)
|
222,340
|
|
|
29,287
|
|
|
(167
|
)
|
|
251,460
|
|
|
—
|
|
|||||
Non-U.S. Sovereign Government, Provincial, Supranational and Government-Related/Supported (2)
|
1,060,043
|
|
|
216,679
|
|
|
(1,720
|
)
|
|
1,275,002
|
|
|
—
|
|
|||||
Total investments - HTM
|
$
|
2,814,447
|
|
|
$
|
451,038
|
|
|
$
|
(2,681
|
)
|
|
$
|
3,262,804
|
|
|
$
|
—
|
|
(1)
|
Represents the non-credit component of OTTI losses, adjusted for subsequent sales of securities. It does not include the change in fair value subsequent to the impairment measurement date.
|
(2)
|
U.S. Government and Government-Related/Supported, Non-U.S. Sovereign Government, Provincials, Supranationals and Government-Related/Supported and Total short-term investments includes government-related securities with an amortized cost of
$1,912.7 million
and fair value of
$1,988.5 million
and U.S. Agencies with an amortized cost of
$404.3 million
and fair value of
$446.7 million
.
|
(3)
|
Covered Bonds within Fixed maturities - AFS with an amortized cost of
$605.4 million
and a fair value of
$647.1 million
and Covered Bonds within Fixed maturities - HTM with an amortized cost of
$8.4 million
and a fair value of
$8.6 million
are included within Other asset-backed securities to align the Company's classification to market indices.
|
(4)
|
Included within Corporate are certain medium term notes supported primarily by pools of European investment grade credit with varying degrees of leverage. The notes have a fair value of
$194.3 million
and an amortized cost of
$194.8 million
. These notes allow the investor to participate in cash flows of the underlying bonds including certain residual values, which could serve to either decrease or increase the ultimate values of these notes.
|
(5)
|
Included within Corporate are Tier One and Upper Tier Two securities, representing committed term debt and hybrid instruments, which are senior to the common and preferred equities of the financial institutions. These securities have a fair value of
$308.5 million
and an amortized cost of
$327.6 million
at
December 31, 2012
.
|
(6)
|
Included within Total equity securities are investments in fixed income funds with a fair value of
$101.9 million
and an amortized cost of
$100.0 million
at
December 31, 2012
.
|
|
March 31, 2013 (1)
|
|
December 31, 2012 (1)
|
||||||||||||
(U.S. dollars in thousands)
|
Amortized
Cost
|
|
Fair
Value
|
|
Amortized
Cost
|
|
Fair
Value
|
||||||||
Fixed maturities - AFS
|
|
|
|
|
|
|
|
|
|
|
|
||||
Due less than one year
|
$
|
2,102,831
|
|
|
$
|
2,118,337
|
|
|
$
|
1,939,803
|
|
|
$
|
1,952,250
|
|
Due after 1 through 5 years
|
8,096,248
|
|
|
8,425,698
|
|
|
8,521,090
|
|
|
8,877,512
|
|
||||
Due after 5 through 10 years
|
5,136,565
|
|
|
5,459,235
|
|
|
4,701,391
|
|
|
5,065,158
|
|
||||
Due after 10 years
|
2,468,528
|
|
|
2,766,729
|
|
|
2,427,680
|
|
|
2,790,996
|
|
||||
|
$
|
17,804,172
|
|
|
$
|
18,769,999
|
|
|
$
|
17,589,964
|
|
|
$
|
18,685,916
|
|
RMBS – Agency
|
4,684,803
|
|
|
4,840,708
|
|
|
5,054,097
|
|
|
5,255,493
|
|
||||
RMBS – Non-Agency
|
600,120
|
|
|
593,391
|
|
|
678,469
|
|
|
647,733
|
|
||||
CMBS
|
1,094,389
|
|
|
1,153,341
|
|
|
1,010,794
|
|
|
1,077,251
|
|
||||
CDO
|
764,942
|
|
|
711,067
|
|
|
784,999
|
|
|
709,816
|
|
||||
Other asset-backed securities
|
1,240,097
|
|
|
1,280,679
|
|
|
1,426,483
|
|
|
1,470,711
|
|
||||
Total mortgage and asset-backed securities
|
$
|
8,384,351
|
|
|
$
|
8,579,186
|
|
|
$
|
8,954,842
|
|
|
$
|
9,161,004
|
|
Total fixed maturities - AFS
|
$
|
26,188,523
|
|
|
$
|
27,349,185
|
|
|
$
|
26,544,806
|
|
|
$
|
27,846,920
|
|
Fixed maturities - HTM
|
|
|
|
|
|
|
|
|
|
|
|
||||
Due less than one year
|
$
|
27,480
|
|
|
$
|
28,862
|
|
|
$
|
36,515
|
|
|
$
|
37,580
|
|
Due after 1 through 5 years
|
176,470
|
|
|
186,992
|
|
|
195,121
|
|
|
205,562
|
|
||||
Due after 5 through 10 years
|
369,716
|
|
|
415,524
|
|
|
377,541
|
|
|
420,008
|
|
||||
Due after 10 years
|
1,789,892
|
|
|
2,113,183
|
|
|
1,886,974
|
|
|
2,239,688
|
|
||||
|
$
|
2,363,558
|
|
|
$
|
2,744,561
|
|
|
$
|
2,496,151
|
|
|
$
|
2,902,838
|
|
RMBS – Non-Agency
|
62,604
|
|
|
70,675
|
|
|
83,205
|
|
|
93,707
|
|
||||
CMBS
|
135,505
|
|
|
158,218
|
|
|
12,751
|
|
|
14,799
|
|
||||
Other asset-backed securities
|
100,154
|
|
|
112,924
|
|
|
222,340
|
|
|
251,460
|
|
||||
Total mortgage and asset-backed securities
|
$
|
298,263
|
|
|
$
|
341,817
|
|
|
$
|
318,296
|
|
|
$
|
359,966
|
|
Total fixed maturities - HTM
|
$
|
2,661,821
|
|
|
$
|
3,086,378
|
|
|
$
|
2,814,447
|
|
|
$
|
3,262,804
|
|
(1)
|
Included in the table above are Tier One and Upper Tier Two securities, representing committed term debt and hybrid instruments, which are senior to the common and preferred equities of the financial institutions, at their fair value of
$283.5 million
and
$308.5 million
at
March 31, 2013
and
December 31, 2012
, respectively. These securities are reflected in the table based on their call date and have net unrealized losses of
$12.1 million
and
$19.1 million
at
March 31, 2013
and
December 31, 2012
, respectively.
|
|
Less than 12 months
|
|
Equal to or greater
than 12 months
|
||||||||||||
March 31, 2013
(U.S. dollars in thousands)
|
Fair
Value
|
|
Gross
Unrealized
Losses
|
|
Fair
Value
|
|
Gross
Unrealized
Losses
|
||||||||
Fixed maturities and short-term investments - AFS
|
|
|
|
|
|
|
|
|
|
|
|
||||
U.S. Government and Government-Related/Supported
|
$
|
197,384
|
|
|
$
|
(1,644
|
)
|
|
$
|
15,871
|
|
|
$
|
(1,066
|
)
|
Corporate
|
785,879
|
|
|
(11,646
|
)
|
|
514,156
|
|
|
(54,098
|
)
|
||||
RMBS – Agency
|
942,759
|
|
|
(8,722
|
)
|
|
18,249
|
|
|
(1,641
|
)
|
||||
RMBS – Non-Agency
|
9,197
|
|
|
(664
|
)
|
|
405,232
|
|
|
(52,479
|
)
|
||||
CMBS
|
205,453
|
|
|
(2,116
|
)
|
|
19,846
|
|
|
(3,254
|
)
|
||||
CDO
|
99
|
|
|
—
|
|
|
690,248
|
|
|
(65,323
|
)
|
||||
Other asset-backed securities
|
106,354
|
|
|
(377
|
)
|
|
93,772
|
|
|
(9,122
|
)
|
||||
U.S. States and political subdivisions of the States
|
215,939
|
|
|
(4,060
|
)
|
|
10,264
|
|
|
(688
|
)
|
||||
Non-U.S. Sovereign Government, Provincial, Supranational and Government-Related/Supported
|
887,311
|
|
|
(18,334
|
)
|
|
123,354
|
|
|
(12,273
|
)
|
||||
Total fixed maturities and short-term investments - AFS
|
$
|
3,350,375
|
|
|
$
|
(47,563
|
)
|
|
$
|
1,890,992
|
|
|
$
|
(199,944
|
)
|
Total equity securities
|
$
|
86,305
|
|
|
$
|
(2,214
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
Fixed maturities -HTM
|
|
|
|
|
|
|
|
|
|
|
|
||||
Corporate
|
$
|
720
|
|
|
$
|
(23
|
)
|
|
$
|
10,720
|
|
|
$
|
(884
|
)
|
Other asset-backed securities
|
1,193
|
|
|
(156
|
)
|
|
—
|
|
|
—
|
|
||||
Non-U.S. Sovereign Government, Provincial, Supranational and Government-Related/Supported
|
—
|
|
|
—
|
|
|
10,638
|
|
|
(886
|
)
|
||||
Total fixed maturities - HTM
|
$
|
1,913
|
|
|
$
|
(179
|
)
|
|
$
|
21,358
|
|
|
$
|
(1,770
|
)
|
|
Less than 12 months
|
|
Equal to or greater
than 12 months
|
||||||||||||
December 31, 2012
(U.S. dollars in thousands)
|
Fair
Value
|
|
Gross
Unrealized
Losses
|
|
Fair
Value
|
|
Gross
Unrealized
Losses
|
||||||||
Fixed maturities and short-term investments - AFS
|
|
|
|
|
|
|
|
|
|
|
|
||||
U.S. Government and Government-Related/Supported
|
$
|
307,879
|
|
|
$
|
(2,847
|
)
|
|
$
|
9,951
|
|
|
$
|
(471
|
)
|
Corporate
|
476,454
|
|
|
(10,603
|
)
|
|
607,796
|
|
|
(68,387
|
)
|
||||
RMBS – Agency
|
578,823
|
|
|
(4,541
|
)
|
|
11,135
|
|
|
(994
|
)
|
||||
RMBS – Non-Agency
|
6,674
|
|
|
(450
|
)
|
|
448,555
|
|
|
(76,418
|
)
|
||||
CMBS
|
92,899
|
|
|
(666
|
)
|
|
23,580
|
|
|
(3,622
|
)
|
||||
CDO
|
243
|
|
|
(1
|
)
|
|
694,351
|
|
|
(87,155
|
)
|
||||
Other asset-backed securities
|
111,431
|
|
|
(531
|
)
|
|
93,388
|
|
|
(14,904
|
)
|
||||
U.S. States and political subdivisions of the States
|
77,273
|
|
|
(1,407
|
)
|
|
12,851
|
|
|
(1,539
|
)
|
||||
Non-U.S. Sovereign Government, Provincial, Supranational and Government-Related/Supported
|
355,409
|
|
|
(1,378
|
)
|
|
131,884
|
|
|
(6,836
|
)
|
||||
Total fixed maturities and short-term investments - AFS
|
$
|
2,007,085
|
|
|
$
|
(22,424
|
)
|
|
$
|
2,033,491
|
|
|
$
|
(260,326
|
)
|
Total equity securities
|
$
|
615
|
|
|
$
|
(62
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
Fixed maturities -HTM
|
|
|
|
|
|
|
|
|
|
|
|
||||
Corporate
|
$
|
4,568
|
|
|
$
|
(31
|
)
|
|
$
|
23,005
|
|
|
$
|
(763
|
)
|
Other asset-backed securities
|
1,239
|
|
|
(167
|
)
|
|
—
|
|
|
—
|
|
||||
Non-U.S. Sovereign Government, Provincial, Supranational and Government-Related/Supported
|
—
|
|
|
—
|
|
|
10,518
|
|
|
(1,720
|
)
|
||||
Total fixed maturities - HTM
|
$
|
5,807
|
|
|
$
|
(198
|
)
|
|
$
|
33,523
|
|
|
$
|
(2,483
|
)
|
Net Realized Gains (Losses) on Investments
|
Three months ended March 31,
|
||||||
(U.S. dollars in thousands)
|
2013
|
|
2012
|
||||
Gross realized gains
|
$
|
73,171
|
|
|
$
|
66,889
|
|
Gross realized losses on investments sold
|
(32,024
|
)
|
|
(25,121
|
)
|
||
OTTI on investments, net of amounts transferred to other comprehensive income
|
(4,637
|
)
|
|
(20,965
|
)
|
||
Net realized gains (losses) on investments
|
$
|
36,510
|
|
|
$
|
20,803
|
|
▪
|
$2.8 million
for structured securities, principally non-Agency RMBS, where we determined that the likely recovery on these securities was below the carrying value and, accordingly, recorded an impairment of the securities to the discounted value of the cash flows expected to be received on these securities.
|
▪
|
$1.8 million
related to currency losses primarily arising on Swiss franc and U.K. sterling denominated securities held in U.S. dollar portfolios.
|
Credit Loss Impairments
|
Three Months Ended March 31,
|
||||||
(U.S. dollars in thousands)
|
2013
|
|
2012
|
||||
Opening balance
|
$
|
268,708
|
|
|
$
|
333,379
|
|
Credit loss impairment recognized in the current period on securities not previously impaired
|
500
|
|
|
1,835
|
|
||
Credit loss impairments previously recognized on securities which matured, paid down, prepaid or were sold during the period
|
(6,475
|
)
|
|
(17,195
|
)
|
||
Credit loss impairments previously recognized on securities impaired to fair value during the period
|
—
|
|
|
(12,891
|
)
|
||
Additional credit loss impairments recognized in the current period on securities previously impaired
|
2,304
|
|
|
14,930
|
|
||
Accretion of credit loss impairments previously recognized due to an increase in cash flows expected to be collected
|
(4,971
|
)
|
|
(5,253
|
)
|
||
Balance at March 31,
|
$
|
260,066
|
|
|
$
|
314,805
|
|
|
March 31, 2013
|
|
December 31, 2012
|
||||||||||||||||||||||||||||
(U.S. dollars in thousands)
|
Asset
Derivative
Notional
Amount
|
|
Asset
Derivative
Fair Value
(1)
|
|
Liability
Derivative
Notional
Amount
|
|
Liability
Derivative
Fair Value
(1)
|
|
Asset
Derivative
Notional
Amount
|
|
Asset
Derivative
Fair Value
(1)
|
|
Liability
Derivative
Notional
Amount
|
|
Liability
Derivative
Fair Value
(1)
|
||||||||||||||||
Derivatives designated as hedging instruments:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Foreign exchange contracts
|
2,731,749
|
|
|
104,733
|
|
|
615,505
|
|
|
23,291
|
|
|
670,751
|
|
|
12,511
|
|
|
2,382,507
|
|
|
23,715
|
|
||||||||
Total derivatives designated as hedging instruments
|
$
|
2,731,749
|
|
|
$
|
104,733
|
|
|
$
|
615,505
|
|
|
$
|
23,291
|
|
|
$
|
670,751
|
|
|
$
|
12,511
|
|
|
$
|
2,382,507
|
|
|
$
|
23,715
|
|
Derivatives not designated as hedging instruments:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Investment Related Derivatives:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Interest rate exposure
|
$
|
30,009
|
|
|
$
|
2,177
|
|
|
$
|
4,446
|
|
|
$
|
46
|
|
|
$
|
45,604
|
|
|
$
|
2,060
|
|
|
$
|
26,139
|
|
|
$
|
253
|
|
Foreign exchange exposure
|
62,824
|
|
|
735
|
|
|
14,266
|
|
|
608
|
|
|
33,007
|
|
|
226
|
|
|
54,449
|
|
|
1,790
|
|
||||||||
Credit exposure
|
13,000
|
|
|
23
|
|
|
438,959
|
|
|
15,749
|
|
|
25,000
|
|
|
486
|
|
|
436,959
|
|
|
15,472
|
|
||||||||
Financial market exposure
|
83,627
|
|
|
1,077
|
|
|
15,562
|
|
|
1
|
|
|
72,597
|
|
|
9,559
|
|
|
16,910
|
|
|
—
|
|
||||||||
Financial Operations Derivatives: (2)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Credit exposure
|
—
|
|
|
—
|
|
|
43,419
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
46,903
|
|
|
—
|
|
||||||||
Other Non-Investment Derivatives:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Guaranteed minimum income benefit contract
|
—
|
|
|
—
|
|
|
62,553
|
|
|
21,699
|
|
|
—
|
|
|
—
|
|
|
69,051
|
|
|
25,396
|
|
||||||||
Modified coinsurance funds withheld contract
|
75,441
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
76,975
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||
Total derivatives not designated as hedging instruments
|
$
|
264,901
|
|
|
$
|
4,012
|
|
|
$
|
579,205
|
|
|
$
|
38,103
|
|
|
$
|
253,183
|
|
|
$
|
12,331
|
|
|
$
|
650,411
|
|
|
$
|
42,911
|
|
(1)
|
Derivative instruments in an asset or liability position are included within Other assets or Other liabilities, respectively, in the balance sheet on a net basis where the Company has both a legal right of offset and the intentions to settle the contracts on a net basis.
|
(2)
|
Financial operations derivatives represent interests in variable interest entities as described in Note 10, “Variable Interest Entities".
|
|
|
|
|
|
Gross Amounts Not Offset in the Balance Sheet
|
|
|
||||||||||||||||
March 31, 2013
(U.S. dollars in thousands)
|
Gross Amounts Recognized in Balance Sheet
|
|
Gross Amounts Offset in the Balance Sheet
|
|
Net Amounts in the Balance Sheet
|
|
Financial Instruments
|
|
Cash Collateral
|
|
Net Amounts
|
||||||||||||
Derivative Assets
|
$
|
108,745
|
|
|
$
|
680
|
|
|
$
|
108,065
|
|
|
$
|
—
|
|
|
$
|
46,720
|
|
|
$
|
61,345
|
|
Derivative Liabilities
|
$
|
61,394
|
|
|
$
|
680
|
|
|
$
|
60,714
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
60,714
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
December 31, 2012
(U.S. dollars in thousands)
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Derivative Assets
|
$
|
24,842
|
|
|
$
|
1,327
|
|
|
$
|
23,515
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
23,515
|
|
Derivative Liabilities
|
$
|
66,626
|
|
|
$
|
1,327
|
|
|
$
|
65,299
|
|
|
$
|
—
|
|
|
$
|
12,130
|
|
|
$
|
53,169
|
|
|
|
Hedged Items - Amount of Gain/(Loss) Recognized in Income Attributable to Risk
|
|
||||||||||||
Derivatives Designated as Fair Value Hedges:
Three Months Ended March 31, 2013
(U.S. dollars in thousands)
|
Gain/(Loss)
Recognized
in Income on
Derivative
|
|
Deposit
Liabilities
|
|
Fixed Maturity
Investments
|
|
Ineffective
Portion of
Hedging
Relationship -
Gain/(Loss)
|
||||||||
Interest rate exposure
|
$
|
—
|
|
|
|
|
|
|
|
|
|
|
|||
Foreign exchange exposure
|
30,245
|
|
|
|
|
|
|
|
|
|
|
||||
Total
|
$
|
30,245
|
|
|
$
|
—
|
|
|
$
|
(28,770
|
)
|
|
$
|
1,475
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Three Months Ended March 31, 2012
(U.S. dollars in thousands)
|
|
|
|
|
|
|
|
|
|
|
|
||||
Interest rate exposure
|
$
|
(5,457
|
)
|
|
|
|
|
|
|
|
|
|
|||
Foreign exchange exposure
|
(15,100
|
)
|
|
|
|
|
|
|
|
|
|
||||
Total
|
$
|
(20,557
|
)
|
|
$
|
3,607
|
|
|
$
|
14,511
|
|
|
$
|
(2,439
|
)
|
Settlement of Fair Value Hedges - Summary
|
Fair Value Hedges - Notes
Payable and Debt March 31, |
|
Fair Value Hedges - Deposit
Liabilities March 31, |
||||||||||||
(U.S. dollars in thousands, except years)
|
2013
|
|
2012
|
|
2013
|
|
2012
|
||||||||
Cumulative reduction to interest expense
|
$
|
15,926
|
|
|
$
|
12,019
|
|
|
$
|
25,588
|
|
|
$
|
11,070
|
|
Remaining balance
|
$
|
5,698
|
|
|
$
|
9,605
|
|
|
$
|
207,607
|
|
|
$
|
138,415
|
|
Weighted average years remaining to maturity
|
1.5
|
|
|
2.5
|
|
|
24.7
|
|
|
33.0
|
|
Derivative Instruments Designated as Hedges of the
Net Investment in a Foreign Operation - Summary
|
Three Months Ended
March 31,
|
||||||
(U.S. dollars in thousands)
|
2013
|
|
2012
|
||||
Weighted average of U.S. dollar equivalent of foreign denominated net assets
|
$
|
2,523,821
|
|
|
$
|
1,893,401
|
|
Derivative gains (losses) (1)
|
$
|
62,639
|
|
|
$
|
(37,872
|
)
|
(1)
|
Derivative gains (losses) from derivative instruments designated as hedges of the net investment in a foreign operation are recorded in the cumulative translation adjustment account within AOCI for each period.
|
Net Realized and Unrealized Gains (Losses) on Derivative Instruments
|
Three Months Ended March 31,
|
||||||
(U.S. dollars in thousands)
|
2013
|
|
2012
|
||||
Investment Related Derivatives:
|
|
|
|
|
|
||
Interest rate exposure
|
$
|
200
|
|
|
$
|
700
|
|
Foreign exchange exposure
|
(1,598
|
)
|
|
(354
|
)
|
||
Credit exposure
|
(816
|
)
|
|
(3,699
|
)
|
||
Financial market exposure
|
5,353
|
|
|
3,944
|
|
||
Financial Operations Derivatives:
|
|
|
|
|
|||
Credit exposure
|
242
|
|
|
143
|
|
||
Other Non-Investment Derivatives:
|
|
|
|
|
|||
Guaranteed minimum income benefit contract
|
3,697
|
|
|
2,015
|
|
||
Modified coinsurance funds withheld contract
|
(668
|
)
|
|
392
|
|
||
Total derivatives not designated as hedging instruments
|
$
|
6,410
|
|
|
$
|
3,141
|
|
Amount of gain (loss) recognized in income from ineffective
portion of fair value hedges
|
1,475
|
|
|
(2,439
|
)
|
||
Net realized and unrealized gains (losses) on derivative
instruments
|
$
|
7,885
|
|
|
$
|
702
|
|
Financial Operations Derivatives - Credit Exposure Summary:
(U.S. dollars in thousands, except term to maturity)
|
March 31, 2013
|
|
December 31, 2012
|
||||
Principal outstanding
|
$
|
41,142
|
|
|
$
|
44,281
|
|
Interest outstanding
|
2,277
|
|
|
2,622
|
|
||
Aggregate outstanding exposure
|
$
|
43,419
|
|
|
$
|
46,903
|
|
Total liability recorded
|
$
|
—
|
|
|
$
|
—
|
|
Weighted average contractual term to maturity
|
4.5 years
|
|
|
4.7 years
|
|
||
Underlying obligations credit rating
|
BB
|
|
|
BB
|
|
Contingent Credit Features - Summary:
(U.S. dollars in thousands)
|
March 31, 2013
|
|
December 31, 2012
|
||||
Aggregate fair value of derivative agreements with downgrade provisions in a net liability position
|
$
|
12,607
|
|
|
$
|
20,366
|
|
Collateral posted to counterparty
|
$
|
—
|
|
|
$
|
5,490
|
|
Dividend yield
|
2.00
|
%
|
Risk free interest rate
|
1.14
|
%
|
Volatility
|
37.0
|
%
|
Expected lives
|
6.0 years
|
|
Letter of Credit Summary:
(U.S. dollars in thousands except percentages)
|
March 31,
2013 (1) |
|
December 31,
2012 (1) |
||||
Revolving credit facility (2)
|
$
|
1,000,000
|
|
|
$
|
1,000,000
|
|
Available letter of credit facilities - commitments (3)
|
$
|
4,000,000
|
|
|
$
|
4,000,000
|
|
Available letter of credit facilities - in use
|
$
|
1,769,005
|
|
|
$
|
1,757,250
|
|
Collateralized by certain assets of the Company’s investment portfolio
|
93.4
|
%
|
|
93.3
|
%
|
(1)
|
At
March 31, 2013
and
December 31, 2012
, there were
five
available letter of credit facilities.
|
(2)
|
At
March 31, 2013
and
December 31, 2012
, the revolving credit facility was unutilized.
|
(3)
|
The Company has the option to increase the size of the March 2011 Credit Agreement by an additional
$500 million
and the size of the facilities under the December 2011 Credit Agreements by an additional
$500 million
across both such facilities.
|
(U.S. dollars in thousands)
|
Three months ended March 31,
|
||||||
2013
|
|
2012
|
|||||
Reported net premiums written
|
$
|
12,587
|
|
|
$
|
16,589
|
|
Net losses and loss expenses incurred
|
5,649
|
|
|
8,123
|
|
||
Reported acquisition costs
|
5,330
|
|
|
6,787
|
|
|
Three Months Ended
March 31,
|
||||||
(U.S. dollars in thousands, except per share amounts)
|
2013
|
|
2012
|
||||
Basic earnings per ordinary share & ordinary share equivalents outstanding:
|
|
|
|
|
|
||
Net income (loss) attributable to ordinary shareholders
|
$
|
350,790
|
|
|
$
|
176,628
|
|
Weighted average ordinary shares outstanding - basic
|
295,000
|
|
|
315,120
|
|
||
Basic earnings per ordinary share & ordinary share equivalents outstanding
|
$
|
1.19
|
|
|
$
|
0.56
|
|
Diluted earnings per ordinary share & ordinary share equivalents outstanding:
|
|
|
|
||||
Weighted average ordinary shares outstanding - basic
|
295,000
|
|
|
315,120
|
|
||
Impact of share-based compensation and certain conversion features
|
4,469
|
|
|
2,519
|
|
||
Weighted average ordinary shares outstanding - diluted
|
299,469
|
|
|
317,639
|
|
||
Diluted earnings per ordinary share & ordinary share equivalents outstanding
|
$
|
1.17
|
|
|
$
|
0.56
|
|
Dividends per ordinary share
|
$
|
0.14
|
|
|
$
|
0.11
|
|
Financial Guarantee Exposure Summary
(U.S. dollars in thousands except number of contracts and term to maturity)
|
March 31, 2013
|
|
December 31, 2012
|
||||
Opening number of financial guarantee contracts
|
4
|
|
|
4
|
|
||
Number of financial guarantee contracts matured, prepaid or commuted during the period
|
—
|
|
|
—
|
|
||
Closing number of financial guarantee contracts
|
4
|
|
|
4
|
|
||
Principal outstanding
|
$
|
115,464
|
|
|
$
|
115,464
|
|
Interest outstanding
|
$
|
—
|
|
|
$
|
—
|
|
Aggregate exposure outstanding
|
$
|
115,464
|
|
|
$
|
115,464
|
|
Total gross claim liability recorded
|
$
|
1,399
|
|
|
$
|
1,399
|
|
Total unearned premiums and fees recorded
|
$
|
243
|
|
|
$
|
279
|
|
Weighted average contractual term to maturity in years
|
25.2
|
|
|
25.4
|
|
March 31, 2013
(U.S. dollars in thousands)
|
Unrealized Gains (Losses) on Investments
|
|
OTTI Losses Recognized in AOCI
|
|
Foreign Currency Translation Adjustments
|
|
Underfunded Pension Liability
|
|
Cash Flow Hedge
|
|
Total
|
||||||||||||
Balance, January 1 - net of tax
|
$
|
1,597,823
|
|
|
$
|
(121,371
|
)
|
|
$
|
69,391
|
|
|
$
|
(27,506
|
)
|
|
$
|
1,674
|
|
|
$
|
1,520,011
|
|
OCI before reclassifications
|
(87,688
|
)
|
|
—
|
|
|
(3,921
|
)
|
|
385
|
|
|
—
|
|
|
(91,224
|
)
|
||||||
Amounts reclassified from AOCI
|
(41,695
|
)
|
|
5,185
|
|
|
—
|
|
|
—
|
|
|
110
|
|
|
(36,400
|
)
|
||||||
Tax (benefit) expense
|
12,726
|
|
|
(3
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
12,723
|
|
||||||
Net current period OCI - net of tax
|
(116,657
|
)
|
|
5,182
|
|
|
(3,921
|
)
|
|
385
|
|
|
110
|
|
|
(114,901
|
)
|
||||||
Balance, March 31 - net of tax
|
$
|
1,481,166
|
|
|
$
|
(116,189
|
)
|
|
$
|
65,470
|
|
|
$
|
(27,121
|
)
|
|
$
|
1,784
|
|
|
$
|
1,405,110
|
|
Gross Amount Reclassified From AOCI
|
||||||
Details About AOCI Components
|
|
Three months ended March 31, 2013
|
|
Affected Line Item in the Statement of Income
|
||
(U.S. dollars in thousands)
|
|
|
|
|
||
Unrealized gains and losses on investments:
|
|
|
|
|
||
|
|
$
|
(45,422
|
)
|
|
Net realized gains (losses) on investments sold
|
|
|
3,727
|
|
|
OTTI on investments
|
|
|
|
$
|
(41,695
|
)
|
|
Total before tax
|
|
|
274
|
|
|
Provision (benefit) for income tax
|
|
|
|
$
|
(41,421
|
)
|
|
Net of tax
|
OTTI losses recognized in OCI:
|
|
|
|
|
||
|
|
$
|
4,275
|
|
|
Net realized gains (losses) on investments sold
|
|
|
910
|
|
|
OTTI on investments transferred to (from) OCI
|
|
|
|
$
|
5,185
|
|
|
Total before tax
|
|
|
(3
|
)
|
|
Provision (benefit) for income tax
|
|
|
|
$
|
5,182
|
|
|
Net of tax
|
Gains and losses on cash flow hedges:
|
|
|
|
|
||
Interest rate contracts
|
|
$
|
110
|
|
|
Interest Expense
|
|
|
—
|
|
|
Provision (benefit) for income tax
|
|
|
|
$
|
110
|
|
|
Net of tax
|
|
|
|
|
|
||
Total reclassifications for the period, gross of tax
|
|
$
|
(36,400
|
)
|
|
|
Tax (benefit) expense
|
|
271
|
|
|
|
|
Total reclassifications for the period, net of tax
|
|
$
|
(36,129
|
)
|
|
|
ITEM 2.
|
|
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS
|
▪
|
changes in the size of our claims relating to natural or man-made catastrophe losses due to the preliminary nature of some reports and estimates of loss and damage to date;
|
▪
|
trends in rates for property and casualty insurance and reinsurance;
|
▪
|
the timely and full recoverability of reinsurance placed by us with third parties, or other amounts due to us;
|
▪
|
changes in ratings or rating agency policies or practices;
|
▪
|
changes in the projected amount of ceded reinsurance recoverables and the ratings and creditworthiness of reinsurers;
|
▪
|
the timing of claims payments being faster or the receipt of reinsurance recoverables being slower than we anticipated;
|
▪
|
our ability to successfully implement our business strategy;
|
▪
|
increased competition on the basis of pricing, capacity, coverage terms or other factors, which could harm our ability to maintain or increase our business volumes or profitability;
|
▪
|
greater frequency or severity of claims and loss activity than our underwriting, reserving or investment practices anticipate based on historical experience or industry data;
|
▪
|
changes in general economic conditions, including the effects of inflation on our business, including on pricing and reserving, and changes in interest rates, credit spreads, foreign currency exchange rates and future volatility in the world's credit, financial and capital markets that adversely affect the performance and valuation of our investments or access to such markets;
|
▪
|
developments, including uncertainties related to the future of the Euro-zone, the ability of Euro-zone countries to service existing debt obligations and the strength of the Euro as a currency and to the financial condition of counterparties, reinsurers and other companies that are at risk of bankruptcy;
|
▪
|
the potential impact on us from government-mandated insurance coverage for acts of terrorism;
|
▪
|
the potential for changes to methodologies, estimations and assumptions that underlie the valuation of our financial instruments that could result in changes to investment valuations;
|
▪
|
changes to our assessment as to whether it is more likely than not that we will be required to sell, or have the intent to sell, available for sale debt securities before their anticipated recovery;
|
▪
|
the availability of borrowings and letters of credit under our credit facilities;
|
▪
|
the ability of our subsidiaries to pay dividends to XL-Ireland and XLIT Ltd., an exempted company organized under the laws of the Cayman Islands ("XL-Cayman");
|
▪
|
the potential effect of regulatory developments in the jurisdictions in which we operate, including those which could impact the financial markets or increase our business costs and required capital levels;
|
▪
|
changes in regulations or laws applicable to XL-Ireland or our subsidiaries, brokers or customers;
|
▪
|
acceptance of our products and services, including new products and services;
|
▪
|
changes in the availability, cost or quality of reinsurance;
|
▪
|
changes in the distribution or placement of risks due to increased consolidation of insurance and reinsurance brokers;
|
▪
|
loss of key personnel;
|
▪
|
changes in accounting policies or practices or the application thereof;
|
▪
|
legislative or regulatory developments including, but not limited to, changes in regulatory capital balances that must be maintained by our operating subsidiaries and governmental actions for the purpose of stabilizing the financial markets;
|
▪
|
the effects of mergers, acquisitions and divestitures;
|
▪
|
developments related to bankruptcies of companies insofar as they affect property and casualty insurance and reinsurance coverages or claims that we may have as a counterparty;
|
▪
|
changes in applicable tax laws, tax treaties or tax regulations or the interpretation or enforcement thereof;
|
▪
|
the effects of business disruption or economic contraction due to war, terrorism or other hostilities;
|
▪
|
our ability to realize the expected benefits from the Redomestication; and
|
▪
|
the other factors set forth in Item 1A, “Risk Factors,” included in our Annual Report on Form 10-K for the year ended
December 31, 2012
and our other documents on file with the SEC.
|
(U.S. dollars in thousands, except share and per share amounts)
|
Three Months Ended
March 31, |
||||||
2013
|
|
2012
|
|||||
Net income (loss) attributable to ordinary shareholders
|
$
|
350,790
|
|
|
$
|
176,628
|
|
Earnings (loss) per ordinary share – basic
|
$
|
1.19
|
|
|
$
|
0.56
|
|
Earnings (loss) per ordinary share – diluted
|
$
|
1.17
|
|
|
$
|
0.56
|
|
Weighted average number of ordinary shares and ordinary share equivalents – basic
|
295,000
|
|
|
315,120
|
|
||
Weighted average number of ordinary shares and ordinary share equivalents – diluted
|
299,469
|
|
|
317,639
|
|
|
Three Months Ended
March 31, |
|
Change
|
||||||||
(U.S. dollars in thousands, except ratios and per share amounts)
|
2013
|
|
2012
|
|
2013 to 2012
|
||||||
Underwriting profit (loss) - P&C operations
|
$
|
180,588
|
|
|
$
|
63,240
|
|
|
$
|
117,348
|
|
Combined ratio - P&C operations
|
87.7
|
%
|
|
95.3
|
%
|
|
(7.6) pts
|
|
|||
Net investment income - P&C operations
|
$
|
174,781
|
|
|
$
|
190,216
|
|
|
$
|
(15,435
|
)
|
Operating net income
|
$
|
279,868
|
|
|
$
|
165,231
|
|
|
$
|
114,637
|
|
Operating net income per share
|
$
|
0.93
|
|
|
$
|
0.52
|
|
|
$
|
0.41
|
|
Annualized return on average ordinary shareholders’ equity
|
13.4
|
%
|
|
7.4
|
%
|
|
6.0 pts
|
|
|||
Annualized operating return on average ordinary shareholders’ equity
|
10.7
|
%
|
|
6.9
|
%
|
|
3.8 pts
|
|
|||
|
|
|
|
|
|
|
|
||||
(U.S. dollars)
|
March 31, 2013
|
|
December 31, 2012
|
|
Change
Three Months |
||||||
Book value per ordinary share
|
$
|
35.93
|
|
|
$
|
35.18
|
|
|
$
|
0.75
|
|
Fully diluted tangible book value per ordinary share
|
$
|
34.05
|
|
|
$
|
33.35
|
|
|
$
|
0.70
|
|
(U.S. dollars in thousands, except share and per share amounts)
|
Three Months Ended
March 31, |
||||||
2013
|
|
2012
|
|||||
Net income (loss) attributable to ordinary shareholders
|
$
|
350,790
|
|
|
$
|
176,628
|
|
Net realized (gains) losses on investments, net of tax
|
(36,239
|
)
|
|
(20,462
|
)
|
||
Net realized and unrealized (gains) losses on derivatives, net of tax
|
(7,885
|
)
|
|
(697
|
)
|
||
Net realized and unrealized (gains) losses on investments and derivatives related to the Company's insurance company affiliates
|
(180
|
)
|
|
(40
|
)
|
||
Foreign exchange (gains) losses, net of tax
|
(26,618
|
)
|
|
9,802
|
|
||
Operating net income (loss)
|
$
|
279,868
|
|
|
$
|
165,231
|
|
Per ordinary share results:
|
|
|
|
||||
Net income (loss) attributable to ordinary shareholders
|
$
|
1.17
|
|
|
$
|
0.56
|
|
Operating net income (loss)
|
$
|
0.93
|
|
|
$
|
0.52
|
|
Weighted average ordinary shares outstanding:
|
|
|
|
||||
Basic
|
294,999,513
|
|
|
315,120,210
|
|
||
Diluted - Net income
|
299,468,682
|
|
|
317,639,325
|
|
||
Diluted - Operating net income
|
299,468,682
|
|
|
317,639,325
|
|
||
Return on ordinary shareholders' equity:
|
|
|
|
||||
Closing ordinary shareholders' equity
|
$
|
10,487,346
|
|
|
$
|
9,710,022
|
|
Average ordinary shareholders' equity
|
$
|
10,498,709
|
|
|
$
|
9,560,840
|
|
Operating net income (loss)
|
$
|
279,868
|
|
|
$
|
165,231
|
|
Annualized operating net income (loss)
|
$
|
1,119,471
|
|
|
$
|
660,924
|
|
Annualized operating ROE
|
10.7
|
%
|
|
6.9
|
%
|
|
Interest Rate Movement for the three months
ended March 31, 2013
1
(‘+’/‘-’ represents increases / decreases
in interest rates)
|
|
Credit Spread Movement for the three months
ended March 31, 2013
2
(‘+’/‘-’ represents widening / tightening
of credit spreads)
|
United States
|
+4 basis points (5 year Treasury)
|
|
-4 basis points (US Corporate A rated)
|
|
|
|
+22 basis points (US Mortgage Master Index)
|
|
|
|
+15 basis points (US CMBS, AAA rated)
|
United Kingdom
|
-6 basis points (10 year Gilt)
|
|
-7 basis points (UK Corporate, AA rated)
|
Euro-zone
|
+2 basis points (5 year Bund)
|
|
-3 basis points (Europe Corporate, A rated)
|
(1)
|
Source: Bloomberg Finance L.P.
|
(2)
|
Source: Merrill Lynch Global Indices.
|
|
|
|
|
|
1-in-100 Event
|
|
1-in-250 Event
|
||||||||||
(U.S. dollars in millions)
|
Peril
|
|
Measurement
Date
of In-Force
Exposures
(1)
|
|
Probable
Maximum
Loss (2)
|
|
Percentage of
Tangible
Shareholders’
Equity at
March 31,
2013
|
|
Probable
Maximum
Loss (2)
|
|
Percentage of
Tangible
Shareholders’
Equity at
March 31,
2013
|
||||||
Geographical Zone
|
|
|
|
|
|
||||||||||||
North Atlantic
|
Windstorm
|
|
January 1, 2013
|
|
$
|
1,245
|
|
|
10.9
|
%
|
|
$
|
1,718
|
|
|
15.0
|
%
|
North America
|
Earthquake
|
|
January 1, 2013
|
|
882
|
|
|
7.7
|
%
|
|
1,434
|
|
|
12.6
|
%
|
||
Europe
|
Windstorm
|
|
January 1, 2013
|
|
519
|
|
|
4.5
|
%
|
|
725
|
|
|
6.3
|
%
|
||
Japan
|
Earthquake
|
|
January 1, 2013
|
|
254
|
|
|
2.2
|
%
|
|
327
|
|
|
2.9
|
%
|
||
Japan
|
Windstorm
|
|
January 1, 2013
|
|
142
|
|
|
1.2
|
%
|
|
245
|
|
|
2.1
|
%
|
(1)
|
Detailed analyses of aggregated in-force exposures and maximum loss levels are done periodically. The measurement dates represent the date of the last completed detailed analysis by geographical zone.
|
(2)
|
Probable maximum losses, which include secondary uncertainty that incorporates variability around the expected probable maximum loss for each event, do not represent our maximum potential exposures and are pre-tax.
|
▪
|
The combined ratio related to the P&C operations is the sum of the loss and loss expense ratio and the underwriting expense ratio. A combined ratio under 100% represents an underwriting profit and over 100% represents an underwriting loss.
|
▪
|
The loss and loss expense ratio related to the P&C operations is calculated by dividing the losses and loss expenses incurred by the net premiums earned for the Insurance and Reinsurance segments.
|
▪
|
The underwriting expense ratio related to the P&C operations is the sum of acquisition costs and operating expenses for the Insurance and Reinsurance segments divided by net premiums earned for the Insurance and Reinsurance segments.
|
▪
|
The acquisition expense ratio related to the P&C operations is calculated by dividing the acquisition costs incurred by the net premiums earned for the Insurance and Reinsurance segments.
|
▪
|
The operating expense ratio related to the P&C operations is calculated by dividing the operating expenses incurred by the net premiums earned for the Insurance and Reinsurance segments.
|
*
|
N/M - not meaningful.
|
|
Three Months Ended
March 31,
|
|
Percentage Change
|
|||||||
(U.S. dollars in millions)
|
2013
|
|
2012
|
|
2013 to 2012
|
|||||
IPC
|
$
|
585,477
|
|
|
$
|
552,439
|
|
|
6.0
|
%
|
NAPC
|
358,417
|
|
|
281,131
|
|
|
27.5
|
%
|
||
Professional
|
303,441
|
|
|
261,004
|
|
|
16.3
|
%
|
||
Specialty
|
250,452
|
|
|
242,060
|
|
|
3.5
|
%
|
||
Total
|
$
|
1,497,787
|
|
|
$
|
1,336,634
|
|
|
12.1
|
%
|
▪
|
IPC - increase of
6.0%
driven by higher retentions and improved pricing across most lines as well as a higher renewable premium base in middle markets given the significant growth in premium during 2012 that has renewed in 2013. Partially offsetting this increase was adverse amendments to prior year premium estimates in middle markets and property lines.
|
▪
|
NAPC - increase of
27.5%
largely driven by new business initiatives, most notably in construction and programs lines of business.
|
▪
|
Professional - increase of
16.3%
driven primarily by the U.S. professional business through higher renewable premium base, favorable amendments to prior year premium estimates and improved pricing.
|
▪
|
Specialty - increase of
3.5%
due to favorable amendments to prior year premium estimates, partially offset by lower retention levels and lower new business in marine lines.
|
|
Three Months Ended
March 31,
|
|
Percentage Point Change
|
|||||
|
2013
|
|
2012
|
|
2013 to 2012
|
|||
Loss and loss expense ratio
|
62.6
|
%
|
|
67.6
|
%
|
|
(5.0
|
)
|
Acquisition expense ratio
|
12.6
|
%
|
|
13.7
|
%
|
|
(1.1
|
)
|
Operating expense ratio
|
17.7
|
%
|
|
19.9
|
%
|
|
(2.2
|
)
|
Underwriting expense ratio
|
30.3
|
%
|
|
33.6
|
%
|
|
(3.3
|
)
|
Combined ratio
|
92.9
|
%
|
|
101.2
|
%
|
|
(8.3
|
)
|
|
Three Months Ended
March 31,
|
|
Percentage Point Change
|
|||||
|
2013
|
|
2012
|
|
2013 to 2012
|
|||
Loss and loss expense ratio
|
62.6
|
%
|
|
67.6
|
%
|
|
(5.0
|
)
|
Prior year reserve development
|
1.0
|
%
|
|
5.8
|
%
|
|
(4.8
|
)
|
Loss ratio excluding prior year development
|
63.6
|
%
|
|
73.4
|
%
|
|
(9.8
|
)
|
|
Three Months Ended
March 31,
|
||||||
(U.S. dollars in thousands)
|
2013
|
|
2012
|
||||
Property
|
$
|
(18,350
|
)
|
|
$
|
(18,190
|
)
|
Casualty
|
1,800
|
|
|
(6,213
|
)
|
||
Professional
|
125
|
|
|
(24,256
|
)
|
||
Specialty
|
4,761
|
|
|
(5,434
|
)
|
||
Other (1)
|
1,472
|
|
|
184
|
|
||
Total
|
$
|
(10,192
|
)
|
|
$
|
(53,909
|
)
|
(1)
|
Other includes excess and surplus, surety, structured indemnity and certain other discontinued lines.
|
▪
|
For property, net prior year development was
$18.4 million
favorable. This was driven by a release of $17.9 million for the non-catastrophe exposures in the general property, energy and construction books due to better than expected reported loss experience predominantly in the 2012 accident year.
|
▪
|
For specialty, net prior year development was
$4.8 million
unfavorable. This was driven by strengthening of $4.4 million for the non-catastrophe exposures in marine due to worse than expected large loss experience principally in the 2012 accident year.
|
▪
|
Acquisition expense ratio decrease - largely from adverse earned premium adjustments in 2012 and lower acquisition expenses in NAPC as compared to the prior year and the impact of marine reinstatement premiums in the first quarter of 2012.
|
▪
|
Operating expense ratio decrease was due to lower compensation expenses in the three months ended March 31, 2013 as compared to the same period of 2012.
|
|
Three Months Ended
March 31,
|
|
Percentage Change
|
|||||||
(U.S. dollars in thousands)
|
2013
|
|
2012
|
|
2013 to 2012
|
|||||
Gross premiums written
|
$
|
907,129
|
|
|
$
|
980,350
|
|
|
(7.5
|
)%
|
Net premiums written
|
853,021
|
|
|
926,702
|
|
|
(8.0
|
)%
|
||
Net premiums earned
|
425,154
|
|
|
423,842
|
|
|
0.3
|
%
|
||
Net losses and loss expenses
|
192,567
|
|
|
222,380
|
|
|
(13.4
|
)%
|
||
Acquisition costs
|
85,534
|
|
|
88,244
|
|
|
(3.1
|
)%
|
||
Operating expenses
|
40,421
|
|
|
38,747
|
|
|
4.3
|
%
|
||
Underwriting profit (loss)
|
$
|
106,632
|
|
|
$
|
74,471
|
|
|
43.2
|
%
|
Net results – structured products
|
991
|
|
|
2,438
|
|
|
(59.4
|
)%
|
||
Net fee income and other
|
632
|
|
|
333
|
|
|
89.8
|
%
|
▪
|
Bermuda - there was premium growth through favorable whole account renewals, new business and property treaty renewals.
|
▪
|
North America - there was a decrease primarily from reductions in volume and shares as well as declined business in casualty treaty and from property treaty due to lower renewals, partially offset by new business.
|
▪
|
International - premiums decreased, attributable to the non-renewal of certain marine exposures as a result of the re-underwriting of this line to manage aggregate exposures, and, in casualty, from reduced renewals, cancellations and certain premium adjustments.
|
▪
|
Latin America - there was a decline in premiums, mainly in property treaty and surety, driven by lower renewals due to decreased lines and declined business.
|
|
Three Months Ended
March 31,
|
|
Percentage Point Change
|
|||||
|
2013
|
|
2012
|
|
2013 to 2012
|
|||
Loss and loss expense ratio
|
45.3
|
%
|
|
52.5
|
%
|
|
(7.2
|
)
|
Acquisition expense ratio
|
20.1
|
%
|
|
20.8
|
%
|
|
(0.7
|
)
|
Operating expense ratio
|
9.5
|
%
|
|
9.1
|
%
|
|
0.4
|
|
Underwriting expense ratio
|
29.6
|
%
|
|
29.9
|
%
|
|
(0.3
|
)
|
Combined ratio
|
74.9
|
%
|
|
82.4
|
%
|
|
(7.5
|
)
|
|
Three Months Ended
March 31,
|
|
Percentage Point Change
|
|||||
|
2013
|
|
2012
|
|
2013 to 2012
|
|||
Loss and loss expense ratio
|
45.3
|
%
|
|
52.5
|
%
|
|
(7.2
|
)
|
Prior year reserve development
|
4.9
|
%
|
|
6.2
|
%
|
|
(1.3
|
)
|
Loss ratio excluding prior year development
|
50.2
|
%
|
|
58.7
|
%
|
|
(8.5
|
)
|
|
Three Months Ended
March 31,
|
||||||
(U.S. dollars in thousands)
|
2013
|
|
2012
|
||||
Property and other short-tail lines
|
$
|
(21,777
|
)
|
|
$
|
(29,118
|
)
|
Casualty and other
|
748
|
|
|
2,717
|
|
||
Total
|
$
|
(21,029
|
)
|
|
$
|
(26,401
|
)
|
(1)
|
Other includes excess and surplus, surety, structured indemnity and certain other discontinued lines.
|
▪
|
For property catastrophe and other property lines, net prior year development totaled $17.5 million favorable. The remainder of the release related to marine and aviation.
|
▪
|
Acquisition expense ratio decrease - largely from decreased sliding scale commissions paid in Latin America on property treaty lines, partially offset by an increase in non-standard commissions on the North America Property Facultative business.
|
▪
|
Operating expense ratio increase - mainly due to higher compensation expenses resulting from higher variable compensation costs and certain bonus accrual reversals in the prior year quarter.
|
|
Three Months Ended
March 31,
|
|
Percentage Change
|
|||||||
(U.S. dollars in thousands)
|
2013
|
|
2012
|
|
2013 to 2012
|
|||||
Gross premiums written
|
$
|
72,970
|
|
|
$
|
86,683
|
|
|
(15.8
|
)%
|
Net premiums written
|
65,445
|
|
|
78,496
|
|
|
(16.6
|
)%
|
||
Net premiums earned
|
65,445
|
|
|
78,520
|
|
|
(16.7
|
)%
|
||
Net losses and loss expenses
|
110,954
|
|
|
121,307
|
|
|
(8.5
|
)%
|
||
Acquisition costs
|
4,103
|
|
|
7,651
|
|
|
(46.4
|
)%
|
||
Operating expenses
|
2,595
|
|
|
2,607
|
|
|
(0.5
|
)%
|
||
Net investment income
|
71,688
|
|
|
75,026
|
|
|
(4.4
|
)%
|
||
Net fee income and other
|
1,043
|
|
|
48
|
|
|
N/M
|
|
||
Realized gains (losses) on investments
|
(9,069
|
)
|
|
(4,164
|
)
|
|
117.8
|
%
|
||
Contribution from Life operations
|
$
|
11,455
|
|
|
$
|
17,865
|
|
|
(35.9
|
)%
|
|
Three Months Ended
March 31, 2013
|
|
Three Months Ended
March 31, 2012
|
||||||||||||||||||||
(U.S. dollars in thousands)
|
Gross
Premiums
Written
|
|
Net
Premiums
Written
|
|
Net
Premiums
Earned
|
|
Gross
Premiums
Written
|
|
Net
Premiums
Written
|
|
Net
Premiums
Earned
|
||||||||||||
Other Life
|
$
|
36,597
|
|
|
$
|
35,760
|
|
|
$
|
35,760
|
|
|
$
|
48,054
|
|
|
$
|
47,039
|
|
|
$
|
47,063
|
|
Annuity
|
36,373
|
|
|
29,685
|
|
|
29,685
|
|
|
38,629
|
|
|
31,457
|
|
|
31,457
|
|
||||||
Total
|
$
|
72,970
|
|
|
$
|
65,445
|
|
|
$
|
65,445
|
|
|
$
|
86,683
|
|
|
$
|
78,496
|
|
|
$
|
78,520
|
|
|
Three Months Ended
March 31,
|
||||
(U.S. dollars in thousands)
|
2013 (1)
|
|
2012 (1)
|
||
Total Return on Investments
|
0.7
|
%
|
|
1.6
|
%
|
P&C portfolio
|
0.7
|
%
|
|
1.5
|
%
|
Life portfolio
|
1.1
|
%
|
|
1.7
|
%
|
|
|
|
|
||
Other Portfolios (2)
|
|
|
|
||
Alternative portfolio (3)
|
4.1
|
%
|
|
2.2
|
%
|
Equity portfolio
|
5.2
|
%
|
|
12.0
|
%
|
(1)
|
The performance of investment portfolios is measured on a local currency basis and is not annualized. For aggregate performance calculation, respective local currency balances are translated to U.S. dollars at quarter end rates to calculate composite portfolio results.
|
(2)
|
Performance on Other Portfolios is included in the Total Return on Investments.
|
(3)
|
Performance on the alternative portfolio reflects the
three months ended
February 28, 2013 and 2012, respectively.
|
|
Three Months Ended
March 31,
|
|
Percentage Change
|
|||||||
(U.S. dollars in thousands)
|
2013
|
|
2012
|
|
2013 to 2012
|
|||||
Net investment income - P&C operations (1)
|
$
|
174,781
|
|
|
$
|
190,216
|
|
|
(8.1
|
)%
|
Net income (loss) from investment fund affiliates (2)
|
32,221
|
|
|
19,408
|
|
|
66.0
|
%
|
||
Net realized gains (losses) on investments
|
36,510
|
|
|
20,803
|
|
|
75.5
|
%
|
||
Net realized and unrealized gains (losses) on investment and other derivative instruments (3)
|
7,885
|
|
|
702
|
|
|
NM*
|
|
(1)
|
Net investment income relating to P&C operations includes the net investment income related to the net results from structured products.
|
(2)
|
We generally record the income related to alternative fund affiliates on a one-month lag and the private investment fund affiliates on a three-month lag based upon the availability of the information provided by the investees.
|
(3)
|
For a summary of realized and unrealized gains and losses on all derivative instruments, see Item 1, Note 6, “Derivative Instruments,” to the Unaudited Consolidated Financial Statements included herein.
|
*
|
NM - Not Meaningful
|
▪
|
Net realized gains of
$41.1 million
resulted primarily from redemptions of non-equity accounted alternative investments and sales of equity and non-U.S. Sovereign Government securities.
|
▪
|
Realized losses of approximately
$4.6 million
related to the write-down of certain of our AFS investments. The main components of the net impairment charges were:
|
▪
|
$2.8 million for structured securities, principally non-Agency RMBS, where we determined that the likely recovery on these securities was below the carrying value and, accordingly, recorded an impairment of the securities to the discounted value of the cash flows expected to be received on these securities.
|
▪
|
$1.8 million related to currency losses primarily arising on Swiss franc and U.K. sterling denominated securities held in U.S. dollar portfolios.
|
|
Three Months Ended
March 31,
|
|
Percentage Change
|
|||||||
(U.S. dollars in thousands)
|
2013
|
|
2012
|
|
2013 to 2012
|
|||||
Net income (loss) from operating affiliates (1)
|
$
|
30,998
|
|
|
$
|
16,253
|
|
|
90.7
|
%
|
Exchange gains (losses)
|
33,435
|
|
|
(12,718
|
)
|
|
NM*
|
|
||
Corporate operating expenses
|
46,923
|
|
|
44,260
|
|
|
6.0
|
%
|
||
Interest expense (2)
|
26,136
|
|
|
27,260
|
|
|
(4.1
|
)%
|
||
Income tax expense
|
43,479
|
|
|
21,550
|
|
|
101.8
|
%
|
(1)
|
The Company generally records the income related to certain operating affiliates on a three-month lag based upon the availability of the information provided by the investees.
|
(2)
|
Interest expense includes costs related to our debt and collateral facilities and does not include deposit liability accretion, which is included in Net investment results - structured products.
|
*
|
NM - Not Meaningful
|
|
Three Months Ended
March 31,
|
|
Percentage Change
|
|||||||
(U.S. dollars in thousands)
|
2013
|
|
2012
|
|
2013 to 2012
|
|||||
Net income (loss) from investment manager affiliates
|
$
|
18,456
|
|
|
$
|
10,560
|
|
|
74.8
|
%
|
Net income (loss) from strategic operating affiliates
|
12,542
|
|
|
5,693
|
|
|
120.3
|
%
|
||
Total
|
$
|
30,998
|
|
|
$
|
16,253
|
|
|
90.7
|
%
|
|
March 31, 2013
|
|
December 31, 2012
|
||||||||||
(U.S. dollars in thousands)
|
Carrying
Value (1)
|
|
Percent
of Total
|
|
Carrying
Value (1)
|
|
Percent
of Total
|
||||||
Cash and cash equivalents
|
$
|
2,473,287
|
|
|
6.8
|
%
|
|
$
|
2,618,378
|
|
|
7.1
|
%
|
Net receivable/ (payable) for investments sold/ (purchased)
|
(106,195
|
)
|
|
(0.3
|
)%
|
|
(86,110
|
)
|
|
(0.2
|
)%
|
||
Accrued investment income
|
316,718
|
|
|
0.9
|
%
|
|
342,778
|
|
|
0.9
|
%
|
||
Short-term investments
|
258,269
|
|
|
0.7
|
%
|
|
322,703
|
|
|
0.9
|
%
|
||
Fixed maturities - AFS:
|
|
|
|
|
|
|
|
|
|
||||
U.S. Government and Government-Related/Supported (2)
|
1,978,000
|
|
|
5.5
|
%
|
|
2,034,617
|
|
|
5.5
|
%
|
||
Corporate - Financials (3) (4)
|
3,169,533
|
|
|
8.8
|
%
|
|
3,240,399
|
|
|
8.8
|
%
|
||
Corporate - Non Financials (4)
|
7,135,791
|
|
|
19.7
|
%
|
|
7,241,601
|
|
|
19.6
|
%
|
||
RMBS – Agency
|
4,840,708
|
|
|
13.4
|
%
|
|
5,255,493
|
|
|
14.3
|
%
|
||
RMBS – Non-Agency
|
593,391
|
|
|
1.6
|
%
|
|
647,733
|
|
|
1.8
|
%
|
||
CMBS
|
1,153,341
|
|
|
3.2
|
%
|
|
1,077,251
|
|
|
2.9
|
%
|
||
CDO
|
711,067
|
|
|
2.0
|
%
|
|
709,816
|
|
|
1.9
|
%
|
||
Other asset-backed securities (5)
|
1,280,679
|
|
|
3.5
|
%
|
|
1,470,711
|
|
|
4.0
|
%
|
||
U.S. States and political subdivisions of the States
|
1,889,269
|
|
|
5.2
|
%
|
|
1,911,017
|
|
|
5.2
|
%
|
||
Non-U.S. Sovereign Government, Provincial, Supranational and Government-Related/Supported (2)
|
4,597,406
|
|
|
12.7
|
%
|
|
4,258,282
|
|
|
11.6
|
%
|
||
Total fixed maturities - AFS
|
$
|
27,349,185
|
|
|
75.6
|
%
|
|
$
|
27,846,920
|
|
|
75.6
|
%
|
Fixed maturities - HTM:
|
|
|
|
|
|
|
|
|
|
|
|||
U.S. Government and Government-Related/Supported (2)
|
10,149
|
|
|
—
|
%
|
|
10,788
|
|
|
—
|
%
|
||
Corporate - Financials (3) (4)
|
257,266
|
|
|
0.7
|
%
|
|
266,565
|
|
|
0.7
|
%
|
||
Corporate - Non Financials (4)
|
1,043,627
|
|
|
2.9
|
%
|
|
1,158,755
|
|
|
3.1
|
%
|
||
RMBS – Non-Agency
|
62,604
|
|
|
0.2
|
%
|
|
83,205
|
|
|
0.2
|
%
|
||
CMBS
|
135,505
|
|
|
0.4
|
%
|
|
12,751
|
|
|
—
|
%
|
||
Other asset-backed securities (5)
|
100,154
|
|
|
0.3
|
%
|
|
222,340
|
|
|
0.6
|
%
|
||
Non-U.S. Sovereign Government, Provincial, Supranational and Government-Related/Supported (2)
|
1,052,516
|
|
|
2.9
|
%
|
|
1,060,043
|
|
|
2.9
|
%
|
||
Total fixed maturities - HTM
|
$
|
2,661,821
|
|
|
7.4
|
%
|
|
$
|
2,814,447
|
|
|
7.5
|
%
|
Equity securities (6)
|
850,970
|
|
|
2.4
|
%
|
|
649,359
|
|
|
1.8
|
%
|
||
Investments in affiliates
|
1,225,840
|
|
|
3.4
|
%
|
|
1,126,875
|
|
|
3.1
|
%
|
||
Other investments
|
1,142,188
|
|
|
3.1
|
%
|
|
1,219,879
|
|
|
3.3
|
%
|
||
Total investments and cash and cash equivalents
|
$
|
36,172,083
|
|
|
100.0
|
%
|
|
$
|
36,855,229
|
|
|
100.0
|
%
|
(1)
|
Carrying values represents the fair value for AFS fixed maturities and amortized cost for held to maturity securities.
|
(2)
|
U.S. Government and Government-Related/Supported and Non-U.S. Sovereign Government, Provincial, Supranational and Government-Related/Supported include government-related securities with an amortized cost of
$2,079.0 million
and
$1,912.7 million
and carrying value of
$2,142.3 million
and
$1,988.5 million
at
March 31, 2013
and
December 31, 2012
, respectively, and U.S. Agencies with an amortized cost of
$301.8 million
and
$404.3 million
and carrying value of
$339.8 million
and
$446.7 million
at
March 31, 2013
and
December 31, 2012
, respectively.
|
(3)
|
Included in Corporate - Financials are gross unrealized losses of
$16.9 million
and
$23.7 million
on Tier One and Upper Tier Two securities of financial institutions (“Hybrids”) with a carrying value of
$180.1 million
and
$190.1 million
at
March 31, 2013
and
December 31, 2012
, respectively, as well as gross unrealized losses of
$9.9 million
and
$11.8 million
on subordinated debt (including lower Tier Two securities) with a carrying value of
$78.8 million
and
$111.5 million
at
March 31, 2013
and
December 31, 2012
, respectively.
|
(4)
|
Included within Corporate are certain floating rate medium term notes supported primarily by pools of European investment grade credit with varying degrees of leverage. The notes have a carrying value of
$193.7 million
and
$194.3 million
and an amortized cost of
$192.4 million
and
|
(5)
|
Covered Bonds within Fixed maturities - AFS with a carrying value of
$521.0 million
and
$647.1 million
at
March 31, 2013
and
December 31, 2012
, respectively, and Covered Bonds within Fixed maturities - HTM with a carrying value of
$7.9 million
and
$8.6 million
at March 31, 2013, and December 31, 2012, respectively, are included within Other asset-backed securities to align our classification to market indices.
|
(6)
|
Included within Equity securities are investments in fixed income funds with a carrying value of
$101.0 million
and
$101.9 million
at
March 31, 2013
and
December 31, 2012
, respectively.
|
|
March 31, 2013
|
|
December 31, 2012
|
||||||||||
Investments by Credit Rating (1)
(U.S. dollars in millions)
|
Carrying
Value
|
|
Percent
of Total
|
|
Carrying
Value
|
|
Percent
of Total
|
||||||
AAA
|
$
|
14,829
|
|
|
46.6
|
%
|
|
$
|
15,631
|
|
|
47.0
|
%
|
AA
|
5,455
|
|
|
17.2
|
%
|
|
5,954
|
|
|
17.8
|
%
|
||
A
|
7,401
|
|
|
23.3
|
%
|
|
7,436
|
|
|
22.3
|
%
|
||
BBB
|
3,172
|
|
|
10.0
|
%
|
|
3,317
|
|
|
10.0
|
%
|
||
BB and below
|
884
|
|
|
2.8
|
%
|
|
934
|
|
|
2.8
|
%
|
||
Not rated
|
17
|
|
|
0.1
|
%
|
|
19
|
|
|
0.1
|
%
|
||
Total
|
$
|
31,758
|
|
|
100.0
|
%
|
|
$
|
33,291
|
|
|
100.0
|
%
|
(1)
|
The credit rating for each asset reflected above was principally determined based on the weighted average rating of the individual securities from Standard & Poor's, Moody's Investors Service and Fitch Ratings (when available). U.S. Agency debt and related mortgage-backed securities, whether with implicit or explicit government support, reflect the credit quality rating of the U.S. government for the purpose of these calculations.
|
•
|
gross unrealized losses of
$65.3 million
related to the P&C portfolio of Core CDO holdings (defined by the Company as investments in non-subprime CDOs), which consisted primarily of collateralized loan obligations (“CLOs”). Securities in an unrealized loss position had a fair value of
$690.3 million
at
March 31, 2013
.
|
•
|
gross unrealized losses of
$41.5 million
related to the P&C portfolio of Non-Agency RMBS portfolio (which consists of our holdings of sub-prime Non-Agency RMBS, second liens, ABS CDOs with sub-prime collateral, Alt-A and Prime RMBS). Securities in an unrealized loss position had a fair value of
$348.2 million
at
March 31, 2013
. The Company has incurred realized losses, consisting of charges for OTTI and realized losses from sales, of approximately
$1.4 billion
since the beginning of 2007 through
March 31, 2013
on these asset classes.
|
•
|
gross unrealized losses of
$44.1 million
related to our Life operations investment portfolio, which had a fair value of
$689.7 million
at
March 31, 2013
. Of these gross unrealized losses,
$15.1 million
related to
$219.7 million
of exposures to corporate financial institutions, including
$11.6 million
related to Tier One and Upper Tier Two securities.
|
•
|
gross unrealized losses of
$45.1 million
related to the Corporate holdings within our P&C portfolio. Securities in an unrealized loss position had a fair value of
$946.8 million
at
March 31, 2013
. Of the gross unrealized losses,
$18.9 million
relate to financial institutions. In addition,
$4.9 million
relate to medium term notes primarily supported by pools of European investment grade credit with varying degrees of leverage. These had a fair value of
$58.5 million
at
March 31, 2013
. Management believes that expected cash flows from these bonds over the expected holding period will be sufficient to support the remaining reported amortized cost.
|
(U.S. dollars in thousands)
|
March 31, 2013
|
||||||
Security Type and Length of Time in a Continual Unrealized Loss Position
|
Amount of
Unrealized
Loss
|
|
Fair Value
of Securities in
an Unrealized
Loss Position
|
||||
Fixed Maturities and Short-Term Investments
|
|
|
|
|
|
||
Less than 6 months
|
$
|
(39,058
|
)
|
|
$
|
2,913,404
|
|
At least 6 months but less than 12 months
|
(8,505
|
)
|
|
436,971
|
|
||
At least 12 months but less than 2 years
|
(8,501
|
)
|
|
114,075
|
|
||
2 years and over
|
(191,443
|
)
|
|
1,776,917
|
|
||
Total
|
$
|
(247,507
|
)
|
|
$
|
5,241,367
|
|
Equities
|
|
|
|
|
|
||
Less than 6 months
|
$
|
(2,214
|
)
|
|
$
|
86,305
|
|
At least 6 months but less than 12 months
|
—
|
|
|
—
|
|
||
Total
|
$
|
(2,214
|
)
|
|
86,305
|
|
|
March 31, 2013
|
||||||
(U.S. dollars in thousands)
|
Amount of
Unrealized
Loss
|
|
Fair Value
of Securities in
an Unrealized
Loss Position
|
||||
Maturity profile in years of AFS fixed income securities in a gross unrealized loss position
|
|
||||||
Less than 1 year remaining
|
$
|
(16,545
|
)
|
|
$
|
328,457
|
|
At least 1 year but less than 5 years remaining (1)
|
(44,941
|
)
|
|
1,119,045
|
|
||
At least 5 years but less than 10 years remaining (1)
|
(15,495
|
)
|
|
807,941
|
|
||
At least 10 years but less than 20 years remaining (1)
|
(20,613
|
)
|
|
350,434
|
|
||
At least 20 years or more remaining (1)
|
(6,215
|
)
|
|
144,281
|
|
||
RMBS - Agency
|
(10,363
|
)
|
|
961,008
|
|
||
RMBS - Non-Agency
|
(53,143
|
)
|
|
414,429
|
|
||
CMBS
|
(5,370
|
)
|
|
225,299
|
|
||
CDO
|
(65,323
|
)
|
|
690,347
|
|
||
Other asset-backed securities
|
(9,499
|
)
|
|
200,126
|
|
||
Total
|
$
|
(247,507
|
)
|
|
$
|
5,241,367
|
|
(1)
|
Tier One and Upper Tier Two securities, representing committed term debt and hybrid instruments senior to the common and preferred equities of the financial institutions, are allocated based on the call date unless such security is not called on such date, in which case it is allocated the final or longest expected maturity. Medium term notes supported primarily by pools of European investment grade credit with varying degrees of leverage are allocated on contractual maturity.
|
|
March 31, 2013
|
||||||
(U.S. dollars in thousands)
|
Amount of
Unrealized
Loss
|
|
Fair Value
of Securities in
an Unrealized
Loss Position
|
||||
Maturity profile in years of HTM fixed income securities in a gross unrealized loss position
|
|
||||||
At least 5 years but less than 10 years remaining
|
$
|
(23
|
)
|
|
$
|
720
|
|
At least 20 years or more remaining
|
(1,770
|
)
|
|
21,358
|
|
||
Other asset-backed securities
|
(156
|
)
|
|
1,193
|
|
||
Total
|
$
|
(1,949
|
)
|
|
$
|
23,271
|
|
|
March 31, 2013
|
|
December 31, 2012
|
||||||||||||||||||
(U.S. dollars in thousands)
|
Carrying
Value
|
|
Percent
of Fixed
Income
Portfolio
|
|
Net
Unrealized
Gain (Loss)
|
|
Carrying
Value
|
|
Percent
of Fixed
Income
Portfolio
|
|
Net
Unrealized
Gain (Loss)
|
||||||||||
RMBS - Non-Agency:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Sub-prime first lien mortgages
|
$
|
308,009
|
|
|
1.0
|
%
|
|
$
|
(16,661
|
)
|
|
$
|
306,795
|
|
|
1.0
|
%
|
|
$
|
(35,893
|
)
|
Alt-A mortgages
|
125,783
|
|
|
0.4
|
%
|
|
742
|
|
|
136,965
|
|
|
0.4
|
%
|
|
(1,267
|
)
|
||||
Second lien mortgages (including sub-prime second lien mortgages)
|
29,382
|
|
|
0.1
|
%
|
|
4,744
|
|
|
28,661
|
|
|
0.1
|
%
|
|
2,912
|
|
||||
Prime RMBS
|
116,485
|
|
|
0.4
|
%
|
|
1,798
|
|
|
139,974
|
|
|
0.5
|
%
|
|
1,452
|
|
||||
Other assets
|
76,336
|
|
|
0.3
|
%
|
|
2,648
|
|
|
118,543
|
|
|
0.4
|
%
|
|
2,060
|
|
||||
Total exposure to Non-Agency RMBS
|
$
|
655,995
|
|
|
2.2
|
%
|
|
$
|
(6,729
|
)
|
|
$
|
730,938
|
|
|
2.4
|
%
|
|
$
|
(30,736
|
)
|
CMBS
|
1,288,846
|
|
|
4.3
|
%
|
|
58,952
|
|
|
1,090,002
|
|
|
3.6
|
%
|
|
66,457
|
|
||||
Core CDOs (1)
|
711,067
|
|
|
2.4
|
%
|
|
(53,875
|
)
|
|
709,816
|
|
|
2.3
|
%
|
|
(75,183
|
)
|
||||
Other Structured
|
1,380,833
|
|
|
4.6
|
%
|
|
40,582
|
|
|
1,693,051
|
|
|
5.5
|
%
|
|
44,228
|
|
||||
Total Non-Agency Structured Securities
|
$
|
4,036,741
|
|
|
13.5
|
%
|
|
$
|
38,930
|
|
|
$
|
4,223,807
|
|
|
13.8
|
%
|
|
$
|
4,766
|
|
(1)
|
We define Core CDOs as investments in non-subprime collateralized debt obligations, which primarily consisted of CLOs.
|
|
March 31, 2013
|
|
December 31, 2012
|
||||||||||||
(U.S. dollars in thousands)
|
Amortized
Cost
|
|
Fair
Value
|
|
Amortized
Cost
|
|
Fair
Value
|
||||||||
Fixed maturities
European Periphery Nations
- AFS:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Government and government related – National Governments
|
$
|
10,091
|
|
|
$
|
9,487
|
|
|
$
|
5,350
|
|
|
$
|
4,896
|
|
Government and government related – Local Governments
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Corporate investments – Financial Institutions
|
762
|
|
|
766
|
|
|
372
|
|
|
374
|
|
||||
Corporate investments – Non-Financial Institutions
|
56,247
|
|
|
56,882
|
|
|
57,032
|
|
|
57,720
|
|
||||
Structured Credit (1)
|
7,872
|
|
|
9,383
|
|
|
7,942
|
|
|
9,618
|
|
||||
Total
|
$
|
74,972
|
|
|
$
|
76,518
|
|
|
$
|
70,696
|
|
|
$
|
72,608
|
|
Due less than one year
|
$
|
6,712
|
|
|
$
|
6,723
|
|
|
$
|
5,392
|
|
|
$
|
5,431
|
|
Due after 1 through 5 years
|
18,494
|
|
|
18,161
|
|
|
16,144
|
|
|
15,744
|
|
||||
Due after 5 through 10 years
|
15,880
|
|
|
15,746
|
|
|
14,924
|
|
|
15,111
|
|
||||
Due after 10 years
|
33,886
|
|
|
35,888
|
|
|
34,236
|
|
|
36,322
|
|
||||
Total
|
$
|
74,972
|
|
|
$
|
76,518
|
|
|
$
|
70,696
|
|
|
$
|
72,608
|
|
Fixed maturities
European Periphery Nations
- HTM:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Government and government related – National Governments
|
$
|
11,524
|
|
|
$
|
10,638
|
|
|
$
|
12,237
|
|
|
$
|
10,518
|
|
Government and government related – Local Governments
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Corporate investments – Non-Financial Institutions
|
56,539
|
|
|
57,414
|
|
|
59,757
|
|
|
60,199
|
|
||||
Structured Credit (1)
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Total
|
$
|
68,063
|
|
|
$
|
68,052
|
|
|
$
|
71,994
|
|
|
$
|
70,717
|
|
Due less than one year
|
$
|
4,014
|
|
|
$
|
4,078
|
|
|
$
|
—
|
|
|
$
|
—
|
|
Due after 1 through 5 years
|
1,402
|
|
|
1,467
|
|
|
4,285
|
|
|
4,332
|
|
||||
Due after 5 through 10 years
|
10,222
|
|
|
10,919
|
|
|
12,372
|
|
|
12,937
|
|
||||
Due after 10 years
|
52,425
|
|
|
51,588
|
|
|
55,337
|
|
|
53,448
|
|
||||
Total
|
$
|
68,063
|
|
|
$
|
68,052
|
|
|
$
|
71,994
|
|
|
$
|
70,717
|
|
(1)
|
Covered Bonds are included within Other asset-backed securities under Structured Credit.
|
|
March 31, 2013
|
||||||||||||||||||||||
(U.S. dollars in thousands)
|
Greece
|
|
Italy
|
|
Ireland
|
|
Portugal
|
|
Spain
|
|
TOTAL
|
||||||||||||
Gross Unrealized (Losses) -
European Periphery Nations
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Government and government related – National Governments
|
$
|
—
|
|
|
$
|
(1,451
|
)
|
|
$
|
(40
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(1,491
|
)
|
Government and government related – Local Governments
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Corporate investments – Financial Institutions
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Corporate investments – Non-Financial Institutions
|
—
|
|
|
(2,607
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(2,607
|
)
|
||||||
Structured Credit (1)
|
—
|
|
|
—
|
|
|
(35
|
)
|
|
—
|
|
|
—
|
|
|
(35
|
)
|
||||||
Total gross unrealized gains (losses) relating to European Periphery Nations
|
$
|
—
|
|
|
$
|
(4,058
|
)
|
|
$
|
(75
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(4,133
|
)
|
Net Unrealized Gains (Losses) -
European Periphery Nations
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Government and government related – National Governments
|
$
|
—
|
|
|
$
|
(564
|
)
|
|
$
|
(40
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(604
|
)
|
Government and government related – Local Governments
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Corporate investments – Financial Institutions
|
—
|
|
|
—
|
|
|
4
|
|
|
—
|
|
|
—
|
|
|
4
|
|
||||||
Corporate investments – Non-Financial Institutions
|
252
|
|
|
(1,692
|
)
|
|
—
|
|
|
—
|
|
|
2,075
|
|
|
635
|
|
||||||
Structured Credit (1)
|
—
|
|
|
—
|
|
|
1,511
|
|
|
—
|
|
|
—
|
|
|
1,511
|
|
||||||
Total net unrealized gains (losses) relating to European Periphery Nations
|
$
|
252
|
|
|
$
|
(2,256
|
)
|
|
$
|
1,475
|
|
|
$
|
—
|
|
|
$
|
2,075
|
|
|
$
|
1,546
|
|
(1)
|
Covered Bonds have been included within Other asset-backed securities under Structured Credit to align our classification to market indices. Prior periods have been reclassified to conform to current period presentation.
|
(U.S. dollars in thousands)
|
Total Assets
and Liabilities
Carried at
Fair Value at
March 31,
2013
|
|
Fair Value
of Level 3
Assets and
Liabilities
|
|
Level 3 Assets
and Liabilities
as a Percentage
of Total Assets
and Liabilities
Carried at Fair
Value, by Class
|
|||||
Assets
|
|
|
|
|
|
|
|
|
||
Fixed maturities, at fair value
|
|
|
|
|
|
|
|
|
||
U.S. Government and Government Agency-Related/Supported
|
$
|
1,978,000
|
|
|
$
|
—
|
|
|
—
|
%
|
Corporate
|
10,305,324
|
|
|
40,815
|
|
|
0.4
|
%
|
||
RMBS – Agency
|
4,840,708
|
|
|
19,107
|
|
|
0.4
|
%
|
||
RMBS – Non-Agency
|
593,391
|
|
|
103
|
|
|
—
|
%
|
||
CMBS
|
1,153,341
|
|
|
25,012
|
|
|
2.2
|
%
|
||
CDO
|
711,067
|
|
|
702,904
|
|
|
98.9
|
%
|
||
Other asset-backed securities (1)
|
1,280,679
|
|
|
35,887
|
|
|
2.8
|
%
|
||
U.S. States and political subdivisions of the States
|
1,889,269
|
|
|
—
|
|
|
—
|
%
|
||
Non-U.S. Sovereign Government, Supranational and Government-Related
|
4,597,406
|
|
|
—
|
|
|
—
|
%
|
||
Total Fixed maturities, at fair value
|
$
|
27,349,185
|
|
|
$
|
823,828
|
|
|
3.0
|
%
|
Equity securities, at fair value
|
850,970
|
|
|
—
|
|
|
—
|
%
|
||
Short-term investments, at fair value
|
258,269
|
|
|
2,017
|
|
|
0.8
|
%
|
||
Total investments available for sale
|
$
|
28,458,424
|
|
|
$
|
825,845
|
|
|
2.9
|
%
|
Cash equivalents (2)
|
1,690,626
|
|
|
—
|
|
|
—
|
%
|
||
Other investments (3)
|
830,536
|
|
|
113,322
|
|
|
13.6
|
%
|
||
Other assets (4)
|
108,065
|
|
|
—
|
|
|
—
|
%
|
||
Total assets carried at fair value
|
$
|
31,087,651
|
|
|
$
|
939,167
|
|
|
3.0
|
%
|
Liabilities
|
|
|
|
|
|
|
|
|
||
Financial instruments sold, but not yet purchased (5)
|
$
|
30,270
|
|
|
$
|
—
|
|
|
—
|
%
|
Other liabilities (6)
|
60,714
|
|
|
32,550
|
|
|
53.6
|
%
|
||
Total liabilities carried at fair value
|
$
|
90,984
|
|
|
$
|
32,550
|
|
|
35.8
|
%
|
(1)
|
Covered Bonds with a fair value of
$521.0 million
are included within Other asset-backed securities.
|
(2)
|
Cash equivalents balances subject to fair value measurements include certificates of deposit and money market funds.
|
(3)
|
The Other investments balance excludes certain structured transactions including certain investments in project finance transactions and a payment obligation (for further information, see Item 8, Note 7, “Other Investments,” to the Consolidated Financial Statements included in our Annual Report on Form 10-K for the year ended
December 31, 2012
) that has provided liquidity financing to a structured credit vehicle as a part of a third party medium term note facility. These Other investments are carried at amortized cost which totaled
$311.7 million
at
March 31, 2013
.
|
(4)
|
Other assets include derivative instruments, reported on a gross basis.
|
(5)
|
Financial instruments sold, but not yet purchased are included within “Payable for investments purchased” on the balance sheet.
|
(6)
|
Other liabilities include derivative instruments, reported on a gross basis.
|
(U.S. dollars in thousands)
|
Gross unpaid
losses and
loss
expenses
|
|
Unpaid
losses and
loss
expenses
recoverable
|
|
Net
unpaid losses
and loss
expenses
|
||||||
Balance at December 31, 2012
|
$
|
20,484,121
|
|
|
$
|
(3,361,702
|
)
|
|
$
|
17,122,419
|
|
Losses and loss expenses incurred
|
989,007
|
|
|
(145,923
|
)
|
|
843,084
|
|
|||
Losses and loss expenses (paid) / recovered
|
(1,122,372
|
)
|
|
167,702
|
|
|
(954,670
|
)
|
|||
Foreign exchange and other
|
(173,175
|
)
|
|
17,436
|
|
|
(155,739
|
)
|
|||
Balance at March 31, 2013
|
$
|
20,177,581
|
|
|
$
|
(3,322,487
|
)
|
|
$
|
16,855,094
|
|
|
March 31, 2013
|
|
December 31, 2012
|
||||
Reinsurance balances receivable
|
$
|
131,905
|
|
|
$
|
113,023
|
|
Reinsurance recoverable on future policy benefits
|
19,368
|
|
|
20,399
|
|
||
Reinsurance recoverable on unpaid losses and loss expenses
|
3,375,369
|
|
|
3,415,038
|
|
||
Bad debt reserve on unpaid losses and loss expenses recoverable and reinsurance balances receivable
|
(85,450
|
)
|
|
(107,931
|
)
|
||
Net paid and unpaid losses and loss expenses recoverable and reinsurance balances receivable
|
$
|
3,441,192
|
|
|
$
|
3,440,529
|
|
(U.S. dollars in thousands)
|
March 31, 2013
|
|
March 31, 2012
|
||||
Operating activities
|
$
|
145,644
|
|
|
$
|
153,370
|
|
Investing activities
|
$
|
(2,493
|
)
|
|
$
|
(762,110
|
)
|
Financing activities
|
$
|
(263,938
|
)
|
|
$
|
(735,188
|
)
|
Effects of exchange rate changes on foreign currency cash
|
$
|
(24,304
|
)
|
|
$
|
25,121
|
|
a.
|
debt;
|
b.
|
preference shares;
|
c.
|
letter of credit facilities and other sources of collateral; and
|
d.
|
revolving credit facilities.
|
▪
|
sufficient capital to maintain its financial strength and credit ratings, as issued by several ratings agencies, at levels considered necessary by management to enable our key operating subsidiaries to compete;
|
▪
|
sufficient capital to enable its regulated subsidiaries to meet the regulatory capital levels required in the United States, the U.K., Bermuda, Ireland, Switzerland and other key markets;
|
▪
|
letters of credit and other forms of collateral that are required to be posted or deposited, as the case may be, by our operating subsidiaries that are “non-admitted” under U.S. state insurance regulations in order for the U.S. cedant to receive statutory credit for reinsurance. We also use letters of credit to support our operations at Lloyd's; and
|
▪
|
revolving credit to meet short-term liquidity needs.
|
▪
|
the credit available from banks may be reduced resulting in our need to pledge our investment portfolio to customers. This could result in a lower investment yield;
|
▪
|
we may be downgraded by one or more rating agencies, which could materially and negatively impact our business, financial condition, results of operations and/or liquidity; and
|
▪
|
the volume of business that our subsidiaries that are not admitted in the United States are able to transact could be reduced if we are unable to renew our letter of credit facilities at an appropriate amount.
|
(U.S. dollars in thousands)
|
March 31, 2013
|
|
December 31, 2012
|
||||
Series D preference ordinary shares
|
$
|
345,000
|
|
|
$
|
345,000
|
|
Series E preference ordinary shares
|
999,500
|
|
|
999,500
|
|
||
Ordinary share capital
|
10,487,346
|
|
|
10,510,072
|
|
||
Total ordinary and non-controlling interests capital
|
$
|
11,831,846
|
|
|
$
|
11,854,572
|
|
Notes payable and debt
|
1,666,508
|
|
|
1,666,103
|
|
||
Total capital
|
$
|
13,498,354
|
|
|
$
|
13,520,675
|
|
(U.S. dollars in thousands)
|
March 31, 2013
|
|
December 31, 2012
|
||||
Ordinary shareholders’ equity – beginning of period
|
$
|
10,510,072
|
|
|
$
|
9,411,658
|
|
Net income (loss) attributable to XL Group plc
|
350,790
|
|
|
651,134
|
|
||
Share buybacks
|
(224,419
|
)
|
|
(402,930
|
)
|
||
Share issues
|
4,331
|
|
|
6,946
|
|
||
Ordinary share dividends
|
(41,553
|
)
|
|
(135,572
|
)
|
||
Change in accumulated other comprehensive income
|
(114,901
|
)
|
|
936,947
|
|
||
Share-based compensation and other
|
3,026
|
|
|
41,889
|
|
||
Ordinary shareholders’ equity – end of period
|
$
|
10,487,346
|
|
|
$
|
10,510,072
|
|
|
|
|
|
|
|
|
Payments Due by Period
|
||||||||||||||||||
(U.S. dollars in thousands)
|
Commitment/
Debt
|
|
In Use/
Outstanding
|
|
Year of
Expiry
|
|
Less than
1 Year
|
|
1 to 3
Years
|
|
3 to 5
Years
|
|
After 5
Years
|
||||||||||||
4-year revolver
|
$
|
1,000,000
|
|
|
$
|
—
|
|
|
2015
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
5.25% Senior Notes
|
600,000
|
|
|
598,654
|
|
|
2014
|
|
—
|
|
|
600,000
|
|
|
—
|
|
|
—
|
|
||||||
5.75% Senior Notes
|
400,000
|
|
|
396,338
|
|
|
2021
|
|
—
|
|
|
—
|
|
|
—
|
|
|
400,000
|
|
||||||
6.375% Senior Notes
|
350,000
|
|
|
348,729
|
|
|
2024
|
|
—
|
|
|
—
|
|
|
—
|
|
|
350,000
|
|
||||||
6.25% Senior Notes
|
325,000
|
|
|
322,787
|
|
|
2027
|
|
—
|
|
|
—
|
|
|
—
|
|
|
325,000
|
|
||||||
|
$
|
2,675,000
|
|
|
$
|
1,666,508
|
|
|
|
|
$
|
—
|
|
|
$
|
600,000
|
|
|
$
|
—
|
|
|
$
|
1,075,000
|
|
Adjustment to carrying value - impact of fair value hedges
|
|
|
|
$
|
5,698
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Total
|
|
|
|
$
|
1,672,206
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
▪
|
a revolving credit facility of
$1.0 billion
.
|
▪
|
senior unsecured notes of approximately
$1.7 billion
. These notes require XL-Cayman to pay a fixed rate of interest during their terms. At December 31, 2012, there were four outstanding issues of senior unsecured notes:
|
▪
|
$600 million senior notes due September 2014, with a fixed coupon of 5.25%. The security is publicly traded. The notes were issued in two tranches of $300 million aggregate principal amount each - one tranche at 99.432% and the other at 98.419% with aggregate net proceeds of $590.9 million. Related expenses of the offering amounted to $2.7 million.
|
▪
|
$400 million senior notes due October 2021, with a fixed coupon of 5.75%. The security is publicly traded. The notes were issued at 100.0% and net proceeds were $395.7 million. Related expenses of the offering amounted to $4.3 million.
|
▪
|
$350 million senior notes due November 2024, with a fixed coupon of 6.375%. The security is publicly traded. The notes were issued at 100.0% and net proceeds were $347.8 million. Related expenses of the offering amounted to $2.2 million.
|
▪
|
$325 million of senior notes due May 2027, with a fixed coupon of 6.25%. The security is publicly traded. The notes were issued at 99.805% and net proceeds were $321.9 million. Related expenses of the offering amounted to $2.5 million.
|
|
|
|
|
|
|
|
Amount of Commitment Expiration by Period
|
||||||||||||||||||
(U.S. dollars in thousands)
|
Commitment/
Debt
|
|
In Use/
Outstanding
|
|
Year of
Expiry
|
|
Less than
1 Year
|
|
1 to 3
Years
|
|
3 to 5
Years
|
|
After 5
Years
|
||||||||||||
LOC Facility (1)
|
$
|
1,000,000
|
|
|
$
|
857,057
|
|
|
2014
|
|
$
|
—
|
|
|
$
|
857,057
|
|
|
$
|
—
|
|
|
$
|
—
|
|
LOC Facility (2) (3)
|
1,350,000
|
|
|
116,664
|
|
|
2015
|
|
—
|
|
|
—
|
|
|
116,664
|
|
|
—
|
|
||||||
LOC Facility (3)
|
650,000
|
|
|
376,499
|
|
|
2015
|
|
—
|
|
|
—
|
|
|
376,499
|
|
|
—
|
|
||||||
LOC Facility
|
750,000
|
|
|
298,167
|
|
|
Continuous
|
|
—
|
|
|
—
|
|
|
—
|
|
|
298,167
|
|
||||||
LOC Facility
|
250,000
|
|
|
120,618
|
|
|
Continuous
|
|
—
|
|
|
—
|
|
|
—
|
|
|
120,618
|
|
||||||
Five LOC facilities
|
$
|
4,000,000
|
|
|
$
|
1,769,005
|
|
|
|
|
$
|
—
|
|
|
$
|
857,057
|
|
|
$
|
493,163
|
|
|
$
|
418,785
|
|
(1)
|
We have the option to increase the size of the March 2011 Credit Agreement by an additional $500 million.
|
(2)
|
This letter of credit facility includes $1.0 billion that is also included in the “4-year revolver” listed under Debt.
|
(3)
|
We have the option to increase the size of the facilities under the December 2011 Credit Agreements by an additional $500 million across both such facilities.
|
ITEM 3.
|
|
QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK
|
(1)
|
The credit ratings above were principally determined based on the weighted average rating of the individual securities from Standard & Poor's, Moody's Investors Service and Fitch Ratings (where available). The credit ratings for U.S. Agency debt and related mortgage-backed securities, whether with implicit or explicit government support, reflects the credit quality rating of the U.S. government for the purpose of these calculations.
|
|
|
March 31, 2013
|
||||||||
Issuer (by Global Ultimate Parent) (1)
(U.S. dollars in millions)
|
|
Weighted
Average
Credit Quality (2)
|
|
Amortized Cost
|
|
Unrealized Gain/
(Loss)
|
||||
JPMorgan Chase & Co.
|
AA
|
|
$
|
193.9
|
|
|
$
|
2.7
|
|
|
Citigroup Inc.
|
AA-
|
|
180.7
|
|
|
6.9
|
|
|||
The Goldman Sachs Group, Inc.
|
AA
|
|
154.0
|
|
|
12.0
|
|
|||
Rabobank Nederland NV
|
BBB+
|
|
150.9
|
|
|
6.3
|
|
|||
National Australia Bank Limited
|
A-
|
|
129.7
|
|
|
7.0
|
|
|||
Lloyd's Banking Group plc
|
BBB+
|
|
127.8
|
|
|
7.6
|
|
|||
HSBC Holdings plc
|
A+
|
|
121.1
|
|
|
(0.5
|
)
|
|||
Bank of America Corporation
|
A-
|
|
111.3
|
|
|
5.8
|
|
|||
Morgan Stanley
|
BBB+
|
|
110.0
|
|
|
3.4
|
|
|||
UBS AG
|
AA
|
|
103.0
|
|
|
3.5
|
|
|||
The Bank of Nova Scotia
|
A+
|
|
94.5
|
|
|
3.3
|
|
|||
Wells Fargo & Company
|
AA-
|
|
93.9
|
|
|
3.5
|
|
|||
Westpac Banking Corporation
|
A
|
|
88.9
|
|
|
6.0
|
|
|||
Credit Suisse Group AG
|
A+
|
|
83.0
|
|
|
2.4
|
|
|||
Commonwealth Bank of Australia
|
AA-
|
|
82.8
|
|
|
5.6
|
|
|||
Standard Chartered plc
|
AA+
|
|
74.6
|
|
|
4.1
|
|
|||
BNP Paribas
|
AA
|
|
68.9
|
|
|
2.3
|
|
|||
Royal Bank of Canada
|
A
|
|
65.1
|
|
|
1.8
|
|
|||
Nordea Bank AB
|
AA-
|
|
63.9
|
|
|
1.8
|
|
|||
ING Group N.V.
|
AA
|
|
62.3
|
|
|
2.6
|
|
|||
The Bank of New York Mellon Corporation
|
AA-
|
|
58.7
|
|
|
2.7
|
|
|||
Canadian Imperial Bank of Commerce
|
A+
|
|
57.3
|
|
|
2.0
|
|
|||
Government of Netherlands (ABN Amro)
|
A+
|
|
53.0
|
|
|
6.3
|
|
|||
Australia and New Zealand Banking Group Limited
|
A+
|
|
52.6
|
|
|
2.7
|
|
|||
Bank of Montreal
|
AAA+
|
|
52.5
|
|
|
1.7
|
|
(1)
|
Includes Covered Bonds.
|
(2)
|
The credit rating for each asset reflected above was principally determined based on the weighted average rating of the individual securities from Standard & Poor's, Moody's Investors Service and Fitch Ratings. U.S. Agency debt and related mortgage-backed securities, whether with implicit or explicit government support, reflects the credit quality rating of the U.S. government for the purpose of these calculations
|
|
March 31, 2013
|
||||||||||||||
Issuer (by Global Ultimate Parent)
(U.S. dollars in millions)
|
Tier One
Amortized Cost
|
|
Upper Tier Two
Amortized Cost
|
|
Total
Amortized Cost
|
|
Net Unrealized
(Loss)
|
||||||||
Barclays, Plc
|
$
|
4.6
|
|
|
$
|
27.0
|
|
|
$
|
31.6
|
|
|
$
|
(3.2
|
)
|
Zurich Financial Services AG
|
—
|
|
|
25.1
|
|
|
25.1
|
|
|
0.9
|
|
||||
Nationwide Building Society
|
20.3
|
|
|
—
|
|
|
20.3
|
|
|
(2.0
|
)
|
||||
JPMorgan Chase & Co
|
20.2
|
|
|
—
|
|
|
20.2
|
|
|
(3.8
|
)
|
||||
National Australia Bank Limited
|
19.6
|
|
|
—
|
|
|
19.6
|
|
|
—
|
|
||||
The British United Provident Association Limited
|
—
|
|
|
19.5
|
|
|
19.5
|
|
|
(0.7
|
)
|
||||
The Goldman Sachs Group, Inc
|
18.5
|
|
|
—
|
|
|
18.5
|
|
|
0.9
|
|
||||
Aviva PLC
|
4.9
|
|
|
13.5
|
|
|
18.4
|
|
|
(1.5
|
)
|
||||
Mitsubishi UFJ Financial Group, Inc
|
18.2
|
|
|
—
|
|
|
18.2
|
|
|
1.3
|
|
||||
Legal & General Group PLC
|
—
|
|
|
17.8
|
|
|
17.8
|
|
|
0.2
|
|
||||
Total
|
$
|
106.3
|
|
|
$
|
102.9
|
|
|
$
|
209.2
|
|
|
$
|
(7.9
|
)
|
Top 10 Corporate Financial Holdings (1)
|
|
Percentage of Aggregate
Fixed Income Portfolio
|
JPMorgan Chase & Co.
|
|
0.6%
|
Citigroup Inc.
|
|
0.6%
|
The Goldman Sachs Group, Inc
|
|
0.5%
|
Rabobank Nederland NV
|
|
0.5%
|
National Australia Bank Limited
|
|
0.4%
|
Lloyds Banking Group PLC
|
|
0.4%
|
HSBC Holdings PLC
|
|
0.4%
|
Bank of America Corporation
|
|
0.4%
|
Morgan Stanley
|
|
0.4%
|
UBS AG
|
|
0.3%
|
(1)
|
Corporate issuers include Covered Bonds.
|
Top 5 Sector Exposures
(U.S. dollars in millions)
|
|
Carrying Value
|
|
Percentage of
Aggregate
Fixed Income
Portfolio
|
|||
Financials (1)
|
|
$
|
3,440.5
|
|
|
10.7
|
%
|
Consumer, Non-Cyclical
|
|
2,325.7
|
|
|
7.2
|
%
|
|
Utilities
|
|
1,367.6
|
|
|
4.3
|
%
|
|
Industrial
|
|
1,048.3
|
|
|
3.3
|
%
|
|
Communications
|
|
1,034.7
|
|
|
3.2
|
%
|
|
Total
|
|
$
|
9,216.8
|
|
|
28.7
|
%
|
(1)
|
Government-guaranteed securities and Covered Bonds have been excluded from the above figures.
|
(U.S. dollars in millions)
|
Carrying Value
|
|
Percentage of
Structured Portfolio
|
|||
Agency RMBS
|
$
|
4,840.7
|
|
|
54.5
|
%
|
Other ABS (1)
|
1,380.8
|
|
|
15.6
|
%
|
|
CMBS
|
1,288.8
|
|
|
14.5
|
%
|
|
Non-Agency RMBS
|
656.0
|
|
|
7.4
|
%
|
|
Core CDO (non-ABS CDOs and CLOs)
|
711.1
|
|
|
8.0
|
%
|
|
Total
|
$
|
8,877.4
|
|
|
100.0
|
%
|
(1)
|
Includes Covered Bonds.
|
(U.S. dollars in millions)
|
Interest
Rate
Risk (1)
|
|
Equity
Risk
(2)
|
|
Absolute
Spread
Risk (3)
|
|
Relative
Spread
Risk (4)
|
|
VaR
(5), (6)
|
||||||||||
Total Investment Portfolio (7)
|
$
|
(1,465.2
|
)
|
|
$
|
(150.9
|
)
|
|
$
|
(1,362.9
|
)
|
|
$
|
(161.5
|
)
|
|
$
|
895.8
|
|
A. P&C Investment Portfolio
|
$
|
(899.3
|
)
|
|
$
|
(150.9
|
)
|
|
$
|
(877.7
|
)
|
|
$
|
(87.8
|
)
|
|
$
|
453.3
|
|
(I) P&C Fixed Income Portfolio
|
(899.3
|
)
|
|
—
|
|
|
(877.7
|
)
|
|
(87.8
|
)
|
|
478.6
|
|
|||||
(a) Cash & Short Term Investments
|
(10.9
|
)
|
|
—
|
|
|
(10.2
|
)
|
|
(0.3
|
)
|
|
4.0
|
|
|||||
(b) Total Government Related
|
(346.4
|
)
|
|
—
|
|
|
(233.5
|
)
|
|
(11.4
|
)
|
|
184.8
|
|
|||||
(c) Total Corporate Credit
|
(290.7
|
)
|
|
—
|
|
|
(318.0
|
)
|
|
(32.4
|
)
|
|
168.8
|
|
|||||
(d) Total Structured Credit
|
(251.3
|
)
|
|
—
|
|
|
(316.0
|
)
|
|
(43.6
|
)
|
|
155.9
|
|
|||||
(II) P&C Non-Fixed Income Portfolio
|
—
|
|
|
(150.9
|
)
|
|
—
|
|
|
—
|
|
|
147.7
|
|
|||||
(e) Equity Portfolio
|
—
|
|
|
(83.6
|
)
|
|
—
|
|
|
—
|
|
|
84.9
|
|
|||||
(f) Alternative Portfolio
|
—
|
|
|
(36.1
|
)
|
|
—
|
|
|
—
|
|
|
67.7
|
|
|||||
(g) Private Investments
|
—
|
|
|
(31.2
|
)
|
|
—
|
|
|
—
|
|
|
31.4
|
|
|||||
(h) Other
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1.7
|
|
|||||
B. Life Investment Portfolio
|
$
|
(558.8
|
)
|
|
$
|
—
|
|
|
$
|
(450.2
|
)
|
|
$
|
(69.9
|
)
|
|
$
|
504.1
|
|
(III) Life Fixed Income Portfolio
|
(558.8
|
)
|
|
—
|
|
|
(450.2
|
)
|
|
(69.9
|
)
|
|
504.1
|
|
|||||
(i) Cash & Short Term Investments
|
(0.1
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
0.1
|
|
|||||
(j) Total Government Related
|
(227.9
|
)
|
|
—
|
|
|
(85.8
|
)
|
|
(4.7
|
)
|
|
208.1
|
|
|||||
(k) Total Corporate Credit
|
(274.0
|
)
|
|
—
|
|
|
(299.0
|
)
|
|
(52.3
|
)
|
|
249.5
|
|
|||||
(l) Total Structured Credit
|
(56.8
|
)
|
|
—
|
|
|
(65.5
|
)
|
|
(12.9
|
)
|
|
56.0
|
|
|||||
(IV) Life Non-Fixed Income Portfolio
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
(1)
|
The estimated impact on the fair value of our fixed income portfolio of an immediate hypothetical +100 bps adverse parallel shift in global bond curves.
|
(2)
|
The estimated impact on the fair value of our investment portfolio of an immediate hypothetical -10% change in the value of equity exposures in our equity portfolio, certain equity-sensitive alternative investments and private equity investments. This includes our estimate of equity risk embedded in the alternatives and private investment portfolio with such estimates utilizing market exposures provided to us by certain individual fund investments, internal statistical analyses, and/or various assumptions regarding illiquidity and concentrations.
|
(3)
|
The estimated impact on the fair value of our fixed income portfolio of an immediate hypothetical +100 basis point increase in all global government related, corporate and structured security spreads to which our fixed income portfolio is exposed. This excludes exposure to credit spreads in our alternative investments, private investments and counterparty exposure.
|
(4)
|
The estimated impact on the fair value of our fixed income portfolio of an immediate hypothetical +10% increase in all global government related, corporate and structured security spreads to which our fixed income portfolio is exposed. This excludes exposure to credit spreads in our alternative investments, private investments and counterparty exposure.
|
(5)
|
The VaR results are based on a 95% confidence interval, with a one-year holding period, excluding foreign exchange rate risk. Our investment portfolio VaR at
March 31, 2013
is not necessarily indicative of future VaR levels as these are based on statistical estimates of possible price changes and, therefore, exclude other sources of investment return such as coupon and dividend income.
|
(6)
|
The VaR results are the standalone VaRs, based on the prescribed methodology, for each component of our Total Investment Portfolio. The standalone VaRs of the individual components are non-additive, with the difference between the summation of the individual component VaRs and their respective aggregations being due to diversification benefits across the individual components. In the case of the VaR results for our Total Investment Portfolio, the results also include the impact associated with our Business and Other Investments.
|
(7)
|
Our Total Investment Portfolio comprises our P&C Investment Portfolio and Life Operations Investment Portfolio as well as our Business and other investments that do not form part of our P&C Investment Portfolio or Life Operations Investment Portfolio. The individual results reported in the above table for our Total Investment Portfolio therefore represent the aggregate impact on our P&C Investment Portfolio, Life Operations Investment Portfolio and the majority of our other investments.
|
ITEM 4.
|
|
CONTROLS AND PROCEDURES
|
ITEM 1.
|
|
LEGAL PROCEEDINGS
|
ITEM 1A.
|
|
RISK FACTORS
|
ITEM 2.
|
|
UNREGISTERED SALES OF EQUITY SECURITIES AND USE OF PROCEEDS
|
|
Total Number
of Shares
Purchased
|
|
Average
Price Paid
per Share
|
|
Total Number
of Shares
Purchased as
Part of Publicly
Announced
Plans or
Programs
|
|
Approximate
Value of Shares
that May Yet Be
Purchased
Under the Plans or
Programs (1) (2)
|
||||
January 1, 2013 to January 31, 2013
|
3,794,580
|
|
|
$
|
25.94
|
|
|
3,791,401
|
|
|
$250 million
|
February 1, 2013 to February 28, 2013
|
—
|
|
|
—
|
|
|
—
|
|
|
$850 million
|
|
March 1, to March 31, 2013
|
4,246,887
|
|
|
29.63
|
|
|
4,217,416
|
|
|
$725 million
|
|
Total
|
8,041,467
|
|
|
$
|
27.89
|
|
|
8,008,817
|
|
|
$725 million
|
(1)
|
Shares purchased in connection with the vesting of restricted shares granted under our restricted stock plan do not represent shares purchased as part of publicly announced plans or programs. All such purchases were made in connection with satisfying tax withholding obligations of those employees. These shares were not purchased as part of our share buyback program noted below.
|
(2)
|
For information regarding our share buyback activity see Part I, Item 2, "Management's Discussion and Analysis of Financial Condition and Results of Operations - Other Key Focuses of Management - Buybacks of Ordinary Shares" included herein.
|
*
|
Filed herewith.
|
Date:
|
May 7, 2013
|
|
|
|
XL Group plc
|
|
|
(Registrant)
|
|
|
/s/ MICHAEL S. MCGAVICK
|
|
|
|
|
|
|
|
|
Name: Michael S. McGavick
|
|
|
Title: Chief Executive Officer and Director
|
|
|
XL Group plc
|
|
|
|
Date:
|
May 7, 2013
|
|
|
|
/s/ PETER R. PORRINO
|
|
|
|
|
|
|
|
|
Name: Peter R. Porrino
|
|
|
Title: Executive Vice President and Chief Financial Officer
|
|
|
XL Group plc
|
|
Three Months Ended
March 31,
|
||||||
(U.S. dollars in thousands, except ratios)
|
2013
|
|
2012
|
||||
Earnings:
|
|
|
|
||||
Pre-tax income (loss) from continuing operations
|
$
|
366,792
|
|
|
$
|
199,074
|
|
Fixed charges
|
77,042
|
|
|
78,453
|
|
||
Distributed income of equity investees
|
20,654
|
|
|
38,890
|
|
||
Subtotal
|
464,488
|
|
|
316,417
|
|
||
Less: Non-controlling interests
|
82
|
|
|
—
|
|
||
Preference share dividends
|
35,660
|
|
|
36,557
|
|
||
Total earnings (loss)
|
$
|
428,746
|
|
|
$
|
279,860
|
|
|
|
|
|
||||
Fixed charges:
|
|
|
|
||||
Interest costs
|
$
|
26,136
|
|
|
$
|
27,260
|
|
Accretion of deposit liabilities
|
12,564
|
|
|
12,038
|
|
||
Rental expense at 30% (1)
|
2,682
|
|
|
2,598
|
|
||
Total fixed charges
|
41,382
|
|
|
41,896
|
|
||
Preference share dividends
|
35,660
|
|
|
36,557
|
|
||
Total fixed charges and preference dividends
|
$
|
77,042
|
|
|
$
|
78,453
|
|
|
|
|
|
||||
Ratio of earnings to fixed charges
|
10.4
|
|
|
6.7
|
|
||
|
|
|
|
||||
Ratio of earnings to combined fixed charges and preference dividends
|
5.6
|
|
|
3.6
|
|
||
|
|
|
|
||||
Deficiency - fixed charges only
|
N/A
|
|
|
N/A
|
|
||
|
|
|
|
||||
Deficiency - fixed charges and preference dividends
|
N/A
|
|
|
N/A
|
|
(1)
|
30% represents a reasonable approximation of the interest factor.
|
1.
|
I have reviewed this Quarterly Report on Form 10-Q of XL Group plc;
|
2.
|
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
|
3.
|
Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;
|
4.
|
The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:
|
(a)
|
Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
|
(b)
|
Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
|
(c)
|
Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and
|
(d)
|
Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
|
5.
|
The registrant’s other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):
|
(a)
|
All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and
|
(b)
|
Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.
|
Dated:
|
May 7, 2013
|
|
|
|
|
|
|
/s/ MICHAEL S. MCGAVICK
|
|
|
|
|
|
|
|
|
Michael S. McGavick
|
|
|
Chief Executive Officer
|
1.
|
I have reviewed this Quarterly Report on Form 10-Q of XL Group plc;
|
2.
|
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
|
3.
|
Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;
|
4.
|
The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:
|
(a)
|
Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
|
(b)
|
Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
|
(c)
|
Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and
|
(d)
|
Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
|
5.
|
The registrant’s other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):
|
(a)
|
All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and
|
(b)
|
Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.
|
Dated:
|
May 7, 2013
|
|
|
|
|
|
|
/s/ PETER R. PORRINO
|
|
|
|
|
|
|
|
|
Peter R. Porrino
|
|
|
Executive Vice President and
|
|
|
Chief Financial Officer
|
|
Dated: May 7, 2013
|
|
|
|
/s/ MICHAEL S. MCGAVICK
|
|
|
|
|
|
MICHAEL S. McGAVICK
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CHIEF EXECUTIVE OFFICER
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XL GROUP PLC
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Dated: May 7, 2013
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/s/ PETER R. PORRINO
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PETER R. PORRINO
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EXECUTIVE VICE PRESIDENT,
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CHIEF FINANCIAL OFFICER
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XL GROUP PLC
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