x
|
QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d)
OF THE SECURITIES EXCHANGE ACT OF 1934
For the quarterly period ended March 31, 2015
|
¨
|
TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d)
OF THE SECURITIES EXCHANGE ACT OF 1934
For the transition period from to
|
Bermuda
|
|
98-1039994
|
(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
|
PART I
. FINANCIAL INFORMATION
|
|
Item 1.
Financial Statements
|
|
Item 2.
Management's Discussion and Analysis of Financial Condition and Results of Operations
|
|
Item 3.
Quantitative and Qualitative Disclosures About Market Risk
|
|
Item 4.
Controls and Procedures
|
|
PART II
. OTHER INFORMATION
|
|
Item
1. Legal Proceedings
|
|
Item
1A. Risk Factors
|
|
Item
2. Unregistered Sales of Equity Securities and Use of Proceeds
|
|
Item
3. Defaults Upon Senior Securities
|
|
Item
4. Mine Safety Disclosures
|
|
Item
5. Other Information
|
|
Item
6. Exhibits
|
|
March 31, 2015
|
|
December 31, 2014
|
||||
Assets
|
|
|
|
||||
Equity securities, trading, at fair value (cost - $1,119,462; 2014 - $1,078,859)
|
$
|
1,239,988
|
|
|
$
|
1,177,796
|
|
Debt securities, trading, at fair value (cost - $709,599; 2014 - $546,933)
|
736,243
|
|
|
569,648
|
|
||
Other investments, at fair value
|
61,466
|
|
|
83,394
|
|
||
Total investments in securities and commodities
|
2,037,697
|
|
|
1,830,838
|
|
||
Cash and cash equivalents
|
12,348
|
|
|
28,734
|
|
||
Restricted cash and cash equivalents
|
583,474
|
|
|
417,307
|
|
||
Due from brokers
|
228,793
|
|
|
58,241
|
|
||
Securities purchased under an agreement to sell
|
17,630
|
|
|
29,852
|
|
||
Derivative assets, at fair value
|
25,223
|
|
|
21,130
|
|
||
Interest and dividends receivable
|
5,902
|
|
|
2,602
|
|
||
Reinsurance balances receivable
|
250,154
|
|
|
303,649
|
|
||
Deferred acquisition costs, net
|
164,096
|
|
|
155,901
|
|
||
Loss and loss adjustment expenses recoverable
|
408
|
|
|
814
|
|
||
Other assets
|
6,857
|
|
|
3,512
|
|
||
Total assets
|
$
|
3,332,582
|
|
|
$
|
2,852,580
|
|
Liabilities and shareholders’ equity
|
|
|
|
||||
Liabilities
|
|
|
|
||||
Accounts payable and accrued expenses
|
$
|
8,792
|
|
|
$
|
10,085
|
|
Reinsurance balances payable
|
53,798
|
|
|
27,040
|
|
||
Deposit liabilities
|
146,719
|
|
|
145,430
|
|
||
Unearned premium reserves
|
508,014
|
|
|
433,809
|
|
||
Loss and loss adjustment expense reserves
|
273,937
|
|
|
277,362
|
|
||
Securities sold, not yet purchased, at fair value
|
104,857
|
|
|
82,485
|
|
||
Securities sold under an agreement to repurchase
|
61,939
|
|
|
—
|
|
||
Due to brokers
|
465,558
|
|
|
312,609
|
|
||
Derivative liabilities, at fair value
|
17,020
|
|
|
11,015
|
|
||
Performance fee payable to related party
|
15,844
|
|
|
—
|
|
||
Interest and dividends payable
|
1,617
|
|
|
697
|
|
||
Senior notes payable, net of deferred costs
|
113,315
|
|
|
—
|
|
||
Total liabilities
|
1,771,410
|
|
|
1,300,532
|
|
||
Commitments and contingent liabilities
|
|
|
|
||||
Shareholders’ equity
|
|
|
|
||||
Preference shares (par value $0.10; authorized, 30,000,000; none issued)
|
—
|
|
|
—
|
|
||
Common shares (par value $0.10; authorized, 300,000,000; issued and outstanding, 105,170,735 (2014: 104,473,402))
|
10,517
|
|
|
10,447
|
|
||
Additional paid-in capital
|
1,069,617
|
|
|
1,065,489
|
|
||
Retained earnings
|
426,447
|
|
|
375,977
|
|
||
Shareholders’ equity attributable to shareholders
|
1,506,581
|
|
|
1,451,913
|
|
||
Non-controlling interests
|
54,591
|
|
|
100,135
|
|
||
Total shareholders’ equity
|
1,561,172
|
|
|
1,552,048
|
|
||
Total liabilities and shareholders’ equity
|
$
|
3,332,582
|
|
|
$
|
2,852,580
|
|
|
|
|
|
||||
The accompanying Notes to the Condensed Consolidated Financial Statements are
|
|||||||
an integral part of the Condensed Consolidated Financial Statements.
|
|
2015
|
|
2014
|
||||
Revenues
|
|
|
|
||||
Gross premiums written
|
$
|
213,334
|
|
|
$
|
87,587
|
|
Gross premiums ceded
|
(52
|
)
|
|
—
|
|
||
Net premiums written
|
213,282
|
|
|
87,587
|
|
||
Change in net unearned premium reserves
|
(74,207
|
)
|
|
(14,325
|
)
|
||
Net premiums earned
|
139,075
|
|
|
73,262
|
|
||
Net investment income
|
64,918
|
|
|
50,035
|
|
||
Total revenues
|
203,993
|
|
|
123,297
|
|
||
Expenses
|
|
|
|
||||
Loss and loss adjustment expenses incurred, net
|
81,746
|
|
|
46,259
|
|
||
Acquisition costs, net
|
54,657
|
|
|
25,431
|
|
||
General and administrative expenses
|
11,708
|
|
|
10,025
|
|
||
Other expenses
|
2,701
|
|
|
787
|
|
||
Interest expense
|
1,036
|
|
|
—
|
|
||
Foreign exchange gains
|
(193
|
)
|
|
—
|
|
||
Total expenses
|
151,655
|
|
|
82,502
|
|
||
Income before income tax expense
|
52,338
|
|
|
40,795
|
|
||
Income tax expense
|
(1,305
|
)
|
|
—
|
|
||
Income including non-controlling interests
|
51,033
|
|
|
40,795
|
|
||
Income attributable to non-controlling interests
|
(563
|
)
|
|
(1,016
|
)
|
||
Net income
|
$
|
50,470
|
|
|
$
|
39,779
|
|
Earnings per share
|
|
|
|
||||
Basic
|
$
|
0.48
|
|
|
$
|
0.38
|
|
Diluted
|
$
|
0.47
|
|
|
$
|
0.37
|
|
Weighted average number of common shares used in the determination of earnings per share
|
|
|
|
||||
Basic
|
103,753,065
|
|
|
103,264,616
|
|
||
Diluted
|
106,144,183
|
|
|
106,413,580
|
|
||
The accompanying Notes to the Condensed Consolidated Financial Statements are
|
|||||||
an integral part of the Condensed Consolidated Financial Statements.
|
|
2015
|
|
2014
|
||||
Common shares
|
|
|
|
||||
Balance, beginning of period
|
104,473,402
|
|
|
103,888,916
|
|
||
Issuance of common shares
|
697,333
|
|
|
35,981
|
|
||
Balance, end of period
|
105,170,735
|
|
|
103,924,897
|
|
||
Common shares
|
|
|
|
||||
Balance, beginning of period
|
$
|
10,447
|
|
|
$
|
10,389
|
|
Issuance of common shares
|
70
|
|
|
3
|
|
||
Balance, end of period
|
10,517
|
|
|
10,392
|
|
||
Additional paid-in capital
|
|
|
|
||||
Balance, beginning of period
|
1,065,489
|
|
|
1,055,690
|
|
||
Issuance of common shares, net
|
1,045
|
|
|
(3
|
)
|
||
Share compensation expense
|
3,083
|
|
|
2,252
|
|
||
Balance, end of period
|
1,069,617
|
|
|
1,057,939
|
|
||
Retained earnings
|
|
|
|
||||
Balance, beginning of period
|
375,977
|
|
|
325,582
|
|
||
Income including non-controlling interests
|
51,033
|
|
|
40,795
|
|
||
Income attributable to non-controlling interests
|
(563
|
)
|
|
(1,016
|
)
|
||
Balance, end of period
|
426,447
|
|
|
365,361
|
|
||
Shareholders’ equity attributable to shareholders
|
1,506,581
|
|
|
1,433,692
|
|
||
Non-controlling interests
|
|
|
|
||||
Balance, beginning of period
|
100,135
|
|
|
118,735
|
|
||
Non-controlling interest in investment affiliate, net
|
(24,999
|
)
|
|
(51,001
|
)
|
||
Non-controlling interest in Catastrophe Fund
|
(21,400
|
)
|
|
2,129
|
|
||
Non-controlling interest in Catastrophe Manager
|
292
|
|
|
—
|
|
||
Income attributable to non-controlling interests
|
563
|
|
|
1,016
|
|
||
Balance, end of period
|
54,591
|
|
|
70,879
|
|
||
Total shareholders’ equity
|
$
|
1,561,172
|
|
|
$
|
1,504,571
|
|
|
|
|
|
||||
The accompanying Notes to the Condensed Consolidated Financial Statements are
|
|||||||
an integral part of the Condensed Consolidated Financial Statements.
|
|
2015
|
|
2014
|
||||
Operating activities
|
|
|
|
||||
Income including non-controlling interests
|
$
|
51,033
|
|
|
$
|
40,795
|
|
Adjustments to reconcile income including non-controlling interests to net cash provided by operating activities
|
|
|
|
||||
Share compensation expense
|
3,083
|
|
|
2,252
|
|
||
Interest expense on deposit liabilities
|
631
|
|
|
448
|
|
||
Net unrealized (gain) loss on investments and derivatives
|
(36,340
|
)
|
|
16,334
|
|
||
Net realized gain on investments and derivatives
|
(53,283
|
)
|
|
(84,752
|
)
|
||
Foreign exchange gains included in income including non-controlling interests
|
(193
|
)
|
|
—
|
|
||
Amortization of premium and accretion of discount, net
|
1,673
|
|
|
364
|
|
||
Changes in assets and liabilities:
|
|
|
|
||||
Reinsurance balances receivable
|
53,170
|
|
|
(29,778
|
)
|
||
Deferred acquisition costs, net
|
(8,195
|
)
|
|
(2,090
|
)
|
||
Loss and loss adjustment expenses recoverable
|
406
|
|
|
(1,000
|
)
|
||
Other assets
|
(3,345
|
)
|
|
448
|
|
||
Interest and dividends receivable, net
|
(2,380
|
)
|
|
(2,547
|
)
|
||
Unearned premium reserves
|
74,205
|
|
|
14,325
|
|
||
Loss and loss adjustment expense reserves
|
(2,907
|
)
|
|
30,293
|
|
||
Accounts payable and accrued expenses
|
(2,024
|
)
|
|
(5,717
|
)
|
||
Reinsurance balances payable
|
26,638
|
|
|
16,566
|
|
||
Performance fee payable to related party
|
15,844
|
|
|
12,295
|
|
||
Net cash provided by operating activities
|
118,016
|
|
|
8,236
|
|
||
Investing activities
|
|
|
|
||||
Purchases of investments
|
(875,871
|
)
|
|
(797,308
|
)
|
||
Proceeds from sales of investments
|
747,492
|
|
|
574,482
|
|
||
Purchases of investments to cover short sales
|
(116,867
|
)
|
|
(67,779
|
)
|
||
Proceeds from short sales of investments
|
150,942
|
|
|
74,577
|
|
||
Change in due to/from brokers, net
|
(17,603
|
)
|
|
285,175
|
|
||
Decrease in securities purchased under an agreement to sell
|
12,222
|
|
|
1,369
|
|
||
Increase in securities sold under an agreement to repurchase
|
61,939
|
|
|
—
|
|
||
Change in restricted cash and cash equivalents
|
(166,167
|
)
|
|
(27,467
|
)
|
||
Net cash (used in) provided by investing activities
|
(203,913
|
)
|
|
43,049
|
|
||
Financing activities
|
|
|
|
||||
Proceeds from issuance of common shares, net of costs
|
1,115
|
|
|
—
|
|
||
Proceeds from issuance of senior notes payable, net of costs
|
114,025
|
|
|
—
|
|
||
Increase (decrease) in deposit liabilities
|
478
|
|
|
(100
|
)
|
||
Non-controlling interest in investment affiliate, net
|
(24,999
|
)
|
|
(51,001
|
)
|
||
Non-controlling interest in Catastrophe Fund
|
(21,400
|
)
|
|
2,129
|
|
||
Non-controlling interest in Catastrophe Manager
|
292
|
|
|
—
|
|
||
Net cash provided by (used in) financing activities
|
69,511
|
|
|
(48,972
|
)
|
||
Net (decrease) increase in cash and cash equivalents
|
(16,386
|
)
|
|
2,313
|
|
||
Cash and cash equivalents at beginning of period
|
28,734
|
|
|
31,625
|
|
||
Cash and cash equivalents at end of period
|
$
|
12,348
|
|
|
$
|
33,938
|
|
Supplementary information
|
|
|
|
||||
Interest paid in cash
|
$
|
979
|
|
|
$
|
928
|
|
Income taxes paid in cash
|
$
|
437
|
|
|
$
|
—
|
|
|
|
|
|
||||
The accompanying Notes to the Condensed Consolidated Financial Statements are
|
|||||||
an integral part of the Condensed Consolidated Financial Statements.
|
|
March 31,
2015 |
|
December 31,
2014 |
||||
|
($ in thousands)
|
||||||
Restricted cash securing collateralized reinsurance contracts written by the Catastrophe Reinsurer (1)
|
$
|
75,425
|
|
|
$
|
108,544
|
|
Restricted cash securing letter of credit facilities (2)
|
282,707
|
|
|
218,963
|
|
||
Restricted cash securing other reinsurance contracts (3)
|
225,342
|
|
|
89,800
|
|
||
|
$
|
583,474
|
|
|
$
|
417,307
|
|
(1)
|
Restricted cash securing collateralized reinsurance contracts written by the Catastrophe Reinsurer cannot be released until the contract’s exposure has expired and the cedant agrees to release the collateral. All remaining exposures being collateralized by these amounts are expected to expire by July 2015, upon which, the restricted cash will be released.
|
(2)
|
Restricted cash securing letter of credit facilities pertain to letters of credit issued to clients and cash securing these obligations which the Company will not be released from until the underlying reserves have been settled. The time period for which the Company expects these letters of credit to be in place varies from contract to contract but, can last several years.
|
(3)
|
Restricted cash securing other reinsurance contracts pertain to trust accounts securing the Company’s contractual obligation under certain reinsurance contracts which the Company will not be released from until all underlying risks have expired or have been settled. The time period for which the Company expects these trust accounts to be in place varies from contract to contract but, can last several years.
|
|
March 31,
2015 |
|
December 31,
2014 |
||||
Assets
|
($ in thousands)
|
||||||
Total investments in securities and commodities
|
$
|
2,032,653
|
|
|
$
|
1,828,761
|
|
Cash and cash equivalents
|
29
|
|
|
3
|
|
||
Restricted cash and cash equivalents (1)
|
508,049
|
|
|
308,763
|
|
||
Due from brokers
|
228,793
|
|
|
58,241
|
|
||
Securities purchased under an agreement to sell
|
17,630
|
|
|
29,852
|
|
||
Derivative assets
|
25,223
|
|
|
21,130
|
|
||
Interest and dividends receivable
|
5,898
|
|
|
2,590
|
|
||
Other assets
|
—
|
|
|
325
|
|
||
Total assets
|
2,818,275
|
|
|
2,249,665
|
|
||
Liabilities and non-controlling interest
|
|
|
|
||||
Accounts payable and accrued expenses
|
506
|
|
|
464
|
|
||
Securities sold, not yet purchased, at fair value
|
104,857
|
|
|
82,485
|
|
||
Securities sold under an agreement to repurchase
|
61,939
|
|
|
—
|
|
||
Due to brokers
|
465,558
|
|
|
312,609
|
|
||
Derivative liabilities
|
16,990
|
|
|
10,985
|
|
||
Performance fee payable to related party
|
15,844
|
|
|
—
|
|
||
Interest and dividends payable
|
602
|
|
|
697
|
|
||
Non-controlling interest
|
15,885
|
|
|
40,241
|
|
||
Total liabilities and non-controlling interest
|
682,181
|
|
|
447,481
|
|
||
Total net investments managed by Third Point LLC
|
$
|
2,136,094
|
|
|
$
|
1,802,184
|
|
(1)
|
Includes amounts advanced to Third Point Re to fund collateral held in trust accounts.
|
•
|
Level 1 – Quoted prices available in active markets/exchanges for identical investments as of the reporting date.
|
•
|
Level 2 – Observable inputs to the valuation methodology other than unadjusted quoted market prices for identical assets or liabilities in active markets. Level 2 inputs include, but are not limited to, prices quoted for similar assets or liabilities in active markets/exchanges, prices quoted for identical or similar assets or liabilities in markets that are not active and fair values determined through the use of models or other valuation methodologies.
|
•
|
Level 3 – Pricing inputs unobservable for the investment and include activities where there is little, if any, market activity for the investment. The inputs applied in the determination of fair value require significant management judgment and estimation.
|
•
|
The key inputs for most OTC option contracts include notional, strike price, maturity, payout structure, current foreign exchange forward and spot rates, current market price of underlying and volatility of underlying.
|
•
|
The key inputs for most forward contracts include notional, maturity, forward rate, spot rate, various interest rate curves and discount factor.
|
•
|
The key inputs for swap valuation will vary based on the type of underlying on which the contract was written. Generally, the key inputs for most swap contracts include notional, swap period, fixed rate, credit or interest rate curves, current market or spot price of the underlying and the volatility of the underlying.
|
|
March 31, 2015
|
||||||||||||||
|
Quoted prices in active markets
|
|
Significant other observable inputs
|
|
Significant unobservable inputs
|
|
Total
|
||||||||
|
(Level 1)
|
|
(Level 2)
|
|
(Level 3)
|
|
|||||||||
Assets
|
($ in thousands)
|
||||||||||||||
Equity securities
|
$
|
1,209,796
|
|
|
$
|
18,196
|
|
|
$
|
—
|
|
|
$
|
1,227,992
|
|
Private common equity securities
|
—
|
|
|
2,532
|
|
|
962
|
|
|
3,494
|
|
||||
Private preferred equity securities
|
—
|
|
|
—
|
|
|
8,502
|
|
|
8,502
|
|
||||
Total equities
|
1,209,796
|
|
|
20,728
|
|
|
9,464
|
|
|
1,239,988
|
|
||||
Asset-backed securities
|
—
|
|
|
480,066
|
|
|
3,586
|
|
|
483,652
|
|
||||
Bank debts
|
—
|
|
|
—
|
|
|
7,681
|
|
|
7,681
|
|
||||
Corporate bonds
|
—
|
|
|
109,131
|
|
|
3,118
|
|
|
112,249
|
|
||||
Sovereign debt
|
—
|
|
|
132,643
|
|
|
18
|
|
|
132,661
|
|
||||
Total debt securities
|
—
|
|
|
721,840
|
|
|
14,403
|
|
|
736,243
|
|
||||
Investments in limited partnerships
|
—
|
|
|
15,135
|
|
|
6,138
|
|
|
21,273
|
|
||||
Options
|
18,709
|
|
|
4,219
|
|
|
—
|
|
|
22,928
|
|
||||
Rights and warrants
|
1,810
|
|
|
—
|
|
|
—
|
|
|
1,810
|
|
||||
Trade claims
|
—
|
|
|
10,411
|
|
|
—
|
|
|
10,411
|
|
||||
Investment in Kiskadee Fund
|
—
|
|
|
—
|
|
|
5,044
|
|
|
5,044
|
|
||||
Total other investments
|
20,519
|
|
|
29,765
|
|
|
11,182
|
|
|
61,466
|
|
||||
Derivative assets (free standing)
|
281
|
|
|
24,942
|
|
|
—
|
|
|
25,223
|
|
||||
Total assets
|
$
|
1,230,596
|
|
|
$
|
797,275
|
|
|
$
|
35,049
|
|
|
$
|
2,062,920
|
|
Liabilities
|
|
|
|
|
|
|
|
||||||||
Equity securities
|
$
|
44,549
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
44,549
|
|
Sovereign debt
|
—
|
|
|
17,222
|
|
|
—
|
|
|
17,222
|
|
||||
Corporate bonds
|
—
|
|
|
14,712
|
|
|
—
|
|
|
14,712
|
|
||||
Options
|
15,596
|
|
|
12,778
|
|
|
—
|
|
|
28,374
|
|
||||
Total securities sold, not yet purchased
|
60,145
|
|
|
44,712
|
|
|
—
|
|
|
104,857
|
|
||||
Derivative liabilities (free standing)
|
348
|
|
|
15,536
|
|
|
1,136
|
|
|
17,020
|
|
||||
Derivative liabilities (embedded)
|
—
|
|
|
—
|
|
|
9,618
|
|
|
9,618
|
|
||||
Total liabilities
|
$
|
60,493
|
|
|
$
|
60,248
|
|
|
$
|
10,754
|
|
|
$
|
131,495
|
|
|
December 31, 2014
|
||||||||||||||
|
Quoted prices in active markets
|
|
Significant other observable inputs
|
|
Significant unobservable inputs
|
|
Total
|
||||||||
|
(Level 1)
|
|
(Level 2)
|
|
(Level 3)
|
|
|||||||||
Assets
|
($ in thousands)
|
||||||||||||||
Equity securities
|
$
|
1,158,428
|
|
|
$
|
15,207
|
|
|
$
|
—
|
|
|
$
|
1,173,635
|
|
Private common equity securities
|
—
|
|
|
2,718
|
|
|
1,443
|
|
|
4,161
|
|
||||
Total equities
|
1,158,428
|
|
|
17,925
|
|
|
1,443
|
|
|
1,177,796
|
|
||||
Asset-backed securities
|
—
|
|
|
395,514
|
|
|
4,720
|
|
|
400,234
|
|
||||
Bank debts
|
—
|
|
|
2,395
|
|
|
—
|
|
|
2,395
|
|
||||
Corporate bonds
|
—
|
|
|
56,795
|
|
|
3,799
|
|
|
60,594
|
|
||||
Municipal bonds
|
—
|
|
|
3,094
|
|
|
—
|
|
|
3,094
|
|
||||
Sovereign debt
|
—
|
|
|
103,331
|
|
|
—
|
|
|
103,331
|
|
||||
Total debt securities
|
—
|
|
|
561,129
|
|
|
8,519
|
|
|
569,648
|
|
||||
Investments in limited partnerships
|
—
|
|
|
55,756
|
|
|
6,354
|
|
|
62,110
|
|
||||
Options
|
3,205
|
|
|
3,791
|
|
|
—
|
|
|
6,996
|
|
||||
Rights and warrants
|
1,843
|
|
|
—
|
|
|
—
|
|
|
1,843
|
|
||||
Trade claims
|
—
|
|
|
10,368
|
|
|
—
|
|
|
10,368
|
|
||||
Catastrophe bond
|
—
|
|
|
2,077
|
|
|
—
|
|
|
2,077
|
|
||||
Total other investments
|
5,048
|
|
|
71,992
|
|
|
6,354
|
|
|
83,394
|
|
||||
Derivative assets (free standing)
|
380
|
|
|
20,750
|
|
|
—
|
|
|
21,130
|
|
||||
Total assets
|
$
|
1,163,856
|
|
|
$
|
671,796
|
|
|
$
|
16,316
|
|
|
$
|
1,851,968
|
|
Liabilities
|
|
|
|
|
|
|
|
||||||||
Equity securities
|
$
|
33,222
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
33,222
|
|
Sovereign debt
|
—
|
|
|
29,350
|
|
|
—
|
|
|
29,350
|
|
||||
Corporate bonds
|
—
|
|
|
13,312
|
|
|
—
|
|
|
13,312
|
|
||||
Options
|
3,755
|
|
|
2,846
|
|
|
—
|
|
|
6,601
|
|
||||
Total securities sold, not yet purchased
|
36,977
|
|
|
45,508
|
|
|
—
|
|
|
82,485
|
|
||||
Derivative liabilities (free standing)
|
505
|
|
|
9,548
|
|
|
962
|
|
|
11,015
|
|
||||
Derivative liabilities (embedded)
|
—
|
|
|
—
|
|
|
9,289
|
|
|
9,289
|
|
||||
Total liabilities
|
$
|
37,482
|
|
|
$
|
55,056
|
|
|
$
|
10,251
|
|
|
$
|
102,789
|
|
|
January 1,
2015 |
|
Transfers in to (out of) Level 3
|
|
Purchases
|
|
Sales
|
|
Realized and Unrealized Gains(Losses) (1)
|
|
March 31,
2015 |
||||||||||||
|
($ in thousands)
|
||||||||||||||||||||||
Assets
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Private common equity securities
|
$
|
1,443
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(481
|
)
|
|
$
|
962
|
|
Private preferred equity securities
|
—
|
|
|
—
|
|
|
8,502
|
|
|
—
|
|
|
—
|
|
|
8,502
|
|
||||||
Asset-backed securities
|
4,720
|
|
|
(3,451
|
)
|
|
2,562
|
|
|
(560
|
)
|
|
315
|
|
|
3,586
|
|
||||||
Bank debt
|
—
|
|
|
—
|
|
|
7,634
|
|
|
—
|
|
|
47
|
|
|
7,681
|
|
||||||
Corporate bonds
|
3,799
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(681
|
)
|
|
3,118
|
|
||||||
Sovereign debt
|
—
|
|
|
18
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
18
|
|
||||||
Investments in limited partnerships
|
6,354
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(216
|
)
|
|
6,138
|
|
||||||
Investment in Kiskadee Fund
|
—
|
|
|
—
|
|
|
5,000
|
|
|
—
|
|
|
44
|
|
|
5,044
|
|
||||||
Total assets
|
$
|
16,316
|
|
|
$
|
(3,433
|
)
|
|
$
|
23,698
|
|
|
$
|
(560
|
)
|
|
$
|
(972
|
)
|
|
$
|
35,049
|
|
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Derivative liabilities (free standing)
|
$
|
(962
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(174
|
)
|
|
$
|
—
|
|
|
$
|
(1,136
|
)
|
Derivative liabilities (embedded)
|
(9,289
|
)
|
|
—
|
|
|
—
|
|
|
(29
|
)
|
|
(300
|
)
|
|
(9,618
|
)
|
||||||
Total liabilities
|
$
|
(10,251
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(203
|
)
|
|
$
|
(300
|
)
|
|
$
|
(10,754
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
January 1,
2014 |
|
Transfers in to (out of) Level 3
|
|
Purchases
|
|
Sales
|
|
Realized and Unrealized Gains(Losses) (1)
|
|
March 31,
2014 |
||||||||||||
|
($ in thousands)
|
||||||||||||||||||||||
Assets
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Private common equity securities
|
$
|
2,012
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
2,012
|
|
Asset-backed securities
|
400
|
|
|
1,921
|
|
|
1,364
|
|
|
(1,903
|
)
|
|
1,770
|
|
|
3,552
|
|
||||||
Corporate bonds
|
4,610
|
|
|
—
|
|
|
87
|
|
|
—
|
|
|
84
|
|
|
4,781
|
|
||||||
Investments in limited partnerships
|
5,292
|
|
|
—
|
|
|
54
|
|
|
—
|
|
|
(238
|
)
|
|
5,108
|
|
||||||
Total assets
|
$
|
12,314
|
|
|
$
|
1,921
|
|
|
$
|
1,505
|
|
|
$
|
(1,903
|
)
|
|
$
|
1,616
|
|
|
$
|
15,453
|
|
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Derivative liabilities (embedded)
|
$
|
(4,430
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(783
|
)
|
|
$
|
(143
|
)
|
|
$
|
(5,356
|
)
|
Total liabilities
|
$
|
(4,430
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(783
|
)
|
|
$
|
(143
|
)
|
|
$
|
(5,356
|
)
|
(1)
|
Total change in realized and unrealized gain (loss) recorded on Level 3 financial instruments are included in net investment income in the condensed consolidated statements of income (loss).
|
March 31, 2015
|
||||||||||
Asset
|
|
Fair value ($ in thousands)
|
|
Valuation technique
|
|
Unobservable input
|
|
Range
|
||
Corporate bond
|
|
$
|
1,804
|
|
|
Discounted cash flow
|
|
Yield
|
|
18.75 - 20.76%
|
|
|
|
|
|
|
Duration
|
|
3 years
|
||
|
|
|
|
|
|
Credit spreads
|
|
1,786-1,986
|
||
|
|
|
|
|
|
Volatility
|
|
25 - 40%
|
||
|
|
|
|
|
|
|
|
|
||
|
|
|
|
|
|
|
|
|
||
Derivative liabilities (embedded)
|
|
$
|
9,618
|
|
|
Discounted cash flow
|
|
Contractual Variable Annual Investment Credit
|
|
0.0 - 3.5%
|
|
|
|
|
|
|
Mean Monthly Investment Return
|
|
1.20%
|
||
|
|
|
|
|
|
Duration Until Contract Settlement
|
|
1.50 - 4.75 years
|
||
|
|
|
|
|
|
Interest Rates
|
|
U.S. Treasury Spot Rates
|
||
|
|
|
|
|
|
|
|
|
||
|
|
|
|
|
|
|
|
|
||
December 31, 2014
|
||||||||||
Asset
|
|
Fair value ($ in thousands)
|
|
Valuation technique
|
|
Unobservable input
|
|
Range
|
||
Corporate bond
|
|
$
|
2,346
|
|
|
Discounted cash flow
|
|
Yield
|
|
14.93-16.94%
|
|
|
|
|
|
|
Duration
|
|
3 years
|
||
|
|
|
|
|
|
Credit spreads
|
|
1,376-1,576
|
||
|
|
|
|
|
|
Volatility
|
|
20-30%
|
||
|
|
|
|
|
|
|
|
|
||
|
|
|
|
|
|
|
|
|
||
Derivative liabilities (embedded)
|
|
$
|
9,289
|
|
|
Discounted cash flow
|
|
Contractual Variable Annual Investment Credit
|
|
0.0 - 3.5%
|
|
|
|
|
|
|
Mean Monthly Investment Return
|
|
1.20%
|
||
|
|
|
|
|
|
Duration Until Contract Settlement
|
|
1.50 - 4.75 years
|
||
|
|
|
|
|
|
Interest Rates
|
|
U.S. Treasury Spot Rates
|
|
As of March 31, 2015
|
||||||||
|
Listing currency (1)
|
|
Fair Value
|
|
Notional Amounts (2)
|
||||
Derivative Assets by Primary Underlying Risk
|
($ in thousands)
|
||||||||
Credit
|
|
|
|
|
|
||||
Credit Default Swaps - Protection Purchased
|
USD
|
|
$
|
10,958
|
|
|
$
|
103,308
|
|
Credit Default Swaps - Protection Sold
|
USD
|
|
256
|
|
|
2,491
|
|
||
Equity Price
|
|
|
|
|
|
||||
Contracts for Differences - Long Contracts
|
EUR/USD
|
|
1,574
|
|
|
63,877
|
|
||
Contracts for Differences - Short Contracts
|
AUD/CHF/GBP/JPY/USD
|
|
464
|
|
|
49,168
|
|
||
Total Return Swaps - Long Contracts
|
BRL/JPY/USD
|
|
3,649
|
|
|
115,517
|
|
||
Total Return Swaps - Short Contracts
|
JPY/USD
|
|
469
|
|
|
6,109
|
|
||
Index
|
|
|
|
|
|
||||
Index Futures - Long Contracts
|
JPY
|
|
243
|
|
|
30,910
|
|
||
Interest Rates
|
|
|
|
|
|
||||
Interest Rate Swaptions
|
USD
|
|
739
|
|
|
56,882
|
|
||
Foreign Currency Exchange Rates
|
|
|
|
|
|
||||
Foreign Currency Forwards
|
SAR
|
|
—
|
|
|
1,418
|
|
||
Foreign Currency Options - Purchased
|
CNH/EUR/JPY/SAR
|
|
6,871
|
|
|
286,422
|
|
||
Total Derivative Assets
|
|
|
$
|
25,223
|
|
|
$
|
716,102
|
|
|
|
|
|
|
|
||||
|
Listing currency (1)
|
|
Fair Value
|
|
Notional Amounts (2)
|
||||
Derivative Liabilities by Primary Underlying Risk
|
($ in thousands)
|
||||||||
Credit
|
|
|
|
|
|
||||
Credit Default Swaps - Protection Purchased
|
USD
|
|
$
|
3,660
|
|
|
$
|
55,849
|
|
Credit Default Swaps - Protection Sold
|
USD
|
|
1,876
|
|
|
8,159
|
|
||
Equity Price
|
|
|
|
|
|
||||
Contracts for Differences - Long Contracts
|
GBP/USD
|
|
1,272
|
|
|
16,836
|
|
||
Contracts for Differences - Short Contracts
|
AUD/CHF/EUR/GBP/SEK/USD
|
|
1,579
|
|
|
48,790
|
|
||
Total Return Swaps - Long Contracts
|
BRL/JPY/USD
|
|
1,700
|
|
|
71,253
|
|
||
Interest Rates
|
|
|
|
|
|
||||
Interest Rate Swaptions
|
USD
|
|
378
|
|
|
84,591
|
|
||
Treasury Futures - Short Contracts
|
USD
|
|
74
|
|
|
9,177
|
|
||
Foreign Currency Exchange Rates
|
|
|
|
|
|
||||
Foreign Currency Forwards
|
CAD/EUR/GBP/JPY/SAR
|
|
3,337
|
|
|
211,393
|
|
||
Foreign Currency Options - Sold
|
CNH/JPY
|
|
3,114
|
|
|
126,778
|
|
||
Catastrophe Risk derivatives
|
|
|
30
|
|
|
6,000
|
|
||
Total Derivative Liabilities (free standing)
|
|
|
$
|
17,020
|
|
|
$
|
638,826
|
|
|
|
|
|
|
|
||||
Embedded derivative liabilities in reinsurance contracts (3)
|
USD
|
|
2,918
|
|
|
20,000
|
|
||
Embedded derivative liabilities in deposit contracts (4)
|
USD
|
|
6,700
|
|
|
75,000
|
|
||
Total Derivative Liabilities (embedded)
|
|
|
$
|
9,618
|
|
|
$
|
95,000
|
|
(1)
|
AUD = Australian Dollar, BRL = Brazilian Real; CAD = Canadian Dollar, CHF = Swiss Franc, CNH = Chinese Yuan, EUR = Euro, GBP = British Pound, JPY = Japanese Yen, SAR = Saudi Arabian Riyal, SEK = Swedish Krone, USD = US Dollar
|
(2)
|
The absolute notional exposure represents the Company’s derivative activity as of
March 31, 2015
, which is representative of the volume of derivatives held during the period.
|
(3)
|
The fair value of embedded derivatives in reinsurance contracts is included in reinsurance balances payable in the condensed consolidated balance sheet.
|
(4)
|
The fair value of embedded derivatives in deposit contracts is included in deposit liabilities in the condensed consolidated balance sheet.
|
|
As of December 31, 2014
|
||||||||
|
Listing currency (1)
|
|
Fair Value
|
|
Notional Amounts (2)
|
||||
Derivative Assets by Primary Underlying Risk
|
($ in thousands)
|
||||||||
Commodity Price
|
|
|
|
|
|
||||
Commodity Future Options - Sold
|
USD
|
|
$
|
269
|
|
|
$
|
25,168
|
|
Credit
|
|
|
|
|
|
||||
Credit Default Swaps - Protection Purchased
|
USD
|
|
9,456
|
|
|
89,772
|
|
||
Credit Default Swaps - Protection Sold
|
USD
|
|
205
|
|
|
2,084
|
|
||
Equity Price
|
|
|
|
|
|
||||
Contracts for Differences - Long Contracts
|
USD
|
|
263
|
|
|
3,080
|
|
||
Contracts for Differences - Short Contracts
|
AUD/EUR
|
|
186
|
|
|
6,428
|
|
||
Total Return Swaps - Long Contracts
|
USD
|
|
43
|
|
|
1,874
|
|
||
Total Return Swaps - Short Contracts
|
USD
|
|
34
|
|
|
9,763
|
|
||
Interest Rates
|
|
|
|
|
|
||||
Commodity Futures - Short Contracts
|
USD
|
|
78
|
|
|
186,280
|
|
||
Foreign Currency Exchange Rates
|
|
|
|
|
|
||||
Foreign Currency Forward
|
CAD/EUR/GBP/JPY
|
|
4,241
|
|
|
228,416
|
|
||
Foreign Currency Options - Purchased
|
EUR/JPY/KRW/SAR
|
|
6,355
|
|
|
283,439
|
|
||
Total Derivative Assets
|
|
|
$
|
21,130
|
|
|
$
|
836,304
|
|
|
|
|
|
|
|
||||
|
Listing currency (1)
|
|
Fair Value
|
|
Notional Amounts (2)
|
||||
Derivative Liabilities by Primary Underlying Risk
|
($ in thousands)
|
||||||||
Commodity Price
|
|
|
|
|
|
||||
Commodity Future Options - Purchased
|
USD
|
|
$
|
285
|
|
|
$
|
12,012
|
|
Credit
|
|
|
|
|
|
||||
Credit Default Swaps - Protection Purchased
|
USD
|
|
3,230
|
|
|
49,465
|
|
||
Credit Default Swaps - Protection Sold
|
USD
|
|
1,319
|
|
|
5,142
|
|
||
Equity Price
|
|
|
|
|
|
||||
Contracts for Differences - Long Contracts
|
EUR/GBP/USD
|
|
1,404
|
|
|
48,152
|
|
||
Contracts for Differences - Short Contracts
|
AUD/NOK
|
|
130
|
|
|
3,070
|
|
||
Total Return Swaps - Long Contracts
|
USD
|
|
590
|
|
|
11,233
|
|
||
Interest Rates
|
|
|
|
|
|
||||
Commodity Futures - Short Contracts
|
USD
|
|
220
|
|
|
467,956
|
|
||
Treasury Futures - Short Contracts
|
USD
|
|
280
|
|
|
10,119
|
|
||
Foreign Currency Exchange Rates
|
|
|
|
|
|
||||
Foreign Currency Options - Sold
|
EUR/JPY/KRW
|
|
3,527
|
|
|
144,257
|
|
||
Catastrophe Risk derivatives
|
USD
|
|
30
|
|
|
6,000
|
|
||
Total Derivative Liabilities
|
|
|
$
|
11,015
|
|
|
$
|
757,406
|
|
|
|
|
|
|
|
||||
Embedded derivative liabilities in reinsurance contracts (3)
|
USD
|
|
2,769
|
|
|
15,000
|
|
||
Embedded derivative liabilities in deposit contracts (4)
|
USD
|
|
6,520
|
|
|
75,000
|
|
||
Total Derivative Liabilities (embedded)
|
|
|
$
|
9,289
|
|
|
$
|
90,000
|
|
(1)
|
AUD = Australian Dollar, CAD = Canadian Dollar, EUR = Euro, GBP = British Pound, JPY = Japanese Yen, KRW = South Korean Won, NOK = Norwegian Krone, SAR = Saudi Arabian Riyal, USD = US Dollar
|
(2)
|
The absolute notional exposure represents the Company’s derivative activity as of
December 31, 2014
, which is representative of the volume of derivatives held during the period.
|
(3)
|
The fair value of embedded derivatives in reinsurance contracts is included in reinsurance balances payable in the condensed consolidated balance sheet.
|
(4)
|
The fair value of embedded derivatives in deposit contracts is included in deposit liabilities in the condensed consolidated balance sheet.
|
|
March 31, 2015
|
|
March 31, 2014
|
||||||||||||
Free standing Derivatives - Primary Underlying Risk
|
Realized Gain (Loss)
|
|
Unrealized Gain (Loss)*
|
|
Realized Gain (Loss)
|
|
Unrealized Gain (Loss)*
|
||||||||
Commodity Price
|
($ in thousands)
|
||||||||||||||
Commodity Future Options - Purchased
|
$
|
(286
|
)
|
|
$
|
285
|
|
|
$
|
(271
|
)
|
|
$
|
(5
|
)
|
Commodity Future Options - Sold
|
272
|
|
|
(269
|
)
|
|
316
|
|
|
(168
|
)
|
||||
Credit
|
|
|
|
|
|
|
|
||||||||
Credit Default Swaps - Protection Purchased
|
344
|
|
|
(358
|
)
|
|
(803
|
)
|
|
(2,906
|
)
|
||||
Credit Default Swaps - Protection Sold
|
1,653
|
|
|
(1,660
|
)
|
|
81
|
|
|
(119
|
)
|
||||
Equity Price
|
|
|
|
|
|
|
|
||||||||
Contracts for Differences - Long Contracts
|
(303
|
)
|
|
1,443
|
|
|
276
|
|
|
(2,569
|
)
|
||||
Contracts for Differences - Short Contracts
|
(2,869
|
)
|
|
(1,171
|
)
|
|
(1,820
|
)
|
|
279
|
|
||||
Total Return Swaps - Long Contracts
|
(2,165
|
)
|
|
2,496
|
|
|
4,690
|
|
|
740
|
|
||||
Total Return Swaps - Short Contracts
|
403
|
|
|
436
|
|
|
187
|
|
|
(233
|
)
|
||||
Index
|
|
|
|
|
|
|
|
||||||||
Index Futures - Long Contracts
|
579
|
|
|
243
|
|
|
—
|
|
|
—
|
|
||||
Index Futures - Short Contracts
|
—
|
|
|
—
|
|
|
(139
|
)
|
|
441
|
|
||||
Interest Rates
|
|
|
|
|
|
|
|
||||||||
Bond Futures - Short Contracts
|
—
|
|
|
—
|
|
|
(320
|
)
|
|
(170
|
)
|
||||
Commodities Futures - Short Contracts
|
(201
|
)
|
|
143
|
|
|
—
|
|
|
—
|
|
||||
Interest Rate Swaps
|
—
|
|
|
—
|
|
|
(624
|
)
|
|
293
|
|
||||
Interest Rate Swaptions
|
—
|
|
|
(149
|
)
|
|
530
|
|
|
(919
|
)
|
||||
Treasury Futures - Short Contracts
|
(445
|
)
|
|
206
|
|
|
(256
|
)
|
|
(127
|
)
|
||||
Foreign Currency Exchange Rates
|
|
|
|
|
|
|
|
||||||||
Foreign Currency Forward
|
25,726
|
|
|
(7,579
|
)
|
|
534
|
|
|
(915
|
)
|
||||
Foreign Currency Options - Purchased
|
485
|
|
|
(668
|
)
|
|
(1,266
|
)
|
|
(1,847
|
)
|
||||
Foreign Currency Options - Sold
|
(29
|
)
|
|
503
|
|
|
686
|
|
|
171
|
|
||||
|
$
|
23,164
|
|
|
$
|
(6,099
|
)
|
|
$
|
1,801
|
|
|
$
|
(8,054
|
)
|
Embedded Derivatives
|
|
|
|
|
|
|
|
||||||||
Embedded derivatives in reinsurance contracts
|
$
|
(5
|
)
|
|
$
|
(115
|
)
|
|
$
|
—
|
|
|
$
|
(63
|
)
|
Embedded derivatives in deposit contracts
|
—
|
|
|
(180
|
)
|
|
—
|
|
|
(80
|
)
|
||||
Total Derivative Liabilities (embedded)
|
$
|
(5
|
)
|
|
$
|
(295
|
)
|
|
$
|
—
|
|
|
$
|
(143
|
)
|
|
|
Gross Amounts not Offset in the Condensed Consolidated Balance Sheet
|
||||||||||||||
March 31, 2015 Counterparty
|
|
Gross Amounts of Assets Presented in the Condensed Consolidated Balance Sheet (1)
|
|
Financial Instruments
|
|
Cash Collateral Received
|
|
Net Amount
|
||||||||
Financial assets, derivative assets and collateral received
|
|
($ in thousands)
|
||||||||||||||
Counterparty 1
|
|
$
|
763
|
|
|
$
|
763
|
|
|
$
|
—
|
|
|
$
|
—
|
|
Counterparty 2
|
|
1,112
|
|
|
966
|
|
|
—
|
|
|
146
|
|
||||
Counterparty 3
|
|
8,362
|
|
|
6,592
|
|
|
—
|
|
|
1,770
|
|
||||
Counterparty 4
|
|
2,699
|
|
|
2,699
|
|
|
—
|
|
|
—
|
|
||||
Counterparty 5
|
|
5,210
|
|
|
3,170
|
|
|
—
|
|
|
2,040
|
|
||||
Counterparty 6
|
|
7,980
|
|
|
4,051
|
|
|
2,751
|
|
|
1,178
|
|
||||
Counterparty 7
|
|
2,352
|
|
|
1,817
|
|
|
—
|
|
|
535
|
|
||||
Counterparty 8
|
|
472
|
|
|
472
|
|
|
—
|
|
|
—
|
|
||||
Counterparty 9
|
|
253
|
|
|
252
|
|
|
—
|
|
|
1
|
|
||||
Counterparty 10
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Counterparty 11
|
|
4
|
|
|
4
|
|
|
—
|
|
|
—
|
|
||||
Total
|
|
$
|
29,207
|
|
|
$
|
20,786
|
|
|
$
|
2,751
|
|
|
$
|
5,670
|
|
|
|
|
|
|
|
|
|
|
||||||||
Securities purchased under an agreement to sell
|
|
|
|
|
|
|
|
|
||||||||
Counterparty 4
|
|
$
|
10,047
|
|
|
$
|
9,772
|
|
|
$
|
—
|
|
|
$
|
275
|
|
Counterparty 11
|
|
7,583
|
|
|
7,448
|
|
|
—
|
|
|
135
|
|
||||
Total
|
|
$
|
17,630
|
|
|
$
|
17,220
|
|
|
$
|
—
|
|
|
$
|
410
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
|
|
|
|
|
|
|
|
||||||||
|
|
|
|
|
|
|
|
|
||||||||
|
|
|
|
|
|
|
|
|
||||||||
|
|
|
|
|
|
|
|
|
||||||||
|
|
|
|
|
|
|
|
|
||||||||
|
|
|
|
|
|
|
|
|
||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
|
Gross Amounts not Offset in the Condensed Consolidated Balance Sheet
|
||||||||||||||
March 31, 2015 Counterparty
|
|
Gross Amounts of Liabilities Presented in the Condensed Consolidated Balance Sheet (2)
|
|
Financial Instruments
|
|
Cash Collateral Pledged
|
|
Net Amount
|
||||||||
Financial liabilities, derivative liabilities and collateral pledged
|
|
($ in thousands)
|
||||||||||||||
Counterparty 1
|
|
$
|
3,562
|
|
|
$
|
763
|
|
|
$
|
2,799
|
|
|
$
|
—
|
|
Counterparty 2
|
|
966
|
|
|
966
|
|
|
—
|
|
|
—
|
|
||||
Counterparty 3
|
|
6,592
|
|
|
6,592
|
|
|
—
|
|
|
—
|
|
||||
Counterparty 4
|
|
3,412
|
|
|
2,699
|
|
|
713
|
|
|
—
|
|
||||
Counterparty 5
|
|
3,170
|
|
|
3,170
|
|
|
—
|
|
|
—
|
|
||||
Counterparty 6
|
|
4,051
|
|
|
4,051
|
|
|
—
|
|
|
—
|
|
||||
Counterparty 7
|
|
1,817
|
|
|
1,817
|
|
|
—
|
|
|
—
|
|
||||
Counterparty 8
|
|
1,064
|
|
|
472
|
|
|
592
|
|
|
—
|
|
||||
Counterparty 9
|
|
1,447
|
|
|
252
|
|
|
1,195
|
|
|
—
|
|
||||
Counterparty 10
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Counterparty 11
|
|
44
|
|
|
4
|
|
|
40
|
|
|
—
|
|
||||
Counterparty 12
|
|
2,552
|
|
|
—
|
|
|
2,552
|
|
|
—
|
|
||||
Total
|
|
$
|
28,677
|
|
|
$
|
20,786
|
|
|
$
|
7,891
|
|
|
$
|
—
|
|
|
|
|
|
|
|
|
|
|
||||||||
Securities sold under an agreement to repurchase
|
|
|
|
|
|
|
|
|
||||||||
Counterparty 4
|
|
$
|
61,939
|
|
|
$
|
61,939
|
|
|
$
|
—
|
|
|
$
|
—
|
|
Total
|
|
$
|
61,939
|
|
|
$
|
61,939
|
|
|
$
|
—
|
|
|
$
|
—
|
|
(1)
|
The Gross Amounts of Assets Presented in the Condensed Consolidated Balance Sheets presented above includes the fair value of Derivative Contract assets as well as gross OTC option contract assets of
$4.0 million
included in Other Investments in the Condensed Consolidated Balance Sheets.
|
(2)
|
The Gross Amounts of Liabilities Presented in the Condensed Consolidated Balance Sheets presented above includes the fair value of Derivative Contract liabilities as well as gross OTC option contract liabilities of
$11.7 million
included in Securities sold, not yet purchased in the Condensed Consolidated Balance Sheets.
|
|
|
Gross Amounts not Offset in the Condensed Consolidated Balance Sheet
|
||||||||||||||
December 31, 2014
Counterparty
|
|
Gross Amounts of Assets Presented in the Condensed Consolidated Balance Sheet (1)
|
|
Financial Instruments
|
|
Cash Collateral Received
|
|
Net Amount
|
||||||||
Financial assets, derivative assets and collateral received
|
|
($ in thousands)
|
||||||||||||||
Counterparty 1
|
|
$
|
1,624
|
|
|
$
|
1,613
|
|
|
$
|
—
|
|
|
$
|
11
|
|
Counterparty 2
|
|
2,199
|
|
|
539
|
|
|
—
|
|
|
1,660
|
|
||||
Counterparty 3
|
|
10,558
|
|
|
4,802
|
|
|
—
|
|
|
5,756
|
|
||||
Counterparty 4
|
|
368
|
|
|
368
|
|
|
—
|
|
|
—
|
|
||||
Counterparty 5
|
|
2,218
|
|
|
133
|
|
|
—
|
|
|
2,085
|
|
||||
Counterparty 6
|
|
5,832
|
|
|
2,866
|
|
|
2,420
|
|
|
546
|
|
||||
Counterparty 7
|
|
745
|
|
|
440
|
|
|
—
|
|
|
305
|
|
||||
Counterparty 8
|
|
699
|
|
|
699
|
|
|
—
|
|
|
—
|
|
||||
Counterparty 9
|
|
655
|
|
|
461
|
|
|
—
|
|
|
194
|
|
||||
Counterparty 10
|
|
23
|
|
|
—
|
|
|
—
|
|
|
23
|
|
||||
Total
|
|
$
|
24,921
|
|
|
$
|
11,921
|
|
|
$
|
2,420
|
|
|
$
|
10,580
|
|
|
|
|
|
|
|
|
|
|
||||||||
Securities purchased under an agreement to sell
|
|
|
|
|
|
|
|
|
||||||||
Counterparty 11
|
|
$
|
29,852
|
|
|
$
|
29,350
|
|
|
$
|
247
|
|
|
$
|
255
|
|
Total
|
|
$
|
29,852
|
|
|
$
|
29,350
|
|
|
$
|
247
|
|
|
$
|
255
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
|
Gross Amounts not Offset in the Condensed Consolidated Balance Sheet
|
||||||||||||||
December 31, 2014
Counterparty
|
|
Gross Amounts of Liabilities Presented in the Condensed Consolidated Balance Sheet (2)
|
|
Financial Instruments
|
|
Cash Collateral Pledged
|
|
Net Amount (3)
|
||||||||
Financial liabilities, derivative liabilities and collateral pledged
|
|
($ in thousands)
|
||||||||||||||
Counterparty 1
|
|
$
|
1,613
|
|
|
$
|
1,613
|
|
|
$
|
—
|
|
|
$
|
—
|
|
Counterparty 2
|
|
539
|
|
|
539
|
|
|
—
|
|
|
—
|
|
||||
Counterparty 3
|
|
4,802
|
|
|
4,802
|
|
|
—
|
|
|
—
|
|
||||
Counterparty 4
|
|
932
|
|
|
368
|
|
|
564
|
|
|
—
|
|
||||
Counterparty 5
|
|
133
|
|
|
133
|
|
|
—
|
|
|
—
|
|
||||
Counterparty 6
|
|
2,866
|
|
|
2,866
|
|
|
—
|
|
|
—
|
|
||||
Counterparty 7
|
|
440
|
|
|
440
|
|
|
—
|
|
|
—
|
|
||||
Counterparty 8
|
|
2,001
|
|
|
699
|
|
|
1,302
|
|
|
—
|
|
||||
Counterparty 9
|
|
461
|
|
|
461
|
|
|
—
|
|
|
—
|
|
||||
Total
|
|
$
|
13,787
|
|
|
$
|
11,921
|
|
|
$
|
1,866
|
|
|
$
|
—
|
|
(1)
|
The Gross Amounts of Assets Presented in the Condensed Consolidated Balance Sheets presented above includes the fair value of Derivative Contract assets as well as gross OTC option contract assets of
$3.8 million
included in Other Investments in the Condensed Consolidated Balance Sheets.
|
(2)
|
The Gross Amounts of Liabilities Presented in the Condensed Consolidated Balance Sheets presented above includes the fair value of Derivative Contract liabilities as well as gross OTC option contract liabilities of
$2.8 million
included in Securities sold, not yet purchased in the Condensed Consolidated Balance Sheets.
|
(3)
|
Net amount as at
December 31, 2014
is a result of options not being included as derivative instruments.
|
|
March 31,
2015 |
|
December 31,
2014 |
||||
|
($ in thousands)
|
||||||
Case loss and loss adjustment expense reserves
|
$
|
57,211
|
|
|
$
|
64,343
|
|
Incurred but not reported loss and loss adjustment expense reserves
|
214,146
|
|
|
210,777
|
|
||
Deferred gains on retroactive reinsurance contracts
|
2,580
|
|
|
2,242
|
|
||
|
$
|
273,937
|
|
|
$
|
277,362
|
|
|
March 31,
2015 |
|
March 31,
2014 |
||||
|
($ in thousands)
|
||||||
Gross reserves for loss and loss adjustment expenses, beginning of year
|
$
|
277,362
|
|
|
$
|
134,331
|
|
Less: loss and loss adjustment expenses recoverable, beginning of year
|
(814
|
)
|
|
(9,277
|
)
|
||
Net reserves for loss and loss adjustment expenses, beginning of year
|
276,548
|
|
|
125,054
|
|
||
Increase (decrease) in net loss and loss adjustment expenses incurred in respect of losses occurring in:
|
|
|
|
||||
Current year
|
83,647
|
|
|
43,233
|
|
||
Prior years
|
(2,239
|
)
|
|
3,026
|
|
||
Amortization of deferred gains on retroactive reinsurance contracts
|
338
|
|
|
—
|
|
||
Total incurred loss and loss adjustment expenses
|
81,746
|
|
|
46,259
|
|
||
Net loss and loss adjustment expenses paid in respect of losses occurring in:
|
|
|
|
||||
Current year
|
(8,338
|
)
|
|
(3,643
|
)
|
||
Prior years
|
(75,909
|
)
|
|
(13,323
|
)
|
||
Total net paid losses
|
(84,247
|
)
|
|
(16,966
|
)
|
||
Foreign currency translation
|
(518
|
)
|
|
—
|
|
||
Net reserve for loss and loss adjustment expenses, end of year
|
273,529
|
|
|
154,347
|
|
||
Plus: loss and loss adjustment expenses recoverable, end of year
|
408
|
|
|
10,277
|
|
||
Gross reserve for loss and loss adjustment expenses, end of year
|
$
|
273,937
|
|
|
$
|
164,624
|
|
•
|
The
$6.1 million
of favorable reserve development is offset by increases of
$7.1 million
in acquisition costs primarily as a result of changes in the estimated split of the composite ratio between loss and loss adjustment expenses incurred and acquisition costs for certain contracts that have sliding scale commissions and profit commissions that vary inversely with loss experience. The net impact as a result of changes in prior years’ reserves was a decrease in net underwriting income of
$1.0 million
for the three months ended
March 31, 2015
.
|
•
|
The
$3.9 million
increase in loss and loss adjustment expenses incurred related to the increase in premium estimates on certain contracts was accompanied by a
$2.6 million
increase in acquisition costs, for a total of
$6.5 million
increase in loss and loss adjustment expenses incurred and acquisition costs. The related increase in earned premium related to the increase in premium estimates was
$6.5 million
, resulting in an insignificant change in net underwriting loss for the three months ended
March 31, 2015
.
|
•
|
In total, the change in underwriting income for prior periods due to loss reserve development and adjustments to premium estimates was a decrease of
$1.0 million
for the three months ended
March 31, 2015
.
|
|
2015
|
|
2014
|
||||
|
($ in thousands)
|
||||||
Management fees - Third Point LLC
|
$
|
1,475
|
|
|
$
|
1,189
|
|
Management fees - Founders
|
8,356
|
|
|
6,735
|
|
||
Performance fees - Third Point Advisors LLC
|
15,844
|
|
|
12,295
|
|
||
|
$
|
25,675
|
|
|
$
|
20,219
|
|
|
March 31,
2015 |
|
December 31,
2014 |
||||
|
($ in thousands)
|
||||||
Balance, beginning of period
|
$
|
145,430
|
|
|
$
|
120,946
|
|
Consideration received
|
553
|
|
|
18,398
|
|
||
Net investment expense allocation and change in fair value of embedded derivatives
|
811
|
|
|
6,436
|
|
||
Payments
|
(75
|
)
|
|
(350
|
)
|
||
Balance, end of period
|
$
|
146,719
|
|
|
$
|
145,430
|
|
|
Facility
|
|
Utilized
|
|
Collateral
|
|
Renewal Date
|
||||||
March 31, 2015
|
($ in thousands)
|
|
|
||||||||||
BNP Paribas (1)
|
$
|
50,000
|
|
|
$
|
554
|
|
|
$
|
554
|
|
|
April 2, 2016
|
Citibank
|
250,000
|
|
|
231,653
|
|
|
231,653
|
|
|
January 23, 2016
|
|||
J.P. Morgan
|
50,000
|
|
|
50,000
|
|
|
50,500
|
|
|
August 22, 2015
|
|||
Lloyds Bank (2)
|
150,000
|
|
|
—
|
|
|
—
|
|
|
December 31, 2016 and 2018
|
|||
|
$
|
500,000
|
|
|
$
|
282,207
|
|
|
$
|
282,707
|
|
|
|
(1)
|
On April 2, 2015, Third Point Re USA entered into a letter of credit facility with BNP Paribas for
$50.0 million
.
|
(2)
|
On February 26, 2015, Third Point Re entered into a letter of credit facility with Lloyds Bank for
$150.0 million
. The facility consists of two separate sections of
$75.0 million
each, expiring on December 31, 2016 and December 31, 2018, respectively.
|
|
2015
|
|
2014
|
||||
Net investment income by type
|
($ in thousands)
|
||||||
|
|
|
|
||||
Net realized gains on investments and investment derivatives
|
$
|
53,283
|
|
|
$
|
84,752
|
|
Net unrealized gains (losses) on investments and investment derivatives
|
36,596
|
|
|
(16,254
|
)
|
||
Net loss on foreign currencies
|
(3,470
|
)
|
|
(3,924
|
)
|
||
Dividend and interest income
|
7,362
|
|
|
7,728
|
|
||
Dividends paid on securities sold, not yet purchased
|
(119
|
)
|
|
(33
|
)
|
||
Management and performance fees
|
(25,675
|
)
|
|
(20,219
|
)
|
||
Other expenses
|
(3,128
|
)
|
|
(2,044
|
)
|
||
Net investment income on investments managed by Third Point LLC
|
64,849
|
|
|
50,006
|
|
||
Investment income on cash held by the Catastrophe Reinsurer and Catastrophe Fund
|
15
|
|
|
29
|
|
||
Net gain on catastrophe bond held by Catastrophe Reinsurer
|
10
|
|
|
—
|
|
||
Net gain on investment in Kiskadee Fund
|
44
|
|
|
—
|
|
||
|
$
|
64,918
|
|
|
$
|
50,035
|
|
|
2015
|
|
2014
|
||||
Net investment income by asset class
|
($ in thousands)
|
||||||
Net investment gains on equity securities
|
$
|
35,752
|
|
|
$
|
27,823
|
|
Net investment gains on debt securities
|
41,873
|
|
|
55,192
|
|
||
Net investment losses on other investments
|
(13,475
|
)
|
|
(1,195
|
)
|
||
Net investment gains (losses) on investment derivatives
|
17,065
|
|
|
(6,253
|
)
|
||
Net investment gains (losses) on securities sold, not yet purchased
|
14,352
|
|
|
(13
|
)
|
||
Net investment income (loss) on cash, including foreign exchange gains (losses)
|
(1,255
|
)
|
|
(4,455
|
)
|
||
Net investment gains (losses) on securities purchased under an agreement to resell
|
(2,952
|
)
|
|
13
|
|
||
Net investment gains on securities sold under an agreement to repurchase
|
315
|
|
|
—
|
|
||
Management and performance fees
|
(25,675
|
)
|
|
(20,219
|
)
|
||
Other investment expenses
|
(1,082
|
)
|
|
(858
|
)
|
||
|
$
|
64,918
|
|
|
$
|
50,035
|
|
|
|
2015
|
|
2014
|
||||
|
|
($ in thousands)
|
||||||
Deposit liabilities investment expense
|
|
$
|
631
|
|
|
$
|
531
|
|
Reinsurance contracts investment expense
|
|
1,770
|
|
|
113
|
|
||
Change in fair value of embedded derivatives in deposit and reinsurance contracts (1)
|
|
300
|
|
|
143
|
|
||
|
|
$
|
2,701
|
|
|
$
|
787
|
|
(1)
|
See discussion of accounting policy for embedded derivatives in
Note 2
for additional information.
|
|
2015
|
|
2014
|
||||
|
($ in thousands)
|
||||||
Income tax - U.S. subsidiaries
|
$
|
475
|
|
|
$
|
—
|
|
Income tax - U.K. subsidiaries
|
3
|
|
|
—
|
|
||
Withholding taxes on certain investment transactions
|
827
|
|
|
—
|
|
||
|
$
|
1,305
|
|
|
$
|
—
|
|
(a)
|
Management and director options
|
|
Number of
options
|
|
Weighted
average exercise
price
|
|||
Balances as of December 31, 2013
|
10,981,075
|
|
|
$
|
13.23
|
|
Granted - employees
|
348,836
|
|
|
18.25
|
|
|
Forfeited
|
(279,070
|
)
|
|
13.20
|
|
|
Exercised
|
(60,000
|
)
|
|
10.00
|
|
|
Balances as of December 31, 2014
|
10,990,841
|
|
|
13.41
|
|
|
Forfeited
|
(74,418
|
)
|
|
18.00
|
|
|
Exercised
|
(111,628
|
)
|
|
10.00
|
|
|
Balances as of March 31, 2015
|
10,804,795
|
|
|
$
|
13.41
|
|
|
Options outstanding
|
|
Options exercisable
|
||||||||
Range of exercise prices
|
Number of
options
|
|
Weighted
average
exercise price
|
|
Remaining
contractual
life
|
|
Number of
options
|
|
Weighted
average
exercise price
|
||
$10.00 - $10.89
|
6,249,577
|
|
|
$10.03
|
|
6.82
|
|
3,584,460
|
|
|
$10.01
|
$15.05 - $16.89
|
2,312,493
|
|
|
$15.94
|
|
6.99
|
|
1,256,680
|
|
|
$15.98
|
$20.00 - $25.05
|
2,242,725
|
|
|
$20.22
|
|
6.93
|
|
1,242,726
|
|
|
$20.08
|
|
10,804,795
|
|
|
$13.41
|
|
6.88
|
|
6,083,866
|
|
|
$13.30
|
(b)
|
Restricted shares with service condition
|
|
Number of non-
vested restricted
shares
|
|
Weighted
average grant
date fair value
|
|||
Balance as of December 31, 2013
|
657,156
|
|
|
$
|
10.30
|
|
Granted
|
49,684
|
|
|
15.39
|
|
|
Forfeited
|
(17,800
|
)
|
|
10.00
|
|
|
Vested
|
(72,926
|
)
|
|
15.56
|
|
|
Balance as of December 31, 2014
|
616,114
|
|
|
10.10
|
|
|
Granted
|
71,429
|
|
|
14.00
|
|
|
Vested
|
(381,500
|
)
|
|
10.00
|
|
|
Balance as of March 31, 2015
|
306,043
|
|
|
$
|
11.13
|
|
|
|
|
|
||||
|
March 31, 2015
|
|
December 31, 2014
|
||||
|
($ in thousands)
|
||||||
Catastrophe Fund
|
$
|
38,706
|
|
|
$
|
60,153
|
|
Catastrophe Fund Manager
|
—
|
|
|
(259
|
)
|
||
Joint Venture - Third Point Advisors LLC share
|
15,885
|
|
|
40,241
|
|
||
|
$
|
54,591
|
|
|
$
|
100,135
|
|
|
2015
|
|
2014
|
||||
|
($ in thousands)
|
||||||
Catastrophe Fund
|
$
|
(48
|
)
|
|
$
|
250
|
|
Catastrophe Fund Manager
|
(32
|
)
|
|
(59
|
)
|
||
Joint Venture - Third Point Advisors LLC share
|
643
|
|
|
825
|
|
||
|
$
|
563
|
|
|
$
|
1,016
|
|
a)
|
Third Point Reinsurance Opportunities Fund Ltd. and Third Point Re Cat Ltd.
|
b)
|
Third Point Reinsurance Investment Management Ltd. (the “Catastrophe Fund Manager”)
|
a)
|
TP Lux Holdco LP
|
|
|
|
2015
|
|
2014
|
||||
Weighted-average number of common shares outstanding:
|
|
($ in thousands, except share and per share amounts)
|
|||||||
|
Basic number of common shares outstanding
|
|
103,753,065
|
|
|
103,264,616
|
|
||
|
Dilutive effect of options
|
|
1,093,353
|
|
|
1,386,722
|
|
||
|
Dilutive effect of warrants
|
|
1,297,765
|
|
|
1,762,242
|
|
||
|
Diluted number of common shares outstanding
|
|
106,144,183
|
|
|
106,413,580
|
|
||
Basic net income per common share:
|
|
|
|
|
|||||
|
Net income
|
|
$
|
50,470
|
|
|
$
|
39,779
|
|
|
Income allocated to participating shares
|
|
(179
|
)
|
|
(252
|
)
|
||
|
Net income available to common shareholders
|
|
$
|
50,291
|
|
|
$
|
39,527
|
|
|
Basic net income per common share
|
|
$
|
0.48
|
|
|
$
|
0.38
|
|
Diluted net income per common share
|
|
|
|
|
|||||
|
Net income
|
|
$
|
50,470
|
|
|
$
|
39,779
|
|
|
Income allocated to participating securities
|
|
(175
|
)
|
|
(245
|
)
|
||
|
Net income available to common shareholders
|
|
$
|
50,295
|
|
|
$
|
39,534
|
|
|
Diluted net income per common share
|
|
$
|
0.47
|
|
|
$
|
0.37
|
|
a)
|
Pine Brook Road Partners, LLC and Narragansett Bay Insurance Company
|
b)
|
Third Point Loan L.L.C.
|
March 31, 2015
|
|
Maximum Payout/ Notional Amount (by period of expiration)
|
|
Fair Value of Written Credit Derivatives (2)
|
||||||||||||||||||||
Credit Spreads on
underlying (basis
points)
|
|
0-5 years
|
|
5 years or
Greater Expiring Through 2046
|
|
Total Written
Credit Default
Swaps (1)
|
|
Asset
|
|
Liability
|
|
Net Asset/(Liability)
|
||||||||||||
|
|
($ in thousands)
|
||||||||||||||||||||||
Single name (0 - 250)
|
|
$
|
—
|
|
|
$
|
5,857
|
|
|
$
|
5,857
|
|
|
$
|
—
|
|
|
$
|
1,500
|
|
|
$
|
(1,500
|
)
|
Single name (251-500)
|
|
2,302
|
|
|
2,491
|
|
|
4,793
|
|
|
256
|
|
|
376
|
|
|
(120
|
)
|
||||||
|
|
$
|
2,302
|
|
|
$
|
8,348
|
|
|
$
|
10,650
|
|
|
$
|
256
|
|
|
$
|
1,876
|
|
|
$
|
(1,620
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
December 31, 2014
|
|
Maximum Payout/ Notional Amount (by period of expiration)
|
|
Fair Value of Written Credit Derivatives (2)
|
||||||||||||||||||||
Credit Spreads on
underlying (basis
points)
|
|
0-5 years
|
|
5 years or
Greater Expiring Through 2046
|
|
Total Written
Credit Default
Swaps (1)
|
|
Asset
|
|
Liability
|
|
Net Asset/(Liability)
|
||||||||||||
|
|
($ in thousands)
|
||||||||||||||||||||||
Single name (0 - 250)
|
|
$
|
—
|
|
|
$
|
5,142
|
|
|
$
|
5,142
|
|
|
$
|
—
|
|
|
$
|
1,319
|
|
|
$
|
(1,319
|
)
|
Single name (251-500)
|
|
—
|
|
|
2,084
|
|
|
2,084
|
|
|
205
|
|
|
—
|
|
|
205
|
|
||||||
|
|
$
|
—
|
|
|
$
|
7,226
|
|
|
$
|
7,226
|
|
|
$
|
205
|
|
|
$
|
1,319
|
|
|
$
|
(1,114
|
)
|
(1)
|
As of
March 31, 2015
and
December 31, 2014
, the Company did not hold any offsetting buy protection credit derivatives with the same underlying reference obligation.
|
(2)
|
Fair value amounts of derivative contracts are shown on a gross basis prior to cash collateral or counterparty netting.
|
|
Three Months Ended March 31, 2015
|
||||||||||||||
|
Property and Casualty Reinsurance
|
|
Catastrophe Risk Management
|
|
Corporate
|
|
Total
|
||||||||
Revenues
|
($ in thousands)
|
||||||||||||||
Gross premiums written
|
$
|
213,383
|
|
|
$
|
(49
|
)
|
|
$
|
—
|
|
|
$
|
213,334
|
|
Gross premiums ceded
|
(52
|
)
|
|
—
|
|
|
—
|
|
|
(52
|
)
|
||||
Net premiums written
|
213,331
|
|
|
(49
|
)
|
|
—
|
|
|
213,282
|
|
||||
Change in net unearned premium reserves
|
(74,214
|
)
|
|
7
|
|
|
—
|
|
|
(74,207
|
)
|
||||
Net premiums earned
|
139,117
|
|
|
(42
|
)
|
|
—
|
|
|
139,075
|
|
||||
Expenses
|
|
|
|
|
|
|
|
|
|||||||
Loss and loss adjustment expenses incurred, net
|
81,746
|
|
|
—
|
|
|
—
|
|
|
81,746
|
|
||||
Acquisition costs, net
|
54,663
|
|
|
(6
|
)
|
|
—
|
|
|
54,657
|
|
||||
General and administrative expenses
|
6,567
|
|
|
233
|
|
|
4,908
|
|
|
11,708
|
|
||||
Total expenses
|
142,976
|
|
|
227
|
|
|
4,908
|
|
|
148,111
|
|
||||
Net underwriting loss
|
(3,859
|
)
|
|
n/a
|
|
|
n/a
|
|
|
n/a
|
|
||||
Net investment income
|
18,575
|
|
|
25
|
|
|
46,318
|
|
|
64,918
|
|
||||
Other expenses
|
(2,701
|
)
|
|
—
|
|
|
—
|
|
|
(2,701
|
)
|
||||
Interest expense
|
—
|
|
|
—
|
|
|
(1,036
|
)
|
|
(1,036
|
)
|
||||
Foreign exchange gains
|
—
|
|
|
—
|
|
|
193
|
|
|
193
|
|
||||
Income tax expense
|
—
|
|
|
—
|
|
|
(1,305
|
)
|
|
(1,305
|
)
|
||||
Segment income (loss) including non-controlling interests
|
12,015
|
|
|
(244
|
)
|
|
39,262
|
|
|
51,033
|
|
||||
Segment (income) loss attributable to non-controlling interests
|
—
|
|
|
80
|
|
|
(643
|
)
|
|
(563
|
)
|
||||
Segment income (loss)
|
$
|
12,015
|
|
|
$
|
(164
|
)
|
|
$
|
38,619
|
|
|
$
|
50,470
|
|
|
|
|
|
|
|
|
|
||||||||
Property and Casualty Reinsurance - Underwriting Ratios:
|
|
|
|
|
|
|
|||||||||
Loss ratio (1)
|
58.8
|
%
|
|
|
|
|
|
|
|||||||
Acquisition cost ratio (2)
|
39.3
|
%
|
|
|
|
|
|
|
|||||||
Composite ratio (3)
|
98.1
|
%
|
|
|
|
|
|
|
|||||||
General and administrative expense ratio (4)
|
4.7
|
%
|
|
|
|
|
|
|
|||||||
Combined ratio (5)
|
102.8
|
%
|
|
|
|
|
|
|
(1)
|
Loss ratio is calculated by dividing loss and loss adjustment expenses incurred, net by net premiums earned.
|
(2)
|
Acquisition cost ratio is calculated by dividing acquisition costs, net by net premiums earned.
|
(3)
|
Composite ratio is calculated by dividing the sum of loss and loss adjustment expenses incurred, net and acquisition costs, net by net premiums earned.
|
(4)
|
General and administrative expense ratio is calculated by dividing general and administrative expenses related to underwriting activities by net premiums earned.
|
(5)
|
Combined ratio is calculated by dividing the sum of loss and loss adjustment expenses incurred, net, acquisition costs, net and general and administrative expenses related to underwriting activities by net premiums earned.
|
|
Three Months Ended March 31, 2014
|
||||||||||||||
|
Property and Casualty Reinsurance
|
|
Catastrophe Risk Management
|
|
Corporate
|
|
Total
|
||||||||
Revenues
|
($ in thousands)
|
||||||||||||||
Gross premiums written
|
$
|
82,142
|
|
|
$
|
5,445
|
|
|
$
|
—
|
|
|
$
|
87,587
|
|
Gross premiums ceded
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Net premiums written
|
82,142
|
|
|
5,445
|
|
|
—
|
|
|
87,587
|
|
||||
Change in net unearned premium reserves
|
(9,841
|
)
|
|
(4,484
|
)
|
|
—
|
|
|
(14,325
|
)
|
||||
Net premiums earned
|
72,301
|
|
|
961
|
|
|
—
|
|
|
73,262
|
|
||||
Expenses
|
|
|
|
|
|
|
|
||||||||
Loss and loss adjustment expenses incurred, net
|
46,259
|
|
|
—
|
|
|
—
|
|
|
46,259
|
|
||||
Acquisition costs, net
|
25,399
|
|
|
32
|
|
|
—
|
|
|
25,431
|
|
||||
General and administrative expenses
|
5,809
|
|
|
834
|
|
|
3,382
|
|
|
10,025
|
|
||||
Total expenses
|
77,467
|
|
|
866
|
|
|
3,382
|
|
|
81,715
|
|
||||
Net underwriting loss
|
(5,166
|
)
|
|
n/a
|
|
|
n/a
|
|
|
n/a
|
|
||||
Net investment income
|
7,313
|
|
|
29
|
|
|
42,693
|
|
|
50,035
|
|
||||
Other expenses
|
(787
|
)
|
|
—
|
|
|
—
|
|
|
(787
|
)
|
||||
Segment income including non-controlling interests
|
1,360
|
|
|
124
|
|
|
39,311
|
|
|
40,795
|
|
||||
Segment income attributable to non-controlling interests
|
—
|
|
|
(191
|
)
|
|
(825
|
)
|
|
(1,016
|
)
|
||||
Segment income (loss)
|
$
|
1,360
|
|
|
$
|
(67
|
)
|
|
$
|
38,486
|
|
|
$
|
39,779
|
|
|
|
|
|
|
|
|
|
||||||||
Property and Casualty Reinsurance - Underwriting Ratios:
|
|
|
|
|
|
|
|||||||||
Loss ratio (1)
|
64.0
|
%
|
|
|
|
|
|
|
|||||||
Acquisition cost ratio (2)
|
35.1
|
%
|
|
|
|
|
|
|
|||||||
Composite ratio (3)
|
99.1
|
%
|
|
|
|
|
|
|
|||||||
General and administrative expense ratio (4)
|
8.0
|
%
|
|
|
|
|
|
|
|||||||
Combined ratio (5)
|
107.1
|
%
|
|
|
|
|
|
|
(1)
|
Loss ratio is calculated by dividing loss and loss adjustment expenses incurred, net by net premiums earned.
|
(2)
|
Acquisition cost ratio is calculated by dividing acquisition costs, net by net premiums earned.
|
(3)
|
Composite ratio is calculated by dividing the sum of loss and loss adjustment expenses incurred, net and acquisition costs, net by net premiums earned.
|
(4)
|
General and administrative expense ratio is calculated by dividing general and administrative expenses related to underwriting activities by net premiums earned.
|
(5)
|
Combined ratio is calculated by dividing the sum of loss and loss adjustment expenses incurred, net, acquisition costs, net and general and administrative expenses related to underwriting activities by net premiums earned.
|
|
2015
|
|
2014
|
||
Contract 1
|
43.8
|
%
|
|
51.1
|
%
|
Contract 2
|
14.3
|
%
|
|
19.6
|
%
|
Contract 3
|
10.2
|
%
|
|
—
|
%
|
Total for contracts contributing greater than 10% each
|
68.3
|
%
|
|
70.7
|
%
|
Total for contracts contributing less than 10% each
|
31.7
|
%
|
|
29.3
|
%
|
|
100.0
|
%
|
|
100.0
|
%
|
|
2015
|
|
2014
|
||||||||||
|
($ in thousands)
|
||||||||||||
Property
|
$
|
21,456
|
|
|
10.1
|
%
|
|
$
|
6,881
|
|
|
7.9
|
%
|
Casualty
|
9,853
|
|
|
4.6
|
%
|
|
50,423
|
|
|
57.5
|
%
|
||
Specialty
|
182,074
|
|
|
85.3
|
%
|
|
24,838
|
|
|
28.4
|
%
|
||
Total property and casualty reinsurance
|
213,383
|
|
|
100.0
|
%
|
|
82,142
|
|
|
93.8
|
%
|
||
Catastrophe risk management
|
(49
|
)
|
|
—
|
%
|
|
5,445
|
|
|
6.2
|
%
|
||
|
$
|
213,334
|
|
|
100.0
|
%
|
|
$
|
87,587
|
|
|
100.0
|
%
|
|
2015
|
|
2014
|
||||||||||
|
($ in thousands)
|
||||||||||||
Prospective
|
$
|
196,824
|
|
|
92.3
|
%
|
|
$
|
85,485
|
|
|
97.6
|
%
|
Retroactive
(1)
|
16,510
|
|
|
7.7
|
%
|
|
2,102
|
|
|
2.4
|
%
|
||
|
$
|
213,334
|
|
|
100.0
|
%
|
|
$
|
87,587
|
|
|
100.0
|
%
|
(1)
|
Includes all retroactive exposure in reinsurance contracts.
|
|
2015
|
|
2014
|
||||||||||
|
($ in thousands)
|
||||||||||||
JLT Re
|
$
|
127,237
|
|
|
59.7
|
%
|
|
$
|
—
|
|
|
—
|
%
|
Aon Benfield - a division of Aon plc
|
44,848
|
|
|
21.0
|
%
|
|
5,996
|
|
|
6.8
|
%
|
||
Advocate Reinsurance Partners, LLC
|
13,950
|
|
|
6.5
|
%
|
|
8,455
|
|
|
9.7
|
%
|
||
Willis Re
|
13,080
|
|
|
6.1
|
%
|
|
—
|
|
|
—
|
%
|
||
Other brokers
|
8,808
|
|
|
4.1
|
%
|
|
2,622
|
|
|
3.0
|
%
|
||
Stonehill Reinsurance Partners, LLC
|
—
|
|
|
—
|
%
|
|
44,744
|
|
|
51.1
|
%
|
||
Guy Carpenter & Company, LLC
|
(30,352
|
)
|
|
(14.2
|
)%
|
|
(414
|
)
|
|
(0.5
|
)%
|
||
Total broker placed
|
177,571
|
|
|
83.2
|
%
|
|
61,403
|
|
|
70.1
|
%
|
||
Other
|
35,763
|
|
|
16.8
|
%
|
|
26,184
|
|
|
29.9
|
%
|
||
|
$
|
213,334
|
|
|
100.0
|
%
|
|
$
|
87,587
|
|
|
100.0
|
%
|
|
|
|
|
|
|
|
|
||||||
|
2015
|
|
2014
|
||||||||||
|
($ in thousands)
|
||||||||||||
United Kingdom
|
$
|
163,760
|
|
|
76.8
|
%
|
|
$
|
24,837
|
|
|
28.4
|
%
|
Bermuda
|
29,881
|
|
|
14.0
|
%
|
|
4,673
|
|
|
5.3
|
%
|
||
United States
|
19,693
|
|
|
9.2
|
%
|
|
58,077
|
|
|
66.3
|
%
|
||
|
$
|
213,334
|
|
|
100.0
|
%
|
|
$
|
87,587
|
|
|
100.0
|
%
|
THIRD POINT REINSURANCE LTD.
|
|||||||||||||||||||
CONDENSED CONSOLIDATING BALANCE SHEET
|
|||||||||||||||||||
(UNAUDITED)
|
|||||||||||||||||||
As of March 31, 2015
|
|||||||||||||||||||
(expressed in thousands of U.S. dollars)
|
|||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
||||||||||
|
Third Point Reinsurance Ltd.
|
|
TPRUSA
|
|
Non-Guarantor Subsidiaries
|
|
Eliminations
|
|
Consolidated
|
||||||||||
Assets
|
|
|
|
|
|
|
|
|
|
||||||||||
Equity securities
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
1,239,988
|
|
|
$
|
—
|
|
|
$
|
1,239,988
|
|
Debt securities
|
—
|
|
|
—
|
|
|
736,243
|
|
|
—
|
|
|
736,243
|
|
|||||
Other investments
|
—
|
|
|
—
|
|
|
61,466
|
|
|
—
|
|
|
61,466
|
|
|||||
Total investments in securities and commodities
|
—
|
|
|
—
|
|
|
2,037,697
|
|
|
—
|
|
|
2,037,697
|
|
|||||
Cash and cash equivalents
|
853
|
|
|
4,115
|
|
|
7,380
|
|
|
—
|
|
|
12,348
|
|
|||||
Restricted cash and cash equivalents
|
—
|
|
|
—
|
|
|
583,474
|
|
|
—
|
|
|
583,474
|
|
|||||
Investment in subsidiaries
|
1,505,862
|
|
|
269,819
|
|
|
158,377
|
|
|
(1,934,058
|
)
|
|
—
|
|
|||||
Due from brokers
|
—
|
|
|
—
|
|
|
228,793
|
|
|
—
|
|
|
228,793
|
|
|||||
Securities purchased under an agreement to sell
|
—
|
|
|
—
|
|
|
17,630
|
|
|
—
|
|
|
17,630
|
|
|||||
Derivative assets, at fair value
|
—
|
|
|
—
|
|
|
25,223
|
|
|
—
|
|
|
25,223
|
|
|||||
Interest and dividends receivable
|
—
|
|
|
—
|
|
|
5,902
|
|
|
—
|
|
|
5,902
|
|
|||||
Reinsurance balances receivable
|
—
|
|
|
—
|
|
|
250,154
|
|
|
—
|
|
|
250,154
|
|
|||||
Deferred acquisition costs, net
|
—
|
|
|
—
|
|
|
164,096
|
|
|
—
|
|
|
164,096
|
|
|||||
Loss and loss adjustment expenses recoverable
|
—
|
|
|
—
|
|
|
408
|
|
|
—
|
|
|
408
|
|
|||||
Amounts due from (to) affiliates
|
853
|
|
|
645
|
|
|
(1,498
|
)
|
|
—
|
|
|
—
|
|
|||||
Other assets
|
360
|
|
|
—
|
|
|
6,497
|
|
|
—
|
|
|
6,857
|
|
|||||
Total assets
|
$
|
1,507,928
|
|
|
$
|
274,579
|
|
|
$
|
3,484,133
|
|
|
$
|
(1,934,058
|
)
|
|
$
|
3,332,582
|
|
Liabilities and shareholders’ equity
|
|
|
|
|
|
|
|
|
|
||||||||||
Liabilities
|
|
|
|
|
|
|
|
|
|
||||||||||
Accounts payable and accrued expenses
|
$
|
1,347
|
|
|
$
|
1,257
|
|
|
$
|
6,188
|
|
|
$
|
—
|
|
|
$
|
8,792
|
|
Reinsurance balances payable
|
—
|
|
|
—
|
|
|
53,798
|
|
|
—
|
|
|
53,798
|
|
|||||
Deposit liabilities
|
—
|
|
|
—
|
|
|
146,719
|
|
|
—
|
|
|
146,719
|
|
|||||
Unearned premium reserves
|
—
|
|
|
—
|
|
|
508,014
|
|
|
—
|
|
|
508,014
|
|
|||||
Loss and loss adjustment expense reserves
|
—
|
|
|
—
|
|
|
273,937
|
|
|
—
|
|
|
273,937
|
|
|||||
Securities sold, not yet purchased, at fair value
|
—
|
|
|
—
|
|
|
104,857
|
|
|
—
|
|
|
104,857
|
|
|||||
Securities sold under an agreement to repurchase
|
—
|
|
|
—
|
|
|
61,939
|
|
|
—
|
|
|
61,939
|
|
|||||
Due to brokers
|
—
|
|
|
—
|
|
|
465,558
|
|
|
—
|
|
|
465,558
|
|
|||||
Derivative liabilities, at fair value
|
—
|
|
|
—
|
|
|
17,020
|
|
|
—
|
|
|
17,020
|
|
|||||
Performance fee payable to related party
|
—
|
|
|
—
|
|
|
15,844
|
|
|
—
|
|
|
15,844
|
|
|||||
Interest and dividends payable
|
—
|
|
|
1,015
|
|
|
602
|
|
|
—
|
|
|
1,617
|
|
|||||
Senior notes payable, net of deferred costs
|
—
|
|
|
113,315
|
|
|
—
|
|
|
—
|
|
|
113,315
|
|
|||||
Total liabilities
|
1,347
|
|
|
115,587
|
|
|
1,654,476
|
|
|
—
|
|
|
1,771,410
|
|
|||||
Shareholders’ equity
|
|
|
|
|
|
|
|
|
|
||||||||||
Common shares
|
10,517
|
|
|
—
|
|
|
1,250
|
|
|
(1,250
|
)
|
|
10,517
|
|
|||||
Additional paid-in capital
|
1,069,617
|
|
|
158,400
|
|
|
1,501,130
|
|
|
(1,659,530
|
)
|
|
1,069,617
|
|
|||||
Retained earnings
|
426,447
|
|
|
592
|
|
|
272,686
|
|
|
(273,278
|
)
|
|
426,447
|
|
|||||
Shareholders’ equity attributable to shareholders
|
1,506,581
|
|
|
158,992
|
|
|
1,775,066
|
|
|
(1,934,058
|
)
|
|
1,506,581
|
|
|||||
Non-controlling interests
|
—
|
|
|
—
|
|
|
54,591
|
|
|
—
|
|
|
54,591
|
|
|||||
Total shareholders’ equity
|
1,506,581
|
|
|
158,992
|
|
|
1,829,657
|
|
|
(1,934,058
|
)
|
|
1,561,172
|
|
|||||
Total liabilities and shareholders’ equity
|
$
|
1,507,928
|
|
|
$
|
274,579
|
|
|
$
|
3,484,133
|
|
|
$
|
(1,934,058
|
)
|
|
$
|
3,332,582
|
|
THIRD POINT REINSURANCE LTD.
|
|||||||||||||||||||
CONDENSED CONSOLIDATING BALANCE SHEET
|
|||||||||||||||||||
(UNAUDITED)
|
|||||||||||||||||||
As of December 31, 2014
|
|||||||||||||||||||
(expressed in thousands of U.S. dollars)
|
|||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
||||||||||
|
Third Point Reinsurance Ltd.
|
|
TPRUSA
|
|
Non-Guarantor Subsidiaries
|
|
Eliminations
|
|
Consolidated
|
||||||||||
Assets
|
|
|
|
|
|
|
|
|
|
||||||||||
Equity securities
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
1,177,796
|
|
|
$
|
—
|
|
|
$
|
1,177,796
|
|
Debt securities
|
—
|
|
|
—
|
|
|
569,648
|
|
|
—
|
|
|
569,648
|
|
|||||
Other investments
|
—
|
|
|
—
|
|
|
83,394
|
|
|
—
|
|
|
83,394
|
|
|||||
Total investments in securities and commodities
|
—
|
|
|
—
|
|
|
1,830,838
|
|
|
—
|
|
|
1,830,838
|
|
|||||
Cash and cash equivalents
|
140
|
|
|
—
|
|
|
28,594
|
|
|
—
|
|
|
28,734
|
|
|||||
Restricted cash and cash equivalents
|
—
|
|
|
—
|
|
|
417,307
|
|
|
—
|
|
|
417,307
|
|
|||||
Investment in subsidiaries
|
1,451,060
|
|
|
—
|
|
|
|
|
(1,451,060
|
)
|
|
—
|
|
||||||
Due from brokers
|
—
|
|
|
—
|
|
|
58,241
|
|
|
—
|
|
|
58,241
|
|
|||||
Securities purchased under an agreement to sell
|
—
|
|
|
—
|
|
|
29,852
|
|
|
—
|
|
|
29,852
|
|
|||||
Derivative assets, at fair value
|
—
|
|
|
—
|
|
|
21,130
|
|
|
—
|
|
|
21,130
|
|
|||||
Interest and dividends receivable
|
—
|
|
|
—
|
|
|
2,602
|
|
|
—
|
|
|
2,602
|
|
|||||
Reinsurance balances receivable
|
—
|
|
|
—
|
|
|
303,649
|
|
|
—
|
|
|
303,649
|
|
|||||
Deferred acquisition costs, net
|
—
|
|
|
—
|
|
|
155,901
|
|
|
—
|
|
|
155,901
|
|
|||||
Loss and loss adjustment expenses recoverable
|
—
|
|
|
—
|
|
|
814
|
|
|
—
|
|
|
814
|
|
|||||
Other assets
|
600
|
|
|
666
|
|
|
2,246
|
|
|
—
|
|
|
3,512
|
|
|||||
Amounts due from affiliates
|
1,339
|
|
|
(403
|
)
|
|
(936
|
)
|
|
—
|
|
|
—
|
|
|||||
Total assets
|
$
|
1,453,139
|
|
|
$
|
263
|
|
|
$
|
2,850,238
|
|
|
$
|
(1,451,060
|
)
|
|
$
|
2,852,580
|
|
Liabilities and shareholders’ equity
|
|
|
|
|
|
|
|
|
|
||||||||||
Liabilities
|
|
|
|
|
|
|
|
|
|
||||||||||
Accounts payable and accrued expenses
|
$
|
1,226
|
|
|
$
|
518
|
|
|
$
|
8,341
|
|
|
$
|
—
|
|
|
$
|
10,085
|
|
Reinsurance balances payable
|
—
|
|
|
—
|
|
|
27,040
|
|
|
—
|
|
|
27,040
|
|
|||||
Deposit liabilities
|
—
|
|
|
—
|
|
|
145,430
|
|
|
—
|
|
|
145,430
|
|
|||||
Unearned premium reserves
|
—
|
|
|
—
|
|
|
433,809
|
|
|
—
|
|
|
433,809
|
|
|||||
Loss and loss adjustment expense reserves
|
—
|
|
|
—
|
|
|
277,362
|
|
|
—
|
|
|
277,362
|
|
|||||
Securities sold, not yet purchased, at fair value
|
—
|
|
|
—
|
|
|
82,485
|
|
|
—
|
|
|
82,485
|
|
|||||
Due to brokers
|
—
|
|
|
—
|
|
|
312,609
|
|
|
—
|
|
|
312,609
|
|
|||||
Derivative liabilities, at fair value
|
—
|
|
|
—
|
|
|
11,015
|
|
|
—
|
|
|
11,015
|
|
|||||
Interest and dividends payable
|
—
|
|
|
—
|
|
|
697
|
|
|
—
|
|
|
697
|
|
|||||
Total liabilities
|
1,226
|
|
|
518
|
|
|
1,298,788
|
|
|
—
|
|
|
1,300,532
|
|
|||||
Shareholders’ equity
|
|
|
|
|
|
|
|
|
|
||||||||||
Common shares
|
10,447
|
|
|
—
|
|
|
1,251
|
|
|
(1,251
|
)
|
|
10,447
|
|
|||||
Additional paid-in capital
|
1,065,489
|
|
|
—
|
|
|
1,072,671
|
|
|
(1,072,671
|
)
|
|
1,065,489
|
|
|||||
Retained earnings
|
375,977
|
|
|
(255
|
)
|
|
377,393
|
|
|
(377,138
|
)
|
|
375,977
|
|
|||||
Shareholders’ equity attributable to shareholders
|
1,451,913
|
|
|
(255
|
)
|
|
1,451,315
|
|
|
(1,451,060
|
)
|
|
1,451,913
|
|
|||||
Non-controlling interests
|
—
|
|
|
—
|
|
|
100,135
|
|
|
—
|
|
|
100,135
|
|
|||||
Total shareholders’ equity
|
1,451,913
|
|
|
(255
|
)
|
|
1,551,450
|
|
|
(1,451,060
|
)
|
|
1,552,048
|
|
|||||
Total liabilities and shareholders’ equity
|
$
|
1,453,139
|
|
|
$
|
263
|
|
|
$
|
2,850,238
|
|
|
$
|
(1,451,060
|
)
|
|
$
|
2,852,580
|
|
THIRD POINT REINSURANCE LTD.
|
|||||||||||||||||||
CONDENSED CONSOLIDATING STATEMENT OF INCOME
|
|||||||||||||||||||
(UNAUDITED)
|
|||||||||||||||||||
For the three months ended March 31, 2015
|
|||||||||||||||||||
(expressed in thousands of U.S. dollars)
|
|||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
||||||||||
|
Third Point Reinsurance Ltd.
|
|
TPRUSA
|
|
Non-Guarantor Subsidiaries
|
|
Eliminations
|
|
Consolidated
|
||||||||||
Revenues
|
|
|
|
|
|
|
|
|
|
||||||||||
Gross premiums written
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
213,334
|
|
|
$
|
—
|
|
|
$
|
213,334
|
|
Gross premiums ceded
|
—
|
|
|
—
|
|
|
(52
|
)
|
|
—
|
|
|
(52
|
)
|
|||||
Net premiums written
|
—
|
|
|
—
|
|
|
213,282
|
|
|
—
|
|
|
213,282
|
|
|||||
Change in net unearned premium reserves
|
—
|
|
|
—
|
|
|
(74,207
|
)
|
|
—
|
|
|
(74,207
|
)
|
|||||
Net premiums earned
|
—
|
|
|
—
|
|
|
139,075
|
|
|
—
|
|
|
139,075
|
|
|||||
Net investment income
|
—
|
|
|
|
|
|
64,918
|
|
|
—
|
|
|
64,918
|
|
|||||
Equity in earnings of subsidiaries
|
51,722
|
|
|
2,443
|
|
|
(25
|
)
|
|
(54,140
|
)
|
|
—
|
|
|||||
Total revenues
|
51,722
|
|
|
2,443
|
|
|
203,968
|
|
|
(54,140
|
)
|
|
203,993
|
|
|||||
Expenses
|
|
|
|
|
|
|
|
|
—
|
|
|||||||||
Loss and loss adjustment expenses incurred, net
|
—
|
|
|
—
|
|
|
81,746
|
|
|
—
|
|
|
81,746
|
|
|||||
Acquisition costs, net
|
—
|
|
|
—
|
|
|
54,657
|
|
|
—
|
|
|
54,657
|
|
|||||
General and administrative expenses
|
1,252
|
|
|
85
|
|
|
10,371
|
|
|
—
|
|
|
11,708
|
|
|||||
Other expenses
|
—
|
|
|
—
|
|
|
2,701
|
|
|
—
|
|
|
2,701
|
|
|||||
Interest expense
|
—
|
|
|
1,036
|
|
|
—
|
|
|
—
|
|
|
1,036
|
|
|||||
Foreign exchange gains
|
—
|
|
|
—
|
|
|
(193
|
)
|
|
—
|
|
|
(193
|
)
|
|||||
Total expenses
|
1,252
|
|
|
1,121
|
|
|
149,282
|
|
|
—
|
|
|
151,655
|
|
|||||
Income before income tax expense
|
50,470
|
|
|
1,322
|
|
|
54,686
|
|
|
(54,140
|
)
|
|
52,338
|
|
|||||
Income tax expense
|
—
|
|
|
(475
|
)
|
|
(830
|
)
|
|
—
|
|
|
(1,305
|
)
|
|||||
Income including non-controlling interests
|
50,470
|
|
|
847
|
|
|
53,856
|
|
|
(54,140
|
)
|
|
51,033
|
|
|||||
Income attributable to non-controlling interests
|
—
|
|
|
—
|
|
|
(563
|
)
|
|
—
|
|
|
(563
|
)
|
|||||
Net income
|
$
|
50,470
|
|
|
$
|
847
|
|
|
$
|
53,293
|
|
|
$
|
(54,140
|
)
|
|
$
|
50,470
|
|
THIRD POINT REINSURANCE LTD.
|
|||||||||||||||||||
CONDENSED CONSOLIDATING STATEMENT OF INCOME
|
|||||||||||||||||||
(UNAUDITED)
|
|||||||||||||||||||
For the three months ended March 31, 2014
|
|||||||||||||||||||
(expressed in thousands of U.S. dollars)
|
|||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
||||||||||
|
Third Point Reinsurance Ltd.
|
|
TPRUSA
|
|
Non-Guarantor Subsidiaries
|
|
Eliminations
|
|
Consolidated
|
||||||||||
Revenues
|
|
|
|
|
|
|
|
|
|
||||||||||
Gross premiums written
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
87,587
|
|
|
$
|
—
|
|
|
$
|
87,587
|
|
Gross premiums ceded
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
Net premiums written
|
—
|
|
|
—
|
|
|
87,587
|
|
|
—
|
|
|
87,587
|
|
|||||
Change in net unearned premium reserves
|
—
|
|
|
—
|
|
|
(14,325
|
)
|
|
—
|
|
|
(14,325
|
)
|
|||||
Net premiums earned
|
—
|
|
|
—
|
|
|
73,262
|
|
|
—
|
|
|
73,262
|
|
|||||
Net investment income
|
—
|
|
|
—
|
|
|
50,035
|
|
|
—
|
|
|
50,035
|
|
|||||
Equity in earnings of subsidiaries
|
41,007
|
|
|
—
|
|
|
—
|
|
|
(41,007
|
)
|
|
—
|
|
|||||
Total revenues
|
41,007
|
|
|
—
|
|
|
123,297
|
|
|
(41,007
|
)
|
|
123,297
|
|
|||||
Expenses
|
|
|
|
|
|
|
|
|
|
||||||||||
Loss and loss adjustment expenses incurred, net
|
—
|
|
|
—
|
|
|
46,259
|
|
|
—
|
|
|
46,259
|
|
|||||
Acquisition costs, net
|
—
|
|
|
—
|
|
|
25,431
|
|
|
—
|
|
|
25,431
|
|
|||||
General and administrative expenses
|
1,228
|
|
|
—
|
|
|
8,797
|
|
|
—
|
|
|
10,025
|
|
|||||
Other expenses
|
—
|
|
|
—
|
|
|
787
|
|
|
—
|
|
|
787
|
|
|||||
Total expenses
|
1,228
|
|
|
—
|
|
|
81,274
|
|
|
—
|
|
|
82,502
|
|
|||||
Income including non-controlling interests
|
39,779
|
|
|
—
|
|
|
42,023
|
|
|
(41,007
|
)
|
|
40,795
|
|
|||||
Income attributable to non-controlling interests
|
—
|
|
|
—
|
|
|
(1,016
|
)
|
|
—
|
|
|
(1,016
|
)
|
|||||
Net income
|
$
|
39,779
|
|
|
$
|
—
|
|
|
$
|
41,007
|
|
|
$
|
(41,007
|
)
|
|
$
|
39,779
|
|
THIRD POINT REINSURANCE LTD.
|
|||||||||||||||||||
CONDENSED CONSOLIDATING STATEMENT OF CASH FLOWS
|
|||||||||||||||||||
(UNAUDITED)
|
|||||||||||||||||||
For the three months ended March 31, 2015
|
|||||||||||||||||||
(expressed in thousands of U.S. dollars)
|
|||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
||||||||||
|
Third Point Reinsurance Ltd.
|
|
TPRUSA
|
|
Non-Guarantor Subsidiaries
|
|
Eliminations
|
|
Consolidated
|
||||||||||
Operating activities
|
|
|
|
|
|
|
|
|
|
||||||||||
Income including non-controlling interests
|
$
|
50,470
|
|
|
$
|
847
|
|
|
$
|
53,856
|
|
|
$
|
(54,140
|
)
|
|
$
|
51,033
|
|
Adjustments to reconcile income including non-controlling interests to net cash provided by (used in) operating activities
|
|
|
|
|
|
|
|
|
|
||||||||||
Equity in earnings of subsidiaries
|
(51,722
|
)
|
|
(2,443
|
)
|
|
25
|
|
|
54,140
|
|
|
—
|
|
|||||
Share compensation expense
|
—
|
|
|
—
|
|
|
3,083
|
|
|
—
|
|
|
3,083
|
|
|||||
Interest expense on deposit liabilities
|
—
|
|
|
—
|
|
|
631
|
|
|
—
|
|
|
631
|
|
|||||
Net unrealized gain on investments and derivatives
|
—
|
|
|
—
|
|
|
(36,340
|
)
|
|
—
|
|
|
(36,340
|
)
|
|||||
Net realized gain on investments and derivatives
|
—
|
|
|
—
|
|
|
(53,283
|
)
|
|
—
|
|
|
(53,283
|
)
|
|||||
Foreign exchange gains included in net income
|
—
|
|
|
—
|
|
|
(193
|
)
|
|
—
|
|
|
(193
|
)
|
|||||
Amortization of premium and accretion of discount, net
|
—
|
|
|
21
|
|
|
1,652
|
|
|
—
|
|
|
1,673
|
|
|||||
Changes in assets and liabilities:
|
|
|
|
|
|
|
|
|
|
||||||||||
Reinsurance balances receivable
|
—
|
|
|
—
|
|
|
53,170
|
|
|
—
|
|
|
53,170
|
|
|||||
Deferred acquisition costs, net
|
—
|
|
|
—
|
|
|
(8,195
|
)
|
|
—
|
|
|
(8,195
|
)
|
|||||
Loss and loss adjustment expenses recoverable
|
—
|
|
|
—
|
|
|
406
|
|
|
—
|
|
|
406
|
|
|||||
Other assets
|
242
|
|
|
666
|
|
|
(4,253
|
)
|
|
—
|
|
|
(3,345
|
)
|
|||||
Interest and dividends receivable, net
|
—
|
|
|
1,015
|
|
|
(3,395
|
)
|
|
—
|
|
|
(2,380
|
)
|
|||||
Unearned premium reserves
|
—
|
|
|
—
|
|
|
74,205
|
|
|
—
|
|
|
74,205
|
|
|||||
Loss and loss adjustment expense reserves
|
—
|
|
|
—
|
|
|
(2,907
|
)
|
|
—
|
|
|
(2,907
|
)
|
|||||
Accounts payable and accrued expenses
|
122
|
|
|
7
|
|
|
(2,153
|
)
|
|
—
|
|
|
(2,024
|
)
|
|||||
Reinsurance balances payable
|
—
|
|
|
—
|
|
|
26,638
|
|
|
—
|
|
|
26,638
|
|
|||||
Performance fees payable to related party
|
—
|
|
|
—
|
|
|
15,844
|
|
|
—
|
|
|
15,844
|
|
|||||
Amounts due from affiliates
|
486
|
|
|
(1,048
|
)
|
|
562
|
|
|
—
|
|
|
—
|
|
|||||
Net cash (used in) provided by operating activities
|
(402
|
)
|
|
(935
|
)
|
|
119,353
|
|
|
—
|
|
|
118,016
|
|
|||||
Investing activities
|
|
|
|
|
|
|
|
|
|
||||||||||
Purchases of investments
|
—
|
|
|
—
|
|
|
(875,871
|
)
|
|
—
|
|
|
(875,871
|
)
|
|||||
Proceeds from sales of investments
|
—
|
|
|
—
|
|
|
747,492
|
|
|
—
|
|
|
747,492
|
|
|||||
Purchases of investments to cover short sales
|
—
|
|
|
—
|
|
|
(116,867
|
)
|
|
—
|
|
|
(116,867
|
)
|
|||||
Proceeds from short sales of investments
|
—
|
|
|
—
|
|
|
150,942
|
|
|
—
|
|
|
150,942
|
|
|||||
Change in due to/from brokers, net
|
—
|
|
|
—
|
|
|
(17,603
|
)
|
|
—
|
|
|
(17,603
|
)
|
|||||
Decrease in securities purchased under an agreement to sell
|
—
|
|
|
—
|
|
|
12,222
|
|
|
—
|
|
|
12,222
|
|
|||||
Increase in securities sold under an agreement to repurchase
|
—
|
|
|
—
|
|
|
61,939
|
|
|
—
|
|
|
61,939
|
|
|||||
Change in restricted cash and cash equivalents
|
—
|
|
|
—
|
|
|
(166,167
|
)
|
|
—
|
|
|
(166,167
|
)
|
|||||
Contributed capital to subsidiaries
|
(158,000
|
)
|
|
(266,975
|
)
|
|
(25
|
)
|
|
425,000
|
|
|
—
|
|
|||||
Contributed capital from parent and/or subsidiaries
|
—
|
|
|
158,000
|
|
|
267,000
|
|
|
(425,000
|
)
|
|
—
|
|
|||||
Net cash used in investing activities
|
(158,000
|
)
|
|
(108,975
|
)
|
|
63,062
|
|
|
—
|
|
|
(203,913
|
)
|
|||||
Financing activities
|
|
|
|
|
|
|
|
|
|
||||||||||
Proceeds from issuance of common shares, net of costs
|
1,115
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1,115
|
|
|||||
Proceeds from issuance of senior notes payable
|
—
|
|
|
114,025
|
|
|
—
|
|
|
—
|
|
|
114,025
|
|
|||||
Increase in deposit liabilities
|
—
|
|
|
—
|
|
|
478
|
|
|
—
|
|
|
478
|
|
|||||
Non-controlling interest in investment affiliate, net
|
—
|
|
|
—
|
|
|
(24,999
|
)
|
|
—
|
|
|
(24,999
|
)
|
|||||
Non-controlling interest in Catastrophe Fund
|
—
|
|
|
—
|
|
|
(21,400
|
)
|
|
—
|
|
|
(21,400
|
)
|
|||||
Non-controlling interest in Catastrophe Manager
|
—
|
|
|
—
|
|
|
292
|
|
|
—
|
|
|
292
|
|
|||||
Dividend received by (paid to) parent
|
158,000
|
|
|
—
|
|
|
(158,000
|
)
|
|
—
|
|
|
—
|
|
|||||
Net cash provided by financing activities
|
159,115
|
|
|
114,025
|
|
|
(203,629
|
)
|
|
—
|
|
|
69,511
|
|
|||||
Net (decrease) increase in cash and cash equivalents
|
713
|
|
|
4,115
|
|
|
(21,214
|
)
|
|
—
|
|
|
(16,386
|
)
|
|||||
Cash and cash equivalents at beginning of period
|
140
|
|
|
—
|
|
|
28,594
|
|
|
—
|
|
|
28,734
|
|
|||||
Cash and cash equivalents at end of period
|
$
|
853
|
|
|
$
|
4,115
|
|
|
$
|
7,380
|
|
|
$
|
—
|
|
|
$
|
12,348
|
|
THIRD POINT REINSURANCE LTD.
|
|||||||||||||||||||
CONDENSED CONSOLIDATING STATEMENT OF CASH FLOWS
|
|||||||||||||||||||
(UNAUDITED)
|
|||||||||||||||||||
For the three months ended March 31, 2014
|
|||||||||||||||||||
(expressed in thousands of U.S. dollars)
|
|||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
||||||||||
|
Third Point Reinsurance Ltd.
|
|
TPRUSA
|
|
Non-Guarantor Subsidiaries
|
|
Eliminations
|
|
Consolidated
|
||||||||||
Operating activities
|
|
|
|
|
|
|
|
|
|
||||||||||
Income including non-controlling interests
|
$
|
39,779
|
|
|
$
|
—
|
|
|
$
|
42,023
|
|
|
$
|
(41,007
|
)
|
|
$
|
40,795
|
|
Adjustments to reconcile income including non-controlling interests to net cash provided by operating activities
|
|
|
|
|
|
|
|
|
|
||||||||||
Equity in earnings of subsidiaries
|
(41,007
|
)
|
|
—
|
|
|
—
|
|
|
41,007
|
|
|
—
|
|
|||||
Share compensation expense
|
124
|
|
|
—
|
|
|
2,128
|
|
|
—
|
|
|
2,252
|
|
|||||
Interest expense on deposit liabilities
|
—
|
|
|
—
|
|
|
448
|
|
|
—
|
|
|
448
|
|
|||||
Net unrealized gain on investments and derivatives
|
—
|
|
|
—
|
|
|
16,334
|
|
|
—
|
|
|
16,334
|
|
|||||
Net realized gain on investments and derivatives
|
—
|
|
|
—
|
|
|
(84,752
|
)
|
|
—
|
|
|
(84,752
|
)
|
|||||
Amortization of premium and accretion of discount, net
|
—
|
|
|
—
|
|
|
364
|
|
|
—
|
|
|
364
|
|
|||||
Changes in assets and liabilities:
|
|
|
|
|
|
|
|
|
|
||||||||||
Reinsurance balances receivable
|
—
|
|
|
—
|
|
|
(29,778
|
)
|
|
—
|
|
|
(29,778
|
)
|
|||||
Deferred acquisition costs, net
|
—
|
|
|
—
|
|
|
(2,090
|
)
|
|
—
|
|
|
(2,090
|
)
|
|||||
Loss and loss adjustment expenses recoverable
|
—
|
|
|
—
|
|
|
(1,000
|
)
|
|
—
|
|
|
(1,000
|
)
|
|||||
Other assets
|
346
|
|
|
—
|
|
|
102
|
|
|
—
|
|
|
448
|
|
|||||
Interest and dividends receivable, net
|
—
|
|
|
—
|
|
|
(2,547
|
)
|
|
—
|
|
|
(2,547
|
)
|
|||||
Unearned premium reserves
|
—
|
|
|
—
|
|
|
14,325
|
|
|
—
|
|
|
14,325
|
|
|||||
Loss and loss adjustment expense reserves
|
—
|
|
|
—
|
|
|
30,293
|
|
|
—
|
|
|
30,293
|
|
|||||
Accounts payable and accrued expenses
|
580
|
|
|
—
|
|
|
(6,297
|
)
|
|
—
|
|
|
(5,717
|
)
|
|||||
Reinsurance balances payable
|
—
|
|
|
—
|
|
|
16,566
|
|
|
—
|
|
|
16,566
|
|
|||||
Performance fees payable to related party
|
—
|
|
|
—
|
|
|
12,295
|
|
|
—
|
|
|
12,295
|
|
|||||
Amounts due to affiliates
|
(108
|
)
|
|
—
|
|
|
108
|
|
|
—
|
|
|
—
|
|
|||||
Net cash (used in) provided by operating activities
|
(286
|
)
|
|
—
|
|
|
8,522
|
|
|
—
|
|
|
8,236
|
|
|||||
Investing activities
|
|
|
|
|
|
|
|
|
|
||||||||||
Purchases of investments
|
—
|
|
|
—
|
|
|
(797,308
|
)
|
|
—
|
|
|
(797,308
|
)
|
|||||
Proceeds from sales of investments
|
—
|
|
|
—
|
|
|
574,482
|
|
|
—
|
|
|
574,482
|
|
|||||
Purchases of investments to cover short sales
|
—
|
|
|
—
|
|
|
(67,779
|
)
|
|
—
|
|
|
(67,779
|
)
|
|||||
Proceeds from short sales of investments
|
—
|
|
|
—
|
|
|
74,577
|
|
|
—
|
|
|
74,577
|
|
|||||
Change in due to/from brokers, net
|
—
|
|
|
—
|
|
|
285,175
|
|
|
—
|
|
|
285,175
|
|
|||||
Increase in securities purchased under agreement to sell
|
—
|
|
|
—
|
|
|
1,369
|
|
|
—
|
|
|
1,369
|
|
|||||
Change in restricted cash and cash equivalents
|
—
|
|
|
—
|
|
|
(27,467
|
)
|
|
—
|
|
|
(27,467
|
)
|
|||||
Net cash provided by investing activities
|
—
|
|
|
—
|
|
|
43,049
|
|
|
—
|
|
|
43,049
|
|
|||||
Financing activities
|
|
|
|
|
|
|
|
|
|
||||||||||
Increase in deposit liabilities
|
—
|
|
|
—
|
|
|
(100
|
)
|
|
—
|
|
|
(100
|
)
|
|||||
Non-controlling interest in investment affiliate, net
|
—
|
|
|
—
|
|
|
(51,001
|
)
|
|
—
|
|
|
(51,001
|
)
|
|||||
Non-controlling interest in Catastrophe Fund
|
—
|
|
|
—
|
|
|
2,129
|
|
|
—
|
|
|
2,129
|
|
|||||
Net cash provided by financing activities
|
—
|
|
|
—
|
|
|
(48,972
|
)
|
|
—
|
|
|
(48,972
|
)
|
|||||
Net (decrease) increase in cash and cash equivalents
|
(286
|
)
|
|
—
|
|
|
2,599
|
|
|
—
|
|
|
2,313
|
|
|||||
Cash and cash equivalents at beginning of period
|
294
|
|
|
—
|
|
|
31,331
|
|
|
—
|
|
|
31,625
|
|
|||||
Cash and cash equivalents at end of period
|
$
|
8
|
|
|
$
|
—
|
|
|
$
|
33,930
|
|
|
$
|
—
|
|
|
$
|
33,938
|
|
•
|
limited historical information about us;
|
•
|
operational structure currently is being developed;
|
•
|
fluctuation in results of operations;
|
•
|
more established competitors;
|
•
|
losses exceeding reserves;
|
•
|
downgrades or withdrawal of ratings by rating agencies;
|
•
|
dependence on key executives;
|
•
|
dependence on letter of credit facilities that may not be available on commercially acceptable terms;
|
•
|
potential inability to pay dividends;
|
•
|
inability to service our indebtedness;
|
•
|
limited cash flow and liquidity due to our indebtedness;
|
•
|
unavailability of capital in the future;
|
•
|
fluctuations in market price of our common shares;
|
•
|
dependence on clients’ evaluations of risks associated with such clients’ insurance underwriting;
|
•
|
suspension or revocation of our reinsurance license;
|
•
|
potentially being deemed an investment company under U.S. federal securities law;
|
•
|
potential characterization of Third Point Reinsurance Ltd. and/or Third Point Reinsurance Company Ltd. as a passive foreign investment company;
|
•
|
dependence on Third Point LLC to implement our investment strategy;
|
•
|
termination by Third Point LLC of our investment management agreement;
|
•
|
risks associated with our investment strategy being greater than those faced by competitors;
|
•
|
increased regulation or scrutiny of alternative investment advisers affecting our reputation;
|
•
|
potentially becoming subject to United States federal income taxation;
|
•
|
potentially becoming subject to U.S. withholding and information reporting requirements under the Foreign Account Tax Compliance Act; and
|
•
|
other risks and factors listed under “Risk Factors” in our most recent Annual Report on Form 10-K and other periodic reports filed with the Securities and Exchange Commission.
|
(1)
|
See
Note 22
to the accompanying condensed consolidated financial statements for an explanation and calculation of net underwriting loss and combined ratio.
|
(2)
|
Book value per share and diluted book value per share are non-GAAP financial measures. See reconciliation below for calculation of book value per share and diluted book value per share.
|
(3)
|
Return on beginning shareholders’ equity is a non-GAAP financial measure. See reconciliation below for calculation of return on beginning shareholders’ equity.
|
(4)
|
Prior year comparative represents amounts as of December 31, 2014.
|
|
|
|
|
|
||||
|
|
2015
|
|
2014
|
||||
|
($ in thousands)
|
|||||||
Net investment income on float
|
|
$
|
18,575
|
|
|
$
|
7,313
|
|
Net investment income on capital
|
|
46,274
|
|
|
42,693
|
|
||
Net investment income on investments managed by Third Point LLC
|
|
64,849
|
|
|
50,006
|
|
||
Net investment income on cash collateral held by the Catastrophe Reinsurer
|
|
15
|
|
|
29
|
|
||
Net gain on catastrophe bond held by the Catastrophe Reinsurer
|
|
10
|
|
|
—
|
|
||
Net gain on investment in Kiskadee Fund (1)
|
|
44
|
|
|
—
|
|
||
|
|
$
|
64,918
|
|
|
$
|
50,035
|
|
(1)
|
On December 18, 2014, we entered into a subscription agreement with the Kiskadee Diversified Fund Ltd. (“Kiskadee Fund”) to invest up to $25.0 million in Hiscox Insurance Company (Bermuda) Limited’s separately managed insurance-linked securities platform, Kiskadee Re Ltd.
|
|
|
2015
|
|
2014
|
||||
|
($ in thousands)
|
|||||||
Net income
|
|
$
|
50,470
|
|
|
$
|
39,779
|
|
Shareholders’ equity attributable to shareholders - beginning of period
|
|
1,451,913
|
|
|
1,391,661
|
|
||
Return on beginning shareholders’ equity
|
|
3.5
|
%
|
|
2.9
|
%
|
|
March 31, 2015
|
|
December 31, 2014
|
||||
Basic and diluted book value per share numerator:
|
(In thousands, except share and per share amounts)
|
||||||
Total shareholders’ equity
|
$
|
1,561,172
|
|
|
$
|
1,552,048
|
|
Less: non-controlling interests
|
(54,591
|
)
|
|
(100,135
|
)
|
||
Shareholders’ equity attributable to shareholders
|
1,506,581
|
|
|
1,451,913
|
|
||
Effect of dilutive warrants issued to Founders and an advisor
|
46,512
|
|
|
46,512
|
|
||
Effect of dilutive share options issued to directors and employees
|
60,589
|
|
|
61,705
|
|
||
Diluted book value per share numerator:
|
$
|
1,613,682
|
|
|
$
|
1,560,130
|
|
Basic and diluted book value per share denominator:
|
|
||||||
Issued and outstanding shares
|
103,890,670
|
|
|
103,397,542
|
|
||
Effect of dilutive warrants issued to Founders and an advisor
|
4,651,163
|
|
|
4,651,163
|
|
||
Effect of dilutive share options issued to directors and employees
|
6,040,275
|
|
|
6,151,903
|
|
||
Effect of dilutive restricted shares issued to directors and employees (1)
|
955,385
|
|
|
922,610
|
|
||
Diluted book value per share denominator:
|
115,537,493
|
|
|
115,123,218
|
|
||
|
|
|
|
||||
Basic book value per share
|
$
|
14.50
|
|
|
$
|
14.04
|
|
Diluted book value per share
|
$
|
13.97
|
|
|
$
|
13.55
|
|
(1)
|
As of
March 31, 2015
, the effect of dilutive restricted shares issued to directors and employees was comprised of
306,043
of restricted shares with a service condition only and 649,342 restricted shares with a service and performance condition that were considered probable of vesting.
|
•
|
premiums from property and casualty reinsurance business assumed; and
|
•
|
income from investments.
|
•
|
loss and loss adjustment expenses;
|
•
|
acquisition costs;
|
•
|
investment-related expenses;
|
•
|
general and administrative expenses;
|
•
|
interest expense; and
|
•
|
income taxes.
|
|
10% increase in ultimate loss and loss adjustment expenses
|
|
10% decrease in ultimate loss and loss adjustment expenses
|
||||
|
($ in thousands)
|
||||||
Impact on:
|
|
|
|
|
|
||
Loss and loss adjustment expense reserves, net
|
$
|
34,936
|
|
|
$
|
(34,877
|
)
|
Acquisition costs, net
|
(6,095
|
)
|
|
20,705
|
|
||
Decrease (increase) in net underwriting income
|
28,841
|
|
|
(14,172
|
)
|
||
Total shareholders’ equity
|
$
|
1,561,172
|
|
|
$
|
1,561,172
|
|
Increase (decrease) in shareholders’ equity
|
(1.8
|
)%
|
|
0.9
|
%
|
•
|
For the three months ended
March 31, 2015
, we recorded net investment income of
$64.9 million
, compared to
$50.0 million
for the three months ended
March 31, 2014
. The return on investments managed by Third Point LLC for the three months ended
March 31, 2015
and 2014 was
3.0%
and
3.1%
, respectively. The increase in net investment income was a result of higher average investments managed by Third Point LLC.
|
•
|
The net underwriting loss from our property and casualty reinsurance segment for the three months ended
March 31, 2015
and 2014 was
$3.9 million
and
$5.2 million
, respectively. The improvement in the net underwriting loss is due to a higher in-force book of business for 2015 and modest improvement in the composite ratio. The lower combined ratio is primarily due to a lower general and administrative expense ratio, which has decreased due to proportionately higher net premiums earned.
|
•
|
In the first quarter of 2015, we completed the initial capitalization of our U.S. subsidiaries and commenced underwriting in the U.S. As a result, our U.S. subsidiaries became subject to U.S. taxation. For the three months ended March 31, 2015, tax expense on our U.S. operations was
$0.5 million
compared to $nil for the three months ended March 31, 2014.
|
•
|
In February 2015, we issued $115.0 million of senior notes bearing 7.0% interest. As a result, our consolidated results of operations include interest expense of $1.0 million for the three months ended March 31, 2015 compared to $nil for the three months ended March 31, 2014.
|
|
|
|
|
||||||||||
|
2015
|
|
2014
|
||||||||||
|
($ in thousands)
|
||||||||||||
Property
|
$
|
21,456
|
|
|
10.1
|
%
|
|
$
|
6,881
|
|
|
8.4
|
%
|
Casualty
|
9,853
|
|
|
4.6
|
%
|
|
50,423
|
|
|
61.4
|
%
|
||
Specialty
|
182,074
|
|
|
85.3
|
%
|
|
24,838
|
|
|
30.2
|
%
|
||
|
$
|
213,383
|
|
|
100.0
|
%
|
|
$
|
82,142
|
|
|
100.0
|
%
|
•
|
We wrote $25.6 million of new business for the three months ended
March 31, 2015
, consisting of $18.1 million of new specialty business, $4.1 million of new casualty business and $3.4 million of new property business.
|
•
|
Changes in renewal premiums during the three months ended
March 31, 2015
resulted in increased premiums of $13.7 million primarily due to increases in participations and underlying premium volume on contracts that renewed in the quarter as well as one contract which renewed as a multi year contract that was written as a one year contract in the prior year period. Premiums can change on renewals of contracts for a number of factors, including: changes in our line size or participation, changes in the underlying premium volume of the client’s program and pricing trends as well as other contractual terms and conditions.
|
•
|
We recognized $130.8 million of premiums in the three months ended March 31, 2015 for three contracts which renewed in the first quarter of 2015 that did not have comparable premiums in the prior year period. Two of these contracts were written in the fourth quarter of 2014 but renewed in the three months ended March 31, 2015 and one was written for a multi-year period in 2013 and renewed in the current period.
|
•
|
Changes in premium estimates relating to prior years’ contracts were $27.6 million and $(1.0) million for the three months ended
March 31, 2015
and 2014, respectively. The changes in estimates for the three months ended March 31, 2015 were primarily due to one contract where the client expects to write more business than initially expected.
|
•
|
We recognized $46.6 million of premium in the three months ended March 31, 2014 that did not renew in the three months ended
March 31, 2015
, primarily due to one multi-year contract written in the prior year that was not subject to renewal in the comparable current year period.
|
•
|
During the three months ended March 31, 2015, two contracts were canceled and re-written, resulting in a net decrease in premium of $20.2 million.
|
•
|
The $6.1 million of favorable reserve development is offset by increases of $7.1 million in acquisition costs primarily as a result of changes in the estimated split of the composite ratio between loss and loss adjustment expenses incurred and acquisition costs for certain contracts that have sliding scale commissions and profit commissions that vary inversely with loss experience. The net impact as a result of changes in prior years’ reserves was a decrease in net underwriting income of $1.0 million for the three months ended March 31, 2015.
|
•
|
The $3.9 million increase in loss and loss adjustment expenses incurred related to the increase in premium estimates on certain contracts was accompanied by a $2.6 million increase in acquisition costs, for a total of $6.5 million increase in loss and loss adjustment expenses incurred and acquisition costs. The related increase in earned premium related to the increase in premium estimates was $6.5 million, resulting in an insignificant change in net underwriting loss for the three months ended March 31, 2015.
|
•
|
In total, the change in underwriting income for prior periods due to loss reserve development and adjustments to premium estimates was a decrease of $1.0 million for the three months ended March 31, 2015.
|
|
2015
|
|
2014
|
||
Long/short equities
|
1.0
|
%
|
|
0.8
|
%
|
Asset-backed securities
|
1.8
|
%
|
|
1.8
|
%
|
Corporate credit
|
0.3
|
%
|
|
0.8
|
%
|
Macro and other
|
(0.1
|
)%
|
|
(0.3
|
)%
|
|
3.0
|
%
|
|
3.1
|
%
|
|
|
|
|
||
S&P 500
|
1.0
|
%
|
|
1.8
|
%
|
|
2015
|
|
2014
|
||||
|
($ in thousands)
|
||||||
Income tax - U.S. subsidiaries
|
$
|
475
|
|
|
$
|
—
|
|
Income tax - U.K. subsidiaries
|
3
|
|
|
—
|
|
||
Withholding taxes on certain investment transactions
|
827
|
|
|
—
|
|
||
|
$
|
1,305
|
|
|
$
|
—
|
|
|
|
2015
|
|
2014
|
||||
|
|
($ in thousands)
|
||||||
Net cash provided by operating activities
|
|
$
|
118,016
|
|
|
$
|
8,236
|
|
Net cash (used in) provided by investing activities
|
|
(203,913
|
)
|
|
43,049
|
|
||
Net cash provided by (used in) financing activities
|
|
69,511
|
|
|
(48,972
|
)
|
||
Net (decrease) increase in cash and cash equivalents
|
|
(16,386
|
)
|
|
2,313
|
|
||
Cash and cash equivalents at beginning of period
|
|
28,734
|
|
|
31,625
|
|
||
Cash and cash equivalents at end of period
|
|
$
|
12,348
|
|
|
$
|
33,938
|
|
|
|
|
|
|
|
Facility
|
|
Utilized
|
|
Collateral
|
|
Renewal Date
|
||||||
March 31, 2015
|
($ in thousands)
|
|
|
||||||||||
BNP Paribas (1)
|
$
|
50,000
|
|
|
$
|
554
|
|
|
$
|
554
|
|
|
April 2, 2016
|
Citibank
|
250,000
|
|
|
231,653
|
|
|
231,653
|
|
|
January 23, 2016
|
|||
J.P. Morgan
|
50,000
|
|
|
50,000
|
|
|
50,500
|
|
|
August 22, 2015
|
|||
Lloyds Bank (2)
|
150,000
|
|
|
—
|
|
|
—
|
|
|
December 31, 2016 and 2018
|
|||
|
$
|
500,000
|
|
|
$
|
282,207
|
|
|
$
|
282,707
|
|
|
|
(1)
|
On April 2, 2015, Third Point Re USA entered into a letter of credit facility with BNP Paribas for $50.0 million.
|
(2)
|
On February 26, 2015, Third Point Re entered into a letter of credit facility with Lloyds Bank for
$150.0 million
. The facility consists of two separate sections of $75.0 million each, expiring on December 31, 2016 and December 31, 2018, respectively.
|
•
|
equity price risk;
|
•
|
foreign currency risk;
|
•
|
interest rate risk;
|
•
|
commodity price risk;
|
•
|
credit risk; and
|
•
|
political risk.
|
|
10% increase in U.S. dollar
|
|
10% decrease in U.S. dollar
|
||||||||||
March 31, 2015
|
Change in fair value
|
|
Change in fair value as % of investment portfolio
|
|
Change in fair value
|
|
Change in fair value as % of investment portfolio
|
||||||
|
($ in thousands)
|
||||||||||||
Euro
|
$
|
2,585
|
|
|
0.12
|
%
|
|
$
|
(2,585
|
)
|
|
(0.12
|
)%
|
Japanese Yen
|
(131
|
)
|
|
(0.01
|
)%
|
|
131
|
|
|
0.01
|
%
|
||
British Pound
|
69
|
|
|
—
|
%
|
|
(69
|
)
|
|
—
|
%
|
||
Other
|
5,534
|
|
|
0.25
|
%
|
|
(5,534
|
)
|
|
(0.25
|
)%
|
||
Total
|
$
|
8,057
|
|
|
0.36
|
%
|
|
$
|
(8,057
|
)
|
|
(0.36
|
)%
|
|
10% increase in U.S. dollar
|
|
10% decrease in U.S. dollar
|
||||||||||
December 31, 2014
|
Change in fair value
|
|
Change in fair value as % of investment portfolio
|
|
Change in fair value
|
|
Change in fair value as % of investment portfolio
|
||||||
|
($ in thousands)
|
||||||||||||
Euro
|
$
|
2,418
|
|
|
0.13
|
%
|
|
$
|
(2,418
|
)
|
|
(0.13
|
)%
|
Japanese Yen
|
322
|
|
|
0.02
|
%
|
|
(322
|
)
|
|
(0.02
|
)%
|
||
British Pound
|
25
|
|
|
—
|
%
|
|
(25
|
)
|
|
—
|
%
|
||
Other
|
3,335
|
|
|
0.18
|
%
|
|
(3,335
|
)
|
|
(0.18
|
)%
|
||
Total
|
$
|
6,100
|
|
|
0.33
|
%
|
|
$
|
(6,100
|
)
|
|
(0.33
|
)%
|
|
100 basis point increase in interest rates
|
|
100 basis point decrease in interest rates
|
||||||||||
March 31, 2015
|
Change in fair value
|
|
Change in fair value as % of investment portfolio
|
|
Change in fair value
|
|
Change in fair value as % of investment portfolio
|
||||||
|
($ in thousands)
|
||||||||||||
Corporate and Sovereign Debt Instruments
|
$
|
(15,648
|
)
|
|
(0.7
|
)%
|
|
$
|
17,429
|
|
|
0.8
|
%
|
Asset Backed Securities
(1)
|
(12,949
|
)
|
|
(0.6
|
)%
|
|
14,851
|
|
|
0.7
|
%
|
||
Net exposure to interest rate risk
|
$
|
(28,597
|
)
|
|
(1.3
|
)%
|
|
$
|
32,280
|
|
|
1.5
|
%
|
|
100 basis point increase in interest rates
|
|
100 basis point decrease in interest rates
|
||||||||||
December 31, 2014
|
Change in fair value
|
|
Change in fair value as % of investment portfolio
|
|
Change in fair value
|
|
Change in fair value as % of investment portfolio
|
||||||
|
($ in thousands)
|
||||||||||||
Corporate and Sovereign Debt Instruments
|
$
|
(10,486
|
)
|
|
(0.6
|
)%
|
|
$
|
11,836
|
|
|
0.6
|
%
|
Asset Backed Securities
(1)
|
(10,521
|
)
|
|
(0.6
|
)%
|
|
12,485
|
|
|
0.7
|
%
|
||
Net exposure to interest rate risk
|
$
|
(21,006
|
)
|
|
(1.2
|
)%
|
|
$
|
24,321
|
|
|
1.3
|
%
|
(1)
|
Includes instruments for which durations are available on
March 31, 2015
and
December 31, 2014
. Includes a convexity adjustment if convexity is available. Not included are mortgage hedges which would reduce the impact of rate changes.
|
4.9
|
Amended and Restated Founders Agreement, by and among Third Point Reinsurance Company Ltd., Third Point Reinsurance (USA) Ltd., KEP TP Bermuda Ltd., KIA TP Bermuda Ltd., Pine Brook LVR, L.P., P RE Opportunities Ltd. and Dowling Capital Partners I, L.P. dated as of February 25, 2015 (incorporated by reference to Exhibit 4.9 to the Company’s Annual Report on Form 10-K filed with the SEC on February 27, 2015)
|
4.10
|
Senior Indenture, dated as of February 13, 2015, among Third Point Re (USA) Holdings Inc., as issuer, Third Point Reinsurance Ltd., as guarantor, and The Bank of New York Mellon, as Trustee (incorporated by reference to Exhibit 4.1 to the Company’s Current Report on From 8-K filed with the SEC on February 13, 2015)
|
4.11
|
First Supplemental Indenture, dated as of February 13, 2015, among Third Point Re (USA) Holdings Inc., as issuer, Third Point Reinsurance Ltd., as guarantor, and The Bank of New York Mellon, as Trustee (incorporated by reference to Exhibit 4.2 to the Company’s Current Report on From 8-K filed with the SEC on February 13, 2015)
|
4.12
|
7.00% Senior Note due 2025 (incorporated by reference to Exhibit 4.3 to the Company’s Current Report on From 8-K filed with the SEC on February 13, 2015)
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10.1.1
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Joint Venture and Investment Management Agreement by and among Third Point Reinsurance (USA) Ltd., Third Point Advisors LLC and Third Point LLC, dated as of January 28, 2015 (incorporated by reference to Exhibit 10.1.1 to the Company’s Annual Report on Form 10-K filed with the SEC on February 27, 2015)
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10.2.2
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Amendment No. 2 to Employment Agreement between Third Point Reinsurance Ltd. and John R. Berger, dated as of March 1, 2015
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10.3.2
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Amendment No. 2 to Employment Agreement between Third Point Reinsurance Ltd. and J. Robert Bredahl, dated as of March 1, 2015
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10.4.1
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Amendment No. 1 to Employment Agreement between Third Point Reinsurance Ltd. and Daniel Victor Malloy III, dated as of April 1, 2015
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10.6.2
|
Form of Employee Restricted Share Award Agreement (incorporated by reference to Exhibit 10.1 to the Company’s Current Report on Form 8-K/A filed with the SEC on January 6, 2015)
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10.29
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Amended and Restated Director Compensation Policy dated May 5, 2015
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10.31
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Employment Agreement between Third Point Reinsurance (USA) Ltd. and Anthony Urban, dated as of March 1, 2015
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10.32.1
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Amendment No. 1 to Employment Agreement between Third Point Reinsurance Ltd. and Manoj K. Gupta, dated as of February 26, 2015
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31.1
|
Certification of Chief Executive Officer pursuant to Exchange Act Rules 13a-14(a) and 15d-14(a), as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002
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31.2
|
Certification of Chief Financial Officer pursuant to Exchange Act Rules 13a-14(a) and 15d-14(a), as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002
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32.1*
|
Certification of the Chief Executive Officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002
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32.2*
|
Certification of the Chief Financial Officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002
|
101.INS
|
XBRL Instance Document
|
101.SCH
|
XBRL Taxonomy Extension Schema Document
|
101.CAL
|
XBRL Taxonomy Extension Calculation Linkbase Document
|
101.LAB
|
XBRL Taxonomy Extension Labels Linkbase Document
|
101.PRE
|
XBRL Taxonomy Extension Presentation Linkbase Document
|
101.DEF
|
XBRL Taxonomy Extension Definition Linkbase Document
|
*
|
This certification accompanies the Form 10-Q to which it relates, is not deemed filed with the Securities and Exchange Commission and is not to be incorporated by reference into any filing of the Registrant under the Securities Act of 1933, as amended, or the Securities Exchange Act of 1934, as amended (whether made before or after the date of the Form 10-Q), irrespective of any general incorporation language contained in such filing.
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|
Third Point Reinsurance Ltd.
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Date: May 8, 2015
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|
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/s/ John R. Berger
|
|
John R. Berger
|
|
Chairman of the Board and Chief Executive Officer
|
|
(Principal Executive Officer)
|
|
|
|
/s/ Christopher S. Coleman
|
|
Christopher S. Coleman
|
|
Chief Financial Officer
|
|
(Principal Financial Officer and Principal Accounting Officer)
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|
|
|
|
1.
|
Director Compensation
.
|
2.
|
This policy may be amended, revised or terminated by the Board at any time and from time to time.
|
If to the Company:
|
Third Point Reinsurance (USA) Ltd.
Clarendon House, 2 Church Street |
1.
|
I have reviewed this Quarterly Report on Form 10-Q of Third Point Reinsurance Ltd.;
|
2.
|
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
|
3.
|
Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;
|
4.
|
The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:
|
(a)
|
Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
|
(b)
|
Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
|
(c)
|
Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and
|
(d)
|
Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
|
5.
|
The registrant’s other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):
|
(a)
|
All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and
|
(b)
|
Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.
|
/s/ John R. Berger
|
|
John R. Berger
|
|
Chairman of the Board and Chief Executive Officer
|
|
(Principal Executive Officer)
|
|
1.
|
I have reviewed this Quarterly Report on Form 10-Q of Third Point Reinsurance Ltd.;
|
2.
|
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
|
3.
|
Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;
|
4.
|
The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:
|
(a)
|
Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
|
(b)
|
Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
|
(c)
|
Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and
|
(d)
|
Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
|
5.
|
The registrant’s other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):
|
(a)
|
All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and
|
(b)
|
Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.
|
/s/ Christopher S. Coleman
|
|
Christopher S. Coleman
|
|
Chief Financial Officer
|
|
(Principal Financial and Accounting Officer)
|
|
(1)
|
the Quarterly Report on Form 10-Q of the Company for the fiscal period ended March 31, 2015 (the “Report”) fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and
|
(2)
|
the information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company.
|
/s/ John R. Berger
|
|
John R. Berger
|
|
Chairman of the Board and Chief Executive Officer
|
|
(Principal Executive Officer)
|
|
(1)
|
the Quarterly Report on Form 10-Q of the Company for the fiscal period ended March 31, 2015 (the “Report”) fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and
|
(2)
|
the information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company.
|
/s/ Christopher S. Coleman
|
|
Christopher S. Coleman
|
|
Chief Financial Officer
|
|
(Principal Financial and Accounting Officer)
|
|