x
|
QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d)
OF THE SECURITIES EXCHANGE ACT OF 1934
For the quarterly period ended June 30, 2016
|
¨
|
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
|
|
June 30,
2016 |
|
December 31,
2015 |
||||
Assets
|
|
|
|
||||
Equity securities, trading, at fair value (cost - $1,412,591; 2015 - $1,
156,369)
|
$
|
1,458,015
|
|
|
$
|
1,231,077
|
|
Debt securities, trading, at fair value (cost - $1,220,744; 2015 - $1,
049,652)
|
1,250,883
|
|
|
1,034,247
|
|
||
Other investments, at fair value
|
64,320
|
|
|
51,920
|
|
||
Total investments in securities
|
2,773,218
|
|
|
2,317,244
|
|
||
Cash and cash equivalents
|
7,038
|
|
|
20,407
|
|
||
Restricted cash and cash equivalents
|
280,069
|
|
|
330,915
|
|
||
Due from brokers
|
337,264
|
|
|
326,971
|
|
||
Derivative assets, at fair value
|
26,122
|
|
|
35,337
|
|
||
Interest and dividends receivable
|
7,492
|
|
|
10,687
|
|
||
Reinsurance balances receivable
|
429,358
|
|
|
294,313
|
|
||
Deferred acquisition costs, net
|
221,651
|
|
|
197,093
|
|
||
Other assets
|
14,159
|
|
|
12,141
|
|
||
Total assets
|
$
|
4,096,371
|
|
|
$
|
3,545,108
|
|
Liabilities and shareholders’ equity
|
|
|
|
||||
Liabilities
|
|
|
|
||||
Accounts payable and accrued expenses
|
$
|
9,878
|
|
|
$
|
11,966
|
|
Reinsurance balances payable
|
45,747
|
|
|
24,119
|
|
||
Deposit liabilities
|
88,817
|
|
|
83,955
|
|
||
Unearned premium reserves
|
655,397
|
|
|
531,710
|
|
||
Loss and loss adjustment expense reserves
|
536,955
|
|
|
466,047
|
|
||
Securities sold, not yet purchased, at fair value
|
262,748
|
|
|
314,353
|
|
||
Securities sold under an agreement to repurchase
|
168,356
|
|
|
8,944
|
|
||
Due to brokers
|
794,141
|
|
|
574,962
|
|
||
Derivative liabilities, at fair value
|
16,401
|
|
|
15,392
|
|
||
Performance fee payable to related party
|
2,954
|
|
|
—
|
|
||
Interest and dividends payable
|
4,517
|
|
|
4,400
|
|
||
Senior notes payable, net of deferred costs
|
113,465
|
|
|
113,377
|
|
||
Total liabilities
|
2,699,376
|
|
|
2,149,225
|
|
||
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, 106,285,663 (2015 - 105,479,341))
|
10,629
|
|
|
10,548
|
|
||
Treasury shares (644,768 shares (2015 - nil shares))
|
(7,389
|
)
|
|
—
|
|
||
Additional paid-in capital
|
1,086,258
|
|
|
1,080,591
|
|
||
Retained earnings
|
290,834
|
|
|
288,587
|
|
||
Shareholders’ equity attributable to shareholders
|
1,380,332
|
|
|
1,379,726
|
|
||
Non-controlling interests
|
16,663
|
|
|
16,157
|
|
||
Total shareholders’ equity
|
1,396,995
|
|
|
1,395,883
|
|
||
Total liabilities and shareholders’ equity
|
$
|
4,096,371
|
|
|
$
|
3,545,108
|
|
|
|
|
|
||||
The accompanying Notes to the Condensed Consolidated Financial Statements are
|
|||||||
an integral part of the Condensed Consolidated Financial Statements.
|
|
Three months ended
|
|
Six months ended
|
||||||||||||
|
June 30,
2016 |
|
June 30,
2015 |
|
June 30,
2016 |
|
June 30,
2015 |
||||||||
Revenues
|
|
|
|
|
|
|
|
||||||||
Gross premiums written
|
$
|
196,866
|
|
|
$
|
184,342
|
|
|
$
|
394,022
|
|
|
$
|
397,676
|
|
Gross premiums ceded
|
(1,425
|
)
|
|
(1,425
|
)
|
|
(1,425
|
)
|
|
(1,477
|
)
|
||||
Net premiums written
|
195,441
|
|
|
182,917
|
|
|
392,597
|
|
|
396,199
|
|
||||
Change in net unearned premium reserves
|
(62,319
|
)
|
|
(62,339
|
)
|
|
(122,673
|
)
|
|
(136,546
|
)
|
||||
Net premiums earned
|
133,122
|
|
|
120,578
|
|
|
269,924
|
|
|
259,653
|
|
||||
Net investment income
|
86,346
|
|
|
38,611
|
|
|
46,236
|
|
|
103,529
|
|
||||
Total revenues
|
219,468
|
|
|
159,189
|
|
|
316,160
|
|
|
363,182
|
|
||||
Expenses
|
|
|
|
|
|
|
|
||||||||
Loss and loss adjustment expenses incurred, net
|
104,131
|
|
|
76,053
|
|
|
188,807
|
|
|
157,799
|
|
||||
Acquisition costs, net
|
48,482
|
|
|
47,498
|
|
|
100,169
|
|
|
102,155
|
|
||||
General and administrative expenses
|
10,243
|
|
|
14,267
|
|
|
21,531
|
|
|
25,975
|
|
||||
Other expenses
|
3,173
|
|
|
2,315
|
|
|
5,879
|
|
|
5,016
|
|
||||
Interest expense
|
2,046
|
|
|
2,052
|
|
|
4,094
|
|
|
3,088
|
|
||||
Foreign exchange (gains) losses
|
(8,068
|
)
|
|
139
|
|
|
(10,454
|
)
|
|
(54
|
)
|
||||
Total expenses
|
160,007
|
|
|
142,324
|
|
|
310,026
|
|
|
293,979
|
|
||||
Income before income tax expense
|
59,461
|
|
|
16,865
|
|
|
6,134
|
|
|
69,203
|
|
||||
Income tax expense
|
(5,310
|
)
|
|
(708
|
)
|
|
(3,381
|
)
|
|
(2,013
|
)
|
||||
Income including non-controlling interests
|
54,151
|
|
|
16,157
|
|
|
2,753
|
|
|
67,190
|
|
||||
Income attributable to non-controlling interests
|
(775
|
)
|
|
(495
|
)
|
|
(506
|
)
|
|
(1,058
|
)
|
||||
Net income
|
$
|
53,376
|
|
|
$
|
15,662
|
|
|
$
|
2,247
|
|
|
$
|
66,132
|
|
Earnings per share
|
|
|
|
|
|
|
|
||||||||
Basic
|
$
|
0.51
|
|
|
$
|
0.15
|
|
|
$
|
0.02
|
|
|
$
|
0.63
|
|
Diluted
|
$
|
0.51
|
|
|
$
|
0.15
|
|
|
$
|
0.02
|
|
|
$
|
0.62
|
|
Weighted average number of ordinary shares used in the determination of earnings per share
|
|
|
|
|
|
|
|
||||||||
Basic
|
104,132,797
|
|
|
103,927,761
|
|
|
104,195,336
|
|
|
103,837,545
|
|
||||
Diluted
|
105,233,921
|
|
|
106,696,874
|
|
|
105,228,174
|
|
|
106,425,347
|
|
||||
|
|
|
|
|
|
|
|
||||||||
The accompanying Notes to the Condensed Consolidated Financial Statements are
|
|||||||||||||||
an integral part of the Condensed Consolidated Financial Statements.
|
|
2016
|
|
2015
|
||||
Common shares
|
|
|
|
||||
Balance, beginning of period
|
$
|
10,548
|
|
|
$
|
10,447
|
|
Issuance of common shares
|
81
|
|
|
79
|
|
||
Balance, end of period
|
10,629
|
|
|
10,526
|
|
||
Treasury shares
|
|
|
|
||||
Balance, beginning of period
|
—
|
|
|
—
|
|
||
Repurchase of common shares
|
(7,389
|
)
|
|
—
|
|
||
Balance, end of period
|
(7,389
|
)
|
|
—
|
|
||
Additional paid-in capital
|
|
|
|
||||
Balance, beginning of period
|
1,080,591
|
|
|
1,065,489
|
|
||
Issuance of common shares, net
|
965
|
|
|
2,082
|
|
||
Share compensation expense
|
4,702
|
|
|
5,798
|
|
||
Balance, end of period
|
1,086,258
|
|
|
1,073,369
|
|
||
Retained earnings
|
|
|
|
||||
Balance, beginning of period
|
288,587
|
|
|
375,977
|
|
||
Income including non-controlling interests
|
2,753
|
|
|
67,190
|
|
||
Income attributable to non-controlling interests
|
(506
|
)
|
|
(1,058
|
)
|
||
Balance, end of period
|
290,834
|
|
|
442,109
|
|
||
Shareholders’ equity attributable to shareholders
|
1,380,332
|
|
|
1,526,004
|
|
||
Non-controlling interests
|
|
|
|
||||
Balance, beginning of period
|
16,157
|
|
|
100,135
|
|
||
Non-controlling interest in investment affiliate, net
|
—
|
|
|
(24,999
|
)
|
||
Non-controlling interest in Catastrophe Fund
|
—
|
|
|
(46,886
|
)
|
||
Non-controlling interest in Catastrophe Fund Manager
|
—
|
|
|
292
|
|
||
Income attributable to non-controlling interests
|
506
|
|
|
1,058
|
|
||
Balance, end of period
|
16,663
|
|
|
29,600
|
|
||
Total shareholders’ equity
|
$
|
1,396,995
|
|
|
$
|
1,555,604
|
|
|
|
|
|
||||
The accompanying Notes to the Condensed Consolidated Financial Statements are
|
|||||||
an integral part of the Condensed Consolidated Financial Statements.
|
|
2016
|
|
2015
|
||||
Operating activities
|
|
|
|
||||
Income including non-controlling interests
|
$
|
2,753
|
|
|
$
|
67,190
|
|
Adjustments to reconcile income including non-controlling interests to net cash provided by operating activities:
|
|
|
|
||||
Share compensation expense
|
4,702
|
|
|
5,798
|
|
||
Net interest expense on deposit liabilities
|
1,331
|
|
|
1,983
|
|
||
Net unrealized (gain) loss on investments and derivatives
|
670
|
|
|
(48,211
|
)
|
||
Net realized gain on investments and derivatives
|
(41,954
|
)
|
|
(88,632
|
)
|
||
Net foreign exchange gains
|
(10,454
|
)
|
|
(54
|
)
|
||
Amortization of premium and accretion of discount, net
|
2,013
|
|
|
1,276
|
|
||
Changes in assets and liabilities:
|
|
|
|
||||
Reinsurance balances receivable
|
(133,672
|
)
|
|
12,311
|
|
||
Deferred acquisition costs, net
|
(24,558
|
)
|
|
(24,551
|
)
|
||
Other assets
|
(2,018
|
)
|
|
(3,007
|
)
|
||
Interest and dividends receivable, net
|
3,312
|
|
|
75
|
|
||
Unearned premium reserves
|
123,687
|
|
|
137,771
|
|
||
Loss and loss adjustment expense reserves
|
79,645
|
|
|
35,749
|
|
||
Accounts payable and accrued expenses
|
(2,138
|
)
|
|
2,271
|
|
||
Reinsurance balances payable
|
21,890
|
|
|
5,462
|
|
||
Performance fee payable to related party
|
2,954
|
|
|
25,059
|
|
||
Net cash provided by operating activities
|
28,163
|
|
|
130,490
|
|
||
Investing activities
|
|
|
|
||||
Purchases of investments
|
(2,031,742
|
)
|
|
(1,669,124
|
)
|
||
Proceeds from sales of investments
|
1,615,954
|
|
|
1,405,097
|
|
||
Purchases of investments to cover short sales
|
(736,668
|
)
|
|
(184,966
|
)
|
||
Proceeds from short sales of investments
|
694,371
|
|
|
278,170
|
|
||
Change in due to/from brokers, net
|
208,886
|
|
|
163,472
|
|
||
Decrease in securities purchased under an agreement to sell
|
—
|
|
|
11,889
|
|
||
Increase in securities sold under an agreement to repurchase
|
159,412
|
|
|
10,992
|
|
||
Change in restricted cash and cash equivalents
|
50,846
|
|
|
(171,924
|
)
|
||
Net cash used in investing activities
|
(38,941
|
)
|
|
(156,394
|
)
|
||
Financing activities
|
|
|
|
||||
Proceeds from issuance of common shares, net of costs
|
1,046
|
|
|
2,161
|
|
||
Purchases of common shares under share repurchase program
|
(7,389
|
)
|
|
—
|
|
||
Proceeds from issuance of senior notes payable, net of costs
|
—
|
|
|
113,224
|
|
||
Increase in deposit liabilities, net
|
3,752
|
|
|
178
|
|
||
Non-controlling interest in investment affiliate, net
|
—
|
|
|
(24,999
|
)
|
||
Non-controlling interest in Catastrophe Fund
|
—
|
|
|
(46,886
|
)
|
||
Non-controlling interest in Catastrophe Fund Manager
|
—
|
|
|
292
|
|
||
Net cash provided by (used in) financing activities
|
(2,591
|
)
|
|
43,970
|
|
||
Net increase (decrease) in cash and cash equivalents
|
(13,369
|
)
|
|
18,066
|
|
||
Cash and cash equivalents at beginning of period
|
20,407
|
|
|
28,734
|
|
||
Cash and cash equivalents at end of period
|
$
|
7,038
|
|
|
$
|
46,800
|
|
Supplementary information
|
|
|
|
||||
Interest paid in cash
|
$
|
11,721
|
|
|
$
|
2,091
|
|
Income taxes paid in cash
|
$
|
3,911
|
|
|
$
|
2,018
|
|
|
|
|
|
||||
The accompanying Notes to the Condensed Consolidated Financial Statements are
|
|||||||
an integral part of the Condensed Consolidated Financial Statements.
|
|
June 30,
2016 |
|
December 31,
2015 |
||||
|
($ in thousands)
|
||||||
Restricted cash securing letter of credit facilities (1)
|
$
|
241,321
|
|
|
$
|
270,755
|
|
Restricted cash securing other reinsurance contracts (2)
|
38,748
|
|
|
60,160
|
|
||
Total restricted cash and cash equivalents
|
280,069
|
|
|
330,915
|
|
||
Restricted investments securing other reinsurance contracts (2)
|
400,562
|
|
|
292,111
|
|
||
Total restricted cash and cash equivalents and restricted investments
|
$
|
680,631
|
|
|
$
|
623,026
|
|
(1)
|
Restricted cash securing letter of credit facilities pertains to letters of credit issued to clients and cash securing these obligations that 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.
|
(2)
|
Restricted cash and restricted investments securing other reinsurance contracts pertain to trust accounts securing the Company’s contractual obligations under certain reinsurance contracts that the Company will not be released from until all underlying risks have expired or have been settled. Restricted investments include certain investments in debt securities including U.S. Treasury securities and sovereign debt. 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.
|
|
June 30,
2016 |
|
December 31,
2015 |
||||
Assets
|
($ in thousands)
|
||||||
Total investments in securities
|
$
|
2,746,271
|
|
|
$
|
2,290,779
|
|
Cash and cash equivalents
|
11
|
|
|
57
|
|
||
Restricted cash and cash equivalents
|
280,069
|
|
|
330,915
|
|
||
Due from brokers
|
337,264
|
|
|
326,971
|
|
||
Derivative assets
|
26,122
|
|
|
35,337
|
|
||
Interest and dividends receivable
|
7,492
|
|
|
10,687
|
|
||
Total assets
|
3,397,229
|
|
|
2,994,746
|
|
||
Liabilities and non-controlling interest
|
|
|
|
||||
Accounts payable and accrued expenses
|
902
|
|
|
770
|
|
||
Securities sold, not yet purchased
|
262,748
|
|
|
314,353
|
|
||
Securities sold under an agreement to repurchase
|
168,356
|
|
|
8,944
|
|
||
Due to brokers
|
794,141
|
|
|
574,962
|
|
||
Derivative liabilities
|
16,401
|
|
|
15,392
|
|
||
Performance fee payable to related party
|
2,954
|
|
|
—
|
|
||
Interest and dividends payable
|
1,482
|
|
|
1,345
|
|
||
Non-controlling interest
|
16,663
|
|
|
16,157
|
|
||
Total liabilities and non-controlling interest
|
1,263,647
|
|
|
931,923
|
|
||
Total net investments managed by Third Point LLC
|
$
|
2,133,582
|
|
|
$
|
2,062,823
|
|
|
June 30, 2016
|
|
December 31, 2015
|
||||||||||
|
($ in thousands)
|
||||||||||||
Re-REMIC (1)
|
$
|
114,085
|
|
|
31.8
|
%
|
|
$
|
195,889
|
|
|
39.6
|
%
|
Subprime RMBS
|
154,479
|
|
|
43.1
|
%
|
|
174,777
|
|
|
35.3
|
%
|
||
Collateralized debt obligations
|
16,812
|
|
|
4.7
|
%
|
|
50,455
|
|
|
10.2
|
%
|
||
Other (2)
|
73,311
|
|
|
20.4
|
%
|
|
73,602
|
|
|
14.9
|
%
|
||
|
$
|
358,687
|
|
|
100.0
|
%
|
|
$
|
494,723
|
|
|
100.0
|
%
|
•
|
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 the underlying security and volatility of the underlying security.
|
•
|
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 security and the volatility of the underlying security.
|
|
June 30, 2016
|
||||||||||||||
|
Quoted prices in active markets
|
|
Significant other observable inputs
|
|
Significant unobservable inputs
|
|
Total
|
||||||||
|
(Level 1)
|
|
(Level 2)
|
|
(Level 3)
|
|
|||||||||
Assets
|
($ in thousands)
|
||||||||||||||
Equity securities
|
$
|
1,421,370
|
|
|
$
|
2,396
|
|
|
$
|
—
|
|
|
$
|
1,423,766
|
|
Private common equity securities
|
—
|
|
|
—
|
|
|
3,170
|
|
|
3,170
|
|
||||
Private preferred equity securities
|
—
|
|
|
—
|
|
|
31,079
|
|
|
31,079
|
|
||||
Total equities
|
1,421,370
|
|
|
2,396
|
|
|
34,249
|
|
|
1,458,015
|
|
||||
Asset-backed securities
|
—
|
|
|
355,873
|
|
|
2,814
|
|
|
358,687
|
|
||||
Bank debt
|
—
|
|
|
22,180
|
|
|
—
|
|
|
22,180
|
|
||||
Corporate bonds
|
—
|
|
|
228,266
|
|
|
3,110
|
|
|
231,376
|
|
||||
U.S. Treasury securities
|
—
|
|
|
304,254
|
|
|
—
|
|
|
304,254
|
|
||||
Sovereign debt
|
—
|
|
|
334,384
|
|
|
2
|
|
|
334,386
|
|
||||
Total debt securities
|
—
|
|
|
1,244,957
|
|
|
5,926
|
|
|
1,250,883
|
|
||||
Options
|
6,494
|
|
|
3,565
|
|
|
—
|
|
|
10,059
|
|
||||
Rights and warrants
|
132
|
|
|
—
|
|
|
—
|
|
|
132
|
|
||||
Trade claims
|
—
|
|
|
18,938
|
|
|
—
|
|
|
18,938
|
|
||||
Total other investments
|
6,626
|
|
|
22,503
|
|
|
—
|
|
|
29,129
|
|
||||
Derivative assets (free standing)
|
4,816
|
|
|
21,306
|
|
|
—
|
|
|
26,122
|
|
||||
|
$
|
1,432,812
|
|
|
$
|
1,291,162
|
|
|
$
|
40,175
|
|
|
2,764,149
|
|
|
Investments in funds valued at NAV
|
|
|
|
|
|
|
35,191
|
|
|||||||
Total assets
|
|
|
|
|
|
|
$
|
2,799,340
|
|
||||||
Liabilities
|
|
|
|
|
|
|
|
||||||||
Equity securities
|
$
|
218,548
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
218,548
|
|
Corporate bonds
|
—
|
|
|
25,620
|
|
|
—
|
|
|
25,620
|
|
||||
Options
|
11,577
|
|
|
7,003
|
|
|
—
|
|
|
18,580
|
|
||||
Total securities sold, not yet purchased
|
230,125
|
|
|
32,623
|
|
|
—
|
|
|
262,748
|
|
||||
Derivative liabilities (free standing)
|
—
|
|
|
15,181
|
|
|
1,220
|
|
|
16,401
|
|
||||
Derivative liabilities (embedded)
|
—
|
|
|
—
|
|
|
6,335
|
|
|
6,335
|
|
||||
Total liabilities
|
$
|
230,125
|
|
|
$
|
47,804
|
|
|
$
|
7,555
|
|
|
$
|
285,484
|
|
|
December 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
|
$
|
1,181,865
|
|
|
$
|
19,758
|
|
|
$
|
—
|
|
|
$
|
1,201,623
|
|
Private common equity securities
|
—
|
|
|
919
|
|
|
4,357
|
|
|
5,276
|
|
||||
Private preferred equity securities
|
—
|
|
|
—
|
|
|
24,178
|
|
|
24,178
|
|
||||
Total equities
|
1,181,865
|
|
|
20,677
|
|
|
28,535
|
|
|
1,231,077
|
|
||||
Asset-backed securities
|
—
|
|
|
492,106
|
|
|
2,617
|
|
|
494,723
|
|
||||
Bank debt
|
—
|
|
|
2,158
|
|
|
7,660
|
|
|
9,818
|
|
||||
Corporate bonds
|
—
|
|
|
79,938
|
|
|
3,252
|
|
|
83,190
|
|
||||
U.S. Treasury securities
|
—
|
|
|
186,471
|
|
|
—
|
|
|
186,471
|
|
||||
Sovereign debt
|
—
|
|
|
260,024
|
|
|
21
|
|
|
260,045
|
|
||||
Total debt securities
|
—
|
|
|
1,020,697
|
|
|
13,550
|
|
|
1,034,247
|
|
||||
Options
|
—
|
|
|
8,911
|
|
|
—
|
|
|
8,911
|
|
||||
Rights and warrants
|
416
|
|
|
—
|
|
|
—
|
|
|
416
|
|
||||
Trade claims
|
—
|
|
|
8,329
|
|
|
—
|
|
|
8,329
|
|
||||
Total other investments
|
416
|
|
|
17,240
|
|
|
—
|
|
|
17,656
|
|
||||
Derivative assets (free standing)
|
—
|
|
|
35,337
|
|
|
—
|
|
|
35,337
|
|
||||
|
$
|
1,182,281
|
|
|
$
|
1,093,951
|
|
|
$
|
42,085
|
|
|
2,318,317
|
|
|
Investments in funds valued at NAV
|
|
|
|
|
|
|
34,264
|
|
|||||||
Total assets
|
|
|
|
|
|
|
$
|
2,352,581
|
|
||||||
Liabilities
|
|
|
|
|
|
|
|
||||||||
Equity securities
|
$
|
228,009
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
228,009
|
|
Sovereign debt
|
—
|
|
|
5,856
|
|
|
—
|
|
|
5,856
|
|
||||
Corporate bonds
|
—
|
|
|
76,131
|
|
|
—
|
|
|
76,131
|
|
||||
Options
|
690
|
|
|
3,667
|
|
|
—
|
|
|
4,357
|
|
||||
Total securities sold, not yet purchased
|
228,699
|
|
|
85,654
|
|
|
—
|
|
|
314,353
|
|
||||
Derivative liabilities (free standing)
|
—
|
|
|
14,372
|
|
|
1,020
|
|
|
15,392
|
|
||||
Derivative liabilities (embedded)
|
—
|
|
|
—
|
|
|
5,563
|
|
|
5,563
|
|
||||
Total liabilities
|
$
|
228,699
|
|
|
$
|
100,026
|
|
|
$
|
6,583
|
|
|
$
|
335,308
|
|
|
April 1,
2016 |
|
Transfers in to (out of) Level 3
|
|
Purchases
|
|
Sales
|
|
Realized and Unrealized Gains(Losses) (1)
|
|
June 30,
2016 |
||||||||||||
|
($ in thousands)
|
||||||||||||||||||||||
Assets
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Private common equity securities
|
$
|
4,138
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(968
|
)
|
|
$
|
3,170
|
|
Private preferred equity securities
|
25,104
|
|
|
—
|
|
|
10,142
|
|
|
—
|
|
|
(4,167
|
)
|
|
31,079
|
|
||||||
Asset-backed securities
|
2,229
|
|
|
2,270
|
|
|
439
|
|
|
(1,034
|
)
|
|
(1,090
|
)
|
|
2,814
|
|
||||||
Corporate bonds
|
2,958
|
|
|
—
|
|
|
199
|
|
|
(47
|
)
|
|
—
|
|
|
3,110
|
|
||||||
Sovereign debt
|
—
|
|
|
17
|
|
|
—
|
|
|
—
|
|
|
(15
|
)
|
|
2
|
|
||||||
Total assets
|
$
|
34,429
|
|
|
$
|
2,287
|
|
|
$
|
10,780
|
|
|
$
|
(1,081
|
)
|
|
$
|
(6,240
|
)
|
|
$
|
40,175
|
|
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Derivative liabilities (free standing)
|
$
|
(1,086
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(134
|
)
|
|
$
|
—
|
|
|
$
|
(1,220
|
)
|
Derivative liabilities (embedded)
|
(5,328
|
)
|
|
—
|
|
|
—
|
|
|
(861
|
)
|
|
(146
|
)
|
|
(6,335
|
)
|
||||||
Total liabilities
|
$
|
(6,414
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(995
|
)
|
|
$
|
(146
|
)
|
|
$
|
(7,555
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
January 1,
2016 |
|
Transfers in to (out of) Level 3
|
|
Purchases
|
|
Sales
|
|
Realized and Unrealized Gains(Losses) (1)
|
|
June 30,
2016 |
||||||||||||
|
($ in thousands)
|
||||||||||||||||||||||
Assets
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Private common equity securities
|
$
|
4,357
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(1,187
|
)
|
|
$
|
3,170
|
|
Private preferred equity securities
|
24,178
|
|
|
—
|
|
|
12,253
|
|
|
—
|
|
|
(5,352
|
)
|
|
31,079
|
|
||||||
Asset-backed securities
|
2,617
|
|
|
2,944
|
|
|
787
|
|
|
(1,616
|
)
|
|
(1,918
|
)
|
|
2,814
|
|
||||||
Bank debt
|
7,660
|
|
|
(7,660
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Corporate bonds
|
3,252
|
|
|
—
|
|
|
199
|
|
|
(80
|
)
|
|
(261
|
)
|
|
3,110
|
|
||||||
Sovereign debt
|
21
|
|
|
(2
|
)
|
|
—
|
|
|
—
|
|
|
(17
|
)
|
|
2
|
|
||||||
Total assets
|
$
|
42,085
|
|
|
$
|
(4,718
|
)
|
|
$
|
13,239
|
|
|
$
|
(1,696
|
)
|
|
$
|
(8,735
|
)
|
|
$
|
40,175
|
|
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Derivative liabilities (free standing)
|
$
|
(1,020
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(200
|
)
|
|
$
|
—
|
|
|
$
|
(1,220
|
)
|
Derivative liabilities (embedded)
|
(5,563
|
)
|
|
—
|
|
|
—
|
|
|
(861
|
)
|
|
89
|
|
|
(6,335
|
)
|
||||||
Total liabilities
|
$
|
(6,583
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(1,061
|
)
|
|
$
|
89
|
|
|
$
|
(7,555
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
April 1,
2015 |
|
Transfers in to (out of) Level 3
|
|
Purchases
|
|
Sales
|
|
Realized and Unrealized Gains(Losses) (1)
|
|
June 30,
2015 |
||||||||||||
|
($ in thousands)
|
||||||||||||||||||||||
Assets
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Private common equity securities
|
$
|
962
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
962
|
|
Private preferred equity securities
|
8,502
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
4,972
|
|
|
13,474
|
|
||||||
Asset-backed securities
|
3,586
|
|
|
(2,897
|
)
|
|
—
|
|
|
(438
|
)
|
|
1,592
|
|
|
1,843
|
|
||||||
Bank debt
|
7,681
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(277
|
)
|
|
7,404
|
|
||||||
Corporate bonds
|
3,118
|
|
|
—
|
|
|
—
|
|
|
(151
|
)
|
|
(195
|
)
|
|
2,772
|
|
||||||
Sovereign debt
|
18
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
18
|
|
||||||
Total assets
|
$
|
23,867
|
|
|
$
|
(2,897
|
)
|
|
$
|
—
|
|
|
$
|
(589
|
)
|
|
$
|
6,092
|
|
|
$
|
26,473
|
|
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Derivative liabilities (free standing)
|
$
|
(1,136
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
116
|
|
|
$
|
(1,020
|
)
|
Derivative liabilities (embedded)
|
(9,618
|
)
|
|
—
|
|
|
—
|
|
|
(769
|
)
|
|
570
|
|
|
(9,817
|
)
|
||||||
Total liabilities
|
$
|
(10,754
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(769
|
)
|
|
$
|
686
|
|
|
$
|
(10,837
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
January 1,
2015 |
|
Transfers in to (out of) Level 3
|
|
Purchases
|
|
Sales
|
|
Realized and Unrealized Gains(Losses) (1)
|
|
June 30,
2015 |
||||||||||||
|
($ in thousands)
|
||||||||||||||||||||||
Assets
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Private common equity securities
|
$
|
1,443
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(481
|
)
|
|
$
|
962
|
|
Private preferred equity securities
|
—
|
|
|
—
|
|
|
8,502
|
|
|
—
|
|
|
4,972
|
|
|
13,474
|
|
||||||
Asset-backed securities
|
4,720
|
|
|
(3,727
|
)
|
|
91
|
|
|
(990
|
)
|
|
1,749
|
|
|
1,843
|
|
||||||
Bank debt
|
—
|
|
|
—
|
|
|
7,634
|
|
|
—
|
|
|
(230
|
)
|
|
7,404
|
|
||||||
Corporate bonds
|
3,799
|
|
|
—
|
|
|
—
|
|
|
(152
|
)
|
|
(875
|
)
|
|
2,772
|
|
||||||
Sovereign debt
|
—
|
|
|
18
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
18
|
|
||||||
Total assets
|
$
|
9,962
|
|
|
$
|
(3,709
|
)
|
|
$
|
16,227
|
|
|
$
|
(1,142
|
)
|
|
$
|
5,135
|
|
|
$
|
26,473
|
|
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Derivative liabilities (free standing)
|
$
|
(962
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(144
|
)
|
|
$
|
86
|
|
|
$
|
(1,020
|
)
|
Derivative liabilities (embedded)
|
(9,289
|
)
|
|
—
|
|
|
—
|
|
|
(798
|
)
|
|
270
|
|
|
(9,817
|
)
|
||||||
Total liabilities
|
$
|
(10,251
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(942
|
)
|
|
$
|
356
|
|
|
$
|
(10,837
|
)
|
(1)
|
Total change in realized and unrealized gains (losses) recorded on Level 3 financial instruments is included in
net investment income
in the
condensed consolidated statements of income
.
|
June 30, 2016
|
|||||||||||
Assets
|
|
Fair value ($ in thousands)
|
|
Valuation technique
|
|
Unobservable (U) and
observable (O) inputs
|
|
Range
|
|||
Corporate bond
|
|
$
|
2,416
|
|
|
Discounted cash flow
|
|
Yield (U)
|
|
19.5 - 20.5%
|
|
|
|
|
|
|
|
Duration (U)
|
|
1.8 years
|
|
||
|
|
|
|
|
|
Credit spread (U)
|
|
972 bps
|
|
||
|
|
|
|
|
|
Volatility (U)
|
|
30.0 - 36.5%
|
|
||
Derivative liabilities (embedded)
|
|
$
|
6,335
|
|
|
Discounted cash flow
|
|
Contractual Variable Annual Investment Credit (U)
|
|
0.0 - 2.5%
|
|
|
|
|
|
|
|
Mean Monthly Investment Return (U)
|
|
1.2
|
%
|
||
|
|
|
|
|
|
Duration from Inception of Contracts (U)
|
|
5.0 - 5.5 years
|
|
||
|
|
|
|
|
|
Duration from Valuation Date (U)
|
|
3.5 - 4.5 years
|
|
||
|
|
|
|
|
|
Interest Rates (O)
|
|
U.S. Treasury Spot Rates
|
|
||
Private equity investments
|
|
$
|
34,250
|
|
|
Market approach
|
|
Discount (U)
|
|
15.0 - 25.0%
|
|
|
|
|
|
|
|
|
|
|
|||
December 31, 2015
|
|||||||||||
Assets
|
|
Fair value ($ in thousands)
|
|
Valuation technique
|
|
Unobservable (U) and
observable (O) inputs |
|
Range
|
|||
Corporate bond
|
|
$
|
2,444
|
|
|
Discounted cash flow
|
|
Yield (U)
|
|
10.4 - 11.4%
|
|
|
|
|
|
|
|
Duration (U)
|
|
3.0 years
|
|
||
|
|
|
|
|
|
Credit spread (U)
|
|
986 bps
|
|
||
|
|
|
|
|
|
Volatility (U)
|
|
25.0 - 35.0%
|
|
||
Derivative liabilities (embedded)
|
|
$
|
5,563
|
|
|
Discounted cash flow
|
|
Contractual Variable Annual Investment Credit (U)
|
|
0.0 - 2.5%
|
|
|
|
|
|
|
|
Mean Monthly Investment Return (U)
|
|
1.2%
|
|
||
|
|
|
|
|
|
Duration from Inception of Contracts (U)
|
|
5.0 - 5.5 years
|
|
||
|
|
|
|
|
|
Duration from Valuation Date (U)
|
|
4.0 - 5.0 years
|
|
||
|
|
|
|
|
|
Interest Rates (O)
|
|
U.S. Treasury Spot Rates
|
|
|
Three months ended
|
|
Six months ended
|
||||||||||||
|
June 30,
2016 |
|
June 30,
2015 |
|
June 30,
2016 |
|
June 30,
2015 |
||||||||
Foreign currency gains (losses) on reverse repurchase agreements
|
$
|
—
|
|
|
$
|
649
|
|
|
$
|
—
|
|
|
$
|
(2,292
|
)
|
Foreign currency gains on repurchase agreements
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
336
|
|
June 30, 2016
|
|
Overnights and continuous
|
|
Up to 30 days
|
|
30 - 90 days
|
|
Greater than 90 days
|
|
Total
|
||||||||||
|
|
($ in thousands)
|
||||||||||||||||||
Securities sold under an agreement to repurchase
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Non-U.S. sovereign debt
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
242,032
|
|
|
$
|
—
|
|
|
$
|
242,032
|
|
Securities lending transactions
|
|
|
|
|
|
|
|
|
|
|
||||||||||
U.S. Treasury and agency securities
|
|
$
|
179
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
179
|
|
December 31, 2015
|
|
Overnights and continuous
|
|
Up to 30 days
|
|
30 - 90 days
|
|
Greater than 90 days
|
|
Total
|
||||||||||
|
|
($ in thousands)
|
||||||||||||||||||
Securities sold under an agreement to repurchase
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Non-U.S. sovereign debt
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
8,944
|
|
|
$
|
—
|
|
|
$
|
8,944
|
|
Securities lending transactions
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Corporate bonds
|
|
$
|
112
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
112
|
|
|
June 30,
2016 |
|
December 31,
2015 |
||||
|
($ in thousands)
|
||||||
Due from brokers
|
|
|
|
||||
Cash held at brokers (1)
|
$
|
259,186
|
|
|
$
|
249,871
|
|
Receivable from unsettled trades
|
78,078
|
|
|
77,100
|
|
||
|
$
|
337,264
|
|
|
$
|
326,971
|
|
|
|
|
|
||||
Due to brokers
|
|
|
|
||||
Borrowing from prime brokers
|
$
|
709,490
|
|
|
$
|
572,688
|
|
Payable from unsettled trades
|
84,651
|
|
|
2,274
|
|
||
|
$
|
794,141
|
|
|
$
|
574,962
|
|
|
As of June 30, 2016
|
||||||||
|
Listing currency (1)
|
|
Fair Value
|
|
Notional Amounts (2)
|
||||
Derivative Assets by Primary Underlying Risk
|
($ in thousands)
|
||||||||
Commodity Price
|
|
|
|
|
|
||||
Commodity Future Options - Purchased
|
USD
|
|
$
|
4,816
|
|
|
$
|
67,700
|
|
Credit
|
|
|
|
|
|
||||
Credit Default Swaps - Protection Purchased
|
USD
|
|
13,911
|
|
|
86,528
|
|
||
Equity Price
|
|
|
|
|
|
||||
Contracts for Differences - Long Contracts
|
GBP
|
|
361
|
|
|
16,854
|
|
||
Contracts for Differences - Short Contracts
|
CHF/EUR
|
|
3,139
|
|
|
13,954
|
|
||
Total Return Swaps - Long Contracts
|
USD
|
|
649
|
|
|
23,253
|
|
||
Total Return Swaps - Short Contracts
|
HKD/MXN/USD
|
|
140
|
|
|
3,713
|
|
||
Interest Rates
|
|
|
|
|
|
||||
Interest Rate Swaptions
|
JPY
|
|
403
|
|
|
11,576
|
|
||
Total Return Swaps - Short Contracts
|
USD
|
|
262
|
|
|
668,049
|
|
||
Foreign Currency Exchange Rates
|
|
|
|
|
|
||||
Foreign Currency Forward Contracts
|
CAD/CNH/EUR/GBP
|
|
1,772
|
|
|
128,429
|
|
||
Foreign Currency Options - Purchased
|
SAR
|
|
669
|
|
|
123,607
|
|
||
Total Derivative Assets
|
|
|
$
|
26,122
|
|
|
$
|
1,143,663
|
|
|
|
|
|
|
|
||||
|
Listing currency (1)
|
|
Fair Value
|
|
Notional Amounts (2)
|
||||
Derivative Liabilities by Primary Underlying Risk
|
($ in thousands)
|
||||||||
Credit
|
|
|
|
|
|
||||
Credit Default Swaps - Protection Purchased
|
USD
|
|
$
|
2,466
|
|
|
$
|
41,316
|
|
Credit Default Swaps - Protection Sold
|
USD
|
|
1,805
|
|
|
3,620
|
|
||
Equity Price
|
|
|
|
|
|
||||
Contracts for Differences - Long Contracts
|
EUR/ GBP/USD
|
|
1,219
|
|
|
12,464
|
|
||
Contracts for Differences - Short Contracts
|
EUR/SEK/USD
|
|
387
|
|
|
35,667
|
|
||
Total Return Swaps - Long Contracts
|
JPY/USD
|
|
2,866
|
|
|
22,884
|
|
||
Total Return Swaps - Short Contracts
|
AUD/HKD/USD
|
|
1,822
|
|
|
13,500
|
|
||
Interest Rates
|
|
|
|
|
|
||||
Interest Rate Swaptions
|
JPY
|
|
152
|
|
|
11,358
|
|
||
Total Return Swaps - Short Contracts
|
USD
|
|
66
|
|
|
667,851
|
|
||
Foreign Currency Exchange Rates
|
|
|
|
|
|
||||
Foreign Currency Forward Contracts
|
CNH/EUR/GBP/JPY/MXN/SAR
|
|
5,618
|
|
|
90,888
|
|
||
Total Derivative Liabilities (free standing)
|
|
|
$
|
16,401
|
|
|
$
|
899,548
|
|
|
|
|
|
|
|
||||
Embedded derivative liabilities in reinsurance contracts (3)
|
USD
|
|
$
|
6,335
|
|
|
$
|
20,000
|
|
Total Derivative Liabilities (embedded)
|
|
|
$
|
6,335
|
|
|
$
|
20,000
|
|
(1)
|
AUD = Australian Dollar, CAD = Canadian Dollar, CHF = Swiss Franc, CNH = Chinese Yuan, EUR = Euro, GBP = British Pound, HKD = Hong Kong Dollar, JPY = Japanese Yen, MXN = Mexican Peso, SAR = Saudi Arabian Riyal, SEK = Swedish Krona, USD = US Dollar
|
(2)
|
The absolute notional exposure represents the Company’s derivative activity as of
June 30, 2016
, 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.
|
|
As of December 31, 2015
|
||||||||
|
Listing currency (1)
|
|
Fair Value
|
|
Notional Amounts (2)
|
||||
Derivative Assets by Primary Underlying Risk
|
($ in thousands)
|
||||||||
Credit
|
|
|
|
|
|
||||
Credit Default Swaps - Protection Purchased
|
EUR/USD
|
|
$
|
21,692
|
|
|
$
|
183,125
|
|
Equity Price
|
|
|
|
|
|
||||
Contracts for Differences - Long Contracts
|
EUR/GBP/USD
|
|
631
|
|
|
41,686
|
|
||
Contracts for Differences - Short Contracts
|
CHF/EUR/GBP/JPY/NOK/USD
|
|
5,884
|
|
|
80,027
|
|
||
Total Return Swaps - Long Contracts
|
USD
|
|
415
|
|
|
58,799
|
|
||
Total Return Swaps - Short Contracts
|
JPY/USD
|
|
466
|
|
|
9,457
|
|
||
Interest Rates
|
|
|
|
|
|
||||
Commodity Futures - Short Contracts
|
USD
|
|
71
|
|
|
17,501
|
|
||
Interest Rate Swaptions
|
JPY/USD
|
|
90
|
|
|
43,831
|
|
||
Foreign Currency Exchange Rates
|
|
|
|
|
|
||||
Foreign Currency Forward Contracts
|
CAD/EUR/GBP/MXN/SAR
|
|
1,947
|
|
|
155,518
|
|
||
Foreign Currency Options - Purchased
|
CNH/EUR/SAR
|
|
4,141
|
|
|
193,613
|
|
||
Total Derivative Assets
|
|
|
$
|
35,337
|
|
|
$
|
783,557
|
|
|
|
|
|
|
|
||||
|
|
|
|
|
|
||||
|
Listing currency (1)
|
|
Fair Value
|
|
Notional Amounts (2)
|
||||
Derivative Liabilities by Primary Underlying Risk
|
($ in thousands)
|
||||||||
Credit
|
|
|
|
|
|
||||
Credit Default Swaps - Protection Purchased
|
EUR/USD
|
|
$
|
3,449
|
|
|
$
|
38,455
|
|
Credit Default Swaps - Protection Sold
|
GBP/EUR/USD
|
|
2,054
|
|
|
6,436
|
|
||
Equity Price
|
|
|
|
|
|
||||
Contracts for Differences - Long Contracts
|
EUR/GBP/USD
|
|
1,111
|
|
|
2,311
|
|
||
Contracts for Differences - Short Contracts
|
EUR/GBP/USD
|
|
3,411
|
|
|
50,471
|
|
||
Total Return Swaps - Long Contracts
|
JPY/USD
|
|
3,430
|
|
|
163,224
|
|
||
Total Return Swaps - Short Contracts
|
AUD/JPY/USD
|
|
386
|
|
|
19,318
|
|
||
Interest Rates
|
|
|
|
|
|
||||
Commodity Futures - Short Contracts
|
USD
|
|
18
|
|
|
13,069
|
|
||
Interest Rate Swaptions
|
USD
|
|
17
|
|
|
87,499
|
|
||
Foreign Currency Exchange Rates
|
|
|
|
|
|
||||
Foreign Currency Forward Contracts
|
JPY/SAR
|
|
1,041
|
|
|
87,127
|
|
||
Foreign Currency Options - Sold
|
CNH/SAR
|
|
475
|
|
|
118,415
|
|
||
Total Derivative Liabilities (free standing)
|
|
|
$
|
15,392
|
|
|
$
|
586,325
|
|
|
|
|
|
|
|
||||
Embedded derivative liabilities in reinsurance contracts (3)
|
USD
|
|
$
|
5,563
|
|
|
$
|
20,000
|
|
Total Derivative Liabilities (embedded)
|
|
|
$
|
5,563
|
|
|
$
|
20,000
|
|
(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, 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.
|
|
Three months ended
|
||||||||||||||
|
June 30, 2016
|
|
June 30, 2015
|
||||||||||||
Free standing Derivatives - Primary Underlying Risk
|
Realized Gain (Loss)
|
|
Unrealized Gain (Loss)*
|
|
Realized Gain (Loss)
|
|
Unrealized Gain (Loss)*
|
||||||||
Credit
|
($ in thousands)
|
||||||||||||||
Commodity Future Options - Purchased
|
$
|
834
|
|
|
$
|
2,380
|
|
|
$
|
—
|
|
|
$
|
—
|
|
Credit
|
|
|
|
|
|
|
|
||||||||
Credit Default Swaps - Protection Purchased
|
(1,278
|
)
|
|
2,037
|
|
|
(959
|
)
|
|
763
|
|
||||
Credit Default Swaps - Protection Sold
|
191
|
|
|
(192
|
)
|
|
42
|
|
|
300
|
|
||||
Equity Price
|
|
|
|
|
|
|
|
||||||||
Contracts for Differences - Long Contracts
|
(1,697
|
)
|
|
185
|
|
|
(544
|
)
|
|
3,013
|
|
||||
Contracts for Differences - Short Contracts
|
2,317
|
|
|
6,581
|
|
|
932
|
|
|
2,591
|
|
||||
Total Return Swaps - Long Contracts
|
5,692
|
|
|
(3,857
|
)
|
|
1,547
|
|
|
(8,804
|
)
|
||||
Total Return Swaps - Short Contracts
|
(537
|
)
|
|
606
|
|
|
(454
|
)
|
|
(1,274
|
)
|
||||
Index
|
|
|
|
|
|
|
|
||||||||
Index Futures - Long Contracts
|
—
|
|
|
—
|
|
|
565
|
|
|
(243
|
)
|
||||
Interest Rates
|
|
|
|
|
|
|
|
||||||||
Bond Futures - Short Contracts
|
—
|
|
|
—
|
|
|
—
|
|
|
(689
|
)
|
||||
Commodity Futures - Short Contracts
|
1
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Fixed Income Swap - Short Contracts
|
(116
|
)
|
|
72
|
|
|
—
|
|
|
—
|
|
||||
Interest Rate Swaps
|
—
|
|
|
—
|
|
|
—
|
|
|
530
|
|
||||
Interest Rate Swaptions
|
—
|
|
|
(84
|
)
|
|
(551
|
)
|
|
708
|
|
||||
Total Return Swaps - Long Contracts
|
(268
|
)
|
|
261
|
|
|
—
|
|
|
—
|
|
||||
Total Return Swaps - Short Contracts
|
100
|
|
|
(65
|
)
|
|
—
|
|
|
—
|
|
||||
Treasury Futures - Short Contracts
|
—
|
|
|
—
|
|
|
506
|
|
|
229
|
|
||||
Foreign Currency Exchange Rates
|
|
|
|
|
|
|
|
||||||||
Foreign Currency Forward
|
(5,808
|
)
|
|
7,622
|
|
|
(8,311
|
)
|
|
4,729
|
|
||||
Foreign Currency Options - Purchased
|
(859
|
)
|
|
355
|
|
|
463
|
|
|
(2,641
|
)
|
||||
Foreign Currency Options - Sold
|
112
|
|
|
(101
|
)
|
|
1,021
|
|
|
(371
|
)
|
||||
Reinsurance contract derivatives
|
—
|
|
|
—
|
|
|
30
|
|
|
—
|
|
||||
|
$
|
(1,316
|
)
|
|
$
|
15,800
|
|
|
$
|
(5,713
|
)
|
|
$
|
(1,159
|
)
|
Embedded Derivatives
|
|
|
|
|
|
|
|
||||||||
Embedded derivatives in reinsurance contracts
|
$
|
—
|
|
|
$
|
(146
|
)
|
|
$
|
—
|
|
|
$
|
(40
|
)
|
Embedded derivatives in deposit contracts
|
—
|
|
|
—
|
|
|
—
|
|
|
610
|
|
||||
Total Derivative Liabilities (embedded)
|
$
|
—
|
|
|
$
|
(146
|
)
|
|
$
|
—
|
|
|
$
|
570
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
Six months ended
|
||||||||||||||
|
2016
|
|
2015
|
||||||||||||
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
|
$
|
581
|
|
|
$
|
1,800
|
|
|
$
|
(286
|
)
|
|
$
|
285
|
|
Commodity Future Options - Sold
|
—
|
|
|
—
|
|
|
272
|
|
|
(269
|
)
|
||||
Credit
|
|
|
|
|
|
|
|
||||||||
Credit Default Swaps - Protection Purchased
|
6,407
|
|
|
(4,987
|
)
|
|
(615
|
)
|
|
405
|
|
||||
Credit Default Swaps - Protection Sold
|
(4,167
|
)
|
|
4,252
|
|
|
1,695
|
|
|
(1,360
|
)
|
||||
Equity Price
|
|
|
|
|
|
|
|
||||||||
Contracts for Differences - Long Contracts
|
(2,422
|
)
|
|
(379
|
)
|
|
(847
|
)
|
|
4,456
|
|
||||
Contracts for Differences - Short Contracts
|
4,570
|
|
|
278
|
|
|
(1,937
|
)
|
|
1,420
|
|
||||
Total Return Swaps - Long Contracts
|
(4,826
|
)
|
|
800
|
|
|
(618
|
)
|
|
(6,308
|
)
|
||||
Total Return Swaps - Short Contracts
|
691
|
|
|
(1,762
|
)
|
|
(51
|
)
|
|
(838
|
)
|
||||
Index
|
|
|
|
|
|
|
|
||||||||
Index Futures - Long Contracts
|
—
|
|
|
—
|
|
|
1,144
|
|
|
—
|
|
||||
Interest Rates
|
|
|
|
|
|
|
|
||||||||
Bond Futures - Short Contracts
|
—
|
|
|
—
|
|
|
—
|
|
|
(689
|
)
|
||||
Commodities Futures - Short Contracts
|
(1,151
|
)
|
|
(52
|
)
|
|
(201
|
)
|
|
143
|
|
||||
Fixed Income Swap - Short Contracts
|
(94
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Interest Rate Swaps
|
—
|
|
|
—
|
|
|
—
|
|
|
530
|
|
||||
Interest Rate Swaptions
|
(112
|
)
|
|
(45
|
)
|
|
(551
|
)
|
|
559
|
|
||||
Total Return Swaps - Long Contracts
|
(268
|
)
|
|
261
|
|
|
—
|
|
|
—
|
|
||||
Total Return Swaps - Short Contracts
|
100
|
|
|
(65
|
)
|
|
—
|
|
|
—
|
|
||||
Treasury Futures - Short Contracts
|
—
|
|
|
—
|
|
|
61
|
|
|
435
|
|
||||
Foreign Currency Exchange Rates
|
|
|
|
|
|
|
|
||||||||
Foreign Currency Forward
|
(8,904
|
)
|
|
(4,751
|
)
|
|
17,415
|
|
|
(2,850
|
)
|
||||
Foreign Currency Options - Purchased
|
(2,040
|
)
|
|
(1,617
|
)
|
|
948
|
|
|
(3,309
|
)
|
||||
Foreign Currency Options - Sold
|
617
|
|
|
(182
|
)
|
|
992
|
|
|
132
|
|
||||
Reinsurance contract derivatives
|
—
|
|
|
—
|
|
|
30
|
|
|
—
|
|
||||
|
$
|
(11,018
|
)
|
|
$
|
(6,449
|
)
|
|
$
|
17,451
|
|
|
$
|
(7,258
|
)
|
Embedded Derivatives
|
|
|
|
|
|
|
|
||||||||
Embedded derivatives in reinsurance contracts
|
$
|
—
|
|
|
$
|
89
|
|
|
$
|
(5
|
)
|
|
$
|
(155
|
)
|
Embedded derivatives in deposit contracts
|
—
|
|
|
—
|
|
|
—
|
|
|
430
|
|
||||
Total Derivative Liabilities (embedded)
|
$
|
—
|
|
|
$
|
89
|
|
|
$
|
(5
|
)
|
|
$
|
275
|
|
|
|
Gross Amounts not Offset in the Condensed Consolidated Balance Sheet
|
||||||||||||||
June 30, 2016
Derivative Contracts |
|
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
|
|
$
|
1,284
|
|
|
$
|
1,284
|
|
|
$
|
—
|
|
|
$
|
—
|
|
Counterparty 2
|
|
1,772
|
|
|
316
|
|
|
—
|
|
|
1,456
|
|
||||
Counterparty 3
|
|
8,457
|
|
|
4,475
|
|
|
—
|
|
|
3,982
|
|
||||
Counterparty 4
|
|
2,132
|
|
|
2,132
|
|
|
—
|
|
|
—
|
|
||||
Counterparty 5
|
|
4,070
|
|
|
4,070
|
|
|
—
|
|
|
—
|
|
||||
Counterparty 6
|
|
9,630
|
|
|
2,418
|
|
|
5,389
|
|
|
1,823
|
|
||||
Counterparty 8
|
|
1,113
|
|
|
277
|
|
|
—
|
|
|
836
|
|
||||
Counterparty 9
|
|
1,116
|
|
|
1,116
|
|
|
—
|
|
|
—
|
|
||||
Counterparty 15
|
|
113
|
|
|
36
|
|
|
—
|
|
|
77
|
|
||||
|
|
$
|
29,687
|
|
|
$
|
16,124
|
|
|
$
|
5,389
|
|
|
$
|
8,174
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
|
|
|
|
|
|
|
|
|
|
Gross Amounts not Offset in the Condensed Consolidated Balance Sheet
|
||||||||||||||
June 30, 2016
Derivative Contracts
|
|
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
|
|
$
|
3,379
|
|
|
$
|
1,284
|
|
|
$
|
2,095
|
|
|
$
|
—
|
|
Counterparty 2
|
|
316
|
|
|
316
|
|
|
—
|
|
|
—
|
|
||||
Counterparty 3
|
|
4,475
|
|
|
4,475
|
|
|
—
|
|
|
—
|
|
||||
Counterparty 4
|
|
3,026
|
|
|
2,132
|
|
|
894
|
|
|
—
|
|
||||
Counterparty 5
|
|
7,077
|
|
|
4,070
|
|
|
3,007
|
|
|
—
|
|
||||
Counterparty 6
|
|
2,418
|
|
|
2,418
|
|
|
—
|
|
|
—
|
|
||||
Counterparty 8
|
|
277
|
|
|
277
|
|
|
—
|
|
|
—
|
|
||||
Counterparty 9
|
|
1,662
|
|
|
1,116
|
|
|
546
|
|
|
—
|
|
||||
Counterparty 10
|
|
422
|
|
|
—
|
|
|
422
|
|
|
—
|
|
||||
Counterparty 14
|
|
316
|
|
|
—
|
|
|
316
|
|
|
—
|
|
||||
Counterparty 15
|
|
36
|
|
|
36
|
|
|
—
|
|
|
—
|
|
||||
|
|
$
|
23,404
|
|
|
$
|
16,124
|
|
|
$
|
7,280
|
|
|
$
|
—
|
|
|
|
|
|
|
|
|
|
|
||||||||
Securities sold under an agreement to repurchase and securities lending transactions
|
|
|
|
|
|
|
|
|
||||||||
Counterparty 3
|
|
$
|
160
|
|
|
$
|
160
|
|
|
$
|
—
|
|
|
$
|
—
|
|
Counterparty 4
|
|
128,635
|
|
|
128,635
|
|
|
—
|
|
|
—
|
|
||||
Counterparty 6
|
|
39,721
|
|
|
39,721
|
|
|
—
|
|
|
—
|
|
||||
Total
|
|
$
|
168,516
|
|
|
$
|
168,516
|
|
|
$
|
—
|
|
|
$
|
—
|
|
(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
$3.6 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
$7.0 million
included in Securities sold, not yet purchased in the Condensed Consolidated Balance Sheets.
|
|
|
Gross Amounts not Offset in the Condensed Consolidated Balance Sheet
|
||||||||||||||
December 31, 2015
Derivative Contracts
|
|
Gross Amounts of Assets Presented in the Condensed Consolidated Balance Sheet (1)
|
|
Financial Instruments
|
|
Cash Collateral Received
|
|
Net Amount
|
||||||||
Financial assets, derivative assets and collateral received
|
|
($ in thousands)
|
||||||||||||||
Counterparty 1
|
|
$
|
2,171
|
|
|
$
|
2,171
|
|
|
$
|
—
|
|
|
$
|
—
|
|
Counterparty 2
|
|
4,959
|
|
|
1,243
|
|
|
—
|
|
|
3,716
|
|
||||
Counterparty 3
|
|
6,347
|
|
|
2,335
|
|
|
—
|
|
|
4,012
|
|
||||
Counterparty 4
|
|
3,679
|
|
|
2,656
|
|
|
—
|
|
|
1,023
|
|
||||
Counterparty 5
|
|
14,181
|
|
|
4,027
|
|
|
—
|
|
|
10,154
|
|
||||
Counterparty 6
|
|
7,351
|
|
|
1,657
|
|
|
1,993
|
|
|
3,701
|
|
||||
Counterparty 7
|
|
882
|
|
|
—
|
|
|
194
|
|
|
688
|
|
||||
Counterparty 8
|
|
2,669
|
|
|
2,669
|
|
|
—
|
|
|
—
|
|
||||
Counterparty 9
|
|
2,009
|
|
|
542
|
|
|
—
|
|
|
1,467
|
|
||||
|
|
$
|
44,248
|
|
|
$
|
17,300
|
|
|
$
|
2,187
|
|
|
$
|
24,761
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
|
Gross Amounts not Offset in the Condensed Consolidated Balance Sheet
|
||||||||||||||
December 31, 2015
Derivative Contracts
|
|
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
|
|
$
|
2,626
|
|
|
$
|
2,171
|
|
|
$
|
455
|
|
|
$
|
—
|
|
Counterparty 2
|
|
1,243
|
|
|
1,243
|
|
|
—
|
|
|
—
|
|
||||
Counterparty 3
|
|
2,335
|
|
|
2,335
|
|
|
—
|
|
|
—
|
|
||||
Counterparty 4
|
|
2,816
|
|
|
2,656
|
|
|
160
|
|
|
—
|
|
||||
Counterparty 5
|
|
4,028
|
|
|
4,028
|
|
|
—
|
|
|
—
|
|
||||
Counterparty 6
|
|
1,657
|
|
|
1,657
|
|
|
—
|
|
|
—
|
|
||||
Counterparty 8
|
|
3,659
|
|
|
2,669
|
|
|
—
|
|
|
990
|
|
||||
Counterparty 9
|
|
542
|
|
|
542
|
|
|
—
|
|
|
—
|
|
||||
Counterparty 15
|
|
153
|
|
|
6
|
|
|
147
|
|
|
—
|
|
||||
|
|
$
|
19,059
|
|
|
$
|
17,307
|
|
|
$
|
762
|
|
|
$
|
990
|
|
|
|
|
|
|
|
|
|
|
||||||||
Securities sold under an agreement to repurchase and securities lending transactions
|
|
|
|
|
|
|
|
|
||||||||
Counterparty 3
|
|
$
|
114
|
|
|
$
|
—
|
|
|
$
|
112
|
|
|
$
|
2
|
|
Counterparty 4
|
|
8,944
|
|
|
8,944
|
|
|
—
|
|
|
—
|
|
||||
|
|
$
|
9,058
|
|
|
$
|
8,944
|
|
|
$
|
112
|
|
|
$
|
2
|
|
(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
$8.9 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
$3.7 million
included in Securities sold, not yet purchased in the Condensed Consolidated Balance Sheets.
|
|
June 30,
2016 |
|
December 31,
2015 |
||||
|
($ in thousands)
|
||||||
Case loss and loss adjustment expense reserves
|
$
|
103,912
|
|
|
$
|
87,186
|
|
Incurred but not reported loss and loss adjustment expense reserves
|
430,385
|
|
|
375,690
|
|
||
Deferred gains on retroactive reinsurance contracts
|
2,658
|
|
|
3,171
|
|
||
|
$
|
536,955
|
|
|
$
|
466,047
|
|
|
2016
|
|
2015
|
||||
|
($ in thousands)
|
||||||
Gross reserves for loss and loss adjustment expenses, beginning of period
|
$
|
466,047
|
|
|
$
|
277,362
|
|
Less: loss and loss adjustment expenses recoverable, beginning of period
|
(125
|
)
|
|
(814
|
)
|
||
Net reserves for loss and loss adjustment expenses, beginning of period
|
465,922
|
|
|
276,548
|
|
||
Increase (decrease) in net loss and loss adjustment expenses incurred in respect of losses occurring in:
|
|
|
|
||||
Current year
|
165,884
|
|
|
162,313
|
|
||
Prior years
|
23,647
|
|
|
(4,717
|
)
|
||
Amortization of deferred gains on retroactive reinsurance contracts
|
(724
|
)
|
|
203
|
|
||
Total incurred loss and loss adjustment expenses
|
188,807
|
|
|
157,799
|
|
||
Net loss and loss adjustment expenses paid in respect of losses occurring in:
|
|
|
|
||||
Current year
|
(25,201
|
)
|
|
(22,784
|
)
|
||
Prior years
|
(83,837
|
)
|
|
(98,636
|
)
|
||
Total net paid losses
|
(109,038
|
)
|
|
(121,420
|
)
|
||
Foreign currency translation
|
(8,737
|
)
|
|
(166
|
)
|
||
Net reserve for loss and loss adjustment expenses, end of period
|
536,954
|
|
|
312,761
|
|
||
Plus: loss and loss adjustment expenses recoverable, end of period
|
1
|
|
|
184
|
|
||
Gross reserve for loss and loss adjustment expenses, end of period
|
$
|
536,955
|
|
|
$
|
312,945
|
|
•
|
The
$14.4 million
of net
adverse
prior years’ reserve development for the
six
months ended
June 30, 2016
was accompanied by net
decreases
of
$1.9 million
in acquisition costs, resulting in a net
increase
of
$12.5 million
in net underwriting loss.
|
•
|
The
$9.2 million
increase in loss and loss adjustment expenses incurred related to the increase in premium estimates on certain contracts was accompanied by a
$5.0 million
increase in acquisition costs, for a total of
$14.2 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
$13.9 million
, resulting in a
$0.3 million
increase
in net underwriting loss for the
six
months ended
June 30, 2016
.
|
•
|
In total, the change in net underwriting loss for prior periods due to loss reserve development and adjustments to premium estimates was an
increase
in net underwriting loss of
$12.8 million
for the
six
months ended
June 30, 2016
.
|
•
|
The
$7.0 million
of net favorable prior years’ reserve development for the
six
months ended
June 30, 2015
was accompanied by net increases of
$10.0 million
in acquisition costs, resulting in a net increase of
$3.0 million
in net underwriting loss.
|
•
|
The
$2.3 million
increase in loss and loss adjustment expenses incurred related to the increase in premium estimates on certain contracts was accompanied by a
$2.0 million
increase in acquisition costs, for a total of
$4.3 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
$4.3 million
, resulting in an insignificant change in net underwriting loss for the
six
months ended
June 30, 2015
.
|
•
|
In total, the change in net underwriting loss for prior periods due to loss reserve development and adjustments to premium estimates was an increase in net underwriting loss of
$3.0 million
for the
six
months ended
June 30, 2015
.
|
|
Three months ended
|
|
Six months ended
|
||||||||||||
|
June 30,
2016 |
|
June 30,
2015 |
|
June 30,
2016 |
|
June 30,
2015 |
||||||||
|
($ in thousands)
|
||||||||||||||
Management fees - Third Point LLC
|
$
|
1,582
|
|
|
$
|
1,633
|
|
|
$
|
3,103
|
|
|
$
|
3,108
|
|
Management fees - Founders (1)
|
8,962
|
|
|
9,259
|
|
|
17,583
|
|
|
17,615
|
|
||||
Performance fees - Third Point Advisors LLC
|
2,954
|
|
|
9,215
|
|
|
2,954
|
|
|
25,059
|
|
||||
|
$
|
13,498
|
|
|
$
|
20,107
|
|
|
$
|
23,640
|
|
|
$
|
45,782
|
|
|
June 30,
2016 |
|
December 31,
2015 |
||||
|
($ in thousands)
|
||||||
Balance, beginning of period
|
$
|
83,955
|
|
|
$
|
145,430
|
|
Consideration received
|
4,049
|
|
|
21,246
|
|
||
Net investment expense allocation and change in fair value of embedded derivatives
|
1,331
|
|
|
2,207
|
|
||
Payments
|
(297
|
)
|
|
(84,928
|
)
|
||
Foreign currency translation
|
(221
|
)
|
|
—
|
|
||
Balance, end of period
|
$
|
88,817
|
|
|
$
|
83,955
|
|
|
Facility
|
|
Utilized
|
|
Collateral
|
||||||
June 30, 2016
|
($ in thousands)
|
||||||||||
BNP Paribas
|
$
|
50,000
|
|
|
$
|
17,990
|
|
|
$
|
17,990
|
|
Citibank
|
300,000
|
|
|
190,841
|
|
|
190,841
|
|
|||
J.P. Morgan
|
50,000
|
|
|
9
|
|
|
9
|
|
|||
Lloyds Bank
|
100,000
|
|
|
32,481
|
|
|
32,481
|
|
|||
|
$
|
500,000
|
|
|
$
|
241,321
|
|
|
$
|
241,321
|
|
|
Three months ended
|
|
Six months ended
|
||||||||||||
|
June 30,
2016 |
|
June 30,
2015 |
|
June 30,
2016 |
|
June 30,
2015 |
||||||||
Net investment income by type
|
($ in thousands)
|
||||||||||||||
Net realized gains on investments and investment derivatives
|
$
|
18,713
|
|
|
$
|
35,319
|
|
|
$
|
41,955
|
|
|
$
|
88,602
|
|
Net unrealized gains (losses) on investments and investment derivatives
|
53,603
|
|
|
11,162
|
|
|
(1,239
|
)
|
|
47,758
|
|
||||
Net gains (losses) on foreign cu
rrencies
|
(801
|
)
|
|
3,959
|
|
|
(967
|
)
|
|
489
|
|
||||
Dividend and interest income
|
33,352
|
|
|
10,757
|
|
|
41,024
|
|
|
18,119
|
|
||||
Dividends paid on securities sold, not yet purchased
|
(526
|
)
|
|
(302
|
)
|
|
(960
|
)
|
|
(422
|
)
|
||||
Management and performance fees
|
(13,498
|
)
|
|
(20,107
|
)
|
|
(23,640
|
)
|
|
(45,782
|
)
|
||||
Other expenses
|
(4,731
|
)
|
|
(2,358
|
)
|
|
(10,418
|
)
|
|
(5,485
|
)
|
||||
Net investment income on investments managed by Third Point LLC
|
86,112
|
|
|
38,430
|
|
|
45,755
|
|
|
103,279
|
|
||||
Net gain on investment in Kiskadee Fund
|
234
|
|
|
139
|
|
|
481
|
|
|
183
|
|
||||
Net investment income related to Catastrophe Reinsurer and Catastrophe Fund
|
—
|
|
|
42
|
|
|
—
|
|
|
67
|
|
||||
|
$
|
86,346
|
|
|
$
|
38,611
|
|
|
$
|
46,236
|
|
|
$
|
103,529
|
|
|
Three months ended
|
|
Six months ended
|
||||||||||||
|
June 30,
2016 |
|
June 30,
2015 |
|
June 30,
2016 |
|
June 30,
2015 |
||||||||
Net investment income by asset class
|
($ in thousands)
|
||||||||||||||
Net investment gains on equity securities
|
$
|
20,821
|
|
|
$
|
43,190
|
|
|
$
|
18,590
|
|
|
$
|
78,943
|
|
Net investment gains on debt securities
|
72,720
|
|
|
22,025
|
|
|
84,869
|
|
|
63,898
|
|
||||
Net investment losses on other investments
|
(5,069
|
)
|
|
(13,525
|
)
|
|
(13,565
|
)
|
|
(27,000
|
)
|
||||
Net investment gains (losses) on investment derivatives
|
14,484
|
|
|
(6,872
|
)
|
|
(17,467
|
)
|
|
10,193
|
|
||||
Net investment gains on securities sold, not yet purchased
|
1,866
|
|
|
12,012
|
|
|
6,170
|
|
|
26,364
|
|
||||
Net investment gains (losses) on cash, including foreign exchange losses
|
(2,644
|
)
|
|
2,634
|
|
|
(4,359
|
)
|
|
1,379
|
|
||||
Net investment gains (losses) on securities purchased under an agreement t
o resell
|
(779
|
)
|
|
638
|
|
|
(1,443
|
)
|
|
(2,314
|
)
|
||||
Net investment gains (losses) on securities sold under an agreement to repurchase
|
(91
|
)
|
|
(54
|
)
|
|
(124
|
)
|
|
261
|
|
||||
Management and performance fees
|
(13,498
|
)
|
|
(20,107
|
)
|
|
(23,640
|
)
|
|
(45,782
|
)
|
||||
Other investment expenses
|
(1,464
|
)
|
|
(1,330
|
)
|
|
(2,795
|
)
|
|
(2,413
|
)
|
||||
|
$
|
86,346
|
|
|
$
|
38,611
|
|
|
$
|
46,236
|
|
|
$
|
103,529
|
|
|
Three months ended
|
|
Six months ended
|
||||||||||||
|
June 30,
2016 |
|
June 30,
2015 |
|
June 30,
2016 |
|
June 30,
2015 |
||||||||
|
($ in thousands)
|
||||||||||||||
Deposit liabilities investment expense
|
$
|
860
|
|
|
$
|
1,352
|
|
|
$
|
1,331
|
|
|
$
|
1,983
|
|
Reinsurance contracts investment expense
|
2,167
|
|
|
1,533
|
|
|
4,637
|
|
|
3,303
|
|
||||
Change in fair value of embedded derivatives in deposit and reinsurance contracts
|
146
|
|
|
(570
|
)
|
|
(89
|
)
|
|
(270
|
)
|
||||
|
$
|
3,173
|
|
|
$
|
2,315
|
|
|
$
|
5,879
|
|
|
$
|
5,016
|
|
|
Three months ended
|
|
Six months ended
|
||||||||||||
|
June 30,
2016 |
|
June 30,
2015 |
|
June 30,
2016 |
|
June 30,
2015 |
||||||||
|
($ in thousands)
|
||||||||||||||
Income tax expense (benefit) related to U.S. and U.K. subsidiaries
|
$
|
2,800
|
|
|
$
|
216
|
|
|
$
|
(319
|
)
|
|
$
|
694
|
|
Change in uncertain tax positions
|
20
|
|
|
(650
|
)
|
|
20
|
|
|
(650
|
)
|
||||
Withholding taxes on certain investment transactions
|
2,490
|
|
|
1,142
|
|
|
3,680
|
|
|
1,969
|
|
||||
|
$
|
5,310
|
|
|
$
|
708
|
|
|
$
|
3,381
|
|
|
$
|
2,013
|
|
(1)
|
As of
June 30, 2016
, the Company has recorded
$7.0 million
(December 31,
2015
-
$6.6 million
) of net deferred tax assets, which are included in other assets in the condensed consolidated balance sheets. As of
June 30, 2016
and December 31,
2015
, the net deferred tax asset was primarily the result of operating losses in the Company’s U.S. subsidiaries. The Company believes that it is more likely than not that the tax benefit will be realized.
|
Common shares
|
2016
|
|
2015
|
||
Balance, beginning of period
|
105,479,341
|
|
|
104,473,402
|
|
Options exercised
|
104,652
|
|
|
216,279
|
|
Restricted shares granted
|
47,712
|
|
|
110,853
|
|
Performance restricted shares granted
|
653,958
|
|
|
461,807
|
|
Balance, end of period
|
106,285,663
|
|
|
105,262,341
|
|
Treasury shares
|
2016
|
|
2015
|
||
Balance, beginning of period
|
—
|
|
|
—
|
|
Repurchase of common shares
|
644,768
|
|
|
—
|
|
Balance, end of period
|
644,768
|
|
|
—
|
|
|
Three months ended
|
|
Six months ended
|
||||||||||||
|
June 30,
2016 |
|
June 30,
2015 |
|
June 30,
2016 |
|
June 30,
2015 |
||||||||
|
($ in thousands)
|
||||||||||||||
Management and director options
|
$
|
1,555
|
|
|
$
|
1,511
|
|
|
$
|
3,109
|
|
|
$
|
3,154
|
|
Restricted shares with service condition
|
386
|
|
|
386
|
|
|
592
|
|
|
1,180
|
|
||||
Restricted shares with service and performance condition
|
110
|
|
|
817
|
|
|
1,001
|
|
|
1,463
|
|
||||
|
$
|
2,051
|
|
|
$
|
2,714
|
|
|
$
|
4,702
|
|
|
$
|
5,797
|
|
|
Number of
options
|
|
Weighted
average exercise
price
|
|||
Balances as of January 1, 2015
|
10,990,841
|
|
|
$
|
13.41
|
|
Forfeited
|
(306,976
|
)
|
|
14.36
|
|
|
Exercised
|
(433,279
|
)
|
|
10.00
|
|
|
Balances as of December 31, 2015
|
10,250,586
|
|
|
13.52
|
|
|
Forfeited
|
(139,534
|
)
|
|
18.00
|
|
|
Exercised
|
(104,652
|
)
|
|
10.00
|
|
|
Balances as of June 30, 2016
|
10,006,400
|
|
|
$
|
13.50
|
|
|
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
|
5,683,741
|
|
|
$
|
10.03
|
|
|
5.57
|
|
4,455,834
|
|
|
$
|
10.03
|
|
$15.05 - $16.89
|
2,196,214
|
|
|
15.94
|
|
|
5.74
|
|
1,661,332
|
|
|
15.97
|
|
||
$20.00 - $25.05
|
2,126,445
|
|
|
20.23
|
|
|
5.68
|
|
1,633,425
|
|
|
20.13
|
|
||
|
10,006,400
|
|
|
$
|
13.50
|
|
|
5.63
|
|
7,750,591
|
|
|
$
|
13.43
|
|
|
Number of non-
vested restricted
shares
|
|
Weighted
average grant
date fair value
|
|||
Balance as of January 1, 2015
|
616,114
|
|
|
$
|
10.10
|
|
Granted
|
118,120
|
|
|
13.06
|
|
|
Forfeited
|
(7,267
|
)
|
|
13.76
|
|
|
Vested
|
(425,924
|
)
|
|
10.37
|
|
|
Balance as of December 31, 2015
|
301,043
|
|
|
11.31
|
|
|
Granted
|
47,712
|
|
|
11.37
|
|
|
Balance as of June 30, 2016
|
348,755
|
|
|
$
|
11.15
|
|
|
Number of non-
vested restricted
shares
|
|
Number of non-
vested restricted
shares probable of vesting
|
|
Weighted average grant date fair value of shares probable of vesting
|
||||
Balance as of January 1, 2015
|
459,746
|
|
|
306,496
|
|
|
$
|
14.60
|
|
Granted
|
514,276
|
|
|
342,846
|
|
|
14.00
|
|
|
Forfeited
|
(52,469
|
)
|
|
(34,980
|
)
|
|
14.29
|
|
|
Change in estimated restricted shares considered probable of vesting
|
n/a
|
|
|
(78,128
|
)
|
|
14.60
|
|
|
Balance as of December 31, 2015
|
921,553
|
|
|
536,234
|
|
|
14.24
|
|
|
Granted
|
653,958
|
|
|
435,971
|
|
|
11.40
|
|
|
Change in estimated restricted shares considered probable of vesting
|
n/a
|
|
|
(163,576
|
)
|
|
(13.51
|
)
|
|
Balance as of June 30, 2016
|
1,575,511
|
|
|
808,629
|
|
|
$
|
12.85
|
|
|
June 30,
2016 |
|
December 31,
2015 |
||||
|
($ in thousands)
|
||||||
Joint Ventures - Third Point Advisors LLC shares
|
$
|
16,663
|
|
|
$
|
16,157
|
|
|
$
|
16,663
|
|
|
$
|
16,157
|
|
|
Three months ended
|
|
Six months ended
|
||||||||||||
|
June 30,
2016 |
|
June 30,
2015 |
|
June 30,
2016 |
|
June 30,
2015 |
||||||||
|
($ in thousands)
|
||||||||||||||
Catastrophe Fund
|
$
|
—
|
|
|
$
|
64
|
|
|
$
|
—
|
|
|
$
|
16
|
|
Catastrophe Fund Manager
|
—
|
|
|
(1
|
)
|
|
—
|
|
|
(33
|
)
|
||||
Joint Ventures - Third Point Advisors LLC shares
|
775
|
|
|
432
|
|
|
506
|
|
|
1,075
|
|
||||
|
$
|
775
|
|
|
$
|
495
|
|
|
$
|
506
|
|
|
$
|
1,058
|
|
a)
|
TP Lux Holdco LP
|
|
|
Three months ended
|
|
Six months ended
|
||||||||||||
|
|
June 30,
2016 |
|
June 30,
2015 |
|
June 30,
2016 |
|
June 30,
2015 |
||||||||
Weighted-average number of common shares outstanding:
|
($ in thousands, except share and per share amounts)
|
|||||||||||||||
|
Basic number of common shares outstanding, net of treasury shares
|
104,132,797
|
|
|
103,927,761
|
|
|
104,195,336
|
|
|
103,837,545
|
|
||||
|
Dilutive effect of options
|
403,547
|
|
|
1,341,209
|
|
|
358,015
|
|
|
1,223,680
|
|
||||
|
Dilutive effect of warrants
|
556,829
|
|
|
1,427,904
|
|
|
553,222
|
|
|
1,364,122
|
|
||||
|
Dilutive effect of restricted shares with service and performance condition
|
140,748
|
|
|
—
|
|
|
121,601
|
|
|
—
|
|
||||
|
Diluted number of common shares outstanding
|
105,233,921
|
|
|
106,696,874
|
|
|
105,228,174
|
|
|
106,425,347
|
|
||||
Basic earnings per common share:
|
|
|
|
|
|
|
|
|||||||||
|
Net income
|
$
|
53,376
|
|
|
$
|
15,662
|
|
|
$
|
2,247
|
|
|
$
|
66,132
|
|
|
Income allocated to participating shares
|
(169
|
)
|
|
(50
|
)
|
|
(7
|
)
|
|
(223
|
)
|
||||
|
Net income available to common shareholders
|
$
|
53,207
|
|
|
$
|
15,612
|
|
|
$
|
2,240
|
|
|
$
|
65,909
|
|
|
Basic earnings per common share
|
$
|
0.51
|
|
|
$
|
0.15
|
|
|
$
|
0.02
|
|
|
$
|
0.63
|
|
Diluted earnings per common share:
|
|
|
|
|
|
|
|
|||||||||
|
Net income
|
$
|
53,376
|
|
|
$
|
15,662
|
|
|
$
|
2,247
|
|
|
$
|
66,132
|
|
|
Income allocated to participating shares
|
(167
|
)
|
|
(49
|
)
|
|
(7
|
)
|
|
(218
|
)
|
||||
|
Net income available to common shareholders
|
$
|
53,209
|
|
|
$
|
15,613
|
|
|
$
|
2,240
|
|
|
$
|
65,914
|
|
|
Diluted earnings per common share
|
$
|
0.51
|
|
|
$
|
0.15
|
|
|
$
|
0.02
|
|
|
$
|
0.62
|
|
June 30, 2016
|
|
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)
|
|
$
|
—
|
|
|
$
|
3,620
|
|
|
$
|
3,620
|
|
|
$
|
—
|
|
|
$
|
1,805
|
|
|
$
|
(1,805
|
)
|
Single name (251-500)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
|
|
$
|
—
|
|
|
$
|
3,620
|
|
|
$
|
3,620
|
|
|
$
|
—
|
|
|
$
|
1,805
|
|
|
$
|
(1,805
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
December 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)
|
|
$
|
—
|
|
|
$
|
2,878
|
|
|
$
|
2,878
|
|
|
$
|
—
|
|
|
$
|
1,480
|
|
|
$
|
(1,480
|
)
|
Single name (251-500)
|
|
3,558
|
|
|
—
|
|
|
3,558
|
|
|
—
|
|
|
574
|
|
|
(574
|
)
|
||||||
|
|
$
|
3,558
|
|
|
$
|
2,878
|
|
|
$
|
6,436
|
|
|
$
|
—
|
|
|
$
|
2,054
|
|
|
$
|
(2,054
|
)
|
(1)
|
As of
June 30, 2016
and
December 31, 2015
, 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.
|
|
Six months ended June 30, 2016
|
||||||||||||||
|
Property and Casualty Reinsurance
|
|
Catastrophe Risk Management
|
|
Corporate
|
|
Total
|
||||||||
Revenues
|
($ in thousands)
|
||||||||||||||
Gross premiums written
|
$
|
394,022
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
394,022
|
|
Gross premiums ceded
|
(1,425
|
)
|
|
—
|
|
|
—
|
|
|
(1,425
|
)
|
||||
Net premiums written
|
392,597
|
|
|
—
|
|
|
—
|
|
|
392,597
|
|
||||
Change in net unearned premium reserves
|
(122,673
|
)
|
|
—
|
|
|
—
|
|
|
(122,673
|
)
|
||||
Net premiums earned
|
269,924
|
|
|
—
|
|
|
—
|
|
|
269,924
|
|
||||
Expenses
|
|
|
|
|
|
|
|
||||||||
Loss and loss adjustment expenses incurred, net
|
188,807
|
|
|
—
|
|
|
—
|
|
|
188,807
|
|
||||
Acquisition costs, net
|
100,169
|
|
|
—
|
|
|
—
|
|
|
100,169
|
|
||||
General and administrative expenses
|
13,147
|
|
|
—
|
|
|
8,384
|
|
|
21,531
|
|
||||
Total expenses
|
302,123
|
|
|
—
|
|
|
8,384
|
|
|
310,507
|
|
||||
Net underwriting loss
|
(32,199
|
)
|
|
n/a
|
|
|
n/a
|
|
|
n/a
|
|
||||
Net investment inco
me
|
10,837
|
|
|
—
|
|
|
35,399
|
|
|
46,236
|
|
||||
Other expenses
|
(5,879
|
)
|
|
—
|
|
|
—
|
|
|
(5,879
|
)
|
||||
Interest expense
|
—
|
|
|
—
|
|
|
(4,094
|
)
|
|
(4,094
|
)
|
||||
Foreign exchange gains
|
—
|
|
|
—
|
|
|
10,454
|
|
|
10,454
|
|
||||
Income tax expense
|
—
|
|
|
—
|
|
|
(3,381
|
)
|
|
(3,381
|
)
|
||||
Segment income (loss) including non-controlling interests
|
(27,241
|
)
|
|
—
|
|
|
29,994
|
|
|
2,753
|
|
||||
Segment income attributable to non-controlling interes
ts
|
—
|
|
|
—
|
|
|
(506
|
)
|
|
(506
|
)
|
||||
Segment income (loss)
|
$
|
(27,241
|
)
|
|
$
|
—
|
|
|
$
|
29,488
|
|
|
$
|
2,247
|
|
|
|
|
|
|
|
|
|
||||||||
Property and Casualty Reinsurance - Underwriting Ratios (1):
|
|
|
|
|
|
|
|||||||||
Loss ratio
|
69.9
|
%
|
|
|
|
|
|
|
|||||||
Acquisition cost ratio
|
37.1
|
%
|
|
|
|
|
|
|
|||||||
Composite ratio
|
107.0
|
%
|
|
|
|
|
|
|
|||||||
General and administrative expense ratio
|
4.9
|
%
|
|
|
|
|
|
|
|||||||
Combined ratio
|
111.9
|
%
|
|
|
|
|
|
|
(1)
|
Underwriting ratios are calculated by dividing the related expense by net premiums earned.
|
|
Six months ended June 30, 2015
|
||||||||||||||
|
Property and Casualty Reinsurance
|
|
Catastrophe Risk Management
|
|
Corporate
|
|
Total
|
||||||||
Revenues
|
($ in thousands)
|
||||||||||||||
Gross premiums written
|
$
|
397,574
|
|
|
$
|
102
|
|
|
$
|
—
|
|
|
$
|
397,676
|
|
Gross premiums ceded
|
(1,477
|
)
|
|
—
|
|
|
—
|
|
|
(1,477
|
)
|
||||
Net premiums written
|
396,097
|
|
|
102
|
|
|
—
|
|
|
396,199
|
|
||||
Change in net unearned premium reserves
|
(136,598
|
)
|
|
52
|
|
|
—
|
|
|
(136,546
|
)
|
||||
Net premiums earned
|
259,499
|
|
|
154
|
|
|
—
|
|
|
259,653
|
|
||||
Expenses
|
|
|
|
|
|
|
|
||||||||
Loss and loss adjustment expenses incurred, net
|
157,799
|
|
|
—
|
|
|
—
|
|
|
157,799
|
|
||||
Acquisition costs, net
|
102,138
|
|
|
17
|
|
|
—
|
|
|
102,155
|
|
||||
General and administrative expenses
|
12,809
|
|
|
431
|
|
|
12,735
|
|
|
25,975
|
|
||||
Total expenses
|
272,746
|
|
|
448
|
|
|
12,735
|
|
|
285,929
|
|
||||
Net underwriting loss
|
(13,247
|
)
|
|
n/a
|
|
|
n/a
|
|
|
n/a
|
|
||||
Net investment income
|
28,365
|
|
|
68
|
|
|
75,096
|
|
|
103,529
|
|
||||
Other expenses
|
(5,016
|
)
|
|
—
|
|
|
—
|
|
|
(5,016
|
)
|
||||
Interest expense
|
—
|
|
|
—
|
|
|
(3,088
|
)
|
|
(3,088
|
)
|
||||
Foreign exchange gains
|
—
|
|
|
—
|
|
|
54
|
|
|
54
|
|
||||
Income tax expense
|
—
|
|
|
—
|
|
|
(2,013
|
)
|
|
(2,013
|
)
|
||||
Segment income (loss) including non-controlling interests
|
10,102
|
|
|
(226
|
)
|
|
57,314
|
|
|
67,190
|
|
||||
Segment (income) loss attributable to non-controlling interests
|
—
|
|
|
16
|
|
|
(1,074
|
)
|
|
(1,058
|
)
|
||||
Segment income (loss)
|
$
|
10,102
|
|
|
$
|
(210
|
)
|
|
$
|
56,240
|
|
|
$
|
66,132
|
|
|
|
|
|
|
|
|
|
||||||||
Property and Casualty Reinsurance - Underwriting Ratios (1):
|
|
|
|
|
|
|
|||||||||
Loss ratio
|
60.8
|
%
|
|
|
|
|
|
|
|||||||
Acquisition cost ratio
|
39.4
|
%
|
|
|
|
|
|
|
|||||||
Composite ratio
|
100.2
|
%
|
|
|
|
|
|
|
|||||||
General and administrative expense ratio
|
4.9
|
%
|
|
|
|
|
|
|
|||||||
Combined ratio
|
105.1
|
%
|
|
|
|
|
|
|
(1)
|
Underwriting ratios are calculated by dividing the related expense by net premiums earned.
|
|
Three months ended
|
|
Six months ended
|
||||||||
|
June 30, 2016
|
|
June 30, 2015
|
|
June 30, 2016
|
|
June 30, 2015
|
||||
Largest contract
|
14.9
|
%
|
|
18.9
|
%
|
|
28.4
|
%
|
|
23.5
|
%
|
Second largest contract
|
12.6
|
%
|
|
n/a
|
|
|
n/a
|
|
|
n/a
|
|
Third largest contract
|
11.4
|
%
|
|
n/a
|
|
|
n/a
|
|
|
n/a
|
|
Total for contracts contributing greater than 10% each
|
38.9
|
%
|
|
18.9
|
%
|
|
28.4
|
%
|
|
23.5
|
%
|
Total for contracts contributing less than 10% each
|
61.1
|
%
|
|
81.1
|
%
|
|
71.6
|
%
|
|
76.5
|
%
|
|
100.0
|
%
|
|
100.0
|
%
|
|
100.0
|
%
|
|
100.0
|
%
|
|
Three months ended
|
|
Six months ended
|
||||||||||||||||||||||||
|
June 30, 2016
|
|
June 30, 2015
|
|
June 30, 2016
|
|
June 30, 2015
|
||||||||||||||||||||
|
($ in thousands)
|
||||||||||||||||||||||||||
Property
|
$
|
7,257
|
|
|
3.7
|
%
|
|
$
|
27,535
|
|
|
14.9
|
%
|
|
$
|
7,082
|
|
|
1.8
|
%
|
|
$
|
48,991
|
|
|
12.3
|
%
|
Casualty
|
149,129
|
|
|
75.7
|
%
|
|
149,157
|
|
|
80.9
|
%
|
|
160,506
|
|
|
40.7
|
%
|
|
159,009
|
|
|
40.0
|
%
|
||||
Specialty
|
40,480
|
|
|
20.6
|
%
|
|
7,499
|
|
|
4.1
|
%
|
|
226,434
|
|
|
57.5
|
%
|
|
189,574
|
|
|
47.7
|
%
|
||||
Total property and casualty reinsurance
|
196,866
|
|
|
100.0
|
%
|
|
184,191
|
|
|
99.9
|
%
|
|
394,022
|
|
|
100.0
|
%
|
|
397,574
|
|
|
100.0
|
%
|
||||
Catastrophe risk management
|
—
|
|
|
—
|
%
|
|
151
|
|
|
0.1
|
%
|
|
—
|
|
|
—
|
%
|
|
102
|
|
|
—
|
%
|
||||
|
$
|
196,866
|
|
|
100.0
|
%
|
|
$
|
184,342
|
|
|
100.0
|
%
|
|
$
|
394,022
|
|
|
100.0
|
%
|
|
$
|
397,676
|
|
|
100.0
|
%
|
|
Three months ended
|
|
Six months ended
|
||||||||||||||||||||||||
|
June 30, 2016
|
|
June 30, 2015
|
|
June 30, 2016
|
|
June 30, 2015
|
||||||||||||||||||||
|
($ in thousands)
|
||||||||||||||||||||||||||
Prospective
|
$
|
196,866
|
|
|
100.0
|
%
|
|
$
|
184,342
|
|
|
100.0
|
%
|
|
$
|
394,022
|
|
|
100.0
|
%
|
|
$
|
381,166
|
|
|
95.8
|
%
|
Retroactive
(1)
|
—
|
|
|
—
|
%
|
|
—
|
|
|
—
|
%
|
|
—
|
|
|
—
|
%
|
|
16,510
|
|
|
4.2
|
%
|
||||
|
$
|
196,866
|
|
|
100.0
|
%
|
|
$
|
184,342
|
|
|
100.0
|
%
|
|
$
|
394,022
|
|
|
100.0
|
%
|
|
$
|
397,676
|
|
|
100.0
|
%
|
(1)
|
Includes all retroactive exposure in reinsurance contracts.
|
|
Three months ended
|
|
Six months ended
|
||||||||||||||||||||||||
|
June 30, 2016
|
|
June 30, 2015
|
|
June 30, 2016
|
|
June 30, 2015
|
||||||||||||||||||||
|
($ in thousands)
|
||||||||||||||||||||||||||
Largest broker
|
$
|
63,084
|
|
|
32.0
|
%
|
|
$
|
45,451
|
|
|
24.7
|
%
|
|
$
|
181,205
|
|
|
46.0
|
%
|
|
$
|
127,237
|
|
|
32.0
|
%
|
Second largest broker
|
58,000
|
|
|
29.5
|
%
|
|
43,700
|
|
|
23.7
|
%
|
|
94,749
|
|
|
24.0
|
%
|
|
90,299
|
|
|
22.7
|
%
|
||||
Third largest broker
|
53,034
|
|
|
26.9
|
%
|
|
34,875
|
|
|
18.9
|
%
|
|
62,295
|
|
|
15.8
|
%
|
|
56,781
|
|
|
14.3
|
%
|
||||
Fourth largest broker
|
n/a
|
|
|
n/a
|
|
|
29,879
|
|
|
16.2
|
%
|
|
n/a
|
|
|
n/a
|
|
|
n/a
|
|
|
n/a
|
|
||||
Other
|
22,748
|
|
|
11.6
|
%
|
|
30,437
|
|
|
16.5
|
%
|
|
55,773
|
|
|
14.2
|
%
|
|
123,359
|
|
|
31.0
|
%
|
||||
|
$
|
196,866
|
|
|
100.0
|
%
|
|
$
|
184,342
|
|
|
100.0
|
%
|
|
$
|
394,022
|
|
|
100.0
|
%
|
|
$
|
397,676
|
|
|
100.0
|
%
|
|
Three months ended
|
|
Six months ended
|
||||||||||||||||||||||||
|
June 30, 2016
|
|
June 30, 2015
|
|
June 30, 2016
|
|
June 30, 2015
|
||||||||||||||||||||
|
($ in thousands)
|
||||||||||||||||||||||||||
United States
|
$
|
124,446
|
|
|
63.2
|
%
|
|
$
|
170,298
|
|
|
92.4
|
%
|
|
$
|
167,738
|
|
|
42.6
|
%
|
|
$
|
189,974
|
|
|
47.8
|
%
|
Bermuda
|
46,539
|
|
|
23.6
|
%
|
|
14,044
|
|
|
7.6
|
%
|
|
46,539
|
|
|
11.8
|
%
|
|
43,942
|
|
|
11.0
|
%
|
||||
United Kingdom
|
25,881
|
|
|
13.2
|
%
|
|
—
|
|
|
—
|
%
|
|
179,745
|
|
|
45.6
|
%
|
|
163,760
|
|
|
41.2
|
%
|
||||
|
$
|
196,866
|
|
|
100.0
|
%
|
|
$
|
184,342
|
|
|
100.0
|
%
|
|
$
|
394,022
|
|
|
100.0
|
%
|
|
$
|
397,676
|
|
|
100.0
|
%
|
CONDENSED CONSOLIDATING BALANCE SHEET
|
|||||||||||||||||||
As of June 30, 2016
|
|||||||||||||||||||
(expressed in thousands of U.S. dollars)
|
|||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
||||||||||
|
Third Point Reinsurance Ltd.
|
|
TPRUSA
|
|
Non-Guarantor Subsidiaries
|
|
Eliminations
|
|
Consolidated
|
||||||||||
Assets
|
|
|
|
|
|
|
|
|
|
||||||||||
Equity securities
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
1,458,015
|
|
|
$
|
—
|
|
|
$
|
1,458,015
|
|
Debt securities
|
—
|
|
|
—
|
|
|
1,250,883
|
|
|
—
|
|
|
1,250,883
|
|
|||||
Other investments
|
—
|
|
|
—
|
|
|
64,320
|
|
|
—
|
|
|
64,320
|
|
|||||
Total investments in securities
|
—
|
|
|
—
|
|
|
2,773,218
|
|
|
—
|
|
|
2,773,218
|
|
|||||
Cash and cash equivalents
|
191
|
|
|
2
|
|
|
6,845
|
|
|
—
|
|
|
7,038
|
|
|||||
Restricted cash and cash equivalents
|
—
|
|
|
—
|
|
|
280,069
|
|
|
—
|
|
|
280,069
|
|
|||||
Investment in subsidiaries
|
1,391,418
|
|
|
268,950
|
|
|
165,318
|
|
|
(1,825,686
|
)
|
|
—
|
|
|||||
Due from brokers
|
—
|
|
|
—
|
|
|
337,264
|
|
|
—
|
|
|
337,264
|
|
|||||
Derivative assets, at fair value
|
—
|
|
|
—
|
|
|
26,122
|
|
|
—
|
|
|
26,122
|
|
|||||
Interest and dividends receivable
|
—
|
|
|
—
|
|
|
7,492
|
|
|
—
|
|
|
7,492
|
|
|||||
Reinsurance balances receivable
|
—
|
|
|
—
|
|
|
429,358
|
|
|
—
|
|
|
429,358
|
|
|||||
Deferred acquisition costs, net
|
—
|
|
|
—
|
|
|
221,651
|
|
|
—
|
|
|
221,651
|
|
|||||
Amounts due from (to) affiliates
|
(9,222
|
)
|
|
(4,272
|
)
|
|
13,494
|
|
|
—
|
|
|
—
|
|
|||||
Other assets
|
170
|
|
|
4,055
|
|
|
9,934
|
|
|
—
|
|
|
14,159
|
|
|||||
Total assets
|
$
|
1,382,557
|
|
|
$
|
268,735
|
|
|
$
|
4,270,765
|
|
|
$
|
(1,825,686
|
)
|
|
$
|
4,096,371
|
|
Liabilities and shareholders’ equity
|
|
|
|
|
|
|
|
|
|
||||||||||
Liabilities
|
|
|
|
|
|
|
|
|
|
||||||||||
Accounts payable and accrued expenses
|
$
|
2,225
|
|
|
$
|
50
|
|
|
$
|
7,603
|
|
|
$
|
—
|
|
|
$
|
9,878
|
|
Reinsurance balances payable
|
—
|
|
|
—
|
|
|
45,747
|
|
|
—
|
|
|
45,747
|
|
|||||
Deposit liabilities
|
—
|
|
|
—
|
|
|
88,817
|
|
|
—
|
|
|
88,817
|
|
|||||
Unearned premium reserves
|
—
|
|
|
—
|
|
|
655,397
|
|
|
—
|
|
|
655,397
|
|
|||||
Loss and loss adjustment expense reserves
|
—
|
|
|
—
|
|
|
536,955
|
|
|
—
|
|
|
536,955
|
|
|||||
Securities sold, not yet purchased, at fair value
|
—
|
|
|
—
|
|
|
262,748
|
|
|
—
|
|
|
262,748
|
|
|||||
Securities sold under an agreement to repurchase
|
—
|
|
|
—
|
|
|
168,356
|
|
|
—
|
|
|
168,356
|
|
|||||
Due to brokers
|
—
|
|
|
—
|
|
|
794,141
|
|
|
—
|
|
|
794,141
|
|
|||||
Derivative liabilities, at fair value
|
—
|
|
|
—
|
|
|
16,401
|
|
|
—
|
|
|
16,401
|
|
|||||
Performance fee payable to related party
|
—
|
|
|
—
|
|
|
2,954
|
|
|
—
|
|
|
2,954
|
|
|||||
Interest and dividends payable
|
—
|
|
|
3,035
|
|
|
1,482
|
|
|
—
|
|
|
4,517
|
|
|||||
Senior notes payable, net of deferred costs
|
—
|
|
|
113,465
|
|
|
—
|
|
|
—
|
|
|
113,465
|
|
|||||
Total liabilities
|
2,225
|
|
|
116,550
|
|
|
2,580,601
|
|
|
—
|
|
|
2,699,376
|
|
|||||
Shareholders’ equity
|
|
|
|
|
|
|
|
|
|
||||||||||
Common shares
|
10,629
|
|
|
—
|
|
|
1,250
|
|
|
(1,250
|
)
|
|
10,629
|
|
|||||
Treasury shares
|
(7,389
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(7,389
|
)
|
|||||
Additional paid-in capital
|
1,086,258
|
|
|
165,386
|
|
|
1,524,883
|
|
|
(1,690,269
|
)
|
|
1,086,258
|
|
|||||
Retained earnings (deficit)
|
290,834
|
|
|
(13,201
|
)
|
|
147,368
|
|
|
(134,167
|
)
|
|
290,834
|
|
|||||
Shareholders’ equity attributable to shareholders
|
1,380,332
|
|
|
152,185
|
|
|
1,673,501
|
|
|
(1,825,686
|
)
|
|
1,380,332
|
|
|||||
Non-controlling interests
|
—
|
|
|
—
|
|
|
16,663
|
|
|
—
|
|
|
16,663
|
|
|||||
Total shareholders’ equity
|
1,380,332
|
|
|
152,185
|
|
|
1,690,164
|
|
|
(1,825,686
|
)
|
|
1,396,995
|
|
|||||
Total liabilities and shareholders’ equity
|
$
|
1,382,557
|
|
|
$
|
268,735
|
|
|
$
|
4,270,765
|
|
|
$
|
(1,825,686
|
)
|
|
$
|
4,096,371
|
|
CONDENSED CONSOLIDATING BALANCE SHEET
|
|||||||||||||||||||
As of December 31, 2015
|
|||||||||||||||||||
(expressed in thousands of U.S. dollars)
|
|||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
||||||||||
|
Third Point Reinsurance Ltd.
|
|
TPRUSA
|
|
Non-Guarantor Subsidiaries
|
|
Eliminations
|
|
Consolidated
|
||||||||||
Assets
|
|
|
|
|
|
|
|
|
|
||||||||||
Equity securities
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
1,231,077
|
|
|
$
|
—
|
|
|
$
|
1,231,077
|
|
Debt securities
|
—
|
|
|
—
|
|
|
1,034,247
|
|
|
—
|
|
|
1,034,247
|
|
|||||
Other investments
|
—
|
|
|
—
|
|
|
51,920
|
|
|
—
|
|
|
51,920
|
|
|||||
Total investments in securities
|
—
|
|
|
—
|
|
|
2,317,244
|
|
|
—
|
|
|
2,317,244
|
|
|||||
Cash and cash equivalents
|
308
|
|
|
5
|
|
|
20,094
|
|
|
—
|
|
|
20,407
|
|
|||||
Restricted cash and cash equivalents
|
—
|
|
|
—
|
|
|
330,915
|
|
|
—
|
|
|
330,915
|
|
|||||
Investment in subsidiaries
|
1,382,336
|
|
|
261,083
|
|
|
159,593
|
|
|
(1,803,012
|
)
|
|
—
|
|
|||||
Due from brokers
|
—
|
|
|
—
|
|
|
326,971
|
|
|
—
|
|
|
326,971
|
|
|||||
Derivative assets, at fair value
|
—
|
|
|
—
|
|
|
35,337
|
|
|
—
|
|
|
35,337
|
|
|||||
Interest and dividends receivable
|
—
|
|
|
—
|
|
|
10,687
|
|
|
—
|
|
|
10,687
|
|
|||||
Reinsurance balances receivable
|
—
|
|
|
—
|
|
|
294,313
|
|
|
—
|
|
|
294,313
|
|
|||||
Deferred acquisition costs, net
|
—
|
|
|
—
|
|
|
197,093
|
|
|
—
|
|
|
197,093
|
|
|||||
Amounts due from (to) affiliates
|
(346
|
)
|
|
(230
|
)
|
|
576
|
|
|
—
|
|
|
—
|
|
|||||
Other assets
|
564
|
|
|
2,613
|
|
|
8,964
|
|
|
—
|
|
|
12,141
|
|
|||||
Total assets
|
$
|
1,382,862
|
|
|
$
|
263,471
|
|
|
$
|
3,701,787
|
|
|
$
|
(1,803,012
|
)
|
|
$
|
3,545,108
|
|
Liabilities and shareholders’ equity
|
|
|
|
|
|
|
|
|
|
||||||||||
Liabilities
|
|
|
|
|
|
|
|
|
|
||||||||||
Accounts payable and accrued expenses
|
$
|
3,136
|
|
|
$
|
40
|
|
|
$
|
8,790
|
|
|
$
|
—
|
|
|
$
|
11,966
|
|
Reinsurance balances payable
|
—
|
|
|
—
|
|
|
24,119
|
|
|
—
|
|
|
24,119
|
|
|||||
Deposit liabilities
|
—
|
|
|
—
|
|
|
83,955
|
|
|
—
|
|
|
83,955
|
|
|||||
Unearned premium reserves
|
—
|
|
|
—
|
|
|
531,710
|
|
|
—
|
|
|
531,710
|
|
|||||
Loss and loss adjustment expense reserves
|
—
|
|
|
—
|
|
|
466,047
|
|
|
—
|
|
|
466,047
|
|
|||||
Securities sold, not yet purchased, at fair value
|
—
|
|
|
—
|
|
|
314,353
|
|
|
—
|
|
|
314,353
|
|
|||||
Securities sold under an agreement to repurchase
|
—
|
|
|
—
|
|
|
8,944
|
|
|
—
|
|
|
8,944
|
|
|||||
Due to brokers
|
—
|
|
|
—
|
|
|
574,962
|
|
|
—
|
|
|
574,962
|
|
|||||
Derivative liabilities, at fair value
|
—
|
|
|
—
|
|
|
15,392
|
|
|
—
|
|
|
15,392
|
|
|||||
Interest and dividends payable
|
—
|
|
|
3,055
|
|
|
1,345
|
|
|
—
|
|
|
4,400
|
|
|||||
Senior notes payable, net of deferred costs
|
—
|
|
|
113,377
|
|
|
—
|
|
|
—
|
|
|
113,377
|
|
|||||
Total liabilities
|
3,136
|
|
|
116,472
|
|
|
2,029,617
|
|
|
—
|
|
|
2,149,225
|
|
|||||
Shareholders’ equity
|
|
|
|
|
|
|
|
|
|
||||||||||
Common shares
|
10,548
|
|
|
—
|
|
|
1,250
|
|
|
(1,250
|
)
|
|
10,548
|
|
|||||
Additional paid-in capital
|
1,080,591
|
|
|
159,618
|
|
|
1,509,594
|
|
|
(1,669,212
|
)
|
|
1,080,591
|
|
|||||
Retained earnings (deficit)
|
288,587
|
|
|
(12,619
|
)
|
|
145,169
|
|
|
(132,550
|
)
|
|
288,587
|
|
|||||
Shareholders’ equity attributable to shareholders
|
1,379,726
|
|
|
146,999
|
|
|
1,656,013
|
|
|
(1,803,012
|
)
|
|
1,379,726
|
|
|||||
Non-controlling interests
|
—
|
|
|
—
|
|
|
16,157
|
|
|
—
|
|
|
16,157
|
|
|||||
Total shareholders’ equity
|
1,379,726
|
|
|
146,999
|
|
|
1,672,170
|
|
|
(1,803,012
|
)
|
|
1,395,883
|
|
|||||
Total liabilities and shareholders’ equity
|
$
|
1,382,862
|
|
|
$
|
263,471
|
|
|
$
|
3,701,787
|
|
|
$
|
(1,803,012
|
)
|
|
$
|
3,545,108
|
|
CONDENSED CONSOLIDATING STATEMENT OF INCOME
|
|||||||||||||||||||
Three months ended June 30, 2016
|
|||||||||||||||||||
(expressed in thousands of U.S. dollars)
|
|||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
||||||||||
|
Third Point Reinsurance Ltd.
|
|
TPRUSA
|
|
Non-Guarantor Subsidiaries
|
|
Eliminations
|
|
Consolidated
|
||||||||||
Revenues
|
|
|
|
|
|
|
|
|
|
||||||||||
Gross premiums written
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
196,866
|
|
|
$
|
—
|
|
|
$
|
196,866
|
|
Gross premiums ceded
|
—
|
|
|
—
|
|
|
(1,425
|
)
|
|
—
|
|
|
(1,425
|
)
|
|||||
Net premiums written
|
—
|
|
|
—
|
|
|
195,441
|
|
|
—
|
|
|
195,441
|
|
|||||
Change in net unearned premium reserves
|
—
|
|
|
—
|
|
|
(62,319
|
)
|
|
—
|
|
|
(62,319
|
)
|
|||||
Net premiums earned
|
—
|
|
|
—
|
|
|
133,122
|
|
|
—
|
|
|
133,122
|
|
|||||
Net investment inco
me
|
—
|
|
|
—
|
|
|
86,346
|
|
|
—
|
|
|
86,346
|
|
|||||
Equity in earnings (losses) of sub
sidiaries
|
54,715
|
|
|
6,551
|
|
|
(12
|
)
|
|
(61,254
|
)
|
|
—
|
|
|||||
Total revenues
|
54,715
|
|
|
6,551
|
|
|
219,456
|
|
|
(61,254
|
)
|
|
219,468
|
|
|||||
Expenses
|
|
|
|
|
|
|
|
|
|
||||||||||
Loss and loss adjustment expenses incurred, net
|
—
|
|
|
—
|
|
|
104,131
|
|
|
—
|
|
|
104,131
|
|
|||||
Acquisition costs, net
|
—
|
|
|
—
|
|
|
48,482
|
|
|
—
|
|
|
48,482
|
|
|||||
General and administrative expenses
|
1,339
|
|
|
28
|
|
|
8,876
|
|
|
—
|
|
|
10,243
|
|
|||||
Other expenses
|
—
|
|
|
—
|
|
|
3,173
|
|
|
—
|
|
|
3,173
|
|
|||||
Interest expense
|
—
|
|
|
2,046
|
|
|
—
|
|
|
—
|
|
|
2,046
|
|
|||||
Foreign exchange gains
|
—
|
|
|
—
|
|
|
(8,068
|
)
|
|
—
|
|
|
(8,068
|
)
|
|||||
Total expenses
|
1,339
|
|
|
2,074
|
|
|
156,594
|
|
|
—
|
|
|
160,007
|
|
|||||
Income before income tax expense
|
53,376
|
|
|
4,477
|
|
|
62,862
|
|
|
(61,254
|
)
|
|
59,461
|
|
|||||
Income tax (expens
e) benefit
|
—
|
|
|
725
|
|
|
(6,035
|
)
|
|
—
|
|
|
(5,310
|
)
|
|||||
Income including non-controlling interests
|
53,376
|
|
|
5,202
|
|
|
56,827
|
|
|
(61,254
|
)
|
|
54,151
|
|
|||||
Income attributable to non-controlling interests
|
—
|
|
|
—
|
|
|
(775
|
)
|
|
—
|
|
|
(775
|
)
|
|||||
Net income
|
$
|
53,376
|
|
|
$
|
5,202
|
|
|
$
|
56,052
|
|
|
$
|
(61,254
|
)
|
|
$
|
53,376
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
CONDENSED CONSOLIDATING STATEMENT OF INCOME (LOSS)
|
|||||||||||||||||||
Six months ended June 30, 2016
|
|||||||||||||||||||
(expressed in thousands of U.S. dollars)
|
|||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
||||||||||
|
Third Point Reinsurance Ltd.
|
|
TPRUSA
|
|
Non-Guarantor Subsidiaries
|
|
Eliminations
|
|
Consolidated
|
||||||||||
Revenues
|
|
|
|
|
|
|
|
|
|
||||||||||
Gross premiums written
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
394,022
|
|
|
$
|
—
|
|
|
$
|
394,022
|
|
Gross premiums ceded
|
—
|
|
|
—
|
|
|
(1,425
|
)
|
|
—
|
|
|
(1,425
|
)
|
|||||
Net premiums written
|
—
|
|
|
—
|
|
|
392,597
|
|
|
—
|
|
|
392,597
|
|
|||||
Change in net unearned premium reserves
|
—
|
|
|
—
|
|
|
(122,673
|
)
|
|
—
|
|
|
(122,673
|
)
|
|||||
Net premiums earned
|
—
|
|
|
—
|
|
|
269,924
|
|
|
—
|
|
|
269,924
|
|
|||||
Net investment income
|
—
|
|
|
—
|
|
|
46,236
|
|
|
—
|
|
|
46,236
|
|
|||||
Equity in earnings (losses) of s
ubsidiaries
|
4,561
|
|
|
2,099
|
|
|
(43
|
)
|
|
(6,617
|
)
|
|
—
|
|
|||||
Total revenues
|
4,561
|
|
|
2,099
|
|
|
316,117
|
|
|
(6,617
|
)
|
|
316,160
|
|
|||||
Expenses
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Loss and loss adjustment expenses incurred, net
|
—
|
|
|
—
|
|
|
188,807
|
|
|
—
|
|
|
188,807
|
|
|||||
Acquisition costs, net
|
—
|
|
|
—
|
|
|
100,169
|
|
|
—
|
|
|
100,169
|
|
|||||
General and administrative expenses
|
2,314
|
|
|
30
|
|
|
19,187
|
|
|
—
|
|
|
21,531
|
|
|||||
Other expenses
|
—
|
|
|
—
|
|
|
5,879
|
|
|
—
|
|
|
5,879
|
|
|||||
Interest expense
|
—
|
|
|
4,094
|
|
|
—
|
|
|
—
|
|
|
4,094
|
|
|||||
Foreign exchange gains
|
—
|
|
|
—
|
|
|
(10,454
|
)
|
|
—
|
|
|
(10,454
|
)
|
|||||
Total expenses
|
2,314
|
|
|
4,124
|
|
|
303,588
|
|
|
—
|
|
|
310,026
|
|
|||||
Income (loss) before income tax (expense) benefit
|
2,247
|
|
|
(2,025
|
)
|
|
12,529
|
|
|
(6,617
|
)
|
|
6,134
|
|
|||||
Income tax (expense) benefit
|
—
|
|
|
1,443
|
|
|
(4,824
|
)
|
|
—
|
|
|
(3,381
|
)
|
|||||
Income (loss) including non-controlling interests
|
2,247
|
|
|
(582
|
)
|
|
7,705
|
|
|
(6,617
|
)
|
|
2,753
|
|
|||||
Income attributable to non-controlling interests
|
—
|
|
|
—
|
|
|
(506
|
)
|
|
—
|
|
|
(506
|
)
|
|||||
Net income (loss)
|
$
|
2,247
|
|
|
$
|
(582
|
)
|
|
$
|
7,199
|
|
|
$
|
(6,617
|
)
|
|
$
|
2,247
|
|
CONDENSED CONSOLIDATING STATEMENT OF INCOME
|
|||||||||||||||||||
Three months ended June 30, 2015
|
|||||||||||||||||||
(expressed in thousands of U.S. dollars)
|
|||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
||||||||||
|
Third Point Reinsurance Ltd.
|
|
TPRUSA
|
|
Non-Guarantor Subsidiaries
|
|
Eliminations
|
|
Consolidated
|
||||||||||
Revenues
|
|
|
|
|
|
|
|
|
|
||||||||||
Gross premiums written
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
184,342
|
|
|
$
|
—
|
|
|
$
|
184,342
|
|
Gross premiums ceded
|
—
|
|
|
—
|
|
|
(1,425
|
)
|
|
—
|
|
|
(1,425
|
)
|
|||||
Net premiums written
|
—
|
|
|
—
|
|
|
182,917
|
|
|
—
|
|
|
182,917
|
|
|||||
Change in net unearned premium reserves
|
—
|
|
|
—
|
|
|
(62,339
|
)
|
|
—
|
|
|
(62,339
|
)
|
|||||
Net premiums earned
|
—
|
|
|
—
|
|
|
120,578
|
|
|
—
|
|
|
120,578
|
|
|||||
Net investment income
|
—
|
|
|
—
|
|
|
38,611
|
|
|
—
|
|
|
38,611
|
|
|||||
Equity in earnings of subsidiaries
|
20,385
|
|
|
2,774
|
|
|
25
|
|
|
(23,184
|
)
|
|
—
|
|
|||||
Total revenues
|
20,385
|
|
|
2,774
|
|
|
159,214
|
|
|
(23,184
|
)
|
|
159,189
|
|
|||||
Expenses
|
|
|
|
|
|
|
|
|
|
||||||||||
Loss and loss adjustment expenses incurred, net
|
—
|
|
|
—
|
|
|
76,053
|
|
|
—
|
|
|
76,053
|
|
|||||
Acquisition costs, net
|
—
|
|
|
—
|
|
|
47,498
|
|
|
—
|
|
|
47,498
|
|
|||||
General and administrative expenses
|
4,723
|
|
|
135
|
|
|
9,409
|
|
|
—
|
|
|
14,267
|
|
|||||
Other expenses
|
—
|
|
|
—
|
|
|
2,315
|
|
|
—
|
|
|
2,315
|
|
|||||
Interest expense
|
—
|
|
|
2,052
|
|
|
—
|
|
|
—
|
|
|
2,052
|
|
|||||
Foreign exchange losses
|
—
|
|
|
—
|
|
|
139
|
|
|
—
|
|
|
139
|
|
|||||
Total expenses
|
4,723
|
|
|
2,187
|
|
|
135,414
|
|
|
—
|
|
|
142,324
|
|
|||||
Income before income tax expense
|
15,662
|
|
|
587
|
|
|
23,800
|
|
|
(23,184
|
)
|
|
16,865
|
|
|||||
Income tax expense
|
—
|
|
|
(213
|
)
|
|
(495
|
)
|
|
—
|
|
|
(708
|
)
|
|||||
Income including non-controlling interests
|
15,662
|
|
|
374
|
|
|
23,305
|
|
|
(23,184
|
)
|
|
16,157
|
|
|||||
Income attributable to non-controlling interests
|
—
|
|
|
—
|
|
|
(495
|
)
|
|
|
|
(495
|
)
|
||||||
Net income
|
$
|
15,662
|
|
|
$
|
374
|
|
|
$
|
22,810
|
|
|
$
|
(23,184
|
)
|
|
$
|
15,662
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
CONDENSED CONSOLIDATING STATEMENT OF INCOME
|
|||||||||||||||||||
Six months ended June 30, 2015
|
|||||||||||||||||||
(expressed in thousands of U.S. dollars)
|
|||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
||||||||||
|
Third Point Reinsurance Ltd.
|
|
TPRUSA
|
|
Non-Guarantor Subsidiaries
|
|
Eliminations
|
|
Consolidated
|
||||||||||
Revenues
|
|
|
|
|
|
|
|
|
|
||||||||||
Gross premiums written
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
397,676
|
|
|
$
|
—
|
|
|
$
|
397,676
|
|
Gross premiums ceded
|
—
|
|
|
—
|
|
|
(1,477
|
)
|
|
—
|
|
|
(1,477
|
)
|
|||||
Net premiums written
|
—
|
|
|
—
|
|
|
396,199
|
|
|
—
|
|
|
396,199
|
|
|||||
Change in net unearned premium reserves
|
—
|
|
|
—
|
|
|
(136,546
|
)
|
|
—
|
|
|
(136,546
|
)
|
|||||
Net premiums earned
|
—
|
|
|
—
|
|
|
259,653
|
|
|
—
|
|
|
259,653
|
|
|||||
Net investment income
|
—
|
|
|
|
|
|
103,529
|
|
|
—
|
|
|
103,529
|
|
|||||
Equity in earnings of subsidiaries
|
72,107
|
|
|
5,217
|
|
|
—
|
|
|
(77,324
|
)
|
|
—
|
|
|||||
Total revenues
|
72,107
|
|
|
5,217
|
|
|
363,182
|
|
|
(77,324
|
)
|
|
363,182
|
|
|||||
Expenses
|
|
|
|
|
|
|
|
|
|
||||||||||
Loss and loss adjustment expenses incurred, net
|
—
|
|
|
—
|
|
|
157,799
|
|
|
—
|
|
|
157,799
|
|
|||||
Acquisition costs, net
|
—
|
|
|
—
|
|
|
102,155
|
|
|
—
|
|
|
102,155
|
|
|||||
General and administrative expenses
|
5,975
|
|
|
220
|
|
|
19,780
|
|
|
—
|
|
|
25,975
|
|
|||||
Other expenses
|
—
|
|
|
—
|
|
|
5,016
|
|
|
—
|
|
|
5,016
|
|
|||||
Interest expense
|
—
|
|
|
3,088
|
|
|
—
|
|
|
—
|
|
|
3,088
|
|
|||||
Foreign exchange gains
|
—
|
|
|
—
|
|
|
(54
|
)
|
|
—
|
|
|
(54
|
)
|
|||||
Total expenses
|
5,975
|
|
|
3,308
|
|
|
284,696
|
|
|
—
|
|
|
293,979
|
|
|||||
Income before income tax expense
|
66,132
|
|
|
1,909
|
|
|
78,486
|
|
|
(77,324
|
)
|
|
69,203
|
|
|||||
Income tax expense
|
—
|
|
|
(688
|
)
|
|
(1,325
|
)
|
|
—
|
|
|
(2,013
|
)
|
|||||
Income including non-controlling interests
|
66,132
|
|
|
1,221
|
|
|
77,161
|
|
|
(77,324
|
)
|
|
67,190
|
|
|||||
Income attributable to non-controlling interests
|
—
|
|
|
—
|
|
|
(1,058
|
)
|
|
—
|
|
|
(1,058
|
)
|
|||||
Net income
|
$
|
66,132
|
|
|
$
|
1,221
|
|
|
$
|
76,103
|
|
|
$
|
(77,324
|
)
|
|
$
|
66,132
|
|
CONDENSED CONSOLIDATING STATEMENT OF CASH FLOWS
|
|||||||||||||||||||
Six months ended June 30, 2016
|
|||||||||||||||||||
(expressed in thousands of U.S. dollars)
|
|||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
||||||||||
|
Third Point Reinsurance Ltd.
|
|
TPRUSA
|
|
Non-Guarantor Subsidiaries
|
|
Eliminations
|
|
Consolidated
|
||||||||||
Operating activities
|
|
|
|
|
|
|
|
|
|
||||||||||
Income (loss) including non-controlling
interests
|
$
|
2,247
|
|
|
$
|
(582
|
)
|
|
$
|
7,705
|
|
|
$
|
(6,617
|
)
|
|
$
|
2,753
|
|
Adjustments to reconcile income (loss) including non-controlling interests to net cash provided by (used in) operating activities
:
|
|
|
|
|
|
|
|
|
|
||||||||||
Equity in (earnings) losses of subsidiaries
|
(4,561
|
)
|
|
(2,099
|
)
|
|
43
|
|
|
6,617
|
|
|
—
|
|
|||||
Share compensation expense
|
181
|
|
|
—
|
|
|
4,521
|
|
|
—
|
|
|
4,702
|
|
|||||
Net interest expense on deposit liabilities
|
—
|
|
|
—
|
|
|
1,331
|
|
|
—
|
|
|
1,331
|
|
|||||
Net unrealized loss on investments and derivatives
|
—
|
|
|
—
|
|
|
670
|
|
|
—
|
|
|
670
|
|
|||||
Net realized gain on investments and derivatives
|
—
|
|
|
—
|
|
|
(41,954
|
)
|
|
—
|
|
|
(41,954
|
)
|
|||||
Net foreign exchange gains
|
—
|
|
|
—
|
|
|
(10,454
|
)
|
|
—
|
|
|
(10,454
|
)
|
|||||
Amortization of premium and accretion of discount, net
|
—
|
|
|
88
|
|
|
1,925
|
|
|
—
|
|
|
2,013
|
|
|||||
Changes in assets and liabilities:
|
|
|
|
|
|
|
|
|
|
||||||||||
Reinsurance balances receivable
|
—
|
|
|
—
|
|
|
(133,672
|
)
|
|
—
|
|
|
(133,672
|
)
|
|||||
Deferred acquisition costs, net
|
—
|
|
|
—
|
|
|
(24,558
|
)
|
|
—
|
|
|
(24,558
|
)
|
|||||
Other assets
|
394
|
|
|
(1,442
|
)
|
|
(970
|
)
|
|
—
|
|
|
(2,018
|
)
|
|||||
Interest and dividends receivable, net
|
—
|
|
|
(20
|
)
|
|
3,332
|
|
|
—
|
|
|
3,312
|
|
|||||
Unearned premium reserves
|
—
|
|
|
—
|
|
|
123,687
|
|
|
—
|
|
|
123,687
|
|
|||||
Loss and loss adjustment expense reserves
|
—
|
|
|
—
|
|
|
79,645
|
|
|
—
|
|
|
79,645
|
|
|||||
Accounts payable and accrued expenses
|
(911
|
)
|
|
10
|
|
|
(1,237
|
)
|
|
—
|
|
|
(2,138
|
)
|
|||||
Reinsurance balances payable
|
—
|
|
|
—
|
|
|
21,890
|
|
|
—
|
|
|
21,890
|
|
|||||
Performance fees payable to related party
|
—
|
|
|
—
|
|
|
2,954
|
|
|
—
|
|
|
2,954
|
|
|||||
Amounts due from (to) affiliates
|
8,876
|
|
|
4,042
|
|
|
(12,918
|
)
|
|
—
|
|
|
—
|
|
|||||
Net cash provided by (used in) operating activities
|
6,226
|
|
|
(3
|
)
|
|
21,940
|
|
|
—
|
|
|
28,163
|
|
|||||
Investing activities
|
|
|
|
|
|
|
|
|
|
||||||||||
Purchases of investments
|
—
|
|
|
—
|
|
|
(2,031,742
|
)
|
|
—
|
|
|
(2,031,742
|
)
|
|||||
Proceeds from sales of investments
|
—
|
|
|
—
|
|
|
1,615,954
|
|
|
—
|
|
|
1,615,954
|
|
|||||
Purchases of investments to cover short sales
|
—
|
|
|
—
|
|
|
(736,668
|
)
|
|
—
|
|
|
(736,668
|
)
|
|||||
Proceeds from short sales of investments
|
—
|
|
|
—
|
|
|
694,371
|
|
|
—
|
|
|
694,371
|
|
|||||
Change in due to/from brokers, net
|
—
|
|
|
—
|
|
|
208,886
|
|
|
—
|
|
|
208,886
|
|
|||||
Increase in securities sold under an agreement to repurchase
|
—
|
|
|
—
|
|
|
159,412
|
|
|
—
|
|
|
159,412
|
|
|||||
Change in restricted cash and cash equivalents
|
—
|
|
|
—
|
|
|
50,846
|
|
|
—
|
|
|
50,846
|
|
|||||
Contributed capital to subsidiaries
|
(5,000
|
)
|
|
5,000
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
Contributed capital from parent and/or subsidiaries
|
—
|
|
|
(5,000
|
)
|
|
5,000
|
|
|
—
|
|
|
—
|
|
|||||
Net cash provided by (used in) investing activities
|
(5,000
|
)
|
|
—
|
|
|
(33,941
|
)
|
|
—
|
|
|
(38,941
|
)
|
|||||
Financing activities
|
|
|
|
|
|
|
|
|
|
||||||||||
Proceeds from issuance of common shares, net of costs
|
1,046
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1,046
|
|
|||||
Purchases of common shares under share repurchase program
|
(7,389
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(7,389
|
)
|
|||||
Increase in deposit liabilities, net
|
—
|
|
|
—
|
|
|
3,752
|
|
|
—
|
|
|
3,752
|
|
|||||
Dividend received by (paid to) parent
|
5,000
|
|
|
—
|
|
|
(5,000
|
)
|
|
—
|
|
|
—
|
|
|||||
Net cash provided by (used in) financing activities
|
(1,343
|
)
|
|
—
|
|
|
(1,248
|
)
|
|
—
|
|
|
(2,591
|
)
|
|||||
Net decrease in cash and cash equivalents
|
(117
|
)
|
|
(3
|
)
|
|
(13,249
|
)
|
|
—
|
|
|
(13,369
|
)
|
|||||
Cash and cash equivalents at beginning of period
|
308
|
|
|
5
|
|
|
20,094
|
|
|
—
|
|
|
20,407
|
|
|||||
Cash and cash equivalents at end of period
|
$
|
191
|
|
|
$
|
2
|
|
|
$
|
6,845
|
|
|
$
|
—
|
|
|
$
|
7,038
|
|
CONDENSED CONSOLIDATING STATEMENT OF CASH FLOWS
|
|||||||||||||||||||
Six months ended June 30, 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
|
$
|
66,132
|
|
|
$
|
1,221
|
|
|
$
|
77,161
|
|
|
$
|
(77,324
|
)
|
|
$
|
67,190
|
|
Adjustments to reconcile income including non-controlling interests to net cash provided by (used in) operating activities
|
|
|
|
|
|
|
|
|
|
||||||||||
Equity in earnings of subsidiaries
|
(72,107
|
)
|
|
(5,217
|
)
|
|
—
|
|
|
77,324
|
|
|
—
|
|
|||||
Share compensation expense
|
182
|
|
|
—
|
|
|
5,616
|
|
|
—
|
|
|
5,798
|
|
|||||
Net interest expense on deposit liabilities
|
—
|
|
|
—
|
|
|
1,983
|
|
|
—
|
|
|
1,983
|
|
|||||
Net unrealized loss on investments and derivatives
|
—
|
|
|
—
|
|
|
(48,211
|
)
|
|
—
|
|
|
(48,211
|
)
|
|||||
Net realized gain on investments and derivatives
|
—
|
|
|
—
|
|
|
(88,632
|
)
|
|
—
|
|
|
(88,632
|
)
|
|||||
Foreign exchange gains included in net income
|
—
|
|
|
—
|
|
|
(54
|
)
|
|
—
|
|
|
(54
|
)
|
|||||
Amortization of premium and accretion of discount, net
|
—
|
|
|
66
|
|
|
1,210
|
|
|
—
|
|
|
1,276
|
|
|||||
Changes in assets and liabilities:
|
|
|
|
|
|
|
|
|
|
||||||||||
Reinsurance balances receivable
|
—
|
|
|
—
|
|
|
12,311
|
|
|
—
|
|
|
12,311
|
|
|||||
Deferred acquisition costs, net
|
—
|
|
|
—
|
|
|
(24,551
|
)
|
|
—
|
|
|
(24,551
|
)
|
|||||
Other assets
|
479
|
|
|
666
|
|
|
(4,152
|
)
|
|
—
|
|
|
(3,007
|
)
|
|||||
Interest and dividends receivable, net
|
—
|
|
|
3,022
|
|
|
(2,947
|
)
|
|
—
|
|
|
75
|
|
|||||
Unearned premium reserves
|
—
|
|
|
—
|
|
|
137,771
|
|
|
—
|
|
|
137,771
|
|
|||||
Loss and loss adjustment expense reserves
|
—
|
|
|
—
|
|
|
35,749
|
|
|
—
|
|
|
35,749
|
|
|||||
Accounts payable and accrued expenses
|
2,990
|
|
|
355
|
|
|
(1,074
|
)
|
|
—
|
|
|
2,271
|
|
|||||
Reinsurance balances payable
|
—
|
|
|
—
|
|
|
5,462
|
|
|
—
|
|
|
5,462
|
|
|||||
Performance fees payable to related party
|
—
|
|
|
—
|
|
|
25,059
|
|
|
—
|
|
|
25,059
|
|
|||||
Amounts due from (to) affiliates
|
1,586
|
|
|
(1,508
|
)
|
|
(78
|
)
|
|
—
|
|
|
—
|
|
|||||
Net cash provided by (used in) operating activities
|
(738
|
)
|
|
(1,395
|
)
|
|
132,623
|
|
|
—
|
|
|
130,490
|
|
|||||
Investing activities
|
|
|
|
|
|
|
|
|
|
||||||||||
Purchases of investments
|
—
|
|
|
—
|
|
|
(1,669,124
|
)
|
|
—
|
|
|
(1,669,124
|
)
|
|||||
Proceeds from sales of investments
|
—
|
|
|
—
|
|
|
1,405,097
|
|
|
—
|
|
|
1,405,097
|
|
|||||
Purchases of investments to cover short sales
|
—
|
|
|
—
|
|
|
(184,966
|
)
|
|
—
|
|
|
(184,966
|
)
|
|||||
Proceeds from short sales of investments
|
—
|
|
|
—
|
|
|
278,170
|
|
|
—
|
|
|
278,170
|
|
|||||
Change in due to/from brokers, net
|
—
|
|
|
—
|
|
|
163,472
|
|
|
—
|
|
|
163,472
|
|
|||||
Decrease in securities purchased under an agreement to sell
|
—
|
|
|
—
|
|
|
11,889
|
|
|
—
|
|
|
11,889
|
|
|||||
Increase in securities sold under an agreement to repurchase
|
—
|
|
|
—
|
|
|
10,992
|
|
|
—
|
|
|
10,992
|
|
|||||
Change in restricted cash and cash equivalents
|
—
|
|
|
—
|
|
|
(171,924
|
)
|
|
—
|
|
|
(171,924
|
)
|
|||||
Contributed capital (to) from subsidiaries
|
(158,000
|
)
|
|
(266,975
|
)
|
|
(25
|
)
|
|
425,000
|
|
|
—
|
|
|||||
Contributed capital from parent
|
—
|
|
|
158,000
|
|
|
267,000
|
|
|
(425,000
|
)
|
|
—
|
|
|||||
Net cash provided by (used in) investing activities
|
(158,000
|
)
|
|
(108,975
|
)
|
|
110,581
|
|
|
—
|
|
|
(156,394
|
)
|
|||||
Financing activities
|
|
|
|
|
|
|
|
|
|
||||||||||
Proceeds from issuance of common shares, net of costs
|
2,161
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
2,161
|
|
|||||
Proceeds from issuance of senior notes payable
|
—
|
|
|
113,224
|
|
|
—
|
|
|
—
|
|
|
113,224
|
|
|||||
Increase in deposit liabilities, net
|
—
|
|
|
—
|
|
|
178
|
|
|
—
|
|
|
178
|
|
|||||
Non-controlling interest in investment affiliate, net
|
—
|
|
|
—
|
|
|
(24,999
|
)
|
|
—
|
|
|
(24,999
|
)
|
|||||
Non-controlling interest in Catastrophe Fund
|
—
|
|
|
—
|
|
|
(46,886
|
)
|
|
—
|
|
|
(46,886
|
)
|
|||||
Non-controlling interest in Catastrophe Manager
|
—
|
|
|
—
|
|
|
292
|
|
|
—
|
|
|
292
|
|
|||||
Dividend received by (paid to) parent
|
158,000
|
|
|
—
|
|
|
(158,000
|
)
|
|
—
|
|
|
—
|
|
|||||
Net cash provided by (used in) financing activities
|
160,161
|
|
|
113,224
|
|
|
(229,415
|
)
|
|
—
|
|
|
43,970
|
|
|||||
Net increase in cash and cash equivalents
|
1,423
|
|
|
2,854
|
|
|
13,789
|
|
|
—
|
|
|
18,066
|
|
|||||
Cash and cash equivalents at beginning of period
|
140
|
|
|
—
|
|
|
28,594
|
|
|
—
|
|
|
28,734
|
|
|||||
Cash and cash equivalents at end of period
|
$
|
1,563
|
|
|
$
|
2,854
|
|
|
$
|
42,383
|
|
|
$
|
—
|
|
|
$
|
46,800
|
|
•
|
limited historical information about us;
|
•
|
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 licenses;
|
•
|
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;
|
•
|
future strategic transactions such as acquisitions, dispositions, merger or joint ventures;
|
•
|
dependence on Third Point LLC to implement our investment strategy;
|
•
|
termination by Third Point LLC of our investment management agreements;
|
•
|
risks associated with our investment strategy being greater than those faced by competitors;
|
•
|
increased regulation or scrutiny of alternative investment advisers affecting our reputation;
|
•
|
Third Point Reinsurance Ltd. potentially becoming subject to U.S. federal income taxation;
|
•
|
potentially becoming subject to U.S. withholding and information reporting requirements under the Foreign Account Tax Compliance Act;
|
•
|
changes in Bermuda or other law and regulation that may have an adverse impact on our operations; 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.
|
|
Three months ended
|
|
Six months ended
|
||||||||||||
|
June 30,
2016 |
|
June 30,
2015 |
|
June 30,
2016 |
|
June 30,
2015 |
||||||||
Key underwriting metrics for Property and Casualty Reinsurance segment:
|
($ in thousands, except for per share data and ratios)
|
||||||||||||||
Net underwriting loss (1)
|
$
|
(25,576
|
)
|
|
$
|
(9,388
|
)
|
|
$
|
(32,199
|
)
|
|
$
|
(13,247
|
)
|
Combined ratio (1)
|
119.2
|
%
|
|
107.8
|
%
|
|
111.9
|
%
|
|
105.1
|
%
|
||||
Key investment return metrics:
|
|
|
|
|
|
|
|
||||||||
Net investment income
|
$
|
86,346
|
|
|
$
|
38,611
|
|
|
$
|
46,236
|
|
|
$
|
103,529
|
|
Net investment return on investments managed by Third Point LLC
|
4.0
|
%
|
|
1.7
|
%
|
|
1.9
|
%
|
|
4.8
|
%
|
||||
Key shareholders’ value creation metrics:
|
|
|
|
|
|
|
|||||||||
Book value per share (2) (3)
|
$
|
13.31
|
|
|
$
|
13.23
|
|
|
$
|
13.31
|
|
|
$
|
13.23
|
|
Diluted book value per share (2) (3)
|
$
|
12.88
|
|
|
$
|
12.85
|
|
|
$
|
12.88
|
|
|
$
|
12.85
|
|
Increase (decrease) in diluted book value per share (2)
|
4.1
|
%
|
|
1.1
|
%
|
|
0.2
|
%
|
|
4.2
|
%
|
||||
Return on beginning shareholders’ equity (2)
|
4.0
|
%
|
|
1.0
|
%
|
|
0.2
|
%
|
|
4.6
|
%
|
(1)
|
See
Note 22
to the accompanying condensed consolidated financial statements for a calculation of net underwriting loss and combined ratio.
|
(2)
|
Book value per share, diluted book value per share and return on beginning shareholders’ equity are non-GAAP financial measures. See reconciliations below.
|
(3)
|
Prior year comparatives represent amounts as of December 31,
2015
.
|
|
Three months ended
|
|
Six months ended
|
||||||||||||
|
June 30,
2016 |
|
June 30,
2015 |
|
June 30,
2016 |
|
June 30,
2015 |
||||||||
|
($ in thousands)
|
||||||||||||||
Net investment income on float
|
$
|
19,098
|
|
|
9,790
|
|
|
$
|
10,837
|
|
|
$
|
28,365
|
|
|
Net investment income on capital
|
67,014
|
|
|
28,640
|
|
|
34,918
|
|
|
74,914
|
|
||||
Net investment income on investments managed by Third Point LLC
|
86,112
|
|
|
38,430
|
|
|
45,755
|
|
|
103,279
|
|
||||
Net gain on investment in Kiskadee Fund
|
234
|
|
|
139
|
|
|
481
|
|
|
183
|
|
||||
Net investment income related to Catastrophe Reinsurer and Catastrophe Fund
|
—
|
|
|
42
|
|
|
—
|
|
|
67
|
|
||||
Net investment income
|
$
|
86,346
|
|
|
$
|
38,611
|
|
|
$
|
46,236
|
|
|
$
|
103,529
|
|
|
June 30,
2016 |
|
December 31,
2015 |
||||
Basic and diluted book value per share numerator:
|
($ in thousands, except share and per share amounts)
|
||||||
Total shareholders’ equity
|
$
|
1,396,995
|
|
|
$
|
1,395,883
|
|
Less: non-controlling interests
|
(16,663
|
)
|
|
(16,157
|
)
|
||
Shareholders’ equity attributable to shareholders
|
1,380,332
|
|
|
1,379,726
|
|
||
Effect of dilutive warrants issued to Founders and an advisor
|
46,512
|
|
|
46,512
|
|
||
Effect of dilutive share options issued to directors and employees
|
57,024
|
|
|
58,070
|
|
||
Diluted book value per share numerator:
|
$
|
1,483,868
|
|
|
$
|
1,484,308
|
|
Basic and diluted book value per share denominator:
|
|
||||||
Issued and outstanding shares, net of treasury shares
|
103,716,629
|
|
|
104,256,745
|
|
||
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
|
5,683,740
|
|
|
5,788,391
|
|
||
Effect of dilutive restricted shares issued to directors and employees (1)
|
1,157,384
|
|
|
837,277
|
|
||
Diluted book value per share denominator:
|
115,208,916
|
|
|
115,533,576
|
|
||
|
|
|
|
||||
Basic book value per share
|
$
|
13.31
|
|
|
$
|
13.23
|
|
Diluted book value per share
|
$
|
12.88
|
|
|
$
|
12.85
|
|
(1)
|
As of
June 30, 2016
, the effect of dilutive restricted shares issued to directors and employees was comprised of
348,755
of restricted shares with a service condition only and
808,629
of restricted shares with a service and performance condition that were considered probable of vesting.
|
|
Three months ended
|
|
Six months ended
|
||||||||||||
|
June 30,
2016 |
|
June 30,
2015 |
|
June 30,
2016 |
|
June 30,
2015 |
||||||||
|
($ in thousands)
|
||||||||||||||
Net income
|
$
|
53,376
|
|
|
$
|
15,662
|
|
|
$
|
2,247
|
|
|
$
|
66,132
|
|
Shareholders’ equity attributable to shareholders - beginning of period
|
1,331,247
|
|
|
1,506,581
|
|
|
1,379,726
|
|
|
1,451,913
|
|
||||
Impact of weighting related to shareholders’ equity from shares repurchased
|
(2,609
|
)
|
|
—
|
|
|
(1,305
|
)
|
|
—
|
|
||||
Adjusted shareholders’ equity attributable to shareholders - beginning of period
|
$
|
1,328,638
|
|
|
$
|
1,506,581
|
|
|
$
|
1,378,421
|
|
|
$
|
1,451,913
|
|
Return on beginning shareholders’ equity
|
4.0
|
%
|
|
1.0
|
%
|
|
0.2
|
%
|
|
4.6
|
%
|
•
|
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;
|
•
|
other expenses;
|
•
|
interest expense; and
|
•
|
income taxes.
|
|
Three months ended
|
|
Six months ended
|
||||||||||||||||||||
|
June 30,
2016 |
|
June 30,
2015 |
|
Increase (decrease)
|
|
June 30,
2016 |
|
June 30,
2015 |
|
Increase (decrease)
|
||||||||||||
|
($ in thousands)
|
||||||||||||||||||||||
Net underwriting loss (1)
|
$
|
(25,576
|
)
|
|
$
|
(9,388
|
)
|
|
$
|
16,188
|
|
|
$
|
(32,199
|
)
|
|
$
|
(13,247
|
)
|
|
$
|
18,952
|
|
Net investment income
|
86,346
|
|
|
38,611
|
|
|
47,735
|
|
|
46,236
|
|
|
103,529
|
|
|
(57,293
|
)
|
||||||
Net investment return on investments managed by Third Point LLC
|
4.0
|
%
|
|
1.7
|
%
|
|
2.3
|
%
|
|
1.9
|
%
|
|
4.8
|
%
|
|
(2.9
|
)%
|
||||||
General and administrative expenses (2)
|
(4,158
|
)
|
|
(7,827
|
)
|
|
(3,669
|
)
|
|
(8,384
|
)
|
|
(12,735
|
)
|
|
(4,351
|
)
|
||||||
Other expenses
|
(3,173
|
)
|
|
(2,315
|
)
|
|
858
|
|
|
(5,879
|
)
|
|
(5,016
|
)
|
|
863
|
|
||||||
Interest expense
|
(2,046
|
)
|
|
(2,052
|
)
|
|
(6
|
)
|
|
(4,094
|
)
|
|
(3,088
|
)
|
|
1,006
|
|
||||||
Foreign exchange gains (losses)
|
8,068
|
|
|
(139
|
)
|
|
8,207
|
|
|
10,454
|
|
|
54
|
|
|
10,400
|
|
||||||
Income tax expense
|
(5,310
|
)
|
|
(708
|
)
|
|
4,602
|
|
|
(3,381
|
)
|
|
(2,013
|
)
|
|
1,368
|
|
||||||
Net income
|
$
|
53,376
|
|
|
$
|
15,662
|
|
|
$
|
37,714
|
|
|
$
|
2,247
|
|
|
$
|
66,132
|
|
|
$
|
(63,885
|
)
|
(1)
|
Property and Casualty Reinsurance segment only.
|
(2)
|
Corporate function only.
|
•
|
The increase in net underwriting loss and related combined ratio primarily reflects adverse development on certain contracts and continued deterioration in market conditions. See “Segment Results” below for additional details.
|
•
|
The decrease in general and administrative expenses related to corporate activities for the three and
six
months ended June 30, 2016 compared to the prior year periods was primarily due to greater payroll and related expenses as a result of separation costs in the prior year
periods
and lower share compensation expense in the current year periods.
|
•
|
In February 2015, TPRUSA issued $115.0 million of senior notes bearing 7.0% interest. As a result, our consolidated results of operations for the current
six
months include a full
six
months of interest expense.
|
•
|
The foreign exchange gains were primarily due to the revaluation of foreign currency loss and loss adjustment expense reserves denominated in British pounds where the United States dollar strengthened in the the current year period.
|
•
|
The
income tax expense
for the three and six months ended June 30, 2016 compared to the three and six months ended June 30, 2015 is a result of withholding taxes on certain investment transactions and taxable income generated our U.S. subsidiaries.
|
|
Three months ended
|
|
Six months ended
|
||||||||||||||||||||
|
June 30,
2016 |
|
June 30,
2015 |
|
Increase (decrease)
|
|
June 30,
2016 |
|
June 30,
2015 |
|
Increase (decrease)
|
||||||||||||
|
($ in thousands)
|
||||||||||||||||||||||
Gross premiums written
|
$
|
196,866
|
|
|
$
|
184,191
|
|
|
$
|
12,675
|
|
|
$
|
394,022
|
|
|
$
|
397,574
|
|
|
$
|
(3,552
|
)
|
Net premiums earned
|
133,122
|
|
|
120,382
|
|
|
12,740
|
|
|
269,924
|
|
|
259,499
|
|
|
10,425
|
|
||||||
Loss and loss adjustment expenses incurred, net
|
104,131
|
|
|
76,053
|
|
|
28,078
|
|
|
188,807
|
|
|
157,799
|
|
|
31,008
|
|
||||||
Acquisition costs, net
|
48,482
|
|
|
47,475
|
|
|
1,007
|
|
|
100,169
|
|
|
102,138
|
|
|
(1,969
|
)
|
||||||
General and administrative expenses
|
6,085
|
|
|
6,242
|
|
|
(157
|
)
|
|
13,147
|
|
|
12,809
|
|
|
338
|
|
||||||
Net underwriting loss
|
(25,576
|
)
|
|
(9,388
|
)
|
|
16,188
|
|
|
(32,199
|
)
|
|
(13,247
|
)
|
|
18,952
|
|
||||||
Net investment income on float
|
19,098
|
|
|
9,790
|
|
|
9,308
|
|
|
10,837
|
|
|
28,365
|
|
|
(17,528
|
)
|
||||||
Other expenses
|
(3,173
|
)
|
|
(2,315
|
)
|
|
858
|
|
|
(5,879
|
)
|
|
(5,016
|
)
|
|
863
|
|
||||||
Segment income (loss)
|
$
|
(9,651
|
)
|
|
$
|
(1,913
|
)
|
|
$
|
(7,738
|
)
|
|
$
|
(27,241
|
)
|
|
$
|
10,102
|
|
|
$
|
(37,343
|
)
|
Underwriting ratios (1):
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Loss ratio
|
78.2
|
%
|
|
63.2
|
%
|
|
15.0
|
%
|
|
69.9
|
%
|
|
60.8
|
%
|
|
9.1
|
%
|
||||||
Acquisition cost ratio
|
36.4
|
%
|
|
39.4
|
%
|
|
(3.0
|
)%
|
|
37.1
|
%
|
|
39.4
|
%
|
|
(2.3
|
)%
|
||||||
Composite ratio
|
114.6
|
%
|
|
102.6
|
%
|
|
12.0
|
%
|
|
107.0
|
%
|
|
100.2
|
%
|
|
6.8
|
%
|
||||||
General and administrative expense ratio
|
4.6
|
%
|
|
5.2
|
%
|
|
(0.6
|
)%
|
|
4.9
|
%
|
|
4.9
|
%
|
|
—
|
%
|
||||||
Combined ratio
|
119.2
|
%
|
|
107.8
|
%
|
|
11.4
|
%
|
|
111.9
|
%
|
|
105.1
|
%
|
|
6.8
|
%
|
(1)
|
Underwriting ratios are calculated by dividing the related expense by net premiums earned.
|
•
|
We write a small number of large contracts; therefore individual renewals or new business can have a significant impact on premiums recognized in a period;
|
•
|
We offer customized solutions to our clients, including reserve covers, on which we will not have a regular renewal opportunity;
|
•
|
We record gross premiums written and earned for reserve covers, which are considered retroactive reinsurance contracts, at the inception of the contract;
|
•
|
We write multi-year contracts that will not necessarily renew in a comparable period;
|
•
|
We may extend and/or amend contracts resulting in premium that will not necessarily renew in a comparable period;
|
•
|
Our reinsurance contracts often contain commutation provisions or can be canceled or terminated upon agreement from both parties; and
|
•
|
Our quota share reinsurance contracts are subject to significant judgment in the amount of premiums that we expect to recognize and changes in premium estimates are recorded in the period they are determined.
|
|
Three months ended
|
|
Six months ended
|
||||||||||||||||||||||||
|
June 30, 2016
|
|
June 30, 2015
|
|
June 30, 2016
|
|
June 30, 2015
|
||||||||||||||||||||
|
($ in thousands)
|
||||||||||||||||||||||||||
Property
|
$
|
7,257
|
|
|
3.7
|
%
|
|
$
|
27,535
|
|
|
14.9
|
%
|
|
$
|
7,082
|
|
|
1.8
|
%
|
|
$
|
48,991
|
|
|
12.3
|
%
|
Casualty
|
149,129
|
|
|
75.7
|
%
|
|
149,157
|
|
|
81.0
|
%
|
|
160,506
|
|
|
40.7
|
%
|
|
159,009
|
|
|
40.0
|
%
|
||||
Specialty
|
40,480
|
|
|
20.6
|
%
|
|
7,499
|
|
|
4.1
|
%
|
|
226,434
|
|
|
57.5
|
%
|
|
189,574
|
|
|
47.7
|
%
|
||||
|
$
|
196,866
|
|
|
100.0
|
%
|
|
$
|
184,191
|
|
|
100.0
|
%
|
|
$
|
394,022
|
|
|
100.0
|
%
|
|
$
|
397,574
|
|
|
100.0
|
%
|
•
|
We recorded net changes in premium estimates relating to prior periods of $49.1 million and $(1.2) million for the three months ended
June 30, 2016
and
2015
, respectively. The changes in premium estimates for the three months ended
June 30, 2016
were primarily due to two specialty contracts where clients provided updated projections indicating that they expected to write more business than initially expected.
|
•
|
We wrote $18.1 million of new business for the three months ended
June 30, 2016
, of which $16.6 million was casualty business and $1.5 million was specialty business.
|
•
|
We recognized a net increase in premium of $14.2 million the three months ended June 30, 2016 related to the net impact of contract extensions and cancellations with no comparable premium in the comparable periods.
|
•
|
Changes in renewal premiums for the three months ended
June 30, 2016
resulted in a net increase in premiums of $0.6 million primarily due to increases in participations and underlying premium volume on contracts that renewed in the period.
|
•
|
We recognized $38.7 million of premium in the three months ended
June 30, 2015
that did not renew in the three months ended
June 30, 2016
, consisting of $23.6 million for contracts that we made a decision not to renew in
2016
due to changes in pricing and/or terms and conditions and $15.1 million for contracts that were not subject to renewal in 2016.
|
•
|
We recognized $49.3 million of premium in the three months ended June 30, 2015 related to contracts that were subject to renewal in the current period where we agreed to extend the existing contracts for a period of less than one year resulting in $17.5 million of premium recognized in the three months ended June 30, 2016 for these contracts.
|
•
|
We recognized $78.2 million of premium in the
six
months ended
June 30, 2015
that did not renew in the
six
months ended
June 30, 2016
, consisting of $54.7 million for contracts that we made a decision not to renew in
2016
due to changes in pricing and/or terms and conditions and $23.5 million for contracts that were not subject to renewal in
2016
.
|
•
|
We recognized $49.3 million of premium in the six months ended June 30, 2015 related to contracts that were subject to renewal in the current period where we agreed to extend the existing contracts for a period of less than one year resulting in $17.5 million of premium recognized in the
six
months ended
June 30, 2016
for these contracts.
|
•
|
We wrote $54.5 million of new business for the
six
months ended
June 30, 2016
, of which $37.8 million was specialty business and $16.7 million new casualty business.
|
•
|
We recognized a net increase in premium of $28.2 million the six months ended
June 30, 2016
related to the net impact of contract extensions and cancellations with no comparable premium in the comparable periods.
|
•
|
Changes in renewal premiums for the
six
months ended
June 30, 2016
resulted in a net increase in premiums of $15.4 million primarily due to increases in participations and underlying premium volume on contracts that renewed in the year. Premiums can change on renewals of contracts due to a number of factors, including: changes in our line size or participation, changes in the underlying premium volume and pricing trends of the client’s program as well as other contractual terms and conditions.
|
•
|
We recorded increases in premium estimates relating to prior periods of $33.4 million and $25.1 million for the
six
months ended
June 30, 2016
and
2015
, respectively. The changes in premium estimates for the
six
months ended
June 30, 2016
and
2015
were due to several contracts where clients provided updated projections indicating that they expected to write more business than initially expected.
|
•
|
$4.4 million of net adverse underwriting loss development relating to one multi-line contract written since 2014. This contract contains underlying commercial auto physical damage and auto extended warranty exposure. The adverse loss experience is a result of an increase in the number of reported claims and inadequate pricing in certain segments of the underlying business;
|
•
|
$4.3 million of net adverse underwriting loss development relating to a workers’ compensation contract written in 2012, 2013, and 2014 under which we have been experiencing claims developing with higher than anticipated severity, which led to an increase in our previous loss assumptions on this contract;
|
•
|
$2.7 million of net adverse underwriting loss development relating to our Florida homeowners’ reinsurance contracts primarily as a result of higher than anticipated water damage claims and an increase in the practice of assignment of benefits whereby homeowners assign their rights for filing and settling claims to attorneys and public adjusters, which has led to increases in the frequency of claims reported as well as the severity of losses and loss adjustment expenses. Contracts for which we experienced this adverse loss development have not been renewed; and
|
•
|
$1.9 million of net adverse underwriting loss development relating to non-standard auto contracts during the period, primarily due to the inability of cedents to promptly react to increasing frequency and severity trends, resulting in underpriced business and adverse selection.
|
|
Three months ended
|
|
Six months ended
|
||||||||||||||||||||
|
June 30,
2016 |
|
June 30,
2015 |
|
Increase (decrease)
|
|
June 30,
2016 |
|
June 30,
2015 |
|
Increase (decrease)
|
||||||||||||
|
($ in thousands)
|
||||||||||||||||||||||
Net investment income on capital
|
$
|
67,248
|
|
|
$
|
28,778
|
|
|
$
|
38,470
|
|
|
$
|
35,399
|
|
|
$
|
75,096
|
|
|
$
|
(39,697
|
)
|
General and administrative expenses
|
(4,158
|
)
|
|
(7,827
|
)
|
|
(3,669
|
)
|
|
(8,384
|
)
|
|
(12,735
|
)
|
|
(4,351
|
)
|
||||||
Interest expense
|
(2,046
|
)
|
|
(2,052
|
)
|
|
(6
|
)
|
|
(4,094
|
)
|
|
(3,088
|
)
|
|
1,006
|
|
||||||
Foreign exchange gains (losses)
|
8,068
|
|
|
(139
|
)
|
|
8,207
|
|
|
10,454
|
|
|
54
|
|
|
10,400
|
|
||||||
Income tax expense
|
(5,310
|
)
|
|
(708
|
)
|
|
4,602
|
|
|
(3,381
|
)
|
|
(2,013
|
)
|
|
1,368
|
|
||||||
Segment loss attributable to non-controlling interests
|
(775
|
)
|
|
(431
|
)
|
|
(344
|
)
|
|
(506
|
)
|
|
(1,074
|
)
|
|
568
|
|
||||||
Segment income
|
$
|
63,027
|
|
|
$
|
17,621
|
|
|
$
|
45,406
|
|
|
$
|
29,488
|
|
|
$
|
56,240
|
|
|
$
|
(26,752
|
)
|
|
Three months ended
|
|
Six months ended
|
||||||||
|
June 30,
2016 |
|
June 30,
2015 |
|
June 30,
2016 |
|
June 30,
2015 |
||||
Long/short equities
|
0.3
|
%
|
|
1.1
|
%
|
|
(0.7
|
)%
|
|
2.4
|
%
|
Asset-backed securities
|
0.3
|
%
|
|
1.1
|
%
|
|
(0.5
|
)%
|
|
2.1
|
%
|
Corporate and sovereign credit
|
3.5
|
%
|
|
(0.4
|
)%
|
|
4.2
|
%
|
|
0.2
|
%
|
Macro and other
|
(0.1
|
)%
|
|
(0.1
|
)%
|
|
(1.1
|
)%
|
|
0.1
|
%
|
|
4.0
|
%
|
|
1.7
|
%
|
|
1.9
|
%
|
|
4.8
|
%
|
|
|
|
|
|
|
|
|
||||
S&P 500 Total Return Index
|
2.5
|
%
|
|
0.3
|
%
|
|
3.8
|
%
|
|
1.2
|
%
|
|
|
2016
|
|
2015
|
||||
|
|
($ in thousands)
|
||||||
Net cash provided by operating activities
|
|
$
|
28,163
|
|
|
$
|
130,490
|
|
Net cash used in investing activities
|
|
(38,941
|
)
|
|
(156,394
|
)
|
||
Net cash provided by (used in) financing activities
|
|
(2,591
|
)
|
|
43,970
|
|
||
Net increase (decrease) in cash and cash equivalents
|
|
(13,369
|
)
|
|
18,066
|
|
||
Cash and cash equivalents at beginning of period
|
|
20,407
|
|
|
28,734
|
|
||
Cash and cash equivalents at end of period
|
|
$
|
7,038
|
|
|
$
|
46,800
|
|
•
|
equity price risk;
|
•
|
foreign currency risk;
|
•
|
interest rate risk;
|
•
|
commodity price risk;
|
•
|
credit risk;
|
•
|
liquidity risk; and
|
•
|
political risk.
|
|
100 basis point increase in interest rates
|
|
100 basis point decrease in interest rates
|
||||||||||
|
Change in fair value
|
|
Change in fair value as % of investment portfolio
|
|
Change in fair value
|
|
Change in fair value as % of investment portfolio
|
||||||
|
($ in thousands)
|
||||||||||||
Corporate and Sovereign Debt Instruments
|
$
|
(33,419
|
)
|
|
(1.5
|
)%
|
|
$
|
36,834
|
|
|
1.7
|
%
|
Asset Backed Securities
(1)
|
(9,984
|
)
|
|
(0.5
|
)%
|
|
10,846
|
|
|
0.5
|
%
|
||
Net exposure to interest rate risk
|
$
|
(43,403
|
)
|
|
(2.0
|
)%
|
|
$
|
47,680
|
|
|
2.2
|
%
|
(1)
|
Includes instruments for which durations are available on
June 30, 2016
. Includes a convexity adjustment if convexity is available. Not included are mortgage hedges which would reduce the impact of interest rate changes.
|
|
June 30, 2016
|
|
December 31, 2015
|
||||||||||
|
($ in thousands)
|
||||||||||||
Re-REMIC (1)
|
$
|
114,085
|
|
|
31.8
|
%
|
|
$
|
195,889
|
|
|
39.6
|
%
|
Subprime RMBS
|
154,479
|
|
|
43.1
|
%
|
|
174,777
|
|
|
35.3
|
%
|
||
Collateralized debt obligations
|
16,812
|
|
|
4.7
|
%
|
|
50,455
|
|
|
10.2
|
%
|
||
Other (2)
|
73,311
|
|
|
20.4
|
%
|
|
73,602
|
|
|
14.9
|
%
|
||
|
$
|
358,687
|
|
|
100.0
|
%
|
|
$
|
494,723
|
|
|
100.0
|
%
|
Period
|
(a) Total Number of Shares Purchased
|
|
(b) Average Price Paid per Share
(1)
|
|
(c) Total Number of Shares Purchased as Part of Publicly Announced Plans or Programs
|
|
(d) Maximum Number (or Approximate Dollar Value) of Shares that May Yet Be Purchased Under the Plans or Programs
(2)
|
||||||
April 1, 2016 - April 30, 2016
|
—
|
|
|
$
|
—
|
|
|
—
|
|
|
$
|
—
|
|
May 1, 2016 - May 31, 2016
|
387,777
|
|
|
11.38
|
|
|
387,777
|
|
|
95,586,535
|
|
||
June 1, 2016 - June 30, 2016
|
256,991
|
|
|
11.58
|
|
|
256,991
|
|
|
92,611,129
|
|
||
Total
|
644,768
|
|
|
$
|
11.46
|
|
|
644,768
|
|
|
$
|
92,611,129
|
|
10.1
|
Amended and Restated Joint Venture and Investment Management Agreement dated as of June 22, 2016 by and among Third Point Reinsurance Ltd., Third Point Reinsurance Company Ltd., Third Point LLC and Third Point Advisors LLC (incorporated by reference to Exhibit 10.1 to the Company’s Current Report on Form 8-K filed with the SEC on June 28, 2016)
|
10.2
|
Amended and Restated Joint Venture and Investment Management Agreement dated as of June 22, 2016 by and among Third Point Re (USA) Holdings Inc., Third Point Reinsurance (USA) Ltd., Third Point LLC and Third Point Advisors LLC (incorporated by reference to Exhibit 10.2 to the Company’s Current Report on Form 8-K filed with the SEC on June 28, 2016)
|
10.3.4
|
Amendment No. 4 to Employment Agreement between Third Point Reinsurance Ltd. and J. Robert Bredahl, dated as of May 4, 2016
|
10.4.2
|
Amendment No. 2 to Employment Agreement between Third Point Reinsurance Ltd. and Daniel Victor Malloy III dated as of May 4, 2016
|
10.32.2
|
Amendment No. 2 to Employment Agreement between Third Point Reinsurance Ltd. and Manoj K. Gupta dated as of April 1, 2016
|
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
|
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
|
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
|
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.
|
|
Third Point Reinsurance Ltd.
|
Date: August 5, 2016
|
|
|
/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)
|
|
|
|
|
1.
|
Section 2(a) of the Employment Agreement shall be amended to read in its entirety as follows:
|
2.
|
The parties hereto agree that except as specifically set forth in this Amendment No. 1, each and every provision of the Employment Agreement shall remain in full force and effect as set forth therein.
|
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 June 30, 2016 (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 June 30, 2016 (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)
|
|