x
|
QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d)
OF THE SECURITIES EXCHANGE ACT OF 1934
For the quarterly period ended March 31, 2017
|
¨
|
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
|
¨
|
|
|
Emerging growth company
|
¨
|
|
Page
|
PART I
. FINANCIAL INFORMATION
|
|
Item 1.
Financial Statements
|
|
Item 2.
Management’s Discussion and Analysis of Financial Condition and Results of Operations
|
|
Item 3.
Quantitative and Qualitative Disclosures About Market Risk
|
|
Item 4.
Controls and Procedures
|
|
PART II
. OTHER INFORMATION
|
|
Item
1. Legal Proceedings
|
|
Item
1A. Risk Factors
|
|
Item
2. Unregistered Sales of Equity Securities and Use of Proceeds
|
|
Item
3. Defaults Upon Senior Securities
|
|
Item
4. Mine Safety Disclosures
|
|
Item
5. Other Information
|
|
Item
6. Exhibits
|
|
|
March 31,
2017 |
|
December 31,
2016 |
||||
Assets
|
|
|
|
|
||||
Equity securities, trading, at fair value (cost - $1,264,750; 2016 - $1,
385,866)
|
|
$
|
1,484,378
|
|
|
$
|
1,506,854
|
|
Debt securities, trading, at fair value (cost - $919,246; 2016 - $1,03
6,716)
|
|
921,221
|
|
|
1,057,957
|
|
||
Other investments, at fair value
|
|
72,020
|
|
|
82,701
|
|
||
Total investments in securities
|
|
2,477,619
|
|
|
2,647,512
|
|
||
Cash and cash equivalents
|
|
11,829
|
|
|
9,951
|
|
||
Restricted cash and cash equivalents
|
|
334,813
|
|
|
298,940
|
|
||
Due from brokers
|
|
387,102
|
|
|
284,591
|
|
||
Derivative assets, at fair value
|
|
34,122
|
|
|
27,432
|
|
||
Interest and dividends receivable
|
|
8,003
|
|
|
6,505
|
|
||
Reinsurance balances receivable
|
|
421,034
|
|
|
381,951
|
|
||
Deferred acquisition costs, net
|
|
220,754
|
|
|
221,618
|
|
||
Other assets
|
|
14,079
|
|
|
17,144
|
|
||
Total assets
|
|
$
|
3,909,355
|
|
|
$
|
3,895,644
|
|
Liabilities and shareholders’ equity
|
|
|
|
|
||||
Liabilities
|
|
|
|
|
||||
Accounts payable and accrued expenses
|
|
$
|
11,509
|
|
|
$
|
10,321
|
|
Reinsurance balances payable
|
|
51,173
|
|
|
43,171
|
|
||
Deposit liabilities
|
|
105,778
|
|
|
104,905
|
|
||
Unearned premium reserves
|
|
565,243
|
|
|
557,076
|
|
||
Loss and loss adjustment expense reserves
|
|
625,786
|
|
|
605,129
|
|
||
Securities sold, not yet purchased, at fair value
|
|
217,836
|
|
|
92,668
|
|
||
Securities sold under an agreement to repurchase
|
|
16,524
|
|
|
—
|
|
||
Due to brokers
|
|
639,320
|
|
|
899,601
|
|
||
Derivative liabilities, at fair value
|
|
10,839
|
|
|
16,050
|
|
||
Performance fee payable to related party
|
|
30,857
|
|
|
—
|
|
||
Interest and dividends payable
|
|
2,361
|
|
|
3,443
|
|
||
Senior notes payable, net of deferred costs
|
|
113,599
|
|
|
113,555
|
|
||
Total liabilities
|
|
2,390,825
|
|
|
2,445,919
|
|
||
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, 107,182,083 (2016 - 106,501,299))
|
|
10,718
|
|
|
10,650
|
|
||
Treasury shares (2,177,639 shares (2016 - 644,768
shares))
|
|
(26,273
|
)
|
|
(7,389
|
)
|
||
Additional paid-in capital
|
|
1,096,828
|
|
|
1,094,568
|
|
||
Retained earnings
|
|
420,408
|
|
|
316,222
|
|
||
Shareholders’ equity attributable to shareholders
|
|
1,501,681
|
|
|
1,414,051
|
|
||
Non-controlling interests
|
|
16,849
|
|
|
35,674
|
|
||
Total shareholders’ equity
|
|
1,518,530
|
|
|
1,449,725
|
|
||
Total liabilities and shareholders’ equity
|
|
$
|
3,909,355
|
|
|
$
|
3,895,644
|
|
|
|
|
|
|
||||
The accompanying Notes to the Condensed Consolidated Financial Statements are
an integral part of the Condensed Consolidated Financial Statements.
|
|
|
2017
|
|
2016
|
||||
Revenues
|
|
|
|
|
||||
Gross premiums written
|
|
$
|
146,354
|
|
|
$
|
197,156
|
|
Gross premiums ceded
|
|
(1,125
|
)
|
|
—
|
|
||
Net premiums written
|
|
145,229
|
|
|
197,156
|
|
||
Change in net unearned premium reserves
|
|
(7,220
|
)
|
|
(60,354
|
)
|
||
Net premiums earned
|
|
138,009
|
|
|
136,802
|
|
||
Net investment income (loss)
|
|
128,510
|
|
|
(40,110
|
)
|
||
Total revenues
|
|
266,519
|
|
|
96,692
|
|
||
Expenses
|
|
|
|
|
||||
Loss and loss adjustment expenses incurred, net
|
|
85,895
|
|
|
84,676
|
|
||
Acquisition costs, net
|
|
54,452
|
|
|
51,687
|
|
||
General and administrative expenses
|
|
10,572
|
|
|
11,288
|
|
||
Other expenses
|
|
2,901
|
|
|
2,706
|
|
||
Interest expense
|
|
2,026
|
|
|
2,048
|
|
||
Foreign exchange (gains) losses
|
|
15
|
|
|
(2,386
|
)
|
||
Total expenses
|
|
155,861
|
|
|
150,019
|
|
||
Income (loss) before income tax (expense) benefit
|
|
110,658
|
|
|
(53,327
|
)
|
||
Income tax (expense) benefit
|
|
(5,298
|
)
|
|
1,929
|
|
||
Income (loss) including non-controlling interests
|
|
105,360
|
|
|
(51,398
|
)
|
||
(Income) loss attributable to non-controlling interests
|
|
(1,174
|
)
|
|
269
|
|
||
Net income (loss)
|
|
$
|
104,186
|
|
|
$
|
(51,129
|
)
|
Earnings (loss) per share
|
|
|
|
|
||||
Basic
|
|
$
|
1.00
|
|
|
$
|
(0.49
|
)
|
Diluted
|
|
$
|
0.98
|
|
|
$
|
(0.49
|
)
|
Weighted average number of ordinary shares used in the determination of earnings (loss) per share
|
|
|
|
|
||||
Basic
|
|
104,013,871
|
|
|
104,257,874
|
|
||
Diluted
|
|
105,701,599
|
|
|
104,257,874
|
|
||
|
|
|
|
|
||||
The accompanying Notes to the Condensed Consolidated Financial Statements are
an integral part of the Condensed Consolidated Financial Statements.
|
|
2017
|
|
2016
|
||||
Common shares
|
|
|
|
||||
Balance, beginning of period
|
$
|
10,650
|
|
|
$
|
10,548
|
|
Issuance of common shares
|
68
|
|
|
73
|
|
||
Balance, end of period
|
10,718
|
|
|
10,621
|
|
||
Treasury shares
|
|
|
|
||||
Balance, beginning of period
|
(7,389
|
)
|
|
—
|
|
||
Repurchase of common shares
|
(18,884
|
)
|
|
—
|
|
||
Balance, end of period
|
(26,273
|
)
|
|
—
|
|
||
Additional paid-in capital
|
|
|
|
||||
Balance, beginning of period
|
1,094,568
|
|
|
1,080,591
|
|
||
Issuance of common shares, net
|
430
|
|
|
(74
|
)
|
||
Share compensation expense
|
1,830
|
|
|
2,651
|
|
||
Balance, end of period
|
1,096,828
|
|
|
1,083,168
|
|
||
Retained earnings
|
|
|
|
||||
Balance, beginning of period
|
316,222
|
|
|
288,587
|
|
||
Income (loss) including non-controlling interests
|
105,360
|
|
|
(51,398
|
)
|
||
(Income) loss attributable to non-controlling interests
|
(1,174
|
)
|
|
269
|
|
||
Balance, end of period
|
420,408
|
|
|
237,458
|
|
||
Shareholders’ equity attributable to shareholders
|
1,501,681
|
|
|
1,331,247
|
|
||
Non-controlling interests
|
|
|
|
||||
Balance, beginning of period
|
35,674
|
|
|
16,157
|
|
||
Non-controlling interest in investment affiliate, net
|
(19,999
|
)
|
|
—
|
|
||
Income (loss) attributable to non-controlling interests
|
1,174
|
|
|
(269
|
)
|
||
Balance, end of period
|
16,849
|
|
|
15,888
|
|
||
Total shareholders’ equity
|
$
|
1,518,530
|
|
|
$
|
1,347,135
|
|
|
|
|
|
||||
The accompanying Notes to the Condensed Consolidated Financial Statements are
an integral part of the Condensed Consolidated Financial Statements.
|
|
2017
|
|
2016
|
||||
Operating activities
|
|
|
|
||||
Income (loss) including non-controlling interests
|
$
|
105,360
|
|
|
$
|
(51,398
|
)
|
Adjustments to reconcile income (loss) including non-controlling interests to net cash provided by (used in) operating activities:
|
|
|
|
||||
Share compensation expense
|
1,830
|
|
|
2,651
|
|
||
Net interest expense on deposit liabilities
|
409
|
|
|
471
|
|
||
Net unrealized (gain) loss on investments and derivatives
|
(95,703
|
)
|
|
55,627
|
|
||
Net realized gain on investments and derivatives
|
(61,028
|
)
|
|
(24,510
|
)
|
||
Net foreign exchange (gains) losses
|
15
|
|
|
(2,386
|
)
|
||
Amortization of premium and accretion of discount, net
|
(665
|
)
|
|
2,542
|
|
||
Changes in assets and liabilities:
|
|
|
|
||||
Reinsurance balances receivable
|
(37,281
|
)
|
|
(31,603
|
)
|
||
Deferred acquisition costs, net
|
864
|
|
|
(19,596
|
)
|
||
Other assets
|
3,075
|
|
|
(4,453
|
)
|
||
Interest and dividends receivable, net
|
(2,580
|
)
|
|
(5,408
|
)
|
||
Unearned premium reserves
|
8,167
|
|
|
60,260
|
|
||
Loss and loss adjustment expense reserves
|
18,798
|
|
|
26,136
|
|
||
Accounts payable and accrued expenses
|
1,179
|
|
|
(2,397
|
)
|
||
Reinsurance balances payable
|
8,051
|
|
|
6,892
|
|
||
Performance fee payable to related party
|
30,857
|
|
|
—
|
|
||
Net cash provided by (used in) operating activities
|
(18,652
|
)
|
|
12,828
|
|
||
Investing activities
|
|
|
|
||||
Purchases of investments
|
(613,020
|
)
|
|
(1,189,432
|
)
|
||
Proceeds from sales of investments
|
940,797
|
|
|
771,687
|
|
||
Purchases of investments to cover short sales
|
(120,014
|
)
|
|
(459,901
|
)
|
||
Proceeds from short sales of investments
|
232,856
|
|
|
386,054
|
|
||
Change in due to/from brokers, net
|
(362,792
|
)
|
|
288,507
|
|
||
Increase in securities sold under an agreement to repurchase
|
16,524
|
|
|
161,361
|
|
||
Change in restricted cash and cash equivalents
|
(35,873
|
)
|
|
13,992
|
|
||
Net cash provided by (used in) investing activities
|
58,478
|
|
|
(27,732
|
)
|
||
Financing activities
|
|
|
|
||||
Proceeds from issuance of common shares, net of costs
|
498
|
|
|
—
|
|
||
Purchases of common shares under share repurchase program
|
(18,884
|
)
|
|
—
|
|
||
Increase in deposit liabilities, net
|
437
|
|
|
2,155
|
|
||
Non-controlling interest in investment affiliate, net
|
(19,999
|
)
|
|
—
|
|
||
Net cash provided by (used in) financing activities
|
(37,948
|
)
|
|
2,155
|
|
||
Net increase (decrease) in cash and cash equivalents
|
1,878
|
|
|
(12,749
|
)
|
||
Cash and cash equivalents at beginning of period
|
9,951
|
|
|
20,407
|
|
||
Cash and cash equivalents at end of period
|
$
|
11,829
|
|
|
$
|
7,658
|
|
Supplementary information
|
|
|
|
||||
Interest paid in cash
|
$
|
6,773
|
|
|
$
|
8,445
|
|
Income taxes paid in cash
|
$
|
1,355
|
|
|
$
|
1,177
|
|
|
|
|
|
||||
The accompanying Notes to the Condensed Consolidated Financial Statements are
an integral part of the Condensed Consolidated Financial Statements.
|
|
March 31,
2017 |
|
December 31,
2016 |
||||
|
($ in thousands)
|
||||||
Restricted cash securing letter of credit facilities (1)
|
$
|
220,729
|
|
|
$
|
231,822
|
|
Restricted cash securing other reinsurance contracts (2)
|
114,084
|
|
|
67,118
|
|
||
Total restricted cash and cash equivalents
|
334,813
|
|
|
298,940
|
|
||
Restricted investments securing other reinsurance contracts (2)
|
385,354
|
|
|
427,308
|
|
||
Total restricted cash and cash equivalents and restricted investments
|
$
|
720,167
|
|
|
$
|
726,248
|
|
(1)
|
Restricted cash securing letter of credit facilities primarily pertains to letters of credit issued to clients and cash securing these obligations that the Company will not be released 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.
|
|
March 31,
2017 |
|
December 31,
2016 |
||||
Assets
|
($ in thousands)
|
||||||
Total investments in securities
|
$
|
2,451,029
|
|
|
$
|
2,619,839
|
|
Cash and cash equivalents
|
6
|
|
|
5
|
|
||
Restricted cash and cash equivalents
|
334,813
|
|
|
298,940
|
|
||
Due from brokers
|
387,102
|
|
|
284,591
|
|
||
Derivative assets
|
34,122
|
|
|
27,432
|
|
||
Interest and dividends receivable
|
8,003
|
|
|
6,505
|
|
||
Total assets
|
3,215,075
|
|
|
3,237,312
|
|
||
Liabilities and non-controlling interest
|
|
|
|
||||
Accounts payable and accrued expenses
|
1,889
|
|
|
1,374
|
|
||
Securities sold, not yet purchased
|
217,836
|
|
|
92,668
|
|
||
Securities sold under an agreement to repurchase
|
16,524
|
|
|
—
|
|
||
Due to brokers
|
639,320
|
|
|
899,601
|
|
||
Derivative liabilities
|
10,839
|
|
|
16,050
|
|
||
Performance fee payable to related party
|
30,857
|
|
|
—
|
|
||
Interest and dividends payable
|
1,347
|
|
|
386
|
|
||
Non-controlling interest
|
16,849
|
|
|
35,674
|
|
||
Total liabilities and non-controlling interest
|
935,461
|
|
|
1,045,753
|
|
||
Total net investments managed by Third Point LLC
|
$
|
2,279,614
|
|
|
$
|
2,191,559
|
|
|
March 31, 2017
|
|
December 31, 2016
|
||||||||||
|
($ in thousands)
|
||||||||||||
Reperforming loans
|
$
|
142,976
|
|
|
60.3
|
%
|
|
$
|
44,359
|
|
|
17.4
|
%
|
Subprime RMBS
|
5,372
|
|
|
2.3
|
%
|
|
117,152
|
|
|
46.0
|
%
|
||
Market place loans
|
57,746
|
|
|
24.4
|
%
|
|
44,143
|
|
|
17.3
|
%
|
||
Other (1)
|
30,918
|
|
|
13.0
|
%
|
|
49,198
|
|
|
19.3
|
%
|
||
|
$
|
237,012
|
|
|
100.0
|
%
|
|
$
|
254,852
|
|
|
100.0
|
%
|
(1)
|
Other includes: U.S. Alt-A positions, collateralized debt obligations, commercial mortgage-backed securities, non-U.S. RMBS and student loans ABS.
|
•
|
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.
|
|
March 31, 2017
|
||||||||||||||
|
Quoted prices in active markets
|
|
Significant other observable inputs
|
|
Significant unobservable inputs
|
|
Total
|
||||||||
|
(Level 1)
|
|
(Level 2)
|
|
(Level 3)
|
|
|||||||||
Assets
|
($ in thousands)
|
||||||||||||||
Equity securities
|
$
|
1,424,882
|
|
|
$
|
2,343
|
|
|
$
|
—
|
|
|
$
|
1,427,225
|
|
Private common equity securities
|
—
|
|
|
432
|
|
|
4,745
|
|
|
5,177
|
|
||||
Private preferred equity securities
|
—
|
|
|
3,626
|
|
|
48,350
|
|
|
51,976
|
|
||||
Total equities
|
1,424,882
|
|
|
6,401
|
|
|
53,095
|
|
|
1,484,378
|
|
||||
Asset-backed securities
|
—
|
|
|
216,227
|
|
|
20,785
|
|
|
237,012
|
|
||||
Bank debt
|
—
|
|
|
24,052
|
|
|
8,722
|
|
|
32,774
|
|
||||
Corporate bonds
|
—
|
|
|
161,047
|
|
|
8,984
|
|
|
170,031
|
|
||||
U.S. Treasury securities
|
—
|
|
|
293,243
|
|
|
—
|
|
|
293,243
|
|
||||
Sovereign debt
|
—
|
|
|
188,161
|
|
|
—
|
|
|
188,161
|
|
||||
Total debt securities
|
—
|
|
|
882,730
|
|
|
38,491
|
|
|
921,221
|
|
||||
Options
|
3,024
|
|
|
4,606
|
|
|
—
|
|
|
7,630
|
|
||||
Rights and warrants
|
—
|
|
|
44
|
|
|
—
|
|
|
44
|
|
||||
Trade claims
|
—
|
|
|
8,072
|
|
|
—
|
|
|
8,072
|
|
||||
Total other investments
|
3,024
|
|
|
12,722
|
|
|
—
|
|
|
15,746
|
|
||||
Derivative assets (free standing)
|
495
|
|
|
33,627
|
|
|
—
|
|
|
34,122
|
|
||||
|
$
|
1,428,401
|
|
|
$
|
935,480
|
|
|
$
|
91,586
|
|
|
2,455,467
|
|
|
Investments in funds valued at NAV
|
|
|
|
|
|
|
56,274
|
|
|||||||
Total assets
|
|
|
|
|
|
|
$
|
2,511,741
|
|
||||||
Liabilities
|
|
|
|
|
|
|
|
||||||||
Equity securities
|
$
|
182,934
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
182,934
|
|
Corporate bonds
|
—
|
|
|
25,558
|
|
|
—
|
|
|
25,558
|
|
||||
Options
|
3,123
|
|
|
6,221
|
|
|
—
|
|
|
9,344
|
|
||||
Total securities sold, not yet purchased
|
186,057
|
|
|
31,779
|
|
|
—
|
|
|
217,836
|
|
||||
Derivative liabilities (free standing)
|
378
|
|
|
9,135
|
|
|
1,326
|
|
|
10,839
|
|
||||
Derivative liabilities (embedded)
|
—
|
|
|
—
|
|
|
111
|
|
|
111
|
|
||||
Total liabilities
|
$
|
186,435
|
|
|
$
|
40,914
|
|
|
$
|
1,437
|
|
|
$
|
228,786
|
|
|
December 31, 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
|
$
|
1,450,966
|
|
|
$
|
2,255
|
|
|
$
|
—
|
|
|
$
|
1,453,221
|
|
Private common equity securities
|
—
|
|
|
—
|
|
|
4,799
|
|
|
4,799
|
|
||||
Private preferred equity securities
|
—
|
|
|
—
|
|
|
48,834
|
|
|
48,834
|
|
||||
Total equities
|
1,450,966
|
|
|
2,255
|
|
|
53,633
|
|
|
1,506,854
|
|
||||
Asset-backed securities
|
—
|
|
|
237,224
|
|
|
17,628
|
|
|
254,852
|
|
||||
Bank debt
|
—
|
|
|
48,546
|
|
|
8,350
|
|
|
56,896
|
|
||||
Corporate bonds
|
—
|
|
|
209,025
|
|
|
9,255
|
|
|
218,280
|
|
||||
U.S. Treasury securities
|
—
|
|
|
327,016
|
|
|
—
|
|
|
327,016
|
|
||||
Sovereign debt
|
—
|
|
|
200,913
|
|
|
—
|
|
|
200,913
|
|
||||
Total debt securities
|
—
|
|
|
1,022,724
|
|
|
35,233
|
|
|
1,057,957
|
|
||||
Options
|
343
|
|
|
681
|
|
|
—
|
|
|
1,024
|
|
||||
Trade claims
|
—
|
|
|
9,022
|
|
|
—
|
|
|
9,022
|
|
||||
Total other investments
|
343
|
|
|
9,703
|
|
|
—
|
|
|
10,046
|
|
||||
Derivative assets (free standing)
|
961
|
|
|
26,471
|
|
|
—
|
|
|
27,432
|
|
||||
|
$
|
1,452,270
|
|
|
$
|
1,061,153
|
|
|
$
|
88,866
|
|
|
2,602,289
|
|
|
Investments in funds valued at NAV
|
|
|
|
|
|
|
72,655
|
|
|||||||
Total assets
|
|
|
|
|
|
|
$
|
2,674,944
|
|
||||||
Liabilities
|
|
|
|
|
|
|
|
||||||||
Equity securities
|
$
|
71,457
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
71,457
|
|
Corporate bonds
|
—
|
|
|
17,683
|
|
|
—
|
|
|
17,683
|
|
||||
Options
|
—
|
|
|
3,528
|
|
|
—
|
|
|
3,528
|
|
||||
Total securities sold, not yet purchased
|
71,457
|
|
|
21,211
|
|
|
—
|
|
|
92,668
|
|
||||
Derivative liabilities (free standing)
|
1,608
|
|
|
13,116
|
|
|
1,326
|
|
|
16,050
|
|
||||
Derivative liabilities (embedded)
|
—
|
|
|
—
|
|
|
92
|
|
|
92
|
|
||||
Total liabilities
|
$
|
73,065
|
|
|
$
|
34,327
|
|
|
$
|
1,418
|
|
|
$
|
108,810
|
|
|
January 1,
2017 |
|
Transfers in to (out of) Level 3
|
|
Purchases
|
|
Sales
|
|
Realized and Unrealized Gains(Losses) (1)
|
|
March 31,
2017 |
||||||||||||
|
($ in thousands)
|
||||||||||||||||||||||
Assets
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Private common equity securities
|
$
|
4,799
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(54
|
)
|
|
$
|
4,745
|
|
Private preferred equity securities
|
48,834
|
|
|
—
|
|
|
—
|
|
|
(371
|
)
|
|
(113
|
)
|
|
48,350
|
|
||||||
Asset-backed securities
|
17,628
|
|
|
1,347
|
|
|
13,252
|
|
|
(10,796
|
)
|
|
(646
|
)
|
|
20,785
|
|
||||||
Bank debt
|
8,350
|
|
|
—
|
|
|
—
|
|
|
(254
|
)
|
|
626
|
|
|
8,722
|
|
||||||
Corporate bonds
|
9,255
|
|
|
—
|
|
|
—
|
|
|
(266
|
)
|
|
(5
|
)
|
|
8,984
|
|
||||||
Total assets
|
$
|
88,866
|
|
|
$
|
1,347
|
|
|
$
|
13,252
|
|
|
$
|
(11,687
|
)
|
|
$
|
(192
|
)
|
|
$
|
91,586
|
|
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Derivative liabilities (free standing)
|
$
|
(1,326
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(1,326
|
)
|
Derivative liabilities (embedded)
|
(92
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(19
|
)
|
|
(111
|
)
|
||||||
Total liabilities
|
$
|
(1,418
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(19
|
)
|
|
$
|
(1,437
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
January 1,
2016 |
|
Transfers in to (out of) Level 3
|
|
Purchases
|
|
Sales
|
|
Realized and Unrealized Gains(Losses) (1)
|
|
March 31,
2016 |
||||||||||||
|
($ in thousands)
|
||||||||||||||||||||||
Assets
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Private common equity securities
|
$
|
4,357
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(219
|
)
|
|
$
|
4,138
|
|
Private preferred equity securities
|
24,178
|
|
|
—
|
|
|
2,111
|
|
|
—
|
|
|
(1,185
|
)
|
|
25,104
|
|
||||||
Asset-backed securities
|
2,617
|
|
|
168
|
|
|
192
|
|
|
(228
|
)
|
|
(520
|
)
|
|
2,229
|
|
||||||
Bank debt
|
7,660
|
|
|
(7,660
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Corporate bonds
|
3,252
|
|
|
—
|
|
|
—
|
|
|
(32
|
)
|
|
(262
|
)
|
|
2,958
|
|
||||||
Sovereign debt
|
21
|
|
|
—
|
|
|
—
|
|
|
(20
|
)
|
|
(1
|
)
|
|
—
|
|
||||||
Total assets
|
$
|
42,085
|
|
|
$
|
(7,492
|
)
|
|
$
|
2,303
|
|
|
$
|
(280
|
)
|
|
$
|
(2,187
|
)
|
|
$
|
34,429
|
|
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Derivative liabilities (free standing)
|
$
|
(1,020
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(66
|
)
|
|
$
|
—
|
|
|
$
|
(1,086
|
)
|
Derivative liabilities (embedded)
|
(5,563
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
235
|
|
|
(5,328
|
)
|
||||||
Total liabilities
|
$
|
(6,583
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(66
|
)
|
|
$
|
235
|
|
|
$
|
(6,414
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
(1)
|
Total change in realized and unrealized gains (losses) recorded on Level 3 financial instruments is included in
net investment income (loss)
in the
condensed consolidated statements of income (loss)
.
|
March 31, 2017
|
|||||||||||
Assets
|
|
Fair value ($ in thousands)
|
|
Valuation technique
|
|
Unobservable (U) and
observable (O) inputs
|
|
Range
|
|||
Derivative liabilities (embedded)
|
|
$
|
111
|
|
|
Discounted cash flow
|
|
Contractual variable annual investment credit (U)
|
|
0.0% - 2.5%
|
|
|
|
|
|
|
|
Mean monthly investment return (U)
|
|
0.8
|
%
|
||
|
|
|
|
|
|
Duration from inception of contracts (U)
|
|
5.0 years
|
|
||
|
|
|
|
|
|
Duration from valuation date (U)
|
|
3.8 years
|
|
||
|
|
|
|
|
|
Interest rates (O)
|
|
U.S. Treasury spot rates
|
|
||
Private equity investments
|
|
$
|
35,933
|
|
|
Market approach
|
|
Volatility (U)
|
|
21.0% - 69.0%
|
|
|
|
|
|
|
|
Time to exit (U)
|
|
1.0 - 3.0 years
|
|
||
|
|
|
|
|
|
Multiple (U)
|
|
1.9 - 7.3x
|
|
||
|
|
|
|
|
|
|
|
|
|||
December 31, 2016
|
|||||||||||
Assets
|
|
Fair value ($ in thousands)
|
|
Valuation technique
|
|
Unobservable (U) and
observable (O) inputs |
|
Range
|
|||
Derivative liabilities (embedded)
|
|
$
|
92
|
|
|
Discounted cash flow
|
|
Contractual Variable Annual Investment Credit (U)
|
|
0.0% - 2.5%
|
|
|
|
|
|
|
|
Mean Monthly Investment Return (U)
|
|
0.8
|
%
|
||
|
|
|
|
|
|
Duration from Inception of Contracts (U)
|
|
5.0 years
|
|
||
|
|
|
|
|
|
Duration from Valuation Date (U)
|
|
3.0 years
|
|
||
|
|
|
|
|
|
Interest Rates (O)
|
|
U.S. Treasury spot rates
|
|
||
Private equity investments
|
|
$
|
47,608
|
|
|
Market approach
|
|
Discount (U)
|
|
5.0% - 25.0%
|
|
|
|
|
|
|
|
Volatility (U)
|
|
40.0% - 60.0%
|
|
||
|
|
|
|
|
|
Time to exit (U)
|
|
0.4 - 2.8 years
|
|
||
|
|
|
|
|
|
Multiple (U)
|
|
2.0 - 3.8x
|
|
March 31, 2017
|
Overnights and continuous
|
|
Up to 30 days
|
|
30 - 90 days
|
|
Greater than 90 days
|
|
Total
|
||||||||||
|
($ in thousands)
|
||||||||||||||||||
Repurchase agreements
|
|||||||||||||||||||
Corporate securities
|
$
|
—
|
|
|
$
|
7,261
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
7,261
|
|
Non-U.S. sovereign debt
|
—
|
|
|
12,612
|
|
|
—
|
|
|
—
|
|
|
12,612
|
|
|||||
|
$
|
—
|
|
|
$
|
19,873
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
19,873
|
|
December 31, 2016
|
Overnights and continuous
|
|
Up to 30 days
|
|
30 - 90 days
|
|
Greater than 90 days
|
|
Total
|
||||||||||
|
($ in thousands)
|
||||||||||||||||||
Securities lending transactions
|
|
|
|
|
|
|
|
|
|
||||||||||
Corporate bonds
|
$
|
310
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
310
|
|
|
March 31,
2017 |
|
December 31,
2016 |
||||
|
($ in thousands)
|
||||||
Due from brokers
|
|
|
|
||||
Cash held at brokers
|
$
|
300,390
|
|
|
$
|
240,205
|
|
Receivable from unsettled trades (1)
|
86,712
|
|
|
44,386
|
|
||
|
$
|
387,102
|
|
|
$
|
284,591
|
|
Due to brokers
|
|
|
|
||||
Borrowing from prime brokers (2)
|
$
|
608,711
|
|
|
$
|
855,576
|
|
Payable from unsettled trades
|
30,609
|
|
|
44,025
|
|
||
|
$
|
639,320
|
|
|
$
|
899,601
|
|
(2)
|
As of
March 31, 2017
, the Company’s borrowing from prime brokers includes a total non-U.S. currency balance of
$41.7 million
(
December 31, 2016
-
$22.0 million
).
|
|
As of March 31, 2017
|
||||||||
|
Listing currency (1)
|
|
Fair Value
|
|
Notional Amounts (2)
|
||||
Derivative Assets by Primary Underlying Risk
|
($ in thousands)
|
||||||||
Credit
|
|
|
|
|
|
||||
Credit Default Swaps - Protection Purchased
|
EUR/USD
|
|
$
|
12,310
|
|
|
$
|
91,939
|
|
Equity Price
|
|
|
|
|
|
||||
Contracts for Differences - Long Contracts
|
CHF/EUR/GBP/USD
|
|
7,690
|
|
|
275,530
|
|
||
Contracts for Differences - Short Contracts
|
SEK
|
|
25
|
|
|
2,640
|
|
||
Total Return Swaps - Long Contracts
|
BRL/USD
|
|
3,954
|
|
|
106,755
|
|
||
Interest Rates
|
|
|
|
|
|
||||
Interest Rate Swaps
|
GBP/USD
|
|
2,971
|
|
|
296,161
|
|
||
Interest Rate Swaptions
|
JPY/USD
|
|
5,389
|
|
|
1,549,489
|
|
||
Sovereign Debt Futures - Short Contracts
|
EUR/USD
|
|
495
|
|
|
229,805
|
|
||
Foreign Currency Exchange Rates
|
|
|
|
|
|
||||
Foreign Currency Forward Contracts
|
EUR/USD
|
|
1,158
|
|
|
91,753
|
|
||
Foreign Currency Options - Purchased
|
HKD/USD
|
|
130
|
|
|
66,079
|
|
||
Total Derivative Assets
|
|
|
$
|
34,122
|
|
|
$
|
2,710,151
|
|
|
|
|
|
|
|
||||
|
Listing currency (1)
|
|
Fair Value
|
|
Notional Amounts (2)
|
||||
Derivative Liabilities by Primary Underlying Risk
|
($ in thousands)
|
||||||||
Credit
|
|
|
|
|
|
||||
Credit Default Swaps - Protection Purchased
|
USD
|
|
$
|
2,153
|
|
|
$
|
33,643
|
|
Credit Default Swaps - Protection Sold
|
USD
|
|
1,958
|
|
|
3,936
|
|
||
Equity Price
|
|
|
|
|
|
||||
Contracts for Differences - Long Contracts
|
CHF/USD
|
|
448
|
|
|
64,440
|
|
||
Contracts for Differences - Short Contracts
|
EUR/SEK
|
|
8
|
|
|
4,376
|
|
||
Total Return Swaps - Long Contracts
|
BRL/USD
|
|
10
|
|
|
5,252
|
|
||
Total Return Swaps - Short Contracts
|
JPY/USD
|
|
1,532
|
|
|
57,783
|
|
||
Interest Rates
|
|
|
|
|
|
||||
Interest Rate Swaps
|
GBP/HKD/USD
|
|
865
|
|
|
676,070
|
|
||
Interest Rate Swaptions
|
JPY/USD
|
|
2,358
|
|
|
3,033,835
|
|
||
Sovereign Debt Futures - Short Contracts
|
EUR/USD
|
|
378
|
|
|
176,688
|
|
||
Foreign Currency Exchange Rates
|
|
|
|
|
|
||||
Foreign Currency Forward Contracts
|
CNH/GBP/HKD/JPY/SAR
|
|
1,129
|
|
|
623,663
|
|
||
Total Derivative Liabilities (free standing)
|
|
|
$
|
10,839
|
|
|
$
|
4,679,686
|
|
|
|
|
|
|
|
||||
Embedded derivative liabilities in reinsurance contracts (3)
|
USD
|
|
$
|
111
|
|
|
$
|
20,000
|
|
Total Derivative Liabilities (embedded)
|
|
|
$
|
111
|
|
|
$
|
20,000
|
|
(1)
|
BRL = Brazilian Real, CHF = Swiss Franc, CNH = Chinese Yuan, EUR = Euro, GBP = British Pound, HKD = Hong Kong Dollar, JPY = Japanese Yen, SAR = Saudi Arabian Riyal, SEK = Swedish Krona, USD = US Dollar
|
(2)
|
The absolute notional exposure represents the Company’s derivative activity as of
March 31, 2017
, 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 sheets.
|
|
As of December 31, 2016
|
||||||||
|
Listing currency (1)
|
|
Fair Value
|
|
Notional Amounts (2)
|
||||
Derivative Assets by Primary Underlying Risk
|
($ in thousands)
|
||||||||
Credit
|
|
|
|
|
|
||||
Credit Default Swaps - Protection Purchased
|
EUR/ USD
|
|
$
|
10,905
|
|
|
$
|
84,327
|
|
Equity Price
|
|
|
|
|
|
||||
Contracts for Differences - Long Contracts
|
EUR/ GBP
|
|
1,765
|
|
|
36,879
|
|
||
Total Return Swaps - Long Contracts
|
BRL/ USD
|
|
617
|
|
|
19,140
|
|
||
Total Return Swaps - Short Contracts
|
JPY
|
|
183
|
|
|
8,696
|
|
||
Interest Rates
|
|
|
|
|
|
||||
Interest Rate Swaps
|
GBP/USD
|
|
2,462
|
|
|
195,571
|
|
||
Interest Rate Swaptions
|
JPY / USD
|
|
5,354
|
|
|
424,816
|
|
||
Sovereign Debt Futures - Short Contracts
|
USD
|
|
961
|
|
|
107,591
|
|
||
Foreign Currency Exchange Rates
|
|
|
|
|
|
||||
Foreign Currency Forward Contracts
|
CAD/ CNH/ GBP/ MXN
|
|
653
|
|
|
47,754
|
|
||
Foreign Currency Options - Purchased
|
CNH/EUR/HKD/JPY/SAR
|
|
4,532
|
|
|
501,465
|
|
||
Total Derivative Assets
|
|
|
$
|
27,432
|
|
|
$
|
1,426,239
|
|
|
|
|
|
|
|
||||
|
|
|
|
|
|
||||
|
Listing currency (1)
|
|
Fair Value
|
|
Notional Amounts (2)
|
||||
Derivative Liabilities by Primary Underlying Risk
|
($ in thousands)
|
||||||||
Credit
|
|
|
|
|
|
||||
Credit Default Swaps - Protection Purchased
|
USD
|
|
$
|
3,286
|
|
|
$
|
43,184
|
|
Credit Default Swaps - Protection Sold
|
USD
|
|
1,952
|
|
|
3,943
|
|
||
Equity Price
|
|
|
|
|
|
||||
Contracts for Differences - Long Contracts
|
GBP
|
|
—
|
|
|
67
|
|
||
Contracts for Differences - Short Contracts
|
EUR / ZAR
|
|
1,106
|
|
|
11,424
|
|
||
Total Return Swaps - Long Contracts
|
USD
|
|
1,675
|
|
|
26,800
|
|
||
Total Return Swaps - Short Contracts
|
JPY / USD
|
|
1,302
|
|
|
10,095
|
|
||
Interest Rates
|
|
|
|
|
|
||||
Interest Rate Swaps
|
GBP
|
|
722
|
|
|
59,115
|
|
||
Interest Rate Swaptions
|
JPY/USD
|
|
1,056
|
|
|
417,052
|
|
||
Sovereign Debt Futures - Short Contracts
|
EUR / GBP
|
|
1,608
|
|
|
159,923
|
|
||
Foreign Currency Exchange Rates
|
|
|
|
|
|
||||
Foreign Currency Forward Contracts
|
EUR /JPY /SAR
|
|
2,009
|
|
|
214,854
|
|
||
Foreign Currency Options - Sold
|
CNH/JPY
|
|
1,334
|
|
|
363,840
|
|
||
Total Derivative Liabilities (free standing)
|
|
|
$
|
16,050
|
|
|
$
|
1,310,297
|
|
|
|
|
|
|
|
||||
Embedded derivative liabilities in reinsurance contracts (3)
|
USD
|
|
$
|
92
|
|
|
$
|
20,000
|
|
Total Derivative Liabilities (embedded)
|
|
|
$
|
92
|
|
|
$
|
20,000
|
|
(1)
|
BRL = Brazilian Real, CAD = Canadian Dollar, CNH = Chinese Yuan, EUR = Euro, GBP = British Pound, HKD = Hong Kong Dollar, JPY = Japanese Yen, MXN = Mexican Peso, SAR = Saudi Arabian Riyal, USD = US Dollar, ZAR = South African Rand
|
(2)
|
The absolute notional exposure represents the Company’s derivative activity as of
December 31, 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 sheets.
|
|
2017
|
|
2016
|
||||||||||||
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
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(253
|
)
|
|
$
|
(580
|
)
|
Credit
|
|
|
|
|
|
|
|
||||||||
Credit Default Swaps - Protection Purchased
|
(1,328
|
)
|
|
1,620
|
|
|
7,685
|
|
|
(7,024
|
)
|
||||
Credit Default Swaps - Protection Sold
|
19
|
|
|
(24
|
)
|
|
(4,358
|
)
|
|
4,444
|
|
||||
Equity Price
|
|
|
|
|
|
|
|
||||||||
Contracts for Differences - Long Contracts
|
7,870
|
|
|
5,476
|
|
|
(725
|
)
|
|
(564
|
)
|
||||
Contracts for Differences - Short Contracts
|
(3,212
|
)
|
|
1,124
|
|
|
2,253
|
|
|
(6,303
|
)
|
||||
Total Return Swaps - Long Contracts
|
3,801
|
|
|
5,002
|
|
|
(10,518
|
)
|
|
4,657
|
|
||||
Total Return Swaps - Short Contracts
|
(2,729
|
)
|
|
(413
|
)
|
|
1,228
|
|
|
(2,368
|
)
|
||||
Interest Rates
|
|
|
|
|
|
|
|
||||||||
Commodity Futures - Short Contracts
|
—
|
|
|
—
|
|
|
(1,152
|
)
|
|
(52
|
)
|
||||
Fixed Income Swap - Short Contracts
|
—
|
|
|
—
|
|
|
22
|
|
|
(72
|
)
|
||||
Interest Rate Swaps
|
1,453
|
|
|
365
|
|
|
—
|
|
|
—
|
|
||||
Interest Rate Swaptions
|
1,242
|
|
|
(1,769
|
)
|
|
(112
|
)
|
|
39
|
|
||||
Sovereign Debt Futures - Short Contracts
|
(1,782
|
)
|
|
764
|
|
|
—
|
|
|
—
|
|
||||
Foreign Currency Exchange Rates
|
|
|
|
|
|
|
|
||||||||
Foreign Currency Forward Contracts
|
(5,874
|
)
|
|
1,385
|
|
|
(3,096
|
)
|
|
(12,373
|
)
|
||||
Foreign Currency Options - Purchased
|
(4,869
|
)
|
|
502
|
|
|
(1,181
|
)
|
|
(1,972
|
)
|
||||
Foreign Currency Options - Sold
|
2,185
|
|
|
(80
|
)
|
|
505
|
|
|
(81
|
)
|
||||
|
$
|
(3,224
|
)
|
|
$
|
13,952
|
|
|
$
|
(9,702
|
)
|
|
$
|
(22,249
|
)
|
Embedded Derivatives
|
|
|
|
|
|
|
|
||||||||
Embedded derivatives in reinsurance contracts
|
$
|
—
|
|
|
$
|
(19
|
)
|
|
$
|
—
|
|
|
$
|
235
|
|
|
Gross Amounts not Offset in the Condensed Consolidated Balance Sheet
|
||||||||||||||
March 31, 2017
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
|
$
|
893
|
|
|
$
|
893
|
|
|
$
|
—
|
|
|
$
|
—
|
|
Counterparty 2
|
2,880
|
|
|
2,697
|
|
|
—
|
|
|
183
|
|
||||
Counterparty 3
|
10,968
|
|
|
4,443
|
|
|
—
|
|
|
6,525
|
|
||||
Counterparty 4
|
2,826
|
|
|
1,896
|
|
|
—
|
|
|
930
|
|
||||
Counterparty 5
|
8,122
|
|
|
2,263
|
|
|
—
|
|
|
5,859
|
|
||||
Counterparty 6
|
6,235
|
|
|
56
|
|
|
3,822
|
|
|
2,357
|
|
||||
Counterparty 8
|
4,063
|
|
|
267
|
|
|
—
|
|
|
3,796
|
|
||||
Counterparty 9
|
2,739
|
|
|
2,562
|
|
|
—
|
|
|
177
|
|
||||
|
$
|
38,726
|
|
|
$
|
15,077
|
|
|
$
|
3,822
|
|
|
$
|
19,827
|
|
|
|
|
|
|
|
|
|
||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
Gross Amounts not Offset in the Condensed Consolidated Balance Sheet
|
||||||||||||||
March 31, 2017
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
|
$
|
2,876
|
|
|
$
|
893
|
|
|
$
|
1,983
|
|
|
$
|
—
|
|
Counterparty 2
|
2,697
|
|
|
2,697
|
|
|
—
|
|
|
—
|
|
||||
Counterparty 3
|
4,443
|
|
|
4,443
|
|
|
—
|
|
|
—
|
|
||||
Counterparty 4
|
1,896
|
|
|
1,896
|
|
|
—
|
|
|
—
|
|
||||
Counterparty 5
|
2,263
|
|
|
2,263
|
|
|
—
|
|
|
—
|
|
||||
Counterparty 6
|
56
|
|
|
56
|
|
|
—
|
|
|
—
|
|
||||
Counterparty 8
|
267
|
|
|
267
|
|
|
—
|
|
|
—
|
|
||||
Counterparty 9
|
2,562
|
|
|
2,562
|
|
|
—
|
|
|
—
|
|
||||
|
$
|
17,060
|
|
|
$
|
15,077
|
|
|
$
|
1,983
|
|
|
$
|
—
|
|
|
|
|
|
|
|
|
|
||||||||
Securities sold under an agreement to repurchase
|
|
|
|
|
|
|
|
||||||||
Counterparty 4
|
$
|
8,837
|
|
|
$
|
8,837
|
|
|
$
|
—
|
|
|
$
|
—
|
|
Counterparty 6
|
7,687
|
|
|
7,687
|
|
|
—
|
|
|
—
|
|
||||
|
$
|
16,524
|
|
|
$
|
16,524
|
|
|
$
|
—
|
|
|
$
|
—
|
|
(1)
|
The Gross Amounts of Assets Presented in the condensed consolidated balance sheets presented above includes the fair value of Derivative Contract assets as well as gross OTC option contract assets of
$4.6 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
$6.2 million
included in Securities sold, not yet purchased in the condensed consolidated balance sheets.
|
|
Gross Amounts not Offset in the Condensed Consolidated Balance Sheet
|
||||||||||||||
December 31, 2016
Derivative Contracts
|
Gross Amounts of Assets Presented in the Condensed Consolidated Balance Sheet (1)
|
|
Financial Instruments
|
|
Cash Collateral Received
|
|
Net Amount
|
||||||||
Financial assets, derivative assets and collateral received
|
($ in thousands)
|
||||||||||||||
Counterparty 1
|
$
|
535
|
|
|
$
|
535
|
|
|
$
|
—
|
|
|
$
|
—
|
|
Counterparty 2
|
3,147
|
|
|
607
|
|
|
—
|
|
|
2,540
|
|
||||
Counterparty 3
|
8,652
|
|
|
4,760
|
|
|
—
|
|
|
3,892
|
|
||||
Counterparty 4
|
1,639
|
|
|
1,639
|
|
|
—
|
|
|
—
|
|
||||
Counterparty 5
|
7,336
|
|
|
3,027
|
|
|
—
|
|
|
4,309
|
|
||||
Counterparty 6
|
6,262
|
|
|
2,599
|
|
|
3,383
|
|
|
280
|
|
||||
Counterparty 7
|
227
|
|
|
—
|
|
|
197
|
|
|
30
|
|
||||
Counterparty 8
|
277
|
|
|
277
|
|
|
—
|
|
|
—
|
|
||||
Counterparty 9
|
37
|
|
|
37
|
|
|
—
|
|
|
—
|
|
||||
|
$
|
28,112
|
|
|
$
|
13,481
|
|
|
$
|
3,580
|
|
|
$
|
11,051
|
|
|
|
|
|
|
|
|
|
|
Gross Amounts not Offset in the Condensed Consolidated Balance Sheet
|
||||||||||||||
December 31, 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
|
$
|
2,959
|
|
|
$
|
535
|
|
|
$
|
2,424
|
|
|
$
|
—
|
|
Counterparty 2
|
607
|
|
|
607
|
|
|
—
|
|
|
—
|
|
||||
Counterparty 3
|
4,760
|
|
|
4,760
|
|
|
—
|
|
|
—
|
|
||||
Counterparty 4
|
3,827
|
|
|
1,639
|
|
|
2,188
|
|
|
—
|
|
||||
Counterparty 5
|
3,027
|
|
|
3,027
|
|
|
—
|
|
|
—
|
|
||||
Counterparty 6
|
2,599
|
|
|
2,599
|
|
|
—
|
|
|
—
|
|
||||
Counterparty 8
|
977
|
|
|
277
|
|
|
—
|
|
|
700
|
|
||||
Counterparty 9
|
822
|
|
|
37
|
|
|
785
|
|
|
—
|
|
||||
|
$
|
19,578
|
|
|
$
|
13,481
|
|
|
$
|
5,397
|
|
|
$
|
700
|
|
|
|
|
|
|
|
|
|
||||||||
Securities lending transactions
|
|
|
|
|
|
|
|
||||||||
Counterparty 3
|
$
|
302
|
|
|
$
|
302
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
302
|
|
|
$
|
302
|
|
|
$
|
—
|
|
|
$
|
—
|
|
(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
$0.7 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
$3.5 million
included in Securities sold, not yet purchased in the condensed consolidated balance sheets.
|
|
March 31,
2017 |
|
December 31,
2016 |
||||
|
($ in thousands)
|
||||||
Case loss and loss adjustment expense reserves
|
$
|
110,201
|
|
|
$
|
80,370
|
|
Incurred but not reported loss and loss adjustment expense reserves
|
513,778
|
|
|
522,818
|
|
||
Deferred gains on retroactive reinsurance contracts
|
1,807
|
|
|
1,941
|
|
||
|
$
|
625,786
|
|
|
$
|
605,129
|
|
|
2017
|
|
2016
|
||||
|
($ in thousands)
|
||||||
Gross reserves for loss and loss adjustment expenses, beginning of period
|
$
|
605,129
|
|
|
$
|
466,047
|
|
Less: loss and loss adjustment expenses recoverable, beginning of period
|
(1
|
)
|
|
(125
|
)
|
||
Net reserves for loss and loss adjustment expenses, beginning of period
|
605,128
|
|
|
465,922
|
|
||
Increase (decrease) in net loss and loss adjustment expenses incurred in respect of losses occurring in:
|
|
|
|
||||
Current year
|
85,284
|
|
|
79,921
|
|
||
Prior years
|
772
|
|
|
4,941
|
|
||
Amortization of deferred gains on retroactive reinsurance contracts
|
(161
|
)
|
|
(186
|
)
|
||
Total incurred loss and loss adjustment expenses
|
85,895
|
|
|
84,676
|
|
||
Net loss and loss adjustment expenses paid in respect of losses occurring in:
|
|
|
|
||||
Current year
|
(5,101
|
)
|
|
(6,097
|
)
|
||
Prior years
|
(62,046
|
)
|
|
(52,319
|
)
|
||
Total net paid losses
|
(67,147
|
)
|
|
(58,416
|
)
|
||
Foreign currency translation
|
1,858
|
|
|
(2,276
|
)
|
||
Net reserve for loss and loss adjustment expenses, end of period
|
625,734
|
|
|
489,906
|
|
||
Plus: loss and loss adjustment expenses recoverable, end of period
|
52
|
|
|
1
|
|
||
Gross reserve for loss and loss adjustment expenses, end of period
|
$
|
625,786
|
|
|
$
|
489,907
|
|
•
|
The
$2.4 million
increase
in loss and loss adjustment expenses incurred related to the increase in premium estimates on certain contracts was accompanied by a
$1.0 million
increase
in acquisition costs, for a total of
$3.4 million
increase
in loss and loss adjustment expenses incurred and acquisition costs. The
increase
in earned premium related to the increase in premium estimates was
$3.4 million
, resulting in minimal impact in net underwriting loss for the
three
months ended
March 31, 2017
.
|
•
|
The
$1.6 million
of net
favorable
prior years’ reserve development for the
three
months ended
March 31, 2017
was accompanied by net
increase
s of
$1.6 million
in acquisition costs, resulting in minimal impact in net underwriting loss.
|
•
|
In total, there was minimal change in net underwriting loss for prior periods due to loss reserve development and adjustments to premium estimates for the
three
months ended
March 31, 2017
.
|
•
|
The
$0.1 million
of net favorable prior years’ reserve development for the three months ended March 31, 2016 was accompanied by net decreases of
$0.1 million
in acquisition costs, resulting in a net decrease of
$0.2 million
in net underwriting loss.
|
•
|
The
$5.0 million
increase in loss and loss adjustment expenses incurred related to the increase in premium estimates on certain contracts was accompanied by a
$3.0 million
increase in acquisition costs, for a total of
$8.0 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
$8.5 million
, resulting in a
$0.5 million
decrease in net underwriting loss for the three months ended March 31, 2016.
|
•
|
In total, the change in net underwriting loss for prior periods due to loss reserve development and adjustments to premium estimates was a decrease of
$0.7 million
for the three months ended March 31, 2016.
|
|
2017
|
|
2016
|
||||
|
($ in thousands)
|
||||||
Management fees - Third Point LLC
|
$
|
8,467
|
|
|
$
|
1,521
|
|
Management fees - Founders (1)
|
—
|
|
|
8,621
|
|
||
Performance fees - Third Point Advisors LLC
|
30,858
|
|
|
—
|
|
||
|
$
|
39,325
|
|
|
$
|
10,142
|
|
|
March 31,
2017 |
|
December 31,
2016 |
||||
|
($ in thousands)
|
||||||
Balance, beginning of period
|
$
|
104,905
|
|
|
$
|
83,955
|
|
Consideration received
|
1,371
|
|
|
22,463
|
|
||
Net investment expense (income) allocation and change in fair value of embedded derivatives
|
409
|
|
|
(164
|
)
|
||
Payments
|
(934
|
)
|
|
(915
|
)
|
||
Foreign currency translation
|
27
|
|
|
(434
|
)
|
||
Balance, end of period
|
$
|
105,778
|
|
|
$
|
104,905
|
|
|
Facility (1)
|
|
Utilized
|
|
Collateral
|
||||||
March 31, 2017
|
($ in thousands)
|
||||||||||
Citibank
|
$
|
300,000
|
|
|
$
|
147,456
|
|
|
$
|
147,456
|
|
J.P. Morgan
|
50,000
|
|
|
9
|
|
|
9
|
|
|||
Lloyds Bank
|
125,000
|
|
|
73,264
|
|
|
73,264
|
|
|||
|
$
|
475,000
|
|
|
$
|
220,729
|
|
|
$
|
220,729
|
|
|
2017
|
|
2016
|
||||
Net investment income (loss) by type
|
($ in thousands)
|
||||||
Net realized gains on investments and investment derivatives
|
$
|
61,026
|
|
|
$
|
23,242
|
|
Net unrealized gains (losses) on investments and investment derivatives
|
95,455
|
|
|
(54,842
|
)
|
||
Net losses on foreign currencies
|
(552
|
)
|
|
(166
|
)
|
||
Dividend and interest income
|
17,267
|
|
|
7,672
|
|
||
Dividends paid on securities sold, not yet purchased
|
(525
|
)
|
|
(434
|
)
|
||
Management and performance fees
|
(39,325
|
)
|
|
(10,142
|
)
|
||
Other expenses
|
(5,103
|
)
|
|
(5,687
|
)
|
||
Net investment income (loss) on investments managed by Third Point LLC
|
128,243
|
|
|
(40,357
|
)
|
||
Net gain on investment in Kiskadee Fund
|
267
|
|
|
247
|
|
||
|
$
|
128,510
|
|
|
$
|
(40,110
|
)
|
|
2017
|
|
2016
|
||||
Net investment income (loss) by asset class
|
($ in thousands)
|
||||||
Net investment gains (losses) on equity securities
|
$
|
151,493
|
|
|
$
|
(2,231
|
)
|
Net investment gains on debt securities
|
23,503
|
|
|
12,149
|
|
||
Net investment losses on other investments
|
(3,696
|
)
|
|
(8,496
|
)
|
||
Net investment gains (losses) on investment derivatives
|
10,728
|
|
|
(31,951
|
)
|
||
Net investment gains (losses) on securities sold, not yet
purchased
|
(9,384
|
)
|
|
4,304
|
|
||
Net investment income (loss) on cash, including foreign exchange gain (loss)
|
(2,936
|
)
|
|
(1,715
|
)
|
||
Net investment losses on securities sold under an agreement to repurchase
|
(20
|
)
|
|
(697
|
)
|
||
Management and performance fees
|
(39,325
|
)
|
|
(10,142
|
)
|
||
Other investment expenses
|
(1,853
|
)
|
|
(1,331
|
)
|
||
|
$
|
128,510
|
|
|
$
|
(40,110
|
)
|
|
2017
|
|
2016
|
||||
|
($ in thousands)
|
||||||
Deposit liabilities investment expense
|
$
|
409
|
|
|
$
|
471
|
|
Reinsurance contracts investment expense
|
2,473
|
|
|
2,470
|
|
||
Change in fair value of embedded derivatives in deposit and reinsurance contracts
|
19
|
|
|
(235
|
)
|
||
|
$
|
2,901
|
|
|
$
|
2,706
|
|
|
2017
|
|
2016
|
||||
|
($ in thousands)
|
||||||
Income tax expense (benefit) related to U.S. and U.K. subsidiaries
(1)
|
$
|
4,182
|
|
|
$
|
(3,120
|
)
|
Change in uncertain tax positions
|
126
|
|
|
—
|
|
||
Withholding taxes on certain investment transactions
|
990
|
|
|
1,191
|
|
||
|
$
|
5,298
|
|
|
$
|
(1,929
|
)
|
(1)
|
As of
March 31, 2017
, the Company has recorded
$3.7 million
(December 31,
2016
-
$7.9 million
) of net deferred tax assets, which are included in other assets in the condensed consolidated balance sheets. As of
March 31, 2017
and December 31,
2016
, the net deferred tax asset was primarily the result of operating losses in the Company’s U.S. subsidiaries. The Company believes that it is more likely than not that the tax benefit will be realized.
|
Common shares
|
2017
|
|
2016
|
||
Balance, beginning of period
|
106,501,299
|
|
|
105,479,341
|
|
Options exercised
|
50,000
|
|
|
79,832
|
|
Performance restricted shares granted, net of forfeitures
|
630,784
|
|
|
653,958
|
|
Balance, end of period
|
107,182,083
|
|
|
106,213,131
|
|
Treasury shares
|
2017
|
|
2016
|
||
Balance, beginning of period
|
644,768
|
|
|
—
|
|
Repurchase of common shares
|
1,532,871
|
|
|
—
|
|
Balance, end of period
|
2,177,639
|
|
|
—
|
|
|
2017
|
|
2016
|
||||
|
($ in thousands)
|
||||||
Management and director options
|
$
|
347
|
|
|
$
|
1,555
|
|
Restricted shares with service condition
|
124
|
|
|
206
|
|
||
Restricted shares with service and performance condition
|
1,359
|
|
|
890
|
|
||
|
$
|
1,830
|
|
|
$
|
2,651
|
|
|
Number of
options
|
|
Weighted
average exercise
price
|
|||
Balances as of January 1, 2016
|
10,250,586
|
|
|
$
|
13.52
|
|
Forfeited
|
(139,534
|
)
|
|
18.00
|
|
|
Exercised
|
(514,059
|
)
|
|
10.00
|
|
|
Balances as of January 1, 2017
|
9,596,993
|
|
|
13.64
|
|
|
Exercised
|
(50,000
|
)
|
|
10.00
|
|
|
Balances as of March 31, 2017
|
9,546,993
|
|
|
$
|
13.66
|
|
|
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
|
5,224,334
|
|
|
$
|
10.04
|
|
|
4.8 years
|
|
5,070,845
|
|
|
$
|
10.02
|
|
$15.05 - $16.89
|
2,196,214
|
|
|
15.94
|
|
|
4.5 years
|
|
2,061,330
|
|
|
15.96
|
|
||
$20.00 - $25.05
|
2,126,445
|
|
|
20.23
|
|
|
4.5 years
|
|
2,019,469
|
|
|
20.14
|
|
||
|
9,546,993
|
|
|
$
|
13.66
|
|
|
4.6 years
|
|
9,151,644
|
|
|
$
|
13.59
|
|
|
Number of non-
vested restricted
shares
|
|
Weighted
average grant
date fair value
|
|||
Balance as of January 1, 2016
|
301,043
|
|
|
$
|
11.12
|
|
Granted
|
47,712
|
|
|
11.37
|
|
|
Vested
|
(47,712
|
)
|
|
11.37
|
|
|
Balance as of January 1, 2017
|
301,043
|
|
|
11.12
|
|
|
Vested
|
(223,125
|
)
|
|
10.07
|
|
|
Balance as of March 31, 2017
|
77,918
|
|
|
$
|
14.12
|
|
|
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, 2016
|
921,553
|
|
|
536,234
|
|
|
$
|
14.24
|
|
Granted
|
653,958
|
|
|
435,974
|
|
|
11.40
|
|
|
Forfeited
|
(193,771
|
)
|
|
(119,009
|
)
|
|
13.16
|
|
|
Change in estimated restricted shares considered probable of vesting
|
n/a
|
|
|
(275,713
|
)
|
|
13.06
|
|
|
Balance as of January 1, 2017
|
1,381,740
|
|
|
577,486
|
|
|
12.91
|
|
|
Granted
|
871,723
|
|
|
581,147
|
|
|
12.20
|
|
|
Forfeited
|
(240,939
|
)
|
|
—
|
|
|
14.60
|
|
|
Vested
|
(136,618
|
)
|
|
(136,618
|
)
|
|
14.60
|
|
|
Change in estimated restricted shares considered probable of vesting
|
n/a
|
|
|
3,207
|
|
|
14.60
|
|
|
Balance as of March 31, 2017
|
1,875,906
|
|
|
1,025,222
|
|
|
$
|
12.29
|
|
|
|
2017
|
|
2016
|
||||
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
|
104,013,871
|
|
|
104,257,874
|
|
||
|
Dilutive effect of options
|
781,568
|
|
|
—
|
|
||
|
Dilutive effect of warrants
|
722,816
|
|
|
—
|
|
||
|
Dilutive effect of restricted shares with service and performance condition
|
183,344
|
|
|
—
|
|
||
|
Diluted number of common shares outstanding
|
105,701,599
|
|
|
104,257,874
|
|
||
Basic earnings (loss) per common share:
|
|
|
|
|||||
|
Net income (loss)
|
$
|
104,186
|
|
|
$
|
(51,129
|
)
|
|
Income allocated to participating shares
|
(139
|
)
|
|
—
|
|
||
|
Net income (loss) available to common shareholders
|
$
|
104,047
|
|
|
$
|
(51,129
|
)
|
|
Basic earnings (loss) per common share
|
$
|
1.00
|
|
|
$
|
(0.49
|
)
|
Diluted earnings (loss) per common share:
|
|
|
|
|||||
|
Net income (loss)
|
$
|
104,186
|
|
|
$
|
(51,129
|
)
|
|
Income allocated to participating shares
|
(136
|
)
|
|
—
|
|
||
|
Net income (loss) available to common shareholders
|
$
|
104,050
|
|
|
$
|
(51,129
|
)
|
|
Diluted earnings (loss) per common share
|
$
|
0.98
|
|
|
$
|
(0.49
|
)
|
March 31, 2017
|
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 2047 |
|
Total Written
Credit Default Swaps (1) |
|
Asset
|
|
Liability
|
|
Net Asset/(Liability)
|
||||||||||||
|
($ in thousands)
|
||||||||||||||||||||||
Single name (0 - 250)
|
$
|
—
|
|
|
$
|
3,936
|
|
|
$
|
3,936
|
|
|
$
|
—
|
|
|
$
|
1,958
|
|
|
$
|
(1,958
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
December 31, 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 2047 |
|
Total Written
Credit Default Swaps (1) |
|
Asset
|
|
Liability
|
|
Net Asset/(Liability)
|
||||||||||||
|
($ in thousands)
|
||||||||||||||||||||||
Single name (0 - 250)
|
$
|
—
|
|
|
$
|
3,943
|
|
|
$
|
3,943
|
|
|
$
|
—
|
|
|
$
|
1,952
|
|
|
$
|
(1,952
|
)
|
(1)
|
As of
March 31, 2017
and
December 31, 2016
, 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.
|
|
2017
|
|
2016
|
||
Largest contract
|
36.9
|
%
|
|
48.0
|
%
|
Second largest contract
|
12.9
|
%
|
|
16.3
|
%
|
Third largest contract
|
11.5
|
%
|
|
13.8
|
%
|
Fourth largest contract
|
n/a
|
|
|
10.7
|
%
|
Total for contracts contributing greater than 10% each
|
61.3
|
%
|
|
88.8
|
%
|
Total for contracts contributing less than 10% each
|
38.7
|
%
|
|
11.2
|
%
|
|
100.0
|
%
|
|
100.0
|
%
|
|
2017
|
|
2016
|
||||||||||
|
($ in thousands)
|
||||||||||||
Property
|
$
|
12
|
|
|
—
|
%
|
|
$
|
(175
|
)
|
|
(0.1
|
)%
|
Casualty
|
87,205
|
|
|
59.6
|
%
|
|
11,377
|
|
|
5.8
|
%
|
||
Specialty
|
59,137
|
|
|
40.4
|
%
|
|
185,954
|
|
|
94.3
|
%
|
||
|
$
|
146,354
|
|
|
100.0
|
%
|
|
$
|
197,156
|
|
|
100.0
|
%
|
|
2017
|
|
2016
|
||||||||||
|
($ in thousands)
|
||||||||||||
Prospective
|
$
|
146,354
|
|
|
100.0
|
%
|
|
$
|
197,156
|
|
|
100.0
|
%
|
Retroactive
(1)
|
—
|
|
|
—
|
%
|
|
—
|
|
|
—
|
%
|
||
|
$
|
146,354
|
|
|
100.0
|
%
|
|
$
|
197,156
|
|
|
100.0
|
%
|
(1)
|
Includes all retroactive exposure in reinsurance contracts.
|
|
2017
|
|
2016
|
||||||||||
|
($ in thousands)
|
||||||||||||
Largest broker
|
$
|
67,689
|
|
|
46.3
|
%
|
|
$
|
128,171
|
|
|
65.0
|
%
|
Second largest broker
|
24,149
|
|
|
16.5
|
%
|
|
31,665
|
|
|
16.1
|
%
|
||
Third largest broker
|
16,029
|
|
|
11.0
|
%
|
|
21,746
|
|
|
11.0
|
%
|
||
Other
|
38,487
|
|
|
26.2
|
%
|
|
15,574
|
|
|
7.9
|
%
|
||
|
$
|
146,354
|
|
|
100.0
|
%
|
|
$
|
197,156
|
|
|
100.0
|
%
|
|
2017
|
|
2016
|
||||||||||
|
($ in thousands)
|
||||||||||||
United States
|
$
|
42,430
|
|
|
29.0
|
%
|
|
$
|
43,291
|
|
|
22.0
|
%
|
Bermuda
|
54,075
|
|
|
36.9
|
%
|
|
—
|
|
|
—
|
%
|
||
United Kingdom
|
49,849
|
|
|
34.1
|
%
|
|
153,865
|
|
|
78.0
|
%
|
||
|
$
|
146,354
|
|
|
100.0
|
%
|
|
$
|
197,156
|
|
|
100.0
|
%
|
CONDENSED CONSOLIDATING BALANCE SHEET
|
|||||||||||||||||||
As of March 31, 2017
|
|||||||||||||||||||
(expressed in thousands of U.S. dollars)
|
|||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
||||||||||
|
Third Point Reinsurance Ltd.
|
|
TPRUSA
|
|
Non-Guarantor Subsidiaries
|
|
Eliminations
|
|
Consolidated
|
||||||||||
Assets
|
|
|
|
|
|
|
|
|
|
||||||||||
Equity securities
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
1,484,378
|
|
|
$
|
—
|
|
|
$
|
1,484,378
|
|
Debt securities
|
—
|
|
|
—
|
|
|
921,221
|
|
|
—
|
|
|
921,221
|
|
|||||
Other investments
|
—
|
|
|
—
|
|
|
72,020
|
|
|
—
|
|
|
72,020
|
|
|||||
Total investments in securities
|
—
|
|
|
—
|
|
|
2,477,619
|
|
|
—
|
|
|
2,477,619
|
|
|||||
Cash and cash equivalents
|
60
|
|
|
80
|
|
|
11,689
|
|
|
—
|
|
|
11,829
|
|
|||||
Restricted cash and cash equivalents
|
—
|
|
|
—
|
|
|
334,813
|
|
|
—
|
|
|
334,813
|
|
|||||
Investment in subsidiaries
|
1,520,278
|
|
|
270,455
|
|
|
165,473
|
|
|
(1,956,206
|
)
|
|
—
|
|
|||||
Due from brokers
|
—
|
|
|
—
|
|
|
387,102
|
|
|
—
|
|
|
387,102
|
|
|||||
Derivative assets, at fair value
|
—
|
|
|
—
|
|
|
34,122
|
|
|
—
|
|
|
34,122
|
|
|||||
Interest and dividends receivable
|
—
|
|
|
—
|
|
|
8,003
|
|
|
—
|
|
|
8,003
|
|
|||||
Reinsurance balances receivable
|
—
|
|
|
—
|
|
|
421,034
|
|
|
—
|
|
|
421,034
|
|
|||||
Deferred acquisition costs, net
|
—
|
|
|
—
|
|
|
220,754
|
|
|
—
|
|
|
220,754
|
|
|||||
Amounts due from (to) affiliates
|
(17,919
|
)
|
|
(4,128
|
)
|
|
22,047
|
|
|
—
|
|
|
—
|
|
|||||
Other assets
|
493
|
|
|
6,220
|
|
|
7,366
|
|
|
—
|
|
|
14,079
|
|
|||||
Total assets
|
$
|
1,502,912
|
|
|
$
|
272,627
|
|
|
$
|
4,090,022
|
|
|
$
|
(1,956,206
|
)
|
|
$
|
3,909,355
|
|
Liabilities and shareholders’ equity
|
|
|
|
|
|
|
|
|
|
||||||||||
Liabilities
|
|
|
|
|
|
|
|
|
|
||||||||||
Accounts payable and accrued expenses
|
$
|
1,231
|
|
|
$
|
40
|
|
|
$
|
10,238
|
|
|
$
|
—
|
|
|
$
|
11,509
|
|
Reinsurance balances payable
|
—
|
|
|
—
|
|
|
51,173
|
|
|
—
|
|
|
51,173
|
|
|||||
Deposit liabilities
|
—
|
|
|
—
|
|
|
105,778
|
|
|
—
|
|
|
105,778
|
|
|||||
Unearned premium reserves
|
—
|
|
|
—
|
|
|
565,243
|
|
|
—
|
|
|
565,243
|
|
|||||
Loss and loss adjustment expense reserves
|
—
|
|
|
—
|
|
|
625,786
|
|
|
—
|
|
|
625,786
|
|
|||||
Securities sold, not yet purchased, at fair value
|
—
|
|
|
—
|
|
|
217,836
|
|
|
—
|
|
|
217,836
|
|
|||||
Securities sold under an agreement to repurchase
|
—
|
|
|
—
|
|
|
16,524
|
|
|
—
|
|
|
16,524
|
|
|||||
Due to brokers
|
—
|
|
|
—
|
|
|
639,320
|
|
|
—
|
|
|
639,320
|
|
|||||
Derivative liabilities, at fair value
|
—
|
|
|
—
|
|
|
10,839
|
|
|
—
|
|
|
10,839
|
|
|||||
Performance fee payable to related party
|
—
|
|
|
—
|
|
|
30,857
|
|
|
—
|
|
|
30,857
|
|
|||||
Interest and dividends payable
|
—
|
|
|
1,015
|
|
|
1,346
|
|
|
—
|
|
|
2,361
|
|
|||||
Senior notes payable, net of deferred costs
|
—
|
|
|
113,599
|
|
|
—
|
|
|
—
|
|
|
113,599
|
|
|||||
Total liabilities
|
1,231
|
|
|
114,654
|
|
|
2,274,940
|
|
|
—
|
|
|
2,390,825
|
|
|||||
Shareholders’ equity
|
|
|
|
|
|
|
|
|
|
||||||||||
Common shares
|
10,718
|
|
|
—
|
|
|
1,250
|
|
|
(1,250
|
)
|
|
10,718
|
|
|||||
Treasury shares
|
(26,273
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(26,273
|
)
|
|||||
Additional paid-in capital
|
1,096,828
|
|
|
165,600
|
|
|
1,530,801
|
|
|
(1,696,401
|
)
|
|
1,096,828
|
|
|||||
Retained earnings (deficit)
|
420,408
|
|
|
(7,627
|
)
|
|
266,182
|
|
|
(258,555
|
)
|
|
420,408
|
|
|||||
Shareholders’ equity attributable to shareholders
|
1,501,681
|
|
|
157,973
|
|
|
1,798,233
|
|
|
(1,956,206
|
)
|
|
1,501,681
|
|
|||||
Non-controlling interests
|
—
|
|
|
—
|
|
|
16,849
|
|
|
—
|
|
|
16,849
|
|
|||||
Total shareholders’ equity
|
1,501,681
|
|
|
157,973
|
|
|
1,815,082
|
|
|
(1,956,206
|
)
|
|
1,518,530
|
|
|||||
Total liabilities and shareholders’ equity
|
$
|
1,502,912
|
|
|
$
|
272,627
|
|
|
$
|
4,090,022
|
|
|
$
|
(1,956,206
|
)
|
|
$
|
3,909,355
|
|
CONDENSED CONSOLIDATING BALANCE SHEET
|
|||||||||||||||||||
As of December 31, 2016
|
|||||||||||||||||||
(expressed in thousands of U.S. dollars)
|
|||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
||||||||||
|
Third Point Reinsurance Ltd.
|
|
TPRUSA
|
|
Non-Guarantor Subsidiaries
|
|
Eliminations
|
|
Consolidated
|
||||||||||
Assets
|
|
|
|
|
|
|
|
|
|
||||||||||
Equity securities
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
1,506,854
|
|
|
$
|
—
|
|
|
$
|
1,506,854
|
|
Debt securities
|
—
|
|
|
—
|
|
|
1,057,957
|
|
|
—
|
|
|
1,057,957
|
|
|||||
Other investments
|
—
|
|
|
—
|
|
|
82,701
|
|
|
—
|
|
|
82,701
|
|
|||||
Total investments in securities
|
—
|
|
|
—
|
|
|
2,647,512
|
|
|
—
|
|
|
2,647,512
|
|
|||||
Cash and cash equivalents
|
1,629
|
|
|
79
|
|
|
8,243
|
|
|
—
|
|
|
9,951
|
|
|||||
Restricted cash and cash equivalents
|
—
|
|
|
—
|
|
|
298,940
|
|
|
—
|
|
|
298,940
|
|
|||||
Investment in subsidiaries
|
1,413,078
|
|
|
269,622
|
|
|
165,324
|
|
|
(1,848,024
|
)
|
|
—
|
|
|||||
Due from brokers
|
—
|
|
|
—
|
|
|
284,591
|
|
|
—
|
|
|
284,591
|
|
|||||
Derivative assets, at fair value
|
—
|
|
|
—
|
|
|
27,432
|
|
|
—
|
|
|
27,432
|
|
|||||
Interest and dividends receivable
|
—
|
|
|
—
|
|
|
6,505
|
|
|
—
|
|
|
6,505
|
|
|||||
Reinsurance balances receivable
|
—
|
|
|
—
|
|
|
381,951
|
|
|
—
|
|
|
381,951
|
|
|||||
Deferred acquisition costs, net
|
—
|
|
|
—
|
|
|
221,618
|
|
|
—
|
|
|
221,618
|
|
|||||
Amounts due from (to) affiliates
|
(142
|
)
|
|
(8,394
|
)
|
|
8,536
|
|
|
—
|
|
|
—
|
|
|||||
Other assets
|
637
|
|
|
5,507
|
|
|
11,000
|
|
|
—
|
|
|
17,144
|
|
|||||
Total assets
|
$
|
1,415,202
|
|
|
$
|
266,814
|
|
|
$
|
4,061,652
|
|
|
$
|
(1,848,024
|
)
|
|
$
|
3,895,644
|
|
Liabilities and shareholders’ equity
|
|
|
|
|
|
|
|
|
|
||||||||||
Liabilities
|
|
|
|
|
|
|
|
|
|
||||||||||
Accounts payable and accrued expenses
|
$
|
1,151
|
|
|
$
|
40
|
|
|
$
|
9,130
|
|
|
$
|
—
|
|
|
$
|
10,321
|
|
Reinsurance balances payable
|
—
|
|
|
—
|
|
|
43,171
|
|
|
—
|
|
|
43,171
|
|
|||||
Deposit liabilities
|
—
|
|
|
—
|
|
|
104,905
|
|
|
—
|
|
|
104,905
|
|
|||||
Unearned premium reserves
|
—
|
|
|
—
|
|
|
557,076
|
|
|
—
|
|
|
557,076
|
|
|||||
Loss and loss adjustment expense reserves
|
—
|
|
|
—
|
|
|
605,129
|
|
|
—
|
|
|
605,129
|
|
|||||
Securities sold, not yet purchased, at fair value
|
—
|
|
|
—
|
|
|
92,668
|
|
|
—
|
|
|
92,668
|
|
|||||
Due to brokers
|
—
|
|
|
—
|
|
|
899,601
|
|
|
—
|
|
|
899,601
|
|
|||||
Derivative liabilities, at fair value
|
—
|
|
|
—
|
|
|
16,050
|
|
|
—
|
|
|
16,050
|
|
|||||
Interest and dividends payable
|
—
|
|
|
3,057
|
|
|
386
|
|
|
—
|
|
|
3,443
|
|
|||||
Senior notes payable, net of deferred costs
|
—
|
|
|
113,555
|
|
|
—
|
|
|
—
|
|
|
113,555
|
|
|||||
Total liabilities
|
1,151
|
|
|
116,652
|
|
|
2,328,116
|
|
|
—
|
|
|
2,445,919
|
|
|||||
Shareholders’ equity
|
|
|
|
|
|
|
|
|
|
||||||||||
Common shares
|
10,650
|
|
|
—
|
|
|
1,250
|
|
|
(1,250
|
)
|
|
10,650
|
|
|||||
Treasury shares
|
(7,389
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(7,389
|
)
|
|||||
Additional paid-in capital
|
1,094,568
|
|
|
165,456
|
|
|
1,528,827
|
|
|
(1,694,283
|
)
|
|
1,094,568
|
|
|||||
Retained earnings (deficit)
|
316,222
|
|
|
(15,294
|
)
|
|
167,785
|
|
|
(152,491
|
)
|
|
316,222
|
|
|||||
Shareholders’ equity attributable to shareholders
|
1,414,051
|
|
|
150,162
|
|
|
1,697,862
|
|
|
(1,848,024
|
)
|
|
1,414,051
|
|
|||||
Non-controlling interests
|
—
|
|
|
—
|
|
|
35,674
|
|
|
—
|
|
|
35,674
|
|
|||||
Total shareholders’ equity
|
1,414,051
|
|
|
150,162
|
|
|
1,733,536
|
|
|
(1,848,024
|
)
|
|
1,449,725
|
|
|||||
Total liabilities and shareholders’ equity
|
$
|
1,415,202
|
|
|
$
|
266,814
|
|
|
$
|
4,061,652
|
|
|
$
|
(1,848,024
|
)
|
|
$
|
3,895,644
|
|
CONDENSED CONSOLIDATING STATEMENT OF INCOME
|
|||||||||||||||||||
Three months ended March 31, 2017
|
|||||||||||||||||||
(expressed in thousands of U.S. dollars)
|
|||||||||||||||||||
|
Third Point Reinsurance Ltd.
|
|
TPRUSA
|
|
Non-Guarantor Subsidiaries
|
|
Eliminations
|
|
Consolidated
|
||||||||||
Revenues
|
|
|
|
|
|
|
|
|
|
||||||||||
Gross premiums written
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
146,354
|
|
|
$
|
—
|
|
|
$
|
146,354
|
|
Gross premiums ceded
|
—
|
|
|
—
|
|
|
(1,125
|
)
|
|
—
|
|
|
(1,125
|
)
|
|||||
Net premiums written
|
—
|
|
|
—
|
|
|
145,229
|
|
|
—
|
|
|
145,229
|
|
|||||
Change in net unearned premium reserves
|
—
|
|
|
—
|
|
|
(7,220
|
)
|
|
—
|
|
|
(7,220
|
)
|
|||||
Net premiums earned
|
—
|
|
|
—
|
|
|
138,009
|
|
|
—
|
|
|
138,009
|
|
|||||
Net investment inco
me
|
—
|
|
|
—
|
|
|
128,510
|
|
|
—
|
|
|
128,510
|
|
|||||
Equity in earnings of subsidiaries
|
105,370
|
|
|
8,989
|
|
|
5
|
|
|
(114,364
|
)
|
|
—
|
|
|||||
Total revenues
|
105,370
|
|
|
8,989
|
|
|
266,524
|
|
|
(114,364
|
)
|
|
266,519
|
|
|||||
Expenses
|
|
|
|
|
|
|
|
|
|
||||||||||
Loss and loss adjustment expenses incurred, net
|
—
|
|
|
—
|
|
|
85,895
|
|
|
—
|
|
|
85,895
|
|
|||||
Acquisition costs, net
|
—
|
|
|
—
|
|
|
54,452
|
|
|
—
|
|
|
54,452
|
|
|||||
General and administrative expenses
|
1,184
|
|
|
8
|
|
|
9,380
|
|
|
—
|
|
|
10,572
|
|
|||||
Other expenses
|
—
|
|
|
—
|
|
|
2,901
|
|
|
—
|
|
|
2,901
|
|
|||||
Interest expense
|
—
|
|
|
2,026
|
|
|
—
|
|
|
—
|
|
|
2,026
|
|
|||||
Foreign exchange losse
s
|
—
|
|
|
—
|
|
|
15
|
|
|
—
|
|
|
15
|
|
|||||
Total expenses
|
1,184
|
|
|
2,034
|
|
|
152,643
|
|
|
—
|
|
|
155,861
|
|
|||||
Income before income tax expense
|
104,186
|
|
|
6,955
|
|
|
113,881
|
|
|
(114,364
|
)
|
|
110,658
|
|
|||||
Income tax (expens
e) benefit
|
—
|
|
|
712
|
|
|
(6,010
|
)
|
|
—
|
|
|
(5,298
|
)
|
|||||
Income including non-controlling interests
|
104,186
|
|
|
7,667
|
|
|
107,871
|
|
|
(114,364
|
)
|
|
105,360
|
|
|||||
Income attributable to non-controlling interests
|
—
|
|
|
—
|
|
|
(1,174
|
)
|
|
—
|
|
|
(1,174
|
)
|
|||||
Net income
|
$
|
104,186
|
|
|
$
|
7,667
|
|
|
$
|
106,697
|
|
|
$
|
(114,364
|
)
|
|
$
|
104,186
|
|
CONDENSED CONSOLIDATING STATEMENT OF LOSS
|
|||||||||||||||||||
Three months ended March 31, 2016
|
|||||||||||||||||||
(expressed in thousands of U.S. dollars)
|
|||||||||||||||||||
|
Third Point Reinsurance Ltd.
|
|
TPRUSA
|
|
Non-Guarantor Subsidiaries
|
|
Eliminations
|
|
Consolidated
|
||||||||||
Revenues
|
|
|
|
|
|
|
|
|
|
||||||||||
Gross premiums written
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
197,156
|
|
|
$
|
—
|
|
|
$
|
197,156
|
|
Gross premiums ceded
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
Net premiums written
|
—
|
|
|
—
|
|
|
197,156
|
|
|
—
|
|
|
197,156
|
|
|||||
Change in net unearned premium reserves
|
—
|
|
|
—
|
|
|
(60,354
|
)
|
|
—
|
|
|
(60,354
|
)
|
|||||
Net premiums earned
|
—
|
|
|
—
|
|
|
136,802
|
|
|
—
|
|
|
136,802
|
|
|||||
Net investment income (loss)
|
—
|
|
|
—
|
|
|
(40,110
|
)
|
|
—
|
|
|
(40,110
|
)
|
|||||
Equity in losses of subsidiaries
|
(50,154
|
)
|
|
(4,452
|
)
|
|
(31
|
)
|
|
54,637
|
|
|
—
|
|
|||||
Total revenues
|
(50,154
|
)
|
|
(4,452
|
)
|
|
96,661
|
|
|
54,637
|
|
|
96,692
|
|
|||||
Expenses
|
|
|
|
|
|
|
|
|
|
||||||||||
Loss and loss adjustment expenses incurred, net
|
—
|
|
|
—
|
|
|
84,676
|
|
|
—
|
|
|
84,676
|
|
|||||
Acquisition costs, net
|
—
|
|
|
—
|
|
|
51,687
|
|
|
—
|
|
|
51,687
|
|
|||||
General and administrative expenses
|
975
|
|
|
2
|
|
|
10,311
|
|
|
—
|
|
|
11,288
|
|
|||||
Other expenses
|
—
|
|
|
—
|
|
|
2,706
|
|
|
—
|
|
|
2,706
|
|
|||||
Interest expense
|
—
|
|
|
2,048
|
|
|
—
|
|
|
—
|
|
|
2,048
|
|
|||||
Foreign exchange gains
|
—
|
|
|
—
|
|
|
(2,386
|
)
|
|
—
|
|
|
(2,386
|
)
|
|||||
Total expenses
|
975
|
|
|
2,050
|
|
|
146,994
|
|
|
—
|
|
|
150,019
|
|
|||||
Loss before income tax benefit
|
(51,129
|
)
|
|
(6,502
|
)
|
|
(50,333
|
)
|
|
54,637
|
|
|
(53,327
|
)
|
|||||
Income tax benefit
|
—
|
|
|
718
|
|
|
1,211
|
|
|
—
|
|
|
1,929
|
|
|||||
Loss including non-controlling interests
|
(51,129
|
)
|
|
(5,784
|
)
|
|
(49,122
|
)
|
|
54,637
|
|
|
(51,398
|
)
|
|||||
Loss attributable to non-controlling interests
|
—
|
|
|
—
|
|
|
269
|
|
|
—
|
|
|
269
|
|
|||||
Net loss
|
$
|
(51,129
|
)
|
|
$
|
(5,784
|
)
|
|
$
|
(48,853
|
)
|
|
$
|
54,637
|
|
|
$
|
(51,129
|
)
|
CONDENSED CONSOLIDATING STATEMENT OF CASH FLOWS
|
|||||||||||||||||||
Three months ended March 31, 2017
|
|||||||||||||||||||
(expressed in thousands of U.S. dollars)
|
|||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
||||||||||
|
Third Point Reinsurance Ltd.
|
|
TPRUSA
|
|
Non-Guarantor Subsidiaries
|
|
Eliminations
|
|
Consolidated
|
||||||||||
Operating activities
|
|
|
|
|
|
|
|
|
|
||||||||||
Income including non-controlling interes
ts
|
$
|
104,186
|
|
|
$
|
7,667
|
|
|
$
|
107,871
|
|
|
$
|
(114,364
|
)
|
|
$
|
105,360
|
|
Adjustments to reconcile income (loss) including non-controlling interests to net cash provided by (used in) operating activities
:
|
|
|
|
|
|
|
|
|
|
||||||||||
Equity in (earnings) losses of subsidiaries
|
(105,370
|
)
|
|
(8,989
|
)
|
|
(5
|
)
|
|
114,364
|
|
|
—
|
|
|||||
Share compensation expense
|
—
|
|
|
—
|
|
|
1,830
|
|
|
—
|
|
|
1,830
|
|
|||||
Net interest expense on deposit liabilities
|
—
|
|
|
—
|
|
|
409
|
|
|
—
|
|
|
409
|
|
|||||
Net unrealized gain on investments and derivatives
|
—
|
|
|
—
|
|
|
(95,703
|
)
|
|
—
|
|
|
(95,703
|
)
|
|||||
Net realized gain on investments and derivatives
|
—
|
|
|
—
|
|
|
(61,028
|
)
|
|
—
|
|
|
(61,028
|
)
|
|||||
Net foreign exchange losses
|
—
|
|
|
—
|
|
|
15
|
|
|
—
|
|
|
15
|
|
|||||
Amortization of premium and accretion of discount, net
|
—
|
|
|
44
|
|
|
(709
|
)
|
|
—
|
|
|
(665
|
)
|
|||||
Changes in assets and liabilities:
|
|
|
|
|
|
|
|
|
|
||||||||||
Reinsurance balances receivable
|
—
|
|
|
—
|
|
|
(37,281
|
)
|
|
—
|
|
|
(37,281
|
)
|
|||||
Deferred acquisition costs, net
|
—
|
|
|
—
|
|
|
864
|
|
|
—
|
|
|
864
|
|
|||||
Other assets
|
144
|
|
|
(713
|
)
|
|
3,644
|
|
|
—
|
|
|
3,075
|
|
|||||
Interest and dividends receivable, net
|
—
|
|
|
(2,042
|
)
|
|
(538
|
)
|
|
—
|
|
|
(2,580
|
)
|
|||||
Unearned premium reserves
|
—
|
|
|
—
|
|
|
8,167
|
|
|
—
|
|
|
8,167
|
|
|||||
Loss and loss adjustment expense reserves
|
—
|
|
|
—
|
|
|
18,798
|
|
|
—
|
|
|
18,798
|
|
|||||
Accounts payable and accrued expenses
|
80
|
|
|
—
|
|
|
1,099
|
|
|
—
|
|
|
1,179
|
|
|||||
Reinsurance balances payable
|
—
|
|
|
—
|
|
|
8,051
|
|
|
—
|
|
|
8,051
|
|
|||||
Performance fees payable to related party
|
—
|
|
|
—
|
|
|
30,857
|
|
|
—
|
|
|
30,857
|
|
|||||
Amounts due from (to) affiliates
|
17,777
|
|
|
(4,266
|
)
|
|
(13,511
|
)
|
|
—
|
|
|
—
|
|
|||||
Net cash provided by (used in) operating activities
|
16,817
|
|
|
(8,299
|
)
|
|
(27,170
|
)
|
|
—
|
|
|
(18,652
|
)
|
|||||
Investing activities
|
|
|
|
|
|
|
|
|
|
||||||||||
Purchases of investments
|
—
|
|
|
—
|
|
|
(613,020
|
)
|
|
—
|
|
|
(613,020
|
)
|
|||||
Proceeds from sales of investments
|
—
|
|
|
—
|
|
|
940,797
|
|
|
—
|
|
|
940,797
|
|
|||||
Purchases of investments to cover short sales
|
—
|
|
|
—
|
|
|
(120,014
|
)
|
|
—
|
|
|
(120,014
|
)
|
|||||
Proceeds from short sales of investments
|
—
|
|
|
—
|
|
|
232,856
|
|
|
—
|
|
|
232,856
|
|
|||||
Change in due to/from brokers, net
|
—
|
|
|
—
|
|
|
(362,792
|
)
|
|
—
|
|
|
(362,792
|
)
|
|||||
Increase in securities sold under an agreement to repurchase
|
—
|
|
|
—
|
|
|
16,524
|
|
|
—
|
|
|
16,524
|
|
|||||
Change in restricted cash and cash equivalents
|
—
|
|
|
—
|
|
|
(35,873
|
)
|
|
—
|
|
|
(35,873
|
)
|
|||||
Net cash provided by (used in) investing activities
|
—
|
|
|
—
|
|
|
58,478
|
|
|
—
|
|
|
58,478
|
|
|||||
Financing activities
|
|
|
|
|
|
|
|
|
|
||||||||||
Proceeds from issuance of common shares, net of costs
|
498
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
498
|
|
|||||
Purchases of common shares under share repurchase program
|
(18,884
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(18,884
|
)
|
|||||
Increase in deposit liabilities, net
|
—
|
|
|
—
|
|
|
437
|
|
|
—
|
|
|
437
|
|
|||||
Non-controlling interest in investment affiliate, net
|
—
|
|
|
—
|
|
|
(19,999
|
)
|
|
—
|
|
|
(19,999
|
)
|
|||||
Dividend received by (paid to) parent
|
—
|
|
|
8,300
|
|
|
(8,300
|
)
|
|
—
|
|
|
—
|
|
|||||
Net cash provided by (used in) financing activities
|
(18,386
|
)
|
|
8,300
|
|
|
(27,862
|
)
|
|
—
|
|
|
(37,948
|
)
|
|||||
Net increase (decrease) in cash and cash equivalents
|
(1,569
|
)
|
|
1
|
|
|
3,446
|
|
|
—
|
|
|
1,878
|
|
|||||
Cash and cash equivalents at beginning of period
|
1,629
|
|
|
79
|
|
|
8,243
|
|
|
—
|
|
|
9,951
|
|
|||||
Cash and cash equivalents at end of period
|
$
|
60
|
|
|
$
|
80
|
|
|
$
|
11,689
|
|
|
$
|
—
|
|
|
$
|
11,829
|
|
CONDENSED CONSOLIDATING STATEMENT OF CASH FLOWS
|
|||||||||||||||||||
Three months ended March 31, 2016
|
|||||||||||||||||||
(expressed in thousands of U.S. dollars)
|
|||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
||||||||||
|
Third Point Reinsurance Ltd.
|
|
TPRUSA
|
|
Non-Guarantor Subsidiaries
|
|
Eliminations
|
|
Consolidated
|
||||||||||
Operating activities
|
|
|
|
|
|
|
|
|
|
||||||||||
Loss including non-controlling interests
|
$
|
(51,129
|
)
|
|
$
|
(5,784
|
)
|
|
$
|
(49,122
|
)
|
|
$
|
54,637
|
|
|
$
|
(51,398
|
)
|
Adjustments to reconcile income (loss) including non-controlling interests to net cash provided by (used in) operating activities
|
|
|
|
|
|
|
|
|
|
||||||||||
Equity in losses of subsidiaries
|
50,154
|
|
|
4,452
|
|
|
31
|
|
|
(54,637
|
)
|
|
—
|
|
|||||
Share compensation expense
|
—
|
|
|
—
|
|
|
2,651
|
|
|
—
|
|
|
2,651
|
|
|||||
Interest expense on deposit liabilities
|
—
|
|
|
—
|
|
|
471
|
|
|
—
|
|
|
471
|
|
|||||
Net unrealized loss on investments and derivatives
|
—
|
|
|
—
|
|
|
55,627
|
|
|
—
|
|
|
55,627
|
|
|||||
Net realized gain on investments and derivatives
|
—
|
|
|
—
|
|
|
(24,510
|
)
|
|
—
|
|
|
(24,510
|
)
|
|||||
Foreign exchange gains included in net income
|
—
|
|
|
—
|
|
|
(2,386
|
)
|
|
—
|
|
|
(2,386
|
)
|
|||||
Amortization of premium and accretion of discount, net
|
—
|
|
|
44
|
|
|
2,498
|
|
|
—
|
|
|
2,542
|
|
|||||
Changes in assets and liabilities:
|
|
|
|
|
|
|
|
|
|
||||||||||
Reinsurance balances receivable
|
—
|
|
|
—
|
|
|
(31,603
|
)
|
|
—
|
|
|
(31,603
|
)
|
|||||
Deferred acquisition costs, net
|
—
|
|
|
—
|
|
|
(19,596
|
)
|
|
—
|
|
|
(19,596
|
)
|
|||||
Other assets
|
142
|
|
|
(718
|
)
|
|
(3,877
|
)
|
|
—
|
|
|
(4,453
|
)
|
|||||
Interest and dividends receivable, net
|
—
|
|
|
(2,021
|
)
|
|
(3,387
|
)
|
|
—
|
|
|
(5,408
|
)
|
|||||
Unearned premium reserves
|
—
|
|
|
—
|
|
|
60,260
|
|
|
—
|
|
|
60,260
|
|
|||||
Loss and loss adjustment expense reserves
|
—
|
|
|
—
|
|
|
26,136
|
|
|
—
|
|
|
26,136
|
|
|||||
Accounts payable and accrued expenses
|
(350
|
)
|
|
—
|
|
|
(2,047
|
)
|
|
—
|
|
|
(2,397
|
)
|
|||||
Reinsurance balances payable
|
—
|
|
|
—
|
|
|
6,892
|
|
|
—
|
|
|
6,892
|
|
|||||
Amounts due from (to) affiliates
|
914
|
|
|
4,025
|
|
|
(4,939
|
)
|
|
—
|
|
|
—
|
|
|||||
Net cash provided by (used in) operating activities
|
(269
|
)
|
|
(2
|
)
|
|
13,099
|
|
|
—
|
|
|
12,828
|
|
|||||
Investing activities
|
|
|
|
|
|
|
|
|
|
||||||||||
Purchases of investments
|
—
|
|
|
—
|
|
|
(1,189,432
|
)
|
|
—
|
|
|
(1,189,432
|
)
|
|||||
Proceeds from sales of investments
|
—
|
|
|
—
|
|
|
771,687
|
|
|
—
|
|
|
771,687
|
|
|||||
Purchases of investments to cover short sales
|
—
|
|
|
—
|
|
|
(459,901
|
)
|
|
—
|
|
|
(459,901
|
)
|
|||||
Proceeds from short sales of investments
|
—
|
|
|
—
|
|
|
386,054
|
|
|
—
|
|
|
386,054
|
|
|||||
Change in due to/from brokers, net
|
—
|
|
|
—
|
|
|
288,507
|
|
|
—
|
|
|
288,507
|
|
|||||
Increase in securities sold under an agreement to repurchase
|
—
|
|
|
—
|
|
|
161,361
|
|
|
—
|
|
|
161,361
|
|
|||||
Change in restricted cash and cash equivalents
|
—
|
|
|
—
|
|
|
13,992
|
|
|
—
|
|
|
13,992
|
|
|||||
Contributed capital to subsidiaries
|
(5,000
|
)
|
|
(5,000
|
)
|
|
—
|
|
|
10,000
|
|
|
—
|
|
|||||
Contributed capital from parent and/or subsidiaries
|
—
|
|
|
5,000
|
|
|
5,000
|
|
|
(10,000
|
)
|
|
—
|
|
|||||
Net cash provided by (used in) investing activities
|
(5,000
|
)
|
|
—
|
|
|
(22,732
|
)
|
|
—
|
|
|
(27,732
|
)
|
|||||
Financing activities
|
|
|
|
|
|
|
|
|
|
||||||||||
Increase in deposit liabilities
|
—
|
|
|
—
|
|
|
2,155
|
|
|
—
|
|
|
2,155
|
|
|||||
Dividend received by (paid to) parent
|
5,000
|
|
|
—
|
|
|
(5,000
|
)
|
|
—
|
|
|
—
|
|
|||||
Net cash provided by (used in) financing activities
|
5,000
|
|
|
—
|
|
|
(2,845
|
)
|
|
—
|
|
|
2,155
|
|
|||||
Net increase in cash and cash equivalents
|
(269
|
)
|
|
(2
|
)
|
|
(12,478
|
)
|
|
—
|
|
|
(12,749
|
)
|
|||||
Cash and cash equivalents at beginning of period
|
308
|
|
|
5
|
|
|
20,094
|
|
|
—
|
|
|
20,407
|
|
|||||
Cash and cash equivalents at end of period
|
$
|
39
|
|
|
$
|
3
|
|
|
$
|
7,616
|
|
|
$
|
—
|
|
|
$
|
7,658
|
|
•
|
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;
|
•
|
dependence on financing available through our investment accounts to secure letters of credit and collateral for reinsurance contracts;
|
•
|
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 Re 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. and/or Third Point Re 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.
|
|
2017
|
|
2016
|
||||
Key underwriting metrics for Property and Casualty Reinsurance segment:
|
($ in thousands, except for per share data and ratios)
|
||||||
Net underwriting income (loss) (1)
|
$
|
(8,650
|
)
|
|
$
|
(6,623
|
)
|
Combined ratio (1)
|
106.3
|
%
|
|
104.9
|
%
|
||
Key investment return metrics:
|
|
|
|
||||
Net investment income (loss)
|
$
|
128,510
|
|
|
$
|
(40,110
|
)
|
Net investment return on investments managed by Third Point LLC
|
5.8
|
%
|
|
(2.0
|
)%
|
||
Key shareholders’ value creation metrics:
|
|
|
|||||
Book value per share (2) (3)
|
$
|
14.57
|
|
|
$
|
13.57
|
|
Diluted book value per share (2) (3)
|
$
|
14.04
|
|
|
$
|
13.16
|
|
Change in diluted book value per share (2)
|
6.7
|
%
|
|
(3.7
|
)%
|
||
Return on beginning shareholders’ equity (2)
|
7.4
|
%
|
|
(3.7
|
)%
|
(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, change in diluted book value per share and return on beginning shareholders’ equity are non-GAAP financial measures. There are no comparable GAAP measures. See reconciliations below.
|
(3)
|
Prior year comparatives represent amounts as of December 31,
2016
.
|
|
2017
|
|
2016
|
||||
|
($ in thousands)
|
||||||
Net investment income (loss) on float
|
$
|
36,120
|
|
|
(8,261
|
)
|
|
Net investment income (loss) on capital
|
92,123
|
|
|
(32,096
|
)
|
||
Net investment income (loss) on investments managed by Third Point LLC
|
128,243
|
|
|
(40,357
|
)
|
||
Net gain on investment in Kiskadee Fund
|
267
|
|
|
247
|
|
||
Net investment income (loss)
|
$
|
128,510
|
|
|
$
|
(40,110
|
)
|
|
March 31,
2017 |
|
December 31,
2016 |
||||
Basic and diluted book value per share numerator:
|
($ in thousands, except share and per share amounts)
|
||||||
Total shareholders' equity
|
$
|
1,518,530
|
|
|
$
|
1,449,725
|
|
Less: non-controlling interests
|
(16,849
|
)
|
|
(35,674
|
)
|
||
Shareholders' equity attributable to shareholders
|
1,501,681
|
|
|
1,414,051
|
|
||
Effect of dilutive warrants issued to founders and an advisor
|
46,512
|
|
|
46,512
|
|
||
Effect of dilutive stock options issued to directors and employees
|
52,430
|
|
|
52,930
|
|
||
Diluted book value per share numerator:
|
$
|
1,600,623
|
|
|
$
|
1,513,493
|
|
Basic and diluted book value per share denominator:
|
|
||||||
Issued and outstanding shares, net of treasury shares
|
103,050,620
|
|
|
104,173,748
|
|
||
Effect of dilutive warrants issued to founders and an advisor
|
4,651,163
|
|
|
4,651,163
|
|
||
Effect of dilutive stock options issued to directors and employees
|
5,224,333
|
|
|
5,274,333
|
|
||
Effect of dilutive restricted shares issued to directors and employees (1)
|
1,103,140
|
|
|
878,529
|
|
||
Diluted book value per share denominator:
|
114,029,256
|
|
|
114,977,773
|
|
||
|
|
|
|
||||
Basic book value per share
|
$
|
14.57
|
|
|
$
|
13.57
|
|
Diluted book value per share
|
$
|
14.04
|
|
|
$
|
13.16
|
|
(1)
|
As of
March 31, 2017
, the effect of dilutive restricted shares issued to directors and employees was comprised of
77,918
restricted shares with a service condition only and
1,025,222
restricted shares with a service and performance condition that were considered probable of vesting.
|
|
2017
|
|
2016
|
||||
|
($ in thousands)
|
||||||
Net income (loss)
|
$
|
104,186
|
|
|
$
|
(51,129
|
)
|
Shareholders’ equity attributable to shareholders - beginning of period
|
1,414,051
|
|
|
1,379,726
|
|
||
Impact of weighting related to shareholders’ equity from shares repurchased
|
(5,038
|
)
|
|
—
|
|
||
Adjusted shareholders’ equity attributable to shareholders - beginning of period
|
$
|
1,409,013
|
|
|
$
|
1,379,726
|
|
Return on beginning shareholders’ equity
|
7.4
|
%
|
|
(3.7
|
)%
|
•
|
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;
|
•
|
foreign exchange; and
|
•
|
income taxes.
|
|
2017
|
|
2016
|
|
Change
|
||||||
|
($ in thousands)
|
||||||||||
Net underwriting income (loss) (1)
|
$
|
(8,650
|
)
|
|
$
|
(6,623
|
)
|
|
$
|
(2,027
|
)
|
Net investment income (loss)
|
128,510
|
|
|
(40,110
|
)
|
|
168,620
|
|
|||
Net investment return on investments managed by Third Point LLC
|
5.8
|
%
|
|
(2.0
|
)%
|
|
7.8
|
%
|
|||
Foreign exchange gains (losses)
|
(15
|
)
|
|
2,386
|
|
|
(2,401
|
)
|
|||
Income tax (expense) benefit
|
(5,298
|
)
|
|
1,929
|
|
|
7,227
|
|
|||
Net income (loss)
|
$
|
104,186
|
|
|
$
|
(51,129
|
)
|
|
$
|
155,315
|
|
(1)
|
Property and Casualty Reinsurance segment only.
|
•
|
The increase in net underwriting loss and related combined ratio for the three months ended March 31, 2017 was primarily due to continued deterioration in market conditions. See “Segment Results” below for additional details.
|
•
|
The change in foreign exchange gains (losses) was primarily due to the revaluation of foreign currency loss and loss adjustment expense reserves denominated in British pounds where the United States dollar strengthened during the prior year period.
|
•
|
The income tax expense for the
three
months ended
March 31, 2017
was the result of taxable income generated by our U.S. subsidiaries and withholding taxes on certain investment transactions. The income tax benefit for the
three
months ended
March 31, 2016
was primarily the result of the pre-tax loss generated by our U.S. subsidiaries.
|
|
2017
|
|
2016
|
|
Change
|
||||||
|
($ in thousands)
|
||||||||||
Gross premiums written
|
$
|
146,354
|
|
|
$
|
197,156
|
|
|
$
|
(50,802
|
)
|
Net premiums earned
|
138,009
|
|
|
136,802
|
|
|
1,207
|
|
|||
Loss and loss adjustment expenses incurred, net
|
85,895
|
|
|
84,676
|
|
|
1,219
|
|
|||
Acquisition costs, net
|
54,452
|
|
|
51,687
|
|
|
2,765
|
|
|||
General and administrative expenses
|
6,312
|
|
|
7,062
|
|
|
(750
|
)
|
|||
Net underwriting income (loss )
|
(8,650
|
)
|
|
(6,623
|
)
|
|
(2,027
|
)
|
|||
Net investment income (loss) on float
|
36,120
|
|
|
(8,261
|
)
|
|
44,381
|
|
|||
Other expenses
|
2,901
|
|
|
2,706
|
|
|
195
|
|
|||
Segment income (loss)
|
$
|
24,569
|
|
|
$
|
(17,590
|
)
|
|
$
|
42,159
|
|
Underwriting ratios (1):
|
|
|
|
|
|
||||||
Loss ratio
|
62.2
|
%
|
|
61.9
|
%
|
|
0.3
|
%
|
|||
Acquisition cost ratio
|
39.5
|
%
|
|
37.8
|
%
|
|
1.7
|
%
|
|||
Composite ratio
|
101.7
|
%
|
|
99.7
|
%
|
|
2.0
|
%
|
|||
General and administrative expense ratio
|
4.6
|
%
|
|
5.2
|
%
|
|
(0.6
|
)%
|
|||
Combined ratio
|
106.3
|
%
|
|
104.9
|
%
|
|
1.4
|
%
|
(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 and/or cancellation provisions; 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.
|
|
2017
|
|
2016
|
||||||||||
|
($ in thousands)
|
||||||||||||
Property
|
$
|
12
|
|
|
—
|
%
|
|
$
|
(175
|
)
|
|
(0.1
|
)%
|
Casualty
|
87,205
|
|
|
59.6
|
%
|
|
11,377
|
|
|
5.8
|
%
|
||
Specialty
|
59,137
|
|
|
40.4
|
%
|
|
185,954
|
|
|
94.3
|
%
|
||
|
$
|
146,354
|
|
|
100.0
|
%
|
|
$
|
197,156
|
|
|
100.0
|
%
|
•
|
We recognized $94.7 million of premium in the three months ended
March 31, 2016
related to one contract that did not renew in the three months ended
March 31, 2017
as a result of underlying terms and conditions.
|
•
|
Changes in renewal premiums for the three months ended
March 31, 2017
resulted in a net decrease in premiums of $14.5 million primarily due to one cedent increasing its risk retention on renewal and decreases in participations and underlying premium volume on other contracts that renewed in the period.
|
•
|
We recognized a net increase in premium of $80.4 million in the three months ended
March 31, 2017
compared to a net increase of $37.0 million in the three months ended
March 31, 2016
related to the net impact of contract extensions, cancellations and contracts renewed with no comparable premium in the comparable period.
|
•
|
We wrote $14.9 million of new business for the three months ended
March 31, 2017
, all of which was casualty business.
|
•
|
We recorded net increases in premium estimates relating to prior periods of $1.4 million and $1.3 million for the three months ended
March 31, 2017
and
2016
, respectively.
|
|
2017
|
|
2016
|
|
Change
|
||||||
|
($ in thousands)
|
||||||||||
Net investment income (loss) on
capital
|
$
|
92,390
|
|
|
$
|
(31,849
|
)
|
|
$
|
124,239
|
|
General and administrative expenses
|
4,260
|
|
|
4,226
|
|
|
34
|
|
|||
Interest expense
|
2,026
|
|
|
2,048
|
|
|
(22
|
)
|
|||
Foreign exchange gains (losses)
|
(15
|
)
|
|
2,386
|
|
|
(2,401
|
)
|
|||
Income tax (expense) benefit
|
(5,298
|
)
|
|
1,929
|
|
|
(7,227
|
)
|
|||
Segment (income) loss attributable to non-controlling interests
|
(1,174
|
)
|
|
269
|
|
|
(1,443
|
)
|
|||
Segment income (loss)
|
$
|
79,617
|
|
|
$
|
(33,539
|
)
|
|
$
|
113,156
|
|
|
2017
|
|
2016
|
||
Long/short equities
|
5.2
|
%
|
|
(1.1
|
)%
|
Credit
|
0.2
|
%
|
|
—
|
%
|
Other
|
0.4
|
%
|
|
(0.9
|
)%
|
Net investment return on investments managed by Third Point LLC
|
5.8
|
%
|
|
(2.0
|
)%
|
|
|
|
|
||
|
|
|
|
||
S&P 500 Total Return Index
|
6.1
|
%
|
|
1.3
|
%
|
|
2017
|
|
2016
|
||||
|
($ in thousands)
|
||||||
Net cash provided by (used in) operating activities
|
$
|
(18,652
|
)
|
|
$
|
12,828
|
|
Net cash provided by (used in) investing activities
|
58,478
|
|
|
(27,732
|
)
|
||
Net cash provided by (used in) financing activities
|
(37,948
|
)
|
|
2,155
|
|
||
Net increase (decrease) in cash and cash equivalents
|
1,878
|
|
|
(12,749
|
)
|
||
Cash and cash equivalents at beginning of period
|
9,951
|
|
|
20,407
|
|
||
Cash and cash equivalents at end of period
|
$
|
11,829
|
|
|
$
|
7,658
|
|
•
|
equity price risk;
|
•
|
foreign currency risk;
|
•
|
interest rate risk;
|
•
|
commodity price risk;
|
•
|
credit risk;
|
•
|
liquidity risk; and
|
•
|
political risk.
|
|
10% increase in U.S. dollar
|
|
10% decrease in U.S. dollar
|
||||||||||
|
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)
|
||||||||||||
Hong Kong Dollar
|
$
|
49,336
|
|
|
2.12
|
%
|
|
$
|
(49,336
|
)
|
|
(2.12
|
)%
|
Saudi Arabian Riyal
|
11,379
|
|
|
0.49
|
%
|
|
(11,379
|
)
|
|
(0.49
|
)%
|
||
Other
|
(4,713
|
)
|
|
(0.20
|
)%
|
|
4,713
|
|
|
0.20
|
%
|
||
Total
|
$
|
56,002
|
|
|
2.41
|
%
|
|
$
|
(56,002
|
)
|
|
(2.41
|
)%
|
|
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 bonds, U.S. treasuries and sovereign debt instruments
(1)
|
$
|
6,426
|
|
|
0.3
|
%
|
|
$
|
(4,626
|
)
|
|
(0.2
|
)%
|
Asset-backed securities
(2)
|
(7,667
|
)
|
|
(0.3
|
)%
|
|
7,778
|
|
|
0.3
|
%
|
||
Interest rate swaps and derivatives
|
36,010
|
|
|
1.6
|
%
|
|
(36,010
|
)
|
|
(1.6
|
)%
|
||
Net exposure to interest rate risk
|
$
|
34,769
|
|
|
1.6
|
%
|
|
$
|
(32,858
|
)
|
|
(1.5
|
)%
|
(1)
|
Includes interest rate risk associated with investments held in reinsurance trust accounts.
|
(2)
|
Includes instruments for which durations are available on
March 31, 2017
. Includes a convexity adjustment if convexity is available. Not included are mortgage hedges which would reduce the impact of interest rate changes.
|
|
March 31, 2017
|
|
December 31, 2016
|
||||||||||
|
($ in thousands)
|
||||||||||||
Reperforming loans
|
$
|
142,976
|
|
|
60.3
|
%
|
|
$
|
44,359
|
|
|
17.4
|
%
|
Subprime RMBS
|
5,372
|
|
|
2.3
|
%
|
|
117,152
|
|
|
46.0
|
%
|
||
Market place loans
|
57,746
|
|
|
24.4
|
%
|
|
44,143
|
|
|
17.3
|
%
|
||
Other (1)
|
30,918
|
|
|
13.0
|
%
|
|
49,198
|
|
|
19.3
|
%
|
||
|
$
|
237,012
|
|
|
100.0
|
%
|
|
$
|
254,852
|
|
|
100.0
|
%
|
(1)
|
Other includes: U.S. Alt-A positions, collateralized debt obligations, commercial mortgage-backed securities, non-U.S. RMBS and student loans ABS.
|
|
(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 of Shares that May Yet Be Purchased Under the Plans or Programs
(2)
|
||||||
January 1, 2017 - January 31, 2017
|
—
|
|
|
$
|
—
|
|
|
—
|
|
|
$
|
92,611,129
|
|
February 1, 2017 - February 28, 2017
|
115,786
|
|
|
12.36
|
|
|
115,786
|
|
|
91,180,477
|
|
||
March 1, 2017 - March 31, 2017
|
1,417,085
|
|
|
12.32
|
|
|
1,417,085
|
|
|
73,726,864
|
|
||
Total
|
1,532,871
|
|
|
$
|
12.32
|
|
|
1,532,871
|
|
|
$
|
73,726,864
|
|
10.2.4
|
Chairman Agreement between Third Point Reinsurance Ltd. and John R. Berger, entered into on March 17, 2017, effective as of March 1, 2017
|
10.29
|
Amended and Restated Director Compensation Policy dated May 3, 2017
|
10.3.6
|
Employment Agreement between Third Point Reinsurance Ltd. and J. Robert Bredahl, entered into on March 17, 2017, effective as of March 1, 2017
|
10.32.3
|
Amendment No. 3 to Employment Agreement between Third Point Reinsurance Ltd. and Manoj K. Gupta, entered into on March 17, 2017, effective as of March 1, 2017
|
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: May 5, 2017
|
|
|
/s/ J. Robert Bredahl
|
|
J. Robert Bredahl
|
|
President 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.
|
Director Compensation
.
|
2.
|
This policy may be amended, revised or terminated by the Board at any time and from time to time.
|
1.
|
Transition Matters
|
(a)
|
Effect of the Effective Date; Services Following the Effective Date
.
|
i.
|
Effective as of the Effective Date, the undersigned shall continue to serve, subject to the terms and provisions of this Agreement, as Chairman of the Board and Chief Executive Officer of TPREUS. The undersigned’s period of services as Chairman of the Board and Chief Executive Officer of TPREUS following the Effective Date and ending on December 22, 2017 is referred to herein as the “
Initial Period
”, and December 22, 2017 is referred to herein as the “
Initial Period End Date
”.
|
ii.
|
The services of the undersigned under this Agreement during the Initial Period shall be on a full-time and exclusive basis. As Chairman of the Board during the Initial Period, the undersigned shall set and conduct the agenda at Board meetings (in consultation as necessary with the other members of the Board), shall have such other duties as have been discussed with the Board and shall have such additional project-based duties consistent with his status as are assigned to the undersigned from time to time by the Board (collectively, the “
Chairman Duties
”). As Chief Executive Officer of TPREUS during the Initial Period, the undersigned will have such duties and responsibilities as are customarily associated with such position as assigned to him by the board of directors of TPREUS. The duties of the undersigned as described above will replace the executive duties and responsibilities set forth in the Employment Agreement, dated as of December 22, 2011, as amended, to which the undersigned and the Company are parties (the “
Employment Agreement
”).
|
iii.
|
During the Initial Period, the undersigned shall be paid his current base salary and shall continue to participate in the fringe and employee benefit plans and programs of the Company made available to the senior most executives of the Company. During the Initial Period, the undersigned shall also be entitled to receive the perquisites set forth in Section 3(e) of the Employment Agreement and the expense reimbursement set forth in Section 3(f) of the Employment Agreement.
|
(b)
|
Modification of Employment Agreement
. From and after the Effective Date, neither the Company nor the undersigned shall have any further rights or obligations under the Employment Agreement other than those rights and obligations set forth in this Agreement.
|
(c)
|
No Disagreements
. By entering into this Agreement, the undersigned confirms that he has no material disagreement regarding any matter relating to the operations, policies or practices of the Company or any of its affiliates and no knowledge of any failure of the Company or any of its affiliates or any of their employees, officers, directors or shareholders at any time to have complied with any legal or regulatory requirements applicable to any of the foregoing persons or individuals.
|
(d)
|
Treatment of Company Equity Incentives
. From and after the Effective Date, the provisions of the applicable award agreements evidencing the options to purchase common shares of the Company owned by the undersigned (the “
Options
”) that require that the Options be exercised within specified periods of time following the undersigned’s termination of employment or services (the “
Post Termination Exercise Provisions
”) shall no longer apply, such that the Options may be exercised as provided in the award agreements until the normal expiration dates applicable thereto. In addition, from and after the Effective Date, the provisions of the applicable award agreements evidencing the performance shares granted to the undersigned (the “
Performance Shares
”) shall be modified such that should this Agreement not be renewed or extended by December 22, 2017 for any reason the Performance Shares shall remain outstanding through the scheduled vesting dates thereof and shall vest and/or be forfeited based on the satisfaction of the applicable performance goals to the same extent as if the undersigned’s services to the Company had not ended. Notwithstanding the preceding two sentences, the benefit of the immediately preceding two sentences is conditioned on the undersigned not engaging in an action that would constitute “Cause” under the Employment Agreement and ongoing compliance with this Agreement.
|
2.
|
Modification and Survival of Restrictive Covenants
. As a condition to the Company’s entry into this Agreement and the benefits to the undersigned hereunder, the undersigned agrees as follows:
|
(a)
|
The undersigned shall be subject to the restrictive covenants contained in Section 7 of the Employment Agreement (the “
Restrictive Covenants
”) in accordance with their terms, except that (
x
) a “
Restricted Enterprise
” shall include only that group of reinsurers commonly included in the category of “hedge fund reinsurers” or “hedge fund re” (whether currently in existence or formed in the future); and (
y
) the duration of the Noncompetition Term as applicable to Section 7(b) only (related to noncompetition), as modified hereby, shall be twelve (12) months.
|
(b)
|
The Company acknowledges and agrees that nothing contained in Section 7(a) of the Employment Agreement shall be construed to limit the undersigned’s ability to communicate with or participate in any investigation or proceeding (including by providing documents or other information, without notice to the Company) regarding possible violations of federal securities laws that may be conducted by the U.S. Securities and Exchange Commission, the U.S. Department of Justice, U.S. Consumer Financial Protection Bureau or the U.S. Commodity Futures Trading Commission
.
|
3.
|
D&O Liability Insurance
. Section 9 of the Employment Agreement (regarding the right of the undersigned to continue to be covered by directors and officers liability insurance) is incorporated into this Agreement as if expressly set forth herein.
|
4.
|
Taxes
. The undersigned shall be solely responsible for taxes imposed on the undersigned by reason of any compensation or benefits provided under this Agreement and all such compensation and benefits shall be subject to applicable federal, state and local withholding requirements.
|
5.
|
Miscellaneous
. All payments to be made or benefits to be provided to the undersigned in accordance with this Agreement shall be made net of all applicable income and employment taxes required to be withheld from such payments. No party to this Agreement may assign this Agreement without the express written consent of the other parties, such consent not to be unreasonably withheld. The rights and obligations of the parties under this Agreement may be amended, modified, waived or discharged only with the written consent of the parties hereto. This Agreement shall be binding on, and shall inure to the benefit of, the parties to it and their respective heirs, legal representatives, successors and permitted assigns. Sections 15, 18 and 19 of the Employment Agreement shall apply to this Agreement as if set out in full herein. If any provision in this Agreement is held invalid or unenforceable for any reason, the remaining provisions shall be construed as if the invalid or unenforceable provision had not been included. This Agreement constitutes the entire agreement and understanding between the Company and its affiliates and the undersigned with respect to the subject matter hereof and supersedes all prior agreements and understandings (whether written or oral) between the undersigned and the Company relating to such subject matter. Any notices or other documents required to be delivered to the undersigned or the Company shall be sent as provided in Section 11 of the Employment Agreement. The parties to this Agreement agree to cooperate and to take such steps as may be reasonably necessary to give full effect to the transactions contemplated by this Agreement. This Agreement may be executed and delivered in counterparts (including via facsimile or .pdf file or by electronic delivery), each of which shall be deemed an original and all of which shall constitute one and the same instrument.
|
If to the Executive:
|
|
To the Executive at the address most recently contained in the Company’s records.
|
If to the Company:
|
|
Third Point Reinsurance Ltd.
Point House 3 Waterloo Lane Pembroke HM 08, Bermuda Attn: General Counsel |
With copies to:
|
|
Third Point LLC
390 Park Avenue New York, NY 10022 Attn: Joshua Targoff
Pine Brook LVR, L.P.
60 East 42nd Street, 50th Floor New York, NY 10165 Attn: William Spiegel
Kelso & Company, L.P.
320 Park Avenue, 24th Floor New York, NY 10022 Attn: James J. Connors, II |
THIRD POINT REINSURANCE LTD.
/s/ John R. Berger
By: John R. Berger Title: Chairman |
EXECUTIVE
/s/ J. Robert Bredahl
J. Robert Bredahl |
1.
|
Section 2 (a) Duties, and Section 2 (c) Place of Employment, of the Employment Agreement shall be amended to read as follows:
|
2.
|
Section 3,
Compensation and Benefits,
(d)
Benefits
and (e)
Perquisites
(i)
Air Travel
, and (ii)
Housing,
of the Employment Agreement shall be amended to revise the applicable benefits and perquisites, as follows:
|
3.
|
Section 12,
Notices
, of the Employment Agreement, as respects TPRe USA shall be amended to include the following:
|
4.
|
The parties hereto agree that except as specifically set forth in this Amendment No. 3, 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/ J. Robert Bredahl
|
|
J. Robert Bredahl
|
|
President and Chief Executive Officer
|
|
(Principal Executive Officer)
|
|
1.
|
I have reviewed this Quarterly Report on Form 10-Q of Third Point Reinsurance Ltd.;
|
2.
|
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
|
3.
|
Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;
|
4.
|
The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:
|
(a)
|
Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
|
(b)
|
Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
|
(c)
|
Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and
|
(d)
|
Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
|
5.
|
The registrant’s other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):
|
(a)
|
All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and
|
(b)
|
Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.
|
/s/ Christopher S. Coleman
|
|
Christopher S. Coleman
|
|
Chief Financial Officer
|
|
(Principal Financial and Accounting Officer)
|
|
(1)
|
the Quarterly Report on Form 10-Q of the Company for the fiscal period ended March 31, 2017 (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/ J. Robert Bredahl
|
|
J. Robert Bredahl
|
|
President and Chief Executive Officer
|
|
(Principal Executive Officer)
|
|
(1)
|
the Quarterly Report on Form 10-Q of the Company for the fiscal period ended March 31, 2017 (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)
|
|