|
|
|
Bermuda
(State or other jurisdiction
of incorporation or organization) |
98-1155442
(I.R.S. Employer Identification Number)
|
Waterloo House, 1
st
Floor
100 Pitts Bay Road, Pembroke HM 08, Bermuda
(Address of principal executive offices)
|
(441) 278-3455
(Registrant’s telephone number, including area code)
|
|
Large accelerated filer ☐
|
Accelerated filer ☐
|
Non-accelerated filer ☒
|
Smaller reporting company ☐
|
Emerging growth company ☒
|
Title of each class
|
|
Trading Symbol(s)
|
|
Name of each exchange on which registered
|
Common Shares
|
|
WTRE
|
|
Nasdaq Global Select Market
|
8½% Cumulative Redeemable Preference Shares
|
|
WTREP
|
|
Nasdaq Global Select Market
|
|
Watford Holdings Ltd.
|
|
|
Index to Form 10-Q
|
|
|
|
Page
|
Part I.
|
||
Item 1.
|
||
Item 2.
|
||
Item 3.
|
||
Item 4.
|
||
|
|
|
Part II.
|
||
Item 1.
|
||
Item 1A.
|
||
Item 2.
|
||
Item 3.
|
||
Item 4.
|
||
Item 5.
|
||
Item 6.
|
||
|
•
|
“ACGL” refers to Arch Capital Group Ltd. and its controlled subsidiaries;
|
•
|
“Arch” refers to any one or more of the following direct or indirect subsidiaries of ACGL, as applicable in the context in which such term appears:
|
•
|
Arch Investment Management Ltd., or AIM, which manages the majority of our investment grade portfolio;
|
•
|
Arch Reinsurance Company, or ARC, which is a party to certain quota share agreements with one or more of our operating subsidiaries and a services agreement with Watford Holdings (U.S.) Inc.;
|
•
|
Arch Reinsurance Ltd., or ARL, which is a party to certain quota share agreements with one or more of our operating subsidiaries and owned approximately 11% of our outstanding common shares as of
June 30, 2019
;
|
•
|
Arch Underwriters Inc., or AUI, which manages the underwriting business of our U.S. operating subsidiaries;
|
•
|
Arch Underwriters Ltd., or AUL, which manages the underwriting business of our non-U.S. operating subsidiaries, including Watford Re;
|
•
|
our “Investment Managers” refers to AIM, HPS or any other investment managers that manage our investment grade portfolio or our non-investment grade portfolio from time to time;
|
•
|
“HPS” refers to HPS Investment Partners, LLC (formerly known as Highbridge Principal Strategies, LLC), which manages our non-investment grade portfolio, as well as accounts in our investment grade portfolio;
|
•
|
“Watford,” “we,” “us” and “our” refers to Watford Holdings Ltd. and its subsidiaries;
|
•
|
“Watford Holdings” refers to our company, Watford Holdings Ltd., a Bermuda exempted company;
|
•
|
“Watford Trust” refers to Watford Asset Trust I, a statutory trust organized under the laws of the State of Delaware;
|
•
|
“Watford Re” refers to Watford Re Ltd., a Bermuda domiciled insurance company and a wholly-owned subsidiary of our company;
|
•
|
“WIC” refers to Watford Insurance Company, a New Jersey domiciled insurance company and a wholly-owned subsidiary of our company;
|
•
|
“WICE” refers to Watford Insurance Company Europe Limited, a Gibraltar domiciled insurance company and a wholly-owned subsidiary of our company; and
|
•
|
“WSIC” refers to Watford Specialty Insurance Company, a New Jersey domiciled insurance company and a wholly-owned subsidiary of our company.
|
•
|
our limited operating history;
|
•
|
fluctuations in the results of our operations;
|
•
|
our ability to compete successfully with more established competitors;
|
•
|
our losses exceeding our reserves;
|
•
|
downgrades, potential downgrades or other negative actions by rating agencies;
|
•
|
our dependence on key executives and inability to attract qualified personnel, or the potential loss of Bermudian personnel as a result of Bermuda employment restrictions;
|
•
|
our dependence on letter of credit facilities that may not be available on commercially acceptable terms;
|
•
|
our potential inability to pay dividends or distributions;
|
•
|
our potential need for additional capital in the future and the potential unavailability of such capital to us on favorable terms or at all;
|
•
|
our dependence on clients’ evaluations of risks associated with such clients’ insurance underwriting;
|
•
|
the suspension or revocation of our subsidiaries’ insurance licenses;
|
•
|
Watford Holdings potentially being deemed an investment company under U.S. federal securities law;
|
•
|
the potential characterization of us and/or any of our subsidiaries as a passive foreign investment company, or PFIC;
|
•
|
our dependence on Arch for services critical to our underwriting operations;
|
•
|
changes to our strategic relationship with Arch or the termination by Arch of any of our services agreements or quota share agreements;
|
•
|
our dependence on HPS and AIM to implement our investment strategy;
|
•
|
the termination by HPS or AIM of any of our investment management agreements;
|
•
|
risks associated with our investment strategy being greater than those faced by competitors;
|
•
|
changes in the regulatory environment;
|
•
|
our potentially becoming subject to U.S. federal income taxation;
|
•
|
our potentially becoming subject to U.S. withholding and information reporting requirements under the U.S. Foreign Account Tax Compliance Act, or FATCA, provisions; and
|
•
|
the other risks identified in this report, including, without limitation, those under the sections titled Part II Item 1A “Risk factors” and Part I Item 2 “Management’s discussion and analysis of financial condition and results of operations.”
|
|
(Unaudited)
|
|
|
||||
|
June 30,
|
|
December 31,
|
||||
|
2019
|
|
2018
|
||||
Assets
|
|
|
|
||||
Investments:
|
|
|
|
||||
Term loans, fair value option (Amortized cost: $1,099,970 and $1,055,664)
|
$
|
1,042,879
|
|
|
$
|
1,000,652
|
|
Fixed maturities, fair value option (Amortized cost: $634,920 and $972,653)
|
616,863
|
|
|
922,819
|
|
||
Short-term investments, fair value option (Cost: $232,488 and $281,959)
|
232,177
|
|
|
282,132
|
|
||
Equity securities, fair value option
|
56,524
|
|
|
56,638
|
|
||
Other investments, fair value option (1)
|
24,505
|
|
|
49,762
|
|
||
Investments, fair value option
|
1,972,948
|
|
|
2,312,003
|
|
||
Fixed maturities, available for sale (Amortized cost: $728,756 and $397,509)
|
732,454
|
|
|
393,351
|
|
||
Equity securities, fair value through net income
|
64,703
|
|
|
33,013
|
|
||
Total investments
|
2,770,105
|
|
|
2,738,367
|
|
||
Cash and cash equivalents
|
68,977
|
|
|
63,529
|
|
||
Accrued investment income
|
16,916
|
|
|
19,461
|
|
||
Premiums receivable (1)
|
228,588
|
|
|
227,301
|
|
||
Reinsurance recoverable on unpaid and paid losses and loss adjustment expenses (1)
|
123,961
|
|
|
86,445
|
|
||
Prepaid reinsurance premiums (1)
|
79,513
|
|
|
61,587
|
|
||
Deferred acquisition costs, net (1)
|
71,557
|
|
|
80,858
|
|
||
Receivable for securities sold
|
29,425
|
|
|
24,507
|
|
||
Intangible assets
|
7,650
|
|
|
7,650
|
|
||
Funds held by reinsurers (1)
|
55,536
|
|
|
44,830
|
|
||
Other assets
|
16,300
|
|
|
18,321
|
|
||
Total assets
|
$
|
3,468,528
|
|
|
$
|
3,372,856
|
|
Liabilities
|
|
|
|
||||
Reserve for losses and loss adjustment expenses (1)
|
$
|
1,126,080
|
|
|
$
|
1,032,760
|
|
Unearned premiums (1)
|
375,323
|
|
|
390,114
|
|
||
Losses payable (1)
|
71,270
|
|
|
24,750
|
|
||
Reinsurance balances payable (1)
|
23,312
|
|
|
21,034
|
|
||
Payable for securities purchased
|
51,216
|
|
|
60,142
|
|
||
Payable for securities sold short
|
48,823
|
|
|
8,928
|
|
||
Revolving credit agreement borrowings
|
558,297
|
|
|
693,917
|
|
||
Amounts due to affiliates (1)
|
5,741
|
|
|
5,888
|
|
||
Investment management and performance fees payable (1)
|
12,490
|
|
|
3,807
|
|
||
Other liabilities
|
13,505
|
|
|
20,916
|
|
||
Total liabilities
|
$
|
2,286,057
|
|
|
$
|
2,262,256
|
|
Commitments and contingencies
|
|
|
|
||||
Contingently redeemable preference shares
|
221,175
|
|
|
220,992
|
|
||
Shareholders’ equity
|
|
|
|
||||
Common shares ($0.01 par; shares authorized: 120 million; shares issued and outstanding: 22,692,300 and 22,682,875)
|
227
|
|
|
227
|
|
||
Additional paid-in capital
|
897,716
|
|
|
895,386
|
|
||
Retained earnings (deficit)
|
60,182
|
|
|
(1,275
|
)
|
||
Accumulated other comprehensive income (loss)
|
3,171
|
|
|
(4,730
|
)
|
||
Total shareholders’ equity
|
961,296
|
|
|
889,608
|
|
||
Total liabilities, contingently redeemable preference shares and shareholders’ equity
|
$
|
3,468,528
|
|
|
$
|
3,372,856
|
|
|
(Unaudited)
|
|
(Unaudited)
|
||||||||||||
|
Three Months Ended June 30,
|
|
Six Months Ended June 30,
|
||||||||||||
|
2019
|
|
2018
|
|
2019
|
|
2018
|
||||||||
Revenues
|
|
|
|
|
|
|
|
||||||||
Gross premiums written (1)
|
$
|
161,978
|
|
|
$
|
175,175
|
|
|
$
|
348,667
|
|
|
$
|
389,045
|
|
Gross premiums ceded (1)
|
(42,608
|
)
|
|
(34,589
|
)
|
|
(83,910
|
)
|
|
(68,907
|
)
|
||||
Net premiums written (1)
|
119,370
|
|
|
140,586
|
|
|
264,757
|
|
|
320,138
|
|
||||
Change in unearned premiums (1)
|
31,948
|
|
|
18,932
|
|
|
32,655
|
|
|
(23,873
|
)
|
||||
Net premiums earned (1)
|
151,318
|
|
|
159,518
|
|
|
297,412
|
|
|
296,265
|
|
||||
Other underwriting income (loss)
|
673
|
|
|
688
|
|
|
1,265
|
|
|
1,389
|
|
||||
Interest income
|
38,596
|
|
|
36,481
|
|
|
81,737
|
|
|
71,126
|
|
||||
Investment management fees - related parties (1)
|
(4,570
|
)
|
|
(4,156
|
)
|
|
(8,979
|
)
|
|
(8,302
|
)
|
||||
Borrowing and miscellaneous other investment expenses
|
(7,611
|
)
|
|
(6,283
|
)
|
|
(15,909
|
)
|
|
(12,643
|
)
|
||||
Net interest income
|
26,415
|
|
|
26,042
|
|
|
56,849
|
|
|
50,181
|
|
||||
Realized and unrealized gains (losses) on investments
|
(936
|
)
|
|
(10,614
|
)
|
|
32,784
|
|
|
(12,620
|
)
|
||||
Investment performance fees - related parties (1)
|
(1,692
|
)
|
|
(1,602
|
)
|
|
(7,492
|
)
|
|
(4,199
|
)
|
||||
Net investment income (loss)
|
23,787
|
|
|
13,826
|
|
|
82,141
|
|
|
33,362
|
|
||||
Total revenues
|
175,778
|
|
|
174,032
|
|
|
380,818
|
|
|
331,016
|
|
||||
|
|
|
|
|
|
|
|
||||||||
Expenses
|
|
|
|
|
|
|
|
||||||||
Loss and loss adjustment expenses (1)
|
(111,416
|
)
|
|
(117,141
|
)
|
|
(222,266
|
)
|
|
(215,130
|
)
|
||||
Acquisition expenses (1)
|
(35,417
|
)
|
|
(37,967
|
)
|
|
(69,391
|
)
|
|
(72,930
|
)
|
||||
General and administrative expenses (1)
|
(9,751
|
)
|
|
(5,416
|
)
|
|
(16,991
|
)
|
|
(10,473
|
)
|
||||
Net foreign exchange gains (losses)
|
(441
|
)
|
|
548
|
|
|
(878
|
)
|
|
(735
|
)
|
||||
Total expenses
|
(157,025
|
)
|
|
(159,976
|
)
|
|
(309,526
|
)
|
|
(299,268
|
)
|
||||
Income (loss) before income taxes
|
18,753
|
|
|
14,056
|
|
|
71,292
|
|
|
31,748
|
|
||||
Income tax expense
|
(20
|
)
|
|
(24
|
)
|
|
(20
|
)
|
|
(27
|
)
|
||||
Net income (loss) before preference dividends
|
18,733
|
|
|
14,032
|
|
|
71,272
|
|
|
31,721
|
|
||||
Preference dividends
|
(4,908
|
)
|
|
(4,908
|
)
|
|
(9,815
|
)
|
|
(9,815
|
)
|
||||
Net income (loss) available to common shareholders
|
$
|
13,825
|
|
|
$
|
9,124
|
|
|
$
|
61,457
|
|
|
$
|
21,906
|
|
|
|
|
|
|
|
|
|
||||||||
Earnings (loss) per common share:
|
|
|
|
|
|
|
|
||||||||
Basic
|
$
|
0.61
|
|
|
$
|
0.41
|
|
|
$
|
2.71
|
|
|
$
|
0.97
|
|
Diluted
|
$
|
0.61
|
|
|
$
|
0.41
|
|
|
$
|
2.71
|
|
|
$
|
0.97
|
|
Weighted average number of common shares used in the determination of earnings (loss) per share:
|
|
|
|
|
|
|
|
||||||||
Basic
|
22,740,762
|
|
|
22,682,875
|
|
|
22,711,833
|
|
|
22,682,875
|
|
||||
Diluted
|
22,747,033
|
|
|
22,682,875
|
|
|
22,714,969
|
|
|
22,682,875
|
|
|
(Unaudited)
|
|
(Unaudited)
|
||||||||||||
|
Three Months Ended June 30,
|
|
Six Months Ended June 30,
|
||||||||||||
|
2019
|
|
2018
|
|
2019
|
|
2018
|
||||||||
Comprehensive income (loss)
|
|
|
|
|
|
|
|
||||||||
Net income (loss) available to common shareholders
|
$
|
13,825
|
|
|
$
|
9,124
|
|
|
$
|
61,457
|
|
|
$
|
21,906
|
|
Other comprehensive income (loss) net of income tax:
|
|
|
|
|
|
|
|
||||||||
Available for sale investments:
|
|
|
|
|
|
|
|
||||||||
Unrealized holding gains (losses) arising during the year
|
4,854
|
|
|
(2,204
|
)
|
|
10,065
|
|
|
(2,765
|
)
|
||||
Reclassification of net realized (gains) losses, net of income taxes, included in net income
|
(1,816
|
)
|
|
502
|
|
|
(2,211
|
)
|
|
646
|
|
||||
Foreign currency translation adjustments
|
212
|
|
|
491
|
|
|
47
|
|
|
152
|
|
||||
Other comprehensive income (loss) net of income tax
|
3,250
|
|
|
(1,211
|
)
|
|
7,901
|
|
|
(1,967
|
)
|
||||
Comprehensive income (loss)
|
$
|
17,075
|
|
|
$
|
7,913
|
|
|
$
|
69,358
|
|
|
$
|
19,939
|
|
|
(Unaudited)
|
|
(Unaudited)
|
||||||||||||
|
Three Months Ended June 30,
|
|
Six Months Ended June 30,
|
||||||||||||
|
2019
|
|
2018
|
|
2019
|
|
2018
|
||||||||
Common shares
|
|
|
|
|
|
|
|
||||||||
Balance at beginning of period
|
$
|
227
|
|
|
$
|
227
|
|
|
$
|
227
|
|
|
$
|
227
|
|
Common shares issued
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Balance at end of period
|
227
|
|
|
227
|
|
|
227
|
|
|
227
|
|
||||
|
|
|
|
|
|
|
|
||||||||
Additional paid-in capital
|
|
|
|
|
|
|
|
||||||||
Balance at beginning of period
|
895,386
|
|
|
895,386
|
|
|
895,386
|
|
|
895,386
|
|
||||
Common shares issued under share plans
|
250
|
|
|
—
|
|
|
250
|
|
|
—
|
|
||||
Share-based compensation
|
2,080
|
|
|
—
|
|
|
2,080
|
|
|
—
|
|
||||
Balance at end of period
|
897,716
|
|
|
895,386
|
|
|
897,716
|
|
|
895,386
|
|
||||
|
|
|
|
|
|
|
|
||||||||
Accumulated other comprehensive income (loss)
|
|
|
|
|
|
|
|
||||||||
Balance at beginning of period
|
(79
|
)
|
|
(1,728
|
)
|
|
(4,730
|
)
|
|
(972
|
)
|
||||
Unrealized holding gains (losses) of available for sale investments:
|
|
|
|
|
|
|
|
||||||||
Balance at beginning of period
|
658
|
|
|
(417
|
)
|
|
(4,158
|
)
|
|
—
|
|
||||
Unrealized holding gains (losses) of available for sale investments, net of reclassification adjustment
|
3,038
|
|
|
(1,702
|
)
|
|
7,854
|
|
|
(2,119
|
)
|
||||
Balance at end of period
|
3,696
|
|
|
(2,119
|
)
|
|
3,696
|
|
|
(2,119
|
)
|
||||
Currency translation adjustment:
|
|
|
|
|
|
|
|
||||||||
Balance at beginning of period
|
(737
|
)
|
|
(1,311
|
)
|
|
(572
|
)
|
|
(972
|
)
|
||||
Currency translation adjustment
|
212
|
|
|
491
|
|
|
47
|
|
|
152
|
|
||||
Balance at end of period
|
(525
|
)
|
|
(820
|
)
|
|
(525
|
)
|
|
(820
|
)
|
||||
Balance at end of period
|
3,171
|
|
|
(2,939
|
)
|
|
3,171
|
|
|
(2,939
|
)
|
||||
|
|
|
|
|
|
|
|
||||||||
Retained earnings (deficit)
|
|
|
|
|
|
|
|
||||||||
Balance at beginning of period
|
46,357
|
|
|
66,023
|
|
|
(1,275
|
)
|
|
53,241
|
|
||||
Net income (loss) before preference dividends
|
18,733
|
|
|
14,032
|
|
|
71,272
|
|
|
31,721
|
|
||||
Preference share dividends paid and accrued
|
(4,908
|
)
|
|
(4,908
|
)
|
|
(9,815
|
)
|
|
(9,815
|
)
|
||||
Balance at end of period
|
60,182
|
|
|
75,147
|
|
|
60,182
|
|
|
75,147
|
|
||||
Total shareholders’ equity
|
$
|
961,296
|
|
|
$
|
967,821
|
|
|
$
|
961,296
|
|
|
$
|
967,821
|
|
|
(Unaudited)
|
||||||
|
Six Months Ended June 30,
|
||||||
|
2019
|
|
2018
|
||||
Operating Activities
|
|
|
|
||||
Net income (loss) before preference dividends
|
$
|
71,272
|
|
|
$
|
31,721
|
|
Adjustments to reconcile net income (loss) to net cash provided by operating activities:
|
|
|
|||||
Net realized and unrealized (gains) losses on investments
|
(32,318
|
)
|
|
16,169
|
|
||
Amortization of fixed assets
|
72
|
|
|
82
|
|
||
Share-based compensation
|
2,330
|
|
|
—
|
|
||
Changes in:
|
|
|
|
||||
Accrued investment income
|
2,548
|
|
|
147
|
|
||
Premiums receivable
|
(60
|
)
|
|
(60,887
|
)
|
||
Reinsurance recoverable on unpaid and paid losses and loss adjustment expenses
|
(37,611
|
)
|
|
(11,197
|
)
|
||
Prepaid reinsurance premiums
|
(17,926
|
)
|
|
(31,091
|
)
|
||
Deferred acquisition costs, net
|
9,396
|
|
|
(2,698
|
)
|
||
Reserve for losses and loss adjustment expenses
|
93,421
|
|
|
111,507
|
|
||
Unearned premiums
|
(14,729
|
)
|
|
54,963
|
|
||
Reinsurance balances payable
|
2,379
|
|
|
23,562
|
|
||
Funds held with reinsurers
|
(10,890
|
)
|
|
(14,288
|
)
|
||
Other liabilities
|
48,743
|
|
|
(19,798
|
)
|
||
Other items
|
(740
|
)
|
|
(5,757
|
)
|
||
Net Cash Provided By Operating Activities
|
115,887
|
|
|
92,435
|
|
||
Investing Activities
|
|
|
|
||||
Purchase of term loans
|
(233,730
|
)
|
|
(347,868
|
)
|
||
Purchase of fixed maturity investments
|
(746,930
|
)
|
|
(742,491
|
)
|
||
Proceeds from sale, redemptions and maturity of term loans
|
189,576
|
|
|
275,781
|
|
||
Proceeds from sales, redemptions and maturities of fixed maturity investments
|
778,128
|
|
|
594,491
|
|
||
Proceeds from sales, redemptions and maturities of other investments
|
24,636
|
|
|
—
|
|
||
Proceeds from sales, redemptions and maturities of short-term investments with maturities over three months
|
21,909
|
|
|
131,787
|
|
||
Net (purchases) sales of short-term investments with maturities less than three months
|
26,694
|
|
|
(58
|
)
|
||
Purchases of equity securities
|
(52,179
|
)
|
|
(81,886
|
)
|
||
Proceeds from sales of equity securities
|
26,421
|
|
|
13,305
|
|
||
Net settlements of derivative instruments
|
619
|
|
|
—
|
|
||
Purchases of furniture, equipment and other assets
|
—
|
|
|
(21
|
)
|
||
Net Cash Provided by (Used For) Investing Activities
|
35,144
|
|
|
(156,960
|
)
|
||
Financing Activities
|
|
|
|
||||
Dividends paid on redeemable preference shares
|
(9,632
|
)
|
|
(9,632
|
)
|
||
Repayments on borrowings
|
(198,426
|
)
|
|
(123,000
|
)
|
||
Proceeds from borrowings
|
62,800
|
|
|
189,705
|
|
||
Net Cash Provided By (Used For) Financing Activities
|
(145,258
|
)
|
|
57,073
|
|
||
Effects of exchange rate changes on foreign currency cash
|
(325
|
)
|
|
(1,407
|
)
|
||
Increase (decrease) in cash
|
5,448
|
|
|
(8,859
|
)
|
||
Cash and cash equivalents, beginning of period
|
63,529
|
|
|
54,503
|
|
||
Cash and cash equivalents, end of period
|
$
|
68,977
|
|
|
$
|
45,644
|
|
Supplementary information
|
|
|
|
||||
Income taxes paid
|
$
|
20
|
|
|
$
|
27
|
|
Interest paid
|
$
|
15,103
|
|
|
$
|
10,971
|
|
•
|
For amendments related to ASU 2016-01, the effective date is for fiscal years and interim periods beginning after December 15, 2019; early adoption in any interim period is permitted.
|
•
|
For amendments related to ASU 2016-13, the effective date is for fiscal years and interim periods beginning after December 15, 2019.
|
•
|
For amendments related to ASU 2017-12, the effective date is as of the beginning of the first annual reporting period beginning after April 25, 2019. As the Company has implemented ASU 2017-12, early adoption in any interim period is permitted.
|
|
Three Months Ended June 30,
|
|
Six Months Ended June 30,
|
||||||||||||
|
2019
|
|
2018
|
|
2019
|
|
2018
|
||||||||
|
($ in thousands)
|
||||||||||||||
Gross premiums written:
|
|
|
|
|
|
|
|
||||||||
Casualty reinsurance
|
$
|
32,557
|
|
|
$
|
56,399
|
|
|
$
|
108,158
|
|
|
$
|
142,362
|
|
Other specialty reinsurance
|
37,836
|
|
|
49,150
|
|
|
62,134
|
|
|
113,649
|
|
||||
Property catastrophe reinsurance
|
5,929
|
|
|
3,542
|
|
|
11,921
|
|
|
7,387
|
|
||||
Insurance programs and coinsurance
|
85,656
|
|
|
66,084
|
|
|
166,454
|
|
|
125,647
|
|
||||
Total
|
$
|
161,978
|
|
|
$
|
175,175
|
|
|
$
|
348,667
|
|
|
$
|
389,045
|
|
|
|
|
|
|
|
|
|
||||||||
Net premiums written:
|
|
|
|
|
|
|
|
||||||||
Casualty reinsurance
|
$
|
32,077
|
|
|
$
|
55,825
|
|
|
$
|
107,142
|
|
|
$
|
141,520
|
|
Other specialty reinsurance
|
36,523
|
|
|
45,255
|
|
|
59,705
|
|
|
102,793
|
|
||||
Property catastrophe reinsurance
|
5,621
|
|
|
3,339
|
|
|
11,603
|
|
|
7,173
|
|
||||
Insurance programs and coinsurance
|
45,149
|
|
|
36,167
|
|
|
86,307
|
|
|
68,652
|
|
||||
Total
|
$
|
119,370
|
|
|
$
|
140,586
|
|
|
$
|
264,757
|
|
|
$
|
320,138
|
|
|
|
|
|
|
|
|
|
||||||||
Net premiums earned:
|
|
|
|
|
|
|
|
||||||||
Casualty reinsurance
|
$
|
67,506
|
|
|
$
|
75,499
|
|
|
$
|
130,819
|
|
|
$
|
143,240
|
|
Other specialty reinsurance
|
42,635
|
|
|
50,506
|
|
|
87,196
|
|
|
88,284
|
|
||||
Property catastrophe reinsurance
|
3,119
|
|
|
2,326
|
|
|
6,090
|
|
|
4,962
|
|
||||
Insurance programs and coinsurance
|
38,058
|
|
|
31,187
|
|
|
73,307
|
|
|
59,779
|
|
||||
Total
|
$
|
151,318
|
|
|
$
|
159,518
|
|
|
$
|
297,412
|
|
|
$
|
296,265
|
|
|
|
|
|
|
|
|
|
||||||||
Net premiums written by client location:
|
|
|
|
|
|
|
|
||||||||
United States
|
$
|
55,759
|
|
|
$
|
71,734
|
|
|
$
|
108,967
|
|
|
$
|
131,861
|
|
Bermuda
|
10,741
|
|
|
7,015
|
|
|
30,702
|
|
|
26,375
|
|
||||
Europe
|
51,048
|
|
|
60,472
|
|
|
120,195
|
|
|
159,986
|
|
||||
Asia and Pacific
|
1,822
|
|
|
1,365
|
|
|
4,893
|
|
|
1,916
|
|
||||
Total
|
$
|
119,370
|
|
|
$
|
140,586
|
|
|
$
|
264,757
|
|
|
$
|
320,138
|
|
|
|
|
|
|
|
|
|
||||||||
Net premiums written by underwriting location:
|
|
|
|
|
|
|
|
||||||||
United States
|
$
|
22,385
|
|
|
$
|
14,060
|
|
|
$
|
40,787
|
|
|
$
|
23,842
|
|
Europe
|
23,927
|
|
|
22,448
|
|
|
47,185
|
|
|
45,345
|
|
||||
Bermuda
|
73,058
|
|
|
104,078
|
|
|
176,785
|
|
|
250,951
|
|
||||
Total
|
$
|
119,370
|
|
|
$
|
140,586
|
|
|
$
|
264,757
|
|
|
$
|
320,138
|
|
|
Three Months Ended June 30,
|
|
Six Months Ended June 30,
|
||||||||||||
|
2019
|
|
2018
|
|
2019
|
|
2018
|
||||||||
Premiums written
|
($ in thousands)
|
||||||||||||||
Direct
|
$
|
85,656
|
|
|
$
|
66,084
|
|
|
$
|
166,454
|
|
|
$
|
125,647
|
|
Assumed
|
76,322
|
|
|
109,091
|
|
|
182,213
|
|
|
263,398
|
|
||||
Ceded
|
(42,608
|
)
|
|
(34,589
|
)
|
|
(83,910
|
)
|
|
(68,907
|
)
|
||||
Net
|
$
|
119,370
|
|
|
$
|
140,586
|
|
|
$
|
264,757
|
|
|
$
|
320,138
|
|
Premiums earned
|
|
|
|
|
|
|
|
||||||||
Direct
|
$
|
70,445
|
|
|
$
|
47,698
|
|
|
$
|
133,962
|
|
|
$
|
86,626
|
|
Assumed
|
115,622
|
|
|
133,685
|
|
|
229,103
|
|
|
246,129
|
|
||||
Ceded
|
(34,749
|
)
|
|
(21,865
|
)
|
|
(65,653
|
)
|
|
(36,490
|
)
|
||||
Net
|
$
|
151,318
|
|
|
$
|
159,518
|
|
|
$
|
297,412
|
|
|
$
|
296,265
|
|
Losses and loss adjustment expenses
|
|
|
|
|
|
|
|
||||||||
Direct
|
$
|
62,976
|
|
|
$
|
34,924
|
|
|
$
|
111,380
|
|
|
$
|
60,361
|
|
Assumed
|
88,651
|
|
|
92,895
|
|
|
173,175
|
|
|
171,355
|
|
||||
Ceded
|
(40,211
|
)
|
|
(10,678
|
)
|
|
(62,289
|
)
|
|
(16,586
|
)
|
||||
Net
|
$
|
111,416
|
|
|
$
|
117,141
|
|
|
$
|
222,266
|
|
|
$
|
215,130
|
|
|
Six Months Ended June 30,
|
||||||
|
2019
|
|
2018
|
||||
|
($ in thousands)
|
||||||
Gross reserve for losses and loss adjustment expenses at beginning of period
|
$
|
1,032,760
|
|
|
$
|
798,262
|
|
Unpaid losses and loss adjustment expenses recoverable
|
81,267
|
|
|
39,856
|
|
||
Net reserve for losses and loss adjustment expenses at beginning of period
|
951,493
|
|
|
758,406
|
|
||
|
|
|
|
||||
Net incurred losses and loss adjustment expenses relating to losses occurring in:
|
|
|
|
||||
Current period
|
222,395
|
|
|
215,166
|
|
||
Prior years
|
(129
|
)
|
|
(36
|
)
|
||
Total net losses and loss adjustment expenses
|
222,266
|
|
|
215,130
|
|
||
|
|
|
|
||||
Foreign exchange gains (losses)
|
64
|
|
|
(9,260
|
)
|
||
|
|
|
|
||||
Net paid losses and loss adjustment expenses relating to losses occurring in:
|
|
|
|
||||
Current period
|
(13,956
|
)
|
|
(12,344
|
)
|
||
Prior years
|
(153,229
|
)
|
|
(102,267
|
)
|
||
Total paid losses and loss adjustment expenses
|
(167,185
|
)
|
|
(114,611
|
)
|
||
|
|
|
|
||||
Net reserve for losses and loss adjustment expenses at end of period
|
1,006,638
|
|
|
849,665
|
|
||
Unpaid losses and loss adjustment expenses recoverable
|
119,442
|
|
|
49,730
|
|
||
Gross reserve for losses and loss adjustment expenses at end of period
|
$
|
1,126,080
|
|
|
$
|
899,395
|
|
|
Cost or Amortized Cost
|
|
Gross Unrealized Gains
|
|
Gross Unrealized Losses
|
|
Fair Value
|
||||||||
June 30, 2019
|
($ in thousands)
|
||||||||||||||
Fixed maturities:
|
|
|
|
|
|
|
|
||||||||
U.S. government and government agency bonds
|
$
|
358,505
|
|
|
$
|
3,354
|
|
|
$
|
(33
|
)
|
|
$
|
361,826
|
|
Non-U.S. government and government agency bonds
|
129,042
|
|
|
2,067
|
|
|
(3,373
|
)
|
|
127,736
|
|
||||
Corporate bonds
|
80,339
|
|
|
1,451
|
|
|
(55
|
)
|
|
81,735
|
|
||||
Asset-backed securities
|
142,774
|
|
|
552
|
|
|
(450
|
)
|
|
142,876
|
|
||||
Mortgage-backed securities
|
17,022
|
|
|
158
|
|
|
(18
|
)
|
|
17,162
|
|
||||
Municipal government and government agency bonds
|
1,074
|
|
|
45
|
|
|
—
|
|
|
1,119
|
|
||||
Total investments, available for sale
|
$
|
728,756
|
|
|
$
|
7,627
|
|
|
$
|
(3,929
|
)
|
|
$
|
732,454
|
|
|
Cost or Amortized Cost
|
|
Gross Unrealized Gains
|
|
Gross Unrealized Losses
|
|
Fair Value
|
||||||||
December 31, 2018
|
($ in thousands)
|
||||||||||||||
Fixed maturities:
|
|
|
|
|
|
|
|
||||||||
U.S. government and government agency bonds
|
$
|
156,884
|
|
|
$
|
672
|
|
|
$
|
(127
|
)
|
|
$
|
157,429
|
|
Non-U.S. government and government agency bonds
|
89,661
|
|
|
670
|
|
|
(2,859
|
)
|
|
87,472
|
|
||||
Corporate bonds
|
77,178
|
|
|
19
|
|
|
(1,204
|
)
|
|
75,993
|
|
||||
Asset-backed securities
|
58,369
|
|
|
72
|
|
|
(1,351
|
)
|
|
57,090
|
|
||||
Mortgage-backed securities
|
14,344
|
|
|
17
|
|
|
(81
|
)
|
|
14,280
|
|
||||
Municipal government and government agency bonds
|
1,073
|
|
|
14
|
|
|
—
|
|
|
1,087
|
|
||||
Total investments, available for sale
|
$
|
397,509
|
|
|
$
|
1,464
|
|
|
$
|
(5,622
|
)
|
|
$
|
393,351
|
|
|
Less than 12 Months
|
|
12 Months or More
|
|
Total
|
||||||||||||||||||
|
Fair Value
|
|
Gross Unrealized Losses
|
|
Fair Value
|
|
Gross Unrealized Losses
|
|
Fair Value
|
|
Gross Unrealized Losses
|
||||||||||||
June 30, 2019
|
($ in thousands)
|
||||||||||||||||||||||
Fixed maturities:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
U.S. government and government agency bonds
|
$
|
35,766
|
|
|
$
|
(33
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
35,766
|
|
|
$
|
(33
|
)
|
Non-U.S. government and government agency bonds
|
100,531
|
|
|
(3,361
|
)
|
|
5,274
|
|
|
(12
|
)
|
|
105,805
|
|
|
(3,373
|
)
|
||||||
Corporate bonds
|
4,945
|
|
|
(55
|
)
|
|
—
|
|
|
—
|
|
|
4,945
|
|
|
(55
|
)
|
||||||
Asset-backed securities
|
79,623
|
|
|
(450
|
)
|
|
—
|
|
|
—
|
|
|
79,623
|
|
|
(450
|
)
|
||||||
Mortgage-backed securities
|
4,758
|
|
|
(18
|
)
|
|
—
|
|
|
—
|
|
|
4,758
|
|
|
(18
|
)
|
||||||
Total
|
$
|
225,623
|
|
|
$
|
(3,917
|
)
|
|
$
|
5,274
|
|
|
$
|
(12
|
)
|
|
$
|
230,897
|
|
|
$
|
(3,929
|
)
|
December 31, 2018
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Fixed maturities:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
U.S. government and government agency bonds
|
$
|
66,422
|
|
|
$
|
(127
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
66,422
|
|
|
$
|
(127
|
)
|
Non-U.S. government and government agency bonds
|
78,084
|
|
|
(2,859
|
)
|
|
—
|
|
|
—
|
|
|
78,084
|
|
|
(2,859
|
)
|
||||||
Corporate bonds
|
70,443
|
|
|
(1,204
|
)
|
|
—
|
|
|
—
|
|
|
70,443
|
|
|
(1,204
|
)
|
||||||
Asset-backed securities
|
49,400
|
|
|
(1,351
|
)
|
|
—
|
|
|
—
|
|
|
49,400
|
|
|
(1,351
|
)
|
||||||
Mortgage-backed securities
|
8,478
|
|
|
(81
|
)
|
|
—
|
|
|
—
|
|
|
8,478
|
|
|
(81
|
)
|
||||||
Total
|
$
|
272,827
|
|
|
$
|
(5,622
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
272,827
|
|
|
$
|
(5,622
|
)
|
|
June 30, 2019
|
|||||||||
|
Amortized Cost
|
|
Estimated Fair Value
|
|
% of Fair Value
|
|||||
|
($ in thousands)
|
|||||||||
Due in one year or less
|
$
|
4,480
|
|
|
$
|
4,496
|
|
|
0.7
|
%
|
Due after one year through five years
|
456,578
|
|
|
460,134
|
|
|
62.8
|
%
|
||
Due after five years through ten years
|
107,903
|
|
|
107,786
|
|
|
14.7
|
%
|
||
Asset-backed securities
|
142,774
|
|
|
142,876
|
|
|
19.5
|
%
|
||
Mortgage-backed securities
|
17,022
|
|
|
17,162
|
|
|
2.3
|
%
|
||
Total investments, available for sale
|
$
|
728,757
|
|
|
$
|
732,454
|
|
|
100.0
|
%
|
|
December 31, 2018
|
|||||||||
|
Amortized Cost
|
|
Estimated Fair Value
|
|
% of Fair Value
|
|||||
|
($ in thousands)
|
|||||||||
Due after one year through five years
|
$
|
278,443
|
|
|
$
|
276,706
|
|
|
70.4
|
%
|
Due after five years through ten years
|
46,353
|
|
|
45,275
|
|
|
11.5
|
%
|
||
Asset-backed securities
|
58,369
|
|
|
57,090
|
|
|
14.5
|
%
|
||
Mortgage-backed securities
|
14,344
|
|
|
14,280
|
|
|
3.6
|
%
|
||
Total investments, available for sale
|
$
|
397,509
|
|
|
$
|
393,351
|
|
|
100.0
|
%
|
|
Cost or Amortized Cost
|
|
Gross Unrealized Gains
|
|
Gross Unrealized Losses
|
|
Fair Value
|
||||||||
June 30, 2019
|
($ in thousands)
|
||||||||||||||
Term loan investments
|
$
|
1,099,970
|
|
|
$
|
4,634
|
|
|
$
|
(61,725
|
)
|
|
$
|
1,042,879
|
|
Fixed maturities:
|
|
|
|
|
|
|
|
||||||||
Corporate bonds
|
405,316
|
|
|
8,710
|
|
|
(25,145
|
)
|
|
388,881
|
|
||||
U.S. government and government agency bonds
|
4,500
|
|
|
—
|
|
|
(12
|
)
|
|
4,488
|
|
||||
Asset-backed securities
|
199,166
|
|
|
3,962
|
|
|
(4,947
|
)
|
|
198,181
|
|
||||
Mortgage-backed securities
|
8,431
|
|
|
655
|
|
|
(913
|
)
|
|
8,173
|
|
||||
Non-U.S. government and government agency bonds
|
10,871
|
|
|
52
|
|
|
(514
|
)
|
|
10,409
|
|
||||
Municipal government and government agency bonds
|
6,636
|
|
|
97
|
|
|
(2
|
)
|
|
6,731
|
|
||||
Short-term investments
|
232,488
|
|
|
182
|
|
|
(493
|
)
|
|
232,177
|
|
||||
Other investments
|
25,162
|
|
|
—
|
|
|
(657
|
)
|
|
24,505
|
|
||||
Equities
|
54,894
|
|
|
7,737
|
|
|
(6,107
|
)
|
|
56,524
|
|
||||
Investments, fair value option
|
$
|
2,047,434
|
|
|
$
|
26,029
|
|
|
$
|
(100,515
|
)
|
|
$
|
1,972,948
|
|
Fair Value Through Net Income:
|
|
|
|
|
|
|
|
||||||||
Equities, fair value through net income (1)
|
72,623
|
|
|
1,573
|
|
|
(9,493
|
)
|
|
64,703
|
|
|
Cost or Amortized Cost
|
|
Gross Unrealized Gains
|
|
Gross Unrealized Losses
|
|
Fair Value
|
||||||||
December 31, 2018
|
($ in thousands)
|
||||||||||||||
Term loan investments
|
$
|
1,055,664
|
|
|
$
|
767
|
|
|
$
|
(55,779
|
)
|
|
$
|
1,000,652
|
|
Fixed maturities:
|
|
|
|
|
|
|
|
||||||||
Corporate bonds
|
617,013
|
|
|
6,468
|
|
|
(44,867
|
)
|
|
578,614
|
|
||||
U.S. government and government agency bonds
|
113,452
|
|
|
—
|
|
|
(2,206
|
)
|
|
111,246
|
|
||||
Asset-backed securities
|
174,846
|
|
|
673
|
|
|
(6,626
|
)
|
|
168,893
|
|
||||
Mortgage-backed securities
|
9,122
|
|
|
—
|
|
|
(1,241
|
)
|
|
7,881
|
|
||||
Non-U.S. government and government agency bonds
|
50,914
|
|
|
1
|
|
|
(1,874
|
)
|
|
49,041
|
|
||||
Municipal government and government agency bonds
|
7,306
|
|
|
—
|
|
|
(162
|
)
|
|
7,144
|
|
||||
Short-term investments
|
281,959
|
|
|
570
|
|
|
(397
|
)
|
|
282,132
|
|
||||
Other investments
|
50,000
|
|
|
—
|
|
|
(238
|
)
|
|
49,762
|
|
||||
Equities
|
56,609
|
|
|
5,136
|
|
|
(5,107
|
)
|
|
56,638
|
|
||||
Investments, fair value option
|
$
|
2,416,885
|
|
|
$
|
13,615
|
|
|
$
|
(118,497
|
)
|
|
$
|
2,312,003
|
|
Fair Value Through Net Income:
|
|
|
|
|
|
|
|
||||||||
Equities, fair value through net income (1)
|
41,358
|
|
|
2,030
|
|
|
(10,375
|
)
|
|
33,013
|
|
|
June 30, 2019
|
|||||||||
|
Amortized Cost
|
|
Estimated Fair Value
|
|
% of Fair Value
|
|||||
|
($ in thousands)
|
|||||||||
Due in one year or less
|
$
|
222,427
|
|
|
$
|
223,905
|
|
|
11.8
|
%
|
Due after one year through five years
|
855,660
|
|
|
803,720
|
|
|
42.5
|
%
|
||
Due after five years through ten years
|
615,914
|
|
|
592,297
|
|
|
31.3
|
%
|
||
Due after ten years
|
65,780
|
|
|
65,643
|
|
|
3.5
|
%
|
||
Asset-backed securities
|
199,166
|
|
|
198,181
|
|
|
10.5
|
%
|
||
Mortgage-backed securities
|
8,431
|
|
|
8,173
|
|
|
0.4
|
%
|
||
Total
|
$
|
1,967,378
|
|
|
$
|
1,891,919
|
|
|
100.0
|
%
|
|
December 31, 2018
|
|||||||||
|
Amortized Cost
|
|
Estimated Fair Value
|
|
% of Fair Value
|
|||||
|
($ in thousands)
|
|||||||||
Due in one year or less
|
$
|
300,554
|
|
|
$
|
300,519
|
|
|
13.6
|
%
|
Due after one year through five years
|
1,044,539
|
|
|
992,834
|
|
|
45.0
|
%
|
||
Due after five years through ten years
|
777,290
|
|
|
731,662
|
|
|
33.2
|
%
|
||
Due after ten years
|
3,925
|
|
|
3,814
|
|
|
0.2
|
%
|
||
Asset-backed securities
|
174,846
|
|
|
168,893
|
|
|
7.6
|
%
|
||
Mortgage-backed securities
|
9,122
|
|
|
7,881
|
|
|
0.4
|
%
|
||
Total
|
$
|
2,310,276
|
|
|
$
|
2,205,603
|
|
|
100.0
|
%
|
|
Credit Rating (1)
|
||||||||||||||||||||||||||||||||||||||||||
June 30, 2019
|
Fair Value
|
|
AAA
|
|
AA
|
|
A
|
|
BBB
|
|
BB
|
|
B
|
|
CCC
|
|
CC
|
|
D
|
|
Not Rated
|
||||||||||||||||||||||
|
($ in thousands)
|
||||||||||||||||||||||||||||||||||||||||||
Term loan investments
|
$
|
1,042,879
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
17,628
|
|
|
$
|
699,166
|
|
|
$
|
253,637
|
|
|
$
|
2,846
|
|
|
$
|
7,054
|
|
|
$
|
62,548
|
|
Fixed maturities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||
Corporate bonds
|
470,616
|
|
|
—
|
|
|
28,399
|
|
|
70,662
|
|
|
52,762
|
|
|
25,968
|
|
|
87,760
|
|
|
165,063
|
|
|
—
|
|
|
4,303
|
|
|
35,699
|
|
|||||||||||
U.S. government and government agency bonds
|
366,314
|
|
|
—
|
|
|
366,314
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||||||||
Asset-backed securities
|
341,057
|
|
|
3,466
|
|
|
2,673
|
|
|
23,506
|
|
|
212,648
|
|
|
39,873
|
|
|
17,779
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
41,112
|
|
|||||||||||
Mortgage-backed securities
|
25,335
|
|
|
—
|
|
|
—
|
|
|
600
|
|
|
16,562
|
|
|
990
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
2,478
|
|
|
4,705
|
|
|||||||||||
Non-U.S. government and government agency bonds
|
138,145
|
|
|
2,580
|
|
|
135,565
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||||||||
Municipal government and government agency bonds
|
7,850
|
|
|
6,731
|
|
|
571
|
|
|
548
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||||||||
Total fixed income instruments
|
2,392,196
|
|
|
12,777
|
|
|
533,522
|
|
|
95,316
|
|
|
281,972
|
|
|
84,459
|
|
|
804,705
|
|
|
418,700
|
|
|
2,846
|
|
|
13,835
|
|
|
144,064
|
|
|||||||||||
Short-term investments
|
232,177
|
|
|
15,050
|
|
|
64,203
|
|
|
77,525
|
|
|
72,370
|
|
|
—
|
|
|
—
|
|
|
3,029
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||||||||
Total fixed income instruments and short-term investments
|
2,624,373
|
|
|
27,827
|
|
|
597,725
|
|
|
172,841
|
|
|
354,342
|
|
|
84,459
|
|
|
804,705
|
|
|
421,729
|
|
|
2,846
|
|
|
13,835
|
|
|
144,064
|
|
|||||||||||
Other Investments
|
24,505
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
Equities
|
121,227
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
Total
|
$
|
2,770,105
|
|
|
$
|
27,827
|
|
|
$
|
597,725
|
|
|
$
|
172,841
|
|
|
$
|
354,342
|
|
|
$
|
84,459
|
|
|
$
|
804,705
|
|
|
$
|
421,729
|
|
|
$
|
2,846
|
|
|
$
|
13,835
|
|
|
$
|
144,064
|
|
|
Credit Rating (1)
|
||||||||||||||||||||||||||||||||||||||||||||||
December 31, 2018
|
Fair Value
|
|
AAA
|
|
AA
|
|
A
|
|
BBB
|
|
BB
|
|
B
|
|
CCC
|
|
CC
|
|
C
|
|
D
|
|
Not Rated
|
||||||||||||||||||||||||
|
($ in thousands)
|
||||||||||||||||||||||||||||||||||||||||||||||
Term loan investments
|
$
|
1,000,652
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
57,844
|
|
|
$
|
677,211
|
|
|
$
|
201,116
|
|
|
$
|
2,438
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
62,043
|
|
Fixed maturities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
Corporate bonds
|
654,607
|
|
|
3,961
|
|
|
58,185
|
|
|
100,590
|
|
|
63,791
|
|
|
15,246
|
|
|
174,867
|
|
|
203,505
|
|
|
—
|
|
|
2,200
|
|
|
—
|
|
|
32,262
|
|
||||||||||||
U.S. government and government agency bonds
|
268,675
|
|
|
—
|
|
|
268,675
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||||||
Asset-backed securities
|
225,983
|
|
|
4,532
|
|
|
4,973
|
|
|
10,278
|
|
|
113,075
|
|
|
36,643
|
|
|
20,818
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
35,664
|
|
||||||||||||
Mortgage-backed securities
|
22,161
|
|
|
—
|
|
|
—
|
|
|
944
|
|
|
13,336
|
|
|
742
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
2,962
|
|
|
4,177
|
|
||||||||||||
Non-U.S. government and government agency bonds
|
136,513
|
|
|
5,173
|
|
|
122,715
|
|
|
8,625
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||||||
Municipal government and government agency bonds
|
8,231
|
|
|
6,490
|
|
|
715
|
|
|
1,026
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||||||
Total fixed income instruments
|
2,316,822
|
|
|
20,156
|
|
|
455,263
|
|
|
121,463
|
|
|
190,202
|
|
|
110,475
|
|
|
872,896
|
|
|
404,621
|
|
|
2,438
|
|
|
2,200
|
|
|
2,962
|
|
|
134,146
|
|
||||||||||||
Short-term investments
|
282,132
|
|
|
4,450
|
|
|
128,015
|
|
|
54,970
|
|
|
68,853
|
|
|
—
|
|
|
25,844
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||||||
Total fixed income instruments and short-term investments
|
2,598,954
|
|
|
24,606
|
|
|
583,278
|
|
|
176,433
|
|
|
259,055
|
|
|
110,475
|
|
|
898,740
|
|
|
404,621
|
|
|
2,438
|
|
|
2,200
|
|
|
2,962
|
|
|
134,146
|
|
||||||||||||
Other Investments
|
49,762
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
Equities
|
89,651
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
Total
|
$
|
2,738,367
|
|
|
$
|
24,606
|
|
|
$
|
583,278
|
|
|
$
|
176,433
|
|
|
$
|
259,055
|
|
|
$
|
110,475
|
|
|
$
|
898,740
|
|
|
$
|
404,621
|
|
|
$
|
2,438
|
|
|
$
|
2,200
|
|
|
$
|
2,962
|
|
|
$
|
134,146
|
|
|
Three Months Ended June 30, 2019
|
||||||||||||||
|
Net Interest Income
|
|
Net Unrealized Gains (Losses)
|
|
Net Realized Gains (Losses)
|
|
Net Investment Income (Loss)
|
||||||||
Net investment income (loss) by asset class:
|
($ in thousands)
|
||||||||||||||
Term loan investments
|
$
|
22,665
|
|
|
$
|
(11,437
|
)
|
|
$
|
148
|
|
|
$
|
11,376
|
|
Fixed maturities - Fair value option
|
9,592
|
|
|
8,995
|
|
|
1,655
|
|
|
20,242
|
|
||||
Fixed maturities - Available for sale (1)
|
4,411
|
|
|
—
|
|
|
1,816
|
|
|
6,227
|
|
||||
Short-term investments
|
1,055
|
|
|
(48
|
)
|
|
25
|
|
|
1,032
|
|
||||
Equities (2)
|
80
|
|
|
(1,096
|
)
|
|
—
|
|
|
(1,016
|
)
|
||||
Equities, fair value through net income (2)
|
793
|
|
|
3,687
|
|
|
(3,599
|
)
|
|
881
|
|
||||
Other investments
|
—
|
|
|
(2,213
|
)
|
|
(202
|
)
|
|
(2,415
|
)
|
||||
Other (3)
|
—
|
|
|
387
|
|
|
946
|
|
|
1,333
|
|
||||
Investment management fees - related parties
|
(4,570
|
)
|
|
—
|
|
|
—
|
|
|
(4,570
|
)
|
||||
Borrowing and miscellaneous other investment expenses
|
(7,611
|
)
|
|
—
|
|
|
—
|
|
|
(7,611
|
)
|
||||
Investment performance fees - related parties
|
—
|
|
|
—
|
|
|
—
|
|
|
(1,692
|
)
|
||||
|
$
|
26,415
|
|
|
$
|
(1,725
|
)
|
|
$
|
789
|
|
|
$
|
23,787
|
|
|
Three Months Ended June 30, 2018
|
||||||||||||||
|
Net Interest Income
|
|
Net Unrealized Gains (Losses)
|
|
Net Realized Gains (Losses)
|
|
Net Investment Income (Loss)
|
||||||||
Net investment income (loss) by asset class:
|
($ in thousands)
|
||||||||||||||
Term loan investments
|
$
|
18,743
|
|
|
$
|
(3,467
|
)
|
|
$
|
353
|
|
|
$
|
15,629
|
|
Fixed maturities - Fair value option
|
15,135
|
|
|
(2,350
|
)
|
|
77
|
|
|
12,862
|
|
||||
Fixed maturities - Available for sale (1)
|
1,329
|
|
|
—
|
|
|
(502
|
)
|
|
827
|
|
||||
Short-term investments
|
729
|
|
|
—
|
|
|
36
|
|
|
765
|
|
||||
Equities (2)
|
13
|
|
|
1,007
|
|
|
(2,416
|
)
|
|
(1,396
|
)
|
||||
Equities, fair value through net income (2)
|
532
|
|
|
(4,989
|
)
|
|
702
|
|
|
(3,755
|
)
|
||||
Other investments
|
—
|
|
|
935
|
|
|
—
|
|
|
935
|
|
||||
Investment management fees - related parties
|
(4,156
|
)
|
|
—
|
|
|
—
|
|
|
(4,156
|
)
|
||||
Borrowing and miscellaneous other investment expenses
|
(6,283
|
)
|
|
—
|
|
|
—
|
|
|
(6,283
|
)
|
||||
Investment performance fees - related parties
|
—
|
|
|
—
|
|
|
—
|
|
|
(1,602
|
)
|
||||
|
$
|
26,042
|
|
|
$
|
(8,864
|
)
|
|
$
|
(1,750
|
)
|
|
$
|
13,826
|
|
|
Six Months Ended June 30, 2019
|
||||||||||||||
|
Net Interest Income
|
|
Net Unrealized Gains (Losses)
|
|
Net Realized Gains (Losses)
|
|
Net Investment Income (Loss)
|
||||||||
Net investment income (loss) by asset class:
|
($ in thousands)
|
||||||||||||||
Term loan investments
|
$
|
45,075
|
|
|
$
|
(2,071
|
)
|
|
$
|
212
|
|
|
$
|
43,216
|
|
Fixed maturities - Fair value option
|
25,635
|
|
|
28,970
|
|
|
906
|
|
|
55,511
|
|
||||
Fixed maturities - Available for sale (1)
|
7,833
|
|
|
—
|
|
|
2,211
|
|
|
10,044
|
|
||||
Short-term investments
|
1,579
|
|
|
(496
|
)
|
|
25
|
|
|
1,108
|
|
||||
Equities (2)
|
200
|
|
|
1,062
|
|
|
—
|
|
|
1,262
|
|
||||
Equities, fair value through net income (2)
|
1,415
|
|
|
1,698
|
|
|
(2,027
|
)
|
|
1,086
|
|
||||
Other investments
|
—
|
|
|
(419
|
)
|
|
(202
|
)
|
|
(621
|
)
|
||||
Other (3)
|
—
|
|
|
1,969
|
|
|
946
|
|
|
2,915
|
|
||||
Investment management fees - related parties
|
(8,979
|
)
|
|
—
|
|
|
—
|
|
|
(8,979
|
)
|
||||
Borrowing and miscellaneous other investment expenses
|
(15,909
|
)
|
|
—
|
|
|
—
|
|
|
(15,909
|
)
|
||||
Investment performance fees - related parties
|
—
|
|
|
—
|
|
|
—
|
|
|
(7,492
|
)
|
||||
|
$
|
56,849
|
|
|
$
|
30,713
|
|
|
$
|
2,071
|
|
|
$
|
82,141
|
|
|
Six Months Ended June 30, 2018
|
||||||||||||||
|
Net Interest Income
|
|
Net Unrealized Gains (Losses)
|
|
Net Realized Gains (Losses)
|
|
Net Investment Income (Loss)
|
||||||||
Net investment income (loss) by asset class:
|
($ in thousands)
|
||||||||||||||
Term loan investments
|
$
|
36,419
|
|
|
$
|
3,179
|
|
|
$
|
(2,407
|
)
|
|
$
|
37,191
|
|
Fixed maturities - Fair value option
|
30,890
|
|
|
(5,426
|
)
|
|
(10,728
|
)
|
|
14,736
|
|
||||
Fixed maturities - Available for sale (1)
|
1,964
|
|
|
—
|
|
|
(646
|
)
|
|
1,318
|
|
||||
Short-term investments
|
1,490
|
|
|
—
|
|
|
36
|
|
|
1,526
|
|
||||
Equities (2)
|
(169
|
)
|
|
6,333
|
|
|
(348
|
)
|
|
5,816
|
|
||||
Equities, fair value through net income (2)
|
532
|
|
|
(4,894
|
)
|
|
702
|
|
|
(3,660
|
)
|
||||
Other investments
|
—
|
|
|
1,579
|
|
|
—
|
|
|
1,579
|
|
||||
Investment management fees - related parties
|
(8,302
|
)
|
|
—
|
|
|
—
|
|
|
(8,302
|
)
|
||||
Borrowing and miscellaneous other investment expenses
|
(12,643
|
)
|
|
—
|
|
|
—
|
|
|
(12,643
|
)
|
||||
Investment performance fees - related parties
|
—
|
|
|
—
|
|
|
—
|
|
|
(4,199
|
)
|
||||
|
$
|
50,181
|
|
|
$
|
771
|
|
|
$
|
(13,391
|
)
|
|
$
|
33,362
|
|
•
|
Level 1:
Inputs to the valuation methodology are observable inputs that reflect quoted prices (unadjusted) for identical assets or liabilities in active markets;
|
•
|
Level 2:
Inputs to the valuation methodology include quoted prices for similar assets and liabilities in active markets and inputs that are observable for the asset or liability, either directly or indirectly, for substantially the full term of the financial instrument; and
|
•
|
Level 3:
Inputs to the valuation methodology are unobservable and significant to the fair value measurement.
|
|
|
|
Fair Value Measurement Using:
|
||||||||||||
June 30, 2019
|
Estimated
Fair Value
|
|
Quoted Prices in Active Markets for Identical Assets
(Level 1)
|
|
Significant Other Observable Inputs
(Level 2)
|
|
Significant Unobservable Inputs
(Level 3)
|
||||||||
Assets measured at fair value:
|
($ in thousands)
|
||||||||||||||
Term loans
|
$
|
1,042,879
|
|
|
$
|
—
|
|
|
$
|
994,294
|
|
|
$
|
48,585
|
|
Fixed maturities:
|
|
|
|
|
|
|
|
||||||||
Corporate bonds
|
470,616
|
|
|
—
|
|
|
446,696
|
|
|
23,920
|
|
||||
U.S. government and government agency bonds
|
366,314
|
|
|
366,204
|
|
|
110
|
|
|
—
|
|
||||
Asset-backed securities
|
341,057
|
|
|
—
|
|
|
341,057
|
|
|
—
|
|
||||
Mortgage-backed securities
|
25,335
|
|
|
—
|
|
|
25,335
|
|
|
—
|
|
||||
Non-U.S. government and government agencies
|
138,145
|
|
|
—
|
|
|
138,145
|
|
|
—
|
|
||||
Municipal government and government agency bonds
|
7,850
|
|
|
—
|
|
|
7,850
|
|
|
—
|
|
||||
Short-term investments
|
232,177
|
|
|
229,148
|
|
|
3,029
|
|
|
—
|
|
||||
Equities
|
121,227
|
|
|
10,870
|
|
|
8,151
|
|
|
102,206
|
|
||||
Other underwriting derivative assets
|
215
|
|
|
—
|
|
|
215
|
|
|
—
|
|
||||
Investment derivative assets (1)
|
928
|
|
|
—
|
|
|
928
|
|
|
—
|
|
||||
Other investments measured at net asset value (2)
|
24,505
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Total assets measured at fair value
|
$
|
2,771,248
|
|
|
$
|
606,222
|
|
|
$
|
1,965,810
|
|
|
$
|
174,711
|
|
|
|
|
|
|
|
|
|
||||||||
Investment derivative liabilities (1)
|
189
|
|
|
—
|
|
|
189
|
|
|
—
|
|
||||
Payable for securities sold short:
|
|
|
|
|
|
|
|
||||||||
Corporate bonds
|
43,232
|
|
|
—
|
|
|
43,232
|
|
|
—
|
|
||||
Equities
|
5,591
|
|
|
—
|
|
|
5,591
|
|
|
—
|
|
||||
Total liabilities measured at fair value
|
$
|
49,012
|
|
|
$
|
—
|
|
|
$
|
49,012
|
|
|
$
|
—
|
|
|
|
|
Fair Value Measurement Using:
|
||||||||||||
December 31, 2018
|
Estimated
Fair Value
|
|
Quoted Prices in Active Markets for Identical Assets
(Level 1)
|
|
Significant Other Observable Inputs
(Level 2)
|
|
Significant Unobservable Inputs
(Level 3)
|
||||||||
Assets measured at fair value:
|
($ in thousands)
|
||||||||||||||
Term loans
|
$
|
1,000,652
|
|
|
$
|
—
|
|
|
$
|
953,173
|
|
|
$
|
47,479
|
|
Fixed maturities:
|
|
|
|
|
|
|
|
||||||||
Corporate bonds
|
654,607
|
|
|
—
|
|
|
630,330
|
|
|
24,277
|
|
||||
U.S. government and government agency bonds
|
268,675
|
|
|
268,567
|
|
|
108
|
|
|
—
|
|
||||
Asset-backed securities
|
225,983
|
|
|
—
|
|
|
203,423
|
|
|
22,560
|
|
||||
Mortgage-backed securities
|
22,161
|
|
|
—
|
|
|
22,161
|
|
|
—
|
|
||||
Non-U.S. government and government agencies
|
136,513
|
|
|
—
|
|
|
136,513
|
|
|
—
|
|
||||
Municipal government and government agency bonds
|
8,231
|
|
|
—
|
|
|
8,231
|
|
|
—
|
|
||||
Short-term investments
|
282,132
|
|
|
256,288
|
|
|
25,844
|
|
|
—
|
|
||||
Equities
|
89,651
|
|
|
7,977
|
|
|
11,223
|
|
|
70,451
|
|
||||
Other underwriting derivative assets
|
249
|
|
|
—
|
|
|
249
|
|
|
—
|
|
||||
Investment derivative assets (1)
|
51
|
|
|
—
|
|
|
51
|
|
|
—
|
|
||||
Other investments measured at net asset value (2)
|
49,762
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Total assets measured at fair value
|
$
|
2,738,667
|
|
|
$
|
532,832
|
|
|
$
|
1,991,306
|
|
|
$
|
164,767
|
|
|
|
|
|
|
|
|
|
|
|||||||
Investment derivative liabilities (1)
|
1,279
|
|
|
—
|
|
|
1,279
|
|
|
—
|
|
||||
Payable for securities sold short:
|
|
|
|
|
|
|
|
||||||||
Corporate bonds
|
7,790
|
|
|
—
|
|
|
7,790
|
|
|
—
|
|
||||
Equities (1)
|
1,138
|
|
|
—
|
|
|
1,138
|
|
|
—
|
|
||||
Total liabilities measured at fair value
|
$
|
10,207
|
|
|
$
|
—
|
|
|
$
|
10,207
|
|
|
$
|
—
|
|
Three Months Ended June 30, 2019
|
Beginning
Balance
|
|
Net Purchases (Sales)(1)
|
|
Net Unrealized Gains (Losses)(2)
|
|
Net Unrealized Foreign Exchange Gains (Losses)
|
|
Ending
Balance
|
||||||||||
Term loans
|
$
|
47,368
|
|
|
$
|
170
|
|
|
$
|
1,047
|
|
|
$
|
—
|
|
|
$
|
48,585
|
|
Corporate bonds
|
23,719
|
|
|
—
|
|
|
(110
|
)
|
|
311
|
|
|
23,920
|
|
|||||
Equities
|
100,651
|
|
|
—
|
|
|
1,555
|
|
|
—
|
|
|
102,206
|
|
|||||
Total
|
$
|
171,738
|
|
|
$
|
170
|
|
|
$
|
2,492
|
|
|
$
|
311
|
|
|
$
|
174,711
|
|
Three Months Ended June 30, 2018
|
Beginning
Balance
|
|
Net Purchases (Sales)(1)
|
|
Net Unrealized Gains (Losses)(2)
|
|
Net Unrealized Foreign Exchange Gains (Losses)
|
|
Ending
Balance
|
||||||||||
Term loans
|
$
|
34,380
|
|
|
$
|
(1,057
|
)
|
|
$
|
293
|
|
|
$
|
—
|
|
|
$
|
33,616
|
|
Corporate bonds
|
25,189
|
|
|
984
|
|
|
15
|
|
|
(1,219
|
)
|
|
24,969
|
|
|||||
Short-term investments
|
4,360
|
|
|
(4,302
|
)
|
|
(58
|
)
|
|
—
|
|
|
—
|
|
|||||
Equities
|
83,806
|
|
|
15,762
|
|
|
632
|
|
|
—
|
|
|
100,200
|
|
|||||
Total
|
$
|
147,735
|
|
|
$
|
11,387
|
|
|
$
|
882
|
|
|
$
|
(1,219
|
)
|
|
$
|
158,785
|
|
Six Months Ended June 30, 2019
|
Beginning
Balance
|
|
Transfers in (out) of Level 3 (1)
|
|
Net Purchases (Sales)(2)
|
|
Net Unrealized Gains (Losses)(3)
|
|
Net Unrealized Foreign Exchange Gains (Losses)
|
|
Ending
Balance
|
||||||||||||
Term loans
|
$
|
47,479
|
|
|
$
|
—
|
|
|
$
|
333
|
|
|
$
|
773
|
|
|
$
|
—
|
|
|
$
|
48,585
|
|
Corporate bonds
|
24,277
|
|
|
—
|
|
|
(90
|
)
|
|
(179
|
)
|
|
(88
|
)
|
|
23,920
|
|
||||||
Asset-backed securities
|
22,560
|
|
|
(22,560
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Equities
|
70,451
|
|
|
—
|
|
|
30,534
|
|
|
1,221
|
|
|
—
|
|
|
102,206
|
|
||||||
Total
|
$
|
164,767
|
|
|
$
|
(22,560
|
)
|
|
$
|
30,777
|
|
|
$
|
1,815
|
|
|
$
|
(88
|
)
|
|
$
|
174,711
|
|
Six Months Ended June 30, 2018
|
Beginning
Balance
|
|
Net Purchases (Sales)(2)
|
|
Net Unrealized Gains (Losses)(3)
|
|
Net Unrealized Foreign Exchange Gains (Losses)
|
|
Ending
Balance
|
||||||||||
Term loans
|
$
|
62,478
|
|
|
$
|
(28,561
|
)
|
|
$
|
(301
|
)
|
|
$
|
—
|
|
|
$
|
33,616
|
|
Corporate bonds
|
24,710
|
|
|
985
|
|
|
(74
|
)
|
|
(652
|
)
|
|
24,969
|
|
|||||
Short-term investments
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
Equities
|
52,921
|
|
|
45,828
|
|
|
1,451
|
|
|
—
|
|
|
100,200
|
|
|||||
Total
|
$
|
140,109
|
|
|
$
|
18,252
|
|
|
$
|
1,076
|
|
|
$
|
(652
|
)
|
|
$
|
158,785
|
|
|
Estimated Fair Value
|
|
|
||||||||||||
|
Asset Derivatives
|
|
Liability Derivatives
|
|
Net Derivatives
|
|
Notional Amount
(1)
|
||||||||
|
($ in thousands)
|
||||||||||||||
June 30, 2019
|
|
|
|
|
|
|
|
||||||||
Other underwriting derivatives
|
$
|
215
|
|
|
$
|
—
|
|
|
$
|
215
|
|
|
$
|
68,272
|
|
Total return swaps
|
928
|
|
|
189
|
|
|
739
|
|
|
113,040
|
|
||||
Total
|
$
|
1,143
|
|
|
$
|
189
|
|
|
$
|
954
|
|
|
$
|
181,312
|
|
|
|
|
|
|
|
|
|
||||||||
December 31, 2018
|
|
|
|
|
|
|
|
||||||||
Other underwriting derivatives
|
$
|
249
|
|
|
$
|
—
|
|
|
$
|
249
|
|
|
$
|
72,148
|
|
Options
|
808
|
|
|
1,138
|
|
|
(330
|
)
|
|
24,551
|
|
||||
Total return swaps
|
51
|
|
|
1,279
|
|
|
(1,228
|
)
|
|
91,663
|
|
||||
Total
|
$
|
1,108
|
|
|
$
|
2,417
|
|
|
$
|
(1,309
|
)
|
|
$
|
188,362
|
|
|
Three Months Ended June 30,
|
|
Six Months Ended June 30,
|
||||||||||||
|
2019
|
|
2018
|
|
2019
|
|
2018
|
||||||||
|
($ in thousands)
|
||||||||||||||
Underwriting derivatives:
|
|
|
|
|
|
|
|
||||||||
Other underwriting income (loss)
|
$
|
673
|
|
|
$
|
688
|
|
|
$
|
1,265
|
|
|
$
|
1,389
|
|
Investment derivatives:
|
|
|
|
|
|
|
|
||||||||
Net realized and unrealized gains (losses):
|
|
|
|
|
|
|
|
||||||||
Options
|
(2
|
)
|
|
—
|
|
|
799
|
|
|
—
|
|
||||
Total return swaps
|
1,333
|
|
|
—
|
|
|
2,915
|
|
|
—
|
|
|
Three Months Ended June 30,
|
|
Six Months Ended June 30,
|
||||||||||||
|
2019
|
|
2018
|
|
2019
|
|
2018
|
||||||||
Numerator:
|
($ in thousands except share and per share data)
|
||||||||||||||
Net income (loss) before preference dividends
|
$
|
18,733
|
|
|
$
|
14,032
|
|
|
$
|
71,272
|
|
|
$
|
31,721
|
|
Preference dividends
|
(4,908
|
)
|
|
(4,908
|
)
|
|
(9,815
|
)
|
|
(9,815
|
)
|
||||
Net income (loss) available to common shareholders
|
$
|
13,825
|
|
|
$
|
9,124
|
|
|
$
|
61,457
|
|
|
$
|
21,906
|
|
Denominator:
|
|
|
|
|
|
|
|
||||||||
Weighted average common shares outstanding - basic
|
22,740,762
|
|
|
22,682,875
|
|
|
22,711,833
|
|
|
22,682,875
|
|
||||
Effect of dilutive common share equivalents:
|
|
|
|
|
|
|
|
||||||||
Weighted average non-vested restricted share units (1)
|
6,271
|
|
|
—
|
|
|
3,136
|
|
|
—
|
|
||||
Weighted average common shares outstanding - diluted
|
22,747,033
|
|
|
22,682,875
|
|
|
22,714,969
|
|
|
22,682,875
|
|
||||
Earnings (loss) per common share:
|
|
|
|
|
|
|
|
||||||||
Basic
|
$0.61
|
|
$0.41
|
|
$2.71
|
|
$0.97
|
||||||||
Diluted
|
$0.61
|
|
$0.41
|
|
$2.71
|
|
$0.97
|
|
Three Months Ended June 30,
|
|
Six Months Ended June 30,
|
||||||||||||
|
2019
|
|
2018
|
|
2019
|
|
2018
|
||||||||
Consolidated statement of income (loss) items:
|
($ in thousands)
|
||||||||||||||
Acquisition expenses
|
$
|
5,861
|
|
|
$
|
3,678
|
|
|
$
|
10,809
|
|
|
$
|
7,320
|
|
General and administrative expenses
|
2,008
|
|
|
1,749
|
|
|
4,019
|
|
|
2,639
|
|
||||
|
$
|
7,869
|
|
|
$
|
5,427
|
|
|
$
|
14,828
|
|
|
$
|
9,959
|
|
|
Three Months Ended June 30,
|
|
Six Months Ended June 30,
|
||||||||||||
|
2019
|
|
2018
|
|
2019
|
|
2018
|
||||||||
Consolidated statement of income (loss) items:
|
($ in thousands)
|
||||||||||||||
Investment management fees - related parties
|
$
|
4,297
|
|
|
$
|
3,868
|
|
|
$
|
8,444
|
|
|
$
|
7,720
|
|
Investment performance fees - related parties
|
1,692
|
|
|
1,602
|
|
|
7,492
|
|
|
4,199
|
|
||||
|
$
|
5,989
|
|
|
$
|
5,470
|
|
|
$
|
15,936
|
|
|
$
|
11,919
|
|
|
June 30,
|
|
December 31,
|
||||
|
2019
|
|
2018
|
||||
Consolidated balance sheet items:
|
($ in thousands)
|
||||||
Other investments, at fair value
|
$
|
24,505
|
|
|
$
|
49,762
|
|
Investment management and performance fees payable
|
12,490
|
|
|
3,807
|
|
|
Three Months Ended June 30,
|
|
Six Months Ended June 30,
|
||||||||||||
|
2019
|
|
2018
|
|
2019
|
|
2018
|
||||||||
Consolidated statement of income (loss) items:
|
($ in thousands)
|
||||||||||||||
Investment management fees - related parties
|
$
|
273
|
|
|
$
|
288
|
|
|
$
|
535
|
|
|
$
|
582
|
|
|
Three Months Ended June 30,
|
|
Six Months Ended June 30,
|
||||||||||||
|
2019
|
|
2018
|
|
2019
|
|
2018
|
||||||||
Consolidated statement of income (loss) items:
|
($ in thousands)
|
||||||||||||||
Gross premiums written
|
$
|
38,890
|
|
|
$
|
56,450
|
|
|
$
|
110,895
|
|
|
$
|
138,581
|
|
Gross premiums ceded
|
(15,844
|
)
|
|
(13,467
|
)
|
|
(32,834
|
)
|
|
(28,754
|
)
|
||||
Net premiums earned
|
52,502
|
|
|
63,609
|
|
|
101,400
|
|
|
121,917
|
|
||||
Losses and loss adjustment expenses
|
39,110
|
|
|
42,877
|
|
|
75,342
|
|
|
79,539
|
|
||||
|
|
|
|
|
|
|
|
||||||||
Acquisition expenses (1)
|
17,306
|
|
|
22,992
|
|
|
34,117
|
|
|
43,550
|
|
||||
Acquisition expenses (2)
|
5,861
|
|
|
3,678
|
|
|
10,809
|
|
|
7,320
|
|
||||
Total acquisition expenses
|
$
|
23,167
|
|
|
$
|
26,670
|
|
|
$
|
44,926
|
|
|
$
|
50,870
|
|
|
June 30,
|
|
December 31,
|
||||
|
2019
|
|
2018
|
||||
Consolidated balance sheet items:
|
($ in thousands)
|
||||||
Total investments
|
$
|
828,792
|
|
|
$
|
719,189
|
|
Premiums receivable
|
127,813
|
|
|
118,208
|
|
||
Reinsurance recoverable on unpaid and paid losses and loss adjustment expenses
|
60,988
|
|
|
45,954
|
|
||
Prepaid reinsurance premiums
|
32,993
|
|
|
27,598
|
|
||
Deferred acquisition costs, net
|
38,606
|
|
|
48,380
|
|
||
Funds held by reinsurers
|
31,607
|
|
|
33,352
|
|
||
Contingent commissions (1)
|
4,117
|
|
|
2,967
|
|
||
Reserve for losses and loss adjustment expenses
|
634,944
|
|
|
631,670
|
|
||
Unearned premiums
|
148,635
|
|
|
166,491
|
|
||
Losses payable
|
61,414
|
|
|
19,098
|
|
||
Reinsurance balances payable
|
21,492
|
|
|
20,299
|
|
||
Amounts due to affiliates
|
5,741
|
|
|
5,888
|
|
|
Three Months Ended June 30,
|
|
Six Months Ended June 30,
|
||||||||||||
|
2019
|
|
2018
|
|
2019
|
|
2018
|
||||||||
|
($ in thousands)
|
||||||||||||||
Fees paid to Artex under insurance management services agreement
|
$
|
45
|
|
|
$
|
155
|
|
|
$
|
176
|
|
|
$
|
275
|
|
|
Three Months Ended June 30,
|
||
|
2019
|
||
|
($ in thousands)
|
||
Lease cost:
|
|
||
Operating lease
|
$
|
71
|
|
Other information on operating lease:
|
|
||
Cash payments included in the measurement of lease liability reported in operating cash flows
|
60
|
|
|
Right-of-use assets (1)
|
1,092
|
|
|
Operating lease liability (2)
|
1,092
|
|
|
Weighted average discount rate
|
3.9
|
%
|
|
Weighted average remaining lease term in years
|
4.25 years
|
|
|
June 30, 2019
|
|
|
($ in thousands)
|
|
Remainder of 2019
|
142
|
|
2020
|
283
|
|
2021
|
283
|
|
2022
|
283
|
|
2023
|
189
|
|
Total undiscounted lease payments
|
1,180
|
|
Less: present value adjustment
|
(88
|
)
|
Operating lease liability
|
1,092
|
|
|
December 31, 2018
|
|
|
($ in thousands)
|
|
Future rental commitments
|
|
|
2019
|
283
|
|
2020
|
283
|
|
2021
|
283
|
|
2022
|
283
|
|
2023
|
189
|
|
Total
|
1,321
|
|
|
Three Months Ended June 30,
|
|
Six Months Ended June 30,
|
||||||||||||
|
2019
|
|
2018
|
|
2019
|
|
2018
|
||||||||
|
($ in thousands, except percentages and share amounts)
|
||||||||||||||
Key underwriting metrics:
|
|
|
|
|
|
|
|
||||||||
Underwriting income (loss)
|
$
|
(5,266
|
)
|
|
$
|
(1,006
|
)
|
|
$
|
(11,236
|
)
|
|
$
|
(2,268
|
)
|
Combined ratio
|
103.5
|
%
|
|
100.6
|
%
|
|
103.8
|
%
|
|
100.7
|
%
|
||||
Adjusted underwriting income (loss)
|
$
|
202
|
|
|
$
|
692
|
|
|
$
|
(3,213
|
)
|
|
$
|
1,274
|
|
Adjusted combined ratio
|
99.9
|
%
|
|
99.6
|
%
|
|
101.1
|
%
|
|
99.6
|
%
|
||||
Key investment return metrics:
|
|
|
|
|
|
|
|
||||||||
Net interest income
|
$
|
26,415
|
|
|
$
|
26,042
|
|
|
$
|
56,849
|
|
|
$
|
50,181
|
|
Net interest income yield on average net assets (1)
|
1.2
|
%
|
|
1.3
|
%
|
|
2.7
|
%
|
|
2.6
|
%
|
||||
Non-investment grade portfolio (1)
|
1.6
|
%
|
|
1.7
|
%
|
|
3.5
|
%
|
|
3.3
|
%
|
||||
Investment grade portfolio (1)
|
0.6
|
%
|
|
0.5
|
%
|
|
1.2
|
%
|
|
0.9
|
%
|
||||
Net investment income (loss)
|
$
|
23,787
|
|
|
$
|
13,826
|
|
|
$
|
82,141
|
|
|
$
|
33,362
|
|
Net investment income return on average net assets (1)
|
1.1
|
%
|
|
0.7
|
%
|
|
3.9
|
%
|
|
1.7
|
%
|
||||
Non-investment grade portfolio (1)
|
1.2
|
%
|
|
1.0
|
%
|
|
4.6
|
%
|
|
2.8
|
%
|
||||
Investment grade portfolio (1)
|
1.0
|
%
|
|
0.2
|
%
|
|
2.1
|
%
|
|
(0.4
|
)%
|
||||
|
|
|
|
|
|
|
|
||||||||
Net investment income return on average total investments (2)
|
0.8
|
%
|
|
0.5
|
%
|
|
2.9
|
%
|
|
1.3
|
%
|
||||
Non-investment grade portfolio (2)
|
1.0
|
%
|
|
0.8
|
%
|
|
3.7
|
%
|
|
2.3
|
%
|
||||
Investment grade portfolio (2)
|
1.0
|
%
|
|
0.2
|
%
|
|
2.1
|
%
|
|
(0.4
|
)%
|
||||
Key shareholders
’
value creation metrics:
|
|
|
|
|
|
|
|
||||||||
Book value per diluted common share (3)
|
$
|
42.07
|
|
|
$
|
42.67
|
|
|
$
|
42.07
|
|
|
$
|
42.67
|
|
Growth in book value per diluted share (3)
|
1.3
|
%
|
|
0.8
|
%
|
|
7.3
|
%
|
|
2.1
|
%
|
||||
Annualized return on average equity (4)
|
5.8
|
%
|
|
3.8
|
%
|
|
13.2
|
%
|
|
4.6
|
%
|
•
|
premiums from our insurance and reinsurance lines of business; and
|
•
|
income from investments.
|
•
|
loss and loss adjustment expenses;
|
•
|
acquisition expenses;
|
•
|
investment related expenses; and
|
•
|
general and administrative expenses.
|
|
Three Months Ended June 30,
|
|
Six Months Ended June 30,
|
||||||||||||||||||
|
2019
|
|
% Change
|
|
2018
|
|
2019
|
|
% Change
|
|
2018
|
||||||||||
|
($ in thousands)
|
||||||||||||||||||||
Gross premiums written
|
$
|
161,978
|
|
|
(7.5
|
)%
|
|
$
|
175,175
|
|
|
$
|
348,667
|
|
|
(10.4
|
)%
|
|
$
|
389,045
|
|
Gross premiums ceded
|
(42,608
|
)
|
|
|
|
(34,589
|
)
|
|
(83,910
|
)
|
|
|
|
(68,907
|
)
|
||||||
Net premiums written
|
119,370
|
|
|
(15.1
|
)%
|
|
140,586
|
|
|
264,757
|
|
|
(17.3
|
)%
|
|
320,138
|
|
||||
Net premiums earned
|
151,318
|
|
|
(5.1
|
)%
|
|
159,518
|
|
|
297,412
|
|
|
0.4
|
%
|
|
296,265
|
|
||||
Loss and loss adjustment expenses
|
(111,416
|
)
|
|
|
|
(117,141
|
)
|
|
(222,266
|
)
|
|
|
|
(215,130
|
)
|
||||||
Acquisition expenses
|
(35,417
|
)
|
|
|
|
(37,967
|
)
|
|
(69,391
|
)
|
|
|
|
(72,930
|
)
|
||||||
General and administrative expenses (1)
|
(9,751
|
)
|
|
|
|
(5,416
|
)
|
|
(16,991
|
)
|
|
|
|
(10,473
|
)
|
||||||
Underwriting income (loss) (2)
|
(5,266
|
)
|
|
423.5
|
%
|
|
(1,006
|
)
|
|
(11,236
|
)
|
|
395.4
|
%
|
|
(2,268
|
)
|
||||
Other underwriting income (loss)
|
673
|
|
|
|
|
688
|
|
|
1,265
|
|
|
|
|
1,389
|
|
||||||
Interest income
|
38,596
|
|
|
|
|
36,481
|
|
|
81,737
|
|
|
|
|
71,126
|
|
||||||
Investment management fees - related parties
|
(4,570
|
)
|
|
|
|
(4,156
|
)
|
|
(8,979
|
)
|
|
|
|
(8,302
|
)
|
||||||
Borrowing and miscellaneous other investment expenses
|
(7,611
|
)
|
|
|
|
(6,283
|
)
|
|
(15,909
|
)
|
|
|
|
(12,643
|
)
|
||||||
Net interest income
|
26,415
|
|
|
|
|
26,042
|
|
|
56,849
|
|
|
|
|
50,181
|
|
||||||
Realized and unrealized gain (loss) on investments
|
(936
|
)
|
|
|
|
(10,614
|
)
|
|
32,784
|
|
|
|
|
(12,620
|
)
|
||||||
Investment performance fees - related parties
|
(1,692
|
)
|
|
|
|
(1,602
|
)
|
|
(7,492
|
)
|
|
|
|
(4,199
|
)
|
||||||
Net investment income (loss)
|
23,787
|
|
|
72.0
|
%
|
|
13,826
|
|
|
82,141
|
|
|
146.2
|
%
|
|
33,362
|
|
||||
Net foreign exchange gains (losses)
|
(441
|
)
|
|
|
|
548
|
|
|
(878
|
)
|
|
|
|
(735
|
)
|
||||||
Income tax expense
|
(20
|
)
|
|
|
|
(24
|
)
|
|
(20
|
)
|
|
|
|
(27
|
)
|
||||||
Net income (loss) before preference dividends
|
18,733
|
|
|
|
|
14,032
|
|
|
71,272
|
|
|
|
|
31,721
|
|
||||||
Preference dividends
|
(4,908
|
)
|
|
|
|
(4,908
|
)
|
|
(9,815
|
)
|
|
|
|
(9,815
|
)
|
||||||
Net income (loss) available to common shareholders
|
$
|
13,825
|
|
|
51.5
|
%
|
|
$
|
9,124
|
|
|
$
|
61,457
|
|
|
180.5
|
%
|
|
$
|
21,906
|
|
|
Three Months Ended June 30,
|
|
Six Months Ended June 30,
|
||||||||||||||||||
|
2019
|
|
% Change
|
|
2018
|
|
2019
|
|
% Change
|
|
2018
|
||||||||||
|
($ in thousands)
|
|
|
|
|
|
|
||||||||||||||
Loss ratio
|
73.6
|
%
|
|
0.2
|
%
|
|
73.4
|
%
|
|
74.7
|
%
|
|
2.1
|
%
|
|
72.6
|
%
|
||||
Acquisition expense ratio
|
23.4
|
%
|
|
(0.4
|
)%
|
|
23.8
|
%
|
|
23.3
|
%
|
|
(1.3
|
)%
|
|
24.6
|
%
|
||||
General & administrative expense ratio
|
6.5
|
%
|
|
3.1
|
%
|
|
3.4
|
%
|
|
5.8
|
%
|
|
2.3
|
%
|
|
3.5
|
%
|
||||
Combined ratio
|
103.5
|
%
|
|
2.9
|
%
|
|
100.6
|
%
|
|
103.8
|
%
|
|
3.1
|
%
|
|
100.7
|
%
|
||||
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Adjusted underwriting income (loss)(2)
|
$
|
202
|
|
|
|
|
$
|
692
|
|
|
$
|
(3,213
|
)
|
|
|
|
$
|
1,274
|
|
||
Adjusted combined ratio (2)
|
99.9
|
%
|
|
0.3
|
%
|
|
99.6
|
%
|
|
101.1
|
%
|
|
1.5
|
%
|
|
99.6
|
%
|
||||
Annualized return on average equity (3)
|
5.8
|
%
|
|
|
|
3.8
|
%
|
|
13.2
|
%
|
|
|
|
4.6
|
%
|
•
|
Casualty reinsurance:
coverage provided to ceding company clients on third-party liability and workers’ compensation exposures, primarily on a treaty basis. Business written includes coverages such as: executive assurance, medical malpractice liability, other professional liability, workers’ compensation, excess and umbrella liability and excess auto liability.
|
•
|
Other specialty reinsurance:
coverage provided to ceding company clients for personal and commercial auto (other than excess auto liability), mortgage, surety, accident and health, workers’ compensation catastrophe, agriculture, marine and aviation.
|
•
|
Property catastrophe reinsurance:
protects ceding company clients for most catastrophic losses that are covered in the underlying policies. Perils covered may include hurricane, earthquake, flood, tornado, hail and fire, and coverage for other perils on a case-by-case basis. Property catastrophe reinsurance provides coverage on an excess of loss basis when aggregate losses and loss adjustment expense from a single occurrence of a covered peril exceed the retention specified in the contract.
|
•
|
Insurance programs and coinsurance:
targeting program managers and/or coinsurers with unique expertise and niche products offering primary and excess general liability, umbrella liability, professional liability, workers’ compensation, personal and commercial automobile, inland marine and property business with minimal catastrophe exposure.
|
|
Three Months Ended June 30,
|
|
Six Months Ended June 30,
|
||||||||||||||||||||||||
|
2019
|
|
2018
|
|
2019
|
|
2018
|
||||||||||||||||||||
|
Amount
|
|
%
|
|
Amount
|
|
%
|
|
Amount
|
|
%
|
|
Amount
|
|
%
|
||||||||||||
|
($ in thousands)
|
||||||||||||||||||||||||||
Casualty reinsurance
|
$
|
32,557
|
|
|
20.1
|
%
|
|
$
|
56,399
|
|
|
32.2
|
%
|
|
$
|
108,158
|
|
|
31.0
|
%
|
|
$
|
142,362
|
|
|
36.6
|
%
|
Other specialty reinsurance
|
37,836
|
|
|
23.4
|
%
|
|
49,150
|
|
|
28.1
|
%
|
|
62,134
|
|
|
17.8
|
%
|
|
113,649
|
|
|
29.2
|
%
|
||||
Property catastrophe reinsurance
|
5,929
|
|
|
3.7
|
%
|
|
3,542
|
|
|
2.0
|
%
|
|
11,921
|
|
|
3.4
|
%
|
|
7,387
|
|
|
1.9
|
%
|
||||
Insurance programs and coinsurance
|
85,656
|
|
|
52.8
|
%
|
|
66,084
|
|
|
37.7
|
%
|
|
166,454
|
|
|
47.8
|
%
|
|
125,647
|
|
|
32.3
|
%
|
||||
Total
|
$
|
161,978
|
|
|
100.0
|
%
|
|
$
|
175,175
|
|
|
100.0
|
%
|
|
$
|
348,667
|
|
|
100.0
|
%
|
|
$
|
389,045
|
|
|
100.0
|
%
|
|
Three Months Ended June 30,
|
|
Six Months Ended June 30,
|
||||||||||||||||||||||||
|
2019
|
|
2018
|
|
2019
|
|
2018
|
||||||||||||||||||||
|
Amount
|
|
%
|
|
Amount
|
|
%
|
|
Amount
|
|
%
|
|
Amount
|
|
%
|
||||||||||||
|
($ in thousands)
|
||||||||||||||||||||||||||
Casualty reinsurance
|
$
|
32,077
|
|
|
26.9
|
%
|
|
$
|
55,825
|
|
|
39.7
|
%
|
|
$
|
107,142
|
|
|
40.4
|
%
|
|
$
|
141,520
|
|
|
44.2
|
%
|
Other specialty reinsurance
|
36,523
|
|
|
30.6
|
%
|
|
45,255
|
|
|
32.2
|
%
|
|
59,705
|
|
|
22.6
|
%
|
|
102,793
|
|
|
32.1
|
%
|
||||
Property catastrophe reinsurance
|
5,621
|
|
|
4.7
|
%
|
|
3,339
|
|
|
2.4
|
%
|
|
11,603
|
|
|
4.4
|
%
|
|
7,173
|
|
|
2.2
|
%
|
||||
Insurance programs and coinsurance
|
45,149
|
|
|
37.8
|
%
|
|
36,167
|
|
|
25.7
|
%
|
|
86,307
|
|
|
32.6
|
%
|
|
68,652
|
|
|
21.5
|
%
|
||||
Total
|
$
|
119,370
|
|
|
100.0
|
%
|
|
$
|
140,586
|
|
|
100.0
|
%
|
|
$
|
264,757
|
|
|
100.0
|
%
|
|
$
|
320,138
|
|
|
100.0
|
%
|
|
Three Months Ended June 30,
|
|
Six Months Ended June 30,
|
||||||||||||||||||||||||
|
2019
|
|
2018
|
|
2019
|
|
2018
|
||||||||||||||||||||
|
Amount
|
|
%
|
|
Amount
|
|
%
|
|
Amount
|
|
%
|
|
Amount
|
|
%
|
||||||||||||
|
($ in thousands)
|
||||||||||||||||||||||||||
Casualty reinsurance
|
$
|
67,506
|
|
|
44.5
|
%
|
|
$
|
75,499
|
|
|
47.3
|
%
|
|
$
|
130,819
|
|
|
44.1
|
%
|
|
$
|
143,240
|
|
|
48.3
|
%
|
Other specialty reinsurance
|
42,635
|
|
|
28.2
|
%
|
|
50,506
|
|
|
31.7
|
%
|
|
87,196
|
|
|
29.3
|
%
|
|
88,284
|
|
|
29.8
|
%
|
||||
Property catastrophe reinsurance
|
3,119
|
|
|
2.1
|
%
|
|
2,326
|
|
|
1.5
|
%
|
|
6,090
|
|
|
2.0
|
%
|
|
4,962
|
|
|
1.7
|
%
|
||||
Insurance programs and coinsurance
|
38,058
|
|
|
25.2
|
%
|
|
31,187
|
|
|
19.5
|
%
|
|
73,307
|
|
|
24.6
|
%
|
|
59,779
|
|
|
20.2
|
%
|
||||
Total
|
$
|
151,318
|
|
|
100.0
|
%
|
|
$
|
159,518
|
|
|
100.0
|
%
|
|
$
|
297,412
|
|
|
100.0
|
%
|
|
$
|
296,265
|
|
|
100.0
|
%
|
|
Three Months Ended June 30,
|
|
Six Months Ended June 30,
|
||||||||||||||||||||||||
|
2019
|
|
2018
|
|
2019
|
|
2018
|
||||||||||||||||||||
|
Loss and Loss Adjustment Expenses
|
|
% of Earned Premiums
|
|
Loss and Loss Adjustment Expenses
|
|
% of Earned Premiums
|
|
Loss and Loss Adjustment Expenses
|
|
% of Earned Premiums
|
|
Loss and Loss Adjustment Expenses
|
|
% of Earned Premiums
|
||||||||||||
|
($ in thousands)
|
||||||||||||||||||||||||||
Current year
|
$
|
111,494
|
|
|
73.7
|
%
|
|
$
|
117,780
|
|
|
73.8
|
%
|
|
$
|
222,395
|
|
|
74.8
|
%
|
|
$
|
215,166
|
|
|
72.6
|
%
|
Prior year development (favorable)/adverse
|
(78
|
)
|
|
(0.1
|
)%
|
|
(639
|
)
|
|
(0.4
|
)%
|
|
(129
|
)
|
|
(0.1
|
)%
|
|
(36
|
)
|
|
—
|
%
|
||||
Loss and loss adjustment expenses
|
$
|
111,416
|
|
|
73.6
|
%
|
|
$
|
117,141
|
|
|
73.4
|
%
|
|
$
|
222,266
|
|
|
74.7
|
%
|
|
$
|
215,130
|
|
|
72.6
|
%
|
|
Three Months Ended June 30,
|
|
Six Months Ended June 30,
|
||||||||||||
|
2019
|
|
2018
|
|
2019
|
|
2018
|
||||||||
|
($ in thousands)
|
||||||||||||||
Net income (loss) available to common shareholders
|
$
|
13,825
|
|
|
$
|
9,124
|
|
|
$
|
61,457
|
|
|
$
|
21,906
|
|
Preference dividends
|
4,908
|
|
|
4,908
|
|
|
9,815
|
|
|
9,815
|
|
||||
Net income (loss) before dividends
|
18,733
|
|
|
14,032
|
|
|
71,272
|
|
|
31,721
|
|
||||
Income tax expense
|
20
|
|
|
24
|
|
|
20
|
|
|
27
|
|
||||
Net foreign exchange (gains) losses
|
441
|
|
|
(548
|
)
|
|
878
|
|
|
735
|
|
||||
Net investment (income) loss
|
(23,787
|
)
|
|
(13,826
|
)
|
|
(82,141
|
)
|
|
(33,362
|
)
|
||||
Other underwriting (income) loss
|
(673
|
)
|
|
(688
|
)
|
|
(1,265
|
)
|
|
(1,389
|
)
|
||||
Underwriting income (loss)
|
(5,266
|
)
|
|
(1,006
|
)
|
|
(11,236
|
)
|
|
(2,268
|
)
|
||||
Certain corporate expenses
|
4,795
|
|
|
1,010
|
|
|
6,758
|
|
|
2,153
|
|
||||
Other underwriting income (loss)
|
673
|
|
|
688
|
|
|
1,265
|
|
|
1,389
|
|
||||
Adjusted underwriting income (loss)
|
$
|
202
|
|
|
$
|
692
|
|
|
$
|
(3,213
|
)
|
|
$
|
1,274
|
|
|
Three Months Ended June 30,
|
||||||||||||||||||||||
|
2019
|
|
2018
|
||||||||||||||||||||
|
Amount
|
|
Adjustment
|
|
As Adjusted
|
|
Amount
|
|
Adjustment
|
|
As Adjusted
|
||||||||||||
|
($ in thousands)
|
||||||||||||||||||||||
Losses and loss adjustment expenses
|
$
|
111,416
|
|
|
$
|
—
|
|
|
$
|
111,416
|
|
|
$
|
117,141
|
|
|
$
|
—
|
|
|
$
|
117,141
|
|
Acquisition expenses
|
35,417
|
|
|
—
|
|
|
35,417
|
|
|
37,967
|
|
|
—
|
|
|
37,967
|
|
||||||
General & administrative expenses (1)
|
9,751
|
|
|
(4,795
|
)
|
|
4,956
|
|
|
5,416
|
|
|
(1,010
|
)
|
|
4,406
|
|
||||||
Net premiums earned (1)(2)
|
151,318
|
|
|
673
|
|
|
151,991
|
|
|
159,518
|
|
|
688
|
|
|
160,206
|
|
||||||
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Loss ratio
|
73.6
|
%
|
|
|
|
|
|
73.4
|
%
|
|
|
|
|
||||||||||
Acquisition expense ratio
|
23.4
|
%
|
|
|
|
|
|
23.8
|
%
|
|
|
|
|
||||||||||
General & administrative expense ratio (1)
|
6.5
|
%
|
|
|
|
|
|
3.4
|
%
|
|
|
|
|
||||||||||
Combined ratio
|
103.5
|
%
|
|
|
|
|
|
100.6
|
%
|
|
|
|
|
||||||||||
Adjusted loss ratio
|
|
|
|
|
73.3
|
%
|
|
|
|
|
|
73.1
|
%
|
||||||||||
Adjusted acquisition expense ratio
|
|
|
|
|
23.3
|
%
|
|
|
|
|
|
23.7
|
%
|
||||||||||
Adjusted general & administrative expense ratio
|
|
|
|
|
3.3
|
%
|
|
|
|
|
|
2.8
|
%
|
||||||||||
Adjusted combined ratio
|
|
|
|
|
99.9
|
%
|
|
|
|
|
|
99.6
|
%
|
|
Six Months Ended June 30,
|
||||||||||||||||||||||
|
2019
|
|
2018
|
||||||||||||||||||||
|
Amount
|
|
Adjustment
|
|
As Adjusted
|
|
Amount
|
|
Adjustment
|
|
As Adjusted
|
||||||||||||
|
($ in thousands)
|
||||||||||||||||||||||
Losses and loss adjustment expenses
|
$
|
222,266
|
|
|
$
|
—
|
|
|
$
|
222,266
|
|
|
$
|
215,130
|
|
|
$
|
—
|
|
|
$
|
215,130
|
|
Acquisition expenses
|
69,391
|
|
|
—
|
|
|
69,391
|
|
|
72,930
|
|
|
—
|
|
|
72,930
|
|
||||||
General & administrative expenses (1)
|
16,991
|
|
|
(6,758
|
)
|
|
10,233
|
|
|
10,473
|
|
|
(2,153
|
)
|
|
8,320
|
|
||||||
Net premiums earned (1)(2)
|
297,412
|
|
|
1,265
|
|
|
298,677
|
|
|
296,265
|
|
|
1,389
|
|
|
297,654
|
|
||||||
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Loss ratio
|
74.7
|
%
|
|
|
|
|
|
72.6
|
%
|
|
|
|
|
||||||||||
Acquisition expense ratio
|
23.3
|
%
|
|
|
|
|
|
24.6
|
%
|
|
|
|
|
||||||||||
General & administrative expense ratio (1)
|
5.8
|
%
|
|
|
|
|
|
3.5
|
%
|
|
|
|
|
||||||||||
Combined ratio
|
103.8
|
%
|
|
|
|
|
|
100.7
|
%
|
|
|
|
|
||||||||||
Adjusted loss ratio
|
|
|
|
|
74.4
|
%
|
|
|
|
|
|
72.3
|
%
|
||||||||||
Adjusted acquisition expense ratio
|
|
|
|
|
23.2
|
%
|
|
|
|
|
|
24.5
|
%
|
||||||||||
Adjusted general & administrative expense ratio
|
|
|
|
|
3.5
|
%
|
|
|
|
|
|
2.8
|
%
|
||||||||||
Adjusted combined ratio
|
|
|
|
|
101.1
|
%
|
|
|
|
|
|
99.6
|
%
|
|
Three Months Ended June 30, 2019
|
|
Three Months Ended June 30, 2018
|
||||||||||||||||||||||||||||
|
Non-Investment Grade
|
|
Investment Grade
|
|
Cost of
U/W Collateral (4)
|
|
Total
|
|
Non-Investment Grade
|
|
Investment Grade
|
|
Cost of
U/W Collateral (4)
|
|
Total
|
||||||||||||||||
|
($ in thousands)
|
||||||||||||||||||||||||||||||
Interest income
|
$
|
32,492
|
|
|
$
|
6,104
|
|
|
$
|
—
|
|
|
$
|
38,596
|
|
|
$
|
32,378
|
|
|
$
|
4,103
|
|
|
$
|
—
|
|
|
$
|
36,481
|
|
Investment management fees - related parties
|
(4,171
|
)
|
|
(399
|
)
|
|
—
|
|
|
(4,570
|
)
|
|
(3,868
|
)
|
|
(288
|
)
|
|
—
|
|
|
(4,156
|
)
|
||||||||
Borrowing and miscellaneous other investment expenses
|
(3,809
|
)
|
|
(238
|
)
|
|
(3,564
|
)
|
|
(7,611
|
)
|
|
(3,579
|
)
|
|
(59
|
)
|
|
(2,645
|
)
|
|
(6,283
|
)
|
||||||||
Net interest income
|
24,512
|
|
|
5,467
|
|
|
(3,564
|
)
|
|
26,415
|
|
|
24,931
|
|
|
3,756
|
|
|
(2,645
|
)
|
|
26,042
|
|
||||||||
Net realized gains (losses) on investments
|
(177
|
)
|
|
966
|
|
|
—
|
|
|
789
|
|
|
(79
|
)
|
|
(1,671
|
)
|
|
—
|
|
|
(1,750
|
)
|
||||||||
Net unrealized gains (losses) on investments (1)
|
(4,511
|
)
|
|
2,786
|
|
|
—
|
|
|
(1,725
|
)
|
|
(8,594
|
)
|
|
(270
|
)
|
|
—
|
|
|
(8,864
|
)
|
||||||||
Investment performance fees - related parties
|
(1,692
|
)
|
|
—
|
|
|
—
|
|
|
(1,692
|
)
|
|
(1,602
|
)
|
|
—
|
|
|
—
|
|
|
(1,602
|
)
|
||||||||
Net investment income (loss)
|
$
|
18,132
|
|
|
$
|
9,219
|
|
|
$
|
(3,564
|
)
|
|
$
|
23,787
|
|
|
$
|
14,656
|
|
|
$
|
1,815
|
|
|
$
|
(2,645
|
)
|
|
$
|
13,826
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Average total investments (2)
|
$1,871,286
|
|
$928,850
|
|
$
|
—
|
|
|
$2,800,136
|
|
$1,830,469
|
|
$800,567
|
|
$
|
—
|
|
|
$2,631,036
|
||||||||||||
Average net assets (3)
|
$1,548,237
|
|
$924,948
|
|
$(327,619)
|
|
$2,145,566
|
|
$1,460,949
|
|
$804,513
|
|
$(284,561)
|
|
$1,980,901
|
||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Net interest income yield on average net assets (3)
|
1.6
|
%
|
|
0.6
|
%
|
|
|
|
1.2
|
%
|
|
1.7
|
%
|
|
0.5
|
%
|
|
|
|
1.3
|
%
|
||||||||||
Net investment income return on average total investments (2)
|
1.0
|
%
|
|
1.0
|
%
|
|
|
|
0.8
|
%
|
|
0.8
|
%
|
|
0.2
|
%
|
|
|
|
0.5
|
%
|
||||||||||
Net investment income return on average net assets (3)
|
1.2
|
%
|
|
1.0
|
%
|
|
(1.1
|
)%
|
|
1.1
|
%
|
|
1.0
|
%
|
|
0.2
|
%
|
|
(0.9
|
)%
|
|
0.7
|
%
|
|
Six Months Ended June 30, 2019
|
|
Six Months Ended June 30, 2018
|
||||||||||||||||||||||||||||
|
Non-Investment Grade
|
|
Investment Grade
|
|
Cost of
U/W Collateral (4)
|
|
Total
|
|
Non-Investment Grade
|
|
Investment Grade
|
|
Cost of
U/W Collateral (4)
|
|
Total
|
||||||||||||||||
|
($ in thousands)
|
||||||||||||||||||||||||||||||
Interest income
|
$
|
69,831
|
|
|
$
|
11,906
|
|
|
$
|
—
|
|
|
$
|
81,737
|
|
|
$
|
63,256
|
|
|
$
|
7,870
|
|
|
$
|
—
|
|
|
$
|
71,126
|
|
Investment management fees - related parties
|
(8,242
|
)
|
|
(737
|
)
|
|
—
|
|
|
(8,979
|
)
|
|
(7,720
|
)
|
|
(582
|
)
|
|
—
|
|
|
(8,302
|
)
|
||||||||
Borrowing and miscellaneous other investment expenses
|
(8,667
|
)
|
|
(442
|
)
|
|
(6,800
|
)
|
|
(15,909
|
)
|
|
(7,525
|
)
|
|
(194
|
)
|
|
(4,924
|
)
|
|
(12,643
|
)
|
||||||||
Net interest income
|
52,922
|
|
|
10,727
|
|
|
(6,800
|
)
|
|
56,849
|
|
|
48,011
|
|
|
7,094
|
|
|
(4,924
|
)
|
|
50,181
|
|
||||||||
Net realized gains (losses) on investments
|
1,142
|
|
|
929
|
|
|
—
|
|
|
2,071
|
|
|
(9,325
|
)
|
|
(4,066
|
)
|
|
—
|
|
|
(13,391
|
)
|
||||||||
Net unrealized gains (losses) on investments (1)
|
23,114
|
|
|
7,599
|
|
|
—
|
|
|
30,713
|
|
|
6,569
|
|
|
(5,798
|
)
|
|
—
|
|
|
771
|
|
||||||||
Investment performance fees - related parties
|
(7,492
|
)
|
|
—
|
|
|
—
|
|
|
(7,492
|
)
|
|
(4,199
|
)
|
|
—
|
|
|
—
|
|
|
(4,199
|
)
|
||||||||
Net investment income (loss)
|
$
|
69,686
|
|
|
$
|
19,255
|
|
|
$
|
(6,800
|
)
|
|
$
|
82,141
|
|
|
$
|
41,056
|
|
|
$
|
(2,770
|
)
|
|
$
|
(4,924
|
)
|
|
$
|
33,362
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Average total investments (2)
|
$1,883,565
|
|
$908,637
|
|
$
|
—
|
|
|
$2,792,202
|
|
$1,788,239
|
|
$784,975
|
|
$
|
—
|
|
|
$2,573,214
|
||||||||||||
Average net assets (3)
|
$1,527,241
|
|
$905,937
|
|
$(322,303)
|
|
$2,110,875
|
|
$1,447,414
|
|
$788,692
|
|
$(275,463)
|
|
$1,960,643
|
||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Net interest income yield on average net assets (3)
|
3.5
|
%
|
|
1.2
|
%
|
|
|
|
2.7
|
%
|
|
3.3
|
%
|
|
0.9
|
%
|
|
|
|
2.6
|
%
|
||||||||||
Net investment income return on average total investments (2)
|
3.7
|
%
|
|
2.1
|
%
|
|
|
|
2.9
|
%
|
|
2.3
|
%
|
|
(0.4
|
)%
|
|
|
|
1.3
|
%
|
||||||||||
Net investment income return on average net assets (3)
|
4.6
|
%
|
|
2.1
|
%
|
|
(2.1
|
)%
|
|
3.9
|
%
|
|
2.8
|
%
|
|
(0.4
|
)%
|
|
(1.8
|
)%
|
|
1.7
|
%
|
|
As of June 30, 2019
|
|
As of June 30, 2018
|
||||||||||||||||||||||||||||
|
Non-Investment Grade
|
|
Investment Grade
|
|
Borrowings for U/W Collateral
|
|
Total
|
|
Non-Investment Grade
|
|
Investment Grade
|
|
Borrowings for U/W Collateral
|
|
Total
|
||||||||||||||||
|
($ in thousands)
|
||||||||||||||||||||||||||||||
Average total investments - QTD
|
$
|
1,871,286
|
|
|
$
|
928,850
|
|
|
$
|
—
|
|
|
$
|
2,800,136
|
|
|
$
|
1,830,469
|
|
|
$
|
800,567
|
|
|
$
|
—
|
|
|
$
|
2,631,036
|
|
Average total investments - YTD
|
1,883,565
|
|
|
908,637
|
|
|
—
|
|
|
2,792,202
|
|
|
1,788,239
|
|
|
784,975
|
|
|
—
|
|
|
2,573,214
|
|
||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Average net assets - QTD
|
1,548,237
|
|
|
924,948
|
|
|
(327,619
|
)
|
|
2,145,566
|
|
|
1,460,949
|
|
|
804,513
|
|
|
(284,561
|
)
|
|
1,980,901
|
|
||||||||
Average net assets - YTD
|
1,527,241
|
|
|
905,937
|
|
|
(322,303
|
)
|
|
2,110,875
|
|
|
1,447,414
|
|
|
788,692
|
|
|
(275,463
|
)
|
|
1,960,643
|
|
||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Total investments
|
$
|
1,833,476
|
|
|
$
|
936,629
|
|
|
$
|
—
|
|
|
$
|
2,770,105
|
|
|
$
|
1,920,978
|
|
|
$
|
806,525
|
|
|
$
|
—
|
|
|
$
|
2,727,503
|
|
Accrued Investment Income
|
11,834
|
|
|
5,082
|
|
|
—
|
|
|
16,916
|
|
|
13,980
|
|
|
4,128
|
|
|
—
|
|
|
18,108
|
|
||||||||
Receivable for Securities Sold
|
29,367
|
|
|
58
|
|
|
—
|
|
|
29,425
|
|
|
31,352
|
|
|
35
|
|
|
—
|
|
|
31,387
|
|
||||||||
Less: Payable for Securities Purchased
|
46,412
|
|
|
4,804
|
|
|
—
|
|
|
51,216
|
|
|
132,164
|
|
|
—
|
|
|
—
|
|
|
132,164
|
|
||||||||
Less: Payable for Securities Sold Short
|
48,823
|
|
|
—
|
|
|
—
|
|
|
48,823
|
|
|
24,529
|
|
|
—
|
|
|
—
|
|
|
24,529
|
|
||||||||
Less: Revolving credit agreement borrowings
|
229,546
|
|
|
—
|
|
|
328,751
|
|
|
558,297
|
|
|
324,655
|
|
|
—
|
|
|
289,807
|
|
|
614,462
|
|
||||||||
Net assets
|
$
|
1,549,896
|
|
|
$
|
936,965
|
|
|
$
|
(328,751
|
)
|
|
$
|
2,158,110
|
|
|
$
|
1,484,962
|
|
|
$
|
810,688
|
|
|
$
|
(289,807
|
)
|
|
$
|
2,005,843
|
|
Non-investment grade borrowing ratio (1)
|
14.8
|
%
|
|
|
|
|
|
|
|
21.9
|
%
|
|
|
|
|
|
|
||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Unrealized gains on investments
|
$
|
27,068
|
|
|
$
|
8,160
|
|
|
$
|
—
|
|
|
$
|
35,228
|
|
|
$
|
43,329
|
|
|
$
|
206
|
|
|
$
|
—
|
|
|
$
|
43,535
|
|
Unrealized losses on investments
|
(109,200
|
)
|
|
(4,737
|
)
|
|
—
|
|
|
(113,937
|
)
|
|
(35,373
|
)
|
|
(13,074
|
)
|
|
—
|
|
|
(48,447
|
)
|
||||||||
Net unrealized gains (losses) on investments
|
$
|
(82,132
|
)
|
|
$
|
3,423
|
|
|
$
|
—
|
|
|
$
|
(78,709
|
)
|
|
$
|
7,956
|
|
|
$
|
(12,868
|
)
|
|
$
|
—
|
|
|
$
|
(4,912
|
)
|
|
Credit Rating (1)
|
||||||||||||||||||||||||||||||||||||||||||
June 30, 2019
|
Fair Value
|
|
AAA
|
|
AA
|
|
A
|
|
BBB
|
|
BB
|
|
B
|
|
CCC
|
|
CC
|
|
D
|
|
Not Rated
|
||||||||||||||||||||||
|
($ in thousands)
|
||||||||||||||||||||||||||||||||||||||||||
Term loan investments
|
$
|
1,042,879
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
17,628
|
|
|
$
|
699,166
|
|
|
$
|
253,637
|
|
|
$
|
2,846
|
|
|
$
|
7,054
|
|
|
$
|
62,548
|
|
Fixed maturities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||
Corporate bonds
|
470,616
|
|
|
—
|
|
|
28,399
|
|
|
70,662
|
|
|
52,762
|
|
|
25,968
|
|
|
87,760
|
|
|
165,063
|
|
|
—
|
|
|
4,303
|
|
|
35,699
|
|
|||||||||||
U.S. government and government agency bonds
|
366,314
|
|
|
—
|
|
|
366,314
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||||||||
Asset-backed securities
|
341,057
|
|
|
3,466
|
|
|
2,673
|
|
|
23,506
|
|
|
212,648
|
|
|
39,873
|
|
|
17,779
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
41,112
|
|
|||||||||||
Mortgage-backed securities
|
25,335
|
|
|
—
|
|
|
—
|
|
|
600
|
|
|
16,562
|
|
|
990
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
2,478
|
|
|
4,705
|
|
|||||||||||
Non-U.S. government and government agency bonds
|
138,145
|
|
|
2,580
|
|
|
135,565
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||||||||
Municipal government and government agency bonds
|
7,850
|
|
|
6,731
|
|
|
571
|
|
|
548
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||||||||
Total fixed income instruments
|
2,392,196
|
|
|
12,777
|
|
|
533,522
|
|
|
95,316
|
|
|
281,972
|
|
|
84,459
|
|
|
804,705
|
|
|
418,700
|
|
|
2,846
|
|
|
13,835
|
|
|
144,064
|
|
|||||||||||
Short-term investments
|
232,177
|
|
|
15,050
|
|
|
64,203
|
|
|
77,525
|
|
|
72,370
|
|
|
—
|
|
|
—
|
|
|
3,029
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||||||||
Total fixed income instruments and short-term investments
|
2,624,373
|
|
|
27,827
|
|
|
597,725
|
|
|
172,841
|
|
|
354,342
|
|
|
84,459
|
|
|
804,705
|
|
|
421,729
|
|
|
2,846
|
|
|
13,835
|
|
|
144,064
|
|
|||||||||||
Other Investments
|
24,505
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
Equities
|
121,227
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
Total
|
$
|
2,770,105
|
|
|
$
|
27,827
|
|
|
$
|
597,725
|
|
|
$
|
172,841
|
|
|
$
|
354,342
|
|
|
$
|
84,459
|
|
|
$
|
804,705
|
|
|
$
|
421,729
|
|
|
$
|
2,846
|
|
|
$
|
13,835
|
|
|
$
|
144,064
|
|
|
Credit Rating (1)
|
||||||||||||||||||||||||||||||||||||||||||||||
December 31, 2018
|
Fair Value
|
|
AAA
|
|
AA
|
|
A
|
|
BBB
|
|
BB
|
|
B
|
|
CCC
|
|
CC
|
|
C
|
|
D
|
|
Not Rated
|
||||||||||||||||||||||||
|
($ in thousands)
|
||||||||||||||||||||||||||||||||||||||||||||||
Term loan investments
|
$
|
1,000,652
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
57,844
|
|
|
$
|
677,211
|
|
|
$
|
201,116
|
|
|
$
|
2,438
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
62,043
|
|
Fixed maturities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
Corporate bonds
|
654,607
|
|
|
3,961
|
|
|
58,185
|
|
|
100,590
|
|
|
63,791
|
|
|
15,246
|
|
|
174,867
|
|
|
203,505
|
|
|
—
|
|
|
2,200
|
|
|
—
|
|
|
32,262
|
|
||||||||||||
U.S. government and government agency bonds
|
268,675
|
|
|
—
|
|
|
268,675
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||||||
Asset-backed securities
|
225,983
|
|
|
4,532
|
|
|
4,973
|
|
|
10,278
|
|
|
113,075
|
|
|
36,643
|
|
|
20,818
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
35,664
|
|
||||||||||||
Mortgage-backed securities
|
22,161
|
|
|
—
|
|
|
—
|
|
|
944
|
|
|
13,336
|
|
|
742
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
2,962
|
|
|
4,177
|
|
||||||||||||
Non-U.S. government and government agency bonds
|
136,513
|
|
|
5,173
|
|
|
122,715
|
|
|
8,625
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||||||
Municipal government and government agency bonds
|
8,231
|
|
|
6,490
|
|
|
715
|
|
|
1,026
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||||||
Total fixed income instruments
|
2,316,822
|
|
|
20,156
|
|
|
455,263
|
|
|
121,463
|
|
|
190,202
|
|
|
110,475
|
|
|
872,896
|
|
|
404,621
|
|
|
2,438
|
|
|
2,200
|
|
|
2,962
|
|
|
134,146
|
|
||||||||||||
Short-term investments
|
282,132
|
|
|
4,450
|
|
|
128,015
|
|
|
54,970
|
|
|
68,853
|
|
|
—
|
|
|
25,844
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||||||
Total fixed income instruments and short-term investments
|
2,598,954
|
|
|
24,606
|
|
|
583,278
|
|
|
176,433
|
|
|
259,055
|
|
|
110,475
|
|
|
898,740
|
|
|
404,621
|
|
|
2,438
|
|
|
2,200
|
|
|
2,962
|
|
|
134,146
|
|
||||||||||||
Other Investments
|
49,762
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
Equities
|
89,651
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
Total
|
$
|
2,738,367
|
|
|
$
|
24,606
|
|
|
$
|
583,278
|
|
|
$
|
176,433
|
|
|
$
|
259,055
|
|
|
$
|
110,475
|
|
|
$
|
898,740
|
|
|
$
|
404,621
|
|
|
$
|
2,438
|
|
|
$
|
2,200
|
|
|
$
|
2,962
|
|
|
$
|
134,146
|
|
|
Amortized Cost
|
|
Fair Value
|
|
% of Fair Value
|
|||||
|
($ in thousands)
|
|||||||||
June 30, 2019
|
|
|
|
|
|
|||||
Due in one year or less
|
$
|
226,907
|
|
|
$
|
228,401
|
|
|
8.6
|
%
|
Due after one year through five years
|
1,312,238
|
|
|
1,263,854
|
|
|
48.2
|
%
|
||
Due after five years through ten years
|
723,817
|
|
|
700,083
|
|
|
26.7
|
%
|
||
Due after ten years
|
65,780
|
|
|
65,643
|
|
|
2.5
|
%
|
||
Asset-backed securities
|
341,940
|
|
|
341,057
|
|
|
13.0
|
%
|
||
Mortgage-backed securities
|
25,453
|
|
|
25,335
|
|
|
1.0
|
%
|
||
Total
|
$
|
2,696,135
|
|
|
$
|
2,624,373
|
|
|
100.0
|
%
|
|
|
|
|
|
|
|||||
December 31, 2018
|
|
|
|
|
|
|||||
Due in one year or less
|
$
|
300,554
|
|
|
$
|
300,519
|
|
|
11.6
|
%
|
Due after one year through five years
|
1,322,982
|
|
|
1,269,540
|
|
|
48.8
|
%
|
||
Due after five years through ten years
|
823,643
|
|
|
776,937
|
|
|
29.9
|
%
|
||
Due after ten years
|
3,925
|
|
|
3,814
|
|
|
0.1
|
%
|
||
Asset-backed securities
|
233,215
|
|
|
225,983
|
|
|
8.7
|
%
|
||
Mortgage-backed securities
|
23,466
|
|
|
22,161
|
|
|
0.9
|
%
|
||
Total
|
$
|
2,707,785
|
|
|
$
|
2,598,954
|
|
|
100.0
|
%
|
|
Six Months Ended June 30,
|
||||||
|
2019
|
|
2018
|
||||
|
($ in thousands)
|
||||||
Cash and cash equivalents provided by (used for):
|
|
|
|
||||
Operating activities
|
$
|
115,887
|
|
|
$
|
92,435
|
|
Investing activities
|
35,144
|
|
|
(156,960
|
)
|
||
Financing activities
|
(145,258
|
)
|
|
57,073
|
|
||
Effects of exchange rate changes on foreign currency
|
(325
|
)
|
|
(1,407
|
)
|
||
Change in cash and cash equivalents
|
$
|
5,448
|
|
|
$
|
(8,859
|
)
|
•
|
Cash provided by operating activities for the
six
months ended
June 30, 2019
increased from the same period in
2018
. We continued to generate significant operating cash inflows in both the 2019 and 2018 second quarters, primarily driven by our premium receipts exceeding the level of our paid claims and interest income received.
|
•
|
Cash provided by investing activities for the
six
months ended
June 30, 2019
was higher than the comparative period in 2018 when cash was used for investing activities, due to an increase in sales, redemptions and maturities of investments in the first half of 2019, rather than higher net purchases in the first half of 2018.
|
•
|
Cash used for financing activities for the
six
months ended
June 30, 2019
was due to higher borrowing repayments during the first half of 2019 and lower withdrawals of borrowings, rather than cash provided by higher net proceeds from borrowings in the same period for 2018.
|
|
June 30, 2019
|
|
December 31, 2018
|
||||||||||
|
Amount
|
|
% of Total Capital
|
|
Amount
|
|
% of Total Capital
|
||||||
|
($ in thousands)
|
||||||||||||
Preference shares
|
$
|
221,175
|
|
|
18.7
|
%
|
|
$
|
220,992
|
|
|
19.9
|
%
|
Shareholders’ equity
|
961,296
|
|
|
81.3
|
%
|
|
889,608
|
|
|
80.1
|
%
|
||
Total capital
|
$
|
1,182,471
|
|
|
100.0
|
%
|
|
$
|
1,110,600
|
|
|
100.0
|
%
|
|
June 30,
|
|
December 31,
|
||||
|
2019
|
|
2018
|
||||
|
($ in thousands)
|
||||||
Borrowings to purchase investments
|
$
|
162,256
|
|
|
$
|
148,194
|
|
Borrowings to purchase collateral
|
328,750
|
|
|
307,487
|
|
||
Total secured credit facility borrowings
|
491,006
|
|
|
455,681
|
|
||
Outstanding letters of credit
|
52,533
|
|
|
52,533
|
|
|
June 30,
|
|
December 31,
|
||||
|
2019
|
|
2018
|
||||
|
($ in thousands)
|
||||||
Total investments held in trust as collateral for underwriting transactions and regulatory deposits
|
$
|
1,130,429
|
|
|
$
|
988,872
|
|
Total investments pledged for BAML credit facility
|
$
|
900,111
|
|
|
$
|
917,837
|
|
Total investments pledged for custodian bank
|
98,834
|
|
|
339,139
|
|
||
Total investments pledged for Lloyds credit facility
|
72,370
|
|
|
68,853
|
|
||
Total investments pledged for Master TRS
|
46,255
|
|
|
36,336
|
|
|
Payments Due by Period
|
||||||||||||||||||
|
Total
|
|
Less Than One Year
|
|
One Year to Less Than Three Years
|
|
Three Years to Less Than Five Years
|
|
More Than Five Years
|
||||||||||
|
($ in thousands)
|
||||||||||||||||||
June 30, 2019
|
|
||||||||||||||||||
Estimated gross payments for losses and loss adjustment expenses (1)
|
$
|
1,126,080
|
|
|
$
|
280,336
|
|
|
$
|
351,447
|
|
|
$
|
185,280
|
|
|
$
|
309,017
|
|
Revolving credit agreement borrowings (2)
|
558,297
|
|
|
558,297
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
Operating lease obligations
|
1,180
|
|
|
283
|
|
|
566
|
|
|
331
|
|
|
—
|
|
|||||
Total
|
$
|
1,685,557
|
|
|
$
|
838,916
|
|
|
$
|
352,013
|
|
|
$
|
185,611
|
|
|
$
|
309,017
|
|
December 31, 2018
|
|
||||||||||||||||||
Estimated gross payments for losses and loss adjustment expenses (1)
|
$
|
1,032,760
|
|
|
$
|
238,291
|
|
|
$
|
316,166
|
|
|
$
|
172,955
|
|
|
$
|
305,348
|
|
Revolving credit agreement borrowings (2)
|
693,917
|
|
|
693,917
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
Operating lease obligations
|
1,321
|
|
|
283
|
|
|
566
|
|
|
472
|
|
|
—
|
|
|||||
Total
|
$
|
1,727,998
|
|
|
$
|
932,491
|
|
|
$
|
316,732
|
|
|
$
|
173,427
|
|
|
$
|
305,348
|
|
•
|
foreign currency risk;
|
•
|
interest rate risk;
|
•
|
credit spread risk;
|
•
|
credit risk;
|
•
|
liquidity risk; and
|
•
|
political risk.
|
|
June 30,
|
|
December 31,
|
||||
|
2019
|
|
2018
|
||||
(U.S. dollars in thousands, except per share data)
|
|
|
|
||||
Assets, net of insurance liabilities, denominated in foreign currencies, excluding shareholders’ equity and derivatives
|
$
|
88,992
|
|
|
$
|
65,674
|
|
Shareholders’ equity denominated in foreign currencies (1)
|
(22,466
|
)
|
|
(23,501
|
)
|
||
Net assets denominated in foreign currencies
|
$
|
66,526
|
|
|
$
|
42,173
|
|
Pre-tax impact of a hypothetical 10% appreciation of the U.S. dollar against foreign currencies:
|
|
|
|
||||
Shareholders’ equity
|
$
|
(6,653
|
)
|
|
$
|
(4,217
|
)
|
Book value per diluted common share
|
$
|
(0.29
|
)
|
|
$
|
(0.19
|
)
|
Pre-tax impact of a hypothetical 10% decline of the U.S. dollar against foreign currencies:
|
|
|
|
||||
Shareholders’ equity
|
$
|
6,653
|
|
|
$
|
4,217
|
|
Book value per diluted common share
|
$
|
0.29
|
|
|
$
|
0.19
|
|
|
Interest Rate Shift in Basis Points
|
||||||||||||||||||
(U.S. dollars in millions)
|
-100
|
|
-50
|
|
0
|
|
+50
|
|
+100
|
||||||||||
June 30, 2019
|
|
|
|
|
|
|
|
|
|
||||||||||
Total fair value
|
$
|
2,805
|
|
|
$
|
2,786
|
|
|
$
|
2,770
|
|
|
$
|
2,750
|
|
|
$
|
2,733
|
|
Change from base
|
1.3
|
%
|
|
0.6
|
%
|
|
—
|
%
|
|
(0.7
|
)%
|
|
(1.3
|
)%
|
|||||
Change in unrealized value
|
$
|
35
|
|
|
$
|
16
|
|
|
$
|
—
|
|
|
$
|
(20
|
)
|
|
$
|
(37
|
)
|
|
|
|
|
|
|
|
|
|
|
||||||||||
December 31, 2018
|
|
|
|
|
|
|
|
|
|
||||||||||
Total fair value
|
$
|
2,778
|
|
|
$
|
2,758
|
|
|
$
|
2,738
|
|
|
$
|
2,719
|
|
|
$
|
2,700
|
|
Change from base
|
1.5
|
%
|
|
0.7
|
%
|
|
—
|
%
|
|
(0.7
|
)%
|
|
(1.4
|
)%
|
|||||
Change in unrealized value
|
$
|
40
|
|
|
$
|
20
|
|
|
$
|
—
|
|
|
$
|
(19
|
)
|
|
$
|
(38
|
)
|
|
Percentage Shift in Credit Spreads
|
||||||||||||||||||
(U.S. dollars in millions)
|
-50%
|
|
-10%
|
|
0
|
|
+10%
|
|
+50%
|
||||||||||
June 30, 2019
|
|
|
|
|
|
|
|
|
|
||||||||||
Total fair value
|
$
|
2,935
|
|
|
$
|
2,810
|
|
|
$
|
2,770
|
|
|
$
|
2,743
|
|
|
$
|
2,607
|
|
Change from base
|
6.0
|
%
|
|
1.4
|
%
|
|
—
|
%
|
|
(1.0
|
)%
|
|
(5.9
|
)%
|
|||||
Change in unrealized value
|
$
|
165
|
|
|
$
|
40
|
|
|
$
|
—
|
|
|
$
|
(27
|
)
|
|
$
|
(163
|
)
|
|
|
|
|
|
|
|
|
|
|
||||||||||
December 31, 2018
|
|
|
|
|
|
|
|
|
|
||||||||||
Total fair value
|
$
|
2,930
|
|
|
$
|
2,778
|
|
|
$
|
2,738
|
|
|
$
|
2,698
|
|
|
$
|
2,539
|
|
Change from base
|
6.6
|
%
|
|
1.4
|
%
|
|
—
|
%
|
|
(1.5
|
)%
|
|
(7.8
|
)%
|
|||||
Change in unrealized value
|
$
|
192
|
|
|
$
|
40
|
|
|
$
|
—
|
|
|
$
|
(40
|
)
|
|
$
|
(199
|
)
|
|
|
Incorporated by Reference
|
|
|
||||
Exhibit
Number
|
Exhibit Description
|
Form
|
|
Original Exhibit Number
|
|
Date Filed
|
|
Filed Herewith
|
10.1
|
|
|
|
|
|
|
X
|
|
10.2
|
S-8
|
|
4.2
|
|
May 9, 2019
|
|
|
|
10.3
|
|
|
|
|
|
|
X
|
|
10.4
|
|
|
|
|
|
|
X
|
|
10.5
|
|
|
|
|
|
|
X
|
|
10.6
|
|
|
|
|
|
|
X
|
|
10.7
|
|
|
|
|
|
|
X
|
|
31.1
|
|
|
|
|
|
|
X
|
|
31.2
|
|
|
|
|
|
|
X
|
|
32.1
|
|
|
|
|
|
|
X
|
|
32.2
|
|
|
|
|
|
|
X
|
|
101
|
The following financial information from Watford Holdings Ltd.’s Quarterly Report for the quarter ended June 30, 2019 formatted in XBRL: (i) Consolidated Balance Sheets at June 30, 2019 and December 31, 2018; (ii) Consolidated Statements of Income for the three and six months ended June 30, 2019 and 2018; (iii) Consolidated Statements of Comprehensive Income for the three and six months ended June 30, 2019 and 2018; (iv) Consolidated Statements of Changes in Shareholders’ Equity for the three and six months ended June 30, 2019 and 2018; (v) Consolidated Statements of Cash Flows for the three and six months ended June 30, 2019 and 2018; and (vi) Notes to Consolidated Financial Statements.
|
|
|
|
|
|
|
|
|
|
|
WATFORD HOLDINGS LTD.
|
|
|
|
(REGISTRANT)
|
|
|
|
|
|
|
|
/s/ John F. Rathgeber
|
Date:
|
August 8, 2019
|
|
John F. Rathgeber, Chief Executive Officer
|
|
|
|
|
Date:
|
August 8, 2019
|
|
/s/ Robert L. Hawley
|
|
|
|
Robert L. Hawley, Chief Financial Officer
|
Yours
si
ncerel
y,
|
|
|
|
LLOYDS BANK PLC
|
|
|
|
By:
|
/s/
Kamala
Basdeo
|
|
Name: Kamala
Basdeo
|
|
Title: A
ss
istant Manager
|
|
Transaction Execution
|
|
Category
A
|
|
B002
|
|
|
By:
|
/s/ Tina Wong
|
|
Name
: Tina Wong
|
|
T
itl
e: Assistant Manager
|
|
Transaction
Exe
cution
|
|
Category A
|
|
W011
|
WATFORD
RE LTD
|
|
|
|
By:
|
/s/
Robert Hawley
|
|
Name:
Robert Hawley
|
|
Title: CFO
|
WATFORD HOLDINGS LTD.
|
|
|
|
By:
|
/s/ Jonathan D. Levy
|
|
Name: Jonathan D. Levy
|
|
Title: President and Chief Risk Officer
|
|
|
EXECUTIVE
|
|
|
|
By:
|
/s/ John Rathgeber
|
|
Name: John Rathgeber
|
WATFORD HOLDINGS LTD.
|
|
|
|
By:
|
/s/ John Rathgeber
|
|
Name: John Rathgeber
|
|
Title: Chief Executive Officer
|
|
|
EXECUTIVE
|
|
|
|
By:
|
/s/ Jonathan D. Levy
|
|
Name: Jonathan D. Levy
|
WATFORD HOLDINGS LTD.
|
|
|
|
By:
|
/s/ John Rathgeber
|
|
Name: John Rathgeber
|
|
Title: Chief Executive Officer
|
|
|
EXECUTIVE
|
|
|
|
By:
|
/s/ Robert Hawley
|
|
Name: Robert Hawley
|
WATFORD HOLDINGS LTD.
|
|
|
|
By:
|
/s/ John Rathgeber
|
|
Name: John Rathgeber
|
|
Title: Chief Executive Officer
|
|
|
EXECUTIVE
|
|
|
|
By:
|
/s/ Laurence B. Richardson, II
|
|
Name: Laurence B. Richardson, II
|
WATFORD HOLDINGS LTD.
|
|
|
|
By:
|
/s/ John Rathgeber
|
|
Name: John Rathgeber
|
|
Title: Chief Executive Officer
|
|
|
EXECUTIVE
|
|
|
|
By:
|
/s/ Alexandre Scherer
|
|
Name: Alexandre Scherer
|
1.
|
I have reviewed this quarterly report on Form 10-Q of Watford Holdings 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 the 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)) 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.
|
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
|
c.
|
Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrants most recent fiscal quarter 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 to the audit committee of 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, summarized 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.
|
Date:
|
|
August 8, 2019
|
|
|
|
By:
|
|
/s/ John F. Rathgeber
|
Name:
|
|
John F. Rathgeber
|
Title:
|
|
Chief Executive Officer
|
1.
|
I have reviewed this quarterly report on Form 10-Q of Watford Holdings 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 the 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)) 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.
|
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
|
c.
|
Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrants most recent fiscal quarter 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 to the audit committee of 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, summarized 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.
|
Date:
|
|
August 8, 2019
|
|
|
|
By:
|
|
/s/ Robert L. Hawley
|
Name:
|
|
Robert L. Hawley
|
Title:
|
|
Chief Financial Officer
|
1.
|
the Report fully complies with the requirements of section 13(a) of the Securities Exchange Act of 1934; and
|
2.
|
the information contained in such report fairly presents, in all material respects, the financial condition and results of operations of the Company.
|
Date:
|
|
August 8, 2019
|
|
|
|
By:
|
|
/s/ John F. Rathgeber
|
Name:
|
|
John F. Rathgeber
|
Title:
|
|
Chief Executive Officer
|
1.
|
the Report fully complies with the requirements of section 13(a) of the Securities Exchange Act of 1934; and
|
2.
|
the information contained in such report fairly presents, in all material respects, the financial condition and results of operations of the Company.
|
Date:
|
|
August 8, 2019
|
|
|
|
By:
|
|
/s/ Robert L. Hawley
|
Name:
|
|
Robert L. Hawley
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Title:
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Chief Financial Officer
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