|
QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
|
BERMUDA
|
N/A
|
(State or other jurisdiction of incorporation or organization)
|
(I.R.S. Employer Identification No.)
|
Large accelerated filer
|
þ
|
|
Accelerated filer
|
¨
|
|
Non-accelerated filer
|
¨
|
|
Smaller reporting company
|
¨
|
|
Emerging growth company
|
¨
|
|
|
|
Page
|
PART I
|
|
|
|
|
|
Item 1.
|
||
Item 2.
|
||
Item 3.
|
||
Item 4.
|
||
|
|
|
PART II
|
|
|
|
|
|
Item 1.
|
||
Item 1A.
|
||
Item 2.
|
||
Item 6.
|
CONSOLIDATED FINANCIAL STATEMENTS
|
Page
|
|
March 31,
2018 |
|
December 31,
2017 |
||||
|
(expressed in thousands of U.S. dollars, except share data)
|
||||||
ASSETS
|
|
|
|
||||
Short-term investments, trading, at fair value
|
$
|
214,526
|
|
|
$
|
180,211
|
|
Fixed maturities, trading, at fair value
|
6,338,962
|
|
|
5,696,073
|
|
||
Fixed maturities, available-for-sale, at fair value (amortized cost: 2018 — $192,859; 2017 — $208,097)
|
194,936
|
|
|
210,285
|
|
||
Equities, trading, at fair value
|
140,476
|
|
|
106,603
|
|
||
Other investments, at fair value
|
1,129,685
|
|
|
913,392
|
|
||
Other investments, at cost
|
117,889
|
|
|
125,621
|
|
||
Total investments
|
8,136,474
|
|
|
7,232,185
|
|
||
Cash and cash equivalents
|
652,827
|
|
|
955,150
|
|
||
Restricted cash and cash equivalents
|
483,136
|
|
|
257,686
|
|
||
Funds held - directly managed
|
1,176,913
|
|
|
1,179,940
|
|
||
Premiums receivable
|
535,041
|
|
|
425,702
|
|
||
Deferred tax assets
|
13,429
|
|
|
13,001
|
|
||
Prepaid reinsurance premiums
|
295,988
|
|
|
245,101
|
|
||
Reinsurance balances recoverable
|
1,479,960
|
|
|
1,478,806
|
|
||
Reinsurance balances recoverable, at fair value
|
888,736
|
|
|
542,224
|
|
||
Funds held by reinsured companies
|
814,777
|
|
|
175,383
|
|
||
Deferred acquisition costs
|
83,541
|
|
|
64,984
|
|
||
Goodwill and intangible assets
|
179,363
|
|
|
180,589
|
|
||
Other assets
|
871,467
|
|
|
831,320
|
|
||
Assets held for sale
|
—
|
|
|
24,351
|
|
||
TOTAL ASSETS
|
$
|
15,611,652
|
|
|
$
|
13,606,422
|
|
|
|
|
|
||||
LIABILITIES
|
|
|
|
||||
Losses and loss adjustment expenses
|
$
|
5,466,617
|
|
|
$
|
5,603,419
|
|
Losses and loss adjustment expenses, at fair value
|
3,519,453
|
|
|
1,794,669
|
|
||
Policy benefits for life and annuity contracts
|
116,849
|
|
|
117,207
|
|
||
Unearned premiums
|
712,170
|
|
|
583,197
|
|
||
Insurance and reinsurance balances payable
|
356,483
|
|
|
236,697
|
|
||
Deferred tax liabilities
|
14,807
|
|
|
15,262
|
|
||
Debt obligations
|
860,507
|
|
|
646,689
|
|
||
Other liabilities
|
974,688
|
|
|
972,457
|
|
||
Liabilities held for sale
|
—
|
|
|
11,271
|
|
||
TOTAL LIABILITIES
|
12,021,574
|
|
|
9,980,868
|
|
||
|
|
|
|
||||
COMMITMENTS AND CONTINGENCIES
|
|
|
|
||||
|
|
|
|
||||
REDEEMABLE NONCONTROLLING INTEREST
|
480,767
|
|
|
479,606
|
|
||
|
|
|
|
||||
SHAREHOLDERS’ EQUITY
|
|
|
|
||||
Share capital authorized, issued and fully paid, par value $1 each (authorized 2018 and 2017: 156,000,000):
|
|
|
|
||||
Ordinary shares (issued and outstanding 2018: 16,412,892; 2017: 16,402,279)
|
16,413
|
|
|
16,402
|
|
||
Non-voting convertible ordinary shares:
|
|
|
|
||||
Series C (issued and outstanding 2018 and 2017: 2,599,672)
|
2,600
|
|
|
2,600
|
|
||
Series E (issued and outstanding 2018 and 2017: 404,771)
|
405
|
|
|
405
|
|
||
Series C Preferred Shares (issued 2018 and 2017: 388,571)
|
389
|
|
|
389
|
|
||
Treasury shares at cost (Preferred shares 2018 and 2017: 388,571)
|
(421,559
|
)
|
|
(421,559
|
)
|
||
Additional paid-in capital
|
1,400,624
|
|
|
1,395,067
|
|
||
Accumulated other comprehensive income
|
11,403
|
|
|
10,468
|
|
||
Retained earnings
|
2,089,760
|
|
|
2,132,912
|
|
||
Total Enstar Group Limited Shareholders’ Equity
|
3,100,035
|
|
|
3,136,684
|
|
||
Noncontrolling interest
|
9,276
|
|
|
9,264
|
|
||
TOTAL SHAREHOLDERS’ EQUITY
|
3,109,311
|
|
|
3,145,948
|
|
||
TOTAL LIABILITIES, REDEEMABLE NONCONTROLLING INTEREST AND SHAREHOLDERS’ EQUITY
|
$
|
15,611,652
|
|
|
$
|
13,606,422
|
|
|
Three Months Ended
March 31, |
||||||
|
2018
|
|
2017
|
||||
|
(expressed in thousands of U.S. dollars)
|
||||||
NET EARNINGS (LOSSES)
|
$
|
(40,428
|
)
|
|
$
|
72,105
|
|
Other comprehensive income, net of tax:
|
|
|
|
||||
Unrealized holding gains (losses) on fixed income investments arising during the period
|
(346
|
)
|
|
686
|
|
||
Reclassification adjustment for net realized (losses) gains included in net earnings
|
30
|
|
|
(149
|
)
|
||
Unrealized gains (losses) arising during the period, net of reclassification adjustment
|
(316
|
)
|
|
537
|
|
||
Currency translation adjustment
|
1,225
|
|
|
1,942
|
|
||
Total other comprehensive income
|
909
|
|
|
2,479
|
|
||
Comprehensive income (loss)
|
(39,519
|
)
|
|
74,584
|
|
||
Comprehensive income attributable to noncontrolling interest
|
(756
|
)
|
|
(18,082
|
)
|
||
COMPREHENSIVE INCOME (LOSS) ATTRIBUTABLE TO ENSTAR GROUP LIMITED
|
$
|
(40,275
|
)
|
|
$
|
56,502
|
|
|
Three Months Ended
March 31, |
||||||
|
2018
|
|
2017
|
||||
|
(expressed in thousands of U.S. dollars)
|
||||||
Share Capital — Ordinary Shares
|
|
|
|
||||
Balance, beginning of period
|
$
|
16,402
|
|
|
$
|
16,175
|
|
Issue of shares
|
11
|
|
|
14
|
|
||
Conversion of Series C Non-Voting Convertible Ordinary Shares
|
—
|
|
|
192
|
|
||
Balance, end of period
|
$
|
16,413
|
|
|
$
|
16,381
|
|
Share Capital — Series C Non-Voting Convertible Ordinary Shares
|
|
|
|
||||
Balance, beginning of period
|
$
|
2,600
|
|
|
$
|
2,792
|
|
Conversion to Ordinary Shares
|
—
|
|
|
(192
|
)
|
||
Balance, end of period
|
$
|
2,600
|
|
|
$
|
2,600
|
|
Share Capital — Series E Non-Voting Convertible Ordinary Shares
|
|
|
|
||||
Balance, beginning and end of period
|
$
|
405
|
|
|
$
|
405
|
|
Share Capital — Series C Convertible Participating Non-Voting Perpetual Preferred Stock
|
|
|
|
||||
Balance, beginning and end of period
|
$
|
389
|
|
|
$
|
389
|
|
Treasury Shares
|
|
|
|
||||
Balance, beginning and end of period
|
$
|
(421,559
|
)
|
|
$
|
(421,559
|
)
|
Additional Paid-in Capital
|
|
|
|
||||
Balance, beginning of period
|
$
|
1,395,067
|
|
|
$
|
1,380,109
|
|
Issue of shares and warrants
|
(94
|
)
|
|
(511
|
)
|
||
Amortization of share-based compensation
|
5,651
|
|
|
2,823
|
|
||
Balance, end of period
|
$
|
1,400,624
|
|
|
$
|
1,382,421
|
|
Accumulated Other Comprehensive Income (Loss)
|
|
|
|
||||
Balance, beginning of period
|
$
|
10,468
|
|
|
$
|
(23,549
|
)
|
Currency translation adjustment
|
|
|
|
||||
Balance, beginning of period
|
11,171
|
|
|
(18,993
|
)
|
||
Change in currency translation adjustment
|
1,229
|
|
|
1,933
|
|
||
Balance, end of period
|
12,400
|
|
|
(17,060
|
)
|
||
Defined benefit pension liability
|
|
|
|
||||
Balance, beginning and end of period
|
(3,143
|
)
|
|
(4,644
|
)
|
||
Unrealized gains (losses) on investments
|
|
|
|
||||
Balance, beginning of period
|
2,440
|
|
|
88
|
|
||
Change in unrealized gains (losses) on investments
|
(294
|
)
|
|
(111
|
)
|
||
Balance, end of period
|
2,146
|
|
|
(23
|
)
|
||
Balance, end of period
|
$
|
11,403
|
|
|
$
|
(21,727
|
)
|
Retained Earnings
|
|
|
|
||||
Balance, beginning of period
|
$
|
2,132,912
|
|
|
$
|
1,847,550
|
|
Net earnings (losses) attributable to Enstar Group Limited
|
(41,210
|
)
|
|
54,680
|
|
||
Accretion of redeemable noncontrolling interests to redemption value
|
(369
|
)
|
|
(1,156
|
)
|
||
Cumulative effect of change in accounting principle
|
(1,573
|
)
|
|
4,882
|
|
||
Balance, end of period
|
$
|
2,089,760
|
|
|
$
|
1,905,956
|
|
Noncontrolling Interest (excludes Redeemable Noncontrolling Interest)
|
|
|
|
||||
Balance, beginning of period
|
$
|
9,264
|
|
|
$
|
8,520
|
|
Contribution of capital
|
49
|
|
|
—
|
|
||
Net earnings (loss) attributable to noncontrolling interest
|
(37
|
)
|
|
697
|
|
||
Balance, end of period
|
$
|
9,276
|
|
|
$
|
9,217
|
|
|
Three Months Ended
March 31, |
||||||
|
2018
|
|
2017
|
||||
|
(expressed in thousands of U.S. dollars)
|
||||||
OPERATING ACTIVITIES:
|
|
|
|
||||
Net earnings (losses)
|
$
|
(40,428
|
)
|
|
$
|
72,105
|
|
Net earnings from discontinued operations
|
—
|
|
|
(371
|
)
|
||
Adjustments to reconcile net earnings (losses) to cash flows used in operating activities:
|
|
|
|
||||
Realized losses (gains) on sale of investments
|
6,074
|
|
|
329
|
|
||
Unrealized losses (gains) on investments
|
106,128
|
|
|
(55,511
|
)
|
||
Other non-cash items
|
6,363
|
|
|
1,225
|
|
||
Depreciation and other amortization
|
6,703
|
|
|
9,302
|
|
||
Net change in trading securities held on behalf of policyholders
|
—
|
|
|
83
|
|
||
Sales and maturities of trading securities
|
864,352
|
|
|
1,073,433
|
|
||
Purchases of trading securities
|
(1,672,449
|
)
|
|
(2,275,239
|
)
|
||
Changes in:
|
|
|
|
||||
Reinsurance balances recoverable
|
(347,798
|
)
|
|
(540,939
|
)
|
||
Funds held by reinsured companies
|
(636,367
|
)
|
|
(221,277
|
)
|
||
Losses and loss adjustment expenses
|
1,587,609
|
|
|
1,769,233
|
|
||
Policy benefits for life and annuity contracts
|
(2,980
|
)
|
|
(1,972
|
)
|
||
Insurance and reinsurance balances payable
|
119,830
|
|
|
36,508
|
|
||
Unearned premiums
|
128,973
|
|
|
30,607
|
|
||
Other operating assets and liabilities
|
(200,224
|
)
|
|
8,345
|
|
||
Net cash flows used in operating activities
|
(74,214
|
)
|
|
(94,139
|
)
|
||
INVESTING ACTIVITIES:
|
|
|
|
||||
Sales and maturities of available-for-sale securities
|
22,700
|
|
|
24,724
|
|
||
Purchase of available-for-sale securities
|
(5,039
|
)
|
|
(7,188
|
)
|
||
Purchase of other investments
|
(275,862
|
)
|
|
(38,237
|
)
|
||
Redemption of other investments
|
32,276
|
|
|
69,326
|
|
||
Other investing activities
|
(4,304
|
)
|
|
(4,981
|
)
|
||
Net cash flows provided by (used in) investing activities
|
(230,229
|
)
|
|
43,644
|
|
||
FINANCING ACTIVITIES:
|
|
|
|
||||
Contribution by noncontrolling interest
|
49
|
|
|
—
|
|
||
Receipt of loans
|
345,400
|
|
|
437,100
|
|
||
Repayment of loans
|
(132,938
|
)
|
|
(381,000
|
)
|
||
Net cash flows provided by financing activities
|
212,511
|
|
|
56,100
|
|
||
EFFECT OF EXCHANGE RATE CHANGES ON FOREIGN CURRENCY CASH AND CASH EQUIVALENTS
|
15,059
|
|
|
(10,275
|
)
|
||
NET DECREASE IN CASH AND CASH EQUIVALENTS
|
(76,873
|
)
|
|
(4,670
|
)
|
||
CASH AND CASH EQUIVALENTS, BEGINNING OF PERIOD
|
1,212,836
|
|
|
1,318,645
|
|
||
CASH AND CASH EQUIVALENTS, END OF PERIOD
|
$
|
1,135,963
|
|
|
$
|
1,313,975
|
|
|
|
|
|
||||
Supplemental Cash Flow Information:
|
|
|
|
||||
Income taxes paid, net of refunds
|
$
|
2,461
|
|
|
$
|
3,917
|
|
Interest paid
|
$
|
10,530
|
|
|
$
|
6,385
|
|
|
|
|
|
||||
Reconciliation to Consolidated Balance Sheets:
|
|
|
|
||||
Cash and cash equivalents
|
652,827
|
|
|
921,562
|
|
||
Restricted cash and cash equivalents
|
483,136
|
|
|
392,413
|
|
||
Cash, cash equivalents and restricted cash
|
$
|
1,135,963
|
|
|
$
|
1,313,975
|
|
•
|
liability for losses and loss adjustment expenses ("LAE");
|
•
|
liability for policy benefits for life contracts;
|
•
|
reinsurance balances recoverable;
|
•
|
gross and net premiums written and net premiums earned;
|
•
|
impairment charges, including other-than-temporary impairments on investment securities classified as available-for-sale, and impairments on goodwill, intangible assets and deferred charges;
|
•
|
fair value measurements of investments;
|
•
|
fair value estimates associated with accounting for acquisitions;
|
•
|
fair value estimates associated with loss portfolio transfer reinsurance agreements for which we have elected the fair value option; and
|
•
|
redeemable noncontrolling interests.
|
|
December 31,
2017 |
||
Assets:
|
|
||
Fixed maturities, trading, at fair value
|
$
|
20,770
|
|
Equities, trading, at fair value
|
765
|
|
|
Cash and cash equivalents
|
6,314
|
|
|
Restricted cash and cash equivalents
|
13
|
|
|
Reinsurance balances recoverable
|
1,728
|
|
|
Other assets
|
269
|
|
|
Assets of businesses held for sale
|
29,859
|
|
|
Less:
Accrual of loss on sale
|
(5,508
|
)
|
|
Total assets held for sale
|
$
|
24,351
|
|
|
|
||
Liabilities:
|
|
||
Policy benefits for life and annuity contracts
|
$
|
10,666
|
|
Other liabilities
|
605
|
|
|
Total liabilities held for sale
|
$
|
11,271
|
|
|
Three Months Ended
March 31, |
||
|
2017
|
||
Operating activities
|
$
|
15,463
|
|
Investing activities
|
1,237
|
|
|
Change in cash and cash equivalents
|
$
|
16,700
|
|
|
March 31,
2018 |
|
December 31,
2017 |
||||
U.S. government and agency
|
$
|
470,639
|
|
|
$
|
554,036
|
|
Non-U.S. government
|
1,000,302
|
|
|
607,132
|
|
||
Corporate
|
3,772,357
|
|
|
3,363,060
|
|
||
Municipal
|
95,740
|
|
|
100,221
|
|
||
Residential mortgage-backed
|
262,498
|
|
|
288,713
|
|
||
Commercial mortgage-backed
|
407,088
|
|
|
421,548
|
|
||
Asset-backed
|
544,864
|
|
|
541,574
|
|
||
Total fixed maturity and short-term investments
|
6,553,488
|
|
|
5,876,284
|
|
||
Equities — U.S.
|
102,932
|
|
|
106,363
|
|
||
Equities — International
|
37,544
|
|
|
240
|
|
||
|
$
|
6,693,964
|
|
|
$
|
5,982,887
|
|
As at March 31, 2018
|
|
Amortized
Cost
|
|
Fair Value
|
|
% of Total
Fair
Value
|
|||||
One year or less
|
|
$
|
417,571
|
|
|
$
|
417,566
|
|
|
6.4
|
%
|
More than one year through two years
|
|
550,136
|
|
|
547,148
|
|
|
8.3
|
%
|
||
More than two years through five years
|
|
1,534,602
|
|
|
1,524,622
|
|
|
23.3
|
%
|
||
More than five years through ten years
|
|
1,468,068
|
|
|
1,461,882
|
|
|
22.3
|
%
|
||
More than ten years
|
|
1,327,767
|
|
|
1,387,820
|
|
|
21.2
|
%
|
||
Residential mortgage-backed
|
|
259,309
|
|
|
262,498
|
|
|
4.0
|
%
|
||
Commercial mortgage-backed
|
|
417,110
|
|
|
407,088
|
|
|
6.2
|
%
|
||
Asset-backed
|
|
540,310
|
|
|
544,864
|
|
|
8.3
|
%
|
||
|
|
$
|
6,514,873
|
|
|
$
|
6,553,488
|
|
|
100.0
|
%
|
As at March 31, 2018
|
|
Amortized
Cost
|
|
Gross
Unrealized
Gains
|
|
Gross
Unrealized
Losses
Non-OTTI
|
|
Fair
Value
|
||||||||
U.S. government and agency
|
|
$
|
2,429
|
|
|
$
|
—
|
|
|
$
|
(13
|
)
|
|
$
|
2,416
|
|
Non-U.S. government
|
|
81,983
|
|
|
1,419
|
|
|
(416
|
)
|
|
82,986
|
|
||||
Corporate
|
|
104,665
|
|
|
2,058
|
|
|
(947
|
)
|
|
105,776
|
|
||||
Municipal
|
|
3,760
|
|
|
4
|
|
|
(28
|
)
|
|
3,736
|
|
||||
Residential mortgage-backed
|
|
22
|
|
|
—
|
|
|
—
|
|
|
22
|
|
||||
|
|
$
|
192,859
|
|
|
$
|
3,481
|
|
|
$
|
(1,404
|
)
|
|
$
|
194,936
|
|
As at December 31, 2017
|
|
Amortized
Cost
|
|
Gross
Unrealized
Gains
|
|
Gross
Unrealized
Losses
Non-OTTI
|
|
Fair
Value
|
||||||||
U.S. government and agency
|
|
$
|
4,210
|
|
|
$
|
—
|
|
|
$
|
(23
|
)
|
|
$
|
4,187
|
|
Non-U.S. government
|
|
84,776
|
|
|
1,249
|
|
|
(588
|
)
|
|
85,437
|
|
||||
Corporate
|
|
113,561
|
|
|
2,436
|
|
|
(876
|
)
|
|
115,121
|
|
||||
Municipal
|
|
5,146
|
|
|
8
|
|
|
(18
|
)
|
|
5,136
|
|
||||
Residential mortgage-backed
|
|
31
|
|
|
—
|
|
|
—
|
|
|
31
|
|
||||
Asset-backed
|
|
373
|
|
|
—
|
|
|
—
|
|
|
373
|
|
||||
|
|
$
|
208,097
|
|
|
$
|
3,693
|
|
|
$
|
(1,505
|
)
|
|
$
|
210,285
|
|
As at March 31, 2018
|
|
Amortized
Cost
|
|
Fair
Value
|
|
% of Total
Fair
Value
|
|||||
One year or less
|
|
$
|
37,572
|
|
|
$
|
37,357
|
|
|
19.2
|
%
|
More than one year through two years
|
|
16,731
|
|
|
16,693
|
|
|
8.6
|
%
|
||
More than two years through five years
|
|
48,971
|
|
|
49,426
|
|
|
25.3
|
%
|
||
More than five years through ten years
|
|
52,467
|
|
|
53,569
|
|
|
27.5
|
%
|
||
More than ten years
|
|
37,096
|
|
|
37,869
|
|
|
19.4
|
%
|
||
Residential mortgage-backed
|
|
22
|
|
|
22
|
|
|
—
|
%
|
||
|
|
$
|
192,859
|
|
|
$
|
194,936
|
|
|
100.0
|
%
|
|
|
12 Months or Greater
|
|
Less Than 12 Months
|
|
Total
|
||||||||||||||||||
As at March 31, 2018
|
|
Fair
Value
|
|
Gross Unrealized
Losses
|
|
Fair
Value
|
|
Gross Unrealized
Losses
|
|
Fair
Value
|
|
Gross Unrealized
Losses
|
||||||||||||
Fixed maturity investments, at fair value
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
U.S. government and agency
|
|
$
|
2,288
|
|
|
$
|
(12
|
)
|
|
$
|
127
|
|
|
$
|
(1
|
)
|
|
$
|
2,415
|
|
|
$
|
(13
|
)
|
Non-U.S. government
|
|
6,191
|
|
|
(321
|
)
|
|
9,836
|
|
|
(95
|
)
|
|
16,027
|
|
|
(416
|
)
|
||||||
Corporate
|
|
8,628
|
|
|
(678
|
)
|
|
38,795
|
|
|
(269
|
)
|
|
47,423
|
|
|
(947
|
)
|
||||||
Municipal
|
|
368
|
|
|
(7
|
)
|
|
3,123
|
|
|
(21
|
)
|
|
3,491
|
|
|
(28
|
)
|
||||||
Total fixed maturity and short-term investments
|
|
$
|
17,475
|
|
|
$
|
(1,018
|
)
|
|
$
|
51,881
|
|
|
$
|
(386
|
)
|
|
$
|
69,356
|
|
|
$
|
(1,404
|
)
|
|
|
12 Months or Greater
|
|
Less Than 12 Months
|
|
Total
|
||||||||||||||||||
As at December 31, 2017
|
|
Fair
Value
|
|
Gross Unrealized
Losses
|
|
Fair
Value
|
|
Gross Unrealized
Losses
|
|
Fair
Value
|
|
Gross Unrealized
Losses
|
||||||||||||
Fixed maturity investments, at fair value
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
U.S. government and agency
|
|
$
|
2,344
|
|
|
$
|
(16
|
)
|
|
$
|
1,842
|
|
|
$
|
(7
|
)
|
|
$
|
4,186
|
|
|
$
|
(23
|
)
|
Non-U.S. government
|
|
11,101
|
|
|
(373
|
)
|
|
20,965
|
|
|
(215
|
)
|
|
32,066
|
|
|
(588
|
)
|
||||||
Corporate
|
|
9,177
|
|
|
(807
|
)
|
|
24,200
|
|
|
(69
|
)
|
|
33,377
|
|
|
(876
|
)
|
||||||
Municipal
|
|
369
|
|
|
(5
|
)
|
|
3,605
|
|
|
(13
|
)
|
|
3,974
|
|
|
(18
|
)
|
||||||
Total fixed maturity and short-term investments
|
|
$
|
22,991
|
|
|
$
|
(1,201
|
)
|
|
$
|
50,612
|
|
|
$
|
(304
|
)
|
|
$
|
73,603
|
|
|
$
|
(1,505
|
)
|
|
|
Amortized
Cost
|
|
Fair Value
|
|
% of Total
Investments
|
|
AAA Rated
|
|
AA Rated
|
|
A Rated
|
|
BBB
Rated
|
|
Non-
Investment
Grade
|
|
Not Rated
|
|||||||||||||||||
Fixed maturity and short-term investments
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
U.S. government and agency
|
|
$
|
478,946
|
|
|
$
|
473,055
|
|
|
7.0
|
%
|
|
$
|
472,466
|
|
|
$
|
589
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
Non-U.S. government
|
|
1,044,537
|
|
|
1,083,288
|
|
|
16.1
|
%
|
|
323,183
|
|
|
609,204
|
|
|
84,316
|
|
|
60,547
|
|
|
6,038
|
|
|
—
|
|
||||||||
Corporate
|
|
3,867,651
|
|
|
3,878,133
|
|
|
57.4
|
%
|
|
168,725
|
|
|
416,632
|
|
|
2,037,741
|
|
|
1,074,943
|
|
|
178,958
|
|
|
1,134
|
|
||||||||
Municipal
|
|
99,846
|
|
|
99,476
|
|
|
1.5
|
%
|
|
19,574
|
|
|
63,724
|
|
|
12,778
|
|
|
3,400
|
|
|
—
|
|
|
—
|
|
||||||||
Residential mortgage-backed
|
|
259,331
|
|
|
262,520
|
|
|
3.9
|
%
|
|
144,650
|
|
|
5,774
|
|
|
14,437
|
|
|
657
|
|
|
96,079
|
|
|
923
|
|
||||||||
Commercial mortgage-backed
|
|
417,110
|
|
|
407,088
|
|
|
6.0
|
%
|
|
211,536
|
|
|
47,498
|
|
|
72,257
|
|
|
53,254
|
|
|
7,619
|
|
|
14,924
|
|
||||||||
Asset-backed
|
|
540,310
|
|
|
544,864
|
|
|
8.1
|
%
|
|
264,078
|
|
|
41,558
|
|
|
76,995
|
|
|
71,665
|
|
|
89,278
|
|
|
1,290
|
|
||||||||
Total
|
|
$
|
6,707,731
|
|
|
$
|
6,748,424
|
|
|
100.0
|
%
|
|
$
|
1,604,212
|
|
|
$
|
1,184,979
|
|
|
$
|
2,298,524
|
|
|
$
|
1,264,466
|
|
|
$
|
377,972
|
|
|
$
|
18,271
|
|
% of total fair value
|
|
|
|
|
|
|
|
23.8
|
%
|
|
17.6
|
%
|
|
34.0
|
%
|
|
18.7
|
%
|
|
5.6
|
%
|
|
0.3
|
%
|
|
|
March 31,
2018 |
|
December 31,
2017 |
||||
Private equities and private equity funds
|
|
$
|
246,151
|
|
|
$
|
289,556
|
|
Fixed income funds
|
|
230,174
|
|
|
229,999
|
|
||
Hedge funds
|
|
172,446
|
|
|
63,773
|
|
||
Equity funds
|
|
399,980
|
|
|
249,475
|
|
||
CLO equities
|
|
56,346
|
|
|
56,765
|
|
||
CLO equity fund
|
|
11,910
|
|
|
12,840
|
|
||
Private credit funds
|
|
4,419
|
|
|
10,156
|
|
||
Call options on equity
|
|
7,480
|
|
|
—
|
|
||
Other
|
|
779
|
|
|
828
|
|
||
|
|
$
|
1,129,685
|
|
|
$
|
913,392
|
|
•
|
Private equities and private equity funds
invest primarily in the financial services industry. All of our investments in private equities and private equity funds are subject to restrictions on redemptions and sales that are determined by the governing documents and limit our ability to liquidate those investments. These restrictions have been in place since the dates of our initial investments.
|
•
|
Fixed income funds
comprise a number of positions in diversified fixed income funds that are managed by third-party managers. Underlying investments vary from high-grade corporate bonds to non-investment grade senior secured loans and bonds, but are generally invested in liquid fixed income markets. These funds have regularly published prices. The funds have liquidity terms that vary from daily up to
45
days notice.
|
•
|
Hedge funds
invest in a diversified portfolio of debt and equity securities. The fixed income hedge funds have imposed lock-up periods of up to
three
years from the time of initial investment. Once eligible, redemptions are permitted quarterly with
90
days’ notice. The majority of our portfolio of fixed income hedge funds are
|
•
|
Equity funds
invest in a diversified portfolio of U.S. and international publicly-traded equity securities. The funds have liquidity terms that vary from daily up to quarterly.
|
•
|
CLO equities
comprise investments in the equity tranches of term-financed securitizations of diversified pools of corporate bank loans. CLO equities denote direct investments by us in these securities.
|
•
|
CLO equity fund
invests primarily in the equity tranches of term-financed securitizations of diversified pools of corporate bank loans. The fund has a fair value of
$11.9 million
and is eligible for redemption in 2018.
|
•
|
Private credit funds
invest in direct senior or collateralized loans. The investments are subject to restrictions on redemption and sales that are determined by the governing documents and limit our ability to liquidate our positions in the funds.
|
•
|
Call options on equities
comprise directly held options to purchase the common equity of publicly traded corporations.
|
•
|
Other
primarily comprises a fund that provides loans to educational institutions throughout the United States and its territories.
|
|
|
March 31, 2018
|
|
December 31, 2017
|
||||||||||||||||||||
|
|
Number of Contracts
|
|
Carrying
Value |
|
Face Value (Death Benefits)
|
|
Number of Contracts
|
|
Carrying
Value |
|
Face Value (Death Benefits)
|
||||||||||||
Remaining Life Expectancy of Insureds:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
0 – 1 year
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
1 – 2 years
|
|
9
|
|
|
11,540
|
|
|
21,340
|
|
|
11
|
|
|
17,655
|
|
|
29,471
|
|
||||||
2 – 3 years
|
|
12
|
|
|
10,505
|
|
|
24,180
|
|
|
10
|
|
|
7,524
|
|
|
19,906
|
|
||||||
3 – 4 years
|
|
16
|
|
|
10,688
|
|
|
22,728
|
|
|
20
|
|
|
16,119
|
|
|
32,411
|
|
||||||
4 – 5 years
|
|
15
|
|
|
14,982
|
|
|
34,130
|
|
|
13
|
|
|
13,960
|
|
|
32,730
|
|
||||||
Thereafter
|
|
154
|
|
|
70,174
|
|
|
386,654
|
|
|
162
|
|
|
70,363
|
|
|
390,843
|
|
||||||
Total
|
|
$
|
206
|
|
|
$
|
117,889
|
|
|
$
|
489,032
|
|
|
$
|
216
|
|
|
$
|
125,621
|
|
|
$
|
505,361
|
|
|
|
Three Months Ended
March 31, |
||||||
|
|
2018
|
|
2017
|
||||
Fixed maturity investments
|
|
$
|
43,888
|
|
|
$
|
30,330
|
|
Short-term investments and cash and cash equivalents
|
|
2,082
|
|
|
2,640
|
|
||
Funds held
|
|
3,129
|
|
|
39
|
|
||
Funds held - directly managed
|
|
8,626
|
|
|
7,002
|
|
||
Investment income from fixed maturities and cash and cash equivalents
|
|
57,725
|
|
|
40,011
|
|
||
Equity securities
|
|
1,490
|
|
|
726
|
|
||
Other investments
|
|
3,314
|
|
|
3,509
|
|
||
Life settlements and other
|
|
6,659
|
|
|
6,896
|
|
||
Investment income from equities and other investments
|
|
11,463
|
|
|
11,131
|
|
||
Gross investment income
|
|
69,188
|
|
|
51,142
|
|
||
Investment expenses
|
|
(2,869
|
)
|
|
(2,403
|
)
|
||
Net investment income
|
|
$
|
66,319
|
|
|
$
|
48,739
|
|
|
|
Three Months Ended
March 31, |
||||||
|
|
2018
|
|
2017
|
||||
Net realized gains (losses) on sale:
|
|
|
|
|
||||
Gross realized gains on fixed maturity securities, available-for-sale
|
|
7
|
|
|
160
|
|
||
Gross realized losses on fixed maturity securities, available-for-sale
|
|
(37
|
)
|
|
(11
|
)
|
||
Net realized losses on fixed maturity securities, trading
|
|
(6,947
|
)
|
|
(1,052
|
)
|
||
Net realized gains on equity securities, trading
|
|
903
|
|
|
574
|
|
||
Net realized gains (losses) on funds held - directly managed
|
|
96
|
|
|
(3,853
|
)
|
||
Total net realized gains (losses) on sale
|
|
$
|
(5,978
|
)
|
|
$
|
(4,182
|
)
|
Net unrealized gains (losses):
|
|
|
|
|
||||
Fixed maturity securities, trading
|
|
$
|
(100,301
|
)
|
|
$
|
23,316
|
|
Equity securities, trading
|
|
3,835
|
|
|
8,686
|
|
||
Other Investments
|
|
(9,662
|
)
|
|
23,509
|
|
||
Change in fair value of embedded derivative on funds held – directly managed
|
|
(27,881
|
)
|
|
6,928
|
|
||
Change in value of fair value option on funds held - directly managed
|
|
(3,043
|
)
|
|
262
|
|
||
Total net unrealized gains (losses)
|
|
(137,052
|
)
|
|
62,701
|
|
||
Net realized and unrealized gains (losses)
|
|
$
|
(143,030
|
)
|
|
$
|
58,519
|
|
|
|
March 31,
2018 |
|
December 31,
2017 |
||||
Collateral in trust for third party agreements
|
|
$
|
3,369,669
|
|
|
$
|
3,118,892
|
|
Assets on deposit with regulatory authorities
|
|
595,149
|
|
|
599,829
|
|
||
Collateral for secured letter of credit facilities
|
|
159,574
|
|
|
151,467
|
|
||
Funds at Lloyd's
(1)
|
|
375,847
|
|
|
234,833
|
|
||
|
|
$
|
4,500,239
|
|
|
$
|
4,105,021
|
|
•
|
The funds held balance in relation to the Allianz transaction, described in
Note 4 - "Significant New Business"
in our consolidated financial statements in our Annual Report on Form 10-K for the year ended
December 31, 2017
. This receives a variable return reflecting the economics of the investment portfolio underlying the funds held asset and qualifies as an embedded derivative. We have recorded the aggregate of the funds held, typically held at cost, and the embedded derivative as a single amount in our consolidated balance sheet. As at
March 31, 2018
and
December 31, 2017
, the funds held at cost had a carrying value of
$1,021.7 million
and
$994.8 million
, respectively, and the embedded derivative had a fair value of
$(23.3) million
and
$4.7 million
, respectively, the aggregate of which was
$998.4 million
and
$999.5 million
, respectively, as included in the table below.
|
•
|
The funds held balance in relation to the QBE reinsurance transaction described in
Note 4 - "Significant New Business"
in our consolidated financial statements in our Annual Report on Form 10-K for the year ended
December 31, 2017
, for which we elected the fair value option.
|
|
March 31,
2018 |
|
December 31,
2017 |
||||
Fixed maturity investments:
|
|
|
|
||||
U.S. government and agency
|
$
|
79,240
|
|
|
$
|
69,850
|
|
Non-U.S. government
|
9,114
|
|
|
2,926
|
|
||
Corporate
|
666,085
|
|
|
695,490
|
|
||
Municipal
|
57,055
|
|
|
58,930
|
|
||
Residential mortgage-backed
|
45,987
|
|
|
29,439
|
|
||
Commercial mortgage-backed
|
206,248
|
|
|
211,186
|
|
||
Asset-backed
|
90,600
|
|
|
97,565
|
|
||
Total fixed maturity investments
|
$
|
1,154,329
|
|
|
$
|
1,165,386
|
|
Other assets
|
22,584
|
|
|
14,554
|
|
||
|
$
|
1,176,913
|
|
|
$
|
1,179,940
|
|
As at March 31, 2018
|
|
Amortized
Cost
|
|
Fair Value
|
|
% of Total
Fair Value
|
|||||
One year or less
|
|
$
|
28,380
|
|
|
$
|
28,259
|
|
|
2.5
|
%
|
More than one year through two years
|
|
83,964
|
|
|
83,289
|
|
|
7.2
|
%
|
||
More than two years through five years
|
|
234,632
|
|
|
229,926
|
|
|
19.9
|
%
|
||
More than five years through ten years
|
|
244,905
|
|
|
236,622
|
|
|
20.5
|
%
|
||
More than ten years
|
|
235,198
|
|
|
233,398
|
|
|
20.2
|
%
|
||
Residential mortgage-backed
|
|
46,892
|
|
|
45,987
|
|
|
4.0
|
%
|
||
Commercial mortgage-backed
|
|
215,199
|
|
|
206,248
|
|
|
17.9
|
%
|
||
Asset-backed
|
|
90,499
|
|
|
90,600
|
|
|
7.8
|
%
|
||
|
|
$
|
1,179,669
|
|
|
$
|
1,154,329
|
|
|
100.0
|
%
|
|
|
Amortized
Cost
|
|
Fair Value
|
|
% of Total
Investments
|
|
AAA
Rated
|
|
AA Rated
|
|
A Rated
|
|
BBB
Rated
|
|||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
U.S. government and agency
|
|
$
|
80,077
|
|
|
$
|
79,240
|
|
|
6.9
|
%
|
|
$
|
79,240
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
Non-U.S. government
|
|
8,952
|
|
|
9,114
|
|
|
0.8
|
%
|
|
—
|
|
|
—
|
|
|
2,889
|
|
|
6,225
|
|
||||||
Corporate
|
|
681,752
|
|
|
666,085
|
|
|
57.7
|
%
|
|
7,326
|
|
|
26,174
|
|
|
301,212
|
|
|
331,373
|
|
||||||
Municipal
|
|
56,298
|
|
|
57,055
|
|
|
4.9
|
%
|
|
—
|
|
|
19,972
|
|
|
29,676
|
|
|
7,407
|
|
||||||
Residential mortgage-backed
|
|
46,892
|
|
|
45,987
|
|
|
4.0
|
%
|
|
45,987
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Commercial mortgage-backed
|
|
215,199
|
|
|
206,248
|
|
|
17.9
|
%
|
|
197,795
|
|
|
6,472
|
|
|
1,981
|
|
|
—
|
|
||||||
Asset-backed
|
|
90,499
|
|
|
90,600
|
|
|
7.8
|
%
|
|
86,901
|
|
|
3,699
|
|
|
—
|
|
|
—
|
|
||||||
Total
|
|
$
|
1,179,669
|
|
|
$
|
1,154,329
|
|
|
100.0
|
%
|
|
$
|
417,249
|
|
|
$
|
56,317
|
|
|
$
|
335,758
|
|
|
$
|
345,005
|
|
% of total fair value
|
|
|
|
|
|
|
|
36.1
|
%
|
|
4.9
|
%
|
|
29.1
|
%
|
|
29.9
|
%
|
|
|
Three Months Ended March 31,
|
||||||
|
|
2018
|
|
2017
|
||||
Fixed maturity investments
|
|
$
|
8,818
|
|
|
$
|
7,485
|
|
Short-term investments and cash and cash equivalents
|
|
79
|
|
|
65
|
|
||
Gross investment income
|
|
8,897
|
|
|
7,550
|
|
||
Investment expenses
|
|
(271
|
)
|
|
(548
|
)
|
||
Investment income on funds held - directly managed
|
|
$
|
8,626
|
|
|
$
|
7,002
|
|
|
|
Three Months Ended March 31,
|
||||||
|
|
2018
|
|
2017
|
||||
Net realized gains (losses) on fixed maturity securities
|
|
$
|
96
|
|
|
$
|
(3,853
|
)
|
Change in fair value of embedded derivative
|
|
(27,881
|
)
|
|
6,928
|
|
||
Change in value of fair value option on funds held - directly managed
|
|
(3,043
|
)
|
|
262
|
|
||
Net realized gains (losses) and change in fair value of funds held - directly managed
|
|
$
|
(30,828
|
)
|
|
$
|
3,337
|
|
•
|
Level 1 - Valuations based on unadjusted quoted prices in active markets for identical assets or liabilities that we have the ability to access. Valuation adjustments and block discounts are not applied to Level 1 instruments.
|
•
|
Level 2 - Valuations based on quoted prices in active markets for similar assets or liabilities, quoted prices for identical assets or liabilities in inactive markets, or for which significant inputs are observable (e.g. interest rates, yield curves, prepayment speeds, default rates, loss severities, etc.) or can be corroborated by observable market data.
|
•
|
Level 3 - Valuations based on unobservable inputs where there is little or no market activity. Unadjusted third party pricin
g sources or management's assumptions and internal valuation models may be used to determine the fair values.
|
|
|
March 31, 2018
|
||||||||||||||||||
|
|
Quoted Prices in
Active Markets for Identical Assets (Level 1) |
|
Significant
Other Observable Inputs (Level 2) |
|
Significant
Unobservable Inputs (Level 3) |
|
Fair Value Based on NAV as Practical Expedient
|
|
Total Fair
Value |
||||||||||
Investments:
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Fixed maturity investments:
|
|
|
|
|
|
|
|
|
|
|
||||||||||
U.S. government and agency
|
|
$
|
—
|
|
|
$
|
473,055
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
473,055
|
|
Non-U.S. government
|
|
—
|
|
|
1,083,288
|
|
|
—
|
|
|
—
|
|
|
1,083,288
|
|
|||||
Corporate
|
|
—
|
|
|
3,792,106
|
|
|
86,027
|
|
|
—
|
|
|
3,878,133
|
|
|||||
Municipal
|
|
—
|
|
|
99,476
|
|
|
—
|
|
|
—
|
|
|
99,476
|
|
|||||
Residential mortgage-backed
|
|
—
|
|
|
260,613
|
|
|
1,907
|
|
|
—
|
|
|
262,520
|
|
|||||
Commercial mortgage-backed
|
|
—
|
|
|
389,454
|
|
|
17,634
|
|
|
—
|
|
|
407,088
|
|
|||||
Asset-backed
|
|
—
|
|
|
522,867
|
|
|
21,997
|
|
|
—
|
|
|
544,864
|
|
|||||
|
|
$
|
—
|
|
|
$
|
6,620,859
|
|
|
$
|
127,565
|
|
|
$
|
—
|
|
|
$
|
6,748,424
|
|
Equities:
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Equities — U.S.
|
|
$
|
100,635
|
|
|
$
|
2,297
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
102,932
|
|
Equities — International
|
|
37,304
|
|
|
240
|
|
|
—
|
|
|
—
|
|
|
37,544
|
|
|||||
|
|
$
|
137,939
|
|
|
$
|
2,537
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
140,476
|
|
Other investments:
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Private equities and private equity funds
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
246,151
|
|
|
$
|
246,151
|
|
Fixed income funds
|
|
—
|
|
|
203,274
|
|
|
—
|
|
|
26,900
|
|
|
230,174
|
|
|||||
Hedge funds
|
|
—
|
|
|
—
|
|
|
—
|
|
|
172,446
|
|
|
172,446
|
|
|||||
Equity funds
|
|
—
|
|
|
117,024
|
|
|
—
|
|
|
282,956
|
|
|
399,980
|
|
|||||
CLO equities
|
|
—
|
|
|
—
|
|
|
56,346
|
|
|
—
|
|
|
56,346
|
|
|||||
CLO equity fund
|
|
—
|
|
|
—
|
|
|
—
|
|
|
11,910
|
|
|
11,910
|
|
|||||
Private credit funds
|
|
—
|
|
|
—
|
|
|
—
|
|
|
4,419
|
|
|
4,419
|
|
|||||
Call options on equities
|
|
—
|
|
|
7,480
|
|
|
—
|
|
|
—
|
|
|
7,480
|
|
|||||
Other
|
|
—
|
|
|
—
|
|
|
313
|
|
|
466
|
|
|
779
|
|
|||||
|
|
$
|
—
|
|
|
$
|
327,778
|
|
|
$
|
56,659
|
|
|
$
|
745,248
|
|
|
$
|
1,129,685
|
|
Total Investments
|
|
$
|
137,939
|
|
|
$
|
6,951,174
|
|
|
$
|
184,224
|
|
|
$
|
745,248
|
|
|
$
|
8,018,585
|
|
Funds Held - Directly Managed:
|
|
|
|
|
|
|
|
|
|
|
||||||||||
U.S. government and agency
|
|
$
|
—
|
|
|
$
|
79,240
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
79,240
|
|
Non-U.S. government
|
|
—
|
|
|
9,114
|
|
|
—
|
|
|
—
|
|
|
9,114
|
|
|||||
Corporate
|
|
—
|
|
|
666,085
|
|
|
—
|
|
|
—
|
|
|
666,085
|
|
|||||
Municipal
|
|
—
|
|
|
57,055
|
|
|
—
|
|
|
—
|
|
|
57,055
|
|
|||||
Residential mortgage-backed
|
|
—
|
|
|
45,987
|
|
|
—
|
|
|
—
|
|
|
45,987
|
|
|||||
Commercial mortgage-backed
|
|
—
|
|
|
206,248
|
|
|
—
|
|
|
—
|
|
|
206,248
|
|
|||||
Asset-backed
|
|
—
|
|
|
90,600
|
|
|
—
|
|
|
—
|
|
|
90,600
|
|
|||||
Other assets
|
|
—
|
|
|
22,584
|
|
|
—
|
|
|
—
|
|
|
22,584
|
|
|||||
|
|
$
|
—
|
|
|
$
|
1,176,913
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
1,176,913
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Reinsurance balances recoverable:
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
888,736
|
|
|
$
|
—
|
|
|
$
|
888,736
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Other Assets:
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Derivative Instruments
|
|
$
|
—
|
|
|
$
|
5,297
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
5,297
|
|
|
|
$
|
—
|
|
|
$
|
5,297
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
5,297
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Losses and LAE:
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
3,519,453
|
|
|
$
|
—
|
|
|
$
|
3,519,453
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Other Liabilities:
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Derivative Instruments
|
|
$
|
—
|
|
|
$
|
432
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
432
|
|
|
|
$
|
—
|
|
|
$
|
432
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
432
|
|
|
|
December 31, 2017
|
||||||||||||||||||
|
|
Quoted Prices in
Active Markets for Identical Assets (Level 1) |
|
Significant
Other Observable Inputs (Level 2) |
|
Significant
Unobservable Inputs (Level 3) |
|
Fair Value Based on NAV as Practical Expedient
|
|
Total Fair
Value |
||||||||||
Investments:
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Fixed maturity investments:
|
|
|
|
|
|
|
|
|
|
|
||||||||||
U.S. government and agency
|
|
$
|
—
|
|
|
$
|
558,223
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
558,223
|
|
Non-U.S. government
|
|
—
|
|
|
692,569
|
|
|
—
|
|
|
—
|
|
|
692,569
|
|
|||||
Corporate
|
|
—
|
|
|
3,411,003
|
|
|
67,178
|
|
|
—
|
|
|
3,478,181
|
|
|||||
Municipal
|
|
—
|
|
|
105,357
|
|
|
—
|
|
|
—
|
|
|
105,357
|
|
|||||
Residential mortgage-backed
|
|
—
|
|
|
285,664
|
|
|
3,080
|
|
|
—
|
|
|
288,744
|
|
|||||
Commercial mortgage-backed
|
|
—
|
|
|
400,054
|
|
|
21,494
|
|
|
—
|
|
|
421,548
|
|
|||||
Asset-backed
|
|
—
|
|
|
514,055
|
|
|
27,892
|
|
|
—
|
|
|
541,947
|
|
|||||
|
|
$
|
—
|
|
|
$
|
5,966,925
|
|
|
$
|
119,644
|
|
|
$
|
—
|
|
|
$
|
6,086,569
|
|
Equities:
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Equities — U.S.
|
|
$
|
103,652
|
|
|
$
|
2,711
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
106,363
|
|
Equities — International
|
|
—
|
|
|
240
|
|
|
—
|
|
|
—
|
|
|
240
|
|
|||||
|
|
$
|
103,652
|
|
|
$
|
2,951
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
106,603
|
|
Other investments:
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Private equities and private equity funds
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
289,556
|
|
|
$
|
289,556
|
|
Fixed income funds
|
|
—
|
|
|
202,570
|
|
|
—
|
|
|
27,429
|
|
|
229,999
|
|
|||||
Fixed income hedge funds
|
|
—
|
|
|
—
|
|
|
—
|
|
|
63,773
|
|
|
63,773
|
|
|||||
Equity funds
|
|
—
|
|
|
121,046
|
|
|
—
|
|
|
128,429
|
|
|
249,475
|
|
|||||
CLO equities
|
|
—
|
|
|
—
|
|
|
56,765
|
|
|
—
|
|
|
56,765
|
|
|||||
CLO equity funds
|
|
—
|
|
|
—
|
|
|
—
|
|
|
12,840
|
|
|
12,840
|
|
|||||
Private credit funds
|
|
—
|
|
|
—
|
|
|
—
|
|
|
10,156
|
|
|
10,156
|
|
|||||
Other
|
|
—
|
|
|
—
|
|
|
314
|
|
|
514
|
|
|
828
|
|
|||||
|
|
$
|
—
|
|
|
$
|
323,616
|
|
|
$
|
57,079
|
|
|
$
|
532,697
|
|
|
$
|
913,392
|
|
Total Investments
|
|
$
|
103,652
|
|
|
$
|
6,293,492
|
|
|
$
|
176,723
|
|
|
$
|
532,697
|
|
|
$
|
7,106,564
|
|
Funds Held - Directly Managed:
|
|
|
|
|
|
|
|
|
|
|
||||||||||
U.S. government and agency
|
|
$
|
—
|
|
|
$
|
69,850
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
69,850
|
|
Non-U.S. government
|
|
—
|
|
|
2,926
|
|
|
—
|
|
|
—
|
|
|
2,926
|
|
|||||
Corporate
|
|
—
|
|
|
695,490
|
|
|
—
|
|
|
—
|
|
|
695,490
|
|
|||||
Municipal
|
|
—
|
|
|
58,930
|
|
|
—
|
|
|
—
|
|
|
58,930
|
|
|||||
Residential mortgage-backed
|
|
—
|
|
|
29,439
|
|
|
—
|
|
|
—
|
|
|
29,439
|
|
|||||
Commercial mortgage-backed
|
|
—
|
|
|
211,186
|
|
|
—
|
|
|
—
|
|
|
211,186
|
|
|||||
Asset-backed
|
|
—
|
|
|
97,565
|
|
|
—
|
|
|
—
|
|
|
97,565
|
|
|||||
Other assets
|
|
—
|
|
|
14,554
|
|
|
—
|
|
|
—
|
|
|
14,554
|
|
|||||
|
|
$
|
—
|
|
|
$
|
1,179,940
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
1,179,940
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Reinsurance balances recoverable:
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
542,224
|
|
|
$
|
—
|
|
|
$
|
542,224
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Other Assets:
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Derivative Instruments
|
|
$
|
—
|
|
|
$
|
319
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
319
|
|
|
|
$
|
—
|
|
|
$
|
319
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
319
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Losses and LAE:
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
1,794,669
|
|
|
$
|
—
|
|
|
$
|
1,794,669
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Other Liabilities:
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Derivative Instruments
|
|
$
|
—
|
|
|
$
|
7,246
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
7,246
|
|
|
|
$
|
—
|
|
|
$
|
7,246
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
7,246
|
|
|
|
|
|
|
|
|
|
|
|
|
•
|
U.S. government and agency securities consist of securities issued by the U.S. Treasury and mortgage pass-through agencies such as the Federal National Mortgage Association, the Federal Home Loan Mortgage Corporation and other agencies. Non-U.S. government securities consist of bonds issued by non-U.S. governments and agencies along with supranational organizations. The significant inputs used to determine the fair value of these securities include the spread above the risk-free yield curve, reported trades and broker-dealer quotes. These are considered to be observable market inputs and, therefore, the fair values of these securities are classified as Level 2.
|
•
|
Corporate securities consist primarily of investment-grade debt of a wide variety of corporate issuers and industries. The fair values of these securities are determined using the spread above the risk-free yield curve, reported trades, broker-dealer quotes, benchmark yields, and industry and market indicators. These are considered observable market inputs and, therefore, the fair values of these securities are classified as Level 2. Where pricing is unavailable from pricing services, such as in periods of low trading activity or when transactions are not orderly, we obtain non-binding quotes from broker-dealers. Where significant inputs are unable to be corroborated with market observable information, we classify the securities as Level 3.
|
•
|
Municipal securities consist primarily of bonds issued by U.S.-domiciled state and municipal entities. The fair values of these securities are determined using the spread above the risk-free yield curve, reported trades, broker-dealer quotes and benchmark yields. These are considered observable market inputs and, therefore, the fair values of these securities are classified as Level 2.
|
•
|
Asset-backed securities consist primarily of investment-grade bonds backed by pools of loans with a variety of underlying collateral. Residential and commercial mortgage-backed securities include both agency and non-agency originated securities. Where pricing is unavailable from pricing services, we obtain non-binding quotes from broker-dealers. This is generally the case when there is a low volume of trading activity and current transactions are not orderly. The significant inputs used to determine the fair value of these securities include the spread above the risk-free yield curve, reported trades, benchmark yields, prepayment speeds and default rates. The fair values of these securities are classified as Level 2 if the significant inputs are
|
•
|
For our investments in private equities and private equity funds, we measure fair value by obtaining the most recently available NAV from the external fund manager or third-party administrator. The fair values of these investments are measured using the NAV as a practical expedient and therefore have not been categorized within the fair value hierarchy.
|
•
|
Our investments in fixed income funds and equity funds are valued based on a combination of prices from independent pricing services, external fund managers or third-party administrators. For the publicly available prices we have classified the investments as Level 2. For the non-publicly available prices we are using NAV as a practical expedient and therefore these have not been categorized within the fair value hierarchy.
|
•
|
For our investments in hedge funds, we measure fair value by obtaining the most recently available NAV as advised by the external fund manager or third-party administrator. The fair values of these investments are measured using the NAV as a practical expedient and therefore have not been categorized within the fair value hierarchy.
|
•
|
We measure the fair value of our direct investment in CLO equities based on valuations provided by our external CLO equity manager. If the investment does not involve an external CLO equity manager, the fair value of the investment is valued based on valuations provided by the broker or lead underwriter of the investment (the "broker"). Our CLO equity investments have been classified as Level 3 due to the use of unobservable inputs in the valuation and the limited number of relevant trades in secondary markets.
|
•
|
For our investments in CLO equity funds, we measure fair value by obtaining the most recently available NAV as advised by the external fund manager or third party administrator. The fair values of these investments are measured using the NAV as a practical expedient and therefore have not been categorized within the fair value hierarchy.
|
•
|
For our investments in private credit funds, we measure fair value by obtaining the most recently available NAV from the external fund manager or third-party administrator. The fair values of these investments are measured using the NAV as a practical expedient and therefore have not been categorized within the fair value hierarchy.
|
•
|
For our investments in call options on publicly traded equities, we measure fair value by obtaining the latest option price as of our reporting date. These are classified as Level 2.
|
|
|
Three Months Ended March 31, 2018
|
||||||||||||||||||||||
|
|
Corporate
|
|
Residential mortgage-backed
|
|
Commercial mortgage-backed
|
|
Asset-backed
|
|
Other Investments
|
|
Total
|
||||||||||||
Beginning fair value
|
|
$
|
67,178
|
|
|
$
|
3,080
|
|
|
$
|
21,494
|
|
|
$
|
27,892
|
|
|
$
|
57,079
|
|
|
$
|
176,723
|
|
Purchases
|
|
10,832
|
|
|
—
|
|
|
1,803
|
|
|
1,300
|
|
|
130
|
|
|
14,065
|
|
||||||
Sales
|
|
(7,037
|
)
|
|
(1,148
|
)
|
|
(577
|
)
|
|
(3,804
|
)
|
|
—
|
|
|
(12,566
|
)
|
||||||
Total realized and unrealized gains (losses)
|
|
195
|
|
|
(25
|
)
|
|
83
|
|
|
46
|
|
|
(550
|
)
|
|
(251
|
)
|
||||||
Transfer into Level 3 from Level 2
|
|
15,259
|
|
|
—
|
|
|
4,897
|
|
|
—
|
|
|
—
|
|
|
20,156
|
|
||||||
Transfer out of Level 3 into Level 2
|
|
(400
|
)
|
|
—
|
|
|
(10,066
|
)
|
|
(3,437
|
)
|
|
—
|
|
|
(13,903
|
)
|
||||||
Ending fair value
|
|
$
|
86,027
|
|
|
$
|
1,907
|
|
|
$
|
17,634
|
|
|
$
|
21,997
|
|
|
$
|
56,659
|
|
|
$
|
184,224
|
|
|
|
Three Months Ended March 31, 2017
|
||||||||||||||||||||||
|
|
Corporate
|
|
Residential mortgage-backed
|
|
Commercial mortgage-backed
|
|
Asset-backed
|
|
Other Investments
|
|
Total
|
||||||||||||
Beginning fair value
|
|
$
|
74,534
|
|
|
$
|
—
|
|
|
$
|
12,213
|
|
|
$
|
14,692
|
|
|
$
|
76,878
|
|
|
$
|
178,317
|
|
Purchases
|
|
8,890
|
|
|
—
|
|
|
—
|
|
|
1,380
|
|
|
—
|
|
|
10,270
|
|
||||||
Sales
|
|
(18,657
|
)
|
|
—
|
|
|
—
|
|
|
(243
|
)
|
|
—
|
|
|
(18,900
|
)
|
||||||
Total realized and unrealized gains (losses)
|
|
459
|
|
|
—
|
|
|
(105
|
)
|
|
281
|
|
|
(7,251
|
)
|
|
(6,616
|
)
|
||||||
Transfer into Level 3 from Level 2
|
|
1,567
|
|
|
—
|
|
|
13,901
|
|
|
17,561
|
|
|
—
|
|
|
33,029
|
|
||||||
Transfer out of Level 3 into Level 2
|
|
(10,614
|
)
|
|
—
|
|
|
(1,157
|
)
|
|
(4,589
|
)
|
|
—
|
|
|
(16,360
|
)
|
||||||
Ending fair value
|
|
$
|
56,179
|
|
|
$
|
—
|
|
|
$
|
24,852
|
|
|
$
|
29,082
|
|
|
$
|
69,627
|
|
|
$
|
179,740
|
|
|
Three Months Ended March 31, 2018
|
||||||
|
Liability for losses and LAE
|
|
Reinsurance balances recoverable
|
||||
Beginning fair value
|
$
|
1,794,669
|
|
|
$
|
542,224
|
|
Assumed business
|
1,890,061
|
|
|
372,780
|
|
||
Changes in nominal amounts:
|
|
|
|
||||
Net incurred losses and LAE
|
(10,375
|
)
|
|
(1,476
|
)
|
||
Paid losses
|
(158,372
|
)
|
|
(18,146
|
)
|
||
Changes in fair value:
|
|
|
|
||||
Discounted cash flows
|
(46,820
|
)
|
|
(15,949
|
)
|
||
Risk margin
|
(7,151
|
)
|
|
(965
|
)
|
||
Effect of exchange rate movements
|
57,441
|
|
|
10,268
|
|
||
Ending fair value
|
$
|
3,519,453
|
|
|
$
|
888,736
|
|
|
Three Months Ended March 31, 2017
|
||||||
|
Liability for losses and LAE
|
|
Reinsurance balances recoverable
|
||||
Beginning fair value
|
$
|
—
|
|
|
$
|
—
|
|
Assumed business
|
1,966,843
|
|
|
565,824
|
|
||
Changes in nominal amounts:
|
|
|
|
||||
Net incurred losses and LAE
|
(6,238
|
)
|
|
—
|
|
||
Paid losses
|
(60,367
|
)
|
|
(17,006
|
)
|
||
Changes in fair value:
|
|
|
|
||||
Discounted cash flows
|
20,035
|
|
|
2,466
|
|
||
Risk margin
|
(4,489
|
)
|
|
(1,070
|
)
|
||
Effect of exchange rate movements
|
9,045
|
|
|
1,039
|
|
||
Ending fair value
|
$
|
1,924,829
|
|
|
$
|
551,253
|
|
|
|
|
|
March 31, 2018
|
|
December 31, 2017
|
Valuation Technique
|
|
Unobservable (U) and Observable (O) Inputs
|
|
Weighted Average
|
||
|
|
|
|
|
|
|
Internal model
|
|
Corporate bond yield (O)
|
|
A rated
|
|
A rated
|
Internal model
|
|
Credit spread for non-performance risk (U)
|
|
0.2%
|
|
0.2%
|
Internal model
|
|
Risk cost of capital (U)
|
|
5.0%
|
|
5.0%
|
Internal model
|
|
Weighted average cost of capital (U)
|
|
8.5%
|
|
8.5%
|
Internal model
|
|
Duration - liability (U)
|
|
8.02 years
|
|
11.41 years
|
Internal model
|
|
Duration - reinsurance balances recoverable (U)
|
|
8.95 years
|
|
11.66 years
|
•
|
An increase in the corporate bond rate or credit spread for non-performance risk would result in a decrease in the fair value of the liability for losses and LAE and reinsurance balances recoverable. Conversely, a decrease in the corporate bond rate or credit spread for non-performance risk would result in an increase in the fair value of the liability for losses and LAE and reinsurance balances recoverable.
|
•
|
An increase in the weighted average cost of capital would result in an increase in the fair value of the liability for losses and LAE and reinsurance balances recoverable. Conversely, a decrease in the weighted average cost of capital would result in a decrease in the fair value of the liability for losses and LAE and reinsurance balances recoverable.
|
•
|
An increase in the risk cost of capital would result in an increase in the fair value of the liability for losses and LAE and reinsurance balances recoverable. Conversely, a decrease in the risk cost of capital would result in a decrease in the fair value of the liability for losses and LAE and reinsurance balances recoverable.
|
•
|
An acceleration of the estimated payment pattern would result in an increase in the fair value of the liability for losses and LAE and reinsurance balances recoverable. Conversely, a deceleration of the estimated payment pattern would result in a decrease in the fair value of the liability for losses and LAE and reinsurance balances recoverable.
|
|
|
March 31, 2018
|
|
December 31, 2017
|
||||||||||||||||||||
|
|
|
|
Fair Value
|
|
|
|
Fair Value
|
||||||||||||||||
|
|
Gross Notional Amount
|
|
Assets
|
|
Liabilities
|
|
Gross Notional Amount
|
|
Assets
|
|
Liabilities
|
||||||||||||
Foreign exchange forward - AUD
|
|
$
|
30,700
|
|
|
$
|
916
|
|
|
$
|
—
|
|
|
$
|
32,810
|
|
|
$
|
—
|
|
|
$
|
965
|
|
Foreign exchange forward - CAD
|
|
—
|
|
|
—
|
|
|
—
|
|
|
27,141
|
|
|
11
|
|
|
512
|
|
||||||
Total qualifying hedges
|
|
$
|
30,700
|
|
|
$
|
916
|
|
|
$
|
—
|
|
|
$
|
59,951
|
|
|
$
|
11
|
|
|
$
|
1,477
|
|
|
|
Amount of Gains (Losses) Deferred in AOCI
|
||||||
|
|
Three Months Ended March 31,
|
||||||
|
|
2018
|
|
2017
|
||||
Foreign exchange forward - AUD
|
|
$
|
530
|
|
|
$
|
(444
|
)
|
Foreign exchange forward - CAD
|
|
—
|
|
|
552
|
|
||
Net gains on qualifying hedges
|
|
$
|
530
|
|
|
$
|
108
|
|
|
|
March 31, 2018
|
|
December 31, 2017
|
||||||||||||||||||||
|
|
|
|
Fair Value
|
|
|
|
Fair Value
|
||||||||||||||||
|
|
Gross Notional Amount
|
|
Assets
|
|
Liabilities
|
|
Gross Notional Amount
|
|
Assets
|
|
Liabilities
|
||||||||||||
Foreign exchange forward - AUD
|
|
$
|
39,910
|
|
|
$
|
1,194
|
|
|
$
|
1
|
|
|
$
|
57,028
|
|
|
$
|
—
|
|
|
$
|
1,002
|
|
Foreign exchange forward - GBP
|
|
222,169
|
|
|
369
|
|
|
431
|
|
|
207,323
|
|
|
262
|
|
|
4,312
|
|
||||||
Foreign exchange forward - EUR
|
|
23,353
|
|
|
319
|
|
|
—
|
|
|
19,235
|
|
|
46
|
|
|
455
|
|
||||||
Foreign exchange forward - CAD
|
|
52,705
|
|
|
2,499
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Total non-qualifying hedges
|
|
$
|
338,137
|
|
|
$
|
4,381
|
|
|
$
|
432
|
|
|
$
|
283,586
|
|
|
$
|
308
|
|
|
$
|
5,769
|
|
|
|
Gains (Losses) on non-qualifying hedges included in net earnings
|
||||||
|
|
Three Months Ended March 31,
|
||||||
|
|
2018
|
|
2017
|
||||
Foreign exchange forward - AUD
|
|
$
|
982
|
|
|
$
|
—
|
|
Foreign exchange forward - GBP
|
|
(6,842
|
)
|
|
(148
|
)
|
||
Foreign exchange forward - EUR
|
|
(267
|
)
|
|
(237
|
)
|
||
Foreign exchange forward - CAD
|
|
2,040
|
|
|
—
|
|
||
Net losses on non-qualifying hedges
|
|
$
|
(4,087
|
)
|
|
$
|
(385
|
)
|
|
|
March 31, 2018
|
||||||||||||||||||
|
|
Non-life
Run-off
|
|
Atrium
|
|
StarStone
|
|
Other
|
|
Total
|
||||||||||
Recoverable from reinsurers on unpaid:
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Outstanding losses
|
|
$
|
1,182,023
|
|
|
$
|
11,293
|
|
|
$
|
219,765
|
|
|
$
|
—
|
|
|
$
|
1,413,081
|
|
IBNR
|
|
704,620
|
|
|
27,794
|
|
|
255,827
|
|
|
—
|
|
|
988,241
|
|
|||||
Fair value adjustments
|
|
(12,436
|
)
|
|
938
|
|
|
(2,065
|
)
|
|
—
|
|
|
(13,563
|
)
|
|||||
Fair value adjustments - fair value option
|
|
(170,726
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(170,726
|
)
|
|||||
Total reinsurance reserves recoverable
|
|
1,703,481
|
|
|
40,025
|
|
|
473,527
|
|
|
—
|
|
|
2,217,033
|
|
|||||
Paid losses recoverable
|
|
134,526
|
|
|
55
|
|
|
17,076
|
|
|
6
|
|
|
151,663
|
|
|||||
|
|
$
|
1,838,007
|
|
|
$
|
40,080
|
|
|
$
|
490,603
|
|
|
$
|
6
|
|
|
$
|
2,368,696
|
|
Reconciliation to Consolidated Balance Sheet:
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Reinsurance balances recoverable
|
|
$
|
949,271
|
|
|
$
|
40,080
|
|
|
$
|
490,603
|
|
|
$
|
6
|
|
|
$
|
1,479,960
|
|
Reinsurance balances recoverable - fair value option
|
|
888,736
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
888,736
|
|
|||||
Total
|
|
$
|
1,838,007
|
|
|
$
|
40,080
|
|
|
$
|
490,603
|
|
|
$
|
6
|
|
|
$
|
2,368,696
|
|
|
|
December 31, 2017
|
||||||||||||||||||
|
|
Non-life
Run-off
|
|
Atrium
|
|
StarStone
|
|
Other
|
|
Total
|
||||||||||
Recoverable from reinsurers on unpaid:
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Outstanding losses
|
|
$
|
932,284
|
|
|
$
|
7,472
|
|
|
$
|
211,650
|
|
|
$
|
16
|
|
|
$
|
1,151,422
|
|
IBNR
|
|
590,154
|
|
|
31,476
|
|
|
242,620
|
|
|
—
|
|
|
864,250
|
|
|||||
Fair value adjustments
|
|
(12,970
|
)
|
|
1,583
|
|
|
(2,253
|
)
|
|
—
|
|
|
(13,640
|
)
|
|||||
Fair value adjustments - fair value option
|
|
(131,983
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(131,983
|
)
|
|||||
Total reinsurance reserves recoverable
|
|
1,377,485
|
|
|
40,531
|
|
|
452,017
|
|
|
16
|
|
|
1,870,049
|
|
|||||
Paid losses recoverable
|
|
128,253
|
|
|
(451
|
)
|
|
23,179
|
|
|
—
|
|
|
150,981
|
|
|||||
|
|
$
|
1,505,738
|
|
|
$
|
40,080
|
|
|
$
|
475,196
|
|
|
$
|
16
|
|
|
$
|
2,021,030
|
|
Reconciliation to Consolidated Balance Sheet:
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Reinsurance balances recoverable
|
|
$
|
963,514
|
|
|
$
|
40,080
|
|
|
$
|
475,196
|
|
|
$
|
16
|
|
|
$
|
1,478,806
|
|
Reinsurance balances recoverable - fair value option
|
|
542,224
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
542,224
|
|
|||||
Total
|
|
$
|
1,505,738
|
|
|
$
|
40,080
|
|
|
$
|
475,196
|
|
|
$
|
16
|
|
|
$
|
2,021,030
|
|
|
March 31, 2018
|
|
December 31, 2017
|
||||||||||||||||||||||||||||||||||||||||||
|
Non-life
Run-off |
|
Atrium
|
|
StarStone
|
|
Other
|
|
Total
|
|
% of
Total |
|
Non-life
Run-off |
|
Atrium
|
|
StarStone
|
|
Other
|
|
Total
|
|
% of
Total |
||||||||||||||||||||||
Top ten reinsurers
|
$
|
1,376,361
|
|
|
$
|
22,293
|
|
|
$
|
347,228
|
|
|
$
|
—
|
|
|
$
|
1,745,882
|
|
|
73.7
|
%
|
|
$
|
1,166,057
|
|
|
$
|
22,422
|
|
|
$
|
328,257
|
|
|
$
|
—
|
|
|
$
|
1,516,736
|
|
|
75.0
|
%
|
Other reinsurers > $1 million
|
446,374
|
|
|
17,167
|
|
|
140,038
|
|
|
—
|
|
|
603,579
|
|
|
25.5
|
%
|
|
322,722
|
|
|
16,631
|
|
|
144,336
|
|
|
—
|
|
|
483,689
|
|
|
24.0
|
%
|
||||||||||
Other reinsurers < $1 million
|
15,272
|
|
|
620
|
|
|
3,337
|
|
|
6
|
|
|
19,235
|
|
|
0.8
|
%
|
|
16,959
|
|
|
1,027
|
|
|
2,603
|
|
|
16
|
|
|
20,605
|
|
|
1.0
|
%
|
||||||||||
Total
|
$
|
1,838,007
|
|
|
$
|
40,080
|
|
|
$
|
490,603
|
|
|
$
|
6
|
|
|
$
|
2,368,696
|
|
|
100.0
|
%
|
|
$
|
1,505,738
|
|
|
$
|
40,080
|
|
|
$
|
475,196
|
|
|
$
|
16
|
|
|
$
|
2,021,030
|
|
|
100.0
|
%
|
|
March 31, 2018
|
|
December 31, 2017
|
||||||||||||||||||||||||||
|
Gross
|
|
Provisions for Bad Debt
|
|
Net
|
|
Provisions as a
% of Gross |
|
Gross
|
|
Provisions for Bad Debt
|
|
Net
|
|
Provisions as a
% of Gross |
||||||||||||||
Reinsurers rated A- or above
|
$
|
1,624,565
|
|
|
$
|
59,557
|
|
|
$
|
1,565,008
|
|
|
3.7
|
%
|
|
$
|
1,252,887
|
|
|
$
|
51,115
|
|
|
$
|
1,201,772
|
|
|
4.1
|
%
|
Reinsurers rated below A-, secured
|
770,957
|
|
|
—
|
|
|
770,957
|
|
|
—
|
%
|
|
771,097
|
|
|
—
|
|
|
771,097
|
|
|
—
|
%
|
||||||
Reinsurers rated below A-, unsecured
|
141,929
|
|
|
109,198
|
|
|
32,731
|
|
|
76.9
|
%
|
|
162,259
|
|
|
114,098
|
|
|
48,161
|
|
|
70.3
|
%
|
||||||
Total
|
$
|
2,537,451
|
|
|
$
|
168,755
|
|
|
$
|
2,368,696
|
|
|
6.7
|
%
|
|
$
|
2,186,243
|
|
|
$
|
165,213
|
|
|
$
|
2,021,030
|
|
|
7.6
|
%
|
|
March 31, 2018
|
|
December 31, 2017
|
||||||||||||||||||||||||||||
|
Non-life
Run-off
|
|
Atrium
|
|
StarStone
|
|
Total
|
|
Non-life
Run-off |
|
Atrium
|
|
StarStone
|
|
Total
|
||||||||||||||||
Outstanding losses
|
$
|
4,391,872
|
|
|
$
|
86,422
|
|
|
$
|
601,887
|
|
|
$
|
5,080,181
|
|
|
$
|
3,185,703
|
|
|
$
|
78,363
|
|
|
$
|
590,977
|
|
|
$
|
3,855,043
|
|
IBNR
|
3,346,696
|
|
|
145,608
|
|
|
607,681
|
|
|
4,099,985
|
|
|
2,903,927
|
|
|
150,508
|
|
|
599,221
|
|
|
3,653,656
|
|
||||||||
Fair value adjustments
|
(123,301
|
)
|
|
6,364
|
|
|
(508
|
)
|
|
(117,445
|
)
|
|
(125,998
|
)
|
|
9,547
|
|
|
(555
|
)
|
|
(117,006
|
)
|
||||||||
Fair value adjustments - fair value option
|
(470,798
|
)
|
|
—
|
|
|
—
|
|
|
(470,798
|
)
|
|
(314,748
|
)
|
|
—
|
|
|
—
|
|
|
(314,748
|
)
|
||||||||
ULAE
|
373,042
|
|
|
2,401
|
|
|
18,704
|
|
|
394,147
|
|
|
300,588
|
|
|
2,455
|
|
|
18,100
|
|
|
321,143
|
|
||||||||
Total
|
$
|
7,517,511
|
|
|
$
|
240,795
|
|
|
$
|
1,227,764
|
|
|
$
|
8,986,070
|
|
|
$
|
5,949,472
|
|
|
$
|
240,873
|
|
|
$
|
1,207,743
|
|
|
$
|
7,398,088
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Reconciliation to Consolidated Balance Sheet:
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Loss and loss adjustment expenses
|
|
|
|
$
|
5,466,617
|
|
|
|
|
|
|
|
|
$
|
5,603,419
|
|
|||||||||||||||
Loss and loss adjustment expenses, at fair value
|
|
|
|
$
|
3,519,453
|
|
|
|
|
|
|
|
|
$
|
1,794,669
|
|
|||||||||||||||
Total
|
|
|
|
$
|
8,986,070
|
|
|
|
|
|
|
|
|
$
|
7,398,088
|
|
|
Three Months Ended
March 31, |
||||||
|
2018
|
|
2017
|
||||
Balance as at beginning of period
|
$
|
7,398,088
|
|
|
$
|
5,987,867
|
|
Less: reinsurance reserves recoverable
|
1,870,033
|
|
|
1,388,193
|
|
||
Less: deferred charges on retroactive reinsurance
|
80,192
|
|
|
94,551
|
|
||
Net balance as at beginning of period
|
5,447,863
|
|
|
4,505,123
|
|
||
Net incurred losses and LAE:
|
|
|
|
||||
Current period
|
95,154
|
|
|
85,545
|
|
||
Prior periods
|
(75,620
|
)
|
|
(7,653)
|
|
||
Total net incurred losses and LAE
|
19,534
|
|
|
77,892
|
|
||
Net paid losses:
|
|
|
|
||||
Current period
|
(8,103
|
)
|
|
(8,719)
|
|
||
Prior periods
|
(350,646
|
)
|
|
(249,722)
|
|
||
Total net paid losses
|
(358,749
|
)
|
|
(258,441)
|
|
||
Effect of exchange rate movement
|
57,727
|
|
|
14,505
|
|
||
Assumed business
|
1,527,551
|
|
|
1,432,412
|
|
||
Net balance as at March 31
|
6,693,926
|
|
|
5,771,491
|
|
||
Plus: reinsurance reserves recoverable
|
2,217,033
|
|
|
1,895,491
|
|
||
Plus: deferred charges on retroactive reinsurance
|
75,111
|
|
|
93,605
|
|
||
Balance as at March 31
|
$
|
8,986,070
|
|
|
$
|
7,760,587
|
|
|
Three Months Ended March 31, 2018
|
|
Three Months Ended March 31, 2017
|
||||||||||||||||||||||||||||
|
Non-life Run-off
|
|
Atrium
|
|
StarStone
|
|
Total
|
|
Non-life
Run-off |
|
Atrium
|
|
StarStone
|
|
Total
|
||||||||||||||||
Net losses paid
|
$
|
252,584
|
|
|
$
|
17,530
|
|
|
$
|
88,635
|
|
|
$
|
358,749
|
|
|
$
|
156,572
|
|
|
$
|
13,673
|
|
|
$
|
88,196
|
|
|
$
|
258,441
|
|
Net change in case and LAE reserves
|
(123,486
|
)
|
|
3,890
|
|
|
(4,475
|
)
|
|
(124,071
|
)
|
|
(83,134
|
)
|
|
594
|
|
|
(9,359
|
)
|
|
(91,899
|
)
|
||||||||
Net change in IBNR reserves
|
(154,111
|
)
|
|
(1,709
|
)
|
|
(8,871
|
)
|
|
(164,691
|
)
|
|
(78,647
|
)
|
|
(1,804
|
)
|
|
(10,152
|
)
|
|
(90,603
|
)
|
||||||||
Amortization of deferred charges
|
5,081
|
|
|
—
|
|
|
—
|
|
|
5,081
|
|
|
946
|
|
|
—
|
|
|
—
|
|
|
946
|
|
||||||||
Increase (reduction) in estimates of net ultimate losses
|
(19,932
|
)
|
|
19,711
|
|
|
75,289
|
|
|
75,068
|
|
|
(4,263
|
)
|
|
12,463
|
|
|
68,685
|
|
|
76,885
|
|
||||||||
Increase (reduction) in provisions for unallocated LAE
|
(14,952
|
)
|
|
—
|
|
|
192
|
|
|
(14,760
|
)
|
|
(14,323
|
)
|
|
(8
|
)
|
|
(1
|
)
|
|
(14,332
|
)
|
||||||||
Amortization of fair value adjustments
|
2,147
|
|
|
(2,539
|
)
|
|
(141
|
)
|
|
(533
|
)
|
|
1,347
|
|
|
33
|
|
|
(523
|
)
|
|
857
|
|
||||||||
Changes in fair value - fair value option
|
(40,241
|
)
|
|
—
|
|
|
—
|
|
|
(40,241
|
)
|
|
14,482
|
|
|
—
|
|
|
—
|
|
|
14,482
|
|
||||||||
Net incurred losses and LAE
|
$
|
(72,978
|
)
|
|
$
|
17,172
|
|
|
$
|
75,340
|
|
|
$
|
19,534
|
|
|
$
|
(2,757
|
)
|
|
$
|
12,488
|
|
|
$
|
68,161
|
|
|
$
|
77,892
|
|
|
Three Months Ended
March 31, |
||||||
|
2018
|
|
2017
|
||||
Balance as at beginning of period
|
$
|
5,949,472
|
|
|
$
|
4,716,363
|
|
Less: reinsurance reserves recoverable
|
1,377,485
|
|
|
1,000,953
|
|
||
Less: deferred charges on retroactive insurance
|
80,192
|
|
|
94,551
|
|
||
Net balance as at beginning of period
|
4,491,795
|
|
|
3,620,859
|
|
||
Net incurred losses and LAE:
|
|
|
|
||||
Current period
|
346
|
|
|
714
|
|
||
Prior periods
|
(73,324)
|
|
|
(3,471
|
)
|
||
Total net incurred losses and LAE
|
(72,978)
|
|
|
(2,757
|
)
|
||
Net paid losses:
|
|
|
|
||||
Current period
|
(1)
|
|
|
(241
|
)
|
||
Prior periods
|
(252,583)
|
|
|
(156,331
|
)
|
||
Total net paid losses
|
(252,584)
|
|
|
(156,572
|
)
|
||
Effect of exchange rate movement
|
55,403
|
|
|
17,625
|
|
||
Assumed business
|
1,517,283
|
|
|
1,401,019
|
|
||
Net balance as at March 31
|
5,738,919
|
|
|
4,880,174
|
|
||
Plus: reinsurance reserves recoverable
|
1,703,481
|
|
|
1,504,371
|
|
||
Plus: deferred charges on retroactive reinsurance
|
75,111
|
|
|
93,605
|
|
||
Balance as at March 31
|
$
|
7,517,511
|
|
|
$
|
6,478,150
|
|
|
Three Months Ended March 31,
|
||||||||||||||||||||||
|
2018
|
|
2017
|
||||||||||||||||||||
|
Prior
Period
|
|
Current
Period
|
|
Total
|
|
Prior
Period
|
|
Current
Period
|
|
Total
|
||||||||||||
Net losses paid
|
$
|
252,583
|
|
|
$
|
1
|
|
|
$
|
252,584
|
|
|
$
|
156,331
|
|
|
$
|
241
|
|
|
$
|
156,572
|
|
Net change in case and LAE reserves
|
(123,492
|
)
|
|
6
|
|
|
(123,486
|
)
|
|
(83,134
|
)
|
|
—
|
|
|
(83,134
|
)
|
||||||
Net change in IBNR reserves
|
(154,450
|
)
|
|
339
|
|
|
(154,111
|
)
|
|
(79,078
|
)
|
|
431
|
|
|
(78,647
|
)
|
||||||
Amortization of deferred charges
|
5,081
|
|
|
—
|
|
|
5,081
|
|
|
946
|
|
|
—
|
|
|
946
|
|
||||||
Increase (reduction) in estimates of net ultimate losses
|
(20,278
|
)
|
|
346
|
|
|
(19,932
|
)
|
|
(4,935
|
)
|
|
672
|
|
|
(4,263
|
)
|
||||||
Increase (reduction) in provisions for unallocated LAE
|
(14,952
|
)
|
|
—
|
|
|
(14,952
|
)
|
|
(14,365
|
)
|
|
42
|
|
|
(14,323
|
)
|
||||||
Amortization of fair value adjustments
|
2,147
|
|
|
—
|
|
|
2,147
|
|
|
1,347
|
|
|
—
|
|
|
1,347
|
|
||||||
Changes in fair value - fair value option
|
(40,241
|
)
|
|
—
|
|
|
(40,241
|
)
|
|
14,482
|
|
|
—
|
|
|
14,482
|
|
||||||
Net incurred losses and LAE
|
$
|
(73,324
|
)
|
|
$
|
346
|
|
|
$
|
(72,978
|
)
|
|
$
|
(3,471
|
)
|
|
$
|
714
|
|
|
$
|
(2,757
|
)
|
|
Three Months Ended
March 31, |
||||||
|
2018
|
|
2017
|
||||
Balance as at beginning of period
|
$
|
240,873
|
|
|
$
|
212,122
|
|
Less: reinsurance reserves recoverable
|
40,531
|
|
|
30,009
|
|
||
Net balance as at beginning of period
|
200,342
|
|
|
182,113
|
|
||
Net incurred losses and LAE:
|
|
|
|
||||
Current period
|
17,306
|
|
|
14,421
|
|
||
Prior periods
|
(134
|
)
|
|
(1,933
|
)
|
||
Total net incurred losses and LAE
|
17,172
|
|
|
12,488
|
|
||
Net paid losses:
|
|
|
|
||||
Current period
|
(7,154
|
)
|
|
(4,262
|
)
|
||
Prior periods
|
(10,376
|
)
|
|
(9,411
|
)
|
||
Total net paid losses
|
(17,530
|
)
|
|
(13,673
|
)
|
||
Effect of exchange rate movement
|
786
|
|
|
570
|
|
||
Net balance as at March 31
|
200,770
|
|
|
181,498
|
|
||
Plus: reinsurance reserves recoverable
|
40,025
|
|
|
30,625
|
|
||
Balance as at March 31
|
$
|
240,795
|
|
|
$
|
212,123
|
|
|
Three Months Ended March 31,
|
||||||||||||||||
|
2018
|
|
2017
|
||||||||||||||
|
Prior
Period
|
|
Current
Period
|
|
Total
|
|
Prior
Period
|
|
Current
Period
|
|
Total
|
||||||
Net losses paid
|
10,376
|
|
|
7,154
|
|
|
17,530
|
|
|
9,411
|
|
|
4,262
|
|
|
13,673
|
|
Net change in case and LAE reserves
|
(2,384
|
)
|
|
6,274
|
|
|
3,890
|
|
|
(3,116
|
)
|
|
3,710
|
|
|
594
|
|
Net change in IBNR reserves
|
(5,587
|
)
|
|
3,878
|
|
|
(1,709
|
)
|
|
(8,137
|
)
|
|
6,333
|
|
|
(1,804
|
)
|
Increase (reduction) in estimates of net ultimate losses
|
2,405
|
|
|
17,306
|
|
|
19,711
|
|
|
(1,842
|
)
|
|
14,305
|
|
|
12,463
|
|
Increase (reduction) in provisions for unallocated LAE
|
—
|
|
|
—
|
|
|
—
|
|
|
(124
|
)
|
|
116
|
|
|
(8
|
)
|
Amortization of fair value adjustments
|
(2,539
|
)
|
|
—
|
|
|
(2,539
|
)
|
|
33
|
|
|
—
|
|
|
33
|
|
Net incurred losses and LAE
|
(134
|
)
|
|
17,306
|
|
|
17,172
|
|
|
(1,933
|
)
|
|
14,421
|
|
|
12,488
|
|
|
Three Months Ended
March 31, |
||||||
|
2018
|
|
2017
|
||||
Balance as at beginning of period
|
$
|
1,207,743
|
|
|
$
|
1,059,382
|
|
Less: reinsurance reserves recoverable
|
452,017
|
|
|
357,231
|
|
||
Net balance as at beginning of period
|
755,726
|
|
|
702,151
|
|
||
Net incurred losses and LAE:
|
|
|
|
||||
Current period
|
77,502
|
|
|
70,410
|
|
||
Prior periods
|
(2,162)
|
|
|
(2,249
|
)
|
||
Total net incurred losses and LAE
|
75,340
|
|
|
68,161
|
|
||
Net paid losses:
|
|
|
|
||||
Current period
|
(948)
|
|
|
(4,216
|
)
|
||
Prior periods
|
(87,687)
|
|
|
(83,980
|
)
|
||
Total net paid losses
|
(88,635)
|
|
|
(88,196
|
)
|
||
Effect of exchange rate movement
|
1,538
|
|
|
(3,690
|
)
|
||
Assumed business
|
10,268
|
|
|
31,393
|
|
||
Net balance as at March 31
|
754,237
|
|
|
709,819
|
|
||
Plus: reinsurance reserves recoverable
|
473,527
|
|
|
360,495
|
|
||
Balance as at March 31
|
$
|
1,227,764
|
|
|
$
|
1,070,314
|
|
|
Three Months Ended March 31,
|
||||||||||||||||||||||
|
2018
|
|
2017
|
||||||||||||||||||||
|
Prior Period
|
|
Current Period
|
|
Total
|
|
Prior Period
|
|
Current Period
|
|
Total
|
||||||||||||
Net losses paid
|
$
|
87,687
|
|
|
$
|
948
|
|
|
$
|
88,635
|
|
|
$
|
83,980
|
|
|
$
|
4,216
|
|
|
$
|
88,196
|
|
Net change in case and LAE reserves
|
(14,217
|
)
|
|
9,742
|
|
|
(4,475
|
)
|
|
(24,843
|
)
|
|
15,484
|
|
|
(9,359
|
)
|
||||||
Net change in IBNR reserves
|
(73,390
|
)
|
|
64,519
|
|
|
(8,871
|
)
|
|
(58,937
|
)
|
|
48,785
|
|
|
(10,152
|
)
|
||||||
Increase (reduction) in estimates of net ultimate losses
|
80
|
|
|
75,209
|
|
|
75,289
|
|
|
200
|
|
|
68,485
|
|
|
68,685
|
|
||||||
Increase (reduction) in provisions for unallocated LAE
|
(2,101
|
)
|
|
2,293
|
|
|
192
|
|
|
(1,926
|
)
|
|
1,925
|
|
|
(1
|
)
|
||||||
Amortization of fair value adjustments
|
(141
|
)
|
|
—
|
|
|
(141
|
)
|
|
(523
|
)
|
|
—
|
|
|
(523
|
)
|
||||||
Net incurred losses and LAE
|
$
|
(2,162
|
)
|
|
$
|
77,502
|
|
|
$
|
75,340
|
|
|
$
|
(2,249
|
)
|
|
$
|
70,410
|
|
|
$
|
68,161
|
|
|
Three Months Ended March 31,
|
||||||||||||||
|
2018
|
|
2017
|
||||||||||||
|
Premiums
Written
|
|
Premiums
Earned
|
|
Premiums
Written
|
|
Premiums
Earned
|
||||||||
Non-life Run-off
|
|
|
|
|
|
|
|
||||||||
Gross
|
$
|
7,380
|
|
|
$
|
13,110
|
|
|
$
|
983
|
|
|
$
|
1,298
|
|
Ceded
|
(7,280
|
)
|
|
(5,932
|
)
|
|
(902
|
)
|
|
(1,222
|
)
|
||||
Net
|
$
|
100
|
|
|
$
|
7,178
|
|
|
$
|
81
|
|
|
$
|
76
|
|
Atrium
|
|
|
|
|
|
|
|
||||||||
Gross
|
$
|
49,442
|
|
|
$
|
39,674
|
|
|
$
|
46,413
|
|
|
$
|
36,220
|
|
Ceded
|
(7,948
|
)
|
|
(4,451
|
)
|
|
(4,494
|
)
|
|
(4,000
|
)
|
||||
Net
|
$
|
41,494
|
|
|
$
|
35,223
|
|
|
$
|
41,919
|
|
|
$
|
32,220
|
|
StarStone
|
|
|
|
|
|
|
|
||||||||
Gross
|
$
|
304,989
|
|
|
$
|
234,943
|
|
|
$
|
226,536
|
|
|
$
|
205,584
|
|
Ceded
|
(124,426
|
)
|
|
(108,117
|
)
|
|
(107,670
|
)
|
|
(90,176
|
)
|
||||
Net
|
$
|
180,563
|
|
|
$
|
126,826
|
|
|
$
|
118,866
|
|
|
$
|
115,408
|
|
Other
|
|
|
|
|
|
|
|
||||||||
Gross
|
$
|
1,037
|
|
|
$
|
1,050
|
|
|
$
|
1,500
|
|
|
$
|
1,557
|
|
Ceded
|
(47
|
)
|
|
(58
|
)
|
|
(307
|
)
|
|
(363
|
)
|
||||
Net
|
$
|
990
|
|
|
$
|
992
|
|
|
$
|
1,193
|
|
|
$
|
1,194
|
|
Total
|
|
|
|
|
|
|
|
||||||||
Gross
|
$
|
362,848
|
|
|
$
|
288,777
|
|
|
$
|
275,432
|
|
|
$
|
244,659
|
|
Ceded
|
(139,701
|
)
|
|
(118,558
|
)
|
|
(113,373
|
)
|
|
(95,761
|
)
|
||||
Total
|
$
|
223,147
|
|
|
$
|
170,219
|
|
|
$
|
162,059
|
|
|
$
|
148,898
|
|
|
Goodwill
|
|
Intangible
assets with
a definite life - Other
|
|
Intangible
assets with
an indefinite life
|
|
Total
|
|
Intangible
assets with
a definite life - FVA
|
|
Other assets - Deferred Charges
|
||||||||||||
Balance as at January 1, 2018
|
$
|
73,071
|
|
|
$
|
20,487
|
|
|
$
|
87,031
|
|
|
$
|
180,589
|
|
|
$
|
140,393
|
|
|
$
|
80,192
|
|
Amortization
|
—
|
|
|
(1,226
|
)
|
|
—
|
|
|
(1,226
|
)
|
|
467
|
|
|
(5,081
|
)
|
||||||
Balance as at March 31, 2018
|
$
|
73,071
|
|
|
$
|
19,261
|
|
|
$
|
87,031
|
|
|
$
|
179,363
|
|
|
$
|
140,860
|
|
|
$
|
75,111
|
|
|
March 31, 2018
|
|
December 31, 2017
|
||||||||||||||||||||
|
Gross
Carrying
Value
|
|
Accumulated
Amortization
|
|
Net
Carrying
Value
|
|
Gross
Carrying
Value
|
|
Accumulated
Amortization
|
|
Net
Carrying
Value
|
||||||||||||
Intangible assets with a definite life:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Fair value adjustments:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Losses and LAE liabilities
|
$
|
462,455
|
|
|
$
|
(345,010
|
)
|
|
$
|
117,445
|
|
|
$
|
462,455
|
|
|
$
|
(345,449
|
)
|
|
$
|
117,006
|
|
Reinsurance balances recoverable
|
(179,219
|
)
|
|
165,657
|
|
|
(13,562
|
)
|
|
(179,219
|
)
|
|
165,579
|
|
|
(13,640
|
)
|
||||||
Other Assets
|
(48,840
|
)
|
|
573
|
|
|
(48,267
|
)
|
|
(48,840
|
)
|
|
440
|
|
|
(48,400
|
)
|
||||||
Other Liabilities
|
85,845
|
|
|
(601
|
)
|
|
85,244
|
|
|
85,845
|
|
|
(418
|
)
|
|
85,427
|
|
||||||
Total
|
$
|
320,241
|
|
|
$
|
(179,381
|
)
|
|
$
|
140,860
|
|
|
$
|
320,241
|
|
|
$
|
(179,848
|
)
|
|
$
|
140,393
|
|
Other:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Distribution channel
|
$
|
20,000
|
|
|
$
|
(5,777
|
)
|
|
$
|
14,223
|
|
|
$
|
20,000
|
|
|
$
|
(5,444
|
)
|
|
$
|
14,556
|
|
Technology
|
15,000
|
|
|
(13,928
|
)
|
|
1,072
|
|
|
15,000
|
|
|
(13,210
|
)
|
|
1,790
|
|
||||||
Brand
|
7,000
|
|
|
(3,034
|
)
|
|
3,966
|
|
|
7,000
|
|
|
(2,859
|
)
|
|
4,141
|
|
||||||
Total
|
$
|
42,000
|
|
|
$
|
(22,739
|
)
|
|
$
|
19,261
|
|
|
$
|
42,000
|
|
|
$
|
(21,513
|
)
|
|
$
|
20,487
|
|
Intangible assets with an indefinite life:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Lloyd’s syndicate capacity
|
$
|
37,031
|
|
|
$
|
—
|
|
|
$
|
37,031
|
|
|
$
|
37,031
|
|
|
$
|
—
|
|
|
$
|
37,031
|
|
Licenses
|
19,900
|
|
|
—
|
|
|
19,900
|
|
|
19,900
|
|
|
—
|
|
|
19,900
|
|
||||||
Management contract
|
30,100
|
|
|
—
|
|
|
30,100
|
|
|
30,100
|
|
|
—
|
|
|
30,100
|
|
||||||
Total
|
$
|
87,031
|
|
|
$
|
—
|
|
|
$
|
87,031
|
|
|
$
|
87,031
|
|
|
$
|
—
|
|
|
$
|
87,031
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Deferred charges on retroactive reinsurance
|
$
|
278,643
|
|
|
$
|
(203,532
|
)
|
|
$
|
75,111
|
|
|
$278,643
|
|
$
|
(198,451
|
)
|
|
$80,192
|
Facility
|
|
Origination Date
|
|
Term
|
|
March 31, 2018
|
|
December 31, 2017
|
||||
Senior Notes
|
|
March 10, 2017
|
|
5 years
|
|
$
|
350,000
|
|
|
$
|
350,000
|
|
Less: Unamortized debt issuance costs
|
|
|
|
|
|
(2,364
|
)
|
|
(2,484
|
)
|
||
Total Senior Notes
|
|
|
|
|
|
347,636
|
|
|
347,516
|
|
||
EGL Revolving Credit Facility
|
|
September 16, 2014
|
|
5 years
|
|
439,746
|
|
|
225,110
|
|
||
EGL Term Loan Facility
|
|
November 18, 2016
|
|
3 years
|
|
73,125
|
|
|
74,063
|
|
||
Total debt obligations
|
|
|
|
$
|
860,507
|
|
|
$
|
646,689
|
|
|
|
Three Months Ended March 31, 2018
|
|
Year Ended December 31, 2017
|
||||
Balance at beginning of period
|
|
$
|
479,606
|
|
|
$
|
454,522
|
|
Dividends paid
|
|
—
|
|
|
(27,458
|
)
|
||
Net earnings attributable to RNCI
|
|
819
|
|
|
19,619
|
|
||
Accumulated other comprehensive earnings attributable to RNCI
|
|
(27
|
)
|
|
1,945
|
|
||
Change in redemption value of RNCI
|
|
369
|
|
|
30,978
|
|
||
Balance at end of period
|
|
$
|
480,767
|
|
|
$
|
479,606
|
|
|
Three Months Ended March 31,
|
||||||
|
2018
|
|
2017
|
||||
Numerator:
|
|
|
|
||||
Net earnings (losses) from continuing operations
|
$
|
(41,210
|
)
|
|
$
|
54,309
|
|
Net earnings (losses) from discontinued operations
|
—
|
|
|
371
|
|
||
Net earnings (losses) attributable to Enstar Group Limited
|
(41,210
|
)
|
|
54,680
|
|
||
Denominator:
|
|
|
|
||||
Weighted average ordinary shares outstanding — basic
|
19,409,021
|
|
|
19,374,728
|
|
||
Effect of dilutive securities:
|
|
|
|
||||
Share-based compensation plans
|
115,630
|
|
|
55,656
|
|
||
Warrants
|
77,861
|
|
|
71,279
|
|
||
Weighted average ordinary shares outstanding — diluted
|
19,602,512
|
|
|
19,501,663
|
|
||
Earnings (losses) per share attributable to Enstar Group Limited:
|
|
|
|
||||
Basic:
|
|
|
|
||||
Net earnings (losses) from continuing operations
|
$
|
(2.12
|
)
|
|
$
|
2.80
|
|
Net earnings from discontinued operations
|
—
|
|
|
0.02
|
|
||
Net earnings (losses) per ordinary share
|
$
|
(2.12
|
)
|
|
$
|
2.82
|
|
Diluted:
|
|
|
|
||||
Net earnings (losses) from continuing operations
(1)
|
$
|
(2.12
|
)
|
|
$
|
2.78
|
|
Net earnings from discontinued operations
(1)
|
—
|
|
|
0.02
|
|
||
Net earnings (losses) per ordinary share
(1)
|
$
|
(2.12
|
)
|
|
$
|
2.80
|
|
|
|
Three Months Ended March 31,
|
||||||
|
|
2018
|
|
2017
|
||||
|
|
|
|
|
||||
Share-based Compensation Expense
|
|
$
|
6,065
|
|
|
$
|
3,824
|
|
|
|
|
|
|
||||
Employee Share Purchase Plan
|
|
$
|
83
|
|
|
$
|
108
|
|
|
|
|
|
|
||||
Pension Expense
|
|
$
|
2,638
|
|
|
$
|
2,303
|
|
|
Three Months Ended March 31, 2018
|
||||||||||||||||||
|
Non-Life
Run-Off
|
|
Atrium
|
|
StarStone
|
|
Other
|
|
Total
|
||||||||||
Gross premiums written
|
$
|
7,380
|
|
|
$
|
49,442
|
|
|
$
|
304,989
|
|
|
$
|
1,037
|
|
|
$
|
362,848
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Net premiums written
|
$
|
100
|
|
|
$
|
41,494
|
|
|
$
|
180,563
|
|
|
$
|
990
|
|
|
$
|
223,147
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Net premiums earned
|
$
|
7,178
|
|
|
$
|
35,223
|
|
|
$
|
126,826
|
|
|
$
|
992
|
|
|
$
|
170,219
|
|
Net incurred losses and LAE
|
72,978
|
|
|
(17,172
|
)
|
|
(75,340
|
)
|
|
—
|
|
|
(19,534
|
)
|
|||||
Life and Annuity Policy Benefits
|
—
|
|
|
—
|
|
|
—
|
|
|
46
|
|
|
46
|
|
|||||
Acquisition costs
|
(1,470
|
)
|
|
(12,065
|
)
|
|
(16,425
|
)
|
|
(148
|
)
|
|
(30,108
|
)
|
|||||
Operating expenses
|
(38,403
|
)
|
|
(4,177
|
)
|
|
(34,557
|
)
|
|
—
|
|
|
(77,137
|
)
|
|||||
Underwriting income
|
40,283
|
|
|
1,809
|
|
|
504
|
|
|
890
|
|
|
43,486
|
|
|||||
Net investment income
|
51,651
|
|
|
1,185
|
|
|
7,701
|
|
|
5,782
|
|
|
66,319
|
|
|||||
Net realized and unrealized losses
|
(126,296
|
)
|
|
(1,403
|
)
|
|
(12,958
|
)
|
|
(2,373
|
)
|
|
(143,030
|
)
|
|||||
Fees and commission income
|
4,898
|
|
|
3,433
|
|
|
—
|
|
|
—
|
|
|
8,331
|
|
|||||
Other income (expense)
|
17,255
|
|
|
64
|
|
|
51
|
|
|
(730
|
)
|
|
16,640
|
|
|||||
Corporate expenses
|
(8,633
|
)
|
|
(475
|
)
|
|
—
|
|
|
(9,015
|
)
|
|
(18,123
|
)
|
|||||
Interest income (expense)
|
(8,530
|
)
|
|
—
|
|
|
(541
|
)
|
|
1,060
|
|
|
(8,011
|
)
|
|||||
Net foreign exchange gains (losses)
|
(7,177
|
)
|
|
(953
|
)
|
|
1,095
|
|
|
1,167
|
|
|
(5,868
|
)
|
|||||
EARNINGS (LOSS) BEFORE INCOME TAXES
|
(36,549
|
)
|
|
3,660
|
|
|
(4,148
|
)
|
|
(3,219
|
)
|
|
(40,256
|
)
|
|||||
INCOME TAXES
|
1,117
|
|
|
(280
|
)
|
|
(998
|
)
|
|
(11
|
)
|
|
(172
|
)
|
|||||
NET EARNINGS (LOSS) FROM CONTINUING OPERATIONS
|
(35,432
|
)
|
|
3,380
|
|
|
(5,146
|
)
|
|
(3,230
|
)
|
|
(40,428
|
)
|
|||||
Net (earnings) loss attributable to noncontrolling interest
|
(1,429
|
)
|
|
(1,411
|
)
|
|
2,058
|
|
|
—
|
|
|
(782
|
)
|
|||||
NET EARNINGS (LOSS) ATTRIBUTABLE TO ENSTAR GROUP LIMITED
|
$
|
(36,861
|
)
|
|
$
|
1,969
|
|
|
$
|
(3,088
|
)
|
|
$
|
(3,230
|
)
|
|
$
|
(41,210
|
)
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Underwriting ratios:
|
|
|
|
|
|
|
|
|
|
||||||||||
Loss ratio
(1)
|
|
|
48.8
|
%
|
|
59.4
|
%
|
|
|
|
|
||||||||
Acquisition expense ratio
(1)
|
|
|
34.3
|
%
|
|
13.0
|
%
|
|
|
|
|
||||||||
Operating expense ratio
(1)
|
|
|
11.8
|
%
|
|
27.2
|
%
|
|
|
|
|
||||||||
Combined ratio
(1)
|
|
|
94.9
|
%
|
|
99.6
|
%
|
|
|
|
|
|
Three Months Ended March 31, 2017
|
||||||||||||||||||
|
Non-Life
Run-Off
|
|
Atrium
|
|
StarStone
|
|
Other
|
|
Total
|
||||||||||
Gross premiums written
|
$
|
983
|
|
|
$
|
46,413
|
|
|
$
|
226,536
|
|
|
$
|
1,500
|
|
|
$
|
275,432
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Net premiums written
|
$
|
81
|
|
|
$
|
41,919
|
|
|
$
|
118,866
|
|
|
$
|
1,193
|
|
|
$
|
162,059
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Net premiums earned
|
$
|
76
|
|
|
$
|
32,220
|
|
|
$
|
115,408
|
|
|
$
|
1,194
|
|
|
$
|
148,898
|
|
Net incurred losses and LAE
|
2,757
|
|
|
(12,488
|
)
|
|
(68,161
|
)
|
|
—
|
|
|
(77,892
|
)
|
|||||
Life and Annuity Policy Benefits
|
—
|
|
|
—
|
|
|
—
|
|
|
301
|
|
|
301
|
|
|||||
Acquisition costs
|
(400
|
)
|
|
(10,772
|
)
|
|
(10,614
|
)
|
|
965
|
|
|
(20,821
|
)
|
|||||
Operating expenses
|
(29,442
|
)
|
|
(3,407
|
)
|
|
(34,021
|
)
|
|
—
|
|
|
(66,870
|
)
|
|||||
Underwriting income (loss)
|
(27,009
|
)
|
|
5,553
|
|
|
2,612
|
|
|
2,460
|
|
|
(16,384
|
)
|
|||||
Net investment income
|
35,729
|
|
|
1,124
|
|
|
5,449
|
|
|
6,437
|
|
|
48,739
|
|
|||||
Net realized and unrealized gains (losses)
|
51,558
|
|
|
418
|
|
|
6,699
|
|
|
(156
|
)
|
|
58,519
|
|
|||||
Fees and commission income (expense)
|
8,723
|
|
|
3,372
|
|
|
1,166
|
|
|
(1,347
|
)
|
|
11,914
|
|
|||||
Other income
|
11,928
|
|
|
69
|
|
|
46
|
|
|
155
|
|
|
12,198
|
|
|||||
Corporate expenses
|
(23,349
|
)
|
|
(3,804
|
)
|
|
—
|
|
|
(8,445
|
)
|
|
(35,598
|
)
|
|||||
Interest income (expense)
|
(6,681
|
)
|
|
(271
|
)
|
|
(622
|
)
|
|
706
|
|
|
(6,868
|
)
|
|||||
Net foreign exchange losses
|
(777
|
)
|
|
(832
|
)
|
|
(1,893
|
)
|
|
(213
|
)
|
|
(3,715
|
)
|
|||||
EARNINGS (LOSSES) BEFORE INCOME TAXES
|
50,122
|
|
|
5,629
|
|
|
13,457
|
|
|
(403
|
)
|
|
68,805
|
|
|||||
INCOME TAXES
|
(960
|
)
|
|
(356
|
)
|
|
4,249
|
|
|
(4
|
)
|
|
2,929
|
|
|||||
NET EARNINGS (LOSSES) FROM CONTINUING OPERATIONS
|
49,162
|
|
|
5,273
|
|
|
17,706
|
|
|
(407
|
)
|
|
71,734
|
|
|||||
NET EARNINGS FROM DISCONTINUING OPERATIONS, NET OF INCOME TAX EXPENSE
|
—
|
|
|
—
|
|
|
—
|
|
|
371
|
|
|
371
|
|
|||||
Net earnings attributable to noncontrolling interest
|
(8,009
|
)
|
|
(2,163
|
)
|
|
(7,253
|
)
|
|
—
|
|
|
(17,425
|
)
|
|||||
NET EARNINGS (LOSSES) ATTRIBUTABLE TO ENSTAR GROUP LIMITED
|
$
|
41,153
|
|
|
$
|
3,110
|
|
|
$
|
10,453
|
|
|
$
|
(36
|
)
|
|
$
|
54,680
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Underwriting ratios:
|
|
|
|
|
|
|
|
|
|
||||||||||
Loss ratio
(1)
|
|
|
38.8
|
%
|
|
59.1
|
%
|
|
|
|
|
||||||||
Acquisition expense ratio
(1)
|
|
|
33.4
|
%
|
|
9.2
|
%
|
|
|
|
|
||||||||
Operating expense ratio
(1)
|
|
|
10.6
|
%
|
|
29.4
|
%
|
|
|
|
|
||||||||
Combined ratio
(1)
|
|
|
82.8
|
%
|
|
97.7
|
%
|
|
|
|
|
|
March 31,
|
|
December 31,
|
||||
|
2018
|
|
2017
|
||||
Assets by Segment:
|
|
|
|
||||
Non-life Run-off
|
$
|
12,223,923
|
|
|
$
|
10,368,105
|
|
Atrium
|
544,458
|
|
|
556,637
|
|
||
StarStone
|
3,268,017
|
|
|
3,128,725
|
|
||
Other
|
(424,746
|
)
|
|
(447,045
|
)
|
||
Total assets
|
$
|
15,611,652
|
|
|
$
|
13,606,422
|
|
Section
|
|
Page
|
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
•
|
Atrium Underwriting Group Limited and its subsidiaries ("Atrium"), which manage and underwrite specialist insurance and reinsurance business for Lloyd’s Syndicate 609; and
|
•
|
StarStone Insurance Bermuda Limited and its subsidiaries ("StarStone"), which is an A.M. Best A- rated global specialty insurance group with multiple underwriting platforms.
|
•
|
Net investment income
. In a rising interest rate environment, our net investment income would improve as maturities are reinvested at higher rates. Conversely, in a declining interest rate environment, our net investment income would decline as maturities are reinvested at lower rates. All else being equal, we would also expect our net investment income to grow as total investable assets increases as we acquire more business, partially offset by reductions in the investment portfolio for paid claims. We have also been implementing strategies to increase the duration of certain investment portfolios to more closely align to the duration of our reserves.
|
•
|
Net realized and unrealized gains or losses.
These arise from investments in fixed maturities, funds held, equity securities and other investments. Given the nature of our investments in fixed maturities and the average duration of our fixed maturity securities, the return of our fixed maturities investments will be impacted by changes in interest rates. In a rising rate environment, securities may experience unrealized losses prior to maturity. During the first quarter of 2018, we recognized net unrealized losses on our investments in fixed maturities of $100.3 million, primarily due to rising sovereign yields and widening credit spreads. We account for our fixed maturity securities as "trading", whereas other companies in our industry may utilize "available-for-sale" accounting. The difference is that unrealized changes on investments classified as trading are recorded through earnings, whereas unrealized changes on investments classified as available-for-sale are recorded directly to shareholders' equity. We may experience further unrealized losses on our fixed maturity investments, depending on investment conditions and general economic conditions. Unrealized amounts would only become realized in the event of a sale of the specific securities prior to maturity or a credit default. For
|
|
Three Months Ended March 31,
|
|
|
||||||||
|
2018
|
|
2017
|
|
Change
|
||||||
|
(in thousands of U.S. dollars)
|
||||||||||
INCOME
|
|
|
|
|
|
||||||
Net premiums earned
|
$
|
170,219
|
|
|
$
|
148,898
|
|
|
$
|
21,321
|
|
Fees and commission income
|
8,331
|
|
|
11,914
|
|
|
(3,583
|
)
|
|||
Net investment income
|
66,319
|
|
|
48,739
|
|
|
17,580
|
|
|||
Net realized and unrealized gains (losses)
|
(143,030
|
)
|
|
58,519
|
|
|
(201,549
|
)
|
|||
Other income
|
16,640
|
|
|
12,198
|
|
|
4,442
|
|
|||
|
118,479
|
|
|
280,268
|
|
|
(161,789
|
)
|
|||
EXPENSES
|
|
|
|
|
|
||||||
Net incurred losses and LAE
|
19,534
|
|
|
77,892
|
|
|
(58,358
|
)
|
|||
Life and annuity policy benefits
|
(46
|
)
|
|
(301
|
)
|
|
255
|
|
|||
Acquisition costs
|
30,108
|
|
|
20,821
|
|
|
9,287
|
|
|||
General and administrative expenses
|
95,260
|
|
|
102,468
|
|
|
(7,208
|
)
|
|||
Interest expense
|
8,011
|
|
|
6,868
|
|
|
1,143
|
|
|||
Net foreign exchange losses
|
5,868
|
|
|
3,715
|
|
|
2,153
|
|
|||
|
158,735
|
|
|
211,463
|
|
|
(52,728
|
)
|
|||
EARNINGS (LOSSES) BEFORE INCOME TAXES
|
(40,256
|
)
|
|
68,805
|
|
|
(109,061
|
)
|
|||
INCOME TAXES
|
(172
|
)
|
|
2,929
|
|
|
(3,101
|
)
|
|||
NET EARNINGS (LOSSES) FROM CONTINUING OPERATIONS
|
(40,428
|
)
|
|
71,734
|
|
|
(112,162
|
)
|
|||
NET EARNINGS FROM DISCONTINUED OPERATIONS, NET OF INCOME TAX EXPENSE
|
—
|
|
|
371
|
|
|
(371
|
)
|
|||
Net earnings attributable to noncontrolling interest
|
(782
|
)
|
|
(17,425
|
)
|
|
16,643
|
|
|||
NET EARNINGS (LOSSES) ATTRIBUTABLE TO ENSTAR GROUP LIMITED
|
$
|
(41,210
|
)
|
|
$
|
54,680
|
|
|
$
|
(95,890
|
)
|
•
|
Consolidated net losses of
$41.2 million
and basic and diluted losses per ordinary share of
$2.12
|
•
|
Net losses from Non-life Run-off segment of
$36.9 million
, including investment results
|
•
|
Net investment income of
$66.3 million
and net realized and unrealized losses of
$143.0 million
, comprised of
$6.0 million
of net realized losses and
$137.1 million
of net unrealized losses
|
•
|
Net premiums earned of
$170.2 million
, including
$35.2 million
and
$126.8 million
in our Atrium and StarStone segments, respectively
|
•
|
Combined ratios of
94.9%
and
99.6%
for the active underwriting operations within our Atrium and StarStone segments, respectively
|
•
|
Total investments, cash and funds held of
$11,264.1 million
|
•
|
Total reinsurance balances recoverable of
$2,368.7 million
|
•
|
Total assets of
$15,611.7 million
|
•
|
Shareholders' equity of
$3,100.0 million
and redeemable noncontrolling interest of
$480.8 million
|
•
|
Total gross reserves for losses and LAE of
$8,986.1 million
, with
$1,890.1 million
of gross reserves assumed in our Non-life Run-off operations during the
three
months ended
March 31, 2018
|
•
|
Diluted book value per ordinary share of
$157.06
|
•
|
Non-life Run-off
- Net losses attributable to the Non-life Run-off segment were
$36.9 million
for the three months ended
March 31, 2018
compared to net earnings of
$41.2 million
for the three months ended
March 31, 2017
. The
decrease
in net earnings of
$78.0 million
was primarily due to net realized and unrealized losses of
$126.3 million
on the investment portfolio in the current period, partially offset by higher favorable loss reserve development and lower expenses;
|
•
|
Atrium
- Net earnings were
$2.0 million
and
$3.1 million
for the three months ended
March 31, 2018
and
2017
, respectively. Net earnings were relatively consistent, although included a higher loss ratio in the current quarter as the prior period experienced a lower loss frequency, and lower investment results;
|
•
|
StarStone
- Net losses were
$3.1 million
for the three months ended
March 31, 2018
compared to net earnings of
$10.5 million
for the three months ended
March 31, 2017
. The
decrease
in net earnings was primarily attributable to net realized and unrealized losses on the investment portfolio, as discussed below, and a tax expense in 2018 compared to a tax benefit in 2017, partially offset by the allocation to noncontrolling interests;
|
•
|
Net Realized and Unrealized Losses
- Net realized and unrealized losses were
$143.0 million
for the three months ended
March 31, 2018
compared to net realized and unrealized gains of
$58.5 million
for the three months ended
March 31, 2017
. Net unrealized losses for the three months ended March 31, 2018 included net unrealized losses of
$100.3 million
on fixed maturities investments, which are accounted for on a trading basis through net earnings. The unrealized losses were primarily driven by increased sovereign yields and widening of corporate credit spreads in the current quarter. Many insurance companies predominantly use available-for-sale accounting where unrealized amounts are recorded directly to shareholders’ equity and therefore do not impact earnings. Unrealized amounts would only become realized in the event of a sale of the specific securities prior to maturity or a credit default.
|
•
|
Noncontrolling Interest
- The net (earnings) losses attributable to noncontrolling interest are directly related to the results from those subsidiary companies in which there are either noncontrolling interests or redeemable noncontrolling interests. The net earnings attributable to noncontrolling interest were
$0.8 million
compared to net earnings attributable to noncontrolling interest of
$17.4 million
, for the three months ended
March 31, 2018
and
2017
, respectively. The decrease was driven by the net losses in the StarStone segment, primarily due to the net realized and unrealized investment losses in 2018 discussed above.
|
|
Three Months Ended March 31,
|
||||||
|
2018
|
|
2017
|
||||
|
(in thousands of U.S. dollars)
|
||||||
Segment split of net earnings (losses) attributable to Enstar Group Limited:
|
|
|
|
||||
Non-life Run-off
|
$
|
(36,861
|
)
|
|
$
|
41,153
|
|
Atrium
|
1,969
|
|
|
3,110
|
|
||
StarStone
|
(3,088
|
)
|
|
10,453
|
|
||
Other
|
(3,230
|
)
|
|
(36
|
)
|
||
Net earnings (losses) attributable to Enstar Group Limited
|
$
|
(41,210
|
)
|
|
$
|
54,680
|
|
|
Three Months Ended March 31,
|
|
|
||||||||
|
2018
|
|
2017
|
|
Change
|
||||||
|
(in thousands of U.S. dollars)
|
||||||||||
Gross premiums written
|
$
|
7,380
|
|
|
$
|
983
|
|
|
$
|
6,397
|
|
Ceded reinsurance premiums written
|
(7,280
|
)
|
|
(902
|
)
|
|
(6,378
|
)
|
|||
Net premiums written
|
100
|
|
|
81
|
|
|
19
|
|
|||
|
|
|
|
|
|
||||||
Gross premiums earned
|
$
|
13,110
|
|
|
$
|
1,298
|
|
|
$
|
11,812
|
|
Ceded reinsurance premiums earned
|
(5,932
|
)
|
|
(1,222
|
)
|
|
(4,710
|
)
|
|||
Net premiums earned
|
$
|
7,178
|
|
|
$
|
76
|
|
|
$
|
7,102
|
|
|
Three Months Ended March 31,
|
||||||||||||||||||||||
|
2018
|
|
2017
|
||||||||||||||||||||
|
Prior
Periods |
|
Current
Period |
|
Total
|
|
Prior
Periods |
|
Current
Period |
|
Total
|
||||||||||||
|
(in thousands of U.S. dollars)
|
||||||||||||||||||||||
Net losses paid
|
$
|
252,583
|
|
|
$
|
1
|
|
|
$
|
252,584
|
|
|
$
|
156,331
|
|
|
$
|
241
|
|
|
$
|
156,572
|
|
Net change in case and LAE reserves
(1)
|
(123,492
|
)
|
|
6
|
|
|
(123,486
|
)
|
|
(83,134
|
)
|
|
—
|
|
|
(83,134
|
)
|
||||||
Net change in IBNR reserves
(2)
|
(154,450
|
)
|
|
339
|
|
|
(154,111
|
)
|
|
(79,078
|
)
|
|
431
|
|
|
(78,647
|
)
|
||||||
Amortization of deferred charge
|
5,081
|
|
|
—
|
|
|
5,081
|
|
|
946
|
|
|
—
|
|
|
946
|
|
||||||
Increase (reduction) in estimates of net ultimate losses
|
(20,278
|
)
|
|
346
|
|
|
(19,932
|
)
|
|
(4,935
|
)
|
|
672
|
|
|
(4,263
|
)
|
||||||
Increase (reduction) in provisions for unallocated LAE
|
(14,952
|
)
|
|
—
|
|
|
(14,952
|
)
|
|
(14,365
|
)
|
|
42
|
|
|
(14,323
|
)
|
||||||
Amortization of fair value adjustments
|
2,147
|
|
|
—
|
|
|
2,147
|
|
|
1,347
|
|
|
—
|
|
|
1,347
|
|
||||||
Changes in fair value - fair value option
|
(40,241
|
)
|
|
$
|
—
|
|
|
(40,241
|
)
|
|
14,482
|
|
|
—
|
|
|
14,482
|
|
|||||
Net incurred losses and LAE
|
$
|
(73,324
|
)
|
|
$
|
346
|
|
|
$
|
(72,978
|
)
|
|
$
|
(3,471
|
)
|
|
$
|
714
|
|
|
$
|
(2,757
|
)
|
|
Three Months Ended March 31,
|
|
|
||||||||
|
2018
|
|
2017
|
|
Change
|
||||||
|
(in thousands of U.S. dollars)
|
||||||||||
Operating expenses
|
$
|
38,403
|
|
|
$
|
29,442
|
|
|
$
|
8,961
|
|
Corporate expenses
|
8,633
|
|
|
23,349
|
|
|
(14,716
|
)
|
|||
General and administrative expenses
|
$
|
47,036
|
|
|
$
|
52,791
|
|
|
$
|
(5,755
|
)
|
|
Three Months Ended March 31,
|
|
|
||||||||
|
2018
|
|
2017
|
|
Change
|
||||||
|
(in thousands of U.S. dollars)
|
||||||||||
Gross premiums written
|
$
|
49,442
|
|
|
$
|
46,413
|
|
|
$
|
3,029
|
|
|
|
|
|
|
|
||||||
Net premiums written
|
$
|
41,494
|
|
|
$
|
41,919
|
|
|
$
|
(425
|
)
|
|
|
|
|
|
|
||||||
Net premiums earned
|
$
|
35,223
|
|
|
$
|
32,220
|
|
|
$
|
3,003
|
|
Net incurred losses and LAE
|
(17,172
|
)
|
|
(12,488
|
)
|
|
(4,684
|
)
|
|||
Acquisition costs
|
(12,065
|
)
|
|
(10,772
|
)
|
|
(1,293
|
)
|
|||
Operating expenses
|
(4,177
|
)
|
|
(3,407
|
)
|
|
(770
|
)
|
|||
Underwriting income
|
1,809
|
|
|
5,553
|
|
|
(3,744
|
)
|
|||
Net investment income
|
1,185
|
|
|
1,124
|
|
|
61
|
|
|||
Net realized and unrealized gains (losses)
|
(1,403
|
)
|
|
418
|
|
|
(1,821
|
)
|
|||
Fees and commission income
|
3,433
|
|
|
3,372
|
|
|
61
|
|
|||
Other income
|
64
|
|
|
69
|
|
|
(5
|
)
|
|||
Corporate expenses
|
(475
|
)
|
|
(3,804
|
)
|
|
3,329
|
|
|||
Interest expense
|
—
|
|
|
(271
|
)
|
|
271
|
|
|||
Net foreign exchange losses
|
(953
|
)
|
|
(832
|
)
|
|
(121
|
)
|
|||
EARNINGS BEFORE INCOME TAXES
|
3,660
|
|
|
5,629
|
|
|
(1,969
|
)
|
|||
INCOME TAXES
|
(280
|
)
|
|
(356
|
)
|
|
76
|
|
|||
NET EARNINGS FROM CONTINUING OPERATIONS
|
3,380
|
|
|
5,273
|
|
|
(1,893
|
)
|
|||
Net earnings attributable to noncontrolling interest
|
(1,411
|
)
|
|
(2,163
|
)
|
|
752
|
|
|||
NET EARNINGS ATTRIBUTABLE TO ENSTAR GROUP LIMITED
|
$
|
1,969
|
|
|
$
|
3,110
|
|
|
$
|
(1,141
|
)
|
|
|
|
|
|
|
||||||
Underwriting ratios:
|
|
|
|
|
|
||||||
Loss ratio
(1)
|
48.8
|
%
|
|
38.8
|
%
|
|
10.0
|
%
|
|||
Acquisition cost ratio
(1)
|
34.3
|
%
|
|
33.4
|
%
|
|
0.9
|
%
|
|||
Operating expense ratio
(1)
|
11.8
|
%
|
|
10.6
|
%
|
|
1.2
|
%
|
|||
Combined ratio
(1)
|
94.9
|
%
|
|
82.8
|
%
|
|
12.1
|
%
|
|
Three Months Ended March 31,
|
|
|
||||||||
|
2018
|
|
2017
|
|
Change
|
||||||
|
(in thousands of U.S. dollars)
|
||||||||||
Marine, Aviation and Transit
(1)
|
$
|
12,387
|
|
|
$
|
12,515
|
|
|
$
|
(128
|
)
|
Binding Authorities
(2)
|
17,709
|
|
|
15,719
|
|
|
1,990
|
|
|||
Reinsurance
|
8,932
|
|
|
9,588
|
|
|
(656
|
)
|
|||
Accident and Health
|
6,140
|
|
|
5,261
|
|
|
879
|
|
|||
Non-Marine Direct and Facultative
|
4,274
|
|
|
3,330
|
|
|
944
|
|
|||
Total
|
49,442
|
|
|
46,413
|
|
|
3,029
|
|
|
Three Months Ended March 31,
|
|
|
||||||||
|
2018
|
|
2017
|
|
Change
|
||||||
|
(in thousands of U.S. dollars)
|
||||||||||
Marine, Aviation and Transit
(1)
|
$
|
7,594
|
|
|
$
|
7,812
|
|
|
$
|
(218
|
)
|
Binding Authorities
(2)
|
16,621
|
|
|
13,796
|
|
|
2,825
|
|
|||
Reinsurance
|
3,298
|
|
|
3,702
|
|
|
(404
|
)
|
|||
Accident and Health
|
4,407
|
|
|
3,880
|
|
|
527
|
|
|||
Non-Marine Direct and Facultative
|
3,303
|
|
|
3,030
|
|
|
273
|
|
|||
Total
|
35,223
|
|
|
32,220
|
|
|
3,003
|
|
|
Three Months Ended March 31,
|
||||||||||||||||||||||
|
2018
|
|
2017
|
||||||||||||||||||||
|
Prior
Periods |
|
Current
Period |
|
Total
|
|
Prior
Periods |
|
Current
Period |
|
Total
|
||||||||||||
|
(in thousands of U.S. dollars)
|
||||||||||||||||||||||
Net losses paid
|
$
|
10,376
|
|
|
$
|
7,154
|
|
|
$
|
17,530
|
|
|
$
|
9,411
|
|
|
$
|
4,262
|
|
|
$
|
13,673
|
|
Net change in case and LAE reserves
(1)
|
(2,384
|
)
|
|
6,274
|
|
|
3,890
|
|
|
(3,116
|
)
|
|
3,710
|
|
|
594
|
|
||||||
Net change in IBNR reserves
(2)
|
(5,587
|
)
|
|
3,878
|
|
|
(1,709
|
)
|
|
(8,137
|
)
|
|
6,333
|
|
|
(1,804
|
)
|
||||||
Increase (reduction) in estimates of net ultimate losses
|
2,405
|
|
|
17,306
|
|
|
19,711
|
|
|
(1,842
|
)
|
|
14,305
|
|
|
12,463
|
|
||||||
Increase (reduction) in provisions for unallocated LAE
|
—
|
|
|
—
|
|
|
—
|
|
|
(124
|
)
|
|
116
|
|
|
(8
|
)
|
||||||
Amortization of fair value adjustments
|
(2,539
|
)
|
|
—
|
|
|
(2,539
|
)
|
|
33
|
|
|
—
|
|
|
33
|
|
||||||
Net incurred losses and LAE
|
$
|
(134
|
)
|
|
$
|
17,306
|
|
|
$
|
17,172
|
|
|
$
|
(1,933
|
)
|
|
$
|
14,421
|
|
|
$
|
12,488
|
|
|
Three Months Ended March 31,
|
|
|
||||||||
|
2018
|
|
2017
|
|
Change
|
||||||
|
(in thousands of U.S. dollars)
|
||||||||||
Gross premiums written
|
$
|
304,989
|
|
|
$
|
226,536
|
|
|
$
|
78,453
|
|
|
|
|
|
|
|
||||||
Net premiums written
|
$
|
180,563
|
|
|
$
|
118,866
|
|
|
$
|
61,697
|
|
|
|
|
|
|
|
||||||
Net premiums earned
|
$
|
126,826
|
|
|
$
|
115,408
|
|
|
$
|
11,418
|
|
Net incurred losses and LAE
|
(75,340
|
)
|
|
(68,161
|
)
|
|
(7,179
|
)
|
|||
Acquisition costs
|
(16,425
|
)
|
|
(10,614
|
)
|
|
(5,811
|
)
|
|||
Operating expenses
|
(34,557
|
)
|
|
(34,021
|
)
|
|
(536
|
)
|
|||
Underwriting income
|
504
|
|
|
2,612
|
|
|
(2,108
|
)
|
|||
Net investment income
|
7,701
|
|
|
5,449
|
|
|
2,252
|
|
|||
Net realized and unrealized gains (losses)
|
(12,958
|
)
|
|
6,699
|
|
|
(19,657
|
)
|
|||
Fees and commission income
|
—
|
|
|
1,166
|
|
|
(1,166
|
)
|
|||
Other income
|
51
|
|
|
46
|
|
|
5
|
|
|||
Interest expense
|
(541
|
)
|
|
(622
|
)
|
|
81
|
|
|||
Net foreign exchange gains (losses)
|
1,095
|
|
|
(1,893
|
)
|
|
2,988
|
|
|||
EARNINGS (LOSSES) BEFORE INCOME TAXES
|
(4,148
|
)
|
|
13,457
|
|
|
(17,605
|
)
|
|||
INCOME TAXES
|
(998
|
)
|
|
4,249
|
|
|
(5,247
|
)
|
|||
NET EARNINGS (LOSSES) FROM CONTINUING OPERATIONS
|
(5,146
|
)
|
|
17,706
|
|
|
(22,852
|
)
|
|||
Net (earnings) losses attributable to noncontrolling interest
|
2,058
|
|
|
(7,253
|
)
|
|
9,311
|
|
|||
NET EARNINGS (LOSSES) ATTRIBUTABLE TO ENSTAR GROUP LIMITED
|
$
|
(3,088
|
)
|
|
$
|
10,453
|
|
|
$
|
(13,541
|
)
|
|
|
|
|
|
|
||||||
Underwriting ratios:
|
|
|
|
|
|
||||||
Loss ratio
(1)
|
59.4
|
%
|
|
59.1
|
%
|
|
0.3
|
%
|
|||
Acquisition cost ratio
(1)
|
13.0
|
%
|
|
9.2
|
%
|
|
3.8
|
%
|
|||
Operating expense ratio
(1)
|
27.2
|
%
|
|
29.4
|
%
|
|
(2.2
|
)%
|
|||
Combined ratio
(1)
|
99.6
|
%
|
|
97.7
|
%
|
|
1.9
|
%
|
(1)
|
Refer to "Underwriting Ratios" for a description of how these ratios are calculated.
|
|
Three Months Ended March 31,
|
|
|
||||||||
|
2018
|
|
2017
|
|
Change
|
||||||
|
(in thousands of U.S. dollars)
|
||||||||||
Casualty
|
$
|
74,869
|
|
|
$
|
67,031
|
|
|
$
|
7,838
|
|
Marine
|
100,926
|
|
|
75,752
|
|
|
25,174
|
|
|||
Property
|
82,242
|
|
|
50,257
|
|
|
31,985
|
|
|||
Aerospace
|
10,008
|
|
|
9,327
|
|
|
681
|
|
|||
Workers' Compensation
|
36,944
|
|
|
24,169
|
|
|
12,775
|
|
|||
Total
|
$
|
304,989
|
|
|
$
|
226,536
|
|
|
$
|
78,453
|
|
|
Three Months Ended March 31,
|
|
|
||||||||
|
2018
|
|
2017
|
|
Change
|
||||||
|
(in thousands of U.S. dollars)
|
||||||||||
Casualty
|
$
|
39,767
|
|
|
$
|
35,709
|
|
|
$
|
4,058
|
|
Marine
|
39,224
|
|
|
27,310
|
|
|
11,914
|
|
|||
Property
|
24,192
|
|
|
27,720
|
|
|
(3,528
|
)
|
|||
Aerospace
|
11,608
|
|
|
13,473
|
|
|
(1,865
|
)
|
|||
Workers' Compensation
|
12,035
|
|
|
11,196
|
|
|
839
|
|
|||
Total
|
$
|
126,826
|
|
|
$
|
115,408
|
|
|
$
|
11,418
|
|
|
Three Months Ended March 31,
|
||||||||||||||||||||||
|
2018
|
|
2017
|
||||||||||||||||||||
|
Prior
Periods |
|
Current
Period |
|
Total
|
|
Prior
Periods |
|
Current
Period |
|
Total
|
||||||||||||
|
(in thousands of U.S. dollars)
|
||||||||||||||||||||||
Net losses paid
|
$
|
87,687
|
|
|
$
|
948
|
|
|
$
|
88,635
|
|
|
$
|
83,980
|
|
|
$
|
4,216
|
|
|
$
|
88,196
|
|
Net change in case and LAE reserves
(1)
|
(14,217
|
)
|
|
9,742
|
|
|
(4,475
|
)
|
|
(24,843
|
)
|
|
15,484
|
|
|
(9,359
|
)
|
||||||
Net change in IBNR reserves
(2)
|
(73,390
|
)
|
|
64,519
|
|
|
(8,871
|
)
|
|
(58,937
|
)
|
|
48,785
|
|
|
(10,152
|
)
|
||||||
Increase (reduction) in estimates of net ultimate losses
|
80
|
|
|
75,209
|
|
|
75,289
|
|
|
200
|
|
|
68,485
|
|
|
68,685
|
|
||||||
Increase (reduction) in provisions for unallocated LAE
|
(2,101
|
)
|
|
2,293
|
|
|
192
|
|
|
(1,926
|
)
|
|
1,925
|
|
|
(1
|
)
|
||||||
Amortization of fair value adjustments
|
(141
|
)
|
|
—
|
|
|
(141
|
)
|
|
(523
|
)
|
|
—
|
|
|
(523
|
)
|
||||||
Net incurred losses and LAE
|
$
|
(2,162
|
)
|
|
$
|
77,502
|
|
|
$
|
75,340
|
|
|
$
|
(2,249
|
)
|
|
$
|
70,410
|
|
|
$
|
68,161
|
|
|
Three Months Ended March 31,
|
|
|
||||||||
|
2018
|
|
2017
|
|
Change
|
||||||
|
(in thousands of U.S. dollars)
|
||||||||||
Net premiums earned
|
$
|
992
|
|
|
$
|
1,194
|
|
|
$
|
(202
|
)
|
Life and Annuity Policy Benefits
|
46
|
|
|
301
|
|
|
(255
|
)
|
|||
Acquisition costs
|
(148
|
)
|
|
965
|
|
|
(1,113
|
)
|
|||
Underwriting income
|
890
|
|
|
2,460
|
|
|
(1,570
|
)
|
|||
Net investment income
|
5,782
|
|
|
6,437
|
|
|
(655
|
)
|
|||
Net realized and unrealized losses
|
(2,373
|
)
|
|
(156
|
)
|
|
(2,217
|
)
|
|||
Fees and commission income (expense)
|
—
|
|
|
(1,347
|
)
|
|
1,347
|
|
|||
Other income (expense)
|
(730
|
)
|
|
155
|
|
|
(885
|
)
|
|||
Corporate expenses
|
(9,015
|
)
|
|
(8,445
|
)
|
|
(570
|
)
|
|||
Interest income (expense)
|
1,060
|
|
|
706
|
|
|
354
|
|
|||
Net foreign exchange gains (losses)
|
1,167
|
|
|
(213
|
)
|
|
1,380
|
|
|||
EARNINGS (LOSSES) BEFORE INCOME TAXES
|
(3,219
|
)
|
|
(403
|
)
|
|
(2,816
|
)
|
|||
INCOME TAXES
|
(11
|
)
|
|
(4
|
)
|
|
(7
|
)
|
|||
NET EARNINGS (LOSSES) FROM CONTINUING OPERATIONS
|
(3,230
|
)
|
|
(407
|
)
|
|
(2,823
|
)
|
|||
NET EARNINGS FROM DISCONTINUING OPERATIONS, NET OF INCOME TAX EXPENSE
|
—
|
|
|
371
|
|
|
(371
|
)
|
|||
NET EARNINGS (LOSSES) ATTRIBUTABLE TO ENSTAR GROUP LIMITED
|
$
|
(3,230
|
)
|
|
$
|
(36
|
)
|
|
$
|
(3,194
|
)
|
|
|
March 31, 2018
|
||||||||||||||||||
|
|
Non-life
Run-off
|
|
Atrium
|
|
StarStone
|
|
Other
|
|
Total
|
||||||||||
|
|
(in thousands of U.S. dollars)
|
||||||||||||||||||
Short-term investments, trading, at fair value
|
|
$
|
204,751
|
|
|
$
|
1,965
|
|
|
$
|
7,810
|
|
|
$
|
—
|
|
|
$
|
214,526
|
|
Fixed maturities, trading, at fair value
|
|
5,041,667
|
|
|
112,048
|
|
|
1,185,247
|
|
|
—
|
|
|
6,338,962
|
|
|||||
Fixed maturities, available-for-sale, at fair value
|
|
—
|
|
|
61,001
|
|
|
—
|
|
|
133,935
|
|
|
194,936
|
|
|||||
Equities, trading, at fair value
|
|
107,637
|
|
|
2,757
|
|
|
30,082
|
|
|
—
|
|
|
140,476
|
|
|||||
Other investments, at fair value
|
|
969,301
|
|
|
6,821
|
|
|
138,491
|
|
|
15,072
|
|
|
1,129,685
|
|
|||||
Other investments, at cost
|
|
—
|
|
|
—
|
|
|
—
|
|
|
117,889
|
|
|
117,889
|
|
|||||
Total investments
|
|
6,323,356
|
|
|
184,592
|
|
|
1,361,630
|
|
|
266,896
|
|
|
8,136,474
|
|
|||||
Cash and cash equivalents (including restricted cash and cash equivalents)
|
|
761,487
|
|
|
61,310
|
|
|
292,020
|
|
|
21,146
|
|
|
1,135,963
|
|
|||||
Funds held - directly managed
|
|
1,176,913
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1,176,913
|
|
|||||
Funds held by reinsured companies
|
|
772,310
|
|
|
26,602
|
|
|
15,865
|
|
|
—
|
|
|
814,777
|
|
|||||
Total investable assets
|
|
$
|
9,034,066
|
|
|
$
|
272,504
|
|
|
$
|
1,669,515
|
|
|
$
|
288,042
|
|
|
$
|
11,264,127
|
|
Duration (in years)
|
|
5.49
|
|
|
1.16
|
|
|
2.08
|
|
|
5.98
|
|
|
4.82
|
|
|||||
Average Credit Rating
(1)
|
|
A+
|
|
|
AA-
|
|
|
A+
|
|
|
AA-
|
|
|
A+
|
|
|
|
December 31, 2017
|
||||||||||||||||||
|
|
Non-life
Run-off
|
|
Atrium
|
|
StarStone
|
|
Other
|
|
Total
|
||||||||||
|
|
(in thousands of U.S. dollars)
|
||||||||||||||||||
Short-term investments, trading, at fair value
|
|
$
|
165,388
|
|
|
$
|
2,452
|
|
|
$
|
12,371
|
|
|
$
|
—
|
|
|
$
|
180,211
|
|
Fixed maturities, trading, at fair value
|
|
4,407,094
|
|
|
107,083
|
|
|
1,181,896
|
|
|
—
|
|
|
5,696,073
|
|
|||||
Fixed maturities, available-for-sale, at fair value
|
|
44
|
|
|
79,246
|
|
|
—
|
|
|
130,995
|
|
|
210,285
|
|
|||||
Equities, trading, at fair value
|
|
97,187
|
|
|
2,671
|
|
|
6,745
|
|
|
—
|
|
|
106,603
|
|
|||||
Other investments, at fair value
|
|
732,482
|
|
|
6,523
|
|
|
159,239
|
|
|
15,148
|
|
|
913,392
|
|
|||||
Other investments, at cost
|
|
—
|
|
|
—
|
|
|
—
|
|
|
125,621
|
|
|
125,621
|
|
|||||
Total investments
|
|
5,402,195
|
|
|
197,975
|
|
|
1,360,251
|
|
|
271,764
|
|
|
7,232,185
|
|
|||||
Cash and cash equivalents (including restricted cash and cash equivalents)
|
|
868,243
|
|
|
51,500
|
|
|
264,664
|
|
|
28,429
|
|
|
1,212,836
|
|
|||||
Funds held - directly managed
|
|
1,179,940
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1,179,940
|
|
|||||
Funds held by reinsured companies
|
|
133,731
|
|
|
26,646
|
|
|
15,006
|
|
|
—
|
|
|
175,383
|
|
|||||
Total investable assets
|
|
$
|
7,584,109
|
|
|
$
|
276,121
|
|
|
$
|
1,639,921
|
|
|
$
|
300,193
|
|
|
$
|
9,800,344
|
|
Duration (in years)
|
|
5.67
|
|
|
1.86
|
|
|
2.33
|
|
|
5.52
|
|
|
4.98
|
|
|||||
Average Credit Rating
(1)
|
|
A+
|
|
|
AA-
|
|
|
A+
|
|
|
AA-
|
|
|
A+
|
|
|
|
March 31, 2018
|
|||||||||||||||||||||||||||||
|
|
Fair Value
|
|||||||||||||||||||||||||||||
|
|
AAA Rated
|
|
AA Rated
|
|
A Rated
|
|
BBB Rated
|
|
Non-investment Grade
|
|
Not Rated
|
|
Total
|
|
%
|
|||||||||||||||
|
|
(in thousands of U.S. dollars, except percentages)
|
|||||||||||||||||||||||||||||
Fixed maturity and short-term investments, trading and available-for-sale
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
U.S. government & agency
|
|
$
|
472,466
|
|
|
$
|
589
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
473,055
|
|
|
5.8
|
%
|
Non-U.S. government
|
|
323,183
|
|
|
609,204
|
|
|
84,316
|
|
|
60,547
|
|
|
6,038
|
|
|
—
|
|
|
1,083,288
|
|
|
13.3
|
%
|
|||||||
Corporate
|
|
168,725
|
|
|
416,632
|
|
|
2,037,741
|
|
|
1,074,943
|
|
|
178,958
|
|
|
1,134
|
|
|
3,878,133
|
|
|
47.7
|
%
|
|||||||
Municipal
|
|
19,574
|
|
|
63,724
|
|
|
12,778
|
|
|
3,400
|
|
|
—
|
|
|
—
|
|
|
99,476
|
|
|
1.2
|
%
|
|||||||
Residential mortgage-backed
|
|
144,650
|
|
|
5,774
|
|
|
14,437
|
|
|
657
|
|
|
96,079
|
|
|
923
|
|
|
262,520
|
|
|
3.2
|
%
|
|||||||
Commercial mortgage-backed
|
|
211,536
|
|
|
47,498
|
|
|
72,257
|
|
|
53,254
|
|
|
7,619
|
|
|
14,924
|
|
|
407,088
|
|
|
5.0
|
%
|
|||||||
Asset-backed
|
|
264,078
|
|
|
41,558
|
|
|
76,995
|
|
|
71,665
|
|
|
89,278
|
|
|
1,290
|
|
|
544,864
|
|
|
6.7
|
%
|
|||||||
Total
|
|
1,604,212
|
|
|
1,184,979
|
|
|
2,298,524
|
|
|
1,264,466
|
|
|
377,972
|
|
|
18,271
|
|
|
6,748,424
|
|
|
82.9
|
%
|
|||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Equities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
U.S.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
102,932
|
|
|
1.3
|
%
|
|||||||||||||
International
|
|
|
|
|
|
|
|
|
|
|
|
|
|
37,544
|
|
|
0.5
|
%
|
|||||||||||||
Total
|
|
|
|
|
|
|
|
|
|
|
|
|
|
140,476
|
|
|
1.8
|
%
|
|||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Other investments
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Private equity funds
|
|
|
|
|
|
|
|
|
|
|
|
|
|
246,151
|
|
|
3.0
|
%
|
|||||||||||||
Fixed income funds
|
|
|
|
|
|
|
|
|
|
|
|
|
|
230,174
|
|
|
2.8
|
%
|
|||||||||||||
Hedge funds
|
|
|
|
|
|
|
|
|
|
|
|
|
|
172,446
|
|
|
2.1
|
%
|
|||||||||||||
Equity funds
|
|
|
|
|
|
|
|
|
|
|
|
|
|
399,980
|
|
|
4.9
|
%
|
|||||||||||||
CLO equities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
56,346
|
|
|
0.7
|
%
|
|||||||||||||
CLO equity funds
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11,910
|
|
|
0.1
|
%
|
|||||||||||||
Private credit funds
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,419
|
|
|
0.1
|
%
|
|||||||||||||
Call options on equity
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,480
|
|
|
0.1
|
%
|
|||||||||||||
Other
|
|
|
|
|
|
|
|
|
|
|
|
|
|
779
|
|
|
—
|
%
|
|||||||||||||
Total
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,129,685
|
|
|
13.8
|
%
|
|||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Other investments
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Life settlements
|
|
|
|
|
|
|
|
|
|
|
|
|
|
119,500
|
|
|
1.5
|
%
|
|||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Total investments
|
|
$
|
1,604,212
|
|
|
$
|
1,184,979
|
|
|
$
|
2,298,524
|
|
|
$
|
1,264,466
|
|
|
$
|
377,972
|
|
|
$
|
18,271
|
|
|
$
|
8,138,085
|
|
|
100.0
|
%
|
|
|
December 31, 2017
|
|||||||||||||||||||||||||||||
|
|
Fair Value
|
|||||||||||||||||||||||||||||
|
|
AAA Rated
|
|
AA Rated
|
|
A Rated
|
|
BBB Rated
|
|
Non-investment Grade
|
|
Not Rated
|
|
Total
|
|
%
|
|||||||||||||||
|
|
(in thousands of U.S. dollars, except percentages)
|
|||||||||||||||||||||||||||||
Fixed maturity and short-term investments, trading and available-for-sale
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
U.S. government & agency
|
|
$
|
556,859
|
|
|
$
|
1,364
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
558,223
|
|
|
7.7
|
%
|
Non-U.S. government
|
|
134,619
|
|
|
409,315
|
|
|
79,030
|
|
|
62,964
|
|
|
6,641
|
|
|
—
|
|
|
692,569
|
|
|
9.6
|
%
|
|||||||
Corporate
|
|
123,059
|
|
|
375,252
|
|
|
1,854,503
|
|
|
932,238
|
|
|
188,237
|
|
|
4,892
|
|
|
3,478,181
|
|
|
48.1
|
%
|
|||||||
Municipal
|
|
26,313
|
|
|
62,605
|
|
|
12,864
|
|
|
3,575
|
|
|
—
|
|
|
—
|
|
|
105,357
|
|
|
1.5
|
%
|
|||||||
Residential mortgage-backed
|
|
166,386
|
|
|
7,425
|
|
|
14,204
|
|
|
678
|
|
|
98,997
|
|
|
1,054
|
|
|
288,744
|
|
|
4.0
|
%
|
|||||||
Commercial mortgage-backed
|
|
222,656
|
|
|
38,176
|
|
|
77,811
|
|
|
59,358
|
|
|
9,555
|
|
|
13,992
|
|
|
421,548
|
|
|
5.8
|
%
|
|||||||
Asset-backed
|
|
272,784
|
|
|
43,539
|
|
|
68,489
|
|
|
69,116
|
|
|
88,019
|
|
|
—
|
|
|
541,947
|
|
|
7.4
|
%
|
|||||||
Total
|
|
1,502,676
|
|
|
937,676
|
|
|
2,106,901
|
|
|
1,127,929
|
|
|
391,449
|
|
|
19,938
|
|
|
6,086,569
|
|
|
84.1
|
%
|
|||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Equities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
U.S.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
106,363
|
|
|
1.5
|
%
|
|||||||||||||
International
|
|
|
|
|
|
|
|
|
|
|
|
|
|
240
|
|
|
—
|
%
|
|||||||||||||
Total
|
|
|
|
|
|
|
|
|
|
|
|
|
|
106,603
|
|
|
1.5
|
%
|
|||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Other investments
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Private equity funds
|
|
|
|
|
|
|
|
|
|
|
|
|
|
289,556
|
|
|
4.0
|
%
|
|||||||||||||
Fixed income funds
|
|
|
|
|
|
|
|
|
|
|
|
|
|
229,999
|
|
|
3.2
|
%
|
|||||||||||||
Fixed income hedge funds
|
|
|
|
|
|
|
|
|
|
|
|
|
|
63,773
|
|
|
0.9
|
%
|
|||||||||||||
Equity funds
|
|
|
|
|
|
|
|
|
|
|
|
|
|
249,475
|
|
|
3.4
|
%
|
|||||||||||||
CLO equities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
56,765
|
|
|
0.8
|
%
|
|||||||||||||
CLO equity funds
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12,840
|
|
|
0.2
|
%
|
|||||||||||||
Private credit funds
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,156
|
|
|
0.1
|
%
|
|||||||||||||
Other
|
|
|
|
|
|
|
|
|
|
|
|
|
|
828
|
|
|
—
|
%
|
|||||||||||||
Total
|
|
|
|
|
|
|
|
|
|
|
|
|
|
913,392
|
|
|
12.6
|
%
|
|||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Other investments
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Life settlements
|
|
|
|
|
|
|
|
|
|
|
|
|
|
131,896
|
|
|
1.8
|
%
|
|||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Total investments
|
|
$
|
1,502,676
|
|
|
$
|
937,676
|
|
|
$
|
2,106,901
|
|
|
$
|
1,127,929
|
|
|
$
|
391,449
|
|
|
$
|
19,938
|
|
|
$
|
7,238,460
|
|
|
100.0
|
%
|
|
Fair Value
|
|
Average Credit Rating
|
||
|
(in thousands of U.S. dollars)
|
|
|
||
Lloyds Banking Group PLC
|
$
|
104,300
|
|
|
A+
|
General Electric Co
|
90,992
|
|
|
A
|
|
Apple Inc
|
83,011
|
|
|
AA+
|
|
Wells Fargo & Co
|
79,546
|
|
|
A
|
|
JPMorgan Chase & Co
|
69,661
|
|
|
A-
|
|
Anheuser-Busch InBev SA/NV
|
64,770
|
|
|
A-
|
|
Morgan Stanley
|
60,464
|
|
|
A-
|
|
Bank of America Corp
|
53,320
|
|
|
A-
|
|
National Australia Bank Ltd
|
50,053
|
|
|
AAA
|
|
Citigroup Inc
|
49,572
|
|
|
A
|
|
|
$
|
705,689
|
|
|
|
|
|
March 31, 2018
|
|||||||||||||||||||||
|
|
Fair Value
|
|||||||||||||||||||||
|
|
AAA Rated
|
|
AA Rated
|
|
A Rated
|
|
BBB Rated
|
|
Total
|
|
%
|
|||||||||||
|
|
(in thousands of U.S. dollars, except percentages)
|
|||||||||||||||||||||
Fixed maturity investments:
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
U.S. government & agency
|
|
$
|
79,240
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
79,240
|
|
|
6.7
|
%
|
Non-U.S. government
|
|
—
|
|
|
—
|
|
|
2,889
|
|
|
6,225
|
|
|
9,114
|
|
|
0.8
|
%
|
|||||
Corporate
|
|
7,326
|
|
|
26,174
|
|
|
301,212
|
|
|
331,373
|
|
|
666,085
|
|
|
56.7
|
%
|
|||||
Municipal
|
|
—
|
|
|
19,972
|
|
|
29,676
|
|
|
7,407
|
|
|
57,055
|
|
|
4.8
|
%
|
|||||
Residential mortgage-backed
|
|
45,987
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
45,987
|
|
|
3.9
|
%
|
|||||
Commercial mortgage-backed
|
|
197,795
|
|
|
6,472
|
|
|
1,981
|
|
|
—
|
|
|
206,248
|
|
|
17.5
|
%
|
|||||
Asset-backed
|
|
86,901
|
|
|
3,699
|
|
|
—
|
|
|
—
|
|
|
90,600
|
|
|
7.7
|
%
|
|||||
Total
|
|
417,249
|
|
|
56,317
|
|
|
335,758
|
|
|
345,005
|
|
|
1,154,329
|
|
|
98.1
|
%
|
|||||
Other assets
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
22,584
|
|
|
1.9
|
%
|
|||||
Total funds held - directly managed
|
|
$
|
417,249
|
|
|
$
|
56,317
|
|
|
$
|
335,758
|
|
|
$
|
345,005
|
|
|
$
|
1,176,913
|
|
|
100.0
|
%
|
|
|
December 31, 2017
|
|||||||||||||||||||||
|
|
Fair Value
|
|||||||||||||||||||||
|
|
AAA Rated
|
|
AA Rated
|
|
A Rated
|
|
BBB Rated
|
|
Total
|
|
%
|
|||||||||||
|
|
(in thousands of U.S. dollars, except percentages)
|
|||||||||||||||||||||
Fixed maturity investments:
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
U.S. government & agency
|
|
$
|
69,850
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
69,850
|
|
|
5.9
|
%
|
Non-U.S. government
|
|
—
|
|
|
—
|
|
|
2,926
|
|
|
—
|
|
|
2,926
|
|
|
0.2
|
%
|
|||||
Corporate
|
|
7,754
|
|
|
25,418
|
|
|
315,385
|
|
|
346,933
|
|
|
695,490
|
|
|
59.0
|
%
|
|||||
Municipal
|
|
—
|
|
|
20,921
|
|
|
30,449
|
|
|
7,560
|
|
|
58,930
|
|
|
5.0
|
%
|
|||||
Residential mortgage-backed
|
|
29,439
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
29,439
|
|
|
2.5
|
%
|
|||||
Commercial mortgage-backed
|
|
202,608
|
|
|
6,576
|
|
|
2,002
|
|
|
—
|
|
|
211,186
|
|
|
17.9
|
%
|
|||||
Asset-backed
|
|
93,849
|
|
|
3,716
|
|
|
—
|
|
|
—
|
|
|
97,565
|
|
|
8.3
|
%
|
|||||
Total
|
|
403,500
|
|
|
56,631
|
|
|
350,762
|
|
|
354,493
|
|
|
1,165,386
|
|
|
98.8
|
%
|
|||||
Other assets
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
14,554
|
|
|
1.2
|
%
|
|||||
Total funds held - directly managed
|
|
$
|
403,500
|
|
|
$
|
56,631
|
|
|
$
|
350,762
|
|
|
$
|
354,493
|
|
|
$
|
1,179,940
|
|
|
100.0
|
%
|
|
Fair Value
|
|
Average Credit Rating
|
||
|
(in thousands of U.S. dollars)
|
|
|
||
Credit Suisse Group AG
|
$
|
11,130
|
|
|
BBB+
|
HSBC Holdings PLC
|
11,007
|
|
|
A
|
|
Wells Fargo & Co
|
10,917
|
|
|
A
|
|
Citigroup Inc
|
10,738
|
|
|
BBB+
|
|
Verizon Communications Inc
|
10,626
|
|
|
BBB+
|
|
UBS Group AG
|
10,597
|
|
|
A-
|
|
Morgan Stanley
|
10,537
|
|
|
A-
|
|
JPMorgan Chase & Co
|
10,093
|
|
|
A-
|
|
Barclays PLC
|
9,404
|
|
|
BBB
|
|
Oracle Corp
|
9,384
|
|
|
A+
|
|
|
$
|
104,433
|
|
|
|
|
|
Three Months Ended March 31,
|
|
|
||||||||
|
|
2018
|
|
2017
|
|
Change
|
||||||
Net investment income:
|
|
(in thousands of U.S. dollars, except percentages)
|
||||||||||
Fixed maturity investments
|
|
$
|
43,888
|
|
|
$
|
30,330
|
|
|
$
|
13,558
|
|
Short-term investments and cash and cash equivalents
|
|
2,082
|
|
|
2,640
|
|
|
(558
|
)
|
|||
Funds held
|
|
3,129
|
|
|
39
|
|
|
3,090
|
|
|||
Funds held – directly managed
|
|
8,626
|
|
|
7,002
|
|
|
1,624
|
|
|||
Investment income from fixed maturities and cash and cash equivalents
|
|
57,725
|
|
|
40,011
|
|
|
17,714
|
|
|||
Equity securities
|
|
1,490
|
|
|
726
|
|
|
764
|
|
|||
Other investments
|
|
3,314
|
|
|
3,509
|
|
|
(195
|
)
|
|||
Life settlements and other
|
|
6,659
|
|
|
6,896
|
|
|
(237
|
)
|
|||
Investment income from equities and other investments
|
|
11,463
|
|
|
11,131
|
|
|
332
|
|
|||
Gross investment income
|
|
69,188
|
|
|
51,142
|
|
|
18,046
|
|
|||
Investment expenses
|
|
(2,869
|
)
|
|
(2,403
|
)
|
|
(466
|
)
|
|||
Net investment income
|
|
$
|
66,319
|
|
|
$
|
48,739
|
|
|
$
|
17,580
|
|
|
|
|
|
|
|
|
||||||
Net realized gains (losses) on sale:
|
|
|
|
|
|
|
||||||
Net realized gains (losses) on fixed maturity securities
|
|
$
|
(6,977
|
)
|
|
$
|
(903
|
)
|
|
$
|
(6,074
|
)
|
Net realized investment gains on equity securities, trading
|
|
903
|
|
|
574
|
|
|
329
|
|
|||
Net realized investment gains (losses) on funds held - directly managed
|
|
96
|
|
|
(3,853
|
)
|
|
3,949
|
|
|||
Total net realized gains (losses) on sale
|
|
(5,978
|
)
|
|
(4,182
|
)
|
|
(1,796
|
)
|
|||
Net unrealized gains (losses):
|
|
|
|
|
|
|
||||||
Fixed maturity securities, trading
|
|
(100,301
|
)
|
|
23,316
|
|
|
(123,617
|
)
|
|||
Equity securities, trading
|
|
3,835
|
|
|
8,686
|
|
|
(4,851
|
)
|
|||
Other investments
|
|
(9,662
|
)
|
|
23,509
|
|
|
(33,171
|
)
|
|||
Change in fair value of embedded derivative on funds held – directly managed
|
|
(27,881
|
)
|
|
6,928
|
|
|
(34,809
|
)
|
|||
Change in value of fair value option on funds held - directly managed
|
|
(3,043
|
)
|
|
262
|
|
|
(3,305
|
)
|
|||
Total net unrealized gains (losses)
|
|
(137,052
|
)
|
|
62,701
|
|
|
(199,753
|
)
|
|||
Net realized and unrealized gains (losses)
|
|
$
|
(143,030
|
)
|
|
$
|
58,519
|
|
|
$
|
(201,549
|
)
|
|
|
|
|
|
|
|
||||||
Annualized Investment Book Yield
|
|
|
|
|
|
|
||||||
Income from cash and fixed maturities
|
|
$
|
230,900
|
|
|
$
|
160,044
|
|
|
$
|
70,856
|
|
Average aggregate fixed maturities and cash and cash equivalents, at cost
(1)
|
|
$
|
9,304,308
|
|
|
$
|
8,319,055
|
|
|
$
|
985,253
|
|
Investment book yield
|
|
2.48
|
%
|
|
1.92
|
%
|
|
0.56
|
%
|
|||
|
|
|
|
|
|
|
||||||
Financial Statement Portfolio Return
|
|
|
|
|
|
|
||||||
Total financial statement return
(2)
|
|
$
|
(76,711
|
)
|
|
$
|
107,258
|
|
|
$
|
(183,969
|
)
|
Average aggregate invested assets, at fair value
(1)
|
|
$
|
10,635,330
|
|
|
$
|
8,953,237
|
|
|
$
|
1,682,093
|
|
Financial statement portfolio return
|
|
(0.72
|
)%
|
|
1.20
|
%
|
|
(1.92
|
)%
|
•
|
net realized losses on sale of investments of
$6.0 million
for the three months ended
March 31, 2018
, compared to net realized losses on sale of investments of
$4.2 million
for the three months ended
March 31, 2017
, an increase in net realized losses on sale of investments of
$1.8 million
;
|
•
|
net unrealized losses on fixed maturity securities, trading, of
$100.3 million
for the three months ended
March 31, 2018
, compared to net unrealized gains of
$23.3 million
for the three months ended
March 31, 2017
, a decrease of
$123.6 million
, primarily driven by increased sovereign yields and widening of corporate credit spreads in the current period;
|
•
|
net unrealized gains on equity securities, trading, of
$3.8 million
for the three months ended
March 31, 2018
, compared to net unrealized gains of
$8.7 million
for the three months ended
March 31, 2017
, a decrease of
$4.9 million
, primarily driven by a general decline in equity markets in 2018;
|
•
|
negative change in fair value of other investments of
$9.7 million
for the three months ended
March 31, 2018
, compared to positive change of
$23.5 million
for the three months ended
March 31, 2017
, a decrease of
$33.2 million
, primarily driven by lower returns in private equities and private equity funds, fixed income funds and equity funds partially offset by higher returns in hedge funds and CLO equities; and
|
•
|
negative change in fair value of embedded derivative on funds held and negative change in fair value option on funds held of
$30.9 million
for the three months ended
March 31, 2018
, compared to positive change of
$7.2 million
for the three months ended
March 31, 2017
, a decrease of
$38.1 million
, primarily driven by increased sovereign yields and widening of corporate credit spreads in the current period.
|
|
|
Three Months Ended March 31,
|
|
|
||||||||
|
|
2018
|
|
2017
|
|
Change
|
||||||
Net investment income:
|
|
(in thousands of U.S. dollars, except percentages)
|
||||||||||
Fixed maturity investments
|
|
$
|
35,221
|
|
|
$
|
23,586
|
|
|
$
|
11,635
|
|
Short-term investments and cash and cash equivalents
|
|
1,561
|
|
|
2,219
|
|
|
(658
|
)
|
|||
Funds held
|
|
3,129
|
|
|
39
|
|
|
3,090
|
|
|||
Funds held – directly managed
|
|
8,626
|
|
|
7,002
|
|
|
1,624
|
|
|||
Investment income from fixed maturities and cash and cash equivalents
|
|
48,537
|
|
|
32,846
|
|
|
15,691
|
|
|||
Equity securities
|
|
1,203
|
|
|
705
|
|
|
498
|
|
|||
Other investments
|
|
3,156
|
|
|
3,460
|
|
|
(304
|
)
|
|||
Other
|
|
557
|
|
|
488
|
|
|
69
|
|
|||
Investment income from equities and other investments
|
|
4,916
|
|
|
4,653
|
|
|
263
|
|
|||
Gross investment income
|
|
53,453
|
|
|
37,499
|
|
|
15,954
|
|
|||
Investment expenses
|
|
(1,802
|
)
|
|
(1,770
|
)
|
|
(32
|
)
|
|||
Net investment income
|
|
$
|
51,651
|
|
|
$
|
35,729
|
|
|
$
|
15,922
|
|
|
|
|
|
|
|
|
||||||
Net realized gains (losses) on sale:
|
|
|
|
|
|
|
||||||
Net realized gains (losses) on fixed maturity securities
|
|
$
|
(5,718
|
)
|
|
$
|
753
|
|
|
$
|
(6,471
|
)
|
Net realized investment gains on equity securities, trading
|
|
788
|
|
|
519
|
|
|
269
|
|
|||
Net realized investment gains (losses) on funds held - directly managed
|
|
96
|
|
|
(3,853
|
)
|
|
3,949
|
|
|||
Total net realized gains (losses) on sale
|
|
(4,834
|
)
|
|
(2,581
|
)
|
|
(2,253
|
)
|
|||
Net unrealized gains (losses):
|
|
|
|
|
|
|
||||||
Fixed maturity securities, trading
|
|
(85,980
|
)
|
|
20,047
|
|
|
(106,027
|
)
|
|||
Equity securities, trading
|
|
(568
|
)
|
|
8,353
|
|
|
(8,921
|
)
|
|||
Other investments
|
|
(3,990
|
)
|
|
18,549
|
|
|
(22,539
|
)
|
|||
Change in fair value of embedded derivative on funds held – directly managed
|
|
(27,881
|
)
|
|
6,928
|
|
|
(34,809
|
)
|
|||
Change in value of fair value option on funds held - directly managed
|
|
(3,043
|
)
|
|
262
|
|
|
(3,305
|
)
|
|||
Total net unrealized gains (losses)
|
|
(121,462
|
)
|
|
54,139
|
|
|
(175,601
|
)
|
|||
Net realized and unrealized gains (losses)
|
|
$
|
(126,296
|
)
|
|
$
|
51,558
|
|
|
$
|
(177,854
|
)
|
|
|
|
|
|
|
|
||||||
Annualized Investment Book Yield
|
|
|
|
|
|
|
||||||
Income from cash and fixed maturities
|
|
$
|
194,148
|
|
|
$
|
131,384
|
|
|
$
|
62,764
|
|
Average aggregate fixed maturities and cash and cash equivalents, at cost
(1)
|
|
$
|
7,396,161
|
|
|
$
|
6,409,574
|
|
|
$
|
986,587
|
|
Investment book yield
|
|
2.62
|
%
|
|
2.05
|
%
|
|
0.57
|
%
|
|||
|
|
|
|
|
|
|
||||||
Financial Statement Portfolio Return
|
|
|
|
|
|
|
||||||
Total financial statement return
(2)
|
|
$
|
(74,645
|
)
|
|
$
|
87,287
|
|
|
$
|
(161,932
|
)
|
Average aggregate invested assets, at fair value
(1)
|
|
$
|
8,408,239
|
|
|
$
|
6,713,441
|
|
|
$
|
1,694,798
|
|
Financial statement portfolio return
|
|
(0.89
|
)%
|
|
1.30
|
%
|
|
(2.19
|
)%
|
•
|
net realized losses of
$4.8 million
in
2018
, compared to net realized losses of
$2.6 million
in
2017
, an increase in net realized losses of
$2.3 million
;
|
•
|
net unrealized losses on fixed maturity securities, trading, of
$86.0 million
in
2018
, compared to net unrealized gains of
$20.0 million
in
2017
, a decrease of
$106.0 million
, primarily driven by increased sovereign yields and widening of corporate credit spreads in the current period;
|
•
|
net unrealized losses on equity securities, trading, of
$0.6 million
in
2018
, compared to net unrealized gains of
$8.4 million
in
2017
, a decrease of
$8.9 million
, primarily driven by the decline in the equity markets in 2018;
|
•
|
negative change in fair value of other investments of
$4.0 million
in
2018
, compared to positive change of
$18.5 million
in
2017
, a decrease of
$22.5 million
, primarily driven by lower
returns in private equities and private equity funds, fixed income funds and equity funds, partially offset by higher returns in hedge funds and CLO equities
; and
|
•
|
negative change in fair value of embedded derivative on funds held and negative change in fair value option on funds held of
$30.9 million
in
2018
, compared to positive change of
$7.2 million
in
2017
, a decrease of
$38.1 million
, primarily driven by increased sovereign yields and widening of corporate credit spreads in the current period.
|
|
|
Three Months Ended March 31,
|
|
|
||||||||
|
|
2018
|
|
2017
|
|
Change
|
||||||
Net investment income:
|
|
(in thousands of U.S. dollars, except percentages)
|
||||||||||
Fixed maturity investments
|
|
$
|
953
|
|
|
$
|
645
|
|
|
$
|
308
|
|
Short-term investments and cash and cash equivalents
|
|
107
|
|
|
76
|
|
|
31
|
|
|||
Investment income from fixed maturities and cash and cash equivalents
|
|
1,060
|
|
|
721
|
|
|
339
|
|
|||
Equity securities
|
|
13
|
|
|
2
|
|
|
11
|
|
|||
Other
|
|
168
|
|
|
462
|
|
|
(294
|
)
|
|||
Investment income from equities and other investments
|
|
181
|
|
|
464
|
|
|
(283
|
)
|
|||
Gross investment income
|
|
1,241
|
|
|
1,185
|
|
|
56
|
|
|||
Investment expenses
|
|
(56
|
)
|
|
(61
|
)
|
|
5
|
|
|||
Net investment income
|
|
$
|
1,185
|
|
|
$
|
1,124
|
|
|
$
|
61
|
|
|
|
|
|
|
|
|
||||||
Net realized gains (losses) on sale:
|
|
|
|
|
|
|
||||||
Net realized gains (losses) on fixed maturity securities
|
|
$
|
(167
|
)
|
|
$
|
83
|
|
|
$
|
(250
|
)
|
Net realized investment gains on equity securities, trading
|
|
33
|
|
|
6
|
|
|
27
|
|
|||
Total net realized gains (losses) on sale
|
|
(134
|
)
|
|
89
|
|
|
(223
|
)
|
|||
Net unrealized gains (losses):
|
|
|
|
|
|
|
||||||
Fixed maturity securities, trading
|
|
(1,133
|
)
|
|
151
|
|
|
(1,284
|
)
|
|||
Equity securities, trading
|
|
(73
|
)
|
|
37
|
|
|
(110
|
)
|
|||
Other investments
|
|
(63
|
)
|
|
141
|
|
|
(204
|
)
|
|||
Total net unrealized gains (losses)
|
|
(1,269
|
)
|
|
329
|
|
|
(1,598
|
)
|
|||
Net realized and unrealized gains (losses)
|
|
$
|
(1,403
|
)
|
|
$
|
418
|
|
|
$
|
(1,821
|
)
|
|
|
|
|
|
|
|
||||||
Annualized Investment Book Yield
|
|
|
|
|
|
|
||||||
Income from cash and fixed maturities
|
|
$
|
4,240
|
|
|
$
|
2,884
|
|
|
$
|
1,356
|
|
Average aggregate fixed maturities and cash and cash equivalents, at cost
(1)
|
|
$
|
265,725
|
|
|
$
|
278,501
|
|
|
$
|
(12,776
|
)
|
Investment book yield
|
|
1.60
|
%
|
|
1.04
|
%
|
|
0.56
|
%
|
|||
|
|
|
|
|
|
|
||||||
Financial Statement Portfolio Return
|
|
|
|
|
|
|
||||||
Total financial statement return
(2)
|
|
$
|
(218
|
)
|
|
$
|
1,542
|
|
|
$
|
(1,760
|
)
|
Average aggregate invested assets, at fair value
(1)
|
|
$
|
274,312
|
|
|
$
|
276,195
|
|
|
$
|
(1,883
|
)
|
Financial statement portfolio return
|
|
(0.08
|
)%
|
|
0.56
|
%
|
|
(0.64
|
)%
|
|
|
Three Months Ended March 31,
|
|
|
||||||||
|
|
2018
|
|
2017
|
|
Change
|
||||||
Net investment income:
|
|
(in thousands of U.S. dollars, except percentages)
|
||||||||||
Fixed maturity investments
|
|
$
|
7,364
|
|
|
$
|
5,670
|
|
|
$
|
1,694
|
|
Short-term investments and cash and cash equivalents
|
|
394
|
|
|
277
|
|
|
117
|
|
|||
Investment income from fixed maturities and cash and cash equivalents
|
|
7,758
|
|
|
5,947
|
|
|
1,811
|
|
|||
Equity securities
|
|
274
|
|
|
19
|
|
|
255
|
|
|||
Other
|
|
622
|
|
|
(1
|
)
|
|
623
|
|
|||
Investment income from equities and other investments
|
|
896
|
|
|
18
|
|
|
878
|
|
|||
Gross investment income
|
|
8,654
|
|
|
5,965
|
|
|
2,689
|
|
|||
Investment expenses
|
|
(953
|
)
|
|
(516
|
)
|
|
(437
|
)
|
|||
Net investment income
|
|
$
|
7,701
|
|
|
$
|
5,449
|
|
|
$
|
2,252
|
|
|
|
|
|
|
|
|
||||||
Net realized gains (losses) on sale:
|
|
|
|
|
|
|
||||||
Net realized investment gains (losses) on fixed maturity securities
|
|
$
|
(1,097
|
)
|
|
$
|
(1,813
|
)
|
|
$
|
716
|
|
Net realized investment gains on equity securities, trading
|
|
83
|
|
|
49
|
|
|
34
|
|
|||
Total net realized gains (losses) on sale
|
|
(1,014
|
)
|
|
(1,764
|
)
|
|
750
|
|
|||
Net unrealized gains (losses):
|
|
|
|
|
|
|
|
|||||
Fixed maturity securities, trading
|
|
(13,188
|
)
|
|
3,260
|
|
|
(16,448
|
)
|
|||
Equity securities, trading
|
|
4,476
|
|
|
296
|
|
|
4,180
|
|
|||
Other investments
|
|
(3,232
|
)
|
|
4,907
|
|
|
(8,139
|
)
|
|||
Total net unrealized gains (losses)
|
|
(11,944
|
)
|
|
8,463
|
|
|
(20,407
|
)
|
|||
Net realized and unrealized gains (losses)
|
|
$
|
(12,958
|
)
|
|
$
|
6,699
|
|
|
$
|
(19,657
|
)
|
|
|
|
|
|
|
|
||||||
Annualized Investment Book Yield
|
|
|
|
|
|
|
||||||
Income from cash and fixed maturities
|
|
$
|
31,032
|
|
|
$
|
23,788
|
|
|
$
|
7,244
|
|
Average aggregate fixed maturities and cash and cash equivalents, at cost
(1)
|
|
$
|
1,487,722
|
|
|
$
|
1,449,058
|
|
|
$
|
38,664
|
|
Investment book yield
|
|
2.09
|
%
|
|
1.64
|
%
|
|
0.45
|
%
|
|||
|
|
|
|
|
|
|
||||||
Financial Statement Portfolio Return
|
|
|
|
|
|
|
||||||
Total financial statement return
(2)
|
|
$
|
(5,257
|
)
|
|
$
|
12,148
|
|
|
$
|
(17,405
|
)
|
Average aggregate invested assets, at fair value
(1)
|
|
$
|
1,654,718
|
|
|
$
|
1,643,106
|
|
|
$
|
11,612
|
|
Financial statement portfolio return
|
|
(0.32
|
)%
|
|
0.74
|
%
|
|
(1.06
|
)%
|
•
|
net unrealized losses on fixed maturities, trading, of
$13.2 million
in
2018
, compared to net unrealized gains of
$3.3 million
in 2017, a decrease of
$16.4 million
, driven by
increased sovereign yields and widening of corporate credit spreads in the current period; and
|
•
|
negative change in fair value of
other investments of
$3.2 million
in
2018
, compared to positive change of
$4.9 million
, a decrease of
$8.1 million
due to lower returns on private equities, fixed income and equity funds.
|
|
|
Three Months Ended March 31,
|
|
|
||||||||
|
|
2018
|
|
2017
|
|
Change
|
||||||
|
|
(in thousands of U.S. dollars)
|
||||||||||
Net investment income
|
|
$
|
5,782
|
|
|
$
|
6,437
|
|
|
$
|
(655
|
)
|
Net realized and unrealized losses
|
|
(2,373
|
)
|
|
(156
|
)
|
|
(2,217
|
)
|
|||
|
|
|
|
|
|
|
||||||
Financial Statement Portfolio Return
|
|
|
|
|
|
|
||||||
Total financial statement return
(1)
|
|
3,409
|
|
|
6,281
|
|
|
(2,872
|
)
|
|||
Average aggregate invested assets, at fair value
(2)
|
|
298,061
|
|
|
320,495
|
|
|
(22,434
|
)
|
|||
Financial statement portfolio return
|
|
1.14
|
%
|
|
1.96
|
%
|
|
(0.82
|
)%
|
|
|
Three Months Ended March 31,
|
|
|
||||||||
|
|
2018
|
|
2017
|
|
Change
|
||||||
|
|
(in thousands of U.S. dollars)
|
||||||||||
Cash provided by (used in):
|
|
|
|
|
|
|
||||||
Operating activities
|
|
$
|
(74,214
|
)
|
|
$
|
(94,139
|
)
|
|
$
|
19,925
|
|
Investing activities
|
|
(230,229
|
)
|
|
43,644
|
|
|
(273,873
|
)
|
|||
Financing activities
|
|
212,511
|
|
|
56,100
|
|
|
156,411
|
|
|||
Effect of exchange rate changes on cash
|
|
15,059
|
|
|
(10,275
|
)
|
|
25,334
|
|
|||
Net decrease in cash and cash equivalents
|
|
(76,873
|
)
|
|
(4,670
|
)
|
|
(72,203
|
)
|
|||
Cash and cash equivalents, beginning of period
|
|
1,212,836
|
|
|
1,318,645
|
|
|
(105,809
|
)
|
|||
Cash and cash equivalents, end of period
|
|
$
|
1,135,963
|
|
|
$
|
1,313,975
|
|
|
$
|
(178,012
|
)
|
|
Total
|
|
Less than
1 Year
|
|
1 - 3
years
|
|
3 - 5
years |
|
6 - 10
years |
|
More than
10 Years |
||||||||||||
|
(in millions of U.S. dollars)
|
||||||||||||||||||||||
Operating Activities
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Estimated gross reserves for losses and LAE
(1)
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Asbestos
|
$
|
1,883.5
|
|
|
$
|
100.7
|
|
|
$
|
196.2
|
|
|
$
|
184.5
|
|
|
$
|
335.6
|
|
|
$
|
1,066.5
|
|
Environmental
|
186.5
|
|
|
25.9
|
|
|
44.7
|
|
|
34.4
|
|
|
41.5
|
|
|
40.0
|
|
||||||
General Casualty
|
929.3
|
|
|
197.9
|
|
|
252.0
|
|
|
150.5
|
|
|
145.0
|
|
|
183.9
|
|
||||||
Workers' compensation/personal accident
|
2,245.7
|
|
|
232.5
|
|
|
371.6
|
|
|
284.6
|
|
|
406.5
|
|
|
950.5
|
|
||||||
Marine, aviation and transit
|
442.8
|
|
|
89.8
|
|
|
121.9
|
|
|
72.5
|
|
|
79.0
|
|
|
79.6
|
|
||||||
Construction defect
|
161.7
|
|
|
30.0
|
|
|
50.0
|
|
|
36.7
|
|
|
32.8
|
|
|
12.2
|
|
||||||
Professional indemnity/ Directors & Officers
|
1,057.7
|
|
|
232.1
|
|
|
317.1
|
|
|
188.8
|
|
|
177.0
|
|
|
142.7
|
|
||||||
Other
|
1,204.3
|
|
|
284.4
|
|
|
340.0
|
|
|
177.3
|
|
|
158.3
|
|
|
244.3
|
|
||||||
Total Non-Life Run-off
|
8,111.5
|
|
|
1,193.3
|
|
|
1,693.5
|
|
|
1,129.3
|
|
|
1,375.7
|
|
|
2,719.7
|
|
||||||
Atrium
|
234.5
|
|
|
73.5
|
|
|
99.4
|
|
|
38.5
|
|
|
19.1
|
|
|
4.0
|
|
||||||
StarStone
|
1,228.3
|
|
|
463.6
|
|
|
464.5
|
|
|
178.4
|
|
|
115.7
|
|
|
6.1
|
|
||||||
Estimated gross reserves for losses and LAE
(1)
|
9,574.3
|
|
|
1,730.4
|
|
|
2,257.4
|
|
|
1,346.2
|
|
|
1,510.5
|
|
|
2,729.8
|
|
||||||
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Policy benefits for life and annuity contracts
(2)
|
135.1
|
|
|
6.1
|
|
|
12.6
|
|
|
12.2
|
|
|
31.4
|
|
|
72.8
|
|
||||||
Operating lease obligations
|
62.6
|
|
|
11.3
|
|
|
18.9
|
|
|
12.8
|
|
|
17.9
|
|
|
1.7
|
|
||||||
Investing Activities
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Investment commitments to private equity funds
|
212.1
|
|
|
119.8
|
|
|
68.5
|
|
|
23.8
|
|
|
—
|
|
|
—
|
|
||||||
Life settlements premium
|
215.3
|
|
|
17.0
|
|
|
33.4
|
|
|
30.8
|
|
|
67.7
|
|
|
66.4
|
|
||||||
Financing Activities
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Loan repayments (including estimated interest payments)
|
969.5
|
|
|
50.3
|
|
|
919.2
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Total
|
$
|
11,168.9
|
|
|
$
|
1,934.9
|
|
|
$
|
3,310.0
|
|
|
$
|
1,425.8
|
|
|
$
|
1,627.5
|
|
|
$
|
2,870.7
|
|
(1)
|
The reserves for losses and LAE represent management’s estimate of the ultimate cost of settling losses. The estimation of losses is based on various complex and subjective judgments. Actual losses paid may differ, perhaps significantly, from the reserve estimates reflected in our financial statements. Similarly, the timing of payment of our estimated losses is not fixed and there may be significant changes in actual payment activity. The assumptions used in estimating the likely payments due by period are based on our historical claims payment experience and industry payment patterns, but due to the inherent uncertainty in the process of estimating the timing of such payments, there is a risk that the amounts paid in any such period can be significantly different from the amounts disclosed above. The amounts in the above table represent our estimates of known liabilities as of
March 31, 2018
and do not take into account corresponding reinsurance balance recoverable amounts that would be due to us. Furthermore, certain of the reserves included in the audited consolidated financial statements as of
March 31, 2018
were acquired by us and initially recorded at fair value with subsequent amortization, whereas the expected payments by period in the table above are the estimated payments at a future time and do not reflect the fair value adjustment in the amount payable.
|
(2)
|
Policy benefits for life and annuity contracts recorded in our audited consolidated balance sheet as at
March 31, 2018
of
$116.8 million
are computed on a discounted basis, whereas the expected payments by period in the table above are the estimated payments at a future time and do not reflect a discount of the amount payable.
|
•
|
risks associated with implementing our business strategies and initiatives;
|
•
|
the adequacy of our loss reserves and the need to adjust such reserves as claims develop over time;
|
•
|
risks relating to our acquisitions, including our ability to continue to grow, successfully price acquisitions, evaluate opportunities, address operational challenges, support our planned growth and assimilate acquired companies into our internal control system in order to maintain effective internal controls, provide reliable financial reports and prevent fraud;
|
•
|
risks relating to our active underwriting businesses, including unpredictability and severity of catastrophic and other major loss events, failure of risk management and loss limitation methods, the risk of a ratings downgrade or withdrawal, cyclicality of demand and pricing in the insurance and reinsurance markets;
|
•
|
risks relating to the performance of our investment portfolio and our ability to structure our investments in a manner that recognizes our liquidity needs;
|
•
|
changes and uncertainty in economic conditions, including interest rates, inflation, currency exchange rates, equity markets and credit conditions, which could affect our investment portfolio, our ability to finance future acquisitions and our profitability;
|
•
|
the risk that ongoing or future industry regulatory developments will disrupt our business, affect the ability of our subsidiaries to operate in the ordinary course or to make distributions to us, or mandate changes in industry practices in ways that increase our costs, decrease our revenues or require us to alter aspects of the way we do business;
|
•
|
risks that we may require additional capital in the future, which may not be available or may be available only on unfavorable terms;
|
•
|
risks relating to the availability and collectability of our reinsurance;
|
•
|
losses due to foreign currency exchange rate fluctuations;
|
•
|
increased competitive pressures, including the consolidation and increased globalization of reinsurance providers;
|
•
|
emerging claim and coverage issues;
|
•
|
lengthy and unpredictable litigation affecting assessment of losses and/or coverage issues;
|
•
|
loss of key personnel;
|
•
|
the ability of our subsidiaries to distribute funds to us and the resulting impact on our liquidity;
|
•
|
our ability to comply with covenants in our debt agreements;
|
•
|
changes in our plans, strategies, objectives, expectations or intentions, which may happen at any time at management’s discretion;
|
•
|
operational risks, including system, data security or human failures and external hazards;
|
•
|
risks relating to our ability to obtain regulatory approvals, including the timing, terms and conditions of any such approvals, and to satisfy other closing conditions in connection with our acquisition agreements, which could affect our ability to complete acquisitions;
|
•
|
our ability to implement our strategies relating to our active underwriting businesses;
|
•
|
risks relating to our investments in life settlements contracts, including that actual experience may differ from our assumptions regarding longevity, cost projections, and risk of non-payment from the insurance carrier;
|
•
|
risks relating to our subsidiaries with liabilities arising from legacy manufacturing operations;
|
•
|
tax, regulatory or legal restrictions or limitations applicable to us or the insurance and reinsurance business generally;
|
•
|
changes in tax laws or regulations applicable to us or our subsidiaries, or the risk that we or one of our non-U.S. subsidiaries become subject to significant, or significantly increased, income taxes in the United States or elsewhere;
|
•
|
changes in Bermuda law or regulation or the political stability of Bermuda; and
|
•
|
changes in accounting policies or practices.
|
|
|
Interest Rate Shift in Basis Points
|
||||||||||||||||||
As at March 31, 2018
|
|
-100
|
|
-50
|
|
—
|
|
+50
|
|
+100
|
||||||||||
|
|
(in millions of U.S. dollars)
|
||||||||||||||||||
Total Market Value
|
|
$
|
7,122
|
|
|
$
|
6,932
|
|
|
$
|
6,748
|
|
|
$
|
6,568
|
|
|
$
|
6,397
|
|
Market Value Change from Base
|
|
5.5
|
%
|
|
2.7
|
%
|
|
—
|
|
|
(2.7
|
)%
|
|
(5.2
|
)%
|
|||||
Change in Unrealized Value
|
|
$
|
374
|
|
|
$
|
184
|
|
|
$
|
—
|
|
|
$
|
(180
|
)
|
|
$
|
(351
|
)
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
As at December 31, 2017
|
|
-100
|
|
-50
|
|
—
|
|
+50
|
|
+100
|
||||||||||
Total Market Value
|
|
$
|
6,438
|
|
|
$
|
6,261
|
|
|
$
|
6,087
|
|
|
$
|
5,919
|
|
|
$
|
5,760
|
|
Market Value Change from Base
|
|
5.8
|
%
|
|
2.9
|
%
|
|
—
|
|
|
(2.8
|
)%
|
|
(5.4
|
)%
|
|||||
Change in Unrealized Value
|
|
$
|
351
|
|
|
$
|
174
|
|
|
$
|
—
|
|
|
$
|
(168
|
)
|
|
$
|
(327
|
)
|
|
|
Interest Rate Shift in Basis Points
|
||||||||||||||||||
As at March 31, 2018
|
|
-100
|
|
-50
|
|
—
|
|
+50
|
|
+100
|
||||||||||
|
|
(in millions of U.S. dollars)
|
||||||||||||||||||
Total Market Value
|
|
$
|
1,233
|
|
|
$
|
1,192
|
|
|
$
|
1,154
|
|
|
$
|
1,118
|
|
|
$
|
1,084
|
|
Market Value Change from Base
|
|
6.8
|
%
|
|
3.3
|
%
|
|
—
|
|
|
(3.1
|
)%
|
|
(6.1
|
)%
|
|||||
Change in Unrealized Value
|
|
$
|
79
|
|
|
$
|
38
|
|
|
$
|
—
|
|
|
$
|
(36
|
)
|
|
$
|
(70
|
)
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
As at December 31, 2017
|
|
-100
|
|
-50
|
|
—
|
|
+50
|
|
+100
|
||||||||||
Total Market Value
|
|
$
|
1,247
|
|
|
$
|
1,205
|
|
|
$
|
1,165
|
|
|
$
|
1,128
|
|
|
$
|
1,092
|
|
Market Value Change from Base
|
|
7.0
|
%
|
|
3.4
|
%
|
|
—
|
|
|
(3.2
|
)%
|
|
(6.3
|
)%
|
|||||
Change in Unrealized Value
|
|
$
|
82
|
|
|
$
|
40
|
|
|
$
|
—
|
|
|
$
|
(37
|
)
|
|
$
|
(73
|
)
|
As at March 31, 2018
|
|
GBP
|
|
EUR
|
|
AUD
|
|
CAD
|
|
Other
|
|
Total
|
||||||||||||
|
|
(in millions of U.S. dollars)
|
||||||||||||||||||||||
Total net foreign currency exposure
|
|
$
|
(55.3
|
)
|
|
$
|
10.2
|
|
|
$
|
(1.5
|
)
|
|
$
|
95.1
|
|
|
$
|
(0.2
|
)
|
|
$
|
48.3
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Pre-tax impact of a 10% movement of the U.S. dollar
(1)
|
|
$
|
(5.5
|
)
|
|
$
|
1.0
|
|
|
$
|
(0.2
|
)
|
|
$
|
9.5
|
|
|
$
|
—
|
|
|
$
|
4.8
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
As at December 31, 2017
|
|
GBP
|
|
EUR
|
|
AUD
|
|
CAD
|
|
Other
|
|
Total
|
||||||||||||
|
|
(in millions of U.S. dollars)
|
||||||||||||||||||||||
Total net foreign currency exposure
|
|
$
|
7.0
|
|
|
$
|
11.0
|
|
|
$
|
(2.1
|
)
|
|
$
|
(3.4
|
)
|
|
$
|
3.7
|
|
|
$
|
16.2
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Pre-tax impact of a 10% movement of the U.S. dollar
(1)
|
|
$
|
0.7
|
|
|
$
|
1.1
|
|
|
$
|
(0.2
|
)
|
|
$
|
(0.3
|
)
|
|
$
|
0.4
|
|
|
$
|
1.6
|
|
(1)
|
Assumes 10% change in the U.S. dollar relative to other currencies
|
Period
|
|
Total Number of Shares Purchased
(1)
|
|
Average Price Paid per Share
|
|
Total Number of Shares Purchased as Part of Publicly Announced Plans or Programs
|
|
Maximum Number (or Approximate Dollar Value) of Shares that May Yet be Purchased Under the Program
|
|||||
January 1, 2018 - January 31, 2018
|
|
862
|
|
|
$
|
200.75
|
|
|
—
|
|
|
—
|
|
February 1, 2018 - February 28, 2018
|
|
—
|
|
|
$
|
—
|
|
|
—
|
|
|
—
|
|
March 1, 2018 - March 31, 2018
|
|
2,304
|
|
|
$
|
210.25
|
|
|
—
|
|
|
—
|
|
Total
|
|
3,166
|
|
|
|
|
—
|
|
|
—
|
|
(1)
|
Consists of shares withheld from employees in order to facilitate the payment of withholding taxes on restricted shares granted pursuant to our equity incentive plan. The price for the shares is their fair market value, as determined by reference to the closing price of our ordinary shares on the vesting date.
|
Exhibit
No.
|
|
Description
|
|
Memorandum of Association of Enstar Group Limited (incorporated by reference to Exhibit 3.1 of the Company’s Form 10-K/A filed on May 2, 2011).
|
|
|
|
|
|
Fourth Amended and Restated Bye-Laws of Enstar Group Limited (incorporated by reference to Exhibit 3.2(b) of the Company’s Form 10-Q filed on August 11, 2014).
|
|
|
|
|
|
Certificate of Designations of Series C Participating Non-Voting Perpetual Preferred Stock (incorporated by reference to Exhibit 3.1 of the Company’s Form 8-K filed on June 17, 2016).
|
|
|
|
|
10.1
+
|
|
Employment Agreement, dated December 28, 2017, by and between Enstar Group Limited and Guy T.A. Bowker (incorporated by reference to Exhibit 10.1 of the Company’s Form 8-K filed on January 4, 2018).
|
|
|
|
|
Exchange Agreement, dated as of February 2, 2018, by and among Enstar Group Limited, KaylaRe Holdings, Ltd., HH KaylaRe Holdings, Ltd., Hillhouse Fund III, L.P., Trident V, L.P., Trident V Parallel Fund, L.P, Trident V Professionals Fund, L.P., Souris Partners and Cavello Bay Reinsurance Limited (incorporated by reference to Exhibit 10.1 of the Company’s Form 8-K filed on February 8, 2018).
|
|
|
|
|
12.1
*
|
|
Computation of Ratios of Earnings to Fixed Charges and Preferred Dividends.
|
|
|
|
31.1
*
|
|
Certification of Chief Executive Officer pursuant to Rule 13a-14(a) or Rule 15d-14(a) of the Securities Exchange Act of 1934 as adopted under Section 302 of the Sarbanes-Oxley Act of 2002.
|
|
|
|
31.2
*
|
|
Certification of Chief Financial Officer pursuant to Rule 13a-14(a) or Rule 15d-14(a) of the Securities Exchange Act of 1934 as adopted under Section 302 of the Sarbanes-Oxley Act of 2002.
|
|
|
|
32.1
**
|
|
Certification of Chief Executive Officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.
|
|
|
|
32.2
**
|
|
Certification of Chief Financial Officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.
|
|
|
|
101*
|
|
Interactive Data Files.
|
|
ENSTAR GROUP LIMITED
|
|
|
By:
|
/
S
/ GUY BOWKER
|
|
Guy Bowker
Chief Financial Officer, Authorized Signatory, Principal Financial Officer and Principal Accounting Officer
|