TIDMCAT
RNS Number : 4620S
CATCo Reinsurance Opps Fund Ltd
16 March 2021
16 March 2021
CATCo Reinsurance Opportunities Fund Ltd. (the "Company")
Annual Financial Report
For the 12 month period 1 January 2020 to 31 December 2020
To: Specialist Fund Segment, London Stock Exchange and Bermuda
Stock Exchange
CHAIRMAN'S STATEMENT
As the investment portfolios of CATCo Reinsurance Opportunities
Fund Ltd. (the "Company") are in run-off (the "Run-Off"), Markel
CATCo Investment Management Ltd. (the "Investment Manager") wrote
no new risk contracts in 2020, therefore the Company is not exposed
to any new reinsurance risk from 1 January 2020 onwards.
All remaining investments held by the Company are exposed to
risk relating to reinsurance contracts entered into from 2016 to
2019 only, and the Investment Manager remains focused on
proactively managing the trapped capital and returning it to
Shareholders in as timely and orderly a manner as possible.
NET ASSET VALUE ("NAV")
The Company opened the year with a total NAV of $306.9m which
consisted of $81.3m Ordinary Share NAV and $225.6m of C Share NAV.
During the year, the NAV reduced to $111.8m, of which $47.7m
relates to the Ordinary Share NAV and $64.1m to the C Share NAV.
The overall reduction in the NAV is predominantly due to the return
of capital to Shareholders in 2020 of $196.3m split between the
Ordinary Shares and the C Shares.
During the same period, the NAV per Share of the Ordinary Shares
has increased moderately to $0.2828 ($0.2659: 1 Jan 2020) whilst
the C Share NAV per Share has remained relatively stable closing at
$0.5071 ($0.5157: 1 Jan 2020). The slight increase in the NAV per
Ordinary Share, as reflected in the December 2020 NAV, was due to a
reduction in claims associated with the 2017 California wildfires
as described in the Side Pocket Investments section below.
Side Pocket Investments ("SPI S ")
As at 31 December 2020, the SPIs in total represent c. 92.4 per
cent of Ordinary Share NAV (31 December 2019: c. 93.74 per cent)
and c. 83.07 per cent of the C Share NAV (31 December 2019: c.
91.51 per cent).
The position of the 2016, 2017, 2018 and 2019 SPIs is as
follows, as at 31 December 2020:
-- 2016 SPIs, established for the Fort McMurray Wildfire,
Jubilee Oil Field, Hurricane Matthew, and the South Island
earthquake in New Zealand, amount to c. 10.51 per cent of the
Company's Ordinary Share NAV (31 December 2019: c. 11.30 per cent
of Ordinary Share NAV)
-- 2017 SPIs, principally relating to Hurricanes Harvey, Irma
and Maria and the 2017 California Wildfires, amount to c. 58.38 per
cent of the Company's Ordinary Share NAV (31 December 2019: c.
30.02 per cent of Ordinary Share NAV)
-- 2018 SPIs, principally relating to Hurricanes Michael and
Florence, Typhoon Jebi and the 2018 California Wildfires, amount to
c. 10.56 per cent of Ordinary Share NAV and c. 43.24 per cent of C
Share NAV (31 December 2019: c. 26.40 per cent and c. 52.83 per
cent of Ordinary Share and C Share NAV respectively)
-- 2019 SPIs relating to Hurricane Dorian, Typhoons Faxai and
Hagibis and the Australian bushfires, amount to c. 12.95 per cent
of Ordinary Share NAV and c. 39.83 per cent of C Share NAV (31
December 2019: c. 26.02 per cent and c. 38.68 per cent of Ordinary
Share and C Share NAV respectively).
In respect of the underlying investments related to underwriting
years 2016-2019, the Investment Manager places increasing reliance
on the latest available claim information from cedants which, at
this point in time, post the loss events, is given more weight than
modelled losses or the insured loss estimates provided by third
parties. Whilst the Investment Manager deems the existing loss
reserves are sufficient, there is necessarily an ongoing element of
uncertainty in relation to underlying prior year loss event
contracts which may lead to favourable or adverse loss development
in the future.
To date, but in particular following receipt of Q3 Cedant
reported loss updates, the Investment Manager has seen some
reductions in the 2017 California wildfire losses over previous
quarterly loss notifications, which resulted in the December NAV
per Ordinary Share increasing by c. 7.0%.
Whilst there was also a modest reduction in 2018 California
Wildfire claims reported during FY2020, this was offset by some
adverse development experienced in relation to Typhoon Jebi and
Hurricane Michael resulting in the 2018 SPIs remaining stable year
on year.
Meanwhile, the underlying investment values for both 2016 and
2019 risk portfolios have remained unchanged during the year.
The Investment Manager continues to liaise with cedants in order
to determine the effect of California wildfire subrogation
recoveries (where applicable) on reported losses on indemnity
contracts.
RETURN OF CAPITAL TO SHAREHOLDERS
The return of capital to the Company by Markel CATCo Reinsurance
Fund Ltd (the "Master Fund SAC") is subject to the approval of the
Bermuda Monetary Authority ("BMA") and driven by the contractual
arrangements between cedants and Markel CATCo Re Ltd. ("the
Reinsurer"), with such cedants typically releasing capital that is
held in a Side Pocket Investment ("SPI") on the earlier of:
i. the capital no longer being needed to cover potential losses
(in accordance with the terms of the relevant reinsurance
contract); or
ii. upon settlement commutation (the negotiation of which will
begin no later than 36 months after the end of the risk
period).
Since commencement of the Run-Off (26 March 2019), to date, the
Company has successfully returned $271.3m of capital to
Shareholders by means of dividends, tender offer, share buybacks
and compulsory share redemptions.
The following table shows the capital returned to Shareholders
during 2020:
Compulsory Redemption Ordinary Share C Share Total
Redemption Date Class ($m) Class ($m) ($m)
Partial Compulsory Redemption 1 20 April 2020 5.3 24.0 29.3
Partial Compulsory Redemption 2 18 May 2020 4.6 14.2 18.8
Partial Compulsory Redemption 3 1 July 2020 3.6 12.2 15.8
Partial Compulsory Redemption 4 2 September 2020 7.0 30.9 37.9
Partial Compulsory Redemption 5 7 October 2020 15.9 78.6
94.5
Total Capital Return 2020 36.4 159.9 196.3
In addition, on 23 December 2020, the Company announced that it
would return an aggregate amount of approximately $8.0m by way of a
sixth Partial Compulsory Redemption, with a Redemption Date of 11
January 2021. Of the $8.0m returned to Shareholders, $2.0m was
returned to holders of the Ordinary Shares, and $6.0m to holders of
the C Shares.
Commutations
The Investment Manager is continuing proactively to pursue the
run-off of the existing 2016-2019 risk portfolios and, whilst the
underlying risk contracts typically have a 36-month reporting
period post expiry of the risk period, the Investment Manager has
the discretion to either commute the contract or continue to hold
it open if they consider that to do so is in the best interest of
the investors.
Management Fee Reduction
On 28 January 2021, the Company announced the continuance of the
50 per cent partial waiver of the management fee paid by Markel
CATCo Reinsurance Fund Ltd. to the Investment Manager in respect of
SPIs.
EVENTS AT THE INVESTMENT MANAGER
On 6 December 2018, Markel Corporation reported that the U.S.
Department of Justice, U.S. Securities and Exchange Commission and
the BMA (collectively, the "Governmental Authorities") are
conducting inquiries (the "Markel CATCo Inquiries") into loss
reserves recorded in late 2017 and early 2018 at the Investment
Manager and its subsidiaries (collectively, "Markel CATCo"). These
inquiries are limited to Markel CATCo and do not involve Markel
Corporation or its other subsidiaries.
Markel Corporation previously disclosed that it had retained
outside counsel to conduct an internal review of Markel CATCo's
loss reserving in late 2017 and early 2018. The internal review was
completed in April 2019 and found no evidence that Markel CATCo
personnel acted in bad faith in exercising business judgment in the
setting of reserves and making related disclosures during late 2017
and early 2018. Markel Corporation's outside counsel has met with
the Governmental Authorities and reported the findings from the
internal review. Markel Corporation cannot currently predict the
duration, scope or result of the Markel CATCo Inquiries.
OUTLOOK
The amount of capital successfully distributed to date
demonstrates the Investment Manager's commitment to ensuring
cedants release trapped capital and that, accordingly, the Company
is able to return that capital to Shareholders in a timely
manner.
While it is not straightforward to estimate the timing and
amount of capital to be released, the Investment Manager continues
to work closely with its cedants in order to secure the release of
capital to investors as soon as practicable.
Distributions of capital by the Company are contingent on the
required regulatory approvals being received from the BMA in
relation to capital releases between the Reinsurer and the Master
Fund SAC.
James Keyes
Chairman,
CATCo Reinsurance Opportunities Fund Ltd.
16 March 2021
REVIEW OF BUSINESS
A review of the Company's activities is given in the Chairman's
Statement. This includes a review of the business of the Company
and its principal activities, and likely future developments of the
business.
The Company is a limited liability closed ended fund, registered
and incorporated as an exempted mutual fund company in Bermuda with
an indefinite life. The Company's Ordinary Shares and C Shares are
admitted to trading on the special fund segment of the London Stock
Exchange.
STRATEGY
The management of the investment portfolio is conducted by the
Investment Manager. The Company is a feeder fund and invests
substantially all of its assets in Markel CATCo Diversified Fund
(the "Master Fund"), a segregated account of the Master Fund SAC, a
segregated accounts company incorporated in Bermuda. The Investment
Manager also manages the Master Fund and the Master Fund SAC. The
Master Fund in turn accesses all of its exposure to fully
collateralised Reinsurance Agreements through the Reinsurer. As
noted in the section below headed "Efficient Capital Management
during Run-Off of Portfolio and Distributions", the Company has
elected to redeem 100% of its Master Fund Shares and will
distribute the proceeds of any such redemption to shareholders of
the applicable class (after payment of any costs and save for any
amount required for reserves in respect of anticipated liabilities
and for working capital purposes).
The Board is responsible for the stewardship of the Company,
including overall strategy, investment policy, borrowings,
dividends, corporate governance procedures and risk management.
efficient capital management during run-off of PORTFOLIO and
distributions
During the period from inception of the Company to 26 March
2019, the investment objective of the
Company and the Master Fund was to give their Shareholders the
opportunity to participate in the returns from investments linked
to catastrophe reinsurance risks, principally by investing in fully
collateralised Reinsurance Agreements accessed by investments in
Preference Shares of the Reinsurer.
With effect from 26 March 2019, the Company's Shareholders
approved an amendment to the Company's investment policy so as to
allow an orderly Run-Off of the Company's portfolios (the
"Run-Off") with the effect that the Company's investment policy is
now limited to realising the Company's assets and distributing any
net proceeds to the relevant shareholders.
Consequently, the Company exercised a special redemption right
in respect of 100 per cent of its holding in the Master Fund (the
"Master Fund Shares") with effect from 30 June 2019 (the "Special
Redemption"). Proceeds of such redemptions that are received by the
Company will continue to be distributed to shareholders of the
applicable class (after payment of any costs and save for any
amount required for reserves in respect of anticipated liabilities
and for working capital purposes). Master Fund Shares which
represent side pocket investments are illiquid and will not be
redeemed until such time as the corresponding side pocket
investments are realised.
The Investment Manager announced on 25 July 2019 that it would
cease accepting new investments in the Master Fund SAC and would
not write any new business going forward through the Reinsurer. The
Investment Manager has commenced the orderly Run-Off of the
Reinsurer's existing portfolio, which is expected to take
approximately three years from 1 January 2020. As part of this
Run-Off, the Master Fund is returning capital to its investors,
including the Company. The Company distributed the net proceeds of
the Special Redemption received during the year ended 31 December
2019 by means of special dividend, tender offer and share buybacks.
On 6 April 2020, Shareholders approved the proposals set out in the
Shareholder Circular dated 13 March 2020 to permit the Company to
return further capital to Shareholders by means of compulsory share
redemptions. During the year ended 31 December 2020, the Company
returned $196.3m to Shareholders by means of compulsory share
redemptions as detailed in the Chairman's Statement, with a further
$8.0m being returned by the same method on 11 January 2021. It is
intended that the Company will continue to return capital to
Shareholders by means of compulsory share redemptions for the
foreseeable future.
The Directors have concluded that the Company will not raise
further capital in any circumstances, and so the Company is being
wound down by means of a managed process leading to liquidation in
due course. Accordingly, the only further business that will be
undertaken is that necessary to complete the Run-Off of each of the
Company's portfolios. The Directors remain of the view that it is
currently in the best interests of the Company for the Investment
Manager to continue to manage the Run-Off, rather than to commence
a formal members' voluntary liquidation. The Directors will keep
this approach under review and currently anticipate that they will
not look to put the Company into member's voluntary liquidation
until the Run-Off is substantially completed. At such time, a
further circular will be delivered to Shareholders to convene a
further meeting at which the Shareholders will be asked to approve
the liquidation.
The return of capital to Shareholders which is to take place as
and when the disposal of each of the Company's portfolios occurs is
part of this managed termination process, and such return of
capital will, in due course, be completed via the liquidation
process.
REVIEW OF PERFORMANCE
An outline of the performance, market background, investment
activity and portfolio during the year under review, as well as the
investment outlook, are provided in the Chairman's Statement. The
distribution of the Company's investments is shown in Note 6 to the
Financial Statements.
MANAGEMENT OF RISK
The Board of Directors regularly reviews the major strategic and
emerging risks that the Board and the Investment Manager have
identified, and against these, the Board sets out the delegated
controls designed to manage those risks. The principal risks facing
the Company relate to market price, interest rate, liquidity and
credit risk and the efficient management of the Run-Off process.
Such key risks relating to investment underwriting and strategy
including, for example, inappropriate asset allocation or
borrowing, are managed through investment policy guidelines and
restrictions, and by the process of formal oversight at each Board
meeting. Operational disruption, accounting and legal risks are
also covered annually, and regulatory compliance is reviewed at
each Board meeting. The emergence of the novel coronavirus
("COVID-19") at the start of January 2020 has not to date had a
significant financial impact on the Company, and is not expected to
do so in the foreseeable future (please refer to Note 5 to the
Financial Statements ("COVID-19 Considerations"). The Board is
assured that the operational activities of the Investment Manager
continue to be substantially unaffected by COVID-19 in terms of
quality and continuity, that there are sufficient systems and
controls in place to ensure the continuity and adequacy of the
services provided by the Investment Manager, and that the Run-Off
process, including returns of capital to Shareholders, will
continue to be managed efficiently. In the view of the Board, there
have not been any changes to the fundamental nature of these risks
since the previous Report.
DIRECTORS' RESPONSIBILITIES IN RESPECT OF THE FINANCIAL
STATEMENTS
The Board is responsible for preparing the annual report and the
financial statements in accordance with applicable law and
regulations.
The Companies Act 1981 of Bermuda, as amended, requires the
Board to prepare financial statements for each financial year.
Under those laws, the Board has elected to prepare the financial
statements in accordance with US Generally Accepted Accounting
Principles ("US GAAP"). The financial statements are required by
the Bermuda Companies Act 1981 to present fairly in all material
respects the state of affairs of the Company and of the profit or
loss of the Company for that year. In preparing these financial
statements, the Board is required to:
-- select suitable accounting policies and then apply them consistently;
-- make judgements and estimates that are reasonable and prudent; and
-- state whether applicable Accounting Standards have been
followed, subject to any material departures disclosed and
explained in the financial statements.
The Board is responsible for keeping proper accounting records
that are sufficient to disclose the Company's transactions and that
disclose with reasonable accuracy at any time the financial
position of the Company and enable them to ensure that the
financial statements comply with the Bermuda Companies Act. The
Board is also responsible for safeguarding the assets of the
Company and hence for taking reasonable steps for the prevention
and detection of fraud and other irregularities.
The Board considers that the Annual Report and Financial
Statements, taken as a whole, are fair, balanced and
understandable, and provide the information necessary for
Shareholders to assess the Company's performance, business model
and strategy.
The financial statements will be published on
www.catcoreoppsfund.com, which is maintained by the Investment
Manager, Markel CATCo Investment Management Ltd. The maintenance
and integrity of the website maintained by the Investment Manager
is, so far as it relates to the Company, the responsibility of the
Investment Manager.
The Board is responsible for the maintenance and integrity of
the corporate and financial information included on the Company's
website. Legislation in Bermuda governing the preparation and
dissemination of financial statements may differ from legislation
in other jurisdictions.
In accordance with Chapter 4 of the Disclosure Guidance and
Transparency Guidance, and to the best of their knowledge, each
Director confirms that the financial statements have been prepared
in accordance with the applicable set of accounting standards and
present fairly the assets, liabilities, financial position and
profit or loss of the Company.
Furthermore, each Director confirms that, to the best of his or
her knowledge, the management report (which consists of the
Chairman's Report, the Strategic Report and the Directors' Report)
includes a fair review of the development and performance of the
business and the position of the Company, together with a
description of the principal risks and uncertainties that the
Company faces.
Arthur Jones
Chairman of the Audit Committee
16 March 2021
STATEMENTS OF ASSETS AND LIABILITIES
(Expressed in United States Dollars) 31 Dec. 2020 31 Dec. 2019
$ $
Assets
Investments in Markel CATCo Reinsurance
Fund -
Markel CATCo Diversified Fund, at fair
value (Notes 2 and 6) 97,370,089 282,640,471
Cash and cash equivalents (Note 3) 4,268,386 2,634,719
Due from Markel CATCo Reinsurance Fund
-
Markel CATCo Diversified Fund (Note 10) 10,696,244 22,124,939
Other assets 53,369 77,784
Total assets 112,388,088 307,477,913
----------------------------------------- ------------
Liabilities
Management fee payable 9,053 4,737
Accrued expenses and other liabilities 532,664 594,444
Total liabilities 541,717 599,181
----------------------------------------- ------------
Net assets 111,846,371 306,878,732
----------------------------------------- ------------ ------------
NAV per Share (Note 8)
STATEMENTS OF operations
(Expressed in United States Dollars) Year ended Year ended
31 Dec. 2020 31 Dec. 2019
$ $
Net investment loss allocated from Master
Funds* (Note 6)
Interest income 436,586 2,641,840
Management fee waived (Note 10) 1,516,824 999,738
Management fee (Note 10) (3,033,648) (5,490,438)
Administrative fee (181,302) (196,388)
Professional fees and other (150,707) (316,189)
Performance fee - (15,666)
------------- -------------
Net investment loss allocated from Master
Funds (Note 6) (1,412,247) (2,377,103)
----------------------------------------------- ------------- -------------
Investment income
Interest 53,416 419,772
----------------------------------------------- ------------- -------------
Total investment income 53,416 419,772
----------------------------------------------- ------------- -------------
Company expenses
Management fee waived (Note 10) 224,034 -
Professional fees and other (1,415,303) (1,305,963)
Management fee (Note 10) (448,068) (429,226)
Administrative fee (Note 11) (75,000) (75,000)
------------- -------------
Total Company expenses (1,714,337) (1,810,189)
----------------------------------------------- ------------- -------------
Net investment loss (3,073,168) (3,767,520)
----------------------------------------------- ------------- -------------
Net realised loss and net change in unrealised
gain / (loss) on securities allocated from
Master Funds (Note 6)
Net realised loss on securities (169,722,417) (233,175,549)
Net change in unrealised loss on securities 174,126,929 165,658,877
------------- -------------
Net gain / (loss) on securities allocated
from Master Funds 4,404,512 (67,516,672)
----------------------------------------------- ------------- -------------
Net increase / (decrease) in net assets
resulting from operations 1,331,344 (71,284,192)
----------------------------------------------- ------------- -------------
*Up until 31 March 2019, the Company also maintained an investment
in CATCo Diversified Fund, and together with the Master Fund
is collectively referred to as the "Master Funds".
STATEMENTS OF changes in net assets
(Expressed in United States Dollars) Year ended Year ended
31 Dec. 2020 31 Dec. 2019
$ $
Operations
Net investment loss (3,073,168) (3,767,520)
Net realised loss on securities allocated
from Master Funds* (169,722,417) (233,175,549)
Net change in unrealised loss on securities
allocated from
Master Funds 174,126,929 165,658,877
------------- -------------
Net increase / (decrease) in net assets
resulting from operations 1,331,344 (71,284,192)
-------------------------------------------- ------------- -------------
Capital share transactions
Repurchase of Class Ordinary Shares (Note
8) (36,433,899) (17,185,451)
Repurchase of Class C Shares (Note 8) (159,929,806) (33,884,196)
Dividend paid (Note 8) - (50,572,951)
------------- -------------
Net decrease in net assets resulting from
capital share transactions (196,363,705) (101,642,598)
-------------------------------------------- ------------- -------------
Net decrease in net assets (195,032,361) (172,926,790)
------------- -------------
Net assets, at 1 January 306,878,732 479,805,522
-------------------------------------------- ------------- -------------
Net assets, at 31 December 111,846,371 306,878,732
-------------------------------------------- ------------- -------------
*Up until 31 March 2019, the Company also maintained an investment
in CATCo Diversified Fund, and together with the Master Fund
is collectively referred to as the "Master Funds".
STATEMENTS OF cash flows
(Expressed in United States Dollars) Year ended Year ended
31 Dec. 2020 31 Dec. 2019
$ $
Cash flows from operating activities
Net increase / (decrease) in net assets
resulting from operations 1,331,344 (71,284,192)
Adjustments to reconcile net increase in
net assets resulting from operations to
net cash provided by operating activities:
Net investment loss, net realised loss
and net change in unrealised (loss) / gain
on securities allocated from Master Funds* (2,992,265) 69,893,775
Sale of investment in Master Funds 188,262,647 69,126,591
Changes in operating assets and liabilities:
Due from Markel CATCo Reinsurance Fund
Ltd. -
Markel CATCo Diversified Fund 11,428,695 32,628,303
Other assets 24,415 (68,784)
Management fee payable 4,316 73,538
Accrued expenses and other liabilities (61,780) 305,933
------------- -------------
Net cash provided by operating activities 197,997,372 100,675,164
------------------------------------------------ ------------- -------------
Cash flows from financing activities
Repurchase of Class Ordinary Shares (36,433,899) (17,185,451)
Repurchase of Class C Shares (159,929,806) (33,884,196)
Dividend paid - (50,572,951)
------------- -------------
Net cash used in financing activities (196,363,705) (101,642,598)
------------------------------------------------ ------------- -------------
Net increase / (decrease) in cash and cash
equivalents 1,633,667 (967,434)
------------------------------------------------ ------------- -------------
Cash and cash equivalents, at 1 January 2,634,719 3,602,153
------------------------------------------------ ------------- -------------
Cash and cash equivalents, at 31 December 4,268,386 2,634,719
------------------------------------------------ ------------- -------------
*Up until 31 March 2019, the Company also maintained an investment
in CATCo Diversified Fund, and together with the Master Fund
is collectively referred to as the "Master Funds".
NOTES TO THE FINANCIAL STATEMENTS - 31 December 2020
(Expressed in United States Dollars)
1. NATURE OF OPERATIONS AND SUMMARY OF SIGNIFICANT ACCOUNTING
POLICIES
Nature of Operations
CATCo Reinsurance Opportunities Fund Ltd. (the "Company") is a
closed-ended mutual fund company, registered and incorporated as an
exempted mutual fund company under the laws of Bermuda on 30
November 2010, which commenced operations on 20 December 2010. The
Company is organised as a feeder fund to invest substantially all
of its assets in Markel CATCo Diversified Fund (the "Master Fund").
The Master Fund is a segregated account of Markel CATCo Reinsurance
Fund Ltd., a mutual fund company incorporated in Bermuda and
registered as a segregated account company under the Segregated
Accounts Company Act 2000, as amended (the "SAC Act"). Markel CATCo
Reinsurance Fund Ltd. establishes a separate account for each class
of shares comprised in each segregated account (each, a "SAC
Fund"). Each SAC Fund is a separate individually managed pool of
assets constituting, in effect, a separate fund with its own
investment objective and policies. The assets attributable to each
SAC Fund of Markel CATCo Reinsurance Fund Ltd. shall only be
available to creditors in respect of that segregated account.
The objective of the Master Fund is to provide shareholders the
opportunity to participate in the investment returns of various
fully-collateralised reinsurance-based instruments, securities
(such as notes, swaps and other derivatives), and other financial
instruments. The majority of the Master Fund's exposure to
reinsurance risk is obtained through its investment (via preference
shares) in Markel CATCo Re Ltd. (the "Reinsurer"). Up until 31
March 2019, the Company also maintained an investment in CATCo
Diversified Fund, the former Master Fund, which was exposed to
reinsurance risk through its preference shares investment in
CATCo-Re Ltd. At 31 December 2020, the Company's ownership is 15.94
per cent of the Master Fund.
On 25 July 2019, the Board of Directors (the "Board") announced
that the Company will cease accepting new investments and will not
write any new business going forward through the Reinsurer. As of
this date, the Investment Manager commenced the orderly Run-Off
(the "Run-Off") of the Reinsurer's existing portfolio, which is
reasonably expected to be completed in the first half of 2023. As
part of this Run-Off, the Company will return capital (which will
continue to be subject to side pockets) to investors as such
capital becomes available. Refer to Going Concern Considerations
under Basis of Presentation below.
Pursuant to an investment management agreement, the Company is
managed by Markel CATCo Investment Management Ltd. (the "Investment
Manager"), a Bermuda based limited liability company that is
subject to the ultimate supervision of the Board. The Investment
Manager is responsible for all of the Company's investment
decisions. On 1 January 2020, the Investment Manager entered into a
Run-Off Services Agreement with Lodgepine Capital Management
Limited ("LCML"), under which LCML will provide services relating
to the management of the Run-Off business of the Investment
Manager.
The Reinsurer is a Bermuda licensed Class 3 reinsurance company,
registered as a segregated account company under the SAC Act,
through which the Master Fund access the majority of its
reinsurance risk exposure. The Reinsurer forms a segregated account
that corresponds solely to the Master Fund's investment in the
Reinsurer with respect to each particular reinsurance
agreement.
The Reinsurer focuses primarily on property catastrophe
insurance and may be exposed to losses arising from hurricanes,
earthquakes, typhoons, hailstorms, winter storms, floods, tsunamis,
tornados, windstorms, extreme temperatures, aviation accidents,
fires, wildfires, explosions, marine accidents, terrorism,
satellite, energy and other perils.
The Company's shares are listed and traded on the Specialist
Fund Segment of the Main Market of the London Stock Exchange
("SFS"). The Company's shares are also listed on the Bermuda Stock
Exchange ("BSX").
Basis of Presentation
The audited Financial Statements are expressed in United States
dollars and have been prepared in conformity with accounting
principles generally accepted in the United States of America
("U.S. GAAP"). The Company is an investment company and follows the
accounting and reporting guidance contained within Topic 946,
"Financial Services Investment Companies", of the Financial
Accounting Standards Board ("FASB") Accounting Standards
Codification ("ASC").
Going Concern Considerations
In accordance with ASC 205-40-50, Presentation of Financial
Statements-Going Concern, the Investment Manager and the Board have
reviewed the Company's ability to continue as a going concern and
have confirmed their intent to continue to run-off the Company's
portfolios as a going concern with no imminent plans to liquidate
the Company. The Investment Manager and the Board have concluded
that the Company has sufficient financial resources to continue as
a going concern based on the following key considerations: (i) the
Company holds investments in the Master Fund which are supported by
underlying fully collateralised reinsurance contracts in the
Reinsurer that are expected to be settled in the first half of
2023, (ii) the Investment Manager and the Directors' have reviewed
the Company's cash forecast for 18 months from the date of this
report and have determined that the Company has sufficient cash to
adequately meet operational expenses, and (iii) Markel Corporation,
is fully committed to the orderly run-off of the Reinsurer and
Master Fund portfolios. Based on the aforementioned reasons, the
Company continues to adopt the going concern basis in preparing the
financial statements for the year ended 31 December 2020.
Cash and Cash Equivalents
Cash and cash equivalents include short-term, highly liquid
investments, such as money market funds, that are readily
convertible to known amounts of cash and have original maturities
of three months or less.
Valuation of Investments in the Master Fund
The Company records its investments in the Master Fund at fair
value based upon an estimate made by the Investment Manager, in
good faith and in consultation or coordination with Centaur Fund
Services (Bermuda) Limited (the "Administrator"), as defined in
Note 10, where practicable, using what the Investment Manager
believes in its discretion are appropriate techniques consistent
with market practices for the relevant type of investment. Fair
value in this context depends on the facts and circumstances of the
particular investment, including but not limited to prevailing
market and other relevant conditions, and refers to the amount for
which a financial instrument could be exchanged between
knowledgeable, willing parties in an arm's length transaction. Fair
value is not the amount that an entity would receive or pay in a
forced transaction or involuntary liquidation.
Fair Value - Definition and Hierarchy (Master Fund)
Fair value is defined as the price that would be received to
sell an asset or paid to transfer a liability (i.e., the "exit
price") in an orderly transaction between market participants at
the measurement date.
In determining fair value, the Investment Manager uses various
valuation approaches. A fair value hierarchy for inputs is used in
measuring fair value that maximises the use of observable inputs
and minimises the use of unobservable inputs by requiring that the
most observable inputs are to be used when available. Observable
inputs are those that market participants would use in pricing the
asset or liability based on market data obtained from sources
independent of the Investment Manager. Unobservable inputs reflect
the assumptions of the Investment Manager in conjunction with the
Board of Directors of the Master Fund (the "Board of the Master
Fund") about the inputs market participants would use in pricing
the asset or liability developed based on the best information
available in the circumstances.
The fair value hierarchy is categorised into three levels based
on the inputs as follows:
Level 1 - Valuations based on unadjusted quoted prices in active
markets for identical assets or liabilities that the Master Fund
has the ability to access. Valuation adjustments are not applied to
Level 1 investments. Since valuations are based on quoted prices
that are readily and regularly available in an active market,
valuation of these investments does not entail a significant degree
of judgment.
Level 2 - Valuations based on quoted prices in markets that are
not active or for which all significant inputs are observable,
either directly or indirectly.
Level 3 - Valuations based on inputs that are unobservable and
significant to the overall fair value measurement. The availability
of valuation techniques and observable inputs can vary from
investment to investment and are affected by a wide variety of
factors, including the type of investment, whether the investment
is new and not yet established in the marketplace, and other
characteristics particular to the transaction. To the extent that
valuation is based on models or inputs that are less observable or
unobservable in the market, the determination of fair value
requires more judgment. Those estimated values do not necessarily
represent the amounts that may be ultimately realised due to the
occurrence of future circumstances that cannot be reasonably
determined. Because of the inherent uncertainty of valuation, those
estimated values may be materially higher or lower than the values
that would have been used had a ready market for the investments
existed. Accordingly, the degree of judgment exercised by the
Investment Manager in determining fair value is greatest for
investments categorised in Level 3 of the fair value hierarchy. In
certain cases, the inputs used to measure fair value may fall into
different levels of the fair value hierarchy. In such cases, for
disclosure purposes, the level in the fair value hierarchy within
which the fair value measurement falls in its entirety, is
determined based on the lowest level input that is significant to
the fair value measurement.
Fair value is a market-based measure considered from the
perspective of a market participant rather than an entity-specific
measure. Therefore, even when market assumptions are not readily
available, the Master Fund's own assumptions are set to reflect
those that market participants would use in pricing the asset or
liability at the measurement date. The Master Fund uses prices and
inputs that are current as of the measurement date, including
periods of market dislocation. In periods of market dislocation,
the observability of prices and inputs may be reduced for many
investments. This condition could cause an investment to be
reclassified to a lower level within the fair value hierarchy.
Fair Value - Valuation Techniques and Inputs
Investments in Securities (Master Fund)
The value of preference shares issued by the Reinsurers and
subscribed for by the Master Funds and held with respect to a
reinsurance agreement will equal:
i. the amount of capital invested in such preference shares; plus
ii. the amount of net earned premium (as described below) that
has been earned period-to-date for such contract; plus
iii. the amount of the investment earnings earned to date on
both the capital invested in such preference shares and the
associated reinsurance premiums in respect of such contract;
minus
iv. the amount of any loss estimates associated with potential
claims triggering covered events (see "Estimates" below); minus
v. the amount of any risk margin considered necessary to reflect
uncertainty and to compensate a market participant for bearing the
uncertainty of cash flows in an exit of the reinsurance
transaction.
As a result of the Reinsurer conducting reinsurance activities,
it incurs expenses. The Reinsurer established a separate preference
share (the "Expense Cell") to allocate these expenses to the Master
Fund. To the extent that the inputs into the valuation of
preference shares are unobservable, the preference shares would be
classified as Level 3 within the fair value hierarchy.
Reinsurance Protections
Included within the Master Fund's investment in the Reinsurer
are certain preference shares issued by the Reinsurer and
subscribed for by the Master Fund in relation to reinsurance
purchased specifically to meet the desired level of risk as set out
in the Company's investment strategy ("Reinsurance Protections").
The underlying premiums are amortised over the duration of the
contracts. As of 31 December 2020, the Master Fund has no remaining
reinsurance protections.
Derivative Financial Instruments
The Master Fund invests in derivative financial instruments such
as industry loss warranties ("ILWs"), which are recorded at fair
value as at the reporting date. The Master Fund generally records a
realised gain or loss on the expiration, termination or settlement
of a derivative financial instrument. Changes in the fair value of
derivative financial instruments are recorded as net change in
unrealised gain or loss on derivative financial instruments in the
Statement of Operations in the year.
The fair value of derivative financial instruments at the
reporting date generally reflects the amount that the Master Fund
would receive or pay to terminate the contract at the reporting
date.
These derivative financial instruments used by the Master Fund
are fair valued similar to preference shares held with respect to
reinsurance agreements, unless otherwise unavailable, except that
following a Covered Event (as defined below), loss information from
the index provider on the trade will be used.
As of 31 December 2020, the Master Fund has no remaining ILW
contracts held.
Investment in Securities issued by the Reinsurer and subscribed
to by the Master Fund
Earned Premiums
Premiums are considered earned with respect to computing the
Master Fund's net asset value in direct proportion to the
percentage of the risk that is deemed to have expired year-to-date.
Generally, all premiums, net of acquisition costs, are earned
uniformly over each month of the risk period. However, for certain
risks, there is a clearly demonstrable seasonality associated with
these risks. Accordingly, seasonality factors are utilised for the
recognition of certain instruments, including preference shares
relating to reinsurance agreements, ILWs and risk transfer
derivative agreements, where applicable. Prior to the investment in
any seasonal contract, the Investment Manager is required to
produce a schedule of seasonality factors, which will govern the
income recognition and related fair value price for such seasonal
contract in the absence of a covered event. The Investment Manager
may rely on catastrophe modeling software, historical catastrophe
loss information or other information sources it deems reliable to
produce the seasonality factors for each seasonal contract. As a
result of the run-off of the Company's existing portfolio, as
discussed in Note 1, no new premiums were written in 2020 and all
premiums outstanding in 2019 have been fully earned during the
year.
Estimates
The Investment Manager provides monthly loss estimates of all
incurred loss events ("Covered Events") potentially affecting
investments relating to a retrocessional reinsurance agreement of
the Reinsurer to the Administrator for review. As the Reinsurer's
reinsurance agreements are fully collateralised, any loss estimates
above the contractual thresholds as contained in the reinsurance
agreements will require capital to be held in a continuing
reinsurance trust account with respect to the maximum contract
exposure with respect to the applicable Covered Event.
"Fair Value" Pricing used by the Master Fund
Any investment that cannot be reliably valued using the
principles set forth above (a "Fair Value Instrument") is marked at
its fair value, based upon an estimate made by the Investment
Manager, in good faith and in consultation or coordination with the
Administrator, as defined in Note 10, where practicable, using what
the Investment Manager believes in its discretion are appropriate
techniques consistent with market practices for the relevant type
of investment. Fair valuation in this context depends on the facts
and circumstances of the particular investment, including but not
limited to prevailing market and other relevant conditions, and
refers to the amount for which a financial instrument could be
exchanged between knowledgeable, willing parties in an arm's length
transaction. Fair value is not the amount that an entity would
receive or pay in a forced transaction or involuntary
liquidation.
The process used to estimate a fair value for an investment may
include a single technique or, where appropriate, multiple
valuation techniques, and may include (without limitation and in
the discretion of the Investment Manager, or in the discretion of
the Administrator subject to review by the Investment Manager where
practicable) the consideration of one or more of the following
factors (to the extent relevant): the cost of the investment to the
Master Funds, a review of comparable sales (if any), a discounted
cash flow analysis, an analysis of cash flow multiples, a review of
third-party appraisals, other material developments in the
investment (even if subsequent to the valuation date), and other
factors.
For each Fair Value Instrument, the Investment Manager and/or
the Administrator, may as practicable, endeavor to obtain quotes
from broker-dealers that are market makers in the related asset
class, counterparties, the Master Fund's prime brokers or lending
agents and/or pricing services. The Investment Manager, may, but
will not be required to, input pricing information into models
(including models that are developed by the Investment Manager or
by third parties) to determine whether the quotations accurately
reflect fair value.
From time to time, the Investment Manager may change its fair
valuation technique as applied to any investment if the change
would result in an estimate that the Investment Manager in good
faith believes is more representative of fair value under the
circumstances.
The determination of fair value is inherently subjective in
nature, and the Investment Manager has a conflict of interest in
determining fair value in light of the fact that the valuation
determination may affect the amount of the Investment Manager's
management and performance fee. This risk of conflict of interest
is mitigated through the rigorous quarterly loss reserving process,
which includes a review of the loss reserves by Markel
Corporation's executives.
At any given time, a substantial portion of the Master Fund's
portfolio positions may be valued by the Investment Manager using
the fair value pricing policies. Prices assigned to portfolio
positions by the Administrator or the Investment Manager may not
necessarily conform to the prices assigned to the same financial
instruments if held by other accounts or by affiliates of the
Investment Manager.
Side Pocket Investments
The Board of the Master Fund, in consultation with the
Investment Manager, may classify certain Insurance-Linked
Instruments as Side Pocket Investments in which only investors who
are shareholders at the time of such classification can participate
("Side Pocket Investments"). This typically will happen if a
Covered Event has recently occurred or seems likely to occur under
an Insurance-Linked Instrument, because determining the fair value
of losses once a Covered Event has occurred under an
Insurance-Linked Instrument is often both a highly uncertain and a
protracted process. When a Side Pocket Investment is established,
the Master Fund converts a corresponding portion of each investor's
Ordinary Shares into Side Pocket Shares (Note 7).
Financial Instruments
The fair values of the Company's assets and liabilities, which
qualify as financial instruments under ASC 825, "Financial
Instruments", approximate the carrying amounts presented in the
Statements of Assets and Liabilities.
Investment Transactions and Related Investment Income and
Expenses
The Company records its proportionate share of the Master Fund's
income, expenses, realised and unrealised gains and losses on
investment in securities on a monthly basis. In addition, the
Company incurs and accrues its own income and expenses.
Investment transactions of the Master Funds are accounted for on
a trade-date basis. Realised gains or losses on the sale of
investments are calculated using the specific identification method
of accounting. Interest income and expense are recognised on the
accrual basis.
Translation of Foreign Currency
Assets and liabilities denominated in foreign currencies are
translated into United States dollar amounts at the period-end
exchange rates. Transactions denominated in foreign currencies,
including purchases and sales of investments, and income and
expenses, are translated into United States dollar amounts on the
transaction date. Adjustments arising from foreign currency
transactions are reflected in the Statements of Operations.
The Company does not isolate the portion of the results of
operations arising from the effect of changes in foreign exchange
rates on investments from fluctuations arising from changes in
market prices of investments held. Such fluctuations are included
in net gains or losses on securities in the Statements of
Operations.
Income Taxes
Under the laws of Bermuda, the Company is generally not subject
to income taxes. The Company has received an undertaking from the
Minister of Finance of Bermuda, under the Exempted Undertakings Tax
Protection Act 1966 that in the event that there is enacted in
Bermuda any legislation imposing income or capital gains tax, such
tax shall not until 31 March 2035 be applicable to the Company.
However, certain United States dividend income and interest income
may be subject to a 30% withholding tax. Further, certain United
States dividend income may be subject to a tax at prevailing treaty
or standard withholding rates with the applicable country or local
jurisdiction.
The Company is required to determine whether its tax positions
are more likely than not to be sustained upon examination by the
applicable taxing authority, including resolution of any related
appeals or litigation processes, based on the technical merits of
the position. The tax benefit recognised is measured as the largest
amount of benefit that has a greater than fifty per cent likelihood
of being realised upon ultimate settlement with the relevant taxing
authority. De-recognition of a tax benefit previously recognised
results in the Company recording a tax liability that reduces
ending net assets. Based on its analysis, the Company has
determined that it has not incurred any liability for unrecognised
tax benefits as of 31 December 2020. However, the Company's
conclusions may be subject to review and adjustment at a later date
based on factors including, but not limited to, on-going analyses
of and changes to tax laws, regulations and interpretations
thereof.
The Company recognises interest and penalties related to
unrecognised tax benefits in interest expense and other expenses,
respectively. No tax-related interest expense or penalties have
been recognised as of and for the years ended 31 December 2020 and
2019.
Generally, the Company may be subjected to income tax
examinations by relevant major taxing authorities for all tax years
since its inception.
The Company may be subject to potential examination by United
States federal or foreign jurisdiction authorities in the areas of
income taxes. These potential examinations may include questioning
the timing and amount of deductions, the nexus of income among
various tax jurisdictions and compliance with United States federal
or foreign tax laws.
The Company was not subjected to any tax examinations during the
years ended 31 December 2020 and 2019.
Use of Estimates
The preparation of Financial Statements in conformity with U.S.
GAAP requires the Company's management to make estimates and
assumptions in determining the reported amounts of assets and
liabilities, including fair value of investments, the disclosure of
contingent assets and liabilities as of the date of the Financial
Statements, and the reported amounts of income and expenses during
the reported period. Actual results could differ from those
estimates.
Offering Costs
The costs associated with each capital raise are expensed
against paid-in capital and the Company's existing cash reserves as
incurred.
Premium and Discount on Share Issuance
Issuance of shares at a price in excess of the Net Asset Value
(the "NAV") per share at the transaction date results in a premium
and is recorded as paid-in capital. Discounts on share issuance are
treated as a deduction from paid-in capital.
Other Matters
Markel CATCo Governmental Inquiries
Markel Corporation previously reported that the U.S. Department
of Justice, U.S. Securities and Exchange Commission and Bermuda
Monetary Authority (together, the Governmental Authorities) are
conducting inquiries into loss reserves recorded in late 2017 and
early 2018 at our Markel CATCo. Those reserves are held at Markel
CATCo Re Ltd., an unconsolidated subsidiary of Markel CATCo
Investment Management ("MCIM"). The Markel CATCo Inquiries are
limited to MCIM and its subsidiaries (together, Markel CATCo) and
do not involve other Markel Corporation subsidiaries.
Markel Corporation retained outside counsel to conduct an
internal review of Markel CATCo's loss reserving in late 2017 and
early 2018. The internal review was completed in April 2019 and
found no evidence that Markel CATCo personnel acted in bad faith in
exercising business judgment in the setting of reserves and making
related disclosures during late 2017 and early 2018. Markel
Corporation's outside counsel has met with the Governmental
Authorities and reported the findings from the internal review. At
this time, Markel Corporation is unable to predict the duration,
scope or result of the Markel CATCo Inquiries.
Revised employment litigation:
Anthony Belisle v. Markel CATCo Investment Management Ltd and
Markel Corp. (U.S. District Court for the District of New
Hampshire)
On 21 February 2019, Anthony Belisle filed a lawsuit, Anthony
Belisle v. Markel CATCo Investment Management Ltd and Markel
Corporation (U.S. District Court for the District of New
Hampshire), which was amended on 29 March 2019. As amended, the
complaint alleged claims for, among other things, breach of
contract, defamation, invasion of privacy, indemnification,
intentional interference with contractual relations and deceptive
and unfair acts and sought relief of, among other things, $66
million in incentive compensation, enhanced compensatory damages,
consequential damages, damages for emotional distress and injury to
reputation, exemplary damages and attorneys' fees. In June 2019,
MCIM, Markel Corporation, and Mr. Belisle agreed to commence
binding arbitration to finally, fully and confidentially resolve
the claims and counterclaims alleged in the action, and the Belisle
suit was dismissed with prejudice in July 2019. In late July 2020,
the parties commenced settlement discussions and reached an
agreement on a mutually acceptable settlement amount and a
settlement agreement was entered into. There was no financial
impact to the Company.
California Bankruptcy Court and the PG&E Proposed Settlement
(at 14 December 2020)
The Investment Manager closely monitored the procedural
developments in the California Bankruptcy Court with the assistance
of external counsel. The information contained in this section is a
summary of publicly available information and further detailed
information regarding the PG&E chapter 11 case can be found on
https://restructuring.primeclerk.com/pge/.
As reported earlier, effective 1 July 2020, the California
Bankruptcy Court formally approved the PG&E reorganization
plan. Part of that plan included an $11 billion settlement with the
Ad Hoc Subrogation Group (originally, primary insurers only, now
primary insurers and hedge funds that bought subrogation rights
from primary insurers).
Whilst it is estimated that the $11 billion plan represents a
55% recovery on an aggregate basis to those primary insurers, such
distributions are subject to a confidential allocation formula
based upon the applicable fire (defined as claims relating to the
2017 North fires and 2018 Camp fire). Thus not all 2017 and 2018
California Wildfire losses are in scope for PG&E subrogation
proceeds.
There remains uncertainty with regards to the allocation of
recoveries across the insurance sector. Estimating recoveries is
further complicated by the fact that many primary insurers have
sold their claims during the course of the chapter 11 proceeding at
what may have been at discounted rates, which will ultimately
decrease the amount available to reinsurers. The Investment Manager
continues to liaise with cedants in order to determine the effect
(where applicable) on reported losses on applicable indemnity
contracts.
Contractually any reduction due to subrogation in ground up loss
(or recovery) to the original Insurance companies will flow through
to the reinsurance placements. Any potential recoveries will be
based on the reduction in loss to treaty reinsurance and
retrocessional reinsurance programs and will be based on the level
of each applicable layer - the order of recovery will flow from the
top down. For companies that have sold their subrogation rights,
any reduction in cedant reported loss would have been computed
already by the flow of any sale price, and the likelihood of any
additional recovery flowing through to Markel CATCo as a result of
the $11 billion payment will be less likely. The Master Fund has
not accrued any amount for the PG&E proposed settlement. To
date, but in particular following receipt of Q3 Cedant reported
loss updates, the Investment Manager has seen some reductions in
the 2017 California wildfire losses over previous quarterly loss
notifications, which resulted in the December Ordinary Share NAV
increasing by c. 7.0%.
Whilst there was also a modest reduction in 2018 California
Wildfire claims reported during FY2020, this was offset by some
adverse development experienced in relation to Typhoon Jebi and
Hurricane Michael resulting in the Side Pocket Investments of 2018
remaining stable year on year.
The Manager continues to liaise with cedants in order to
determine the effect of California wildfire subrogation recoveries
(where applicable) on reported losses on applicable indemnity
contracts.
2. SCHEDULE OF THE COMPANY'S SHARE OF THE INVESTMENTS HELD IN
THE MASTER FUND AND FAIR VALUE MEASUREMENTS
The following table reflects the Company's proportionate share
of the fair value of investments in the Reinsurer held by the
Master Fund at 31 December 2020.
Preference Shares $ Fair Value Preference Shares $Fair Value
- Investments - Investments
in Markel CATCo in Markel CATCo
Re Ltd. Re Ltd.
-------------------- ----------- --------------------- ----------
Class D 874,235 Class DP 885,163
Class P 3,021 Class DQ 64
Class S 3,615,936 Class DR 1,055,090
Class U 582,149 Class DS 39,464
Class Z 701,779 Class DT 1,349,569
Class BB 17,027 Class DY 645
Class BQ 1,549,134 Class DZ 1,662,082
Class BR 1,187,890 Class EA 2,438
Class BX 158,696 Class EB 890,698
Class BY 214,491 Class EC 183
Class BZ 6 Class ED 62,865
Class CA 382 Class EG 652,377
Class CB 7,864,225 Class EH 434,859
Class CC 1,958,820 Class EI 92,246
Class CD 1,024,262 Class EK 435,207
Class CE 1,921,558 Class EL 435,624
Class CF 330,869 Class EM 1,463,651
Class CI 1,898,899 Class EQ 522,647
Class CJ 2,052,077 Class ER 2,181,660
Class CK 209,579 Class ET 878,608
Class CL 2,770,841 Class EU 8,895,840
Class CM 580,856 Class EX 132
Class CQ 3,312,584 Class EY 339,857
Class CS 800,937 Class FA 3,075,054
Class CT 1,176,096 Class FB 2,050,036
Class CW 971,363 Class FC 930
Class CX 37,565 Class FD 1,384,229
Class DB 952 Class FE 3,951,449
Class DC 2,738,401 Class FG 1,828,845
Class DE 5,786,124 Class FH 517,507
Class DF 429,726 Class FI 199,767
Class DG 517 Class FJ 14,508
Class DH 31 Class FK 104
Class DI 20 Class FL 8,293,724
Class DK 581 Class FM 2,780,991
Class DL 356 Class FN 367,462
Class DM 694 Class FO 565,295
Class DN 59,339 Class FQ 1,293,084
Class DO 2,127,799 Expense Cell 156,026
Total Investments in Markel CATCo Re Ltd. Preference
Shares $95,719,797
The following table reflects the Company's proportionate share
of the fair value of investments in the Reinsurer held by the
Master Fund at 31 December 2019.
Preference Shares $ Fair Value Preference Shares $ Fair Value
- Investments - Investments
in Markel CATCo in Markel CATCo
Re Ltd. Re Ltd.
Class D 846,103 Class DP 2,586,774
Class I 575,509 Class DQ 386,742
Class J 606,196 Class DR 7,667,357
Class L 912,858 Class DS 98,536
Class P 462,802 Class DT 2,315,881
Class R 837,706 Class DY 75,420
Class S 3,393,419 Class DZ 1,170,345
Class U 841,465 Class EA 1,492,872
Class V 42,782 Class EB 1,681,692
Class Z 564,489 Class EC 1,936,817
Class BB 869,897 Class ED 3,577,191
Class BQ 1,572,590 Class EE 4,733
Class BR 1,373,288 Class EG 874,236
Class BS 141,689 Class EH 14,403
Class BX 119,924 Class EI 465,586
Class BY 567,978 Class EK 28,763
Class BZ 50,481 Class EL 57,526
Class CA 144,672 Class EM 1,775,149
Class CB 5,776,342 Class EO 19,970
Class CC 7,463,307 Class EP 6,657
Class CD 872,130 Class EQ 43,071
Class CE 398,427 Class ER 1,342,984
Class CI 1,346,238 Class ES 169,433
Class CJ 1,064,806 Class ET 517,355
Class CK 470,763 Class EU 13,280,132
Class CL 2,630,175 Class EV 13,187
Class CM 1,177,420 Class EX 826,179
Class CQ 3,098,654 Class EY 1,238,225
Class CS 1,623,363 Class FA 5,429,891
Class CT 37,619 Class FB 3,619,928
Class CV 94,223 Class FC 2,489,462
Class CW 802,265 Class FD 92,330
Class CX 411,440 Class FE 5,769,249
Class DB 1,263,931 Class FF 8,919,205
Class DC 3,794,515 Class FG 15,033,584
Class DD 892,506 Class FH 525,003
Class DE 13,060,566 Class FI 756,342
Class DF 812,151 Class FJ 556,558
Class DG 29,174 Class FK 788,013
Class DH 42,972 Class FL 13,722,403
Class DI 28,648 Class FM 4,005,134
Class DJ 511,970 Class FN 2,602,598
Class DK 897,892 Class FO 2,485,634
Class DL 80,013 Class FP 289,902
Class DM 108,833 Class FQ 1,757,835
Class DN 439,145 Class FR 896,436
Class DO 2,724,666 Expense Cell 41,237
Total Investments in Markel CATCo Re Ltd. Preference
Shares $ 179,325,962
------------------------------------------------------------- ------------
As at 31 December 2019, included within the Company's investment
in the Master Fund was cash and cash equivalents held in trust by
the Master Fund representing the Company's net proportionate share
of derivative transactions entered into by the Master Fund
amounting to approximately $118,144,335. The Master Fund held no
derivative positions as at 31 December 2020. As at 31 December
2020, the Company's proportionate share of the Master Fund's cash
and cash equivalents is $5,440,338.
As at 31 December 2020, the Company held no preference shares
relating to Reinsurance Protections (31 December 2019: Nil).
As at 31 December 2020, 100.00 per cent of total investments
held by the Master Fund are classified as Side Pocket Investments
(31 December 2019: 100.00 per cent).
In accordance with FASB ASC Sub-topic 820-10, certain
investments that are measured at fair value using the NAV per share
(or its equivalent) practical expedient are not required to be
classified within the fair value hierarchy. As the Company's
investments as at 31 December 2020 comprised solely of investments
in another investment company, the Master Fund, which are valued
using the net asset value per share (or its equivalent) practical
expedient, no fair value hierarchy has been disclosed.
The Company considers all short-term investments with daily
liquidity as cash equivalents and are classified as Level 1 within
the fair value hierarchy.
As at 31 December 2020, The Master Fund's investment in
securities are classified as Level 3 within the fair value
hierarchy. The table below summarises information about the
significant unobservable inputs used in determining the fair value
of the Master Fund's Level 3 assets:
Type of Investment Valuation Technique Unobservable Input Range
-------------------- --------------------- --------------------------- -----------------
Preference Shares Premium earned Premiums earned 12 months
- straight line
for uniform perils
--------------------- --------------------------- -----------------
Premiums earned 5 to 6 months
- seasonality
adjusted for non-uniform
perils
--------------------- --------------------------- -----------------
Loss reserves Loss reserves* 0 to contractual
limit
--------------------- --------------------------- -----------------
Risk margin Risk margin 0% to 30%
--------------------- ------------------------------------------------ -----------------
* Based on underlying cedant loss notifications with management
judgement applied as deemed appropriate
As described in Note 6, significant increases or decreases in
loss reserves of the Reinsurer would result in a significantly
lower or higher fair value measurement. The derivative financial
instruments pertain to non- exchange traded derivatives under
standard derivatives agreements. The Master Fund is required to
post collateral on derivatives if the Master Fund is in a net
liability position with the counterparty. The collateral held is
governed by the terms of a tripartite Trust Agreement with any
withdrawals only permissible as prescribed by the terms of the
Trust Agreement. Following the full commutation of the six
derivative financial instruments, c. $602.5m of collateral was
released during the year and no ILW contracts or collateral
relating to ILW contracts were held as at 31 December 2020.
Master Fund's Other Assets and Liabilities
As at 31 December 2020, the Company's proportionate share in the
Master Fund's other net assets amounts to approximately $61,209
(2019 net liabilities: $37,368,121) and is included in 'Investments
in Markel CATCo Reinsurance Fund - Markel CATCo Diversified Fund'
on the Statement of Assets and Liabilities. This includes amounts
due to other segregated accounts of the Master Fund SAC, and other
accrued expenses (net of other assets and due from the
Reinsurer).
3. CONCENTRATION OF CREDIT RISK
In the normal course of business, the Company maintains its cash
balances (not assets supporting retrocessional reinsurance
transactions) in financial institutions, which at times may exceed
federally insured limits. The Company is subject to credit risk to
the extent any financial institution with which it conducts
business is unable to fulfill contractual obligations on its
behalf. Management monitors the financial condition of such
financial institutions and does not anticipate any losses from
these counterparties. At 31 December 2020, cash and cash
equivalents are held with HSBC Bank Bermuda Ltd., which has a
credit rating of A-/A-2, and with HSBC Global Asset Management
(USA) Inc., which has a credit rating of A/A-2 as issued by
Standard & Poor's.
4. CONCENTRATION OF REINSURANCE RISK
The following table illustrates the diversified risk profile of
the Reinsurer's portfolio by geography and peril. As the investment
portfolios of the Company are in run-off, and the Investment
Manager wrote no new risk contracts in 2020, the reinsurance risk
profile as at 31 December 2020 is based on the loss reserves (see
Note 7) as at this date compared to 2019 which was based on
reinsurance premiums written.
Geographic Distribution 2020 2019 Exposure by Risk Peril 2020 2019
------------------------------------ ---- ---- ------------------------------------ ---- ----
1. North America/Caribbean 70% 36% 1. Wind 70% 28%
------------------------------------ ---- ---- ------------------------------------ ---- ----
2. Japan 26% 9% 2. Winterstorm/Wildfire 23% 3%
------------------------------------ ---- ---- ------------------------------------ ---- ----
3. Global Marine/Energy/Terrorism/ 3. Severe Convective
Aviation/Satellite 2% 10% Storm 3% 3%
------------------------------------ ---- ---- ------------------------------------ ---- ----
4. Australia/New Zealand 2% 3% 4. Marine/Energy/Aviation/Satellite 2% 10%
------------------------------------ ---- ---- ------------------------------------ ---- ----
5. All Other 0% 23% 5. Flood 1% 1%
------------------------------------ ---- ---- ------------------------------------ ---- ----
6. Europe 0% 9% 6. Other 1% 0%
------------------------------------ ---- ---- ------------------------------------ ---- ----
7. Global Backup Protection 0% 5% 7. Any Natural Peril 0% 26%
------------------------------------ ---- ---- ------------------------------------ ---- ----
8. Mexico/Central America/South
America 0% 4% 8. Earthquake 0% 18%
------------------------------------ ---- ---- ------------------------------------ ---- ----
9. Asia Excluding Japan 0% 1% 9. Backup Protection 0% 10%
------------------------------------ ---- ---- ------------------------------------ ---- ----
10. Terrorism 0% 1%
5. COVID-19 CONSIDERATIONS
As at 31 December 2020, the Board and the Investment Manager
have concluded that the recent outbreak of the novel Coronavirus
("COVID-19") at the start of January 2020 did not have a
significant financial impact on the Company's going concern
assessment. There was minimal disruption in operational activities,
evident through the several commutations and the resulting six side
pocket releases conducted during FY 2020. The rapid development and
fluidity of COVID-19 precludes any prediction to its ultimate
impact, which may have a continued adverse impact on economic and
market conditions and trigger a period of global economic
slowdown.
The Investment Manager is monitoring developments relating to
COVID-19 and is coordinating its operational response based on
existing business continuity plans and on guidance from global
health organisations, relevant governments, and general pandemic
response best practices.
6. INVESTMENTS IN MASTER FUND, AT FAIR VALUE
The net investment loss allocated from the Master Funds, and the
net realised loss and net change in unrealised gain / (loss) on
securities allocated from Master Fund and CATCo Diversified Fund in
the Statements of Operations consisted of the combined results from
the Company's Investments in the Master Fund and CATCo Diversified
Fund as detailed below:
(Expressed in 2020 2020 2020 Total 2019 2019 2019 Total
United States Investment Investment Investment Investment
Dollars) in Master in CATCo in Master in CATCo
Fund Diversified Fund Diversified
Fund Fund
--------------- ------------- ------------ ------------- ------------- ------------ -------------
Net investment
loss allocated
from Master
Funds
Interest income $ 436,586 $ - $ 436,586 $ 2,641,840 $ - $ 2,641,840
Management fee
waived 1,516,824 - 1,516,824 - - -
Management fee (3,033,648) - (3,033,648) (4,488,039) (2,661) (4,490,700)
Administrative
fee (181,302) - (181,302) (192,618) (3,770) (196,388)
Professional
fees and other (150,707) - (150,707) (306,520) (9,669) (316,189)
Performance fee
(a) - - - - (15,666) (15,666)
--------------- ------------- ------------ ------------- ------------- ------------ -------------
Net investment
loss allocated
from Master
Funds $ (1,412,247) $ - $ (1,412,247) $ (2,345,337) $ (31,766) $ (2,377,103)
--------------- ------------- ------------ ------------- ------------- ------------ -------------
Net realised
loss on
securities(b) $(169,722,417) $ - $(169,722,417) $(232,825,116) $ (350,433) $(233,175,549)
Net change in
unrealised
loss on
securities(c) 174,126,929 - 174,126,929 165,231,375 427,502 165,658,877
--------------- ------------- ------------ ------------- ------------- ------------ -------------
Net gain / loss
on securities
allocated from
Master Funds $ 4,404,512 $ - $ 4,404,512 $ (67,593,741) $ 77,069 $ (67,516,672)
--------------- ------------- ------------ ------------- ------------- ------------ -------------
(a) Performance fee relates to SPI releases during 2019
following commutation of a legacy CATCo Re Ltd. deal.
(b) Includes gross realised gain on securities of: 2020:
$25,435,700 (2019: $359,647) and gross realised loss on securities
of:
2020: $195,158,117 (2019: $233,535,196)
(c) Includes gross change in unrealised gain on securities of:
2020: $217,026,799 (2019: $270,619,536) and gross change in
unrealised loss on securities of 2020: $42,899,870 (2019:
$104,960,659)
7. LOSS RESERVES
The following disclosures on loss reserves are included for
information purposes and relate specifically to the Reinsurer and
are reflected through the valuations of investments held by the
Company through the Master Fund.
The reserve for unpaid losses and loss expenses recorded by the
Reinsurer includes estimates for losses incurred but not reported
as well as losses pending settlement. The Reinsurer make a
provision for losses on contracts only when an event that is
covered by the contract has occurred. When a potential loss event
has occurred, the Reinsurer uses the underlying cedant loss
notifications along with management's judgement as deemed
appropriate to estimate the level of reserves required. The process
of estimating loss reserves is a complex exercise, involving many
variables and a reliance on actuarial modeled catastrophe loss
analysis. However, there is no precise method for evaluating the
adequacy of loss reserves when industry loss estimates are not
final, and actual results could differ from original estimates. In
addition, the Reinsurer's reserves include an implicit risk margin
to reflect uncertainty surrounding cash flows relating to loss
reserves. The risk margin is set by the actuarial team of the
Investment Manager.
Future adjustments to the amounts recorded as of year-end,
resulting from the continual review process, as well as differences
between estimates and ultimate settlements, will be reflected in
the Reinsurer's Statements of Operations in future periods when
such adjustments become known. Future developments may result in
losses and loss expenses materially greater or less than the
reserve provided.
Markel CATCo Investment Management Ltd, (the "Insurance
Manager"), believes that the total loss reserve established from
the previous years loss events mainly on the 2019 losses pertaining
to Hurricane Dorian, Typhoon Faxai and Typhoon Hagibis, the 2018
losses pertaining to Hurricane Michael, Typhoon Jebi, Hurricane
Florence, the 2018 California Wildfires and the 2017 losses
pertaining to Hurricanes Harvey, Irma, Maria and the 2017
California Wildfires is sufficient to provide for all unpaid losses
and loss expenses based on best estimates of ultimate settlement
values and on the industry loss information currently available.
Inherent uncertainty with regard to the final insured loss impact
of the 2019 and 2018 loss events continues. Therefore, actual
results may materially differ if actual reinsured client losses
differ from the established loss reserves. The significant
uncertainty underlying the industry loss estimates could result in
the need to further adjust loss reserves, either in the event that
reserves are found to be insufficient or, conversely, if loss
reserves are found to be too conservative.
As part of the ongoing reserving process, the Insurance Manager
reviews loss reserves on a monthly basis and will make adjustments,
if necessary and such future adjustments in loss reserves could
have further material impact either favourably or adversely on
investor earnings.
As at 31 December 2020, all of the Company's investments were in
Side Pocket Investments. The Side Pocket Investments reflect 100
per cent of any potential liability that may exist with the
Reinsurer's counterparties in excess of the loss reserves held by
the Reinsurer. These Side Pocket Investments will be released
should they no longer be required by the reinsurance
counterparties.
During 2020, the Reinsurer paid claims of $627,919,002 (December
2019: $1,306,627,263). Of this amount $8,693,470 related to the
2016 events, $164,187,993 related to the 2017 events, $412,822,740
related to the 2018 loss events and $42,214,799 was in respect of
2019 events.
8. CAPITAL SHARE TRANSACTIONS
As of 31 December 2020, the Company has authorised share capital
of 1,500,000,000 (31 December 2019: 1,500,000,000) unclassified
shares of US$0.0001 each and Class B Shares ("B Shares") of such
nominal value as the Board may determine upon issue.
As of 31 December 2020, the Company has issued 168,898,993 (31
December 2019: 305,811,860) Class 1 Ordinary Shares (the "Ordinary
Shares") and 126,369,585 (31 December 2019: 437,412,476) Class C
Shares (the "C Shares").
Transactions in shares during the year, shares outstanding, NAV
and NAV per share are as follows:
31 December 2020
----------------- ----------- ------------- ----------- ------------- ----------
Beginning Share Ending Ending Net Ending NAV
Shares Repurchase Shares Assets Per Share
----------------- ----------- ------------- ----------- ------------- ----------
Class 1 Ordinary
Shares 305,811,860 (136,912,867) 168,898,993 $ 47,764,929 $ 0.2828
Class C Shares 437,412,476 (311,042,891) 126,369,585 $ 64,081,442 $ 0.5071
-------------
$ 111,846,371
-------------
31 December 2019
----------------- ----------- ------------- ----------- ------------- ----------
Beginning Share Ending Ending Net Ending NAV
Shares Repurchase Shares Assets Per Share
----------------- ----------- ------------- ----------- ------------- ----------
Class 1 Ordinary
Shares 391,666,430 (85,854,570) 305,811,860 $ 81,309,461 $ 0.2659
Class C Shares 545,367,863 (107,955,387) 437,412,476 $ 225,569,271 $ 0.5157
-------------
$$ 306,878,732
-------------
The Company has been established as a closed-ended mutual fund
and, as such, shareholders do not have the right to redeem their
shares. The shares are held in trust by Link Market Services (the
"Depository") in accordance with the Depository Agreement between
the Company and the Depository. The Depository holds the shares and
in turn issues depository interests in respect of the underlying
shares.
The Board has the ability to issue one or more classes of C
Share during any period when the Master Fund has designated one or
more investments as Side Pocket Investments. This typically will
happen if a covered or other pre-determined event has recently
occurred or seems likely to occur under an Insurance-Linked
Instrument. In such circumstances, only those shareholders on the
date that the investment has been designated as a Side Pocket
Investment will participate in the potential losses and premiums
attributable to such Side Pocket Investment. Any shares issued when
Side Pocket Investments exist will be as one or more classes of C
Share that will participate in all of the Master Fund's portfolio
other than in respect of potential losses and premiums attributable
to any Side Pocket Investments in existence at the time of issue.
If no Side Pocket Investments are in existence at the time of
proposed issue, it is expected that the Company will issue further
Ordinary Shares.
The Company's existing portfolio is currently in run-off and as
a result has only SPI Shares outstanding.
The Company issued a circular to Shareholders dated 28 February
2019 (the "February 2019 Circular") concerning the proposed
implementation of the orderly Run-Off of the Company's portfolios
by means of a change to the Company's investment policy to enable
the Company to redeem all of the Company's Master Fund Shares
attributable to the Ordinary or C Shares, as the case may be (the
"Proposals"), and distributing the net proceeds thereof to the
relevant class of Shareholders. The Proposals were approved at
class meetings of the Ordinary and C shareholders of the Company
held on 26 March 2019.
On 13 March 2020 the Company issued a circular to Shareholder
announcing that the Company will not raise further capital in any
circumstances, and so the Company is being terminated by means of a
managed process ("Compulsory Redemptions") leading to liquidation
in due course. Accordingly, the only further business that will be
undertaken is that necessary to complete the run-off of the
Company's portfolios.
During the year ended 31 December 2020, the Company completed 5
partial Compulsory Redemptions as follows:
Compulsory Redemption Ordinary Share C Share Total
Redemption Date Class ($m) Class ($m) ($m)
Partial Compulsory Redemption 1 20 April 2020 5.3 24.0 29.3
Partial Compulsory Redemption 2 18 May 2020 4.6 14.2 18.8
Partial Compulsory Redemption 3 1 July 2020 3.6 12.2 15.8
Partial Compulsory Redemption 4 2 September 2020 7.0 30.9
37.9
Partial Compulsory Redemption 5 7 October 2020 15.9 78.6
94.5
Total Capital Return 2020 36.4 159.9 196.3
There were no partial compulsory redemptions during the year
ended 31 December 2019.
9. INVESTMENT MANAGEMENT AGREEMENT
Pursuant to the Investment Management Agreement dated 8 December
2015, the Investment Manager is empowered to formulate the overall
investment strategy to be carried out by the Company and to
exercise full discretion in the management of the trading,
investment transactions and related borrowing activities of the
Company in order to implement such strategy. The Investment Manager
earns a fee for such services (Note 10).
The Investment Manager also acts as the Master Fund's investment
manager and the Reinsurer's insurance manager.
On 1 January 2020, the Investment Manager entered into a Run-Off
Services Agreement with Lodgepine Capital Management Limited
("LCML"), a subsidiary of Markel Corporation, under which, LCML
will provide services relating to the management of the Run-Off
business of Markel CATCo Investment Management.
10. RELATED PARTY TRANSACTIONS
The Investment Manager is entitled to a management fee,
calculated and payable monthly in arrears equal to 1/12 of 1.5 per
cent of the net asset value, which is not attributable to the
Company's investment in the Master Fund's shares as at the last
calendar day of each calendar month. Management fees related to the
investment in the Master Fund shares are charged in the Master Fund
and allocated to the Company. Performance fees are charged in the
Master Fund and allocated to the Company.
On 30 January 2020, the Investment Manager agreed to reduce the
Management Fee on Side Pocket Investments for the financial year
2020 by 50 per cent (2019: 33.3334 per cent) of the original fee of
1.5 per cent. This is equal to an annual Management Fee of 0.75 per
cent.
Markel Corporation, which holds the entire share capital of the
Investment Manager, holds 3.86
per cent (31 December 2019: 2.72 per cent) of the voting rights
of the Ordinary Shares and 0 per cent (31 December 2019: 0 per
cent) of the voting rights of the C Shares issued in the Company as
of 31 December 2020.
As noted in Note 9, on 1 January 2020, the Investment Manager
entered into a Run-Off Services Agreement with LCML, a subsidiary
of Markel Corporation. LCML receives a monthly service fee of 75
per cent of the net management fees due to the Investment
Manager.
In addition, as at 31 December 2020, two of the Directors are
also shareholders of the Company. The Directors' holdings are
immaterial, representing below 1 per cent of the Company NAV.
As at 31 December 2020, the Company was due a receivable of
$10,696,244 from Markel CATCo Diversified Fund exclusively related
to 1 December 2020 Side Pocket release.
11. ADMINISTRATIVE FEE
Centaur Fund Services (Bermuda) Limited serves as the Company's
Administrator. As a licensed fund administrator pursuant to the
provisions of the Bermuda Investment Funds Act, the Administrator
performs certain administrative services on behalf of the Company.
The Administrator receives a fixed monthly fee.
12. FINANCIAL HIGHLIGHTS
Financial highlights for the years ended 31 December 2020 and
2019 are as follows:
2020 2019
--------------------------------- -----------------------------------------------
Class Class C Shares Class 1 Ordinary Shares Class C Shares
1 Ordinary
Shares
------------- --------------------------- ------------------
Per share operating performance
Net asset value, beginning of
year $ 0.2659 $ 0.5157 $ 0.3479 $ 0.6299
Loss from investment operations:
Net investment (loss) / income (0.0023) (0.0044) (0.0003) 0.0012
Performance fee* - - (0.0001) -
Management fee (0.0019) (0.0033) (0.003) (0.0061)
Net gain / (loss) on investments 0.0210 0.0010 (0.0612) (0.0889)
-------------------------------- -------- ---------- --- ---------------- ---- ----------
Total from investment operations $ 0.0168 $ (0.0067) $ (0.0646) $ (0.0938)
-------------------------------- -------- ---------- --- ---------------- ---- ----------
Dividend - - (0.0392) (0.0707)
Discount on Share Buy-Back 0.0001 (0.0019) 0.0218 0.0503
-------------------------------- -------- ---------- --- ---------------- ---- ----------
Net asset value, end of year $ 0.2828 $ 0.5071 $ 0.2659 $ 0.5157
-------------------------------- -------- ---------- --- ---------------- ---- ----------
Total net asset value return
Total net asset value return
before performance
fee(++) 6.32% (1.29)% (18.57)% (14.90)%
Performance fee* -% -% (0.01)% -%
Total net asset value return
after performance
fee 6.32% (1.29)% (18.58) %^ (14.90) %^
Ratios to average net assets
Expenses other than performance
fee ** (1.67)% (1.32)% (1.60)% (1.69)%
Performance fee* -% -% (0.01)% -%
-------------------------------- -------- ---------- --- ---------------- --- ----------
Total expenses after performance
fee (1.67)% (1.32)% (1.61)% (1.69)%
-------------------------------- -------- ---------- --- ---------------- --- ----------
Net investment loss (1.58)% (1.49)% (0.98)% (0.78)%
-------------------------------- -------- ---------- --- ---------------- --- ----------
Management fee waived (0.72)% (0.65)% (0.29)% (0.23)%
-------------------------------- -------- ---------- --- ---------------- --- ----------
* The performance fee is charged in the Master Funds and relates
to crystalized performance fee on Side Pocket investments
** Expenses presented above is net of management fees waived by
the Master Fund
^ Adjusting the opening capital to reflect the dividend declared
on 31 January 2019, the normalised total return for 2019 is
equivalent to
-22.52 per cent and -18.86 per cent for the Ordinary and C
Shares respectively
++ Exclusive of dividends declared and paid, and discount on share buy backs
Financial highlights are calculated for each class of shares. An
individual shareholder's return may vary based on the timing of
capital transactions. Returns and ratios shown above are for the
years ended 31 December 2020 and 2019. The per share amounts and
ratios reflect income and expenses allocated from the Master
Funds.
13. INDEMNITIES OR WARRANTIES
In the ordinary course of its business, the Company may enter
into contracts or agreements that contain indemnifications or
warranties. Future events could occur that lead to the execution of
these provisions against the Company. Based on its history and
experience, management believes that the likelihood of such an
event is remote.
14. SUBSEQUENT EVENTS
On 21 January 2021, the Company completed its sixth partial
compulsory redemption, returning an amount of $0.2652 per Ordinary
Share and $0.5081 per C Share. This translates to a return of
approximately $2m for Ordinary Shares and $6m for C Shares, for a
total return of $8m.
On 28 January 2021, the Company announced its decision to
maintain a partial waiver of 50 per cent (one-half) of the
management fee paid by Markel CATCo Reinsurance Fund Ltd to the
Investment Manager in respect of SPIs.
These Financial Statements were approved by the Board and
available for issuance on 16 March 2021. Subsequent events have
been evaluated through this date.
For further information:
--------------------------------------
Markel CATCo Investment Management
Ltd.
Judith Wynne, General Counsel
Telephone: +1 441 493 9005
Email: judith.wynne@markelcatco.com
Mark Way, Chief of Investor Marketing
Telephone: +1 441 493 9001
Email: mark.way@markelcatco.com
Numis Securities Limited
David Benda / Hugh Jonathan
Telephone: +44 (0) 20 7260 1000
, the news service of the London Stock Exchange. RNS is approved by
the Financial Conduct Authority to act as a Primary Information
Provider in the United Kingdom. Terms and conditions relating to
the use and distribution of this information may apply. For further
information, please contact rns@lseg.com or visit www.rns.com.
RNS may use your IP address to confirm compliance with the terms
and conditions, to analyse how you engage with the information
contained in this communication, and to share such analysis on an
anonymised basis with others as part of our commercial services.
For further information about how RNS and the London Stock Exchange
use the personal data you provide us, please see our Privacy
Policy.
END
FR JFMATMTABBJB
(END) Dow Jones Newswires
March 16, 2021 11:56 ET (15:56 GMT)
Catco Reinsurance Opport... (LSE:CAT)
Historical Stock Chart
From Jun 2024 to Jul 2024
Catco Reinsurance Opport... (LSE:CAT)
Historical Stock Chart
From Jul 2023 to Jul 2024