_X_March 31, Bermuda98-0365432(State or other jurisdiction ofincorporation or organization)(I.R.S. EmployerIdentification No.)HamiltonHM441-295-0006YesXNoYesXNo “large “largeacceleratedfiler,” “accelerated “acceleratedfiler,” “smaller “smallerreportingLarge Accelerated FilerXAccelerated filerNon-accelerated filerSmaller reporting companyEmerging growth companyYESNOXYESNOXClassTrading SymbolRegisteredNumber of Shares OutstandingAt May 1, 2022Common Shares, $0.01 par valueRENew York Stock Exchange39,437,963
Table of Contents
the three and nine
OTHER INFORMATION
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Item 3.
March 31, December 31, (Dollars and share amounts in thousands, except par value per share) 2022 2021 (unaudited) ASSETS: Fixed maturities - available for sale $ 21,998,415 $ 22,308,272 (amortized cost: 2022, $22,693,029; 2021, $22,063,592, credit allowances: 2022, $(41,591); 2021, $(29,738)) Equity securities, at fair value 1,780,526 1,825,908 Short-term investments (cost: 2022, $823,889; 2021, $1,178,386) 823,875 1,178,337 Other invested assets 2,917,039 2,919,965 Cash 1,778,218 1,440,861 Total investments and cash 29,298,073 29,673,343 Accrued investment income 156,997 149,105 Premiums receivable 3,264,023 3,293,598 Reinsurance recoverables 2,101,641 2,053,354 Funds held by reinsureds 920,054 868,601 Deferred acquisition costs 842,739 872,289 Prepaid reinsurance premiums 496,632 515,445 Income taxes 117,609 2,381 Other assets 789,014 757,167 TOTAL ASSETS $ 37,986,782 $ 38,185,283 LIABILITIES: Reserve for losses and loss adjustment expenses $ 19,495,637 $ 19,009,486 Future policy benefit reserve 34,523 35,669 Unearned premium reserve 4,571,705 4,609,634 Funds held under reinsurance treaties 4,732 18,391 Other net payable to reinsurers 464,000 449,723 Losses in course of payment 133,888 260,684 Senior notes 2,346,147 2,345,800 Long term notes 223,799 223,774 Borrowings from FHLB 519,000 519,000 Accrued interest on debt and borrowings 38,843 17,348 Unsettled securities payable 67,698 16,698 Other liabilities 559,181 539,896 Total liabilities 28,459,153 28,046,103 Commitments and contingencies (Note 7) (nil) (nil) SHAREHOLDERS' EQUITY: Preferred shares, par value: $0.01; 50,000 shares authorized; 0 shares issued and outstanding - - Common shares, par value: $0.01; 200,000 shares authorized; (2022) 69,977 and (2021) 69,790 outstanding before treasury shares 700 698 Additional paid-in capital 2,271,890 2,274,431 Accumulated other comprehensive income (loss), net of deferred income tax expense (benefit) of $(89,926) at 2022 and $26,781 at 2021 (832,820) 11,523 Treasury shares, at cost; 30,529 shares (2022) and 30,524 shares (2021) (3,848,630) (3,847,308) Retained earnings 11,936,489 11,699,836 Total shareholders' equity 9,527,629 10,139,180 TOTAL LIABILITIES AND SHAREHOLDERS' EQUITY $ 37,986,782 $ 38,185,283 The accompanying notes are an integral part of the consolidated financial statements.CONSOLIDATED BALANCE SHEETS1
CONSOLIDATED STATEMENTSOF OPERATIONS
| Three Months Ended | ||||
| March 31, | ||||
(Dollars in thousands, except per share amounts) | 2022 |
| 2021 | ||
| (unaudited) | ||||
REVENUES: |
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Premiums earned | $ | 2,791,765 |
| $ | 2,387,865 |
Net investment income |
| 242,830 |
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| 260,413 |
Net gains (losses) on investments: |
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Credit allowances on fixed maturity securities |
| (11,853) |
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| (6,977) |
Gains (losses) from fair value adjustments |
| (136,860) |
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| 29,056 |
Net realized gains (losses) from dispositions |
| (4,914) |
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| 16,823 |
Total net gains (losses) on investments |
| (153,627) |
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| 38,902 |
Other income (expense) |
| 15,363 |
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| 56,593 |
Total revenues |
| 2,896,331 |
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| 2,743,773 |
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CLAIMS AND EXPENSES: |
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Incurred losses and loss adjustment expenses |
| 1,789,863 |
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| 1,711,419 |
Commission, brokerage, taxes and fees |
| 605,230 |
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| 489,011 |
Other underwriting expenses |
| 161,293 |
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| 142,231 |
Corporate expenses |
| 14,020 |
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| 12,378 |
Interest, fees and bond issue cost amortization expense |
| 24,078 |
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| 15,639 |
Total claims and expenses |
| 2,594,484 |
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| 2,370,678 |
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INCOME (LOSS) BEFORE TAXES |
| 301,847 |
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| 373,095 |
Income tax expense (benefit) |
| 4,096 |
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| 31,233 |
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NET INCOME (LOSS) | $ | 297,751 |
| $ | 341,862 |
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Other comprehensive income (loss), net of tax: |
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Unrealized appreciation (depreciation) ("URA(D)") on securities arising during the period |
| (815,177) |
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| (288,615) |
Reclassification adjustment for realized losses (gains) included in net income (loss) |
| 4,178 |
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| (3,666) |
Total URA(D) on securities arising during the period |
| (810,999) |
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| (292,281) |
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Foreign currency translation adjustments |
| (34,102) |
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| (9,582) |
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Reclassification adjustment for amortization of net (gain) loss included in net income (loss) |
| 758 |
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| 2,043 |
Total benefit plan net gain (loss) for the period |
| 758 |
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| 2,043 |
Total other comprehensive income (loss), net of tax |
| (844,343) |
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| (299,820) |
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COMPREHENSIVE INCOME (LOSS) | $ | (546,592) |
| $ | 42,042 |
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EARNINGS PER COMMON SHARE: |
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Basic | $ | 7.57 |
| $ | 8.53 |
Diluted |
| 7.56 |
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| 8.52 |
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The accompanying notes are an integral part of the consolidated financial statements. |
2
CONSOLIDATED STATEMENTSOF
(Dollars in thousands, except share and dividends per share amounts) | 2022 |
| 2021 | ||
| (unaudited) | ||||
COMMON SHARES (shares outstanding): |
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Balance, January 1 |
| 39,266,633 |
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| 39,983,481 |
Issued during the period, net |
| 187,044 |
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| 196,481 |
Treasury shares acquired |
| (5,000) |
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| (97,462) |
Balance, March 31 |
| 39,448,677 |
|
| 40,082,500 |
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COMMON SHARES (par value): |
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Balance, January 1 | $ | 698 |
| $ | 696 |
Issued during the period, net |
| 2 |
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| 2 |
Balance, March 31 |
| 700 |
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| 698 |
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ADDITIONAL PAID-IN CAPITAL: |
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Balance, January 1 |
| 2,274,431 |
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| 2,245,301 |
Share-based compensation plans |
| (2,541) |
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| 436 |
Balance, March 31 |
| 2,271,890 |
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| 2,245,737 |
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ACCUMULATED OTHER COMPREHENSIVE INCOME (LOSS), |
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NET OF DEFERRED INCOME TAXES: |
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Balance, January 1 |
| 11,523 |
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| 534,899 |
Net increase (decrease) during the period |
| (844,343) |
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| (299,820) |
Balance, March 31 |
| (832,820) |
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| 235,079 |
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RETAINED EARNINGS: |
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Balance, January 1 |
| 11,699,836 |
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| 10,567,452 |
Net income (loss) |
| 297,751 |
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| 341,862 |
Dividends declared ($1.55 per share 2022 and $1.55 per share 2021) |
| (61,097) |
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| (62,228) |
Balance, March 31 |
| 11,936,489 |
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| 10,847,085 |
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TREASURY SHARES AT COST: |
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Balance, January 1 |
| (3,847,308) |
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| (3,622,172) |
Purchase of treasury shares |
| (1,322) |
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| (23,545) |
Balance, March 31 |
| (3,848,630) |
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| (3,645,717) |
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TOTAL SHAREHOLDERS' EQUITY, March 31 | $ | 9,527,629 |
| $ | 9,682,882 |
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The accompanying notes are an integral part of the consolidated financial statements. | |||||
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3
Nine Months Ended
CONSOLIDATED STATEMENTSOF CASH FLOWS
| Three Months Ended | ||||
| March 31, | ||||
(Dollars in thousands) | 2022 |
| 2021 | ||
| (unaudited) | ||||
CASH FLOWS FROM OPERATING ACTIVITIES: |
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Net income (loss) | $ | 297,751 |
| $ | 341,862 |
Adjustments to reconcile net income to net cash provided by operating activities: |
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Decrease (increase) in premiums receivable |
| (14,203) |
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| (105,460) |
Decrease (increase) in funds held by reinsureds, net |
| (67,033) |
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| (25,584) |
Decrease (increase) in reinsurance recoverables |
| (125,881) |
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| (14,518) |
Decrease (increase) in income taxes |
| 1,251 |
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| 24,908 |
Decrease (increase) in prepaid reinsurance premiums |
| (7,167) |
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| (27,071) |
Increase (decrease) in reserve for losses and loss adjustment expenses |
| 632,398 |
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| 655,070 |
Increase (decrease) in future policy benefit reserve |
| (1,146) |
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| (162) |
Increase (decrease) in unearned premiums |
| 4,045 |
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| 196,631 |
Increase (decrease) in other net payable to reinsurers |
| 46,310 |
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| 105,390 |
Increase (decrease) in losses in course of payment |
| (125,074) |
|
| 11,980 |
Change in equity adjustments in limited partnerships |
| (97,831) |
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| (116,767) |
Distribution of limited partnership income |
| 71,174 |
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| 18,125 |
Change in other assets and liabilities, net |
| 47,052 |
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| (149,480) |
Non-cash compensation expense |
| 11,912 |
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| 11,021 |
Amortization of bond premium (accrual of bond discount) |
| 19,254 |
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| 17,323 |
Net (gains) losses on investments |
| 153,627 |
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| (38,902) |
Net cash provided by (used in) operating activities |
| 846,439 |
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| 904,366 |
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CASH FLOWS FROM INVESTING ACTIVITIES: |
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Proceeds from fixed maturities matured/called - available for sale |
| 849,019 |
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| 818,352 |
Proceeds from fixed maturities sold - available for sale |
| 418,988 |
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| 228,278 |
Proceeds from equity securities sold, at fair value |
| 90,101 |
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| 281,313 |
Distributions from other invested assets |
| 162,719 |
|
| 52,211 |
Cost of fixed maturities acquired - available for sale |
| (2,010,859) |
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| (1,776,730) |
Cost of equity securities acquired, at fair value |
| (195,026) |
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| (174,981) |
Cost of other invested assets acquired |
| (137,430) |
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| (98,939) |
Net change in short-term investments |
| 354,761 |
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| 308,585 |
Net change in unsettled securities transactions |
| 46,399 |
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| (93,610) |
Net cash provided by (used in) investing activities |
| (421,328) |
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| (455,521) |
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CASH FLOWS FROM FINANCING ACTIVITIES: |
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Common shares issued during the period for share-based compensation, net of expense |
| (14,450) |
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| (10,583) |
Purchase of treasury shares |
| (1,322) |
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| (23,545) |
Dividends paid to shareholders |
| (61,097) |
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| (62,229) |
Cost of shares withheld on settlements of share-based compensation awards |
| (16,692) |
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| (12,507) |
Net cash provided by (used in) financing activities |
| (93,561) |
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| (108,864) |
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EFFECT OF EXCHANGE RATE CHANGES ON CASH |
| 5,807 |
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| (8,972) |
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Net increase (decrease) in cash |
| 337,357 |
|
| 331,009 |
Cash, beginning of period |
| 1,440,861 |
|
| 801,651 |
Cash, end of period | $ | 1,778,218 |
| $ | 1,132,660 |
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SUPPLEMENTAL CASH FLOW INFORMATION: |
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Income taxes paid (recovered) | $ | 2,681 |
| $ | 6,417 |
Interest paid |
| 2,210 |
|
| 1,880 |
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The accompanying notes are an integral part of the consolidated financial statements. |
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4
Any issued guidance and pronouncements, other than those directly referenced above, are deemed by the
5
At March 31, 2022 Amortized Allowance for Unrealized Unrealized Market (Dollars in thousands) Cost Credit Losses Appreciation Depreciation Value Fixed maturity securities U.S. Treasury securities and obligations of U.S. government agencies and corporations $ 1,387,723 $ - $ 9,506 $ (41,423) $ 1,355,806 Obligations of U.S. states and political subdivisions 560,375 (151) 9,538 (10,574) 559,188 Corporate securities 7,510,255 (20,049) 64,802 (263,958) 7,291,050 Asset-backed securities 4,046,636 (7,679) 13,228 (54,294) 3,997,891 Mortgage-backed securities Commercial 1,021,013 - 2,762 (31,904) 991,871 Agency residential 2,387,754 - 5,354 (109,611) 2,283,497 Non-agency residential 5,759 - - (114) 5,645 Foreign government securities 1,414,589 - 16,763 (68,970) 1,362,382 Foreign corporate securities 4,358,925 (13,712) 31,776 (225,904) 4,151,085 Total fixed maturity securities $ 22,693,029 $ (41,591) $ 153,729 $ (806,752) $ 21,998,415 At December 31, 2021 Amortized Allowance for Unrealized Unrealized Market (Dollars in thousands) Cost Credit Losses Appreciation Depreciation Value Fixed maturity securities U.S. Treasury securities and obligations of U.S. government agencies and corporations $ 1,407,256 $ - $ 23,720 $ (10,358) $ 1,420,618 Obligations of U.S. states and political subdivisions 558,842 (151) 29,080 (1,150) 586,621 Corporate securities 7,443,535 (19,267) 195,210 (62,580) 7,556,898 Asset-backed securities 3,579,439 (7,679) 21,817 (11,848) 3,581,729 Mortgage-backed securities Commercial 1,032,506 - 37,550 (5,690) 1,064,366 Agency residential 2,361,208 - 32,997 (18,873) 2,375,332 Non-agency residential 6,530 - 22 (16) 6,536 Foreign government securities 1,423,634 - 41,957 (28,079) 1,437,512 Foreign corporate securities 4,250,642 (2,641) 95,195 (64,536) 4,278,660 Total fixed maturity securities $ 22,063,592 $ (29,738) $ 477,548 $ (203,130) $ 22,308,272market fairvalue of fixed maturity securities availablefor sale as of the dates indicated:The amortized costmarket obligations of
| At March 31, 2022 |
| At December 31, 2021 | ||||||||
| Amortized |
| Market |
| Amortized |
| Market | ||||
(Dollars in thousands) | Cost |
| Value |
| Cost |
| Value | ||||
Fixed maturity securities – available for sale: |
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Due in one year or less | $ | 1,391,977 |
| $ | 1,391,679 |
| $ | 1,398,742 |
| $ | 1,398,006 |
Due after one year through five years |
| 7,302,421 |
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| 7,112,007 |
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| 7,075,077 |
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| 7,154,468 |
Due after five years through ten years |
| 4,896,715 |
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| 4,673,737 |
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| 5,003,792 |
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| 5,100,672 |
Due after ten years |
| 1,640,754 |
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| 1,542,088 |
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| 1,606,298 |
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| 1,627,163 |
Asset-backed securities |
| 4,046,636 |
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| 3,997,891 |
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| 3,579,439 |
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| 3,581,729 |
Mortgage-backed securities: |
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Commercial |
| 1,021,013 |
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| 991,871 |
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| 1,032,506 |
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| 1,064,366 |
Agency residential |
| 2,387,754 |
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| 2,283,497 |
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| 2,361,208 |
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| 2,375,332 |
Non-agency residential |
| 5,759 |
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| 5,645 |
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| 6,530 |
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| 6,536 |
Total fixed maturity securities | $ | 22,693,029 |
| $ | 21,998,415 |
| $ | 22,063,592 |
| $ | 22,308,272 |
6
| Three Months Ended | ||||
| March 31, | ||||
(Dollars in thousands) | 2022 |
| 2021 | ||
Increase (decrease) during the period between the market value and cost |
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of investments carried at market value, and deferred taxes thereon: |
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Fixed maturity securities and short-term investments | $ | (927,407) |
| $ | (322,708) |
Change in unrealized appreciation (depreciation), pre-tax |
| (927,407) |
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| (322,708) |
Deferred tax benefit (expense) |
| 116,408 |
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| 40,427 |
Change in unrealized appreciation (depreciation), |
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net of deferred taxes, included in shareholders’ equity | $ | (810,999) |
| $ | (292,281) |
The tables below display
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| Duration of Unrealized Loss at March 31, 2022 By Security Type | |||||||||||||||
| Less than 12 months |
| Greater than 12 months |
| Total | ||||||||||||
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| Gross |
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| Gross |
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| Gross | |||
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| Unrealized |
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| Unrealized |
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| Unrealized | |||
(Dollars in thousands) | Market Value |
| Depreciation |
| Market Value |
| Depreciation |
| Market Value |
| Depreciation | ||||||
Fixed maturity securities - available for sale |
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U.S. Treasury securities and obligations of |
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U.S. government agencies and corporations | $ | 735,568 |
| $ | (31,508) |
| $ | 140,967 |
| $ | (9,915) |
| $ | 876,535 |
| $ | (41,423) |
Obligations of U.S. states and political subdivisions |
| 135,080 |
|
| (8,844) |
|
| 12,751 |
|
| (1,683) |
|
| 147,831 |
|
| (10,527) |
Corporate securities |
| 3,552,799 |
|
| (191,372) |
|
| 804,526 |
|
| (71,842) |
|
| 4,357,325 |
|
| (263,214) |
Asset-backed securities |
| 3,072,751 |
|
| (51,294) |
|
| 41,984 |
|
| (3,000) |
|
| 3,114,735 |
|
| (54,294) |
Mortgage-backed securities |
|
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|
|
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|
|
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|
|
|
|
|
|
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Commercial |
| 696,096 |
|
| (29,358) |
|
| 19,307 |
|
| (2,546) |
|
| 715,403 |
|
| (31,904) |
Agency residential |
| 1,405,047 |
|
| (67,884) |
|
| 511,034 |
|
| (41,727) |
|
| 1,916,081 |
|
| (109,611) |
Non-agency residential |
| 4,831 |
|
| (102) |
|
| 815 |
|
| (12) |
|
| 5,646 |
|
| (114) |
Foreign government securities |
| 868,416 |
|
| (37,826) |
|
| 173,278 |
|
| (31,144) |
|
| 1,041,694 |
|
| (68,970) |
Foreign corporate securities |
| 2,674,129 |
|
| (177,921) |
|
| 444,844 |
|
| (47,682) |
|
| 3,118,973 |
|
| (225,603) |
Total | $ | 13,144,717 |
| $ | (596,109) |
| $ | 2,149,506 |
| $ | (209,551) |
| $ | 15,294,223 |
| $ | (805,660) |
Securities where an allowance for credit loss was recorded |
| 18,830 |
|
| (1,092) |
|
| - |
|
| - |
|
| 18,830 |
|
| (1,092) |
Total fixed maturity securities | $ | 13,163,547 |
| $ | (597,201) |
| $ | 2,149,506 |
| $ | (209,551) |
| $ | 15,313,053 |
| $ | (806,752) |
|
| Duration of Unrealized Loss at March 31, 2022 By Maturity | |||||||||||||||
| Less than 12 months |
| Greater than 12 months |
| Total | ||||||||||||
|
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| Gross |
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| Gross |
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| Gross | |||
|
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| Unrealized |
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| Unrealized |
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| Unrealized | |||
(Dollars in thousands) | Market Value |
| Depreciation |
| Market Value |
| Depreciation |
| Market Value |
| Depreciation | ||||||
Fixed maturity securities |
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Due in one year or less | $ | 170,052 |
| $ | (2,305) |
| $ | 105,909 |
| $ | (9,957) |
| $ | 275,961 |
| $ | (12,262) |
Due in one year through five years |
| 3,852,436 |
|
| (164,170) |
|
| 755,276 |
|
| (55,787) |
|
| 4,607,712 |
|
| (219,957) |
Due in five years through ten years |
| 2,843,780 |
|
| (178,654) |
|
| 628,985 |
|
| (82,375) |
|
| 3,472,765 |
|
| (261,029) |
Due after ten years |
| 1,099,724 |
|
| (102,342) |
|
| 86,196 |
|
| (14,147) |
|
| 1,185,920 |
|
| (116,489) |
Asset-backed securities |
| 3,072,751 |
|
| (51,294) |
|
| 41,984 |
|
| (3,000) |
|
| 3,114,735 |
|
| (54,294) |
Mortgage-backed securities |
| 2,105,974 |
|
| (97,344) |
|
| 531,156 |
|
| (44,285) |
|
| 2,637,130 |
|
| (141,629) |
Total | $ | 13,144,717 |
| $ | (596,109) |
| $ | 2,149,506 |
| $ | (209,551) |
| $ | 15,294,223 |
| $ | (805,660) |
Securities where an allowance for credit loss was recorded |
| 18,830 |
|
| (1,092) |
|
| - |
|
| - |
|
| 18,830 |
|
| (1,092) |
Total fixed maturity securities | $ | 13,163,547 |
| $ | (597,201) |
| $ | 2,149,506 |
| $ | (209,551) |
| $ | 15,313,053 |
| $ | (806,752) |
7
|
| Duration of Unrealized Loss at December 31, 2021 By Security Type | |||||||||||||||
| Less than 12 months |
| Greater than 12 months |
| Total | ||||||||||||
|
|
|
| Gross |
|
|
|
| Gross |
|
|
|
| Gross | |||
|
|
|
| Unrealized |
|
|
|
| Unrealized |
|
|
|
| Unrealized | |||
(Dollars in thousands) | Market Value |
| Depreciation |
| Market Value |
| Depreciation |
| Market Value |
| Depreciation | ||||||
Fixed maturity securities - available for sale |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury securities and obligations of |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. government agencies and corporations | $ | 504,168 |
| $ | (6,264) |
| $ | 91,735 |
| $ | (4,094) |
| $ | 595,903 |
| $ | (10,358) |
Obligations of U.S. states and political subdivisions |
| 51,094 |
|
| (1,038) |
|
| 2,558 |
|
| (112) |
|
| 53,652 |
|
| (1,150) |
Corporate securities |
| 2,132,576 |
|
| (38,316) |
|
| 472,831 |
|
| (24,264) |
|
| 2,605,407 |
|
| (62,580) |
Asset-backed securities |
| 1,954,079 |
|
| (11,180) |
|
| 41,823 |
|
| (668) |
|
| 1,995,902 |
|
| (11,848) |
Mortgage-backed securities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commercial |
| 221,852 |
|
| (2,854) |
|
| 40,496 |
|
| (2,836) |
|
| 262,348 |
|
| (5,690) |
Agency residential |
| 1,101,215 |
|
| (12,178) |
|
| 279,697 |
|
| (6,695) |
|
| 1,380,912 |
|
| (18,873) |
Non-agency residential |
| 2,320 |
|
| (14) |
|
| 156 |
|
| (2) |
|
| 2,476 |
|
| (16) |
Foreign government securities |
| 392,447 |
|
| (9,709) |
|
| 100,673 |
|
| (18,370) |
|
| 493,120 |
|
| (28,079) |
Foreign corporate securities |
| 1,734,510 |
|
| (46,247) |
|
| 210,722 |
|
| (18,289) |
|
| 1,945,232 |
|
| (64,536) |
Total fixed maturity securities | $ | 8,094,261 |
| $ | (127,800) |
| $ | 1,240,691 |
| $ | (75,330) |
| $ | 9,334,952 |
| $ | (203,130) |
8
|
| Duration of Unrealized Loss at December 31, 2021 By Maturity | |||||||||||||||
| Less than 12 months |
| Greater than 12 months |
| Total | ||||||||||||
|
|
|
| Gross |
|
|
|
| Gross |
|
|
|
| Gross | |||
|
|
|
| Unrealized |
|
|
|
| Unrealized |
|
|
|
| Unrealized | |||
(Dollars in thousands) | Market Value |
| Depreciation |
| Market Value |
| Depreciation |
| Market Value |
| Depreciation | ||||||
Fixed maturity securities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Due in one year or less | $ | 129,860 |
| $ | (2,415) |
| $ | 136,827 |
| $ | (11,832) |
| $ | 266,687 |
| $ | (14,247) |
Due in one year through five years |
| 2,165,467 |
|
| (35,264) |
|
| 446,247 |
|
| (28,685) |
|
| 2,611,714 |
|
| (63,949) |
Due in five years through ten years |
| 1,727,823 |
|
| (47,413) |
|
| 244,454 |
|
| (22,038) |
|
| 1,972,277 |
|
| (69,451) |
Due after ten years |
| 791,645 |
|
| (16,482) |
|
| 50,991 |
|
| (2,574) |
|
| 842,636 |
|
| (19,056) |
Asset-backed securities |
| 1,954,079 |
|
| (11,180) |
|
| 41,823 |
|
| (668) |
|
| 1,995,902 |
|
| (11,848) |
Mortgage-backed securities |
| 1,325,387 |
|
| (15,046) |
|
| 320,349 |
|
| (9,533) |
|
| 1,645,736 |
|
| (24,579) |
Total fixed maturity securities | $ | 8,094,261 |
| $ | (127,800) |
| $ | 1,240,691 |
| $ | (75,330) |
| $ | 9,334,952 |
| $ | (203,130) |
The aggregate market value and gross unrealized losses related to investments in an unrealized loss positionwere $9.3 billionBy Security Type $203.1 million, respectively. The market valueobligations of for the single issuer (the United States government) whose comprised the largest unrealized loss position
| Three Months Ended | ||||
| March 31, | ||||
(Dollars in thousands) | 2022 |
| 2021 | ||
Fixed maturities | $ | 148,226 |
| $ | 140,916 |
Equity securities |
| 4,146 |
|
| 4,838 |
Short-term investments and cash |
| 159 |
|
| 180 |
Other invested assets: |
|
|
|
|
|
Limited partnerships |
| 88,437 |
|
| 114,333 |
Other |
| 11,831 |
|
| 6,019 |
Gross investment income before adjustments |
| 252,799 |
|
| 266,286 |
Funds held interest income (expense) |
| 3,685 |
|
| 7,966 |
Future policy benefit reserve income (expense) |
| (222) |
|
| (291) |
Gross investment income |
| 256,262 |
|
| 273,961 |
Investment expenses |
| (13,432) |
|
| (13,548) |
Net investment income | $ | 242,830 |
| $ | 260,413 |
The Company records results from limited partnership
9
generallyreportedonaonemonthorquarterlag.IftheCompanydeterminestherehasbeenasignificant
10
The components of net gains (losses) on investmentsare presented in the tables below forthe periods indicated:
| Three Months Ended | ||||
| March 31, | ||||
(Dollars in thousands) | 2022 |
|
| 2021 | |
Fixed maturity securities, market value: |
|
|
|
|
|
Allowance for credit losses | $ | (11,853) |
| $ | (6,977) |
Net realized gains (losses) from dispositions |
| 2,799 |
|
| 9,174 |
Equity securities, fair value: |
|
|
|
|
|
Net realized gains (losses) from dispositions |
| (11,787) |
|
| 6,238 |
Gains (losses) from fair value adjustments |
| (136,860) |
|
| 29,056 |
Other invested assets |
| 4,152 |
|
| 1,346 |
Short-term investments gain (loss) |
| (78) |
|
| 66 |
Total net gains (losses) on investments | $ | (153,627) |
| $ | 38,902 |
|
|
|
|
|
|
(Some amounts may not reconcile due to rounding.) |
|
|
|
|
|
|
| Roll Forward of Allowance for Credit Losses | |||||||||||||
|
| Three Months Ended March 31, 2022 | |||||||||||||
|
|
|
|
|
| Obligations of |
|
|
|
| |||||
|
|
|
|
|
| U.S. States |
| Foreign |
|
| |||||
|
| Corporate |
| Asset-Backed |
| and Political |
| Corporate |
|
| |||||
|
| Securities |
| Securities |
| Subdivisions |
| Securities |
| Total | |||||
(Dollars in thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Beginning Balance |
| $ | (19,267) |
| $ | (7,679) |
| $ | (151) |
| $ | (2,641) |
| $ | (29,738) |
Credit losses on securities where credit |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
losses were not previously recorded |
|
| (1,929) |
|
| - |
|
| - |
|
| (11,184) |
|
| (13,113) |
Increases in allowance on previously |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
impaired securities |
|
| - |
|
| - |
|
| - |
|
| - |
|
| - |
Decreases in allowance on previously |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
impaired securities |
|
| - |
|
| - |
|
| - |
|
| - |
|
| - |
Reduction in allowance due to disposals |
|
| 1,147 |
|
| - |
|
| - |
|
| 113 |
|
| 1,260 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Balance as of March 31, 2022 |
| $ | (20,049) |
| $ | (7,679) |
| $ | (151) |
| $ | (13,712) |
| $ | (41,591) |
| Roll Forward of Allowance for Credit Losses | |||||||||||||
| Three Months Ended March 31, 2021 | |||||||||||||
|
|
|
|
|
|
| Foreign |
| Foreign |
|
|
| ||
| Corporate |
| Asset-Backed |
| Government |
| Corporate |
|
|
| ||||
| Securities |
| Securities |
| Securities |
| Securities |
| Total | |||||
(Dollars in thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Beginning Balance | $ | (1,220) |
| $ | - |
| $ | (22) |
| $ | (503) |
| $ | (1,745) |
Credit losses on securities where credit |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
losses were not previously recorded |
| (2,383) |
|
| (4,915) |
|
| - |
|
| - |
|
| (7,298) |
Increases in allowance on previously |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
impaired securities |
| - |
|
| - |
|
| - |
|
| - |
|
| - |
Decreases in allowance on previously |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
impaired securities |
| - |
|
| - |
|
| - |
|
| - |
|
| - |
Reduction in allowance due to disposals |
| - |
|
| - |
|
| 22 |
|
| 298 |
|
| 320 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Balance as of March 31, 2021 | $ | (3,603) |
| $ | (4,915) |
| $ | - |
| $ | (205) |
| $ | (8,723) |
11
| Three Months Ended | ||||
| March 31, | ||||
(Dollars in thousands) | 2022 |
| 2021 | ||
Proceeds from sales of fixed maturity securities | $ | 418,988 |
| $ | 228,278 |
Gross gains from dispositions |
| 20,122 |
|
| 14,864 |
Gross losses from dispositions |
| (17,324) |
|
| (5,690) |
|
|
|
|
|
|
Proceeds from sales of equity securities | $ | 90,101 |
| $ | 281,313 |
Gross gains from dispositions |
| 3,508 |
|
| 12,304 |
Gross losses from dispositions |
| (15,294) |
|
| (6,066) |
| Three Months Ended | ||||
| March 31, | ||||
(Dollars in thousands) | 2022 |
| 2021 | ||
Gross reserves beginning of period | $ | 19,009,486 |
| $ | 16,322,143 |
Less reinsurance recoverables on unpaid losses |
| (1,946,365) |
|
| (1,843,691) |
Net reserves beginning of period |
| 17,063,121 |
|
| 14,478,452 |
|
|
|
|
|
|
Incurred related to: |
|
|
|
|
|
Current year |
| 1,790,798 |
|
| 1,713,253 |
Prior years |
| (935) |
|
| (1,834) |
Total incurred losses and LAE |
| 1,789,863 |
|
| 1,711,419 |
|
|
|
|
|
|
Paid related to: |
|
|
|
|
|
Current year |
| 307,661 |
|
| 215,302 |
Prior years |
| 918,834 |
|
| 837,035 |
Total paid losses and LAE |
| 1,226,495 |
|
| 1,052,337 |
|
|
|
|
|
|
Foreign exchange/translation adjustment |
| (121,934) |
|
| (5,841) |
|
|
|
|
|
|
Net reserves end of period |
| 17,504,555 |
|
| 15,131,694 |
Plus reinsurance recoverables on unpaid losses |
| 1,991,082 |
|
| 1,882,112 |
Gross reserves end of period | $ | 19,495,637 |
| $ | 17,013,806 |
|
|
|
|
|
|
(Some amounts may not reconcile due to rounding.) |
lossescompared to 2021.
the Ukraineis ongoingand an evolvingevent. Economicand legalsanctions havebeen levied against
12
lowest level input that is significant to the measurement, with Level 1 being the highest priority and Level 3 being the lowest priority.
The Company internally manages a public equity portfolio which had a fair value at March 31, 2022 and
13
interest rate yieldcurves and prices for similar fixedmaturity securities in terms of issuer,maturity and seniority.
In addition to
The composition and valuation inputs for the presented fixed maturities categories Level 1 and Level 2 are as follows:
•U.S. Treasury securities and obligations of U.S. government agencies and corporations are primarily comprised of U.S. Treasury bonds and the fairvalueis basedon observablemarketinputssuch asquoted
•Foreign corporate securities are comprised of global non-U.S. corporate bond issuances and source.
14
The following tables present the fair value measurementlevels forall assetsand liabilities,which theCompany
|
|
|
|
| Fair Value Measurement Using: | |||||||
|
|
|
|
| Quoted Prices |
|
|
|
|
|
| |
|
|
|
|
| in Active |
| Significant |
|
|
| ||
|
|
|
|
| Markets for |
| Other |
| Significant | |||
|
|
|
|
| Identical |
| Observable |
| Unobservable | |||
|
|
|
|
| Assets |
| Inputs |
| Inputs | |||
(Dollars in thousands) |
| March 31, 2022 |
| (Level 1) |
| (Level 2) |
| (Level 3) | ||||
Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
Fixed maturities, market value |
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury securities and obligations of |
|
|
|
|
|
|
|
|
|
|
|
|
U.S. government agencies and corporations |
| $ | 1,355,806 |
| $ | - |
| $ | 1,355,806 |
| $ | - |
Obligations of U.S. States and political subdivisions |
|
| 559,188 |
|
| - |
|
| 559,188 |
|
| - |
Corporate securities |
|
| 7,291,050 |
|
| - |
|
| 6,576,394 |
|
| 714,656 |
Asset-backed securities |
|
| 3,997,891 |
|
| - |
|
| 2,609,200 |
|
| 1,388,691 |
Mortgage-backed securities |
|
|
|
|
|
|
|
|
|
|
|
|
Commercial |
|
| 991,871 |
|
| - |
|
| 985,981 |
|
| 5,890 |
Agency residential |
|
| 2,283,497 |
|
| - |
|
| 2,283,497 |
|
| - |
Non-agency residential |
|
| 5,645 |
|
| - |
|
| 5,645 |
|
| - |
Foreign government securities |
|
| 1,362,382 |
|
| - |
|
| 1,362,382 |
|
| - |
Foreign corporate securities |
|
| 4,151,085 |
|
| - |
|
| 4,135,159 |
|
| 15,926 |
Total fixed maturities, market value |
|
| 21,998,415 |
|
| - |
|
| 19,873,252 |
|
| 2,125,163 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Equity securities, fair value |
|
| 1,780,526 |
|
| 1,698,324 |
|
| 82,202 |
|
| - |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Fair Value Measurement Using: | ||||||
|
|
|
|
| Quoted Prices |
|
|
|
|
|
| |
|
|
|
|
| in Active |
| Significant |
|
|
| ||
|
|
|
|
| Markets for |
| Other |
| Significant | |||
|
|
|
|
| Identical |
| Observable |
| Unobservable | |||
|
|
|
|
| Assets |
| Inputs |
| Inputs | |||
(Dollars in thousands) |
| December 31, 2021 |
| (Level 1) |
| (Level 2) |
| (Level 3) | ||||
Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
Fixed maturities, market value |
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury securities and obligations of |
|
|
|
|
|
|
|
|
|
|
|
|
U.S. government agencies and corporations |
| $ | 1,420,618 |
| $ | - |
| $ | 1,420,618 |
| $ | - |
Obligations of U.S. States and political subdivisions |
|
| 586,621 |
|
| - |
|
| 586,621 |
|
| - |
Corporate securities |
|
| 7,556,898 |
|
| - |
|
| 6,756,324 |
|
| 800,574 |
Asset-backed securities |
|
| 3,581,729 |
|
| - |
|
| 2,330,448 |
|
| 1,251,281 |
Mortgage-backed securities |
|
|
|
|
|
|
|
|
|
|
|
|
Commercial |
|
| 1,064,366 |
|
| - |
|
| 1,064,366 |
|
| - |
Agency residential |
|
| 2,375,332 |
|
| - |
|
| 2,375,332 |
|
| - |
Non-agency residential |
|
| 6,536 |
|
| - |
|
| 6,536 |
|
| - |
Foreign government securities |
|
| 1,437,512 |
|
| - |
|
| 1,437,512 |
|
| - |
Foreign corporate securities |
|
| 4,278,660 |
|
| - |
|
| 4,262,645 |
|
| 16,015 |
Total fixed maturities, market value |
|
| 22,308,272 |
|
| - |
|
| 20,240,402 |
|
| 2,067,870 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Equity securities, fair value |
|
| 1,825,908 |
|
| 1,742,367 |
|
| 83,541 |
|
| - |
|
|
|
|
|
|
|
|
|
|
|
|
|
In addition, $299.6 million$286.6 millionobligations of investments within other invested assets on the consolidated balance sheets asMarch 31, 2022U.S. States and political subdivisions
15
|
|
| Total Fixed Maturities, Market Value | ||||||||||||||||||||||||
|
| Three Months Ended March 31, 2022 |
| Three Months Ended March 31, 2021 | |||||||||||||||||||||||
|
| Corporate |
| Asset-Backed |
|
|
|
| Foreign |
|
|
|
| Corporate |
| Asset-Backed |
| Foreign |
|
|
| ||||||
(Dollars in thousands) |
| Securities |
| Securities |
| CMBS |
| Corporate |
| Total |
| Securities |
| Securities |
| Corporate |
| Total | |||||||||
Beginning balance fixed maturities at market value |
| $ | 800,574 |
| $ | 1,251,281 |
| $ | - |
| $ | 16,015 |
| $ | 2,067,870 |
| $ | 701,492 |
| $ | 623,033 |
| $ | 5,699 |
| $ | 1,330,224 |
Total gains or (losses) (realized/unrealized) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Included in earnings |
|
| 15,943 |
|
| 102 |
|
| - |
|
| 13 |
|
| 16,058 |
|
| (1,789) |
|
| (4,168) |
|
| 3 |
|
| (5,954) |
Included in other comprehensive income (loss) |
|
| (4,167) |
|
| (28,788) |
|
| (23) |
|
| (61) |
|
| (33,039) |
|
| 2,836 |
|
| (3,135) |
|
| 49 |
|
| (250) |
Purchases, issuances and settlements |
|
| (97,694) |
|
| 166,096 |
|
| 5,913 |
|
| (41) |
|
| 74,274 |
|
| 2,003 |
|
| 169,630 |
|
| (153) |
|
| 171,480 |
Transfers in and/or (out) of Level 3 |
|
| - |
|
| - |
|
| - |
|
| - |
|
| - |
|
| - |
|
| - |
|
| - |
|
| - |
Ending balance |
| $ | 714,656 |
| $ | 1,388,691 |
| $ | 5,890 |
| $ | 15,926 |
| $ | 2,125,163 |
| $ | 704,542 |
| $ | 785,360 |
| $ | 5,599 |
| $ | 1,495,500 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The amount of total gains or losses for the period |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
included in earnings (or changes in net assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
attributable to the change in unrealized gains |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
or losses relating to assets still held |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
at the reporting date |
| $ | 318 |
| $ | - |
| $ | - |
| $ | - |
| $ | 318 |
| $ | - |
| $ | - |
| $ | - |
| $ | - |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(Some amounts may not reconcile due to rounding.) |
|
|
|
|
|
|
|
|
|
16
Net income(loss) percommon sharehas beencomputed asper below,based uponweighted averagecommon
|
| Three Months Ended | ||||||
|
| March 31, | ||||||
(Dollars in thousands, except per share amounts) | 2022 |
| 2021 | |||||
Net income (loss) per share: |
|
|
|
|
|
|
| |
| Numerator |
|
|
|
|
|
|
|
| Net income (loss) | $ | 297,751 |
|
| $ | 341,862 |
|
| Less: dividends declared-common shares and unvested common shares |
| (61,097) |
|
|
| (62,229) |
|
| Undistributed earnings |
| 236,653 |
|
|
| 279,633 |
|
| Percentage allocated to common shareholders (1) |
| 98.7 | % |
|
| 98.7 | % |
|
|
| 233,504 |
|
|
| 276,031 |
|
| Add: dividends declared-common shareholders |
| 60,282 |
|
|
| 61,415 |
|
| Numerator for basic and diluted earnings per common share | $ | 293,785 |
|
| $ | 337,446 |
|
|
|
|
|
|
|
|
|
|
| Denominator |
|
|
|
|
|
|
|
| Denominator for basic earnings per weighted-average common shares |
| 38,823 |
|
|
| 39,543 |
|
| Effect of dilutive securities: |
|
|
|
|
|
|
|
| Options |
| 14 |
|
|
| 54 |
|
| Denominator for diluted earnings per adjusted weighted-average common shares |
| 38,837 |
|
|
| 39,597 |
|
|
|
|
|
|
|
|
|
|
| Per common share net income (loss) |
|
|
|
|
|
|
|
| Basic | $ | 7.57 |
|
| $ | 8.53 |
|
| Diluted | $ | 7.56 |
|
| $ | 8.52 |
|
|
|
|
|
|
|
|
|
|
(1) | Basic weighted-average common shares outstanding |
| 38,823 |
|
|
| 39,543 |
|
| Basic weighted-average common shares outstanding and unvested common shares expected to vest |
| 39,347 |
|
|
| 40,059 |
|
| Percentage allocated to common shareholders |
| 98.7 | % |
|
| 98.7 | % |
|
|
|
|
|
|
|
|
|
(Some amounts may not reconcile due to rounding.) |
|
|
|
|
|
|
|
There were 0 anti-diluted options
All outstanding optionsDuring thethreemonthsended September30, 2022and 2021,the Companydid notexclude
The war in the Ukraine is ongoing and an evolving event. Economic and legal sanctions have been levied against Russia, specific named individuals and entities connected to the Russian government, as well as businesses located in the Russian Federation and/or owned by Russian nationals by numerous countries, including the United States. The significant political and economic uncertainty surrounding the war and associated sanctions have impacted economic and investment markets both within Russia and around the world. To the best of our knowledge at this time, the Company has limited financial exposure related to the Russian invasion of the
17
Ukraine. However, given the ongoing nature of the war and the high degree of uncertainty around both exposures and coverage, a reasonable estimation of potential loss is not credible at this time.
8. OTHER COMPREHENSIVE INCOME (LOSS)
| Three Months Ended March 31, 2022 |
| Three Months Ended March 31, 2021 | ||||||||||||||
(Dollars in thousands) | Before Tax |
| Tax Effect |
| Net of Tax |
| Before Tax |
| Tax Effect |
| Net of Tax | ||||||
Unrealized appreciation (depreciation) ("URA(D)") on securities - non-credit related | $ | (932,309) |
| $ | 117,132 |
| $ | (815,177) |
| $ | (329,166) |
| $ | 40,551 |
| $ | (288,615) |
Reclassification of net realized losses (gains) included in net income (loss) |
| 4,902 |
|
| (724) |
|
| 4,178 |
|
| (3,542) |
|
| (124) |
|
| (3,666) |
Foreign currency translation adjustments |
| (34,603) |
|
| 501 |
|
| (34,102) |
|
| (8,988) |
|
| (594) |
|
| (9,582) |
Reclassification of benefit plan liability amortization included in net income (loss) |
| 960 |
|
| (202) |
|
| 758 |
|
| 2,586 |
|
| (543) |
|
| 2,043 |
Total other comprehensive income (loss) | $ | (961,050) |
| $ | 116,707 |
| $ | (844,343) |
| $ | (339,110) |
| $ | 39,290 |
| $ | (299,820) |
|
| Three Months Ended |
|
| ||||
|
| March 31, |
| Affected line item within the statements of | ||||
AOCI component |
| 2022 |
| 2021 |
| operations and comprehensive income (loss) | ||
(Dollars in thousands) |
|
|
|
|
|
|
|
|
URA(D) on securities |
| $ | 4,902 |
| $ | (3,542) |
| Other net realized capital gains (losses) |
|
|
| (724) |
|
| (124) |
| Income tax expense (benefit) |
|
| $ | 4,178 |
| $ | (3,666) |
| Net income (loss) |
|
|
|
|
|
|
|
|
|
Benefit plan net gain (loss) |
| $ | 960 |
| $ | 2,586 |
| Other underwriting expenses |
|
|
| (202) |
|
| (543) |
| Income tax expense (benefit) |
|
| $ | 758 |
| $ | 2,043 |
| Net income (loss) |
The following table presents
| Three Months Ended | ||||
| March 31, | ||||
(Dollars in thousands) | 2022 |
| 2021 | ||
Beginning balance of URA (D) on securities | $ | 239,397 |
| $ | 724,159 |
Current period change in URA (D) of investments - non-credit related |
| (810,999) |
|
| (292,281) |
Ending balance of URA (D) on securities |
| (571,602) |
|
| 431,878 |
|
|
|
|
|
|
Beginning balance of foreign currency translation adjustments |
| (177,481) |
|
| (115,390) |
Current period change in foreign currency translation adjustments |
| (34,102) |
|
| (9,582) |
Ending balance of foreign currency translation adjustments |
| (211,583) |
|
| (124,972) |
|
|
|
|
|
|
Beginning balance of benefit plan net gain (loss) |
| (50,392) |
|
| (73,870) |
Current period change in benefit plan net gain (loss) |
| 758 |
|
| 2,043 |
Ending balance of benefit plan net gain (loss) |
| (49,634) |
|
| (71,827) |
|
|
|
|
|
|
Ending balance of accumulated other comprehensive income (loss) | $ | (832,820) |
| $ | 235,079 |
|
|
|
|
|
|
(Some amounts may not reconcile due to rounding.) |
|
|
|
|
|
18
Group Credit Facility
Effective May 26, 2016, Group, Everest Reinsurance (Bermuda), Ltd. (“Bermuda Re”) and Everest International Reinsurance, Ltd. (“Everest International”), both direct subsidiaries of Group, entered into a five year, $800.0 million senior credit facility with a syndicate of lenders, which amended and restated in its entirety the June 22, 2012, four year, $800.0 million senior credit facility. Both the May 26, 2016 and June 22, 2012 senior credit facilities, which have similar terms, are referred to as the “2016 Group Credit Facility”. Wells Fargo Corporation (“Wells Fargo Bank”) is the administrative agent for the 2016 Group Credit Facility.
Effective May 26, 2021, the term of the 2016 Group Credit Facility expired. The Company elected not to renew this facility to allow for the replacement by other collateralized letter of credit facilities such as those described below. As a result of the non-renewal in May 2021, letter of credit commitment/availability in the 2016 Group Credit Facility as of March 31, 2022 is limited only to the remaining $13.3 million of letters of credit currently in force and scheduled to expire in 2022. No additional letters of credit will be issued under the 2016 Group Credit Facility, and the facility will be dormant once the remaining letters of credit have expired. As of March 31, 2022, the Company was in compliance with all Group Credit Facility covenants.
The following table summarizes the outstanding letters of credit and/or borrowings for the periods indicated:
(Dollars in thousands) |
|
|
|
| At March 31, 2022 |
|
| At December 31, 2021 | ||||||||||
Bank |
|
|
| Commitment |
| In Use |
| Date of Expiry |
| Commitment |
| In Use |
| Date of Expiry | ||||
Wells Fargo Bank Group Credit Facility |
|
|
| $ | 13,319 |
| $ | 13,319 |
| 12/30/2022 |
| $ | 39,198 |
| $ | 39,198 |
| 12/30/2022 |
Total Wells Fargo Bank Group Credit Facility |
|
|
| $ | 13,319 |
| $ | 13,319 |
|
|
| $ | 39,198 |
| $ | 39,198 |
|
|
(Dollars in thousands) |
| At March 31, 2022 |
| At December 31, 2021 | ||||||||||||
Bank |
| Commitment |
| In Use |
| Date of Expiry |
| Commitment |
| In Use |
| Date of Expiry | ||||
Wells Fargo Bank Bilateral LOC Agreement |
| $ | 500,000 |
| $ | 422,521 |
| 12/30/2022 |
| $ | 500,000 |
| $ | 351,497 |
| 12/30/2022 |
Total Wells Fargo Bank Bilateral LOC Agreement |
| $ | 500,000 |
| $ | 422,521 |
|
|
| $ | 500,000 |
| $ | 351,497 |
|
|
19
of secured letters of credit. In addition, the facility provided for the uncommitted issuance of up the $140.0 million, which may be accessible via written request by the Company and corresponding authorization from Citibank N.A.
(Dollars in thousands) |
| At March 31, 2022 |
| At December 31, 2021 | ||||||||||||
Bank |
| Commitment |
| In Use |
| Date of Expiry |
| Commitment |
| In Use |
| Date of Expiry | ||||
Bermuda Re Citibank LOC Facility- Committed |
| $ | 230,000 |
| $ | 425 |
| 12/16/22 |
| $ | 230,000 |
| $ | 4,425 |
| 02/28/22 |
|
|
|
|
|
| 218,377 |
| 12/31/22 |
|
|
|
|
| 925 |
| 03/01/22 |
|
|
|
|
|
| 473 |
| 01/21/23 |
|
|
|
|
| 1,264 |
| 11/24/22 |
|
|
|
|
|
| 4,425 |
| 02/28/23 |
|
|
|
|
| 423 |
| 12/16/22 |
|
|
|
|
|
| 1,088 |
| 03/01/23 |
|
|
|
|
| 146 |
| 12/20/22 |
|
|
|
|
|
| 990 |
| 08/15/23 |
|
|
|
|
| 216,622 |
| 12/31/22 |
|
|
|
|
|
| 1,240 |
| 09/23/23 |
|
|
|
|
| 473 |
| 01/21/23 |
|
|
|
|
|
| 147 |
| 12/20/23 |
|
|
|
|
| 985 |
| 08/15/23 |
|
|
|
|
|
| – |
|
|
|
|
|
|
| 1,234 |
| 09/23/23 |
Bermuda Re Citibank LOC Facility - Uncommitted |
|
| 140,000 |
|
| 84,203 |
| 12/31/22 |
|
| 140,000 |
|
| 84,203 |
| 12/31/22 |
|
|
|
|
|
| 22,233 |
| 03/30/26 |
|
|
|
|
| 22,731 |
| 12/30/25 |
Total Citibank Bilateral Agreement |
| $ | 370,000 |
| $ | 333,600 |
|
|
| $ | 370,000 |
| $ | 333,429 |
|
|
(Dollars in thousands) |
| At March 31, 2022 |
| At December 31, 2021 | ||||||||||||
Bank |
| Commitment |
| In Use |
| Date of Expiry |
| Commitment |
| In Use |
| Date of Expiry | ||||
Bayerische Landesbank Bilateral LOC Agreement |
| $ | 200,000 |
| $ | 156,197 |
| 12/31/2022 |
| $ | 200,000 |
| $ | 154,691 |
| 12/31/2022 |
Total Bayerische Landesbank Bilateral LOC Agreement |
| $ | 200,000 |
| $ | 156,197 |
|
|
| $ | 200,000 |
| $ | 154,691 |
|
|
(Dollars in thousands) |
| At March 31, 2022 |
| At December 31, 2021 | ||||||||||||
Bank |
| Commitment |
| In Use |
| Date of Expiry |
| Commitment |
| In Use |
| Date of Expiry | ||||
Bermuda Re Lloyd's Bank Credit Facility-Committed |
| $ | 50,000 |
| $ | 46,008 |
| 12/31/2022 |
| $ | 50,000 |
| $ | 46,008 |
| 12/31/2022 |
Bermuda Re Lloyd's Bank Credit Facility-Uncommitted |
|
| 200,000 |
|
| 84,806 |
| 12/31/2022 |
|
| - |
|
| - |
|
|
Total Bermuda Re Lloyd's Bank Credit Facility |
| $ | 250,000 |
| $ | 130,814 |
|
|
| $ | 50,000 |
| $ | 46,008 |
|
|
20
(Dollars in thousands) |
| At March 31, 2022 |
| At December 31, 2021 | ||||||||||||
Bank |
| Commitment |
| In Use |
| Date of Expiry |
| Commitment |
| In Use |
| Date of Expiry | ||||
Bermuda Re Barclays Bilateral Letter of Credit Facility |
| $ | 200,000 |
| $ | 171,628 |
| 12/31/2022 |
| $ | 200,000 |
| $ | 186,299 |
| 12/31/2022 |
Total Bermuda Re Barclays Bilateral Letter of Credit Facility |
| $ | 200,000 |
| $ | 171,628 |
|
|
| $ | 200,000 |
| $ | 186,299 |
|
|
$
|
|
| Three Months Ended | |||
|
|
| March 31, | |||
Mt. Logan Re Segregated Accounts |
|
| 2022 |
|
| 2021 |
(Dollars in thousands) |
|
|
|
|
|
|
Ceded written premiums |
| $ | 50,239 |
| $ | 99,110 |
Ceded earned premiums |
|
| 50,443 |
|
| 78,107 |
Ceded losses and LAE |
|
| 40,620 |
|
| 80,843 |
|
|
|
|
|
|
|
Assumed written premiums |
|
| 793 |
|
| 2,476 |
Assumed earned premiums |
|
| 793 |
|
| 2,476 |
Assumed losses and LAE |
|
| - |
|
| - |
Effective April 1, 2018, the Company entered into a retroactive reinsurance transaction with one of the
21
(Dollars in thousands) Class Description Effective Date Expiration Date Limit Coverage Basis Series 2017-1 Class A-2 US, Canada, Puerto Rico – Named Storm and Earthquake Events 4/13/2017 4/13/2022 50,000 Aggregate Series 2017-1 Class B-2 US, Canada, Puerto Rico – Named Storm and Earthquake Events 4/13/2017 4/13/2022 75,000 Aggregate Series 2017-1 Class C-2 US, Canada, Puerto Rico – Named Storm and Earthquake Events 4/13/2017 4/13/2022 175,000 Aggregate Series 2018-1 Class A-1 US, Canada, Puerto Rico – Named Storm and Earthquake Events 4/30/2018 5/6/2022 62,500 Aggregate Series 2018-1 Class B-1 US, Canada, Puerto Rico – Named Storm and Earthquake Events 4/30/2018 5/6/2022 200,000 Aggregate Series 2018-1 Class A-2 US, Canada, Puerto Rico – Named Storm and Earthquake Events 4/30/2018 5/5/2023 62,500 Aggregate Series 2018-1 Class B-2 US, Canada, Puerto Rico – Named Storm and Earthquake Events 4/30/2018 5/5/2023 200,000 Aggregate Series 2019-1 Class A-1 US, Canada, Puerto Rico – Named Storm and Earthquake Events 12/12/2019 12/19/2023 150,000 Occurrence Series 2019-1 Class B-1 US, Canada, Puerto Rico – Named Storm and Earthquake Events 12/12/2019 12/19/2023 275,000 Aggregate Series 2019-1 Class A-2 US, Canada, Puerto Rico – Named Storm and Earthquake Events 12/12/2019 12/19/2024 150,000 Occurrence Series 2019-1 Class B-2 US, Canada, Puerto Rico – Named Storm and Earthquake Events 12/12/2019 12/19/2024 275,000 Aggregate Series 2021-1 Class A-1 US, Canada, Puerto Rico – Named Storm and Earthquake Events 4/8/2021 4/21/2025 150,000 Occurrence Series 2021-1 Class B-1 US, Canada, Puerto Rico – Named Storm and Earthquake Events 4/8/2021 4/21/2025 85,000 Aggregate Series 2021-1 Class C-1 US, Canada, Puerto Rico – Named Storm and Earthquake Events 4/8/2021 4/21/2025 85,000 Aggregate Series 2021-1 Class A-2 US, Canada, Puerto Rico – Named Storm and Earthquake Events 4/8/2021 4/20/2026 150,000 Occurrence Series 2021-1 Class B-2 US, Canada, Puerto Rico – Named Storm and Earthquake Events 4/8/2021 4/20/2026 90,000 Aggregate Series 2021-1 Class C-2 US, Canada, Puerto Rico – Named Storm and Earthquake Events 4/8/2021 4/20/2026 90,000 Aggregate Total available limit as of March 31, 2022 $ 2,325,000 Recoveries under these collateralized reinsurance agreements with Kilimanjaro are primarily dependent on estimated industry level insured losses from covered events,geographic location applicablecoveredperiodsof the events. The estimated industry level of insured losses is obtained from published estimates by an independent recognized authority on insured property losses. Currently, none of variousagreementshaveexceededthe published insured loss estimates for catastrophe events during the applicable covered periods of the various agreements have exceeded the single
22
(Dollars in thousands) |
|
|
|
|
|
|
|
Note Series |
| Issue Date |
| Maturity Date |
| Amount | |
Series 2017-1 Class A-2 |
| 4/13/2017 |
| 4/13/2022 |
| $ | 50,000 |
Series 2017-1 Class B-2 |
| 4/13/2017 |
| 4/13/2022 |
|
| 75,000 |
Series 2017-1 Class C-2 |
| 4/13/2017 |
| 4/13/2022 |
|
| 175,000 |
Series 2018-1 Class A-1 |
| 4/30/2018 |
| 5/6/2022 |
|
| 62,500 |
Series 2018-1 Class B-1 |
| 4/30/2018 |
| 5/6/2022 |
|
| 200,000 |
Series 2018-1 Class A-2 |
| 4/30/2018 |
| 5/5/2023 |
|
| 62,500 |
Series 2018-1 Class B-2 |
| 4/30/2018 |
| 5/5/2023 |
|
| 200,000 |
Series 2019-1 Class A-1 |
| 12/12/2019 |
| 12/19/2023 |
|
| 150,000 |
Series 2019-1 Class B-1 |
| 12/12/2019 |
| 12/19/2023 |
|
| 275,000 |
Series 2019-1 Class A-2 |
| 12/12/2019 |
| 12/19/2024 |
|
| 150,000 |
Series 2019-1 Class B-2 |
| 12/12/2019 |
| 12/19/2024 |
|
| 275,000 |
Series 2021-1 Class A-1 |
| 4/8/2021 |
| 4/21/2025 |
|
| 150,000 |
Series 2021-1 Class B-1 |
| 4/8/2021 |
| 4/21/2025 |
|
| 85,000 |
Series 2021-1 Class C-1 |
| 4/8/2021 |
| 4/21/2025 |
|
| 85,000 |
Series 2021-1 Class A-2 |
| 4/8/2021 |
| 4/20/2026 |
|
| 150,000 |
Series 2021-1 Class B-2 |
| 4/8/2021 |
| 4/20/2026 |
|
| 90,000 |
Series 2021-1 Class C-2 |
| 4/8/2021 |
| 4/20/2026 |
|
| 90,000 |
|
|
|
|
|
| $ | 2,325,000 |
|
|
|
|
|
|
|
| March 31, 2022 |
| December 31, 2021 | ||||||||
|
|
|
|
|
|
|
| Consolidated Balance |
|
|
|
| Consolidated Balance |
|
|
| ||
(Dollars in thousands) | Date Issued |
| Date Due |
| Principal Amounts |
| Sheet Amount |
| Market Value |
| Sheet Amount |
| Market Value | |||||
4.868% Senior notes | 6/5/2014 |
| 6/1/2044 |
| $ | 400,000 |
| $ | 397,343 |
| $ | 437,148 |
| $ | 397,314 |
| $ | 503,840 |
3.5% Senior notes | 10/7/2020 |
| 10/15/2050 |
|
| 1,000,000 |
|
| 980,178 |
|
| 895,420 |
|
| 980,046 |
|
| 1,054,520 |
3.125% Senior notes | 10/4/2021 |
| 10/15/2052 |
|
| 1,000,000 |
|
| 968,626 |
|
| 832,780 |
|
| 968,440 |
|
| 983,140 |
|
|
|
|
| $ | 2,400,000 |
| $ | 2,346,147 |
| $ | 2,165,348 |
| $ | 2,345,800 |
| $ | 2,541,500 |
| Three Months Ended | ||||
| March 31, | ||||
(Dollars In thousands | 2022 |
| 2021 | ||
Interest expense incurred 4.868% Senior notes | $ | 4,868 |
| $ | 4,868 |
Interest expense incurred 3.5% Senior notes |
| 8,807 |
|
| 8,805 |
Interest expense incurred 3.125% Senior notes |
| 7,913 |
|
| - |
| $ | 21,588 |
| $ | 13,673 |
23
|
|
|
|
|
| Maturity Date |
| March 31, 2022 |
| December 31, 2021 | ||||||||||
|
|
| Original |
|
|
|
|
| Consolidated Balance |
| Market |
| Consolidated Balance |
| Market | |||||
(Dollars in thousands) | Date Issued |
| Principal Amount |
| Scheduled |
| Final |
| Sheet Amount |
| Value |
| Sheet Amount |
| Value | |||||
Long term subordinated notes | 4/26/2007 |
| $ | 400,000 |
| 5/15/2037 |
| 5/1/2067 |
| $ | 223,799 |
| $ | 208,685 |
| $ | 223,774 |
| $ | 216,289 |
On March 19, 2009, Group announced the commencement initiationof a cash tender offerfor any andall of the 6.60% fixed to floating rate long termsubordinated notes. Upon expiration of the tender offer, the Company had reduced its outstanding debt by $161.4 million. In addition, during 2020,the
periods
| Three Months Ended | ||||
| March 31, | ||||
(Dollars in thousands) | 2022 |
| 2021 | ||
Interest expense incurred | $ | 1,530 |
| $ | 1,462 |
24
Underwriting results include
|
|
|
| ||||||||||||||
Reinsurance | Three Months Ended March 31, 2022 |
| Three Months Ended March 31, 2021 | ||||||||||||||
(Dollars in thousands) | Reinsurance |
| Insurance |
| Total |
| Reinsurance |
| Insurance |
| Total | ||||||
Gross written premiums | $ | 2,185,612 |
| $ | 1,000,739 |
| $ | 3,186,351 |
| $ | 2,059,015 |
| $ | 872,418 |
| $ | 2,931,433 |
Net written premiums |
| 2,081,449 |
|
| 730,564 |
|
| 2,812,013 |
|
| 1,912,950 |
|
| 640,987 |
|
| 2,553,937 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Premiums earned | $ | 2,066,254 |
| $ | 725,511 |
| $ | 2,791,765 |
| $ | 1,777,452 |
| $ | 610,413 |
| $ | 2,387,865 |
Incurred losses and LAE |
| 1,324,716 |
|
| 465,147 |
|
| 1,789,863 |
|
| 1,271,906 |
|
| 439,513 |
|
| 1,711,419 |
Commission and brokerage |
| 514,243 |
|
| 90,987 |
|
| 605,230 |
|
| 408,724 |
|
| 80,287 |
|
| 489,011 |
Other underwriting expenses |
| 50,453 |
|
| 110,840 |
|
| 161,293 |
|
| 51,996 |
|
| 90,235 |
|
| 142,231 |
Underwriting gain (loss) | $ | 176,842 |
| $ | 58,537 |
| $ | 235,379 |
| $ | 44,826 |
| $ | 378 |
| $ | 45,204 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income |
|
|
|
|
|
|
| 242,830 |
|
|
|
|
|
|
|
| 260,413 |
Net gains (losses) on investments |
|
|
|
|
|
|
| (153,627) |
|
|
|
|
|
|
|
| 38,902 |
Corporate expenses |
|
|
|
|
|
|
| (14,020) |
|
|
|
|
|
|
|
| (12,378) |
Interest, fee and bond issue cost amortization expense |
|
|
|
|
|
|
| (24,078) |
|
|
|
|
|
|
|
| (15,639) |
Other income (expense) |
|
|
|
|
|
|
| 15,363 |
|
|
|
|
|
|
|
| 56,593 |
Income (loss) before taxes |
|
|
|
|
|
| $ | 301,847 |
|
|
|
|
|
|
| $ | 373,095 |
The Company produces business
| Three Months Ended | ||||
| March 31, | ||||
(Dollars in thousands) | 2022 |
| 2021 | ||
United Kingdom gross written premium | $ | 311,581 |
| $ | 366,148 |
No other country represented more than 5% of the Company’s revenues.
25
non-Bermudian domiciledsubsidiariesareexemptfromincometaxationunderBermudalawuntil2035.TheCompany’snon-
26
ITEM 2.MANAGEMENT’SDISCUSSIONANDANALYSISOFFINANCIALCONDITIONANDRESULTSOF
The industry continues to deal with the impacts of a global pandemic, COVID-19 and its subsequent variants. We continue to service and meet the needs of our clients while ensuring the safety and health of our employees and customers.
Prior to the pandemic, there was a growing industry consensus that there was some firming of (re)insurance rates for the areas impacted by the recent catastrophes. specificities canvary.
27
ninemonths
| Three Months Ended |
| Percentage | |||||||
| March 31, |
| Increase/ | |||||||
(Dollars in millions) | 2022 |
| 2021 |
| (Decrease) | |||||
Gross written premiums | $ | 3,186.4 |
|
| $ | 2,931.4 |
|
| 8.7 | % |
Net written premiums |
| 2,812.0 |
|
|
| 2,553.9 |
|
| 10.1 | % |
|
|
|
|
|
|
|
|
|
|
|
REVENUES: |
|
|
|
|
|
|
|
|
|
|
Premiums earned | $ | 2,791.8 |
|
| $ | 2,387.9 |
|
| 16.9 | % |
Net investment income |
| 242.8 |
|
|
| 260.4 |
|
| -6.8 | % |
Net gains (losses) on investments |
| (153.6) |
|
|
| 38.9 |
|
| NM |
|
Other income (expense) |
| 15.4 |
|
|
| 56.6 |
|
| -72.9 | % |
Total revenues |
| 2,896.3 |
|
|
| 2,743.8 |
|
| 5.6 | % |
|
|
|
|
|
|
|
|
|
|
|
CLAIMS AND EXPENSES: |
|
|
|
|
|
|
|
|
|
|
Incurred losses and loss adjustment expenses |
| 1,789.9 |
|
|
| 1,711.4 |
|
| 4.6 | % |
Commission, brokerage, taxes and fees |
| 605.2 |
|
|
| 489.0 |
|
| 23.8 | % |
Other underwriting expenses |
| 161.3 |
|
|
| 142.2 |
|
| 13.4 | % |
Corporate expenses |
| 14.0 |
|
|
| 12.4 |
|
| 12.9 | % |
Interest, fees and bond issue cost amortization expense |
| 24.1 |
|
|
| 15.6 |
|
| 54.5 | % |
Total claims and expenses |
| 2,594.5 |
|
|
| 2,370.7 |
|
| 9.5 | % |
|
|
|
|
|
|
|
|
|
|
|
INCOME (LOSS) BEFORE TAXES |
| 301.8 |
|
|
| 373.1 |
|
| -19.1 | % |
Income tax expense (benefit) |
| 4.1 |
|
|
| 31.2 |
|
| -86.9 | % |
NET INCOME (LOSS) | $ | 297.8 |
|
| $ | 341.9 |
|
| -12.9 | % |
|
|
|
|
|
|
|
|
|
|
|
RATIOS: |
|
|
|
|
|
|
|
| Point Change | |
Loss ratio |
| 64.1 | % |
|
| 71.7 | % |
| (7.6) |
|
Commission and brokerage ratio |
| 21.7 | % |
|
| 20.5 | % |
| 1.2 |
|
Other underwriting expense ratio |
| 5.8 | % |
|
| 5.9 | % |
| (0.1) |
|
Combined ratio |
| 91.6 | % |
|
| 98.1 | % |
| (6.5) |
|
|
|
|
|
|
|
|
|
|
|
|
| At |
| At |
| Percentage | |||||
| March 31, |
| December 31, |
| Increase/ | |||||
(Dollars in millions, except per share amounts) | 2022 |
| 2021 |
| (Decrease) | |||||
Balance sheet data: |
|
|
|
|
|
|
|
|
|
|
Total investments and cash | $ | 29,298.1 |
|
| $ | 29,673.3 |
|
| -1.3 | % |
Total assets |
| 37,986.8 |
|
|
| 38,185.3 |
|
| -0.5 | % |
Loss and loss adjustment expense reserves |
| 19,495.6 |
|
|
| 19,009.5 |
|
| 2.6 | % |
Total debt |
| 3,088.9 |
|
|
| 3,088.6 |
|
| - | % |
Total liabilities |
| 28,459.2 |
|
|
| 28,046.1 |
|
| 1.5 | % |
Shareholders' equity |
| 9,527.6 |
|
|
| 10,139.2 |
|
| -6.0 | % |
Book value per share |
| 241.52 |
|
|
| 258.21 |
|
| -6.5 | % |
|
|
|
|
|
|
|
|
|
|
|
(NM, not meaningful) |
|
|
|
|
|
|
|
|
|
|
(Some amounts may not reconcile due to rounding.) |
|
|
|
|
|
|
|
|
|
|
28
Three Months Ended
Revenues.
Premiums.Percentage
Other Income (Expense). We recorded other income of $15.4 million and $56.6 million for the three months ended March 31, 2022 and 2021, respectively. The changes were primarily the result of fluctuations in foreign currency exchange rates. We recognized foreign currency exchange income of $13.1 million and $51.8 million for the three months ended March 31, 2022 and 2021, respectively.
Net Investment Income. Refer to Consolidated Investments Results Section below.
Net Gains (Losses) on Investments. Refer to Consolidated Investments Results Section below.
Claims and Expenses.
| Three Months Ended March 31, | ||||||||||||||||
| Current |
| Ratio %/ |
| Prior |
| Ratio %/ |
| Total |
| Ratio %/ | ||||||
(Dollars in millions) | Year |
| Pt Change |
| Years |
| Pt Change |
| Incurred |
| Pt Change | ||||||
2022 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Attritional | $ | 1,675.8 |
| 60.0 | % |
| $ | (0.9) |
| - | % |
|
| 1,674.9 |
| 60.0 | % |
Catastrophes |
| 115.0 |
| 4.1 | % |
|
| - |
| - | % |
|
| 115.0 |
| 4.1 | % |
Total | $ | 1,790.8 |
| 64.1 | % |
| $ | (0.9) |
| - | % |
| $ | 1,789.9 |
| 64.1 | % |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2021 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Attritional | $ | 1,443.3 |
| 60.4 | % |
| $ | (1.8) |
| -0.1 | % |
| $ | 1,441.4 |
| 60.3 | % |
Catastrophes |
| 270.0 |
| 11.3 | % |
|
| - |
| - | % |
|
| 270.0 |
| 11.3 | % |
Total | $ | 1,713.3 |
| 71.7 | % |
| $ | (1.8) |
| -0.1 | % |
| $ | 1,711.4 |
| 71.7 | % |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Variance 2022/2021 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Attritional | $ | 232.5 |
| (0.4) | pts |
| $ | 0.9 |
| 0.1 | pts |
| $ | 233.5 |
| (0.3) | pts |
Catastrophes |
| (155.0) |
| (7.2) | pts |
|
| - |
| - | pts |
|
| (155.0) |
| (7.2) | pts |
Total | $ | 77.5 |
| (7.6) | pts |
| $ | 0.9 |
| 0.1 | pts |
| $ | 78.5 |
| (7.6) | pts |
29
ended March 31, 2021 related to
and the Victoria Australia flooding.
Other Underwriting Expenses.
Corporate Expenses. Corporate expenses, which are general operating expenses that are not allocated to segments, were $14.0 million and $12.4 million for the three months ended March 31, 2022 and 2021, respectively. The increase was mainly due to higher compensation expenses from an increased staff count.
Interest, Fees and Bond Issue Cost Amortization Expense. Interest, fees and other bond amortization expense was $24.1 million and $15.6 million for the three months ended March 31, 2022 and 2021, respectively. The increase was primarily due to the issuance of $1.0 billion of senior notes in October 2021. Interest expense was also impacted by the movements in the floating interest rate related to the long term subordinated notes, which is reset quarterly per the note agreement. The floating rate was 2.89% as of March 31, 2022.
Income Tax Expense (Benefit). We had income tax expense of $4.1 million and $31.2 million for the three months ended March 31, 2022 and 2021, respectively. Income tax expense is primarily a function of the geographic location of the Company’s pre-tax income and the statutory tax rates in those jurisdictions. The effective tax rate (“ETR”) is primarily affected by tax-exempt investment income, foreign tax credits and dividends. Variations in the ETR generally result from changes in the relative levels of pre-tax income, including the impact of catastrophe losses and net capital gains (losses), among jurisdictions with different tax rates.
Net Income (Loss).
Our net income was $297.8 million and $341.9 million for the three months ended March 31, 2022 and 2021, respectively. These changes were primarily driven by the financial component fluctuations explained above.
Ratios.
Our combined ratio decreased by 6.5 points to 91.6% for the three months ended March 31, 2022, compared to 98.1% for the three months ended March 31, 2021. The loss ratio component decreased 7.6 points for the three months ended March 31, 2022 over the same period last year mainly due to a decline of $155.0 million in current year catastrophe losses. The commission and brokerage ratio components increased to 21.7% for the three months ended March 31, 2022 compared to 20.5% for the three months ended March 31, 2021 mainly due to changes in the mix of business. The other underwriting expense ratios decreased slightly to 5.8% for the three months ended March 31, 2022 compared to 5.9% for the three months ended March 31, 2021.
Shareholders’ Equity.
Shareholders’ equity decreased by $611.6 million to $9.5 billion at March 31, 2022 from $10.1 billion at December 31, 2021, principally as a result of $811.0 million of unrealized depreciation on fixed maturity portfolio net of tax, $61.1 million of shareholder dividends, $34.1 million of net foreign currency translation adjustments, $2.5 million of share-based compensation transactions and the repurchase of 5,000 common shares for $1.3 million, partially offset by $297.8 million of net income and $0.8 million of net benefit plan obligation adjustments, net of tax.
September
30,
Consolidated Investment Results
Net Investment Income.
Net investment income decreased by 6.8% to $242.8 billion for the three months ended March 31, 2022 compared with investment income of $260.4 million for the three months ended March 31, 2021. The decrease was primarily the result of a decline of $25.9 million in limited partnership income, partially offset by an additional $7.3 million of income from fixed maturity investments. The limited partnership income primarily reflects increases in their reported net asset values. As such, until these asset values are monetized and the resultant income is distributed, they are subject to future increases or decreases in the asset value, and the results may be volatile.
The following table shows the components of net investment income for the periods indicated.
| Three Months Ended | ||||
| March 31, | ||||
(Dollars in millions) | 2022 |
| 2021 | ||
Fixed maturities | $ | 148.2 |
| $ | 140.9 |
Equity securities |
| 4.1 |
|
| 4.8 |
Short-term investments and cash |
| 0.2 |
|
| 0.2 |
Other invested assets |
|
|
|
|
|
Limited partnerships |
| 88.4 |
|
| 114.3 |
Other |
| 11.8 |
|
| 6.0 |
Gross investment income before adjustments |
| 252.8 |
|
| 266.3 |
Funds held interest income (expense) |
| 3.7 |
|
| 8.0 |
Future policy benefit reserve income (expense) |
| (0.2) |
|
| (0.3) |
Gross investment income |
| 256.3 |
|
| 274.0 |
Investment expenses |
| (13.4) |
|
| (13.5) |
Net investment income | $ | 242.8 |
| $ | 260.4 |
|
|
|
|
|
|
(Some amounts may not reconcile due to rounding.) |
The following table shows a comparison of various investment yields for the periods indicated.
| Three Months Ended | ||||
| March 31, | ||||
| 2022 |
| 2021 | ||
Annualized pre-tax yield on average cash and invested assets | 3.3 | % |
| 4.2 | % |
Annualized after-tax yield on average cash and invested assets | 2.9 | % |
| 3.7 | % |
Annualized return on invested assets | 1.2 | % |
| 4.8 | % |
31
Net Gains (Losses) on Investments.
The following table presents the composition of our net gains (losses) on investments for the periods indicated.
| Three Months Ended March 31, | |||||||
(Dollars in millions) |
| 2022 |
|
| 2021 |
| Variance | |
Realized gains (losses) from dispositions: |
|
|
|
|
|
|
|
|
Fixed maturity securities: |
|
|
|
|
|
|
|
|
Gains | $ | 20.1 |
| $ | 14.9 |
| $ | 5.2 |
Losses |
| (17.3) |
|
| (5.7) |
|
| (11.6) |
Total |
| 2.8 |
|
| 9.2 |
|
| (6.4) |
|
|
|
|
|
|
|
|
|
Equity securities, fair value: |
|
|
|
|
|
|
|
|
Gains |
| 3.5 |
|
| 12.3 |
|
| (8.8) |
Losses |
| (15.3) |
|
| (6.1) |
|
| (9.2) |
Total |
| (11.8) |
|
| 6.2 |
|
| (18.0) |
|
|
|
|
|
|
|
|
|
Other Invested Assets: |
|
|
|
|
|
|
|
|
Gains |
| 4.5 |
|
| 1.4 |
|
| 3.1 |
Losses |
| (0.3) |
|
| (0.1) |
|
| (0.2) |
Total |
| 4.2 |
|
| 1.3 |
|
| 2.9 |
|
|
|
|
|
|
|
|
|
Short Term Investments: |
|
|
|
|
|
|
|
|
Gains |
| - |
|
| 0.1 |
|
| (0.1) |
Losses |
| (0.1) |
|
| - |
|
| (0.1) |
Total |
| (0.1) |
|
| 0.1 |
|
| (0.2) |
|
|
|
|
|
|
|
|
|
Total net realized gains (losses) from dispositions: |
|
|
|
|
|
|
|
|
Gains |
| 28.1 |
|
| 28.7 |
|
| (0.6) |
Losses |
| (33.0) |
|
| (11.9) |
|
| (21.1) |
Total |
| (4.9) |
|
| 16.8 |
|
| (21.7) |
|
|
|
|
|
|
|
|
|
Allowance for credit losses: |
| (11.9) |
|
| (7.0) |
|
| (4.9) |
|
|
|
|
|
|
|
|
|
Gains (losses) from fair value adjustments: |
|
|
|
|
|
|
|
|
Equity securities, fair value |
| (136.9) |
|
| 29.1 |
|
| (166.0) |
Total |
| (136.9) |
|
| 29.1 |
|
| (166.0) |
|
|
|
|
|
|
|
|
|
Total net gains (losses) on investments | $ | (153.6) |
| $ | 38.9 |
| $ | (192.5) |
|
|
|
|
|
|
|
|
|
(Some amounts may not reconcile due to rounding.) |
|
|
|
|
|
|
|
|
Net gains (losses) on investments during the three months ended March 31, 2022 primarily relate to net losses from fair value adjustments on equity securities in the amount of $136.9 million as a result of equity market declines during the first quarter of 2022. In addition, we recorded an increase to the allowance for credit losses during the three months ended March 31, 2022 in the amount of $11.9 million primarily related to our direct holdings of Russian corporate fixed maturity securities.
Segment Results.
The Company manages its reinsurance and insurance operations as autonomous units and key strategic decisions are based on the aggregate operating results and projections for these segments of business.
The Reinsurance operation writes worldwide property and casualty reinsurance and specialty lines of business, on both a treaty and facultative basis, through reinsurance brokers, as well as directly with ceding companies. Business is written in the U.S., Bermuda, and Ireland offices, as well as, through branches in Canada, Singapore, the United Kingdom and Switzerland. The Insurance operation writes property and casualty insurance directly and through brokers, surplus lines brokers and general agents within the U.S., Bermuda, Canada, Europe and South America through its offices in the U.S., Canada, Chile, the United Kingdom, Ireland and a branch located in the Netherlands.
32
These segments are managed independently, but conform with corporate guidelines with respect to pricing, risk management, control of aggregate catastrophe exposures, capital, investments and support operations. Management generally monitors and evaluates the financial performance of these operating segments based upon their underwriting results.
Underwriting results include earned premium less losses and loss adjustment expenses (“LAE”) incurred, commission and brokerage expenses and other underwriting expenses. We measure our underwriting results using ratios, in particular loss, commission and brokerage and other underwriting expense ratios, which, respectively, divide incurred losses, commissions and brokerage and other underwriting expenses by premiums earned.
The Company does not maintain separate balance sheet data for its operating segments. Accordingly, the Company does not review and evaluate the financial results of its operating segments based upon balance sheet data.
Our loss and LAE reserves are management’s best estimate of our ultimate liability for unpaid claims. We re-evaluate our estimates on an ongoing basis, including all prior period reserves, taking into consideration all available information, and in particular, recently reported loss claim experience and trends related to prior periods. Such re-evaluations are recorded in incurred losses in the period in which re-evaluation is made.
The following discusses the underwriting results for each of our segments for the periods indicated.
Reinsurance.
The following table presents the underwriting results and ratios for the Reinsurance segment for the periods indicated.
| Three Months Ended March 31, | ||||||||||||
(Dollars in millions) | 2022 |
| 2021 |
| Variance |
| % Change | ||||||
Gross written premiums | $ | 2,185.6 |
|
| $ | 2,059.0 |
|
| $ | 126.6 |
| 6.1 | % |
Net written premiums |
| 2,081.4 |
|
|
| 1,913.0 |
|
|
| 168.5 |
| 8.8 | % |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Premiums earned | $ | 2,066.3 |
|
| $ | 1,777.5 |
|
| $ | 288.8 |
| 16.2 | % |
Incurred losses and LAE |
| 1,324.7 |
|
|
| 1,271.9 |
|
|
| 52.8 |
| 4.2 | % |
Commission and brokerage |
| 514.2 |
|
|
| 408.7 |
|
|
| 105.5 |
| 25.8 | % |
Other underwriting expenses |
| 50.5 |
|
|
| 52.0 |
|
|
| (1.5) |
| -3.0 | % |
Underwriting gain (loss) | $ | 176.8 |
|
| $ | 44.8 |
|
| $ | 132.0 |
| -294.5 | % |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Point Chg | |
Loss ratio |
| 64.1 | % |
|
| 71.6 | % |
|
|
|
| (7.5) |
|
Commission and brokerage ratio |
| 24.9 | % |
|
| 23.0 | % |
|
|
|
| 1.9 |
|
Other underwriting expense ratio |
| 2.4 | % |
|
| 2.9 | % |
|
|
|
| (0.5) |
|
Combined ratio |
| 91.4 | % |
|
| 97.5 | % |
|
|
|
| (6.1) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(NM, Not Meaningful) |
|
|
|
|
|
|
|
|
|
|
|
|
|
(Some amounts may not reconcile due to rounding.) |
33
Premiums. Gross written premiums increased by 6.1% to $2.2 billion for the three months ended March 31, 2022 from $2.1 billion for the three months ended March 31, 2021, primarily due to increases in casualty pro rata business and financial lines of business. Net written premiums increased by 8.8% to $2.1 billion for the three months ended March 31, 2022 compared to $1.9 billion for the three months ended March 31, 2021. The higher percentage increase in net written premiums compared to gross written premiums mainly related to a reduction in business ceded to the segregated accounts of Mt. Logan Re in the three months ended March 31, 2022 compared to the three months ended March 31, 2021. Premiums earned increased by 16.2% to $2.1 billion for the three months ended March 31, 2022, compared to $1.8 billion for the three months ended March 31, 2021. The change in premiums earned relative to net written premiums is primarily the result of timing; premiums are earned ratably over the coverage period whereas written premiums are recorded at the initiation of the coverage period. Accordingly, the significant increases in gross written premiums from pro rata business during the latter half of 2021 contributed to the current quarter percentage increase in net earned premiums.
Incurred Losses and LAE. The following table presents the incurred losses and LAE for the Reinsurance segment for the periods indicated.
| Three Months Ended March 31, | ||||||||||||||||
| Current |
| Ratio %/ |
| Prior |
| Ratio %/ |
| Total |
| Ratio %/ | ||||||
(Dollars in millions) | Year |
| Pt Change |
| Years |
| Pt Change |
| Incurred |
| Pt Change | ||||||
2022 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Attritional | $ | 1,216.3 |
| 58.9 | % |
| $ | (1.6) |
| -0.1 | % |
|
| 1,214.7 |
| 58.8 | % |
Catastrophes |
| 110.0 |
| 5.3 | % |
|
| - |
| - | % |
|
| 110.0 |
| 5.3 | % |
Total Segment | $ | 1,326.3 |
| 64.2 | % |
| $ | (1.6) |
| -0.1 | % |
| $ | 1,324.7 |
| 64.1 | % |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2021 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Attritional | $ | 1,051.2 |
| 59.1 | % |
| $ | (1.8) |
| -0.1 | % |
|
| 1,049.4 |
| 59.0 | % |
Catastrophes |
| 222.5 |
| 12.5 | % |
|
| - |
| - | % |
|
| 222.5 |
| 12.5 | % |
Total Segment | $ | 1,273.7 |
| 71.6 | % |
| $ | (1.8) |
| -0.1 | % |
| $ | 1,271.9 |
| 71.6 | % |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Variance 2022/2021 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Attritional | $ | 165.1 |
| (0.2) | pts |
| $ | 0.2 |
| - | pts |
| $ | 165.3 |
| (0.2) | pts |
Catastrophes |
| (112.5) |
| (7.2) | pts |
|
| - |
| - | pts |
|
| (112.5) |
| (7.2) | pts |
Total Segment | $ | 52.6 |
| (7.4) | pts |
| $ | 0.2 |
| - | pts |
| $ | 52.8 |
| (7.5) | pts |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Incurred losses increased by 4.2% to $1.32 billion for the three months ended March 31, 2022, compared to $1.27 billion for the three months ended March 31, 2021. The increase was primarily due to an increase of $165.1 million in current year attritional losses, partially offset by a decrease of $112.5 million in current year catastrophe losses. The increase in current year attritional losses was mainly related to the impact of the increase in premiums earned. The current year catastrophe losses of $110.0 million for the three months ended March 31, 2022 related primarily to the 2022 Australia floods ($75.0 million), the 2022 European storms ($30.0 million), and the 2022 March U.S. storms ($5.0 million). The $222.5 million of current year catastrophe losses for the three months ended March 31, 2021 related to Hurricane Ida.
Segment Expenses. Commission and brokerage expense increased by 25.8% to $514.2 million for the three ninemonthsended March 31, 2022 compared September30,2021.The increasewasmainlydueto $408.7 an
Segment other underwriting expenses decreased to $50.5 million for the three months ended March 31, 2022 from $52.0 million for the three months ended March 31, 2021. The decrease was mainly due to lower variable compensation expenses.
34
Insurance.
The following table presents the underwriting results and ratios for the Insurance segment for the periods indicated.
| Three Months Ended March 31, | ||||||||||||
(Dollars in millions) | 2022 |
| 2021 |
| Variance |
| % Change | ||||||
Gross written premiums | $ | 1,000.7 |
|
| $ | 872.4 |
|
| $ | 128.3 |
| 14.7 | % |
Net written premiums |
| 730.6 |
|
|
| 641.0 |
|
|
| 89.6 |
| 14.0 | % |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Premiums earned | $ | 725.5 |
|
| $ | 610.4 |
|
| $ | 115.1 |
| 18.9 | % |
Incurred losses and LAE |
| 465.1 |
|
|
| 439.5 |
|
|
| 25.6 |
| 5.8 | % |
Commission and brokerage |
| 91.0 |
|
|
| 80.3 |
|
|
| 10.7 |
| 13.3 | % |
Other underwriting expenses |
| 110.8 |
|
|
| 90.2 |
|
|
| 20.6 |
| 22.8 | % |
Underwriting gain (loss) | $ | 58.5 |
|
| $ | 0.4 |
|
| $ | 58.2 |
| NM |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Point Chg | |
Loss ratio |
| 64.1 | % |
|
| 72.0 | % |
|
|
|
| (7.9) |
|
Commission and brokerage ratio |
| 12.5 | % |
|
| 13.2 | % |
|
|
|
| (0.7) |
|
Other underwriting expense ratio |
| 15.3 | % |
|
| 14.8 | % |
|
|
|
| 0.5 |
|
Combined ratio |
| 91.9 | % |
|
| 99.9 | % |
|
|
|
| (8.0) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(NM not meaningful) |
|
|
|
|
|
|
|
|
|
|
|
|
|
(Some amounts may not reconcile due to rounding.) |
Premiums. Gross written premiums increased by 14.7% to $1.0 billion for the three months ended March 31, 2022 compared to $872.4 million for the three months ended March 31, 2021. This rise was primarily related to increases in specialty casualty business and other specialty business. Net written premiums increased by 14.0% to $730.6 million for the three months ended March 31, 2022 compared to $641.0 million for the three months ended March 31, 2021, which is consistent with the change in gross written premiums. Premiums earned increased 18.9% to $725.5 million for the three months ended March 31, 2022 compared to $610.4 million for the three months ended March 31, 2021. The change in premiums earned relative to net written premiums is the result of timing; premiums are earned ratably over the coverage period whereas written premiums are recorded at the initiation of the coverage period. Accordingly, the significant increases in gross written premiums during the latter half of 2021 contributed to the current quarter percentage increase in net earned premiums.
Incurred Losses and LAE. The following table presents the incurred losses and LAE for the Insurance segment for the periods indicated.
| Three Months Ended March 31, | ||||||||||||||||
| Current |
| Ratio %/ |
| Prior |
| Ratio %/ |
| Total |
| Ratio %/ | ||||||
(Dollars in millions) | Year |
| Pt Change |
| Years |
| Pt Change |
| Incurred |
| Pt Change | ||||||
2022 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Attritional | $ | 459.5 |
| 63.3 | % |
| $ | 0.7 |
| 0.1 | % |
|
| 460.1 |
| 63.4 | % |
Catastrophes |
| 5.0 |
| 0.7 | % |
|
| - |
| - | % |
|
| 5.0 |
| 0.7 | % |
Total Segment | $ | 464.5 |
| 64.0 | % |
| $ | 0.7 |
| 0.1 | % |
| $ | 465.1 |
| 64.1 | % |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2021 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Attritional | $ | 392.0 |
| 64.2 | % |
| $ | - |
| - | % |
| $ | 392.0 |
| 64.2 | % |
Catastrophes |
| 47.5 |
| 7.8 | % |
|
| - |
| - | % |
|
| 47.5 |
| 7.8 | % |
Total Segment | $ | 439.5 |
| 72.0 | % |
| $ | - |
| - | % |
| $ | 439.5 |
| 72.0 | % |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Variance 2022/2021 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Attritional | $ | 67.5 |
| (0.9) | pts |
| $ | 0.7 |
| 0.1 | pts |
| $ | 68.1 |
| (0.8) | pts |
Catastrophes |
| (42.5) |
| (7.1) | pts |
|
| - |
| - | pts |
|
| (42.5) |
| (7.1) | pts |
Total Segment | $ | 25.0 |
| (8.0) | pts |
| $ | 0.7 |
| 0.1 | pts |
| $ | 25.6 |
| (7.9) | pts |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(Some amounts may not reconcile due to rounding.) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Incurred losses and LAE increased by 5.8% to $465.1 million for the three months ended March 31, 2022 compared to $439.5 million for the three months ended March 31, 2021. The increase was mainly due to an
35
increase of $67.5 million in current year attritional losses, partially offset by a decrease in current year catastrophe losses of $42.5 million. The increase in current year attritional losses was primarily due to the impact of the increase in premiums earned.The current year catastrophelosses of $5.0$120 million related toHurricane Ian
Segment Expenses. Commission and brokerage increased by 13.3% to $91.0 million for the threenine months ended March 31,September30, 2022 compared to $80.3 $258
Segment other underwriting earnedandincreasedexpenses increased relatedto $110.8 million for the three months ended March 31, 2022 compared to $90.2 million for continuedbuildoutofthe three months ended March 31, 2021. The increase was mainly due to the impact of the increase in premiums earned and increased expenses related to the continued build out of the insurance
FINANCIAL CONDITION
Investments. Total investments
The Company’s limited partnership investments are comprisedinsurance business,including
| At |
| At | ||
| March 31, 2022 |
| December 31, 2021 | ||
Fixed income portfolio duration (years) | 3.1 |
|
| 3.2 |
|
Fixed income composite credit quality | A+ |
|
| A+ |
|
duration (years)
Recoverables.
recoverables.
36
The followingtables summarizegross outstandingloss andLAE reservesby segment,classified bycase reserves
| At March 31, 2022 | ||||||||||
| Case |
| IBNR |
| Total |
| % of | ||||
(Dollars in millions) | Reserves |
| Reserves |
| Reserves |
| Total | ||||
Reinsurance | $ | 5,639.4 |
| $ | 8,480.4 |
| $ | 14,119.8 |
| 72.4 | % |
Insurance |
| 1,570.3 |
|
| 3,652.5 |
|
| 5,222.8 |
| 26.8 | % |
Total excluding A&E |
| 7,209.6 |
|
| 12,132.9 |
|
| 19,342.5 |
| 99.2 | % |
A&E |
| 148.4 |
|
| 4.8 |
|
| 153.1 |
| 0.8 | % |
Total including A&E | $ | 7,358.0 |
| $ | 12,137.7 |
| $ | 19,495.6 |
| 100.0 | % |
|
|
|
|
|
|
|
|
|
|
|
|
(Some amounts may not reconcile due to rounding.) |
|
|
|
|
|
|
|
|
|
|
|
| At December 31, 2021 | ||||||||||
| Case |
| IBNR |
| Total |
| % of | ||||
(Dollars in millions) | Reserves |
| Reserves |
| Reserves |
| Total | ||||
Reinsurance | $ | 5,415.0 |
| $ | 8,312.3 |
| $ | 13,727.3 |
| 72.2 | % |
Insurance |
| 1,546.2 |
|
| 3,562.4 |
|
| 5,108.6 |
| 26.9 | % |
Total excluding A&E |
| 6,961.2 |
|
| 11,874.7 |
|
| 18,835.9 |
| 99.1 | % |
A&E |
| 163.7 |
|
| 9.9 |
|
| 173.6 |
| 0.9 | % |
Total including A&E | $ | 7,124.8 |
| $ | 11,884.7 |
| $ | 19,009.5 |
| 100.0 | % |
|
|
|
|
|
|
|
|
|
|
|
|
(Some amounts may not reconcile due to rounding.) |
|
|
|
|
|
|
|
|
|
|
|
Changes
37
| At |
| At | ||
| March 31, |
| December 31, | ||
(Dollars in millions) | 2022 |
| 2021 | ||
Gross reserves | $ | 153.1 |
| $ | 175.2 |
Ceded reserves |
| (17.5) |
|
| (19.0) |
Net reserves | $ | 135.6 |
| $ | 156.1 |
|
|
|
|
|
|
(Some amounts may not reconcile due to rounding.) |
|
|
|
|
|
With respect
| Bermuda Re (1) |
| Everest Re (2) | ||||||||
| At December 31, |
| At December 31, | ||||||||
(Dollars in millions) | 2021 |
| 2020 |
| 2021 |
| 2020 | ||||
Regulatory targeted capital | $ | 2,169.3 |
| $ | 1,923.2 |
| $ | 2,960.0 |
| $ | 2,489.8 |
Actual capital | $ | 3,184.1 |
| $ | 2,930.3 |
| $ | 5,717.1 |
| $ | 5,276.0 |
38
debt and equity marketsas aresultof ourfinancialstrength,as evidencedbythefinancial strengthratingsas evidenced by the financial strength ratings as
39
net pre-tax unrealized depreciation related to fixed maturity securities, comprised of $806.8 million of pre-tax unrealized depreciation and $153.7$153 millionof pre-tax unrealized appreciation.
bond program.
Interest rate risk is the potential change in value of the fixedmaturity securitiesportfolio,including short-term
40
functional currency, the effectiveduration ofthe involvedportfolio ofsecurities wasused as aproxy forthe market fairvalue changeunder
| Impact of Interest Rate Shift in Basis Points | ||||||||||||||||||
| At March 31, 2022 | ||||||||||||||||||
| -200 |
|
| -100 |
| 0 |
|
| 100 |
| 200 | ||||||||
(Dollars in millions) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Market/Fair Value | $ | 24,300.1 |
|
| $ | 23,561.2 |
|
| $ | 22,822.3 |
|
| $ | 22,083.4 |
|
| $ | 21,344.5 |
|
Market/Fair Value Change from Base (%) |
| 6.5 | % |
|
| 3.2 | % |
|
| 0.0 | % |
|
| (3.2) | % |
|
| (6.5) | % |
Change in Unrealized Appreciation |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
After-tax from Base ($) | $ | 1,286.2 |
|
| $ | 643.1 |
|
| $ | - |
|
| $ | (643.1) |
|
| $ | (1,286.2) |
|
We had $19.5 billion and $19.0 billion
Equity Risk. Equity risk is the potential change in fair and/or market value of the common stock, preferred stock and mutual fund portfolios arising from changing prices. Our equity investments consist of a diversified portfolio of
| Impact of Percentage Change in Equity Fair/Market Values | |||||||||||||
| At March 31, 2022 | |||||||||||||
(Dollars in millions) | -20% |
| -10% |
| 0% |
| 10% |
| 20% | |||||
Fair/Market Value of the Equity Portfolio | $ | 1,424.4 |
| $ | 1,602.5 |
| $ | 1,780.5 |
| $ | 1,958.6 |
| $ | 2,136.6 |
After-tax Change in Fair/Market Value | $ | (282.2) |
| $ | (141.1) |
| $ | - |
| $ | 141.1 |
| $ | 282.2 |
41
currency legal entities to the U.S. dollar. This translation amount is reported as a component of other comprehensive income.
Safe Harbor Disclosure.
ITEM 3.QUANTITATIVEAND QUALITATIVEDISCLOSURES ABOUT MARKET RISK
ITEM 4.CONTROLS AND PROCEDURES
ITEM 1.LEGAL PROCEEDINGS
42
resolved throughboth informaland formalmeans, includingnegotiated resolution,arbitration andlitigation.In
ITEM 1A.RISK FACTORS
ITEM 2.UNREGISTERED SALES OF EQUITY SECURITIESAND USE OF PROCEEDS
Issuer Purchases of Equity Securities | |||||
| (a) | (b) | (c) | (d) | |
|
|
|
|
| Maximum Number (or |
|
|
|
| Total Number of | Approximate Dollar |
|
|
|
| Shares (or Units) | Value) of Shares (or |
|
|
|
| Purchased as Part | Units) that May Yet |
| Total Number of |
|
| of Publicly | Be Purchased Under |
| Shares (or Units) | Average Price Paid | Announced Plans or | the Plans or | |
Period | Purchased | per Share (or Unit) | Programs | Programs (1) | |
January 1 - 31, 2022 | - | $ | - | - | 1,470,181 |
February 1 - 28, 2022 | 44,455 | $ | 299.5577 | - | 1,470,181 |
March 1 - 31, 2022 | 11,175 | $ | 269.9151 | 5,000 | 1,465,181 |
Total | 55,630 | $ | - | 5,000 | 1,465,181 |
(1)On
ITEM 3.DEFAULTSUPON SENIOR SECURITIES
None.
ITEM 4.MINE SAFETY DISCLOSURES
43
XBRL TaxonomyExtension Schema
ITEM 6.EXHIBITS
Exhibit Index
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| |
| |
|
|
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|
|
|
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|
|
|
|
|
44
Everest Re Group,Ltd.
| ||
| ||
| ||
| ||
| ||
| ||
|
Dated: May 5, 2022
45