DOCUMENT_AND_ENTITY_INFORMATIO
DOCUMENT AND ENTITY INFORMATION | 3 Months Ended | |
Mar. 31, 2015 | Apr. 24, 2015 | |
DOCUMENT AND ENTITY INFORMATION [ABSTRACT] | ||
Document Type | 10-Q | |
Amendment Flag | FALSE | |
Document Period End Date | 31-Mar-15 | |
Document Fiscal Year Focus | 2015 | |
Document Fiscal Period Focus | Q1 | |
Entity Registrant Name | AXIS CAPITAL HOLDINGS LTD | |
Entity Central Index Key | 1214816 | |
Current Fiscal Year End Date | -19 | |
Entity Current Reporting Status | Yes | |
Entity Filer Category | Large Accelerated Filer | |
Entity Common Stock, Shares Outstanding | 100,928,728 |
CONSOLIDATED_BALANCE_SHEETS
CONSOLIDATED BALANCE SHEETS (USD $) | Mar. 31, 2015 | Dec. 31, 2014 |
In Thousands, unless otherwise specified | ||
Assets | ||
Fixed maturities, available for sale, at fair value (Amortized cost 2015: $12,012,633; 2014: $12,185,973) | $12,012,894 | $12,129,273 |
Equity securities, available for sale, at fair value (Cost 2015: $572,317; 2014: $531,648) | 601,329 | 567,707 |
Other investments, at fair value | 939,006 | 965,465 |
Short-term investments, at fair value and amortized cost | 38,373 | 107,534 |
Total investments | 13,591,602 | 13,769,979 |
Cash and cash equivalents | 996,596 | 921,830 |
Restricted cash and cash equivalents | 273,496 | 287,865 |
Accrued interest receivable | 79,706 | 83,070 |
Insurance and reinsurance premium balances receivable | 2,241,875 | 1,808,620 |
Reinsurance recoverable on unpaid and paid losses | 1,921,311 | 1,926,145 |
Deferred acquisition costs | 616,966 | 466,987 |
Prepaid reinsurance premiums | 357,042 | 351,441 |
Receivable for investments sold | 13,432 | 169 |
Goodwill and intangible assets | 88,508 | 88,960 |
Other assets | 278,285 | 250,670 |
Total assets | 20,458,819 | 19,955,736 |
Liabilities | ||
Reserve for losses and loss expenses | 9,443,222 | 9,596,797 |
Unearned premiums | 3,293,952 | 2,735,376 |
Insurance and reinsurance balances payable | 266,789 | 249,186 |
Senior notes | 991,045 | 990,790 |
Payable for investments purchased | 196,526 | 188,176 |
Other liabilities | 221,050 | 315,471 |
Total liabilities | 14,412,584 | 14,075,796 |
Shareholders’ equity | ||
Preferred shares | 627,843 | 627,843 |
Common shares (2015: 176,190; 2014: 175,478 shares issued and 2015: 100,219; 2014: 99,426 shares outstanding) | 2,200 | 2,191 |
Additional paid-in capital | 2,287,065 | 2,285,016 |
Accumulated other comprehensive loss | -17,070 | -45,574 |
Retained earnings | 5,842,239 | 5,715,504 |
Treasury shares, at cost (2015: 75,971; 2014: 76,052 shares) | -2,765,114 | -2,763,859 |
Total shareholders’ equity attributable to AXIS Capital | 5,977,163 | 5,821,121 |
Noncontrolling interests | 69,072 | 58,819 |
Total shareholders’ equity | 6,046,235 | 5,879,940 |
Total liabilities and shareholders’ equity | $20,458,819 | $19,955,736 |
CONSOLIDATED_BALANCE_SHEETS_Pa
CONSOLIDATED BALANCE SHEETS (Parenthetical) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 |
In Thousands, unless otherwise specified | ||
Statement of Financial Position [Abstract] | ||
Fixed maturities, available for sale, amortized cost | $12,012,633 | $12,185,973 |
Equity securities, available for sale, cost | 572,317 | 531,648 |
Short term investments, amortized cost | $38,373 | $107,534 |
Common shares, shares issued | 176,190 | 175,478 |
Common shares, shares outstanding | 100,219 | 99,426 |
Treasury shares, shares | 75,971 | 76,052 |
CONSOLIDATED_STATEMENTS_OF_OPE
CONSOLIDATED STATEMENTS OF OPERATIONS (USD $) | 3 Months Ended | |
In Thousands, except Per Share data, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 |
Revenues | ||
Net premiums earned | $906,222 | $945,949 |
Net investment income | 92,110 | 82,744 |
Other insurance related income | 7,676 | 3,082 |
Net realized investment gains (losses): | ||
Other-than-temporary impairment (OTTI) losses | -17,568 | -786 |
Other realized investment gains (losses) | -24,985 | 11,406 |
Total net realized investment gains (losses) | -42,553 | 10,620 |
Total revenues | 963,455 | 1,042,395 |
Expenses | ||
Net losses and loss expenses | 518,937 | 544,207 |
Acquisition costs | 171,702 | 172,036 |
General and administrative expenses | 163,517 | 152,729 |
Foreign exchange losses (gains) | -63,220 | 4,233 |
Interest expense and financing costs | 12,257 | 16,594 |
Total expenses | 803,193 | 889,799 |
Income before income taxes | 160,262 | 152,596 |
Income tax expense (benefit) | -690 | 4,125 |
Net income | 160,952 | 148,471 |
Amounts attributable to (from) noncontrolling interests | -4,873 | 1,222 |
Net income attributable to AXIS Capital | 165,825 | 147,249 |
Preferred share dividends | 10,022 | 10,022 |
Net income available to common shareholders | $155,803 | $137,227 |
Net income per common share: | ||
Basic net income | $1.56 | $1.26 |
Diluted net income | $1.54 | $1.24 |
Weighted average number of common shares outstanding - basic | 99,910 | 109,053 |
Weighted average number of common shares outstanding - diluted | 101,139 | 110,391 |
Cash dividends declared per common share | $0.29 | $0.27 |
CONSOLIDATED_STATEMENTS_OF_COM
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 |
Statement of Comprehensive Income [Abstract] | ||
Net income | $160,952 | $148,471 |
Other comprehensive income, net of tax: | ||
Unrealized gains (losses) arising during the period | -5,187 | 71,383 |
Adjustment for reclassification of net realized investment gains (losses) and OTTI losses recognized in net income | 45,104 | -9,613 |
Unrealized gains arising during the period, net of reclassification adjustment | 39,917 | 61,770 |
Foreign currency translation adjustment | -13,278 | 2,659 |
Total other comprehensive income, net of tax | 26,639 | 64,429 |
Comprehensive income | 187,591 | 212,900 |
Amounts attributable (to) from noncontrolling interests | 6,738 | -1,222 |
Comprehensive income attributable to AXIS Capital | $194,329 | $211,678 |
CONSOLIDATED_STATEMENTS_OF_CHA
CONSOLIDATED STATEMENTS OF CHANGES IN SHAREHOLDERS' EQUITY (USD $) | Total | Parent [Member] | Preferred shares [Member] | Common shares (par value) [Member] | Additional paid-in capital [Member] | Unrealized gains (losses) on available for sale investments, net of tax [Member] | Cumulative foreign currency translation adjustments, net of tax [Member] | Accumulated other comprehensive income [Member] | Retained earnings [Member] | Treasury shares, at cost [Member] | Noncontrolling interest [Member] |
In Thousands, unless otherwise specified | |||||||||||
Total shareholders' equity at Dec. 31, 2013 | $627,843 | $2,174 | $2,240,125 | $124,945 | ($7,120) | $117,825 | $5,062,706 | ($2,232,711) | |||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||||||||
Shares issued | 14 | 1,861 | |||||||||
Cost of treasury shares reissued | -8,128 | 8,128 | |||||||||
Stock options exercised | 392 | ||||||||||
Share-based compensation expense | 12,852 | ||||||||||
Unrealized gains arising during the period, net of reclassification adjustment | 61,770 | 61,770 | |||||||||
Non-credit portion of OTTI losses | 0 | 0 | |||||||||
Foreign currency translation adjustments | 2,659 | 2,659 | |||||||||
Amounts attributable from noncontrolling interests | 0 | 0 | |||||||||
Net income | 148,471 | 148,471 | |||||||||
Amounts attributable (to) from noncontrolling interests | -1,222 | -1,222 | |||||||||
Preferred share dividends | -10,022 | ||||||||||
Common share dividends | -28,985 | ||||||||||
Shares repurchased for treasury | -178,703 | ||||||||||
Total shareholders' equity at Mar. 31, 2014 | 5,878,271 | 5,827,049 | 627,843 | 2,188 | 2,247,102 | 186,715 | -4,461 | 182,254 | 5,170,948 | -2,403,286 | 51,222 |
Total shareholders' equity at Dec. 31, 2014 | 5,879,940 | 627,843 | 2,191 | 2,285,016 | -28,192 | -17,382 | -45,574 | 5,715,504 | -2,763,859 | ||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||||||||
Shares issued | 9 | 2,294 | |||||||||
Cost of treasury shares reissued | -13,517 | 13,517 | |||||||||
Stock options exercised | 560 | ||||||||||
Share-based compensation expense | 12,712 | ||||||||||
Unrealized gains arising during the period, net of reclassification adjustment | 39,917 | 39,917 | |||||||||
Non-credit portion of OTTI losses | 0 | 0 | |||||||||
Foreign currency translation adjustments | -13,278 | -13,278 | |||||||||
Amounts attributable from noncontrolling interests | 1,865 | 1,865 | |||||||||
Net income | 160,952 | 160,952 | |||||||||
Amounts attributable (to) from noncontrolling interests | 4,873 | 4,873 | |||||||||
Preferred share dividends | -10,022 | ||||||||||
Common share dividends | -29,068 | ||||||||||
Shares repurchased for treasury | -14,772 | ||||||||||
Total shareholders' equity at Mar. 31, 2015 | $6,046,235 | $5,977,163 | $627,843 | $2,200 | $2,287,065 | $11,725 | ($28,795) | ($17,070) | $5,842,239 | ($2,765,114) | $69,072 |
CONSOLIDATED_STATEMENTS_OF_CAS
CONSOLIDATED STATEMENTS OF CASH FLOWS (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 |
Cash flows from operating activities: | ||
Net income | $160,952 | $148,471 |
Adjustments to reconcile net income to net cash provided by (used in) operating activities: | ||
Net realized investment losses (gains) | 42,553 | -10,620 |
Net realized and unrealized gains on other investments | -30,935 | -16,759 |
Amortization of fixed maturities | 31,372 | 30,919 |
Other amortization and depreciation | 6,581 | 15,889 |
Share-based compensation expense, net of cash payments | 4,834 | 8,700 |
Changes in: | ||
Accrued interest receivable | 3,101 | 7,626 |
Reinsurance recoverable balances | -10,133 | 18,305 |
Deferred acquisition costs | -149,947 | -178,170 |
Prepaid reinsurance premiums | -6,926 | 31,308 |
Reserve for loss and loss expenses | -127,224 | 85,312 |
Unearned premiums | 559,479 | 685,778 |
Insurance and reinsurance balances, net | -415,909 | -630,861 |
Other items | -95,778 | -44,630 |
Net cash provided by (used in) operating activities | -27,980 | 151,268 |
Cash flows from investing activities: | ||
Fixed maturities | -3,036,497 | -3,298,375 |
Equity securities | -41,239 | -73,197 |
Other investments | -21,418 | -19,850 |
Short-term investments | -14,513 | -420,115 |
Proceeds from the sale of: | ||
Fixed maturities | 2,823,044 | 3,092,006 |
Equity securities | 522 | 73,694 |
Other investments | 78,812 | 76,657 |
Short-term investments | 79,657 | 154,603 |
Proceeds from redemption of fixed maturities | 280,864 | 279,815 |
Proceeds from redemption of short-term investments | 4,632 | 14,548 |
Purchase of other assets | -4,647 | -19,152 |
Change in restricted cash and cash equivalents | 14,369 | -24,405 |
Net cash provided by (used in) investing activities | 163,586 | -163,771 |
Cash flows from financing activities: | ||
Sales of shares to noncontrolling interests | 56,991 | 0 |
Return of capital to noncontrolling interests | -40,000 | 0 |
Dividends paid - common shares | -30,103 | -29,562 |
Repurchase of common shares | -22,581 | -162,536 |
Dividends paid - preferred shares | -10,022 | -10,022 |
Proceeds from issuance of common shares | 2,863 | 2,266 |
Net proceeds from issuance of senior notes | 0 | 494,344 |
Net cash provided by (used in) financing activities | -42,852 | 294,490 |
Effect of exchange rate changes on foreign currency cash and cash equivalents | -17,988 | 441 |
Increase in cash and cash equivalents | 74,766 | 282,428 |
Cash and cash equivalents - beginning of period | 921,830 | 923,326 |
Cash and cash equivalents - end of period | $996,596 | $1,205,754 |
BASIS_OF_PRESENTATION_AND_ACCO
BASIS OF PRESENTATION AND ACCOUNTING POLICIES | 3 Months Ended |
Mar. 31, 2015 | |
Accounting Policies [Abstract] | |
BASIS OF PRESENTATION AND ACCOUNTING POLICIES | Basis of Presentation |
These interim consolidated financial statements include the accounts of AXIS Capital Holdings Limited (“AXIS Capital”) and its subsidiaries (herein referred to as “we,” “us,” “our,” or the “Company”). | |
The consolidated balance sheet at March 31, 2015 and the consolidated statements of operations, comprehensive income, shareholders' equity and cash flows for the periods ended March 31, 2015 and 2014 have not been audited. The balance sheet at December 31, 2014 is derived from our audited financial statements. | |
These financial statements have been prepared in accordance with U.S. Generally Accepted Accounting Principles (“U.S. GAAP”) for interim financial information and with the Securities and Exchange Commission's (“SEC”) instructions to Form 10-Q and Article 10 of Regulation S-X. Accordingly, they do not include all of the information and footnotes required by U.S. GAAP for complete financial statements. In the opinion of management, these financial statements reflect all adjustments (consisting of normal recurring adjustments) considered necessary for a fair presentation of our financial position and results of operations for the periods presented. The results of operations for any interim period are not necessarily indicative of the results for a full year. All inter-company accounts and transactions have been eliminated. | |
The following information should be read in conjunction with our Annual Report on Form 10-K for the year ended December 31, 2014. Tabular dollar and share amounts are in thousands, except per share amounts. All amounts are reported in U.S. dollars. | |
Significant Accounting Policies | |
There were no notable changes in our significant accounting policies subsequent to our Annual Report on Form 10-K for the year ended December 31, 2014. |
SEGMENT_INFORMATION
SEGMENT INFORMATION | 3 Months Ended | |||||||||||||||||||||||||
Mar. 31, 2015 | ||||||||||||||||||||||||||
Segment Reporting [Abstract] | ||||||||||||||||||||||||||
SEGMENT INFORMATION | Our underwriting operations are organized around our global underwriting platforms, AXIS Insurance and AXIS Re. Therefore we have determined that we have two reportable segments, insurance and reinsurance. We do not allocate our assets by segment, with the exception of goodwill and intangible assets, as we evaluate the underwriting results of each segment separately from the results of our investment portfolio. | |||||||||||||||||||||||||
The following tables summarize the underwriting results of our reportable segments, as well as the carrying values of allocated goodwill and intangible assets: | ||||||||||||||||||||||||||
2015 | 2014 | |||||||||||||||||||||||||
Three months ended and at March 31, | Insurance | Reinsurance | Total | Insurance | Reinsurance | Total | ||||||||||||||||||||
Gross premiums written | $ | 602,724 | $ | 1,076,208 | $ | 1,678,932 | $ | 601,721 | $ | 1,219,678 | $ | 1,821,399 | ||||||||||||||
Net premiums written | 436,740 | 1,026,812 | 1,463,552 | 456,692 | 1,207,892 | 1,664,584 | ||||||||||||||||||||
Net premiums earned | 447,467 | 458,755 | 906,222 | 449,214 | 496,735 | 945,949 | ||||||||||||||||||||
Other insurance related income | — | 7,676 | 7,676 | — | 3,082 | 3,082 | ||||||||||||||||||||
Net losses and loss expenses | (285,773 | ) | (233,164 | ) | (518,937 | ) | (279,423 | ) | (264,784 | ) | (544,207 | ) | ||||||||||||||
Acquisition costs | (64,455 | ) | (107,247 | ) | (171,702 | ) | (65,057 | ) | (106,979 | ) | (172,036 | ) | ||||||||||||||
General and administrative expenses | (87,689 | ) | (39,656 | ) | (127,345 | ) | (87,946 | ) | (36,076 | ) | (124,022 | ) | ||||||||||||||
Underwriting income | $ | 9,550 | $ | 86,364 | 95,914 | $ | 16,788 | $ | 91,978 | 108,766 | ||||||||||||||||
Corporate expenses | (36,172 | ) | (28,707 | ) | ||||||||||||||||||||||
Net investment income | 92,110 | 82,744 | ||||||||||||||||||||||||
Net realized investment gains (losses) | (42,553 | ) | 10,620 | |||||||||||||||||||||||
Foreign exchange (losses) gains | 63,220 | (4,233 | ) | |||||||||||||||||||||||
Interest expense and financing costs | (12,257 | ) | (16,594 | ) | ||||||||||||||||||||||
Income before income taxes | $ | 160,262 | $ | 152,596 | ||||||||||||||||||||||
Net loss and loss expense ratio | 63.9 | % | 50.8 | % | 57.3 | % | 62.2 | % | 53.3 | % | 57.5 | % | ||||||||||||||
Acquisition cost ratio | 14.4 | % | 23.4 | % | 18.9 | % | 14.5 | % | 21.5 | % | 18.2 | % | ||||||||||||||
General and administrative expense ratio | 19.6 | % | 8.6 | % | 18.1 | % | 19.6 | % | 7.3 | % | 16.2 | % | ||||||||||||||
Combined ratio | 97.9 | % | 82.8 | % | 94.3 | % | 96.3 | % | 82.1 | % | 91.9 | % | ||||||||||||||
Goodwill and intangible assets | $ | 88,508 | $ | — | $ | 88,508 | $ | 90,350 | $ | — | $ | 90,350 | ||||||||||||||
INVESTMENTS
INVESTMENTS | 3 Months Ended | |||||||||||||||||||||||||
Mar. 31, 2015 | ||||||||||||||||||||||||||
Investments, Debt and Equity Securities [Abstract] | ||||||||||||||||||||||||||
INVESTMENTS | a) Fixed Maturities and Equities | |||||||||||||||||||||||||
The amortized cost or cost and fair values of our fixed maturities and equities were as follows: | ||||||||||||||||||||||||||
Amortized | Gross | Gross | Fair | Non-credit | ||||||||||||||||||||||
Cost or | Unrealized | Unrealized | Value | OTTI | ||||||||||||||||||||||
Cost | Gains | Losses | in AOCI(5) | |||||||||||||||||||||||
At March 31, 2015 | ||||||||||||||||||||||||||
Fixed maturities | ||||||||||||||||||||||||||
U.S. government and agency | $ | 1,490,502 | $ | 9,183 | $ | (5,528 | ) | $ | 1,494,157 | $ | — | |||||||||||||||
Non-U.S. government | 932,741 | 7,041 | (66,685 | ) | 873,097 | — | ||||||||||||||||||||
Corporate debt | 4,549,974 | 58,133 | (73,829 | ) | 4,534,278 | — | ||||||||||||||||||||
Agency RMBS(1) | 2,150,598 | 51,061 | (1,416 | ) | 2,200,243 | — | ||||||||||||||||||||
CMBS(2) | 1,111,327 | 21,219 | (1,223 | ) | 1,131,323 | — | ||||||||||||||||||||
Non-Agency RMBS | 77,185 | 2,560 | (1,744 | ) | 78,001 | (865 | ) | |||||||||||||||||||
ABS(3) | 1,500,493 | 3,438 | (8,102 | ) | 1,495,829 | — | ||||||||||||||||||||
Municipals(4) | 199,813 | 6,649 | (496 | ) | 205,966 | — | ||||||||||||||||||||
Total fixed maturities | $ | 12,012,633 | $ | 159,284 | $ | (159,023 | ) | $ | 12,012,894 | $ | (865 | ) | ||||||||||||||
Equity securities | ||||||||||||||||||||||||||
Exchange-traded funds | 453,978 | 46,224 | (2,155 | ) | 498,047 | |||||||||||||||||||||
Non-U.S. bond mutual funds | 118,339 | — | (15,057 | ) | 103,282 | |||||||||||||||||||||
Total equity securities | $ | 572,317 | $ | 46,224 | $ | (17,212 | ) | $ | 601,329 | |||||||||||||||||
At December 31, 2014 | ||||||||||||||||||||||||||
Fixed maturities | ||||||||||||||||||||||||||
U.S. government and agency | $ | 1,645,068 | $ | 3,337 | $ | (28,328 | ) | $ | 1,620,077 | $ | — | |||||||||||||||
Non-U.S. government | 1,080,601 | 7,383 | (54,441 | ) | 1,033,543 | — | ||||||||||||||||||||
Corporate debt | 4,386,432 | 40,972 | (66,280 | ) | 4,361,124 | — | ||||||||||||||||||||
Agency RMBS(1) | 2,241,581 | 40,762 | (4,235 | ) | 2,278,108 | — | ||||||||||||||||||||
CMBS(2) | 1,085,618 | 13,289 | (2,019 | ) | 1,096,888 | — | ||||||||||||||||||||
Non-Agency RMBS | 71,236 | 2,765 | (915 | ) | 73,086 | (889 | ) | |||||||||||||||||||
ABS(3) | 1,475,026 | 2,748 | (16,188 | ) | 1,461,586 | — | ||||||||||||||||||||
Municipals(4) | 200,411 | 5,282 | (832 | ) | 204,861 | — | ||||||||||||||||||||
Total fixed maturities | $ | 12,185,973 | $ | 116,538 | $ | (173,238 | ) | $ | 12,129,273 | $ | (889 | ) | ||||||||||||||
Equity securities | ||||||||||||||||||||||||||
Exchange-traded funds | 416,063 | 43,583 | (4,756 | ) | 454,890 | |||||||||||||||||||||
Non-U.S. bond mutual funds | 115,585 | — | (2,768 | ) | 112,817 | |||||||||||||||||||||
Total equity securities | $ | 531,648 | $ | 43,583 | $ | (7,524 | ) | $ | 567,707 | |||||||||||||||||
-1 | Residential mortgage-backed securities (RMBS) originated by U.S. agencies. | |||||||||||||||||||||||||
-2 | Commercial mortgage-backed securities (CMBS). | |||||||||||||||||||||||||
-3 | Asset-backed securities (ABS) include debt tranched securities collateralized primarily by auto loans, student loans, credit cards, and other asset types. This asset class also includes collateralized loan obligations (CLOs) and collateralized debt obligations (CDOs). | |||||||||||||||||||||||||
-4 | Municipals include bonds issued by states, municipalities and political subdivisions. | |||||||||||||||||||||||||
-5 | Represents the non-credit component of the other-than-temporary impairment (OTTI) losses, adjusted for subsequent sales of securities. It does not include the change in fair value subsequent to the impairment measurement date. | |||||||||||||||||||||||||
In the normal course of investing activities, we actively manage allocations to non-controlling tranches of structured securities (variable interests) issued by VIEs. These structured securities include RMBS, CMBS and ABS and are included in the above table. Additionally, within our other investments portfolio, we also invest in limited partnerships (hedge funds) and CLO equity tranched securities, which are all variable interests issued by VIEs (see Note 3(b)). For these variable interests, we do not have the power to direct the activities that are most significant to the economic performance of the VIEs and accordingly we are not the primary beneficiary for any of these VIEs. Our maximum exposure to loss on these interests is limited to the amount of our investment. We have not provided financial or other support with respect to these structured securities other than our original investment. | ||||||||||||||||||||||||||
Contractual Maturities | ||||||||||||||||||||||||||
The contractual maturities of fixed maturities are shown below. Expected maturities may differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment penalties. | ||||||||||||||||||||||||||
Amortized | Fair | % of Total | ||||||||||||||||||||||||
Cost | Value | Fair Value | ||||||||||||||||||||||||
At March 31, 2015 | ||||||||||||||||||||||||||
Maturity | ||||||||||||||||||||||||||
Due in one year or less | $ | 508,448 | $ | 503,179 | 4.2 | % | ||||||||||||||||||||
Due after one year through five years | 4,387,194 | 4,349,800 | 36.2 | % | ||||||||||||||||||||||
Due after five years through ten years | 2,042,045 | 2,016,713 | 16.8 | % | ||||||||||||||||||||||
Due after ten years | 235,343 | 237,806 | 2 | % | ||||||||||||||||||||||
7,173,030 | 7,107,498 | 59.2 | % | |||||||||||||||||||||||
Agency RMBS | 2,150,598 | 2,200,243 | 18.3 | % | ||||||||||||||||||||||
CMBS | 1,111,327 | 1,131,323 | 9.4 | % | ||||||||||||||||||||||
Non-Agency RMBS | 77,185 | 78,001 | 0.6 | % | ||||||||||||||||||||||
ABS | 1,500,493 | 1,495,829 | 12.5 | % | ||||||||||||||||||||||
Total | $ | 12,012,633 | $ | 12,012,894 | 100 | % | ||||||||||||||||||||
At December 31, 2014 | ||||||||||||||||||||||||||
Maturity | ||||||||||||||||||||||||||
Due in one year or less | $ | 424,077 | $ | 423,265 | 3.5 | % | ||||||||||||||||||||
Due after one year through five years | 4,925,780 | 4,892,411 | 40.3 | % | ||||||||||||||||||||||
Due after five years through ten years | 1,755,248 | 1,695,641 | 14 | % | ||||||||||||||||||||||
Due after ten years | 207,407 | 208,288 | 1.7 | % | ||||||||||||||||||||||
7,312,512 | 7,219,605 | 59.5 | % | |||||||||||||||||||||||
Agency RMBS | 2,241,581 | 2,278,108 | 18.8 | % | ||||||||||||||||||||||
CMBS | 1,085,618 | 1,096,888 | 9 | % | ||||||||||||||||||||||
Non-Agency RMBS | 71,236 | 73,086 | 0.6 | % | ||||||||||||||||||||||
ABS | 1,475,026 | 1,461,586 | 12.1 | % | ||||||||||||||||||||||
Total | $ | 12,185,973 | $ | 12,129,273 | 100 | % | ||||||||||||||||||||
Gross Unrealized Losses | ||||||||||||||||||||||||||
The following table summarizes fixed maturities and equities in an unrealized loss position and the aggregate fair value and gross unrealized loss by length of time the security has continuously been in an unrealized loss position: | ||||||||||||||||||||||||||
12 months or greater | Less than 12 months | Total | ||||||||||||||||||||||||
Fair | Unrealized | Fair | Unrealized | Fair | Unrealized | |||||||||||||||||||||
Value | Losses | Value | Losses | Value | Losses | |||||||||||||||||||||
At March 31, 2015 | ||||||||||||||||||||||||||
Fixed maturities | ||||||||||||||||||||||||||
U.S. government and agency | $ | 94,248 | $ | (4,525 | ) | $ | 329,487 | $ | (1,003 | ) | $ | 423,735 | $ | (5,528 | ) | |||||||||||
Non-U.S. government | 112,581 | (31,924 | ) | 349,284 | (34,761 | ) | 461,865 | (66,685 | ) | |||||||||||||||||
Corporate debt | 53,901 | (5,679 | ) | 1,263,181 | (68,150 | ) | 1,317,082 | (73,829 | ) | |||||||||||||||||
Agency RMBS | 55,492 | (748 | ) | 208,699 | (668 | ) | 264,191 | (1,416 | ) | |||||||||||||||||
CMBS | 54,293 | (719 | ) | 145,716 | (504 | ) | 200,009 | (1,223 | ) | |||||||||||||||||
Non-Agency RMBS | 5,685 | (762 | ) | 17,917 | (982 | ) | 23,602 | (1,744 | ) | |||||||||||||||||
ABS | 449,335 | (6,367 | ) | 544,239 | (1,735 | ) | 993,574 | (8,102 | ) | |||||||||||||||||
Municipals | 14,528 | (139 | ) | 16,297 | (357 | ) | 30,825 | (496 | ) | |||||||||||||||||
Total fixed maturities | $ | 840,063 | $ | (50,863 | ) | $ | 2,874,820 | $ | (108,160 | ) | $ | 3,714,883 | $ | (159,023 | ) | |||||||||||
Equity securities | ||||||||||||||||||||||||||
Exchange-traded funds | — | — | 80,230 | (2,155 | ) | 80,230 | (2,155 | ) | ||||||||||||||||||
Non-U.S. bond mutual funds | — | — | 103,282 | (15,057 | ) | 103,282 | (15,057 | ) | ||||||||||||||||||
Total equity securities | $ | — | $ | — | $ | 183,512 | $ | (17,212 | ) | $ | 183,512 | $ | (17,212 | ) | ||||||||||||
At December 31, 2014 | ||||||||||||||||||||||||||
Fixed maturities | ||||||||||||||||||||||||||
U.S. government and agency | $ | 388,551 | $ | (24,319 | ) | $ | 786,850 | $ | (4,009 | ) | $ | 1,175,401 | $ | (28,328 | ) | |||||||||||
Non-U.S. government | 143,602 | (29,171 | ) | 435,670 | (25,270 | ) | 579,272 | (54,441 | ) | |||||||||||||||||
Corporate debt | 26,708 | (2,221 | ) | 2,199,672 | (64,059 | ) | 2,226,380 | (66,280 | ) | |||||||||||||||||
Agency RMBS | 259,914 | (3,084 | ) | 333,288 | (1,151 | ) | 593,202 | (4,235 | ) | |||||||||||||||||
CMBS | 68,624 | (925 | ) | 256,225 | (1,094 | ) | 324,849 | (2,019 | ) | |||||||||||||||||
Non-Agency RMBS | 6,689 | (613 | ) | 13,442 | (302 | ) | 20,131 | (915 | ) | |||||||||||||||||
ABS | 425,663 | (10,325 | ) | 750,679 | (5,863 | ) | 1,176,342 | (16,188 | ) | |||||||||||||||||
Municipals | 34,462 | (644 | ) | 25,284 | (188 | ) | 59,746 | (832 | ) | |||||||||||||||||
Total fixed maturities | $ | 1,354,213 | $ | (71,302 | ) | $ | 4,801,110 | $ | (101,936 | ) | $ | 6,155,323 | $ | (173,238 | ) | |||||||||||
Equity securities | ||||||||||||||||||||||||||
Exchange-traded funds | — | — | 91,275 | (4,756 | ) | 91,275 | (4,756 | ) | ||||||||||||||||||
Non-U.S. bond mutual funds | — | — | 112,817 | (2,768 | ) | 112,817 | (2,768 | ) | ||||||||||||||||||
Total equity securities | $ | — | $ | — | $ | 204,092 | $ | (7,524 | ) | $ | 204,092 | $ | (7,524 | ) | ||||||||||||
Fixed Maturities | ||||||||||||||||||||||||||
At March 31, 2015, 1,004 fixed maturities (2014: 1,388) were in an unrealized loss position of $159 million (2014: $173 million), of which $17 million (2014: $36 million) was related to securities below investment grade or not rated. | ||||||||||||||||||||||||||
At March 31, 2015, 180 (2014: 223) securities had been in a continuous unrealized loss position for 12 months or greater and had a fair value of $840 million (2014: $1,354 million). Following our credit impairment review, we concluded that these securities as well as the remaining securities in an unrealized loss position in the above table were temporarily impaired at March 31, 2015, and were expected to recover in value as the securities approach maturity. Further, at March 31, 2015, we did not intend to sell these securities in an unrealized loss position and it is more likely than not that we will not be required to sell these securities before the anticipated recovery of their amortized costs. | ||||||||||||||||||||||||||
Equity Securities | ||||||||||||||||||||||||||
At March 31, 2015, 8 securities (2014: 9) were in an unrealized loss position of $17 million (2014: $8 million). | ||||||||||||||||||||||||||
At March 31, 2015 and December 31, 2014, there were no securities that had been in a continuous unrealized loss position for 12 months or greater. Based on our impairment review process and our ability and intent to hold these securities for a reasonable period of time sufficient for a full recovery, we concluded that the above equities in an unrealized loss position were temporarily impaired at March 31, 2015. | ||||||||||||||||||||||||||
b) Other Investments | ||||||||||||||||||||||||||
The following table provides a breakdown of our investments in hedge funds, direct lending funds and CLO Equities, together with additional information relating to the liquidity of each category: | ||||||||||||||||||||||||||
Fair Value | Redemption Frequency | Redemption | ||||||||||||||||||||||||
(if currently eligible) | Notice Period | |||||||||||||||||||||||||
At March 31, 2015 | ||||||||||||||||||||||||||
Long/short equity funds | $ | 242,096 | 26 | % | Quarterly, Semi-annually | 30-60 days | ||||||||||||||||||||
Multi-strategy funds | 336,342 | 36 | % | Quarterly, Semi-annually | 60-95 days | |||||||||||||||||||||
Event-driven funds | 189,212 | 20 | % | Quarterly, Annually | 45-60 days | |||||||||||||||||||||
Leveraged bank loan funds | 9,616 | 1 | % | Quarterly | 65 days | |||||||||||||||||||||
Direct lending funds | 69,682 | 7 | % | n/a | n/a | |||||||||||||||||||||
CLO - Equities | 92,058 | 10 | % | n/a | n/a | |||||||||||||||||||||
Total other investments | $ | 939,006 | 100 | % | ||||||||||||||||||||||
At December 31, 2014 | ||||||||||||||||||||||||||
Long/short equity funds | $ | 298,907 | 31 | % | Quarterly, Semi-annually | 30-60 days | ||||||||||||||||||||
Multi-strategy funds | 324,020 | 34 | % | Quarterly, Semi-annually | 60-95 days | |||||||||||||||||||||
Event-driven funds | 185,899 | 19 | % | Quarterly, Annually | 45-60 days | |||||||||||||||||||||
Leveraged bank loan funds | 9,713 | 1 | % | Quarterly | 65 days | |||||||||||||||||||||
Direct lending funds | 54,438 | 6 | % | n/a | n/a | |||||||||||||||||||||
CLO - Equities | 92,488 | 9 | % | n/a | n/a | |||||||||||||||||||||
Total other investments | $ | 965,465 | 100 | % | ||||||||||||||||||||||
n/a - not applicable | ||||||||||||||||||||||||||
The investment strategies for the above funds are as follows: | ||||||||||||||||||||||||||
• | Long/short equity funds: Seek to achieve attractive returns primarily by executing an equity trading strategy involving both long and short investments in publicly-traded equities. | |||||||||||||||||||||||||
• | Multi-strategy funds: Seek to achieve above-market returns by pursuing multiple investment strategies to diversify risks and reduce volatility. This category includes funds of hedge funds which invest in a large pool of hedge funds across a diversified range of hedge fund strategies. | |||||||||||||||||||||||||
• | Event-driven funds: Seek to achieve attractive returns by exploiting situations where announced or anticipated events create opportunities. | |||||||||||||||||||||||||
• | Leveraged bank loan funds: Seek to achieve attractive returns by investing primarily in bank loan collateral that has limited interest rate risk exposure. | |||||||||||||||||||||||||
• | Direct lending funds: Seek to achieve attractive risk-adjusted returns, including current income generation, by investing in funds which provide financing directly to borrowers. | |||||||||||||||||||||||||
Two common redemption restrictions which may impact our ability to redeem our hedge funds are gates and lockups. A gate is a suspension of redemptions which may be implemented by the general partner or investment manager of the fund in order to defer, in whole or in part, the redemption request in the event the aggregate amount of redemption requests exceeds a predetermined percentage of the fund's net assets which may otherwise hinder the general partner or investment manager's ability to liquidate holdings in an orderly fashion in order to generate the cash necessary to fund extraordinarily large redemption payouts. A lockup period is the initial amount of time an investor is contractually required to hold the security before having the ability to redeem. During 2015 and 2014, neither of these restrictions impacted our redemption requests. At March 31, 2015, $95 million (2014: $87 million), representing 12% (2014: 11%) of our total hedge funds, relate to holdings where we are still within the lockup period. The expiration of these lockup periods range from June 2015 to March 2016. | ||||||||||||||||||||||||||
At March 31, 2015, $6 million (2014: $6 million) was invested in hedge funds that are not accepting redemption requests. Of this amount, substantially all relates to a leveraged bank loan fund in a period of planned principal distributions. Based on market conditions and payments made to date, management's current expectation is that the distribution process will be completed in 2015. | ||||||||||||||||||||||||||
At March 31, 2015, we have $72 million (2014: $88 million) of unfunded commitments within our other investments portfolio relating to our future investments in direct lending funds. Once the full amount of committed capital has been called by the General Partner of each of these funds, the assets will not be fully returned until the completion of the fund's investment term. These funds have investment terms ranging from 5-10 years and the General Partners of certain funds have the option to extend the term by up to three years. | ||||||||||||||||||||||||||
During 2013, we made a $60 million commitment as a limited partner in a multi-strategy hedge fund. Once the full amount of committed capital has been called by the General Partner, the assets will not be fully returned until the completion of the fund's investment term which ends in December, 2018. The General Partner then has the option to extend the term by up to three years. At March 31, 2015, $29 million of our commitment remains unfunded and the current fair value of the funds called to date are included in the multi-strategy funds line of the table above. | ||||||||||||||||||||||||||
During 2015, we made a $100 million commitment as a limited partner in a fund which invests in real estate and real estate securities and businesses. The fund is subject to a 3 year commitment period and a total fund life of 8 years during which time we are not eligible to redeem our investment. At March 31, 2015 our commitment remains unfunded. | ||||||||||||||||||||||||||
c) Net Investment Income | ||||||||||||||||||||||||||
Net investment income was derived from the following sources: | ||||||||||||||||||||||||||
Three months ended March 31, | ||||||||||||||||||||||||||
2015 | 2014 | |||||||||||||||||||||||||
Fixed maturities | $ | 66,101 | $ | 72,957 | ||||||||||||||||||||||
Other investments | 30,935 | 16,760 | ||||||||||||||||||||||||
Equity securities | 1,676 | 2,286 | ||||||||||||||||||||||||
Cash and cash equivalents | 1,102 | 863 | ||||||||||||||||||||||||
Short-term investments | 69 | 214 | ||||||||||||||||||||||||
Gross investment income | 99,883 | 93,080 | ||||||||||||||||||||||||
Investment expenses | (7,773 | ) | (10,336 | ) | ||||||||||||||||||||||
Net investment income | $ | 92,110 | $ | 82,744 | ||||||||||||||||||||||
d) Net Realized Investment Gains (Losses) | ||||||||||||||||||||||||||
The following table provides an analysis of net realized investment gains (losses): | ||||||||||||||||||||||||||
Three months ended March 31, | ||||||||||||||||||||||||||
2015 | 2014 | |||||||||||||||||||||||||
Gross realized gains | ||||||||||||||||||||||||||
Fixed maturities and short-term investments | $ | 15,661 | $ | 33,770 | ||||||||||||||||||||||
Equities | 38 | 19,267 | ||||||||||||||||||||||||
Gross realized gains | 15,699 | 53,037 | ||||||||||||||||||||||||
Gross realized losses | ||||||||||||||||||||||||||
Fixed maturities and short-term investments | (43,091 | ) | (33,704 | ) | ||||||||||||||||||||||
Equities | (124 | ) | (2,438 | ) | ||||||||||||||||||||||
Gross realized losses | (43,215 | ) | (36,142 | ) | ||||||||||||||||||||||
Net OTTI recognized in earnings | (17,568 | ) | (786 | ) | ||||||||||||||||||||||
Change in fair value of investment derivatives(1) | 2,531 | (5,489 | ) | |||||||||||||||||||||||
Net realized investment gains (losses) | $ | (42,553 | ) | $ | 10,620 | |||||||||||||||||||||
(1) Refer to Note 5 – Derivative Instruments | ||||||||||||||||||||||||||
The following table summarizes the OTTI recognized in earnings by asset class: | ||||||||||||||||||||||||||
Three months ended March 31, | ||||||||||||||||||||||||||
2015 | 2014 | |||||||||||||||||||||||||
Fixed maturities: | ||||||||||||||||||||||||||
Non-U.S. government | $ | 1,422 | $ | 38 | ||||||||||||||||||||||
Corporate debt | 16,120 | 15 | ||||||||||||||||||||||||
Non-Agency RMBS | 4 | — | ||||||||||||||||||||||||
ABS | 22 | 56 | ||||||||||||||||||||||||
17,568 | 109 | |||||||||||||||||||||||||
Equity Securities | ||||||||||||||||||||||||||
Common stocks | — | 677 | ||||||||||||||||||||||||
— | 677 | |||||||||||||||||||||||||
Total OTTI recognized in earnings | $ | 17,568 | $ | 786 | ||||||||||||||||||||||
The following table provides a roll forward of the credit losses, before income taxes, for which a portion of the OTTI was recognized in AOCI: | ||||||||||||||||||||||||||
Three months ended March 31, | ||||||||||||||||||||||||||
2015 | 2014 | |||||||||||||||||||||||||
Balance at beginning of period | $ | 1,531 | $ | 1,594 | ||||||||||||||||||||||
Credit impairments recognized on securities not previously impaired | — | — | ||||||||||||||||||||||||
Additional credit impairments recognized on securities previously impaired | 10 | — | ||||||||||||||||||||||||
Change in timing of future cash flows on securities previously impaired | — | — | ||||||||||||||||||||||||
Intent to sell of securities previously impaired | — | — | ||||||||||||||||||||||||
Securities sold/redeemed/matured | — | (4 | ) | |||||||||||||||||||||||
Balance at end of period | $ | 1,541 | $ | 1,590 | ||||||||||||||||||||||
e) Reverse Repurchase Agreements | ||||||||||||||||||||||||||
At March 31, 2015, we held $123 million (2014: $110 million) of reverse repurchase agreements. These loans are fully collateralized, are generally outstanding for a short period of time and are presented on a gross basis as part of cash and cash equivalents on our consolidated balance sheet. The required collateral for these loans is either cash or U.S. Treasuries at a minimum rate of 102% of the loan principal. Upon maturity, we receive principal and interest income. |
FAIR_VALUE_MEASUREMENTS
FAIR VALUE MEASUREMENTS | 3 Months Ended | |||||||||||||||||||||||||||||||||||||||||
Mar. 31, 2015 | ||||||||||||||||||||||||||||||||||||||||||
Fair Value Disclosures [Abstract] | ||||||||||||||||||||||||||||||||||||||||||
FAIR VALUE MEASUREMENTS | Fair Value Hierarchy | |||||||||||||||||||||||||||||||||||||||||
Fair value is defined as the price to sell an asset or transfer a liability (i.e. the “exit price”) in an orderly transaction between market participants. We use a fair value hierarchy that gives the highest priority to quoted prices in active markets and the lowest priority to unobservable data. The hierarchy is broken down into three levels as follows: | ||||||||||||||||||||||||||||||||||||||||||
• | Level 1 - Valuations based on unadjusted quoted prices in active markets for identical assets or liabilities that we have the ability to access. | |||||||||||||||||||||||||||||||||||||||||
• | Level 2 - Valuations based on quoted prices in active markets for similar assets or liabilities, quoted prices for identical assets or liabilities in inactive markets, or for which significant inputs are observable (e.g. interest rates, yield curves, prepayment speeds, default rates, loss severities, etc.) or can be corroborated by observable market data. | |||||||||||||||||||||||||||||||||||||||||
• | Level 3 - Valuations based on inputs that are unobservable and significant to the overall fair value measurement. The unobservable inputs reflect our own judgments about assumptions that market participants might use. | |||||||||||||||||||||||||||||||||||||||||
The availability of observable inputs can vary from financial instrument to financial instrument and is affected by a wide variety of factors including, for example, the type of financial instrument, whether the financial instrument 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 significantly more judgment. | ||||||||||||||||||||||||||||||||||||||||||
Accordingly, the degree of judgment exercised by management in determining fair value is greatest for instruments categorized in Level 3. In periods of market dislocation, the observability of prices and inputs may be reduced for many instruments. This may lead us to change the selection of our valuation technique (from market to cash flow approach) or may cause us to use multiple valuation techniques to estimate the fair value of a financial instrument. This circumstance could cause an instrument to be reclassified between levels within the fair value hierarchy. | ||||||||||||||||||||||||||||||||||||||||||
We used the following valuation techniques and assumptions in estimating the fair value of our financial instruments as well as the general classification of such financial instruments pursuant to the above fair value hierarchy. | ||||||||||||||||||||||||||||||||||||||||||
Fixed Maturities | ||||||||||||||||||||||||||||||||||||||||||
At each valuation date, we use the market approach valuation technique to estimate the fair value of our fixed maturities portfolio, when possible. This market approach includes, but is not limited to, prices obtained from third party pricing services for identical or comparable securities and the use of “pricing matrix models” using observable market inputs such as yield curves, credit risks and spreads, measures of volatility, and prepayment speeds. Pricing from third party pricing services is sourced from multiple vendors, when available, and we maintain a vendor hierarchy by asset type based on historical pricing experience and vendor expertise. When prices are unavailable from pricing services, we obtain non-binding quotes from broker-dealers who are active in the corresponding markets. | ||||||||||||||||||||||||||||||||||||||||||
The following describes the significant inputs generally used to determine the fair value of our fixed maturities by asset class. | ||||||||||||||||||||||||||||||||||||||||||
U.S. government and agency | ||||||||||||||||||||||||||||||||||||||||||
U.S. government and agency securities consist primarily of bonds issued by the U.S. Treasury and mortgage pass-through agencies such as the Federal National Mortgage Association, the Federal Home Loan Mortgage Corporation and the Government National Mortgage Association. As the fair values of our U.S. Treasury securities are based on unadjusted market prices in active markets, they are classified within Level 1. The fair values of U.S. government agency securities are priced using the spread above the risk-free yield curve. As the yields for the risk-free yield curve and the spreads for these securities are observable market inputs, the fair values of U.S. government agency securities are classified within Level 2. | ||||||||||||||||||||||||||||||||||||||||||
Non-U.S. government | ||||||||||||||||||||||||||||||||||||||||||
Non-U.S. government securities comprise bonds issued by non-U.S. governments and their agencies along with supranational organizations (collectively also known as sovereign debt securities). The fair value of these securities is based on prices obtained from international indices or a valuation model that includes the following inputs: interest rate yield curves, cross-currency basis index spreads, and country credit spreads for structures similar to the sovereign bond in terms of issuer, maturity and seniority. As the significant inputs are observable market inputs, the fair value of non-U.S. government securities are classified within Level 2. | ||||||||||||||||||||||||||||||||||||||||||
Corporate debt | ||||||||||||||||||||||||||||||||||||||||||
Corporate debt securities consist primarily of investment-grade debt of a wide variety of corporate issuers and industries. The fair values of these securities are generally determined using the spread above the risk-free yield curve. These spreads are generally obtained from the new issue market, secondary trading and broker-dealer quotes. As these spreads and the yields for the risk-free yield curve are observable market inputs, the fair values of our corporate debt securities are classified within Level 2. Where pricing is unavailable from pricing services, we obtain non-binding quotes from broker-dealers to estimate fair value. This is generally the case when there is a low volume of trading activity and current transactions are not orderly. In this event, securities are classified within Level 3. | ||||||||||||||||||||||||||||||||||||||||||
MBS | ||||||||||||||||||||||||||||||||||||||||||
Our portfolio of RMBS and CMBS are originated by both agencies and non-agencies. The fair values of these securities are determined through the use of a pricing model (including Option Adjusted Spread) which uses prepayment speeds and spreads to determine the appropriate average life of the MBS. These spreads are generally obtained from the new issue market, secondary trading and broker-dealer quotes. As the significant inputs used to price MBS are observable market inputs, the fair values of the MBS are classified within Level 2. Where pricing is unavailable from pricing services, we obtain non-binding quotes from broker-dealers to estimate fair value. This is generally the case when there is a low volume of trading activity and current transactions are not orderly. These securities are classified within Level 3. | ||||||||||||||||||||||||||||||||||||||||||
ABS | ||||||||||||||||||||||||||||||||||||||||||
ABS include mostly investment-grade bonds backed by pools of loans with a variety of underlying collateral, including automobile loan receivables, student loans, credit card receivables, and CLO Debt originated by a variety of financial institutions. Similarly to MBS, the fair values of ABS are priced through the use of a model which uses prepayment speeds and spreads sourced primarily from the new issue market. As the significant inputs used to price ABS are observable market inputs, the fair values of ABS are classified within Level 2. Where pricing is unavailable from pricing services, we obtain non-binding quotes from broker-dealers. These securities are classified within Level 3. | ||||||||||||||||||||||||||||||||||||||||||
Municipals | ||||||||||||||||||||||||||||||||||||||||||
Our municipal portfolio comprises revenue and general obligation bonds issued by U.S. domiciled state and municipal entities. The fair value of these securities is determined using spreads obtained from broker-dealers, trade prices and the new issue market. As the significant inputs used to price the municipals are observable market inputs, municipals are classified within Level 2. | ||||||||||||||||||||||||||||||||||||||||||
Equity Securities | ||||||||||||||||||||||||||||||||||||||||||
Equity securities include exchange-traded funds and non-U.S. bond mutual funds. For exchange-traded funds, we classified these within Level 1 as their fair values are based on unadjusted quoted market prices in active markets. Our investments in non-U.S. bond mutual funds have daily liquidity, with redemption based on the net asset value ("NAV") of the funds. Accordingly, we have classified these investments as Level 2. | ||||||||||||||||||||||||||||||||||||||||||
Other Investments | ||||||||||||||||||||||||||||||||||||||||||
As a practical expedient, we estimate fair values for hedge funds, direct lending funds and the CLO fund using NAVs as advised by external fund managers or third party administrators. For each of these funds, the NAV is based on the manager's or administrator's valuation of the underlying holdings in accordance with the fund's governing documents and in accordance with U.S. GAAP. For any funds for which we have not yet received a NAV concurrent with our period end date, we record an estimate of the change in fair value for the period subsequent to the most recent NAV. Such estimates are based on return estimates for the period between the most recently issued NAV and the period end date; these estimates are obtained from the relevant fund managers. Accordingly, we do not typically have a reporting lag in our fair value measurements for these funds. Historically, our valuation estimates incorporating these return estimates have not significantly diverged from the subsequent NAVs. | ||||||||||||||||||||||||||||||||||||||||||
Within the hedge fund, direct lending fund and CLO fund industries, there is a general lack of transparency necessary to facilitate a detailed independent assessment of the values placed on the securities underlying the NAV provided by the fund manager or fund administrator. To address this, on a quarterly basis, we perform a number of monitoring procedures designed to assist us in the assessment of the quality of the information provided by managers and administrators. These procedures include, but are not limited to, regular review and discussion of each fund's performance with its manager, regular evaluation of fund performance against applicable benchmarks and the backtesting of our fair value estimates against subsequently received NAVs. Backtesting involves comparing our previously reported values for each individual fund against NAVs per audited financial statements (for year-end values) and final NAVs from fund managers and fund administrators (for interim values). | ||||||||||||||||||||||||||||||||||||||||||
For our hedge fund investments with liquidity terms allowing us to fully redeem our holdings at the applicable NAV in the near term, we have classified these investments as Level 2. Certain investments in hedge funds, all of our direct lending funds and our CLO fund have redemption restrictions (see Note 3(b) for further details) that prevent us from redeeming in the near term and therefore we have classified these investments as Level 3. | ||||||||||||||||||||||||||||||||||||||||||
At March 31, 2015, our direct investments in CLO - Equities were classified within Level 3 as we estimated the fair value for these securities using an income approach valuation technique (discounted cash flow model) due to the lack of observable and relevant trades in the secondary markets. | ||||||||||||||||||||||||||||||||||||||||||
Short-Term Investments | ||||||||||||||||||||||||||||||||||||||||||
Short-term investments primarily comprise highly liquid securities with maturities greater than three months but less than one year from the date of purchase. These securities are classified within Level 2 because these securities are typically not actively traded due to their approaching maturity and, as such, their amortized cost approximates fair value. | ||||||||||||||||||||||||||||||||||||||||||
Derivative Instruments | ||||||||||||||||||||||||||||||||||||||||||
Our foreign currency forward contracts and interest rate swaps are customized to our economic hedging strategies and trade in the over-the-counter derivative market. We use the market approach valuation technique to estimate the fair value for these derivatives based on significant observable market inputs from third party pricing vendors, non-binding broker-dealer quotes and/or recent trading activity. Accordingly, we classified these derivatives within Level 2. | ||||||||||||||||||||||||||||||||||||||||||
We also participate in non-exchange traded derivative-based risk management products addressing weather risks. We use observable market inputs and unobservable inputs in combination with industry or internally-developed valuation and forecasting techniques to determine fair value. We classify these instruments within Level 3. | ||||||||||||||||||||||||||||||||||||||||||
Insurance-linked Securities | ||||||||||||||||||||||||||||||||||||||||||
Insurance-linked securities comprise investment in a catastrophe bond. We obtain non-binding quotes from broker-dealers to estimate fair value. This is generally the case when there is a low volume of trading activity and current transactions are not orderly. These securities are classified within Level 3. | ||||||||||||||||||||||||||||||||||||||||||
Cash Settled Awards | ||||||||||||||||||||||||||||||||||||||||||
Cash settled awards comprise restricted stock units that form part of our compensation program. Although the fair value of these awards is determined using observable quoted market prices in active markets, the stock units themselves are not actively traded. Accordingly, we have classified these liabilities within Level 2. | ||||||||||||||||||||||||||||||||||||||||||
The table below presents the financial instruments measured at fair value on a recurring basis: | ||||||||||||||||||||||||||||||||||||||||||
Quoted Prices in | Significant | Significant | Total Fair | |||||||||||||||||||||||||||||||||||||||
Active Markets for | Other Observable | Unobservable | Value | |||||||||||||||||||||||||||||||||||||||
Identical Assets | Inputs | Inputs | ||||||||||||||||||||||||||||||||||||||||
(Level 1) | (Level 2) | (Level 3) | ||||||||||||||||||||||||||||||||||||||||
At March 31, 2015 | ||||||||||||||||||||||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||||||||||||||||||
Fixed maturities | ||||||||||||||||||||||||||||||||||||||||||
U.S. government and agency | $ | 1,400,810 | $ | 93,347 | $ | — | $ | 1,494,157 | ||||||||||||||||||||||||||||||||||
Non-U.S. government | — | 873,097 | — | 873,097 | ||||||||||||||||||||||||||||||||||||||
Corporate debt | — | 4,507,421 | 26,857 | 4,534,278 | ||||||||||||||||||||||||||||||||||||||
Agency RMBS | — | 2,200,243 | — | 2,200,243 | ||||||||||||||||||||||||||||||||||||||
CMBS | — | 1,114,262 | 17,061 | 1,131,323 | ||||||||||||||||||||||||||||||||||||||
Non-Agency RMBS | — | 78,001 | — | 78,001 | ||||||||||||||||||||||||||||||||||||||
ABS | — | 1,455,908 | 39,921 | 1,495,829 | ||||||||||||||||||||||||||||||||||||||
Municipals | — | 205,966 | — | 205,966 | ||||||||||||||||||||||||||||||||||||||
1,400,810 | 10,528,245 | 83,839 | 12,012,894 | |||||||||||||||||||||||||||||||||||||||
Equity securities | ||||||||||||||||||||||||||||||||||||||||||
Exchange-traded funds | 498,047 | — | — | 498,047 | ||||||||||||||||||||||||||||||||||||||
Non-U.S. bond mutual funds | — | 103,282 | — | 103,282 | ||||||||||||||||||||||||||||||||||||||
498,047 | 103,282 | — | 601,329 | |||||||||||||||||||||||||||||||||||||||
Other investments | ||||||||||||||||||||||||||||||||||||||||||
Hedge funds | — | 281,417 | 495,849 | 777,266 | ||||||||||||||||||||||||||||||||||||||
Direct lending funds | — | — | 69,682 | 69,682 | ||||||||||||||||||||||||||||||||||||||
CLO - Equities | — | — | 92,058 | 92,058 | ||||||||||||||||||||||||||||||||||||||
— | 281,417 | 657,589 | 939,006 | |||||||||||||||||||||||||||||||||||||||
Short-term investments | — | 38,373 | — | 38,373 | ||||||||||||||||||||||||||||||||||||||
Derivative instruments (see Note 5) | — | 4,250 | — | 4,250 | ||||||||||||||||||||||||||||||||||||||
Insurance-linked securities | — | — | 25,000 | 25,000 | ||||||||||||||||||||||||||||||||||||||
Total Assets | $ | 1,898,857 | $ | 10,955,567 | $ | 766,428 | $ | 13,620,852 | ||||||||||||||||||||||||||||||||||
Liabilities | ||||||||||||||||||||||||||||||||||||||||||
Derivative instruments (see Note 5) | $ | — | $ | 10,312 | $ | 7,308 | $ | 17,620 | ||||||||||||||||||||||||||||||||||
Cash settled awards (see Note 7) | — | 12,641 | — | 12,641 | ||||||||||||||||||||||||||||||||||||||
Total Liabilities | $ | — | $ | 22,953 | $ | 7,308 | $ | 30,261 | ||||||||||||||||||||||||||||||||||
At December 31, 2014 | ||||||||||||||||||||||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||||||||||||||||||
Fixed maturities | ||||||||||||||||||||||||||||||||||||||||||
U.S. government and agency | $ | 1,497,922 | $ | 122,155 | $ | — | $ | 1,620,077 | ||||||||||||||||||||||||||||||||||
Non-U.S. government | — | 1,033,543 | — | 1,033,543 | ||||||||||||||||||||||||||||||||||||||
Corporate debt | — | 4,345,287 | 15,837 | 4,361,124 | ||||||||||||||||||||||||||||||||||||||
Agency RMBS | — | 2,278,108 | — | 2,278,108 | ||||||||||||||||||||||||||||||||||||||
CMBS | — | 1,079,125 | 17,763 | 1,096,888 | ||||||||||||||||||||||||||||||||||||||
Non-Agency RMBS | — | 73,086 | — | 73,086 | ||||||||||||||||||||||||||||||||||||||
ABS | — | 1,421,555 | 40,031 | 1,461,586 | ||||||||||||||||||||||||||||||||||||||
Municipals | — | 204,861 | — | 204,861 | ||||||||||||||||||||||||||||||||||||||
1,497,922 | 10,557,720 | 73,631 | 12,129,273 | |||||||||||||||||||||||||||||||||||||||
Equity securities | ||||||||||||||||||||||||||||||||||||||||||
Exchange-traded funds | 454,890 | — | — | 454,890 | ||||||||||||||||||||||||||||||||||||||
Non-U.S. bond mutual funds | — | 112,817 | — | 112,817 | ||||||||||||||||||||||||||||||||||||||
454,890 | 112,817 | — | 567,707 | |||||||||||||||||||||||||||||||||||||||
Other investments | ||||||||||||||||||||||||||||||||||||||||||
Hedge funds | — | 347,621 | 470,918 | 818,539 | ||||||||||||||||||||||||||||||||||||||
Direct lending funds | — | — | 54,438 | 54,438 | ||||||||||||||||||||||||||||||||||||||
CLO - Equities | — | — | 92,488 | 92,488 | ||||||||||||||||||||||||||||||||||||||
— | 347,621 | 617,844 | 965,465 | |||||||||||||||||||||||||||||||||||||||
Short-term investments | — | 107,534 | — | 107,534 | ||||||||||||||||||||||||||||||||||||||
Derivative instruments (see Note 5) | — | 7,153 | 111 | 7,264 | ||||||||||||||||||||||||||||||||||||||
Insurance-linked securities | — | — | — | — | ||||||||||||||||||||||||||||||||||||||
Total Assets | $ | 1,952,812 | $ | 11,132,845 | $ | 691,586 | $ | 13,777,243 | ||||||||||||||||||||||||||||||||||
Liabilities | ||||||||||||||||||||||||||||||||||||||||||
Derivative instruments (see Note 5) | $ | — | $ | 3,041 | $ | 15,288 | $ | 18,329 | ||||||||||||||||||||||||||||||||||
Cash settled awards (see Note 7) | — | 20,518 | — | 20,518 | ||||||||||||||||||||||||||||||||||||||
Total Liabilities | $ | — | $ | 23,559 | $ | 15,288 | $ | 38,847 | ||||||||||||||||||||||||||||||||||
During 2015 and 2014, we had no transfers between Levels 1 and 2. | ||||||||||||||||||||||||||||||||||||||||||
Level 3 Fair Value Measurements | ||||||||||||||||||||||||||||||||||||||||||
Except for hedge funds, direct lending funds and our CLO fund priced using NAV as a practical expedient and certain fixed maturities and insurance-linked securities priced using broker-dealer quotes (underlying inputs are not available), the following table quantifies the significant unobservable inputs we have used in estimating fair value at March 31, 2015 for our investments classified as Level 3 in the fair value hierarchy. These significant unobservable inputs have not changed significantly from December 31, 2014. | ||||||||||||||||||||||||||||||||||||||||||
Fair Value | Valuation Technique | Unobservable Input | Range | Weighted | ||||||||||||||||||||||||||||||||||||||
Average | ||||||||||||||||||||||||||||||||||||||||||
Other investments - CLO - Equities | $ | 36,960 | Discounted cash flow | Default rates | 4.0% - 5.0% | 4.30% | ||||||||||||||||||||||||||||||||||||
Loss severity rate | 53.50% | 53.50% | ||||||||||||||||||||||||||||||||||||||||
Collateral spreads | 3.0% - 3.5% | 3.30% | ||||||||||||||||||||||||||||||||||||||||
Estimated maturity dates | 2.9 - 4.1 years | 3.6 years | ||||||||||||||||||||||||||||||||||||||||
Derivatives - Weather derivatives, net | $ | (7,308 | ) | Simulation model | Weather curve | 632 - 2161(1) | n/a (2) | |||||||||||||||||||||||||||||||||||
Weather standard deviation | 59 - 250(1) | n/a (2) | ||||||||||||||||||||||||||||||||||||||||
(1) Measured in Heating Degree Days ("HDD") which is the number of degrees the daily temperature is below a reference temperature. The cumulative HDD for the duration of the derivatives contract is compared to the strike value to determine the necessary settlement. | ||||||||||||||||||||||||||||||||||||||||||
-2 | Due to the diversity of the portfolio, the range of unobservable inputs can be widespread; therefore, presentation of a weighted average is not useful. Weather parameters may include various temperature and/or precipitation measures that will naturally vary by geographic location of each counterparty's operations. | |||||||||||||||||||||||||||||||||||||||||
The CLO - Equities market continues to be mostly inactive with only a small number of transactions being observed in the market and fewer still involving transactions in our CLO - Equities. Accordingly, we continue to rely on the use of our internal discounted cash flow model (income approach) to estimate fair value of our direct investments in CLO - Equities. Of the significant inputs into this model, the default and loss severity rates are the most judgmental unobservable market inputs to which the valuation of CLO - Equities is most sensitive. A significant increase (decrease) in either of these significant inputs in isolation would result in lower (higher) fair value estimates for direct investments in our CLO - Equities and, in general, a change in default rate assumptions will be accompanied by a directionally similar change in loss severity rate assumptions. Collateral spreads and estimated maturity dates are less judgmental inputs as they are based on the historical average of actual spreads and the weighted average life of the current underlying portfolios, respectively. A significant increase (decrease) in either of these significant inputs in isolation would result in higher (lower) fair value estimates for direct investments in our CLO - Equities. In general, these inputs have no significant interrelationship with each other or with default and loss severity rates. | ||||||||||||||||||||||||||||||||||||||||||
On a quarterly basis, our valuation processes for CLO - Equities includes a review of the underlying cash flows and key assumptions used in the discounted cash flow model. We review and update the above significant unobservable inputs based on information obtained from secondary markets, including from the managers of the CLOs we hold. These inputs are the responsibility of management and, in order to ensure fair value measurement is applied consistently and in accordance with U.S. GAAP, we update our assumptions through regular communication with industry participants and ongoing monitoring of the deals in which we participate (e.g. default and loss severity rate trends), we maintain a current understanding of the market conditions, historical results, as well as emerging trends that may impact future cash flows. By maintaining this current understanding, we are able to assess the reasonableness of the inputs we ultimately use in our model. | ||||||||||||||||||||||||||||||||||||||||||
Weather derivatives relate to non-exchange traded risk management products addressing weather risks. We use observable market inputs and unobservable inputs in combination with industry or internally-developed simulation models to determine fair value; these models may reference market price information for similar instruments. The pricing models are internally reviewed by Risk Management personnel prior to implementation and are reviewed periodically thereafter. | ||||||||||||||||||||||||||||||||||||||||||
Observable and unobservable inputs to these models vary by contract type and would typically include the following: | ||||||||||||||||||||||||||||||||||||||||||
• | Observable inputs: market prices for similar instruments, notional, option strike, term to expiry, contractual limits; | |||||||||||||||||||||||||||||||||||||||||
• | Unobservable inputs: correlation; and | |||||||||||||||||||||||||||||||||||||||||
• | Both observable and unobservable inputs: weather curves, weather standard deviation. | |||||||||||||||||||||||||||||||||||||||||
In general, weather curves are the most significant contributing input to fair value determination; changes in this variable can result in higher or lower fair value depending on the underlying position. In addition, changes in any or all of the unobservable inputs identified above may contribute positively or negatively to overall portfolio value. The correlation input will quantify the interrelationship, if any, amongst the other variables. | ||||||||||||||||||||||||||||||||||||||||||
The following tables present changes in Level 3 for financial instruments measured at fair value on a recurring basis for the periods indicated: | ||||||||||||||||||||||||||||||||||||||||||
Opening | Transfers | Transfers | Included in | Included | Purchases | Sales | Settlements/ | Closing | Change in | |||||||||||||||||||||||||||||||||
Balance | into | out of | earnings (1) | in OCI (2) | Distributions | Balance | unrealized | |||||||||||||||||||||||||||||||||||
Level 3 | Level 3 | investment | ||||||||||||||||||||||||||||||||||||||||
gain/(loss) (3) | ||||||||||||||||||||||||||||||||||||||||||
Three months ended March 31, 2015 | ||||||||||||||||||||||||||||||||||||||||||
Fixed maturities | ||||||||||||||||||||||||||||||||||||||||||
Corporate debt | $ | 15,837 | $ | — | $ | — | $ | — | $ | 180 | $ | 10,910 | $ | — | $ | (70 | ) | $ | 26,857 | $ | — | |||||||||||||||||||||
CMBS | 17,763 | — | — | — | (204 | ) | — | — | (498 | ) | 17,061 | — | ||||||||||||||||||||||||||||||
ABS | 40,031 | — | — | — | 62 | — | — | (172 | ) | 39,921 | — | |||||||||||||||||||||||||||||||
73,631 | — | — | — | 38 | 10,910 | — | (740 | ) | 83,839 | — | ||||||||||||||||||||||||||||||||
Other investments | ||||||||||||||||||||||||||||||||||||||||||
Hedge funds | 470,918 | — | — | 18,931 | — | 6,000 | — | — | 495,849 | 18,931 | ||||||||||||||||||||||||||||||||
Direct lending funds | 54,438 | — | — | 667 | — | 15,418 | — | (841 | ) | 69,682 | 667 | |||||||||||||||||||||||||||||||
CLO - Equities | 92,488 | — | — | 6,087 | — | — | — | (6,517 | ) | 92,058 | 6,087 | |||||||||||||||||||||||||||||||
617,844 | — | — | 25,685 | — | 21,418 | — | (7,358 | ) | 657,589 | 25,685 | ||||||||||||||||||||||||||||||||
Other assets | ||||||||||||||||||||||||||||||||||||||||||
Derivative instruments | 111 | — | — | (1,067 | ) | — | — | — | 956 | — | — | |||||||||||||||||||||||||||||||
Insurance-linked securities | — | — | — | — | — | 25,000 | — | — | 25,000 | — | ||||||||||||||||||||||||||||||||
111 | — | — | (1,067 | ) | — | 25,000 | — | 956 | 25,000 | — | ||||||||||||||||||||||||||||||||
Total assets | $ | 691,586 | $ | — | $ | — | $ | 24,618 | $ | 38 | $ | 57,328 | $ | — | $ | (7,142 | ) | $ | 766,428 | $ | 25,685 | |||||||||||||||||||||
Other liabilities | ||||||||||||||||||||||||||||||||||||||||||
Derivative instruments | $ | 15,288 | $ | — | $ | — | $ | (8,551 | ) | $ | — | $ | 1,082 | $ | — | $ | (511 | ) | $ | 7,308 | $ | (2,058 | ) | |||||||||||||||||||
Total liabilities | $ | 15,288 | $ | — | $ | — | $ | (8,551 | ) | $ | — | $ | 1,082 | $ | — | $ | (511 | ) | $ | 7,308 | $ | (2,058 | ) | |||||||||||||||||||
Opening | Transfers | Transfers | Included in | Included | Purchases | Sales | Settlements/ | Closing | Change in | |||||||||||||||||||||||||||||||||
Balance | into | out of | earnings (1) | in OCI (2) | Distributions | Balance | unrealized | |||||||||||||||||||||||||||||||||||
Level 3 | Level 3 | investment | ||||||||||||||||||||||||||||||||||||||||
gain/(loss) (3) | ||||||||||||||||||||||||||||||||||||||||||
Three months ended March 31, 2014 | ||||||||||||||||||||||||||||||||||||||||||
Fixed maturities | ||||||||||||||||||||||||||||||||||||||||||
Corporate debt | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||||||||
CMBS | 4,018 | — | — | — | (20 | ) | — | — | (29 | ) | 3,969 | — | ||||||||||||||||||||||||||||||
ABS | 30,799 | 128 | — | — | (95 | ) | — | — | (108 | ) | 30,724 | — | ||||||||||||||||||||||||||||||
34,817 | 128 | — | — | (115 | ) | — | — | (137 | ) | 34,693 | — | |||||||||||||||||||||||||||||||
Other investments | ||||||||||||||||||||||||||||||||||||||||||
Hedge funds | 461,055 | — | — | 8,177 | — | 4,500 | — | (9,066 | ) | 464,666 | 8,177 | |||||||||||||||||||||||||||||||
Direct lending funds | 22,134 | — | — | 552 | — | 3,445 | — | (128 | ) | 26,003 | 552 | |||||||||||||||||||||||||||||||
CLO - Equities | 73,866 | — | — | 6,150 | — | 12,845 | — | (6,682 | ) | 86,179 | 6,150 | |||||||||||||||||||||||||||||||
557,055 | — | — | 14,879 | — | 20,790 | — | (15,876 | ) | 576,848 | 14,879 | ||||||||||||||||||||||||||||||||
Other assets | ||||||||||||||||||||||||||||||||||||||||||
Derivative instruments | 984 | — | — | 4,718 | — | — | — | (3,995 | ) | 1,707 | 1,540 | |||||||||||||||||||||||||||||||
Insurance-linked securities | — | — | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||
984 | — | — | 4,718 | — | — | — | (3,995 | ) | 1,707 | 1,540 | ||||||||||||||||||||||||||||||||
Total assets | $ | 592,856 | $ | 128 | $ | — | $ | 19,597 | $ | (115 | ) | $ | 20,790 | $ | — | $ | (20,008 | ) | $ | 613,248 | $ | 16,419 | ||||||||||||||||||||
Other liabilities | ||||||||||||||||||||||||||||||||||||||||||
Derivative instruments | $ | 815 | $ | — | $ | — | $ | 986 | $ | — | $ | — | $ | — | $ | (1,801 | ) | $ | — | $ | — | |||||||||||||||||||||
Total liabilities | $ | 815 | $ | — | $ | — | $ | 986 | $ | — | $ | — | $ | — | $ | (1,801 | ) | $ | — | $ | — | |||||||||||||||||||||
-1 | Gains and losses included in earnings on fixed maturities are included in net realized investment gains (losses). Gains and (losses) included in earnings on other investments are included in net investment income. Gains (losses) on weather derivatives included in earnings are included in other insurance-related income. | |||||||||||||||||||||||||||||||||||||||||
-2 | Gains and losses included in other comprehensive income (“OCI”) on fixed maturities are included in unrealized gains (losses) arising during the period. | |||||||||||||||||||||||||||||||||||||||||
-3 | Change in unrealized investment gain (loss) relating to assets held at the reporting date. | |||||||||||||||||||||||||||||||||||||||||
The transfers into and out of fair value hierarchy levels reflect the fair value of the securities at the end of the reporting period. | ||||||||||||||||||||||||||||||||||||||||||
Transfers into Level 3 from Level 2 | ||||||||||||||||||||||||||||||||||||||||||
There were no transfers to Level 3 from Level 2 made during the three months ended March 31, 2015. The transfers to Level 3 from Level 2 made during the three months ended March 31, 2014 were primarily due to the lack of observable market inputs and multiple quotes from pricing vendors and broker-dealers for certain fixed maturities. | ||||||||||||||||||||||||||||||||||||||||||
Transfers out of Level 3 into Level 2 | ||||||||||||||||||||||||||||||||||||||||||
There were no transfers to Level 2 from Level 3 made during the three months ended March 31, 2015 and 2014. | ||||||||||||||||||||||||||||||||||||||||||
Financial Instruments Not Carried at Fair Value | ||||||||||||||||||||||||||||||||||||||||||
U.S. GAAP guidance over disclosures about the fair value of financial instruments are also applicable to financial instruments not carried at fair value, except for certain financial instruments, including insurance contracts. | ||||||||||||||||||||||||||||||||||||||||||
The carrying values of cash equivalents (including restricted amounts), accrued investment income, receivable for investments sold, certain other assets, payable for investments purchased and certain other liabilities approximated their fair values at March 31, 2015, due to their respective short maturities. As these financial instruments are not actively traded, their respective fair values are classified within Level 2. | ||||||||||||||||||||||||||||||||||||||||||
At March 31, 2015, our senior notes are recorded at amortized cost with a carrying value of $991 million (2014: $991 million) and have a fair value of $1,133 million (2014: $1,089 million). The fair values of these securities were obtained from a third party pricing service and pricing was based on the spread above the risk-free yield curve. These spreads are generally obtained from the new issue market, secondary trading and broker-dealer quotes. As these spreads and the yields for the risk-free yield curve are observable market inputs, the fair values of our senior notes are classified within Level 2. |
DERIVATIVE_INSTRUMENTS
DERIVATIVE INSTRUMENTS | 3 Months Ended | |||||||||||||||||||||||||
Mar. 31, 2015 | ||||||||||||||||||||||||||
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ||||||||||||||||||||||||||
DERIVATIVE INSTRUMENTS | The following table summarizes the balance sheet classification of derivatives recorded at fair values. The notional amount of derivative contracts represents the basis upon which pay or receive amounts are calculated and is presented in the table to quantify the volume of our derivative activities. Notional amounts are not reflective of credit risk. | |||||||||||||||||||||||||
March 31, 2015 | December 31, 2014 | |||||||||||||||||||||||||
Derivative | Derivative | Derivative | Derivative | Derivative | Derivative | |||||||||||||||||||||
Notional | Asset | Liability | Notional | Asset | Liability | |||||||||||||||||||||
Amount | Fair | Fair | Amount | Fair | Fair | |||||||||||||||||||||
Value(1) | Value(1) | Value(1) | Value(1) | |||||||||||||||||||||||
Derivatives not designated as hedging instruments | ||||||||||||||||||||||||||
Relating to investment portfolio: | ||||||||||||||||||||||||||
Foreign exchange forward contracts | $ | 235,623 | $ | 3,607 | $ | 40 | $ | 161,678 | $ | 3,925 | $ | 12 | ||||||||||||||
Interest rate swaps | — | — | — | 140,000 | — | 248 | ||||||||||||||||||||
Relating to underwriting portfolio: | ||||||||||||||||||||||||||
Foreign exchange forward contracts | 664,621 | 643 | 10,272 | 577,836 | 3,228 | 2,781 | ||||||||||||||||||||
Weather-related contracts | 20,995 | — | 7,308 | 58,124 | 111 | 15,288 | ||||||||||||||||||||
Total derivatives | $ | 4,250 | $ | 17,620 | $ | 7,264 | $ | 18,329 | ||||||||||||||||||
-1 | Asset and liability derivatives are classified within other assets and other liabilities in the Consolidated Balance Sheets. | |||||||||||||||||||||||||
Offsetting Assets and Liabilities | ||||||||||||||||||||||||||
Our derivative instruments are generally traded under International Swaps and Derivatives Association master netting agreements, which establish terms that apply to all transactions. In the event of a bankruptcy or other stipulated event, master netting agreements provide that individual positions be replaced with a new amount, usually referred to as the termination amount, determined by taking into account market prices and converting into a single currency. Effectively, this contractual close-out netting reduces credit exposure from gross to net exposure. The table below presents a reconciliation of our gross derivative assets and liabilities to the net amounts presented in our Consolidated Balance Sheets, with the difference being attributable to the impact of master netting agreements. | ||||||||||||||||||||||||||
March 31, 2015 | December 31, 2014 | |||||||||||||||||||||||||
Gross Amounts | Gross Amounts Offset | Net | Gross Amounts | Gross Amounts Offset | Net | |||||||||||||||||||||
Amounts(1) | Amounts(1) | |||||||||||||||||||||||||
Derivative assets | $ | 11,974 | $ | (7,724 | ) | $ | 4,250 | $ | 15,125 | $ | (7,861 | ) | $ | 7,264 | ||||||||||||
Derivative liabilities | $ | 25,344 | $ | (7,724 | ) | $ | 17,620 | $ | 26,190 | $ | (7,861 | ) | $ | 18,329 | ||||||||||||
-1 | Net asset and liability derivatives are classified within other assets and other liabilities in the Consolidated Balance Sheets. | |||||||||||||||||||||||||
Refer to Note 3 - Investments for information on reverse repurchase agreements. | ||||||||||||||||||||||||||
Derivative Instruments not Designated as Hedging Instruments | ||||||||||||||||||||||||||
a) Relating to Investment Portfolio | ||||||||||||||||||||||||||
Foreign Currency Risk | ||||||||||||||||||||||||||
Within our investment portfolio we are exposed to foreign currency risk. Accordingly, the fair values for our investment portfolio are partially influenced by the change in foreign exchange rates. We may enter into foreign exchange forward contracts to manage the effect of this foreign currency risk. These foreign currency hedging activities are not designated as specific hedges for financial reporting purposes. | ||||||||||||||||||||||||||
The increase in the notional amount of investment-related derivatives since December 31, 2014 was due to an increase in Australian dollar-denominated fixed maturities being hedged. | ||||||||||||||||||||||||||
Interest Rate Risk | ||||||||||||||||||||||||||
Our investment portfolio contains a large percentage of fixed maturities which exposes us to significant interest rate risk. As part of our overall management of this risk, we may use interest rate swaps. During the quarter all interest rate swaps were closed. | ||||||||||||||||||||||||||
b) Relating to Underwriting Portfolio | ||||||||||||||||||||||||||
Foreign Currency Risk | ||||||||||||||||||||||||||
Our (re)insurance subsidiaries and branches operate in various foreign countries. Consequently, some of our business is written in currencies other than the U.S. dollar and, therefore, our underwriting portfolio is exposed to significant foreign currency risk. We manage foreign currency risk by seeking to match our foreign-denominated net liabilities under (re)insurance contracts with cash and investments that are denominated in such currencies. We may also use derivative instruments, specifically forward contracts and currency options, to economically hedge foreign currency exposures. | ||||||||||||||||||||||||||
The increase in the notional amount of underwriting related derivatives since December 31, 2014, was primarily due to new business written during the quarter. | ||||||||||||||||||||||||||
Weather Risk | ||||||||||||||||||||||||||
During 2013, we began to write derivative-based risk management products designed to address weather risks with the objective of generating profits on a portfolio basis. The majority of this business consists of receiving a payment at contract inception in exchange for bearing the risk of variations in a quantifiable weather-related phenomenon, such as temperature. Where a client wishes to minimize the upfront payment, these transactions may be structured as swaps or collars. In general, our portfolio of such derivative contracts is of short duration, with contracts being predominantly seasonal in nature. In order to economically hedge a portion of this portfolio, we may also purchase weather derivatives. | ||||||||||||||||||||||||||
The total unrealized and realized gains (losses) recognized in earnings for derivatives not designated as hedges were as follows: | ||||||||||||||||||||||||||
Location of Gain (Loss) Recognized in Income on Derivative | Three months ended March 31, | |||||||||||||||||||||||||
2015 | 2014 | |||||||||||||||||||||||||
Derivatives not designated as hedging instruments | ||||||||||||||||||||||||||
Relating to investment portfolio: | ||||||||||||||||||||||||||
Foreign exchange forward contracts | Net realized investment gains (losses) | $ | 6,537 | $ | (1,328 | ) | ||||||||||||||||||||
Interest rate swaps | Net realized investment gains (losses) | (4,006 | ) | (4,161 | ) | |||||||||||||||||||||
Relating to underwriting portfolio: | ||||||||||||||||||||||||||
Foreign exchange forward contracts | Foreign exchange losses (gains) | (15,273 | ) | 12,074 | ||||||||||||||||||||||
Weather-related contracts | Other insurance related income | 7,342 | 3,678 | |||||||||||||||||||||||
Total | $ | (5,400 | ) | $ | 10,263 | |||||||||||||||||||||
RESERVE_FOR_LOSSES_AND_LOSS_EX
RESERVE FOR LOSSES AND LOSS EXPENSES | 3 Months Ended | ||||||||||
Mar. 31, 2015 | |||||||||||
Insurance Loss Reserves [Abstract] | |||||||||||
RESERVE FOR LOSSES AND LOSS EXPENSES | The following table presents a reconciliation of our beginning and ending gross reserve for losses and loss expenses and net reserve for unpaid losses and loss expenses for the periods indicated: | ||||||||||
Three months ended March 31, | 2015 | 2014 | |||||||||
Gross reserve for losses and loss expenses, beginning of period | $ | 9,596,797 | $ | 9,582,140 | |||||||
Less reinsurance recoverable on unpaid losses, beginning of period | (1,890,280 | ) | (1,900,112 | ) | |||||||
Net reserve for unpaid losses and loss expenses, beginning of period | 7,706,517 | 7,682,028 | |||||||||
Net incurred losses and loss expenses related to: | |||||||||||
Current year | 568,988 | 587,700 | |||||||||
Prior years | (50,051 | ) | (43,493 | ) | |||||||
518,937 | 544,207 | ||||||||||
Net paid losses and loss expenses related to: | |||||||||||
Current year | (23,527 | ) | (13,249 | ) | |||||||
Prior years | (485,315 | ) | (444,466 | ) | |||||||
(508,842 | ) | (457,715 | ) | ||||||||
Foreign exchange and other | (162,969 | ) | 14,501 | ||||||||
Net reserve for unpaid losses and loss expenses, end of period | 7,553,643 | 7,783,021 | |||||||||
Reinsurance recoverable on unpaid losses, end of period | 1,889,579 | 1,884,820 | |||||||||
Gross reserve for losses and loss expenses, end of period | $ | 9,443,222 | $ | 9,667,841 | |||||||
Prior year reserve development arises from changes to loss and loss expense estimates recognized in the current year but relating to losses incurred in previous calendar years. Such development is summarized by segment in the following table: | |||||||||||
Three months ended March 31, | |||||||||||
2015 | 2014 | ||||||||||
Insurance | $ | 3,361 | $ | 11,608 | |||||||
Reinsurance | 46,690 | 31,885 | |||||||||
Total | $ | 50,051 | $ | 43,493 | |||||||
The majority of the net favorable prior year reserve development in each period related to short-tail lines of business. Net favorable prior year reserve development for professional and liability reinsurance lines in the three months ended March 31, 2015 and 2014, also contributed. The net favorable prior year development in the liability reinsurance lines in the three months ended March 31, 2015, was offset by net adverse development in the liability insurance lines. | |||||||||||
The underlying exposures in the property, marine and aviation reserving classes within our insurance segment and the property reserving class within our reinsurance segment largely relate to short-tail business. Development from these classes contributed $28 million and $29 million of the total net favorable prior year reserve development for the three months ended March 31, 2015 and 2014, respectively. The net favorable development for these classes primarily reflected the recognition of better than expected loss emergence. | |||||||||||
Our medium-tail business consists primarily of professional insurance and reinsurance lines, credit and political risk insurance lines and credit and surety reinsurance business. Our professional lines reinsurance business contributed further net favorable prior year reserve development of $20 million and $6 million in the three months ended March 31, 2015, and 2014, respectively. This prior year reserve development was driven by increased weight being given to experience based actuarial methods in selecting our ultimate loss estimates for accident years 2010 and prior. As our loss experience has generally been better than expected, this resulted in the recognition of favorable development. In the three months ended March 31, 2015, we recorded adverse prior year reserve development of $11 million in our insurance credit and political risk lines relating primarily to an increase in loss estimates for one specific claim. | |||||||||||
Our liability lines reinsurance business contributed additional favorable development of $12 million and $6 million in the three months ended March 31, 2015, and 2014, respectively, primarily reflecting the greater weight management is giving to experience based indications and our experience which has been favorable for the 2005 through 2009 accident years. | |||||||||||
In the three months ended March 31, 2015, we recorded adverse prior year reserve development of $11 million in our insurance liability lines relating primarily to an increase in loss estimates for one specific claim. | |||||||||||
The frequency and severity of natural catastrophe and weather activity was high in recent years and our March 31, 2015 net reserve for losses and loss expenses continues to include estimated amounts for numerous events. We caution that the magnitude and/or complexity of losses arising from certain of these events, in particular Storm Sandy, the Japanese earthquake and tsunami and the three New Zealand earthquakes, inherently increases the level of uncertainty and, therefore, the level of management judgment involved in arriving at our estimated net reserves for losses and loss expenses. As a result, our actual losses for these events may ultimately differ materially from our current estimates. |
SHAREBASED_COMPENSATION
SHARE-BASED COMPENSATION | 3 Months Ended | |||||||||||||||
Mar. 31, 2015 | ||||||||||||||||
Disclosure of Compensation Related Costs, Share-based Payments [Abstract] | ||||||||||||||||
SHARE-BASED COMPENSATION | For the three months ended March 31, 2015, we incurred share-based compensation costs of $19 million (2014: $17 million) and recorded associated tax benefits of $4 million (2014: $3 million). | |||||||||||||||
The fair value of shares vested during the three months ended March 31, 2015 was $63 million (2014: $61 million). At March 31, 2015 there were $148 million of unrecognized share-based compensation costs, which are expected to be recognized over the weighted average period of 2.6 years. | ||||||||||||||||
Awards to settle in shares | ||||||||||||||||
The following table provides a reconciliation of the beginning and ending balance of nonvested restricted stock (including restricted stock units) for the three months ended March 31, 2015: | ||||||||||||||||
Performance-based Stock Awards | Service-based Stock Awards | |||||||||||||||
Number of | Weighted Average | Number of | Weighted Average | |||||||||||||
Restricted | Grant Date | Restricted | Grant Date | |||||||||||||
Stock | Fair Value | Stock | Fair Value | |||||||||||||
Nonvested restricted stock - beginning of period | 347 | $ | 37.34 | 2,768 | $ | 38.7 | ||||||||||
Granted | 60 | 51.31 | 511 | 51.31 | ||||||||||||
Vested | — | — | (984 | ) | 36.42 | |||||||||||
Forfeited | — | — | (17 | ) | 41.28 | |||||||||||
Nonvested restricted stock - end of period | 407 | $ | 39.39 | 2,278 | $ | 42.49 | ||||||||||
Cash-settled awards | ||||||||||||||||
During 2015 we also granted 486,508 restricted stock units that will settle in cash rather than shares when the awards ultimately vest; of which 18,659 restricted stock units are performance based and 467,849 restricted stock units are service based. At March 31, 2015, the corresponding liability for cash-settled units, included in other liabilities on the Consolidated Balance Sheet, was $13 million (2014: $5 million). |
EARNINGS_PER_COMMON_SHARE
EARNINGS PER COMMON SHARE | 3 Months Ended | |||||||||
Mar. 31, 2015 | ||||||||||
Earnings Per Share [Abstract] | ||||||||||
EARNINGS PER COMMON SHARE | The following table sets forth the comparison of basic and diluted earnings per common share: | |||||||||
Three months ended March 31, | ||||||||||
2015 | 2014 | |||||||||
Basic earnings per common share | ||||||||||
Net income | $ | 160,952 | $ | 148,471 | ||||||
Less: Amounts attributable to (from) noncontrolling interests | (4,873 | ) | 1,222 | |||||||
Less: preferred share dividends | 10,022 | 10,022 | ||||||||
Net income available to common shareholders | 155,803 | 137,227 | ||||||||
Weighted average common shares outstanding - basic | 99,910 | 109,053 | ||||||||
Basic earnings per common share | $ | 1.56 | $ | 1.26 | ||||||
Diluted earnings per common share | ||||||||||
Net income available to common shareholders | $ | 155,803 | $ | 137,227 | ||||||
Weighted average common shares outstanding - basic | 99,910 | 109,053 | ||||||||
Stock compensation plans | 1,229 | 1,338 | ||||||||
Weighted average common shares outstanding - diluted | 101,139 | 110,391 | ||||||||
Diluted earnings per common share | $ | 1.54 | $ | 1.24 | ||||||
Anti-dilutive shares excluded from the dilutive computation | 569 | 1,051 | ||||||||
SHAREHOLDERS_EQUITY
SHAREHOLDERS' EQUITY | 3 Months Ended | |||||||||
Mar. 31, 2015 | ||||||||||
Stockholders' Equity Note [Abstract] | ||||||||||
SHAREHOLDERS' EQUITY | The following table presents our common shares issued and outstanding: | |||||||||
Three months ended March 31, | ||||||||||
2015 | 2014 | |||||||||
Shares issued, balance at beginning of period | 175,478 | 174,134 | ||||||||
Shares issued | 712 | 1,061 | ||||||||
Total shares issued at end of period | 176,190 | 175,195 | ||||||||
Treasury shares, balance at beginning of period | (76,052 | ) | (64,649 | ) | ||||||
Shares repurchased | (290 | ) | (4,036 | ) | ||||||
Shares reissued from treasury | 371 | 235 | ||||||||
Total treasury shares at end of period | (75,971 | ) | (68,450 | ) | ||||||
Total shares outstanding | 100,219 | 106,745 | ||||||||
Treasury Shares | ||||||||||
The following table presents our share repurchases: | ||||||||||
Three months ended March 31, | ||||||||||
2015 | 2014 | |||||||||
In the open market: | ||||||||||
Total shares | 16 | 3,710 | ||||||||
Total cost | $ | 832 | $ | 164,606 | ||||||
Average price per share(1) | $ | 50.69 | $ | 44.37 | ||||||
From employees: | ||||||||||
Total shares | 274 | 326 | ||||||||
Total cost | $ | 13,939 | $ | 14,097 | ||||||
Average price per share(1) | $ | 50.97 | $ | 43.14 | ||||||
Total shares repurchased: | ||||||||||
Total shares | 290 | 4,036 | ||||||||
Total cost | $ | 14,771 | $ | 178,703 | ||||||
Average price per share(1) | $ | 50.95 | $ | 44.27 | ||||||
-1 | Calculated using whole figures. |
NONCONTROLLING_INTERESTS
NONCONTROLLING INTERESTS | 3 Months Ended | |||||||||
Mar. 31, 2015 | ||||||||||
Noncontrolling Interest [Abstract] | ||||||||||
Noncontrolling Interests | During November 2013, the Company formed AXIS Ventures Reinsurance Limited ("Ventures Re"), a Bermuda domiciled insurer. Ventures Re was formed to write reinsurance on a fully collateralized basis. | |||||||||
During the first quarter of 2015, Ventures Re repurchased $40 million of Class A non-voting redeemable preferred shares. Additionally, during the first quarter of 2015, third party investors purchased $57 million of Class C non-voting redeemable preferred share capital issued by Ventures Re. The Ventures Re Class C preferred shares are redeemable at the sole discretion of Ventures Re's Board of Directors. | ||||||||||
Ventures Re is considered to be a variable interest entity. The Company has concluded that it is the primary beneficiary of Ventures Re as it has the power to direct, and has more than an insignificant economic interest in, the activities of this entity. Following this determination, Ventures Re was consolidated by the Company. Shareholders' equity attributable to Ventures Re's third party investors is recorded in the Consolidated Financial Statements as noncontrolling interests. | ||||||||||
At March 31, 2015, total assets of Ventures Re were $120 million (2014: $97 million), consisting primarily of cash and cash equivalents and insurance receivables. Total liabilities were $50 million (2014: $38 million) consisting primarily of loss reserves and unearned premium. The assets of Ventures Re can only be used to settle its own liabilities, and there is no recourse to the Company for any liabilities incurred by this entity. | ||||||||||
The reconciliation of the beginning and ending balances of the noncontrolling interests in Ventures Re for the periods indicated below was as follows: | ||||||||||
Three months ended March 31, | 2015 | 2014 | ||||||||
Balance at beginning of period | $ | 58,819 | $ | 50,000 | ||||||
Increase from issuance of preferred equity to noncontrolling interests | 56,991 | — | ||||||||
Decrease from return of capital to noncontrolling interests | (40,000 | ) | — | |||||||
Amounts attributable to (from) noncontrolling interests | (4,873 | ) | 1,222 | |||||||
Foreign currency translation adjustment attributable to (from) noncontrolling interests | (1,865 | ) | — | |||||||
Balance at end of period | $ | 69,072 | $ | 51,222 | ||||||
DEBT_AND_FINANCING_ARRANGEMENT
DEBT AND FINANCING ARRANGEMENTS | 3 Months Ended |
Mar. 31, 2015 | |
Debt Disclosure [Abstract] | |
DEBT AND FINANCING ARRANGEMENTS | March 31, 2015, the Company entered into an amendment to reduce the maximum aggregate utilization capacity of our secured letter of credit facility with Citibank Europe plc (the "LOC Facility") from $750 million to $500 million. All other material terms and conditions remained unchanged. At March 31, 2015, letters of credit outstanding under the LOC Facility totaled $354 million. |
COMMITMENTS_AND_CONTINGENCIES
COMMITMENTS AND CONTINGENCIES | 3 Months Ended |
Mar. 31, 2015 | |
Commitments and Contingencies Disclosure [Abstract] | |
COMMITMENTS AND CONTINGENCIES | Reinsurance Agreements |
We purchase reinsurance coverage for various lines of our business. The minimum reinsurance premiums are contractually due in advance on a quarterly basis. Accordingly at March 31, 2015, we have outstanding reinsurance purchase commitments of $72 million, of which $64 million is due in 2015 while the remaining $8 million is due in 2016. Actual payments under the reinsurance contracts will depend on the underlying subject premium and may exceed the minimum premium. | |
Amalgamation Agreement | |
On January 25, 2015, the Company entered into an Agreement and Plan of Amalgamation (the "Amalgamation Agreement") with PartnerRe Ltd. , a Bermuda exempted company ("PartnerRe"), which agreement was thereafter amended on February 17, 2015, March 10, 2015, and March 31, 2015, and pursuant to which the Company would amalgamate with PartnerRe (the "Amalgamation"), and the two companies would continue as a single Bermuda exempted company. On May 3, 2015, the Company and PartnerRe further amended the Amalgamation Agreement (the "Amendment to the Amalgamation Agreement") to allow PartnerRe to pay a one-time special dividend of $11.50 per share to PartnerRe's common shareholders in connection with the closing of the Amalgamation. | |
In accordance with the terms of the Amalgamation Agreement and the Amendment to the Amalgamation Agreement, the Company would be obligated to pay PartnerRe a no approval fee of $55 million if the Company’s shareholders do not approve the transaction. If the Amalgamation Agreement is terminated for certain other reasons described in the Amalgamation Agreement or if in certain circumstances the Company enters into a similar transaction with a third party in the 12 months following termination of the Amalgamation Agreement, the Company would be obligated to pay PartnerRe an aggregate termination fee of $280 million (less any no approval fee already paid). In all such cases, the Company would be obligated to reimburse PartnerRe for costs and expenses incurred in connection with the Amalgamation Agreement and the transactions contemplated thereby in an amount not to exceed $35 million. | |
In relation to the proposed Amalgamation, the Company has entered into an agreement with a financial advisor that will require the Company to make a payment of $20 million in the event that the amalgamation transaction with PartnerRe is successfully consummated. | |
Employment Agreements | |
Following the signing of the Amalgamation Agreement, the Company has entered into additional agreements with certain employees. These agreements provide for the payment of a special cash retention award, which is payable in addition to normal annual compensation amounts, with the award payment being dependent on the employee maintaining an active employee status through a pre-determined future date and fulfilling certain conduct and performance-related conditions. The additional award payments are only payable in relation to, and are dependent on, the successful closing of the current amalgamation with PartnerRe. | |
Investments | |
At March 31, 2015 we have a $50 million commitment to purchase Commercial Mortgage Loans. | |
Refer 'Note 3 - Investments' for information on commitments related to our other investments. |
OTHER_COMPREHENSIVE_INCOME
OTHER COMPREHENSIVE INCOME | 3 Months Ended | |||||||||||||||||||||||||
Mar. 31, 2015 | ||||||||||||||||||||||||||
Equity [Abstract] | ||||||||||||||||||||||||||
OTHER COMPREHENSIVE INCOME | The tax effects allocated to each component of other comprehensive income were as follows: | |||||||||||||||||||||||||
2015 | 2014 | |||||||||||||||||||||||||
Before Tax Amount | Tax (Expense) Benefit | Net of Tax Amount | Before Tax Amount | Tax (Expense) Benefit | Net of Tax Amount | |||||||||||||||||||||
Three months ended March 31, | ||||||||||||||||||||||||||
Available for sale investments: | ||||||||||||||||||||||||||
Unrealized gains (losses) arising during the period | $ | 5,063 | $ | (10,250 | ) | $ | (5,187 | ) | $ | 80,560 | $ | (9,177 | ) | $ | 71,383 | |||||||||||
Adjustment for reclassification of net realized investment gains (losses) and OTTI losses recognized in net income | 45,098 | 6 | 45,104 | (16,069 | ) | 6,456 | (9,613 | ) | ||||||||||||||||||
Unrealized gains arising during the period, net of reclassification adjustment | 50,161 | (10,244 | ) | 39,917 | 64,491 | (2,721 | ) | 61,770 | ||||||||||||||||||
Non-credit portion of OTTI losses | — | — | — | — | — | — | ||||||||||||||||||||
Foreign currency translation adjustment | (13,278 | ) | — | (13,278 | ) | 2,659 | — | 2,659 | ||||||||||||||||||
Total other comprehensive income, net of tax | $ | 36,883 | $ | (10,244 | ) | $ | 26,639 | $ | 67,150 | $ | (2,721 | ) | $ | 64,429 | ||||||||||||
Reclassifications out of AOCI into net income available to common shareholders were as follows: | ||||||||||||||||||||||||||
Amount Reclassified from AOCI(1) | ||||||||||||||||||||||||||
Details About AOCI Components | Consolidated Statement of Operations Line Item That Includes Reclassification | Three months ended March 31, | ||||||||||||||||||||||||
2015 | 2014 | |||||||||||||||||||||||||
Unrealized gains (losses) on available for sale investments | ||||||||||||||||||||||||||
Other realized investment gains (losses) | $ | (27,530 | ) | $ | 16,855 | |||||||||||||||||||||
OTTI losses | (17,568 | ) | (786 | ) | ||||||||||||||||||||||
Total before tax | (45,098 | ) | 16,069 | |||||||||||||||||||||||
Income tax expense | (6 | ) | (6,456 | ) | ||||||||||||||||||||||
Net of tax | $ | (45,104 | ) | $ | 9,613 | |||||||||||||||||||||
-1 | Amounts in parentheses are debits to net income available to common shareholders. |
SUBSEQUENT_EVENTS
SUBSEQUENT EVENTS | 3 Months Ended |
Mar. 31, 2015 | |
Subsequent Events [Abstract] | |
SUBSEQUENT EVENTS | Acquisition of Ternian |
On April 1, 2015, the Company announced that it completed the acquisition of Ternian Insurance Group LLC, a leading provider of voluntary, limited benefit, affordable health plans and other employee benefits coverage for hourly and part-time workers and their families. The Company recognized intangible assets of $13 million associated with this acquisition. | |
Amendments to the Amalgamation Agreement | |
On April 14, 2015, PartnerRe announced the receipt of an unsolicited proposal from a third party to acquire all of its outstanding common shares for $130.00 per share in cash. | |
On May 3, 2015, the Company and PartnerRe amended the Amalgamation Agreement to allow PartnerRe to pay a one-time special dividend of $11.50 per share to PartnerRe's common shareholders in connection with the closing of the Amalgamation and to increase the termination fee from $250 million to $280 million. | |
On May 4, 2015, PartnerRe's Board of Directors announced that it had terminated discussions with the third party regarding their $130.00 per share offer. |
BASIS_OF_PRESENTATION_AND_ACCO1
BASIS OF PRESENTATION AND ACCOUNTING POLICIES (POLICIES) | 3 Months Ended |
Mar. 31, 2015 | |
Policy Text Block [Abstract] | |
Basis of Presentation | Basis of Presentation |
These interim consolidated financial statements include the accounts of AXIS Capital Holdings Limited (“AXIS Capital”) and its subsidiaries (herein referred to as “we,” “us,” “our,” or the “Company”). | |
The consolidated balance sheet at March 31, 2015 and the consolidated statements of operations, comprehensive income, shareholders' equity and cash flows for the periods ended March 31, 2015 and 2014 have not been audited. The balance sheet at December 31, 2014 is derived from our audited financial statements. | |
These financial statements have been prepared in accordance with U.S. Generally Accepted Accounting Principles (“U.S. GAAP”) for interim financial information and with the Securities and Exchange Commission's (“SEC”) instructions to Form 10-Q and Article 10 of Regulation S-X. Accordingly, they do not include all of the information and footnotes required by U.S. GAAP for complete financial statements. In the opinion of management, these financial statements reflect all adjustments (consisting of normal recurring adjustments) considered necessary for a fair presentation of our financial position and results of operations for the periods presented. The results of operations for any interim period are not necessarily indicative of the results for a full year. All inter-company accounts and transactions have been eliminated. | |
The following information should be read in conjunction with our Annual Report on Form 10-K for the year ended December 31, 2014. Tabular dollar and share amounts are in thousands, except per share amounts. All amounts are reported in U.S. dollars. | |
Significant Accounting Policies | |
There were no notable changes in our significant accounting policies subsequent to our Annual Report on Form 10-K for the year ended December 31, 2014 |
SEGMENT_INFORMATION_TABLES
SEGMENT INFORMATION (TABLES) | 3 Months Ended | |||||||||||||||||||||||||
Mar. 31, 2015 | ||||||||||||||||||||||||||
Segment Reporting [Abstract] | ||||||||||||||||||||||||||
UNDERWRITING RESULTS OF REPORTABLE SEGMENTS | ||||||||||||||||||||||||||
The following tables summarize the underwriting results of our reportable segments, as well as the carrying values of allocated goodwill and intangible assets: | ||||||||||||||||||||||||||
2015 | 2014 | |||||||||||||||||||||||||
Three months ended and at March 31, | Insurance | Reinsurance | Total | Insurance | Reinsurance | Total | ||||||||||||||||||||
Gross premiums written | $ | 602,724 | $ | 1,076,208 | $ | 1,678,932 | $ | 601,721 | $ | 1,219,678 | $ | 1,821,399 | ||||||||||||||
Net premiums written | 436,740 | 1,026,812 | 1,463,552 | 456,692 | 1,207,892 | 1,664,584 | ||||||||||||||||||||
Net premiums earned | 447,467 | 458,755 | 906,222 | 449,214 | 496,735 | 945,949 | ||||||||||||||||||||
Other insurance related income | — | 7,676 | 7,676 | — | 3,082 | 3,082 | ||||||||||||||||||||
Net losses and loss expenses | (285,773 | ) | (233,164 | ) | (518,937 | ) | (279,423 | ) | (264,784 | ) | (544,207 | ) | ||||||||||||||
Acquisition costs | (64,455 | ) | (107,247 | ) | (171,702 | ) | (65,057 | ) | (106,979 | ) | (172,036 | ) | ||||||||||||||
General and administrative expenses | (87,689 | ) | (39,656 | ) | (127,345 | ) | (87,946 | ) | (36,076 | ) | (124,022 | ) | ||||||||||||||
Underwriting income | $ | 9,550 | $ | 86,364 | 95,914 | $ | 16,788 | $ | 91,978 | 108,766 | ||||||||||||||||
Corporate expenses | (36,172 | ) | (28,707 | ) | ||||||||||||||||||||||
Net investment income | 92,110 | 82,744 | ||||||||||||||||||||||||
Net realized investment gains (losses) | (42,553 | ) | 10,620 | |||||||||||||||||||||||
Foreign exchange (losses) gains | 63,220 | (4,233 | ) | |||||||||||||||||||||||
Interest expense and financing costs | (12,257 | ) | (16,594 | ) | ||||||||||||||||||||||
Income before income taxes | $ | 160,262 | $ | 152,596 | ||||||||||||||||||||||
Net loss and loss expense ratio | 63.9 | % | 50.8 | % | 57.3 | % | 62.2 | % | 53.3 | % | 57.5 | % | ||||||||||||||
Acquisition cost ratio | 14.4 | % | 23.4 | % | 18.9 | % | 14.5 | % | 21.5 | % | 18.2 | % | ||||||||||||||
General and administrative expense ratio | 19.6 | % | 8.6 | % | 18.1 | % | 19.6 | % | 7.3 | % | 16.2 | % | ||||||||||||||
Combined ratio | 97.9 | % | 82.8 | % | 94.3 | % | 96.3 | % | 82.1 | % | 91.9 | % | ||||||||||||||
Goodwill and intangible assets | $ | 88,508 | $ | — | $ | 88,508 | $ | 90,350 | $ | — | $ | 90,350 | ||||||||||||||
INVESTMENTS_TABLES
INVESTMENTS (TABLES) | 3 Months Ended | |||||||||||||||||||||||||
Mar. 31, 2015 | ||||||||||||||||||||||||||
Investments, Debt and Equity Securities [Abstract] | ||||||||||||||||||||||||||
AMORTIZED COST/COST AND FAIR VALUES OF FIXED MATURITIES AND EQUITIES | The amortized cost or cost and fair values of our fixed maturities and equities were as follows: | |||||||||||||||||||||||||
Amortized | Gross | Gross | Fair | Non-credit | ||||||||||||||||||||||
Cost or | Unrealized | Unrealized | Value | OTTI | ||||||||||||||||||||||
Cost | Gains | Losses | in AOCI(5) | |||||||||||||||||||||||
At March 31, 2015 | ||||||||||||||||||||||||||
Fixed maturities | ||||||||||||||||||||||||||
U.S. government and agency | $ | 1,490,502 | $ | 9,183 | $ | (5,528 | ) | $ | 1,494,157 | $ | — | |||||||||||||||
Non-U.S. government | 932,741 | 7,041 | (66,685 | ) | 873,097 | — | ||||||||||||||||||||
Corporate debt | 4,549,974 | 58,133 | (73,829 | ) | 4,534,278 | — | ||||||||||||||||||||
Agency RMBS(1) | 2,150,598 | 51,061 | (1,416 | ) | 2,200,243 | — | ||||||||||||||||||||
CMBS(2) | 1,111,327 | 21,219 | (1,223 | ) | 1,131,323 | — | ||||||||||||||||||||
Non-Agency RMBS | 77,185 | 2,560 | (1,744 | ) | 78,001 | (865 | ) | |||||||||||||||||||
ABS(3) | 1,500,493 | 3,438 | (8,102 | ) | 1,495,829 | — | ||||||||||||||||||||
Municipals(4) | 199,813 | 6,649 | (496 | ) | 205,966 | — | ||||||||||||||||||||
Total fixed maturities | $ | 12,012,633 | $ | 159,284 | $ | (159,023 | ) | $ | 12,012,894 | $ | (865 | ) | ||||||||||||||
Equity securities | ||||||||||||||||||||||||||
Exchange-traded funds | 453,978 | 46,224 | (2,155 | ) | 498,047 | |||||||||||||||||||||
Non-U.S. bond mutual funds | 118,339 | — | (15,057 | ) | 103,282 | |||||||||||||||||||||
Total equity securities | $ | 572,317 | $ | 46,224 | $ | (17,212 | ) | $ | 601,329 | |||||||||||||||||
At December 31, 2014 | ||||||||||||||||||||||||||
Fixed maturities | ||||||||||||||||||||||||||
U.S. government and agency | $ | 1,645,068 | $ | 3,337 | $ | (28,328 | ) | $ | 1,620,077 | $ | — | |||||||||||||||
Non-U.S. government | 1,080,601 | 7,383 | (54,441 | ) | 1,033,543 | — | ||||||||||||||||||||
Corporate debt | 4,386,432 | 40,972 | (66,280 | ) | 4,361,124 | — | ||||||||||||||||||||
Agency RMBS(1) | 2,241,581 | 40,762 | (4,235 | ) | 2,278,108 | — | ||||||||||||||||||||
CMBS(2) | 1,085,618 | 13,289 | (2,019 | ) | 1,096,888 | — | ||||||||||||||||||||
Non-Agency RMBS | 71,236 | 2,765 | (915 | ) | 73,086 | (889 | ) | |||||||||||||||||||
ABS(3) | 1,475,026 | 2,748 | (16,188 | ) | 1,461,586 | — | ||||||||||||||||||||
Municipals(4) | 200,411 | 5,282 | (832 | ) | 204,861 | — | ||||||||||||||||||||
Total fixed maturities | $ | 12,185,973 | $ | 116,538 | $ | (173,238 | ) | $ | 12,129,273 | $ | (889 | ) | ||||||||||||||
Equity securities | ||||||||||||||||||||||||||
Exchange-traded funds | 416,063 | 43,583 | (4,756 | ) | 454,890 | |||||||||||||||||||||
Non-U.S. bond mutual funds | 115,585 | — | (2,768 | ) | 112,817 | |||||||||||||||||||||
Total equity securities | $ | 531,648 | $ | 43,583 | $ | (7,524 | ) | $ | 567,707 | |||||||||||||||||
-1 | Residential mortgage-backed securities (RMBS) originated by U.S. agencies. | |||||||||||||||||||||||||
-2 | Commercial mortgage-backed securities (CMBS). | |||||||||||||||||||||||||
-3 | Asset-backed securities (ABS) include debt tranched securities collateralized primarily by auto loans, student loans, credit cards, and other asset types. This asset class also includes collateralized loan obligations (CLOs) and collateralized debt obligations (CDOs). | |||||||||||||||||||||||||
-4 | Municipals include bonds issued by states, municipalities and political subdivisions. | |||||||||||||||||||||||||
-5 | Represents the non-credit component of the other-than-temporary impairment (OTTI) losses, adjusted for subsequent sales of securities. It does not include the change in fair value subsequent to the impairment measurement date. | |||||||||||||||||||||||||
CONTRACTUAL MATURITIES OF FIXED MATURITIES | The contractual maturities of fixed maturities are shown below. Expected maturities may differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment penalties. | |||||||||||||||||||||||||
Amortized | Fair | % of Total | ||||||||||||||||||||||||
Cost | Value | Fair Value | ||||||||||||||||||||||||
At March 31, 2015 | ||||||||||||||||||||||||||
Maturity | ||||||||||||||||||||||||||
Due in one year or less | $ | 508,448 | $ | 503,179 | 4.2 | % | ||||||||||||||||||||
Due after one year through five years | 4,387,194 | 4,349,800 | 36.2 | % | ||||||||||||||||||||||
Due after five years through ten years | 2,042,045 | 2,016,713 | 16.8 | % | ||||||||||||||||||||||
Due after ten years | 235,343 | 237,806 | 2 | % | ||||||||||||||||||||||
7,173,030 | 7,107,498 | 59.2 | % | |||||||||||||||||||||||
Agency RMBS | 2,150,598 | 2,200,243 | 18.3 | % | ||||||||||||||||||||||
CMBS | 1,111,327 | 1,131,323 | 9.4 | % | ||||||||||||||||||||||
Non-Agency RMBS | 77,185 | 78,001 | 0.6 | % | ||||||||||||||||||||||
ABS | 1,500,493 | 1,495,829 | 12.5 | % | ||||||||||||||||||||||
Total | $ | 12,012,633 | $ | 12,012,894 | 100 | % | ||||||||||||||||||||
At December 31, 2014 | ||||||||||||||||||||||||||
Maturity | ||||||||||||||||||||||||||
Due in one year or less | $ | 424,077 | $ | 423,265 | 3.5 | % | ||||||||||||||||||||
Due after one year through five years | 4,925,780 | 4,892,411 | 40.3 | % | ||||||||||||||||||||||
Due after five years through ten years | 1,755,248 | 1,695,641 | 14 | % | ||||||||||||||||||||||
Due after ten years | 207,407 | 208,288 | 1.7 | % | ||||||||||||||||||||||
7,312,512 | 7,219,605 | 59.5 | % | |||||||||||||||||||||||
Agency RMBS | 2,241,581 | 2,278,108 | 18.8 | % | ||||||||||||||||||||||
CMBS | 1,085,618 | 1,096,888 | 9 | % | ||||||||||||||||||||||
Non-Agency RMBS | 71,236 | 73,086 | 0.6 | % | ||||||||||||||||||||||
ABS | 1,475,026 | 1,461,586 | 12.1 | % | ||||||||||||||||||||||
Total | $ | 12,185,973 | $ | 12,129,273 | 100 | % | ||||||||||||||||||||
FIXED MATURITIES AND EQUITIES IN AN UNREALIZED LOSS POSITION | The following table summarizes fixed maturities and equities in an unrealized loss position and the aggregate fair value and gross unrealized loss by length of time the security has continuously been in an unrealized loss position: | |||||||||||||||||||||||||
12 months or greater | Less than 12 months | Total | ||||||||||||||||||||||||
Fair | Unrealized | Fair | Unrealized | Fair | Unrealized | |||||||||||||||||||||
Value | Losses | Value | Losses | Value | Losses | |||||||||||||||||||||
At March 31, 2015 | ||||||||||||||||||||||||||
Fixed maturities | ||||||||||||||||||||||||||
U.S. government and agency | $ | 94,248 | $ | (4,525 | ) | $ | 329,487 | $ | (1,003 | ) | $ | 423,735 | $ | (5,528 | ) | |||||||||||
Non-U.S. government | 112,581 | (31,924 | ) | 349,284 | (34,761 | ) | 461,865 | (66,685 | ) | |||||||||||||||||
Corporate debt | 53,901 | (5,679 | ) | 1,263,181 | (68,150 | ) | 1,317,082 | (73,829 | ) | |||||||||||||||||
Agency RMBS | 55,492 | (748 | ) | 208,699 | (668 | ) | 264,191 | (1,416 | ) | |||||||||||||||||
CMBS | 54,293 | (719 | ) | 145,716 | (504 | ) | 200,009 | (1,223 | ) | |||||||||||||||||
Non-Agency RMBS | 5,685 | (762 | ) | 17,917 | (982 | ) | 23,602 | (1,744 | ) | |||||||||||||||||
ABS | 449,335 | (6,367 | ) | 544,239 | (1,735 | ) | 993,574 | (8,102 | ) | |||||||||||||||||
Municipals | 14,528 | (139 | ) | 16,297 | (357 | ) | 30,825 | (496 | ) | |||||||||||||||||
Total fixed maturities | $ | 840,063 | $ | (50,863 | ) | $ | 2,874,820 | $ | (108,160 | ) | $ | 3,714,883 | $ | (159,023 | ) | |||||||||||
Equity securities | ||||||||||||||||||||||||||
Exchange-traded funds | — | — | 80,230 | (2,155 | ) | 80,230 | (2,155 | ) | ||||||||||||||||||
Non-U.S. bond mutual funds | — | — | 103,282 | (15,057 | ) | 103,282 | (15,057 | ) | ||||||||||||||||||
Total equity securities | $ | — | $ | — | $ | 183,512 | $ | (17,212 | ) | $ | 183,512 | $ | (17,212 | ) | ||||||||||||
At December 31, 2014 | ||||||||||||||||||||||||||
Fixed maturities | ||||||||||||||||||||||||||
U.S. government and agency | $ | 388,551 | $ | (24,319 | ) | $ | 786,850 | $ | (4,009 | ) | $ | 1,175,401 | $ | (28,328 | ) | |||||||||||
Non-U.S. government | 143,602 | (29,171 | ) | 435,670 | (25,270 | ) | 579,272 | (54,441 | ) | |||||||||||||||||
Corporate debt | 26,708 | (2,221 | ) | 2,199,672 | (64,059 | ) | 2,226,380 | (66,280 | ) | |||||||||||||||||
Agency RMBS | 259,914 | (3,084 | ) | 333,288 | (1,151 | ) | 593,202 | (4,235 | ) | |||||||||||||||||
CMBS | 68,624 | (925 | ) | 256,225 | (1,094 | ) | 324,849 | (2,019 | ) | |||||||||||||||||
Non-Agency RMBS | 6,689 | (613 | ) | 13,442 | (302 | ) | 20,131 | (915 | ) | |||||||||||||||||
ABS | 425,663 | (10,325 | ) | 750,679 | (5,863 | ) | 1,176,342 | (16,188 | ) | |||||||||||||||||
Municipals | 34,462 | (644 | ) | 25,284 | (188 | ) | 59,746 | (832 | ) | |||||||||||||||||
Total fixed maturities | $ | 1,354,213 | $ | (71,302 | ) | $ | 4,801,110 | $ | (101,936 | ) | $ | 6,155,323 | $ | (173,238 | ) | |||||||||||
Equity securities | ||||||||||||||||||||||||||
Exchange-traded funds | — | — | 91,275 | (4,756 | ) | 91,275 | (4,756 | ) | ||||||||||||||||||
Non-U.S. bond mutual funds | — | — | 112,817 | (2,768 | ) | 112,817 | (2,768 | ) | ||||||||||||||||||
Total equity securities | $ | — | $ | — | $ | 204,092 | $ | (7,524 | ) | $ | 204,092 | $ | (7,524 | ) | ||||||||||||
PORTFOLIO OF OTHER INVESTMENTS | The following table provides a breakdown of our investments in hedge funds, direct lending funds and CLO Equities, together with additional information relating to the liquidity of each category: | |||||||||||||||||||||||||
Fair Value | Redemption Frequency | Redemption | ||||||||||||||||||||||||
(if currently eligible) | Notice Period | |||||||||||||||||||||||||
At March 31, 2015 | ||||||||||||||||||||||||||
Long/short equity funds | $ | 242,096 | 26 | % | Quarterly, Semi-annually | 30-60 days | ||||||||||||||||||||
Multi-strategy funds | 336,342 | 36 | % | Quarterly, Semi-annually | 60-95 days | |||||||||||||||||||||
Event-driven funds | 189,212 | 20 | % | Quarterly, Annually | 45-60 days | |||||||||||||||||||||
Leveraged bank loan funds | 9,616 | 1 | % | Quarterly | 65 days | |||||||||||||||||||||
Direct lending funds | 69,682 | 7 | % | n/a | n/a | |||||||||||||||||||||
CLO - Equities | 92,058 | 10 | % | n/a | n/a | |||||||||||||||||||||
Total other investments | $ | 939,006 | 100 | % | ||||||||||||||||||||||
At December 31, 2014 | ||||||||||||||||||||||||||
Long/short equity funds | $ | 298,907 | 31 | % | Quarterly, Semi-annually | 30-60 days | ||||||||||||||||||||
Multi-strategy funds | 324,020 | 34 | % | Quarterly, Semi-annually | 60-95 days | |||||||||||||||||||||
Event-driven funds | 185,899 | 19 | % | Quarterly, Annually | 45-60 days | |||||||||||||||||||||
Leveraged bank loan funds | 9,713 | 1 | % | Quarterly | 65 days | |||||||||||||||||||||
Direct lending funds | 54,438 | 6 | % | n/a | n/a | |||||||||||||||||||||
CLO - Equities | 92,488 | 9 | % | n/a | n/a | |||||||||||||||||||||
Total other investments | $ | 965,465 | 100 | % | ||||||||||||||||||||||
n/a - not applicable | ||||||||||||||||||||||||||
NET INVESTMENT INCOME | Net investment income was derived from the following sources: | |||||||||||||||||||||||||
Three months ended March 31, | ||||||||||||||||||||||||||
2015 | 2014 | |||||||||||||||||||||||||
Fixed maturities | $ | 66,101 | $ | 72,957 | ||||||||||||||||||||||
Other investments | 30,935 | 16,760 | ||||||||||||||||||||||||
Equity securities | 1,676 | 2,286 | ||||||||||||||||||||||||
Cash and cash equivalents | 1,102 | 863 | ||||||||||||||||||||||||
Short-term investments | 69 | 214 | ||||||||||||||||||||||||
Gross investment income | 99,883 | 93,080 | ||||||||||||||||||||||||
Investment expenses | (7,773 | ) | (10,336 | ) | ||||||||||||||||||||||
Net investment income | $ | 92,110 | $ | 82,744 | ||||||||||||||||||||||
NET REALIZED INVESTMENT GAINS (LOSSES) | The following table provides an analysis of net realized investment gains (losses): | |||||||||||||||||||||||||
Three months ended March 31, | ||||||||||||||||||||||||||
2015 | 2014 | |||||||||||||||||||||||||
Gross realized gains | ||||||||||||||||||||||||||
Fixed maturities and short-term investments | $ | 15,661 | $ | 33,770 | ||||||||||||||||||||||
Equities | 38 | 19,267 | ||||||||||||||||||||||||
Gross realized gains | 15,699 | 53,037 | ||||||||||||||||||||||||
Gross realized losses | ||||||||||||||||||||||||||
Fixed maturities and short-term investments | (43,091 | ) | (33,704 | ) | ||||||||||||||||||||||
Equities | (124 | ) | (2,438 | ) | ||||||||||||||||||||||
Gross realized losses | (43,215 | ) | (36,142 | ) | ||||||||||||||||||||||
Net OTTI recognized in earnings | (17,568 | ) | (786 | ) | ||||||||||||||||||||||
Change in fair value of investment derivatives(1) | 2,531 | (5,489 | ) | |||||||||||||||||||||||
Net realized investment gains (losses) | $ | (42,553 | ) | $ | 10,620 | |||||||||||||||||||||
(1) Refer to Note 5 – Derivative Instruments | ||||||||||||||||||||||||||
OTTI RECOGNIZED IN EARNINGS BY ASSET CLASS | The following table summarizes the OTTI recognized in earnings by asset class: | |||||||||||||||||||||||||
Three months ended March 31, | ||||||||||||||||||||||||||
2015 | 2014 | |||||||||||||||||||||||||
Fixed maturities: | ||||||||||||||||||||||||||
Non-U.S. government | $ | 1,422 | $ | 38 | ||||||||||||||||||||||
Corporate debt | 16,120 | 15 | ||||||||||||||||||||||||
Non-Agency RMBS | 4 | — | ||||||||||||||||||||||||
ABS | 22 | 56 | ||||||||||||||||||||||||
17,568 | 109 | |||||||||||||||||||||||||
Equity Securities | ||||||||||||||||||||||||||
Common stocks | — | 677 | ||||||||||||||||||||||||
— | 677 | |||||||||||||||||||||||||
Total OTTI recognized in earnings | $ | 17,568 | $ | 786 | ||||||||||||||||||||||
ROLL FORWARD OF CREDIT LOSSES FOR WHICH A PORTION OF OTTI RECOGNIZED IN AOCI | The following table provides a roll forward of the credit losses, before income taxes, for which a portion of the OTTI was recognized in AOCI: | |||||||||||||||||||||||||
Three months ended March 31, | ||||||||||||||||||||||||||
2015 | 2014 | |||||||||||||||||||||||||
Balance at beginning of period | $ | 1,531 | $ | 1,594 | ||||||||||||||||||||||
Credit impairments recognized on securities not previously impaired | — | — | ||||||||||||||||||||||||
Additional credit impairments recognized on securities previously impaired | 10 | — | ||||||||||||||||||||||||
Change in timing of future cash flows on securities previously impaired | — | — | ||||||||||||||||||||||||
Intent to sell of securities previously impaired | — | — | ||||||||||||||||||||||||
Securities sold/redeemed/matured | — | (4 | ) | |||||||||||||||||||||||
Balance at end of period | $ | 1,541 | $ | 1,590 | ||||||||||||||||||||||
FAIR_VALUE_MEASUREMENTS_TABLES
FAIR VALUE MEASUREMENTS (TABLES) | 3 Months Ended | |||||||||||||||||||||||||||||||||||||||||
Mar. 31, 2015 | ||||||||||||||||||||||||||||||||||||||||||
Fair Value Disclosures [Abstract] | ||||||||||||||||||||||||||||||||||||||||||
FINANCIAL INSTRUMENTS MEASURED AT FAIR VALUE ON A RECURRING BASIS | The table below presents the financial instruments measured at fair value on a recurring basis: | |||||||||||||||||||||||||||||||||||||||||
Quoted Prices in | Significant | Significant | Total Fair | |||||||||||||||||||||||||||||||||||||||
Active Markets for | Other Observable | Unobservable | Value | |||||||||||||||||||||||||||||||||||||||
Identical Assets | Inputs | Inputs | ||||||||||||||||||||||||||||||||||||||||
(Level 1) | (Level 2) | (Level 3) | ||||||||||||||||||||||||||||||||||||||||
At March 31, 2015 | ||||||||||||||||||||||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||||||||||||||||||
Fixed maturities | ||||||||||||||||||||||||||||||||||||||||||
U.S. government and agency | $ | 1,400,810 | $ | 93,347 | $ | — | $ | 1,494,157 | ||||||||||||||||||||||||||||||||||
Non-U.S. government | — | 873,097 | — | 873,097 | ||||||||||||||||||||||||||||||||||||||
Corporate debt | — | 4,507,421 | 26,857 | 4,534,278 | ||||||||||||||||||||||||||||||||||||||
Agency RMBS | — | 2,200,243 | — | 2,200,243 | ||||||||||||||||||||||||||||||||||||||
CMBS | — | 1,114,262 | 17,061 | 1,131,323 | ||||||||||||||||||||||||||||||||||||||
Non-Agency RMBS | — | 78,001 | — | 78,001 | ||||||||||||||||||||||||||||||||||||||
ABS | — | 1,455,908 | 39,921 | 1,495,829 | ||||||||||||||||||||||||||||||||||||||
Municipals | — | 205,966 | — | 205,966 | ||||||||||||||||||||||||||||||||||||||
1,400,810 | 10,528,245 | 83,839 | 12,012,894 | |||||||||||||||||||||||||||||||||||||||
Equity securities | ||||||||||||||||||||||||||||||||||||||||||
Exchange-traded funds | 498,047 | — | — | 498,047 | ||||||||||||||||||||||||||||||||||||||
Non-U.S. bond mutual funds | — | 103,282 | — | 103,282 | ||||||||||||||||||||||||||||||||||||||
498,047 | 103,282 | — | 601,329 | |||||||||||||||||||||||||||||||||||||||
Other investments | ||||||||||||||||||||||||||||||||||||||||||
Hedge funds | — | 281,417 | 495,849 | 777,266 | ||||||||||||||||||||||||||||||||||||||
Direct lending funds | — | — | 69,682 | 69,682 | ||||||||||||||||||||||||||||||||||||||
CLO - Equities | — | — | 92,058 | 92,058 | ||||||||||||||||||||||||||||||||||||||
— | 281,417 | 657,589 | 939,006 | |||||||||||||||||||||||||||||||||||||||
Short-term investments | — | 38,373 | — | 38,373 | ||||||||||||||||||||||||||||||||||||||
Derivative instruments (see Note 5) | — | 4,250 | — | 4,250 | ||||||||||||||||||||||||||||||||||||||
Insurance-linked securities | — | — | 25,000 | 25,000 | ||||||||||||||||||||||||||||||||||||||
Total Assets | $ | 1,898,857 | $ | 10,955,567 | $ | 766,428 | $ | 13,620,852 | ||||||||||||||||||||||||||||||||||
Liabilities | ||||||||||||||||||||||||||||||||||||||||||
Derivative instruments (see Note 5) | $ | — | $ | 10,312 | $ | 7,308 | $ | 17,620 | ||||||||||||||||||||||||||||||||||
Cash settled awards (see Note 7) | — | 12,641 | — | 12,641 | ||||||||||||||||||||||||||||||||||||||
Total Liabilities | $ | — | $ | 22,953 | $ | 7,308 | $ | 30,261 | ||||||||||||||||||||||||||||||||||
At December 31, 2014 | ||||||||||||||||||||||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||||||||||||||||||
Fixed maturities | ||||||||||||||||||||||||||||||||||||||||||
U.S. government and agency | $ | 1,497,922 | $ | 122,155 | $ | — | $ | 1,620,077 | ||||||||||||||||||||||||||||||||||
Non-U.S. government | — | 1,033,543 | — | 1,033,543 | ||||||||||||||||||||||||||||||||||||||
Corporate debt | — | 4,345,287 | 15,837 | 4,361,124 | ||||||||||||||||||||||||||||||||||||||
Agency RMBS | — | 2,278,108 | — | 2,278,108 | ||||||||||||||||||||||||||||||||||||||
CMBS | — | 1,079,125 | 17,763 | 1,096,888 | ||||||||||||||||||||||||||||||||||||||
Non-Agency RMBS | — | 73,086 | — | 73,086 | ||||||||||||||||||||||||||||||||||||||
ABS | — | 1,421,555 | 40,031 | 1,461,586 | ||||||||||||||||||||||||||||||||||||||
Municipals | — | 204,861 | — | 204,861 | ||||||||||||||||||||||||||||||||||||||
1,497,922 | 10,557,720 | 73,631 | 12,129,273 | |||||||||||||||||||||||||||||||||||||||
Equity securities | ||||||||||||||||||||||||||||||||||||||||||
Exchange-traded funds | 454,890 | — | — | 454,890 | ||||||||||||||||||||||||||||||||||||||
Non-U.S. bond mutual funds | — | 112,817 | — | 112,817 | ||||||||||||||||||||||||||||||||||||||
454,890 | 112,817 | — | 567,707 | |||||||||||||||||||||||||||||||||||||||
Other investments | ||||||||||||||||||||||||||||||||||||||||||
Hedge funds | — | 347,621 | 470,918 | 818,539 | ||||||||||||||||||||||||||||||||||||||
Direct lending funds | — | — | 54,438 | 54,438 | ||||||||||||||||||||||||||||||||||||||
CLO - Equities | — | — | 92,488 | 92,488 | ||||||||||||||||||||||||||||||||||||||
— | 347,621 | 617,844 | 965,465 | |||||||||||||||||||||||||||||||||||||||
Short-term investments | — | 107,534 | — | 107,534 | ||||||||||||||||||||||||||||||||||||||
Derivative instruments (see Note 5) | — | 7,153 | 111 | 7,264 | ||||||||||||||||||||||||||||||||||||||
Insurance-linked securities | — | — | — | — | ||||||||||||||||||||||||||||||||||||||
Total Assets | $ | 1,952,812 | $ | 11,132,845 | $ | 691,586 | $ | 13,777,243 | ||||||||||||||||||||||||||||||||||
Liabilities | ||||||||||||||||||||||||||||||||||||||||||
Derivative instruments (see Note 5) | $ | — | $ | 3,041 | $ | 15,288 | $ | 18,329 | ||||||||||||||||||||||||||||||||||
Cash settled awards (see Note 7) | — | 20,518 | — | 20,518 | ||||||||||||||||||||||||||||||||||||||
Total Liabilities | $ | — | $ | 23,559 | $ | 15,288 | $ | 38,847 | ||||||||||||||||||||||||||||||||||
LEVEL 3 FAIR VALUE MEASUREMENT INPUTS | Except for hedge funds, direct lending funds and our CLO fund priced using NAV as a practical expedient and certain fixed maturities and insurance-linked securities priced using broker-dealer quotes (underlying inputs are not available), the following table quantifies the significant unobservable inputs we have used in estimating fair value at March 31, 2015 for our investments classified as Level 3 in the fair value hierarchy. These significant unobservable inputs have not changed significantly from December 31, 2014. | |||||||||||||||||||||||||||||||||||||||||
Fair Value | Valuation Technique | Unobservable Input | Range | Weighted | ||||||||||||||||||||||||||||||||||||||
Average | ||||||||||||||||||||||||||||||||||||||||||
Other investments - CLO - Equities | $ | 36,960 | Discounted cash flow | Default rates | 4.0% - 5.0% | 4.30% | ||||||||||||||||||||||||||||||||||||
Loss severity rate | 53.50% | 53.50% | ||||||||||||||||||||||||||||||||||||||||
Collateral spreads | 3.0% - 3.5% | 3.30% | ||||||||||||||||||||||||||||||||||||||||
Estimated maturity dates | 2.9 - 4.1 years | 3.6 years | ||||||||||||||||||||||||||||||||||||||||
Derivatives - Weather derivatives, net | $ | (7,308 | ) | Simulation model | Weather curve | 632 - 2161(1) | n/a (2) | |||||||||||||||||||||||||||||||||||
Weather standard deviation | 59 - 250(1) | n/a (2) | ||||||||||||||||||||||||||||||||||||||||
(1) Measured in Heating Degree Days ("HDD") which is the number of degrees the daily temperature is below a reference temperature. The cumulative HDD for the duration of the derivatives contract is compared to the strike value to determine the necessary settlement. | ||||||||||||||||||||||||||||||||||||||||||
-2 | Due to the diversity of the portfolio, the range of unobservable inputs can be widespread; therefore, presentation of a weighted average is not useful. Weather parameters may include various temperature and/or precipitation measures that will naturally vary by geographic location of each counterparty's operations. | |||||||||||||||||||||||||||||||||||||||||
CHANGES IN LEVEL 3 FINANCIAL INSTRUMENTS MEASURED AT FAIR VALUE ON A RECURRING BASIS | The following tables present changes in Level 3 for financial instruments measured at fair value on a recurring basis for the periods indicated: | |||||||||||||||||||||||||||||||||||||||||
Opening | Transfers | Transfers | Included in | Included | Purchases | Sales | Settlements/ | Closing | Change in | |||||||||||||||||||||||||||||||||
Balance | into | out of | earnings (1) | in OCI (2) | Distributions | Balance | unrealized | |||||||||||||||||||||||||||||||||||
Level 3 | Level 3 | investment | ||||||||||||||||||||||||||||||||||||||||
gain/(loss) (3) | ||||||||||||||||||||||||||||||||||||||||||
Three months ended March 31, 2015 | ||||||||||||||||||||||||||||||||||||||||||
Fixed maturities | ||||||||||||||||||||||||||||||||||||||||||
Corporate debt | $ | 15,837 | $ | — | $ | — | $ | — | $ | 180 | $ | 10,910 | $ | — | $ | (70 | ) | $ | 26,857 | $ | — | |||||||||||||||||||||
CMBS | 17,763 | — | — | — | (204 | ) | — | — | (498 | ) | 17,061 | — | ||||||||||||||||||||||||||||||
ABS | 40,031 | — | — | — | 62 | — | — | (172 | ) | 39,921 | — | |||||||||||||||||||||||||||||||
73,631 | — | — | — | 38 | 10,910 | — | (740 | ) | 83,839 | — | ||||||||||||||||||||||||||||||||
Other investments | ||||||||||||||||||||||||||||||||||||||||||
Hedge funds | 470,918 | — | — | 18,931 | — | 6,000 | — | — | 495,849 | 18,931 | ||||||||||||||||||||||||||||||||
Direct lending funds | 54,438 | — | — | 667 | — | 15,418 | — | (841 | ) | 69,682 | 667 | |||||||||||||||||||||||||||||||
CLO - Equities | 92,488 | — | — | 6,087 | — | — | — | (6,517 | ) | 92,058 | 6,087 | |||||||||||||||||||||||||||||||
617,844 | — | — | 25,685 | — | 21,418 | — | (7,358 | ) | 657,589 | 25,685 | ||||||||||||||||||||||||||||||||
Other assets | ||||||||||||||||||||||||||||||||||||||||||
Derivative instruments | 111 | — | — | (1,067 | ) | — | — | — | 956 | — | — | |||||||||||||||||||||||||||||||
Insurance-linked securities | — | — | — | — | — | 25,000 | — | — | 25,000 | — | ||||||||||||||||||||||||||||||||
111 | — | — | (1,067 | ) | — | 25,000 | — | 956 | 25,000 | — | ||||||||||||||||||||||||||||||||
Total assets | $ | 691,586 | $ | — | $ | — | $ | 24,618 | $ | 38 | $ | 57,328 | $ | — | $ | (7,142 | ) | $ | 766,428 | $ | 25,685 | |||||||||||||||||||||
Other liabilities | ||||||||||||||||||||||||||||||||||||||||||
Derivative instruments | $ | 15,288 | $ | — | $ | — | $ | (8,551 | ) | $ | — | $ | 1,082 | $ | — | $ | (511 | ) | $ | 7,308 | $ | (2,058 | ) | |||||||||||||||||||
Total liabilities | $ | 15,288 | $ | — | $ | — | $ | (8,551 | ) | $ | — | $ | 1,082 | $ | — | $ | (511 | ) | $ | 7,308 | $ | (2,058 | ) | |||||||||||||||||||
Opening | Transfers | Transfers | Included in | Included | Purchases | Sales | Settlements/ | Closing | Change in | |||||||||||||||||||||||||||||||||
Balance | into | out of | earnings (1) | in OCI (2) | Distributions | Balance | unrealized | |||||||||||||||||||||||||||||||||||
Level 3 | Level 3 | investment | ||||||||||||||||||||||||||||||||||||||||
gain/(loss) (3) | ||||||||||||||||||||||||||||||||||||||||||
Three months ended March 31, 2014 | ||||||||||||||||||||||||||||||||||||||||||
Fixed maturities | ||||||||||||||||||||||||||||||||||||||||||
Corporate debt | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||||||||
CMBS | 4,018 | — | — | — | (20 | ) | — | — | (29 | ) | 3,969 | — | ||||||||||||||||||||||||||||||
ABS | 30,799 | 128 | — | — | (95 | ) | — | — | (108 | ) | 30,724 | — | ||||||||||||||||||||||||||||||
34,817 | 128 | — | — | (115 | ) | — | — | (137 | ) | 34,693 | — | |||||||||||||||||||||||||||||||
Other investments | ||||||||||||||||||||||||||||||||||||||||||
Hedge funds | 461,055 | — | — | 8,177 | — | 4,500 | — | (9,066 | ) | 464,666 | 8,177 | |||||||||||||||||||||||||||||||
Direct lending funds | 22,134 | — | — | 552 | — | 3,445 | — | (128 | ) | 26,003 | 552 | |||||||||||||||||||||||||||||||
CLO - Equities | 73,866 | — | — | 6,150 | — | 12,845 | — | (6,682 | ) | 86,179 | 6,150 | |||||||||||||||||||||||||||||||
557,055 | — | — | 14,879 | — | 20,790 | — | (15,876 | ) | 576,848 | 14,879 | ||||||||||||||||||||||||||||||||
Other assets | ||||||||||||||||||||||||||||||||||||||||||
Derivative instruments | 984 | — | — | 4,718 | — | — | — | (3,995 | ) | 1,707 | 1,540 | |||||||||||||||||||||||||||||||
Insurance-linked securities | — | — | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||
984 | — | — | 4,718 | — | — | — | (3,995 | ) | 1,707 | 1,540 | ||||||||||||||||||||||||||||||||
Total assets | $ | 592,856 | $ | 128 | $ | — | $ | 19,597 | $ | (115 | ) | $ | 20,790 | $ | — | $ | (20,008 | ) | $ | 613,248 | $ | 16,419 | ||||||||||||||||||||
Other liabilities | ||||||||||||||||||||||||||||||||||||||||||
Derivative instruments | $ | 815 | $ | — | $ | — | $ | 986 | $ | — | $ | — | $ | — | $ | (1,801 | ) | $ | — | $ | — | |||||||||||||||||||||
Total liabilities | $ | 815 | $ | — | $ | — | $ | 986 | $ | — | $ | — | $ | — | $ | (1,801 | ) | $ | — | $ | — | |||||||||||||||||||||
-1 | Gains and losses included in earnings on fixed maturities are included in net realized investment gains (losses). Gains and (losses) included in earnings on other investments are included in net investment income. Gains (losses) on weather derivatives included in earnings are included in other insurance-related income. | |||||||||||||||||||||||||||||||||||||||||
-2 | Gains and losses included in other comprehensive income (“OCI”) on fixed maturities are included in unrealized gains (losses) arising during the period. | |||||||||||||||||||||||||||||||||||||||||
-3 | Change in unrealized investment gain (loss) relating to assets held at the reporting date. |
DERIVATIVE_INSTRUMENTS_TABLES
DERIVATIVE INSTRUMENTS (TABLES) | 3 Months Ended | |||||||||||||||||||||||||
Mar. 31, 2015 | ||||||||||||||||||||||||||
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ||||||||||||||||||||||||||
LOCATION AND AMOUNTS OF DERIVATIVE FAIR VALUES ON THE CONSOLIDATED BALANCE SHEET | The following table summarizes the balance sheet classification of derivatives recorded at fair values. The notional amount of derivative contracts represents the basis upon which pay or receive amounts are calculated and is presented in the table to quantify the volume of our derivative activities. Notional amounts are not reflective of credit risk. | |||||||||||||||||||||||||
March 31, 2015 | December 31, 2014 | |||||||||||||||||||||||||
Derivative | Derivative | Derivative | Derivative | Derivative | Derivative | |||||||||||||||||||||
Notional | Asset | Liability | Notional | Asset | Liability | |||||||||||||||||||||
Amount | Fair | Fair | Amount | Fair | Fair | |||||||||||||||||||||
Value(1) | Value(1) | Value(1) | Value(1) | |||||||||||||||||||||||
Derivatives not designated as hedging instruments | ||||||||||||||||||||||||||
Relating to investment portfolio: | ||||||||||||||||||||||||||
Foreign exchange forward contracts | $ | 235,623 | $ | 3,607 | $ | 40 | $ | 161,678 | $ | 3,925 | $ | 12 | ||||||||||||||
Interest rate swaps | — | — | — | 140,000 | — | 248 | ||||||||||||||||||||
Relating to underwriting portfolio: | ||||||||||||||||||||||||||
Foreign exchange forward contracts | 664,621 | 643 | 10,272 | 577,836 | 3,228 | 2,781 | ||||||||||||||||||||
Weather-related contracts | 20,995 | — | 7,308 | 58,124 | 111 | 15,288 | ||||||||||||||||||||
Total derivatives | $ | 4,250 | $ | 17,620 | $ | 7,264 | $ | 18,329 | ||||||||||||||||||
-1 | Asset and liability derivatives are classified within other assets and other liabilities in the Consolidated Balance Sheets. | |||||||||||||||||||||||||
RECONCILIATION OF GROSS DERIVATIVE ASSETS AND LIABILITIES TO NET AMOUNTS PRESENTED IN BALANCE SHEETS | The table below presents a reconciliation of our gross derivative assets and liabilities to the net amounts presented in our Consolidated Balance Sheets, with the difference being attributable to the impact of master netting agreements. | |||||||||||||||||||||||||
March 31, 2015 | December 31, 2014 | |||||||||||||||||||||||||
Gross Amounts | Gross Amounts Offset | Net | Gross Amounts | Gross Amounts Offset | Net | |||||||||||||||||||||
Amounts(1) | Amounts(1) | |||||||||||||||||||||||||
Derivative assets | $ | 11,974 | $ | (7,724 | ) | $ | 4,250 | $ | 15,125 | $ | (7,861 | ) | $ | 7,264 | ||||||||||||
Derivative liabilities | $ | 25,344 | $ | (7,724 | ) | $ | 17,620 | $ | 26,190 | $ | (7,861 | ) | $ | 18,329 | ||||||||||||
-1 | Net asset and liability derivatives are classified within other assets and other liabilities in the Consolidated Balance Sheets. | |||||||||||||||||||||||||
NET EARNINGS IMPACT OF FAIR VALUE HEDGES AND TOTAL UNREALIZED AND REALIZED GAINS (LOSSES) ON DERIVATIVES NOT DESIGNATED AS HEDGES RECORDED IN EARNINGS | The total unrealized and realized gains (losses) recognized in earnings for derivatives not designated as hedges were as follows: | |||||||||||||||||||||||||
Location of Gain (Loss) Recognized in Income on Derivative | Three months ended March 31, | |||||||||||||||||||||||||
2015 | 2014 | |||||||||||||||||||||||||
Derivatives not designated as hedging instruments | ||||||||||||||||||||||||||
Relating to investment portfolio: | ||||||||||||||||||||||||||
Foreign exchange forward contracts | Net realized investment gains (losses) | $ | 6,537 | $ | (1,328 | ) | ||||||||||||||||||||
Interest rate swaps | Net realized investment gains (losses) | (4,006 | ) | (4,161 | ) | |||||||||||||||||||||
Relating to underwriting portfolio: | ||||||||||||||||||||||||||
Foreign exchange forward contracts | Foreign exchange losses (gains) | (15,273 | ) | 12,074 | ||||||||||||||||||||||
Weather-related contracts | Other insurance related income | 7,342 | 3,678 | |||||||||||||||||||||||
Total | $ | (5,400 | ) | $ | 10,263 | |||||||||||||||||||||
RESERVE_FOR_LOSSES_AND_LOSS_EX1
RESERVE FOR LOSSES AND LOSS EXPENSES (TABLES) | 3 Months Ended | ||||||||||
Mar. 31, 2015 | |||||||||||
Insurance Loss Reserves [Abstract] | |||||||||||
RECONCILIATION OF BEGINNING AND ENDING GROSS RESERVE FOR LOSSES AND LOSS EXPENSES AND NET RESERVE FOR UNPAID LOSSES AND LOSS EXPENSES | The following table presents a reconciliation of our beginning and ending gross reserve for losses and loss expenses and net reserve for unpaid losses and loss expenses for the periods indicated: | ||||||||||
Three months ended March 31, | 2015 | 2014 | |||||||||
Gross reserve for losses and loss expenses, beginning of period | $ | 9,596,797 | $ | 9,582,140 | |||||||
Less reinsurance recoverable on unpaid losses, beginning of period | (1,890,280 | ) | (1,900,112 | ) | |||||||
Net reserve for unpaid losses and loss expenses, beginning of period | 7,706,517 | 7,682,028 | |||||||||
Net incurred losses and loss expenses related to: | |||||||||||
Current year | 568,988 | 587,700 | |||||||||
Prior years | (50,051 | ) | (43,493 | ) | |||||||
518,937 | 544,207 | ||||||||||
Net paid losses and loss expenses related to: | |||||||||||
Current year | (23,527 | ) | (13,249 | ) | |||||||
Prior years | (485,315 | ) | (444,466 | ) | |||||||
(508,842 | ) | (457,715 | ) | ||||||||
Foreign exchange and other | (162,969 | ) | 14,501 | ||||||||
Net reserve for unpaid losses and loss expenses, end of period | 7,553,643 | 7,783,021 | |||||||||
Reinsurance recoverable on unpaid losses, end of period | 1,889,579 | 1,884,820 | |||||||||
Gross reserve for losses and loss expenses, end of period | $ | 9,443,222 | $ | 9,667,841 | |||||||
NET PRIOR YEAR RESERVE DEVELOPMENT BY SEGMENT | Prior year reserve development arises from changes to loss and loss expense estimates recognized in the current year but relating to losses incurred in previous calendar years. Such development is summarized by segment in the following table: | ||||||||||
Three months ended March 31, | |||||||||||
2015 | 2014 | ||||||||||
Insurance | $ | 3,361 | $ | 11,608 | |||||||
Reinsurance | 46,690 | 31,885 | |||||||||
Total | $ | 50,051 | $ | 43,493 | |||||||
SHAREBASED_COMPENSATION_TABLES
SHARE-BASED COMPENSATION (TABLES) | 3 Months Ended | |||||||||||||||
Mar. 31, 2015 | ||||||||||||||||
Disclosure of Compensation Related Costs, Share-based Payments [Abstract] | ||||||||||||||||
RECONCILIATION OF BEGINNING AND ENDING BALANCE OF NONVESTED RESTRICTED STOCK (INCLUDING RSUS) TO BE SETTLED IN SHARES | The following table provides a reconciliation of the beginning and ending balance of nonvested restricted stock (including restricted stock units) for the three months ended March 31, 2015: | |||||||||||||||
Performance-based Stock Awards | Service-based Stock Awards | |||||||||||||||
Number of | Weighted Average | Number of | Weighted Average | |||||||||||||
Restricted | Grant Date | Restricted | Grant Date | |||||||||||||
Stock | Fair Value | Stock | Fair Value | |||||||||||||
Nonvested restricted stock - beginning of period | 347 | $ | 37.34 | 2,768 | $ | 38.7 | ||||||||||
Granted | 60 | 51.31 | 511 | 51.31 | ||||||||||||
Vested | — | — | (984 | ) | 36.42 | |||||||||||
Forfeited | — | — | (17 | ) | 41.28 | |||||||||||
Nonvested restricted stock - end of period | 407 | $ | 39.39 | 2,278 | $ | 42.49 | ||||||||||
EARNINGS_PER_COMMON_SHARE_TABL
EARNINGS PER COMMON SHARE (TABLES) | 3 Months Ended | |||||||||
Mar. 31, 2015 | ||||||||||
Earnings Per Share [Abstract] | ||||||||||
BASIC AND DILUTED EARNINGS PER COMMON SHARE | The following table sets forth the comparison of basic and diluted earnings per common share: | |||||||||
Three months ended March 31, | ||||||||||
2015 | 2014 | |||||||||
Basic earnings per common share | ||||||||||
Net income | $ | 160,952 | $ | 148,471 | ||||||
Less: Amounts attributable to (from) noncontrolling interests | (4,873 | ) | 1,222 | |||||||
Less: preferred share dividends | 10,022 | 10,022 | ||||||||
Net income available to common shareholders | 155,803 | 137,227 | ||||||||
Weighted average common shares outstanding - basic | 99,910 | 109,053 | ||||||||
Basic earnings per common share | $ | 1.56 | $ | 1.26 | ||||||
Diluted earnings per common share | ||||||||||
Net income available to common shareholders | $ | 155,803 | $ | 137,227 | ||||||
Weighted average common shares outstanding - basic | 99,910 | 109,053 | ||||||||
Stock compensation plans | 1,229 | 1,338 | ||||||||
Weighted average common shares outstanding - diluted | 101,139 | 110,391 | ||||||||
Diluted earnings per common share | $ | 1.54 | $ | 1.24 | ||||||
Anti-dilutive shares excluded from the dilutive computation | 569 | 1,051 | ||||||||
SHAREHOLDERS_EQUITY_TABLES
SHAREHOLDERS' EQUITY (TABLES) | 3 Months Ended | |||||||||
Mar. 31, 2015 | ||||||||||
Stockholders' Equity Note [Abstract] | ||||||||||
COMMON SHARES ISSUED AND OUTSTANDING | The following table presents our common shares issued and outstanding: | |||||||||
Three months ended March 31, | ||||||||||
2015 | 2014 | |||||||||
Shares issued, balance at beginning of period | 175,478 | 174,134 | ||||||||
Shares issued | 712 | 1,061 | ||||||||
Total shares issued at end of period | 176,190 | 175,195 | ||||||||
Treasury shares, balance at beginning of period | (76,052 | ) | (64,649 | ) | ||||||
Shares repurchased | (290 | ) | (4,036 | ) | ||||||
Shares reissued from treasury | 371 | 235 | ||||||||
Total treasury shares at end of period | (75,971 | ) | (68,450 | ) | ||||||
Total shares outstanding | 100,219 | 106,745 | ||||||||
SHARE REPURCHASES | The following table presents our share repurchases: | |||||||||
Three months ended March 31, | ||||||||||
2015 | 2014 | |||||||||
In the open market: | ||||||||||
Total shares | 16 | 3,710 | ||||||||
Total cost | $ | 832 | $ | 164,606 | ||||||
Average price per share(1) | $ | 50.69 | $ | 44.37 | ||||||
From employees: | ||||||||||
Total shares | 274 | 326 | ||||||||
Total cost | $ | 13,939 | $ | 14,097 | ||||||
Average price per share(1) | $ | 50.97 | $ | 43.14 | ||||||
Total shares repurchased: | ||||||||||
Total shares | 290 | 4,036 | ||||||||
Total cost | $ | 14,771 | $ | 178,703 | ||||||
Average price per share(1) | $ | 50.95 | $ | 44.27 | ||||||
-1 | Calculated using whole figures. |
NONCONTROLLING_INTERESTS_TABLE
NONCONTROLLING INTERESTS (TABLES) | 3 Months Ended | |||||||||
Mar. 31, 2015 | ||||||||||
Noncontrolling Interest [Abstract] | ||||||||||
RECONCILIATION OF BEGINNING AND ENDING BALANCES OF NONCONTROLLING INTEREST | The reconciliation of the beginning and ending balances of the noncontrolling interests in Ventures Re for the periods indicated below was as follows: | |||||||||
Three months ended March 31, | 2015 | 2014 | ||||||||
Balance at beginning of period | $ | 58,819 | $ | 50,000 | ||||||
Increase from issuance of preferred equity to noncontrolling interests | 56,991 | — | ||||||||
Decrease from return of capital to noncontrolling interests | (40,000 | ) | — | |||||||
Amounts attributable to (from) noncontrolling interests | (4,873 | ) | 1,222 | |||||||
Foreign currency translation adjustment attributable to (from) noncontrolling interests | (1,865 | ) | — | |||||||
Balance at end of period | $ | 69,072 | $ | 51,222 | ||||||
OTHER_COMPREHENSIVE_INCOME_TAB
OTHER COMPREHENSIVE INCOME (TABLES) | 3 Months Ended | |||||||||||||||||||||||||
Mar. 31, 2015 | ||||||||||||||||||||||||||
Equity [Abstract] | ||||||||||||||||||||||||||
TAX EFFECTS ALLOCATED TO EACH COMPONENT OF OTHER COMPREHENSIVE INCOME | The tax effects allocated to each component of other comprehensive income were as follows: | |||||||||||||||||||||||||
2015 | 2014 | |||||||||||||||||||||||||
Before Tax Amount | Tax (Expense) Benefit | Net of Tax Amount | Before Tax Amount | Tax (Expense) Benefit | Net of Tax Amount | |||||||||||||||||||||
Three months ended March 31, | ||||||||||||||||||||||||||
Available for sale investments: | ||||||||||||||||||||||||||
Unrealized gains (losses) arising during the period | $ | 5,063 | $ | (10,250 | ) | $ | (5,187 | ) | $ | 80,560 | $ | (9,177 | ) | $ | 71,383 | |||||||||||
Adjustment for reclassification of net realized investment gains (losses) and OTTI losses recognized in net income | 45,098 | 6 | 45,104 | (16,069 | ) | 6,456 | (9,613 | ) | ||||||||||||||||||
Unrealized gains arising during the period, net of reclassification adjustment | 50,161 | (10,244 | ) | 39,917 | 64,491 | (2,721 | ) | 61,770 | ||||||||||||||||||
Non-credit portion of OTTI losses | — | — | — | — | — | — | ||||||||||||||||||||
Foreign currency translation adjustment | (13,278 | ) | — | (13,278 | ) | 2,659 | — | 2,659 | ||||||||||||||||||
Total other comprehensive income, net of tax | $ | 36,883 | $ | (10,244 | ) | $ | 26,639 | $ | 67,150 | $ | (2,721 | ) | $ | 64,429 | ||||||||||||
RECLASSIFICATIONS OUT OF AOCI INTO NET INCOME AVAILABLE TO COMMON SHAREHOLDERS | Reclassifications out of AOCI into net income available to common shareholders were as follows: | |||||||||||||||||||||||||
Amount Reclassified from AOCI(1) | ||||||||||||||||||||||||||
Details About AOCI Components | Consolidated Statement of Operations Line Item That Includes Reclassification | Three months ended March 31, | ||||||||||||||||||||||||
2015 | 2014 | |||||||||||||||||||||||||
Unrealized gains (losses) on available for sale investments | ||||||||||||||||||||||||||
Other realized investment gains (losses) | $ | (27,530 | ) | $ | 16,855 | |||||||||||||||||||||
OTTI losses | (17,568 | ) | (786 | ) | ||||||||||||||||||||||
Total before tax | (45,098 | ) | 16,069 | |||||||||||||||||||||||
Income tax expense | (6 | ) | (6,456 | ) | ||||||||||||||||||||||
Net of tax | $ | (45,104 | ) | $ | 9,613 | |||||||||||||||||||||
-1 | Amounts in parentheses are debits to net income available to common shareholders. |
SEGMENT_INFORMATION_DETAILS
SEGMENT INFORMATION (DETAILS) (USD $) | 3 Months Ended | ||
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 | Dec. 31, 2014 |
reportable_segment | |||
Segment Information [Line Items] | |||
Number of reportable segments | 2 | ||
Net premiums earned | $906,222 | $945,949 | |
Other insurance related income | 7,676 | 3,082 | |
Net losses and loss expenses | -518,937 | -544,207 | |
Acquisition costs | -171,702 | -172,036 | |
General and administrative expenses | -163,517 | -152,729 | |
Net investment income | 92,110 | 82,744 | |
Net realized investment gains (losses) | -42,553 | 10,620 | |
Foreign exchange (losses) gains | 63,220 | -4,233 | |
Interest expense and financing costs | -12,257 | -16,594 | |
Income before income taxes | 160,262 | 152,596 | |
Net loss and loss expense ratio | 57.30% | 57.50% | |
Acquisition cost ratio | 18.90% | 18.20% | |
General and administrative expense ratio | 18.10% | 16.20% | |
Combined ratio | 94.30% | 91.90% | |
Goodwill and intangible assets | 88,508 | 90,350 | 88,960 |
Operating Segments [Member] | |||
Segment Information [Line Items] | |||
Gross premiums written | 1,678,932 | 1,821,399 | |
Net premiums written | 1,463,552 | 1,664,584 | |
Net premiums earned | 906,222 | 945,949 | |
Other insurance related income | 7,676 | 3,082 | |
Net losses and loss expenses | -518,937 | -544,207 | |
Acquisition costs | -171,702 | -172,036 | |
General and administrative expenses | -127,345 | -124,022 | |
Underwriting income | 95,914 | 108,766 | |
Operating Segments [Member] | Insurance [Member] | |||
Segment Information [Line Items] | |||
Gross premiums written | 602,724 | 601,721 | |
Net premiums written | 436,740 | 456,692 | |
Net premiums earned | 447,467 | 449,214 | |
Other insurance related income | 0 | 0 | |
Net losses and loss expenses | -285,773 | -279,423 | |
Acquisition costs | -64,455 | -65,057 | |
General and administrative expenses | -87,689 | -87,946 | |
Underwriting income | 9,550 | 16,788 | |
Net loss and loss expense ratio | 63.90% | 62.20% | |
Acquisition cost ratio | 14.40% | 14.50% | |
General and administrative expense ratio | 19.60% | 19.60% | |
Combined ratio | 97.90% | 96.30% | |
Goodwill and intangible assets | 88,508 | 90,350 | |
Operating Segments [Member] | Reinsurance [Member] | |||
Segment Information [Line Items] | |||
Gross premiums written | 1,076,208 | 1,219,678 | |
Net premiums written | 1,026,812 | 1,207,892 | |
Net premiums earned | 458,755 | 496,735 | |
Other insurance related income | 7,676 | 3,082 | |
Net losses and loss expenses | -233,164 | -264,784 | |
Acquisition costs | -107,247 | -106,979 | |
General and administrative expenses | -39,656 | -36,076 | |
Underwriting income | 86,364 | 91,978 | |
Net loss and loss expense ratio | 50.80% | 53.30% | |
Acquisition cost ratio | 23.40% | 21.50% | |
General and administrative expense ratio | 8.60% | 7.30% | |
Combined ratio | 82.80% | 82.10% | |
Goodwill and intangible assets | 0 | 0 | |
Corporate, Non-Segment [Member] | |||
Segment Information [Line Items] | |||
General and administrative expenses | -36,172 | -28,707 | |
Significant Reconciling Items [Member] | |||
Segment Information [Line Items] | |||
Net investment income | 92,110 | 82,744 | |
Net realized investment gains (losses) | -42,553 | 10,620 | |
Foreign exchange (losses) gains | 63,220 | -4,233 | |
Interest expense and financing costs | ($12,257) | ($16,594) |
INVESTMENTS_DETAILS
INVESTMENTS (DETAILS) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 |
In Thousands, unless otherwise specified | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Amortized Cost | $12,012,633 | $12,185,973 |
Gross Unrealized Gains (fixed maturities) | 159,284 | 116,538 |
Gross Unrealized Losses (fixed maturities) | -159,023 | -173,238 |
Fair Value (fixed maturities) | 12,012,894 | 12,129,273 |
Non-credit OTTI in AOCI | -865 | -889 |
Cost | 572,317 | 531,648 |
Gross Unrealized Gains (equities) | 46,224 | 43,583 |
Gross Unrealized Losses (equities) | -17,212 | -7,524 |
Fair Value (equities) | 601,329 | 567,707 |
US Government and Agency [Member] | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Amortized Cost | 1,490,502 | 1,645,068 |
Gross Unrealized Gains (fixed maturities) | 9,183 | 3,337 |
Gross Unrealized Losses (fixed maturities) | -5,528 | -28,328 |
Fair Value (fixed maturities) | 1,494,157 | 1,620,077 |
Non-credit OTTI in AOCI | 0 | 0 |
Non-US Government [Member] | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Amortized Cost | 932,741 | 1,080,601 |
Gross Unrealized Gains (fixed maturities) | 7,041 | 7,383 |
Gross Unrealized Losses (fixed maturities) | -66,685 | -54,441 |
Fair Value (fixed maturities) | 873,097 | 1,033,543 |
Non-credit OTTI in AOCI | 0 | 0 |
Corporate Debt [Member] | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Amortized Cost | 4,549,974 | 4,386,432 |
Gross Unrealized Gains (fixed maturities) | 58,133 | 40,972 |
Gross Unrealized Losses (fixed maturities) | -73,829 | -66,280 |
Fair Value (fixed maturities) | 4,534,278 | 4,361,124 |
Non-credit OTTI in AOCI | 0 | 0 |
Agency RMBS [Member] | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Amortized Cost | 2,150,598 | 2,241,581 |
Gross Unrealized Gains (fixed maturities) | 51,061 | 40,762 |
Gross Unrealized Losses (fixed maturities) | -1,416 | -4,235 |
Fair Value (fixed maturities) | 2,200,243 | 2,278,108 |
Non-credit OTTI in AOCI | 0 | 0 |
CMBS [Member] | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Amortized Cost | 1,111,327 | 1,085,618 |
Gross Unrealized Gains (fixed maturities) | 21,219 | 13,289 |
Gross Unrealized Losses (fixed maturities) | -1,223 | -2,019 |
Fair Value (fixed maturities) | 1,131,323 | 1,096,888 |
Non-credit OTTI in AOCI | 0 | 0 |
Non-Agency RMBS [Member] | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Amortized Cost | 77,185 | 71,236 |
Gross Unrealized Gains (fixed maturities) | 2,560 | 2,765 |
Gross Unrealized Losses (fixed maturities) | -1,744 | -915 |
Fair Value (fixed maturities) | 78,001 | 73,086 |
Non-credit OTTI in AOCI | -865 | -889 |
ABS [Member] | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Amortized Cost | 1,500,493 | 1,475,026 |
Gross Unrealized Gains (fixed maturities) | 3,438 | 2,748 |
Gross Unrealized Losses (fixed maturities) | -8,102 | -16,188 |
Fair Value (fixed maturities) | 1,495,829 | 1,461,586 |
Non-credit OTTI in AOCI | 0 | 0 |
Municipals [Member] | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Amortized Cost | 199,813 | 200,411 |
Gross Unrealized Gains (fixed maturities) | 6,649 | 5,282 |
Gross Unrealized Losses (fixed maturities) | -496 | -832 |
Fair Value (fixed maturities) | 205,966 | 204,861 |
Non-credit OTTI in AOCI | 0 | 0 |
Exchange-Traded Funds [Member] | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Cost | 453,978 | 416,063 |
Gross Unrealized Gains (equities) | 46,224 | 43,583 |
Gross Unrealized Losses (equities) | -2,155 | -4,756 |
Fair Value (equities) | 498,047 | 454,890 |
Non-U.S. Bond Mutual Funds [Member] | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Cost | 118,339 | 115,585 |
Gross Unrealized Gains (equities) | 0 | 0 |
Gross Unrealized Losses (equities) | -15,057 | -2,768 |
Fair Value (equities) | $103,282 | $112,817 |
INVESTMENTS_DETAILS_2
INVESTMENTS (DETAILS 2) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 |
In Thousands, unless otherwise specified | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Due in one year or less (amortized cost) | $508,448 | $424,077 |
Due after one year through five years (amortized cost) | 4,387,194 | 4,925,780 |
Due after five years through ten years (amortized cost) | 2,042,045 | 1,755,248 |
Due after ten years (amortized cost) | 235,343 | 207,407 |
Total fixed maturities with a single maturity date (amortized cost) | 7,173,030 | 7,312,512 |
Total (amortized cost) | 12,012,633 | 12,185,973 |
Due in one year or less (fair value) | 503,179 | 423,265 |
Due after one year through five years (fair value) | 4,349,800 | 4,892,411 |
Due after five years through ten years (fair value) | 2,016,713 | 1,695,641 |
Due after ten years (fair value) | 237,806 | 208,288 |
Total fixed maturities with a single maturity date (fair value) | 7,107,498 | 7,219,605 |
Fair Value (fixed maturities) | 12,012,894 | 12,129,273 |
Due in one year or less (% of total fair value) | 4.20% | 3.50% |
Due after one year through five years (% of total fair value) | 36.20% | 40.30% |
Due after five years through ten years (% of total fair value) | 16.80% | 14.00% |
Due after ten years (% of total fair value) | 2.00% | 1.70% |
Fixed maturities with a single maturity date (% of total fair value) | 59.20% | 59.50% |
Total | 100.00% | 100.00% |
Agency RMBS [Member] | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Fixed maturities without a single maturity date (amortized cost) | 2,150,598 | 2,241,581 |
Total (amortized cost) | 2,150,598 | 2,241,581 |
Fixed maturities without a single maturity date (fair value) | 2,200,243 | 2,278,108 |
Fair Value (fixed maturities) | 2,200,243 | 2,278,108 |
Fixed maturities without a single maturity date (% of total fair value) | 18.30% | 18.80% |
CMBS [Member] | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Fixed maturities without a single maturity date (amortized cost) | 1,111,327 | 1,085,618 |
Total (amortized cost) | 1,111,327 | 1,085,618 |
Fixed maturities without a single maturity date (fair value) | 1,131,323 | 1,096,888 |
Fair Value (fixed maturities) | 1,131,323 | 1,096,888 |
Fixed maturities without a single maturity date (% of total fair value) | 9.40% | 9.00% |
Non-Agency RMBS [Member] | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Fixed maturities without a single maturity date (amortized cost) | 77,185 | 71,236 |
Total (amortized cost) | 77,185 | 71,236 |
Fixed maturities without a single maturity date (fair value) | 78,001 | 73,086 |
Fair Value (fixed maturities) | 78,001 | 73,086 |
Fixed maturities without a single maturity date (% of total fair value) | 0.60% | 0.60% |
ABS [Member] | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Fixed maturities without a single maturity date (amortized cost) | 1,500,493 | 1,475,026 |
Total (amortized cost) | 1,500,493 | 1,475,026 |
Fixed maturities without a single maturity date (fair value) | 1,495,829 | 1,461,586 |
Fair Value (fixed maturities) | $1,495,829 | $1,461,586 |
Fixed maturities without a single maturity date (% of total fair value) | 12.50% | 12.10% |
INVESTMENTS_DETAILS_3
INVESTMENTS (DETAILS 3) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 |
In Thousands, unless otherwise specified | security | security |
Fixed Maturities [Member] | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Fair Value - 12 months or greater | $840,063 | $1,354,213 |
Unrealized Losses - 12 months or greater | -50,863 | -71,302 |
Fair Value - Less than 12 months | 2,874,820 | 4,801,110 |
Unrealized Losses - Less than 12 months | -108,160 | -101,936 |
Total Fair Value of Securities in Unrealized Loss Position | 3,714,883 | 6,155,323 |
Total Unrealized Losses | -159,023 | -173,238 |
Number of Available For Sale Securities In Unrealized Loss Positions | 1,004 | 1,388 |
Number of Available For Sale Securities in Unrealized Loss Positions for 12 Months or Greater | 180 | 223 |
Fixed Maturities [Member] | Below Investment Grade or Not Rated [Member] | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Total Unrealized Losses | -17,000 | -36,000 |
US Government and Agency [Member] | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Fair Value - 12 months or greater | 94,248 | 388,551 |
Unrealized Losses - 12 months or greater | -4,525 | -24,319 |
Fair Value - Less than 12 months | 329,487 | 786,850 |
Unrealized Losses - Less than 12 months | -1,003 | -4,009 |
Total Fair Value of Securities in Unrealized Loss Position | 423,735 | 1,175,401 |
Total Unrealized Losses | -5,528 | -28,328 |
Non-US Government [Member] | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Fair Value - 12 months or greater | 112,581 | 143,602 |
Unrealized Losses - 12 months or greater | -31,924 | -29,171 |
Fair Value - Less than 12 months | 349,284 | 435,670 |
Unrealized Losses - Less than 12 months | -34,761 | -25,270 |
Total Fair Value of Securities in Unrealized Loss Position | 461,865 | 579,272 |
Total Unrealized Losses | -66,685 | -54,441 |
Corporate Debt [Member] | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Fair Value - 12 months or greater | 53,901 | 26,708 |
Unrealized Losses - 12 months or greater | -5,679 | -2,221 |
Fair Value - Less than 12 months | 1,263,181 | 2,199,672 |
Unrealized Losses - Less than 12 months | -68,150 | -64,059 |
Total Fair Value of Securities in Unrealized Loss Position | 1,317,082 | 2,226,380 |
Total Unrealized Losses | -73,829 | -66,280 |
Agency RMBS [Member] | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Fair Value - 12 months or greater | 55,492 | 259,914 |
Unrealized Losses - 12 months or greater | -748 | -3,084 |
Fair Value - Less than 12 months | 208,699 | 333,288 |
Unrealized Losses - Less than 12 months | -668 | -1,151 |
Total Fair Value of Securities in Unrealized Loss Position | 264,191 | 593,202 |
Total Unrealized Losses | -1,416 | -4,235 |
CMBS [Member] | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Fair Value - 12 months or greater | 54,293 | 68,624 |
Unrealized Losses - 12 months or greater | -719 | -925 |
Fair Value - Less than 12 months | 145,716 | 256,225 |
Unrealized Losses - Less than 12 months | -504 | -1,094 |
Total Fair Value of Securities in Unrealized Loss Position | 200,009 | 324,849 |
Total Unrealized Losses | -1,223 | -2,019 |
Non-Agency RMBS [Member] | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Fair Value - 12 months or greater | 5,685 | 6,689 |
Unrealized Losses - 12 months or greater | -762 | -613 |
Fair Value - Less than 12 months | 17,917 | 13,442 |
Unrealized Losses - Less than 12 months | -982 | -302 |
Total Fair Value of Securities in Unrealized Loss Position | 23,602 | 20,131 |
Total Unrealized Losses | -1,744 | -915 |
ABS [Member] | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Fair Value - 12 months or greater | 449,335 | 425,663 |
Unrealized Losses - 12 months or greater | -6,367 | -10,325 |
Fair Value - Less than 12 months | 544,239 | 750,679 |
Unrealized Losses - Less than 12 months | -1,735 | -5,863 |
Total Fair Value of Securities in Unrealized Loss Position | 993,574 | 1,176,342 |
Total Unrealized Losses | -8,102 | -16,188 |
Municipals [Member] | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Fair Value - 12 months or greater | 14,528 | 34,462 |
Unrealized Losses - 12 months or greater | -139 | -644 |
Fair Value - Less than 12 months | 16,297 | 25,284 |
Unrealized Losses - Less than 12 months | -357 | -188 |
Total Fair Value of Securities in Unrealized Loss Position | 30,825 | 59,746 |
Total Unrealized Losses | -496 | -832 |
Equity Securities [Member] | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Fair Value - 12 months or greater | 0 | 0 |
Unrealized Losses - 12 months or greater | 0 | 0 |
Fair Value - Less than 12 months | 183,512 | 204,092 |
Unrealized Losses - Less than 12 months | -17,212 | -7,524 |
Total Fair Value of Securities in Unrealized Loss Position | 183,512 | 204,092 |
Total Unrealized Losses | -17,212 | -7,524 |
Number of Available For Sale Securities In Unrealized Loss Positions | 8 | 9 |
Number of Available For Sale Securities in Unrealized Loss Positions for 12 Months or Greater | 0 | 0 |
Exchange-Traded Funds [Member] | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Fair Value - 12 months or greater | 0 | 0 |
Unrealized Losses - 12 months or greater | 0 | 0 |
Fair Value - Less than 12 months | 80,230 | 91,275 |
Unrealized Losses - Less than 12 months | -2,155 | -4,756 |
Total Fair Value of Securities in Unrealized Loss Position | 80,230 | 91,275 |
Total Unrealized Losses | -2,155 | -4,756 |
Non-U.S. Bond Mutual Funds [Member] | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Fair Value - 12 months or greater | 0 | 0 |
Unrealized Losses - 12 months or greater | 0 | 0 |
Fair Value - Less than 12 months | 103,282 | 112,817 |
Unrealized Losses - Less than 12 months | -15,057 | -2,768 |
Total Fair Value of Securities in Unrealized Loss Position | 103,282 | 112,817 |
Total Unrealized Losses | ($15,057) | ($2,768) |
INVESTMENTS_DETAILS_4
INVESTMENTS (DETAILS 4) (USD $) | 3 Months Ended | 12 Months Ended | |
Mar. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
Other Investments [Line Items] | |||
Other investments | $939,006,000 | $965,465,000 | |
Percentage of total fair value | 100.00% | 100.00% | |
Hedge Funds [Member] | Lockup Redemption Restriction [Member] | |||
Other Investments [Line Items] | |||
Fair value of other investments subject to redemption restrictions | 95,000,000 | 87,000,000 | |
Percentage of fair value of other investments subject to redemption restrictions | 12.00% | 11.00% | |
Hedge Funds [Member] | Other Redemption Restriction [Member] | |||
Other Investments [Line Items] | |||
Fair value of other investments subject to redemption restrictions | 6,000,000 | 6,000,000 | |
Long/short equity funds [Member] | |||
Other Investments [Line Items] | |||
Other investments | 242,096,000 | 298,907,000 | |
Percentage of total fair value | 26.00% | 31.00% | |
Redemption frequency | Quarterly, Semi-annually | Quarterly, Semi-annually | |
Long/short equity funds [Member] | Minimum [Member] | |||
Other Investments [Line Items] | |||
Redemption notice period | 30 days | 30 days | |
Long/short equity funds [Member] | Maximum [Member] | |||
Other Investments [Line Items] | |||
Redemption notice period | 60 days | 60 days | |
Multi-strategy funds [Member] | |||
Other Investments [Line Items] | |||
Other investments | 336,342,000 | 324,020,000 | |
Percentage of total fair value | 36.00% | 34.00% | |
Redemption frequency | Quarterly, Semi-annually | Quarterly, Semi-annually | |
Optional extension of investment term | 3 years | ||
Multi-strategy funds [Member] | Other Redemption Restriction [Member] | |||
Other Investments [Line Items] | |||
Unfunded commitments related to other investments | 29,000,000 | 60,000,000 | |
Multi-strategy funds [Member] | Minimum [Member] | |||
Other Investments [Line Items] | |||
Redemption notice period | 60 days | 60 days | |
Multi-strategy funds [Member] | Maximum [Member] | |||
Other Investments [Line Items] | |||
Redemption notice period | 95 days | 95 days | |
Event driven funds [Member] | |||
Other Investments [Line Items] | |||
Other investments | 189,212,000 | 185,899,000 | |
Percentage of total fair value | 20.00% | 19.00% | |
Redemption frequency | Quarterly, Annually | Quarterly, Annually | |
Event driven funds [Member] | Minimum [Member] | |||
Other Investments [Line Items] | |||
Redemption notice period | 45 days | 45 days | |
Event driven funds [Member] | Maximum [Member] | |||
Other Investments [Line Items] | |||
Redemption notice period | 60 days | 60 days | |
Leveraged bank loan funds [Member] | |||
Other Investments [Line Items] | |||
Other investments | 9,616,000 | 9,713,000 | |
Percentage of total fair value | 1.00% | 1.00% | |
Redemption frequency | Quarterly | Quarterly | |
Redemption notice period | 65 days | 65 days | |
Direct Lending Funds [Member] | |||
Other Investments [Line Items] | |||
Other investments | 69,682,000 | 54,438,000 | |
Percentage of total fair value | 7.00% | 6.00% | |
Optional extension of investment term | 3 years | ||
Direct Lending Funds [Member] | Other Redemption Restriction [Member] | |||
Other Investments [Line Items] | |||
Fair value of other investments subject to redemption restrictions | 69,682,000 | 54,438,000 | |
Percentage of fair value of other investments subject to redemption restrictions | 7.00% | 6.00% | |
Unfunded commitments related to other investments | 72,000,000 | 88,000,000 | |
Direct Lending Funds [Member] | Minimum [Member] | |||
Other Investments [Line Items] | |||
Investment term | 5 years | ||
Direct Lending Funds [Member] | Maximum [Member] | |||
Other Investments [Line Items] | |||
Investment term | 10 years | ||
CLO-Equities [Member] | |||
Other Investments [Line Items] | |||
Other investments | 92,058,000 | 92,488,000 | |
Percentage of total fair value | 10.00% | 9.00% | |
Real estate funds [Member] | |||
Other Investments [Line Items] | |||
Investment term | 8 years | ||
Real estate funds [Member] | Other Redemption Restriction [Member] | |||
Other Investments [Line Items] | |||
Unfunded commitments related to other investments | $100,000,000 | ||
Commitment period | 3 years |
INVESTMENTS_DETAILS_5
INVESTMENTS (DETAILS 5) (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 |
Net Investment Income [Line Items] | ||
Gross investment income | $99,883 | $93,080 |
Investment expenses | -7,773 | -10,336 |
Net investment income | 92,110 | 82,744 |
Fixed Maturities [Member] | ||
Net Investment Income [Line Items] | ||
Gross investment income | 66,101 | 72,957 |
Other Investments [Member] | ||
Net Investment Income [Line Items] | ||
Gross investment income | 30,935 | 16,760 |
Equity Securities [Member] | ||
Net Investment Income [Line Items] | ||
Gross investment income | 1,676 | 2,286 |
Cash And Cash Equivalents [Member] | ||
Net Investment Income [Line Items] | ||
Gross investment income | 1,102 | 863 |
Short-term Investments [Member] | ||
Net Investment Income [Line Items] | ||
Gross investment income | $69 | $214 |
INVESTMENTS_DETAILS_6
INVESTMENTS (DETAILS 6) (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 |
Schedule Of Available For Sale Securities [Line Items] | ||
Gross realized gains | $15,699 | $53,037 |
Gross realized losses | -43,215 | -36,142 |
Net OTTI recognized in earnings | -17,568 | -786 |
Change in fair value of investment derivatives | 2,531 | -5,489 |
Total net realized investment gains (losses) | -42,553 | 10,620 |
Fixed Maturities And Short-Term Investments [Member] | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Gross realized gains | 15,661 | 33,770 |
Gross realized losses | -43,091 | -33,704 |
Equity Securities [Member] | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Gross realized gains | 38 | 19,267 |
Gross realized losses | ($124) | ($2,438) |
INVESTMENTS_DETAILS_7
INVESTMENTS (DETAILS 7) (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 |
Other Than Temporary Impairment Losses Investments Portion Recognized In Earnings Net [Line Items] | ||
Total OTTI recognized in earnings | $17,568 | $786 |
Fixed Maturities [Member] | ||
Other Than Temporary Impairment Losses Investments Portion Recognized In Earnings Net [Line Items] | ||
Total OTTI recognized in earnings | 17,568 | 109 |
Non-US Government [Member] | ||
Other Than Temporary Impairment Losses Investments Portion Recognized In Earnings Net [Line Items] | ||
Total OTTI recognized in earnings | 1,422 | 38 |
Corporate Debt [Member] | ||
Other Than Temporary Impairment Losses Investments Portion Recognized In Earnings Net [Line Items] | ||
Total OTTI recognized in earnings | 16,120 | 15 |
Non-Agency RMBS [Member] | ||
Other Than Temporary Impairment Losses Investments Portion Recognized In Earnings Net [Line Items] | ||
Total OTTI recognized in earnings | 4 | 0 |
ABS [Member] | ||
Other Than Temporary Impairment Losses Investments Portion Recognized In Earnings Net [Line Items] | ||
Total OTTI recognized in earnings | 22 | 56 |
Equity Securities [Member] | ||
Other Than Temporary Impairment Losses Investments Portion Recognized In Earnings Net [Line Items] | ||
Total OTTI recognized in earnings | 0 | 677 |
Common Stock [Member] | ||
Other Than Temporary Impairment Losses Investments Portion Recognized In Earnings Net [Line Items] | ||
Total OTTI recognized in earnings | $0 | $677 |
INVESTMENTS_DETAILS_8
INVESTMENTS (DETAILS 8) (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 |
Credit Losses For Which a Portion of OTTI Was Recognized in AOCI [Roll Forward] | ||
Balance at beginning of period | $1,531 | $1,594 |
Credit impairments recognized on securities not previously impaired | 0 | 0 |
Additional credit impairments recognized on securities previously impaired | 10 | 0 |
Change in timing of future cash flows on securities previously impaired | 0 | 0 |
Intent to sell of securities previously impaired | 0 | 0 |
Securities sold/redeemed/matured | 0 | -4 |
Balance at end of period | $1,541 | $1,590 |
INVESTMENTS_DETAILS_9
INVESTMENTS (DETAILS 9) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 |
In Millions, unless otherwise specified | ||
Investments, Debt and Equity Securities [Abstract] | ||
Value of reverse repurchase agreements | $123 | $110 |
Minimum required collateral for reverse repurchase agreements, expressed as a percentage of loan principal | 102.00% |
FAIR_VALUE_MEASUREMENTS_DETAIL
FAIR VALUE MEASUREMENTS (DETAILS) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 |
In Thousands, unless otherwise specified | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Fixed maturities | $12,012,894 | $12,129,273 |
Equity securities | 601,329 | 567,707 |
Other investments | 939,006 | 965,465 |
Short-term investments | 38,373 | 107,534 |
Derivative instruments (see Note 5) | 4,250 | 7,264 |
Derivative instruments (see Note 5) | 17,620 | 18,329 |
Fair Value Measurements Recurring [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Fixed maturities | 12,012,894 | 12,129,273 |
Equity securities | 601,329 | 567,707 |
Other investments | 939,006 | 965,465 |
Short-term investments | 38,373 | 107,534 |
Derivative instruments (see Note 5) | 4,250 | 7,264 |
Insurance-linked securities | 25,000 | 0 |
Total Assets | 13,620,852 | 13,777,243 |
Derivative instruments (see Note 5) | 17,620 | 18,329 |
Cash settled awards (see Note 7) | 12,641 | 20,518 |
Total Liabilities | 30,261 | 38,847 |
US Government and Agency [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Fixed maturities | 1,494,157 | 1,620,077 |
US Government and Agency [Member] | Fair Value Measurements Recurring [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Fixed maturities | 1,494,157 | 1,620,077 |
Non-US Government [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Fixed maturities | 873,097 | 1,033,543 |
Non-US Government [Member] | Fair Value Measurements Recurring [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Fixed maturities | 873,097 | 1,033,543 |
Corporate Debt [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Fixed maturities | 4,534,278 | 4,361,124 |
Corporate Debt [Member] | Fair Value Measurements Recurring [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Fixed maturities | 4,534,278 | 4,361,124 |
Agency RMBS [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Fixed maturities | 2,200,243 | 2,278,108 |
Agency RMBS [Member] | Fair Value Measurements Recurring [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Fixed maturities | 2,200,243 | 2,278,108 |
CMBS [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Fixed maturities | 1,131,323 | 1,096,888 |
CMBS [Member] | Fair Value Measurements Recurring [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Fixed maturities | 1,131,323 | 1,096,888 |
Non-Agency RMBS [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Fixed maturities | 78,001 | 73,086 |
Non-Agency RMBS [Member] | Fair Value Measurements Recurring [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Fixed maturities | 78,001 | 73,086 |
ABS [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Fixed maturities | 1,495,829 | 1,461,586 |
ABS [Member] | Fair Value Measurements Recurring [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Fixed maturities | 1,495,829 | 1,461,586 |
Municipals [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Fixed maturities | 205,966 | 204,861 |
Municipals [Member] | Fair Value Measurements Recurring [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Fixed maturities | 205,966 | 204,861 |
Exchange-Traded Funds [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Equity securities | 498,047 | 454,890 |
Exchange-Traded Funds [Member] | Fair Value Measurements Recurring [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Equity securities | 498,047 | 454,890 |
Non-U.S. Bond Mutual Funds [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Equity securities | 103,282 | 112,817 |
Non-U.S. Bond Mutual Funds [Member] | Fair Value Measurements Recurring [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Equity securities | 103,282 | 112,817 |
Hedge Funds [Member] | Fair Value Measurements Recurring [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Other investments | 777,266 | 818,539 |
Direct Lending Funds [Member] | Fair Value Measurements Recurring [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Other investments | 69,682 | 54,438 |
CLO-Equities [Member] | Fair Value Measurements Recurring [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Other investments | 92,058 | 92,488 |
Level 1 [Member] | Fair Value Measurements Recurring [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Fixed maturities | 1,400,810 | 1,497,922 |
Equity securities | 498,047 | 454,890 |
Other investments | 0 | 0 |
Short-term investments | 0 | 0 |
Derivative instruments (see Note 5) | 0 | 0 |
Insurance-linked securities | 0 | 0 |
Total Assets | 1,898,857 | 1,952,812 |
Derivative instruments (see Note 5) | 0 | 0 |
Cash settled awards (see Note 7) | 0 | 0 |
Total Liabilities | 0 | 0 |
Level 1 [Member] | US Government and Agency [Member] | Fair Value Measurements Recurring [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Fixed maturities | 1,400,810 | 1,497,922 |
Level 1 [Member] | Non-US Government [Member] | Fair Value Measurements Recurring [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Fixed maturities | 0 | 0 |
Level 1 [Member] | Corporate Debt [Member] | Fair Value Measurements Recurring [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Fixed maturities | 0 | 0 |
Level 1 [Member] | Agency RMBS [Member] | Fair Value Measurements Recurring [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Fixed maturities | 0 | 0 |
Level 1 [Member] | CMBS [Member] | Fair Value Measurements Recurring [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Fixed maturities | 0 | 0 |
Level 1 [Member] | Non-Agency RMBS [Member] | Fair Value Measurements Recurring [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Fixed maturities | 0 | 0 |
Level 1 [Member] | ABS [Member] | Fair Value Measurements Recurring [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Fixed maturities | 0 | 0 |
Level 1 [Member] | Municipals [Member] | Fair Value Measurements Recurring [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Fixed maturities | 0 | 0 |
Level 1 [Member] | Exchange-Traded Funds [Member] | Fair Value Measurements Recurring [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Equity securities | 498,047 | 454,890 |
Level 1 [Member] | Non-U.S. Bond Mutual Funds [Member] | Fair Value Measurements Recurring [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Equity securities | 0 | 0 |
Level 1 [Member] | Hedge Funds [Member] | Fair Value Measurements Recurring [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Other investments | 0 | 0 |
Level 1 [Member] | Direct Lending Funds [Member] | Fair Value Measurements Recurring [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Other investments | 0 | 0 |
Level 1 [Member] | CLO-Equities [Member] | Fair Value Measurements Recurring [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Other investments | 0 | 0 |
Level 2 [Member] | Fair Value Measurements Recurring [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Fixed maturities | 10,528,245 | 10,557,720 |
Equity securities | 103,282 | 112,817 |
Other investments | 281,417 | 347,621 |
Short-term investments | 38,373 | 107,534 |
Derivative instruments (see Note 5) | 4,250 | 7,153 |
Insurance-linked securities | 0 | 0 |
Total Assets | 10,955,567 | 11,132,845 |
Derivative instruments (see Note 5) | 10,312 | 3,041 |
Cash settled awards (see Note 7) | 12,641 | 20,518 |
Total Liabilities | 22,953 | 23,559 |
Level 2 [Member] | US Government and Agency [Member] | Fair Value Measurements Recurring [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Fixed maturities | 93,347 | 122,155 |
Level 2 [Member] | Non-US Government [Member] | Fair Value Measurements Recurring [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Fixed maturities | 873,097 | 1,033,543 |
Level 2 [Member] | Corporate Debt [Member] | Fair Value Measurements Recurring [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Fixed maturities | 4,507,421 | 4,345,287 |
Level 2 [Member] | Agency RMBS [Member] | Fair Value Measurements Recurring [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Fixed maturities | 2,200,243 | 2,278,108 |
Level 2 [Member] | CMBS [Member] | Fair Value Measurements Recurring [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Fixed maturities | 1,114,262 | 1,079,125 |
Level 2 [Member] | Non-Agency RMBS [Member] | Fair Value Measurements Recurring [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Fixed maturities | 78,001 | 73,086 |
Level 2 [Member] | ABS [Member] | Fair Value Measurements Recurring [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Fixed maturities | 1,455,908 | 1,421,555 |
Level 2 [Member] | Municipals [Member] | Fair Value Measurements Recurring [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Fixed maturities | 205,966 | 204,861 |
Level 2 [Member] | Exchange-Traded Funds [Member] | Fair Value Measurements Recurring [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Equity securities | 0 | 0 |
Level 2 [Member] | Non-U.S. Bond Mutual Funds [Member] | Fair Value Measurements Recurring [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Equity securities | 103,282 | 112,817 |
Level 2 [Member] | Hedge Funds [Member] | Fair Value Measurements Recurring [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Other investments | 281,417 | 347,621 |
Level 2 [Member] | Direct Lending Funds [Member] | Fair Value Measurements Recurring [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Other investments | 0 | 0 |
Level 2 [Member] | CLO-Equities [Member] | Fair Value Measurements Recurring [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Other investments | 0 | 0 |
Level 3 [Member] | Fair Value Measurements Recurring [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Fixed maturities | 83,839 | 73,631 |
Equity securities | 0 | 0 |
Other investments | 657,589 | 617,844 |
Short-term investments | 0 | 0 |
Derivative instruments (see Note 5) | 0 | 111 |
Insurance-linked securities | 25,000 | 0 |
Total Assets | 766,428 | 691,586 |
Derivative instruments (see Note 5) | 7,308 | 15,288 |
Cash settled awards (see Note 7) | 0 | 0 |
Total Liabilities | 7,308 | 15,288 |
Level 3 [Member] | US Government and Agency [Member] | Fair Value Measurements Recurring [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Fixed maturities | 0 | 0 |
Level 3 [Member] | Non-US Government [Member] | Fair Value Measurements Recurring [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Fixed maturities | 0 | 0 |
Level 3 [Member] | Corporate Debt [Member] | Fair Value Measurements Recurring [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Fixed maturities | 26,857 | 15,837 |
Level 3 [Member] | Agency RMBS [Member] | Fair Value Measurements Recurring [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Fixed maturities | 0 | 0 |
Level 3 [Member] | CMBS [Member] | Fair Value Measurements Recurring [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Fixed maturities | 17,061 | 17,763 |
Level 3 [Member] | Non-Agency RMBS [Member] | Fair Value Measurements Recurring [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Fixed maturities | 0 | 0 |
Level 3 [Member] | ABS [Member] | Fair Value Measurements Recurring [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Fixed maturities | 39,921 | 40,031 |
Level 3 [Member] | Municipals [Member] | Fair Value Measurements Recurring [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Fixed maturities | 0 | 0 |
Level 3 [Member] | Exchange-Traded Funds [Member] | Fair Value Measurements Recurring [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Equity securities | 0 | 0 |
Level 3 [Member] | Non-U.S. Bond Mutual Funds [Member] | Fair Value Measurements Recurring [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Equity securities | 0 | 0 |
Level 3 [Member] | Hedge Funds [Member] | Fair Value Measurements Recurring [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Other investments | 495,849 | 470,918 |
Level 3 [Member] | Direct Lending Funds [Member] | Fair Value Measurements Recurring [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Other investments | 69,682 | 54,438 |
Level 3 [Member] | CLO-Equities [Member] | Fair Value Measurements Recurring [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Other investments | $92,058 | $92,488 |
FAIR_VALUE_MEASUREMENTS_DETAIL1
FAIR VALUE MEASUREMENTS (DETAILS 2) (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2015 | Dec. 31, 2014 |
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Fixed maturities | $12,012,894 | $12,129,273 |
Other investments | 939,006 | 965,465 |
Discounted cash flow [Member] | Level 3 [Member] | Other Investments - CLO-Equities [Member] | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Other investments | 36,960 | |
Loss severity rate | 53.50% | |
Simulation model [Member] | Level 3 [Member] | Weather Related Derivative [Member] | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Net derivative assets | ($7,308) | |
Minimum [Member] | Discounted cash flow [Member] | Level 3 [Member] | Other Investments - CLO-Equities [Member] | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Default rates | 4.00% | |
Collateral spreads | 3.00% | |
Estimated maturity dates | 2 years 10 months 29 days | |
Minimum [Member] | Simulation model [Member] | Level 3 [Member] | Weather Related Derivative [Member] | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Weather curve | 632 | |
Weather standard deviation | 59 | |
Maximum [Member] | Discounted cash flow [Member] | Level 3 [Member] | Other Investments - CLO-Equities [Member] | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Default rates | 5.00% | |
Collateral spreads | 3.50% | |
Estimated maturity dates | 4 years 1 month 6 days | |
Maximum [Member] | Simulation model [Member] | Level 3 [Member] | Weather Related Derivative [Member] | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Weather curve | 2,161 | |
Weather standard deviation | 250 | |
Weighted Average [Member] | Discounted cash flow [Member] | Level 3 [Member] | Other Investments - CLO-Equities [Member] | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Default rates | 4.30% | |
Loss severity rate | 53.50% | |
Collateral spreads | 3.30% | |
Estimated maturity dates | 3 years 7 months 9 days |
FAIR_VALUE_MEASUREMENTS_DETAIL2
FAIR VALUE MEASUREMENTS (DETAILS 3) (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 |
Fixed Maturities [Member] | ||
Changes in Level 3 Financial Instruments Measured at Fair Value on a Recurring Basis [Line Items] | ||
Balance at beginning of period | $73,631 | $34,817 |
Transfers into Level 3 | 0 | 128 |
Transfers out of Level 3 | 0 | 0 |
Included in earnings | 0 | 0 |
Included in OCI | 38 | -115 |
Purchases | 10,910 | 0 |
Sales | 0 | 0 |
Settlements/ Distributions | -740 | -137 |
Balance at end of period | 83,839 | 34,693 |
Change in unrealized investment gain/loss relating to assets held at the reporting date | 0 | 0 |
Other Investments [Member] | ||
Changes in Level 3 Financial Instruments Measured at Fair Value on a Recurring Basis [Line Items] | ||
Balance at beginning of period | 617,844 | 557,055 |
Transfers into Level 3 | 0 | 0 |
Transfers out of Level 3 | 0 | 0 |
Included in earnings | 25,685 | 14,879 |
Included in OCI | 0 | 0 |
Purchases | 21,418 | 20,790 |
Sales | 0 | 0 |
Settlements/ Distributions | -7,358 | -15,876 |
Balance at end of period | 657,589 | 576,848 |
Change in unrealized investment gain/loss relating to assets held at the reporting date | 25,685 | 14,879 |
Other Assets [Member] | ||
Changes in Level 3 Financial Instruments Measured at Fair Value on a Recurring Basis [Line Items] | ||
Balance at beginning of period | 111 | 984 |
Transfers into Level 3 | 0 | 0 |
Transfers out of Level 3 | 0 | 0 |
Included in earnings | -1,067 | 4,718 |
Included in OCI | 0 | 0 |
Purchases | 25,000 | 0 |
Sales | 0 | 0 |
Settlements/ Distributions | 956 | -3,995 |
Balance at end of period | 25,000 | 1,707 |
Change in unrealized investment gain/loss relating to assets held at the reporting date | 0 | 1,540 |
Total Assets [Member] | ||
Changes in Level 3 Financial Instruments Measured at Fair Value on a Recurring Basis [Line Items] | ||
Balance at beginning of period | 691,586 | 592,856 |
Transfers into Level 3 | 0 | 128 |
Transfers out of Level 3 | 0 | 0 |
Included in earnings | 24,618 | 19,597 |
Included in OCI | 38 | -115 |
Purchases | 57,328 | 20,790 |
Sales | 0 | 0 |
Settlements/ Distributions | -7,142 | -20,008 |
Balance at end of period | 766,428 | 613,248 |
Change in unrealized investment gain/loss relating to assets held at the reporting date | 25,685 | 16,419 |
Total Liabilities [Member] | ||
Changes in Level 3 Financial Instruments Measured at Fair Value on a Recurring Basis [Line Items] | ||
Balance at beginning of period | 15,288 | 815 |
Transfers into Level 3 | 0 | 0 |
Transfers out of Level 3 | 0 | 0 |
Included in earnings | -8,551 | 986 |
Included in OCI | 0 | 0 |
Purchases | 1,082 | 0 |
Sales | 0 | 0 |
Settlements/ Distributions | -511 | -1,801 |
Balance at end of period | 7,308 | 0 |
Change in unrealized investment gain/loss relating to assets held at the reporting date | -2,058 | 0 |
Corporate Debt [Member] | Fixed Maturities [Member] | ||
Changes in Level 3 Financial Instruments Measured at Fair Value on a Recurring Basis [Line Items] | ||
Balance at beginning of period | 15,837 | 0 |
Transfers into Level 3 | 0 | 0 |
Transfers out of Level 3 | 0 | 0 |
Included in earnings | 0 | 0 |
Included in OCI | 180 | 0 |
Purchases | 10,910 | 0 |
Sales | 0 | 0 |
Settlements/ Distributions | -70 | 0 |
Balance at end of period | 26,857 | 0 |
Change in unrealized investment gain/loss relating to assets held at the reporting date | 0 | 0 |
CMBS [Member] | Fixed Maturities [Member] | ||
Changes in Level 3 Financial Instruments Measured at Fair Value on a Recurring Basis [Line Items] | ||
Balance at beginning of period | 17,763 | 4,018 |
Transfers into Level 3 | 0 | 0 |
Transfers out of Level 3 | 0 | 0 |
Included in earnings | 0 | 0 |
Included in OCI | -204 | -20 |
Purchases | 0 | 0 |
Sales | 0 | 0 |
Settlements/ Distributions | -498 | -29 |
Balance at end of period | 17,061 | 3,969 |
Change in unrealized investment gain/loss relating to assets held at the reporting date | 0 | 0 |
ABS [Member] | Fixed Maturities [Member] | ||
Changes in Level 3 Financial Instruments Measured at Fair Value on a Recurring Basis [Line Items] | ||
Balance at beginning of period | 40,031 | 30,799 |
Transfers into Level 3 | 0 | 128 |
Transfers out of Level 3 | 0 | 0 |
Included in earnings | 0 | 0 |
Included in OCI | 62 | -95 |
Purchases | 0 | 0 |
Sales | 0 | 0 |
Settlements/ Distributions | -172 | -108 |
Balance at end of period | 39,921 | 30,724 |
Change in unrealized investment gain/loss relating to assets held at the reporting date | 0 | 0 |
Hedge Funds [Member] | Other Investments [Member] | ||
Changes in Level 3 Financial Instruments Measured at Fair Value on a Recurring Basis [Line Items] | ||
Balance at beginning of period | 470,918 | 461,055 |
Transfers into Level 3 | 0 | 0 |
Transfers out of Level 3 | 0 | 0 |
Included in earnings | 18,931 | 8,177 |
Included in OCI | 0 | 0 |
Purchases | 6,000 | 4,500 |
Sales | 0 | 0 |
Settlements/ Distributions | 0 | -9,066 |
Balance at end of period | 495,849 | 464,666 |
Change in unrealized investment gain/loss relating to assets held at the reporting date | 18,931 | 8,177 |
Direct Lending Funds [Member] | Other Investments [Member] | ||
Changes in Level 3 Financial Instruments Measured at Fair Value on a Recurring Basis [Line Items] | ||
Balance at beginning of period | 54,438 | 22,134 |
Transfers into Level 3 | 0 | 0 |
Transfers out of Level 3 | 0 | 0 |
Included in earnings | 667 | 552 |
Included in OCI | 0 | 0 |
Purchases | 15,418 | 3,445 |
Sales | 0 | 0 |
Settlements/ Distributions | -841 | -128 |
Balance at end of period | 69,682 | 26,003 |
Change in unrealized investment gain/loss relating to assets held at the reporting date | 667 | 552 |
CLO-Equities [Member] | Other Investments [Member] | ||
Changes in Level 3 Financial Instruments Measured at Fair Value on a Recurring Basis [Line Items] | ||
Balance at beginning of period | 92,488 | 73,866 |
Transfers into Level 3 | 0 | 0 |
Transfers out of Level 3 | 0 | 0 |
Included in earnings | 6,087 | 6,150 |
Included in OCI | 0 | 0 |
Purchases | 0 | 12,845 |
Sales | 0 | 0 |
Settlements/ Distributions | -6,517 | -6,682 |
Balance at end of period | 92,058 | 86,179 |
Change in unrealized investment gain/loss relating to assets held at the reporting date | 6,087 | 6,150 |
Derivative [Member] | Other Assets [Member] | ||
Changes in Level 3 Financial Instruments Measured at Fair Value on a Recurring Basis [Line Items] | ||
Balance at beginning of period | 111 | 984 |
Transfers into Level 3 | 0 | 0 |
Transfers out of Level 3 | 0 | 0 |
Included in earnings | -1,067 | 4,718 |
Included in OCI | 0 | 0 |
Purchases | 0 | 0 |
Sales | 0 | 0 |
Settlements/ Distributions | 956 | -3,995 |
Balance at end of period | 0 | 1,707 |
Change in unrealized investment gain/loss relating to assets held at the reporting date | 0 | 1,540 |
Derivative [Member] | Other Liabilities [Member] | ||
Changes in Level 3 Financial Instruments Measured at Fair Value on a Recurring Basis [Line Items] | ||
Balance at beginning of period | 15,288 | 815 |
Transfers into Level 3 | 0 | 0 |
Transfers out of Level 3 | 0 | 0 |
Included in earnings | -8,551 | 986 |
Included in OCI | 0 | 0 |
Purchases | 1,082 | 0 |
Sales | 0 | 0 |
Settlements/ Distributions | -511 | -1,801 |
Balance at end of period | 7,308 | 0 |
Change in unrealized investment gain/loss relating to assets held at the reporting date | -2,058 | 0 |
Insurance-linked securities [Member] | Other Assets [Member] | ||
Changes in Level 3 Financial Instruments Measured at Fair Value on a Recurring Basis [Line Items] | ||
Balance at beginning of period | 0 | 0 |
Transfers into Level 3 | 0 | 0 |
Transfers out of Level 3 | 0 | 0 |
Included in earnings | 0 | 0 |
Included in OCI | 0 | 0 |
Purchases | 25,000 | 0 |
Sales | 0 | 0 |
Settlements/ Distributions | 0 | 0 |
Balance at end of period | 25,000 | 0 |
Change in unrealized investment gain/loss relating to assets held at the reporting date | $0 | $0 |
FAIR_VALUE_MEASUREMENTS_DETAIL3
FAIR VALUE MEASUREMENTS (DETAILS 4) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 |
In Thousands, unless otherwise specified | ||
Fair Value Balance Sheet Grouping Financial Statement Captions [Line Items] | ||
Senior notes | $991,045 | $990,790 |
Estimate Of Fair Value [Member] | ||
Fair Value Balance Sheet Grouping Financial Statement Captions [Line Items] | ||
Senior notes | $1,133,000 | $1,089,000 |
DERIVATIVE_INSTRUMENTS_DETAILS
DERIVATIVE INSTRUMENTS (DETAILS) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 |
In Thousands, unless otherwise specified | ||
Derivative Fair Values on Consolidated Balance Sheet [Line Items] | ||
Asset Derivative Fair Value | $4,250 | $7,264 |
Liability Derivative Fair Value | 17,620 | 18,329 |
Other Assets [Member] | ||
Derivative Fair Values on Consolidated Balance Sheet [Line Items] | ||
Asset Derivative Fair Value | 4,250 | 7,264 |
Other Liabilities [Member] | ||
Derivative Fair Values on Consolidated Balance Sheet [Line Items] | ||
Liability Derivative Fair Value | 17,620 | 18,329 |
Investment Portfolio [Member] | Foreign Exchange Forward Contracts [Member] | Not Designated as Hedging Instruments [Member] | ||
Derivative Fair Values on Consolidated Balance Sheet [Line Items] | ||
Derivative Notional Amount | 235,623 | 161,678 |
Investment Portfolio [Member] | Foreign Exchange Forward Contracts [Member] | Other Assets [Member] | Not Designated as Hedging Instruments [Member] | ||
Derivative Fair Values on Consolidated Balance Sheet [Line Items] | ||
Asset Derivative Fair Value | 3,607 | 3,925 |
Investment Portfolio [Member] | Foreign Exchange Forward Contracts [Member] | Other Liabilities [Member] | Not Designated as Hedging Instruments [Member] | ||
Derivative Fair Values on Consolidated Balance Sheet [Line Items] | ||
Liability Derivative Fair Value | 40 | 12 |
Investment Portfolio [Member] | Interest Rate Swap [Member] | Not Designated as Hedging Instruments [Member] | ||
Derivative Fair Values on Consolidated Balance Sheet [Line Items] | ||
Derivative Notional Amount | 0 | 140,000 |
Investment Portfolio [Member] | Interest Rate Swap [Member] | Other Assets [Member] | Not Designated as Hedging Instruments [Member] | ||
Derivative Fair Values on Consolidated Balance Sheet [Line Items] | ||
Asset Derivative Fair Value | 0 | 0 |
Investment Portfolio [Member] | Interest Rate Swap [Member] | Other Liabilities [Member] | Not Designated as Hedging Instruments [Member] | ||
Derivative Fair Values on Consolidated Balance Sheet [Line Items] | ||
Liability Derivative Fair Value | 0 | 248 |
Underwriting Portfolio [Member] | Foreign Exchange Forward Contracts [Member] | Not Designated as Hedging Instruments [Member] | ||
Derivative Fair Values on Consolidated Balance Sheet [Line Items] | ||
Derivative Notional Amount | 664,621 | 577,836 |
Underwriting Portfolio [Member] | Foreign Exchange Forward Contracts [Member] | Other Assets [Member] | Not Designated as Hedging Instruments [Member] | ||
Derivative Fair Values on Consolidated Balance Sheet [Line Items] | ||
Asset Derivative Fair Value | 643 | 3,228 |
Underwriting Portfolio [Member] | Foreign Exchange Forward Contracts [Member] | Other Liabilities [Member] | Not Designated as Hedging Instruments [Member] | ||
Derivative Fair Values on Consolidated Balance Sheet [Line Items] | ||
Liability Derivative Fair Value | 10,272 | 2,781 |
Underwriting Portfolio [Member] | Weather Related Derivative [Member] | Not Designated as Hedging Instruments [Member] | ||
Derivative Fair Values on Consolidated Balance Sheet [Line Items] | ||
Derivative Notional Amount | 20,995 | 58,124 |
Underwriting Portfolio [Member] | Weather Related Derivative [Member] | Other Assets [Member] | Not Designated as Hedging Instruments [Member] | ||
Derivative Fair Values on Consolidated Balance Sheet [Line Items] | ||
Asset Derivative Fair Value | 0 | 111 |
Underwriting Portfolio [Member] | Weather Related Derivative [Member] | Other Liabilities [Member] | Not Designated as Hedging Instruments [Member] | ||
Derivative Fair Values on Consolidated Balance Sheet [Line Items] | ||
Liability Derivative Fair Value | $7,308 | $15,288 |
DERIVATIVE_INSTRUMENTS_DETAILS1
DERIVATIVE INSTRUMENTS (DETAILS 2) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 |
In Thousands, unless otherwise specified | ||
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ||
Derivative assets - gross amounts | $11,974 | $15,125 |
Derivative assets - gross amounts offset | -7,724 | -7,861 |
Asset Derivative Fair Value | 4,250 | 7,264 |
Derivative liabilities - gross amounts | 25,344 | 26,190 |
Derivative liabilities - gross amounts offset | -7,724 | -7,861 |
Liability Derivative Fair Value | $17,620 | $18,329 |
DERIVATIVE_INSTRUMENTS_DETAILS2
DERIVATIVE INSTRUMENTS (DETAILS 3) (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 |
Unrealized and Realized Gains (Losses) Recognized in Earnings for Derivatives Not Designated As Hedges [Line Items] | ||
Unrealized and realized gains (losses) recognized in earnings for derivatives not designated as hedges | ($5,400) | $10,263 |
Investment Portfolio [Member] | Foreign Exchange Forward Contracts [Member] | Net Realized Investment Gains (Losses) [Member] | ||
Unrealized and Realized Gains (Losses) Recognized in Earnings for Derivatives Not Designated As Hedges [Line Items] | ||
Unrealized and realized gains (losses) recognized in earnings for derivatives not designated as hedges | 6,537 | -1,328 |
Investment Portfolio [Member] | Interest Rate Swap [Member] | Net Realized Investment Gains (Losses) [Member] | ||
Unrealized and Realized Gains (Losses) Recognized in Earnings for Derivatives Not Designated As Hedges [Line Items] | ||
Unrealized and realized gains (losses) recognized in earnings for derivatives not designated as hedges | -4,006 | -4,161 |
Underwriting Portfolio [Member] | Foreign Exchange Forward Contracts [Member] | Foreign Exchange Gains (Losses) [Member] | ||
Unrealized and Realized Gains (Losses) Recognized in Earnings for Derivatives Not Designated As Hedges [Line Items] | ||
Unrealized and realized gains (losses) recognized in earnings for derivatives not designated as hedges | -15,273 | 12,074 |
Underwriting Portfolio [Member] | Weather Related Derivative [Member] | Other Insurance Related Income [Member] | ||
Unrealized and Realized Gains (Losses) Recognized in Earnings for Derivatives Not Designated As Hedges [Line Items] | ||
Unrealized and realized gains (losses) recognized in earnings for derivatives not designated as hedges | $7,342 | $3,678 |
RESERVE_FOR_LOSSES_AND_LOSS_EX2
RESERVE FOR LOSSES AND LOSS EXPENSES (DETAILS) (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 |
Reconciliation of Beginning and Ending Gross Unpaid Losses and Loss Expenses | ||
Gross reserve for losses and loss expenses, beginning of period | $9,596,797 | $9,582,140 |
Less reinsurance recoverable on unpaid losses, beginning of period | -1,890,280 | -1,900,112 |
Net reserve for unpaid losses and loss expenses, beginning of period | 7,706,517 | 7,682,028 |
Net incurred losses and loss expenses related to: | ||
Current year | 568,988 | 587,700 |
Prior years | -50,051 | -43,493 |
Net incurred losses and loss expenses | 518,937 | 544,207 |
Net paid losses and loss expenses related to: | ||
Current year | -23,527 | -13,249 |
Prior years | -485,315 | -444,466 |
Net paid losses and loss expenses | -508,842 | -457,715 |
Foreign exchange and other | -162,969 | 14,501 |
Net reserve for unpaid losses and loss expenses, end of period | 7,553,643 | 7,783,021 |
Reinsurance recoverable on unpaid losses, end of period | 1,889,579 | 1,884,820 |
Gross reserve for losses and loss expenses, end of period | $9,443,222 | $9,667,841 |
RESERVE_FOR_LOSSES_AND_LOSS_EX3
RESERVE FOR LOSSES AND LOSS EXPENSES (DETAILS 2) (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 |
Net Favorable Prior Year Reserve Development [Line Items] | ||
Net favorable prior year reserve development | $50,051 | $43,493 |
Insurance [Member] | ||
Net Favorable Prior Year Reserve Development [Line Items] | ||
Net favorable prior year reserve development | 3,361 | 11,608 |
Reinsurance [Member] | ||
Net Favorable Prior Year Reserve Development [Line Items] | ||
Net favorable prior year reserve development | $46,690 | $31,885 |
RESERVE_FOR_LOSSES_AND_LOSS_EX4
RESERVE FOR LOSSES AND LOSS EXPENSES (DETAILS 3) (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 |
Additional Information Related to Net Incurred Losses [Line Items] | ||
Net favorable (adverse) prior year reserve development | $50,051 | $43,493 |
Short Tail Lines Insurance And Reinsurance Business [Member] | ||
Additional Information Related to Net Incurred Losses [Line Items] | ||
Net favorable (adverse) prior year reserve development | 28,000 | 29,000 |
Professional Lines Reinsurance Business [Member] | ||
Additional Information Related to Net Incurred Losses [Line Items] | ||
Net favorable (adverse) prior year reserve development | 20,000 | 6,000 |
Insurance Credit And Political Risk [Member] | ||
Additional Information Related to Net Incurred Losses [Line Items] | ||
Net favorable (adverse) prior year reserve development | -11,000 | |
Liability Reinsurance Business [Member] | ||
Additional Information Related to Net Incurred Losses [Line Items] | ||
Net favorable (adverse) prior year reserve development | 12,000 | 6,000 |
Liability Insurance Business [Member] | ||
Additional Information Related to Net Incurred Losses [Line Items] | ||
Net favorable (adverse) prior year reserve development | ($11,000) |
SHAREBASED_COMPENSATION_DETAIL
SHARE-BASED COMPENSATION (DETAILS) (USD $) | 3 Months Ended | |
Mar. 31, 2015 | Mar. 31, 2014 | |
Reconcilation of Beginning and Ending Balance of Nonvested Restricted Stock (including RSUs) [Abstract] | ||
Share based compensation expense incurred | $19,000,000 | $17,000,000 |
Tax benefit related to share-based compensation costs incurred | 4,000,000 | 3,000,000 |
Fair value - vested during period | 63,000,000 | 61,000,000 |
Unrecognized share-based compensation costs | 148,000,000 | |
Unrecognized share-based compensation costs - weighted average period expected to be recognized | 2 years 7 months 24 days | |
Performance Shares [Member] | ||
Reconcilation of Beginning and Ending Balance of Nonvested Restricted Stock (including RSUs) [Roll Forward] | ||
Nonvested restricted stock (number) - beginning of period | 347,000 | |
Granted (number) | 60,000 | |
Vested (number) | 0 | |
Forfeited (number) | 0 | |
Nonvested restricted stock (number) - end of period | 407,000 | |
Reconcilation of Beginning and Ending Balance of Nonvested Restricted Stock (including RSUs) [Abstract] | ||
Weighted average grant date fair value - beginning of period | $37.34 | |
Weighted average grant date fair value - granted | $51.31 | |
Weighted average grant date fair value - vested | $0 | |
Weighted average grant date fair value - forfeited | $0 | |
Weighted average grant date fair value - end of period | $39.39 | |
Number of restricted stock and restricted stock units granted which will settle in cash | 18,659 | |
Service Based Restricted Stock And Restricted Stock Units [Member] | ||
Reconcilation of Beginning and Ending Balance of Nonvested Restricted Stock (including RSUs) [Roll Forward] | ||
Nonvested restricted stock (number) - beginning of period | 2,768,000 | |
Granted (number) | 511,000 | |
Vested (number) | -984,000 | |
Forfeited (number) | -17,000 | |
Nonvested restricted stock (number) - end of period | 2,278,000 | |
Reconcilation of Beginning and Ending Balance of Nonvested Restricted Stock (including RSUs) [Abstract] | ||
Weighted average grant date fair value - beginning of period | $38.70 | |
Weighted average grant date fair value - granted | $51.31 | |
Weighted average grant date fair value - vested | $36.42 | |
Weighted average grant date fair value - forfeited | $41.28 | |
Weighted average grant date fair value - end of period | $42.49 | |
Number of restricted stock and restricted stock units granted which will settle in cash | 467,849 | |
Restricted Stock And Restricted Stock Units RSU [Member] | ||
Reconcilation of Beginning and Ending Balance of Nonvested Restricted Stock (including RSUs) [Abstract] | ||
Number of restricted stock and restricted stock units granted which will settle in cash | 486,508 | |
Liability for cash-settled units | $13,000,000 | $5,000,000 |
EARNINGS_PER_COMMON_SHARE_DETA
EARNINGS PER COMMON SHARE (DETAILS) (USD $) | 3 Months Ended | |
In Thousands, except Per Share data, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 |
Basic earnings per common share | ||
Net income | $160,952 | $148,471 |
Less: Amounts attributable to (from) noncontrolling interests | -4,873 | 1,222 |
Less: preferred share dividends | 10,022 | 10,022 |
Net income available to common shareholders | 155,803 | 137,227 |
Weighted average common shares outstanding - basic | 99,910 | 109,053 |
Basic earnings per common share | $1.56 | $1.26 |
Diluted earnings per common share | ||
Net income available to common shareholders | $155,803 | $137,227 |
Weighted average common shares outstanding - basic | 99,910 | 109,053 |
Stock compensation plans | 1,229 | 1,338 |
Weighted average common shares outstanding - diluted | 101,139 | 110,391 |
Diluted earnings per common share | $1.54 | $1.24 |
Anti-dilutive shares excluded from the dilutive computation | 569 | 1,051 |
SHAREHOLDERS_EQUITY_DETAILS
SHAREHOLDERS' EQUITY (DETAILS) | 3 Months Ended | ||
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 | Dec. 31, 2014 |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||
Shares issued, balance at beginning of period | 175,478 | ||
Total shares issued at end of period | 176,190 | 175,478 | |
Treasury shares, balance at beginning of period | -76,052 | ||
Total treasury shares at end of period | -75,971 | -76,052 | |
Total shares outstanding | 100,219 | 99,426 | |
Common Stock [Member] | |||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||
Shares issued, balance at beginning of period | 175,478 | 174,134 | |
Shares issued | 712 | 1,061 | |
Total shares issued at end of period | 176,190 | 175,195 | |
Treasury shares, balance at beginning of period | -76,052 | -64,649 | |
Shares repurchased | -290 | -4,036 | |
Shares reissued from treasury | 371 | 235 | |
Total treasury shares at end of period | -75,971 | -68,450 | |
Total shares outstanding | 100,219 | 106,745 |
SHAREHOLDERS_EQUITY_DETAILS_2
SHAREHOLDERS' EQUITY (DETAILS 2) (Common Stock [Member], USD $) | 3 Months Ended | |
In Thousands, except Per Share data, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 |
Treasury Shares [Line Items] | ||
Total shares | 290 | 4,036 |
Total cost | $14,771 | $178,703 |
Average price per share | $50.95 | $44.27 |
In the Open Market [Member] | ||
Treasury Shares [Line Items] | ||
Total shares | 16 | 3,710 |
Total cost | 832 | 164,606 |
Average price per share | $50.69 | $44.37 |
From Employees [Member] | ||
Treasury Shares [Line Items] | ||
Total shares | 274 | 326 |
Total cost | $13,939 | $14,097 |
Average price per share | $50.97 | $43.14 |
NONCONTROLLING_INTERESTS_DETAI
NONCONTROLLING INTERESTS (DETAILS) (USD $) | 3 Months Ended | ||
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 | Dec. 31, 2014 |
Noncontrolling Interest [Line Items] | |||
Decrease from return of capital to noncontrolling interests | ($40,000) | $0 | |
Increase from issuance of preferred equity to noncontrolling interests | 56,991 | 0 | |
Assets | 20,458,819 | 19,955,736 | |
Liabilities | 14,412,584 | 14,075,796 | |
Change in Noncontrolling Interest [Roll Forward] | |||
Balance at beginning of period | 58,819 | 50,000 | |
Increase from issuance of preferred equity to noncontrolling interests | 56,991 | 0 | |
Decrease from return of capital to noncontrolling interests | -40,000 | 0 | |
Amounts attributable to (from) noncontrolling interests | -4,873 | 1,222 | |
Foreign currency translation adjustment attributable to (from) noncontrolling interests | -1,865 | 0 | |
Balance at end of period | 69,072 | 51,222 | |
Ventures Re [Member] | |||
Noncontrolling Interest [Line Items] | |||
Decrease from return of capital to noncontrolling interests | -40,000 | ||
Increase from issuance of preferred equity to noncontrolling interests | 57,000 | ||
Assets | 120,000 | 97,000 | |
Liabilities | 50,000 | 38,000 | |
Change in Noncontrolling Interest [Roll Forward] | |||
Increase from issuance of preferred equity to noncontrolling interests | 57,000 | ||
Decrease from return of capital to noncontrolling interests | ($40,000) |
DEBT_AND_FINANCING_ARRANGEMENT1
DEBT AND FINANCING ARRANGEMENTS (Details) (Letter of Credit Facility [Member], USD $) | Mar. 31, 2015 | Mar. 30, 2015 |
Letter of Credit Facility [Member] | ||
Line of Credit Facility [Line Items] | ||
Maximum capacity | $500,000,000 | $750,000,000 |
Letters of credit outstanding | $354,000,000 |
COMMITMENTS_AND_CONTINGENCIES_
COMMITMENTS AND CONTINGENCIES (DETAILS) (USD $) | Mar. 31, 2015 |
In Millions, unless otherwise specified | |
Minimum reinsurance premiums [Member] | |
Unrecorded Unconditional Purchase Obligation [Line Items] | |
Outstanding purchase commitment | $72 |
Outstanding purchase commitment, due in 2015 | 64 |
Outstanding purchase commitment, due in 2016 | 8 |
Commercial mortgage loans [Member] | |
Unrecorded Unconditional Purchase Obligation [Line Items] | |
Outstanding purchase commitment | $50 |
COMMITMENTS_AND_CONTINGENCIES_1
COMMITMENTS AND CONTINGENCIES (DETAILS 2) (PartnerRe [Member], Subsequent Event [Member], USD $) | 3-May-15 | 2-May-15 |
In Millions, except Per Share data, unless otherwise specified | ||
Business Acquisition [Line Items] | ||
Special Dividend | $11.50 | |
Termination Fee | $280 | $250 |
Scenario, Forecast [Member] | ||
Business Acquisition [Line Items] | ||
Special Dividend | $11.50 | |
No Approval Fee | 55 | |
Termination Fee | 280 | |
Amalgamation Costs And Expenses Reimbursement | 35 | |
Financial advisor amalgamation fee | $20 |
OTHER_COMPREHENSIVE_INCOME_DET
OTHER COMPREHENSIVE INCOME (DETAILS) (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 |
Before Tax Amount | ||
Unrealized gains (losses) arising during the period | $5,063 | $80,560 |
Adjustment for reclassification of net realized investment gains (losses) and OTTI losses recognized in net income | 45,098 | -16,069 |
Unrealized gains arising during the period, net of reclassification adjustment | 50,161 | 64,491 |
Non-credit portion of OTTI losses | 0 | 0 |
Foreign currency translation adjustment | -13,278 | 2,659 |
Total other comprehensive income, net of tax | 36,883 | 67,150 |
Tax (Expense) Benefit | ||
Unrealized gains (losses) arising during the period | -10,250 | -9,177 |
Adjustment for reclassification of net realized investment gains (losses) and OTTI losses recognized in net income | 6 | 6,456 |
Unrealized gains arising during the period, net of reclassification adjustment | -10,244 | -2,721 |
Non-credit portion of OTTI losses | 0 | 0 |
Foreign currency translation adjustment | 0 | 0 |
Total other comprehensive income, net of tax | -10,244 | -2,721 |
Net of Tax Amount | ||
Unrealized gains (losses) arising during the period | -5,187 | 71,383 |
Adjustment for reclassification of net realized investment gains and OTTI losses recognized in net income | 45,104 | -9,613 |
Unrealized gains arising during the period, net of reclassification adjustment | 39,917 | 61,770 |
Non-credit portion of OTTI losses | 0 | 0 |
Foreign currency translation adjustment | -13,278 | 2,659 |
Total other comprehensive income, net of tax | $26,639 | $64,429 |
OTHER_COMPREHENSIVE_INCOME_DET1
OTHER COMPREHENSIVE INCOME (DETAILS 2) (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 |
Reclassification out of accumulated comprehensive income into net income available to common shareholders [Line Items] | ||
Other realized investment gains (losses) | ($24,985) | $11,406 |
OTTI losses | -17,568 | -786 |
Income before income taxes | 160,262 | 152,596 |
Income tax expense | 690 | -4,125 |
Net income attributable to AXIS Capital | 165,825 | 147,249 |
Unrealized gains (losses) on available for sale investments [Member] | Reclassification out of Accumulated Other Comprehensive Income [Member] | ||
Reclassification out of accumulated comprehensive income into net income available to common shareholders [Line Items] | ||
Other realized investment gains (losses) | -27,530 | 16,855 |
OTTI losses | -17,568 | -786 |
Income before income taxes | -45,098 | 16,069 |
Income tax expense | -6 | -6,456 |
Net income attributable to AXIS Capital | ($45,104) | $9,613 |
SUBSEQUENT_EVENTS_Details
SUBSEQUENT EVENTS (Details) (Subsequent Event [Member], USD $) | Apr. 01, 2015 | 3-May-15 | 2-May-15 | Apr. 14, 2015 |
In Millions, except Per Share data, unless otherwise specified | ||||
Ternian [Member] | ||||
Subsequent Event [Line Items] | ||||
Acquired intangible assets | $13 | |||
PartnerRe [Member] | ||||
Subsequent Event [Line Items] | ||||
Business Acquisition, Share Price | $130 | |||
Special Dividend | $11.50 | |||
Termination Fee | $280 | $250 |