DOCUMENT AND ENTITY INFORMATION
DOCUMENT AND ENTITY INFORMATION - shares | 6 Months Ended | |
Jun. 30, 2015 | Jul. 22, 2015 | |
DOCUMENT AND ENTITY INFORMATION [ABSTRACT] | ||
Document Type | 10-Q | |
Amendment Flag | false | |
Document Period End Date | Jun. 30, 2015 | |
Document Fiscal Year Focus | 2,015 | |
Document Fiscal Period Focus | Q2 | |
Entity Registrant Name | AXIS CAPITAL HOLDINGS LTD | |
Entity Central Index Key | 1,214,816 | |
Current Fiscal Year End Date | --12-31 | |
Entity Current Reporting Status | Yes | |
Entity Filer Category | Large Accelerated Filer | |
Entity Common Stock, Shares Outstanding | 100,638,757 |
CONSOLIDATED BALANCE SHEETS
CONSOLIDATED BALANCE SHEETS - USD ($) $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 |
Assets | ||
Fixed maturities, available for sale, at fair value (Amortized cost 2015: $12,093,366; 2014: $12,185,973) | $ 12,005,736 | $ 12,129,273 |
Equity securities, available for sale, at fair value (Cost 2015: $618,869; 2014: $531,648) | 659,181 | 567,707 |
Mortgage loans, held for investment, at amortized cost and fair value | 79,606 | 0 |
Other investments, at fair value | 853,101 | 965,465 |
Short-term investments, at amortized cost and fair value | 30,618 | 107,534 |
Total investments | 13,628,242 | 13,769,979 |
Cash and cash equivalents | 989,395 | 921,830 |
Restricted cash and cash equivalents | 190,664 | 287,865 |
Accrued interest receivable | 78,409 | 83,070 |
Insurance and reinsurance premium balances receivable | 2,394,037 | 1,808,620 |
Reinsurance recoverable on unpaid and paid losses | 2,063,087 | 1,926,145 |
Deferred acquisition costs | 594,863 | 466,987 |
Prepaid reinsurance premiums | 387,639 | 351,441 |
Receivable for investments sold | 1,304 | 169 |
Goodwill and intangible assets | 101,053 | 88,960 |
Other assets | 276,182 | 250,670 |
Total assets | 20,704,875 | 19,955,736 |
Liabilities | ||
Reserve for losses and loss expenses | 9,693,440 | 9,596,797 |
Unearned premiums | 3,324,578 | 2,735,376 |
Insurance and reinsurance balances payable | 296,794 | 249,186 |
Senior notes | 991,302 | 990,790 |
Payable for investments purchased | 213,142 | 188,176 |
Other liabilities | 237,061 | 315,471 |
Total liabilities | 14,756,317 | 14,075,796 |
Shareholders’ equity | ||
Preferred shares | 627,843 | 627,843 |
Common shares (2015: 176,206; 2014: 175,478 shares issued and 2015: 100,284; 2014: 99,426 shares outstanding) | 2,201 | 2,191 |
Additional paid-in capital | 2,285,772 | 2,285,016 |
Accumulated other comprehensive loss | (78,067) | (45,574) |
Retained earnings | 5,875,147 | 5,715,504 |
Treasury shares, at cost (2015: 75,922; 2014: 76,052 shares) | (2,764,338) | (2,763,859) |
Total shareholders’ equity attributable to AXIS Capital | 5,948,558 | 5,821,121 |
Noncontrolling interests | 0 | 58,819 |
Total shareholders’ equity | 5,948,558 | 5,879,940 |
Total liabilities and shareholders’ equity | $ 20,704,875 | $ 19,955,736 |
CONSOLIDATED BALANCE SHEETS (Pa
CONSOLIDATED BALANCE SHEETS (Parenthetical) - USD ($) shares in Thousands, $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 |
Statement of Financial Position [Abstract] | ||
Fixed maturities, available for sale, amortized cost | $ 12,093,366 | $ 12,185,973 |
Equity securities, available for sale, cost | $ 618,869 | $ 531,648 |
Common shares, shares issued | 176,206 | 175,478 |
Common shares, shares outstanding | 100,284 | 99,426 |
Treasury shares, shares | 75,922 | 76,052 |
CONSOLIDATED STATEMENTS OF OPER
CONSOLIDATED STATEMENTS OF OPERATIONS - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Revenues | ||||
Net premiums earned | $ 941,211 | $ 1,000,400 | $ 1,845,264 | $ 1,946,349 |
Net investment income | 88,544 | 114,867 | 180,651 | 197,610 |
Other insurance related income | 3,486 | 1,683 | 11,162 | 4,766 |
Net realized investment gains (losses): | ||||
Other-than-temporary impairment (OTTI) losses | (12,893) | (1,905) | (30,461) | (2,690) |
Other realized investment gains (losses) | 1,783 | 35,166 | (23,201) | 46,572 |
Total net realized investment gains (losses) | (11,110) | 33,261 | (53,662) | 43,882 |
Total revenues | 1,022,131 | 1,150,211 | 1,983,415 | 2,192,607 |
Expenses | ||||
Net losses and loss expenses | 580,153 | 565,829 | 1,092,481 | 1,110,036 |
Acquisition costs | 183,263 | 191,862 | 354,805 | 363,899 |
General and administrative expenses | 148,482 | 151,081 | 311,723 | 303,810 |
Foreign exchange losses (gains) | 22,108 | 9,705 | (41,112) | 13,939 |
Interest expense and financing costs | 12,939 | 19,975 | 25,196 | 36,569 |
Total expenses | 946,945 | 938,452 | 1,743,093 | 1,828,253 |
Income before income taxes | 75,186 | 211,759 | 240,322 | 364,354 |
Income tax expense | 1,815 | 9,500 | 1,125 | 13,625 |
Net income | 73,371 | 202,259 | 239,197 | 350,729 |
Amounts attributable to noncontrolling interests | 0 | 1,573 | 0 | 2,795 |
Net income attributable to AXIS Capital | 73,371 | 200,686 | 239,197 | 347,934 |
Preferred share dividends | 10,022 | 10,022 | 20,044 | 20,044 |
Net income available to common shareholders | $ 63,349 | $ 190,664 | $ 219,153 | $ 327,890 |
Net income per common share: | ||||
Basic net income | $ 0.63 | $ 1.81 | $ 2.19 | $ 3.06 |
Diluted net income | $ 0.63 | $ 1.79 | $ 2.17 | $ 3.03 |
Weighted average number of common shares outstanding - basic | 100,274 | 105,118 | 100,093 | 107,075 |
Weighted average number of common shares outstanding - diluted | 101,160 | 106,289 | 101,151 | 108,329 |
Cash dividends declared per common share | $ 0.29 | $ 0.27 | $ 0.58 | $ 0.54 |
CONSOLIDATED STATEMENTS OF COMP
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Statement of Comprehensive Income [Abstract] | ||||
Net income | $ 73,371 | $ 202,259 | $ 239,197 | $ 350,729 |
Other comprehensive income (loss), net of tax: | ||||
Unrealized gains (losses) arising during the period | (72,041) | 120,550 | (77,228) | 191,933 |
Adjustment for reclassification of net realized investment gains (losses) and OTTI losses recognized in net income | 8,857 | (33,929) | 53,960 | (43,543) |
Unrealized gains (losses) arising during the period, net of reclassification adjustment | (63,184) | 86,621 | (23,268) | 148,390 |
Foreign currency translation adjustment | 2,188 | 3,790 | (9,225) | 6,449 |
Total other comprehensive income (loss), net of tax | (60,996) | 90,411 | (32,493) | 154,839 |
Comprehensive income | 12,375 | 292,670 | 206,704 | 505,568 |
Amounts attributable to noncontrolling interests | 0 | (1,573) | 0 | (2,795) |
Comprehensive income attributable to AXIS Capital | $ 12,375 | $ 291,097 | $ 206,704 | $ 502,773 |
CONSOLIDATED STATEMENTS OF CHAN
CONSOLIDATED STATEMENTS OF CHANGES IN SHAREHOLDERS' EQUITY - USD ($) $ in Thousands | 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] |
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 | 15 | 2,549 | |||||||||
Cost of treasury shares reissued | (11,524) | 11,524 | |||||||||
Stock options exercised | 2,134 | ||||||||||
Share-based compensation expense | 27,800 | ||||||||||
Unrealized gains (losses) arising during the period, net of reclassification adjustment | $ 148,390 | 148,390 | |||||||||
Non-credit portion of OTTI losses | 0 | 0 | |||||||||
Foreign currency translation adjustment | 6,449 | 6,449 | |||||||||
Net income | 350,729 | 350,729 | |||||||||
Amounts attributable to noncontrolling interests | (2,795) | (2,795) | |||||||||
Preferred share dividends | (20,044) | ||||||||||
Common share dividends | (59,397) | ||||||||||
Shares repurchased for treasury | (318,082) | ||||||||||
Total shareholders' equity at Jun. 30, 2014 | 6,008,505 | $ 5,955,710 | 627,843 | 2,189 | 2,261,084 | 273,335 | (671) | 272,664 | 5,331,199 | (2,539,269) | $ 52,795 |
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 | 10 | 2,605 | |||||||||
Cost of treasury shares reissued | (17,451) | 17,451 | |||||||||
Stock options exercised | 560 | ||||||||||
Share-based compensation expense | 15,042 | ||||||||||
Unrealized gains (losses) arising during the period, net of reclassification adjustment | (23,268) | (23,268) | |||||||||
Non-credit portion of OTTI losses | 0 | 0 | |||||||||
Foreign currency translation adjustment | (9,225) | (9,225) | |||||||||
Net income | 239,197 | 239,197 | |||||||||
Amounts attributable to noncontrolling interests | 0 | 0 | |||||||||
Preferred share dividends | (20,044) | ||||||||||
Common share dividends | (59,510) | ||||||||||
Shares repurchased for treasury | (17,930) | ||||||||||
Total shareholders' equity at Jun. 30, 2015 | $ 5,948,558 | $ 5,948,558 | $ 627,843 | $ 2,201 | $ 2,285,772 | $ (51,460) | $ (26,607) | $ (78,067) | $ 5,875,147 | $ (2,764,338) | $ 0 |
CONSOLIDATED STATEMENTS OF CASH
CONSOLIDATED STATEMENTS OF CASH FLOWS - USD ($) $ in Thousands | 6 Months Ended | |
Jun. 30, 2015 | Jun. 30, 2014 | |
Cash flows from operating activities: | ||
Net income | $ 239,197 | $ 350,729 |
Adjustments to reconcile net income to net cash provided by (used in) operating activities: | ||
Net realized investment losses (gains) | 53,662 | (43,882) |
Net realized and unrealized gains on other investments | (45,037) | (49,252) |
Amortization of fixed maturities | 54,356 | 56,122 |
Other amortization and depreciation | 10,265 | 10,919 |
Share-based compensation expense, net of cash payments | 14,463 | 27,763 |
Changes in: | ||
Accrued interest receivable | 5,071 | 5,929 |
Reinsurance recoverable balances | (140,911) | (20,663) |
Deferred acquisition costs | (128,010) | (167,095) |
Prepaid reinsurance premiums | (34,247) | (5,590) |
Reserve for loss and loss expenses | 147,463 | 217,924 |
Unearned premiums | 589,438 | 721,870 |
Insurance and reinsurance balances, net | (561,146) | (696,877) |
Other items | (88,952) | (15,654) |
Net cash provided by operating activities | 115,612 | 392,243 |
Cash flows from investing activities: | ||
Fixed maturities | (5,454,612) | (6,581,006) |
Equity securities | (96,170) | (209,381) |
Mortgage loans | (79,606) | 0 |
Other investments | (54,482) | (37,512) |
Short-term investments | (30,745) | (463,051) |
Proceeds from the sale of: | ||
Fixed maturities | 4,660,534 | 5,784,439 |
Equity securities | 2,115 | 197,354 |
Other investments | 211,883 | 88,080 |
Short-term investments | 100,461 | 391,966 |
Proceeds from redemption of fixed maturities | 782,367 | 532,445 |
Proceeds from redemption of short-term investments | 6,987 | 16,503 |
Purchase of other assets | (12,093) | (16,039) |
Change in restricted cash and cash equivalents | 97,201 | (80,827) |
Impact of the deconsolidation of a variable interest entity | (71,649) | 0 |
Net cash provided by (used in) investing activities | 62,191 | (377,029) |
Cash flows from financing activities: | ||
Dividends paid - common shares | (59,170) | (60,903) |
Repurchase of common shares | (25,951) | (318,082) |
Dividends paid - preferred shares | (20,044) | (20,044) |
Proceeds from issuance of common shares | 3,175 | 4,698 |
Net proceeds from issuance of senior notes | 0 | 494,344 |
Net cash provided by (used in) financing activities | (101,990) | 100,013 |
Effect of exchange rate changes on foreign currency cash and cash equivalents | (8,248) | 5,473 |
Increase in cash and cash equivalents | 67,565 | 120,700 |
Cash and cash equivalents - beginning of period | 921,830 | 923,326 |
Cash and cash equivalents - end of period | $ 989,395 | $ 1,044,026 |
BASIS OF PRESENTATION AND ACCOU
BASIS OF PRESENTATION AND ACCOUNTING POLICIES | 6 Months Ended |
Jun. 30, 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 June 30, 2015 and the consolidated statements of operations, comprehensive income, shareholders' equity and cash flows for the periods ended June 30, 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 , with the exception of the addition to our accounting policy for mortgage loans held-for-investment noted below. Mortgage Loans Held-For-Investment Mortgage loans held-for-investment are stated at amortized cost calculated as the unpaid principal balance, adjusted for any unamortized premium or discount, deferred fees or expenses, and are net of valuation allowances. Interest income and prepayment fees are recognized when earned. Interest income is recognized using an effective yield method giving effect to the amortization of premiums and accretion of discounts. New Accounting Standards Adopted in 2015 Consolidation During the second quarter of 2015, the Company early adopted the Accounting Standards Update (“ASU”) 2015-02, “Amendments to the Consolidation Analysis” issued by the Financial Accounting Standards Board (the “FASB”). The adoption of this amended accounting guidance resulted in the Company concluding that it no longer had a variable interest in AXIS Ventures Reinsurance Limited (“Ventures Re”) and therefore it was no longer required to consolidate the results of operations and the financial position of Ventures Re in its Consolidated Financial Statements. The Company adopted this revised accounting guidance using the modified retrospective approach and ceased to consolidate Ventures Re effective as of January 1, 2015. There was no impact from the adoption of ASU 2015-02 on the Company’s cumulative retained earnings. Refer to Note 11 to the Consolidated Financial Statements "Noncontrolling Interests" for more information. The new consolidation guidance did not have an impact on any other investments currently held by the Company. Recently Issued Accounting Standards Not Yet Adopted Disclosures About Short-Duration Contracts In May 2015, the FASB issued new guidance making targeted improvements to existing disclosure requirements for short-duration contracts. The guidance requires insurance entities to disclose additional information about the liability for unpaid claims and claim adjustment expenses. The guidance is effective for annual periods beginning after December 15, 2015, and interim periods within annual periods beginning after December 15, 2016, with early adoption permitted. The guidance will be applied retrospectively. As the new guidance is disclosure-related only, the adoption of this guidance is not expected to impact our results of operations, financial condition or liquidity. Investments Measured Using The Net Asset Value Per Share ("NAV") Practical Expedient In May 2015, the FASB issued new guidance eliminating the requirement to categorize investments measured using the NAV practical expedient in the fair value hierarchy table. This guidance is effective for reporting periods beginning after December 15, 2015, with early adoption permitted. The guidance will be applied retrospectively. As the new guidance is disclosure-related only, the adoption of this guidance is not expected to impact our results of operations, financial condition or liquidity. |
SEGMENT INFORMATION
SEGMENT INFORMATION | 6 Months Ended |
Jun. 30, 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 June 30, Insurance Reinsurance Total Insurance Reinsurance Total Gross premiums written $ 761,126 $ 427,287 $ 1,188,413 $ 754,110 $ 477,169 $ 1,231,279 Net premiums written 534,263 412,281 946,544 541,097 459,065 1,000,162 Net premiums earned 452,322 488,889 941,211 457,670 542,730 1,000,400 Other insurance related income 269 3,217 3,486 — 1,683 1,683 Net losses and loss expenses (297,534 ) (282,619 ) (580,153 ) (290,466 ) (275,363 ) (565,829 ) Acquisition costs (66,920 ) (116,343 ) (183,263 ) (71,039 ) (120,823 ) (191,862 ) General and administrative expenses (88,420 ) (36,013 ) (124,433 ) (83,512 ) (34,299 ) (117,811 ) Underwriting income (loss) $ (283 ) $ 57,131 56,848 $ 12,653 $ 113,928 126,581 Corporate expenses (24,049 ) (33,270 ) Net investment income 88,544 114,867 Net realized investment gains (losses) (11,110 ) 33,261 Foreign exchange losses (22,108 ) (9,705 ) Interest expense and financing costs (12,939 ) (19,975 ) Income before income taxes $ 75,186 $ 211,759 Net loss and loss expense ratio 65.8 % 57.8 % 61.6 % 63.5 % 50.7 % 56.6 % Acquisition cost ratio 14.8 % 23.8 % 19.5 % 15.5 % 22.3 % 19.2 % General and administrative expense ratio 19.5 % 7.4 % 15.8 % 18.2 % 6.3 % 15.0 % Combined ratio 100.1 % 89.0 % 96.9 % 97.2 % 79.3 % 90.8 % Goodwill and intangible assets $ 101,053 $ — $ 101,053 $ 90,025 $ — $ 90,025 2015 2014 Six months ended and at June 30, Insurance Reinsurance Total Insurance Reinsurance Total Gross premiums written $ 1,363,850 $ 1,503,495 $ 2,867,345 $ 1,355,831 $ 1,696,847 $ 3,052,678 Net premiums written 971,004 1,431,086 2,402,090 997,789 1,666,957 2,664,746 Net premiums earned 899,789 945,475 1,845,264 906,884 1,039,465 1,946,349 Other insurance related income 269 10,893 11,162 — 4,766 4,766 Net losses and loss expenses (583,307 ) (509,174 ) (1,092,481 ) (569,889 ) (540,147 ) (1,110,036 ) Acquisition costs (131,375 ) (223,430 ) (354,805 ) (136,096 ) (227,803 ) (363,899 ) General and administrative expenses (176,109 ) (75,393 ) (251,502 ) (171,459 ) (70,375 ) (241,834 ) Underwriting income $ 9,267 $ 148,371 157,638 $ 29,440 $ 205,906 235,346 Corporate expenses (60,221 ) (61,976 ) Net investment income 180,651 197,610 Net realized investment gains (losses) (53,662 ) 43,882 Foreign exchange (losses) gains 41,112 (13,939 ) Interest expense and financing costs (25,196 ) (36,569 ) Income before income taxes $ 240,322 $ 364,354 Net loss and loss expense ratio 64.8 % 53.9 % 59.2 % 62.8 % 52.0 % 57.0 % Acquisition cost ratio 14.6 % 23.6 % 19.2 % 15.0 % 21.9 % 18.7 % General and administrative expense ratio 19.6 % 8.0 % 16.9 % 19.0 % 6.7 % 15.6 % Combined ratio 99.0 % 85.5 % 95.3 % 96.8 % 80.6 % 91.3 % Goodwill and intangible assets $ 101,053 $ — $ 101,053 $ 90,025 $ — $ 90,025 |
GOODWILL AND INTANGIBLE ASSETS
GOODWILL AND INTANGIBLE ASSETS | 6 Months Ended |
Jun. 30, 2015 | |
Goodwill and Intangible Assets Disclosure [Abstract] | |
GOODWILL AND INTANGIBLE ASSETS | On April 1, 2015, the Company announced that it completed the acquisition of Ternian Insurance Group LLC ("Ternian"), 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. The following table shows an analysis of goodwill and intangible assets: Goodwill Intangible assets with an indefinite life Intangible assets with a finite life Total Net balance at December 31, 2014 $ 47,148 $ 26,036 $ 15,776 $ 88,960 Acquisition of Ternian — — 13,330 13,330 Amortization n/a n/a (1,280 ) (1,280 ) Foreign currency translation adjustment — — 43 43 Net balance at June 30, 2015 $ 47,148 $ 26,036 $ 27,869 $ 101,053 Gross balance at June 30, 2015 $ 42,237 $ 26,036 $ 48,926 $ 117,199 Accumulated amortization n/a n/a (26,863 ) (26,863 ) Foreign currency translation adjustment 4,911 — 5,806 10,717 Net balance at June 30, 2015 $ 47,148 $ 26,036 $ 27,869 $ 101,053 n/a – not applicable We estimate that the amortization expense for our total intangible assets with a finite life for the next six months will be approximately $2 million and annual amortization expense for 2016 through 2018 will be approximately $3 million and 2019 through 2020 will be approximately $2 million each year. The estimated remaining useful lives of these assets range from four to twenty-four years. Intangible assets with an indefinite life consist primarily of U.S. state licenses that provide a legal right to transact business indefinitely. |
INVESTMENTS
INVESTMENTS | 6 Months Ended |
Jun. 30, 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 Cost or Cost Gross Unrealized Gains Gross Unrealized Losses Fair Value Non-credit OTTI in AOCI (5) At June 30, 2015 Fixed maturities U.S. government and agency $ 1,699,826 $ 3,731 $ (20,448 ) $ 1,683,109 $ — Non-U.S. government 958,293 6,242 (64,000 ) 900,535 — Corporate debt 4,444,087 32,273 (72,408 ) 4,403,952 — Agency RMBS (1) 2,114,217 30,038 (9,279 ) 2,134,976 — CMBS (2) 1,093,612 9,814 (3,856 ) 1,099,570 — Non-Agency RMBS 99,590 2,667 (983 ) 101,274 (839 ) ABS (3) 1,429,667 3,372 (5,978 ) 1,427,061 — Municipals (4) 254,074 3,405 (2,220 ) 255,259 — Total fixed maturities $ 12,093,366 $ 91,542 $ (179,172 ) $ 12,005,736 $ (839 ) Equity securities Exchange-traded funds 495,590 44,153 (3,763 ) 535,980 Bond mutual funds 123,279 — (78 ) 123,201 Total equity securities $ 618,869 $ 44,153 $ (3,841 ) $ 659,181 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 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 4(c)). 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 Cost Fair Value % of Total Fair Value At June 30, 2015 Maturity Due in one year or less $ 553,743 $ 543,896 4.5 % Due after one year through five years 4,407,166 4,373,414 36.4 % Due after five years through ten years 2,069,297 2,005,587 16.7 % Due after ten years 326,074 319,958 2.7 % 7,356,280 7,242,855 60.3 % Agency RMBS 2,114,217 2,134,976 17.8 % CMBS 1,093,612 1,099,570 9.2 % Non-Agency RMBS 99,590 101,274 0.8 % ABS 1,429,667 1,427,061 11.9 % Total $ 12,093,366 $ 12,005,736 100.0 % 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 14.0 % 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 9.0 % Non-Agency RMBS 71,236 73,086 0.6 % ABS 1,475,026 1,461,586 12.1 % Total $ 12,185,973 $ 12,129,273 100.0 % 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 Value Unrealized Losses Fair Value Unrealized Losses Fair Value Unrealized Losses At June 30, 2015 Fixed maturities U.S. government and agency $ 128,916 $ (6,688 ) $ 881,631 $ (13,760 ) $ 1,010,547 $ (20,448 ) Non-U.S. government 163,690 (46,219 ) 298,542 (17,781 ) 462,232 (64,000 ) Corporate debt 229,078 (19,633 ) 2,326,826 (52,775 ) 2,555,904 (72,408 ) Agency RMBS 65,726 (1,740 ) 763,509 (7,539 ) 829,235 (9,279 ) CMBS 64,037 (784 ) 297,266 (3,072 ) 361,303 (3,856 ) Non-Agency RMBS 4,963 (600 ) 44,753 (383 ) 49,716 (983 ) ABS 495,889 (5,090 ) 336,672 (888 ) 832,561 (5,978 ) Municipals 14,478 (405 ) 148,681 (1,815 ) 163,159 (2,220 ) Total fixed maturities $ 1,166,777 $ (81,159 ) $ 5,097,880 $ (98,013 ) $ 6,264,657 $ (179,172 ) Equity securities Exchange-traded funds — — 115,026 (3,763 ) 115,026 (3,763 ) Bond mutual funds — — 16,692 (78 ) 16,692 (78 ) Total equity securities $ — $ — $ 131,718 $ (3,841 ) $ 131,718 $ (3,841 ) 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 ) 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 June 30, 2015 , 1,525 fixed maturities ( 2014 : 1,388 ) were in an unrealized loss position of $179 million ( 2014 : $173 million ), of which $19 million ( 2014 : $36 million ) was related to securities below investment grade or not rated. At June 30, 2015 , 285 ( 2014 : 223 ) securities had been in a continuous unrealized loss position for 12 months or greater and had a fair value of $1,167 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 June 30, 2015 , and were expected to recover in value as the securities approach maturity. Further, at June 30, 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 June 30, 2015 , 38 securities ( 2014 : 9 ) were in an unrealized loss position of $4 million ( 2014 : $8 million ). At June 30, 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 June 30, 2015 . b) Mortgage Loans The following table provides a breakdown of our mortgage loans held-for-investment: June 30, 2015 December 31, 2014 Carrying Value % of Total Carrying Value % of Total Mortgage Loans held-for-investment: Commercial $ 79,606 100 % $ — — % 79,606 100 % — — % Valuation allowances — — % — — % Total Mortgage Loans held-for-investment $ 79,606 100 % $ — — % For commercial mortgage loans, the primary credit quality indicator is the debt service coverage ratio (which compares a property’s net operating income to amounts needed to service the principle and interest due under the loan, generally, the lower the debt service coverage ratio, the higher the risk of experiencing a credit loss) and the loan-to-value ratio (loan-to-value ratios compare the unpaid principal balance of the loan to the estimated fair value of the underlying collateral, generally, the higher the loan-to-value ratio, the higher the risk of experiencing a credit loss). The debt service coverage ratio and loan-to-value ratio, as well as the values utilized in calculating these ratios, are updated annually, on a rolling basis. All commercial mortgage loans have debt service coverage ratios in excess of 1.5 x and loan-to-value ratios of less than 65% ; there are no credit losses associated with the commercial mortgage loans that we hold at June 30, 2015. We have a high quality mortgage loan portfolio with no past due amounts at June 30, 2015. c) Other Investments The following table provides a breakdown of our investments in hedge funds, direct lending funds, real estate funds and CLO Equities, together with additional information relating to the liquidity of each category: Fair Value Redemption Frequency (if currently eligible) Redemption Notice Period At June 30, 2015 Long/short equity funds $ 192,622 23 % Quarterly, Semi-annually, Annually 30-60 days Multi-strategy funds 345,726 41 % Quarterly, Semi-annually 60-95 days Event-driven funds 147,236 17 % Quarterly, Annually 45-60 days Leveraged bank loan funds 75 — % n/a n/a Direct lending funds 73,628 9 % n/a n/a Real estate funds 3,000 — % n/a n/a CLO - Equities 90,814 10 % n/a n/a Total other investments $ 853,101 100 % 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 Real estate funds — — % 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. • Real estate funds : Seek to achieve attractive risk-adjusted returns by making and managing investments in real estate and real estate securities and businesses. 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 June 30, 2015 , $98 million ( 2014 : $87 million ), representing 14% ( 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 September 2015 to April 2018. At June 30, 2015 , we have $138 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 March, 2019. The General Partner then has the option to extend the term by up to three years. At June 30, 2015 , $23 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 three year commitment period and a total fund life of eight years during which time we are not eligible to redeem our investment. At June 30, 2015, $97 million of our commitment remains unfunded and the current fair value of the funds called to date are included in the real estate funds line of the table above. During 2015, we made a $50 million commitment as a limited partner of a bank revolver opportunity fund. The fund is subject to an investment term of seven years and the General Partners have the option to extend the term by up to two years. At June 30, 2015 this commitment remains unfunded. It is not anticipated that the full amount of this fund will be drawn. d) Net Investment Income Net investment income was derived from the following sources: Three months ended June 30, Six months ended June 30, 2015 2014 2015 2014 Fixed maturities $ 77,998 $ 78,523 $ 144,086 $ 151,480 Other investments 14,102 32,492 45,037 49,252 Equity securities 2,674 5,301 4,350 7,587 Mortgage loans 281 — 294 — Cash and cash equivalents 1,678 6,183 2,777 7,046 Short-term investments 125 246 194 459 Gross investment income 96,858 122,745 196,738 215,824 Investment expenses (8,314 ) (7,878 ) (16,087 ) (18,214 ) Net investment income $ 88,544 $ 114,867 $ 180,651 $ 197,610 e) Net Realized Investment Gains (Losses) The following table provides an analysis of net realized investment gains (losses): Three months ended June 30, Six months ended June 30, 2015 2014 2015 2014 Gross realized gains Fixed maturities and short-term investments $ 17,066 $ 26,650 $ 32,727 $ 60,420 Equities 177 32,609 215 51,876 Gross realized gains 17,243 59,259 32,942 112,296 Gross realized losses Fixed maturities and short-term investments (13,474 ) (14,392 ) (56,565 ) (48,096 ) Equities (270 ) (2,546 ) (394 ) (4,984 ) Gross realized losses (13,744 ) (16,938 ) (56,959 ) (53,080 ) Net OTTI recognized in earnings (12,893 ) (1,905 ) (30,461 ) (2,690 ) Change in fair value of investment derivatives (1) (1,716 ) (7,155 ) 816 (12,644 ) Net realized investment gains (losses) $ (11,110 ) $ 33,261 $ (53,662 ) $ 43,882 (1) Refer to Note 6 – Derivative Instruments The following table summarizes the OTTI recognized in earnings by asset class: Three months ended June 30, Six months ended June 30, 2015 2014 2015 2014 Fixed maturities: Non-U.S. government $ — $ 1,774 $ 1,422 $ 1,812 Corporate debt 1,689 67 17,808 81 Non-Agency RMBS — — 4 — ABS 18 — 41 56 1,707 1,841 19,275 1,949 Equity Securities Common stocks — 64 — 741 Bond mutual funds 11,186 — 11,186 — 11,186 64 11,186 741 Total OTTI recognized in earnings $ 12,893 $ 1,905 $ 30,461 $ 2,690 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 June 30, Six months ended June 30, 2015 2014 2015 2014 Balance at beginning of period $ 1,541 $ 1,590 $ 1,531 $ 1,594 Credit impairments recognized on securities not previously impaired — — — — Additional credit impairments recognized on securities previously impaired 23 — 33 — Change in timing of future cash flows on securities previously impaired — — — — Intent to sell of securities previously impaired — — — — Securities sold/redeemed/matured — (9 ) — (13 ) Balance at end of period $ 1,564 $ 1,581 $ 1,564 $ 1,581 f) Reverse Repurchase Agreements At June 30, 2015 , we held $ 177 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. We monitor the estimated fair value of the securities loaned and borrowed on a daily basis with additional collateral obtained as necessary throughout the duration of the transaction. |
FAIR VALUE MEASUREMENTS
FAIR VALUE MEASUREMENTS | 6 Months Ended |
Jun. 30, 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 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 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 4(c) for further details) that prevent us from redeeming in the near term and therefore we have classified these investments as Level 3. At June 30, 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, interest rate swaps and commodity contracts 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 Active Markets for Identical Assets (Level 1) Significant Other Observable Inputs (Level 2) Significant Unobservable Inputs (Level 3) Total Fair Value At June 30, 2015 Assets Fixed maturities U.S. government and agency $ 1,613,649 $ 69,460 $ — $ 1,683,109 Non-U.S. government — 900,535 — 900,535 Corporate debt — 4,360,944 43,008 4,403,952 Agency RMBS — 2,134,976 — 2,134,976 CMBS — 1,077,670 21,900 1,099,570 Non-Agency RMBS — 101,274 — 101,274 ABS — 1,426,951 110 1,427,061 Municipals — 255,259 — 255,259 1,613,649 10,327,069 65,018 12,005,736 Equity securities Exchange-traded funds 535,980 — — 535,980 Bond mutual funds — 123,201 — 123,201 535,980 123,201 — 659,181 Other investments Hedge funds — 160,923 524,736 685,659 Direct lending funds — — 73,628 73,628 Real estate funds — — 3,000 3,000 CLO - Equities — — 90,814 90,814 — 160,923 692,178 853,101 Short-term investments — 30,618 — 30,618 Derivative instruments (see Note 6) — 578 240 818 Insurance-linked securities — — 24,837 24,837 Total Assets $ 2,149,629 $ 10,642,389 $ 782,273 $ 13,574,291 Liabilities Derivative instruments (see Note 6) $ — $ 5,921 $ 818 $ 6,739 Cash settled awards (see Note 8) — 19,939 — 19,939 Total Liabilities $ — $ 25,860 $ 818 $ 26,678 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 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 Real estate funds — — — — CLO - Equities — — 92,488 92,488 — 347,621 617,844 965,465 Short-term investments — 107,534 — 107,534 Derivative instruments (see Note 6) — 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 6) $ — $ 3,041 $ 15,288 $ 18,329 Cash settled awards (see Note 8) — 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 June 30, 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 $ 36,920 Discounted cash flow Default rates 4.0% - 5.0% 4.3% Loss severity rate 53.5% 53.5% Collateral spreads 3.0% - 3.5% 3.3% Estimated maturity dates 2.7 - 4.1 years 3.4 years Derivatives - Weather derivatives, net $ (578 ) Simulation model Weather curve 20 - 2830 (1) n/a (2) Weather standard deviation 15 - 240 (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 Balance Transfers into Level 3 Transfers out of Level 3 Included in earnings (1) Included in OCI (2) Purchases Sales Settlements/ Distributions Closing Balance Change in unrealized investment gain/(loss) (3) Three months ended June 30, 2015 Fixed maturities Corporate debt $ 26,857 $ — $ — $ — $ 244 $ 20,714 $ — $ (4,807 ) $ 43,008 $ — CMBS 17,061 5,072 — — (120 ) — — (113 ) 21,900 — ABS 39,921 — (39,851 ) — 43 — — (3 ) 110 — 83,839 5,072 (39,851 ) — 167 20,714 — (4,923 ) 65,018 — Other investments Hedge funds 495,849 — — 8,363 — 26,000 — (5,476 ) 524,736 8,363 Direct lending funds 69,682 — — 840 — 4,063 — (957 ) 73,628 840 Real estate funds — — — — — 3,000 — — 3,000 — CLO - Equities 92,058 — — 5,110 — — — (6,354 ) 90,814 5,110 657,589 — — 14,313 — 33,063 — (12,787 ) 692,178 14,313 Other assets Derivative instruments — — — 240 — — — — 240 240 Insurance-linked securities 25,000 — — (163 ) — — — — 24,837 (163 ) 25,000 — — 77 — — — — 25,077 77 Total assets $ 766,428 $ 5,072 $ (39,851 ) $ 14,390 $ 167 $ 53,777 $ — $ (17,710 ) $ 782,273 $ 14,390 Other liabilities Derivative instruments $ 7,308 $ — $ — $ (3,171 ) $ — $ 1,141 $ — $ (4,460 ) $ 818 $ 13 Total liabilities $ 7,308 $ — $ — $ (3,171 ) $ — $ 1,141 $ — $ (4,460 ) $ 818 $ 13 Six months ended June 30, 2015 Fixed maturities Corporate debt $ 15,837 $ — $ — $ — $ 424 $ 31,624 $ — $ (4,877 ) $ 43,008 $ — CMBS 17,763 5,072 — — (324 ) — — (611 ) 21,900 — ABS 40,031 — (39,851 ) — 105 — — (175 ) 110 — 73,631 5,072 (39,851 ) — 205 31,624 — (5,663 ) 65,018 — Other investments Hedge funds 470,918 — — 27,294 — 32,000 — (5,476 ) 524,736 27,294 Direct lending funds 54,438 — — 1,507 — 19,481 — (1,798 ) 73,628 1,507 Real estate funds — — — — — 3,000 — — 3,000 — CLO - Equities 92,488 — — 11,197 — — — (12,871 ) 90,814 11,197 617,844 — — 39,998 — 54,481 — (20,145 ) 692,178 39,998 Other assets Derivative instruments 111 — — (827 ) — — — 956 240 240 Insurance-linked securities — — — (163 ) — 25,000 — — 24,837 (163 ) 111 — — (990 ) — 25,000 — 956 25,077 77 Total assets $ 691,586 $ 5,072 $ (39,851 ) $ 39,008 $ 205 $ 111,105 $ — $ (24,852 ) $ 782,273 $ 40,075 Other liabilities Derivative instruments $ 15,288 $ — $ — $ (11,722 ) $ — $ 2,223 $ — $ (4,971 ) $ 818 $ 13 Total liabilities $ 15,288 $ — $ — $ (11,722 ) $ — $ 2,223 $ — $ (4,971 ) $ 818 $ 13 Opening Balance Transfers into Level 3 Transfers out of Level 3 Included in earnings (1) Included in OCI (2) Purchases Sales Settlements/ Distributions Closing Balance Change in unrealized investment gain/(loss) (3) Three months ended June 30, 2014 Fixed maturities Corporate debt $ — $ — $ — $ — $ — $ — $ — $ — $ — $ — CMBS 3,969 — — — (23 ) — — (13 ) 3,933 — ABS 30,724 — — — 273 — — (114 ) 30,883 — 34,693 — — — 250 — — (127 ) 34,816 — Other investments Hedge funds 464,666 — — 12,746 — 3,000 — (3,604 ) 476,808 12,746 Direct lending funds 26,003 — — 367 — 7,300 — (203 ) 33,467 367 Real estate funds — — — — — — — — — — CLO - Equities 86,179 — — 5,181 — 6,422 — (6,676 ) 91,106 5,181 576,848 — — 18,294 — 16,722 — (10,483 ) 601,381 18,294 Other assets Derivative instruments 1,707 — — 293 — — — (2,000 ) — — Insurance-linked securities — — — — — — — — — — 1,707 — — 293 — — — (2,000 ) — — Total assets $ 613,248 $ — $ — $ 18,587 $ 250 $ 16,722 $ — $ (12,610 ) $ 636,197 $ 18,294 Other liabilities Derivative instruments — — — (90 ) — 840 — — 750 (90 ) Total liabilities $ — $ — $ — $ (90 ) $ — $ 840 $ — $ — $ 750 $ (90 ) Six months ended June 30, 2014 Fixed maturities Corporate debt $ — $ — $ — $ — $ — $ — $ — $ — $ — $ — CMBS 4,018 — — — (43 ) — — (42 ) 3,933 — ABS 30,799 128 — — 178 — — (222 ) 30,883 — 34,817 128 — — 135 — — (264 ) 34,816 — Other investments Hedge funds 461,055 — — 20,923 — 7,500 — (12,670 ) 476,808 20,923 Direct lending funds 22,134 — — 919 — 10,745 — (331 ) 33,467 919 Real estate funds — — — — — — — — — — CLO - Equities 73,866 — — 11,331 — 19,267 — (13,358 ) 91,106 11,331 557,055 — — 33,173 — 37,512 — (26,359 ) 601,381 33,173 Other assets Derivative instruments 984 — — 5,011 — — — (5,995 ) — — Insurance-linked securities — — — — — — — — — — 984 — — 5,011 — — — (5,995 ) — — Total assets $ 592,856 $ 128 $ — $ 38,184 $ 135 $ 37,512 $ — $ (32,618 ) $ 636,197 $ 33,173 Other liabilities Derivative instruments $ 815 $ — $ — $ 896 $ — $ 840 $ — $ (1,801 ) $ 750 $ (90 ) Total liabilities $ 815 $ — $ — $ 896 $ — $ 840 $ — $ (1,801 ) $ 750 $ (90 ) (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 The transfers to Level 3 from Level 2 made during the three and six months ended June 30, 2015 were primarily due to the lack of observable market inputs and multiple quotes from pricing vendors and broker-dealers for certain fixed maturities. There were no transfers to Level 3 from Level 2 made during the three months ended June 30, 2014. The transfers to Level 3 from Level 2 made during the six months ended June 30, 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 The transfers to Level 2 from Level 3 made during the three and six months ended June 30, 2015 were primarily due to the availability of observable market inputs and quotes from pricing vendors on CLO Debt securities. There were no transfers to Level 2 from Level 3 made during the three and six months ended June 30, 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 June 30, 2015 , due to their respective short maturities. As these financial instruments are not actively traded, their respective fair values are classified within Level 2. The carrying value of mortgage loans held-for-investment approximated their fair value at June 30, 2015, due to the fact that the loans were issued during the quarter. The estimated fair value of mortgage loans is primarily determined by estimating expected future cash flows and discounting them using current interest rates for similar mortgage loans with similar credit risk, or is determined from pricing for similar loans. Mortgage loans are not actively traded, their respective fair values are classified within Level 3. At June 30, 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 $1,074 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 | 6 Months Ended |
Jun. 30, 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. June 30, 2015 December 31, 2014 Derivative Notional Amount Derivative Asset Fair Value (1) Derivative Liability Fair Value (1) Derivative Notional Amount Derivative Asset Fair Value (1) Derivative Liability Fair Value (1) Derivatives not designated as hedging instruments Relating to investment portfolio: Foreign exchange forward contracts $ 110,197 $ — $ 954 $ 161,678 $ 3,925 $ 12 Interest rate swaps — — — 140,000 — 248 Relating to underwriting portfolio: Foreign exchange forward contracts 672,735 347 4,967 577,836 3,228 2,781 Weather-related contracts 7,000 240 818 58,124 111 15,288 Commodity contracts 35,500 231 — — — — Total derivatives $ 818 $ 6,739 $ 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. June 30, 2015 December 31, 2014 Gross Amounts Gross Amounts Offset Net Amounts (1) Gross Amounts Gross Amounts Offset Net Amounts (1) Derivative assets $ 6,601 $ (5,783 ) $ 818 $ 15,125 $ (7,861 ) $ 7,264 Derivative liabilities $ 12,522 $ (5,783 ) $ 6,739 $ 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 4 - 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 decrease in the notional amount of investment-related derivatives since December 31, 2014 was due to a decrease in GBP 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. 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 in the first half of 2015. 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. Commodity Risk Within our (re)insurance portfolio we are exposed to commodity price risk. We may hedge a portion of this price risk by entering into commodity derivative contracts. 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 June 30, Six months ended June 30, 2015 2014 2015 2014 Derivatives not designated as hedging instruments Relating to investment portfolio: Foreign exchange forward contracts Net realized investment gains (losses) $ (1,716 ) $ (2,355 ) $ 4,822 $ (3,684 ) Interest rate swaps Net realized investment gains (losses) — (4,800 ) (4,006 ) (8,960 ) Relating to underwriting portfolio: Foreign exchange forward contracts Foreign exchange losses (gains) (1,011 ) 1,058 (16,284 ) 13,131 Weather-related contracts Other insurance related income 3,625 383 10,968 4,061 Commodity contracts Other insurance related income (890 ) 1,713 (890 ) 1,713 Total $ 8 $ (4,001 ) $ (5,390 ) $ 6,261 |
RESERVE FOR LOSSES AND LOSS EXP
RESERVE FOR LOSSES AND LOSS EXPENSES | 6 Months Ended |
Jun. 30, 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: Six months ended June 30, 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 1,213,160 1,238,883 Prior years (120,679 ) (128,847 ) 1,092,481 1,110,036 Net paid losses and loss expenses related to: Current year (86,827 ) (93,218 ) Prior years (915,124 ) (857,004 ) (1,001,951 ) (950,222 ) Foreign exchange and other (125,666 ) 35,122 Net reserve for unpaid losses and loss expenses, end of period 7,671,381 7,876,964 Reinsurance recoverable on unpaid losses, end of period 2,022,059 1,929,024 Gross reserve for losses and loss expenses, end of period $ 9,693,440 $ 9,805,988 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 June 30, Six months ended June 30, 2015 2014 2015 2014 Insurance $ 15,421 $ 32,963 $ 18,783 $ 44,571 Reinsurance 49,192 52,391 101,896 84,276 Total $ 64,613 $ 85,354 $ 120,679 $ 128,847 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 liability, professional and motor reinsurance lines in the three and six months ended June 30, 2015 and 2014 , also contributed. The net favorable prior year reserve development in the three and six months ended June 30, 2015 , was partially offset by net adverse prior year reserve development in the liability and credit and political risk 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 $40 million and $73 million of the total net favorable prior year reserve development for the three months ended June 30, 2015 and 2014 , respectively. For the six months ended June 30, 2015 and 2014 , these short-tail lines contributed $74 million and $101 million , respectively, of net favorable prior year reserve development. 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. For the three months ended June 30, 2015 and 2014 , our professional lines reinsurance business contributed net favorable prior year reserve development of $4 million and $6 million , respectively. For the six months ended June 30, 2015 and 2014 , the reinsurance professional lines contributed $24 million and $12 million , 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 six months ended June 30, 2015 , we recorded adverse prior year reserve development of $15 million in our credit and political risk insurance lines relating primarily to an increase in loss estimates for one specific claim. Our long-tail business consists primarily of liability and motor lines. Our liability reinsurance lines and motor business contributed additional favorable prior year reserve development of $25 million and $6 million in the three months ended June 30, 2015 , and 2014 , respectively. In the six months ended June 30, 2015 and 2014 , these long-tail lines contributed $44 million and $12 million , respectively. The net favorable development for these classes primarily reflected the greater weight management is giving to experience based indications and our experience which has generally been favorable for the 2003 through 2010 accident years. In the three and six months ended June 30, 2015 , we recorded adverse prior year reserve development of $6 million and $17 million , respectively, in our liability insurance lines relating primarily to an increase in loss estimates for specific individual claim reserves. The frequency and severity of natural catastrophe and weather activity was high in recent years and our June 30, 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. |
SHARE-BASED COMPENSATION
SHARE-BASED COMPENSATION | 6 Months Ended |
Jun. 30, 2015 | |
Disclosure of Compensation Related Costs, Share-based Payments [Abstract] | |
SHARE-BASED COMPENSATION | For the three months ended June 30, 2015 , we incurred share-based compensation costs of $10 million ( 2014 : $19 million ) and recorded associated tax benefits of $4 million ( 2014 : $3 million ). For the six months ended June 30, 2015 , we incurred share-based compensation costs of $29 million ( 2014 : $37 million ) and recorded associated tax benefits of $8 million ( 2014 : $6 million ). The fair value of shares vested during the six months ended June 30, 2015 was $71 million ( 2014 : $65 million ). At June 30, 2015 there were $135 million of unrecognized share-based compensation costs, which are expected to be recognized over the weighted average period of 2.5 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 six months ended June 30, 2015 : Performance-based Stock Awards Service-based Stock Awards Number of Restricted Stock Weighted Average Grant Date Fair Value Number of Restricted Stock Weighted Average Grant Date Fair Value Nonvested restricted stock - beginning of period 347 $ 37.34 2,768 $ 38.70 Granted 104 53.32 556 51.69 Vested — — (1,109 ) 36.38 Forfeited (250 ) 34.42 (29 ) 42.29 Nonvested restricted stock - end of period 201 $ 49.24 2,186 $ 43.13 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 June 30, 2015, the corresponding liability for cash-settled units, included in other liabilities on the Consolidated Balance Sheet, was $20 million (2014: $9 million ). |
EARNINGS PER COMMON SHARE
EARNINGS PER COMMON SHARE | 6 Months Ended |
Jun. 30, 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 June 30, Six months ended June 30, 2015 2014 2015 2014 Basic earnings per common share Net income $ 73,371 $ 202,259 $ 239,197 $ 350,729 Less: Amounts attributable to noncontrolling interests — 1,573 — 2,795 Less: preferred share dividends 10,022 10,022 20,044 20,044 Net income available to common shareholders 63,349 190,664 219,153 327,890 Weighted average common shares outstanding - basic 100,274 105,118 100,093 107,075 Basic earnings per common share $ 0.63 $ 1.81 $ 2.19 $ 3.06 Diluted earnings per common share Net income available to common shareholders $ 63,349 $ 190,664 $ 219,153 $ 327,890 Weighted average common shares outstanding - basic 100,274 105,118 100,093 107,075 Stock compensation plans 886 1,171 1,058 1,254 Weighted average common shares outstanding - diluted 101,160 106,289 101,151 108,329 Diluted earnings per common share $ 0.63 $ 1.79 $ 2.17 $ 3.03 Anti-dilutive shares excluded from the dilutive computation 89 73 329 562 |
SHAREHOLDERS' EQUITY
SHAREHOLDERS' EQUITY | 6 Months Ended |
Jun. 30, 2015 | |
Stockholders' Equity Note [Abstract] | |
SHAREHOLDERS' EQUITY | The following table presents our common shares issued and outstanding: Three months ended June 30, Six months ended June 30, 2015 2014 2015 2014 Shares issued, balance at beginning of period 176,190 175,195 175,478 174,134 Shares issued 16 120 728 1,181 Total shares issued at end of period 176,206 175,315 176,206 175,315 Treasury shares, balance at beginning of period (75,971 ) (68,450 ) (76,052 ) (64,649 ) Shares repurchased (60 ) (3,058 ) (350 ) (7,094 ) Shares reissued from treasury 109 99 480 334 Total treasury shares at end of period (75,922 ) (71,409 ) (75,922 ) (71,409 ) Total shares outstanding 100,284 103,906 100,284 103,906 Treasury Shares The following table presents our share repurchases: Three months ended June 30, Six months ended June 30, 2015 2014 2015 2014 In the open market: Total shares — 2,970 16 6,680 Total cost $ — $ 135,395 $ 832 $ 300,000 Average price per share (1) $ — $ 45.59 $ 50.69 $ 44.91 From employees: Total shares 60 88 334 414 Total cost $ 3,158 $ 3,985 $ 17,097 $ 18,082 Average price per share (1) $ 52.51 $ 45.57 $ 51.17 $ 43.66 Total shares repurchased: Total shares 60 3,058 350 7,094 Total cost $ 3,158 $ 139,380 $ 17,929 $ 318,082 Average price per share (1) $ 52.51 $ 45.59 $ 51.22 $ 44.84 (1) Calculated using whole figures. |
NONCONTROLLING INTERESTS
NONCONTROLLING INTERESTS | 6 Months Ended |
Jun. 30, 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. Ventures Re is considered to be a variable interest entity. Prior to the adoption of ASU 2015-02, the Company had concluded that it was the primary beneficiary of Ventures Re and following this determination, Ventures Re was consolidated by the Company. Shareholders' equity attributable to Ventures Re's third party investors was recorded in the Consolidated Financial Statements as noncontrolling interests. During the second quarter of 2015, the Company early adopted ASU 2015-02, “Amendments to the Consolidation Analysis” issued by the FASB. Following the adoption of the new ASU, the Company determined that it no longer had a variable interest in Ventures Re and therefore it was no longer required to consolidate the results of operations and the financial position of Ventures Re. The Company adopted this revised accounting guidance using the modified retrospective approach and ceased to consolidate Ventures Re effective as of January 1, 2015. There was no impact from the adoption of ASU 2015-02 on the Company’s cumulative retained earnings. At December 31, 2014, total assets of Ventures Re were $97 million , consisting primarily of cash and cash equivalents and insurance receivables. Total liabilities were $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: Six months ended June 30, 2015 2014 Balance at beginning of period $ 58,819 $ 50,000 Amounts attributable to noncontrolling interests — 2,795 Adjustment due to the adoption of revised accounting guidance effective January 1, 2015 (58,819 ) — Balance at end of period $ — $ 52,795 |
DEBT AND FINANCING ARRANGEMENTS
DEBT AND FINANCING ARRANGEMENTS | 6 Months Ended |
Jun. 30, 2015 | |
Debt Disclosure [Abstract] | |
DEBT AND FINANCING ARRANGEMENTS | On 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 June 30, 2015 , letters of credit outstanding under the LOC Facility totaled $351 million . |
COMMITMENTS AND CONTINGENCIES
COMMITMENTS AND CONTINGENCIES | 6 Months Ended |
Jun. 30, 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 June 30, 2015 , we have outstanding reinsurance purchase commitments of $98 million , of which $65 million is due in 2015 while the remaining $33 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 (as amended to date, the "Amalgamation Agreement") with PartnerRe Ltd., a Bermuda exempted company ("PartnerRe"), which agreement was thereafter amended on February 17, 2015, March 10, 2015, March 31, 2015, May 3, 2015 and July 15, 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 (the "Amalgamated Company"). On May 3, 2015, the Company and PartnerRe amended the Amalgamation Agreement to allow PartnerRe to pay a one-time, special cash dividend of $11.50 per share to PartnerRe's common shareholders in connection with the closing of the Amalgamation. On July 15, 2015, AXIS and PartnerRe further amended the Amalgamation Agreement to increase the one-time, special cash dividend to $17.50 per share upon the closing of the Amalgamation. In addition, the agreement was amended to provide that the Amalgamated Company will launch an exchange offer to exchange newly issued preferred shares of the Amalgamated Company for each series of preferred shares held by PartnerRe shareholders immediately prior to the consummation of the Amalgamation. The newly issued preferred shares of the Amalgamated Company will reflect a 100 basis point increase in the current dividend rate applicable to the relevant series of PartnerRe preferred shares, and subject to certain exceptions, an extended redemption date of the later of (a) the fifth anniversary of the date of issuance and (b) January 1, 2021, subject to the Amalgamated Company’s receipt of a favorable ruling from the Internal Revenue Service on the tax status of the exchange offer. In accordance with the terms of 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. Refer ' Note 4 - Investments' for information on commitments related to our other investments. |
OTHER COMPREHENSIVE INCOME (LOS
OTHER COMPREHENSIVE INCOME (LOSS) | 6 Months Ended |
Jun. 30, 2015 | |
Equity [Abstract] | |
OTHER COMPREHENSIVE INCOME (LOSS) | The tax effects allocated to each component of other comprehensive income (loss) 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 June 30, Available for sale investments: Unrealized gains (losses) arising during the period $ (86,076 ) $ 14,035 $ (72,041 ) $ 133,575 $ (13,025 ) $ 120,550 Adjustment for reclassification of net realized investment gains (losses) and OTTI losses recognized in net income 9,392 (535 ) 8,857 (40,259 ) 6,330 (33,929 ) Unrealized gains (losses) arising during the period, net of reclassification adjustment (76,684 ) 13,500 (63,184 ) 93,316 (6,695 ) 86,621 Non-credit portion of OTTI losses — — — — — — Foreign currency translation adjustment 2,188 — 2,188 3,790 — 3,790 Total other comprehensive income (loss), net of tax $ (74,496 ) $ 13,500 $ (60,996 ) $ 97,106 $ (6,695 ) $ 90,411 Six months ended June 30, Available for sale investments: Unrealized gains (losses) arising during the period $ (81,013 ) $ 3,785 $ (77,228 ) $ 214,135 $ (22,202 ) $ 191,933 Adjustment for reclassification of net realized investment gains (losses) and OTTI losses recognized in net income 54,489 (529 ) 53,960 (56,328 ) 12,785 (43,543 ) Unrealized gains (losses) arising during the period, net of reclassification adjustment (26,524 ) 3,256 (23,268 ) 157,807 (9,417 ) 148,390 Non-credit portion of OTTI losses — — — — — — Foreign currency translation adjustment (9,225 ) — (9,225 ) 6,449 — 6,449 Total other comprehensive income (loss), net of tax $ (35,749 ) $ 3,256 $ (32,493 ) $ 164,256 $ (9,417 ) $ 154,839 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 June 30, Six months ended June 30, 2015 2014 2015 2014 Unrealized gains (losses) on available for sale investments Other realized investment gains (losses) $ 3,501 $ 42,164 $ (24,028 ) $ 59,018 OTTI losses (12,893 ) (1,905 ) (30,461 ) (2,690 ) Total before tax (9,392 ) 40,259 (54,489 ) 56,328 Income tax (expense) benefit 535 (6,330 ) 529 (12,785 ) Net of tax $ (8,857 ) $ 33,929 $ (53,960 ) $ 43,543 (1) Amounts in parentheses are debits to net income available to common shareholders. |
SUBSEQUENT EVENTS
SUBSEQUENT EVENTS | 6 Months Ended |
Jun. 30, 2015 | |
Subsequent Events [Abstract] | |
SUBSEQUENT EVENTS | Amendments to the Amalgamation Agreement On July 15, 2015, AXIS and PartnerRe further amended the Amalgamation Agreement to increase the one-time special cash dividend to $17.50 per share. In addition, the agreement was amended to allow the Amalgamated Company to commence an exchange offer, immediately prior to the consummation of the Amalgamation, pursuant to which PartnerRe preferred shareholders would receive newly issued preferred shares of the Amalgamated Company reflecting an increase in the current dividend rate applicable to the relevant series of PartnerRe preferred shares of 1 00 basis points and to extend the redemption period date to the later of (a) the fifth anniversary of the date of issuance and (b) January 1, 2021, subject to receiving a favorable ruling from the Internal Revenue Service on the tax status of the exchange offer. |
BASIS OF PRESENTATION AND ACC23
BASIS OF PRESENTATION AND ACCOUNTING POLICIES (POLICIES) | 6 Months Ended |
Jun. 30, 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 June 30, 2015 and the consolidated statements of operations, comprehensive income, shareholders' equity and cash flows for the periods ended June 30, 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 , with the exception of the addition to our accounting policy for mortgage loans held-for-investment noted below. |
Investments | Mortgage Loans Held-For-Investment Mortgage loans held-for-investment are stated at amortized cost calculated as the unpaid principal balance, adjusted for any unamortized premium or discount, deferred fees or expenses, and are net of valuation allowances. Interest income and prepayment fees are recognized when earned. Interest income is recognized using an effective yield method giving effect to the amortization of premiums and accretion of discounts. |
New Accounting Standards Adopted in 2015 | New Accounting Standards Adopted in 2015 Consolidation During the second quarter of 2015, the Company early adopted the Accounting Standards Update (“ASU”) 2015-02, “Amendments to the Consolidation Analysis” issued by the Financial Accounting Standards Board (the “FASB”). The adoption of this amended accounting guidance resulted in the Company concluding that it no longer had a variable interest in AXIS Ventures Reinsurance Limited (“Ventures Re”) and therefore it was no longer required to consolidate the results of operations and the financial position of Ventures Re in its Consolidated Financial Statements. The Company adopted this revised accounting guidance using the modified retrospective approach and ceased to consolidate Ventures Re effective as of January 1, 2015. There was no impact from the adoption of ASU 2015-02 on the Company’s cumulative retained earnings. Refer to Note 11 to the Consolidated Financial Statements "Noncontrolling Interests" for more information. The new consolidation guidance did not have an impact on any other investments currently held by the Company. |
Recently Issued Accounting Standards Not Yet Adopted | Recently Issued Accounting Standards Not Yet Adopted Disclosures About Short-Duration Contracts In May 2015, the FASB issued new guidance making targeted improvements to existing disclosure requirements for short-duration contracts. The guidance requires insurance entities to disclose additional information about the liability for unpaid claims and claim adjustment expenses. The guidance is effective for annual periods beginning after December 15, 2015, and interim periods within annual periods beginning after December 15, 2016, with early adoption permitted. The guidance will be applied retrospectively. As the new guidance is disclosure-related only, the adoption of this guidance is not expected to impact our results of operations, financial condition or liquidity. Investments Measured Using The Net Asset Value Per Share ("NAV") Practical Expedient In May 2015, the FASB issued new guidance eliminating the requirement to categorize investments measured using the NAV practical expedient in the fair value hierarchy table. This guidance is effective for reporting periods beginning after December 15, 2015, with early adoption permitted. The guidance will be applied retrospectively. As the new guidance is disclosure-related only, the adoption of this guidance is not expected to impact our results of operations, financial condition or liquidity. |
SEGMENT INFORMATION (TABLES)
SEGMENT INFORMATION (TABLES) | 6 Months Ended |
Jun. 30, 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 June 30, Insurance Reinsurance Total Insurance Reinsurance Total Gross premiums written $ 761,126 $ 427,287 $ 1,188,413 $ 754,110 $ 477,169 $ 1,231,279 Net premiums written 534,263 412,281 946,544 541,097 459,065 1,000,162 Net premiums earned 452,322 488,889 941,211 457,670 542,730 1,000,400 Other insurance related income 269 3,217 3,486 — 1,683 1,683 Net losses and loss expenses (297,534 ) (282,619 ) (580,153 ) (290,466 ) (275,363 ) (565,829 ) Acquisition costs (66,920 ) (116,343 ) (183,263 ) (71,039 ) (120,823 ) (191,862 ) General and administrative expenses (88,420 ) (36,013 ) (124,433 ) (83,512 ) (34,299 ) (117,811 ) Underwriting income (loss) $ (283 ) $ 57,131 56,848 $ 12,653 $ 113,928 126,581 Corporate expenses (24,049 ) (33,270 ) Net investment income 88,544 114,867 Net realized investment gains (losses) (11,110 ) 33,261 Foreign exchange losses (22,108 ) (9,705 ) Interest expense and financing costs (12,939 ) (19,975 ) Income before income taxes $ 75,186 $ 211,759 Net loss and loss expense ratio 65.8 % 57.8 % 61.6 % 63.5 % 50.7 % 56.6 % Acquisition cost ratio 14.8 % 23.8 % 19.5 % 15.5 % 22.3 % 19.2 % General and administrative expense ratio 19.5 % 7.4 % 15.8 % 18.2 % 6.3 % 15.0 % Combined ratio 100.1 % 89.0 % 96.9 % 97.2 % 79.3 % 90.8 % Goodwill and intangible assets $ 101,053 $ — $ 101,053 $ 90,025 $ — $ 90,025 2015 2014 Six months ended and at June 30, Insurance Reinsurance Total Insurance Reinsurance Total Gross premiums written $ 1,363,850 $ 1,503,495 $ 2,867,345 $ 1,355,831 $ 1,696,847 $ 3,052,678 Net premiums written 971,004 1,431,086 2,402,090 997,789 1,666,957 2,664,746 Net premiums earned 899,789 945,475 1,845,264 906,884 1,039,465 1,946,349 Other insurance related income 269 10,893 11,162 — 4,766 4,766 Net losses and loss expenses (583,307 ) (509,174 ) (1,092,481 ) (569,889 ) (540,147 ) (1,110,036 ) Acquisition costs (131,375 ) (223,430 ) (354,805 ) (136,096 ) (227,803 ) (363,899 ) General and administrative expenses (176,109 ) (75,393 ) (251,502 ) (171,459 ) (70,375 ) (241,834 ) Underwriting income $ 9,267 $ 148,371 157,638 $ 29,440 $ 205,906 235,346 Corporate expenses (60,221 ) (61,976 ) Net investment income 180,651 197,610 Net realized investment gains (losses) (53,662 ) 43,882 Foreign exchange (losses) gains 41,112 (13,939 ) Interest expense and financing costs (25,196 ) (36,569 ) Income before income taxes $ 240,322 $ 364,354 Net loss and loss expense ratio 64.8 % 53.9 % 59.2 % 62.8 % 52.0 % 57.0 % Acquisition cost ratio 14.6 % 23.6 % 19.2 % 15.0 % 21.9 % 18.7 % General and administrative expense ratio 19.6 % 8.0 % 16.9 % 19.0 % 6.7 % 15.6 % Combined ratio 99.0 % 85.5 % 95.3 % 96.8 % 80.6 % 91.3 % Goodwill and intangible assets $ 101,053 $ — $ 101,053 $ 90,025 $ — $ 90,025 |
GOODWILL AND INTANGIBLE ASSETS
GOODWILL AND INTANGIBLE ASSETS (TABLES) | 6 Months Ended |
Jun. 30, 2015 | |
Goodwill and Intangible Assets Disclosure [Abstract] | |
SCHEDULE OF GOODWILL AND INTANGIBLE ASSETS | The following table shows an analysis of goodwill and intangible assets: Goodwill Intangible assets with an indefinite life Intangible assets with a finite life Total Net balance at December 31, 2014 $ 47,148 $ 26,036 $ 15,776 $ 88,960 Acquisition of Ternian — — 13,330 13,330 Amortization n/a n/a (1,280 ) (1,280 ) Foreign currency translation adjustment — — 43 43 Net balance at June 30, 2015 $ 47,148 $ 26,036 $ 27,869 $ 101,053 Gross balance at June 30, 2015 $ 42,237 $ 26,036 $ 48,926 $ 117,199 Accumulated amortization n/a n/a (26,863 ) (26,863 ) Foreign currency translation adjustment 4,911 — 5,806 10,717 Net balance at June 30, 2015 $ 47,148 $ 26,036 $ 27,869 $ 101,053 n/a – not applicable |
INVESTMENTS (TABLES)
INVESTMENTS (TABLES) | 6 Months Ended |
Jun. 30, 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 Cost or Cost Gross Unrealized Gains Gross Unrealized Losses Fair Value Non-credit OTTI in AOCI (5) At June 30, 2015 Fixed maturities U.S. government and agency $ 1,699,826 $ 3,731 $ (20,448 ) $ 1,683,109 $ — Non-U.S. government 958,293 6,242 (64,000 ) 900,535 — Corporate debt 4,444,087 32,273 (72,408 ) 4,403,952 — Agency RMBS (1) 2,114,217 30,038 (9,279 ) 2,134,976 — CMBS (2) 1,093,612 9,814 (3,856 ) 1,099,570 — Non-Agency RMBS 99,590 2,667 (983 ) 101,274 (839 ) ABS (3) 1,429,667 3,372 (5,978 ) 1,427,061 — Municipals (4) 254,074 3,405 (2,220 ) 255,259 — Total fixed maturities $ 12,093,366 $ 91,542 $ (179,172 ) $ 12,005,736 $ (839 ) Equity securities Exchange-traded funds 495,590 44,153 (3,763 ) 535,980 Bond mutual funds 123,279 — (78 ) 123,201 Total equity securities $ 618,869 $ 44,153 $ (3,841 ) $ 659,181 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 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 Cost Fair Value % of Total Fair Value At June 30, 2015 Maturity Due in one year or less $ 553,743 $ 543,896 4.5 % Due after one year through five years 4,407,166 4,373,414 36.4 % Due after five years through ten years 2,069,297 2,005,587 16.7 % Due after ten years 326,074 319,958 2.7 % 7,356,280 7,242,855 60.3 % Agency RMBS 2,114,217 2,134,976 17.8 % CMBS 1,093,612 1,099,570 9.2 % Non-Agency RMBS 99,590 101,274 0.8 % ABS 1,429,667 1,427,061 11.9 % Total $ 12,093,366 $ 12,005,736 100.0 % 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 14.0 % 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 9.0 % Non-Agency RMBS 71,236 73,086 0.6 % ABS 1,475,026 1,461,586 12.1 % Total $ 12,185,973 $ 12,129,273 100.0 % |
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 Value Unrealized Losses Fair Value Unrealized Losses Fair Value Unrealized Losses At June 30, 2015 Fixed maturities U.S. government and agency $ 128,916 $ (6,688 ) $ 881,631 $ (13,760 ) $ 1,010,547 $ (20,448 ) Non-U.S. government 163,690 (46,219 ) 298,542 (17,781 ) 462,232 (64,000 ) Corporate debt 229,078 (19,633 ) 2,326,826 (52,775 ) 2,555,904 (72,408 ) Agency RMBS 65,726 (1,740 ) 763,509 (7,539 ) 829,235 (9,279 ) CMBS 64,037 (784 ) 297,266 (3,072 ) 361,303 (3,856 ) Non-Agency RMBS 4,963 (600 ) 44,753 (383 ) 49,716 (983 ) ABS 495,889 (5,090 ) 336,672 (888 ) 832,561 (5,978 ) Municipals 14,478 (405 ) 148,681 (1,815 ) 163,159 (2,220 ) Total fixed maturities $ 1,166,777 $ (81,159 ) $ 5,097,880 $ (98,013 ) $ 6,264,657 $ (179,172 ) Equity securities Exchange-traded funds — — 115,026 (3,763 ) 115,026 (3,763 ) Bond mutual funds — — 16,692 (78 ) 16,692 (78 ) Total equity securities $ — $ — $ 131,718 $ (3,841 ) $ 131,718 $ (3,841 ) 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 ) Bond mutual funds — — 112,817 (2,768 ) 112,817 (2,768 ) Total equity securities $ — $ — $ 204,092 $ (7,524 ) $ 204,092 $ (7,524 ) |
MORTGAGE LOANS NET OF VALUATION ALLOWANCE | The following table provides a breakdown of our mortgage loans held-for-investment: June 30, 2015 December 31, 2014 Carrying Value % of Total Carrying Value % of Total Mortgage Loans held-for-investment: Commercial $ 79,606 100 % $ — — % 79,606 100 % — — % Valuation allowances — — % — — % Total Mortgage Loans held-for-investment $ 79,606 100 % $ — — % |
PORTFOLIO OF OTHER INVESTMENTS | The following table provides a breakdown of our investments in hedge funds, direct lending funds, real estate funds and CLO Equities, together with additional information relating to the liquidity of each category: Fair Value Redemption Frequency (if currently eligible) Redemption Notice Period At June 30, 2015 Long/short equity funds $ 192,622 23 % Quarterly, Semi-annually, Annually 30-60 days Multi-strategy funds 345,726 41 % Quarterly, Semi-annually 60-95 days Event-driven funds 147,236 17 % Quarterly, Annually 45-60 days Leveraged bank loan funds 75 — % n/a n/a Direct lending funds 73,628 9 % n/a n/a Real estate funds 3,000 — % n/a n/a CLO - Equities 90,814 10 % n/a n/a Total other investments $ 853,101 100 % 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 Real estate funds — — % 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 June 30, Six months ended June 30, 2015 2014 2015 2014 Fixed maturities $ 77,998 $ 78,523 $ 144,086 $ 151,480 Other investments 14,102 32,492 45,037 49,252 Equity securities 2,674 5,301 4,350 7,587 Mortgage loans 281 — 294 — Cash and cash equivalents 1,678 6,183 2,777 7,046 Short-term investments 125 246 194 459 Gross investment income 96,858 122,745 196,738 215,824 Investment expenses (8,314 ) (7,878 ) (16,087 ) (18,214 ) Net investment income $ 88,544 $ 114,867 $ 180,651 $ 197,610 |
NET REALIZED INVESTMENT GAINS (LOSSES) | The following table provides an analysis of net realized investment gains (losses): Three months ended June 30, Six months ended June 30, 2015 2014 2015 2014 Gross realized gains Fixed maturities and short-term investments $ 17,066 $ 26,650 $ 32,727 $ 60,420 Equities 177 32,609 215 51,876 Gross realized gains 17,243 59,259 32,942 112,296 Gross realized losses Fixed maturities and short-term investments (13,474 ) (14,392 ) (56,565 ) (48,096 ) Equities (270 ) (2,546 ) (394 ) (4,984 ) Gross realized losses (13,744 ) (16,938 ) (56,959 ) (53,080 ) Net OTTI recognized in earnings (12,893 ) (1,905 ) (30,461 ) (2,690 ) Change in fair value of investment derivatives (1) (1,716 ) (7,155 ) 816 (12,644 ) Net realized investment gains (losses) $ (11,110 ) $ 33,261 $ (53,662 ) $ 43,882 (1) Refer to Note 6 – Derivative Instruments |
OTTI RECOGNIZED IN EARNINGS BY ASSET CLASS | The following table summarizes the OTTI recognized in earnings by asset class: Three months ended June 30, Six months ended June 30, 2015 2014 2015 2014 Fixed maturities: Non-U.S. government $ — $ 1,774 $ 1,422 $ 1,812 Corporate debt 1,689 67 17,808 81 Non-Agency RMBS — — 4 — ABS 18 — 41 56 1,707 1,841 19,275 1,949 Equity Securities Common stocks — 64 — 741 Bond mutual funds 11,186 — 11,186 — 11,186 64 11,186 741 Total OTTI recognized in earnings $ 12,893 $ 1,905 $ 30,461 $ 2,690 |
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 June 30, Six months ended June 30, 2015 2014 2015 2014 Balance at beginning of period $ 1,541 $ 1,590 $ 1,531 $ 1,594 Credit impairments recognized on securities not previously impaired — — — — Additional credit impairments recognized on securities previously impaired 23 — 33 — Change in timing of future cash flows on securities previously impaired — — — — Intent to sell of securities previously impaired — — — — Securities sold/redeemed/matured — (9 ) — (13 ) Balance at end of period $ 1,564 $ 1,581 $ 1,564 $ 1,581 |
FAIR VALUE MEASUREMENTS (TABLES
FAIR VALUE MEASUREMENTS (TABLES) | 6 Months Ended |
Jun. 30, 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 Active Markets for Identical Assets (Level 1) Significant Other Observable Inputs (Level 2) Significant Unobservable Inputs (Level 3) Total Fair Value At June 30, 2015 Assets Fixed maturities U.S. government and agency $ 1,613,649 $ 69,460 $ — $ 1,683,109 Non-U.S. government — 900,535 — 900,535 Corporate debt — 4,360,944 43,008 4,403,952 Agency RMBS — 2,134,976 — 2,134,976 CMBS — 1,077,670 21,900 1,099,570 Non-Agency RMBS — 101,274 — 101,274 ABS — 1,426,951 110 1,427,061 Municipals — 255,259 — 255,259 1,613,649 10,327,069 65,018 12,005,736 Equity securities Exchange-traded funds 535,980 — — 535,980 Bond mutual funds — 123,201 — 123,201 535,980 123,201 — 659,181 Other investments Hedge funds — 160,923 524,736 685,659 Direct lending funds — — 73,628 73,628 Real estate funds — — 3,000 3,000 CLO - Equities — — 90,814 90,814 — 160,923 692,178 853,101 Short-term investments — 30,618 — 30,618 Derivative instruments (see Note 6) — 578 240 818 Insurance-linked securities — — 24,837 24,837 Total Assets $ 2,149,629 $ 10,642,389 $ 782,273 $ 13,574,291 Liabilities Derivative instruments (see Note 6) $ — $ 5,921 $ 818 $ 6,739 Cash settled awards (see Note 8) — 19,939 — 19,939 Total Liabilities $ — $ 25,860 $ 818 $ 26,678 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 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 Real estate funds — — — — CLO - Equities — — 92,488 92,488 — 347,621 617,844 965,465 Short-term investments — 107,534 — 107,534 Derivative instruments (see Note 6) — 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 6) $ — $ 3,041 $ 15,288 $ 18,329 Cash settled awards (see Note 8) — 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 June 30, 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 $ 36,920 Discounted cash flow Default rates 4.0% - 5.0% 4.3% Loss severity rate 53.5% 53.5% Collateral spreads 3.0% - 3.5% 3.3% Estimated maturity dates 2.7 - 4.1 years 3.4 years Derivatives - Weather derivatives, net $ (578 ) Simulation model Weather curve 20 - 2830 (1) n/a (2) Weather standard deviation 15 - 240 (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 Balance Transfers into Level 3 Transfers out of Level 3 Included in earnings (1) Included in OCI (2) Purchases Sales Settlements/ Distributions Closing Balance Change in unrealized investment gain/(loss) (3) Three months ended June 30, 2015 Fixed maturities Corporate debt $ 26,857 $ — $ — $ — $ 244 $ 20,714 $ — $ (4,807 ) $ 43,008 $ — CMBS 17,061 5,072 — — (120 ) — — (113 ) 21,900 — ABS 39,921 — (39,851 ) — 43 — — (3 ) 110 — 83,839 5,072 (39,851 ) — 167 20,714 — (4,923 ) 65,018 — Other investments Hedge funds 495,849 — — 8,363 — 26,000 — (5,476 ) 524,736 8,363 Direct lending funds 69,682 — — 840 — 4,063 — (957 ) 73,628 840 Real estate funds — — — — — 3,000 — — 3,000 — CLO - Equities 92,058 — — 5,110 — — — (6,354 ) 90,814 5,110 657,589 — — 14,313 — 33,063 — (12,787 ) 692,178 14,313 Other assets Derivative instruments — — — 240 — — — — 240 240 Insurance-linked securities 25,000 — — (163 ) — — — — 24,837 (163 ) 25,000 — — 77 — — — — 25,077 77 Total assets $ 766,428 $ 5,072 $ (39,851 ) $ 14,390 $ 167 $ 53,777 $ — $ (17,710 ) $ 782,273 $ 14,390 Other liabilities Derivative instruments $ 7,308 $ — $ — $ (3,171 ) $ — $ 1,141 $ — $ (4,460 ) $ 818 $ 13 Total liabilities $ 7,308 $ — $ — $ (3,171 ) $ — $ 1,141 $ — $ (4,460 ) $ 818 $ 13 Six months ended June 30, 2015 Fixed maturities Corporate debt $ 15,837 $ — $ — $ — $ 424 $ 31,624 $ — $ (4,877 ) $ 43,008 $ — CMBS 17,763 5,072 — — (324 ) — — (611 ) 21,900 — ABS 40,031 — (39,851 ) — 105 — — (175 ) 110 — 73,631 5,072 (39,851 ) — 205 31,624 — (5,663 ) 65,018 — Other investments Hedge funds 470,918 — — 27,294 — 32,000 — (5,476 ) 524,736 27,294 Direct lending funds 54,438 — — 1,507 — 19,481 — (1,798 ) 73,628 1,507 Real estate funds — — — — — 3,000 — — 3,000 — CLO - Equities 92,488 — — 11,197 — — — (12,871 ) 90,814 11,197 617,844 — — 39,998 — 54,481 — (20,145 ) 692,178 39,998 Other assets Derivative instruments 111 — — (827 ) — — — 956 240 240 Insurance-linked securities — — — (163 ) — 25,000 — — 24,837 (163 ) 111 — — (990 ) — 25,000 — 956 25,077 77 Total assets $ 691,586 $ 5,072 $ (39,851 ) $ 39,008 $ 205 $ 111,105 $ — $ (24,852 ) $ 782,273 $ 40,075 Other liabilities Derivative instruments $ 15,288 $ — $ — $ (11,722 ) $ — $ 2,223 $ — $ (4,971 ) $ 818 $ 13 Total liabilities $ 15,288 $ — $ — $ (11,722 ) $ — $ 2,223 $ — $ (4,971 ) $ 818 $ 13 Opening Balance Transfers into Level 3 Transfers out of Level 3 Included in earnings (1) Included in OCI (2) Purchases Sales Settlements/ Distributions Closing Balance Change in unrealized investment gain/(loss) (3) Three months ended June 30, 2014 Fixed maturities Corporate debt $ — $ — $ — $ — $ — $ — $ — $ — $ — $ — CMBS 3,969 — — — (23 ) — — (13 ) 3,933 — ABS 30,724 — — — 273 — — (114 ) 30,883 — 34,693 — — — 250 — — (127 ) 34,816 — Other investments Hedge funds 464,666 — — 12,746 — 3,000 — (3,604 ) 476,808 12,746 Direct lending funds 26,003 — — 367 — 7,300 — (203 ) 33,467 367 Real estate funds — — — — — — — — — — CLO - Equities 86,179 — — 5,181 — 6,422 — (6,676 ) 91,106 5,181 576,848 — — 18,294 — 16,722 — (10,483 ) 601,381 18,294 Other assets Derivative instruments 1,707 — — 293 — — — (2,000 ) — — Insurance-linked securities — — — — — — — — — — 1,707 — — 293 — — — (2,000 ) — — Total assets $ 613,248 $ — $ — $ 18,587 $ 250 $ 16,722 $ — $ (12,610 ) $ 636,197 $ 18,294 Other liabilities Derivative instruments — — — (90 ) — 840 — — 750 (90 ) Total liabilities $ — $ — $ — $ (90 ) $ — $ 840 $ — $ — $ 750 $ (90 ) Six months ended June 30, 2014 Fixed maturities Corporate debt $ — $ — $ — $ — $ — $ — $ — $ — $ — $ — CMBS 4,018 — — — (43 ) — — (42 ) 3,933 — ABS 30,799 128 — — 178 — — (222 ) 30,883 — 34,817 128 — — 135 — — (264 ) 34,816 — Other investments Hedge funds 461,055 — — 20,923 — 7,500 — (12,670 ) 476,808 20,923 Direct lending funds 22,134 — — 919 — 10,745 — (331 ) 33,467 919 Real estate funds — — — — — — — — — — CLO - Equities 73,866 — — 11,331 — 19,267 — (13,358 ) 91,106 11,331 557,055 — — 33,173 — 37,512 — (26,359 ) 601,381 33,173 Other assets Derivative instruments 984 — — 5,011 — — — (5,995 ) — — Insurance-linked securities — — — — — — — — — — 984 — — 5,011 — — — (5,995 ) — — Total assets $ 592,856 $ 128 $ — $ 38,184 $ 135 $ 37,512 $ — $ (32,618 ) $ 636,197 $ 33,173 Other liabilities Derivative instruments $ 815 $ — $ — $ 896 $ — $ 840 $ — $ (1,801 ) $ 750 $ (90 ) Total liabilities $ 815 $ — $ — $ 896 $ — $ 840 $ — $ (1,801 ) $ 750 $ (90 ) (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) | 6 Months Ended |
Jun. 30, 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. June 30, 2015 December 31, 2014 Derivative Notional Amount Derivative Asset Fair Value (1) Derivative Liability Fair Value (1) Derivative Notional Amount Derivative Asset Fair Value (1) Derivative Liability Fair Value (1) Derivatives not designated as hedging instruments Relating to investment portfolio: Foreign exchange forward contracts $ 110,197 $ — $ 954 $ 161,678 $ 3,925 $ 12 Interest rate swaps — — — 140,000 — 248 Relating to underwriting portfolio: Foreign exchange forward contracts 672,735 347 4,967 577,836 3,228 2,781 Weather-related contracts 7,000 240 818 58,124 111 15,288 Commodity contracts 35,500 231 — — — — Total derivatives $ 818 $ 6,739 $ 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. June 30, 2015 December 31, 2014 Gross Amounts Gross Amounts Offset Net Amounts (1) Gross Amounts Gross Amounts Offset Net Amounts (1) Derivative assets $ 6,601 $ (5,783 ) $ 818 $ 15,125 $ (7,861 ) $ 7,264 Derivative liabilities $ 12,522 $ (5,783 ) $ 6,739 $ 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 June 30, Six months ended June 30, 2015 2014 2015 2014 Derivatives not designated as hedging instruments Relating to investment portfolio: Foreign exchange forward contracts Net realized investment gains (losses) $ (1,716 ) $ (2,355 ) $ 4,822 $ (3,684 ) Interest rate swaps Net realized investment gains (losses) — (4,800 ) (4,006 ) (8,960 ) Relating to underwriting portfolio: Foreign exchange forward contracts Foreign exchange losses (gains) (1,011 ) 1,058 (16,284 ) 13,131 Weather-related contracts Other insurance related income 3,625 383 10,968 4,061 Commodity contracts Other insurance related income (890 ) 1,713 (890 ) 1,713 Total $ 8 $ (4,001 ) $ (5,390 ) $ 6,261 |
RESERVE FOR LOSSES AND LOSS E29
RESERVE FOR LOSSES AND LOSS EXPENSES (TABLES) | 6 Months Ended |
Jun. 30, 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: Six months ended June 30, 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 1,213,160 1,238,883 Prior years (120,679 ) (128,847 ) 1,092,481 1,110,036 Net paid losses and loss expenses related to: Current year (86,827 ) (93,218 ) Prior years (915,124 ) (857,004 ) (1,001,951 ) (950,222 ) Foreign exchange and other (125,666 ) 35,122 Net reserve for unpaid losses and loss expenses, end of period 7,671,381 7,876,964 Reinsurance recoverable on unpaid losses, end of period 2,022,059 1,929,024 Gross reserve for losses and loss expenses, end of period $ 9,693,440 $ 9,805,988 |
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 June 30, Six months ended June 30, 2015 2014 2015 2014 Insurance $ 15,421 $ 32,963 $ 18,783 $ 44,571 Reinsurance 49,192 52,391 101,896 84,276 Total $ 64,613 $ 85,354 $ 120,679 $ 128,847 |
SHARE-BASED COMPENSATION (TABLE
SHARE-BASED COMPENSATION (TABLES) | 6 Months Ended |
Jun. 30, 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 six months ended June 30, 2015 : Performance-based Stock Awards Service-based Stock Awards Number of Restricted Stock Weighted Average Grant Date Fair Value Number of Restricted Stock Weighted Average Grant Date Fair Value Nonvested restricted stock - beginning of period 347 $ 37.34 2,768 $ 38.70 Granted 104 53.32 556 51.69 Vested — — (1,109 ) 36.38 Forfeited (250 ) 34.42 (29 ) 42.29 Nonvested restricted stock - end of period 201 $ 49.24 2,186 $ 43.13 |
EARNINGS PER COMMON SHARE (TABL
EARNINGS PER COMMON SHARE (TABLES) | 6 Months Ended |
Jun. 30, 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 June 30, Six months ended June 30, 2015 2014 2015 2014 Basic earnings per common share Net income $ 73,371 $ 202,259 $ 239,197 $ 350,729 Less: Amounts attributable to noncontrolling interests — 1,573 — 2,795 Less: preferred share dividends 10,022 10,022 20,044 20,044 Net income available to common shareholders 63,349 190,664 219,153 327,890 Weighted average common shares outstanding - basic 100,274 105,118 100,093 107,075 Basic earnings per common share $ 0.63 $ 1.81 $ 2.19 $ 3.06 Diluted earnings per common share Net income available to common shareholders $ 63,349 $ 190,664 $ 219,153 $ 327,890 Weighted average common shares outstanding - basic 100,274 105,118 100,093 107,075 Stock compensation plans 886 1,171 1,058 1,254 Weighted average common shares outstanding - diluted 101,160 106,289 101,151 108,329 Diluted earnings per common share $ 0.63 $ 1.79 $ 2.17 $ 3.03 Anti-dilutive shares excluded from the dilutive computation 89 73 329 562 |
SHAREHOLDERS' EQUITY (TABLES)
SHAREHOLDERS' EQUITY (TABLES) | 6 Months Ended |
Jun. 30, 2015 | |
Stockholders' Equity Note [Abstract] | |
COMMON SHARES ISSUED AND OUTSTANDING | The following table presents our common shares issued and outstanding: Three months ended June 30, Six months ended June 30, 2015 2014 2015 2014 Shares issued, balance at beginning of period 176,190 175,195 175,478 174,134 Shares issued 16 120 728 1,181 Total shares issued at end of period 176,206 175,315 176,206 175,315 Treasury shares, balance at beginning of period (75,971 ) (68,450 ) (76,052 ) (64,649 ) Shares repurchased (60 ) (3,058 ) (350 ) (7,094 ) Shares reissued from treasury 109 99 480 334 Total treasury shares at end of period (75,922 ) (71,409 ) (75,922 ) (71,409 ) Total shares outstanding 100,284 103,906 100,284 103,906 |
SHARE REPURCHASES | The following table presents our share repurchases: Three months ended June 30, Six months ended June 30, 2015 2014 2015 2014 In the open market: Total shares — 2,970 16 6,680 Total cost $ — $ 135,395 $ 832 $ 300,000 Average price per share (1) $ — $ 45.59 $ 50.69 $ 44.91 From employees: Total shares 60 88 334 414 Total cost $ 3,158 $ 3,985 $ 17,097 $ 18,082 Average price per share (1) $ 52.51 $ 45.57 $ 51.17 $ 43.66 Total shares repurchased: Total shares 60 3,058 350 7,094 Total cost $ 3,158 $ 139,380 $ 17,929 $ 318,082 Average price per share (1) $ 52.51 $ 45.59 $ 51.22 $ 44.84 (1) Calculated using whole figures. |
NONCONTROLLING INTERESTS (TABLE
NONCONTROLLING INTERESTS (TABLES) | 6 Months Ended |
Jun. 30, 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: Six months ended June 30, 2015 2014 Balance at beginning of period $ 58,819 $ 50,000 Amounts attributable to noncontrolling interests — 2,795 Adjustment due to the adoption of revised accounting guidance effective January 1, 2015 (58,819 ) — Balance at end of period $ — $ 52,795 |
OTHER COMPREHENSIVE INCOME (L34
OTHER COMPREHENSIVE INCOME (LOSS) (TABLES) | 6 Months Ended |
Jun. 30, 2015 | |
Equity [Abstract] | |
TAX EFFECTS ALLOCATED TO EACH COMPONENT OF OTHER COMPREHENSIVE INCOME | The tax effects allocated to each component of other comprehensive income (loss) 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 June 30, Available for sale investments: Unrealized gains (losses) arising during the period $ (86,076 ) $ 14,035 $ (72,041 ) $ 133,575 $ (13,025 ) $ 120,550 Adjustment for reclassification of net realized investment gains (losses) and OTTI losses recognized in net income 9,392 (535 ) 8,857 (40,259 ) 6,330 (33,929 ) Unrealized gains (losses) arising during the period, net of reclassification adjustment (76,684 ) 13,500 (63,184 ) 93,316 (6,695 ) 86,621 Non-credit portion of OTTI losses — — — — — — Foreign currency translation adjustment 2,188 — 2,188 3,790 — 3,790 Total other comprehensive income (loss), net of tax $ (74,496 ) $ 13,500 $ (60,996 ) $ 97,106 $ (6,695 ) $ 90,411 Six months ended June 30, Available for sale investments: Unrealized gains (losses) arising during the period $ (81,013 ) $ 3,785 $ (77,228 ) $ 214,135 $ (22,202 ) $ 191,933 Adjustment for reclassification of net realized investment gains (losses) and OTTI losses recognized in net income 54,489 (529 ) 53,960 (56,328 ) 12,785 (43,543 ) Unrealized gains (losses) arising during the period, net of reclassification adjustment (26,524 ) 3,256 (23,268 ) 157,807 (9,417 ) 148,390 Non-credit portion of OTTI losses — — — — — — Foreign currency translation adjustment (9,225 ) — (9,225 ) 6,449 — 6,449 Total other comprehensive income (loss), net of tax $ (35,749 ) $ 3,256 $ (32,493 ) $ 164,256 $ (9,417 ) $ 154,839 |
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 June 30, Six months ended June 30, 2015 2014 2015 2014 Unrealized gains (losses) on available for sale investments Other realized investment gains (losses) $ 3,501 $ 42,164 $ (24,028 ) $ 59,018 OTTI losses (12,893 ) (1,905 ) (30,461 ) (2,690 ) Total before tax (9,392 ) 40,259 (54,489 ) 56,328 Income tax (expense) benefit 535 (6,330 ) 529 (12,785 ) Net of tax $ (8,857 ) $ 33,929 $ (53,960 ) $ 43,543 (1) Amounts in parentheses are debits to net income available to common shareholders. |
SEGMENT INFORMATION (DETAILS)
SEGMENT INFORMATION (DETAILS) $ in Thousands | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2015USD ($) | Jun. 30, 2014USD ($) | Jun. 30, 2015USD ($)reportable_segment | Jun. 30, 2014USD ($) | Dec. 31, 2014USD ($) | |
Segment Information [Line Items] | |||||
Number of reportable segments | reportable_segment | 2 | ||||
Net premiums earned | $ 941,211 | $ 1,000,400 | $ 1,845,264 | $ 1,946,349 | |
Other insurance related income | 3,486 | 1,683 | 11,162 | 4,766 | |
Net losses and loss expenses | (580,153) | (565,829) | (1,092,481) | (1,110,036) | |
Acquisition costs | (183,263) | (191,862) | (354,805) | (363,899) | |
General and administrative expenses | (148,482) | (151,081) | (311,723) | (303,810) | |
Net investment income | 88,544 | 114,867 | 180,651 | 197,610 | |
Net realized investment gains (losses) | (11,110) | 33,261 | (53,662) | 43,882 | |
Foreign exchange (losses) gains | (22,108) | (9,705) | 41,112 | (13,939) | |
Interest expense and financing costs | (12,939) | (19,975) | (25,196) | (36,569) | |
Income before income taxes | $ 75,186 | $ 211,759 | $ 240,322 | $ 364,354 | |
Net loss and loss expense ratio | 61.60% | 56.60% | 59.20% | 57.00% | |
Acquisition cost ratio | 19.50% | 19.20% | 19.20% | 18.70% | |
General and administrative expense ratio | 15.80% | 15.00% | 16.90% | 15.60% | |
Combined ratio | 96.90% | 90.80% | 95.30% | 91.30% | |
Goodwill and intangible assets | $ 101,053 | $ 90,025 | $ 101,053 | $ 90,025 | $ 88,960 |
Operating Segments [Member] | |||||
Segment Information [Line Items] | |||||
Gross premiums written | 1,188,413 | 1,231,279 | 2,867,345 | 3,052,678 | |
Net premiums written | 946,544 | 1,000,162 | 2,402,090 | 2,664,746 | |
Net premiums earned | 941,211 | 1,000,400 | 1,845,264 | 1,946,349 | |
Other insurance related income | 3,486 | 1,683 | 11,162 | 4,766 | |
Net losses and loss expenses | (580,153) | (565,829) | (1,092,481) | (1,110,036) | |
Acquisition costs | (183,263) | (191,862) | (354,805) | (363,899) | |
General and administrative expenses | (124,433) | (117,811) | (251,502) | (241,834) | |
Underwriting income (loss) | 56,848 | 126,581 | 157,638 | 235,346 | |
Operating Segments [Member] | Insurance [Member] | |||||
Segment Information [Line Items] | |||||
Gross premiums written | 761,126 | 754,110 | 1,363,850 | 1,355,831 | |
Net premiums written | 534,263 | 541,097 | 971,004 | 997,789 | |
Net premiums earned | 452,322 | 457,670 | 899,789 | 906,884 | |
Other insurance related income | 269 | 0 | 269 | 0 | |
Net losses and loss expenses | (297,534) | (290,466) | (583,307) | (569,889) | |
Acquisition costs | (66,920) | (71,039) | (131,375) | (136,096) | |
General and administrative expenses | (88,420) | (83,512) | (176,109) | (171,459) | |
Underwriting income (loss) | $ (283) | $ 12,653 | $ 9,267 | $ 29,440 | |
Net loss and loss expense ratio | 65.80% | 63.50% | 64.80% | 62.80% | |
Acquisition cost ratio | 14.80% | 15.50% | 14.60% | 15.00% | |
General and administrative expense ratio | 19.50% | 18.20% | 19.60% | 19.00% | |
Combined ratio | 100.10% | 97.20% | 99.00% | 96.80% | |
Goodwill and intangible assets | $ 101,053 | $ 90,025 | $ 101,053 | $ 90,025 | |
Operating Segments [Member] | Reinsurance [Member] | |||||
Segment Information [Line Items] | |||||
Gross premiums written | 427,287 | 477,169 | 1,503,495 | 1,696,847 | |
Net premiums written | 412,281 | 459,065 | 1,431,086 | 1,666,957 | |
Net premiums earned | 488,889 | 542,730 | 945,475 | 1,039,465 | |
Other insurance related income | 3,217 | 1,683 | 10,893 | 4,766 | |
Net losses and loss expenses | (282,619) | (275,363) | (509,174) | (540,147) | |
Acquisition costs | (116,343) | (120,823) | (223,430) | (227,803) | |
General and administrative expenses | (36,013) | (34,299) | (75,393) | (70,375) | |
Underwriting income (loss) | $ 57,131 | $ 113,928 | $ 148,371 | $ 205,906 | |
Net loss and loss expense ratio | 57.80% | 50.70% | 53.90% | 52.00% | |
Acquisition cost ratio | 23.80% | 22.30% | 23.60% | 21.90% | |
General and administrative expense ratio | 7.40% | 6.30% | 8.00% | 6.70% | |
Combined ratio | 89.00% | 79.30% | 85.50% | 80.60% | |
Goodwill and intangible assets | $ 0 | $ 0 | $ 0 | $ 0 | |
Corporate, Non-Segment [Member] | |||||
Segment Information [Line Items] | |||||
General and administrative expenses | (24,049) | (33,270) | (60,221) | (61,976) | |
Significant Reconciling Items [Member] | |||||
Segment Information [Line Items] | |||||
Net investment income | 88,544 | 114,867 | 180,651 | 197,610 | |
Net realized investment gains (losses) | (11,110) | 33,261 | (53,662) | 43,882 | |
Foreign exchange (losses) gains | (22,108) | (9,705) | 41,112 | (13,939) | |
Interest expense and financing costs | $ (12,939) | $ (19,975) | $ (25,196) | $ (36,569) |
GOODWILL AND INTANGIBLE ASSET36
GOODWILL AND INTANGIBLE ASSETS (DETAILS) - USD ($) $ in Thousands | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2015 | Jun. 30, 2014 | |
Goodwill [Roll Forward] | |||
Goodwill net balance, opening | $ 47,148 | ||
Acquisition of Ternian, goodwill | 0 | ||
Foreign currency translation adjustment, goodwill | 0 | ||
Goodwill net balance, closing | 47,148 | ||
Goodwill, gross | $ 42,237 | ||
Accumulated foreign currency translation adjustment, goodwill | 4,911 | ||
Goodwill, net | 47,148 | 47,148 | |
Intangible Assets with an Indefinite Life [Roll Forward] | |||
Intangible assets with an indefinite life net balance, opening | 26,036 | ||
Acquisition of Ternian, intangible assets with an indefinite life | 0 | ||
Foreign currency translation adjustment, intangible assets with an indefinite life | 0 | ||
Intangible assets with an indefinite life net balance, closing | 26,036 | ||
Intangible assets with an indefinite life, gross | 26,036 | ||
Accumulated foreign currency translation adjustment, intangible assets with an indefinite life | 0 | ||
Intangible assets with an indefinite life, net | 26,036 | 26,036 | |
Intangible Assets with a Finite Life [Roll Forward] | |||
Intangible assets with a finite life net balance, opening | 15,776 | ||
Amortization, intangible assets with a finite life | (1,280) | ||
Foreign currency translation adjustment, intangible assets with a finite life | 43 | ||
Intangible assets with a finite life net balance, closing | 27,869 | ||
Intangible assets with a finite life, gross | 48,926 | ||
Accumulated amortization, intangible assets with a finite life | (26,863) | ||
Accumulated foreign currency translation adjustment, intangible assets with a finite life | 5,806 | ||
Intangible assets with a finite life, net | 15,776 | 27,869 | |
Goodwill and Intangible Assets [Roll Forward] | |||
Goodwill and intangible assets net balance, opening | 88,960 | ||
Amortization, intangible assets with a finite life | (1,280) | ||
Foreign currency translation adjustment, goodwill and intangible assets | 43 | ||
Goodwill and intangible assets net balance, closing | 101,053 | ||
Goodwill and intangible assets, gross | 117,199 | ||
Accumulated amortization, intangible assets with a finite life | (26,863) | ||
Accumulated foreign currency translation, goodwill and intangible assets | 10,717 | ||
Goodwill and intangible assets, net | 88,960 | $ 101,053 | $ 90,025 |
Ternian [Member] | |||
Intangible Assets with a Finite Life [Roll Forward] | |||
Acquisition of Ternian, intangible assets with a finite life | 13,330 | ||
Goodwill and Intangible Assets [Roll Forward] | |||
Acquisition of Ternian, goodwill and intangible assets | $ 13,330 |
GOODWILL AND INTANGIBLE ASSET37
GOODWILL AND INTANGIBLE ASSETS (DETAILS 2) - Jun. 30, 2015 - USD ($) $ in Millions | Total |
Finite-Lived Intangible Assets [Line Items] | |
Finite-Lived Intangible Assets, Amortization Expense, Remainder of Fiscal Year | $ 2 |
Finite-Lived Intangible Assets, Amortization Expense, Next Twelve Months | 3 |
Finite-Lived Intangible Assets, Amortization Expense, Year Two | 3 |
Finite-Lived Intangible Assets, Amortization Expense, Year Three | 3 |
Finite-Lived Intangible Assets, Amortization Expense, Year Four | 2 |
Finite-Lived Intangible Assets, Amortization Expense, Year Five | $ 2 |
Minimum [Member] | |
Finite-Lived Intangible Assets [Line Items] | |
Intangible assets with a finite life - remaining useful life | 4 years |
Maximum [Member] | |
Finite-Lived Intangible Assets [Line Items] | |
Intangible assets with a finite life - remaining useful life | 24 years |
INVESTMENTS (DETAILS)
INVESTMENTS (DETAILS) - USD ($) $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 |
Schedule Of Available For Sale Securities [Line Items] | ||
Amortized Cost | $ 12,093,366 | $ 12,185,973 |
Gross Unrealized Gains (fixed maturities) | 91,542 | 116,538 |
Gross Unrealized Losses (fixed maturities) | (179,172) | (173,238) |
Fair Value (fixed maturities) | 12,005,736 | 12,129,273 |
Non-credit OTTI in AOCI | (839) | (889) |
Cost | 618,869 | 531,648 |
Gross Unrealized Gains (equities) | 44,153 | 43,583 |
Gross Unrealized Losses (equities) | (3,841) | (7,524) |
Fair Value (equities) | 659,181 | 567,707 |
US Government and Agency [Member] | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Amortized Cost | 1,699,826 | 1,645,068 |
Gross Unrealized Gains (fixed maturities) | 3,731 | 3,337 |
Gross Unrealized Losses (fixed maturities) | (20,448) | (28,328) |
Fair Value (fixed maturities) | 1,683,109 | 1,620,077 |
Non-credit OTTI in AOCI | 0 | 0 |
Non-US Government [Member] | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Amortized Cost | 958,293 | 1,080,601 |
Gross Unrealized Gains (fixed maturities) | 6,242 | 7,383 |
Gross Unrealized Losses (fixed maturities) | (64,000) | (54,441) |
Fair Value (fixed maturities) | 900,535 | 1,033,543 |
Non-credit OTTI in AOCI | 0 | 0 |
Corporate Debt [Member] | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Amortized Cost | 4,444,087 | 4,386,432 |
Gross Unrealized Gains (fixed maturities) | 32,273 | 40,972 |
Gross Unrealized Losses (fixed maturities) | (72,408) | (66,280) |
Fair Value (fixed maturities) | 4,403,952 | 4,361,124 |
Non-credit OTTI in AOCI | 0 | 0 |
Agency RMBS [Member] | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Amortized Cost | 2,114,217 | 2,241,581 |
Gross Unrealized Gains (fixed maturities) | 30,038 | 40,762 |
Gross Unrealized Losses (fixed maturities) | (9,279) | (4,235) |
Fair Value (fixed maturities) | 2,134,976 | 2,278,108 |
Non-credit OTTI in AOCI | 0 | 0 |
CMBS [Member] | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Amortized Cost | 1,093,612 | 1,085,618 |
Gross Unrealized Gains (fixed maturities) | 9,814 | 13,289 |
Gross Unrealized Losses (fixed maturities) | (3,856) | (2,019) |
Fair Value (fixed maturities) | 1,099,570 | 1,096,888 |
Non-credit OTTI in AOCI | 0 | 0 |
Non-Agency RMBS [Member] | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Amortized Cost | 99,590 | 71,236 |
Gross Unrealized Gains (fixed maturities) | 2,667 | 2,765 |
Gross Unrealized Losses (fixed maturities) | (983) | (915) |
Fair Value (fixed maturities) | 101,274 | 73,086 |
Non-credit OTTI in AOCI | (839) | (889) |
ABS [Member] | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Amortized Cost | 1,429,667 | 1,475,026 |
Gross Unrealized Gains (fixed maturities) | 3,372 | 2,748 |
Gross Unrealized Losses (fixed maturities) | (5,978) | (16,188) |
Fair Value (fixed maturities) | 1,427,061 | 1,461,586 |
Non-credit OTTI in AOCI | 0 | 0 |
Municipals [Member] | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Amortized Cost | 254,074 | 200,411 |
Gross Unrealized Gains (fixed maturities) | 3,405 | 5,282 |
Gross Unrealized Losses (fixed maturities) | (2,220) | (832) |
Fair Value (fixed maturities) | 255,259 | 204,861 |
Non-credit OTTI in AOCI | 0 | 0 |
Exchange-Traded Funds [Member] | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Cost | 495,590 | 416,063 |
Gross Unrealized Gains (equities) | 44,153 | 43,583 |
Gross Unrealized Losses (equities) | (3,763) | (4,756) |
Fair Value (equities) | 535,980 | 454,890 |
Bond Mutual Funds [Member] | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Cost | 123,279 | 115,585 |
Gross Unrealized Gains (equities) | 0 | 0 |
Gross Unrealized Losses (equities) | (78) | (2,768) |
Fair Value (equities) | $ 123,201 | $ 112,817 |
INVESTMENTS (DETAILS 2)
INVESTMENTS (DETAILS 2) - USD ($) $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 |
Schedule Of Available For Sale Securities [Line Items] | ||
Due in one year or less (amortized cost) | $ 553,743 | $ 424,077 |
Due after one year through five years (amortized cost) | 4,407,166 | 4,925,780 |
Due after five years through ten years (amortized cost) | 2,069,297 | 1,755,248 |
Due after ten years (amortized cost) | 326,074 | 207,407 |
Total fixed maturities with a single maturity date (amortized cost) | 7,356,280 | 7,312,512 |
Total (amortized cost) | 12,093,366 | 12,185,973 |
Due in one year or less (fair value) | 543,896 | 423,265 |
Due after one year through five years (fair value) | 4,373,414 | 4,892,411 |
Due after five years through ten years (fair value) | 2,005,587 | 1,695,641 |
Due after ten years (fair value) | 319,958 | 208,288 |
Total fixed maturities with a single maturity date (fair value) | 7,242,855 | 7,219,605 |
Fair Value (fixed maturities) | $ 12,005,736 | $ 12,129,273 |
Due in one year or less (% of total fair value) | 4.50% | 3.50% |
Due after one year through five years (% of total fair value) | 36.40% | 40.30% |
Due after five years through ten years (% of total fair value) | 16.70% | 14.00% |
Due after ten years (% of total fair value) | 2.70% | 1.70% |
Fixed maturities with a single maturity date (% of total fair value) | 60.30% | 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) | $ 2,114,217 | $ 2,241,581 |
Total (amortized cost) | 2,114,217 | 2,241,581 |
Fixed maturities without a single maturity date (fair value) | 2,134,976 | 2,278,108 |
Fair Value (fixed maturities) | $ 2,134,976 | $ 2,278,108 |
Fixed maturities without a single maturity date (% of total fair value) | 17.80% | 18.80% |
CMBS [Member] | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Fixed maturities without a single maturity date (amortized cost) | $ 1,093,612 | $ 1,085,618 |
Total (amortized cost) | 1,093,612 | 1,085,618 |
Fixed maturities without a single maturity date (fair value) | 1,099,570 | 1,096,888 |
Fair Value (fixed maturities) | $ 1,099,570 | $ 1,096,888 |
Fixed maturities without a single maturity date (% of total fair value) | 9.20% | 9.00% |
Non-Agency RMBS [Member] | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Fixed maturities without a single maturity date (amortized cost) | $ 99,590 | $ 71,236 |
Total (amortized cost) | 99,590 | 71,236 |
Fixed maturities without a single maturity date (fair value) | 101,274 | 73,086 |
Fair Value (fixed maturities) | $ 101,274 | $ 73,086 |
Fixed maturities without a single maturity date (% of total fair value) | 0.80% | 0.60% |
ABS [Member] | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Fixed maturities without a single maturity date (amortized cost) | $ 1,429,667 | $ 1,475,026 |
Total (amortized cost) | 1,429,667 | 1,475,026 |
Fixed maturities without a single maturity date (fair value) | 1,427,061 | 1,461,586 |
Fair Value (fixed maturities) | $ 1,427,061 | $ 1,461,586 |
Fixed maturities without a single maturity date (% of total fair value) | 11.90% | 12.10% |
INVESTMENTS (DETAILS 3)
INVESTMENTS (DETAILS 3) $ in Thousands | Jun. 30, 2015USD ($)security | Dec. 31, 2014USD ($)security |
Fixed Maturities [Member] | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Fair Value - 12 months or greater | $ 1,166,777 | $ 1,354,213 |
Unrealized Losses - 12 months or greater | (81,159) | (71,302) |
Fair Value - Less than 12 months | 5,097,880 | 4,801,110 |
Unrealized Losses - Less than 12 months | (98,013) | (101,936) |
Total Fair Value of Securities in Unrealized Loss Position | 6,264,657 | 6,155,323 |
Total Unrealized Losses | $ (179,172) | $ (173,238) |
Number of Available For Sale Securities In Unrealized Loss Positions | security | 1,525 | 1,388 |
Number of Available For Sale Securities in Unrealized Loss Positions for 12 Months or Greater | security | 285 | 223 |
Fixed Maturities [Member] | Below Investment Grade or Not Rated [Member] | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Total Unrealized Losses | $ (19,000) | $ (36,000) |
US Government and Agency [Member] | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Fair Value - 12 months or greater | 128,916 | 388,551 |
Unrealized Losses - 12 months or greater | (6,688) | (24,319) |
Fair Value - Less than 12 months | 881,631 | 786,850 |
Unrealized Losses - Less than 12 months | (13,760) | (4,009) |
Total Fair Value of Securities in Unrealized Loss Position | 1,010,547 | 1,175,401 |
Total Unrealized Losses | (20,448) | (28,328) |
Non-US Government [Member] | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Fair Value - 12 months or greater | 163,690 | 143,602 |
Unrealized Losses - 12 months or greater | (46,219) | (29,171) |
Fair Value - Less than 12 months | 298,542 | 435,670 |
Unrealized Losses - Less than 12 months | (17,781) | (25,270) |
Total Fair Value of Securities in Unrealized Loss Position | 462,232 | 579,272 |
Total Unrealized Losses | (64,000) | (54,441) |
Corporate Debt [Member] | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Fair Value - 12 months or greater | 229,078 | 26,708 |
Unrealized Losses - 12 months or greater | (19,633) | (2,221) |
Fair Value - Less than 12 months | 2,326,826 | 2,199,672 |
Unrealized Losses - Less than 12 months | (52,775) | (64,059) |
Total Fair Value of Securities in Unrealized Loss Position | 2,555,904 | 2,226,380 |
Total Unrealized Losses | (72,408) | (66,280) |
Agency RMBS [Member] | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Fair Value - 12 months or greater | 65,726 | 259,914 |
Unrealized Losses - 12 months or greater | (1,740) | (3,084) |
Fair Value - Less than 12 months | 763,509 | 333,288 |
Unrealized Losses - Less than 12 months | (7,539) | (1,151) |
Total Fair Value of Securities in Unrealized Loss Position | 829,235 | 593,202 |
Total Unrealized Losses | (9,279) | (4,235) |
CMBS [Member] | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Fair Value - 12 months or greater | 64,037 | 68,624 |
Unrealized Losses - 12 months or greater | (784) | (925) |
Fair Value - Less than 12 months | 297,266 | 256,225 |
Unrealized Losses - Less than 12 months | (3,072) | (1,094) |
Total Fair Value of Securities in Unrealized Loss Position | 361,303 | 324,849 |
Total Unrealized Losses | (3,856) | (2,019) |
Non-Agency RMBS [Member] | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Fair Value - 12 months or greater | 4,963 | 6,689 |
Unrealized Losses - 12 months or greater | (600) | (613) |
Fair Value - Less than 12 months | 44,753 | 13,442 |
Unrealized Losses - Less than 12 months | (383) | (302) |
Total Fair Value of Securities in Unrealized Loss Position | 49,716 | 20,131 |
Total Unrealized Losses | (983) | (915) |
ABS [Member] | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Fair Value - 12 months or greater | 495,889 | 425,663 |
Unrealized Losses - 12 months or greater | (5,090) | (10,325) |
Fair Value - Less than 12 months | 336,672 | 750,679 |
Unrealized Losses - Less than 12 months | (888) | (5,863) |
Total Fair Value of Securities in Unrealized Loss Position | 832,561 | 1,176,342 |
Total Unrealized Losses | (5,978) | (16,188) |
Municipals [Member] | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Fair Value - 12 months or greater | 14,478 | 34,462 |
Unrealized Losses - 12 months or greater | (405) | (644) |
Fair Value - Less than 12 months | 148,681 | 25,284 |
Unrealized Losses - Less than 12 months | (1,815) | (188) |
Total Fair Value of Securities in Unrealized Loss Position | 163,159 | 59,746 |
Total Unrealized Losses | (2,220) | (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 | 131,718 | 204,092 |
Unrealized Losses - Less than 12 months | (3,841) | (7,524) |
Total Fair Value of Securities in Unrealized Loss Position | 131,718 | 204,092 |
Total Unrealized Losses | $ (3,841) | $ (7,524) |
Number of Available For Sale Securities In Unrealized Loss Positions | security | 38 | 9 |
Number of Available For Sale Securities in Unrealized Loss Positions for 12 Months or Greater | security | 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 | 115,026 | 91,275 |
Unrealized Losses - Less than 12 months | (3,763) | (4,756) |
Total Fair Value of Securities in Unrealized Loss Position | 115,026 | 91,275 |
Total Unrealized Losses | (3,763) | (4,756) |
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 | 16,692 | 112,817 |
Unrealized Losses - Less than 12 months | (78) | (2,768) |
Total Fair Value of Securities in Unrealized Loss Position | 16,692 | 112,817 |
Total Unrealized Losses | $ (78) | $ (2,768) |
INVESTMENTS (DETAILS 4)
INVESTMENTS (DETAILS 4) - USD ($) $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 |
Mortgage Loans held-for-investment, net [Abstract] | ||
Commercial | $ 79,606 | $ 0 |
Commercial, Percent | 100.00% | 0.00% |
Valuation allowances | $ 0 | $ 0 |
Valuation allowance, Percent | 0.00% | 0.00% |
Total Mortgage Loans held-for-investment | $ 79,606 | $ 0 |
Total Mortgage Loans held-for investment, Percent | 100.00% | 0.00% |
Debt Service Coverage Ratio | 1.5 | |
Loan-to-Value Ratio, Percent (less than) | 65.00% |
INVESTMENTS (DETAILS 5)
INVESTMENTS (DETAILS 5) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | 12 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2015 | Dec. 31, 2014 | Mar. 31, 2015 | Dec. 31, 2013 | |
Other Investments [Line Items] | |||||
Other investments | $ 853,101 | $ 853,101 | $ 965,465 | ||
Percentage of total fair value | 100.00% | 100.00% | 100.00% | ||
Hedge Funds [Member] | Lockup Redemption Restriction [Member] | |||||
Other Investments [Line Items] | |||||
Fair value of other investments subject to redemption restrictions | $ 98,000 | $ 98,000 | $ 87,000 | ||
Percentage of fair value of other investments subject to redemption restrictions | 14.00% | 14.00% | 11.00% | ||
Long/short equity funds [Member] | |||||
Other Investments [Line Items] | |||||
Other investments | $ 192,622 | $ 192,622 | $ 298,907 | ||
Percentage of total fair value | 23.00% | 23.00% | 31.00% | ||
Redemption frequency | Quarterly, Semi-annually, 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 | $ 345,726 | $ 345,726 | $ 324,020 | ||
Percentage of total fair value | 41.00% | 41.00% | 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 | $ 23,000 | $ 23,000 | $ 60,000 | ||
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 | $ 147,236 | $ 147,236 | $ 185,899 | ||
Percentage of total fair value | 17.00% | 17.00% | 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 | $ 75 | $ 75 | $ 9,713 | ||
Percentage of total fair value | 0.00% | 0.00% | 1.00% | ||
Redemption frequency | Quarterly | ||||
Redemption notice period | 65 days | ||||
Direct Lending Funds [Member] | |||||
Other Investments [Line Items] | |||||
Other investments | $ 73,628 | $ 73,628 | $ 54,438 | ||
Percentage of total fair value | 9.00% | 9.00% | 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 | $ 73,628 | $ 73,628 | $ 54,438 | ||
Percentage of fair value of other investments subject to redemption restrictions | 9.00% | 9.00% | 6.00% | ||
Unfunded commitments related to other investments | $ 138,000 | $ 138,000 | $ 88,000 | ||
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 | ||||
Real Estate Funds [Member] | |||||
Other Investments [Line Items] | |||||
Other investments | $ 3,000 | $ 3,000 | $ 0 | ||
Percentage of total fair value | 0.00% | 0.00% | 0.00% | ||
Investment term | 8 years | ||||
Real Estate Funds [Member] | Other Redemption Restriction [Member] | |||||
Other Investments [Line Items] | |||||
Unfunded commitments related to other investments | $ 97,000 | $ 97,000 | $ 100,000 | ||
Commitment period | 3 years | ||||
CLO-Equities [Member] | |||||
Other Investments [Line Items] | |||||
Other investments | $ 90,814 | $ 90,814 | $ 92,488 | ||
Percentage of total fair value | 10.00% | 10.00% | 9.00% | ||
Bank Revolver Opportunity Funds [Member] | |||||
Other Investments [Line Items] | |||||
Investment term | 7 years | ||||
Optional extension of investment term | 2 years | ||||
Bank Revolver Opportunity Funds [Member] | Other Redemption Restriction [Member] | |||||
Other Investments [Line Items] | |||||
Unfunded commitments related to other investments | $ 50,000 | $ 50,000 |
INVESTMENTS (DETAILS 6)
INVESTMENTS (DETAILS 6) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Net Investment Income [Line Items] | ||||
Gross investment income | $ 96,858 | $ 122,745 | $ 196,738 | $ 215,824 |
Investment expenses | (8,314) | (7,878) | (16,087) | (18,214) |
Net investment income | 88,544 | 114,867 | 180,651 | 197,610 |
Fixed Maturities [Member] | ||||
Net Investment Income [Line Items] | ||||
Gross investment income | 77,998 | 78,523 | 144,086 | 151,480 |
Other Investments [Member] | ||||
Net Investment Income [Line Items] | ||||
Gross investment income | 14,102 | 32,492 | 45,037 | 49,252 |
Equity Securities [Member] | ||||
Net Investment Income [Line Items] | ||||
Gross investment income | 2,674 | 5,301 | 4,350 | 7,587 |
Mortgage loans [Member] | ||||
Net Investment Income [Line Items] | ||||
Gross investment income | 281 | 0 | 294 | 0 |
Cash And Cash Equivalents [Member] | ||||
Net Investment Income [Line Items] | ||||
Gross investment income | 1,678 | 6,183 | 2,777 | 7,046 |
Short-term Investments [Member] | ||||
Net Investment Income [Line Items] | ||||
Gross investment income | $ 125 | $ 246 | $ 194 | $ 459 |
INVESTMENTS (DETAILS 7)
INVESTMENTS (DETAILS 7) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Schedule Of Available For Sale Securities [Line Items] | ||||
Gross realized gains | $ 17,243 | $ 59,259 | $ 32,942 | $ 112,296 |
Gross realized losses | (13,744) | (16,938) | (56,959) | (53,080) |
Net OTTI recognized in earnings | (12,893) | (1,905) | (30,461) | (2,690) |
Change in fair value of investment derivatives | (1,716) | (7,155) | 816 | (12,644) |
Total net realized investment gains (losses) | (11,110) | 33,261 | (53,662) | 43,882 |
Fixed Maturities And Short-Term Investments [Member] | ||||
Schedule Of Available For Sale Securities [Line Items] | ||||
Gross realized gains | 17,066 | 26,650 | 32,727 | 60,420 |
Gross realized losses | (13,474) | (14,392) | (56,565) | (48,096) |
Equity Securities [Member] | ||||
Schedule Of Available For Sale Securities [Line Items] | ||||
Gross realized gains | 177 | 32,609 | 215 | 51,876 |
Gross realized losses | $ (270) | $ (2,546) | $ (394) | $ (4,984) |
INVESTMENTS (DETAILS 8)
INVESTMENTS (DETAILS 8) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Other Than Temporary Impairment Losses Investments Portion Recognized In Earnings Net [Line Items] | ||||
Total OTTI recognized in earnings | $ 12,893 | $ 1,905 | $ 30,461 | $ 2,690 |
Fixed Maturities [Member] | ||||
Other Than Temporary Impairment Losses Investments Portion Recognized In Earnings Net [Line Items] | ||||
Total OTTI recognized in earnings | 1,707 | 1,841 | 19,275 | 1,949 |
Non-US Government [Member] | ||||
Other Than Temporary Impairment Losses Investments Portion Recognized In Earnings Net [Line Items] | ||||
Total OTTI recognized in earnings | 0 | 1,774 | 1,422 | 1,812 |
Corporate Debt [Member] | ||||
Other Than Temporary Impairment Losses Investments Portion Recognized In Earnings Net [Line Items] | ||||
Total OTTI recognized in earnings | 1,689 | 67 | 17,808 | 81 |
Non-Agency RMBS [Member] | ||||
Other Than Temporary Impairment Losses Investments Portion Recognized In Earnings Net [Line Items] | ||||
Total OTTI recognized in earnings | 0 | 0 | 4 | 0 |
ABS [Member] | ||||
Other Than Temporary Impairment Losses Investments Portion Recognized In Earnings Net [Line Items] | ||||
Total OTTI recognized in earnings | 18 | 0 | 41 | 56 |
Equity Securities [Member] | ||||
Other Than Temporary Impairment Losses Investments Portion Recognized In Earnings Net [Line Items] | ||||
Total OTTI recognized in earnings | 11,186 | 64 | 11,186 | 741 |
Common Stock [Member] | ||||
Other Than Temporary Impairment Losses Investments Portion Recognized In Earnings Net [Line Items] | ||||
Total OTTI recognized in earnings | 0 | 64 | 0 | 741 |
Bond Mutual Funds [Member] | ||||
Other Than Temporary Impairment Losses Investments Portion Recognized In Earnings Net [Line Items] | ||||
Total OTTI recognized in earnings | $ 11,186 | $ 0 | $ 11,186 | $ 0 |
INVESTMENTS (DETAILS 9)
INVESTMENTS (DETAILS 9) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Credit Losses For Which a Portion of OTTI Was Recognized in AOCI [Roll Forward] | ||||
Balance at beginning of period | $ 1,541 | $ 1,590 | $ 1,531 | $ 1,594 |
Credit impairments recognized on securities not previously impaired | 0 | 0 | 0 | 0 |
Additional credit impairments recognized on securities previously impaired | 23 | 0 | 33 | 0 |
Change in timing of future cash flows on securities previously impaired | 0 | 0 | 0 | 0 |
Intent to sell of securities previously impaired | 0 | 0 | 0 | 0 |
Securities sold/redeemed/matured | 0 | (9) | 0 | (13) |
Balance at end of period | $ 1,564 | $ 1,581 | $ 1,564 | $ 1,581 |
INVESTMENTS (DETAILS 10)
INVESTMENTS (DETAILS 10) - USD ($) $ in Millions | Jun. 30, 2015 | Dec. 31, 2014 |
Investments, Debt and Equity Securities [Abstract] | ||
Value of reverse repurchase agreements | $ 177 | $ 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 ($) $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 |
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Fixed maturities | $ 12,005,736 | $ 12,129,273 |
Equity securities | 659,181 | 567,707 |
Other investments | 853,101 | 965,465 |
Short-term investments | 30,618 | 107,534 |
Derivative instruments (see Note 6) | 818 | 7,264 |
Derivative instruments (see Note 6) | 6,739 | 18,329 |
Fair Value Measurements Recurring [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Fixed maturities | 12,005,736 | 12,129,273 |
Equity securities | 659,181 | 567,707 |
Other investments | 853,101 | 965,465 |
Short-term investments | 30,618 | 107,534 |
Derivative instruments (see Note 6) | 818 | 7,264 |
Insurance-linked securities | 24,837 | 0 |
Total Assets | 13,574,291 | 13,777,243 |
Derivative instruments (see Note 6) | 6,739 | 18,329 |
Cash settled awards (see Note 8) | 19,939 | 20,518 |
Total Liabilities | 26,678 | 38,847 |
US Government and Agency [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Fixed maturities | 1,683,109 | 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 | 1,683,109 | 1,620,077 |
Non-US Government [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Fixed maturities | 900,535 | 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 | 900,535 | 1,033,543 |
Corporate Debt [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Fixed maturities | 4,403,952 | 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 | 4,403,952 | 4,361,124 |
Agency RMBS [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Fixed maturities | 2,134,976 | 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 | 2,134,976 | 2,278,108 |
CMBS [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Fixed maturities | 1,099,570 | 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 | 1,099,570 | 1,096,888 |
Non-Agency RMBS [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Fixed maturities | 101,274 | 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 | 101,274 | 73,086 |
ABS [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Fixed maturities | 1,427,061 | 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 | 1,427,061 | 1,461,586 |
Municipals [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Fixed maturities | 255,259 | 204,861 |
Municipals [Member] | Fair Value Measurements Recurring [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Fixed maturities | 255,259 | 204,861 |
Exchange-Traded Funds [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Equity securities | 535,980 | 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 | 535,980 | 454,890 |
Bond Mutual Funds [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Equity securities | 123,201 | 112,817 |
Bond Mutual Funds [Member] | Fair Value Measurements Recurring [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Equity securities | 123,201 | 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 | 685,659 | 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 | 73,628 | 54,438 |
Real Estate Funds [Member] | Fair Value Measurements Recurring [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Other investments | 3,000 | 0 |
CLO-Equities [Member] | Fair Value Measurements Recurring [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Other investments | 90,814 | 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 | 1,613,649 | 1,497,922 |
Equity securities | 535,980 | 454,890 |
Other investments | 0 | 0 |
Short-term investments | 0 | 0 |
Derivative instruments (see Note 6) | 0 | 0 |
Insurance-linked securities | 0 | 0 |
Total Assets | 2,149,629 | 1,952,812 |
Derivative instruments (see Note 6) | 0 | 0 |
Cash settled awards (see Note 8) | 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 | 1,613,649 | 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 | 535,980 | 454,890 |
Level 1 [Member] | 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] | Real Estate 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 | 10,327,069 | 10,557,720 |
Equity securities | 123,201 | 112,817 |
Other investments | 160,923 | 347,621 |
Short-term investments | 30,618 | 107,534 |
Derivative instruments (see Note 6) | 578 | 7,153 |
Insurance-linked securities | 0 | 0 |
Total Assets | 10,642,389 | 11,132,845 |
Derivative instruments (see Note 6) | 5,921 | 3,041 |
Cash settled awards (see Note 8) | 19,939 | 20,518 |
Total Liabilities | 25,860 | 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 | 69,460 | 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 | 900,535 | 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 | 4,360,944 | 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 | 2,134,976 | 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 | 1,077,670 | 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 | 101,274 | 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 | 1,426,951 | 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 | 255,259 | 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] | Bond Mutual Funds [Member] | Fair Value Measurements Recurring [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Equity securities | 123,201 | 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 | 160,923 | 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] | Real Estate 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 | 65,018 | 73,631 |
Equity securities | 0 | 0 |
Other investments | 692,178 | 617,844 |
Short-term investments | 0 | 0 |
Derivative instruments (see Note 6) | 240 | 111 |
Insurance-linked securities | 24,837 | 0 |
Total Assets | 782,273 | 691,586 |
Derivative instruments (see Note 6) | 818 | 15,288 |
Cash settled awards (see Note 8) | 0 | 0 |
Total Liabilities | 818 | 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 | 43,008 | 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 | 21,900 | 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 | 110 | 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] | 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 | 524,736 | 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 | 73,628 | 54,438 |
Level 3 [Member] | Real Estate Funds [Member] | Fair Value Measurements Recurring [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Other investments | 3,000 | 0 |
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 | $ 90,814 | $ 92,488 |
FAIR VALUE MEASUREMENTS (DETA49
FAIR VALUE MEASUREMENTS (DETAILS 2) $ in Thousands | 6 Months Ended | |
Jun. 30, 2015USD ($)degree_day | Dec. 31, 2014USD ($) | |
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Fixed maturities | $ | $ 12,005,736 | $ 12,129,273 |
Other investments | $ | 853,101 | $ 965,465 |
Discounted cash flow [Member] | Level 3 [Member] | Other Investments - CLO-Equities [Member] | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Other investments | $ | $ 36,920 | |
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 | $ | $ (578) | |
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 8 months 12 days | |
Minimum [Member] | Simulation model [Member] | Level 3 [Member] | Weather Related Derivative [Member] | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Weather curve | 20 | |
Weather standard deviation | 15 | |
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 | 2,830 | |
Weather standard deviation | 240 | |
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 4 months 24 days |
FAIR VALUE MEASUREMENTS (DETA50
FAIR VALUE MEASUREMENTS (DETAILS 3) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 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 | $ 83,839 | $ 34,693 | $ 73,631 | $ 34,817 |
Transfers into Level 3 | 5,072 | 0 | 5,072 | 128 |
Transfers out of Level 3 | (39,851) | 0 | (39,851) | 0 |
Included in earnings | 0 | 0 | 0 | 0 |
Included in OCI | 167 | 250 | 205 | 135 |
Purchases | 20,714 | 0 | 31,624 | 0 |
Sales | 0 | 0 | 0 | 0 |
Settlements/ Distributions | (4,923) | (127) | (5,663) | (264) |
Balance at end of period | 65,018 | 34,816 | 65,018 | 34,816 |
Change in unrealized investment gain/loss relating to assets held at the reporting date | 0 | 0 | 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 | 657,589 | 576,848 | 617,844 | 557,055 |
Transfers into Level 3 | 0 | 0 | 0 | 0 |
Transfers out of Level 3 | 0 | 0 | 0 | 0 |
Included in earnings | 14,313 | 18,294 | 39,998 | 33,173 |
Included in OCI | 0 | 0 | 0 | 0 |
Purchases | 33,063 | 16,722 | 54,481 | 37,512 |
Sales | 0 | 0 | 0 | 0 |
Settlements/ Distributions | (12,787) | (10,483) | (20,145) | (26,359) |
Balance at end of period | 692,178 | 601,381 | 692,178 | 601,381 |
Change in unrealized investment gain/loss relating to assets held at the reporting date | 14,313 | 18,294 | 39,998 | 33,173 |
Other Assets [Member] | ||||
Changes in Level 3 Financial Instruments Measured at Fair Value on a Recurring Basis [Line Items] | ||||
Balance at beginning of period | 25,000 | 1,707 | 111 | 984 |
Transfers into Level 3 | 0 | 0 | 0 | 0 |
Transfers out of Level 3 | 0 | 0 | 0 | 0 |
Included in earnings | 77 | 293 | (990) | 5,011 |
Included in OCI | 0 | 0 | 0 | 0 |
Purchases | 0 | 0 | 25,000 | 0 |
Sales | 0 | 0 | 0 | 0 |
Settlements/ Distributions | 0 | (2,000) | 956 | (5,995) |
Balance at end of period | 25,077 | 0 | 25,077 | 0 |
Change in unrealized investment gain/loss relating to assets held at the reporting date | 77 | 0 | 77 | 0 |
Total Assets [Member] | ||||
Changes in Level 3 Financial Instruments Measured at Fair Value on a Recurring Basis [Line Items] | ||||
Balance at beginning of period | 766,428 | 613,248 | 691,586 | 592,856 |
Transfers into Level 3 | 5,072 | 0 | 5,072 | 128 |
Transfers out of Level 3 | (39,851) | 0 | (39,851) | 0 |
Included in earnings | 14,390 | 18,587 | 39,008 | 38,184 |
Included in OCI | 167 | 250 | 205 | 135 |
Purchases | 53,777 | 16,722 | 111,105 | 37,512 |
Sales | 0 | 0 | 0 | 0 |
Settlements/ Distributions | (17,710) | (12,610) | (24,852) | (32,618) |
Balance at end of period | 782,273 | 636,197 | 782,273 | 636,197 |
Change in unrealized investment gain/loss relating to assets held at the reporting date | 14,390 | 18,294 | 40,075 | 33,173 |
Total Liabilities [Member] | ||||
Changes in Level 3 Financial Instruments Measured at Fair Value on a Recurring Basis [Line Items] | ||||
Balance at beginning of period | 7,308 | 0 | 15,288 | 815 |
Transfers into Level 3 | 0 | 0 | 0 | 0 |
Transfers out of Level 3 | 0 | 0 | 0 | 0 |
Included in earnings | (3,171) | (90) | (11,722) | 896 |
Included in OCI | 0 | 0 | 0 | 0 |
Purchases | 1,141 | 840 | 2,223 | 840 |
Sales | 0 | 0 | 0 | 0 |
Settlements/ Distributions | (4,460) | 0 | (4,971) | (1,801) |
Balance at end of period | 818 | 750 | 818 | 750 |
Change in unrealized investment gain/loss relating to assets held at the reporting date | 13 | (90) | 13 | (90) |
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 | 26,857 | 0 | 15,837 | 0 |
Transfers into Level 3 | 0 | 0 | 0 | 0 |
Transfers out of Level 3 | 0 | 0 | 0 | 0 |
Included in earnings | 0 | 0 | 0 | 0 |
Included in OCI | 244 | 0 | 424 | 0 |
Purchases | 20,714 | 0 | 31,624 | 0 |
Sales | 0 | 0 | 0 | 0 |
Settlements/ Distributions | (4,807) | 0 | (4,877) | 0 |
Balance at end of period | 43,008 | 0 | 43,008 | 0 |
Change in unrealized investment gain/loss relating to assets held at the reporting date | 0 | 0 | 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 | 17,061 | 3,969 | 17,763 | 4,018 |
Transfers into Level 3 | 5,072 | 0 | 5,072 | 0 |
Transfers out of Level 3 | 0 | 0 | 0 | 0 |
Included in earnings | 0 | 0 | 0 | 0 |
Included in OCI | (120) | (23) | (324) | (43) |
Purchases | 0 | 0 | 0 | 0 |
Sales | 0 | 0 | 0 | 0 |
Settlements/ Distributions | (113) | (13) | (611) | (42) |
Balance at end of period | 21,900 | 3,933 | 21,900 | 3,933 |
Change in unrealized investment gain/loss relating to assets held at the reporting date | 0 | 0 | 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 | 39,921 | 30,724 | 40,031 | 30,799 |
Transfers into Level 3 | 0 | 0 | 0 | 128 |
Transfers out of Level 3 | (39,851) | 0 | (39,851) | 0 |
Included in earnings | 0 | 0 | 0 | 0 |
Included in OCI | 43 | 273 | 105 | 178 |
Purchases | 0 | 0 | 0 | 0 |
Sales | 0 | 0 | 0 | 0 |
Settlements/ Distributions | (3) | (114) | (175) | (222) |
Balance at end of period | 110 | 30,883 | 110 | 30,883 |
Change in unrealized investment gain/loss relating to assets held at the reporting date | 0 | 0 | 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 | 495,849 | 464,666 | 470,918 | 461,055 |
Transfers into Level 3 | 0 | 0 | 0 | 0 |
Transfers out of Level 3 | 0 | 0 | 0 | 0 |
Included in earnings | 8,363 | 12,746 | 27,294 | 20,923 |
Included in OCI | 0 | 0 | 0 | 0 |
Purchases | 26,000 | 3,000 | 32,000 | 7,500 |
Sales | 0 | 0 | 0 | 0 |
Settlements/ Distributions | (5,476) | (3,604) | (5,476) | (12,670) |
Balance at end of period | 524,736 | 476,808 | 524,736 | 476,808 |
Change in unrealized investment gain/loss relating to assets held at the reporting date | 8,363 | 12,746 | 27,294 | 20,923 |
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 | 69,682 | 26,003 | 54,438 | 22,134 |
Transfers into Level 3 | 0 | 0 | 0 | 0 |
Transfers out of Level 3 | 0 | 0 | 0 | 0 |
Included in earnings | 840 | 367 | 1,507 | 919 |
Included in OCI | 0 | 0 | 0 | 0 |
Purchases | 4,063 | 7,300 | 19,481 | 10,745 |
Sales | 0 | 0 | 0 | 0 |
Settlements/ Distributions | (957) | (203) | (1,798) | (331) |
Balance at end of period | 73,628 | 33,467 | 73,628 | 33,467 |
Change in unrealized investment gain/loss relating to assets held at the reporting date | 840 | 367 | 1,507 | 919 |
Real Estate 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 | 0 | 0 | 0 | 0 |
Transfers into Level 3 | 0 | 0 | 0 | 0 |
Transfers out of Level 3 | 0 | 0 | 0 | |
Included in earnings | 0 | 0 | 0 | 0 |
Included in OCI | 0 | 0 | 0 | 0 |
Purchases | 3,000 | 0 | 3,000 | 0 |
Sales | 0 | 0 | 0 | 0 |
Settlements/ Distributions | 0 | 0 | 0 | 0 |
Balance at end of period | 3,000 | 0 | 3,000 | 0 |
Change in unrealized investment gain/loss relating to assets held at the reporting date | 0 | 0 | 0 | 0 |
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 | 92,058 | 86,179 | 92,488 | 73,866 |
Transfers into Level 3 | 0 | 0 | 0 | 0 |
Transfers out of Level 3 | 0 | 0 | 0 | 0 |
Included in earnings | 5,110 | 5,181 | 11,197 | 11,331 |
Included in OCI | 0 | 0 | 0 | 0 |
Purchases | 0 | 6,422 | 0 | 19,267 |
Sales | 0 | 0 | 0 | 0 |
Settlements/ Distributions | (6,354) | (6,676) | (12,871) | (13,358) |
Balance at end of period | 90,814 | 91,106 | 90,814 | 91,106 |
Change in unrealized investment gain/loss relating to assets held at the reporting date | 5,110 | 5,181 | 11,197 | 11,331 |
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 | 0 | 1,707 | 111 | 984 |
Transfers into Level 3 | 0 | 0 | 0 | 0 |
Transfers out of Level 3 | 0 | 0 | 0 | 0 |
Included in earnings | 240 | 293 | (827) | 5,011 |
Included in OCI | 0 | 0 | 0 | 0 |
Purchases | 0 | 0 | 0 | 0 |
Sales | 0 | 0 | 0 | 0 |
Settlements/ Distributions | 0 | (2,000) | 956 | (5,995) |
Balance at end of period | 240 | 0 | 240 | 0 |
Change in unrealized investment gain/loss relating to assets held at the reporting date | 240 | 0 | 240 | 0 |
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 | 7,308 | 0 | 15,288 | 815 |
Transfers into Level 3 | 0 | 0 | 0 | 0 |
Transfers out of Level 3 | 0 | 0 | 0 | 0 |
Included in earnings | (3,171) | (90) | (11,722) | 896 |
Included in OCI | 0 | 0 | 0 | 0 |
Purchases | 1,141 | 840 | 2,223 | 840 |
Sales | 0 | 0 | 0 | 0 |
Settlements/ Distributions | (4,460) | 0 | (4,971) | (1,801) |
Balance at end of period | 818 | 750 | 818 | 750 |
Change in unrealized investment gain/loss relating to assets held at the reporting date | 13 | (90) | 13 | (90) |
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 | 25,000 | 0 | 0 | 0 |
Transfers into Level 3 | 0 | 0 | 0 | 0 |
Transfers out of Level 3 | 0 | 0 | 0 | 0 |
Included in earnings | (163) | 0 | (163) | 0 |
Included in OCI | 0 | 0 | 0 | 0 |
Purchases | 0 | 0 | 25,000 | 0 |
Sales | 0 | 0 | 0 | 0 |
Settlements/ Distributions | 0 | 0 | 0 | 0 |
Balance at end of period | 24,837 | 0 | 24,837 | 0 |
Change in unrealized investment gain/loss relating to assets held at the reporting date | $ (163) | $ 0 | $ (163) | $ 0 |
FAIR VALUE MEASUREMENTS (DETA51
FAIR VALUE MEASUREMENTS (DETAILS 4) - USD ($) $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 |
Fair Value Balance Sheet Grouping Financial Statement Captions [Line Items] | ||
Senior notes | $ 991,302 | $ 990,790 |
Estimate Of Fair Value [Member] | ||
Fair Value Balance Sheet Grouping Financial Statement Captions [Line Items] | ||
Senior notes | $ 1,074,000 | $ 1,089,000 |
DERIVATIVE INSTRUMENTS (DETAILS
DERIVATIVE INSTRUMENTS (DETAILS) - USD ($) $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 |
Derivative Fair Values on Consolidated Balance Sheet [Line Items] | ||
Asset Derivative Fair Value | $ 818 | $ 7,264 |
Liability Derivative Fair Value | 6,739 | 18,329 |
Other Assets [Member] | ||
Derivative Fair Values on Consolidated Balance Sheet [Line Items] | ||
Asset Derivative Fair Value | 818 | 7,264 |
Other Liabilities [Member] | ||
Derivative Fair Values on Consolidated Balance Sheet [Line Items] | ||
Liability Derivative Fair Value | 6,739 | 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 | 110,197 | 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 | 0 | 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 | 954 | 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 | 672,735 | 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 | 347 | 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 | 4,967 | 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 | 7,000 | 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 | 240 | 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 | 818 | 15,288 |
Underwriting Portfolio [Member] | Commodity Contract [Member] | Not Designated as Hedging Instruments [Member] | ||
Derivative Fair Values on Consolidated Balance Sheet [Line Items] | ||
Derivative Notional Amount | 35,500 | 0 |
Underwriting Portfolio [Member] | Commodity Contract [Member] | Other Assets [Member] | Not Designated as Hedging Instruments [Member] | ||
Derivative Fair Values on Consolidated Balance Sheet [Line Items] | ||
Asset Derivative Fair Value | 231 | 0 |
Underwriting Portfolio [Member] | Commodity Contract [Member] | Other Liabilities [Member] | Not Designated as Hedging Instruments [Member] | ||
Derivative Fair Values on Consolidated Balance Sheet [Line Items] | ||
Liability Derivative Fair Value | $ 0 | $ 0 |
DERIVATIVE INSTRUMENTS (DETAI53
DERIVATIVE INSTRUMENTS (DETAILS 2) - USD ($) $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ||
Derivative assets - gross amounts | $ 6,601 | $ 15,125 |
Derivative assets - gross amounts offset | (5,783) | (7,861) |
Asset Derivative Fair Value | 818 | 7,264 |
Derivative liabilities - gross amounts | 12,522 | 26,190 |
Derivative liabilities - gross amounts offset | (5,783) | (7,861) |
Liability Derivative Fair Value | $ 6,739 | $ 18,329 |
DERIVATIVE INSTRUMENTS (DETAI54
DERIVATIVE INSTRUMENTS (DETAILS 3) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 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 | $ 8 | $ (4,001) | $ (5,390) | $ 6,261 |
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 | (1,716) | (2,355) | 4,822 | (3,684) |
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 | 0 | (4,800) | (4,006) | (8,960) |
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 | (1,011) | 1,058 | (16,284) | 13,131 |
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 | 3,625 | 383 | 10,968 | 4,061 |
Underwriting Portfolio [Member] | Commodity Contract [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 | $ (890) | $ 1,713 | $ (890) | $ 1,713 |
RESERVE FOR LOSSES AND LOSS E55
RESERVE FOR LOSSES AND LOSS EXPENSES (DETAILS) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 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 | 1,213,160 | 1,238,883 | ||
Prior years | $ (64,613) | $ (85,354) | (120,679) | (128,847) |
Net incurred losses and loss expenses | 1,092,481 | 1,110,036 | ||
Net paid losses and loss expenses related to: | ||||
Current year | (86,827) | (93,218) | ||
Prior years | (915,124) | (857,004) | ||
Net paid losses and loss expenses | (1,001,951) | (950,222) | ||
Foreign exchange and other | (125,666) | 35,122 | ||
Net reserve for unpaid losses and loss expenses, end of period | 7,671,381 | 7,876,964 | 7,671,381 | 7,876,964 |
Reinsurance recoverable on unpaid losses, end of period | 2,022,059 | 1,929,024 | 2,022,059 | 1,929,024 |
Gross reserve for losses and loss expenses, end of period | $ 9,693,440 | $ 9,805,988 | $ 9,693,440 | $ 9,805,988 |
RESERVE FOR LOSSES AND LOSS E56
RESERVE FOR LOSSES AND LOSS EXPENSES (DETAILS 2) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Net Favorable Prior Year Reserve Development [Line Items] | ||||
Net favorable prior year reserve development | $ 64,613 | $ 85,354 | $ 120,679 | $ 128,847 |
Insurance [Member] | ||||
Net Favorable Prior Year Reserve Development [Line Items] | ||||
Net favorable prior year reserve development | 15,421 | 32,963 | 18,783 | 44,571 |
Reinsurance [Member] | ||||
Net Favorable Prior Year Reserve Development [Line Items] | ||||
Net favorable prior year reserve development | $ 49,192 | $ 52,391 | $ 101,896 | $ 84,276 |
RESERVE FOR LOSSES AND LOSS E57
RESERVE FOR LOSSES AND LOSS EXPENSES (DETAILS 3) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Additional Information Related to Net Incurred Losses [Line Items] | ||||
Net favorable (adverse) prior year reserve development | $ 64,613 | $ 85,354 | $ 120,679 | $ 128,847 |
Short Tail Lines Insurance And Reinsurance Business [Member] | ||||
Additional Information Related to Net Incurred Losses [Line Items] | ||||
Net favorable (adverse) prior year reserve development | 40,000 | 73,000 | 74,000 | 101,000 |
Professional Lines Reinsurance Business [Member] | ||||
Additional Information Related to Net Incurred Losses [Line Items] | ||||
Net favorable (adverse) prior year reserve development | 4,000 | 6,000 | 24,000 | 12,000 |
Credit And Political Risk Insurance Business [Member] | ||||
Additional Information Related to Net Incurred Losses [Line Items] | ||||
Net favorable (adverse) prior year reserve development | (15,000) | |||
Liability and Motor Reinsurance Business [Member] | ||||
Additional Information Related to Net Incurred Losses [Line Items] | ||||
Net favorable (adverse) prior year reserve development | 25,000 | $ 6,000 | 44,000 | $ 12,000 |
Liability Insurance Business [Member] | ||||
Additional Information Related to Net Incurred Losses [Line Items] | ||||
Net favorable (adverse) prior year reserve development | $ (6,000) | $ (17,000) |
SHARE-BASED COMPENSATION (DETAI
SHARE-BASED COMPENSATION (DETAILS) - USD ($) $ / shares in Units, $ in Millions | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Reconcilation of Beginning and Ending Balance of Nonvested Restricted Stock (including RSUs) [Abstract] | ||||
Share based compensation expense incurred | $ 10 | $ 19 | $ 29 | $ 37 |
Tax benefit related to share-based compensation costs incurred | 4 | 3 | 8 | 6 |
Fair value - vested during period | 71 | 65 | ||
Unrecognized share-based compensation costs | $ 135 | $ 135 | ||
Unrecognized share-based compensation costs - weighted average period expected to be recognized | 2 years 6 months 3 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) | 104,000 | |||
Vested (number) | 0 | |||
Forfeited (number) | (250,000) | |||
Nonvested restricted stock (number) - end of period | 201,000 | 201,000 | ||
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 | 53.32 | |||
Weighted average grant date fair value - vested | 0 | |||
Weighted average grant date fair value - forfeited | 34.42 | |||
Weighted average grant date fair value - end of period | $ 49.24 | $ 49.24 | ||
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) | 556,000 | |||
Vested (number) | (1,109,000) | |||
Forfeited (number) | (29,000) | |||
Nonvested restricted stock (number) - end of period | 2,186,000 | 2,186,000 | ||
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 | 51.69 | |||
Weighted average grant date fair value - vested | 36.38 | |||
Weighted average grant date fair value - forfeited | 42.29 | |||
Weighted average grant date fair value - end of period | $ 43.13 | $ 43.13 | ||
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 | $ 20 | $ 9 | $ 20 | $ 9 |
EARNINGS PER COMMON SHARE (DETA
EARNINGS PER COMMON SHARE (DETAILS) - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Basic earnings per common share | ||||
Net income | $ 73,371 | $ 202,259 | $ 239,197 | $ 350,729 |
Less: Amounts attributable to noncontrolling interests | 0 | 1,573 | 0 | 2,795 |
Less: preferred share dividends | 10,022 | 10,022 | 20,044 | 20,044 |
Net income available to common shareholders | $ 63,349 | $ 190,664 | $ 219,153 | $ 327,890 |
Weighted average common shares outstanding - basic | 100,274 | 105,118 | 100,093 | 107,075 |
Basic earnings per common share | $ 0.63 | $ 1.81 | $ 2.19 | $ 3.06 |
Diluted earnings per common share | ||||
Net income available to common shareholders | $ 63,349 | $ 190,664 | $ 219,153 | $ 327,890 |
Weighted average common shares outstanding - basic | 100,274 | 105,118 | 100,093 | 107,075 |
Stock compensation plans | 886 | 1,171 | 1,058 | 1,254 |
Weighted average common shares outstanding - diluted | 101,160 | 106,289 | 101,151 | 108,329 |
Diluted earnings per common share | $ 0.63 | $ 1.79 | $ 2.17 | $ 3.03 |
Anti-dilutive shares excluded from the dilutive computation | 89 | 73 | 329 | 562 |
SHAREHOLDERS' EQUITY (DETAILS)
SHAREHOLDERS' EQUITY (DETAILS) - shares shares in Thousands | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 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 | 176,206 | 176,206 | |||
Treasury shares, balance at beginning of period | (76,052) | ||||
Total treasury shares at end of period | (75,922) | (75,922) | |||
Total shares outstanding | 100,284 | 100,284 | 99,426 | ||
Common Stock [Member] | |||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||
Shares issued, balance at beginning of period | 176,190 | 175,195 | 175,478 | 174,134 | |
Shares issued | 16 | 120 | 728 | 1,181 | |
Total shares issued at end of period | 176,206 | 175,315 | 176,206 | 175,315 | |
Treasury shares, balance at beginning of period | (75,971) | (68,450) | (76,052) | (64,649) | |
Shares repurchased | (60) | (3,058) | (350) | (7,094) | |
Shares reissued from treasury | 109 | 99 | 480 | 334 | |
Total treasury shares at end of period | (75,922) | (71,409) | (75,922) | (71,409) | |
Total shares outstanding | 100,284 | 103,906 | 100,284 | 103,906 |
SHAREHOLDERS' EQUITY (DETAILS 2
SHAREHOLDERS' EQUITY (DETAILS 2) - Common Stock [Member] - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Treasury Shares [Line Items] | ||||
Total shares | 60 | 3,058 | 350 | 7,094 |
Total cost | $ 3,158 | $ 139,380 | $ 17,929 | $ 318,082 |
Average price per share | $ 52.51 | $ 45.59 | $ 51.22 | $ 44.84 |
In the Open Market [Member] | ||||
Treasury Shares [Line Items] | ||||
Total shares | 0 | 2,970 | 16 | 6,680 |
Total cost | $ 0 | $ 135,395 | $ 832 | $ 300,000 |
Average price per share | $ 0 | $ 45.59 | $ 50.69 | $ 44.91 |
From Employees [Member] | ||||
Treasury Shares [Line Items] | ||||
Total shares | 60 | 88 | 334 | 414 |
Total cost | $ 3,158 | $ 3,985 | $ 17,097 | $ 18,082 |
Average price per share | $ 52.51 | $ 45.57 | $ 51.17 | $ 43.66 |
NONCONTROLLING INTERESTS (DETAI
NONCONTROLLING INTERESTS (DETAILS) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | Dec. 31, 2014 | |
Noncontrolling Interest [Line Items] | |||||
Assets | $ 20,704,875 | $ 20,704,875 | $ 19,955,736 | ||
Liabilities | 14,756,317 | 14,756,317 | 14,075,796 | ||
Change in Noncontrolling Interest [Roll Forward] | |||||
Balance at beginning of period | 58,819 | $ 50,000 | |||
Amounts attributable to noncontrolling interests | 0 | $ 1,573 | 0 | 2,795 | |
Adjustment due to the adoption of revised accounting guidance effective January 1, 2015 | (58,819) | 0 | |||
Balance at end of period | $ 0 | $ 52,795 | $ 0 | $ 52,795 | |
Ventures Re [Member] | |||||
Noncontrolling Interest [Line Items] | |||||
Assets | 97,000 | ||||
Liabilities | $ 38,000 |
DEBT AND FINANCING ARRANGEMEN63
DEBT AND FINANCING ARRANGEMENTS (Details) - Letter of Credit Facility [Member] - USD ($) $ in Millions | Jun. 30, 2015 | Mar. 30, 2015 |
Line of Credit Facility [Line Items] | ||
Maximum capacity | $ 500 | $ 750 |
Letters of credit outstanding | $ 351 |
COMMITMENTS AND CONTINGENCIES (
COMMITMENTS AND CONTINGENCIES (DETAILS) - Minimum reinsurance premiums [Member] $ in Millions | Jun. 30, 2015USD ($) |
Unrecorded Unconditional Purchase Obligation [Line Items] | |
Outstanding purchase commitment | $ 98 |
Outstanding purchase commitment, due in 2015 | 65 |
Outstanding purchase commitment, due in 2016 | $ 33 |
COMMITMENTS AND CONTINGENCIES65
COMMITMENTS AND CONTINGENCIES (DETAILS 2) - PartnerRe [Member] - Scenario, Forecast [Member] - USD ($) $ / shares in Units, $ in Millions | Jul. 15, 2015 | May. 03, 2015 |
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 | |
Subsequent Event [Member] | ||
Business Acquisition [Line Items] | ||
Preferred Shares, Basis Points Increase | 1.00% | |
Special Dividend | $ 17.50 |
OTHER COMPREHENSIVE INCOME (L66
OTHER COMPREHENSIVE INCOME (LOSS) (DETAILS) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Before Tax Amount | ||||
Unrealized gains (losses) arising during the period | $ (86,076) | $ 133,575 | $ (81,013) | $ 214,135 |
Adjustment for reclassification of net realized investment gains (losses) and OTTI losses recognized in net income | 9,392 | (40,259) | 54,489 | (56,328) |
Unrealized gains (losses) arising during the period, net of reclassification adjustment | (76,684) | 93,316 | (26,524) | 157,807 |
Non-credit portion of OTTI losses | 0 | 0 | 0 | 0 |
Foreign currency translation adjustment | 2,188 | 3,790 | (9,225) | 6,449 |
Total other comprehensive income (loss), net of tax | (74,496) | 97,106 | (35,749) | 164,256 |
Tax (Expense) Benefit | ||||
Unrealized gains (losses) arising during the period | 14,035 | (13,025) | 3,785 | (22,202) |
Adjustment for reclassification of net realized investment gains (losses) and OTTI losses recognized in net income | (535) | 6,330 | (529) | 12,785 |
Unrealized gains (losses) arising during the period, net of reclassification adjustment | 13,500 | (6,695) | 3,256 | (9,417) |
Non-credit portion of OTTI losses | 0 | 0 | 0 | 0 |
Foreign currency translation adjustment | 0 | 0 | 0 | 0 |
Total comprehensive income (loss), net of tax | 13,500 | (6,695) | 3,256 | (9,417) |
Net of Tax Amount | ||||
Unrealized gains (losses) arising during the period | (72,041) | 120,550 | (77,228) | 191,933 |
Adjustment for reclassification of net realized investment gains (losses) and OTTI losses recognized in net income | 8,857 | (33,929) | 53,960 | (43,543) |
Unrealized gains (losses) arising during the period, net of reclassification adjustment | (63,184) | 86,621 | (23,268) | 148,390 |
Non-credit portion of OTTI losses | 0 | 0 | 0 | 0 |
Foreign currency translation adjustment | 2,188 | 3,790 | (9,225) | 6,449 |
Total other comprehensive income (loss), net of tax | $ (60,996) | $ 90,411 | $ (32,493) | $ 154,839 |
OTHER COMPREHENSIVE INCOME (L67
OTHER COMPREHENSIVE INCOME (LOSS) (DETAILS 2) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Reclassification out of accumulated comprehensive income into net income available to common shareholders [Line Items] | ||||
Other realized investment gains (losses) | $ 1,783 | $ 35,166 | $ (23,201) | $ 46,572 |
OTTI losses | (12,893) | (1,905) | (30,461) | (2,690) |
Income before income taxes | 75,186 | 211,759 | 240,322 | 364,354 |
Income tax (expense) benefit | (1,815) | (9,500) | (1,125) | (13,625) |
Net income attributable to AXIS Capital | 73,371 | 200,686 | 239,197 | 347,934 |
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) | 3,501 | 42,164 | (24,028) | 59,018 |
OTTI losses | (12,893) | (1,905) | (30,461) | (2,690) |
Income before income taxes | (9,392) | 40,259 | (54,489) | 56,328 |
Income tax (expense) benefit | 535 | (6,330) | 529 | (12,785) |
Net income attributable to AXIS Capital | $ (8,857) | $ 33,929 | $ (53,960) | $ 43,543 |
SUBSEQUENT EVENTS (DETAILS)
SUBSEQUENT EVENTS (DETAILS) - Scenario, Forecast [Member] - PartnerRe [Member] - $ / shares | Jul. 15, 2015 | May. 03, 2015 |
Subsequent Event [Line Items] | ||
Special Dividend | $ 11.50 | |
Subsequent Event [Member] | ||
Subsequent Event [Line Items] | ||
Special Dividend | $ 17.50 | |
Preferred Shares, Basis Points Increase | 1.00% |