DOCUMENT AND ENTITY INFORMATION
DOCUMENT AND ENTITY INFORMATION - shares | 6 Months Ended | |
Jun. 30, 2016 | Jul. 19, 2016 | |
DOCUMENT AND ENTITY INFORMATION [ABSTRACT] | ||
Document Type | 10-Q | |
Amendment Flag | false | |
Document Period End Date | Jun. 30, 2016 | |
Document Fiscal Year Focus | 2,016 | |
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 | 90,673,330 |
CONSOLIDATED BALANCE SHEETS
CONSOLIDATED BALANCE SHEETS - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 |
Assets | ||
Fixed maturities, available for sale, at fair value (Amortized cost 2016: $11,475,293; 2015: $11,897,639) | $ 11,563,216 | $ 11,719,749 |
Equity securities, available for sale, at fair value (Cost 2016: $601,320; 2015: $575,776) | 626,371 | 597,998 |
Mortgage loans, held for investment, at amortized cost and fair value | 327,315 | 206,277 |
Other investments, at fair value | 865,406 | 816,756 |
Equity method investments | 113,729 | 0 |
Short-term investments, at amortized cost and fair value | 41,086 | 34,406 |
Total investments | 13,537,123 | 13,375,186 |
Cash and cash equivalents | 792,945 | 988,133 |
Restricted cash and cash equivalents | 200,527 | 186,618 |
Accrued interest receivable | 71,770 | 73,729 |
Insurance and reinsurance premium balances receivable | 2,885,606 | 1,967,535 |
Reinsurance recoverable on unpaid and paid losses | 2,270,776 | 2,096,104 |
Deferred acquisition costs | 624,638 | 471,782 |
Prepaid reinsurance premiums | 498,299 | 396,201 |
Receivable for investments sold | 3,569 | 26,478 |
Goodwill and intangible assets | 85,954 | 86,858 |
Other assets | 278,233 | 313,267 |
Total assets | 21,249,440 | 19,981,891 |
Liabilities | ||
Reserve for losses and loss expenses | 9,782,304 | 9,646,285 |
Unearned premiums | 3,708,603 | 2,760,889 |
Insurance and reinsurance balances payable | 416,017 | 356,417 |
Senior notes | 992,361 | 991,825 |
Payable for investments purchased | 144,040 | 9,356 |
Other liabilities | 241,932 | 350,237 |
Total liabilities | 15,285,257 | 14,115,009 |
Shareholders’ equity | ||
Preferred shares | 625,000 | 627,843 |
Common shares (2016: 176,575; 2015: 176,240 shares issued and 2016: 90,654; 2015: 96,066 shares outstanding) | 2,206 | 2,202 |
Additional paid-in capital | 2,302,557 | 2,241,388 |
Accumulated other comprehensive income (loss) | 63,089 | (188,465) |
Retained earnings | 6,285,803 | 6,194,353 |
Treasury shares, at cost (2016: 85,921; 2015: 80,174 shares) | (3,314,472) | (3,010,439) |
Total shareholders’ equity | 5,964,183 | 5,866,882 |
Total liabilities and shareholders’ equity | $ 21,249,440 | $ 19,981,891 |
CONSOLIDATED BALANCE SHEETS (Pa
CONSOLIDATED BALANCE SHEETS (Parenthetical) - USD ($) shares in Thousands, $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 |
Statement of Financial Position [Abstract] | ||
Fixed maturities, available for sale, amortized cost | $ 11,475,293 | $ 11,897,639 |
Equity securities, available for sale, cost | $ 601,320 | $ 575,776 |
Common shares, shares issued | 176,575 | 176,240 |
Common shares, shares outstanding | 90,654 | 96,066 |
Treasury shares, shares | 85,921 | 80,174 |
CONSOLIDATED STATEMENTS OF OPER
CONSOLIDATED STATEMENTS OF OPERATIONS (UNAUDITED) - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
Revenues | ||||
Net premiums earned | $ 946,990 | $ 941,211 | $ 1,849,331 | $ 1,845,264 |
Net investment income | 91,730 | 88,544 | 140,896 | 180,651 |
Other insurance related income (loss) | (892) | (1,094) | ||
Other insurance related income (loss) | 3,486 | 11,162 | ||
Net realized investment gains (losses): | ||||
Other-than-temporary impairment (OTTI) losses | (6,369) | (12,893) | (16,099) | (30,461) |
Other realized investment gains (losses) | 27,379 | 1,783 | (29,401) | (23,201) |
Total net realized investment gains (losses) | 21,010 | (11,110) | (45,500) | (53,662) |
Total revenues | 1,058,838 | 1,022,131 | 1,943,633 | 1,983,415 |
Expenses | ||||
Net losses and loss expenses | 632,294 | 580,153 | 1,131,256 | 1,092,481 |
Acquisition costs | 189,125 | 183,263 | 369,761 | 354,805 |
General and administrative expenses | 146,746 | 148,482 | 296,648 | 311,723 |
Foreign exchange losses (gains) | (56,602) | 22,108 | (55,986) | (41,112) |
Interest expense and financing costs | 12,914 | 12,939 | 25,747 | 25,196 |
Total expenses | 924,477 | 946,945 | 1,767,426 | 1,743,093 |
Income before income taxes | 134,361 | 75,186 | 176,207 | 240,322 |
Income tax expense (benefit) | 4,901 | 1,815 | (1,639) | 1,125 |
Net income | 129,460 | 73,371 | 177,846 | 239,197 |
Preferred share dividends | 9,969 | 10,022 | 19,938 | 20,044 |
Net income available to common shareholders | $ 119,491 | $ 63,349 | $ 157,908 | $ 219,153 |
Net income per common share: | ||||
Basic net income (in usd per share) | $ 1.30 | $ 0.63 | $ 1.70 | $ 2.19 |
Diluted net income (in usd per share) | $ 1.29 | $ 0.63 | $ 1.69 | $ 2.17 |
Weighted average number of common shares outstanding - basic (in shares) | 91,926 | 100,274 | 92,980 | 100,093 |
Weighted average number of common shares outstanding - diluted (in shares) | 92,558 | 101,160 | 93,705 | 101,151 |
Cash dividends declared per common share (in usd per share) | $ 0.35 | $ 0.29 | $ 0.70 | $ 0.58 |
CONSOLIDATED STATEMENTS OF COMP
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (UNAUDITED) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
Statement of Comprehensive Income [Abstract] | ||||
Net income | $ 129,460 | $ 73,371 | $ 177,846 | $ 239,197 |
Other comprehensive income (loss), net of tax: | ||||
Unrealized investment gains (losses) arising during the period | 63,685 | (72,041) | 202,319 | (77,228) |
Adjustment for reclassification of net realized investment gains (losses) and OTTI losses recognized in net income | (14,019) | 8,857 | 45,263 | 53,960 |
Unrealized investment gains (losses) arising during the period, net of reclassification adjustment | 49,666 | (63,184) | 247,582 | (23,268) |
Foreign currency translation adjustment | (4,224) | 2,188 | 3,972 | (9,225) |
Total other comprehensive income (loss), net of tax | 45,442 | (60,996) | 251,554 | (32,493) |
Comprehensive income | $ 174,902 | $ 12,375 | $ 429,400 | $ 206,704 |
CONSOLIDATED STATEMENTS OF CHAN
CONSOLIDATED STATEMENTS OF CHANGES IN SHAREHOLDERS' EQUITY (UNAUDITED) - USD ($) $ in Thousands | Total | Parent [Member] | Preferred shares [Member] | Common shares (par value) [Member] | Additional paid-in capital [Member] | Accumulated other comprehensive income (loss) [Member] | Unrealized gains (losses) on available for sale investments, net of tax [Member] | Cumulative foreign currency translation adjustments, net of tax [Member] | Retained earnings [Member] | Treasury shares, at cost [Member] |
Total shareholders’ equity at Dec. 31, 2014 | $ 627,843 | $ 2,191 | $ 2,285,016 | $ (45,574) | $ (28,192) | $ (17,382) | $ 5,715,504 | $ (2,763,859) | ||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||
Shares repurchased | 0 | |||||||||
Shares issued | 10 | 2,605 | ||||||||
Cost of treasury shares reissued | (17,451) | 17,451 | ||||||||
Shares repurchased for treasury | 0 | (17,930) | ||||||||
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 | ||||||||
Preferred share dividends | (20,044) | |||||||||
Common share dividends | (59,510) | |||||||||
Total shareholders’ equity at Jun. 30, 2015 | $ 5,948,558 | 627,843 | 2,201 | 2,285,772 | (78,067) | (51,460) | (26,607) | 5,875,147 | (2,764,338) | |
Total shareholders’ equity at Dec. 31, 2015 | 5,866,882 | 627,843 | 2,202 | 2,241,388 | (188,465) | (149,585) | (38,880) | 6,194,353 | (3,010,439) | |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||
Shares repurchased | (2,843) | |||||||||
Shares issued | 4 | (4) | ||||||||
Cost of treasury shares reissued | (17,631) | 19,017 | ||||||||
Shares repurchased for treasury | 60,000 | (323,050) | ||||||||
Stock options exercised | 0 | |||||||||
Share-based compensation expense | 18,804 | |||||||||
Unrealized gains (losses) arising during the period, net of reclassification adjustment | 247,582 | 247,582 | ||||||||
Non-credit portion of OTTI losses | 0 | 0 | ||||||||
Foreign currency translation adjustment | 3,972 | 3,972 | ||||||||
Net income | 177,846 | 177,846 | ||||||||
Preferred share dividends | (19,938) | |||||||||
Common share dividends | (66,458) | |||||||||
Total shareholders’ equity at Jun. 30, 2016 | $ 5,964,183 | $ 5,964,183 | $ 625,000 | $ 2,206 | $ 2,302,557 | $ 63,089 | $ 97,997 | $ (34,908) | $ 6,285,803 | $ (3,314,472) |
CONSOLIDATED STATEMENTS OF CASH
CONSOLIDATED STATEMENTS OF CASH FLOWS (UNAUDITED) - USD ($) $ in Thousands | 6 Months Ended | |
Jun. 30, 2016 | Jun. 30, 2015 | |
Cash flows from operating activities: | ||
Net income | $ 177,846 | $ 239,197 |
Adjustments to reconcile net income to net cash provided by operating activities: | ||
Net realized investment losses | 45,500 | 53,662 |
Net realized and unrealized gains (losses) on other investments | 14,406 | (45,037) |
Amortization of fixed maturities | 35,186 | 54,356 |
Other amortization and depreciation | 11,255 | 10,265 |
Share-based compensation expense, net of cash payments | 16,617 | 14,463 |
Changes in: | ||
Accrued interest receivable | 2,262 | 5,071 |
Reinsurance recoverable balances | (103,215) | (140,911) |
Deferred acquisition costs | (152,777) | (128,010) |
Prepaid reinsurance premiums | (100,699) | (34,247) |
Reserve for loss and loss expenses | 128,661 | 147,463 |
Unearned premiums | 937,950 | 589,438 |
Insurance and reinsurance balances, net | (859,502) | (561,146) |
Other items | (90,954) | (88,952) |
Net cash provided by operating activities | 62,536 | 115,612 |
Cash flows from investing activities: | ||
Fixed maturities | (4,687,409) | (5,454,612) |
Equity securities | (215,324) | (96,170) |
Mortgage loans | (120,923) | (79,606) |
Other investments | (173,127) | (54,482) |
Equity method investments | (103,548) | 0 |
Short-term investments | (27,800) | (30,745) |
Proceeds from the sale of: | ||
Fixed maturities | 4,559,910 | 4,660,534 |
Equity securities | 210,810 | 2,115 |
Other investments | 110,077 | 211,883 |
Short-term investments | 18,291 | 100,461 |
Proceeds from redemption of fixed maturities | 558,715 | 782,367 |
Proceeds from redemption of short-term investments | 2,539 | 6,987 |
Purchase of other assets | (13,313) | (12,093) |
Change in restricted cash and cash equivalents | (13,909) | 25,552 |
Net cash provided by investing activities | 104,989 | 62,191 |
Cash flows from financing activities: | ||
Repurchase of common shares | (263,050) | (25,951) |
Dividends paid - common shares | (69,347) | (59,170) |
Dividends paid - preferred shares | (19,971) | (20,044) |
Proceeds from issuance of common shares | 8 | 3,175 |
Repurchase of preferred shares | (2,843) | 0 |
Net cash used in financing activities | (355,203) | (101,990) |
Effect of exchange rate changes on foreign currency cash and cash equivalents | (7,510) | (8,248) |
Increase (decrease) in cash and cash equivalents | (195,188) | 67,565 |
Cash and cash equivalents - beginning of period | 988,133 | 921,830 |
Cash and cash equivalents - end of period | 792,945 | $ 989,395 |
Consideration transferred reinsurance | 170,000 | |
Payments for reinsurance | $ 92,000 |
BASIS OF PRESENTATION AND ACCOU
BASIS OF PRESENTATION AND ACCOUNTING POLICIES | 6 Months Ended |
Jun. 30, 2016 | |
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, 2016 and the consolidated statements of operations, comprehensive income, shareholders' equity and cash flows for the periods ended June 30, 2016 and 2015 have not been audited. The balance sheet at December 31, 2015 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, 2015 . Tabular dollar and share amounts are in thousands, except per share amounts. All amounts are reported in U.S. dollars. To facilitate comparison of information across periods, certain reclassifications have been made to prior year amounts to conform to the current year's presentation. These reclassifications did not impact our results of operations, financial condition or liquidity. 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, 2015 , with the exception of the addition of accounting policies for equity method investments and retroactive accounting noted below. Equity Method Investments Investments in which the Company has significant influence over the operating and financial policies of the investee are classified as equity method investments and are accounted for using the equity method of accounting. In applying the equity method of accounting, investments are initially recorded at cost and are subsequently adjusted based on the Company’s proportionate share of net income or loss of the investee. Adjustments are based on the most recently available financial information from the investee. Retroactive Reinsurance Retroactive reinsurance reimburses a ceding company for liabilities incurred as a result of past insurable events covered under contracts subject to the reinsurance. In certain instances, reinsurance contracts cover losses both on a prospective basis and on a retroactive basis and where practical the Company bifurcates the prospective and retrospective elements of these reinsurance contracts and accounts for each element separately. Initial gains in connection with retroactive reinsurance contracts are deferred and amortized into income over the settlement period while losses are recognized immediately. When changes in the estimated amount recoverable from the reinsurer or in the timing of receipts related to that amount occur, a cumulative amortization adjustment is recognized in earnings in the period of the change so that the deferred gain reflects the balance that would have existed had the revised estimate been available at the inception of the reinsurance transaction. New Accounting Standards Adopted in 2016 Share-Based Compensation Effective January 1, 2016, the Company adopted the Accounting Standards Update ("ASU") 2014-12, "Accounting for Share-Based Payments When the Terms of an Award Provide That a Performance Target Could be Achieved after the Requisite Service Period" issued by the Financial Accounting Standards Board (the "FASB"). This guidance requires that compensation costs be recognized in the period in which it becomes probable that the performance target will be achieved and to represent the compensation cost attributable to the period(s) for which the requisite service has already been rendered. This guidance was issued to clarify treatment where there was a divergence in accounting practice and its adoption did not impact our results of operations, financial condition or liquidity. Debt Issuance Costs Effective January 1, 2016, the Company adopted ASU 2015-03, "Simplifying the Presentation of Debt Issuance Costs" issued by the FASB. This guidance requires the debt issuance costs related to a recognized debt liability to be presented in the balance sheet as a direct deduction from the debt liability rather than as an asset. This guidance was issued to simplify the presentation of debt issuance costs and to resolve conflicting guidance. This guidance did not impact our results of operations, financial condition or liquidity. Investments Measured Using The Net Asset Value Per Share ("NAV") Practical Expedient Effective January 1, 2016, the Company adopted ASU 2015-07, "Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or its Equivalent)" issued by the FASB. This guidance eliminated the requirement to categorize investments measured using the NAV practical expedient in the fair value hierarchy table. As this new guidance related solely to disclosures, the adoption did not impact our results of operations, financial condition or liquidity. The updated disclosures have been provided in Note 4 'Fair Value Measurements' . Recently Issued Accounting Standards Not Yet Adopted Leases In February 2016, the FASB issued guidance that provides a new comprehensive model for lease accounting. The guidance will require most leases to be recognized on the balance sheet by recording a right-of-use asset and a corresponding lease liability. This guidance is effective for reporting periods beginning after December 15, 2018, and interim periods within those fiscal years with early adoption permitted. The Company is currently evaluating the impact of this guidance on our results of operations, financial condition and liquidity. Transition To Equity Method Of Accounting In March 2016, the FASB issued new guidance eliminating the requirement that an investor retrospectively apply equity method accounting when an existing investment qualifies for equity method accounting. The guidance is effective for annual periods beginning after December 15, 2016, and interim periods within those fiscal years with early adoption permitted. The guidance will be adopted on a prospective basis. The adoption of this guidance is not expected to materially impact our results of operations, financial condition or liquidity. Share-Based Compensation Accounting In March 2016, the FASB issued new guidance that will change the accounting for certain aspects of share-based compensation payments to employees. The guidance will require all income tax effects of awards to be recognized in the income statement when the awards vest or are settled. The guidance will also allow employers to increase the amounts withheld to cover income taxes on share-based compensation awards without requiring liability classification. Additionally, companies will be required to elect whether they will account for award forfeitures by recognizing forfeitures only as they occur or by estimating the number of awards expected to be forfeited. This guidance is effective for annual periods beginning after December 15, 2016, and interim periods within those fiscal years with early adoption permitted. The Company is currently evaluating the impact of this guidance on our results of operations, financial condition and liquidity. Credit Losses In June 2016, the FASB issued a new credit loss standard that changes the impairment model for most financial assets and certain other instruments. The guidance will replace the current "incurred loss" approach with a more forward looking "expected loss" model for instruments measured at amortized cost and will require entities to record allowances for available-for-sale debt securities rather than reduce the carrying amount. This guidance is effective for annual periods beginning after December 15, 2019, and interim periods within those fiscal years. Early adoption is permitted for annual periods beginning after December 15, 2018, and interim periods within those fiscal years. The Company is currently evaluating the impact of this guidance on our results of operations, financial condition and liquidity. |
SEGMENT INFORMATION
SEGMENT INFORMATION | 6 Months Ended |
Jun. 30, 2016 | |
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: 2016 2015 Three months ended and at June 30, Insurance Reinsurance Total Insurance Reinsurance Total Gross premiums written $ 784,017 $ 536,417 $ 1,320,434 $ 761,126 $ 427,287 $ 1,188,413 Net premiums written 526,764 480,586 1,007,350 534,263 412,281 946,544 Net premiums earned 439,279 507,711 946,990 452,322 488,889 941,211 Other insurance related income (loss) (234 ) (658 ) (892 ) 269 3,217 3,486 Net losses and loss expenses (306,141 ) (326,153 ) (632,294 ) (297,534 ) (282,619 ) (580,153 ) Acquisition costs (61,829 ) (127,296 ) (189,125 ) (66,920 ) (116,343 ) (183,263 ) General and administrative expenses (82,487 ) (32,332 ) (114,819 ) (88,420 ) (36,013 ) (124,433 ) Underwriting income (loss) $ (11,412 ) $ 21,272 9,860 $ (283 ) $ 57,131 56,848 Corporate expenses (31,927 ) (24,049 ) Net investment income 91,730 88,544 Net realized investment gains (losses) 21,010 (11,110 ) Foreign exchange (losses) gains 56,602 (22,108 ) Interest expense and financing costs (12,914 ) (12,939 ) Income before income taxes $ 134,361 $ 75,186 Net loss and loss expense ratio 69.7 % 64.2 % 66.8 % 65.8 % 57.8 % 61.6 % Acquisition cost ratio 14.1 % 25.1 % 20.0 % 14.8 % 23.8 % 19.5 % General and administrative expense ratio 18.7 % 6.4 % 15.4 % 19.5 % 7.4 % 15.8 % Combined ratio 102.5 % 95.7 % 102.2 % 100.1 % 89.0 % 96.9 % Goodwill and intangible assets $ 85,954 $ — $ 85,954 $ 101,053 $ — $ 101,053 2016 2015 Six months ended and at June 30, Insurance Reinsurance Total Insurance Reinsurance Total Gross premiums written $ 1,437,365 $ 1,842,230 $ 3,279,595 $ 1,363,850 $ 1,503,495 $ 2,867,345 Net premiums written 999,926 1,693,230 2,693,156 971,004 1,431,086 2,402,090 Net premiums earned 877,958 971,373 1,849,331 899,789 945,475 1,845,264 Other insurance related income (loss) (96 ) (998 ) (1,094 ) 269 10,893 11,162 Net losses and loss expenses (580,546 ) (550,710 ) (1,131,256 ) (583,307 ) (509,174 ) (1,092,481 ) Acquisition costs (123,227 ) (246,534 ) (369,761 ) (131,375 ) (223,430 ) (354,805 ) General and administrative expenses (168,064 ) (70,345 ) (238,409 ) (176,109 ) (75,393 ) (251,502 ) Underwriting income $ 6,025 $ 102,786 108,811 $ 9,267 $ 148,371 157,638 Corporate expenses (58,239 ) (60,221 ) Net investment income 140,896 180,651 Net realized investment losses (45,500 ) (53,662 ) Foreign exchange gains 55,986 41,112 Interest expense and financing costs (25,747 ) (25,196 ) Income before income taxes $ 176,207 $ 240,322 Net loss and loss expense ratio 66.1 % 56.7 % 61.2 % 64.8 % 53.9 % 59.2 % Acquisition cost ratio 14.0 % 25.4 % 20.0 % 14.6 % 23.6 % 19.2 % General and administrative expense ratio 19.2 % 7.2 % 16.0 % 19.6 % 8.0 % 16.9 % Combined ratio 99.3 % 89.3 % 97.2 % 99.0 % 85.5 % 95.3 % Goodwill and intangible assets $ 85,954 $ — $ 85,954 $ 101,053 $ — $ 101,053 |
INVESTMENTS
INVESTMENTS | 6 Months Ended |
Jun. 30, 2016 | |
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, 2016 Fixed maturities U.S. government and agency $ 1,484,802 $ 32,471 $ (1,895 ) $ 1,515,378 $ — Non-U.S. government 691,649 5,178 (54,012 ) 642,815 — Corporate debt 4,366,370 83,692 (47,771 ) 4,402,291 — Agency RMBS (1) 2,328,647 55,587 (652 ) 2,383,582 — CMBS (2) 1,060,897 22,727 (2,589 ) 1,081,035 — Non-Agency RMBS 85,450 1,594 (1,686 ) 85,358 (831 ) ABS (3) 1,307,495 2,590 (12,195 ) 1,297,890 — Municipals (4) 149,983 5,371 (487 ) 154,867 — Total fixed maturities $ 11,475,293 $ 209,210 $ (121,287 ) $ 11,563,216 $ (831 ) Equity securities Common stocks $ 379 $ 26 $ (318 ) $ 87 Exchange-traded funds 467,032 28,412 (4,125 ) 491,319 Bond mutual funds 133,909 1,056 — 134,965 Total equity securities $ 601,320 $ 29,494 $ (4,443 ) $ 626,371 At December 31, 2015 Fixed maturities U.S. government and agency $ 1,673,617 $ 1,545 $ (23,213 ) $ 1,651,949 $ — Non-U.S. government 809,025 2,312 (72,332 ) 739,005 — Corporate debt 4,442,315 16,740 (96,286 ) 4,362,769 — Agency RMBS (1) 2,236,138 22,773 (9,675 ) 2,249,236 — CMBS (2) 1,088,595 3,885 (9,182 ) 1,083,298 — Non-Agency RMBS 99,989 1,992 (973 ) 101,008 (875 ) ABS (3) 1,387,919 952 (17,601 ) 1,371,270 — Municipals (4) 160,041 2,319 (1,146 ) 161,214 — Total fixed maturities $ 11,897,639 $ 52,518 $ (230,408 ) $ 11,719,749 $ (875 ) Equity securities Common stocks $ — $ — $ — $ — Exchange-traded funds 447,524 31,211 (4,762 ) 473,973 Bond mutual funds 128,252 — (4,227 ) 124,025 Total equity securities $ 575,776 $ 31,211 $ (8,989 ) $ 597,998 (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, direct lending funds, real estate funds and private equity funds) and CLO equity tranched securities, which are all variable interests issued by VIEs (see Note 3(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, 2016 Maturity Due in one year or less $ 328,830 $ 320,923 2.9 % Due after one year through five years 3,778,226 3,773,989 32.6 % Due after five years through ten years 2,260,438 2,286,068 19.8 % Due after ten years 325,310 334,371 2.9 % 6,692,804 6,715,351 58.2 % Agency RMBS 2,328,647 2,383,582 20.6 % CMBS 1,060,897 1,081,035 9.3 % Non-Agency RMBS 85,450 85,358 0.7 % ABS 1,307,495 1,297,890 11.2 % Total $ 11,475,293 $ 11,563,216 100.0 % At December 31, 2015 Maturity Due in one year or less $ 291,368 $ 289,571 2.5 % Due after one year through five years 4,217,515 4,142,802 35.3 % Due after five years through ten years 2,263,684 2,181,525 18.6 % Due after ten years 312,431 301,039 2.6 % 7,084,998 6,914,937 59.0 % Agency RMBS 2,236,138 2,249,236 19.2 % CMBS 1,088,595 1,083,298 9.2 % Non-Agency RMBS 99,989 101,008 0.9 % ABS 1,387,919 1,371,270 11.7 % Total $ 11,897,639 $ 11,719,749 100.0 % 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, 2016 Fixed maturities U.S. government and agency $ 66,551 $ (1,864 ) $ 80,664 $ (31 ) $ 147,215 $ (1,895 ) Non-U.S. government 127,388 (36,001 ) 271,036 (18,011 ) 398,424 (54,012 ) Corporate debt 342,184 (28,316 ) 673,041 (19,455 ) 1,015,225 (47,771 ) Agency RMBS 74,590 (449 ) 54,383 (203 ) 128,973 (652 ) CMBS 113,021 (1,573 ) 230,571 (1,016 ) 343,592 (2,589 ) Non-Agency RMBS 10,366 (331 ) 11,773 (1,355 ) 22,139 (1,686 ) ABS 765,201 (10,568 ) 215,552 (1,627 ) 980,753 (12,195 ) Municipals 14,954 (479 ) 2,402 (8 ) 17,356 (487 ) Total fixed maturities $ 1,514,255 $ (79,581 ) $ 1,539,422 $ (41,706 ) $ 3,053,677 $ (121,287 ) Equity securities Common stocks $ — $ — $ 61 $ (318 ) $ 61 $ (318 ) Exchange-traded funds 5,337 (327 ) 86,292 (3,798 ) 91,629 (4,125 ) Bond mutual funds — — — — — — Total equity securities $ 5,337 $ (327 ) $ 86,353 $ (4,116 ) $ 91,690 $ (4,443 ) At December 31, 2015 Fixed maturities U.S. government and agency $ 84,179 $ (7,622 ) $ 1,474,202 $ (15,591 ) $ 1,558,381 $ (23,213 ) Non-U.S. government 170,269 (50,841 ) 317,693 (21,491 ) 487,962 (72,332 ) Corporate debt 340,831 (33,441 ) 2,845,375 (62,845 ) 3,186,206 (96,286 ) Agency RMBS 64,792 (1,609 ) 1,073,566 (8,066 ) 1,138,358 (9,675 ) CMBS 75,627 (1,579 ) 659,480 (7,603 ) 735,107 (9,182 ) Non-Agency RMBS 5,283 (210 ) 43,199 (763 ) 48,482 (973 ) ABS 562,599 (11,158 ) 667,448 (6,443 ) 1,230,047 (17,601 ) Municipals 14,214 (310 ) 64,104 (836 ) 78,318 (1,146 ) Total fixed maturities $ 1,317,794 $ (106,770 ) $ 7,145,067 $ (123,638 ) $ 8,462,861 $ (230,408 ) Equity securities Common stocks $ — $ — $ — $ — $ — $ — Exchange-traded funds 2,331 (313 ) 110,972 (4,449 ) 113,303 (4,762 ) Bond mutual funds — — 124,025 (4,227 ) 124,025 (4,227 ) Total equity securities $ 2,331 $ (313 ) $ 234,997 $ (8,676 ) $ 237,328 $ (8,989 ) Fixed Maturities At June 30, 2016 , 1,115 fixed maturities ( 2015 : 2,314 ) were in an unrealized loss position of $121 million ( 2015 : $230 million ), of which $21 million ( 2015 : $39 million ) was related to securities below investment grade or not rated. At June 30, 2016 , 429 ( 2015 : 383 ) securities had been in a continuous unrealized loss position for 12 months or greater and had a fair value of $1,514 million ( 2015 : $1,318 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, 2016 , and were expected to recover in value as the securities approach maturity. Further, at June 30, 2016 , 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, 2016 , 29 securities ( 2015 : 35 ) were in an unrealized loss position of $4 million ( 2015 : $9 million ). At June 30, 2016 , 11 securities ( 2015 : 1 ) were 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, 2016 . b) Mortgage Loans The following table provides a breakdown of our mortgage loans held-for-investment: June 30, 2016 December 31, 2015 Carrying Value % of Total Carrying Value % of Total Mortgage Loans held-for-investment: Commercial $ 327,315 100 % $ 206,277 100 % 327,315 100 % 206,277 100 % Valuation allowances — — % — — % Total Mortgage Loans held-for-investment $ 327,315 100 % $ 206,277 100 % 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 principal 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. We have a high quality mortgage portfolio with debt service coverage ratios in excess of 1.3 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, 2016 . There are no past due amounts at June 30, 2016 . c) Other Investments The following table provides a breakdown of our investments in hedge funds, direct lending funds, private equity funds, real estate funds, CLO Equities and other privately held investments, together with additional information relating to the liquidity of each category: Fair Value Redemption Frequency (if currently eligible) Redemption Notice Period At June 30, 2016 Long/short equity funds $ 126,579 15 % Quarterly, Semi-annually, Annually 45-60 days Multi-strategy funds 314,687 36 % Quarterly, Semi-annually 60-95 days Event-driven funds 90,902 11 % Quarterly, Annually 45-60 days Leveraged bank loan funds 65 — % n/a n/a Direct lending funds 120,962 14 % n/a n/a Private equity funds 93,722 11 % n/a n/a Real estate funds 10,851 1 % n/a n/a CLO - Equities 65,883 7 % n/a n/a Other privately held investments 41,755 5 % n/a n/a Total other investments $ 865,406 100 % At December 31, 2015 Long/short equity funds $ 154,348 19 % Quarterly, Semi-annually, Annually 45-60 days Multi-strategy funds 355,073 43 % Quarterly, Semi-annually 60-95 days Event-driven funds 147,287 18 % Quarterly, Annually 45-60 days Leveraged bank loan funds 65 — % n/a n/a Direct lending funds 90,120 11 % n/a n/a Private equity funds — — % n/a n/a Real estate funds 4,929 1 % n/a n/a CLO - Equities 64,934 8 % n/a n/a Other privately held investments — — % n/a n/a Total other investments $ 816,756 100 % 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. • Private equity funds : Seek to achieve attractive risk-adjusted returns by investing in private transactions over the course of several years. 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 2016 and 2015 , neither of these restrictions impacted our redemption requests. At June 30, 2016 , $82 million ( 2015 : $66 million ), representing 15% ( 2015 : 10% ) 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 2016 to March 2019. At June 30, 2016 , we have $192 million ( 2015 : $222 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. At June 30, 2016 , we have $12 million ( 2015 : $12 million ) of unfunded commitments 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, 2016 , we have $90 million ( 2015 : $95 million ) of unfunded commitments 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. During 2016, we made a $135 million commitment as a limited partner in a private equity fund. At June 30, 2016 , $41 million of our commitment remains unfunded and the current fair value of the funds called to date are included in the private equity funds line of the table above. The fund invests in underlying private equity funds and the life of the fund is subject to the dissolution of the underlying funds. We expect the overall holding period to be over ten years. 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, 2016 , this commitment remains unfunded. It is not anticipated that the full amount of this fund will be drawn. d) Equity Method Investments During 2016, we paid $104 million including direct transaction costs to acquire 18% of the common equity of Harrington Reinsurance Holdings Limited ("Harrington"), the parent company of Harrington Re Ltd. ("Harrington Re"), an independent reinsurance company jointly sponsored by AXIS Capital and The Blackstone Group L.P. ("Blackstone"). Through long-term service agreements, AXIS Capital will serve as Harrington Re's reinsurance underwriting manager and Blackstone will serve as exclusive investment management service provider. As an investor, we expect to benefit from underwriting profit generated by Harrington Re and the income and capital appreciation Blackstone seeks to deliver through its investment management services. In addition, we have entered into an arrangement with Blackstone under which underwriting and investment related fees will be shared equally. Harrington is not a variable interest entity and given that we have significant influence we account for our ownership in Harrington under the equity method of accounting. The Company also has investments in other equity method investments with a carrying value of $10 million . e) Net Investment Income Net investment income was derived from the following sources: Three months ended June 30, Six months ended June 30, 2016 2015 2016 2015 Fixed maturities $ 77,621 $ 77,998 $ 153,596 $ 144,086 Other investments 14,401 14,102 (12,477 ) 45,037 Equity securities 3,065 2,674 8,210 4,350 Mortgage loans 1,807 281 3,492 294 Cash and cash equivalents 1,868 1,678 3,303 2,777 Short-term investments 165 125 371 194 Gross investment income 98,927 96,858 156,495 196,738 Investment expenses (7,197 ) (8,314 ) (15,599 ) (16,087 ) Net investment income $ 91,730 $ 88,544 $ 140,896 $ 180,651 f) Net Realized Investment Losses The following table provides an analysis of net realized investment losses: Three months ended June 30, Six months ended June 30, 2016 2015 2016 2015 Gross realized gains Fixed maturities and short-term investments $ 25,458 $ 17,066 $ 41,622 $ 32,727 Equities 9,693 177 13,234 215 Gross realized gains 35,151 17,243 54,856 32,942 Gross realized losses Fixed maturities and short-term investments (9,617 ) (13,474 ) (68,794 ) (56,565 ) Equities (559 ) (270 ) (15,347 ) (394 ) Gross realized losses (10,176 ) (13,744 ) (84,141 ) (56,959 ) Net OTTI recognized in earnings (6,369 ) (12,893 ) (16,099 ) (30,461 ) Change in fair value of investment derivatives (1) 2,404 (1,716 ) (116 ) 816 Net realized investment gains (losses) $ 21,010 $ (11,110 ) $ (45,500 ) $ (53,662 ) (1) Refer to Note 5 – Derivative Instruments The following table summarizes the OTTI recognized in earnings by asset class: Three months ended June 30, Six months ended June 30, 2016 2015 2016 2015 Fixed maturities: Non-U.S. government $ 497 $ — $ 497 $ 1,422 Corporate debt 5,872 1,689 13,042 17,808 Non-Agency RMBS — — — 4 ABS — 18 — 41 6,369 1,707 13,539 19,275 Equity Securities Exchange-traded funds — — 2,560 — Bond mutual funds — 11,186 — 11,186 — 11,186 2,560 11,186 Total OTTI recognized in earnings $ 6,369 $ 12,893 $ 16,099 $ 30,461 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, 2016 2015 2016 2015 Balance at beginning of period $ 1,506 $ 1,541 $ 1,506 $ 1,531 Credit impairments recognized on securities not previously impaired — — — — Additional credit impairments recognized on securities previously impaired 7 23 7 33 Change in timing of future cash flows on securities previously impaired — — — — Intent to sell of securities previously impaired — — — — Securities sold/redeemed/matured — — — — Balance at end of period $ 1,513 $ 1,564 $ 1,513 $ 1,564 g) Reverse Repurchase Agreements At June 30, 2016 , we held no reverse repurchase agreements ( 2015 : $ 30 million ). 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, 2016 | |
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. Agency RMBS Agency RMBS securities consist of bonds issued by the Federal National Mortgage Association, the Federal Home Loan Mortgage Corporation and the Government National Mortgage Association. The fair values of these securities are priced using a mortgage pool specific model which uses daily inputs from the active to be announced market and the spread associated with each mortgage pool based on vintage. As the significant inputs are observable market inputs, the fair values of Agency RMBS securities are classified within Level 2. CMBS CMBS include mostly investment-grade bonds originated by non-agencies. The fair values of these securities are determined using a pricing model which uses dealer quotes and other available trade information along with security level characteristics to determine deal specific spreads. As the significant inputs are observable market inputs, the fair values of CMBS securities are classified within Level 2. Where pricing is unavailable from pricing services, we obtain non-binding quotes from brokerdealers 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. Non-Agency RMBS Non-Agency RMBS include mostly investment-grade bonds originated by non-agencies. The fair values of these securities are determined using an option adjusted spread model or other relevant models, which use inputs including available trade information or broker quotes, prepayment and default projections based on historical statistics of the underlying collateral and current market data. As the significant inputs are observable market inputs, the fair values of Non-Agency RMBS securities are classified withing Level 2. 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. 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. 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 common stocks, exchange-traded funds and bond mutual funds. For common stocks and 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 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, private equity funds and real estate funds 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 hedge funds, direct lending funds and real estate funds any funds that 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, and the inclusion of any subscriptions, redemptions, drawdowns and distributions. 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. For private equity funds the typical reporting lag is three months before NAV statements are released. We estimate fair value for our private equity funds by starting with the prior quarter-end NAV and adjusting for capital calls, redemptions and distributions. Within the hedge fund, direct lending fund, real estate fund and private equity 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). The fair value of our hedge funds, direct lending funds, private equity funds and real estate funds are measured using the NAV practical expedient and therefore have not been categorized with the fair value hierarchy. At June 30, 2016 , our 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. Other privately held securities comprise investments with our strategic (re)insurance partners. The investments can take the form of convertible preferred shares, convertible notes and notes payable. As all the investments in this category were made during the first 6 months of 2016, the cost of these investments is believed to approximate fair value at June 30, 2016. These securities are classified within Level 3. 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 an 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 tables below present the financial instruments measured at fair value on a recurring basis for the periods indicated: Quoted Prices in Active Markets for Identical Assets (Level 1) Significant Other Observable Inputs (Level 2) Significant Unobservable Inputs (Level 3) Fair value based on NAV practical expedient Total Fair Value At June 30, 2016 Assets Fixed maturities U.S. government and agency $ 1,483,577 $ 31,801 $ — $ — $ 1,515,378 Non-U.S. government — 642,815 — — 642,815 Corporate debt — 4,340,269 62,022 — 4,402,291 Agency RMBS — 2,383,582 — — 2,383,582 CMBS — 1,070,825 10,210 — 1,081,035 Non-Agency RMBS — 85,358 — — 85,358 ABS — 1,297,890 — — 1,297,890 Municipals — 154,867 — — 154,867 1,483,577 10,007,407 72,232 — 11,563,216 Equity securities Common stocks 87 — — — 87 Exchange-traded funds 491,319 — — — 491,319 Bond mutual funds — 134,965 — — 134,965 491,406 134,965 — — 626,371 Other investments Hedge funds — — — 532,233 532,233 Direct lending funds — — — 120,962 120,962 Private equity funds — — — 93,722 93,722 Real estate funds — — — 10,851 10,851 Other privately held investments — — 41,755 — 41,755 CLO - Equities — — 65,883 — 65,883 — — 107,638 757,768 865,406 Short-term investments — 41,086 — — 41,086 Other assets Derivative instruments (see Note 5) — 6,734 5 — 6,739 Insurance-linked securities — — 25,025 — 25,025 Total Assets $ 1,974,983 $ 10,190,192 $ 204,900 $ 757,768 $ 13,127,843 Liabilities Derivative instruments (see Note 5) $ — $ 4,542 $ 1,978 $ — $ 6,520 Cash settled awards (see Note 7) — 29,650 — — 29,650 Total Liabilities $ — $ 34,192 $ 1,978 $ — $ 36,170 Quoted Prices in Active Markets for Identical Assets (Level 1) Significant Other Observable Inputs (Level 2) Significant Unobservable Inputs (Level 3) Fair value based on NAV practical expedient Total Fair Value At December 31, 2015 Assets Fixed maturities U.S. government and agency $ 1,632,355 $ 19,594 $ — $ — $ 1,651,949 Non-U.S. government — 739,005 — — 739,005 Corporate debt — 4,324,251 38,518 — 4,362,769 Agency RMBS — 2,249,236 — — 2,249,236 CMBS — 1,072,376 10,922 — 1,083,298 Non-Agency RMBS — 101,008 — — 101,008 ABS — 1,371,270 — — 1,371,270 Municipals — 161,214 — — 161,214 1,632,355 10,037,954 49,440 — 11,719,749 Equity securities Common stocks — — — — — Exchange-traded funds 473,973 — — — 473,973 Bond mutual funds — 124,025 — — 124,025 473,973 124,025 — — 597,998 Other investments Hedge funds — — — 656,773 656,773 Direct lending funds — — — 90,120 90,120 Private equity funds — — — — — Real estate funds — — — 4,929 4,929 Other privately held investments — — — — — CLO - Equities — — 27,257 37,677 64,934 — — 27,257 789,499 816,756 Short-term investments — 34,406 — — 34,406 Other assets Derivative instruments (see Note 5) — 2,072 4,395 — 6,467 Insurance-linked securities — — 24,925 — 24,925 Total Assets $ 2,106,328 $ 10,198,457 $ 106,017 $ 789,499 $ 13,200,301 Liabilities Derivative instruments (see Note 5) $ — $ 7,692 $ 10,937 $ — $ 18,629 Cash settled awards (see Note 7) — 33,215 — — 33,215 Total Liabilities $ — $ 40,907 $ 10,937 $ — $ 51,844 During 2016 and 2015 , we had no transfers between Levels 1 and 2. Level 3 Fair Value Measurements Except for hedge funds, direct lending funds, private equity funds and real estate funds 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, 2016 for our investments classified as Level 3 in the fair value hierarchy. Fair Value Valuation Technique Unobservable Input Range Weighted Average Other investments - CLO - Equities $ 39,940 Discounted cash flow Default rates 4.0% 4.0% Loss severity rate 35.0% - 53.5% 36.5% Collateral spreads 3.2% - 4.0% 3.9% Estimated maturity dates 3 - 7 years 7 years 25,943 Liquidation value Fair value of collateral 100% 100% Discount margin 0.7% - 19.9% 4.2% Derivatives - Weather derivatives, net $ (1,973 ) Simulation model Weather curve 1 - 1914 (1) n/a (2) Weather standard deviation 1 - 230 (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 rely on the use of models to estimate the fair value of our investments in CLO - Equities. With all of our direct investments in CLO - Equities past the end of their reinvestment period, there is uncertainty over the remaining time until maturity. As such our direct investments in CLO - Equities are valued at the lower of the liquidation value and our internal discounted cash flow modelled estimate of fair value. The liquidation valuation is based on the fair value of the net underlying collateral which is determined by applying market discount margins by credit quality bucket. An increase (decrease) in the market discount margin would result in a decrease (increase) in value of our CLO - Equities. Regarding the discounted cash flow 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 process for CLO - Equities includes a review of the underlying cash flows and key assumptions used in the discounted cash flow model, and a review of the underlying collateral along with related discount margin by credit quality bucket. 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, 2016 Fixed maturities Corporate debt $ 40,250 $ 20,412 $ — $ (981 ) $ 1,164 $ 3,723 $ (2,105 ) $ (441 ) $ 62,022 $ — CMBS 10,551 — — — 58 — — (399 ) 10,210 — ABS — — — — — — — — — — 50,801 20,412 — (981 ) 1,222 3,723 (2,105 ) (840 ) 72,232 — Other investments Other privately held investments 36,712 — — (1,150 ) — 6,193 — — 41,755 (1,150 ) CLO - Equities 60,371 — — 10,028 — — — (4,516 ) 65,883 10,028 97,083 — — 8,878 — 6,193 — (4,516 ) 107,638 8,878 Other assets Derivative instruments 5,977 — — (358 ) — 446 — (6,060 ) 5 5 Insurance-linked securities 24,916 — — 109 — — — — 25,025 109 30,893 — — (249 ) — 446 — (6,060 ) 25,030 114 Total assets $ 178,777 $ 20,412 $ — $ 7,648 $ 1,222 $ 10,362 $ (2,105 ) $ (11,416 ) $ 204,900 $ 8,992 Other liabilities Derivative instruments $ 15,028 $ — $ — $ (809 ) $ — $ 1,830 $ — $ (14,071 ) $ 1,978 $ 110 Total liabilities $ 15,028 $ — $ — $ (809 ) $ — $ 1,830 $ — $ (14,071 ) $ 1,978 $ 110 Six months ended June 30, 2016 Fixed maturities Corporate debt $ 38,518 $ 20,412 $ (1,955 ) $ (979 ) $ 1,088 $ 9,544 $ (4,015 ) $ (591 ) $ 62,022 $ — CMBS 10,922 — — — (86 ) — — (626 ) 10,210 — ABS — — — — — — — — — — 49,440 20,412 (1,955 ) (979 ) 1,002 9,544 (4,015 ) (1,217 ) 72,232 — Other investments Other privately held investments — — — (1,150 ) — 42,905 — — 41,755 (1,150 ) CLO - Equities 27,257 36,378 — 9,012 — — — (6,764 ) 65,883 9,012 27,257 36,378 — 7,862 — 42,905 — (6,764 ) 107,638 7,862 Other assets Derivative instruments 4,395 — — 2,590 — 1,805 — (8,785 ) 5 5 Insurance-linked securities 24,925 — — 100 — — — — 25,025 100 29,320 — — 2,690 — 1,805 — (8,785 ) 25,030 105 Total assets $ 106,017 $ 56,790 $ (1,955 ) $ 9,573 $ 1,002 $ 54,254 $ (4,015 ) $ (16,766 ) $ 204,900 $ 7,967 Other liabilities Derivative instruments $ 10,937 $ — $ — $ 2,614 $ — $ 805 $ — $ (12,378 ) $ 1,978 $ 111 Total liabilities $ 10,937 $ — $ — $ 2,614 $ — $ 805 $ — $ (12,378 ) $ 1,978 $ 111 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 Other privately held investments — — — — — — — — — — CLO - Equities 36,960 — — 3,208 — — — (3,247 ) 36,921 3,208 36,960 — — 3,208 — — — (3,247 ) 36,921 3,208 Other assets Derivative instruments — — — 240 — — — — 240 240 Insurance-linked securities 25,000 — — (163 ) — — — — 24,837 (163 ) 25,000 — — 77 — — — — 25,077 77 Total assets $ 145,799 $ 5,072 $ (39,851 ) $ 3,285 $ 167 $ 20,714 $ — $ (8,170 ) $ 127,016 $ 3,285 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 Other privately held investments — — — — — — — — — — CLO - Equities 37,046 — — 6,738 — — — (6,863 ) 36,921 6,738 37,046 — — 6,738 — — — (6,863 ) 36,921 6,738 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 $ 110,788 $ 5,072 $ (39,851 ) $ 5,748 $ 205 $ 56,624 $ — $ (11,570 ) $ 127,016 $ 6,815 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 (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 months ended June 30, 2016 were primarily due to the lack of observable market inputs and multiple quotes from pricing vendors and broker-dealers for certain fixed maturities. The transfers into Level 3 during the six months ended June 30, 2016 were the result of a change in valuation methodology relating to our CLO equity fund. An income approach valuation technique (discounted cash flow model) is used to estimate fair value at June 30, 2016. As the NAV practical expedient is no longer used the CLO equity fund is now categorized within the fair value hierarchy. 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. Transfers out of Level 3 into Level 2 There were no transfers to Level 2 from Level 3 made during the three months ended June 30, 2016. The transfers to Level 2 from Level 3 made during the six months ended June 30, 2016 were primarily due to the availability of observable market inputs and quotes from pricing vendors on certain fixed maturities. 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. 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, 2016 , 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, 2016 , due to the fact that the loans are within their first two years of issue. 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, 2016 , our senior notes are recorded at amortized cost with a carrying value of $992 million ( 2015 : $992 million ) and have a fair value of $1,081 million ( 2015 : $1,058 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, 2016 | |
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. None of our derivative instruments are designated as hedges under current accounting guidance. June 30, 2016 December 31, 2015 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) Relating to investment portfolio: Foreign exchange forward contracts $ 75,429 $ 1,753 $ 134 $ 198,406 $ 490 $ 837 Interest rate swaps — — — — — — Relating to underwriting portfolio: Foreign exchange forward contracts 675,419 3,014 4,408 692,023 1,582 6,855 Weather-related contracts 17,345 5 1,978 51,395 4,395 10,937 Commodity contracts 181,000 1,967 — — — — Total derivatives $ 6,739 $ 6,520 $ 6,467 $ 18,629 (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, 2016 December 31, 2015 Gross Amounts Gross Amounts Offset Net Amounts (1) Gross Amounts Gross Amounts Offset Net Amounts (1) Derivative assets $ 13,849 $ (7,110 ) $ 6,739 $ 14,336 $ (7,869 ) $ 6,467 Derivative liabilities $ 13,630 $ (7,110 ) $ 6,520 $ 26,498 $ (7,869 ) $ 18,629 (1) Net asset and liability derivatives are classified within other assets and other liabilities in the Consolidated Balance Sheets. Refer to Note 3 - Investments for information on reverse repurchase agreements. Derivative Instruments not Designated as Hedging Instruments a) Relating to Investment Portfolio Foreign Currency Risk Within our investment portfolio we are exposed to foreign currency risk. Accordingly, the fair values for our investment portfolio are partially influenced by the change in foreign exchange rates. We may enter into foreign exchange forward contracts to manage the effect of this foreign currency risk. These foreign currency hedging activities are not designated as specific hedges for financial reporting purposes. 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. Weather Risk We 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, 2016 2015 2016 2015 Derivatives not designated as hedging instruments Relating to investment portfolio: Foreign exchange forward contracts Net realized investment gains (losses) $ 2,404 $ (1,716 ) $ (116 ) $ 4,822 Interest rate swaps Net realized investment gains (losses) — — — (4,006 ) Relating to underwriting portfolio: Foreign exchange forward contracts Foreign exchange losses (gains) (5,876 ) (1,011 ) (2,776 ) (16,284 ) Weather-related contracts Other insurance related income (losses) 451 3,625 (24 ) 10,968 Commodity contracts Other insurance related income (losses) (543 ) (890 ) (301 ) (890 ) Total $ (3,564 ) $ 8 $ (3,217 ) $ (5,390 ) |
RESERVE FOR LOSSES AND LOSS EXP
RESERVE FOR LOSSES AND LOSS EXPENSES | 6 Months Ended |
Jun. 30, 2016 | |
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, 2016 2015 Gross reserve for losses and loss expenses, beginning of period $ 9,646,285 $ 9,596,797 Less reinsurance recoverable on unpaid losses, beginning of period (2,031,309 ) (1,890,280 ) Net reserve for unpaid losses and loss expenses, beginning of period 7,614,976 7,706,517 Net incurred losses and loss expenses related to: Current year 1,279,369 1,213,160 Prior years (148,113 ) (120,679 ) 1,131,256 1,092,481 Net paid losses and loss expenses related to: Current year (112,730 ) (86,827 ) Prior years (966,589 ) (915,124 ) (1,079,319 ) (1,001,951 ) Foreign exchange and other (106,629 ) (125,666 ) Net reserve for unpaid losses and loss expenses, end of period 7,560,284 7,671,381 Reinsurance recoverable on unpaid losses, end of period 2,222,020 2,022,059 Gross reserve for losses and loss expenses, end of period $ 9,782,304 $ 9,693,440 We write business with loss experience generally characterized as low frequency and high severity in nature, which can result in volatility in our financial results. During the six months ended June 30, 2016 and 2015, we recognized aggregate net losses and loss expenses, net of reinstatement premiums of $124 million and $47 million , respectively, in relation to catastrophe and weather-related events. During April 2016, the Company entered into a quota share and adverse development cover reinsurance agreement, a retroactive contract which was deemed to have met the established criteria for retroactive reinsurance accounting. Foreign exchange and other includes reinsurance recoverables of $159 million related to this reinsurance agreement. 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, 2016 2015 2016 2015 Insurance $ 20,066 $ 15,421 $ 22,493 $ 18,783 Reinsurance 57,653 49,192 125,620 101,896 Total $ 77,719 $ 64,613 $ 148,113 $ 120,679 The majority of the net favorable prior year reserve development in each period related to short-tail reserve classes, with the exception of the three months ended June 30, 2016 where long-tail reserve classes contributed slightly more net favorable prior year reserve development than short-tail reserve classes. Net favorable prior year reserve development for motor, liability and professional reinsurance reserve classes in the three and six months ended June 30, 2016 and 2015 and professional insurance reserve class for the three and six months ended June 30, 2016, 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 reserve classes. The underlying exposures in the property and other, marine and aviation reserving classes within our insurance segment and the property and other reserving class within our reinsurance segment largely relate to short-tail business. Development from these classes contributed $27 million and $40 million of the total net favorable prior year reserve development for the three months ended June 30, 2016 and 2015 , respectively. For the six months ended June 30, 2016 and 2015, these short-tail lines contributed $75 million and $74 million , respectively, of net favorable prior year reserve development. The net favorable prior year reserve 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 reserve classes, credit and political risk insurance reserve class and the credit and surety reinsurance reserve class. In the three months ended June 30, 2016 and 2015, the professional reserve classes contributed net favorable prior year reserve development of $15 million and $3 million , respectively. For the six months ended June 30, 2016 and 2015, the professional reserve classes contributed $16 million and $23 million , respectively. The net favorable prior year development on these reserve classes continued to reflect the generally favorable experience on earlier accident years as we continued to transition to more experience based methods on these years. As our loss experience has generally been better than expected, this resulted in the recognition of net favorable prior year reserve development. In the six months ended June 30, 2015, we recorded net adverse prior year reserve development of $15 million in our credit and political risk insurance reserve class relating primarily to an increase in loss estimates for one specific claim. Our long-tail business consists primarily of liability and motor reserve classes. Our motor and liability reinsurance reserve classes contributed additional net favorable prior year reserve development of $32 million and $25 million in the three months ended June 30, 2016 and 2015 , respectively. For the six months ended June 30, 2016 and 2015, these long-tail reserve classes contributed $55 million and $44 million , respectively. The net favorable prior year reserve development for the motor reserve class related to favorable loss emergence trends on several classes of business spanning multiple accident years. The net favorable prior year reserve development for the liability reinsurance reserve class primarily reflected the progressively increased weight given by management to experience based indications on older accident years, which has generally been favorable. In the three and six months ended June 30, 2015, we recorded net adverse prior year reserve development of $6 million and $17 million , respectively, in our insurance liability reserve class related primarily to an increase in loss estimates for specific individual claim reserves. Our June 30, 2016 net reserve for losses and loss expenses includes estimated amounts for numerous catastrophe events. We caution that the magnitude and/or complexity of losses arising from certain of these events, in particular the Fort McMurray wildfires, Storm Sandy, the 2011 Japanese earthquake and tsunami, the three New Zealand earthquakes and the Tianjin port explosion, 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, 2016 | |
Disclosure of Compensation Related Costs, Share-based Payments [Abstract] | |
SHARE-BASED COMPENSATION | For the three months ended June 30, 2016 , we incurred share-based compensation costs of $19 million ( 2015 : $10 million ) and recorded associated tax benefits of $5 million ( 2015 : $4 million ). For the six months ended June 30, 2016 , we incurred share-based compensation costs of $36 million ( 2015 : $29 million ) and recorded associated tax benefits of $8 million ( 2015 : $8 million ). The total fair value of restricted stock, restricted stock units and cash settled awards vested during the six months ended June 30, 2016 was $62 million ( 2015 : $71 million ). At June 30, 2016 there were $122 million of unrecognized compensation costs, which are expected to be recognized over the weighted average period of 2.6 years . Awards to settle in shares The following table provides a reconciliation of the beginning and ending balance of nonvested restricted stock (including restricted stock units) for the six months ended June 30, 2016 : 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 (1) Nonvested restricted stock - beginning of period 201 $ 49.24 1,954 $ 43.34 Granted 104 53.80 584 53.84 Vested (16 ) 44.33 (774 ) 39.21 Forfeited — — (40 ) 46.51 Nonvested restricted stock - end of period 289 $ 51.14 1,724 $ 48.69 (1) Fair value is based on the closing price of our common shares on the New York Stock Exchange on the day of the grant. Cash-settled awards The following table provides a reconciliation of the beginning and ending balance of nonvested cash settled restricted stock units for the six months ended June 30, 2016 : Performance-based Cash Settled RSUs Service-based Cash Settled RSUs Number of Restricted Stock Units Number of Restricted Stock Units Nonvested restricted stock units - beginning of period 70 1,433 Granted 18 491 Vested — (366 ) Forfeited — (40 ) Nonvested restricted stock units - end of period 88 1,518 At June 30, 2016, the corresponding liability for cash-settled units, included in other liabilities on the Consolidated Balance Sheets, was $30 million (2015: $20 million ). |
EARNINGS PER COMMON SHARE
EARNINGS PER COMMON SHARE | 6 Months Ended |
Jun. 30, 2016 | |
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, 2016 2015 2016 2015 Basic earnings per common share Net income $ 129,460 $ 73,371 $ 177,846 $ 239,197 Less: preferred share dividends 9,969 10,022 19,938 20,044 Net income available to common shareholders 119,491 63,349 157,908 219,153 Weighted average common shares outstanding - basic (1) 91,926 100,274 92,980 100,093 Basic earnings per common share $ 1.30 $ 0.63 $ 1.70 $ 2.19 Diluted earnings per common share Net income available to common shareholders $ 119,491 $ 63,349 $ 157,908 $ 219,153 Weighted average common shares outstanding - basic (1) 91,926 100,274 92,980 100,093 Share based compensation plans 632 886 725 1,058 Weighted average common shares outstanding - diluted (1) 92,558 101,160 93,705 101,151 Diluted earnings per common share $ 1.29 $ 0.63 $ 1.69 $ 2.17 Anti-dilutive shares excluded from the dilutive computation 7 89 339 329 (1) On August 17, 2015 , the Company entered into an Accelerated Share Repurchase (“ASR”) agreement (see ' Note 9 - Shareholders' Equity' for additional detail). The weighted-average number of shares outstanding used in the computation of basic and diluted earnings per share reflects the Company’s receipt of 4,149,378 common shares delivered to the Company on August 20, 2015, and 1,358,380 common shares delivered to the company on January 15, 2016 under the Company's ASR agreement. |
SHAREHOLDERS' EQUITY
SHAREHOLDERS' EQUITY | 6 Months Ended |
Jun. 30, 2016 | |
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, 2016 2015 2016 2015 Shares issued, balance at beginning of period 176,556 176,190 176,240 175,478 Shares issued 19 16 335 728 Total shares issued at end of period 176,575 176,206 176,575 176,206 Treasury shares, balance at beginning of period (83,653 ) (75,971 ) (80,174 ) (76,052 ) Shares repurchased (2,337 ) (60 ) (6,247 ) (350 ) Shares reissued from treasury 69 109 500 480 Total treasury shares at end of period (85,921 ) (75,922 ) (85,921 ) (75,922 ) Total shares outstanding 90,654 100,284 90,654 100,284 Treasury Shares The following table presents our share repurchases: Three months ended June 30, Six months ended June 30, 2016 2015 2016 2015 In the open market: Total shares (1) 2,300 — 6,004 16 Total cost $ 125,000 $ — $ 310,000 $ 832 Average price per share (2) $ 54.35 $ — $ 51.63 $ 50.69 From employees: Total shares 37 60 243 334 Total cost $ 2,039 $ 3,158 $ 13,050 $ 17,097 Average price per share (2) $ 54.70 $ 52.51 $ 53.65 $ 51.17 Total shares repurchased: Total shares 2,337 60 6,247 350 Total cost $ 127,039 $ 3,158 $ 323,050 $ 17,929 Average price per share (2) $ 54.36 $ 52.51 $ 51.71 $ 51.22 (1) The six months ended June 30, 2016 includes 1,358,380 common shares acquired under the accelerated share repurchase program (see below for more detail). (2) Calculated using whole figures. Accelerated Share Repurchase Program On August 17, 2015 , the Company entered into an Accelerated Share Repurchase agreement with Goldman, Sachs & Co. (“Goldman Sachs”) to repurchase an aggregate of $300 million of the Company’s ordinary shares under an accelerated share repurchase program. During August, 2015 , under the terms of this agreement, the Company paid $300 million to Goldman Sachs and initially repurchased 4,149,378 ordinary shares. The initial shares acquired represented 80% of the $300 million total paid to Goldman Sachs and were calculated using the Company’s stock price at activation of the program. The ASR program is accounted for as an equity transaction. Accordingly, as at December 31, 2015, $240 million of common shares repurchased were included as treasury shares in the Consolidated Balance Sheet with the remaining $60 million included as a reduction to additional paid-in capital. On January 15, 2016 , Goldman Sachs early terminated the ASR agreement and delivered 1,358,380 additional common shares to the Company, resulting in the reduction from additional paid-in capital of $60 million being reclassified to treasury shares. In total, the Company repurchased 5,507,758 common shares under the ASR agreement at an average price of $ 54.47 . Series B Preferred Shares On January 27, 2016 we redeemed the remaining 28,430 Series B preferred shares, for an aggregate liquidation preference of $3 million . |
COMMITMENTS AND CONTINGENCIES
COMMITMENTS AND CONTINGENCIES | 6 Months Ended |
Jun. 30, 2016 | |
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, 2016 , we have unrecorded outstanding reinsurance purchase commitments of $92 million , of which $57 million is due in 2016 while the remaining $35 million is due in 2017. Actual payments under the reinsurance contracts will depend on the underlying subject premium and may exceed the minimum premium. Investments Refer ' Note 3 - Investments' for information on commitments related to our other investments. |
OTHER COMPREHENSIVE INCOME (LOS
OTHER COMPREHENSIVE INCOME (LOSS) | 6 Months Ended |
Jun. 30, 2016 | |
Equity [Abstract] | |
OTHER COMPREHENSIVE INCOME (LOSS) | The tax effects allocated to each component of other comprehensive income were as follows: 2016 2015 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 investment gains (losses) arising during the period $ 74,278 $ (10,593 ) $ 63,685 $ (86,076 ) $ 14,035 $ (72,041 ) Adjustment for reclassification of net realized investment gains (losses) and OTTI losses recognized in net income (18,604 ) 4,585 (14,019 ) 9,392 (535 ) 8,857 Unrealized investment gains (losses) arising during the period, net of reclassification adjustment 55,674 (6,008 ) 49,666 (76,684 ) 13,500 (63,184 ) Non-credit portion of OTTI losses — — — — — — Foreign currency translation adjustment (4,224 ) — (4,224 ) 2,188 — 2,188 Total other comprehensive income (loss), net of tax $ 51,450 $ (6,008 ) $ 45,442 $ (74,496 ) $ 13,500 $ (60,996 ) Six months ended June 30, Available for sale investments: Unrealized gains (losses) arising during the period $ 223,109 $ (20,790 ) $ 202,319 $ (81,013 ) $ 3,785 $ (77,228 ) Adjustment for reclassification of net realized investment gains (losses) and OTTI losses recognized in net income 45,388 (125 ) 45,263 54,489 (529 ) 53,960 Unrealized gains (losses) arising during the period, net of reclassification adjustment 268,497 (20,915 ) 247,582 (26,524 ) 3,256 (23,268 ) Non-credit portion of OTTI losses — — — — — — Foreign currency translation adjustment 3,972 — 3,972 (9,225 ) — (9,225 ) Total other comprehensive income (loss), net of tax $ 272,469 $ (20,915 ) $ 251,554 $ (35,749 ) $ 3,256 $ (32,493 ) 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, 2016 2015 2016 2015 Unrealized gains (losses) on available for sale investments Other realized investment gains (losses) $ 24,973 $ 3,501 $ (29,289 ) $ (24,028 ) OTTI losses (6,369 ) (12,893 ) (16,099 ) (30,461 ) Total before tax 18,604 (9,392 ) (45,388 ) (54,489 ) Income tax (expense) benefit (4,585 ) 535 125 529 Net of tax $ 14,019 $ (8,857 ) $ (45,263 ) $ (53,960 ) (1) Amounts in parentheses are debits to net income available to common shareholders. |
BASIS OF PRESENTATION AND ACC19
BASIS OF PRESENTATION AND ACCOUNTING POLICIES (POLICIES) | 6 Months Ended |
Jun. 30, 2016 | |
Accounting Policies [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, 2016 and the consolidated statements of operations, comprehensive income, shareholders' equity and cash flows for the periods ended June 30, 2016 and 2015 have not been audited. The balance sheet at December 31, 2015 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, 2015 . Tabular dollar and share amounts are in thousands, except per share amounts. All amounts are reported in U.S. dollars. To facilitate comparison of information across periods, certain reclassifications have been made to prior year amounts to conform to the current year's presentation. These reclassifications did not impact our results of operations, financial condition or liquidity. 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, 2015 , with the exception of the addition of accounting policies for equity method investments and retroactive accounting noted below. Equity Method Investments Investments in which the Company has significant influence over the operating and financial policies of the investee are classified as equity method investments and are accounted for using the equity method of accounting. In applying the equity method of accounting, investments are initially recorded at cost and are subsequently adjusted based on the Company’s proportionate share of net income or loss of the investee. Adjustments are based on the most recently available financial information from the investee. Retroactive Reinsurance Retroactive reinsurance reimburses a ceding company for liabilities incurred as a result of past insurable events covered under contracts subject to the reinsurance. In certain instances, reinsurance contracts cover losses both on a prospective basis and on a retroactive basis and where practical the Company bifurcates the prospective and retrospective elements of these reinsurance contracts and accounts for each element separately. Initial gains in connection with retroactive reinsurance contracts are deferred and amortized into income over the settlement period while losses are recognized immediately. When changes in the estimated amount recoverable from the reinsurer or in the timing of receipts related to that amount occur, a cumulative amortization adjustment is recognized in earnings in the period of the change so that the deferred gain reflects the balance that would have existed had the revised estimate been available at the inception of the reinsurance transaction. |
Reclassification | To facilitate comparison of information across periods, certain reclassifications have been made to prior year amounts to conform to the current year's presentation. These reclassifications did not impact our results of operations, financial condition or liquidity. |
Equity Method Investments | Equity Method Investments Investments in which the Company has significant influence over the operating and financial policies of the investee are classified as equity method investments and are accounted for using the equity method of accounting. In applying the equity method of accounting, investments are initially recorded at cost and are subsequently adjusted based on the Company’s proportionate share of net income or loss of the investee. Adjustments are based on the most recently available financial information from the investee. |
Retroactive Reinsurance | Retroactive Reinsurance Retroactive reinsurance reimburses a ceding company for liabilities incurred as a result of past insurable events covered under contracts subject to the reinsurance. In certain instances, reinsurance contracts cover losses both on a prospective basis and on a retroactive basis and where practical the Company bifurcates the prospective and retrospective elements of these reinsurance contracts and accounts for each element separately. Initial gains in connection with retroactive reinsurance contracts are deferred and amortized into income over the settlement period while losses are recognized immediately. When changes in the estimated amount recoverable from the reinsurer or in the timing of receipts related to that amount occur, a cumulative amortization adjustment is recognized in earnings in the period of the change so that the deferred gain reflects the balance that would have existed had the revised estimate been available at the inception of the reinsurance transaction. |
New Accounting Standards Adopted in 2016 | New Accounting Standards Adopted in 2016 Share-Based Compensation Effective January 1, 2016, the Company adopted the Accounting Standards Update ("ASU") 2014-12, "Accounting for Share-Based Payments When the Terms of an Award Provide That a Performance Target Could be Achieved after the Requisite Service Period" issued by the Financial Accounting Standards Board (the "FASB"). This guidance requires that compensation costs be recognized in the period in which it becomes probable that the performance target will be achieved and to represent the compensation cost attributable to the period(s) for which the requisite service has already been rendered. This guidance was issued to clarify treatment where there was a divergence in accounting practice and its adoption did not impact our results of operations, financial condition or liquidity. Debt Issuance Costs Effective January 1, 2016, the Company adopted ASU 2015-03, "Simplifying the Presentation of Debt Issuance Costs" issued by the FASB. This guidance requires the debt issuance costs related to a recognized debt liability to be presented in the balance sheet as a direct deduction from the debt liability rather than as an asset. This guidance was issued to simplify the presentation of debt issuance costs and to resolve conflicting guidance. This guidance did not impact our results of operations, financial condition or liquidity. Investments Measured Using The Net Asset Value Per Share ("NAV") Practical Expedient Effective January 1, 2016, the Company adopted ASU 2015-07, "Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or its Equivalent)" issued by the FASB. This guidance eliminated the requirement to categorize investments measured using the NAV practical expedient in the fair value hierarchy table. As this new guidance related solely to disclosures, the adoption did not impact our results of operations, financial condition or liquidity. The updated disclosures have been provided in Note 4 'Fair Value Measurements' . |
Recently Issued Accounting Standards Not Yet Adopted | Recently Issued Accounting Standards Not Yet Adopted Leases In February 2016, the FASB issued guidance that provides a new comprehensive model for lease accounting. The guidance will require most leases to be recognized on the balance sheet by recording a right-of-use asset and a corresponding lease liability. This guidance is effective for reporting periods beginning after December 15, 2018, and interim periods within those fiscal years with early adoption permitted. The Company is currently evaluating the impact of this guidance on our results of operations, financial condition and liquidity. Transition To Equity Method Of Accounting In March 2016, the FASB issued new guidance eliminating the requirement that an investor retrospectively apply equity method accounting when an existing investment qualifies for equity method accounting. The guidance is effective for annual periods beginning after December 15, 2016, and interim periods within those fiscal years with early adoption permitted. The guidance will be adopted on a prospective basis. The adoption of this guidance is not expected to materially impact our results of operations, financial condition or liquidity. Share-Based Compensation Accounting In March 2016, the FASB issued new guidance that will change the accounting for certain aspects of share-based compensation payments to employees. The guidance will require all income tax effects of awards to be recognized in the income statement when the awards vest or are settled. The guidance will also allow employers to increase the amounts withheld to cover income taxes on share-based compensation awards without requiring liability classification. Additionally, companies will be required to elect whether they will account for award forfeitures by recognizing forfeitures only as they occur or by estimating the number of awards expected to be forfeited. This guidance is effective for annual periods beginning after December 15, 2016, and interim periods within those fiscal years with early adoption permitted. The Company is currently evaluating the impact of this guidance on our results of operations, financial condition and liquidity. Credit Losses In June 2016, the FASB issued a new credit loss standard that changes the impairment model for most financial assets and certain other instruments. The guidance will replace the current "incurred loss" approach with a more forward looking "expected loss" model for instruments measured at amortized cost and will require entities to record allowances for available-for-sale debt securities rather than reduce the carrying amount. This guidance is effective for annual periods beginning after December 15, 2019, and interim periods within those fiscal years. Early adoption is permitted for annual periods beginning after December 15, 2018, and interim periods within those fiscal years. The Company is currently evaluating the impact of this guidance on our results of operations, financial condition and liquidity. |
SEGMENT INFORMATION (TABLES)
SEGMENT INFORMATION (TABLES) | 6 Months Ended |
Jun. 30, 2016 | |
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: 2016 2015 Three months ended and at June 30, Insurance Reinsurance Total Insurance Reinsurance Total Gross premiums written $ 784,017 $ 536,417 $ 1,320,434 $ 761,126 $ 427,287 $ 1,188,413 Net premiums written 526,764 480,586 1,007,350 534,263 412,281 946,544 Net premiums earned 439,279 507,711 946,990 452,322 488,889 941,211 Other insurance related income (loss) (234 ) (658 ) (892 ) 269 3,217 3,486 Net losses and loss expenses (306,141 ) (326,153 ) (632,294 ) (297,534 ) (282,619 ) (580,153 ) Acquisition costs (61,829 ) (127,296 ) (189,125 ) (66,920 ) (116,343 ) (183,263 ) General and administrative expenses (82,487 ) (32,332 ) (114,819 ) (88,420 ) (36,013 ) (124,433 ) Underwriting income (loss) $ (11,412 ) $ 21,272 9,860 $ (283 ) $ 57,131 56,848 Corporate expenses (31,927 ) (24,049 ) Net investment income 91,730 88,544 Net realized investment gains (losses) 21,010 (11,110 ) Foreign exchange (losses) gains 56,602 (22,108 ) Interest expense and financing costs (12,914 ) (12,939 ) Income before income taxes $ 134,361 $ 75,186 Net loss and loss expense ratio 69.7 % 64.2 % 66.8 % 65.8 % 57.8 % 61.6 % Acquisition cost ratio 14.1 % 25.1 % 20.0 % 14.8 % 23.8 % 19.5 % General and administrative expense ratio 18.7 % 6.4 % 15.4 % 19.5 % 7.4 % 15.8 % Combined ratio 102.5 % 95.7 % 102.2 % 100.1 % 89.0 % 96.9 % Goodwill and intangible assets $ 85,954 $ — $ 85,954 $ 101,053 $ — $ 101,053 2016 2015 Six months ended and at June 30, Insurance Reinsurance Total Insurance Reinsurance Total Gross premiums written $ 1,437,365 $ 1,842,230 $ 3,279,595 $ 1,363,850 $ 1,503,495 $ 2,867,345 Net premiums written 999,926 1,693,230 2,693,156 971,004 1,431,086 2,402,090 Net premiums earned 877,958 971,373 1,849,331 899,789 945,475 1,845,264 Other insurance related income (loss) (96 ) (998 ) (1,094 ) 269 10,893 11,162 Net losses and loss expenses (580,546 ) (550,710 ) (1,131,256 ) (583,307 ) (509,174 ) (1,092,481 ) Acquisition costs (123,227 ) (246,534 ) (369,761 ) (131,375 ) (223,430 ) (354,805 ) General and administrative expenses (168,064 ) (70,345 ) (238,409 ) (176,109 ) (75,393 ) (251,502 ) Underwriting income $ 6,025 $ 102,786 108,811 $ 9,267 $ 148,371 157,638 Corporate expenses (58,239 ) (60,221 ) Net investment income 140,896 180,651 Net realized investment losses (45,500 ) (53,662 ) Foreign exchange gains 55,986 41,112 Interest expense and financing costs (25,747 ) (25,196 ) Income before income taxes $ 176,207 $ 240,322 Net loss and loss expense ratio 66.1 % 56.7 % 61.2 % 64.8 % 53.9 % 59.2 % Acquisition cost ratio 14.0 % 25.4 % 20.0 % 14.6 % 23.6 % 19.2 % General and administrative expense ratio 19.2 % 7.2 % 16.0 % 19.6 % 8.0 % 16.9 % Combined ratio 99.3 % 89.3 % 97.2 % 99.0 % 85.5 % 95.3 % Goodwill and intangible assets $ 85,954 $ — $ 85,954 $ 101,053 $ — $ 101,053 |
INVESTMENTS (TABLES)
INVESTMENTS (TABLES) | 6 Months Ended |
Jun. 30, 2016 | |
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, 2016 Fixed maturities U.S. government and agency $ 1,484,802 $ 32,471 $ (1,895 ) $ 1,515,378 $ — Non-U.S. government 691,649 5,178 (54,012 ) 642,815 — Corporate debt 4,366,370 83,692 (47,771 ) 4,402,291 — Agency RMBS (1) 2,328,647 55,587 (652 ) 2,383,582 — CMBS (2) 1,060,897 22,727 (2,589 ) 1,081,035 — Non-Agency RMBS 85,450 1,594 (1,686 ) 85,358 (831 ) ABS (3) 1,307,495 2,590 (12,195 ) 1,297,890 — Municipals (4) 149,983 5,371 (487 ) 154,867 — Total fixed maturities $ 11,475,293 $ 209,210 $ (121,287 ) $ 11,563,216 $ (831 ) Equity securities Common stocks $ 379 $ 26 $ (318 ) $ 87 Exchange-traded funds 467,032 28,412 (4,125 ) 491,319 Bond mutual funds 133,909 1,056 — 134,965 Total equity securities $ 601,320 $ 29,494 $ (4,443 ) $ 626,371 At December 31, 2015 Fixed maturities U.S. government and agency $ 1,673,617 $ 1,545 $ (23,213 ) $ 1,651,949 $ — Non-U.S. government 809,025 2,312 (72,332 ) 739,005 — Corporate debt 4,442,315 16,740 (96,286 ) 4,362,769 — Agency RMBS (1) 2,236,138 22,773 (9,675 ) 2,249,236 — CMBS (2) 1,088,595 3,885 (9,182 ) 1,083,298 — Non-Agency RMBS 99,989 1,992 (973 ) 101,008 (875 ) ABS (3) 1,387,919 952 (17,601 ) 1,371,270 — Municipals (4) 160,041 2,319 (1,146 ) 161,214 — Total fixed maturities $ 11,897,639 $ 52,518 $ (230,408 ) $ 11,719,749 $ (875 ) Equity securities Common stocks $ — $ — $ — $ — Exchange-traded funds 447,524 31,211 (4,762 ) 473,973 Bond mutual funds 128,252 — (4,227 ) 124,025 Total equity securities $ 575,776 $ 31,211 $ (8,989 ) $ 597,998 (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, 2016 Maturity Due in one year or less $ 328,830 $ 320,923 2.9 % Due after one year through five years 3,778,226 3,773,989 32.6 % Due after five years through ten years 2,260,438 2,286,068 19.8 % Due after ten years 325,310 334,371 2.9 % 6,692,804 6,715,351 58.2 % Agency RMBS 2,328,647 2,383,582 20.6 % CMBS 1,060,897 1,081,035 9.3 % Non-Agency RMBS 85,450 85,358 0.7 % ABS 1,307,495 1,297,890 11.2 % Total $ 11,475,293 $ 11,563,216 100.0 % At December 31, 2015 Maturity Due in one year or less $ 291,368 $ 289,571 2.5 % Due after one year through five years 4,217,515 4,142,802 35.3 % Due after five years through ten years 2,263,684 2,181,525 18.6 % Due after ten years 312,431 301,039 2.6 % 7,084,998 6,914,937 59.0 % Agency RMBS 2,236,138 2,249,236 19.2 % CMBS 1,088,595 1,083,298 9.2 % Non-Agency RMBS 99,989 101,008 0.9 % ABS 1,387,919 1,371,270 11.7 % Total $ 11,897,639 $ 11,719,749 100.0 % |
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, 2016 Fixed maturities U.S. government and agency $ 66,551 $ (1,864 ) $ 80,664 $ (31 ) $ 147,215 $ (1,895 ) Non-U.S. government 127,388 (36,001 ) 271,036 (18,011 ) 398,424 (54,012 ) Corporate debt 342,184 (28,316 ) 673,041 (19,455 ) 1,015,225 (47,771 ) Agency RMBS 74,590 (449 ) 54,383 (203 ) 128,973 (652 ) CMBS 113,021 (1,573 ) 230,571 (1,016 ) 343,592 (2,589 ) Non-Agency RMBS 10,366 (331 ) 11,773 (1,355 ) 22,139 (1,686 ) ABS 765,201 (10,568 ) 215,552 (1,627 ) 980,753 (12,195 ) Municipals 14,954 (479 ) 2,402 (8 ) 17,356 (487 ) Total fixed maturities $ 1,514,255 $ (79,581 ) $ 1,539,422 $ (41,706 ) $ 3,053,677 $ (121,287 ) Equity securities Common stocks $ — $ — $ 61 $ (318 ) $ 61 $ (318 ) Exchange-traded funds 5,337 (327 ) 86,292 (3,798 ) 91,629 (4,125 ) Bond mutual funds — — — — — — Total equity securities $ 5,337 $ (327 ) $ 86,353 $ (4,116 ) $ 91,690 $ (4,443 ) At December 31, 2015 Fixed maturities U.S. government and agency $ 84,179 $ (7,622 ) $ 1,474,202 $ (15,591 ) $ 1,558,381 $ (23,213 ) Non-U.S. government 170,269 (50,841 ) 317,693 (21,491 ) 487,962 (72,332 ) Corporate debt 340,831 (33,441 ) 2,845,375 (62,845 ) 3,186,206 (96,286 ) Agency RMBS 64,792 (1,609 ) 1,073,566 (8,066 ) 1,138,358 (9,675 ) CMBS 75,627 (1,579 ) 659,480 (7,603 ) 735,107 (9,182 ) Non-Agency RMBS 5,283 (210 ) 43,199 (763 ) 48,482 (973 ) ABS 562,599 (11,158 ) 667,448 (6,443 ) 1,230,047 (17,601 ) Municipals 14,214 (310 ) 64,104 (836 ) 78,318 (1,146 ) Total fixed maturities $ 1,317,794 $ (106,770 ) $ 7,145,067 $ (123,638 ) $ 8,462,861 $ (230,408 ) Equity securities Common stocks $ — $ — $ — $ — $ — $ — Exchange-traded funds 2,331 (313 ) 110,972 (4,449 ) 113,303 (4,762 ) Bond mutual funds — — 124,025 (4,227 ) 124,025 (4,227 ) Total equity securities $ 2,331 $ (313 ) $ 234,997 $ (8,676 ) $ 237,328 $ (8,989 ) |
MORTGAGE LOANS NET OF VALUATION ALLOWANCE | The following table provides a breakdown of our mortgage loans held-for-investment: June 30, 2016 December 31, 2015 Carrying Value % of Total Carrying Value % of Total Mortgage Loans held-for-investment: Commercial $ 327,315 100 % $ 206,277 100 % 327,315 100 % 206,277 100 % Valuation allowances — — % — — % Total Mortgage Loans held-for-investment $ 327,315 100 % $ 206,277 100 % |
PORTFOLIO OF OTHER INVESTMENTS | The following table provides a breakdown of our investments in hedge funds, direct lending funds, private equity funds, real estate funds, CLO Equities and other privately held investments, together with additional information relating to the liquidity of each category: Fair Value Redemption Frequency (if currently eligible) Redemption Notice Period At June 30, 2016 Long/short equity funds $ 126,579 15 % Quarterly, Semi-annually, Annually 45-60 days Multi-strategy funds 314,687 36 % Quarterly, Semi-annually 60-95 days Event-driven funds 90,902 11 % Quarterly, Annually 45-60 days Leveraged bank loan funds 65 — % n/a n/a Direct lending funds 120,962 14 % n/a n/a Private equity funds 93,722 11 % n/a n/a Real estate funds 10,851 1 % n/a n/a CLO - Equities 65,883 7 % n/a n/a Other privately held investments 41,755 5 % n/a n/a Total other investments $ 865,406 100 % At December 31, 2015 Long/short equity funds $ 154,348 19 % Quarterly, Semi-annually, Annually 45-60 days Multi-strategy funds 355,073 43 % Quarterly, Semi-annually 60-95 days Event-driven funds 147,287 18 % Quarterly, Annually 45-60 days Leveraged bank loan funds 65 — % n/a n/a Direct lending funds 90,120 11 % n/a n/a Private equity funds — — % n/a n/a Real estate funds 4,929 1 % n/a n/a CLO - Equities 64,934 8 % n/a n/a Other privately held investments — — % n/a n/a Total other investments $ 816,756 100 % 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, 2016 2015 2016 2015 Fixed maturities $ 77,621 $ 77,998 $ 153,596 $ 144,086 Other investments 14,401 14,102 (12,477 ) 45,037 Equity securities 3,065 2,674 8,210 4,350 Mortgage loans 1,807 281 3,492 294 Cash and cash equivalents 1,868 1,678 3,303 2,777 Short-term investments 165 125 371 194 Gross investment income 98,927 96,858 156,495 196,738 Investment expenses (7,197 ) (8,314 ) (15,599 ) (16,087 ) Net investment income $ 91,730 $ 88,544 $ 140,896 $ 180,651 |
NET REALIZED INVESTMENT GAINS (LOSSES) | The following table provides an analysis of net realized investment losses: Three months ended June 30, Six months ended June 30, 2016 2015 2016 2015 Gross realized gains Fixed maturities and short-term investments $ 25,458 $ 17,066 $ 41,622 $ 32,727 Equities 9,693 177 13,234 215 Gross realized gains 35,151 17,243 54,856 32,942 Gross realized losses Fixed maturities and short-term investments (9,617 ) (13,474 ) (68,794 ) (56,565 ) Equities (559 ) (270 ) (15,347 ) (394 ) Gross realized losses (10,176 ) (13,744 ) (84,141 ) (56,959 ) Net OTTI recognized in earnings (6,369 ) (12,893 ) (16,099 ) (30,461 ) Change in fair value of investment derivatives (1) 2,404 (1,716 ) (116 ) 816 Net realized investment gains (losses) $ 21,010 $ (11,110 ) $ (45,500 ) $ (53,662 ) (1) Refer to Note 5 – Derivative Instruments |
OTTI RECOGNIZED IN EARNINGS BY ASSET CLASS | The following table summarizes the OTTI recognized in earnings by asset class: Three months ended June 30, Six months ended June 30, 2016 2015 2016 2015 Fixed maturities: Non-U.S. government $ 497 $ — $ 497 $ 1,422 Corporate debt 5,872 1,689 13,042 17,808 Non-Agency RMBS — — — 4 ABS — 18 — 41 6,369 1,707 13,539 19,275 Equity Securities Exchange-traded funds — — 2,560 — Bond mutual funds — 11,186 — 11,186 — 11,186 2,560 11,186 Total OTTI recognized in earnings $ 6,369 $ 12,893 $ 16,099 $ 30,461 |
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, 2016 2015 2016 2015 Balance at beginning of period $ 1,506 $ 1,541 $ 1,506 $ 1,531 Credit impairments recognized on securities not previously impaired — — — — Additional credit impairments recognized on securities previously impaired 7 23 7 33 Change in timing of future cash flows on securities previously impaired — — — — Intent to sell of securities previously impaired — — — — Securities sold/redeemed/matured — — — — Balance at end of period $ 1,513 $ 1,564 $ 1,513 $ 1,564 |
FAIR VALUE MEASUREMENTS (TABLES
FAIR VALUE MEASUREMENTS (TABLES) | 6 Months Ended |
Jun. 30, 2016 | |
Fair Value Disclosures [Abstract] | |
FINANCIAL INSTRUMENTS MEASURED AT FAIR VALUE ON A RECURRING BASIS | The tables below present the financial instruments measured at fair value on a recurring basis for the periods indicated: Quoted Prices in Active Markets for Identical Assets (Level 1) Significant Other Observable Inputs (Level 2) Significant Unobservable Inputs (Level 3) Fair value based on NAV practical expedient Total Fair Value At June 30, 2016 Assets Fixed maturities U.S. government and agency $ 1,483,577 $ 31,801 $ — $ — $ 1,515,378 Non-U.S. government — 642,815 — — 642,815 Corporate debt — 4,340,269 62,022 — 4,402,291 Agency RMBS — 2,383,582 — — 2,383,582 CMBS — 1,070,825 10,210 — 1,081,035 Non-Agency RMBS — 85,358 — — 85,358 ABS — 1,297,890 — — 1,297,890 Municipals — 154,867 — — 154,867 1,483,577 10,007,407 72,232 — 11,563,216 Equity securities Common stocks 87 — — — 87 Exchange-traded funds 491,319 — — — 491,319 Bond mutual funds — 134,965 — — 134,965 491,406 134,965 — — 626,371 Other investments Hedge funds — — — 532,233 532,233 Direct lending funds — — — 120,962 120,962 Private equity funds — — — 93,722 93,722 Real estate funds — — — 10,851 10,851 Other privately held investments — — 41,755 — 41,755 CLO - Equities — — 65,883 — 65,883 — — 107,638 757,768 865,406 Short-term investments — 41,086 — — 41,086 Other assets Derivative instruments (see Note 5) — 6,734 5 — 6,739 Insurance-linked securities — — 25,025 — 25,025 Total Assets $ 1,974,983 $ 10,190,192 $ 204,900 $ 757,768 $ 13,127,843 Liabilities Derivative instruments (see Note 5) $ — $ 4,542 $ 1,978 $ — $ 6,520 Cash settled awards (see Note 7) — 29,650 — — 29,650 Total Liabilities $ — $ 34,192 $ 1,978 $ — $ 36,170 Quoted Prices in Active Markets for Identical Assets (Level 1) Significant Other Observable Inputs (Level 2) Significant Unobservable Inputs (Level 3) Fair value based on NAV practical expedient Total Fair Value At December 31, 2015 Assets Fixed maturities U.S. government and agency $ 1,632,355 $ 19,594 $ — $ — $ 1,651,949 Non-U.S. government — 739,005 — — 739,005 Corporate debt — 4,324,251 38,518 — 4,362,769 Agency RMBS — 2,249,236 — — 2,249,236 CMBS — 1,072,376 10,922 — 1,083,298 Non-Agency RMBS — 101,008 — — 101,008 ABS — 1,371,270 — — 1,371,270 Municipals — 161,214 — — 161,214 1,632,355 10,037,954 49,440 — 11,719,749 Equity securities Common stocks — — — — — Exchange-traded funds 473,973 — — — 473,973 Bond mutual funds — 124,025 — — 124,025 473,973 124,025 — — 597,998 Other investments Hedge funds — — — 656,773 656,773 Direct lending funds — — — 90,120 90,120 Private equity funds — — — — — Real estate funds — — — 4,929 4,929 Other privately held investments — — — — — CLO - Equities — — 27,257 37,677 64,934 — — 27,257 789,499 816,756 Short-term investments — 34,406 — — 34,406 Other assets Derivative instruments (see Note 5) — 2,072 4,395 — 6,467 Insurance-linked securities — — 24,925 — 24,925 Total Assets $ 2,106,328 $ 10,198,457 $ 106,017 $ 789,499 $ 13,200,301 Liabilities Derivative instruments (see Note 5) $ — $ 7,692 $ 10,937 $ — $ 18,629 Cash settled awards (see Note 7) — 33,215 — — 33,215 Total Liabilities $ — $ 40,907 $ 10,937 $ — $ 51,844 |
LEVEL 3 FAIR VALUE MEASUREMENT INPUTS | Except for hedge funds, direct lending funds, private equity funds and real estate funds 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, 2016 for our investments classified as Level 3 in the fair value hierarchy. Fair Value Valuation Technique Unobservable Input Range Weighted Average Other investments - CLO - Equities $ 39,940 Discounted cash flow Default rates 4.0% 4.0% Loss severity rate 35.0% - 53.5% 36.5% Collateral spreads 3.2% - 4.0% 3.9% Estimated maturity dates 3 - 7 years 7 years 25,943 Liquidation value Fair value of collateral 100% 100% Discount margin 0.7% - 19.9% 4.2% Derivatives - Weather derivatives, net $ (1,973 ) Simulation model Weather curve 1 - 1914 (1) n/a (2) Weather standard deviation 1 - 230 (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, LIABILITIES | 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, 2016 Fixed maturities Corporate debt $ 40,250 $ 20,412 $ — $ (981 ) $ 1,164 $ 3,723 $ (2,105 ) $ (441 ) $ 62,022 $ — CMBS 10,551 — — — 58 — — (399 ) 10,210 — ABS — — — — — — — — — — 50,801 20,412 — (981 ) 1,222 3,723 (2,105 ) (840 ) 72,232 — Other investments Other privately held investments 36,712 — — (1,150 ) — 6,193 — — 41,755 (1,150 ) CLO - Equities 60,371 — — 10,028 — — — (4,516 ) 65,883 10,028 97,083 — — 8,878 — 6,193 — (4,516 ) 107,638 8,878 Other assets Derivative instruments 5,977 — — (358 ) — 446 — (6,060 ) 5 5 Insurance-linked securities 24,916 — — 109 — — — — 25,025 109 30,893 — — (249 ) — 446 — (6,060 ) 25,030 114 Total assets $ 178,777 $ 20,412 $ — $ 7,648 $ 1,222 $ 10,362 $ (2,105 ) $ (11,416 ) $ 204,900 $ 8,992 Other liabilities Derivative instruments $ 15,028 $ — $ — $ (809 ) $ — $ 1,830 $ — $ (14,071 ) $ 1,978 $ 110 Total liabilities $ 15,028 $ — $ — $ (809 ) $ — $ 1,830 $ — $ (14,071 ) $ 1,978 $ 110 Six months ended June 30, 2016 Fixed maturities Corporate debt $ 38,518 $ 20,412 $ (1,955 ) $ (979 ) $ 1,088 $ 9,544 $ (4,015 ) $ (591 ) $ 62,022 $ — CMBS 10,922 — — — (86 ) — — (626 ) 10,210 — ABS — — — — — — — — — — 49,440 20,412 (1,955 ) (979 ) 1,002 9,544 (4,015 ) (1,217 ) 72,232 — Other investments Other privately held investments — — — (1,150 ) — 42,905 — — 41,755 (1,150 ) CLO - Equities 27,257 36,378 — 9,012 — — — (6,764 ) 65,883 9,012 27,257 36,378 — 7,862 — 42,905 — (6,764 ) 107,638 7,862 Other assets Derivative instruments 4,395 — — 2,590 — 1,805 — (8,785 ) 5 5 Insurance-linked securities 24,925 — — 100 — — — — 25,025 100 29,320 — — 2,690 — 1,805 — (8,785 ) 25,030 105 Total assets $ 106,017 $ 56,790 $ (1,955 ) $ 9,573 $ 1,002 $ 54,254 $ (4,015 ) $ (16,766 ) $ 204,900 $ 7,967 Other liabilities Derivative instruments $ 10,937 $ — $ — $ 2,614 $ — $ 805 $ — $ (12,378 ) $ 1,978 $ 111 Total liabilities $ 10,937 $ — $ — $ 2,614 $ — $ 805 $ — $ (12,378 ) $ 1,978 $ 111 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 Other privately held investments — — — — — — — — — — CLO - Equities 36,960 — — 3,208 — — — (3,247 ) 36,921 3,208 36,960 — — 3,208 — — — (3,247 ) 36,921 3,208 Other assets Derivative instruments — — — 240 — — — — 240 240 Insurance-linked securities 25,000 — — (163 ) — — — — 24,837 (163 ) 25,000 — — 77 — — — — 25,077 77 Total assets $ 145,799 $ 5,072 $ (39,851 ) $ 3,285 $ 167 $ 20,714 $ — $ (8,170 ) $ 127,016 $ 3,285 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 Other privately held investments — — — — — — — — — — CLO - Equities 37,046 — — 6,738 — — — (6,863 ) 36,921 6,738 37,046 — — 6,738 — — — (6,863 ) 36,921 6,738 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 $ 110,788 $ 5,072 $ (39,851 ) $ 5,748 $ 205 $ 56,624 $ — $ (11,570 ) $ 127,016 $ 6,815 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 (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. |
CHANGES IN LEVEL 3 FINANCIAL INSTRUMENTS MEASURED AT FAIR VALUE ON A RECURRING BASIS, ASSETS | 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, 2016 Fixed maturities Corporate debt $ 40,250 $ 20,412 $ — $ (981 ) $ 1,164 $ 3,723 $ (2,105 ) $ (441 ) $ 62,022 $ — CMBS 10,551 — — — 58 — — (399 ) 10,210 — ABS — — — — — — — — — — 50,801 20,412 — (981 ) 1,222 3,723 (2,105 ) (840 ) 72,232 — Other investments Other privately held investments 36,712 — — (1,150 ) — 6,193 — — 41,755 (1,150 ) CLO - Equities 60,371 — — 10,028 — — — (4,516 ) 65,883 10,028 97,083 — — 8,878 — 6,193 — (4,516 ) 107,638 8,878 Other assets Derivative instruments 5,977 — — (358 ) — 446 — (6,060 ) 5 5 Insurance-linked securities 24,916 — — 109 — — — — 25,025 109 30,893 — — (249 ) — 446 — (6,060 ) 25,030 114 Total assets $ 178,777 $ 20,412 $ — $ 7,648 $ 1,222 $ 10,362 $ (2,105 ) $ (11,416 ) $ 204,900 $ 8,992 Other liabilities Derivative instruments $ 15,028 $ — $ — $ (809 ) $ — $ 1,830 $ — $ (14,071 ) $ 1,978 $ 110 Total liabilities $ 15,028 $ — $ — $ (809 ) $ — $ 1,830 $ — $ (14,071 ) $ 1,978 $ 110 Six months ended June 30, 2016 Fixed maturities Corporate debt $ 38,518 $ 20,412 $ (1,955 ) $ (979 ) $ 1,088 $ 9,544 $ (4,015 ) $ (591 ) $ 62,022 $ — CMBS 10,922 — — — (86 ) — — (626 ) 10,210 — ABS — — — — — — — — — — 49,440 20,412 (1,955 ) (979 ) 1,002 9,544 (4,015 ) (1,217 ) 72,232 — Other investments Other privately held investments — — — (1,150 ) — 42,905 — — 41,755 (1,150 ) CLO - Equities 27,257 36,378 — 9,012 — — — (6,764 ) 65,883 9,012 27,257 36,378 — 7,862 — 42,905 — (6,764 ) 107,638 7,862 Other assets Derivative instruments 4,395 — — 2,590 — 1,805 — (8,785 ) 5 5 Insurance-linked securities 24,925 — — 100 — — — — 25,025 100 29,320 — — 2,690 — 1,805 — (8,785 ) 25,030 105 Total assets $ 106,017 $ 56,790 $ (1,955 ) $ 9,573 $ 1,002 $ 54,254 $ (4,015 ) $ (16,766 ) $ 204,900 $ 7,967 Other liabilities Derivative instruments $ 10,937 $ — $ — $ 2,614 $ — $ 805 $ — $ (12,378 ) $ 1,978 $ 111 Total liabilities $ 10,937 $ — $ — $ 2,614 $ — $ 805 $ — $ (12,378 ) $ 1,978 $ 111 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 Other privately held investments — — — — — — — — — — CLO - Equities 36,960 — — 3,208 — — — (3,247 ) 36,921 3,208 36,960 — — 3,208 — — — (3,247 ) 36,921 3,208 Other assets Derivative instruments — — — 240 — — — — 240 240 Insurance-linked securities 25,000 — — (163 ) — — — — 24,837 (163 ) 25,000 — — 77 — — — — 25,077 77 Total assets $ 145,799 $ 5,072 $ (39,851 ) $ 3,285 $ 167 $ 20,714 $ — $ (8,170 ) $ 127,016 $ 3,285 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 Other privately held investments — — — — — — — — — — CLO - Equities 37,046 — — 6,738 — — — (6,863 ) 36,921 6,738 37,046 — — 6,738 — — — (6,863 ) 36,921 6,738 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 $ 110,788 $ 5,072 $ (39,851 ) $ 5,748 $ 205 $ 56,624 $ — $ (11,570 ) $ 127,016 $ 6,815 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 (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, 2016 | |
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. None of our derivative instruments are designated as hedges under current accounting guidance. June 30, 2016 December 31, 2015 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) Relating to investment portfolio: Foreign exchange forward contracts $ 75,429 $ 1,753 $ 134 $ 198,406 $ 490 $ 837 Interest rate swaps — — — — — — Relating to underwriting portfolio: Foreign exchange forward contracts 675,419 3,014 4,408 692,023 1,582 6,855 Weather-related contracts 17,345 5 1,978 51,395 4,395 10,937 Commodity contracts 181,000 1,967 — — — — Total derivatives $ 6,739 $ 6,520 $ 6,467 $ 18,629 (1) Asset and liability derivatives are classified within other assets and other liabilities in the Consolidated Balance Sheets. |
RECONCILIATION OF GROSS DERIVATIVE ASSETS 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, 2016 December 31, 2015 Gross Amounts Gross Amounts Offset Net Amounts (1) Gross Amounts Gross Amounts Offset Net Amounts (1) Derivative assets $ 13,849 $ (7,110 ) $ 6,739 $ 14,336 $ (7,869 ) $ 6,467 Derivative liabilities $ 13,630 $ (7,110 ) $ 6,520 $ 26,498 $ (7,869 ) $ 18,629 (1) Net asset and liability derivatives are classified within other assets and other liabilities in the Consolidated Balance Sheets. |
RECONCILIATION OF GROSS DERIVATIVE 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, 2016 December 31, 2015 Gross Amounts Gross Amounts Offset Net Amounts (1) Gross Amounts Gross Amounts Offset Net Amounts (1) Derivative assets $ 13,849 $ (7,110 ) $ 6,739 $ 14,336 $ (7,869 ) $ 6,467 Derivative liabilities $ 13,630 $ (7,110 ) $ 6,520 $ 26,498 $ (7,869 ) $ 18,629 (1) Net asset and liability derivatives are classified within other assets and other liabilities in the Consolidated Balance Sheets. |
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, 2016 2015 2016 2015 Derivatives not designated as hedging instruments Relating to investment portfolio: Foreign exchange forward contracts Net realized investment gains (losses) $ 2,404 $ (1,716 ) $ (116 ) $ 4,822 Interest rate swaps Net realized investment gains (losses) — — — (4,006 ) Relating to underwriting portfolio: Foreign exchange forward contracts Foreign exchange losses (gains) (5,876 ) (1,011 ) (2,776 ) (16,284 ) Weather-related contracts Other insurance related income (losses) 451 3,625 (24 ) 10,968 Commodity contracts Other insurance related income (losses) (543 ) (890 ) (301 ) (890 ) Total $ (3,564 ) $ 8 $ (3,217 ) $ (5,390 ) |
RESERVE FOR LOSSES AND LOSS E24
RESERVE FOR LOSSES AND LOSS EXPENSES (TABLES) | 6 Months Ended |
Jun. 30, 2016 | |
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, 2016 2015 Gross reserve for losses and loss expenses, beginning of period $ 9,646,285 $ 9,596,797 Less reinsurance recoverable on unpaid losses, beginning of period (2,031,309 ) (1,890,280 ) Net reserve for unpaid losses and loss expenses, beginning of period 7,614,976 7,706,517 Net incurred losses and loss expenses related to: Current year 1,279,369 1,213,160 Prior years (148,113 ) (120,679 ) 1,131,256 1,092,481 Net paid losses and loss expenses related to: Current year (112,730 ) (86,827 ) Prior years (966,589 ) (915,124 ) (1,079,319 ) (1,001,951 ) Foreign exchange and other (106,629 ) (125,666 ) Net reserve for unpaid losses and loss expenses, end of period 7,560,284 7,671,381 Reinsurance recoverable on unpaid losses, end of period 2,222,020 2,022,059 Gross reserve for losses and loss expenses, end of period $ 9,782,304 $ 9,693,440 |
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, 2016 2015 2016 2015 Insurance $ 20,066 $ 15,421 $ 22,493 $ 18,783 Reinsurance 57,653 49,192 125,620 101,896 Total $ 77,719 $ 64,613 $ 148,113 $ 120,679 |
SHARE-BASED COMPENSATION (TABLE
SHARE-BASED COMPENSATION (TABLES) | 6 Months Ended |
Jun. 30, 2016 | |
Disclosure of Compensation Related Costs, Share-based Payments [Abstract] | |
RECONCILIATIONS OF BEGINNING AND ENDING BALANCE OF NONVESTED RESTRICTED STOCK (INCLUDING RSUS) TO BE SETTLED IN SHARES AND CASH | 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, 2016 : 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 (1) Nonvested restricted stock - beginning of period 201 $ 49.24 1,954 $ 43.34 Granted 104 53.80 584 53.84 Vested (16 ) 44.33 (774 ) 39.21 Forfeited — — (40 ) 46.51 Nonvested restricted stock - end of period 289 $ 51.14 1,724 $ 48.69 (1) Fair value is based on the closing price of our common shares on the New York Stock Exchange on the day of the grant. Cash-settled awards The following table provides a reconciliation of the beginning and ending balance of nonvested cash settled restricted stock units for the six months ended June 30, 2016 : Performance-based Cash Settled RSUs Service-based Cash Settled RSUs Number of Restricted Stock Units Number of Restricted Stock Units Nonvested restricted stock units - beginning of period 70 1,433 Granted 18 491 Vested — (366 ) Forfeited — (40 ) Nonvested restricted stock units - end of period 88 1,518 |
EARNINGS PER COMMON SHARE (TABL
EARNINGS PER COMMON SHARE (TABLES) | 6 Months Ended |
Jun. 30, 2016 | |
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, 2016 2015 2016 2015 Basic earnings per common share Net income $ 129,460 $ 73,371 $ 177,846 $ 239,197 Less: preferred share dividends 9,969 10,022 19,938 20,044 Net income available to common shareholders 119,491 63,349 157,908 219,153 Weighted average common shares outstanding - basic (1) 91,926 100,274 92,980 100,093 Basic earnings per common share $ 1.30 $ 0.63 $ 1.70 $ 2.19 Diluted earnings per common share Net income available to common shareholders $ 119,491 $ 63,349 $ 157,908 $ 219,153 Weighted average common shares outstanding - basic (1) 91,926 100,274 92,980 100,093 Share based compensation plans 632 886 725 1,058 Weighted average common shares outstanding - diluted (1) 92,558 101,160 93,705 101,151 Diluted earnings per common share $ 1.29 $ 0.63 $ 1.69 $ 2.17 Anti-dilutive shares excluded from the dilutive computation 7 89 339 329 (1) On August 17, 2015 , the Company entered into an Accelerated Share Repurchase (“ASR”) agreement (see ' Note 9 - Shareholders' Equity' for additional detail). The weighted-average number of shares outstanding used in the computation of basic and diluted earnings per share reflects the Company’s receipt of 4,149,378 common shares delivered to the Company on August 20, 2015, and 1,358,380 common shares delivered to the company on January 15, 2016 under the Company's ASR agreement. |
SHAREHOLDERS' EQUITY (TABLES)
SHAREHOLDERS' EQUITY (TABLES) | 6 Months Ended |
Jun. 30, 2016 | |
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, 2016 2015 2016 2015 Shares issued, balance at beginning of period 176,556 176,190 176,240 175,478 Shares issued 19 16 335 728 Total shares issued at end of period 176,575 176,206 176,575 176,206 Treasury shares, balance at beginning of period (83,653 ) (75,971 ) (80,174 ) (76,052 ) Shares repurchased (2,337 ) (60 ) (6,247 ) (350 ) Shares reissued from treasury 69 109 500 480 Total treasury shares at end of period (85,921 ) (75,922 ) (85,921 ) (75,922 ) Total shares outstanding 90,654 100,284 90,654 100,284 |
SHARE REPURCHASES | The following table presents our share repurchases: Three months ended June 30, Six months ended June 30, 2016 2015 2016 2015 In the open market: Total shares (1) 2,300 — 6,004 16 Total cost $ 125,000 $ — $ 310,000 $ 832 Average price per share (2) $ 54.35 $ — $ 51.63 $ 50.69 From employees: Total shares 37 60 243 334 Total cost $ 2,039 $ 3,158 $ 13,050 $ 17,097 Average price per share (2) $ 54.70 $ 52.51 $ 53.65 $ 51.17 Total shares repurchased: Total shares 2,337 60 6,247 350 Total cost $ 127,039 $ 3,158 $ 323,050 $ 17,929 Average price per share (2) $ 54.36 $ 52.51 $ 51.71 $ 51.22 (1) The six months ended June 30, 2016 includes 1,358,380 common shares acquired under the accelerated share repurchase program (see below for more detail). (2) Calculated using whole figures. Accelerated Share Repurchase Program On August 17, 2015 , the Company entered into an Accelerated Share Repurchase agreement with Goldman, Sachs & Co. (“Goldman Sachs”) to repurchase an aggregate of $300 million of the Company’s ordinary shares under an accelerated share repurchase program. During August, 2015 , under the terms of this agreement, the Company paid $300 million to Goldman Sachs and initially repurchased 4,149,378 ordinary shares. The initial shares acquired represented 80% of the $300 million total paid to Goldman Sachs and were calculated using the Company’s stock price at activation of the program. The ASR program is accounted for as an equity transaction. Accordingly, as at December 31, 2015, $240 million of common shares repurchased were included as treasury shares in the Consolidated Balance Sheet with the remaining $60 million included as a reduction to additional paid-in capital. On January 15, 2016 , Goldman Sachs early terminated the ASR agreement and delivered 1,358,380 additional common shares to the Company, resulting in the reduction from additional paid-in capital of $60 million being reclassified to treasury shares. In total, the Company repurchased 5,507,758 common shares under the ASR agreement at an average price of $ 54.47 . |
OTHER COMPREHENSIVE INCOME (TAB
OTHER COMPREHENSIVE INCOME (TABLES) | 6 Months Ended |
Jun. 30, 2016 | |
Equity [Abstract] | |
TAX EFFECTS ALLOCATED TO EACH COMPONENT OF OTHER COMPREHENSIVE INCOME | The tax effects allocated to each component of other comprehensive income were as follows: 2016 2015 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 investment gains (losses) arising during the period $ 74,278 $ (10,593 ) $ 63,685 $ (86,076 ) $ 14,035 $ (72,041 ) Adjustment for reclassification of net realized investment gains (losses) and OTTI losses recognized in net income (18,604 ) 4,585 (14,019 ) 9,392 (535 ) 8,857 Unrealized investment gains (losses) arising during the period, net of reclassification adjustment 55,674 (6,008 ) 49,666 (76,684 ) 13,500 (63,184 ) Non-credit portion of OTTI losses — — — — — — Foreign currency translation adjustment (4,224 ) — (4,224 ) 2,188 — 2,188 Total other comprehensive income (loss), net of tax $ 51,450 $ (6,008 ) $ 45,442 $ (74,496 ) $ 13,500 $ (60,996 ) Six months ended June 30, Available for sale investments: Unrealized gains (losses) arising during the period $ 223,109 $ (20,790 ) $ 202,319 $ (81,013 ) $ 3,785 $ (77,228 ) Adjustment for reclassification of net realized investment gains (losses) and OTTI losses recognized in net income 45,388 (125 ) 45,263 54,489 (529 ) 53,960 Unrealized gains (losses) arising during the period, net of reclassification adjustment 268,497 (20,915 ) 247,582 (26,524 ) 3,256 (23,268 ) Non-credit portion of OTTI losses — — — — — — Foreign currency translation adjustment 3,972 — 3,972 (9,225 ) — (9,225 ) Total other comprehensive income (loss), net of tax $ 272,469 $ (20,915 ) $ 251,554 $ (35,749 ) $ 3,256 $ (32,493 ) |
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, 2016 2015 2016 2015 Unrealized gains (losses) on available for sale investments Other realized investment gains (losses) $ 24,973 $ 3,501 $ (29,289 ) $ (24,028 ) OTTI losses (6,369 ) (12,893 ) (16,099 ) (30,461 ) Total before tax 18,604 (9,392 ) (45,388 ) (54,489 ) Income tax (expense) benefit (4,585 ) 535 125 529 Net of tax $ 14,019 $ (8,857 ) $ (45,263 ) $ (53,960 ) (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, 2016USD ($) | Jun. 30, 2015USD ($) | Jun. 30, 2016USD ($)reportable_segment | Jun. 30, 2015USD ($) | Dec. 31, 2015USD ($) | |
Segment Information [Line Items] | |||||
Number of reportable segments | reportable_segment | 2 | ||||
Net premiums earned | $ 946,990 | $ 941,211 | $ 1,849,331 | $ 1,845,264 | |
Other insurance related income (loss) | (892) | (1,094) | |||
Other insurance related income (loss) | 3,486 | 11,162 | |||
Net losses and loss expenses | (632,294) | (580,153) | (1,131,256) | (1,092,481) | |
Acquisition costs | (189,125) | (183,263) | (369,761) | (354,805) | |
Expenses | (146,746) | (148,482) | (296,648) | (311,723) | |
Net investment income | 91,730 | 88,544 | 140,896 | 180,651 | |
Net realized investment gains (losses) | 21,010 | (11,110) | (45,500) | (53,662) | |
Foreign exchange (losses) gains | 56,602 | (22,108) | 55,986 | 41,112 | |
Interest expense and financing costs | (12,914) | (12,939) | (25,747) | (25,196) | |
Income before income taxes | $ 134,361 | $ 75,186 | $ 176,207 | $ 240,322 | |
Net loss and loss expense ratio | 66.80% | 61.60% | 61.20% | 59.20% | |
Acquisition cost ratio | 20.00% | 19.50% | 20.00% | 19.20% | |
General and administrative expense ratio | 15.40% | 15.80% | 16.00% | 16.90% | |
Combined ratio | 102.20% | 96.90% | 97.20% | 95.30% | |
Goodwill and intangible assets | $ 85,954 | $ 101,053 | $ 85,954 | $ 101,053 | $ 86,858 |
Operating Segments [Member] | |||||
Segment Information [Line Items] | |||||
Gross premiums written | 1,320,434 | 1,188,413 | 3,279,595 | 2,867,345 | |
Net premiums written | 1,007,350 | 946,544 | 2,693,156 | 2,402,090 | |
Net premiums earned | 946,990 | 941,211 | 1,849,331 | 1,845,264 | |
Other insurance related income (loss) | (892) | (1,094) | |||
Other insurance related income (loss) | 3,486 | 11,162 | |||
Net losses and loss expenses | (632,294) | (580,153) | (1,131,256) | (1,092,481) | |
Acquisition costs | (189,125) | (183,263) | (369,761) | (354,805) | |
Expenses | (114,819) | (124,433) | (238,409) | (251,502) | |
Underwriting income (loss) | 9,860 | 56,848 | 108,811 | 157,638 | |
Operating Segments [Member] | Insurance [Member] | |||||
Segment Information [Line Items] | |||||
Gross premiums written | 784,017 | 761,126 | 1,437,365 | 1,363,850 | |
Net premiums written | 526,764 | 534,263 | 999,926 | 971,004 | |
Net premiums earned | 439,279 | 452,322 | 877,958 | 899,789 | |
Other insurance related income (loss) | (234) | (96) | |||
Other insurance related income (loss) | 269 | 269 | |||
Net losses and loss expenses | (306,141) | (297,534) | (580,546) | (583,307) | |
Acquisition costs | (61,829) | (66,920) | (123,227) | (131,375) | |
Expenses | (82,487) | (88,420) | (168,064) | (176,109) | |
Underwriting income (loss) | $ (11,412) | $ (283) | $ 6,025 | $ 9,267 | |
Net loss and loss expense ratio | 69.70% | 65.80% | 66.10% | 64.80% | |
Acquisition cost ratio | 14.10% | 14.80% | 14.00% | 14.60% | |
General and administrative expense ratio | 18.70% | 19.50% | 19.20% | 19.60% | |
Combined ratio | 102.50% | 100.10% | 99.30% | 99.00% | |
Goodwill and intangible assets | $ 85,954 | $ 101,053 | $ 85,954 | $ 101,053 | |
Operating Segments [Member] | Reinsurance [Member] | |||||
Segment Information [Line Items] | |||||
Gross premiums written | 536,417 | 427,287 | 1,842,230 | 1,503,495 | |
Net premiums written | 480,586 | 412,281 | 1,693,230 | 1,431,086 | |
Net premiums earned | 507,711 | 488,889 | 971,373 | 945,475 | |
Other insurance related income (loss) | (658) | (998) | |||
Other insurance related income (loss) | 3,217 | 10,893 | |||
Net losses and loss expenses | (326,153) | (282,619) | (550,710) | (509,174) | |
Acquisition costs | (127,296) | (116,343) | (246,534) | (223,430) | |
Expenses | (32,332) | (36,013) | (70,345) | (75,393) | |
Underwriting income (loss) | $ 21,272 | $ 57,131 | $ 102,786 | $ 148,371 | |
Net loss and loss expense ratio | 64.20% | 57.80% | 56.70% | 53.90% | |
Acquisition cost ratio | 25.10% | 23.80% | 25.40% | 23.60% | |
General and administrative expense ratio | 6.40% | 7.40% | 7.20% | 8.00% | |
Combined ratio | 95.70% | 89.00% | 89.30% | 85.50% | |
Goodwill and intangible assets | $ 0 | $ 0 | $ 0 | $ 0 | |
Corporate, Non-Segment [Member] | |||||
Segment Information [Line Items] | |||||
Expenses | (31,927) | (24,049) | (58,239) | (60,221) | |
Significant Reconciling Items [Member] | |||||
Segment Information [Line Items] | |||||
Net investment income | 91,730 | 88,544 | 140,896 | 180,651 | |
Net realized investment gains (losses) | 21,010 | (11,110) | (45,500) | (53,662) | |
Foreign exchange (losses) gains | 56,602 | (22,108) | 55,986 | 41,112 | |
Interest expense and financing costs | $ (12,914) | $ (12,939) | $ (25,747) | $ (25,196) |
INVESTMENTS (DETAILS)
INVESTMENTS (DETAILS) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 |
Schedule Of Available For Sale Securities [Line Items] | ||
Amortized Cost | $ 11,475,293 | $ 11,897,639 |
Gross Unrealized Gains (fixed maturities) | 209,210 | 52,518 |
Gross Unrealized Losses (fixed maturities) | (121,287) | (230,408) |
Fair Value (fixed maturities) | 11,563,216 | 11,719,749 |
Non-credit OTTI in AOCI | (831) | (875) |
Cost | 601,320 | 575,776 |
Gross Unrealized Gains (equities) | 29,494 | 31,211 |
Gross Unrealized Losses (equities) | (4,443) | (8,989) |
Fair Value (equities) | 626,371 | 597,998 |
US Government and Agency [Member] | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Amortized Cost | 1,484,802 | 1,673,617 |
Gross Unrealized Gains (fixed maturities) | 32,471 | 1,545 |
Gross Unrealized Losses (fixed maturities) | (1,895) | (23,213) |
Fair Value (fixed maturities) | 1,515,378 | 1,651,949 |
Non-credit OTTI in AOCI | 0 | 0 |
Non-US Government [Member] | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Amortized Cost | 691,649 | 809,025 |
Gross Unrealized Gains (fixed maturities) | 5,178 | 2,312 |
Gross Unrealized Losses (fixed maturities) | (54,012) | (72,332) |
Fair Value (fixed maturities) | 642,815 | 739,005 |
Non-credit OTTI in AOCI | 0 | 0 |
Corporate Debt [Member] | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Amortized Cost | 4,366,370 | 4,442,315 |
Gross Unrealized Gains (fixed maturities) | 83,692 | 16,740 |
Gross Unrealized Losses (fixed maturities) | (47,771) | (96,286) |
Fair Value (fixed maturities) | 4,402,291 | 4,362,769 |
Non-credit OTTI in AOCI | 0 | 0 |
Agency RMBS [Member] | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Amortized Cost | 2,328,647 | 2,236,138 |
Gross Unrealized Gains (fixed maturities) | 55,587 | 22,773 |
Gross Unrealized Losses (fixed maturities) | (652) | (9,675) |
Fair Value (fixed maturities) | 2,383,582 | 2,249,236 |
Non-credit OTTI in AOCI | 0 | 0 |
CMBS [Member] | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Amortized Cost | 1,060,897 | 1,088,595 |
Gross Unrealized Gains (fixed maturities) | 22,727 | 3,885 |
Gross Unrealized Losses (fixed maturities) | (2,589) | (9,182) |
Fair Value (fixed maturities) | 1,081,035 | 1,083,298 |
Non-credit OTTI in AOCI | 0 | 0 |
Non-Agency RMBS [Member] | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Amortized Cost | 85,450 | 99,989 |
Gross Unrealized Gains (fixed maturities) | 1,594 | 1,992 |
Gross Unrealized Losses (fixed maturities) | (1,686) | (973) |
Fair Value (fixed maturities) | 85,358 | 101,008 |
Non-credit OTTI in AOCI | (831) | (875) |
ABS [Member] | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Amortized Cost | 1,307,495 | 1,387,919 |
Gross Unrealized Gains (fixed maturities) | 2,590 | 952 |
Gross Unrealized Losses (fixed maturities) | (12,195) | (17,601) |
Fair Value (fixed maturities) | 1,297,890 | 1,371,270 |
Non-credit OTTI in AOCI | 0 | 0 |
Municipals [Member] | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Amortized Cost | 149,983 | 160,041 |
Gross Unrealized Gains (fixed maturities) | 5,371 | 2,319 |
Gross Unrealized Losses (fixed maturities) | (487) | (1,146) |
Fair Value (fixed maturities) | 154,867 | 161,214 |
Non-credit OTTI in AOCI | 0 | 0 |
Common Stock [Member] | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Cost | 379 | 0 |
Gross Unrealized Gains (equities) | 26 | 0 |
Gross Unrealized Losses (equities) | (318) | 0 |
Fair Value (equities) | 87 | 0 |
Exchange-Traded Funds [Member] | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Cost | 467,032 | 447,524 |
Gross Unrealized Gains (equities) | 28,412 | 31,211 |
Gross Unrealized Losses (equities) | (4,125) | (4,762) |
Fair Value (equities) | 491,319 | 473,973 |
Bond Mutual Funds [Member] | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Cost | 133,909 | 128,252 |
Gross Unrealized Gains (equities) | 1,056 | 0 |
Gross Unrealized Losses (equities) | 0 | (4,227) |
Fair Value (equities) | $ 134,965 | $ 124,025 |
INVESTMENTS (DETAILS 2)
INVESTMENTS (DETAILS 2) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 |
Schedule Of Available For Sale Securities [Line Items] | ||
Due in one year or less (amortized cost) | $ 328,830 | $ 291,368 |
Due after one year through five years (amortized cost) | 3,778,226 | 4,217,515 |
Due after five years through ten years (amortized cost) | 2,260,438 | 2,263,684 |
Due after ten years (amortized cost) | 325,310 | 312,431 |
Total fixed maturities with a single maturity date (amortized cost) | 6,692,804 | 7,084,998 |
Total (amortized cost) | 11,475,293 | 11,897,639 |
Due in one year or less (fair value) | 320,923 | 289,571 |
Due after one year through five years (fair value) | 3,773,989 | 4,142,802 |
Due after five years through ten years (fair value) | 2,286,068 | 2,181,525 |
Due after ten years (fair value) | 334,371 | 301,039 |
Total fixed maturities with a single maturity date (fair value) | 6,715,351 | 6,914,937 |
Fair Value (fixed maturities) | $ 11,563,216 | $ 11,719,749 |
Due in one year or less (% of total fair value) | 2.90% | 2.50% |
Due after one year through five years (% of total fair value) | 32.60% | 35.30% |
Due after five years through ten years (% of total fair value) | 19.80% | 18.60% |
Due after ten years (% of total fair value) | 2.90% | 2.60% |
Fixed maturities with a single maturity date (% of total fair value) | 58.20% | 59.00% |
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) | $ 2,328,647 | $ 2,236,138 |
Total (amortized cost) | 2,328,647 | 2,236,138 |
Fixed maturities without a single maturity date (fair value) | 2,383,582 | 2,249,236 |
Fair Value (fixed maturities) | $ 2,383,582 | $ 2,249,236 |
Fixed maturities without a single maturity date (% of total fair value) | 20.60% | 19.20% |
CMBS [Member] | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Fixed maturities without a single maturity date (amortized cost) | $ 1,060,897 | $ 1,088,595 |
Total (amortized cost) | 1,060,897 | 1,088,595 |
Fixed maturities without a single maturity date (fair value) | 1,081,035 | 1,083,298 |
Fair Value (fixed maturities) | $ 1,081,035 | $ 1,083,298 |
Fixed maturities without a single maturity date (% of total fair value) | 9.30% | 9.20% |
Non-Agency RMBS [Member] | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Fixed maturities without a single maturity date (amortized cost) | $ 85,450 | $ 99,989 |
Total (amortized cost) | 85,450 | 99,989 |
Fixed maturities without a single maturity date (fair value) | 85,358 | 101,008 |
Fair Value (fixed maturities) | $ 85,358 | $ 101,008 |
Fixed maturities without a single maturity date (% of total fair value) | 0.70% | 0.90% |
ABS [Member] | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Fixed maturities without a single maturity date (amortized cost) | $ 1,307,495 | $ 1,387,919 |
Total (amortized cost) | 1,307,495 | 1,387,919 |
Fixed maturities without a single maturity date (fair value) | 1,297,890 | 1,371,270 |
Fair Value (fixed maturities) | $ 1,297,890 | $ 1,371,270 |
Fixed maturities without a single maturity date (% of total fair value) | 11.20% | 11.70% |
INVESTMENTS (DETAILS 3)
INVESTMENTS (DETAILS 3) $ in Thousands | Jun. 30, 2016USD ($)security | Dec. 31, 2015USD ($)security |
Fixed Maturities [Member] | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Fair Value - 12 months or greater | $ 1,514,255 | $ 1,317,794 |
Unrealized Losses - 12 months or greater | (79,581) | (106,770) |
Fair Value - Less than 12 months | 1,539,422 | 7,145,067 |
Unrealized Losses - Less than 12 months | (41,706) | (123,638) |
Total Fair Value of Securities in Unrealized Loss Position | 3,053,677 | 8,462,861 |
Total Unrealized Losses | $ (121,287) | $ (230,408) |
Number of Available For Sale Securities In Unrealized Loss Positions | security | 1,115 | 2,314 |
Number of Available For Sale Securities in Unrealized Loss Positions for 12 Months or Greater | security | 429 | 383 |
Fixed Maturities [Member] | Below Investment Grade or Not Rated [Member] | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Total Unrealized Losses | $ (21,000) | $ (39,000) |
US Government and Agency [Member] | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Fair Value - 12 months or greater | 66,551 | 84,179 |
Unrealized Losses - 12 months or greater | (1,864) | (7,622) |
Fair Value - Less than 12 months | 80,664 | 1,474,202 |
Unrealized Losses - Less than 12 months | (31) | (15,591) |
Total Fair Value of Securities in Unrealized Loss Position | 147,215 | 1,558,381 |
Total Unrealized Losses | (1,895) | (23,213) |
Non-US Government [Member] | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Fair Value - 12 months or greater | 127,388 | 170,269 |
Unrealized Losses - 12 months or greater | (36,001) | (50,841) |
Fair Value - Less than 12 months | 271,036 | 317,693 |
Unrealized Losses - Less than 12 months | (18,011) | (21,491) |
Total Fair Value of Securities in Unrealized Loss Position | 398,424 | 487,962 |
Total Unrealized Losses | (54,012) | (72,332) |
Corporate Debt [Member] | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Fair Value - 12 months or greater | 342,184 | 340,831 |
Unrealized Losses - 12 months or greater | (28,316) | (33,441) |
Fair Value - Less than 12 months | 673,041 | 2,845,375 |
Unrealized Losses - Less than 12 months | (19,455) | (62,845) |
Total Fair Value of Securities in Unrealized Loss Position | 1,015,225 | 3,186,206 |
Total Unrealized Losses | (47,771) | (96,286) |
Agency RMBS [Member] | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Fair Value - 12 months or greater | 74,590 | 64,792 |
Unrealized Losses - 12 months or greater | (449) | (1,609) |
Fair Value - Less than 12 months | 54,383 | 1,073,566 |
Unrealized Losses - Less than 12 months | (203) | (8,066) |
Total Fair Value of Securities in Unrealized Loss Position | 128,973 | 1,138,358 |
Total Unrealized Losses | (652) | (9,675) |
CMBS [Member] | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Fair Value - 12 months or greater | 113,021 | 75,627 |
Unrealized Losses - 12 months or greater | (1,573) | (1,579) |
Fair Value - Less than 12 months | 230,571 | 659,480 |
Unrealized Losses - Less than 12 months | (1,016) | (7,603) |
Total Fair Value of Securities in Unrealized Loss Position | 343,592 | 735,107 |
Total Unrealized Losses | (2,589) | (9,182) |
Non-Agency RMBS [Member] | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Fair Value - 12 months or greater | 10,366 | 5,283 |
Unrealized Losses - 12 months or greater | (331) | (210) |
Fair Value - Less than 12 months | 11,773 | 43,199 |
Unrealized Losses - Less than 12 months | (1,355) | (763) |
Total Fair Value of Securities in Unrealized Loss Position | 22,139 | 48,482 |
Total Unrealized Losses | (1,686) | (973) |
ABS [Member] | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Fair Value - 12 months or greater | 765,201 | 562,599 |
Unrealized Losses - 12 months or greater | (10,568) | (11,158) |
Fair Value - Less than 12 months | 215,552 | 667,448 |
Unrealized Losses - Less than 12 months | (1,627) | (6,443) |
Total Fair Value of Securities in Unrealized Loss Position | 980,753 | 1,230,047 |
Total Unrealized Losses | (12,195) | (17,601) |
Municipals [Member] | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Fair Value - 12 months or greater | 14,954 | 14,214 |
Unrealized Losses - 12 months or greater | (479) | (310) |
Fair Value - Less than 12 months | 2,402 | 64,104 |
Unrealized Losses - Less than 12 months | (8) | (836) |
Total Fair Value of Securities in Unrealized Loss Position | 17,356 | 78,318 |
Total Unrealized Losses | (487) | (1,146) |
Equity Securities [Member] | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Fair Value - 12 months or greater | 5,337 | 2,331 |
Unrealized Losses - 12 months or greater | (327) | (313) |
Fair Value - Less than 12 months | 86,353 | 234,997 |
Unrealized Losses - Less than 12 months | (4,116) | (8,676) |
Total Fair Value of Securities in Unrealized Loss Position | 91,690 | 237,328 |
Total Unrealized Losses | $ (4,443) | $ (8,989) |
Number of Available For Sale Securities In Unrealized Loss Positions | security | 29 | 35 |
Number of Available For Sale Securities in Unrealized Loss Positions for 12 Months or Greater | security | 11 | 1 |
Common Stock [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 | 61 | 0 |
Unrealized Losses - Less than 12 months | (318) | 0 |
Total Fair Value of Securities in Unrealized Loss Position | 61 | 0 |
Total Unrealized Losses | (318) | 0 |
Exchange-Traded Funds [Member] | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Fair Value - 12 months or greater | 5,337 | 2,331 |
Unrealized Losses - 12 months or greater | (327) | (313) |
Fair Value - Less than 12 months | 86,292 | 110,972 |
Unrealized Losses - Less than 12 months | (3,798) | (4,449) |
Total Fair Value of Securities in Unrealized Loss Position | 91,629 | 113,303 |
Total Unrealized Losses | (4,125) | (4,762) |
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 | 0 | 124,025 |
Unrealized Losses - Less than 12 months | 0 | (4,227) |
Total Fair Value of Securities in Unrealized Loss Position | 0 | 124,025 |
Total Unrealized Losses | $ 0 | $ (4,227) |
INVESTMENTS (DETAILS 4)
INVESTMENTS (DETAILS 4) - USD ($) $ in Thousands | 3 Months Ended | |
Jun. 30, 2016 | Dec. 31, 2015 | |
Mortgage Loans held-for-investment, net [Abstract] | ||
Commercial | $ 327,315 | $ 206,277 |
Commercial, Percent | 100.00% | 100.00% |
Valuation allowances | $ 0 | $ 0 |
Valuation allowance, Percent | 0.00% | 0.00% |
Total Mortgage Loans held-for-investment | $ 327,315 | $ 206,277 |
Total Mortgage Loans held-for investment, Percent | 100.00% | 100.00% |
Debt Service Coverage Ratio | 1.3 | |
Loan-to-Value Ratio, Percent (less than) | 65.00% | |
Credit losses on commercial mortgage loans | $ 0 |
INVESTMENTS (DETAILS 5)
INVESTMENTS (DETAILS 5) - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended | |
Jun. 30, 2016 | Dec. 31, 2015 | Mar. 01, 2016 | |
Other Investments [Line Items] | |||
Other investments, at fair value | $ 865,406 | $ 816,756 | |
Percentage of total fair value | 100.00% | 100.00% | |
Hedge Funds [Member] | Lockup Redemption Restriction [Member] | |||
Other Investments [Line Items] | |||
Fair value of other investments subject to redemption restrictions | $ 82,000 | $ 66,000 | |
Percentage of fair value of other investments subject to redemption restrictions | 15.00% | 10.00% | |
Long/short equity funds [Member] | |||
Other Investments [Line Items] | |||
Other investments, at fair value | $ 126,579 | $ 154,348 | |
Percentage of total fair value | 15.00% | 19.00% | |
Redemption frequency | Quarterly, Semi-annually, Annually | Quarterly, Semi-annually, Annually | |
Long/short equity funds [Member] | Minimum [Member] | |||
Other Investments [Line Items] | |||
Redemption notice period | 45 days | 45 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, at fair value | $ 314,687 | $ 355,073 | |
Percentage of total fair value | 36.00% | 43.00% | |
Redemption frequency | Quarterly, Semi-annually | Quarterly, Semi-annually | |
Multi-strategy funds [Member] | Other Redemption Restriction [Member] | |||
Other Investments [Line Items] | |||
Unfunded commitments related to other investments | $ 12,000 | $ 12,000 | |
Optional extension of investment term | 3 years | ||
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, at fair value | $ 90,902 | $ 147,287 | |
Percentage of total fair value | 11.00% | 18.00% | |
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, at fair value | $ 65 | $ 65 | |
Percentage of total fair value | 0.00% | 0.00% | |
Direct Lending Funds [Member] | |||
Other Investments [Line Items] | |||
Other investments, at fair value | $ 120,962 | $ 90,120 | |
Percentage of total fair value | 14.00% | 11.00% | |
Direct Lending Funds [Member] | Other Redemption Restriction [Member] | |||
Other Investments [Line Items] | |||
Unfunded commitments related to other investments | $ 192,000 | $ 222,000 | |
Optional extension of investment term | 3 years | ||
Direct Lending Funds [Member] | Minimum [Member] | Other Redemption Restriction [Member] | |||
Other Investments [Line Items] | |||
Investment term | 5 years | ||
Direct Lending Funds [Member] | Maximum [Member] | Other Redemption Restriction [Member] | |||
Other Investments [Line Items] | |||
Investment term | 10 years | ||
Private Equity Funds [Member] | |||
Other Investments [Line Items] | |||
Other investments, at fair value | $ 93,722 | $ 0 | |
Percentage of total fair value | 11.00% | 0.00% | |
Unfunded commitments related to other investments | $ 41,000 | $ 135,000 | |
Investment term | 10 years | ||
Real Estate Funds [Member] | |||
Other Investments [Line Items] | |||
Other investments, at fair value | $ 10,851 | $ 4,929 | |
Percentage of total fair value | 1.00% | 1.00% | |
Real Estate Funds [Member] | Other Redemption Restriction [Member] | |||
Other Investments [Line Items] | |||
Unfunded commitments related to other investments | $ 90,000 | $ 95,000 | |
Investment term | 8 years | ||
Commitment period | 3 years | ||
CLO-Equities [Member] | |||
Other Investments [Line Items] | |||
Other investments, at fair value | $ 65,883 | $ 64,934 | |
Percentage of total fair value | 7.00% | 8.00% | |
Other Privately Held Investments [Member] | |||
Other Investments [Line Items] | |||
Other investments, at fair value | $ 41,755 | $ 0 | |
Percentage of total fair value | 5.00% | 0.00% | |
Bank Revolver Opportunity Funds [Member] | |||
Other Investments [Line Items] | |||
Unfunded commitments related to other investments | $ 50,000 | ||
Investment term | 7 years | ||
Optional extension of investment term | 2 years |
INVESTMENTS (DETAILS 6)
INVESTMENTS (DETAILS 6) - USD ($) $ in Thousands | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Dec. 31, 2015 | |
Schedule of Equity Method Investments [Line Items] | |||
Equity method investments | $ 113,729 | $ 0 | |
Payments to acquire equity method investments | $ 103,548 | $ 0 | |
Harrington Reinsurance Holdings Limited [Member] | |||
Schedule of Equity Method Investments [Line Items] | |||
Equity method investment, ownership percentage | 18.00% | ||
Payments to acquire equity method investments | $ 104,000 | ||
Other Equity Method Investments [Member] | |||
Schedule of Equity Method Investments [Line Items] | |||
Equity method investments | $ 10,000 |
INVESTMENTS (DETAILS 7)
INVESTMENTS (DETAILS 7) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
Net Investment Income [Line Items] | ||||
Gross investment income | $ 98,927 | $ 96,858 | $ 156,495 | $ 196,738 |
Investment expenses | (7,197) | (8,314) | (15,599) | (16,087) |
Net investment income | 91,730 | 88,544 | 140,896 | 180,651 |
Fixed Maturities [Member] | ||||
Net Investment Income [Line Items] | ||||
Gross investment income | 77,621 | 77,998 | 153,596 | 144,086 |
Other Investments [Member] | ||||
Net Investment Income [Line Items] | ||||
Gross investment income | 14,401 | 14,102 | (12,477) | 45,037 |
Equity Securities [Member] | ||||
Net Investment Income [Line Items] | ||||
Gross investment income | 3,065 | 2,674 | 8,210 | 4,350 |
Mortgage loans [Member] | ||||
Net Investment Income [Line Items] | ||||
Gross investment income | 1,807 | 281 | 3,492 | 294 |
Cash And Cash Equivalents [Member] | ||||
Net Investment Income [Line Items] | ||||
Gross investment income | 1,868 | 1,678 | 3,303 | 2,777 |
Short-term Investments [Member] | ||||
Net Investment Income [Line Items] | ||||
Gross investment income | $ 165 | $ 125 | $ 371 | $ 194 |
INVESTMENTS (DETAILS 8)
INVESTMENTS (DETAILS 8) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
Schedule Of Available For Sale Securities [Line Items] | ||||
Gross realized gains | $ 35,151 | $ 17,243 | $ 54,856 | $ 32,942 |
Gross realized losses | (10,176) | (13,744) | (84,141) | (56,959) |
Net OTTI recognized in earnings | (6,369) | (12,893) | (16,099) | (30,461) |
Change in fair value of investment derivatives | 2,404 | (1,716) | (116) | 816 |
Total net realized investment gains (losses) | 21,010 | (11,110) | (45,500) | (53,662) |
Fixed Maturities And Short-Term Investments [Member] | ||||
Schedule Of Available For Sale Securities [Line Items] | ||||
Gross realized gains | 25,458 | 17,066 | 41,622 | 32,727 |
Gross realized losses | (9,617) | (13,474) | (68,794) | (56,565) |
Equity Securities [Member] | ||||
Schedule Of Available For Sale Securities [Line Items] | ||||
Gross realized gains | 9,693 | 177 | 13,234 | 215 |
Gross realized losses | $ (559) | $ (270) | $ (15,347) | $ (394) |
INVESTMENTS (DETAILS 9)
INVESTMENTS (DETAILS 9) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
Other Than Temporary Impairment Losses Investments Portion Recognized In Earnings Net [Line Items] | ||||
Total OTTI recognized in earnings | $ 6,369 | $ 12,893 | $ 16,099 | $ 30,461 |
Fixed Maturities [Member] | ||||
Other Than Temporary Impairment Losses Investments Portion Recognized In Earnings Net [Line Items] | ||||
Total OTTI recognized in earnings | 6,369 | 1,707 | 13,539 | 19,275 |
Non-US Government [Member] | ||||
Other Than Temporary Impairment Losses Investments Portion Recognized In Earnings Net [Line Items] | ||||
Total OTTI recognized in earnings | 497 | 0 | 497 | 1,422 |
Corporate Debt [Member] | ||||
Other Than Temporary Impairment Losses Investments Portion Recognized In Earnings Net [Line Items] | ||||
Total OTTI recognized in earnings | 5,872 | 1,689 | 13,042 | 17,808 |
Non-Agency RMBS [Member] | ||||
Other Than Temporary Impairment Losses Investments Portion Recognized In Earnings Net [Line Items] | ||||
Total OTTI recognized in earnings | 0 | 0 | 0 | 4 |
ABS [Member] | ||||
Other Than Temporary Impairment Losses Investments Portion Recognized In Earnings Net [Line Items] | ||||
Total OTTI recognized in earnings | 0 | 18 | 0 | 41 |
Equity Securities [Member] | ||||
Other Than Temporary Impairment Losses Investments Portion Recognized In Earnings Net [Line Items] | ||||
Total OTTI recognized in earnings | 0 | 11,186 | 2,560 | 11,186 |
Exchange-Traded Funds [Member] | ||||
Other Than Temporary Impairment Losses Investments Portion Recognized In Earnings Net [Line Items] | ||||
Total OTTI recognized in earnings | 0 | 0 | 2,560 | 0 |
Bond Mutual Funds [Member] | ||||
Other Than Temporary Impairment Losses Investments Portion Recognized In Earnings Net [Line Items] | ||||
Total OTTI recognized in earnings | $ 0 | $ 11,186 | $ 0 | $ 11,186 |
INVESTMENTS (DETAILS 10)
INVESTMENTS (DETAILS 10) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
Credit Losses For Which a Portion of OTTI Was Recognized in AOCI [Roll Forward] | ||||
Balance at beginning of period | $ 1,506 | $ 1,541 | $ 1,506 | $ 1,531 |
Credit impairments recognized on securities not previously impaired | 0 | 0 | 0 | 0 |
Additional credit impairments recognized on securities previously impaired | 7 | 23 | 7 | 33 |
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 | 0 | 0 | 0 |
Balance at end of period | $ 1,513 | $ 1,564 | $ 1,513 | $ 1,564 |
INVESTMENTS (DETAILS 11)
INVESTMENTS (DETAILS 11) - USD ($) | Jun. 30, 2016 | Dec. 31, 2015 |
Investments, Debt and Equity Securities [Abstract] | ||
Value of reverse repurchase agreements | $ 0 | $ 30,000,000 |
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, 2016 | Dec. 31, 2015 |
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Fixed maturities | $ 11,563,216 | $ 11,719,749 |
Equity securities | 626,371 | 597,998 |
Other investments | 865,406 | 816,756 |
Short-term investments | 41,086 | 34,406 |
Derivative instruments | 6,739 | 6,467 |
Derivative instruments | 6,520 | 18,629 |
Fair Value Measurements Recurring [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Fixed maturities | 11,563,216 | 11,719,749 |
Equity securities | 626,371 | 597,998 |
Other investments | 865,406 | 816,756 |
Short-term investments | 41,086 | 34,406 |
Derivative instruments | 6,739 | 6,467 |
Insurance-linked securities | 25,025 | 24,925 |
Total Assets | 13,127,843 | 13,200,301 |
Derivative instruments | 6,520 | 18,629 |
Cash settled awards | 29,650 | 33,215 |
Total Liabilities | 36,170 | 51,844 |
US Government and Agency [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Fixed maturities | 1,515,378 | 1,651,949 |
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 | 1,515,378 | 1,651,949 |
Non-US Government [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Fixed maturities | 642,815 | 739,005 |
Non-US Government [Member] | Fair Value Measurements Recurring [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Fixed maturities | 642,815 | 739,005 |
Corporate Debt [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Fixed maturities | 4,402,291 | 4,362,769 |
Corporate Debt [Member] | Fair Value Measurements Recurring [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Fixed maturities | 4,402,291 | 4,362,769 |
Agency RMBS [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Fixed maturities | 2,383,582 | 2,249,236 |
Agency RMBS [Member] | Fair Value Measurements Recurring [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Fixed maturities | 2,383,582 | 2,249,236 |
CMBS [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Fixed maturities | 1,081,035 | 1,083,298 |
CMBS [Member] | Fair Value Measurements Recurring [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Fixed maturities | 1,081,035 | 1,083,298 |
Non-Agency RMBS [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Fixed maturities | 85,358 | 101,008 |
Non-Agency RMBS [Member] | Fair Value Measurements Recurring [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Fixed maturities | 85,358 | 101,008 |
ABS [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Fixed maturities | 1,297,890 | 1,371,270 |
ABS [Member] | Fair Value Measurements Recurring [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Fixed maturities | 1,297,890 | 1,371,270 |
Municipals [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Fixed maturities | 154,867 | 161,214 |
Municipals [Member] | Fair Value Measurements Recurring [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Fixed maturities | 154,867 | 161,214 |
Common Stock [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Equity securities | 87 | 0 |
Common Stock [Member] | Fair Value Measurements Recurring [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Equity securities | 87 | 0 |
Exchange-Traded Funds [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Equity securities | 491,319 | 473,973 |
Exchange-Traded Funds [Member] | Fair Value Measurements Recurring [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Equity securities | 491,319 | 473,973 |
Bond Mutual Funds [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Equity securities | 134,965 | 124,025 |
Bond Mutual Funds [Member] | Fair Value Measurements Recurring [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Equity securities | 134,965 | 124,025 |
Hedge Funds [Member] | Fair Value Measurements Recurring [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Other investments | 532,233 | 656,773 |
Direct Lending Funds [Member] | Fair Value Measurements Recurring [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Other investments | 120,962 | 90,120 |
Private Equity Funds [Member] | Fair Value Measurements Recurring [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Other investments | 93,722 | 0 |
Real Estate Funds [Member] | Fair Value Measurements Recurring [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Other investments | 10,851 | 4,929 |
Other Privately Held Investments [Member] | Fair Value Measurements Recurring [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Other investments | 41,755 | 0 |
CLO-Equities [Member] | Fair Value Measurements Recurring [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Other investments | 65,883 | 64,934 |
Fair value based on NAV practical expedient [Member] | Fair Value Measurements Recurring [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Fixed maturities | 0 | 0 |
Equity securities | 0 | 0 |
Other investments | 757,768 | 789,499 |
Short-term investments | 0 | 0 |
Derivative instruments | 0 | 0 |
Insurance-linked securities | 0 | 0 |
Total Assets | 757,768 | 789,499 |
Derivative instruments | 0 | 0 |
Cash settled awards | 0 | 0 |
Total Liabilities | 0 | 0 |
Fair value based on NAV practical expedient [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 |
Fair value based on NAV practical expedient [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 |
Fair value based on NAV practical expedient [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 |
Fair value based on NAV practical expedient [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 |
Fair value based on NAV practical expedient [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 |
Fair value based on NAV practical expedient [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 |
Fair value based on NAV practical expedient [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 |
Fair value based on NAV practical expedient [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 |
Fair value based on NAV practical expedient [Member] | Common Stock [Member] | Fair Value Measurements Recurring [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Equity securities | 0 | 0 |
Fair value based on NAV practical expedient [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 |
Fair value based on NAV practical expedient [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 |
Fair value based on NAV practical expedient [Member] | Hedge Funds [Member] | Fair Value Measurements Recurring [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Other investments | 532,233 | 656,773 |
Fair value based on NAV practical expedient [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 | 120,962 | 90,120 |
Fair value based on NAV practical expedient [Member] | Private Equity Funds [Member] | Fair Value Measurements Recurring [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Other investments | 93,722 | 0 |
Fair value based on NAV practical expedient [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 | 10,851 | 4,929 |
Fair value based on NAV practical expedient [Member] | Other Privately Held Investments [Member] | Fair Value Measurements Recurring [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Other investments | 0 | 0 |
Fair value based on NAV practical expedient [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 | 37,677 |
Level 1 [Member] | Fair Value Measurements Recurring [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Fixed maturities | 1,483,577 | 1,632,355 |
Equity securities | 491,406 | 473,973 |
Other investments | 0 | 0 |
Short-term investments | 0 | 0 |
Derivative instruments | 0 | 0 |
Insurance-linked securities | 0 | 0 |
Total Assets | 1,974,983 | 2,106,328 |
Derivative instruments | 0 | 0 |
Cash settled awards | 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 | 1,483,577 | 1,632,355 |
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] | Common Stock [Member] | Fair Value Measurements Recurring [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Equity securities | 87 | 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 | 491,319 | 473,973 |
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] | Private Equity 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] | Other Privately Held Investments [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 | 10,007,407 | 10,037,954 |
Equity securities | 134,965 | 124,025 |
Other investments | 0 | 0 |
Short-term investments | 41,086 | 34,406 |
Derivative instruments | 6,734 | 2,072 |
Insurance-linked securities | 0 | 0 |
Total Assets | 10,190,192 | 10,198,457 |
Derivative instruments | 4,542 | 7,692 |
Cash settled awards | 29,650 | 33,215 |
Total Liabilities | 34,192 | 40,907 |
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 | 31,801 | 19,594 |
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 | 642,815 | 739,005 |
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 | 4,340,269 | 4,324,251 |
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 | 2,383,582 | 2,249,236 |
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 | 1,070,825 | 1,072,376 |
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 | 85,358 | 101,008 |
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 | 1,297,890 | 1,371,270 |
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 | 154,867 | 161,214 |
Level 2 [Member] | Common Stock [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] | 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 | 134,965 | 124,025 |
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 | 0 | 0 |
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] | Private Equity 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] | Other Privately Held Investments [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 | 72,232 | 49,440 |
Equity securities | 0 | 0 |
Other investments | 107,638 | 27,257 |
Short-term investments | 0 | 0 |
Derivative instruments | 5 | 4,395 |
Insurance-linked securities | 25,025 | 24,925 |
Total Assets | 204,900 | 106,017 |
Derivative instruments | 1,978 | 10,937 |
Cash settled awards | 0 | 0 |
Total Liabilities | 1,978 | 10,937 |
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 | 62,022 | 38,518 |
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 | 10,210 | 10,922 |
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 | 0 | 0 |
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] | Common Stock [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] | 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 | 0 | 0 |
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 | 0 | 0 |
Level 3 [Member] | Private Equity 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 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 | 0 | 0 |
Level 3 [Member] | Other Privately Held Investments [Member] | Fair Value Measurements Recurring [Member] | ||
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items] | ||
Other investments | 41,755 | 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 | $ 65,883 | $ 27,257 |
FAIR VALUE MEASUREMENTS (DETA42
FAIR VALUE MEASUREMENTS (DETAILS 2) $ in Thousands | 6 Months Ended | |
Jun. 30, 2016USD ($)degree_day | Dec. 31, 2015USD ($) | |
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Other investments | $ | $ 865,406 | $ 816,756 |
Discounted cash flow [Member] | Level 3 [Member] | Other Investments - CLO-Equities [Member] | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Other investments | $ | $ 39,940 | |
Default rates | 4.00% | |
Liquidation Value Valuation Technique [Member] | Level 3 [Member] | Other Investments - CLO-Equities [Member] | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Other investments | $ | $ 25,943 | |
Fair value of collateral | 100.00% | |
Simulation model [Member] | Level 3 [Member] | Weather Related Derivative [Member] | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Net derivative assets | $ | $ (1,973) | |
Minimum [Member] | Discounted cash flow [Member] | Level 3 [Member] | Other Investments - CLO-Equities [Member] | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Loss severity rate | 35.00% | |
Collateral spreads | 3.20% | |
Estimated maturity dates | 3 years | |
Minimum [Member] | Liquidation Value Valuation Technique [Member] | Level 3 [Member] | Other Investments - CLO-Equities [Member] | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Discount margin | 0.70% | |
Minimum [Member] | Simulation model [Member] | Level 3 [Member] | Weather Related Derivative [Member] | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Weather curve | degree_day | 1 | |
Weather standard deviation | degree_day | 1 | |
Maximum [Member] | Discounted cash flow [Member] | Level 3 [Member] | Other Investments - CLO-Equities [Member] | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Loss severity rate | 53.50% | |
Collateral spreads | 4.00% | |
Estimated maturity dates | 7 years | |
Maximum [Member] | Liquidation Value Valuation Technique [Member] | Level 3 [Member] | Other Investments - CLO-Equities [Member] | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Discount margin | 19.90% | |
Maximum [Member] | Simulation model [Member] | Level 3 [Member] | Weather Related Derivative [Member] | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Weather curve | degree_day | 1,914 | |
Weather standard deviation | degree_day | 230 | |
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 | 4.00% | |
Loss severity rate | 36.50% | |
Collateral spreads | 3.90% | |
Estimated maturity dates | 7 years | |
Weighted Average [Member] | Liquidation Value Valuation Technique [Member] | Level 3 [Member] | Other Investments - CLO-Equities [Member] | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Fair value of collateral | 100.00% | |
Discount margin | 4.20% |
FAIR VALUE MEASUREMENTS (DETA43
FAIR VALUE MEASUREMENTS (DETAILS 3) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
Total Liabilities [Member] | ||||
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Opening Balance (Liabilities) | $ 15,028 | $ 7,308 | $ 10,937 | $ 15,288 |
Transfers into Level 3 (Liabilities) | 0 | 0 | 0 | 0 |
Transfers out of Level 3 (Liabilities) | 0 | 0 | 0 | 0 |
Included in earnings (Liabilities) | (809) | (3,171) | 2,614 | (11,722) |
Included in OCI (Liabilities) | 0 | 0 | 0 | 0 |
Purchases (Liabilities) | 1,830 | 1,141 | 805 | 2,223 |
Sales (Liabilities) | 0 | 0 | 0 | 0 |
Settlements/ Distributions (Liabilities) | (14,071) | (4,460) | (12,378) | (4,971) |
Closing Balance (Liabilities) | 1,978 | 818 | 1,978 | 818 |
Change in unrealized investment gain/loss relating to assets held at the reporting date (Liabilities) | 110 | 13 | 111 | 13 |
Fixed Maturities [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Opening Balance (Assets) | 50,801 | 83,839 | 49,440 | 73,631 |
Transfers into Level 3 (Assets) | 20,412 | 5,072 | 20,412 | 5,072 |
Transfers out of Level 3 (Assets) | 0 | (39,851) | (1,955) | (39,851) |
Included in earnings (Assets) | (981) | 0 | (979) | 0 |
Included in OCI (Assets) | 1,222 | 167 | 1,002 | 205 |
Purchases (Assets) | 3,723 | 20,714 | 9,544 | 31,624 |
Sales (Assets) | (2,105) | 0 | (4,015) | 0 |
Settlements/ Distributions (Assets) | (840) | (4,923) | (1,217) | (5,663) |
Closing Balance (Assets) | 72,232 | 65,018 | 72,232 | 65,018 |
Change in unrealized investment gain/loss relating to assets held at the reporting date (Assets) | 0 | 0 | 0 | 0 |
Other Investments [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Opening Balance (Assets) | 97,083 | 36,960 | 27,257 | 37,046 |
Transfers into Level 3 (Assets) | 0 | 0 | 36,378 | 0 |
Transfers out of Level 3 (Assets) | 0 | 0 | 0 | 0 |
Included in earnings (Assets) | 8,878 | 3,208 | 7,862 | 6,738 |
Included in OCI (Assets) | 0 | 0 | 0 | 0 |
Purchases (Assets) | 6,193 | 0 | 42,905 | 0 |
Sales (Assets) | 0 | 0 | 0 | 0 |
Settlements/ Distributions (Assets) | (4,516) | (3,247) | (6,764) | (6,863) |
Closing Balance (Assets) | 107,638 | 36,921 | 107,638 | 36,921 |
Change in unrealized investment gain/loss relating to assets held at the reporting date (Assets) | 8,878 | 3,208 | 7,862 | 6,738 |
Other Assets [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Opening Balance (Assets) | 30,893 | 25,000 | 29,320 | 111 |
Transfers into Level 3 (Assets) | 0 | 0 | 0 | 0 |
Transfers out of Level 3 (Assets) | 0 | 0 | 0 | 0 |
Included in earnings (Assets) | (249) | 77 | 2,690 | (990) |
Included in OCI (Assets) | 0 | 0 | 0 | 0 |
Purchases (Assets) | 446 | 0 | 1,805 | 25,000 |
Sales (Assets) | 0 | 0 | 0 | 0 |
Settlements/ Distributions (Assets) | (6,060) | 0 | (8,785) | 956 |
Closing Balance (Assets) | 25,030 | 25,077 | 25,030 | 25,077 |
Change in unrealized investment gain/loss relating to assets held at the reporting date (Assets) | 114 | 77 | 105 | 77 |
Total Assets [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Opening Balance (Assets) | 178,777 | 145,799 | 106,017 | 110,788 |
Transfers into Level 3 (Assets) | 20,412 | 5,072 | 56,790 | 5,072 |
Transfers out of Level 3 (Assets) | 0 | (39,851) | (1,955) | (39,851) |
Included in earnings (Assets) | 7,648 | 3,285 | 9,573 | 5,748 |
Included in OCI (Assets) | 1,222 | 167 | 1,002 | 205 |
Purchases (Assets) | 10,362 | 20,714 | 54,254 | 56,624 |
Sales (Assets) | (2,105) | 0 | (4,015) | 0 |
Settlements/ Distributions (Assets) | (11,416) | (8,170) | (16,766) | (11,570) |
Closing Balance (Assets) | 204,900 | 127,016 | 204,900 | 127,016 |
Change in unrealized investment gain/loss relating to assets held at the reporting date (Assets) | 8,992 | 3,285 | 7,967 | 6,815 |
Corporate Debt [Member] | Fixed Maturities [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Opening Balance (Assets) | 40,250 | 26,857 | 38,518 | 15,837 |
Transfers into Level 3 (Assets) | 20,412 | 0 | 20,412 | 0 |
Transfers out of Level 3 (Assets) | 0 | 0 | (1,955) | 0 |
Included in earnings (Assets) | (981) | 0 | (979) | 0 |
Included in OCI (Assets) | 1,164 | 244 | 1,088 | 424 |
Purchases (Assets) | 3,723 | 20,714 | 9,544 | 31,624 |
Sales (Assets) | (2,105) | 0 | (4,015) | 0 |
Settlements/ Distributions (Assets) | (441) | (4,807) | (591) | (4,877) |
Closing Balance (Assets) | 62,022 | 43,008 | 62,022 | 43,008 |
Change in unrealized investment gain/loss relating to assets held at the reporting date (Assets) | 0 | 0 | 0 | 0 |
CMBS [Member] | Fixed Maturities [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Opening Balance (Assets) | 10,551 | 17,061 | 10,922 | 17,763 |
Transfers into Level 3 (Assets) | 0 | 5,072 | 0 | 5,072 |
Transfers out of Level 3 (Assets) | 0 | 0 | 0 | 0 |
Included in earnings (Assets) | 0 | 0 | 0 | 0 |
Included in OCI (Assets) | 58 | (120) | (86) | (324) |
Purchases (Assets) | 0 | 0 | 0 | 0 |
Sales (Assets) | 0 | 0 | 0 | 0 |
Settlements/ Distributions (Assets) | (399) | (113) | (626) | (611) |
Closing Balance (Assets) | 10,210 | 21,900 | 10,210 | 21,900 |
Change in unrealized investment gain/loss relating to assets held at the reporting date (Assets) | 0 | 0 | 0 | 0 |
ABS [Member] | Fixed Maturities [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Opening Balance (Assets) | 0 | 39,921 | 0 | 40,031 |
Transfers into Level 3 (Assets) | 0 | 0 | 0 | 0 |
Transfers out of Level 3 (Assets) | 0 | (39,851) | 0 | (39,851) |
Included in earnings (Assets) | 0 | 0 | 0 | 0 |
Included in OCI (Assets) | 0 | 43 | 0 | 105 |
Purchases (Assets) | 0 | 0 | 0 | 0 |
Sales (Assets) | 0 | 0 | 0 | 0 |
Settlements/ Distributions (Assets) | 0 | (3) | 0 | (175) |
Closing Balance (Assets) | 0 | 110 | 0 | 110 |
Change in unrealized investment gain/loss relating to assets held at the reporting date (Assets) | 0 | 0 | 0 | 0 |
Other Privately Held Investments [Member] | Other Investments [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Opening Balance (Assets) | 36,712 | 0 | 0 | 0 |
Transfers into Level 3 (Assets) | 0 | 0 | 0 | 0 |
Transfers out of Level 3 (Assets) | 0 | 0 | 0 | 0 |
Included in earnings (Assets) | (1,150) | 0 | (1,150) | 0 |
Included in OCI (Assets) | 0 | 0 | 0 | 0 |
Purchases (Assets) | 6,193 | 0 | 42,905 | 0 |
Sales (Assets) | 0 | 0 | 0 | 0 |
Settlements/ Distributions (Assets) | 0 | 0 | 0 | 0 |
Closing Balance (Assets) | 41,755 | 0 | 41,755 | 0 |
Change in unrealized investment gain/loss relating to assets held at the reporting date (Assets) | (1,150) | 0 | (1,150) | 0 |
CLO-Equities [Member] | Other Investments [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Opening Balance (Assets) | 60,371 | 36,960 | 27,257 | 37,046 |
Transfers into Level 3 (Assets) | 0 | 0 | 36,378 | 0 |
Transfers out of Level 3 (Assets) | 0 | 0 | 0 | 0 |
Included in earnings (Assets) | 10,028 | 3,208 | 9,012 | 6,738 |
Included in OCI (Assets) | 0 | 0 | 0 | 0 |
Purchases (Assets) | 0 | 0 | 0 | 0 |
Sales (Assets) | 0 | 0 | 0 | 0 |
Settlements/ Distributions (Assets) | (4,516) | (3,247) | (6,764) | (6,863) |
Closing Balance (Assets) | 65,883 | 36,921 | 65,883 | 36,921 |
Change in unrealized investment gain/loss relating to assets held at the reporting date (Assets) | 10,028 | 3,208 | 9,012 | 6,738 |
Derivative [Member] | Other Liabilities [Member] | ||||
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Opening Balance (Liabilities) | 15,028 | 7,308 | 10,937 | 15,288 |
Transfers into Level 3 (Liabilities) | 0 | 0 | 0 | 0 |
Transfers out of Level 3 (Liabilities) | 0 | 0 | 0 | 0 |
Included in earnings (Liabilities) | (809) | (3,171) | 2,614 | (11,722) |
Included in OCI (Liabilities) | 0 | 0 | 0 | 0 |
Purchases (Liabilities) | 1,830 | 1,141 | 805 | 2,223 |
Sales (Liabilities) | 0 | 0 | 0 | 0 |
Settlements/ Distributions (Liabilities) | (14,071) | (4,460) | (12,378) | (4,971) |
Closing Balance (Liabilities) | 1,978 | 818 | 1,978 | 818 |
Change in unrealized investment gain/loss relating to assets held at the reporting date (Liabilities) | 110 | 13 | 111 | 13 |
Derivative [Member] | Other Assets [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Opening Balance (Assets) | 5,977 | 0 | 4,395 | 111 |
Transfers into Level 3 (Assets) | 0 | 0 | 0 | 0 |
Transfers out of Level 3 (Assets) | 0 | 0 | 0 | 0 |
Included in earnings (Assets) | (358) | 240 | 2,590 | (827) |
Included in OCI (Assets) | 0 | 0 | 0 | 0 |
Purchases (Assets) | 446 | 0 | 1,805 | 0 |
Sales (Assets) | 0 | 0 | 0 | 0 |
Settlements/ Distributions (Assets) | (6,060) | 0 | (8,785) | 956 |
Closing Balance (Assets) | 5 | 240 | 5 | 240 |
Change in unrealized investment gain/loss relating to assets held at the reporting date (Assets) | 5 | 240 | 5 | 240 |
Insurance-linked securities [Member] | Other Assets [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Opening Balance (Assets) | 24,916 | 25,000 | 24,925 | 0 |
Transfers into Level 3 (Assets) | 0 | 0 | 0 | 0 |
Transfers out of Level 3 (Assets) | 0 | 0 | 0 | 0 |
Included in earnings (Assets) | 109 | (163) | 100 | (163) |
Included in OCI (Assets) | 0 | 0 | 0 | 0 |
Purchases (Assets) | 0 | 0 | 0 | 25,000 |
Sales (Assets) | 0 | 0 | 0 | 0 |
Settlements/ Distributions (Assets) | 0 | 0 | 0 | 0 |
Closing Balance (Assets) | 25,025 | 24,837 | 25,025 | 24,837 |
Change in unrealized investment gain/loss relating to assets held at the reporting date (Assets) | $ 109 | $ (163) | $ 100 | $ (163) |
FAIR VALUE MEASUREMENTS (DETA44
FAIR VALUE MEASUREMENTS (DETAILS 4) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 |
Fair Value Balance Sheet Grouping Financial Statement Captions [Line Items] | ||
Senior notes | $ 992,361 | $ 991,825 |
Estimate Of Fair Value [Member] | ||
Fair Value Balance Sheet Grouping Financial Statement Captions [Line Items] | ||
Senior notes | $ 1,081,000 | $ 1,058,000 |
DERIVATIVE INSTRUMENTS (DETAILS
DERIVATIVE INSTRUMENTS (DETAILS) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 |
Derivative Fair Values on Consolidated Balance Sheet [Line Items] | ||
Derivative Asset Fair Value | $ 6,739 | $ 6,467 |
Derivative Liability Fair Value | 6,520 | 18,629 |
Other Assets [Member] | ||
Derivative Fair Values on Consolidated Balance Sheet [Line Items] | ||
Derivative Asset Fair Value | 6,739 | 6,467 |
Other Liabilities [Member] | ||
Derivative Fair Values on Consolidated Balance Sheet [Line Items] | ||
Derivative Liability Fair Value | 6,520 | 18,629 |
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 | 75,429 | 198,406 |
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] | ||
Derivative Asset Fair Value | 1,753 | 490 |
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] | ||
Derivative Liability Fair Value | 134 | 837 |
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 | 0 |
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] | ||
Derivative Asset 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] | ||
Derivative Liability Fair Value | 0 | 0 |
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 | 675,419 | 692,023 |
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] | ||
Derivative Asset Fair Value | 3,014 | 1,582 |
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] | ||
Derivative Liability Fair Value | 4,408 | 6,855 |
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 | 17,345 | 51,395 |
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] | ||
Derivative Asset Fair Value | 5 | 4,395 |
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] | ||
Derivative Liability Fair Value | 1,978 | 10,937 |
Underwriting Portfolio [Member] | Commodity Contract [Member] | Not Designated as Hedging Instruments [Member] | ||
Derivative Fair Values on Consolidated Balance Sheet [Line Items] | ||
Derivative Notional Amount | 181,000 | 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] | ||
Derivative Asset Fair Value | 1,967 | 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] | ||
Derivative Liability Fair Value | $ 0 | $ 0 |
DERIVATIVE INSTRUMENTS (DETAI46
DERIVATIVE INSTRUMENTS (DETAILS 2) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ||
Derivative assets - gross amounts | $ 13,849 | $ 14,336 |
Derivative assets - gross amounts offset | (7,110) | (7,869) |
Derivative assets- net amounts | 6,739 | 6,467 |
Derivative liabilities - gross amounts | 13,630 | 26,498 |
Derivative liabilities - gross amounts offset | (7,110) | (7,869) |
Derivative liabilities- net amounts | $ 6,520 | $ 18,629 |
DERIVATIVE INSTRUMENTS (DETAI47
DERIVATIVE INSTRUMENTS (DETAILS 3) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
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 | $ (3,564) | $ 8 | $ (3,217) | $ (5,390) |
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 | 2,404 | (1,716) | (116) | 4,822 |
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 | 0 | 0 | (4,006) |
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 | (5,876) | (1,011) | (2,776) | (16,284) |
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 | 451 | 3,625 | (24) | 10,968 |
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 | $ (543) | $ (890) | $ (301) | $ (890) |
RESERVE FOR LOSSES AND LOSS E48
RESERVE FOR LOSSES AND LOSS EXPENSES (DETAILS) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
Reconciliation of Beginning and Ending Gross Unpaid Losses and Loss Expenses | ||||
Gross reserve for losses and loss expenses, beginning of period | $ 9,646,285 | $ 9,596,797 | ||
Less reinsurance recoverable on unpaid losses, beginning of period | (2,031,309) | (1,890,280) | ||
Net reserve for unpaid losses and loss expenses, beginning of period | 7,614,976 | 7,706,517 | ||
Net incurred losses and loss expenses related to: | ||||
Current year | 1,279,369 | 1,213,160 | ||
Prior years | $ (77,719) | $ (64,613) | (148,113) | (120,679) |
Net incurred losses and loss expenses | 1,131,256 | 1,092,481 | ||
Net paid losses and loss expenses related to: | ||||
Current year | (112,730) | (86,827) | ||
Prior years | (966,589) | (915,124) | ||
Net paid losses and loss expenses | (1,079,319) | (1,001,951) | ||
Foreign exchange and other | (106,629) | (125,666) | ||
Net reserve for unpaid losses and loss expenses, end of period | 7,560,284 | 7,671,381 | 7,560,284 | 7,671,381 |
Reinsurance recoverable on unpaid losses, end of period | 2,222,020 | 2,022,059 | 2,222,020 | 2,022,059 |
Gross reserve for losses and loss expenses, end of period | $ 9,782,304 | $ 9,693,440 | $ 9,782,304 | $ 9,693,440 |
RESERVE FOR LOSSES AND LOSS E49
RESERVE FOR LOSSES AND LOSS EXPENSES (DETAILS 2) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
Net Favorable Prior Year Reserve Development [Line Items] | ||||
Net favorable prior year reserve development | $ 77,719 | $ 64,613 | $ 148,113 | $ 120,679 |
Insurance [Member] | ||||
Net Favorable Prior Year Reserve Development [Line Items] | ||||
Net favorable prior year reserve development | 20,066 | 15,421 | 22,493 | 18,783 |
Reinsurance [Member] | ||||
Net Favorable Prior Year Reserve Development [Line Items] | ||||
Net favorable prior year reserve development | $ 57,653 | $ 49,192 | $ 125,620 | $ 101,896 |
RESERVE FOR LOSSES AND LOSS E50
RESERVE FOR LOSSES AND LOSS EXPENSES (DETAILS 3) - USD ($) $ in Thousands | 1 Months Ended | 3 Months Ended | 6 Months Ended | ||
Apr. 30, 2016 | Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
Additional Information Related to Net Incurred Losses [Line Items] | |||||
Current year | $ 1,279,369 | $ 1,213,160 | |||
Foreign exchange and other | 106,629 | 125,666 | |||
Net favorable (adverse) prior year reserve development | $ 77,719 | $ 64,613 | 148,113 | 120,679 | |
Short Tail Lines Insurance And Reinsurance Business [Member] | |||||
Additional Information Related to Net Incurred Losses [Line Items] | |||||
Net favorable (adverse) prior year reserve development | 27,000 | 40,000 | 75,000 | 74,000 | |
Professional Lines Reinsurance Business [Member] | |||||
Additional Information Related to Net Incurred Losses [Line Items] | |||||
Net favorable (adverse) prior year reserve development | 15,000 | 3,000 | 16,000 | 23,000 | |
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 | $ 32,000 | 25,000 | 55,000 | 44,000 | |
Liability Insurance Business [Member] | |||||
Additional Information Related to Net Incurred Losses [Line Items] | |||||
Net favorable (adverse) prior year reserve development | $ (6,000) | (17,000) | |||
Catastrophe and Weather-related Events [Member] | |||||
Additional Information Related to Net Incurred Losses [Line Items] | |||||
Current year | $ 124,000 | $ 47,000 | |||
Retroactive Reinsurance Recoverable [Member] | |||||
Additional Information Related to Net Incurred Losses [Line Items] | |||||
Foreign exchange and other | $ 159,000 |
SHARE-BASED COMPENSATION (DETAI
SHARE-BASED COMPENSATION (DETAILS) - USD ($) $ / shares in Units, shares in Thousands, $ in Millions | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
Restricted Stock And Restricted Stock Units [Member] | ||||
Reconcilation of Beginning and Ending Balance of Nonvested Restricted Stock (including RSUs) [Abstract] | ||||
Share based compensation expense incurred | $ 19 | $ 10 | $ 36 | $ 29 |
Tax benefit related to share-based compensation costs incurred | 5 | 4 | 8 | 8 |
Fair value - vested during period | 62 | 71 | ||
Unrecognized share-based compensation costs | 122 | $ 122 | ||
Unrecognized share-based compensation costs - weighted average period expected to be recognized | 2 years 6 months 25 days | |||
Restricted Stock And Restricted Stock Units [Member] | Cash Settled [Member] | ||||
Reconcilation of Beginning and Ending Balance of Nonvested Restricted Stock (including RSUs) [Abstract] | ||||
Liability for cash-settled units | $ 30 | $ 20 | $ 30 | $ 20 |
Performance Based Restricted Stock and Restricted Stock Units [Member] | Share Settled [Member] | ||||
Reconcilation of Beginning and Ending Balance of Nonvested Restricted Stock (including RSUs) [Roll Forward] | ||||
Nonvested restricted stock (number) - beginning of period | 201 | |||
Granted (number) | 104 | |||
Vested (number) | (16) | |||
Forfeited (number) | 0 | |||
Nonvested restricted stock (number) - end of period | 289 | 289 | ||
Reconcilation of Beginning and Ending Balance of Nonvested Restricted Stock (including RSUs) [Abstract] | ||||
Weighted average grant date fair value - beginning of period (in usd per share) | $ 49.24 | |||
Weighted average grant date fair value - granted (in usd per share) | 53.80 | |||
Weighted average grant date fair value - vested (in usd per share) | 44.33 | |||
Weighted average grant date fair value - forfeited (in usd per share) | 0 | |||
Weighted average grant date fair value - end of period (in usd per share) | $ 51.14 | $ 51.14 | ||
Performance Based Restricted Stock and Restricted Stock Units [Member] | Cash Settled [Member] | ||||
Reconcilation of Beginning and Ending Balance of Nonvested Restricted Stock (including RSUs) [Roll Forward] | ||||
Nonvested restricted stock (number) - beginning of period | 70 | |||
Granted (number) | 18 | |||
Vested (number) | 0 | |||
Forfeited (number) | 0 | |||
Nonvested restricted stock (number) - end of period | 88 | 88 | ||
Service Based Restricted Stock And Restricted Stock Units [Member] | Share Settled [Member] | ||||
Reconcilation of Beginning and Ending Balance of Nonvested Restricted Stock (including RSUs) [Roll Forward] | ||||
Nonvested restricted stock (number) - beginning of period | 1,954 | |||
Granted (number) | 584 | |||
Vested (number) | (774) | |||
Forfeited (number) | (40) | |||
Nonvested restricted stock (number) - end of period | 1,724 | 1,724 | ||
Reconcilation of Beginning and Ending Balance of Nonvested Restricted Stock (including RSUs) [Abstract] | ||||
Weighted average grant date fair value - beginning of period (in usd per share) | $ 43.34 | |||
Weighted average grant date fair value - granted (in usd per share) | 53.84 | |||
Weighted average grant date fair value - vested (in usd per share) | 39.21 | |||
Weighted average grant date fair value - forfeited (in usd per share) | 46.51 | |||
Weighted average grant date fair value - end of period (in usd per share) | $ 48.69 | $ 48.69 | ||
Service Based Restricted Stock And Restricted Stock Units [Member] | Cash Settled [Member] | ||||
Reconcilation of Beginning and Ending Balance of Nonvested Restricted Stock (including RSUs) [Roll Forward] | ||||
Nonvested restricted stock (number) - beginning of period | 1,433 | |||
Granted (number) | 491 | |||
Vested (number) | (366) | |||
Forfeited (number) | (40) | |||
Nonvested restricted stock (number) - end of period | 1,518 | 1,518 |
EARNINGS PER COMMON SHARE (DETA
EARNINGS PER COMMON SHARE (DETAILS) - USD ($) $ / shares in Units, $ in Thousands | Jan. 15, 2016 | Aug. 30, 2015 | Jun. 30, 2016 | Sep. 30, 2015 | Jun. 30, 2015 | Jan. 15, 2016 | Jun. 30, 2016 | Jun. 30, 2015 |
Basic earnings per common share | ||||||||
Net income | $ 129,460 | $ 73,371 | $ 177,846 | $ 239,197 | ||||
Less: preferred share dividends | 9,969 | 10,022 | 19,938 | 20,044 | ||||
Net income available to common shareholders | $ 119,491 | $ 63,349 | $ 157,908 | $ 219,153 | ||||
Weighted average number of common shares outstanding - basic (in shares) | 91,926,000 | 100,274,000 | 92,980,000 | 100,093,000 | ||||
Basic earnings per common share (in usd per share) | $ 1.30 | $ 0.63 | $ 1.70 | $ 2.19 | ||||
Diluted earnings per common share | ||||||||
Net income available to common shareholders | $ 119,491 | $ 63,349 | $ 157,908 | $ 219,153 | ||||
Weighted average number of common shares outstanding - basic (in shares) | 91,926,000 | 100,274,000 | 92,980,000 | 100,093,000 | ||||
Share based compensation plans (in shares) | 632,000 | 886,000 | 725,000 | 1,058,000 | ||||
Weighted average number of common shares outstanding - diluted (in shares) | 92,558,000 | 101,160,000 | 93,705,000 | 101,151,000 | ||||
Diluted earnings per common share (in usd per share) | $ 1.29 | $ 0.63 | $ 1.69 | $ 2.17 | ||||
Anti-dilutive shares excluded from the dilutive computation | 7,000 | 89,000 | 339,000 | 329,000 | ||||
August 17, 2015 ASR agreement [Member] | ||||||||
Accelerated Share Repurchases [Line Items] | ||||||||
Shares repurchased (in shares) | 1,358,380 | 4,149,378 | 4,149,378 | 5,507,758 | 1,358,380 |
SHAREHOLDERS' EQUITY (DETAILS)
SHAREHOLDERS' EQUITY (DETAILS) - shares shares in Thousands | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | Dec. 31, 2015 | |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||
Shares issued, balance at beginning of period | 176,240 | ||||
Total shares issued at end of period | 176,575 | 176,575 | |||
Treasury shares, balance at beginning of period | (80,174) | ||||
Total treasury shares at end of period | (85,921) | (85,921) | |||
Total shares outstanding | 90,654 | 90,654 | 96,066 | ||
Common Stock [Member] | |||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||
Shares issued, balance at beginning of period | 176,556 | 176,190 | 176,240 | 175,478 | |
Shares issued | 19 | 16 | 335 | 728 | |
Total shares issued at end of period | 176,575 | 176,206 | 176,575 | 176,206 | |
Treasury shares, balance at beginning of period | (83,653) | (75,971) | (80,174) | (76,052) | |
Shares repurchased | (2,337) | (60) | (6,247) | (350) | |
Shares reissued from treasury | 69 | 109 | 500 | 480 | |
Total treasury shares at end of period | (85,921) | (75,922) | (85,921) | (75,922) | |
Total shares outstanding | 90,654 | 100,284 | 90,654 | 100,284 |
SHAREHOLDERS' EQUITY (DETAILS 2
SHAREHOLDERS' EQUITY (DETAILS 2) - USD ($) $ / shares in Units, $ in Thousands | Jan. 15, 2016 | Aug. 30, 2015 | Jun. 30, 2016 | Sep. 30, 2015 | Jun. 30, 2015 | Jan. 15, 2016 | Jun. 30, 2016 | Jun. 30, 2015 |
August 17, 2015 ASR agreement [Member] | ||||||||
Treasury Shares [Line Items] | ||||||||
Total shares | 1,358,380 | 4,149,378 | 4,149,378 | 5,507,758 | 1,358,380 | |||
Total cost | $ 300,000 | |||||||
Average price per share (in usd per share) | $ 54.47 | |||||||
Common Stock [Member] | ||||||||
Treasury Shares [Line Items] | ||||||||
Total shares | 2,337,000 | 60,000 | 6,247,000 | 350,000 | ||||
Total cost | $ 127,039 | $ 3,158 | $ 323,050 | $ 17,929 | ||||
Average price per share (in usd per share) | $ 54.36 | $ 52.51 | $ 51.71 | $ 51.22 | ||||
Common Stock [Member] | In the Open Market [Member] | ||||||||
Treasury Shares [Line Items] | ||||||||
Total shares | 2,300,000 | 0 | 6,004,000 | 16,000 | ||||
Total cost | $ 125,000 | $ 0 | $ 310,000 | $ 832 | ||||
Average price per share (in usd per share) | $ 54.35 | $ 0 | $ 51.63 | $ 50.69 | ||||
Common Stock [Member] | In the Open Market [Member] | August 17, 2015 ASR agreement [Member] | ||||||||
Treasury Shares [Line Items] | ||||||||
Total shares | 1,358,380 | |||||||
Common Stock [Member] | From Employees [Member] | ||||||||
Treasury Shares [Line Items] | ||||||||
Total shares | 37,000 | 60,000 | 243,000 | 334,000 | ||||
Total cost | $ 2,039 | $ 3,158 | $ 13,050 | $ 17,097 | ||||
Average price per share (in usd per share) | $ 54.70 | $ 52.51 | $ 53.65 | $ 51.17 |
SHAREHOLDERS' EQUITY (DETAILS 3
SHAREHOLDERS' EQUITY (DETAILS 3) - USD ($) $ / shares in Units, $ in Thousands | Jan. 15, 2016 | Dec. 31, 2015 | Aug. 30, 2015 | Sep. 30, 2015 | Jan. 15, 2016 | Jun. 30, 2016 | Jun. 30, 2015 | Aug. 17, 2015 |
Treasury shares, at cost [Member] | ||||||||
Class of Stock [Line Items] | ||||||||
Total cost | $ 323,050 | $ 17,930 | ||||||
Additional paid-in capital [Member] | ||||||||
Class of Stock [Line Items] | ||||||||
Total cost | $ (60,000) | $ 0 | ||||||
August 17, 2015 ASR agreement [Member] | ||||||||
Class of Stock [Line Items] | ||||||||
Total cost | $ 300,000 | |||||||
Total shares | 1,358,380 | 4,149,378 | 4,149,378 | 5,507,758 | 1,358,380 | |||
Accelerated Share Repurchases, Authorized Amount | $ 300,000 | |||||||
Accelerated Share Repurchases, initial repurchase percentage | 80.00% | |||||||
Average price per share (in usd per share) | $ 54.47 | |||||||
August 17, 2015 ASR agreement [Member] | Treasury shares, at cost [Member] | ||||||||
Class of Stock [Line Items] | ||||||||
Total cost | $ 60,000 | $ 240,000 | ||||||
August 17, 2015 ASR agreement [Member] | Additional paid-in capital [Member] | ||||||||
Class of Stock [Line Items] | ||||||||
Total cost | $ 60,000 |
SHAREHOLDERS' EQUITY (DETAILS 4
SHAREHOLDERS' EQUITY (DETAILS 4) - Series B Preferred Stock [Member] $ in Millions | Jan. 27, 2016USD ($)shares |
Class of Stock [Line Items] | |
Preferred shares, number of shares repurchased | shares | 28,430 |
Preferred shares, aggregate liquidation preference repurchased | $ | $ 3 |
COMMITMENTS AND CONTINGENCIES (
COMMITMENTS AND CONTINGENCIES (DETAILS) - Minimum reinsurance premiums [Member] $ in Millions | Jun. 30, 2016USD ($) |
Unrecorded Unconditional Purchase Obligation [Line Items] | |
Outstanding purchase commitment | $ 92 |
Outstanding purchase commitment, due in 2016 | 57 |
Outstanding purchase commitment, due in 2017 | $ 35 |
OTHER COMPREHENSIVE INCOME (DET
OTHER COMPREHENSIVE INCOME (DETAILS) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
Before Tax Amount | ||||
Unrealized investment gains (losses) arising during the period | $ 74,278 | $ (86,076) | $ 223,109 | $ (81,013) |
Adjustment for reclassification of net realized investment gains (losses) and OTTI losses recognized in net income | (18,604) | 9,392 | 45,388 | 54,489 |
Unrealized investment gains (losses) arising during the period, net of reclassification adjustment | 55,674 | (76,684) | 268,497 | (26,524) |
Non-credit portion of OTTI losses | 0 | 0 | 0 | 0 |
Foreign currency translation adjustment | (4,224) | 2,188 | 3,972 | (9,225) |
Total other comprehensive income (loss) | 51,450 | (74,496) | 272,469 | (35,749) |
Tax (Expense) Benefit | ||||
Unrealized investment gains (losses) arising during the period | (10,593) | 14,035 | (20,790) | 3,785 |
Adjustment for reclassification of net realized investment gains (losses) and OTTI losses recognized in net income | 4,585 | (535) | (125) | (529) |
Unrealized investment gains (losses) arising during the period, net of reclassification adjustment | (6,008) | 13,500 | (20,915) | 3,256 |
Non-credit portion of OTTI losses | 0 | 0 | 0 | 0 |
Foreign currency translation adjustment | 0 | 0 | 0 | 0 |
Total other comprehensive income (loss) | (6,008) | 13,500 | (20,915) | 3,256 |
Net of Tax Amount | ||||
Unrealized investment gains (losses) arising during the period | 63,685 | (72,041) | 202,319 | (77,228) |
Adjustment for reclassification of net realized investment gains (losses) and OTTI losses recognized in net income | (14,019) | 8,857 | 45,263 | 53,960 |
Unrealized investment gains (losses) arising during the period, net of reclassification adjustment | 49,666 | (63,184) | 247,582 | (23,268) |
Non-credit portion of OTTI losses | 0 | 0 | 0 | 0 |
Foreign currency translation adjustment | (4,224) | 2,188 | 3,972 | (9,225) |
Total other comprehensive income (loss), net of tax | $ 45,442 | $ (60,996) | $ 251,554 | $ (32,493) |
OTHER COMPREHENSIVE INCOME (D59
OTHER COMPREHENSIVE INCOME (DETAILS 2) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
Reclassification out of accumulated comprehensive income into net income available to common shareholders [Line Items] | ||||
Other realized investment gains (losses) | $ 27,379 | $ 1,783 | $ (29,401) | $ (23,201) |
OTTI losses | (6,369) | (12,893) | (16,099) | (30,461) |
Income before income taxes | 134,361 | 75,186 | 176,207 | 240,322 |
Income tax (expense) benefit | (4,901) | (1,815) | 1,639 | (1,125) |
Net income | 129,460 | 73,371 | 177,846 | 239,197 |
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) | 24,973 | 3,501 | (29,289) | (24,028) |
OTTI losses | (6,369) | (12,893) | (16,099) | (30,461) |
Income before income taxes | 18,604 | (9,392) | (45,388) | (54,489) |
Income tax (expense) benefit | (4,585) | 535 | 125 | 529 |
Net income | $ 14,019 | $ (8,857) | $ (45,263) | $ (53,960) |