COVER PAGE
COVER PAGE - shares | 6 Months Ended | |
Jun. 30, 2020 | Jul. 24, 2020 | |
Document Information [Line Items] | ||
Document Type | 10-Q | |
Document Quarterly Report | true | |
Document Period End Date | Jun. 30, 2020 | |
Document Transition Report | false | |
Entity File Number | 001-31721 | |
Entity Incorporation, State or Country Code | D0 | |
Entity Tax Identification Number | 98-0395986 | |
Entity Address, Address Line One | 92 Pitts Bay Road | |
Entity Address, City or Town | Pembroke | |
Entity Address, Country | BM | |
Entity Address, Postal Zip Code | HM 08 | |
City Area Code | 441 | |
Local Phone Number | 496-2600 | |
Entity Current Reporting Status | Yes | |
Entity Interactive Data Current | Yes | |
Entity Filer Category | Large Accelerated Filer | |
Entity Small Business | false | |
Entity Emerging Growth Company | false | |
Entity Shell Company | false | |
Entity Common Stock, Shares Outstanding | 84,306,657 | |
Amendment Flag | false | |
Document Fiscal Year Focus | 2020 | |
Document Fiscal Period Focus | Q2 | |
Entity Registrant Name | AXIS CAPITAL HOLDINGS LTD | |
Entity Central Index Key | 0001214816 | |
Current Fiscal Year End Date | --12-31 | |
Common shares | ||
Document Information [Line Items] | ||
Title of 12(b) Security | Common shares, par value $0.0125 per share | |
Trading Symbol | AXS | |
Security Exchange Name | NYSE | |
Series E preferred shares | ||
Document Information [Line Items] | ||
Title of 12(b) Security | Depositary Shares, each representing a 1/100th interest in a 5.50% Series E preferred share | |
Trading Symbol | AXS PRE | |
Security Exchange Name | NYSE |
CONSOLIDATED BALANCE SHEETS
CONSOLIDATED BALANCE SHEETS - USD ($) $ in Thousands | Jun. 30, 2020 | Dec. 31, 2019 |
Investments: | ||
Fixed maturities, available for sale, at fair value (Amortized cost 2020: $11,715,885; 2019: $12,263,240 Allowance for expected credit losses 2020: $6,257) | $ 12,046,415 | $ 12,468,205 |
Equity securities, at fair value (Cost 2020: $340,510; 2019: $398,956) | 378,860 | 474,207 |
Mortgage loans, held for investment, at fair value (Allowance for expected credit losses 2020: $nil) | 524,757 | 432,748 |
Other investments, at fair value | 768,635 | 770,923 |
Equity method investments | 101,346 | 117,821 |
Short-term investments, at fair value | 34,337 | 38,471 |
Total investments | 13,854,350 | 14,302,375 |
Cash and cash equivalents | 1,086,829 | 1,241,109 |
Restricted cash and cash equivalents | 562,004 | 335,348 |
Accrued interest receivable | 68,880 | 78,085 |
Insurance and reinsurance premium balances receivable (Allowance for expected credit losses 2020: $10,041) | 3,527,147 | 3,071,390 |
Reinsurance recoverable on unpaid losses and loss expenses (Allowance for expected credit losses 2020: $20,987) | 4,160,521 | 3,877,756 |
Reinsurance recoverable on paid losses and loss expenses | 395,990 | 327,795 |
Deferred acquisition costs | 583,484 | 492,119 |
Prepaid reinsurance premiums | 1,352,090 | 1,101,889 |
Receivable for investments sold | 2,985 | 35,659 |
Goodwill | 102,003 | 102,003 |
Intangible assets | 225,092 | 230,550 |
Value of business acquired | 5,909 | 8,992 |
Operating lease right-of-use assets | 136,815 | 111,092 |
Other assets | 295,074 | 287,892 |
Total assets | 26,359,173 | 25,604,054 |
Liabilities | ||
Reserve for losses and loss expenses | 13,179,166 | 12,752,081 |
Unearned premiums | 4,418,728 | 3,626,246 |
Insurance and reinsurance balances payable | 1,365,799 | 1,349,082 |
Debt | 1,309,076 | 1,808,157 |
Payable for investments purchased | 350,347 | 32,985 |
Operating lease liabilities | 141,621 | 115,584 |
Other liabilities | 296,616 | 375,911 |
Total liabilities | 21,061,353 | 20,060,046 |
Shareholders’ equity | ||
Preferred shares | 550,000 | 775,000 |
Common shares (shares issued 2020: 176,580; 2019: 176,580 shares outstanding 2020: 84,306; 2019: 83,959) | 2,206 | 2,206 |
Additional paid-in capital | 2,317,354 | 2,317,212 |
Accumulated other comprehensive income | 281,599 | 171,710 |
Retained earnings | 5,913,029 | 6,056,686 |
Treasury shares, at cost (2020: 92,274; 2019: 92,621 shares) | (3,766,368) | (3,778,806) |
Total shareholders’ equity | 5,297,820 | 5,544,008 |
Total liabilities and shareholders’ equity | $ 26,359,173 | $ 25,604,054 |
CONSOLIDATED BALANCE SHEETS (Pa
CONSOLIDATED BALANCE SHEETS (Parenthetical) - USD ($) shares in Thousands | Jun. 30, 2020 | Mar. 31, 2020 | Dec. 31, 2019 | Jun. 30, 2019 | Mar. 31, 2019 | Dec. 31, 2018 |
Statement of Financial Position [Abstract] | ||||||
Fixed maturities, available for sale, amortized cost | $ 11,715,885,000 | $ 12,263,240,000 | ||||
Fixed maturities, available for sale, allowance for credit loss | 6,257,000 | $ 20,019,000 | 0 | $ 0 | $ 0 | $ 0 |
Equity securities, cost | 340,510,000 | 398,956,000 | ||||
Credit losses associated with commercial mortgage loans | 0 | 0 | ||||
Allowance for credit loss | 10,041,000 | 7,000,000 | ||||
Allowance for credit losses on reinsurance recoverable for unpaid losses and loss expenses | $ 20,987,000 | $ 18,000,000 | ||||
Common shares, shares issued (in shares) | 176,580 | 176,580 | 176,580 | 176,580 | 176,580 | 176,580 |
Common shares, shares outstanding (in shares) | 84,306 | 83,959 | 83,947 | |||
Treasury shares, shares (in shares) | 92,274 | 92,282 | 92,621 | 92,633 | 92,646 | 92,994 |
CONSOLIDATED STATEMENTS OF OPER
CONSOLIDATED STATEMENTS OF OPERATIONS (UNAUDITED) - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2020 | Jun. 30, 2019 | Jun. 30, 2020 | Jun. 30, 2019 | |
Revenues | ||||
Net premiums earned | $ 1,104,003 | $ 1,123,607 | $ 2,192,628 | $ 2,257,819 |
Net investment income | 45,040 | 137,949 | 138,140 | 245,254 |
Other insurance related income (loss) | 1,996 | 2,925 | (6,710) | 9,852 |
Net investment gains (losses): | ||||
Allowance for expected credit losses | 13,761 | 0 | (6,257) | 0 |
Impairment losses | (112) | 0 | (1,302) | 0 |
Other-than-temporary impairment ("OTTI") losses | 0 | (834) | 0 | (4,870) |
Other realized and unrealized investment gains (losses) | 39,394 | 22,059 | (2,272) | 38,866 |
Total net investment gains (losses) | 53,043 | 21,225 | (9,831) | 33,996 |
Total revenues | 1,204,082 | 1,285,706 | 2,314,227 | 2,546,921 |
Expenses | ||||
Net losses and loss expenses | 676,261 | 672,463 | 1,584,335 | 1,336,491 |
Acquisition costs | 228,502 | 242,363 | 467,152 | 502,781 |
General and administrative expenses | 140,652 | 165,395 | 297,712 | 340,486 |
Foreign exchange losses (gains) | 9,709 | (12,381) | (51,974) | (5,325) |
Interest expense and financing costs | 20,595 | 15,607 | 44,067 | 31,502 |
Reorganization expenses | 392 | 3,276 | (591) | 18,096 |
Amortization of value of business acquired | 1,285 | 7,194 | 3,083 | 20,298 |
Amortization of intangible assets | 2,855 | 2,912 | 5,725 | 5,914 |
Total expenses | 1,080,251 | 1,096,829 | 2,349,509 | 2,250,243 |
Income (loss) before income taxes and interest in income (loss) of equity method investments | 123,831 | 188,877 | (35,282) | 296,678 |
Income tax expense | (10,893) | (14,469) | (6,026) | (15,703) |
Interest in income (loss) of equity method investments | 7,102 | 2,635 | (16,475) | 4,853 |
Net income (loss) | 120,040 | 177,043 | (57,783) | 285,828 |
Preferred share dividends | 7,563 | 10,656 | 15,125 | 21,313 |
Net income (loss) available (attributable) to common shareholders | $ 112,477 | $ 166,387 | $ (72,908) | $ 264,515 |
Earnings (loss) per common share: | ||||
Earnings (loss) per common share (in usd per share) | $ 1.33 | $ 1.98 | $ (0.87) | $ 3.16 |
Earnings (loss) per diluted common share (in usd per share) | $ 1.33 | $ 1.97 | $ (0.87) | $ 3.14 |
Weighted average common shares outstanding (in shares) | 84,303 | 83,941 | 84,198 | 83,834 |
Weighted average diluted common shares outstanding (in shares) | 84,600 | 84,401 | 84,198 | 84,338 |
CONSOLIDATED STATEMENTS OF COMP
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (UNAUDITED) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2020 | Jun. 30, 2019 | Jun. 30, 2020 | Jun. 30, 2019 | |
Statement of Comprehensive Income [Abstract] | ||||
Net income (loss) | $ 120,040 | $ 177,043 | $ (57,783) | $ 285,828 |
Other comprehensive income, net of tax: | ||||
Unrealized gains arising during the period, net of reclassification adjustment | 367,684 | 124,493 | 113,780 | 328,036 |
Foreign currency translation adjustment | 3,834 | 2,556 | (3,891) | 5,219 |
Total other comprehensive income, net of tax | 371,518 | 127,049 | 109,889 | 333,255 |
Comprehensive income | 491,558 | 304,092 | 52,106 | 619,083 |
Unrealized gains (losses) on available for sale investments, net of tax: | ||||
Other comprehensive income, net of tax: | ||||
Adjustment for reclassification of net realized (gains) losses, impairment losses and OTTI losses recognized in net income (loss) | (6,816) | (6,949) | (1,159) | 6,385 |
Unrealized gains arising during the period, net of reclassification adjustment | 367,684 | 124,493 | 113,780 | 328,036 |
Unrealized gains (losses) on available for sale investments, net of tax: | Unrealized gains arising during the period for which an allowance for expected credit losses has not been recognized | ||||
Other comprehensive income, net of tax: | ||||
Unrealized holding gain (loss) arising during period | 371,288 | 131,442 | 117,968 | 321,651 |
Unrealized gains (losses) on available for sale investments, net of tax: | Unrealized gains (losses) arising during the period for which an allowance for expected credit losses has been recognized | ||||
Other comprehensive income, net of tax: | ||||
Unrealized holding gain (loss) arising during period | $ 3,212 | $ 0 | $ (3,029) | $ 0 |
CONSOLIDATED STATEMENTS OF CHAN
CONSOLIDATED STATEMENTS OF CHANGES IN SHAREHOLDERS' EQUITY (UNAUDITED) - USD ($) $ in Thousands | Total | Preferred shares | Common shares (par value) | Additional paid-in capital | Accumulated other comprehensive income | Unrealized gains (losses) on available for sale investments, net of tax: | Cumulative foreign currency translation adjustments, net of tax: | Retained earnings | Treasury shares, at cost |
Balance at beginning of period at Dec. 31, 2018 | $ 775,000 | $ 2,206 | $ 2,308,583 | $ (177,110) | $ (168,365) | $ (8,745) | $ 5,912,812 | $ (3,791,420) | |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||||||
Shares repurchased | 0 | ||||||||
Shares reissued | (20,058) | 21,791 | |||||||
Share-based compensation expense | 15,067 | ||||||||
Unrealized gains arising during the period, net of reclassification adjustment | $ 328,036 | 328,036 | |||||||
Foreign currency translation adjustment | 5,219 | 5,219 | |||||||
Net income (loss) | 285,828 | 285,828 | |||||||
Preferred share dividends | (21,313) | ||||||||
Common share dividends | (68,750) | ||||||||
Shares repurchased | (9,414) | (9,414) | |||||||
Balance at end of period at Jun. 30, 2019 | 5,566,477 | 775,000 | 2,206 | 2,303,592 | 156,145 | 159,671 | (3,526) | 6,108,577 | (3,779,043) |
Balance at beginning of period at Mar. 31, 2019 | 775,000 | 2,206 | 2,296,639 | 29,096 | 35,178 | (6,082) | 5,976,603 | (3,779,388) | |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||||||
Shares repurchased | 0 | ||||||||
Shares reissued | (756) | 756 | |||||||
Share-based compensation expense | 7,709 | ||||||||
Unrealized gains arising during the period, net of reclassification adjustment | 124,493 | 124,493 | |||||||
Foreign currency translation adjustment | 2,556 | 2,556 | |||||||
Net income (loss) | 177,043 | 177,043 | |||||||
Preferred share dividends | (10,656) | ||||||||
Common share dividends | (34,413) | ||||||||
Shares repurchased | (411) | (411) | |||||||
Balance at end of period at Jun. 30, 2019 | 5,566,477 | 775,000 | 2,206 | 2,303,592 | 156,145 | 159,671 | (3,526) | 6,108,577 | (3,779,043) |
Balance at beginning of period at Dec. 31, 2019 | 5,544,008 | 775,000 | 2,206 | 2,317,212 | 171,710 | 181,521 | (9,811) | 6,056,686 | (3,778,806) |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||||||
Shares repurchased | (225,000) | ||||||||
Shares reissued | (19,151) | 21,040 | |||||||
Share-based compensation expense | 19,293 | ||||||||
Unrealized gains arising during the period, net of reclassification adjustment | 113,780 | 113,780 | |||||||
Foreign currency translation adjustment | (3,891) | (3,891) | |||||||
Net income (loss) | (57,783) | (57,783) | |||||||
Preferred share dividends | (15,125) | ||||||||
Common share dividends | (70,749) | ||||||||
Shares repurchased | (8,602) | (8,602) | |||||||
Balance at end of period at Jun. 30, 2020 | 5,297,820 | 550,000 | 2,206 | 2,317,354 | 281,599 | 295,301 | (13,702) | 5,913,029 | (3,766,368) |
Balance at beginning of period at Mar. 31, 2020 | 550,000 | 2,206 | 2,307,998 | (89,919) | (72,383) | (17,536) | 5,836,007 | (3,766,714) | |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||||||
Shares repurchased | 0 | ||||||||
Shares reissued | (456) | 456 | |||||||
Share-based compensation expense | 9,812 | ||||||||
Unrealized gains arising during the period, net of reclassification adjustment | 367,684 | 367,684 | |||||||
Foreign currency translation adjustment | 3,834 | 3,834 | |||||||
Net income (loss) | 120,040 | 120,040 | |||||||
Preferred share dividends | (7,563) | ||||||||
Common share dividends | (35,455) | ||||||||
Shares repurchased | (110) | (110) | |||||||
Balance at end of period at Jun. 30, 2020 | $ 5,297,820 | $ 550,000 | $ 2,206 | $ 2,317,354 | $ 281,599 | $ 295,301 | $ (13,702) | $ 5,913,029 | $ (3,766,368) |
CONSOLIDATED STATEMENTS OF CASH
CONSOLIDATED STATEMENTS OF CASH FLOWS (UNAUDITED) - USD ($) $ in Thousands | 6 Months Ended | |
Jun. 30, 2020 | Jun. 30, 2019 | |
Cash flows from operating activities: | ||
Net income (loss) | $ (57,783) | $ 285,828 |
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||
Net investment (gains) losses | 9,831 | (33,996) |
Net realized and unrealized (gains) losses on other investments | 39,700 | (38,128) |
Amortization of fixed maturities | 14,850 | 8,592 |
Interest in (income) loss of equity method investments | 16,475 | (4,853) |
Amortization of value of business acquired | 3,083 | 20,298 |
Other amortization and depreciation | 30,481 | 41,444 |
Share-based compensation expense, net of cash payments | 7,125 | 9,100 |
Changes in: | ||
Accrued interest receivable | 9,223 | (2,244) |
Reinsurance recoverable balances on unpaid and paid losses | (353,946) | (146,353) |
Deferred acquisition costs | (92,026) | (91,193) |
Prepaid reinsurance premiums | (250,988) | (279,659) |
Reserve for losses and loss expenses | 438,746 | (21,446) |
Unearned premiums | 797,402 | 869,640 |
Insurance and reinsurance balances, net | (440,688) | (580,450) |
Other items | (65,493) | (53,163) |
Net cash provided by (used in) operating activities | 105,992 | (16,583) |
Purchases of: | ||
Fixed maturities | (5,311,263) | (5,014,725) |
Equity securities | (15,724) | (26,971) |
Mortgage loans | (95,764) | (95,906) |
Other investments | (75,803) | (141,525) |
Short-term investments | (134,822) | (100,936) |
Proceeds from the sale of: | ||
Fixed maturities | 5,357,595 | 3,796,747 |
Equity securities | 86,833 | 2,456 |
Other investments | 80,235 | 163,773 |
Short-term investments | 81,215 | 205,607 |
Proceeds from redemption of fixed maturities | 796,594 | 569,922 |
Proceeds from redemption of short-term investments | 57,948 | 7,571 |
Proceeds from the repayment of mortgage loans | 3,951 | 486 |
Purchase of other assets | (28,470) | (32,747) |
Net cash provided by (used in) investing activities | 802,525 | (666,248) |
Cash flows from financing activities: | ||
Taxes paid on withholding shares | (8,602) | (9,414) |
Dividends paid - common shares | (71,994) | (69,948) |
Repurchase of preferred shares | (225,000) | 0 |
Dividends paid - preferred shares | (16,706) | (21,313) |
Net proceeds from issuance of senior notes | 0 | 296,334 |
Redemption of senior notes | (500,000) | (250,000) |
Net cash used in financing activities | (822,302) | (54,341) |
Effect of exchange rate changes on foreign currency cash, cash equivalents and restricted cash | (13,839) | 1,866 |
Increase (decrease) in cash, cash equivalents and restricted cash | 72,376 | (735,306) |
Cash, cash equivalents and restricted cash - beginning of period | 1,576,457 | 1,830,020 |
Cash, cash equivalents and restricted cash - end of period | 1,648,833 | 1,094,714 |
Supplemental disclosures of cash flow information: | ||
Income taxes paid (refund) | (408) | 13,405 |
Interest paid | $ 34,820 | $ 31,438 |
BASIS OF PRESENTATION AND SIGNI
BASIS OF PRESENTATION AND SIGNIFICANT ACCOUNTING POLICIES | 6 Months Ended |
Jun. 30, 2020 | |
Accounting Policies [Abstract] | |
BASIS OF PRESENTATION AND SIGNIFICANT ACCOUNTING POLICIES | Basis of Presentation These unaudited Consolidated Financial Statements (the "financial statements") have been prepared in accordance with accounting principles generally accepted in the United States of America ("U.S. GAAP") for interim financial information and with the U.S. Securities and Exchange Commission's ("SEC") instructions to Form 10-Q and Article 10 of Regulation S-X and include AXIS Capital Holdings Limited ("AXIS Capital") and its subsidiaries (the "Company"). Accordingly, they do not include all of the information and notes required by U.S. GAAP for complete financial statements. This Quarterly Report on Form 10-Q should be read in conjunction with the financial statements and related notes included in AXIS Capital's Annual Report on Form 10-K for the year ended December 31, 2019, as filed with the SEC. In the opinion of management, these financial statements reflect all adjustments (consisting of normal recurring adjustments) considered necessary for a fair presentation of the Company's 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. Tabular dollar and share amounts are in thousands, except per share amounts. All amounts are reported in U.S. dollars. Significant Accounting Policies There was one notable change to the Company's significant accounting policies subsequent to its Annual Report on Form 10-K for the year ended December 31, 2019. Measurement of Credit Losses on Financial Instruments Effective January 1, 2020, the Company adopted ASU 2016-13 Measurement of Credit Losses on Financial Instruments, " using the modified retrospective approach for insurance and reinsurance premium balances receivable, reinsurance recoverable on unpaid losses and loss expenses and mortgage loans, held for investment. The Company assessed that the impact of adoption of ASU 2016-13 Insurance and reinsurance premium balances receivable of $3,527 million and $3,071 million at June 30, 2020 and December 31, 2019, respectively, were presented net of an allowance for expected credit losses. The allowance for expected credit losses was estimated based on the Company's analysis of amounts due, historical delinquencies and write-offs, and current economic conditions together with reasonable and supportable forecasts of short-term economic conditions, giving consideration to the potential impact from the COVID-19 pandemic. At June 30, 2020, the allowance for credit losses expected to be recognized over the life of premium balances receivable was $10 million, compared to an allowance for uncollectible premium balances receivable of $7 million at December 31, 2019. The allowance for expected credit losses is recognized in net income (loss). Any adjustment to the allowance for expected credit losses is recognized in the period in which it is determined. Write-offs of premium balances receivable together with associated allowances for expected credit losses are recognized in the period in which balances are deemed uncollectible. The Company does not have a history of significant write-offs. Reinsurance recoverable on unpaid losses and loss expenses of $4,161 million and $3,878 million at June 30, 2020 and December 31, 2019, respectively, were presented net of an allowance for expected credit losses. The allowance for expected credit losses was estimated based on the Company's analysis of amounts due, historical delinquencies and write-offs, and disputes. In addition, the Company used a default analysis based on the reinsurers' credit rating and the length of collection periods to estimate allowances for credit expected losses on the remainder of the reinsurance recoverable balance. The default analysis considered current and forecasted economic conditions including the potential impact from the COVID-19 pandemic. At June 30, 2020, the allowance for credit losses expected to be recognized over the life of the reinsurance recoverable balances was $21 million, compared to an allowance for estimated uncollectible reinsurance recoverable balances of $18 million at December 31, 2019. The allowance for expected credit losses is recognized in net income (loss). Any adjustment to the allowance for expected credit losses is recognized in the period in which it is determined. Write-offs of reinsurance recoverable balances together with associated allowances for expected credit losses are recognized in the period in which balances are deemed uncollectible. The Company does not have a history of significant write-offs. Mortgage loans, held for investment of $525 million and $433 million at June 30, 2020 and December 31, 2019, respectively, were presented net of an allowance for expected credit losses. The allowance for expected credit losses was estimated based on the Company’s analysis of projected lifetime losses. These projections take into account the Company’s experience with loan losses, defaults and loss severity, and loss expectations for loans with similar risk characteristics. These evaluations are revised as conditions change and new information becomes available. At June 30, 2020 and December 31, 2019, the allowance for credit losses expected to be recognized over the life of our mortgage loans was $nil. The allowance for expected credit losses is recognized in net investment gains (losses). Any adjustment to the allowance for expected credit losses is recognized in the period in which it is determined. Effective January 1, 2020, the Company adopted the targeted changes to the impairment model for available for sale securities introduced in ASU 2016-13 An available for sale fixed maturity is impaired if the fair value of the investment is below amortized cost. If a fixed maturity is impaired and the Company intends to sell the security or it is more likely than not that the Company will be required to sell the security before its anticipated recovery, the full amount of the impairment loss is charged to net income and is included in net investment gains (losses). In instances where the Company intends to hold the impaired fixed maturity, and it does not anticipate to fully recover the amortized cost , an allowance for expected credit losses is established. At June 30, 2020, the allowance for expected credit losses was $6 million . The allowance for expected credit losses is charged to net income and is included in net investment gains (losses). The non-credit impairment amount of the loss is recognized in other comprehensive income. On a quarterly basis, the Company assesses whether unrealized losses on fixed maturities represent credit impairments by considering the following factors: a. the extent to which the fair value is less than amortized cost; b. adverse conditions related to the security, industry, or geographical area; c. downgrades in the security's credit rating by a credit rating agency; and d. failure of the issuer to make scheduled principal or interest payments. If a security is assessed to be credit impaired, it is subject to a discounted cash flow analysis by comparing the present value of expected future cash flows with the amortized cost basis. If the present value of expected cash flows is less than the amortized cost, a credit loss exists and an allowance for expected credit losses is recognized. If the present value of expected future cash flows is equal to or greater than the amortized cost basis, an expected credit loss does not exist. The Company reports accrued interest receivable related to available for sale debt securities separately and has elected not to measure an allowance for expected credit losses for accrued interest receivable. Write-offs of accrued interest receivable balances are recognized in net investment gains (losses) in the period in which they are deemed uncollectible. |
SEGMENT INFORMATION
SEGMENT INFORMATION | 6 Months Ended |
Jun. 30, 2020 | |
Segment Reporting [Abstract] | |
SEGMENT INFORMATION | AXIS Capital's underwriting operations are organized around its global underwriting platforms, AXIS Insurance and AXIS Re. The Company has determined that it has two reportable segments, insurance and reinsurance. The Company does not allocate its assets by segment, with the exception of goodwill and intangible assets, as it evaluates the underwriting results of each segment separately from the results of its investment portfolio. Insurance The Company's insurance segment offers specialty insurance products to a variety of niche markets on a worldwide basis. The product lines in this segment are property, marine, terrorism, aviation, credit and political risk, professional lines, liability, accident and health, and discontinued lines - Novae. Reinsurance The Company's reinsurance segment provides treaty reinsurance to insurance companies on a worldwide basis. The product lines in this segment are catastrophe, property, professional lines, credit and surety, motor, liability, agriculture, engineering, marine and other, accident and health, and discontinued lines - Novae. The following tables present the underwriting results of the Company's reportable segments, as well as the carrying values of allocated goodwill and intangible assets: 2020 2019 Three months ended and at June 30, Insurance Reinsurance Total Insurance Reinsurance Total Gross premiums written $ 1,037,568 $ 678,615 $ 1,716,183 $ 968,325 $ 679,435 $ 1,647,760 Net premiums written 602,761 453,173 1,055,934 591,909 478,412 1,070,321 Net premiums earned 577,019 526,984 1,104,003 537,260 586,347 1,123,607 Other insurance related income (loss) 755 1,241 1,996 (695) 3,620 2,925 Net losses and loss expenses (337,367) (338,894) (676,261) (308,703) (363,760) (672,463) Acquisition costs (116,259) (112,243) (228,502) (111,655) (130,708) (242,363) General and administrative expenses (89,751) (24,073) (113,824) (104,898) (28,149) (133,047) Underwriting income $ 34,397 $ 53,015 87,412 $ 11,309 $ 67,350 78,659 Net investment income 45,040 137,949 Net investment gains 53,043 21,225 Corporate expenses (26,828) (32,348) Foreign exchange (losses) gains (9,709) 12,381 Interest expense and financing costs (20,595) (15,607) Reorganization expenses (392) (3,276) Amortization of value of business acquired (1,285) (7,194) Amortization of intangible assets (2,855) (2,912) Income before income taxes and interest in income of equity method investments $ 123,831 $ 188,877 Net losses and loss expenses ratio 58.5 % 64.3 % 61.3 % 57.5 % 62.0 % 59.8 % Acquisition cost ratio 20.1 % 21.3 % 20.7 % 20.8 % 22.3 % 21.6 % General and administrative expense ratio 15.6 % 4.6 % 12.7 % 19.5 % 4.8 % 14.7 % Combined ratio 94.2 % 90.2 % 94.7 % 97.8 % 89.1 % 96.1 % Goodwill and intangible assets $ 327,095 $ — $ 327,095 $ 353,428 $ — $ 353,428 2020 2019 Six months ended and at June 30, Insurance Reinsurance Total Insurance Reinsurance Total Gross premiums written $ 1,978,283 $ 2,169,058 $ 4,147,341 $ 1,819,421 $ 2,411,565 $ 4,230,986 Net premiums written 1,184,411 1,550,567 2,734,978 1,121,149 1,726,232 2,847,381 Net premiums earned 1,139,083 1,053,545 2,192,628 1,094,022 1,163,797 2,257,819 Other insurance related income (loss) 1,403 (8,113) (6,710) 1,046 8,806 9,852 Net losses and loss expenses (809,180) (775,155) (1,584,335) (622,479) (714,012) (1,336,491) Acquisition costs (229,010) (238,142) (467,152) (229,430) (273,351) (502,781) General and administrative expenses (190,529) (53,257) (243,786) (210,932) (60,988) (271,920) Underwriting income (loss) $ (88,233) $ (21,122) (109,355) $ 32,227 $ 124,252 156,479 Net investment income 138,140 245,254 Net investment gains (losses) (9,831) 33,996 Corporate expenses (53,926) (68,566) Foreign exchange gains 51,974 5,325 Interest expense and financing costs (44,067) (31,502) Reorganization expenses 591 (18,096) Amortization of value of business acquired (3,083) (20,298) Amortization of intangible assets (5,725) (5,914) Income (loss) before income taxes and interest in income (loss) of equity method investments $ (35,282) $ 296,678 Net losses and loss expenses ratio 71.0 % 73.6 % 72.3 % 56.9 % 61.4 % 59.2 % Acquisition cost ratio 20.1 % 22.6 % 21.3 % 21.0 % 23.5 % 22.3 % General and administrative expense ratio 16.8 % 5.0 % 13.5 % 19.2 % 5.2 % 15.0 % Combined ratio 107.9 % 101.2 % 107.1 % 97.1 % 90.1 % 96.5 % Goodwill and intangible assets $ 327,095 $ — $ 327,095 $ 353,428 $ — $ 353,428 |
INVESTMENTS
INVESTMENTS | 6 Months Ended |
Jun. 30, 2020 | |
Investments, Debt and Equity Securities [Abstract] | |
INVESTMENTS | a) Fixed Maturities and Equity securities Fixed maturities The following table provides the amortized cost and fair values of the Company's fixed maturities classified as available for sale: Amortized cost Allowance for expected credit losses Gross Gross unrealized losses Fair value At June 30, 2020 Fixed maturities U.S. government and agency $ 1,942,952 $ — $ 70,341 $ (26) $ 2,013,267 Non-U.S. government 608,375 — 9,519 (9,797) 608,097 Corporate debt 4,513,997 (4,643) 200,202 (47,145) 4,662,411 Agency RMBS (1) 1,483,883 — 51,466 (276) 1,535,073 CMBS (2) 1,302,049 — 79,241 (4,026) 1,377,264 Non-agency RMBS 118,085 (20) 2,396 (2,242) 118,219 ABS (3) 1,558,578 (1,594) 9,798 (32,218) 1,534,564 Municipals (4) 187,966 — 9,730 (176) 197,520 Total fixed maturities $ 11,715,885 $ (6,257) $ 432,693 $ (95,906) $ 12,046,415 At December 31, 2019 Fixed maturities U.S. government and agency $ 2,102,849 $ — $ 16,345 $ (6,313) $ 2,112,881 Non-U.S. government 564,505 — 14,535 (2,448) 576,592 Corporate debt 4,797,384 — 140,426 (7,556) 4,930,254 Agency RMBS (1) 1,570,823 — 25,215 (3,454) 1,592,584 CMBS (2) 1,340,156 — 29,838 (4,942) 1,365,052 Non-agency RMBS 84,381 — 1,393 (852) 84,922 ABS (3) 1,599,867 — 4,706 (5,880) 1,598,693 Municipals (4) 203,275 — 4,359 (407) 207,227 Total fixed maturities $ 12,263,240 $ — $ 236,817 $ (31,852) $ 12,468,205 (1) Residential mortgage-backed securities ("RMBS") originated by U.S. government-sponsored agencies. (2) Commercial mortgage-backed securities ("CMBS"). (3) Asset-backed securities ("ABS") include debt tranched securities collateralized primarily by auto loans, student loans, credit card receivables and collateralized loan obligations ("CLOs"). (4) Municipals include bonds issued by states, municipalities and political subdivisions. Equity Securities The following table provides the cost and fair values of the Company's equity securities: Cost Gross unrealized gains Gross unrealized losses Fair value At June 30, 2020 Equity securities Common stocks $ 422 $ 13 $ (371) $ 64 Preferred stocks 6,249 1,183 (1) 7,431 Exchange-traded funds 141,748 37,825 (2,152) 177,421 Bond mutual funds 192,091 1,853 — 193,944 Total equity securities $ 340,510 $ 40,874 $ (2,524) $ 378,860 At December 31, 2019 Equity securities Common stocks $ 504 $ 77 $ (388) $ 193 Preferred stocks — — — — Exchange-traded funds 215,986 81,444 (105) 297,325 Bond mutual funds 182,466 — (5,777) 176,689 Total equity securities $ 398,956 $ 81,521 $ (6,270) $ 474,207 In the normal course of investing activities, the Company actively manages allocations to non-controlling tranches of structured securities which are variable interests issued by Variable Interest Entities ("VIEs"). These structured securities include RMBS, CMBS and ABS. The Company also invests in limited partnerships which represent 58% of the Company's other investments. The investments in limited partnerships include hedge funds, direct lending funds, private equity funds and real estate funds as well as CLO equity tranched securities, which are variable interests issued by VIEs (refer to Note 3(c) ' Other Investments '). The Company does not have the power to direct the activities that are most significant to the economic performance of these VIEs therefore the Company is not the primary beneficiary of these VIEs. The maximum exposure to loss on these interests is limited to the amount of commitment made by the Company. The Company has not provided financial or other support to these structured securities other than the original investment. Contractual Maturities of Fixed Maturities 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. The table below provides the contractual maturities of fixed maturities: Amortized cost Fair value % of Total fair value At June 30, 2020 Maturity Due in one year or less $ 399,074 $ 401,389 3.4 % Due after one year through five years 4,272,644 4,374,575 36.3 % Due after five years through ten years 2,371,695 2,489,188 20.7 % Due after ten years 209,877 216,143 1.8 % 7,253,290 7,481,295 62.2 % Agency RMBS 1,483,883 1,535,073 12.7 % CMBS 1,302,049 1,377,264 11.4 % Non-agency RMBS 118,085 118,219 1.0 % ABS 1,558,578 1,534,564 12.7 % Total $ 11,715,885 $ 12,046,415 100.0 % At December 31, 2019 Maturity Due in one year or less $ 438,881 $ 443,228 3.6 % Due after one year through five years 4,810,202 4,884,837 39.2 % Due after five years through ten years 2,091,486 2,157,157 17.3 % Due after ten years 327,444 341,732 2.7 % 7,668,013 7,826,954 62.8 % Agency RMBS 1,570,823 1,592,584 12.8 % CMBS 1,340,156 1,365,052 10.9 % Non-agency RMBS 84,381 84,922 0.7 % ABS 1,599,867 1,598,693 12.8 % Total $ 12,263,240 $ 12,468,205 100.0 % Gross Unrealized Losses The following table summarizes fixed maturities 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, 2020 Fixed maturities U.S. government and agency $ — $ — $ 145,664 $ (26) $ 145,664 $ (26) Non-U.S. government 58,470 (4,522) 221,511 (5,275) 279,981 (9,797) Corporate debt 104,368 (6,648) 910,430 (40,497) 1,014,798 (47,145) Agency RMBS 10,288 (50) 48,970 (226) 59,258 (276) CMBS 10,374 (931) 132,310 (3,095) 142,684 (4,026) Non-agency RMBS 4,836 (1,075) 26,659 (1,167) 31,495 (2,242) ABS 275,127 (10,585) 745,695 (21,633) 1,020,822 (32,218) Municipals — — 14,905 (176) 14,905 (176) Total fixed maturities $ 463,463 $ (23,811) $ 2,246,144 $ (72,095) $ 2,709,607 $ (95,906) At December 31, 2019 Fixed maturities U.S. government and agency $ 9,536 $ (67) $ 614,705 $ (6,246) $ 624,241 $ (6,313) Non-U.S. government 99,466 (2,036) 18,361 (412) 117,827 (2,448) Corporate debt 121,635 (3,847) 375,858 (3,709) 497,493 (7,556) Agency RMBS 195,395 (1,816) 326,402 (1,638) 521,797 (3,454) CMBS 24,281 (64) 364,641 (4,878) 388,922 (4,942) Non-agency RMBS 6,345 (792) 25,816 (60) 32,161 (852) ABS 535,780 (4,667) 404,641 (1,213) 940,421 (5,880) Municipals 5,418 (34) 46,684 (373) 52,102 (407) Total fixed maturities $ 997,856 $ (13,323) $ 2,177,108 $ (18,529) $ 3,174,964 $ (31,852) Fixed Maturities At June 30, 2020, 1,545 fixed maturities (2019: 1,190) were in an unrealized loss position of $96 million (2019: $32 million), of which $35 million (2019: $5 million) was related to securities below investment grade or not rated. At June 30, 2020, 351 fixed maturities (2019: 497) had been in a continuous unrealized loss position for twelve months or greater and had a fair value of $463 million (2019: $998 million). The Company concluded that the unrealized loss on these securities as well as the remaining securities in an unrealized loss position were due to non-credit factors at June 30, 2020, and were expected to recover in value as the securities approach maturity. At June 30, 2020, the Company did not intend to sell the securities in an unrealized loss position and it is more likely than not that the Company will not be required to sell these securities before the anticipated recovery of their amortized costs. b) Mortgage Loans The following table provides details of the Company's mortgage loans held-for-investment: June 30, 2020 December 31, 2019 Carrying value % of Total Carrying value % of Total Mortgage Loans held-for-investment: Commercial $ 524,757 100 % $ 432,748 100 % Total Mortgage Loans held-for-investment $ 524,757 100 % $ 432,748 100 % The primary credit quality indicator for commercial mortgage loans 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 which compares 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. The Company has a high quality mortgage loan portfolio with a weighted average debt service coverage ratio of 2.0x and a weighted average loan-to-value ratio of 59% . At June 30, 2020, there are no credit losses or past due amounts associated with the commercial mortgage loans held by the Company. c) Other Investments The following tables provide a summary of the Company's other 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, 2020 Long/short equity funds $ 23,299 3 % Annually 60 days Multi-strategy funds 142,625 19 % Quarterly, Semi-annually 60-90 days Direct lending funds 262,802 34 % n/a n/a Private equity funds 101,485 13 % n/a n/a Real estate funds 144,003 19 % n/a n/a CLO-Equities 9,943 1 % n/a n/a Other privately held investments 37,420 5 % n/a n/a Overseas deposits 47,058 6 % n/a n/a Total other investments $ 768,635 100 % At December 31, 2019 Long/short equity funds $ 31,248 4 % Annually 60 days Multi-strategy funds 136,542 18 % Quarterly, Semi-annually 60-90 days Direct lending funds 277,395 36 % n/a n/a Private equity funds 80,412 10 % n/a n/a Real estate funds 130,112 17 % n/a n/a CLO-Equities 14,328 2 % n/a n/a Other privately held investments 36,934 5 % n/a n/a Overseas deposits 63,952 8 % n/a n/a Total other investments $ 770,923 100 % n/a - not applicable Two common redemption restrictions which may impact the Company's ability to redeem 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 the six months ended June 30, 2020 and 2019, neither of these restrictions impacted the Company's redemption requests. At June 30, 2020, $74 million (2019: $69 million), representing 44% (2019: 41%) of total hedge funds, relate to holdings where the Company is still within the lockup period. The expiration of these lockup periods range from October 2020 to March 2022. At June 30, 2020, the Company had $153 million (2019: $170 million) of unfunded commitments as a limited partner 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 five At June 30, 2020, the Company had $20 million (2019: $24 million) of unfunded commitments as a limited partner in multi-strategy hedge 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 after the completion of the funds' investment term. These funds have investment terms ranging from two years to the dissolution of the underlying fund. At June 30, 2020, the Company had $162 million (2019: $82 million) of unfunded commitments as a limited partner in funds which invest in real estate and real estate securities and businesses. These funds include an open-ended fund and funds with investment terms ranging from seven years to the dissolution of the underlying fund. At June 30, 2020, the Company had $172 million (2019: $261 million) of unfunded commitments as a limited partner in private equity funds. The life of the funds is subject to the dissolution of the underlying funds. The Company expects the overall holding period to be over five years. During 2015, the Company made a $50 million commitment as a limited partner of a bank revolver opportunity fund. The fund has 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, 2020, this commitment remains unfunded. It is not anticipated that the full amount of this fund will be drawn. Syndicate 2007 holds overseas deposits which include investments in private funds where the underlying investments are primarily U.S. government, non-U.S. government and corporate debt securities. The funds do not trade on an exchange and therefore are not included within available for sale investments. d) Equity Method Investments During 2016, the Company paid $108 million including direct transaction costs to acquire 19% 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, the Company expects 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, the Company has entered into an arrangement with Blackstone under which underwriting and investment related fees will be shared equally. Harrington is not a VIE that is required to be included in the Company's consolidated financial statements. The Company accounts for its ownership interest in Harrington under the equity method of accounting. The Company's proportionate share of the underlying equity in net assets resulted in a basis difference of $5 million which represents initial transactions costs. e) Net Investment Income Net investment income was derived from the following sources: Three months ended June 30, Six months ended June 30, 2020 2019 2020 2019 Fixed maturities $ 80,459 $ 97,370 $ 170,402 $ 188,752 Other investments (37,580) 31,232 (39,700) 38,128 Equity securities 2,263 3,197 4,387 5,525 Mortgage loans 3,660 3,689 7,713 6,752 Cash and cash equivalents 2,392 8,138 7,323 13,940 Short-term investments 366 1,108 1,863 5,002 Gross investment income 51,560 144,734 151,988 258,099 Investment expenses (6,520) (6,785) (13,848) (12,845) Net investment income $ 45,040 $ 137,949 $ 138,140 $ 245,254 f) Net Investment Gains (Losses) The following table provides an analysis of net investment gains (losses): Three months ended June 30, Six months ended June 30, 2020 2019 2020 2019 Gross realized investment gains Fixed maturities and short-term investments $ 51,017 $ 18,971 $ 90,948 $ 29,409 Equity securities 22,038 154 23,958 1,598 Gross realized investment gains 73,055 19,125 114,906 31,007 Gross realized investment losses Fixed maturities and short-term investments (55,056) (9,978) (77,821) (30,257) Equity securities (3,120) (29) (5,802) (122) Gross realized investment losses (58,176) (10,007) (83,623) (30,379) Allowance for expected credit losses 13,761 — (6,257) — Impairment losses (1) (112) — (1,302) — OTTI losses — (834) — (4,870) Change in fair value of investment derivatives (2) 154 (204) 3,316 (2,305) Net unrealized gains (losses) on equity securities 24,361 13,145 (36,871) 40,543 Net investment gains (losses) $ 53,043 $ 21,225 $ (9,831) $ 33,996 (1) Related to instances where the Company intends to sell securities or it is more likely than not that the Company will be required to sell securities before their anticipated recovery. (2) Refer to Note 5 ' Derivative Instruments'. The following table provides a reconciliation of the beginning and ending balances of the allowance for expected credit losses on fixed maturities classified as available for sale: Three months ended June 30, Six months ended June 30, 2020 2019 2020 2019 Balance at beginning of period $ 20,019 $ — $ — $ — Expected credit losses on securities where credit losses were not previously recognized 2,357 — 22,376 — Additions (reductions) for expected credit losses on securities where credit losses were previously recognized (6,879) — (6,879) — Impairments of securities which the Company intends to sell or more likely than not will be required to sell — — — — Securities sold/redeemed/matured (9,240) — (9,240) — Balance at end of period $ 6,257 $ — $ 6,257 $ — g) Reverse Repurchase Agreements |
FAIR VALUE MEASUREMENTS
FAIR VALUE MEASUREMENTS | 6 Months Ended |
Jun. 30, 2020 | |
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. U.S. GAAP prescribes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to quoted prices in active markets and the lowest priority to unobservable data. The level in the hierarchy within which a given fair value measurement falls is determined based on the lowest level input that is significant to the measurement. 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 the Company has 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 the Company's 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 financial instruments categorized as Level 3. In periods of market dislocation, the observability of prices and inputs may be reduced for many financial instruments. This may lead the Company to change the selection of valuation technique (from market to cash flow approach) or may cause the Company 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. Valuation Techniques The valuation techniques, including significant inputs and assumptions generally used to determine the fair values of the Company's financial instruments as well as the classification of the fair values of its financial instruments in the fair value hierarchy are described in detail below. Fixed Maturities At each valuation date, the Company uses the market approach valuation technique to estimate the fair value of its fixed maturities portfolio, where possible. The 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, where available, and the Company maintains a vendor hierarchy by asset type based on historical pricing experience and vendor expertise. Where prices are unavailable from pricing services, the Company obtains non-binding quotes from broker-dealers who are active in the corresponding markets. The valuation techniques including significant inputs and assumptions generally used to determine the fair values of the Company's fixed maturities by asset class as well as the classifications of the fair values of these securities in the fair value hierarchy are described in detail below. 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 U.S. Treasury securities are based on unadjusted quoted market prices in active markets, the fair values of these securities are classified as Level 1. The fair values of U.S. government agency securities are determined using the spread above the risk-free yield curve. As the yields for the risk-free yield curve and the spreads are observable market inputs, the fair values of U.S. government agency securities are classified as Level 2. Non-U.S. Government Non-U.S. government securities include bonds issued by non-U.S. governments and their agencies along with supranational organizations (collectively also known as sovereign debt securities). The fair values of these securities are based on prices obtained from international indices or valuation models that include inputs such as 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 used to price these securities are observable market inputs, the fair values of non-U.S. government securities are classified as 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 the yields for the risk-free yield curve and the spreads are observable market inputs, the fair values of corporate debt securities are generally classified as Level 2. Where pricing is unavailable from pricing services, the Company obtains 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, the fair values of these securities are classified as Level 3. Agency RMBS Agency RMBS 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 used to price these securities are observable market inputs, the fair values of Agency RMBS are classified as Level 2. CMBS CMBS mainly include 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 used to price these securities are observable market inputs, the fair values of CMBS are generally classified as Level 2. Where pricing is unavailable from pricing services, the Company obtains 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. I n this event, the fair values of these securities are classified as Level 3. Non-agency RMBS Non-agency RMBS mainly include 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 used to price these securities are observable market inputs, the fair values of non-agency RMBS are generally classified as Level 2. Where pricing is unavailable from pricing services, the Company obtains 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. I n this event, the fair values of these securities are classified as Level 3. ABS ABS mainly include investment-grade bonds backed by pools of loans with a variety of underlying collateral, including auto loans, student loans, credit card receivables and collateralized loan obligations ("CLOs"), originated by a variety of financial institutions. The fair values of these securities are determined using a model which uses prepayment speeds and spreads sourced primarily from the new issue market. As the significant inputs used to price these securities are observable market inputs, the fair values of ABS are generally classified as Level 2. Where pricing is unavailable from pricing services, the Company obtains non-binding quotes from broker-dealers t o estimate fair value. This is generally the case when there is a low volume of trading activity and current transactions are not orderly. I n this event, the fair values of these securities are classified as Level 3. Municipals Municipals comprise revenue and general obligation bonds issued by U.S. domiciled state and municipal entities. The fair values of these securities are determined using spreads obtained from the new issue market, trade prices and broker-dealers quotes. As the significant inputs used to price these securities are observable market inputs, the fair values of municipals are classified as Level 2. Equity Securities Equity securities include common stocks, preferred stocks, exchange-traded funds and bond mutual funds. As the fair values of common stocks, preferred stocks and exchange-traded funds are based on unadjusted quoted market prices in active markets, the fair values of these securities are classified as Level 1. As bond mutual funds have daily liquidity, the fair values of these securities are classified as Level 2. Other Investments The fair value of an indirect investment in CLO-Equities is estimated using an income approach valuation technique, specifically an externally developed discounted cash flow model due to the lack of observable and relevant trades in secondary markets. As the significant inputs used to price this security are unobservable, the fair value of the indirect investment in CLO-Equities is classified as Level 3. Other privately held investments include convertible preferred shares, common shares, convertible notes and notes payable. These investments are initially valued at cost, which approximates fair value. In subsequent measurement periods, the fair values of these investments are generally determined using capital statements obtained from each investee company. In order to assess the reasonableness of the information received from each investee company, the Company maintains an understanding of current market conditions, historical results, and emerging trends that may impact the results of operations, financial condition or liquidity of investee companies. In addition, the Company engages in regular communication with management at the investee companies. As the significant inputs used to price these investments are unobservable, the fair values of other privately held investments are classified as Level 3. Overseas deposits include investments in private funds held by Syndicate 2007 where the underlying investments are primarily U.S. government, non-U.S. government and corporate debt securities. The funds do not trade on an exchange, and therefore are not included in available for sale investments. As the significant inputs used to price the underlying investments are observable market inputs, the fair values of overseas deposits are classified as Level 2. 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 typically not actively traded due to their approaching maturity, therefore their amortized cost approximates fair value. The fair values of short-term investments are classified as Level 2. Derivative Instruments Derivative instruments include foreign exchange forward contracts and exchange traded interest rate swaps that are customized to the Company's economic hedging strategies and trade in the over-the-counter derivative market. The fair values of these derivatives are determined using a market approach valuation technique based on significant observable market inputs from third party pricing vendors, non-binding broker-dealer quotes and/or recent trading activity. As the significant inputs used to price these securities are observable market inputs, the fair values of these derivatives are classified as Level 2. Other underwriting-related derivatives include insurance and reinsurance contracts that are accounted for as derivatives. These derivative contracts are initially valued at cost which approximates fair value. In subsequent measurement periods, the fair values of these derivatives are determined using internally developed discounted cash flow models. As the significant inputs used to price these derivatives are unobservable, the fair values of these contracts are classified as Level 3. Cash Settled Awards Cash settled awards comprise restricted stock units that form part of the Company's compensation program. Although the fair values of these awards are determined using observable quoted market prices in active markets, the restricted stock units are not actively traded. As the significant inputs used to price these securities are observable market inputs, the fair values of these liabilities are classified as 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, 2020 Assets Fixed maturities U.S. government and agency $ 1,929,996 $ 83,271 $ — $ — $ 2,013,267 Non-U.S. government — 608,097 — — 608,097 Corporate debt — 4,660,113 2,298 — 4,662,411 Agency RMBS — 1,535,073 — — 1,535,073 CMBS — 1,372,830 4,434 — 1,377,264 Non-agency RMBS — 108,657 9,562 — 118,219 ABS — 1,534,123 441 — 1,534,564 Municipals — 197,520 — — 197,520 1,929,996 10,099,684 16,735 — 12,046,415 Equity securities Common stocks 64 — — — 64 Preferred stocks 7,431 — — — 7,431 Exchange-traded funds 177,421 — — — 177,421 Bond mutual funds — 193,944 — — 193,944 184,916 193,944 — — 378,860 Other investments Hedge funds (1) — — — 165,924 165,924 Direct lending funds — — — 262,802 262,802 Private equity funds — — — 101,485 101,485 Real estate funds — — — 144,003 144,003 CLO-Equities — — 9,943 — 9,943 Other privately held investments — — 37,420 — 37,420 Overseas deposits — 47,058 — — 47,058 — 47,058 47,363 674,214 768,635 Short-term investments — 34,337 — — 34,337 Other assets Derivative instruments (refer to Note 5) — 3,415 — — 3,415 Total Assets $ 2,114,912 $ 10,378,438 $ 64,098 $ 674,214 $ 13,231,662 Liabilities Derivative instruments (refer to Note 5) $ — $ 1,850 $ 9,818 $ — $ 11,668 Cash settled awards (refer to Note 8) — 7,675 — — 7,675 Total Liabilities $ — $ 9,525 $ 9,818 $ — $ 19,343 (1) Includes Long/short equity and Multi-strategy funds. 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, 2019 Assets Fixed maturities U.S. government and agency $ 2,053,622 $ 59,259 $ — $ — $ 2,112,881 Non-U.S. government — 576,592 — — 576,592 Corporate debt — 4,927,957 2,297 — 4,930,254 Agency RMBS — 1,592,584 — — 1,592,584 CMBS — 1,359,817 5,235 — 1,365,052 Non-agency RMBS — 84,922 — — 84,922 ABS — 1,598,204 489 — 1,598,693 Municipals — 207,227 — — 207,227 2,053,622 10,406,562 8,021 — 12,468,205 Equity securities Common stocks $ 193 $ — $ — $ — $ 193 Preferred stocks — — — — — Exchange-traded funds 297,325 — — — 297,325 Bond mutual funds — 176,689 — — 176,689 297,518 176,689 — — 474,207 Other investments Hedge funds (1) — — — 167,790 167,790 Direct lending funds — — — 277,395 277,395 Private equity funds — — — 80,412 80,412 Real estate funds — — — 130,112 130,112 CLO-Equities — — 14,328 — 14,328 Other privately held investments — — 36,934 — 36,934 Overseas deposits — 63,952 — — 63,952 — 63,952 51,262 655,709 770,923 Short-term investments — 38,471 — — 38,471 Other assets Derivative instruments (refer to Note 5) — 3,174 — — 3,174 Total Assets $ 2,351,140 $ 10,688,848 $ 59,283 $ 655,709 $ 13,754,980 Liabilities Derivative instruments (refer to Note 5) $ — $ 3,965 $ 9,672 $ — $ 13,637 Cash settled awards (refer to Note 8) — 21,731 — — 21,731 Total Liabilities $ — $ 25,696 $ 9,672 $ — $ 35,368 (1) Includes Long/short equity and Multi-strategy funds. The following table quantifies the significant unobservable inputs used in estimating fair values at June 30, 2020 of investments classified as Level 3 in the fair value hierarchy: Fair value Valuation technique Unobservable input Range Weighted average Other investments - CLO-Equities $ 9,943 Discounted cash flow Default rates 3.8% 3.8% Loss severity rate 50.0% 50.0% Collateral spreads 3.0% 3.0% Estimated maturity dates 6 years 6 years Derivatives - Other underwriting-related derivatives $ (9,818) Discounted cash flow Discount rate 0.5% 0.5% Note: Fixed maturities of $17 million that are classified as Level 3 are excluded from the above table as these securities are priced using broker-dealer quotes. In addition, privately held investments of $37 million that are classified as Level 3 are excluded from the above table as these investments are priced using capital statements received from investee companies. Other Investments - CLO-Equities The CLO-Equities market continues to be relatively inactive with only a small number of transactions being observed, particularly related to transactions involving CLO-Equities held by the Company. Accordingly, the fair value of the Company's indirect investment in CLO-Equities is determined using a discounted cash flow model prepared by an external investment manager. The default and loss severity rates are the most judgmental unobservable market inputs to the discounted cash flow model to which the valuation of the Company's indirect investment in CLO-Equities is most sensitive. A significant increase (decrease) in either of these significant inputs in isolation would result in a lower (higher) fair value estimate for the investment in CLO-Equities and, in general, a change in default rate assumptions would 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 a higher (lower) fair value estimate for the investment in CLO-Equities. In general, these inputs have no significant interrelationship with each other or with default and loss severity rates. On a quarterly basis, the Company's valuation process for its indirect investment in CLO-Equities includes a review of the underlying cash flows and key assumptions used in the discounted cash flow model. The above significant unobservable inputs are reviewed and updated based on information obtained from secondary markets, including information received from the managers of the Company's CLO-Equities investment. In order to assess the reasonableness of the inputs the Company uses in the discounted cash flow model, the Company maintains an understanding of current market conditions, historical results, and emerging trends that may impact future cash flows. In addition, the assumptions the Company uses in its models are updated through regular communication with industry participants and ongoing monitoring of the deals in which the Company participates. Derivatives - Other Underwriting-related Derivatives Other underwriting-related derivatives are initially valued at cost which approximates fair value. In subsequent measurement periods, the fair values of these derivatives are determined using internally developed discounted cash flow models which use appropriate discount rates. The selection of an appropriate discount rate is judgmental and is the most significant unobservable input used in the valuation of these derivatives. A significant increase (decrease) in this input in isolation could result in a significantly lower (higher) fair value measurement for the derivative contracts. In order to assess the reasonableness of the inputs the Company uses in the discounted cash flow model, the Company maintains an understanding of current market conditions, historical results, as well as contract specific information that may impact future cash flows. The following tables present changes in Level 3 for financial instruments measured at fair value on a recurring basis: Opening balance Transfers into Level 3 Transfers out of Level 3 Included in net income (1) Included in OCI (2) Purchases Sales Settlements/ distributions Closing balance Change in unrealized gains/(losses) (3) Three months ended June 30, 2020 Fixed maturities Corporate debt $ 2,245 $ — $ — $ — $ 53 $ — $ — $ — $ 2,298 $ — CMBS 4,371 — — — 81 — — (18) 4,434 — Non-agency RMBS 9,185 — — — 377 — — — 9,562 — ABS 336 — — — 105 — — — 441 — 16,137 — — — 616 — — (18) 16,735 — Other investments CLO-Equities 12,793 — — (2,322) — — — (528) 9,943 (2,322) Other privately held investments 37,441 — — (76) — 55 — — 37,420 (76) 50,234 — — (2,398) — 55 — (528) 47,363 (2,398) Total assets $ 66,371 $ — $ — $ (2,398) $ 616 $ 55 $ — $ (546) $ 64,098 $ (2,398) Other liabilities Derivative instruments $ 20,164 $ — $ — $ (375) $ — $ — $ — $ (9,971) $ 9,818 $ (346) Total liabilities $ 20,164 $ — $ — $ (375) $ — $ — $ — $ (9,971) $ 9,818 $ (346) Six months ended June 30, 2020 Fixed maturities Corporate debt $ 2,297 $ — $ — $ — $ 1 $ — $ — $ — $ 2,298 $ — CMBS 5,235 — — — (212) — — (589) 4,434 — Non-agency RMBS — 9,185 — — 377 — — — 9,562 — ABS 489 — — — (48) — — — 441 — 8,021 9,185 — — 118 — — (589) 16,735 — Other investments CLO-Equities 14,328 — — (3,169) — — — (1,216) 9,943 (3,169) Other privately held investments 36,934 — — 4 — 482 — — 37,420 4 51,262 — — (3,165) — 482 — (1,216) 47,363 (3,165) Total assets $ 59,283 $ 9,185 $ — $ (3,165) $ 118 $ 482 $ — $ (1,805) $ 64,098 $ (3,165) Other liabilities Derivative instruments $ 9,672 $ — $ — $ 10,117 $ — $ — $ — $ (9,971) $ 9,818 $ 146 Total liabilities $ 9,672 $ — $ — $ 10,117 $ — $ — $ — $ (9,971) $ 9,818 $ 146 (1) Realized gains (losses) on fixed maturities and realized and unrealized gains (losses) on other assets and other liabilities included in net income are included in net investment gains (losses). Realized and unrealized gains (losses) on other investments included in net income are included in net investment income. (2) Unrealized gains (losses) on fixed maturities are included in other comprehensive income ("OCI"). (3) Change in unrealized gains (losses) relating to assets held at the reporting date. Opening balance Transfers into Level 3 Transfers out of Level 3 Included in net income (1) Included in OCI (2) Purchases Sales Settlements/ distributions Closing balance Change in unrealized gains/(losses) )(3) Three months ended June 30, 2019 Fixed maturities Corporate debt $ 41,125 $ — $ — $ (763) $ 309 $ — $ (31) $ (1,503) $ 39,137 $ — CMBS 11,145 — — — 21 — — (1,274) 9,892 — Non-agency RMBS — — — — — — — — — — ABS 12,043 — (11,564) — 12 — — — 491 — 64,313 — (11,564) (763) 342 — (31) (2,777) 49,520 — Other investments CLO-Equities 18,022 — — 833 — — — (1,057) 17,798 833 Other privately held investments 47,685 — — 14,194 — — (33,427) — 28,452 767 65,707 — — 15,027 — — (33,427) (1,057) 46,250 1,600 Total assets $ 130,020 $ — $ (11,564) $ 14,264 $ 342 $ — $ (33,458) $ (3,834) $ 95,770 $ 1,600 Other liabilities Derivative instruments $ 10,233 $ — $ — $ 29 $ — $ — $ — $ — $ 10,262 $ 29 Total liabilities $ 10,233 $ — $ — $ 29 $ — $ — $ — $ — $ 10,262 $ 29 Six months ended June 30, 2019 Fixed maturities Corporate debt $ 49,012 $ — $ — $ (1,459) $ 933 $ — $ (5,578) $ (3,771) $ 39,137 $ — CMBS 19,134 — (4,767) — 164 — — (4,639) 9,892 — Non-agency RMBS — — — — — — — — — — ABS 18,533 — (27,966) — 174 9,750 — — 491 — 86,679 — (32,733) (1,459) 1,271 9,750 (5,578) (8,410) 49,520 — Other investments CLO-Equities 21,271 — — 1,248 — — — (4,721) 17,798 1,248 Other privately held investments 44,518 — — 14,861 — 2,500 (33,427) — 28,452 1,434 65,789 — — 16,109 — 2,500 (33,427) (4,721) 46,250 2,682 Total assets $ 152,468 $ — $ (32,733) $ 14,650 $ 1,271 $ 12,250 $ (39,005) $ (13,131) $ 95,770 $ 2,682 Other liabilities Derivative instruments $ 10,299 $ — $ — $ (37) $ — $ — $ — $ — $ 10,262 $ (37) Total liabilities $ 10,299 $ — $ — $ (37) $ — $ — $ — $ — $ 10,262 $ (37) (1) Realized gains (losses) on fixed maturities and realized and unrealized gains (losses) on other assets and other liabilities included in net income are included in net investment gains (losses). Realized and unrealized gains (losses) on other investments included in net income are included in net investment income. (2) Unrealized gains (losses) on fixed maturities are included in other comprehensive income ("OCI"). (3) Change in unrealized gains (losses) relating to assets held at the reporting date. Transfers into Level 3 from Level 2 There were no transfers into Level 3 from Level 2 during the three months ended June 30, 2020. The transfers into Level 3 from Level 2 during the six months ended June 30, 2020 were primarily due to the lack of observable market inputs and multiple quotes from pricing vendors and broker-dealers for certain fixed maturities. There were no transfers into Level 3 from Level 2 during the three and six months ended June 30, 2019. Transfers out of Level 3 into Level 2 There were no transfers out of Level 3 into Level 2 during the three and six months ended June 30, 2020. The transfers out of Level 3 into Level 2 during the three and six months ended June 30, 2019 were primarily due to the availability of observable market inputs and multiple quotes from pricing vendors for certain fixed maturities. Measuring the Fair Value of Other Investments Using Net Asset Valuations The fair values of hedge funds, direct lending funds, private equity funds and real estate funds are estimated using net asset valuations ("NAVs") as advised by external fund managers or third party administrators. For these funds, NAVs are 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. If there is a reporting lag between the current period end and reporting date of the latest available fund valuation for any hedge fund, the Company estimates fair values by starting with the most recent fund valuation and adjusting for return estimates as well as any subscriptions, redemptions and distributions that took place during the current period. Return estimates are obtained from the relevant fund managers therefore the Company does not typically have a reporting lag in fair value measurements of these funds. Historically, the Company's valuation estimates incorporating these return estimates have not significantly diverged from the subsequently received NAVs. For direct lending funds, private equity funds, real estate funds and two of the Company's hedge funds, valuation statements are typically released on a reporting lag therefore the Company estimates the fair value of these funds by starting with the most recent fund valuations and adjusting for capital calls, redemptions, drawdowns and distributions. Return estimates are not available from the relevant fund managers for these funds therefore the Company typically has a reporting lag in its fair value measurements of these funds. At June 30, 2020, funds reported on a lag represented 70% (2019: 68%) of the Company's total other investments balance. The Company often does not have access to financial information relating to the underlying securities held within the funds, therefore management is unable to corroborate the fair values placed on the securities underlying the asset valuations provided by fund managers or fund administrators. In order to assess the reasonableness of the NAVs, the Company performs a number of monitoring procedures on a quarterly basis, to assess the quality of the information provided by fund managers and fund 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 the Company's fair value estimates against subsequently received NAVs. Backtesting involves comparing the Company's previously reported fair values for each 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 values of hedge funds, direct lending funds, private equity funds and real estate funds are measured using the NAV practical expedient, therefore the fair values of these funds have not been categorized within the fair value hierarchy. Financial Instruments Disclosed, But Not Carried, at Fair Value The fair value of financial instruments accounting guidance also applies to financial instruments disclosed, but not carried, at fair value, except for certain financial instruments, including insurance contracts. At June 30, 2020, the carrying values of cash and 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 due to their short maturities. As these financial instruments are not actively traded, their fair values are classified as Level 2. At June 30, 2020, the carrying value of mortgage loans held-for-investment approximated their fair value. The fair values of mortgage loans are primarily determined by estimating expected future cash flows and discounting them using current interest rates for similar mortgage loans with similar credit risk or are determined from pricing for similar loans. As mortgage loans are not actively traded their fair values are classified as Level 3. At June 30, 2020, Company's debt was recorded at amortized cost with a carrying value of $1,309 million (2019: $1,808 million) and a fair value of $1,400 million (2019: $1,896 million). The fair value of the Company's debt is based on prices obtained from a third-party pricing service and is 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 the yields for the risk-free yield curve and the spreads are observable market inputs, the fair value of the Company's debt is classified as Level 2. |
DERIVATIVE INSTRUMENTS
DERIVATIVE INSTRUMENTS | 6 Months Ended |
Jun. 30, 2020 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
DERIVATIVE INSTRUMENTS | The following table provides the balance sheet classifications of derivatives recorded at fair value: June 30, 2020 December 31, 2019 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 $ 83,470 $ 1 $ 455 $ 68,998 $ — $ 1,405 Relating to underwriting portfolio: Foreign exchange forward contracts 859,203 3,414 1,395 1,038,630 3,174 2,560 Other underwriting-related contracts 75,000 — 9,818 85,000 — 9,672 Total derivatives $ 3,415 $ 11,668 $ 3,174 $ 13,637 (1) Asset and liability derivatives are classified within other assets and other liabilities in the consolidated balance sheets. The notional amounts of derivative contracts represent the basis on which amounts paid or received are calculated and are presented in the above table to quantify the volume of the Company's derivative activities. Notional amounts are not reflective of credit risk. None of the Company's derivative instruments are designated as hedges under current accounting guidance. Offsetting Assets and Liabilities The Company's 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 following table provides a reconciliation of gross derivative assets and liabilities to the net amounts presented in the consolidated balance sheets, with the difference being attributable to the impact of master netting agreements: June 30, 2020 December 31, 2019 Gross amounts Gross amounts offset Net amounts (1) Gross amounts Gross amounts offset Net amounts (1) Derivative assets $ 8,263 $ (4,848) $ 3,415 $ 7,673 $ (4,499) $ 3,174 Derivative liabilities $ 16,516 $ (4,848) $ 11,668 $ 18,136 $ (4,499) $ 13,637 (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. a) Relating to Investment Portfolio Foreign Currency Risk The Company's investment portfolio is exposed to foreign currency risk therefore the fair values of its investments are partially influenced by changes in foreign exchange rates. The Company 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 The Company's investment portfolio contains a large percentage of fixed maturities which exposes it to significant interest rate risk. As part of overall management of this risk, the Company may use interest rate swaps. b) Relating to Underwriting Portfolio Foreign Currency Risk The Company's insurance and reinsurance subsidiaries and branches operate in various countries. Some of its business is written in currencies other than the U.S. dollar, therefore the underwriting portfolio is exposed to significant foreign currency risk. The Company manages foreign currency risk by seeking to match its foreign-denominated net liabilities under insurance and reinsurance contracts with cash and investments that are denominated in the same currencies. The Company uses derivative instruments, specifically, forward contracts to economically hedge foreign currency exposures. Other Underwriting-related Risks The Company enters into insurance and reinsurance contracts that are accounted for as derivatives. These insurance or reinsurance contracts provide indemnification to an insured or cedant as a result of a change in a variable as opposed to an identifiable insurable event. The Company considers these contracts to be part of its underwriting operations. The total unrealized and realized gains (losses) recognized in net income for derivatives not designated as hedges are shown in the following table: Location of gain (loss) recognized in net income Three months ended June 30, Six months ended June 30, 2020 2019 2020 2019 Relating to investment portfolio: Foreign exchange forward contracts Net investment gains (losses) $ 154 $ 620 $ 3,316 $ 1,372 Interest rate swaps Net investment gains (losses) — (824) — (3,677) Relating to underwriting portfolio: Foreign exchange forward contracts Foreign exchange gains (losses) (870) 802 (1,559) (9,715) Other underwriting-related contracts Other insurance related income (losses) 470 271 (9,730) 618 Total $ (246) $ 869 $ (7,973) $ (11,402) |
RESERVE FOR LOSSES AND LOSS EXP
RESERVE FOR LOSSES AND LOSS EXPENSES | 6 Months Ended |
Jun. 30, 2020 | |
Insurance [Abstract] | |
RESERVE FOR LOSSES AND LOSS EXPENSES | Reserve Roll-Forward The following table presents a reconciliation of the Company's beginning and ending gross reserve for losses and loss expenses and net reserves for unpaid losses and loss expenses: Six months ended June 30, 2020 2019 Gross reserve for losses and loss expenses, beginning of period $ 12,752,081 $ 12,280,769 Less reinsurance recoverable on unpaid losses and loss expenses, beginning of period (3,877,756) (3,501,669) Net reserve for unpaid losses and loss expenses, beginning of period 8,874,325 8,779,100 Net incurred losses and loss expenses related to: Current year 1,593,102 1,374,784 Prior years (8,767) (38,293) 1,584,335 1,336,491 Net paid losses and loss expenses related to: Current year (89,724) (132,111) Prior years (1,271,987) (1,304,413) (1,361,711) (1,436,524) Foreign exchange and other (78,304) 10,832 Net reserve for unpaid losses and loss expenses, end of period 9,018,645 8,689,899 Reinsurance recoverable on unpaid losses and loss expenses, end of period 4,160,521 3,564,812 Gross reserve for losses and loss expenses, end of period $ 13,179,166 $ 12,254,711 The Company writes business with loss experience generally characterized as low frequency and high severity in nature, which can result in volatility in its financial results. During the six months ended June 30, 2020, the Company recognized catastrophe and weather-related losses, net of reinstatement premiums of $336 million (2019 $36 million). Estimates for Significant Catastrophe Events At June 30, 2020, net reserves for losses and loss expenses included estimated amounts for numerous catastrophe events. The magnitude and complexity of losses arising from certain of these events inherently increase the level of uncertainty, and therefore, increase the level of management judgment involved in arriving at estimated net reserves for losses and loss expenses. These events include the COVID-19 pandemic in 2020, Japanese Typhoons Hagibis, Faxai and Tapah, Hurricane Dorian, and the Australia Wildfires in 2019, Hurricanes Michael and Florence, California Wildfires, and Typhoon Jebi in 2018, and Hurricanes Harvey, Irma and Maria, and the California Wildfires in 2017. Actual losses for these events may ultimately differ materially from the Company's current estimates. The estimate of net reserves for losses and loss expenses related to the COVID-19 pandemic represented the Company's best estimate of losses and loss adjustment expenses that have been incurred at June 30, 2020. The determination of the Company's net reserves for losses and loss expenses for its insurance segment was based on its ground-up assessment of coverage from individual contracts and treaties, including a review of contracts with potential exposure to the COVID-19 pandemic. The determination of the Company's net reserves for losses and loss expenses for its reinsurance segment was largely based on a range of industry insured loss estimates and market share analyses, supplemented by a review of in-force treaties that may provide coverage and catastrophe modeling analyses, where appropriate. In addition, the Company considered preliminary information received from clients, brokers and loss adjusters. The estimate of net reserves for losses and loss expenses related to the COVID-19 pandemic was subject to significant uncertainty. This uncertainty was driven by the inherent difficulty in making assumptions around the impact of the COVID-19 pandemic due to the lack of comparable events, the ongoing nature of the event, and its far-reaching impacts on world-wide economies and the health of the population. These assumptions include: • the nature and the duration of the pandemic; • the effects on human health, the economy and the Company's customers; • the response of government bodies including legislative, regulatory or judicial actions and social influences that could alter the interpretation of the Company's contracts; • the coverage provided under the Company's contracts; • the coverage provided by its ceded reinsurance; and • the evaluation of the loss and impact of loss mitigation actions. While the Company believes its estimate of net reserves for losses and loss expenses is adequate for losses and loss adjustment expenses that have been incurred at June 30, 2020 based on current facts and circumstances, the Company will continue to monitor the appropriateness of its assumptions as new information comes to light and will adjust its estimate of net reserves for losses and loss adjustment expenses, as appropriate. Actual losses for these events may ultimately differ materially from the Company's current estimates. T he estimate of net reserves for losses and loss expenses related to catastrophe events other than COVID-19 were derived from ground-up assessments of in-force contracts and treaties providing coverage in the affected regions. These assessments took into account the latest information available from clients, brokers and loss adjusters. In addition, the Company considered industry insured loss estimates, market share analyses and catastrophe modeling analyses, where appropriate. Estimates are subject to change as additional loss data becomes available. Actual losses for these events may ultimately differ materially from the Company's current estimates. The Company continues to monitor paid and incurred loss development for catastrophe events and updates estimates of ultimate losses accordingly. Prior Year Reserve Development The Company's net favorable prior year reserve development arises from changes to estimates of losses and loss expenses related to loss events that occurred in previous calendar years. The following table presents net prior year reserve development by segment: Three months ended June 30, Six months ended June 30, 2020 2019 2020 2019 Insurance $ 420 $ 21,326 $ 4,251 $ 28,240 Reinsurance 2,235 2,295 4,516 10,053 Total $ 2,655 $ 23,621 $ 8,767 $ 38,293 The following tables map the Company's lines of business to reserve classes and the expected claim tails: Insurance segment Reserve class and tail Property and other Marine Aviation Credit and political risk Professional lines Liability Short Short Short/Medium Medium Medium Long Reported lines of business Property X Marine X Terrorism X Aviation X Credit and political risk X Professional lines X Liability X Accident and health X Discontinued lines - Novae X X X Reinsurance segment Reserve class and tail Property and other Credit and surety Professional lines Motor Liability Short Medium Medium Long Long Reported lines of business Catastrophe X Property X Credit and surety X Professional lines X Motor X Liability X Engineering X Agriculture X Marine and other X Accident and health X Discontinued lines - Novae X X X Short-tail business Short-tail business includes the underlying exposures in property and other, marine and aviation reserve classes in the insurance segment, and the property and other reserve class in the reinsurance segment. For the three months ended June 30, 2020, these reserve classes contributed net favorable prior year reserve development of $22 million, including net favorable prior year reserve development of $25 million contributed by the insurance property and other reserve class, partially offset by net adverse prior year reserve development of $4 million recognized by the reinsurance property and other reserve class. For the six months ended June 30, 2020, these reserve classes contributed net favorable prior year reserve development of $32 million, including net favorable prior year reserve development of $37 million contributed by the insurance property and other reserve class and net favorable prior year development of $6 million contributed by the insurance aviation reserve class, partially offset by of net adverse prior year reserve development of $8 million recognized by the reinsurance property and other reserve class. For the three months ended June 30, 2019, these reserve classes recognized net adverse prior year reserve development of $19 million, including $30 million of net adverse prior year reserve development recognized by the reinsurance property and other reserve class, partially offset by net favorable prior year development of $6 million contributed by the insurance property and other reserve class and net favorable prior year development of $5 million contributed by the insurance marine reserve class. For the six months ended June 30, 2019, these reserve classes recognized net adverse prior year reserve development of $52 million, including $59 million of net adverse prior year reserve development recognized by the reinsurance property and other reserve class and $16 million of net adverse prior year reserve development recognized by the insurance property and other reserve class, partially offset by net favorable prior year reserve development of $22 million contributed by the insurance marine reserve class. Medium-tail business Medium-tail business consists primarily of insurance and reinsurance professional lines reserve classes, insurance credit and political risk reserve class and reinsurance credit and surety reserve class. For the three and six months ended June 30, 2020, the insurance professional lines reserve class recorded net adverse prior year reserve development of $9 million and $14 million, respectively, reflecting reserve strengthening associated with recent accidents years. For the three and six months ended June 30, 2019, the insurance professional lines reserve class recorded net favorable prior year reserve development of $4 million and $10 million, respectively, reflecting generally favorable experience on older accident years as the Company continued to transition to more experience based actuarial methods. For the three months ended June 30, 2020, the reinsurance professional lines reserve class recorded net adverse prior year reserve development of $5 million reflecting reserve strengthening associated with recent accidents years. For the three and six months ended June 30, 2019, the reinsurance professional lines reserve class recorded net favorable prior year reserve development of $6 million and $8 million, respectively, reflecting generally favorable experience on older accident years as the Company continued to transition to more experience based actuarial methods. For the three and six months ended June 30, 2019, insurance credit and political risk reserve class recorded net favorable prior year reserve development of $7 million and $9 million, respectively, reflecting better than expected loss emergence. For the three and six months ended June 30, 2020, the reinsurance credit and surety reserve class recorded net favorable prior year reserve development of $10 million (2019: $17 million) and $15 million (2019: $27 million), respectively, reflecting better than expected loss emergence. Long-tail business Long-tail business consists primarily of insurance and reinsurance liability reserve classes and reinsurance motor reserve class. For the three and six months ended June 30, 2020, the insurance liability reserve class recognized net adverse prior year reserve development of $17 million and $21 million, re spectively, due to reserve strengthening within the U.S. book of business related to recent accident years. For the six months ended June 30, 2020, the reinsurance liability reserve class recognized net adverse prior year reserve development of $21 million due to reserve strengthening within the U.S. and European books of business. For the three and six months ended June 30, 2019, the reinsurance liability reserve class recognized net favorable prior year reserve development of $11 million and $23 million, respectively, due to increased weight given by management to experience based indications on older accident years. For the three and six months ended June 30, 2020, the reinsurance motor reserve class recognized net favorable prior year reserve development of $4 million and $18 million (2019: $11 million) primarily attributable to non-proportional treaty business on older accident years. |
EARNINGS PER COMMON SHARE
EARNINGS PER COMMON SHARE | 6 Months Ended |
Jun. 30, 2020 | |
Earnings Per Share [Abstract] | |
EARNINGS PER COMMON SHARE | The following table presents a comparison of earnings (loss) per common share and earnings (loss) per diluted common share: Three months ended June 30, Six months ended June 30, 2020 2019 2020 2019 Earnings (loss) per common share Net income (loss) $ 120,040 $ 177,043 $ (57,783) $ 285,828 Less: Preferred share dividends 7,563 10,656 15,125 21,313 Net income (loss) available (attributable) to common shareholders 112,477 166,387 (72,908) 264,515 Weighted average common shares outstanding 84,303 83,941 84,198 83,834 Earnings (loss) per common share $ 1.33 $ 1.98 $ (0.87) $ 3.16 Earnings (loss) per diluted common share Net income (loss) available (attributable) to common shareholders $ 112,477 $ 166,387 $ (72,908) $ 264,515 Weighted average common shares outstanding 84,303 83,941 84,198 83,834 Share-based compensation plans (1) 297 460 — 504 Weighted average diluted common shares outstanding 84,600 84,401 84,198 84,338 Earnings (loss) per diluted common share $ 1.33 $ 1.97 $ (0.87) $ 3.14 Weighted average anti-dilutive shares excluded from the dilutive computation 1,391 3 1,098 302 (1) Due to the net loss recognized for the six months ended June 30, 2020, the share equivalents were anti-dilutive. |
SHARE-BASED COMPENSATION
SHARE-BASED COMPENSATION | 6 Months Ended |
Jun. 30, 2020 | |
Share-based Payment Arrangement [Abstract] | |
SHARE-BASED COMPENSATION | Share-Settled Awards The following table provides an activity summary of the Company's share-settled restricted stock units for the six months ended June 30, 2020: Share-Settled Performance Share-Settled Service Number of restricted stock units Weighted average grant date fair value (1) Number of restricted stock units Weighted average grant date fair value (1) Non-vested restricted stock units - beginning of period 258 $ 53.31 1,273 $ 54.32 Granted 97 62.26 786 60.95 Vested (27) 64.01 (474) 55.25 Forfeited — — (40) 57.33 Non-vested restricted stock units - end of period 328 $ 55.09 1,545 $ 57.33 (1) Fair value is based on the closing price of the Company's common shares on the grant date. Cash-Settled awards The following table provides an activity summary of the Company's cash-settled restricted stock units for the six months ended June 30, 2020: Cash-Settled Performance Cash-Settled Service Number of Number of Non-vested restricted stock units - beginning of period 6 853 Granted — 1 Vested (6) (322) Forfeited — (25) Non-vested restricted stock units - end of period — 507 The following table provides additional information related to share-based compensation: Six months ended June 30, 2020 2019 Share-based compensation expense (1) $ 25,410 $ 28,557 Tax benefits associated with share-based compensation expense $ 3,995 $ 4,263 Liability for cash-settled restricted stock units (2) $ 7,675 $ 12,946 Fair value of restricted stock units vested (3) $ 46,490 $ 49,323 Unrecognized share-based compensation expense $ 98,005 $ 104,947 Expected weighted average period associated with the recognition of unrecognized share-based compensation expense 2.7 years 2.7 years (1) Related to share-settled restricted stock units and cash-settled restricted stock units. (2) Included in other liabilities in the consolidated balance sheets. (3) Fair value is based on the closing price of the Company's common shares on the vest date. |
SHAREHOLDERS' EQUITY
SHAREHOLDERS' EQUITY | 6 Months Ended |
Jun. 30, 2020 | |
Equity [Abstract] | |
SHAREHOLDERS' EQUITY | The following table presents changes in common shares issued and outstanding: Three months ended June 30, Six months ended June 30, 2020 2019 2020 2019 Shares issued, balance at beginning of period 176,580 176,580 176,580 176,580 Shares issued — — — — Total shares issued at end of period 176,580 176,580 176,580 176,580 Treasury shares, balance at beginning of period (92,282) (92,646) (92,621) (92,994) Shares repurchased (3) (7) (153) (164) Shares reissued 11 20 500 525 Total treasury shares at end of period (92,274) (92,633) (92,274) (92,633) Total shares outstanding 84,306 83,947 84,306 83,947 Treasury Shares The following table presents common share repurchased from shares held in Treasury: Three months ended June 30, Six months ended June 30, 2020 2019 2020 2019 In the open market: Total shares — — — — Total cost $ — $ — $ — $ — Average price per share (1) $ — $ — $ — $ — From employees: (2) Total shares 3 7 153 164 Total cost $ 110 $ 411 $ 8,602 $ 9,414 Average price per share (1) $ 36.77 $ 58.34 $ 56.05 $ 57.22 Total shares repurchased: Total shares 3 7 153 164 Total cost $ 110 $ 411 $ 8,602 $ 9,414 Average price per share (1) $ 36.77 $ 58.34 $ 56.05 $ 57.22 (1) Calculated using whole numbers. (2) Shares are repurchased from employees to satisfy withholding tax liabilities related to the vesting of share-settled restricted stock units. Dividends The following table presents dividends declared and paid related to the Company's common and preferred shares: Per share data Dividends declared Dividends paid in period of declaration Dividends paid in period following declaration Three months ended June 30, 2019 Common shares $ 0.40 $ — $ 0.40 Series D preferred shares $ 0.34 $ — $ 0.34 Series E preferred shares $ 34.38 $ — $ 34.38 Three months ended June 30, 2020 Common shares $ 0.41 $ — $ 0.41 Series E preferred shares $ 34.38 $ — $ 34.38 Six months ended June 30, 2019 Common shares $ 0.80 $ 0.40 $ 0.40 Series D preferred shares $ 0.69 $ 0.35 $ 0.34 Series E preferred shares $ 68.75 $ 34.38 $ 34.38 Six months ended June 30, 2020 Common shares $ 0.82 $ 0.41 $ 0.41 Series E preferred shares $ 68.75 $ 34.38 $ 34.38 |
DEBT AND FINANCING ARRANGEMENTS
DEBT AND FINANCING ARRANGEMENTS | 6 Months Ended |
Jun. 30, 2020 | |
Debt Disclosure [Abstract] | |
DEBT AND FINANCING ARRANGEMENTS | Debt On June 1, 2020, AXIS Specialty Finance LLC, a 100% owned finance subsidiary, repaid $500 million aggregate principal amount of 5.875% Senior Notes at their stated maturity. b) Letters of Credit On March 28, 2020, certain of AXIS Capital’s operating subsidiaries (the "Participating Subsidiaries") amended their existing $250 million secured letter of credit facility with Citibank Europe plc (the "$250 million Facility") to extend the expiration date to March 31, 2021. The terms and conditions of the $500 million secured letter of credit facility (the "$500 million Facility") remain unchanged. |
COMMITMENTS AND CONTINGENCIES
COMMITMENTS AND CONTINGENCIES | 6 Months Ended |
Jun. 30, 2020 | |
Commitments and Contingencies Disclosure [Abstract] | |
COMMITMENTS AND CONTINGENCIES | Legal Proceedings From time to time, the Company is subject to routine legal proceedings, including arbitrations, arising in the ordinary course of business. These legal proceedings generally relate to claims asserted by or against the Company in the ordinary course of insurance or reinsurance operations. Estimated amounts payable under such proceedings are included in the reserve for losses and loss expenses in the consolidated balance sheets. The Company is not party to any material legal proceedings arising outside the ordinary course of business. Investments Refer to Note 3 - 'Investments' for information on the Company's unfunded investment commitments related to the Company's other investment portfolio. |
REORGANIZATION EXPENSES
REORGANIZATION EXPENSES | 3 Months Ended |
Jun. 30, 2020 | |
Restructuring and Related Activities [Abstract] | |
REORGANIZATION EXPENSES | For the three and six months ended months ended June 30, 2020, reorganization expenses were $0.4 million (2019: $3 million) and ($0.6) million (2019: $18 million), respectively, related to the Company's transformation program which was launched in 2017. This program encompasses the integration of Novae which commenced in the fourth quarter of 2017, the realignment of the Company's accident and health business, together with other initiatives designed to increase efficiency and enhance profitability while delivering a customer-centric operating model. |
OTHER COMPREHENSIVE INCOME (LOS
OTHER COMPREHENSIVE INCOME (LOSS) | 6 Months Ended |
Jun. 30, 2020 | |
Equity [Abstract] | |
OTHER COMPREHENSIVE INCOME (LOSS) | The following table presents the tax effects allocated to each component of other comprehensive income (loss): 2020 2019 Before tax amount Income tax (expense) benefit Net of tax amount Before tax amount Income tax (expense) benefit Net of Tax Amount Three months ended June 30, Available for sale investments: Unrealized gains arising during the period for which an allowance for expected credit losses has not been recognized $ 412,802 $ (41,514) $ 371,288 $ 146,907 $ (15,465) $ 131,442 Unrealized gains arising during the period for which an allowance for expected credit losses has been recognized 3,342 (130) 3,212 — — — Adjustment for reclassification of net realized (gains) losses, impairment losses and OTTI losses recognized in net income (loss) (9,610) 2,794 (6,816) (8,141) 1,192 (6,949) Unrealized gains arising during the period, net of reclassification adjustment 406,534 (38,850) 367,684 138,766 (14,273) 124,493 Foreign currency translation adjustment 3,834 — 3,834 2,556 — 2,556 Total other comprehensive income, net of tax $ 410,368 $ (38,850) $ 371,518 $ 141,322 $ (14,273) $ 127,049 Six months ended June 30, Available for sale investments: Unrealized gains arising during the period for which an allowance for expected credit losses has not been recognized $ 140,018 $ (22,050) $ 117,968 $ 353,712 $ (32,061) $ 321,651 Unrealized gains (losses) arising during the period for which an allowance for expected credit losses has be recognized (2,757) (272) (3,029) — — — Adjustment for reclassification of net realized (gains) losses, impairment losses and OTTI losses recognized in net income (loss) (5,484) 4,325 (1,159) 5,733 652 6,385 Unrealized gains arising during the period, net of reclassification adjustment 131,777 (17,997) 113,780 359,445 (31,409) 328,036 Foreign currency translation adjustment (3,891) — (3,891) 5,219 — 5,219 Total other comprehensive income, net of tax $ 127,886 $ (17,997) $ 109,889 $ 364,664 $ (31,409) $ 333,255 The following table presents details of amounts reclassified from accumulated other comprehensive income ("AOCI") to net income (loss): Amount reclassified from AOCI (1) AOCI Components Consolidated statement of operations line item that includes reclassification adjustment Three months ended June 30, Six months ended June 30, 2020 2019 2020 2019 Unrealized gains on available for sale investments Other realized gains (losses) $ 9,722 $ 8,975 $ 6,786 $ (863) Impairment losses (112) — (1,302) — OTTI losses — (834) — (4,870) Total before tax 9,610 8,141 5,484 (5,733) Income tax (expense) benefit (2,794) (1,192) (4,325) (652) Net of tax $ 6,816 $ 6,949 $ 1,159 $ (6,385) (1) Amounts in parentheses are charges to net income (loss). |
BASIS OF PRESENTATION AND SIG_2
BASIS OF PRESENTATION AND SIGNIFICANT ACCOUNTING POLICIES (Policies) | 6 Months Ended |
Jun. 30, 2020 | |
Accounting Policies [Abstract] | |
Basis of Presentation | Basis of Presentation These unaudited Consolidated Financial Statements (the "financial statements") have been prepared in accordance with accounting principles generally accepted in the United States of America ("U.S. GAAP") for interim financial information and with the U.S. Securities and Exchange Commission's ("SEC") instructions to Form 10-Q and Article 10 of Regulation S-X and include AXIS Capital Holdings Limited ("AXIS Capital") and its subsidiaries (the "Company"). Accordingly, they do not include all of the information and notes required by U.S. GAAP for complete financial statements. This Quarterly Report on Form 10-Q should be read in conjunction with the financial statements and related notes included in AXIS Capital's Annual Report on Form 10-K for the year ended December 31, 2019, as filed with the SEC. In the opinion of management, these financial statements reflect all adjustments (consisting of normal recurring adjustments) considered necessary for a fair presentation of the Company's 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. |
New Accounting Standards Adopted in 2020 and Recently Issued Accounting Standards Not Yet Adopted | Significant Accounting Policies There was one notable change to the Company's significant accounting policies subsequent to its Annual Report on Form 10-K for the year ended December 31, 2019. Measurement of Credit Losses on Financial Instruments Effective January 1, 2020, the Company adopted ASU 2016-13 Measurement of Credit Losses on Financial Instruments, " using the modified retrospective approach for insurance and reinsurance premium balances receivable, reinsurance recoverable on unpaid losses and loss expenses and mortgage loans, held for investment. The Company assessed that the impact of adoption of ASU 2016-13 Insurance and reinsurance premium balances receivable of $3,527 million and $3,071 million at June 30, 2020 and December 31, 2019, respectively, were presented net of an allowance for expected credit losses. The allowance for expected credit losses was estimated based on the Company's analysis of amounts due, historical delinquencies and write-offs, and current economic conditions together with reasonable and supportable forecasts of short-term economic conditions, giving consideration to the potential impact from the COVID-19 pandemic. At June 30, 2020, the allowance for credit losses expected to be recognized over the life of premium balances receivable was $10 million, compared to an allowance for uncollectible premium balances receivable of $7 million at December 31, 2019. The allowance for expected credit losses is recognized in net income (loss). Any adjustment to the allowance for expected credit losses is recognized in the period in which it is determined. Write-offs of premium balances receivable together with associated allowances for expected credit losses are recognized in the period in which balances are deemed uncollectible. The Company does not have a history of significant write-offs. Reinsurance recoverable on unpaid losses and loss expenses of $4,161 million and $3,878 million at June 30, 2020 and December 31, 2019, respectively, were presented net of an allowance for expected credit losses. The allowance for expected credit losses was estimated based on the Company's analysis of amounts due, historical delinquencies and write-offs, and disputes. In addition, the Company used a default analysis based on the reinsurers' credit rating and the length of collection periods to estimate allowances for credit expected losses on the remainder of the reinsurance recoverable balance. The default analysis considered current and forecasted economic conditions including the potential impact from the COVID-19 pandemic. At June 30, 2020, the allowance for credit losses expected to be recognized over the life of the reinsurance recoverable balances was $21 million, compared to an allowance for estimated uncollectible reinsurance recoverable balances of $18 million at December 31, 2019. The allowance for expected credit losses is recognized in net income (loss). Any adjustment to the allowance for expected credit losses is recognized in the period in which it is determined. Write-offs of reinsurance recoverable balances together with associated allowances for expected credit losses are recognized in the period in which balances are deemed uncollectible. The Company does not have a history of significant write-offs. Mortgage loans, held for investment of $525 million and $433 million at June 30, 2020 and December 31, 2019, respectively, were presented net of an allowance for expected credit losses. The allowance for expected credit losses was estimated based on the Company’s analysis of projected lifetime losses. These projections take into account the Company’s experience with loan losses, defaults and loss severity, and loss expectations for loans with similar risk characteristics. These evaluations are revised as conditions change and new information becomes available. At June 30, 2020 and December 31, 2019, the allowance for credit losses expected to be recognized over the life of our mortgage loans was $nil. The allowance for expected credit losses is recognized in net investment gains (losses). Any adjustment to the allowance for expected credit losses is recognized in the period in which it is determined. Effective January 1, 2020, the Company adopted the targeted changes to the impairment model for available for sale securities introduced in ASU 2016-13 An available for sale fixed maturity is impaired if the fair value of the investment is below amortized cost. If a fixed maturity is impaired and the Company intends to sell the security or it is more likely than not that the Company will be required to sell the security before its anticipated recovery, the full amount of the impairment loss is charged to net income and is included in net investment gains (losses). In instances where the Company intends to hold the impaired fixed maturity, and it does not anticipate to fully recover the amortized cost , an allowance for expected credit losses is established. At June 30, 2020, the allowance for expected credit losses was $6 million . The allowance for expected credit losses is charged to net income and is included in net investment gains (losses). The non-credit impairment amount of the loss is recognized in other comprehensive income. On a quarterly basis, the Company assesses whether unrealized losses on fixed maturities represent credit impairments by considering the following factors: a. the extent to which the fair value is less than amortized cost; b. adverse conditions related to the security, industry, or geographical area; c. downgrades in the security's credit rating by a credit rating agency; and d. failure of the issuer to make scheduled principal or interest payments. If a security is assessed to be credit impaired, it is subject to a discounted cash flow analysis by comparing the present value of expected future cash flows with the amortized cost basis. If the present value of expected cash flows is less than the amortized cost, a credit loss exists and an allowance for expected credit losses is recognized. If the present value of expected future cash flows is equal to or greater than the amortized cost basis, an expected credit loss does not exist. The Company reports accrued interest receivable related to available for sale debt securities separately and has elected not to measure an allowance for expected credit losses for accrued interest receivable. Write-offs of accrued interest receivable balances are recognized in net investment gains (losses) in the period in which they are deemed uncollectible. |
SEGMENT INFORMATION (Tables)
SEGMENT INFORMATION (Tables) | 6 Months Ended |
Jun. 30, 2020 | |
Segment Reporting [Abstract] | |
UNDERWRITING RESULTS OF REPORTABLE SEGMENTS | The following tables present the underwriting results of the Company's reportable segments, as well as the carrying values of allocated goodwill and intangible assets: 2020 2019 Three months ended and at June 30, Insurance Reinsurance Total Insurance Reinsurance Total Gross premiums written $ 1,037,568 $ 678,615 $ 1,716,183 $ 968,325 $ 679,435 $ 1,647,760 Net premiums written 602,761 453,173 1,055,934 591,909 478,412 1,070,321 Net premiums earned 577,019 526,984 1,104,003 537,260 586,347 1,123,607 Other insurance related income (loss) 755 1,241 1,996 (695) 3,620 2,925 Net losses and loss expenses (337,367) (338,894) (676,261) (308,703) (363,760) (672,463) Acquisition costs (116,259) (112,243) (228,502) (111,655) (130,708) (242,363) General and administrative expenses (89,751) (24,073) (113,824) (104,898) (28,149) (133,047) Underwriting income $ 34,397 $ 53,015 87,412 $ 11,309 $ 67,350 78,659 Net investment income 45,040 137,949 Net investment gains 53,043 21,225 Corporate expenses (26,828) (32,348) Foreign exchange (losses) gains (9,709) 12,381 Interest expense and financing costs (20,595) (15,607) Reorganization expenses (392) (3,276) Amortization of value of business acquired (1,285) (7,194) Amortization of intangible assets (2,855) (2,912) Income before income taxes and interest in income of equity method investments $ 123,831 $ 188,877 Net losses and loss expenses ratio 58.5 % 64.3 % 61.3 % 57.5 % 62.0 % 59.8 % Acquisition cost ratio 20.1 % 21.3 % 20.7 % 20.8 % 22.3 % 21.6 % General and administrative expense ratio 15.6 % 4.6 % 12.7 % 19.5 % 4.8 % 14.7 % Combined ratio 94.2 % 90.2 % 94.7 % 97.8 % 89.1 % 96.1 % Goodwill and intangible assets $ 327,095 $ — $ 327,095 $ 353,428 $ — $ 353,428 2020 2019 Six months ended and at June 30, Insurance Reinsurance Total Insurance Reinsurance Total Gross premiums written $ 1,978,283 $ 2,169,058 $ 4,147,341 $ 1,819,421 $ 2,411,565 $ 4,230,986 Net premiums written 1,184,411 1,550,567 2,734,978 1,121,149 1,726,232 2,847,381 Net premiums earned 1,139,083 1,053,545 2,192,628 1,094,022 1,163,797 2,257,819 Other insurance related income (loss) 1,403 (8,113) (6,710) 1,046 8,806 9,852 Net losses and loss expenses (809,180) (775,155) (1,584,335) (622,479) (714,012) (1,336,491) Acquisition costs (229,010) (238,142) (467,152) (229,430) (273,351) (502,781) General and administrative expenses (190,529) (53,257) (243,786) (210,932) (60,988) (271,920) Underwriting income (loss) $ (88,233) $ (21,122) (109,355) $ 32,227 $ 124,252 156,479 Net investment income 138,140 245,254 Net investment gains (losses) (9,831) 33,996 Corporate expenses (53,926) (68,566) Foreign exchange gains 51,974 5,325 Interest expense and financing costs (44,067) (31,502) Reorganization expenses 591 (18,096) Amortization of value of business acquired (3,083) (20,298) Amortization of intangible assets (5,725) (5,914) Income (loss) before income taxes and interest in income (loss) of equity method investments $ (35,282) $ 296,678 Net losses and loss expenses ratio 71.0 % 73.6 % 72.3 % 56.9 % 61.4 % 59.2 % Acquisition cost ratio 20.1 % 22.6 % 21.3 % 21.0 % 23.5 % 22.3 % General and administrative expense ratio 16.8 % 5.0 % 13.5 % 19.2 % 5.2 % 15.0 % Combined ratio 107.9 % 101.2 % 107.1 % 97.1 % 90.1 % 96.5 % Goodwill and intangible assets $ 327,095 $ — $ 327,095 $ 353,428 $ — $ 353,428 |
INVESTMENTS (Tables)
INVESTMENTS (Tables) | 6 Months Ended |
Jun. 30, 2020 | |
Investments, Debt and Equity Securities [Abstract] | |
AMORTIZED COST/COST AND FAIR VALUES OF FIXED MATURITIES AND EQUITIES | The following table provides the amortized cost and fair values of the Company's fixed maturities classified as available for sale: Amortized cost Allowance for expected credit losses Gross Gross unrealized losses Fair value At June 30, 2020 Fixed maturities U.S. government and agency $ 1,942,952 $ — $ 70,341 $ (26) $ 2,013,267 Non-U.S. government 608,375 — 9,519 (9,797) 608,097 Corporate debt 4,513,997 (4,643) 200,202 (47,145) 4,662,411 Agency RMBS (1) 1,483,883 — 51,466 (276) 1,535,073 CMBS (2) 1,302,049 — 79,241 (4,026) 1,377,264 Non-agency RMBS 118,085 (20) 2,396 (2,242) 118,219 ABS (3) 1,558,578 (1,594) 9,798 (32,218) 1,534,564 Municipals (4) 187,966 — 9,730 (176) 197,520 Total fixed maturities $ 11,715,885 $ (6,257) $ 432,693 $ (95,906) $ 12,046,415 At December 31, 2019 Fixed maturities U.S. government and agency $ 2,102,849 $ — $ 16,345 $ (6,313) $ 2,112,881 Non-U.S. government 564,505 — 14,535 (2,448) 576,592 Corporate debt 4,797,384 — 140,426 (7,556) 4,930,254 Agency RMBS (1) 1,570,823 — 25,215 (3,454) 1,592,584 CMBS (2) 1,340,156 — 29,838 (4,942) 1,365,052 Non-agency RMBS 84,381 — 1,393 (852) 84,922 ABS (3) 1,599,867 — 4,706 (5,880) 1,598,693 Municipals (4) 203,275 — 4,359 (407) 207,227 Total fixed maturities $ 12,263,240 $ — $ 236,817 $ (31,852) $ 12,468,205 (1) Residential mortgage-backed securities ("RMBS") originated by U.S. government-sponsored agencies. (2) Commercial mortgage-backed securities ("CMBS"). (3) Asset-backed securities ("ABS") include debt tranched securities collateralized primarily by auto loans, student loans, credit card receivables and collateralized loan obligations ("CLOs"). (4) Municipals include bonds issued by states, municipalities and political subdivisions. |
EQUITY SECURITIES | The following table provides the cost and fair values of the Company's equity securities: Cost Gross unrealized gains Gross unrealized losses Fair value At June 30, 2020 Equity securities Common stocks $ 422 $ 13 $ (371) $ 64 Preferred stocks 6,249 1,183 (1) 7,431 Exchange-traded funds 141,748 37,825 (2,152) 177,421 Bond mutual funds 192,091 1,853 — 193,944 Total equity securities $ 340,510 $ 40,874 $ (2,524) $ 378,860 At December 31, 2019 Equity securities Common stocks $ 504 $ 77 $ (388) $ 193 Preferred stocks — — — — Exchange-traded funds 215,986 81,444 (105) 297,325 Bond mutual funds 182,466 — (5,777) 176,689 Total equity securities $ 398,956 $ 81,521 $ (6,270) $ 474,207 |
CONTRACTUAL MATURITIES OF FIXED MATURITIES | 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. The table below provides the contractual maturities of fixed maturities: Amortized cost Fair value % of Total fair value At June 30, 2020 Maturity Due in one year or less $ 399,074 $ 401,389 3.4 % Due after one year through five years 4,272,644 4,374,575 36.3 % Due after five years through ten years 2,371,695 2,489,188 20.7 % Due after ten years 209,877 216,143 1.8 % 7,253,290 7,481,295 62.2 % Agency RMBS 1,483,883 1,535,073 12.7 % CMBS 1,302,049 1,377,264 11.4 % Non-agency RMBS 118,085 118,219 1.0 % ABS 1,558,578 1,534,564 12.7 % Total $ 11,715,885 $ 12,046,415 100.0 % At December 31, 2019 Maturity Due in one year or less $ 438,881 $ 443,228 3.6 % Due after one year through five years 4,810,202 4,884,837 39.2 % Due after five years through ten years 2,091,486 2,157,157 17.3 % Due after ten years 327,444 341,732 2.7 % 7,668,013 7,826,954 62.8 % Agency RMBS 1,570,823 1,592,584 12.8 % CMBS 1,340,156 1,365,052 10.9 % Non-agency RMBS 84,381 84,922 0.7 % ABS 1,599,867 1,598,693 12.8 % Total $ 12,263,240 $ 12,468,205 100.0 % |
FIXED MATURITIES AND EQUITIES IN AN UNREALIZED LOSS POSITION | The following table summarizes fixed maturities 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, 2020 Fixed maturities U.S. government and agency $ — $ — $ 145,664 $ (26) $ 145,664 $ (26) Non-U.S. government 58,470 (4,522) 221,511 (5,275) 279,981 (9,797) Corporate debt 104,368 (6,648) 910,430 (40,497) 1,014,798 (47,145) Agency RMBS 10,288 (50) 48,970 (226) 59,258 (276) CMBS 10,374 (931) 132,310 (3,095) 142,684 (4,026) Non-agency RMBS 4,836 (1,075) 26,659 (1,167) 31,495 (2,242) ABS 275,127 (10,585) 745,695 (21,633) 1,020,822 (32,218) Municipals — — 14,905 (176) 14,905 (176) Total fixed maturities $ 463,463 $ (23,811) $ 2,246,144 $ (72,095) $ 2,709,607 $ (95,906) At December 31, 2019 Fixed maturities U.S. government and agency $ 9,536 $ (67) $ 614,705 $ (6,246) $ 624,241 $ (6,313) Non-U.S. government 99,466 (2,036) 18,361 (412) 117,827 (2,448) Corporate debt 121,635 (3,847) 375,858 (3,709) 497,493 (7,556) Agency RMBS 195,395 (1,816) 326,402 (1,638) 521,797 (3,454) CMBS 24,281 (64) 364,641 (4,878) 388,922 (4,942) Non-agency RMBS 6,345 (792) 25,816 (60) 32,161 (852) ABS 535,780 (4,667) 404,641 (1,213) 940,421 (5,880) Municipals 5,418 (34) 46,684 (373) 52,102 (407) Total fixed maturities $ 997,856 $ (13,323) $ 2,177,108 $ (18,529) $ 3,174,964 $ (31,852) |
MORTGAGE LOANS NET OF VALUATION ALLOWANCE | The following table provides details of the Company's mortgage loans held-for-investment: June 30, 2020 December 31, 2019 Carrying value % of Total Carrying value % of Total Mortgage Loans held-for-investment: Commercial $ 524,757 100 % $ 432,748 100 % Total Mortgage Loans held-for-investment $ 524,757 100 % $ 432,748 100 % |
PORTFOLIO OF OTHER INVESTMENTS | The following tables provide a summary of the Company's other 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, 2020 Long/short equity funds $ 23,299 3 % Annually 60 days Multi-strategy funds 142,625 19 % Quarterly, Semi-annually 60-90 days Direct lending funds 262,802 34 % n/a n/a Private equity funds 101,485 13 % n/a n/a Real estate funds 144,003 19 % n/a n/a CLO-Equities 9,943 1 % n/a n/a Other privately held investments 37,420 5 % n/a n/a Overseas deposits 47,058 6 % n/a n/a Total other investments $ 768,635 100 % At December 31, 2019 Long/short equity funds $ 31,248 4 % Annually 60 days Multi-strategy funds 136,542 18 % Quarterly, Semi-annually 60-90 days Direct lending funds 277,395 36 % n/a n/a Private equity funds 80,412 10 % n/a n/a Real estate funds 130,112 17 % n/a n/a CLO-Equities 14,328 2 % n/a n/a Other privately held investments 36,934 5 % n/a n/a Overseas deposits 63,952 8 % n/a n/a Total other investments $ 770,923 100 % 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, 2020 2019 2020 2019 Fixed maturities $ 80,459 $ 97,370 $ 170,402 $ 188,752 Other investments (37,580) 31,232 (39,700) 38,128 Equity securities 2,263 3,197 4,387 5,525 Mortgage loans 3,660 3,689 7,713 6,752 Cash and cash equivalents 2,392 8,138 7,323 13,940 Short-term investments 366 1,108 1,863 5,002 Gross investment income 51,560 144,734 151,988 258,099 Investment expenses (6,520) (6,785) (13,848) (12,845) Net investment income $ 45,040 $ 137,949 $ 138,140 $ 245,254 |
NET INVESTMENT GAINS (LOSSES) | The following table provides an analysis of net investment gains (losses): Three months ended June 30, Six months ended June 30, 2020 2019 2020 2019 Gross realized investment gains Fixed maturities and short-term investments $ 51,017 $ 18,971 $ 90,948 $ 29,409 Equity securities 22,038 154 23,958 1,598 Gross realized investment gains 73,055 19,125 114,906 31,007 Gross realized investment losses Fixed maturities and short-term investments (55,056) (9,978) (77,821) (30,257) Equity securities (3,120) (29) (5,802) (122) Gross realized investment losses (58,176) (10,007) (83,623) (30,379) Allowance for expected credit losses 13,761 — (6,257) — Impairment losses (1) (112) — (1,302) — OTTI losses — (834) — (4,870) Change in fair value of investment derivatives (2) 154 (204) 3,316 (2,305) Net unrealized gains (losses) on equity securities 24,361 13,145 (36,871) 40,543 Net investment gains (losses) $ 53,043 $ 21,225 $ (9,831) $ 33,996 (1) Related to instances where the Company intends to sell securities or it is more likely than not that the Company will be required to sell securities before their anticipated recovery. (2) Refer to Note 5 ' Derivative Instruments'. |
ALLOWANCE FOR CREDIT LOSS | The following table provides a reconciliation of the beginning and ending balances of the allowance for expected credit losses on fixed maturities classified as available for sale: Three months ended June 30, Six months ended June 30, 2020 2019 2020 2019 Balance at beginning of period $ 20,019 $ — $ — $ — Expected credit losses on securities where credit losses were not previously recognized 2,357 — 22,376 — Additions (reductions) for expected credit losses on securities where credit losses were previously recognized (6,879) — (6,879) — Impairments of securities which the Company intends to sell or more likely than not will be required to sell — — — — Securities sold/redeemed/matured (9,240) — (9,240) — Balance at end of period $ 6,257 $ — $ 6,257 $ — |
FAIR VALUE MEASUREMENTS (Tables
FAIR VALUE MEASUREMENTS (Tables) | 6 Months Ended |
Jun. 30, 2020 | |
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, 2020 Assets Fixed maturities U.S. government and agency $ 1,929,996 $ 83,271 $ — $ — $ 2,013,267 Non-U.S. government — 608,097 — — 608,097 Corporate debt — 4,660,113 2,298 — 4,662,411 Agency RMBS — 1,535,073 — — 1,535,073 CMBS — 1,372,830 4,434 — 1,377,264 Non-agency RMBS — 108,657 9,562 — 118,219 ABS — 1,534,123 441 — 1,534,564 Municipals — 197,520 — — 197,520 1,929,996 10,099,684 16,735 — 12,046,415 Equity securities Common stocks 64 — — — 64 Preferred stocks 7,431 — — — 7,431 Exchange-traded funds 177,421 — — — 177,421 Bond mutual funds — 193,944 — — 193,944 184,916 193,944 — — 378,860 Other investments Hedge funds (1) — — — 165,924 165,924 Direct lending funds — — — 262,802 262,802 Private equity funds — — — 101,485 101,485 Real estate funds — — — 144,003 144,003 CLO-Equities — — 9,943 — 9,943 Other privately held investments — — 37,420 — 37,420 Overseas deposits — 47,058 — — 47,058 — 47,058 47,363 674,214 768,635 Short-term investments — 34,337 — — 34,337 Other assets Derivative instruments (refer to Note 5) — 3,415 — — 3,415 Total Assets $ 2,114,912 $ 10,378,438 $ 64,098 $ 674,214 $ 13,231,662 Liabilities Derivative instruments (refer to Note 5) $ — $ 1,850 $ 9,818 $ — $ 11,668 Cash settled awards (refer to Note 8) — 7,675 — — 7,675 Total Liabilities $ — $ 9,525 $ 9,818 $ — $ 19,343 (1) Includes Long/short equity and Multi-strategy funds. 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, 2019 Assets Fixed maturities U.S. government and agency $ 2,053,622 $ 59,259 $ — $ — $ 2,112,881 Non-U.S. government — 576,592 — — 576,592 Corporate debt — 4,927,957 2,297 — 4,930,254 Agency RMBS — 1,592,584 — — 1,592,584 CMBS — 1,359,817 5,235 — 1,365,052 Non-agency RMBS — 84,922 — — 84,922 ABS — 1,598,204 489 — 1,598,693 Municipals — 207,227 — — 207,227 2,053,622 10,406,562 8,021 — 12,468,205 Equity securities Common stocks $ 193 $ — $ — $ — $ 193 Preferred stocks — — — — — Exchange-traded funds 297,325 — — — 297,325 Bond mutual funds — 176,689 — — 176,689 297,518 176,689 — — 474,207 Other investments Hedge funds (1) — — — 167,790 167,790 Direct lending funds — — — 277,395 277,395 Private equity funds — — — 80,412 80,412 Real estate funds — — — 130,112 130,112 CLO-Equities — — 14,328 — 14,328 Other privately held investments — — 36,934 — 36,934 Overseas deposits — 63,952 — — 63,952 — 63,952 51,262 655,709 770,923 Short-term investments — 38,471 — — 38,471 Other assets Derivative instruments (refer to Note 5) — 3,174 — — 3,174 Total Assets $ 2,351,140 $ 10,688,848 $ 59,283 $ 655,709 $ 13,754,980 Liabilities Derivative instruments (refer to Note 5) $ — $ 3,965 $ 9,672 $ — $ 13,637 Cash settled awards (refer to Note 8) — 21,731 — — 21,731 Total Liabilities $ — $ 25,696 $ 9,672 $ — $ 35,368 (1) Includes Long/short equity and Multi-strategy funds. |
LEVEL 3 FAIR VALUE MEASUREMENT INPUTS | The following table quantifies the significant unobservable inputs used in estimating fair values at June 30, 2020 of investments classified as Level 3 in the fair value hierarchy: Fair value Valuation technique Unobservable input Range Weighted average Other investments - CLO-Equities $ 9,943 Discounted cash flow Default rates 3.8% 3.8% Loss severity rate 50.0% 50.0% Collateral spreads 3.0% 3.0% Estimated maturity dates 6 years 6 years Derivatives - Other underwriting-related derivatives $ (9,818) Discounted cash flow Discount rate 0.5% 0.5% Note: Fixed maturities of $17 million that are classified as Level 3 are excluded from the above table as these securities are priced using broker-dealer quotes. In addition, privately held investments of $37 million that are classified as Level 3 are excluded from the above table as these investments are priced using capital statements received from investee companies. |
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: Opening balance Transfers into Level 3 Transfers out of Level 3 Included in net income (1) Included in OCI (2) Purchases Sales Settlements/ distributions Closing balance Change in unrealized gains/(losses) (3) Three months ended June 30, 2020 Fixed maturities Corporate debt $ 2,245 $ — $ — $ — $ 53 $ — $ — $ — $ 2,298 $ — CMBS 4,371 — — — 81 — — (18) 4,434 — Non-agency RMBS 9,185 — — — 377 — — — 9,562 — ABS 336 — — — 105 — — — 441 — 16,137 — — — 616 — — (18) 16,735 — Other investments CLO-Equities 12,793 — — (2,322) — — — (528) 9,943 (2,322) Other privately held investments 37,441 — — (76) — 55 — — 37,420 (76) 50,234 — — (2,398) — 55 — (528) 47,363 (2,398) Total assets $ 66,371 $ — $ — $ (2,398) $ 616 $ 55 $ — $ (546) $ 64,098 $ (2,398) Other liabilities Derivative instruments $ 20,164 $ — $ — $ (375) $ — $ — $ — $ (9,971) $ 9,818 $ (346) Total liabilities $ 20,164 $ — $ — $ (375) $ — $ — $ — $ (9,971) $ 9,818 $ (346) Six months ended June 30, 2020 Fixed maturities Corporate debt $ 2,297 $ — $ — $ — $ 1 $ — $ — $ — $ 2,298 $ — CMBS 5,235 — — — (212) — — (589) 4,434 — Non-agency RMBS — 9,185 — — 377 — — — 9,562 — ABS 489 — — — (48) — — — 441 — 8,021 9,185 — — 118 — — (589) 16,735 — Other investments CLO-Equities 14,328 — — (3,169) — — — (1,216) 9,943 (3,169) Other privately held investments 36,934 — — 4 — 482 — — 37,420 4 51,262 — — (3,165) — 482 — (1,216) 47,363 (3,165) Total assets $ 59,283 $ 9,185 $ — $ (3,165) $ 118 $ 482 $ — $ (1,805) $ 64,098 $ (3,165) Other liabilities Derivative instruments $ 9,672 $ — $ — $ 10,117 $ — $ — $ — $ (9,971) $ 9,818 $ 146 Total liabilities $ 9,672 $ — $ — $ 10,117 $ — $ — $ — $ (9,971) $ 9,818 $ 146 (1) Realized gains (losses) on fixed maturities and realized and unrealized gains (losses) on other assets and other liabilities included in net income are included in net investment gains (losses). Realized and unrealized gains (losses) on other investments included in net income are included in net investment income. (2) Unrealized gains (losses) on fixed maturities are included in other comprehensive income ("OCI"). (3) Change in unrealized gains (losses) relating to assets held at the reporting date. Opening balance Transfers into Level 3 Transfers out of Level 3 Included in net income (1) Included in OCI (2) Purchases Sales Settlements/ distributions Closing balance Change in unrealized gains/(losses) )(3) Three months ended June 30, 2019 Fixed maturities Corporate debt $ 41,125 $ — $ — $ (763) $ 309 $ — $ (31) $ (1,503) $ 39,137 $ — CMBS 11,145 — — — 21 — — (1,274) 9,892 — Non-agency RMBS — — — — — — — — — — ABS 12,043 — (11,564) — 12 — — — 491 — 64,313 — (11,564) (763) 342 — (31) (2,777) 49,520 — Other investments CLO-Equities 18,022 — — 833 — — — (1,057) 17,798 833 Other privately held investments 47,685 — — 14,194 — — (33,427) — 28,452 767 65,707 — — 15,027 — — (33,427) (1,057) 46,250 1,600 Total assets $ 130,020 $ — $ (11,564) $ 14,264 $ 342 $ — $ (33,458) $ (3,834) $ 95,770 $ 1,600 Other liabilities Derivative instruments $ 10,233 $ — $ — $ 29 $ — $ — $ — $ — $ 10,262 $ 29 Total liabilities $ 10,233 $ — $ — $ 29 $ — $ — $ — $ — $ 10,262 $ 29 Six months ended June 30, 2019 Fixed maturities Corporate debt $ 49,012 $ — $ — $ (1,459) $ 933 $ — $ (5,578) $ (3,771) $ 39,137 $ — CMBS 19,134 — (4,767) — 164 — — (4,639) 9,892 — Non-agency RMBS — — — — — — — — — — ABS 18,533 — (27,966) — 174 9,750 — — 491 — 86,679 — (32,733) (1,459) 1,271 9,750 (5,578) (8,410) 49,520 — Other investments CLO-Equities 21,271 — — 1,248 — — — (4,721) 17,798 1,248 Other privately held investments 44,518 — — 14,861 — 2,500 (33,427) — 28,452 1,434 65,789 — — 16,109 — 2,500 (33,427) (4,721) 46,250 2,682 Total assets $ 152,468 $ — $ (32,733) $ 14,650 $ 1,271 $ 12,250 $ (39,005) $ (13,131) $ 95,770 $ 2,682 Other liabilities Derivative instruments $ 10,299 $ — $ — $ (37) $ — $ — $ — $ — $ 10,262 $ (37) Total liabilities $ 10,299 $ — $ — $ (37) $ — $ — $ — $ — $ 10,262 $ (37) (1) Realized gains (losses) on fixed maturities and realized and unrealized gains (losses) on other assets and other liabilities included in net income are included in net investment gains (losses). Realized and unrealized gains (losses) on other investments included in net income are included in net investment income. (2) Unrealized gains (losses) on fixed maturities are included in other comprehensive income ("OCI"). |
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: Opening balance Transfers into Level 3 Transfers out of Level 3 Included in net income (1) Included in OCI (2) Purchases Sales Settlements/ distributions Closing balance Change in unrealized gains/(losses) (3) Three months ended June 30, 2020 Fixed maturities Corporate debt $ 2,245 $ — $ — $ — $ 53 $ — $ — $ — $ 2,298 $ — CMBS 4,371 — — — 81 — — (18) 4,434 — Non-agency RMBS 9,185 — — — 377 — — — 9,562 — ABS 336 — — — 105 — — — 441 — 16,137 — — — 616 — — (18) 16,735 — Other investments CLO-Equities 12,793 — — (2,322) — — — (528) 9,943 (2,322) Other privately held investments 37,441 — — (76) — 55 — — 37,420 (76) 50,234 — — (2,398) — 55 — (528) 47,363 (2,398) Total assets $ 66,371 $ — $ — $ (2,398) $ 616 $ 55 $ — $ (546) $ 64,098 $ (2,398) Other liabilities Derivative instruments $ 20,164 $ — $ — $ (375) $ — $ — $ — $ (9,971) $ 9,818 $ (346) Total liabilities $ 20,164 $ — $ — $ (375) $ — $ — $ — $ (9,971) $ 9,818 $ (346) Six months ended June 30, 2020 Fixed maturities Corporate debt $ 2,297 $ — $ — $ — $ 1 $ — $ — $ — $ 2,298 $ — CMBS 5,235 — — — (212) — — (589) 4,434 — Non-agency RMBS — 9,185 — — 377 — — — 9,562 — ABS 489 — — — (48) — — — 441 — 8,021 9,185 — — 118 — — (589) 16,735 — Other investments CLO-Equities 14,328 — — (3,169) — — — (1,216) 9,943 (3,169) Other privately held investments 36,934 — — 4 — 482 — — 37,420 4 51,262 — — (3,165) — 482 — (1,216) 47,363 (3,165) Total assets $ 59,283 $ 9,185 $ — $ (3,165) $ 118 $ 482 $ — $ (1,805) $ 64,098 $ (3,165) Other liabilities Derivative instruments $ 9,672 $ — $ — $ 10,117 $ — $ — $ — $ (9,971) $ 9,818 $ 146 Total liabilities $ 9,672 $ — $ — $ 10,117 $ — $ — $ — $ (9,971) $ 9,818 $ 146 (1) Realized gains (losses) on fixed maturities and realized and unrealized gains (losses) on other assets and other liabilities included in net income are included in net investment gains (losses). Realized and unrealized gains (losses) on other investments included in net income are included in net investment income. (2) Unrealized gains (losses) on fixed maturities are included in other comprehensive income ("OCI"). (3) Change in unrealized gains (losses) relating to assets held at the reporting date. Opening balance Transfers into Level 3 Transfers out of Level 3 Included in net income (1) Included in OCI (2) Purchases Sales Settlements/ distributions Closing balance Change in unrealized gains/(losses) )(3) Three months ended June 30, 2019 Fixed maturities Corporate debt $ 41,125 $ — $ — $ (763) $ 309 $ — $ (31) $ (1,503) $ 39,137 $ — CMBS 11,145 — — — 21 — — (1,274) 9,892 — Non-agency RMBS — — — — — — — — — — ABS 12,043 — (11,564) — 12 — — — 491 — 64,313 — (11,564) (763) 342 — (31) (2,777) 49,520 — Other investments CLO-Equities 18,022 — — 833 — — — (1,057) 17,798 833 Other privately held investments 47,685 — — 14,194 — — (33,427) — 28,452 767 65,707 — — 15,027 — — (33,427) (1,057) 46,250 1,600 Total assets $ 130,020 $ — $ (11,564) $ 14,264 $ 342 $ — $ (33,458) $ (3,834) $ 95,770 $ 1,600 Other liabilities Derivative instruments $ 10,233 $ — $ — $ 29 $ — $ — $ — $ — $ 10,262 $ 29 Total liabilities $ 10,233 $ — $ — $ 29 $ — $ — $ — $ — $ 10,262 $ 29 Six months ended June 30, 2019 Fixed maturities Corporate debt $ 49,012 $ — $ — $ (1,459) $ 933 $ — $ (5,578) $ (3,771) $ 39,137 $ — CMBS 19,134 — (4,767) — 164 — — (4,639) 9,892 — Non-agency RMBS — — — — — — — — — — ABS 18,533 — (27,966) — 174 9,750 — — 491 — 86,679 — (32,733) (1,459) 1,271 9,750 (5,578) (8,410) 49,520 — Other investments CLO-Equities 21,271 — — 1,248 — — — (4,721) 17,798 1,248 Other privately held investments 44,518 — — 14,861 — 2,500 (33,427) — 28,452 1,434 65,789 — — 16,109 — 2,500 (33,427) (4,721) 46,250 2,682 Total assets $ 152,468 $ — $ (32,733) $ 14,650 $ 1,271 $ 12,250 $ (39,005) $ (13,131) $ 95,770 $ 2,682 Other liabilities Derivative instruments $ 10,299 $ — $ — $ (37) $ — $ — $ — $ — $ 10,262 $ (37) Total liabilities $ 10,299 $ — $ — $ (37) $ — $ — $ — $ — $ 10,262 $ (37) (1) Realized gains (losses) on fixed maturities and realized and unrealized gains (losses) on other assets and other liabilities included in net income are included in net investment gains (losses). Realized and unrealized gains (losses) on other investments included in net income are included in net investment income. (2) Unrealized gains (losses) on fixed maturities are included in other comprehensive income ("OCI"). |
DERIVATIVE INSTRUMENTS (Tables)
DERIVATIVE INSTRUMENTS (Tables) | 6 Months Ended |
Jun. 30, 2020 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
LOCATION AND AMOUNTS OF DERIVATIVE FAIR VALUES ON THE CONSOLIDATED BALANCE SHEET | The following table provides the balance sheet classifications of derivatives recorded at fair value: June 30, 2020 December 31, 2019 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 $ 83,470 $ 1 $ 455 $ 68,998 $ — $ 1,405 Relating to underwriting portfolio: Foreign exchange forward contracts 859,203 3,414 1,395 1,038,630 3,174 2,560 Other underwriting-related contracts 75,000 — 9,818 85,000 — 9,672 Total derivatives $ 3,415 $ 11,668 $ 3,174 $ 13,637 (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 following table provides a reconciliation of gross derivative assets and liabilities to the net amounts presented in the consolidated balance sheets, with the difference being attributable to the impact of master netting agreements: June 30, 2020 December 31, 2019 Gross amounts Gross amounts offset Net amounts (1) Gross amounts Gross amounts offset Net amounts (1) Derivative assets $ 8,263 $ (4,848) $ 3,415 $ 7,673 $ (4,499) $ 3,174 Derivative liabilities $ 16,516 $ (4,848) $ 11,668 $ 18,136 $ (4,499) $ 13,637 (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 following table provides a reconciliation of gross derivative assets and liabilities to the net amounts presented in the consolidated balance sheets, with the difference being attributable to the impact of master netting agreements: June 30, 2020 December 31, 2019 Gross amounts Gross amounts offset Net amounts (1) Gross amounts Gross amounts offset Net amounts (1) Derivative assets $ 8,263 $ (4,848) $ 3,415 $ 7,673 $ (4,499) $ 3,174 Derivative liabilities $ 16,516 $ (4,848) $ 11,668 $ 18,136 $ (4,499) $ 13,637 (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 net income for derivatives not designated as hedges are shown in the following table: Location of gain (loss) recognized in net income Three months ended June 30, Six months ended June 30, 2020 2019 2020 2019 Relating to investment portfolio: Foreign exchange forward contracts Net investment gains (losses) $ 154 $ 620 $ 3,316 $ 1,372 Interest rate swaps Net investment gains (losses) — (824) — (3,677) Relating to underwriting portfolio: Foreign exchange forward contracts Foreign exchange gains (losses) (870) 802 (1,559) (9,715) Other underwriting-related contracts Other insurance related income (losses) 470 271 (9,730) 618 Total $ (246) $ 869 $ (7,973) $ (11,402) |
RESERVE FOR LOSSES AND LOSS E_2
RESERVE FOR LOSSES AND LOSS EXPENSES (Tables) | 6 Months Ended |
Jun. 30, 2020 | |
Insurance [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 the Company's beginning and ending gross reserve for losses and loss expenses and net reserves for unpaid losses and loss expenses: Six months ended June 30, 2020 2019 Gross reserve for losses and loss expenses, beginning of period $ 12,752,081 $ 12,280,769 Less reinsurance recoverable on unpaid losses and loss expenses, beginning of period (3,877,756) (3,501,669) Net reserve for unpaid losses and loss expenses, beginning of period 8,874,325 8,779,100 Net incurred losses and loss expenses related to: Current year 1,593,102 1,374,784 Prior years (8,767) (38,293) 1,584,335 1,336,491 Net paid losses and loss expenses related to: Current year (89,724) (132,111) Prior years (1,271,987) (1,304,413) (1,361,711) (1,436,524) Foreign exchange and other (78,304) 10,832 Net reserve for unpaid losses and loss expenses, end of period 9,018,645 8,689,899 Reinsurance recoverable on unpaid losses and loss expenses, end of period 4,160,521 3,564,812 Gross reserve for losses and loss expenses, end of period $ 13,179,166 $ 12,254,711 |
NET PRIOR YEAR RESERVE DEVELOPMENT BY SEGMENT | The Company's net favorable prior year reserve development arises from changes to estimates of losses and loss expenses related to loss events that occurred in previous calendar years. The following table presents net prior year reserve development by segment: Three months ended June 30, Six months ended June 30, 2020 2019 2020 2019 Insurance $ 420 $ 21,326 $ 4,251 $ 28,240 Reinsurance 2,235 2,295 4,516 10,053 Total $ 2,655 $ 23,621 $ 8,767 $ 38,293 |
SCHEDULE OF THE LINE OF BUSINESS CATEGORIES AND THE EXPECTED CLAIM TAILS | The following tables map the Company's lines of business to reserve classes and the expected claim tails: Insurance segment Reserve class and tail Property and other Marine Aviation Credit and political risk Professional lines Liability Short Short Short/Medium Medium Medium Long Reported lines of business Property X Marine X Terrorism X Aviation X Credit and political risk X Professional lines X Liability X Accident and health X Discontinued lines - Novae X X X Reinsurance segment Reserve class and tail Property and other Credit and surety Professional lines Motor Liability Short Medium Medium Long Long Reported lines of business Catastrophe X Property X Credit and surety X Professional lines X Motor X Liability X Engineering X Agriculture X Marine and other X Accident and health X Discontinued lines - Novae X X X |
EARNINGS PER COMMON SHARE (Tabl
EARNINGS PER COMMON SHARE (Tables) | 6 Months Ended |
Jun. 30, 2020 | |
Earnings Per Share [Abstract] | |
BASIC AND DILUTED EARNINGS PER COMMON SHARE | The following table presents a comparison of earnings (loss) per common share and earnings (loss) per diluted common share: Three months ended June 30, Six months ended June 30, 2020 2019 2020 2019 Earnings (loss) per common share Net income (loss) $ 120,040 $ 177,043 $ (57,783) $ 285,828 Less: Preferred share dividends 7,563 10,656 15,125 21,313 Net income (loss) available (attributable) to common shareholders 112,477 166,387 (72,908) 264,515 Weighted average common shares outstanding 84,303 83,941 84,198 83,834 Earnings (loss) per common share $ 1.33 $ 1.98 $ (0.87) $ 3.16 Earnings (loss) per diluted common share Net income (loss) available (attributable) to common shareholders $ 112,477 $ 166,387 $ (72,908) $ 264,515 Weighted average common shares outstanding 84,303 83,941 84,198 83,834 Share-based compensation plans (1) 297 460 — 504 Weighted average diluted common shares outstanding 84,600 84,401 84,198 84,338 Earnings (loss) per diluted common share $ 1.33 $ 1.97 $ (0.87) $ 3.14 Weighted average anti-dilutive shares excluded from the dilutive computation 1,391 3 1,098 302 (1) Due to the net loss recognized for the six months ended June 30, 2020, the share equivalents were anti-dilutive. |
SHARE-BASED COMPENSATION (Table
SHARE-BASED COMPENSATION (Tables) | 6 Months Ended |
Jun. 30, 2020 | |
Share-based Payment Arrangement [Abstract] | |
RECONCILIATIONS OF BEGINNING AND ENDING BALANCE OF NONVESTED RESTRICTED STOCK (INCLUDING RSUS) TO BE SETTLED IN SHARES AND CASH | The following table provides an activity summary of the Company's share-settled restricted stock units for the six months ended June 30, 2020: Share-Settled Performance Share-Settled Service Number of restricted stock units Weighted average grant date fair value (1) Number of restricted stock units Weighted average grant date fair value (1) Non-vested restricted stock units - beginning of period 258 $ 53.31 1,273 $ 54.32 Granted 97 62.26 786 60.95 Vested (27) 64.01 (474) 55.25 Forfeited — — (40) 57.33 Non-vested restricted stock units - end of period 328 $ 55.09 1,545 $ 57.33 (1) Fair value is based on the closing price of the Company's common shares on the grant date. The following table provides an activity summary of the Company's cash-settled restricted stock units for the six months ended June 30, 2020: Cash-Settled Performance Cash-Settled Service Number of Number of Non-vested restricted stock units - beginning of period 6 853 Granted — 1 Vested (6) (322) Forfeited — (25) Non-vested restricted stock units - end of period — 507 The following table provides additional information related to share-based compensation: Six months ended June 30, 2020 2019 Share-based compensation expense (1) $ 25,410 $ 28,557 Tax benefits associated with share-based compensation expense $ 3,995 $ 4,263 Liability for cash-settled restricted stock units (2) $ 7,675 $ 12,946 Fair value of restricted stock units vested (3) $ 46,490 $ 49,323 Unrecognized share-based compensation expense $ 98,005 $ 104,947 Expected weighted average period associated with the recognition of unrecognized share-based compensation expense 2.7 years 2.7 years (1) Related to share-settled restricted stock units and cash-settled restricted stock units. (2) Included in other liabilities in the consolidated balance sheets. (3) Fair value is based on the closing price of the Company's common shares on the vest date. |
SHAREHOLDERS' EQUITY (Tables)
SHAREHOLDERS' EQUITY (Tables) | 6 Months Ended |
Jun. 30, 2020 | |
Equity [Abstract] | |
COMMON SHARES ISSUED AND OUTSTANDING | The following table presents changes in common shares issued and outstanding: Three months ended June 30, Six months ended June 30, 2020 2019 2020 2019 Shares issued, balance at beginning of period 176,580 176,580 176,580 176,580 Shares issued — — — — Total shares issued at end of period 176,580 176,580 176,580 176,580 Treasury shares, balance at beginning of period (92,282) (92,646) (92,621) (92,994) Shares repurchased (3) (7) (153) (164) Shares reissued 11 20 500 525 Total treasury shares at end of period (92,274) (92,633) (92,274) (92,633) Total shares outstanding 84,306 83,947 84,306 83,947 |
SHARE REPURCHASES | The following table presents common share repurchased from shares held in Treasury: Three months ended June 30, Six months ended June 30, 2020 2019 2020 2019 In the open market: Total shares — — — — Total cost $ — $ — $ — $ — Average price per share (1) $ — $ — $ — $ — From employees: (2) Total shares 3 7 153 164 Total cost $ 110 $ 411 $ 8,602 $ 9,414 Average price per share (1) $ 36.77 $ 58.34 $ 56.05 $ 57.22 Total shares repurchased: Total shares 3 7 153 164 Total cost $ 110 $ 411 $ 8,602 $ 9,414 Average price per share (1) $ 36.77 $ 58.34 $ 56.05 $ 57.22 (1) Calculated using whole numbers. |
DIVIDENDS | The following table presents dividends declared and paid related to the Company's common and preferred shares: Per share data Dividends declared Dividends paid in period of declaration Dividends paid in period following declaration Three months ended June 30, 2019 Common shares $ 0.40 $ — $ 0.40 Series D preferred shares $ 0.34 $ — $ 0.34 Series E preferred shares $ 34.38 $ — $ 34.38 Three months ended June 30, 2020 Common shares $ 0.41 $ — $ 0.41 Series E preferred shares $ 34.38 $ — $ 34.38 Six months ended June 30, 2019 Common shares $ 0.80 $ 0.40 $ 0.40 Series D preferred shares $ 0.69 $ 0.35 $ 0.34 Series E preferred shares $ 68.75 $ 34.38 $ 34.38 Six months ended June 30, 2020 Common shares $ 0.82 $ 0.41 $ 0.41 Series E preferred shares $ 68.75 $ 34.38 $ 34.38 |
OTHER COMPREHENSIVE INCOME (L_2
OTHER COMPREHENSIVE INCOME (LOSS) (Tables) | 6 Months Ended |
Jun. 30, 2020 | |
Equity [Abstract] | |
TAX EFFECTS ALLOCATED TO EACH COMPONENT OF OTHER COMPREHENSIVE INCOME | The following table presents the tax effects allocated to each component of other comprehensive income (loss): 2020 2019 Before tax amount Income tax (expense) benefit Net of tax amount Before tax amount Income tax (expense) benefit Net of Tax Amount Three months ended June 30, Available for sale investments: Unrealized gains arising during the period for which an allowance for expected credit losses has not been recognized $ 412,802 $ (41,514) $ 371,288 $ 146,907 $ (15,465) $ 131,442 Unrealized gains arising during the period for which an allowance for expected credit losses has been recognized 3,342 (130) 3,212 — — — Adjustment for reclassification of net realized (gains) losses, impairment losses and OTTI losses recognized in net income (loss) (9,610) 2,794 (6,816) (8,141) 1,192 (6,949) Unrealized gains arising during the period, net of reclassification adjustment 406,534 (38,850) 367,684 138,766 (14,273) 124,493 Foreign currency translation adjustment 3,834 — 3,834 2,556 — 2,556 Total other comprehensive income, net of tax $ 410,368 $ (38,850) $ 371,518 $ 141,322 $ (14,273) $ 127,049 Six months ended June 30, Available for sale investments: Unrealized gains arising during the period for which an allowance for expected credit losses has not been recognized $ 140,018 $ (22,050) $ 117,968 $ 353,712 $ (32,061) $ 321,651 Unrealized gains (losses) arising during the period for which an allowance for expected credit losses has be recognized (2,757) (272) (3,029) — — — Adjustment for reclassification of net realized (gains) losses, impairment losses and OTTI losses recognized in net income (loss) (5,484) 4,325 (1,159) 5,733 652 6,385 Unrealized gains arising during the period, net of reclassification adjustment 131,777 (17,997) 113,780 359,445 (31,409) 328,036 Foreign currency translation adjustment (3,891) — (3,891) 5,219 — 5,219 Total other comprehensive income, net of tax $ 127,886 $ (17,997) $ 109,889 $ 364,664 $ (31,409) $ 333,255 |
DETAILS OF AMOUNTS RECLASSIFIED FROM AOCI TO NET INCOME (LOSS) | The following table presents details of amounts reclassified from accumulated other comprehensive income ("AOCI") to net income (loss): Amount reclassified from AOCI (1) AOCI Components Consolidated statement of operations line item that includes reclassification adjustment Three months ended June 30, Six months ended June 30, 2020 2019 2020 2019 Unrealized gains on available for sale investments Other realized gains (losses) $ 9,722 $ 8,975 $ 6,786 $ (863) Impairment losses (112) — (1,302) — OTTI losses — (834) — (4,870) Total before tax 9,610 8,141 5,484 (5,733) Income tax (expense) benefit (2,794) (1,192) (4,325) (652) Net of tax $ 6,816 $ 6,949 $ 1,159 $ (6,385) (1) Amounts in parentheses are charges to net income (loss). |
BASIS OF PRESENTATION AND SIG_3
BASIS OF PRESENTATION AND SIGNIFICANT ACCOUNTING POLICIES (Details) - USD ($) | 6 Months Ended | ||||||
Jun. 30, 2020 | Mar. 31, 2020 | Jan. 01, 2020 | Dec. 31, 2019 | Jun. 30, 2019 | Mar. 31, 2019 | Dec. 31, 2018 | |
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | |||||||
Accounting Standards Update | us-gaap:AccountingStandardsUpdate201613Member | ||||||
Stockholders' Equity Attributable to Parent | $ 5,297,820,000 | $ 5,544,008,000 | $ 5,566,477,000 | ||||
Premiums receivable | 3,527,147,000 | 3,071,390,000 | |||||
Allowance for credit loss | 10,041,000 | 7,000,000 | |||||
Reinsurance recoverable | 4,160,521,000 | 3,877,756,000 | 3,564,812,000 | $ 3,501,669,000 | |||
Allowance for credit losses on reinsurance recoverable for unpaid losses and loss expenses | 20,987,000 | 18,000,000 | |||||
Mortgage loans, held for investment, at fair value | 524,757,000 | 432,748,000 | |||||
Credit losses associated with commercial mortgage loans | 0 | 0 | |||||
Fixed maturities, available for sale, allowance for credit loss | $ 6,257,000 | $ 20,019,000 | $ 0 | $ 0 | $ 0 | $ 0 | |
Cumulative Effect, Period of Adoption, Adjustment | |||||||
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | |||||||
Stockholders' Equity Attributable to Parent | $ 0 |
SEGMENT INFORMATION (Details)
SEGMENT INFORMATION (Details) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2020USD ($) | Jun. 30, 2019USD ($) | Jun. 30, 2020USD ($)reportable_segment | Jun. 30, 2019USD ($) | |
Segment Reporting [Abstract] | ||||
Number of reportable segments | reportable_segment | 2 | |||
Segment Information [Line Items] | ||||
Net premiums earned | $ 1,104,003 | $ 1,123,607 | $ 2,192,628 | $ 2,257,819 |
Other insurance related income (loss) | 1,996 | 2,925 | (6,710) | 9,852 |
Net losses and loss expenses | (676,261) | (672,463) | (1,584,335) | (1,336,491) |
Acquisition costs | (228,502) | (242,363) | (467,152) | (502,781) |
Expenses | (140,652) | (165,395) | (297,712) | (340,486) |
Net investment income | 45,040 | 137,949 | 138,140 | 245,254 |
Net investment gains | 53,043 | 21,225 | (9,831) | 33,996 |
Foreign exchange (losses) gains | (9,709) | 12,381 | 51,974 | 5,325 |
Interest expense and financing costs | (20,595) | (15,607) | (44,067) | (31,502) |
Reorganization expenses | (392) | (3,276) | 591 | (18,096) |
Amortization of value of business acquired | (1,285) | (7,194) | (3,083) | (20,298) |
Amortization of intangible assets | (2,855) | (2,912) | (5,725) | (5,914) |
Income (loss) before income taxes and interest in income (loss) of equity method investments | 123,831 | 188,877 | (35,282) | 296,678 |
Operating Segments | ||||
Segment Information [Line Items] | ||||
Gross premiums written | 1,716,183 | 1,647,760 | 4,147,341 | 4,230,986 |
Net premiums written | 1,055,934 | 1,070,321 | 2,734,978 | 2,847,381 |
Net premiums earned | 1,104,003 | 1,123,607 | 2,192,628 | 2,257,819 |
Other insurance related income (loss) | 1,996 | 2,925 | (6,710) | 9,852 |
Net losses and loss expenses | (676,261) | (672,463) | (1,584,335) | (1,336,491) |
Acquisition costs | (228,502) | (242,363) | (467,152) | (502,781) |
Expenses | (113,824) | (133,047) | (243,786) | (271,920) |
Underwriting income | $ 87,412 | $ 78,659 | $ (109,355) | $ 156,479 |
Net losses and loss expenses ratio | 61.30% | 59.80% | 72.30% | 59.20% |
Acquisition cost ratio | 20.70% | 21.60% | 21.30% | 22.30% |
General and administrative expense ratio | 12.70% | 14.70% | 13.50% | 15.00% |
Combined ratio | 94.70% | 96.10% | 107.10% | 96.50% |
Goodwill and intangible assets | $ 327,095 | $ 353,428 | $ 327,095 | $ 353,428 |
Operating Segments | Insurance | ||||
Segment Information [Line Items] | ||||
Gross premiums written | 1,037,568 | 968,325 | 1,978,283 | 1,819,421 |
Net premiums written | 602,761 | 591,909 | 1,184,411 | 1,121,149 |
Net premiums earned | 577,019 | 537,260 | 1,139,083 | 1,094,022 |
Other insurance related income (loss) | 755 | (695) | 1,403 | 1,046 |
Net losses and loss expenses | (337,367) | (308,703) | (809,180) | (622,479) |
Acquisition costs | (116,259) | (111,655) | (229,010) | (229,430) |
Expenses | (89,751) | (104,898) | (190,529) | (210,932) |
Underwriting income | $ 34,397 | $ 11,309 | $ (88,233) | $ 32,227 |
Net losses and loss expenses ratio | 58.50% | 57.50% | 71.00% | 56.90% |
Acquisition cost ratio | 20.10% | 20.80% | 20.10% | 21.00% |
General and administrative expense ratio | 15.60% | 19.50% | 16.80% | 19.20% |
Combined ratio | 94.20% | 97.80% | 107.90% | 97.10% |
Goodwill and intangible assets | $ 327,095 | $ 353,428 | $ 327,095 | $ 353,428 |
Operating Segments | Reinsurance | ||||
Segment Information [Line Items] | ||||
Gross premiums written | 678,615 | 679,435 | 2,169,058 | 2,411,565 |
Net premiums written | 453,173 | 478,412 | 1,550,567 | 1,726,232 |
Net premiums earned | 526,984 | 586,347 | 1,053,545 | 1,163,797 |
Other insurance related income (loss) | 1,241 | 3,620 | (8,113) | 8,806 |
Net losses and loss expenses | (338,894) | (363,760) | (775,155) | (714,012) |
Acquisition costs | (112,243) | (130,708) | (238,142) | (273,351) |
Expenses | (24,073) | (28,149) | (53,257) | (60,988) |
Underwriting income | $ 53,015 | $ 67,350 | $ (21,122) | $ 124,252 |
Net losses and loss expenses ratio | 64.30% | 62.00% | 73.60% | 61.40% |
Acquisition cost ratio | 21.30% | 22.30% | 22.60% | 23.50% |
General and administrative expense ratio | 4.60% | 4.80% | 5.00% | 5.20% |
Combined ratio | 90.20% | 89.10% | 101.20% | 90.10% |
Goodwill and intangible assets | $ 0 | $ 0 | $ 0 | $ 0 |
Corporate Expenses | ||||
Segment Information [Line Items] | ||||
Expenses | (26,828) | (32,348) | (53,926) | (68,566) |
Segment Reconciling Items | ||||
Segment Information [Line Items] | ||||
Net investment income | 45,040 | 137,949 | 138,140 | 245,254 |
Net investment gains | 53,043 | 21,225 | (9,831) | 33,996 |
Foreign exchange (losses) gains | (9,709) | 12,381 | 51,974 | 5,325 |
Interest expense and financing costs | (20,595) | (15,607) | (44,067) | (31,502) |
Reorganization expenses | (392) | (3,276) | 591 | (18,096) |
Amortization of value of business acquired | (1,285) | (7,194) | (3,083) | (20,298) |
Amortization of intangible assets | $ (2,855) | $ (2,912) | $ (5,725) | $ (5,914) |
INVESTMENTS (Fixed Maturities)
INVESTMENTS (Fixed Maturities) (Details) - USD ($) $ in Thousands | Jun. 30, 2020 | Mar. 31, 2020 | Dec. 31, 2019 | Jun. 30, 2019 | Mar. 31, 2019 | Dec. 31, 2018 |
Fixed maturities | ||||||
Amortized cost | $ 11,715,885 | $ 12,263,240 | ||||
Allowance for expected credit losses | (6,257) | $ (20,019) | 0 | $ 0 | $ 0 | $ 0 |
Gross unrealized gains | 432,693 | 236,817 | ||||
Gross unrealized losses | (95,906) | (31,852) | ||||
Fair value | 12,046,415 | 12,468,205 | ||||
U.S. government and agency | ||||||
Fixed maturities | ||||||
Amortized cost | 1,942,952 | 2,102,849 | ||||
Allowance for expected credit losses | 0 | 0 | ||||
Gross unrealized gains | 70,341 | 16,345 | ||||
Gross unrealized losses | (26) | (6,313) | ||||
Fair value | 2,013,267 | 2,112,881 | ||||
Non-U.S. government | ||||||
Fixed maturities | ||||||
Amortized cost | 608,375 | 564,505 | ||||
Allowance for expected credit losses | 0 | 0 | ||||
Gross unrealized gains | 9,519 | 14,535 | ||||
Gross unrealized losses | (9,797) | (2,448) | ||||
Fair value | 608,097 | 576,592 | ||||
Corporate debt | ||||||
Fixed maturities | ||||||
Amortized cost | 4,513,997 | 4,797,384 | ||||
Allowance for expected credit losses | (4,643) | 0 | ||||
Gross unrealized gains | 200,202 | 140,426 | ||||
Gross unrealized losses | (47,145) | (7,556) | ||||
Fair value | 4,662,411 | 4,930,254 | ||||
Agency RMBS | ||||||
Fixed maturities | ||||||
Amortized cost | 1,483,883 | 1,570,823 | ||||
Allowance for expected credit losses | 0 | 0 | ||||
Gross unrealized gains | 51,466 | 25,215 | ||||
Gross unrealized losses | (276) | (3,454) | ||||
Fair value | 1,535,073 | 1,592,584 | ||||
CMBS | ||||||
Fixed maturities | ||||||
Amortized cost | 1,302,049 | 1,340,156 | ||||
Allowance for expected credit losses | 0 | 0 | ||||
Gross unrealized gains | 79,241 | 29,838 | ||||
Gross unrealized losses | (4,026) | (4,942) | ||||
Fair value | 1,377,264 | 1,365,052 | ||||
Non-agency RMBS | ||||||
Fixed maturities | ||||||
Amortized cost | 118,085 | 84,381 | ||||
Allowance for expected credit losses | (20) | 0 | ||||
Gross unrealized gains | 2,396 | 1,393 | ||||
Gross unrealized losses | (2,242) | (852) | ||||
Fair value | 118,219 | 84,922 | ||||
ABS | ||||||
Fixed maturities | ||||||
Amortized cost | 1,558,578 | 1,599,867 | ||||
Allowance for expected credit losses | (1,594) | 0 | ||||
Gross unrealized gains | 9,798 | 4,706 | ||||
Gross unrealized losses | (32,218) | (5,880) | ||||
Fair value | 1,534,564 | 1,598,693 | ||||
Municipals | ||||||
Fixed maturities | ||||||
Amortized cost | 187,966 | 203,275 | ||||
Allowance for expected credit losses | 0 | 0 | ||||
Gross unrealized gains | 9,730 | 4,359 | ||||
Gross unrealized losses | (176) | (407) | ||||
Fair value | $ 197,520 | $ 207,227 |
INVESTMENTS (Equity Securities)
INVESTMENTS (Equity Securities) (Details) - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended |
Jun. 30, 2020 | Dec. 31, 2019 | |
Debt and Equity Securities, FV-NI [Line Items] | ||
Cost | $ 340,510 | $ 398,956 |
Gross unrealized gains | 40,874 | 81,521 |
Gross unrealized losses | (2,524) | (6,270) |
Fair value | $ 378,860 | 474,207 |
Limited partnership | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Percentage of investment composition | 58.00% | |
Common stocks | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Cost | $ 422 | 504 |
Gross unrealized gains | 13 | 77 |
Gross unrealized losses | (371) | (388) |
Fair value | 64 | 193 |
Preferred shares | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Cost | 6,249 | 0 |
Gross unrealized gains | 1,183 | 0 |
Gross unrealized losses | (1) | 0 |
Fair value | 7,431 | 0 |
Exchange-traded funds | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Cost | 141,748 | 215,986 |
Gross unrealized gains | 37,825 | 81,444 |
Gross unrealized losses | (2,152) | (105) |
Fair value | 177,421 | 297,325 |
Bond mutual funds | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Cost | 192,091 | 182,466 |
Gross unrealized gains | 1,853 | 0 |
Gross unrealized losses | 0 | (5,777) |
Fair value | $ 193,944 | $ 176,689 |
INVESTMENTS (Contractual Maturi
INVESTMENTS (Contractual Maturities) (Details) - USD ($) $ in Thousands | Jun. 30, 2020 | Dec. 31, 2019 |
Amortized cost | ||
Due in one year or less | $ 399,074 | $ 438,881 |
Due after one year through five years | 4,272,644 | 4,810,202 |
Due after five years through ten years | 2,371,695 | 2,091,486 |
Due after ten years | 209,877 | 327,444 |
Total fixed maturities with a single maturity date | 7,253,290 | 7,668,013 |
Amortized Cost, Total | 11,715,885 | 12,263,240 |
Fair value | ||
Due in one year or less | 401,389 | 443,228 |
Due after one year through five years | 4,374,575 | 4,884,837 |
Due after five years through ten years | 2,489,188 | 2,157,157 |
Due after ten years | 216,143 | 341,732 |
Total fixed maturities with a single maturity date | 7,481,295 | 7,826,954 |
Fair value | $ 12,046,415 | $ 12,468,205 |
% of Total fair value | ||
Due in one year or less | 3.40% | 3.60% |
Due after one year through five years | 36.30% | 39.20% |
Due after five years through ten years | 20.70% | 17.30% |
Due after ten years | 1.80% | 2.70% |
Fixed maturities with a single maturity date | 62.20% | 62.80% |
Total | 100.00% | 100.00% |
Agency RMBS | ||
Amortized cost | ||
Fixed maturities without a single maturity date | $ 1,483,883 | $ 1,570,823 |
Amortized Cost, Total | 1,483,883 | 1,570,823 |
Fair value | ||
Fixed maturities without a single maturity date | 1,535,073 | 1,592,584 |
Fair value | $ 1,535,073 | $ 1,592,584 |
% of Total fair value | ||
Fixed maturities without a single maturity date | 12.70% | 12.80% |
CMBS | ||
Amortized cost | ||
Fixed maturities without a single maturity date | $ 1,302,049 | $ 1,340,156 |
Amortized Cost, Total | 1,302,049 | 1,340,156 |
Fair value | ||
Fixed maturities without a single maturity date | 1,377,264 | 1,365,052 |
Fair value | $ 1,377,264 | $ 1,365,052 |
% of Total fair value | ||
Fixed maturities without a single maturity date | 11.40% | 10.90% |
Non-agency RMBS | ||
Amortized cost | ||
Fixed maturities without a single maturity date | $ 118,085 | $ 84,381 |
Amortized Cost, Total | 118,085 | 84,381 |
Fair value | ||
Fixed maturities without a single maturity date | 118,219 | 84,922 |
Fair value | $ 118,219 | $ 84,922 |
% of Total fair value | ||
Fixed maturities without a single maturity date | 1.00% | 0.70% |
ABS | ||
Amortized cost | ||
Fixed maturities without a single maturity date | $ 1,558,578 | $ 1,599,867 |
Amortized Cost, Total | 1,558,578 | 1,599,867 |
Fair value | ||
Fixed maturities without a single maturity date | 1,534,564 | 1,598,693 |
Fair value | $ 1,534,564 | $ 1,598,693 |
% of Total fair value | ||
Fixed maturities without a single maturity date | 12.70% | 12.80% |
INVESTMENTS (Gross Unrealized L
INVESTMENTS (Gross Unrealized Losses) (Details) $ in Thousands | Jun. 30, 2020USD ($)security | Dec. 31, 2019USD ($)security |
U.S. government and agency | ||
Fair value | ||
12 months or greater | $ 0 | $ 9,536 |
Less than 12 months | 145,664 | 614,705 |
Total | 145,664 | 624,241 |
Unrealized losses | ||
12 months or greater | 0 | (67) |
Less than 12 months | (26) | (6,246) |
Total | (26) | (6,313) |
Non-U.S. government | ||
Fair value | ||
12 months or greater | 58,470 | 99,466 |
Less than 12 months | 221,511 | 18,361 |
Total | 279,981 | 117,827 |
Unrealized losses | ||
12 months or greater | (4,522) | (2,036) |
Less than 12 months | (5,275) | (412) |
Total | (9,797) | (2,448) |
Corporate debt | ||
Fair value | ||
12 months or greater | 104,368 | 121,635 |
Less than 12 months | 910,430 | 375,858 |
Total | 1,014,798 | 497,493 |
Unrealized losses | ||
12 months or greater | (6,648) | (3,847) |
Less than 12 months | (40,497) | (3,709) |
Total | (47,145) | (7,556) |
Agency RMBS | ||
Fair value | ||
12 months or greater | 10,288 | 195,395 |
Less than 12 months | 48,970 | 326,402 |
Total | 59,258 | 521,797 |
Unrealized losses | ||
12 months or greater | (50) | (1,816) |
Less than 12 months | (226) | (1,638) |
Total | (276) | (3,454) |
CMBS | ||
Fair value | ||
12 months or greater | 10,374 | 24,281 |
Less than 12 months | 132,310 | 364,641 |
Total | 142,684 | 388,922 |
Unrealized losses | ||
12 months or greater | (931) | (64) |
Less than 12 months | (3,095) | (4,878) |
Total | (4,026) | (4,942) |
Non-agency RMBS | ||
Fair value | ||
12 months or greater | 4,836 | 6,345 |
Less than 12 months | 26,659 | 25,816 |
Total | 31,495 | 32,161 |
Unrealized losses | ||
12 months or greater | (1,075) | (792) |
Less than 12 months | (1,167) | (60) |
Total | (2,242) | (852) |
ABS | ||
Fair value | ||
12 months or greater | 275,127 | 535,780 |
Less than 12 months | 745,695 | 404,641 |
Total | 1,020,822 | 940,421 |
Unrealized losses | ||
12 months or greater | (10,585) | (4,667) |
Less than 12 months | (21,633) | (1,213) |
Total | (32,218) | (5,880) |
Municipals | ||
Fair value | ||
12 months or greater | 0 | 5,418 |
Less than 12 months | 14,905 | 46,684 |
Total | 14,905 | 52,102 |
Unrealized losses | ||
12 months or greater | 0 | (34) |
Less than 12 months | (176) | (373) |
Total | (176) | (407) |
Fixed maturities | ||
Fair value | ||
12 months or greater | 463,463 | 997,856 |
Less than 12 months | 2,246,144 | 2,177,108 |
Total | 2,709,607 | 3,174,964 |
Unrealized losses | ||
12 months or greater | (23,811) | (13,323) |
Less than 12 months | (72,095) | (18,529) |
Total | $ (95,906) | $ (31,852) |
Number of securities in unrealized loss position | security | 1,545 | 1,190 |
Number of securities in a continuous unrealized loss position | security | 351 | 497 |
Fixed maturities | Below Investment Grade or Not Rated | ||
Unrealized losses | ||
Total | $ (35,000) | $ (5,000) |
INVESTMENTS (Mortgage Loans) (D
INVESTMENTS (Mortgage Loans) (Details) - USD ($) | Jun. 30, 2020 | Dec. 31, 2019 |
Mortgage Loans held-for-investment: | ||
Commercial | $ 524,757,000 | $ 432,748,000 |
Commercial, Percent | 100.00% | 100.00% |
Mortgage loans, held for investment, at fair value (Allowance for expected credit losses 2020: $nil) | $ 524,757,000 | $ 432,748,000 |
Total Mortgage Loans held-for investment, Percent | 100.00% | 100.00% |
Weighted average debt service coverage ratios | 2 | |
Weighted average loan-to-value ratios | 59.00% | |
Credit losses associated with commercial mortgage loans | $ 0 | $ 0 |
INVESTMENTS (Other Investments)
INVESTMENTS (Other Investments) (Details) - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended | |
Jun. 30, 2020 | Dec. 31, 2019 | Dec. 31, 2015 | |
Other Investments [Line Items] | |||
Other investments, at fair value | $ 768,635 | $ 770,923 | |
Percentage of total fair value | 100.00% | 100.00% | |
Long/short equity funds | |||
Other Investments [Line Items] | |||
Other investments, at fair value | $ 23,299 | $ 31,248 | |
Percentage of total fair value | 3.00% | 4.00% | |
Redemption notice period | 60 days | 60 days | |
Multi-strategy funds | |||
Other Investments [Line Items] | |||
Other investments, at fair value | $ 142,625 | $ 136,542 | |
Percentage of total fair value | 19.00% | 18.00% | |
Multi-strategy funds | Other Redemption Restriction | |||
Other Investments [Line Items] | |||
Unfunded commitments related to other investments | $ 20,000 | $ 24,000 | |
Investment term | 2 years | ||
Multi-strategy funds | Minimum | |||
Other Investments [Line Items] | |||
Redemption notice period | 60 days | 60 days | |
Multi-strategy funds | Maximum | |||
Other Investments [Line Items] | |||
Redemption notice period | 90 days | 90 days | |
Direct lending funds | |||
Other Investments [Line Items] | |||
Other investments, at fair value | $ 262,802 | $ 277,395 | |
Percentage of total fair value | 34.00% | 36.00% | |
Direct lending funds | Other Redemption Restriction | |||
Other Investments [Line Items] | |||
Unfunded commitments related to other investments | $ 153,000 | $ 170,000 | |
Optional extension of investment term | 3 years | ||
Direct lending funds | Minimum | Other Redemption Restriction | |||
Other Investments [Line Items] | |||
Investment term | 5 years | ||
Direct lending funds | Maximum | Other Redemption Restriction | |||
Other Investments [Line Items] | |||
Investment term | 15 years | ||
Private equity funds | |||
Other Investments [Line Items] | |||
Other investments, at fair value | $ 101,485 | $ 80,412 | |
Percentage of total fair value | 13.00% | 10.00% | |
Private equity funds | Other Redemption Restriction | |||
Other Investments [Line Items] | |||
Unfunded commitments related to other investments | $ 172,000 | $ 261,000 | |
Investment term | 5 years | ||
Real estate funds | |||
Other Investments [Line Items] | |||
Other investments, at fair value | $ 144,003 | $ 130,112 | |
Percentage of total fair value | 19.00% | 17.00% | |
Real estate funds | Other Redemption Restriction | |||
Other Investments [Line Items] | |||
Unfunded commitments related to other investments | $ 162,000 | $ 82,000 | |
Real estate funds | Minimum | Other Redemption Restriction | |||
Other Investments [Line Items] | |||
Investment term | 7 years | ||
CLO-Equities | |||
Other Investments [Line Items] | |||
Other investments, at fair value | $ 9,943 | $ 14,328 | |
Percentage of total fair value | 1.00% | 2.00% | |
Other privately held investments | |||
Other Investments [Line Items] | |||
Other investments, at fair value | $ 37,420 | $ 36,934 | |
Percentage of total fair value | 5.00% | 5.00% | |
Overseas deposits | |||
Other Investments [Line Items] | |||
Other investments, at fair value | $ 47,058 | $ 63,952 | |
Percentage of total fair value | 6.00% | 8.00% | |
Hedge funds | Lockup Redemption Restriction | |||
Other Investments [Line Items] | |||
Fair value of other investments subject to redemption restrictions | $ 74,000 | $ 69,000 | |
Percentage of fair value of other investments subject to redemption restrictions | 44.00% | 41.00% | |
Bank Revolver Opportunity Funds | |||
Other Investments [Line Items] | |||
Unfunded commitments related to other investments | $ 50,000 | ||
Investment term | 7 years | ||
Optional extension of investment term | 2 years |
INVESTMENTS (Equity Method Inve
INVESTMENTS (Equity Method Investments) (Details) - Harrington Reinsurance Holdings Limited $ in Millions | 12 Months Ended |
Dec. 31, 2016USD ($) | |
Schedule of Equity Method Investments [Line Items] | |
Payments to acquire equity method investments | $ 108 |
Equity method investment, ownership percentage | 19.00% |
Equity method investment, difference between carrying amount and underlying equity | $ 5 |
INVESTMENTS (Net Investment Inc
INVESTMENTS (Net Investment Income) (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2020 | Jun. 30, 2019 | Jun. 30, 2020 | Jun. 30, 2019 | |
Net Investment Income [Line Items] | ||||
Gross investment income | $ 51,560 | $ 144,734 | $ 151,988 | $ 258,099 |
Investment expenses | (6,520) | (6,785) | (13,848) | (12,845) |
Net investment income | 45,040 | 137,949 | 138,140 | 245,254 |
Fixed maturities | ||||
Net Investment Income [Line Items] | ||||
Gross investment income | 80,459 | 97,370 | 170,402 | 188,752 |
Other investments | ||||
Net Investment Income [Line Items] | ||||
Gross investment income | (37,580) | 31,232 | (39,700) | 38,128 |
Equity securities | ||||
Net Investment Income [Line Items] | ||||
Gross investment income | 2,263 | 3,197 | 4,387 | 5,525 |
Mortgage loans | ||||
Net Investment Income [Line Items] | ||||
Gross investment income | 3,660 | 3,689 | 7,713 | 6,752 |
Cash and cash equivalents | ||||
Net Investment Income [Line Items] | ||||
Gross investment income | 2,392 | 8,138 | 7,323 | 13,940 |
Short-term investments | ||||
Net Investment Income [Line Items] | ||||
Gross investment income | $ 366 | $ 1,108 | $ 1,863 | $ 5,002 |
INVESTMENTS (Net Investment Gai
INVESTMENTS (Net Investment Gains (Losses) (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2020 | Jun. 30, 2019 | Jun. 30, 2020 | Jun. 30, 2019 | |
Gross realized investment gains | ||||
Fixed maturities and short-term investments | $ 51,017 | $ 18,971 | $ 90,948 | $ 29,409 |
Equity securities | 22,038 | 154 | 23,958 | 1,598 |
Gross realized investment gains | 73,055 | 19,125 | 114,906 | 31,007 |
Gross realized investment losses | ||||
Fixed maturities and short-term investments | (55,056) | (9,978) | (77,821) | (30,257) |
Equity securities | (3,120) | (29) | (5,802) | (122) |
Gross realized investment losses | (58,176) | (10,007) | (83,623) | (30,379) |
Allowance for expected credit losses | (13,761) | 0 | 6,257 | 0 |
Impairment losses | (112) | 0 | (1,302) | 0 |
OTTI losses | 0 | (834) | 0 | (4,870) |
Change in fair value of investment derivatives | 154 | (204) | 3,316 | (2,305) |
Net unrealized gains (losses) on equity securities | 24,361 | 13,145 | (36,871) | 40,543 |
Total net investment gains (losses) | $ 53,043 | $ 21,225 | $ (9,831) | $ 33,996 |
INVESTMENTS (Credit Losses on A
INVESTMENTS (Credit Losses on AFS) (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2020 | Jun. 30, 2019 | Jun. 30, 2020 | Jun. 30, 2019 | |
Debt Securities, Available-for-sale, Allowance for Credit Loss [Roll Forward] | ||||
Balance at beginning of period | $ 20,019 | $ 0 | $ 0 | $ 0 |
Expected credit losses on securities where credit losses were not previously recognized | 2,357 | 0 | 22,376 | 0 |
Additions (reductions) for expected credit losses on securities where credit losses were previously recognized | (6,879) | 0 | (6,879) | 0 |
Impairments of securities which the Company intends to sell or more likely than not will be required to sell | 0 | 0 | 0 | 0 |
Securities sold/redeemed/matured | (9,240) | 0 | (9,240) | 0 |
Balance at end of period | $ 6,257 | $ 0 | $ 6,257 | $ 0 |
INVESTMENTS (Reverse Repurchase
INVESTMENTS (Reverse Repurchase Agreements) (Details) - USD ($) | Jun. 30, 2020 | Dec. 31, 2019 |
Investments, Debt and Equity Securities [Abstract] | ||
Value of reverse repurchase agreements | $ 249,000,000 | $ 0 |
Minimum required collateral for reverse repurchase agreements, expressed as a percentage of loan principal | 102.00% |
FAIR VALUE MEASUREMENTS (Financ
FAIR VALUE MEASUREMENTS (Financial Instruments Measured at Fair Value) (Details) - USD ($) $ in Thousands | Jun. 30, 2020 | Dec. 31, 2019 |
Assets | ||
Fixed maturities | $ 12,046,415 | $ 12,468,205 |
Equity securities | 378,860 | 474,207 |
Other investments | 768,635 | 770,923 |
Short-term investments | 34,337 | 38,471 |
Derivative instruments (refer to Note 5) | 3,415 | 3,174 |
Total Assets | 13,231,662 | 13,754,980 |
Liabilities | ||
Derivative instruments (refer to Note 5) | 11,668 | 13,637 |
Cash settled awards (refer to Note 8) | 7,675 | 21,731 |
Total Liabilities | 19,343 | 35,368 |
U.S. government and agency | ||
Assets | ||
Fixed maturities | 2,013,267 | 2,112,881 |
Non-U.S. government | ||
Assets | ||
Fixed maturities | 608,097 | 576,592 |
Corporate debt | ||
Assets | ||
Fixed maturities | 4,662,411 | 4,930,254 |
Agency RMBS | ||
Assets | ||
Fixed maturities | 1,535,073 | 1,592,584 |
CMBS | ||
Assets | ||
Fixed maturities | 1,377,264 | 1,365,052 |
Non-agency RMBS | ||
Assets | ||
Fixed maturities | 118,219 | 84,922 |
ABS | ||
Assets | ||
Fixed maturities | 1,534,564 | 1,598,693 |
Municipals | ||
Assets | ||
Fixed maturities | 197,520 | 207,227 |
Common stocks | ||
Assets | ||
Equity securities | 64 | 193 |
Preferred shares | ||
Assets | ||
Equity securities | 7,431 | 0 |
Exchange-traded funds | ||
Assets | ||
Equity securities | 177,421 | 297,325 |
Bond mutual funds | ||
Assets | ||
Equity securities | 193,944 | 176,689 |
Hedge funds | ||
Assets | ||
Other investments | 165,924 | 167,790 |
Direct lending funds | ||
Assets | ||
Other investments | 262,802 | 277,395 |
Private equity funds | ||
Assets | ||
Other investments | 101,485 | 80,412 |
Real estate funds | ||
Assets | ||
Other investments | 144,003 | 130,112 |
CLO-Equities | ||
Assets | ||
Other investments | 9,943 | 14,328 |
Other privately held investments | ||
Assets | ||
Other investments | 37,420 | 36,934 |
Overseas deposits | ||
Assets | ||
Other investments | 47,058 | 63,952 |
Quoted prices in active markets for identical assets (Level 1) | ||
Assets | ||
Fixed maturities | 1,929,996 | 2,053,622 |
Equity securities | 184,916 | 297,518 |
Other investments | 0 | 0 |
Short-term investments | 0 | 0 |
Derivative instruments (refer to Note 5) | 0 | 0 |
Total Assets | 2,114,912 | 2,351,140 |
Liabilities | ||
Derivative instruments (refer to Note 5) | 0 | 0 |
Cash settled awards (refer to Note 8) | 0 | 0 |
Total Liabilities | 0 | 0 |
Quoted prices in active markets for identical assets (Level 1) | U.S. government and agency | ||
Assets | ||
Fixed maturities | 1,929,996 | 2,053,622 |
Quoted prices in active markets for identical assets (Level 1) | Non-U.S. government | ||
Assets | ||
Fixed maturities | 0 | 0 |
Quoted prices in active markets for identical assets (Level 1) | Corporate debt | ||
Assets | ||
Fixed maturities | 0 | 0 |
Quoted prices in active markets for identical assets (Level 1) | Agency RMBS | ||
Assets | ||
Fixed maturities | 0 | 0 |
Quoted prices in active markets for identical assets (Level 1) | CMBS | ||
Assets | ||
Fixed maturities | 0 | 0 |
Quoted prices in active markets for identical assets (Level 1) | Non-agency RMBS | ||
Assets | ||
Fixed maturities | 0 | 0 |
Quoted prices in active markets for identical assets (Level 1) | ABS | ||
Assets | ||
Fixed maturities | 0 | 0 |
Quoted prices in active markets for identical assets (Level 1) | Municipals | ||
Assets | ||
Fixed maturities | 0 | 0 |
Quoted prices in active markets for identical assets (Level 1) | Common stocks | ||
Assets | ||
Equity securities | 64 | 193 |
Quoted prices in active markets for identical assets (Level 1) | Preferred shares | ||
Assets | ||
Equity securities | 7,431 | 0 |
Quoted prices in active markets for identical assets (Level 1) | Exchange-traded funds | ||
Assets | ||
Equity securities | 177,421 | 297,325 |
Quoted prices in active markets for identical assets (Level 1) | Bond mutual funds | ||
Assets | ||
Equity securities | 0 | 0 |
Quoted prices in active markets for identical assets (Level 1) | Hedge funds | ||
Assets | ||
Other investments | 0 | 0 |
Quoted prices in active markets for identical assets (Level 1) | Direct lending funds | ||
Assets | ||
Other investments | 0 | 0 |
Quoted prices in active markets for identical assets (Level 1) | Private equity funds | ||
Assets | ||
Other investments | 0 | 0 |
Quoted prices in active markets for identical assets (Level 1) | Real estate funds | ||
Assets | ||
Other investments | 0 | 0 |
Quoted prices in active markets for identical assets (Level 1) | CLO-Equities | ||
Assets | ||
Other investments | 0 | 0 |
Quoted prices in active markets for identical assets (Level 1) | Other privately held investments | ||
Assets | ||
Other investments | 0 | 0 |
Quoted prices in active markets for identical assets (Level 1) | Overseas deposits | ||
Assets | ||
Other investments | 0 | 0 |
Significant other observable inputs (Level 2) | ||
Assets | ||
Fixed maturities | 10,099,684 | 10,406,562 |
Equity securities | 193,944 | 176,689 |
Other investments | 47,058 | 63,952 |
Short-term investments | 34,337 | 38,471 |
Derivative instruments (refer to Note 5) | 3,415 | 3,174 |
Total Assets | 10,378,438 | 10,688,848 |
Liabilities | ||
Derivative instruments (refer to Note 5) | 1,850 | 3,965 |
Cash settled awards (refer to Note 8) | 7,675 | 21,731 |
Total Liabilities | 9,525 | 25,696 |
Significant other observable inputs (Level 2) | U.S. government and agency | ||
Assets | ||
Fixed maturities | 83,271 | 59,259 |
Significant other observable inputs (Level 2) | Non-U.S. government | ||
Assets | ||
Fixed maturities | 608,097 | 576,592 |
Significant other observable inputs (Level 2) | Corporate debt | ||
Assets | ||
Fixed maturities | 4,660,113 | 4,927,957 |
Significant other observable inputs (Level 2) | Agency RMBS | ||
Assets | ||
Fixed maturities | 1,535,073 | 1,592,584 |
Significant other observable inputs (Level 2) | CMBS | ||
Assets | ||
Fixed maturities | 1,372,830 | 1,359,817 |
Significant other observable inputs (Level 2) | Non-agency RMBS | ||
Assets | ||
Fixed maturities | 108,657 | 84,922 |
Significant other observable inputs (Level 2) | ABS | ||
Assets | ||
Fixed maturities | 1,534,123 | 1,598,204 |
Significant other observable inputs (Level 2) | Municipals | ||
Assets | ||
Fixed maturities | 197,520 | 207,227 |
Significant other observable inputs (Level 2) | Common stocks | ||
Assets | ||
Equity securities | 0 | 0 |
Significant other observable inputs (Level 2) | Preferred shares | ||
Assets | ||
Equity securities | 0 | 0 |
Significant other observable inputs (Level 2) | Exchange-traded funds | ||
Assets | ||
Equity securities | 0 | 0 |
Significant other observable inputs (Level 2) | Bond mutual funds | ||
Assets | ||
Equity securities | 193,944 | 176,689 |
Significant other observable inputs (Level 2) | Hedge funds | ||
Assets | ||
Other investments | 0 | 0 |
Significant other observable inputs (Level 2) | Direct lending funds | ||
Assets | ||
Other investments | 0 | 0 |
Significant other observable inputs (Level 2) | Private equity funds | ||
Assets | ||
Other investments | 0 | 0 |
Significant other observable inputs (Level 2) | Real estate funds | ||
Assets | ||
Other investments | 0 | 0 |
Significant other observable inputs (Level 2) | CLO-Equities | ||
Assets | ||
Other investments | 0 | 0 |
Significant other observable inputs (Level 2) | Other privately held investments | ||
Assets | ||
Other investments | 0 | 0 |
Significant other observable inputs (Level 2) | Overseas deposits | ||
Assets | ||
Other investments | 47,058 | 63,952 |
Significant unobservable inputs (Level 3) | ||
Assets | ||
Fixed maturities | 16,735 | 8,021 |
Equity securities | 0 | 0 |
Other investments | 47,363 | 51,262 |
Short-term investments | 0 | 0 |
Derivative instruments (refer to Note 5) | 0 | 0 |
Total Assets | 64,098 | 59,283 |
Liabilities | ||
Derivative instruments (refer to Note 5) | 9,818 | 9,672 |
Cash settled awards (refer to Note 8) | 0 | 0 |
Total Liabilities | 9,818 | 9,672 |
Significant unobservable inputs (Level 3) | U.S. government and agency | ||
Assets | ||
Fixed maturities | 0 | 0 |
Significant unobservable inputs (Level 3) | Non-U.S. government | ||
Assets | ||
Fixed maturities | 0 | 0 |
Significant unobservable inputs (Level 3) | Corporate debt | ||
Assets | ||
Fixed maturities | 2,298 | 2,297 |
Significant unobservable inputs (Level 3) | Agency RMBS | ||
Assets | ||
Fixed maturities | 0 | 0 |
Significant unobservable inputs (Level 3) | CMBS | ||
Assets | ||
Fixed maturities | 4,434 | 5,235 |
Significant unobservable inputs (Level 3) | Non-agency RMBS | ||
Assets | ||
Fixed maturities | 9,562 | 0 |
Significant unobservable inputs (Level 3) | ABS | ||
Assets | ||
Fixed maturities | 441 | 489 |
Significant unobservable inputs (Level 3) | Municipals | ||
Assets | ||
Fixed maturities | 0 | 0 |
Significant unobservable inputs (Level 3) | Common stocks | ||
Assets | ||
Equity securities | 0 | 0 |
Significant unobservable inputs (Level 3) | Preferred shares | ||
Assets | ||
Equity securities | 0 | 0 |
Significant unobservable inputs (Level 3) | Exchange-traded funds | ||
Assets | ||
Equity securities | 0 | 0 |
Significant unobservable inputs (Level 3) | Bond mutual funds | ||
Assets | ||
Equity securities | 0 | 0 |
Significant unobservable inputs (Level 3) | Hedge funds | ||
Assets | ||
Other investments | 0 | 0 |
Significant unobservable inputs (Level 3) | Direct lending funds | ||
Assets | ||
Other investments | 0 | 0 |
Significant unobservable inputs (Level 3) | Private equity funds | ||
Assets | ||
Other investments | 0 | 0 |
Significant unobservable inputs (Level 3) | Real estate funds | ||
Assets | ||
Other investments | 0 | 0 |
Significant unobservable inputs (Level 3) | CLO-Equities | ||
Assets | ||
Other investments | 9,943 | 14,328 |
Significant unobservable inputs (Level 3) | Other privately held investments | ||
Assets | ||
Other investments | 37,420 | 36,934 |
Significant unobservable inputs (Level 3) | Overseas deposits | ||
Assets | ||
Other investments | 0 | 0 |
Fair value based on NAV practical expedient | ||
Assets | ||
Other investments | 674,214 | 655,709 |
Fair value based on NAV practical expedient | Hedge funds | ||
Assets | ||
Other investments | 165,924 | 167,790 |
Fair value based on NAV practical expedient | Direct lending funds | ||
Assets | ||
Other investments | 262,802 | 277,395 |
Fair value based on NAV practical expedient | Private equity funds | ||
Assets | ||
Other investments | 101,485 | 80,412 |
Fair value based on NAV practical expedient | Real estate funds | ||
Assets | ||
Other investments | $ 144,003 | $ 130,112 |
FAIR VALUE MEASUREMENTS (Signif
FAIR VALUE MEASUREMENTS (Significant Unobservable Inputs) (Details) $ in Thousands | 6 Months Ended | |
Jun. 30, 2020USD ($) | Dec. 31, 2019USD ($) | |
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Other investments, at fair value | $ 768,635 | $ 770,923 |
Derivatives - Other underwriting-related derivatives | (11,668) | (13,637) |
Fixed maturities | 12,046,415 | 12,468,205 |
Other privately held investments | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Other investments, at fair value | 37,420 | 36,934 |
Significant unobservable inputs (Level 3) | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Other investments, at fair value | 47,363 | 51,262 |
Derivatives - Other underwriting-related derivatives | (9,818) | (9,672) |
Fixed maturities | 16,735 | 8,021 |
Significant unobservable inputs (Level 3) | Discounted cash flow | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Derivatives - Other underwriting-related derivatives | $ (9,818) | |
Significant unobservable inputs (Level 3) | Discounted cash flow | Discount rate | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Discount rate | 0.005 | |
Significant unobservable inputs (Level 3) | Discounted cash flow | Discount rate | Weighted average | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Discount rate | 0.005 | |
Significant unobservable inputs (Level 3) | Other privately held investments | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Other investments, at fair value | $ 37,420 | $ 36,934 |
Significant unobservable inputs (Level 3) | Other investments - CLO-Equities | Discounted cash flow | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Other investments, at fair value | $ 9,943 | |
Estimated maturity dates | 6 years | |
Significant unobservable inputs (Level 3) | Other investments - CLO-Equities | Discounted cash flow | Weighted average | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Estimated maturity dates | 6 years | |
Significant unobservable inputs (Level 3) | Other investments - CLO-Equities | Discounted cash flow | Default rates | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Unobservable input | 0.038 | |
Significant unobservable inputs (Level 3) | Other investments - CLO-Equities | Discounted cash flow | Default rates | Weighted average | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Unobservable input | 0.038 | |
Significant unobservable inputs (Level 3) | Other investments - CLO-Equities | Discounted cash flow | Loss severity rate | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Unobservable input | 0.500 | |
Significant unobservable inputs (Level 3) | Other investments - CLO-Equities | Discounted cash flow | Loss severity rate | Weighted average | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Unobservable input | 0.500 | |
Significant unobservable inputs (Level 3) | Other investments - CLO-Equities | Discounted cash flow | Collateral spreads | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Unobservable input | 0.030 | |
Significant unobservable inputs (Level 3) | Other investments - CLO-Equities | Discounted cash flow | Collateral spreads | Weighted average | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Unobservable input | 0.030 |
FAIR VALUE MEASUREMENTS (Change
FAIR VALUE MEASUREMENTS (Changes in Level 3 for Financial Instruments) (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2020 | Jun. 30, 2019 | Jun. 30, 2020 | Jun. 30, 2019 | |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Opening balance | $ 66,371 | $ 130,020 | $ 59,283 | $ 152,468 |
Transfers into Level 3 | 0 | 0 | 9,185 | 0 |
Transfers out of Level 3 | 0 | (11,564) | 0 | (32,733) |
Included in net income | (2,398) | 14,264 | (3,165) | 14,650 |
Included in OCI | 616 | 342 | 118 | 1,271 |
Purchases | 55 | 0 | 482 | 12,250 |
Sales | 0 | (33,458) | 0 | (39,005) |
Settlements/ distributions | (546) | (3,834) | (1,805) | (13,131) |
Closing balance | 64,098 | 95,770 | 64,098 | 95,770 |
Change in unrealized investment gains/(losses) | (2,398) | 1,600 | (3,165) | 2,682 |
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Opening balance | 20,164 | 10,233 | 9,672 | 10,299 |
Transfers into Level 3 | 0 | 0 | 0 | 0 |
Transfers out of Level 3 | 0 | 0 | 0 | 0 |
Included in net income | (375) | 29 | 10,117 | (37) |
Included in OCI | 0 | 0 | 0 | 0 |
Purchases | 0 | 0 | 0 | 0 |
Sales | 0 | 0 | 0 | 0 |
Settlements/ distributions | (9,971) | 0 | (9,971) | 0 |
Closing balance | 9,818 | 10,262 | 9,818 | 10,262 |
Change in unrealized investment gains/(losses) | (346) | 29 | 146 | (37) |
Other liabilities | Derivative instruments | ||||
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Opening balance | 20,164 | 10,233 | 9,672 | 10,299 |
Transfers into Level 3 | 0 | 0 | 0 | 0 |
Transfers out of Level 3 | 0 | 0 | 0 | 0 |
Included in net income | (375) | 29 | 10,117 | (37) |
Included in OCI | 0 | 0 | 0 | 0 |
Purchases | 0 | 0 | 0 | 0 |
Sales | 0 | 0 | 0 | 0 |
Settlements/ distributions | (9,971) | 0 | (9,971) | 0 |
Closing balance | 9,818 | 10,262 | 9,818 | 10,262 |
Change in unrealized investment gains/(losses) | (346) | 29 | 146 | (37) |
Fixed maturities | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Opening balance | 16,137 | 64,313 | 8,021 | 86,679 |
Transfers into Level 3 | 0 | 0 | 9,185 | 0 |
Transfers out of Level 3 | 0 | (11,564) | 0 | (32,733) |
Included in net income | 0 | (763) | 0 | (1,459) |
Included in OCI | 616 | 342 | 118 | 1,271 |
Purchases | 0 | 0 | 0 | 9,750 |
Sales | 0 | (31) | 0 | (5,578) |
Settlements/ distributions | (18) | (2,777) | (589) | (8,410) |
Closing balance | 16,735 | 49,520 | 16,735 | 49,520 |
Change in unrealized investment gains/(losses) | 0 | 0 | 0 | 0 |
Fixed maturities | Corporate debt | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Opening balance | 2,245 | 41,125 | 2,297 | 49,012 |
Transfers into Level 3 | 0 | 0 | 0 | 0 |
Transfers out of Level 3 | 0 | 0 | 0 | 0 |
Included in net income | 0 | (763) | 0 | (1,459) |
Included in OCI | 53 | 309 | 1 | 933 |
Purchases | 0 | 0 | 0 | 0 |
Sales | 0 | (31) | 0 | (5,578) |
Settlements/ distributions | 0 | (1,503) | 0 | (3,771) |
Closing balance | 2,298 | 39,137 | 2,298 | 39,137 |
Change in unrealized investment gains/(losses) | 0 | 0 | 0 | 0 |
Fixed maturities | CMBS | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Opening balance | 4,371 | 11,145 | 5,235 | 19,134 |
Transfers into Level 3 | 0 | 0 | 0 | 0 |
Transfers out of Level 3 | 0 | 0 | 0 | (4,767) |
Included in net income | 0 | 0 | 0 | 0 |
Included in OCI | 81 | 21 | (212) | 164 |
Purchases | 0 | 0 | 0 | 0 |
Sales | 0 | 0 | 0 | 0 |
Settlements/ distributions | (18) | (1,274) | (589) | (4,639) |
Closing balance | 4,434 | 9,892 | 4,434 | 9,892 |
Change in unrealized investment gains/(losses) | 0 | 0 | 0 | 0 |
Fixed maturities | Non-agency RMBS | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Opening balance | 9,185 | 0 | 0 | 0 |
Transfers into Level 3 | 0 | 0 | 9,185 | 0 |
Transfers out of Level 3 | 0 | 0 | 0 | 0 |
Included in net income | 0 | 0 | 0 | 0 |
Included in OCI | 377 | 0 | 377 | 0 |
Purchases | 0 | 0 | 0 | 0 |
Sales | 0 | 0 | 0 | 0 |
Settlements/ distributions | 0 | 0 | 0 | 0 |
Closing balance | 9,562 | 0 | 9,562 | 0 |
Change in unrealized investment gains/(losses) | 0 | 0 | 0 | 0 |
Fixed maturities | ABS | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Opening balance | 336 | 12,043 | 489 | 18,533 |
Transfers into Level 3 | 0 | 0 | 0 | 0 |
Transfers out of Level 3 | 0 | (11,564) | 0 | (27,966) |
Included in net income | 0 | 0 | 0 | 0 |
Included in OCI | 105 | 12 | (48) | 174 |
Purchases | 0 | 0 | 0 | 9,750 |
Sales | 0 | 0 | 0 | 0 |
Settlements/ distributions | 0 | 0 | 0 | 0 |
Closing balance | 441 | 491 | 441 | 491 |
Change in unrealized investment gains/(losses) | 0 | 0 | 0 | 0 |
Other investments | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Opening balance | 50,234 | 65,707 | 51,262 | 65,789 |
Transfers into Level 3 | 0 | 0 | 0 | 0 |
Transfers out of Level 3 | 0 | 0 | 0 | 0 |
Included in net income | (2,398) | 15,027 | (3,165) | 16,109 |
Included in OCI | 0 | 0 | 0 | 0 |
Purchases | 55 | 0 | 482 | 2,500 |
Sales | 0 | (33,427) | 0 | (33,427) |
Settlements/ distributions | (528) | (1,057) | (1,216) | (4,721) |
Closing balance | 47,363 | 46,250 | 47,363 | 46,250 |
Change in unrealized investment gains/(losses) | (2,398) | 1,600 | (3,165) | 2,682 |
Other investments | CLO-Equities | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Opening balance | 12,793 | 18,022 | 14,328 | 21,271 |
Transfers into Level 3 | 0 | 0 | 0 | 0 |
Transfers out of Level 3 | 0 | 0 | 0 | 0 |
Included in net income | (2,322) | 833 | (3,169) | 1,248 |
Included in OCI | 0 | 0 | 0 | 0 |
Purchases | 0 | 0 | 0 | 0 |
Sales | 0 | 0 | 0 | 0 |
Settlements/ distributions | (528) | (1,057) | (1,216) | (4,721) |
Closing balance | 9,943 | 17,798 | 9,943 | 17,798 |
Change in unrealized investment gains/(losses) | (2,322) | 833 | (3,169) | 1,248 |
Other investments | Other privately held investments | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Opening balance | 37,441 | 47,685 | 36,934 | 44,518 |
Transfers into Level 3 | 0 | 0 | 0 | 0 |
Transfers out of Level 3 | 0 | 0 | 0 | 0 |
Included in net income | (76) | 14,194 | 4 | 14,861 |
Included in OCI | 0 | 0 | 0 | 0 |
Purchases | 55 | 0 | 482 | 2,500 |
Sales | 0 | (33,427) | 0 | (33,427) |
Settlements/ distributions | 0 | 0 | 0 | 0 |
Closing balance | 37,420 | 28,452 | 37,420 | 28,452 |
Change in unrealized investment gains/(losses) | $ (76) | $ 767 | $ 4 | $ 1,434 |
FAIR VALUE MEASUREMENTS (Other
FAIR VALUE MEASUREMENTS (Other Fair Value Narrative) (Details) $ in Millions | Jun. 30, 2020USD ($)hedge_fund | Dec. 31, 2019USD ($) |
Fair Value Disclosures [Abstract] | ||
Number of hedge funds with reporting lag | hedge_fund | 2 | |
Entities that calculate net asset value per share, reporting lag, percent other investments | 70.00% | 68.00% |
Reported value measurement | ||
Fair Value Balance Sheet Grouping Financial Statement Captions [Line Items] | ||
Notes payable | $ 1,309 | $ 1,808 |
Estimate of fair value measurement | ||
Fair Value Balance Sheet Grouping Financial Statement Captions [Line Items] | ||
Notes payable | $ 1,400 | $ 1,896 |
DERIVATIVE INSTRUMENTS (Schedul
DERIVATIVE INSTRUMENTS (Schedule of Derivative Instruments) (Details) - USD ($) $ in Thousands | Jun. 30, 2020 | Dec. 31, 2019 |
Derivative Fair Values on Consolidated Balance Sheet [Line Items] | ||
Derivative asset fair value | $ 3,415 | $ 3,174 |
Derivative liability fair value | 11,668 | 13,637 |
Not Designated as Hedging Instruments | Other assets | ||
Derivative Fair Values on Consolidated Balance Sheet [Line Items] | ||
Derivative asset fair value | 3,415 | 3,174 |
Not Designated as Hedging Instruments | Other liabilities | ||
Derivative Fair Values on Consolidated Balance Sheet [Line Items] | ||
Derivative liability fair value | 11,668 | 13,637 |
Not Designated as Hedging Instruments | Relating to investment portfolio: | Foreign exchange forward contracts | ||
Derivative Fair Values on Consolidated Balance Sheet [Line Items] | ||
Derivative notional amount | 83,470 | 68,998 |
Not Designated as Hedging Instruments | Relating to investment portfolio: | Foreign exchange forward contracts | Other assets | ||
Derivative Fair Values on Consolidated Balance Sheet [Line Items] | ||
Derivative asset fair value | 1 | 0 |
Not Designated as Hedging Instruments | Relating to investment portfolio: | Foreign exchange forward contracts | Other liabilities | ||
Derivative Fair Values on Consolidated Balance Sheet [Line Items] | ||
Derivative liability fair value | 455 | 1,405 |
Not Designated as Hedging Instruments | Relating to underwriting portfolio: | Foreign exchange forward contracts | ||
Derivative Fair Values on Consolidated Balance Sheet [Line Items] | ||
Derivative notional amount | 859,203 | 1,038,630 |
Not Designated as Hedging Instruments | Relating to underwriting portfolio: | Foreign exchange forward contracts | Other assets | ||
Derivative Fair Values on Consolidated Balance Sheet [Line Items] | ||
Derivative asset fair value | 3,414 | 3,174 |
Not Designated as Hedging Instruments | Relating to underwriting portfolio: | Foreign exchange forward contracts | Other liabilities | ||
Derivative Fair Values on Consolidated Balance Sheet [Line Items] | ||
Derivative liability fair value | 1,395 | 2,560 |
Not Designated as Hedging Instruments | Relating to underwriting portfolio: | Other underwriting-related contracts | ||
Derivative Fair Values on Consolidated Balance Sheet [Line Items] | ||
Derivative notional amount | 75,000 | 85,000 |
Not Designated as Hedging Instruments | Relating to underwriting portfolio: | Other underwriting-related contracts | Other assets | ||
Derivative Fair Values on Consolidated Balance Sheet [Line Items] | ||
Derivative asset fair value | 0 | 0 |
Not Designated as Hedging Instruments | Relating to underwriting portfolio: | Other underwriting-related contracts | Other liabilities | ||
Derivative Fair Values on Consolidated Balance Sheet [Line Items] | ||
Derivative liability fair value | $ 9,818 | $ 9,672 |
DERIVATIVE INSTRUMENTS (Offsett
DERIVATIVE INSTRUMENTS (Offsetting Assets and Liabilities) (Details) - USD ($) $ in Thousands | Jun. 30, 2020 | Dec. 31, 2019 |
Derivative assets | ||
Gross amounts | $ 8,263 | $ 7,673 |
Gross amounts offset | (4,848) | (4,499) |
Net amounts | 3,415 | 3,174 |
Derivative liabilities | ||
Gross amounts | 16,516 | 18,136 |
Gross amounts offset | (4,848) | (4,499) |
Net amounts | $ 11,668 | $ 13,637 |
DERIVATIVE INSTRUMENTS (Other U
DERIVATIVE INSTRUMENTS (Other Underwriting-related Risks) (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2020 | Jun. 30, 2019 | Jun. 30, 2020 | Jun. 30, 2019 | |
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 | $ (246) | $ 869 | $ (7,973) | $ (11,402) |
Relating to investment portfolio: | Foreign exchange forward contracts | Net investment gains (losses) | ||||
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 | 154 | 620 | 3,316 | 1,372 |
Relating to investment portfolio: | Interest rate swaps | Net investment gains (losses) | ||||
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 | (824) | 0 | (3,677) |
Relating to underwriting portfolio: | Foreign exchange forward contracts | Foreign exchange gains (losses) | ||||
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 | (870) | 802 | (1,559) | (9,715) |
Relating to underwriting portfolio: | Other underwriting-related contracts | Other insurance related income (losses) | ||||
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 | $ 470 | $ 271 | $ (9,730) | $ 618 |
RESERVE FOR LOSSES AND LOSS E_3
RESERVE FOR LOSSES AND LOSS EXPENSES (Reserve Roll-Forward) (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2020 | Jun. 30, 2019 | Jun. 30, 2020 | Jun. 30, 2019 | |
Liability for Unpaid Claims and Claims Adjustment Expense [Roll Forward] | ||||
Gross reserve for losses and loss expenses, beginning of period | $ 12,752,081 | $ 12,280,769 | ||
Less reinsurance recoverable on unpaid losses and loss expenses, beginning of period | (3,877,756) | (3,501,669) | ||
Net reserve for unpaid losses and loss expenses, beginning of period | 8,874,325 | 8,779,100 | ||
Net incurred losses and loss expenses related to: | ||||
Current year | 1,593,102 | 1,374,784 | ||
Prior years | $ (2,655) | $ (23,621) | (8,767) | (38,293) |
Net incurred losses and loss expenses | 1,584,335 | 1,336,491 | ||
Net paid losses and loss expenses related to: | ||||
Current year | (89,724) | (132,111) | ||
Prior years | (1,271,987) | (1,304,413) | ||
Net paid losses and loss expenses | (1,361,711) | (1,436,524) | ||
Foreign exchange and other | (78,304) | 10,832 | ||
Net reserve for unpaid losses and loss expenses, end of period | 9,018,645 | 8,689,899 | 9,018,645 | 8,689,899 |
Reinsurance recoverable on unpaid losses and loss expenses, end of period | 4,160,521 | 3,564,812 | 4,160,521 | 3,564,812 |
Gross reserve for losses and loss expenses, end of period | $ 13,179,166 | $ 12,254,711 | $ 13,179,166 | $ 12,254,711 |
RESERVE FOR LOSSES AND LOSS E_4
RESERVE FOR LOSSES AND LOSS EXPENSES (Narrative) (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||||
Jun. 30, 2020 | Jun. 30, 2019 | Jun. 30, 2020 | Jun. 30, 2019 | Dec. 31, 2019 | Dec. 31, 2018 | |
Causes of Increase (Decrease) in Liability for Unpaid Claims and Claims Adjustment Expense [Line Items] | ||||||
Net loss and loss expenses | $ 1,593,102 | $ 1,374,784 | ||||
Reinsurance recoverable on unpaid losses and loss expenses (Allowance for expected credit losses 2020: $20,987) | $ 4,160,521 | $ 3,564,812 | 4,160,521 | 3,564,812 | $ 3,877,756 | $ 3,501,669 |
Net favorable (adverse) prior year reserve development | 2,655 | 23,621 | 8,767 | 38,293 | ||
Short Tail Reserving Class Insurance and Reinsurance Business | ||||||
Causes of Increase (Decrease) in Liability for Unpaid Claims and Claims Adjustment Expense [Line Items] | ||||||
Net favorable (adverse) prior year reserve development | 22,000 | (19,000) | 32,000 | (52,000) | ||
Liability Reinsurance Business | ||||||
Causes of Increase (Decrease) in Liability for Unpaid Claims and Claims Adjustment Expense [Line Items] | ||||||
Net favorable (adverse) prior year reserve development | 11,000 | (21,000) | 23,000 | |||
Motor Reinsurance Business | ||||||
Causes of Increase (Decrease) in Liability for Unpaid Claims and Claims Adjustment Expense [Line Items] | ||||||
Net favorable (adverse) prior year reserve development | 4,000 | 18,000 | 11,000 | |||
Liability Insurance Business [Member] | ||||||
Causes of Increase (Decrease) in Liability for Unpaid Claims and Claims Adjustment Expense [Line Items] | ||||||
Net favorable (adverse) prior year reserve development | (17,000) | (21,000) | ||||
Insurance | ||||||
Causes of Increase (Decrease) in Liability for Unpaid Claims and Claims Adjustment Expense [Line Items] | ||||||
Net favorable (adverse) prior year reserve development | 420 | 21,326 | 4,251 | 28,240 | ||
Insurance | Short Tail Reserving Class Insurance and Reinsurance Business | ||||||
Causes of Increase (Decrease) in Liability for Unpaid Claims and Claims Adjustment Expense [Line Items] | ||||||
Net favorable (adverse) prior year reserve development | 25,000 | 6,000 | 37,000 | (16,000) | ||
Insurance | Marine | Short Tail Reserving Class Insurance and Reinsurance Business | ||||||
Causes of Increase (Decrease) in Liability for Unpaid Claims and Claims Adjustment Expense [Line Items] | ||||||
Net favorable (adverse) prior year reserve development | 5,000 | 22,000 | ||||
Insurance | Professional Lines | ||||||
Causes of Increase (Decrease) in Liability for Unpaid Claims and Claims Adjustment Expense [Line Items] | ||||||
Net favorable (adverse) prior year reserve development | (9,000) | (4,000) | (14,000) | (10,000) | ||
Insurance | Credit and Surety | ||||||
Causes of Increase (Decrease) in Liability for Unpaid Claims and Claims Adjustment Expense [Line Items] | ||||||
Net favorable (adverse) prior year reserve development | 7,000 | 9,000 | ||||
Insurance | Aviation | Short Tail Reserving Class Insurance and Reinsurance Business | ||||||
Causes of Increase (Decrease) in Liability for Unpaid Claims and Claims Adjustment Expense [Line Items] | ||||||
Net favorable (adverse) prior year reserve development | 6,000 | |||||
Reinsurance | ||||||
Causes of Increase (Decrease) in Liability for Unpaid Claims and Claims Adjustment Expense [Line Items] | ||||||
Net favorable (adverse) prior year reserve development | 2,235 | 2,295 | 4,516 | 10,053 | ||
Reinsurance | Short Tail Reserving Class Insurance and Reinsurance Business | ||||||
Causes of Increase (Decrease) in Liability for Unpaid Claims and Claims Adjustment Expense [Line Items] | ||||||
Net favorable (adverse) prior year reserve development | (4,000) | (30,000) | (8,000) | (59,000) | ||
Reinsurance | Credit and Surety | ||||||
Causes of Increase (Decrease) in Liability for Unpaid Claims and Claims Adjustment Expense [Line Items] | ||||||
Net favorable (adverse) prior year reserve development | 10,000 | 17,000 | 15,000 | 27,000 | ||
Reinsurance | Professional Lines | ||||||
Causes of Increase (Decrease) in Liability for Unpaid Claims and Claims Adjustment Expense [Line Items] | ||||||
Net favorable (adverse) prior year reserve development | $ (5,000) | $ 6,000 | 8,000 | |||
Catastrophe and Weather-related Events | ||||||
Causes of Increase (Decrease) in Liability for Unpaid Claims and Claims Adjustment Expense [Line Items] | ||||||
Net loss and loss expenses | $ 336,000 | $ 36,000 |
EARNINGS PER COMMON SHARE (Deta
EARNINGS PER COMMON SHARE (Details) - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2020 | Jun. 30, 2019 | Jun. 30, 2020 | Jun. 30, 2019 | |
Earnings (loss) per common share | ||||
Net income (loss) | $ 120,040 | $ 177,043 | $ (57,783) | $ 285,828 |
Less: Preferred share dividends | 7,563 | 10,656 | 15,125 | 21,313 |
Net income (loss) available (attributable) to common shareholders | $ 112,477 | $ 166,387 | $ (72,908) | $ 264,515 |
Weighted average common shares outstanding (in shares) | 84,303 | 83,941 | 84,198 | 83,834 |
Earnings (loss) per common share (in usd per share) | $ 1.33 | $ 1.98 | $ (0.87) | $ 3.16 |
Earnings (loss) per diluted common share | ||||
Net income (loss) available (attributable) to common shareholders | $ 112,477 | $ 166,387 | $ (72,908) | $ 264,515 |
Weighted average common shares outstanding (in shares) | 84,303 | 83,941 | 84,198 | 83,834 |
Share-based compensation plans (in shares) | 297 | 460 | 0 | 504 |
Weighted average diluted common shares outstanding (in shares) | 84,600 | 84,401 | 84,198 | 84,338 |
Earnings (loss) per diluted common share (in usd per share) | $ 1.33 | $ 1.97 | $ (0.87) | $ 3.14 |
Weighted average anti-dilutive shares excluded from the dilutive computation (in shares) | 1,391 | 3 | 1,098 | 302 |
SHARE-BASED COMPENSATION (Detai
SHARE-BASED COMPENSATION (Details) - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands | 6 Months Ended | ||
Jun. 30, 2020 | Jun. 30, 2019 | Dec. 31, 2019 | |
Weighted average grant date fair value | |||
Share based compensation costs expense | $ 25,410 | $ 28,557 | |
Liability for cash-settled restricted stock units | 7,675 | $ 21,731 | |
Restricted Stock Units (RSUs) | |||
Weighted average grant date fair value | |||
Tax benefits associated with share-based compensation expense | 3,995 | 4,263 | |
Fair value of restricted stock units vested | 46,490 | 49,323 | |
Unrecognized share-based compensation expense | $ 98,005 | $ 104,947 | |
Expected weighted average period associated with the recognition of unrecognized share-based compensation expense | 2 years 8 months 12 days | 2 years 8 months 12 days | |
Restricted Stock Units (RSUs) | Cash Settled | |||
Weighted average grant date fair value | |||
Liability for cash-settled restricted stock units | $ 7,675 | $ 12,946 | |
Performance Vesting Restricted Stock Units | Share Settled | |||
Number of restricted stock units | |||
Nonvested restricted stock units - beginning of period (in shares) | 258 | ||
Granted (in shares) | 97 | ||
Vested (in shares) | (27) | ||
Forfeited (in shares) | 0 | ||
Nonvested restricted stock units - end of period (in shares) | 328 | ||
Weighted average grant date fair value | |||
Nonvested restricted stock units - beginning of period (in usd per share) | $ 53.31 | ||
Granted (in usd per share) | 62.26 | ||
Vested (in usd per share) | 64.01 | ||
Forfeited (in usd per share) | 0 | ||
Nonvested restricted stock units - end of period (in usd per share) | $ 55.09 | ||
Performance Vesting Restricted Stock Units | Cash Settled | |||
Number of restricted stock units | |||
Nonvested restricted stock units - beginning of period (in shares) | 6 | ||
Granted (in shares) | 0 | ||
Vested (in shares) | (6) | ||
Forfeited (in shares) | 0 | ||
Nonvested restricted stock units - end of period (in shares) | 0 | ||
Service Based Restricted Stock Units | Share Settled | |||
Number of restricted stock units | |||
Nonvested restricted stock units - beginning of period (in shares) | 1,273 | ||
Granted (in shares) | 786 | ||
Vested (in shares) | (474) | ||
Forfeited (in shares) | (40) | ||
Nonvested restricted stock units - end of period (in shares) | 1,545 | ||
Weighted average grant date fair value | |||
Nonvested restricted stock units - beginning of period (in usd per share) | $ 54.32 | ||
Granted (in usd per share) | 60.95 | ||
Vested (in usd per share) | 55.25 | ||
Forfeited (in usd per share) | 57.33 | ||
Nonvested restricted stock units - end of period (in usd per share) | $ 57.33 | ||
Service Based Restricted Stock Units | Cash Settled | |||
Number of restricted stock units | |||
Nonvested restricted stock units - beginning of period (in shares) | 853 | ||
Granted (in shares) | 1 | ||
Vested (in shares) | (322) | ||
Forfeited (in shares) | (25) | ||
Nonvested restricted stock units - end of period (in shares) | 507 |
SHAREHOLDERS' EQUITY (Common Sh
SHAREHOLDERS' EQUITY (Common Shares Issued and Outstanding) (Details) - shares shares in Thousands | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2020 | Jun. 30, 2019 | Jun. 30, 2020 | Jun. 30, 2019 | Dec. 31, 2019 | |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||
Shares issued, balance at beginning of period (in shares) | 176,580 | 176,580 | 176,580 | 176,580 | |
Shares issued (in shares) | 0 | 0 | 0 | 0 | |
Total shares issued at end of period (in shares) | 176,580 | 176,580 | 176,580 | 176,580 | |
Treasury shares, balance at beginning of period (in shares) | (92,282) | (92,646) | (92,621) | (92,994) | |
Shares repurchased (in shares) | (3) | (7) | (153) | (164) | |
Shares reissued (in shares) | 11 | 20 | 500 | 525 | |
Total treasury shares at end of period (in shares) | (92,274) | (92,633) | (92,274) | (92,633) | |
Total shares outstanding | 84,306 | 83,947 | 84,306 | 83,947 | 83,959 |
SHAREHOLDERS' EQUITY (Treasury
SHAREHOLDERS' EQUITY (Treasury Shares) (Details) - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2020 | Jun. 30, 2019 | Jun. 30, 2020 | Jun. 30, 2019 | |
Treasury Shares [Line Items] | ||||
Total shares (in shares) | 3 | 7 | 153 | 164 |
Total cost | $ 110 | $ 411 | $ 8,602 | $ 9,414 |
Average price per share (in usd per share) | $ 36.77 | $ 58.34 | $ 56.05 | $ 57.22 |
In the open market: | ||||
Treasury Shares [Line Items] | ||||
Total shares (in shares) | 0 | 0 | 0 | 0 |
Total cost | $ 0 | $ 0 | $ 0 | $ 0 |
Average price per share (in usd per share) | $ 0 | $ 0 | $ 0 | $ 0 |
From employees | ||||
Treasury Shares [Line Items] | ||||
Total shares (in shares) | 3 | 7 | 153 | 164 |
Total cost | $ 110 | $ 411 | $ 8,602 | $ 9,414 |
Average price per share (in usd per share) | $ 36.77 | $ 58.34 | $ 56.05 | $ 57.22 |
SHAREHOLDERS' EQUITY (Dividends
SHAREHOLDERS' EQUITY (Dividends) (Details) - $ / shares | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2020 | Jun. 30, 2019 | Jun. 30, 2020 | Jun. 30, 2019 | |
Class of Stock [Line Items] | ||||
Cash dividends declared per common share (in usd per share) | $ 0.41 | $ 0.40 | $ 0.82 | $ 0.80 |
Dividends paid in period of declaration (in usd per share) | 0 | 0 | 0.41 | 0.40 |
Dividends paid in period following declaration (in usd per share) | 0.41 | 0.40 | 0.41 | 0.40 |
Series D preferred shares | ||||
Class of Stock [Line Items] | ||||
Cash dividends declared per preferred share (in usd per share) | 0.34 | 0.69 | ||
Dividends paid in period of declaration (in usd per share) | 0 | 0.35 | ||
Dividends paid in period following declaration (in usd per share) | 0.34 | 0.34 | ||
Series E preferred shares | ||||
Class of Stock [Line Items] | ||||
Cash dividends declared per preferred share (in usd per share) | 34.38 | 34.38 | 68.75 | 68.75 |
Dividends paid in period of declaration (in usd per share) | 0 | 0 | 34.38 | 34.38 |
Dividends paid in period following declaration (in usd per share) | $ 34.38 | $ 34.38 | $ 34.38 | $ 34.38 |
DEBT AND FINANCING ARRANGEMEN_2
DEBT AND FINANCING ARRANGEMENTS (Details) - USD ($) | Jun. 01, 2020 | Mar. 28, 2020 |
LOC Facility | Letter of Credit | ||
Line of Credit Facility [Line Items] | ||
Line of credit facility | $ 250,000,000 | |
LOC Facility Two | Letter of Credit | ||
Line of Credit Facility [Line Items] | ||
Line of credit facility | $ 500,000,000 | |
AXIS Specialty Finance PLC | 5.875% Senior Notes | Senior Notes | ||
Line of Credit Facility [Line Items] | ||
Repayment of senior notes | $ 500,000,000 | |
Stated interest rate | 5.875% | |
AXIS Specialty Finance PLC | ||
Line of Credit Facility [Line Items] | ||
Ownership percentage by parent | 100.00% |
REORGANIZATION EXPENSES (Detail
REORGANIZATION EXPENSES (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2020 | Jun. 30, 2019 | Jun. 30, 2020 | Jun. 30, 2019 | |
Restructuring and Related Activities [Abstract] | ||||
Reorganization expenses | $ 392 | $ 3,276 | $ (591) | $ 18,096 |
OTHER COMPREHENSIVE INCOME (L_3
OTHER COMPREHENSIVE INCOME (LOSS) (Tax Effects of Other Comprehensive Income) (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2020 | Jun. 30, 2019 | Jun. 30, 2020 | Jun. 30, 2019 | |
Before tax amount | ||||
Total other comprehensive income, net of tax | $ 410,368 | $ 141,322 | $ 127,886 | $ 364,664 |
Income tax (expense) benefit | ||||
Total other comprehensive income, net of tax | (38,850) | (14,273) | (17,997) | (31,409) |
Net of tax amount | ||||
Total other comprehensive income, net of tax | 371,518 | 127,049 | 109,889 | 333,255 |
Available for sale investments: | ||||
Before tax amount | ||||
Adjustment for reclassification of net realized (gains) losses, impairment losses and OTTI losses recognized in net income (loss) | (9,610) | (8,141) | (5,484) | 5,733 |
Total other comprehensive income, net of tax | 406,534 | 138,766 | 131,777 | 359,445 |
Income tax (expense) benefit | ||||
Adjustment for reclassification of net realized (gains) losses, impairment losses and OTTI losses recognized in net income (loss) | 2,794 | 1,192 | 4,325 | 652 |
Total other comprehensive income, net of tax | (38,850) | (14,273) | (17,997) | (31,409) |
Net of tax amount | ||||
Adjustment for reclassification of net realized (gains) losses, impairment losses and OTTI losses recognized in net income (loss) | (6,816) | (6,949) | (1,159) | 6,385 |
Total other comprehensive income, net of tax | 367,684 | 124,493 | 113,780 | 328,036 |
Available for sale investments: | Unrealized gains arising during the period for which an allowance for expected credit losses has not been recognized | ||||
Before tax amount | ||||
Unrealized gains (losses) arising during the period | 412,802 | 146,907 | 140,018 | 353,712 |
Income tax (expense) benefit | ||||
Unrealized gains (losses) arising during the period | (41,514) | (15,465) | (22,050) | (32,061) |
Net of tax amount | ||||
Unrealized gains (losses) arising during the period | 371,288 | 131,442 | 117,968 | 321,651 |
Available for sale investments: | Unrealized gains (losses) arising during the period for which an allowance for expected credit losses has been recognized | ||||
Before tax amount | ||||
Unrealized gains (losses) arising during the period | 3,342 | 0 | (2,757) | 0 |
Income tax (expense) benefit | ||||
Unrealized gains (losses) arising during the period | (130) | 0 | (272) | 0 |
Net of tax amount | ||||
Unrealized gains (losses) arising during the period | 3,212 | 0 | (3,029) | 0 |
Foreign currency translation adjustment | ||||
Before tax amount | ||||
Total other comprehensive income, net of tax | 3,834 | 2,556 | (3,891) | 5,219 |
Income tax (expense) benefit | ||||
Total other comprehensive income, net of tax | 0 | 0 | 0 | 0 |
Net of tax amount | ||||
Total other comprehensive income, net of tax | $ 3,834 | $ 2,556 | $ (3,891) | $ 5,219 |
OTHER COMPREHENSIVE INCOME (L_4
OTHER COMPREHENSIVE INCOME (LOSS) (Reclassifications Out of AOCI Into Net Income (Loss) (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2020 | Jun. 30, 2019 | Jun. 30, 2020 | Jun. 30, 2019 | |
Reclassification out of accumulated comprehensive income into net income available to common shareholders [Line Items] | ||||
Other realized gains (losses) | $ 39,394 | $ 22,059 | $ (2,272) | $ 38,866 |
Impairment losses | (112) | 0 | (1,302) | 0 |
OTTI losses | 0 | (834) | 0 | (4,870) |
Income (loss) before income taxes and interest in income (loss) of equity method investments | 123,831 | 188,877 | (35,282) | 296,678 |
Income tax (expense) benefit | (10,893) | (14,469) | (6,026) | (15,703) |
Net income (loss) available (attributable) to common shareholders | 112,477 | 166,387 | (72,908) | 264,515 |
Unrealized gains on available for sale investments | Reclassification out of Accumulated Other Comprehensive Income | ||||
Reclassification out of accumulated comprehensive income into net income available to common shareholders [Line Items] | ||||
Other realized gains (losses) | 9,722 | 8,975 | 6,786 | (863) |
Impairment losses | (112) | 0 | (1,302) | 0 |
OTTI losses | 0 | (834) | 0 | (4,870) |
Income (loss) before income taxes and interest in income (loss) of equity method investments | 9,610 | 8,141 | 5,484 | (5,733) |
Income tax (expense) benefit | (2,794) | (1,192) | (4,325) | (652) |
Net income (loss) available (attributable) to common shareholders | $ 6,816 | $ 6,949 | $ 1,159 | $ (6,385) |