COVER
COVER - shares | 9 Months Ended | |
Sep. 30, 2022 | Oct. 21, 2022 | |
Document Information [Line Items] | ||
Document Type | 10-Q | |
Document Quarterly Report | true | |
Document Period End Date | Sep. 30, 2022 | |
Document Transition Report | false | |
Entity File Number | 001-31721 | |
Entity Registrant Name | AXIS CAPITAL HOLDINGS LTD | |
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 | 84,666,896 | |
Amendment flag | false | |
Document fiscal year focus | 2022 | |
Document fiscal period focus | Q3 | |
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 $0.0125 per share | |
Trading Symbol | AXS | |
Security Exchange Name | NYSE | |
Depositary Shares, each representing a 1/100th interest in a 5.50% Series E preferred share | ||
Document Information [Line Items] | ||
Title of 12(b) Security | Depositary shares, each representing a 1/100th interest in a 5.50% Series E preferred share | |
Trading Symbol | AXS PRE | |
Security Exchange Name | NYSE |
CONSOLIDATED BALANCE SHEETS
CONSOLIDATED BALANCE SHEETS - USD ($) $ in Thousands | Sep. 30, 2022 | Dec. 31, 2021 |
Investments: | ||
Fixed maturities, available for sale, at fair value (Amortized cost 2022: $11,865,935; 2021: $12,241,782 Allowance for expected credit losses 2022: $10,504; 2021: $313) | $ 10,784,353 | $ 12,313,200 |
Fixed maturities, held to maturity, at amortized cost (Fair value 2022: $663,704; 2021: $445,033 Allowance for expected credit losses 2022: $nil; 2021: $nil) | 690,380 | 446,016 |
Equity securities, at fair value (Cost 2022: $519,926; 2021: $528,864) | 469,839 | 655,675 |
Mortgage loans, held for investment, at fair value (Allowance for expected credit losses 2022: $nil; 2021: $nil) | 653,700 | 594,088 |
Other investments, at fair value | 970,310 | 947,982 |
Equity method investments | 151,333 | 146,293 |
Short-term investments, at fair value | 80,260 | 31,063 |
Total investments | 13,800,175 | 15,134,317 |
Cash and cash equivalents | 1,210,321 | 844,592 |
Restricted cash and cash equivalents | 624,941 | 473,098 |
Accrued interest receivable | 77,771 | 64,350 |
Insurance and reinsurance premium balances receivable (Allowance for expected credit losses 2022: $8,893; 2021: $7,567) | 2,788,484 | 2,622,676 |
Reinsurance recoverable on unpaid losses and loss expenses (Allowance for expected credit losses 2022: $29,022; 2021: $29,554) | 5,244,263 | 5,017,611 |
Reinsurance recoverable on paid losses and loss expenses | 438,497 | 642,215 |
Deferred acquisition costs | 541,544 | 465,593 |
Prepaid reinsurance premiums | 1,597,586 | 1,377,358 |
Receivable for investments sold | 6,452 | 4,555 |
Goodwill | 100,801 | 100,801 |
Intangible assets | 200,529 | 208,717 |
Operating lease right-of-use assets | 96,631 | 103,295 |
Other assets | 391,758 | 309,792 |
Total assets | 27,119,753 | 27,368,970 |
Liabilities | ||
Reserve for losses and loss expenses | 14,652,196 | 14,653,094 |
Unearned premiums | 4,650,934 | 4,090,676 |
Insurance and reinsurance balances payable | 1,569,946 | 1,324,620 |
Debt | 1,312,633 | 1,310,975 |
Federal Home Loan Bank advances | 80,540 | 0 |
Payable for investments purchased | 78,956 | 31,543 |
Operating lease liabilities | 103,345 | 119,512 |
Other liabilities | 327,780 | 427,894 |
Total liabilities | 22,776,330 | 21,958,314 |
Shareholders’ equity | ||
Preferred shares | 550,000 | 550,000 |
Common shares (shares issued 2022: 176,580; 2021: 176,580 shares outstanding 2022: 84,666; 2021: 84,774) | 2,206 | 2,206 |
Additional paid-in capital | 2,354,895 | 2,346,179 |
Accumulated other comprehensive income (loss) | (1,042,650) | 56,536 |
Retained earnings | 6,244,268 | 6,204,745 |
Treasury shares, at cost (2022: 91,914; 2021: 91,806) | (3,765,296) | (3,749,010) |
Total shareholders’ equity | 4,343,423 | 5,410,656 |
Total liabilities and shareholders’ equity | $ 27,119,753 | $ 27,368,970 |
CONSOLIDATED BALANCE SHEETS (Pa
CONSOLIDATED BALANCE SHEETS (Parenthetical) - USD ($) shares in Thousands | Sep. 30, 2022 | Dec. 31, 2021 |
Statement of Financial Position [Abstract] | ||
Amortized cost | $ 11,865,935,000 | $ 12,241,782,000 |
Fixed maturities, available for sale, allowance for credit loss | 10,504,000 | 313,000 |
Fixed maturities, held to maturity, fair value | 663,704,000 | 445,033,000 |
Fixed maturities, held to maturity, allowance for credit loss | 0 | 0 |
Equity securities, cost | 519,926,000 | 528,864,000 |
Credit losses associated with commercial mortgage loans | 0 | 0 |
Allowance for expected credit losses on insurance and reinsurance premium balances receivable | 8,893,000 | 7,567,000 |
Allowance for expected credit losses on reinsurance recoverable for unpaid losses and loss expenses | $ 29,022,000 | $ 29,554,000 |
Common shares, shares issued (in shares) | 176,580 | 176,580 |
Common shares, shares outstanding (in shares) | 84,666 | 84,774 |
Treasury shares, shares (in shares) | 91,914 | 91,806 |
CONSOLIDATED STATEMENTS OF OPER
CONSOLIDATED STATEMENTS OF OPERATIONS (UNAUDITED) - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
Revenues | ||||
Net premiums earned | $ 1,284,866 | $ 1,211,427 | $ 3,820,163 | $ 3,472,090 |
Net investment income | 88,177 | 107,339 | 271,744 | 326,174 |
Other insurance related income | 1,092 | 7,665 | 9,998 | 16,262 |
Net investment gains (losses): | ||||
Allowance for expected credit losses | (3,210) | (315) | (10,191) | (76) |
Impairment losses | (6,491) | (22) | (7,074) | (22) |
Other realized and unrealized investment gains (losses) | (136,757) | 11,269 | (396,966) | 113,966 |
Total net investment gains (losses) | (146,458) | 10,932 | (414,231) | 113,868 |
Total revenues | 1,227,677 | 1,337,363 | 3,687,674 | 3,928,394 |
Expenses | ||||
Net losses and loss expenses | 941,911 | 911,369 | 2,444,196 | 2,292,559 |
Acquisition costs | 240,511 | 231,712 | 746,443 | 669,654 |
General and administrative expenses | 158,245 | 157,960 | 492,872 | 478,820 |
Foreign exchange gains | (135,660) | (28,032) | (236,934) | (4,316) |
Interest expense and financing costs | 15,915 | 15,954 | 46,720 | 46,759 |
Reorganization expenses | 6,213 | 0 | 21,941 | 0 |
Amortization of value of business acquired | 0 | 1,028 | 0 | 3,083 |
Amortization of intangible assets | 2,729 | 3,149 | 8,188 | 9,163 |
Total expenses | 1,229,864 | 1,293,140 | 3,523,426 | 3,495,722 |
Income (loss) before income taxes and interest in income (loss) of equity method investments | (2,187) | 44,223 | 164,248 | 432,672 |
Income tax (expense) benefit | 363 | (1,186) | 5,304 | (49,827) |
Interest in income (loss) of equity method investments | (7,560) | 11,911 | 5,040 | 30,871 |
Net income (loss) | (9,384) | 54,948 | 174,592 | 413,716 |
Preferred share dividends | 7,563 | 7,563 | 22,688 | 22,688 |
Net income (loss) available (attributable) to common shareholders | $ (16,947) | $ 47,385 | $ 151,904 | $ 391,028 |
Earnings (loss) per common share: | ||||
Earnings (loss) per common share (in usd per share) | $ (0.20) | $ 0.56 | $ 1.79 | $ 4.62 |
Earnings(loss) per diluted common share (in usd per share) | $ (0.20) | $ 0.56 | $ 1.77 | $ 4.59 |
Weighted average common shares outstanding (in shares) | 84,660 | 84,771 | 84,930 | 84,684 |
Weighted average diluted common shares outstanding (in shares) | 84,660 | 85,336 | 85,674 | 85,191 |
CONSOLIDATED STATEMENTS OF COMP
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (UNAUDITED) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
Statement of Comprehensive Income [Abstract] | ||||
Net income (loss) | $ (9,384) | $ 54,948 | $ 174,592 | $ 413,716 |
Other comprehensive income (loss), net of tax: | ||||
Unrealized gains (losses) arising during the period, net of reclassification adjustment | (305,785) | (72,388) | (1,083,017) | (265,197) |
Foreign currency translation adjustment | (12,751) | (3,807) | (16,169) | 924 |
Total other comprehensive income (loss), net of tax | (318,536) | (76,195) | (1,099,186) | (264,273) |
Comprehensive income (loss) | (327,920) | (21,247) | (924,594) | 149,443 |
Unrealized gains (losses) on available for sale investments | ||||
Other comprehensive income (loss), net of tax: | ||||
Adjustment for reclassification of net realized (gains) losses and impairment losses recognized in net income (loss) | 98,779 | (14,580) | 229,773 | (86,181) |
Unrealized gains (losses) arising during the period, net of reclassification adjustment | (305,785) | (72,388) | (1,083,017) | (265,197) |
Unrealized gains (losses) on available for sale investments | Unrealized gains (losses) arising during the period for which an allowance for expected credit losses has not been recognized | ||||
Other comprehensive income (loss), net of tax: | ||||
Unrealized holding gains (losses) arising during period | (393,880) | (58,178) | (1,259,482) | (179,147) |
Unrealized gains (losses) on available for sale investments | Unrealized gains (losses) arising during the period for which an allowance for expected credit losses has been recognized | ||||
Other comprehensive income (loss), net of tax: | ||||
Unrealized holding gains (losses) arising during period | $ (10,684) | $ 370 | $ (53,308) | $ 131 |
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 (loss) | 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, 2020 | $ 550,000 | $ 2,206 | $ 2,330,054 | $ 414,395 | $ 420,635 | $ (6,240) | $ 5,763,607 | $ (3,764,568) | ||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||
Treasury shares reissued | (24,437) | 25,582 | ||||||||
Share-based compensation expense | 31,278 | |||||||||
Unrealized gains (losses) arising during the period, net of reclassification adjustment | $ (265,197) | (265,197) | ||||||||
Foreign currency translation adjustment | 924 | 924 | ||||||||
Net income (loss) | 413,716 | 413,716 | ||||||||
Preferred share dividends | [1] | (22,688) | ||||||||
Common share dividends | [1] | (109,792) | ||||||||
Shares repurchased | (10,025) | |||||||||
Balance at end of period at Sep. 30, 2021 | 5,335,055 | 550,000 | 2,206 | 2,336,895 | 150,122 | 155,438 | (5,316) | 6,044,843 | (3,749,011) | |
Balance at beginning of period at Jun. 30, 2021 | 550,000 | 2,206 | 2,326,288 | 226,317 | 227,826 | (1,509) | 6,034,151 | (3,749,202) | ||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||
Treasury shares reissued | (397) | 397 | ||||||||
Share-based compensation expense | 11,004 | |||||||||
Unrealized gains (losses) arising during the period, net of reclassification adjustment | (72,388) | (72,388) | ||||||||
Foreign currency translation adjustment | (3,807) | (3,807) | ||||||||
Net income (loss) | 54,948 | 54,948 | ||||||||
Preferred share dividends | [1] | (7,563) | ||||||||
Common share dividends | [1] | (36,693) | ||||||||
Shares repurchased | (206) | |||||||||
Balance at end of period at Sep. 30, 2021 | 5,335,055 | 550,000 | 2,206 | 2,336,895 | 150,122 | 155,438 | (5,316) | 6,044,843 | (3,749,011) | |
Balance at beginning of period at Dec. 31, 2021 | 5,410,656 | 550,000 | 2,206 | 2,346,179 | 56,536 | 62,155 | (5,619) | 6,204,745 | (3,749,010) | |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||
Treasury shares reissued | (30,844) | 32,389 | ||||||||
Share-based compensation expense | 39,560 | |||||||||
Unrealized gains (losses) arising during the period, net of reclassification adjustment | (1,083,017) | (1,083,017) | ||||||||
Foreign currency translation adjustment | (16,169) | (16,169) | ||||||||
Net income (loss) | 174,592 | 174,592 | ||||||||
Preferred share dividends | [1] | (22,688) | ||||||||
Common share dividends | [1] | (112,381) | ||||||||
Shares repurchased | (48,675) | |||||||||
Balance at end of period at Sep. 30, 2022 | 4,343,423 | 550,000 | 2,206 | 2,354,895 | (1,042,650) | (1,020,862) | (21,788) | 6,244,268 | (3,765,296) | |
Balance at beginning of period at Jun. 30, 2022 | 550,000 | 2,206 | 2,341,507 | (724,114) | (715,077) | (9,037) | 6,298,680 | (3,765,648) | ||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||
Treasury shares reissued | (694) | 694 | ||||||||
Share-based compensation expense | 14,082 | |||||||||
Unrealized gains (losses) arising during the period, net of reclassification adjustment | (305,785) | (305,785) | ||||||||
Foreign currency translation adjustment | (12,751) | (12,751) | ||||||||
Net income (loss) | (9,384) | (9,384) | ||||||||
Preferred share dividends | [1] | (7,563) | ||||||||
Common share dividends | [1] | (37,465) | ||||||||
Shares repurchased | (342) | |||||||||
Balance at end of period at Sep. 30, 2022 | $ 4,343,423 | $ 550,000 | $ 2,206 | $ 2,354,895 | $ (1,042,650) | $ (1,020,862) | $ (21,788) | $ 6,244,268 | $ (3,765,296) | |
[1]Refer to Note 9 'Shareholders' Equity' for details on dividends declared and paid related to the Company's common and preferred shares. |
CONSOLIDATED STATEMENTS OF CASH
CONSOLIDATED STATEMENTS OF CASH FLOWS (UNAUDITED) - USD ($) $ in Thousands | 9 Months Ended | |
Sep. 30, 2022 | Sep. 30, 2021 | |
Cash flows from operating activities: | ||
Net income | $ 174,592 | $ 413,716 |
Adjustments to reconcile net income to net cash provided by operating activities: | ||
Net investment (gains) losses | 414,231 | (113,868) |
Net realized and unrealized gains (losses) on other investments | (31,843) | (123,364) |
Amortization of fixed maturities | 24,918 | 28,601 |
Interest in income of equity method investments | (5,040) | (30,871) |
Amortization of value of business acquired | 0 | 3,083 |
Other amortization and depreciation | 52,469 | 46,967 |
Share-based compensation expense, net of cash payments | 36,097 | 25,848 |
Changes in: | ||
Accrued interest receivable | (13,796) | 2,441 |
Reinsurance recoverable on unpaid losses and loss expenses | (239,482) | (498,571) |
Reinsurance recoverable on paid losses and loss expenses | 201,729 | (71,516) |
Deferred acquisition costs | (79,994) | (113,959) |
Prepaid reinsurance premiums | (222,235) | (267,082) |
Reserve for losses and loss expenses | 29,151 | 741,277 |
Unearned premiums | 577,490 | 782,094 |
Insurance and reinsurance balances, net | 72,655 | 110,921 |
Other items | (73,932) | 74,447 |
Net cash provided by operating activities | 917,010 | 1,010,164 |
Purchases of: | ||
Fixed maturities, available for sale | (5,466,347) | (10,183,487) |
Fixed maturities, held to maturity | (247,862) | (146,150) |
Equity securities | (92,977) | (105,167) |
Mortgage loans | (113,978) | (85,202) |
Other investments | (122,628) | (194,212) |
Short-term investments | (141,821) | (135,399) |
Proceeds from the sale of: | ||
Fixed maturities, available for sale | 4,730,523 | 7,945,524 |
Equity securities | 111,148 | 10,928 |
Other investments | 134,348 | 254,580 |
Short-term investments | 71,435 | 156,674 |
Proceeds from the redemption of fixed maturities, available for sale | 850,954 | 1,381,867 |
Proceeds from the redemption of fixed maturities, held to maturity | 3,500 | 134,347 |
Proceeds from redemption of short-term investments | 20,124 | 71,665 |
Proceeds from the repayment of mortgage loans | 54,881 | 55,410 |
Purchase of other assets | (25,041) | (30,706) |
Net cash used in investing activities | (233,741) | (869,328) |
Cash flows from financing activities: | ||
Repurchase of common shares - open market | (34,987) | 0 |
Taxes paid on withholding shares | (13,688) | (10,026) |
Dividends paid - common shares | (112,888) | (109,974) |
Dividends paid - preferred shares | (22,688) | (22,688) |
Federal Home Loan Bank advances, net | 78,950 | 0 |
Net cash used in financing activities | (105,301) | (142,688) |
Effect of exchange rate changes on foreign currency cash, cash equivalents and restricted cash | (60,396) | (2,176) |
Increase (decrease) in cash, cash equivalents and restricted cash | 517,572 | (4,028) |
Cash, cash equivalents and restricted cash - beginning of period | 1,317,690 | 1,503,232 |
Cash, cash equivalents and restricted cash - end of period | 1,835,262 | 1,499,204 |
Supplemental disclosures of cash flow information: | ||
Income taxes paid | 36,431 | 43,548 |
Interest paid | $ 45,963 | $ 45,963 |
CONSOLIDATED STATEMENTS OF CA_2
CONSOLIDATED STATEMENTS OF CASH FLOWS (UNAUDITED) (PARENTHETICAL) - USD ($) $ in Millions | 9 Months Ended | |
Mar. 01, 2021 | Sep. 30, 2021 | |
Statement of Cash Flows [Abstract] | ||
Fair value of securities transferred from available for sale to fixed maturities, held to maturity | $ 405 | $ 405 |
BASIS OF PRESENTATION AND SIGNI
BASIS OF PRESENTATION AND SIGNIFICANT ACCOUNTING POLICIES | 9 Months Ended |
Sep. 30, 2022 | |
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, 2021, 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. To facilitate comparison of information across periods, certain reclassifications have been made to prior year amounts to conform to the current year's presentation. Tabular dollar and share amounts are in thousands, with the exception of per share amounts. All amounts are reported in U.S. dollars. Significant Accounting Policies There were no notable changes to the Company's significant accounting policies subsequent to its Annual Report on Form 10-K for the year ended December 31, 2021. |
SEGMENT INFORMATION
SEGMENT INFORMATION | 9 Months Ended |
Sep. 30, 2022 | |
Segment Reporting [Abstract] | |
SEGMENT INFORMATION | The Company'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. 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, and accident and health. Reinsurance The Company's reinsurance segment provides specialty reinsurance solutions to insurance companies on a worldwide basis. The product lines in this segment are catastrophe, property, credit and surety, professional lines, motor, liability, engineering, agriculture, marine and aviation, and accident and health. The Company announced its exit from catastrophe and property lines of business in June 2022 and exited the engineering line of business in 2020. The following tables present the underwriting results of the Company's reportable segments, as well as the carrying amounts of allocated goodwill and intangible assets: 2022 2021 Three months ended and at September 30, Insurance Reinsurance Total Insurance Reinsurance Total Gross premiums written $ 1,317,890 $ 389,918 $ 1,707,808 $ 1,176,500 $ 469,989 $ 1,646,489 Net premiums written 777,789 258,995 1,036,784 707,492 288,979 996,471 Net premiums earned 782,101 502,765 1,284,866 681,008 530,419 1,211,427 Other insurance related income 151 941 1,092 468 7,197 7,665 Net losses and loss expenses (519,006) (422,905) (941,911) (442,681) (468,688) (911,369) Acquisition costs (139,436) (101,075) (240,511) (123,529) (108,183) (231,712) Underwriting-related general and administrative expenses (108,072) (24,498) (132,570) (104,905) (29,921) (134,826) Underwriting income (loss) $ 15,738 $ (44,772) (29,034) $ 10,361 $ (69,176) (58,815) Net investment income 88,177 107,339 Net investment gains (losses) (146,458) 10,932 Corporate expenses (25,675) (23,134) Foreign exchange gains 135,660 28,032 Interest expense and financing costs (15,915) (15,954) Reorganization expenses (6,213) — Amortization of value of business acquired — (1,028) Amortization of intangible assets (2,729) (3,149) Income (loss) before income taxes and interest in income (loss) of equity method investments (2,187) 44,223 Income tax (expense) benefit 363 (1,186) Interest in income (loss) of equity method investments (7,560) 11,911 Net income (loss) (9,384) 54,948 Preferred share dividends 7,563 7,563 Net income (loss) available (attributable) to common shareholders $ (16,947) $ 47,385 Net losses and loss expenses ratio 66.4 % 84.1 % 73.3 % 65.0 % 88.4 % 75.2 % Acquisition cost ratio 17.8 % 20.1 % 18.7 % 18.1 % 20.4 % 19.1 % General and administrative expense ratio 13.8 % 4.9 % 12.3 % 15.4 % 5.6 % 13.1 % Combined ratio 98.0 % 109.1 % 104.3 % 98.5 % 114.4 % 107.4 % Goodwill and intangible assets $ 301,330 $ — $ 301,330 $ 312,358 $ — $ 312,358 2022 2021 Nine months ended and at September 30, Insurance Reinsurance Total Insurance Reinsurance Total Gross premiums written $ 4,114,776 $ 2,341,123 $ 6,455,899 $ 3,548,169 $ 2,574,987 $ 6,123,156 Net premiums written 2,491,120 1,675,382 4,166,502 2,128,190 1,851,025 3,979,215 Net premiums earned 2,303,640 1,516,523 3,820,163 1,928,970 1,543,120 3,472,090 Other insurance related income 470 9,528 9,998 1,435 14,827 16,262 Net losses and loss expenses (1,346,585) (1,097,611) (2,444,196) (1,131,753) (1,160,806) (2,292,559) Acquisition costs (422,979) (323,464) (746,443) (348,172) (321,482) (669,654) Underwriting-related general and administrative expenses (330,598) (82,471) (413,069) (307,777) (88,678) (396,455) Underwriting income (loss) $ 203,948 $ 22,505 226,453 $ 142,703 $ (13,019) 129,684 Net investment income 271,744 326,174 Net investment gains (losses) (414,231) 113,868 Corporate expenses (79,803) (82,365) Foreign exchange gains 236,934 4,316 Interest expense and financing costs (46,720) (46,759) Reorganization expenses (21,941) — Amortization of value of business acquired — (3,083) Amortization of intangible assets (8,188) (9,163) Income before income taxes and interest in income of equity method investments 164,248 432,672 Income tax (expense) benefit 5,304 (49,827) Interest in income of equity method investments 5,040 30,871 Net income 174,592 413,716 Preferred share dividends 22,688 22,688 Net income available to common shareholders $ 151,904 $ 391,028 Net losses and loss expenses ratio 58.5 % 72.4 % 64.0 % 58.7 % 75.2 % 66.0 % Acquisition cost ratio 18.4 % 21.3 % 19.5 % 18.0 % 20.8 % 19.3 % General and administrative expense ratio 14.3 % 5.4 % 12.9 % 16.0 % 5.8 % 13.8 % Combined ratio 91.2 % 99.1 % 96.4 % 92.7 % 101.8 % 99.1 % Goodwill and intangible assets $ 301,330 $ — $ 301,330 $ 312,358 $ — $ 312,358 |
INVESTMENTS
INVESTMENTS | 9 Months Ended |
Sep. 30, 2022 | |
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 September 30, 2022 Available for sale U.S. government and agency $ 2,524,837 $ — $ 26 $ (138,355) $ 2,386,508 Non-U.S. government 595,713 — 254 (80,272) 515,695 Corporate debt 4,688,443 (10,380) 1,167 (539,118) 4,140,112 Agency RMBS (1) 1,128,676 — 405 (113,073) 1,016,008 CMBS (2) 1,088,174 — 21 (83,187) 1,005,008 Non-agency RMBS 160,143 (91) 403 (19,099) 141,356 ABS (3) 1,520,653 (33) 230 (84,138) 1,436,712 Municipals (4) 159,296 — — (16,342) 142,954 Total fixed maturities, available for sale $ 11,865,935 $ (10,504) $ 2,506 $ (1,073,584) $ 10,784,353 At December 31, 2021 Available for sale U.S. government and agency $ 2,693,319 $ — $ 9,776 $ (20,647) $ 2,682,448 Non-U.S. government 794,705 — 10,158 (9,685) 795,178 Corporate debt 4,446,585 (236) 87,075 (38,112) 4,495,312 Agency RMBS (1) 1,065,973 — 17,397 (8,781) 1,074,589 CMBS (2) 1,223,051 — 29,827 (4,687) 1,248,191 Non-agency RMBS 185,854 (77) 2,410 (2,023) 186,164 ABS (3) 1,628,739 — 3,406 (9,665) 1,622,480 Municipals (4) 203,556 — 5,928 (646) 208,838 Total fixed maturities, available for sale $ 12,241,782 $ (313) $ 165,977 $ (94,246) $ 12,313,200 (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. The following table provides the amortized cost and fair values of the Company's fixed maturities classified as held to maturity: Amortized cost Allowance for expected credit losses Net carrying value Gross Gross unrealized losses Fair value At September 30, 2022 Held to maturity Corporate debt $ 77,200 $ — $ 77,200 $ — $ (11,347) $ 65,853 ABS (1) 613,180 — 613,180 — (15,329) 597,851 Total fixed maturities, held to maturity $ 690,380 $ — $ 690,380 $ — $ (26,676) $ 663,704 At December 31, 2021 Held to maturity Corporate debt $ 37,700 $ — $ 37,700 $ 18 $ (146) $ 37,572 ABS (1) 408,316 — 408,316 81 (936) 407,461 Total fixed maturities, held to maturity $ 446,016 $ — $ 446,016 $ 99 $ (1,082) $ 445,033 (1) Asset-backed securities ("ABS") include debt tranched securities collateralized primarily by collateralized loan obligations ("CLOs"). On March 1, 2021, the Company transferred ABS with total fair value of $405 million from fixed maturities, available for sale to fixed maturities, held to maturity. These securities, which the Company has the intent and ability to hold to maturity, were transferred in order to better align the accounting classification with their management strategy. The net unrealized gain at the date of the transfer, March 1, 2021, continues to be reported in the carrying value of the transferred securities and is amortized over the remaining life of the securities using the effective yield method. At September 30, 2022, fixed maturities, held to maturity of $690 million (2021: $446 million ) were presented net of an allowance for expected credit losse s of $nil (2021: $nil). The Company's ABS, held to maturity consist of CLO debt tranched securities. The Company uses a scenario-based approach to review its CLO debt portfolio and reviews subordination levels of these securities to determine their ability to absorb credit losses of the underlying collateral. If losses are forecast to be below the subordination level for a tranche held by the Company, the security is determined not to have a credit loss. At September 30, 2022, the allowance for credit losses expected to be recognized over the life of the Company's ABS, held to maturity w as $nil. To estimate expected credit losses for corporate debt securities, held to maturity, the Company's projected cash flows are primarily driven by assumptions regarding the severity of loss, which is a function of the probability of default and projected recovery rates. The Company's default and recovery rates are based on credit ratings, credit analysis and macroeconomic forecasts. At September 30, 2022, the allowance for credit losses expected to be recognized over the life of the Company's corporate debt, held to m aturity was $nil. 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 September 30, 2022 Equity securities Common stocks $ 13,655 $ 350 $ (2,718) $ 11,287 Preferred stocks 115 — (43) 72 Exchange-traded funds 227,847 56,783 (14,050) 270,580 Bond mutual funds 278,309 — (90,409) 187,900 Total equity securities $ 519,926 $ 57,133 $ (107,220) $ 469,839 At December 31, 2021 Equity securities Common stocks $ 1,264 $ 585 $ (485) $ 1,364 Preferred stocks 115 64 — 179 Exchange-traded funds 203,455 134,037 (677) 336,815 Bond mutual funds 324,030 544 (7,257) 317,317 Total equity securities $ 528,864 $ 135,230 $ (8,419) $ 655,675 Variable Interest Entities 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 70% of the Company's other investments. The investments in limited partnerships include hedge funds, direct lending funds, private equity funds and real estate funds and 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 classified as available for sale: Amortized cost Fair value % of Total fair value At September 30, 2022 Maturity Due in one year or less $ 642,398 $ 625,398 5.9 % Due after one year through five years 4,820,949 4,445,708 41.2 % Due after five years through ten years 2,266,898 1,911,316 17.7 % Due after ten years 238,044 202,847 1.9 % 7,968,289 7,185,269 66.7 % Agency RMBS 1,128,676 1,016,008 9.4 % CMBS 1,088,174 1,005,008 9.3 % Non-agency RMBS 160,143 141,356 1.3 % ABS 1,520,653 1,436,712 13.3 % Total $ 11,865,935 $ 10,784,353 100.0 % At December 31, 2021 Maturity Due in one year or less $ 503,716 $ 505,602 4.1 % Due after one year through five years 4,878,151 4,908,640 39.9 % Due after five years through ten years 2,478,542 2,488,478 20.2 % Due after ten years 277,756 279,056 2.3 % 8,138,165 8,181,776 66.5 % Agency RMBS 1,065,973 1,074,589 8.7 % CMBS 1,223,051 1,248,191 10.1 % Non-agency RMBS 185,854 186,164 1.5 % ABS 1,628,739 1,622,480 13.2 % Total $ 12,241,782 $ 12,313,200 100.0 % ABS classified as held to maturity with a net carrying value of $613 million (2021: $408 million) do not have a single maturity date and cannot be allocated over several maturity groupings. Corpo rate debt classified as held to maturity with a net carrying value of $73 million (2021: $34 million) is due between 3 years and 10 years and corporate debt classified as held to maturity with a net carrying value of $4 million (2021: $4 million) is due after ten years. Gross Unrealized Losses The following table summarizes fixed maturities, available for sale 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 September 30, 2022 Fixed maturities, available for sale U.S. government and agency $ 456,814 $ (29,770) $ 1,899,250 $ (108,585) $ 2,356,064 $ (138,355) Non-U.S. government 174,043 (26,531) 329,691 (53,741) 503,734 (80,272) Corporate debt 832,099 (187,235) 3,257,887 (351,883) 4,089,986 (539,118) Agency RMBS 159,089 (32,820) 802,339 (80,253) 961,428 (113,073) CMBS 195,868 (25,689) 778,826 (57,498) 974,694 (83,187) Non-agency RMBS 60,670 (11,360) 74,280 (7,739) 134,950 (19,099) ABS 495,725 (42,822) 918,205 (41,316) 1,413,930 (84,138) Municipals 25,063 (4,538) 117,826 (11,804) 142,889 (16,342) Total fixed maturities, available for sale $ 2,399,371 $ (360,765) $ 8,178,304 $ (712,819) $ 10,577,675 $ (1,073,584) At December 31, 2021 Fixed maturities, available for sale U.S. government and agency $ 101,776 $ (4,852) $ 2,014,880 $ (15,795) $ 2,116,656 $ (20,647) Non-U.S. government 11,011 (1,830) 463,498 (7,855) 474,509 (9,685) Corporate debt 152,962 (6,542) 1,681,859 (31,570) 1,834,821 (38,112) Agency RMBS 41,024 (1,678) 503,988 (7,103) 545,012 (8,781) CMBS 30,128 (1,001) 347,515 (3,686) 377,643 (4,687) Non-agency RMBS 4,481 (523) 109,937 (1,500) 114,418 (2,023) ABS 43,466 (1,152) 1,040,363 (8,513) 1,083,829 (9,665) Municipals 5,293 (137) 35,649 (509) 40,942 (646) Total fixed maturities, available for sale $ 390,141 $ (17,715) $ 6,197,689 $ (76,531) $ 6,587,830 $ (94,246) Fixed Maturities At September 30, 2022, 4,929 fixed maturities (2021: 2,333) were in an unrealized loss position of $1,074 million (2021: $94 million), of which $103 million (2021: $8 million) was related to securities below investment grade or not rated. At September 30, 2022 , 1,302 fixed maturities (2021: 344) had been in a continuous unrealized loss position for twelve months or greater and had a fair value of $2,399 million (2021 : $390 million). The unrealized loss es of $1,074 million (2021: $94 million) were due to non-credit factors and were expected to be recovered as the related securities approach maturity. At September 30, 2022, 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: September 30, 2022 December 31, 2021 Carrying value % of Total Carrying value % of Total Mortgage loans, held for investment: Commercial $ 653,700 100 % $ 594,088 100 % Total mortgage loans, held for investment $ 653,700 100 % $ 594,088 100 % The primary credit quality indicators for commercial mortgage loans are 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 lo an portfolio with a weighted average debt service coverage ratio of 2.5x (2021: 2.5x) and a weighted average loan-to-value ratio of 59% (2021: 60%). At September 30, 2022, there are no credit losses or past due amounts associated with the commercial mortgage loans held by the Company. c) Other Investments The following table provides a summary of the Company's other investments, together with additional information relating to the liquidity of each category: Fair value % of Total Redemption frequency (if currently eligible) Redemption notice period At September 30, 2022 Long/short equity funds $ — — % n/a n/a Multi-strategy funds 39,138 4 % Quarterly 60-90 days Direct lending funds 249,561 26 % Quarterly (1) 90 days Private equity funds 268,593 28 % n/a n/a Real estate funds 287,932 30 % Quarterly (2) , Annually (3) 45-90 days CLO-Equities 5,167 — % n/a n/a Other privately held investments 119,919 12 % n/a n/a Total other investments $ 970,310 100 % At December 31, 2021 Long/short equity funds $ 3,476 — % Annually 60 days Multi-strategy funds 56,012 6 % Quarterly 60-90 days Direct lending funds 289,867 31 % Quarterly (1) 90 days Private equity funds 249,974 26 % n/a n/a Real estate funds 238,222 25 % Quarterly (2) 45 days CLO-Equities 5,910 1 % n/a n/a Other privately held investments 104,521 11 % n/a n/a Total other investments $ 947,982 100 % n/a - not applicable (1) Applies to one fund with a fair va lue of $43 million (2021: $47 million). (2) Applies to one fund with a fair value of $73 million (2021: $73 million ). (3) Applies to one fund with a fair value of $26 million (2021: $nil ). 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 nine months ended September 30, 2022 and 2021, neither of these restrictions impacted the Company's redemption requests. At September 30, 2022, there w ere no hedg e fund holdings (2021: $3 million) where the Company is still within the lockup period. At September 30, 2022, the Company h ad $26 million (2021: $23 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 September 30, 2022, the Company had $192 million (2021: $224 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 four At September 30, 2022, the Company had $167 million (2021: $178 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. At September 30, 2022, the Company had $147 million (2021: $173 million) of unfunded commitments as a limited partner in real estate funds. These funds include an open-ended fund and funds with investment terms ranging from two years to the dissolution of the underlying fund. 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 which expires in October 2022, and the General Partners have the option to extend the term by up to two years. At September 30, 2022, this commitm ent remains unfunded. It is not anticipated that the full amount of this fund will be drawn. 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 September 30, Nine months ended September 30, 2022 2021 2022 2021 Fixed maturities $ 87,364 $ 63,712 $ 224,780 $ 194,426 Other investments (7,576) 41,695 32,801 124,941 Equity securities 2,490 2,724 7,349 8,322 Mortgage loans 6,256 4,426 15,323 12,967 Cash and cash equivalents 5,350 692 10,147 3,645 Short-term investments 1,004 391 1,571 590 Gross investment income 94,888 113,640 291,971 344,891 Investment expenses (6,711) (6,301) (20,227) (18,717) Net investment income $ 88,177 $ 107,339 $ 271,744 $ 326,174 f) Net Investment Gains (Losses) The following table provides an analysis of net investment gains (losses): Three months ended September 30, Nine months ended September 30, 2022 2021 2022 2021 Gross realized investment gains Fixed maturities and short-term investments $ 1,095 $ 21,036 $ 11,390 $ 126,901 Equity securities 6,997 4 6,997 5,006 Gross realized investment gains 8,092 21,040 18,387 131,907 Gross realized investment losses Fixed maturities and short-term investments (100,021) (4,206) (249,514) (32,443) Equity securities (178) — (403) (116) Gross realized investment losses (100,199) (4,206) (249,917) (32,559) Change in allowance for expected credit losses (3,210) (315) (10,191) (76) Impairment losses (1) (6,491) (22) (7,074) (22) Change in fair value of investment derivatives (2) 4,400 2,486 11,463 3,388 Net unrealized gains (losses) on equity securities (49,050) (8,051) (176,899) 11,230 Net investment gains (losses) $ (146,458) $ 10,932 $ (414,231) $ 113,868 (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 September 30, Nine months ended September 30, 2022 2021 2022 2021 Balance at beginning of period $ 7,294 $ 84 $ 313 $ 323 Expected credit losses on securities where credit losses were not previously recognized 6,320 — 13,228 64 Additions (reductions) for expected credit losses on securities where credit losses were previously recognized (592) 315 (500) 59 Impairments of securities which the Company intends to sell or more likely than not will be required to sell — — — — Securities sold/redeemed/matured (2,518) — (2,537) (47) Balance at end of period $ 10,504 $ 399 $ 10,504 $ 399 |
FAIR VALUE MEASUREMENTS
FAIR VALUE MEASUREMENTS | 9 Months Ended |
Sep. 30, 2022 | |
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 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 bonds 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, investments in limited partnerships and a variable yield security. These investments are initially valued at cost, which approximates fair value. In subsequent measurement periods, the fair values of these investments is derived from one or a combination of valuation methodologies which consider factors including recent capital raises by the investee companies, comparable precedent transaction multiples, comparable publicly traded multiples, third-party valuations, discounted cash-flow models, and other techniques that account for the industry and development stage of each investee company. The fair value of the variable yield security is determined using an externally developed discounted cash flow model. In order to assess the reasonableness of the information received from investee companies, 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 these companies. In addition, the Company engages in regular communication with management at 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. 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 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 derivatives 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 September 30, 2022 Assets Fixed maturities, available for sale U.S. government and agency $ 2,348,010 $ 38,498 $ — $ — $ 2,386,508 Non-U.S. government — 515,695 — — 515,695 Corporate debt — 4,044,161 95,951 — 4,140,112 Agency RMBS — 1,016,008 — — 1,016,008 CMBS — 1,005,008 — — 1,005,008 Non-agency RMBS — 141,356 — — 141,356 ABS — 1,436,712 — — 1,436,712 Municipals — 142,954 — — 142,954 2,348,010 8,340,392 95,951 — 10,784,353 Equity securities Common stocks 11,287 — — — 11,287 Preferred stocks 72 — — — 72 Exchange-traded funds 270,580 — — — 270,580 Bond mutual funds — 187,900 — — 187,900 281,939 187,900 — — 469,839 Other investments Hedge funds (1) — — — 39,138 39,138 Direct lending funds — — — 249,561 249,561 Private equity funds — — — 268,593 268,593 Real estate funds — — — 287,932 287,932 CLO-Equities — — 5,167 — 5,167 Other privately held investments — — 119,919 — 119,919 — — 125,086 845,224 970,310 Short-term investments — 80,260 — — 80,260 Other assets Derivative instruments (refer to Note 5) — 13,929 — — 13,929 Total Assets $ 2,629,949 $ 8,622,481 $ 221,037 $ 845,224 $ 12,318,691 Liabilities Derivative instruments (refer to Note 5) $ — $ 20,207 $ 4,286 $ — $ 24,493 Cash-settled awards (refer to Note 8) — 4,084 — — 4,084 Total Liabilities $ — $ 24,291 $ 4,286 $ — $ 28,577 (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, 2021 Assets Fixed maturities, available for sale U.S. government and agency $ 2,632,541 $ 49,907 $ — $ — $ 2,682,448 Non-U.S. government — 795,178 — — 795,178 Corporate debt — 4,452,418 42,894 — 4,495,312 Agency RMBS — 1,074,589 — — 1,074,589 CMBS — 1,248,191 — — 1,248,191 Non-agency RMBS — 186,164 — — 186,164 ABS — 1,622,480 — — 1,622,480 Municipals — 208,838 — — 208,838 2,632,541 9,637,765 42,894 — 12,313,200 Equity securities Common stocks 1,364 — — — 1,364 Preferred stocks 179 — — — 179 Exchange-traded funds 336,815 — — — 336,815 Bond mutual funds — 317,317 — — 317,317 338,358 317,317 — — 655,675 Other investments Hedge funds (1) — — — 59,488 59,488 Direct lending funds — — — 289,867 289,867 Private equity funds — — — 249,974 249,974 Real estate funds — — — 238,222 238,222 CLO-Equities — — 5,910 — 5,910 Other privately held investments — — 104,521 — 104,521 — — 110,431 837,551 947,982 Short-term investments — 31,063 — — 31,063 Other assets Derivative instruments (refer to Note 5) — 3,116 — — 3,116 Total Assets $ 2,970,899 $ 9,989,261 $ 153,325 $ 837,551 $ 13,951,036 Liabilities Derivative instruments (refer to Note 5) $ — $ 14,987 $ 5,630 $ — $ 20,617 Cash-settled awards (refer to Note 8) — 9,091 — — 9,091 Total Liabilities $ — $ 24,078 $ 5,630 $ — $ 29,708 (1) Includes Long/short equity and Multi-strategy funds. The following table quantifies the significant unobservable inputs used in estimating fair values at September 30, 2022 of investments classified as Level 3 in the fair value hierarchy: Asset / Liability - Fair value Valuation technique Unobservable input Amount / Range Weighted average Other investments - CLO-Equities $ 5,167 Discounted cash flow Default rate 4.5% 4.5% Loss severity rate 50.0% 50.0% Collateral spread 3.0% 3.0% Estimated maturity date 6 years 6 years Other investments - Other privately held investments $ 15,910 Discounted cash flow Discount rate 5.4% 5.4% Default rate 0.5% 0.5% Loss absorption yield 1.0% 1.0% Estimated maturity date 2-3 years 3 years Derivatives - Other underwriting-related derivatives $ (4,286) Discounted cash flow Discount rate 4.1% 4.1% Note: Fixed maturities of $96 million that are classified as Level 3 are excluded from the above table as these securities are priced using broker-dealer quotes. In addition, other privately held investments of $104 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. Other Investments - Other Privately Held Securities Other privately held securities are initially valued at cost which approximates fair value. In subsequent measurement periods, the fair value of the variable yield security was determined using an externally developed discounted cash flow model. This model includes inputs that are specific to that investment. The inputs used in the fair value measurement include an appropriate discount rate, default rate, loss absorption rate and estimated maturity date. The selection of an appropriate discount rate is judgmental and is the most significant unobservable input used in the valuation of this investment. A significant increase (decrease) in this input in isolation could result in significantly lower (higher) fair value measurement for this 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, as well as investee specific information that may impact future cash flows. 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 table presents 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 September 30, 2022 Fixed maturities, available for sale Corporate debt $ 72,830 $ — $ — $ (34) $ (3,977) $ 27,600 $ — $ (468) $ 95,951 $ — CMBS — — — — — — — — — — ABS — — — — — — — — — — 72,830 — — (34) (3,977) 27,600 — (468) 95,951 — Other investments CLO-Equities 4,808 — — 890 — — — (531) 5,167 890 Other privately held investments 115,970 — — 1,249 — 2,700 — — 119,919 1,249 120,778 — — 2,139 — 2,700 — (531) 125,086 2,139 Total assets $ 193,608 $ — $ — $ 2,105 $ (3,977) $ 30,300 $ — $ (999) $ 221,037 $ 2,139 Other liabilities Derivative instruments $ 4,708 $ — $ — $ (422) $ — $ — $ — $ — $ 4,286 $ (422) Total liabilities $ 4,708 $ — $ — $ (422) $ — $ — $ — $ — $ 4,286 $ (422) Nine months ended September 30, 2022 Fixed maturities, available for sale Corporate debt $ 42,894 $ — $ — $ (34) $ (10,600) $ 64,832 $ — $ (1,141) $ 95,951 $ — CMBS — — — — — — — — — — ABS — — — — — — — — — — 42,894 — — (34) (10,600) 64,832 — (1,141) 95,951 — Other investments CLO-Equities 5,910 — — 2,566 — — — (3,309) 5,167 2,566 Other privately held investments 104,521 — — (2,242) — 19,640 — (2,000) 119,919 (2,242) 110,431 — — 324 — 19,640 — (5,309) 125,086 324 Total assets $ 153,325 $ — $ — $ 290 $ (10,600) $ 84,472 $ — $ (6,450) $ 221,037 $ 324 Other liabilities Derivative instruments $ 5,630 $ — $ — $ (1,344) $ — $ — $ — $ — $ 4,286 $ (1,344) Total liabilities $ 5,630 $ — $ — $ (1,344) $ — $ — $ — $ — $ 4,286 $ (1,344) (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 and liabilities held at the reporting date. Opening Transfers Transfers Included in net income (1) Included in OCI (2) Purchases Sales Settlements/ Closing Change in unrealized gains/(losses) (3) Three months ended September 30, 2021 Fixed maturities, available for sale Corporate debt $ 22,726 $ — $ — $ — $ (121) $ 25,000 $ — $ — $ 47,605 $ — CMBS — — — — — — — — — — ABS 12,560 — (12,582) — 22 — — — — — 35,286 — (12,582) — (99) 25,000 — — 47,605 — Other investments CLO-Equities 7,002 — — 356 — — — (1,061) 6,297 356 Other privately held investments 64,786 — — 213 — 3,436 — (2,923) 65,512 213 71,788 — — 569 — 3,436 — (3,984) 71,809 569 Total assets $ 107,074 $ — $ (12,582) $ 569 $ (99) $ 28,436 $ — $ (3,984) $ 119,414 $ 569 Other liabilities Derivative instruments $ 8,117 $ — $ — $ (398) $ — $ — $ — $ — $ 7,719 $ (398) Total liabilities $ 8,117 $ — $ — $ (398) $ — $ — $ — $ — $ 7,719 $ (398) Nine months ended September 30, 2021 Fixed maturities, available for sale Corporate debt $ 2,504 $ 7,000 $ — $ — $ (199) $ 38,300 $ — $ — $ 47,605 $ — CMBS 1,740 — — — 13 — — (1,753) — — ABS 10,665 18,566 (28,789) — 58 — — (500) — — 14,909 25,566 (28,789) — (128) 38,300 — (2,253) 47,605 — Other investments CLO-Equities 6,173 — — 2,337 — — — (2,213) 6,297 2,337 Other privately held investments 70,011 — — 18,694 — 6,710 (26,980) (2,923) 65,512 1,314 76,184 — — 21,031 — 6,710 (26,980) (5,136) 71,809 3,651 Total assets $ 91,093 $ 25,566 $ (28,789) $ 21,031 $ (128) $ 45,010 $ (26,980) $ (7,389) $ 119,414 $ 3,651 Other liabilities Derivative instruments $ 9,122 $ — $ — $ (1,403) $ — $ — $ — $ — $ 7,719 $ (1,403) Total liabilities $ 9,122 $ — $ — $ (1,403) $ — $ — $ — $ — $ 7,719 $ (1,403) (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 and liabilities 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 and nine months ended September 30, 2022. There were no transfers into Level 3 from Level 2 during the three months ended September 30, 2021. The transfers into Level 3 from Level 2 during the nine months ended September 30, 2021 were primarily due to the lack of observable market inputs and multiple quotes from pricing vendors and broker-dealers for certain fixed maturities. Transfers out of Level 3 into Level 2 There were no transfers out of Level 3 into Level 2 during the three and nine months ended September 30, 2022. The transfers out of Level 3 into Level 2 during the three and nine months ended September 30, 2021 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. For hedge funds, direct lending funds, private equity funds and real estate 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 September 30, 2022 and December 31, 2021 all funds measured at fair value using NAVs are reported generally on a one quarter lag. 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 September 30, 2022, 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 fair values due to their short maturities. As these financial instruments are not actively traded, their fair values are classified as Level 2. At September 30, 2022, the Company's fixed maturities held to maturity, were recorded at amortized cost with a carrying value of $690 million (2021: $446 million) and a fair value of $664 million (2021: $445 million). 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, their fair values are classified as Level 2. At September 30, 2022, the carrying value of mortgage loans, held for investment, approximated 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 September 30, 2022, the Company's debt was recorded at amortized cost with a carrying value of $1,313 million (2021: $1,311 million) and a fair value of $1,136 million (2021: $1,453 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. At September 30, 2022, Federal Home Loan Bank advances were re |
DERIVATIVE INSTRUMENTS
DERIVATIVE INSTRUMENTS | 9 Months Ended |
Sep. 30, 2022 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
DERIVATIVE INSTRUMENTS | The following table provides the balance sheet classifications of derivatives recorded at fair value: September 30, 2022 December 31, 2021 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 $ 151,002 $ 1,710 $ 14 $ 184,187 $ 13 $ 1,463 Relating to underwriting portfolio: Foreign exchange forward contracts 1,288,186 12,219 20,193 1,258,836 3,103 13,524 Other underwriting-related contracts 50,000 — 4,286 50,000 — 5,630 Total derivatives $ 13,929 $ 24,493 $ 3,116 $ 20,617 (1) Derivative assets and derivative liabilities 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: September 30, 2022 December 31, 2021 Gross amounts Gross amounts offset Net amounts (1) Gross amounts Gross amounts offset Net amounts (1) Derivative assets $ 32,410 $ (18,481) $ 13,929 $ 9,047 $ (5,931) $ 3,116 Derivative liabilities $ 42,974 $ (18,481) $ 24,493 $ 26,548 $ (5,931) $ 20,617 (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 includes 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 following table provides the total unrealized and realized gains (losses) recognized in net income for derivatives not designated as hedges: Consolidated statement of operations line item that includes gain (loss) recognized in net income Three months ended September 30, Nine months ended September 30, 2022 2021 2022 2021 Relating to investment portfolio: Foreign exchange forward contracts Net investment gains (losses) $ 4,400 $ 2,486 $ 11,463 $ 3,388 Relating to underwriting portfolio: Foreign exchange forward contracts Foreign exchange gains (losses) (36,577) (10,081) (95,700) (36,741) Other underwriting-related contracts Other insurance related income (loss) 421 399 1,343 1,404 Total $ (31,756) $ (7,196) $ (82,894) $ (31,949) |
RESERVE FOR LOSSES AND LOSS EXP
RESERVE FOR LOSSES AND LOSS EXPENSES | 9 Months Ended |
Sep. 30, 2022 | |
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 reserve for unpaid losses and loss expenses: Nine months ended September 30, 2022 2021 Gross reserve for losses and loss expenses, beginning of period $ 14,653,094 $ 13,926,766 Less reinsurance recoverable on unpaid losses and loss expenses, beginning of period (5,017,611) (4,496,641) Net reserve for unpaid losses and loss expenses, beginning of period 9,635,483 9,430,125 Net incurred losses and loss expenses related to: Current year 2,461,828 2,315,697 Prior years (17,632) (23,138) 2,444,196 2,292,559 Net paid losses and loss expenses related to: Current year (269,466) (263,969) Prior years (1,900,366) (1,778,479) (2,169,832) (2,042,448) Foreign exchange and other (501,914) (10,885) Net reserve for unpaid losses and loss expenses, end of period 9,407,933 9,669,351 Reinsurance recoverable on unpaid losses and loss expenses, end of period 5,244,263 4,989,645 Gross reserve for losses and loss expenses, end of period $ 14,652,196 $ 14,658,996 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 nine months ended September 30, 2022, the Company recognized catastrophe and weather-related losses, net of reinstatement premiums, of $339 million (2021: $389 million). At September 30, 2021, foreign exchange and other included a reduction in reinsurance recoverable on unpaid losses of $49 million related to the Reinsurance to Close of the 2018 year of account of Syndicate 2007. Estimates for Significant Catastrophe Events At September 30, 2022, 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, the level of management judgment involved in arriving at estimated net reserves for losses and loss expenses. These events include Hurricane Ian, June European Convective Storms and the Russia-Ukraine war in 2022, Hurricane Ida, U.S. Winter Storms Uri and Viola and July European Floods in 2021, the COVID-19 pandemic, Hurricanes Laura, Sally, Zeta and Delta, the Midwest derecho and wildfires across the West Coast of the United States in 2020, Japanese Typhoons Hagibis, Faxai and Tapah, Hurricane Dorian and the Australia Wildfires in 2019 and Hurricanes Michael and Florence, California Wildfires and Typhoon Jebi in 2018. As a result, actual losses for these events may ultimately differ materially from current estimates. 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 September 30, Nine months ended September 30, 2022 2021 2022 2021 Favorable (Adverse) Favorable (Adverse) Favorable (Adverse) Favorable (Adverse) Insurance $ 2,558 $ 5,418 $ 12,396 $ 13,351 Reinsurance 2,177 5,594 5,236 9,787 Total $ 4,735 $ 11,012 $ 17,632 $ 23,138 The following sections provide further details on net prior year reserve development by segment, reserving class and accident year: Insurance Segment: The following table maps 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 Prior year reserve development by reserve class was as follows: Three months ended September 30, Nine months ended September 30, 2022 2021 2022 2021 Favorable (Adverse) Favorable (Adverse) Favorable (Adverse) Favorable (Adverse) Property and other $ 5,211 $ 12,486 $ 18,290 $ 63,167 Marine 17,346 4,189 30,239 23,411 Aviation 3,203 3,958 7,888 9,802 Credit and political risk 8,106 7,610 13,288 6,294 Professional lines (2,747) (20,759) (3,937) (68,405) Liability (28,561) (2,066) (53,372) (20,918) Total $ 2,558 $ 5,418 $ 12,396 $ 13,351 For the three months ended September 30, 2022, the Company recognized $3 million of net favorable prior year reserve development, the principal components of which were: • $17 million of net favorable prior year reserve development on marine business primarily due to better than expected loss emergence attributable to the cargo and specie, liability, and offshore energy books of business mainly related to the 2020 and 2021 accident years. • $8 million of net favorable prior year reserve development on credit and political risk business primarily due to better than expected loss emergence mainly related to the 2016 through 2020 accident years. • $5 million of net favorable prior year reserve development on property and other business primarily due to reserve reductions attributable to 2020 catastrophe events, partially offset by reserve strengthening within the U.S. programs book of business mainly related to the 2021 accident year, and the accident and health line of business mainly related to the 2020 and 2021 accident years. • $29 million of net adverse prior year reserve development on liability business primarily due to reserve strengthening within the U.S. programs book of business mainly related to the 2018 and 2019 accident years and the U.S. primary casualty and U.S. excess casualty books of business mainly related to the 2017 through 2021 accident years. For the three months ended September 30, 2021, the Company recognized $5 million of net favorable prior year reserve development, the principal components of which were: • $12 million of net favorable prior year reserve development on property and other business primarily due to better than expected loss emergence attributable to 2017 to 2020 catastrophe events, and the global property and E&S property books of business related to the 2020 accident year. • $8 million of net favorable prior year reserve development on credit and political risk business primarily due to better than expected loss emergence mainly related to the 2019 and 2020 accident years. • $4 million of net favorable prior year reserve development on marine business primarily due to better than expected loss emergence attributable to the cargo and specie books of business mainly related to the 2018 and 2020 accident years. • $4 million of net favorable prior year reserve development on aviation business primarily due to better than expected loss emergence mainly related to the 2020 accident year. • $21 million of net adverse prior year reserve development on professional lines business primarily due to reserve strengthening within the International cyber program book of business mainly related to the 2019 accident year, the International management liability solutions book of business mainly related to the 2016 through 2019 accident years and the U.S. professional firms book of business mainly related to the 2018 and 2019 accident years. For the nine months ended September 30, 2022, we recognized $12 million of net favorable prior year reserve development, the principal components of which were: • $30 million of net favorable prior year reserve development on marine business primarily due to better than expected loss emergence attributable to the cargo and specie, and offshore energy books of business mainly related to the 2018, 2020 and 2021 accident years. • $18 million of net favorable prior year reserve development on property and other business primarily due to better than expected loss emergence attributable to 2018 and 2020 catastrophe events, and decreases in loss estimates attributable to specific large claims related to the 2017 accident year. • $13 million of net favorable prior year reserve development on credit and political risk business primarily due to better than expected loss emergence mainly related to the 2017, 2018 and 2020 accident years. • $8 million of net favorable prior year reserve development on aviation business primarily due to better than expected loss emergence mainly related to the 2021 accident year. • $53 million of net adverse prior year reserve development on liability business primarily due to reserve strengthening within the U.S programs book of business mainly related to the 2017 through 2021 accident years and an increase in the loss estimate attributable to a specific large claim related to the 2017 accident year. For the nine months ended September 30, 2021, we recognized $13 million of net favorable prior year reserve development, the principal components of which were: • $63 million of net favorable prior year reserve development on property and other business primarily due to decreases in loss estimates attributable to specific large claims related to the 2011 and 2012 accident years, better than expected loss emergence attributable to 2017 to 2020 catastrophe events, the global property and E&S property books of business related to the 2020 accident year, and the accident and health book of business related to the 2019 and 2020 accident years. • $23 million of net favorable prior year reserve development on marine business primarily due to better than expected loss emergence attributable to cargo, offshore energy and specie books of business mainly related to the 2017, 2018 and 2020 accident years and decreases in loss estimates attributable to specific large claims related to 2012 accident year. • $10 million of net favorable prior year reserve development on aviation business primarily due to better than expected loss emergence attributable to the International book of business related to the 2020 accident year. • $6 million of net favorable prior year reserve development on credit and political risk business primarily due to better than expected loss emergence mainly related to the 2019 accident year. • $68 million of net adverse prior year reserve development on professional lines business primarily due to reserve strengthening within the International management liability solutions and financial institutions books of businesses related to the 2016 through 2019 accident years, the professional firms book of business mainly related to the 2018 and 2019 accident years, the International cyber book of business mainly related to the 2019 accident year, the U.S. commercial management solutions book of business mainly related to the 2018 and 2019 accident years and the European program and European management liability solutions books of business mainly related to the 2018 accident year. • $21 million of net adverse prior year reserve development on liability business primarily due to reserve strengthening within the program book of business mainly related to the 2018 and 2019 accident years. Reinsurance Segment: The following table maps lines of business to reserve classes and the expected claim tails: 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 aviation X Accident and health X Prior year reserve development by reserve class was as follows: Three months ended September 30, Nine months ended September 30, 2022 2021 2022 2021 Favorable Favorable Favorable Favorable Property and other $ 12,794 $ (5,486) $ 44,127 $ 7,792 Credit and surety 5,905 8,623 16,952 (1,231) Professional lines (11,431) (3,244) (41,954) (14,048) Motor 6,849 8,345 8,979 38,431 Liability (11,940) (2,645) (22,868) $ (21,157) Total $ 2,177 $ 5,594 $ 5,236 $ 9,787 For the three months ended September 30, 2022, the Company recognized $2 million of net favorable prior year reserve development, the principal components of which were: • $13 million of net favorable prior year development on property and other business primarily due to better than expected loss emergence attributable to 2018 catastrophe events, decreases in loss estimates attributable to specific large claims within the property line of business related to the 2019 through 2021 accident years, and better than expected loss emergence attributable to the accident and health line of business mainly related to the 2019 through 2021 accident years. • $7 million of net favorable prior year reserve development on motor business primarily due to better than expected loss emergence mainly related to the 2017 and 2018 accident years. • $6 million of net favorable prior year reserve development on credit and surety business primarily due to better than expected loss emergence mainly related to the 2015, 2018 and 2019 accident years. • $12 million of net adverse prior year development on liability business primarily due to reserve strengthening within the U.S. multiline/regional and U.S. Casualty book of business mainly related to 2016 and older accident years. • $11 million of net adverse prior year development on professional lines business primarily due to reserve strengthening within the U.S. public D&O and the U.S. proportional books of business mainly related to 2017 and older accident years. For the three months ended September 30, 2021, the Company recognized $6 million of net favorable prior year reserve development, the principal components of which were: • $9 million of net favorable prior year reserve development on credit and surety business primarily due to better than expected loss emergence attributable to the European surety book of business related to several accident years. • $8 million of net favorable prior year reserve development on motor business primarily due to proportional treaty business mainly related to the 2018 and 2019 accident years. • $5 million of net adverse prior year development on property and other business primarily due to reserve strengthening within the engineering line of business mainly related to the 2016 to 2019 accident years, and attributable to 2017 and 2020 catastrophe events, partially offset by better than expected loss emergence attributable to the agriculture book of business mainly related to the 2020 accident year. For the nine months ended September 30, 2022, we recognized $5 million of net favorable prior year reserve development, the principal components of which were: • $44 million of net favorable prior year development on property and other business primarily due to better than expected loss emergence attributable to 2018 through 2021 catastrophe events, the agriculture line of business mainly related to the 2021 accident year, and the accident and health line of business mainly related to the 2019 through 2021 accident years. • $17 million of net favorable prior year reserve development on credit and surety business primarily due to better than expected loss emergence mainly related to the 2015, 2016, 2018 and 2019 accidents years. • $9 million of net favorable prior year reserve development on motor business primarily due to better than expected loss emergence mainly related to the 2018 and 2019 accident years. • $42 million of net adverse prior year development on professional lines business primarily due to increases in loss estimates attributable to one cedant related to the 2016 to 2018 accident years, and a specific large claim related to the 2017 accident year, and reserve strengthening within the U.S. public D&O and the U.S. proportional books of business related to 2017 and older accident years. • $23 million of net adverse prior year development on liability business primarily due to worse than expected loss emergence within the U.S. book of business related to the 2016 and older accident years, and increases in loss estimates attributable to specific large claims related to the 2003, 2015, 2018 and 2021 accident years. For the nine months ended September 30, 2021, we recognized $10 million of net favorable prior year reserve development, the principal components of which were: • $38 million of net favorable prior year reserve development on motor business primarily due to proportional and non- proportional treaty business mainly related to 2016 and older accident years. • $8 million of net favorable prior year development on property and other business primarily due to decreases in the loss estimates attributable to specific claims related to the 2009, 2019 and 2020 accident years, better than expected loss emergence attributable to 2017 to 2019 catastrophe events, and the accident and health book of business mainly related to the 2020 accident year, partially offset by reserve strengthening within the engineering line of business mainly related to the 2016 to 2019 accident years, and attributable to 2020 catastrophe events. • $21 million of net adverse prior year reserve development on liability business primarily due to increases in the loss estimates attributable to specific large claims related to the 2017 accident year and reserve strengthening within the commercial auto liability and U.S. multiline/regional books of business related to the 2018 accident year. • $14 million of net adverse prior year reserve development on professional lines business primarily due to reserve strengthening within the U.S. and European books of business related to the 2015 through 2018 accident year and increases in the loss estimates attributable to specific large claims related to the 2015 to 2017 accident years. |
EARNINGS PER COMMON SHARE
EARNINGS PER COMMON SHARE | 9 Months Ended |
Sep. 30, 2022 | |
Earnings Per Share [Abstract] | |
EARNINGS PER COMMON SHARE | The following table presents a comparison of earnings per common share and earnings per diluted common share: Three months ended September 30, Nine months ended September 30, 2022 2021 2022 2021 Earnings (loss) per common share Net income (loss) $ (9,384) $ 54,948 $ 174,592 $ 413,716 Less: Preferred share dividends 7,563 7,563 22,688 22,688 Net income (loss) available (attributable) to common shareholders (16,947) 47,385 151,904 391,028 Weighted average common shares outstanding 84,660 84,771 84,930 84,684 Earnings (loss) per common share $ (0.20) $ 0.56 $ 1.79 $ 4.62 Earnings (loss) per diluted common share Net income (loss) available (attributable) to common shareholders $ (16,947) $ 47,385 $ 151,904 $ 391,028 Weighted average common shares outstanding 84,660 84,771 84,930 84,684 Share-based compensation plans — 565 744 507 Weighted average diluted common shares outstanding 84,660 85,336 85,674 85,191 Earnings (loss) per diluted common share $ (0.20) $ 0.56 $ 1.77 $ 4.59 Weighted average anti-dilutive shares excluded from the dilutive computation 160 477 432 873 (1) Due to the net loss attributable to common shareholders recognized for the three months ended September 30, 2022, the share equivalents were anti-dilutive. |
SHARE-BASED COMPENSATION
SHARE-BASED COMPENSATION | 9 Months Ended |
Sep. 30, 2022 | |
Share-Based Payment Arrangement [Abstract] | |
SHARE-BASED COMPENSATION | Performance Restricted Stock Units Performance Restricted Stock Units granted in 2022 Performance restricted stock units granted in 2022 include a market condition which is the Company’s total shareholder return relative to its peer group ("Relative TSR") over the performance period. Relative TSR is calculated in accordance with the terms of the applicable award agreement. If performance goals are achieved, these awards will cliff vest at the end of a three-year performance period within a range of 0% to 200% of target. Performance restricted stock units granted in 2022 were share-settled awards. Valuation assumptions The fair value of performance restricted stock units granted in 2022 was measured on the grant date using a Monte Carlo simulation model. The following table provides details of the significant inputs used in the Monte Carlo simulation model: Nine months ended September 30, 2022 2021 Expected volatility 33.44% 32.99% Expected term (in years) 3.0 3.0 Expected dividend yield n/a n/a Risk-free interest rate 1.26% 0.17% Beginning share price: The beginning share price was based on the average closing share price over the 10 trading days preceding and including the start of the performance period. Ending share price: The ending share price was based on the average projected closing share price over the 10 trading days preceding and including the end of the performance period. Expected volatility: The expected volatility is estimated based on the Company's historical share price volatility. Expected term: Performance for awards granted in 2022 is measured from January 1, 2022 to December 31, 2024, and performance for awards granted in 2021 is measured from January 1, 2021 to December 31, 2023. Expected dividend yield: The expected dividend yield is not applicable to the performance restricted stock units as dividends are paid at the end of the vesting period and do not affect the value of the performance restricted stock units. Risk-free interest rate: The risk free rate is estimated based on the yield on a U.S. treasury zero-coupon bond issued with a remaining term equal to the vesting period of the performance restricted stock units. Compensation expense associated with performance restricted stock units granted in 2022 and 2021 is determined on the grant date based on the fair value calculated by the Monte Carlo simulation model, and is recognized on a straight-line basis over the requisite service period. Share-Settled Awards The following table provides an activity summary of the Company's share-settled restricted stock units for the nine months ended September 30, 2022: Share-Settled Performance Share-Settled Service Number of restricted stock units Weighted Number of restricted stock units Weighted average Non-vested restricted stock units - beginning of period 311 $ 54.75 2,062 $ 51.59 Granted 140 68.63 989 56.11 Vested (100) 54.70 (682) 52.66 Forfeited — — (180) 53.05 Non-vested restricted stock units - end of period 351 $ 60.15 2,189 $ 53.18 Cash-Settled awards The following table provides an activity summary of the Company's cash-settled restricted stock units for the nine months ended September 30, 2022: Cash-Settled Service Number of Non-vested restricted stock units - beginning of period 215 Granted — Vested (143) Forfeited (8) Non-vested restricted stock units - end of period 64 The following table provides additional information related to share-based compensation: Nine months ended September 30, 2022 2021 Share-based compensation expense (1) $ 43,595 $ 37,394 Tax benefits associated with share-based compensation expense $ 7,468 $ 6,248 Liability for cash-settled restricted stock units (2) $ 4,084 $ 6,697 Fair value of restricted stock units vested (3) $ 49,239 $ 42,582 Unrecognized share-based compensation expense $ 91,810 $ 95,636 Expected weighted average period associated with the recognition of unrecognized share-based compensation expense 2.5 years 2.6 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 | 9 Months Ended |
Sep. 30, 2022 | |
Equity [Abstract] | |
SHAREHOLDERS' EQUITY | The following table presents changes in common shares issued and outstanding: Three months ended September 30, Nine months ended September 30, 2022 2021 2022 2021 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 (91,925) (91,813) (91,806) (92,227) Shares repurchased (6) (4) (891) (201) Shares reissued 17 10 783 621 Total treasury shares at end of period (91,914) (91,807) (91,914) (91,807) Total shares outstanding 84,666 84,773 84,666 84,773 Treasury Shares The following table presents common shares repurchased from shares held in Treasury: Three months ended September 30, Nine months ended September 30, 2022 2021 2022 2021 In the open market: (1) Total shares — — 634 — Total cost $ — $ — $ 34,987 $ — Average price per share (2) $ — $ — $ 55.22 $ — From employees: (3) Total shares 6 4 257 201 Total cost $ 342 $ 206 $ 13,688 $ 10,025 Average price per share (2) $ 53.78 $ 49.91 $ 53.12 $ 49.87 Total shares repurchased: Total shares 6 4 891 201 Total cost $ 342 $ 206 $ 48,675 $ 10,025 Average price per share (2) $ 53.78 $ 49.91 $ 54.61 $ 49.87 (1) Shares are repurchased pursuant to the Company's Board-authorized share repurchase program announced in December 2021, effective January 1, 2022 through to December 31, 2022. (2) Calculated using whole numbers. (3) Shares are repurchased from employees to facilitate the satisfaction of their personal withholding tax liabilities that arise on the vesting of share-settled restricted stock units. 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 September 30, 2022 Common shares $ 0.43 $ — $ 0.43 Series E preferred shares $ 34.38 $ — $ 34.38 Three months ended September 30, 2021 Common shares $ 0.42 $ — $ 0.42 Series E preferred shares $ 34.38 $ — $ 34.38 Nine months ended September 30, 2022 Common shares $ 1.29 $ 0.86 $ 0.43 Series E preferred shares $ 103.13 $ 68.75 $ 34.38 Nine months ended September 30, 2021 Common shares $ 1.26 $ 0.84 $ 0.42 Series E preferred shares $ 103.13 $ 68.75 $ 34.38 |
DEBT AND FINANCING ARRANGEMENTS
DEBT AND FINANCING ARRANGEMENTS | 9 Months Ended |
Sep. 30, 2022 | |
Debt Disclosure [Abstract] | |
DEBT AND FINANCING ARRANGEMENTS | Letters of CreditEffective March 31, 2022, certain of AXIS Capital’s operating subsidiaries (the "Participating Subsidiaries") amended their existing $650 million secured letter of credit facility to extend the expiration date of the $150 million secured letter of credit facility to March 31, 2023, with each letter of credit provided pursuant to such credit facility having a tenor not to extend beyond March 31, 2024. The terms and conditions of the $500 million secured letter of credit facility remain unchanged. |
FEDERAL HOME LOAN BANK ADVANCES
FEDERAL HOME LOAN BANK ADVANCES | 9 Months Ended |
Sep. 30, 2022 | |
Debt Disclosure [Abstract] | |
FEDERAL HOME LOAN BANK ADVANCES | The Company's subsidiaries, AXIS Insurance Company and AXIS Surplus Insurance Company are members of the Federal Home Loan Bank of Chicago ("FHLB"). Members may borrow from the FHLB at competitive rates subject to certain conditions. At September 30, 2022, the Company had admitted assets of approximately $3 billion which provides borrowing capacity of up to approximately $750 million. Conditions of membership include maintaining sufficient collateral deposits for funding, a requirement to maintain member stock at 0.4% of mortgage-related assets at December 31st of the prior year, and a requirement to purchase additional member stock of 2.0% or 4.5% of any amount borrowed. |
COMMITMENTS AND CONTINGENCIES
COMMITMENTS AND CONTINGENCIES | 9 Months Ended |
Sep. 30, 2022 | |
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. |
OTHER COMPREHENSIVE INCOME (LOS
OTHER COMPREHENSIVE INCOME (LOSS) | 9 Months Ended |
Sep. 30, 2022 | |
Equity [Abstract] | |
OTHER COMPREHENSIVE INCOME (LOSS) | The following table presents the tax effects allocated to each component of other comprehensive income (loss): 2022 2021 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 September 30, Available for sale investments: Unrealized gains (losses) arising during the period for which an allowance for expected credit losses has not been recognized $ (393,848) $ (32) $ (393,880) $ (65,321) $ 7,143 $ (58,178) Unrealized gains (losses) arising during the period for which an allowance for expected credit losses has been recognized (10,990) 306 (10,684) 370 — 370 Adjustment for reclassification of net realized (gains) losses and impairment losses recognized in net income (loss) 108,351 (9,572) 98,779 (16,438) 1,858 (14,580) Unrealized gains (losses) arising during the period, net of reclassification adjustment (296,487) (9,298) (305,785) (81,389) 9,001 (72,388) Foreign currency translation adjustment (12,751) — (12,751) (3,807) — (3,807) Total comprehensive income (loss), net of tax $ (309,238) $ (9,298) $ (318,536) $ (85,196) $ 9,001 $ (76,195) Nine months ended September 30, Available for sale investments: Unrealized gains (losses) arising during the period for which an allowance for expected credit losses has not been recognized $ (1,340,927) $ 81,445 $ (1,259,482) $ (204,587) $ 25,440 $ (179,147) Unrealized gains (losses) arising during the period for which an allowance for expected credit losses has been recognized (56,577) 3,269 (53,308) 131 — 131 Adjustment for reclassification of net realized (gains) losses and impairment losses recognized in net income (loss) 255,081 (25,308) 229,773 (94,018) 7,837 (86,181) Unrealized gains (losses) arising during the period, net of reclassification adjustment (1,142,423) 59,406 (1,083,017) (298,474) 33,277 (265,197) Foreign currency translation adjustment (16,169) — (16,169) 924 — 924 Total other comprehensive income (loss), net of tax $ (1,158,592) $ 59,406 $ (1,099,186) $ (297,550) $ 33,277 $ (264,273) 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 September 30, Nine months ended September 30, 2022 2021 2022 2021 Unrealized gains (losses) on available for sale investments Other realized gains (losses) $ (101,860) $ 16,460 $ (248,007) $ 94,040 Impairment losses (6,491) (22) (7,074) (22) Total before tax (108,351) 16,438 (255,081) 94,018 Income tax (expense) benefit 9,572 (1,858) 25,308 (7,837) Net of tax $ (98,779) $ 14,580 $ (229,773) $ 86,181 (1) Amounts in parentheses are charges to net income (loss). |
RELATED PARTY TRANSACTIONS
RELATED PARTY TRANSACTIONS | 9 Months Ended |
Sep. 30, 2022 | |
Related Party Transactions [Abstract] | |
RELATED PARTY TRANSACTIONS | At September 30, 2022, the Company has invested $17 million in a Stone Point Credit Corporation bond. At September 30, 2022, the Company has invested $20 million in co-investments with Gordon Brothers, an affiliate of Stone Point. |
REORGANIZATION EXPENSES
REORGANIZATION EXPENSES | 9 Months Ended |
Sep. 30, 2022 | |
Restructuring and Related Activities [Abstract] | |
REORGANIZATION EXPENSES | For the three and nine months ended September 30, 2022, reorganization expenses were $6 million and $22 million, respectively (2021: $nil), attributable to compensation-related costs associated with the termination of certain employees and software asset impairments, mainly related to the Company's exit from catastrophe and property reinsurance lines of business. |
BASIS OF PRESENTATION AND SIG_2
BASIS OF PRESENTATION AND SIGNIFICANT ACCOUNTING POLICIES (Policies) | 9 Months Ended |
Sep. 30, 2022 | |
Accounting Policies [Abstract] | |
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, 2021, 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. To facilitate comparison of information across periods, certain reclassifications have been made to prior year amounts to conform to the current year's presentation. |
SEGMENT INFORMATION (Tables)
SEGMENT INFORMATION (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
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 amounts of allocated goodwill and intangible assets: 2022 2021 Three months ended and at September 30, Insurance Reinsurance Total Insurance Reinsurance Total Gross premiums written $ 1,317,890 $ 389,918 $ 1,707,808 $ 1,176,500 $ 469,989 $ 1,646,489 Net premiums written 777,789 258,995 1,036,784 707,492 288,979 996,471 Net premiums earned 782,101 502,765 1,284,866 681,008 530,419 1,211,427 Other insurance related income 151 941 1,092 468 7,197 7,665 Net losses and loss expenses (519,006) (422,905) (941,911) (442,681) (468,688) (911,369) Acquisition costs (139,436) (101,075) (240,511) (123,529) (108,183) (231,712) Underwriting-related general and administrative expenses (108,072) (24,498) (132,570) (104,905) (29,921) (134,826) Underwriting income (loss) $ 15,738 $ (44,772) (29,034) $ 10,361 $ (69,176) (58,815) Net investment income 88,177 107,339 Net investment gains (losses) (146,458) 10,932 Corporate expenses (25,675) (23,134) Foreign exchange gains 135,660 28,032 Interest expense and financing costs (15,915) (15,954) Reorganization expenses (6,213) — Amortization of value of business acquired — (1,028) Amortization of intangible assets (2,729) (3,149) Income (loss) before income taxes and interest in income (loss) of equity method investments (2,187) 44,223 Income tax (expense) benefit 363 (1,186) Interest in income (loss) of equity method investments (7,560) 11,911 Net income (loss) (9,384) 54,948 Preferred share dividends 7,563 7,563 Net income (loss) available (attributable) to common shareholders $ (16,947) $ 47,385 Net losses and loss expenses ratio 66.4 % 84.1 % 73.3 % 65.0 % 88.4 % 75.2 % Acquisition cost ratio 17.8 % 20.1 % 18.7 % 18.1 % 20.4 % 19.1 % General and administrative expense ratio 13.8 % 4.9 % 12.3 % 15.4 % 5.6 % 13.1 % Combined ratio 98.0 % 109.1 % 104.3 % 98.5 % 114.4 % 107.4 % Goodwill and intangible assets $ 301,330 $ — $ 301,330 $ 312,358 $ — $ 312,358 2022 2021 Nine months ended and at September 30, Insurance Reinsurance Total Insurance Reinsurance Total Gross premiums written $ 4,114,776 $ 2,341,123 $ 6,455,899 $ 3,548,169 $ 2,574,987 $ 6,123,156 Net premiums written 2,491,120 1,675,382 4,166,502 2,128,190 1,851,025 3,979,215 Net premiums earned 2,303,640 1,516,523 3,820,163 1,928,970 1,543,120 3,472,090 Other insurance related income 470 9,528 9,998 1,435 14,827 16,262 Net losses and loss expenses (1,346,585) (1,097,611) (2,444,196) (1,131,753) (1,160,806) (2,292,559) Acquisition costs (422,979) (323,464) (746,443) (348,172) (321,482) (669,654) Underwriting-related general and administrative expenses (330,598) (82,471) (413,069) (307,777) (88,678) (396,455) Underwriting income (loss) $ 203,948 $ 22,505 226,453 $ 142,703 $ (13,019) 129,684 Net investment income 271,744 326,174 Net investment gains (losses) (414,231) 113,868 Corporate expenses (79,803) (82,365) Foreign exchange gains 236,934 4,316 Interest expense and financing costs (46,720) (46,759) Reorganization expenses (21,941) — Amortization of value of business acquired — (3,083) Amortization of intangible assets (8,188) (9,163) Income before income taxes and interest in income of equity method investments 164,248 432,672 Income tax (expense) benefit 5,304 (49,827) Interest in income of equity method investments 5,040 30,871 Net income 174,592 413,716 Preferred share dividends 22,688 22,688 Net income available to common shareholders $ 151,904 $ 391,028 Net losses and loss expenses ratio 58.5 % 72.4 % 64.0 % 58.7 % 75.2 % 66.0 % Acquisition cost ratio 18.4 % 21.3 % 19.5 % 18.0 % 20.8 % 19.3 % General and administrative expense ratio 14.3 % 5.4 % 12.9 % 16.0 % 5.8 % 13.8 % Combined ratio 91.2 % 99.1 % 96.4 % 92.7 % 101.8 % 99.1 % Goodwill and intangible assets $ 301,330 $ — $ 301,330 $ 312,358 $ — $ 312,358 |
INVESTMENTS (Tables)
INVESTMENTS (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
Investments, Debt and Equity Securities [Abstract] | |
AMORTIZED 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 September 30, 2022 Available for sale U.S. government and agency $ 2,524,837 $ — $ 26 $ (138,355) $ 2,386,508 Non-U.S. government 595,713 — 254 (80,272) 515,695 Corporate debt 4,688,443 (10,380) 1,167 (539,118) 4,140,112 Agency RMBS (1) 1,128,676 — 405 (113,073) 1,016,008 CMBS (2) 1,088,174 — 21 (83,187) 1,005,008 Non-agency RMBS 160,143 (91) 403 (19,099) 141,356 ABS (3) 1,520,653 (33) 230 (84,138) 1,436,712 Municipals (4) 159,296 — — (16,342) 142,954 Total fixed maturities, available for sale $ 11,865,935 $ (10,504) $ 2,506 $ (1,073,584) $ 10,784,353 At December 31, 2021 Available for sale U.S. government and agency $ 2,693,319 $ — $ 9,776 $ (20,647) $ 2,682,448 Non-U.S. government 794,705 — 10,158 (9,685) 795,178 Corporate debt 4,446,585 (236) 87,075 (38,112) 4,495,312 Agency RMBS (1) 1,065,973 — 17,397 (8,781) 1,074,589 CMBS (2) 1,223,051 — 29,827 (4,687) 1,248,191 Non-agency RMBS 185,854 (77) 2,410 (2,023) 186,164 ABS (3) 1,628,739 — 3,406 (9,665) 1,622,480 Municipals (4) 203,556 — 5,928 (646) 208,838 Total fixed maturities, available for sale $ 12,241,782 $ (313) $ 165,977 $ (94,246) $ 12,313,200 (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. |
DEBT SECURITIES, HELD-TO-MATURITY | The following table provides the amortized cost and fair values of the Company's fixed maturities classified as held to maturity: Amortized cost Allowance for expected credit losses Net carrying value Gross Gross unrealized losses Fair value At September 30, 2022 Held to maturity Corporate debt $ 77,200 $ — $ 77,200 $ — $ (11,347) $ 65,853 ABS (1) 613,180 — 613,180 — (15,329) 597,851 Total fixed maturities, held to maturity $ 690,380 $ — $ 690,380 $ — $ (26,676) $ 663,704 At December 31, 2021 Held to maturity Corporate debt $ 37,700 $ — $ 37,700 $ 18 $ (146) $ 37,572 ABS (1) 408,316 — 408,316 81 (936) 407,461 Total fixed maturities, held to maturity $ 446,016 $ — $ 446,016 $ 99 $ (1,082) $ 445,033 (1) Asset-backed securities ("ABS") include debt tranched securities collateralized primarily by collateralized loan obligations ("CLOs"). |
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 September 30, 2022 Equity securities Common stocks $ 13,655 $ 350 $ (2,718) $ 11,287 Preferred stocks 115 — (43) 72 Exchange-traded funds 227,847 56,783 (14,050) 270,580 Bond mutual funds 278,309 — (90,409) 187,900 Total equity securities $ 519,926 $ 57,133 $ (107,220) $ 469,839 At December 31, 2021 Equity securities Common stocks $ 1,264 $ 585 $ (485) $ 1,364 Preferred stocks 115 64 — 179 Exchange-traded funds 203,455 134,037 (677) 336,815 Bond mutual funds 324,030 544 (7,257) 317,317 Total equity securities $ 528,864 $ 135,230 $ (8,419) $ 655,675 |
CONTRACTUAL MATURITIES OF FIXED MATURITIES | The table below provides the contractual maturities of fixed maturities classified as available for sale: Amortized cost Fair value % of Total fair value At September 30, 2022 Maturity Due in one year or less $ 642,398 $ 625,398 5.9 % Due after one year through five years 4,820,949 4,445,708 41.2 % Due after five years through ten years 2,266,898 1,911,316 17.7 % Due after ten years 238,044 202,847 1.9 % 7,968,289 7,185,269 66.7 % Agency RMBS 1,128,676 1,016,008 9.4 % CMBS 1,088,174 1,005,008 9.3 % Non-agency RMBS 160,143 141,356 1.3 % ABS 1,520,653 1,436,712 13.3 % Total $ 11,865,935 $ 10,784,353 100.0 % At December 31, 2021 Maturity Due in one year or less $ 503,716 $ 505,602 4.1 % Due after one year through five years 4,878,151 4,908,640 39.9 % Due after five years through ten years 2,478,542 2,488,478 20.2 % Due after ten years 277,756 279,056 2.3 % 8,138,165 8,181,776 66.5 % Agency RMBS 1,065,973 1,074,589 8.7 % CMBS 1,223,051 1,248,191 10.1 % Non-agency RMBS 185,854 186,164 1.5 % ABS 1,628,739 1,622,480 13.2 % Total $ 12,241,782 $ 12,313,200 100.0 % |
FIXED MATURITIES AND EQUITIES IN AN UNREALIZED LOSS POSITION | The following table summarizes fixed maturities, available for sale 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 September 30, 2022 Fixed maturities, available for sale U.S. government and agency $ 456,814 $ (29,770) $ 1,899,250 $ (108,585) $ 2,356,064 $ (138,355) Non-U.S. government 174,043 (26,531) 329,691 (53,741) 503,734 (80,272) Corporate debt 832,099 (187,235) 3,257,887 (351,883) 4,089,986 (539,118) Agency RMBS 159,089 (32,820) 802,339 (80,253) 961,428 (113,073) CMBS 195,868 (25,689) 778,826 (57,498) 974,694 (83,187) Non-agency RMBS 60,670 (11,360) 74,280 (7,739) 134,950 (19,099) ABS 495,725 (42,822) 918,205 (41,316) 1,413,930 (84,138) Municipals 25,063 (4,538) 117,826 (11,804) 142,889 (16,342) Total fixed maturities, available for sale $ 2,399,371 $ (360,765) $ 8,178,304 $ (712,819) $ 10,577,675 $ (1,073,584) At December 31, 2021 Fixed maturities, available for sale U.S. government and agency $ 101,776 $ (4,852) $ 2,014,880 $ (15,795) $ 2,116,656 $ (20,647) Non-U.S. government 11,011 (1,830) 463,498 (7,855) 474,509 (9,685) Corporate debt 152,962 (6,542) 1,681,859 (31,570) 1,834,821 (38,112) Agency RMBS 41,024 (1,678) 503,988 (7,103) 545,012 (8,781) CMBS 30,128 (1,001) 347,515 (3,686) 377,643 (4,687) Non-agency RMBS 4,481 (523) 109,937 (1,500) 114,418 (2,023) ABS 43,466 (1,152) 1,040,363 (8,513) 1,083,829 (9,665) Municipals 5,293 (137) 35,649 (509) 40,942 (646) Total fixed maturities, available for sale $ 390,141 $ (17,715) $ 6,197,689 $ (76,531) $ 6,587,830 $ (94,246) |
MORTGAGE LOANS NET OF VALUATION ALLOWANCE | The following table provides details of the Company's mortgage loans, held for investment: September 30, 2022 December 31, 2021 Carrying value % of Total Carrying value % of Total Mortgage loans, held for investment: Commercial $ 653,700 100 % $ 594,088 100 % Total mortgage loans, held for investment $ 653,700 100 % $ 594,088 100 % |
PORTFOLIO OF OTHER INVESTMENTS | The following table provides a summary of the Company's other investments, together with additional information relating to the liquidity of each category: Fair value % of Total Redemption frequency (if currently eligible) Redemption notice period At September 30, 2022 Long/short equity funds $ — — % n/a n/a Multi-strategy funds 39,138 4 % Quarterly 60-90 days Direct lending funds 249,561 26 % Quarterly (1) 90 days Private equity funds 268,593 28 % n/a n/a Real estate funds 287,932 30 % Quarterly (2) , Annually (3) 45-90 days CLO-Equities 5,167 — % n/a n/a Other privately held investments 119,919 12 % n/a n/a Total other investments $ 970,310 100 % At December 31, 2021 Long/short equity funds $ 3,476 — % Annually 60 days Multi-strategy funds 56,012 6 % Quarterly 60-90 days Direct lending funds 289,867 31 % Quarterly (1) 90 days Private equity funds 249,974 26 % n/a n/a Real estate funds 238,222 25 % Quarterly (2) 45 days CLO-Equities 5,910 1 % n/a n/a Other privately held investments 104,521 11 % n/a n/a Total other investments $ 947,982 100 % n/a - not applicable (1) Applies to one fund with a fair va lue of $43 million (2021: $47 million). (2) Applies to one fund with a fair value of $73 million (2021: $73 million ). (3) Applies to one fund with a fair value of $26 million (2021: $nil ). |
NET INVESTMENT INCOME | Net investment income was derived from the following sources: Three months ended September 30, Nine months ended September 30, 2022 2021 2022 2021 Fixed maturities $ 87,364 $ 63,712 $ 224,780 $ 194,426 Other investments (7,576) 41,695 32,801 124,941 Equity securities 2,490 2,724 7,349 8,322 Mortgage loans 6,256 4,426 15,323 12,967 Cash and cash equivalents 5,350 692 10,147 3,645 Short-term investments 1,004 391 1,571 590 Gross investment income 94,888 113,640 291,971 344,891 Investment expenses (6,711) (6,301) (20,227) (18,717) Net investment income $ 88,177 $ 107,339 $ 271,744 $ 326,174 |
NET INVESTMENT GAINS (LOSSES) | The following table provides an analysis of net investment gains (losses): Three months ended September 30, Nine months ended September 30, 2022 2021 2022 2021 Gross realized investment gains Fixed maturities and short-term investments $ 1,095 $ 21,036 $ 11,390 $ 126,901 Equity securities 6,997 4 6,997 5,006 Gross realized investment gains 8,092 21,040 18,387 131,907 Gross realized investment losses Fixed maturities and short-term investments (100,021) (4,206) (249,514) (32,443) Equity securities (178) — (403) (116) Gross realized investment losses (100,199) (4,206) (249,917) (32,559) Change in allowance for expected credit losses (3,210) (315) (10,191) (76) Impairment losses (1) (6,491) (22) (7,074) (22) Change in fair value of investment derivatives (2) 4,400 2,486 11,463 3,388 Net unrealized gains (losses) on equity securities (49,050) (8,051) (176,899) 11,230 Net investment gains (losses) $ (146,458) $ 10,932 $ (414,231) $ 113,868 (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 September 30, Nine months ended September 30, 2022 2021 2022 2021 Balance at beginning of period $ 7,294 $ 84 $ 313 $ 323 Expected credit losses on securities where credit losses were not previously recognized 6,320 — 13,228 64 Additions (reductions) for expected credit losses on securities where credit losses were previously recognized (592) 315 (500) 59 Impairments of securities which the Company intends to sell or more likely than not will be required to sell — — — — Securities sold/redeemed/matured (2,518) — (2,537) (47) Balance at end of period $ 10,504 $ 399 $ 10,504 $ 399 |
FAIR VALUE MEASUREMENTS (Tables
FAIR VALUE MEASUREMENTS (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
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 September 30, 2022 Assets Fixed maturities, available for sale U.S. government and agency $ 2,348,010 $ 38,498 $ — $ — $ 2,386,508 Non-U.S. government — 515,695 — — 515,695 Corporate debt — 4,044,161 95,951 — 4,140,112 Agency RMBS — 1,016,008 — — 1,016,008 CMBS — 1,005,008 — — 1,005,008 Non-agency RMBS — 141,356 — — 141,356 ABS — 1,436,712 — — 1,436,712 Municipals — 142,954 — — 142,954 2,348,010 8,340,392 95,951 — 10,784,353 Equity securities Common stocks 11,287 — — — 11,287 Preferred stocks 72 — — — 72 Exchange-traded funds 270,580 — — — 270,580 Bond mutual funds — 187,900 — — 187,900 281,939 187,900 — — 469,839 Other investments Hedge funds (1) — — — 39,138 39,138 Direct lending funds — — — 249,561 249,561 Private equity funds — — — 268,593 268,593 Real estate funds — — — 287,932 287,932 CLO-Equities — — 5,167 — 5,167 Other privately held investments — — 119,919 — 119,919 — — 125,086 845,224 970,310 Short-term investments — 80,260 — — 80,260 Other assets Derivative instruments (refer to Note 5) — 13,929 — — 13,929 Total Assets $ 2,629,949 $ 8,622,481 $ 221,037 $ 845,224 $ 12,318,691 Liabilities Derivative instruments (refer to Note 5) $ — $ 20,207 $ 4,286 $ — $ 24,493 Cash-settled awards (refer to Note 8) — 4,084 — — 4,084 Total Liabilities $ — $ 24,291 $ 4,286 $ — $ 28,577 (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, 2021 Assets Fixed maturities, available for sale U.S. government and agency $ 2,632,541 $ 49,907 $ — $ — $ 2,682,448 Non-U.S. government — 795,178 — — 795,178 Corporate debt — 4,452,418 42,894 — 4,495,312 Agency RMBS — 1,074,589 — — 1,074,589 CMBS — 1,248,191 — — 1,248,191 Non-agency RMBS — 186,164 — — 186,164 ABS — 1,622,480 — — 1,622,480 Municipals — 208,838 — — 208,838 2,632,541 9,637,765 42,894 — 12,313,200 Equity securities Common stocks 1,364 — — — 1,364 Preferred stocks 179 — — — 179 Exchange-traded funds 336,815 — — — 336,815 Bond mutual funds — 317,317 — — 317,317 338,358 317,317 — — 655,675 Other investments Hedge funds (1) — — — 59,488 59,488 Direct lending funds — — — 289,867 289,867 Private equity funds — — — 249,974 249,974 Real estate funds — — — 238,222 238,222 CLO-Equities — — 5,910 — 5,910 Other privately held investments — — 104,521 — 104,521 — — 110,431 837,551 947,982 Short-term investments — 31,063 — — 31,063 Other assets Derivative instruments (refer to Note 5) — 3,116 — — 3,116 Total Assets $ 2,970,899 $ 9,989,261 $ 153,325 $ 837,551 $ 13,951,036 Liabilities Derivative instruments (refer to Note 5) $ — $ 14,987 $ 5,630 $ — $ 20,617 Cash-settled awards (refer to Note 8) — 9,091 — — 9,091 Total Liabilities $ — $ 24,078 $ 5,630 $ — $ 29,708 (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 September 30, 2022 of investments classified as Level 3 in the fair value hierarchy: Asset / Liability - Fair value Valuation technique Unobservable input Amount / Range Weighted average Other investments - CLO-Equities $ 5,167 Discounted cash flow Default rate 4.5% 4.5% Loss severity rate 50.0% 50.0% Collateral spread 3.0% 3.0% Estimated maturity date 6 years 6 years Other investments - Other privately held investments $ 15,910 Discounted cash flow Discount rate 5.4% 5.4% Default rate 0.5% 0.5% Loss absorption yield 1.0% 1.0% Estimated maturity date 2-3 years 3 years Derivatives - Other underwriting-related derivatives $ (4,286) Discounted cash flow Discount rate 4.1% 4.1% Note: Fixed maturities of $96 million that are classified as Level 3 are excluded from the above table as these securities are priced using broker-dealer quotes. In addition, other privately held investments of $104 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 table presents 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 September 30, 2022 Fixed maturities, available for sale Corporate debt $ 72,830 $ — $ — $ (34) $ (3,977) $ 27,600 $ — $ (468) $ 95,951 $ — CMBS — — — — — — — — — — ABS — — — — — — — — — — 72,830 — — (34) (3,977) 27,600 — (468) 95,951 — Other investments CLO-Equities 4,808 — — 890 — — — (531) 5,167 890 Other privately held investments 115,970 — — 1,249 — 2,700 — — 119,919 1,249 120,778 — — 2,139 — 2,700 — (531) 125,086 2,139 Total assets $ 193,608 $ — $ — $ 2,105 $ (3,977) $ 30,300 $ — $ (999) $ 221,037 $ 2,139 Other liabilities Derivative instruments $ 4,708 $ — $ — $ (422) $ — $ — $ — $ — $ 4,286 $ (422) Total liabilities $ 4,708 $ — $ — $ (422) $ — $ — $ — $ — $ 4,286 $ (422) Nine months ended September 30, 2022 Fixed maturities, available for sale Corporate debt $ 42,894 $ — $ — $ (34) $ (10,600) $ 64,832 $ — $ (1,141) $ 95,951 $ — CMBS — — — — — — — — — — ABS — — — — — — — — — — 42,894 — — (34) (10,600) 64,832 — (1,141) 95,951 — Other investments CLO-Equities 5,910 — — 2,566 — — — (3,309) 5,167 2,566 Other privately held investments 104,521 — — (2,242) — 19,640 — (2,000) 119,919 (2,242) 110,431 — — 324 — 19,640 — (5,309) 125,086 324 Total assets $ 153,325 $ — $ — $ 290 $ (10,600) $ 84,472 $ — $ (6,450) $ 221,037 $ 324 Other liabilities Derivative instruments $ 5,630 $ — $ — $ (1,344) $ — $ — $ — $ — $ 4,286 $ (1,344) Total liabilities $ 5,630 $ — $ — $ (1,344) $ — $ — $ — $ — $ 4,286 $ (1,344) (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 and liabilities held at the reporting date. Opening Transfers Transfers Included in net income (1) Included in OCI (2) Purchases Sales Settlements/ Closing Change in unrealized gains/(losses) (3) Three months ended September 30, 2021 Fixed maturities, available for sale Corporate debt $ 22,726 $ — $ — $ — $ (121) $ 25,000 $ — $ — $ 47,605 $ — CMBS — — — — — — — — — — ABS 12,560 — (12,582) — 22 — — — — — 35,286 — (12,582) — (99) 25,000 — — 47,605 — Other investments CLO-Equities 7,002 — — 356 — — — (1,061) 6,297 356 Other privately held investments 64,786 — — 213 — 3,436 — (2,923) 65,512 213 71,788 — — 569 — 3,436 — (3,984) 71,809 569 Total assets $ 107,074 $ — $ (12,582) $ 569 $ (99) $ 28,436 $ — $ (3,984) $ 119,414 $ 569 Other liabilities Derivative instruments $ 8,117 $ — $ — $ (398) $ — $ — $ — $ — $ 7,719 $ (398) Total liabilities $ 8,117 $ — $ — $ (398) $ — $ — $ — $ — $ 7,719 $ (398) Nine months ended September 30, 2021 Fixed maturities, available for sale Corporate debt $ 2,504 $ 7,000 $ — $ — $ (199) $ 38,300 $ — $ — $ 47,605 $ — CMBS 1,740 — — — 13 — — (1,753) — — ABS 10,665 18,566 (28,789) — 58 — — (500) — — 14,909 25,566 (28,789) — (128) 38,300 — (2,253) 47,605 — Other investments CLO-Equities 6,173 — — 2,337 — — — (2,213) 6,297 2,337 Other privately held investments 70,011 — — 18,694 — 6,710 (26,980) (2,923) 65,512 1,314 76,184 — — 21,031 — 6,710 (26,980) (5,136) 71,809 3,651 Total assets $ 91,093 $ 25,566 $ (28,789) $ 21,031 $ (128) $ 45,010 $ (26,980) $ (7,389) $ 119,414 $ 3,651 Other liabilities Derivative instruments $ 9,122 $ — $ — $ (1,403) $ — $ — $ — $ — $ 7,719 $ (1,403) Total liabilities $ 9,122 $ — $ — $ (1,403) $ — $ — $ — $ — $ 7,719 $ (1,403) (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 and liabilities held at the reporting date. |
CHANGES IN LEVEL 3 FINANCIAL INSTRUMENTS MEASURED AT FAIR VALUE ON A RECURRING BASIS, LIABILITIES | The following table presents 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 September 30, 2022 Fixed maturities, available for sale Corporate debt $ 72,830 $ — $ — $ (34) $ (3,977) $ 27,600 $ — $ (468) $ 95,951 $ — CMBS — — — — — — — — — — ABS — — — — — — — — — — 72,830 — — (34) (3,977) 27,600 — (468) 95,951 — Other investments CLO-Equities 4,808 — — 890 — — — (531) 5,167 890 Other privately held investments 115,970 — — 1,249 — 2,700 — — 119,919 1,249 120,778 — — 2,139 — 2,700 — (531) 125,086 2,139 Total assets $ 193,608 $ — $ — $ 2,105 $ (3,977) $ 30,300 $ — $ (999) $ 221,037 $ 2,139 Other liabilities Derivative instruments $ 4,708 $ — $ — $ (422) $ — $ — $ — $ — $ 4,286 $ (422) Total liabilities $ 4,708 $ — $ — $ (422) $ — $ — $ — $ — $ 4,286 $ (422) Nine months ended September 30, 2022 Fixed maturities, available for sale Corporate debt $ 42,894 $ — $ — $ (34) $ (10,600) $ 64,832 $ — $ (1,141) $ 95,951 $ — CMBS — — — — — — — — — — ABS — — — — — — — — — — 42,894 — — (34) (10,600) 64,832 — (1,141) 95,951 — Other investments CLO-Equities 5,910 — — 2,566 — — — (3,309) 5,167 2,566 Other privately held investments 104,521 — — (2,242) — 19,640 — (2,000) 119,919 (2,242) 110,431 — — 324 — 19,640 — (5,309) 125,086 324 Total assets $ 153,325 $ — $ — $ 290 $ (10,600) $ 84,472 $ — $ (6,450) $ 221,037 $ 324 Other liabilities Derivative instruments $ 5,630 $ — $ — $ (1,344) $ — $ — $ — $ — $ 4,286 $ (1,344) Total liabilities $ 5,630 $ — $ — $ (1,344) $ — $ — $ — $ — $ 4,286 $ (1,344) (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 and liabilities held at the reporting date. Opening Transfers Transfers Included in net income (1) Included in OCI (2) Purchases Sales Settlements/ Closing Change in unrealized gains/(losses) (3) Three months ended September 30, 2021 Fixed maturities, available for sale Corporate debt $ 22,726 $ — $ — $ — $ (121) $ 25,000 $ — $ — $ 47,605 $ — CMBS — — — — — — — — — — ABS 12,560 — (12,582) — 22 — — — — — 35,286 — (12,582) — (99) 25,000 — — 47,605 — Other investments CLO-Equities 7,002 — — 356 — — — (1,061) 6,297 356 Other privately held investments 64,786 — — 213 — 3,436 — (2,923) 65,512 213 71,788 — — 569 — 3,436 — (3,984) 71,809 569 Total assets $ 107,074 $ — $ (12,582) $ 569 $ (99) $ 28,436 $ — $ (3,984) $ 119,414 $ 569 Other liabilities Derivative instruments $ 8,117 $ — $ — $ (398) $ — $ — $ — $ — $ 7,719 $ (398) Total liabilities $ 8,117 $ — $ — $ (398) $ — $ — $ — $ — $ 7,719 $ (398) Nine months ended September 30, 2021 Fixed maturities, available for sale Corporate debt $ 2,504 $ 7,000 $ — $ — $ (199) $ 38,300 $ — $ — $ 47,605 $ — CMBS 1,740 — — — 13 — — (1,753) — — ABS 10,665 18,566 (28,789) — 58 — — (500) — — 14,909 25,566 (28,789) — (128) 38,300 — (2,253) 47,605 — Other investments CLO-Equities 6,173 — — 2,337 — — — (2,213) 6,297 2,337 Other privately held investments 70,011 — — 18,694 — 6,710 (26,980) (2,923) 65,512 1,314 76,184 — — 21,031 — 6,710 (26,980) (5,136) 71,809 3,651 Total assets $ 91,093 $ 25,566 $ (28,789) $ 21,031 $ (128) $ 45,010 $ (26,980) $ (7,389) $ 119,414 $ 3,651 Other liabilities Derivative instruments $ 9,122 $ — $ — $ (1,403) $ — $ — $ — $ — $ 7,719 $ (1,403) Total liabilities $ 9,122 $ — $ — $ (1,403) $ — $ — $ — $ — $ 7,719 $ (1,403) (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 and liabilities held at the reporting date. |
DERIVATIVE INSTRUMENTS (Tables)
DERIVATIVE INSTRUMENTS (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
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: September 30, 2022 December 31, 2021 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 $ 151,002 $ 1,710 $ 14 $ 184,187 $ 13 $ 1,463 Relating to underwriting portfolio: Foreign exchange forward contracts 1,288,186 12,219 20,193 1,258,836 3,103 13,524 Other underwriting-related contracts 50,000 — 4,286 50,000 — 5,630 Total derivatives $ 13,929 $ 24,493 $ 3,116 $ 20,617 (1) Derivative assets and derivative liabilities 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: September 30, 2022 December 31, 2021 Gross amounts Gross amounts offset Net amounts (1) Gross amounts Gross amounts offset Net amounts (1) Derivative assets $ 32,410 $ (18,481) $ 13,929 $ 9,047 $ (5,931) $ 3,116 Derivative liabilities $ 42,974 $ (18,481) $ 24,493 $ 26,548 $ (5,931) $ 20,617 (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: September 30, 2022 December 31, 2021 Gross amounts Gross amounts offset Net amounts (1) Gross amounts Gross amounts offset Net amounts (1) Derivative assets $ 32,410 $ (18,481) $ 13,929 $ 9,047 $ (5,931) $ 3,116 Derivative liabilities $ 42,974 $ (18,481) $ 24,493 $ 26,548 $ (5,931) $ 20,617 (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 following table provides the total unrealized and realized gains (losses) recognized in net income for derivatives not designated as hedges: Consolidated statement of operations line item that includes gain (loss) recognized in net income Three months ended September 30, Nine months ended September 30, 2022 2021 2022 2021 Relating to investment portfolio: Foreign exchange forward contracts Net investment gains (losses) $ 4,400 $ 2,486 $ 11,463 $ 3,388 Relating to underwriting portfolio: Foreign exchange forward contracts Foreign exchange gains (losses) (36,577) (10,081) (95,700) (36,741) Other underwriting-related contracts Other insurance related income (loss) 421 399 1,343 1,404 Total $ (31,756) $ (7,196) $ (82,894) $ (31,949) |
RESERVE FOR LOSSES AND LOSS E_2
RESERVE FOR LOSSES AND LOSS EXPENSES (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
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 reserve for unpaid losses and loss expenses: Nine months ended September 30, 2022 2021 Gross reserve for losses and loss expenses, beginning of period $ 14,653,094 $ 13,926,766 Less reinsurance recoverable on unpaid losses and loss expenses, beginning of period (5,017,611) (4,496,641) Net reserve for unpaid losses and loss expenses, beginning of period 9,635,483 9,430,125 Net incurred losses and loss expenses related to: Current year 2,461,828 2,315,697 Prior years (17,632) (23,138) 2,444,196 2,292,559 Net paid losses and loss expenses related to: Current year (269,466) (263,969) Prior years (1,900,366) (1,778,479) (2,169,832) (2,042,448) Foreign exchange and other (501,914) (10,885) Net reserve for unpaid losses and loss expenses, end of period 9,407,933 9,669,351 Reinsurance recoverable on unpaid losses and loss expenses, end of period 5,244,263 4,989,645 Gross reserve for losses and loss expenses, end of period $ 14,652,196 $ 14,658,996 |
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 September 30, Nine months ended September 30, 2022 2021 2022 2021 Favorable (Adverse) Favorable (Adverse) Favorable (Adverse) Favorable (Adverse) Insurance $ 2,558 $ 5,418 $ 12,396 $ 13,351 Reinsurance 2,177 5,594 5,236 9,787 Total $ 4,735 $ 11,012 $ 17,632 $ 23,138 |
SCHEDULE OF THE LINE OF BUSINESS CATEGORIES AND THE EXPECTED CLAIM TAILS | The following table maps 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 The following table maps lines of business to reserve classes and the expected claim tails: 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 aviation X Accident and health X |
NET INCURRED AND PAID CLAIMS DEVELOPMENT TABLES BY ACCIDENT YEAR | Prior year reserve development by reserve class was as follows: Three months ended September 30, Nine months ended September 30, 2022 2021 2022 2021 Favorable (Adverse) Favorable (Adverse) Favorable (Adverse) Favorable (Adverse) Property and other $ 5,211 $ 12,486 $ 18,290 $ 63,167 Marine 17,346 4,189 30,239 23,411 Aviation 3,203 3,958 7,888 9,802 Credit and political risk 8,106 7,610 13,288 6,294 Professional lines (2,747) (20,759) (3,937) (68,405) Liability (28,561) (2,066) (53,372) (20,918) Total $ 2,558 $ 5,418 $ 12,396 $ 13,351 Prior year reserve development by reserve class was as follows: Three months ended September 30, Nine months ended September 30, 2022 2021 2022 2021 Favorable Favorable Favorable Favorable Property and other $ 12,794 $ (5,486) $ 44,127 $ 7,792 Credit and surety 5,905 8,623 16,952 (1,231) Professional lines (11,431) (3,244) (41,954) (14,048) Motor 6,849 8,345 8,979 38,431 Liability (11,940) (2,645) (22,868) $ (21,157) Total $ 2,177 $ 5,594 $ 5,236 $ 9,787 |
EARNINGS PER COMMON SHARE (Tabl
EARNINGS PER COMMON SHARE (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
Earnings Per Share [Abstract] | |
BASIC AND DILUTED EARNINGS PER COMMON SHARE | The following table presents a comparison of earnings per common share and earnings per diluted common share: Three months ended September 30, Nine months ended September 30, 2022 2021 2022 2021 Earnings (loss) per common share Net income (loss) $ (9,384) $ 54,948 $ 174,592 $ 413,716 Less: Preferred share dividends 7,563 7,563 22,688 22,688 Net income (loss) available (attributable) to common shareholders (16,947) 47,385 151,904 391,028 Weighted average common shares outstanding 84,660 84,771 84,930 84,684 Earnings (loss) per common share $ (0.20) $ 0.56 $ 1.79 $ 4.62 Earnings (loss) per diluted common share Net income (loss) available (attributable) to common shareholders $ (16,947) $ 47,385 $ 151,904 $ 391,028 Weighted average common shares outstanding 84,660 84,771 84,930 84,684 Share-based compensation plans — 565 744 507 Weighted average diluted common shares outstanding 84,660 85,336 85,674 85,191 Earnings (loss) per diluted common share $ (0.20) $ 0.56 $ 1.77 $ 4.59 Weighted average anti-dilutive shares excluded from the dilutive computation 160 477 432 873 (1) Due to the net loss attributable to common shareholders recognized for the three months ended September 30, 2022, the share equivalents were anti-dilutive. |
SHARE-BASED COMPENSATION (Table
SHARE-BASED COMPENSATION (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
Share-Based Payment Arrangement [Abstract] | |
SCHEDULE OF MONTE CARLO SIMULATION MODEL | The following table provides details of the significant inputs used in the Monte Carlo simulation model: Nine months ended September 30, 2022 2021 Expected volatility 33.44% 32.99% Expected term (in years) 3.0 3.0 Expected dividend yield n/a n/a Risk-free interest rate 1.26% 0.17% |
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 nine months ended September 30, 2022: Share-Settled Performance Share-Settled Service Number of restricted stock units Weighted Number of restricted stock units Weighted average Non-vested restricted stock units - beginning of period 311 $ 54.75 2,062 $ 51.59 Granted 140 68.63 989 56.11 Vested (100) 54.70 (682) 52.66 Forfeited — — (180) 53.05 Non-vested restricted stock units - end of period 351 $ 60.15 2,189 $ 53.18 The following table provides an activity summary of the Company's cash-settled restricted stock units for the nine months ended September 30, 2022: Cash-Settled Service Number of Non-vested restricted stock units - beginning of period 215 Granted — Vested (143) Forfeited (8) Non-vested restricted stock units - end of period 64 The following table provides additional information related to share-based compensation: Nine months ended September 30, 2022 2021 Share-based compensation expense (1) $ 43,595 $ 37,394 Tax benefits associated with share-based compensation expense $ 7,468 $ 6,248 Liability for cash-settled restricted stock units (2) $ 4,084 $ 6,697 Fair value of restricted stock units vested (3) $ 49,239 $ 42,582 Unrecognized share-based compensation expense $ 91,810 $ 95,636 Expected weighted average period associated with the recognition of unrecognized share-based compensation expense 2.5 years 2.6 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) | 9 Months Ended |
Sep. 30, 2022 | |
Equity [Abstract] | |
COMMON SHARES ISSUED AND OUTSTANDING | The following table presents changes in common shares issued and outstanding: Three months ended September 30, Nine months ended September 30, 2022 2021 2022 2021 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 (91,925) (91,813) (91,806) (92,227) Shares repurchased (6) (4) (891) (201) Shares reissued 17 10 783 621 Total treasury shares at end of period (91,914) (91,807) (91,914) (91,807) Total shares outstanding 84,666 84,773 84,666 84,773 |
SHARE REPURCHASES | The following table presents common shares repurchased from shares held in Treasury: Three months ended September 30, Nine months ended September 30, 2022 2021 2022 2021 In the open market: (1) Total shares — — 634 — Total cost $ — $ — $ 34,987 $ — Average price per share (2) $ — $ — $ 55.22 $ — From employees: (3) Total shares 6 4 257 201 Total cost $ 342 $ 206 $ 13,688 $ 10,025 Average price per share (2) $ 53.78 $ 49.91 $ 53.12 $ 49.87 Total shares repurchased: Total shares 6 4 891 201 Total cost $ 342 $ 206 $ 48,675 $ 10,025 Average price per share (2) $ 53.78 $ 49.91 $ 54.61 $ 49.87 (1) Shares are repurchased pursuant to the Company's Board-authorized share repurchase program announced in December 2021, effective January 1, 2022 through to December 31, 2022. (2) Calculated using whole numbers. (3) Shares are repurchased from employees to facilitate the satisfaction of their personal withholding tax liabilities that arise on 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 September 30, 2022 Common shares $ 0.43 $ — $ 0.43 Series E preferred shares $ 34.38 $ — $ 34.38 Three months ended September 30, 2021 Common shares $ 0.42 $ — $ 0.42 Series E preferred shares $ 34.38 $ — $ 34.38 Nine months ended September 30, 2022 Common shares $ 1.29 $ 0.86 $ 0.43 Series E preferred shares $ 103.13 $ 68.75 $ 34.38 Nine months ended September 30, 2021 Common shares $ 1.26 $ 0.84 $ 0.42 Series E preferred shares $ 103.13 $ 68.75 $ 34.38 |
OTHER COMPREHENSIVE INCOME (L_2
OTHER COMPREHENSIVE INCOME (LOSS) (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
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): 2022 2021 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 September 30, Available for sale investments: Unrealized gains (losses) arising during the period for which an allowance for expected credit losses has not been recognized $ (393,848) $ (32) $ (393,880) $ (65,321) $ 7,143 $ (58,178) Unrealized gains (losses) arising during the period for which an allowance for expected credit losses has been recognized (10,990) 306 (10,684) 370 — 370 Adjustment for reclassification of net realized (gains) losses and impairment losses recognized in net income (loss) 108,351 (9,572) 98,779 (16,438) 1,858 (14,580) Unrealized gains (losses) arising during the period, net of reclassification adjustment (296,487) (9,298) (305,785) (81,389) 9,001 (72,388) Foreign currency translation adjustment (12,751) — (12,751) (3,807) — (3,807) Total comprehensive income (loss), net of tax $ (309,238) $ (9,298) $ (318,536) $ (85,196) $ 9,001 $ (76,195) Nine months ended September 30, Available for sale investments: Unrealized gains (losses) arising during the period for which an allowance for expected credit losses has not been recognized $ (1,340,927) $ 81,445 $ (1,259,482) $ (204,587) $ 25,440 $ (179,147) Unrealized gains (losses) arising during the period for which an allowance for expected credit losses has been recognized (56,577) 3,269 (53,308) 131 — 131 Adjustment for reclassification of net realized (gains) losses and impairment losses recognized in net income (loss) 255,081 (25,308) 229,773 (94,018) 7,837 (86,181) Unrealized gains (losses) arising during the period, net of reclassification adjustment (1,142,423) 59,406 (1,083,017) (298,474) 33,277 (265,197) Foreign currency translation adjustment (16,169) — (16,169) 924 — 924 Total other comprehensive income (loss), net of tax $ (1,158,592) $ 59,406 $ (1,099,186) $ (297,550) $ 33,277 $ (264,273) |
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 September 30, Nine months ended September 30, 2022 2021 2022 2021 Unrealized gains (losses) on available for sale investments Other realized gains (losses) $ (101,860) $ 16,460 $ (248,007) $ 94,040 Impairment losses (6,491) (22) (7,074) (22) Total before tax (108,351) 16,438 (255,081) 94,018 Income tax (expense) benefit 9,572 (1,858) 25,308 (7,837) Net of tax $ (98,779) $ 14,580 $ (229,773) $ 86,181 (1) Amounts in parentheses are charges to net income (loss). |
SEGMENT INFORMATION (Details)
SEGMENT INFORMATION (Details) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2022 USD ($) | Sep. 30, 2021 USD ($) | Sep. 30, 2022 USD ($) segment | Sep. 30, 2021 USD ($) | |
Segment Reporting [Abstract] | ||||
Number of reportable segments | segment | 2 | |||
Segment Information [Line Items] | ||||
Net premiums earned | $ 1,284,866 | $ 1,211,427 | $ 3,820,163 | $ 3,472,090 |
Other insurance related income | 1,092 | 7,665 | 9,998 | 16,262 |
Net losses and loss expenses | 941,911 | 911,369 | 2,444,196 | 2,292,559 |
Acquisition costs | (240,511) | (231,712) | (746,443) | (669,654) |
Underwriting-related general and administrative expenses and corporate expenses | (158,245) | (157,960) | (492,872) | (478,820) |
Net investment income | 88,177 | 107,339 | 271,744 | 326,174 |
Foreign exchange gains | 135,660 | 28,032 | 236,934 | 4,316 |
Interest expense and financing costs | (15,915) | (15,954) | (46,720) | (46,759) |
Reorganization expenses | (6,213) | 0 | (21,941) | 0 |
Amortization of value of business acquired | 0 | (1,028) | 0 | (3,083) |
Amortization of intangible assets | (2,729) | (3,149) | (8,188) | (9,163) |
Income (loss) before income taxes and interest in income (loss) of equity method investments | (2,187) | 44,223 | 164,248 | 432,672 |
Income tax (expense) benefit | 363 | (1,186) | 5,304 | (49,827) |
Interest in income (loss) of equity method investments | (7,560) | 11,911 | 5,040 | 30,871 |
Net income (loss) | (9,384) | 54,948 | 174,592 | 413,716 |
Preferred share dividends | 7,563 | 7,563 | 22,688 | 22,688 |
Net income (loss) available (attributable) to common shareholders | (16,947) | 47,385 | 151,904 | 391,028 |
Operating Segments | ||||
Segment Information [Line Items] | ||||
Gross premiums written | 1,707,808 | 1,646,489 | 6,455,899 | 6,123,156 |
Net premiums written | 1,036,784 | 996,471 | 4,166,502 | 3,979,215 |
Net premiums earned | 1,284,866 | 1,211,427 | 3,820,163 | 3,472,090 |
Other insurance related income | 1,092 | 7,665 | 9,998 | 16,262 |
Net losses and loss expenses | 941,911 | 911,369 | 2,444,196 | 2,292,559 |
Acquisition costs | (240,511) | (231,712) | (746,443) | (669,654) |
Underwriting-related general and administrative expenses and corporate expenses | (132,570) | (134,826) | (413,069) | (396,455) |
Underwriting income (loss) | $ (29,034) | $ (58,815) | $ 226,453 | $ 129,684 |
Net losses and loss expenses ratio (as a percent) | 73.30% | 75.20% | 64% | 66% |
Acquisition cost ratio (as a percent) | 18.70% | 19.10% | 19.50% | 19.30% |
General and administrative expense ratio (as a percent) | 12.30% | 13.10% | 12.90% | 13.80% |
Combined ratio (as a percent) | 104.30% | 107.40% | 96.40% | 99.10% |
Goodwill and intangible assets | $ 301,330 | $ 312,358 | $ 301,330 | $ 312,358 |
Operating Segments | Insurance | ||||
Segment Information [Line Items] | ||||
Gross premiums written | 1,317,890 | 1,176,500 | 4,114,776 | 3,548,169 |
Net premiums written | 777,789 | 707,492 | 2,491,120 | 2,128,190 |
Net premiums earned | 782,101 | 681,008 | 2,303,640 | 1,928,970 |
Other insurance related income | 151 | 468 | 470 | 1,435 |
Net losses and loss expenses | 519,006 | 442,681 | 1,346,585 | 1,131,753 |
Acquisition costs | (139,436) | (123,529) | (422,979) | (348,172) |
Underwriting-related general and administrative expenses and corporate expenses | (108,072) | (104,905) | (330,598) | (307,777) |
Underwriting income (loss) | $ 15,738 | $ 10,361 | $ 203,948 | $ 142,703 |
Net losses and loss expenses ratio (as a percent) | 66.40% | 65% | 58.50% | 58.70% |
Acquisition cost ratio (as a percent) | 17.80% | 18.10% | 18.40% | 18% |
General and administrative expense ratio (as a percent) | 13.80% | 15.40% | 14.30% | 16% |
Combined ratio (as a percent) | 98% | 98.50% | 91.20% | 92.70% |
Goodwill and intangible assets | $ 301,330 | $ 312,358 | $ 301,330 | $ 312,358 |
Operating Segments | Reinsurance | ||||
Segment Information [Line Items] | ||||
Gross premiums written | 389,918 | 469,989 | 2,341,123 | 2,574,987 |
Net premiums written | 258,995 | 288,979 | 1,675,382 | 1,851,025 |
Net premiums earned | 502,765 | 530,419 | 1,516,523 | 1,543,120 |
Other insurance related income | 941 | 7,197 | 9,528 | 14,827 |
Net losses and loss expenses | 422,905 | 468,688 | 1,097,611 | 1,160,806 |
Acquisition costs | (101,075) | (108,183) | (323,464) | (321,482) |
Underwriting-related general and administrative expenses and corporate expenses | (24,498) | (29,921) | (82,471) | (88,678) |
Underwriting income (loss) | $ (44,772) | $ (69,176) | $ 22,505 | $ (13,019) |
Net losses and loss expenses ratio (as a percent) | 84.10% | 88.40% | 72.40% | 75.20% |
Acquisition cost ratio (as a percent) | 20.10% | 20.40% | 21.30% | 20.80% |
General and administrative expense ratio (as a percent) | 4.90% | 5.60% | 5.40% | 5.80% |
Combined ratio (as a percent) | 109.10% | 114.40% | 99.10% | 101.80% |
Goodwill and intangible assets | $ 0 | $ 0 | $ 0 | $ 0 |
Segment Reconciling Items | ||||
Segment Information [Line Items] | ||||
Net investment income | 88,177 | 107,339 | 271,744 | 326,174 |
Net investment gains (losses) | (146,458) | 10,932 | (414,231) | 113,868 |
Foreign exchange gains | 135,660 | 28,032 | 236,934 | 4,316 |
Interest expense and financing costs | (15,915) | (15,954) | (46,720) | (46,759) |
Reorganization expenses | (6,213) | 0 | (21,941) | 0 |
Amortization of value of business acquired | 0 | (1,028) | 0 | (3,083) |
Amortization of intangible assets | (2,729) | (3,149) | (8,188) | (9,163) |
Corporate Expenses | ||||
Segment Information [Line Items] | ||||
Underwriting-related general and administrative expenses and corporate expenses | $ (25,675) | $ (23,134) | $ (79,803) | $ (82,365) |
INVESTMENTS - Fixed Maturities
INVESTMENTS - Fixed Maturities Available for Sale (Details) - USD ($) $ in Thousands | Sep. 30, 2022 | Jun. 30, 2022 | Dec. 31, 2021 | Sep. 30, 2021 | Jun. 30, 2021 | Dec. 31, 2020 |
Available for sale | ||||||
Amortized cost | $ 11,865,935 | $ 12,241,782 | ||||
Allowance for expected credit losses | (10,504) | $ (7,294) | (313) | $ (399) | $ (84) | $ (323) |
Gross unrealized gains | 2,506 | 165,977 | ||||
Gross unrealized losses | (1,073,584) | (94,246) | ||||
Fair value | 10,784,353 | 12,313,200 | ||||
U.S. government and agency | ||||||
Available for sale | ||||||
Amortized cost | 2,524,837 | 2,693,319 | ||||
Allowance for expected credit losses | 0 | 0 | ||||
Gross unrealized gains | 26 | 9,776 | ||||
Gross unrealized losses | (138,355) | (20,647) | ||||
Fair value | 2,386,508 | 2,682,448 | ||||
Non-U.S. government | ||||||
Available for sale | ||||||
Amortized cost | 595,713 | 794,705 | ||||
Allowance for expected credit losses | 0 | 0 | ||||
Gross unrealized gains | 254 | 10,158 | ||||
Gross unrealized losses | (80,272) | (9,685) | ||||
Fair value | 515,695 | 795,178 | ||||
Corporate debt | ||||||
Available for sale | ||||||
Amortized cost | 4,688,443 | 4,446,585 | ||||
Allowance for expected credit losses | (10,380) | (236) | ||||
Gross unrealized gains | 1,167 | 87,075 | ||||
Gross unrealized losses | (539,118) | (38,112) | ||||
Fair value | 4,140,112 | 4,495,312 | ||||
Agency RMBS | ||||||
Available for sale | ||||||
Amortized cost | 1,128,676 | 1,065,973 | ||||
Allowance for expected credit losses | 0 | 0 | ||||
Gross unrealized gains | 405 | 17,397 | ||||
Gross unrealized losses | (113,073) | (8,781) | ||||
Fair value | 1,016,008 | 1,074,589 | ||||
CMBS | ||||||
Available for sale | ||||||
Amortized cost | 1,088,174 | 1,223,051 | ||||
Allowance for expected credit losses | 0 | 0 | ||||
Gross unrealized gains | 21 | 29,827 | ||||
Gross unrealized losses | (83,187) | (4,687) | ||||
Fair value | 1,005,008 | 1,248,191 | ||||
Non-agency RMBS | ||||||
Available for sale | ||||||
Amortized cost | 160,143 | 185,854 | ||||
Allowance for expected credit losses | (91) | (77) | ||||
Gross unrealized gains | 403 | 2,410 | ||||
Gross unrealized losses | (19,099) | (2,023) | ||||
Fair value | 141,356 | 186,164 | ||||
ABS | ||||||
Available for sale | ||||||
Amortized cost | 1,520,653 | 1,628,739 | ||||
Allowance for expected credit losses | (33) | 0 | ||||
Gross unrealized gains | 230 | 3,406 | ||||
Gross unrealized losses | (84,138) | (9,665) | ||||
Fair value | 1,436,712 | 1,622,480 | ||||
Municipals | ||||||
Available for sale | ||||||
Amortized cost | 159,296 | 203,556 | ||||
Allowance for expected credit losses | 0 | 0 | ||||
Gross unrealized gains | 0 | 5,928 | ||||
Gross unrealized losses | (16,342) | (646) | ||||
Fair value | $ 142,954 | $ 208,838 |
INVESTMENTS - Fixed Maturitie_2
INVESTMENTS - Fixed Maturities Held to Maturity (Details) - USD ($) $ in Thousands | Sep. 30, 2022 | Dec. 31, 2021 |
Held to maturity | ||
Amortized cost | $ 690,380 | $ 446,016 |
Allowance for expected credit losses | 0 | 0 |
Net carrying value | 690,380 | 446,016 |
Gross unrealized gains | 0 | 99 |
Gross unrealized losses | (26,676) | (1,082) |
Fair value | 663,704 | 445,033 |
Corporate debt | ||
Held to maturity | ||
Amortized cost | 77,200 | 37,700 |
Allowance for expected credit losses | 0 | 0 |
Net carrying value | 77,200 | 37,700 |
Gross unrealized gains | 0 | 18 |
Gross unrealized losses | (11,347) | (146) |
Fair value | 65,853 | 37,572 |
ABS | ||
Held to maturity | ||
Amortized cost | 613,180 | 408,316 |
Allowance for expected credit losses | 0 | 0 |
Net carrying value | 613,180 | 408,316 |
Gross unrealized gains | 0 | 81 |
Gross unrealized losses | (15,329) | (936) |
Fair value | $ 597,851 | $ 407,461 |
INVESTMENTS - Narrative (Detail
INVESTMENTS - Narrative (Details) - USD ($) $ in Thousands | 9 Months Ended | |||
Mar. 01, 2021 | Sep. 30, 2021 | Sep. 30, 2022 | Dec. 31, 2021 | |
Debt Securities, Available-for-sale [Line Items] | ||||
Fair value of securities transferred from available for sale to fixed maturities, held to maturity | $ 405,000 | $ 405,000 | ||
Net carrying value of fixed investments held to maturity | $ 690,380 | $ 446,016 | ||
Allowance for expected credit losses | 0 | 0 | ||
ABS | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Net carrying value of fixed investments held to maturity | 613,180 | 408,316 | ||
Allowance for expected credit losses | 0 | 0 | ||
Corporate debt | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Net carrying value of fixed investments held to maturity | 77,200 | 37,700 | ||
Allowance for expected credit losses | $ 0 | $ 0 |
INVESTMENTS - Equity Securities
INVESTMENTS - Equity Securities (Details) - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2022 | Dec. 31, 2021 | |
Debt and Equity Securities, FV-NI [Line Items] | ||
Cost | $ 519,926 | $ 528,864 |
Gross unrealized gains | 57,133 | 135,230 |
Gross unrealized losses | (107,220) | (8,419) |
Fair value | $ 469,839 | 655,675 |
Limited partnership | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Percentage of investment composition (as a percent) | 70% | |
Common stocks | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Cost | $ 13,655 | 1,264 |
Gross unrealized gains | 350 | 585 |
Gross unrealized losses | (2,718) | (485) |
Fair value | 11,287 | 1,364 |
Preferred stocks | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Cost | 115 | 115 |
Gross unrealized gains | 0 | 64 |
Gross unrealized losses | (43) | 0 |
Fair value | 72 | 179 |
Exchange-traded funds | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Cost | 227,847 | 203,455 |
Gross unrealized gains | 56,783 | 134,037 |
Gross unrealized losses | (14,050) | (677) |
Fair value | 270,580 | 336,815 |
Bond mutual funds | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Cost | 278,309 | 324,030 |
Gross unrealized gains | 0 | 544 |
Gross unrealized losses | (90,409) | (7,257) |
Fair value | $ 187,900 | $ 317,317 |
INVESTMENTS - Contractual Matur
INVESTMENTS - Contractual Maturities (Details) - USD ($) $ in Thousands | 9 Months Ended | |
Sep. 30, 2022 | Dec. 31, 2021 | |
Amortized cost | ||
Due in one year or less | $ 642,398 | $ 503,716 |
Due after one year through five years | 4,820,949 | 4,878,151 |
Due after five years through ten years | 2,266,898 | 2,478,542 |
Due after ten years | 238,044 | 277,756 |
Total fixed maturities with a single maturity date | 7,968,289 | 8,138,165 |
Amortized cost, Total | 11,865,935 | 12,241,782 |
Fair value | ||
Due in one year or less | 625,398 | 505,602 |
Due after one year through five years | 4,445,708 | 4,908,640 |
Due after five years through ten years | 1,911,316 | 2,488,478 |
Due after ten years | 202,847 | 279,056 |
Total fixed maturities with a single maturity date | 7,185,269 | 8,181,776 |
Fair value | $ 10,784,353 | $ 12,313,200 |
% of Total fair value | ||
Due in one year or less (as a percent) | 5.90% | 4.10% |
Due after one year through five years (as a percent) | 41.20% | 39.90% |
Due after five years through ten years (as a percent) | 17.70% | 20.20% |
Due after ten years (as a percent) | 1.90% | 2.30% |
Fixed maturities with a single maturity date (as a percent) | 66.70% | 66.50% |
Total (as a percent) | 100% | 100% |
Agency RMBS | ||
Amortized cost | ||
Fixed maturities without a single maturity date | $ 1,128,676 | $ 1,065,973 |
Amortized cost, Total | 1,128,676 | 1,065,973 |
Fair value | ||
Fixed maturities without a single maturity date | 1,016,008 | 1,074,589 |
Fair value | $ 1,016,008 | $ 1,074,589 |
% of Total fair value | ||
Fixed maturities without a single maturity date (as a percent) | 9.40% | 8.70% |
CMBS | ||
Amortized cost | ||
Fixed maturities without a single maturity date | $ 1,088,174 | $ 1,223,051 |
Amortized cost, Total | 1,088,174 | 1,223,051 |
Fair value | ||
Fixed maturities without a single maturity date | 1,005,008 | 1,248,191 |
Fair value | $ 1,005,008 | $ 1,248,191 |
% of Total fair value | ||
Fixed maturities without a single maturity date (as a percent) | 9.30% | 10.10% |
Non-agency RMBS | ||
Amortized cost | ||
Fixed maturities without a single maturity date | $ 160,143 | $ 185,854 |
Amortized cost, Total | 160,143 | 185,854 |
Fair value | ||
Fixed maturities without a single maturity date | 141,356 | 186,164 |
Fair value | $ 141,356 | $ 186,164 |
% of Total fair value | ||
Fixed maturities without a single maturity date (as a percent) | 1.30% | 1.50% |
ABS | ||
Amortized cost | ||
Fixed maturities without a single maturity date | $ 1,520,653 | $ 1,628,739 |
Amortized cost, Total | 1,520,653 | 1,628,739 |
Fair value | ||
Fixed maturities without a single maturity date | 1,436,712 | 1,622,480 |
Fair value | $ 1,436,712 | $ 1,622,480 |
% of Total fair value | ||
Fixed maturities without a single maturity date (as a percent) | 13.30% | 13.20% |
Held-to-maturity securities without a single maturity date | $ 613,000 | $ 408,000 |
Corporate debt | ||
Amortized cost | ||
Amortized cost, Total | 4,688,443 | 4,446,585 |
Fair value | ||
Fair value | 4,140,112 | 4,495,312 |
% of Total fair value | ||
Held-to-maturity securities with maturity after three years through 10 years | 73,000 | 34,000 |
Held-to-maturity securities with maturity after ten years | $ 4,000 | $ 4,000 |
Corporate debt | Minimum | ||
% of Total fair value | ||
Debt securities, held-to-maturity, maturity period | 3 years | |
Corporate debt | Maximum | ||
% of Total fair value | ||
Debt securities, held-to-maturity, maturity period | 10 years |
INVESTMENTS - Gross Unrealized
INVESTMENTS - Gross Unrealized Losses (Details) $ in Thousands | Sep. 30, 2022 USD ($) security | Dec. 31, 2021 USD ($) security |
Fixed maturities, available for sale | ||
Fair value | ||
12 months or greater | $ 2,399,371 | $ 390,141 |
Less than 12 months | 8,178,304 | 6,197,689 |
Total | 10,577,675 | 6,587,830 |
Unrealized losses | ||
12 months or greater | (360,765) | (17,715) |
Less than 12 months | (712,819) | (76,531) |
Total | $ (1,073,584) | $ (94,246) |
Number of securities in unrealized loss position | security | 4,929 | 2,333 |
Number of securities in a continuous unrealized loss position | security | 1,302 | 344 |
Fixed maturities, available for sale | Below Investment Grade or Not Rated | ||
Unrealized losses | ||
Total | $ (103,000) | $ (8,000) |
U.S. government and agency | ||
Fair value | ||
12 months or greater | 456,814 | 101,776 |
Less than 12 months | 1,899,250 | 2,014,880 |
Total | 2,356,064 | 2,116,656 |
Unrealized losses | ||
12 months or greater | (29,770) | (4,852) |
Less than 12 months | (108,585) | (15,795) |
Total | (138,355) | (20,647) |
Non-U.S. government | ||
Fair value | ||
12 months or greater | 174,043 | 11,011 |
Less than 12 months | 329,691 | 463,498 |
Total | 503,734 | 474,509 |
Unrealized losses | ||
12 months or greater | (26,531) | (1,830) |
Less than 12 months | (53,741) | (7,855) |
Total | (80,272) | (9,685) |
Corporate debt | ||
Fair value | ||
12 months or greater | 832,099 | 152,962 |
Less than 12 months | 3,257,887 | 1,681,859 |
Total | 4,089,986 | 1,834,821 |
Unrealized losses | ||
12 months or greater | (187,235) | (6,542) |
Less than 12 months | (351,883) | (31,570) |
Total | (539,118) | (38,112) |
Agency RMBS | ||
Fair value | ||
12 months or greater | 159,089 | 41,024 |
Less than 12 months | 802,339 | 503,988 |
Total | 961,428 | 545,012 |
Unrealized losses | ||
12 months or greater | (32,820) | (1,678) |
Less than 12 months | (80,253) | (7,103) |
Total | (113,073) | (8,781) |
CMBS | ||
Fair value | ||
12 months or greater | 195,868 | 30,128 |
Less than 12 months | 778,826 | 347,515 |
Total | 974,694 | 377,643 |
Unrealized losses | ||
12 months or greater | (25,689) | (1,001) |
Less than 12 months | (57,498) | (3,686) |
Total | (83,187) | (4,687) |
Non-agency RMBS | ||
Fair value | ||
12 months or greater | 60,670 | 4,481 |
Less than 12 months | 74,280 | 109,937 |
Total | 134,950 | 114,418 |
Unrealized losses | ||
12 months or greater | (11,360) | (523) |
Less than 12 months | (7,739) | (1,500) |
Total | (19,099) | (2,023) |
ABS | ||
Fair value | ||
12 months or greater | 495,725 | 43,466 |
Less than 12 months | 918,205 | 1,040,363 |
Total | 1,413,930 | 1,083,829 |
Unrealized losses | ||
12 months or greater | (42,822) | (1,152) |
Less than 12 months | (41,316) | (8,513) |
Total | (84,138) | (9,665) |
Municipals | ||
Fair value | ||
12 months or greater | 25,063 | 5,293 |
Less than 12 months | 117,826 | 35,649 |
Total | 142,889 | 40,942 |
Unrealized losses | ||
12 months or greater | (4,538) | (137) |
Less than 12 months | (11,804) | (509) |
Total | $ (16,342) | $ (646) |
INVESTMENTS - Mortgage Loans (D
INVESTMENTS - Mortgage Loans (Details) | Sep. 30, 2022 USD ($) | Dec. 31, 2021 USD ($) | Sep. 30, 2021 |
Mortgage loans, held for investment: | |||
Commercial | $ 653,700,000 | $ 594,088,000 | |
Commercial, Percent (as a percent) | 100% | 100% | |
Total mortgage loans, held-for-investment | $ 653,700,000 | $ 594,088,000 | |
Total mortgage loans, held-for investment, Percent (as a percent) | 100% | 100% | |
Weighted average debt service coverage ratios | 2.5 | 2.5 | |
Weighted average loan-to-value ratios (as a percent) | 59% | 60% | |
Credit losses associated with commercial mortgage loans | $ 0 | $ 0 |
INVESTMENTS - Other Investments
INVESTMENTS - Other Investments (Details) $ in Thousands | 9 Months Ended | 12 Months Ended | |
Sep. 30, 2022 USD ($) fund | Dec. 31, 2021 USD ($) | Dec. 31, 2015 USD ($) | |
Other Investments [Line Items] | |||
Other investments, at fair value | $ 970,310 | $ 947,982 | |
Percentage of total fair value (as a percent) | 100% | 100% | |
Long/short equity funds | |||
Other Investments [Line Items] | |||
Other investments, at fair value | $ 0 | $ 3,476 | |
Percentage of total fair value (as a percent) | 0% | 0% | |
Redemption notice period | 60 days | ||
Multi-strategy funds | |||
Other Investments [Line Items] | |||
Other investments, at fair value | $ 39,138 | $ 56,012 | |
Percentage of total fair value (as a percent) | 4% | 6% | |
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 | |
Multi-strategy funds | Other Redemption Restriction | |||
Other Investments [Line Items] | |||
Unfunded commitments related to other investments | $ 26,000 | $ 23,000 | |
Multi-strategy funds | Other Redemption Restriction | Minimum | |||
Other Investments [Line Items] | |||
Investment term | 2 years | ||
Direct lending funds | |||
Other Investments [Line Items] | |||
Other investments, at fair value | $ 249,561 | $ 289,867 | |
Percentage of total fair value (as a percent) | 26% | 31% | |
Redemption notice period | 90 days | 90 days | |
Direct lending funds | Other Redemption Restriction | |||
Other Investments [Line Items] | |||
Unfunded commitments related to other investments | $ 192,000 | $ 224,000 | |
Optional extension of investment term | 3 years | ||
Direct lending funds | Other Redemption Restriction | Minimum | |||
Other Investments [Line Items] | |||
Investment term | 4 years | ||
Direct lending funds | Other Redemption Restriction | Maximum | |||
Other Investments [Line Items] | |||
Investment term | 10 years | ||
Direct lending funds | Quarterly Redemption | |||
Other Investments [Line Items] | |||
Other investments, at fair value | $ 43,000 | 47,000 | |
Number of funds | fund | 1 | ||
Private equity funds | |||
Other Investments [Line Items] | |||
Other investments, at fair value | $ 268,593 | $ 249,974 | |
Percentage of total fair value (as a percent) | 28% | 26% | |
Private equity funds | Other Redemption Restriction | |||
Other Investments [Line Items] | |||
Unfunded commitments related to other investments | $ 167,000 | $ 178,000 | |
Investment term | 5 years | ||
Real estate funds | |||
Other Investments [Line Items] | |||
Other investments, at fair value | $ 287,932 | $ 238,222 | |
Percentage of total fair value (as a percent) | 30% | 25% | |
Redemption notice period | 45 days | ||
Real estate funds | Minimum | |||
Other Investments [Line Items] | |||
Redemption notice period | 45 days | ||
Real estate funds | Maximum | |||
Other Investments [Line Items] | |||
Redemption notice period | 90 days | ||
Real estate funds | Other Redemption Restriction | |||
Other Investments [Line Items] | |||
Unfunded commitments related to other investments | $ 147,000 | $ 173,000 | |
Real estate funds | Other Redemption Restriction | Minimum | |||
Other Investments [Line Items] | |||
Investment term | 2 years | ||
Real estate funds | Quarterly Redemption | |||
Other Investments [Line Items] | |||
Other investments, at fair value | $ 73,000 | 73,000 | |
Number of funds | fund | 1 | ||
Real estate funds | Annual Redemption | |||
Other Investments [Line Items] | |||
Other investments, at fair value | $ 26,000 | 0 | |
Number of funds | fund | 1 | ||
CLO-Equities | |||
Other Investments [Line Items] | |||
Other investments, at fair value | $ 5,167 | $ 5,910 | |
Percentage of total fair value (as a percent) | 0% | 1% | |
Other privately held investments | |||
Other Investments [Line Items] | |||
Other investments, at fair value | $ 119,919 | $ 104,521 | |
Percentage of total fair value (as a percent) | 12% | 11% | |
Hedge funds | Lockup Redemption Restriction | |||
Other Investments [Line Items] | |||
Fair value of other investments subject to redemption restrictions | $ 0 | $ 3,000 | |
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 Inv
INVESTMENTS - Equity Method Investments (Details) - Harrington Reinsurance Holdings Limited $ in Millions | 12 Months Ended |
Dec. 31, 2016 USD ($) | |
Schedule of Equity Method Investments [Line Items] | |
Payments to acquire equity method investments | $ 108 |
Equity method investment, ownership percentage (as a percent) | 19% |
Equity method investment, difference between carrying amount and underlying equity | $ 5 |
INVESTMENTS - Net Investment In
INVESTMENTS - Net Investment Income (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
Net Investment Income [Line Items] | ||||
Gross investment income | $ 94,888 | $ 113,640 | $ 291,971 | $ 344,891 |
Investment expenses | (6,711) | (6,301) | (20,227) | (18,717) |
Net investment income | 88,177 | 107,339 | 271,744 | 326,174 |
Fixed maturities | ||||
Net Investment Income [Line Items] | ||||
Gross investment income | 87,364 | 63,712 | 224,780 | 194,426 |
Other investments | ||||
Net Investment Income [Line Items] | ||||
Gross investment income | (7,576) | 41,695 | 32,801 | 124,941 |
Equity securities | ||||
Net Investment Income [Line Items] | ||||
Gross investment income | 2,490 | 2,724 | 7,349 | 8,322 |
Mortgage loans | ||||
Net Investment Income [Line Items] | ||||
Gross investment income | 6,256 | 4,426 | 15,323 | 12,967 |
Cash and cash equivalents | ||||
Net Investment Income [Line Items] | ||||
Gross investment income | 5,350 | 692 | 10,147 | 3,645 |
Short-term investments | ||||
Net Investment Income [Line Items] | ||||
Gross investment income | $ 1,004 | $ 391 | $ 1,571 | $ 590 |
INVESTMENTS - Net Investment Ga
INVESTMENTS - Net Investment Gains (Losses) (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
Gross realized investment gains | ||||
Fixed maturities and short-term investments | $ 1,095 | $ 21,036 | $ 11,390 | $ 126,901 |
Equity securities | 6,997 | 4 | 6,997 | 5,006 |
Gross realized investment gains | 8,092 | 21,040 | 18,387 | 131,907 |
Gross realized investment losses | ||||
Fixed maturities and short-term investments | (100,021) | (4,206) | (249,514) | (32,443) |
Equity securities | (178) | 0 | (403) | (116) |
Gross realized investment losses | (100,199) | (4,206) | (249,917) | (32,559) |
Change in allowance for expected credit losses | 3,210 | 315 | 10,191 | 76 |
Impairment losses | (6,491) | (22) | (7,074) | (22) |
Change in fair value of investment derivatives | 4,400 | 2,486 | 11,463 | 3,388 |
Net unrealized gains (losses) on equity securities | (49,050) | (8,051) | (176,899) | 11,230 |
Total net investment gains (losses) | $ (146,458) | $ 10,932 | $ (414,231) | $ 113,868 |
INVESTMENTS - Credit Losses on
INVESTMENTS - Credit Losses on AFS (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
Debt Securities, Available-for-sale, Allowance for Credit Loss [Roll Forward] | ||||
Balance at beginning of period | $ 7,294 | $ 84 | $ 313 | $ 323 |
Expected credit losses on securities where credit losses were not previously recognized | 6,320 | 0 | 13,228 | 64 |
Additions (reductions) for expected credit losses on securities where credit losses were previously recognized | (592) | 315 | (500) | 59 |
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 | (2,518) | 0 | (2,537) | (47) |
Balance at end of period | $ 10,504 | $ 399 | $ 10,504 | $ 399 |
FAIR VALUE MEASUREMENTS - Finan
FAIR VALUE MEASUREMENTS - Financial Instruments Measured at Fair Value (Details) - USD ($) $ in Thousands | Sep. 30, 2022 | Dec. 31, 2021 |
Assets | ||
Fixed maturities, available for sale | $ 10,784,353 | $ 12,313,200 |
Equity securities | 469,839 | 655,675 |
Other investments | 970,310 | 947,982 |
Short-term investments | 80,260 | 31,063 |
Derivative instruments (refer to Note 5) | 13,929 | 3,116 |
Total Assets | 12,318,691 | 13,951,036 |
Liabilities | ||
Derivative instruments | 24,493 | 20,617 |
Cash-settled awards | 4,084 | 9,091 |
Total Liabilities | 28,577 | 29,708 |
U.S. government and agency | ||
Assets | ||
Fixed maturities, available for sale | 2,386,508 | 2,682,448 |
Non-U.S. government | ||
Assets | ||
Fixed maturities, available for sale | 515,695 | 795,178 |
Corporate debt | ||
Assets | ||
Fixed maturities, available for sale | 4,140,112 | 4,495,312 |
Agency RMBS | ||
Assets | ||
Fixed maturities, available for sale | 1,016,008 | 1,074,589 |
CMBS | ||
Assets | ||
Fixed maturities, available for sale | 1,005,008 | 1,248,191 |
Non-agency RMBS | ||
Assets | ||
Fixed maturities, available for sale | 141,356 | 186,164 |
ABS | ||
Assets | ||
Fixed maturities, available for sale | 1,436,712 | 1,622,480 |
Municipals | ||
Assets | ||
Fixed maturities, available for sale | 142,954 | 208,838 |
Common stocks | ||
Assets | ||
Equity securities | 11,287 | 1,364 |
Preferred stocks | ||
Assets | ||
Equity securities | 72 | 179 |
Exchange-traded funds | ||
Assets | ||
Equity securities | 270,580 | 336,815 |
Bond mutual funds | ||
Assets | ||
Equity securities | 187,900 | 317,317 |
Hedge funds | ||
Assets | ||
Other investments | 39,138 | 59,488 |
Direct lending funds | ||
Assets | ||
Other investments | 249,561 | 289,867 |
Private equity funds | ||
Assets | ||
Other investments | 268,593 | 249,974 |
Real estate funds | ||
Assets | ||
Other investments | 287,932 | 238,222 |
CLO-Equities | ||
Assets | ||
Other investments | 5,167 | 5,910 |
Other privately held investments | ||
Assets | ||
Other investments | 119,919 | 104,521 |
Quoted prices in active markets for identical assets (Level 1) | ||
Assets | ||
Fixed maturities, available for sale | 2,348,010 | 2,632,541 |
Equity securities | 281,939 | 338,358 |
Other investments | 0 | 0 |
Short-term investments | 0 | 0 |
Derivative instruments (refer to Note 5) | 0 | 0 |
Total Assets | 2,629,949 | 2,970,899 |
Liabilities | ||
Derivative instruments | 0 | 0 |
Cash-settled awards | 0 | 0 |
Total Liabilities | 0 | 0 |
Quoted prices in active markets for identical assets (Level 1) | U.S. government and agency | ||
Assets | ||
Fixed maturities, available for sale | 2,348,010 | 2,632,541 |
Quoted prices in active markets for identical assets (Level 1) | Non-U.S. government | ||
Assets | ||
Fixed maturities, available for sale | 0 | 0 |
Quoted prices in active markets for identical assets (Level 1) | Corporate debt | ||
Assets | ||
Fixed maturities, available for sale | 0 | 0 |
Quoted prices in active markets for identical assets (Level 1) | Agency RMBS | ||
Assets | ||
Fixed maturities, available for sale | 0 | 0 |
Quoted prices in active markets for identical assets (Level 1) | CMBS | ||
Assets | ||
Fixed maturities, available for sale | 0 | 0 |
Quoted prices in active markets for identical assets (Level 1) | Non-agency RMBS | ||
Assets | ||
Fixed maturities, available for sale | 0 | 0 |
Quoted prices in active markets for identical assets (Level 1) | ABS | ||
Assets | ||
Fixed maturities, available for sale | 0 | 0 |
Quoted prices in active markets for identical assets (Level 1) | Municipals | ||
Assets | ||
Fixed maturities, available for sale | 0 | 0 |
Quoted prices in active markets for identical assets (Level 1) | Common stocks | ||
Assets | ||
Equity securities | 11,287 | 1,364 |
Quoted prices in active markets for identical assets (Level 1) | Preferred stocks | ||
Assets | ||
Equity securities | 72 | 179 |
Quoted prices in active markets for identical assets (Level 1) | Exchange-traded funds | ||
Assets | ||
Equity securities | 270,580 | 336,815 |
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 |
Significant other observable inputs (Level 2) | ||
Assets | ||
Fixed maturities, available for sale | 8,340,392 | 9,637,765 |
Equity securities | 187,900 | 317,317 |
Other investments | 0 | 0 |
Short-term investments | 80,260 | 31,063 |
Derivative instruments (refer to Note 5) | 13,929 | 3,116 |
Total Assets | 8,622,481 | 9,989,261 |
Liabilities | ||
Derivative instruments | 20,207 | 14,987 |
Cash-settled awards | 4,084 | 9,091 |
Total Liabilities | 24,291 | 24,078 |
Significant other observable inputs (Level 2) | U.S. government and agency | ||
Assets | ||
Fixed maturities, available for sale | 38,498 | 49,907 |
Significant other observable inputs (Level 2) | Non-U.S. government | ||
Assets | ||
Fixed maturities, available for sale | 515,695 | 795,178 |
Significant other observable inputs (Level 2) | Corporate debt | ||
Assets | ||
Fixed maturities, available for sale | 4,044,161 | 4,452,418 |
Significant other observable inputs (Level 2) | Agency RMBS | ||
Assets | ||
Fixed maturities, available for sale | 1,016,008 | 1,074,589 |
Significant other observable inputs (Level 2) | CMBS | ||
Assets | ||
Fixed maturities, available for sale | 1,005,008 | 1,248,191 |
Significant other observable inputs (Level 2) | Non-agency RMBS | ||
Assets | ||
Fixed maturities, available for sale | 141,356 | 186,164 |
Significant other observable inputs (Level 2) | ABS | ||
Assets | ||
Fixed maturities, available for sale | 1,436,712 | 1,622,480 |
Significant other observable inputs (Level 2) | Municipals | ||
Assets | ||
Fixed maturities, available for sale | 142,954 | 208,838 |
Significant other observable inputs (Level 2) | Common stocks | ||
Assets | ||
Equity securities | 0 | 0 |
Significant other observable inputs (Level 2) | Preferred stocks | ||
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 | 187,900 | 317,317 |
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 unobservable inputs (Level 3) | ||
Assets | ||
Fixed maturities, available for sale | 95,951 | 42,894 |
Equity securities | 0 | 0 |
Other investments | 125,086 | 110,431 |
Short-term investments | 0 | 0 |
Derivative instruments (refer to Note 5) | 0 | 0 |
Total Assets | 221,037 | 153,325 |
Liabilities | ||
Derivative instruments | 4,286 | 5,630 |
Cash-settled awards | 0 | 0 |
Total Liabilities | 4,286 | 5,630 |
Significant unobservable inputs (Level 3) | U.S. government and agency | ||
Assets | ||
Fixed maturities, available for sale | 0 | 0 |
Significant unobservable inputs (Level 3) | Non-U.S. government | ||
Assets | ||
Fixed maturities, available for sale | 0 | 0 |
Significant unobservable inputs (Level 3) | Corporate debt | ||
Assets | ||
Fixed maturities, available for sale | 95,951 | 42,894 |
Significant unobservable inputs (Level 3) | Agency RMBS | ||
Assets | ||
Fixed maturities, available for sale | 0 | 0 |
Significant unobservable inputs (Level 3) | CMBS | ||
Assets | ||
Fixed maturities, available for sale | 0 | 0 |
Significant unobservable inputs (Level 3) | Non-agency RMBS | ||
Assets | ||
Fixed maturities, available for sale | 0 | 0 |
Significant unobservable inputs (Level 3) | ABS | ||
Assets | ||
Fixed maturities, available for sale | 0 | 0 |
Significant unobservable inputs (Level 3) | Municipals | ||
Assets | ||
Fixed maturities, available for sale | 0 | 0 |
Significant unobservable inputs (Level 3) | Common stocks | ||
Assets | ||
Equity securities | 0 | 0 |
Significant unobservable inputs (Level 3) | Preferred stocks | ||
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 | 5,167 | 5,910 |
Significant unobservable inputs (Level 3) | Other privately held investments | ||
Assets | ||
Other investments | 119,919 | 104,521 |
Fair value based on NAV practical expedient | ||
Assets | ||
Other investments | 845,224 | 837,551 |
Total Assets | 845,224 | 837,551 |
Fair value based on NAV practical expedient | Hedge funds | ||
Assets | ||
Other investments | 39,138 | 59,488 |
Fair value based on NAV practical expedient | Direct lending funds | ||
Assets | ||
Other investments | 249,561 | 289,867 |
Fair value based on NAV practical expedient | Private equity funds | ||
Assets | ||
Other investments | 268,593 | 249,974 |
Fair value based on NAV practical expedient | Real estate funds | ||
Assets | ||
Other investments | $ 287,932 | $ 238,222 |
FAIR VALUE MEASUREMENTS - Signi
FAIR VALUE MEASUREMENTS - Significant Unobservable Inputs (Details) $ in Thousands | 9 Months Ended | |
Sep. 30, 2022 USD ($) | Dec. 31, 2021 USD ($) | |
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Other investments, at fair value | $ 970,310 | $ 947,982 |
Derivatives - Other underwriting-related derivatives | (24,493) | (20,617) |
Fixed maturities, available for sale | 10,784,353 | 12,313,200 |
Significant unobservable inputs (Level 3) | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Other investments, at fair value | 125,086 | 110,431 |
Derivatives - Other underwriting-related derivatives | (4,286) | (5,630) |
Fixed maturities, available for sale | 95,951 | $ 42,894 |
Significant unobservable inputs (Level 3) | Discounted cash flow | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Derivatives - Other underwriting-related derivatives | $ (4,286) | |
Significant unobservable inputs (Level 3) | Discounted cash flow | Discount rate | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Discount rate (as a percent) | 0.041 | |
Significant unobservable inputs (Level 3) | Discounted cash flow | Discount rate | Weighted average | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Discount rate (as a percent) | 0.041 | |
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 | $ 5,167 | |
Estimated maturity date | 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 date | 6 years | |
Significant unobservable inputs (Level 3) | Other investments - CLO-Equities | Discounted cash flow | Default rate | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Unobservable input (as a percent) | 0.045 | |
Significant unobservable inputs (Level 3) | Other investments - CLO-Equities | Discounted cash flow | Default rate | Weighted average | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Unobservable input (as a percent) | 0.045 | |
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 (as a percent) | 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 (as a percent) | 0.500 | |
Significant unobservable inputs (Level 3) | Other investments - CLO-Equities | Discounted cash flow | Collateral spread | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Unobservable input (as a percent) | 0.030 | |
Significant unobservable inputs (Level 3) | Other investments - CLO-Equities | Discounted cash flow | Collateral spread | Weighted average | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Unobservable input (as a percent) | 0.030 | |
Significant unobservable inputs (Level 3) | Other investments - Other privately held investments | Discounted cash flow | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Other investments, at fair value | $ 15,910 | |
Significant unobservable inputs (Level 3) | Other investments - Other privately held investments | Discounted cash flow | Weighted average | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Estimated maturity date | 3 years | |
Significant unobservable inputs (Level 3) | Other investments - Other privately held investments | Discounted cash flow | Minimum | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Estimated maturity date | 2 years | |
Significant unobservable inputs (Level 3) | Other investments - Other privately held investments | Discounted cash flow | Maximum | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Estimated maturity date | 3 years | |
Significant unobservable inputs (Level 3) | Other investments - Other privately held investments | Discounted cash flow | Default rate | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Unobservable input (as a percent) | 0.005 | |
Significant unobservable inputs (Level 3) | Other investments - Other privately held investments | Discounted cash flow | Default rate | Weighted average | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Unobservable input (as a percent) | 0.005 | |
Significant unobservable inputs (Level 3) | Other investments - Other privately held investments | Discounted cash flow | Discount rate | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Unobservable input (as a percent) | 0.054 | |
Significant unobservable inputs (Level 3) | Other investments - Other privately held investments | Discounted cash flow | Discount rate | Weighted average | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Unobservable input (as a percent) | 0.054 | |
Significant unobservable inputs (Level 3) | Other investments - Other privately held investments | Discounted cash flow | Loss absorption yield | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Unobservable input (as a percent) | 0.010 | |
Significant unobservable inputs (Level 3) | Other investments - Other privately held investments | Discounted cash flow | Loss absorption yield | Weighted average | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Unobservable input (as a percent) | 0.010 | |
Significant unobservable inputs (Level 3) | Other investments - Other privately held investments | Valuation, Market Approach | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Other investments, at fair value | $ 104,000 |
FAIR VALUE MEASUREMENTS - Chang
FAIR VALUE MEASUREMENTS - Changes in Level 3 for Financial Instruments (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Opening balance | $ 193,608 | $ 107,074 | $ 153,325 | $ 91,093 |
Transfers into Level 3 | 0 | 0 | 0 | 25,566 |
Transfers out of Level 3 | 0 | (12,582) | 0 | (28,789) |
Included in net income | 2,105 | 569 | 290 | 21,031 |
Included in OCI | (3,977) | (99) | (10,600) | (128) |
Purchases | 30,300 | 28,436 | 84,472 | 45,010 |
Sales | 0 | 0 | 0 | (26,980) |
Settlements/ distributions | (999) | (3,984) | (6,450) | (7,389) |
Closing balance | 221,037 | 119,414 | 221,037 | 119,414 |
Change in unrealized investment gains/(losses) | 2,139 | 569 | 324 | 3,651 |
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Opening balance | 4,708 | 8,117 | 5,630 | 9,122 |
Transfers into Level 3 | 0 | 0 | 0 | 0 |
Transfers out of Level 3 | 0 | 0 | 0 | 0 |
Included in net income | (422) | (398) | (1,344) | (1,403) |
Included in OCI | 0 | 0 | 0 | 0 |
Purchases | 0 | 0 | 0 | 0 |
Sales | 0 | 0 | 0 | 0 |
Settlements/ distributions | 0 | 0 | 0 | 0 |
Closing balance | 4,286 | 7,719 | 4,286 | 7,719 |
Change in unrealized investment gains/(losses) | (422) | (398) | (1,344) | (1,403) |
Other liabilities | Derivative instruments | ||||
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Opening balance | 4,708 | 8,117 | 5,630 | 9,122 |
Transfers into Level 3 | 0 | 0 | 0 | 0 |
Transfers out of Level 3 | 0 | 0 | 0 | 0 |
Included in net income | (422) | (398) | (1,344) | (1,403) |
Included in OCI | 0 | 0 | 0 | 0 |
Purchases | 0 | 0 | 0 | 0 |
Sales | 0 | 0 | 0 | 0 |
Settlements/ distributions | 0 | 0 | 0 | 0 |
Closing balance | 4,286 | 7,719 | 4,286 | 7,719 |
Change in unrealized investment gains/(losses) | (422) | (398) | (1,344) | (1,403) |
Fixed maturities, available for sale | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Opening balance | 72,830 | 35,286 | 42,894 | 14,909 |
Transfers into Level 3 | 0 | 0 | 0 | 25,566 |
Transfers out of Level 3 | 0 | (12,582) | 0 | (28,789) |
Included in net income | (34) | 0 | (34) | 0 |
Included in OCI | (3,977) | (99) | (10,600) | (128) |
Purchases | 27,600 | 25,000 | 64,832 | 38,300 |
Sales | 0 | 0 | 0 | 0 |
Settlements/ distributions | (468) | 0 | (1,141) | (2,253) |
Closing balance | 95,951 | 47,605 | 95,951 | 47,605 |
Change in unrealized investment gains/(losses) | 0 | 0 | 0 | 0 |
Fixed maturities, available for sale | Corporate debt | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Opening balance | 72,830 | 22,726 | 42,894 | 2,504 |
Transfers into Level 3 | 0 | 0 | 0 | 7,000 |
Transfers out of Level 3 | 0 | 0 | 0 | 0 |
Included in net income | (34) | 0 | (34) | 0 |
Included in OCI | (3,977) | (121) | (10,600) | (199) |
Purchases | 27,600 | 25,000 | 64,832 | 38,300 |
Sales | 0 | 0 | 0 | 0 |
Settlements/ distributions | (468) | 0 | (1,141) | 0 |
Closing balance | 95,951 | 47,605 | 95,951 | 47,605 |
Change in unrealized investment gains/(losses) | 0 | 0 | 0 | 0 |
Fixed maturities, available for sale | CMBS | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Opening balance | 0 | 0 | 0 | 1,740 |
Transfers into Level 3 | 0 | 0 | 0 | 0 |
Transfers out of Level 3 | 0 | 0 | 0 | 0 |
Included in net income | 0 | 0 | 0 | 0 |
Included in OCI | 0 | 0 | 0 | 13 |
Purchases | 0 | 0 | 0 | 0 |
Sales | 0 | 0 | 0 | 0 |
Settlements/ distributions | 0 | 0 | 0 | (1,753) |
Closing balance | 0 | 0 | 0 | 0 |
Change in unrealized investment gains/(losses) | 0 | 0 | 0 | 0 |
Fixed maturities, available for sale | ABS | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Opening balance | 0 | 12,560 | 0 | 10,665 |
Transfers into Level 3 | 0 | 0 | 0 | 18,566 |
Transfers out of Level 3 | 0 | (12,582) | 0 | (28,789) |
Included in net income | 0 | 0 | 0 | 0 |
Included in OCI | 0 | 22 | 0 | 58 |
Purchases | 0 | 0 | 0 | 0 |
Sales | 0 | 0 | 0 | 0 |
Settlements/ distributions | 0 | 0 | 0 | (500) |
Closing balance | 0 | 0 | 0 | 0 |
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 | 120,778 | 71,788 | 110,431 | 76,184 |
Transfers into Level 3 | 0 | 0 | 0 | 0 |
Transfers out of Level 3 | 0 | 0 | 0 | 0 |
Included in net income | 2,139 | 569 | 324 | 21,031 |
Included in OCI | 0 | 0 | 0 | 0 |
Purchases | 2,700 | 3,436 | 19,640 | 6,710 |
Sales | 0 | 0 | 0 | (26,980) |
Settlements/ distributions | (531) | (3,984) | (5,309) | (5,136) |
Closing balance | 125,086 | 71,809 | 125,086 | 71,809 |
Change in unrealized investment gains/(losses) | 2,139 | 569 | 324 | 3,651 |
Other investments | CLO-Equities | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Opening balance | 4,808 | 7,002 | 5,910 | 6,173 |
Transfers into Level 3 | 0 | 0 | 0 | 0 |
Transfers out of Level 3 | 0 | 0 | 0 | 0 |
Included in net income | 890 | 356 | 2,566 | 2,337 |
Included in OCI | 0 | 0 | 0 | 0 |
Purchases | 0 | 0 | 0 | 0 |
Sales | 0 | 0 | 0 | 0 |
Settlements/ distributions | (531) | (1,061) | (3,309) | (2,213) |
Closing balance | 5,167 | 6,297 | 5,167 | 6,297 |
Change in unrealized investment gains/(losses) | 890 | 356 | 2,566 | 2,337 |
Other investments | Other privately held investments | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Opening balance | 115,970 | 64,786 | 104,521 | 70,011 |
Transfers into Level 3 | 0 | 0 | 0 | 0 |
Transfers out of Level 3 | 0 | 0 | 0 | 0 |
Included in net income | 1,249 | 213 | (2,242) | 18,694 |
Included in OCI | 0 | 0 | 0 | 0 |
Purchases | 2,700 | 3,436 | 19,640 | 6,710 |
Sales | 0 | 0 | 0 | (26,980) |
Settlements/ distributions | 0 | (2,923) | (2,000) | (2,923) |
Closing balance | 119,919 | 65,512 | 119,919 | 65,512 |
Change in unrealized investment gains/(losses) | $ 1,249 | $ 213 | $ (2,242) | $ 1,314 |
FAIR VALUE MEASUREMENTS - Narra
FAIR VALUE MEASUREMENTS - Narrative (Details) - USD ($) $ in Thousands | Sep. 30, 2022 | Dec. 31, 2021 |
Fair Value Balance Sheet Grouping Financial Statement Captions [Line Items] | ||
Amortized cost | $ 690,380 | $ 446,016 |
Fair value | 663,704 | 445,033 |
Federal Home Loan Bank advances | 80,540 | 0 |
Federal Home Loan Bank advances, fair value | 81,000 | 0 |
Reported value measurement | ||
Fair Value Balance Sheet Grouping Financial Statement Captions [Line Items] | ||
Notes payable | 1,313,000 | 1,311,000 |
Estimate of fair value measurement | ||
Fair Value Balance Sheet Grouping Financial Statement Captions [Line Items] | ||
Notes payable | $ 1,136,000 | $ 1,453,000 |
DERIVATIVE INSTRUMENTS - Schedu
DERIVATIVE INSTRUMENTS - Schedule of Derivative Instruments (Details) - USD ($) $ in Thousands | Sep. 30, 2022 | Dec. 31, 2021 |
Derivative Fair Values on Consolidated Balance Sheet [Line Items] | ||
Derivative asset fair value | $ 13,929 | $ 3,116 |
Derivative liability fair value | $ 24,493 | $ 20,617 |
Derivative Asset, Statement of Financial Position [Extensible Enumeration] | Other assets | Other assets |
Derivative Liability, Statement of Financial Position [Extensible Enumeration] | Other liabilities | Other liabilities |
Not Designated as Hedging Instruments | ||
Derivative Fair Values on Consolidated Balance Sheet [Line Items] | ||
Derivative asset fair value | $ 13,929 | $ 3,116 |
Derivative liability fair value | 24,493 | 20,617 |
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 | 151,002 | 184,187 |
Derivative asset fair value | 1,710 | 13 |
Derivative liability fair value | 14 | 1,463 |
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 | 1,288,186 | 1,258,836 |
Derivative asset fair value | 12,219 | 3,103 |
Derivative liability fair value | 20,193 | 13,524 |
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 | 50,000 | 50,000 |
Derivative asset fair value | 0 | 0 |
Derivative liability fair value | $ 4,286 | $ 5,630 |
DERIVATIVE INSTRUMENTS - Offset
DERIVATIVE INSTRUMENTS - Offsetting Assets and Liabilities (Details) - USD ($) $ in Thousands | Sep. 30, 2022 | Dec. 31, 2021 |
Derivative assets | ||
Gross amounts | $ 32,410 | $ 9,047 |
Gross amounts offset | (18,481) | (5,931) |
Net amounts | 13,929 | 3,116 |
Derivative liabilities | ||
Gross amounts | 42,974 | 26,548 |
Gross amounts offset | (18,481) | (5,931) |
Net amounts | $ 24,493 | $ 20,617 |
DERIVATIVE INSTRUMENTS - Other
DERIVATIVE INSTRUMENTS - Other Underwriting-related Risks (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
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 | $ (31,756) | $ (7,196) | $ (82,894) | $ (31,949) |
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 | 4,400 | 2,486 | 11,463 | 3,388 |
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 | (36,577) | (10,081) | (95,700) | (36,741) |
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 | $ 421 | $ 399 | $ 1,343 | $ 1,404 |
RESERVE FOR LOSSES AND LOSS E_3
RESERVE FOR LOSSES AND LOSS EXPENSES - Reserve Roll-Forward (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
Liability for Unpaid Claims and Claims Adjustment Expense [Roll Forward] | ||||
Gross reserve for losses and loss expenses, beginning of period | $ 14,653,094 | $ 13,926,766 | ||
Less reinsurance recoverable on unpaid losses and loss expenses, beginning of period | (5,017,611) | (4,496,641) | ||
Net reserve for unpaid losses and loss expenses, beginning of period | 9,635,483 | 9,430,125 | ||
Net incurred losses and loss expenses related to: | ||||
Current year | 2,461,828 | 2,315,697 | ||
Prior years | $ (4,735) | $ (11,012) | (17,632) | (23,138) |
Net incurred losses and loss expenses | 941,911 | 911,369 | 2,444,196 | 2,292,559 |
Net paid losses and loss expenses related to: | ||||
Current year | (269,466) | (263,969) | ||
Prior years | (1,900,366) | (1,778,479) | ||
Net paid losses and loss expenses | (2,169,832) | (2,042,448) | ||
Foreign exchange and other | (501,914) | (10,885) | ||
Net reserve for unpaid losses and loss expenses, end of period | 9,407,933 | 9,669,351 | 9,407,933 | 9,669,351 |
Reinsurance recoverable on unpaid losses and loss expenses, end of period | 5,244,263 | 4,989,645 | 5,244,263 | 4,989,645 |
Gross reserve for losses and loss expenses, end of period | $ 14,652,196 | $ 14,658,996 | $ 14,652,196 | $ 14,658,996 |
RESERVE FOR LOSSES AND LOSS E_4
RESERVE FOR LOSSES AND LOSS EXPENSES - Narrative (Details) - USD ($) $ in Thousands | 9 Months Ended | |
Sep. 30, 2022 | Sep. 30, 2021 | |
Causes of Increase (Decrease) in Liability for Unpaid Claims and Claims Adjustment Expense [Line Items] | ||
Net loss and loss expenses | $ 2,461,828 | $ 2,315,697 |
Novae Syndicate 2007 | ||
Causes of Increase (Decrease) in Liability for Unpaid Claims and Claims Adjustment Expense [Line Items] | ||
Policyholder benefits and claims incurred, assumed and ceded | 49,000 | |
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 | $ 339,000 | $ 389,000 |
RESERVE FOR LOSSES AND LOSS E_5
RESERVE FOR LOSSES AND LOSS EXPENSES - Prior Year Development (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
Liability for Claims and Claims Adjustment Expense [Line Items] | ||||
Prior years - net favorable (adverse) effect | $ 4,735 | $ 11,012 | $ 17,632 | $ 23,138 |
Insurance | ||||
Liability for Claims and Claims Adjustment Expense [Line Items] | ||||
Prior years - net favorable (adverse) effect | 2,558 | 5,418 | 12,396 | 13,351 |
Reinsurance | ||||
Liability for Claims and Claims Adjustment Expense [Line Items] | ||||
Prior years - net favorable (adverse) effect | $ 2,177 | $ 5,594 | $ 5,236 | $ 9,787 |
RESERVE FOR LOSSES AND LOSS E_6
RESERVE FOR LOSSES AND LOSS EXPENSES - Prior Year Reserve Development By Segment, Reserving Class And Accident Year (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
Liability for Future Policy Benefit, by Product Segment [Line Items] | ||||
Prior years - net favorable (adverse) effect | $ 4,735 | $ 11,012 | $ 17,632 | $ 23,138 |
Insurance | ||||
Liability for Future Policy Benefit, by Product Segment [Line Items] | ||||
Prior years - net favorable (adverse) effect | 2,558 | 5,418 | 12,396 | 13,351 |
Insurance | Property and other | ||||
Liability for Future Policy Benefit, by Product Segment [Line Items] | ||||
Prior years - net favorable (adverse) effect | 5,211 | 12,486 | 18,290 | 63,167 |
Insurance | Marine | ||||
Liability for Future Policy Benefit, by Product Segment [Line Items] | ||||
Prior years - net favorable (adverse) effect | 17,346 | 4,189 | 30,239 | 23,411 |
Insurance | Aviation | ||||
Liability for Future Policy Benefit, by Product Segment [Line Items] | ||||
Prior years - net favorable (adverse) effect | 3,203 | 3,958 | 7,888 | 9,802 |
Insurance | Credit and political risk | ||||
Liability for Future Policy Benefit, by Product Segment [Line Items] | ||||
Prior years - net favorable (adverse) effect | 8,106 | 7,610 | 13,288 | 6,294 |
Insurance | Professional lines | ||||
Liability for Future Policy Benefit, by Product Segment [Line Items] | ||||
Prior years - net favorable (adverse) effect | (2,747) | (20,759) | (3,937) | (68,405) |
Insurance | Liability | ||||
Liability for Future Policy Benefit, by Product Segment [Line Items] | ||||
Prior years - net favorable (adverse) effect | (28,561) | (2,066) | (53,372) | (20,918) |
Reinsurance | ||||
Liability for Future Policy Benefit, by Product Segment [Line Items] | ||||
Prior years - net favorable (adverse) effect | 2,177 | 5,594 | 5,236 | 9,787 |
Reinsurance | Property and other | ||||
Liability for Future Policy Benefit, by Product Segment [Line Items] | ||||
Prior years - net favorable (adverse) effect | 12,794 | (5,486) | 44,127 | 7,792 |
Reinsurance | Professional lines | ||||
Liability for Future Policy Benefit, by Product Segment [Line Items] | ||||
Prior years - net favorable (adverse) effect | (11,431) | (3,244) | (41,954) | (14,048) |
Reinsurance | Liability | ||||
Liability for Future Policy Benefit, by Product Segment [Line Items] | ||||
Prior years - net favorable (adverse) effect | (11,940) | (2,645) | (22,868) | (21,157) |
Reinsurance | Credit and surety | ||||
Liability for Future Policy Benefit, by Product Segment [Line Items] | ||||
Prior years - net favorable (adverse) effect | 5,905 | 8,623 | 16,952 | (1,231) |
Reinsurance | Motor | ||||
Liability for Future Policy Benefit, by Product Segment [Line Items] | ||||
Prior years - net favorable (adverse) effect | $ 6,849 | $ 8,345 | $ 8,979 | $ 38,431 |
EARNINGS PER COMMON SHARE (Deta
EARNINGS PER COMMON SHARE (Details) - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
Earnings (loss) per common share: | ||||
Net income (loss) | $ (9,384) | $ 54,948 | $ 174,592 | $ 413,716 |
Less: Preferred share dividends | 7,563 | 7,563 | 22,688 | 22,688 |
Net income (loss) available (attributable) to common shareholders | $ (16,947) | $ 47,385 | $ 151,904 | $ 391,028 |
Weighted average common shares outstanding (in shares) | 84,660 | 84,771 | 84,930 | 84,684 |
Earnings (loss) per common share (in usd per share) | $ (0.20) | $ 0.56 | $ 1.79 | $ 4.62 |
Earnings (loss) per diluted common share | ||||
Net income (loss) available (attributable) to common shareholders | $ (16,947) | $ 47,385 | $ 151,904 | $ 391,028 |
Weighted average common shares outstanding (in shares) | 84,660 | 84,771 | 84,930 | 84,684 |
Share-based compensation plans (in shares) | 0 | 565 | 744 | 507 |
Weighted average diluted common shares outstanding (in shares) | 84,660 | 85,336 | 85,674 | 85,191 |
Earnings (loss) per diluted common share (in usd per share) | $ (0.20) | $ 0.56 | $ 1.77 | $ 4.59 |
Weighted average anti-dilutive shares excluded from the dilutive computation (in shares) | 160 | 477 | 432 | 873 |
SHARE-BASED COMPENSATION - Narr
SHARE-BASED COMPENSATION - Narrative (Details) - trading_day | 9 Months Ended | |
Sep. 30, 2022 | Dec. 31, 2021 | |
Reconcilation of Beginning and Ending Balance of Nonvested Restricted Stock (including RSUs) [Line Items] | ||
Trading days proceeding and performance period | 10 | 10 |
Performance Restricted Stock Units | Performance Restricted Stock Units Granted In 2022 | ||
Reconcilation of Beginning and Ending Balance of Nonvested Restricted Stock (including RSUs) [Line Items] | ||
Vesting period | 3 years | |
Performance Restricted Stock Units | Performance Restricted Stock Units Granted In 2022 | Minimum | ||
Reconcilation of Beginning and Ending Balance of Nonvested Restricted Stock (including RSUs) [Line Items] | ||
Vesting percentage (as a percent) | 0% | |
Performance Restricted Stock Units | Performance Restricted Stock Units Granted In 2022 | Maximum | ||
Reconcilation of Beginning and Ending Balance of Nonvested Restricted Stock (including RSUs) [Line Items] | ||
Vesting percentage (as a percent) | 200% |
SHARE-BASED COMPENSATION - Valu
SHARE-BASED COMPENSATION - Valuation Assumptions (Details) - Performance Restricted Stock Units | 9 Months Ended | |
Sep. 30, 2022 | Sep. 30, 2021 | |
Reconcilation of Beginning and Ending Balance of Nonvested Restricted Stock (including RSUs) [Line Items] | ||
Expected volatility (as a percent) | 33.44% | 32.99% |
Expected term (in years) | 3 years | 3 years |
Risk-free interest rate (as a percent) | 1.26% | 0.17% |
SHARE-BASED COMPENSATION - Shar
SHARE-BASED COMPENSATION - Share/Cash Settled Restricted Stock Units (Details) - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2021 | Dec. 31, 2021 | |
Weighted average grant date fair value | |||
Liability for cash-settled restricted stock units | $ 4,084 | $ 9,091 | |
Performance Vesting Restricted Stock Units | Share Settled | |||
Number of restricted stock units | |||
Nonvested restricted stock units - beginning of period (in shares) | 311 | ||
Granted (in shares) | 140 | ||
Vested (in shares) | (100) | ||
Forfeited (in shares) | 0 | ||
Nonvested restricted stock units - end of period (in shares) | 351 | ||
Weighted average grant date fair value | |||
Nonvested restricted stock units - beginning of period (in usd per share) | $ 54.75 | ||
Granted (in usd per share) | 68.63 | ||
Vested (in usd per share) | 54.70 | ||
Forfeited (in usd per share) | 0 | ||
Nonvested restricted stock units - end of period (in usd per share) | $ 60.15 | ||
Restricted Stock Units (RSUs) | |||
Weighted average grant date fair value | |||
Share-based compensation expense | $ 43,595 | $ 37,394 | |
Tax benefits associated with share-based compensation expense | 7,468 | 6,248 | |
Fair value of restricted stock units vested | 49,239 | 42,582 | |
Unrecognized share-based compensation expense | $ 91,810 | $ 95,636 | |
Expected weighted average period associated with the recognition of unrecognized share-based compensation expense | 2 years 6 months | 2 years 7 months 6 days | |
Restricted Stock Units (RSUs) | Share Settled | |||
Number of restricted stock units | |||
Nonvested restricted stock units - beginning of period (in shares) | 2,062 | ||
Granted (in shares) | 989 | ||
Vested (in shares) | (682) | ||
Forfeited (in shares) | (180) | ||
Nonvested restricted stock units - end of period (in shares) | 2,189 | ||
Weighted average grant date fair value | |||
Nonvested restricted stock units - beginning of period (in usd per share) | $ 51.59 | ||
Granted (in usd per share) | 56.11 | ||
Vested (in usd per share) | 52.66 | ||
Forfeited (in usd per share) | 53.05 | ||
Nonvested restricted stock units - end of period (in usd per share) | $ 53.18 | ||
Restricted Stock Units (RSUs) | Cash Settled | |||
Number of restricted stock units | |||
Nonvested restricted stock units - beginning of period (in shares) | 215 | ||
Granted (in shares) | 0 | ||
Vested (in shares) | (143) | ||
Forfeited (in shares) | (8) | ||
Nonvested restricted stock units - end of period (in shares) | 64 | ||
Weighted average grant date fair value | |||
Liability for cash-settled restricted stock units | $ 4,084 | $ 6,697 |
SHAREHOLDERS' EQUITY - Common S
SHAREHOLDERS' EQUITY - Common Shares Issued and Outstanding (Details) - shares shares in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | Dec. 31, 2021 | |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||
Shares issued, balance at beginning of period (in shares) | 176,580 | ||||
Total shares issued at end of period (in shares) | 176,580 | 176,580 | |||
Treasury shares, balance at beginning of period (in shares) | (91,806) | ||||
Total treasury shares at end of period (in shares) | (91,914) | (91,914) | |||
Total shares outstanding (in shares) | 84,666 | 84,666 | 84,774 | ||
Common shares | |||||
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) | (91,925) | (91,813) | (91,806) | (92,227) | |
Shares repurchased (in shares) | (6) | (4) | (891) | (201) | |
Shares reissued (in shares) | 17 | 10 | 783 | 621 | |
Total treasury shares at end of period (in shares) | (91,914) | (91,807) | (91,914) | (91,807) | |
Total shares outstanding (in shares) | 84,666 | 84,773 | 84,666 | 84,773 |
SHAREHOLDERS' EQUITY - Treasury
SHAREHOLDERS' EQUITY - Treasury Shares (Details) - Common shares - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
Treasury Shares [Line Items] | ||||
Total shares (in shares) | 6 | 4 | 891 | 201 |
Total cost | $ 342 | $ 206 | $ 48,675 | $ 10,025 |
Average price per share (in usd per share) | $ 53.78 | $ 49.91 | $ 54.61 | $ 49.87 |
In the open market | ||||
Treasury Shares [Line Items] | ||||
Total shares (in shares) | 0 | 0 | 634 | 0 |
Total cost | $ 0 | $ 0 | $ 34,987 | $ 0 |
Average price per share (in usd per share) | $ 0 | $ 0 | $ 55.22 | $ 0 |
From employees | ||||
Treasury Shares [Line Items] | ||||
Total shares (in shares) | 6 | 4 | 257 | 201 |
Total cost | $ 342 | $ 206 | $ 13,688 | $ 10,025 |
Average price per share (in usd per share) | $ 53.78 | $ 49.91 | $ 53.12 | $ 49.87 |
SHAREHOLDERS' EQUITY - Dividend
SHAREHOLDERS' EQUITY - Dividends (Details) - $ / shares | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
Common shares | ||||
Class of Stock [Line Items] | ||||
Dividends declared, Common shares (in USD per share) | $ 0.43 | $ 0.42 | $ 1.29 | $ 1.26 |
Dividends paid in period of declaration, Common shares (in USD per share) | 0 | 0 | 0.86 | 0.84 |
Dividends paid in period following declaration (in USD per share) | 0.43 | 0.42 | 0.43 | 0.42 |
Series E preferred shares | ||||
Class of Stock [Line Items] | ||||
Dividends declared, Preferred shares (in USD per share) | 34.38 | 34.38 | 103.13 | 103.13 |
Dividends paid in period of declaration, Preferred shares (in USD per share) | 0 | 0 | 68.75 | 68.75 |
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) - Letter of Credit $ in Millions | Mar. 31, 2022 USD ($) |
Line of Credit Facility [Line Items] | |
Line of credit facility | $ 650 |
LOC Facility Two | |
Line of Credit Facility [Line Items] | |
Line of credit facility | 150 |
LOC Facility | |
Line of Credit Facility [Line Items] | |
Line of credit facility, amount subject to administrative changes | $ 500 |
FEDERAL HOME LOAN BANK ADVANC_2
FEDERAL HOME LOAN BANK ADVANCES (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Sep. 30, 2022 | Dec. 31, 2021 | |
Advance from Federal Home Loan Bank | ||
Federal Home Loan Bank advances | $ 80,540 | $ 0 |
Federal Home Loan Bank of Chicago | ||
Advance from Federal Home Loan Bank | ||
FHLB program, admitted assets, actual | 3,000,000 | |
FHLB program, maximum borrowing capacity | 750,000 | |
Federal Home Loan Bank advances | 81,000 | |
Interest expense on FHLB borrowings | 600 | |
FHLB program, investments pledged as security | $ 90,000 | |
Federal Home Loan Bank of Chicago | Minimum | ||
Advance from Federal Home Loan Bank | ||
FHLB advances, interest rate (as a percent) | 2.70% | |
Federal Home Loan Bank of Chicago | Maximum | ||
Advance from Federal Home Loan Bank | ||
FHLB advances, interest rate (as a percent) | 3.50% |
OTHER COMPREHENSIVE INCOME (L_3
OTHER COMPREHENSIVE INCOME (LOSS) - Tax Effects of Other Comprehensive Income (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
Before tax amount | ||||
Unrealized gains (losses) arising during the period, net of reclassification adjustment | $ (296,487) | $ (81,389) | $ (1,142,423) | $ (298,474) |
Foreign currency translation adjustment | (12,751) | (3,807) | (16,169) | 924 |
Total comprehensive income (loss), before tax | (309,238) | (85,196) | (1,158,592) | (297,550) |
Income tax (expense) benefit | ||||
Unrealized gains (losses) arising during the period, net of reclassification adjustment | (9,298) | 9,001 | 59,406 | 33,277 |
Foreign currency translation adjustment | 0 | 0 | 0 | 0 |
Total comprehensive income (loss), net of tax | (9,298) | 9,001 | 59,406 | 33,277 |
Net of tax amount | ||||
Unrealized gains (losses) arising during the period, net of reclassification adjustment | (305,785) | (72,388) | (1,083,017) | (265,197) |
Foreign currency translation adjustment | (12,751) | (3,807) | (16,169) | 924 |
Total other comprehensive income (loss), net of tax | (318,536) | (76,195) | (1,099,186) | (264,273) |
Available for sale investments | ||||
Before tax amount | ||||
Adjustment for reclassification of net realized (gains) losses and impairment losses recognized in net income (loss) | 108,351 | (16,438) | 255,081 | (94,018) |
Income tax (expense) benefit | ||||
Adjustment for reclassification of net realized (gains) losses and impairment losses recognized in net income (loss) | (9,572) | 1,858 | (25,308) | 7,837 |
Net of tax amount | ||||
Adjustment for reclassification of net realized (gains) losses and impairment losses recognized in net income (loss) | 98,779 | (14,580) | 229,773 | (86,181) |
Unrealized gains (losses) arising during the period, net of reclassification adjustment | (305,785) | (72,388) | (1,083,017) | (265,197) |
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 | (393,848) | (65,321) | (1,340,927) | (204,587) |
Income tax (expense) benefit | ||||
Unrealized gains (losses) arising during the period | (32) | 7,143 | 81,445 | 25,440 |
Net of tax amount | ||||
Unrealized gains (losses) arising during the period | (393,880) | (58,178) | (1,259,482) | (179,147) |
Available for sale investments | Unrealized gains (losses) 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 | (10,990) | 370 | (56,577) | 131 |
Income tax (expense) benefit | ||||
Unrealized gains (losses) arising during the period | 306 | 0 | 3,269 | 0 |
Net of tax amount | ||||
Unrealized gains (losses) arising during the period | $ (10,684) | $ 370 | $ (53,308) | $ 131 |
OTHER COMPREHENSIVE INCOME (L_4
OTHER COMPREHENSIVE INCOME (LOSS) - Reclassifications Out of AOCI Into Net Income (Loss) (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
Reclassification out of accumulated comprehensive income into net income available to common shareholders [Line Items] | ||||
Income (loss) before income taxes and interest in income (loss) of equity method investments | $ (2,187) | $ 44,223 | $ 164,248 | $ 432,672 |
Income tax (expense) benefit | 363 | (1,186) | 5,304 | (49,827) |
Net income (loss) | (9,384) | 54,948 | 174,592 | 413,716 |
Unrealized gains (losses) 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) | (101,860) | 16,460 | (248,007) | 94,040 |
Impairment losses | (6,491) | (22) | (7,074) | (22) |
Income (loss) before income taxes and interest in income (loss) of equity method investments | (108,351) | 16,438 | (255,081) | 94,018 |
Income tax (expense) benefit | 9,572 | (1,858) | 25,308 | (7,837) |
Net income (loss) | $ (98,779) | $ 14,580 | $ (229,773) | $ 86,181 |
RELATED PARTY TRANSACTIONS (Det
RELATED PARTY TRANSACTIONS (Details) - USD ($) $ in Thousands | Sep. 30, 2022 | Dec. 31, 2021 |
Related Party Transaction [Line Items] | ||
Other investments, at fair value | $ 970,310 | $ 947,982 |
Investment In Related Party | Stone Point Capital, LLC | Stone Point Credit Corporation | ||
Related Party Transaction [Line Items] | ||
Other investments, at fair value | 17,000 | |
Investment In Related Party | Stone Point Capital, LLC | Co-investment With Gordon Brothers | ||
Related Party Transaction [Line Items] | ||
Other investments, at fair value | $ 20,000 |
REORGANIZATION EXPENSES (Detail
REORGANIZATION EXPENSES (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
Restructuring and Related Activities [Abstract] | ||||
Reorganization expenses | $ 6,213 | $ 0 | $ 21,941 | $ 0 |