Document and Entity Information
Document and Entity Information - shares | 6 Months Ended | |
Jun. 30, 2017 | Jul. 31, 2017 | |
Document and Entity Information [Abstract] | ||
Entity Registrant Name | VALIDUS HOLDINGS LTD | |
Entity Central Index Key | 1,348,259 | |
Document Type | 10-Q | |
Document Period End Date | Jun. 30, 2017 | |
Amendment Flag | false | |
Document Fiscal Year Focus | 2,017 | |
Document Fiscal Period Focus | Q2 | |
Current Fiscal Year End Date | --12-31 | |
Entity Well-known Seasoned Issuer | Yes | |
Entity Voluntary Filers | No | |
Entity Current Reporting Status | Yes | |
Entity Filer Category | Large Accelerated Filer | |
Entity Common Stock, Shares Outstanding | 79,465,860 |
Consolidated Balance Sheets (Un
Consolidated Balance Sheets (Unaudited) - USD ($) $ in Thousands | Jun. 30, 2017 | Dec. 31, 2016 |
Assets | ||
Fixed maturity investments trading, at fair value (amortized cost: 2017—$5,424,562; 2016—$5,584,599) | $ 5,418,643 | $ 5,543,030 |
Short-term investments trading, at fair value (amortized cost: 2017—$2,871,126; 2016—$2,796,358) | 2,871,353 | 2,796,170 |
Other investments, at fair value (cost: 2017—$416,996; 2016—$380,130) | 448,618 | 405,712 |
Investments in investment affiliates, equity method (cost: 2017—$72,532; 2016—$84,840) | 103,377 | 100,431 |
Cash and cash equivalents | 800,405 | 419,976 |
Restricted cash | 195,039 | 70,956 |
Total investments and cash | 9,837,435 | 9,336,275 |
Premiums receivable | 1,940,637 | 725,390 |
Deferred acquisition costs | 302,857 | 209,227 |
Prepaid reinsurance premiums | 335,837 | 77,996 |
Securities lending collateral | 2,514 | 9,779 |
Loss reserves recoverable | 600,207 | 430,421 |
Paid losses recoverable | 35,675 | 35,247 |
Income taxes recoverable | 4,763 | 4,870 |
Deferred tax asset | 52,655 | 43,529 |
Receivable for investments sold | 20,519 | 3,901 |
Intangible assets | 175,518 | 115,592 |
Goodwill | 227,701 | 196,758 |
Accrued investment income | 26,968 | 26,488 |
Other assets | 387,860 | 134,282 |
Total assets | 13,951,146 | 11,349,755 |
Liabilities | ||
Reserve for losses and loss expenses | 3,305,191 | 2,995,195 |
Unearned premiums | 1,970,896 | 1,076,049 |
Reinsurance balances payable | 461,261 | 54,781 |
Securities lending payable | 2,980 | 10,245 |
Deferred tax liability | 4,012 | 3,331 |
Payable for investments purchased | 92,077 | 29,447 |
Accounts payable and accrued expenses | 385,958 | 587,648 |
Notes payable to AlphaCat investors | 1,066,159 | 278,202 |
Senior notes payable | 245,463 | 245,362 |
Debentures payable | 538,400 | 537,226 |
Total liabilities | 8,072,397 | 5,817,486 |
Commitments and contingent liabilities | ||
Redeemable noncontrolling interests | 1,251,660 | 1,528,001 |
Shareholders' equity | ||
Preferred shares (Issued and Outstanding: 2017—16,000; 2016—6,000) | 400,000 | 150,000 |
Common shares (Issued: 2017—161,934,355; 2016—161,279,976; Outstanding: 2017—79,518,581; 2016—79,132,252) | 28,339 | 28,224 |
Treasury shares (2017—82,415,774; 2016—82,147,724) | (14,423) | (14,376) |
Additional paid-in capital | 807,321 | 821,023 |
Accumulated other comprehensive loss | (19,924) | (23,216) |
Retained earnings | 3,010,118 | 2,876,636 |
Total shareholders' equity available to Validus | 4,211,431 | 3,838,291 |
Noncontrolling interests | 415,658 | 165,977 |
Total shareholders' equity | 4,627,089 | 4,004,268 |
Total liabilities, noncontrolling interests and shareholders’ equity | $ 13,951,146 | $ 11,349,755 |
Consolidated Balance Sheets (Pa
Consolidated Balance Sheets (Parenthetical) - USD ($) $ in Thousands | Jun. 30, 2017 | Dec. 31, 2016 |
Assets | ||
Fixed maturities, at amortized cost or cost | $ 5,424,562 | $ 5,584,599 |
Short-term investments, at amortized cost or cost | 2,871,126 | 2,796,358 |
Other investments, at amortized cost or cost | 416,996 | 380,130 |
Investments in and advance to affiliates, subsidiaries, associates, and joint ventures, at cost | $ 72,532 | $ 84,840 |
Preferred shares - Shareholders' Equity | ||
Preferred shares, shares issued | 16,000 | 6,000 |
Preferred shares, shares outstanding | 16,000 | 6,000 |
Common Shares - Shareholders' Equity | ||
Common shares, shares issued | 161,934,355 | 161,279,976 |
Common shares, shares outstanding | 79,518,581 | 79,132,252 |
Treasury stock, common shares | 82,415,774 | 82,147,724 |
Consolidated Statements of Inco
Consolidated Statements of Income and Comprehensive Income (Unaudited) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2017 | Jun. 30, 2016 | Jun. 30, 2017 | Jun. 30, 2016 | |
Revenues | ||||
Gross premiums written | $ 792,902 | $ 764,042 | $ 1,983,759 | $ 1,936,833 |
Reinsurance premiums ceded | (56,222) | (36,229) | (256,328) | (204,064) |
Net premiums written | 736,680 | 727,813 | 1,727,431 | 1,732,769 |
Change in unearned premiums | (105,653) | (154,090) | (521,028) | (587,778) |
Net premiums earned | 631,027 | 573,723 | 1,206,403 | 1,144,991 |
Net investment income | 44,241 | 39,257 | 84,455 | 68,718 |
Net realized gains on investments | 2,274 | 2,724 | 1,110 | 2,140 |
Change in net unrealized gains on investments | 16,321 | 31,428 | 29,669 | 78,872 |
Income (loss) from investment affiliates | 9,466 | (589) | 14,654 | (4,702) |
Other insurance related income and other income | 1,339 | 824 | 2,669 | 2,237 |
Foreign exchange (losses) gains | (7,329) | 6,286 | (5,760) | 12,531 |
Total revenues | 697,339 | 653,653 | 1,333,200 | 1,304,787 |
Expenses | ||||
Losses and loss expenses | 296,149 | 307,130 | 565,734 | 531,577 |
Policy acquisition costs | 117,268 | 107,966 | 228,896 | 215,159 |
General and administrative expenses | 96,349 | 89,688 | 184,273 | 175,896 |
Share compensation expenses | 11,146 | 10,727 | 20,637 | 21,964 |
Finance expenses | 14,209 | 14,166 | 28,152 | 29,369 |
Transaction expenses | 4,427 | 0 | 4,427 | 0 |
Total expenses | 539,548 | 529,677 | 1,032,119 | 973,965 |
Income before taxes, loss from operating affiliate and (income) attributable to AlphaCat investors | 157,791 | 123,976 | 301,081 | 330,822 |
Tax benefit (expense) | 987 | (1,706) | 4,536 | 412 |
Loss from operating affiliate | 0 | 0 | 0 | (23) |
(Income) attributable to AlphaCat investors | (11,830) | (6,114) | (19,333) | (10,714) |
Net income | 146,948 | 116,156 | 286,284 | 320,497 |
Net (income) attributable to noncontrolling interest | (43,650) | (21,193) | (86,222) | (58,724) |
Net income available to Validus | 103,298 | 94,963 | 200,062 | 261,773 |
Dividends on preferred shares | (2,203) | 0 | (4,406) | |
Net income available to Validus common shareholders | 101,095 | 94,963 | 195,656 | 261,773 |
Comprehensive income | ||||
Net income | 146,948 | 116,156 | 286,284 | 320,497 |
Other comprehensive income (loss) | ||||
Change in foreign currency translation adjustments | 1,489 | (3,287) | 2,086 | (5,315) |
Change in minimum pension liability, net of tax | 1,184 | 479 | 1,252 | 396 |
Change in fair value of cash flow hedge | (144) | 64 | (46) | (694) |
Other comprehensive income (loss), net of tax | 2,529 | (2,744) | 3,292 | (5,613) |
Comprehensive (income) attributable to noncontrolling interests | (43,650) | (21,193) | (86,222) | (58,724) |
Comprehensive income available to Validus | $ 105,827 | $ 92,219 | $ 203,354 | $ 256,160 |
Earnings per common share | ||||
Basic earnings per share available to common shareholders | $ 1.28 | $ 1.16 | $ 2.47 | $ 3.18 |
Earnings per diluted share available to Validus common shareholders | 1.25 | 1.14 | 2.42 | 3.12 |
Cash dividends declared per share | $ 0.38 | $ 0.35 | $ 0.76 | $ 0.70 |
Weighted average number of common shares and common share equivalents outstanding: | ||||
Basic (in shares) | 79,270,561 | 81,950,833 | 79,202,116 | 82,386,047 |
Diluted (in shares) | 80,872,451 | 83,373,003 | 80,861,998 | 83,785,659 |
Consolidated Statements of Shar
Consolidated Statements of Shareholders' Equity (Unaudited) - USD ($) $ in Thousands | Total | Preferred shares | Common shares | Treasury shares | Additional paid-in capital | Accumulated other comprehensive loss | Retained earnings |
Balance - Beginning of period at Dec. 31, 2015 | $ 0 | $ 28,100 | $ (13,592) | $ 1,002,980 | $ (12,569) | $ 2,634,056 | |
Preferred shares issued | 150,000 | ||||||
Offering expenses on preferred shares | (5,148) | ||||||
Common shares Issued (redeemed), net | 119 | (7,504) | |||||
Repurchase of common shares | (492) | (128,591) | |||||
Share compensation expenses | 21,964 | ||||||
Other comprehensive (loss) income | $ (5,613) | (5,613) | |||||
Net income | 320,497 | 320,497 | |||||
Net (income) attributable to noncontrolling interest | (58,724) | (58,724) | |||||
Dividends on preferred shares | 0 | ||||||
Dividends on common shares | (59,227) | ||||||
Balance - End of period at Jun. 30, 2016 | 3,866,256 | 150,000 | 28,219 | (14,084) | 883,701 | (18,182) | 2,836,602 |
Noncontrolling interests at Jun. 30, 2016 | 212,154 | ||||||
Total shareholders' equity at Jun. 30, 2016 | 4,078,410 | (18,182) | |||||
Other comprehensive (loss) income | (2,744) | ||||||
Net income | 116,156 | ||||||
Net (income) attributable to noncontrolling interest | (21,193) | ||||||
Balance - End of period at Jun. 30, 2016 | 3,866,256 | 150,000 | 28,219 | (14,084) | 883,701 | (18,182) | 2,836,602 |
Noncontrolling interests at Jun. 30, 2016 | 212,154 | ||||||
Total shareholders' equity at Jun. 30, 2016 | 4,078,410 | (18,182) | |||||
Balance - Beginning of period at Dec. 31, 2016 | 3,838,291 | 150,000 | 28,224 | (14,376) | 821,023 | (23,216) | 2,876,636 |
Preferred shares issued | 250,000 | ||||||
Offering expenses on preferred shares | (8,314) | ||||||
Common shares Issued (redeemed), net | 115 | (12,076) | |||||
Repurchase of common shares | (47) | (13,949) | |||||
Share compensation expenses | 20,637 | ||||||
Other comprehensive (loss) income | 3,292 | 3,292 | |||||
Net income | 286,284 | 286,284 | |||||
Net (income) attributable to noncontrolling interest | (86,222) | (86,222) | |||||
Dividends on preferred shares | (4,406) | ||||||
Dividends on common shares | (62,174) | ||||||
Balance - End of period at Jun. 30, 2017 | 4,211,431 | 400,000 | 28,339 | (14,423) | 807,321 | (19,924) | 3,010,118 |
Noncontrolling interests at Jun. 30, 2017 | 415,658 | ||||||
Total shareholders' equity at Jun. 30, 2017 | 4,627,089 | (19,924) | |||||
Other comprehensive (loss) income | 2,529 | ||||||
Net income | 146,948 | ||||||
Net (income) attributable to noncontrolling interest | (43,650) | ||||||
Balance - End of period at Jun. 30, 2017 | 4,211,431 | $ 400,000 | $ 28,339 | $ (14,423) | $ 807,321 | (19,924) | $ 3,010,118 |
Noncontrolling interests at Jun. 30, 2017 | 415,658 | ||||||
Total shareholders' equity at Jun. 30, 2017 | $ 4,627,089 | $ (19,924) |
Consolidated Statements of Cash
Consolidated Statements of Cash Flows (Unaudited) - USD ($) $ in Thousands | 6 Months Ended | |
Jun. 30, 2017 | Jun. 30, 2016 | |
Cash flows provided by (used in) operating activities | ||
Net income | $ 286,284 | $ 320,497 |
Adjustments to reconcile net income to cash provided by (used in) operating activities: | ||
Share compensation expenses | 20,637 | 21,964 |
Loss on deconsolidation of AlphaCat ILS fund | 402 | 0 |
Amortization of discount on senior notes | 54 | 54 |
(Income) loss from investment affiliates | (14,654) | 4,702 |
Net realized and change in net unrealized gains on investments | (30,779) | (81,012) |
Amortization of intangible assets | 3,995 | 2,832 |
Loss from operating affiliate | 0 | 23 |
Foreign exchange gains included in net income | (9,686) | (6,289) |
Amortization of premium on fixed maturities | 7,012 | 8,710 |
Change in: | ||
Premiums receivable | (648,195) | (719,070) |
Deferred acquisition costs | (97,746) | (102,211) |
Prepaid reinsurance premiums | (30,684) | (67,575) |
Loss reserves recoverable | (113,508) | (95,429) |
Paid losses recoverable | 17,500 | (4,571) |
Reserve for losses and loss expenses | 199,985 | 147,305 |
Unearned premiums | 488,198 | 655,353 |
Reinsurance balances payable | 111,488 | 18,610 |
Other operational balance sheet items, net | (137,618) | (34,450) |
Net cash provided by operating activities | 52,685 | 69,443 |
Cash flows provided by (used in) investing activities | ||
Proceeds on sales of fixed maturity investments | 1,632,371 | 1,376,077 |
Proceeds on maturities of fixed maturity investments | 247,394 | 184,413 |
Purchases of fixed maturity investments | (1,682,609) | (1,537,606) |
Purchases of short-term investments, net | (88,623) | (428,040) |
Purchases of other investments, net | (33,870) | (19,796) |
Decrease (increase) in securities lending collateral | 7,265 | (5,361) |
Redemption from operating affiliates | 0 | 369 |
Distributions from (investments in) investment affiliates, net | 11,708 | (16,307) |
Increase in restricted cash | (124,083) | (22,752) |
Purchase of subsidiary, net of cash acquired | 183,923 | 0 |
Net cash used in investing activities | (214,370) | (469,003) |
Cash flows provided by (used in) financing activities | ||
Net proceeds on issuance of notes payable to AlphaCat investors | 269,645 | 294,748 |
Net proceeds on issuance of preferred shares | 241,686 | 144,852 |
Redemption of common shares, net | (11,961) | (7,385) |
Purchases of common shares under share repurchase program | (13,996) | (129,083) |
Dividends paid on preferred shares | (4,406) | 0 |
Dividends paid on common shares | (63,286) | (59,961) |
(Decrease) increase in securities lending payable | (7,265) | 5,361 |
Third party investment in redeemable noncontrolling interests | 210,200 | 381,250 |
Third party redemption of redeemable noncontrolling interests | (79,334) | (10,800) |
Third party investment in noncontrolling interests | 258,300 | 171,674 |
Third party distributions of noncontrolling interests | (96,125) | (127,103) |
Third party subscriptions deployed in AlphaCat Funds and Sidecars | (171,952) | (411,336) |
Net cash provided by financing activities | 531,506 | 252,217 |
Effect of foreign currency rate changes on cash and cash equivalents | 10,608 | (6,968) |
Net increase (decrease) in cash and cash equivalents | 380,429 | (154,311) |
Cash and cash equivalents - beginning of period | 419,976 | 723,109 |
Cash and cash equivalents - end of period | 800,405 | 568,798 |
Supplemental disclosure of cash flow information: | ||
Taxes paid during the period | 568 | 3,837 |
Interest paid during the period | $ 27,186 | $ 27,552 |
Basis of preparation and consol
Basis of preparation and consolidation | 6 Months Ended |
Jun. 30, 2017 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Basis of presentation and consolidation | Basis of preparation and consolidation These unaudited Consolidated Financial Statements (the “Consolidated 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 instructions to Form 10-Q and Article 10 in Regulation S-X. Accordingly, they do not include all of the information and footnotes required by U.S. GAAP for complete financial statements. In addition, the year-end balance sheet data was derived from audited financial statements but does not include all disclosures required by U.S. GAAP. This Quarterly Report on Form 10-Q should be read in conjunction with the financial statements and related notes included in Validus Holdings, Ltd.’s (the “Company”) Annual Report on Form 10-K for the year ended December 31, 2016 , as filed with the U.S. Securities and Exchange Commission (the “SEC”). The Company consolidates in these Consolidated Financial Statements the results of operations and financial position of all voting interest entities (“VOE”) in which the Company has a controlling financial interest and all variable interest entities (“VIE”) in which the Company is considered to be the primary beneficiary. The consolidation assessment, including the determination as to whether an entity qualifies as a VIE or VOE, depends on the facts and circumstances surrounding each entity. In the opinion of management, these unaudited Consolidated Financial Statements reflect all adjustments (including normal recurring adjustments) considered necessary for a fair statement of the Company’s financial position and results of operations as at the end of and for the periods presented. All significant intercompany accounts and transactions have been eliminated. The results of operations for any interim period are not necessarily indicative of the results for a full year. The preparation of these financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. While management believes that the amounts included in the Consolidated Financial Statements reflect its best estimates and assumptions, actual results could differ materially from those estimates. The Company’s principal estimates include: • reserve for losses and loss expenses; • premium estimates for business written on a line slip or proportional basis; • the valuation of goodwill and intangible assets; • reinsurance recoverable balances including the provision for uncollectible amounts; and • investment valuation of financial assets. The term “ASC” used in these notes refers to Accounting Standard Codification issued by the United States Financial Accounting Standards Board (the “FASB”). |
Recent accounting pronouncement
Recent accounting pronouncements | 6 Months Ended |
Jun. 30, 2017 | |
New Accounting Pronouncements and Changes in Accounting Principles [Abstract] | |
Recent accounting pronouncements | Recent accounting pronouncements Recently issued accounting standards not yet adopted In May 2017, the FASB issued ASU 2017-09, “Compensation - Stock Compensation (Topic 718).” This ASU is directed at reducing diversity in practice when applying the accounting guidance to a change in the terms or conditions of a share-based payment award. The ASU is effective for fiscal periods beginning after December 15, 2017, and interim periods within those fiscal years. Early adoption is permitted, including adoption in an interim period. The Company has evaluated the impact of this guidance and it will not have a material impact on the Company’s Consolidated Financial Statements. The Company plans to adopt this guidance on January 1, 2018. |
Business combination
Business combination | 6 Months Ended |
Jun. 30, 2017 | |
Business Combinations [Abstract] | |
Business combination | Business combination On May 1, 2017, Western World Insurance Group, Inc. (“Western World”), a wholly owned subsidiary of the Company acquired all of the outstanding capital stock of Crop Risk Services (“CRS”) for an aggregate purchase price of $185,576 in cash. CRS is a primary crop insurance managing general agent (“MGA”) based in Decatur, Illinois with 1,170 agents across 36 states. CRS does not have insurance licenses of its own, but acts solely as an MGA in that it can produce business for any properly licensed entity on a commission basis. Concurrent with closing of the transaction, Stratford Insurance Company (“Stratford”), a wholly–owned subsidiary of Western World, was granted the required license to write crop insurance in the United States and executed several agreements to transfer the related agriculture book of business to Stratford. The CRS acquisition was undertaken to complement the Company’s existing agricultural business and expand the Company’s presence in U.S. primary specialty lines. For segmental reporting purposes, the results of CRS’ operations, including the related agricultural book of business have been included within the Western World segment in the Consolidated Financial Statements from the date of acquisition. On closing, the Company recorded intangible assets totaling $63,921 for Distribution Channels, Brand Name and Technology. Distribution Channels and Brand Name were estimated to have finite useful economic lives of ten years on acquisition and are being amortized on a straight line basis over such period. Technology was estimated to have a finite useful economic life of two years on acquisition and is being amortized on a straight line basis over such a period. The purchase price was allocated to the acquired assets and liabilities of CRS based on estimated fair values on May 1, 2017, the date the transaction closed, as detailed below. The Company recognized goodwill of $30,943 primarily attributable to CRS’s assembled workforce and synergies expected to result upon the integration of CRS and its related book of business into the Company’s operations. The estimates of fair values for tangible assets acquired and liabilities assumed were determined by management based on various market and income analyses. The Company estimated the fair values of intangible assets acquired based on variations of the income and cost approaches. Significant judgment was required to arrive at these estimates of fair value and changes to assumptions used could have led to materially different results. The purchase of CRS was a taxable transaction and as such, goodwill and intangibles recorded at closing will be deductible for income tax purposes. The Company has recognized and recorded a deferred tax asset of $6,443 which results from the excess of tax-deductible goodwill over book goodwill as recognized in the purchase price allocation. The fair value of net assets acquired, including GAAP adjustments, are summarized as follows: Total purchase price $ 185,576 Assets acquired Cash and cash equivalents $ 1,653 Premiums receivable 564,453 Prepaid reinsurance premiums 227,157 Other assets 157,146 Assets acquired 950,409 Liabilities acquired Reinsurance balances payable $ 294,201 Unearned premiums 406,649 Net loss reserves 42,575 Other liabilities 122,715 Liabilities acquired 866,140 Excess purchase price $ 101,307 Goodwill and other intangible assets acquired Intangible asset - Distribution channels $ 52,898 Intangible asset - Brand name 9,568 Intangible asset - Technology 1,455 Total intangible assets 63,921 Goodwill 30,943 Deferred tax arising on Goodwill 6,443 Total goodwill and intangible assets $ 101,307 The Company also incurred transaction expenses related to the CRS acquisition of $4,427 . Transaction expenses included legal, financial advisory and audit related services. The following tables reconcile the carrying amount of goodwill and intangible assets from December 31, 2016 to June 30, 2017 : Goodwill Six Months Ended June 30, 2017 Talbot Western World Total Balance at December 31, 2016 20,393 176,365 196,758 Additions — 30,943 30,943 Balance at June 30, 2017 20,393 207,308 227,701 Intangible assets Six Months Ended June 30, 2017 Talbot Western World Total Balance at December 31, 2016 93,924 21,668 115,592 Additions — 63,921 63,921 Amortization (2,081 ) (1,914 ) (3,995 ) Balance at June 30, 2017 91,843 83,675 175,518 Intangible assets Six Months Ended June 30, 2017 With a Finite Life With an Indefinite Life Total Balance at December 31, 2016 11,424 104,168 115,592 Additions 63,921 — 63,921 Amortization (3,995 ) — (3,995 ) Balance at June 30, 2017 71,350 104,168 175,518 Operating results of CRS have been included in the Consolidated Financial Statements from the May 1, 2017 acquisition date. The following selected unaudited information has been provided to present a summary of the results of CRS that have been included in the Consolidated Financial Statements for the three and six months ended June 30, 2017 . From Acquisition Date to June 30, 2017 Net premiums written 6,988 Net premiums earned 50,044 Total underwriting deductions 44,780 Underwriting income, before general and administrative expenses 5,264 |
Investments
Investments | 6 Months Ended |
Jun. 30, 2017 | |
Investments [Abstract] | |
Investments | Investments Managed investments represent assets governed by the Company’s investment policy statement (“IPS”) whereas, non-managed investments represent assets held in support of consolidated AlphaCat VIEs which are not governed by the Company’s IPS. Refer to Note 6 , “Variable interest entities,” for further details. The Company classifies its fixed maturity and short-term investments as trading and accounts for its other investments in accordance with ASC Topic 825 “ Financial Instruments. ” As such, all investments are carried at fair value with interest and dividend income and realized and unrealized gains and losses included in net income for the period. The amortized cost (or cost) and fair value of the Company’s investments as at June 30, 2017 and December 31, 2016 were as follows: June 30, 2017 December 31, 2016 Amortized Amortized Fair Value Managed investments U.S. government and government agency $ 649,214 $ 646,436 $ 809,392 $ 804,126 Non-U.S. government and government agency 293,002 292,504 245,651 240,791 U.S. states, municipalities and political subdivisions 227,047 227,949 271,742 271,830 Agency residential mortgage-backed securities 786,784 783,006 684,490 679,595 Non-agency residential mortgage-backed securities 26,745 26,683 15,858 15,477 U.S. corporate 1,378,884 1,386,484 1,540,036 1,534,508 Non-U.S. corporate 380,317 379,480 418,520 410,227 Bank loans 560,446 552,901 579,121 570,399 Asset-backed securities 500,679 502,056 528,563 526,814 Commercial mortgage-backed securities 317,732 316,190 333,740 330,932 Total fixed maturities 5,120,850 5,113,689 5,427,113 5,384,699 Short-term investments 255,289 255,516 228,574 228,386 Other investments Fund of hedge funds — — 1,457 955 Hedge funds 11,292 18,303 11,292 17,381 Private equity investments 79,871 100,391 66,383 82,627 Fixed income investment funds 266,041 268,110 247,967 249,275 Overseas deposits 57,874 57,874 50,106 50,106 Mutual funds 1,918 3,940 2,925 5,368 Total other investments 416,996 448,618 380,130 405,712 Investments in investment affiliates (a) 72,532 103,377 84,840 100,431 Total managed investments $ 5,865,667 $ 5,921,200 $ 6,120,657 $ 6,119,228 Non-managed investments Catastrophe bonds $ 303,712 $ 304,954 $ 157,486 $ 158,331 Short-term investments 2,615,837 2,615,837 2,567,784 2,567,784 Total non-managed investments 2,919,549 2,920,791 2,725,270 2,726,115 Total investments $ 8,785,216 $ 8,841,991 $ 8,845,927 $ 8,845,343 (a) The Company’s investments in investment affiliates have been treated as equity method investments with the corresponding gains and losses recorded in income as “Income (loss) from investment affiliates.” (a) Fixed maturity investments The following table sets forth certain information regarding the investment ratings of the Company’s fixed maturity investments as at June 30, 2017 and December 31, 2016 . June 30, 2017 December 31, 2016 Fair Value % of Total Fair Value % of Total Managed fixed maturities AAA $ 2,318,254 42.8 % $ 2,405,597 43.4 % AA 463,060 8.5 % 538,289 9.7 % A 1,009,366 18.6 % 1,081,949 19.5 % BBB 703,563 13.0 % 740,861 13.4 % Total investment grade managed fixed maturities 4,494,243 82.9 % 4,766,696 86.0 % BB 229,023 4.2 % 213,568 3.9 % B 176,743 3.3 % 177,737 3.2 % CCC 11,114 0.2 % 13,371 0.2 % NR 202,566 3.8 % 213,327 3.8 % Total non-investment grade fixed maturities 619,446 11.5 % 618,003 11.1 % Total managed fixed maturities $ 5,113,689 94.4 % $ 5,384,699 97.1 % Non-managed fixed maturities BB 28,177 0.4 % 29,731 0.6 % B 2,781 0.1 % 4,524 0.1 % NR 273,996 5.1 % 124,076 2.2 % Total non-managed fixed maturities 304,954 5.6 % 158,331 2.9 % Total fixed maturities $ 5,418,643 100.0 % $ 5,543,030 100.0 % The amortized cost and fair value amounts for the Company’s fixed maturity investments held at June 30, 2017 and December 31, 2016 are shown below by contractual maturity. Actual maturity may differ from contractual maturity because certain borrowers may have the right to call or prepay certain obligations with or without call or prepayment penalties. June 30, 2017 December 31, 2016 Amortized Cost Fair Value Amortized Cost Fair Value Managed fixed maturities Due in one year or less $ 497,473 $ 492,256 $ 350,733 $ 346,161 Due after one year through five years 2,464,093 2,461,870 2,954,856 2,933,146 Due after five years through ten years 456,793 459,311 430,365 426,647 Due after ten years 70,551 72,317 128,508 125,927 3,488,910 3,485,754 3,864,462 3,831,881 Asset-backed and mortgage-backed securities 1,631,940 1,627,935 1,562,651 1,552,818 Total managed fixed maturities $ 5,120,850 $ 5,113,689 $ 5,427,113 $ 5,384,699 Non-managed catastrophe bonds Due in one year or less $ 33,662 $ 32,441 $ 43,664 $ 45,418 Due after one year through five years 263,300 265,735 112,572 111,656 Due after five years through ten years 6,750 6,778 1,250 1,257 Due after ten years — — — — Total non-managed fixed maturities 303,712 304,954 157,486 158,331 Total fixed maturities $ 5,424,562 $ 5,418,643 $ 5,584,599 $ 5,543,030 (b) Other investments The following tables set forth certain information regarding the Company’s other investment portfolio as at June 30, 2017 and December 31, 2016 : June 30, 2017 Fair Value Investments with redemption restrictions Investments without redemption restrictions Redemption frequency (a) Redemption notice period (a) Hedge funds 18,303 18,303 — Private equity investments 100,391 100,391 — Fixed income investment funds 268,110 237,986 30,124 Daily Daily to 2 days Overseas deposits 57,874 57,874 — Mutual funds 3,940 — 3,940 Daily Daily Total other investments $ 448,618 $ 414,554 $ 34,064 December 31, 2016 Fair Value Investments with redemption restrictions Investments without redemption restrictions Redemption frequency (a) Redemption notice period (a) Fund of hedge funds $ 955 $ 955 $ — Hedge funds 17,381 17,381 — Private equity investments 82,627 82,627 — Fixed income investment funds 249,275 218,333 30,942 Daily 2 days Overseas deposits 50,106 50,106 — Mutual funds 5,368 — 5,368 Daily Daily Total other investments $ 405,712 $ 369,402 $ 36,310 (a) The redemption frequency and notice periods only apply to investments without redemption restrictions. Other investments include alternative investments in various funds and pooled investment schemes. These alternative investments employ various investment strategies primarily involving, but not limited to, investments in collateralized obligations, fixed income securities, private equities, distressed debt and equity securities. Certain securities included in other investments are subject to redemption restrictions and are unable to be redeemed from the funds. Distributions from these funds will be received as the underlying investments of the funds are liquidated. Currently, it is not known to the Company when these underlying assets will be sold by their investment managers; however, it is estimated that the majority of the underlying assets of the investments would liquidate over five to ten years from inception of the funds. In addition, one of the investment funds with a fair value of $192,437 ( December 31, 2016 : $184,749 ), has a lock-up period of approximately two years as at June 30, 2017 and may also impose a redemption gate. A lock-up period refers to the initial amount of time an investor is contractually required to remain invested before having the ability to redeem. Typically, the imposition of a gate delays a portion of the requested redemption, with the remaining portion settled in cash shortly after the redemption date. The underlying investments held in the overseas deposit funds are liquid and will generally trade freely in an open market. However, the Company’s ability to withdraw from the overseas deposit funds is restricted by an annual and quarterly funding and release process for Lloyd’s market participants. The Company’s maximum exposure to any of these alternative investments is limited to the amount invested and any remaining capital commitments. Refer to Note 15 , “ Commitments and contingencies ,” for further details. As at June 30, 2017 , the Company does not have any plans to sell any of the other investments listed above. (c) Investments in investment affiliates Included in the Company’s managed investment portfolio as at June 30, 2017 were investments in Aquiline Financial Services Fund II L.P. (“Aquiline II”), Aquiline Financial Services Fund III L.P. (“Aquiline III”) and Aquiline Technology Growth Fund L.P. (“Aquiline Tech”). Aquiline II and III For further information regarding Aquiline II and III please refer to Note 7(c), “Investments in investment affiliates,” included within the Company’s Annual Report on Form 10-K for the year ended December 31, 2016 . As at June 30, 2017 , the Company’s total unfunded investment commitment to Aquiline II and III was $3,229 and $62,031 , respectively ( December 31, 2016 : $2,040 and $62,031 ). Aquiline Tech On March 20, 2017, the Company entered into a Subscription Agreement (the “Subscription Agreement”) with Aquiline Technology Growth GP Ltd, (the “General Partner”) pursuant to which the Company committed and agreed to purchase limited partnership or other comparable limited liability equity interests in Aquiline Tech, a Cayman Islands exempted limited partnership, with a capital commitment in an amount equal to $20,000 . The limited partnership interests are governed by the terms of an amended and restated exempted limited partnership agreement. As at June 30, 2017 , the unfunded investment commitment to Aquiline Tech was $18,786 . The following table presents a reconciliation of the Company’s beginning and ending investments in investment affiliates for the three and six months ended June 30, 2017 and 2016 : Three Months Ended June 30, Six Months Ended June 30, 2017 2016 2017 2016 Investments in investment affiliates, beginning of period $ 94,697 $ 84,135 $ 100,431 $ 87,673 Net capital (distributions) contributions (786 ) 15,732 (11,708 ) 16,307 Income (loss) from investment affiliates 9,466 (589 ) 14,654 (4,702 ) Investments in investment affiliates, end of period $ 103,377 $ 99,278 $ 103,377 $ 99,278 The following table presents the Company’s investments in investment affiliates as at June 30, 2017 and December 31, 2016 : June 30, 2017 Investment at cost Voting ownership % Equity ownership % Carrying value Aquiline II $ 33,349 — % 8.1 % $ 52,010 Aquiline III 37,969 — % 9.0 % 50,153 Aquiline Tech 1,214 — % 16.4 % 1,214 Total investments in investment affiliates $ 72,532 $ 103,377 December 31, 2016 Investment at cost Voting ownership % Equity ownership % Carrying value Aquiline II $ 46,871 — % 8.1 % $ 61,999 Aquiline III 37,969 — % 9.0 % 38,432 Total investments in investment affiliates $ 84,840 $ 100,431 (d) Net investment income Net investment income was derived from the following sources: Three Months Ended June 30, Six Months Ended June 30, 2017 2016 2017 2016 Managed investments Fixed maturities and short-term investments $ 31,312 $ 30,621 $ 62,983 $ 58,638 Other investments 7,571 8,026 14,441 8,898 Cash and cash equivalents and restricted cash 616 380 1,226 1,245 Securities lending income 7 12 20 17 Total gross investment income 39,506 39,039 78,670 68,798 Investment expenses (1,443 ) (2,190 ) (4,415 ) (4,026 ) Total managed net investment income $ 38,063 $ 36,849 $ 74,255 $ 64,772 Non managed investments Fixed maturities and short-term investments $ 4,500 $ 1,977 $ 7,560 $ 3,272 Restricted cash, cash and cash equivalents 1,678 431 2,640 674 Total non-managed net investment income 6,178 2,408 10,200 3,946 Total net investment income $ 44,241 $ 39,257 $ 84,455 $ 68,718 Net investment income from other investments includes distributed and undistributed net income from hedge funds, overseas deposits and certain fixed income investment funds. (e) Net realized and change in net unrealized gains on investments The following table sets forth an analysis of net realized gains and the change in net unrealized gains on investments: Three Months Ended June 30, Six Months Ended June 30, 2017 2016 2017 2016 Managed fixed maturities, short-term and other investments Gross realized gains $ 5,175 $ 3,306 $ 7,865 $ 6,523 Gross realized (losses) (2,906 ) (786 ) (8,488 ) (5,089 ) Net realized gains (losses) on investments 2,269 2,520 (623 ) 1,434 Change in net unrealized gains on investments 15,942 30,052 30,291 77,130 Total net realized and change in net unrealized gains on managed investments $ 18,211 $ 32,572 $ 29,668 $ 78,564 Non-managed fixed maturities, short-term and other investments Gross realized gains $ 5 $ 204 $ 1,733 $ 715 Gross realized (losses) — — — (9 ) Net realized gains on investments 5 204 1,733 706 Change in net unrealized gains (losses) on investments 379 1,376 (622 ) 1,742 Total net realized and change in net unrealized gains on non-managed investments 384 1,580 1,111 2,448 Total net realized and change in net unrealized gains on total investments $ 18,595 $ 34,152 $ 30,779 $ 81,012 (f) Pledged cash and investments As at June 30, 2017 , the Company had $5,221,174 ( December 31, 2016 : $5,173,966 ) of cash and cash equivalents, restricted cash, short-term investments and fixed maturity investments that were pledged during the normal course of business. Of those, $5,156,173 were held in trust ( December 31, 2016 : $5,068,092 ). Pledged assets are generally for the benefit of the Company’s cedants and policyholders, to support AlphaCat’s fully collateralized reinsurance transactions and to facilitate the accreditation of Validus Reinsurance, Ltd., Validus Reinsurance (Switzerland) Ltd. (“Validus Re Swiss”) and Talbot as an alien Insurer/Reinsurer by certain regulators. In addition, the Company has pledged cash and investments as collateral under the Company’s credit facilities in the total amount of $404,516 ( December 31, 2016 : $442,184 ). For further details on the credit facilities, please refer to Note 13 , “ Debt and financing arrangements .” |
Fair value measurements
Fair value measurements | 6 Months Ended |
Jun. 30, 2017 | |
Fair Value Disclosures [Abstract] | |
Fair value measurements | Fair value measurements (a) Classification within the fair value hierarchy Fair value is defined as the price to sell an asset or transfer a liability in an orderly transaction between market participants. Under U.S. GAAP, a company must determine the appropriate level in the fair value hierarchy for each fair value measurement. The fair value hierarchy prioritizes the inputs, which refer broadly to assumptions market participants would use in pricing an asset or liability, into three levels. It gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities and the lowest priority to unobservable inputs. The level in the fair value hierarchy within which a fair value measurement in its entirety falls is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The three levels of the fair value hierarchy are described below: Level 1 - Fair values are measured based on unadjusted quoted prices in active markets for identical assets or liabilities that we have the ability to access. Level 2 - Fair values are measured 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 - Fair values are measured based on inputs that are unobservable and significant to the overall fair value measurement. The unobservable inputs reflect the Company’s own judgments about assumptions where there is little, if any, market activity for that asset or liability 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 instrument. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires significantly more judgment. Accordingly, the degree of judgment exercised by management in determining fair value is greatest for instruments categorized in Level 3. In periods of market dislocation, the observability of prices and inputs may be reduced for many instruments. This may lead the Company to change the selection of our valuation technique (for example, from market to cash flow approach) or to use multiple valuation techniques to estimate the fair value of a financial instrument. These circumstances could cause an instrument to be reclassified between levels within the fair value hierarchy. At June 30, 2017 , the Company’s investments were allocated between Levels 1, 2 and 3 as follows: Level 1 Level 2 Level 3 Fair value based on NAV practical expedient (a) Total Managed investments U.S. government and government agency $ — $ 646,436 $ — $ — $ 646,436 Non-U.S. government and government agency — 292,504 — — 292,504 U.S. states, municipalities and political subdivisions — 227,949 — — 227,949 Agency residential mortgage-backed securities — 783,006 — — 783,006 Non-agency residential mortgage-backed securities — 26,683 — — 26,683 U.S. corporate — 1,386,484 — — 1,386,484 Non-U.S. corporate — 379,480 — — 379,480 Bank loans — 328,729 224,172 — 552,901 Asset-backed securities — 466,135 35,921 — 502,056 Commercial mortgage-backed securities — 316,190 — — 316,190 Total fixed maturities — 4,853,596 260,093 — 5,113,689 Short-term investments 248,439 7,077 — — 255,516 Other investments Hedge funds — — — 18,303 18,303 Private equity investments — — — 100,391 100,391 Fixed income investment funds — 30,137 16,400 221,573 268,110 Overseas deposits — — — 57,874 57,874 Mutual funds — 3,940 — — 3,940 Total other investments — 34,077 16,400 398,141 448,618 Investments in investment affiliates (b) — — — — 103,377 Total managed investments $ 248,439 $ 4,894,750 $ 276,493 $ 398,141 $ 5,921,200 Non-managed investments Catastrophe bonds $ — $ 236,929 $ 68,025 $ — $ 304,954 Short-term investments 2,615,837 — — — 2,615,837 Total non-managed investments 2,615,837 236,929 68,025 — 2,920,791 Total investments $ 2,864,276 $ 5,131,679 $ 344,518 $ 398,141 $ 8,841,991 (a) In accordance with ASC Topic 820 “Fair Value Measurements,” investments measured at fair value using the net asset value (“NAV”) per share (or its equivalent) practical expedient have not been classified in the fair value hierarchy. (b) In accordance with ASC Topic 825 “Financial Instruments,” the Company’s investments in investment affiliates have not been classified in the fair value hierarchy. At December 31, 2016 , the Company’s investments were allocated between Levels 1, 2 and 3 as follows: Level 1 Level 2 Level 3 Fair value based on NAV practical expedient (a) Total Managed investments U.S. government and government agency $ — $ 804,126 $ — $ — $ 804,126 Non-U.S. government and government agency — 240,791 — — 240,791 U.S. states, municipalities and political subdivisions — 271,830 — — 271,830 Agency residential mortgage-backed securities — 679,595 — — 679,595 Non-agency residential mortgage-backed securities — 15,477 — — 15,477 U.S. corporate — 1,534,508 — — 1,534,508 Non-U.S. corporate — 410,227 — — 410,227 Bank loans — 323,903 246,496 — 570,399 Asset-backed securities — 502,883 23,931 — 526,814 Commercial mortgage-backed securities — 330,932 — — 330,932 Total fixed maturities — 5,114,272 270,427 — 5,384,699 Short-term investments 209,651 18,735 — — 228,386 Other investments Fund of hedge funds — — — 955 955 Hedge funds — — — 17,381 17,381 Private equity investments — — — 82,627 82,627 Fixed income investment funds — 30,941 12,168 206,166 249,275 Overseas deposits — — — 50,106 50,106 Mutual funds — 5,368 — — 5,368 Total other investments — 36,309 12,168 357,235 405,712 Investments in investment affiliates (b) — — — — 100,431 Total managed investments $ 209,651 $ 5,169,316 $ 282,595 $ 357,235 $ 6,119,228 Non-managed investments Catastrophe bonds $ — $ 109,956 $ 48,375 $ — $ 158,331 Short-term investments 2,567,784 — — — 2,567,784 Total non-managed investments 2,567,784 109,956 48,375 — 2,726,115 Total investments $ 2,777,435 $ 5,279,272 $ 330,970 $ 357,235 $ 8,845,343 (a) In accordance with ASC Topic 820 “Fair Value Measurements,” investments measured at fair value using the net asset value (“NAV”) per share (or its equivalent) practical expedient have not been classified in the fair value hierarchy. (b) In accordance with ASC Topic 825 “Financial Instruments,” the Company’s investments in investment affiliates have not been classified in the fair value hierarchy. At June 30, 2017 , managed Level 3 investments totaled $276,493 (December 31, 2016 : $282,595 ), representing 4.7% (December 31, 2016 : 4.6% ) of total managed investments. (b) Valuation techniques There have been no material changes in the Company’s valuation techniques during the period, or periods, represented by these Consolidated Financial Statements. The following methods and assumptions were used in estimating the fair value of each class of financial instrument recorded in the Consolidated Balance Sheets. Fixed maturity investments In general, valuation of the Company’s fixed maturity investment portfolio is provided by pricing services, such as index providers and pricing vendors, as well as broker quotations. The pricing vendors provide valuations for a high volume of liquid securities that are actively traded. For securities that do not trade on an exchange, the pricing services generally utilize market data and other observable inputs in matrix pricing models to determine month end prices. Prices are generally verified using third party data. Securities which are priced by an index provider are generally included in the index. In general, broker-dealers value securities through their trading desks based on observable inputs. The methodologies include mapping securities based on trade data, bids or offers, observed spreads, and performance on newly issued securities. Broker-dealers also determine valuations by observing secondary trading of similar securities. Prices obtained from broker quotations are considered non-binding, however they are based on observable inputs and by observing secondary trading of similar securities obtained from active, non-distressed markets. The Company considers these Level 2 inputs as they are corroborated with other market observable inputs. The techniques generally used to determine the fair value of the Company’s fixed maturity investments are detailed below by asset class. U.S. government and government agency U.S. government and government agency securities consist primarily of debt securities 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. Fixed maturity investments included in U.S. government and government agency securities are primarily priced by pricing services. When evaluating these securities, the pricing services gather information from market sources and integrate other observations from markets and sector news. Evaluations are updated by obtaining broker dealer quotes and other market information including actual trade volumes, when available. The fair value of each security is individually computed using analytical models which incorporate option adjusted spreads and other daily interest rate data. As the significant inputs used to price these securities are observable, the fair value of these investments are classified as Level 2. Non-U.S. government and government agency Non-U.S. government and government agency securities consist of debt securities issued by non-U.S. governments and their agencies along with supranational organizations (also known as sovereign debt securities). Securities held in these sectors are primarily priced by pricing services who employ proprietary discounted cash flow models to value the securities. Key quantitative inputs for these models are daily observed benchmark curves for treasury, swap and high issuance credits. The pricing services then apply a credit spread for each security which is developed by in-depth and real time market analysis. For securities in which trade volume is low, the pricing services utilize data from more frequently traded securities with similar attributes. These models may also be supplemented by daily market and credit research for international markets. As the significant inputs used to price these securities are observable, the fair value of these investments are classified as Level 2. U.S. states, municipalities and political subdivisions The Company’s U.S. states, municipalities and political subdivisions portfolio contains debt securities issued by U.S. domiciled state and municipal entities. These securities are generally priced by independent pricing services using the techniques described for U.S. government and government agency securities described above. As the significant inputs used to price these securities are observable, the fair value of these investments are classified as Level 2. Agency residential mortgage-backed securities The Company’s agency residential mortgage-backed investments are primarily priced by pricing services using a mortgage pool specific model which utilizes daily inputs from the active to be announced ( “ TBA ” ) market which is very liquid, as well as the U.S. treasury market. The model also utilizes additional information, such as the weighted average maturity, weighted average coupon and other available pool level data which is provided by the sponsoring agency. Valuations are also corroborated with daily active market quotes. As the significant inputs used to price these securities are observable, the fair value of these investments are classified as Level 2. Non-agency residential mortgage-backed securities The Company’s non-agency mortgage-backed investments include non-agency prime residential mortgage-backed fixed maturity investments. The Company has no fixed maturity investments classified as sub-prime held in its fixed maturity investments portfolio. Securities held in these sectors are primarily priced by pricing services using an option adjusted spread model or other relevant models, which principally utilize inputs including benchmark yields, available trade information or broker quotes, and issuer spreads. The pricing services also review collateral prepayment speeds, loss severity and delinquencies among other collateral performance indicators for the securities valuation, when applicable. As the significant inputs used to price these securities are observable, the fair value of these investments are classified as Level 2. U.S. corporate Corporate debt securities consist primarily of investment-grade debt of a wide variety of U.S. corporate issuers and industries. The Company’s corporate fixed maturity investments are primarily priced by pricing services. When evaluating these securities, the pricing services gather information from market sources regarding the issuer of the security and obtain credit data, as well as other observations, from markets and sector news. Evaluations are updated by obtaining broker dealer quotes and other market information including actual trade volumes, when available. The pricing services also consider the specific terms and conditions of the securities, including any specific features which may influence risk. In certain instances, securities are individually evaluated using a spread which is added to the U.S. treasury curve or a security specific swap curve as appropriate. As the significant inputs used to price these securities are observable, the fair value of these investments are classified as Level 2. Non-U.S. corporate Non-U.S. corporate debt securities consist primarily of investment-grade debt of a wide variety of non-U.S. corporate issuers and industries. The Company’s non-U.S. corporate fixed maturity investments are primarily priced by pricing services. When evaluating these securities, the pricing services gather information from market sources regarding the issuer of the security and obtain credit data, as well as other observations, from markets and sector news. Evaluations are updated by obtaining broker dealer quotes and other market information including actual trade volumes, when available. The pricing services also consider the specific terms and conditions of the securities, including any specific features which may influence risk. As the significant inputs used to price these securities are observable, the fair value of these investments are classified as Level 2. Bank loans The Company’s bank loan investments consist primarily of below-investment-grade debt of a wide variety of corporate issuers and industries. The Company’s bank loans are primarily priced by pricing services. When evaluating these securities, the pricing services gather information from market sources regarding the issuer of the security and obtain credit data, as well as other observations, from markets and sector news. Evaluations are updated by obtaining broker dealer quotes and other market information including actual trade volumes, when available. The pricing services also consider the specific terms and conditions of the securities, including any specific features which may influence risk. As the significant inputs used to price these securities are observable, the fair value of these investments are classified as Level 2. Also, included in the bank loan portfolio is a collection of loan participations held through an intermediary. A third party pricing service provides monthly valuation reports for each loan and participation using a combination of quotations from loan pricing services, leveraged loan indices or market price quotes obtained directly from the intermediary. Significant unobservable inputs used to price these securities include credit spreads and default rates; therefore, the fair value of these investments are classified as Level 3. Asset-backed securities Asset backed securities include mostly investment-grade debt securities backed by pools of loans with a variety of underlying collateral, including automobile loan receivables, student loans, credit card receivables, and collateralized loan obligations originated by a variety of financial institutions. Securities held in these sectors are primarily priced by pricing services. The pricing services apply dealer quotes and other available trade information such as bids and offers, prepayment speeds which may be adjusted for the underlying collateral or current price data, the U.S. treasury curve and swap curve as well as cash settlement. The pricing services determine the expected cash flows for each security held in this sector using historical prepayment and default projections for the underlying collateral and current market data. In addition, a spread is applied to the relevant benchmark and used to discount the cash flows noted above to determine the fair value of the securities held in this sector. As the significant inputs used to price these securities are observable, the fair value of these investments are classified as Level 2. Where pricing is unavailable from pricing services, we obtain non-binding quotes from broker-dealers. This is generally the case when there is a low volume of trading activity and current transactions are not orderly. Broker-dealer quotes for which significant observable inputs are unable to be corroborated with market observable information are classified as Level 3. Commercial mortgage-backed securities Commercial mortgage backed securities are investment-grade debt primarily priced by pricing services. The pricing services apply dealer quotes and other available trade information such as bids and offers, prepayment speeds which may be adjusted for the underlying collateral or current price data, the U.S. treasury curve and swap curve as well as cash settlement. The pricing services determine the expected cash flows for each security held in this sector using historical prepayment and default projections for the underlying collateral and current market data. In addition, a spread is applied to the relevant benchmark and used to discount the cash flows noted above to determine the fair value of the securities held in this sector. As the significant inputs used to price these securities are observable, the fair value of these investments are classified as Level 2. Catastrophe bonds Catastrophe bonds are priced based on broker or underwriter bid indications. As the significant inputs used to price these securities are observable, the fair value of these investments are classified as Level 2. To the extent that these indications are based on significant unobservable inputs, the fair value of the relevant bonds will be classified as a Level 3. Short-term investments Short-term investments consist primarily of highly liquid securities, all with maturities of less than one year from the date of purchase. The fair value of the portfolio is generally determined using amortized cost which approximates fair value. As the highly liquid money market-type funds are actively traded, the fair value of these investments are classified as Level 1. To the extent that the remaining securities are not actively traded due to their approaching maturity, the fair value of these investments are classified as Level 2. Other investments Fund of hedge funds During the three months ended June 30, 2017, the Company’s investment in a fund of hedge funds was liquidated. Prior to liquidation, the fund’s administrator provided a monthly reported NAV with a three month delay in its valuation. The fund manager provided an estimate of the fund NAV at year end based on the estimated performance provided from the underlying funds. To determine the reasonableness of the estimated NAV, the Company compared the fund administrator’s NAV to the fund manager’s estimated NAV that incorporates relevant valuation sources. Prior to liquidation, the fair value of these investments were measured using the NAV practical expedient and therefore were not categorized within the fair value hierarchy. Hedge funds The hedge fund investment was assumed by the Company in the acquisition of Flagstone Reinsurance Holdings, S.A. (“Flagstone”) (the “Flagstone hedge fund”). The Flagstone hedge fund’s administrator provides quarterly NAVs with a three month delay in valuation. The fair value of this investment is measured using the NAV practical expedient and therefore has not been categorized within the fair value hierarchy. Private equity investments The private equity funds provide quarterly or semi-annual partnership capital statements with a three or six month delay which are used as a basis for valuation. These private equity investments vary in investment strategies and are not actively traded in any open markets. The fair value of these investments are measured using the NAV practical expedient and therefore have not been categorized within the fair value hierarchy. Fixed income investment funds The Company’s investment funds classified as Level 2 consist of a pooled investment fund. The pooled investment is invested in fixed income securities with high credit ratings and is only open to Lloyd’s Trust Fund participants. The fair value of units in the investment fund is based on the NAV of the fund and is traded on a daily basis. Included in investment funds is a residual equity tranche of a structured credit fund valued using a dynamic yield that calculates an income accrual based on an underlying valuation model with a typical cash flow waterfall structure. Significant unobservable inputs used to price this fund include default rates and prepayment rates; therefore, the fair value of the investment fund is classified as Level 3. The fair value of the Company’s remaining investment funds is based on the NAV of the fund as reported by the independent fund administrator. The fund’s administrators provide a monthly reported NAV with a one or three month delay in their valuation. The fair value of these investments are measured using the NAV practical expedient and therefore have not been categorized within the fair value hierarchy. Overseas deposits The Company’s share of a portfolio of Lloyd’s overseas deposits are managed centrally by Lloyd’s and invested according to local regulatory requirements. The composition of the portfolio varies and the deposits are made across the market. The fair value of the deposits is based on the portfolio level reporting that is provided by Lloyd’s. The fair value of these investments are measured using the NAV practical expedient and therefore have not been categorized within the fair value hierarchy. Mutual funds Mutual funds consist of an investment fund which invests in various quoted investments. The fair value of units in the mutual fund is based on the NAV of the fund as reported by the fund manager. The mutual fund has daily liquidity which allows us to redeem our holdings at the applicable NAV in the near term. As such, the Company has classified this investment as Level 2. (c) Level 3 investments The following table presents a reconciliation of the beginning and ending balances for all investments measured at fair value on a recurring basis using Level 3 inputs during the three and six months ended June 30, 2017 and 2016 : Three Months Ended June 30, 2017 Bank Loans Catastrophe Bonds Fixed Income Investment Funds Asset Backed Securities Total Level 3 investments, beginning of period $ 236,694 $ 72,676 $ 12,560 $ 23,882 $ 345,812 Purchases 16,757 5,000 3,432 11,053 36,242 Sales — — — (53 ) (53 ) Settlements (28,893 ) (10,216 ) 408 — (38,701 ) Net realized gains — 216 — — 216 Change in net unrealized (losses) gains (386 ) 349 — 49 12 Amortization — — — 990 990 Level 3 investments, end of period $ 224,172 $ 68,025 $ 16,400 $ 35,921 $ 344,518 Three Months Ended June 30, 2016 Bank Loans Catastrophe Bonds Asset Backed Securities Total Level 3 investments, beginning of period $ 255,011 $ 37,105 $ — $ 292,116 Purchases 8,885 — 12,383 21,268 Settlements (17,784 ) — — (17,784 ) Change in net unrealized (losses) gains (2,964 ) 413 — (2,551 ) Level 3 investments, end of period $ 243,148 $ 37,518 $ 12,383 $ 293,049 Six Months Ended June 30, 2017 Bank Loans Catastrophe Bonds Fixed Income Investment Funds Asset Backed Securities Total Level 3 investments—beginning of period $ 246,496 $ 48,375 $ 12,168 $ 23,931 $ 330,970 Purchases 39,933 66,091 3,432 11,053 120,509 Sales — — — (53 ) (53 ) Settlements (62,003 ) (48,996 ) 800 — (110,199 ) Net realized gains — 3,350 — — 3,350 Change in net unrealized (losses) (254 ) (795 ) — — (1,049 ) Amortization — — — 990 990 Level 3 investments—end of period $ 224,172 $ 68,025 $ 16,400 $ 35,921 $ 344,518 Six Months Ended June 30, 2016 Bank Loans Catastrophe Bonds Asset Backed Securities Total Level 3 investments—beginning of period $ 232,337 $ 13,500 $ — $ 245,837 Purchases 50,988 23,272 12,383 86,643 Sales (2,389 ) — — (2,389 ) Settlements (34,033 ) (125 ) — (34,158 ) Change in net unrealized (losses) gains (3,755 ) 871 — (2,884 ) Level 3 investments—end of period $ 243,148 $ 37,518 $ 12,383 $ 293,049 There have not been any transfers into or out of Level 3 during the three and six months ended June 30, 2017 or 2016 . (d) Financial instruments not carried at fair value ASC Topic 825 “Financial Instruments” is also applicable to disclosures of financial instruments not carried at fair value, except for certain financial instruments, including insurance contracts and investments in affiliates. The carrying values of cash and cash equivalents, restricted cash, accrued investment income, other assets, net payable for investments purchased and accounts payable and accrued expenses approximated their fair values at June 30, 2017 , due to their respective short maturities. As these financial instruments are not actively traded, their respective fair values are classified within Level 2. |
Variable interest entities
Variable interest entities | 6 Months Ended |
Jun. 30, 2017 | |
Variable Interest Entities Disclosure [Abstract] | |
Variable Interest Entity Disclosure [Text Block] | Variable interest entities The Company consolidates all VOEs in which it has a controlling financial interest and all VIEs in which it is considered to be the primary beneficiary. The Company’s VIEs are primarily entities in the AlphaCat segment. (a) Consolidated VIEs AlphaCat sidecars Beginning on May 25, 2011, the Company joined with other investors in capitalizing a series of sidecars for the purpose of investing in collateralized reinsurance and retrocessional contracts. Certain of these sidecars deployed their capital through transactions entered into by AlphaCat Reinsurance Ltd. (“AlphaCat Re”). Each of these entities return capital once the risk period expires and all losses have been paid out. The AlphaCat sidecars are VIEs and are consolidated by the Company as the primary beneficiary. The Company’s maximum exposure to any of the sidecars is the amount of capital invested at any given time. AlphaCat ILS funds The AlphaCat ILS funds received third party subscriptions beginning on December 17, 2012 . The Company and third party investors invest in the AlphaCat ILS funds for the purpose of investing in instruments with returns linked to property catastrophe reinsurance, retrocession and ILS contracts. The AlphaCat ILS funds have varying risk profiles and are categorized by the expected loss of the fund. Expected loss represents the average annual loss over the set of simulation scenarios divided by the total limit. Lower risk ILS funds are defined as having a maximum permitted portfolio expected loss of less than 7% , whereas higher risk ILS funds have a maximum permitted portfolio expected loss of greater than 7% . The AlphaCat ILS funds primarily deploy their capital through transactions entered into by AlphaCat Re and AlphaCat Master Fund Ltd. (“AlphaCat Master Fund”). All of the AlphaCat ILS funds are VIEs and were consolidated by the Company as the primary beneficiary through May 31, 2017. However, on June 1, 2017, the Company redeemed its investment in one of the lower risk AlphaCat ILS funds. As a result, the Company was no longer deemed to be the primary beneficiary and therefore this fund was deconsolidated effective June 1, 2017. The deconsolidation resulted in a loss of $402 which is included in the Consolidated Statements of Comprehensive Income as other insurance related income for the three and six months ended June 30, 2017 . The Company’s maximum exposure to any of the funds is the amount of capital invested at any given time and any remaining capital commitments. Refer to Note 15 , “Commitments and contingencies,” for further details. AlphaCat Re and AlphaCat Master Fund The Company utilizes AlphaCat Re and AlphaCat Master Fund (collectively the “master funds”), both market facing entities, for the purpose of writing collateralized reinsurance and investing in capital markets products, respectively, on behalf of certain entities within the AlphaCat segment and direct third party investors. AlphaCat Re enters into transactions on behalf of the AlphaCat sidecars and ILS funds (collectively the “feeder funds”) and direct third party investors, whereas AlphaCat Master Fund only enters into transactions on behalf of certain AlphaCat ILS funds. All of the risks and rewards of the underlying transactions are allocated to the feeder funds and direct third party investors using variable funding notes. The master funds are VIEs and are consolidated by the Company as the primary beneficiary. Notes Payable to AlphaCat Investors The master funds issue variable funding notes to the feeder funds, and direct to third party investors, in order to write collateralized reinsurance and invest in capital markets products on their behalf. The Company’s investments in the feeder funds, together with investments made by third parties in the feeder funds and on a direct basis, are provided as consideration for the notes to the master funds. The duration of the underlying collateralized reinsurance contracts and capital market products is typically twelve months ; however, the variable funding notes do not have a stated maturity date or principal amount since repayment is dependent on the settlement and income or loss of the underlying transactions. Therefore, the notes are subsequently redeemed as the underlying transactions are settled. The income or loss generated by the underlying transactions is then transferred to the feeder funds and direct third party investors via the variable funding notes. Any notes issued by the master funds to the consolidated feeder funds are eliminated on consolidation and only variable funding notes issued by AlphaCat Re to direct third party investors and non-consolidated feeder funds remain on the Consolidated Balance Sheets as notes payable to AlphaCat investors with the related income or loss included in the Consolidated Statements of Income and Comprehensive Income as (income) attributable to AlphaCat investors. To the extent that the income has not been returned to the investors, it is included in accounts payable and accrued expenses in the Consolidated Balance Sheets. During 2017 and 2016, one of the AlphaCat ILS funds (the “Fund”) issued both common shares and structured notes to the Company and other third party investors in order to capitalize the fund. The Fund deploys its capital through AlphaCat Re; therefore, the structured notes do not have a stated maturity date or principal amount since repayment is dependent on the settlement and income or loss of the variable funding notes with AlphaCat Re. The structured notes rank senior to the common shares of the Fund and earn an interest rate of 7% (2016: 8% ) per annum, payable on a cumulative basis in arrears. As the Fund is consolidated by the Company, the structured notes issued to the Company are eliminated on consolidation and only the structured notes issued to third party investors remain on the Consolidated Balance Sheets as notes payable to AlphaCat investors with any related interest included in the Consolidated Statements of Income and Comprehensive Income as (income) attributable to AlphaCat investors. To the extent that the accrued interest on the structured notes has not been returned to the investors, it is included in accounts payable and accrued expenses in the Consolidated Balance Sheets. The following tables present a reconciliation of the beginning and ending notes payable to AlphaCat investors for the three and six months ended June 30, 2017 and 2016 : Three Months Ended June 30, 2017 Variable Funding Notes Structured Notes Total Notes payable to AlphaCat investors, beginning of period $ 343,256 $ 103,320 $ 446,576 Notes payable to AlphaCat investors recognized on deconsolidation of AlphaCat ILS fund 423,269 — 423,269 Issuance of notes payable to AlphaCat investors 267,867 68,880 336,747 Redemption of notes payable to AlphaCat investors (140,150 ) — (140,150 ) Foreign exchange gains (283 ) — (283 ) Notes payable to AlphaCat investors, end of period $ 893,959 $ 172,200 $ 1,066,159 Three Months Ended June 30, 2016 Variable Funding Notes Structured Notes Total Notes payable to AlphaCat investors, beginning of period $ 261,793 $ 61,717 $ 323,510 Issuance of notes payable to AlphaCat investors 102,817 32,609 135,426 Redemption of notes payable to AlphaCat investors (88,079 ) — (88,079 ) Foreign exchange losses 125 — 125 Notes payable to AlphaCat investors, end of period $ 276,656 $ 94,326 $ 370,982 Six Months Ended June 30, 2017 Variable Funding Notes Structured Notes Total Notes payable to AlphaCat investors, beginning of period $ 278,202 $ — $ 278,202 Notes payable to AlphaCat investors recognized on deconsolidation of AlphaCat ILS fund 423,269 — 423,269 Issuance of notes payable to AlphaCat investors 541,877 172,200 714,077 Redemption of notes payable to AlphaCat investors (349,106 ) — (349,106 ) Foreign exchange gains (283 ) — (283 ) Notes payable to AlphaCat investors, end of period $ 893,959 $ 172,200 $ 1,066,159 Six Months Ended June 30, 2016 Variable Funding Notes Structured Notes Total Notes payable to AlphaCat investors, beginning of period $ 75,493 $ — $ 75,493 Issuance of notes payable to AlphaCat investors 298,105 94,326 392,431 Redemption of notes payable to AlphaCat investors (97,684 ) — (97,684 ) Foreign exchange losses 742 — 742 Notes payable to AlphaCat investors, end of period $ 276,656 $ 94,326 $ 370,982 As at December 31, 2016 , $1,000 of the structured notes redeemed during the year were payable to AlphaCat investors and included in accounts payable and accrued expenses. The income attributable to AlphaCat investors for the three and six months ended June 30, 2017 was $11,830 and $19,333 ( 2016 : $6,114 and $10,714 ), with $63,352 included in accounts payable and accrued expenses as at June 30, 2017 (December 31, 2016 : $17,068 ). BetaCat ILS funds The BetaCat ILS funds invest exclusively in catastrophe bonds (principal-at-risk variable rate notes and other event-linked securities, being referred to collectively as “Cat Bonds”) focused on property and casualty risk and issued under Rule 144A of the Securities Act of 1933, as amended, following a passive buy-and-hold investment strategy. Two of the funds are VIEs, one of which is consolidated by the Company as the primary beneficiary. The remaining fund is a VOE and is consolidated by the Company as it owns all of the voting equity interests. The Company’s maximum exposure to any of the funds is the amount of capital invested at any given time. The following table presents the total assets and total liabilities of the Company’s consolidated VIEs, excluding intercompany eliminations, as at June 30, 2017 and December 31, 2016 : June 30, 2017 December 31, 2016 Total Assets Total Liabilities Total Assets Total Liabilities AlphaCat sidecars $ 29,330 $ 3,455 $ 40,041 $ 3,206 AlphaCat ILS funds - Lower Risk (a) 951,428 951,428 13,371 1,498,276 42,457 AlphaCat ILS funds - Higher Risk (a) 1,037,568 207,300 972,633 381,332 AlphaCat Re and AlphaCat Master Fund 2,828,096 2,827,926 2,510,415 2,510,245 BetaCat ILS funds 146,098 278 82,471 30,663 (a) Lower risk AlphaCat ILS funds have a maximum permitted portfolio expected loss of less than 7%, whereas higher risk AlphaCat ILS funds have a maximum permitted portfolio expected loss of greater than 7%. Expected loss represents the average annual loss over the set of simulation scenarios divided by the total limit. Assets of consolidated VIEs can only be used to settle obligations and liabilities of the consolidated VIEs and do not have recourse to the general credit of the Company. Investments held by these entities are presented separately in Note 4 , “ Investments ,” as non-managed investments. (b) Non-Consolidated VIEs The Company invests in private equity and other investment vehicles as part of the Company’s investment portfolio. The activities of these VIEs are generally limited to holding investments and the Company’s involvement in these entities is passive in nature. The Company’s maximum exposure to the VIEs is the amount of capital invested at any given time, and the Company does not have the power to direct the activities which most significantly impact the VIEs economic performance. The Company is therefore not the primary beneficiary of these VIEs. |
Noncontrolling interest
Noncontrolling interest | 6 Months Ended |
Jun. 30, 2017 | |
Noncontrolling Interest [Abstract] | |
Noncontrolling interest | Noncontrolling interests Investors in certain of the AlphaCat and BetaCat ILS funds have rights that enable them, subject to certain limitations, to redeem their shares. The third party equity is therefore recorded in the Company’s Consolidated Balance Sheets as redeemable noncontrolling interests. When and if a redemption notice is received, the fair value of the redemption is reclassified to a liability. The AlphaCat sidecars and one of the AlphaCat ILS funds have no shareholder redemption rights. Therefore, the third party equity is recorded in the Company’s Consolidated Balance Sheets as noncontrolling interests. The following tables present a reconciliation of the beginning and ending balances of redeemable noncontrolling interests and noncontrolling interests for the three and six months ended June 30, 2017 and 2016 : Redeemable noncontrolling interests Noncontrolling interests Total Three Months Ended June 30, Three Months Ended June 30, Three Months Ended June 30, 2017 2016 2017 2016 2017 2016 Balance, beginning of period $ 1,657,630 $ 1,409,037 $ 330,597 $ 157,223 $ 1,988,227 $ 1,566,260 Issuance of shares 106,501 112,500 103,320 59,349 209,821 171,849 Adjustment to noncontrolling interests as a result of deconsolidation (459,021 ) — — — (459,021 ) — Income attributable to noncontrolling interests 28,555 17,230 15,095 3,963 43,650 21,193 Redemption of shares / distributions (82,005 ) (6,484 ) (33,354 ) (8,381 ) (115,359 ) (14,865 ) Balance, end of period $ 1,251,660 $ 1,532,283 $ 415,658 $ 212,154 $ 1,667,318 $ 1,744,437 Redeemable noncontrolling interests Noncontrolling interests Total Six Months Ended June 30, Six Months Ended June 30, Six Months Ended June 30, 2017 2016 2017 2016 2017 2016 Balance, beginning of period $ 1,528,001 $ 1,111,714 $ 165,977 $ 154,662 $ 1,693,978 $ 1,266,376 Issuance of shares 210,200 381,250 258,300 171,674 468,500 552,924 Adjustment to noncontrolling interests as a result of deconsolidation (459,021 ) — — — (459,021 ) — Income attributable to noncontrolling interests 54,485 45,803 31,737 12,921 86,222 58,724 Redemption of shares / distributions (82,005 ) (6,484 ) (40,356 ) (127,103 ) (122,361 ) (133,587 ) Balance, end of period $ 1,251,660 $ 1,532,283 $ 415,658 $ 212,154 $ 1,667,318 $ 1,744,437 As at June 30, 2017 , redemptions of $74,200 and distributions of $nil (December 31, 2016 : $71,530 and $16,144 ) were payable to redeemable noncontrolling interests and noncontrolling interests, respectively. These amounts are classified within accounts payable and accrued expenses on the Company’s Consolidated Balance Sheets. |
Derivative instruments
Derivative instruments | 6 Months Ended |
Jun. 30, 2017 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivative instruments | Derivative instruments The Company enters into derivative instruments for risk management purposes, specifically to hedge unmatched foreign currency exposures, interest rate exposures and to shorten the duration of the Company’s fixed maturities portfolio. (a) Derivatives not designated as hedging instruments The following table summarizes information on the classification and amount of the fair value of derivatives not designated as hedging instruments for accounting purposes within the Company’s Consolidated Balance Sheets as at June 30, 2017 and December 31, 2016 : June 30, 2017 December 31, 2016 Derivatives not designated as hedging instruments Notional Exposure Asset Derivative at Fair Value (a) Liability Derivative at Fair Value (a) Notional Exposure Asset Derivative at Fair Value (a) Liability Derivative at Fair Value (a) Foreign currency forward contracts $ 223,018 $ 1,972 $ 6,325 $ 181,375 $ 2,351 $ 3,421 Interest rate swap contracts $ 150,000 $ 330 $ 648 $ — $ — $ — (a) Asset and liability derivatives are classified within other assets and accounts payable and accrued expenses, respectively, within the Company’s consolidated balance sheets. The following table summarizes information on the classification and net impact on earnings, recognized in the Company’s Consolidated Statements of Income and Comprehensive Income relating to the foreign currency forward and interest rate swap contracts that were not designated as hedging instruments for accounting purposes during the three and six months ended June 30, 2017 and 2016 : Derivatives not designated as hedging instruments Classification of (losses) gains recognized in earnings Three Months Ended June 30, Six Months Ended June 30, 2017 2016 2017 2016 Foreign currency forward contracts Foreign exchange (losses) gains $ (6,525 ) $ 896 $ (6,072 ) $ (1,117 ) Foreign currency forward contracts Other (loss) income $ (874 ) $ 84 $ (979 ) $ 120 Interest rate swap contracts Change in unrealized losses on investments $ (319 ) $ — $ (319 ) $ — (b) Derivatives designated as hedging instruments The following table summarizes information on the classification and amount of the fair value of derivatives designated as hedging instruments for accounting purposes on the Consolidated Balance Sheets as at June 30, 2017 and December 31, 2016 : June 30, 2017 December 31, 2016 Derivatives designated as hedging instruments Notional Exposure Asset Derivative at Fair Value (a) Liability Derivative at Fair Value (a) Notional Exposure Asset Derivative at Fair Value (a) Liability Derivative at Fair Value (a) Interest rate swap contracts $ 552,263 $ 20 $ 1,409 $ 552,263 $ 20 $ 1,479 (a) Asset and liability derivatives are classified within other assets and accounts payable and accrued expenses, respectively, within the Company’s consolidated balance sheets. Derivative instruments designated as a cash flow hedge The Company designates its interest rate derivative instruments as cash flow hedges for accounting purposes and formally and contemporaneously documents all relationships between the hedging instruments and hedged items and links the derivative instruments to specific assets and liabilities. The Company assesses the effectiveness of the hedges, both at inception and on an on-going basis and determines whether the hedges are highly effective in offsetting changes in fair value of the linked hedged items. The Company currently applies the long haul method when assessing the hedge’s effectiveness. The following table provides the total impact on other comprehensive income (loss) and earnings relating to the derivative instruments formally designated as cash flow hedges along with the impact of the related hedged items for the three and six months ended June 30, 2017 and 2016 : Three Months Ended June 30, Six Months Ended June 30, Interest rate swap contracts 2017 2016 2017 2016 Amount of effective portion recognized in other comprehensive income $ 2,217 $ 2,694 $ 4,376 $ 6,350 Amount of effective portion subsequently reclassified to earnings $ (2,073 ) $ (2,758 ) $ (4,330 ) $ (5,656 ) Amount of ineffective portion excluded from effectiveness testing $ (144 ) $ 64 $ (46 ) $ (694 ) The above balances relate to interest payments and have therefore been classified as finance expenses in the Consolidated Statements of Income and Comprehensive Income. (c) Classification within the fair value hierarchy As described in Note 5 , “ Fair value measurements ,” under U.S. GAAP, a company must determine the appropriate level in the fair value hierarchy for each fair value measurement. The assumptions used within the valuation of the Company’s derivative instruments are observable in the marketplace, can be derived from observable data or are supported by observable levels at which other similar transactions are executed in the marketplace. Accordingly, these derivatives were classified within Level 2 of the fair value hierarchy. (d) Balance sheet offsetting There was no balance sheet offsetting activity as at June 30, 2017 or December 31, 2016 . The Company currently provides cash collateral as security for interest rate swap contracts. The Company does not provide cash collateral or financial instruments as security for foreign currency forward contracts. Our derivative instruments are generally traded under International Swaps and Derivatives Association master netting agreements, which establish terms that apply to all transactions. On a periodic basis, the amounts receivable from or payable to the counterparties are settled in cash. The Company has not elected to settle multiple transactions with an individual counterparty on a net basis. |
Reserve for losses and loss exp
Reserve for losses and loss expenses | 6 Months Ended |
Jun. 30, 2017 | |
Liability for Future Policy Benefits and Unpaid Claims and Claims Adjustment Expense [Abstract] | |
Reserve for losses and loss expenses | Reserve for losses and loss expenses Reserves for losses and loss expenses are based in part upon the estimation of case reserves from broker, insured and ceding company reported data. The Company also uses statistical and actuarial methods to estimate ultimate expected losses and loss expenses, from which incurred but not reported losses (“IBNR”) can be calculated. The period of time from the occurrence of a loss to the reporting of a loss to the Company and to the settlement of the Company’s liability may be several months or years. During this period, additional facts and trends may be revealed. As these factors become apparent, reserves will be adjusted, sometimes requiring an increase or decrease in the overall reserves of the Company, and at other times requiring a reallocation of incurred but not reported reserves to specific case reserves. These estimates are reviewed and adjusted regularly, and such adjustments, if any, are reflected in earnings in the period in which they become known. While management believes that it has made a reasonable estimate of ultimate losses, there can be no assurances that ultimate losses and loss expenses will not exceed this estimate. The following table summarizes the total reserve for losses and loss expenses as at June 30, 2017 and December 31, 2016 : June 30, 2017 December 31, 2016 Case reserves $ 1,236,799 $ 1,237,772 IBNR 2,068,392 1,757,423 Total reserve for losses and loss expenses $ 3,305,191 $ 2,995,195 The following table represents an analysis of paid and unpaid losses and loss expenses incurred and a reconciliation of the beginning and ending unpaid losses and loss expenses for the three and six months ended June 30, 2017 and 2016 : Three Months Ended June 30, Six Months Ended June 30, 2017 2016 2017 2016 Reserve for losses and loss expenses, beginning of period $ 3,052,745 $ 2,980,300 $ 2,995,195 $ 2,996,567 Loss reserves recoverable (451,856 ) (370,689 ) (430,421 ) (350,586 ) Net reserves for losses and loss expenses, beginning of period 2,600,889 2,609,611 2,564,774 2,645,981 Net reserves acquired (a) 23,753 — 23,753 — Increase (decrease) in net reserves for losses and loss expenses in respect of losses occurring in: Current year 339,439 369,911 670,255 648,097 Prior years (43,290 ) (62,781 ) (104,521 ) (116,520 ) Total net incurred losses and loss expenses 296,149 307,130 565,734 531,577 Less net losses and loss expenses paid in respect of losses occurring in: Current year (42,758 ) (45,882 ) (50,456 ) (61,655 ) Prior years (193,265 ) (176,775 ) (431,354 ) (430,079 ) Total net paid losses (236,023 ) (222,657 ) (481,810 ) (491,734 ) Foreign exchange losses (gains) 20,216 (14,354 ) 32,533 (6,094 ) Net reserve for losses and loss expenses, end of period 2,704,984 2,679,730 2,704,984 2,679,730 Loss reserves recoverable 600,207 442,987 600,207 442,987 Reserve for losses and loss expenses, end of period $ 3,305,191 $ 3,122,717 $ 3,305,191 $ 3,122,717 (a) Equals net reserves acquired of $42,575 less net reserves commuted at closing of $18,822 . Incurred losses and loss expenses comprise: Three Months Ended June 30, Six Months Ended June 30, 2017 2016 2017 2016 Gross losses and loss expenses $ 415,013 $ 397,863 $ 761,808 $ 667,716 Reinsurance recoverable (118,864 ) (90,733 ) (196,074 ) (136,139 ) Net incurred losses and loss expenses $ 296,149 $ 307,130 $ 565,734 $ 531,577 The net favorable development on prior years by segment and line of business for the three and six months ended June 30, 2017 and 2016 was as follows: Three Months Ended June 30, 2017 Property Marine Specialty Liability Total Validus Re $ (671 ) $ (16,313 ) $ (6,115 ) $ — $ (23,099 ) Talbot (4,894 ) (17,056 ) 6,074 — (15,876 ) Western World (479 ) — — 16 (463 ) AlphaCat (3,097 ) — (755 ) — (3,852 ) Net (favorable) adverse development $ (9,141 ) $ (33,369 ) $ (796 ) $ 16 $ (43,290 ) The net favorable loss reserve development on prior accident years of $43.3 million during the three months ended June 30, 2017 was primarily due to favorable development on attritional losses. Three Months Ended June 30, 2016 Property Marine Specialty Liability Total Validus Re $ (9,468 ) $ (10,018 ) $ (11,391 ) $ — $ (30,877 ) Talbot (10,094 ) (8,928 ) (9,306 ) — (28,328 ) Western World (1,582 ) — — (1,576 ) (3,158 ) AlphaCat (296 ) — (122 ) — (418 ) Net favorable development $ (21,440 ) $ (18,946 ) $ (20,819 ) $ (1,576 ) $ (62,781 ) The net favorable loss reserve development on prior accident years of $62.8 million during the three months ended June 30, 2016 was primarily due to favorable development on attritional losses. Six Months Ended June 30, 2017 Property Marine Specialty Liability Total Validus Re $ (4,242 ) $ (31,742 ) $ (15,895 ) $ — $ (51,879 ) Talbot (11,228 ) (33,052 ) (410 ) — (44,690 ) Western World (3,302 ) — — 2,620 (682 ) AlphaCat (7,492 ) — 222 — (7,270 ) Net (favorable) adverse development $ (26,264 ) $ (64,794 ) $ (16,083 ) $ 2,620 $ (104,521 ) The net favorable loss reserve development on prior accident years of $104.5 million during the six months ended June 30, 2017 was primarily due to favorable development on attritional losses. Six Months Ended June 30, 2016 Property Marine Specialty Liability Total Validus Re $ (32,300 ) $ (6,463 ) $ (17,798 ) $ — $ (56,561 ) Talbot (28,540 ) (5,964 ) (16,544 ) — (51,048 ) Western World (2,023 ) — — (5,561 ) (7,584 ) AlphaCat (477 ) — (850 ) — (1,327 ) Net favorable development $ (63,340 ) $ (12,427 ) $ (35,192 ) $ (5,561 ) $ (116,520 ) The net favorable development of $116.5 million for the six months ended June 30, 2016 was primarily due to favorable development on attritional losses. |
Reinsurance
Reinsurance | 6 Months Ended |
Jun. 30, 2017 | |
Reinsurance Disclosures [Abstract] | |
Reinsurance | Reinsurance The Company’s reinsurance balances recoverable at June 30, 2017 and December 31, 2016 were as follows: June 30, 2017 December 31, 2016 Loss reserves recoverable on unpaid: Case reserves $ 176,416 $ 165,328 IBNR 423,791 265,093 Total loss reserves recoverable 600,207 430,421 Paid losses recoverable 35,675 35,247 Total reinsurance balances recoverable $ 635,882 $ 465,668 The Company enters into reinsurance and retrocession agreements in order to mitigate its accumulation of loss, reduce its liability on individual risks, enable it to underwrite policies with higher limits and increase its aggregate capacity. The cession of insurance and reinsurance does not legally discharge the Company from its primary liability for the full amount of the policies, and the Company is required to pay the loss and bear collection risk if the reinsurer fails to meet its obligations under the reinsurance or retrocession agreement. Amounts recoverable from reinsurers are estimated in a manner consistent with the underlying liabilities. Credit risk The Company evaluates the financial condition of its reinsurers and monitors concentration of credit risk arising from its exposure to individual reinsurers. The reinsurance program is generally placed with reinsurers whose rating, at the time of placement, was A- or better as rated by Standard & Poor’s or the equivalent with other rating agencies. Exposure to a single reinsurer is also controlled with restrictions dependent on rating. As at June 30, 2017 , $630,821 or 99.2% ( December 31, 2016 : $461,369 or 99.1% ) of the Company’s reinsurance balances recoverable were either fully collateralized or recoverable from reinsurers rated A- or better. Reinsurance balances recoverable by reinsurer as at June 30, 2017 and December 31, 2016 were as follows: June 30, 2017 December 31, 2016 Reinsurance Recoverable % of Total Reinsurance Recoverable % of Total Top 10 reinsurers $ 521,027 81.9 % $ 395,308 84.9 % Other reinsurers’ balances > $1 million 106,432 16.8 % 66,944 14.4 % Other reinsurers’ balances < $1 million 8,423 1.3 % 3,416 0.7 % Total $ 635,882 100.0 % $ 465,668 100.0 % The following tables show the reinsurance balances recoverable due from, and the ratings associated with, the Company’s top ten reinsurers as at June 30, 2017 and December 31, 2016 : June 30, 2017 Top 10 Reinsurers Rating Reinsurance Recoverable % of Total Munich Re AA- $ 96,997 15.2 % Lloyd's Syndicates A+ 84,742 13.2 % Fully collateralized reinsurers NR 80,558 12.7 % Swiss Re AA- 77,928 12.3 % Everest Re A+ 54,565 8.6 % Hannover Re AA- 48,037 7.6 % Federal Crop Insurance Corporation (a) 29,009 4.6 % Transatlantic Re A+ 23,066 3.6 % XL Catlin A+ 16,062 2.5 % Helvetia Group A 10,063 1.6 % Total $ 521,027 81.9 % (a) The Company participates in a crop reinsurance program sponsored by the U.S. federal government. The Company remains obligated for amounts ceded in the event that its reinsurers or retrocessionaires do not meet their obligations, except for amounts ceded to the U.S. federal government in the agriculture line of business. December 31, 2016 Top 10 Reinsurers Rating Reinsurance Recoverable % of Total Lloyd's Syndicates A+ $ 84,419 18.2 % Swiss Re AA- 84,044 18.1 % Fully collateralized reinsurers NR 83,088 17.8 % Hannover Re AA- 50,603 10.9 % Everest Re A+ 36,912 7.9 % Munich Re AA- 18,214 3.9 % Transatlantic Re A+ 10,593 2.3 % Hamilton Re A- 10,343 2.2 % Toa Re A+ 9,510 2.0 % National Indemnity Company AA+ 7,582 1.6 % Total $ 395,308 84.9 % At June 30, 2017 and December 31, 2016 , the provision for uncollectible reinsurance relating to reinsurance balances recoverable was $6,741 and $5,153 , respectively. To estimate this provision for uncollectible reinsurance, reinsurance balances recoverable are first allocated to applicable reinsurers. This determination is based on a process rather than an estimate, although an element of judgment is applied, especially in relation to ceded IBNR. The Company then uses default factors to determine the portion of a reinsurer’s balance deemed to be uncollectible. Default factors require considerable judgment and are determined in part using the current rating, or rating equivalent, of each reinsurer as well as other key considerations and assumptions. |
Share capital
Share capital | 6 Months Ended |
Jun. 30, 2017 | |
Stockholders' Equity Note [Abstract] | |
Share capital | Share capital The Company is authorized to issue up to an aggregate of 571,428,571 common and preferred shares with a par value of $0.175 per share. (a) Preferred shares On June 12, 2017, the Company issued 10,000 shares of its 5.800% Non-Cumulative Preferred Shares, Series B (the “Series B Preferred Shares”) (equivalent to 10,000,000 Depositary Shares, each of which represents a 1/1,000th interest in a Series B Preferred Share), $0.175 par value and $25,000 liquidation preference per share (equivalent to $25 per Depositary Share). The Series B Preferred Shares were registered and sold under the Securities Act of 1933, as amended, and were issued at a price to the public of $25,000 per share (equivalent to $25 per Depositary Share). After underwriting discounts and expenses, the Company received net proceeds of $241,686 which was used for general corporate purposes. The Depositary Shares, representing the Series B Preferred Shares, are traded on the New York Stock Exchange (“NYSE”) under the symbol “VRPRB.” The Series B Preferred Shares have no stated maturity date and are redeemable, in whole or in part, at the Company’s option on and after June 21, 2022, at a redemption price of $25,000 per Series B Preferred Share (equivalent to $25 per Depository Share), plus declared and unpaid dividends. The Company may also redeem all, but not less than all, of the Series B Preferred Shares before the redemption date at a redemption price of $26,000 per share (equivalent to $26 per Depository Share), plus declared and unpaid dividends, if the Company is required to submit a proposal to the holders of the Series B Preferred Shares concerning an amalgamation, consolidation, merger or other similar corporate transaction or change in Bermuda law. The Series B Preferred Shares may also be redeemed before the redemption date at a redemption price of $25,000 per Series B Preferred Share (equivalent to $25.00 per Depository Share), plus declared and unpaid dividends, in whole, if there is a certain change in tax law, or in whole or in part, in the case of a capital disqualification event. However, no redemption may occur prior to June 21, 2027 unless the Company has sufficient funds in order to meet the Bermuda Monetary Authority’s (“the BMA”) Enhanced Capital Requirements (“ECR”) and the BMA approves of the redemption, or the Company replaces the capital represented by the Series B Preferred Shares with capital having equal or better capital treatment as the Series B Preferred Shares under the ECR. Dividends on the Series B Preferred Shares, when, as and if declared by the Company’s Board of Directors or a duly authorized committee thereof, will accrue and be payable on the liquidation preference amount from the original issue date, on a non-cumulative basis, quarterly in arrears on each dividend payment date at an annual rate of 5.800% . The Company will be restricted from paying dividends on and repurchasing its common shares, unless certain dividend payments are made on the Series B Preferred Shares. Upon any voluntary or involuntary liquidation, dissolution or winding up of the Company, holders of the Series B Preferred Shares and any parity shares are entitled to receive out of our assets available for distribution to shareholders, before any distribution is made to holders of common shares or other junior shares, a liquidating distribution in the amount of $25,000 per Series B Preferred Share (equivalent to $25 per Depositary Share) plus declared and unpaid dividends. Distributions will be made pro rata in accordance with the respective aggregate liquidation preferences of the Series B Preferred Shares and any parity shares and only to the extent of our assets, if any, that are available after satisfaction of all liabilities to creditors. Holders of the Series B Preferred Shares have no voting rights, except with respect to certain fundamental changes in the terms of the Series B Preferred Shares and in the case of certain dividend non-payments or as otherwise required by Bermuda law or the Company’s bye-laws. On June 13, 2016, the Company issued 6,000 shares of its 5.875% Non-Cumulative Preferred Shares, Series A (the “Series A Preferred Shares”) (equivalent to 6,000,000 Depositary Shares, each of which represents a 1/1,000th interest in a Series A Preferred Share), $0.175 par value and $25,000 liquidation preference per share (equivalent to $25 per Depositary Share). Holders of the Series A Preferred Shares have no voting rights, except with respect to certain fundamental changes in the terms of the Series A Preferred Shares and in the case of certain dividend non-payments or as otherwise required by Bermuda law or the Company’s bye-laws. The following table is a summary of the preferred share activity during the six months ended June 30, 2017 and 2016 : Six Months Ended June 30, 2017 2016 Preferred shares issued and outstanding, beginning of period 6,000 — Preferred shares issued 10,000 6,000 Preferred shares issued and outstanding, end of period 16,000 6,000 The Company had 6,000 Series A Preferred Shares and 10,000 Series B Preferred Shares issued and outstanding as at June 30, 2017 and 6,000 Series A Preferred Shares issued and outstanding as at December 31, 2016. (b) Common Shares The holders of common shares are entitled to receive dividends and are allocated one vote per share , provided that, if the controlled shares of any shareholder or group of related shareholders constitute more than 9.09 percent of the outstanding common shares of the Company, their voting power will be reduced to 9.09 percent. The Company may from time to time repurchase its securities, including common shares, Junior Subordinated Deferrable Debentures and Senior Notes. On February 3, 2015, the Board of Directors of the Company approved an increase in the Company’s common share repurchase authorization to $750,000 . This amount is in addition to the $2,274,401 of common shares repurchased by the Company through February 3, 2015 under its previously authorized share repurchase programs. The Company has repurchased 80,776,802 common shares for an aggregate purchase price of $2,718,402 from the inception of its share repurchase program to June 30, 2017 . The Company had $305,999 remaining under its authorized share repurchase program as of June 30, 2017 . The Company expects the purchases under its share repurchase program to be made from time to time in the open market or in privately negotiated transactions. The timing, form and amount of the share repurchases under the program will depend on a variety of factors, including market conditions, the Company’s capital position relative to internal and rating agency targets, legal requirements and other factors. The repurchase program may be modified, extended or terminated by the Board of Directors at any time. The following table is a summary of the common share activity during the six months ended June 30, 2017 and 2016 : Six Months Ended June 30, 2017 2016 Common shares issued, beginning of period 161,279,976 160,570,772 Restricted share awards vested, net of shares withheld 597,021 601,890 Restricted share units vested, net of shares withheld 14,948 18,486 Options exercised — 13,635 Performance share awards vested, net of shares withheld 42,410 48,088 Common shares issued, end of period 161,934,355 161,252,871 Treasury shares, end of period (82,415,774 ) (80,480,633 ) Common shares outstanding, end of period 79,518,581 80,772,238 (c) Dividends On May 10, 2017 , the Company announced a quarterly cash dividend of $0.38 ( 2016 : $0.35 ) per common share and a quarterly cash dividend of $0.3671875 per depositary share on its outstanding Series A Preferred Shares. The common share dividend was paid on June 30, 2017 to holders of record on June 15, 2017 . The preferred share dividend was paid on June 15, 2017 to holders of record on June 1, 2017. On February 9, 2017, the Company announced a quarterly cash dividend of $0.38 (2016: $0.35 ) per common share and a quarterly cash dividend of $0.3671875 per depositary share on its outstanding Series A Preferred Shares. The common share dividend was paid on March 31, 2017 to holders of record on March 15, 2017. The preferred share dividend was paid on March 15, 2017 to holders of record on March 1, 2017. |
Stock plans
Stock plans | 6 Months Ended |
Jun. 30, 2017 | |
Disclosure of Compensation Related Costs, Share-based Payments [Abstract] | |
Stock plans | Stock plans (a) Long Term Incentive Plan The Company’s Amended and Restated 2005 Long Term Incentive Plan (“LTIP”) provides for grants to employees of options, stock appreciation rights (“SARs”), restricted shares, restricted share units, performance shares, dividend equivalents or other share-based awards. The total number of shares reserved for issuance under the LTIP are 2,753,292 shares of which 714,817 shares remain available for issuance at June 30, 2017 . The LTIP is administered by the Compensation Committee of the Board of Directors. No SARs have been granted to date. Grant prices are established at the fair market value of the Company’s common shares at the date of grant. i. Options Options may be exercised for voting common shares upon vesting. Outstanding options have a life of 10 years and vest either pro rata or at the end of the required service period from the date of grant. Fair value of the option awards at the date of grant is determined using the Black-Scholes option-pricing model. Expected volatility is based on stock price volatility of comparable publicly-traded companies. The Company used the simplified method consistent with U.S. GAAP authoritative guidance on stock compensation expenses to estimate expected lives for options granted during the period as historical exercise data was not available and the options met the requirement as set out in the guidance. The Company has not granted any stock option awards since September 4, 2009. These stock option awards were fully amortized during the year ended December 31, 2012. Activity with respect to options for the six months ended June 30, 2017 and 2016 was as follows: Six Months Ended June 30, 2017 2016 Options Weighted Average Grant Date Fair Value Weighted Average Grant Date Exercise Price Options Weighted Average Grant Date Fair Value Weighted Average Grant Date Exercise Price Options outstanding, beginning of period 26,136 $ 6.78 $ 23.48 65,401 $ 7.74 $ 20.17 Options exercised — — — (14,044 ) 7.69 17.02 Options outstanding, end of period 26,136 $ 6.78 $ 23.48 51,357 $ 7.75 $ 21.03 ii. Restricted share awards Restricted shares granted under the LTIP vest either pro rata or at the end of the required service period and contain certain restrictions during the vesting period, relating to, among other things, forfeiture in the event of termination of employment and transferability. The Company recognized share compensation expenses during the three and six months ended June 30, 2017 of $9,745 ( 2016 : $9,517 ) and $18,789 ( 2016 : $18,646 ), respectively. The expenses represent the proportionate accrual of the fair value of each grant based on the remaining vesting period. Activity with respect to unvested restricted share awards for the six months ended June 30, 2017 and 2016 was as follows: Six Months Ended June 30, 2017 2016 Restricted Share Awards Weighted Average Grant Date Fair Value Restricted Share Awards Weighted Average Grant Date Fair Value Restricted share awards outstanding, beginning of period 2,469,982 $ 40.89 2,739,446 $ 38.25 Restricted share awards granted 481,619 53.42 534,905 48.69 Restricted share awards vested (803,764 ) 41.31 (783,523 ) 37.32 Restricted share awards forfeited (39,617 ) 41.98 (8,317 ) 37.94 Restricted share awards outstanding, end of period 2,108,220 $ 43.58 2,482,511 $ 40.79 At June 30, 2017 , there were $63,931 ( December 31, 2016 : $58,804 ) of total unrecognized share compensation expenses in respect of restricted share awards that are expected to be recognized over a weighted-average period of 2.6 years ( December 31, 2016 : 2.3 years ). iii. Restricted share units Restricted share units under the LTIP vest either ratably or at the end of the required service period and contain certain restrictions during the vesting period, relating to, among other things, forfeiture in the event of termination of employment and transferability. The Company recognized share compensation expenses during the three and six months ended June 30, 2017 of $327 ( 2016 : $377 ) and $642 ( 2016 : $688 ), respectively. The expenses represent the proportionate accrual of the fair value of each grant based on the remaining vesting period. Activity with respect to unvested restricted share units for the six months ended June 30, 2017 and 2016 was as follows: Six Months Ended June 30, 2017 2016 Restricted Share Units Weighted Average Grant Date Fair Value Restricted Share Units Weighted Average Grant Date Fair Value Restricted share units outstanding, beginning of period 112,808 $ 40.95 114,337 $ 38.47 Restricted share units granted 12,236 53.40 20,129 48.69 Restricted share units vested (18,241 ) 41.66 (23,982 ) 38.18 Restricted share units issued in lieu of cash dividends 1,468 40.98 1,629 38.47 Restricted share units outstanding, end of period 108,271 $ 42.24 112,113 $ 40.37 At June 30, 2017 , there were $2,558 ( December 31, 2016 : $2,542 ) of total unrecognized share compensation expenses in respect of restricted share units that are expected to be recognized over a weighted-average period of 2.6 years ( December 31, 2016 : 2.6 years ). iv. Performance share awards The performance share awards contain a performance based component. The performance component relates to the compounded growth in the Dividend Adjusted Diluted Book Value per Share (“DBVPS”) over a three -year period relative to the Company’s peer group. For performance share awards granted during the period, the grant date DBVPS is based on the DBVPS at the end of the most recent financial reporting year. The Dividend Adjusted Performance Period End DBVPS will be the DBVPS three years after the grant date DBVPS. The fair value estimate earns over the requisite attribution period and the estimate will be reassessed at the end of each performance period which will reflect any adjustments in the Consolidated Statements of Income and Comprehensive Income in the period in which they are determined. The Company recognized share compensation expenses during the three and six months ended June 30, 2017 of $1,074 ( 2016 : $833 ) and $1,206 ( 2016 : $2,630 ), respectively. Activity with respect to unvested performance share awards for the six months ended June 30, 2017 and 2016 was as follows: Six Months Ended June 30, 2017 2016 Performance Share Awards Weighted Average Grant Date Fair Value Performance Share Awards Weighted Average Grant Date Fair Value Performance share awards outstanding, beginning of period 285,820 $ 44.53 172,594 $ 40.70 Performance share awards granted 107,209 53.40 121,844 48.69 Performance share awards vested (52,639 ) 37.33 (57,581 ) 36.11 Performance share awards conversion adjustment (26,322 ) 36.82 45,517 36.82 Performance share awards outstanding, end of period 314,068 $ 49.37 282,374 $ 44.46 At June 30, 2017 , there were $10,250 ( December 31, 2016 : $6,902 ) of total unrecognized share compensation expenses in respect of performance share awards that are expected to be recognized over a weighted-average period of 2.3 years ( December 31, 2016 : 2.1 years ). (b) Total share compensation expenses The breakdown of share compensation expenses by award type for the periods indicated was as follows: Three Months Ended June 30, Six Months Ended June 30, 2017 2016 2017 2016 Restricted share awards $ 9,745 $ 9,517 $ 18,789 $ 18,646 Restricted share units 327 377 642 688 Performance share awards 1,074 833 1,206 2,630 Total $ 11,146 $ 10,727 $ 20,637 $ 21,964 |
Debt and financing arrangements
Debt and financing arrangements | 6 Months Ended |
Jun. 30, 2017 | |
Debt Disclosure [Abstract] | |
Debt and financing arrangements | Debt and financing arrangements The Company’s financing structure is comprised of debentures and senior notes payable along with credit and other facilities. The Company’s outstanding debentures and senior notes payable as at June 30, 2017 and December 31, 2016 were as follows: June 30, 2017 December 31, 2016 Deferrable debentures 2006 Junior Subordinated $ 150,000 $ 150,000 2007 Junior Subordinated 139,800 139,800 Flagstone 2006 Junior Subordinated 134,850 133,676 Flagstone 2007 Junior Subordinated 113,750 113,750 Total debentures payable 538,400 537,226 2010 Senior notes payable 250,000 250,000 Less: Unamortized debt issuance costs (4,537 ) (4,638 ) Total senior notes payable 245,463 245,362 Total debentures and senior notes payable $ 783,863 $ 782,588 The Company’s outstanding credit and other facilities as at June 30, 2017 and December 31, 2016 were as follows: June 30, 2017 December 31, 2016 Commitment Drawn and outstanding Commitment Drawn and outstanding Credit and other facilities $85,000 syndicated unsecured letter of credit facility $ 85,000 $ — $ 85,000 $ — $300,000 syndicated secured letter of credit facility 300,000 87,718 300,000 90,252 $24,000 secured bi-lateral letter of credit facility 24,000 5,648 24,000 4,553 $20,000 AlphaCat Re secured letter of credit facility (a) — — 20,000 20,000 $25,000 IPC bi-lateral facility 25,000 5,535 25,000 5,842 $236,000 Flagstone bi-lateral facility 236,000 102,190 236,000 144,392 Total credit and other facilities $ 670,000 $ 201,091 $ 690,000 $ 265,039 (a) The Company terminated its AlphaCat Re secured letter of credit facility on January 6, 2017. (a) Senior notes and junior subordinated deferrable debentures The following table summarizes the key terms of the Company’s senior notes and junior subordinated deferrable debentures: Description Issuance date Issued Maturity date Interest Rate as at Interest payments due Issuance Date June 30, 2017 2006 Junior Subordinated Deferrable Debentures June 15, 2006 $ 150,000 June 15, 2036 9.069 % (a) 5.831 % (e) Quarterly Flagstone 2006 Junior Subordinated Deferrable Debentures August 23, 2006 $ 134,850 September 15, 2036 3.540 % (b) 6.463 % (e) Quarterly 2007 Junior Subordinated Deferrable Debentures June 21, 2007 $ 200,000 June 15, 2037 8.480 % (c) 5.180 % (e) Quarterly Flagstone 2007 Junior Subordinated Deferrable Debentures June 8, 2007 $ 100,000 July 30, 2037 3.000 % (b) 5.900 % (e) Quarterly Flagstone 2007 Junior Subordinated Deferrable Debentures September 20, 2007 $ 25,000 September 15, 2037 3.100 % (b) 5.983 % (e) Quarterly 2010 Senior Notes due 2040 January 26, 2010 $ 250,000 January 26, 2040 8.875 % (d) 8.875 % (d) Semi-annually in arrears (a) Fixed interest rate for 5 years , floating interest rate of three-month LIBOR plus 3.550% thereafter, reset quarterly. (b) Floating interest rate of three-month LIBOR plus amount stated, reset quarterly. (c) Fixed interest rate for 5 years , floating interest rate of three-month LIBOR plus 2.950% thereafter, reset quarterly. (d) Fixed interest rate. (e) Fixed interest rate as a result of interest rate swap contracts entered into by the Company. Future payments of principal of $250,000 and $538,400 on the 2010 Senior Notes and the debentures, respectively, are expected to be made after 2022. (b) Credit facilities The Company has pledged cash and investments as collateral under the Company’s credit facilities in the total amount of $404,516 (December 31, 2016 : $442,184 ) as detailed in the table below: Cash and investments pledged as collateral June 30, 2017 December 31, 2016 $300,000 syndicated secured letter of credit facility $ 147,048 $ 157,597 $24,000 secured bi-lateral letter of credit facility 33,353 48,097 AlphaCat Re secured letter of credit facility (a) — 20,032 $236,000 Flagstone bi-lateral facility 224,115 216,458 Total cash and investments pledged as collateral $ 404,516 $ 442,184 (a) The Company terminated its AlphaCat Re secured letter of credit facility on January 6, 2017. As of June 30, 2017 and December 31, 2016 , the Company was in compliance with all covenants and restrictions under its credit facilities. (c) Finance expenses Finance expenses consist of interest on the junior subordinated deferrable debentures and senior notes, the amortization of debt offering costs, credit facility fees, bank charges, Talbot Funds at Lloyds (“FAL”) facility, AlphaCat financing fees and other charges as follows: Three Months Ended June 30, Six Months Ended June 30, 2017 2016 2017 2016 2006 Junior Subordinated Deferrable Debentures $ 2,211 $ 2,211 $ 4,398 $ 4,422 2007 Junior Subordinated Deferrable Debentures 1,831 1,830 3,641 3,661 Flagstone 2006 Junior Subordinated Deferrable Debentures 2,248 2,244 4,469 4,489 Flagstone 2007 Junior Subordinated Deferrable Debentures 1,751 1,766 3,474 3,533 2010 Senior Notes due 2040 5,598 5,597 11,195 11,194 Credit facilities 403 235 621 896 Bank and other charges 131 206 282 213 AlphaCat fees (a) 36 77 72 961 Total finance expenses $ 14,209 $ 14,166 $ 28,152 $ 29,369 (a) Includes finance expenses incurred by AlphaCat Managers Ltd. in relation to fund raising for the AlphaCat sidecars, the AlphaCat ILS funds and AlphaCat direct. |
Accumulated other comprehensive
Accumulated other comprehensive loss | 6 Months Ended |
Jun. 30, 2017 | |
Accumulated Other Comprehensive Income (Loss), Net of Tax [Abstract] | |
Accumulated other comprehensive loss | Accumulated other comprehensive loss The changes in accumulated other comprehensive loss, by component for the three and six months ended June 30, 2017 and 2016 was as follows: Three Months Ended June 30, 2017 Foreign currency translation adjustment Minimum pension liability Cash flow hedge Total Balance, net of tax, beginning of period $ (21,677 ) $ (82 ) $ (694 ) $ (22,453 ) Other comprehensive income (loss), net of tax 1,489 1,184 (144 ) 2,529 Balance, net of tax, end of period $ (20,188 ) $ 1,102 $ (838 ) $ (19,924 ) Three Months Ended June 30, 2016 Foreign currency translation adjustment Minimum pension liability Cash flow hedge Total Balance, net of tax, beginning of period $ (13,862 ) $ 251 $ (1,827 ) $ (15,438 ) Other comprehensive (loss) income, net of tax (3,287 ) 479 64 (2,744 ) Balance, net of tax, end of period $ (17,149 ) $ 730 $ (1,763 ) $ (18,182 ) Six Months Ended June 30, 2017 Foreign currency translation adjustment Minimum pension liability Cash flow hedge Total Balance, net of tax, beginning of period $ (22,274 ) $ (150 ) $ (792 ) $ (23,216 ) Other comprehensive income (loss), net of tax 2,086 1,252 (46 ) 3,292 Balance, net of tax, end of period $ (20,188 ) $ 1,102 $ (838 ) $ (19,924 ) Six Months Ended June 30, 2016 Foreign currency translation adjustment Minimum pension liability Cash flow hedge Total Balance, net of tax, beginning of period $ (11,834 ) $ 334 $ (1,069 ) $ (12,569 ) Other comprehensive (loss) income, net of tax (5,315 ) 396 (694 ) (5,613 ) Balance, net of tax, end of period $ (17,149 ) $ 730 $ (1,763 ) $ (18,182 ) |
Commitments and contingencies
Commitments and contingencies | 6 Months Ended |
Jun. 30, 2017 | |
Commitments and Contingencies Disclosure [Abstract] | |
Commitments and contingencies | Commitments and contingencies (a) Funds at Lloyd’s Talbot operates in Lloyd’s through a corporate member, Talbot 2002 Underwriting Capital Ltd (“T02”), which is the sole participant in Syndicate 1183. Lloyd’s sets T02’s required capital annually based on Syndicate 1183’s business plan, rating environment and reserving environment together with input arising from Lloyd’s discussions with, inter alia, regulatory and rating agencies. Such capital, called Funds at Lloyd’s (“FAL”), comprises cash and investments. The Company provided FAL in the amount of $583,600 for the 2017 underwriting year ( 2016 underwriting year: $617,000 ). The amounts which are provided as FAL are not available for distribution to the Company for the payment of dividends. Talbot’s corporate member may also be required to maintain funds under the control of Lloyd’s in excess of its capital requirement and such funds also may not be available for distribution to the Company for the payment of dividends. (b) Lloyd’s Central Fund Whenever a member of Lloyd’s is unable to pay its debts to policyholders, such debts may be payable by the Lloyd’s Central Fund. If Lloyd’s determines that the Central Fund needs to be increased, it has the power to assess premium levies on current Lloyd’s members up to 3% of a member’s underwriting capacity in any one year. The Company does not believe that any assessment is likely in the foreseeable future and has not provided any allowance for such an assessment. However, based on the Company’s 2017 underwriting capacity at Lloyd’s of £600,000 , at the June 30, 2017 exchange rate of £1 equals $1.30 and assuming the maximum 3% assessment, the Company would be assessed approximately $23,400 . (c) Marketing Services Agreement (“MSA”) On May 1, 2017, the Company entered into a MSA with Archer Daniels Midland (“ADM”). Under this agreement, ADM agrees to provide marketing services via its own distribution channels for an annual fee of $2,000 for a period of seven years , with an option for the Company to extend for an additional three years . For the three and six months ended June 30, 2017 , the Company had incurred fees of $333 in relation to the MSA. (d) Unfunded investment commitments As at June 30, 2017 and December 31, 2016 , the Company had total unfunded investment commitments related to the following: Unfunded investment commitments June 30, 2017 December 31, 2016 Fixed maturity investments (a) $ 25,238 $ 28,499 Other investments (b) 119,495 156,134 Investments in investment affiliates (c) 84,046 64,071 AlphaCat ILS Fund — 10,000 Total unfunded investment commitments $ 228,779 $ 258,704 (a) The Company has an outstanding commitment to participate in certain secured loan facilities through participation agreements with an established loan originator. (b) The Company’s total capital commitments related to other investments as at June 30, 2017 was $313,000 ( December 31, 2016 : $308,000 ). (c) Refer to Note 4 (c), “Investments in Investment Affiliates.” |
Related party transactions
Related party transactions | 6 Months Ended |
Jun. 30, 2017 | |
Related Party Transactions [Abstract] | |
Related party transactions | Related party transactions The transactions listed below are classified as related party transactions as principals and/or directors of each counterparty are members of the Company’s board of directors. (a) Aquiline Capital Partners LLC (“Aquiline Capital”) Group Ark Insurance Subsequent to July 2016, Aquiline Capital ceased to be shareholders of Group Ark Insurance Holdings Ltd. (“Group Ark”). Christopher E. Watson, a director of the Company and senior principal of Aquiline Capital, continues to serve as a director of Group Ark. Pursuant to reinsurance agreements with a subsidiary of Group Ark, the Company recognized gross premiums written during the three and six months ended June 30, 2016 of $65 and $1,971 , respectively. The Company also recognized reinsurance premiums ceded during the three and six months ended June 30, 2016 of $(17) and $nil , respectively. Earned premium adjustments were recorded during the three and six months ended June 30, 2016 of $473 and $999 , respectively. As at December 31, 2016 the Company had recorded premiums receivable and loss reserves recoverable of $292 and $798 , respectively. Wellington Pursuant to reinsurance agreements with a subsidiary of Wellington Insurance Company (“Wellington”), during the three and six months ended June 30, 2017 the Company recognized gross premiums written of $1,144 and $4,118 ( 2016 : $nil and $nil ), respectively, and earned premium adjustments of $1,676 and $2,537 ( 2016 : $nil and $nil ), respectively. As at June 30, 2017 and December 31, 2016 the Company had recorded premiums receivable of $3,531 and $666 , respectively. Aquiline Capital are shareholders of Wellington and Christopher E. Watson, a director of the Company and senior principal of Aquiline Capital, serves as a director of Wellington. Aquiline II, Aquiline III and Aquiline Tech The Company had, as of June 30, 2017 and December 31, 2016 , investments in Aquiline II, III and Tech with a total value of $103,377 and $100,431 and outstanding unfunded commitments of $84,046 and $64,071 , respectively. For the three and six months ended June 30, 2017 , the Company incurred $130 and $486 ( 2016 : $440 and $440 ), respectively, in partnership fees associated with these investments. Additional information related to Aquiline II, III and Tech is disclosed in Note 4 (c), “Investments in Investment Affiliates.” (b) Other Certain shareholders of the Company and their affiliates, as well as employers of entities associated with directors or officers have purchased insurance and/or reinsurance from the Company in the ordinary course of business. The Company believes these transactions were settled for arm’s length consideration. |
Earnings per share
Earnings per share | 6 Months Ended |
Jun. 30, 2017 | |
Earnings Per Share [Abstract] | |
Earnings per share | Earnings per common share The following table sets forth the computation of basic earnings per common share and earnings per diluted common share for the three and six months ended June 30, 2017 and 2016 : Three Months Ended June 30, Six Months Ended June 30, 2017 2016 2017 2016 Basic earnings per common share Net income available to Validus common shareholders $ 101,095 $ 94,963 $ 195,656 $ 261,773 Weighted average number of common shares outstanding 79,270,561 81,950,833 79,202,116 82,386,047 Basic earnings per share available to Validus common shareholders $ 1.28 $ 1.16 $ 2.47 $ 3.18 Earnings per diluted common share Net income available to Validus common shareholders $ 101,095 $ 94,963 $ 195,656 $ 261,773 Weighted average number of common shares outstanding 79,270,561 81,950,833 79,202,116 82,386,047 Share equivalents: Stock options 14,739 33,796 15,059 34,837 Unvested restricted shares 1,587,151 1,388,374 1,644,823 1,364,775 Weighted average number of diluted common shares outstanding 80,872,451 83,373,003 80,861,998 83,785,659 Earnings per diluted share available to Validus common shareholders $ 1.25 $ 1.14 $ 2.42 $ 3.12 Share equivalents that would result in the issuance of common shares of 412,603 ( 2016 : 507,262 ) and 207,054 ( 2016 : 253,631 ) were outstanding for the three and six months ended June 30, 2017 , respectively, but were not included in the computation of earnings per diluted common share because the effect would be antidilutive. |
Segment information
Segment information | 6 Months Ended |
Jun. 30, 2017 | |
Segment Reporting [Abstract] | |
Segment information | Segment information The Company conducts its operations worldwide through four operating segments, which have been determined under ASC Topic 280 “Segment Reporting” to be Validus Re, Talbot, Western World and AlphaCat. For segmental reporting purposes, the results of CRS have been included in the results of the Western World segment as of May 1, 2017, the date of acquisition. The Company’s operating segments are strategic business units that offer different products and services. They are managed and have capital allocated separately because each segment undertakes different strategies. A description of each of the Company’s operating segments and its Corporate and Investments function is as follows: Validus Re Segment The Validus Re segment is focused primarily on treaty reinsurance. The primary lines in which the segment conducts business are property, marine and specialty which includes agriculture, aerospace and aviation, financial lines of business, nuclear, terrorism, life, accident & health, workers’ compensation, crisis management, contingency, technical lines, composite, trade credit and casualty. Talbot Segment The Talbot segment is focused on a wide range of marine and energy, political lines, commercial property, financial lines, contingency, accident & health and aviation classes of business on an insurance or facultative reinsurance basis and principally property, aerospace and marine classes of business on a treaty reinsurance basis. Western World Segment The Western World segment is focused on providing commercial insurance products on a surplus lines and specialty admitted basis. Western World specializes in underwriting classes of business that are not easily placed in the standard insurance market due to their complexity, high hazard, or unusual nature; including general liability, property and professional liability, homeowners, commercial package and agriculture classes of business. AlphaCat Segment The AlphaCat segment leverages the Company’s underwriting and analytical expertise and earns management and performance fees from the Company and other third party investors primarily through the AlphaCat ILS funds and sidecars. Corporate and Investments The Company has a corporate and investments function (“Corporate and Investments”), which includes the activities of the parent company, and which carries out certain functions for the group, including investment management. Corporate and Investments includes investment income on a managed basis and other non-segment expenses, predominantly general and administrative, stock compensation, finance and transaction expenses. Transaction expenses are primarily comprised of legal, financial advisory and audit related services incurred in connection with the acquisition of CRS. Corporate and Investments also includes the activities of certain key executives such as the Chief Executive Officer and Chief Financial Officer. For reporting purposes, Corporate and Investments is reflected separately; however, it is not considered an operating segment under these circumstances. Other reconciling items include, but are not limited to, the elimination of certain inter segment revenues and expenses and other items that are not allocated to the operating segments. A reconciliation of segmental income to net income available to Validus is included in the tables below. The following tables summarize the results of our operating segments and “Corporate and Investments”: Three Months Ended June 30, Six Months Ended June 30, Validus Re Segment Information 2017 2016 2017 2016 Underwriting revenues Gross premiums written $ 296,997 $ 285,810 $ 917,519 $ 977,478 Reinsurance premiums ceded (11,387 ) (3,196 ) (120,200 ) (95,691 ) Net premiums written 285,610 282,614 797,319 881,787 Change in unearned premiums (45,003 ) (35,492 ) (338,300 ) (390,834 ) Net premiums earned 240,607 247,122 459,019 490,953 Other insurance related income (loss) 58 150 136 (165 ) Total underwriting revenues 240,665 247,272 459,155 490,788 Underwriting deductions Losses and loss expenses 104,685 132,139 190,839 215,007 Policy acquisition costs 47,158 42,564 88,414 84,823 General and administrative expenses 19,274 17,872 36,106 35,051 Share compensation expenses 2,663 2,775 5,140 5,676 Total underwriting deductions 173,780 195,350 320,499 340,557 Underwriting income $ 66,885 $ 51,922 $ 138,656 $ 150,231 Selected ratios Ratio of net to gross premiums written 96.2 % 98.9 % 86.9 % 90.2 % Losses and loss expense ratio 43.5 % 53.5 % 41.6 % 43.8 % Policy acquisition cost ratio 19.6 % 17.2 % 19.3 % 17.3 % General and administrative expense ratio (a) 9.1 % 8.4 % 8.9 % 8.3 % Expense ratio 28.7 % 25.6 % 28.2 % 25.6 % Combined ratio 72.2 % 79.1 % 69.8 % 69.4 % (a) The general and administrative expense ratio includes share compensation expenses. Three Months Ended June 30, Six Months Ended June 30, Talbot Segment Information 2017 2016 2017 2016 Underwriting revenues Gross premiums written $ 262,477 $ 296,067 $ 509,652 $ 562,384 Reinsurance premiums ceded (24,977 ) (27,161 ) (117,801 ) (114,619 ) Net premiums written 237,500 268,906 391,851 447,765 Change in unearned premiums (45,626 ) (67,357 ) (4,912 ) (39,424 ) Net premiums earned 191,874 201,549 386,939 408,341 Other insurance related income 65 279 820 290 Total underwriting revenues 191,939 201,828 387,759 408,631 Underwriting deductions Losses and loss expenses 93,389 109,310 199,801 209,411 Policy acquisition costs 44,305 43,613 87,581 87,956 General and administrative expenses 35,582 39,061 74,025 77,596 Share compensation expenses 3,155 3,270 5,982 6,792 Total underwriting deductions 176,431 195,254 367,389 381,755 Underwriting income $ 15,508 $ 6,574 $ 20,370 $ 26,876 Selected ratios Ratio of net to gross premiums written 90.5 % 90.8 % 76.9 % 79.6 % Losses and loss expense ratio 48.7 % 54.2 % 51.6 % 51.3 % Policy acquisition cost ratio 23.1 % 21.6 % 22.6 % 21.5 % General and administrative expense ratio (a) 20.2 % 21.1 % 20.7 % 20.7 % Expense ratio 43.3 % 42.7 % 43.3 % 42.2 % Combined ratio 92.0 % 96.9 % 94.9 % 93.5 % (a) The general and administrative expense ratio includes share compensation expenses. Three Months Ended June 30, Six Months Ended June 30, Western World Segment Information 2017 2016 2017 2016 Underwriting revenues Gross premiums written $ 131,068 $ 86,971 $ 303,111 $ 150,930 Reinsurance premiums ceded (23,180 ) (5,006 ) (28,798 ) (9,145 ) Net premiums written 107,888 81,965 274,313 141,785 Change in unearned premiums 22,806 (16,309 ) (46,347 ) (14,630 ) Net premiums earned 130,694 65,656 227,966 127,155 Other insurance related income 663 189 904 477 Total underwriting revenues 131,357 65,845 228,870 127,632 Underwriting deductions Losses and loss expenses 97,008 44,229 171,933 83,875 Policy acquisition costs 19,230 15,410 39,466 29,610 General and administrative expenses 18,316 11,458 29,070 23,533 Share compensation expenses 609 542 1,301 1,123 Total underwriting deductions 135,163 71,639 241,770 138,141 Underwriting loss $ (3,806 ) $ (5,794 ) $ (12,900 ) $ (10,509 ) Selected ratios Ratio of net to gross premiums written 82.3 % 94.2 % 90.5 % 93.9 % Losses and loss expense ratio 74.2 % 67.4 % 75.4 % 66.0 % Policy acquisition cost ratio 14.7 % 23.5 % 17.3 % 23.3 % General and administrative expense ratio (a) 14.5 % 18.2 % 13.4 % 19.3 % Expense ratio 29.2 % 41.7 % 30.7 % 42.6 % Combined ratio 103.4 % 109.1 % 106.1 % 108.6 % (a) The general and administrative expense ratio includes share compensation expenses. Three Months Ended June 30, Six Months Ended June 30, AlphaCat Segment Information 2017 2016 2017 2016 Fee revenues Third party $ 5,549 $ 3,091 $ 10,193 $ 7,818 Related party 644 328 1,275 1,219 Total fee revenues 6,193 3,419 11,468 9,037 Expenses General and administrative expenses 3,549 2,751 7,393 4,233 Share compensation expenses 83 133 165 274 Finance expenses 44 75 75 883 Tax expense 135 — 134 — Foreign exchange losses 1 4 — 12 Total expenses 3,812 2,963 7,767 5,402 Income before investments from AlphaCat Funds and Sidecars 2,381 456 3,701 3,635 Investment income (loss) from AlphaCat Funds and Sidecars (a) AlphaCat Sidecars (21 ) 541 (133 ) 665 AlphaCat ILS Funds - Lower Risk (b) 1,301 2,075 3,490 4,582 AlphaCat ILS Funds - Higher Risk (b) 2,600 692 4,967 3,128 BetaCat ILS Funds 263 1,113 631 1,676 PaCRe — — — (23 ) Validus’ share of investment income from AlphaCat Funds and Sidecars 4,143 4,421 8,955 10,028 Validus’ share of AlphaCat segment income $ 6,524 $ 4,877 $ 12,656 $ 13,663 Supplemental information Gross premiums written AlphaCat Sidecars $ — $ (14 ) $ 66 $ (66 ) AlphaCat ILS Funds - Lower Risk (b) 53,632 50,234 106,540 110,192 AlphaCat ILS Funds - Higher Risk (b) 43,672 42,010 137,208 138,330 AlphaCat Direct (c) 8,378 6,675 26,794 17,797 Total gross premiums written $ 105,682 $ 98,905 $ 270,608 $ 266,253 (a) The investment income from the AlphaCat funds and sidecars is based on equity accounting. (b) Lower risk AlphaCat ILS funds have a maximum permitted portfolio expected loss of less than 7%, whereas higher risk AlphaCat ILS funds have a maximum permitted portfolio expected loss of greater than 7%. Expected loss represents the average annual loss over the set of simulation scenarios divided by the total limit. (c) AlphaCat Direct includes direct investments from third party investors in AlphaCat Re. Three Months Ended June 30, Six Months Ended June 30, Corporate and Investments 2017 2016 2017 2016 Investment income Managed net investment income (a) $ 38,063 $ 36,849 $ 74,255 $ 64,772 Corporate expenses General and administrative expenses 18,847 17,872 36,024 34,055 Share compensation expenses 4,636 4,007 8,049 8,099 Finance expenses (b) 14,149 13,979 28,013 28,320 Dividends on preferred shares 2,203 — 4,406 — Tax (benefit) expense (1,122 ) 1,706 (4,670 ) (412 ) Total Corporate expenses 38,713 37,564 71,822 70,062 Other items Net realized gains (losses) on managed investments (b) 2,269 2,520 (623 ) 1,434 Change in net unrealized gains on managed investments (b) 15,942 30,052 30,291 77,130 Income (loss) from investment affiliate 9,466 (589 ) 14,654 (4,702 ) Foreign exchange (losses) gains (b) (7,323 ) 6,621 (6,220 ) 12,695 Other income 174 79 268 756 Transaction expenses (4,427 ) — (4,427 ) — Total other items 16,101 38,683 33,943 87,313 Total Corporate and Investments $ 15,451 $ 37,968 $ 36,376 $ 82,023 (a) Managed net investment income excludes the components which are included in the Company’s share of AlphaCat, net realized and change in unrealized gains on managed investments and income (loss) from investment affiliates. (b) These items exclude the components which are included in Validus’ share of AlphaCat and amounts which are consolidated from VIEs. The following tables reconcile the results of our operating segments along with our corporate and investments function to the Consolidated results of the Company for the periods indicated: Three Months Ended June 30, 2017 Validus Re Segment Talbot Segment Western World Segment AlphaCat Segment and Consolidated VIEs Corporate and Investments Eliminations Total Underwriting revenues Gross premiums written $ 296,997 $ 262,477 $ 131,068 $ 105,682 $ — $ (3,322 ) $ 792,902 Reinsurance premiums ceded (11,387 ) (24,977 ) (23,180 ) — — 3,322 (56,222 ) Net premiums written 285,610 237,500 107,888 105,682 — — 736,680 Change in unearned premiums (45,003 ) (45,626 ) 22,806 (37,830 ) — — (105,653 ) Net premiums earned 240,607 191,874 130,694 67,852 — — 631,027 Other insurance related income 58 65 663 5,874 — (5,495 ) 1,165 Total underwriting revenues 240,665 191,939 131,357 73,726 — (5,495 ) 632,192 Underwriting deductions Losses and loss expenses 104,685 93,389 97,008 1,067 — — 296,149 Policy acquisition costs 47,158 44,305 19,230 7,165 — (590 ) 117,268 General and administrative expenses 19,274 35,582 18,316 9,768 18,847 (5,438 ) 96,349 Share compensation expenses 2,663 3,155 609 83 4,636 — 11,146 Total underwriting deductions 173,780 176,431 135,163 18,083 23,483 (6,028 ) 520,912 Underwriting income (loss) $ 66,885 $ 15,508 $ (3,806 ) $ 55,643 $ (23,483 ) $ 533 $ 111,280 Other items (a) — — — 183 7,501 — 7,684 Dividends on preferred shares — — — — (2,203 ) — (2,203 ) Net investment income — — — 6,178 38,063 — 44,241 Transaction expenses — — — — (4,427 ) — (4,427 ) (Income) attributable to AlphaCat investors — — — (11,830 ) — — (11,830 ) Net (income) attributable to noncontrolling interest — — — (43,650 ) — — (43,650 ) Segmental income (loss) $ 66,885 $ 15,508 $ (3,806 ) $ 6,524 $ 15,451 $ 533 Net income available to Validus common shareholders $ 101,095 (a) Other items includes finance expenses, tax benefit (expense), foreign exchange gains (losses), net realized and change in net unrealized gains (losses) on investments, income from investment and operating affiliates and other income (loss). Three Months Ended June 30, 2016 Validus Re Segment Talbot Segment Western World Segment AlphaCat Segment and Consolidated VIEs Corporate and Investments Eliminations Total Underwriting revenues Gross premiums written $ 285,810 $ 296,067 $ 86,971 $ 98,905 $ — $ (3,711 ) $ 764,042 Reinsurance premiums ceded (3,196 ) (27,161 ) (5,006 ) (4,577 ) — 3,711 (36,229 ) Net premiums written 282,614 268,906 81,965 94,328 — — 727,813 Change in unearned premiums (35,492 ) (67,357 ) (16,309 ) (34,932 ) — — (154,090 ) Net premiums earned 247,122 201,549 65,656 59,396 — — 573,723 Other insurance related income 150 279 189 3,401 — (3,274 ) 745 Total underwriting revenues 247,272 201,828 65,845 62,797 — (3,274 ) 574,468 Underwriting deductions Losses and loss expenses 132,139 109,310 44,229 21,452 — — 307,130 Policy acquisition costs 42,564 43,613 15,410 6,530 — (151 ) 107,966 General and administrative expenses 17,872 39,061 11,458 6,561 17,872 (3,136 ) 89,688 Share compensation expenses 2,775 3,270 542 133 4,007 — 10,727 Total underwriting deductions 195,350 195,254 71,639 34,676 21,879 (3,287 ) 515,511 Underwriting income (loss) $ 51,922 $ 6,574 $ (5,794 ) $ 28,121 $ (21,879 ) $ 13 $ 58,957 Other items (a) — — — 1,058 22,998 — 24,056 Dividends on preferred shares — — — — — — — Net investment income — — — 3,005 36,849 (597 ) 39,257 (Income) attributable to AlphaCat investors — — — (6,114 ) — — (6,114 ) Net (income) attributable to noncontrolling interest — — — (21,193 ) — — (21,193 ) Segmental income (loss) $ 51,922 $ 6,574 $ (5,794 ) $ 4,877 $ 37,968 $ (584 ) Net income available to Validus common shareholders $ 94,963 (a) Other items includes finance expenses, tax expenses, foreign exchange gains (losses), net realized and change in net unrealized gains (losses) on investments, income from investment and operating affiliates and other income (loss). Six Months Ended June 30, 2017 Validus Re Segment Talbot Segment Western World Segment AlphaCat Segment and Consolidated VIEs Corporate and Investments Eliminations Total Underwriting revenues Gross premiums written $ 917,519 $ 509,652 $ 303,111 $ 270,608 $ — $ (17,131 ) $ 1,983,759 Reinsurance premiums ceded (120,200 ) (117,801 ) (28,798 ) (6,660 ) — 17,131 (256,328 ) Net premiums written 797,319 391,851 274,313 263,948 — — 1,727,431 Change in unearned premiums (338,300 ) (4,912 ) (46,347 ) (131,469 ) — — (521,028 ) Net premiums earned 459,019 386,939 227,966 132,479 — — 1,206,403 Other insurance related income 136 820 904 11,035 — (10,494 ) 2,401 Total underwriting revenues 459,155 387,759 228,870 143,514 — (10,494 ) 1,208,804 Underwriting deductions Losses and loss expenses 190,839 199,801 171,933 3,161 — — 565,734 Policy acquisition costs 88,414 87,581 39,466 14,066 — (631 ) 228,896 General and administrative expenses 36,106 74,025 29,070 19,409 36,024 (10,361 ) 184,273 Share compensation expenses 5,140 5,982 1,301 165 8,049 — 20,637 Total underwriting deductions 320,499 367,389 241,770 36,801 44,073 (10,992 ) 999,540 Underwriting income (loss) $ 138,656 $ 20,370 $ (12,900 ) $ 106,713 $ (44,073 ) $ 498 $ 209,264 Other items (a) — — — 1,298 15,027 — 16,325 Dividends on preferred shares — — — — (4,406 ) — (4,406 ) Net investment income — — — 10,200 74,255 — 84,455 Transaction expenses — — — — (4,427 ) — (4,427 ) (Income) attributable to AlphaCat investors — — — (19,333 ) — — (19,333 ) Net (income) attributable to noncontrolling interest — — — (86,222 ) — — (86,222 ) Segmental income (loss) $ 138,656 $ 20,370 $ (12,900 ) $ 12,656 $ 36,376 $ 498 Net income available to Validus common shareholders $ 195,656 (a) Other items includes finance expenses, tax expenses, foreign exchange gains (losses), net realized and change in net unrealized gains (losses) on investments, income from investment and operating affiliates and other income (loss). Six Months Ended June 30, 2016 Validus Re Segment Talbot Segment Western World Segment AlphaCat Segment and Consolidated VIEs Corporate and Investments Eliminations Total Underwriting revenues Gross premiums written $ 977,478 $ 562,384 $ 150,930 $ 266,253 $ — $ (20,212 ) $ 1,936,833 Reinsurance premiums ceded (95,691 ) (114,619 ) (9,145 ) (4,821 ) — 20,212 (204,064 ) Net premiums written 881,787 447,765 141,785 261,432 — — 1,732,769 Change in unearned premiums (390,834 ) (39,424 ) (14,630 ) (142,890 ) — — (587,778 ) Net premiums earned 490,953 408,341 127,155 118,542 — — 1,144,991 Other insurance related (loss) income (165 ) 290 477 9,066 — (8,187 ) 1,481 Total underwriting revenues 490,788 408,631 127,632 127,608 — (8,187 ) 1,146,472 Underwriting deductions Losses and loss expenses 215,007 209,411 83,875 23,284 — — 531,577 Policy acquisition costs 84,823 87,956 29,610 12,687 — 83 215,159 General and administrative expenses 35,051 77,596 23,533 14,017 34,055 (8,356 ) 175,896 Share compensation expenses 5,676 6,792 1,123 274 8,099 — 21,964 Total underwriting deductions 340,557 381,755 138,141 50,262 42,154 (8,273 ) 944,596 Underwriting income (loss) $ 150,231 $ 26,876 $ (10,509 ) $ 77,346 $ (42,154 ) $ 86 $ 201,876 Other items (a) — — — 1,212 59,405 — 60,617 Dividends on preferred shares — — — — — — — Net investment income — — — 4,543 64,772 (597 ) 68,718 (Income) attributable to AlphaCat investors — — — (10,714 ) — — (10,714 ) Net (income) attributable to noncontrolling interest — — — (58,724 ) — — (58,724 ) Segmental income (loss) $ 150,231 $ 26,876 $ (10,509 ) $ 13,663 $ 82,023 $ (511 ) Net income available to Validus common shareholders $ 261,773 (a) Other items includes finance expenses, tax expenses, foreign exchange gains (losses), net realized and change in net unrealized gains (losses) on investments, income from investment and operating affiliates and other income (loss). The Company’s exposures are generally diversified across geographic zones. The following tables set forth the gross premiums written by operating segment allocated to the territory of coverage exposure for the periods indicated: Gross Premiums Written Three Months Ended June 30, 2017 Validus Re Talbot Western World AlphaCat Eliminations Total % United States $ 100,312 $ 34,470 $ 131,068 $ 70,048 $ (3,443 ) $ 332,455 41.9 % Worldwide excluding United States (a) 4,537 32,627 — 870 114 38,148 4.7 % Australia and New Zealand 3,264 1,848 — 2,003 40 7,155 0.9 % Europe 748 5,857 — (15 ) 275 6,865 0.9 % Latin America and Caribbean 11,874 24,800 — 46 (1,411 ) 35,309 4.5 % Japan 39,305 3,381 — 2,662 (6 ) 45,342 5.7 % Canada 3,155 1,111 — 130 (4 ) 4,392 0.6 % Rest of the world (b) 4,877 23,168 — — 105 28,150 3.6 % Sub-total, non United States 67,760 92,792 — 5,696 (887 ) 165,361 20.9 % Worldwide including United States (a) 53,524 30,735 — 29,937 1,006 115,202 14.5 % Other locations non-specific (c) 75,401 104,480 — 1 2 179,884 22.7 % Total $ 296,997 $ 262,477 $ 131,068 $ 105,682 $ (3,322 ) $ 792,902 100.0 % Gross Premiums Written Three Months Ended June 30, 2016 Validus Re Talbot Western World AlphaCat Eliminations Total % United States $ 129,087 $ 39,135 $ 86,971 $ 37,338 $ (417 ) $ 292,114 38.2 % Worldwide excluding United States (a) 16,975 30,028 — 6,496 (136 ) 53,363 7.0 % Australia and New Zealand 1,926 2,063 — 867 21 4,877 0.6 % Europe 3,267 6,855 — (145 ) 216 10,193 1.3 % Latin America and Caribbean 5,992 27,597 — — (2,511 ) 31,078 4.1 % Japan 39,053 3,965 — 1,721 (7 ) 44,732 5.9 % Canada 1,821 2,470 — 223 (36 ) 4,478 0.6 % Rest of the world (b) 3,259 29,806 — — (457 ) 32,608 4.3 % Sub-total, non United States 72,293 102,784 — 9,162 (2,910 ) 181,329 23.8 % Worldwide including United States (a) 35,561 34,198 — 52,394 (380 ) 121,773 15.9 % Other locations non-specific (c) 48,869 119,950 — 11 (4 ) 168,826 22.1 % Total $ 285,810 $ 296,067 $ 86,971 $ 98,905 $ (3,711 ) $ 764,042 100.0 % Gross Premiums Written Six Months Ended June 30, 2017 Validus Re Talbot Western World AlphaCat Eliminations Total % United States $ 314,180 $ 63,555 $ 303,111 $ 98,251 $ (4,323 ) $ 774,774 39.1 % Worldwide excluding United States (a) 38,605 66,958 — 7,905 (539 ) 112,929 5.7 % Australia and New Zealand 4,195 5,030 — 2,003 (110 ) 11,118 0.6 % Europe 30,364 17,572 — 451 (430 ) 47,957 2.3 % Latin America and Caribbean 21,216 48,977 — 46 (4,283 ) 65,956 3.3 % Japan 40,466 5,206 — 3,855 (36 ) 49,491 2.5 % Canada 4,870 2,248 — 130 (49 ) 7,199 0.4 % Rest of the world (b) 18,782 46,440 — — (1,577 ) 63,645 3.2 % Sub-total, non United States 158,498 192,431 — 14,390 (7,024 ) 358,295 18.0 % Worldwide including United States (a) 155,945 58,092 — 153,246 (5,784 ) 361,499 18.2 % Other locations non-specific (c) 288,896 195,574 — 4,721 — 489,191 24.7 % Total $ 917,519 $ 509,652 $ 303,111 $ 270,608 $ (17,131 ) $ 1,983,759 100.0 % Gross Premiums Written Six Months Ended June 30, 2016 Validus Re Talbot Western World AlphaCat Eliminations Total % United States $ 424,481 $ 65,245 $ 150,930 $ 62,729 $ (1,555 ) $ 701,830 36.2 % Worldwide excluding United States (a) 47,239 65,532 — 22,507 (611 ) 134,667 7.0 % Australia and New Zealand 6,849 4,375 — 4,949 (113 ) 16,060 0.8 % Europe 25,734 20,716 — 3,306 (708 ) 49,048 2.5 % Latin America and Caribbean 19,574 51,404 — — (5,537 ) 65,441 3.4 % Japan 39,925 4,582 — 3,221 (31 ) 47,697 2.5 % Canada 3,497 3,562 — 223 (87 ) 7,195 0.4 % Rest of the world (b) 19,947 57,290 — — (2,342 ) 74,895 3.9 % Sub-total, non United States 162,765 207,461 — 34,206 (9,429 ) 395,003 20.5 % Worldwide including United States (a) 147,338 62,652 — 167,767 (9,214 ) 368,543 19.0 % Other locations non-specific (c) 242,894 227,026 — 1,551 (14 ) 471,457 24.3 % Total $ 977,478 $ 562,384 $ 150,930 $ 266,253 $ (20,212 ) $ 1,936,833 100.0 % (a) Represents risks in two or more geographic zones. (b) Represents risks in one geographic zone. (c) The Other locations non-specific category refers to business for which an analysis of exposure by geographic zone is not applicable since these exposures can span multiple geographic areas and, in some instances, are not fixed locations. |
Subsequent events
Subsequent events | 6 Months Ended |
Jun. 30, 2017 | |
Subsequent Events [Abstract] | |
Subsequent events | Subsequent events Placeholder for credit facilities. |
Significant accounting policies
Significant accounting policies (Policies) | 6 Months Ended |
Jun. 30, 2017 | |
Accounting Policies [Abstract] | |
Basis of preparation | These unaudited Consolidated Financial Statements (the “Consolidated 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 instructions to Form 10-Q and Article 10 in Regulation S-X. Accordingly, they do not include all of the information and footnotes required by U.S. GAAP for complete financial statements. In addition, the year-end balance sheet data was derived from audited financial statements but does not include all disclosures required by U.S. GAAP. This Quarterly Report on Form 10-Q should be read in conjunction with the financial statements and related notes included in Validus Holdings, Ltd.’s (the “Company”) Annual Report on Form 10-K for the year ended December 31, 2016 , as filed with the U.S. Securities and Exchange Commission (the “SEC”). In the opinion of management, these unaudited Consolidated Financial Statements reflect all adjustments (including normal recurring adjustments) considered necessary for a fair statement of the Company’s financial position and results of operations as at the end of and for the periods presented. All significant intercompany accounts and transactions have been eliminated. The results of operations for any interim period are not necessarily indicative of the results for a full year. |
Use of estimates | The preparation of these financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. While management believes that the amounts included in the Consolidated Financial Statements reflect its best estimates and assumptions, actual results could differ materially from those estimates. The Company’s principal estimates include: • reserve for losses and loss expenses; • premium estimates for business written on a line slip or proportional basis; • the valuation of goodwill and intangible assets; • reinsurance recoverable balances including the provision for uncollectible amounts; and • investment valuation of financial assets. |
Consolidating voting interest entities and variable interest entities | The Company consolidates in these Consolidated Financial Statements the results of operations and financial position of all voting interest entities (“VOE”) in which the Company has a controlling financial interest and all variable interest entities (“VIE”) in which the Company is considered to be the primary beneficiary. The consolidation assessment, including the determination as to whether an entity qualifies as a VIE or VOE, depends on the facts and circumstances surrounding each entity. |
Business combination (Tables)
Business combination (Tables) | 6 Months Ended |
Jun. 30, 2017 | |
Business Combinations [Abstract] | |
Schedule of fair value of net assets acquired | The fair value of net assets acquired, including GAAP adjustments, are summarized as follows: Total purchase price $ 185,576 Assets acquired Cash and cash equivalents $ 1,653 Premiums receivable 564,453 Prepaid reinsurance premiums 227,157 Other assets 157,146 Assets acquired 950,409 Liabilities acquired Reinsurance balances payable $ 294,201 Unearned premiums 406,649 Net loss reserves 42,575 Other liabilities 122,715 Liabilities acquired 866,140 Excess purchase price $ 101,307 Goodwill and other intangible assets acquired Intangible asset - Distribution channels $ 52,898 Intangible asset - Brand name 9,568 Intangible asset - Technology 1,455 Total intangible assets 63,921 Goodwill 30,943 Deferred tax arising on Goodwill 6,443 Total goodwill and intangible assets $ 101,307 |
Reconciliation of goodwill and intangible assets | The following tables reconcile the carrying amount of goodwill and intangible assets from December 31, 2016 to June 30, 2017 : Goodwill Six Months Ended June 30, 2017 Talbot Western World Total Balance at December 31, 2016 20,393 176,365 196,758 Additions — 30,943 30,943 Balance at June 30, 2017 20,393 207,308 227,701 Intangible assets Six Months Ended June 30, 2017 Talbot Western World Total Balance at December 31, 2016 93,924 21,668 115,592 Additions — 63,921 63,921 Amortization (2,081 ) (1,914 ) (3,995 ) Balance at June 30, 2017 91,843 83,675 175,518 Intangible assets Six Months Ended June 30, 2017 With a Finite Life With an Indefinite Life Total Balance at December 31, 2016 11,424 104,168 115,592 Additions 63,921 — 63,921 Amortization (3,995 ) — (3,995 ) Balance at June 30, 2017 71,350 104,168 175,518 |
Supplemental pro forma information | The following selected unaudited information has been provided to present a summary of the results of CRS that have been included in the Consolidated Financial Statements for the three and six months ended June 30, 2017 . From Acquisition Date to June 30, 2017 Net premiums written 6,988 Net premiums earned 50,044 Total underwriting deductions 44,780 Underwriting income, before general and administrative expenses 5,264 |
Investments (Tables)
Investments (Tables) | 6 Months Ended |
Jun. 30, 2017 | |
Investments [Abstract] | |
Amortized cost (or cost), gross unrealized gains and (losses) and fair value of investments | The amortized cost (or cost) and fair value of the Company’s investments as at June 30, 2017 and December 31, 2016 were as follows: June 30, 2017 December 31, 2016 Amortized Amortized Fair Value Managed investments U.S. government and government agency $ 649,214 $ 646,436 $ 809,392 $ 804,126 Non-U.S. government and government agency 293,002 292,504 245,651 240,791 U.S. states, municipalities and political subdivisions 227,047 227,949 271,742 271,830 Agency residential mortgage-backed securities 786,784 783,006 684,490 679,595 Non-agency residential mortgage-backed securities 26,745 26,683 15,858 15,477 U.S. corporate 1,378,884 1,386,484 1,540,036 1,534,508 Non-U.S. corporate 380,317 379,480 418,520 410,227 Bank loans 560,446 552,901 579,121 570,399 Asset-backed securities 500,679 502,056 528,563 526,814 Commercial mortgage-backed securities 317,732 316,190 333,740 330,932 Total fixed maturities 5,120,850 5,113,689 5,427,113 5,384,699 Short-term investments 255,289 255,516 228,574 228,386 Other investments Fund of hedge funds — — 1,457 955 Hedge funds 11,292 18,303 11,292 17,381 Private equity investments 79,871 100,391 66,383 82,627 Fixed income investment funds 266,041 268,110 247,967 249,275 Overseas deposits 57,874 57,874 50,106 50,106 Mutual funds 1,918 3,940 2,925 5,368 Total other investments 416,996 448,618 380,130 405,712 Investments in investment affiliates (a) 72,532 103,377 84,840 100,431 Total managed investments $ 5,865,667 $ 5,921,200 $ 6,120,657 $ 6,119,228 Non-managed investments Catastrophe bonds $ 303,712 $ 304,954 $ 157,486 $ 158,331 Short-term investments 2,615,837 2,615,837 2,567,784 2,567,784 Total non-managed investments 2,919,549 2,920,791 2,725,270 2,726,115 Total investments $ 8,785,216 $ 8,841,991 $ 8,845,927 $ 8,845,343 (a) The Company’s investments in investment affiliates have been treated as equity method investments with the corresponding gains and losses recorded in income as “Income (loss) from investment affiliates.” |
Investment ratings on fixed maturities | The following table sets forth certain information regarding the investment ratings of the Company’s fixed maturity investments as at June 30, 2017 and December 31, 2016 . June 30, 2017 December 31, 2016 Fair Value % of Total Fair Value % of Total Managed fixed maturities AAA $ 2,318,254 42.8 % $ 2,405,597 43.4 % AA 463,060 8.5 % 538,289 9.7 % A 1,009,366 18.6 % 1,081,949 19.5 % BBB 703,563 13.0 % 740,861 13.4 % Total investment grade managed fixed maturities 4,494,243 82.9 % 4,766,696 86.0 % BB 229,023 4.2 % 213,568 3.9 % B 176,743 3.3 % 177,737 3.2 % CCC 11,114 0.2 % 13,371 0.2 % NR 202,566 3.8 % 213,327 3.8 % Total non-investment grade fixed maturities 619,446 11.5 % 618,003 11.1 % Total managed fixed maturities $ 5,113,689 94.4 % $ 5,384,699 97.1 % Non-managed fixed maturities BB 28,177 0.4 % 29,731 0.6 % B 2,781 0.1 % 4,524 0.1 % NR 273,996 5.1 % 124,076 2.2 % Total non-managed fixed maturities 304,954 5.6 % 158,331 2.9 % Total fixed maturities $ 5,418,643 100.0 % $ 5,543,030 100.0 % |
Fixed maturities investments by contractual maturity | The amortized cost and fair value amounts for the Company’s fixed maturity investments held at June 30, 2017 and December 31, 2016 are shown below by contractual maturity. Actual maturity may differ from contractual maturity because certain borrowers may have the right to call or prepay certain obligations with or without call or prepayment penalties. June 30, 2017 December 31, 2016 Amortized Cost Fair Value Amortized Cost Fair Value Managed fixed maturities Due in one year or less $ 497,473 $ 492,256 $ 350,733 $ 346,161 Due after one year through five years 2,464,093 2,461,870 2,954,856 2,933,146 Due after five years through ten years 456,793 459,311 430,365 426,647 Due after ten years 70,551 72,317 128,508 125,927 3,488,910 3,485,754 3,864,462 3,831,881 Asset-backed and mortgage-backed securities 1,631,940 1,627,935 1,562,651 1,552,818 Total managed fixed maturities $ 5,120,850 $ 5,113,689 $ 5,427,113 $ 5,384,699 Non-managed catastrophe bonds Due in one year or less $ 33,662 $ 32,441 $ 43,664 $ 45,418 Due after one year through five years 263,300 265,735 112,572 111,656 Due after five years through ten years 6,750 6,778 1,250 1,257 Due after ten years — — — — Total non-managed fixed maturities 303,712 304,954 157,486 158,331 Total fixed maturities $ 5,424,562 $ 5,418,643 $ 5,584,599 $ 5,543,030 |
Other investments | The following tables set forth certain information regarding the Company’s other investment portfolio as at June 30, 2017 and December 31, 2016 : June 30, 2017 Fair Value Investments with redemption restrictions Investments without redemption restrictions Redemption frequency (a) Redemption notice period (a) Hedge funds 18,303 18,303 — Private equity investments 100,391 100,391 — Fixed income investment funds 268,110 237,986 30,124 Daily Daily to 2 days Overseas deposits 57,874 57,874 — Mutual funds 3,940 — 3,940 Daily Daily Total other investments $ 448,618 $ 414,554 $ 34,064 December 31, 2016 Fair Value Investments with redemption restrictions Investments without redemption restrictions Redemption frequency (a) Redemption notice period (a) Fund of hedge funds $ 955 $ 955 $ — Hedge funds 17,381 17,381 — Private equity investments 82,627 82,627 — Fixed income investment funds 249,275 218,333 30,942 Daily 2 days Overseas deposits 50,106 50,106 — Mutual funds 5,368 — 5,368 Daily Daily Total other investments $ 405,712 $ 369,402 $ 36,310 (a) The redemption frequency and notice periods only apply to investments without redemption restrictions. |
Reconciliation of beginning and ending investment in affiliate balances | The following table presents a reconciliation of the Company’s beginning and ending investments in investment affiliates for the three and six months ended June 30, 2017 and 2016 : Three Months Ended June 30, Six Months Ended June 30, 2017 2016 2017 2016 Investments in investment affiliates, beginning of period $ 94,697 $ 84,135 $ 100,431 $ 87,673 Net capital (distributions) contributions (786 ) 15,732 (11,708 ) 16,307 Income (loss) from investment affiliates 9,466 (589 ) 14,654 (4,702 ) Investments in investment affiliates, end of period $ 103,377 $ 99,278 $ 103,377 $ 99,278 |
Schedule of equity method investments | The following table presents the Company’s investments in investment affiliates as at June 30, 2017 and December 31, 2016 : June 30, 2017 Investment at cost Voting ownership % Equity ownership % Carrying value Aquiline II $ 33,349 — % 8.1 % $ 52,010 Aquiline III 37,969 — % 9.0 % 50,153 Aquiline Tech 1,214 — % 16.4 % 1,214 Total investments in investment affiliates $ 72,532 $ 103,377 December 31, 2016 Investment at cost Voting ownership % Equity ownership % Carrying value Aquiline II $ 46,871 — % 8.1 % $ 61,999 Aquiline III 37,969 — % 9.0 % 38,432 Total investments in investment affiliates $ 84,840 $ 100,431 |
Net investment income | Net investment income was derived from the following sources: Three Months Ended June 30, Six Months Ended June 30, 2017 2016 2017 2016 Managed investments Fixed maturities and short-term investments $ 31,312 $ 30,621 $ 62,983 $ 58,638 Other investments 7,571 8,026 14,441 8,898 Cash and cash equivalents and restricted cash 616 380 1,226 1,245 Securities lending income 7 12 20 17 Total gross investment income 39,506 39,039 78,670 68,798 Investment expenses (1,443 ) (2,190 ) (4,415 ) (4,026 ) Total managed net investment income $ 38,063 $ 36,849 $ 74,255 $ 64,772 Non managed investments Fixed maturities and short-term investments $ 4,500 $ 1,977 $ 7,560 $ 3,272 Restricted cash, cash and cash equivalents 1,678 431 2,640 674 Total non-managed net investment income 6,178 2,408 10,200 3,946 Total net investment income $ 44,241 $ 39,257 $ 84,455 $ 68,718 |
Analysis of net realized gains and the change in net unrealized gains (losses) on investments | The following table sets forth an analysis of net realized gains and the change in net unrealized gains on investments: Three Months Ended June 30, Six Months Ended June 30, 2017 2016 2017 2016 Managed fixed maturities, short-term and other investments Gross realized gains $ 5,175 $ 3,306 $ 7,865 $ 6,523 Gross realized (losses) (2,906 ) (786 ) (8,488 ) (5,089 ) Net realized gains (losses) on investments 2,269 2,520 (623 ) 1,434 Change in net unrealized gains on investments 15,942 30,052 30,291 77,130 Total net realized and change in net unrealized gains on managed investments $ 18,211 $ 32,572 $ 29,668 $ 78,564 Non-managed fixed maturities, short-term and other investments Gross realized gains $ 5 $ 204 $ 1,733 $ 715 Gross realized (losses) — — — (9 ) Net realized gains on investments 5 204 1,733 706 Change in net unrealized gains (losses) on investments 379 1,376 (622 ) 1,742 Total net realized and change in net unrealized gains on non-managed investments 384 1,580 1,111 2,448 Total net realized and change in net unrealized gains on total investments $ 18,595 $ 34,152 $ 30,779 $ 81,012 |
Fair value measurements (Tables
Fair value measurements (Tables) | 6 Months Ended |
Jun. 30, 2017 | |
Fair Value Disclosures [Abstract] | |
Fair value hierarchy - allocation of investments | At June 30, 2017 , the Company’s investments were allocated between Levels 1, 2 and 3 as follows: Level 1 Level 2 Level 3 Fair value based on NAV practical expedient (a) Total Managed investments U.S. government and government agency $ — $ 646,436 $ — $ — $ 646,436 Non-U.S. government and government agency — 292,504 — — 292,504 U.S. states, municipalities and political subdivisions — 227,949 — — 227,949 Agency residential mortgage-backed securities — 783,006 — — 783,006 Non-agency residential mortgage-backed securities — 26,683 — — 26,683 U.S. corporate — 1,386,484 — — 1,386,484 Non-U.S. corporate — 379,480 — — 379,480 Bank loans — 328,729 224,172 — 552,901 Asset-backed securities — 466,135 35,921 — 502,056 Commercial mortgage-backed securities — 316,190 — — 316,190 Total fixed maturities — 4,853,596 260,093 — 5,113,689 Short-term investments 248,439 7,077 — — 255,516 Other investments Hedge funds — — — 18,303 18,303 Private equity investments — — — 100,391 100,391 Fixed income investment funds — 30,137 16,400 221,573 268,110 Overseas deposits — — — 57,874 57,874 Mutual funds — 3,940 — — 3,940 Total other investments — 34,077 16,400 398,141 448,618 Investments in investment affiliates (b) — — — — 103,377 Total managed investments $ 248,439 $ 4,894,750 $ 276,493 $ 398,141 $ 5,921,200 Non-managed investments Catastrophe bonds $ — $ 236,929 $ 68,025 $ — $ 304,954 Short-term investments 2,615,837 — — — 2,615,837 Total non-managed investments 2,615,837 236,929 68,025 — 2,920,791 Total investments $ 2,864,276 $ 5,131,679 $ 344,518 $ 398,141 $ 8,841,991 (a) In accordance with ASC Topic 820 “Fair Value Measurements,” investments measured at fair value using the net asset value (“NAV”) per share (or its equivalent) practical expedient have not been classified in the fair value hierarchy. (b) In accordance with ASC Topic 825 “Financial Instruments,” the Company’s investments in investment affiliates have not been classified in the fair value hierarchy. At December 31, 2016 , the Company’s investments were allocated between Levels 1, 2 and 3 as follows: Level 1 Level 2 Level 3 Fair value based on NAV practical expedient (a) Total Managed investments U.S. government and government agency $ — $ 804,126 $ — $ — $ 804,126 Non-U.S. government and government agency — 240,791 — — 240,791 U.S. states, municipalities and political subdivisions — 271,830 — — 271,830 Agency residential mortgage-backed securities — 679,595 — — 679,595 Non-agency residential mortgage-backed securities — 15,477 — — 15,477 U.S. corporate — 1,534,508 — — 1,534,508 Non-U.S. corporate — 410,227 — — 410,227 Bank loans — 323,903 246,496 — 570,399 Asset-backed securities — 502,883 23,931 — 526,814 Commercial mortgage-backed securities — 330,932 — — 330,932 Total fixed maturities — 5,114,272 270,427 — 5,384,699 Short-term investments 209,651 18,735 — — 228,386 Other investments Fund of hedge funds — — — 955 955 Hedge funds — — — 17,381 17,381 Private equity investments — — — 82,627 82,627 Fixed income investment funds — 30,941 12,168 206,166 249,275 Overseas deposits — — — 50,106 50,106 Mutual funds — 5,368 — — 5,368 Total other investments — 36,309 12,168 357,235 405,712 Investments in investment affiliates (b) — — — — 100,431 Total managed investments $ 209,651 $ 5,169,316 $ 282,595 $ 357,235 $ 6,119,228 Non-managed investments Catastrophe bonds $ — $ 109,956 $ 48,375 $ — $ 158,331 Short-term investments 2,567,784 — — — 2,567,784 Total non-managed investments 2,567,784 109,956 48,375 — 2,726,115 Total investments $ 2,777,435 $ 5,279,272 $ 330,970 $ 357,235 $ 8,845,343 (a) In accordance with ASC Topic 820 “Fair Value Measurements,” investments measured at fair value using the net asset value (“NAV”) per share (or its equivalent) practical expedient have not been classified in the fair value hierarchy. (b) In accordance with ASC Topic 825 “Financial Instruments,” the Company’s investments in investment affiliates have not been classified in the fair value hierarchy. |
Reconciliation of beginning and ending balances for all Level 3 investments measured at fair value on recurring basis | The following table presents a reconciliation of the beginning and ending balances for all investments measured at fair value on a recurring basis using Level 3 inputs during the three and six months ended June 30, 2017 and 2016 : Three Months Ended June 30, 2017 Bank Loans Catastrophe Bonds Fixed Income Investment Funds Asset Backed Securities Total Level 3 investments, beginning of period $ 236,694 $ 72,676 $ 12,560 $ 23,882 $ 345,812 Purchases 16,757 5,000 3,432 11,053 36,242 Sales — — — (53 ) (53 ) Settlements (28,893 ) (10,216 ) 408 — (38,701 ) Net realized gains — 216 — — 216 Change in net unrealized (losses) gains (386 ) 349 — 49 12 Amortization — — — 990 990 Level 3 investments, end of period $ 224,172 $ 68,025 $ 16,400 $ 35,921 $ 344,518 Three Months Ended June 30, 2016 Bank Loans Catastrophe Bonds Asset Backed Securities Total Level 3 investments, beginning of period $ 255,011 $ 37,105 $ — $ 292,116 Purchases 8,885 — 12,383 21,268 Settlements (17,784 ) — — (17,784 ) Change in net unrealized (losses) gains (2,964 ) 413 — (2,551 ) Level 3 investments, end of period $ 243,148 $ 37,518 $ 12,383 $ 293,049 Six Months Ended June 30, 2017 Bank Loans Catastrophe Bonds Fixed Income Investment Funds Asset Backed Securities Total Level 3 investments—beginning of period $ 246,496 $ 48,375 $ 12,168 $ 23,931 $ 330,970 Purchases 39,933 66,091 3,432 11,053 120,509 Sales — — — (53 ) (53 ) Settlements (62,003 ) (48,996 ) 800 — (110,199 ) Net realized gains — 3,350 — — 3,350 Change in net unrealized (losses) (254 ) (795 ) — — (1,049 ) Amortization — — — 990 990 Level 3 investments—end of period $ 224,172 $ 68,025 $ 16,400 $ 35,921 $ 344,518 Six Months Ended June 30, 2016 Bank Loans Catastrophe Bonds Asset Backed Securities Total Level 3 investments—beginning of period $ 232,337 $ 13,500 $ — $ 245,837 Purchases 50,988 23,272 12,383 86,643 Sales (2,389 ) — — (2,389 ) Settlements (34,033 ) (125 ) — (34,158 ) Change in net unrealized (losses) gains (3,755 ) 871 — (2,884 ) Level 3 investments—end of period $ 243,148 $ 37,518 $ 12,383 $ 293,049 |
Variable interest entities (Tab
Variable interest entities (Tables) | 6 Months Ended |
Jun. 30, 2017 | |
Variable Interest Entities Disclosure [Abstract] | |
Summary of notes payable to variable interest entities | The following tables present a reconciliation of the beginning and ending notes payable to AlphaCat investors for the three and six months ended June 30, 2017 and 2016 : Three Months Ended June 30, 2017 Variable Funding Notes Structured Notes Total Notes payable to AlphaCat investors, beginning of period $ 343,256 $ 103,320 $ 446,576 Notes payable to AlphaCat investors recognized on deconsolidation of AlphaCat ILS fund 423,269 — 423,269 Issuance of notes payable to AlphaCat investors 267,867 68,880 336,747 Redemption of notes payable to AlphaCat investors (140,150 ) — (140,150 ) Foreign exchange gains (283 ) — (283 ) Notes payable to AlphaCat investors, end of period $ 893,959 $ 172,200 $ 1,066,159 Three Months Ended June 30, 2016 Variable Funding Notes Structured Notes Total Notes payable to AlphaCat investors, beginning of period $ 261,793 $ 61,717 $ 323,510 Issuance of notes payable to AlphaCat investors 102,817 32,609 135,426 Redemption of notes payable to AlphaCat investors (88,079 ) — (88,079 ) Foreign exchange losses 125 — 125 Notes payable to AlphaCat investors, end of period $ 276,656 $ 94,326 $ 370,982 Six Months Ended June 30, 2017 Variable Funding Notes Structured Notes Total Notes payable to AlphaCat investors, beginning of period $ 278,202 $ — $ 278,202 Notes payable to AlphaCat investors recognized on deconsolidation of AlphaCat ILS fund 423,269 — 423,269 Issuance of notes payable to AlphaCat investors 541,877 172,200 714,077 Redemption of notes payable to AlphaCat investors (349,106 ) — (349,106 ) Foreign exchange gains (283 ) — (283 ) Notes payable to AlphaCat investors, end of period $ 893,959 $ 172,200 $ 1,066,159 Six Months Ended June 30, 2016 Variable Funding Notes Structured Notes Total Notes payable to AlphaCat investors, beginning of period $ 75,493 $ — $ 75,493 Issuance of notes payable to AlphaCat investors 298,105 94,326 392,431 Redemption of notes payable to AlphaCat investors (97,684 ) — (97,684 ) Foreign exchange losses 742 — 742 Notes payable to AlphaCat investors, end of period $ 276,656 $ 94,326 $ 370,982 |
Total assets and liabilities of the Company's consolidated VIEs | The following table presents the total assets and total liabilities of the Company’s consolidated VIEs, excluding intercompany eliminations, as at June 30, 2017 and December 31, 2016 : June 30, 2017 December 31, 2016 Total Assets Total Liabilities Total Assets Total Liabilities AlphaCat sidecars $ 29,330 $ 3,455 $ 40,041 $ 3,206 AlphaCat ILS funds - Lower Risk (a) 951,428 951,428 13,371 1,498,276 42,457 AlphaCat ILS funds - Higher Risk (a) 1,037,568 207,300 972,633 381,332 AlphaCat Re and AlphaCat Master Fund 2,828,096 2,827,926 2,510,415 2,510,245 BetaCat ILS funds 146,098 278 82,471 30,663 (a) Lower risk AlphaCat ILS funds have a maximum permitted portfolio expected loss of less than 7%, whereas higher risk AlphaCat ILS funds have a maximum permitted portfolio expected loss of greater than 7%. Expected loss represents the average annual loss over the set of simulation scenarios divided by the total limit. |
Noncontrolling interest (Tables
Noncontrolling interest (Tables) | 6 Months Ended |
Jun. 30, 2017 | |
Noncontrolling Interest [Abstract] | |
Reconciliation of beginning and ending balances of noncontrolling interest and redeemable noncontrolling interest | The following tables present a reconciliation of the beginning and ending balances of redeemable noncontrolling interests and noncontrolling interests for the three and six months ended June 30, 2017 and 2016 : Redeemable noncontrolling interests Noncontrolling interests Total Three Months Ended June 30, Three Months Ended June 30, Three Months Ended June 30, 2017 2016 2017 2016 2017 2016 Balance, beginning of period $ 1,657,630 $ 1,409,037 $ 330,597 $ 157,223 $ 1,988,227 $ 1,566,260 Issuance of shares 106,501 112,500 103,320 59,349 209,821 171,849 Adjustment to noncontrolling interests as a result of deconsolidation (459,021 ) — — — (459,021 ) — Income attributable to noncontrolling interests 28,555 17,230 15,095 3,963 43,650 21,193 Redemption of shares / distributions (82,005 ) (6,484 ) (33,354 ) (8,381 ) (115,359 ) (14,865 ) Balance, end of period $ 1,251,660 $ 1,532,283 $ 415,658 $ 212,154 $ 1,667,318 $ 1,744,437 Redeemable noncontrolling interests Noncontrolling interests Total Six Months Ended June 30, Six Months Ended June 30, Six Months Ended June 30, 2017 2016 2017 2016 2017 2016 Balance, beginning of period $ 1,528,001 $ 1,111,714 $ 165,977 $ 154,662 $ 1,693,978 $ 1,266,376 Issuance of shares 210,200 381,250 258,300 171,674 468,500 552,924 Adjustment to noncontrolling interests as a result of deconsolidation (459,021 ) — — — (459,021 ) — Income attributable to noncontrolling interests 54,485 45,803 31,737 12,921 86,222 58,724 Redemption of shares / distributions (82,005 ) (6,484 ) (40,356 ) (127,103 ) (122,361 ) (133,587 ) Balance, end of period $ 1,251,660 $ 1,532,283 $ 415,658 $ 212,154 $ 1,667,318 $ 1,744,437 |
Derivative instruments (Tables)
Derivative instruments (Tables) | 6 Months Ended |
Jun. 30, 2017 | |
Derivative [Line Items] | |
Location and amount of gains and losses related to derivative instruments reported on in the comprehensive income and earnings | The following table provides the total impact on other comprehensive income (loss) and earnings relating to the derivative instruments formally designated as cash flow hedges along with the impact of the related hedged items for the three and six months ended June 30, 2017 and 2016 : Three Months Ended June 30, Six Months Ended June 30, Interest rate swap contracts 2017 2016 2017 2016 Amount of effective portion recognized in other comprehensive income $ 2,217 $ 2,694 $ 4,376 $ 6,350 Amount of effective portion subsequently reclassified to earnings $ (2,073 ) $ (2,758 ) $ (4,330 ) $ (5,656 ) Amount of ineffective portion excluded from effectiveness testing $ (144 ) $ 64 $ (46 ) $ (694 ) |
Not designated as hedging instruments | |
Derivative [Line Items] | |
Location and fair value amount of derivative instruments reported on the balance sheet | The following table summarizes information on the classification and amount of the fair value of derivatives not designated as hedging instruments for accounting purposes within the Company’s Consolidated Balance Sheets as at June 30, 2017 and December 31, 2016 : June 30, 2017 December 31, 2016 Derivatives not designated as hedging instruments Notional Exposure Asset Derivative at Fair Value (a) Liability Derivative at Fair Value (a) Notional Exposure Asset Derivative at Fair Value (a) Liability Derivative at Fair Value (a) Foreign currency forward contracts $ 223,018 $ 1,972 $ 6,325 $ 181,375 $ 2,351 $ 3,421 Interest rate swap contracts $ 150,000 $ 330 $ 648 $ — $ — $ — (a) Asset and liability derivatives are classified within other assets and accounts payable and accrued expenses, respectively, within the Company’s consolidated balance sheets. |
Location and amount of gains and losses related to derivative instruments reported on in the income statement | The following table summarizes information on the classification and net impact on earnings, recognized in the Company’s Consolidated Statements of Income and Comprehensive Income relating to the foreign currency forward and interest rate swap contracts that were not designated as hedging instruments for accounting purposes during the three and six months ended June 30, 2017 and 2016 : Derivatives not designated as hedging instruments Classification of (losses) gains recognized in earnings Three Months Ended June 30, Six Months Ended June 30, 2017 2016 2017 2016 Foreign currency forward contracts Foreign exchange (losses) gains $ (6,525 ) $ 896 $ (6,072 ) $ (1,117 ) Foreign currency forward contracts Other (loss) income $ (874 ) $ 84 $ (979 ) $ 120 Interest rate swap contracts Change in unrealized losses on investments $ (319 ) $ — $ (319 ) $ — |
Designated as hedging instruments | |
Derivative [Line Items] | |
Location and fair value amount of derivative instruments reported on the balance sheet | The following table summarizes information on the classification and amount of the fair value of derivatives designated as hedging instruments for accounting purposes on the Consolidated Balance Sheets as at June 30, 2017 and December 31, 2016 : June 30, 2017 December 31, 2016 Derivatives designated as hedging instruments Notional Exposure Asset Derivative at Fair Value (a) Liability Derivative at Fair Value (a) Notional Exposure Asset Derivative at Fair Value (a) Liability Derivative at Fair Value (a) Interest rate swap contracts $ 552,263 $ 20 $ 1,409 $ 552,263 $ 20 $ 1,479 (a) Asset and liability derivatives are classified within other assets and accounts payable and accrued expenses, respectively, within the Company’s consolidated balance sheets. |
Reserve for losses and loss e33
Reserve for losses and loss expenses (Tables) | 6 Months Ended |
Jun. 30, 2017 | |
Liability for Future Policy Benefits and Unpaid Claims and Claims Adjustment Expense [Abstract] | |
Summary of reserve for losses and loss expenses | The following table summarizes the total reserve for losses and loss expenses as at June 30, 2017 and December 31, 2016 : June 30, 2017 December 31, 2016 Case reserves $ 1,236,799 $ 1,237,772 IBNR 2,068,392 1,757,423 Total reserve for losses and loss expenses $ 3,305,191 $ 2,995,195 |
Reserve for losses and loss expenses | The following table represents an analysis of paid and unpaid losses and loss expenses incurred and a reconciliation of the beginning and ending unpaid losses and loss expenses for the three and six months ended June 30, 2017 and 2016 : Three Months Ended June 30, Six Months Ended June 30, 2017 2016 2017 2016 Reserve for losses and loss expenses, beginning of period $ 3,052,745 $ 2,980,300 $ 2,995,195 $ 2,996,567 Loss reserves recoverable (451,856 ) (370,689 ) (430,421 ) (350,586 ) Net reserves for losses and loss expenses, beginning of period 2,600,889 2,609,611 2,564,774 2,645,981 Net reserves acquired (a) 23,753 — 23,753 — Increase (decrease) in net reserves for losses and loss expenses in respect of losses occurring in: Current year 339,439 369,911 670,255 648,097 Prior years (43,290 ) (62,781 ) (104,521 ) (116,520 ) Total net incurred losses and loss expenses 296,149 307,130 565,734 531,577 Less net losses and loss expenses paid in respect of losses occurring in: Current year (42,758 ) (45,882 ) (50,456 ) (61,655 ) Prior years (193,265 ) (176,775 ) (431,354 ) (430,079 ) Total net paid losses (236,023 ) (222,657 ) (481,810 ) (491,734 ) Foreign exchange losses (gains) 20,216 (14,354 ) 32,533 (6,094 ) Net reserve for losses and loss expenses, end of period 2,704,984 2,679,730 2,704,984 2,679,730 Loss reserves recoverable 600,207 442,987 600,207 442,987 Reserve for losses and loss expenses, end of period $ 3,305,191 $ 3,122,717 $ 3,305,191 $ 3,122,717 (a) Equals net reserves acquired of $42,575 less net reserves commuted at closing of $18,822 . Incurred losses and loss expenses comprise: Three Months Ended June 30, Six Months Ended June 30, 2017 2016 2017 2016 Gross losses and loss expenses $ 415,013 $ 397,863 $ 761,808 $ 667,716 Reinsurance recoverable (118,864 ) (90,733 ) (196,074 ) (136,139 ) Net incurred losses and loss expenses $ 296,149 $ 307,130 $ 565,734 $ 531,577 |
Prior year development by segment and line of business | The net favorable development on prior years by segment and line of business for the three and six months ended June 30, 2017 and 2016 was as follows: Three Months Ended June 30, 2017 Property Marine Specialty Liability Total Validus Re $ (671 ) $ (16,313 ) $ (6,115 ) $ — $ (23,099 ) Talbot (4,894 ) (17,056 ) 6,074 — (15,876 ) Western World (479 ) — — 16 (463 ) AlphaCat (3,097 ) — (755 ) — (3,852 ) Net (favorable) adverse development $ (9,141 ) $ (33,369 ) $ (796 ) $ 16 $ (43,290 ) The net favorable loss reserve development on prior accident years of $43.3 million during the three months ended June 30, 2017 was primarily due to favorable development on attritional losses. Three Months Ended June 30, 2016 Property Marine Specialty Liability Total Validus Re $ (9,468 ) $ (10,018 ) $ (11,391 ) $ — $ (30,877 ) Talbot (10,094 ) (8,928 ) (9,306 ) — (28,328 ) Western World (1,582 ) — — (1,576 ) (3,158 ) AlphaCat (296 ) — (122 ) — (418 ) Net favorable development $ (21,440 ) $ (18,946 ) $ (20,819 ) $ (1,576 ) $ (62,781 ) The net favorable loss reserve development on prior accident years of $62.8 million during the three months ended June 30, 2016 was primarily due to favorable development on attritional losses. Six Months Ended June 30, 2017 Property Marine Specialty Liability Total Validus Re $ (4,242 ) $ (31,742 ) $ (15,895 ) $ — $ (51,879 ) Talbot (11,228 ) (33,052 ) (410 ) — (44,690 ) Western World (3,302 ) — — 2,620 (682 ) AlphaCat (7,492 ) — 222 — (7,270 ) Net (favorable) adverse development $ (26,264 ) $ (64,794 ) $ (16,083 ) $ 2,620 $ (104,521 ) The net favorable loss reserve development on prior accident years of $104.5 million during the six months ended June 30, 2017 was primarily due to favorable development on attritional losses. Six Months Ended June 30, 2016 Property Marine Specialty Liability Total Validus Re $ (32,300 ) $ (6,463 ) $ (17,798 ) $ — $ (56,561 ) Talbot (28,540 ) (5,964 ) (16,544 ) — (51,048 ) Western World (2,023 ) — — (5,561 ) (7,584 ) AlphaCat (477 ) — (850 ) — (1,327 ) Net favorable development $ (63,340 ) $ (12,427 ) $ (35,192 ) $ (5,561 ) $ (116,520 ) The net favorable development of $116.5 million for the six months ended June 30, 2016 was primarily due to favorable development on attritional losses. |
Reinsurance (Tables)
Reinsurance (Tables) | 6 Months Ended |
Jun. 30, 2017 | |
Reinsurance Disclosures [Abstract] | |
Schedule of reinsurance recoverable | The Company’s reinsurance balances recoverable at June 30, 2017 and December 31, 2016 were as follows: June 30, 2017 December 31, 2016 Loss reserves recoverable on unpaid: Case reserves $ 176,416 $ 165,328 IBNR 423,791 265,093 Total loss reserves recoverable 600,207 430,421 Paid losses recoverable 35,675 35,247 Total reinsurance balances recoverable $ 635,882 $ 465,668 |
Reinsurance recoverables by reinsurer | Reinsurance balances recoverable by reinsurer as at June 30, 2017 and December 31, 2016 were as follows: June 30, 2017 December 31, 2016 Reinsurance Recoverable % of Total Reinsurance Recoverable % of Total Top 10 reinsurers $ 521,027 81.9 % $ 395,308 84.9 % Other reinsurers’ balances > $1 million 106,432 16.8 % 66,944 14.4 % Other reinsurers’ balances < $1 million 8,423 1.3 % 3,416 0.7 % Total $ 635,882 100.0 % $ 465,668 100.0 % The following tables show the reinsurance balances recoverable due from, and the ratings associated with, the Company’s top ten reinsurers as at June 30, 2017 and December 31, 2016 : June 30, 2017 Top 10 Reinsurers Rating Reinsurance Recoverable % of Total Munich Re AA- $ 96,997 15.2 % Lloyd's Syndicates A+ 84,742 13.2 % Fully collateralized reinsurers NR 80,558 12.7 % Swiss Re AA- 77,928 12.3 % Everest Re A+ 54,565 8.6 % Hannover Re AA- 48,037 7.6 % Federal Crop Insurance Corporation (a) 29,009 4.6 % Transatlantic Re A+ 23,066 3.6 % XL Catlin A+ 16,062 2.5 % Helvetia Group A 10,063 1.6 % Total $ 521,027 81.9 % (a) The Company participates in a crop reinsurance program sponsored by the U.S. federal government. The Company remains obligated for amounts ceded in the event that its reinsurers or retrocessionaires do not meet their obligations, except for amounts ceded to the U.S. federal government in the agriculture line of business. December 31, 2016 Top 10 Reinsurers Rating Reinsurance Recoverable % of Total Lloyd's Syndicates A+ $ 84,419 18.2 % Swiss Re AA- 84,044 18.1 % Fully collateralized reinsurers NR 83,088 17.8 % Hannover Re AA- 50,603 10.9 % Everest Re A+ 36,912 7.9 % Munich Re AA- 18,214 3.9 % Transatlantic Re A+ 10,593 2.3 % Hamilton Re A- 10,343 2.2 % Toa Re A+ 9,510 2.0 % National Indemnity Company AA+ 7,582 1.6 % Total $ 395,308 84.9 % |
Share capital (Tables)
Share capital (Tables) | 6 Months Ended |
Jun. 30, 2017 | |
Stockholders' Equity Note [Abstract] | |
Summary of preferred shares issued and outstanding | The following table is a summary of the preferred share activity during the six months ended June 30, 2017 and 2016 : Six Months Ended June 30, 2017 2016 Preferred shares issued and outstanding, beginning of period 6,000 — Preferred shares issued 10,000 6,000 Preferred shares issued and outstanding, end of period 16,000 6,000 |
Summary of common shares issued and outstanding | The following table is a summary of the common share activity during the six months ended June 30, 2017 and 2016 : Six Months Ended June 30, 2017 2016 Common shares issued, beginning of period 161,279,976 160,570,772 Restricted share awards vested, net of shares withheld 597,021 601,890 Restricted share units vested, net of shares withheld 14,948 18,486 Options exercised — 13,635 Performance share awards vested, net of shares withheld 42,410 48,088 Common shares issued, end of period 161,934,355 161,252,871 Treasury shares, end of period (82,415,774 ) (80,480,633 ) Common shares outstanding, end of period 79,518,581 80,772,238 |
Stock plans (Tables)
Stock plans (Tables) | 6 Months Ended |
Jun. 30, 2017 | |
Disclosure of Compensation Related Costs, Share-based Payments [Abstract] | |
Options, activity during the period | Activity with respect to options for the six months ended June 30, 2017 and 2016 was as follows: Six Months Ended June 30, 2017 2016 Options Weighted Average Grant Date Fair Value Weighted Average Grant Date Exercise Price Options Weighted Average Grant Date Fair Value Weighted Average Grant Date Exercise Price Options outstanding, beginning of period 26,136 $ 6.78 $ 23.48 65,401 $ 7.74 $ 20.17 Options exercised — — — (14,044 ) 7.69 17.02 Options outstanding, end of period 26,136 $ 6.78 $ 23.48 51,357 $ 7.75 $ 21.03 |
Restricted shares awards, activity during the period | Activity with respect to unvested restricted share awards for the six months ended June 30, 2017 and 2016 was as follows: Six Months Ended June 30, 2017 2016 Restricted Share Awards Weighted Average Grant Date Fair Value Restricted Share Awards Weighted Average Grant Date Fair Value Restricted share awards outstanding, beginning of period 2,469,982 $ 40.89 2,739,446 $ 38.25 Restricted share awards granted 481,619 53.42 534,905 48.69 Restricted share awards vested (803,764 ) 41.31 (783,523 ) 37.32 Restricted share awards forfeited (39,617 ) 41.98 (8,317 ) 37.94 Restricted share awards outstanding, end of period 2,108,220 $ 43.58 2,482,511 $ 40.79 |
Restricted share units, activity during the period | Activity with respect to unvested restricted share units for the six months ended June 30, 2017 and 2016 was as follows: Six Months Ended June 30, 2017 2016 Restricted Share Units Weighted Average Grant Date Fair Value Restricted Share Units Weighted Average Grant Date Fair Value Restricted share units outstanding, beginning of period 112,808 $ 40.95 114,337 $ 38.47 Restricted share units granted 12,236 53.40 20,129 48.69 Restricted share units vested (18,241 ) 41.66 (23,982 ) 38.18 Restricted share units issued in lieu of cash dividends 1,468 40.98 1,629 38.47 Restricted share units outstanding, end of period 108,271 $ 42.24 112,113 $ 40.37 |
Performance share awards, activity during the period | Activity with respect to unvested performance share awards for the six months ended June 30, 2017 and 2016 was as follows: Six Months Ended June 30, 2017 2016 Performance Share Awards Weighted Average Grant Date Fair Value Performance Share Awards Weighted Average Grant Date Fair Value Performance share awards outstanding, beginning of period 285,820 $ 44.53 172,594 $ 40.70 Performance share awards granted 107,209 53.40 121,844 48.69 Performance share awards vested (52,639 ) 37.33 (57,581 ) 36.11 Performance share awards conversion adjustment (26,322 ) 36.82 45,517 36.82 Performance share awards outstanding, end of period 314,068 $ 49.37 282,374 $ 44.46 |
Total share compensation expenses | The breakdown of share compensation expenses by award type for the periods indicated was as follows: Three Months Ended June 30, Six Months Ended June 30, 2017 2016 2017 2016 Restricted share awards $ 9,745 $ 9,517 $ 18,789 $ 18,646 Restricted share units 327 377 642 688 Performance share awards 1,074 833 1,206 2,630 Total $ 11,146 $ 10,727 $ 20,637 $ 21,964 |
Debt and financing arrangemen37
Debt and financing arrangements (Tables) | 6 Months Ended |
Jun. 30, 2017 | |
Debt Disclosure [Abstract] | |
Summary of outstanding debentures and senior notes payable | The Company’s outstanding debentures and senior notes payable as at June 30, 2017 and December 31, 2016 were as follows: June 30, 2017 December 31, 2016 Deferrable debentures 2006 Junior Subordinated $ 150,000 $ 150,000 2007 Junior Subordinated 139,800 139,800 Flagstone 2006 Junior Subordinated 134,850 133,676 Flagstone 2007 Junior Subordinated 113,750 113,750 Total debentures payable 538,400 537,226 2010 Senior notes payable 250,000 250,000 Less: Unamortized debt issuance costs (4,537 ) (4,638 ) Total senior notes payable 245,463 245,362 Total debentures and senior notes payable $ 783,863 $ 782,588 |
Summary of outstanding credit and other facilities | The Company’s outstanding credit and other facilities as at June 30, 2017 and December 31, 2016 were as follows: June 30, 2017 December 31, 2016 Commitment Drawn and outstanding Commitment Drawn and outstanding Credit and other facilities $85,000 syndicated unsecured letter of credit facility $ 85,000 $ — $ 85,000 $ — $300,000 syndicated secured letter of credit facility 300,000 87,718 300,000 90,252 $24,000 secured bi-lateral letter of credit facility 24,000 5,648 24,000 4,553 $20,000 AlphaCat Re secured letter of credit facility (a) — — 20,000 20,000 $25,000 IPC bi-lateral facility 25,000 5,535 25,000 5,842 $236,000 Flagstone bi-lateral facility 236,000 102,190 236,000 144,392 Total credit and other facilities $ 670,000 $ 201,091 $ 690,000 $ 265,039 (a) The Company terminated its AlphaCat Re secured letter of credit facility on January 6, 2017. |
Summary of key terms of debentures and senior notes | The following table summarizes the key terms of the Company’s senior notes and junior subordinated deferrable debentures: Description Issuance date Issued Maturity date Interest Rate as at Interest payments due Issuance Date June 30, 2017 2006 Junior Subordinated Deferrable Debentures June 15, 2006 $ 150,000 June 15, 2036 9.069 % (a) 5.831 % (e) Quarterly Flagstone 2006 Junior Subordinated Deferrable Debentures August 23, 2006 $ 134,850 September 15, 2036 3.540 % (b) 6.463 % (e) Quarterly 2007 Junior Subordinated Deferrable Debentures June 21, 2007 $ 200,000 June 15, 2037 8.480 % (c) 5.180 % (e) Quarterly Flagstone 2007 Junior Subordinated Deferrable Debentures June 8, 2007 $ 100,000 July 30, 2037 3.000 % (b) 5.900 % (e) Quarterly Flagstone 2007 Junior Subordinated Deferrable Debentures September 20, 2007 $ 25,000 September 15, 2037 3.100 % (b) 5.983 % (e) Quarterly 2010 Senior Notes due 2040 January 26, 2010 $ 250,000 January 26, 2040 8.875 % (d) 8.875 % (d) Semi-annually in arrears (a) Fixed interest rate for 5 years , floating interest rate of three-month LIBOR plus 3.550% thereafter, reset quarterly. (b) Floating interest rate of three-month LIBOR plus amount stated, reset quarterly. (c) Fixed interest rate for 5 years , floating interest rate of three-month LIBOR plus 2.950% thereafter, reset quarterly. (d) Fixed interest rate. (e) Fixed interest rate as a result of interest rate swap contracts entered into by the Company. |
Investments and cash pledged as collateral under credit facilities | The Company has pledged cash and investments as collateral under the Company’s credit facilities in the total amount of $404,516 (December 31, 2016 : $442,184 ) as detailed in the table below: Cash and investments pledged as collateral June 30, 2017 December 31, 2016 $300,000 syndicated secured letter of credit facility $ 147,048 $ 157,597 $24,000 secured bi-lateral letter of credit facility 33,353 48,097 AlphaCat Re secured letter of credit facility (a) — 20,032 $236,000 Flagstone bi-lateral facility 224,115 216,458 Total cash and investments pledged as collateral $ 404,516 $ 442,184 (a) The Company terminated its AlphaCat Re secured letter of credit facility on January 6, 2017. |
Components of finance expenses | Finance expenses consist of interest on the junior subordinated deferrable debentures and senior notes, the amortization of debt offering costs, credit facility fees, bank charges, Talbot Funds at Lloyds (“FAL”) facility, AlphaCat financing fees and other charges as follows: Three Months Ended June 30, Six Months Ended June 30, 2017 2016 2017 2016 2006 Junior Subordinated Deferrable Debentures $ 2,211 $ 2,211 $ 4,398 $ 4,422 2007 Junior Subordinated Deferrable Debentures 1,831 1,830 3,641 3,661 Flagstone 2006 Junior Subordinated Deferrable Debentures 2,248 2,244 4,469 4,489 Flagstone 2007 Junior Subordinated Deferrable Debentures 1,751 1,766 3,474 3,533 2010 Senior Notes due 2040 5,598 5,597 11,195 11,194 Credit facilities 403 235 621 896 Bank and other charges 131 206 282 213 AlphaCat fees (a) 36 77 72 961 Total finance expenses $ 14,209 $ 14,166 $ 28,152 $ 29,369 (a) Includes finance expenses incurred by AlphaCat Managers Ltd. in relation to fund raising for the AlphaCat sidecars, the AlphaCat ILS funds and AlphaCat direct. |
Accumulated other comprehensi38
Accumulated other comprehensive loss (Tables) | 6 Months Ended |
Jun. 30, 2017 | |
Accumulated Other Comprehensive Income (Loss), Net of Tax [Abstract] | |
Schedule of changes in accumulated other comprehensive loss | The changes in accumulated other comprehensive loss, by component for the three and six months ended June 30, 2017 and 2016 was as follows: Three Months Ended June 30, 2017 Foreign currency translation adjustment Minimum pension liability Cash flow hedge Total Balance, net of tax, beginning of period $ (21,677 ) $ (82 ) $ (694 ) $ (22,453 ) Other comprehensive income (loss), net of tax 1,489 1,184 (144 ) 2,529 Balance, net of tax, end of period $ (20,188 ) $ 1,102 $ (838 ) $ (19,924 ) Three Months Ended June 30, 2016 Foreign currency translation adjustment Minimum pension liability Cash flow hedge Total Balance, net of tax, beginning of period $ (13,862 ) $ 251 $ (1,827 ) $ (15,438 ) Other comprehensive (loss) income, net of tax (3,287 ) 479 64 (2,744 ) Balance, net of tax, end of period $ (17,149 ) $ 730 $ (1,763 ) $ (18,182 ) Six Months Ended June 30, 2017 Foreign currency translation adjustment Minimum pension liability Cash flow hedge Total Balance, net of tax, beginning of period $ (22,274 ) $ (150 ) $ (792 ) $ (23,216 ) Other comprehensive income (loss), net of tax 2,086 1,252 (46 ) 3,292 Balance, net of tax, end of period $ (20,188 ) $ 1,102 $ (838 ) $ (19,924 ) Six Months Ended June 30, 2016 Foreign currency translation adjustment Minimum pension liability Cash flow hedge Total Balance, net of tax, beginning of period $ (11,834 ) $ 334 $ (1,069 ) $ (12,569 ) Other comprehensive (loss) income, net of tax (5,315 ) 396 (694 ) (5,613 ) Balance, net of tax, end of period $ (17,149 ) $ 730 $ (1,763 ) $ (18,182 ) |
Commitments and contingencies (
Commitments and contingencies (Tables) | 6 Months Ended |
Jun. 30, 2017 | |
Commitments and Contingencies Disclosure [Abstract] | |
Unfunded investment commitments | As at June 30, 2017 and December 31, 2016 , the Company had total unfunded investment commitments related to the following: Unfunded investment commitments June 30, 2017 December 31, 2016 Fixed maturity investments (a) $ 25,238 $ 28,499 Other investments (b) 119,495 156,134 Investments in investment affiliates (c) 84,046 64,071 AlphaCat ILS Fund — 10,000 Total unfunded investment commitments $ 228,779 $ 258,704 (a) The Company has an outstanding commitment to participate in certain secured loan facilities through participation agreements with an established loan originator. (b) The Company’s total capital commitments related to other investments as at June 30, 2017 was $313,000 ( December 31, 2016 : $308,000 ). (c) Refer to Note 4 (c), “Investments in Investment Affiliates.” |
Earnings per share (Tables)
Earnings per share (Tables) | 6 Months Ended |
Jun. 30, 2017 | |
Earnings Per Share [Abstract] | |
Computation of basic and diluted earnings per share | The following table sets forth the computation of basic earnings per common share and earnings per diluted common share for the three and six months ended June 30, 2017 and 2016 : Three Months Ended June 30, Six Months Ended June 30, 2017 2016 2017 2016 Basic earnings per common share Net income available to Validus common shareholders $ 101,095 $ 94,963 $ 195,656 $ 261,773 Weighted average number of common shares outstanding 79,270,561 81,950,833 79,202,116 82,386,047 Basic earnings per share available to Validus common shareholders $ 1.28 $ 1.16 $ 2.47 $ 3.18 Earnings per diluted common share Net income available to Validus common shareholders $ 101,095 $ 94,963 $ 195,656 $ 261,773 Weighted average number of common shares outstanding 79,270,561 81,950,833 79,202,116 82,386,047 Share equivalents: Stock options 14,739 33,796 15,059 34,837 Unvested restricted shares 1,587,151 1,388,374 1,644,823 1,364,775 Weighted average number of diluted common shares outstanding 80,872,451 83,373,003 80,861,998 83,785,659 Earnings per diluted share available to Validus common shareholders $ 1.25 $ 1.14 $ 2.42 $ 3.12 |
Segment information (Tables)
Segment information (Tables) | 6 Months Ended |
Jun. 30, 2017 | |
Segment Reporting [Abstract] | |
Summary of results of operating segments and Corporate | The following tables summarize the results of our operating segments and “Corporate and Investments”: Three Months Ended June 30, Six Months Ended June 30, Validus Re Segment Information 2017 2016 2017 2016 Underwriting revenues Gross premiums written $ 296,997 $ 285,810 $ 917,519 $ 977,478 Reinsurance premiums ceded (11,387 ) (3,196 ) (120,200 ) (95,691 ) Net premiums written 285,610 282,614 797,319 881,787 Change in unearned premiums (45,003 ) (35,492 ) (338,300 ) (390,834 ) Net premiums earned 240,607 247,122 459,019 490,953 Other insurance related income (loss) 58 150 136 (165 ) Total underwriting revenues 240,665 247,272 459,155 490,788 Underwriting deductions Losses and loss expenses 104,685 132,139 190,839 215,007 Policy acquisition costs 47,158 42,564 88,414 84,823 General and administrative expenses 19,274 17,872 36,106 35,051 Share compensation expenses 2,663 2,775 5,140 5,676 Total underwriting deductions 173,780 195,350 320,499 340,557 Underwriting income $ 66,885 $ 51,922 $ 138,656 $ 150,231 Selected ratios Ratio of net to gross premiums written 96.2 % 98.9 % 86.9 % 90.2 % Losses and loss expense ratio 43.5 % 53.5 % 41.6 % 43.8 % Policy acquisition cost ratio 19.6 % 17.2 % 19.3 % 17.3 % General and administrative expense ratio (a) 9.1 % 8.4 % 8.9 % 8.3 % Expense ratio 28.7 % 25.6 % 28.2 % 25.6 % Combined ratio 72.2 % 79.1 % 69.8 % 69.4 % (a) The general and administrative expense ratio includes share compensation expenses. Three Months Ended June 30, Six Months Ended June 30, Talbot Segment Information 2017 2016 2017 2016 Underwriting revenues Gross premiums written $ 262,477 $ 296,067 $ 509,652 $ 562,384 Reinsurance premiums ceded (24,977 ) (27,161 ) (117,801 ) (114,619 ) Net premiums written 237,500 268,906 391,851 447,765 Change in unearned premiums (45,626 ) (67,357 ) (4,912 ) (39,424 ) Net premiums earned 191,874 201,549 386,939 408,341 Other insurance related income 65 279 820 290 Total underwriting revenues 191,939 201,828 387,759 408,631 Underwriting deductions Losses and loss expenses 93,389 109,310 199,801 209,411 Policy acquisition costs 44,305 43,613 87,581 87,956 General and administrative expenses 35,582 39,061 74,025 77,596 Share compensation expenses 3,155 3,270 5,982 6,792 Total underwriting deductions 176,431 195,254 367,389 381,755 Underwriting income $ 15,508 $ 6,574 $ 20,370 $ 26,876 Selected ratios Ratio of net to gross premiums written 90.5 % 90.8 % 76.9 % 79.6 % Losses and loss expense ratio 48.7 % 54.2 % 51.6 % 51.3 % Policy acquisition cost ratio 23.1 % 21.6 % 22.6 % 21.5 % General and administrative expense ratio (a) 20.2 % 21.1 % 20.7 % 20.7 % Expense ratio 43.3 % 42.7 % 43.3 % 42.2 % Combined ratio 92.0 % 96.9 % 94.9 % 93.5 % (a) The general and administrative expense ratio includes share compensation expenses. Three Months Ended June 30, Six Months Ended June 30, Western World Segment Information 2017 2016 2017 2016 Underwriting revenues Gross premiums written $ 131,068 $ 86,971 $ 303,111 $ 150,930 Reinsurance premiums ceded (23,180 ) (5,006 ) (28,798 ) (9,145 ) Net premiums written 107,888 81,965 274,313 141,785 Change in unearned premiums 22,806 (16,309 ) (46,347 ) (14,630 ) Net premiums earned 130,694 65,656 227,966 127,155 Other insurance related income 663 189 904 477 Total underwriting revenues 131,357 65,845 228,870 127,632 Underwriting deductions Losses and loss expenses 97,008 44,229 171,933 83,875 Policy acquisition costs 19,230 15,410 39,466 29,610 General and administrative expenses 18,316 11,458 29,070 23,533 Share compensation expenses 609 542 1,301 1,123 Total underwriting deductions 135,163 71,639 241,770 138,141 Underwriting loss $ (3,806 ) $ (5,794 ) $ (12,900 ) $ (10,509 ) Selected ratios Ratio of net to gross premiums written 82.3 % 94.2 % 90.5 % 93.9 % Losses and loss expense ratio 74.2 % 67.4 % 75.4 % 66.0 % Policy acquisition cost ratio 14.7 % 23.5 % 17.3 % 23.3 % General and administrative expense ratio (a) 14.5 % 18.2 % 13.4 % 19.3 % Expense ratio 29.2 % 41.7 % 30.7 % 42.6 % Combined ratio 103.4 % 109.1 % 106.1 % 108.6 % (a) The general and administrative expense ratio includes share compensation expenses. Three Months Ended June 30, Six Months Ended June 30, AlphaCat Segment Information 2017 2016 2017 2016 Fee revenues Third party $ 5,549 $ 3,091 $ 10,193 $ 7,818 Related party 644 328 1,275 1,219 Total fee revenues 6,193 3,419 11,468 9,037 Expenses General and administrative expenses 3,549 2,751 7,393 4,233 Share compensation expenses 83 133 165 274 Finance expenses 44 75 75 883 Tax expense 135 — 134 — Foreign exchange losses 1 4 — 12 Total expenses 3,812 2,963 7,767 5,402 Income before investments from AlphaCat Funds and Sidecars 2,381 456 3,701 3,635 Investment income (loss) from AlphaCat Funds and Sidecars (a) AlphaCat Sidecars (21 ) 541 (133 ) 665 AlphaCat ILS Funds - Lower Risk (b) 1,301 2,075 3,490 4,582 AlphaCat ILS Funds - Higher Risk (b) 2,600 692 4,967 3,128 BetaCat ILS Funds 263 1,113 631 1,676 PaCRe — — — (23 ) Validus’ share of investment income from AlphaCat Funds and Sidecars 4,143 4,421 8,955 10,028 Validus’ share of AlphaCat segment income $ 6,524 $ 4,877 $ 12,656 $ 13,663 Supplemental information Gross premiums written AlphaCat Sidecars $ — $ (14 ) $ 66 $ (66 ) AlphaCat ILS Funds - Lower Risk (b) 53,632 50,234 106,540 110,192 AlphaCat ILS Funds - Higher Risk (b) 43,672 42,010 137,208 138,330 AlphaCat Direct (c) 8,378 6,675 26,794 17,797 Total gross premiums written $ 105,682 $ 98,905 $ 270,608 $ 266,253 (a) The investment income from the AlphaCat funds and sidecars is based on equity accounting. (b) Lower risk AlphaCat ILS funds have a maximum permitted portfolio expected loss of less than 7%, whereas higher risk AlphaCat ILS funds have a maximum permitted portfolio expected loss of greater than 7%. Expected loss represents the average annual loss over the set of simulation scenarios divided by the total limit. (c) AlphaCat Direct includes direct investments from third party investors in AlphaCat Re. Three Months Ended June 30, Six Months Ended June 30, Corporate and Investments 2017 2016 2017 2016 Investment income Managed net investment income (a) $ 38,063 $ 36,849 $ 74,255 $ 64,772 Corporate expenses General and administrative expenses 18,847 17,872 36,024 34,055 Share compensation expenses 4,636 4,007 8,049 8,099 Finance expenses (b) 14,149 13,979 28,013 28,320 Dividends on preferred shares 2,203 — 4,406 — Tax (benefit) expense (1,122 ) 1,706 (4,670 ) (412 ) Total Corporate expenses 38,713 37,564 71,822 70,062 Other items Net realized gains (losses) on managed investments (b) 2,269 2,520 (623 ) 1,434 Change in net unrealized gains on managed investments (b) 15,942 30,052 30,291 77,130 Income (loss) from investment affiliate 9,466 (589 ) 14,654 (4,702 ) Foreign exchange (losses) gains (b) (7,323 ) 6,621 (6,220 ) 12,695 Other income 174 79 268 756 Transaction expenses (4,427 ) — (4,427 ) — Total other items 16,101 38,683 33,943 87,313 Total Corporate and Investments $ 15,451 $ 37,968 $ 36,376 $ 82,023 (a) Managed net investment income excludes the components which are included in the Company’s share of AlphaCat, net realized and change in unrealized gains on managed investments and income (loss) from investment affiliates. (b) These items exclude the components which are included in Validus’ share of AlphaCat and amounts which are consolidated from VIEs. The following tables reconcile the results of our operating segments along with our corporate and investments function to the Consolidated results of the Company for the periods indicated: Three Months Ended June 30, 2017 Validus Re Segment Talbot Segment Western World Segment AlphaCat Segment and Consolidated VIEs Corporate and Investments Eliminations Total Underwriting revenues Gross premiums written $ 296,997 $ 262,477 $ 131,068 $ 105,682 $ — $ (3,322 ) $ 792,902 Reinsurance premiums ceded (11,387 ) (24,977 ) (23,180 ) — — 3,322 (56,222 ) Net premiums written 285,610 237,500 107,888 105,682 — — 736,680 Change in unearned premiums (45,003 ) (45,626 ) 22,806 (37,830 ) — — (105,653 ) Net premiums earned 240,607 191,874 130,694 67,852 — — 631,027 Other insurance related income 58 65 663 5,874 — (5,495 ) 1,165 Total underwriting revenues 240,665 191,939 131,357 73,726 — (5,495 ) 632,192 Underwriting deductions Losses and loss expenses 104,685 93,389 97,008 1,067 — — 296,149 Policy acquisition costs 47,158 44,305 19,230 7,165 — (590 ) 117,268 General and administrative expenses 19,274 35,582 18,316 9,768 18,847 (5,438 ) 96,349 Share compensation expenses 2,663 3,155 609 83 4,636 — 11,146 Total underwriting deductions 173,780 176,431 135,163 18,083 23,483 (6,028 ) 520,912 Underwriting income (loss) $ 66,885 $ 15,508 $ (3,806 ) $ 55,643 $ (23,483 ) $ 533 $ 111,280 Other items (a) — — — 183 7,501 — 7,684 Dividends on preferred shares — — — — (2,203 ) — (2,203 ) Net investment income — — — 6,178 38,063 — 44,241 Transaction expenses — — — — (4,427 ) — (4,427 ) (Income) attributable to AlphaCat investors — — — (11,830 ) — — (11,830 ) Net (income) attributable to noncontrolling interest — — — (43,650 ) — — (43,650 ) Segmental income (loss) $ 66,885 $ 15,508 $ (3,806 ) $ 6,524 $ 15,451 $ 533 Net income available to Validus common shareholders $ 101,095 (a) Other items includes finance expenses, tax benefit (expense), foreign exchange gains (losses), net realized and change in net unrealized gains (losses) on investments, income from investment and operating affiliates and other income (loss). Three Months Ended June 30, 2016 Validus Re Segment Talbot Segment Western World Segment AlphaCat Segment and Consolidated VIEs Corporate and Investments Eliminations Total Underwriting revenues Gross premiums written $ 285,810 $ 296,067 $ 86,971 $ 98,905 $ — $ (3,711 ) $ 764,042 Reinsurance premiums ceded (3,196 ) (27,161 ) (5,006 ) (4,577 ) — 3,711 (36,229 ) Net premiums written 282,614 268,906 81,965 94,328 — — 727,813 Change in unearned premiums (35,492 ) (67,357 ) (16,309 ) (34,932 ) — — (154,090 ) Net premiums earned 247,122 201,549 65,656 59,396 — — 573,723 Other insurance related income 150 279 189 3,401 — (3,274 ) 745 Total underwriting revenues 247,272 201,828 65,845 62,797 — (3,274 ) 574,468 Underwriting deductions Losses and loss expenses 132,139 109,310 44,229 21,452 — — 307,130 Policy acquisition costs 42,564 43,613 15,410 6,530 — (151 ) 107,966 General and administrative expenses 17,872 39,061 11,458 6,561 17,872 (3,136 ) 89,688 Share compensation expenses 2,775 3,270 542 133 4,007 — 10,727 Total underwriting deductions 195,350 195,254 71,639 34,676 21,879 (3,287 ) 515,511 Underwriting income (loss) $ 51,922 $ 6,574 $ (5,794 ) $ 28,121 $ (21,879 ) $ 13 $ 58,957 Other items (a) — — — 1,058 22,998 — 24,056 Dividends on preferred shares — — — — — — — Net investment income — — — 3,005 36,849 (597 ) 39,257 (Income) attributable to AlphaCat investors — — — (6,114 ) — — (6,114 ) Net (income) attributable to noncontrolling interest — — — (21,193 ) — — (21,193 ) Segmental income (loss) $ 51,922 $ 6,574 $ (5,794 ) $ 4,877 $ 37,968 $ (584 ) Net income available to Validus common shareholders $ 94,963 (a) Other items includes finance expenses, tax expenses, foreign exchange gains (losses), net realized and change in net unrealized gains (losses) on investments, income from investment and operating affiliates and other income (loss). Six Months Ended June 30, 2017 Validus Re Segment Talbot Segment Western World Segment AlphaCat Segment and Consolidated VIEs Corporate and Investments Eliminations Total Underwriting revenues Gross premiums written $ 917,519 $ 509,652 $ 303,111 $ 270,608 $ — $ (17,131 ) $ 1,983,759 Reinsurance premiums ceded (120,200 ) (117,801 ) (28,798 ) (6,660 ) — 17,131 (256,328 ) Net premiums written 797,319 391,851 274,313 263,948 — — 1,727,431 Change in unearned premiums (338,300 ) (4,912 ) (46,347 ) (131,469 ) — — (521,028 ) Net premiums earned 459,019 386,939 227,966 132,479 — — 1,206,403 Other insurance related income 136 820 904 11,035 — (10,494 ) 2,401 Total underwriting revenues 459,155 387,759 228,870 143,514 — (10,494 ) 1,208,804 Underwriting deductions Losses and loss expenses 190,839 199,801 171,933 3,161 — — 565,734 Policy acquisition costs 88,414 87,581 39,466 14,066 — (631 ) 228,896 General and administrative expenses 36,106 74,025 29,070 19,409 36,024 (10,361 ) 184,273 Share compensation expenses 5,140 5,982 1,301 165 8,049 — 20,637 Total underwriting deductions 320,499 367,389 241,770 36,801 44,073 (10,992 ) 999,540 Underwriting income (loss) $ 138,656 $ 20,370 $ (12,900 ) $ 106,713 $ (44,073 ) $ 498 $ 209,264 Other items (a) — — — 1,298 15,027 — 16,325 Dividends on preferred shares — — — — (4,406 ) — (4,406 ) Net investment income — — — 10,200 74,255 — 84,455 Transaction expenses — — — — (4,427 ) — (4,427 ) (Income) attributable to AlphaCat investors — — — (19,333 ) — — (19,333 ) Net (income) attributable to noncontrolling interest — — — (86,222 ) — — (86,222 ) Segmental income (loss) $ 138,656 $ 20,370 $ (12,900 ) $ 12,656 $ 36,376 $ 498 Net income available to Validus common shareholders $ 195,656 (a) Other items includes finance expenses, tax expenses, foreign exchange gains (losses), net realized and change in net unrealized gains (losses) on investments, income from investment and operating affiliates and other income (loss). Six Months Ended June 30, 2016 Validus Re Segment Talbot Segment Western World Segment AlphaCat Segment and Consolidated VIEs Corporate and Investments Eliminations Total Underwriting revenues Gross premiums written $ 977,478 $ 562,384 $ 150,930 $ 266,253 $ — $ (20,212 ) $ 1,936,833 Reinsurance premiums ceded (95,691 ) (114,619 ) (9,145 ) (4,821 ) — 20,212 (204,064 ) Net premiums written 881,787 447,765 141,785 261,432 — — 1,732,769 Change in unearned premiums (390,834 ) (39,424 ) (14,630 ) (142,890 ) — — (587,778 ) Net premiums earned 490,953 408,341 127,155 118,542 — — 1,144,991 Other insurance related (loss) income (165 ) 290 477 9,066 — (8,187 ) 1,481 Total underwriting revenues 490,788 408,631 127,632 127,608 — (8,187 ) 1,146,472 Underwriting deductions Losses and loss expenses 215,007 209,411 83,875 23,284 — — 531,577 Policy acquisition costs 84,823 87,956 29,610 12,687 — 83 215,159 General and administrative expenses 35,051 77,596 23,533 14,017 34,055 (8,356 ) 175,896 Share compensation expenses 5,676 6,792 1,123 274 8,099 — 21,964 Total underwriting deductions 340,557 381,755 138,141 50,262 42,154 (8,273 ) 944,596 Underwriting income (loss) $ 150,231 $ 26,876 $ (10,509 ) $ 77,346 $ (42,154 ) $ 86 $ 201,876 Other items (a) — — — 1,212 59,405 — 60,617 Dividends on preferred shares — — — — — — — Net investment income — — — 4,543 64,772 (597 ) 68,718 (Income) attributable to AlphaCat investors — — — (10,714 ) — — (10,714 ) Net (income) attributable to noncontrolling interest — — — (58,724 ) — — (58,724 ) Segmental income (loss) $ 150,231 $ 26,876 $ (10,509 ) $ 13,663 $ 82,023 $ (511 ) Net income available to Validus common shareholders $ 261,773 (a) Other items includes finance expenses, tax expenses, foreign exchange gains (losses), net realized and change in net unrealized gains (losses) on investments, income from investment and operating affiliates and other income (loss). |
Gross premiums written allocated to the territory of coverage exposure | The following tables set forth the gross premiums written by operating segment allocated to the territory of coverage exposure for the periods indicated: Gross Premiums Written Three Months Ended June 30, 2017 Validus Re Talbot Western World AlphaCat Eliminations Total % United States $ 100,312 $ 34,470 $ 131,068 $ 70,048 $ (3,443 ) $ 332,455 41.9 % Worldwide excluding United States (a) 4,537 32,627 — 870 114 38,148 4.7 % Australia and New Zealand 3,264 1,848 — 2,003 40 7,155 0.9 % Europe 748 5,857 — (15 ) 275 6,865 0.9 % Latin America and Caribbean 11,874 24,800 — 46 (1,411 ) 35,309 4.5 % Japan 39,305 3,381 — 2,662 (6 ) 45,342 5.7 % Canada 3,155 1,111 — 130 (4 ) 4,392 0.6 % Rest of the world (b) 4,877 23,168 — — 105 28,150 3.6 % Sub-total, non United States 67,760 92,792 — 5,696 (887 ) 165,361 20.9 % Worldwide including United States (a) 53,524 30,735 — 29,937 1,006 115,202 14.5 % Other locations non-specific (c) 75,401 104,480 — 1 2 179,884 22.7 % Total $ 296,997 $ 262,477 $ 131,068 $ 105,682 $ (3,322 ) $ 792,902 100.0 % Gross Premiums Written Three Months Ended June 30, 2016 Validus Re Talbot Western World AlphaCat Eliminations Total % United States $ 129,087 $ 39,135 $ 86,971 $ 37,338 $ (417 ) $ 292,114 38.2 % Worldwide excluding United States (a) 16,975 30,028 — 6,496 (136 ) 53,363 7.0 % Australia and New Zealand 1,926 2,063 — 867 21 4,877 0.6 % Europe 3,267 6,855 — (145 ) 216 10,193 1.3 % Latin America and Caribbean 5,992 27,597 — — (2,511 ) 31,078 4.1 % Japan 39,053 3,965 — 1,721 (7 ) 44,732 5.9 % Canada 1,821 2,470 — 223 (36 ) 4,478 0.6 % Rest of the world (b) 3,259 29,806 — — (457 ) 32,608 4.3 % Sub-total, non United States 72,293 102,784 — 9,162 (2,910 ) 181,329 23.8 % Worldwide including United States (a) 35,561 34,198 — 52,394 (380 ) 121,773 15.9 % Other locations non-specific (c) 48,869 119,950 — 11 (4 ) 168,826 22.1 % Total $ 285,810 $ 296,067 $ 86,971 $ 98,905 $ (3,711 ) $ 764,042 100.0 % Gross Premiums Written Six Months Ended June 30, 2017 Validus Re Talbot Western World AlphaCat Eliminations Total % United States $ 314,180 $ 63,555 $ 303,111 $ 98,251 $ (4,323 ) $ 774,774 39.1 % Worldwide excluding United States (a) 38,605 66,958 — 7,905 (539 ) 112,929 5.7 % Australia and New Zealand 4,195 5,030 — 2,003 (110 ) 11,118 0.6 % Europe 30,364 17,572 — 451 (430 ) 47,957 2.3 % Latin America and Caribbean 21,216 48,977 — 46 (4,283 ) 65,956 3.3 % Japan 40,466 5,206 — 3,855 (36 ) 49,491 2.5 % Canada 4,870 2,248 — 130 (49 ) 7,199 0.4 % Rest of the world (b) 18,782 46,440 — — (1,577 ) 63,645 3.2 % Sub-total, non United States 158,498 192,431 — 14,390 (7,024 ) 358,295 18.0 % Worldwide including United States (a) 155,945 58,092 — 153,246 (5,784 ) 361,499 18.2 % Other locations non-specific (c) 288,896 195,574 — 4,721 — 489,191 24.7 % Total $ 917,519 $ 509,652 $ 303,111 $ 270,608 $ (17,131 ) $ 1,983,759 100.0 % Gross Premiums Written Six Months Ended June 30, 2016 Validus Re Talbot Western World AlphaCat Eliminations Total % United States $ 424,481 $ 65,245 $ 150,930 $ 62,729 $ (1,555 ) $ 701,830 36.2 % Worldwide excluding United States (a) 47,239 65,532 — 22,507 (611 ) 134,667 7.0 % Australia and New Zealand 6,849 4,375 — 4,949 (113 ) 16,060 0.8 % Europe 25,734 20,716 — 3,306 (708 ) 49,048 2.5 % Latin America and Caribbean 19,574 51,404 — — (5,537 ) 65,441 3.4 % Japan 39,925 4,582 — 3,221 (31 ) 47,697 2.5 % Canada 3,497 3,562 — 223 (87 ) 7,195 0.4 % Rest of the world (b) 19,947 57,290 — — (2,342 ) 74,895 3.9 % Sub-total, non United States 162,765 207,461 — 34,206 (9,429 ) 395,003 20.5 % Worldwide including United States (a) 147,338 62,652 — 167,767 (9,214 ) 368,543 19.0 % Other locations non-specific (c) 242,894 227,026 — 1,551 (14 ) 471,457 24.3 % Total $ 977,478 $ 562,384 $ 150,930 $ 266,253 $ (20,212 ) $ 1,936,833 100.0 % (a) Represents risks in two or more geographic zones. (b) Represents risks in one geographic zone. (c) The Other locations non-specific category refers to business for which an analysis of exposure by geographic zone is not applicable since these exposures can span multiple geographic areas and, in some instances, are not fixed locations. |
Business combination - Fair val
Business combination - Fair value of net assets acquired (Details) $ in Thousands | May 01, 2017USD ($)StatesAgent | Jun. 30, 2017USD ($) | Jun. 30, 2016USD ($) | Jun. 30, 2017USD ($) | Jun. 30, 2016USD ($) | Dec. 31, 2016USD ($) |
Business Acquisition [Line Items] | ||||||
Transaction expenses | $ 4,427 | $ 0 | $ 4,427 | $ 0 | ||
Net loss reserves | $ 42,575 | |||||
Goodwill | $ 227,701 | $ 227,701 | $ 196,758 | |||
Crop Risk Services | ||||||
Business Acquisition [Line Items] | ||||||
Number of agents | Agent | 1,170 | |||||
Number of states | States | 36 | |||||
Total purchase price | $ 185,576 | |||||
Cash and cash equivalents | 1,653 | |||||
Premiums receivable | 564,453 | |||||
Prepaid reinsurance premiums | 227,157 | |||||
Other assets | 157,146 | |||||
Assets acquired | 950,409 | |||||
Reinsurance balances payable | 294,201 | |||||
Unearned premiums | 406,649 | |||||
Net loss reserves | 42,575 | |||||
Other liabilities | 122,715 | |||||
Liabilities acquired | 866,140 | |||||
Excess purchase price | 101,307 | |||||
Total intangible assets | 63,921 | |||||
Goodwill | 30,943 | |||||
Deferred tax arising on Goodwill | $ 6,443 | |||||
Crop Risk Services | Intangible asset - Distribution channels | ||||||
Business Acquisition [Line Items] | ||||||
Estimated useful life | 10 years | |||||
Total intangible assets | $ 52,898 | |||||
Crop Risk Services | Intangible asset - Brand name | ||||||
Business Acquisition [Line Items] | ||||||
Estimated useful life | 10 years | |||||
Total intangible assets | $ 9,568 | |||||
Crop Risk Services | Intangible asset - Technology | ||||||
Business Acquisition [Line Items] | ||||||
Estimated useful life | 2 years | |||||
Total intangible assets | $ 1,455 |
Business combination - Reconcil
Business combination - Reconciliation of carrying amount of goodwill and intangible assets (Details) - USD ($) $ in Thousands | 6 Months Ended | |
Jun. 30, 2017 | Jun. 30, 2016 | |
Goodwill And Other Intangible Assets [Line Items] | ||
Goodwill, beginning of period | $ 196,758 | |
Additions | 30,943 | |
Goodwill, end of period | 227,701 | |
Finite lived intangible assets, beginning of period | 11,424 | |
Indefinite lived intangible assets, beginning of period | 104,168 | |
Intangible assets, beginning of period | 115,592 | |
Additions, finite lived | 63,921 | |
Amortization | (3,995) | $ (2,832) |
Finite lived intangible assets, end of period | 71,350 | |
Indefinite lived intangible assets, end of period | 104,168 | |
Intangible assets, end of period | 175,518 | |
Talbot | ||
Goodwill And Other Intangible Assets [Line Items] | ||
Goodwill, beginning of period | 20,393 | |
Additions | 0 | |
Goodwill, end of period | 20,393 | |
Intangible assets, beginning of period | 93,924 | |
Additions, finite lived | 0 | |
Amortization | (2,081) | |
Intangible assets, end of period | 91,843 | |
Western World | ||
Goodwill And Other Intangible Assets [Line Items] | ||
Goodwill, beginning of period | 176,365 | |
Additions | 30,943 | |
Goodwill, end of period | 207,308 | |
Intangible assets, beginning of period | 21,668 | |
Additions, finite lived | 63,921 | |
Amortization | (1,914) | |
Intangible assets, end of period | $ 83,675 |
Business combination - Suppleme
Business combination - Supplemental pro forma information (Details) - Crop Risk Services $ in Thousands | 2 Months Ended |
Jun. 30, 2017USD ($) | |
Business Acquisition [Line Items] | |
Net premiums written | $ 6,988 |
Net premiums earned | 50,044 |
Total underwriting deductions | 44,780 |
Underwriting income, before general and administrative expenses | $ 5,264 |
Investments (Amortized cost or
Investments (Amortized cost or cost and fair value of investments) (Details) - USD ($) $ in Thousands | Jun. 30, 2017 | Dec. 31, 2016 | |
Amortized cost (or cost) and estimated fair value of investments | |||
Fixed maturities, at amortized cost or cost | $ 5,424,562 | $ 5,584,599 | |
Short-term investments, at amortized cost or cost | 2,871,126 | 2,796,358 | |
Other investments, at amortized cost or cost | 416,996 | 380,130 | |
Investments in investment affiliates, at cost | 72,532 | 84,840 | |
Total investments | 8,785,216 | 8,845,927 | |
Fixed maturities, at fair value | 5,418,643 | 5,543,030 | |
Short-term investments, at fair value | 2,871,353 | 2,796,170 | |
Other investments, at fair value | 448,618 | 405,712 | |
Investments in investment affiliates, at fair value | 103,377 | 100,431 | |
Total investments | 8,841,991 | 8,845,343 | |
Managed investments | |||
Amortized cost (or cost) and estimated fair value of investments | |||
Fixed maturities, at amortized cost or cost | 5,120,850 | 5,427,113 | |
Short-term investments, at amortized cost or cost | 255,289 | 228,574 | |
Other investments, at amortized cost or cost | 416,996 | 380,130 | |
Investments in investment affiliates, at cost | [1] | 72,532 | 84,840 |
Total investments | 5,865,667 | 6,120,657 | |
Fixed maturities, at fair value | 5,113,689 | 5,384,699 | |
Short-term investments, at fair value | 255,516 | 228,386 | |
Other investments, at fair value | 448,618 | 405,712 | |
Investments in investment affiliates, at fair value | [1] | 103,377 | 100,431 |
Total investments | 5,921,200 | 6,119,228 | |
Managed investments | U.S. government and government agency | |||
Amortized cost (or cost) and estimated fair value of investments | |||
Fixed maturities, at amortized cost or cost | 649,214 | 809,392 | |
Fixed maturities, at fair value | 646,436 | 804,126 | |
Managed investments | Non-U.S. government and government agency | |||
Amortized cost (or cost) and estimated fair value of investments | |||
Fixed maturities, at amortized cost or cost | 293,002 | 245,651 | |
Fixed maturities, at fair value | 292,504 | 240,791 | |
Managed investments | U.S. states, municipalities and political subdivisions | |||
Amortized cost (or cost) and estimated fair value of investments | |||
Fixed maturities, at amortized cost or cost | 227,047 | 271,742 | |
Fixed maturities, at fair value | 227,949 | 271,830 | |
Managed investments | Agency residential mortgage-backed securities | |||
Amortized cost (or cost) and estimated fair value of investments | |||
Fixed maturities, at amortized cost or cost | 786,784 | 684,490 | |
Fixed maturities, at fair value | 783,006 | 679,595 | |
Managed investments | Non-agency residential mortgage-backed securities | |||
Amortized cost (or cost) and estimated fair value of investments | |||
Fixed maturities, at amortized cost or cost | 26,745 | 15,858 | |
Fixed maturities, at fair value | 26,683 | 15,477 | |
Managed investments | U.S. corporate | |||
Amortized cost (or cost) and estimated fair value of investments | |||
Fixed maturities, at amortized cost or cost | 1,378,884 | 1,540,036 | |
Fixed maturities, at fair value | 1,386,484 | 1,534,508 | |
Managed investments | Non-U.S. corporate | |||
Amortized cost (or cost) and estimated fair value of investments | |||
Fixed maturities, at amortized cost or cost | 380,317 | 418,520 | |
Fixed maturities, at fair value | 379,480 | 410,227 | |
Managed investments | Bank loans | |||
Amortized cost (or cost) and estimated fair value of investments | |||
Fixed maturities, at amortized cost or cost | 560,446 | 579,121 | |
Fixed maturities, at fair value | 552,901 | 570,399 | |
Managed investments | Asset-backed securities | |||
Amortized cost (or cost) and estimated fair value of investments | |||
Fixed maturities, at amortized cost or cost | 500,679 | 528,563 | |
Fixed maturities, at fair value | 502,056 | 526,814 | |
Managed investments | Commercial mortgage-backed securities | |||
Amortized cost (or cost) and estimated fair value of investments | |||
Fixed maturities, at amortized cost or cost | 317,732 | 333,740 | |
Fixed maturities, at fair value | 316,190 | 330,932 | |
Managed investments | Fund of hedge funds | |||
Amortized cost (or cost) and estimated fair value of investments | |||
Other investments, at amortized cost or cost | 0 | 1,457 | |
Other investments, at fair value | 0 | 955 | |
Managed investments | Hedge funds | |||
Amortized cost (or cost) and estimated fair value of investments | |||
Other investments, at amortized cost or cost | 11,292 | 11,292 | |
Other investments, at fair value | 18,303 | 17,381 | |
Managed investments | Private equity investments | |||
Amortized cost (or cost) and estimated fair value of investments | |||
Other investments, at amortized cost or cost | 79,871 | 66,383 | |
Other investments, at fair value | 100,391 | 82,627 | |
Managed investments | Fixed income investment funds | |||
Amortized cost (or cost) and estimated fair value of investments | |||
Other investments, at amortized cost or cost | 266,041 | 247,967 | |
Other investments, at fair value | 268,110 | 249,275 | |
Managed investments | Overseas deposits | |||
Amortized cost (or cost) and estimated fair value of investments | |||
Other investments, at amortized cost or cost | 57,874 | 50,106 | |
Other investments, at fair value | 57,874 | 50,106 | |
Managed investments | Mutual funds | |||
Amortized cost (or cost) and estimated fair value of investments | |||
Other investments, at amortized cost or cost | 1,918 | 2,925 | |
Other investments, at fair value | 3,940 | 5,368 | |
Non-managed investments | |||
Amortized cost (or cost) and estimated fair value of investments | |||
Fixed maturities, at amortized cost or cost | 303,712 | 157,486 | |
Short-term investments, at amortized cost or cost | 2,615,837 | 2,567,784 | |
Total investments | 2,919,549 | 2,725,270 | |
Fixed maturities, at fair value | 304,954 | 158,331 | |
Short-term investments, at fair value | 2,615,837 | 2,567,784 | |
Total investments | 2,920,791 | 2,726,115 | |
Non-managed investments | Catastrophe bonds | |||
Amortized cost (or cost) and estimated fair value of investments | |||
Fixed maturities, at amortized cost or cost | 303,712 | 157,486 | |
Fixed maturities, at fair value | $ 304,954 | $ 158,331 | |
[1] | The Company’s investments in investment affiliates have been treated as equity method investments with the corresponding gains and losses recorded inincome as “Income (loss) from investment affiliates.” |
Investments (Fixed maturities b
Investments (Fixed maturities by investment rating) (Details) - USD ($) $ in Thousands | Jun. 30, 2017 | Dec. 31, 2016 |
Fixed Maturities | ||
Fair value | $ 5,418,643 | $ 5,543,030 |
Percentage of total | 100.00% | 100.00% |
Managed investments | ||
Fixed Maturities | ||
Fair value | $ 5,113,689 | $ 5,384,699 |
Percentage of total | 94.40% | 97.10% |
Managed investments | Total investment grade fixed maturities | ||
Fixed Maturities | ||
Fair value | $ 4,494,243 | $ 4,766,696 |
Percentage of total | 82.90% | 86.00% |
Managed investments | Total investment grade fixed maturities | AAA | ||
Fixed Maturities | ||
Fair value | $ 2,318,254 | $ 2,405,597 |
Percentage of total | 42.80% | 43.40% |
Managed investments | Total investment grade fixed maturities | AA | ||
Fixed Maturities | ||
Fair value | $ 463,060 | $ 538,289 |
Percentage of total | 8.50% | 9.70% |
Managed investments | Total investment grade fixed maturities | A rating | ||
Fixed Maturities | ||
Fair value | $ 1,009,366 | $ 1,081,949 |
Percentage of total | 18.60% | 19.50% |
Managed investments | Total investment grade fixed maturities | BBB | ||
Fixed Maturities | ||
Fair value | $ 703,563 | $ 740,861 |
Percentage of total | 13.00% | 13.40% |
Managed investments | Total non-investment grade fixed maturities | ||
Fixed Maturities | ||
Fair value | $ 619,446 | $ 618,003 |
Percentage of total | 11.50% | 11.10% |
Managed investments | Total non-investment grade fixed maturities | BB | ||
Fixed Maturities | ||
Fair value | $ 229,023 | $ 213,568 |
Percentage of total | 4.20% | 3.90% |
Managed investments | Total non-investment grade fixed maturities | B | ||
Fixed Maturities | ||
Fair value | $ 176,743 | $ 177,737 |
Percentage of total | 3.30% | 3.20% |
Managed investments | Total non-investment grade fixed maturities | CCC | ||
Fixed Maturities | ||
Fair value | $ 11,114 | $ 13,371 |
Percentage of total | 0.20% | 0.20% |
Managed investments | Total non-investment grade fixed maturities | NR | ||
Fixed Maturities | ||
Fair value | $ 202,566 | $ 213,327 |
Percentage of total | 3.80% | 3.80% |
Non-managed investments | ||
Fixed Maturities | ||
Fair value | $ 304,954 | $ 158,331 |
Percentage of total | 5.60% | 2.90% |
Non-managed investments | Total non-investment grade fixed maturities | BB | ||
Fixed Maturities | ||
Fair value | $ 28,177 | $ 29,731 |
Percentage of total | 0.40% | 0.60% |
Non-managed investments | Total non-investment grade fixed maturities | B | ||
Fixed Maturities | ||
Fair value | $ 2,781 | $ 4,524 |
Percentage of total | 0.10% | 0.10% |
Non-managed investments | Total non-investment grade fixed maturities | NR | ||
Fixed Maturities | ||
Fair value | $ 273,996 | $ 124,076 |
Percentage of total | 5.10% | 2.20% |
Investments (Maturity profile o
Investments (Maturity profile of fixed maturity investments) (Details) - USD ($) $ in Thousands | Jun. 30, 2017 | Dec. 31, 2016 |
Maturity profile | ||
Amortized cost | $ 5,424,562 | $ 5,584,599 |
Fair value | 5,418,643 | 5,543,030 |
Managed investments | ||
Maturity profile | ||
Amortized cost | 5,120,850 | 5,427,113 |
Fair value | 5,113,689 | 5,384,699 |
Managed investments | Fixed maturities trading securities allocated to contractual maturity | ||
Maturity profile | ||
Amortized cost | 3,488,910 | 3,864,462 |
Fair value | 3,485,754 | 3,831,881 |
Managed investments | Due in one year or less | Fixed maturities trading securities allocated to contractual maturity | ||
Maturity profile | ||
Amortized cost | 497,473 | 350,733 |
Fair value | 492,256 | 346,161 |
Managed investments | Due after one year through five years | Fixed maturities trading securities allocated to contractual maturity | ||
Maturity profile | ||
Amortized cost | 2,464,093 | 2,954,856 |
Fair value | 2,461,870 | 2,933,146 |
Managed investments | Due after five years through ten years | Fixed maturities trading securities allocated to contractual maturity | ||
Maturity profile | ||
Amortized cost | 456,793 | 430,365 |
Fair value | 459,311 | 426,647 |
Managed investments | Due after ten years | Fixed maturities trading securities allocated to contractual maturity | ||
Maturity profile | ||
Amortized cost | 70,551 | 128,508 |
Fair value | 72,317 | 125,927 |
Managed investments | Asset backed and mortgaged backed securities | ||
Maturity profile | ||
Amortized cost | 1,631,940 | 1,562,651 |
Fair value | 1,627,935 | 1,552,818 |
Non-managed investments | ||
Maturity profile | ||
Amortized cost | 303,712 | 157,486 |
Fair value | 304,954 | 158,331 |
Non-managed investments | Due in one year or less | ||
Maturity profile | ||
Amortized cost | 33,662 | 43,664 |
Fair value | 32,441 | 45,418 |
Non-managed investments | Due after one year through five years | ||
Maturity profile | ||
Amortized cost | 263,300 | 112,572 |
Fair value | 265,735 | 111,656 |
Non-managed investments | Due after five years through ten years | ||
Maturity profile | ||
Amortized cost | 6,750 | 1,250 |
Fair value | 6,778 | 1,257 |
Non-managed investments | Due after ten years | ||
Maturity profile | ||
Amortized cost | 0 | 0 |
Fair value | $ 0 | $ 0 |
Investments (Other investments)
Investments (Other investments) (Details) - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended | |
Jun. 30, 2017 | Dec. 31, 2016 | ||
Investment [Line Items] | |||
Other investments, at fair value | $ 448,618 | $ 405,712 | |
Managed investments | |||
Investment [Line Items] | |||
Other investments, at fair value | 448,618 | 405,712 | |
Managed investments | Fund of hedge funds | |||
Investment [Line Items] | |||
Other investments, at fair value | 0 | 955 | |
Managed investments | Hedge funds | |||
Investment [Line Items] | |||
Other investments, at fair value | 18,303 | 17,381 | |
Managed investments | Private equity investments | |||
Investment [Line Items] | |||
Other investments, at fair value | 100,391 | 82,627 | |
Managed investments | Fixed income investment funds | |||
Investment [Line Items] | |||
Other investments, at fair value | 268,110 | 249,275 | |
Managed investments | Overseas deposits | |||
Investment [Line Items] | |||
Other investments, at fair value | 57,874 | 50,106 | |
Managed investments | Mutual funds | |||
Investment [Line Items] | |||
Other investments, at fair value | 3,940 | 5,368 | |
Recurring | Managed investments | |||
Investment [Line Items] | |||
Other investments, at fair value | 448,618 | 405,712 | |
Recurring | Managed investments | Fund of hedge funds | |||
Investment [Line Items] | |||
Other investments, at fair value | 955 | ||
Recurring | Managed investments | Hedge funds | |||
Investment [Line Items] | |||
Other investments, at fair value | 18,303 | 17,381 | |
Recurring | Managed investments | Private equity investments | |||
Investment [Line Items] | |||
Other investments, at fair value | 100,391 | 82,627 | |
Recurring | Managed investments | Fixed income investment funds | |||
Investment [Line Items] | |||
Other investments, at fair value | 268,110 | 249,275 | |
Recurring | Managed investments | Overseas deposits | |||
Investment [Line Items] | |||
Other investments, at fair value | 57,874 | 50,106 | |
Recurring | Managed investments | Mutual funds | |||
Investment [Line Items] | |||
Other investments, at fair value | 3,940 | 5,368 | |
Recurring | Managed investments | Subject to redemption restriction | |||
Investment [Line Items] | |||
Other investments, at fair value | 414,554 | 369,402 | |
Recurring | Managed investments | Subject to redemption restriction | Fund of hedge funds | |||
Investment [Line Items] | |||
Other investments, at fair value | 955 | ||
Recurring | Managed investments | Subject to redemption restriction | Hedge funds | |||
Investment [Line Items] | |||
Other investments, at fair value | 18,303 | 17,381 | |
Recurring | Managed investments | Subject to redemption restriction | Private equity investments | |||
Investment [Line Items] | |||
Other investments, at fair value | 100,391 | 82,627 | |
Recurring | Managed investments | Subject to redemption restriction | Fixed income investment funds | |||
Investment [Line Items] | |||
Other investments, at fair value | 237,986 | 218,333 | |
Recurring | Managed investments | Subject to redemption restriction | Overseas deposits | |||
Investment [Line Items] | |||
Other investments, at fair value | 57,874 | 50,106 | |
Recurring | Managed investments | Subject to redemption restriction | Mutual funds | |||
Investment [Line Items] | |||
Other investments, at fair value | 0 | 0 | |
Recurring | Managed investments | Not subject to redemption restriction | |||
Investment [Line Items] | |||
Other investments, at fair value | 34,064 | 36,310 | |
Recurring | Managed investments | Not subject to redemption restriction | Fund of hedge funds | |||
Investment [Line Items] | |||
Other investments, at fair value | 0 | ||
Recurring | Managed investments | Not subject to redemption restriction | Hedge funds | |||
Investment [Line Items] | |||
Other investments, at fair value | 0 | 0 | |
Recurring | Managed investments | Not subject to redemption restriction | Private equity investments | |||
Investment [Line Items] | |||
Other investments, at fair value | 0 | 0 | |
Recurring | Managed investments | Not subject to redemption restriction | Fixed income investment funds | |||
Investment [Line Items] | |||
Other investments, at fair value | $ 30,124 | $ 30,942 | |
Redemption frequency | Daily | Daily | |
Redemption notice period | [1] | 2 days | |
Recurring | Managed investments | Not subject to redemption restriction | Fixed income investment funds | Minimum | |||
Investment [Line Items] | |||
Redemption notice period | [1] | 1 day | |
Recurring | Managed investments | Not subject to redemption restriction | Fixed income investment funds | Maximum | |||
Investment [Line Items] | |||
Redemption notice period | [1] | 2 days | |
Recurring | Managed investments | Not subject to redemption restriction | Overseas deposits | |||
Investment [Line Items] | |||
Other investments, at fair value | $ 0 | $ 0 | |
Recurring | Managed investments | Not subject to redemption restriction | Mutual funds | |||
Investment [Line Items] | |||
Other investments, at fair value | $ 3,940 | $ 5,368 | |
Redemption frequency | Daily | Daily | |
Redemption notice period | [1] | 1 day | 1 day |
[1] | The redemption frequency and notice periods only apply to investments without redemption restrictions. |
Investments (Investment affilia
Investments (Investment affiliate rollforward) (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2017 | Jun. 30, 2016 | Jun. 30, 2017 | Jun. 30, 2016 | |
Schedule of Equity Method Investments [Line Items] | ||||
Investments in affiliates, beginning of period | $ 100,431 | |||
Income (loss) from investment affiliates | $ 9,466 | $ (589) | 14,654 | $ (4,702) |
Investments in affiliates, end of period | 103,377 | 103,377 | ||
Investment affiliate | ||||
Schedule of Equity Method Investments [Line Items] | ||||
Investments in affiliates, beginning of period | 94,697 | 84,135 | 100,431 | 87,673 |
Net capital contributions | (786) | 15,732 | (11,708) | 16,307 |
Income (loss) from investment affiliates | 9,466 | (589) | 14,654 | (4,702) |
Investments in affiliates, end of period | $ 103,377 | $ 99,278 | $ 103,377 | $ 99,278 |
Investments (Investment affil50
Investments (Investment affiliate details) (Details) - USD ($) $ in Thousands | Jun. 30, 2017 | Mar. 31, 2017 | Mar. 20, 2017 | Dec. 31, 2016 | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2015 | |
Schedule of Equity Method Investments [Line Items] | ||||||||
Investments in investment affiliates, at cost | $ 72,532 | $ 84,840 | ||||||
Investments in affiliates | 103,377 | 100,431 | ||||||
Aquiline Financial Services Fund II LP | ||||||||
Schedule of Equity Method Investments [Line Items] | ||||||||
Remaining capital commitment | 3,229 | 2,040 | ||||||
Aquiline Financial Services Fund III LP | ||||||||
Schedule of Equity Method Investments [Line Items] | ||||||||
Remaining capital commitment | 62,031 | 62,031 | ||||||
Aquiline Tech | ||||||||
Schedule of Equity Method Investments [Line Items] | ||||||||
Remaining capital commitment | 18,786 | $ 20,000 | ||||||
Investment affiliate | ||||||||
Schedule of Equity Method Investments [Line Items] | ||||||||
Investments in affiliates | 103,377 | $ 94,697 | 100,431 | $ 99,278 | $ 84,135 | $ 87,673 | ||
Investment affiliate | Aquiline Financial Services Fund II LP | ||||||||
Schedule of Equity Method Investments [Line Items] | ||||||||
Investments in investment affiliates, at cost | $ 33,349 | $ 46,871 | ||||||
Voting ownership % | 0.00% | 0.00% | ||||||
Equity ownership % | 8.10% | 8.10% | ||||||
Investments in affiliates | $ 52,010 | $ 61,999 | ||||||
Investment affiliate | Aquiline Financial Services Fund III LP | ||||||||
Schedule of Equity Method Investments [Line Items] | ||||||||
Investments in investment affiliates, at cost | $ 37,969 | $ 37,969 | ||||||
Voting ownership % | 0.00% | 0.00% | ||||||
Equity ownership % | 9.00% | 9.00% | ||||||
Investments in affiliates | $ 50,153 | $ 38,432 | ||||||
Investment affiliate | Aquiline Tech | ||||||||
Schedule of Equity Method Investments [Line Items] | ||||||||
Investments in investment affiliates, at cost | $ 1,214 | |||||||
Voting ownership % | 0.00% | |||||||
Equity ownership % | 16.40% | |||||||
Investments in affiliates | $ 1,214 | |||||||
Managed investments | ||||||||
Schedule of Equity Method Investments [Line Items] | ||||||||
Investments in investment affiliates, at cost | [1] | 72,532 | 84,840 | |||||
Investments in affiliates | [1] | $ 103,377 | $ 100,431 | |||||
[1] | The Company’s investments in investment affiliates have been treated as equity method investments with the corresponding gains and losses recorded inincome as “Income (loss) from investment affiliates.” |
Investments (Components of net
Investments (Components of net investment income) (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2017 | Jun. 30, 2016 | Jun. 30, 2017 | Jun. 30, 2016 | |
Net investment income | ||||
Net investment income | $ 44,241 | $ 39,257 | $ 84,455 | $ 68,718 |
Managed investments | ||||
Net investment income | ||||
Total gross investment income | 39,506 | 39,039 | 78,670 | 68,798 |
Investment expenses | (1,443) | (2,190) | (4,415) | (4,026) |
Net investment income | 38,063 | 36,849 | 74,255 | 64,772 |
Managed investments | Fixed maturities and short term investments | ||||
Net investment income | ||||
Total gross investment income | 31,312 | 30,621 | 62,983 | 58,638 |
Managed investments | Other investments | ||||
Net investment income | ||||
Total gross investment income | 7,571 | 8,026 | 14,441 | 8,898 |
Managed investments | Restricted cash, cash and cash equivalents | ||||
Net investment income | ||||
Total gross investment income | 616 | 380 | 1,226 | 1,245 |
Managed investments | Securities lending income | ||||
Net investment income | ||||
Total gross investment income | 7 | 12 | 20 | 17 |
Non-managed investments | ||||
Net investment income | ||||
Net investment income | 6,178 | 2,408 | 10,200 | 3,946 |
Non-managed investments | Fixed maturities and short term investments | ||||
Net investment income | ||||
Total gross investment income | 4,500 | 1,977 | 7,560 | 3,272 |
Non-managed investments | Restricted cash, cash and cash equivalents | ||||
Net investment income | ||||
Total gross investment income | $ 1,678 | $ 431 | $ 2,640 | $ 674 |
Investments (Realized and unrea
Investments (Realized and unrealized gains) (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2017 | Jun. 30, 2016 | Jun. 30, 2017 | Jun. 30, 2016 | |
Fixed Maturities Short Term And Other Investments And Cash Equivalents [Abstract] | ||||
Net realized gains (losses) on investments | $ 2,274 | $ 2,724 | $ 1,110 | $ 2,140 |
Change in net unrealized gains on investments | 16,321 | 31,428 | 29,669 | 78,872 |
Total net realized and change in net unrealized gains (losses) on investments | 18,595 | 34,152 | 30,779 | 81,012 |
Managed investments | ||||
Fixed Maturities Short Term And Other Investments And Cash Equivalents [Abstract] | ||||
Gross realized gains | 5,175 | 3,306 | 7,865 | 6,523 |
Gross realized losses | (2,906) | (786) | (8,488) | (5,089) |
Net realized gains (losses) on investments | 2,269 | 2,520 | (623) | 1,434 |
Change in net unrealized gains on investments | 15,942 | 30,052 | 30,291 | 77,130 |
Total net realized and change in net unrealized gains (losses) on investments | 18,211 | 32,572 | 29,668 | 78,564 |
Non-managed investments | ||||
Fixed Maturities Short Term And Other Investments And Cash Equivalents [Abstract] | ||||
Gross realized gains | 5 | 204 | 1,733 | 715 |
Gross realized losses | 0 | 0 | 0 | (9) |
Net realized gains (losses) on investments | 5 | 204 | 1,733 | 706 |
Change in net unrealized gains on investments | 379 | 1,376 | (622) | 1,742 |
Total net realized and change in net unrealized gains (losses) on investments | $ 384 | $ 1,580 | $ 1,111 | $ 2,448 |
Investments (Narrative) (Detail
Investments (Narrative) (Details) $ in Thousands | 6 Months Ended | |
Jun. 30, 2017USD ($)funds | Dec. 31, 2016USD ($) | |
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Other investments, at fair value | $ 448,618 | $ 405,712 |
Cash, cash equivalents, restricted cash and investments pledged as collateral | 5,221,174 | 5,173,966 |
Investments held in trust | 5,156,173 | 5,068,092 |
Investments and cash pledged as collateral | $ 404,516 | 442,184 |
Minimum | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Remaining liquidation period | 5 years | |
Maximum | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Remaining liquidation period | 10 years | |
Managed investments | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Other investments, at fair value | $ 448,618 | 405,712 |
Recurring | Managed investments | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Other investments, at fair value | 448,618 | 405,712 |
Recurring | Managed investments | Subject to redemption restriction | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Other investments, at fair value | $ 414,554 | 369,402 |
Recurring | Managed investments | Subject to redemption restriction | Investment fund A | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Other investments number of funds | funds | 1 | |
Other investments, at fair value | $ 192,437 | $ 184,749 |
Redemption restriction period | 2 years |
Fair value measurements (Fair v
Fair value measurements (Fair value hierarchy) (Details) - USD ($) $ in Thousands | Jun. 30, 2017 | Dec. 31, 2016 | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Fixed maturities, at fair value | $ 5,418,643 | $ 5,543,030 | |
Short-term investments, at fair value | 2,871,353 | 2,796,170 | |
Other investments, at fair value | 448,618 | 405,712 | |
Investments in affiliates | 103,377 | 100,431 | |
Total investments | 8,841,991 | 8,845,343 | |
Managed investments | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Fixed maturities, at fair value | 5,113,689 | 5,384,699 | |
Short-term investments, at fair value | 255,516 | 228,386 | |
Other investments, at fair value | 448,618 | 405,712 | |
Investments in affiliates | [1] | 103,377 | 100,431 |
Total investments | 5,921,200 | 6,119,228 | |
Managed investments | U.S. government and government agency | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Fixed maturities, at fair value | 646,436 | 804,126 | |
Managed investments | Non-US government and government agency | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Fixed maturities, at fair value | 292,504 | 240,791 | |
Managed investments | U.S. states, municipalities and political subdivisions | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Fixed maturities, at fair value | 227,949 | 271,830 | |
Managed investments | Agency residential mortgage-backed securities | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Fixed maturities, at fair value | 783,006 | 679,595 | |
Managed investments | Non-Agency residential mortgage-backed securities | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Fixed maturities, at fair value | 26,683 | 15,477 | |
Managed investments | U.S. corporate | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Fixed maturities, at fair value | 1,386,484 | 1,534,508 | |
Managed investments | Non-U.S. corporate | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Fixed maturities, at fair value | 379,480 | 410,227 | |
Managed investments | Bank loans | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Fixed maturities, at fair value | 552,901 | 570,399 | |
Managed investments | Asset-backed securities | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Fixed maturities, at fair value | 502,056 | 526,814 | |
Managed investments | Commercial mortgage-backed securities | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Fixed maturities, at fair value | 316,190 | 330,932 | |
Managed investments | Fund of hedge funds | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Other investments, at fair value | 0 | 955 | |
Managed investments | Hedge funds | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Other investments, at fair value | 18,303 | 17,381 | |
Managed investments | Private equity investments | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Other investments, at fair value | 100,391 | 82,627 | |
Managed investments | Fixed income investment funds | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Other investments, at fair value | 268,110 | 249,275 | |
Managed investments | Overseas deposits | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Other investments, at fair value | 57,874 | 50,106 | |
Managed investments | Mutual funds | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Other investments, at fair value | 3,940 | 5,368 | |
Non-managed investments | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Fixed maturities, at fair value | 304,954 | 158,331 | |
Short-term investments, at fair value | 2,615,837 | 2,567,784 | |
Total investments | 2,920,791 | 2,726,115 | |
Non-managed investments | Catastrophe bonds | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Fixed maturities, at fair value | 304,954 | 158,331 | |
Recurring | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Total investments | 8,841,991 | 8,845,343 | |
Recurring | Level 1 | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Total investments | 2,864,276 | 2,777,435 | |
Recurring | Level 2 | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Total investments | 5,131,679 | 5,279,272 | |
Recurring | Level 3 | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Total investments | 344,518 | 330,970 | |
Recurring | Managed investments | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Fixed maturities, at fair value | 5,113,689 | 5,384,699 | |
Short-term investments, at fair value | 255,516 | 228,386 | |
Other investments, at fair value | 448,618 | 405,712 | |
Total investments | 5,921,200 | 6,119,228 | |
Recurring | Managed investments | U.S. government and government agency | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Fixed maturities, at fair value | 646,436 | 804,126 | |
Recurring | Managed investments | Non-US government and government agency | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Fixed maturities, at fair value | 292,504 | 240,791 | |
Recurring | Managed investments | U.S. states, municipalities and political subdivisions | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Fixed maturities, at fair value | 227,949 | 271,830 | |
Recurring | Managed investments | Agency residential mortgage-backed securities | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Fixed maturities, at fair value | 783,006 | 679,595 | |
Recurring | Managed investments | Non-Agency residential mortgage-backed securities | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Fixed maturities, at fair value | 26,683 | 15,477 | |
Recurring | Managed investments | U.S. corporate | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Fixed maturities, at fair value | 1,386,484 | 1,534,508 | |
Recurring | Managed investments | Non-U.S. corporate | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Fixed maturities, at fair value | 379,480 | 410,227 | |
Recurring | Managed investments | Bank loans | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Fixed maturities, at fair value | 552,901 | 570,399 | |
Recurring | Managed investments | Asset-backed securities | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Fixed maturities, at fair value | 502,056 | 526,814 | |
Recurring | Managed investments | Commercial mortgage-backed securities | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Fixed maturities, at fair value | 316,190 | 330,932 | |
Recurring | Managed investments | Fund of hedge funds | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Other investments, at fair value | 955 | ||
Recurring | Managed investments | Hedge funds | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Other investments, at fair value | 18,303 | 17,381 | |
Recurring | Managed investments | Private equity investments | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Other investments, at fair value | 100,391 | 82,627 | |
Recurring | Managed investments | Fixed income investment funds | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Other investments, at fair value | 268,110 | 249,275 | |
Recurring | Managed investments | Overseas deposits | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Other investments, at fair value | 57,874 | 50,106 | |
Recurring | Managed investments | Mutual funds | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Other investments, at fair value | 3,940 | 5,368 | |
Recurring | Managed investments | Level 1 | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Fixed maturities, at fair value | 0 | 0 | |
Short-term investments, at fair value | 248,439 | 209,651 | |
Other investments, at fair value | 0 | 0 | |
Total investments | 248,439 | 209,651 | |
Recurring | Managed investments | Level 1 | U.S. government and government agency | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Fixed maturities, at fair value | 0 | 0 | |
Recurring | Managed investments | Level 1 | Non-US government and government agency | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Fixed maturities, at fair value | 0 | 0 | |
Recurring | Managed investments | Level 1 | U.S. states, municipalities and political subdivisions | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Fixed maturities, at fair value | 0 | 0 | |
Recurring | Managed investments | Level 1 | Agency residential mortgage-backed securities | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Fixed maturities, at fair value | 0 | 0 | |
Recurring | Managed investments | Level 1 | Non-Agency residential mortgage-backed securities | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Fixed maturities, at fair value | 0 | 0 | |
Recurring | Managed investments | Level 1 | U.S. corporate | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Fixed maturities, at fair value | 0 | 0 | |
Recurring | Managed investments | Level 1 | Non-U.S. corporate | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Fixed maturities, at fair value | 0 | 0 | |
Recurring | Managed investments | Level 1 | Bank loans | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Fixed maturities, at fair value | 0 | 0 | |
Recurring | Managed investments | Level 1 | Asset-backed securities | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Fixed maturities, at fair value | 0 | 0 | |
Recurring | Managed investments | Level 1 | Commercial mortgage-backed securities | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Fixed maturities, at fair value | 0 | 0 | |
Recurring | Managed investments | Level 1 | Fund of hedge funds | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Other investments, at fair value | 0 | ||
Recurring | Managed investments | Level 1 | Hedge funds | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Other investments, at fair value | 0 | 0 | |
Recurring | Managed investments | Level 1 | Private equity investments | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Other investments, at fair value | 0 | 0 | |
Recurring | Managed investments | Level 1 | Fixed income investment funds | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Other investments, at fair value | 0 | 0 | |
Recurring | Managed investments | Level 1 | Overseas deposits | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Other investments, at fair value | 0 | 0 | |
Recurring | Managed investments | Level 1 | Mutual funds | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Other investments, at fair value | 0 | 0 | |
Recurring | Managed investments | Level 2 | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Fixed maturities, at fair value | 4,853,596 | 5,114,272 | |
Short-term investments, at fair value | 7,077 | 18,735 | |
Other investments, at fair value | 34,077 | 36,309 | |
Total investments | 4,894,750 | 5,169,316 | |
Recurring | Managed investments | Level 2 | U.S. government and government agency | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Fixed maturities, at fair value | 646,436 | 804,126 | |
Recurring | Managed investments | Level 2 | Non-US government and government agency | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Fixed maturities, at fair value | 292,504 | 240,791 | |
Recurring | Managed investments | Level 2 | U.S. states, municipalities and political subdivisions | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Fixed maturities, at fair value | 227,949 | 271,830 | |
Recurring | Managed investments | Level 2 | Agency residential mortgage-backed securities | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Fixed maturities, at fair value | 783,006 | 679,595 | |
Recurring | Managed investments | Level 2 | Non-Agency residential mortgage-backed securities | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Fixed maturities, at fair value | 26,683 | 15,477 | |
Recurring | Managed investments | Level 2 | U.S. corporate | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Fixed maturities, at fair value | 1,386,484 | 1,534,508 | |
Recurring | Managed investments | Level 2 | Non-U.S. corporate | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Fixed maturities, at fair value | 379,480 | 410,227 | |
Recurring | Managed investments | Level 2 | Bank loans | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Fixed maturities, at fair value | 328,729 | 323,903 | |
Recurring | Managed investments | Level 2 | Asset-backed securities | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Fixed maturities, at fair value | 466,135 | 502,883 | |
Recurring | Managed investments | Level 2 | Commercial mortgage-backed securities | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Fixed maturities, at fair value | 316,190 | 330,932 | |
Recurring | Managed investments | Level 2 | Fund of hedge funds | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Other investments, at fair value | 0 | ||
Recurring | Managed investments | Level 2 | Hedge funds | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Other investments, at fair value | 0 | 0 | |
Recurring | Managed investments | Level 2 | Private equity investments | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Other investments, at fair value | 0 | 0 | |
Recurring | Managed investments | Level 2 | Fixed income investment funds | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Other investments, at fair value | 30,137 | 30,941 | |
Recurring | Managed investments | Level 2 | Overseas deposits | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Other investments, at fair value | 0 | 0 | |
Recurring | Managed investments | Level 2 | Mutual funds | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Other investments, at fair value | 3,940 | 5,368 | |
Recurring | Managed investments | Level 3 | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Fixed maturities, at fair value | 260,093 | 270,427 | |
Short-term investments, at fair value | 0 | 0 | |
Other investments, at fair value | 16,400 | 12,168 | |
Total investments | 276,493 | 282,595 | |
Recurring | Managed investments | Level 3 | U.S. government and government agency | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Fixed maturities, at fair value | 0 | 0 | |
Recurring | Managed investments | Level 3 | Non-US government and government agency | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Fixed maturities, at fair value | 0 | 0 | |
Recurring | Managed investments | Level 3 | U.S. states, municipalities and political subdivisions | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Fixed maturities, at fair value | 0 | 0 | |
Recurring | Managed investments | Level 3 | Agency residential mortgage-backed securities | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Fixed maturities, at fair value | 0 | 0 | |
Recurring | Managed investments | Level 3 | Non-Agency residential mortgage-backed securities | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Fixed maturities, at fair value | 0 | 0 | |
Recurring | Managed investments | Level 3 | U.S. corporate | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Fixed maturities, at fair value | 0 | 0 | |
Recurring | Managed investments | Level 3 | Non-U.S. corporate | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Fixed maturities, at fair value | 0 | 0 | |
Recurring | Managed investments | Level 3 | Bank loans | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Fixed maturities, at fair value | 224,172 | 246,496 | |
Recurring | Managed investments | Level 3 | Asset-backed securities | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Fixed maturities, at fair value | 35,921 | 23,931 | |
Recurring | Managed investments | Level 3 | Commercial mortgage-backed securities | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Fixed maturities, at fair value | 0 | 0 | |
Recurring | Managed investments | Level 3 | Fund of hedge funds | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Other investments, at fair value | 0 | ||
Recurring | Managed investments | Level 3 | Hedge funds | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Other investments, at fair value | 0 | 0 | |
Recurring | Managed investments | Level 3 | Private equity investments | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Other investments, at fair value | 0 | 0 | |
Recurring | Managed investments | Level 3 | Fixed income investment funds | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Other investments, at fair value | 16,400 | 12,168 | |
Recurring | Managed investments | Level 3 | Overseas deposits | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Other investments, at fair value | 0 | 0 | |
Recurring | Managed investments | Level 3 | Mutual funds | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Other investments, at fair value | 0 | 0 | |
Recurring | Non-managed investments | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Short-term investments, at fair value | 2,615,837 | 2,567,784 | |
Total investments | 2,920,791 | 2,726,115 | |
Recurring | Non-managed investments | Catastrophe bonds | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Fixed maturities, at fair value | 304,954 | 158,331 | |
Recurring | Non-managed investments | Level 1 | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Short-term investments, at fair value | 2,615,837 | 2,567,784 | |
Total investments | 2,615,837 | 2,567,784 | |
Recurring | Non-managed investments | Level 1 | Catastrophe bonds | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Fixed maturities, at fair value | 0 | 0 | |
Recurring | Non-managed investments | Level 2 | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Short-term investments, at fair value | 0 | 0 | |
Total investments | 236,929 | 109,956 | |
Recurring | Non-managed investments | Level 2 | Catastrophe bonds | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Fixed maturities, at fair value | 236,929 | 109,956 | |
Recurring | Non-managed investments | Level 3 | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Short-term investments, at fair value | 0 | 0 | |
Total investments | 68,025 | 48,375 | |
Recurring | Non-managed investments | Level 3 | Catastrophe bonds | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Fixed maturities, at fair value | 68,025 | 48,375 | |
Recurring | Fair value based on NAV practical expedient | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Total investments | [2] | 398,141 | 357,235 |
Recurring | Fair value based on NAV practical expedient | Managed investments | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Fixed maturities, at fair value | [2] | 0 | 0 |
Short-term investments, at fair value | [2] | 0 | 0 |
Other investments, at fair value | [2] | 398,141 | 357,235 |
Total investments | [2] | 398,141 | 357,235 |
Recurring | Fair value based on NAV practical expedient | Managed investments | U.S. government and government agency | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Fixed maturities, at fair value | [2] | 0 | 0 |
Recurring | Fair value based on NAV practical expedient | Managed investments | Non-US government and government agency | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Fixed maturities, at fair value | [2] | 0 | 0 |
Recurring | Fair value based on NAV practical expedient | Managed investments | U.S. states, municipalities and political subdivisions | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Fixed maturities, at fair value | [2] | 0 | 0 |
Recurring | Fair value based on NAV practical expedient | Managed investments | Agency residential mortgage-backed securities | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Fixed maturities, at fair value | [2] | 0 | 0 |
Recurring | Fair value based on NAV practical expedient | Managed investments | Non-Agency residential mortgage-backed securities | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Fixed maturities, at fair value | [2] | 0 | 0 |
Recurring | Fair value based on NAV practical expedient | Managed investments | U.S. corporate | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Fixed maturities, at fair value | [2] | 0 | 0 |
Recurring | Fair value based on NAV practical expedient | Managed investments | Non-U.S. corporate | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Fixed maturities, at fair value | [2] | 0 | 0 |
Recurring | Fair value based on NAV practical expedient | Managed investments | Bank loans | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Fixed maturities, at fair value | [2] | 0 | 0 |
Recurring | Fair value based on NAV practical expedient | Managed investments | Asset-backed securities | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Fixed maturities, at fair value | [2] | 0 | 0 |
Recurring | Fair value based on NAV practical expedient | Managed investments | Commercial mortgage-backed securities | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Fixed maturities, at fair value | [2] | 0 | 0 |
Recurring | Fair value based on NAV practical expedient | Managed investments | Fund of hedge funds | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Other investments, at fair value | [2] | 955 | |
Recurring | Fair value based on NAV practical expedient | Managed investments | Hedge funds | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Other investments, at fair value | [2] | 18,303 | 17,381 |
Recurring | Fair value based on NAV practical expedient | Managed investments | Private equity investments | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Other investments, at fair value | [2] | 100,391 | 82,627 |
Recurring | Fair value based on NAV practical expedient | Managed investments | Fixed income investment funds | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Other investments, at fair value | [2] | 221,573 | 206,166 |
Recurring | Fair value based on NAV practical expedient | Managed investments | Overseas deposits | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Other investments, at fair value | [2] | 57,874 | 50,106 |
Recurring | Fair value based on NAV practical expedient | Managed investments | Mutual funds | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Other investments, at fair value | [2] | 0 | 0 |
Recurring | Fair value based on NAV practical expedient | Non-managed investments | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Short-term investments, at fair value | [2] | 0 | 0 |
Total investments | [2] | 0 | 0 |
Recurring | Fair value based on NAV practical expedient | Non-managed investments | Catastrophe bonds | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Fixed maturities, at fair value | [2] | $ 0 | $ 0 |
[1] | The Company’s investments in investment affiliates have been treated as equity method investments with the corresponding gains and losses recorded inincome as “Income (loss) from investment affiliates.” | ||
[2] | In accordance with ASC Topic 820 “Fair Value Measurements,” investments measured at fair value using the net asset value (“NAV”) per share (or its equivalent) practical expedient have not been classified in the fair value hierarchy. |
Fair value measurements (Level
Fair value measurements (Level 3 rollforward) (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2017 | Jun. 30, 2016 | Jun. 30, 2017 | Jun. 30, 2016 | |
Reconciliation of beginning and ending balances for all investments measured at fair value on recurring basis | ||||
Level 3 investments - beginning of period | $ 0 | |||
Settlements | 0 | |||
Recurring | Level 3 | ||||
Reconciliation of beginning and ending balances for all investments measured at fair value on recurring basis | ||||
Level 3 investments - beginning of period | $ 345,812 | 292,116 | $ 330,970 | $ 245,837 |
Purchases | 36,242 | 21,268 | 120,509 | 86,643 |
Sales | (53) | (53) | (2,389) | |
Settlements | (38,701) | (17,784) | (110,199) | (34,158) |
Net realized losses | 216 | 3,350 | ||
Change in net unrealized (losses) gains | 12 | (2,551) | (1,049) | (2,884) |
Amortization | 990 | 990 | ||
Level 3 investments - end of period | 344,518 | 293,049 | 344,518 | 293,049 |
Recurring | Level 3 | Bank loan portfolio | ||||
Reconciliation of beginning and ending balances for all investments measured at fair value on recurring basis | ||||
Level 3 investments - beginning of period | 236,694 | 255,011 | 246,496 | 232,337 |
Purchases | 16,757 | 8,885 | 39,933 | 50,988 |
Sales | 0 | 0 | (2,389) | |
Settlements | (28,893) | (17,784) | (62,003) | (34,033) |
Net realized losses | 0 | 0 | ||
Change in net unrealized (losses) gains | (386) | (2,964) | (254) | (3,755) |
Amortization | 0 | 0 | ||
Level 3 investments - end of period | 224,172 | 243,148 | 224,172 | 243,148 |
Recurring | Level 3 | Catastrophe bonds | ||||
Reconciliation of beginning and ending balances for all investments measured at fair value on recurring basis | ||||
Level 3 investments - beginning of period | 72,676 | 37,105 | 48,375 | 13,500 |
Purchases | 5,000 | 0 | 66,091 | 23,272 |
Sales | 0 | 0 | 0 | |
Settlements | (10,216) | 0 | (48,996) | (125) |
Net realized losses | 216 | 3,350 | ||
Change in net unrealized (losses) gains | 349 | 413 | (795) | 871 |
Amortization | 0 | 0 | ||
Level 3 investments - end of period | 68,025 | 37,518 | 68,025 | 37,518 |
Recurring | Level 3 | Fixed income investment funds | ||||
Reconciliation of beginning and ending balances for all investments measured at fair value on recurring basis | ||||
Level 3 investments - beginning of period | 12,560 | 12,168 | ||
Purchases | 3,432 | 3,432 | ||
Sales | 0 | 0 | ||
Settlements | 408 | 800 | ||
Net realized losses | 0 | 0 | ||
Change in net unrealized (losses) gains | 0 | 0 | ||
Amortization | 0 | 0 | ||
Level 3 investments - end of period | 16,400 | 16,400 | ||
Recurring | Level 3 | Asset-backed securities | ||||
Reconciliation of beginning and ending balances for all investments measured at fair value on recurring basis | ||||
Level 3 investments - beginning of period | 23,882 | 23,931 | 0 | |
Purchases | 11,053 | 12,383 | 11,053 | 12,383 |
Sales | (53) | (53) | 0 | |
Settlements | 0 | 0 | 0 | |
Net realized losses | 0 | 0 | ||
Change in net unrealized (losses) gains | 49 | 0 | 0 | 0 |
Amortization | 990 | 990 | ||
Level 3 investments - end of period | $ 35,921 | $ 12,383 | $ 35,921 | $ 12,383 |
Fair value measurements (Narrat
Fair value measurements (Narrative) (Details) - USD ($) $ in Thousands | 6 Months Ended | |
Jun. 30, 2017 | Dec. 31, 2016 | |
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Trading Securities | $ 8,841,991 | $ 8,845,343 |
Managed investments | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Trading Securities | 5,921,200 | 6,119,228 |
Recurring | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Trading Securities | $ 8,841,991 | 8,845,343 |
Recurring | Hedge fund side pocket | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Investment Time Lag Reporting | 3 months | |
Recurring | Hedge funds | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Investment Time Lag Reporting | 3 months | |
Recurring | Minimum | Private equity investments | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Investment Time Lag Reporting | 3 months | |
Recurring | Minimum | Fixed income investment funds | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Investment Time Lag Reporting | 1 month | |
Recurring | Maximum | Private equity investments | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Investment Time Lag Reporting | 6 months | |
Recurring | Maximum | Fixed income investment funds | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Investment Time Lag Reporting | 3 months | |
Recurring | Managed investments | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Trading Securities | $ 5,921,200 | 6,119,228 |
Recurring | Level 3 | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Trading Securities | 344,518 | 330,970 |
Recurring | Level 3 | Managed investments | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Trading Securities | $ 276,493 | $ 282,595 |
Ratio of Level 3 investments to total investments (percent) | 4.70% | 4.60% |
Variable interest entities (Not
Variable interest entities (Notes payable to AlphaCat investors) (Details) - Variable interest entities, primary beneficiary - AlphaCat ILS funds - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | 12 Months Ended | ||
Jun. 30, 2017 | Jun. 30, 2016 | Jun. 30, 2017 | Jun. 30, 2016 | Dec. 31, 2016 | |
Variable Interest Entity [Line Items] | |||||
Notes payable to AlphaCat investors, beginning of period | $ 446,576 | $ 323,510 | $ 278,202 | $ 75,493 | $ 75,493 |
Notes payable to AlphaCat investors recognized on deconsolidation of AlphaCat ILS fund | 423,269 | 423,269 | |||
Issuance of notes payable to AlphaCat investors | 336,747 | 135,426 | 714,077 | 392,431 | |
Redemption of notes payable to AlphaCat investors | (140,150) | (88,079) | (349,106) | (97,684) | |
Foreign exchange gains | (283) | 125 | (283) | 742 | |
Notes payable to AlphaCat investors, end of period | 1,066,159 | 370,982 | 1,066,159 | 370,982 | 278,202 |
Variable Funding Notes | |||||
Variable Interest Entity [Line Items] | |||||
Notes payable to AlphaCat investors, beginning of period | 343,256 | 261,793 | 278,202 | 75,493 | 75,493 |
Notes payable to AlphaCat investors recognized on deconsolidation of AlphaCat ILS fund | 423,269 | 423,269 | |||
Issuance of notes payable to AlphaCat investors | 267,867 | 102,817 | 541,877 | 298,105 | |
Redemption of notes payable to AlphaCat investors | (140,150) | (88,079) | (349,106) | (97,684) | |
Foreign exchange gains | (283) | 125 | (283) | 742 | |
Notes payable to AlphaCat investors, end of period | 893,959 | 276,656 | 893,959 | 276,656 | 278,202 |
Structured Notes | |||||
Variable Interest Entity [Line Items] | |||||
Notes payable to AlphaCat investors, beginning of period | 103,320 | 61,717 | 0 | 0 | 0 |
Notes payable to AlphaCat investors recognized on deconsolidation of AlphaCat ILS fund | 0 | 0 | |||
Issuance of notes payable to AlphaCat investors | 68,880 | 32,609 | 172,200 | 94,326 | |
Redemption of notes payable to AlphaCat investors | 0 | 0 | 0 | 0 | |
Foreign exchange gains | 0 | 0 | 0 | 0 | |
Notes payable to AlphaCat investors, end of period | $ 172,200 | $ 94,326 | $ 172,200 | $ 94,326 | $ 0 |
Variable interest entities (Ass
Variable interest entities (Assets and liabilities of consolidated VIEs) (Details) - Variable interest entities, primary beneficiary - USD ($) $ in Thousands | Jun. 30, 2017 | Dec. 31, 2016 | |
AlphaCat sidecars | |||
Variable Interest Entity [Line Items] | |||
Total assets | $ 29,330 | $ 40,041 | |
Total liabilities | 3,455 | 3,206 | |
AlphaCat ILS funds - Lower Risk | |||
Variable Interest Entity [Line Items] | |||
Total assets | [1] | 951,428 | 1,498,276 |
Total liabilities | [1] | 13,371 | 42,457 |
AlphaCat ILS funds - Higher Risk | |||
Variable Interest Entity [Line Items] | |||
Total assets | [1] | 1,037,568 | 972,633 |
Total liabilities | [1] | 207,300 | 381,332 |
AlphaCat Re and AlphaCat Master Fund | |||
Variable Interest Entity [Line Items] | |||
Total assets | 2,828,096 | 2,510,415 | |
Total liabilities | 2,827,926 | 2,510,245 | |
BetaCat ILS funds | |||
Variable Interest Entity [Line Items] | |||
Total assets | 146,098 | 82,471 | |
Total liabilities | $ 278 | $ 30,663 | |
[1] | Lower risk AlphaCat ILS funds have a maximum permitted portfolio expected loss of less than 7%, whereas higher risk AlphaCat ILS funds have a maximum permitted portfolio expected loss of greater than 7%. Expected loss represents the average annual loss over the set of simulation scenarios divided by the total limit. |
Variable interest entities (Nar
Variable interest entities (Narrative) (Details) $ in Thousands | 3 Months Ended | 6 Months Ended | 12 Months Ended | ||
Jun. 30, 2017USD ($)fundssubsidiaries | Jun. 30, 2016USD ($) | Jun. 30, 2017USD ($)fundssubsidiaries | Jun. 30, 2016USD ($) | Dec. 31, 2016USD ($) | |
Variable Interest Entity [Line Items] | |||||
Loss on deconsolidation of AlphaCat ILS fund | $ (402) | $ 0 | |||
(Income) attributable to AlphaCat investors | $ 11,830 | $ 6,114 | 19,333 | 10,714 | |
Accounts payable and accrued expenses | |||||
Variable Interest Entity [Line Items] | |||||
(Income) attributable to AlphaCat investors | $ 63,352 | 17,068 | |||
Variable interest entities, primary beneficiary | |||||
Variable Interest Entity [Line Items] | |||||
Variable funding notes, typical minimum duration | 12 months | ||||
AlphaCat ILS funds | Variable interest entities, primary beneficiary | |||||
Variable Interest Entity [Line Items] | |||||
Variable Interest Entity Redemption Of Notes Payable To AlphaCat Investors | $ 140,150 | 88,079 | $ 349,106 | $ 97,684 | |
Risk profile percentage | 7.00% | ||||
AlphaCat ILS funds | Variable interest entities, primary beneficiary | Accounts payable and accrued expenses | |||||
Variable Interest Entity [Line Items] | |||||
Variable Interest Entity Redemption Of Notes Payable To AlphaCat Investors | $ 1,000 | ||||
ILS fund issuing structured notes | |||||
Variable Interest Entity [Line Items] | |||||
Number of AlphaCat ILS funds | funds | 1 | 1 | |||
BetaCat ILS funds | Variable interest entities, primary beneficiary | |||||
Variable Interest Entity [Line Items] | |||||
Number of consolidated VIE BetaCat ILS funds | subsidiaries | 2 | 2 | |||
Structured Notes | |||||
Variable Interest Entity [Line Items] | |||||
Structured notes interest rate percentage | 7.00% | 8.00% | |||
Structured Notes | AlphaCat ILS funds | Variable interest entities, primary beneficiary | |||||
Variable Interest Entity [Line Items] | |||||
Variable Interest Entity Redemption Of Notes Payable To AlphaCat Investors | $ 0 | $ 0 | $ 0 | $ 0 |
Noncontrolling interest (Detail
Noncontrolling interest (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2017 | Jun. 30, 2016 | Jun. 30, 2017 | Jun. 30, 2016 | Dec. 31, 2016 | |
Noncontrolling Interest [Line Items] | |||||
Balance, beginning of period | $ 1,988,227 | $ 1,566,260 | $ 1,693,978 | $ 1,266,376 | |
Issuance of shares | 209,821 | 171,849 | 468,500 | 552,924 | |
Adjustment to noncontrolling interests as a result of deconsolidation | (459,021) | 0 | (459,021) | 0 | |
Income attributable to noncontrolling interest | 43,650 | 21,193 | 86,222 | 58,724 | |
Redemption of shares | (115,359) | (14,865) | (122,361) | (133,587) | |
Balance, end of period | 1,667,318 | 1,744,437 | 1,667,318 | 1,744,437 | |
Redeemable noncontrolling interest | |||||
Noncontrolling Interest [Line Items] | |||||
Balance, beginning of period | 1,657,630 | 1,409,037 | 1,528,001 | 1,111,714 | |
Issuance of shares | 106,501 | 112,500 | 210,200 | 381,250 | |
Adjustment to noncontrolling interests as a result of deconsolidation | (459,021) | 0 | (459,021) | 0 | |
Income attributable to noncontrolling interest | 28,555 | 17,230 | 54,485 | 45,803 | |
Redemption of shares | (82,005) | (6,484) | (82,005) | (6,484) | |
Balance, end of period | 1,251,660 | 1,532,283 | 1,251,660 | 1,532,283 | |
Balances payable to noncontrolling interests | 74,200 | 74,200 | $ 71,530 | ||
Noncontrolling interest | |||||
Noncontrolling Interest [Line Items] | |||||
Balance, beginning of period | 330,597 | 157,223 | 165,977 | 154,662 | |
Issuance of shares | 103,320 | 59,349 | 258,300 | 171,674 | |
Adjustment to noncontrolling interests as a result of deconsolidation | 0 | 0 | 0 | 0 | |
Income attributable to noncontrolling interest | 15,095 | 3,963 | 31,737 | 12,921 | |
Distributions | (33,354) | (8,381) | (40,356) | (127,103) | |
Balance, end of period | 415,658 | $ 212,154 | 415,658 | $ 212,154 | |
Balances payable to noncontrolling interests | $ 0 | $ 0 | $ 16,144 |
Derivative instruments (Amount
Derivative instruments (Amount and balance sheet location) (Details) - USD ($) $ in Thousands | Jun. 30, 2017 | Dec. 31, 2016 | |
Not designated as hedging instruments | Foreign exchange contracts | |||
Summary of derivatives | |||
Net Notional Exposure | $ 223,018 | $ 181,375 | |
Not designated as hedging instruments | Foreign exchange contracts | Other assets | |||
Summary of derivatives | |||
Fair value, derivative assets | [1] | 1,972 | 2,351 |
Not designated as hedging instruments | Foreign exchange contracts | Accounts payable and accrued expenses | |||
Summary of derivatives | |||
Fair value, derivative liabilities | [1] | 6,325 | 3,421 |
Not designated as hedging instruments | Interest rate swap contracts | |||
Summary of derivatives | |||
Net Notional Exposure | 150,000 | 0 | |
Not designated as hedging instruments | Interest rate swap contracts | Other assets | |||
Summary of derivatives | |||
Fair value, derivative assets | [1] | 330 | 0 |
Not designated as hedging instruments | Interest rate swap contracts | Accounts payable and accrued expenses | |||
Summary of derivatives | |||
Fair value, derivative liabilities | [1] | 648 | 0 |
Designated as hedging instruments | Interest rate swap contracts | |||
Summary of derivatives | |||
Net Notional Exposure | 552,263 | 552,263 | |
Designated as hedging instruments | Interest rate swap contracts | Other assets | |||
Summary of derivatives | |||
Fair value, derivative assets | 20 | 20 | |
Designated as hedging instruments | Interest rate swap contracts | Accounts payable and accrued expenses | |||
Summary of derivatives | |||
Fair value, derivative liabilities | $ 1,409 | $ 1,479 | |
[1] | Asset and liability derivatives are classified within other assets and accounts payable and accrued expenses, respectively, within the Company’s consolidated balance sheets. |
Derivative instruments (Amoun62
Derivative instruments (Amount included in statement of operations) (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2017 | Jun. 30, 2016 | Jun. 30, 2017 | Jun. 30, 2016 | |
Not designated as hedging instruments | Foreign exchange gains (losses) | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Derivative gains (losses) recognized in earnings | $ (6,525) | $ 896 | $ (6,072) | $ (1,117) |
Not designated as hedging instruments | Other income | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Derivative gains (losses) recognized in earnings | (874) | 84 | (979) | 120 |
Not designated as hedging instruments | Gain (Loss) on Investments [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Derivative gains (losses) recognized in earnings | (319) | 0 | (319) | 0 |
Designated as hedging instruments | Cash flow hedge | Interest rate swap contracts | ||||
Derivative instruments designated as a cash flow hedge | ||||
Amount of ineffective portion excluded from effectiveness testing | (144) | 64 | (46) | (694) |
Designated as hedging instruments | Cash flow hedge | Interest rate swap contracts | Other comprehensive income | ||||
Derivative instruments designated as a cash flow hedge | ||||
Amount of effective portion recognized in other comprehensive income | 2,217 | 2,694 | 4,376 | 6,350 |
Designated as hedging instruments | Cash flow hedge | Interest rate swap contracts | Finance expenses | ||||
Derivative instruments designated as a cash flow hedge | ||||
Amount of effective portion subsequently reclassified to earnings | $ (2,073) | $ (2,758) | $ (4,330) | $ (5,656) |
Reserve for losses and loss e63
Reserve for losses and loss expenses (Components of reserves for losses and loss expenses) (Details) - USD ($) $ in Thousands | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2016 | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2015 |
Insurance Loss Reserves [Abstract] | ||||||
Case reserves | $ 1,236,799 | $ 1,237,772 | ||||
IBNR | 2,068,392 | 1,757,423 | ||||
Reserve for losses and loss expenses | $ 3,305,191 | $ 3,052,745 | $ 2,995,195 | $ 3,122,717 | $ 2,980,300 | $ 2,996,567 |
Reserve for losses and loss e64
Reserve for losses and loss expenses (Reserve rollforward) (Details) - USD ($) $ in Thousands | May 01, 2017 | Jun. 30, 2017 | Jun. 30, 2016 | Jun. 30, 2017 | Jun. 30, 2016 | |
Reserve for paid losses and unpaid loss expenses | ||||||
Reserve for losses and loss expenses, beginning of period | $ 3,052,745 | $ 2,980,300 | $ 2,995,195 | $ 2,996,567 | ||
Loss reserves recoverable, beginning of period | (451,856) | (370,689) | (430,421) | (350,586) | ||
Net reserves for losses and loss expenses, beginning of period | 2,600,889 | 2,609,611 | 2,564,774 | 2,645,981 | ||
Net reserves acquired | [1] | 23,753 | 0 | 23,753 | 0 | |
Increase (decrease) in net losses and loss expenses incurred in respect of losses occurring in: | ||||||
Current year | 339,439 | 369,911 | 670,255 | 648,097 | ||
Prior years | (43,290) | (62,781) | (104,521) | (116,520) | ||
Total incurred losses and loss expenses | 296,149 | 307,130 | 565,734 | 531,577 | ||
Less net losses and loss expenses paid in respect of losses occurring in: | ||||||
Current year | (42,758) | (45,882) | (50,456) | (61,655) | ||
Prior years | (193,265) | (176,775) | (431,354) | (430,079) | ||
Total net paid losses | (236,023) | (222,657) | (481,810) | (491,734) | ||
Foreign exchange loss | 20,216 | (14,354) | 32,533 | (6,094) | ||
Net reserve for losses and loss expenses, end of period | 2,704,984 | 2,679,730 | 2,704,984 | 2,679,730 | ||
Loss reserves recoverable, end of period | 600,207 | 442,987 | 600,207 | 442,987 | ||
Reserve for losses and loss expenses, end of period | 3,305,191 | 3,122,717 | 3,305,191 | 3,122,717 | ||
Components of incurred losses and loss expenses | ||||||
Gross losses and loss expenses | 415,013 | 397,863 | 761,808 | 667,716 | ||
Reinsurance recoverable | (118,864) | (90,733) | (196,074) | (136,139) | ||
Net incurred losses and loss expenses | $ 296,149 | $ 307,130 | $ 565,734 | $ 531,577 | ||
Net loss reserves | $ 42,575 | |||||
Commutation of reserves | $ 18,822 | |||||
[1] | Equals net reserves acquired of $42,575 less net reserves commuted at closing of $18,822. |
Reserve for losses and loss e65
Reserve for losses and loss expenses (Prior year development) (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2017 | Jun. 30, 2016 | Jun. 30, 2017 | Jun. 30, 2016 | |
Increase (decrease) in net reserves for losses and loss expenses in respect of losses occurring in: | ||||
Net (favorable) adverse development on prior years | $ (43,290) | $ (62,781) | $ (104,521) | $ (116,520) |
Validus Re | ||||
Increase (decrease) in net reserves for losses and loss expenses in respect of losses occurring in: | ||||
Net (favorable) adverse development on prior years | (23,099) | (30,877) | (51,879) | (56,561) |
Talbot | ||||
Increase (decrease) in net reserves for losses and loss expenses in respect of losses occurring in: | ||||
Net (favorable) adverse development on prior years | (15,876) | (28,328) | (44,690) | (51,048) |
Western World | ||||
Increase (decrease) in net reserves for losses and loss expenses in respect of losses occurring in: | ||||
Net (favorable) adverse development on prior years | (463) | (3,158) | (682) | (7,584) |
AlphaCat | ||||
Increase (decrease) in net reserves for losses and loss expenses in respect of losses occurring in: | ||||
Net (favorable) adverse development on prior years | (3,852) | (418) | (7,270) | (1,327) |
Property | ||||
Increase (decrease) in net reserves for losses and loss expenses in respect of losses occurring in: | ||||
Net (favorable) adverse development on prior years | (9,141) | (21,440) | (26,264) | (63,340) |
Property | Validus Re | ||||
Increase (decrease) in net reserves for losses and loss expenses in respect of losses occurring in: | ||||
Net (favorable) adverse development on prior years | (671) | (9,468) | (4,242) | (32,300) |
Property | Talbot | ||||
Increase (decrease) in net reserves for losses and loss expenses in respect of losses occurring in: | ||||
Net (favorable) adverse development on prior years | (4,894) | (10,094) | (11,228) | (28,540) |
Property | Western World | ||||
Increase (decrease) in net reserves for losses and loss expenses in respect of losses occurring in: | ||||
Net (favorable) adverse development on prior years | (479) | (1,582) | (3,302) | (2,023) |
Property | AlphaCat | ||||
Increase (decrease) in net reserves for losses and loss expenses in respect of losses occurring in: | ||||
Net (favorable) adverse development on prior years | (3,097) | (296) | (7,492) | (477) |
Marine | ||||
Increase (decrease) in net reserves for losses and loss expenses in respect of losses occurring in: | ||||
Net (favorable) adverse development on prior years | (33,369) | (18,946) | (64,794) | (12,427) |
Marine | Validus Re | ||||
Increase (decrease) in net reserves for losses and loss expenses in respect of losses occurring in: | ||||
Net (favorable) adverse development on prior years | (16,313) | (10,018) | (31,742) | (6,463) |
Marine | Talbot | ||||
Increase (decrease) in net reserves for losses and loss expenses in respect of losses occurring in: | ||||
Net (favorable) adverse development on prior years | (17,056) | (8,928) | (33,052) | (5,964) |
Specialty | ||||
Increase (decrease) in net reserves for losses and loss expenses in respect of losses occurring in: | ||||
Net (favorable) adverse development on prior years | (796) | (20,819) | (16,083) | (35,192) |
Specialty | Validus Re | ||||
Increase (decrease) in net reserves for losses and loss expenses in respect of losses occurring in: | ||||
Net (favorable) adverse development on prior years | (6,115) | (11,391) | (15,895) | (17,798) |
Specialty | Talbot | ||||
Increase (decrease) in net reserves for losses and loss expenses in respect of losses occurring in: | ||||
Net (favorable) adverse development on prior years | 6,074 | (9,306) | (410) | (16,544) |
Specialty | AlphaCat | ||||
Increase (decrease) in net reserves for losses and loss expenses in respect of losses occurring in: | ||||
Net (favorable) adverse development on prior years | (755) | (122) | 222 | (850) |
Liability | ||||
Increase (decrease) in net reserves for losses and loss expenses in respect of losses occurring in: | ||||
Net (favorable) adverse development on prior years | 16 | (1,576) | 2,620 | (5,561) |
Liability | Western World | ||||
Increase (decrease) in net reserves for losses and loss expenses in respect of losses occurring in: | ||||
Net (favorable) adverse development on prior years | $ 16 | $ (1,576) | $ 2,620 | $ (5,561) |
Reinsurance (Components of rein
Reinsurance (Components of reinsurance) (Details) - USD ($) $ in Thousands | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2016 | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2015 |
Reinsurance Disclosures [Abstract] | ||||||
Outstanding losses | $ 176,416 | $ 165,328 | ||||
IBNR | 423,791 | 265,093 | ||||
Total loss reserves recoverable | 600,207 | $ 451,856 | 430,421 | $ 442,987 | $ 370,689 | $ 350,586 |
Paid losses recoverable | 35,675 | 35,247 | ||||
Total reinsurance balances recoverable | $ 635,882 | $ 465,668 |
Reinsurance (Ceded credit risk)
Reinsurance (Ceded credit risk) (Details) - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended | |
Jun. 30, 2017 | Dec. 31, 2016 | ||
Ceded Credit Risk [Line Items] | |||
Provision for uncollectible reinsurance relating to losses recoverable | $ 6,741 | $ 5,153 | |
Reinsurance Recoverable | |||
Ceded Credit Risk [Line Items] | |||
Reinsurance recoverable | $ 635,882 | $ 465,668 | |
Percentage of total | 100.00% | 100.00% | |
Reinsurance Recoverable | A- or better | |||
Ceded Credit Risk [Line Items] | |||
Reinsurance recoverable | $ 630,821 | $ 461,369 | |
Percentage of total | 99.20% | 99.10% | |
Reinsurance Recoverable | Top 10 reinsurers | |||
Ceded Credit Risk [Line Items] | |||
Reinsurance recoverable | $ 521,027 | $ 395,308 | |
Percentage of total | 81.90% | 84.90% | |
Reinsurance Recoverable | Top 10 reinsurers | Munich Re | AA- rating | |||
Ceded Credit Risk [Line Items] | |||
Reinsurance recoverable | $ 96,997 | $ 18,214 | |
Percentage of total | 15.20% | 3.90% | |
Reinsurance Recoverable | Top 10 reinsurers | Lloyds Syndicates | A plus | |||
Ceded Credit Risk [Line Items] | |||
Reinsurance recoverable | $ 84,742 | $ 84,419 | |
Percentage of total | 13.20% | 18.20% | |
Reinsurance Recoverable | Top 10 reinsurers | Fully collateralized reinsurers | NR | |||
Ceded Credit Risk [Line Items] | |||
Reinsurance recoverable | $ 80,558 | $ 83,088 | |
Percentage of total | 12.70% | 17.80% | |
Reinsurance Recoverable | Top 10 reinsurers | Swiss Re | AA- rating | |||
Ceded Credit Risk [Line Items] | |||
Reinsurance recoverable | $ 77,928 | $ 84,044 | |
Percentage of total | 12.30% | 18.10% | |
Reinsurance Recoverable | Top 10 reinsurers | Everest Re | A plus | |||
Ceded Credit Risk [Line Items] | |||
Reinsurance recoverable | $ 54,565 | $ 36,912 | |
Percentage of total | 8.60% | 7.90% | |
Reinsurance Recoverable | Top 10 reinsurers | Hannover Re | AA- rating | |||
Ceded Credit Risk [Line Items] | |||
Reinsurance recoverable | $ 48,037 | $ 50,603 | |
Percentage of total | 7.60% | 10.90% | |
Reinsurance Recoverable | Top 10 reinsurers | Federal Crop Insurance Corporation | |||
Ceded Credit Risk [Line Items] | |||
Reinsurance recoverable | [1] | $ 29,009 | |
Percentage of total | [1] | 4.60% | |
Reinsurance Recoverable | Top 10 reinsurers | Transatlantic Re | A plus | |||
Ceded Credit Risk [Line Items] | |||
Reinsurance recoverable | $ 23,066 | $ 10,593 | |
Percentage of total | 3.60% | 2.30% | |
Reinsurance Recoverable | Top 10 reinsurers | XL Catlin | A plus | |||
Ceded Credit Risk [Line Items] | |||
Reinsurance recoverable | $ 16,062 | ||
Percentage of total | 2.50% | ||
Reinsurance Recoverable | Top 10 reinsurers | Helvetia Group | A rating | |||
Ceded Credit Risk [Line Items] | |||
Reinsurance recoverable | $ 10,063 | ||
Percentage of total | 1.60% | ||
Reinsurance Recoverable | Top 10 reinsurers | Hamilton Re | A- rating | |||
Ceded Credit Risk [Line Items] | |||
Reinsurance recoverable | $ 10,343 | ||
Percentage of total | 2.20% | ||
Reinsurance Recoverable | Top 10 reinsurers | Toa Re | A plus | |||
Ceded Credit Risk [Line Items] | |||
Reinsurance recoverable | $ 9,510 | ||
Percentage of total | 2.00% | ||
Reinsurance Recoverable | Top 10 reinsurers | National Indemnity | AA plus | |||
Ceded Credit Risk [Line Items] | |||
Reinsurance recoverable | $ 7,582 | ||
Percentage of total | 1.60% | ||
Reinsurance Recoverable | Other reinsurers' balances greater than $1 million | |||
Ceded Credit Risk [Line Items] | |||
Reinsurance recoverable | $ 106,432 | $ 66,944 | |
Percentage of total | 16.80% | 14.40% | |
Reinsurance Recoverable | Other reinsurers' balances less than $1 million | |||
Ceded Credit Risk [Line Items] | |||
Reinsurance recoverable | $ 8,423 | $ 3,416 | |
Percentage of total | 1.30% | 0.70% | |
[1] | The Company participates in a crop reinsurance program sponsored by the U.S. federal government. The Company remains obligated for amounts ceded in the event that its reinsurers or retrocessionaires do not meet their obligations, except for amounts ceded to the U.S. federal government in the agriculture line of business. |
Share capital (Preferred stock)
Share capital (Preferred stock) (Details) - USD ($) $ / shares in Units, $ in Thousands | Jun. 12, 2017 | Jun. 13, 2016 | Jun. 30, 2017 | Jun. 30, 2016 |
Preferred shares - Shareholders' Equity | ||||
Net proceeds on issuance of preferred shares | $ 241,686 | $ 144,852 | ||
Preferred shares, shares issued, beginning of period | 6,000 | 0 | ||
Preferred shares, shares outstanding, beginning of period | 6,000 | 0 | ||
Preferred shares issued | 10,000 | 6,000 | ||
Preferred shares, shares issued, end of period | 16,000 | 6,000 | ||
Preferred shares, shares outstanding, end of period | 16,000 | 6,000 | ||
Series A preferred shares | ||||
Preferred shares - Shareholders' Equity | ||||
Preferred shares, dividend rate, percentage | 5.875% | |||
Proportionate interest of Series A Preferred shares, per depositary share | 0.10% | |||
Preferred stock, par or stated value per share | $ 0.175 | |||
Preferred stock, liquidation preference, per share | $ 25,000 | |||
Preferred shares, shares issued, beginning of period | 6,000 | |||
Preferred shares issued | 6,000 | |||
Preferred shares, shares issued, end of period | 6,000 | |||
Series A depositary share equivalent | ||||
Preferred shares - Shareholders' Equity | ||||
Preferred shares equivalent depositary shares number | 6,000,000 | |||
Preferred stock, liquidation preference, per share | $ 25 | |||
Series B preferred shares | ||||
Preferred shares - Shareholders' Equity | ||||
Preferred shares, dividend rate, percentage | 5.80% | |||
Proportionate interest of Series A Preferred shares, per depositary share | 0.10% | |||
Preferred stock, par or stated value per share | $ 0.175 | |||
Preferred stock, liquidation preference, per share | $ 25,000 | |||
Net proceeds on issuance of preferred shares | $ 241,686 | |||
Preferred shares issued | 10,000 | |||
Preferred shares, shares issued, end of period | 10,000 | |||
Series B preferred shares | On or after June 15, 2022 | ||||
Preferred shares - Shareholders' Equity | ||||
Preferred shares, redemption price per share | $ 25,000 | |||
Series B preferred shares | Prior to redemption in the event of amalgamation, consolidation, merger or similar | ||||
Preferred shares - Shareholders' Equity | ||||
Preferred shares, redemption price per share | 26,000 | |||
Series B preferred shares | Prior to redemption if change in tax law or capital disqualification event | ||||
Preferred shares - Shareholders' Equity | ||||
Preferred shares, redemption price per share | $ 25,000 | |||
Series B depositary share equivalent | ||||
Preferred shares - Shareholders' Equity | ||||
Preferred shares equivalent depositary shares number | 10,000,000 | |||
Preferred stock, liquidation preference, per share | $ 25 | |||
Series B depositary share equivalent | On or after June 15, 2022 | ||||
Preferred shares - Shareholders' Equity | ||||
Preferred shares, redemption price per share | 25 | |||
Series B depositary share equivalent | Prior to redemption in the event of amalgamation, consolidation, merger or similar | ||||
Preferred shares - Shareholders' Equity | ||||
Preferred shares, redemption price per share | 26 | |||
Series B depositary share equivalent | Prior to redemption if change in tax law or capital disqualification event | ||||
Preferred shares - Shareholders' Equity | ||||
Preferred shares, redemption price per share | $ 25 |
Share capital (Common stock) (D
Share capital (Common stock) (Details) - USD ($) $ / shares in Units, $ in Thousands | Feb. 03, 2015 | Jun. 30, 2017 | Jun. 30, 2016 |
Share Capital (Narrative) | |||
Authorized share capital | 571,428,571 | ||
Common shares, par value | $ 0.175 | ||
Common stock voting rights | one vote per share | ||
Restriction on percentage of voting power | 9.09% | ||
Share repurchases | |||
Common share repurchase authorization | $ 750,000 | ||
Share repurchase program, cumulative shares repurchased | 80,776,802 | ||
Shares repurchased, cumulative | $ 2,274,401 | $ 2,718,402 | |
Remaining share repurchase authorization amount | $ 305,999 | ||
Summary of common shares issued and outstanding | |||
Common shares issued, beginning balance | 161,279,976 | 160,570,772 | |
Options exercised | 0 | 13,635 | |
Common shares issued, ending balance | 161,934,355 | 161,252,871 | |
Treasury shares, ending balance | (82,415,774) | (80,480,633) | |
Common shares outstanding, ending balance | 79,518,581 | 80,772,238 | |
Restricted share awards | |||
Summary of common shares issued and outstanding | |||
Vested, net of shares withheld | 597,021 | 601,890 | |
Restricted share units | |||
Summary of common shares issued and outstanding | |||
Vested, net of shares withheld | 14,948 | 18,486 | |
Performance shares | |||
Summary of common shares issued and outstanding | |||
Vested, net of shares withheld | 42,410 | 48,088 |
Share capital (Dividends) (Deta
Share capital (Dividends) (Details) - $ / shares | 3 Months Ended | 6 Months Ended | ||||
Jun. 30, 2017 | Mar. 31, 2017 | Jun. 30, 2016 | Mar. 31, 2016 | Jun. 30, 2017 | Jun. 30, 2016 | |
Class of Stock [Line Items] | ||||||
Cash dividends declared per share - common shares | $ 0.38 | $ 0.38 | $ 0.35 | $ 0.35 | $ 0.76 | $ 0.70 |
Series A depositary share equivalent | ||||||
Class of Stock [Line Items] | ||||||
Cash dividends declared per share - preferred shares | $ 0.3671875 | $ 0.3671875 |
Stock plans (Options activity)
Stock plans (Options activity) (Details) - $ / shares | 6 Months Ended | |
Jun. 30, 2017 | Jun. 30, 2016 | |
Options activities: | ||
Options outstanding, beginning balance (in shares) | 26,136 | 65,401 |
Options exercised during period (in shares) | 0 | (14,044) |
Options outstanding, ending balance (in shares) | 26,136 | 51,357 |
Weighted Average Grant Date Fair Value | ||
Weighted average grant date fair value, beginning balance (in dollars per share) | $ 6.78 | $ 7.74 |
Weighted average grant date fair value, options exercised (in dollars per share) | 0 | 7.69 |
Weighted average grant date fair value, ending balance (in dollars per share) | 6.78 | 7.75 |
Weighted Average Grant Date Exercise Price | ||
Weighted average grant date exercise price, beginning balance (in dollars per share) | 23.48 | 20.17 |
Weighted average grant date exercise price, options exercised (in dollars per share) | 0 | 17.02 |
Weighted average grant date exercise price, ending balance (in dollars per share) | $ 23.48 | $ 21.03 |
Stock plans (Other awards activ
Stock plans (Other awards activity) (Details) - $ / shares | 6 Months Ended | |
Jun. 30, 2017 | Jun. 30, 2016 | |
Restricted share awards | ||
Activities | ||
Beginning balance (in shares) | 2,469,982 | 2,739,446 |
Granted (in shares) | 481,619 | 534,905 |
Vested (in shares) | (803,764) | (783,523) |
Forfeited (in shares) | (39,617) | (8,317) |
Ending balance (in shares) | 2,108,220 | 2,482,511 |
Weighted average grant date fair value | ||
Weighted average grant date fair value, beginning balance (in dollars per share) | $ 40.89 | $ 38.25 |
Weighted average grant date fair value, granted (in dollars per share) | 53.42 | 48.69 |
Weighted average grant date fair value, vested (in dollars per share) | 41.31 | 37.32 |
Weighted average grant date fair value, forfeited (in dollars per share) | 41.98 | 37.94 |
Weighted average grant date fair value, ending balance (in dollars per share) | $ 43.58 | $ 40.79 |
Restricted share units | ||
Activities | ||
Beginning balance (in shares) | 112,808 | 114,337 |
Granted (in shares) | 12,236 | 20,129 |
Vested (in shares) | (18,241) | (23,982) |
Issued in lieu of cash dividends (in shares) | 1,468 | 1,629 |
Ending balance (in shares) | 108,271 | 112,113 |
Weighted average grant date fair value | ||
Weighted average grant date fair value, beginning balance (in dollars per share) | $ 40.95 | $ 38.47 |
Weighted average grant date fair value, granted (in dollars per share) | 53.40 | 48.69 |
Weighted average grant date fair value, vested (in dollars per share) | 41.66 | 38.18 |
Weighted average grant date fair value, issued in lieu of cash dividends (in dollars per share) | 40.98 | 38.47 |
Weighted average grant date fair value, ending balance (in dollars per share) | $ 42.24 | $ 40.37 |
Performance shares | ||
Activities | ||
Beginning balance (in shares) | 285,820 | 172,594 |
Granted (in shares) | 107,209 | 121,844 |
Vested (in shares) | (52,639) | (57,581) |
Conversion adjustment (in shares) | (26,322) | 45,517 |
Ending balance (in shares) | 314,068 | 282,374 |
Weighted average grant date fair value | ||
Weighted average grant date fair value, beginning balance (in dollars per share) | $ 44.53 | $ 40.70 |
Weighted average grant date fair value, granted (in dollars per share) | 53.40 | 48.69 |
Weighted average grant date fair value, vested (in dollars per share) | 37.33 | 36.11 |
Weighted average grant date fair value, conversion adjustment (in dollars per share) | 36.82 | 36.82 |
Weighted average grant date fair value, ending balance (in dollars per share) | $ 49.37 | $ 44.46 |
Stock plans (Components of shar
Stock plans (Components of share compensation expenses) (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2017 | Jun. 30, 2016 | Jun. 30, 2017 | Jun. 30, 2016 | |
Total share compensation expenses | ||||
Share compensation expenses | $ 11,146 | $ 10,727 | $ 20,637 | $ 21,964 |
Restricted share awards | ||||
Total share compensation expenses | ||||
Share compensation expenses | 9,745 | 9,517 | 18,789 | 18,646 |
Restricted share units | ||||
Total share compensation expenses | ||||
Share compensation expenses | 327 | 377 | 642 | 688 |
Performance shares | ||||
Total share compensation expenses | ||||
Share compensation expenses | $ 1,074 | $ 833 | $ 1,206 | $ 2,630 |
Stock plans (Narrative) (Detail
Stock plans (Narrative) (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 6 Months Ended | 12 Months Ended | ||
Jun. 30, 2017 | Jun. 30, 2016 | Jun. 30, 2017 | Jun. 30, 2016 | Dec. 31, 2016 | |
Stock plans (other details) | |||||
Number of shares reserved for issuance under the LTIP and STIP | 2,753,292 | 2,753,292 | |||
Remaining number of shares reserved for issuance | 714,817 | 714,817 | |||
Share compensation expenses | $ 11,146 | $ 10,727 | $ 20,637 | $ 21,964 | |
Options exercised during period (in shares) | 0 | (14,044) | |||
Share Based Compensation Arrangement By Share Based Payment Award Options Exercised In Period Weighted Average Grant Date Fair Value | $ 0 | $ 7.69 | |||
Share-based Compensation Arrangements by Share-based Payment Award, Options, Exercises in Period, Weighted Average Exercise Price | $ 0 | $ 17.02 | |||
Options | |||||
Stock plans (other details) | |||||
Life of options | 10 years | ||||
Restricted share awards | |||||
Stock plans (other details) | |||||
Share compensation expenses | 9,745 | 9,517 | $ 18,789 | $ 18,646 | |
Unrecognized share compensation expenses | 63,931 | $ 63,931 | $ 58,804 | ||
Weighted average period of recognizing share based compensation expenses | 2 years 7 months 9 days | 2 years 3 months 3 days | |||
Restricted share units | |||||
Stock plans (other details) | |||||
Share compensation expenses | 327 | 377 | $ 642 | 688 | |
Unrecognized share compensation expenses | 2,558 | $ 2,558 | $ 2,542 | ||
Weighted average period of recognizing share based compensation expenses | 2 years 7 months 17 days | 2 years 6 months 21 days | |||
Performance shares | |||||
Stock plans (other details) | |||||
Share compensation expenses | 1,074 | $ 833 | $ 1,206 | $ 2,630 | |
Unrecognized share compensation expenses | $ 10,250 | $ 10,250 | $ 6,902 | ||
Weighted average period of recognizing share based compensation expenses | 2 years 4 months 2 days | 2 years 21 days | |||
Performance share awards performance period | 3 years |
Debt and financing arrangemen75
Debt and financing arrangements (Summary of outstanding debentures and senior notes payable) (Details) - USD ($) $ in Thousands | Jun. 30, 2017 | Dec. 31, 2016 |
Debt Instruments [Line Items] | ||
Debentures payable | $ 538,400 | $ 537,226 |
Debt instrument, commitment | 250,000 | 250,000 |
Less: Unamortized debt issuance costs | (4,537) | (4,638) |
Total senior notes payable | 245,463 | 245,362 |
Debentures payable | 783,863 | 782,588 |
2006 Junior Subordinated | ||
Debt Instruments [Line Items] | ||
Debentures payable | 150,000 | 150,000 |
Debt instrument, commitment | 150,000 | |
2007 Junior Subordinated | ||
Debt Instruments [Line Items] | ||
Debentures payable | 139,800 | 139,800 |
Debt instrument, commitment | 200,000 | |
Flagstone 2006 Junior Subordinated | ||
Debt Instruments [Line Items] | ||
Debentures payable | 134,850 | 133,676 |
Debt instrument, commitment | 134,850 | |
Flagstone 2007 Junior Subordinated | ||
Debt Instruments [Line Items] | ||
Debentures payable | $ 113,750 | $ 113,750 |
Debt and financing arrangemen76
Debt and financing arrangements (Credit facilities outstanding) (Details) - USD ($) $ in Thousands | Jun. 30, 2017 | Dec. 31, 2016 | |
Line of Credit Facility [Line Items] | |||
Commitment | $ 670,000 | $ 690,000 | |
Drawn and outstanding | 201,091 | 265,039 | |
$85,000 syndicated unsecured letter of credit facility | |||
Line of Credit Facility [Line Items] | |||
Commitment | 85,000 | 85,000 | |
Drawn and outstanding | 0 | 0 | |
$300,000 syndicated secured letter of credit facility | |||
Line of Credit Facility [Line Items] | |||
Commitment | 300,000 | 300,000 | |
Drawn and outstanding | 87,718 | 90,252 | |
$24,000 secured bi-lateral letter of credit facility | |||
Line of Credit Facility [Line Items] | |||
Commitment | 24,000 | 24,000 | |
Drawn and outstanding | 5,648 | 4,553 | |
$20,000 AlphaCat Re secured letter of credit facility | |||
Line of Credit Facility [Line Items] | |||
Commitment | [1] | 0 | 20,000 |
Drawn and outstanding | [1] | 0 | 20,000 |
$25,000 IPC bi-lateral facility | |||
Line of Credit Facility [Line Items] | |||
Commitment | 25,000 | 25,000 | |
Drawn and outstanding | 5,535 | 5,842 | |
$236,000 Flagstone bi-lateral facility | |||
Line of Credit Facility [Line Items] | |||
Commitment | 236,000 | 236,000 | |
Drawn and outstanding | $ 102,190 | $ 144,392 | |
[1] | The Company terminated its AlphaCat Re secured letter of credit facility on January 6, 2017. |
Debt and financing arrangemen77
Debt and financing arrangements (Summary of key terms of senior notes and debentures) (Details) - USD ($) $ in Thousands | 6 Months Ended | ||
Jun. 30, 2017 | Dec. 31, 2016 | ||
Debt Instruments [Line Items] | |||
Commitment | $ 250,000 | $ 250,000 | |
2010 Senior Notes Due 2040 | |||
Debt Instruments [Line Items] | |||
Issuance date | Jan. 26, 2010 | ||
Commitment | $ 250,000 | ||
Maturity date | Jan. 26, 2040 | ||
Interest payments due | Semi-annually in arrears | ||
Payments expected to be made after 2022 | $ 250,000 | ||
Junior Subordinated Debt | |||
Debt Instruments [Line Items] | |||
Payments expected to be made after 2022 | $ 538,400 | ||
2006 Junior Subordinated | |||
Debt Instruments [Line Items] | |||
Issuance date | Jun. 15, 2006 | ||
Commitment | $ 150,000 | ||
Maturity date | Jun. 15, 2036 | ||
Interest payments due | Quarterly | ||
Interest rate term | 5 years | ||
2006 Junior Subordinated | Three month LIBOR | |||
Debt Instruments [Line Items] | |||
Spread on variable rate (in percent) | 3.55% | ||
Flagstone 2006 Junior Subordinated | |||
Debt Instruments [Line Items] | |||
Issuance date | Aug. 23, 2006 | ||
Commitment | $ 134,850 | ||
Maturity date | Sep. 15, 2036 | ||
Interest payments due | Quarterly | ||
2007 Junior Subordinated | |||
Debt Instruments [Line Items] | |||
Issuance date | Jun. 21, 2007 | ||
Commitment | $ 200,000 | ||
Maturity date | Jun. 15, 2037 | ||
Interest payments due | Quarterly | ||
Interest rate term | 5 years | ||
2007 Junior Subordinated | Three month LIBOR | |||
Debt Instruments [Line Items] | |||
Spread on variable rate (in percent) | 2.95% | ||
Flagstone 2007 Due July 30 2037 | |||
Debt Instruments [Line Items] | |||
Issuance date | Jun. 8, 2007 | ||
Commitment | $ 100,000 | ||
Maturity date | Jul. 30, 2037 | ||
Interest payments due | Quarterly | ||
Flagstone 2007 Due September 15 2037 | |||
Debt Instruments [Line Items] | |||
Issuance date | Sep. 20, 2007 | ||
Commitment | $ 25,000 | ||
Maturity date | Sep. 15, 2037 | ||
Interest payments due | Quarterly | ||
At Issuance | 2010 Senior Notes Due 2040 | |||
Debt Instruments [Line Items] | |||
Fixed interest rate (in percent) | [1] | 8.875% | |
At Issuance | 2006 Junior Subordinated | |||
Debt Instruments [Line Items] | |||
Fixed interest rate (in percent) | [2] | 9.069% | |
At Issuance | Flagstone 2006 Junior Subordinated | Three month LIBOR | |||
Debt Instruments [Line Items] | |||
Spread on variable rate (in percent) | [3] | 3.54% | |
At Issuance | 2007 Junior Subordinated | |||
Debt Instruments [Line Items] | |||
Fixed interest rate (in percent) | [4] | 8.48% | |
At Issuance | Flagstone 2007 Due July 30 2037 | Three month LIBOR | |||
Debt Instruments [Line Items] | |||
Spread on variable rate (in percent) | [3] | 3.00% | |
At Issuance | Flagstone 2007 Due September 15 2037 | Three month LIBOR | |||
Debt Instruments [Line Items] | |||
Spread on variable rate (in percent) | [3] | 3.10% | |
Outstanding | 2010 Senior Notes Due 2040 | |||
Debt Instruments [Line Items] | |||
Fixed interest rate (in percent) | [1] | 8.875% | |
Outstanding | 2006 Junior Subordinated | |||
Debt Instruments [Line Items] | |||
Effective percentage | [5] | 5.831% | |
Outstanding | Flagstone 2006 Junior Subordinated | |||
Debt Instruments [Line Items] | |||
Effective percentage | [5] | 6.463% | |
Outstanding | 2007 Junior Subordinated | |||
Debt Instruments [Line Items] | |||
Effective percentage | [5] | 5.18% | |
Outstanding | Flagstone 2007 Due July 30 2037 | |||
Debt Instruments [Line Items] | |||
Effective percentage | [5] | 5.90% | |
Outstanding | Flagstone 2007 Due September 15 2037 | |||
Debt Instruments [Line Items] | |||
Effective percentage | [5] | 5.983% | |
[1] | Fixed interest rate. | ||
[2] | Fixed interest rate for 5 years, floating interest rate of three-month LIBOR plus 3.550% thereafter, reset quarterly. | ||
[3] | Floating interest rate of three-month LIBOR plus amount stated, reset quarterly. | ||
[4] | Fixed interest rate for 5 years, floating interest rate of three-month LIBOR plus 2.950% thereafter, reset quarterly. | ||
[5] | Fixed interest rate as a result of interest rate swap contracts entered into by the Company. |
Debt and financing arrangemen78
Debt and financing arrangements (Investments pledged as collateral) (Details) - USD ($) $ in Thousands | Jun. 30, 2017 | Dec. 31, 2016 | |
Financial Instruments Owned and Pledged as Collateral [Line Items] | |||
Investments and cash pledged as collateral | $ 404,516 | $ 442,184 | |
$300,000 syndicated secured letter of credit facility | |||
Financial Instruments Owned and Pledged as Collateral [Line Items] | |||
Investments and cash pledged as collateral | 147,048 | 157,597 | |
$24,000 secured bi-lateral letter of credit facility | |||
Financial Instruments Owned and Pledged as Collateral [Line Items] | |||
Investments and cash pledged as collateral | 33,353 | 48,097 | |
AlphaCat Re secured letter of credit facility (a) | |||
Financial Instruments Owned and Pledged as Collateral [Line Items] | |||
Investments and cash pledged as collateral | [1] | 0 | 20,032 |
$236,000 Flagstone bi-lateral facility | |||
Financial Instruments Owned and Pledged as Collateral [Line Items] | |||
Investments and cash pledged as collateral | $ 224,115 | $ 216,458 | |
[1] | The Company terminated its AlphaCat Re secured letter of credit facility on January 6, 2017. |
Debt and financing arrangemen79
Debt and financing arrangements (Components of finance expenses) (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||||
Jun. 30, 2017 | Jun. 30, 2016 | Jun. 30, 2017 | Jun. 30, 2016 | |||
Debt Instruments [Line Items] | ||||||
Finance expenses | $ 14,209 | $ 14,166 | $ 28,152 | $ 29,369 | ||
2006 Junior Subordinated | ||||||
Debt Instruments [Line Items] | ||||||
Finance expenses | 2,211 | 2,211 | 4,398 | 4,422 | ||
2007 Junior Subordinated | ||||||
Debt Instruments [Line Items] | ||||||
Finance expenses | 1,831 | 1,830 | 3,641 | 3,661 | ||
Flagstone 2006 Junior Subordinated | ||||||
Debt Instruments [Line Items] | ||||||
Finance expenses | 2,248 | 2,244 | 4,469 | 4,489 | ||
Flagstone 2007 Junior Subordinated | ||||||
Debt Instruments [Line Items] | ||||||
Finance expenses | 1,751 | 1,766 | 3,474 | 3,533 | ||
2010 Senior Notes Due 2040 | ||||||
Debt Instruments [Line Items] | ||||||
Finance expenses | 5,598 | 5,597 | 11,195 | 11,194 | ||
Credit facilities | ||||||
Debt Instruments [Line Items] | ||||||
Finance expenses | 403 | 235 | 621 | 896 | ||
Bank and other charges | ||||||
Debt Instruments [Line Items] | ||||||
Finance expenses | 131 | 206 | 282 | 213 | ||
AlphaCat fees | ||||||
Debt Instruments [Line Items] | ||||||
Finance expenses | $ 36 | [1] | $ 77 | [1] | $ 72 | $ 961 |
[1] | Includes finance expenses incurred by AlphaCat Managers Ltd. in relation to fund raising for the AlphaCat sidecars, the AlphaCat ILS funds and AlphaCat direct. |
Accumulated other comprehensi80
Accumulated other comprehensive loss (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2017 | Jun. 30, 2016 | Jun. 30, 2017 | Jun. 30, 2016 | |
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||
Balance, beginning of period, net of tax | $ 4,004,268 | |||
Total shareholders' equity | $ 4,627,089 | $ 4,078,410 | 4,627,089 | $ 4,078,410 |
Accumulated other comprehensive loss | ||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||
Balance, beginning of period, net of tax | (22,453) | (15,438) | (23,216) | (12,569) |
Net current period other comprehensive loss, net of tax | 2,529 | (2,744) | 3,292 | (5,613) |
Total shareholders' equity | (19,924) | (18,182) | (19,924) | (18,182) |
Foreign currency translation adjustment | ||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||
Balance, beginning of period, net of tax | (21,677) | (13,862) | (22,274) | (11,834) |
Net current period other comprehensive loss, net of tax | 1,489 | (3,287) | 2,086 | (5,315) |
Total shareholders' equity | (20,188) | (17,149) | (20,188) | (17,149) |
Minimum pension liability | ||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||
Balance, beginning of period, net of tax | (82) | 251 | (150) | 334 |
Net current period other comprehensive loss, net of tax | 1,184 | 479 | 1,252 | 396 |
Total shareholders' equity | 1,102 | 730 | 1,102 | 730 |
Cash flow hedge | ||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||
Balance, beginning of period, net of tax | (694) | (1,827) | (792) | (1,069) |
Net current period other comprehensive loss, net of tax | (144) | 64 | (46) | (694) |
Total shareholders' equity | $ (838) | $ (1,763) | $ (838) | $ (1,763) |
Commitments and contingencies81
Commitments and contingencies (Lloyd's syndicate) (Details) - 6 months ended Jun. 30, 2017 - Lloyd's Syndicate 1183 £ in Thousands, $ in Thousands | USD ($) | GBP (£) |
Funds at Lloyd's and Lloyd's Central Fund | ||
Maximum premium levies assessable, percent | 3.00% | 3.00% |
Estimated underwriting capacity | £ | £ 600,000 | |
Exchange rate | £1 equals $1.30 | £1 equals $1.30 |
Maximum premium levies assessable, amount | $ 23,400 | |
2017 Underwriting Year | ||
Loss Contingencies [Line Items] | ||
Components of required capital | 583,600 | |
2016 Underwriting year | ||
Loss Contingencies [Line Items] | ||
Components of required capital | $ 617,000 |
Commitments and contingencies82
Commitments and contingencies (Other commitments) (Details) - USD ($) $ in Thousands | May 01, 2017 | Jun. 30, 2017 | Jun. 30, 2017 | Dec. 31, 2016 | |
Investment commitment | |||||
Other Commitments [Line Items] | |||||
Capital commitment | $ 313,000 | $ 313,000 | $ 308,000 | ||
Remaining commitment | 228,779 | 228,779 | 258,704 | ||
Investment commitment | Investments in investment affiliates | |||||
Other Commitments [Line Items] | |||||
Remaining commitment | [1] | 84,046 | 84,046 | 64,071 | |
Investment commitment | AlphaCat ILS funds | |||||
Other Commitments [Line Items] | |||||
Remaining commitment | 0 | 0 | 10,000 | ||
Investment commitment | Fixed maturity investments | |||||
Other Commitments [Line Items] | |||||
Remaining commitment | [2] | 25,238 | 25,238 | 28,499 | |
Investment commitment | Other investments | |||||
Other Commitments [Line Items] | |||||
Remaining commitment | [3] | 119,495 | 119,495 | $ 156,134 | |
Marketing services agreement | |||||
Other Commitments [Line Items] | |||||
Annual fee for services commitment | $ 2,000 | ||||
Services commitment period | 7 years | ||||
Services commitment extension period | 3 years | ||||
Marketing expense | $ 333 | $ 333 | |||
[1] | Refer to Note 4(c), “Investments in Investment Affiliates.” | ||||
[2] | The Company has an outstanding commitment to participate in certain secured loan facilities through participation agreements with an established loan originator. | ||||
[3] | The Company’s total capital commitments related to other investments as at June 30, 2017 was $313,000 (December 31, 2016: $308,000). |
Related party transactions (Det
Related party transactions (Details) - USD ($) | 3 Months Ended | 6 Months Ended | ||||
Jun. 30, 2017 | Jun. 30, 2016 | Jun. 30, 2017 | Jun. 30, 2016 | Dec. 31, 2016 | ||
Related Party Transaction [Line Items] | ||||||
Investments in affiliates | $ 103,377,000 | $ 103,377,000 | $ 100,431,000 | |||
Group Ark Insurance Holdings Ltd | ||||||
Related Party Transaction [Line Items] | ||||||
Gross premiums written | $ 65,000 | $ 1,971,000 | ||||
Reinsurance premiums ceded | (17,000) | 0 | ||||
Earned premium adjustments | 473,000 | 999,000 | ||||
Premiums receivable | 292,000 | |||||
Loss reserves recoverable | 798,000 | |||||
Wellington Insurance Company | ||||||
Related Party Transaction [Line Items] | ||||||
Gross premiums written | 1,144,000 | 0 | 4,118,000 | 0 | ||
Earned premium adjustments | 1,676,000 | 0 | 2,537,000 | 0 | ||
Premiums receivable | 3,531,000 | 3,531,000 | 666,000 | |||
Investment affiliate | ||||||
Related Party Transaction [Line Items] | ||||||
Investments in affiliates | 100,431,000 | |||||
Partnership fees incurred | 130,000 | $ 440,000 | 486,000 | $ 440,000 | ||
Investment commitment | ||||||
Related Party Transaction [Line Items] | ||||||
Remaining commitment | 228,779,000 | 228,779,000 | 258,704,000 | |||
Investment commitment | Investment affiliate | ||||||
Related Party Transaction [Line Items] | ||||||
Remaining commitment | [1] | $ 84,046,000 | $ 84,046,000 | $ 64,071,000 | ||
[1] | Refer to Note 4(c), “Investments in Investment Affiliates.” |
Earnings per share (Details)
Earnings per share (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2017 | Jun. 30, 2016 | Jun. 30, 2017 | Jun. 30, 2016 | |
Basic earnings per share | ||||
Net income available to Validus common shareholders | $ 101,095 | $ 94,963 | $ 195,656 | $ 261,773 |
Weighted average number of common shares outstanding | 79,270,561 | 81,950,833 | 79,202,116 | 82,386,047 |
Basic earnings per share available to common shareholders | $ 1.28 | $ 1.16 | $ 2.47 | $ 3.18 |
Earnings per diluted share | ||||
Net income available to Validus common shareholders | $ 101,095 | $ 94,963 | $ 195,656 | $ 261,773 |
Weighted average number of common shares outstanding | 79,270,561 | 81,950,833 | 79,202,116 | 82,386,047 |
Weighted average number of diluted common shares outstanding | 80,872,451 | 83,373,003 | 80,861,998 | 83,785,659 |
Earnings per diluted share available to common shareholders | $ 1.25 | $ 1.14 | $ 2.42 | $ 3.12 |
Other details: | ||||
Anti-dilutive securities excluded from the calculation of diluted earnings per share | 412,603 | 507,262 | 207,054 | 253,631 |
Stock options | ||||
Earnings per diluted share | ||||
Share equivalents | 14,739 | 33,796 | 15,059 | 34,837 |
Unvested restricted shares | ||||
Earnings per diluted share | ||||
Share equivalents | 1,587,151 | 1,388,374 | 1,644,823 | 1,364,775 |
Segment information (Summary of
Segment information (Summary of results of operating and other segments) (Details) $ in Thousands | 3 Months Ended | 6 Months Ended | |||||
Jun. 30, 2017USD ($) | Jun. 30, 2016USD ($) | Jun. 30, 2017USD ($)segments | Jun. 30, 2016USD ($) | ||||
Segment Reporting Information [Line Items] | |||||||
Number of operating segments | segments | 4 | ||||||
Underwriting revenues | |||||||
Gross premiums written | $ 792,902 | $ 764,042 | $ 1,983,759 | $ 1,936,833 | |||
Reinsurance premiums ceded | (56,222) | (36,229) | (256,328) | (204,064) | |||
Net premiums written | 736,680 | 727,813 | 1,727,431 | 1,732,769 | |||
Change in unearned premiums | (105,653) | (154,090) | (521,028) | (587,778) | |||
Net premiums earned | 631,027 | 573,723 | 1,206,403 | 1,144,991 | |||
Other insurance related income (loss) | 1,165 | 745 | 2,401 | 1,481 | |||
Segmental revenues | 632,192 | 574,468 | 1,208,804 | 1,146,472 | |||
Underwriting deductions | |||||||
Losses and loss expenses | 296,149 | 307,130 | 565,734 | 531,577 | |||
Policy acquisition costs | 117,268 | 107,966 | 228,896 | 215,159 | |||
General and administrative expenses | 96,349 | 89,688 | 184,273 | 175,896 | |||
Share compensation expenses | 11,146 | 10,727 | 20,637 | 21,964 | |||
Total underwriting deductions | 520,912 | 515,511 | 999,540 | 944,596 | |||
Segmental income | 111,280 | 58,957 | 209,264 | 201,876 | |||
Other items | 7,684 | [1] | 24,056 | [1] | 16,325 | 60,617 | |
Dividends on preferred shares | (2,203) | 0 | (4,406) | ||||
Net investment income | 44,241 | 39,257 | 84,455 | 68,718 | |||
Transaction expenses | (4,427) | 0 | (4,427) | 0 | |||
(Income) attributable to AlphaCat investors | (11,830) | (6,114) | (19,333) | (10,714) | |||
Net (income) attributable to noncontrolling interest | (43,650) | (21,193) | (86,222) | (58,724) | |||
Finance expenses | 14,209 | 14,166 | 28,152 | 29,369 | |||
Tax (benefit) expense | (987) | 1,706 | (4,536) | (412) | |||
Net realized gains on investments | 2,274 | 2,724 | 1,110 | 2,140 | |||
Change in net unrealized gains on managed investments (b) | 16,321 | 31,428 | 29,669 | 78,872 | |||
Income (loss) from investment affiliates | 9,466 | (589) | 14,654 | (4,702) | |||
Foreign exchange gains (losses) | 7,329 | (6,286) | 5,760 | (12,531) | |||
Net income available to Validus | 103,298 | 94,963 | 200,062 | 261,773 | |||
Selected ratios: | |||||||
Net income available to Validus common shareholders | 101,095 | 94,963 | 195,656 | 261,773 | |||
Corporate and investment | |||||||
Underwriting deductions | |||||||
Dividends on preferred shares | 0 | ||||||
Operating Segments | Validus Re | |||||||
Underwriting revenues | |||||||
Gross premiums written | 296,997 | 285,810 | 917,519 | 977,478 | |||
Reinsurance premiums ceded | (11,387) | (3,196) | (120,200) | (95,691) | |||
Net premiums written | 285,610 | 282,614 | 797,319 | 881,787 | |||
Change in unearned premiums | (45,003) | (35,492) | (338,300) | (390,834) | |||
Net premiums earned | 240,607 | 247,122 | 459,019 | 490,953 | |||
Other insurance related income (loss) | 58 | 150 | 136 | (165) | |||
Segmental revenues | 240,665 | 247,272 | 459,155 | 490,788 | |||
Underwriting deductions | |||||||
Losses and loss expenses | 104,685 | 132,139 | 190,839 | 215,007 | |||
Policy acquisition costs | 47,158 | 42,564 | 88,414 | 84,823 | |||
General and administrative expenses | 19,274 | 17,872 | 36,106 | 35,051 | |||
Share compensation expenses | 2,663 | 2,775 | 5,140 | 5,676 | |||
Total underwriting deductions | 173,780 | 195,350 | 320,499 | 340,557 | |||
Segmental income | 66,885 | 51,922 | 138,656 | 150,231 | |||
Validus share of segmental income | $ 66,885 | $ 51,922 | $ 138,656 | $ 150,231 | |||
Selected ratios: | |||||||
Net premiums written / Gross premiums written | 96.20% | 98.90% | 86.90% | 90.20% | |||
Losses and loss expenses | 43.50% | 53.50% | 41.60% | 43.80% | |||
Policy acquisition costs | 19.60% | 17.20% | 19.30% | 17.30% | |||
General and administrative expenses | [2] | 9.10% | 8.40% | 8.90% | 8.30% | ||
Expense ratio | 28.70% | 25.60% | 28.20% | 25.60% | |||
Combined ratio | 72.20% | 79.10% | 69.80% | 69.40% | |||
Operating Segments | Talbot Segment | |||||||
Underwriting revenues | |||||||
Gross premiums written | $ 262,477 | $ 296,067 | $ 509,652 | $ 562,384 | |||
Reinsurance premiums ceded | (24,977) | (27,161) | (117,801) | (114,619) | |||
Net premiums written | 237,500 | 268,906 | 391,851 | 447,765 | |||
Change in unearned premiums | (45,626) | (67,357) | (4,912) | (39,424) | |||
Net premiums earned | 191,874 | 201,549 | 386,939 | 408,341 | |||
Other insurance related income (loss) | 65 | 279 | 820 | 290 | |||
Segmental revenues | 191,939 | 201,828 | 387,759 | 408,631 | |||
Underwriting deductions | |||||||
Losses and loss expenses | 93,389 | 109,310 | 199,801 | 209,411 | |||
Policy acquisition costs | 44,305 | 43,613 | 87,581 | 87,956 | |||
General and administrative expenses | 35,582 | 39,061 | 74,025 | 77,596 | |||
Share compensation expenses | 3,155 | 3,270 | 5,982 | 6,792 | |||
Total underwriting deductions | 176,431 | 195,254 | 367,389 | 381,755 | |||
Segmental income | 15,508 | 6,574 | 20,370 | 26,876 | |||
Validus share of segmental income | $ 15,508 | $ 6,574 | $ 20,370 | $ 26,876 | |||
Selected ratios: | |||||||
Net premiums written / Gross premiums written | 90.50% | 90.80% | 76.90% | 79.60% | |||
Losses and loss expenses | 48.70% | 54.20% | 51.60% | 51.30% | |||
Policy acquisition costs | 23.10% | 21.60% | 22.60% | 21.50% | |||
General and administrative expenses | [2] | 20.20% | 21.10% | 20.70% | 20.70% | ||
Expense ratio | 43.30% | 42.70% | 43.30% | 42.20% | |||
Combined ratio | 92.00% | 96.90% | 94.90% | 93.50% | |||
Operating Segments | Western World | |||||||
Underwriting revenues | |||||||
Gross premiums written | $ 131,068 | $ 86,971 | $ 303,111 | $ 150,930 | |||
Reinsurance premiums ceded | (23,180) | (5,006) | (28,798) | (9,145) | |||
Net premiums written | 107,888 | 81,965 | 274,313 | 141,785 | |||
Change in unearned premiums | 22,806 | (16,309) | (46,347) | (14,630) | |||
Net premiums earned | 130,694 | 65,656 | 227,966 | 127,155 | |||
Other insurance related income (loss) | 663 | 189 | 904 | 477 | |||
Segmental revenues | 131,357 | 65,845 | 228,870 | 127,632 | |||
Underwriting deductions | |||||||
Losses and loss expenses | 97,008 | 44,229 | 171,933 | 83,875 | |||
Policy acquisition costs | 19,230 | 15,410 | 39,466 | 29,610 | |||
General and administrative expenses | 18,316 | 11,458 | 29,070 | 23,533 | |||
Share compensation expenses | 609 | 542 | 1,301 | 1,123 | |||
Total underwriting deductions | 135,163 | 71,639 | 241,770 | 138,141 | |||
Segmental income | (3,806) | (5,794) | (12,900) | (10,509) | |||
Validus share of segmental income | $ (3,806) | $ (5,794) | $ (12,900) | $ (10,509) | |||
Selected ratios: | |||||||
Net premiums written / Gross premiums written | 82.30% | 94.20% | 90.50% | 93.90% | |||
Losses and loss expenses | 74.20% | 67.40% | 75.40% | 66.00% | |||
Policy acquisition costs | 14.70% | 23.50% | 17.30% | 23.30% | |||
General and administrative expenses | [2] | 14.50% | 18.20% | 13.40% | 19.30% | ||
Expense ratio | 29.20% | 41.70% | 30.70% | 42.60% | |||
Combined ratio | 103.40% | 109.10% | 106.10% | 108.60% | |||
Operating Segments | AlphaCat | |||||||
Underwriting revenues | |||||||
Gross premiums written | $ 105,682 | $ 98,905 | $ 270,608 | $ 266,253 | |||
Third party management fees | 5,549 | 3,091 | 10,193 | 7,818 | |||
Related party management fees | 644 | 328 | 1,275 | 1,219 | |||
Segmental revenues | 6,193 | 3,419 | 11,468 | 9,037 | |||
Underwriting deductions | |||||||
General and administrative expenses | 3,549 | 2,751 | 7,393 | 4,233 | |||
Share compensation expenses | 83 | 133 | 165 | 274 | |||
Total underwriting deductions | 3,812 | 2,963 | 7,767 | 5,402 | |||
Segmental income | 2,381 | 456 | 3,701 | 3,635 | |||
Net investment income | [3] | 4,143 | 4,421 | 8,955 | 10,028 | ||
Finance expenses | 44 | 75 | 75 | 883 | |||
Tax (benefit) expense | 135 | 0 | 134 | ||||
Foreign exchange gains (losses) | 1 | 4 | 0 | 12 | |||
Operating Segments | AlphaCat | AlphaCat sidecars | |||||||
Underwriting revenues | |||||||
Gross premiums written | 0 | (14) | 66 | (66) | |||
Underwriting deductions | |||||||
Net investment income | [3] | (21) | 541 | (133) | 665 | ||
Operating Segments | AlphaCat | AlphaCat ILS funds - Lower Risk | |||||||
Underwriting revenues | |||||||
Gross premiums written | [4] | 53,632 | 50,234 | 106,540 | 110,192 | ||
Underwriting deductions | |||||||
Net investment income | [3],[4] | 1,301 | 2,075 | 3,490 | 4,582 | ||
Operating Segments | AlphaCat | AlphaCat ILS funds - Higher Risk | |||||||
Underwriting revenues | |||||||
Gross premiums written | [4] | 43,672 | 42,010 | 137,208 | 138,330 | ||
Underwriting deductions | |||||||
Net investment income | [3],[4] | 2,600 | 692 | 4,967 | 3,128 | ||
Operating Segments | AlphaCat | BetaCat ILS funds | |||||||
Underwriting deductions | |||||||
Net investment income | [3] | 263 | 1,113 | 631 | 1,676 | ||
Operating Segments | AlphaCat | PaCRe funds | |||||||
Underwriting deductions | |||||||
Net investment income | [3] | 0 | 0 | 0 | (23) | ||
Operating Segments | AlphaCat | AlphaCat direct | |||||||
Underwriting revenues | |||||||
Gross premiums written | [5] | 8,378 | 6,675 | 26,794 | 17,797 | ||
Operating Segments | AlphaCat And Consolidated Variable Interest Entities | |||||||
Underwriting revenues | |||||||
Gross premiums written | 105,682 | 98,905 | 270,608 | 266,253 | |||
Reinsurance premiums ceded | 0 | (4,577) | (6,660) | (4,821) | |||
Net premiums written | 105,682 | 94,328 | 263,948 | 261,432 | |||
Change in unearned premiums | (37,830) | (34,932) | (131,469) | (142,890) | |||
Net premiums earned | 67,852 | 59,396 | 132,479 | 118,542 | |||
Other insurance related income (loss) | 5,874 | 3,401 | 11,035 | 9,066 | |||
Segmental revenues | 73,726 | 62,797 | 143,514 | 127,608 | |||
Underwriting deductions | |||||||
Losses and loss expenses | 1,067 | 21,452 | 3,161 | 23,284 | |||
Policy acquisition costs | 7,165 | 6,530 | 14,066 | 12,687 | |||
General and administrative expenses | 9,768 | 6,561 | 19,409 | 14,017 | |||
Share compensation expenses | 83 | 133 | 165 | 274 | |||
Total underwriting deductions | 18,083 | 34,676 | 36,801 | 50,262 | |||
Segmental income | 55,643 | 28,121 | 106,713 | 77,346 | |||
Other items | 183 | [1] | 1,058 | [1] | 1,298 | 1,212 | |
Net investment income | 6,178 | 3,005 | 10,200 | 4,543 | |||
(Income) attributable to AlphaCat investors | (11,830) | (6,114) | (19,333) | (10,714) | |||
Net (income) attributable to noncontrolling interest | (43,650) | (21,193) | (86,222) | (58,724) | |||
Validus share of segmental income | 6,524 | 4,877 | 12,656 | 13,663 | |||
Operating Segments | Corporate and investment | |||||||
Underwriting deductions | |||||||
General and administrative expenses | 18,847 | 17,872 | 36,024 | 34,055 | |||
Share compensation expenses | 4,636 | 4,007 | 8,049 | 8,099 | |||
Total underwriting deductions | 23,483 | 21,879 | 44,073 | 42,154 | |||
Segmental income | (23,483) | (21,879) | (44,073) | (42,154) | |||
Other items | 7,501 | [1] | 22,998 | [1] | 15,027 | 59,405 | |
Dividends on preferred shares | (2,203) | 0 | (4,406) | 0 | |||
Net investment income | [6] | 38,063 | 36,849 | 74,255 | 64,772 | ||
Transaction expenses | (4,427) | 0 | (4,427) | 0 | |||
Finance expenses | [6] | 14,149 | 13,979 | 28,013 | 28,320 | ||
Tax (benefit) expense | (1,122) | 1,706 | (4,670) | (412) | |||
Total expenses | 38,713 | 37,564 | 71,822 | 70,062 | |||
Validus share of segmental income | 15,451 | 37,968 | 36,376 | 82,023 | |||
Net realized gains on investments | [6] | 2,269 | 2,520 | (623) | 1,434 | ||
Change in net unrealized gains on managed investments (b) | [6] | 15,942 | 30,052 | 30,291 | 77,130 | ||
Income (loss) from investment affiliates | 9,466 | (589) | 14,654 | (4,702) | |||
Foreign exchange gains (losses) | [6] | 7,323 | (6,621) | 6,220 | (12,695) | ||
Other income | 174 | 79 | 268 | 756 | |||
Total other items | 16,101 | 38,683 | 33,943 | 87,313 | |||
Eliminations | |||||||
Underwriting revenues | |||||||
Gross premiums written | (3,322) | (3,711) | (17,131) | (20,212) | |||
Reinsurance premiums ceded | 3,322 | 3,711 | 17,131 | 20,212 | |||
Net premiums written | 0 | 0 | |||||
Change in unearned premiums | 0 | 0 | |||||
Net premiums earned | 0 | 0 | |||||
Other insurance related income (loss) | (5,495) | (3,274) | (10,494) | (8,187) | |||
Segmental revenues | (5,495) | (3,274) | (10,494) | (8,187) | |||
Underwriting deductions | |||||||
Losses and loss expenses | 0 | 0 | |||||
Policy acquisition costs | (590) | (151) | (631) | 83 | |||
General and administrative expenses | (5,438) | (3,136) | (10,361) | (8,356) | |||
Total underwriting deductions | (6,028) | (3,287) | (10,992) | (8,273) | |||
Segmental income | 533 | 13 | 498 | 86 | |||
Net investment income | 0 | (597) | 0 | (597) | |||
Validus share of segmental income | $ 533 | $ (584) | $ 498 | $ (511) | |||
[1] | Other items includes finance expenses, tax expenses, foreign exchange gains (losses), net realized and change in net unrealized gains (losses) on investments, income from investment and operating affiliates and other income (loss). | ||||||
[2] | The general and administrative expense ratio includes share compensation expenses. | ||||||
[3] | The investment income from the AlphaCat funds and sidecars is based on equity accounting. | ||||||
[4] | Lower risk AlphaCat ILS funds have a maximum permitted portfolio expected loss of less than 7%, whereas higher risk AlphaCat ILS funds have a maximum permitted portfolio expected loss of greater than 7%. Expected loss represents the average annual loss over the set of simulation scenarios divided by the total limit. | ||||||
[5] | AlphaCat Direct includes direct investments from third party investors in AlphaCat Re. | ||||||
[6] | These items exclude the components which are included in Validus’ share of AlphaCat and amounts which are consolidated from VIEs. |
Segment information (Gross prem
Segment information (Gross premiums written by geographic location and segment) (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||||
Jun. 30, 2017 | Jun. 30, 2016 | Jun. 30, 2017 | Jun. 30, 2016 | |||
Gross premiums written allocated to the territory of coverage exposure | ||||||
Gross premiums written | $ 792,902 | $ 764,042 | $ 1,983,759 | $ 1,936,833 | ||
Percent of gross premiums written | 100.00% | 100.00% | 100.00% | 100.00% | ||
United States | ||||||
Gross premiums written allocated to the territory of coverage exposure | ||||||
Gross premiums written | $ 332,455 | $ 292,114 | $ 774,774 | $ 701,830 | ||
Percent of gross premiums written | 41.90% | 38.20% | 39.10% | 36.20% | ||
Worldwide excluding United States | ||||||
Gross premiums written allocated to the territory of coverage exposure | ||||||
Gross premiums written | $ 38,148 | [1] | $ 53,363 | [1] | $ 112,929 | $ 134,667 |
Percent of gross premiums written | 4.70% | [1] | 7.00% | [1] | 5.70% | 7.00% |
Australia and New Zealand | ||||||
Gross premiums written allocated to the territory of coverage exposure | ||||||
Gross premiums written | $ 7,155 | $ 4,877 | $ 11,118 | $ 16,060 | ||
Percent of gross premiums written | 0.90% | 0.60% | 0.60% | 0.80% | ||
Europe | ||||||
Gross premiums written allocated to the territory of coverage exposure | ||||||
Gross premiums written | $ 6,865 | $ 10,193 | $ 47,957 | $ 49,048 | ||
Percent of gross premiums written | 0.90% | 1.30% | 2.30% | 2.50% | ||
Latin America and Caribbean | ||||||
Gross premiums written allocated to the territory of coverage exposure | ||||||
Gross premiums written | $ 35,309 | $ 31,078 | $ 65,956 | $ 65,441 | ||
Percent of gross premiums written | 4.50% | 4.10% | 3.30% | 3.40% | ||
Japan | ||||||
Gross premiums written allocated to the territory of coverage exposure | ||||||
Gross premiums written | $ 45,342 | $ 44,732 | $ 49,491 | $ 47,697 | ||
Percent of gross premiums written | 5.70% | 5.90% | 2.50% | 2.50% | ||
Canada | ||||||
Gross premiums written allocated to the territory of coverage exposure | ||||||
Gross premiums written | $ 4,392 | $ 4,478 | $ 7,199 | $ 7,195 | ||
Percent of gross premiums written | 0.60% | 0.60% | 0.40% | 0.40% | ||
Rest of the world | ||||||
Gross premiums written allocated to the territory of coverage exposure | ||||||
Gross premiums written | $ 28,150 | [2] | $ 32,608 | [2] | $ 63,645 | $ 74,895 |
Percent of gross premiums written | 3.60% | [2] | 4.30% | [2] | 3.20% | 3.90% |
Sub-total, non United States | ||||||
Gross premiums written allocated to the territory of coverage exposure | ||||||
Gross premiums written | $ 165,361 | $ 181,329 | $ 358,295 | $ 395,003 | ||
Percent of gross premiums written | 20.90% | 23.80% | 18.00% | 20.50% | ||
Worldwide including United States | ||||||
Gross premiums written allocated to the territory of coverage exposure | ||||||
Gross premiums written | $ 115,202 | [1] | $ 121,773 | [1] | $ 361,499 | $ 368,543 |
Percent of gross premiums written | 14.50% | [1] | 15.90% | [1] | 18.20% | 19.00% |
Other location non-specific | ||||||
Gross premiums written allocated to the territory of coverage exposure | ||||||
Gross premiums written | $ 179,884 | [3] | $ 168,826 | [3] | $ 489,191 | $ 471,457 |
Percent of gross premiums written | 22.70% | [3] | 22.10% | [3] | 24.70% | 24.30% |
Operating Segments | Validus Re | ||||||
Gross premiums written allocated to the territory of coverage exposure | ||||||
Gross premiums written | $ 296,997 | $ 285,810 | $ 917,519 | $ 977,478 | ||
Operating Segments | Validus Re | United States | ||||||
Gross premiums written allocated to the territory of coverage exposure | ||||||
Gross premiums written | 100,312 | 129,087 | 314,180 | 424,481 | ||
Operating Segments | Validus Re | Worldwide excluding United States | ||||||
Gross premiums written allocated to the territory of coverage exposure | ||||||
Gross premiums written | 4,537 | [1] | 16,975 | [1] | 38,605 | 47,239 |
Operating Segments | Validus Re | Australia and New Zealand | ||||||
Gross premiums written allocated to the territory of coverage exposure | ||||||
Gross premiums written | 3,264 | 1,926 | 4,195 | 6,849 | ||
Operating Segments | Validus Re | Europe | ||||||
Gross premiums written allocated to the territory of coverage exposure | ||||||
Gross premiums written | 748 | 3,267 | 30,364 | 25,734 | ||
Operating Segments | Validus Re | Latin America and Caribbean | ||||||
Gross premiums written allocated to the territory of coverage exposure | ||||||
Gross premiums written | 11,874 | 5,992 | 21,216 | 19,574 | ||
Operating Segments | Validus Re | Japan | ||||||
Gross premiums written allocated to the territory of coverage exposure | ||||||
Gross premiums written | 39,305 | 39,053 | 40,466 | 39,925 | ||
Operating Segments | Validus Re | Canada | ||||||
Gross premiums written allocated to the territory of coverage exposure | ||||||
Gross premiums written | 3,155 | 1,821 | 4,870 | 3,497 | ||
Operating Segments | Validus Re | Rest of the world | ||||||
Gross premiums written allocated to the territory of coverage exposure | ||||||
Gross premiums written | 4,877 | [2] | 3,259 | [2] | 18,782 | 19,947 |
Operating Segments | Validus Re | Sub-total, non United States | ||||||
Gross premiums written allocated to the territory of coverage exposure | ||||||
Gross premiums written | 67,760 | 72,293 | 158,498 | 162,765 | ||
Operating Segments | Validus Re | Worldwide including United States | ||||||
Gross premiums written allocated to the territory of coverage exposure | ||||||
Gross premiums written | 53,524 | [1] | 35,561 | [1] | 155,945 | 147,338 |
Operating Segments | Validus Re | Other location non-specific | ||||||
Gross premiums written allocated to the territory of coverage exposure | ||||||
Gross premiums written | 75,401 | [3] | 48,869 | [3] | 288,896 | 242,894 |
Operating Segments | Talbot Segment | ||||||
Gross premiums written allocated to the territory of coverage exposure | ||||||
Gross premiums written | 262,477 | 296,067 | 509,652 | 562,384 | ||
Operating Segments | Talbot Segment | United States | ||||||
Gross premiums written allocated to the territory of coverage exposure | ||||||
Gross premiums written | 34,470 | 39,135 | 63,555 | 65,245 | ||
Operating Segments | Talbot Segment | Worldwide excluding United States | ||||||
Gross premiums written allocated to the territory of coverage exposure | ||||||
Gross premiums written | 32,627 | [1] | 30,028 | [1] | 66,958 | 65,532 |
Operating Segments | Talbot Segment | Australia and New Zealand | ||||||
Gross premiums written allocated to the territory of coverage exposure | ||||||
Gross premiums written | 1,848 | 2,063 | 5,030 | 4,375 | ||
Operating Segments | Talbot Segment | Europe | ||||||
Gross premiums written allocated to the territory of coverage exposure | ||||||
Gross premiums written | 5,857 | 6,855 | 17,572 | 20,716 | ||
Operating Segments | Talbot Segment | Latin America and Caribbean | ||||||
Gross premiums written allocated to the territory of coverage exposure | ||||||
Gross premiums written | 24,800 | 27,597 | 48,977 | 51,404 | ||
Operating Segments | Talbot Segment | Japan | ||||||
Gross premiums written allocated to the territory of coverage exposure | ||||||
Gross premiums written | 3,381 | 3,965 | 5,206 | 4,582 | ||
Operating Segments | Talbot Segment | Canada | ||||||
Gross premiums written allocated to the territory of coverage exposure | ||||||
Gross premiums written | 1,111 | 2,470 | 2,248 | 3,562 | ||
Operating Segments | Talbot Segment | Rest of the world | ||||||
Gross premiums written allocated to the territory of coverage exposure | ||||||
Gross premiums written | 23,168 | [2] | 29,806 | [2] | 46,440 | 57,290 |
Operating Segments | Talbot Segment | Sub-total, non United States | ||||||
Gross premiums written allocated to the territory of coverage exposure | ||||||
Gross premiums written | 92,792 | 102,784 | 192,431 | 207,461 | ||
Operating Segments | Talbot Segment | Worldwide including United States | ||||||
Gross premiums written allocated to the territory of coverage exposure | ||||||
Gross premiums written | 30,735 | [1] | 34,198 | [1] | 58,092 | 62,652 |
Operating Segments | Talbot Segment | Other location non-specific | ||||||
Gross premiums written allocated to the territory of coverage exposure | ||||||
Gross premiums written | 104,480 | [3] | 119,950 | [3] | 195,574 | 227,026 |
Operating Segments | Western World | ||||||
Gross premiums written allocated to the territory of coverage exposure | ||||||
Gross premiums written | 131,068 | 86,971 | 303,111 | 150,930 | ||
Operating Segments | Western World | United States | ||||||
Gross premiums written allocated to the territory of coverage exposure | ||||||
Gross premiums written | 131,068 | 86,971 | 303,111 | 150,930 | ||
Operating Segments | Western World | Worldwide excluding United States | ||||||
Gross premiums written allocated to the territory of coverage exposure | ||||||
Gross premiums written | 0 | [1] | 0 | [1] | 0 | 0 |
Operating Segments | Western World | Australia and New Zealand | ||||||
Gross premiums written allocated to the territory of coverage exposure | ||||||
Gross premiums written | 0 | 0 | 0 | 0 | ||
Operating Segments | Western World | Europe | ||||||
Gross premiums written allocated to the territory of coverage exposure | ||||||
Gross premiums written | 0 | 0 | 0 | 0 | ||
Operating Segments | Western World | Latin America and Caribbean | ||||||
Gross premiums written allocated to the territory of coverage exposure | ||||||
Gross premiums written | 0 | 0 | 0 | 0 | ||
Operating Segments | Western World | Japan | ||||||
Gross premiums written allocated to the territory of coverage exposure | ||||||
Gross premiums written | 0 | 0 | 0 | 0 | ||
Operating Segments | Western World | Canada | ||||||
Gross premiums written allocated to the territory of coverage exposure | ||||||
Gross premiums written | 0 | 0 | 0 | 0 | ||
Operating Segments | Western World | Rest of the world | ||||||
Gross premiums written allocated to the territory of coverage exposure | ||||||
Gross premiums written | 0 | [2] | 0 | [2] | 0 | 0 |
Operating Segments | Western World | Sub-total, non United States | ||||||
Gross premiums written allocated to the territory of coverage exposure | ||||||
Gross premiums written | 0 | 0 | 0 | 0 | ||
Operating Segments | Western World | Worldwide including United States | ||||||
Gross premiums written allocated to the territory of coverage exposure | ||||||
Gross premiums written | 0 | [1] | 0 | [1] | 0 | 0 |
Operating Segments | Western World | Other location non-specific | ||||||
Gross premiums written allocated to the territory of coverage exposure | ||||||
Gross premiums written | 0 | [3] | 0 | [3] | 0 | 0 |
Operating Segments | AlphaCat | ||||||
Gross premiums written allocated to the territory of coverage exposure | ||||||
Gross premiums written | 105,682 | 98,905 | 270,608 | 266,253 | ||
Operating Segments | AlphaCat | United States | ||||||
Gross premiums written allocated to the territory of coverage exposure | ||||||
Gross premiums written | 70,048 | 37,338 | 98,251 | 62,729 | ||
Operating Segments | AlphaCat | Worldwide excluding United States | ||||||
Gross premiums written allocated to the territory of coverage exposure | ||||||
Gross premiums written | 870 | [1] | 6,496 | [1] | 7,905 | 22,507 |
Operating Segments | AlphaCat | Australia and New Zealand | ||||||
Gross premiums written allocated to the territory of coverage exposure | ||||||
Gross premiums written | 2,003 | 867 | 2,003 | 4,949 | ||
Operating Segments | AlphaCat | Europe | ||||||
Gross premiums written allocated to the territory of coverage exposure | ||||||
Gross premiums written | (15) | (145) | 451 | 3,306 | ||
Operating Segments | AlphaCat | Latin America and Caribbean | ||||||
Gross premiums written allocated to the territory of coverage exposure | ||||||
Gross premiums written | 46 | 0 | 46 | 0 | ||
Operating Segments | AlphaCat | Japan | ||||||
Gross premiums written allocated to the territory of coverage exposure | ||||||
Gross premiums written | 2,662 | 1,721 | 3,855 | 3,221 | ||
Operating Segments | AlphaCat | Canada | ||||||
Gross premiums written allocated to the territory of coverage exposure | ||||||
Gross premiums written | 130 | 223 | 130 | 223 | ||
Operating Segments | AlphaCat | Rest of the world | ||||||
Gross premiums written allocated to the territory of coverage exposure | ||||||
Gross premiums written | 0 | [2] | 0 | [2] | 0 | 0 |
Operating Segments | AlphaCat | Sub-total, non United States | ||||||
Gross premiums written allocated to the territory of coverage exposure | ||||||
Gross premiums written | 5,696 | 9,162 | 14,390 | 34,206 | ||
Operating Segments | AlphaCat | Worldwide including United States | ||||||
Gross premiums written allocated to the territory of coverage exposure | ||||||
Gross premiums written | 29,937 | [1] | 52,394 | [1] | 153,246 | 167,767 |
Operating Segments | AlphaCat | Other location non-specific | ||||||
Gross premiums written allocated to the territory of coverage exposure | ||||||
Gross premiums written | 1 | [3] | 11 | [3] | 4,721 | 1,551 |
Operating Segments | AlphaCat And Consolidated Variable Interest Entities | ||||||
Gross premiums written allocated to the territory of coverage exposure | ||||||
Gross premiums written | 105,682 | 98,905 | 270,608 | 266,253 | ||
Eliminations | ||||||
Gross premiums written allocated to the territory of coverage exposure | ||||||
Gross premiums written | (3,322) | (3,711) | (17,131) | (20,212) | ||
Eliminations | United States | ||||||
Gross premiums written allocated to the territory of coverage exposure | ||||||
Gross premiums written | (3,443) | (417) | (4,323) | (1,555) | ||
Eliminations | Worldwide excluding United States | ||||||
Gross premiums written allocated to the territory of coverage exposure | ||||||
Gross premiums written | 114 | [1] | (136) | [1] | (539) | (611) |
Eliminations | Australia and New Zealand | ||||||
Gross premiums written allocated to the territory of coverage exposure | ||||||
Gross premiums written | 40 | 21 | (110) | (113) | ||
Eliminations | Europe | ||||||
Gross premiums written allocated to the territory of coverage exposure | ||||||
Gross premiums written | 275 | 216 | (430) | (708) | ||
Eliminations | Latin America and Caribbean | ||||||
Gross premiums written allocated to the territory of coverage exposure | ||||||
Gross premiums written | (1,411) | (2,511) | (4,283) | (5,537) | ||
Eliminations | Japan | ||||||
Gross premiums written allocated to the territory of coverage exposure | ||||||
Gross premiums written | (6) | (7) | (36) | (31) | ||
Eliminations | Canada | ||||||
Gross premiums written allocated to the territory of coverage exposure | ||||||
Gross premiums written | (4) | (36) | (49) | (87) | ||
Eliminations | Rest of the world | ||||||
Gross premiums written allocated to the territory of coverage exposure | ||||||
Gross premiums written | 105 | [2] | (457) | [2] | (1,577) | (2,342) |
Eliminations | Sub-total, non United States | ||||||
Gross premiums written allocated to the territory of coverage exposure | ||||||
Gross premiums written | (887) | (2,910) | (7,024) | (9,429) | ||
Eliminations | Worldwide including United States | ||||||
Gross premiums written allocated to the territory of coverage exposure | ||||||
Gross premiums written | 1,006 | [1] | (380) | [1] | (5,784) | (9,214) |
Eliminations | Other location non-specific | ||||||
Gross premiums written allocated to the territory of coverage exposure | ||||||
Gross premiums written | $ 2 | [3] | $ (4) | [3] | $ 0 | $ (14) |
[1] | Represents risks in two or more geographic zones. | |||||
[2] | Represents risks in one geographic zone. | |||||
[3] | The Other locations non-specific category refers to business for which an analysis of exposure by geographic zone is not applicable since these exposures can span multiple geographic areas and, in some instances, are not fixed locations. |