Document and Entity Information
Document and Entity Information - shares | 3 Months Ended | |
Mar. 31, 2019 | May 09, 2019 | |
Document and Entity Information [Abstract] | ||
Entity Registrant Name | Watford Holdings Ltd. | |
Entity Central Index Key | 0001601669 | |
Current Fiscal Year End Date | --12-31 | |
Entity Filer Category | Non-accelerated Filer | |
Entity Small Business | false | |
Entity Emerging Growth Company | true | |
Entity Ex Transition Period | true | |
Entity Current Reporting Status | No | |
Document Type | 10-Q | |
Document Period End Date | Mar. 31, 2019 | |
Document Fiscal Year Focus | 2019 | |
Document Fiscal Period Focus | Q1 | |
Amendment Flag | false | |
Entity Common Stock, Shares Outstanding | 22,682,875,000 |
Unaudited Consolidated Balance
Unaudited Consolidated Balance Sheets - USD ($) $ in Thousands | Mar. 31, 2019 | Dec. 31, 2018 |
Assets | ||
Term loans, fair value option (Amortized cost: $1,067,676 and $1,055,664) | $ 1,022,238 | $ 1,000,652 |
Fixed maturities, fair value option (Amortized cost: $854,510 and $972,653) | 826,016 | 922,819 |
Short-term investments, fair value option (Cost: $256,065 and $281,959) | 256,711 | 282,132 |
Equity securities, fair value option | 58,801 | 56,638 |
Other investments, fair value option | 51,556 | 49,762 |
Investments, fair value option | 2,215,322 | 2,312,003 |
Fixed maturities, available for sale (Amortized cost: $549,176 and $397,509) | 549,834 | 393,351 |
Equity securities, fair value through net income | 65,010 | 33,013 |
Total investments | 2,830,166 | 2,738,367 |
Cash and cash equivalents | 56,301 | 63,529 |
Accrued investment income | 17,346 | 19,461 |
Premiums receivable | 252,850 | 227,301 |
Reinsurance recoverable on unpaid and paid losses and loss adjustment expenses | 102,817 | 86,445 |
Prepaid reinsurance premiums | 72,960 | 61,587 |
Deferred acquisition costs, net | 80,664 | 80,858 |
Receivable for securities sold | 62,566 | 24,507 |
Intangible assets | 7,650 | 7,650 |
Funds held by reinsurers | 44,638 | 44,830 |
Other assets | 24,911 | 18,321 |
Total assets | 3,552,869 | 3,372,856 |
Liabilities | ||
Reserve for losses and loss adjustment expenses | 1,104,532 | 1,032,760 |
Unearned premiums | 401,838 | 390,114 |
Losses payable | 42,929 | 24,750 |
Reinsurance balances payable | 27,039 | 21,034 |
Payable for securities purchased | 95,577 | 60,142 |
Payable for securities sold short | 28,737 | 8,928 |
Revolving credit agreement borrowings | 652,743 | 693,917 |
Amounts due to affiliates | 8,198 | 5,888 |
Investment management and performance fees payable | 10,483 | 3,807 |
Other liabilities | 17,819 | 20,916 |
Total liabilities | 2,389,895 | 2,262,256 |
Commitments and contingencies | ||
Contingently redeemable preferred shares | 221,083 | 220,992 |
Shareholders’ equity | ||
Common shares ($0.01 par; shares authorized: 120 million; shares issued and outstanding: 22,682,875) | 227 | 227 |
Additional paid-in capital | 895,386 | 895,386 |
Retained earnings (deficit) | 46,357 | (1,275) |
Accumulated other comprehensive income (loss) | (79) | (4,730) |
Total shareholders’ equity | 941,891 | 889,608 |
Total liabilities, contingently redeemable preferred shares and shareholders’ equity | $ 3,552,869 | $ 3,372,856 |
Unaudited Consolidated Balanc_2
Unaudited Consolidated Balance Sheets (Parenthetical) - USD ($) $ in Thousands | Mar. 31, 2019 | Dec. 31, 2018 |
Term loans, fair value option, amortized cost | $ 1,067,676 | $ 1,055,664 |
Fixed maturities, fair value option, amortized cost | 854,510 | 972,653 |
Short term investments, fair value option, amortized cost | 256,065 | 281,959 |
Fixed maturities, available for sale, amortized cost | $ 549,176 | $ 397,509 |
Common shares, par value | $ 0.01 | $ 0.01 |
Common shares, authorized | 120,000,000 | 120,000,000 |
Common shares, issued | 22,682,875 | 22,682,875 |
Common shares, outstanding | 22,682,875 | 22,682,875 |
Unaudited Consolidated Statemen
Unaudited Consolidated Statements of Income (Loss) - USD ($) | 3 Months Ended | |
Mar. 31, 2019 | Mar. 31, 2018 | |
Revenues | ||
Gross premiums written | $ 186,689,000 | $ 213,870,000 |
Gross premiums ceded | (41,302,000) | (34,318,000) |
Net | 145,387,000 | 179,552,000 |
Change in unearned premiums | 707,000 | (42,805,000) |
Net premiums earned | 146,094,000 | 136,747,000 |
Other underwriting income (loss) | 592,000 | 701,000 |
Investment management fees - related parties | (4,409,000) | (4,146,000) |
Borrowing and miscellaneous other investment expenses | (8,298,000) | (6,360,000) |
Net interest income | 30,434,000 | 24,139,000 |
Realized and unrealized gains (losses) on investments | 33,720,000 | (2,006,000) |
Investment performance fees - related parties | (5,800,000) | (2,597,000) |
Net investment income (loss) | 58,354,000 | 19,536,000 |
Net interest income | 43,141,000 | 34,645,000 |
Total revenues | 205,040,000 | 156,984,000 |
Expenses | ||
Loss and loss adjustment expenses | (110,850,000) | (97,989,000) |
Acquisition expenses | (33,974,000) | (34,963,000) |
General and administrative expenses | (7,240,000) | (5,057,000) |
Net foreign exchange gains (losses) | (437,000) | (1,283,000) |
Total expenses | 152,501,000 | 139,292,000 |
Income (loss) before income taxes | 52,539,000 | 17,692,000 |
Income tax expense | 0 | (3,000) |
Net income (loss) before preferred dividends | 52,539,000 | 17,689,000 |
Preferred dividends | (4,907,000) | (4,907,000) |
Net income (loss) available to common shareholders | $ 47,632,000 | $ 12,782,000 |
Earnings (loss) per share: | ||
Earnings (loss) per share, basic and diluted | $ 2.10 | $ 0.56 |
Weighted average number of common shares, basic and diluted | 22,682,875 | 22,682,875 |
Unaudited Consolidated Statem_2
Unaudited Consolidated Statements of Comprehensive Income (Loss) Statement - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2019 | Mar. 31, 2018 | |
Net income (loss) available to common shareholders | $ 47,632 | $ 12,782 |
Other comprehensive income (loss) net of income tax: | ||
Available for sale investments: unrealized holding gains (losses) arising during the year | 5,045 | (561) |
Available for sale investments: reclassification of net realized (gains) losses, net of income taxes, included in net income | (229) | 144 |
Foreign currency translation adjustments | (165) | (339) |
Other comprehensive income (loss) net of income tax | 4,651 | (756) |
Comprehensive income (loss) | $ 52,283 | $ 12,026 |
Unaudited Consolidated Statem_3
Unaudited Consolidated Statements of Changes in Shareholders' Equity Statement - USD ($) $ in Thousands | Total | Common shares | Additional paid-in capital | Accumulated other comprehensive income (loss) | Unrealized holding gains (losses) of available for sale investments | Currency translation adjustment | Retained earnings (deficit) |
Balance, beginning of period at Dec. 31, 2017 | $ 227 | $ 895,386 | $ (972) | $ 0 | $ (972) | $ 53,241 | |
Common shares issued | 0 | 0 | |||||
Unrealized holding gains (losses) of available for sale investments, net of reclassification adjustment | (417) | ||||||
Currency translation adjustment | $ (339) | (339) | |||||
Net income (loss) before preferred dividends | 17,689 | 17,689 | |||||
Preferred share dividends paid and accrued | (4,907) | (4,907) | |||||
Balance, end of period at Mar. 31, 2018 | 959,908 | 227 | 895,386 | (1,728) | (417) | (1,311) | 66,023 |
Balance, beginning of period at Dec. 31, 2018 | 889,608 | 227 | 895,386 | (4,730) | (4,158) | (572) | (1,275) |
Common shares issued | 0 | 0 | |||||
Unrealized holding gains (losses) of available for sale investments, net of reclassification adjustment | 4,816 | ||||||
Currency translation adjustment | (165) | (165) | |||||
Net income (loss) before preferred dividends | 52,539 | 52,539 | |||||
Preferred share dividends paid and accrued | (4,907) | (4,907) | |||||
Balance, end of period at Mar. 31, 2019 | $ 941,891 | $ 227 | $ 895,386 | $ (79) | $ 658 | $ (737) | $ 46,357 |
Unaudited Consolidated Statem_4
Unaudited Consolidated Statements of Cash Flows - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2019 | Mar. 31, 2018 | |
Operating Activities | ||
Net income (loss) before preferred dividends | $ 52,539 | $ 17,689 |
Adjustments to reconcile net income (loss) to net cash provided by operating activities: | ||
Net realized and unrealized (gains) losses on investments | (34,932) | (1,393) |
Amortization of fixed assets | 38 | 42 |
Changes in: | ||
Accrued investment income | 2,121 | 1,435 |
Premiums receivable | (22,686) | (62,928) |
Reinsurance recoverable on unpaid and paid losses and loss adjustment expenses | (16,703) | (4,128) |
Prepaid reinsurance premiums | (11,374) | (19,694) |
Deferred acquisition costs, net | 471 | (6,259) |
Reserve for losses and loss adjustment expenses | 67,964 | 47,650 |
Unearned premiums | 10,667 | 62,498 |
Reinsurance balances payable | 6,069 | 7,662 |
Funds held with reinsurers | 598 | 3,189 |
Other liabilities | 18,353 | (20,882) |
Other items | (2,819) | 5,354 |
Net Cash Provided By Operating Activities | 70,306 | 30,235 |
Investing Activities | ||
Purchase of term loans | (72,168) | (117,944) |
Purchase of fixed maturity investments | (306,656) | (437,374) |
Proceeds from sale, redemptions and maturity of term loans | 48,630 | 138,646 |
Proceeds from sales, redemptions and maturities of fixed maturity investments | 303,076 | 327,645 |
Net (purchases) sales of short-term investments with maturities over three months | 25,000 | 0 |
Net (purchases) sales of short-term investments with maturities less than three months | 504 | 137,743 |
Purchases of equity securities | (38,399) | (31,113) |
Proceeds from sales of equity securities | 7,312 | 5,327 |
Net settlements of derivative instruments | 824 | 0 |
Purchases of furniture, equipment and other assets | 0 | (7) |
Net Cash Provided by (Used For) Investing Activities | (31,877) | 22,923 |
Financing Activities | ||
Dividends paid on redeemable preferred shares | (4,816) | (4,816) |
Repayments on borrowings | (100,102) | (101,000) |
Proceeds from borrowings | 59,000 | 51,373 |
Net Cash Used For Financing Activities | (45,918) | (54,443) |
Effects of exchange rate changes on foreign currency cash | 261 | 835 |
Decrease in cash | (7,228) | (450) |
Cash and cash equivalents, beginning of period | 63,529 | 54,503 |
Cash and cash equivalents, end of period | 56,301 | 54,053 |
Supplementary information | ||
Income taxes paid | 0 | 3 |
Interest paid | $ 7,864 | $ 5,896 |
Organization
Organization | 3 Months Ended |
Mar. 31, 2019 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Organization | Watford Holdings Ltd. (the “Parent”) and its wholly-owned subsidiary, Watford Re Ltd. (“Watford Re”), were incorporated under the laws of Bermuda on July 19, 2013. As used herein, the terms “Company” or “Companies,” or “we,” “us” and “our,” collectively refer to the Parent and/or, as applicable, its subsidiaries. Watford Re is licensed as a Class 4 multi-line insurer under the Insurance Act 1978 of Bermuda, as amended, and related regulations (the “Insurance Act”) and is licensed to underwrite general business on an insurance and reinsurance basis. Through Watford Re, the Company primarily underwrites reinsurance on exposures worldwide. On March 28, 2019, the Company completed a direct listing of its common shares on the Nasdaq Global Select Market. The Company did not issue any new common shares or receive any proceeds from the sale of common shares by the selling shareholders. Watford Re and Watford Insurance Company Europe Limited ( “WICE”) have engaged Arch Underwriters Ltd. (“AUL”), a company incorporated in Bermuda and a wholly-owned subsidiary of Arch Capital Group Ltd. (“ACGL”), to act as their insurance and reinsurance manager pursuant to services agreements between AUL and Watford Re and WICE, respectively. AUL manages the day-to-day underwriting activities of Watford Re and WICE, subject to the provisions of the services agreement and the oversight of our board of directors. See Note 11 - “Transactions with related parties” for further details. Watford Specialty Insurance Company (“WSIC”) and Watford Insurance Company (“WIC”), which are wholly-owned, indirect subsidiaries of Watford Re, have engaged Arch Underwriters Inc. (“AUI”), a company incorporated in Delaware and a wholly-owned subsidiary of ACGL, to act as their insurance and reinsurance manager pursuant to services agreements between AUI and WSIC and WIC, respectively. AUI manages the day-to-day underwriting activities of WSIC and WIC, subject to the provisions of the services agreement and the oversight of our board of directors. See Note 11 - “Transactions with related parties” for further details. The Company has engaged HPS Investment Partners, LLC (“HPS”), as investment manager of the assets in its non-investment grade portfolio pursuant to various investment management agreements. HPS invests the Company’s non-investment grade assets, subject to the terms of the applicable investment management agreements. See Note 11 - “Transactions with related parties” for further details. The Company has engaged Arch Investment Management Ltd. (“AIM”), a Bermuda exempted company and a subsidiary of ACGL, as investment manager of assets in its investment grade portfolio pursuant to various investment management agreements. AIM manages the majority of the Company’s investment grade assets pursuant to the terms of the investment management agreements with AIM. See Note 11 - “Transactions with related parties” for further details. The results for the three months ended March 31, 2019 are not necessarily indicative of the results expected for the full calendar year. |
Significant accounting policies
Significant accounting policies | 3 Months Ended |
Mar. 31, 2019 | |
Accounting Policies [Abstract] | |
Significant accounting policies | There has been no material change to the Company’s significant accounting policies as described in its audited consolidated financial statements and the accompanying notes as of December 31, 2018 and 2017 , and for each of the three years in the period ended December 31, 2018 , 2017 and 2016 , except as noted below. (a) Basis of presentation The unaudited interim consolidated financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (“GAAP”). All significant intercompany transactions and balances have been eliminated on consolidation. The preparation of financial statements in conformity with 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. Actual results could differ from those estimates and assumptions. In the opinion of management, the accompanying unaudited interim consolidated financial statements reflect all adjustments (consisting of recurring accruals) necessary for a fair statement of results on an interim basis. Certain information and footnote disclosures normally included in financial statements prepared in accordance with GAAP have been condensed or omitted; however management believes that the disclosures are adequate to make the information presented not misleading. This report should be read in conjunction with the Company ’ s audited consolidated financial statements and the accompanying notes for the years ended December 31, 2018 , 2017 and 2016 . (b) Recent accounting pronouncements Issued and effective as of March 31, 2019 In August 2017, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update 2017-12, Derivatives and Hedging (Topic 815), Targeted Improvements to Accounting for Hedging Activities (“ASU 2017-12”). ASU 2017-12 intends to improve the financial reporting of hedging relationships to better portray the economic results of an entity’s risk management activities in its financial statements. ASU 2017-12 is effective January 1, 2019. This ASU was adopted on January 1, 2019, and did not have a material impact on the Company ’ s consolidated financial statements. In February 2018, the FASB issued Accounting Standards Update 2018-02, Income Statement - Reporting Comprehensive Income (Topic 220), Reclassification of Certain Tax Effects from Accumulated Other Comprehensive Income (“ASU 2018-02”). ASU 2018-02 permits companies to reclassify disproportionate tax effects in accumulated other comprehensive income caused by the Tax Cuts and Jobs Act of 2017 to retained earnings. ASU 2018-02 is effective for fiscal years beginning after December 31, 2018 and interim periods within those fiscal years. This ASU was adopted on January 1, 2019, and did not have a material impact on the Company ’ s consolidated financial statements and disclosures. Issued and effective as of March 31, 2019 - Leases In February 2016, the FASB issued Accounting Standards Update 2016-02, Leases (“ASU 2016-02”). The new accounting guidance requires that the lessee recognize an asset and a liability for leases with a lease term greater than 12 months regardless of whether the lease is classified as operating or financing. Under the previous accounting standard, operating leases were not reflected in the balance sheet. In July 2018, the FASB issued Accounting Standards Update 2018-10, Codification Improvements to Topic 842, Leases (“ASU 2018-10”). ASU 2018-10 intends to increase transparency and comparability among organizations by recognizing lease assets and lease liabilities on the balance sheet and disclosing key information about leasing transactions. In July 2018, the FASB issued Accounting Standards Update 2018-11, Leases (Topic 842), Targeted Improvements (“ASU 2018-11”), which will ease implementation of the lease standard ASU 2016-02. The guidance provides an alternative transition method by which leases are recognized at the date of adoption. Entities that elect this transition option will still be required to adopt the new leases standard using the modified retrospective transition method required by the standard, but they will recognize a cumulative-effect adjustment to the opening balance of retained earnings in the period of adoption rather than in the earliest period presented. The Company has adopted this alternative transition method. In March 2019, the FASB issued Accounting Standards Update 2019-01, Leases (Topic 842), Codification Improvements (“ASU 2019-01”), which will identify and clarify three issues relevant to the implementation of ASU 2016-02. Issue 1 and Issue 2 address accounting considerations for the lessor of a leasing transactions, and as such are not relevant to the Company. Issue 3 clarifies that issuers are exempt from the requirement to disclose the effect of adopting ASU 2016-02 on net income and related per-share amounts in post-adoption interim periods. The Company adopted the ASUs listed above on January 1, 2019. The adoption of the updated guidance resulted in the Company recognizing a right-of-use asset of $1.1 million and a lease liability of $1.1 million in other assets and other liabilities, respectively, in the Company’s consolidated balance sheets as at March 31, 2019 . The cumulative effect adjustment to the opening balance of retained earnings was $ Nil . The adoption of the updated guidance did not have a material effect on the Company’s results of operations or liquidity. |
Segment information
Segment information | 3 Months Ended |
Mar. 31, 2019 | |
Segment Reporting [Abstract] | |
Segment information | The Company reports results under one segment, which we refer to as our “ underwriting segment. ” The underwriting segment captures the results of the Company’s underwriting lines of business, which are comprised of specialty products on a worldwide basis. Lines of business include: (i) casualty reinsurance; (ii) property catastrophe reinsurance; (iii) other specialty reinsurance; and (iv) insurance programs and coinsurance. The accounting policies of the underwriting segment are the same as those used for the preparation of the Company’s consolidated financial statements. The Company has a corporate function that includes certain general and administrative expenses related to corporate activities, net foreign exchange gains (losses), income tax expense and items related to the Company’s contingently redeemable preferred shares. The following tables provide summary information regarding premiums written and earned by line of business and net premiums written by client location and underwriting location: Three Months Ended March 31, 2019 2018 ($ in thousands) Gross premiums written: Casualty reinsurance $ 75,601 $ 85,963 Other specialty reinsurance 24,298 64,499 Property catastrophe reinsurance 5,992 3,845 Insurance programs and coinsurance 80,798 59,563 Total $ 186,689 $ 213,870 Net premiums written: Casualty reinsurance $ 75,065 $ 85,695 Other specialty reinsurance 23,182 57,538 Property catastrophe reinsurance 5,982 3,834 Insurance programs and coinsurance 41,158 32,485 Total $ 145,387 $ 179,552 Net premiums earned: Casualty reinsurance $ 63,313 $ 67,741 Other specialty reinsurance 44,561 37,778 Property catastrophe reinsurance 2,971 2,636 Insurance programs and coinsurance 35,249 28,592 Total $ 146,094 $ 136,747 Net premiums written by client location: United States $ 53,208 $ 60,127 Bermuda 19,961 19,360 Europe 69,147 99,514 Asia and Pacific 3,071 551 Total $ 145,387 $ 179,552 Net premiums written by underwriting location: United States $ 18,402 $ 9,782 Europe 23,258 22,897 Bermuda 103,727 146,873 Total $ 145,387 $ 179,552 |
Reinsurance
Reinsurance | 3 Months Ended |
Mar. 31, 2019 | |
Reinsurance Disclosures [Abstract] | |
Reinsurance | Through reinsurance agreements with Arch Reinsurance Ltd. (“ARL”) and Arch Reinsurance Company (“ARC”) , subsidiaries of ACGL and as well as other third-party reinsurance agreements, the Company cedes a portion of its premiums. The effects of reinsurance on the Company’s written and earned premiums, losses and loss adjustment expenses were as follows: Three Months Ended March 31, 2019 2018 Premiums written ($ in thousands) Direct $ 80,798 $ 59,563 Assumed 105,891 154,307 Ceded (41,302 ) (34,318 ) Net $ 145,387 $ 179,552 Premiums earned Direct $ 63,517 $ 38,928 Assumed 113,481 112,444 Ceded (30,904 ) (14,625 ) Net $ 146,094 $ 136,747 Losses and loss adjustment expenses Direct $ 48,404 $ 25,437 Assumed 84,524 78,460 Ceded (22,078 ) (5,908 ) Net $ 110,850 $ 97,989 The Company monitors the financial condition of its reinsurers and attempts to place coverages only with financially sound carriers. At March 31, 2019 and December 31, 2018 , a majority of the Company’s reinsurance recoverables on paid and unpaid losses (not including prepaid reinsurance premiums) were due from ARL and ARC, each of which have ratings of “A+” from A.M. Best. Although the Company has not experienced any material credit losses to date, an inability of its reinsurers to meet their obligations to it over the relevant exposure periods for any reason could have a material adverse effect on its financial condition and results of operations. |
Reserve for losses and loss adj
Reserve for losses and loss adjustment expenses | 3 Months Ended |
Mar. 31, 2019 | |
Liability for Future Policy Benefits and Unpaid Claims and Claims Adjustment Expense [Abstract] | |
Reserve for losses and loss adjustment expenses | The following table represents an analysis of losses and loss adjustment expenses and a reconciliation of the beginning and ending reserve for losses and loss adjustment expenses for the three months ended March 31, 2019 and 2018 . Three Months Ended March 31, 2019 2018 ($ in thousands) Gross reserve for losses and loss adjustment expenses at beginning of period $ 1,032,760 $ 798,262 Unpaid losses and loss adjustment expenses recoverable 81,267 39,856 Net reserve for losses and loss adjustment expenses at beginning of period 951,493 758,406 Net incurred losses and loss adjustment expenses relating to losses occurring in: Current period 110,901 97,386 Prior years (51 ) 603 Total net losses and loss adjustment expenses 110,850 97,989 Foreign exchange gains (losses) 4,163 6,545 Net paid losses and loss adjustment expenses relating to losses occurring in: Current period (6,330 ) (4,737 ) Prior years (54,598 ) (49,359 ) Total paid losses and loss adjustment expenses (60,928 ) (54,096 ) Net reserve for losses and loss adjustment expenses at end of period 1,005,578 808,844 Unpaid losses and loss adjustment expenses recoverable 98,954 43,984 Gross reserve for losses and loss adjustment expenses at end of period $ 1,104,532 $ 852,828 During 2019 , the Company recorded net favorable development on prior year loss reserves of $0.1 million . Net favorable development was experienced on casualty reinsurance losses of $1.8 million , offset by unfavorable development on property catastrophe losses of $0.8 million , insurance losses of $0.6 million and other specialty losses of $0.4 million . During 2018 , the Company recorded net unfavorable development on prior year loss reserves of $0.6 million . The development relates to adverse development on casualty reinsurance losses of $1.0 million , other specialty reinsurance losses of $0.2 million and insurance losses of $0.3 million , offset in part by $0.8 million favorable development on our property catastrophe reinsurance business. |
Investment information
Investment information | 3 Months Ended |
Mar. 31, 2019 | |
Investments, Debt and Equity Securities [Abstract] | |
Investment information | Available for Sale Investments The following table summarizes the fair value of the Company’s securities classified as available for sale as at March 31, 2019 and December 31, 2018 : Cost or Amortized Cost Gross Unrealized Gains Gross Unrealized Losses Fair Value March 31, 2019 ($ in thousands) Fixed maturities: U.S. government and government agency bonds $ 226,110 $ 1,402 $ (67 ) $ 227,445 Non-U.S. government and government agency bonds 100,488 1,813 (1,730 ) 100,571 Corporate bonds 66,516 245 (199 ) 66,562 Asset-backed securities 138,647 270 (1,168 ) 137,749 Mortgage-backed securities 16,341 90 (26 ) 16,405 Municipal government and government agency bonds 1,074 28 — 1,102 Total investments, available for sale $ 549,176 $ 3,848 $ (3,190 ) $ 549,834 Cost or Amortized Cost Gross Unrealized Gains Gross Unrealized Losses Fair Value December 31, 2018 ($ in thousands) Fixed maturities: U.S. government and government agency bonds $ 156,884 $ 672 $ (127 ) $ 157,429 Non-U.S. government and government agency bonds 89,661 670 (2,859 ) 87,472 Corporate bonds 77,178 19 (1,204 ) 75,993 Asset-backed securities 58,369 72 (1,351 ) 57,090 Mortgage-backed securities 14,344 17 (81 ) 14,280 Municipal government and government agency bonds 1,073 14 — 1,087 Total investments, available for sale $ 397,509 $ 1,464 $ (5,622 ) $ 393,351 The following table summarizes, for all available for sale securities in an unrealized loss position, the fair value and gross unrealized losses by length of time the security has been in a continual unrealized loss position: Less than 12 Months 12 Months or More Total Fair Value Gross Unrealized Losses Fair Value Gross Unrealized Losses Fair Value Gross Unrealized Losses March 31, 2019 ($ in thousands) Fixed maturities: U.S. government and government agency bonds $ 27,337 $ (29 ) $ 18,323 $ (38 ) $ 45,660 $ (67 ) Non-U.S. government and government agency bonds 66,845 (1,718 ) 5,442 (12 ) 72,287 (1,730 ) Corporate bonds 14,494 (162 ) 17,780 (37 ) 32,274 (199 ) Asset-backed securities 102,217 (1,167 ) 1,997 (1 ) 104,214 (1,168 ) Mortgage-backed securities 2,980 (26 ) — — 2,980 (26 ) Total $ 213,873 $ (3,102 ) $ 43,542 $ (88 ) $ 257,415 $ (3,190 ) At March 31, 2019 , 52 positions out of a total of 92 positions were in an unrealized loss position, however the unrealized loss was less than 10% for all positions. The unrealized loss position decreased during the quarter. The Company believes that such securities were temporarily impaired at March 31, 2019 . Less than 12 Months 12 Months or More Total Fair Value Gross Unrealized Losses Fair Value Gross Unrealized Losses Fair Value Gross Unrealized Losses December 31, 2018 ($ in thousands) Fixed maturities: U.S. government and government agency bonds $ 66,422 $ (127 ) $ — $ — $ 66,422 $ (127 ) Non-U.S. government and government agency bonds 78,084 (2,859 ) — — 78,084 (2,859 ) Corporate bonds 70,443 (1,204 ) — — 70,443 (1,204 ) Asset-backed securities 49,400 (1,351 ) — — 49,400 (1,351 ) Mortgage-backed securities 8,478 (81 ) — — 8,478 (81 ) Total $ 272,827 $ (5,622 ) $ — $ — $ 272,827 $ (5,622 ) At December 31, 2018 , 60 positions out of a total of 73 positions were in an unrealized loss position, however the unrealized loss was less than 10% for all positions. The decrease in value can be attributed to an increase in interest rates and unfavorable foreign exchange rates for the non-U.S. government agency bonds during the year ended December 31, 2018 . The Company believes that such securities were temporarily impaired at December 31, 2018 . The amortized cost and fair value of our fixed maturities classified as available for sale, summarized by contractual maturity as of March 31, 2019 and December 31, 2018 were as follows: March 31, 2019 Amortized Cost Estimated Fair Value % of Fair Value ($ in thousands) Due in one year or less $ 16,378 $ 16,341 3.0 % Due after one year through five years 299,537 300,716 54.7 % Due after five years through ten years 78,273 78,623 14.3 % Asset-backed securities 138,647 137,749 25.0 % Mortgage-backed securities 16,341 16,405 3.0 % Total investments, available for sale $ 549,176 $ 549,834 100.0 % December 31, 2018 Amortized Cost Estimated Fair Value % of Fair Value ($ in thousands) Due after one year through five years $ 278,443 $ 276,706 70.4 % Due after five years through ten years 46,353 45,275 11.5 % Asset-backed securities 58,369 57,090 14.5 % Mortgage-backed securities 14,344 14,280 3.6 % Total investments, available for sale $ 397,509 $ 393,351 100.0 % Fair Value Option and Fair Value Through Net Income The following table summarizes the fair value of the Company’s securities held as at March 31, 2019 and December 31, 2018 , classified as fair value through net income or for which the fair value option was elected: Cost or Amortized Cost Gross Unrealized Gains Gross Unrealized Losses Fair Value March 31, 2019 ($ in thousands) Term loan investments $ 1,067,676 $ 3,593 $ (49,031 ) $ 1,022,238 Fixed maturities: Corporate bonds 504,287 9,631 (31,233 ) 482,685 U.S. government and government agency bonds 111,113 — (1,448 ) 109,665 Asset-backed securities 183,292 4,464 (8,093 ) 179,663 Mortgage-backed securities 8,803 12 (1,185 ) 7,630 Non-U.S. government and government agency bonds 40,376 151 (741 ) 39,786 Municipal government and government agency bonds 6,639 — (52 ) 6,587 Short term investments 256,065 829 (183 ) 256,711 Other investments 50,000 1,556 — 51,556 Equities 56,614 6,712 (4,525 ) 58,801 Investments, fair value option $ 2,284,865 $ 26,948 $ (96,491 ) $ 2,215,322 Fair Value Through Net Income: Equities, fair value through net income (1) 75,554 1,310 (11,854 ) 65,010 Cost or Amortized Cost Gross Unrealized Gains Gross Unrealized Losses Fair Value December 31, 2018 ($ in thousands) Term loan investments $ 1,055,664 $ 767 $ (55,779 ) $ 1,000,652 Fixed maturities: Corporate bonds 617,013 6,468 (44,867 ) 578,614 U.S. government and government agency bonds 113,452 — (2,206 ) 111,246 Asset-backed securities 174,846 673 (6,626 ) 168,893 Mortgage-backed securities 9,122 — (1,241 ) 7,881 Non-U.S. government and government agency bonds 50,914 1 (1,874 ) 49,041 Municipal government and government agency bonds 7,306 — (162 ) 7,144 Short term investments 281,959 570 (397 ) 282,132 Other investments 50,000 — (238 ) 49,762 Equities 56,609 5,136 (5,107 ) 56,638 Investments, fair value option $ 2,416,885 $ 13,615 $ (118,497 ) $ 2,312,003 Fair Value Through Net Income: Equities, fair value through net income (1) 41,358 2,030 (10,375 ) 33,013 (1) Effective January 1, 2018, the Company adopted new accounting guidance for financial instruments. As a result, equity securities acquired after January 1, 2018 are classified as fair value through net income and are shown separately above. The amortized cost and fair value of our term loans, fixed maturities and short-term investments, excluding securities classified as available for sale, summarized by contractual maturity as of March 31, 2019 and December 31, 2018 were as follows: March 31, 2019 Amortized Cost Estimated Fair Value % of Fair Value ($ in thousands) Due in one year or less $ 262,629 $ 263,565 12.5 % Due after one year through five years 933,400 891,703 42.4 % Due after five years through ten years 730,895 702,527 33.4 % Due after ten years 59,232 59,877 2.8 % Asset-backed securities 183,292 179,663 8.5 % Mortgage-backed securities 8,803 7,630 0.4 % Total $ 2,178,251 $ 2,104,965 100.0 % December 31, 2018 Amortized Cost Estimated Fair Value % of Fair Value ($ in thousands) Due in one year or less $ 300,554 $ 300,519 13.6 % Due after one year through five years 1,044,539 992,834 45.0 % Due after five years through ten years 777,290 731,662 33.2 % Due after ten years 3,925 3,814 0.2 % Asset-backed securities 174,846 168,893 7.6 % Mortgage-backed securities 9,122 7,881 0.4 % Total $ 2,310,276 $ 2,205,603 100.0 % The table below summarizes the credit quality of our total investments as of March 31, 2019 and December 31, 2018 , as rated by Standard & Poor’s Financial Services, LLC, or Standard & Poor’s, Moody’s Investors Service, or Moody’s, Fitch Ratings Inc., or Fitch, or Kroll Bond Rating Agency, or KBRA, as applicable: Credit Rating (1) March 31, 2019 Fair Value AAA AA A BBB BB B CCC CC D Not Rated ($ in thousands) Term loan investments $ 1,022,238 $ — $ — $ — $ — $ 25,364 $ 688,143 $ 238,628 $ 2,638 $ 7,286 $ 60,179 Fixed maturities: Corporate bonds 549,247 — 28,933 72,717 61,704 15,920 128,610 196,870 — 10,399 34,094 U.S. government and government agency bonds 337,110 — 337,110 — — — — — — — — Asset-backed securities 317,412 3,769 2,670 24,767 187,129 40,692 19,078 — — — 39,307 Mortgage-backed securities 24,035 — — — 16,405 842 — — — 2,411 4,377 Non-U.S. government and government agency bonds 140,357 5,294 135,063 — — — — — — — — Municipal government and government agency bonds 7,689 6,587 564 538 — — — — — — — Total fixed income instruments 2,398,088 15,650 504,340 98,022 265,238 82,818 835,831 435,498 2,638 20,096 137,957 Short term investments 256,711 13,043 107,201 64,353 72,114 — — — — — — Total fixed income instruments and short term investments 2,654,799 28,693 611,541 162,375 337,352 82,818 835,831 435,498 2,638 20,096 137,957 Other Investments 51,556 Equities 123,811 Total $ 2,830,166 $ 28,693 $ 611,541 $ 162,375 $ 337,352 $ 82,818 $ 835,831 $ 435,498 $ 2,638 $ 20,096 $ 137,957 Credit Rating (1) December 31, 2018 Fair Value AAA AA A BBB BB B CCC CC C D Not Rated ($ in thousands) Term loan investments $ 1,000,652 $ — $ — $ — $ — $ 57,844 $ 677,211 $ 201,116 $ 2,438 $ — $ — $ 62,043 Fixed maturities: Corporate bonds 654,607 3,961 58,185 100,590 63,791 15,246 174,867 203,505 — 2,200 — 32,262 U.S. government and government agency bonds 268,675 — 268,675 — — — — — — — — — Asset-backed securities 225,983 4,532 4,973 10,278 113,075 36,643 20,818 — — — — 35,664 Mortgage-backed securities 22,161 — — 944 13,336 742 — — — — 2,962 4,177 Non-U.S. government and government agency bonds 136,513 5,173 122,715 8,625 — — — — — — — — Municipal government and government agency bonds 8,231 6,490 715 1,026 — — — — — — — — Total fixed income instruments 2,316,822 20,156 455,263 121,463 190,202 110,475 872,896 404,621 2,438 2,200 2,962 134,146 Short term investments 282,132 4,450 128,015 54,970 68,853 — 25,844 — — — — — Total fixed income instruments and short term investments 2,598,954 24,606 583,278 176,433 259,055 110,475 898,740 404,621 2,438 2,200 2,962 134,146 Other Investments 49,762 Equities 89,651 Total $ 2,738,367 $ 24,606 $ 583,278 $ 176,433 $ 259,055 $ 110,475 $ 898,740 $ 404,621 $ 2,438 $ 2,200 $ 2,962 $ 134,146 (1) For individual fixed maturity investments, Standard & Poor’s ratings are used. In the absence of a Standard & Poor’s rating, ratings from Moody’s are used, followed by ratings from Fitch, followed by ratings from KBRA. Fair value option The Company elected to carry the majority of fixed maturity securities and other investments at fair value under the fair value option afforded by accounting guidance regarding the fair value option for financial assets and liabilities. Changes in fair value of investments accounted for using the fair value option are included in “realized and unrealized gain (loss) on investments” in the consolidated statements of income (loss). The Company elected to use this option as investments are not necessarily held to maturity, and in order to address simplification and cost-benefit considerations. Net investment income (loss) The components of net investment income (loss) for the three months ended March 31, 2019 and 2018 were derived from the following sources: Three Months Ended March 31, 2019 Net Interest Income Net Unrealized Gains (Losses) Net Realized Gains (Losses) Net Investment Income (Loss) Net investment income (loss) by asset class: ($ in thousands) Term loan investments $ 22,410 $ 9,366 $ 64 $ 31,840 Fixed maturities - Fair value option 16,043 19,975 (749 ) 35,269 Fixed maturities - Available for sale (1) 3,422 — 395 3,817 Short term investments 524 (448 ) — 76 Equities (2) 120 2,158 — 2,278 Equities, fair value through net income (2) 622 (1,989 ) 1,572 205 Other investments — 1,794 — 1,794 Other (3) — 1,582 — 1,582 Investment management fees - related parties (4,409 ) — — (4,409 ) Borrowing and miscellaneous other investment expenses (8,298 ) — — (8,298 ) Investment performance fees - related parties — — — (5,800 ) $ 30,434 $ 32,438 $ 1,282 $ 58,354 (1) Net realized gains (losses) from the fixed maturities available for sale portfolio consists of realized gains and realized losses of $498.0 thousand and $103.0 thousand , respectively. (2) Net interest income includes dividends for securities held in long and short positions. (3) Other includes unrealized gains and unrealized losses for total return swaps. Three Months Ended March 31, 2018 Net Interest Income Net Unrealized Gains (Losses) Net Realized Gains (Losses) Net Investment Income (Loss) Net investment income (loss) by asset class: ($ in thousands) Term loan investments $ 17,676 $ 6,646 $ (2,760 ) $ 21,562 Fixed maturities - Fair value option 15,755 (3,076 ) (10,805 ) 1,874 Fixed maturities - Available for sale (1) 635 — (144 ) 491 Short term investments 761 — — 761 Equities (2) (182 ) 5,326 2,068 7,212 Equities, fair value through net income (2) — 95 — 95 Other investments — 644 — 644 Investment management fees - related parties (4,146 ) — — (4,146 ) Borrowing and miscellaneous other investment expenses (6,360 ) — — (6,360 ) Investment performance fees - related parties — — — (2,597 ) $ 24,139 $ 9,635 $ (11,641 ) $ 19,536 (1) Net realized gains (losses) from the fixed maturities available for sale portfolio consists of realized gains and realized losses of $6.0 thousand and $150.0 thousand , respectively. (2) Net interest income includes dividends for securities held in long and short positions. Other-than-temporary impairments The Company reviews its available for sale investments on a quarterly basis to determine whether declines in fair value below the amortized cost basis are considered other-than-temporary in accordance with applicable guidance. As of the quarter ended March 31, 2019 , the Company did not identify any other-than-temporary impairments. Pledged and restricted assets For the benefit of certain Arch entities and other third parties that cede business to us, we are required to post and maintain collateral to support our potential obligations under reinsurance contracts that we write. This collateral can be in the form of either investment assets held in collateral trust accounts or letters of credit. Under our credit facilities, in order for us to have the bank issue a letter of credit to our reinsurance contract counterparty, we must post investment assets or cash as collateral to the bank. In either case, the amounts remain restricted for the duration of the term of the trust or letter of credit, as applicable. At March 31, 2019 and December 31, 2018 , the Company held $2.4 billion and $2.4 billion , respectively, in pledged assets in support of insurance and reinsurance liabilities as well as to collateralize our credit facilities and investment derivatives. Included within total pledged assets, the Company held $6.2 million and $5.5 million , respectively, in deposits with U.S. regulatory authorities. |
Fair value
Fair value | 3 Months Ended |
Mar. 31, 2019 | |
Fair Value Disclosures [Abstract] | |
Fair value | Fair value hierarchy Accounting guidance regarding fair value measurements addresses how companies should measure fair value when they are required to use a fair value measure for recognition or disclosure purposes under U.S. GAAP and provides a common definition of fair value to be used throughout U.S. GAAP. It defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. In addition, it establishes a three-level valuation hierarchy for the disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of an asset or liability as of the measurement date. The level in the hierarchy within which a given fair value measurement falls is determined based on the lowest level input that is significant to the measurement (Level 1 being the highest priority and Level 3 being the lowest priority). The levels in the hierarchy are defined as follows: • Level 1: Inputs to the valuation methodology are observable inputs that reflect quoted prices (unadjusted) for identical assets or liabilities in active markets; • Level 2: Inputs to the valuation methodology include quoted prices for similar assets and liabilities in active markets and inputs that are observable for the asset or liability, either directly or indirectly, for substantially the full term of the financial instrument; and • Level 3: Inputs to the valuation methodology are unobservable and significant to the fair value measurement. The availability of observable inputs can vary by financial instrument and is affected by a wide variety of factors including, for example, the type of financial instrument, whether the financial instrument is new and not yet established in the marketplace, and other characteristics particular to the transaction. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires significantly more judgment. The degree of judgment exercised by the Company in determining fair value is greatest for financial instruments categorized in Level 3. In periods of market dislocation, the observability of prices and inputs may be reduced for many financial instruments. This may lead to a change in the valuation techniques used to estimate the fair value measurement and cause an instrument to be reclassified between levels within the fair value hierarchy. Fair value measurements on a recurring basis The following is a description of the valuation methodologies used for securities measured at fair value, as well as the general classification of such securities pursuant to the valuation hierarchy. The Company determines the existence of an active market based on its judgment as to whether transactions for the financial instrument occur in such market with sufficient frequency and volume to provide reliable pricing information. The independent pricing sources obtain market quotations and actual transaction prices for securities that have quoted prices in active markets. The Company uses quoted values and other data provided by nationally recognized independent pricing sources as inputs into its process for determining fair values of its fixed maturity investments. Each price source has its own proprietary method for determining the fair value of securities that are not actively traded. In general, these methods involve the use of “matrix pricing” in which the independent pricing source uses observable market inputs including, but not limited to, investment yields, credit risks and spreads, benchmarking of like securities, broker-dealer quotes, reported trades and sector groupings to determine a reasonable fair value. Where multiple quotes or prices are obtained, a price source hierarchy is maintained in order to determine which price source would be used ( i.e., a price obtained from a pricing service with more seniority in the hierarchy will be used over a less senior one in all cases). The hierarchy prioritizes pricing services based on availability and reliability and assigns the highest priority to index providers. Based on the above review, the Company will challenge any prices for a security or portfolio which are considered not to be representative of fair value. In certain circumstances, when fair values are unavailable from these independent pricing sources, quotes are obtained directly from broker-dealers who are active in the corresponding markets. Such quotes are subject to the validation procedures noted above. Where quotes are unavailable, fair value is determined by the investment manager using quantitative and qualitative assessments such as internally modeled values, which are reviewed by the Company’s management. Of the $2.8 billion of financial assets and liabilities measured at fair value at March 31, 2019 , approximately $203.7 million , or 7.3% were priced using non-binding broker-dealer quotes or modeled valuations. Of the $2.7 billion of financial assets and liabilities measured at fair value at December 31, 2018 , approximately $178.3 million , or 6.5% were priced using non-binding broker-dealer quotes or modeled valuations. The Company reviews its securities measured at fair value and discusses the proper classification of such investments with its investment managers and others. A discussion of the general classification of the Company’s financial instruments follows: Fixed Maturities. The Company uses the market approach valuation technique to estimate the fair value of its fixed maturity securities, when possible. The market approach includes obtaining prices from independent pricing services, such as index providers and pricing vendors, as well as to a lesser extent quotes from broker-dealers. The independent pricing sources obtain market quotations and actual transaction prices for securities that have quoted prices in active markets. Each source has its own proprietary method for determining the fair value of securities that are not actively traded. In general, these methods involve the use of “matrix pricing” in which the independent pricing source uses observable market inputs including, but not limited to, investment yields, credit risks and spreads, benchmarking of like securities, broker-dealer quotes, reported trades and sector groupings to determine a reasonable fair value. The following describes the significant inputs generally used to determine the fair value of the Company’s investment securities by asset class: Term Loans. Fair values are estimated by using quoted prices obtained from independent pricing services for term loan investments with similar characteristics, pricing models or matrix pricing. Such investments are generally classified within Level 2. The fair values for certain of the Company’s term loans are determined by the investment manager using quantitative and qualitative assessments such as internally modeled values, which are reviewed by the Company’s management. The modeled values are based on peer loans and comparison to industry-specific market data. In addition, the investment manager assesses the fair value based on the valuation of the underlying holdings in accordance with the fund’s governing documents. Significant unobservable inputs used to price these securities may include changes in peer and/or comparable credit spreads, accretion of any original issue discount and changes in the issuer’s debt leverage since issue. Changes in peer credit spreads, comparable credits spreads, and issuer debt leverage are negatively correlated with the modeled fair value measurement. Such investments are generally classified within Level 3. Corporate Bonds . Valuations are provided by independent pricing services, substantially all through index providers and pricing vendors, with a small amount through broker-dealers. The fair values of these securities are generally determined using the spread above the risk-free yield curve. These spreads are generally obtained from the new issue market, secondary trading and from broker-dealers who trade in the relevant security market. As the significant inputs used in the pricing process for corporate bonds are observable market inputs, the fair value of the majority of these securities are classified within Level 2. The fair values for certain of the Company’s corporate bonds are determined by the investment manager using quantitative and qualitative assessments such as internally modeled values, which are reviewed by the Company’s management. The modeled values are based on peer bonds and comparison to industry-specific market data. In addition, the investment manager assesses the fair value based on the valuation of the underlying holdings in accordance with the bonds’ governing documents. Significant unobservable inputs used to price these securities may include changes in peer and/or comparable credit spreads, accretion of any original issue discount and changes in the issuer’s debt leverage since issue. Changes in peer credit spreads, comparable credits spreads, and issuer debt leverage are negatively correlated with the modeled fair value measurement. Such investments are generally classified within Level 3. Asset-Backed Securities . Valuations are provided by independent pricing services, substantially all through index providers and pricing vendors, with a small amount through broker-dealers. The fair values of these securities is generally determined through the use of pricing models (including option adjusted spread) which use spreads to determine the appropriate average life of the securities. These spreads are generally obtained from the new issue market, secondary trading and from broker-dealers who trade in the relevant security market. The pricing services also review prepayment speeds and other indicators, when applicable. As the significant inputs used in the pricing process for asset-backed securities are observable market inputs, the fair value of these securities are classified within Level 2. Mortgage-Backed Securities . Valuations are provided by independent pricing services, substantially all through pricing vendors and index providers with a small amount through broker-dealers. The fair values of these securities are generally determined through the use of pricing models (including option adjusted spread) which use spreads to determine the expected average life of the securities. These spreads are generally obtained from the new issue market, secondary trading and from broker-dealers who trade in the relevant security market. The pricing services also review prepayment speeds and other indicators, when applicable. As the significant inputs used in the pricing process for mortgage-backed securities are observable market inputs, the fair value of these securities are classified within Level 2. U.S. Government and Government Agencies . Valuations are provided by independent pricing services, with all prices provided through index providers and pricing vendors. The Company determined that all U.S. Treasuries would be classified as Level 1 securities due to observed levels of trading activity, the high number of strongly correlated pricing quotes received on U.S. Treasuries and other factors. Non-U.S. Government Securities . Valuations are provided by independent pricing services, with all prices provided through index providers and pricing vendors. The fair values of these securities are generally based on international indices or valuation models which include daily observed yield curves, cross-currency basis index spreads and country credit spreads. As the significant inputs used in the pricing process for non-U.S. government securities are observable market inputs, the fair value of these securities are classified within Level 2. Municipal Government Bonds . Valuations are provided by independent pricing services, with all prices provided through index providers and pricing vendors. The fair values of these securities are generally determined using spreads obtained from broker-dealers who trade in the relevant security market, trade prices and the new issue market. As the significant inputs used in the pricing process for municipal bonds are observable market inputs, the fair value of these securities are classified within Level 2. Short-Term Investments . The Company determined that certain of its short-term investments, held in highly liquid money market-type funds, and equities would be included in Level 1 as their fair values are based on quoted market prices in active markets. The fair values of other short-term investments are generally determined using the spread above the risk-free yield curve and are classified within Level 2. Equity Securities . The Company determined that exchange-traded equity securities would be included in Level 1 as their values are based on quoted market prices in active markets. Other equity securities are initially valued at cost which approximates fair value. In subsequent measurement periods, the fair values of these securities are determined using non-binding broker-dealer quotes. These equity securities are included in Level 2 of the valuation hierarchy. Where such quotes are unavailable, fair value is determined by the investment manager using quantitative and qualitative assessments such as internally modeled values, which are reviewed by the Company’s management. As the significant inputs used to price these securities are unobservable, the fair value of these securities are classified as Level 3. Significant unobservable inputs used to price preferred stock may include changes in peer and/or comparable credit spreads, accretion of any original issue discount and changes in the issuer’s debt leverage since issue. Changes in peer credit spreads, comparable credit spreads, and issuer debt leverage are negatively correlated with the modeled fair value measurement. Underwriting Derivative Instruments . The Company values the government-sponsored enterprise credit-risk sharing transactions using a valuation methodology based on observable inputs from non-binding broker-dealer quotes and/or recent trading activity. As the inputs used in the valuation process are observable market inputs, the fair value of these securities are classified within Level 2. Refer to Note 8, “Derivative instruments” for more information. Investment Derivative Instruments . The Company values the investment derivatives, including total return swaps and options, at fair value. As the underlying investments have observable inputs, the fair value of these securities are classified within Level 2. Refer to Note 8, “Derivative instruments” for more information. Other Investments. The fair value of the Company ’ s investment in the private fund is measured using the most recently available NAV, as advised by a third-party administrator. Measuring the Fair Value of Other Investments Using Net Asset Valuations The fair value of the Company’s investment in the private fund is measured using the most recently available NAVs as advised by the third party administrator. The fund NAVs are based on the administrator’s valuation of the underlying holdings in accordance with the fund’s governing documents and in accordance with U.S. GAAP. The Company often does not have access to financial information relating to the underlying securities held within the fund therefore management is unable to corroborate the fair values placed on the securities underlying the asset valuations provided by the fund manager or fund administrator. In order to assess the reasonableness of the NAVs, we perform a number of monitoring procedures on a quarterly basis, to assess the quality of the information provided by the fund manager and fund administrator. These procedures include, but are not limited to, regular review and discussion of the fund’s performance with its manager. The fair value of the private fund is measured using the NAV as a practical expedient, therefore the fair value of the fund has not been categorized within the fair value hierarchy. The following table presents the Company’s financial assets and liabilities measured at fair value by level as at March 31, 2019 and December 31, 2018 : Fair Value Measurement Using: March 31, 2019 Estimated Fair Value Quoted Prices in Active Markets for Identical Assets (Level 1) Significant Other Observable Inputs (Level 2) Significant Unobservable Inputs (Level 3) Assets measured at fair value: ($ in thousands) Term loans $ 1,022,238 $ — $ 974,870 $ 47,368 Fixed maturities: Corporate bonds 549,247 — 525,528 23,719 U.S. government and government agency bonds 337,110 337,001 109 — Asset-backed securities 317,412 — 317,412 — Mortgage-backed securities 24,035 — 24,035 — Non-U.S. government and government agencies 140,357 — 140,357 — Municipal government and government agency bonds 7,689 — 7,689 — Short-term investments 256,711 256,711 — — Equities 123,811 9,147 14,013 100,651 Other underwriting derivative assets 213 — 213 — Investment derivative assets (1) 398 — 398 — Other investments measured at net asset value (2) 51,556 — — — Total assets measured at fair value $ 2,830,777 $ 602,859 $ 2,004,624 $ 171,738 Investment derivative liabilities (1) 398 — 398 — Payable for securities sold short: Corporate bonds 25,709 — 25,709 — Equities 3,028 — 3,028 — Total liabilities measured at fair value $ 29,135 $ — $ 29,135 $ — (1) Investment derivative assets and liabilities represent the fair value of total return swaps, which are recorded in other assets and other liabilities, respectively, in the consolidated balance sheets as of March 31, 2019 . (2) In accordance with applicable accounting guidance, other investments that are measured at fair value using the net asset value practical expedient have not been classified in the fair value hierarchy. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the consolidated balance sheets. Fair Value Measurement Using: December 31, 2018 Estimated Fair Value Quoted Prices in Active Markets for Identical Assets (Level 1) Significant Other Observable Inputs (Level 2) Significant Unobservable Inputs (Level 3) Assets measured at fair value: ($ in thousands) Term loans $ 1,000,652 $ — $ 953,173 $ 47,479 Fixed maturities: Corporate bonds 654,607 — 630,330 24,277 U.S. government and government agency bonds 268,675 268,567 108 — Asset-backed securities 225,983 — 203,423 22,560 Mortgage-backed securities 22,161 — 22,161 — Non-U.S. government and government agencies 136,513 — 136,513 — Municipal government and government agency bonds 8,231 — 8,231 — Short-term investments 282,132 256,288 25,844 — Equities 89,651 7,977 11,223 70,451 Other underwriting derivative assets 249 — 249 — Investment derivative assets (1) 51 — 51 — Other investments measured at net asset value (2) 49,762 — — — Total assets measured at fair value $ 2,738,667 $ 532,832 $ 1,991,306 $ 164,767 Investment derivative liabilities (1) 1,279 — 1,279 — Payable for securities sold short: Corporate bonds 7,790 — 7,790 — Equities (1) 1,138 — 1,138 — Total liabilities measured at fair value $ 10,207 $ — $ 10,207 $ — (1) Investment derivative assets and liabilities represent the fair value of total return swaps, which are recorded in other assets and other liabilities, respectively, in the consolidated balance sheets as of December 31, 2018 . The Compa ny’s call opt ions are recorded as equities in payable for securities sold short in the consolidated balance sheets as of December 31, 2018 . The Company’s put options are recorded as equities in the consolidated balance sheets as of December 31, 2018 . (2) In accordance with applicable accounting guidance, other investments that are measured at fair value using the net asset value practical expedient have not been classified in the fair value hierarchy. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the consolidated balance sheets. When the fair value of financial assets and financial liabilities cannot be derived from active markets, the fair value is determined using a variety of valuation techniques that include the use of models. The inputs to these models are taken from observable markets where possible, but where this is not feasible, estimation is required to establish fair values. Changes in assumptions about these factors could affect the reported fair value of financial instruments and the level where the instruments are disclosed in the fair value hierarchy. The following table presents a reconciliation of the beginning and ending balances for all the financial assets measured at fair value on a recurring basis using Level 3 inputs for the three months ended March 31, 2019 and 2018 : Three Months Ended March 31, 2019 Beginning Balance Transfers in (out) of Level 3 (1) Net Purchases (Sales)(2) Net Unrealized Gains (Losses)(3) Net Unrealized Foreign Exchange Gains (Losses) Ending Balance Term loans $ 47,479 $ — $ 163 $ (274 ) $ — $ 47,368 Corporate bonds 24,277 — (90 ) (69 ) (399 ) 23,719 Asset-backed securities 22,560 (22,560 ) — — — — Equities 70,451 — 30,534 (334 ) — 100,651 Total $ 164,767 $ (22,560 ) $ 30,607 $ (677 ) $ (399 ) $ 171,738 Three Months Ended March 31, 2018 Beginning Balance Net Purchases (Sales)(2) Net Unrealized Gains (Losses)(3) Net Unrealized Foreign Exchange Gains (Losses) Ending Balance Term loans $ 62,478 $ (27,505 ) $ (593 ) $ — $ 34,380 Corporate bonds 24,710 — (88 ) 567 25,189 Short-term investments — 4,302 58 — 4,360 Equities 52,921 30,066 819 — 83,806 Total $ 140,109 $ 6,863 $ 196 $ 567 $ 147,735 (1) During the three months ended March 31, 2019, the Company obtained pricing for an asset-backed security, in which pricing was not available as of December 31, 2018. As such, the security was transferred from Level 3 to Level 2 at its fair value as of December 31, 2018. (2) For the three months ended March 31, 2019 , the net purchases (sales) consisted of purchases of $37.8 million of equities and $237.0 thousand of term loans, offset in part by sales, calls and redemptions of $7.3 million of equities, $89.9 thousand of corporate bonds and $74.0 thousand of term loans. For the three months ended March 31, 2018 , the net purchases (sales) consisted of purchases of $30.1 million equities, $4.3 million of short-term investments and $1.0 million of term loans, partially offset by sales, calls and redemptions of $28.5 million of term loans. (3) Realized and unrealized gains or losses on Level 3 investments are included in “realized and unrealized gain (loss) on investments” in the Company’s consolidated statements of income (loss). Financial instruments disclosed, but not carried, at fair value The Company uses various financial instruments in the normal course of its business. The carrying values of cash and cash equivalents, accrued investment income, receivable for securities sold, certain other assets, payable for securities purchased and certain other liabilities approximated their fair values at March 31, 2019 and December 31, 2018 due to their respective short maturities. As these financial instruments are not actively traded, their respective fair values are classified within Level 2. Fair value measurements on a non-recurring basis The Company measures the fair value of certain assets on a non-recurring basis, generally quarterly, annually, or when events or changes in circumstances indicate that the carrying amount of the assets may not be recoverable. The Company uses a variety of techniques to measure the fair value of these assets when appropriate, as described below. Intangible Assets The Company tests intangible assets for impairment whenever events or changes in circumstances indicate the carrying amount may not be recoverable. When the Company determines intangible assets may be impaired, the Company uses techniques including discounted expected future cash flows, to measure fair value. |
Derivatives
Derivatives | 3 Months Ended |
Mar. 31, 2019 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivatives instruments | Underwriting Derivatives The Company’s underwriting strategy allows it to enter into government-sponsored enterprise credit-risk sharing transactions. These transactions are accounted for as derivatives. The derivative assets and derivative liabilities relating to these transactions are included in other assets and other liabilities, respectively, in the Company’s consolidated balance sheets. Realized and unrealized gains and losses from other derivatives are included in other underwriting income (loss) in the Company’s consolidated statements of net income (loss). The risk in force of these transactions is considered the notional amount. As at March 31, 2019 and December 31, 2018 , the Company held $15.2 million and $15.5 million , respectively, in assets as collateral for these transactions. These assets are included in fixed maturities which are recorded at fair value in the Company’s consolidated balance sheets. Investment Derivatives The Company’s investment strategy allows for the use of derivative securities. Beginning in the third quarter of 2018, the Company invested in call options to manage specific market risks; such derivative instruments are recorded at fair value, and shown as part of payable for securities sold short on its consolidated balance sheets. Such call options matured in the first quarter of 2019. Additionally, beginning in the fourth quarter of 2018, the Company invested in put options to manage specific market risks; such derivative instruments are recorded at fair value, and shown as part of equity investments on its consolidated balance sheets. Such put options were sold in the first quarter of 2019. The Company began investing in total return swaps (“swaps”) during 2018, through a Master Confirmation of Total Return Swap Transactions agreement, and recognizes the swap derivatives at fair value. The derivative assets and derivative liabilities relating to these transactions are included in other assets and other liabilities, respectively, in the Company’s consolidated balance sheets. As at March 31, 2019 and December 31, 2018 , the Company had collateral funds held by the counterparty of $46.8 million and $36.3 million included in short term investments in the Company’s consolidated balance sheets. The fair value of such swaps are based on observable inputs and classified in Level 2 of the valuation hierarchy. Realized and unrealized gains and losses from investment derivatives are included in r ealized and unrealized gains (losses) on investments in the Company’s consolidated statements of net income (loss). The Company did not hold any derivatives which were designated as hedging instruments at March 31, 2019 and December 31, 2018 . The following table summarizes information on the fair values and notional amount of the Company’s derivative instruments at March 31, 2019 and December 31, 2018 : Estimated Fair Value Asset Derivatives Liability Derivatives Net Derivatives Notional Amount (1) ($ in thousands) March 31, 2019 Other underwriting derivatives $ 213 $ — $ 213 $ 70,749 Investment derivatives 398 398 — 115,392 Total $ 611 $ 398 $ 213 $ 186,141 December 31, 2018 Other underwriting derivatives $ 249 $ — $ 249 $ 72,148 Investment derivatives 859 2,417 (1,558 ) 116,214 Total $ 1,108 $ 2,417 $ (1,309 ) $ 188,362 (1) The notional amount represents the absolute value of all outstanding contracts. The realized and unrealized gains and losses on the Company’s derivative instruments are reflected in the consolidated statements of income, as summarized in the following table: Three Months Ended March 31, 2019 2018 ($ in thousands) Underwriting derivatives: Other underwriting income (loss) $ 592 $ 701 Investment derivatives: Realized and unrealized gains (losses) on investments 2,383 — |
Earnings per common share
Earnings per common share | 3 Months Ended |
Mar. 31, 2019 | |
Earnings Per Share [Abstract] | |
Earnings per common share | The calculation of basic earnings per common share is computed by dividing income available to the Parent’s common shareholders by the weighted average number of common shares outstanding for the periods. The following table sets forth the computation of basic and diluted earnings per common share: Three Months Ended March 31, 2019 2018 Numerator: ($ in thousands except share and per share data) Net income (loss) before preferred dividends $ 52,539 $ 17,689 Preferred dividends (4,907 ) (4,907 ) Net income (loss) available to common shareholders $ 47,632 $ 12,782 Denominator: Weighted average common shares outstanding - basic and diluted 22,682,875 22,682,875 Earnings (loss) per common share: Basic and diluted $ 2.10 $ 0.56 |
Income taxes
Income taxes | 3 Months Ended |
Mar. 31, 2019 | |
Income Tax Disclosure [Abstract] | |
Income taxes | Watford Holdings and Watford Re are incorporated under the laws of Bermuda and, under current law, are not obligated to pay any taxes in Bermuda based upon income or capital gains. In the event that any legislation is enacted in Bermuda imposing such taxes, a written undertaking has been received from the Bermuda Minister of Finance under the Exempted Undertakings Tax Protection Act 1966 that such taxes will not be applicable to Watford Holdings and Watford Re until March 31, 2035. WICE is incorporated under the laws of Gibraltar and regulated by the Gibraltar Financial Services Commission (the “ FSC ” ) under the Financial Services (Insurance Company) Act (the “ Gibraltar Act ” ). In addition to its operations in Gibraltar, WICE operates a branch in Romania. The current rates of tax on applicable profits in Gibraltar and Romania are 10% and 16% , respectively. The open tax years that are potentially subject to examination are 2016 through 2019 in Gibraltar and 2018 through 2019 in Romania. Watford Holdings (U.K.) Limited is incorporated in the United Kingdom and is subject to U.K. corporate income tax. The current U.K. corporate income tax rate is 19% and will be reduced to 17% from April 1, 2020. The open tax years that are potentially subject to examination by U.K. tax authorities are 2017 through 2019. Watford Holdings (U.S.) Inc. is incorporated in the U.S. and files a consolidated U.S. federal tax return with its subsidiaries Watford Specialty Insurance Company, Watford Insurance Company, and Watford Services Inc. The U.S. federal tax rate is 21% for tax years beginning after December 31, 2017. The open tax years that are potentially subject to examination by U.S. tax authorities are 2015 through 2019. The Company provides a valuation allowance to reduce certain deferred tax assets to an amount which management expects to more likely than not be realized. As of March 31, 2019 and December 31, 2018 , the Company’s valuation allowance was $1.4 million and $1.5 million , respectively. The valuation allowance primarily relates to U.S. and Gibraltar operating loss carry-forwards. The U.S. net operating loss carry-forwards begin to expire in 2035. The Gibraltar net operating loss carry-forwards do not expire. After consideration of the valuation allowance, the Company had net deferred tax assets of $ Nil as of March 31, 2019 and December 31, 2018 . After taking into account the impact of the decrease in the valuation allowance, the Company recognized income tax expense during the three months ended March 31, 2019 and 2018 of $ Nil and $3.0 thousand , respectively. The Company recognizes a tax benefit where it concludes that it is more likely than not that the tax benefit will be sustained on audit by the taxing authority based solely on the technical merits of the associated tax position. The Company records interest and penalties related to unrecognized tax benefits in the provision for income taxes. As of March 31, 2019 and December 31, 2018 , the Company’s total unrecognized tax benefits, including interest and penalties, were $ Nil . |
Transactions with related parti
Transactions with related parties | 3 Months Ended |
Mar. 31, 2019 | |
Related Party Transactions [Abstract] | |
Transactions with related parties | In March 2014, ARL invested $100.0 million in the Parent and acquired approximately 11% of its common equity. AUL acts as the insurance and reinsurance manager for Watford Re and WICE while AUI acts as the insurance and reinsurance manager for WSIC and WIC, all under separate long-term services agreements. HPS manages the Company’s non-investment grade portfolio as investment manager and AIM manages a portion of the Company’s investment grade portfolio as investment manager, each under separate long-term services agreements. ARL and HPS were granted warrants to purchase additional common equity based on performance criteria. In recognition of the sizable ownership interest, two senior executives of ACGL were appointed to our board of directors. The services agreements with AUL and AUI and the investment management agreements with HPS and AIM provide for services for an extended period of time with limited termination rights by the Company. In addition, these agreements allow for AUL, AUI, HPS and AIM to participate in the favorable results of the Company in the form of performance fees. AUL and AUI Watford Re and WICE entered into services agreements with AUL. WSIC and WIC entered into services agreements with AUI. AUL and AUI provide services related to the management of the underwriting portfolio for a term ending on December 2025. The services agreements perpetually renew automatically in five -year increments unless either we or Arch gives notice to not renew at least 24 months before the end of the then-current term. As part of the services agreements, AUL and AUI make available to the Companies, on a non-exclusive basis, certain designated employees who serve as officers of the Companies and underwrite business on behalf of the Companies (the “Designated Employees”). AUL and AUI also provide portfolio management, Designated Employee supervision, exposure modeling, loss reserve recommendations, claims-handling, accounting and other related services as part of the services agreements. In return for their services, AUL and AUI receive fees from the Companies, including an underwriting fee and profit commission, as well as reimbursement for the services of the Designated Employees and reimbursements for an allocated portion of the expenses related to seconded employees, plus other expenses incurred on behalf of the Company. The related AUL and AUI fees and reimbursements incurred in the consolidated statement of income (loss) for the three months ended March 31, 2019 and 2018 were as follows: Three Months Ended March 31, 2019 2018 Consolidated statement of income (loss) items: ($ in thousands) Acquisition expenses $ 4,948 $ 3,642 General and administrative expenses 2,011 890 $ 6,959 $ 4,532 HPS Certain HPS principals and management own common and preference shares of the Company. In return for its investment services, HPS receives a management fee, a performance fee and allocated operating expenses. The management fee is calculated at an annual rate of 1.0% of the aggregate net asset value of the assets that are managed by HPS, payable quarterly in arrears. For purposes of calculating the management fees, net asset value is determined by HPS in accordance with the investment management agreements and is measured before reduction for any management fees, performance fees or any expense reimbursement and as adjusted for any non-routine intra-month withdrawals. We have also agreed to reimburse HPS for certain expenses related to the management of our non-investment grade portfolio as set forth in the investment management agreements. The base performance fee is equal to 10% of the Income (as defined in the investment management agreements relating to Watford Re, WICE and Watford Trust) or Aggregate Income (as defined in the investment management agreements relating to WSIC and WIC), as applicable, if any, on the assets managed by HPS, calculated and payable as of each fiscal year-end and the date on which the investment management agreements are terminated and not renewed, and HPS is eligible to earn an additional performance fee equal to 25% of any Excess Income (as defined in the investment management agreements) in excess of a net 10% return to Watford after deduction for paid and accrued management fees and base performance fees, with the total performance fees not to exceed 17.5% of the Income or Aggregate Income, as applicable. No performance fees will be paid to HPS if the high water mark (as described in the investment management agreements with HPS) is not met. During the year ended December 31, 2017, the Company invested $50.0 million in a private fund ( “Master Fund”) as part of HPS’s investment strategy. HPS acts as the Trading Manager and provides certain administrative management services to the Master Fund. As at March 31, 2019 the Company’s investment represents approximately 19.0% of the Fund. The management fees and performance fees on the Master Fund will be subject to the existing fee structure of the existing investment management agreement between the Company and HPS, as discussed above. The related consolidated statement of income (loss) for the three months ended March 31, 2019 and 2018 , and consolidated balance sheet account balances for HPS management fees and performance fees as of March 31, 2019 and December 31, 2018 were as follows: Three Months Ended March 31, 2019 2018 Consolidated statement of income (loss) items: ($ in thousands) Investment management fees - related parties $ 4,147 $ 3,852 Investment performance fees - related parties 5,800 2,597 $ 9,947 $ 6,449 March 31, December 31, 2019 2018 Consolidated balance sheet items: ($ in thousands) Other investments, at fair value $ 51,556 $ 49,762 Investment management and performance fees payable 10,483 3,807 AIM Watford Re, WSIC, WICE, and WIC entered into investment management agreements with AIM pursuant to which AIM manages a portion of our investment grade portfolio. Each of the Watford Re, WICE, WSIC and WIC investment management agreements with AIM has a one -year term, with the terms ending annually on March 31, July 31, January 31 and July 31, respectively. The terms will continue to renew for successive one-year periods; provided, however, that either the Company or AIM may terminate any of the investment management agreements with AIM at any time upon 45 days prior written notice. To date, there has been no such notice filed on such agreements. In return for its investment management services, AIM receives a monthly management fee. The management fee is based on a percentage of the aggregate asset value of the AIM managed portfolio. For the purposes of calculating the management fees, asset value is determined by AIM in accordance with the investment management agreements and is measured before deduction of any management fees or expense reimbursement. We have also agreed to reimburse AIM for additional services related to investment consulting and oversight services, administrative operations and risk analytic support services related to the management of our portfolio, as set forth in the investment management agreements. The related consolidated statement of income (loss) for the three months ended March 31, 2019 and 2018 were as follows: Three Months Ended March 31, 2019 2018 Consolidated statement of income (loss) items: ($ in thousands) Investment management fees - related parties $ 262 $ 294 ACGL Certain directors, executive officers and management of ACGL own common and preference shares of the Company. The Company reinsures ARL and other ACGL subsidiaries and affiliates for property and casualty risks on a quota share basis. ACGL cedes business to us pursuant to inward retrocession agreements our operating subsidiaries have entered into with ACGL. Pursuant to these inward retrocession agreements, we pay a ceding fee based on the business ceded and the applicable retrocession agreement. For the three months ended March 31, 2019 and 2018 , we incurred ceding fees to Arch, in aggregate, of $4.2 million and $4.0 million , respectively, under these inward retrocession agreements. Such fees, in addition to origination fees, are reflected in “acquisition expenses” on the consolidated statement of income (loss). The related consolidated statement of income (loss) for the three months ended March 31, 2019 and 2018 , and consolidated balance sheets account balances for these transactions (excluding AUL and AUI expenses described above) as of March 31, 2019 and December 31, 2018 were as follows: Three Months Ended March 31, 2019 2018 Consolidated statement of income (loss) items: ($ in thousands) Gross premiums written $ 72,005 $ 82,131 Gross premiums ceded (16,990 ) (15,287 ) Net premiums earned 48,898 58,308 Losses and loss adjustment expenses 36,232 36,662 Acquisition expenses 21,759 24,200 March 31, December 31, 2019 2018 Consolidated balance sheet items: ($ in thousands) Total investments $ 803,266 $ 719,189 Premiums receivable 132,777 118,208 Reinsurance recoverable on unpaid and paid losses and loss adjustment expenses 50,432 45,954 Prepaid reinsurance premiums 31,856 27,598 Deferred acquisition costs, net 49,124 48,380 Funds held by reinsurers 32,812 33,352 Other receivables (1) 1,697 — Contingent commissions (1) 3,892 2,967 Reserve for losses and loss adjustment expenses 642,045 631,670 Unearned premiums 176,658 166,491 Losses payable 37,313 19,098 Reinsurance balances payable 25,681 20,299 Amounts due to affiliates 8,198 5,888 (1) Other receivables and contingent commissions are recorded in other assets in the consolidated balance sheet. Artex In 2015, WICE and AUL entered into an insurance management services agreement with Artex Risk Solutions (Gibraltar) Limited, or Artex, pursuant to which Artex provides services to WICE relating to management, secretarial, governance, underwriting, claims, reinsurance, financial management, investment, regulatory, compliance, risk management and Solvency II. In addition, two principals of Artex have been appointed directors of WICE. In exchange for these services, we pay Artex fees based on WICE’s gross premiums written, subject to a minimum amount of £150,000 per annum and a maximum amount of £400,000 per annum, in each case subject to an inflation increase on an annual basis. The insurance management services agreement may be terminated by either Artex or WICE upon twelve months prior written notice; provided that the agreement is subject to earlier termination by WICE or Artex upon the occurrence of certain events. The table below provides the aggregate fees we paid to Artex under the insurance management services agreement for the three months ended March 31, 2019 and 2018 . Three Months Ended March 31, 2019 2018 ($ in thousands) Fees paid to Artex under insurance management services agreement $ 131 $ 120 For the three months ended March 31, 2019 and 2018 , we paid no fees to Arch under this insurance management services agreement. |
Commitments and contingencies
Commitments and contingencies | 3 Months Ended |
Mar. 31, 2019 | |
Commitments and Contingencies Disclosure [Abstract] | |
Commitments and contingencies | Concentrations of credit risk For our reinsurance agreements, the creditworthiness of a counterparty is evaluated by the Company, taking into account credit ratings assigned by independent agencies. The credit approval process involves an assessment of factors, including, among others, the counterparty country and industry exposures. Collateral may be required, at the discretion of the Company, on certain transactions based on the creditworthiness of the counterparty. The areas where significant concentrations of credit risk may exist include unpaid losses and loss adjustment expenses recoverable, prepaid reinsurance premiums and paid losses and loss adjustment expenses recoverable net of reinsurance balances payable (collectively, “net reinsurance recoverables”), investments and cash and cash equivalent balances. The Company’s reinsurance recoverables, and prepaid reinsurance premiums, net of reinsurance balances payable, resulting from reinsurance agreements entered into with ARL and ARC as at March 31, 2019 and December 31, 2018 amounted to $56.6 million and $53.3 million , respectively. ARL and ARC have “A+” credit ratings from A.M. Best. A credit exposure exists with respect to reinsurance recoverables as they may become uncollectible. The Company manages its credit risk in its reinsurance relationships by transacting with reinsurers that it considers financially sound and, if necessary, the Company may hold collateral in the form of funds, trust accounts and/or irrevocable letters of credit. This collateral can be drawn on for amounts that remain unpaid beyond specified time periods on an individual reinsurer basis. In addition, the Company underwrites a significant amount of its business through brokers and a credit risk exists should any of these brokers be unable to fulfill their contractual obligations with respect to the payments of insurance and reinsurance balances owed to the Company. The Company’s investment portfolios are managed in accordance with investment guidelines that include standards of diversification, which limit the allowable holdings of any single issuer. There were no investments in any entity in excess of 10% of the Company’s shareholders’ equity at March 31, 2019 and December 31, 2018 , other than cash and cash equivalents held in operating and investment accounts with financial institutions with credit ratings between “A” and “AA-.” Letter of credit facility On May 16, 2018, Watford Re renewed its letter of credit facility with Lloyds Bank Plc, New York Branch (the “Lloyds Facility”). The Lloyds Facility amount is $100.0 million and was renewed through to May 16, 2019, and is expected to be renewed. The principal purpose of the Lloyds Facility is to issue, as required, evergreen standby letters of credit in favor of primary insurance or reinsurance counterparties with which the Company has entered into reinsurance arrangements to ensure that such counterparties are permitted to take credit for reinsurance obtained from the Company as required under insurance regulations in the United States. The amount of letters of credit issued is driven by, among other things, the timing and payment of catastrophe losses, loss development of existing reserves, the payment pattern of such reserves, the further expansion of the Company’s business and the loss experience of such business. When issued, the letters of credit are secured by certificates of deposit or cash. In addition, the Lloyds Facility also requires the maintenance of certain covenants, which the Company was in compliance with at March 31, 2019 and December 31, 2018 . At such dates, the Company had $72.1 million and $68.9 million , respectively, in restricted assets as collateral for outstanding letters of credit issued from the Lloyds Facility, which were secured by certificates of deposit. These amounts are reflected as short-term investments in the Company’s consolidated balance sheets. Secured credit facility On November 30, 2017, Watford Re amended and restated its $800 million secured credit facility (the “Secured Facility”) with Bank of America, N.A. which expires on November 30, 2021. The purpose of the Secured Facility is to provide borrowings, backed by Watford Re’s investment portfolios. In addition, the Secured Facility allows for Watford Re to issue up to $400.0 million in evergreen standby letters of credit in favor of primary insurance or reinsurance counterparties with which the Company has entered into reinsurance arrangements. At March 31, 2019 , Watford Re had $488.6 million and $52.5 million in borrowings and outstanding letters of credit, respectively. At December 31, 2018 , Watford Re had $455.7 million and $52.5 million in borrowings and outstanding letters of credit, respectively. At March 31, 2019 and December 31, 2018 , Watford Re was in compliance with all covenants contained in the Secured Facility. Custodian bank facility As of March 31, 2019 and December 31, 2018 , Watford Re borrowed $164.1 million and $238.2 million , respectively, from our custodian bank to purchase U.S.-denominated securities. As of March 31, 2019 , the total borrowed amount of $164.1 million included 2.0 million Swiss Francs, or CHF, (USD equivalent of $2.0 million ) to purchase CHF-denominated securities. As of December 31, 2018 , the total borrowed amount of $238.2 million included 2.0 million CHF, (USD equivalent of $2.0 million ) to purchase CHF-denominated securities. We pay interest based on 3-month LIBOR plus a margin and the borrowed amount is payable upon demand. The foreign exchange gain or loss on revaluation on the borrowed funds is included as a component of foreign exchange gains (losses) included in the consolidated statements of net income (loss). The custodian bank requires us to hold cash and investments on deposit with, or in an investment account, with respect to the borrowed funds. As at March 31, 2019 and December 31, 2018 , we were required to hold $246.9 million and $339.1 million , respectively, in such deposits and investment accounts. Leases The Company has entered into a lease agreement for real estate that is used for office space in the ordinary course of business. The lease is accounted for as an operating lease, whereby the lease expense is recognized on a straight-line basis over the term of the lease. Refer to Note 2, “Significant accounting policies” for additional information regarding the accounting for leases. Leases include an option to extend or renew the lease term. The exercise of the renewal option is at the Company’s discretion. The operating lease liability includes lease payments related to options to extend or renew the lease term if the Company is reasonably certain of exercising those options. Such options relating to the extension or renewal of the lease term are not included in the operating lease liability at this time. The Company, in determining the present value of lease payments, utilizes the Company’s incremental secured borrowing rate commensurate with the term of the underlying lease. Lease expense is included in general and administrative expenses in the Company’s consolidated statements of net income (loss). Additional information regarding the Company’s real estate operating lease is as follows. Three Months Ended March 31, 2019 ($ in thousands) Lease cost: Operating lease $ 71 Other information on operating lease: Cash payments included in the measurement of lease liability reported in operating cash flows 60 Weighted average discount rate 3.9 % Weighted average remaining lease term in years 4.5 years The following tables present the contractual maturity of the Company’s lease liability: March 31, 2019 ($ in thousands) Remainder of 2019 212 2020 283 2021 283 2022 283 2023 189 Total undiscounted lease payments 1,250 Less: present value adjustment (102 ) Operating lease liability 1,148 December 31, 2018 ($ in thousands) Future rental commitments 2019 283 2020 283 2021 283 2022 283 2023 189 Total 1,321 Employment and other arrangements The Company has employment agreements with certain of its executive officers. Such employment arrangements provide for compensation in the form of base salary, annual bonus, participation in the Company’s employee benefit programs and the reimbursements of expenses. Investment commitments As at March 31, 2019 and December 31, 2018 the Company had unfunded commitments of $ Nil million and $2.9 million , respectively, relating to equities within its investment portfolios. |
Legal proceedings
Legal proceedings | 3 Months Ended |
Mar. 31, 2019 | |
Legal Proceedings Disclosure [Abstract] | |
Legal proceedings | The Company, in common with the insurance industry in general, is subject to litigation and arbitration in the normal course of its business. As of March 31, 2019 , the Company was not a party to any litigation or arbitration which is expected by management to have a material adverse effect on the Company’s results of operations or financial condition and liquidity. |
Subsequent events
Subsequent events | 3 Months Ended |
Mar. 31, 2019 | |
Subsequent Events [Abstract] | |
Subsequent events | The Company has evaluated known recognized and non-recognized subsequent events. The Company does not have any subsequent events to report. |
Significant accounting polici_2
Significant accounting policies (Policies) | 3 Months Ended |
Mar. 31, 2019 | |
Accounting Policies [Abstract] | |
Basis of presentation | In the opinion of management, the accompanying unaudited interim consolidated financial statements reflect all adjustments (consisting of recurring accruals) necessary for a fair statement of results on an interim basis. The unaudited interim consolidated financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (“GAAP”). All significant intercompany transactions and balances have been eliminated on consolidation. |
Use of estimates | The preparation of financial statements in conformity with 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. Actual results could differ from those estimates and assumptions. |
Recent accounting pronouncements - issued and effective | Issued and effective as of March 31, 2019 In August 2017, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update 2017-12, Derivatives and Hedging (Topic 815), Targeted Improvements to Accounting for Hedging Activities (“ASU 2017-12”). ASU 2017-12 intends to improve the financial reporting of hedging relationships to better portray the economic results of an entity’s risk management activities in its financial statements. ASU 2017-12 is effective January 1, 2019. This ASU was adopted on January 1, 2019, and did not have a material impact on the Company ’ s consolidated financial statements. In February 2018, the FASB issued Accounting Standards Update 2018-02, Income Statement - Reporting Comprehensive Income (Topic 220), Reclassification of Certain Tax Effects from Accumulated Other Comprehensive Income (“ASU 2018-02”). ASU 2018-02 permits companies to reclassify disproportionate tax effects in accumulated other comprehensive income caused by the Tax Cuts and Jobs Act of 2017 to retained earnings. ASU 2018-02 is effective for fiscal years beginning after December 31, 2018 and interim periods within those fiscal years. This ASU was adopted on January 1, 2019, and did not have a material impact on the Company ’ s consolidated financial statements and disclosures. Issued and effective as of March 31, 2019 - Leases In February 2016, the FASB issued Accounting Standards Update 2016-02, Leases (“ASU 2016-02”). The new accounting guidance requires that the lessee recognize an asset and a liability for leases with a lease term greater than 12 months regardless of whether the lease is classified as operating or financing. Under the previous accounting standard, operating leases were not reflected in the balance sheet. In July 2018, the FASB issued Accounting Standards Update 2018-10, Codification Improvements to Topic 842, Leases (“ASU 2018-10”). ASU 2018-10 intends to increase transparency and comparability among organizations by recognizing lease assets and lease liabilities on the balance sheet and disclosing key information about leasing transactions. In July 2018, the FASB issued Accounting Standards Update 2018-11, Leases (Topic 842), Targeted Improvements (“ASU 2018-11”), which will ease implementation of the lease standard ASU 2016-02. The guidance provides an alternative transition method by which leases are recognized at the date of adoption. Entities that elect this transition option will still be required to adopt the new leases standard using the modified retrospective transition method required by the standard, but they will recognize a cumulative-effect adjustment to the opening balance of retained earnings in the period of adoption rather than in the earliest period presented. The Company has adopted this alternative transition method. In March 2019, the FASB issued Accounting Standards Update 2019-01, Leases (Topic 842), Codification Improvements (“ASU 2019-01”), which will identify and clarify three issues relevant to the implementation of ASU 2016-02. Issue 1 and Issue 2 address accounting considerations for the lessor of a leasing transactions, and as such are not relevant to the Company. Issue 3 clarifies that issuers are exempt from the requirement to disclose the effect of adopting ASU 2016-02 on net income and related per-share amounts in post-adoption interim periods. The Company adopted the ASUs listed above on January 1, 2019. The adoption of the updated guidance resulted in the Company recognizing a right-of-use asset of $1.1 million and a lease liability of $1.1 million in other assets and other liabilities, respectively, in the Company’s consolidated balance sheets as at March 31, 2019 . The cumulative effect adjustment to the opening balance of retained earnings was $ Nil . The adoption of the updated guidance did not have a material effect on the Company’s results of operations or liquidity. |
Segment information (Tables)
Segment information (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
Segment Reporting [Abstract] | |
Summary segment information | The following tables provide summary information regarding premiums written and earned by line of business and net premiums written by client location and underwriting location: Three Months Ended March 31, 2019 2018 ($ in thousands) Gross premiums written: Casualty reinsurance $ 75,601 $ 85,963 Other specialty reinsurance 24,298 64,499 Property catastrophe reinsurance 5,992 3,845 Insurance programs and coinsurance 80,798 59,563 Total $ 186,689 $ 213,870 Net premiums written: Casualty reinsurance $ 75,065 $ 85,695 Other specialty reinsurance 23,182 57,538 Property catastrophe reinsurance 5,982 3,834 Insurance programs and coinsurance 41,158 32,485 Total $ 145,387 $ 179,552 Net premiums earned: Casualty reinsurance $ 63,313 $ 67,741 Other specialty reinsurance 44,561 37,778 Property catastrophe reinsurance 2,971 2,636 Insurance programs and coinsurance 35,249 28,592 Total $ 146,094 $ 136,747 Net premiums written by client location: United States $ 53,208 $ 60,127 Bermuda 19,961 19,360 Europe 69,147 99,514 Asia and Pacific 3,071 551 Total $ 145,387 $ 179,552 Net premiums written by underwriting location: United States $ 18,402 $ 9,782 Europe 23,258 22,897 Bermuda 103,727 146,873 Total $ 145,387 $ 179,552 |
Reinsurance (Tables)
Reinsurance (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
Reinsurance Disclosures [Abstract] | |
Effects of reinsurance | The effects of reinsurance on the Company’s written and earned premiums, losses and loss adjustment expenses were as follows: Three Months Ended March 31, 2019 2018 Premiums written ($ in thousands) Direct $ 80,798 $ 59,563 Assumed 105,891 154,307 Ceded (41,302 ) (34,318 ) Net $ 145,387 $ 179,552 Premiums earned Direct $ 63,517 $ 38,928 Assumed 113,481 112,444 Ceded (30,904 ) (14,625 ) Net $ 146,094 $ 136,747 Losses and loss adjustment expenses Direct $ 48,404 $ 25,437 Assumed 84,524 78,460 Ceded (22,078 ) (5,908 ) Net $ 110,850 $ 97,989 |
Reserve for losses and loss a_2
Reserve for losses and loss adjustment expenses (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
Liability for Future Policy Benefits and Unpaid Claims and Claims Adjustment Expense [Abstract] | |
Analysis of losses and loss adjustment expenses and a reconciliation of the beginning and ending reserve for losses and loss adjustment expenses | The following table represents an analysis of losses and loss adjustment expenses and a reconciliation of the beginning and ending reserve for losses and loss adjustment expenses for the three months ended March 31, 2019 and 2018 . Three Months Ended March 31, 2019 2018 ($ in thousands) Gross reserve for losses and loss adjustment expenses at beginning of period $ 1,032,760 $ 798,262 Unpaid losses and loss adjustment expenses recoverable 81,267 39,856 Net reserve for losses and loss adjustment expenses at beginning of period 951,493 758,406 Net incurred losses and loss adjustment expenses relating to losses occurring in: Current period 110,901 97,386 Prior years (51 ) 603 Total net losses and loss adjustment expenses 110,850 97,989 Foreign exchange gains (losses) 4,163 6,545 Net paid losses and loss adjustment expenses relating to losses occurring in: Current period (6,330 ) (4,737 ) Prior years (54,598 ) (49,359 ) Total paid losses and loss adjustment expenses (60,928 ) (54,096 ) Net reserve for losses and loss adjustment expenses at end of period 1,005,578 808,844 Unpaid losses and loss adjustment expenses recoverable 98,954 43,984 Gross reserve for losses and loss adjustment expenses at end of period $ 1,104,532 $ 852,828 |
Investment information (Tables)
Investment information (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
Investments, Debt and Equity Securities [Abstract] | |
Summary of fair value and cost or amortized cost of available for sale securities | The following table summarizes the fair value of the Company’s securities classified as available for sale as at March 31, 2019 and December 31, 2018 : Cost or Amortized Cost Gross Unrealized Gains Gross Unrealized Losses Fair Value March 31, 2019 ($ in thousands) Fixed maturities: U.S. government and government agency bonds $ 226,110 $ 1,402 $ (67 ) $ 227,445 Non-U.S. government and government agency bonds 100,488 1,813 (1,730 ) 100,571 Corporate bonds 66,516 245 (199 ) 66,562 Asset-backed securities 138,647 270 (1,168 ) 137,749 Mortgage-backed securities 16,341 90 (26 ) 16,405 Municipal government and government agency bonds 1,074 28 — 1,102 Total investments, available for sale $ 549,176 $ 3,848 $ (3,190 ) $ 549,834 Cost or Amortized Cost Gross Unrealized Gains Gross Unrealized Losses Fair Value December 31, 2018 ($ in thousands) Fixed maturities: U.S. government and government agency bonds $ 156,884 $ 672 $ (127 ) $ 157,429 Non-U.S. government and government agency bonds 89,661 670 (2,859 ) 87,472 Corporate bonds 77,178 19 (1,204 ) 75,993 Asset-backed securities 58,369 72 (1,351 ) 57,090 Mortgage-backed securities 14,344 17 (81 ) 14,280 Municipal government and government agency bonds 1,073 14 — 1,087 Total investments, available for sale $ 397,509 $ 1,464 $ (5,622 ) $ 393,351 |
Summary of available for sale securities in a continual unrealized loss position | Less than 12 Months 12 Months or More Total Fair Value Gross Unrealized Losses Fair Value Gross Unrealized Losses Fair Value Gross Unrealized Losses December 31, 2018 ($ in thousands) Fixed maturities: U.S. government and government agency bonds $ 66,422 $ (127 ) $ — $ — $ 66,422 $ (127 ) Non-U.S. government and government agency bonds 78,084 (2,859 ) — — 78,084 (2,859 ) Corporate bonds 70,443 (1,204 ) — — 70,443 (1,204 ) Asset-backed securities 49,400 (1,351 ) — — 49,400 (1,351 ) Mortgage-backed securities 8,478 (81 ) — — 8,478 (81 ) Total $ 272,827 $ (5,622 ) $ — $ — $ 272,827 $ (5,622 ) The following table summarizes, for all available for sale securities in an unrealized loss position, the fair value and gross unrealized losses by length of time the security has been in a continual unrealized loss position: Less than 12 Months 12 Months or More Total Fair Value Gross Unrealized Losses Fair Value Gross Unrealized Losses Fair Value Gross Unrealized Losses March 31, 2019 ($ in thousands) Fixed maturities: U.S. government and government agency bonds $ 27,337 $ (29 ) $ 18,323 $ (38 ) $ 45,660 $ (67 ) Non-U.S. government and government agency bonds 66,845 (1,718 ) 5,442 (12 ) 72,287 (1,730 ) Corporate bonds 14,494 (162 ) 17,780 (37 ) 32,274 (199 ) Asset-backed securities 102,217 (1,167 ) 1,997 (1 ) 104,214 (1,168 ) Mortgage-backed securities 2,980 (26 ) — — 2,980 (26 ) Total $ 213,873 $ (3,102 ) $ 43,542 $ (88 ) $ 257,415 $ (3,190 ) |
Contractual maturities of investments | The amortized cost and fair value of our term loans, fixed maturities and short-term investments, excluding securities classified as available for sale, summarized by contractual maturity as of March 31, 2019 and December 31, 2018 were as follows: March 31, 2019 Amortized Cost Estimated Fair Value % of Fair Value ($ in thousands) Due in one year or less $ 262,629 $ 263,565 12.5 % Due after one year through five years 933,400 891,703 42.4 % Due after five years through ten years 730,895 702,527 33.4 % Due after ten years 59,232 59,877 2.8 % Asset-backed securities 183,292 179,663 8.5 % Mortgage-backed securities 8,803 7,630 0.4 % Total $ 2,178,251 $ 2,104,965 100.0 % December 31, 2018 Amortized Cost Estimated Fair Value % of Fair Value ($ in thousands) Due in one year or less $ 300,554 $ 300,519 13.6 % Due after one year through five years 1,044,539 992,834 45.0 % Due after five years through ten years 777,290 731,662 33.2 % Due after ten years 3,925 3,814 0.2 % Asset-backed securities 174,846 168,893 7.6 % Mortgage-backed securities 9,122 7,881 0.4 % Total $ 2,310,276 $ 2,205,603 100.0 % The amortized cost and fair value of our fixed maturities classified as available for sale, summarized by contractual maturity as of March 31, 2019 and December 31, 2018 were as follows: March 31, 2019 Amortized Cost Estimated Fair Value % of Fair Value ($ in thousands) Due in one year or less $ 16,378 $ 16,341 3.0 % Due after one year through five years 299,537 300,716 54.7 % Due after five years through ten years 78,273 78,623 14.3 % Asset-backed securities 138,647 137,749 25.0 % Mortgage-backed securities 16,341 16,405 3.0 % Total investments, available for sale $ 549,176 $ 549,834 100.0 % December 31, 2018 Amortized Cost Estimated Fair Value % of Fair Value ($ in thousands) Due after one year through five years $ 278,443 $ 276,706 70.4 % Due after five years through ten years 46,353 45,275 11.5 % Asset-backed securities 58,369 57,090 14.5 % Mortgage-backed securities 14,344 14,280 3.6 % Total investments, available for sale $ 397,509 $ 393,351 100.0 % |
Summary of fair value option and fair value through net income | The following table summarizes the fair value of the Company’s securities held as at March 31, 2019 and December 31, 2018 , classified as fair value through net income or for which the fair value option was elected: Cost or Amortized Cost Gross Unrealized Gains Gross Unrealized Losses Fair Value March 31, 2019 ($ in thousands) Term loan investments $ 1,067,676 $ 3,593 $ (49,031 ) $ 1,022,238 Fixed maturities: Corporate bonds 504,287 9,631 (31,233 ) 482,685 U.S. government and government agency bonds 111,113 — (1,448 ) 109,665 Asset-backed securities 183,292 4,464 (8,093 ) 179,663 Mortgage-backed securities 8,803 12 (1,185 ) 7,630 Non-U.S. government and government agency bonds 40,376 151 (741 ) 39,786 Municipal government and government agency bonds 6,639 — (52 ) 6,587 Short term investments 256,065 829 (183 ) 256,711 Other investments 50,000 1,556 — 51,556 Equities 56,614 6,712 (4,525 ) 58,801 Investments, fair value option $ 2,284,865 $ 26,948 $ (96,491 ) $ 2,215,322 Fair Value Through Net Income: Equities, fair value through net income (1) 75,554 1,310 (11,854 ) 65,010 Cost or Amortized Cost Gross Unrealized Gains Gross Unrealized Losses Fair Value December 31, 2018 ($ in thousands) Term loan investments $ 1,055,664 $ 767 $ (55,779 ) $ 1,000,652 Fixed maturities: Corporate bonds 617,013 6,468 (44,867 ) 578,614 U.S. government and government agency bonds 113,452 — (2,206 ) 111,246 Asset-backed securities 174,846 673 (6,626 ) 168,893 Mortgage-backed securities 9,122 — (1,241 ) 7,881 Non-U.S. government and government agency bonds 50,914 1 (1,874 ) 49,041 Municipal government and government agency bonds 7,306 — (162 ) 7,144 Short term investments 281,959 570 (397 ) 282,132 Other investments 50,000 — (238 ) 49,762 Equities 56,609 5,136 (5,107 ) 56,638 Investments, fair value option $ 2,416,885 $ 13,615 $ (118,497 ) $ 2,312,003 Fair Value Through Net Income: Equities, fair value through net income (1) 41,358 2,030 (10,375 ) 33,013 (1) Effective January 1, 2018, the Company adopted new accounting guidance for financial instruments. As a result, equity securities acquired after January 1, 2018 are classified as fair value through net income and are shown separately above. |
Summary of investments classified by investment rating | The table below summarizes the credit quality of our total investments as of March 31, 2019 and December 31, 2018 , as rated by Standard & Poor’s Financial Services, LLC, or Standard & Poor’s, Moody’s Investors Service, or Moody’s, Fitch Ratings Inc., or Fitch, or Kroll Bond Rating Agency, or KBRA, as applicable: Credit Rating (1) March 31, 2019 Fair Value AAA AA A BBB BB B CCC CC D Not Rated ($ in thousands) Term loan investments $ 1,022,238 $ — $ — $ — $ — $ 25,364 $ 688,143 $ 238,628 $ 2,638 $ 7,286 $ 60,179 Fixed maturities: Corporate bonds 549,247 — 28,933 72,717 61,704 15,920 128,610 196,870 — 10,399 34,094 U.S. government and government agency bonds 337,110 — 337,110 — — — — — — — — Asset-backed securities 317,412 3,769 2,670 24,767 187,129 40,692 19,078 — — — 39,307 Mortgage-backed securities 24,035 — — — 16,405 842 — — — 2,411 4,377 Non-U.S. government and government agency bonds 140,357 5,294 135,063 — — — — — — — — Municipal government and government agency bonds 7,689 6,587 564 538 — — — — — — — Total fixed income instruments 2,398,088 15,650 504,340 98,022 265,238 82,818 835,831 435,498 2,638 20,096 137,957 Short term investments 256,711 13,043 107,201 64,353 72,114 — — — — — — Total fixed income instruments and short term investments 2,654,799 28,693 611,541 162,375 337,352 82,818 835,831 435,498 2,638 20,096 137,957 Other Investments 51,556 Equities 123,811 Total $ 2,830,166 $ 28,693 $ 611,541 $ 162,375 $ 337,352 $ 82,818 $ 835,831 $ 435,498 $ 2,638 $ 20,096 $ 137,957 Credit Rating (1) December 31, 2018 Fair Value AAA AA A BBB BB B CCC CC C D Not Rated ($ in thousands) Term loan investments $ 1,000,652 $ — $ — $ — $ — $ 57,844 $ 677,211 $ 201,116 $ 2,438 $ — $ — $ 62,043 Fixed maturities: Corporate bonds 654,607 3,961 58,185 100,590 63,791 15,246 174,867 203,505 — 2,200 — 32,262 U.S. government and government agency bonds 268,675 — 268,675 — — — — — — — — — Asset-backed securities 225,983 4,532 4,973 10,278 113,075 36,643 20,818 — — — — 35,664 Mortgage-backed securities 22,161 — — 944 13,336 742 — — — — 2,962 4,177 Non-U.S. government and government agency bonds 136,513 5,173 122,715 8,625 — — — — — — — — Municipal government and government agency bonds 8,231 6,490 715 1,026 — — — — — — — — Total fixed income instruments 2,316,822 20,156 455,263 121,463 190,202 110,475 872,896 404,621 2,438 2,200 2,962 134,146 Short term investments 282,132 4,450 128,015 54,970 68,853 — 25,844 — — — — — Total fixed income instruments and short term investments 2,598,954 24,606 583,278 176,433 259,055 110,475 898,740 404,621 2,438 2,200 2,962 134,146 Other Investments 49,762 Equities 89,651 Total $ 2,738,367 $ 24,606 $ 583,278 $ 176,433 $ 259,055 $ 110,475 $ 898,740 $ 404,621 $ 2,438 $ 2,200 $ 2,962 $ 134,146 (1) For individual fixed maturity investments, Standard & Poor’s ratings are used. In the absence of a Standard & Poor’s rating, ratings from Moody’s are used, followed by ratings from Fitch, followed by ratings from KBRA. |
Summary of components of net investment income | The components of net investment income (loss) for the three months ended March 31, 2019 and 2018 were derived from the following sources: Three Months Ended March 31, 2019 Net Interest Income Net Unrealized Gains (Losses) Net Realized Gains (Losses) Net Investment Income (Loss) Net investment income (loss) by asset class: ($ in thousands) Term loan investments $ 22,410 $ 9,366 $ 64 $ 31,840 Fixed maturities - Fair value option 16,043 19,975 (749 ) 35,269 Fixed maturities - Available for sale (1) 3,422 — 395 3,817 Short term investments 524 (448 ) — 76 Equities (2) 120 2,158 — 2,278 Equities, fair value through net income (2) 622 (1,989 ) 1,572 205 Other investments — 1,794 — 1,794 Other (3) — 1,582 — 1,582 Investment management fees - related parties (4,409 ) — — (4,409 ) Borrowing and miscellaneous other investment expenses (8,298 ) — — (8,298 ) Investment performance fees - related parties — — — (5,800 ) $ 30,434 $ 32,438 $ 1,282 $ 58,354 (1) Net realized gains (losses) from the fixed maturities available for sale portfolio consists of realized gains and realized losses of $498.0 thousand and $103.0 thousand , respectively. (2) Net interest income includes dividends for securities held in long and short positions. (3) Other includes unrealized gains and unrealized losses for total return swaps. Three Months Ended March 31, 2018 Net Interest Income Net Unrealized Gains (Losses) Net Realized Gains (Losses) Net Investment Income (Loss) Net investment income (loss) by asset class: ($ in thousands) Term loan investments $ 17,676 $ 6,646 $ (2,760 ) $ 21,562 Fixed maturities - Fair value option 15,755 (3,076 ) (10,805 ) 1,874 Fixed maturities - Available for sale (1) 635 — (144 ) 491 Short term investments 761 — — 761 Equities (2) (182 ) 5,326 2,068 7,212 Equities, fair value through net income (2) — 95 — 95 Other investments — 644 — 644 Investment management fees - related parties (4,146 ) — — (4,146 ) Borrowing and miscellaneous other investment expenses (6,360 ) — — (6,360 ) Investment performance fees - related parties — — — (2,597 ) $ 24,139 $ 9,635 $ (11,641 ) $ 19,536 (1) Net realized gains (losses) from the fixed maturities available for sale portfolio consists of realized gains and realized losses of $6.0 thousand and $150.0 thousand , respectively. (2) Net interest income includes dividends for securities held in long and short positions. |
Fair value (Tables)
Fair value (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
Fair Value Disclosures [Abstract] | |
Fair value hierarchy | The following table presents the Company’s financial assets and liabilities measured at fair value by level as at March 31, 2019 and December 31, 2018 : Fair Value Measurement Using: March 31, 2019 Estimated Fair Value Quoted Prices in Active Markets for Identical Assets (Level 1) Significant Other Observable Inputs (Level 2) Significant Unobservable Inputs (Level 3) Assets measured at fair value: ($ in thousands) Term loans $ 1,022,238 $ — $ 974,870 $ 47,368 Fixed maturities: Corporate bonds 549,247 — 525,528 23,719 U.S. government and government agency bonds 337,110 337,001 109 — Asset-backed securities 317,412 — 317,412 — Mortgage-backed securities 24,035 — 24,035 — Non-U.S. government and government agencies 140,357 — 140,357 — Municipal government and government agency bonds 7,689 — 7,689 — Short-term investments 256,711 256,711 — — Equities 123,811 9,147 14,013 100,651 Other underwriting derivative assets 213 — 213 — Investment derivative assets (1) 398 — 398 — Other investments measured at net asset value (2) 51,556 — — — Total assets measured at fair value $ 2,830,777 $ 602,859 $ 2,004,624 $ 171,738 Investment derivative liabilities (1) 398 — 398 — Payable for securities sold short: Corporate bonds 25,709 — 25,709 — Equities 3,028 — 3,028 — Total liabilities measured at fair value $ 29,135 $ — $ 29,135 $ — (1) Investment derivative assets and liabilities represent the fair value of total return swaps, which are recorded in other assets and other liabilities, respectively, in the consolidated balance sheets as of March 31, 2019 . (2) In accordance with applicable accounting guidance, other investments that are measured at fair value using the net asset value practical expedient have not been classified in the fair value hierarchy. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the consolidated balance sheets. Fair Value Measurement Using: December 31, 2018 Estimated Fair Value Quoted Prices in Active Markets for Identical Assets (Level 1) Significant Other Observable Inputs (Level 2) Significant Unobservable Inputs (Level 3) Assets measured at fair value: ($ in thousands) Term loans $ 1,000,652 $ — $ 953,173 $ 47,479 Fixed maturities: Corporate bonds 654,607 — 630,330 24,277 U.S. government and government agency bonds 268,675 268,567 108 — Asset-backed securities 225,983 — 203,423 22,560 Mortgage-backed securities 22,161 — 22,161 — Non-U.S. government and government agencies 136,513 — 136,513 — Municipal government and government agency bonds 8,231 — 8,231 — Short-term investments 282,132 256,288 25,844 — Equities 89,651 7,977 11,223 70,451 Other underwriting derivative assets 249 — 249 — Investment derivative assets (1) 51 — 51 — Other investments measured at net asset value (2) 49,762 — — — Total assets measured at fair value $ 2,738,667 $ 532,832 $ 1,991,306 $ 164,767 Investment derivative liabilities (1) 1,279 — 1,279 — Payable for securities sold short: Corporate bonds 7,790 — 7,790 — Equities (1) 1,138 — 1,138 — Total liabilities measured at fair value $ 10,207 $ — $ 10,207 $ — (1) Investment derivative assets and liabilities represent the fair value of total return swaps, which are recorded in other assets and other liabilities, respectively, in the consolidated balance sheets as of December 31, 2018 . The Compa ny’s call opt ions are recorded as equities in payable for securities sold short in the consolidated balance sheets as of December 31, 2018 . The Company’s put options are recorded as equities in the consolidated balance sheets as of December 31, 2018 . (2) In accordance with applicable accounting guidance, other investments that are measured at fair value using the net asset value practical expedient have not been classified in the fair value hierarchy. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the consolidated balance sheets. |
Rollforward of level 3 investments | The following table presents a reconciliation of the beginning and ending balances for all the financial assets measured at fair value on a recurring basis using Level 3 inputs for the three months ended March 31, 2019 and 2018 : Three Months Ended March 31, 2019 Beginning Balance Transfers in (out) of Level 3 (1) Net Purchases (Sales)(2) Net Unrealized Gains (Losses)(3) Net Unrealized Foreign Exchange Gains (Losses) Ending Balance Term loans $ 47,479 $ — $ 163 $ (274 ) $ — $ 47,368 Corporate bonds 24,277 — (90 ) (69 ) (399 ) 23,719 Asset-backed securities 22,560 (22,560 ) — — — — Equities 70,451 — 30,534 (334 ) — 100,651 Total $ 164,767 $ (22,560 ) $ 30,607 $ (677 ) $ (399 ) $ 171,738 Three Months Ended March 31, 2018 Beginning Balance Net Purchases (Sales)(2) Net Unrealized Gains (Losses)(3) Net Unrealized Foreign Exchange Gains (Losses) Ending Balance Term loans $ 62,478 $ (27,505 ) $ (593 ) $ — $ 34,380 Corporate bonds 24,710 — (88 ) 567 25,189 Short-term investments — 4,302 58 — 4,360 Equities 52,921 30,066 819 — 83,806 Total $ 140,109 $ 6,863 $ 196 $ 567 $ 147,735 (1) During the three months ended March 31, 2019, the Company obtained pricing for an asset-backed security, in which pricing was not available as of December 31, 2018. As such, the security was transferred from Level 3 to Level 2 at its fair value as of December 31, 2018. (2) For the three months ended March 31, 2019 , the net purchases (sales) consisted of purchases of $37.8 million of equities and $237.0 thousand of term loans, offset in part by sales, calls and redemptions of $7.3 million of equities, $89.9 thousand of corporate bonds and $74.0 thousand of term loans. For the three months ended March 31, 2018 , the net purchases (sales) consisted of purchases of $30.1 million equities, $4.3 million of short-term investments and $1.0 million of term loans, partially offset by sales, calls and redemptions of $28.5 million of term loans. (3) Realized and unrealized gains or losses on Level 3 investments are included in “realized and unrealized gain (loss) on investments” in the Company’s consolidated statements of income (loss). |
Derivatives (Tables)
Derivatives (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Summary information on the fair values and notional amount of derivative instruments | The following table summarizes information on the fair values and notional amount of the Company’s derivative instruments at March 31, 2019 and December 31, 2018 : Estimated Fair Value Asset Derivatives Liability Derivatives Net Derivatives Notional Amount (1) ($ in thousands) March 31, 2019 Other underwriting derivatives $ 213 $ — $ 213 $ 70,749 Investment derivatives 398 398 — 115,392 Total $ 611 $ 398 $ 213 $ 186,141 December 31, 2018 Other underwriting derivatives $ 249 $ — $ 249 $ 72,148 Investment derivatives 859 2,417 (1,558 ) 116,214 Total $ 1,108 $ 2,417 $ (1,309 ) $ 188,362 (1) The notional amount represents the absolute value of all outstanding contracts. |
Summary of realized and unrealized gains and losses on derivative instruments | The realized and unrealized gains and losses on the Company’s derivative instruments are reflected in the consolidated statements of income, as summarized in the following table: Three Months Ended March 31, 2019 2018 ($ in thousands) Underwriting derivatives: Other underwriting income (loss) $ 592 $ 701 Investment derivatives: Realized and unrealized gains (losses) on investments 2,383 — |
Earnings per common share (Tabl
Earnings per common share (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
Earnings Per Share [Abstract] | |
Schedule of computation of basic and diluted earnings per common share | The following table sets forth the computation of basic and diluted earnings per common share: Three Months Ended March 31, 2019 2018 Numerator: ($ in thousands except share and per share data) Net income (loss) before preferred dividends $ 52,539 $ 17,689 Preferred dividends (4,907 ) (4,907 ) Net income (loss) available to common shareholders $ 47,632 $ 12,782 Denominator: Weighted average common shares outstanding - basic and diluted 22,682,875 22,682,875 Earnings (loss) per common share: Basic and diluted $ 2.10 $ 0.56 |
Transactions with related par_2
Transactions with related parties (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
ACGL and Subsidiaries | |
Related Party Transaction [Line Items] | |
Summary of related party transactions | The related consolidated statement of income (loss) for the three months ended March 31, 2019 and 2018 , and consolidated balance sheets account balances for these transactions (excluding AUL and AUI expenses described above) as of March 31, 2019 and December 31, 2018 were as follows: Three Months Ended March 31, 2019 2018 Consolidated statement of income (loss) items: ($ in thousands) Gross premiums written $ 72,005 $ 82,131 Gross premiums ceded (16,990 ) (15,287 ) Net premiums earned 48,898 58,308 Losses and loss adjustment expenses 36,232 36,662 Acquisition expenses 21,759 24,200 March 31, December 31, 2019 2018 Consolidated balance sheet items: ($ in thousands) Total investments $ 803,266 $ 719,189 Premiums receivable 132,777 118,208 Reinsurance recoverable on unpaid and paid losses and loss adjustment expenses 50,432 45,954 Prepaid reinsurance premiums 31,856 27,598 Deferred acquisition costs, net 49,124 48,380 Funds held by reinsurers 32,812 33,352 Other receivables (1) 1,697 — Contingent commissions (1) 3,892 2,967 Reserve for losses and loss adjustment expenses 642,045 631,670 Unearned premiums 176,658 166,491 Losses payable 37,313 19,098 Reinsurance balances payable 25,681 20,299 Amounts due to affiliates 8,198 5,888 (1) Other receivables and contingent commissions are recorded in other assets in the consolidated balance sheet. |
ACGL and Subsidiaries | Underwriting fees and expenses | |
Related Party Transaction [Line Items] | |
Summary of related party transactions | The related AUL and AUI fees and reimbursements incurred in the consolidated statement of income (loss) for the three months ended March 31, 2019 and 2018 were as follows: Three Months Ended March 31, 2019 2018 Consolidated statement of income (loss) items: ($ in thousands) Acquisition expenses $ 4,948 $ 3,642 General and administrative expenses 2,011 890 $ 6,959 $ 4,532 |
ACGL and Subsidiaries | Investment management and performance fees | |
Related Party Transaction [Line Items] | |
Summary of related party transactions | The related consolidated statement of income (loss) for the three months ended March 31, 2019 and 2018 were as follows: Three Months Ended March 31, 2019 2018 Consolidated statement of income (loss) items: ($ in thousands) Investment management fees - related parties $ 262 $ 294 |
HPS | Investment management and performance fees | |
Related Party Transaction [Line Items] | |
Summary of related party transactions | The related consolidated statement of income (loss) for the three months ended March 31, 2019 and 2018 , and consolidated balance sheet account balances for HPS management fees and performance fees as of March 31, 2019 and December 31, 2018 were as follows: Three Months Ended March 31, 2019 2018 Consolidated statement of income (loss) items: ($ in thousands) Investment management fees - related parties $ 4,147 $ 3,852 Investment performance fees - related parties 5,800 2,597 $ 9,947 $ 6,449 March 31, December 31, 2019 2018 Consolidated balance sheet items: ($ in thousands) Other investments, at fair value $ 51,556 $ 49,762 Investment management and performance fees payable 10,483 3,807 |
Artex | Insurance management fees | |
Related Party Transaction [Line Items] | |
Summary of related party transactions | The table below provides the aggregate fees we paid to Artex under the insurance management services agreement for the three months ended March 31, 2019 and 2018 . Three Months Ended March 31, 2019 2018 ($ in thousands) Fees paid to Artex under insurance management services agreement $ 131 $ 120 |
Commitments and contingencies -
Commitments and contingencies - (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
Commitments and Contingencies Disclosure [Abstract] | |
Additional information regarding operating lease obligations | Additional information regarding the Company’s real estate operating lease is as follows. Three Months Ended March 31, 2019 ($ in thousands) Lease cost: Operating lease $ 71 Other information on operating lease: Cash payments included in the measurement of lease liability reported in operating cash flows 60 Weighted average discount rate 3.9 % Weighted average remaining lease term in years 4.5 years |
Contractual maturity of lease obligations | The following tables present the contractual maturity of the Company’s lease liability: March 31, 2019 ($ in thousands) Remainder of 2019 212 2020 283 2021 283 2022 283 2023 189 Total undiscounted lease payments 1,250 Less: present value adjustment (102 ) Operating lease liability 1,148 |
Future rental commitments | December 31, 2018 ($ in thousands) Future rental commitments 2019 283 2020 283 2021 283 2022 283 2023 189 Total 1,321 |
Significant accounting polici_3
Significant accounting policies (Details) - USD ($) $ in Thousands | Mar. 31, 2019 | Jan. 01, 2019 |
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | ||
Operating lease liability | $ 1,148 | |
ASU 2016-02 | Other assets | ||
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | ||
Operating lease, right-of-use asset | 1,100 | |
ASU 2016-02 | Other liabilities | ||
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | ||
Operating lease liability | $ 1,148 | |
ASU 2016-02 | Retained earnings | ||
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | ||
Cumulative effect adjustment | $ 0 |
Segment information (Details)
Segment information (Details) $ in Thousands | 3 Months Ended | |
Mar. 31, 2019USD ($)segment | Mar. 31, 2018USD ($) | |
Segment Reporting Information [Line Items] | ||
Number of operating segments | segment | 1 | |
Gross premiums written | $ 186,689 | $ 213,870 |
Net premiums written | 145,387 | 179,552 |
Net premiums earned | 146,094 | 136,747 |
Casualty reinsurance | ||
Segment Reporting Information [Line Items] | ||
Gross premiums written | 75,601 | 85,963 |
Net premiums written | 75,065 | 85,695 |
Net premiums earned | 63,313 | 67,741 |
Other specialty reinsurance | ||
Segment Reporting Information [Line Items] | ||
Gross premiums written | 24,298 | 64,499 |
Net premiums written | 23,182 | 57,538 |
Net premiums earned | 44,561 | 37,778 |
Property catastrophe reinsurance | ||
Segment Reporting Information [Line Items] | ||
Gross premiums written | 5,992 | 3,845 |
Net premiums written | 5,982 | 3,834 |
Net premiums earned | 2,971 | 2,636 |
Insurance programs and coinsurance | ||
Segment Reporting Information [Line Items] | ||
Gross premiums written | 80,798 | 59,563 |
Net premiums written | 41,158 | 32,485 |
Net premiums earned | 35,249 | 28,592 |
Client location | United States | ||
Segment Reporting Information [Line Items] | ||
Net premiums written | 53,208 | 60,127 |
Client location | Bermuda | ||
Segment Reporting Information [Line Items] | ||
Net premiums written | 19,961 | 19,360 |
Client location | Europe | ||
Segment Reporting Information [Line Items] | ||
Net premiums written | 69,147 | 99,514 |
Client location | Asia and Pacific | ||
Segment Reporting Information [Line Items] | ||
Net premiums written | 3,071 | 551 |
Underwriting location | United States | ||
Segment Reporting Information [Line Items] | ||
Net premiums written | 18,402 | 9,782 |
Underwriting location | Bermuda | ||
Segment Reporting Information [Line Items] | ||
Net premiums written | 103,727 | 146,873 |
Underwriting location | Europe | ||
Segment Reporting Information [Line Items] | ||
Net premiums written | $ 23,258 | $ 22,897 |
Reinsurance (Details)
Reinsurance (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2019 | Mar. 31, 2018 | |
Premiums written | ||
Direct | $ 80,798 | $ 59,563 |
Assumed | 105,891 | 154,307 |
Ceded | (41,302) | (34,318) |
Net | 145,387 | 179,552 |
Premiums earned | ||
Direct | 63,517 | 38,928 |
Assumed | 113,481 | 112,444 |
Ceded | (30,904) | (14,625) |
Net premiums earned | 146,094 | 136,747 |
Losses and loss adjustment expenses | ||
Direct | 48,404 | 25,437 |
Assumed | 84,524 | 78,460 |
Ceded | (22,078) | (5,908) |
Net | $ 110,850 | $ 97,989 |
Reserve for losses and loss a_3
Reserve for losses and loss adjustment expenses - Reconciliation of beginning and ending balances of loss reserves (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2019 | Mar. 31, 2018 | |
Liability for Future Policy Benefits and Unpaid Claims and Claims Adjustment Expense [Abstract] | ||
Gross reserve for losses and loss adjustment expenses at beginning of period | $ 1,032,760 | $ 798,262 |
Unpaid losses and loss adjustment expenses recoverable | 81,267 | 39,856 |
Net reserve for losses and loss adjustment expenses at beginning of period | 951,493 | 758,406 |
Net incurred losses and loss adjustment expenses relating to losses occurring in: | ||
Current period | 110,901 | 97,386 |
Prior years | (51) | 603 |
Total net losses and loss adjustment expenses | 110,850 | 97,989 |
Foreign exchange gains (losses) | 4,163 | 6,545 |
Net paid losses and loss adjustment expenses relating to losses occurring in: | ||
Current period | (6,330) | (4,737) |
Prior years | (54,598) | (49,359) |
Total paid losses and loss adjustment expenses | 60,928 | 54,096 |
Net reserve for losses and loss adjustment expenses at end of period | 1,005,578 | 808,844 |
Unpaid losses and loss adjustment expenses recoverable | 98,954 | 43,984 |
Gross reserve for losses and loss adjustment expenses at end of period | $ 1,104,532 | $ 852,828 |
Reserve for losses and loss a_4
Reserve for losses and loss adjustment expenses - Prior year development (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2019 | Mar. 31, 2018 | |
Causes of Increase (Decrease) in Liability for Unpaid Claims and Claims Adjustment Expense [Line Items] | ||
Prior year development | $ (51) | $ 603 |
Casualty reinsurance | ||
Causes of Increase (Decrease) in Liability for Unpaid Claims and Claims Adjustment Expense [Line Items] | ||
Prior year development | (1,800) | 1,000 |
Other specialty reinsurance | ||
Causes of Increase (Decrease) in Liability for Unpaid Claims and Claims Adjustment Expense [Line Items] | ||
Prior year development | 400 | 200 |
Insurance programs and coinsurance | ||
Causes of Increase (Decrease) in Liability for Unpaid Claims and Claims Adjustment Expense [Line Items] | ||
Prior year development | 600 | 300 |
Property catastrophe reinsurance | ||
Causes of Increase (Decrease) in Liability for Unpaid Claims and Claims Adjustment Expense [Line Items] | ||
Prior year development | $ 800 | $ (800) |
Investment information - Summar
Investment information - Summary of available for sale securities (Details) - USD ($) $ in Thousands | Mar. 31, 2019 | Dec. 31, 2018 |
Debt Securities, Available-for-sale [Line Items] | ||
Cost or Amortized Cost | $ 549,176 | $ 397,509 |
Fixed maturities, available for sale (Amortized cost: $549,176 and $397,509) | 549,834 | 393,351 |
Fixed maturities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Cost or Amortized Cost | 549,176 | 397,509 |
Gross Unrealized Gains | 3,848 | 1,464 |
Gross Unrealized Losses | (3,190) | (5,622) |
Fixed maturities, available for sale (Amortized cost: $549,176 and $397,509) | 549,834 | 393,351 |
Fixed maturities | U.S. government and government agency bonds | ||
Debt Securities, Available-for-sale [Line Items] | ||
Cost or Amortized Cost | 226,110 | 156,884 |
Gross Unrealized Gains | 1,402 | 672 |
Gross Unrealized Losses | (67) | (127) |
Fixed maturities, available for sale (Amortized cost: $549,176 and $397,509) | 227,445 | 157,429 |
Fixed maturities | Non-U.S. government and government agencies | ||
Debt Securities, Available-for-sale [Line Items] | ||
Cost or Amortized Cost | 100,488 | 89,661 |
Gross Unrealized Gains | 1,813 | 670 |
Gross Unrealized Losses | (1,730) | (2,859) |
Fixed maturities, available for sale (Amortized cost: $549,176 and $397,509) | 100,571 | 87,472 |
Fixed maturities | Corporate bonds | ||
Debt Securities, Available-for-sale [Line Items] | ||
Cost or Amortized Cost | 66,516 | 77,178 |
Gross Unrealized Gains | 245 | 19 |
Gross Unrealized Losses | (199) | (1,204) |
Fixed maturities, available for sale (Amortized cost: $549,176 and $397,509) | 66,562 | 75,993 |
Fixed maturities | Asset-backed securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Cost or Amortized Cost | 138,647 | 58,369 |
Gross Unrealized Gains | 270 | 72 |
Gross Unrealized Losses | (1,168) | (1,351) |
Fixed maturities, available for sale (Amortized cost: $549,176 and $397,509) | 137,749 | 57,090 |
Fixed maturities | Mortgage-backed securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Cost or Amortized Cost | 16,341 | 14,344 |
Gross Unrealized Gains | 90 | 17 |
Gross Unrealized Losses | (26) | (81) |
Fixed maturities, available for sale (Amortized cost: $549,176 and $397,509) | 16,405 | 14,280 |
Fixed maturities | Municipal government and government agency bonds | ||
Debt Securities, Available-for-sale [Line Items] | ||
Cost or Amortized Cost | 1,074 | 1,073 |
Gross Unrealized Gains | 28 | 14 |
Gross Unrealized Losses | 0 | 0 |
Fixed maturities, available for sale (Amortized cost: $549,176 and $397,509) | $ 1,102 | $ 1,087 |
Investment information - Aging
Investment information - Aging of available for sale securities in an unrealized loss position (Details) - Fixed maturities - USD ($) $ in Thousands | Mar. 31, 2019 | Dec. 31, 2018 |
Debt Securities, Available-for-sale [Line Items] | ||
Less than 12 months - fair value | $ 213,873 | $ 272,827 |
Less than 12 months - gross unrealized losses | (3,102) | (5,622) |
12 months or more - fair value | 43,542 | 0 |
12 months or more - gross unrealized losses | (88) | 0 |
Total - fair value | 257,415 | 272,827 |
Total - gross unrealized losses | (3,190) | (5,622) |
U.S. government and government agency bonds | ||
Debt Securities, Available-for-sale [Line Items] | ||
Less than 12 months - fair value | 27,337 | 66,422 |
Less than 12 months - gross unrealized losses | (29) | (127) |
12 months or more - fair value | 18,323 | 0 |
12 months or more - gross unrealized losses | (38) | 0 |
Total - fair value | 45,660 | 66,422 |
Total - gross unrealized losses | (67) | (127) |
Non-U.S. government and government agencies | ||
Debt Securities, Available-for-sale [Line Items] | ||
Less than 12 months - fair value | 66,845 | 78,084 |
Less than 12 months - gross unrealized losses | (1,718) | (2,859) |
12 months or more - fair value | 5,442 | 0 |
12 months or more - gross unrealized losses | (12) | 0 |
Total - fair value | 72,287 | 78,084 |
Total - gross unrealized losses | (1,730) | (2,859) |
Corporate bonds | ||
Debt Securities, Available-for-sale [Line Items] | ||
Less than 12 months - fair value | 14,494 | 70,443 |
Less than 12 months - gross unrealized losses | (162) | (1,204) |
12 months or more - fair value | 17,780 | 0 |
12 months or more - gross unrealized losses | (37) | 0 |
Total - fair value | 32,274 | 70,443 |
Total - gross unrealized losses | (199) | (1,204) |
Asset-backed securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Less than 12 months - fair value | 102,217 | 49,400 |
Less than 12 months - gross unrealized losses | (1,167) | (1,351) |
12 months or more - fair value | 1,997 | 0 |
12 months or more - gross unrealized losses | (1) | 0 |
Total - fair value | 104,214 | 49,400 |
Total - gross unrealized losses | (1,168) | (1,351) |
Mortgage-backed securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Less than 12 months - fair value | 2,980 | 8,478 |
Less than 12 months - gross unrealized losses | (26) | (81) |
12 months or more - fair value | 0 | 0 |
12 months or more - gross unrealized losses | 0 | 0 |
Total - fair value | 2,980 | 8,478 |
Total - gross unrealized losses | $ (26) | $ (81) |
Investment information - Maturi
Investment information - Maturity profile of available for sale securities (Details) - Fixed maturities - USD ($) $ in Thousands | Mar. 31, 2019 | Dec. 31, 2018 |
Debt Securities, Available-for-sale [Line Items] | ||
Due in one year or less - amortized cost | $ 16,378 | |
Due in one year or less - estimated fair value | $ 16,341 | |
Due in one year or less - % of fair value | 3.00% | |
Due after one year through five years - amortized cost | $ 299,537 | $ 278,443 |
Due after one year through five years - estimated fair value | $ 300,716 | $ 276,706 |
Due after one year through five years - % of fair value | 54.70% | 70.40% |
Due after five years through ten years - amortized cost | $ 78,273 | $ 46,353 |
Due after five years through ten years - estimated fair value | $ 78,623 | $ 45,275 |
Due after five years through ten years - % of fair value | 14.30% | 11.50% |
Total investments, available for sale - amortized cost | $ 549,176 | $ 397,509 |
Total investments, available for sale - estimated fair value | $ 549,834 | $ 393,351 |
Total investments, available for sale - % of fair value | 100.00% | 100.00% |
Asset-backed securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
No single maturity date - amortized cost | $ 138,647 | $ 58,369 |
No single maturity date - estimated fair value | $ 137,749 | $ 57,090 |
No single maturity date - % of fair value | 25.00% | 14.50% |
Mortgage-backed securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
No single maturity date - amortized cost | $ 16,341 | $ 14,344 |
No single maturity date - estimated fair value | $ 16,405 | $ 14,280 |
No single maturity date - % of fair value | 3.00% | 3.60% |
Investment information - Fair v
Investment information - Fair value option (Details) - USD ($) $ in Thousands | Mar. 31, 2019 | Dec. 31, 2018 | |
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Investments, fair value option - cost or amortized cost | $ 2,284,865 | $ 2,416,885 | |
Investments, fair value option - gross unrealized gains | 26,948 | 13,615 | |
Investments, fair value option - gross unrealized losses | (96,491) | (118,497) | |
Investments, fair value option | 2,215,322 | 2,312,003 | |
Equities, fair value through net income - cost | 75,554 | 41,358 | |
Equities, fair value through net income - gross unrealized gains | 1,310 | 2,030 | [1] |
Equities, fair value through net income - gross unrealized losses | (11,854) | (10,375) | [1] |
Equities, fair value through net income | 65,010 | 33,013 | |
Term loans | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Investments, fair value option - cost or amortized cost | 1,067,676 | 1,055,664 | |
Investments, fair value option - gross unrealized gains | 3,593 | 767 | |
Investments, fair value option - gross unrealized losses | (49,031) | (55,779) | |
Investments, fair value option | 1,022,238 | 1,000,652 | |
Fixed maturities | Corporate bonds | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Investments, fair value option - cost or amortized cost | 504,287 | 617,013 | |
Investments, fair value option - gross unrealized gains | 9,631 | 6,468 | |
Investments, fair value option - gross unrealized losses | (31,233) | (44,867) | |
Investments, fair value option | 482,685 | 578,614 | |
Fixed maturities | U.S. government and government agency bonds | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Investments, fair value option - cost or amortized cost | 111,113 | 113,452 | |
Investments, fair value option - gross unrealized gains | 0 | 0 | |
Investments, fair value option - gross unrealized losses | (1,448) | (2,206) | |
Investments, fair value option | 109,665 | 111,246 | |
Fixed maturities | Asset-backed securities | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Investments, fair value option - cost or amortized cost | 183,292 | 174,846 | |
Investments, fair value option - gross unrealized gains | 4,464 | 673 | |
Investments, fair value option - gross unrealized losses | (8,093) | (6,626) | |
Investments, fair value option | 179,663 | 168,893 | |
Fixed maturities | Mortgage-backed securities | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Investments, fair value option - cost or amortized cost | 8,803 | 9,122 | |
Investments, fair value option - gross unrealized gains | 12 | 0 | |
Investments, fair value option - gross unrealized losses | (1,185) | (1,241) | |
Investments, fair value option | 7,630 | 7,881 | |
Fixed maturities | Non-U.S. government and government agencies | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Investments, fair value option - cost or amortized cost | 40,376 | 50,914 | |
Investments, fair value option - gross unrealized gains | 151 | 1 | |
Investments, fair value option - gross unrealized losses | (741) | (1,874) | |
Investments, fair value option | 39,786 | 49,041 | |
Fixed maturities | Municipal government and government agency bonds | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Investments, fair value option - cost or amortized cost | 6,639 | 7,306 | |
Investments, fair value option - gross unrealized gains | 0 | 0 | |
Investments, fair value option - gross unrealized losses | (52) | (162) | |
Investments, fair value option | 6,587 | 7,144 | |
Short-term investments | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Investments, fair value option - cost or amortized cost | 256,065 | 281,959 | |
Investments, fair value option - gross unrealized gains | 829 | 570 | |
Investments, fair value option - gross unrealized losses | (183) | (397) | |
Investments, fair value option | 256,711 | 282,132 | |
Other investments measured at net asset value (2) | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Investments, fair value option - cost or amortized cost | 50,000 | 50,000 | |
Investments, fair value option - gross unrealized gains | 1,556 | 0 | |
Investments, fair value option - gross unrealized losses | 0 | (238) | |
Investments, fair value option | 51,556 | 49,762 | |
Equities | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Investments, fair value option - cost or amortized cost | 56,614 | 56,609 | |
Investments, fair value option - gross unrealized gains | 6,712 | 5,136 | |
Investments, fair value option - gross unrealized losses | (4,525) | (5,107) | |
Investments, fair value option | $ 58,801 | $ 56,638 | |
[1] | Effective January 1, 2018, the Company adopted new accounting guidance for financial instruments. As a result, equity securities acquired after January 1, 2018 are classified as fair value through net income and are shown separately above. |
Investment information - Matu_2
Investment information - Maturity profile of investments other than available for sale (Details) - USD ($) $ in Thousands | Mar. 31, 2019 | Dec. 31, 2018 |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Investments, fair value option - cost or amortized cost | $ 2,284,865 | $ 2,416,885 |
Investments, fair value option | 2,215,322 | 2,312,003 |
Fixed income and short term investments | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Investments, fair value option - cost or amortized cost | 2,178,251 | 2,310,276 |
Investments, fair value option | $ 2,104,965 | $ 2,205,603 |
Investments, fair value option percentage of fair value | 100.00% | 100.00% |
Fixed income and short term investments | Due in one year or less | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Investments, fair value option - cost or amortized cost | $ 262,629 | $ 300,554 |
Investments, fair value option | $ 263,565 | $ 300,519 |
Investments, fair value option percentage of fair value | 12.50% | 13.60% |
Fixed income and short term investments | Due after one year through five years | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Investments, fair value option - cost or amortized cost | $ 933,400 | $ 1,044,539 |
Investments, fair value option | $ 891,703 | $ 992,834 |
Investments, fair value option percentage of fair value | 42.40% | 45.00% |
Fixed income and short term investments | Due after five years through ten years | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Investments, fair value option - cost or amortized cost | $ 730,895 | $ 777,290 |
Investments, fair value option | $ 702,527 | $ 731,662 |
Investments, fair value option percentage of fair value | 33.40% | 33.20% |
Fixed income and short term investments | Due after ten years | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Investments, fair value option - cost or amortized cost | $ 59,232 | $ 3,925 |
Investments, fair value option | $ 59,877 | $ 3,814 |
Investments, fair value option percentage of fair value | 2.80% | 0.20% |
Fixed income and short term investments | No single maturity date | Asset-backed securities | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Investments, fair value option - cost or amortized cost | $ 183,292 | $ 174,846 |
Investments, fair value option | $ 179,663 | $ 168,893 |
Investments, fair value option percentage of fair value | 8.50% | 7.60% |
Fixed income and short term investments | No single maturity date | Mortgage-backed securities | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Investments, fair value option - cost or amortized cost | $ 8,803 | $ 9,122 |
Investments, fair value option | $ 7,630 | $ 7,881 |
Investments, fair value option percentage of fair value | 0.40% | 0.40% |
Investment information - Credit
Investment information - Credit quality of investments (Details) - USD ($) $ in Thousands | Mar. 31, 2019 | Dec. 31, 2018 | |
Investments by Credit Rating Table [Line Items] | |||
Total investments | $ 2,830,166 | $ 2,738,367 | |
Fixed income and short term investments | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | 2,654,799 | 2,598,954 | |
Fixed income instruments | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | 2,398,088 | 2,316,822 | |
Term loans | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | 1,022,238 | 1,000,652 | |
Fixed maturities | Corporate bonds | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | 549,247 | 654,607 | |
Fixed maturities | U.S. government and government agency bonds | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | 337,110 | 268,675 | |
Fixed maturities | Asset-backed securities | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | 317,412 | 225,983 | |
Fixed maturities | Mortgage-backed securities | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | 24,035 | 22,161 | |
Fixed maturities | Non-U.S. government and government agencies | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | 140,357 | 136,513 | |
Fixed maturities | Municipal government and government agency bonds | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | 7,689 | 8,231 | |
Short-term investments | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | 256,711 | 282,132 | |
Other investments | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | 51,556 | 49,762 | |
Equities | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | 123,811 | 89,651 | |
AAA | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | 28,693 | 24,606 | |
AAA | Fixed income and short term investments | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 28,693 | 24,606 |
AAA | Fixed income instruments | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 15,650 | 20,156 |
AAA | Term loans | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 0 | 0 |
AAA | Fixed maturities | Corporate bonds | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 0 | 3,961 |
AAA | Fixed maturities | U.S. government and government agency bonds | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 0 | 0 |
AAA | Fixed maturities | Asset-backed securities | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 3,769 | 4,532 |
AAA | Fixed maturities | Mortgage-backed securities | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 0 | 0 |
AAA | Fixed maturities | Non-U.S. government and government agencies | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 5,294 | 5,173 |
AAA | Fixed maturities | Municipal government and government agency bonds | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 6,587 | 6,490 |
AAA | Short-term investments | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 13,043 | 4,450 |
AA | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | 611,541 | 583,278 | |
AA | Fixed income and short term investments | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 611,541 | 583,278 |
AA | Fixed income instruments | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 504,340 | 455,263 |
AA | Term loans | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 0 | 0 |
AA | Fixed maturities | Corporate bonds | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 28,933 | 58,185 |
AA | Fixed maturities | U.S. government and government agency bonds | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 337,110 | 268,675 |
AA | Fixed maturities | Asset-backed securities | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 2,670 | 4,973 |
AA | Fixed maturities | Mortgage-backed securities | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 0 | 0 |
AA | Fixed maturities | Non-U.S. government and government agencies | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 135,063 | 122,715 |
AA | Fixed maturities | Municipal government and government agency bonds | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 564 | 715 |
AA | Short-term investments | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 107,201 | 128,015 |
A | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | 162,375 | 176,433 | |
A | Fixed income and short term investments | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 162,375 | 176,433 |
A | Fixed income instruments | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 98,022 | 121,463 |
A | Term loans | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 0 | 0 |
A | Fixed maturities | Corporate bonds | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 72,717 | 100,590 |
A | Fixed maturities | U.S. government and government agency bonds | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 0 | 0 |
A | Fixed maturities | Asset-backed securities | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 24,767 | 10,278 |
A | Fixed maturities | Mortgage-backed securities | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 0 | 944 |
A | Fixed maturities | Non-U.S. government and government agencies | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 0 | 8,625 |
A | Fixed maturities | Municipal government and government agency bonds | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 538 | 1,026 |
A | Short-term investments | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 64,353 | 54,970 |
BBB | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | 337,352 | 259,055 | |
BBB | Fixed income and short term investments | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 337,352 | 259,055 |
BBB | Fixed income instruments | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 265,238 | 190,202 |
BBB | Term loans | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 0 | 0 |
BBB | Fixed maturities | Corporate bonds | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 61,704 | 63,791 |
BBB | Fixed maturities | U.S. government and government agency bonds | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 0 | 0 |
BBB | Fixed maturities | Asset-backed securities | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 187,129 | 113,075 |
BBB | Fixed maturities | Mortgage-backed securities | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 16,405 | 13,336 |
BBB | Fixed maturities | Non-U.S. government and government agencies | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 0 | 0 |
BBB | Fixed maturities | Municipal government and government agency bonds | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 0 | 0 |
BBB | Short-term investments | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 72,114 | 68,853 |
BB | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | 82,818 | 110,475 | |
BB | Fixed income and short term investments | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 82,818 | 110,475 |
BB | Fixed income instruments | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 82,818 | 110,475 |
BB | Term loans | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 25,364 | 57,844 |
BB | Fixed maturities | Corporate bonds | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 15,920 | 15,246 |
BB | Fixed maturities | U.S. government and government agency bonds | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 0 | 0 |
BB | Fixed maturities | Asset-backed securities | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 40,692 | 36,643 |
BB | Fixed maturities | Mortgage-backed securities | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 842 | 742 |
BB | Fixed maturities | Non-U.S. government and government agencies | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 0 | 0 |
BB | Fixed maturities | Municipal government and government agency bonds | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 0 | 0 |
BB | Short-term investments | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 0 | 0 |
B | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | 835,831 | 898,740 | |
B | Fixed income and short term investments | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 835,831 | 898,740 |
B | Fixed income instruments | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 835,831 | 872,896 |
B | Term loans | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 688,143 | 677,211 |
B | Fixed maturities | Corporate bonds | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 128,610 | 174,867 |
B | Fixed maturities | U.S. government and government agency bonds | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 0 | 0 |
B | Fixed maturities | Asset-backed securities | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 19,078 | 20,818 |
B | Fixed maturities | Mortgage-backed securities | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 0 | 0 |
B | Fixed maturities | Non-U.S. government and government agencies | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 0 | 0 |
B | Fixed maturities | Municipal government and government agency bonds | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 0 | 0 |
B | Short-term investments | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 0 | 25,844 |
CCC | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | 435,498 | 404,621 | |
CCC | Fixed income and short term investments | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 435,498 | 404,621 |
CCC | Fixed income instruments | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 435,498 | 404,621 |
CCC | Term loans | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 238,628 | 201,116 |
CCC | Fixed maturities | Corporate bonds | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 196,870 | 203,505 |
CCC | Fixed maturities | U.S. government and government agency bonds | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 0 | 0 |
CCC | Fixed maturities | Asset-backed securities | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 0 | 0 |
CCC | Fixed maturities | Mortgage-backed securities | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 0 | 0 |
CCC | Fixed maturities | Non-U.S. government and government agencies | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 0 | 0 |
CCC | Fixed maturities | Municipal government and government agency bonds | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 0 | 0 |
CCC | Short-term investments | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 0 | 0 |
CC | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | 2,638 | 2,438 | |
CC | Fixed income and short term investments | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 2,638 | 2,438 |
CC | Fixed income instruments | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 2,638 | 2,438 |
CC | Term loans | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 2,638 | 2,438 |
CC | Fixed maturities | Corporate bonds | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 0 | 0 |
CC | Fixed maturities | U.S. government and government agency bonds | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 0 | 0 |
CC | Fixed maturities | Asset-backed securities | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 0 | 0 |
CC | Fixed maturities | Mortgage-backed securities | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 0 | 0 |
CC | Fixed maturities | Non-U.S. government and government agencies | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 0 | 0 |
CC | Fixed maturities | Municipal government and government agency bonds | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 0 | 0 |
CC | Short-term investments | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 0 | 0 |
C | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | 2,200 | ||
C | Fixed income and short term investments | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 2,200 | |
C | Fixed income instruments | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 2,200 | |
C | Term loans | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 0 | |
C | Fixed maturities | Corporate bonds | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 2,200 | |
C | Fixed maturities | U.S. government and government agency bonds | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 0 | |
C | Fixed maturities | Asset-backed securities | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 0 | |
C | Fixed maturities | Mortgage-backed securities | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 0 | |
C | Fixed maturities | Non-U.S. government and government agencies | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 0 | |
C | Fixed maturities | Municipal government and government agency bonds | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 0 | |
C | Short-term investments | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 0 | |
D | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | 20,096 | 2,962 | |
D | Fixed income and short term investments | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 20,096 | 2,962 |
D | Fixed income instruments | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 20,096 | 2,962 |
D | Term loans | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 7,286 | 0 |
D | Fixed maturities | Corporate bonds | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 10,399 | 0 |
D | Fixed maturities | U.S. government and government agency bonds | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 0 | 0 |
D | Fixed maturities | Asset-backed securities | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 0 | 0 |
D | Fixed maturities | Mortgage-backed securities | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 2,411 | 2,962 |
D | Fixed maturities | Non-U.S. government and government agencies | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 0 | 0 |
D | Fixed maturities | Municipal government and government agency bonds | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 0 | 0 |
D | Short-term investments | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 0 | 0 |
Not Rated | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | 137,957 | 134,146 | |
Not Rated | Fixed income and short term investments | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 137,957 | 134,146 |
Not Rated | Fixed income instruments | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 137,957 | 134,146 |
Not Rated | Term loans | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 60,179 | 62,043 |
Not Rated | Fixed maturities | Corporate bonds | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 34,094 | 32,262 |
Not Rated | Fixed maturities | U.S. government and government agency bonds | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 0 | 0 |
Not Rated | Fixed maturities | Asset-backed securities | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 39,307 | 35,664 |
Not Rated | Fixed maturities | Mortgage-backed securities | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 4,377 | 4,177 |
Not Rated | Fixed maturities | Non-U.S. government and government agencies | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 0 | 0 |
Not Rated | Fixed maturities | Municipal government and government agency bonds | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | 0 | 0 |
Not Rated | Short-term investments | |||
Investments by Credit Rating Table [Line Items] | |||
Total investments | [1] | $ 0 | $ 0 |
[1] | For individual fixed maturity investments, Standard & Poor’s ratings are used. In the absence of a Standard & Poor’s rating, ratings from Moody’s are used, followed by ratings from Fitch, followed by ratings from KBRA. |
Investment information - Net in
Investment information - Net investment income (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2019 | Mar. 31, 2018 | |
Net Investment Income [Line Items] | ||
Net interest income | $ 30,434 | $ 24,139 |
Net unrealized gains (losses) | 32,438 | 9,635 |
Net realized gains (losses) | 1,282 | (11,641) |
Net investment income (loss) | 58,354 | 19,536 |
Investment management fees - related parties | ||
Net Investment Income [Line Items] | ||
Net interest income | (4,409) | (4,146) |
Net investment income (loss) | (4,409) | (4,146) |
Borrowing and miscellaneous other investment expenses | ||
Net Investment Income [Line Items] | ||
Net interest income | (8,298) | (6,360) |
Net investment income (loss) | (8,298) | (6,360) |
Investment performance fees - related parties | ||
Net Investment Income [Line Items] | ||
Net investment income (loss) | (5,800) | (2,597) |
Term loans | ||
Net Investment Income [Line Items] | ||
Net interest income | 22,410 | 17,676 |
Net unrealized gains (losses) | 9,366 | 6,646 |
Net realized gains (losses) | 64 | (2,760) |
Net investment income (loss) | 31,840 | 21,562 |
Fixed maturities - Fair value option | ||
Net Investment Income [Line Items] | ||
Net interest income | 16,043 | 15,755 |
Net unrealized gains (losses) | 19,975 | (3,076) |
Net realized gains (losses) | (749) | (10,805) |
Net investment income (loss) | 35,269 | 1,874 |
Fixed maturities - Available for sale | ||
Net Investment Income [Line Items] | ||
Net interest income | 3,422 | 635 |
Net unrealized gains (losses) | 0 | 0 |
Net realized gains (losses) | 395 | (144) |
Net investment income (loss) | 3,817 | 491 |
Short-term investments | ||
Net Investment Income [Line Items] | ||
Net interest income | 524 | 761 |
Net unrealized gains (losses) | (448) | 0 |
Net realized gains (losses) | 0 | 0 |
Net investment income (loss) | 76 | 761 |
Equities | ||
Net Investment Income [Line Items] | ||
Net interest income | 120 | (182) |
Net unrealized gains (losses) | 2,158 | 5,326 |
Net realized gains (losses) | 0 | 2,068 |
Net investment income (loss) | 2,278 | 7,212 |
Equities, fair value through net income | ||
Net Investment Income [Line Items] | ||
Net interest income | 622 | 0 |
Net unrealized gains (losses) | (1,989) | 95 |
Net realized gains (losses) | 1,572 | 0 |
Net investment income (loss) | 205 | 95 |
Other investments | ||
Net Investment Income [Line Items] | ||
Net interest income | 0 | 0 |
Net unrealized gains (losses) | 1,794 | 644 |
Net realized gains (losses) | 0 | 0 |
Net investment income (loss) | 1,794 | $ 644 |
Other | ||
Net Investment Income [Line Items] | ||
Net interest income | 0 | |
Net unrealized gains (losses) | 1,582 | |
Net realized gains (losses) | 0 | |
Net investment income (loss) | $ 1,582 |
Investment information - Narrat
Investment information - Narrative (Details) | 3 Months Ended | 12 Months Ended | |
Mar. 31, 2019USD ($)positions | Mar. 31, 2018USD ($) | Dec. 31, 2018USD ($)positions | |
Investments, Debt and Equity Securities [Abstract] | |||
Number of positions in an unrealized loss position | positions | 52 | 60 | |
Total number of positions | positions | 92 | 73 | |
Percentage of positions in unrealized loss | 10.00% | 10.00% | |
Fixed maturities, AFS, realized gain | $ 498,000 | $ 6,000 | |
Fixed maturities, AFS, realized loss | 103,000 | $ 150,000 | |
Restricted Assets [Line Items] | |||
Restricted assets | 2,400,000,000 | $ 2,400,000,000 | |
Deposits with US regulatory authorities | |||
Restricted Assets [Line Items] | |||
Restricted assets | $ 6,200,000 | $ 5,500,000 |
Fair value - Fair value hierarc
Fair value - Fair value hierarchy (Details) - Recurring - USD ($) $ in Thousands | Mar. 31, 2019 | Dec. 31, 2018 | |||
Quoted Prices in Active Markets for Identical Assets (Level 1) | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Total assets measured at fair value | $ 602,859 | $ 532,832 | |||
Total liabilities measured at fair value | 0 | 0 | |||
Quoted Prices in Active Markets for Identical Assets (Level 1) | Investment derivative liabilities | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Total liabilities measured at fair value | 0 | [1] | 0 | [2] | |
Quoted Prices in Active Markets for Identical Assets (Level 1) | Term loans | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Total assets measured at fair value | 0 | 0 | |||
Quoted Prices in Active Markets for Identical Assets (Level 1) | Fixed maturities | Corporate bonds | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Total assets measured at fair value | 0 | 0 | |||
Quoted Prices in Active Markets for Identical Assets (Level 1) | Fixed maturities | U.S. government and government agency bonds | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Total assets measured at fair value | 337,001 | 268,567 | |||
Quoted Prices in Active Markets for Identical Assets (Level 1) | Fixed maturities | Asset-backed securities | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Total assets measured at fair value | 0 | 0 | |||
Quoted Prices in Active Markets for Identical Assets (Level 1) | Fixed maturities | Mortgage-backed securities | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Total assets measured at fair value | 0 | 0 | |||
Quoted Prices in Active Markets for Identical Assets (Level 1) | Fixed maturities | Non-U.S. government and government agencies | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Total assets measured at fair value | 0 | 0 | |||
Quoted Prices in Active Markets for Identical Assets (Level 1) | Fixed maturities | Municipal government and government agency bonds | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Total assets measured at fair value | 0 | 0 | |||
Quoted Prices in Active Markets for Identical Assets (Level 1) | Fixed maturities | Payable for securities sold short | Corporate bonds | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Total liabilities measured at fair value | 0 | 0 | |||
Quoted Prices in Active Markets for Identical Assets (Level 1) | Short-term investments | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Total assets measured at fair value | 256,711 | 256,288 | |||
Quoted Prices in Active Markets for Identical Assets (Level 1) | Equities | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Total assets measured at fair value | 9,147 | 7,977 | |||
Quoted Prices in Active Markets for Identical Assets (Level 1) | Equities | Payable for securities sold short | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Total liabilities measured at fair value | 0 | [1] | 0 | [2] | |
Quoted Prices in Active Markets for Identical Assets (Level 1) | Other underwriting derivative assets | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Total assets measured at fair value | 0 | 0 | |||
Quoted Prices in Active Markets for Identical Assets (Level 1) | Investment derivative assets | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Total assets measured at fair value | 0 | [1] | 0 | [2] | |
Quoted Prices in Active Markets for Identical Assets (Level 1) | Other investments measured at net asset value (2) | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Total assets measured at fair value | [3] | 0 | 0 | ||
Significant Other Observable Inputs (Level 2) | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Total assets measured at fair value | 2,004,624 | 1,991,306 | |||
Total liabilities measured at fair value | 29,135 | 10,207 | |||
Significant Other Observable Inputs (Level 2) | Investment derivative liabilities | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Total liabilities measured at fair value | 398 | [1] | 1,279 | [2] | |
Significant Other Observable Inputs (Level 2) | Term loans | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Total assets measured at fair value | 974,870 | 953,173 | |||
Significant Other Observable Inputs (Level 2) | Fixed maturities | Corporate bonds | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Total assets measured at fair value | 525,528 | 630,330 | |||
Significant Other Observable Inputs (Level 2) | Fixed maturities | U.S. government and government agency bonds | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Total assets measured at fair value | 109 | 108 | |||
Significant Other Observable Inputs (Level 2) | Fixed maturities | Asset-backed securities | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Total assets measured at fair value | 317,412 | 203,423 | |||
Significant Other Observable Inputs (Level 2) | Fixed maturities | Mortgage-backed securities | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Total assets measured at fair value | 24,035 | 22,161 | |||
Significant Other Observable Inputs (Level 2) | Fixed maturities | Non-U.S. government and government agencies | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Total assets measured at fair value | 140,357 | 136,513 | |||
Significant Other Observable Inputs (Level 2) | Fixed maturities | Municipal government and government agency bonds | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Total assets measured at fair value | 7,689 | 8,231 | |||
Significant Other Observable Inputs (Level 2) | Fixed maturities | Payable for securities sold short | Corporate bonds | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Total liabilities measured at fair value | 25,709 | 7,790 | |||
Significant Other Observable Inputs (Level 2) | Short-term investments | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Total assets measured at fair value | 0 | 25,844 | |||
Significant Other Observable Inputs (Level 2) | Equities | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Total assets measured at fair value | 14,013 | 11,223 | |||
Significant Other Observable Inputs (Level 2) | Equities | Payable for securities sold short | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Total liabilities measured at fair value | 3,028 | [1] | 1,138 | [2] | |
Significant Other Observable Inputs (Level 2) | Other underwriting derivative assets | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Total assets measured at fair value | 213 | 249 | |||
Significant Other Observable Inputs (Level 2) | Investment derivative assets | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Total assets measured at fair value | 398 | [1] | 51 | [2] | |
Significant Other Observable Inputs (Level 2) | Other investments measured at net asset value (2) | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Total assets measured at fair value | [3] | 0 | 0 | ||
Significant Unobservable Inputs (Level 3) | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Total assets measured at fair value | 171,738 | 164,767 | |||
Total liabilities measured at fair value | 0 | 0 | |||
Significant Unobservable Inputs (Level 3) | Investment derivative liabilities | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Total liabilities measured at fair value | 0 | [1] | 0 | [2] | |
Significant Unobservable Inputs (Level 3) | Term loans | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Total assets measured at fair value | 47,368 | 47,479 | |||
Significant Unobservable Inputs (Level 3) | Fixed maturities | Corporate bonds | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Total assets measured at fair value | 23,719 | 24,277 | |||
Significant Unobservable Inputs (Level 3) | Fixed maturities | U.S. government and government agency bonds | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Total assets measured at fair value | 0 | 0 | |||
Significant Unobservable Inputs (Level 3) | Fixed maturities | Asset-backed securities | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Total assets measured at fair value | 0 | 22,560 | |||
Significant Unobservable Inputs (Level 3) | Fixed maturities | Mortgage-backed securities | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Total assets measured at fair value | 0 | 0 | |||
Significant Unobservable Inputs (Level 3) | Fixed maturities | Non-U.S. government and government agencies | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Total assets measured at fair value | 0 | 0 | |||
Significant Unobservable Inputs (Level 3) | Fixed maturities | Municipal government and government agency bonds | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Total assets measured at fair value | 0 | 0 | |||
Significant Unobservable Inputs (Level 3) | Fixed maturities | Payable for securities sold short | Corporate bonds | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Total liabilities measured at fair value | 0 | 0 | |||
Significant Unobservable Inputs (Level 3) | Short-term investments | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Total assets measured at fair value | 0 | 0 | |||
Significant Unobservable Inputs (Level 3) | Equities | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Total assets measured at fair value | 100,651 | 70,451 | |||
Significant Unobservable Inputs (Level 3) | Equities | Payable for securities sold short | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Total liabilities measured at fair value | 0 | [1] | 0 | [2] | |
Significant Unobservable Inputs (Level 3) | Other underwriting derivative assets | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Total assets measured at fair value | 0 | 0 | |||
Significant Unobservable Inputs (Level 3) | Investment derivative assets | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Total assets measured at fair value | 0 | [1] | 0 | [2] | |
Significant Unobservable Inputs (Level 3) | Other investments measured at net asset value (2) | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Total assets measured at fair value | [3] | 0 | 0 | ||
Estimated Fair Value | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Total assets measured at fair value | 2,830,777 | 2,738,667 | |||
Total liabilities measured at fair value | 29,135 | 10,207 | |||
Estimated Fair Value | Investment derivative liabilities | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Total liabilities measured at fair value | 398 | [1] | 1,279 | [2] | |
Estimated Fair Value | Term loans | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Total assets measured at fair value | 1,022,238 | 1,000,652 | |||
Estimated Fair Value | Fixed maturities | Corporate bonds | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Total assets measured at fair value | 549,247 | 654,607 | |||
Estimated Fair Value | Fixed maturities | U.S. government and government agency bonds | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Total assets measured at fair value | 337,110 | 268,675 | |||
Estimated Fair Value | Fixed maturities | Asset-backed securities | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Total assets measured at fair value | 317,412 | 225,983 | |||
Estimated Fair Value | Fixed maturities | Mortgage-backed securities | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Total assets measured at fair value | 24,035 | 22,161 | |||
Estimated Fair Value | Fixed maturities | Non-U.S. government and government agencies | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Total assets measured at fair value | 140,357 | 136,513 | |||
Estimated Fair Value | Fixed maturities | Municipal government and government agency bonds | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Total assets measured at fair value | 7,689 | 8,231 | |||
Estimated Fair Value | Fixed maturities | Payable for securities sold short | Corporate bonds | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Total liabilities measured at fair value | 25,709 | 7,790 | |||
Estimated Fair Value | Short-term investments | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Total assets measured at fair value | 256,711 | 282,132 | |||
Estimated Fair Value | Equities | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Total assets measured at fair value | 123,811 | 89,651 | |||
Estimated Fair Value | Equities | Payable for securities sold short | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Total liabilities measured at fair value | 3,028 | [1] | 1,138 | [2] | |
Estimated Fair Value | Other underwriting derivative assets | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Total assets measured at fair value | 213 | 249 | |||
Estimated Fair Value | Investment derivative assets | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Total assets measured at fair value | 398 | [1] | 51 | [2] | |
Estimated Fair Value | Other investments measured at net asset value (2) | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Total assets measured at fair value | [3] | $ 51,556 | $ 49,762 | ||
[1] | Investment derivative assets and liabilities represent the fair value of total return swaps, which are recorded in other assets and other liabilities, respectively, in the consolidated balance sheets as of March 31, 2019. | ||||
[2] | Investment derivative assets and liabilities represent the fair value of total return swaps, which are recorded in other assets and other liabilities, respectively, in the consolidated balance sheets as of December 31, 2018. The Company’s call options are recorded as equities in payable for securities sold short in the consolidated balance sheets as of December 31, 2018. The Company’s put options are recorded as equities in the consolidated balance sheets as of December 31, 2018. | ||||
[3] | In accordance with applicable accounting guidance, other investments that are measured at fair value using the net asset value practical expedient have not been classified in the fair value hierarchy. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the consolidated balance sheets. |
Fair value - Level 3 rollforwar
Fair value - Level 3 rollforward (Details) - Recurring - Significant Unobservable Inputs (Level 3) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2019 | Mar. 31, 2018 | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Beginning balance | $ 164,767 | $ 140,109 | |
Transfers in (out) of Level 3 | [1] | (22,560) | |
Net Purchases (Sales) | [2] | 30,607 | 6,863 |
Net Unrealized Gains (Losses) | [3] | (677) | 196 |
Net Unrealized Foreign Exchange Gains (Losses) | (399) | 567 | |
Ending balance | 171,738 | 147,735 | |
Term loans | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Beginning balance | 47,479 | 62,478 | |
Transfers in (out) of Level 3 | [1] | 0 | |
Net Purchases (Sales) | [2] | 163 | (27,505) |
Net Unrealized Gains (Losses) | [3] | (274) | (593) |
Net Unrealized Foreign Exchange Gains (Losses) | 0 | 0 | |
Ending balance | 47,368 | 34,380 | |
Fixed maturities | Corporate bonds | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Beginning balance | 24,277 | 24,710 | |
Transfers in (out) of Level 3 | [1] | 0 | |
Net Purchases (Sales) | [2] | (90) | 0 |
Net Unrealized Gains (Losses) | [3] | (69) | (88) |
Net Unrealized Foreign Exchange Gains (Losses) | (399) | 567 | |
Ending balance | 23,719 | 25,189 | |
Fixed maturities | Asset-backed securities | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Beginning balance | 22,560 | ||
Transfers in (out) of Level 3 | [1] | (22,560) | |
Net Purchases (Sales) | [2] | 0 | |
Net Unrealized Gains (Losses) | [3] | 0 | |
Net Unrealized Foreign Exchange Gains (Losses) | 0 | ||
Ending balance | 0 | ||
Short-term investments | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Beginning balance | 0 | ||
Net Purchases (Sales) | [2] | 4,302 | |
Net Unrealized Gains (Losses) | [3] | 58 | |
Net Unrealized Foreign Exchange Gains (Losses) | 0 | ||
Ending balance | 4,360 | ||
Equities | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Beginning balance | 70,451 | 52,921 | |
Transfers in (out) of Level 3 | [1] | 0 | |
Net Purchases (Sales) | [2] | 30,534 | 30,066 |
Net Unrealized Gains (Losses) | [3] | (334) | 819 |
Net Unrealized Foreign Exchange Gains (Losses) | 0 | 0 | |
Ending balance | $ 100,651 | $ 83,806 | |
[1] | During the three months ended March 31, 2019, the Company obtained pricing for an asset-backed security, in which pricing was not available as of December 31, 2018. As such, the security was transferred from Level 3 to Level 2 at its fair value as of December 31, 2018. | ||
[2] | For the three months ended March 31, 2019, the net purchases (sales) consisted of purchases of $37.8 million of equities and $237.0 thousand of term loans, offset in part by sales, calls and redemptions of $7.3 million of equities, $89.9 thousand of corporate bonds and $74.0 thousand of term loans. For the three months ended March 31, 2018, the net purchases (sales) consisted of purchases of $30.1 million equities, $4.3 million of short-term investments and $1.0 million of term loans, partially offset by sales, calls and redemptions of $28.5 million of term loans. | ||
[3] | Realized and unrealized gains or losses on Level 3 investments are included in “realized and unrealized gain (loss) on investments” in the Company’s consolidated statements of income (loss). |
Fair value - Narrative (Details
Fair value - Narrative (Details) - USD ($) | 3 Months Ended | ||
Mar. 31, 2019 | Mar. 31, 2018 | Dec. 31, 2018 | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Total assets and liabilities measured at fair value | $ 2,800,000,000 | $ 2,700,000,000 | |
Total assets and liabilities measured at fair value priced using non-binding broker quotes | $ 203,700,000 | $ 178,300,000 | |
Total assets and liabilities measured at fair value priced using non-binding broker quotes (percentage) | 7.30% | 6.50% | |
Recurring | Significant Unobservable Inputs (Level 3) | Equities | |||
Purchases and sales of level 3 assets | |||
Purchases | $ 37,800,000 | $ 30,100,000 | |
Sales | 7,300,000 | ||
Recurring | Significant Unobservable Inputs (Level 3) | Short-term investments | |||
Purchases and sales of level 3 assets | |||
Purchases | 4,300,000 | ||
Recurring | Significant Unobservable Inputs (Level 3) | Fixed maturities | Corporate bonds | |||
Purchases and sales of level 3 assets | |||
Sales | 89,900 | ||
Recurring | Significant Unobservable Inputs (Level 3) | Term loans | |||
Purchases and sales of level 3 assets | |||
Purchases | 237,000 | 1,000,000 | |
Sales | $ 74,000 | $ 28,500,000 |
Derivatives - Fair values and n
Derivatives - Fair values and notional amounts of derivatives (Details) - Not designated as hedging instrument - USD ($) $ in Thousands | Mar. 31, 2019 | Dec. 31, 2018 | |
Derivatives, Fair Value [Line Items] | |||
Asset Derivatives | $ 611 | $ 1,108 | |
Liability Derivatives | 398 | 2,417 | |
Net Derivatives | 213 | (1,309) | |
Notional Amount | [1] | 186,141 | 188,362 |
Underwriting derivatives | |||
Derivatives, Fair Value [Line Items] | |||
Asset Derivatives | 213 | 249 | |
Liability Derivatives | 0 | 0 | |
Net Derivatives | 213 | 249 | |
Notional Amount | [1] | 70,749 | 72,148 |
Investment derivatives | |||
Derivatives, Fair Value [Line Items] | |||
Asset Derivatives | 398 | 859 | |
Liability Derivatives | 398 | 2,417 | |
Net Derivatives | 0 | (1,558) | |
Notional Amount | [1] | $ 115,392 | $ 116,214 |
[1] | The notional amount represents the absolute value of all outstanding contracts. |
Derivatives - Summary of realiz
Derivatives - Summary of realized and unrealized gains and losses on derivatives (Details) - Not designated as hedging instrument - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2019 | Mar. 31, 2018 | |
Other underwriting income (loss) | Underwriting derivatives | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Realized and unrealized gains and losses on derivative instruments | $ 592 | $ 701 |
Realized and unrealized gains (losses) on investments | Investment derivatives | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Realized and unrealized gains and losses on derivative instruments | $ 2,383 | $ 0 |
Derivatives - Narrative (Detail
Derivatives - Narrative (Details) - USD ($) $ in Millions | Mar. 31, 2019 | Dec. 31, 2018 |
Short-term investments | ||
Derivative [Line Items] | ||
Collateral held by counterparty | $ 46.8 | $ 36.3 |
Underwriting derivatives | Fixed maturities | ||
Derivative [Line Items] | ||
Collateral held | $ 15.2 | $ 15.5 |
Earnings per common share (Deta
Earnings per common share (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | |
Mar. 31, 2019 | Mar. 31, 2018 | |
Earnings Per Share [Abstract] | ||
Net income (loss) before preferred dividends | $ 52,539 | $ 17,689 |
Preferred dividends | (4,907) | (4,907) |
Net income (loss) available to common shareholders | $ 47,632 | $ 12,782 |
Weighted average number of common shares, basic and diluted | 22,682,875 | 22,682,875 |
Earnings (loss) per share, basic and diluted | $ 2.10 | $ 0.56 |
Income taxes (Details)
Income taxes (Details) - USD ($) | 3 Months Ended | ||
Mar. 31, 2019 | Mar. 31, 2018 | Dec. 31, 2018 | |
Income Tax Disclosure [Abstract] | |||
Deferred tax assets, valuation allowance | $ 1,400,000 | $ 1,500,000 | |
Net deferred tax assets after valuation allowance | 0 | 0 | |
Income tax expense (benefit) | 0 | $ 3,000 | |
Unrecognized tax benefits | $ 0 | $ 0 | |
Income Tax Disclosure [Line Items] | |||
U.S. statutory tax rate (percentage) | 21.00% | ||
GIBRALTAR | |||
Income Tax Disclosure [Line Items] | |||
Statutory tax rate (percentage) | 10.00% | ||
ROMANIA | |||
Income Tax Disclosure [Line Items] | |||
Statutory tax rate (percentage) | 16.00% | ||
UNITED KINGDOM | |||
Income Tax Disclosure [Line Items] | |||
Statutory tax rate (percentage) | 19.00% | ||
UNITED KINGDOM | Tax Year 2021 | |||
Income Tax Disclosure [Line Items] | |||
Statutory tax rate (percentage) | 17.00% |
Transactions with related par_3
Transactions with related parties - Transactions with ACGL (Details) $ in Thousands | 3 Months Ended | |||||
Mar. 31, 2019USD ($) | Mar. 31, 2018USD ($) | Dec. 31, 2018USD ($) | Dec. 31, 2017USD ($) | Mar. 31, 2014USD ($)executive | ||
Related Party Transaction [Line Items] | ||||||
Ceding fee expense | $ 4,200 | $ 4,000 | ||||
Consolidated statement of income (loss) items: | ||||||
Gross premiums written | 186,689 | 213,870 | ||||
Gross premiums ceded | (41,302) | (34,318) | ||||
Net premiums earned | 146,094 | 136,747 | ||||
Loss and loss adjustment expenses | 110,850 | 97,989 | ||||
Acquisition expenses | 33,974 | 34,963 | ||||
Consolidated balance sheet items: | ||||||
Total investments | 2,830,166 | $ 2,738,367 | ||||
Premiums receivable | 252,850 | 227,301 | ||||
Reinsurance recoverable on unpaid and paid losses and loss adjustment expenses | 102,817 | 86,445 | ||||
Prepaid reinsurance premiums | 72,960 | 61,587 | ||||
Deferred acquisition costs, net | 80,664 | 80,858 | ||||
Funds held by reinsurers | 44,638 | 44,830 | ||||
Reserve for losses and loss adjustment expenses | 1,104,532 | 852,828 | 1,032,760 | $ 798,262 | ||
Unearned premiums | 401,838 | 390,114 | ||||
Losses payable | 42,929 | 24,750 | ||||
Reinsurance balances payable | 27,039 | 21,034 | ||||
Amounts due to affiliates | 8,198 | 5,888 | ||||
ACGL and Subsidiaries | Arch Capital Group Limited | ||||||
Related Party Transaction [Line Items] | ||||||
Amount of investment by related party | $ 100,000 | |||||
Percentage of common equity owned by related party | 11.00% | |||||
Related party - number of executives serving as directors | executive | 2 | |||||
Consolidated statement of income (loss) items: | ||||||
Gross premiums written | 72,005 | 82,131 | ||||
Gross premiums ceded | (16,990) | (15,287) | ||||
Net premiums earned | 48,898 | 58,308 | ||||
Loss and loss adjustment expenses | 36,232 | 36,662 | ||||
Acquisition expenses | 21,759 | $ 24,200 | ||||
Consolidated balance sheet items: | ||||||
Total investments | 803,266 | 719,189 | ||||
Premiums receivable | 132,777 | 118,208 | ||||
Reinsurance recoverable on unpaid and paid losses and loss adjustment expenses | 50,432 | 45,954 | ||||
Prepaid reinsurance premiums | 31,856 | 27,598 | ||||
Deferred acquisition costs, net | 49,124 | 48,380 | ||||
Funds held by reinsurers | 32,812 | 33,352 | ||||
Other receivables | [1] | 1,697 | 0 | |||
Contingent commissions | [1] | 3,892 | 2,967 | |||
Reserve for losses and loss adjustment expenses | 642,045 | 631,670 | ||||
Unearned premiums | 176,658 | 166,491 | ||||
Losses payable | 37,313 | 19,098 | ||||
Reinsurance balances payable | 25,681 | 20,299 | ||||
Amounts due to affiliates | $ 8,198 | $ 5,888 | ||||
[1] | Other receivables and contingent commissions are recorded in other assets in the consolidated balance sheet. |
Transactions with related par_4
Transactions with related parties - Transactions with other ACGL entities (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2019 | Mar. 31, 2018 | |
Consolidated statement of income (loss) items: | ||
Investment management fees - related parties | $ 4,409 | $ 4,146 |
Acquisition expenses | 33,974 | 34,963 |
General and administrative expenses | $ 7,240 | 5,057 |
ACGL and Subsidiaries | AIM | ||
Related Party Transaction [Line Items] | ||
Investment management agreement, term | 1 year | |
Investment management agreement termination, notice period required | 45 days | |
Consolidated statement of income (loss) items: | ||
Investment management fees - related parties | $ 262 | 294 |
ACGL and Subsidiaries | AUL And AUI | ||
Related Party Transaction [Line Items] | ||
Services agreement term | 5 years | |
Services agreement termination, notice period required | 24 months | |
Consolidated statement of income (loss) items: | ||
Acquisition expenses | $ 4,948 | 3,642 |
General and administrative expenses | 2,011 | 890 |
Total related party expenses | $ 6,959 | $ 4,532 |
Transactions with related par_5
Transactions with related parties - Transactions with HPS (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | |||
Mar. 31, 2019 | Mar. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2018 | Jan. 01, 2018 | |
Consolidated statement of income (loss) items: | |||||
Investment management fees - related parties | $ 4,409 | $ 4,146 | |||
Investment performance fees - related parties | 5,800 | 2,597 | |||
Consolidated balance sheet items: | |||||
Other investments, at fair value | 51,556 | $ 49,762 | |||
Investment management and performance fees payable | $ 10,483 | 3,807 | |||
HPS | |||||
Related Party Transaction [Line Items] | |||||
Management fee percentage | 1.00% | ||||
Incentive fee percentage | 10.00% | ||||
Additional incentive fee percentage | 25.00% | ||||
Minimum investment return for additional incentive fee | 10.00% | ||||
Maximum incentive fee percentage | 17.50% | ||||
Purchase of other investments | $ 50,000 | ||||
Company's ownership percentage of master fund | 19.00% | ||||
Consolidated statement of income (loss) items: | |||||
Investment management fees - related parties | $ 4,147 | 3,852 | |||
Investment performance fees - related parties | 5,800 | 2,597 | |||
Total related party expense | 9,947 | $ 6,449 | |||
Consolidated balance sheet items: | |||||
Other investments, at fair value | 51,556 | 49,762 | |||
Investment management and performance fees payable | $ 10,483 | $ 3,807 |
Transactions with related par_6
Transactions with related parties - Transactions with Artex (Details) - Artex $ in Thousands | 3 Months Ended | ||
Mar. 31, 2019USD ($) | Mar. 31, 2019GBP (£) | Mar. 31, 2018USD ($) | |
Related Party Transaction [Line Items] | |||
Insurance management agreement termination, notice period required | 12 months | 12 months | |
Insurance management fees paid | $ | $ 131 | $ 120 | |
Minimum | |||
Related Party Transaction [Line Items] | |||
Insurance management agreed service fees | £ 150,000 | ||
Maximum | |||
Related Party Transaction [Line Items] | |||
Insurance management agreed service fees | £ 400,000 |
Commitments and contingencies_2
Commitments and contingencies - Concentrations of credit risk (Details) - USD ($) $ in Millions | Mar. 31, 2019 | Dec. 31, 2018 |
ACGL and Subsidiaries | AM Best, A plus Rating | ||
Concentration Risk [Line Items] | ||
Reinsurance recoverables and prepaid reinsurance premiums | $ 56.6 | $ 53.3 |
Commitments and contingencies_3
Commitments and contingencies - Credit facilities (Details) - USD ($) $ in Thousands | Mar. 31, 2019 | Dec. 31, 2018 | May 16, 2018 | Nov. 30, 2017 |
Line of Credit Facility [Line Items] | ||||
Revolving credit agreement borrowings | $ 652,743 | $ 693,917 | ||
Lloyds Bank PLC | Letter of credit facility | ||||
Line of Credit Facility [Line Items] | ||||
Credit facility, maximum borrowing capacity | $ 100,000 | |||
Restricted assets | 72,100 | 68,900 | ||
Bank Of America, N.A. | Secured facility | ||||
Line of Credit Facility [Line Items] | ||||
Credit facility, maximum borrowing capacity | $ 800,000 | |||
Bank Of America, N.A. | Borrowings | ||||
Line of Credit Facility [Line Items] | ||||
Revolving credit agreement borrowings | 488,600 | 455,700 | ||
Bank Of America, N.A. | Standby letters of credit | ||||
Line of Credit Facility [Line Items] | ||||
Credit facility, maximum borrowing capacity | $ 400,000 | |||
Revolving credit agreement borrowings | $ 52,500 | $ 52,500 |
Commitments and contingencies_4
Commitments and contingencies - Custodian facility (Details) $ in Thousands, SFr in Millions | Mar. 31, 2019USD ($) | Mar. 31, 2019CHF (SFr) | Dec. 31, 2018USD ($) | Dec. 31, 2018CHF (SFr) |
Short-term Debt [Line Items] | ||||
Revolving credit agreement borrowings | $ 652,743 | $ 693,917 | ||
Custodian bank facility | ||||
Short-term Debt [Line Items] | ||||
Revolving credit agreement borrowings | 164,100 | 238,200 | ||
Cash and investments held on deposit with custodian | 246,900 | 339,100 | ||
Custodian bank facility | CHF denominated borrowings | ||||
Short-term Debt [Line Items] | ||||
Revolving credit agreement borrowings | $ 2,000 | SFr 2 | $ 2,000 | SFr 2 |
Commitments and contingencies_5
Commitments and contingencies - Operating leases additional information (Details) $ in Thousands | 3 Months Ended |
Mar. 31, 2019USD ($) | |
Lease cost: | |
Operating lease | $ 71 |
Other information on operating lease: | |
Cash payments included in the measurement of lease liability reported in operating cash flows | $ 60 |
Weighted average discount rate | 3.90% |
Weighted average remaining lease term in years | 4 years 6 months |
Commitments and contingencies_6
Commitments and contingencies - Operating leases maturity (Details) $ in Thousands | Mar. 31, 2019USD ($) |
Commitments and Contingencies Disclosure [Abstract] | |
Remainder of 2019 | $ 212 |
2020 | 283 |
2021 | 283 |
2022 | 283 |
2023 | 189 |
Total undiscounted lease payments | 1,250 |
Less: present value adjustment | (102) |
Operating lease liability | $ 1,148 |
Commitments and contingencies_7
Commitments and contingencies - Investment commitments (Details) - USD ($) $ in Millions | Mar. 31, 2019 | Dec. 31, 2018 |
Investment commitment | ||
Other Commitments [Line Items] | ||
Commitment, amount | $ 0 | $ 2.9 |
Commitments and contingencies_8
Commitments and contingencies - Operating leases future minimum rental commitments (Details) $ in Thousands | Dec. 31, 2018USD ($) |
Commitments and Contingencies Disclosure [Abstract] | |
2019 | $ 283 |
2020 | 283 |
2021 | 283 |
2022 | 283 |
2023 | 189 |
Total future rental commitments | $ 1,321 |