Document and Entity Information
Document and Entity Information - shares | 3 Months Ended | |
Mar. 31, 2016 | May. 02, 2016 | |
Document And Entity Information [Abstract] | ||
Document type | 10-Q | |
Document period end date | Mar. 31, 2016 | |
Amendment flag | false | |
Document Fiscal Year Focus | 2,016 | |
Document Fiscal Period Focus | Q1 | |
Entity registrant name | PARTNERRE LTD. | |
Entity central index key | 911,421 | |
Entity current reporting status | Yes | |
Entity voluntary filers | No | |
Current fiscal year end date | --12-31 | |
Entity filer category | Large Accelerated Filer | |
Entity well known seasoned issuer | Yes | |
Entity common stock shares outstanding | 1 |
Condensed Consolidated Balance
Condensed Consolidated Balance Sheets - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 | |
Assets | |||
Fixed maturities, at fair value (amortized cost: 2016, $12,668,635; 2015, $13,313,819) | $ 13,020,014 | $ 13,448,262 | |
Short-term investments, at fair value (amortized cost: 2016, $33,536; 2015, $46,689) | 33,555 | 46,688 | |
Equities, at fair value (cost: 2016, $326,909; 2015, $418,428) | 324,427 | 443,861 | |
Other invested assets | 458,709 | 399,204 | |
Total investments | 13,836,705 | 14,338,015 | |
Funds held – directly managed (cost: 2016, $572,550; 2015, $537,661) | 579,571 | 539,743 | |
Cash and cash equivalents | 1,749,851 | 1,577,097 | |
Accrued investment income | 134,735 | 141,672 | |
Reinsurance balances receivable | 2,964,950 | 2,428,020 | |
Reinsurance recoverable on paid and unpaid losses | 300,731 | 282,916 | |
Funds held by reinsured companies | 685,564 | 657,815 | |
Deferred acquisition costs | 691,117 | 629,372 | |
Deposit assets | 82,018 | 88,152 | |
Net tax assets | 82,405 | 102,596 | |
Goodwill | 456,380 | 456,380 | |
Intangible assets | 126,423 | 133,011 | |
Other assets | 265,013 | 31,254 | |
Total assets | 21,955,463 | 21,406,043 | |
Liabilities | |||
Unpaid losses and loss expenses | 9,331,087 | 9,064,711 | |
Policy benefits for life and annuity contracts | 2,089,055 | 2,051,935 | |
Unearned premiums | 2,086,332 | 1,644,757 | |
Other reinsurance balances payable | 293,342 | 246,089 | |
Deposit liabilities | 33,506 | 44,420 | |
Net tax liabilities | 197,973 | 218,652 | |
Accounts payable, accrued expenses and other | 192,994 | 411,539 | |
Debt related to senior notes | 750,000 | 750,000 | |
Debt related to capital efficient notes | 70,989 | 70,989 | |
Total liabilities | 15,045,278 | 14,503,092 | |
Shareholders’ Equity | |||
Common shares (par value $1.00; issued: 2016, 1 share and 2015, 87,237,220 shares) (1) | 0 | [1] | 87,237 |
Preferred shares (par value $1.00; issued and outstanding: 2016 and 2015, 34,150,000 shares; aggregate liquidation value: 2016 and 2015, $853,750) | 34,150 | 34,150 | |
Additional paid-in capital | 2,537,359 | 3,982,147 | |
Accumulated other comprehensive loss | (63,192) | (83,283) | |
Retained earnings | 4,401,868 | 6,146,802 | |
Common shares held in treasury, at cost (2016, nil shares; 2015, 39,303,068 shares) | 0 | (3,266,552) | |
Total shareholders’ equity attributable to PartnerRe Ltd. | 6,910,185 | 6,900,501 | |
Noncontrolling interests | 0 | 2,450 | |
Total shareholders’ equity | 6,910,185 | 6,902,951 | |
Total liabilities and shareholders’ equity | $ 21,955,463 | $ 21,406,043 | |
[1] | On March 18, 2016, EXOR S.p.A. acquired 100% ownership of the Company’s common shares pursuant to the terms of a Merger Agreement (acquisition). All common shares issued and outstanding and all treasury shares held immediately prior to the acquisition were canceled and one common share of $1.00 par value was issued (see Note 1 to the Condensed Consolidated Financial Statements for further details). |
Condensed Consolidated Balance3
Condensed Consolidated Balance Sheets (Parentheticals) - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 |
Common shares, par value | $ 1 | $ 1 |
Common shares, shares issued | 1 | 87,237,220 |
Preferred shares, par value | $ 1 | $ 1 |
Number of preferred shares issued | 34,150,000 | 34,150,000 |
Preferred shares, shares outstanding | 34,150,000 | 34,150,000 |
Aggregate liquidation value | $ 853,750 | $ 853,750 |
Common shares held in treasury, shares | 0 | 39,303,068 |
Assets | ||
Fixed maturities, amortized cost | $ 12,668,635 | $ 13,313,819 |
Short-term investments, amortized cost | 33,536 | 46,689 |
Equities, cost | 326,909 | 418,428 |
Funds held - directly managed, cost | $ 572,550 | $ 537,661 |
EXORS.p.A. [Member] | ||
Common shares, par value | $ 1 | |
Common shares, shares issued | 1 | |
Business Acquisition, Percentage of Voting Interests Acquired | 100.00% |
Condensed Consolidated Statemen
Condensed Consolidated Statements of Operations and Comprehensive Income - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Revenues | ||
Gross premiums written | $ 1,629,009 | $ 1,748,933 |
Net premiums written | 1,500,718 | 1,653,215 |
Increase in unearned premiums | (359,002) | (418,493) |
Net premiums earned | 1,141,716 | 1,234,722 |
Net investment income | 102,987 | 104,631 |
Net realized and unrealized investment gains | 167,193 | 115,645 |
Other income | 4,840 | 4,292 |
Total revenues | 1,416,736 | 1,459,290 |
Expenses | ||
Losses and loss expenses and life policy benefits | 714,268 | 721,281 |
Acquisition costs | 282,974 | 275,791 |
Other expenses | 152,674 | 124,750 |
Interest expense | 12,259 | 12,245 |
Amortization of intangible assets | 6,588 | 6,768 |
Net foreign exchange gains | (2,074) | (13,147) |
Total expenses | 1,166,689 | 1,127,688 |
Income before taxes and interest in losses of equity method investments | 250,047 | 331,602 |
Income tax expense | 30,954 | 79,665 |
Interest in losses of equity method investments | (3,467) | (3,838) |
Net income | 215,626 | 248,099 |
Net income attributable to noncontrolling interests | 0 | (2,182) |
Net income attributable to PartnerRe Ltd. | 215,626 | 245,917 |
Preferred dividends | 14,184 | 14,184 |
Net income attributable to PartnerRe Ltd. common shareholders | 201,442 | 231,733 |
Comprehensive income | ||
Net income attributable to PartnerRe Ltd. | 215,626 | 245,917 |
Change in currency translation adjustment | 21,123 | (2,504) |
Change in unfunded pension obligation, net of tax | (829) | (436) |
Change in unrealized losses on investments, net of tax | (203) | (217) |
Total other comprehensive income (loss), net of tax | 20,091 | (3,157) |
Comprehensive income attributable to PartnerRe Ltd. | $ 235,717 | $ 242,760 |
Condensed Consolidated Stateme5
Condensed Consolidated Statements of Shareholders' Equity - USD ($) $ in Thousands | Total | Common Shares [Member] | Preferred shares | Additional Paid-in Capital [Member] | Accumulated other comprehensive loss [Member] | Foreign Currency translation adjustment [Member] | Unfunded pension obligation [Member] | Unrealized gain on investment [Member] | Retained Earnings [Member] | Common shares held in treasury [Member] | Noncontrolling Interest [Member] |
Balance at beginning of period at Dec. 31, 2014 | $ 87,237 | $ 34,150 | $ 3,949,665 | $ (34,083) | $ (7,915) | $ (29,576) | $ 3,408 | $ 6,270,811 | $ (3,258,870) | ||
Net income | $ 248,099 | 248,099 | |||||||||
Net income attributable to noncontrolling interests | (2,182) | (2,182) | |||||||||
Reissuance of common shares | (26,917) | 29,227 | |||||||||
Dividends on common shares | (33,185) | ||||||||||
Dividends on preferred shares | (14,184) | (14,184) | |||||||||
Stock compensation expense, net of taxes paid | 9,800 | ||||||||||
Cancellation Of Treasury Shares | 0 | 0 | 0 | 0 | |||||||
Cancellation of common shares | 0 | 0 | |||||||||
Settlement of share-based awards upon change in control | 0 | 0 | |||||||||
Change in currency translation adjustment | (5,063) | ||||||||||
Change in net unrealized gain on designated net investment hedges | 2,559 | ||||||||||
Change in unfunded pension obligation, net of tax | (436) | (436) | |||||||||
Change in unrealized losses on investments, net of tax | (217) | (217) | |||||||||
Repurchase of common shares | (59,266) | ||||||||||
Balance at end of period at Mar. 31, 2015 | 7,197,145 | 87,237 | 34,150 | 3,959,465 | (37,240) | (10,419) | (30,012) | 3,191 | 6,442,442 | (3,288,909) | |
Noncontrolling interests | $ 57,683 | ||||||||||
Total shareholders' equity | 7,254,828 | ||||||||||
Noncontrolling interests | 2,450 | ||||||||||
Total shareholders' equity | 6,902,951 | ||||||||||
Balance at beginning of period at Dec. 31, 2015 | 6,900,501 | 87,237 | 34,150 | 3,982,147 | (83,283) | (53,970) | (31,861) | 2,548 | 6,146,802 | (3,266,552) | |
Net income | 215,626 | 215,626 | |||||||||
Net income attributable to noncontrolling interests | 0 | 0 | |||||||||
Reissuance of common shares | (17,229) | 18,390 | |||||||||
Dividends on common shares | (186,430) | ||||||||||
Dividends on preferred shares | (14,184) | (14,184) | |||||||||
Stock compensation expense, net of taxes paid | 48,731 | ||||||||||
Cancellation Of Treasury Shares | (39,082) | (1,466,363) | (1,742,717) | (3,248,162) | |||||||
Cancellation of common shares | (48,155) | (48,155) | |||||||||
Settlement of share-based awards upon change in control | 75,311 | (75,311) | |||||||||
Change in currency translation adjustment | 10,760 | ||||||||||
Change in net unrealized gain on designated net investment hedges | 10,363 | ||||||||||
Change in unfunded pension obligation, net of tax | (829) | (829) | |||||||||
Change in unrealized losses on investments, net of tax | (203) | (203) | |||||||||
Repurchase of common shares | 0 | ||||||||||
Balance at end of period at Mar. 31, 2016 | 6,910,185 | $ 0 | $ 34,150 | $ 2,537,359 | $ (63,192) | $ (32,847) | $ (32,690) | $ 2,345 | $ 4,401,868 | $ 0 | |
Noncontrolling interests | 0 | $ 0 | |||||||||
Total shareholders' equity | $ 6,910,185 |
Condensed Consolidated Stateme6
Condensed Consolidated Statements of Shareholders' Equity (Parentheticals) - USD ($) | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Unfunded pension obligation [Member] | ||
Shareholders Equity Parentheticals | ||
Balance at end of period, unfunded pension obligation, tax impact | $ 9,019,000 | $ 8,432,000 |
Unrealized gain on investments [Member] | ||
Shareholders Equity Parentheticals | ||
Balance at end of period, unrealized gain on investments, tax impact | $ 0 | $ 0 |
Condensed Consolidated Stateme7
Condensed Consolidated Statements of Cash Flows - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Cash flows from operating activities | ||
Net income | $ 215,626 | $ 248,099 |
Adjustments to reconcile net income to net cash provided by operating activities: | ||
Amortization of net premium on investments | 22,522 | 29,911 |
Amortization of intangible assets | 6,588 | 6,768 |
Net realized and unrealized investment gains | (167,193) | (115,645) |
Changes in: | ||
Reinsurance balances, net | (480,517) | (572,301) |
Reinsurance recoverable on paid and unpaid losses, net of ceded premiums payable | 50,856 | 45,691 |
Funds held by reinsured companies and funds held – directly managed | (49,124) | 71,350 |
Deferred acquisition costs | (56,386) | (76,800) |
Net tax assets and liabilities | (4,072) | 37,445 |
Unpaid losses and loss expenses including life policy benefits | 187,614 | 80,728 |
Unearned premiums | 359,002 | 418,493 |
Other net changes in operating assets and liabilities | 6,741 | (34,992) |
Net cash provided by operating activities | 91,657 | 138,747 |
Redemptions of fixed maturities | 160,065 | 161,229 |
Sales and redemptions of short-term investments | 44,496 | 12,692 |
Purchases of short-term investments | (31,425) | (7,391) |
Other, net | (49,036) | (573) |
Net cash provided by investing activities | 337,791 | 114,775 |
Cash flows from financing activities | ||
Dividends paid to common and preferred shareholders | (200,614) | (47,369) |
Settlement of share-based awards upon change in control | (75,311) | 0 |
Reissuance of treasury shares, net of taxes | 12,938 | (4,084) |
Repurchase of common shares | 0 | (71,376) |
Net cash used in financing activities | (262,987) | (122,829) |
Effect of foreign exchange rate changes on cash | 6,293 | (30,362) |
Increase in cash and cash equivalents | 172,754 | 100,331 |
Cash and cash equivalents—beginning of period | 1,577,097 | 1,313,468 |
Cash and cash equivalents—end of period | 1,749,851 | 1,413,799 |
Supplemental cash flow information: | ||
Taxes paid | 16,019 | 42,257 |
Interest paid | 0 | 0 |
Fixed maturities [Member] | ||
Sales of fixed maturities and sales of equities | 1,959,793 | 2,495,633 |
Purchases of fixed maturities and purchases of equities | (1,851,309) | (2,293,577) |
Equities [Member] | ||
Sales of fixed maturities and sales of equities | 108,333 | 120,973 |
Purchases of fixed maturities and purchases of equities | $ (3,126) | $ (374,211) |
Organization
Organization | 3 Months Ended |
Mar. 31, 2016 | |
Disclosure - Organization [Abstract] | |
Organization | 1. Organization PartnerRe Ltd. (PartnerRe or the Company) predominantly provides reinsurance and certain specialty insurance lines on a worldwide basis through its principal wholly-owned subsidiaries, including Partner Reinsurance Company Ltd., Partner Reinsurance Europe SE, Partner Reinsurance Company of the U.S. and Partner Reinsurance Asia Pte. Ltd. Risks reinsured include, but are not limited to, property, casualty, motor, agriculture, aviation/space, catastrophe, credit/surety, engineering, energy, marine, specialty property, specialty casualty, multiline and other lines, mortality, longevity, accident and health and alternative risk products. The Company’s alternative risk products include weather and credit protection to financial, industrial and service companies on a worldwide basis. On August 2, 2015, the Company entered into an Agreement and Plan of Merger (the Merger Agreement) with Exor N.V., Pillar Ltd., a wholly owned subsidiary of Exor N.V., and solely with respect to certain specified sections thereof, EXOR S.p.A. (EXOR), a European investment company controlled by the Agnelli family, whereby Pillar Ltd. would be merged with and into the Company, with the Company continuing as the surviving company and a wholly owned subsidiary of Exor N.V. (the Merger). On November 19, 2015, the Merger was approved by the Company’s shareholders, pending certain regulatory approvals and other customary closing conditions. On March 18, 2016, the Company announced completion of the acquisition by EXOR following receipt of all regulatory approvals. Pursuant to the terms of the Merger Agreement, each PartnerRe common share issued and outstanding immediately prior to the effective time of the Merger was cancelled and converted into $137.50 in cash per share and entitled to receive a one-time special pre-closing cash dividend in the amount of $3.00 per common share (Special Dividend). One common share at $1.00 par value was issued to Exor N.V., representing 100% common share ownership of the Company, and the Company paid the Special Dividend of approximately $150 million . In addition, under the terms of the Merger Agreement, EXOR paid cash of approximately of $42.7 million in aggregate to the holders of record of the Company’s preferred shares on March 18, 2016. Pursuant to the terms of the Merger Agreement, PartnerRe common shares are no longer traded on the New York Stock Exchange (NYSE). The Company’s preferred shares continue to be traded on the NYSE following the closing of the transaction. |
Significant Accounting Policies
Significant Accounting Policies | 3 Months Ended |
Mar. 31, 2016 | |
Disclosure - Significant Accounting Policies [Abstract] | |
Basis of Presentation and Significant Accounting Policies [Text Block] | 2. Significant Accounting Policies The Company’s Condensed Consolidated Financial Statements have been prepared in accordance with accounting principles generally accepted in the United States (U.S. GAAP) for interim financial information and with the instructions for Form 10-Q and Article 10 of Regulation S-X. The Condensed Consolidated Financial Statements include the accounts of the Company and its subsidiaries. Intercompany accounts and transactions have been eliminated. The preparation of financial statements in conformity with U.S. GAAP requires Management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. While Management believes that the amounts included in the Condensed Consolidated Financial Statements reflect its best estimates and assumptions, actual results could differ from those estimates. The Company’s principal estimates include: • Unpaid losses and loss expenses; • Policy benefits for life and annuity contracts; • Gross and net premiums written and net premiums earned; • Recoverability of deferred acquisition costs; • Recoverability of deferred tax assets; • Valuation of goodwill and intangible assets; and • Valuation of certain assets and derivative financial instruments that are measured using significant unobservable inputs. In the opinion of Management, all adjustments (which include normal recurring adjustments) necessary for a fair presentation of results for the interim periods have been made. As the Company’s reinsurance operations are exposed to low-frequency, high-severity risk events, some of which are seasonal, results for certain interim periods may include unusually low loss experience, while results for other interim periods may include significant catastrophic losses. Consequently, the Company’s results for interim periods are not necessarily indicative of results for the full year. These Condensed Consolidated Financial Statements should be read in conjunction with the Consolidated Financial Statements and notes thereto included in the Company’s Annual Report on Form 10-K for the year ended December 31, 2015 . |
Recent Accounting Pronouncement
Recent Accounting Pronouncements | 3 Months Ended |
Mar. 31, 2016 | |
Recent Accounting Pronouncements [Abstract] | |
Recent Accounting Pronouncements | 3. Recent Accounting Pronouncements In February 2015, the Financial Accounting Standards Board (FASB) issued updated guidance on the consolidation of voting interest entities and variable interest entities. The update required entities to reevaluate whether they should consolidate certain legal entities. This guidance is effective for interim and annual periods beginning after December 15, 2015, with early adoption permitted. The adoption of the guidance on January 1, 2016 did not have a significant impact on the Company’s Condensed Consolidated Financial Statements and disclosures. In February 2016, the FASB issued updated guidance on the accounting for leases. This update requires the recognition of lease assets and lease liabilities by lessees for those leases classified as operating leases under previous guidance and expands required disclosures. The guidance is effective for interim and annual periods beginning after December 15, 2018, with early adoption permitted. The Company is currently evaluating the impact of the adoption of this guidance on its Consolidated Financial Statements and disclosures. In March 2016, the FASB issued updated guidance on the transition to the equity method of accounting. This update eliminates the requirement to retroactively adjust the carrying value of an investment when it qualifies for use of the equity method as a result of an increase in the level of ownership interest or degree of influence. The guidance is effective for interim and annual periods beginning after December 15, 2016, with early adoption permitted. The Company is currently evaluating the impact of the adoption of this guidance on its Consolidated Financial Statements. |
Fair Value
Fair Value | 3 Months Ended |
Mar. 31, 2016 | |
Fair Value Disclosures [Abstract] | |
Fair Value Disclosures [Text Block] | 4. Fair Value (a) Fair Value of Financial Instrument Assets The fair value hierarchy prioritizes the inputs to valuation techniques used to measure fair value by maximizing the use of observable inputs and minimizing the use of unobservable inputs by requiring that the most observable inputs be used when available. Observable inputs are inputs that market participants would use in pricing an asset or liability based on market data obtained from sources independent of the Company. Unobservable inputs are inputs that reflect the Company’s assumptions about what market participants would use in pricing the asset or liability based on the best information available in the circumstances. The level in the hierarchy within which a given fair value measurement falls is determined based on the lowest level input that is significant to the measurement. The Company determines the appropriate level in the hierarchy for each financial instrument that it measures at fair value. In determining fair value, the Company uses various valuation approaches, including market, income and cost approaches. The hierarchy is broken down into three levels based on the observability of inputs as follows: • Level 1 inputs—Unadjusted, quoted prices in active markets for identical assets or liabilities that the Company has the ability to access. The Company’s financial instruments that it measures at fair value using Level 1 inputs generally include: equities and real estate investment trusts listed on a major exchange, exchange traded funds and exchange traded derivatives, including futures that are actively traded. • Level 2 inputs—Quoted prices in active markets for similar assets or liabilities, quoted prices for identical or similar assets or liabilities in inactive markets and significant directly or indirectly observable inputs, other than quoted prices, used in industry accepted models. The Company’s financial instruments that it measures at fair value using Level 2 inputs generally include: U.S. government issued bonds; U.S. government sponsored enterprises bonds; U.S. state, territory and municipal entities bonds; non-U.S. sovereign government, supranational and government related bonds consisting primarily of bonds issued by non-U.S. national governments and their agencies, non-U.S. regional governments and supranational organizations; investment grade and high yield corporate bonds; asset-backed securities; mortgage-backed securities; short-term investments; certain common and preferred equities; certain fixed income mutual funds; notes and loan receivables; foreign exchange forward contracts and over-the-counter derivatives such as foreign currency option contracts, interest rate swaps and to-be-announced mortgage-backed securities (TBAs). • Level 3 inputs—Unobservable inputs. The Company’s financial instruments that it measures at fair value using Level 3 inputs generally include: inactively traded fixed maturities including U.S. state, territory and municipal bonds; special purpose financing asset-backed bonds; unlisted equities; real estate and certain other mutual fund investments; inactively traded weather derivatives; notes and loan receivables, notes securitizations, annuities and residuals, private equities and longevity and other total return swaps. The Company’s policy is to recognize transfers between the hierarchy levels at the beginning of the period. The Company’s financial instruments measured at fair value include investments and the segregated investment portfolio underlying the funds held – directly managed account. At March 31, 2016 and December 31, 2015 , the Company’s financial instruments measured at fair value were classified between Levels 1, 2 and 3 as follows (in thousands of U.S. dollars): March 31, 2016 Quoted prices in active markets for identical assets (Level 1) Significant other observable inputs (Level 2) Significant unobservable inputs (Level 3) Total Fixed maturities U.S. government and government sponsored enterprises $ — $ 2,794,761 $ — $ 2,794,761 U.S. states, territories and municipalities — 639,799 140,573 780,372 Non-U.S. sovereign government, supranational and government related — 1,197,012 — 1,197,012 Corporate — 4,977,795 — 4,977,795 Asset-backed securities — 657,827 374,489 1,032,316 Residential mortgage-backed securities — 2,189,843 — 2,189,843 Other mortgage-backed securities — 47,915 — 47,915 Fixed maturities $ — $ 12,504,952 $ 515,062 $ 13,020,014 Short-term investments $ — $ 33,555 $ — $ 33,555 Equities Finance $ 18,326 $ 4,466 $ 21,409 $ 44,201 Consumer noncyclical 41,544 — — 41,544 Insurance 27,382 2,651 — 30,033 Technology 21,366 — 6,984 28,350 Industrials 25,390 — — 25,390 Consumer cyclical 25,191 — — 25,191 Communications 21,109 — 2,037 23,146 Other 34,094 — — 34,094 Mutual funds and exchange traded funds 70,142 — 2,336 72,478 Equities $ 284,544 $ 7,117 $ 32,766 $ 324,427 Other invested assets Derivative assets Foreign exchange forward contracts $ — $ 15,119 $ — $ 15,119 Foreign currency option contracts — 1,977 — 1,977 Futures contracts 5,588 — — 5,588 Insurance-linked securities — — 9,491 9,491 Total return swaps — — 2,953 2,953 TBAs — 1,619 — 1,619 Other Notes and loan receivables and notes securitization — 1,000 175,970 176,970 Annuities and residuals — — 9,116 9,116 Private equities — — 71,899 71,899 Derivative liabilities Foreign exchange forward contracts — (4,258 ) — (4,258 ) Futures contracts (1,441 ) — — (1,441 ) Insurance-linked securities — — (5,830 ) (5,830 ) Total return swaps — — (2,999 ) (2,999 ) Interest rate swaps — (25,280 ) — (25,280 ) Other invested assets $ 4,147 $ (9,823 ) $ 260,600 $ 254,924 Funds held – directly managed U.S. government and government sponsored enterprises $ — $ 199,258 $ — $ 199,258 Non-U.S. sovereign government, supranational and government related — 126,363 — 126,363 Corporate — 90,624 — 90,624 Other invested assets — — 10,292 10,292 Funds held – directly managed $ — $ 416,245 $ 10,292 $ 426,537 Total $ 288,691 $ 12,952,046 $ 818,720 $ 14,059,457 December 31, 2015 Quoted prices in active markets for identical assets (Level 1) Significant other observable inputs (Level 2) Significant unobservable inputs (Level 3) Total Fixed maturities U.S. government and government sponsored enterprises $ — $ 2,872,845 $ — $ 2,872,845 U.S. states, territories and municipalities — 639,479 138,847 778,326 Non-U.S. sovereign government, supranational and government related — 1,332,925 — 1,332,925 Corporate — 5,086,199 — 5,086,199 Asset-backed securities — 668,117 369,699 1,037,816 Residential mortgage-backed securities — 2,290,640 — 2,290,640 Other mortgage-backed securities — 49,511 — 49,511 Fixed maturities $ — $ 12,939,716 $ 508,546 $ 13,448,262 Short-term investments $ — $ 46,688 $ — $ 46,688 Equities Insurance $ 72,226 $ 7,799 $ — $ 80,025 Finance 29,422 5,497 22,760 57,679 Real estate investment trusts 46,379 — — 46,379 Consumer noncyclical 43,375 — — 43,375 Industrials 26,863 7,401 — 34,264 Technology 21,177 — 8,207 29,384 Consumer cyclical 25,871 — — 25,871 Communications 20,939 — 1,985 22,924 Other 28,197 — — 28,197 Mutual funds and exchange traded funds 71,159 — 4,604 75,763 Equities $ 385,608 $ 20,697 $ 37,556 $ 443,861 Other invested assets Derivative assets Foreign exchange forward contracts $ — $ 15,311 $ — $ 15,311 Futures contracts 5,675 — — 5,675 Insurance-linked securities — — 9,428 9,428 Total return swaps — — 2,745 2,745 Other Notes and loan receivables and notes securitization — — 125,922 125,922 Annuities and residuals — — 8,436 8,436 Private equities — — 71,298 71,298 Derivative liabilities Foreign exchange forward contracts — (15,109 ) — (15,109 ) Futures contracts (140 ) — — (140 ) Insurance-linked securities — — (3,944 ) (3,944 ) Total return swaps — — (2,878 ) (2,878 ) Interest rate swaps — (24,383 ) — (24,383 ) TBAs — (1,462 ) — (1,462 ) Other invested assets $ 5,535 $ (25,643 ) $ 211,007 $ 190,899 Funds held – directly managed U.S. government and government sponsored enterprises $ — $ 169,951 $ — $ 169,951 Non-U.S. sovereign government, supranational and government related — 119,487 — 119,487 Corporate — 99,349 — 99,349 Short-term investments — 966 — 966 Other invested assets — — 10,146 10,146 Funds held – directly managed $ — $ 389,753 $ 10,146 $ 399,899 Total $ 391,143 $ 13,371,211 $ 767,255 $ 14,529,609 At March 31, 2016 and December 31, 2015 , the aggregate carrying amounts of items included in Other invested assets that the Company did not measure at fair value were $203.8 million and $208.3 million , respectively, which related to the Company’s investments that are accounted for using the cost method of accounting or equity method of accounting. In addition to the investments underlying the funds held – directly managed account held at fair value of $426.5 million and $399.9 million at March 31, 2016 and December 31, 2015 , respectively, the funds held – directly managed account also included cash and cash equivalents, carried at fair value, of $39.0 million and $64.6 million , respectively, and accrued investment income of $4.4 million and $4.5 million , respectively. At March 31, 2016 and December 31, 2015 , the aggregate carrying amounts of items included in the funds held – directly managed account that the Company did not measure at fair value were $109.7 million and $70.7 million , respectively, which primarily related to other assets and liabilities held by Colisée Re related to the underlying business, which are carried at cost (see Note 5 to the Consolidated Financial Statements included in the Company’s Annual Report on Form 10-K for the year ended December 31, 2015 ). At March 31, 2016 and December 31, 2015 , substantially all of the accrued investment income in the Condensed Consolidated Balance Sheets relate to the Company’s investments and the investments underlying the funds held – directly managed account for which the fair value option was elected. During the three months ended March 31, 2016 and 2015 , there were no transfers between Level 1 and Level 2. Disclosures about the fair value of financial instruments that the Company does not measure at fair value exclude insurance contracts and certain other financial instruments. At March 31, 2016 and December 31, 2015 , the fair values of financial instrument assets recorded in the Condensed Consolidated Balance Sheets not described above, approximate their carrying values. The reconciliations of the beginning and ending balances for all financial instruments measured at fair value using Level 3 inputs for the three months ended March 31, 2016 and 2015 were as follows (in thousands of U.S. dollars): For the three months ended March 31, 2016 Balance at beginning of period Realized and unrealized investment gains (losses) included in net income Purchases and issuances (1) Settlements and sales (2) Net transfers into/ (out of) Level 3 Balance at end of period Change in unrealized investment gains (losses) relating to assets held at end of period Fixed maturities U.S. states, territories and municipalities $ 138,847 $ 1,876 $ — $ (150 ) $ — $ 140,573 $ 1,876 Asset-backed securities 369,699 7,110 21,835 (24,155 ) — 374,489 7,163 Fixed maturities $ 508,546 $ 8,986 $ 21,835 $ (24,305 ) $ — $ 515,062 $ 9,039 Equities Finance $ 22,760 $ (1,351 ) $ — $ — $ — $ 21,409 $ (1,351 ) Technology 8,207 (1,223 ) — — — 6,984 (1,223 ) Communications 1,985 52 — — — 2,037 52 Mutual funds and exchange traded funds 4,604 (48 ) — (2,220 ) — 2,336 (781 ) Equities $ 37,556 $ (2,570 ) $ — $ (2,220 ) $ — $ 32,766 $ (3,303 ) Other invested assets Derivatives, net $ 5,351 $ (810 ) $ 414 $ (1,340 ) $ — $ 3,615 $ (1,310 ) Notes and loan receivables and notes securitization 125,922 2,535 50,377 (2,864 ) — 175,970 2,535 Annuities and residuals 8,436 1,266 — (586 ) — 9,116 1,266 Private equities 71,298 (481 ) 1,940 (858 ) — 71,899 (481 ) Other invested assets $ 211,007 $ 2,510 $ 52,731 $ (5,648 ) $ — $ 260,600 $ 2,010 Funds held – directly managed Other invested assets 10,146 146 — — — 10,292 146 Funds held – directly managed $ 10,146 $ 146 $ — $ — $ — $ 10,292 $ 146 Total $ 767,255 $ 9,072 $ 74,566 $ (32,173 ) $ — $ 818,720 $ 7,892 (1) Purchases and issuances of derivatives include issuances of $0.4 million . (2) Settlements and sales of mutual funds and exchange traded funds include sales of $2.2 million during the three months ended March 31, 2016 . For the three months ended March 31, 2015 Balance at beginning of period Realized and unrealized investment (losses) gains included in net income Purchases and issuances (1) Settlements and sales (1) Net transfers into/(out of) Level 3 Balance at end of period Change in Fixed maturities U.S. states, territories and municipalities $ 149,728 $ (1,861 ) $ — $ (184 ) $ — $ 147,683 $ (1,863 ) Asset-backed securities 449,918 1,261 43,422 (43,018 ) — 451,583 1,293 Fixed maturities $ 599,646 $ (600 ) $ 43,422 $ (43,202 ) $ — $ 599,266 $ (570 ) Equities Finance $ 20,353 $ 179 $ — $ — $ — $ 20,532 $ 179 Technology 8,555 47 — — — 8,602 47 Communications 2,640 83 — — — 2,723 83 Mutual funds and exchange traded funds 8,586 51 249,340 — — 257,977 51 Equities $ 40,134 $ 360 $ 249,340 $ — $ — $ 289,834 $ 360 Other invested assets Derivatives, net $ (1,858 ) $ 481 $ — $ — $ — $ (1,377 ) $ 481 Notes and loan receivables and notes securitization 44,817 1,104 6,411 (1,229 ) — 51,103 2,623 Annuities and residuals 13,243 231 — (1,319 ) — 12,155 231 Private equities 59,872 497 5,184 (911 ) — 64,642 497 Other invested assets $ 116,074 $ 2,313 $ 11,595 $ (3,459 ) $ — $ 126,523 $ 3,832 Funds held – directly managed U.S. states, territories and municipalities $ 132 $ — $ — $ — $ — $ 132 $ — Other invested assets 13,398 (1,390 ) — — — 12,008 (1,390 ) Funds held – directly managed $ 13,530 $ (1,390 ) $ — $ — $ — $ 12,140 $ (1,390 ) Total $ 769,384 $ 683 $ 304,357 $ (46,661 ) $ — $ 1,027,763 $ 2,232 (1) There were no issuances or sales during the three months ended March 31, 2015 . The significant unobservable inputs used in the valuation of financial instruments measured at fair value using Level 3 inputs at March 31, 2016 and December 31, 2015 were as follows (fair value in thousands of U.S. dollars): March 31, 2016 Fair value Valuation techniques Unobservable inputs Range (Weighted average) Fixed maturities U.S. states, territories and municipalities $ 140,573 Discounted cash flow Credit spreads 1.8% -10.5% (6.0%) Asset-backed securities 374,489 Discounted cash flow Credit spreads 4.1% – 11.1% (7.8%) Equities Finance 15,172 Weighted market comparables Net income multiple 14.4 (14.4) Tangible book value multiple 1.5 (1.5) Liquidity discount 25.0% (25.0%) Comparable return -8.5% (-8.5%) Finance 6,237 Profitability analysis Projected return on equity 11.0% (11.0%) Technology 6,984 Weighted market comparables Revenue multiple 1.1 (1.1) Adjusted earnings multiple 6.7 (6.7) Communications 2,037 Weighted market comparables Adjusted earnings multiple 9.4 (9.4) Comparable return 2.6% (2.6%) Other invested assets Total return swaps, net (46 ) Discounted cash flow Credit spreads 3.2% – 29.8% (16.7%) Insurance-linked securities – longevity swaps 9,491 Discounted cash flow Credit spreads 2.9% (2.9%) Notes and loan receivables 134,108 Discounted cash flow Credit spreads 4.4% - 29.1% (5.5%) Notes and loan receivables 10,426 Discounted cash flow Credit spreads 17.5% (17.5%) Gross revenue/fair value 1.0 – 1.5 (1.5) Notes securitization 31,436 Discounted cash flow Credit spreads 3.0% – 7.2% (6.9%) Annuities and residuals 9,116 Discounted cash flow Credit spreads 5.4% – 11.2% (10.1%) Prepayment speed 0% – 15.0% (1.4%) Constant default rate 0.3% – 17.5% (3.4%) Private equity – direct 7,978 Discounted cash flow and weighted market comparables Net income multiple 8.4 (8.4) Tangible book value multiple 1.9 (1.9) Recoverability of intangible assets 0% (0%) Private equity funds 31,495 Reported market value Net asset value, as reported 100.0% (100.0%) Market adjustments -5.6% – 6.4% (0.3%) Private equity – other 32,426 Discounted cash flow Effective yield 5.8% (5.8%) Funds held – directly managed Other invested assets 10,292 Reported market value Net asset value, as reported 100.0% (100.0%) Market adjustments -18.5% – 0% (-17.0%) December 31, 2015 Fair value Valuation techniques Unobservable inputs Range (Weighted average) Fixed maturities U.S. states, territories and municipalities $ 138,847 Discounted cash flow Credit spreads 1.2% – 10.3% (4.1%) Asset-backed securities 369,699 Discounted cash flow Credit spreads 4.1% – 11.4% (7.7%) Equities Finance 16,627 Weighted market comparables Net income multiple 14.4 (14.4) Tangible book value multiple 1.5 (1.5) Liquidity discount 25.0% (25.0%) Comparable return 7.9% (7.9%) Finance 6,133 Profitability analysis Projected return on equity 14.0% (14.0%) Technology 8,207 Weighted market comparables Revenue multiple 1.2 (1.2) Adjusted earnings multiple 8.4 (8.4) Communications 1,985 Weighted market comparables Adjusted earnings multiple 9.4 (9.4) Comparable return 0% (0%) Other invested assets Total return swaps, net (133 ) Discounted cash flow Credit spreads 3.0% – 29.3% (16.5%) Insurance-linked securities – longevity swaps 9,428 Discounted cash flow Credit spreads 2.4% (2.4%) Notes and loan receivables 84,080 Discounted cash flow Credit spreads 6.0% – 26.8% (7.4%) Notes and loan receivables 10,415 Discounted cash flow Credit spreads 17.5% (17.5%) Gross revenue/fair value 1.1 – 1.5 (1.5) Notes securitization 31,427 Discounted cash flow Credit spreads 2.4% – 7.1% (6.9%) Annuities and residuals 8,436 Discounted cash flow Credit spreads 5.1% – 15.4% (12.7%) Prepayment speed 0% – 15.0% (2.1%) Constant default rate 0.3% – 17.5% (4.4%) Private equity – direct 8,792 Discounted cash flow and weighted market comparables Net income multiple 9.2 (9.2) Tangible book value multiple 1.9 (1.9) Recoverability of intangible assets 0% (0%) Private equity funds 29,222 Reported market value Net asset value, as reported 100.0% (100.0%) Market adjustments -4.9% – 5.2% (-0.5%) Private equity – other 33,284 Discounted cash flow Effective yield 5.8% (5.8%) Funds held – directly managed Other invested assets 10,146 Reported market value Net asset value, as reported 100.0% (100.0%) Market adjustments -16.0% – 0% (-15.0%) The tables above do not include financial instruments that are measured using unobservable inputs (Level 3) where the unobservable inputs were obtained from external sources and used without adjustment. These financial instruments include mutual fund investments (included within equities) and certain derivatives. The Company has established a Valuation Committee which is responsible for determining the Company’s invested asset valuation procedures, reviewing significant changes in the fair value measurements of securities classified as Level 3 from period to period, and ensuring that there is an appropriate independent internal peer analysis on the fair value measurements of significant securities that are classified as Level 3. The Valuation Committee is comprised of members of the Company’s senior management team and meets on a quarterly basis. The Company’s Group Enterprise Risk Management Financial Risk Policy, which covers, among other items, invested asset valuation, is monitored by the Company’s Audit Committee of the Board of Directors (Board) and approved annually by the Company’s Board. Changes in the fair value of the Company’s financial instruments subject to the fair value option during the three months ended March 31, 2016 and 2015 were as follows (in thousands of U.S. dollars): For the three months ended March 31, 2016 March 31, 2015 Fixed maturities and short-term investments $ 211,916 $ 76,971 Equities (27,483 ) (7,016 ) Other invested assets 2,225 1,833 Funds held – directly managed 4,951 2,540 Total $ 191,609 $ 74,328 Substantially all of the above changes in fair value are included in the Condensed Consolidated Statements of Operations under the caption Net realized and unrealized investment gains. The following methods and assumptions were used by the Company in estimating the fair value of each class of financial instrument recorded in the Consolidated Balance Sheets. There have been no material changes in the Company’s valuation techniques during the periods presented. Fixed maturities • U.S. government and government sponsored enterprises —U.S. government and government sponsored enterprises securities consist primarily of bonds issued by the U.S. Treasury and corporate debt securities issued by government sponsored enterprises and federally owned or established corporations. These securities are generally priced by independent pricing services. The independent pricing services may use actual transaction prices for securities that have been actively traded. For securities that have not been actively traded, each pricing source has its own proprietary method to determine the fair value, which may incorporate option adjusted spreads (OAS), interest rate data and market news. The Company generally classifies these securities in Level 2. • U.S. states, territories and municipalities —U.S. states, territories and municipalities securities consist primarily of bonds issued by U.S. states, territories and municipalities and the Federal Home Loan Mortgage Corporation. These securities are generally priced by independent pricing services using the techniques described for U.S. government and government sponsored enterprises above. The Company generally classifies these securities in Level 2. Certain of the bonds that are issued by municipal housing authorities and the Federal Home Loan Mortgage Corporation are not actively traded and are priced based on internal models using unobservable inputs. Accordingly, the Company classifies these securities in Level 3. The significant unobservable input used in the fair value measurement of these U.S. states, territories and municipalities securities classified as Level 3 is credit spreads. A significant increase (decrease) in credit spreads in isolation could result in a significantly lower (higher) fair value measurement. • Non-U.S. sovereign government, supranational and government related —Non-U.S. sovereign government, supranational and government related securities consist primarily of bonds issued by non-U.S. national governments and their agencies, non-U.S. regional governments and supranational organizations. These securities are generally priced by independent pricing services using the techniques described for U.S. government and government sponsored enterprises above. The Company generally classifies these securities in Level 2. • Corporate —Corporate securities consist primarily of bonds issued by U.S. and foreign corporations covering a variety of industries and issuing countries. These securities are generally priced by independent pricing services and brokers. The pricing provider incorporates information including credit spreads, interest rate data and market news into the valuation of each security. The Company generally classifies these securities in Level 2. When a corporate security is inactively traded or the valuation model uses unobservable inputs, the Company classifies the security in Level 3. • Asset-backed securities —Asset - backed securities primarily consist of bonds issued by U.S. and foreign corporations that are predominantly backed by student loans, automobile loans, credit card receivables, equipment leases, and special purpose financing. With the exception of special purpose financing securities, these asset-backed securities are generally priced by independent pricing services and brokers. The pricing provider applies dealer quotes and other available trade information, prepayment speeds, yield curves and credit spreads to the valuation. The Company generally classifies these securities in Level 2. Special purpose financing securities are generally inactively traded and are priced based on valuation models using unobservable inputs. The Company generally classifies these securities in Level 3. The significant unobservable input used in the fair value measurement of these asset-backed securities classified as Level 3 is credit spreads. A significant increase (decrease) in credit spreads in isolation could result in a significantly lower (higher) fair value measurement. • Residential mortgage-backed securities —Residential mortgage-backed securities primarily consist of bonds issued by the Government National Mortgage Association, the Federal National Mortgage Association, the Federal Home Loan Mortgage Corporation, as well as private, non-agency issuers. These residential mortgage-backed securities are generally priced by independent pricing services and brokers. When current market trades are not available, the pricing provider or the Company will employ proprietary models with observable inputs including other trade information, prepayment speeds, yield curves and credit spreads. The Company generally classifies these securities in Level 2. • Other mortgage-backed securities —Other mortgage-backed securities primarily consist of commercial mortgage-backed securities. These securities are generally priced by independent pricing services and brokers. The pricing provider applies dealer quotes and other available trade information, prepayment speeds, yield curves and credit spreads to the valuation. The Company generally classifies these securities in Level 2. In general, the methods employed by the independent pricing services to determine the fair value of the securities that have not been actively traded primarily involve the use of “matrix pricing” in which the independent pricing source applies the credit spread for a comparable security that has traded recently to the current yield curve to determine a reasonable fair value. The Company generally uses one pricing source per security and uses a pricing service ranking to consistently select the most appropriate pricing service in instances where it receives multiple quotes on the same security. When fair values are unavailable from these independent pricing sources, quotes are obtained directly from broker-dealers who are active in the corresponding markets. Most of the Company’s fixed maturities are priced from the pricing services or dealer quotes. The Company will typically not make adjustments to prices received from pricing services or dealer quotes; however, in instances where the quoted external price for a security uses significant unobservable inputs, the Company will classify that security as Level 3. The methods used to develop and substantiate the unobservable inputs used are based on the Company’s valuation policy and are dependent upon the facts and circumstances surrounding the individual investments which are generally transaction specific. The Company’s inactively traded fixed maturities are classified as Level 3. For all fixed maturity investments, the bid price is used for estimating fair value. To validate prices, the Company compares the fair value estimates to its knowledge of the current market and will investigate prices that it considers not to be representative of fair value. The Company also reviews an internally generated fixed maturity price validation report which converts prices received for fixed maturity investments from the independent pricing sources and from broker-dealers quotes and plots OAS and duration on a sector and rating basis. The OAS is calculated using established algorithms developed by an independent risk analytics platform vendor. The OAS on the fixed maturity price validation report are compared for securities in a similar sector and having a similar rating, and outliers are identified and investigated for price reasonableness. In addition, the Company completes quantitative analyses to compare the performance of each fixed maturity investment portfolio to the performance of an appropriate benchmark, with significant differences identified and investigated. Short-term investments Short-term investments are valued in a manner similar to the Company’s fixed maturity investments and are generally classified in Level 2. Equities Equity securities include U.S. and foreign common and preferred stocks, real estate investment trusts, mutual funds and exchange traded funds. Equities, real estate investment trusts and exchange traded funds are generally classified in Level 1 as the Company uses prices received from independent pricing sources based on quoted prices in active markets. Equities classified as Level 2 are generally mutual funds invested in fixed income securities, where the net asset value of the fund is provided on a daily basis, certain common and preferred equities. Equities classified as Level 3 are generally mutual funds invested in securities other than the common stock of publicly traded companies, where the net asset value is not provided on a daily basis, and inactively traded common stocks. The significant unobservable inputs used in the fair value measurement of inactively traded common stocks classified as Level 3 include market return information, weighted using management’s judgment, from comparable selected publicly traded companies in the same industry, in a similar region and of a similar size, including net income multiples, tangible book value multiples, comparable returns, revenue multiples, adjusted earnings multiples and projected return on equity ratios. Significant increases (decreases) in any of these inputs could result in a significantly higher (lower) fair value measurement. Significant unobservable inputs used in measuring the fair value measurement of inactively traded common stocks also include a liquidity discount. A significant increase (decrease) in the liquidity discount could result in a significantly lower (higher) fair value measurement. To validate prices, the Company completes quantitative analyses to compare the performance of each equity investment portfolio to the performance of an appropriate benchmark, with significant differences identified and investigated. Other invested assets The Company’s exchange traded derivatives, such as futures, are generally classified as Level 1 as their fair values are quoted prices in active markets. The Company’s foreign exchange forward contracts, foreign currency option contracts, interest rate swaps and TBAs are generally classified as Level 2 within the fair value hierarchy and are priced by independent pricing services. Included in the Company’s Level 3 classification, in general, are certain inactively traded weather derivatives, notes and loan receivables, notes securitizations, annuities and residuals, private equities and longevity and other total return swaps. For Level 3 instruments, the Company will generally (i) receive a price based on a manager’s or trustee’s valuation for the asset; (ii) develop an internal discounted cash flow model to measure fair value; or (iii) use market return information, adjusted if necessary and weighted using management’s judgment, from comparable selected publicly traded equity funds in a similar region and of a similar size. Where the Company receives prices from the manager or trustee, these prices are based on the manager’s or trustee’s estimate of fair value for the assets and are generally audited on an annual basis. Where the Company develops its own discounted cash flow models, the inputs will be specific to the asset in question, based on appropriate historical information, adjusted as necessary, and using appropriate discount rates. The significant unobservable inputs used in the fair value measurement of other invested assets classified as Level 3 include credit spreads, prepayment speeds, constant default rates, gross revenue to fair value ratios, net income multiples, effective yields, tangible book value multiples and other valuation ratios. Significant increases (decreases) in any of these inputs in isolation could result in a significantly lower (higher) fair value measurement. Significant unobservable inputs used in the fair value measurement of other invested assets classified as Level 3 also include an assessment of the recoverability of intangible assets and market return information, weighted using management’s judgment, from comparable selected publicly traded companies in the same industry, in a similar region and of a similar size. Significant increases (decreases) in these inputs in isolation could result in a significantly higher (lower) fair value measurement. As part of the Company’s modeling to determine the fair value of an investment, the Company considers counterparty credit risk as an input to the model, however, the majority of the C |
Derivatives
Derivatives | 3 Months Ended |
Mar. 31, 2016 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivative Instruments and Hedging Activities Disclosure [Text Block] | 5. Derivatives The Company’s derivative instruments are recorded in the Condensed Consolidated Balance Sheets at fair value, with changes in fair value recognized in either net foreign exchange gains and losses or net realized and unrealized investment gains and losses in the Condensed Consolidated Statements of Operations or accumulated other comprehensive income or loss in the Condensed Consolidated Balance Sheets, depending on the nature of the derivative instrument. The Company’s objectives for holding or issuing these derivatives are as follows: Foreign Exchange Forward Contracts The Company utilizes foreign exchange forward contracts as part of its overall currency risk management and investment strategies. From time to time, the Company also utilizes foreign exchange forward contracts to hedge a portion of its net investment exposure resulting from the translation of its foreign subsidiaries and branches whose functional currency is other than the U.S. dollar. Foreign Currency Option Contracts and Futures Contracts The Company utilizes foreign currency option contracts to mitigate foreign currency risk. The Company uses exchange traded treasury note futures contracts to manage portfolio duration and equity futures to hedge certain investments. Insurance-Linked Securities The Company enters into various weather derivatives and longevity total return swaps for which the underlying risks reference parametric weather risks for the weather derivatives and longevity risk for the longevity total return swaps. Total Return and Interest Rate Swaps and Interest Rate Derivatives The Company enters into total return swaps referencing various project, investments and principal finance obligations. The Company enters into interest rate swaps to mitigate the interest rate risk on certain of the total return swaps and certain fixed maturity investments. The Company also uses other interest rate derivatives to mitigate exposure to interest rate volatility. To-Be-Announced Mortgage-Backed Securities The Company utilizes TBAs as part of its overall investment strategy and to enhance investment performance. The net fair values and the related net notional values of derivatives included in the Company’s Condensed Consolidated Balance Sheets at March 31, 2016 and December 31, 2015 were as follows (in thousands of U.S. dollars): Asset derivatives at fair value Liability derivatives at fair value Net derivatives March 31, 2016 Net notional exposure Fair value Derivatives designated as hedges Foreign exchange forward contracts (net investment hedges) $ 1,058 $ — $ 394,807 $ 1,058 Total derivatives designated as hedges $ 1,058 $ — $ 1,058 Derivatives not designated as hedges Foreign exchange forward contracts $ 14,061 $ (4,258 ) $ 1,632,863 $ 9,803 Foreign currency option contracts 1,977 — 90,413 1,977 Futures contracts 5,588 (1,441 ) 3,186,204 4,147 Insurance-linked securities (1) 9,491 (5,830 ) 140,558 3,661 Total return swaps 2,953 (2,999 ) 42,418 (46 ) Interest rate swaps (2) — (25,280 ) 196,268 (25,280 ) TBAs 1,619 — 439,105 1,619 Total derivatives not designated as hedges $ 35,689 $ (39,808 ) $ (4,119 ) Total derivatives $ 36,747 $ (39,808 ) $ (3,061 ) Asset derivatives at fair value Liability derivatives at fair value Net derivatives December 31, 2015 Net notional exposure Fair value Derivatives designated as hedges Foreign exchange forward contracts (net investment hedges) $ — $ (9,305 ) $ 392,523 $ (9,305 ) Total derivatives designated as hedges $ — $ (9,305 ) $ (9,305 ) Derivatives not designated as hedges Foreign exchange forward contracts $ 15,311 $ (5,804 ) $ 1,708,285 $ 9,507 Foreign currency option contracts — — 82,148 — Futures contracts 5,675 (140 ) 3,610,658 5,535 Insurance-linked securities (1) 9,428 (3,944 ) 140,320 5,484 Total return swaps 2,745 (2,878 ) 42,438 (133 ) Interest rate swaps (2) — (24,383 ) 196,804 (24,383 ) TBAs — (1,462 ) 447,315 (1,462 ) Total derivatives not designated as hedges $ 33,159 $ (38,611 ) $ (5,452 ) Total derivatives $ 33,159 $ (47,916 ) $ (14,757 ) (1) At March 31, 2016 and December 31, 2015 , insurance-linked securities include a longevity swap for which the notional amount is not reflective of the overall potential exposure of the swap. As such, the Company has included the probable maximum loss under the swap within the net notional exposure as an approximation of the notional amount. (2) The Company enters into interest rate swaps to mitigate notional exposures on certain total return swaps and certain fixed maturities. Only the notional value of interest rate swaps on fixed maturities is presented separately in the table. The fair value of all derivatives at March 31, 2016 and December 31, 2015 is recorded in Other invested assets in the Company’s Condensed Consolidated Balance Sheets. At March 31, 2016 and December 31, 2015 , the Company held foreign exchange forward contracts with notional amounts of €350 million , to hedge a portion of its net investment exposure to the euro against the U.S. dollar. The effective portion of the net investment hedging derivatives recognized in Accumulated other comprehensive loss at March 31, 2016 and December 31, 2015 was a gain of $1.1 million and a loss of $9.3 million , respectively. The gains and losses in the Condensed Consolidated Statements of Operations for derivatives not designated as hedges for the three months ended March 31, 2016 and 2015 were as follows (in thousands of U.S. dollars): For the three months ended March 31, 2016 March 31, 2015 Foreign exchange forward contracts $ (5,925 ) $ (4,636 ) Foreign currency option contracts 1,977 2,028 Total included in net foreign exchange gains and losses $ (3,948 ) $ (2,608 ) Futures contracts $ (41,674 ) $ (34,539 ) Insurance-linked securities (405 ) 2 Total return swaps 86 465 Interest rate swaps (897 ) (4,791 ) TBAs 10,926 3,671 Other — 2,493 Total included in net realized and unrealized investment gains and losses $ (31,964 ) $ (32,699 ) Total derivatives not designated as hedges $ (35,912 ) $ (35,307 ) Offsetting of Derivatives The gross and net fair values of derivatives that are subject to offsetting in the Condensed Consolidated Balance Sheets at March 31, 2016 and December 31, 2015 were as follows (in thousands of U.S. dollars): Gross amounts offset in the balance sheet Net amounts of assets/liabilities presented in the balance sheet Gross amounts not offset in the balance sheet March 31, 2016 Gross amounts recognized (1) Financial instruments Cash collateral received/pledged Net amount Total derivative assets $ 36,747 $ — $ 36,747 $ (2,405 ) $ (12,335 ) $ 22,007 Total derivative liabilities $ (39,808 ) $ — $ (39,808 ) $ 2,405 $ 7,076 $ (30,327 ) December 31, 2015 Total derivative assets $ 33,159 $ — $ 33,159 $ (1,037 ) $ (10,222 ) $ 21,900 Total derivative liabilities $ (47,916 ) $ — $ (47,916 ) $ 1,037 $ 25,904 $ (20,975 ) (1) Amounts include all derivative instruments, irrespective of whether there is a legally enforceable master netting arrangement in place. |
Share-based awards
Share-based awards | 3 Months Ended |
Mar. 31, 2016 | |
Share-based Awards [Abstract] | |
Disclosure of Compensation Related Costs, Share-based Payments [Text Block] | 6. Share-Based Awards In accordance with the Company’s share-based award plans and the Merger Agreement, all of the Company’s share-based awards fully vested and were settled in cash upon the change in control of the Company on March 18, 2016. As a result, the total unrecognized share-based compensation expense related to unvested awards was expensed and no share-based awards remain outstanding at March 31, 2016 . For the three months ended March 31, 2016 , the Company’s total share-based compensation expense was $36.2 million , which primarily related to the vesting of the share-based awards upon the change in control. The activity related to the Company’s share options, share-settled share appreciation rights (SSARs), restricted stock units (RSUs), performance stock units (PSUs) and warrants for the three months ended March 31, 2016 was as follows: Share Options Options Outstanding at January 1, 2016 267,918 Exercised prior to March 18, 2016 (15,997 ) Settled in cash by the Company upon change in control (251,921 ) Outstanding at March 31, 2016 — Share-Settled Share Appreciation Rights (SSARs) SSARs Outstanding at January 1, 2016 991,724 Exercised prior to March 18, 2016 (12,294 ) Settled in cash by the Company upon change in control (979,430 ) Outstanding at March 31, 2016 — Pursuant to the terms of the Merger Agreement, the Company funded the settlement of the share options and SSARs of $75.3 million , which was recorded as a reduction in additional paid-in capital during the three months ended March 31, 2016. Restricted Share Units and Performance Share Units RSUs and PSUs Outstanding at January 1, 2016 861,608 Performance based adjustment 76,889 Vested prior to March 18, 2016 (270,986 ) Converted to common shares and settled in cash by EXOR upon change in control (667,511 ) Outstanding at March 31, 2016 — Pursuant to the terms of the Merger Agreement, EXOR funded the settlement of the RSUs and PSUs, which was included as part of the consideration paid to acquire the Company. Warrants During the three months ended March 31, 2016 , 371 warrants were exercised and 186 warrants were settled in cash by the Company upon the change in control. At March 31, 2016 , no warrants were outstanding. |
Commitments and Contingencies
Commitments and Contingencies | 3 Months Ended |
Mar. 31, 2016 | |
Commitments and Contingencies Disclosure [Abstract] | |
Commitments and Contingencies | 7. Commitments and Contingencies (a) Legal Proceedings At March 31, 2016 , the Company was not party to any litigation that it believes could have a material effect on the financial condition, results of operations or liquidity of the Company. See Note 18(f) to the Consolidated Financial Statements included in the Company’s Annual Report on Form 10-K for the year ended December 31, 2015 . (b) Employment Agreements The Company has entered into employment agreements with its executive officers. These agreements provide for annual compensation in the form of salary, benefits, annual incentive payments, the reimbursement of certain expenses, retention incentive payments, as well as certain severance and change in control provisions. Specifically, the Company expects to incur a pre-tax charge of approximately $10 million in 2016 related to certain executive changes. |
Agreements With Related Parties
Agreements With Related Parties | 3 Months Ended |
Mar. 31, 2016 | |
Agreements With Related Parties [Abstract] | |
Related Party Transactions Disclosure [Text Block] | 8. Agreements with Related Parties The Company was party to agreements with certain entities on an arm’s-length basis as follows: Lorenz Re Ltd. (Lorenz Re) In the normal course of its underwriting activities, the Company entered into reinsurance and underwriting agreements with Lorenz Re, a segregated accounts company under the laws of Bermuda. Distinct segregated accounts are formed and capitalized within Lorenz Re on a fully collateralized basis. All transactions entered into with Lorenz Re were completed on market terms. Other Agreements In the normal course of its investment operations, the Company bought or held securities of companies affiliated with the Company. All transactions entered into as part of the investment portfolio were completed on market terms. |
Segment Information
Segment Information | 3 Months Ended |
Mar. 31, 2016 | |
Segment Reporting, Disclosure of Entity's Reportable Segments [Abstract] | |
Segment Reporting Disclosure [Text Block] | 9. Segment Information The Company monitors the performance of its operations in three segments, Non-life, Life and Health and Corporate and Other as described in Note 21 to the Consolidated Financial Statements included in the Company’s Annual Report on Form 10-K for the year ended December 31, 2015 . The Non-life segment is further divided into four sub-segments: North America, Global (Non-U.S.) P&C, Global Specialty and Catastrophe. The North America sub-segment includes agriculture, casualty, credit/surety, motor, multiline, property and other risks generally originating in the United States. The Global (Non-U.S.) P&C sub-segment includes casualty, motor and property business generally originating outside of the United States. The Global Specialty sub-segment is comprised of business that is generally considered to be specialized due to the sophisticated technical underwriting required to analyze risks, and is global in nature. This sub-segment consists of several lines of business for which the Company believes it has developed specialized knowledge and underwriting capabilities. These lines of business include agriculture, aviation/space, credit/surety, energy, engineering, marine, multiline, specialty casualty, specialty property and other lines. The Catastrophe sub-segment is comprised of the Company’s catastrophe line of business. The Life and Health segment includes mortality, longevity and accident and health lines of business. Corporate and Other is comprised of the capital markets and investment related activities of the Company, including principal finance transactions, insurance-linked securities and strategic investments, and its corporate activities, including other expenses. Since the Company does not manage its assets by segment, net investment income is not allocated to the Non-life segment. However, because of the interest-sensitive nature of some of the Company’s Life and Health products, net investment income is considered in Management’s assessment of the profitability of the Life and Health segment. The following items are not considered in evaluating the results of the Non-life and Life and Health segments: net realized and unrealized investment gains and losses, interest expense, amortization of intangible assets, net foreign exchange gains and losses, income tax expense or benefit and interest in earnings and losses of equity method investments. Segment results are shown before consideration of intercompany transactions. Management measures results for the Non-life segment on the basis of the loss ratio, acquisition ratio, technical ratio, other expense ratio and combined ratio (all defined below). Management measures results for the Non-life sub-segments on the basis of the loss ratio, acquisition ratio and technical ratio. Management measures results for the Life and Health segment on the basis of the allocated underwriting result, which includes revenues from net premiums earned, other income or loss and allocated net investment income for Life and Health, and expenses from life policy benefits, acquisition costs and other expenses. The segment results for the three months ended March 31, 2016 and 2015 were as follows (in millions of U.S. dollars, except ratios): Segment Information For the three months ended March 31, 2016 North America Global (Non-U.S.) P&C Global Specialty Catastrophe Total Non-life segment Life and Health segment Corporate and Other Total Gross premiums written $ 494 $ 274 $ 398 $ 170 $ 1,336 $ 293 $ — $ 1,629 Net premiums written $ 481 $ 269 $ 333 $ 141 $ 1,224 $ 277 $ — $ 1,501 Increase in unearned premiums (129 ) (119 ) (11 ) (93 ) (352 ) (7 ) — (359 ) Net premiums earned $ 352 $ 150 $ 322 $ 48 $ 872 $ 270 $ — $ 1,142 Losses and loss expenses and life policy benefits (199 ) (123 ) (184 ) (3 ) (509 ) (205 ) — (714 ) Acquisition costs (107 ) (47 ) (90 ) (1 ) (245 ) (38 ) — (283 ) Technical result $ 46 $ (20 ) $ 48 $ 44 $ 118 $ 27 $ — $ 145 Other income 2 2 1 5 Other expenses (68 ) (18 ) (67 ) (153 ) Underwriting result $ 52 $ 11 n/a $ (3 ) Net investment income 13 90 103 Allocated underwriting result (1) $ 24 n/a n/a Net realized and unrealized investment gains 167 167 Interest expense (12 ) (12 ) Amortization of intangible assets (7 ) (7 ) Net foreign exchange gains 2 2 Income tax expense (31 ) (31 ) Interest in losses of equity method investments (3 ) (3 ) Net income n/a $ 216 Loss ratio (2) 56.5 % 82.1 % 57.2 % 7.2 % 58.5 % Acquisition ratio (3) 30.4 31.1 27.8 3.1 28.0 Technical ratio (4) 86.9 % 113.2 % 85.0 % 10.3 % 86.5 % Other expense ratio (5) 7.8 Combined ratio (6) 94.3 % (1) Allocated underwriting result is defined as net premiums earned, other income or loss and allocated net investment income less life policy benefits, acquisition costs and other expenses. (2) Loss ratio is obtained by dividing losses and loss expenses by net premiums earned. (3) Acquisition ratio is obtained by dividing acquisition costs by net premiums earned. (4) Technical ratio is defined as the sum of the loss ratio and the acquisition ratio. (5) Other expense ratio is obtained by dividing other expenses by net premiums earned. (6) Combined ratio is defined as the sum of the technical ratio and the other expense ratio. n/a Not applicable Segment Information For the three months ended March 31, 2015 North America Global (Non-U.S.) P&C Global Specialty Catastrophe Total Non-life segment Life and Health segment Corporate and Other Total Gross premiums written $ 473 $ 334 $ 427 $ 191 $ 1,425 $ 324 $ — $ 1,749 Net premiums written $ 471 $ 331 $ 362 $ 176 $ 1,340 $ 313 $ — $ 1,653 (Increase) decrease in unearned premiums (132 ) (157 ) 3 (118 ) (404 ) (14 ) — (418 ) Net premiums earned $ 339 $ 174 $ 365 $ 58 $ 936 $ 299 $ — $ 1,235 Losses and loss expenses and life policy benefits (172 ) (119 ) (170 ) (20 ) (481 ) (240 ) — (721 ) Acquisition costs (93 ) (52 ) (93 ) (4 ) (242 ) (34 ) — (276 ) Technical result $ 74 $ 3 $ 102 $ 34 $ 213 $ 25 $ — $ 238 Other income — 1 3 4 Other expenses (52 ) (15 ) (58 ) (125 ) Underwriting result $ 161 $ 11 n/a $ 117 Net investment income 14 91 105 Allocated underwriting result $ 25 n/a n/a Net realized and unrealized investment gains 116 116 Interest expense (12 ) (12 ) Amortization of intangible assets (7 ) (7 ) Net foreign exchange gains 13 13 Income tax expense (80 ) (80 ) Interest in losses of equity method investments (4 ) (4 ) Net income n/a $ 248 Loss ratio 50.7 % 68.4 % 46.7 % 33.7 % 51.4 % Acquisition ratio 27.5 30.1 25.4 7.0 25.9 Technical ratio 78.2 % 98.5 % 72.1 % 40.7 % 77.3 % Other expense ratio 5.5 Combined ratio 82.8 % |
Other Expenses Notes
Other Expenses Notes | 3 Months Ended |
Mar. 31, 2016 | |
Other Expenses [Abstract] | |
Other Income and Other Expense Disclosure [Text Block] | 10. Other Expenses Transaction Related Charges Other expenses recorded in the Company’s Condensed Consolidated Statements of Operations for the three months ended March 31, 2016 and 2015 include $66 million , pre-tax, and $31 million , pre-tax, respectively, related primarily to professional fees and personnel costs associated with the EXOR acquisition and terminated Amalgamation Agreement with Axis Capital Holdings Limited, respectively. |
Subsequent Events
Subsequent Events | 3 Months Ended |
Mar. 31, 2016 | |
Subsequent Events [Abstract] | |
Subsequent Events [Text Block] | 11. Subsequent Events On March 24, 2016, the Company agreed to purchase from EXOR a 36% shareholding in the privately held United Kingdom real estate investment and development group, Almacantar Group S.A. (Almacantar), as well as certain financial investments, mainly third party funds, based upon the net asset value of these investments. In April 2016, the Company paid a total cash consideration of $729 million for its investments in Almacantar and the third party funds. In addition to this amount, the Company expects to pay a further amount of less than $10 million in the second quarter of 2016 related to the purchase of the remaining assets from EXOR. These transactions between related parties were entered into at arms-length. On April 1, 2016, the Company launched an exchange offer, in accordance with the Merger Agreement, whereby participating preferred shareholders may exchange any or all existing preferred shares for newly issued preferred shares reflecting an extended call date of the fifth anniversary from the date of issuance. The terms of the newly issued preferred shares would be otherwise identical in all material respects to the Company’s existing preferred shares. The exchange offer provides for a restriction on the payment of dividends on common shares to an amount not exceeding 67% of net income until December 31, 2020. The exchange offer expired on April 29, 2016. As a result of the exchange offer, the Company will cancel the existing preferred shares tendered in the exchange offer. Non-tendered existing preferred shares will remain outstanding and continue to trade on the NYSE until such time as the Company decides to redeem them in accordance with their terms of issuance. The Company will seek a comparable credit rating for the new preferred shares as is held by the existing preferred shares. |
Significant Accounting Polici19
Significant Accounting Policies (Policies) | 3 Months Ended |
Mar. 31, 2016 | |
Disclosure - Significant Accounting Policies [Abstract] | |
Basis of accounting | The Company’s Condensed Consolidated Financial Statements have been prepared in accordance with accounting principles generally accepted in the United States (U.S. GAAP) for interim financial information and with the instructions for Form 10-Q and Article 10 of Regulation S-X. The Condensed Consolidated Financial Statements include the accounts of the Company and its subsidiaries. Intercompany accounts and transactions have been eliminated. |
Use Of Estimates | The preparation of financial statements in conformity with U.S. GAAP requires Management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. While Management believes that the amounts included in the Condensed Consolidated Financial Statements reflect its best estimates and assumptions, actual results could differ from those estimates. The Company’s principal estimates include: • Unpaid losses and loss expenses; • Policy benefits for life and annuity contracts; • Gross and net premiums written and net premiums earned; • Recoverability of deferred acquisition costs; • Recoverability of deferred tax assets; • Valuation of goodwill and intangible assets; and • Valuation of certain assets and derivative financial instruments that are measured using significant unobservable inputs. |
Fair Value (Tables)
Fair Value (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Fair Value Disclosures [Abstract] | |
Financial instruments measured at fair value and categorized between Levels 1, 2 and 3 | At March 31, 2016 and December 31, 2015 , the Company’s financial instruments measured at fair value were classified between Levels 1, 2 and 3 as follows (in thousands of U.S. dollars): March 31, 2016 Quoted prices in active markets for identical assets (Level 1) Significant other observable inputs (Level 2) Significant unobservable inputs (Level 3) Total Fixed maturities U.S. government and government sponsored enterprises $ — $ 2,794,761 $ — $ 2,794,761 U.S. states, territories and municipalities — 639,799 140,573 780,372 Non-U.S. sovereign government, supranational and government related — 1,197,012 — 1,197,012 Corporate — 4,977,795 — 4,977,795 Asset-backed securities — 657,827 374,489 1,032,316 Residential mortgage-backed securities — 2,189,843 — 2,189,843 Other mortgage-backed securities — 47,915 — 47,915 Fixed maturities $ — $ 12,504,952 $ 515,062 $ 13,020,014 Short-term investments $ — $ 33,555 $ — $ 33,555 Equities Finance $ 18,326 $ 4,466 $ 21,409 $ 44,201 Consumer noncyclical 41,544 — — 41,544 Insurance 27,382 2,651 — 30,033 Technology 21,366 — 6,984 28,350 Industrials 25,390 — — 25,390 Consumer cyclical 25,191 — — 25,191 Communications 21,109 — 2,037 23,146 Other 34,094 — — 34,094 Mutual funds and exchange traded funds 70,142 — 2,336 72,478 Equities $ 284,544 $ 7,117 $ 32,766 $ 324,427 Other invested assets Derivative assets Foreign exchange forward contracts $ — $ 15,119 $ — $ 15,119 Foreign currency option contracts — 1,977 — 1,977 Futures contracts 5,588 — — 5,588 Insurance-linked securities — — 9,491 9,491 Total return swaps — — 2,953 2,953 TBAs — 1,619 — 1,619 Other Notes and loan receivables and notes securitization — 1,000 175,970 176,970 Annuities and residuals — — 9,116 9,116 Private equities — — 71,899 71,899 Derivative liabilities Foreign exchange forward contracts — (4,258 ) — (4,258 ) Futures contracts (1,441 ) — — (1,441 ) Insurance-linked securities — — (5,830 ) (5,830 ) Total return swaps — — (2,999 ) (2,999 ) Interest rate swaps — (25,280 ) — (25,280 ) Other invested assets $ 4,147 $ (9,823 ) $ 260,600 $ 254,924 Funds held – directly managed U.S. government and government sponsored enterprises $ — $ 199,258 $ — $ 199,258 Non-U.S. sovereign government, supranational and government related — 126,363 — 126,363 Corporate — 90,624 — 90,624 Other invested assets — — 10,292 10,292 Funds held – directly managed $ — $ 416,245 $ 10,292 $ 426,537 Total $ 288,691 $ 12,952,046 $ 818,720 $ 14,059,457 December 31, 2015 Quoted prices in active markets for identical assets (Level 1) Significant other observable inputs (Level 2) Significant unobservable inputs (Level 3) Total Fixed maturities U.S. government and government sponsored enterprises $ — $ 2,872,845 $ — $ 2,872,845 U.S. states, territories and municipalities — 639,479 138,847 778,326 Non-U.S. sovereign government, supranational and government related — 1,332,925 — 1,332,925 Corporate — 5,086,199 — 5,086,199 Asset-backed securities — 668,117 369,699 1,037,816 Residential mortgage-backed securities — 2,290,640 — 2,290,640 Other mortgage-backed securities — 49,511 — 49,511 Fixed maturities $ — $ 12,939,716 $ 508,546 $ 13,448,262 Short-term investments $ — $ 46,688 $ — $ 46,688 Equities Insurance $ 72,226 $ 7,799 $ — $ 80,025 Finance 29,422 5,497 22,760 57,679 Real estate investment trusts 46,379 — — 46,379 Consumer noncyclical 43,375 — — 43,375 Industrials 26,863 7,401 — 34,264 Technology 21,177 — 8,207 29,384 Consumer cyclical 25,871 — — 25,871 Communications 20,939 — 1,985 22,924 Other 28,197 — — 28,197 Mutual funds and exchange traded funds 71,159 — 4,604 75,763 Equities $ 385,608 $ 20,697 $ 37,556 $ 443,861 Other invested assets Derivative assets Foreign exchange forward contracts $ — $ 15,311 $ — $ 15,311 Futures contracts 5,675 — — 5,675 Insurance-linked securities — — 9,428 9,428 Total return swaps — — 2,745 2,745 Other Notes and loan receivables and notes securitization — — 125,922 125,922 Annuities and residuals — — 8,436 8,436 Private equities — — 71,298 71,298 Derivative liabilities Foreign exchange forward contracts — (15,109 ) — (15,109 ) Futures contracts (140 ) — — (140 ) Insurance-linked securities — — (3,944 ) (3,944 ) Total return swaps — — (2,878 ) (2,878 ) Interest rate swaps — (24,383 ) — (24,383 ) TBAs — (1,462 ) — (1,462 ) Other invested assets $ 5,535 $ (25,643 ) $ 211,007 $ 190,899 Funds held – directly managed U.S. government and government sponsored enterprises $ — $ 169,951 $ — $ 169,951 Non-U.S. sovereign government, supranational and government related — 119,487 — 119,487 Corporate — 99,349 — 99,349 Short-term investments — 966 — 966 Other invested assets — — 10,146 10,146 Funds held – directly managed $ — $ 389,753 $ 10,146 $ 399,899 Total $ 391,143 $ 13,371,211 $ 767,255 $ 14,529,609 |
Reconciliation of beginning and ending balances for all financial instruments measured at fair value using Level 3 inputs | The reconciliations of the beginning and ending balances for all financial instruments measured at fair value using Level 3 inputs for the three months ended March 31, 2016 and 2015 were as follows (in thousands of U.S. dollars): For the three months ended March 31, 2016 Balance at beginning of period Realized and unrealized investment gains (losses) included in net income Purchases and issuances (1) Settlements and sales (2) Net transfers into/ (out of) Level 3 Balance at end of period Change in unrealized investment gains (losses) relating to assets held at end of period Fixed maturities U.S. states, territories and municipalities $ 138,847 $ 1,876 $ — $ (150 ) $ — $ 140,573 $ 1,876 Asset-backed securities 369,699 7,110 21,835 (24,155 ) — 374,489 7,163 Fixed maturities $ 508,546 $ 8,986 $ 21,835 $ (24,305 ) $ — $ 515,062 $ 9,039 Equities Finance $ 22,760 $ (1,351 ) $ — $ — $ — $ 21,409 $ (1,351 ) Technology 8,207 (1,223 ) — — — 6,984 (1,223 ) Communications 1,985 52 — — — 2,037 52 Mutual funds and exchange traded funds 4,604 (48 ) — (2,220 ) — 2,336 (781 ) Equities $ 37,556 $ (2,570 ) $ — $ (2,220 ) $ — $ 32,766 $ (3,303 ) Other invested assets Derivatives, net $ 5,351 $ (810 ) $ 414 $ (1,340 ) $ — $ 3,615 $ (1,310 ) Notes and loan receivables and notes securitization 125,922 2,535 50,377 (2,864 ) — 175,970 2,535 Annuities and residuals 8,436 1,266 — (586 ) — 9,116 1,266 Private equities 71,298 (481 ) 1,940 (858 ) — 71,899 (481 ) Other invested assets $ 211,007 $ 2,510 $ 52,731 $ (5,648 ) $ — $ 260,600 $ 2,010 Funds held – directly managed Other invested assets 10,146 146 — — — 10,292 146 Funds held – directly managed $ 10,146 $ 146 $ — $ — $ — $ 10,292 $ 146 Total $ 767,255 $ 9,072 $ 74,566 $ (32,173 ) $ — $ 818,720 $ 7,892 (1) Purchases and issuances of derivatives include issuances of $0.4 million . (2) Settlements and sales of mutual funds and exchange traded funds include sales of $2.2 million during the three months ended March 31, 2016 . For the three months ended March 31, 2015 Balance at beginning of period Realized and unrealized investment (losses) gains included in net income Purchases and issuances (1) Settlements and sales (1) Net transfers into/(out of) Level 3 Balance at end of period Change in Fixed maturities U.S. states, territories and municipalities $ 149,728 $ (1,861 ) $ — $ (184 ) $ — $ 147,683 $ (1,863 ) Asset-backed securities 449,918 1,261 43,422 (43,018 ) — 451,583 1,293 Fixed maturities $ 599,646 $ (600 ) $ 43,422 $ (43,202 ) $ — $ 599,266 $ (570 ) Equities Finance $ 20,353 $ 179 $ — $ — $ — $ 20,532 $ 179 Technology 8,555 47 — — — 8,602 47 Communications 2,640 83 — — — 2,723 83 Mutual funds and exchange traded funds 8,586 51 249,340 — — 257,977 51 Equities $ 40,134 $ 360 $ 249,340 $ — $ — $ 289,834 $ 360 Other invested assets Derivatives, net $ (1,858 ) $ 481 $ — $ — $ — $ (1,377 ) $ 481 Notes and loan receivables and notes securitization 44,817 1,104 6,411 (1,229 ) — 51,103 2,623 Annuities and residuals 13,243 231 — (1,319 ) — 12,155 231 Private equities 59,872 497 5,184 (911 ) — 64,642 497 Other invested assets $ 116,074 $ 2,313 $ 11,595 $ (3,459 ) $ — $ 126,523 $ 3,832 Funds held – directly managed U.S. states, territories and municipalities $ 132 $ — $ — $ — $ — $ 132 $ — Other invested assets 13,398 (1,390 ) — — — 12,008 (1,390 ) Funds held – directly managed $ 13,530 $ (1,390 ) $ — $ — $ — $ 12,140 $ (1,390 ) Total $ 769,384 $ 683 $ 304,357 $ (46,661 ) $ — $ 1,027,763 $ 2,232 (1) There were no issuances or sales during the three months ended March 31, 2015 . |
Fair Value Inputs, Assets, Quantitative Information [Table Text Block] | The significant unobservable inputs used in the valuation of financial instruments measured at fair value using Level 3 inputs at March 31, 2016 and December 31, 2015 were as follows (fair value in thousands of U.S. dollars): March 31, 2016 Fair value Valuation techniques Unobservable inputs Range (Weighted average) Fixed maturities U.S. states, territories and municipalities $ 140,573 Discounted cash flow Credit spreads 1.8% -10.5% (6.0%) Asset-backed securities 374,489 Discounted cash flow Credit spreads 4.1% – 11.1% (7.8%) Equities Finance 15,172 Weighted market comparables Net income multiple 14.4 (14.4) Tangible book value multiple 1.5 (1.5) Liquidity discount 25.0% (25.0%) Comparable return -8.5% (-8.5%) Finance 6,237 Profitability analysis Projected return on equity 11.0% (11.0%) Technology 6,984 Weighted market comparables Revenue multiple 1.1 (1.1) Adjusted earnings multiple 6.7 (6.7) Communications 2,037 Weighted market comparables Adjusted earnings multiple 9.4 (9.4) Comparable return 2.6% (2.6%) Other invested assets Total return swaps, net (46 ) Discounted cash flow Credit spreads 3.2% – 29.8% (16.7%) Insurance-linked securities – longevity swaps 9,491 Discounted cash flow Credit spreads 2.9% (2.9%) Notes and loan receivables 134,108 Discounted cash flow Credit spreads 4.4% - 29.1% (5.5%) Notes and loan receivables 10,426 Discounted cash flow Credit spreads 17.5% (17.5%) Gross revenue/fair value 1.0 – 1.5 (1.5) Notes securitization 31,436 Discounted cash flow Credit spreads 3.0% – 7.2% (6.9%) Annuities and residuals 9,116 Discounted cash flow Credit spreads 5.4% – 11.2% (10.1%) Prepayment speed 0% – 15.0% (1.4%) Constant default rate 0.3% – 17.5% (3.4%) Private equity – direct 7,978 Discounted cash flow and weighted market comparables Net income multiple 8.4 (8.4) Tangible book value multiple 1.9 (1.9) Recoverability of intangible assets 0% (0%) Private equity funds 31,495 Reported market value Net asset value, as reported 100.0% (100.0%) Market adjustments -5.6% – 6.4% (0.3%) Private equity – other 32,426 Discounted cash flow Effective yield 5.8% (5.8%) Funds held – directly managed Other invested assets 10,292 Reported market value Net asset value, as reported 100.0% (100.0%) Market adjustments -18.5% – 0% (-17.0%) December 31, 2015 Fair value Valuation techniques Unobservable inputs Range (Weighted average) Fixed maturities U.S. states, territories and municipalities $ 138,847 Discounted cash flow Credit spreads 1.2% – 10.3% (4.1%) Asset-backed securities 369,699 Discounted cash flow Credit spreads 4.1% – 11.4% (7.7%) Equities Finance 16,627 Weighted market comparables Net income multiple 14.4 (14.4) Tangible book value multiple 1.5 (1.5) Liquidity discount 25.0% (25.0%) Comparable return 7.9% (7.9%) Finance 6,133 Profitability analysis Projected return on equity 14.0% (14.0%) Technology 8,207 Weighted market comparables Revenue multiple 1.2 (1.2) Adjusted earnings multiple 8.4 (8.4) Communications 1,985 Weighted market comparables Adjusted earnings multiple 9.4 (9.4) Comparable return 0% (0%) Other invested assets Total return swaps, net (133 ) Discounted cash flow Credit spreads 3.0% – 29.3% (16.5%) Insurance-linked securities – longevity swaps 9,428 Discounted cash flow Credit spreads 2.4% (2.4%) Notes and loan receivables 84,080 Discounted cash flow Credit spreads 6.0% – 26.8% (7.4%) Notes and loan receivables 10,415 Discounted cash flow Credit spreads 17.5% (17.5%) Gross revenue/fair value 1.1 – 1.5 (1.5) Notes securitization 31,427 Discounted cash flow Credit spreads 2.4% – 7.1% (6.9%) Annuities and residuals 8,436 Discounted cash flow Credit spreads 5.1% – 15.4% (12.7%) Prepayment speed 0% – 15.0% (2.1%) Constant default rate 0.3% – 17.5% (4.4%) Private equity – direct 8,792 Discounted cash flow and weighted market comparables Net income multiple 9.2 (9.2) Tangible book value multiple 1.9 (1.9) Recoverability of intangible assets 0% (0%) Private equity funds 29,222 Reported market value Net asset value, as reported 100.0% (100.0%) Market adjustments -4.9% – 5.2% (-0.5%) Private equity – other 33,284 Discounted cash flow Effective yield 5.8% (5.8%) Funds held – directly managed Other invested assets 10,146 Reported market value Net asset value, as reported 100.0% (100.0%) Market adjustments -16.0% – 0% (-15.0%) |
Change in fair value of financial instruments subject to fair value option | Changes in the fair value of the Company’s financial instruments subject to the fair value option during the three months ended March 31, 2016 and 2015 were as follows (in thousands of U.S. dollars): For the three months ended March 31, 2016 March 31, 2015 Fixed maturities and short-term investments $ 211,916 $ 76,971 Equities (27,483 ) (7,016 ) Other invested assets 2,225 1,833 Funds held – directly managed 4,951 2,540 Total $ 191,609 $ 74,328 |
Carrying values and fair values of financial instrument liabilities | The carrying values and fair values of the Senior Notes and CENts at March 31, 2016 and December 31, 2015 were as follows (in thousands of U.S. dollars): March 31, 2016 December 31, 2015 Carrying Value Fair Value Carrying Value Fair Value Debt related to Senior Notes (1) $ 750,000 $ 842,521 $ 750,000 $ 829,755 Debt related to CENts (2) 63,384 64,394 63,384 63,265 (1) PartnerRe Finance A LLC and PartnerRe Finance B LLC, the issuers of the Senior Notes, do not meet consolidation requirements under U.S. GAAP. Accordingly, the Company shows the related intercompany debt of $750 million in its Condensed Consolidated Balance Sheets at March 31, 2016 and December 31, 2015 . (2) PartnerRe Finance II Inc., the issuer of the CENts, does not meet consolidation requirements under U.S. GAAP. Accordingly, the Company shows the related intercompany debt of $71 million in its Condensed Consolidated Balance Sheets at March 31, 2016 and December 31, 2015 . |
Derivatives (Tables)
Derivatives (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Fair Values and Related Notional Values of Derivatives [Table Text Block] | The net fair values and the related net notional values of derivatives included in the Company’s Condensed Consolidated Balance Sheets at March 31, 2016 and December 31, 2015 were as follows (in thousands of U.S. dollars): Asset derivatives at fair value Liability derivatives at fair value Net derivatives March 31, 2016 Net notional exposure Fair value Derivatives designated as hedges Foreign exchange forward contracts (net investment hedges) $ 1,058 $ — $ 394,807 $ 1,058 Total derivatives designated as hedges $ 1,058 $ — $ 1,058 Derivatives not designated as hedges Foreign exchange forward contracts $ 14,061 $ (4,258 ) $ 1,632,863 $ 9,803 Foreign currency option contracts 1,977 — 90,413 1,977 Futures contracts 5,588 (1,441 ) 3,186,204 4,147 Insurance-linked securities (1) 9,491 (5,830 ) 140,558 3,661 Total return swaps 2,953 (2,999 ) 42,418 (46 ) Interest rate swaps (2) — (25,280 ) 196,268 (25,280 ) TBAs 1,619 — 439,105 1,619 Total derivatives not designated as hedges $ 35,689 $ (39,808 ) $ (4,119 ) Total derivatives $ 36,747 $ (39,808 ) $ (3,061 ) Asset derivatives at fair value Liability derivatives at fair value Net derivatives December 31, 2015 Net notional exposure Fair value Derivatives designated as hedges Foreign exchange forward contracts (net investment hedges) $ — $ (9,305 ) $ 392,523 $ (9,305 ) Total derivatives designated as hedges $ — $ (9,305 ) $ (9,305 ) Derivatives not designated as hedges Foreign exchange forward contracts $ 15,311 $ (5,804 ) $ 1,708,285 $ 9,507 Foreign currency option contracts — — 82,148 — Futures contracts 5,675 (140 ) 3,610,658 5,535 Insurance-linked securities (1) 9,428 (3,944 ) 140,320 5,484 Total return swaps 2,745 (2,878 ) 42,438 (133 ) Interest rate swaps (2) — (24,383 ) 196,804 (24,383 ) TBAs — (1,462 ) 447,315 (1,462 ) Total derivatives not designated as hedges $ 33,159 $ (38,611 ) $ (5,452 ) Total derivatives $ 33,159 $ (47,916 ) $ (14,757 ) (1) At March 31, 2016 and December 31, 2015 , insurance-linked securities include a longevity swap for which the notional amount is not reflective of the overall potential exposure of the swap. As such, the Company has included the probable maximum loss under the swap within the net notional exposure as an approximation of the notional amount. (2) The Company enters into interest rate swaps to mitigate notional exposures on certain total return swaps and certain fixed maturities. Only the notional value of interest rate swaps on fixed maturities is presented separately in the table. |
Gains and Losses on Derivatives not Designated as Hedges [Table Text Block] | The gains and losses in the Condensed Consolidated Statements of Operations for derivatives not designated as hedges for the three months ended March 31, 2016 and 2015 were as follows (in thousands of U.S. dollars): For the three months ended March 31, 2016 March 31, 2015 Foreign exchange forward contracts $ (5,925 ) $ (4,636 ) Foreign currency option contracts 1,977 2,028 Total included in net foreign exchange gains and losses $ (3,948 ) $ (2,608 ) Futures contracts $ (41,674 ) $ (34,539 ) Insurance-linked securities (405 ) 2 Total return swaps 86 465 Interest rate swaps (897 ) (4,791 ) TBAs 10,926 3,671 Other — 2,493 Total included in net realized and unrealized investment gains and losses $ (31,964 ) $ (32,699 ) Total derivatives not designated as hedges $ (35,912 ) $ (35,307 ) |
Offsetting Disclosures [Table Text Block] | The gross and net fair values of derivatives that are subject to offsetting in the Condensed Consolidated Balance Sheets at March 31, 2016 and December 31, 2015 were as follows (in thousands of U.S. dollars): Gross amounts offset in the balance sheet Net amounts of assets/liabilities presented in the balance sheet Gross amounts not offset in the balance sheet March 31, 2016 Gross amounts recognized (1) Financial instruments Cash collateral received/pledged Net amount Total derivative assets $ 36,747 $ — $ 36,747 $ (2,405 ) $ (12,335 ) $ 22,007 Total derivative liabilities $ (39,808 ) $ — $ (39,808 ) $ 2,405 $ 7,076 $ (30,327 ) December 31, 2015 Total derivative assets $ 33,159 $ — $ 33,159 $ (1,037 ) $ (10,222 ) $ 21,900 Total derivative liabilities $ (47,916 ) $ — $ (47,916 ) $ 1,037 $ 25,904 $ (20,975 ) (1) Amounts include all derivative instruments, irrespective of whether there is a legally enforceable master netting arrangement in place. |
Share-based awards (Tables)
Share-based awards (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Share-based Awards [Abstract] | |
Schedule of Share-based Compensation, Stock Options, Activity [Table Text Block] | Share Options Options Outstanding at January 1, 2016 267,918 Exercised prior to March 18, 2016 (15,997 ) Settled in cash by the Company upon change in control (251,921 ) Outstanding at March 31, 2016 — |
Schedule of Share-based Compensation, Stock Appreciation Rights Award Activity [Table Text Block] | Share-Settled Share Appreciation Rights (SSARs) SSARs Outstanding at January 1, 2016 991,724 Exercised prior to March 18, 2016 (12,294 ) Settled in cash by the Company upon change in control (979,430 ) Outstanding at March 31, 2016 — |
Schedule of Nonvested Restricted Stock Units Activity [Table Text Block] | Restricted Share Units and Performance Share Units RSUs and PSUs Outstanding at January 1, 2016 861,608 Performance based adjustment 76,889 Vested prior to March 18, 2016 (270,986 ) Converted to common shares and settled in cash by EXOR upon change in control (667,511 ) Outstanding at March 31, 2016 — |
Segment Information (Tables)
Segment Information (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Segment Reporting, Disclosure of Entity's Reportable Segments [Abstract] | |
Segment reporting table | Segment Information For the three months ended March 31, 2016 North America Global (Non-U.S.) P&C Global Specialty Catastrophe Total Non-life segment Life and Health segment Corporate and Other Total Gross premiums written $ 494 $ 274 $ 398 $ 170 $ 1,336 $ 293 $ — $ 1,629 Net premiums written $ 481 $ 269 $ 333 $ 141 $ 1,224 $ 277 $ — $ 1,501 Increase in unearned premiums (129 ) (119 ) (11 ) (93 ) (352 ) (7 ) — (359 ) Net premiums earned $ 352 $ 150 $ 322 $ 48 $ 872 $ 270 $ — $ 1,142 Losses and loss expenses and life policy benefits (199 ) (123 ) (184 ) (3 ) (509 ) (205 ) — (714 ) Acquisition costs (107 ) (47 ) (90 ) (1 ) (245 ) (38 ) — (283 ) Technical result $ 46 $ (20 ) $ 48 $ 44 $ 118 $ 27 $ — $ 145 Other income 2 2 1 5 Other expenses (68 ) (18 ) (67 ) (153 ) Underwriting result $ 52 $ 11 n/a $ (3 ) Net investment income 13 90 103 Allocated underwriting result (1) $ 24 n/a n/a Net realized and unrealized investment gains 167 167 Interest expense (12 ) (12 ) Amortization of intangible assets (7 ) (7 ) Net foreign exchange gains 2 2 Income tax expense (31 ) (31 ) Interest in losses of equity method investments (3 ) (3 ) Net income n/a $ 216 Loss ratio (2) 56.5 % 82.1 % 57.2 % 7.2 % 58.5 % Acquisition ratio (3) 30.4 31.1 27.8 3.1 28.0 Technical ratio (4) 86.9 % 113.2 % 85.0 % 10.3 % 86.5 % Other expense ratio (5) 7.8 Combined ratio (6) 94.3 % (1) Allocated underwriting result is defined as net premiums earned, other income or loss and allocated net investment income less life policy benefits, acquisition costs and other expenses. (2) Loss ratio is obtained by dividing losses and loss expenses by net premiums earned. (3) Acquisition ratio is obtained by dividing acquisition costs by net premiums earned. (4) Technical ratio is defined as the sum of the loss ratio and the acquisition ratio. (5) Other expense ratio is obtained by dividing other expenses by net premiums earned. (6) Combined ratio is defined as the sum of the technical ratio and the other expense ratio. n/a Not applicable Segment Information For the three months ended March 31, 2015 North America Global (Non-U.S.) P&C Global Specialty Catastrophe Total Non-life segment Life and Health segment Corporate and Other Total Gross premiums written $ 473 $ 334 $ 427 $ 191 $ 1,425 $ 324 $ — $ 1,749 Net premiums written $ 471 $ 331 $ 362 $ 176 $ 1,340 $ 313 $ — $ 1,653 (Increase) decrease in unearned premiums (132 ) (157 ) 3 (118 ) (404 ) (14 ) — (418 ) Net premiums earned $ 339 $ 174 $ 365 $ 58 $ 936 $ 299 $ — $ 1,235 Losses and loss expenses and life policy benefits (172 ) (119 ) (170 ) (20 ) (481 ) (240 ) — (721 ) Acquisition costs (93 ) (52 ) (93 ) (4 ) (242 ) (34 ) — (276 ) Technical result $ 74 $ 3 $ 102 $ 34 $ 213 $ 25 $ — $ 238 Other income — 1 3 4 Other expenses (52 ) (15 ) (58 ) (125 ) Underwriting result $ 161 $ 11 n/a $ 117 Net investment income 14 91 105 Allocated underwriting result $ 25 n/a n/a Net realized and unrealized investment gains 116 116 Interest expense (12 ) (12 ) Amortization of intangible assets (7 ) (7 ) Net foreign exchange gains 13 13 Income tax expense (80 ) (80 ) Interest in losses of equity method investments (4 ) (4 ) Net income n/a $ 248 Loss ratio 50.7 % 68.4 % 46.7 % 33.7 % 51.4 % Acquisition ratio 27.5 30.1 25.4 7.0 25.9 Technical ratio 78.2 % 98.5 % 72.1 % 40.7 % 77.3 % Other expense ratio 5.5 Combined ratio 82.8 % |
Organization Organization (Deta
Organization Organization (Details) - USD ($) $ / shares in Units, $ in Millions | 3 Months Ended | |
Mar. 31, 2016 | Dec. 31, 2015 | |
Business Acquisition [Line Items] | ||
Special Dividend Per Share | $ 3 | |
Common shares, shares issued | 1 | 87,237,220 |
Common shares, par value | $ 1 | $ 1 |
Special Dividend Amount Paid | $ 150 | |
EXORS.p.A. [Member] | ||
Business Acquisition [Line Items] | ||
Business Acquisition, Share Price | $ 137.50 | |
Common shares, shares issued | 1 | |
Common shares, par value | $ 1 | |
Business Acquisition, Percentage of Voting Interests Acquired | 100.00% | |
Preferred Stock Cash Payments | $ 42.7 |
Fair Value (Details - Hierarchy
Fair Value (Details - Hierarchy table) - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fixed maturities | $ 13,020,014 | $ 13,448,262 |
Short-term investments | 33,555 | 46,688 |
Equities | 324,427 | 443,861 |
Other invested assets | 254,924 | 190,899 |
Funds held - directly managed | 426,537 | 399,899 |
Total | 14,059,457 | 14,529,609 |
Derivative assets [Member] | Foreign exchange forward contracts [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Other invested assets | 15,119 | 15,311 |
Derivative assets [Member] | Foreign currency option contracts [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Other invested assets | 1,977 | |
Derivative assets [Member] | Futures contracts [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Other invested assets | 5,588 | 5,675 |
Derivative assets [Member] | Insurance-linked securities [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Other invested assets | 9,491 | 9,428 |
Derivative assets [Member] | Total return swaps [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Other invested assets | 2,953 | 2,745 |
Derivative assets [Member] | TBAs [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Other invested assets | 1,619 | |
Derivative liabilities [Member] | Foreign exchange forward contracts [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Other invested assets | (4,258) | (15,109) |
Derivative liabilities [Member] | Futures contracts [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Other invested assets | (1,441) | (140) |
Derivative liabilities [Member] | Insurance-linked securities [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Other invested assets | (5,830) | (3,944) |
Derivative liabilities [Member] | Total return swaps [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Other invested assets | (2,999) | (2,878) |
Derivative liabilities [Member] | Interest rate swaps [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Other invested assets | (25,280) | (24,383) |
Derivative liabilities [Member] | TBAs [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Other invested assets | (1,462) | |
Notes And Loan Receivables And Notes Securitization [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Other invested assets | 176,970 | 125,922 |
Annuities and residuals [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Other invested assets | 9,116 | 8,436 |
Private equities [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Other invested assets | 71,899 | 71,298 |
Other invested assets funds held directly managed [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Funds held - directly managed | 10,292 | 10,146 |
Short-term Investments [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Funds held - directly managed | 966 | |
Finance [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Equities | 44,201 | 57,679 |
Consumer noncyclical [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Equities | 41,544 | 43,375 |
Insurance [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Equities | 30,033 | 80,025 |
Technology [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Equities | 28,350 | 29,384 |
Industrials [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Equities | 25,390 | 34,264 |
Consumer cyclical [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Equities | 25,191 | 25,871 |
Communications [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Equities | 23,146 | 22,924 |
Real estate investment trust [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Equities | 46,379 | |
Other equities [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Equities | 34,094 | 28,197 |
Mutual funds and exchange traded funds [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Equities | 72,478 | 75,763 |
US Government and government sponsored enterpises [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fixed maturities | 2,794,761 | 2,872,845 |
Funds held - directly managed | 199,258 | 169,951 |
US states, territories and municipalities [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fixed maturities | 780,372 | 778,326 |
Non US sovereign government supranational and government related [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fixed maturities | 1,197,012 | 1,332,925 |
Funds held - directly managed | 126,363 | 119,487 |
Corporate [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fixed maturities | 4,977,795 | 5,086,199 |
Funds held - directly managed | 90,624 | 99,349 |
Asset-backed securities [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fixed maturities | 1,032,316 | 1,037,816 |
Residential mortgage-backed securities [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fixed maturities | 2,189,843 | 2,290,640 |
Other mortgage-backed securities [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fixed maturities | 47,915 | 49,511 |
Quoted prices in active markets for identical assets (Level 1) | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fixed maturities | 0 | 0 |
Short-term investments | 0 | 0 |
Equities | 284,544 | 385,608 |
Other invested assets | 4,147 | 5,535 |
Funds held - directly managed | 0 | 0 |
Total | 288,691 | 391,143 |
Quoted prices in active markets for identical assets (Level 1) | Derivative assets [Member] | Foreign exchange forward contracts [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Other invested assets | 0 | 0 |
Quoted prices in active markets for identical assets (Level 1) | Derivative assets [Member] | Foreign currency option contracts [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Other invested assets | 0 | |
Quoted prices in active markets for identical assets (Level 1) | Derivative assets [Member] | Futures contracts [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Other invested assets | 5,588 | 5,675 |
Quoted prices in active markets for identical assets (Level 1) | Derivative assets [Member] | Insurance-linked securities [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Other invested assets | 0 | 0 |
Quoted prices in active markets for identical assets (Level 1) | Derivative assets [Member] | Total return swaps [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Other invested assets | 0 | 0 |
Quoted prices in active markets for identical assets (Level 1) | Derivative assets [Member] | TBAs [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Other invested assets | 0 | |
Quoted prices in active markets for identical assets (Level 1) | Derivative liabilities [Member] | Foreign exchange forward contracts [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Other invested assets | 0 | 0 |
Quoted prices in active markets for identical assets (Level 1) | Derivative liabilities [Member] | Futures contracts [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Other invested assets | (1,441) | (140) |
Quoted prices in active markets for identical assets (Level 1) | Derivative liabilities [Member] | Insurance-linked securities [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Other invested assets | 0 | 0 |
Quoted prices in active markets for identical assets (Level 1) | Derivative liabilities [Member] | Total return swaps [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Other invested assets | 0 | 0 |
Quoted prices in active markets for identical assets (Level 1) | Derivative liabilities [Member] | Interest rate swaps [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Other invested assets | 0 | 0 |
Quoted prices in active markets for identical assets (Level 1) | Derivative liabilities [Member] | TBAs [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Other invested assets | 0 | |
Quoted prices in active markets for identical assets (Level 1) | Notes And Loan Receivables And Notes Securitization [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Other invested assets | 0 | 0 |
Quoted prices in active markets for identical assets (Level 1) | Annuities and residuals [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Other invested assets | 0 | 0 |
Quoted prices in active markets for identical assets (Level 1) | Private equities [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Other invested assets | 0 | 0 |
Quoted prices in active markets for identical assets (Level 1) | Other invested assets funds held directly managed [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Funds held - directly managed | 0 | 0 |
Quoted prices in active markets for identical assets (Level 1) | Short-term Investments [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Funds held - directly managed | 0 | |
Quoted prices in active markets for identical assets (Level 1) | Finance [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Equities | 18,326 | 29,422 |
Quoted prices in active markets for identical assets (Level 1) | Consumer noncyclical [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Equities | 41,544 | 43,375 |
Quoted prices in active markets for identical assets (Level 1) | Insurance [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Equities | 27,382 | 72,226 |
Quoted prices in active markets for identical assets (Level 1) | Technology [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Equities | 21,366 | 21,177 |
Quoted prices in active markets for identical assets (Level 1) | Industrials [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Equities | 25,390 | 26,863 |
Quoted prices in active markets for identical assets (Level 1) | Consumer cyclical [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Equities | 25,191 | 25,871 |
Quoted prices in active markets for identical assets (Level 1) | Communications [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Equities | 21,109 | 20,939 |
Quoted prices in active markets for identical assets (Level 1) | Real estate investment trust [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Equities | 46,379 | |
Quoted prices in active markets for identical assets (Level 1) | Other equities [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Equities | 34,094 | 28,197 |
Quoted prices in active markets for identical assets (Level 1) | Mutual funds and exchange traded funds [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Equities | 70,142 | 71,159 |
Quoted prices in active markets for identical assets (Level 1) | US Government and government sponsored enterpises [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fixed maturities | 0 | 0 |
Funds held - directly managed | 0 | 0 |
Quoted prices in active markets for identical assets (Level 1) | US states, territories and municipalities [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fixed maturities | 0 | 0 |
Quoted prices in active markets for identical assets (Level 1) | Non US sovereign government supranational and government related [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fixed maturities | 0 | 0 |
Funds held - directly managed | 0 | 0 |
Quoted prices in active markets for identical assets (Level 1) | Corporate [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fixed maturities | 0 | 0 |
Funds held - directly managed | 0 | 0 |
Quoted prices in active markets for identical assets (Level 1) | Asset-backed securities [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fixed maturities | 0 | 0 |
Quoted prices in active markets for identical assets (Level 1) | Residential mortgage-backed securities [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fixed maturities | 0 | 0 |
Quoted prices in active markets for identical assets (Level 1) | Other mortgage-backed securities [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fixed maturities | 0 | 0 |
Significant other observable inputs (Level 2) | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fixed maturities | 12,504,952 | 12,939,716 |
Short-term investments | 33,555 | 46,688 |
Equities | 7,117 | 20,697 |
Other invested assets | (9,823) | (25,643) |
Funds held - directly managed | 416,245 | 389,753 |
Total | 12,952,046 | 13,371,211 |
Significant other observable inputs (Level 2) | Derivative assets [Member] | Foreign exchange forward contracts [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Other invested assets | 15,119 | 15,311 |
Significant other observable inputs (Level 2) | Derivative assets [Member] | Foreign currency option contracts [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Other invested assets | 1,977 | |
Significant other observable inputs (Level 2) | Derivative assets [Member] | Futures contracts [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Other invested assets | 0 | 0 |
Significant other observable inputs (Level 2) | Derivative assets [Member] | Insurance-linked securities [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Other invested assets | 0 | 0 |
Significant other observable inputs (Level 2) | Derivative assets [Member] | Total return swaps [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Other invested assets | 0 | 0 |
Significant other observable inputs (Level 2) | Derivative assets [Member] | TBAs [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Other invested assets | 1,619 | |
Significant other observable inputs (Level 2) | Derivative liabilities [Member] | Foreign exchange forward contracts [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Other invested assets | (4,258) | (15,109) |
Significant other observable inputs (Level 2) | Derivative liabilities [Member] | Futures contracts [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Other invested assets | 0 | 0 |
Significant other observable inputs (Level 2) | Derivative liabilities [Member] | Insurance-linked securities [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Other invested assets | 0 | 0 |
Significant other observable inputs (Level 2) | Derivative liabilities [Member] | Total return swaps [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Other invested assets | 0 | 0 |
Significant other observable inputs (Level 2) | Derivative liabilities [Member] | Interest rate swaps [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Other invested assets | (25,280) | (24,383) |
Significant other observable inputs (Level 2) | Derivative liabilities [Member] | TBAs [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Other invested assets | (1,462) | |
Significant other observable inputs (Level 2) | Notes And Loan Receivables And Notes Securitization [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Other invested assets | 1,000 | 0 |
Significant other observable inputs (Level 2) | Annuities and residuals [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Other invested assets | 0 | 0 |
Significant other observable inputs (Level 2) | Private equities [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Other invested assets | 0 | 0 |
Significant other observable inputs (Level 2) | Other invested assets funds held directly managed [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Funds held - directly managed | 0 | 0 |
Significant other observable inputs (Level 2) | Short-term Investments [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Funds held - directly managed | 966 | |
Significant other observable inputs (Level 2) | Finance [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Equities | 4,466 | 5,497 |
Significant other observable inputs (Level 2) | Consumer noncyclical [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Equities | 0 | 0 |
Significant other observable inputs (Level 2) | Insurance [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Equities | 2,651 | 7,799 |
Significant other observable inputs (Level 2) | Technology [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Equities | 0 | 0 |
Significant other observable inputs (Level 2) | Industrials [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Equities | 0 | 7,401 |
Significant other observable inputs (Level 2) | Consumer cyclical [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Equities | 0 | 0 |
Significant other observable inputs (Level 2) | Communications [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Equities | 0 | 0 |
Significant other observable inputs (Level 2) | Real estate investment trust [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Equities | 0 | |
Significant other observable inputs (Level 2) | Other equities [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Equities | 0 | 0 |
Significant other observable inputs (Level 2) | Mutual funds and exchange traded funds [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Equities | 0 | 0 |
Significant other observable inputs (Level 2) | US Government and government sponsored enterpises [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fixed maturities | 2,794,761 | 2,872,845 |
Funds held - directly managed | 199,258 | 169,951 |
Significant other observable inputs (Level 2) | US states, territories and municipalities [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fixed maturities | 639,799 | 639,479 |
Significant other observable inputs (Level 2) | Non US sovereign government supranational and government related [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fixed maturities | 1,197,012 | 1,332,925 |
Funds held - directly managed | 126,363 | 119,487 |
Significant other observable inputs (Level 2) | Corporate [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fixed maturities | 4,977,795 | 5,086,199 |
Funds held - directly managed | 90,624 | 99,349 |
Significant other observable inputs (Level 2) | Asset-backed securities [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fixed maturities | 657,827 | 668,117 |
Significant other observable inputs (Level 2) | Residential mortgage-backed securities [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fixed maturities | 2,189,843 | 2,290,640 |
Significant other observable inputs (Level 2) | Other mortgage-backed securities [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fixed maturities | 47,915 | 49,511 |
Significant unobservable inputs (Level 3) [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fixed maturities | 515,062 | 508,546 |
Short-term investments | 0 | 0 |
Equities | 32,766 | 37,556 |
Other invested assets | 260,600 | 211,007 |
Funds held - directly managed | 10,292 | 10,146 |
Total | 818,720 | 767,255 |
Significant unobservable inputs (Level 3) [Member] | Derivative assets [Member] | Foreign exchange forward contracts [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Other invested assets | 0 | 0 |
Significant unobservable inputs (Level 3) [Member] | Derivative assets [Member] | Foreign currency option contracts [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Other invested assets | 0 | |
Significant unobservable inputs (Level 3) [Member] | Derivative assets [Member] | Futures contracts [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Other invested assets | 0 | 0 |
Significant unobservable inputs (Level 3) [Member] | Derivative assets [Member] | Insurance-linked securities [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Other invested assets | 9,491 | 9,428 |
Significant unobservable inputs (Level 3) [Member] | Derivative assets [Member] | Total return swaps [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Other invested assets | 2,953 | 2,745 |
Significant unobservable inputs (Level 3) [Member] | Derivative assets [Member] | TBAs [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Other invested assets | 0 | |
Significant unobservable inputs (Level 3) [Member] | Derivative liabilities [Member] | Foreign exchange forward contracts [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Other invested assets | 0 | 0 |
Significant unobservable inputs (Level 3) [Member] | Derivative liabilities [Member] | Futures contracts [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Other invested assets | 0 | 0 |
Significant unobservable inputs (Level 3) [Member] | Derivative liabilities [Member] | Insurance-linked securities [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Other invested assets | (5,830) | (3,944) |
Significant unobservable inputs (Level 3) [Member] | Derivative liabilities [Member] | Total return swaps [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Other invested assets | (2,999) | (2,878) |
Significant unobservable inputs (Level 3) [Member] | Derivative liabilities [Member] | Interest rate swaps [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Other invested assets | 0 | 0 |
Significant unobservable inputs (Level 3) [Member] | Derivative liabilities [Member] | TBAs [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Other invested assets | 0 | |
Significant unobservable inputs (Level 3) [Member] | Notes And Loan Receivables And Notes Securitization [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Other invested assets | 175,970 | 125,922 |
Significant unobservable inputs (Level 3) [Member] | Annuities and residuals [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Other invested assets | 9,116 | 8,436 |
Significant unobservable inputs (Level 3) [Member] | Private equities [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Other invested assets | 71,899 | 71,298 |
Significant unobservable inputs (Level 3) [Member] | Other invested assets funds held directly managed [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Funds held - directly managed | 10,292 | 10,146 |
Significant unobservable inputs (Level 3) [Member] | Short-term Investments [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Funds held - directly managed | 0 | |
Significant unobservable inputs (Level 3) [Member] | Finance [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Equities | 21,409 | 22,760 |
Significant unobservable inputs (Level 3) [Member] | Consumer noncyclical [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Equities | 0 | 0 |
Significant unobservable inputs (Level 3) [Member] | Insurance [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Equities | 0 | 0 |
Significant unobservable inputs (Level 3) [Member] | Technology [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Equities | 6,984 | 8,207 |
Significant unobservable inputs (Level 3) [Member] | Industrials [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Equities | 0 | 0 |
Significant unobservable inputs (Level 3) [Member] | Consumer cyclical [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Equities | 0 | 0 |
Significant unobservable inputs (Level 3) [Member] | Communications [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Equities | 2,037 | 1,985 |
Significant unobservable inputs (Level 3) [Member] | Real estate investment trust [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Equities | 0 | |
Significant unobservable inputs (Level 3) [Member] | Other equities [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Equities | 0 | 0 |
Significant unobservable inputs (Level 3) [Member] | Mutual funds and exchange traded funds [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Equities | 2,336 | 4,604 |
Significant unobservable inputs (Level 3) [Member] | US Government and government sponsored enterpises [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fixed maturities | 0 | 0 |
Funds held - directly managed | 0 | 0 |
Significant unobservable inputs (Level 3) [Member] | US states, territories and municipalities [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fixed maturities | 140,573 | 138,847 |
Significant unobservable inputs (Level 3) [Member] | Non US sovereign government supranational and government related [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fixed maturities | 0 | 0 |
Funds held - directly managed | 0 | 0 |
Significant unobservable inputs (Level 3) [Member] | Corporate [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fixed maturities | 0 | 0 |
Funds held - directly managed | 0 | 0 |
Significant unobservable inputs (Level 3) [Member] | Asset-backed securities [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fixed maturities | 374,489 | 369,699 |
Significant unobservable inputs (Level 3) [Member] | Residential mortgage-backed securities [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fixed maturities | 0 | 0 |
Significant unobservable inputs (Level 3) [Member] | Other mortgage-backed securities [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fixed maturities | $ 0 | $ 0 |
Fair Value (Details - narrative
Fair Value (Details - narrative items) - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 | Mar. 31, 2015 | Dec. 31, 2014 |
Fair Value - Other Details [Line Items] | ||||
Funds held directly managed investments carried at fair value | $ 426,537 | $ 399,899 | ||
Cash and cash equivalents | 1,749,851 | 1,577,097 | $ 1,413,799 | $ 1,313,468 |
Accrued investment income | 134,735 | 141,672 | ||
Fair Value Assets Level 2 To Level 1 Transfers Amount | 0 | $ 0 | ||
Funds held directly managed [Member] | ||||
Fair Value - Other Details [Line Items] | ||||
Cash and cash equivalents | 39,000 | 64,600 | ||
Accrued investment income | 4,400 | 4,500 | ||
Other net assets, at cost, within funds-held | 109,700 | 70,700 | ||
Trading securities [Member] | Other invested assets [Member] | ||||
Fair Value - Other Details [Line Items] | ||||
Carrying amount of other invested assets not at fair value | $ 203,800 | $ 208,300 |
Fair Value (Details - Level 3 r
Fair Value (Details - Level 3 rollforward) - USD ($) $ in Thousands | 3 Months Ended | |||
Mar. 31, 2016 | Mar. 31, 2015 | |||
Fair Value Assets Measured On Recurring Basis Unobservable Input Reconciliation [Line Items] | ||||
Balance, beginning of year | $ 767,255 | $ 769,384 | ||
Realized and unrealized investment (losses) gains included in net income | 9,072 | 683 | ||
Purchases | 74,566 | 304,357 | ||
Settlements | (32,173) | (46,661) | ||
Net transfers into/ (out of) Level 3 | 0 | 0 | ||
Balance, end of year | 818,720 | 1,027,763 | ||
Change in unrealized investment (losses) gains relating to assets held at the end of period | 7,892 | 2,232 | ||
Fixed maturities [Member] | ||||
Fair Value Assets Measured On Recurring Basis Unobservable Input Reconciliation [Line Items] | ||||
Balance, beginning of year | 508,546 | 599,646 | ||
Realized and unrealized investment (losses) gains included in net income | 8,986 | (600) | ||
Purchases | 21,835 | 43,422 | ||
Settlements | (24,305) | (43,202) | ||
Net transfers into/ (out of) Level 3 | 0 | 0 | ||
Balance, end of year | 515,062 | 599,266 | ||
Change in unrealized investment (losses) gains relating to assets held at the end of period | 9,039 | (570) | ||
Fixed maturities [Member] | US states, territories and municipalities [Member] | ||||
Fair Value Assets Measured On Recurring Basis Unobservable Input Reconciliation [Line Items] | ||||
Balance, beginning of year | 138,847 | 149,728 | ||
Realized and unrealized investment (losses) gains included in net income | 1,876 | (1,861) | ||
Purchases | 0 | 0 | ||
Settlements | (150) | (184) | ||
Net transfers into/ (out of) Level 3 | 0 | 0 | ||
Balance, end of year | 140,573 | 147,683 | ||
Change in unrealized investment (losses) gains relating to assets held at the end of period | 1,876 | (1,863) | ||
Fixed maturities [Member] | Asset-backed securities [Member] | ||||
Fair Value Assets Measured On Recurring Basis Unobservable Input Reconciliation [Line Items] | ||||
Balance, beginning of year | 369,699 | 449,918 | ||
Realized and unrealized investment (losses) gains included in net income | 7,110 | 1,261 | ||
Purchases | 21,835 | 43,422 | ||
Settlements | (24,155) | (43,018) | ||
Net transfers into/ (out of) Level 3 | 0 | 0 | ||
Balance, end of year | 374,489 | 451,583 | ||
Change in unrealized investment (losses) gains relating to assets held at the end of period | 7,163 | 1,293 | ||
Equities [Member] | ||||
Fair Value Assets Measured On Recurring Basis Unobservable Input Reconciliation [Line Items] | ||||
Balance, beginning of year | 37,556 | 40,134 | ||
Realized and unrealized investment (losses) gains included in net income | (2,570) | 360 | ||
Purchases | 0 | 249,340 | ||
Settlements | (2,220) | 0 | ||
Net transfers into/ (out of) Level 3 | 0 | 0 | ||
Balance, end of year | 32,766 | 289,834 | ||
Change in unrealized investment (losses) gains relating to assets held at the end of period | (3,303) | 360 | ||
Equities [Member] | Finance [Member] | ||||
Fair Value Assets Measured On Recurring Basis Unobservable Input Reconciliation [Line Items] | ||||
Balance, beginning of year | 22,760 | 20,353 | ||
Realized and unrealized investment (losses) gains included in net income | (1,351) | 179 | ||
Purchases | 0 | 0 | ||
Settlements | 0 | 0 | ||
Net transfers into/ (out of) Level 3 | 0 | 0 | ||
Balance, end of year | 21,409 | 20,532 | ||
Change in unrealized investment (losses) gains relating to assets held at the end of period | (1,351) | 179 | ||
Equities [Member] | Technology [Member] | ||||
Fair Value Assets Measured On Recurring Basis Unobservable Input Reconciliation [Line Items] | ||||
Balance, beginning of year | 8,207 | 8,555 | ||
Realized and unrealized investment (losses) gains included in net income | (1,223) | 47 | ||
Purchases | 0 | 0 | ||
Settlements | 0 | 0 | ||
Net transfers into/ (out of) Level 3 | 0 | 0 | ||
Balance, end of year | 6,984 | 8,602 | ||
Change in unrealized investment (losses) gains relating to assets held at the end of period | (1,223) | 47 | ||
Equities [Member] | Communications [Member] | ||||
Fair Value Assets Measured On Recurring Basis Unobservable Input Reconciliation [Line Items] | ||||
Balance, beginning of year | 1,985 | 2,640 | ||
Realized and unrealized investment (losses) gains included in net income | 52 | 83 | ||
Purchases | 0 | 0 | ||
Settlements | 0 | 0 | ||
Net transfers into/ (out of) Level 3 | 0 | 0 | ||
Balance, end of year | 2,037 | 2,723 | ||
Change in unrealized investment (losses) gains relating to assets held at the end of period | 52 | 83 | ||
Equities [Member] | Mutual funds and exchange traded funds [Member] | ||||
Fair Value Assets Measured On Recurring Basis Unobservable Input Reconciliation [Line Items] | ||||
Balance, beginning of year | 4,604 | 8,586 | ||
Realized and unrealized investment (losses) gains included in net income | (48) | 51 | ||
Purchases | 0 | 249,340 | ||
Settlements | (2,220) | [1] | 0 | |
Sales | [1] | 2,200 | ||
Net transfers into/ (out of) Level 3 | 0 | 0 | ||
Balance, end of year | 2,336 | 257,977 | ||
Change in unrealized investment (losses) gains relating to assets held at the end of period | (781) | 51 | ||
Other invested assets [Member] | ||||
Fair Value Assets Measured On Recurring Basis Unobservable Input Reconciliation [Line Items] | ||||
Balance, beginning of year | 211,007 | 116,074 | ||
Realized and unrealized investment (losses) gains included in net income | 2,510 | 2,313 | ||
Purchases | 52,731 | 11,595 | ||
Settlements | (5,648) | (3,459) | ||
Net transfers into/ (out of) Level 3 | 0 | 0 | ||
Balance, end of year | 260,600 | 126,523 | ||
Change in unrealized investment (losses) gains relating to assets held at the end of period | 2,010 | 3,832 | ||
Other invested assets [Member] | Derivatives, net [Member] | ||||
Fair Value Assets Measured On Recurring Basis Unobservable Input Reconciliation [Line Items] | ||||
Balance, beginning of year | 5,351 | (1,858) | ||
Realized and unrealized investment (losses) gains included in net income | (810) | 481 | ||
Purchases | 414 | [2] | 0 | |
Settlements | (1,340) | 0 | ||
Issuances | 400 | |||
Net transfers into/ (out of) Level 3 | 0 | 0 | ||
Balance, end of year | 3,615 | (1,377) | ||
Change in unrealized investment (losses) gains relating to assets held at the end of period | (1,310) | 481 | ||
Other invested assets [Member] | Notes And Loan Receivables And Notes Securitization [Member] | ||||
Fair Value Assets Measured On Recurring Basis Unobservable Input Reconciliation [Line Items] | ||||
Balance, beginning of year | 125,922 | 44,817 | ||
Realized and unrealized investment (losses) gains included in net income | 2,535 | 1,104 | ||
Purchases | 50,377 | 6,411 | ||
Settlements | (2,864) | (1,229) | ||
Net transfers into/ (out of) Level 3 | 0 | 0 | ||
Balance, end of year | 175,970 | 51,103 | ||
Change in unrealized investment (losses) gains relating to assets held at the end of period | 2,535 | 2,623 | ||
Other invested assets [Member] | Annuities and residuals [Member] | ||||
Fair Value Assets Measured On Recurring Basis Unobservable Input Reconciliation [Line Items] | ||||
Balance, beginning of year | 8,436 | 13,243 | ||
Realized and unrealized investment (losses) gains included in net income | 1,266 | 231 | ||
Purchases | 0 | 0 | ||
Settlements | (586) | (1,319) | ||
Net transfers into/ (out of) Level 3 | 0 | 0 | ||
Balance, end of year | 9,116 | 12,155 | ||
Change in unrealized investment (losses) gains relating to assets held at the end of period | 1,266 | 231 | ||
Other invested assets [Member] | Private equities [Member] | ||||
Fair Value Assets Measured On Recurring Basis Unobservable Input Reconciliation [Line Items] | ||||
Balance, beginning of year | 71,298 | 59,872 | ||
Realized and unrealized investment (losses) gains included in net income | (481) | 497 | ||
Purchases | 1,940 | 5,184 | ||
Settlements | (858) | (911) | ||
Net transfers into/ (out of) Level 3 | 0 | 0 | ||
Balance, end of year | 71,899 | 64,642 | ||
Change in unrealized investment (losses) gains relating to assets held at the end of period | (481) | 497 | ||
Funds Held - Directly Managed investment [Member] | ||||
Fair Value Assets Measured On Recurring Basis Unobservable Input Reconciliation [Line Items] | ||||
Balance, beginning of year | 10,146 | 13,530 | ||
Realized and unrealized investment (losses) gains included in net income | 146 | (1,390) | ||
Purchases | 0 | 0 | ||
Settlements | 0 | 0 | ||
Net transfers into/ (out of) Level 3 | 0 | 0 | ||
Balance, end of year | 10,292 | 12,140 | ||
Change in unrealized investment (losses) gains relating to assets held at the end of period | 146 | (1,390) | ||
Funds Held - Directly Managed investment [Member] | Other invested assets funds held directly managed [Member] | ||||
Fair Value Assets Measured On Recurring Basis Unobservable Input Reconciliation [Line Items] | ||||
Balance, beginning of year | 10,146 | 13,398 | ||
Realized and unrealized investment (losses) gains included in net income | 146 | (1,390) | ||
Purchases | 0 | 0 | ||
Settlements | 0 | 0 | ||
Net transfers into/ (out of) Level 3 | 0 | 0 | ||
Balance, end of year | 10,292 | 12,008 | ||
Change in unrealized investment (losses) gains relating to assets held at the end of period | $ 146 | (1,390) | ||
Funds Held - Directly Managed investment [Member] | US states, territories and municipalities [Member] | ||||
Fair Value Assets Measured On Recurring Basis Unobservable Input Reconciliation [Line Items] | ||||
Balance, beginning of year | 132 | |||
Realized and unrealized investment (losses) gains included in net income | 0 | |||
Purchases | 0 | |||
Settlements | 0 | |||
Net transfers into/ (out of) Level 3 | 0 | |||
Balance, end of year | 132 | |||
Change in unrealized investment (losses) gains relating to assets held at the end of period | $ 0 | |||
[1] | Settlements and sales of mutual funds and exchange traded funds include sales of $2.2 million during the three months ended March 31, 2016. | |||
[2] | Purchases and issuances of derivatives include issuances of $0.4 million. |
Fair Value (Details - Valuation
Fair Value (Details - Valuation Technique and Inputs) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended |
Mar. 31, 2016 | Dec. 31, 2015 | |
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Fixed maturities | $ 13,020,014 | $ 13,448,262 |
Equities | 324,427 | 443,861 |
Other invested assets carried at fair value | 254,924 | 190,899 |
Funds held directly managed investments carried at fair value | 426,537 | 399,899 |
Significant unobservable inputs (Level 3) [Member] | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Fixed maturities | 515,062 | 508,546 |
Equities | 32,766 | 37,556 |
Other invested assets carried at fair value | 260,600 | 211,007 |
Funds held directly managed investments carried at fair value | 10,292 | 10,146 |
US states, territories and municipalities [Member] | Discounted cash flow [Member] | Significant unobservable inputs (Level 3) [Member] | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Fixed maturities | $ 140,573 | $ 138,847 |
US states, territories and municipalities [Member] | Minimum [Member] | Discounted cash flow [Member] | Significant unobservable inputs (Level 3) [Member] | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Credit spreads | 1.80% | 1.20% |
US states, territories and municipalities [Member] | Maximum [Member] | Discounted cash flow [Member] | Significant unobservable inputs (Level 3) [Member] | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Credit spreads | 10.50% | 10.30% |
US states, territories and municipalities [Member] | Weighted Average [Member] | Discounted cash flow [Member] | Significant unobservable inputs (Level 3) [Member] | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Credit spreads | 6.00% | 4.10% |
Asset-backed securities - other [Member] | Discounted cash flow [Member] | Significant unobservable inputs (Level 3) [Member] | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Fixed maturities | $ 374,489 | $ 369,699 |
Asset-backed securities - other [Member] | Minimum [Member] | Discounted cash flow [Member] | Significant unobservable inputs (Level 3) [Member] | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Credit spreads | 4.10% | 4.10% |
Asset-backed securities - other [Member] | Maximum [Member] | Discounted cash flow [Member] | Significant unobservable inputs (Level 3) [Member] | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Credit spreads | 11.10% | 11.40% |
Asset-backed securities - other [Member] | Weighted Average [Member] | Discounted cash flow [Member] | Significant unobservable inputs (Level 3) [Member] | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Credit spreads | 7.80% | 7.70% |
Finance [Member] | Weighted market comparables [Member] | Significant unobservable inputs (Level 3) [Member] | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Equities | $ 15,172 | $ 16,627 |
Finance [Member] | Profitability Analysis [Member] | Significant unobservable inputs (Level 3) [Member] | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Equities | $ 6,237 | $ 6,133 |
Finance [Member] | Minimum [Member] | Weighted market comparables [Member] | Significant unobservable inputs (Level 3) [Member] | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Net income multiple | 14.4 | 14.4 |
Tangible book value multiple | 1.5 | 1.5 |
Liquidity discount | 25.00% | 25.00% |
Comparable return | (8.50%) | 7.90% |
Finance [Member] | Minimum [Member] | Profitability Analysis [Member] | Significant unobservable inputs (Level 3) [Member] | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Projected Return On Equity | 11.00% | 14.00% |
Finance [Member] | Maximum [Member] | Weighted market comparables [Member] | Significant unobservable inputs (Level 3) [Member] | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Net income multiple | 14.4 | 14.4 |
Tangible book value multiple | 1.5 | 1.5 |
Liquidity discount | 25.00% | 25.00% |
Comparable return | (8.50%) | 7.90% |
Finance [Member] | Maximum [Member] | Profitability Analysis [Member] | Significant unobservable inputs (Level 3) [Member] | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Projected Return On Equity | 11.00% | 14.00% |
Finance [Member] | Weighted Average [Member] | Weighted market comparables [Member] | Significant unobservable inputs (Level 3) [Member] | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Net income multiple | 14.4 | 14.4 |
Tangible book value multiple | 1.5 | 1.5 |
Liquidity discount | 25.00% | 25.00% |
Comparable return | (8.50%) | 7.90% |
Finance [Member] | Weighted Average [Member] | Profitability Analysis [Member] | Significant unobservable inputs (Level 3) [Member] | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Projected Return On Equity | 11.00% | 14.00% |
Communications [Member] | Weighted market comparables [Member] | Significant unobservable inputs (Level 3) [Member] | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Equities | $ 2,037 | $ 1,985 |
Communications [Member] | Minimum [Member] | Weighted market comparables [Member] | Significant unobservable inputs (Level 3) [Member] | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Adjusted earnings multiple | 9.4 | 9.4 |
Comparable return | 2.60% | 0.00% |
Communications [Member] | Maximum [Member] | Weighted market comparables [Member] | Significant unobservable inputs (Level 3) [Member] | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Adjusted earnings multiple | 9.4 | 9.4 |
Comparable return | 2.60% | 0.00% |
Communications [Member] | Weighted Average [Member] | Weighted market comparables [Member] | Significant unobservable inputs (Level 3) [Member] | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Adjusted earnings multiple | 9.4 | 9.4 |
Comparable return | 2.60% | 0.00% |
Technology [Member] | Weighted market comparables [Member] | Significant unobservable inputs (Level 3) [Member] | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Equities | $ 6,984 | $ 8,207 |
Technology [Member] | Minimum [Member] | Weighted market comparables [Member] | Significant unobservable inputs (Level 3) [Member] | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Adjusted earnings multiple | 6.7 | 8.4 |
Gross revenue/fair value | 1.1 | 1.2 |
Technology [Member] | Maximum [Member] | Weighted market comparables [Member] | Significant unobservable inputs (Level 3) [Member] | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Adjusted earnings multiple | 6.7 | 8.4 |
Gross revenue/fair value | 1.1 | 1.2 |
Technology [Member] | Weighted Average [Member] | Weighted market comparables [Member] | Significant unobservable inputs (Level 3) [Member] | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Adjusted earnings multiple | 6.7 | 8.4 |
Gross revenue/fair value | 1.1 | 1.2 |
Total return swaps [Member] | Discounted cash flow [Member] | Significant unobservable inputs (Level 3) [Member] | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Other invested assets carried at fair value | $ (46) | $ (133) |
Total return swaps [Member] | Minimum [Member] | Discounted cash flow [Member] | Significant unobservable inputs (Level 3) [Member] | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Credit spreads | 3.20% | 3.00% |
Total return swaps [Member] | Maximum [Member] | Discounted cash flow [Member] | Significant unobservable inputs (Level 3) [Member] | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Credit spreads | 29.80% | 29.30% |
Total return swaps [Member] | Weighted Average [Member] | Discounted cash flow [Member] | Significant unobservable inputs (Level 3) [Member] | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Credit spreads | 16.70% | 16.50% |
Insurance-linked securities – longevity swaps | Discounted cash flow [Member] | Significant unobservable inputs (Level 3) [Member] | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Other invested assets carried at fair value | $ 9,491 | $ 9,428 |
Insurance-linked securities – longevity swaps | Minimum [Member] | Discounted cash flow [Member] | Significant unobservable inputs (Level 3) [Member] | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Credit spreads | 2.90% | 2.40% |
Insurance-linked securities – longevity swaps | Maximum [Member] | Discounted cash flow [Member] | Significant unobservable inputs (Level 3) [Member] | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Credit spreads | 2.90% | 2.40% |
Insurance-linked securities – longevity swaps | Weighted Average [Member] | Discounted cash flow [Member] | Significant unobservable inputs (Level 3) [Member] | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Credit spreads | 2.90% | 2.40% |
Notes and Loans Receivable 2 [Member] | Discounted cash flow [Member] | Significant unobservable inputs (Level 3) [Member] | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Other invested assets carried at fair value | $ 134,108 | $ 84,080 |
Notes and Loans Receivable 2 [Member] | Minimum [Member] | Discounted cash flow [Member] | Significant unobservable inputs (Level 3) [Member] | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Credit spreads | 4.40% | 6.00% |
Notes and Loans Receivable 2 [Member] | Maximum [Member] | Discounted cash flow [Member] | Significant unobservable inputs (Level 3) [Member] | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Credit spreads | 29.10% | 26.80% |
Notes and Loans Receivable 2 [Member] | Weighted Average [Member] | Discounted cash flow [Member] | Significant unobservable inputs (Level 3) [Member] | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Credit spreads | 5.50% | 7.40% |
Notes and loan receivables [Member] | Discounted cash flow [Member] | Significant unobservable inputs (Level 3) [Member] | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Other invested assets carried at fair value | $ 10,426 | $ 10,415 |
Notes and loan receivables [Member] | Minimum [Member] | Discounted cash flow [Member] | Significant unobservable inputs (Level 3) [Member] | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Credit spreads | 17.50% | 17.50% |
Gross revenue/fair value | 1 | 1.1 |
Notes and loan receivables [Member] | Maximum [Member] | Discounted cash flow [Member] | Significant unobservable inputs (Level 3) [Member] | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Credit spreads | 17.50% | 17.50% |
Gross revenue/fair value | 1.5 | 1.5 |
Notes and loan receivables [Member] | Weighted Average [Member] | Discounted cash flow [Member] | Significant unobservable inputs (Level 3) [Member] | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Credit spreads | 17.50% | 17.50% |
Gross revenue/fair value | 1.5 | 1.5 |
Notes securitization [Member] | Discounted cash flow [Member] | Significant unobservable inputs (Level 3) [Member] | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Other invested assets carried at fair value | $ 31,436 | $ 31,427 |
Notes securitization [Member] | Minimum [Member] | Discounted cash flow [Member] | Significant unobservable inputs (Level 3) [Member] | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Credit spreads | 3.00% | 2.40% |
Notes securitization [Member] | Maximum [Member] | Discounted cash flow [Member] | Significant unobservable inputs (Level 3) [Member] | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Credit spreads | 7.20% | 7.10% |
Notes securitization [Member] | Weighted Average [Member] | Discounted cash flow [Member] | Significant unobservable inputs (Level 3) [Member] | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Credit spreads | 6.90% | 6.90% |
Annuities and residuals [Member] | Discounted cash flow [Member] | Significant unobservable inputs (Level 3) [Member] | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Other invested assets carried at fair value | $ 9,116 | $ 8,436 |
Annuities and residuals [Member] | Minimum [Member] | Discounted cash flow [Member] | Significant unobservable inputs (Level 3) [Member] | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Credit spreads | 5.40% | 5.10% |
Prepayment speed | 0.00% | 0.00% |
Constant default rate | 0.30% | 0.30% |
Annuities and residuals [Member] | Maximum [Member] | Discounted cash flow [Member] | Significant unobservable inputs (Level 3) [Member] | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Credit spreads | 11.20% | 15.40% |
Prepayment speed | 15.00% | 15.00% |
Constant default rate | 17.50% | 17.50% |
Annuities and residuals [Member] | Weighted Average [Member] | Discounted cash flow [Member] | Significant unobservable inputs (Level 3) [Member] | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Credit spreads | 10.10% | 12.70% |
Prepayment speed | 1.40% | 2.10% |
Constant default rate | 3.40% | 4.40% |
Private Equity-Direct [Member] | Discounted Cash Flow And Weighted Market Comparables [Member] | Significant unobservable inputs (Level 3) [Member] | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Other invested assets carried at fair value | $ 7,978 | $ 8,792 |
Private Equity-Direct [Member] | Minimum [Member] | Discounted Cash Flow And Weighted Market Comparables [Member] | Significant unobservable inputs (Level 3) [Member] | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Net income multiple | 8.4 | 9.2 |
Tangible book value multiple | 1.9 | 1.9 |
Recoverability of intangible assets | 0 | 0 |
Private Equity-Direct [Member] | Maximum [Member] | Discounted Cash Flow And Weighted Market Comparables [Member] | Significant unobservable inputs (Level 3) [Member] | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Net income multiple | 8.4 | 9.2 |
Tangible book value multiple | 1.9 | 1.9 |
Recoverability of intangible assets | 0 | 0 |
Private Equity-Direct [Member] | Weighted Average [Member] | Discounted Cash Flow And Weighted Market Comparables [Member] | Significant unobservable inputs (Level 3) [Member] | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Net income multiple | 8.4 | 9.2 |
Tangible book value multiple | 1.9 | 1.9 |
Recoverability of intangible assets | 0 | 0 |
Private equity funds [Member] | Lag reported market value | Significant unobservable inputs (Level 3) [Member] | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Other invested assets carried at fair value | $ 31,495 | $ 29,222 |
Private equity funds [Member] | Minimum [Member] | Lag reported market value | Significant unobservable inputs (Level 3) [Member] | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Net asset value, as reported | 100.00% | 100.00% |
Market adjustments | (5.60%) | (4.90%) |
Private equity funds [Member] | Maximum [Member] | Lag reported market value | Significant unobservable inputs (Level 3) [Member] | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Net asset value, as reported | 100.00% | 100.00% |
Market adjustments | 6.40% | 5.20% |
Private equity funds [Member] | Weighted Average [Member] | Lag reported market value | Significant unobservable inputs (Level 3) [Member] | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Net asset value, as reported | 100.00% | 100.00% |
Market adjustments | 0.30% | (0.50%) |
Private Equity - Other [Member] | Discounted cash flow [Member] | Significant unobservable inputs (Level 3) [Member] | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Other invested assets carried at fair value | $ 32,426 | $ 33,284 |
Private Equity - Other [Member] | Minimum [Member] | Discounted cash flow [Member] | Significant unobservable inputs (Level 3) [Member] | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Effective Yield | 5.80% | 5.80% |
Private Equity - Other [Member] | Maximum [Member] | Discounted cash flow [Member] | Significant unobservable inputs (Level 3) [Member] | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Effective Yield | 5.80% | 5.80% |
Private Equity - Other [Member] | Weighted Average [Member] | Discounted cash flow [Member] | Significant unobservable inputs (Level 3) [Member] | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Effective Yield | 5.80% | 5.80% |
Other invested assets [Member] | Lag reported market value | Significant unobservable inputs (Level 3) [Member] | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Funds held directly managed investments carried at fair value | $ 10,292 | $ 10,146 |
Other invested assets [Member] | Minimum [Member] | Lag reported market value | Significant unobservable inputs (Level 3) [Member] | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Net asset value, as reported | 100.00% | 100.00% |
Market adjustments | (18.50%) | (16.00%) |
Other invested assets [Member] | Maximum [Member] | Lag reported market value | Significant unobservable inputs (Level 3) [Member] | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Net asset value, as reported | 100.00% | 100.00% |
Market adjustments | 0.00% | 0.00% |
Other invested assets [Member] | Weighted Average [Member] | Lag reported market value | Significant unobservable inputs (Level 3) [Member] | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Net asset value, as reported | 100.00% | 100.00% |
Market adjustments | (17.00%) | (15.00%) |
Fair Value (Details - Change in
Fair Value (Details - Change in fair value option table) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Change in unrealized gain/loss | $ 191,609 | $ 74,328 |
Fixed maturities and short term investments [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Change in unrealized gain/loss | 211,916 | 76,971 |
Equities [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Change in unrealized gain/loss | (27,483) | (7,016) |
Other invested assets [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Change in unrealized gain/loss | 2,225 | 1,833 |
Funds Held - Directly Managed investment [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Change in unrealized gain/loss | $ 4,951 | $ 2,540 |
Fair Value Fair Value (Details
Fair Value Fair Value (Details - Fair Value of Liabilities) - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 | |
Fair value of financial instrument liabilities [Line Items] | |||
Debt related to senior notes | $ 750,000 | $ 750,000 | |
Debt related to capital efficient notes | 70,989 | 70,989 | |
Senior Notes Debt [Member] | Notes Issued By Partner Re Finance A LLC [Member] | |||
Fair value of financial instrument liabilities [Line Items] | |||
Face amount of debt instrument | 250,000 | 250,000 | |
Senior Notes Debt [Member] | Notes Issued By Partner Re Finance B LLC [Member] | |||
Fair value of financial instrument liabilities [Line Items] | |||
Face amount of debt instrument | 500,000 | 500,000 | |
Capital efficient notes [Member] | Notes Issued By Partner Re Finance II Inc [Member] | |||
Fair value of financial instrument liabilities [Line Items] | |||
Face amount of debt instrument | 63,000 | 63,000 | |
Estimate of Fair Value Measurement [Member] | Significant other observable inputs (Level 2) | Senior Notes Debt [Member] | |||
Fair value of financial instrument liabilities [Line Items] | |||
Debt related to senior notes | [1] | 842,521 | 829,755 |
Estimate of Fair Value Measurement [Member] | Significant other observable inputs (Level 2) | Capital efficient notes [Member] | |||
Fair value of financial instrument liabilities [Line Items] | |||
Debt related to capital efficient notes | [2] | 64,394 | 63,265 |
Carrying value [Member] | Senior Notes Debt [Member] | |||
Fair value of financial instrument liabilities [Line Items] | |||
Debt related to senior notes | [1] | 750,000 | 750,000 |
Carrying value [Member] | Capital efficient notes [Member] | |||
Fair value of financial instrument liabilities [Line Items] | |||
Debt related to capital efficient notes | [2] | $ 63,384 | $ 63,384 |
[1] | PartnerRe Finance A LLC and PartnerRe Finance B LLC, the issuers of the Senior Notes, do not meet consolidation requirements under U.S. GAAP. Accordingly, the Company shows the related intercompany debt of $750 million in its Condensed Consolidated Balance Sheets at March 31, 2016 and December 31, 2015. | ||
[2] | PartnerRe Finance II Inc., the issuer of the CENts, does not meet consolidation requirements under U.S. GAAP. Accordingly, the Company shows the related intercompany debt of $71 million in its Condensed Consolidated Balance Sheets at March 31, 2016 and December 31, 2015. |
Derivatives (Details - Balance
Derivatives (Details - Balance Sheet) $ in Thousands, € in Millions | Mar. 31, 2016USD ($) | Mar. 31, 2016EUR (€) | Dec. 31, 2015USD ($) | |
Derivative [Line Items] | ||||
Derivative Fair Value Of Derivative Asset | [1] | $ 36,747 | $ 33,159 | |
Derivative Fair Value Of Derivative Liability | [1] | (39,808) | (47,916) | |
Fair value net | (3,061) | (14,757) | ||
Derivatives designated as hedges | ||||
Derivative [Line Items] | ||||
Derivative Fair Value Of Derivative Asset | 1,058 | 0 | ||
Derivative Fair Value Of Derivative Liability | 0 | (9,305) | ||
Fair value net | 1,058 | (9,305) | ||
Derivatives not designated as hedges | ||||
Derivative [Line Items] | ||||
Derivative Fair Value Of Derivative Asset | 35,689 | 33,159 | ||
Derivative Fair Value Of Derivative Liability | (39,808) | (38,611) | ||
Fair value net | (4,119) | (5,452) | ||
Foreign exchange forward contracts [Member] | Derivatives designated as hedges | ||||
Derivative [Line Items] | ||||
Derivative Fair Value Of Derivative Asset | 1,058 | 0 | ||
Derivative Fair Value Of Derivative Liability | 0 | (9,305) | ||
Net notional exposure | 394,807 | 392,523 | ||
Fair value net | 1,058 | (9,305) | ||
Foreign exchange forward contracts [Member] | Derivatives not designated as hedges | ||||
Derivative [Line Items] | ||||
Derivative Fair Value Of Derivative Asset | 14,061 | 15,311 | ||
Derivative Fair Value Of Derivative Liability | (4,258) | (5,804) | ||
Net notional exposure | 1,632,863 | 1,708,285 | ||
Fair value net | 9,803 | 9,507 | ||
Foreign currency option contracts [Member] | Derivatives not designated as hedges | ||||
Derivative [Line Items] | ||||
Derivative Fair Value Of Derivative Asset | 1,977 | 0 | ||
Derivative Fair Value Of Derivative Liability | 0 | 0 | ||
Net notional exposure | 90,413 | 82,148 | ||
Fair value net | 1,977 | 0 | ||
Futures contracts [Member] | Derivatives not designated as hedges | ||||
Derivative [Line Items] | ||||
Derivative Fair Value Of Derivative Asset | 5,588 | 5,675 | ||
Derivative Fair Value Of Derivative Liability | (1,441) | (140) | ||
Net notional exposure | 3,186,204 | 3,610,658 | ||
Fair value net | 4,147 | 5,535 | ||
Insurance-linked securities [Member] | Derivatives not designated as hedges | ||||
Derivative [Line Items] | ||||
Derivative Fair Value Of Derivative Asset | [2] | 9,491 | 9,428 | |
Derivative Fair Value Of Derivative Liability | [2] | (5,830) | (3,944) | |
Net notional exposure | [2] | 140,558 | 140,320 | |
Fair value net | [2] | 3,661 | 5,484 | |
Total return swaps [Member] | Derivatives not designated as hedges | ||||
Derivative [Line Items] | ||||
Derivative Fair Value Of Derivative Asset | 2,953 | 2,745 | ||
Derivative Fair Value Of Derivative Liability | (2,999) | (2,878) | ||
Net notional exposure | 42,418 | 42,438 | ||
Fair value net | (46) | (133) | ||
Interest rate swaps [Member] | Derivatives not designated as hedges | ||||
Derivative [Line Items] | ||||
Derivative Fair Value Of Derivative Asset | [3] | 0 | 0 | |
Derivative Fair Value Of Derivative Liability | [3] | (25,280) | (24,383) | |
Net notional exposure | [3] | 196,268 | 196,804 | |
Fair value net | [3] | (25,280) | (24,383) | |
TBAs [Member] | Derivatives not designated as hedges | ||||
Derivative [Line Items] | ||||
Derivative Fair Value Of Derivative Asset | 1,619 | 0 | ||
Derivative Fair Value Of Derivative Liability | 0 | (1,462) | ||
Net notional exposure | 439,105 | 447,315 | ||
Fair value net | $ 1,619 | $ (1,462) | ||
Euro | Foreign exchange forward contracts [Member] | Derivatives designated as hedges | ||||
Derivative [Line Items] | ||||
Net notional exposure | € | € 350 | |||
[1] | Amounts include all derivative instruments, irrespective of whether there is a legally enforceable master netting arrangement in place. | |||
[2] | At March 31, 2016 and December 31, 2015, insurance-linked securities include a longevity swap for which the notional amount is not reflective of the overall potential exposure of the swap. As such, the Company has included the probable maximum loss under the swap within the net notional exposure as an approximation of the notional amount. | |||
[3] | The Company enters into interest rate swaps to mitigate notional exposures on certain total return swaps and certain fixed maturities. Only the notional value of interest rate swaps on fixed maturities is presented separately in the table. |
Derivatives (Details - Income S
Derivatives (Details - Income Statement) - Derivates not designated as hedges [Member] - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Derivative Instruments, Gain (Loss) [Line Items] | ||
Gain (loss) on derivatives recognized in income | $ (35,912) | $ (35,307) |
Included in net foreign exchange gains and losses [Member] | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Gain (loss) on derivatives recognized in income | (3,948) | (2,608) |
Included in net realized and unrealized investment gains and losses [Member] | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Gain (loss) on derivatives recognized in income | (31,964) | (32,699) |
Foreign exchange forward contracts [Member] | Included in net foreign exchange gains and losses [Member] | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Gain (loss) on derivatives recognized in income | (5,925) | (4,636) |
Foreign currency option contracts [Member] | Included in net foreign exchange gains and losses [Member] | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Gain (loss) on derivatives recognized in income | 1,977 | 2,028 |
Futures contracts [Member] | Included in net realized and unrealized investment gains and losses [Member] | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Gain (loss) on derivatives recognized in income | (41,674) | (34,539) |
Insurance-linked securities [Member] | Included in net realized and unrealized investment gains and losses [Member] | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Gain (loss) on derivatives recognized in income | (405) | 2 |
Total return swaps [Member] | Included in net realized and unrealized investment gains and losses [Member] | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Gain (loss) on derivatives recognized in income | 86 | 465 |
Interest rate swaps [Member] | Included in net realized and unrealized investment gains and losses [Member] | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Gain (loss) on derivatives recognized in income | (897) | (4,791) |
TBAs [Member] | Included in net realized and unrealized investment gains and losses [Member] | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Gain (loss) on derivatives recognized in income | 10,926 | 3,671 |
Other Contract [Member] | Included in net realized and unrealized investment gains and losses [Member] | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Gain (loss) on derivatives recognized in income | $ 0 | $ 2,493 |
Offsetting (Details)
Offsetting (Details) - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 | |
Offsetting [Abstract] | |||
Gross amounts of recognized, asset | [1] | $ 36,747 | $ 33,159 |
Gross amount offset in the balance sheet | 0 | 0 | |
Net amounts of asset/ liabilities presented in the balance sheet, asset | 36,747 | 33,159 | |
Gross amounts not offset in the balance sheet, financial instruments, asset | (2,405) | (1,037) | |
Gross amounts not offset in the balance sheet, cash collateral received/ pledged | (12,335) | (10,222) | |
Net amount, asset | 22,007 | 21,900 | |
Gross amounts of recognized, liability | [1] | (39,808) | (47,916) |
Gross amount offset in the balance sheet | 0 | 0 | |
Net amounts presented in the balance sheet, liability | (39,808) | (47,916) | |
Gross amounts not offset in the balance sheet, financial instruments, liability | 2,405 | 1,037 | |
Gross amounts not offset in the balance sheet, cash collateral received | 7,076 | 25,904 | |
Net amount, liability | $ (30,327) | $ (20,975) | |
[1] | Amounts include all derivative instruments, irrespective of whether there is a legally enforceable master netting arrangement in place. |
Share-based awards (Details)
Share-based awards (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Settlement of share-based awards upon change in control | $ 75,311 | $ 0 |
Share-based Compensation Expense | $ 36,200 | |
Outstanding at January 1, 2016 | 267,918 | |
Exercised prior to March 18, 2016 | 15,997 | |
Settled in cash by the Company upon change in control | (251,921) | |
Outstanding at March 31, 2016 | 0 | |
Stock Appreciation Rights (SSARs) | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Outstanding at January 1, 2016 | 991,724 | |
Exercised prior to March 18, 2016 | (12,294) | |
Awards settled upon change in control | (979,430) | |
Outstanding at March 31, 2016 | 0 | |
Share Options and SSARs | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Settlement of share-based awards upon change in control | $ 75,300 | |
RSUAndPSU | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Outstanding at January 1, 2016 | 861,608 | |
Awards settled upon change in control | (667,511) | |
Performance based adjustment | 76,889 | |
Vested prior to March 18, 2016 | (270,986) | |
Outstanding at March 31, 2016 | 0 | |
Warrants | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Exercised prior to March 18, 2016 | 371 | |
Settled in cash by the Company upon change in control | 186 | |
Outstanding at March 31, 2016 | 0 |
Commitments and Contingencies (
Commitments and Contingencies (Details - Other Details) $ in Millions | 9 Months Ended |
Dec. 31, 2016USD ($) | |
Forecast [Member] | |
Other commitments [Line Items] | |
Other Expenses Expected To Be Incurred | $ 10 |
Segment Information (Details)
Segment Information (Details) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2016 | Mar. 31, 2015 | ||
Segment Reporting [Line Items] | |||
Gross premiums written | $ 1,629,009 | $ 1,748,933 | |
Net premiums written | 1,500,718 | 1,653,215 | |
(Increase) decrease in unearned premiums | (359,002) | (418,493) | |
Net premiums earned | 1,141,716 | 1,234,722 | |
Losses and loss expenses and life policy benefits | (714,000) | (721,000) | |
Acquisition costs | (282,974) | (275,791) | |
Technical result | 145,000 | 238,000 | |
Other income | 4,840 | 4,292 | |
Other expenses | (152,674) | (124,750) | |
Underwriting result | (3,000) | 117,000 | |
Net investment income | 102,987 | 104,631 | |
Net realized and unrealized investment gains | 167,193 | 115,645 | |
Interest expense | (12,259) | (12,245) | |
Amortization of intangible assets | (6,588) | (6,768) | |
Net foreign exchange gains | 2,074 | 13,147 | |
Income tax expense | (30,954) | (79,665) | |
Interest in losses of equity method investments | (3,467) | (3,838) | |
Net income | 215,626 | 248,099 | |
Non Life [Member] | |||
Segment Reporting [Line Items] | |||
Gross premiums written | 1,336,000 | 1,425,000 | |
Net premiums written | 1,224,000 | 1,340,000 | |
(Increase) decrease in unearned premiums | (352,000) | (404,000) | |
Net premiums earned | 872,000 | 936,000 | |
Losses and loss expenses and life policy benefits | (509,000) | (481,000) | |
Acquisition costs | (245,000) | (242,000) | |
Technical result | 118,000 | 213,000 | |
Other income | 2,000 | 0 | |
Other expenses | (68,000) | (52,000) | |
Underwriting result | $ 52,000 | $ 161,000 | |
Reinsurance Ratios [Abstract] | |||
Loss Ratio | [1] | 58.50% | 51.40% |
Acquisition ratio | [2] | 28.00% | 25.90% |
Technical ratio | [3] | 86.50% | 77.30% |
Other expense Ratio | [4] | 7.80% | 5.50% |
Combined Ratio | [5] | 94.30% | 82.80% |
Non Life [Member] | North America Segment [Member] | |||
Segment Reporting [Line Items] | |||
Gross premiums written | $ 494,000 | $ 473,000 | |
Net premiums written | 481,000 | 471,000 | |
(Increase) decrease in unearned premiums | (129,000) | (132,000) | |
Net premiums earned | 352,000 | 339,000 | |
Losses and loss expenses and life policy benefits | (199,000) | (172,000) | |
Acquisition costs | (107,000) | (93,000) | |
Technical result | $ 46,000 | $ 74,000 | |
Reinsurance Ratios [Abstract] | |||
Loss Ratio | [1] | 56.50% | 50.70% |
Acquisition ratio | [2] | 30.40% | 27.50% |
Technical ratio | [3] | 86.90% | 78.20% |
Non Life [Member] | Global (Non-US) P&C [Member] | |||
Segment Reporting [Line Items] | |||
Gross premiums written | $ 274,000 | $ 334,000 | |
Net premiums written | 269,000 | 331,000 | |
(Increase) decrease in unearned premiums | (119,000) | (157,000) | |
Net premiums earned | 150,000 | 174,000 | |
Losses and loss expenses and life policy benefits | (123,000) | (119,000) | |
Acquisition costs | (47,000) | (52,000) | |
Technical result | $ (20,000) | $ 3,000 | |
Reinsurance Ratios [Abstract] | |||
Loss Ratio | [1] | 82.10% | 68.40% |
Acquisition ratio | [2] | 31.10% | 30.10% |
Technical ratio | [3] | 113.20% | 98.50% |
Non Life [Member] | Global Specialty [Member] | |||
Segment Reporting [Line Items] | |||
Gross premiums written | $ 398,000 | $ 427,000 | |
Net premiums written | 333,000 | 362,000 | |
(Increase) decrease in unearned premiums | (11,000) | 3,000 | |
Net premiums earned | 322,000 | 365,000 | |
Losses and loss expenses and life policy benefits | (184,000) | (170,000) | |
Acquisition costs | (90,000) | (93,000) | |
Technical result | $ 48,000 | $ 102,000 | |
Reinsurance Ratios [Abstract] | |||
Loss Ratio | [1] | 57.20% | 46.70% |
Acquisition ratio | [2] | 27.80% | 25.40% |
Technical ratio | [3] | 85.00% | 72.10% |
Non Life [Member] | Catastrophe Segment [Member] | |||
Segment Reporting [Line Items] | |||
Gross premiums written | $ 170,000 | $ 191,000 | |
Net premiums written | 141,000 | 176,000 | |
(Increase) decrease in unearned premiums | (93,000) | (118,000) | |
Net premiums earned | 48,000 | 58,000 | |
Losses and loss expenses and life policy benefits | (3,000) | (20,000) | |
Acquisition costs | (1,000) | (4,000) | |
Technical result | $ 44,000 | $ 34,000 | |
Reinsurance Ratios [Abstract] | |||
Loss Ratio | [1] | 7.20% | 33.70% |
Acquisition ratio | [2] | 3.10% | 7.00% |
Technical ratio | [3] | 10.30% | 40.70% |
Life and Health [Member] | |||
Segment Reporting [Line Items] | |||
Gross premiums written | $ 293,000 | $ 324,000 | |
Net premiums written | 277,000 | 313,000 | |
(Increase) decrease in unearned premiums | (7,000) | (14,000) | |
Net premiums earned | 270,000 | 299,000 | |
Losses and loss expenses and life policy benefits | (205,000) | (240,000) | |
Acquisition costs | (38,000) | (34,000) | |
Technical result | 27,000 | 25,000 | |
Other income | 2,000 | 1,000 | |
Other expenses | (18,000) | (15,000) | |
Underwriting result | 11,000 | 11,000 | |
Net investment income | 13,000 | 14,000 | |
Allocated underwriting result | [6] | 24,000 | 25,000 |
Corporate and Other [Member] | |||
Segment Reporting [Line Items] | |||
Gross premiums written | 0 | 0 | |
Net premiums written | 0 | 0 | |
(Increase) decrease in unearned premiums | 0 | 0 | |
Net premiums earned | 0 | 0 | |
Losses and loss expenses and life policy benefits | 0 | 0 | |
Acquisition costs | 0 | 0 | |
Technical result | 0 | 0 | |
Other income | 1,000 | 3,000 | |
Other expenses | (67,000) | (58,000) | |
Net investment income | 90,000 | 91,000 | |
Net realized and unrealized investment gains | 167,000 | 116,000 | |
Interest expense | (12,000) | (12,000) | |
Amortization of intangible assets | (7,000) | (7,000) | |
Net foreign exchange gains | 2,000 | 13,000 | |
Income tax expense | (31,000) | (80,000) | |
Interest in losses of equity method investments | $ (3,000) | $ (4,000) | |
[1] | Loss ratio is obtained by dividing losses and loss expenses by net premiums earned. | ||
[2] | Acquisition ratio is obtained by dividing acquisition costs by net premiums earned. | ||
[3] | Technical ratio is defined as the sum of the loss ratio and the acquisition ratio. | ||
[4] | Other expense ratio is obtained by dividing other expenses by net premiums earned. | ||
[5] | Combined ratio is defined as the sum of the technical ratio and the other expense ratio. | ||
[6] | Allocated underwriting result is defined as net premiums earned, other income or loss and allocated net investment income less life policy benefits, acquisition costs and other expenses. |
Other Expenses Details (Details
Other Expenses Details (Details) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Other Expenses [Abstract] | ||
OtherTransactionCosts | $ 66 | $ 31 |
Subsequent Events Subsequent ev
Subsequent Events Subsequent events (Details) - Subsequent Event [Member] - USD ($) $ in Millions | 1 Months Ended | 2 Months Ended | 3 Months Ended | 57 Months Ended |
Apr. 29, 2016 | Jun. 30, 2016 | Jun. 30, 2016 | Dec. 31, 2020 | |
Subsequent Event [Line Items] | ||||
Restriction On Common Dividends | 67.00% | |||
Assets Purchased From Related Parties | $ 729 | $ 10 | ||
Percentage Of Shareholding Acquired | 36.00% |