![](/cdn/assets/images/search/clock.png)
We could not find any results for:
Make sure your spelling is correct or try broadening your search.
Name | Symbol | Market | Type |
---|---|---|---|
Watford Holdings Ltd | NASDAQ:WTREP | NASDAQ | Preference Share |
Price Change | % Change | Price | Bid Price | Offer Price | High Price | Low Price | Open Price | Traded | Last Trade | |
---|---|---|---|---|---|---|---|---|---|---|
0.00 | 0.00% | 25.09 | 25.06 | 25.14 | 0 | 01:00:00 |
|
|
|
Bermuda
(State or other jurisdiction
of incorporation or organization) |
98-1155442
(I.R.S. Employer Identification Number)
|
Waterloo House, 1st Floor
100 Pitts Bay Road, Pembroke HM 08, Bermuda
(Address of principal executive offices)
|
(441) 278-3455
(Registrant’s telephone number, including area code)
|
|
Large accelerated filer ☐
|
Accelerated filer ☐
|
Non-accelerated filer ☒
|
Smaller reporting company ☐
|
Emerging growth company ☒
|
Title of each class
|
|
Trading Symbol(s)
|
|
Name of each exchange on which registered
|
Common Shares
|
|
WTRE
|
|
Nasdaq Global Select Market
|
8½% Cumulative Redeemable Preference Shares
|
|
WTREP
|
|
Nasdaq Global Select Market
|
|
Watford Holdings Ltd.
|
|
|
Index to Form 10-Q
|
|
|
|
Page
|
Part I.
|
||
Item 1.
|
||
Item 2.
|
||
Item 3.
|
||
Item 4.
|
||
|
|
|
Part II.
|
||
Item 1.
|
||
Item 1A.
|
||
Item 2.
|
||
Item 3.
|
||
Item 4.
|
||
Item 5.
|
||
Item 6.
|
||
|
•
|
“ACGL” refers to Arch Capital Group Ltd. and its controlled subsidiaries;
|
•
|
“Arch” refers to any one or more of the following direct or indirect subsidiaries of ACGL, as applicable in the context in which such term appears:
|
•
|
Arch Investment Management Ltd., or AIM, which manages the majority of our investment grade portfolio;
|
•
|
Arch Reinsurance Company, or ARC, which is a party to certain quota share agreements with one or more of our operating subsidiaries and a services agreement with Watford Holdings (U.S.) Inc.;
|
•
|
Arch Reinsurance Ltd., or ARL, which is a party to certain quota share agreements with one or more of our operating subsidiaries and owned approximately 12.6% of our outstanding common shares as of March 31, 2020;
|
•
|
Arch Underwriters Inc., or AUI, which manages the underwriting business of our U.S. operating subsidiaries;
|
•
|
Arch Underwriters Ltd., or AUL, which manages the underwriting business of our non-U.S. operating subsidiaries, including Watford Re;
|
•
|
“HPS” refers to HPS Investment Partners, LLC (formerly known as Highbridge Principal Strategies, LLC), which manages our non-investment grade portfolio, as well as accounts in our investment grade portfolio;
|
•
|
our “Investment Managers” refers to AIM, HPS or any other investment managers that manage our investment grade portfolio or our non-investment grade portfolio from time to time;
|
•
|
“Watford,” “we,” “us” and “our” refers to Watford Holdings Ltd. and its subsidiaries;
|
•
|
“Watford Holdings” refers to our company, Watford Holdings Ltd., a Bermuda exempted company;
|
•
|
“Watford Re” refers to Watford Re Ltd., a Bermuda domiciled insurance company and a wholly-owned subsidiary of our company;
|
•
|
“Watford Trust” refers to Watford Asset Trust I, a statutory trust organized under the laws of the State of Delaware;
|
•
|
“WIC” refers to Watford Insurance Company, a New Jersey domiciled insurance company and a wholly-owned subsidiary of our company;
|
•
|
“WICE” refers to Watford Insurance Company Europe Limited, a Gibraltar domiciled insurance company and a wholly-owned subsidiary of our company; and
|
•
|
“WSIC” refers to Watford Specialty Insurance Company, a New Jersey domiciled insurance company and a wholly-owned subsidiary of our company.
|
•
|
our limited operating history;
|
•
|
fluctuations in the results of our operations;
|
•
|
our ability to compete successfully with more established competitors;
|
•
|
our losses exceeding our reserves;
|
•
|
downgrades, potential downgrades or other negative actions by rating agencies, including the recent announcements by A.M. Best Company, or A.M. Best, that it has placed under review with negative implications our financial strength and credit ratings and Kroll Bond Rating Agency, or KBRA, that it has placed on watch our financial strength and credit ratings;
|
•
|
our dependence on key executives and inability to attract qualified personnel, or the potential loss of suitably qualified personnel as a result of Bermuda employment and immigration restrictions;
|
•
|
our dependence on letter of credit facilities and borrowing facilities that may not be available on commercially acceptable terms;
|
•
|
our potential inability to pay dividends or distributions;
|
•
|
our potential need for additional capital in the future and the potential unavailability of such capital to us on favorable terms or at all;
|
•
|
our dependence on clients’ evaluations of risks associated with such clients’ insurance underwriting;
|
•
|
the suspension or revocation of our subsidiaries’ insurance licenses;
|
•
|
Watford Holdings potentially being deemed an investment company under U.S. federal securities law;
|
•
|
the potential characterization of us and/or any of our subsidiaries as a passive foreign investment company, or PFIC;
|
•
|
our dependence on Arch for services critical to our underwriting operations;
|
•
|
changes to our strategic relationship with Arch or the termination by Arch of any of our services agreements or quota share agreements;
|
•
|
our dependence on HPS and AIM to implement our investment strategy;
|
•
|
the termination by HPS or AIM of any of our investment management agreements;
|
•
|
risks associated with our investment strategy being greater than those faced by competitors;
|
•
|
changes in the regulatory environment;
|
•
|
our potentially becoming subject to U.S. federal income taxation;
|
•
|
our potentially becoming subject to U.S. withholding and information reporting requirements under the U.S. Foreign Account Tax Compliance Act, or FATCA, provisions;
|
•
|
our ability to complete acquisitions and integrate businesses successfully;
|
•
|
adverse general economic and market conditions, including those caused by pandemics, including the current global pandemic related to the novel coronavirus, or COVID-19, and government actions in response thereto; and
|
•
|
the other matters set forth under Item 1A “Risk factors,” Item 7 “Management’s discussion and analysis of financial condition and results of operations,” and other sections of the Company’s Annual Report on Form 10-K for the year ended December 31, 2019, Part II Item 1A “Risk factors” and Part I Item 2 “Management’s discussion and analysis of financial condition and results of operations” of this Form 10-Q as well as the other factors set forth in the Company’s other documents on file with the SEC, and management’s response to any of the aforementioned factors.
|
|
(Unaudited)
|
|
|
||||
|
March 31,
|
|
December 31,
|
||||
|
2020
|
|
2019
|
||||
Assets
|
|
|
|
||||
Investments:
|
|
|
|
||||
Term loans, fair value option (Amortized cost: $1,113,510 and $1,113,212)
|
$
|
906,999
|
|
|
$
|
1,061,934
|
|
Fixed maturities, fair value option (Amortized cost: $504,750 and $432,576)
|
392,452
|
|
|
416,594
|
|
||
Short-term investments, fair value option (Cost: $348,059 and $325,542)
|
343,861
|
|
|
329,303
|
|
||
Equity securities, fair value option
|
58,091
|
|
|
59,799
|
|
||
Other investments, fair value option (1)
|
30,682
|
|
|
30,461
|
|
||
Investments, fair value option
|
1,732,085
|
|
|
1,898,091
|
|
||
Fixed maturities, available for sale (Amortized cost: $749,835 and $739,456)
|
717,552
|
|
|
745,708
|
|
||
Equity securities, fair value through net income
|
63,169
|
|
|
65,338
|
|
||
Total investments (1)
|
2,512,806
|
|
|
2,709,137
|
|
||
Cash and cash equivalents
|
96,580
|
|
|
102,437
|
|
||
Accrued investment income
|
16,344
|
|
|
14,025
|
|
||
Premiums receivable (1)
|
281,541
|
|
|
273,657
|
|
||
Reinsurance recoverable on unpaid and paid losses and loss adjustment expenses (1)
|
197,458
|
|
|
170,974
|
|
||
Prepaid reinsurance premiums (1)
|
128,570
|
|
|
132,577
|
|
||
Deferred acquisition costs, net (1)
|
71,402
|
|
|
64,044
|
|
||
Receivable for securities sold
|
26,789
|
|
|
16,288
|
|
||
Intangible assets
|
7,650
|
|
|
7,650
|
|
||
Funds held by reinsurers (1)
|
40,520
|
|
|
42,505
|
|
||
Other assets
|
27,287
|
|
|
17,562
|
|
||
Total assets
|
$
|
3,406,947
|
|
|
$
|
3,550,856
|
|
Liabilities
|
|
|
|
||||
Reserve for losses and loss adjustment expenses (1)
|
$
|
1,300,249
|
|
|
$
|
1,263,628
|
|
Unearned premiums (1)
|
478,663
|
|
|
438,907
|
|
||
Losses payable (1)
|
46,424
|
|
|
61,314
|
|
||
Reinsurance balances payable (1)
|
71,204
|
|
|
77,066
|
|
||
Payable for securities purchased
|
63,829
|
|
|
18,180
|
|
||
Payable for securities sold short
|
30,076
|
|
|
66,257
|
|
||
Revolving credit agreement borrowings
|
576,486
|
|
|
484,287
|
|
||
Senior notes (1)
|
172,486
|
|
|
172,418
|
|
||
Amounts due to affiliates (1)
|
4,168
|
|
|
4,467
|
|
||
Investment management and performance fees payable (1)
|
5,428
|
|
|
17,762
|
|
||
Other liabilities (1)
|
41,552
|
|
|
21,912
|
|
||
Total liabilities
|
$
|
2,790,565
|
|
|
$
|
2,626,198
|
|
Commitments and contingencies
|
|
|
|
||||
Contingently redeemable preference shares (1)
|
52,328
|
|
|
52,305
|
|
||
Shareholders’ equity
|
|
|
|
||||
Common shares ($0.01 par; shares authorized: 120 million; shares issued: 22,703,170 and 22,692,300)
|
227
|
|
|
227
|
|
||
Additional paid-in capital
|
898,693
|
|
|
898,083
|
|
||
Retained earnings (deficit)
|
(224,737
|
)
|
|
43,470
|
|
||
Accumulated other comprehensive income (loss)
|
(32,206
|
)
|
|
5,629
|
|
||
Common shares held in treasury, at cost (shares: 2,917,149 and 2,789,405)
|
(77,923
|
)
|
|
(75,056
|
)
|
||
Total shareholders’ equity
|
564,054
|
|
|
872,353
|
|
||
Total liabilities, contingently redeemable preference shares and shareholders’ equity
|
$
|
3,406,947
|
|
|
$
|
3,550,856
|
|
|
(Unaudited)
|
||||||
|
Three Months Ended March 31,
|
||||||
|
2020
|
|
2019
|
||||
Revenues
|
|
|
|
||||
Gross premiums written (1)
|
$
|
234,902
|
|
|
$
|
186,689
|
|
Gross premiums ceded (1)
|
(48,202
|
)
|
|
(41,302
|
)
|
||
Net premiums written
|
186,700
|
|
|
145,387
|
|
||
Change in unearned premiums (1)
|
(46,661
|
)
|
|
707
|
|
||
Net premiums earned (1)
|
140,039
|
|
|
146,094
|
|
||
Other underwriting income (loss)
|
133
|
|
|
592
|
|
||
Interest income
|
37,824
|
|
|
43,141
|
|
||
Investment management fees - related parties (1)
|
(4,352
|
)
|
|
(4,409
|
)
|
||
Borrowing and miscellaneous other investment expenses
|
(5,669
|
)
|
|
(8,298
|
)
|
||
Net interest income
|
27,803
|
|
|
30,434
|
|
||
Realized and unrealized gains (losses) on investments
|
(290,502
|
)
|
|
33,720
|
|
||
Investment performance fees - related parties (1)
|
—
|
|
|
(5,800
|
)
|
||
Net investment income (loss)
|
(262,699
|
)
|
|
58,354
|
|
||
Total revenues
|
(122,527
|
)
|
|
205,040
|
|
||
|
|
|
|
||||
Expenses
|
|
|
|
||||
Loss and loss adjustment expenses (1)
|
(110,676
|
)
|
|
(110,850
|
)
|
||
Acquisition expenses (1)
|
(28,367
|
)
|
|
(33,974
|
)
|
||
General and administrative expenses (1)
|
(7,139
|
)
|
|
(7,240
|
)
|
||
Interest expense (1)
|
(2,912
|
)
|
|
—
|
|
||
Net foreign exchange gains (losses)
|
5,013
|
|
|
(437
|
)
|
||
Total expenses
|
(144,081
|
)
|
|
(152,501
|
)
|
||
Income (loss) before income taxes
|
(266,608
|
)
|
|
52,539
|
|
||
Income tax expense
|
—
|
|
|
—
|
|
||
Net income (loss) before preference dividends
|
(266,608
|
)
|
|
52,539
|
|
||
Preference dividends (1)
|
(1,171
|
)
|
|
(4,907
|
)
|
||
Net income (loss) available to common shareholders
|
$
|
(267,779
|
)
|
|
$
|
47,632
|
|
|
|
|
|
||||
Earnings (loss) per common share:
|
|
|
|
||||
Basic and diluted
|
$
|
(13.42
|
)
|
|
$
|
2.10
|
|
Weighted average number of common shares used in the determination of earnings (loss) per share:
|
|
|
|
||||
Basic and diluted
|
19,951,932
|
|
|
22,682,875
|
|
|
(Unaudited)
|
||||||
|
Three Months Ended March 31,
|
||||||
|
2020
|
|
2019
|
||||
Comprehensive income (loss)
|
|
|
|
||||
Net income (loss) available to common shareholders
|
$
|
(267,779
|
)
|
|
$
|
47,632
|
|
Other comprehensive income (loss) net of income tax:
|
|
|
|
||||
Available for sale investments:
|
|
|
|
||||
Unrealized holding gains (losses) arising during the year
|
(28,431
|
)
|
|
3,915
|
|
||
Unrealized foreign currency gains (losses) arising during the year
|
(7,699
|
)
|
|
1,130
|
|
||
Credit loss recognized in net income (loss)
|
563
|
|
|
—
|
|
||
Reclassification of net realized (gains) losses, net of income taxes, included in net income (loss)
|
(2,405
|
)
|
|
(229
|
)
|
||
Unrealized holding gains (losses) of available for sale investments
|
(37,972
|
)
|
|
4,816
|
|
||
Foreign currency translation adjustments
|
137
|
|
|
(165
|
)
|
||
Other comprehensive income (loss) net of income tax
|
(37,835
|
)
|
|
4,651
|
|
||
Comprehensive income (loss)
|
$
|
(305,614
|
)
|
|
$
|
52,283
|
|
|
(Unaudited)
|
||||||
|
Three Months Ended March 31,
|
||||||
|
2020
|
|
2019
|
||||
Common shares
|
|
|
|
||||
Balance at beginning of period
|
$
|
227
|
|
|
$
|
227
|
|
Common shares issued
|
—
|
|
|
—
|
|
||
Balance at end of period
|
227
|
|
|
227
|
|
||
|
|
|
|
||||
Additional paid-in capital
|
|
|
|
||||
Balance at beginning of period
|
898,083
|
|
|
895,386
|
|
||
Common shares issued under share plans
|
250
|
|
|
—
|
|
||
Share-based compensation
|
360
|
|
|
—
|
|
||
Balance at end of period
|
898,693
|
|
|
895,386
|
|
||
|
|
|
|
||||
Accumulated other comprehensive income (loss)
|
|
|
|
||||
Balance at beginning of period
|
5,629
|
|
|
(4,730
|
)
|
||
Unrealized holding gains (losses) of available for sale investments:
|
|
|
|
||||
Balance at beginning of period
|
6,252
|
|
|
(4,158
|
)
|
||
Unrealized holding gains (losses) of available for sale investments, net of reclassification adjustments
|
(37,972
|
)
|
|
4,816
|
|
||
Balance at end of period
|
(31,720
|
)
|
|
658
|
|
||
Currency translation adjustment:
|
|
|
|
||||
Balance at beginning of period
|
(623
|
)
|
|
(572
|
)
|
||
Currency translation adjustment
|
137
|
|
|
(165
|
)
|
||
Balance at end of period
|
(486
|
)
|
|
(737
|
)
|
||
Balance at end of period
|
(32,206
|
)
|
|
(79
|
)
|
||
|
|
|
|
||||
Common shares held in treasury, at cost
|
|
|
|
||||
Balance at beginning of period
|
(75,056
|
)
|
|
—
|
|
||
Shares repurchased for treasury
|
(2,867
|
)
|
|
—
|
|
||
Balance at end of period
|
(77,923
|
)
|
|
—
|
|
||
|
|
|
|
||||
Retained earnings (deficit)
|
|
|
|
||||
Balance at beginning of period
|
43,470
|
|
|
(1,275
|
)
|
||
Cumulative effect of adoption of updated accounting guidance for credit losses at January 1, 2020
|
(428
|
)
|
|
—
|
|
||
Net income (loss) before preference dividends
|
(266,608
|
)
|
|
52,539
|
|
||
Preference share dividends paid and accrued
|
(1,171
|
)
|
|
(4,907
|
)
|
||
Balance at end of period
|
(224,737
|
)
|
|
46,357
|
|
||
Total shareholders’ equity
|
$
|
564,054
|
|
|
$
|
941,891
|
|
|
(Unaudited)
|
||||||
|
Three Months Ended March 31,
|
||||||
|
2020
|
|
2019
|
||||
Operating Activities
|
|
|
|
||||
Net income (loss) before preference dividends
|
$
|
(266,608
|
)
|
|
$
|
52,539
|
|
Adjustments to reconcile net income (loss) to net cash provided by operating activities:
|
|
|
|||||
Net realized and unrealized (gains) losses on investments
|
290,502
|
|
|
(33,720
|
)
|
||
Amortization of fixed assets
|
1
|
|
|
38
|
|
||
Share-based compensation
|
610
|
|
|
—
|
|
||
Changes in:
|
|
|
|
||||
Accrued investment income
|
(2,329
|
)
|
|
2,121
|
|
||
Premiums receivable
|
(16,272
|
)
|
|
(22,686
|
)
|
||
Reinsurance recoverable on unpaid and paid losses and loss adjustment expenses
|
(23,069
|
)
|
|
(16,703
|
)
|
||
Prepaid reinsurance premiums
|
4,007
|
|
|
(11,374
|
)
|
||
Deferred acquisition costs, net
|
(7,995
|
)
|
|
471
|
|
||
Reserve for losses and loss adjustment expenses
|
60,178
|
|
|
67,964
|
|
||
Unearned premiums
|
42,654
|
|
|
10,667
|
|
||
Reinsurance balances payable
|
(6,901
|
)
|
|
6,069
|
|
||
Funds held with reinsurers
|
(2,868
|
)
|
|
598
|
|
||
Other liabilities
|
(27,662
|
)
|
|
18,353
|
|
||
Other items
|
(19,673
|
)
|
|
(4,031
|
)
|
||
Net Cash Provided By Operating Activities
|
24,575
|
|
|
70,306
|
|
||
Investing Activities
|
|
|
|
||||
Purchase of term loans
|
(86,702
|
)
|
|
(72,168
|
)
|
||
Purchase of fixed maturity investments
|
(328,927
|
)
|
|
(306,656
|
)
|
||
Purchase of short-term investments with maturities over three months
|
(36,119
|
)
|
|
—
|
|
||
Proceeds from sale, redemptions and maturity of term loans
|
98,992
|
|
|
48,630
|
|
||
Proceeds from sales, redemptions and maturities of fixed maturity investments
|
215,719
|
|
|
303,076
|
|
||
Proceeds from sales, redemptions and maturities of short-term investments with maturities over three months
|
5,596
|
|
|
25,000
|
|
||
Net (purchases) sales of short-term investments with maturities less than three months
|
22,337
|
|
|
504
|
|
||
Purchases of equity securities
|
(6,388
|
)
|
|
(38,399
|
)
|
||
Proceeds from sales of equity securities
|
1,531
|
|
|
7,312
|
|
||
Net settlements of derivative instruments
|
2,336
|
|
|
824
|
|
||
Purchases of furniture, equipment and other assets
|
(2
|
)
|
|
—
|
|
||
Net Cash Provided by (Used For) Investing Activities
|
(111,627
|
)
|
|
(31,877
|
)
|
||
Financing Activities
|
|
|
|
||||
Dividends paid on redeemable preference shares
|
(1,148
|
)
|
|
(4,816
|
)
|
||
Repayments on borrowings
|
—
|
|
|
(100,102
|
)
|
||
Proceeds from borrowings
|
92,199
|
|
|
59,000
|
|
||
Purchases of common shares under share repurchase program
|
(2,867
|
)
|
|
—
|
|
||
Net Cash Provided By (Used For) Financing Activities
|
88,184
|
|
|
(45,918
|
)
|
||
Effects of exchange rate changes on foreign currency cash
|
(6,989
|
)
|
|
261
|
|
||
Increase (decrease) in cash
|
(5,857
|
)
|
|
(7,228
|
)
|
||
Cash and cash equivalents, beginning of period
|
102,437
|
|
|
63,529
|
|
||
Cash and cash equivalents, end of period
|
$
|
96,580
|
|
|
$
|
56,301
|
|
Supplementary information
|
|
|
|
||||
Income taxes paid
|
$
|
—
|
|
|
$
|
—
|
|
Interest paid
|
$
|
5,422
|
|
|
$
|
7,864
|
|
Non-cash exchange of investments
|
$
|
13,467
|
|
|
$
|
—
|
|
|
Three Months Ended March 31,
|
||||||
|
2020
|
|
2019
|
||||
|
($ in thousands)
|
||||||
Gross premiums written:
|
|
|
|
||||
Casualty reinsurance
|
$
|
83,818
|
|
|
$
|
75,601
|
|
Other specialty reinsurance
|
36,880
|
|
|
24,298
|
|
||
Property catastrophe reinsurance
|
9,832
|
|
|
5,992
|
|
||
Insurance programs and coinsurance
|
104,372
|
|
|
80,798
|
|
||
Total
|
$
|
234,902
|
|
|
$
|
186,689
|
|
|
|
|
|
||||
Net premiums written:
|
|
|
|
||||
Casualty reinsurance
|
$
|
83,667
|
|
|
$
|
75,065
|
|
Other specialty reinsurance
|
35,484
|
|
|
23,182
|
|
||
Property catastrophe reinsurance
|
9,832
|
|
|
5,982
|
|
||
Insurance programs and coinsurance
|
57,717
|
|
|
41,158
|
|
||
Total
|
$
|
186,700
|
|
|
$
|
145,387
|
|
|
|
|
|
||||
Net premiums earned:
|
|
|
|
||||
Casualty reinsurance
|
$
|
52,765
|
|
|
$
|
63,313
|
|
Other specialty reinsurance
|
35,364
|
|
|
44,561
|
|
||
Property catastrophe reinsurance
|
4,884
|
|
|
2,971
|
|
||
Insurance programs and coinsurance
|
47,026
|
|
|
35,249
|
|
||
Total
|
$
|
140,039
|
|
|
$
|
146,094
|
|
|
|
|
|
||||
Net premiums written by underwriting location:
|
|
|
|
||||
United States
|
$
|
36,303
|
|
|
$
|
18,402
|
|
Europe
|
21,203
|
|
|
23,258
|
|
||
Bermuda
|
129,194
|
|
|
103,727
|
|
||
Total
|
$
|
186,700
|
|
|
$
|
145,387
|
|
|
Three Months Ended March 31,
|
||||||
|
2020
|
|
2019
|
||||
|
($ in thousands)
|
||||||
Premiums written
|
|
|
|
||||
Direct
|
$
|
104,372
|
|
|
$
|
80,798
|
|
Assumed
|
130,530
|
|
|
105,891
|
|
||
Ceded
|
(48,202
|
)
|
|
(41,302
|
)
|
||
Net
|
$
|
186,700
|
|
|
$
|
145,387
|
|
Premiums earned
|
|
|
|
||||
Direct
|
$
|
88,536
|
|
|
$
|
63,517
|
|
Assumed
|
99,529
|
|
|
113,481
|
|
||
Ceded
|
(48,026
|
)
|
|
(30,904
|
)
|
||
Net
|
$
|
140,039
|
|
|
$
|
146,094
|
|
Losses and loss adjustment expenses
|
|
|
|
||||
Direct
|
$
|
88,694
|
|
|
$
|
48,404
|
|
Assumed
|
74,720
|
|
|
84,524
|
|
||
Ceded
|
(52,738
|
)
|
|
(22,078
|
)
|
||
Net
|
$
|
110,676
|
|
|
$
|
110,850
|
|
|
Three Months Ended March 31,
|
||||||
|
2020
|
|
2019
|
||||
|
($ in thousands)
|
||||||
Gross reserve for losses and loss adjustment expenses at beginning of period
|
$
|
1,263,628
|
|
|
$
|
1,032,760
|
|
Unpaid losses and loss adjustment expenses recoverable
|
165,549
|
|
|
81,267
|
|
||
Net reserve for losses and loss adjustment expenses at beginning of period
|
1,098,079
|
|
|
951,493
|
|
||
|
|
|
|
||||
Net incurred losses and loss adjustment expenses relating to losses occurring in:
|
|
|
|
||||
Current period
|
110,856
|
|
|
110,901
|
|
||
Prior years
|
(180
|
)
|
|
(51
|
)
|
||
Total net losses and loss adjustment expenses
|
110,676
|
|
|
110,850
|
|
||
|
|
|
|
||||
Foreign exchange (gains) losses
|
(26,015
|
)
|
|
4,163
|
|
||
|
|
|
|
||||
Net paid losses and loss adjustment expenses relating to losses occurring in:
|
|
|
|
||||
Current period
|
(10,585
|
)
|
|
(6,330
|
)
|
||
Prior years
|
(62,585
|
)
|
|
(54,598
|
)
|
||
Total paid losses and loss adjustment expenses
|
(73,170
|
)
|
|
(60,928
|
)
|
||
|
|
|
|
||||
Net reserve for losses and loss adjustment expenses at end of period
|
1,109,570
|
|
|
1,005,578
|
|
||
Unpaid losses and loss adjustment expenses recoverable
|
190,679
|
|
|
98,954
|
|
||
Gross reserve for losses and loss adjustment expenses at end of period
|
$
|
1,300,249
|
|
|
$
|
1,104,532
|
|
|
Premiums Receivable, Net of Allowance
|
|
Allowance for Expected Credit Losses
|
||||
|
($ in thousands)
|
||||||
Balance at beginning of period
|
$
|
273,657
|
|
|
$
|
—
|
|
Cumulative effect of adoption of updated accounting guidance for credit losses at January 1, 2020
|
|
|
156
|
|
|||
Current period change for expected credit losses
|
|
|
—
|
|
|||
Write-offs charged against the allowance
|
|
|
—
|
|
|||
Balance at end of period
|
$
|
281,541
|
|
|
$
|
156
|
|
|
Reinsurance Recoverables, Net of Allowance
|
|
Allowance for Expected Credit Losses
|
||||
|
($ in thousands)
|
||||||
Balance at beginning of period
|
$
|
170,974
|
|
|
$
|
—
|
|
Cumulative effect of adoption of updated accounting guidance for credit losses at January 1, 2020 (1)
|
|
|
297
|
|
|||
Current period change for expected credit losses
|
|
|
—
|
|
|||
Write-offs charged against the allowance
|
|
|
—
|
|
|||
Balance at end of period
|
$
|
197,458
|
|
|
$
|
297
|
|
|
Cost or Amortized Cost
|
|
Gross Unrealized Gains
|
|
Gross Unrealized Losses (1)
|
|
Fair Value
|
||||||||
|
($ in thousands)
|
||||||||||||||
March 31, 2020
|
|
|
|
|
|
|
|
||||||||
Fixed maturities:
|
|
|
|
|
|
|
|
||||||||
U.S. government and government agency bonds
|
$
|
256,191
|
|
|
$
|
8,635
|
|
|
$
|
—
|
|
|
$
|
264,826
|
|
Non-U.S. government and government agency bonds
|
151,000
|
|
|
4,040
|
|
|
(6,564
|
)
|
|
148,476
|
|
||||
Corporate bonds
|
169,735
|
|
|
2,296
|
|
|
(4,969
|
)
|
|
167,062
|
|
||||
Asset-backed securities
|
144,808
|
|
|
—
|
|
|
(31,225
|
)
|
|
113,583
|
|
||||
Mortgage-backed securities
|
26,341
|
|
|
—
|
|
|
(4,556
|
)
|
|
21,785
|
|
||||
Municipal government and government agency bonds
|
1,760
|
|
|
60
|
|
|
—
|
|
|
1,820
|
|
||||
Total investments, available for sale
|
$
|
749,835
|
|
|
$
|
15,031
|
|
|
$
|
(47,314
|
)
|
|
$
|
717,552
|
|
|
Cost or Amortized Cost
|
|
Gross Unrealized Gains
|
|
Gross Unrealized Losses
|
|
Fair Value
|
||||||||
|
($ in thousands)
|
||||||||||||||
December 31, 2019
|
|
|
|
|
|
|
|
||||||||
Fixed maturities:
|
|
|
|
|
|
|
|
||||||||
U.S. government and government agency bonds
|
$
|
282,076
|
|
|
$
|
1,708
|
|
|
$
|
(137
|
)
|
|
$
|
283,647
|
|
Corporate bonds
|
155,834
|
|
|
2,326
|
|
|
(41
|
)
|
|
158,119
|
|
||||
Asset-backed securities
|
145,555
|
|
|
614
|
|
|
(735
|
)
|
|
145,434
|
|
||||
Non-U.S. government and government agency bonds
|
129,456
|
|
|
3,530
|
|
|
(1,033
|
)
|
|
131,953
|
|
||||
Mortgage-backed securities
|
24,776
|
|
|
18
|
|
|
(44
|
)
|
|
24,750
|
|
||||
Municipal government and government agency bonds
|
1,759
|
|
|
46
|
|
|
—
|
|
|
1,805
|
|
||||
Total investments, available for sale
|
$
|
739,456
|
|
|
$
|
8,242
|
|
|
$
|
(1,990
|
)
|
|
$
|
745,708
|
|
|
Less than 12 Months
|
|
12 Months or More
|
|
Total
|
||||||||||||||||||
|
Fair Value
|
|
Gross Unrealized Losses
|
|
Fair Value
|
|
Gross Unrealized Losses
|
|
Fair Value
|
|
Gross Unrealized Losses
|
||||||||||||
March 31, 2020
|
($ in thousands)
|
||||||||||||||||||||||
Fixed maturities:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Non-U.S. government and government agency bonds
|
$
|
120,115
|
|
|
$
|
(6,564
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
120,115
|
|
|
$
|
(6,564
|
)
|
Corporate bonds
|
86,724
|
|
|
(4,969
|
)
|
|
—
|
|
|
—
|
|
|
86,724
|
|
|
(4,969
|
)
|
||||||
Asset-backed securities
|
100,514
|
|
|
(27,336
|
)
|
|
13,069
|
|
|
(3,889
|
)
|
|
113,583
|
|
|
(31,225
|
)
|
||||||
Mortgage-backed securities
|
21,784
|
|
|
(4,556
|
)
|
|
—
|
|
|
—
|
|
|
21,784
|
|
|
(4,556
|
)
|
||||||
Total
|
$
|
329,137
|
|
|
$
|
(43,425
|
)
|
|
$
|
13,069
|
|
|
$
|
(3,889
|
)
|
|
$
|
342,206
|
|
|
$
|
(47,314
|
)
|
December 31, 2019
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Fixed maturities:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
U.S. government and government agency bonds
|
$
|
36,540
|
|
|
$
|
(137
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
36,540
|
|
|
$
|
(137
|
)
|
Non-U.S. government and government agency bonds
|
51,779
|
|
|
(1,027
|
)
|
|
5,410
|
|
|
(6
|
)
|
|
57,189
|
|
|
(1,033
|
)
|
||||||
Corporate bonds
|
9,854
|
|
|
(41
|
)
|
|
—
|
|
|
—
|
|
|
9,854
|
|
|
(41
|
)
|
||||||
Asset-backed securities
|
55,194
|
|
|
(504
|
)
|
|
19,430
|
|
|
(231
|
)
|
|
74,624
|
|
|
(735
|
)
|
||||||
Mortgage-backed securities
|
14,481
|
|
|
(44
|
)
|
|
—
|
|
|
—
|
|
|
14,481
|
|
|
(44
|
)
|
||||||
Total
|
$
|
167,848
|
|
|
$
|
(1,753
|
)
|
|
$
|
24,840
|
|
|
$
|
(237
|
)
|
|
$
|
192,688
|
|
|
$
|
(1,990
|
)
|
|
March 31, 2020
|
|||||||||
|
Amortized Cost
|
|
Estimated Fair Value
|
|
% of Fair Value
|
|||||
|
($ in thousands)
|
|||||||||
Due in one year or less
|
$
|
15,055
|
|
|
$
|
14,846
|
|
|
2.1
|
%
|
Due after one year through five years
|
423,133
|
|
|
428,376
|
|
|
59.7
|
%
|
||
Due after five years through ten years
|
127,826
|
|
|
127,555
|
|
|
17.8
|
%
|
||
Due after ten years
|
12,672
|
|
|
11,407
|
|
|
1.6
|
%
|
||
Asset-backed securities
|
144,808
|
|
|
113,583
|
|
|
15.8
|
%
|
||
Mortgage-backed securities
|
26,341
|
|
|
21,785
|
|
|
3.0
|
%
|
||
Total investments, available for sale
|
$
|
749,835
|
|
|
$
|
717,552
|
|
|
100.0
|
%
|
|
December 31, 2019
|
|||||||||
|
Amortized Cost
|
|
Estimated Fair Value
|
|
% of Fair Value
|
|||||
|
($ in thousands)
|
|||||||||
Due in one year or less
|
$
|
9,235
|
|
|
$
|
9,248
|
|
|
1.3
|
%
|
Due after one year through five years
|
414,235
|
|
|
417,921
|
|
|
56.0
|
%
|
||
Due after five years through ten years
|
133,822
|
|
|
136,329
|
|
|
18.3
|
%
|
||
Due after ten years
|
11,833
|
|
|
12,026
|
|
|
1.6
|
%
|
||
Asset-backed securities
|
145,555
|
|
|
145,434
|
|
|
19.5
|
%
|
||
Mortgage-backed securities
|
24,776
|
|
|
24,750
|
|
|
3.3
|
%
|
||
Total investments, available for sale
|
$
|
739,456
|
|
|
$
|
745,708
|
|
|
100.0
|
%
|
|
Cost or Amortized Cost
|
|
Gross Unrealized Gains
|
|
Gross Unrealized Losses
|
|
Fair Value
|
||||||||
|
($ in thousands)
|
||||||||||||||
March 31, 2020
|
|
|
|
|
|
|
|
||||||||
Term loan investments
|
$
|
1,113,510
|
|
|
$
|
986
|
|
|
$
|
(207,497
|
)
|
|
$
|
906,999
|
|
Fixed maturities:
|
|
|
|
|
|
|
|
||||||||
Corporate bonds
|
296,918
|
|
|
4,038
|
|
|
(59,878
|
)
|
|
241,078
|
|
||||
U.S. government and government agency bonds
|
586
|
|
|
11
|
|
|
—
|
|
|
597
|
|
||||
Asset-backed securities
|
198,262
|
|
|
2,231
|
|
|
(59,880
|
)
|
|
140,613
|
|
||||
Mortgage-backed securities
|
7,289
|
|
|
1,649
|
|
|
(409
|
)
|
|
8,529
|
|
||||
Non-U.S. government and government agency bonds
|
1,443
|
|
|
42
|
|
|
(103
|
)
|
|
1,382
|
|
||||
Municipal government and government agency bonds
|
252
|
|
|
1
|
|
|
—
|
|
|
253
|
|
||||
Short-term investments
|
348,059
|
|
|
542
|
|
|
(4,740
|
)
|
|
343,861
|
|
||||
Other investments
|
28,673
|
|
|
2,009
|
|
|
—
|
|
|
30,682
|
|
||||
Equities
|
53,111
|
|
|
12,130
|
|
|
(7,150
|
)
|
|
58,091
|
|
||||
Investments, fair value option
|
$
|
2,048,103
|
|
|
$
|
23,639
|
|
|
$
|
(339,657
|
)
|
|
$
|
1,732,085
|
|
Fair Value Through Net Income:
|
|
|
|
|
|
|
|
||||||||
Equities, fair value through net income
|
$
|
88,134
|
|
|
$
|
1,855
|
|
|
$
|
(26,820
|
)
|
|
$
|
63,169
|
|
|
Cost or Amortized Cost
|
|
Gross Unrealized Gains
|
|
Gross Unrealized Losses
|
|
Fair Value
|
||||||||
|
($ in thousands)
|
||||||||||||||
December 31, 2019
|
|
|
|
|
|
|
|
||||||||
Term loan investments
|
$
|
1,113,212
|
|
|
$
|
7,340
|
|
|
$
|
(58,618
|
)
|
|
$
|
1,061,934
|
|
Fixed maturities:
|
|
|
|
|
|
|
|
||||||||
Corporate bonds
|
221,024
|
|
|
8,430
|
|
|
(15,100
|
)
|
|
214,354
|
|
||||
U.S. government and government agency bonds
|
1,963
|
|
|
1
|
|
|
(2
|
)
|
|
1,962
|
|
||||
Asset-backed securities
|
200,361
|
|
|
3,329
|
|
|
(12,953
|
)
|
|
190,737
|
|
||||
Mortgage-backed securities
|
7,399
|
|
|
712
|
|
|
(405
|
)
|
|
7,706
|
|
||||
Non-U.S. government and government agency bonds
|
1,449
|
|
|
18
|
|
|
(11
|
)
|
|
1,456
|
|
||||
Municipal government and government agency bonds
|
380
|
|
|
—
|
|
|
(1
|
)
|
|
379
|
|
||||
Short-term investments
|
325,542
|
|
|
3,817
|
|
|
(56
|
)
|
|
329,303
|
|
||||
Other investments
|
28,672
|
|
|
2,264
|
|
|
(475
|
)
|
|
30,461
|
|
||||
Equities
|
54,893
|
|
|
10,690
|
|
|
(5,784
|
)
|
|
59,799
|
|
||||
Investments, fair value option
|
$
|
1,954,895
|
|
|
$
|
36,601
|
|
|
$
|
(93,405
|
)
|
|
$
|
1,898,091
|
|
Fair Value Through Net Income:
|
|
|
|
|
|
|
|
||||||||
Equities, fair value through net income
|
$
|
78,031
|
|
|
$
|
2,360
|
|
|
$
|
(15,053
|
)
|
|
$
|
65,338
|
|
|
March 31, 2020
|
|||||||||
|
Amortized Cost
|
|
Estimated Fair Value
|
|
% of Fair Value
|
|||||
|
($ in thousands)
|
|||||||||
Due in one year or less
|
$
|
368,381
|
|
|
$
|
361,088
|
|
|
22.0
|
%
|
Due after one year through five years
|
809,886
|
|
|
660,746
|
|
|
40.2
|
%
|
||
Due after five years through ten years
|
582,501
|
|
|
472,336
|
|
|
28.7
|
%
|
||
Asset-backed securities
|
198,262
|
|
|
140,613
|
|
|
8.6
|
%
|
||
Mortgage-backed securities
|
7,289
|
|
|
8,529
|
|
|
0.5
|
%
|
||
Total
|
$
|
1,966,319
|
|
|
$
|
1,643,312
|
|
|
100.0
|
%
|
|
December 31, 2019
|
|||||||||
|
Amortized Cost
|
|
Estimated Fair Value
|
|
% of Fair Value
|
|||||
|
($ in thousands)
|
|||||||||
Due in one year or less
|
$
|
368,452
|
|
|
$
|
370,479
|
|
|
20.5
|
%
|
Due after one year through five years
|
779,643
|
|
|
742,960
|
|
|
41.1
|
%
|
||
Due after five years through ten years
|
514,961
|
|
|
495,416
|
|
|
27.4
|
%
|
||
Due after ten years
|
514
|
|
|
533
|
|
|
—
|
%
|
||
Asset-backed securities
|
200,361
|
|
|
190,737
|
|
|
10.6
|
%
|
||
Mortgage-backed securities
|
7,399
|
|
|
7,706
|
|
|
0.4
|
%
|
||
Total
|
$
|
1,871,330
|
|
|
$
|
1,807,831
|
|
|
100.0
|
%
|
|
Credit Rating (1)
|
||||||||||||||||||||||||||||||||||||||||||||||
March 31, 2020
|
Fair Value
|
|
AAA
|
|
AA
|
|
A
|
|
BBB
|
|
BB
|
|
B
|
|
CCC
|
|
CC
|
|
C
|
|
D
|
|
Not Rated
|
||||||||||||||||||||||||
|
($ in thousands)
|
||||||||||||||||||||||||||||||||||||||||||||||
Term loan investments
|
$
|
906,999
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
10,277
|
|
|
$
|
650,028
|
|
|
$
|
161,307
|
|
|
$
|
2,823
|
|
|
$
|
1,314
|
|
|
$
|
1,590
|
|
|
$
|
79,660
|
|
Fixed maturities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
Corporate bonds
|
408,140
|
|
|
—
|
|
|
34,647
|
|
|
76,063
|
|
|
58,018
|
|
|
19,222
|
|
|
84,955
|
|
|
118,847
|
|
|
1,872
|
|
|
—
|
|
|
3,699
|
|
|
10,817
|
|
||||||||||||
U.S. government and government agency bonds
|
265,423
|
|
|
—
|
|
|
265,423
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||||||
Asset-backed securities
|
254,196
|
|
|
1,628
|
|
|
—
|
|
|
19,319
|
|
|
181,547
|
|
|
19,727
|
|
|
7,395
|
|
|
1,418
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
23,162
|
|
||||||||||||
Mortgage-backed securities
|
30,314
|
|
|
—
|
|
|
—
|
|
|
4,600
|
|
|
17,185
|
|
|
1,190
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
2,552
|
|
|
4,787
|
|
||||||||||||
Non-U.S. government and government agency bonds
|
149,858
|
|
|
—
|
|
|
149,858
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||||||
Municipal government and government agency bonds
|
2,073
|
|
|
1,023
|
|
|
570
|
|
|
480
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||||||
Total fixed income instruments
|
2,017,003
|
|
|
2,651
|
|
|
450,498
|
|
|
100,462
|
|
|
256,750
|
|
|
50,416
|
|
|
742,378
|
|
|
281,572
|
|
|
4,695
|
|
|
1,314
|
|
|
7,841
|
|
|
118,426
|
|
||||||||||||
Short-term investments
|
343,861
|
|
|
30,174
|
|
|
154,787
|
|
|
402
|
|
|
110,795
|
|
|
—
|
|
|
40,000
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
7,703
|
|
||||||||||||
Total fixed income instruments and short-term investments
|
2,360,864
|
|
|
32,825
|
|
|
605,285
|
|
|
100,864
|
|
|
367,545
|
|
|
50,416
|
|
|
782,378
|
|
|
281,572
|
|
|
4,695
|
|
|
1,314
|
|
|
7,841
|
|
|
126,129
|
|
||||||||||||
Other Investments
|
30,682
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
Equities
|
121,260
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
Total
|
$
|
2,512,806
|
|
|
$
|
32,825
|
|
|
$
|
605,285
|
|
|
$
|
100,864
|
|
|
$
|
367,545
|
|
|
$
|
50,416
|
|
|
$
|
782,378
|
|
|
$
|
281,572
|
|
|
$
|
4,695
|
|
|
$
|
1,314
|
|
|
$
|
7,841
|
|
|
$
|
126,129
|
|
|
Credit Rating (1)
|
||||||||||||||||||||||||||||||||||||||||||||||
December 31, 2019
|
Fair Value
|
|
AAA
|
|
AA
|
|
A
|
|
BBB
|
|
BB
|
|
B
|
|
CCC
|
|
CC
|
|
C
|
|
D
|
|
Not Rated
|
||||||||||||||||||||||||
|
($ in thousands)
|
||||||||||||||||||||||||||||||||||||||||||||||
Term loan investments
|
$
|
1,061,934
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
9,617
|
|
|
$
|
761,168
|
|
|
$
|
215,909
|
|
|
$
|
6,823
|
|
|
$
|
2,119
|
|
|
$
|
—
|
|
|
$
|
66,298
|
|
Fixed maturities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
Corporate bonds
|
372,473
|
|
|
—
|
|
|
36,128
|
|
|
81,401
|
|
|
41,103
|
|
|
9,003
|
|
|
58,345
|
|
|
135,613
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
10,880
|
|
||||||||||||
U.S. government and government agency bonds
|
285,609
|
|
|
—
|
|
|
285,609
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||||||
Asset-backed securities
|
336,171
|
|
|
2,006
|
|
|
—
|
|
|
29,179
|
|
|
223,956
|
|
|
29,695
|
|
|
18,381
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
32,954
|
|
||||||||||||
Mortgage-backed securities
|
32,456
|
|
|
—
|
|
|
—
|
|
|
1,100
|
|
|
23,650
|
|
|
976
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
2,497
|
|
|
4,233
|
|
||||||||||||
Non-U.S. government and government agency bonds
|
133,409
|
|
|
—
|
|
|
132,460
|
|
|
—
|
|
|
949
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||||||
Municipal government and government agency bonds
|
2,184
|
|
|
1,135
|
|
|
573
|
|
|
476
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||||||
Total fixed income instruments
|
2,224,236
|
|
|
3,141
|
|
|
454,770
|
|
|
112,156
|
|
|
289,658
|
|
|
49,291
|
|
|
837,894
|
|
|
351,522
|
|
|
6,823
|
|
|
2,119
|
|
|
2,497
|
|
|
114,365
|
|
||||||||||||
Short-term investments
|
329,303
|
|
|
25,783
|
|
|
136,842
|
|
|
34,903
|
|
|
115,155
|
|
|
—
|
|
|
—
|
|
|
8,359
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
8,261
|
|
||||||||||||
Total fixed income instruments and short-term investments
|
2,553,539
|
|
|
28,924
|
|
|
591,612
|
|
|
147,059
|
|
|
404,813
|
|
|
49,291
|
|
|
837,894
|
|
|
359,881
|
|
|
6,823
|
|
|
2,119
|
|
|
2,497
|
|
|
122,626
|
|
||||||||||||
Other Investments
|
30,461
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
Equities
|
125,137
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
Total
|
$
|
2,709,137
|
|
|
$
|
28,924
|
|
|
$
|
591,612
|
|
|
$
|
147,059
|
|
|
$
|
404,813
|
|
|
$
|
49,291
|
|
|
$
|
837,894
|
|
|
$
|
359,881
|
|
|
$
|
6,823
|
|
|
$
|
2,119
|
|
|
$
|
2,497
|
|
|
$
|
122,626
|
|
|
Three Months Ended March 31, 2020
|
||||||||||||||
|
Net Interest Income
|
|
Net Unrealized Gains (Losses)
|
|
Net Realized Gains (Losses)
|
|
Net Investment Income (Loss)
|
||||||||
|
($ in thousands)
|
||||||||||||||
Net investment income (loss) by asset class:
|
|
|
|
|
|
|
|
||||||||
Term loan investments
|
$
|
21,018
|
|
|
$
|
(155,233
|
)
|
|
$
|
(8,145
|
)
|
|
$
|
(142,360
|
)
|
Fixed maturities - Fair value option
|
9,068
|
|
|
(89,675
|
)
|
|
(1,244
|
)
|
|
(81,851
|
)
|
||||
Fixed maturities - Available for sale (1)
|
4,660
|
|
|
—
|
|
|
2,180
|
|
|
6,840
|
|
||||
Short-term investments
|
1,850
|
|
|
(3,440
|
)
|
|
87
|
|
|
(1,503
|
)
|
||||
Equities (2)
|
—
|
|
|
76
|
|
|
1,041
|
|
|
1,117
|
|
||||
Equities, fair value through net income (2)
|
377
|
|
|
(12,275
|
)
|
|
(212
|
)
|
|
(12,110
|
)
|
||||
Other investments
|
851
|
|
|
220
|
|
|
—
|
|
|
1,071
|
|
||||
Other (3)
|
—
|
|
|
(25,129
|
)
|
|
1,247
|
|
|
(23,882
|
)
|
||||
Investment management fees - related parties
|
(4,352
|
)
|
|
—
|
|
|
—
|
|
|
(4,352
|
)
|
||||
Borrowing and miscellaneous other investment expenses
|
(5,669
|
)
|
|
—
|
|
|
—
|
|
|
(5,669
|
)
|
||||
|
$
|
27,803
|
|
|
$
|
(285,456
|
)
|
|
$
|
(5,046
|
)
|
|
$
|
(262,699
|
)
|
|
Three Months Ended March 31, 2019
|
||||||||||||||
|
Net Interest Income
|
|
Net Unrealized Gains (Losses)
|
|
Net Realized Gains (Losses)
|
|
Net Investment Income (Loss)
|
||||||||
|
($ in thousands)
|
||||||||||||||
Net investment income (loss) by asset class:
|
|
|
|
|
|
|
|
||||||||
Term loan investments
|
$
|
22,410
|
|
|
$
|
9,366
|
|
|
$
|
64
|
|
|
$
|
31,840
|
|
Fixed maturities - Fair value option
|
16,043
|
|
|
19,975
|
|
|
(749
|
)
|
|
35,269
|
|
||||
Fixed maturities - Available for sale (1)
|
3,422
|
|
|
—
|
|
|
395
|
|
|
3,817
|
|
||||
Short-term investments
|
524
|
|
|
(448
|
)
|
|
—
|
|
|
76
|
|
||||
Equities (2)
|
120
|
|
|
2,158
|
|
|
—
|
|
|
2,278
|
|
||||
Equities, fair value through net income (2)
|
622
|
|
|
(1,989
|
)
|
|
1,572
|
|
|
205
|
|
||||
Other investments
|
—
|
|
|
1,794
|
|
|
—
|
|
|
1,794
|
|
||||
Other (3)
|
—
|
|
|
1,582
|
|
|
—
|
|
|
1,582
|
|
||||
Investment management fees - related parties
|
(4,409
|
)
|
|
—
|
|
|
—
|
|
|
(4,409
|
)
|
||||
Borrowing and miscellaneous other investment expenses
|
(8,298
|
)
|
|
—
|
|
|
—
|
|
|
(8,298
|
)
|
||||
Investment performance fees - related parties
|
—
|
|
|
—
|
|
|
—
|
|
|
(5,800
|
)
|
||||
|
$
|
30,434
|
|
|
$
|
32,438
|
|
|
$
|
1,282
|
|
|
$
|
58,354
|
|
•
|
Level 1: Inputs to the valuation methodology are observable inputs that reflect quoted prices (unadjusted) for identical assets or liabilities in active markets;
|
•
|
Level 2: Inputs to the valuation methodology include quoted prices for similar assets and liabilities in active markets and inputs that are observable for the asset or liability, either directly or indirectly, for substantially the full term of the financial instrument; and
|
•
|
Level 3: Inputs to the valuation methodology are unobservable and significant to the fair value measurement.
|
|
|
|
Fair Value Measurement Using:
|
||||||||||||
March 31, 2020
|
Estimated
Fair Value
|
|
Quoted Prices in Active Markets for Identical Assets
(Level 1)
|
|
Significant Other Observable Inputs
(Level 2)
|
|
Significant Unobservable Inputs
(Level 3)
|
||||||||
|
($ in thousands)
|
||||||||||||||
Assets measured at fair value:
|
|
|
|
|
|
|
|
||||||||
Term loans
|
$
|
906,999
|
|
|
$
|
—
|
|
|
$
|
871,054
|
|
|
$
|
35,945
|
|
Fixed maturities:
|
|
|
|
|
|
|
|
||||||||
Corporate bonds
|
408,140
|
|
|
—
|
|
|
407,175
|
|
|
965
|
|
||||
U.S. government and government agency bonds
|
265,423
|
|
|
265,310
|
|
|
113
|
|
|
—
|
|
||||
Asset-backed securities
|
254,196
|
|
|
—
|
|
|
254,196
|
|
|
—
|
|
||||
Mortgage-backed securities
|
30,314
|
|
|
—
|
|
|
30,314
|
|
|
—
|
|
||||
Non-U.S. government and government agency bonds
|
149,858
|
|
|
—
|
|
|
149,858
|
|
|
—
|
|
||||
Municipal government and government agency bonds
|
2,073
|
|
|
—
|
|
|
2,073
|
|
|
—
|
|
||||
Short-term investments
|
343,861
|
|
|
296,158
|
|
|
47,703
|
|
|
—
|
|
||||
Equities
|
121,260
|
|
|
9,750
|
|
|
1,420
|
|
|
110,090
|
|
||||
Other investments measured at net asset value (1)
|
30,682
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Total assets measured at fair value
|
$
|
2,512,806
|
|
|
$
|
571,218
|
|
|
$
|
1,763,906
|
|
|
$
|
147,000
|
|
|
|
|
|
|
|
|
|
||||||||
Other underwriting derivative liabilities
|
$
|
314
|
|
|
$
|
—
|
|
|
$
|
314
|
|
|
$
|
—
|
|
Investment derivative liabilities (2)
|
23,726
|
|
|
—
|
|
|
23,726
|
|
|
—
|
|
||||
Payable for securities sold short:
|
|
|
|
|
|
|
|
||||||||
Corporate bonds
|
30,076
|
|
|
—
|
|
|
30,076
|
|
|
—
|
|
||||
Total liabilities measured at fair value
|
$
|
54,116
|
|
|
$
|
—
|
|
|
$
|
54,116
|
|
|
$
|
—
|
|
|
|
|
Fair Value Measurement Using:
|
||||||||||||
December 31, 2019
|
Estimated
Fair Value
|
|
Quoted Prices in Active Markets for Identical Assets
(Level 1)
|
|
Significant Other Observable Inputs
(Level 2)
|
|
Significant Unobservable Inputs
(Level 3)
|
||||||||
|
($ in thousands)
|
||||||||||||||
Assets measured at fair value:
|
|
|
|
|
|
|
|
||||||||
Term loans
|
$
|
1,061,934
|
|
|
$
|
—
|
|
|
$
|
1,025,886
|
|
|
$
|
36,048
|
|
Fixed maturities:
|
|
|
|
|
|
|
|
||||||||
Corporate bonds
|
372,473
|
|
|
—
|
|
|
371,540
|
|
|
933
|
|
||||
U.S. government and government agency bonds
|
285,609
|
|
|
285,500
|
|
|
109
|
|
|
—
|
|
||||
Asset-backed securities
|
336,171
|
|
|
—
|
|
|
336,171
|
|
|
—
|
|
||||
Mortgage-backed securities
|
32,456
|
|
|
—
|
|
|
32,456
|
|
|
—
|
|
||||
Non-U.S. government and government agency bonds
|
133,409
|
|
|
—
|
|
|
133,409
|
|
|
—
|
|
||||
Municipal government and government agency bonds
|
2,184
|
|
|
—
|
|
|
2,184
|
|
|
—
|
|
||||
Short-term investments
|
329,303
|
|
|
318,012
|
|
|
11,291
|
|
|
—
|
|
||||
Equities
|
125,137
|
|
|
13,548
|
|
|
2,998
|
|
|
108,591
|
|
||||
Other underwriting derivative assets
|
148
|
|
|
—
|
|
|
148
|
|
|
—
|
|
||||
Investment derivative assets (1)
|
1,667
|
|
|
—
|
|
|
1,667
|
|
|
—
|
|
||||
Other investments measured at net asset value (2)
|
30,461
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Total assets measured at fair value
|
$
|
2,710,952
|
|
|
$
|
617,060
|
|
|
$
|
1,917,859
|
|
|
$
|
145,572
|
|
|
|
|
|
|
|
|
|
||||||||
Investment derivative liabilities (1)
|
257
|
|
|
—
|
|
|
257
|
|
|
—
|
|
||||
Payable for securities sold short:
|
|
|
|
|
|
|
|
||||||||
Corporate bonds
|
66,257
|
|
|
—
|
|
|
66,257
|
|
|
—
|
|
||||
Total liabilities measured at fair value
|
$
|
66,514
|
|
|
$
|
—
|
|
|
$
|
66,514
|
|
|
$
|
—
|
|
Three Months Ended March 31, 2020
|
Beginning
Balance |
|
Net Purchases (Sales)(1)
|
|
Net Unrealized Gains (Losses)(2)
|
|
Net Unrealized Foreign Exchange Gains (Losses)
|
|
Ending
Balance |
||||||||||
Term loans
|
$
|
36,048
|
|
|
$
|
(74
|
)
|
|
$
|
(29
|
)
|
|
$
|
—
|
|
|
$
|
35,945
|
|
Corporate bonds
|
933
|
|
|
32
|
|
|
—
|
|
|
—
|
|
|
965
|
|
|||||
Equities
|
108,591
|
|
|
3,277
|
|
|
(1,778
|
)
|
|
—
|
|
|
110,090
|
|
|||||
Total
|
$
|
145,572
|
|
|
$
|
3,235
|
|
|
$
|
(1,807
|
)
|
|
$
|
—
|
|
|
$
|
147,000
|
|
Three Months Ended March 31, 2019
|
Beginning
Balance |
|
Transfers in (out) of Level 3 (3)
|
|
Net Purchases (Sales)(1)
|
|
Net Unrealized Gains (Losses)(2)
|
|
Net Unrealized Foreign Exchange Gains (Losses)
|
|
Ending
Balance |
||||||||||||
Term loans
|
$
|
47,479
|
|
|
$
|
—
|
|
|
$
|
163
|
|
|
$
|
(274
|
)
|
|
$
|
—
|
|
|
$
|
47,368
|
|
Corporate bonds
|
24,277
|
|
|
—
|
|
|
(90
|
)
|
|
(69
|
)
|
|
(399
|
)
|
|
23,719
|
|
||||||
Asset-backed securities
|
22,560
|
|
|
(22,560
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Equities
|
70,451
|
|
|
—
|
|
|
30,534
|
|
|
(334
|
)
|
|
—
|
|
|
100,651
|
|
||||||
Total
|
$
|
164,767
|
|
|
$
|
(22,560
|
)
|
|
$
|
30,607
|
|
|
$
|
(677
|
)
|
|
$
|
(399
|
)
|
|
$
|
171,738
|
|
|
Estimated Fair Value
|
|
|
||||||||||||
|
Asset Derivatives
|
|
Liability Derivatives
|
|
Net Derivatives
|
|
Notional Amount (1)
|
||||||||
|
($ in thousands)
|
||||||||||||||
March 31, 2020
|
|
|
|
|
|
|
|
||||||||
Other underwriting derivatives
|
$
|
—
|
|
|
$
|
314
|
|
|
$
|
(314
|
)
|
|
$
|
56,923
|
|
Total return swaps
|
—
|
|
|
23,726
|
|
|
(23,726
|
)
|
|
112,745
|
|
||||
Total
|
$
|
—
|
|
|
$
|
24,040
|
|
|
$
|
(24,040
|
)
|
|
$
|
169,668
|
|
|
|
|
|
|
|
|
|
||||||||
December 31, 2019
|
|
|
|
|
|
|
|
||||||||
Other underwriting derivatives
|
$
|
148
|
|
|
$
|
—
|
|
|
$
|
148
|
|
|
$
|
59,879
|
|
Total return swaps
|
1,667
|
|
|
257
|
|
|
1,410
|
|
|
162,678
|
|
||||
Total
|
$
|
1,815
|
|
|
$
|
257
|
|
|
$
|
1,558
|
|
|
$
|
222,557
|
|
|
Three Months Ended March 31,
|
||||||
|
2020
|
|
2019
|
||||
|
($ in thousands)
|
||||||
Underwriting derivatives:
|
|
|
|
||||
Other underwriting income (loss)
|
$
|
133
|
|
|
$
|
592
|
|
Investment derivatives:
|
|
|
|
||||
Net realized and unrealized gains (losses):
|
|
|
|
||||
Options
|
1,081
|
|
|
801
|
|
||
Total return swaps
|
(23,882
|
)
|
|
1,582
|
|
|
Three Months Ended March 31,
|
||||||
|
2020
|
|
2019
|
||||
|
($ in thousands except share and per share data)
|
||||||
Numerator:
|
|
|
|
||||
Net income (loss) before preference dividends
|
$
|
(266,608
|
)
|
|
$
|
52,539
|
|
Preference dividends
|
(1,171
|
)
|
|
(4,907
|
)
|
||
Net income (loss) available to common shareholders
|
(267,779
|
)
|
|
47,632
|
|
||
|
|
|
|
||||
Denominator:
|
|
|
|
||||
Weighted average common shares outstanding - basic and diluted (1)(2)
|
19,951,932
|
|
|
22,682,875
|
|
||
|
|
|
|
||||
Earnings (loss) per common share:
|
|
|
|
||||
Basic and diluted
|
$
|
(13.42
|
)
|
|
$
|
2.10
|
|
|
Three Months Ended March 31,
|
||||||
|
2020
|
|
2019
|
||||
|
($ in thousands)
|
||||||
Consolidated statement of income (loss) items:
|
|
|
|
||||
Interest expense
|
$
|
582
|
|
|
$
|
—
|
|
Preference dividends
|
78
|
|
|
325
|
|
|
Three Months Ended March 31,
|
||||||
|
2020
|
|
2019
|
||||
|
($ in thousands)
|
||||||
Consolidated statement of income (loss) items:
|
|
|
|
||||
Acquisition expenses
|
$
|
6,563
|
|
|
$
|
4,948
|
|
General and administrative expenses
|
988
|
|
|
2,011
|
|
||
Total
|
$
|
7,551
|
|
|
$
|
6,959
|
|
|
Three Months Ended March 31,
|
||||||
|
2020
|
|
2019
|
||||
|
($ in thousands)
|
||||||
Consolidated statement of income (loss) items:
|
|
|
|
||||
Gross premiums written
|
$
|
81,348
|
|
|
$
|
72,005
|
|
Net premiums earned
|
58,785
|
|
|
61,838
|
|
||
Loss and loss adjustment expenses
|
46,541
|
|
|
45,370
|
|
||
Acquisition expenses (1)
|
13,853
|
|
|
19,915
|
|
|
Three Months Ended March 31,
|
||||||
|
2020
|
|
2019
|
||||
|
($ in thousands)
|
||||||
Consolidated statement of income (loss) items:
|
|
|
|
||||
Gross premiums ceded
|
$
|
(19,828
|
)
|
|
$
|
(16,990
|
)
|
Net premiums earned
|
(19,788
|
)
|
|
(12,940
|
)
|
||
Loss and loss adjustment expenses
|
(15,815
|
)
|
|
(9,138
|
)
|
||
Acquisition expenses (1)
|
(4,537
|
)
|
|
(3,104
|
)
|
|
March 31,
|
|
December 31,
|
||||
|
2020
|
|
2019
|
||||
|
($ in thousands)
|
||||||
Consolidated balance sheet items:
|
|
|
|
||||
Total investments
|
$
|
680,448
|
|
|
$
|
815,528
|
|
Premiums receivable
|
122,147
|
|
|
106,462
|
|
||
Reinsurance recoverable on unpaid and paid losses and loss adjustment expenses
|
88,179
|
|
|
79,597
|
|
||
Prepaid reinsurance premiums
|
74,696
|
|
|
75,249
|
|
||
Deferred acquisition costs, net
|
34,760
|
|
|
31,609
|
|
||
Funds held by reinsurers
|
26,964
|
|
|
29,867
|
|
||
Reserve for losses and loss adjustment expenses
|
684,802
|
|
|
693,861
|
|
||
Unearned premiums
|
160,328
|
|
|
143,852
|
|
||
Losses payable
|
32,146
|
|
|
39,619
|
|
||
Reinsurance balances payable
|
58,604
|
|
|
62,301
|
|
||
Senior notes
|
34,497
|
|
|
34,484
|
|
||
Amounts due to affiliates
|
32,146
|
|
|
4,467
|
|
||
Other liabilities - contingent commissions
|
3,911
|
|
|
5,516
|
|
||
Contingently redeemable preference shares
|
3,463
|
|
|
3,462
|
|
|
Three Months Ended March 31,
|
||||||
|
2020
|
|
2019
|
||||
|
($ in thousands)
|
||||||
Consolidated statement of income (loss) items:
|
|
|
|
||||
Investment management fees - related parties
|
$
|
253
|
|
|
$
|
262
|
|
|
Three Months Ended March 31,
|
||||||
|
2020
|
|
2019
|
||||
|
($ in thousands)
|
||||||
Consolidated statement of income (loss) items:
|
|
|
|
||||
Investment management fees - related parties
|
$
|
4,099
|
|
|
$
|
4,147
|
|
Investment performance fees - related parties
|
—
|
|
|
5,800
|
|
||
|
$
|
4,099
|
|
|
$
|
9,947
|
|
|
March 31,
|
|
December 31,
|
||||
|
2020
|
|
2019
|
||||
|
($ in thousands)
|
||||||
Consolidated balance sheet items:
|
|
|
|
||||
Other investments, at fair value
|
$
|
30,682
|
|
|
$
|
30,461
|
|
Investment management and performance fees payable
|
5,428
|
|
|
17,762
|
|
|
Three Months Ended March 31,
|
||||||
|
2020
|
|
2019
|
||||
|
($ in thousands)
|
||||||
Fees paid to Artex under insurance management services agreement
|
$
|
86
|
|
|
$
|
131
|
|
|
Three Months Ended March 31,
|
||
|
2020
|
||
|
($ in thousands)
|
||
Lease cost:
|
|
||
Operating lease
|
$
|
62
|
|
Other information on operating lease:
|
|
||
Cash payments included in the measurement of lease liability reported in operating cash flows
|
71
|
|
|
Right-of-use assets (1)
|
908
|
|
|
Operating lease liability (2)
|
908
|
|
|
Weighted average discount rate
|
3.9
|
%
|
|
Weighted average remaining lease term in years
|
3.5 years
|
|
|
March 31, 2020
|
|
|
($ in thousands)
|
|
Remainder of 2020
|
212
|
|
2021
|
283
|
|
2022
|
283
|
|
2023
|
189
|
|
Total undiscounted lease payments
|
967
|
|
Less: present value adjustment
|
(59
|
)
|
Operating lease liability
|
908
|
|
|
Three Months Ended March 31,
|
||||||
|
2020
|
|
2019
|
||||
|
($ in thousands)
|
||||||
Preference shares:
|
|
|
|
||||
Balance at the beginning of the period
|
$
|
52,305
|
|
|
$
|
220,992
|
|
Accretion discount and issuance costs on remaining preference shares
|
23
|
|
|
91
|
|
||
Balance at the end of the period
|
$
|
52,328
|
|
|
$
|
221,083
|
|
|
Three Months Ended March 31,
|
||||||
|
2020
|
|
2019
|
||||
|
($ in thousands, except percentages and per share data)
|
||||||
Key underwriting metrics:
|
|
|
|
||||
Underwriting income (loss)
|
$
|
(6,143
|
)
|
|
$
|
(5,970
|
)
|
Combined ratio
|
104.4
|
%
|
|
104.1
|
%
|
||
Adjusted underwriting income (loss)
|
$
|
(3,014
|
)
|
|
$
|
(3,415
|
)
|
Adjusted combined ratio
|
102.2
|
%
|
|
102.3
|
%
|
||
Key investment return metrics:
|
|
|
|
||||
Net interest income
|
$
|
27,803
|
|
|
$
|
30,434
|
|
Net interest income yield on average net assets (1)
|
1.4
|
%
|
|
1.5
|
%
|
||
Non-investment grade portfolio (1)
|
1.7
|
%
|
|
1.9
|
%
|
||
Investment grade portfolio (1)
|
0.5
|
%
|
|
0.6
|
%
|
||
Net investment income (loss)
|
$
|
(262,699
|
)
|
|
$
|
58,354
|
|
Net investment income return on average net assets (1)
|
(13.0
|
)%
|
|
2.8
|
%
|
||
Non-investment grade portfolio (1)
|
(17.4
|
)%
|
|
3.4
|
%
|
||
Investment grade portfolio (1)
|
0.8
|
%
|
|
1.1
|
%
|
||
Net investment income return on average total investments (excluding accrued investment income) (2)
|
(10.1
|
)%
|
|
2.1
|
%
|
||
Non-investment grade portfolio (2)
|
(14.9
|
)%
|
|
2.7
|
%
|
||
Investment grade portfolio (2)
|
0.8
|
%
|
|
1.1
|
%
|
||
Key shareholders’ value creation metrics:
|
|
|
|
||||
Book value per diluted common share (3)
|
$
|
28.21
|
|
|
$
|
41.52
|
|
Growth in book value per diluted share (3)
|
(35.1
|
)%
|
|
5.9
|
%
|
||
Annualized return on average equity (4)
|
N.M.
|
|
|
20.8
|
%
|
•
|
premiums from our insurance and reinsurance lines of business; and
|
•
|
income from investments.
|
•
|
loss and loss adjustment expenses;
|
•
|
acquisition expenses;
|
•
|
general and administrative expenses;
|
•
|
investment related expenses; and
|
•
|
interest expense.
|
|
Three Months Ended March 31,
|
|||||||||
|
2020
|
|
% Change
|
|
2019
|
|||||
|
($ in thousands)
|
|||||||||
Gross premiums written
|
$
|
234,902
|
|
|
25.8
|
%
|
|
$
|
186,689
|
|
Gross premiums ceded
|
(48,202
|
)
|
|
|
|
(41,302
|
)
|
|||
Net premiums written
|
186,700
|
|
|
28.4
|
%
|
|
145,387
|
|
||
Net premiums earned
|
140,039
|
|
|
(4.1
|
)%
|
|
146,094
|
|
||
Loss and loss adjustment expenses
|
(110,676
|
)
|
|
|
|
|
(110,850
|
)
|
||
Acquisition expenses
|
(28,367
|
)
|
|
|
|
|
(33,974
|
)
|
||
General and administrative expenses (1)
|
(7,139
|
)
|
|
|
|
|
(7,240
|
)
|
||
Underwriting income (loss) (2)
|
(6,143
|
)
|
|
2.9
|
%
|
|
(5,970
|
)
|
||
Other underwriting income (loss)
|
133
|
|
|
|
|
592
|
|
|||
Interest income
|
37,824
|
|
|
|
|
43,141
|
|
|||
Investment management fees - related parties
|
(4,352
|
)
|
|
|
|
(4,409
|
)
|
|||
Borrowing and miscellaneous other investment expenses
|
(5,669
|
)
|
|
|
|
(8,298
|
)
|
|||
Net interest income
|
27,803
|
|
|
|
|
30,434
|
|
|||
Realized and unrealized gain (loss) on investments
|
(290,502
|
)
|
|
|
|
33,720
|
|
|||
Investment performance fees - related parties
|
—
|
|
|
|
|
(5,800
|
)
|
|||
Net investment income (loss)
|
(262,699
|
)
|
|
N.M.
|
|
|
58,354
|
|
||
Interest expense
|
(2,912
|
)
|
|
|
|
—
|
|
|||
Net foreign exchange gains (losses)
|
5,013
|
|
|
|
|
(437
|
)
|
|||
Income tax expense
|
—
|
|
|
|
|
—
|
|
|||
Net income (loss) before preference dividends
|
(266,608
|
)
|
|
|
|
52,539
|
|
|||
Preference dividends
|
(1,171
|
)
|
|
|
|
(4,907
|
)
|
|||
Net income (loss) available to common shareholders
|
$
|
(267,779
|
)
|
|
N.M.
|
|
|
$
|
47,632
|
|
|
Three Months Ended March 31,
|
|||||||||
|
2020
|
|
Change
|
|
2019
|
|||||
|
($ in thousands)
|
|||||||||
Loss ratio
|
79.0
|
%
|
|
3.1
|
%
|
|
75.9
|
%
|
||
Acquisition expense ratio
|
20.3
|
%
|
|
(3.0
|
)%
|
|
23.3
|
%
|
||
General & administrative expense ratio
|
5.1
|
%
|
|
0.2
|
%
|
|
4.9
|
%
|
||
Combined ratio
|
104.4
|
%
|
|
0.3
|
%
|
|
104.1
|
%
|
||
|
|
|
|
|
|
|||||
Adjusted underwriting income (loss)(2)
|
$
|
(3,014
|
)
|
|
|
|
$
|
(3,415
|
)
|
|
Adjusted combined ratio (2)
|
102.2
|
%
|
|
(0.1
|
)%
|
|
102.3
|
%
|
||
Annualized return on average equity (3)
|
N.M.
|
|
|
|
|
20.8
|
%
|
•
|
Casualty reinsurance: coverage provided to ceding company clients on third-party liability and workers’ compensation exposures, primarily on a treaty basis. Business written includes coverages such as: executive assurance, medical malpractice liability, other professional liability, workers’ compensation, excess and umbrella liability and excess auto liability.
|
•
|
Other specialty reinsurance: coverage provided to ceding company clients for personal and commercial auto (other than excess auto liability), mortgage, surety, accident and health, workers’ compensation catastrophe, agriculture, marine and aviation.
|
•
|
Property catastrophe reinsurance: protects ceding company clients for most catastrophic losses that are covered in the underlying policies. Perils covered may include hurricane, earthquake, flood, tornado, hail and fire, and coverage for other perils on a case-by-case basis. Property catastrophe reinsurance provides coverage on an excess of loss basis when aggregate losses and
|
•
|
Insurance programs and coinsurance: targeting program managers and/or coinsurers with unique expertise and niche products offering primary and excess general liability, umbrella liability, professional liability, workers’ compensation, personal and commercial automobile, inland marine and property business with minimal catastrophe exposure.
|
|
Three Months Ended March 31,
|
||||||||||||
|
2020
|
|
2019
|
||||||||||
|
Amount
|
|
%
|
|
Amount
|
|
%
|
||||||
|
($ in thousands)
|
||||||||||||
Casualty reinsurance
|
$
|
83,818
|
|
|
35.7
|
%
|
|
$
|
75,601
|
|
|
40.5
|
%
|
Other specialty reinsurance
|
36,880
|
|
|
15.7
|
%
|
|
24,298
|
|
|
13.0
|
%
|
||
Property catastrophe reinsurance
|
9,832
|
|
|
4.2
|
%
|
|
5,992
|
|
|
3.2
|
%
|
||
Insurance programs and coinsurance
|
104,372
|
|
|
44.4
|
%
|
|
80,798
|
|
|
43.3
|
%
|
||
Total
|
$
|
234,902
|
|
|
100.0
|
%
|
|
$
|
186,689
|
|
|
100.0
|
%
|
|
Three Months Ended March 31,
|
||||||||||||
|
2020
|
|
2019
|
||||||||||
|
Amount
|
|
%
|
|
Amount
|
|
%
|
||||||
|
($ in thousands)
|
||||||||||||
Casualty reinsurance
|
$
|
83,667
|
|
|
44.8
|
%
|
|
$
|
75,065
|
|
|
51.6
|
%
|
Other specialty reinsurance
|
35,484
|
|
|
19.0
|
%
|
|
23,182
|
|
|
15.9
|
%
|
||
Property catastrophe reinsurance
|
9,832
|
|
|
5.3
|
%
|
|
5,982
|
|
|
4.1
|
%
|
||
Insurance programs and coinsurance
|
57,717
|
|
|
30.9
|
%
|
|
41,158
|
|
|
28.3
|
%
|
||
Total
|
$
|
186,700
|
|
|
100.0
|
%
|
|
$
|
145,387
|
|
|
100.0
|
%
|
|
Three Months Ended March 31,
|
||||||||||||
|
2020
|
|
2019
|
||||||||||
|
Amount
|
|
%
|
|
Amount
|
|
%
|
||||||
|
($ in thousands)
|
||||||||||||
Casualty reinsurance
|
$
|
52,765
|
|
|
37.7
|
%
|
|
$
|
63,313
|
|
|
43.3
|
%
|
Other specialty reinsurance
|
35,364
|
|
|
25.3
|
%
|
|
44,561
|
|
|
30.5
|
%
|
||
Property catastrophe reinsurance
|
4,884
|
|
|
3.5
|
%
|
|
2,971
|
|
|
2.0
|
%
|
||
Insurance programs and coinsurance
|
47,026
|
|
|
33.5
|
%
|
|
35,249
|
|
|
24.1
|
%
|
||
Total
|
$
|
140,039
|
|
|
100.0
|
%
|
|
$
|
146,094
|
|
|
100.0
|
%
|
|
Three Months Ended March 31,
|
||||||||||||
|
2020
|
|
2019
|
||||||||||
|
Loss and Loss Adjustment Expenses
|
|
% of Earned Premiums
|
|
Loss and Loss Adjustment Expenses
|
|
% of Earned Premiums
|
||||||
|
($ in thousands)
|
||||||||||||
Current year
|
$
|
110,856
|
|
|
79.1
|
%
|
|
$
|
110,901
|
|
|
75.9
|
%
|
Prior year development (favorable)/adverse
|
(180
|
)
|
|
(0.1
|
)%
|
|
(51
|
)
|
|
—
|
%
|
||
Loss and loss adjustment expenses
|
$
|
110,676
|
|
|
79.0
|
%
|
|
$
|
110,850
|
|
|
75.9
|
%
|
|
Three Months Ended March 31,
|
||||||
|
2020
|
|
2019
|
||||
|
($ in thousands)
|
||||||
Interest income
|
$
|
37,824
|
|
|
$
|
43,141
|
|
Investment management fees - related parties
|
(4,352
|
)
|
|
(4,409
|
)
|
||
Borrowing and miscellaneous other investment expenses
|
(5,669
|
)
|
|
(8,298
|
)
|
||
Net interest income
|
27,803
|
|
|
30,434
|
|
||
Net realized gains (losses) on investments
|
(5,046
|
)
|
|
1,282
|
|
||
Net unrealized gains (losses) on investments
|
(285,456
|
)
|
|
32,438
|
|
||
Investment performance fees - related parties
|
—
|
|
|
(5,800
|
)
|
||
Net investment income (loss)
|
$
|
(262,699
|
)
|
|
$
|
58,354
|
|
|
|
|
|
||||
Net interest income yield on average net assets (1)
|
1.4
|
%
|
|
1.5
|
%
|
||
Non-investment grade portfolio (1)
|
1.7
|
%
|
|
1.9
|
%
|
||
Investment grade portfolio (1)
|
0.5
|
%
|
|
0.6
|
%
|
||
Net investment income return on average net assets (1)
|
(13.0
|
)%
|
|
2.8
|
%
|
||
Non-investment grade portfolio (1)
|
(17.4
|
)%
|
|
3.4
|
%
|
||
Investment grade portfolio (1)
|
0.8
|
%
|
|
1.1
|
%
|
||
Net investment income return on average total investments (excluding accrued investment income) (2)
|
(10.1
|
)%
|
|
2.1
|
%
|
||
Non-investment grade portfolio (2)
|
(14.9
|
)%
|
|
2.7
|
%
|
||
Investment grade portfolio (2)
|
0.8
|
%
|
|
1.1
|
%
|
|
Three Months Ended March 31,
|
||||||
|
2020
|
|
2019
|
||||
|
($ in thousands)
|
||||||
Net income (loss) available to common shareholders
|
$
|
(267,779
|
)
|
|
$
|
47,632
|
|
Preference dividends
|
1,171
|
|
|
4,907
|
|
||
Net income (loss) before dividends
|
(266,608
|
)
|
|
52,539
|
|
||
Income tax expense
|
—
|
|
|
—
|
|
||
Interest expense
|
2,912
|
|
|
—
|
|
||
Net foreign exchange (gains) losses
|
(5,013
|
)
|
|
437
|
|
||
Net investment (income) loss
|
262,699
|
|
|
(58,354
|
)
|
||
Other underwriting (income) loss
|
(133
|
)
|
|
(592
|
)
|
||
Underwriting income (loss)
|
(6,143
|
)
|
|
(5,970
|
)
|
||
Certain corporate expenses
|
2,996
|
|
|
1,963
|
|
||
Other underwriting income (loss)
|
133
|
|
|
592
|
|
||
Adjusted underwriting income (loss)
|
$
|
(3,014
|
)
|
|
$
|
(3,415
|
)
|
|
Three Months Ended March 31,
|
||||||||||||||||||||||
|
2020
|
|
2019
|
||||||||||||||||||||
|
Amount
|
|
Adjustment
|
|
As Adjusted
|
|
Amount
|
|
Adjustment
|
|
As Adjusted
|
||||||||||||
|
($ in thousands)
|
||||||||||||||||||||||
Losses and loss adjustment expenses
|
$
|
110,676
|
|
|
$
|
—
|
|
|
$
|
110,676
|
|
|
$
|
110,850
|
|
|
$
|
—
|
|
|
$
|
110,850
|
|
Acquisition expenses
|
28,367
|
|
|
—
|
|
|
28,367
|
|
|
33,974
|
|
|
—
|
|
|
33,974
|
|
||||||
General & administrative expenses (1)
|
7,139
|
|
|
(2,996
|
)
|
|
4,143
|
|
|
7,240
|
|
|
(1,963
|
)
|
|
5,277
|
|
||||||
Net premiums earned (1)(2)
|
140,039
|
|
|
133
|
|
|
140,172
|
|
|
146,094
|
|
|
592
|
|
|
146,686
|
|
||||||
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Loss ratio
|
79.0
|
%
|
|
|
|
|
|
|
75.9
|
%
|
|
|
|
|
|
||||||||
Acquisition expense ratio
|
20.3
|
%
|
|
|
|
|
|
|
23.3
|
%
|
|
|
|
|
|
||||||||
General & administrative expense ratio (1)
|
5.1
|
%
|
|
|
|
|
|
|
4.9
|
%
|
|
|
|
|
|
||||||||
Combined ratio
|
104.4
|
%
|
|
|
|
|
|
|
104.1
|
%
|
|
|
|
|
|
||||||||
Adjusted loss ratio
|
|
|
|
|
|
79.0
|
%
|
|
|
|
|
|
|
75.6
|
%
|
||||||||
Adjusted acquisition expense ratio
|
|
|
|
|
|
20.2
|
%
|
|
|
|
|
|
|
23.2
|
%
|
||||||||
Adjusted general & administrative expense ratio
|
|
|
|
|
|
3.0
|
%
|
|
|
|
|
|
|
3.5
|
%
|
||||||||
Adjusted combined ratio
|
|
|
|
|
102.2
|
%
|
|
|
|
|
|
102.3
|
%
|
|
Three Months Ended March 31, 2020
|
|
Three Months Ended March 31, 2019
|
||||||||||||||||||||||||||||
|
Non-Investment Grade
|
|
Investment Grade
|
|
Cost of
U/W Collateral (4)
|
|
Total
|
|
Non-Investment Grade
|
|
Investment Grade
|
|
Cost of
U/W Collateral (4)
|
|
Total
|
||||||||||||||||
|
($ in thousands)
|
||||||||||||||||||||||||||||||
Interest income
|
$
|
32,764
|
|
|
$
|
5,060
|
|
|
$
|
—
|
|
|
$
|
37,824
|
|
|
$
|
37,339
|
|
|
$
|
5,802
|
|
|
$
|
—
|
|
|
$
|
43,141
|
|
Investment management fees - related parties
|
(3,973
|
)
|
|
(379
|
)
|
|
—
|
|
|
(4,352
|
)
|
|
(4,071
|
)
|
|
(338
|
)
|
|
—
|
|
|
(4,409
|
)
|
||||||||
Borrowing and miscellaneous other investment expenses
|
(2,591
|
)
|
|
(225
|
)
|
|
(2,853
|
)
|
|
(5,669
|
)
|
|
(4,858
|
)
|
|
(204
|
)
|
|
(3,236
|
)
|
|
(8,298
|
)
|
||||||||
Net interest income
|
26,200
|
|
|
4,456
|
|
|
(2,853
|
)
|
|
27,803
|
|
|
28,410
|
|
|
5,260
|
|
|
(3,236
|
)
|
|
30,434
|
|
||||||||
Net realized gains (losses) on investments
|
(7,225
|
)
|
|
2,179
|
|
|
—
|
|
|
(5,046
|
)
|
|
1,319
|
|
|
(37
|
)
|
|
—
|
|
|
1,282
|
|
||||||||
Net unrealized gains (losses) on investments (1)
|
(285,493
|
)
|
|
37
|
|
|
—
|
|
|
(285,456
|
)
|
|
27,625
|
|
|
4,813
|
|
|
—
|
|
|
32,438
|
|
||||||||
Investment performance fees - related parties
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(5,800
|
)
|
|
—
|
|
|
—
|
|
|
(5,800
|
)
|
||||||||
Net investment income (loss)
|
$
|
(266,518
|
)
|
|
$
|
6,672
|
|
|
$
|
(2,853
|
)
|
|
$
|
(262,699
|
)
|
|
$
|
51,554
|
|
|
$
|
10,036
|
|
|
$
|
(3,236
|
)
|
|
$
|
58,354
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Average total investments (excluding accrued investment income) (2)
|
$1,790,337
|
|
$820,635
|
|
$
|
—
|
|
|
$2,610,972
|
|
$1,895,843
|
|
$888,424
|
|
$
|
—
|
|
|
$2,784,267
|
||||||||||||
Average net assets (3)
|
$1,530,825
|
|
$826,062
|
|
$(328,750)
|
|
$2,028,137
|
|
$1,506,245
|
|
$886,927
|
|
$(316,987)
|
|
$2,076,185
|
||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Net interest income yield on average net assets (3)
|
1.7
|
%
|
|
0.5
|
%
|
|
|
|
1.4
|
%
|
|
1.9
|
%
|
|
0.6
|
%
|
|
|
|
1.5
|
%
|
||||||||||
Net investment income return on average total investments (excluding accrued investment income) (2)
|
(14.9
|
)%
|
|
0.8
|
%
|
|
|
|
(10.1
|
)%
|
|
2.7
|
%
|
|
1.1
|
%
|
|
|
|
2.1
|
%
|
||||||||||
Net investment income return on average net assets (3)
|
(17.4
|
)%
|
|
0.8
|
%
|
|
(0.9
|
)%
|
|
(13.0
|
)%
|
|
3.4
|
%
|
|
1.1
|
%
|
|
(1.0
|
)%
|
|
2.8
|
%
|
|
As of March 31, 2020
|
|
As of March 31, 2019
|
||||||||||||||||||||||||||||
|
Non-Investment Grade
|
|
Investment Grade
|
|
Borrowings for U/W Collateral
|
|
Total
|
|
Non-Investment Grade
|
|
Investment Grade
|
|
Borrowings for U/W Collateral
|
|
Total
|
||||||||||||||||
|
($ in thousands)
|
||||||||||||||||||||||||||||||
Average total investments (excluding accrued investment income) - QTD
|
$
|
1,790,337
|
|
|
$
|
820,635
|
|
|
$
|
—
|
|
|
$
|
2,610,972
|
|
|
$
|
1,895,843
|
|
|
$
|
888,424
|
|
|
$
|
—
|
|
|
$
|
2,784,267
|
|
Average net assets - QTD
|
1,530,825
|
|
|
826,062
|
|
|
(328,750
|
)
|
|
2,028,137
|
|
|
1,506,245
|
|
|
886,927
|
|
|
(316,987
|
)
|
|
2,076,185
|
|
||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Total investments
|
$
|
1,718,421
|
|
|
$
|
794,385
|
|
|
$
|
—
|
|
|
$
|
2,512,806
|
|
|
$
|
1,909,095
|
|
|
$
|
921,071
|
|
|
$
|
—
|
|
|
$
|
2,830,166
|
|
Accrued Investment Income
|
12,312
|
|
|
4,032
|
|
|
—
|
|
|
16,344
|
|
|
13,300
|
|
|
4,046
|
|
|
—
|
|
|
17,346
|
|
||||||||
Receivable for Securities Sold
|
22,329
|
|
|
4,460
|
|
|
—
|
|
|
26,789
|
|
|
62,365
|
|
|
201
|
|
|
—
|
|
|
62,566
|
|
||||||||
Less: Payable for Securities Purchased
|
61,834
|
|
|
1,995
|
|
|
—
|
|
|
63,829
|
|
|
83,189
|
|
|
12,388
|
|
|
—
|
|
|
95,577
|
|
||||||||
Less: Payable for Securities Sold Short
|
30,076
|
|
|
—
|
|
|
—
|
|
|
30,076
|
|
|
28,737
|
|
|
—
|
|
|
—
|
|
|
28,737
|
|
||||||||
Less: Revolving credit agreement borrowings
|
247,736
|
|
|
—
|
|
|
328,750
|
|
|
576,486
|
|
|
326,256
|
|
|
—
|
|
|
326,487
|
|
|
652,743
|
|
||||||||
Net assets
|
$
|
1,413,416
|
|
|
$
|
800,882
|
|
|
$
|
(328,750
|
)
|
|
$
|
1,885,548
|
|
|
$
|
1,546,578
|
|
|
$
|
912,930
|
|
|
$
|
(326,487
|
)
|
|
$
|
2,133,021
|
|
Non-investment grade borrowing ratio (1)
|
17.5
|
%
|
|
|
|
|
|
|
|
21.1
|
%
|
|
|
|
|
|
|
||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Unrealized gains on investments
|
$
|
25,439
|
|
|
$
|
15,086
|
|
|
$
|
—
|
|
|
$
|
40,525
|
|
|
$
|
28,066
|
|
|
$
|
4,040
|
|
|
$
|
—
|
|
|
$
|
32,106
|
|
Unrealized losses on investments
|
(366,188
|
)
|
|
(47,603
|
)
|
|
—
|
|
|
(413,791
|
)
|
|
(104,700
|
)
|
|
(6,835
|
)
|
|
—
|
|
|
(111,535
|
)
|
||||||||
Net unrealized gains (losses) on investments
|
$
|
(340,749
|
)
|
|
$
|
(32,517
|
)
|
|
$
|
—
|
|
|
$
|
(373,266
|
)
|
|
$
|
(76,634
|
)
|
|
$
|
(2,795
|
)
|
|
$
|
—
|
|
|
$
|
(79,429
|
)
|
|
Credit Rating (1)
|
||||||||||||||||||||||||||||||||||||||||||||||
March 31, 2020
|
Fair Value
|
|
AAA
|
|
AA
|
|
A
|
|
BBB
|
|
BB
|
|
B
|
|
CCC
|
|
CC
|
|
C
|
|
D
|
|
Not Rated
|
||||||||||||||||||||||||
|
($ in thousands)
|
||||||||||||||||||||||||||||||||||||||||||||||
Non-Investment Grade Portfolio:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
Term loan investments
|
$
|
906,999
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
10,277
|
|
|
$
|
650,028
|
|
|
$
|
161,307
|
|
|
$
|
2,823
|
|
|
$
|
1,314
|
|
|
$
|
1,590
|
|
|
$
|
79,660
|
|
Corporate bonds
|
240,570
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
5,933
|
|
|
14,447
|
|
|
84,955
|
|
|
118,847
|
|
|
1,872
|
|
|
—
|
|
|
3,699
|
|
|
10,817
|
|
||||||||||||
Asset-backed securities
|
140,613
|
|
|
—
|
|
|
—
|
|
|
3,339
|
|
|
85,572
|
|
|
19,727
|
|
|
7,395
|
|
|
1,418
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
23,162
|
|
||||||||||||
Mortgage-backed securities
|
8,529
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1,190
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
2,552
|
|
|
4,787
|
|
||||||||||||
Short-term investments
|
269,768
|
|
|
26,024
|
|
|
133,548
|
|
|
402
|
|
|
62,091
|
|
|
—
|
|
|
40,000
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
7,703
|
|
||||||||||||
Total fixed income instruments and short-term investments
|
1,566,479
|
|
|
26,024
|
|
|
133,548
|
|
|
3,741
|
|
|
153,596
|
|
|
45,641
|
|
|
782,378
|
|
|
281,572
|
|
|
4,695
|
|
|
1,314
|
|
|
7,841
|
|
|
126,129
|
|
||||||||||||
Other Investments
|
30,682
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
Equities
|
121,260
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
Total Non-Investment Grade Portfolio
|
$
|
1,718,421
|
|
|
$
|
26,024
|
|
|
$
|
133,548
|
|
|
$
|
3,741
|
|
|
$
|
153,596
|
|
|
$
|
45,641
|
|
|
$
|
782,378
|
|
|
$
|
281,572
|
|
|
$
|
4,695
|
|
|
$
|
1,314
|
|
|
$
|
7,841
|
|
|
$
|
126,129
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
Investment Grade Portfolio:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
Corporate bonds
|
$
|
167,570
|
|
|
$
|
—
|
|
|
$
|
34,647
|
|
|
$
|
76,063
|
|
|
$
|
52,085
|
|
|
$
|
4,775
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
U.S. government and government agency bonds
|
265,423
|
|
|
—
|
|
|
265,423
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||||||
Asset-backed securities
|
113,583
|
|
|
1,628
|
|
|
—
|
|
|
15,980
|
|
|
95,975
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||||||
Mortgage-backed securities
|
21,785
|
|
|
—
|
|
|
—
|
|
|
4,600
|
|
|
17,185
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||||||
Non-U.S. government and government agency bonds
|
149,858
|
|
|
—
|
|
|
149,858
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||||||
Municipal government and government agency bonds
|
2,073
|
|
|
1,023
|
|
|
570
|
|
|
480
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||||||
Short-term investments
|
74,093
|
|
|
4,150
|
|
|
21,239
|
|
|
—
|
|
|
48,704
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||||||
Total Investment Grade Portfolio
|
$
|
794,385
|
|
|
$
|
6,801
|
|
|
$
|
471,737
|
|
|
$
|
97,123
|
|
|
$
|
213,949
|
|
|
$
|
4,775
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
Total
|
$
|
2,512,806
|
|
|
$
|
32,825
|
|
|
$
|
605,285
|
|
|
$
|
100,864
|
|
|
$
|
367,545
|
|
|
$
|
50,416
|
|
|
$
|
782,378
|
|
|
$
|
281,572
|
|
|
$
|
4,695
|
|
|
$
|
1,314
|
|
|
$
|
7,841
|
|
|
$
|
126,129
|
|
|
Credit Rating (1)
|
||||||||||||||||||||||||||||||||||||||||||||||
December 31, 2019
|
Fair Value
|
|
AAA
|
|
AA
|
|
A
|
|
BBB
|
|
BB
|
|
B
|
|
CCC
|
|
CC
|
|
C
|
|
D
|
|
Not Rated
|
||||||||||||||||||||||||
|
($ in thousands)
|
||||||||||||||||||||||||||||||||||||||||||||||
Non-Investment Grade Portfolio
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
Term loan investments
|
$
|
1,061,934
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
9,617
|
|
|
$
|
761,168
|
|
|
$
|
215,909
|
|
|
$
|
6,823
|
|
|
$
|
2,119
|
|
|
$
|
—
|
|
|
$
|
66,298
|
|
Corporate bonds
|
213,841
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
9,003
|
|
|
58,345
|
|
|
135,613
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
10,880
|
|
||||||||||||
Asset-backed securities
|
190,738
|
|
|
—
|
|
|
—
|
|
|
4,002
|
|
|
105,706
|
|
|
29,695
|
|
|
18,381
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
32,954
|
|
||||||||||||
Mortgage-backed securities
|
7,706
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
976
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
2,497
|
|
|
4,233
|
|
||||||||||||
Short-term investments
|
232,436
|
|
|
—
|
|
|
116,805
|
|
|
34,903
|
|
|
64,108
|
|
|
—
|
|
|
—
|
|
|
8,359
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
8,261
|
|
||||||||||||
Total fixed income instruments and short-term investments
|
1,706,655
|
|
|
—
|
|
|
116,805
|
|
|
38,905
|
|
|
169,814
|
|
|
49,291
|
|
|
837,894
|
|
|
359,881
|
|
|
6,823
|
|
|
2,119
|
|
|
2,497
|
|
|
122,626
|
|
||||||||||||
Other Investments
|
30,461
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
Equities
|
125,137
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
Total Non-Investment Grade Portfolio
|
$
|
1,862,253
|
|
|
$
|
—
|
|
|
$
|
116,805
|
|
|
$
|
38,905
|
|
|
$
|
169,814
|
|
|
$
|
49,291
|
|
|
$
|
837,894
|
|
|
$
|
359,881
|
|
|
$
|
6,823
|
|
|
$
|
2,119
|
|
|
$
|
2,497
|
|
|
$
|
122,626
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
Investment Grade Portfolio
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
Corporate bonds
|
$
|
158,632
|
|
|
$
|
—
|
|
|
$
|
36,128
|
|
|
$
|
81,401
|
|
|
$
|
41,103
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
U.S. government and government agency bonds
|
285,609
|
|
|
—
|
|
|
285,609
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||||||
Asset-backed securities
|
145,433
|
|
|
2,006
|
|
|
—
|
|
|
25,177
|
|
|
118,250
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||||||
Mortgage-backed securities
|
24,750
|
|
|
—
|
|
|
—
|
|
|
1,100
|
|
|
23,650
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||||||
Non-U.S. government and government agency bonds
|
133,409
|
|
|
—
|
|
|
132,460
|
|
|
—
|
|
|
949
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||||||
Municipal government and government agency bonds
|
2,184
|
|
|
1,135
|
|
|
573
|
|
|
476
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||||||
Short-term investments
|
96,867
|
|
|
25,783
|
|
|
20,037
|
|
|
—
|
|
|
51,047
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||||||
Total Investment Grade Portfolio
|
$
|
846,884
|
|
|
$
|
28,924
|
|
|
$
|
474,807
|
|
|
$
|
108,154
|
|
|
$
|
234,999
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
Total
|
$
|
2,709,137
|
|
|
$
|
28,924
|
|
|
$
|
591,612
|
|
|
$
|
147,059
|
|
|
$
|
404,813
|
|
|
$
|
49,291
|
|
|
$
|
837,894
|
|
|
$
|
359,881
|
|
|
$
|
6,823
|
|
|
$
|
2,119
|
|
|
$
|
2,497
|
|
|
$
|
122,626
|
|
|
March 31, 2020
|
||||||||||||||||||||||||||||||||||
|
Total
|
|
Financials
|
|
Health Care
|
|
Technology
|
|
Consumer Services
|
|
Industrials
|
|
Consumer Goods
|
|
Oil & Gas
|
|
All Other (1)
|
||||||||||||||||||
|
($ in thousands)
|
||||||||||||||||||||||||||||||||||
Non-Investment Grade Portfolio:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
Term loan investments
|
$
|
906,999
|
|
|
$
|
190,535
|
|
|
$
|
195,084
|
|
|
$
|
199,837
|
|
|
$
|
98,518
|
|
|
$
|
89,778
|
|
|
$
|
40,415
|
|
|
$
|
32,049
|
|
|
$
|
60,783
|
|
Corporate bonds
|
240,570
|
|
|
24,927
|
|
|
43,028
|
|
|
15,702
|
|
|
49,761
|
|
|
27,585
|
|
|
19,947
|
|
|
18,522
|
|
|
41,098
|
|
|||||||||
Equities - sector specific
|
95,112
|
|
|
59,714
|
|
|
27,174
|
|
|
5,868
|
|
|
—
|
|
|
1,026
|
|
|
—
|
|
|
242
|
|
|
1,088
|
|
|||||||||
Short-term investments - sector specific
|
47,703
|
|
|
7,703
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
40,000
|
|
|
—
|
|
|||||||||
Subtotal
|
1,290,384
|
|
|
282,879
|
|
|
265,286
|
|
|
221,407
|
|
|
148,279
|
|
|
118,389
|
|
|
60,362
|
|
|
90,813
|
|
|
102,969
|
|
|||||||||
Equities - non-sector specific
|
26,148
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Short-term investments - non-sector specific
|
222,065
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Asset-backed securities
|
140,613
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Other investments
|
30,682
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Mortgage-backed securities
|
8,529
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Total Non-Investment Grade Portfolio
|
$
|
1,718,421
|
|
|
$
|
282,879
|
|
|
$
|
265,286
|
|
|
$
|
221,407
|
|
|
$
|
148,279
|
|
|
$
|
118,389
|
|
|
$
|
60,362
|
|
|
$
|
90,813
|
|
|
$
|
102,969
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
Investment Grade Portfolio:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
Corporate bonds
|
$
|
167,570
|
|
|
$
|
62,046
|
|
|
$
|
13,752
|
|
|
$
|
12,135
|
|
|
$
|
15,481
|
|
|
$
|
14,133
|
|
|
$
|
34,718
|
|
|
$
|
7,346
|
|
|
$
|
7,959
|
|
Short-term investments
|
74,093
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
U.S. government and government agency bonds
|
265,423
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Non-U.S. government and government agency bonds
|
149,858
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Asset-backed securities
|
113,583
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Mortgage-backed securities
|
21,785
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Municipal government and government agency bonds
|
2,073
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Total Investment Grade Portfolio
|
$
|
794,385
|
|
|
$
|
62,046
|
|
|
$
|
13,752
|
|
|
$
|
12,135
|
|
|
$
|
15,481
|
|
|
$
|
14,133
|
|
|
$
|
34,718
|
|
|
$
|
7,346
|
|
|
$
|
7,959
|
|
Total Investments
|
$
|
2,512,806
|
|
|
$
|
344,925
|
|
|
$
|
279,038
|
|
|
$
|
233,542
|
|
|
$
|
163,760
|
|
|
$
|
132,522
|
|
|
$
|
95,080
|
|
|
$
|
98,159
|
|
|
$
|
110,928
|
|
|
December 31, 2019
|
||||||||||||||||||||||||||||||||||
|
Total
|
|
Financials
|
|
Health Care
|
|
Technology
|
|
Consumer Services
|
|
Industrials
|
|
Consumer Goods
|
|
Oil & Gas
|
|
All Other (1)
|
||||||||||||||||||
|
($ in thousands)
|
||||||||||||||||||||||||||||||||||
Non-Investment Grade Portfolio:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
Term loan investments
|
$
|
1,061,934
|
|
|
$
|
212,800
|
|
|
$
|
221,982
|
|
|
$
|
232,659
|
|
|
$
|
121,434
|
|
|
$
|
111,912
|
|
|
$
|
46,827
|
|
|
$
|
52,200
|
|
|
$
|
62,120
|
|
Corporate bonds
|
213,841
|
|
|
17,547
|
|
|
19,160
|
|
|
10,972
|
|
|
28,144
|
|
|
13,822
|
|
|
23,491
|
|
|
27,632
|
|
|
73,073
|
|
|||||||||
Equities - sector specific
|
101,551
|
|
|
55,946
|
|
|
30,640
|
|
|
11,263
|
|
|
—
|
|
|
1,283
|
|
|
—
|
|
|
1,040
|
|
|
1,379
|
|
|||||||||
Short-term investments - sector specific
|
16,620
|
|
|
8,261
|
|
|
—
|
|
|
3,030
|
|
|
—
|
|
|
5,329
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||||||
Subtotal
|
1,393,946
|
|
|
294,554
|
|
|
271,782
|
|
|
257,924
|
|
|
149,578
|
|
|
132,346
|
|
|
70,318
|
|
|
80,872
|
|
|
136,572
|
|
|||||||||
Equities - non-sector specific
|
23,586
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Short-term investments - non-sector specific
|
215,816
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Asset-backed securities
|
190,738
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Other investments
|
30,461
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Mortgage-backed securities
|
7,706
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Total Non-Investment Grade Portfolio
|
$
|
1,862,253
|
|
|
$
|
294,554
|
|
|
$
|
271,782
|
|
|
$
|
257,924
|
|
|
$
|
149,578
|
|
|
$
|
132,346
|
|
|
$
|
70,318
|
|
|
$
|
80,872
|
|
|
$
|
136,572
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
Investment Grade Portfolio:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
Corporate bonds
|
$
|
158,632
|
|
|
$
|
72,707
|
|
|
$
|
12,087
|
|
|
$
|
8,035
|
|
|
$
|
11,752
|
|
|
$
|
10,548
|
|
|
$
|
32,046
|
|
|
$
|
5,734
|
|
|
$
|
5,723
|
|
Short-term investments
|
96,867
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
U.S. government and government agency bonds
|
285,609
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Non-U.S. government and government agency bonds
|
133,409
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Asset-backed securities
|
145,433
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Mortgage-backed securities
|
24,750
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Municipal government and government agency bonds
|
2,184
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Total Investment Grade Portfolio
|
$
|
846,884
|
|
|
$
|
72,707
|
|
|
$
|
12,087
|
|
|
$
|
8,035
|
|
|
$
|
11,752
|
|
|
$
|
10,548
|
|
|
$
|
32,046
|
|
|
$
|
5,734
|
|
|
$
|
5,723
|
|
Total Investments
|
$
|
2,709,137
|
|
|
$
|
367,261
|
|
|
$
|
283,869
|
|
|
$
|
265,959
|
|
|
$
|
161,330
|
|
|
$
|
142,894
|
|
|
$
|
102,364
|
|
|
$
|
86,606
|
|
|
$
|
142,295
|
|
|
Contractual Maturity
|
||||||||||||||||||||||
March 31, 2020
|
Fair Value
|
|
Due in One Year or Less
|
|
Due After One Through Two Years
|
|
Due After Three Through Five Years
|
|
Due After Five Through Ten Years
|
|
Due After Ten Years
|
||||||||||||
|
($ in thousands)
|
||||||||||||||||||||||
Non-Investment Grade Portfolio:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Term loan investments
|
$
|
906,999
|
|
|
$
|
16,371
|
|
|
$
|
298,644
|
|
|
$
|
219,701
|
|
|
$
|
372,283
|
|
|
$
|
—
|
|
Corporate bonds
|
240,570
|
|
|
29
|
|
|
31,289
|
|
|
109,198
|
|
|
100,054
|
|
|
—
|
|
||||||
Short-term investments
|
269,768
|
|
|
269,768
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Subtotal
|
1,417,337
|
|
|
286,168
|
|
|
329,933
|
|
|
328,899
|
|
|
472,337
|
|
|
—
|
|
||||||
Asset-backed securities
|
140,613
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
Mortgage-backed securities
|
8,529
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
Other Investments
|
30,682
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
Equities
|
121,260
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total Non-Investment Grade Portfolio
|
$
|
1,718,421
|
|
|
$
|
286,168
|
|
|
$
|
329,933
|
|
|
$
|
328,899
|
|
|
$
|
472,337
|
|
|
$
|
—
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Investment Grade Portfolio:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Corporate bonds
|
$
|
167,570
|
|
|
$
|
8,439
|
|
|
$
|
49,634
|
|
|
$
|
46,347
|
|
|
$
|
51,743
|
|
|
$
|
11,407
|
|
U.S. government and government agency bonds
|
265,423
|
|
|
329
|
|
|
209,121
|
|
|
46,740
|
|
|
9,233
|
|
|
—
|
|
||||||
Non-U.S. government and government agency bonds
|
149,858
|
|
|
6,906
|
|
|
43,861
|
|
|
32,993
|
|
|
66,098
|
|
|
—
|
|
||||||
Municipal government and government agency bonds
|
2,073
|
|
|
—
|
|
|
253
|
|
|
1,341
|
|
|
480
|
|
|
—
|
|
||||||
Short-term investments
|
74,093
|
|
|
74,093
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Subtotal
|
659,017
|
|
|
89,767
|
|
|
302,869
|
|
|
127,421
|
|
|
127,554
|
|
|
11,407
|
|
||||||
Asset-backed securities
|
113,583
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
Mortgage-backed securities
|
21,785
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total - Investment Grade Portfolio
|
$
|
794,385
|
|
|
$
|
89,767
|
|
|
$
|
302,869
|
|
|
$
|
127,421
|
|
|
$
|
127,554
|
|
|
$
|
11,407
|
|
Total
|
$
|
2,512,806
|
|
|
$
|
375,935
|
|
|
$
|
632,802
|
|
|
$
|
456,320
|
|
|
$
|
599,891
|
|
|
$
|
11,407
|
|
|
Contractual Maturity
|
||||||||||||||||||||||
December 31, 2019
|
Fair Value
|
|
Due in One Year or Less
|
|
Due After One Through Two Years
|
|
Due After Three Through Five Years
|
|
Due After Five Through Ten Years
|
|
Due After Ten Years
|
||||||||||||
|
($ in thousands)
|
||||||||||||||||||||||
Non-Investment Grade Portfolio:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Term loan investments
|
$
|
1,061,934
|
|
|
$
|
23,683
|
|
|
$
|
289,985
|
|
|
$
|
314,908
|
|
|
$
|
433,358
|
|
|
$
|
—
|
|
Corporate bonds
|
213,841
|
|
|
15,746
|
|
|
21,879
|
|
|
113,750
|
|
|
61,933
|
|
|
533
|
|
||||||
Short-term investments
|
232,436
|
|
|
232,436
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Subtotal
|
1,508,211
|
|
|
271,865
|
|
|
311,864
|
|
|
428,658
|
|
|
495,291
|
|
|
533
|
|
||||||
Asset-backed securities
|
190,738
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
Mortgage-backed securities
|
7,706
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
Other Investments
|
30,461
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
Equities
|
125,137
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total Non-Investment Grade Portfolio
|
$
|
1,862,253
|
|
|
$
|
271,865
|
|
|
$
|
311,864
|
|
|
$
|
428,658
|
|
|
$
|
495,291
|
|
|
$
|
533
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Investment Grade Portfolio:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Corporate bonds
|
$
|
158,632
|
|
|
$
|
2,760
|
|
|
$
|
45,676
|
|
|
$
|
54,584
|
|
|
$
|
43,586
|
|
|
$
|
12,026
|
|
U.S. government and government agency bonds
|
285,609
|
|
|
1,490
|
|
|
212,884
|
|
|
41,976
|
|
|
29,259
|
|
|
—
|
|
||||||
Non-U.S. government and government agency bonds
|
133,409
|
|
|
6,745
|
|
|
31,443
|
|
|
32,213
|
|
|
63,008
|
|
|
—
|
|
||||||
Municipal government and government agency bonds
|
2,184
|
|
|
—
|
|
|
253
|
|
|
1,330
|
|
|
601
|
|
|
—
|
|
||||||
Short-term investments
|
96,867
|
|
|
96,867
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Subtotal
|
676,701
|
|
|
107,862
|
|
|
290,256
|
|
|
130,103
|
|
|
136,454
|
|
|
12,026
|
|
||||||
Asset-backed securities
|
145,433
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
Mortgage-backed securities
|
24,750
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total - Investment Grade Portfolio
|
846,884
|
|
|
$
|
107,862
|
|
|
$
|
290,256
|
|
|
$
|
130,103
|
|
|
$
|
136,454
|
|
|
$
|
12,026
|
|
|
Total
|
$
|
2,709,137
|
|
|
$
|
379,727
|
|
|
$
|
602,120
|
|
|
$
|
558,761
|
|
|
$
|
631,745
|
|
|
$
|
12,559
|
|
|
Three Months Ended March 31,
|
||||||
|
2020
|
|
2019
|
||||
|
($ in thousands)
|
||||||
Cash and cash equivalents provided by (used for):
|
|
|
|
||||
Operating activities
|
$
|
24,575
|
|
|
$
|
70,306
|
|
Investing activities
|
(111,627
|
)
|
|
(31,877
|
)
|
||
Financing activities
|
88,184
|
|
|
(45,918
|
)
|
||
Effects of exchange rate changes on foreign currency
|
(6,989
|
)
|
|
261
|
|
||
Change in cash and cash equivalents
|
$
|
(5,857
|
)
|
|
$
|
(7,228
|
)
|
•
|
Cash provided by operating activities for the three months ended March 31, 2020 was lower than the same period in 2019. We continued to generate strong operating cash inflows, primarily driven by our premium receipts exceeding the level of our paid claims, and interest income received.
|
•
|
Cash used for investing activities for the three months ended March 31, 2020 was higher than the same period in 2019, due to an increase in purchases and a reduction in sales, redemptions and maturities in 2020.
|
•
|
Cash was provided by financing activities for the three months ended March 31, 2020, rather than being used for financing activities in 2019. During the 2020 first quarter, we increased withdrawals from the secured credit facility and the custodian bank facility, rather than cash used for net repayments of borrowings in the same period for 2019. These withdrawals were driven by our investment strategy related to the timing and use of leverage in managing our non-investment grade portfolio. In addition, we purchased $2.9 million of our own common shares under our $50 million share repurchase program during the 2020 first quarter.
|
|
March 31, 2020
|
|
December 31, 2019
|
||||||||||
|
Amount
|
|
% of Total Capital
|
|
Amount
|
|
% of Total Capital
|
||||||
|
($ in thousands)
|
||||||||||||
Debt:
|
|
|
|
|
|
|
|
||||||
Senior notes
|
$
|
172,486
|
|
|
21.9
|
%
|
|
$
|
172,418
|
|
|
15.7
|
%
|
Shareholders’ equity:
|
|
|
|
|
|
|
|
||||||
Preference shares
|
52,328
|
|
|
6.6
|
%
|
|
52,305
|
|
|
4.8
|
%
|
||
Shareholders’ equity
|
564,054
|
|
|
71.5
|
%
|
|
872,353
|
|
|
79.5
|
%
|
||
Total shareholders’ equity
|
616,382
|
|
|
78.1
|
%
|
|
924,658
|
|
|
84.3
|
%
|
||
Total capital available to Watford
|
$
|
788,868
|
|
|
100.0
|
%
|
|
$
|
1,097,076
|
|
|
100.0
|
%
|
|
March 31,
|
|
December 31,
|
||||
|
2020
|
|
2019
|
||||
|
($ in thousands)
|
||||||
Borrowings to purchase investments
|
$
|
171,837
|
|
|
$
|
155,537
|
|
Borrowings to purchase collateral
|
328,750
|
|
|
328,750
|
|
||
Total secured credit facility borrowings
|
500,587
|
|
|
484,287
|
|
||
Outstanding letters of credit
|
52,533
|
|
|
52,533
|
|
|
March 31,
|
|
December 31,
|
||||
|
2020
|
|
2019
|
||||
|
($ in thousands)
|
||||||
Total investments held in trust as collateral for underwriting transactions and regulatory deposits
|
$
|
966,077
|
|
|
$
|
1,087,707
|
|
Total investments pledged for Secured Facility
|
888,536
|
|
|
935,132
|
|
||
Total investments pledged for custodian bank
|
108,225
|
|
|
—
|
|
||
Total investments pledged for Lloyds Facility
|
48,704
|
|
|
51,047
|
|
||
Total investments pledged for Master TRS
|
62,091
|
|
|
64,107
|
|
|
Payments Due by Period
|
||||||||||||||||||
|
Total
|
|
Less Than One Year
|
|
One Year to Less Than Three Years
|
|
Three Years to Less Than Five Years
|
|
More Than Five Years
|
||||||||||
|
($ in thousands)
|
||||||||||||||||||
March 31, 2020
|
|
||||||||||||||||||
Estimated gross payments for losses and loss adjustment expenses (1)
|
$
|
1,300,249
|
|
|
$
|
330,977
|
|
|
$
|
429,372
|
|
|
$
|
228,761
|
|
|
$
|
311,139
|
|
Interest payments on senior notes (2)
|
108,094
|
|
|
11,375
|
|
|
22,750
|
|
|
22,750
|
|
|
51,219
|
|
|||||
Senior notes (2)
|
175,000
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
175,000
|
|
|||||
Revolving credit agreement borrowings (3)
|
576,486
|
|
|
576,486
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
Operating lease obligations
|
967
|
|
|
283
|
|
|
566
|
|
|
118
|
|
|
—
|
|
|||||
Total
|
$
|
2,160,796
|
|
|
$
|
919,121
|
|
|
$
|
452,688
|
|
|
$
|
251,629
|
|
|
$
|
537,358
|
|
December 31, 2019
|
|
||||||||||||||||||
Estimated gross payments for losses and loss adjustment expenses (1)
|
$
|
1,263,628
|
|
|
$
|
319,685
|
|
|
$
|
415,163
|
|
|
$
|
223,406
|
|
|
$
|
305,374
|
|
Interest payments on senior notes (2)
|
108,094
|
|
|
11,375
|
|
|
22,750
|
|
|
22,750
|
|
|
51,219
|
|
|||||
Senior notes (2)
|
175,000
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
175,000
|
|
|||||
Revolving credit agreement borrowings (2)
|
484,287
|
|
|
484,287
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
Operating lease obligations
|
1,038
|
|
|
283
|
|
|
566
|
|
|
189
|
|
|
—
|
|
|||||
Total
|
$
|
2,032,047
|
|
|
$
|
815,630
|
|
|
$
|
438,479
|
|
|
$
|
246,345
|
|
|
$
|
531,593
|
|
•
|
foreign currency risk;
|
•
|
interest rate risk;
|
•
|
credit spread risk;
|
•
|
credit risk;
|
•
|
liquidity risk; and
|
•
|
political risk.
|
|
March 31,
|
|
December 31,
|
||||
|
2020
|
|
2019
|
||||
(U.S. dollars in thousands, except per share data)
|
|
|
|
||||
Assets, net of insurance liabilities, denominated in foreign currencies, excluding shareholders’ equity and derivatives
|
$
|
90,119
|
|
|
$
|
56,382
|
|
Shareholders’ equity denominated in foreign currencies (1)
|
(23,072
|
)
|
|
(26,529
|
)
|
||
Net assets denominated in foreign currencies
|
$
|
67,047
|
|
|
$
|
29,853
|
|
Pre-tax impact of a hypothetical 10% appreciation of the U.S. dollar against foreign currencies:
|
|
|
|
||||
Shareholders’ equity
|
$
|
(6,705
|
)
|
|
$
|
(2,985
|
)
|
Book value per diluted common share
|
$
|
(0.34
|
)
|
|
$
|
(0.15
|
)
|
Pre-tax impact of a hypothetical 10% decline of the U.S. dollar against foreign currencies:
|
|
|
|
||||
Shareholders’ equity
|
$
|
6,705
|
|
|
$
|
2,985
|
|
Book value per diluted common share
|
$
|
0.34
|
|
|
$
|
0.15
|
|
|
Interest Rate Shift in Basis Points
|
||||||||||||||||||
(U.S. dollars in millions)
|
-100
|
|
-50
|
|
0
|
|
+50
|
|
+100
|
||||||||||
March 31, 2020
|
|
|
|
|
|
|
|
|
|
||||||||||
Total fair value
|
$
|
2,548
|
|
|
$
|
2,532
|
|
|
$
|
2,513
|
|
|
$
|
2,493
|
|
|
$
|
2,476
|
|
Change from base
|
1.4
|
%
|
|
0.8
|
%
|
|
—
|
%
|
|
(0.8
|
)%
|
|
(1.5
|
)%
|
|||||
Change in unrealized value
|
$
|
35
|
|
|
$
|
19
|
|
|
$
|
—
|
|
|
$
|
(20
|
)
|
|
$
|
(37
|
)
|
|
|
|
|
|
|
|
|
|
|
||||||||||
December 31, 2019
|
|
|
|
|
|
|
|
|
|
||||||||||
Total fair value
|
$
|
2,739
|
|
|
$
|
2,724
|
|
|
$
|
2,709
|
|
|
$
|
2,693
|
|
|
$
|
2,679
|
|
Change from base
|
1.1
|
%
|
|
0.6
|
%
|
|
—
|
%
|
|
(0.6
|
)%
|
|
(1.1
|
)%
|
|||||
Change in unrealized value
|
$
|
30
|
|
|
$
|
15
|
|
|
$
|
—
|
|
|
$
|
(16
|
)
|
|
$
|
(30
|
)
|
|
Percentage Shift in Credit Spreads
|
||||||||||||||||||
(U.S. dollars in millions)
|
-50%
|
|
-10%
|
|
0
|
|
+10%
|
|
+50%
|
||||||||||
March 31, 2020
|
|
|
|
|
|
|
|
|
|
||||||||||
Total fair value
|
$
|
2,748
|
|
|
$
|
2,559
|
|
|
$
|
2,513
|
|
|
$
|
2,466
|
|
|
$
|
2,283
|
|
Change from base
|
9.4
|
%
|
|
1.8
|
%
|
|
—
|
%
|
|
(1.9
|
)%
|
|
(9.2
|
)%
|
|||||
Change in unrealized value
|
$
|
235
|
|
|
$
|
46
|
|
|
$
|
—
|
|
|
$
|
(47
|
)
|
|
$
|
(230
|
)
|
|
|
|
|
|
|
|
|
|
|
||||||||||
December 31, 2019
|
|
|
|
|
|
|
|
|
|
||||||||||
Total fair value
|
$
|
2,836
|
|
|
$
|
2,735
|
|
|
$
|
2,709
|
|
|
$
|
2,681
|
|
|
$
|
2,569
|
|
Change from base
|
4.7
|
%
|
|
1.0
|
%
|
|
—
|
%
|
|
(1.0
|
)%
|
|
(5.2
|
)%
|
|||||
Change in unrealized value
|
$
|
127
|
|
|
$
|
26
|
|
|
$
|
—
|
|
|
$
|
(28
|
)
|
|
$
|
(140
|
)
|
|
|
Issuer Purchases of Common Shares
|
||||||||||||
Period
|
|
Total Number of Shares Purchased
|
|
Average Price Paid Per Share
|
|
Total Number of Shares Purchased as Part of Publicly Announced Plans or Programs
|
|
Approximate Dollar Value of Shares that May Yet be Purchased Under the Plan or Program (1)
|
||||||
1/1/2020 - 1/31/2020
|
|
—
|
|
|
$
|
—
|
|
|
—
|
|
|
$
|
—
|
|
2/1/2020 - 2/29/2020
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||
3/1/2020 - 3/31/2020
|
|
127,744
|
|
|
22.42
|
|
|
127,744
|
|
|
47,136
|
|
||
Total
|
|
127,744
|
|
|
$
|
22.42
|
|
|
127,744
|
|
|
$
|
47,136
|
|
|
|
Incorporated by Reference
|
|
|
||||
Exhibit
Number
|
Exhibit Description
|
Form
|
|
Original Exhibit Number
|
|
Date Filed
|
|
Filed Herewith
|
10.42
|
|
|
|
|
|
|
X
|
|
31.1
|
|
|
|
|
|
|
X
|
|
31.2
|
|
|
|
|
|
|
X
|
|
32.1
|
|
|
|
|
|
|
X
|
|
32.2
|
|
|
|
|
|
|
X
|
|
101
|
The following financial information from Watford Holdings Ltd.’s Quarterly Report for the quarter ended March 31, 2020 formatted in XBRL: (i) Consolidated Balance Sheets at March 31, 2020 and December 31, 2019; (ii) Consolidated Statements of Income for the three months ended March 31, 2020 and 2019; (iii) Consolidated Statements of Comprehensive Income for the three months ended March 31, 2020 and 2019; (iv) Consolidated Statements of Changes in Shareholders’ Equity for the three months ended March 31, 2020 and 2019; (v) Consolidated Statements of Cash Flows for the three months ended March 31, 2020 and 2019; and (vi) Notes to Consolidated Financial Statements.
|
|
|
|
|
|
|
|
|
|
|
WATFORD HOLDINGS LTD.
|
|
|
|
(REGISTRANT)
|
|
|
|
|
|
|
|
/s/ Jonathan D. Levy
|
Date:
|
May 11, 2020
|
|
Jonathan D. Levy, Chief Executive Officer
|
|
|
|
|
Date:
|
May 11, 2020
|
|
/s/ Robert L. Hawley
|
|
|
|
Robert L. Hawley, Chief Financial Officer
|
1 Year Watford Chart |
1 Month Watford Chart |
It looks like you are not logged in. Click the button below to log in and keep track of your recent history.
Support: +44 (0) 203 8794 460 | support@advfn.com
By accessing the services available at ADVFN you are agreeing to be bound by ADVFN's Terms & Conditions