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Share Name | Share Symbol | Market | Type |
---|---|---|---|
Aspen Insurance Holdings Limited Ordinary Shares | NYSE:AHL | NYSE | Ordinary Share |
Price Change | % Change | Share Price | High Price | Low Price | Open Price | Shares Traded | Last Trade | |
---|---|---|---|---|---|---|---|---|
0.00 | 0.00% | 42.74 | 0.00 | 01:00:00 |
ý
|
QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
|
¨
|
TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
|
Bermuda
|
|
Not Applicable
|
(State or other jurisdiction of
incorporation or organization)
|
|
(I.R.S. Employer
Identification No.)
|
|
|
|
141 Front Street
Hamilton, Bermuda
|
|
HM 19
|
(Address of principal executive offices)
|
|
(Zip Code)
|
Large accelerated filer
|
|
ý
|
|
Accelerated filer
|
|
¨
|
|
|
|
|
|
|
|
Non-accelerated filer
|
|
¨
(Do not check if a smaller reporting company)
|
|
Smaller reporting company
|
|
¨
|
|
As at March 31,
2016 |
|
As at December 31, 2015
|
||||
ASSETS
|
|
|
|
||||
Investments:
|
|
|
|
||||
Fixed income securities, available for sale at fair value
(amortized cost — $5,895.1 and $5,867.5) |
$
|
6,063.7
|
|
|
$
|
5,951.1
|
|
Fixed income securities, trading at fair value
(amortized cost — $877.7 and $794.2) |
896.8
|
|
|
788.0
|
|
||
Equity securities, trading at fair value
(cost — $700.1 and $722.5) |
757.8
|
|
|
736.4
|
|
||
Short-term investments, available for sale at fair value
(amortized cost — $135.3 and $162.9) |
135.3
|
|
|
162.9
|
|
||
Short-term investments, trading at fair value
(amortized cost — $7.7 and $9.5) |
7.7
|
|
|
9.5
|
|
||
Catastrophe bonds, trading at fair value (cost — $46.1 and $55.2)
|
46.1
|
|
|
55.4
|
|
||
Other investments, equity method
|
8.9
|
|
|
8.9
|
|
||
Total investments
|
7,916.3
|
|
|
7,712.2
|
|
||
Cash and cash equivalents (including $142.8 and $243.3 within consolidated variable interest entities)
|
903.1
|
|
|
1,099.5
|
|
||
Reinsurance recoverables
|
|
|
|
||||
Unpaid losses
|
366.0
|
|
|
354.8
|
|
||
Ceded unearned premiums
|
243.6
|
|
|
168.9
|
|
||
Receivables
|
|
|
|
||||
Underwriting premiums
|
1,339.1
|
|
|
1,115.6
|
|
||
Other
|
117.9
|
|
|
94.3
|
|
||
Funds withheld
|
39.6
|
|
|
36.0
|
|
||
Deferred policy acquisition costs
|
407.7
|
|
|
361.1
|
|
||
Derivatives at fair value
|
10.9
|
|
|
9.2
|
|
||
Receivable for securities sold
|
1.9
|
|
|
0.6
|
|
||
Office properties and equipment
|
83.2
|
|
|
70.6
|
|
||
Deferred taxation
|
—
|
|
|
3.7
|
|
||
Other assets
|
1.8
|
|
|
4.1
|
|
||
Intangible assets and goodwill
|
74.3
|
|
|
18.2
|
|
||
Total assets
|
$
|
11,505.4
|
|
|
$
|
11,048.8
|
|
|
As at March 31,
2016 |
|
As at December 31, 2015
|
||||
LIABILITIES
|
|
|
|
||||
Insurance reserves
|
|
|
|
||||
Losses and loss adjustment expenses
|
$
|
5,011.5
|
|
|
$
|
4,938.2
|
|
Unearned premiums
|
1,804.0
|
|
|
1,587.2
|
|
||
Total insurance reserves
|
6,815.5
|
|
|
6,525.4
|
|
||
Payables
|
|
|
|
||||
Reinsurance premiums
|
148.9
|
|
|
92.7
|
|
||
Current taxation
|
8.2
|
|
|
10.8
|
|
||
Deferred taxation
|
11.0
|
|
|
—
|
|
||
Accrued expenses and other payables
|
293.3
|
|
|
343.8
|
|
||
Liabilities under derivative contracts
|
17.6
|
|
|
4.0
|
|
||
Total payables
|
479.0
|
|
|
451.3
|
|
||
Loan notes issued by variable interest entities, at fair value
|
104.5
|
|
|
103.0
|
|
||
Long-term debt
|
549.3
|
|
|
549.2
|
|
||
Total liabilities
|
$
|
7,948.3
|
|
|
$
|
7,628.9
|
|
Commitments and contingent liabilities (see Note 16)
|
—
|
|
|
—
|
|
||
SHAREHOLDERS’ EQUITY
|
|
|
|
||||
Ordinary shares:
|
|
|
|
||||
60,675,142 shares of par value 0.15144558¢ each
(December 31, 2015 — 60,918,373) |
$
|
0.1
|
|
|
$
|
0.1
|
|
Preference shares:
|
|
|
|
||||
11,000,000 5.95% shares of par value 0.15144558¢ each
(December 31, 2015 — 11,000,000) |
—
|
|
|
—
|
|
||
5,327,500 7.401% shares of par value 0.15144558¢ each
(December 31, 2015 — 5,327,500) |
—
|
|
|
—
|
|
||
6,400,000 7.250% shares of par value 0.15144558¢ each
(December 31, 2015 — 6,400,000) |
—
|
|
|
—
|
|
||
Non-controlling interest
|
1.1
|
|
|
1.3
|
|
||
Additional paid-in capital
|
1,055.9
|
|
|
1,075.3
|
|
||
Retained earnings
|
2,375.9
|
|
|
2,283.6
|
|
||
Accumulated other comprehensive income, net of taxes
|
124.1
|
|
|
59.6
|
|
||
Total shareholders’ equity
|
3,557.1
|
|
|
3,419.9
|
|
||
Total liabilities and shareholders’ equity
|
$
|
11,505.4
|
|
|
$
|
11,048.8
|
|
|
Three Months Ended March 31,
|
||||||
|
2016
|
|
2015
|
||||
Revenues
|
|
|
|
||||
Net earned premium
|
$
|
663.1
|
|
|
$
|
593.6
|
|
Net investment income
|
49.5
|
|
|
47.4
|
|
||
Realized and unrealized investment gains
|
65.6
|
|
|
57.4
|
|
||
Other income
|
1.4
|
|
|
3.9
|
|
||
Total revenues
|
779.6
|
|
|
702.3
|
|
||
Expenses
|
|
|
|
||||
Losses and loss adjustment expenses
|
357.4
|
|
|
306.1
|
|
||
Amortization of deferred policy acquisition costs
|
130.2
|
|
|
119.3
|
|
||
General, administrative and corporate expenses
|
119.8
|
|
|
102.2
|
|
||
Interest on long-term debt
|
7.4
|
|
|
7.4
|
|
||
Change in fair value of derivatives
|
7.2
|
|
|
7.8
|
|
||
Change in fair value of loan notes issued by variable interest entities
|
4.4
|
|
|
2.9
|
|
||
Realized and unrealized investment losses
|
20.6
|
|
|
14.5
|
|
||
Net realized and unrealized foreign exchange losses
|
15.7
|
|
|
6.4
|
|
||
Other expenses
|
—
|
|
|
2.6
|
|
||
Total expenses
|
662.7
|
|
|
569.2
|
|
||
Income from operations before income tax
|
116.9
|
|
|
133.1
|
|
||
Income tax expense
|
(2.5
|
)
|
|
(5.1
|
)
|
||
Net income
|
$
|
114.4
|
|
|
$
|
128.0
|
|
Amount attributable to non-controlling interest
|
0.2
|
|
|
—
|
|
||
Net income attributable to Aspen Insurance Holdings Limited’s ordinary shareholders
|
$
|
114.6
|
|
|
$
|
128.0
|
|
Other Comprehensive Income:
|
|
|
|
||||
Available for sale investments:
|
|
|
|
||||
Reclassification adjustment for net realized (gains) on investments included in net income
|
$
|
(4.2
|
)
|
|
$
|
(32.3
|
)
|
Change in net unrealized gains on available for sale securities held
|
89.2
|
|
|
32.4
|
|
||
Net change from current period hedged transactions
|
(2.1
|
)
|
|
(2.4
|
)
|
||
Change in foreign currency translation adjustment
|
(13.5
|
)
|
|
(27.7
|
)
|
||
Other comprehensive income, gross of tax
|
69.4
|
|
|
(30.0
|
)
|
||
Tax thereon:
|
|
|
|
||||
Reclassification adjustment for net realized gains on investments included in net income
|
0.5
|
|
|
0.4
|
|
||
Change in net unrealized gains on available for sale securities held
|
(8.6
|
)
|
|
(3.3
|
)
|
||
Net change from current period hedged transactions
|
0.7
|
|
|
—
|
|
||
Change in foreign currency translation adjustment
|
2.5
|
|
|
1.6
|
|
||
Total tax on other comprehensive income
|
(4.9
|
)
|
|
(1.3
|
)
|
||
Other comprehensive income/(loss) net of tax
|
64.5
|
|
|
(31.3
|
)
|
||
Total comprehensive income attributable to Aspen Insurance Holdings Limited’s ordinary shareholders
|
$
|
179.1
|
|
|
$
|
96.7
|
|
Per Share Data
|
|
|
|
||||
Weighted average number of ordinary share and share equivalents
|
|
|
|
||||
Basic
|
60,867,815
|
|
|
62,159,303
|
|
||
Diluted
|
62,483,938
|
|
|
63,532,662
|
|
||
Basic earnings per ordinary share adjusted for preference share dividends
|
$
|
1.73
|
|
|
$
|
1.91
|
|
Diluted earnings per ordinary share adjusted for preference share dividends
|
$
|
1.68
|
|
|
$
|
1.87
|
|
|
Three Months Ended March 31,
|
||||||
|
2016
|
|
2015
|
||||
Ordinary shares
|
|
|
|
||||
Beginning and end of the period
|
$
|
0.1
|
|
|
$
|
0.1
|
|
Preference shares
|
|
|
|
||||
Beginning and end of the period
|
—
|
|
|
—
|
|
||
Non-controlling interest
|
|
|
|
||||
Beginning of the period
|
1.3
|
|
|
0.5
|
|
||
Net change attributable to non-controlling interest for the period
|
(0.2
|
)
|
|
—
|
|
||
End of the period
|
1.1
|
|
|
0.5
|
|
||
Additional paid-in capital
|
|
|
|
||||
Beginning of the period
|
1,075.3
|
|
|
1,134.3
|
|
||
New ordinary shares issued
|
1.5
|
|
|
3.5
|
|
||
Ordinary shares repurchased and cancelled
|
(25.0
|
)
|
|
(36.5
|
)
|
||
Share-based compensation
|
4.1
|
|
|
4.7
|
|
||
End of the period
|
1,055.9
|
|
|
1,106.0
|
|
||
Retained earnings
|
|
|
|
||||
Beginning of the period
|
2,283.6
|
|
|
2,050.1
|
|
||
Net income for the period
|
114.4
|
|
|
128.0
|
|
||
Dividends on ordinary shares
|
(12.8
|
)
|
|
(12.4
|
)
|
||
Dividends on preference shares
|
(9.5
|
)
|
|
(9.5
|
)
|
||
Net change attributable to non-controlling interest for the period
|
0.2
|
|
|
—
|
|
||
End of the period
|
2,375.9
|
|
|
2,156.2
|
|
||
Accumulated other comprehensive income:
|
|
|
|
||||
Cumulative foreign currency translation adjustments, net of taxes:
|
|
|
|
||||
Beginning of the period
|
0.6
|
|
|
72.7
|
|
||
Change for the period, net of income tax
|
(11.0
|
)
|
|
(26.1
|
)
|
||
End of the period
|
(10.4
|
)
|
|
46.6
|
|
||
Loss on derivatives, net of taxes:
|
|
|
|
||||
Beginning of the period
|
(1.2
|
)
|
|
(3.8
|
)
|
||
Net change from current period hedged transaction
|
(1.4
|
)
|
|
(2.4
|
)
|
||
End of the period
|
(2.6
|
)
|
|
(6.2
|
)
|
||
Unrealized appreciation on investments, net of taxes:
|
|
|
|
||||
Beginning of the period
|
60.2
|
|
|
165.4
|
|
||
Change for the period, net of taxes
|
76.9
|
|
|
(2.8
|
)
|
||
End of the period
|
137.1
|
|
|
162.6
|
|
||
Total accumulated other comprehensive income, net of taxes
|
124.1
|
|
|
203.0
|
|
||
|
|
|
|
||||
Total shareholders’ equity
|
$
|
3,557.1
|
|
|
$
|
3,465.8
|
|
|
Three Months Ended March 31,
|
||||||
|
2016
|
|
2015
|
||||
Cash flows from operating activities:
|
|
|
|
||||
Net income
|
$
|
114.4
|
|
|
$
|
128.0
|
|
Proportion due to non-controlling interest
|
0.2
|
|
|
—
|
|
||
Adjustments to reconcile net income to net cash flows from operating activities:
|
|
|
|
||||
Depreciation and amortization
|
10.2
|
|
|
11.2
|
|
||
Share-based compensation
|
4.1
|
|
|
4.7
|
|
||
Realized and unrealized investment (gains)
|
(65.6
|
)
|
|
(57.4
|
)
|
||
Realized and unrealized investment losses
|
20.6
|
|
|
14.5
|
|
||
Change in fair value of loan notes issued by variable interest entities
|
4.4
|
|
|
2.9
|
|
||
Net realized and unrealized investment foreign exchange (gains)/losses
|
(2.2
|
)
|
|
21.7
|
|
||
Loss on derivative contracts
|
(1.4
|
)
|
|
(2.4
|
)
|
||
Changes in:
|
|
|
|
||||
Insurance reserves:
|
|
|
|
||||
Losses and loss adjustment expenses
|
58.5
|
|
|
34.1
|
|
||
Unearned premiums
|
202.4
|
|
|
217.8
|
|
||
Reinsurance recoverables:
|
|
|
|
||||
Unpaid losses
|
(9.3
|
)
|
|
(14.5
|
)
|
||
Ceded unearned premiums
|
(74.2
|
)
|
|
(70.8
|
)
|
||
Other receivables
|
(20.8
|
)
|
|
(1.7
|
)
|
||
Deferred policy acquisition costs
|
(46.9
|
)
|
|
(37.6
|
)
|
||
Reinsurance premiums payable
|
55.7
|
|
|
80.8
|
|
||
Funds withheld
|
(3.6
|
)
|
|
0.8
|
|
||
Premiums receivable
|
(207.5
|
)
|
|
(278.6
|
)
|
||
Deferred taxes
|
14.4
|
|
|
8.7
|
|
||
Income tax payable
|
—
|
|
|
(5.2
|
)
|
||
Accrued expenses and other payables
|
(8.7
|
)
|
|
16.9
|
|
||
Fair value of derivatives and settlement of liabilities under derivatives
|
11.9
|
|
|
3.1
|
|
||
Long-term debt and loan notes issued by variable interest entities
|
1.6
|
|
|
—
|
|
||
Other assets
|
2.3
|
|
|
(5.0
|
)
|
||
Net cash generated from operating activities
|
$
|
60.5
|
|
|
$
|
72.0
|
|
|
Three Months Ended March 31,
|
||||||
|
2016
|
|
2015
|
||||
Cash flows (used in) investing activities:
|
|
|
|
||||
(Purchases) of fixed income securities — Available for sale
|
$
|
(682.9
|
)
|
|
$
|
(483.7
|
)
|
(Purchases) of fixed income securities — Trading
|
(215.9
|
)
|
|
(153.4
|
)
|
||
Proceeds from sales and maturities of fixed income securities — Available for sale
|
640.0
|
|
|
540.7
|
|
||
Proceeds from sales and maturities of fixed income securities — Trading
|
132.2
|
|
|
133.8
|
|
||
(Purchases) of equity securities — Trading
|
(60.3
|
)
|
|
(186.7
|
)
|
||
Net proceeds of catastrophe bonds — Trading
|
8.9
|
|
|
1.8
|
|
||
Proceeds from sales of equity securities — Available for sale
|
—
|
|
|
108.6
|
|
||
Proceeds from sales of equity securities — Trading
|
59.1
|
|
|
83.7
|
|
||
(Purchases) of short-term investments — Available for sale
|
(57.4
|
)
|
|
(62.1
|
)
|
||
Proceeds from sales of short-term investments — Available for sale
|
88.7
|
|
|
123.4
|
|
||
(Purchases) of short-term investments — Trading
|
—
|
|
|
(12.8
|
)
|
||
Proceeds from sales of short-term investments — Trading
|
2.1
|
|
|
12.3
|
|
||
Net change in receivable for securities sold
|
23.6
|
|
|
15.9
|
|
||
Net (purchases) of equipment
|
(4.8
|
)
|
|
(5.6
|
)
|
||
Payments for acquisitions and investments, net of cash acquired
|
(52.7
|
)
|
|
(0.8
|
)
|
||
Net cash (used in)/from investing activities
|
(119.4
|
)
|
|
115.1
|
|
||
|
|
|
|
||||
Cash flows (used in) financing activities:
|
|
|
|
||||
Proceeds from the issuance of ordinary shares, net of issuance costs
|
1.5
|
|
|
3.5
|
|
||
Ordinary shares repurchased
|
(25.0
|
)
|
|
(36.5
|
)
|
||
Repayment of long-term debt issued by Silverton
|
(87.4
|
)
|
|
(64.9
|
)
|
||
Dividends paid on ordinary shares
|
(12.8
|
)
|
|
(12.4
|
)
|
||
Dividends paid on preference shares
|
(9.5
|
)
|
|
(9.5
|
)
|
||
Net cash (used in) financing activities
|
(133.2
|
)
|
|
(119.8
|
)
|
||
|
|
|
|
||||
Effect of exchange rate movements on cash and cash equivalents
|
(4.3
|
)
|
|
(19.9
|
)
|
||
|
|
|
|
||||
(Decrease)/increase in cash and cash equivalents
|
(196.4
|
)
|
|
47.4
|
|
||
Cash and cash equivalents at beginning of period
|
1,099.5
|
|
|
1,178.5
|
|
||
Cash and cash equivalents at end of period
|
$
|
903.1
|
|
|
$
|
1,225.9
|
|
|
|
|
|
||||
Supplemental disclosure of cash flow information:
|
|
|
|
||||
Net cash paid/(received) during the period for income tax
|
$
|
0.4
|
|
|
$
|
(3.9
|
)
|
Cash paid during the period for interest
|
$
|
—
|
|
|
$
|
—
|
|
1.
|
History and Organization
|
2.
|
Basis of Preparation
|
3.
|
Reclassifications from Accumulated Other Comprehensive Income
|
|
|
Amount Reclassified from AOCI
|
|
|
||||||
Details about the AOCI Components
|
|
Three Months Ended March 31, 2016
|
|
Three Months Ended March 31, 2015
|
|
Affected Line Item in the Unaudited
Condensed Consolidated Statement
of Operations
|
||||
|
|
($ in millions)
|
|
|
||||||
Available for sale securities:
|
|
|
|
|
||||||
Realized gains on sale of securities
|
|
$
|
7.1
|
|
|
$
|
33.5
|
|
|
Realized and unrealized investment gains
|
Realized (losses) on sale of securities
|
|
(2.9
|
)
|
|
(1.2
|
)
|
|
Realized and unrealized investment losses
|
||
|
|
4.2
|
|
|
32.3
|
|
|
Income from operations before income tax
|
||
Tax on net realized gains of securities
|
|
(0.5
|
)
|
|
(0.4
|
)
|
|
Income tax expense
|
||
|
|
$
|
3.7
|
|
|
$
|
31.9
|
|
|
Net income
|
Realized derivatives:
|
|
|
|
|
|
|
||||
Net realized (losses) on settled derivatives
|
|
1.1
|
|
|
$
|
2.8
|
|
|
General, administrative and corporate expenses
|
|
|
|
$
|
1.1
|
|
|
$
|
2.8
|
|
|
Net income
|
|
|
|
|
|
|
|
||||
Total reclassifications from AOCI to the statement of operations, net of income tax
|
|
$
|
4.8
|
|
|
$
|
34.7
|
|
|
Net income
|
4.
|
Earnings per Ordinary Share
|
|
Three Months Ended March 31,
|
||||||
|
2016
|
|
2015
|
||||
|
($ in millions, except share and per share amounts)
|
||||||
|
|
|
|
||||
Net income
|
$
|
114.4
|
|
|
$
|
128.0
|
|
Preference share dividends
|
(9.5
|
)
|
|
(9.5
|
)
|
||
Net amount attributable to non-controlling interest
|
0.2
|
|
|
—
|
|
||
Basic and diluted net income available to ordinary shareholders
|
$
|
105.1
|
|
|
$
|
118.5
|
|
Ordinary shares:
|
|
|
|
||||
Basic weighted average ordinary shares
|
60,867,815
|
|
|
62,159,303
|
|
||
Weighted average effect of dilutive securities
(1)
|
1,616,123
|
|
|
1,373,359
|
|
||
Total diluted weighted average ordinary shares
|
62,483,938
|
|
|
63,532,662
|
|
||
Earnings per ordinary share:
|
|
|
|
||||
Basic
|
$
|
1.73
|
|
|
$
|
1.91
|
|
Diluted
|
$
|
1.68
|
|
|
$
|
1.87
|
|
(1)
|
Dilutive securities comprise: employee options, restricted share units and performance shares associated with the Company’s long-term incentive plan, employee share purchase plans and director restricted stock units and options as described in Note 14.
|
|
Dividend
|
|
Payable on:
|
|
Record Date:
|
||
Ordinary shares
|
$
|
0.22
|
|
|
May 25, 2016
|
|
May 9, 2016
|
7.401% preference shares
|
$
|
0.462563
|
|
|
July 1, 2016
|
|
June 15, 2016
|
7.250% preference shares
|
$
|
0.4531
|
|
|
July 1, 2016
|
|
June 15, 2016
|
5.95% preference shares
|
$
|
0.3719
|
|
|
July 1, 2016
|
|
June 15, 2016
|
5.
|
Segment Reporting
|
|
Three Months Ended March 31, 2016
|
|
||||||||||
|
Reinsurance
|
|
Insurance
|
|
Total
|
|
||||||
|
($ in millions)
|
|
||||||||||
Underwriting Revenues
|
|
|
|
|
|
|
||||||
Gross written premiums
|
$
|
517.6
|
|
|
$
|
458.1
|
|
|
$
|
975.7
|
|
|
Net written premiums
|
449.5
|
|
|
350.2
|
|
|
799.7
|
|
|
|||
Gross earned premiums
|
306.8
|
|
|
445.6
|
|
|
752.4
|
|
|
|||
Net earned premiums
|
280.3
|
|
|
382.8
|
|
|
663.1
|
|
|
|||
Underwriting Expenses
|
|
|
|
|
|
|
||||||
Losses and loss adjustment expenses
|
134.5
|
|
|
222.9
|
|
|
357.4
|
|
|
|||
Amortization of deferred policy acquisition costs
|
59.4
|
|
|
70.8
|
|
|
130.2
|
|
|
|||
General and administrative expenses
|
44.1
|
|
|
58.6
|
|
|
102.7
|
|
|
|||
Underwriting income
|
$
|
42.3
|
|
|
$
|
30.5
|
|
|
72.8
|
|
|
|
Corporate expenses
|
|
|
|
|
(17.1
|
)
|
|
|||||
Net investment income
|
|
|
|
|
49.5
|
|
|
|||||
Realized and unrealized investment gains
|
|
|
|
|
65.6
|
|
|
|||||
Realized and unrealized investment losses
|
|
|
|
|
(20.6
|
)
|
|
|||||
Change in fair value of loan notes issued by variable interest entities
|
|
|
|
|
(4.4
|
)
|
|
|||||
Change in fair value of derivatives
|
|
|
|
|
(7.2
|
)
|
|
|||||
Interest expense on long term debt
|
|
|
|
|
(7.4
|
)
|
|
|||||
Net realized and unrealized foreign exchange (losses)
|
|
|
|
|
(15.7
|
)
|
|
|||||
Other income
|
|
|
|
|
1.4
|
|
|
|||||
Income before tax
|
|
|
|
|
$
|
116.9
|
|
|
||||
|
|
|
|
|
|
|
||||||
Net reserves for loss and loss adjustment expenses
|
$
|
2,433.0
|
|
|
$
|
2,212.5
|
|
|
$
|
4,645.5
|
|
|
Ratios
|
|
|
|
|
|
|
||||||
Loss ratio
|
48.0
|
%
|
|
58.2
|
%
|
|
53.9
|
%
|
|
|||
Policy acquisition expense ratio
|
21.2
|
|
|
18.5
|
|
|
19.6
|
|
|
|||
General and administrative expense ratio
|
15.7
|
|
|
15.3
|
|
|
18.1
|
|
(1)
|
|||
Expense ratio
|
36.9
|
|
|
33.8
|
|
|
37.7
|
|
|
|||
Combined ratio
|
84.9
|
%
|
|
92.0
|
%
|
|
91.6
|
%
|
|
(1)
|
The general and administrative expense ratio in the total column includes corporate expenses.
|
|
Three Months Ended March 31, 2015
|
|
||||||||||
|
Reinsurance
|
|
Insurance
|
|
Total
|
|
||||||
|
( $ in millions)
|
|
||||||||||
Underwriting Revenues
|
|
|
|
|
|
|
||||||
Gross written premiums
|
$
|
484.8
|
|
|
$
|
434.4
|
|
|
$
|
919.2
|
|
|
Net written premiums
|
442.1
|
|
|
321.1
|
|
|
763.2
|
|
|
|||
Gross earned premiums
|
265.8
|
|
|
415.1
|
|
|
680.9
|
|
|
|||
Net earned premiums
|
249.4
|
|
|
344.2
|
|
|
593.6
|
|
|
|||
Underwriting Expenses
|
|
|
|
|
|
|
||||||
Losses and loss adjustment expenses
|
105.5
|
|
|
200.6
|
|
|
306.1
|
|
|
|||
Amortization of deferred policy acquisition costs
|
53.4
|
|
|
65.9
|
|
|
119.3
|
|
|
|||
General and administrative expenses
|
32.4
|
|
|
55.3
|
|
|
87.7
|
|
|
|||
Underwriting income
|
$
|
58.1
|
|
|
$
|
22.4
|
|
|
80.5
|
|
|
|
Corporate expenses
|
|
|
|
|
(14.5
|
)
|
|
|||||
Net investment income
|
|
|
|
|
47.4
|
|
|
|||||
Realized and unrealized investment gains
|
|
|
|
|
57.4
|
|
|
|||||
Realized and unrealized investment losses
|
|
|
|
|
(14.5
|
)
|
|
|||||
Change in fair value of loan notes issued by variable interest entities
|
|
|
|
|
(2.9
|
)
|
|
|||||
Change in fair value of derivatives
|
|
|
|
|
(7.8
|
)
|
|
|||||
Interest expense on long term debt
|
|
|
|
|
(7.4
|
)
|
|
|||||
Net realized and unrealized foreign exchange (losses)
|
|
|
|
|
(6.4
|
)
|
|
|||||
Other income
|
|
|
|
|
3.9
|
|
|
|||||
Other expenses
|
|
|
|
|
(2.6
|
)
|
|
|||||
Income before tax
|
|
|
|
|
$
|
133.1
|
|
|
||||
|
|
|
|
|
|
|
||||||
Net reserves for loss and loss adjustment expenses
|
$
|
2,410.9
|
|
|
$
|
1,927.9
|
|
|
$
|
4,338.8
|
|
|
Ratios
|
|
|
|
|
|
|
||||||
Loss ratio
|
42.3
|
%
|
|
58.3
|
%
|
|
51.6
|
%
|
|
|||
Policy acquisition expense ratio
|
21.4
|
|
|
19.1
|
|
|
20.1
|
|
|
|||
General and administrative expense ratio
|
13.0
|
|
|
16.1
|
|
|
17.2
|
|
(1)
|
|||
Expense ratio
|
34.4
|
|
|
35.2
|
|
|
37.3
|
|
|
|||
Combined ratio
|
76.7
|
%
|
|
93.5
|
%
|
|
88.9
|
%
|
|
(1)
|
The general and administrative expense ratio in the total column includes corporate expenses.
|
|
For the Three Months Ended
|
||||||
|
March 31, 2016
|
|
March 31, 2015
|
||||
|
($ in millions)
|
||||||
Fixed income securities — Available for sale
|
$
|
36.6
|
|
|
$
|
35.2
|
|
Fixed income securities — Trading
|
7.4
|
|
|
7.0
|
|
||
Short-term investments — Available for sale
|
0.1
|
|
|
0.4
|
|
||
Fixed term deposits (included in cash and cash equivalents)
|
0.5
|
|
|
1.1
|
|
||
Equity securities — Trading
|
6.9
|
|
|
6.2
|
|
||
Catastrophe bonds — Trading
|
0.6
|
|
|
0.4
|
|
||
Total
|
$
|
52.1
|
|
|
$
|
50.3
|
|
Investment expenses
|
(2.6
|
)
|
|
(2.9
|
)
|
||
Net investment income
|
$
|
49.5
|
|
|
$
|
47.4
|
|
|
For the Three Months Ended
|
||||||
|
March 31, 2016
|
|
March 31, 2015
|
||||
|
($ in millions)
|
||||||
Available for sale:
|
|
|
|
||||
Fixed income securities — gross realized gains
|
$
|
7.1
|
|
|
$
|
6.2
|
|
Fixed income securities — gross realized (losses)
|
(2.4
|
)
|
|
(0.5
|
)
|
||
Equity securities — gross realized gains
|
—
|
|
|
31.9
|
|
||
Equity securities — gross realized (losses)
|
—
|
|
|
(3.0
|
)
|
||
Cash and cash equivalents — gross realized (losses)
|
(0.7
|
)
|
|
—
|
|
||
Trading:
|
|
|
|
||||
Fixed income securities — gross realized gains
|
1.2
|
|
|
2.0
|
|
||
Fixed income securities — gross realized (losses)
|
(5.8
|
)
|
|
(2.2
|
)
|
||
Equity securities — gross realized gains
|
5.9
|
|
|
16.5
|
|
||
Equity securities — gross realized (losses)
|
(11.5
|
)
|
|
(8.8
|
)
|
||
Catastrophe bonds
|
(0.2
|
)
|
|
—
|
|
||
Net change in gross unrealized gains
|
51.4
|
|
|
0.8
|
|
||
Total net realized and unrealized investment gains recorded in the statement of operations
|
$
|
45.0
|
|
|
$
|
42.9
|
|
|
|
|
|
||||
Change in available for sale net unrealized gains:
|
|
|
|
||||
Fixed income securities
|
85.0
|
|
|
27.3
|
|
||
Short-term investments
|
—
|
|
|
0.1
|
|
||
Equity securities
|
—
|
|
|
(27.3
|
)
|
||
Total change in pre-tax available for sale unrealized gains
|
85.0
|
|
|
0.1
|
|
||
Change in taxes
|
(8.1
|
)
|
|
(2.9
|
)
|
||
Total change in net unrealized gains, net of taxes, recorded in other comprehensive income
|
$
|
76.9
|
|
|
$
|
(2.8
|
)
|
|
As at March 31, 2016
|
||||||||||||||
|
Cost or
Amortized Cost
|
|
Gross
Unrealized
Gains
|
|
Gross
Unrealized
Losses
|
|
Fair Market
Value
|
||||||||
|
($ in millions)
|
||||||||||||||
U.S. government
|
$
|
1,084.5
|
|
|
$
|
27.2
|
|
|
$
|
—
|
|
|
$
|
1,111.7
|
|
U.S. agency
|
145.4
|
|
|
4.5
|
|
|
—
|
|
|
149.9
|
|
||||
Municipal
|
30.8
|
|
|
2.3
|
|
|
(0.2
|
)
|
|
32.9
|
|
||||
Corporate
|
2,599.8
|
|
|
83.7
|
|
|
(2.6
|
)
|
|
2,680.9
|
|
||||
Non-U.S. government-backed corporate
|
71.4
|
|
|
1.1
|
|
|
—
|
|
|
72.5
|
|
||||
Foreign government
|
660.4
|
|
|
14.3
|
|
|
(0.2
|
)
|
|
674.5
|
|
||||
Asset-backed
|
75.2
|
|
|
1.1
|
|
|
—
|
|
|
76.3
|
|
||||
Non-agency commercial mortgage-backed
|
21.6
|
|
|
1.0
|
|
|
—
|
|
|
22.6
|
|
||||
Agency mortgage-backed
|
1,206.0
|
|
|
37.2
|
|
|
(0.8
|
)
|
|
1,242.4
|
|
||||
Total fixed income securities — Available for sale
|
5,895.1
|
|
|
172.4
|
|
|
(3.8
|
)
|
|
6,063.7
|
|
||||
Total short-term investments — Available for sale
|
135.3
|
|
|
—
|
|
|
—
|
|
|
135.3
|
|
||||
Total
|
$
|
6,030.4
|
|
|
$
|
172.4
|
|
|
$
|
(3.8
|
)
|
|
$
|
6,199.0
|
|
|
As at December 31, 2015
|
||||||||||||||
|
Cost or
Amortized Cost
|
|
Gross
Unrealized
Gains
|
|
Gross
Unrealized
Losses
|
|
Fair Market
Value
|
||||||||
|
($ in millions)
|
||||||||||||||
U.S. government
|
$
|
1,113.9
|
|
|
$
|
13.0
|
|
|
$
|
(3.8
|
)
|
|
$
|
1,123.1
|
|
U.S. agency
|
154.5
|
|
|
4.3
|
|
|
(0.1
|
)
|
|
158.7
|
|
||||
Municipal
|
25.0
|
|
|
1.6
|
|
|
—
|
|
|
26.6
|
|
||||
Corporate
|
2,626.2
|
|
|
49.5
|
|
|
(15.1
|
)
|
|
2,660.6
|
|
||||
Non-U.S. government-backed corporate
|
81.6
|
|
|
0.6
|
|
|
(0.1
|
)
|
|
82.1
|
|
||||
Foreign government
|
634.6
|
|
|
10.5
|
|
|
(0.9
|
)
|
|
644.2
|
|
||||
Asset-backed
|
75.4
|
|
|
0.9
|
|
|
(0.3
|
)
|
|
76.0
|
|
||||
Non-agency commercial mortgage-backed
|
25.5
|
|
|
1.2
|
|
|
—
|
|
|
26.7
|
|
||||
Agency mortgage-backed
|
1,130.8
|
|
|
27.6
|
|
|
(5.3
|
)
|
|
1,153.1
|
|
||||
Total fixed income securities — Available for sale
|
5,867.5
|
|
|
109.2
|
|
|
(25.6
|
)
|
|
5,951.1
|
|
||||
Total short-term investments — Available for sale
|
162.9
|
|
|
—
|
|
|
—
|
|
|
162.9
|
|
||||
Total
|
$
|
6,030.4
|
|
|
$
|
109.2
|
|
|
$
|
(25.6
|
)
|
|
$
|
6,114.0
|
|
|
As at March 31, 2016
|
||||||||||||||
|
Cost or
Amortized Cost
|
|
Gross
Unrealized
Gains
|
|
Gross
Unrealized
Losses
|
|
Fair Market
Value
|
||||||||
|
($ in millions)
|
||||||||||||||
U.S. government
|
$
|
41.8
|
|
|
$
|
0.3
|
|
|
$
|
—
|
|
|
$
|
42.1
|
|
Municipal
|
4.0
|
|
|
—
|
|
|
—
|
|
|
4.0
|
|
||||
Corporate
|
602.0
|
|
|
15.2
|
|
|
(2.0
|
)
|
|
615.2
|
|
||||
Foreign government
|
192.7
|
|
|
6.7
|
|
|
(0.9
|
)
|
|
198.5
|
|
||||
Asset-backed
|
19.8
|
|
|
—
|
|
|
(0.2
|
)
|
|
19.6
|
|
||||
Agency mortgage-backed
|
17.4
|
|
|
—
|
|
|
—
|
|
|
17.4
|
|
||||
Total fixed income securities — Trading
|
877.7
|
|
|
22.2
|
|
|
(3.1
|
)
|
|
896.8
|
|
||||
Total short-term investments — Trading
|
7.7
|
|
|
—
|
|
|
—
|
|
|
7.7
|
|
||||
Total equity securities — Trading
|
700.1
|
|
|
89.3
|
|
|
(31.6
|
)
|
|
757.8
|
|
||||
Total catastrophe bonds — Trading
|
46.1
|
|
|
0.1
|
|
|
(0.1
|
)
|
|
46.1
|
|
||||
Total
|
$
|
1,631.6
|
|
|
$
|
111.6
|
|
|
$
|
(34.8
|
)
|
|
$
|
1,708.4
|
|
|
As at December 31, 2015
|
||||||||||||||
|
Cost or
Amortized Cost
|
|
Gross
Unrealized
Gains
|
|
Gross
Unrealized
Losses
|
|
Fair Market
Value
|
||||||||
|
($ in millions)
|
||||||||||||||
U.S. government
|
$
|
27.4
|
|
|
$
|
—
|
|
|
$
|
(0.1
|
)
|
|
$
|
27.3
|
|
Municipal
|
0.5
|
|
|
—
|
|
|
—
|
|
|
0.5
|
|
||||
Corporate
|
561.9
|
|
|
5.9
|
|
|
(9.6
|
)
|
|
558.2
|
|
||||
Foreign government
|
181.5
|
|
|
1.7
|
|
|
(3.7
|
)
|
|
179.5
|
|
||||
Asset-backed
|
20.7
|
|
|
—
|
|
|
(0.2
|
)
|
|
20.5
|
|
||||
Bank loans
|
2.2
|
|
|
—
|
|
|
(0.2
|
)
|
|
2.0
|
|
||||
Total fixed income securities — Trading
|
794.2
|
|
|
7.6
|
|
|
(13.8
|
)
|
|
788.0
|
|
||||
Total short-term investments — Trading
|
9.5
|
|
|
—
|
|
|
—
|
|
|
9.5
|
|
||||
Total equity securities — Trading
|
722.5
|
|
|
57.3
|
|
|
(43.4
|
)
|
|
736.4
|
|
||||
Total catastrophe bonds — Trading
|
55.2
|
|
|
0.3
|
|
|
(0.1
|
)
|
|
55.4
|
|
||||
Total
|
$
|
1,581.4
|
|
|
$
|
65.2
|
|
|
$
|
(57.3
|
)
|
|
$
|
1,589.3
|
|
|
For the Three Months Ended March 31, 2016
|
||||||||||
|
MVI
|
|
Chaspark
|
|
Total
|
||||||
|
($ in millions)
|
||||||||||
Opening and closing undistributed value of investment
|
$
|
0.8
|
|
|
$
|
8.7
|
|
|
$
|
9.5
|
|
|
For the Three Months Ended March 31, 2015
|
||||||||||
|
MVI
|
|
Chaspark
|
|
Total
|
||||||
|
($ in millions)
|
||||||||||
Opening undistributed value of investment
|
$
|
—
|
|
|
$
|
8.7
|
|
|
$
|
8.7
|
|
Initial investment
|
0.8
|
|
|
—
|
|
|
$
|
0.8
|
|
||
Closing value of investment
|
$
|
0.8
|
|
|
$
|
8.7
|
|
|
$
|
9.5
|
|
|
As at March 31, 2016
|
||||||||
|
Amortized
Cost or Cost
|
|
Fair Market
Value
|
|
Average
S&P Ratings by
Maturity
|
||||
|
($ in millions)
|
||||||||
Due one year or less
|
$
|
581.0
|
|
|
$
|
583.2
|
|
|
AA
|
Due after one year through five years
|
2,835.6
|
|
|
2,910.3
|
|
|
AA-
|
||
Due after five years through ten years
|
1,072.0
|
|
|
1,114.7
|
|
|
A+
|
||
Due after ten years
|
103.7
|
|
|
114.2
|
|
|
A+
|
||
Subtotal
|
4,592.3
|
|
|
4,722.4
|
|
|
|
||
Non-agency commercial mortgage-backed
|
21.6
|
|
|
22.6
|
|
|
AA+
|
||
Agency mortgage-backed
|
1,206.0
|
|
|
1,242.4
|
|
|
AA+
|
||
Asset-backed
|
75.2
|
|
|
76.3
|
|
|
AAA
|
||
Total fixed income securities — Available for sale
|
$
|
5,895.1
|
|
|
$
|
6,063.7
|
|
|
|
|
As at December 31, 2015
|
||||||||
|
Amortized
Cost or Cost
|
|
Fair Market
Value
|
|
Average
S&P Ratings by
Maturity
|
||||
|
($ in millions)
|
||||||||
Due one year or less
|
$
|
661.8
|
|
|
$
|
664.4
|
|
|
AA
|
Due after one year through five years
|
2,765.2
|
|
|
2,806.6
|
|
|
AA-
|
||
Due after five years through ten years
|
1,122.5
|
|
|
1,132.0
|
|
|
A+
|
||
Due after ten years
|
86.3
|
|
|
92.3
|
|
|
A+
|
||
Subtotal
|
4,635.8
|
|
|
4,695.3
|
|
|
|
||
Non-agency commercial mortgage-backed
|
25.5
|
|
|
26.7
|
|
|
AA+
|
||
Agency mortgage-backed
|
1,130.8
|
|
|
1,153.1
|
|
|
AA+
|
||
Asset-backed
|
75.4
|
|
|
76.0
|
|
|
AAA
|
||
Total fixed income securities — Available for sale
|
$
|
5,867.5
|
|
|
$
|
5,951.1
|
|
|
|
|
As at March 31, 2016
|
|||||||||||||||||||||||||
|
0-12 months
|
|
Over 12 months
|
|
Total
|
|||||||||||||||||||||
|
Fair
Market
Value
|
|
Gross
Unrealized
Loss
|
|
Fair
Market
Value
|
|
Gross
Unrealized
Loss
|
|
Fair
Market
Value
|
|
Gross
Unrealized
Loss
|
|
Number of
Securities
|
|||||||||||||
|
($ in millions)
|
|||||||||||||||||||||||||
U.S. government
|
$
|
55.5
|
|
|
$
|
—
|
|
|
$
|
3.2
|
|
|
$
|
—
|
|
|
$
|
58.7
|
|
|
$
|
—
|
|
|
10
|
|
U.S. agency
|
1.3
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1.3
|
|
|
—
|
|
|
1
|
|
||||||
Municipal
|
3.9
|
|
|
(0.2
|
)
|
|
—
|
|
|
—
|
|
|
3.9
|
|
|
(0.2
|
)
|
|
4
|
|
||||||
Corporate
|
232.4
|
|
|
(2.0
|
)
|
|
56.4
|
|
|
(0.6
|
)
|
|
288.8
|
|
|
(2.6
|
)
|
|
144
|
|
||||||
Non-U.S. government-backed corporate
|
4.3
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
4.3
|
|
|
—
|
|
|
3
|
|
||||||
Foreign government
|
92.8
|
|
|
(0.2
|
)
|
|
34.7
|
|
|
—
|
|
|
127.5
|
|
|
(0.2
|
)
|
|
15
|
|
||||||
Asset-backed
|
7.7
|
|
|
—
|
|
|
4.1
|
|
|
—
|
|
|
11.8
|
|
|
—
|
|
|
15
|
|
||||||
Agency mortgage-backed
|
32.3
|
|
|
—
|
|
|
115.4
|
|
|
(0.8
|
)
|
|
147.7
|
|
|
(0.8
|
)
|
|
48
|
|
||||||
Total fixed income securities — Available for sale
|
430.2
|
|
|
(2.4
|
)
|
|
213.8
|
|
|
(1.4
|
)
|
|
644.0
|
|
|
(3.8
|
)
|
|
240
|
|
||||||
Total short-term investments — Available for sale
|
9.8
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
9.8
|
|
|
—
|
|
|
9
|
|
||||||
Total
|
$
|
440.0
|
|
|
$
|
(2.4
|
)
|
|
$
|
213.8
|
|
|
$
|
(1.4
|
)
|
|
$
|
653.8
|
|
|
$
|
(3.8
|
)
|
|
249
|
|
|
As at December 31, 2015
|
||||||||||||||||||||||||
|
0-12 months
|
|
Over 12 months
|
|
Total
|
||||||||||||||||||||
|
Fair
Market
Value
|
|
Gross
Unrealized
Loss
|
|
Fair
Market
Value
|
|
Gross
Unrealized
Loss
|
|
Fair
Market
Value
|
|
Gross
Unrealized
Loss
|
|
Number of
Securities
|
||||||||||||
|
($ in millions)
|
||||||||||||||||||||||||
U.S. government
|
$
|
583.2
|
|
|
$
|
(3.7
|
)
|
|
$
|
4.6
|
|
|
$
|
(0.1
|
)
|
|
$
|
587.8
|
|
|
$
|
(3.8
|
)
|
|
72
|
U.S. agency
|
17.6
|
|
|
(0.1
|
)
|
|
—
|
|
|
—
|
|
|
17.6
|
|
|
(0.1
|
)
|
|
12
|
||||||
Municipal
|
1.7
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1.7
|
|
|
—
|
|
|
3
|
||||||
Corporate
|
1,179.7
|
|
|
(13.3
|
)
|
|
81.1
|
|
|
(1.8
|
)
|
|
1,260.8
|
|
|
(15.1
|
)
|
|
510
|
||||||
Non-U.S. government-backed corporate
|
40.9
|
|
|
(0.1
|
)
|
|
—
|
|
|
—
|
|
|
40.9
|
|
|
(0.1
|
)
|
|
9
|
||||||
Foreign government
|
174.6
|
|
|
(0.8
|
)
|
|
2.8
|
|
|
(0.1
|
)
|
|
177.4
|
|
|
(0.9
|
)
|
|
43
|
||||||
Asset-backed
|
51.4
|
|
|
(0.3
|
)
|
|
4.2
|
|
|
—
|
|
|
55.6
|
|
|
(0.3
|
)
|
|
39
|
||||||
Agency mortgage-backed
|
348.1
|
|
|
(3.6
|
)
|
|
72.2
|
|
|
(1.7
|
)
|
|
420.3
|
|
|
(5.3
|
)
|
|
105
|
||||||
Total fixed income securities — Available for sale
|
2,397.2
|
|
|
(21.9
|
)
|
|
164.9
|
|
|
(3.7
|
)
|
|
2,562.1
|
|
|
(25.6
|
)
|
|
793
|
||||||
Total short-term investments — Available for sale
|
56.7
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
56.7
|
|
|
—
|
|
|
12
|
||||||
Total
|
$
|
2,453.9
|
|
|
$
|
(21.9
|
)
|
|
$
|
164.9
|
|
|
$
|
(3.7
|
)
|
|
$
|
2,618.8
|
|
|
$
|
(25.6
|
)
|
|
805
|
|
For the Three Months Ended
|
||||||
|
March 31, 2016
|
|
March 31, 2015
|
||||
|
($ in millions)
|
||||||
(Purchases) of fixed income securities — Available for sale
|
$
|
(682.9
|
)
|
|
$
|
(483.7
|
)
|
(Purchases) of fixed income securities — Trading
|
(215.9
|
)
|
|
(153.4
|
)
|
||
(Purchases) of equity securities — Trading
|
(60.3
|
)
|
|
(186.7
|
)
|
||
Proceeds from sales and maturities of fixed income securities — Available for sale
|
640.0
|
|
|
540.7
|
|
||
Proceeds from sales and maturities of fixed income securities — Trading
|
132.2
|
|
|
133.8
|
|
||
Proceeds from sales of equity securities — Available for sale
|
—
|
|
|
108.6
|
|
||
Proceeds from sales of equity securities — Trading
|
59.1
|
|
|
83.7
|
|
||
Net change in (payable)/receivable for securities (purchased)/sold
|
23.6
|
|
|
15.9
|
|
||
(Purchases) of short-term investments — Available for sale
|
(57.4
|
)
|
|
(62.1
|
)
|
||
Proceeds from short-term investments — Available for sale
|
88.7
|
|
|
123.4
|
|
||
(Purchases) of short-term investments — Trading
|
—
|
|
|
(12.8
|
)
|
||
Proceeds from short-term investments — Trading
|
2.1
|
|
|
12.3
|
|
||
Net proceeds of catastrophe bonds — Trading
|
8.9
|
|
|
1.8
|
|
||
Net (purchases)/proceeds for the period
|
$
|
(61.9
|
)
|
|
$
|
121.5
|
|
7.
|
Variable Interest Entities
|
i.
|
Silverton has collateralized the aggregate limit provided to Aspen Bermuda by way of a trust in favor of Aspen Bermuda as the beneficiary;
|
ii.
|
the trustee is a large, well-established regulated entity; and
|
iii.
|
all funds within the trust account are bound by investment guidelines restricting investments to one of the institutional class money market funds run by large international investment managers.
|
8.
|
Fair Value Measurements
|
|
As at March 31, 2016
|
||||||||||||||
|
Level 1
|
|
Level 2
|
|
Level 3
|
|
Total
|
||||||||
|
($ in millions)
|
||||||||||||||
Available for sale financial assets, at fair value
|
|
|
|
|
|
|
|
||||||||
U.S. government
|
$
|
1,111.7
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
1,111.7
|
|
U.S. agency
|
—
|
|
|
149.9
|
|
|
—
|
|
|
149.9
|
|
||||
Municipal
|
—
|
|
|
32.9
|
|
|
—
|
|
|
32.9
|
|
||||
Corporate
|
—
|
|
|
2,680.9
|
|
|
—
|
|
|
2,680.9
|
|
||||
Non-U.S. government-backed corporate
|
—
|
|
|
72.5
|
|
|
—
|
|
|
72.5
|
|
||||
Foreign government
|
480.6
|
|
|
193.9
|
|
|
—
|
|
|
674.5
|
|
||||
Asset-backed
|
—
|
|
|
76.3
|
|
|
—
|
|
|
76.3
|
|
||||
Non-agency commercial mortgage-backed
|
—
|
|
|
22.6
|
|
|
—
|
|
|
22.6
|
|
||||
Agency mortgage-backed
|
—
|
|
|
1,242.4
|
|
|
—
|
|
|
1,242.4
|
|
||||
Total fixed income securities available for sale, at fair value
|
1,592.3
|
|
|
4,471.4
|
|
|
—
|
|
|
6,063.7
|
|
||||
Short-term investments available for sale, at fair value
|
101.1
|
|
|
34.2
|
|
|
—
|
|
|
135.3
|
|
||||
Held for trading financial assets, at fair value
|
|
|
|
|
|
|
|
||||||||
U.S. government
|
42.1
|
|
|
—
|
|
|
—
|
|
|
42.1
|
|
||||
Municipal
|
—
|
|
|
4.0
|
|
|
—
|
|
|
4.0
|
|
||||
Corporate
|
—
|
|
|
615.2
|
|
|
—
|
|
|
615.2
|
|
||||
Foreign government
|
95.6
|
|
|
102.9
|
|
|
—
|
|
|
198.5
|
|
||||
Asset-backed
|
—
|
|
|
19.6
|
|
|
—
|
|
|
19.6
|
|
||||
Agency mortgage-backed
|
—
|
|
|
17.4
|
|
|
—
|
|
|
17.4
|
|
||||
Total fixed income securities trading, at fair value
|
137.7
|
|
|
759.1
|
|
|
—
|
|
|
896.8
|
|
||||
Short-term investments trading, at fair value
|
7.7
|
|
|
—
|
|
|
—
|
|
|
7.7
|
|
||||
Equity investments trading, at fair value
|
757.8
|
|
|
—
|
|
|
—
|
|
|
757.8
|
|
||||
Catastrophe bonds trading, at fair value
|
—
|
|
|
46.1
|
|
|
—
|
|
|
46.1
|
|
||||
Other financial assets and liabilities, at fair value
|
|
|
|
|
|
|
|
||||||||
Derivatives at fair value — foreign exchange contracts
|
—
|
|
|
10.9
|
|
|
—
|
|
|
10.9
|
|
||||
Liabilities under derivative contracts
— interest rate swaps
|
—
|
|
|
(0.8
|
)
|
|
—
|
|
|
(0.8
|
)
|
||||
Liabilities under derivative contracts — foreign exchange contracts
|
—
|
|
|
(16.8
|
)
|
|
—
|
|
|
(16.8
|
)
|
||||
Loan notes issued by variable interest entities, at fair value
|
—
|
|
|
—
|
|
|
(104.5
|
)
|
|
(104.5
|
)
|
||||
Loan notes issued by variable interest entities, at fair value (classified as a current liability)
|
—
|
|
|
—
|
|
|
(3.1
|
)
|
|
(3.1
|
)
|
||||
Total
|
$
|
2,596.6
|
|
|
$
|
5,304.1
|
|
|
$
|
(107.6
|
)
|
|
$
|
7,793.1
|
|
|
As at December 31, 2015
|
||||||||||||||
|
Level 1
|
|
Level 2
|
|
Level 3
|
|
Total
|
||||||||
|
($ in millions)
|
||||||||||||||
Available for sale financial assets, at fair value
|
|
|
|
|
|
|
|
||||||||
U.S. government
|
$
|
1,123.1
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
1,123.1
|
|
U.S. agency
|
—
|
|
|
158.7
|
|
|
—
|
|
|
158.7
|
|
||||
Municipal
|
—
|
|
|
26.6
|
|
|
—
|
|
|
26.6
|
|
||||
Corporate
|
—
|
|
|
2,660.6
|
|
|
—
|
|
|
2,660.6
|
|
||||
Non-U.S. government-backed corporate
|
—
|
|
|
82.1
|
|
|
—
|
|
|
82.1
|
|
||||
Foreign government
|
449.5
|
|
|
194.7
|
|
|
—
|
|
|
644.2
|
|
||||
Asset-backed
|
—
|
|
|
76.0
|
|
|
—
|
|
|
76.0
|
|
||||
Non-agency commercial mortgage-backed
|
—
|
|
|
26.7
|
|
|
—
|
|
|
26.7
|
|
||||
Agency mortgage-backed
|
—
|
|
|
1,153.1
|
|
|
—
|
|
|
1,153.1
|
|
||||
Total fixed income securities available for sale, at fair value
|
1,572.6
|
|
|
4,378.5
|
|
|
—
|
|
|
5,951.1
|
|
||||
Short-term investments available for sale, at fair value
|
130.5
|
|
|
32.4
|
|
|
—
|
|
|
162.9
|
|
||||
Held for trading financial assets, at fair value
|
|
|
|
|
|
|
|
||||||||
U.S. government
|
27.3
|
|
|
—
|
|
|
—
|
|
|
27.3
|
|
||||
Municipal
|
—
|
|
|
0.5
|
|
|
—
|
|
|
0.5
|
|
||||
Corporate
|
—
|
|
|
558.2
|
|
|
—
|
|
|
558.2
|
|
||||
Foreign government
|
73.8
|
|
|
105.7
|
|
|
—
|
|
|
179.5
|
|
||||
Asset-backed
|
—
|
|
|
20.5
|
|
|
—
|
|
|
20.5
|
|
||||
Bank loans
|
—
|
|
|
2.0
|
|
|
—
|
|
|
2.0
|
|
||||
Total fixed income securities trading, at fair value
|
101.1
|
|
|
686.9
|
|
|
—
|
|
|
788.0
|
|
||||
Short-term investments trading, at fair value
|
7.4
|
|
|
2.1
|
|
|
—
|
|
|
9.5
|
|
||||
Equity investments trading, at fair value
|
736.4
|
|
|
—
|
|
|
—
|
|
|
736.4
|
|
||||
Catastrophe bonds trading, at fair value
|
—
|
|
|
55.4
|
|
|
—
|
|
|
55.4
|
|
||||
|
|
|
|
|
|
|
|
||||||||
Other financial assets and liabilities, at fair value
|
|
|
|
|
|
|
|
||||||||
Derivatives at fair value – foreign exchange contracts
|
—
|
|
|
8.8
|
|
|
—
|
|
|
8.8
|
|
||||
Derivatives at fair value – interest rate swaps
|
—
|
|
|
0.4
|
|
|
—
|
|
|
0.4
|
|
||||
Liabilities under derivative contracts – foreign exchange contracts
|
—
|
|
|
(4.0
|
)
|
|
—
|
|
|
(4.0
|
)
|
||||
Loan notes issued by variable interest entities, at fair value
|
—
|
|
|
—
|
|
|
(103.0
|
)
|
|
(103.0
|
)
|
||||
Loan notes issued by variable interest entities, at fair value (classified as a current liability)
|
—
|
|
|
—
|
|
|
(87.6
|
)
|
|
(87.6
|
)
|
||||
Total
|
$
|
2,548.0
|
|
|
$
|
5,160.5
|
|
|
$
|
(190.6
|
)
|
|
$
|
7,517.9
|
|
Reconciliation of Liabilities Using Level 3 Inputs
|
|
|
Three Months Ended March 31, 2016
|
|
Three Months Ended March 31, 2015
|
||||
|
|
|
($ in millions)
|
||||||
Balance at the beginning of the period
(1)
|
|
|
$
|
190.6
|
|
|
$
|
138.6
|
|
Distributed to third party
|
|
|
(87.4
|
)
|
|
(64.8
|
)
|
||
Total change in fair value included in the statement of operations
|
|
4.4
|
|
|
2.9
|
|
|||
Balance at the end of the period
(1)
|
|
|
$
|
107.6
|
|
|
$
|
76.7
|
|
|
As at March 31, 2016
|
|
As at December 31, 2015
|
||
Index providers
|
84
|
%
|
|
85
|
%
|
Pricing services
|
11
|
|
|
10
|
|
Broker-dealers
|
5
|
|
|
5
|
|
Total
|
100
|
%
|
|
100
|
%
|
|
As at March 31, 2016
|
|
As at December 31, 2015
|
||||||||||
|
Fair Market
Value Determined
using Prices from
Index Providers
|
|
% of Total
Fair Value by
Security Type
|
|
Fair Market
Value Determined
using Prices from
Index Providers
|
|
% of Total
Fair Value by
Security Type
|
||||||
|
($ in millions, except for percentages)
|
||||||||||||
U.S. government
|
$
|
1,092.9
|
|
|
95
|
%
|
|
$
|
1,095.4
|
|
|
95
|
%
|
U.S. agency
|
132.9
|
|
|
89
|
%
|
|
148.5
|
|
|
94
|
%
|
||
Municipal
|
19.4
|
|
|
53
|
%
|
|
10.5
|
|
|
39
|
%
|
||
Corporate
|
3,141.1
|
|
|
95
|
%
|
|
3,083.5
|
|
|
96
|
%
|
||
Non-U.S. government-backed corporate
|
39.3
|
|
|
54
|
%
|
|
41.7
|
|
|
51
|
%
|
||
Foreign government
|
513.4
|
|
|
59
|
%
|
|
517.6
|
|
|
63
|
%
|
||
Asset-backed
|
50.9
|
|
|
53
|
%
|
|
55.3
|
|
|
57
|
%
|
||
Non-agency commercial mortgage-backed
|
18.9
|
|
|
84
|
%
|
|
22.7
|
|
|
85
|
%
|
||
Agency mortgage-backed
|
823.4
|
|
|
65
|
%
|
|
742.9
|
|
|
64
|
%
|
||
Total fixed income securities
|
$
|
5,832.2
|
|
|
84
|
%
|
|
$
|
5,718.1
|
|
|
85
|
%
|
Equities
|
757.8
|
|
|
99
|
%
|
|
736.4
|
|
|
100
|
%
|
||
Total fixed income securities and equity investments
|
$
|
6,590.0
|
|
|
85
|
%
|
|
$
|
6,454.5
|
|
|
86
|
%
|
•
|
quantitative analysis (e.g., comparing the quarterly return for each managed portfolio to its target benchmark, with significant differences identified and investigated);
|
•
|
comparison of market values obtained from pricing services, index providers and broker-dealers against alternative price sources for each security where further investigation is completed when significant differences exist for pricing of individual securities between pricing sources;
|
•
|
initial and ongoing evaluation of methodologies used by outside parties to calculate fair value; and
|
•
|
comparison of the fair value estimates to the Company’s knowledge of the current market.
|
At March 31, 2016
|
|
Fair Value
Level 3
|
|
Valuation Method
|
|
Observable (O) and
Unobservable (U) inputs
|
|
Low
|
|
High
|
||||||
|
($ in millions)
|
|
|
|
|
($ in millions)
|
||||||||||
Loan notes held by third parties
|
|
$
|
107.6
|
|
(1)
|
Internal Valuation Model
|
|
Gross premiums written (O)
|
|
$
|
35.0
|
|
|
$
|
38.9
|
|
|
|
|
|
|
|
Reserve for losses (U)
|
|
$
|
0.6
|
|
|
$
|
4.2
|
|
||
|
|
|
|
|
|
Contract period (O)
|
|
N/A
|
|
|
365 days
|
|
||||
|
|
|
|
|
|
Initial value of issuance (O)
|
|
$
|
220.0
|
|
|
$
|
220.0
|
|
At December 31, 2015
|
|
Fair Value
Level 3
|
|
Valuation Method
|
|
Observable (O) and
Unobservable (U) inputs
|
|
Low
|
|
High
|
||||||
|
($ in millions)
|
|
|
|
|
($ in millions)
|
||||||||||
Loan notes held by third parties
|
|
$
|
190.6
|
|
(1)
|
Internal Valuation Model
|
|
Gross premiums written (O)
|
|
$
|
—
|
|
|
$
|
38.9
|
|
|
|
|
|
|
|
Reserve for losses (U)
|
|
$
|
—
|
|
|
$
|
4.2
|
|
||
|
|
|
|
|
|
Contract period (O)
|
|
N/A
|
|
|
365 days
|
|
||||
|
|
|
|
|
|
Initial value of issuance (O)
|
|
$
|
220.0
|
|
|
$
|
220.0
|
|
9.
|
Reinsurance
|
10.
|
Derivative Contracts
|
|
|
|
|
As at March 31, 2016
|
|
As at December 31, 2015
|
|
||||||||||||
Derivatives Not Designated as Hedging Instruments
Under ASC 815
|
|
Balance Sheet Location
|
|
Notional
Amount
|
|
Fair
Value
|
|
Notional
Amount
|
|
Fair
Value
|
|
||||||||
|
|
|
|
($ in millions)
|
|
($ in millions)
|
|
||||||||||||
Interest Rate Swaps
|
|
Liabilities under Derivative Contracts
|
|
$
|
256.3
|
|
|
$
|
(0.8
|
)
|
(1)
|
$
|
756.3
|
|
|
$
|
0.4
|
|
(1)
|
Foreign Exchange Contracts
|
|
Derivatives at Fair Value
|
|
$
|
262.4
|
|
|
$
|
10.9
|
|
|
$
|
217.7
|
|
|
$
|
8.8
|
|
|
Foreign Exchange Contracts
|
|
Liabilities under Derivative Contracts
|
|
$
|
262.9
|
|
|
$
|
(17.7
|
)
|
|
$
|
162.2
|
|
|
$
|
(2.8
|
)
|
|
(1)
|
Net of
$5.7 million
of cash collateral provided to the counterparty, Goldman Sachs International (
$256.3 million
notional) under an International Swap Dealers Association agreement, as security for the Company’s net liability position (
December 31, 2015
—
$10.1 million
).
|
|
|
|
|
As at March 31, 2016
|
|
As at December 31, 2015
|
|
||||||||||||
Derivatives Designated as Hedging Instruments Under ASC 815
|
|
Balance Sheet Location
|
|
Notional
Amount
|
|
Fair
Value
|
|
Notional
Amount
|
|
Fair
Value
|
|
||||||||
|
|
|
|
($ in millions)
|
|
($ in millions)
|
|
||||||||||||
Foreign Exchange Contracts
|
|
Liabilities under Derivative Contracts
|
|
$
|
85.5
|
|
|
$
|
0.9
|
|
(1)
|
$
|
113.6
|
|
|
$
|
(1.2
|
)
|
(1)
|
(1)
|
Net of
$4.2 million
cash collateral (
December 31, 2015
— $
Nil
).
|
|
|
|
|
Amount of Income/(Loss)
Recognized in the Statement
of Operations and Other Comprehensive Income for the
|
||||||
|
|
|
|
Three Months Ended
|
||||||
Derivatives Not Designated as Hedging Instruments Under
ASC 815
|
|
Location of Income/(Loss) Recognized in the
Statement of Operations and Other Comprehensive Income
|
|
March 31, 2016
|
|
March 31, 2015
|
||||
|
|
|
|
($ in millions)
|
||||||
Foreign Exchange Contracts
|
|
Change in Fair Value of Derivatives
|
|
$
|
(4.4
|
)
|
|
$
|
(4.6
|
)
|
Interest Rate Swaps
|
|
Change in Fair Value of Derivatives
|
|
$
|
(2.8
|
)
|
|
$
|
(3.2
|
)
|
|
|
|
|
Amount of Income/(Loss)
Recognized in the Statement
of Operations and Other Comprehensive Income for the
|
||||||
|
|
|
|
Three Months Ended
|
||||||
Derivatives Designated as Hedging Instruments Under
ASC 815
|
|
Location of Income/(Loss) Recognized in the
Statement of Operations and Other Comprehensive Income
|
|
March 31, 2016
|
|
March 31, 2015
|
||||
|
|
|
|
($ in millions)
|
||||||
Foreign Exchange Contracts
|
|
General, administrative and corporate expenses
|
|
$
|
(1.1
|
)
|
|
$
|
(2.8
|
)
|
Foreign Exchange Contracts
|
|
Net change from current period hedged transactions
|
|
$
|
(2.1
|
)
|
|
$
|
(2.4
|
)
|
11.
|
Deferred Policy Acquisition Costs
|
|
|
Three Months Ended March 31,
|
||||||
|
|
2016
|
|
2015
|
||||
|
($ in millions)
|
|||||||
Balance at the beginning of the period
|
$
|
361.1
|
|
|
$
|
299.0
|
|
|
|
Acquisition costs deferred
|
176.8
|
|
|
154.1
|
|
||
|
Amortization of deferred policy acquisition costs
|
(130.2
|
)
|
|
(119.3
|
)
|
||
Balance at the end of the period
|
$
|
407.7
|
|
|
$
|
333.8
|
|
12.
|
Reserves for Losses and Loss Adjustment Expenses
|
|
Three Months Ended March 31, 2016
|
|
Twelve Months Ended December 31, 2015
|
||||
|
($ in millions)
|
||||||
Provision for losses and LAE at the start of the year
|
$
|
4,938.2
|
|
|
$
|
4,750.8
|
|
Less reinsurance recoverable
|
(354.8
|
)
|
|
(350.0
|
)
|
||
Net loss and LAE at the start of the year
|
4,583.4
|
|
|
4,400.8
|
|
||
Net loss and LAE expenses assumed
|
5.7
|
|
|
—
|
|
||
|
|
|
|
||||
Provision for losses and LAE for claims incurred:
|
|
|
|
||||
Current year
|
379.0
|
|
|
1,522.7
|
|
||
Prior years
|
(21.6
|
)
|
|
(156.5
|
)
|
||
Total incurred
|
357.4
|
|
|
1,366.2
|
|
||
Losses and LAE payments for claims incurred:
|
|
|
|
||||
Current year
|
(8.5
|
)
|
|
(141.9
|
)
|
||
Prior years
|
(286.1
|
)
|
|
(966.6
|
)
|
||
Total paid
|
(294.6
|
)
|
|
(1,108.5
|
)
|
||
|
|
|
|
||||
Foreign exchange (gains)
|
(6.4
|
)
|
|
(75.1
|
)
|
||
|
|
|
|
||||
Net losses and LAE reserves at period end
|
4,645.5
|
|
|
4,583.4
|
|
||
Plus reinsurance recoverable on unpaid losses at period end
|
366.0
|
|
|
354.8
|
|
||
Provision for losses and LAE at the end of the relevant period
|
$
|
5,011.5
|
|
|
$
|
4,938.2
|
|
13.
|
Capital Structure
|
|
As at March 31, 2016
|
|
As at December 31, 2015
|
||||||||
|
Number
|
|
$ in
Thousands
|
|
Number
|
|
$ in
Thousands
|
||||
Authorized share capital:
|
|
|
|
|
|
|
|
||||
Ordinary Shares 0.15144558¢ per share
|
969,629,030
|
|
|
1,469
|
|
|
969,629,030
|
|
|
1,469
|
|
Non-Voting Shares 0.15144558¢ per share
|
6,787,880
|
|
|
10
|
|
|
6,787,880
|
|
|
10
|
|
Preference Shares 0.15144558¢ per share
|
100,000,000
|
|
|
152
|
|
|
100,000,000
|
|
|
152
|
|
Total authorized share capital
|
|
|
1,631
|
|
|
|
|
1,631
|
|
||
Issued share capital:
|
|
|
|
|
|
|
|
||||
Issued ordinary shares of 0.15144558¢ per share
|
60,675,142
|
|
|
92
|
|
|
60,918,373
|
|
|
92
|
|
Issued 7.401% preference shares of 0.15144558¢ each with a liquidation preference of $25 per share
|
5,327,500
|
|
|
8
|
|
|
5,327,500
|
|
|
8
|
|
Issued 7.250% preference shares of 0.15144558¢ each with a liquidation preference of $25 per share
|
6,400,000
|
|
|
10
|
|
|
6,400,000
|
|
|
10
|
|
Issued 5.95% preference shares of 0.15144558¢ each with a liquidation preference of $25 per share
|
11,000,000
|
|
|
17
|
|
|
11,000,000
|
|
|
17
|
|
Total issued share capital
|
|
|
127
|
|
|
|
|
127
|
|
|
Number of Ordinary Shares
|
|
Ordinary shares in issue as at December 31, 2015
|
60,918,373
|
|
Ordinary share transactions in the three months ended March 31, 2016
|
|
|
Ordinary shares issued to employees under the 2003 and 2013 share incentive plans and/or
2008 share purchase plan
|
315,937
|
|
Ordinary shares issued to non-employee directors
|
9,071
|
|
Ordinary shares repurchased
|
(568,239
|
)
|
Ordinary shares in issue as at March 31, 2016
|
60,675,142
|
|
14.
|
Share-Based Payments
|
•
|
less than
4.65%
, then the portion of the performance shares subject to the vesting conditions in such year will be forfeited (i.e., one-third of the initial grant);
|
•
|
between
4.65%
and
9.3%
, then the percentage of the performance shares eligible for vesting in such year will be between
10%
and
100%
on a straight-line basis; or
|
•
|
between
9.3%
and
18.6%
, then the percentage of the performance shares eligible for vesting in such year will be between
100%
and
200%
on a straight-line basis.
|
15.
|
Intangible Assets and Goodwill
|
|
Three Months Ended March 31, 2016
|
|
Three Months Ended March 31, 2015
|
||||||||||||||||||||||||
|
Beginning of the Period
|
|
Additions
|
|
Amortization
|
|
End of the Period
|
|
Beginning of the Period
|
|
Amortization
|
|
End of the Period
|
||||||||||||||
|
($ in millions)
|
|
($ in millions)
|
||||||||||||||||||||||||
Intangible Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Trade Mark
|
$
|
1.6
|
|
|
4.0
|
|
|
$
|
(0.1
|
)
|
|
$
|
5.5
|
|
|
$
|
1.6
|
|
|
$
|
—
|
|
|
$
|
1.6
|
|
|
Insurance Licenses
|
16.6
|
|
|
—
|
|
|
—
|
|
|
16.6
|
|
|
16.6
|
|
|
—
|
|
|
16.6
|
|
|||||||
Agency Relationships
|
—
|
|
|
25.0
|
|
|
(0.4
|
)
|
|
24.6
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||||
Non-compete Agreements
|
—
|
|
|
2.9
|
|
|
(0.1
|
)
|
|
2.8
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||||
Value of Business Acquired
|
—
|
|
|
1.8
|
|
|
—
|
|
|
1.8
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||||
Consulting Relationships
|
—
|
|
|
1.0
|
|
|
(0.1
|
)
|
|
0.9
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||||
Goodwill
|
—
|
|
|
22.1
|
|
|
—
|
|
|
22.1
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||||
Total
|
$
|
18.2
|
|
|
$
|
56.8
|
|
|
$
|
(0.7
|
)
|
|
$
|
74.3
|
|
|
$
|
18.2
|
|
|
$
|
—
|
|
|
$
|
18.2
|
|
16.
|
Commitments and Contingent Liabilities
|
(a)
|
Restricted assets
|
|
As at March 31, 2016
|
|
As at December 31, 2015
|
||||
|
($ in millions, except percentages)
|
||||||
Regulatory trusts and deposits:
|
|
|
|
||||
Affiliated transactions
|
$
|
1,316.2
|
|
|
$
|
1,421.0
|
|
Third party
|
2,370.1
|
|
|
2,265.6
|
|
||
Letters of credit / guarantees
(1)
|
697.8
|
|
|
708.5
|
|
||
Total restricted assets
|
$
|
4,384.1
|
|
|
$
|
4,395.1
|
|
Total as percent of investable assets
(2)
|
49.5
|
%
|
|
49.6
|
%
|
(1)
|
As at
March 31, 2016
, the Company pledged funds of
$687.5 million
and
£7.2 million
(
December 31, 2015
—
$697.6 million
and
£7.1 million
) as collateral for the secured letters of credit.
|
(2)
|
The comparative balance has been re-presented to reflect total restricted investable assets as a percent of investable assets. Investable assets comprise total investments, cash and cash equivalents, accrued interest, receivables for securities sold and payables for securities purchased.
|
(b)
|
Operating leases
|
|
2016
|
|
2017
|
|
2018
|
|
2019
|
|
2020
|
|
Later
Years |
|
Total
|
||||||||||||||
|
($ in millions)
|
||||||||||||||||||||||||||
Operating Lease Obligations
|
$
|
8.5
|
|
|
$
|
16.4
|
|
|
$
|
15.7
|
|
|
$
|
13.9
|
|
|
$
|
10.0
|
|
|
$
|
89.3
|
|
|
$
|
153.8
|
|
(c)
|
Contingent liabilities
|
•
|
Gross written premiums of
$975.7 million
for the
first
quarter of
2016
,
an increase
of
6.1%
from the
first
quarter of
2015
. Gross written premiums in reinsurance
increased
by
6.8%
mainly due to new business opportunities in specialty lines, primarily from $45.2 million of agriculture business, offset by reductions in our property catastrophe lines. Gross written premiums in insurance
increased
by
5.5%
mainly due to growth from our financial and professional lines and property and casualty lines, offset by reductions in marine, aviation and energy insurance;
|
•
|
There were
$18.7 million
, or
2.8
percentage points, of pre-tax catastrophe losses net of reinsurance recoveries in the
first
quarter of
2016
compared with
$13.5 million
, or
2.3
percentage points, of pre-tax catastrophe losses net of reinsurance recoveries in the
first
quarter of
2015
;
|
•
|
Net favorable development on prior year loss reserves of
$21.6 million
for the
first
quarter of
2016
had a
3.3
percentage point favorable impact on the combined ratio, compared with a reserve release of
$27.5 million
in the
first
quarter of
2015
, which had a
4.6
percentage point favorable impact on the combined ratio;
|
•
|
Combined ratio of
91.6%
for the
first
quarter of
2016
compared with a combined ratio of
88.9%
for the
first
quarter of
2015
. The increase in combined ratio is due to a reduction in n
et favorable development on prior year loss
reserves, an increase in catastrophe losses and a
0.9
percentage
point increase in the operating expense ratio due to costs associated with our growth in the business;
|
•
|
Realized and unrealized foreign exchange losses of
$15.7 million
for the
first
quarter of
2016
compared with losses of
$6.4 million
in the
first
quarter of
2015
predominantly due to the continued strengthening of the U.S. Dollar during 2016;
|
•
|
Realized and unrealized investment
gains
of
$45.0 million
for the
first
quarter of
2016
compared with
gains
of
$42.9 million
in the
first
quarter of
2015
. The
gains
in the quarter were due to mark to market changes in the valuation of our equity and fixed income trading portfo
lios;
|
•
|
Diluted net income per share of
$1.68
for the quarter ended
March 31, 2016
compared with diluted net income per share of
$1.87
in the first quarter last year;
|
•
|
Annualized net income return on average equity of
14.4%
for the
first
quarter of
2016
compared with
16.4%
for the
first
quarter of
2015
; and
|
•
|
Diluted book value per ordinary share
(1)
of
$48.22
as at
March 31, 2016
, up
4.8%
from
December 31, 2015
, which included net unrealized losses on foreign currency translation, net of taxes, and net unrealized gains on investments, net of taxes, recognised through other comprehensive income of
$11.0 million
and $76.9 million respectively.
|
•
|
a
$92.3 million
increase
in retained earnings for the period;
|
•
|
a
$64.5 million
increase
in total other comprehensive income mainly due to a
$76.9 million
net unrealized
gain
in the available for sale investment portfolio, a net unrealized
loss
in foreign currency translation of
$11.0 million
and a
$1.4 million
net
loss
on foreign exchange contracts; and
|
•
|
the repurchase of
568,239
ordinary shares for
$25.0 million
through open market repurchases.
|
|
|
As at March 31, 2016
|
|
As at December 31, 2015
|
||||
|
|
($ in millions, except for share amounts)
|
||||||
Total shareholders’ equity
|
|
$
|
3,557.1
|
|
|
$
|
3,419.9
|
|
Preference shares less issue expenses
|
|
(555.8
|
)
|
|
(555.8
|
)
|
||
Non-controlling interests
|
|
(1.1
|
)
|
|
(1.3
|
)
|
||
Net assets attributable to ordinary shareholders
|
|
$
|
3,000.2
|
|
|
$
|
2,862.8
|
|
Issued ordinary shares
|
|
60,675,142
|
|
|
60,918,373
|
|
||
Issued and potentially dilutive ordinary shares
|
|
62,213,041
|
|
|
62,240,466
|
|
Business Segment
|
|
Three Months Ended March 31, 2016
|
|
Three Months Ended March 31, 2015
|
|
% increase
|
|||||
|
|
($ in millions)
|
|
($ in millions)
|
|
|
|||||
Reinsurance
|
|
$
|
517.6
|
|
|
$
|
484.8
|
|
|
6.8
|
%
|
Insurance
|
|
458.1
|
|
|
434.4
|
|
|
5.5
|
%
|
||
Total
|
|
$
|
975.7
|
|
|
$
|
919.2
|
|
|
6.1
|
%
|
Business Segment
|
|
Three Months Ended March 31, 2016
|
|
Three Months Ended March 31, 2015
|
||
Reinsurance
|
|
48.0
|
%
|
|
42.3
|
%
|
Insurance
|
|
58.2
|
%
|
|
58.3
|
%
|
Total Loss Ratio
|
|
53.9
|
%
|
|
51.6
|
%
|
For the Three Months Ended March 31, 2016
|
|
Total Loss
Ratio
|
|
Current Year
Adjustments
|
|
Loss
Ratio Excluding
Current Year
Adjustments
|
|||
Reinsurance
|
|
48.0
|
%
|
|
(3.8
|
)%
|
|
44.2
|
%
|
Insurance
|
|
58.2
|
%
|
|
(2.1
|
)%
|
|
56.1
|
%
|
Total
|
|
53.9
|
%
|
|
(2.8
|
)%
|
|
51.1
|
%
|
For the Three Months Ended March 31, 2015
|
|
Total Loss
Ratio
|
|
Current Year
Adjustments
|
|
Loss
Ratio Excluding
Current Year
Adjustments
|
|||
Reinsurance
|
|
42.3
|
%
|
|
(3.1
|
)%
|
|
39.2
|
%
|
Insurance
|
|
58.3
|
%
|
|
(1.7
|
)%
|
|
56.6
|
%
|
Total
|
|
51.6
|
%
|
|
(2.3
|
)%
|
|
49.3
|
%
|
|
|
Three Months Ended March 31, 2016
|
|
Three Months Ended March 31, 2015
|
||||||||||||||
Ratios Based on Gross Earned Premium
|
|
Reinsurance
|
|
Insurance
|
|
Total
|
|
Reinsurance
|
|
Insurance
|
|
Total
|
||||||
Policy acquisition expense ratio
|
|
19.4
|
%
|
|
15.9
|
%
|
|
17.3
|
%
|
|
20.1
|
%
|
|
15.9
|
%
|
|
17.5
|
%
|
General and administrative expense ratio
(1)
|
|
14.4
|
|
|
13.2
|
|
|
15.9
|
|
|
12.2
|
|
|
13.3
|
|
|
15.0
|
|
Gross expense ratio
|
|
33.8
|
|
|
29.1
|
|
|
33.2
|
|
|
32.3
|
|
|
29.2
|
|
|
32.5
|
|
Effect of reinsurance
|
|
3.1
|
|
|
4.7
|
|
|
4.5
|
|
|
2.1
|
|
|
6.0
|
|
|
4.8
|
|
Total net expense ratio
|
|
36.9
|
%
|
|
33.8
|
%
|
|
37.7
|
%
|
|
34.4
|
%
|
|
35.2
|
%
|
|
37.3
|
%
|
(1)
|
The total group general and administrative expense ratio includes corporate expenses.
|
|
|
Three Months Ended March 31, 2016
|
|
Three Months Ended March 31, 2015
|
||||
|
|
($ in millions)
|
||||||
Underwriting income
|
|
$
|
72.8
|
|
|
$
|
80.5
|
|
Corporate expenses
|
|
(17.1
|
)
|
|
(14.5
|
)
|
||
Other (expense)/income
|
|
1.4
|
|
|
1.3
|
|
||
Net investment income
|
|
49.5
|
|
|
47.4
|
|
||
Change in fair value of derivatives
|
|
(7.2
|
)
|
|
(7.8
|
)
|
||
Change in fair value of loan notes issued by variable interest entities
|
|
(4.4
|
)
|
|
(2.9
|
)
|
||
Realized and unrealized investment gains
|
|
65.6
|
|
|
57.4
|
|
||
Realized and unrealized investment losses
|
|
(20.6
|
)
|
|
(14.5
|
)
|
||
Net realized and unrealized foreign exchange losses
|
|
(15.7
|
)
|
|
(6.4
|
)
|
||
Interest expense
|
|
(7.4
|
)
|
|
(7.4
|
)
|
||
Income before tax
|
|
$
|
116.9
|
|
|
$
|
133.1
|
|
|
|
Three Months Ended March 31, 2016
|
|
Three Months Ended March 31, 2015
|
||||
|
|
($ in millions)
|
||||||
Available for sale:
|
|
|
|
|
||||
Fixed income securities — gross realized gains
|
|
$
|
7.1
|
|
|
$
|
6.2
|
|
Fixed income securities — gross realized (losses)
|
|
(2.4
|
)
|
|
(0.5
|
)
|
||
Equity securities — gross realized gains
|
|
—
|
|
|
31.9
|
|
||
Equity securities — gross realized (losses)
|
|
—
|
|
|
(3.0
|
)
|
||
Cash and cash equivalents — gross realized (losses)
|
|
(0.7
|
)
|
|
—
|
|
||
Trading:
|
|
|
|
|
||||
Fixed income securities — gross realized gains
|
|
1.2
|
|
|
2.0
|
|
||
Fixed income securities — gross realized (losses)
|
|
(5.8
|
)
|
|
(2.2
|
)
|
||
Equity securities — gross realized gains
|
|
5.9
|
|
|
16.5
|
|
||
Equity securities — gross realized (losses)
|
|
(11.5
|
)
|
|
(8.8
|
)
|
||
Catastrophe bonds
|
|
(0.2
|
)
|
|
—
|
|
||
Net change in gross unrealized gains
|
|
51.4
|
|
|
0.8
|
|
||
Total realized and unrealized investment gains
|
|
$
|
45.0
|
|
|
$
|
42.9
|
|
|
|
Gross Written Premiums
|
||||||||||||
Business Segment
|
|
Three Months Ended March 31, 2016
|
|
Three Months Ended March 31, 2015
|
||||||||||
|
|
($ in millions)
|
|
(% of total)
|
|
($ in millions)
|
|
(% of total)
|
||||||
Reinsurance
|
|
$
|
517.6
|
|
|
53.0
|
%
|
|
$
|
484.8
|
|
|
52.7
|
%
|
Insurance
|
|
458.1
|
|
|
47.0
|
|
|
434.4
|
|
|
47.3
|
|
||
Total
|
|
$
|
975.7
|
|
|
100.0
|
%
|
|
$
|
919.2
|
|
|
100.0
|
%
|
Lines of Business
|
|
Three Months Ended March 31, 2016
|
|
Three Months Ended March 31, 2015
|
|
% increase/(decrease)
|
|||||
|
|
($ in millions)
|
|
($ in millions)
|
|
|
|||||
Property catastrophe reinsurance
|
|
$
|
127.6
|
|
|
$
|
153.8
|
|
|
(17.0
|
)%
|
Other property reinsurance
|
|
103.0
|
|
|
109.9
|
|
|
(6.3
|
)%
|
||
Casualty reinsurance
|
|
127.1
|
|
|
114.7
|
|
|
10.8
|
%
|
||
Specialty reinsurance
|
|
159.9
|
|
|
106.4
|
|
|
50.3
|
%
|
||
Total
|
|
$
|
517.6
|
|
|
$
|
484.8
|
|
|
6.8
|
%
|
Lines of Business
|
|
Three Months Ended March 31, 2016
|
|
Three Months Ended March 31, 2015
|
|
% increase/(decrease)
|
|||||
|
|
($ in millions)
|
|
($ in millions)
|
|
|
|||||
Property and casualty insurance
|
|
$
|
226.3
|
|
|
$
|
213.4
|
|
|
6.0
|
%
|
Marine, aviation and energy insurance
|
|
117.7
|
|
|
131.7
|
|
|
(10.6
|
)%
|
||
Financial and professional lines insurance
|
|
114.1
|
|
|
89.3
|
|
|
27.8
|
%
|
||
Total
|
|
$
|
458.1
|
|
|
$
|
434.4
|
|
|
5.5
|
%
|
|
|
As at March 31, 2016
|
|
As at December 31, 2015
|
||||||||||
|
|
Estimated
Fair Value
|
|
Percentage of
Total Cash and
Investments
|
|
Estimated
Fair Value
|
|
Percentage of
Total Cash and
Investments
|
||||||
|
|
($ in millions except for percentages)
|
||||||||||||
Fixed income securities — available for sale
|
|
|
|
|
|
|
|
|
||||||
U.S. government
|
|
$
|
1,111.7
|
|
|
12.6
|
%
|
|
$
|
1,123.1
|
|
|
12.7
|
%
|
U.S. agency
|
|
149.9
|
|
|
1.7
|
|
|
158.7
|
|
|
1.8
|
|
||
Municipal
|
|
32.9
|
|
|
0.4
|
|
|
26.6
|
|
|
0.3
|
|
||
Corporate
|
|
2,680.9
|
|
|
30.4
|
|
|
2,660.6
|
|
|
30.4
|
|
||
Non-U.S. government-backed corporate
|
|
72.5
|
|
|
0.8
|
|
|
82.1
|
|
|
0.9
|
|
||
Foreign government
|
|
674.5
|
|
|
7.6
|
|
|
644.2
|
|
|
7.3
|
|
||
Asset-backed
|
|
76.3
|
|
|
0.9
|
|
|
76.0
|
|
|
0.9
|
|
||
Non-agency commercial mortgage-backed
|
|
22.6
|
|
|
0.3
|
|
|
26.7
|
|
|
0.3
|
|
||
Agency mortgage-backed
|
|
1,242.4
|
|
|
14.1
|
|
|
1,153.1
|
|
|
13.1
|
|
||
Total fixed income securities — available for sale
|
|
$
|
6,063.7
|
|
|
68.8
|
%
|
|
$
|
5,951.1
|
|
|
67.7
|
%
|
Fixed income securities — trading
|
|
|
|
|
|
|
|
|
||||||
U.S. government
|
|
42.1
|
|
|
0.5
|
|
|
27.3
|
|
|
0.3
|
|
||
Municipal
|
|
4.0
|
|
|
—
|
|
|
0.5
|
|
|
—
|
|
||
Corporate
|
|
615.2
|
|
|
7.0
|
|
|
558.2
|
|
|
6.3
|
|
||
Foreign government
|
|
198.5
|
|
|
2.3
|
|
|
179.5
|
|
|
2.0
|
|
||
Asset-backed
|
|
19.6
|
|
|
0.2
|
|
|
20.5
|
|
|
0.2
|
|
||
Bank loans
|
|
17.4
|
|
|
0.2
|
|
|
2.0
|
|
|
—
|
|
||
Total fixed income securities — trading
|
|
$
|
896.8
|
|
|
10.2
|
%
|
|
$
|
788.0
|
|
|
8.8
|
%
|
Total other investments
|
|
8.9
|
|
|
0.1
|
|
|
8.9
|
|
|
0.1
|
|
||
Total catastrophe bonds — trading
|
|
46.1
|
|
|
0.5
|
|
|
55.4
|
|
|
0.6
|
|
||
Total equity securities — trading
|
|
757.8
|
|
|
8.6
|
|
|
736.4
|
|
|
8.4
|
|
||
Total short-term investments — available for sale
|
|
135.3
|
|
|
1.5
|
|
|
162.9
|
|
|
1.8
|
|
||
Total short-term investments — trading
|
|
7.7
|
|
|
0.1
|
|
|
9.5
|
|
|
0.1
|
|
||
Total cash and cash equivalents
|
|
903.1
|
|
|
10.2
|
|
|
1,099.5
|
|
|
12.5
|
|
||
Total cash and investments
|
|
$
|
8,819.4
|
|
|
100.0
|
%
|
|
$
|
8,811.7
|
|
|
100.0
|
%
|
|
|
AAA
|
|
AA and Below
|
|
Total
|
||||||
|
|
($ in millions)
|
||||||||||
Agency
|
|
$
|
—
|
|
|
$
|
1,259.8
|
|
|
$
|
1,259.8
|
|
Non-agency commercial
|
|
4.8
|
|
|
17.8
|
|
|
22.6
|
|
|||
Total mortgage-backed securities
|
|
$
|
4.8
|
|
|
$
|
1,277.6
|
|
|
$
|
1,282.4
|
|
|
|
For the Three Months Ended
|
||||||
Available for Sale Equity Portfolio
|
|
March 31, 2016
|
|
March 31, 2015
|
||||
|
|
($ in millions)
|
||||||
Net realized investment gains
|
|
$
|
—
|
|
|
$
|
31.5
|
|
Net unrealized (losses), gross of tax
|
|
—
|
|
|
(31.5
|
)
|
||
Net realized foreign exchange (losses)
|
|
—
|
|
|
(5.5
|
)
|
||
Net unrealized foreign exchange gains
|
|
—
|
|
|
4.2
|
|
||
Total investment (loss)/return from the available for sale equity portfolio
|
|
$
|
—
|
|
|
$
|
(1.3
|
)
|
|
|
|
|
|
||||
|
|
For the Three Months Ended
|
||||||
Trading Equity Portfolio
|
|
March 31, 2016
|
|
March 31, 2015
|
||||
|
|
($ in millions)
|
||||||
Dividend income
|
|
$
|
6.9
|
|
|
$
|
6.2
|
|
Net realized investment gains
|
|
(1.4
|
)
|
|
13.5
|
|
||
Net unrealized gains, gross of tax
|
|
12.8
|
|
|
3.4
|
|
||
Net realized foreign exchange (losses)
|
|
(4.0
|
)
|
|
(5.1
|
)
|
||
Net unrealized foreign exchange gains/(losses)
|
|
13.0
|
|
|
(11.9
|
)
|
||
Total investment (loss)/return from the trading equity portfolio
|
|
$
|
27.3
|
|
|
$
|
6.1
|
|
|
|
As at March 31, 2016 by Ratings
|
|||||||||||||||||||||||||||||
Country
|
|
AAA
|
|
AA
|
|
A
|
|
BBB
|
|
BB
|
|
NR
|
|
Market
Value
|
|
Market
Value
%
|
|||||||||||||||
|
|
($ in millions except percentages)
|
|||||||||||||||||||||||||||||
Austria
|
|
$
|
—
|
|
|
$
|
9.0
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
9.0
|
|
|
0.9
|
%
|
Belgium
|
|
—
|
|
|
—
|
|
|
24.5
|
|
|
0.6
|
|
|
—
|
|
|
6.6
|
|
|
31.7
|
|
|
3.3
|
|
|||||||
Czech Republic
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
0.2
|
|
|
0.2
|
|
|
—
|
|
|||||||
Denmark
|
|
5.3
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
5.8
|
|
|
11.1
|
|
|
1.2
|
|
|||||||
Finland
|
|
—
|
|
|
17.3
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
6.9
|
|
|
24.2
|
|
|
2.5
|
|
|||||||
France
|
|
—
|
|
|
25.5
|
|
|
33.1
|
|
|
3.1
|
|
|
—
|
|
|
19.3
|
|
|
81.0
|
|
|
8.4
|
|
|||||||
Germany
|
|
33.1
|
|
|
17.0
|
|
|
56.4
|
|
|
17.6
|
|
|
—
|
|
|
11.5
|
|
|
135.6
|
|
|
14.0
|
|
|||||||
Ireland
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
0.3
|
|
|
0.3
|
|
|
—
|
|
|||||||
Latvia
|
|
—
|
|
|
—
|
|
|
0.6
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
0.6
|
|
|
0.1
|
|
|||||||
Lithuania
|
|
—
|
|
|
—
|
|
|
5.2
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
5.2
|
|
|
0.5
|
|
|||||||
Luxembourg
|
|
—
|
|
|
—
|
|
|
—
|
|
|
0.3
|
|
|
—
|
|
|
—
|
|
|
0.3
|
|
|
—
|
|
|||||||
Netherlands
|
|
22.7
|
|
|
—
|
|
|
40.8
|
|
|
11.2
|
|
|
—
|
|
|
—
|
|
|
74.7
|
|
|
7.7
|
|
|||||||
Norway
|
|
3.6
|
|
|
—
|
|
|
14.1
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
17.7
|
|
|
1.8
|
|
|||||||
Poland
|
|
—
|
|
|
—
|
|
|
—
|
|
|
10.2
|
|
|
—
|
|
|
0.7
|
|
|
10.9
|
|
|
1.1
|
|
|||||||
Romania
|
|
—
|
|
|
—
|
|
|
—
|
|
|
6.7
|
|
|
—
|
|
|
—
|
|
|
6.7
|
|
|
0.7
|
|
|||||||
Sweden
|
|
1.7
|
|
|
11.5
|
|
|
—
|
|
|
1.0
|
|
|
—
|
|
|
5.0
|
|
|
19.2
|
|
|
2.0
|
|
|||||||
Switzerland
|
|
10.2
|
|
|
25.2
|
|
|
22.0
|
|
|
6.9
|
|
|
—
|
|
|
62.0
|
|
|
126.3
|
|
|
13.0
|
|
|||||||
United Kingdom
|
|
21.6
|
|
|
187.8
|
|
|
57.5
|
|
|
45.8
|
|
|
—
|
|
|
102.5
|
|
|
415.2
|
|
|
42.8
|
|
|||||||
Total European Exposures
|
|
$
|
98.2
|
|
|
$
|
293.3
|
|
|
$
|
254.2
|
|
|
$
|
103.4
|
|
|
$
|
—
|
|
|
$
|
220.8
|
|
|
$
|
969.9
|
|
|
100.0
|
%
|
|
|
As at March 31, 2016 by Sectors
|
||||||||||||||||||||||||||||||||||||||||||
Country
|
|
Sovereign
|
|
ABS
|
|
Government
Guaranteed
Bonds
|
|
Agency
|
|
Local
Government
|
|
Corporate
Financial
Issuers
|
|
Corporate
Non-
Financial
Issuers
|
|
Covered
Bonds
|
|
Equity
|
|
Market
Value
|
|
Unrealized
Pre-tax
Gain/Loss
|
||||||||||||||||||||||
|
|
($ in millions except percentages)
|
||||||||||||||||||||||||||||||||||||||||||
Austria
|
|
$
|
3.1
|
|
|
$
|
—
|
|
|
$
|
5.9
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
9.0
|
|
|
$
|
0.2
|
|
Belgium
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
25.1
|
|
|
—
|
|
|
6.6
|
|
|
31.7
|
|
|
2.0
|
|
|||||||||||
Czech Republic
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
0.2
|
|
|
0.2
|
|
|
—
|
|
|||||||||||
Denmark
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
5.3
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
5.8
|
|
|
11.1
|
|
|
1.4
|
|
|||||||||||
Finland
|
|
9.2
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
8.1
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
6.9
|
|
|
24.2
|
|
|
2.7
|
|
|||||||||||
France
|
|
2.3
|
|
|
—
|
|
|
7.1
|
|
|
23.6
|
|
|
—
|
|
|
6.2
|
|
|
22.4
|
|
|
—
|
|
|
19.3
|
|
|
80.9
|
|
|
1.4
|
|
|||||||||||
Germany
|
|
7.6
|
|
|
—
|
|
|
23.0
|
|
|
6.6
|
|
|
11.4
|
|
|
—
|
|
|
75.6
|
|
|
—
|
|
|
11.5
|
|
|
135.7
|
|
|
2.1
|
|
|||||||||||
Ireland
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
0.3
|
|
|
0.3
|
|
|
0.1
|
|
|||||||||||
Latvia
|
|
0.6
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
0.6
|
|
|
—
|
|
|||||||||||
Lithuania
|
|
5.2
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
5.2
|
|
|
0.2
|
|
|||||||||||
Luxembourg
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
0.3
|
|
|
—
|
|
|
—
|
|
|
0.3
|
|
|
—
|
|
|||||||||||
Netherlands
|
|
—
|
|
|
—
|
|
|
—
|
|
|
24.2
|
|
|
—
|
|
|
15.8
|
|
|
34.7
|
|
|
—
|
|
|
—
|
|
|
74.7
|
|
|
1.5
|
|
|||||||||||
Norway
|
|
—
|
|
|
—
|
|
|
—
|
|
|
17.7
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
17.7
|
|
|
0.7
|
|
|||||||||||
Poland
|
|
10.8
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
0.1
|
|
|
10.9
|
|
|
0.1
|
|
|||||||||||
Romania
|
|
6.7
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
6.7
|
|
|
0.1
|
|
|||||||||||
Sweden
|
|
—
|
|
|
—
|
|
|
—
|
|
|
8.2
|
|
|
1.7
|
|
|
4.3
|
|
|
—
|
|
|
—
|
|
|
5.0
|
|
|
19.2
|
|
|
—
|
|
|||||||||||
Switzerland
|
|
6.5
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
9.6
|
|
|
44.6
|
|
|
3.7
|
|
|
61.9
|
|
|
126.3
|
|
|
4.6
|
|
|||||||||||
United Kingdom
|
|
194.4
|
|
|
0.6
|
|
|
3.9
|
|
|
—
|
|
|
—
|
|
|
5.5
|
|
|
97.3
|
|
|
11.1
|
|
|
102.4
|
|
|
415.2
|
|
|
10.8
|
|
|||||||||||
Total European Exposures
|
|
$
|
246.4
|
|
|
$
|
0.6
|
|
|
$
|
39.9
|
|
|
$
|
80.3
|
|
|
$
|
26.5
|
|
|
$
|
41.4
|
|
|
$
|
300.0
|
|
|
$
|
14.8
|
|
|
$
|
220.0
|
|
|
$
|
969.9
|
|
|
$
|
27.9
|
|
|
|
As at March 31, 2016
|
||||||||||
Business Segment
|
|
Gross
|
|
Reinsurance
Recoverable
|
|
Net
|
||||||
|
|
($ in millions)
|
||||||||||
Reinsurance
|
|
$
|
2,472.5
|
|
|
$
|
(39.5
|
)
|
|
$
|
2,433.0
|
|
Insurance
|
|
2,539.0
|
|
|
(326.5
|
)
|
|
2,212.5
|
|
|||
Total losses and loss expense reserves
|
|
$
|
5,011.5
|
|
|
$
|
(366.0
|
)
|
|
$
|
4,645.5
|
|
|
|
As at December 31, 2015
|
||||||||||
Business Segment
|
|
Gross
|
|
Reinsurance
Recoverable
|
|
Net
|
||||||
|
|
($ in millions)
|
||||||||||
Reinsurance
|
|
$
|
2,441.9
|
|
|
$
|
(32.4
|
)
|
|
$
|
2,409.5
|
|
Insurance
|
|
2,496.3
|
|
|
(322.4
|
)
|
|
2,173.9
|
|
|||
Total losses and loss expense reserves
|
|
$
|
4,938.2
|
|
|
$
|
(354.8
|
)
|
|
$
|
4,583.4
|
|
|
|
For the Three Months Ended
|
||||||
Business Segment
|
|
March 31, 2016
|
|
March 31, 2015
|
||||
|
|
($ in millions)
|
||||||
Reinsurance
|
|
$
|
18.2
|
|
|
$
|
13.2
|
|
Insurance
|
|
3.4
|
|
|
14.3
|
|
||
Total losses and loss expense reserves reductions
|
|
$
|
21.6
|
|
|
$
|
27.5
|
|
|
|
As at March 31, 2016
|
|
As at December 31, 2015
|
||||
|
|
($ in millions)
|
||||||
Share capital, additional paid-in capital, retained income and accumulated other comprehensive income attributable to ordinary shareholders
|
|
$
|
3,001.3
|
|
|
$
|
2,864.1
|
|
Preference shares (liquidation preferences net of issue costs)
|
|
555.8
|
|
|
555.8
|
|
||
Long-term debt
|
|
549.3
|
|
|
549.2
|
|
||
Loan notes issued by variable interest entities
(1)
|
|
107.6
|
|
|
190.6
|
|
||
Total capital
|
|
$
|
4,214.0
|
|
|
$
|
4,159.7
|
|
|
|
As at March 31, 2016
|
|
As at December 31, 2015
|
||||
|
|
($ in millions, except percentages)
|
||||||
Regulatory trusts and deposits:
|
|
|
|
|
||||
Affiliated transactions
|
|
$
|
1,316.2
|
|
|
$
|
1,421.0
|
|
Third party
|
|
2,370.1
|
|
|
2,265.6
|
|
||
Letters of credit / guarantees
|
|
697.8
|
|
|
708.5
|
|
||
Total restricted assets
|
|
$
|
4,384.1
|
|
|
$
|
4,395.1
|
|
Total as percent of investable assets
(1)
|
|
49.5
|
%
|
|
49.6
|
%
|
|
2016
|
|
2017
|
|
2018
|
|
2019
|
|
2020
|
|
Later
Years |
|
Total
|
||||||||||||||
|
($ in millions)
|
||||||||||||||||||||||||||
Operating Lease Obligations
|
$
|
8.5
|
|
|
$
|
16.4
|
|
|
$
|
15.7
|
|
|
$
|
13.9
|
|
|
$
|
10.0
|
|
|
$
|
89.3
|
|
|
$
|
153.8
|
|
Long-Term Debt Obligations
(1)
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
250.0
|
|
|
300.0
|
|
|
550.0
|
|
|||||||
Reserves for losses and LAE
(2)
|
1,132.8
|
|
|
980.3
|
|
|
701.4
|
|
|
509.0
|
|
|
356.0
|
|
|
1,332.0
|
|
|
5,011.5
|
|
|||||||
Total
|
$
|
1,141.3
|
|
|
$
|
996.7
|
|
|
$
|
717.1
|
|
|
$
|
522.9
|
|
|
$
|
616.0
|
|
|
$
|
1,721.3
|
|
|
$
|
5,715.3
|
|
(1)
|
The long-term debt obligations disclosed above do not include the
$29.0 million
annual interest payments on our outstanding senior notes or dividends payable to holders of our preference shares or the loan notes issued by Silverton in the amount of
$107.6 million
.
|
(2)
|
In estimating the time intervals into which payments of our reserves for losses and loss adjustment expenses fall, as set out above, we have utilized actuarially assessed payment patterns. By the nature of the insurance and reinsurance contracts under which these liabilities are assumed, there can be no certainty that actual payments will fall in the periods shown and there could be a material acceleration or deceleration of claims payments depending on factors outside our control. The total amount of payments in respect of our reserves, as well as the timing of such payments, may differ materially from our current estimates for the reasons set out in the Company’s
2015
Annual Report on Form 10-K under Item 7, “Management’s Discussion and Analysis of Financial Condition and Results of Operations — Critical Accounting Policies — Reserves for Losses and Loss Expenses” filed with the United States Securities and Exchange Commission and due to the factors set out in this report under “Cautionary Statement Regarding Forward-Looking Statements” below.
|
•
|
our ability to successfully implement steps to further optimize the business portfolio, ensure capital efficiency and enhance investment returns;
|
•
|
the possibility of greater frequency or severity of claims and loss activity, including as a result of natural or man-made (including economic and political risks) catastrophic or material loss events, than our underwriting, reserving, reinsurance purchasing or investment practices have anticipated;
|
•
|
the assumptions and uncertainties underlying reserve levels that may be impacted by future payments for settlements of claims and expenses or by other factors causing adverse or favorable development, including our assumptions on inflation costs associated with long-tail casualty business which could differ materially from actual experience;
|
•
|
a vote by the U.K. electorate in favor of a U.K. exit from the E.U. in a forthcoming in-or-out referendum;
|
•
|
the reliability of, and changes in assumptions to, natural and man-made catastrophe pricing, accumulation and estimated loss models;
|
•
|
decreased demand for our insurance or reinsurance products and cyclical changes in the insurance and reinsurance industry;
|
•
|
the models we use to assess our exposure to losses from future natural catastrophes contain inherent uncertainties and our actual losses may differ significantly from expectations;
|
•
|
our capital models may provide materially different indications than actual results;
|
•
|
increased competition from existing insurers and reinsurers and from alternative capital providers and insurance-linked funds and collateralized special purpose insurers on the basis of pricing, capacity, coverage terms, new capital, binding authorities to brokers or other factors and the related demand and supply dynamics as contracts come up for renewal;
|
•
|
our ability to execute our business plan to enter new markets, introduce new products and teams and develop new distribution channels, including their integration into our existing operations;
|
•
|
our acquisition strategy;
|
•
|
changes in market conditions in the agriculture industry, which may vary depending upon demand for agricultural products, weather, commodity prices, natural disasters, and changes in legislation and policies related to agricultural products and producers;
|
•
|
termination of, or changes in, the terms of the U.S. Federal Multiple Peril Crop Insurance Program or the U.S. Farm Bill, including modifications to the Standard Reinsurance Agreement put in place by the Risk Management Agency of the U.S. Department of Agriculture;
|
•
|
the recent consolidation in the (re)insurance industry;
|
•
|
loss of one or more of our senior underwriters or key personnel;
|
•
|
changes in our ability to exercise capital management initiatives (including our share repurchase program) or to arrange banking facilities as a result of prevailing market conditions or changes in our financial results;
|
•
|
changes in general economic conditions, including inflation, deflation, foreign currency exchange rates, interest rates and other factors that could affect our financial results;
|
•
|
the risk of a material decline in the value or liquidity of all or parts of our investment portfolio;
|
•
|
the risks associated with the management of capital on behalf of investors;
|
•
|
evolving issues with respect to interpretation of coverage after major loss events;
|
•
|
our ability to adequately model and price the effects of climate cycles and climate change;
|
•
|
any intervening legislative or governmental action and changing judicial interpretation and judgments on insurers’ liability to various risks;
|
•
|
the risks related to litigation;
|
•
|
the effectiveness of our risk management loss limitation methods, including our reinsurance purchasing;
|
•
|
changes in the availability, cost or quality of reinsurance or retrocessional coverage;
|
•
|
changes in the total industry losses or our share of total industry losses resulting from events, such as catastrophes, that have occurred in prior years or may occur and, with respect to such events, our reliance on loss reports received from cedants and loss adjustors, our reliance on industry loss estimates and those generated by modeling techniques, changes in rulings on flood damage or other exclusions as a result of prevailing lawsuits and case law;
|
•
|
the impact of one or more large losses from events other than natural catastrophes or by an unexpected accumulation of attritional losses and deterioration in loss estimates;
|
•
|
the impact of acts of terrorism, acts of war and related legislation;
|
•
|
any changes in our reinsurers’ credit quality and the amount and timing of reinsurance recoverables;
|
•
|
the continuing and uncertain impact of the current depressed lower growth economic environment in many of the countries in which we operate;
|
•
|
our reliance on information and technology and third-party service providers for our operations and systems;
|
•
|
the level of inflation in repair costs due to limited availability of labor and materials after catastrophes;
|
•
|
a decline in our Operating Subsidiaries’ ratings with S&P, A.M. Best or Moody’s;
|
•
|
the failure of our reinsurers, policyholders, brokers or other intermediaries to honor their payment obligations;
|
•
|
our reliance on the assessment and pricing of individual risks by third parties;
|
•
|
our dependence on a few brokers for a large portion of our revenues;
|
•
|
the persistence of heightened financial risks, including excess sovereign debt, the banking system and the Eurozone crisis;
|
•
|
changes in government regulations or tax laws in jurisdictions where we conduct business;
|
•
|
changes in accounting principles or policies or in the application of such accounting principles or policies;
|
•
|
increased counterparty risk due to the credit impairment of financial institutions; and
|
•
|
Aspen Holdings or Aspen Bermuda becoming subject to income taxes in the United States or the United Kingdom.
|
|
|
Total
Number of
Shares (or Units)
Purchased
|
|
Weighted
Average
Price Paid
per Share
(or Unit)
|
|
Total
Number of
Shares (or Units)
Purchased as
Part of
Publicly Announced
Plans or
Programs
|
|
Maximum
Number (or
Approximate
Dollar Value)
of Shares
(or Units) That
May Yet Be
Purchased
Under the Plans
or Programs
($ in millions)
|
||||||
January 1, 2016 to January 31, 2016
|
|
—
|
|
|
$
|
—
|
|
|
—
|
|
|
$
|
—
|
|
February 1, 2016 to February 29, 2016
|
|
568,239
|
|
|
$
|
44.00
|
|
|
568,239
|
|
|
$
|
391.3
|
|
March 1, 2016 to March 31, 2016
|
|
—
|
|
|
$
|
—
|
|
|
—
|
|
|
$
|
—
|
|
Total
(1)
|
|
568,239
|
|
|
$
|
44.00
|
|
|
568,239
|
|
|
$
|
391.3
|
|
(1)
|
During the
first
quarter of
2016
, the Company repurchased
568,239
ordinary shares in the open market. The Company continued to have
$391.3 million
remaining under its current share buyback authorization as at
March 31, 2016
.
|
Exhibit
Number
|
|
Description
|
|
10.1
|
|
|
Form of 2016 Performance Share Agreement, filed with this report.
|
10.2
|
|
|
Form of Restricted Share Unit Award Agreement (U.S. version), filed with this report.
|
10.3
|
|
|
Form of Restricted Share Unit Award Agreement (U.K version), filed with this report.
|
10.4
|
|
|
Form of Restricted Share Unit Award Agreement made as part of the annual incentive grant (U.S. recipients), filed with this report.
|
10.5
|
|
|
Form of Restricted Share Unit Award Agreement made as part of the annual incentive grant (U.K. recipients), filed with this report.
|
31.1
|
|
|
Officer Certification of Christopher O’Kane, Chief Executive Officer of Aspen Insurance Holdings Limited, as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002, filed with this report.
|
31.2
|
|
|
Officer Certification of Scott Kirk, Chief Financial Officer of Aspen Insurance Holdings Limited, as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002, filed with this report.
|
32.1
|
|
|
Officer Certification of Christopher O’Kane, Chief Executive Officer of Aspen Insurance Holdings Limited, and Scott Kirk, Chief Financial Officer of Aspen Insurance Holdings Limited, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, submitted with this report.
|
101
|
|
|
The following financial information from Aspen Insurance Holdings Limited’s quarterly report on Form 10-Q for the quarter ended March 31, 2016 formatted in XBRL: (i) Unaudited Condensed Consolidated Balance Sheets at March 31, 2016 and December 31, 2015; (ii) Unaudited Condensed Consolidated Statements of Operations and Other Comprehensive Income for the three months ended March 31, 2016 and 2015; (iii) Unaudited Condensed Consolidated Statements of Shareholders’ Equity for the three months ended March 31, 2016 and 2015; (iv) Unaudited Condensed Consolidated Statements of Cash Flows for the three months ended March 31, 2016 and 2015; and (v) Notes to Unaudited Condensed Consolidated Financial Statements, tagged as blocks of text and in detail.*
|
|
|
|
|
ASPEN INSURANCE HOLDINGS LIMITED
|
|
|
|
|
(Registrant)
|
|
|
|
|
|
Date:
|
April 28, 2016
|
By:
|
|
/s/ Christopher O’Kane
|
|
|
|
|
Christopher O’Kane
|
|
|
|
|
Chief Executive Officer
|
|
|
|
|
|
Date:
|
April 28, 2016
|
By:
|
|
/s/ Scott Kirk
|
|
|
|
|
Scott Kirk
|
|
|
|
|
Chief Financial Officer
|
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