BERMUDA | 98-0501001 | |
(State or other jurisdiction of | (I.R.S. Employer | |
incorporation or organization) | Identification No.) |
Large accelerated filer | x | Accelerated filer | o |
Non-accelerated filer | o | (Do not check if a smaller reporting company) | |
Smaller reporting company | o | ||
Emerging growth company | o |
Page | |
Table of Contents | Page | |
June 30, 2017 | December 31, 2016 | ||||||
(unaudited) | |||||||
Assets | |||||||
Fixed maturity investments trading, at fair value (amortized cost: 2017—$5,424,562; 2016—$5,584,599) | $ | 5,418,643 | $ | 5,543,030 | |||
Short-term investments trading, at fair value (amortized cost: 2017—$2,871,126; 2016—$2,796,358) | 2,871,353 | 2,796,170 | |||||
Other investments, at fair value (cost: 2017—$416,996; 2016—$380,130) | 448,618 | 405,712 | |||||
Investments in investment affiliates, equity method (cost: 2017—$72,532; 2016—$84,840) | 103,377 | 100,431 | |||||
Cash and cash equivalents | 800,405 | 419,976 | |||||
Restricted cash | 195,039 | 70,956 | |||||
Total investments and cash | 9,837,435 | 9,336,275 | |||||
Premiums receivable | 1,940,637 | 725,390 | |||||
Deferred acquisition costs | 302,857 | 209,227 | |||||
Prepaid reinsurance premiums | 335,837 | 77,996 | |||||
Securities lending collateral | 2,514 | 9,779 | |||||
Loss reserves recoverable | 600,207 | 430,421 | |||||
Paid losses recoverable | 35,675 | 35,247 | |||||
Income taxes recoverable | 4,763 | 4,870 | |||||
Deferred tax asset | 52,655 | 43,529 | |||||
Receivable for investments sold | 20,519 | 3,901 | |||||
Intangible assets | 175,518 | 115,592 | |||||
Goodwill | 227,701 | 196,758 | |||||
Accrued investment income | 26,968 | 26,488 | |||||
Other assets | 387,860 | 134,282 | |||||
Total assets | $ | 13,951,146 | $ | 11,349,755 | |||
Liabilities | |||||||
Reserve for losses and loss expenses | $ | 3,305,191 | $ | 2,995,195 | |||
Unearned premiums | 1,970,896 | 1,076,049 | |||||
Reinsurance balances payable | 461,261 | 54,781 | |||||
Securities lending payable | 2,980 | 10,245 | |||||
Deferred tax liability | 4,012 | 3,331 | |||||
Payable for investments purchased | 92,077 | 29,447 | |||||
Accounts payable and accrued expenses | 385,958 | 587,648 | |||||
Notes payable to AlphaCat investors | 1,066,159 | 278,202 | |||||
Senior notes payable | 245,463 | 245,362 | |||||
Debentures payable | 538,400 | 537,226 | |||||
Total liabilities | 8,072,397 | 5,817,486 | |||||
Commitments and contingent liabilities | |||||||
Redeemable noncontrolling interests | 1,251,660 | 1,528,001 | |||||
Shareholders’ equity | |||||||
Preferred shares (Issued and Outstanding: 2017—16,000; 2016—6,000) | 400,000 | 150,000 | |||||
Common shares (Issued: 2017—161,934,355; 2016—161,279,976; Outstanding: 2017—79,518,581; 2016—79,132,252) | 28,339 | 28,224 | |||||
Treasury shares (2017—82,415,774; 2016—82,147,724) | (14,423 | ) | (14,376 | ) | |||
Additional paid-in capital | 807,321 | 821,023 | |||||
Accumulated other comprehensive loss | (19,924 | ) | (23,216 | ) | |||
Retained earnings | 3,010,118 | 2,876,636 | |||||
Total shareholders’ equity available to Validus | 4,211,431 | 3,838,291 | |||||
Noncontrolling interests | 415,658 | 165,977 | |||||
Total shareholders’ equity | 4,627,089 | 4,004,268 | |||||
Total liabilities, noncontrolling interests and shareholders’ equity | $ | 13,951,146 | $ | 11,349,755 |
Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||
2017 | 2016 | 2017 | 2016 | ||||||||||||
(unaudited) | (unaudited) | ||||||||||||||
Revenues | |||||||||||||||
Gross premiums written | $ | 792,902 | $ | 764,042 | $ | 1,983,759 | $ | 1,936,833 | |||||||
Reinsurance premiums ceded | (56,222 | ) | (36,229 | ) | (256,328 | ) | (204,064 | ) | |||||||
Net premiums written | 736,680 | 727,813 | 1,727,431 | 1,732,769 | |||||||||||
Change in unearned premiums | (105,653 | ) | (154,090 | ) | (521,028 | ) | (587,778 | ) | |||||||
Net premiums earned | 631,027 | 573,723 | 1,206,403 | 1,144,991 | |||||||||||
Net investment income | 44,241 | 39,257 | 84,455 | 68,718 | |||||||||||
Net realized gains on investments | 2,274 | 2,724 | 1,110 | 2,140 | |||||||||||
Change in net unrealized gains on investments | 16,321 | 31,428 | 29,669 | 78,872 | |||||||||||
Income (loss) from investment affiliates | 9,466 | (589 | ) | 14,654 | (4,702 | ) | |||||||||
Other insurance related income and other income | 1,339 | 824 | 2,669 | 2,237 | |||||||||||
Foreign exchange (losses) gains | (7,329 | ) | 6,286 | (5,760 | ) | 12,531 | |||||||||
Total revenues | 697,339 | 653,653 | 1,333,200 | 1,304,787 | |||||||||||
Expenses | |||||||||||||||
Losses and loss expenses | 296,149 | 307,130 | 565,734 | 531,577 | |||||||||||
Policy acquisition costs | 117,268 | 107,966 | 228,896 | 215,159 | |||||||||||
General and administrative expenses | 96,349 | 89,688 | 184,273 | 175,896 | |||||||||||
Share compensation expenses | 11,146 | 10,727 | 20,637 | 21,964 | |||||||||||
Finance expenses | 14,209 | 14,166 | 28,152 | 29,369 | |||||||||||
Transaction expenses | 4,427 | — | 4,427 | — | |||||||||||
Total expenses | 539,548 | 529,677 | 1,032,119 | 973,965 | |||||||||||
Income before taxes, loss from operating affiliate and (income) attributable to AlphaCat investors | 157,791 | 123,976 | 301,081 | 330,822 | |||||||||||
Tax benefit (expense) | 987 | (1,706 | ) | 4,536 | 412 | ||||||||||
Loss from operating affiliate | — | — | — | (23 | ) | ||||||||||
(Income) attributable to AlphaCat investors | (11,830 | ) | (6,114 | ) | (19,333 | ) | (10,714 | ) | |||||||
Net income | $ | 146,948 | $ | 116,156 | $ | 286,284 | $ | 320,497 | |||||||
Net (income) attributable to noncontrolling interests | (43,650 | ) | (21,193 | ) | (86,222 | ) | (58,724 | ) | |||||||
Net income available to Validus | 103,298 | 94,963 | 200,062 | 261,773 | |||||||||||
Dividends on preferred shares | (2,203 | ) | — | (4,406 | ) | — | |||||||||
Net income available to Validus common shareholders | $ | 101,095 | $ | 94,963 | $ | 195,656 | $ | 261,773 | |||||||
Comprehensive income | |||||||||||||||
Net income | $ | 146,948 | $ | 116,156 | $ | 286,284 | $ | 320,497 | |||||||
Other comprehensive income (loss) | |||||||||||||||
Change in foreign currency translation adjustments | 1,489 | (3,287 | ) | 2,086 | (5,315 | ) | |||||||||
Change in minimum pension liability, net of tax | 1,184 | 479 | 1,252 | 396 | |||||||||||
Change in fair value of cash flow hedge | (144 | ) | 64 | (46 | ) | (694 | ) | ||||||||
Other comprehensive income (loss), net of tax | 2,529 | (2,744 | ) | 3,292 | (5,613 | ) | |||||||||
Comprehensive (income) attributable to noncontrolling interests | (43,650 | ) | (21,193 | ) | (86,222 | ) | (58,724 | ) | |||||||
Comprehensive income available to Validus | $ | 105,827 | $ | 92,219 | $ | 203,354 | $ | 256,160 | |||||||
Earnings per common share | |||||||||||||||
Basic earnings per share available to Validus common shareholders | $ | 1.28 | $ | 1.16 | $ | 2.47 | $ | 3.18 | |||||||
Earnings per diluted share available to Validus common shareholders | $ | 1.25 | $ | 1.14 | $ | 2.42 | $ | 3.12 | |||||||
Cash dividends declared per common share | $ | 0.38 | $ | 0.35 | $ | 0.76 | $ | 0.70 | |||||||
Weighted average number of common shares and common share equivalents outstanding: | |||||||||||||||
Basic | 79,270,561 | 81,950,833 | 79,202,116 | 82,386,047 | |||||||||||
Diluted | 80,872,451 | 83,373,003 | 80,861,998 | 83,785,659 |
Six Months Ended June 30, | |||||||
2017 | 2016 | ||||||
(unaudited) | |||||||
Preferred shares | |||||||
Balance, beginning of period | $ | 150,000 | $ | — | |||
Preferred shares issued | 250,000 | 150,000 | |||||
Balance, end of period | $ | 400,000 | $ | 150,000 | |||
Common shares | |||||||
Balance, beginning of period | $ | 28,224 | $ | 28,100 | |||
Common shares issued, net | 115 | 119 | |||||
Balance, end of period | $ | 28,339 | $ | 28,219 | |||
Treasury shares | |||||||
Balance, beginning of period | $ | (14,376 | ) | $ | (13,592 | ) | |
Repurchase of common shares | (47 | ) | (492 | ) | |||
Balance, end of period | $ | (14,423 | ) | $ | (14,084 | ) | |
Additional paid-in capital | |||||||
Balance, beginning of period | $ | 821,023 | $ | 1,002,980 | |||
Offering expenses on preferred shares | (8,314 | ) | (5,148 | ) | |||
Common shares redeemed, net | (12,076 | ) | (7,504 | ) | |||
Repurchase of common shares | (13,949 | ) | (128,591 | ) | |||
Share compensation expenses | 20,637 | 21,964 | |||||
Balance, end of period | $ | 807,321 | $ | 883,701 | |||
Accumulated other comprehensive loss | |||||||
Balance, beginning of period | $ | (23,216 | ) | $ | (12,569 | ) | |
Other comprehensive income (loss) | 3,292 | (5,613 | ) | ||||
Balance, end of period | $ | (19,924 | ) | $ | (18,182 | ) | |
Retained earnings | |||||||
Balance, beginning of period | $ | 2,876,636 | $ | 2,634,056 | |||
Net income | 286,284 | 320,497 | |||||
Net (income) attributable to noncontrolling interests | (86,222 | ) | (58,724 | ) | |||
Dividends on preferred shares | (4,406 | ) | — | ||||
Dividends on common shares | (62,174 | ) | (59,227 | ) | |||
Balance, end of period | $ | 3,010,118 | $ | 2,836,602 | |||
Total shareholders’ equity available to Validus | $ | 4,211,431 | $ | 3,866,256 | |||
Noncontrolling interests | $ | 415,658 | $ | 212,154 | |||
Total shareholders’ equity | $ | 4,627,089 | $ | 4,078,410 |
Six Months Ended June 30, | |||||||
2017 | 2016 | ||||||
(unaudited) | |||||||
Cash flows provided by (used in) operating activities | |||||||
Net income | $ | 286,284 | $ | 320,497 | |||
Adjustments to reconcile net income to cash provided by (used in) operating activities: | |||||||
Share compensation expenses | 20,637 | 21,964 | |||||
Loss on deconsolidation of AlphaCat ILS fund | 402 | — | |||||
Amortization of discount on senior notes | 54 | 54 | |||||
(Income) loss from investment affiliates | (14,654 | ) | 4,702 | ||||
Net realized and change in net unrealized gains on investments | (30,779 | ) | (81,012 | ) | |||
Amortization of intangible assets | 3,995 | 2,832 | |||||
Loss from operating affiliate | — | 23 | |||||
Foreign exchange gains included in net income | (9,686 | ) | (6,289 | ) | |||
Amortization of premium on fixed maturity investments | 7,012 | 8,710 | |||||
Change in: | |||||||
Premiums receivable | (648,195 | ) | (719,070 | ) | |||
Deferred acquisition costs | (97,746 | ) | (102,211 | ) | |||
Prepaid reinsurance premiums | (30,684 | ) | (67,575 | ) | |||
Loss reserves recoverable | (113,508 | ) | (95,429 | ) | |||
Paid losses recoverable | 17,500 | (4,571 | ) | ||||
Reserve for losses and loss expenses | 199,985 | 147,305 | |||||
Unearned premiums | 488,198 | 655,353 | |||||
Reinsurance balances payable | 111,488 | 18,610 | |||||
Other operational balance sheet items, net | (137,618 | ) | (34,450 | ) | |||
Net cash provided by operating activities | 52,685 | 69,443 | |||||
Cash flows provided by (used in) investing activities | |||||||
Proceeds on sales of fixed maturity investments | 1,632,371 | 1,376,077 | |||||
Proceeds on maturities of fixed maturity investments | 247,394 | 184,413 | |||||
Purchases of fixed maturity investments | (1,682,609 | ) | (1,537,606 | ) | |||
Purchases of short-term investments, net | (88,623 | ) | (428,040 | ) | |||
Purchases of other investments, net | (33,870 | ) | (19,796 | ) | |||
Decrease (increase) in securities lending collateral | 7,265 | (5,361 | ) | ||||
Redemption from operating affiliates | — | 369 | |||||
Distributions from (investments in) investment affiliates, net | 11,708 | (16,307 | ) | ||||
Increase in restricted cash | (124,083 | ) | (22,752 | ) | |||
Purchase of subsidiary, net of cash acquired | (183,923 | ) | — | ||||
Net cash used in investing activities | (214,370 | ) | (469,003 | ) | |||
Cash flows provided by (used in) financing activities | |||||||
Net proceeds on issuance of notes payable to AlphaCat investors | 269,645 | 294,748 | |||||
Net proceeds on issuance of preferred shares | 241,686 | 144,852 | |||||
Redemption of common shares, net | (11,961 | ) | (7,385 | ) | |||
Purchases of common shares under share repurchase program | (13,996 | ) | (129,083 | ) | |||
Dividends paid on preferred shares | (4,406 | ) | — | ||||
Dividends paid on common shares | (63,286 | ) | (59,961 | ) | |||
(Decrease) increase in securities lending payable | (7,265 | ) | 5,361 | ||||
Third party investment in redeemable noncontrolling interests | 210,200 | 381,250 | |||||
Third party redemption of redeemable noncontrolling interests | (79,334 | ) | (10,800 | ) | |||
Third party investment in noncontrolling interests | 258,300 | 171,674 | |||||
Third party distributions of noncontrolling interests | (96,125 | ) | (127,103 | ) | |||
Third party subscriptions deployed in AlphaCat Funds and Sidecars | (171,952 | ) | (411,336 | ) | |||
Net cash provided by financing activities | 531,506 | 252,217 | |||||
Effect of foreign currency rate changes on cash and cash equivalents | 10,608 | (6,968 | ) | ||||
Net increase (decrease) in cash and cash equivalents | 380,429 | (154,311 | ) | ||||
Cash and cash equivalents - beginning of period | 419,976 | 723,109 | |||||
Cash and cash equivalents - end of period | $ | 800,405 | $ | 568,798 | |||
Supplemental disclosure of cash flow information: | |||||||
Taxes paid during the period | $ | 568 | $ | 3,837 | |||
Interest paid during the period | $ | 27,186 | $ | 27,552 |
Total purchase price | $ | 185,576 | ||||
Assets acquired | ||||||
Cash and cash equivalents | $ | 1,653 | ||||
Premiums receivable | 564,453 | |||||
Prepaid reinsurance premiums | 227,157 | |||||
Other assets | 157,146 | |||||
Assets acquired | 950,409 | |||||
Liabilities acquired | ||||||
Reinsurance balances payable | $ | 294,201 | ||||
Unearned premiums | 406,649 | |||||
Net loss reserves | 42,575 | |||||
Other liabilities | 122,715 | |||||
Liabilities acquired | 866,140 | |||||
Excess purchase price | $ | 101,307 | ||||
Goodwill and other intangible assets acquired | ||||||
Intangible asset - Distribution channels | $ | 52,898 | ||||
Intangible asset - Brand name | 9,568 | |||||
Intangible asset - Technology | 1,455 | |||||
Total intangible assets | 63,921 | |||||
Goodwill | 30,943 | |||||
Deferred tax arising on Goodwill | 6,443 | |||||
Total goodwill and intangible assets | $ | 101,307 |
Goodwill | |||||||||
Six Months Ended June 30, 2017 | |||||||||
Talbot | Western World | Total | |||||||
Balance at December 31, 2016 | 20,393 | 176,365 | 196,758 | ||||||
Additions | — | 30,943 | 30,943 | ||||||
Balance at June 30, 2017 | 20,393 | 207,308 | 227,701 | ||||||
Intangible assets | |||||||||
Six Months Ended June 30, 2017 | |||||||||
Talbot | Western World | Total | |||||||
Balance at December 31, 2016 | 93,924 | 21,668 | 115,592 | ||||||
Additions | — | 63,921 | 63,921 | ||||||
Amortization | (2,081 | ) | (1,914 | ) | (3,995 | ) | |||
Balance at June 30, 2017 | 91,843 | 83,675 | 175,518 |
Intangible assets | |||||||||
Six Months Ended June 30, 2017 | |||||||||
With a Finite Life | With an Indefinite Life | Total | |||||||
Balance at December 31, 2016 | 11,424 | 104,168 | 115,592 | ||||||
Additions | 63,921 | — | 63,921 | ||||||
Amortization | (3,995 | ) | — | (3,995 | ) | ||||
Balance at June 30, 2017 | 71,350 | 104,168 | 175,518 |
From Acquisition Date to | ||
June 30, 2017 | ||
Net premiums written | 6,988 | |
Net premiums earned | 50,044 | |
Total underwriting deductions | 44,780 | |
Underwriting income, before general and administrative expenses | 5,264 |
June 30, 2017 | December 31, 2016 | ||||||||||||||
Amortized Cost or Cost | Fair Value | Amortized Cost or Cost | Fair Value | ||||||||||||
Managed investments | |||||||||||||||
U.S. government and government agency | $ | 649,214 | $ | 646,436 | $ | 809,392 | $ | 804,126 | |||||||
Non-U.S. government and government agency | 293,002 | 292,504 | 245,651 | 240,791 | |||||||||||
U.S. states, municipalities and political subdivisions | 227,047 | 227,949 | 271,742 | 271,830 | |||||||||||
Agency residential mortgage-backed securities | 786,784 | 783,006 | 684,490 | 679,595 | |||||||||||
Non-agency residential mortgage-backed securities | 26,745 | 26,683 | 15,858 | 15,477 | |||||||||||
U.S. corporate | 1,378,884 | 1,386,484 | 1,540,036 | 1,534,508 | |||||||||||
Non-U.S. corporate | 380,317 | 379,480 | 418,520 | 410,227 | |||||||||||
Bank loans | 560,446 | 552,901 | 579,121 | 570,399 | |||||||||||
Asset-backed securities | 500,679 | 502,056 | 528,563 | 526,814 | |||||||||||
Commercial mortgage-backed securities | 317,732 | 316,190 | 333,740 | 330,932 | |||||||||||
Total fixed maturities | 5,120,850 | 5,113,689 | 5,427,113 | 5,384,699 | |||||||||||
Short-term investments | 255,289 | 255,516 | 228,574 | 228,386 | |||||||||||
Other investments | |||||||||||||||
Fund of hedge funds | — | — | 1,457 | 955 | |||||||||||
Hedge funds | 11,292 | 18,303 | 11,292 | 17,381 | |||||||||||
Private equity investments | 79,871 | 100,391 | 66,383 | 82,627 | |||||||||||
Fixed income investment funds | 266,041 | 268,110 | 247,967 | 249,275 | |||||||||||
Overseas deposits | 57,874 | 57,874 | 50,106 | 50,106 | |||||||||||
Mutual funds | 1,918 | 3,940 | 2,925 | 5,368 | |||||||||||
Total other investments | 416,996 | 448,618 | 380,130 | 405,712 | |||||||||||
Investments in investment affiliates (a) | 72,532 | 103,377 | 84,840 | 100,431 | |||||||||||
Total managed investments | $ | 5,865,667 | $ | 5,921,200 | $ | 6,120,657 | $ | 6,119,228 | |||||||
Non-managed investments | |||||||||||||||
Catastrophe bonds | $ | 303,712 | $ | 304,954 | $ | 157,486 | $ | 158,331 | |||||||
Short-term investments | 2,615,837 | 2,615,837 | 2,567,784 | 2,567,784 | |||||||||||
Total non-managed investments | 2,919,549 | 2,920,791 | 2,725,270 | 2,726,115 | |||||||||||
Total investments | $ | 8,785,216 | $ | 8,841,991 | $ | 8,845,927 | $ | 8,845,343 |
(a) | The Company’s investments in investment affiliates have been treated as equity method investments with the corresponding gains and losses recorded in |
(a) | Fixed maturity investments |
June 30, 2017 | December 31, 2016 | ||||||||||||
Fair Value | % of Total | Fair Value | % of Total | ||||||||||
Managed fixed maturities | |||||||||||||
AAA | $ | 2,318,254 | 42.8 | % | $ | 2,405,597 | 43.4 | % | |||||
AA | 463,060 | 8.5 | % | 538,289 | 9.7 | % | |||||||
A | 1,009,366 | 18.6 | % | 1,081,949 | 19.5 | % | |||||||
BBB | 703,563 | 13.0 | % | 740,861 | 13.4 | % | |||||||
Total investment grade managed fixed maturities | 4,494,243 | 82.9 | % | 4,766,696 | 86.0 | % | |||||||
BB | 229,023 | 4.2 | % | 213,568 | 3.9 | % | |||||||
B | 176,743 | 3.3 | % | 177,737 | 3.2 | % | |||||||
CCC | 11,114 | 0.2 | % | 13,371 | 0.2 | % | |||||||
NR | 202,566 | 3.8 | % | 213,327 | 3.8 | % | |||||||
Total non-investment grade fixed maturities | 619,446 | 11.5 | % | 618,003 | 11.1 | % | |||||||
Total managed fixed maturities | $ | 5,113,689 | 94.4 | % | $ | 5,384,699 | 97.1 | % | |||||
Non-managed fixed maturities | |||||||||||||
BB | 28,177 | 0.4 | % | 29,731 | 0.6 | % | |||||||
B | 2,781 | 0.1 | % | 4,524 | 0.1 | % | |||||||
NR | 273,996 | 5.1 | % | 124,076 | 2.2 | % | |||||||
Total non-managed fixed maturities | 304,954 | 5.6 | % | 158,331 | 2.9 | % | |||||||
Total fixed maturities | $ | 5,418,643 | 100.0 | % | $ | 5,543,030 | 100.0 | % |
June 30, 2017 | December 31, 2016 | ||||||||||||||
Amortized Cost | Fair Value | Amortized Cost | Fair Value | ||||||||||||
Managed fixed maturities | |||||||||||||||
Due in one year or less | $ | 497,473 | $ | 492,256 | $ | 350,733 | $ | 346,161 | |||||||
Due after one year through five years | 2,464,093 | 2,461,870 | 2,954,856 | 2,933,146 | |||||||||||
Due after five years through ten years | 456,793 | 459,311 | 430,365 | 426,647 | |||||||||||
Due after ten years | 70,551 | 72,317 | 128,508 | 125,927 | |||||||||||
3,488,910 | 3,485,754 | 3,864,462 | 3,831,881 | ||||||||||||
Asset-backed and mortgage-backed securities | 1,631,940 | 1,627,935 | 1,562,651 | 1,552,818 | |||||||||||
Total managed fixed maturities | $ | 5,120,850 | $ | 5,113,689 | $ | 5,427,113 | $ | 5,384,699 | |||||||
Non-managed catastrophe bonds | |||||||||||||||
Due in one year or less | $ | 33,662 | $ | 32,441 | $ | 43,664 | $ | 45,418 | |||||||
Due after one year through five years | 263,300 | 265,735 | 112,572 | 111,656 | |||||||||||
Due after five years through ten years | 6,750 | 6,778 | 1,250 | 1,257 | |||||||||||
Due after ten years | — | — | — | — | |||||||||||
Total non-managed fixed maturities | 303,712 | 304,954 | 157,486 | 158,331 | |||||||||||
Total fixed maturities | $ | 5,424,562 | $ | 5,418,643 | $ | 5,584,599 | $ | 5,543,030 |
(b) | Other investments |
June 30, 2017 | ||||||||||||||||
Fair Value | Investments with redemption restrictions | Investments without redemption restrictions | Redemption frequency (a) | Redemption notice period (a) | ||||||||||||
Hedge funds | 18,303 | 18,303 | — | |||||||||||||
Private equity investments | 100,391 | 100,391 | — | |||||||||||||
Fixed income investment funds | 268,110 | 237,986 | 30,124 | Daily | Daily to 2 days | |||||||||||
Overseas deposits | 57,874 | 57,874 | — | |||||||||||||
Mutual funds | 3,940 | — | 3,940 | Daily | Daily | |||||||||||
Total other investments | $ | 448,618 | $ | 414,554 | $ | 34,064 | ||||||||||
December 31, 2016 | ||||||||||||||||
Fair Value | Investments with redemption restrictions | Investments without redemption restrictions | Redemption frequency (a) | Redemption notice period (a) | ||||||||||||
Fund of hedge funds | $ | 955 | $ | 955 | $ | — | ||||||||||
Hedge funds | 17,381 | 17,381 | — | |||||||||||||
Private equity investments | 82,627 | 82,627 | — | |||||||||||||
Fixed income investment funds | 249,275 | 218,333 | 30,942 | Daily | 2 days | |||||||||||
Overseas deposits | 50,106 | 50,106 | — | |||||||||||||
Mutual funds | 5,368 | — | 5,368 | Daily | Daily | |||||||||||
Total other investments | $ | 405,712 | $ | 369,402 | $ | 36,310 |
(a) | The redemption frequency and notice periods only apply to investments without redemption restrictions. |
Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||
2017 | 2016 | 2017 | 2016 | ||||||||||||
Investments in investment affiliates, beginning of period | $ | 94,697 | $ | 84,135 | $ | 100,431 | $ | 87,673 | |||||||
Net capital (distributions) contributions | (786 | ) | 15,732 | (11,708 | ) | 16,307 | |||||||||
Income (loss) from investment affiliates | 9,466 | (589 | ) | 14,654 | (4,702 | ) | |||||||||
Investments in investment affiliates, end of period | $ | 103,377 | $ | 99,278 | $ | 103,377 | $ | 99,278 |
June 30, 2017 | |||||||||||||
Investment at cost | Voting ownership % | Equity ownership % | Carrying value | ||||||||||
Aquiline II | $ | 33,349 | — | % | 8.1 | % | $ | 52,010 | |||||
Aquiline III | 37,969 | — | % | 9.0 | % | 50,153 | |||||||
Aquiline Tech | 1,214 | — | % | 16.4 | % | 1,214 | |||||||
Total investments in investment affiliates | $ | 72,532 | $ | 103,377 | |||||||||
December 31, 2016 | |||||||||||||
Investment at cost | Voting ownership % | Equity ownership % | Carrying value | ||||||||||
Aquiline II | $ | 46,871 | — | % | 8.1 | % | $ | 61,999 | |||||
Aquiline III | 37,969 | — | % | 9.0 | % | 38,432 | |||||||
Total investments in investment affiliates | $ | 84,840 | $ | 100,431 |
Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||
2017 | 2016 | 2017 | 2016 | ||||||||||||
Managed investments | |||||||||||||||
Fixed maturities and short-term investments | $ | 31,312 | $ | 30,621 | $ | 62,983 | $ | 58,638 | |||||||
Other investments | 7,571 | 8,026 | 14,441 | 8,898 | |||||||||||
Cash and cash equivalents and restricted cash | 616 | 380 | 1,226 | 1,245 | |||||||||||
Securities lending income | 7 | 12 | 20 | 17 | |||||||||||
Total gross investment income | 39,506 | 39,039 | 78,670 | 68,798 | |||||||||||
Investment expenses | (1,443 | ) | (2,190 | ) | (4,415 | ) | (4,026 | ) | |||||||
Total managed net investment income | $ | 38,063 | $ | 36,849 | $ | 74,255 | $ | 64,772 | |||||||
Non managed investments | |||||||||||||||
Fixed maturities and short-term investments | $ | 4,500 | $ | 1,977 | $ | 7,560 | $ | 3,272 | |||||||
Restricted cash, cash and cash equivalents | 1,678 | 431 | 2,640 | 674 | |||||||||||
Total non-managed net investment income | 6,178 | 2,408 | 10,200 | 3,946 | |||||||||||
Total net investment income | $ | 44,241 | $ | 39,257 | $ | 84,455 | $ | 68,718 |
Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||
2017 | 2016 | 2017 | 2016 | ||||||||||||
Managed fixed maturities, short-term and other investments | |||||||||||||||
Gross realized gains | $ | 5,175 | $ | 3,306 | $ | 7,865 | $ | 6,523 | |||||||
Gross realized (losses) | (2,906 | ) | (786 | ) | (8,488 | ) | (5,089 | ) | |||||||
Net realized gains (losses) on investments | 2,269 | 2,520 | (623 | ) | 1,434 | ||||||||||
Change in net unrealized gains on investments | 15,942 | 30,052 | 30,291 | 77,130 | |||||||||||
Total net realized and change in net unrealized gains on managed investments | $ | 18,211 | $ | 32,572 | $ | 29,668 | $ | 78,564 | |||||||
Non-managed fixed maturities, short-term and other investments | |||||||||||||||
Gross realized gains | $ | 5 | $ | 204 | $ | 1,733 | $ | 715 | |||||||
Gross realized (losses) | — | — | — | (9 | ) | ||||||||||
Net realized gains on investments | 5 | 204 | 1,733 | 706 | |||||||||||
Change in net unrealized gains (losses) on investments | 379 | 1,376 | (622 | ) | 1,742 | ||||||||||
Total net realized and change in net unrealized gains on non-managed investments | 384 | 1,580 | 1,111 | 2,448 | |||||||||||
Total net realized and change in net unrealized gains on total investments | $ | 18,595 | $ | 34,152 | $ | 30,779 | $ | 81,012 |
(a) | Classification within the fair value hierarchy |
Level 1 | Level 2 | Level 3 | Fair value based on NAV practical expedient (a) | Total | |||||||||||||||
Managed investments | |||||||||||||||||||
U.S. government and government agency | $ | — | $ | 646,436 | $ | — | $ | — | $ | 646,436 | |||||||||
Non-U.S. government and government agency | — | 292,504 | — | — | 292,504 | ||||||||||||||
U.S. states, municipalities and political subdivisions | — | 227,949 | — | — | 227,949 | ||||||||||||||
Agency residential mortgage-backed securities | — | 783,006 | — | — | 783,006 | ||||||||||||||
Non-agency residential mortgage-backed securities | — | 26,683 | — | — | 26,683 | ||||||||||||||
U.S. corporate | — | 1,386,484 | — | — | 1,386,484 | ||||||||||||||
Non-U.S. corporate | — | 379,480 | — | — | 379,480 | ||||||||||||||
Bank loans | — | 328,729 | 224,172 | — | 552,901 | ||||||||||||||
Asset-backed securities | — | 466,135 | 35,921 | — | 502,056 | ||||||||||||||
Commercial mortgage-backed securities | — | 316,190 | — | — | 316,190 | ||||||||||||||
Total fixed maturities | — | 4,853,596 | 260,093 | — | 5,113,689 | ||||||||||||||
Short-term investments | 248,439 | 7,077 | — | — | 255,516 | ||||||||||||||
Other investments | |||||||||||||||||||
Hedge funds | — | — | — | 18,303 | 18,303 | ||||||||||||||
Private equity investments | — | — | — | 100,391 | 100,391 | ||||||||||||||
Fixed income investment funds | — | 30,137 | 16,400 | 221,573 | 268,110 | ||||||||||||||
Overseas deposits | — | — | — | 57,874 | 57,874 | ||||||||||||||
Mutual funds | — | 3,940 | — | — | 3,940 | ||||||||||||||
Total other investments | — | 34,077 | 16,400 | 398,141 | 448,618 | ||||||||||||||
Investments in investment affiliates (b) | — | — | — | — | 103,377 | ||||||||||||||
Total managed investments | $ | 248,439 | $ | 4,894,750 | $ | 276,493 | $ | 398,141 | $ | 5,921,200 | |||||||||
Non-managed investments | |||||||||||||||||||
Catastrophe bonds | $ | — | $ | 236,929 | $ | 68,025 | $ | — | $ | 304,954 | |||||||||
Short-term investments | 2,615,837 | — | — | — | 2,615,837 | ||||||||||||||
Total non-managed investments | 2,615,837 | 236,929 | 68,025 | — | 2,920,791 | ||||||||||||||
Total investments | $ | 2,864,276 | $ | 5,131,679 | $ | 344,518 | $ | 398,141 | $ | 8,841,991 |
(a) | In accordance with ASC Topic 820 “Fair Value Measurements,” investments measured at fair value using the net asset value (“NAV”) per share (or its equivalent) practical expedient have not been classified in the fair value hierarchy. |
(b) | In accordance with ASC Topic 825 “Financial Instruments,” the Company’s investments in investment affiliates have not been classified in the fair value hierarchy. |
Level 1 | Level 2 | Level 3 | Fair value based on NAV practical expedient (a) | Total | |||||||||||||||
Managed investments | |||||||||||||||||||
U.S. government and government agency | $ | — | $ | 804,126 | $ | — | $ | — | $ | 804,126 | |||||||||
Non-U.S. government and government agency | — | 240,791 | — | — | 240,791 | ||||||||||||||
U.S. states, municipalities and political subdivisions | — | 271,830 | — | — | 271,830 | ||||||||||||||
Agency residential mortgage-backed securities | — | 679,595 | — | — | 679,595 | ||||||||||||||
Non-agency residential mortgage-backed securities | — | 15,477 | — | — | 15,477 | ||||||||||||||
U.S. corporate | — | 1,534,508 | — | — | 1,534,508 | ||||||||||||||
Non-U.S. corporate | — | 410,227 | — | — | 410,227 | ||||||||||||||
Bank loans | — | 323,903 | 246,496 | — | 570,399 | ||||||||||||||
Asset-backed securities | — | 502,883 | 23,931 | — |