Exhibit | Description of Exhibit | ||
99.1 | Press Release and Supplementary Financial Information – PartnerRe Ltd. first quarter results, dated May 7, 2020 | ||
PartnerRe Ltd. | ||||||||
(Registrant) | ||||||||
Date: | May 7, 2020 | By: | /s/ Nicolas Burnet | |||||
Name: Nicolas Burnet | ||||||||
Title: Chief Financial Officer |
Exhibit | Description of Exhibit | ||
99.1 | Press Release and Supplementary Financial Information – PartnerRe Ltd. first quarter results, dated May 7, 2020 | ||
▪ | Net loss attributable to common shareholder of $433 million for the quarter, driven by $610 million of unrealized losses on investments. Since the quarter-end, the Company's investment portfolio significantly recovered. |
▪ | Non-life combined ratio of 103.8% during the quarter, driven by P&C combined ratio of 94.3% and Specialty combined ratio of 121.1%. Life and Health profitability, including underwriting result and allocated net investment income, of $18 million for the quarter. |
▪ | Strong solvency and liquidity at the end of the first quarter, with a solvency ratio estimated in excess of 250% and cash and cash equivalents of $1.9 billion. |
PartnerRe Ltd. Wellesley House, 5th Floor 90 Pitts Bay Road Pembroke, Bermuda HM 08 | Telephone +1 441 292 0888 Fax +1 441 292 6080 www.partnerre.com | 1 |
PartnerRe Ltd. Wellesley House, 5th Floor 90 Pitts Bay Road Pembroke, Bermuda HM 08 | Telephone +1 441 292 0888 Fax +1 441 292 6080 www.partnerre.com | 2 |
▪ | Non-life net premiums written for the first quarter of 2020 decreased 6% compared to the first quarter of 2019, driven by a 7% decrease in the P&C segment, offset by a 1% increase in the Specialty segment, reflecting the Company's focus on portfolio optimization during the January 1, 2020 renewals. |
▪ | Non-life net premiums earned for the first quarter of 2020 increased by 14% compared to the first quarter of 2019, driven by premiums earned on prior underwriting years. |
▪ | The Non-life underwriting loss was $46 million (combined ratio of 103.8%) for the first quarter of 2020 compared to a profit of $24 million (combined ratio of 97.7%) for the first quarter of 2019. |
▪ | The P&C segment reported a combined ratio of 94.3% for the first quarter of 2020 compared to 87.7% for the first quarter of 2019. The P&C combined ratio for the first quarter of 2020 included $26 million (3.4 points) of favorable prior year reserve development, compared to $49 million (7.3 points) for the first quarter of 2019. |
▪ | The Specialty segment reported a combined ratio of 121.1% for the first quarter of 2020 compared to 116.0% for the first quarter of 2019, with both periods adversely impacted by prior year reserve development of $95 million (22.4 points) and $38 million (10.4 points), respectively. Prior year reserve development for the first quarter of 2020 was largely exposure driven by premium increases, as well as experience driven by a mid-sized loss from a 2019 event in the property line of business. The impact of higher adverse prior year development was partially offset by an improvement in the current accident year loss ratio compared to the same period of 2019. The first quarter of 2020 included a loss of $18 million (4.2 points) on two event cancellations related to COVID-19, compared to the first quarter of 2019 which included a loss of $27 million (7.3 points) in the aviation line of business. |
▪ | Net premiums written were up 7% and net premiums earned were up 10% for the first quarter 2020, compared to the first quarter of 2019. |
▪ | Allocated underwriting result was a profit of $18 million in the first quarter of 2020, compared to a profit of $30 million in the first quarter 2019. The decrease was primarily driven by a $23 million adverse impact in the guaranteed minimum death benefits (GMDB) line of business following declines in equity markets during the first quarter of 2020, partially offset by the favorable impact of certain portfolio recaptures. |
PartnerRe Ltd. Wellesley House, 5th Floor 90 Pitts Bay Road Pembroke, Bermuda HM 08 | Telephone +1 441 292 0888 Fax +1 441 292 6080 www.partnerre.com | 3 |
▪ | Net investment return in the first quarter of 2020 was a loss of $503 million, or (2.9)%, and included net realized and unrealized investment losses of $602 million and losses from equity method investments of $4 million, which were partially offset by net investment income of $103 million. This compares to a net investment return of $600 million, or 3.6%, for the first quarter of 2019, which included net investment income of $110 million, net realized and unrealized investment gains of $469 million and interest in earnings of equity method investments of $21 million. The majority of the Company's investments, including all fixed maturities, are accounted for at fair value with changes in the fair value recorded in the Consolidated Statements of Operations. |
▪ | Net investment income was down $7 million, or 6%, for the first quarter of 2020, compared to the same period of 2019, driven by higher investment expenses, partially offset by higher gross investment income from decisions in 2019 to re-balance certain assets into higher yield per duration unit strategies. |
▪ | Net realized and unrealized investment losses of $602 million for the first quarter of 2020 included net realized and unrealized investment losses of $27 million on fixed maturities and short-term investments, net realized and unrealized investment losses of $362 million on equities, and net realized and unrealized investment losses of $213 million on other invested assets. Losses on fixed maturities and short-term investments were driven by the impact of increases in worldwide credit spreads, partially offset by decreases in world-wide risk-free rates, while losses on equities were primarily unrealized and were driven by losses in public equity funds due to decreases in world-wide equity markets. Losses on other invested assets were also primarily unrealized and were driven by unrealized losses on U.S. and European bank loans of $168 million during the quarter, which resulted from significant widening of U.S. and European non-investment grade credit spreads. In comparison, net realized and unrealized investment gains were $469 million in the first quarter of 2019, which included net realized and unrealized investment gains of $280 million on fixed maturities and short-term investments, due to decreases in world-wide risk free rates and credit spreads, and $189 million of net realized and unrealized investment gains on equities and other invested assets, primarily due gains in public equity funds. |
▪ | Losses from equity method investments was $4 million in the first quarter of 2020, primarily driven by losses on certain real estate and private equity investments. This compared to earnings of $21 million for the same period of 2019. |
▪ | As of March 31, 2020, reinvestment rates were 2.4% compared to the Company's fixed income investment portfolio yield of 3.1% for the first quarter of 2020. |
PartnerRe Ltd. Wellesley House, 5th Floor 90 Pitts Bay Road Pembroke, Bermuda HM 08 | Telephone +1 441 292 0888 Fax +1 441 292 6080 www.partnerre.com | 4 |
▪ | During the month of April 2020, the Company recorded net unrealized gains of approximately $150 million in its fixed maturities and short-term investments portfolios. The Company also recorded approximately $145 million of unrealized gains in public EXOR funds, recorded within Equities, and approximately $65 million of unrealized gains in the U.S. bank loan portfolio, recorded within Other invested assets. |
▪ | Expense ratio of 5.5% for the first quarter of 2020 (Other expenses of $86 million) was down 0.9 percentage points compared to expense ratio of 6.4% (Other expenses of $89 million) for the same period of 2019, with the decrease primarily driven by non-recurring employment related expenses incurred during the first quarter of 2019, partially offset by an increase in Life and Health expenses compared to prior year to support the organic growth of the business. |
▪ | Net foreign exchange gains were $130 million for the first quarter of 2020, driven primarily by the appreciation of the U.S. dollar against the British pound and Canadian dollar, partially offset by the cost of hedging, compared to losses of $25 million for the first quarter of 2019, driven by the depreciation of the U.S. dollar against these same currencies. The impact of foreign exchange in the income statement was offset by changes in the foreign currency translation adjustment, which decreased by $114 million and increased by $45 million in the first quarters of 2020 and 2019, respectively. |
▪ | Interest expense was $8 million for the first quarter of 2020, compared to $11 million for the same period of 2019. During the second quarter of 2019, the Company issued $500 million 3.70% Senior Notes due 2029 and used the proceeds to early redeem the $500 million 5.50% Senior Notes due 2020 in the third quarter of 2019. These transactions resulted in the lower interest expense compared to the first quarter of 2019. |
▪ | Preferred dividends of $12 million for the first quarter of 2020 were comparable to the same period of 2019. |
▪ | Income tax benefit was $45 million on pre-tax losses of $467 million in the first quarter of 2020 compared to a tax expense of $45 million on pre-tax income of $554 million for the same period of 2019. These amounts were largely driven by the geographical distribution of pre-tax profits and losses. |
PartnerRe Ltd. Wellesley House, 5th Floor 90 Pitts Bay Road Pembroke, Bermuda HM 08 | Telephone +1 441 292 0888 Fax +1 441 292 6080 www.partnerre.com | 5 |
▪ | Total investments and cash and cash equivalents were $16.9 billion at March 31, 2020, down 5.1% compared to December 31, 2019. The decrease to March 31, 2020 was primarily driven by the net investment return, which was a loss of $503 million for the first quarter of 2020, and the increase in receivables for securities sold to $349 million at March 31, 2020 from $31 million at December 31, 2019. |
▪ | Cash and cash equivalents, fixed maturities, and short-term investments, which are government issued or investment grade fixed income securities, were $12.9 billion at March 31, 2020, representing 77% of the total investments and cash and cash equivalents. |
▪ | The average credit rating of the fixed income portfolio was AA as of March 31, 2020. The expected average duration of the public fixed income portfolio at March 31, 2020 was 2.1 years, while the average duration of the Company’s liabilities was 4.5 years. |
▪ | There were no dividends declared and paid to common shareholders in the first quarter of 2020, compared to $80 million over the same period in 2019. In April 2020, the Company declared and paid a dividend to common shareholders of $50 million. |
▪ | Common shareholder's equity (or book value) of $6.0 billion and tangible book value of $5.4 billion at March 31, 2020 decreased by 8.6% and 9.3%, respectively, compared to December 31, 2019, primarily due to the net loss attributable to common shareholder for the first quarter of 2020 and the foreign currency translation adjustment. |
▪ | Total capital was $8.1 billion at March 31, 2020, down 6.6% compared to December 31, 2019, primarily due to the decrease in common shareholder's equity during the first quarter of 2020 and, to a lesser extent, the decrease in Euro debt from foreign exchange movements. |
▪ | Cash provided by operating activities was $237 million for the first quarter of 2020, compared to $92 million for the first quarter of 2019. The increase for the first quarter of 2020 over the same period in 2019 was primarily driven by increases in cash flow from underwriting operations. |
PartnerRe Ltd. Wellesley House, 5th Floor 90 Pitts Bay Road Pembroke, Bermuda HM 08 | Telephone +1 441 292 0888 Fax +1 441 292 6080 www.partnerre.com | 6 |
Contacts: | PartnerRe Ltd. | |
(441) 292-0888 | ||
Investor Contact: Ryan Lipschutz | ||
Media Contact: Celia Powell |
PartnerRe Ltd. Wellesley House, 5th Floor 90 Pitts Bay Road Pembroke, Bermuda HM 08 | Telephone +1 441 292 0888 Fax +1 441 292 6080 www.partnerre.com | 7 |
For the three months ended | |||||||
March 31, 2020 | March 31, 2019 | ||||||
Revenues | |||||||
Gross premiums written | $ | 2,041,426 | $ | 2,117,274 | |||
Net premiums written | $ | 1,878,815 | $ | 1,943,807 | |||
Increase in unearned premiums | (312,757 | ) | (558,174 | ) | |||
Net premiums earned | 1,566,058 | 1,385,633 | |||||
Net investment income | 103,409 | 109,708 | |||||
Net realized and unrealized investment (losses) gains | (601,788 | ) | 468,778 | ||||
Other income | 4,470 | 3,911 | |||||
Total revenues | 1,072,149 | 1,968,030 | |||||
Expenses | |||||||
Losses and loss expenses | 1,233,055 | 991,783 | |||||
Acquisition costs | 334,538 | 316,208 | |||||
Other expenses | 85,712 | 89,193 | |||||
Interest expense | 8,245 | 10,761 | |||||
Amortization of intangible assets | 2,514 | 2,861 | |||||
Net foreign exchange (gains) losses | (129,624 | ) | 25,052 | ||||
Total expenses | 1,534,440 | 1,435,858 | |||||
(Loss) income before taxes and interest in (losses) earnings of equity method investments | (462,291 | ) | 532,172 | ||||
Income tax (benefit) expense | (44,782 | ) | 44,988 | ||||
Interest in (losses) earnings of equity method investments | (4,277 | ) | 21,352 | ||||
Net (loss) income | (421,786 | ) | 508,536 | ||||
Preferred dividends | 11,604 | 11,604 | |||||
Net (loss) income attributable to common shareholder | $ | (433,390 | ) | $ | 496,932 | ||
Comprehensive (loss) income | |||||||
Net (loss) income | $ | (421,786 | ) | $ | 508,536 | ||
Change in currency translation adjustment | (114,372 | ) | 44,530 | ||||
Change in net unrealized gains or losses on investments, net of tax | (71 | ) | (1,236 | ) | |||
Change in unfunded pension obligation, net of tax | (229 | ) | 81 | ||||
Comprehensive (loss) income | $ | (536,458 | ) | $ | 551,911 |
March 31, 2020 | December 31, 2019 | ||||||
Assets | |||||||
Investments: | |||||||
Fixed maturities, at fair value | $ | 10,731,538 | $ | 10,680,714 | |||
Short-term investments, at fair value | 672,788 | 1,003,421 | |||||
Equities, at fair value | 930,892 | 1,295,164 | |||||
Investments in real estate | 67,879 | 71,834 | |||||
Other invested assets | 2,606,734 | 3,266,009 | |||||
Total investments | 15,009,831 | 16,317,142 | |||||
Cash and cash equivalents | 1,876,101 | 1,484,463 | |||||
Accrued investment income | 108,045 | 109,673 | |||||
Reinsurance balances receivable | 3,554,703 | 3,400,070 | |||||
Reinsurance recoverable on paid and unpaid losses | 866,457 | 889,021 | |||||
Prepaid reinsurance premiums | 145,481 | 80,942 | |||||
Funds held by reinsured companies | 773,388 | 815,167 | |||||
Deferred acquisition costs | 895,066 | 874,608 | |||||
Deposit assets | 153,146 | 168,067 | |||||
Net tax assets | 203,583 | 179,813 | |||||
Goodwill | 456,380 | 456,380 | |||||
Intangible assets | 115,023 | 117,538 | |||||
Other assets (1) | 472,209 | 169,521 | |||||
Total assets | $ | 24,629,413 | $ | 25,062,405 | |||
Liabilities | |||||||
Non-life reserves | $ | 10,366,263 | $ | 10,363,383 | |||
Life and health reserves | 2,302,155 | 2,417,044 | |||||
Unearned premiums | 2,769,025 | 2,433,860 | |||||
Other reinsurance balances payable | 567,664 | 521,338 | |||||
Deposit liabilities | 6,682 | 5,507 | |||||
Net tax liabilities | 128,252 | 135,966 | |||||
Accounts payable, accrued expenses and other | 393,671 | 517,084 | |||||
Debt related to senior notes | 1,317,810 | 1,327,965 | |||||
Debt related to capital efficient notes | 70,089 | 70,089 | |||||
Total liabilities | 17,921,611 | 17,792,236 | |||||
Shareholders’ Equity | |||||||
Common shares (par value $0.00000001; issued and outstanding: 100,000,000 shares) | — | — | |||||
Preferred shares (par value $1.00; issued and outstanding: 28,169,062 shares; aggregate liquidation value: $704,227) | 28,169 | 28,169 | |||||
Additional paid-in capital | 2,396,530 | 2,396,530 | |||||
Accumulated other comprehensive loss | (190,597 | ) | (75,925 | ) | |||
Retained earnings | 4,473,700 | 4,921,395 | |||||
Total shareholders’ equity | 6,707,802 | 7,270,169 | |||||
Total liabilities and shareholders’ equity | $ | 24,629,413 | $ | 25,062,405 |
For the three months ended | ||||||||
March 31, 2020 | March 31, 2019 | |||||||
Net cash provided by operating activities | $ | 237,000 | $ | 91,752 | ||||
Net cash provided by (used in) investing activities | 170,974 | (198,984 | ) | |||||
Net cash used in financing activities | (10,687 | ) | (90,784 | ) | ||||
Effect of foreign exchange rate changes on cash | (5,649 | ) | (2,253 | ) | ||||
Increase (decrease) in cash and cash equivalents | 391,638 | (200,269 | ) | |||||
Cash and cash equivalents - beginning of period | 1,484,463 | 877,907 | ||||||
Cash and cash equivalents - end of period | $ | 1,876,101 | $ | 677,638 |
For the three months ended March 31, 2020 | ||||||||||||||||||||||||
P&C segment | Specialty segment | Total Non-life | Life and Health segment | Corporate and Other | Total | |||||||||||||||||||
Gross premiums written | $ | 1,137 | $ | 523 | $ | 1,660 | $ | 381 | $ | — | $ | 2,041 | ||||||||||||
Net premiums written | $ | 1,030 | $ | 476 | $ | 1,506 | $ | 373 | $ | — | $ | 1,879 | ||||||||||||
(Increase) decrease in unearned premiums | (265 | ) | (51 | ) | (316 | ) | 3 | — | (313 | ) | ||||||||||||||
Net premiums earned | $ | 765 | $ | 425 | $ | 1,190 | $ | 376 | $ | — | $ | 1,566 | ||||||||||||
Losses and loss expenses | (511 | ) | (389 | ) | (900 | ) | (333 | ) | — | (1,233 | ) | |||||||||||||
Acquisition costs | (192 | ) | (120 | ) | (312 | ) | (23 | ) | — | (335 | ) | |||||||||||||
Technical result | $ | 62 | $ | (84 | ) | $ | (22 | ) | $ | 20 | $ | — | $ | (2 | ) | |||||||||
Other (loss) income | — | — | — | (1 | ) | 6 | 5 | |||||||||||||||||
Other expenses | (18 | ) | (6 | ) | (24 | ) | (17 | ) | (45 | ) | (86 | ) | ||||||||||||
Underwriting result | $ | 44 | $ | (90 | ) | $ | (46 | ) | $ | 2 | n/a | $ | (83 | ) | ||||||||||
Net investment income | 16 | 87 | 103 | |||||||||||||||||||||
Allocated underwriting result | $ | 18 | n/a | n/a | ||||||||||||||||||||
Net realized and unrealized investment losses | (602 | ) | (602 | ) | ||||||||||||||||||||
Interest expense | (8 | ) | (8 | ) | ||||||||||||||||||||
Amortization of intangible assets | (3 | ) | (3 | ) | ||||||||||||||||||||
Net foreign exchange gains | 130 | 130 | ||||||||||||||||||||||
Income tax benefit | 45 | 45 | ||||||||||||||||||||||
Interest in losses of equity method investments | (4 | ) | (4 | ) | ||||||||||||||||||||
Net loss | n/a | $ | (422 | ) | ||||||||||||||||||||
Loss ratio (1) | 66.8 | % | 91.5 | % | 75.6 | % | ||||||||||||||||||
Acquisition ratio (2) | 25.1 | 28.2 | 26.2 | |||||||||||||||||||||
Technical ratio (3) | 91.9 | % | 119.7 | % | 101.8 | % | ||||||||||||||||||
Other expense ratio (4) | 2.4 | 1.4 | 2.0 | |||||||||||||||||||||
Combined ratio (5) | 94.3 | % | 121.1 | % | 103.8 | % | ||||||||||||||||||
For the three months ended March 31, 2019 | ||||||||||||||||||||||||
P&C segment | Specialty segment | Total Non-life | Life and Health segment | Corporate and Other | Total | |||||||||||||||||||
Gross premiums written | $ | 1,250 | $ | 508 | $ | 1,758 | $ | 359 | $ | — | $ | 2,117 | ||||||||||||
Net premiums written | $ | 1,113 | $ | 481 | $ | 1,594 | $ | 350 | $ | — | $ | 1,944 | ||||||||||||
Increase in unearned premiums | (438 | ) | (112 | ) | (550 | ) | (8 | ) | — | (558 | ) | |||||||||||||
Net premiums earned | $ | 675 | $ | 369 | $ | 1,044 | $ | 342 | $ | — | $ | 1,386 | ||||||||||||
Losses and loss expenses | (399 | ) | (313 | ) | (712 | ) | (280 | ) | — | (992 | ) | |||||||||||||
Acquisition costs | (173 | ) | (107 | ) | (280 | ) | (36 | ) | — | (316 | ) | |||||||||||||
Technical result | $ | 103 | $ | (51 | ) | $ | 52 | $ | 26 | $ | — | $ | 78 | |||||||||||
Other income | — | — | — | 3 | 1 | 4 | ||||||||||||||||||
Other expenses | (20 | ) | (8 | ) | (28 | ) | (15 | ) | (46 | ) | (89 | ) | ||||||||||||
Underwriting result | $ | 83 | $ | (59 | ) | $ | 24 | $ | 14 | n/a | $ | (7 | ) | |||||||||||
Net investment income | 16 | 94 | 110 | |||||||||||||||||||||
Allocated underwriting result | $ | 30 | n/a | n/a | ||||||||||||||||||||
Net realized and unrealized investment gains | 469 | 469 | ||||||||||||||||||||||
Interest expense | (11 | ) | (11 | ) | ||||||||||||||||||||
Amortization of intangible assets | (3 | ) | (3 | ) | ||||||||||||||||||||
Net foreign exchange losses | (25 | ) | (25 | ) | ||||||||||||||||||||
Income tax expense | (45 | ) | (45 | ) | ||||||||||||||||||||
Interest in earnings of equity method investments | 21 | 21 | ||||||||||||||||||||||
Net income | n/a | $ | 509 | |||||||||||||||||||||
Loss ratio (1) | 59.1 | % | 84.8 | % | 68.2 | % | ||||||||||||||||||
Acquisition ratio (2) | 25.6 | 29.0 | 26.8 | |||||||||||||||||||||
Technical ratio (3) | 84.7 | % | 113.8 | % | 95.0 | % | ||||||||||||||||||
Other expense ratio (4) | 3.0 | 2.2 | 2.7 | |||||||||||||||||||||
Combined ratio (5) | 87.7 | % | 116.0 | % | 97.7 | % |
March 31, 2020 | December 31, 2019 | |||||||||||||
Investments: | ||||||||||||||
Fixed maturities | ||||||||||||||
U.S. government | $ | 1,146,450 | 8 | % | $ | 877,196 | 6 | % | ||||||
U.S. government sponsored enterprises | 792,173 | 5 | 544,520 | 3 | ||||||||||
U.S. states, territories and municipalities | 149,656 | 1 | 157,234 | 1 | ||||||||||
Non-U.S. sovereign government, supranational and government related | 2,609,597 | 17 | 3,255,154 | 20 | ||||||||||
Corporate bonds | 2,602,301 | 17 | 2,662,089 | 16 | ||||||||||
Mortgage/asset-backed securities | 3,431,361 | 23 | 3,184,521 | 20 | ||||||||||
Total fixed maturities | 10,731,538 | 71 | 10,680,714 | 66 | ||||||||||
Short-term investments | 672,788 | 5 | 1,003,421 | 6 | ||||||||||
Equities | 930,892 | 6 | 1,295,164 | 8 | ||||||||||
Investments in real estate | 67,879 | 1 | 71,834 | — | ||||||||||
Other invested assets (1) | 2,606,734 | 17 | 3,266,009 | 20 | ||||||||||
Total investments | $ | 15,009,831 | 100 | % | $ | 16,317,142 | 100 | % | ||||||
Cash and cash equivalents | 1,876,101 | 1,484,463 | ||||||||||||
Total investments and cash and cash equivalents | 16,885,932 | 17,801,605 | ||||||||||||
Maturity distribution: | ||||||||||||||
One year or less | $ | 1,410,156 | 12 | % | $ | 1,673,912 | 14 | % | ||||||
More than one year through five years | 3,437,535 | 30 | 3,276,078 | 29 | ||||||||||
More than five years through ten years | 2,483,786 | 22 | 2,939,624 | 25 | ||||||||||
More than ten years | 641,488 | 6 | 610,000 | 5 | ||||||||||
Subtotal | 7,972,965 | 70 | 8,499,614 | 73 | ||||||||||
Mortgage/asset-backed securities | 3,431,361 | 30 | 3,184,521 | 27 | ||||||||||
Total fixed maturities and short-term investments | $ | 11,404,326 | 100 | % | $ | 11,684,135 | 100 | % | ||||||
Credit quality by market value (Total fixed maturities and short-term investments): | ||||||||||||||
AAA | $ | 2,425,389 | 21 | % | $ | 2,986,519 | 26 | % | ||||||
AA | 6,258,273 | 55 | 5,739,019 | 49 | ||||||||||
A | 1,487,589 | 13 | 1,706,119 | 14 | ||||||||||
BBB | 882,484 | 8 | 931,082 | 8 | ||||||||||
Below Investment Grade/Unrated | 350,591 | 3 | 321,396 | 3 | ||||||||||
$ | 11,404,326 | 100 | % | $ | 11,684,135 | 100 | % | |||||||
Expected average duration | 2.1 | Yrs | 2.7 | Yrs | ||||||||||
Average yield to maturity at market | 2.4 | % | 2.8 | % | ||||||||||
Average credit quality | AA | AA |
March 31, 2020 | |||||||||||||||||||||||
Fair Value | Percentage of Fair Value of Corporate Bonds | Percentage of Invested Assets and Cash | Largest single issuer as a percentage of Invested Assets and Cash | ||||||||||||||||||||
Distribution by sector - Corporate bonds | |||||||||||||||||||||||
Financial | $ | 1,220,154 | 47.0 | % | 7.2 | % | 0.5 | % | |||||||||||||||
Consumer cyclical | 253,238 | 9.7 | 1.5 | 0.5 | |||||||||||||||||||
Energy | 219,548 | 8.4 | 1.3 | 0.2 | |||||||||||||||||||
Insurance | 217,031 | 8.3 | 1.3 | 0.5 | |||||||||||||||||||
Consumer non-cyclical | 167,997 | 6.5 | 1.0 | 0.2 | |||||||||||||||||||
Utilities | 136,495 | 5.2 | 0.8 | 0.2 | |||||||||||||||||||
Industrial | 125,553 | 4.8 | 0.7 | 0.2 | |||||||||||||||||||
Real estate and real estate investment trusts | 105,635 | 4.1 | 0.6 | 0.2 | |||||||||||||||||||
Communications | 78,419 | 3.0 | 0.5 | 0.1 | |||||||||||||||||||
Technology | 31,666 | 1.2 | 0.2 | 0.1 | |||||||||||||||||||
Basic materials | 28,762 | 1.1 | 0.2 | 0.1 | |||||||||||||||||||
Longevity and mortality bonds | 17,630 | 0.7 | 0.1 | 0.1 | |||||||||||||||||||
Other | 173 | — | — | — | |||||||||||||||||||
Total Corporate bonds | $ | 2,602,301 | 100.0 | % | 15.4 | % | |||||||||||||||||
Finance sector - Corporate bonds | |||||||||||||||||||||||
Banks | $ | 793,164 | 30.5 | % | 4.7 | % | |||||||||||||||||
Investment banking and brokerage | 232,990 | 9.0 | 1.4 | ||||||||||||||||||||
Other | 194,000 | 7.5 | 1.1 | ||||||||||||||||||||
Total finance sector - Corporate bonds | $ | 1,220,154 | 47.0 | % | 7.2 | % | |||||||||||||||||
AAA | AA | A | BBB | Non-Investment Grade/Unrated | Total | ||||||||||||||||||
Credit quality of finance sector - Corporate bonds | |||||||||||||||||||||||
Banks | $ | — | $ | 123,661 | $ | 390,562 | $ | 248,041 | $ | 30,900 | $ | 793,164 | |||||||||||
Investment banking and brokerage | — | 1,492 | 61,533 | 169,964 | 1 | 232,990 | |||||||||||||||||
Other | 1,074 | 49,809 | 95,947 | 41,958 | 5,212 | 194,000 | |||||||||||||||||
Total finance sector - Corporate bonds | $ | 1,074 | $ | 174,962 | $ | 548,042 | $ | 459,963 | $ | 36,113 | $ | 1,220,154 | |||||||||||
% of total | 0.1 | % | 14.3 | % | 44.9 | % | 37.7 | % | 3.0 | % | 100.0 | % |
For the three months ended | |||||||
March 31, 2020 | March 31, 2019 | ||||||
Fixed maturities | $ | 78,677 | $ | 104,326 | |||
Short-term investments and cash and cash equivalents | 6,357 | 4,450 | |||||
Equities, investments in real estate, funds held and other | 39,591 | 9,597 | |||||
Investment expenses | (21,216 | ) | (8,665 | ) | |||
Net investment income | $ | 103,409 | $ | 109,708 | |||
Net realized investment gains on fixed maturities and short-term investments | $ | 16,458 | $ | 22,917 | |||
Net realized investment (losses) gains on equities | (1,438 | ) | 3,668 | ||||
Net realized investment (losses) gains on other invested assets | (6,525 | ) | 1,751 | ||||
Net realized investment gains | $ | 8,495 | $ | 28,336 | |||
Change in net unrealized investment (losses) gains on fixed maturities and short-term investments | $ | (43,099 | ) | $ | 257,019 | ||
Change in net unrealized investment (losses) gains on equities | (360,579 | ) | 159,474 | ||||
Change in net unrealized investment (losses) gains on other invested assets | (208,280 | ) | 24,280 | ||||
Net other realized and unrealized investment gains (losses) | 1,675 | (331 | ) | ||||
Change in net unrealized investment (losses) gains | $ | (610,283 | ) | $ | 440,442 | ||
Net realized and unrealized investment (losses) gains | $ | (601,788 | ) | $ | 468,778 |
As at and for the three months ended | |||||||
March 31, 2020 | March 31, 2019 | ||||||
Reconciliation of beginning and ending non-life reserves: | |||||||
Gross liability at beginning of period | $ | 10,363,383 | $ | 9,895,376 | |||
Reinsurance recoverable at beginning of period | (754,795 | ) | (850,946 | ) | |||
Net liability at beginning of period | 9,608,588 | 9,044,430 | |||||
Net incurred losses related to: | |||||||
Current year | 831,219 | 723,113 | |||||
Prior years | 69,026 | (10,670 | ) | ||||
900,245 | 712,443 | ||||||
Net losses paid | (715,687 | ) | (748,240 | ) | |||
Effects of foreign exchange rate changes and other | (144,537 | ) | 591 | ||||
Net liability at end of period | 9,648,609 | 9,009,224 | |||||
Reinsurance recoverable at end of period | 717,654 | 783,048 | |||||
Gross liability at end of period | $ | 10,366,263 | $ | 9,792,272 | |||
Breakdown of gross liability at end of period: | |||||||
Case reserves | $ | 4,254,430 | $ | 4,230,139 | |||
Additional case reserves | 172,029 | 154,118 | |||||
Incurred but not reported reserves | 5,939,804 | 5,408,015 | |||||
Gross liability at end of period | $ | 10,366,263 | $ | 9,792,272 | |||
Gross liability at end of period by Non-life segment: | |||||||
P&C | 7,192,411 | 6,960,321 | |||||
Specialty | 3,173,852 | 2,831,951 | |||||
Gross liability at end of period | $ | 10,366,263 | $ | 9,792,272 | |||
Unrecognized time value of non-life reserves (1) | $ | 136,515 | $ | 543,731 |
As at and for the three months ended | |||||||
March 31, 2020 | March 31, 2019 | ||||||
Reconciliation of beginning and ending life and health reserves: | |||||||
Gross liability at beginning of period | $ | 2,417,044 | $ | 2,198,080 | |||
Reinsurance recoverable at beginning of period | (16,183 | ) | (11,829 | ) | |||
Net liability at beginning of period | 2,400,861 | 2,186,251 | |||||
Net incurred losses | 332,810 | 279,340 | |||||
Net losses paid | (302,268 | ) | (232,998 | ) | |||
Effects of foreign exchange rate changes and other | (146,683 | ) | 14,809 | ||||
Net liability at end of period | 2,284,720 | 2,247,402 | |||||
Reinsurance recoverable at end of period | 17,435 | 11,732 | |||||
Gross liability at end of period | $ | 2,302,155 | $ | 2,259,134 | |||
Life value in force (1) | $ | 206,900 | $ | 321,300 |
March 31, 2020 | ||||||||||
Zone | Peril | 1-in-250 year PML | 1-in-500 year PML (Earthquake perils only) | |||||||
U.S. Northeast | Hurricane | $ | 850 | |||||||
U.S. Southeast | Hurricane | 846 | ||||||||
U.S. Gulf Coast | Hurricane | 799 | ||||||||
Caribbean | Hurricane | 235 | ||||||||
Europe | Windstorm | 475 | ||||||||
Japan | Typhoon | 348 | ||||||||
California | Earthquake | 788 | $ | 1,141 | ||||||
Japan | Earthquake | 518 | 577 | |||||||
Australia | Earthquake | 320 | 443 | |||||||
New Zealand | Earthquake | 286 | 434 | |||||||
British Columbia | Earthquake | 158 | 339 |
For the three months ended | |||||||||
March 31, 2020 | March 31, 2019 | ||||||||
$ | ROE (1) | $ | ROE (1) | ||||||
Net (loss) income attributable to common shareholder | (433,390 | ) | (27.6 | )% | 496,932 | 32.9 | % |
For the three months ended | |||||||
Calculation of average common shareholder's equity | March 31, 2020 | March 31, 2019 | |||||
Beginning of period common shareholder's equity | $ | 6,565,942 | $ | 5,812,287 | |||
End of period common shareholder's equity | $ | 6,003,575 | $ | 6,272,935 | |||
Average common shareholder's equity | $ | 6,284,759 | $ | 6,042,611 |
March 31, 2020 | December 31, 2019 | ||||||
Tangible book value: | |||||||
Total shareholders' equity | $ | 6,707,802 | $ | 7,270,169 | |||
Less: | |||||||
Preferred shares, aggregate liquidation value at $25 per share | 704,227 | 704,227 | |||||
Common shareholder's equity or book value | 6,003,575 | 6,565,942 | |||||
Less: | |||||||
Goodwill | 456,380 | 456,380 | |||||
Intangible assets, net of tax (1) | 103,220 | 109,217 | |||||
Tangible book value | $ | 5,443,975 | $ | 6,000,345 | |||
Capital structure: | |||||||
Senior notes (2) | $ | 1,317,810 | $ | 1,327,965 | |||
Capital efficient notes (3) | 62,484 | 62,484 | |||||
Preferred shares, aggregate liquidation value | 704,227 | 704,227 | |||||
Common shareholder's equity | 6,003,575 | 6,565,942 | |||||
Total capital | $ | 8,088,096 | $ | 8,660,618 |
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