Bermuda (State or Other Jurisdiction of Incorporation or Organization) | 98-1120002 (I.R.S. Employer Identification No.) |
Large accelerated filer o | Accelerated filer o | |
Non-accelerated filer o | Smaller reporting company o | |
Emerging growth company x |
Page | ||
PART I - FINANCIAL INFORMATION | ||
Cautionary Statement Regarding Forward-Looking Statements | ||
Item 1. | Financial Statements | |
Consolidated Balance Sheets at September 30, 2017 (unaudited) and December 31, 2016 | ||
Unaudited Consolidated Statements of (Loss) Income and Comprehensive (Loss) Income for the Three and Nine Months Ended September 30, 2017 and 2016 | ||
Unaudited Consolidated Statements of Changes in Shareholders' Equity for the Nine Months Ended September 30, 2017 and 2016 | ||
Unaudited Consolidated Statements of Cash Flows for the Nine Months Ended September 30, 2017 and 2016 | ||
Notes to the Unaudited Consolidated Financial Statements | ||
Item 2. | Management’s Discussion and Analysis of Financial Condition and Results of Operations | |
Item 3. | Quantitative and Qualitative Disclosures About Market Risk | |
Item 4. | Controls and Procedures | |
PART II - OTHER INFORMATION | ||
Item 1. | Legal Proceedings | |
Item 1A. | Risk Factors | |
Item 2. | Unregistered Sales of Equity Securities and Use of Proceeds | |
Item 3. | Defaults Upon Senior Securities | |
Item 4. | Mine Safety Disclosures | |
Item 5. | Other Information | |
Item 6. | Exhibits | |
SIGNATURES |
• | the fact that we have limited operating history; |
• | the possibility of severe or unanticipated losses from natural and man-made catastrophes, including those that may result from changes in climate conditions, including global temperatures and expected sea levels; |
• | the effectiveness of our loss limitation methods; |
• | our dependence on our Company's Chief Executive Officer ("CEO") and Chief Financial Officer ("CFO"), both of whom are not our direct employees, and our service providers including Blue Capital Management Ltd. (the "Manager") which provides various underwriting, investment and administrative services; |
• | our ability to effectively execute our business plan and any new ventures that we may enter into; |
• | continued acceptance of our business strategy, security and financial condition by regulators, brokers and insureds; |
• | failure by any service provider to carry out its obligations to us in accordance with the terms of its appointment; |
• | conflicts of interest that could result from our relationships and potential overlaps in business with related parties, including Sompo International Holdings Ltd. (a wholly owned subsidiary of Sompo Holdings, Inc.) ("Sompo International") and its subsidiaries; |
• | the cyclical nature of the property catastrophe insurance and reinsurance industry; |
• | the availability of capital and financing, including our ability to raise more equity capital and our ability to release capital from existing obligations to redeploy annually; |
• | the levels of new and renewal business achieved; |
• | the availability of opportunities to increase writings within our property and catastrophe lines of business and our ability to capitalize on those opportunities; |
• | the inherent uncertainty of our risk management process, which is subject to, among other things, industry loss estimates and estimates generated by modeling techniques; |
• | the inherent uncertainties in establishing loss and loss adjustment expense ("LAE") reserves and unanticipated adjustments to premium estimates; |
• | changes in the availability, cost or quality of reinsurance or retrocessional coverage; |
• | general economic and market conditions, including inflation, volatility in the credit and capital markets and conditions specific to the insurance and reinsurance markets in which we operate; |
• | changes in and the impact of governmental legislation or regulation, including changes in tax laws in the jurisdictions where we conduct business; |
• | statutory or regulatory developments, including those involving tax policy, reinsurance and other regulatory matters such as the adoption of proposed legislation that would affect Bermuda-headquartered companies or Bermuda-based insurers or reinsurers; |
• | potential treatment of us as an investment company or a passive foreign investment company for purposes of U.S. securities laws or U.S. federal taxation, respectively; |
• | the impact of the United Kingdom's June 2016 referendum on European Union membership and the expected withdrawal of the United Kingdom from the European Union; |
• | the amount and timing of reinsurance recoveries; |
• | the effects of competitors' pricing policies, and of changes in laws and regulations on competition, industry consolidation and development of competing financial products; |
• | the overall level of competition, and the related supply and demand dynamics in our markets relating to growing capital levels in our industry; |
• | actions by our competitors, many of which are larger or have greater financial resources than we do; |
• | declining demand due to increased retentions by cedants and other factors; |
• | acts of terrorism, political unrest, outbreak of war and other hostilities or other non-forecasted and unpredictable events; |
• | unexpected developments concerning the small number of insurance and reinsurance brokers upon whom we rely for a large portion of revenues; |
• | the ability of the counterparty institutions with which we conduct business to continue to meet their obligations to us; |
• | operational risks, including the risk of fraud and any errors and omissions, as well as technology breaches or failures; |
• | changes in tax regulations or laws applicable to us, our subsidiaries, brokers or customers; |
• | our dependence as a holding company upon dividends or distributions from our operating subsidiaries; and |
• | changes in accounting principles or the application of such principles by regulators. |
September 30, | December 31, | |||||||
(In millions of U.S. dollars, except per share amounts) | 2017 | 2016 | ||||||
Assets | (Unaudited) | |||||||
Cash and cash equivalents | $ | 4.1 | $ | 4.7 | ||||
Reinsurance premiums receivable | 23.1 | 7.7 | ||||||
Deferred reinsurance acquisition costs | 0.6 | 0.1 | ||||||
Funds held by ceding companies | 180.0 | 191.4 | ||||||
Other assets | 4.9 | 0.8 | ||||||
Total Assets | $ | 212.7 | $ | 204.7 | ||||
Liabilities | ||||||||
Loss and loss adjustment expense reserves | $ | 68.1 | $ | 11.1 | ||||
Unearned reinsurance premiums | 4.2 | 0.9 | ||||||
Reinsurance balances payable | 9.7 | 7.1 | ||||||
Other liabilities (See Note 8) | 3.7 | 2.3 | ||||||
Total Liabilities | 85.7 | 21.4 | ||||||
Commitments and contingent liabilities (See Note 9) | — | — | ||||||
Shareholders' Equity | ||||||||
Common Shares, at par value - 8,761,229 shares issued and outstanding (2016 - 8,756,071) | 8.8 | 8.8 | ||||||
Additional paid-in capital | 165.5 | 165.5 | ||||||
Retained (deficit) earnings | (47.3 | ) | 9.0 | |||||
Total Shareholders' Equity | 127.0 | 183.3 | ||||||
Total Liabilities and Shareholders' Equity | $ | 212.7 | $ | 204.7 |
Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||
(In millions of U.S. dollars, except per share amounts) | 2017 | 2016 | 2017 | 2016 | |||||||||||
Revenues | |||||||||||||||
Reinsurance premiums written | $ | 10.3 | $ | 7.8 | $ | 39.4 | $ | 34.5 | |||||||
Change in net unearned reinsurance premiums | 5.3 | 2.6 | (3.3 | ) | (2.4 | ) | |||||||||
Net reinsurance premiums earned | 15.6 | 10.4 | 36.1 | 32.1 | |||||||||||
Net gain (loss) from derivative instruments | 3.1 | (0.6 | ) | 2.5 | (0.6 | ) | |||||||||
Net investment income | 0.4 | 0.1 | 0.7 | 0.1 | |||||||||||
Total revenues | 19.1 | 9.9 | 39.3 | 31.6 | |||||||||||
Expenses | |||||||||||||||
Loss and loss adjustment expenses | 68.1 | 2.6 | 71.7 | 10.4 | |||||||||||
Reinsurance acquisition costs | 1.6 | 2.9 | 6.8 | 7.2 | |||||||||||
General and administrative expenses | 1.3 | 1.1 | 4.0 | 3.7 | |||||||||||
Total expenses | 71.0 | 6.6 | 82.5 | 21.3 | |||||||||||
Net (loss) income and comprehensive (loss) income | $ | (51.9 | ) | $ | 3.3 | $ | (43.2 | ) | $ | 10.3 | |||||
Per share amounts: | |||||||||||||||
Basic and diluted (loss) earnings per Common Share | $ | (5.93 | ) | $ | 0.38 | $ | (4.94 | ) | $ | 1.17 | |||||
Dividends declared per Common Share and RSU | 0.30 | 0.30 | 1.49 | 2.14 |
Total shareholders' equity | Common Shares, at par value | Additional paid-in capital | Retained (deficit) earnings | |||||||||||||
(In millions of U.S. dollars) | ||||||||||||||||
Balance at January 1, 2017 | $ | 183.3 | $ | 8.8 | $ | 165.5 | $ | 9.0 | ||||||||
Net loss | (43.2 | ) | — | — | (43.2 | ) | ||||||||||
Dividends declared - Common Shares and RSUs | (13.1 | ) | — | — | (13.1 | ) | ||||||||||
Balance at September 30, 2017 | $ | 127.0 | $ | 8.8 | $ | 165.5 | $ | (47.3 | ) |
Total shareholders' equity | Common Shares, at par value | Additional paid-in capital | Retained earnings | |||||||||||||
(In millions of U.S. dollars) | ||||||||||||||||
Balance at January 1, 2016 | $ | 187.6 | $ | 8.8 | $ | 165.3 | $ | 13.5 | ||||||||
Net income | 10.3 | — | — | 10.3 | ||||||||||||
Expense recognized for RSUs | 0.1 | — | 0.1 | — | ||||||||||||
Dividends declared - Common Shares and RSUs | (18.8 | ) | — | — | (18.8 | ) | ||||||||||
Balance at September 30, 2016 | $ | 179.2 | $ | 8.8 | $ | 165.4 | $ | 5.0 |
Nine Months Ended September 30, | ||||||||
(In millions of U.S. dollars) | 2017 | 2016 | ||||||
Cash flows provided by operating activities: | ||||||||
Net (loss) income | $ | (43.2 | ) | $ | 10.3 | |||
Adjustments to reconcile net (loss) income to net cash and cash equivalents from operations: | ||||||||
Expense recognized for RSUs | — | 0.1 | ||||||
Net change in: | ||||||||
Loss and loss adjustment expense reserves | 57.0 | 6.3 | ||||||
Unearned reinsurance premiums | 3.3 | 2.4 | ||||||
Reinsurance balances payable | 2.6 | (0.5 | ) | |||||
Deferred reinsurance acquisition costs | (0.5 | ) | (0.4 | ) | ||||
Reinsurance premiums receivable | (15.4 | ) | 1.7 | |||||
Funds held by ceding companies | 11.4 | 14.5 | ||||||
Other liabilities | (1.2 | ) | (2.5 | ) | ||||
Other assets | (4.1 | ) | (1.1 | ) | ||||
Net cash and cash equivalents provided by operating activities | 9.9 | 30.8 | ||||||
Net cash and cash equivalents provided by investing activities | — | — | ||||||
Cash flows used in financing activities: | ||||||||
Dividends paid - Common Shares and RSUs | (10.5 | ) | (16.1 | ) | ||||
Repayments of borrowings under the Credit Agreements | — | (13.0 | ) | |||||
Net cash and cash equivalents used in financing activities | (10.5 | ) | (29.1 | ) | ||||
Net (decrease) increase in cash and cash equivalents during the period | (0.6 | ) | 1.7 | |||||
Cash and cash equivalents - beginning of period | 4.7 | 6.1 | ||||||
Cash and cash equivalents - end of period | $ | 4.1 | $ | 7.8 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
($ in millions) | 2017 | 2016 | 2017 | 2016 | ||||||||||||
Gross and net unpaid loss and LAE reserves- beginning | $ | 11.2 | $ | 9.6 | $ | 11.1 | $ | 4.0 | ||||||||
Losses and LAE incurred: | ||||||||||||||||
Current year losses | 67.8 | 2.9 | 70.4 | 10.1 | ||||||||||||
Prior year losses | 0.3 | (0.3 | ) | 1.3 | 0.3 | |||||||||||
Total incurred losses and LAE | 68.1 | 2.6 | 71.7 | 10.4 | ||||||||||||
Losses and LAE paid and approved for payment: | ||||||||||||||||
Current year losses | 9.4 | 1.5 | 9.3 | 2.5 | ||||||||||||
Prior year losses | 1.8 | 0.4 | 5.4 | 1.6 | ||||||||||||
Total losses and LAE paid and approved for payment | 11.2 | 1.9 | 14.7 | 4.1 | ||||||||||||
Gross and net unpaid loss and LAE reserves- ending | $ | 68.1 | $ | 10.3 | $ | 68.1 | $ | 10.3 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||||||||||||||
2017 | 2016 | 2017 | 2016 | |||||||||||||||||||||||||
Worldwide(1) | $ | 9.6 | 93 | % | $ | 7.6 | 98 | % | $ | 27.4 | 69 | % | $ | 26.2 | 76 | % | ||||||||||||
USA: | ||||||||||||||||||||||||||||
Nationwide | — | — | % | — | — | % | 3.4 | 9 | % | 3.4 | 10 | % | ||||||||||||||||
Florida | — | — | % | — | — | % | 6.1 | 15 | % | 2.8 | 8 | % | ||||||||||||||||
Gulf region | 0.4 | 4 | % | 0.1 | 1 | % | 0.8 | 2 | % | 0.8 | 2 | % | ||||||||||||||||
California | — | — | % | — | — | % | 0.3 | 1 | % | 0.3 | 1 | % | ||||||||||||||||
Midwest region and other | — | — | % | — | — | % | 0.3 | 1 | % | 0.4 | 1 | % | ||||||||||||||||
Northeast | 0.3 | 3 | % | — | — | % | 0.3 | 1 | % | — | — | % | ||||||||||||||||
Mid-Atlantic region | — | — | % | — | — | % | 0.3 | 1 | % | 0.4 | 1 | % | ||||||||||||||||
Worldwide, excluding U.S.(2) | — | — | % | 0.1 | 1 | % | 0.5 | 1 | % | 0.2 | 1 | % | ||||||||||||||||
Total premiums written | $ | 10.3 | 100 | % | $ | 7.8 | 100 | % | $ | 39.4 | 100 | % | $ | 34.5 | 100 | % |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||||||||||||||
2017 | 2016 | 2017 | 2016 | |||||||||||||||||||||||||
Worldwide(1) | $ | 10.0 | 63 | % | $ | 8.3 | 79 | % | $ | 25.9 | 71 | % | $ | 25.7 | 80 | % | ||||||||||||
USA: | ||||||||||||||||||||||||||||
Nationwide | 1.4 | 9 | % | 0.8 | 8 | % | 2.9 | 8 | % | 2.6 | 8 | % | ||||||||||||||||
Florida | 3.1 | 20 | % | 0.7 | 7 | % | 5.4 | 15 | % | 1.9 | 6 | % | ||||||||||||||||
Gulf region | 0.5 | 3 | % | 0.2 | 2 | % | 0.6 | 2 | % | 0.6 | 2 | % | ||||||||||||||||
California | 0.1 | 1 | % | 0.1 | 1 | % | 0.3 | 1 | % | 0.2 | 1 | % | ||||||||||||||||
Midwest region and other | 0.1 | 1 | % | 0.1 | 1 | % | 0.2 | 1 | % | 0.3 | 1 | % | ||||||||||||||||
Northeast | 0.1 | 1 | % | — | — | % | 0.1 | — | % | — | — | % | ||||||||||||||||
Mid-Atlantic region | 0.1 | 1 | % | 0.1 | 1 | % | 0.3 | 1 | % | 0.3 | 1 | % | ||||||||||||||||
Worldwide, excluding U.S.(2) | 0.2 | 1 | % | 0.1 | 1 | % | 0.4 | 1 | % | 0.5 | 1 | % | ||||||||||||||||
Total net premiums earned | $ | 15.6 | 100 | % | $ | 10.4 | 100 | % | $ | 36.1 | 100 | % | $ | 32.1 | 100 | % |
Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||
2017 | 2016 | 2017 | 2016 | ||||||||||||
Net (loss) income | $ | (51.9 | ) | $ | 3.3 | $ | (43.2 | ) | $ | 10.3 | |||||
Less: net earnings allocated to participating securities(1) | — | — | — | — | |||||||||||
Earnings per Common Share numerator | $ | (51.9 | ) | $ | 3.3 | $ | (43.2 | ) | $ | 10.3 | |||||
Average Common Shares outstanding (in thousands of shares) | 8,761 | 8,756 | 8,758 | 8,754 | |||||||||||
Basic and diluted (loss) earnings per Common Share | $ | (5.93 | ) | $ | 0.38 | $ | (4.94 | ) | $ | 1.17 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
($ in millions) | 2017 | 2016 | 2017 | 2016 | ||||||||||||
Revenues | ||||||||||||||||
Reinsurance premiums written | $ | 10.3 | $ | 7.8 | $ | 39.4 | $ | 34.5 | ||||||||
Change in net unearned reinsurance premiums | 5.3 | 2.6 | (3.3 | ) | (2.4 | ) | ||||||||||
Net reinsurance premiums earned | 15.6 | 10.4 | 36.1 | 32.1 | ||||||||||||
Net gain (loss) from derivative instruments | 3.1 | (0.6 | ) | 2.5 | (0.6 | ) | ||||||||||
Net investment income | 0.4 | 0.1 | 0.7 | 0.1 | ||||||||||||
Total revenues | 19.1 | 9.9 | 39.3 | 31.6 | ||||||||||||
Expenses | ||||||||||||||||
Loss and LAE - current year losses | 67.8 | 2.9 | 70.4 | 10.1 | ||||||||||||
Loss and LAE - prior year losses | 0.3 | (0.3 | ) | 1.3 | 0.3 | |||||||||||
Reinsurance acquisition costs | 1.6 | 2.9 | 6.8 | 7.2 | ||||||||||||
General and administrative expenses | 1.3 | 1.1 | 4.0 | 3.7 | ||||||||||||
Total expenses | 71.0 | 6.6 | 82.5 | 21.3 | ||||||||||||
Net (loss) income and comprehensive (loss) income | $ | (51.9 | ) | $ | 3.3 | $ | (43.2 | ) | $ | 10.3 | ||||||
Loss and LAE ratio | 437.5 | % | 25.0 | % | 198.8 | % | 32.3 | % | ||||||||
Reinsurance acquisition cost ratio | 10.1 | % | 28.2 | % | 18.9 | % | 22.4 | % | ||||||||
General and administrative expense ratio | 8.1 | % | 10.3 | % | 11.0 | % | 11.7 | % | ||||||||
GAAP combined ratio | 455.7 | % | 63.5 | % | 228.7 | % | 66.4 | % |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
($ in millions) | 2017 | 2016 | 2017 | 2016 | ||||||||||||
Loss and LAE incurred - current year | $ | 67.8 | $ | 2.9 | $ | 70.4 | $ | 10.1 | ||||||||
Loss and LAE incurred - prior year | 0.3 | (0.3 | ) | 1.3 | 0.3 | |||||||||||
Total loss and LAE incurred | $ | 68.1 | $ | 2.6 | $ | 71.7 | $ | 10.4 | ||||||||
Loss and LAE ratio | 437.5 | % | 25.0 | % | 198.8 | % | 32.3 | % |
Event Date | Event | Loss and Loss Adjustment Expenses | ||||||
(U.S. dollars in millions) | Three Months Ended September 30, 2017 | Nine Months Ended September 30, 2017 | ||||||
August 2017 | Hurricane Harvey | $ | 4.7 | $ | 4.7 | |||
September 2017 | Hurricane Irma | $ | 35.7 | $ | 35.7 | |||
September 2017 | Hurricane Maria | $ | 5.3 | $ | 5.3 | |||
September 2017 | Aggregate & Second Event Losses Triggered By Catastrophe Events | $ | 19.2 | $ | 19.2 | |||
$ | 64.9 | $ | 64.9 |
Event Date | Event | Loss and Loss Adjustment Expenses | ||||||
(U.S. dollars in millions) | Three months ended September 30, 2016 | Nine months ended September 30, 2016 | ||||||
May 2016 | Canadian wildfires | $ | (0.6 | ) | $ | 3.6 | ||
Other loss events (1) | $ | 0.6 | $ | 2.2 | ||||
$ | — | $ | 5.8 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
($ in millions) | 2017 | 2016 | 2017 | 2016 | ||||||||||||
Commissions, brokerage costs, fronting fees and other | $ | 2.8 | $ | 2.3 | $ | 6.8 | $ | 6.1 | ||||||||
Profit commissions | (1.2 | ) | 0.6 | — | 1.1 | |||||||||||
Total reinsurance acquisition costs | $ | 1.6 | $ | 2.9 | $ | 6.8 | $ | 7.2 | ||||||||
Reinsurance acquisition cost ratio | 10.1 | % | 28.2 | % | 18.9 | % | 22.4 | % |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
($ in millions) | 2017 | 2016 | 2017 | 2016 | ||||||||||||
Investment Management Agreement fees | $ | 0.6 | $ | 0.7 | $ | 2.0 | $ | 2.0 | ||||||||
Administrative Services Agreement fees | 0.1 | 0.1 | 0.4 | 0.4 | ||||||||||||
Underwriting and Insurance Management Agreement fees | — | — | 0.4 | 0.4 | ||||||||||||
Public company expenses | 0.6 | 0.3 | 1.2 | 0.9 | ||||||||||||
Total general and administrative expenses | $ | 1.3 | $ | 1.1 | $ | 4.0 | $ | 3.7 | ||||||||
General and administrative expense ratio | 8.1 | % | 10.3 | % | 11.0 | % | 11.7 | % |
North America: | Europe: | Rest of World: | ||
U.S. - Northeast | Western Central Europe(1) | Australia | ||
U.S. - Mid-Atlantic | Eastern Europe | New Zealand | ||
U.S. - Florida | Southern Europe | Japan | ||
U.S. - Gulf | Northern Europe, Benelux | South America | ||
U.S. - New Madrid | and Scandinavia | Middle East | ||
U.S. - Midwest | U.K. and Ireland | |||
U.S. - California | ||||
U.S. - Hawaii | ||||
Canada - Eastern | ||||
Canada - Western |
Net Impact (Millions) | Return Period(1) | Percentage of September 30, 2017 Shareholders’ Equity | |||||||
U.S. - Florida hurricane | $ | 42 | 1 in 100 year | 33 | % | ||||
Japan earthquake | 31 | 1 in 250 year | 24 | % | |||||
All other zones | less than 15% |
Nine Months Ended September 30, | ||||||||
($ in millions) | 2017 | 2016 | ||||||
Net cash provided by operating activities | $ | 9.9 | $ | 30.8 | ||||
Net cash used in financing activities | (10.5 | ) | (29.1 | ) | ||||
Net (decrease) increase in cash and cash equivalents | (0.6 | ) | 1.7 | |||||
Cash and cash equivalents, beginning of period | 4.7 | 6.1 | ||||||
Cash and cash equivalents, end of period | $ | 4.1 | $ | 7.8 |
Exhibit | |||
Number | Description of Document | ||
10.1 | |||
10.2 | |||
11 | |||
31.1 | |||
31.2 | |||
32 | |||
101 | The following materials from the Company's Quarterly Report on Form 10-Q for the quarterly period ended September 30, 2017 formatted in XBRL (eXtensible Business Reporting Language): (i) the Consolidated Balance Sheets as at September 30, 2017 (unaudited) and December 31, 2016; (ii) the Unaudited Consolidated Statements of Income and Comprehensive Income; (iii) the Unaudited Consolidated Statements of Changes in Shareholders' Equity; (iv) the Unaudited Consolidated Statements of Cash Flows; and (v) the Notes to the Unaudited Consolidated Financial Statements. (*) | ||
BLUE CAPITAL REINSURANCE HOLDINGS LTD. | ||||
By: | /s/ GREG A. GARSIDE | |||
Name: | Greg A. Garside | |||
Title: | Chief Financial Officer | |||
(Principal Financial Officer) |
Date: | November 7, 2017 | By: | /s/ MICHAEL J MCGUIRE | |||
Name: | Michael J. McGuire | |||||
Title: | Chief Executive Officer | |||||
(Principal Executive Officer) |
Date: | November 7, 2017 | By: | /s/ GREG A. GARSIDE | ||
Name: | Greg A. Garside | ||||
Title: | Chief Financial Officer | ||||
(Principal Financial Officer) |
Date: | November 7, 2017 | BY: | /s/ MICHAEL J MCGUIRE | ||
Name: | Michael J. McGuire | ||||
Title: | Chief Executive Officer | ||||
(Principal Executive Officer) |
Date: | November 7, 2017 | BY: | /s/ GREG A. GARSIDE | ||
Name: | Greg A. Garside | ||||
Title: | Chief Financial Officer | ||||
(Principal Financial Officer) |
Document and Entity Information - shares |
9 Months Ended | |
---|---|---|
Sep. 30, 2017 |
Nov. 01, 2017 |
|
Document and Entity Information [Abstract] | ||
Entity Registrant Name | BLUE CAPITAL REINSURANCE HOLDINGS LTD. | |
Entity Central Index Key | 0001582086 | |
Document Type | 10-Q | |
Document Period End Date | Sep. 30, 2017 | |
Amendment Flag | false | |
Current Fiscal Year End Date | --12-31 | |
Entity Current Reporting Status | Yes | |
Entity Filer Category | Accelerated Filer | |
Entity Common Stock, Shares Outstanding | 8,761,229 | |
Document Fiscal Year Focus | 2017 | |
Document Fiscal Period Focus | Q3 |
CONSOLIDATED BALANCE SHEETS - USD ($) $ in Millions |
Sep. 30, 2017 |
Dec. 31, 2016 |
---|---|---|
Assets | ||
Cash and cash equivalents | $ 4.1 | $ 4.7 |
Reinsurance premiums receivable | 23.1 | 7.7 |
Deferred reinsurance acquisition costs | 0.6 | 0.1 |
Funds held by ceding companies | 180.0 | 191.4 |
Other assets | 4.9 | 0.8 |
Total Assets | 212.7 | 204.7 |
Liabilities | ||
Loss and loss adjustment expense reserves | 68.1 | 11.1 |
Unearned reinsurance premiums | 4.2 | 0.9 |
Reinsurance balances payable | 9.7 | 7.1 |
Other liabilities (See Note 8) | 3.7 | 2.3 |
Total Liabilities | 85.7 | 21.4 |
Commitments and contingent liabilities (See Note 9) | 0.0 | 0.0 |
Shareholders' Equity | ||
Common Shares, at par value - 8,761,229 shares issued and outstanding (2016 - 8,756,071) | 8.8 | 8.8 |
Additional paid-in capital | 165.5 | 165.5 |
Retained (deficit) earnings | (47.3) | 9.0 |
Total Shareholders' Equity | 127.0 | 183.3 |
Total Liabilities and Shareholders' Equity | $ 212.7 | $ 204.7 |
CONSOLIDATED BALANCE SHEETS (Parenthetical) - shares |
Sep. 30, 2017 |
Dec. 31, 2016 |
---|---|---|
Statement of Financial Position [Abstract] | ||
Common shares issued (in shares) | 8,761,229 | 8,756,071 |
Common shares outstanding (in shares) | 8,761,229 | 8,756,071 |
UNAUDITED CONSOLIDATED STATEMENTS OF (LOSS) INCOME AND COMPREHENSIVE (LOSS) INCOME - USD ($) $ in Millions |
3 Months Ended | 9 Months Ended | ||
---|---|---|---|---|
Sep. 30, 2017 |
Sep. 30, 2016 |
Sep. 30, 2017 |
Sep. 30, 2016 |
|
Revenues | ||||
Reinsurance premiums written | $ 10.3 | $ 7.8 | $ 39.4 | $ 34.5 |
Change in net unearned reinsurance premiums | 5.3 | 2.6 | (3.3) | (2.4) |
Net reinsurance premiums earned | 15.6 | 10.4 | 36.1 | 32.1 |
Net gain (loss) from derivative instruments | 3.1 | (0.6) | 2.5 | (0.6) |
Net investment income | 0.4 | 0.1 | 0.7 | 0.1 |
Total revenues | 19.1 | 9.9 | 39.3 | 31.6 |
Underwriting expenses: | ||||
Loss and loss adjustment expenses | 68.1 | 2.6 | 71.7 | 10.4 |
Reinsurance acquisition costs | 1.6 | 2.9 | 6.8 | 7.2 |
General and administrative expenses | 1.3 | 1.1 | 4.0 | 3.7 |
Total expenses | 71.0 | 6.6 | 82.5 | 21.3 |
Net (loss) income | (51.9) | 3.3 | (43.2) | 10.3 |
Comprehensive (loss) income | $ (51.9) | $ 3.3 | $ (43.2) | $ 10.3 |
Per share amounts: | ||||
Basic and diluted (loss) earnings per Common Share | $ (5.93) | $ 0.38 | $ (4.94) | $ 1.17 |
Dividends declared per Common Share and RSU | $ 0.30 | $ 0.30 | $ 1.49 | $ 2.14 |
UNAUDITED CONSOLIDATED STATEMENTS OF CHANGES IN SHAREHOLDERS' EQUITY - USD ($) $ in Millions |
Total |
Common Shares, at par value |
Additional paid-in capital |
Retained (deficit) earnings |
---|---|---|---|---|
Balance at the start of the period at Dec. 31, 2015 | $ 187.6 | $ 8.8 | $ 165.3 | $ 13.5 |
Increase Decrease in Shareholder's Equity | ||||
Net (loss) income | 10.3 | 0.0 | 0.0 | 10.3 |
Expense recognized for RSUs | 0.1 | 0.0 | 0.1 | 0.0 |
Dividends declared - Common Shares and RSUs | (18.8) | 0.0 | 0.0 | (18.8) |
Balance at the end of the period at Sep. 30, 2016 | 179.2 | 8.8 | 165.4 | 5.0 |
Balance at the start of the period at Dec. 31, 2016 | 183.3 | 8.8 | 165.5 | 9.0 |
Increase Decrease in Shareholder's Equity | ||||
Net (loss) income | (43.2) | 0.0 | 0.0 | (43.2) |
Dividends declared - Common Shares and RSUs | (13.1) | 0.0 | 0.0 | (13.1) |
Balance at the end of the period at Sep. 30, 2017 | $ 127.0 | $ 8.8 | $ 165.5 | $ (47.3) |
Basis of Presentation and Summary of Significant Accounting Policies |
9 Months Ended |
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Sep. 30, 2017 | |
Accounting Policies [Abstract] | |
Basis of Presentation and Summary of Significant Accounting Policies | NOTE 1. Basis of Presentation and Summary of Significant Accounting Policies Basis of Presentation and Overview Blue Capital Reinsurance Holdings Ltd. (the "Company" or the "Registrant") is a Bermuda exempted limited liability company that, through its subsidiaries (collectively "Blue Capital"), offers collateralized reinsurance in the property catastrophe market and invests in various insurance-linked securities. The Company was incorporated under the laws of Bermuda on June 24, 2013, and commenced its operations on November 12, 2013. The Company's headquarters and principal executive offices are located at Waterloo House, 100 Pitts Bay Road, Pembroke, Bermuda HM 08, which is also our registered office. The unaudited consolidated financial statements incorporated in this report on Form 10-Q have been prepared in accordance with accounting principles generally accepted in the U.S. ("GAAP") for interim financial information and in accordance with the instructions to Form 10-Q and Article 10 of Regulation S-X. Accordingly, they do not include all of the information and footnotes required by GAAP. Certain prior period amounts, all of which are immaterial, have been reclassified to conform to the current period presentation. These interim unaudited consolidated financial statements should be read in conjunction with the audited consolidated financial statements contained in the 2016 Form 10-K. In the opinion of management, these interim unaudited consolidated financial statements include all adjustments, consisting only of normal recurring adjustments, necessary to fairly present the Company's financial position, results of operations and cash flows. The unaudited consolidated financial statements include the accounts of the Registrant and its wholly-owned subsidiaries. All significant intercompany accounts and transactions have been eliminated in consolidation. These interim unaudited consolidated financial statements may not be indicative of financial results for the full year. The December 31, 2016 consolidated balance sheet data was derived from audited consolidated financial statements, but does not include all of the disclosures required by GAAP. There were no material changes in the Company's significant accounting and reporting policies subsequent to the filing of the 2016 Form 10-K. The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities as of the date of the financial statements, and the reported amounts of revenues earned and expenses incurred during the period. Actual results could differ materially from those estimates. The significant estimates reflected in these interim unaudited consolidated financial statements include, but are not limited to, loss and LAE reserves and written and earned reinsurance premiums. Estimates and assumptions are periodically reviewed and the effects of revisions are recorded in the consolidated financial statements in the period that they are determined to be necessary. Pursuant to a Stock and Asset Purchase and Sale Agreement by and between Sompo International and Endurance Specialty Holdings Ltd. ("Endurance"), dated September 27, 2017, Sompo International purchased substantially all the assets and liabilities of Endurance. As a result, Sompo International together with its newly wholly owned subsidiary, Endurance Specialty Insurance Ltd. ("Endurance Bermuda"), owned 33.2% of the Company's outstanding Common Shares. The Company operates as a single business segment through its wholly-owned subsidiaries: (i) Blue Capital Re Ltd. ("Blue Capital Re"), a Bermuda Class 3A insurer which provides collateralized reinsurance; and (ii) Blue Capital Re ILS Ltd. ("Blue Capital Re ILS"), a Bermuda exempted limited liability company which conducts hedging and other investment activities, including entering into industry loss warranties and related instruments, in support of Blue Capital Re's operations. Blue Capital leverages the reinsurance underwriting expertise and infrastructure of Sompo International and its various subsidiaries to conduct its business. Sompo Holdings, Inc. is the ultimate beneficial owner of 33.2% of the Company's outstanding Common Shares through its ownership of Sompo International. Subject to the discretion of the Company’s board of directors (the "Board"), the Company intends to continue to distribute through dividends or repurchases of Common Shares a minimum of 90% of its annual Distributable Income to its holders of Common Shares and RSUs. "Distributable Income," a non-GAAP measure, means GAAP net income plus (minus) non-cash expenses (revenues) recorded in net income for the period. |
Loss and LAE Reserve Movements |
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Insurance Loss Reserves [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Liability for Future Policy Benefits and Unpaid Claims Disclosure [Text Block] | NOTE 2. Loss and LAE Reserve Movements The following table summarizes Blue Capital Re's loss and LAE reserve movements for the three and nine months ended September 30, 2017 and 2016.
Loss and LAE reserves are comprised of case reserves (which are based on claims that have been reported) and incurred but not reported ("IBNR") reserves (which are based on losses that are believed to have occurred but for which claims have not yet been reported and may include a provision for expected future development on existing case reserves). Case reserves are set on the basis of loss reports received from third parties. IBNR reserves are estimated by management using various actuarial methods as well as a combination of the Manager's own loss experience, historical industry loss experience and management and the Manager's professional judgment. The uncertainties inherent in the reserving process and potential delays by cedants and brokers in the reporting of loss information, together with the potential for unforeseen adverse developments, may result in loss and LAE reserves ultimately being significantly greater or less than the reserve provided at the end of any given reporting period. Loss and LAE reserve estimates are regularly reviewed and updated as new information becomes known. Any resulting adjustments are reflected in income in the period in which they become known. Blue Capital Re's reserving process is highly dependent on loss information received from its cedants and the Manager. During the three months ended September 30, 2017, Blue Capital Re's estimated ultimate loss for prior period accident years was increased by $0.3 million, due to the emergence of claims exceeding previous estimates of losses and LAE related to the years 2014-2016. During the three months ended September 30, 2016, Blue Capital Re's estimated ultimate loss for prior period accident years was decreased by $0.3 million, due to favorable development on prior accident years. During the nine months ended September 30, 2017, Blue Capital Re's estimated ultimate loss for prior period accident years was increased by $1.3 million (2016 - $0.3 million ) due to the emergence of claims exceeding previous estimates of losses and LAE related to those years. |
Written and Earned Reinsurance Premiums |
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Reinsurance Disclosures [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Written and Earned Reinsurance Premiums | NOTE 3. Written and Earned Reinsurance Premiums Written premiums represent business bound from ceding companies and net earned premiums represent the portion of net written premiums (gross written premiums less any ceded reinsurance) which is recognized as revenue over the period of time that coverage is provided. Blue Capital seeks to diversify its exposure across geographic zones around the world in order to obtain a prudent spread of risk. The spread of these exposures is also a function of market conditions and opportunities. The following table sets forth a breakdown of Blue Capital's premiums written by geographic area of risks insured during the three and nine month periods ended September 30, 2017 and 2016:
(1) "Worldwide" comprises reinsurance contracts that cover risks in more than one geographic area and do not specifically exclude the U.S. (2) "Worldwide, excluding U.S." comprises reinsurance contracts that cover risks in more than one geographic area but specifically exclude the U.S. The following table sets forth a breakdown of Blue Capital's net reinsurance premiums earned by geographic area of risks insured during the three and nine month periods ended September 30, 2017 and 2016:
(1) "Worldwide" comprises reinsurance contracts that cover risks in more than one geographic area and do not specifically exclude the U.S. (2) "Worldwide, excluding U.S." comprises reinsurance contracts that cover risks in more than one geographic area but specifically exclude the U.S. |
Derivative Instruments |
9 Months Ended |
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Sep. 30, 2017 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivative Instruments | NOTE 4. Derivative Instruments Inward Industry Loss Warranty ("ILW") Swap In February 2016, Blue Capital Re ILS entered into an inward ILW swap (the "2016 Inward ILW Swap") with a third-party under which qualifying loss payments are triggered by reference to the level of losses incurred by the insurance industry as a whole, rather than by losses incurred by the insured. In return for a fixed payment received of $0.4 million, Blue Capital Re ILS was required to make a floating payment in the event of certain losses incurred from specified natural catastrophes in the U.S., Europe, Japan, Australia and New Zealand from February 2016 to February 2017. Blue Capital Re ILS's maximum payment obligation under the 2016 Inward ILW Swap was $2.7 million. During the term of the 2016 Inward ILW Swap, Blue Capital Re ILS was not aware of any industry loss event occurring that would have triggered a payment obligation. The Inward ILW Swap was valued on the basis of models developed by the Manager, which represent unobservable (Level 3) inputs. As of December 31, 2016, the fair value of the Inward ILW Swap was less than $0.1 million, and was recorded as an "other liability" on the Company's December 31, 2016 Consolidated Balance Sheet. During the three months ended September 30, 2017 and 2016, Blue Capital Re ILS recognized a gain from derivative instruments of nil and $0.1 million, respectively, pursuant to the Inward ILW Swap. During the nine months ended September 30, 2017 and 2016, Blue Capital Re ILS recognized a gain from derivative instruments of less than $0.1 million and $0.2 million, respectively, pursuant to the Inward ILW Swap. Outward ILW Swaps In March 2017 and June 2017, Blue Capital Re ILS entered into various ILW swaps (the "2017 Outward ILW Swaps") with third-parties in order to purchase protection against natural catastrophes across multiple geographic zones from March 2017 to March 2018. In return for fixed payments totaling $2.0 million, Blue Capital Re ILS is entitled to receive floating payments in the event of certain losses incurred by the insurance industry as a whole. The maximum aggregate potential recovery to Blue Capital Re ILS from the 2017 Outward ILW Swaps is $9.0 million. As a result of catastrophe events occurring in the three month period ended September 30, 2017, a recovery was triggered on the 2017 Outward ILW Swaps resulting in Blue Capital Re ILS being entitled to receive $4.7 million. The 2017 Outward ILW Swaps are valued on the basis of modeling developed by the Manager, which represents unobservable (Level 3) inputs. As of September 30, 2017, the fair value of the 2017 Outward ILW Swaps was $4.9 million, which was recorded as an "other asset" on the Company's September 30, 2017 Consolidated Balance Sheet. In April 2016, Blue Capital Re ILS entered into various outward ILW swaps (the “2016 Outward ILW Swaps”) with third-parties in order to purchase protection against natural catastrophes across multiple geographic zones from April 2016 to April 2017. In return for fixed payments totaling $2.0 million, Blue Capital Re ILS was entitled to receive floating payments in the event of certain losses incurred by the insurance industry as a whole. The maximum aggregate potential recovery to Blue Capital Re ILS from the 2016 Outward ILW Swaps was $9.0 million. At expiry there were no industry loss events occurring which would have triggered a recovery under the 2016 Outward ILW Swaps. The 2016 Outward ILW Swaps were valued on the basis of modeling developed by the Manager, which represents unobservable (Level 3) inputs. As of December 31, 2016, the fair value of the Outward ILW Swaps was $0.5 million, and was recorded as an “other asset” on the Company's December 31, 2016 Consolidated Balance Sheet. During the three and nine months ended September 30, 2017, Blue Capital Re ILS recognized a gain from derivative instruments of $3.1 million and $2.5 million, respectively, pursuant to the Outward ILW Swaps. During the three and nine months ended September 30, 2016, Blue Capital ILS recognized a loss from derivative instruments of $0.7 million and $0.8 million, respectively, pursuant to the Outward ILW Swaps. |
Basic and Diluted Earnings Per Common Share |
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Basic and Diluted Earnings Per Common Share | NOTE 5. Basic and Diluted Earnings per Common Share The Company applies the two-class method of calculating its earnings per Common Share. In applying the two-class method, any outstanding RSUs are considered to be participating securities. See Note 7. For all periods presented in which RSUs were outstanding, the two-class method was used to determine basic and diluted earnings per Common Share since this method yielded a more dilutive result than the treasury stock method. For purposes of determining basic and diluted earnings per Common Share, a portion of net income is allocated to outstanding RSUs which serves to reduce the Company’s earnings per Common Share numerators. Net losses are not allocated to outstanding RSUs and, therefore, do not impact the Company's per Common Share numerators in any period in which it incurs a net loss. The following table outlines the Company's computation of its basic and diluted (loss) earnings per Common Share for the three and nine months ended September 30, 2017 and 2016:
(1) During the three and nine month periods ended September 30, 2016, the net earnings allocated to participating securities totaled less than $0.1 million. There were no earnings allocated to participating securities in the periods reported for 2017 since the Company incurred a net loss. Dividends to Holders of Common Shares and RSUs The Company declared regular cash dividends per Common Share and RSU of $0.30 during each of the three month periods ended September 30, 2017 and 2016 and $0.90 per Common Share and RSU during each of the nine month periods ended September 30, 2017 and 2016. In addition, in February 2017 and 2016, the Company declared special dividends with respect to its 2016 and 2015 Distributable Income of $0.59 and $1.24, respectively, per Common Share and RSU. As of September 30, 2017, the Company had $2.6 million of dividends payable to holders of Common Shares and RSUs, which is included within "other liabilities" on its Unaudited Consolidated Balance Sheet at that date. As of December 31, 2016, the Company had no dividends payable to holders of Common Shares and RSUs. The total amount of dividends paid to holders of Common Shares and RSUs during the nine month periods ended September 30, 2017 and 2016 was $10.5 million and $16.1 million, respectively. There are restrictions on the payment of dividends by the Company, Blue Capital Re and Blue Capital Re ILS. Any future determination to pay dividends to holders of Common Shares and RSUs will be at the discretion of the Board and will be dependent upon many factors, including the Company's results of operations, cash flows, financial position, capital requirements, general business opportunities, and legal, regulatory and contractual restrictions. |
Credit Facility |
9 Months Ended |
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Sep. 30, 2017 | |
Line of Credit Facility [Abstract] | |
Credit Facility | NOTE 6. Credit Facility On May 6, 2016, the Company entered into a credit facility (the "2016 Credit Facility") with Endurance Investment Holdings Ltd. (the "Lender"), a wholly-owned subsidiary of Sompo International. The 2016 Credit Facility provides the Company with an unsecured $20.0 million revolving credit facility for working capital and general corporate purposes and expires on September 30, 2018. The 2016 Credit Facility replaced the 2014 Credit Agreement and related Guarantee Agreement (together the "Credit Facilities") which expired on April 29, 2016. Borrowings under the 2016 Credit Facility bear interest, set at the time of the borrowing, at a rate equal to the applicable LIBOR rate plus 150 basis points. A one-time fee of $20,000 was due to the Lender in connection with establishing the 2016 Credit Facility. NOTE 6. Credit Facility, Cont'd The 2016 Credit Facility contains covenants that limit the Company’s ability, among other things, to grant liens on its assets, sell assets, merge or consolidate, or incur debt. If the Company fails to comply with any of these covenants, the Lender could revoke the facility and exercise remedies against the Company. In addition, in the event of a default in the performance of any of the agreements or covenants under certain management agreements with the Manager by the Company, the Lender has the right to terminate the 2016 Credit Facility. As of September 30, 2017, the Company was in compliance with all of its respective covenants associated with the 2016 Credit Facility. As of September 30, 2017 and December 31, 2016, the Company had no outstanding borrowings under the 2016 Credit Facility. During each of the nine month periods ended September 30, 2017 and 2016, the Company paid interest on its borrowings under the Credit Facilities of nil and less than $0.1 million, respectively. During the three and nine month periods ended September 30, 2017, the Company incurred no facility or structuring fees in connection with the Credit Facilities. During the three and nine month periods ended September 30, 2016, the Company incurred less than $0.1 million in facility and structuring fees in connection with the Credit Facilities. These fees are included within ''general and administrative expenses'' on the Company's Unaudited Consolidated Statements of (Loss) Income and Comprehensive (Loss) Income. |
Share-Based Compensation |
9 Months Ended |
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Sep. 30, 2017 | |
Disclosure of Compensation Related Costs, Share-based Payments [Abstract] | |
Share-Based Compensation | NOTE 7. Share-Based Compensation The Company's 2013 Long-Term Incentive Plan (the "2013 LTIP"), which was adopted by the Board in September 2013, permits the issuance of up to one percent of the aggregate Common Shares outstanding to participants. Incentive awards that may be granted under the 2013 LTIP include RSUs, restricted Common Shares, incentive share options (on a limited basis), non-qualified share options, share appreciation rights, deferred share units, performance compensation awards, performance units, cash incentive awards and other equity-based and equity-related awards. At the discretion of the Board's Compensation and Nominating Committee, incentive awards, the value of which are based on Common Shares, may be made to the Company's directors, future employees and consultants pursuant to the 2013 LTIP. For all periods presented, the Company's outstanding share-based incentive awards consisted solely of RSUs. RSUs are phantom (as opposed to actual) Common Shares which, depending on the individual award, vest in equal tranches over a one to five-year period subject to the recipient maintaining a continuous relationship with the Company through the applicable vesting date. RSUs are payable in Common Shares upon vesting (the amount of which may be reduced by applicable statutory income tax withholdings at the recipient's option). RSUs do not require the payment of an exercise price and are not entitled to voting rights, but they are entitled to receive payments equivalent to any dividends and distributions declared on the Common Shares underlying the RSUs. There were no awards or forfeitures of RSUs and no RSUs vested during the three months ended September 30, 2017 and 2016. During the nine months ended September 30, 2017, the Company awarded a total of 6,540 RSUs (2016 - 7,095) to directors of its Board. The RSUs earn ratably each year based on continued service as a director over a three-year vesting period. The grant date fair value of the RSUs was $0.1 million (2016 - $0.1 million). During the nine months ended September 30, 2017, 5,158 RSUs vested (2016 - 3,736). The fair value of the vesting RSUs was $0.1 million (2016 - $0.1 million). NOTE 7. Share-Based Compensation, Cont'd During the nine months ended September 30, 2017, 2,352 RSUs were forfeited (2016 - nil). During each of the three months ended September 30, 2017 and 2016, the Company recognized less than $0.1 million of RSU expense. During each of the nine months ended September 30, 2017 and 2016, the Company recognized less than $0.1 million and $0.1 million of RSU expense. At September 30, 2017 compensation costs not yet recognized related to unvested RSUs was $0.1 million. As of September 30, 2017 and December 31, 2016, there were 12,188 and 13,158 RSUs outstanding, respectively, under the 2013 LTIP. |
Related Party Transactions |
9 Months Ended |
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Sep. 30, 2017 | |
Related Party Transactions [Abstract] | |
Related Party Transactions | NOTE 8. Related Party Transactions As of September 30, 2017, Sompo International and its wholly owned subsidiary, Endurance Bermuda, owned 33.2% of the Company's outstanding Common Shares. As of December 31, 2016, Endurance and its wholly owned subsidiary, Endurance Bermuda, owned 33.2% of the Company's outstanding Common Shares. See Note 1. Through each of the following roles and relationships, Blue Capital leverages Sompo International's reinsurance underwriting expertise and infrastructure to conduct its business: (i) the Manager, a wholly-owned subsidiary of Sompo International, manages Blue Capital Re's and Blue Capital Re ILS's reinsurance underwriting decisions; (ii) Blue Water Re Ltd. ("Blue Water Re") is a significant source of reinsurance business for Blue Capital Re; (iii) Sompo International's General Counsel serves as a director; (iv) the Manager's Treasurer serves as the Company's CFO; and (v) Sompo International's Chief Financial Officer is the Manager's CEO, the CEO of the Company and serves as Chairman of the Board. All of the compensation that employees of Sompo International are entitled to as directors of the Company is assigned directly to Sompo International. Services Provided to Blue Capital by Sompo International Sompo International provides services to Blue Capital through the following arrangements: BW Retrocessional Agreement. Through a retrocessional contract dated December 31, 2013 (the "BW Retrocessional Agreement"), between Blue Capital Re and Blue Water Re, Blue Water Re has the option to cede to Blue Capital Re up to 100% of its participation in the ceded reinsurance business it writes, provided that such business is in accordance with the Company’s underwriting guidelines. Pursuant to the BW Retrocessional Agreement, Blue Capital Re may participate in: (i) retrocessional, quota share or other agreements between Blue Water Re and Endurance Bermuda or other third-party reinsurers, which provides it with the opportunity to participate in a diversified portfolio of risks on a proportional basis; and (ii) fronting agreements between Blue Water Re and Endurance Bermuda or other well capitalized third-party rated reinsurers, which allows Blue Capital Re to transact business with counterparties who prefer to enter into contracts with rated reinsurers. For all periods presented, all of the reinsurance business of Blue Capital Re was originated pursuant to the BW Retrocessional Agreement. Investment Management Agreement. The Company has entered into an Investment Management Agreement (the "Investment Management Agreement") with the Manager. Pursuant to the terms of the Investment Management Agreement, the Manager has full discretionary authority, including the delegation of the provision of its services, to manage the Company's assets, subject to the Company’s underwriting guidelines, the terms of the Investment Management Agreement and the oversight of the Board. Underwriting and Insurance Management Agreement. The Company, Blue Capital Re and the Manager have entered into an Underwriting and Insurance Management Agreement (the "Underwriting and Insurance Management Agreement"). Pursuant to the Underwriting and Insurance Management Agreement, the Manager provides underwriting, risk management, claims management, ceded retrocession agreements management and actuarial and reinsurance accounting services to Blue Capital Re. The Manager has full discretionary authority to manage the underwriting decisions of Blue Capital Re, subject to the NOTE 8. Related Party Transactions, Cont'd Company's underwriting guidelines, the terms of the Underwriting and Insurance Management Agreement and the oversight of the Company's and Blue Capital Re's boards of directors. Administrative Services Agreement. The Company has entered into an Administrative Services Agreement with the Manager, as amended on November 13, 2014 (the "Administrative Services Agreement"). Pursuant to the terms of the Administrative Services Agreement, the Manager provides Blue Capital with support services, including the services of our CFO, as well as finance and accounting, internal audit, claims management and policy wording, modeling software licenses, office space, information technology, human resources and administrative support. Credit Facility Agreement. The Company entered into the 2016 Credit Facility with Endurance Investment Holdings Ltd. (the "Lender"), a subsidiary of Sompo International, on May 6, 2016. The 2016 Credit Facility provides the Company with an unsecured $20.0 million revolving credit facility for working capital and general corporate purposes and expires on September 30, 2018. Fees Incurred Pursuant to the Aforementioned Agreements During the three and nine months ended September 30, 2017, the Company incurred general and administrative expenses of: (i) $0.6 million and $2.0 million pursuant to the Investment Management Agreement; (ii) $0.1 million and $0.4 million pursuant to the Administrative Services Agreement; and (iii) nil and $0.4 million pursuant to the Underwriting and Insurance Management Agreement. During the three and nine months ended September 30, 2016, the Company incurred general and administrative expenses of: (i) $0.7 million and $2.0 million pursuant to the Investment Management Agreement; (ii) $0.1 million and $0.4 million pursuant to the Administrative Services Agreement; and (iii) nil and $0.4 million pursuant to the Underwriting and Insurance Management Agreement. During each of the three and nine months ended September 30, 2017 and 2016, the Company incurred fees of nil and less than $0.1 million related to the Credit Facilities. See Note 6. As of September 30, 2017 and December 31, 2016, the Company owed Sompo International $0.7 million and $1.8 million for the services performed pursuant to the aforementioned agreements, respectively, which are included within "other liabilities" on the Company's Consolidated Balance Sheets at those dates. |
Commitments and Contingent Liabilities |
9 Months Ended |
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Sep. 30, 2017 | |
Commitments and Contingencies Disclosure [Abstract] | |
Commitments and Contingent Liabilities | NOTE 9. Commitments and Contingent Liabilities Commitments As of September 30, 2017 and December 31, 2016, Blue Capital had no commitments for operating leases or capital expenditures and does not expect any material expenditures of this type during the foreseeable future. The Company and its subsidiaries may not terminate the Investment Management Agreement, the Underwriting and Insurance Management Agreement or the Administrative Services Agreement until the fifth anniversary of the completion of its initial public offering on November 5, 2013 (the "IPO"), whether or not the Manager's performance results are satisfactory. Upon any termination or non-renewal of either of the Investment Management Agreement or the Underwriting and Insurance Management Agreement (other than for a material breach by, or the insolvency of, the Manager), the Company must pay a one-time termination fee to the Manager equal to 5% of its GAAP shareholders' equity (approximately $6.4 million as of September 30, 2017). Blue Capital Re does not operate with a financial strength rating and, instead, fully collateralizes its reinsurance obligations through cash and cash equivalents held in various trust funds established for the benefit of ceding companies. NOTE 9. Commitments and Contingent Liabilities, cont'd Amounts Held in Trust for the Benefit of Ceding Companies As of September 30, 2017, Blue Capital Re ILS did not have any cash and cash equivalents pledged to trust accounts established for the benefit of third parties. As of December 31, 2016, Blue Capital Re and Blue Capital Re ILS had collectively pledged $3.1 million of their cash and cash equivalents to trust accounts established for the benefit of third parties ($3.1 million) and Blue Water Re (less than $0.1 million). The cash and cash equivalents pledged to Blue Water Re at December 31, 2016 represented funds that had not yet been formally transferred to a trust account to collateralize Blue Capital Re's obligations to Blue Water Re. See Note 8. These amounts are presented on the Company's Consolidated Balance Sheets as "cash and cash equivalents." As of September 30, 2017 and December 31, 2016, Blue Capital had transferred $180.0 million and $191.4 million of its cash and cash equivalents, respectively, to a trust account established by Blue Water Re for its benefit pursuant to the BW Retrocessional Agreement. See Note 8. These amounts are presented on the Company's Consolidated Balance Sheets as "funds held by ceding companies." Litigation Blue Capital Re, as a reinsurer, is subject to litigation and arbitration proceedings in the normal course of its business. Such proceedings often involve reinsurance contract disputes which are typical for the reinsurance industry. Blue Capital Re's estimates of possible losses incurred in connection with such legal proceedings are provided for as "loss and loss adjustment expenses" on its Unaudited Consolidated Statements of (Loss) Income and Comprehensive (Loss) Income and are included within "loss and loss adjustment expense reserves" on its Consolidated Balance Sheets. The Company and its subsidiaries had no unresolved legal proceedings at September 30, 2017 and December 31, 2016. Concentrations of Credit and Counterparty Risk Blue Capital Re ILS's derivative instruments are subject to counterparty risk. The Company and the Manager routinely monitor this risk. Blue Capital Re markets retrocessional and reinsurance policies worldwide through brokers. Credit risk exists to the extent that any of these brokers may be unable to fulfill their contractual obligations to Blue Capital Re. For example, Blue Capital Re is required to pay amounts owed on claims under policies to brokers, and these brokers, in turn, pay these amounts to the ceding companies that have reinsured a portion of their liabilities with Blue Capital Re. In some jurisdictions, if a broker fails to make such a payment, Blue Capital Re might remain liable to the ceding company for the deficiency. In addition, in certain jurisdictions, when the ceding company pays premiums for these policies to brokers, these premiums are considered to have been paid and the ceding insurer is no longer liable to Blue Capital Re for those amounts, whether or not the premiums have actually been received. Blue Capital Re remains liable for losses it incurs to the extent that any third-party reinsurer is unable or unwilling to make timely payments under reinsurance agreements. Blue Capital Re would also be liable in the event that its ceding companies were unable to collect amounts due from underlying third-party reinsurers. |
Fair Value of Financial Instruments |
9 Months Ended |
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Sep. 30, 2017 | |
Fair Value Disclosures [Abstract] | |
Fair Value of Financial Instruments | NOTE 10. Fair Value of Financial Instruments GAAP requires disclosure of fair value information for certain financial instruments. For those financial instruments in which quoted market prices are not available, fair values are estimated by discounting future cash flows using current market rates or quoted market prices for similar obligations. These estimates are not necessarily indicative of amounts that could be realized in a current market exchange. Blue Capital carries its assets and liabilities that constitute financial instruments on its Consolidated Balance Sheets at fair value with the exception of its outstanding borrowings under the Credit Facilities. At September 30, 2017 and December 31, 2016, the Company had no outstanding borrowings under the Credit Facilities. See Note 6. |
Basis of Presentation and Summary of Significant Accounting Policies (Policies) |
9 Months Ended |
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Sep. 30, 2017 | |
Accounting Policies [Abstract] | |
Basis of Presentation and Overview | NOTE 1. Basis of Presentation and Summary of Significant Accounting Policies Basis of Presentation and Overview Blue Capital Reinsurance Holdings Ltd. (the "Company" or the "Registrant") is a Bermuda exempted limited liability company that, through its subsidiaries (collectively "Blue Capital"), offers collateralized reinsurance in the property catastrophe market and invests in various insurance-linked securities. The Company was incorporated under the laws of Bermuda on June 24, 2013, and commenced its operations on November 12, 2013. The Company's headquarters and principal executive offices are located at Waterloo House, 100 Pitts Bay Road, Pembroke, Bermuda HM 08, which is also our registered office. The unaudited consolidated financial statements incorporated in this report on Form 10-Q have been prepared in accordance with accounting principles generally accepted in the U.S. ("GAAP") for interim financial information and in accordance with the instructions to Form 10-Q and Article 10 of Regulation S-X. Accordingly, they do not include all of the information and footnotes required by GAAP. Certain prior period amounts, all of which are immaterial, have been reclassified to conform to the current period presentation. These interim unaudited consolidated financial statements should be read in conjunction with the audited consolidated financial statements contained in the 2016 Form 10-K. In the opinion of management, these interim unaudited consolidated financial statements include all adjustments, consisting only of normal recurring adjustments, necessary to fairly present the Company's financial position, results of operations and cash flows. The unaudited consolidated financial statements include the accounts of the Registrant and its wholly-owned subsidiaries. All significant intercompany accounts and transactions have been eliminated in consolidation. These interim unaudited consolidated financial statements may not be indicative of financial results for the full year. The December 31, 2016 consolidated balance sheet data was derived from audited consolidated financial statements, but does not include all of the disclosures required by GAAP. There were no material changes in the Company's significant accounting and reporting policies subsequent to the filing of the 2016 Form 10-K. The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities as of the date of the financial statements, and the reported amounts of revenues earned and expenses incurred during the period. Actual results could differ materially from those estimates. The significant estimates reflected in these interim unaudited consolidated financial statements include, but are not limited to, loss and LAE reserves and written and earned reinsurance premiums. Estimates and assumptions are periodically reviewed and the effects of revisions are recorded in the consolidated financial statements in the period that they are determined to be necessary. Pursuant to a Stock and Asset Purchase and Sale Agreement by and between Sompo International and Endurance Specialty Holdings Ltd. ("Endurance"), dated September 27, 2017, Sompo International purchased substantially all the assets and liabilities of Endurance. As a result, Sompo International together with its newly wholly owned subsidiary, Endurance Specialty Insurance Ltd. ("Endurance Bermuda"), owned 33.2% of the Company's outstanding Common Shares. The Company operates as a single business segment through its wholly-owned subsidiaries: (i) Blue Capital Re Ltd. ("Blue Capital Re"), a Bermuda Class 3A insurer which provides collateralized reinsurance; and (ii) Blue Capital Re ILS Ltd. ("Blue Capital Re ILS"), a Bermuda exempted limited liability company which conducts hedging and other investment activities, including entering into industry loss warranties and related instruments, in support of Blue Capital Re's operations. Blue Capital leverages the reinsurance underwriting expertise and infrastructure of Sompo International and its various subsidiaries to conduct its business. Sompo Holdings, Inc. is the ultimate beneficial owner of 33.2% of the Company's outstanding Common Shares through its ownership of Sompo International. |
Loss and LAE Reserve Movements (Policies) |
9 Months Ended |
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Sep. 30, 2017 | |
Insurance Loss Reserves [Abstract] | |
Unpaid Policy Claims and Claims Adjustment Expense, Policy [Policy Text Block] | Loss and LAE reserves are comprised of case reserves (which are based on claims that have been reported) and incurred but not reported ("IBNR") reserves (which are based on losses that are believed to have occurred but for which claims have not yet been reported and may include a provision for expected future development on existing case reserves). Case reserves are set on the basis of loss reports received from third parties. IBNR reserves are estimated by management using various actuarial methods as well as a combination of the Manager's own loss experience, historical industry loss experience and management and the Manager's professional judgment. The uncertainties inherent in the reserving process and potential delays by cedants and brokers in the reporting of loss information, together with the potential for unforeseen adverse developments, may result in loss and LAE reserves ultimately being significantly greater or less than the reserve provided at the end of any given reporting period. Loss and LAE reserve estimates are regularly reviewed and updated as new information becomes known. Any resulting adjustments are reflected in income in the period in which they become known. Blue Capital Re's reserving process is highly dependent on loss information received from its cedants and the Manager. |
Written and Earned Reinsurance Premiums Written and Earned Reinsurance Premiums (Policies) |
9 Months Ended |
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Sep. 30, 2017 | |
Reinsurance Disclosures [Abstract] | |
Insurance Premiums Revenue Recognition, Policy [Policy Text Block] | Written premiums represent business bound from ceding companies and net earned premiums represent the portion of net written premiums (gross written premiums less any ceded reinsurance) which is recognized as revenue over the period of time that coverage is provided. |
Commitments and Contingent Liabilities (Policies) |
9 Months Ended |
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Sep. 30, 2017 | |
Commitments and Contingencies Disclosure [Abstract] | |
Amounts Held in Trust for the Benefit of Ceding Companies | Amounts Held in Trust for the Benefit of Ceding Companies As of September 30, 2017, Blue Capital Re ILS did not have any cash and cash equivalents pledged to trust accounts established for the benefit of third parties. As of December 31, 2016, Blue Capital Re and Blue Capital Re ILS had collectively pledged $3.1 million of their cash and cash equivalents to trust accounts established for the benefit of third parties ($3.1 million) and Blue Water Re (less than $0.1 million). The cash and cash equivalents pledged to Blue Water Re at December 31, 2016 represented funds that had not yet been formally transferred to a trust account to collateralize Blue Capital Re's obligations to Blue Water Re. See Note 8. These amounts are presented on the Company's Consolidated Balance Sheets as "cash and cash equivalents." As of September 30, 2017 and December 31, 2016, Blue Capital had transferred $180.0 million and $191.4 million of its cash and cash equivalents, respectively, to a trust account established by Blue Water Re for its benefit pursuant to the BW Retrocessional Agreement. See Note 8. These amounts are presented on the Company's Consolidated Balance Sheets as "funds held by ceding companies." |
Fair Value of Financial Instruments (Policies) |
9 Months Ended |
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Sep. 30, 2017 | |
Fair Value Disclosures [Abstract] | |
Fair Value of Financial Instruments, Policy [Policy Text Block] | GAAP requires disclosure of fair value information for certain financial instruments. For those financial instruments in which quoted market prices are not available, fair values are estimated by discounting future cash flows using current market rates or quoted market prices for similar obligations. These estimates are not necessarily indicative of amounts that could be realized in a current market exchange. Blue Capital carries its assets and liabilities that constitute financial instruments on its Consolidated Balance Sheets at fair value with the exception of its outstanding borrowings under the Credit Facilities. |
Loss and LAE Reserve Movements (Tables) |
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Insurance Loss Reserves [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Liability for Unpaid Claims and Claims Adjustment Expense [Table Text Block] | The following table summarizes Blue Capital Re's loss and LAE reserve movements for the three and nine months ended September 30, 2017 and 2016.
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Written and Earned Reinsurance Premiums (Tables) |
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Reinsurance Disclosures [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedules of net written and earned reinsurance premiums by geographic area | The following table sets forth a breakdown of Blue Capital's premiums written by geographic area of risks insured during the three and nine month periods ended September 30, 2017 and 2016:
(1) "Worldwide" comprises reinsurance contracts that cover risks in more than one geographic area and do not specifically exclude the U.S. (2) "Worldwide, excluding U.S." comprises reinsurance contracts that cover risks in more than one geographic area but specifically exclude the U.S. The following table sets forth a breakdown of Blue Capital's net reinsurance premiums earned by geographic area of risks insured during the three and nine month periods ended September 30, 2017 and 2016:
(1) "Worldwide" comprises reinsurance contracts that cover risks in more than one geographic area and do not specifically exclude the U.S. (2) "Worldwide, excluding U.S." comprises reinsurance contracts that cover risks in more than one geographic area but specifically exclude the U.S. |
Basic and Diluted Earnings Per Common Share (Tables) |
9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Sep. 30, 2017 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Earnings Per Share [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of computation of basic and diluted earnings per Common Share | The following table outlines the Company's computation of its basic and diluted (loss) earnings per Common Share for the three and nine months ended September 30, 2017 and 2016:
(1) During the three and nine month periods ended September 30, 2016, the net earnings allocated to participating securities totaled less than $0.1 million. There were no earnings allocated to participating securities in the periods reported for 2017 since the Company incurred a net loss. |
Basis of Presentation and Summary of Significant Accounting Policies (Details) |
9 Months Ended |
---|---|
Sep. 30, 2017 | |
Endurance Specialty Holdings Ltd [Member] | |
Related party transactions | |
Percentage of outstanding common stock | 33.20% |
Minimum | |
Related party transactions | |
Percentage of Distributable Income Distributed | 90.00% |
Written and Earned Reinsurance Premiums (Earned Premium) (Details) - USD ($) $ in Millions |
3 Months Ended | 9 Months Ended | |||||||
---|---|---|---|---|---|---|---|---|---|
Sep. 30, 2017 |
Sep. 30, 2016 |
Sep. 30, 2017 |
Sep. 30, 2016 |
||||||
Net premiums earned | $ 15.6 | $ 10.4 | $ 36.1 | $ 32.1 | |||||
Blue Capital (subsidiaries of reporting entity) | |||||||||
Net premiums earned | $ 15.6 | $ 10.4 | $ 36.1 | $ 32.1 | |||||
Percentage of net earned reinsurance premiums by geographic area of risks insured | 100.00% | 100.00% | 100.00% | 100.00% | |||||
Blue Capital (subsidiaries of reporting entity) | Worldwide | |||||||||
Net premiums earned | [1] | $ 10.0 | $ 8.3 | $ 25.9 | $ 25.7 | ||||
Percentage of net earned reinsurance premiums by geographic area of risks insured | [1] | 63.00% | 79.00% | 71.00% | 80.00% | ||||
Blue Capital (subsidiaries of reporting entity) | USA: Nationwide | |||||||||
Net premiums earned | $ 1.4 | $ 0.8 | $ 2.9 | $ 2.6 | |||||
Percentage of net earned reinsurance premiums by geographic area of risks insured | 9.00% | 8.00% | 8.00% | 8.00% | |||||
Blue Capital (subsidiaries of reporting entity) | USA: Florida | |||||||||
Net premiums earned | $ 3.1 | $ 0.7 | $ 5.4 | $ 1.9 | |||||
Percentage of net earned reinsurance premiums by geographic area of risks insured | 20.00% | 7.00% | 15.00% | 6.00% | |||||
Blue Capital (subsidiaries of reporting entity) | USA: Gulf Region | |||||||||
Net premiums earned | $ 0.5 | $ 0.2 | $ 0.6 | $ 0.6 | |||||
Percentage of net earned reinsurance premiums by geographic area of risks insured | 3.00% | 2.00% | 2.00% | 2.00% | |||||
Blue Capital (subsidiaries of reporting entity) | USA: California | |||||||||
Net premiums earned | $ 0.1 | $ 0.1 | $ 0.3 | $ 0.2 | |||||
Percentage of net earned reinsurance premiums by geographic area of risks insured | 1.00% | 1.00% | 1.00% | 1.00% | |||||
Blue Capital (subsidiaries of reporting entity) | USA: Midwest Region and Other | |||||||||
Net premiums earned | $ 0.1 | $ 0.1 | $ 0.2 | $ 0.3 | |||||
Percentage of net earned reinsurance premiums by geographic area of risks insured | 1.00% | 1.00% | 1.00% | 1.00% | |||||
Blue Capital (subsidiaries of reporting entity) | Northeast [Member] | |||||||||
Net premiums earned | $ 0.1 | $ 0.0 | $ 0.1 | $ 0.0 | |||||
Percentage of net earned reinsurance premiums by geographic area of risks insured | 1.00% | 0.00% | 0.00% | 0.00% | |||||
Blue Capital (subsidiaries of reporting entity) | USA: Mid-Atlantic Region | |||||||||
Net premiums earned | $ 0.1 | $ 0.1 | $ 0.3 | $ 0.3 | |||||
Percentage of net earned reinsurance premiums by geographic area of risks insured | 1.00% | 1.00% | 1.00% | 1.00% | |||||
Blue Capital (subsidiaries of reporting entity) | Worldwide, excluding U.S. | |||||||||
Net premiums earned | [2] | $ 0.2 | $ 0.1 | $ 0.4 | $ 0.5 | ||||
Percentage of net earned reinsurance premiums by geographic area of risks insured | [2] | 1.00% | 1.00% | 1.00% | 1.00% | ||||
|
Derivative Instruments (Details) - USD ($) $ in Millions |
1 Months Ended | 3 Months Ended | 9 Months Ended | |||||
---|---|---|---|---|---|---|---|---|
Apr. 30, 2016 |
Feb. 29, 2016 |
Sep. 30, 2017 |
Jun. 30, 2017 |
Sep. 30, 2016 |
Sep. 30, 2017 |
Sep. 30, 2016 |
Dec. 31, 2016 |
|
Derivative Instruments | ||||||||
Gain (Loss) from derivative instruments | $ 3.1 | $ (0.6) | $ 2.5 | $ (0.6) | ||||
Blue Capital Re Ils Ltd [Member] | ILW Swap 2016 | ||||||||
Derivative Instruments | ||||||||
Fixed-rate payment received on swap | $ 0.4 | |||||||
Maximum payment obligation under swap | $ 2.7 | |||||||
Gain (Loss) from derivative instruments | 0.0 | 0.2 | ||||||
Blue Capital Re Ils Ltd [Member] | Outwards ILW Swaps 2016 [Member] | ||||||||
Derivative Instruments | ||||||||
Fixed-rate payment paid on swap | $ 2.0 | |||||||
Maximum aggregate recovery under swap | $ 9.0 | |||||||
Gain (Loss) from derivative instruments | (0.7) | (0.8) | ||||||
Blue Capital Re Ils Ltd [Member] | Outwards ILW Swaps 2016 [Member] | Level 3 | ||||||||
Derivative Instruments | ||||||||
Fair value of swap, asset | $ 0.5 | |||||||
Blue Capital Re Ils Ltd [Member] | Outwards ILW Swaps [Member] | ||||||||
Derivative Instruments | ||||||||
Gain (Loss) from derivative instruments | 2.5 | |||||||
Blue Capital Re Ils Ltd [Member] | Outwards ILW Swaps 2017 [Member] | ||||||||
Derivative Instruments | ||||||||
Fixed-rate payment paid on swap | $ 2.0 | |||||||
Maximum aggregate recovery under swap | $ 9.0 | |||||||
Derivative Swap Recovery | 4.7 | 4.7 | ||||||
Gain (Loss) from derivative instruments | 3.1 | |||||||
Blue Capital Re Ils Ltd [Member] | Outwards ILW Swaps 2017 [Member] | Level 3 | ||||||||
Derivative Instruments | ||||||||
Fair value of swap, asset | $ 4.9 | 4.9 | ||||||
Maximum | Blue Capital Re Ils Ltd [Member] | ILW Swap 2016 | ||||||||
Derivative Instruments | ||||||||
Gain (Loss) from derivative instruments | $ 0.1 | $ 0.1 | $ (0.1) | |||||
Maximum | Blue Capital Re Ils Ltd [Member] | ILW Swap 2016 | Level 3 | ||||||||
Derivative Instruments | ||||||||
Fair value of swap, liability | $ 0.1 |
Basic and Diluted Earnings Per Common Share (Details) - USD ($) $ / shares in Units, shares in Thousands |
1 Months Ended | 3 Months Ended | 9 Months Ended | ||||||
---|---|---|---|---|---|---|---|---|---|
Feb. 28, 2017 |
Feb. 29, 2016 |
Sep. 30, 2017 |
Sep. 30, 2016 |
Sep. 30, 2017 |
Sep. 30, 2016 |
Dec. 31, 2016 |
|||
Basic and Diluted Earnings Per Common Share | |||||||||
Net (loss) income | $ (51,900,000) | $ 3,300,000 | $ (43,200,000) | $ 10,300,000 | |||||
Less: net earnings allocated to participating securities(1) | [1] | 0 | 0 | 0 | 0 | ||||
Earnings per Common Share numerator | $ (51,900,000) | $ 3,300,000 | $ (43,200,000) | $ 10,300,000 | |||||
Average Common Shares outstanding (in thousands of shares) | 8,761 | 8,756 | 8,758 | 8,754 | |||||
Basic and diluted (loss) earnings per Common Share | $ (5.93) | $ 0.38 | $ (4.94) | $ 1.17 | |||||
Dividends declared per Common Share and RSU | $ 0.30 | $ 0.30 | $ 1.49 | $ 2.14 | |||||
Dividends Payable | $ 2,600,000 | $ 2,600,000 | $ 0 | ||||||
Payments of Ordinary Dividends, Common Stock | $ 10,500,000 | $ 16,100,000 | |||||||
Maximum | |||||||||
Basic and Diluted Earnings Per Common Share | |||||||||
Less: net earnings allocated to participating securities(1) | $ 100,000 | $ 100,000 | |||||||
Regular Dividends Declared | |||||||||
Basic and Diluted Earnings Per Common Share | |||||||||
Dividends declared per Common Share and RSU | $ 0.30 | $ 0.30 | $ 0.90 | $ 0.90 | |||||
Special Dividends Declared | |||||||||
Basic and Diluted Earnings Per Common Share | |||||||||
Dividends declared per Common Share and RSU | $ 0.59 | $ 1.24 | |||||||
|
Credit Facility (Details) - USD ($) |
3 Months Ended | 9 Months Ended | ||||
---|---|---|---|---|---|---|
May 06, 2016 |
Sep. 30, 2017 |
Sep. 30, 2016 |
Sep. 30, 2017 |
Sep. 30, 2016 |
Dec. 31, 2016 |
|
Endurance Investments Holdings Ltd. [Member] | ||||||
Credit Facility | ||||||
Maximum borrowing capacity | $ 20,000,000 | |||||
2016 Credit Facility [Member] | Endurance Investments Holdings Ltd. [Member] | ||||||
Credit Facility | ||||||
Facility and structuring fees related to Credit Agreement | $ 20,000 | |||||
2016 Credit Facility [Member] | London Interbank Offered Rate (LIBOR) [Member] | Endurance Investments Holdings Ltd. [Member] | ||||||
Credit Facility | ||||||
Basis spread (as a percent) | 1.50% | |||||
Revolving credit facility | ||||||
Credit Facility | ||||||
Outstanding borrowings | $ 0 | $ 0 | $ 0 | |||
Interest Paid | 0 | |||||
Facility and structuring fees related to Credit Agreement | $ 0 | $ 0 | ||||
Revolving credit facility | Maximum | ||||||
Credit Facility | ||||||
Interest Paid | $ 100,000 | |||||
Facility and structuring fees related to Credit Agreement | $ 100,000 | $ 100,000 |
Share-Based Compensation (Details) - USD ($) $ in Millions |
3 Months Ended | 9 Months Ended | |||
---|---|---|---|---|---|
Sep. 30, 2017 |
Sep. 30, 2016 |
Sep. 30, 2017 |
Sep. 30, 2016 |
Dec. 31, 2016 |
|
RSUs | |||||
Share-Based Compensation | |||||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Vested in Period, Fair Value | $ 0.1 | $ 0.1 | |||
Expenses recognized | $ 0.1 | ||||
Compensation cost not yet recognized | $ 0.1 | 0.1 | |||
Maximum | RSUs | |||||
Share-Based Compensation | |||||
Expenses recognized | $ 0.1 | $ 0.1 | |||
2013 LTIP | |||||
Share-Based Compensation | |||||
Percentage of Aggregate Common Shares Outstanding Authorized for Issuance | 1.00% | ||||
2013 LTIP | RSUs | |||||
Share-Based Compensation | |||||
Incentive awards outstanding (in shares) | 12,188 | 12,188 | 13,158 | ||
2013 LTIP | Minimum | RSUs | |||||
Share-Based Compensation | |||||
Vesting period | 1 year | ||||
2013 LTIP | Maximum | RSUs | |||||
Share-Based Compensation | |||||
Vesting period | 5 years | ||||
Director [Member] | RSUs | |||||
Share-Based Compensation | |||||
Vesting period | 3 years | ||||
Number of shares awarded | 0 | 0 | 6,540 | 7,095 | |
FV of awards granted | $ 0.0 | $ 0.0 | $ 0.1 | $ 0.1 | |
Number of shares forfeited | 0 | 0 | 2,352 | 0 | |
Number of shares vested | 0 | 0 | 5,158 | 3,736 | |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Vested in Period, Fair Value | $ 0.0 | $ 0.0 | |||
Director [Member] | Maximum | RSUs | |||||
Share-Based Compensation | |||||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Vested in Period, Fair Value | $ 0.1 | $ 0.1 |
Related Party Transactions (Details) - USD ($) $ in Millions |
3 Months Ended | 9 Months Ended | ||||
---|---|---|---|---|---|---|
Sep. 30, 2017 |
Sep. 30, 2016 |
Sep. 30, 2017 |
Sep. 30, 2016 |
Dec. 31, 2016 |
May 06, 2016 |
|
Related party transactions | ||||||
Amount due to for services performed | $ 0.7 | $ 0.7 | $ 1.8 | |||
Investment Management Agreement | ||||||
Related party transactions | ||||||
General and administrative expenses | 0.6 | $ 0.7 | 2.0 | $ 2.0 | ||
Underwriting and Insurance Management Agreement | ||||||
Related party transactions | ||||||
General and administrative expenses | 0.0 | 0.0 | 0.4 | 0.4 | ||
Administrative Services Agreement | ||||||
Related party transactions | ||||||
General and administrative expenses | 0.1 | 0.1 | $ 0.4 | 0.4 | ||
Endurance Investments Holdings Ltd. [Member] | ||||||
Related party transactions | ||||||
Maximum borrowing capacity | $ 20.0 | |||||
Endurance Specialty Holdings Ltd [Member] | ||||||
Related party transactions | ||||||
Percentage of outstanding common stock | 33.30% | |||||
Blue Capital Re | Blue Water Re | BW Retrocessional Agreement | Maximum | ||||||
Related party transactions | ||||||
Percentage of participation in the ceded reinsurance business of the related party for which option to cede exists | 100.00% | |||||
2016 Credit Facility [Member] | Endurance Specialty Holdings Ltd [Member] | ||||||
Related party transactions | ||||||
Interest and financing expenses incurred with related party | $ 0.0 | |||||
2016 Credit Facility [Member] | Endurance Specialty Holdings Ltd [Member] | Maximum | ||||||
Related party transactions | ||||||
Interest and financing expenses incurred with related party | $ 0.1 | |||||
2016 Credit Facility [Member] | Endurance Specialty Holdings Ltd. [Member] | ||||||
Related party transactions | ||||||
Interest and financing expenses incurred with related party | $ 0.0 | |||||
2016 Credit Facility [Member] | Endurance Specialty Holdings Ltd. [Member] | Maximum | ||||||
Related party transactions | ||||||
Interest and financing expenses incurred with related party | $ 0.1 |
Commitments and Contingent Liabilities (Details) - USD ($) $ in Millions |
9 Months Ended | |
---|---|---|
Sep. 30, 2017 |
Dec. 31, 2016 |
|
Commitments and contingent liabilities | ||
Funds held by ceding companies | $ 180.0 | $ 191.4 |
Investment Management Agreement | ||
Commitments and contingent liabilities | ||
Period after IPO during which contract may not be terminated | 5 years | |
Underwriting and Insurance Management Agreement | ||
Commitments and contingent liabilities | ||
Period after IPO during which contract may not be terminated | 5 years | |
Administrative Services Agreement | ||
Commitments and contingent liabilities | ||
Period after IPO during which contract may not be terminated | 5 years | |
Investment Management Agreement Or Underwriting and Insurance Management Agreement | ||
Commitments and contingent liabilities | ||
One-time termination fee as a percent of shareholders' equity | 5.00% | |
Amount of one-time termination fee payable | $ 6.4 | |
Cash and Cash Equivalents [Member] | Blue Capital Re Ils Ltd [Member] | ||
Commitments and contingent liabilities | ||
Cash and cash equivalents pledged as collateral | 0.0 | 3.1 |
Blue Water Re | Cash and Cash Equivalents [Member] | Blue Capital (subsidiaries of reporting entity) | ||
Commitments and contingent liabilities | ||
Funds held by ceding companies | $ 180.0 | 191.4 |
Third Parties [Member] | Cash and Cash Equivalents [Member] | Blue Capital (subsidiaries of reporting entity) | ||
Commitments and contingent liabilities | ||
Cash and cash equivalents pledged as collateral | 3.1 | |
Maximum | Blue Water Re | Cash and Cash Equivalents [Member] | Blue Capital (subsidiaries of reporting entity) | ||
Commitments and contingent liabilities | ||
Cash and cash equivalents pledged as collateral | $ 0.1 |
Fair Value of Financial Instruments (Details) - USD ($) $ in Millions |
Sep. 30, 2017 |
Dec. 31, 2016 |
---|---|---|
Revolving credit facility | ||
Fair value disclosures | ||
Outstanding borrowings | $ 0.0 | $ 0.0 |
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