Attached files
file | filename |
---|---|
8-K - FORM 8-K - ENDURANCE SPECIALTY HOLDINGS LTD | c20395e8vk.htm |
EX-99.1 - EXHIBIT 99.1 - ENDURANCE SPECIALTY HOLDINGS LTD | c20395exv99w1.htm |
Exhibit 99.2
Endurance Specialty Holdings Ltd.
INVESTOR FINANCIAL SUPPLEMENT
SECOND QUARTER 2011
SECOND QUARTER 2011
Endurance Specialty Holdings Ltd.
Wellesley House, 90 Pitts Bay Rd.
Pembroke HM 08, Bermuda
Wellesley House, 90 Pitts Bay Rd.
Pembroke HM 08, Bermuda
Investor Relations
Phone: (441) 278-0988
Fax: (441) 278-0493
email: investorrelations@endurance.bm
Phone: (441) 278-0988
Fax: (441) 278-0493
email: investorrelations@endurance.bm
This report is for information purposes only. It should be read in conjunction with
other documents filed by Endurance Specialty Holdings Ltd. pursuant to the Securities Act
of 1933 and the Securities Exchange Act of 1934.
Financial Supplement Table of Contents
Page | ||||
i. Basis of Presentation |
i | |||
ii. Corporate Organization Chart |
ii | |||
I. Consolidated Financial Highlights |
1 | |||
II. Consolidated Financial Statements |
||||
a. Consolidated Statements of Income (Loss) Quarterly |
2 | |||
b. Consolidated Statements of (Loss) Income YTD |
3 | |||
c. Consolidated Balance Sheets |
4 | |||
III. Other Financial Information |
||||
a. Probable Maximum Loss by Zone and Peril |
5 | |||
b. Segment Distribution |
6 | |||
c. Consolidated Segment Data |
7 | |||
d. Return on Equity Analysis |
19 | |||
e. ROE Component Analysis Annualized Premium and Investment Leverage |
20 | |||
f. Investment Portfolio Information |
21 | |||
g. Structured Securities Detail |
22 | |||
h. Largest Twenty-Five Corporate Holdings |
23 | |||
IV. Loss Reserve Analysis |
||||
a. Activity in Reserve for Losses and Loss Expenses |
24 | |||
b. Prior Year Reserve Development by Segment |
25 | |||
c. Prior Year Reserve Development by Development Tail |
26 | |||
d. Analysis of Unpaid Losses and Loss Expenses |
27 | |||
V. Shareholder Return Analysis |
||||
a. Shareholder Return Analysis |
28 | |||
b. Weighted Average Dilutive Shares Outstanding |
29 | |||
c. Earnings (Losses) per Share Two Class Method |
30 | |||
d. Operating Income (Loss) Reconciliation Two Class Method |
31 | |||
e. Dilutive Shares Sensitivity Analysis |
32 | |||
f. Book Value Per Share Analysis |
33 | |||
VI. Regulation G |
34 |
Application of the Safe Harbor of the Private Securities Litigation Reform Act of 1995:
Some of the statements in this financial supplement may include forward-looking statements
which reflect our current views with respect to future events and financial performance. Such
statements may include forward-looking statements both with respect to us in general and the
insurance and reinsurance sectors specifically, both as to underwriting and investment matters.
Statements which include the words expect, intend, plan, believe, project, anticipate,
seek, will, and similar statements of a future or forward-looking nature identify
forward-looking statements in this financial supplement for purposes of the U.S. federal securities
laws or otherwise. We intend these forward-looking statements to be covered by the safe harbor
provisions for forward-looking statements in the Private Securities Litigation Reform Act of 1995.
Readers are cautioned not to place undue reliance on these forward-looking statements, which speak
only to the date on which they are made. We undertake no obligation to publicly update or review
any forward looking statement, when as a result of new information, future developments or
otherwise.
All forward-looking statements address matters that involve risks and uncertainties. Accordingly,
there are or may be important factors that could cause actual results to differ from those
indicated in the forward-looking statements. These factors include, but are not limited to, the
effects of competitors pricing policies, greater frequency or severity of claims and loss
activity, changes in market conditions in the agriculture insurance industry, termination of or
changes in the terms of the U.S. multiple peril crop insurance program, a decreased demand for
property and casualty insurance or reinsurance, changes in the availability, cost or quality of
reinsurance or retrocessional coverage, our inability to renew business previously underwritten or
acquired, our inability to maintain our applicable financial strength ratings, our inability to
effectively integrate acquired operations, uncertainties in our reserving process, changes to our
tax status, changes in insurance regulations, reduced acceptance of our existing or new products
and services, a loss of business from and credit risk related to our broker counterparties,
assessments for high risk or otherwise uninsured individuals, possible terrorism or the outbreak of
war, a loss of key personnel, political conditions, changes in insurance regulation, changes in
accounting policies, our investment performance, the valuation of our invested assets, a breach of
our investment guidelines, the unavailability of capital in the future, developments in the worlds
financial and capital markets and our access to such markets, government intervention in the
insurance and reinsurance industry, illiquidity in the credit markets, changes in general economic
conditions and other factors described in our Annual Report on Form 10-K, as amended, for the year
ended December 31, 2010.
ENDURANCE SPECIALTY HOLDINGS LTD.
BASIS OF PRESENTATION
BASIS OF PRESENTATION
DEFINITIONS AND PRESENTATION
| All financial information contained herein is unaudited, except the balance sheet and/or income statement data for the years ended December 31, 2010 and 2009 which was derived from the Companys audited financial statements. |
| Unless otherwise noted, all data is in thousands, except for per share, percentage and ratio information. |
| As used in this financial supplement, common shares refers to our ordinary shares and class A and class B shares, collectively. |
| Endurance Specialty Holdings Ltd., along with others in the industry, uses underwriting ratios as measures of performance. The loss ratio is the ratio of claims and claims adjustment expense to earned premiums. The acquisition expense ratio is the ratio of underwriting expenses (commissions, taxes, licenses and fees, as well as other underwriting expenses) to earned premiums. The general and administrative expense ratio is the ratio of general and administrative expenses to earned premiums. The combined ratio is the sum of the loss ratio, the acquisition expense ratio and the general and administrative expense ratio. These ratios are relative measurements that describe for every $100 of net premiums earned, the cost of losses and expenses, respectively. The combined ratio presents the total cost per $100 of earned premium. A combined ratio below 100% demonstrates underwriting profit; a combined ratio above 100% demonstrates underwriting loss. |
| NM Not meaningful. |
i
ENDURANCE SPECIALTY HOLDINGS LTD.
CORPORATE ORGANIZATION CHART
CORPORATE ORGANIZATION CHART
ii
ENDURANCE SPECIALTY HOLDINGS LTD.
CONSOLIDATED FINANCIAL HIGHLIGHTS
CONSOLIDATED FINANCIAL HIGHLIGHTS
QUARTER ENDED | SIX MONTHS ENDED | Previous | Previous | |||||||||||||||||||||
JUNE 30, | JUNE 30, | Quarter | Year to Date | |||||||||||||||||||||
2011 | 2010 | 2011 | 2010 | Change | Change | |||||||||||||||||||
HIGHLIGHTS |
||||||||||||||||||||||||
Net income (loss) |
$ | 41,077 | $ | 58,593 | $ | (46,340 | ) | $ | 114,382 | (29.9 | )% | (140.5 | )% | |||||||||||
Net income (loss) available (attributable) to common and participating common shareholders |
37,202 | 54,718 | (54,090 | ) | 106,632 | (32.0 | )% | (150.7 | )% | |||||||||||||||
Net income (loss) allocated to common shareholders |
36,492 | 53,598 | (54,606 | ) | 104,581 | (31.9 | )% | (152.2 | )% | |||||||||||||||
Operating income (loss) [a] |
24,473 | 57,715 | (72,170 | ) | 117,887 | (57.6 | )% | (161.2 | )% | |||||||||||||||
Operating income (loss) available (attributable) to common and participating common shareholders [a] |
20,598 | 53,840 | (79,920 | ) | 110,137 | (61.7 | )% | (172.6 | )% | |||||||||||||||
Operating income (loss) allocated to common
shareholders [a] |
20,199 | 52,738 | (80,436 | ) | 108,019 | (61.7 | )% | (174.5 | )% | |||||||||||||||
Operating cash flow |
106,970 | 88,464 | 288,252 | 216,174 | 20.9 | % | 33.3 | % | ||||||||||||||||
Net investment income |
39,842 | 33,351 | 92,343 | 89,830 | 19.5 | % | 2.8 | % | ||||||||||||||||
Gross premiums written |
502,924 | 489,568 | 1,503,282 | 1,308,437 | 2.7 | % | 14.9 | % | ||||||||||||||||
Net premiums written |
441,758 | 450,803 | 1,240,630 | 1,153,745 | (2.0 | )% | 7.5 | % | ||||||||||||||||
Net premiums earned |
486,578 | 456,395 | 869,411 | 821,584 | 6.6 | % | 5.8 | % | ||||||||||||||||
Total assets |
8,760,040 | 8,490,438 | 8,760,040 | 8,490,438 | 3.2 | % | 3.2 | % | ||||||||||||||||
Total shareholders equity |
2,670,276 | 2,844,105 | 2,670,276 | 2,844,105 | (6.1 | )% | (6.1 | )% | ||||||||||||||||
PER SHARE AND SHARES DATA |
||||||||||||||||||||||||
Basic earnings per common share |
||||||||||||||||||||||||
Net income (loss) (as reported) |
$ | 0.92 | $ | 1.02 | $ | (1.36 | ) | $ | 1.97 | (9.8 | )% | (169.0 | )% | |||||||||||
Operating income (loss) (as reported) [a] |
$ | 0.51 | $ | 1.00 | $ | (2.00 | ) | $ | 2.04 | (49.0 | )% | (198.0 | )% | |||||||||||
Diluted earnings (losses) per common share |
||||||||||||||||||||||||
Net income (loss) (as reported) |
$ | 0.87 | $ | 0.97 | $ | (1.36 | ) | $ | 1.88 | (10.3 | )% | (172.3 | )% | |||||||||||
Operating income (loss) (as reported) [a] |
$ | 0.48 | $ | 0.96 | $ | (2.00 | ) | $ | 1.94 | (50.0 | )% | (203.1 | )% | |||||||||||
As Reported |
||||||||||||||||||||||||
Weighted average common shares outstanding |
39,710 | 52,509 | 40,227 | 52,958 | (24.4 | )% | (24.0 | )% | ||||||||||||||||
Weighted average common shares outstanding
and dilutive potential common shares |
42,156 | 55,210 | 40,227 | 55,765 | (23.6 | )% | (27.9 | )% | ||||||||||||||||
Book Value Per
Common Share |
||||||||||||||||||||||||
Book value [b] |
$ | 56.35 | $ | 51.17 | $ | 56.35 | $ | 51.17 | 10.1 | % | 10.1 | % | ||||||||||||
Diluted book value (treasury stock method) [b] |
$ | 52.20 | $ | 47.78 | $ | 52.20 | $ | 47.78 | 9.3 | % | 9.3 | % | ||||||||||||
FINANCIAL RATIOS |
||||||||||||||||||||||||
Return on average common equity (ROAE), net income
(loss) [c] |
1.7 | % | 2.1 | % | (2.2 | )% | 4.1 | % | (0.4 | ) | (6.3 | ) | ||||||||||||
ROAE, operating income (loss) [a] [c] |
0.9 | % | 2.0 | % | (3.3 | )% | 4.2 | % | (1.1 | ) | (7.5 | ) | ||||||||||||
Return on beg. common equity (ROBE), net income
(loss) [d] |
1.7 | % | 2.1 | % | (2.0 | )% | 4.1 | % | (0.4 | ) | (6.1 | ) | ||||||||||||
ROBE, operating income (loss) [a] [d] |
0.9 | % | 2.1 | % | (3.0 | )% | 4.3 | % | (1.2 | ) | (7.3 | ) | ||||||||||||
Annualized ROAE, net income (loss) [c] |
6.7 | % | 8.3 | % | (4.4 | )% | 8.2 | % | (1.6 | ) | (12.6 | ) | ||||||||||||
Annualized ROAE, operating income (loss) [a] [c] |
3.7 | % | 8.2 | % | (6.5 | )% | 8.4 | % | (4.5 | ) | (14.9 | ) | ||||||||||||
Annualized ROBE, net income (loss) [d] |
6.7 | % | 8.4 | % | (4.1 | )% | 8.2 | % | (1.7 | ) | (12.3 | ) | ||||||||||||
Annualized ROBE, operating income (loss) [a] [d] |
3.7 | % | 8.2 | % | (6.0 | )% | 8.5 | % | (4.5 | ) | (14.5 | ) | ||||||||||||
Annualized investment yield |
2.6 | % | 2.2 | % | 3.0 | % | 3.0 | % | 0.4 | 0.0 | ||||||||||||||
GAAP |
||||||||||||||||||||||||
Loss ratio |
74.4 | % | 64.2 | % | 87.9 | % | 64.0 | % | 10.2 | 23.9 | ||||||||||||||
Acquisition expense ratio |
14.0 | % | 14.6 | % | 15.4 | % | 15.9 | % | (0.6 | ) | (0.5 | ) | ||||||||||||
General and administrative expense ratio |
13.5 | % | 12.2 | % | 15.1 | % | 13.9 | % | 1.3 | 1.2 | ||||||||||||||
Combined ratio |
101.9 | % | 91.0 | % | 118.4 | % | 93.8 | % | 10.9 | 24.6 | ||||||||||||||
[a] | Operating income (loss) represents after-tax operational results excluding, as applicable, after-tax net realized capital gains or losses and after-tax net foreign exchange gains or losses. Please see page 31 for a reconciliation to net income (loss). | |
[b] | For detailed calculations, please refer to page 33. | |
[c] | Average common equity is calculated as the arithmetic average of the beginning and ending common equity balances for the stated periods, which excludes the liquidation value of the preferred shares (beginning liquidation value of $200 million, ending liquidation value of $430 million). | |
[d] | Beginning common equity for the stated periods excludes the $200 million liquidation value of the preferred shares. |
1
ENDURANCE SPECIALTY HOLDINGS LTD.
CONSOLIDATED STATEMENTS OF INCOME (LOSS) QUARTERLY
CONSOLIDATED STATEMENTS OF INCOME (LOSS) QUARTERLY
QUARTERS ENDED | ||||||||||||||||||||||||
JUNE 30, 2011 | MAR. 31, 2011 | DEC. 31, 2010 | SEPT. 30, 2010 | JUNE 30, 2010 | JUNE 30, 2009 | |||||||||||||||||||
UNDERWRITING REVENUES |
||||||||||||||||||||||||
Gross premiums written |
$ | 502,924 | $ | 1,000,358 | $ | 189,225 | $ | 555,574 | $ | 489,568 | $ | 559,155 | ||||||||||||
Premiums ceded |
(61,166 | ) | (201,486 | ) | (31,110 | ) | (103,690 | ) | (38,765 | ) | (79,128 | ) | ||||||||||||
Net premiums written |
$ | 441,758 | $ | 798,872 | $ | 158,115 | $ | 451,884 | $ | 450,803 | $ | 480,027 | ||||||||||||
Change in unearned premiums |
44,820 | (416,039 | ) | 291,621 | 17,909 | 5,592 | (45,807 | ) | ||||||||||||||||
Net premiums earned |
$ | 486,578 | $ | 382,833 | $ | 449,736 | $ | 469,793 | $ | 456,395 | $ | 434,220 | ||||||||||||
Other underwriting income (loss) |
1,088 | (1,069 | ) | 410 | 322 | (2,663 | ) | 596 | ||||||||||||||||
Total underwriting revenues |
$ | 487,666 | $ | 381,764 | $ | 450,146 | $ | 470,115 | $ | 453,732 | $ | 434,816 | ||||||||||||
UNDERWRITING EXPENSES |
||||||||||||||||||||||||
Losses and loss expenses |
$ | 361,970 | $ | 401,853 | $ | 246,424 | $ | 266,132 | $ | 292,947 | $ | 270,816 | ||||||||||||
Acquisition expenses |
67,887 | 65,618 | 66,133 | 67,443 | 66,708 | 63,850 | ||||||||||||||||||
General and administrative expenses |
65,886 | 65,961 | 67,756 | 59,523 | 55,676 | 54,529 | ||||||||||||||||||
Total underwriting expenses |
$ | 495,743 | $ | 533,432 | $ | 380,313 | $ | 393,098 | $ | 415,331 | $ | 389,195 | ||||||||||||
Underwriting (loss) income |
$ | (8,077 | ) | $ | (151,668 | ) | $ | 69,833 | $ | 77,017 | $ | 38,401 | $ | 45,621 | ||||||||||
OTHER OPERATING REVENUE |
||||||||||||||||||||||||
Net investment income |
$ | 39,842 | $ | 52,501 | $ | 56,874 | $ | 53,654 | $ | 33,351 | $ | 88,834 | ||||||||||||
Interest expense |
(9,057 | ) | (9,054 | ) | (9,053 | ) | (9,051 | ) | (9,050 | ) | (7,538 | ) | ||||||||||||
Amortization of intangibles |
(3,026 | ) | (2,798 | ) | (2,696 | ) | (2,588 | ) | (2,588 | ) | (2,588 | ) | ||||||||||||
Total other operating revenue |
$ | 27,759 | $ | 40,649 | $ | 45,125 | $ | 42,015 | $ | 21,713 | $ | 78,708 | ||||||||||||
INCOME (LOSS) BEFORE OTHER ITEMS |
$ | 19,682 | $ | (111,019 | ) | $ | 114,958 | $ | 119,032 | $ | 60,114 | $ | 124,329 | |||||||||||
OTHER |
||||||||||||||||||||||||
Net foreign exchange (losses) gains |
$ | (3,348 | ) | $ | 6,918 | $ | (3,476 | ) | $ | 12,565 | $ | (129 | ) | $ | 27,723 | |||||||||
Net realized and unrealized investment gains (losses) |
21,532 | 3,775 | 7,314 | 8,973 | 2,657 | (1,500 | ) | |||||||||||||||||
Total other-than-temporary impairment losses |
(484 | ) | (1,256 | ) | (48 | ) | (1,140 | ) | (738 | ) | (37,809 | ) | ||||||||||||
Portion of loss recognised in other comprehensive income |
(448 | ) | (391 | ) | (663 | ) | (240 | ) | (254 | ) | 31,165 | |||||||||||||
Net impairment losses recognised in earnings
(losses) [a] |
(932 | ) | (1,647 | ) | (711 | ) | (1,380 | ) | (992 | ) | (6,644 | ) | ||||||||||||
Income tax benefit (expense) |
4,143 | 14,556 | (6,857 | ) | (62 | ) | (3,057 | ) | 5,232 | |||||||||||||||
NET INCOME (LOSS) |
$ | 41,077 | $ | (87,417 | ) | $ | 111,228 | $ | 139,128 | $ | 58,593 | $ | 149,140 | |||||||||||
Preferred dividends |
(3,875 | ) | (3,875 | ) | (3,875 | ) | (3,875 | ) | (3,875 | ) | (3,875 | ) | ||||||||||||
NET INCOME (LOSS) AVAILABLE (ATTRIBUTABLE) TO COMMON AND
PARTICIPATING COMMON SHAREHOLDERS |
$ | 37,202 | $ | (91,292 | ) | $ | 107,353 | $ | 135,253 | $ | 54,718 | $ | 145,265 | |||||||||||
KEY RATIOS/PER SHARE DATA |
||||||||||||||||||||||||
Loss ratio |
74.4 | % | 105.0 | % | 54.8 | % | 56.6 | % | 64.2 | % | 62.4 | % | ||||||||||||
Acquisition expense ratio |
14.0 | % | 17.1 | % | 14.7 | % | 14.4 | % | 14.6 | % | 14.7 | % | ||||||||||||
General and administrative expense ratio |
13.5 | % | 17.2 | % | 15.1 | % | 12.7 | % | 12.2 | % | 12.5 | % | ||||||||||||
Combined ratio |
101.9 | % | 139.3 | % | 84.6 | % | 83.7 | % | 91.0 | % | 89.6 | % | ||||||||||||
Basic earnings (losses) per common share |
$ | 0.92 | $ | (2.25 | ) | $ | 2.22 | $ | 2.64 | $ | 1.02 | $ | 2.53 | |||||||||||
Diluted earnings (losses) per common share |
$ | 0.87 | $ | (2.25 | ) | $ | 2.09 | $ | 2.51 | $ | 0.97 | $ | 2.42 | |||||||||||
ROAE, net income (loss) [b] |
1.7 | % | (3.8 | )% | 4.0 | % | 5.0 | % | 2.1 | % | 6.7 | % |
[a] | Effective April 1, 2009, the Company adopted new accounting guidance related to the recognition and presentation of other-than-temporary impairments, which required the Company to identify whether an investment was in an unrealized loss position due to credit or non-credit related factors. Only credit related impairments are recognized in earnings. | |
[b] | Average common equity is calculated as the arithmetic average of the beginning and ending common equity balances for the stated periods, which excludes the liquidation value of the preferred shares (beginning liquidation value of $200 million, ending liquidation value of $430 million). |
2
ENDURANCE SPECIALTY HOLDINGS LTD.
CONSOLIDATED STATEMENTS OF (LOSS) INCOME YTD
CONSOLIDATED STATEMENTS OF (LOSS) INCOME YTD
SIX MONTHS ENDED | YEAR ENDED | |||||||||||||||||||
JUNE 30, 2011 | JUNE 30, 2010 | JUNE 30, 2009 | DEC. 31, 2010 | DEC. 31, 2009 | ||||||||||||||||
UNDERWRITING REVENUES |
||||||||||||||||||||
Gross premiums written |
$ | 1,503,282 | $ | 1,308,437 | $ | 1,342,461 | $ | 2,053,236 | $ | 2,021,450 | ||||||||||
Premiums ceded |
(262,652 | ) | (154,692 | ) | (279,519 | ) | (289,492 | ) | (415,400 | ) | ||||||||||
Net premiums written |
$ | 1,240,630 | $ | 1,153,745 | $ | 1,062,942 | $ | 1,763,744 | $ | 1,606,050 | ||||||||||
Change in unearned premiums |
(371,219 | ) | (332,161 | ) | (250,447 | ) | (22,631 | ) | 27,142 | |||||||||||
Net premiums earned |
$ | 869,411 | $ | 821,584 | $ | 812,495 | $ | 1,741,113 | $ | 1,633,192 | ||||||||||
Other underwriting income (loss) |
19 | (2,368 | ) | 4,193 | (1,636 | ) | 3,914 | |||||||||||||
Total underwriting revenues |
$ | 869,430 | $ | 819,216 | $ | 816,688 | $ | 1,739,477 | $ | 1,637,106 | ||||||||||
UNDERWRITING EXPENSES |
||||||||||||||||||||
Losses and loss expenses |
$ | 763,823 | $ | 525,544 | $ | 490,952 | $ | 1,038,100 | $ | 866,640 | ||||||||||
Acquisition expenses |
133,505 | 130,652 | 132,124 | 264,228 | 267,971 | |||||||||||||||
General and administrative expenses |
131,847 | 114,641 | 114,786 | 241,920 | 237,154 | |||||||||||||||
Total underwriting expenses |
$ | 1,029,175 | $ | 770,837 | $ | 737,862 | $ | 1,544,248 | $ | 1,371,765 | ||||||||||
Underwriting (loss) income |
$ | (159,745 | ) | $ | 48,379 | $ | 78,826 | $ | 195,229 | $ | 265,341 | |||||||||
OTHER OPERATING REVENUE |
||||||||||||||||||||
Net investment income |
$ | 92,343 | $ | 89,830 | $ | 153,384 | $ | 200,358 | $ | 284,200 | ||||||||||
Interest expense |
(18,111 | ) | (16,658 | ) | (15,093 | ) | (34,762 | ) | (30,174 | ) | ||||||||||
Amortization of intangibles |
(5,824 | ) | (5,176 | ) | (5,176 | ) | (10,460 | ) | (10,463 | ) | ||||||||||
Total other operating revenue |
$ | 68,408 | $ | 67,996 | $ | 133,115 | $ | 155,136 | $ | 243,563 | ||||||||||
(LOSS) INCOME BEFORE OTHER ITEMS |
$ | (91,337 | ) | $ | 116,375 | $ | 211,941 | $ | 350,365 | $ | 508,904 | |||||||||
OTHER |
||||||||||||||||||||
Net foreign exchange gains (losses) |
$ | 3,570 | $ | (6,100 | ) | $ | 27,785 | $ | 2,989 | $ | 29,740 | |||||||||
Net realized and unrealized investment gains |
25,307 | 6,201 | 1,741 | 22,488 | 6,303 | |||||||||||||||
Total other-than-temporary impairment losses |
(1,740 | ) | (1,507 | ) | (49,935 | ) | (2,695 | ) | (50,993 | ) | ||||||||||
Portion of loss recognised in other comprehensive income |
(839 | ) | (346 | ) | 31,165 | (1,249 | ) | 30,742 | ||||||||||||
Net impairment losses recognised in (losses) earnings [a] |
(2,579 | ) | (1,853 | ) | (18,770 | ) | (3,944 | ) | (20,251 | ) | ||||||||||
Income tax benefit (expense) |
18,699 | (241 | ) | 4,740 | (7,160 | ) | 11,408 | |||||||||||||
NET (LOSS) INCOME |
$ | (46,340 | ) | $ | 114,382 | $ | 227,437 | $ | 364,738 | $ | 536,104 | |||||||||
Preferred dividends |
(7,750 | ) | (7,750 | ) | (7,750 | ) | (15,500 | ) | (15,500 | ) | ||||||||||
NET (LOSS) INCOME (ATTRIBUTABLE) AVAILABLE TO
COMMON AND PARTICIPATING COMMON SHAREHOLDERS |
$ | (54,090 | ) | $ | 106,632 | $ | 219,687 | $ | 349,238 | $ | 520,604 | |||||||||
KEY RATIOS/PER SHARE DATA |
||||||||||||||||||||
Loss ratio |
87.9 | % | 64.0 | % | 60.4 | % | 59.6 | % | 53.1 | % | ||||||||||
Acquisition expense ratio |
15.4 | % | 15.9 | % | 16.3 | % | 15.2 | % | 16.4 | % | ||||||||||
General and administrative expense ratio |
15.1 | % | 13.9 | % | 14.1 | % | 13.9 | % | 14.5 | % | ||||||||||
Combined ratio |
118.4 | % | 93.8 | % | 90.8 | % | 88.7 | % | 84.0 | % | ||||||||||
Basic (losses) earnings per common share |
$ | (1.36 | ) | $ | 1.97 | $ | 3.83 | $ | 6.73 | $ | 9.14 | |||||||||
Diluted (losses) earnings per common share |
$ | (1.36 | ) | $ | 1.88 | $ | 3.65 | $ | 6.38 | $ | 8.69 | |||||||||
ROAE, net (loss) income [b] |
(2.2 | )% | 4.1 | % | 10.3 | % | 13.3 | % | 22.7 | % |
[a] | Effective April 1, 2009, the Company adopted new accounting guidance related to the recognition and presentation of other-than-temporary impairments, which required the Company to identify whether an investment was in an unrealized loss position due to credit or non-credit related factors. Only credit related impairments are recognized in earnings. | |
[b] | Average common equity is calculated as the arithmetic average of the beginning and ending common equity balances for the stated periods, which excludes the liquidation value of the preferred shares (beginning liquidation value of $200 million, ending liquidation value of $430 million). |
3
ENDURANCE SPECIALTY HOLDINGS LTD.
CONSOLIDATED BALANCE SHEETS
CONSOLIDATED BALANCE SHEETS
JUNE 30, 2011 | MAR. 31, 2011 | DEC. 31, 2010 | SEPT. 30, 2010 | JUNE 30, 2010 | MAR. 31, 2010 | |||||||||||||||||||
ASSETS |
||||||||||||||||||||||||
Cash and cash equivalents |
$ | 750,844 | $ | 568,770 | $ | 609,852 | $ | 600,227 | $ | 690,761 | $ | 668,049 | ||||||||||||
Fixed maturity investments available for sale, at fair value |
4,961,948 | 5,014,226 | 5,116,702 | 5,063,873 | 4,908,774 | 4,793,451 | ||||||||||||||||||
Short term investments available for sale, at fair value |
303,895 | 48,186 | 70,444 | 326,846 | 272,706 | 389,937 | ||||||||||||||||||
Equity securities available for sale, at fair value |
32,322 | 25,333 | 13,565 | 12,773 | 11,952 | 12,329 | ||||||||||||||||||
Other investments |
395,078 | 401,450 | 376,652 | 360,629 | 346,938 | 368,035 | ||||||||||||||||||
Premiums receivable, net |
1,154,480 | 1,049,129 | 827,609 | 1,039,689 | 1,086,818 | 935,244 | ||||||||||||||||||
Deferred acquisition costs |
182,870 | 178,486 | 154,484 | 192,194 | 175,479 | 163,639 | ||||||||||||||||||
Securities lending collateral |
84,652 | 72,657 | 59,886 | 127,680 | 281,391 | 128,299 | ||||||||||||||||||
Prepaid reinsurance premiums |
198,708 | 248,275 | 107,977 | 160,070 | 143,438 | 179,603 | ||||||||||||||||||
Losses recoverable |
369,081 | 340,908 | 319,349 | 324,757 | 247,888 | 246,583 | ||||||||||||||||||
Accrued investment income |
31,189 | 29,164 | 32,934 | 32,315 | 30,880 | 28,746 | ||||||||||||||||||
Goodwill and intangible assets |
186,835 | 189,501 | 181,954 | 184,543 | 186,657 | 189,246 | ||||||||||||||||||
Deferred tax assets |
38,144 | 49,370 | 33,684 | 29,130 | 25,941 | 30,502 | ||||||||||||||||||
Receivable on pending investment sales |
3,685 | 128,867 | 602 | 372 | 1,935 | 8,859 | ||||||||||||||||||
Other assets |
66,309 | 71,859 | 73,711 | 80,139 | 78,880 | 54,031 | ||||||||||||||||||
TOTAL ASSETS |
$ | 8,760,040 | $ | 8,416,181 | $ | 7,979,405 | $ | 8,535,237 | $ | 8,490,438 | $ | 8,196,553 | ||||||||||||
LIABILITIES |
||||||||||||||||||||||||
Reserve for losses and loss expenses |
$ | 3,748,124 | $ | 3,566,198 | $ | 3,319,927 | $ | 3,401,312 | $ | 3,274,637 | $ | 3,138,905 | ||||||||||||
Reserve for unearned premiums |
1,304,146 | 1,398,610 | 842,154 | 1,186,001 | 1,186,857 | 1,228,559 | ||||||||||||||||||
Deposit liabilities |
30,300 | 32,768 | 32,505 | 36,952 | 39,641 | 39,729 | ||||||||||||||||||
Reinsurance balances payable |
209,548 | 143,305 | 228,860 | 209,651 | 209,533 | 153,174 | ||||||||||||||||||
Securities lending payable |
84,652 | 72,657 | 59,886 | 127,681 | 281,391 | 128,265 | ||||||||||||||||||
Debt |
528,540 | 528,569 | 528,411 | 528,425 | 528,363 | 528,357 | ||||||||||||||||||
Payable on pending investment purchases |
80,532 | 164,744 | | 17,042 | 39,906 | 79,245 | ||||||||||||||||||
Other liabilities |
103,922 | 101,066 | 119,509 | 108,488 | 86,005 | 79,232 | ||||||||||||||||||
TOTAL LIABILITIES |
$ | 6,089,764 | $ | 6,007,917 | $ | 5,131,252 | $ | 5,615,552 | $ | 5,646,333 | $ | 5,375,466 | ||||||||||||
SHAREHOLDERS EQUITY |
||||||||||||||||||||||||
Preferred shares |
||||||||||||||||||||||||
Series A, non-cumulative |
$ | 8,000 | $ | 8,000 | $ | 8,000 | $ | 8,000 | $ | 8,000 | $ | 8,000 | ||||||||||||
Series B, non-cumulative |
9,200 | | | | | | ||||||||||||||||||
Common shares |
40,509 | 40,325 | 47,218 | 49,685 | 52,664 | 54,230 | ||||||||||||||||||
Additional paid-in capital |
509,165 | 289,920 | 613,915 | 715,834 | 822,572 | 882,684 | ||||||||||||||||||
Accumulated other comprehensive income |
141,140 | 132,806 | 138,571 | 201,172 | 138,605 | 95,413 | ||||||||||||||||||
Retained earnings |
1,962,262 | 1,937,213 | 2,040,449 | 1,944,994 | 1,822,264 | 1,780,760 | ||||||||||||||||||
TOTAL SHAREHOLDERS EQUITY |
$ | 2,670,276 | $ | 2,408,264 | $ | 2,848,153 | $ | 2,919,685 | $ | 2,844,105 | $ | 2,821,087 | ||||||||||||
TOTAL LIABILITIES AND SHAREHOLDERS EQUITY |
$ | 8,760,040 | $ | 8,416,181 | $ | 7,979,405 | $ | 8,535,237 | $ | 8,490,438 | $ | 8,196,553 | ||||||||||||
Book value per common share |
$ | 56.35 | $ | 55.91 | $ | 57.25 | $ | 55.83 | $ | 51.17 | $ | 49.44 | ||||||||||||
Diluted book value per common share (treasury stock method) |
$ | 52.20 | $ | 51.52 | $ | 52.74 | $ | 51.83 | $ | 47.78 | $ | 45.89 | ||||||||||||
RATIOS |
||||||||||||||||||||||||
Debt-to-capital |
16.5 | % | 18.0 | % | 15.6 | % | 15.3 | % | 15.7 | % | 15.8 | % |
4
ENDURANCE SPECIALTY HOLDINGS LTD.
Probable Maximum Loss by Zone and Peril
(in millions of dollars)
(in millions of dollars)
Largest 1 in 100 year PML as of January 1 , 2011 is equal to 21.2% of Shareholders Equity as of June 30, 2011
Estimated Occurrence Net Loss as of Jan. 1, 2011 | July 1, 2010 | July 1, 2009 | ||||||||||||||||||||||||||||||||
10 Year | 25 Year | 50 Year | 100 Year | 250 Year | 100 Year | 100 Year | ||||||||||||||||||||||||||||
Return | Return | Return | Return | Return | Return | Return | ||||||||||||||||||||||||||||
Zone | Peril | Period | Period | Period | Period | Period | Period | Period | ||||||||||||||||||||||||||
United States |
Hurricane | $ | 203 | $ | 336 | $ | 446 | $ | 567 | $ | 745 | $ | 578 | $ | 551 | |||||||||||||||||||
Europe |
Windstorm | 79 | 213 | 334 | 463 | 620 | 427 | 421 | ||||||||||||||||||||||||||
California |
Earthquake | 37 | 190 | 323 | 456 | 643 | 439 | 369 | ||||||||||||||||||||||||||
Japan |
Windstorm | 56 | 166 | 269 | 363 | 454 | 369 | 242 | ||||||||||||||||||||||||||
Northwest U.S. |
Earthquake | 0 | 10 | 82 | 238 | 474 | 239 | 204 | ||||||||||||||||||||||||||
Japan |
Earthquake | 8 | 46 | 95 | 143 | 212 | 137 | 139 | ||||||||||||||||||||||||||
United States |
Tornado/Hail | 27 | 47 | 65 | 84 | 111 | 80 | 71 | ||||||||||||||||||||||||||
Australia |
Earthquake | 0 | 4 | 23 | 71 | 170 | 54 | 34 | ||||||||||||||||||||||||||
New Zealand |
Earthquake | 0 | 3 | 15 | 44 | 89 | 39 | 32 | ||||||||||||||||||||||||||
Australia |
Windstorm | 1 | 6 | 17 | 36 | 68 | 28 | 24 | ||||||||||||||||||||||||||
New Madrid |
Earthquake | 0 | 0 | 0 | 12 | 109 | 12 | 14 |
The net loss estimates by zone above represent estimated losses related to our property, catastrophe
and aerospace and marine lines of business, based upon our catastrophe models and assumptions regarding the location, size,
magnitude, and frequency of the catastrophe events utilized to determine the above estimates. The net loss estimates are presented on an occurrence basis,
before income tax and net of reinstatement premiums and reinsurance recoveries, if applicable. Return period refers to the frequency with which the related size
of a catastrophic event is expected to occur.
Actual realized catastrophic losses could differ materially from our net loss estimates and our net loss estimates should not be
considered as representative of the actual losses that we may incur in connection with any particular catastrophic event.
The net loss estimates above rely significantly on computer models created to simulate the effect of catastrophes on insured properties based upon data
emanating from past catastrophic events. Since comprehensive data collection regarding insured losses from catastrophe events is a relatively recent development in the insurance industry, the data upon which
catastrophe models is based is limited, which has the potential to introduce inaccuracies into estimates of losses from catastrophic events, in particular those that occur infrequently. In addition, catastrophe
models are significantly influenced by management's assumptions regarding event characteristics, construction of insured property and the cost and duration of rebuilding after the catastrophe.
Lastly, changes in Endurance's underwriting portfolio risk control mechanisms and other factors, either before or after the date of the above net loss estimates, may also cause actual results
to vary considerably from the net loss estimates above. For a listing of risks related to Endurance and its future performance, please see "Risk Factors" in our Annual Report on Form 10-K, as amended, for the year ended December 31, 2010 and on Form
10-Q for the quarter ended March 31, 2011.
5
ENDURANCE SPECIALTY HOLDINGS LTD.
SEGMENT DISTRIBUTION
FOR THE SIX MONTHS ENDED JUNE 30, 2011
SEGMENT DISTRIBUTION
FOR THE SIX MONTHS ENDED JUNE 30, 2011
Net Premiums Written = $1,241 million
[a] | Other specialty includes the agriculture line in the Insurance segment and aerospace and marine and surety and other specialty lines in the Reinsurance segment. |
6
ENDURANCE SPECIALTY HOLDINGS LTD.
CONSOLIDATED SEGMENT DATA
CONSOLIDATED SEGMENT DATA
FOR THE QUARTERS ENDED | ||||||||||||||||||||||||
JUNE 30, 2011 | JUNE 30, 2010 | |||||||||||||||||||||||
Insurance | Reinsurance | Totals | Insurance | Reinsurance | Totals | |||||||||||||||||||
UNDERWRITING REVENUES |
||||||||||||||||||||||||
Gross premiums written |
$ | 225,750 | $ | 277,174 | $ | 502,924 | $ | 231,626 | $ | 257,942 | $ | 489,568 | ||||||||||||
Net premiums written |
$ | 173,506 | $ | 268,252 | $ | 441,758 | $ | 194,987 | $ | 255,816 | $ | 450,803 | ||||||||||||
Net premiums earned |
$ | 249,397 | $ | 237,181 | $ | 486,578 | $ | 227,858 | $ | 228,537 | $ | 456,395 | ||||||||||||
Other underwriting income (loss) |
| 1,088 | 1,088 | | (2,663 | ) | (2,663 | ) | ||||||||||||||||
Total underwriting revenues |
$ | 249,397 | $ | 238,269 | $ | 487,666 | $ | 227,858 | $ | 225,874 | $ | 453,732 | ||||||||||||
UNDERWRITING EXPENSES |
||||||||||||||||||||||||
Losses and loss expenses |
$ | 191,396 | $ | 170,574 | $ | 361,970 | $ | 170,773 | $ | 122,174 | $ | 292,947 | ||||||||||||
Acquisition expenses |
15,861 | 52,026 | 67,887 | 16,554 | 50,154 | 66,708 | ||||||||||||||||||
General and administrative expenses |
36,227 | 29,659 | 65,886 | 27,146 | 28,530 | 55,676 | ||||||||||||||||||
Total expenses |
$ | 243,484 | $ | 252,259 | $ | 495,743 | $ | 214,473 | $ | 200,858 | $ | 415,331 | ||||||||||||
UNDERWRITING INCOME (LOSS) |
$ | 5,913 | $ | (13,990 | ) | $ | (8,077 | ) | $ | 13,385 | $ | 25,016 | $ | 38,401 | ||||||||||
GAAP RATIOS |
||||||||||||||||||||||||
Loss ratio |
76.7 | % | 71.9 | % | 74.4 | % | 74.9 | % | 53.5 | % | 64.2 | % | ||||||||||||
Acquisition expense ratio |
6.4 | % | 22.0 | % | 14.0 | % | 7.3 | % | 21.9 | % | 14.6 | % | ||||||||||||
General and administrative expense ratio |
14.5 | % | 12.5 | % | 13.5 | % | 11.9 | % | 12.5 | % | 12.2 | % | ||||||||||||
Combined ratio AS REPORTED |
97.6 | % | 106.4 | % | 101.9 | % | 94.1 | % | 87.9 | % | 91.0 | % | ||||||||||||
Effect of favorable prior accident year reserve development |
9.3 | % | 9.1 | % | 9.2 | % | 3.6 | % | 9.4 | % | 6.5 | % | ||||||||||||
Combined ratio net of prior accident year reserve development |
106.9 | % | 115.5 | % | 111.1 | % | 97.7 | % | 97.3 | % | 97.5 | % | ||||||||||||
7
ENDURANCE SPECIALTY HOLDINGS LTD.
INSURANCE SEGMENT DATA
INSURANCE SEGMENT DATA
FOR THE QUARTERS ENDED | ||||||||||||||||||||||||
JUNE 30, 2011 | MAR. 31, 2011 | DEC. 31, 2010 | SEPT. 30, 2010 | JUNE 30, 2010 | JUNE 30, 2009 | |||||||||||||||||||
UNDERWRITING REVENUES |
||||||||||||||||||||||||
Gross premiums written |
$ | 225,750 | $ | 625,831 | $ | 112,664 | $ | 303,561 | $ | 231,626 | $ | 230,792 | ||||||||||||
Net premiums written |
$ | 173,506 | $ | 432,296 | $ | 81,643 | $ | 204,293 | $ | 194,987 | $ | 153,762 | ||||||||||||
Net premiums earned |
$ | 249,397 | $ | 162,492 | $ | 205,528 | $ | 242,766 | $ | 227,858 | $ | 223,588 | ||||||||||||
Other underwriting income |
| | 4 | 473 | | 103 | ||||||||||||||||||
Total underwriting revenues |
$ | 249,397 | $ | 162,492 | $ | 205,532 | $ | 243,239 | $ | 227,858 | $ | 223,691 | ||||||||||||
UNDERWRITING EXPENSES |
||||||||||||||||||||||||
Losses and loss expenses |
$ | 191,396 | $ | 98,836 | $ | 129,168 | $ | 172,015 | $ | 170,773 | $ | 166,046 | ||||||||||||
Acquisition expenses |
15,861 | 16,308 | 12,220 | 17,356 | 16,554 | 20,855 | ||||||||||||||||||
General and administrative expenses |
36,227 | 36,806 | 36,812 | 29,256 | 27,146 | 25,179 | ||||||||||||||||||
Total expenses |
$ | 243,484 | $ | 151,950 | $ | 178,200 | $ | 218,627 | $ | 214,473 | $ | 212,080 | ||||||||||||
UNDERWRITING INCOME |
$ | 5,913 | $ | 10,542 | $ | 27,332 | $ | 24,612 | $ | 13,385 | $ | 11,611 | ||||||||||||
GAAP RATIOS |
||||||||||||||||||||||||
Loss ratio |
76.7 | % | 60.8 | % | 62.9 | % | 70.9 | % | 74.9 | % | 74.3 | % | ||||||||||||
Acquisition expense ratio |
6.4 | % | 10.0 | % | 5.9 | % | 7.1 | % | 7.3 | % | 9.3 | % | ||||||||||||
General and administrative expense ratio |
14.5 | % | 22.7 | % | 17.9 | % | 12.1 | % | 11.9 | % | 11.3 | % | ||||||||||||
Combined ratio AS REPORTED |
97.6 | % | 93.5 | % | 86.7 | % | 90.1 | % | 94.1 | % | 94.9 | % | ||||||||||||
Effect of favorable prior accident year reserve development |
9.3 | % | 21.3 | % | 5.6 | % | 3.9 | % | 3.6 | % | 8.9 | % | ||||||||||||
Combined ratio net of prior accident year reserve development |
106.9 | % | 114.8 | % | 92.3 | % | 94.0 | % | 97.7 | % | 103.8 | % | ||||||||||||
8
ENDURANCE SPECIALTY HOLDINGS LTD.
REINSURANCE SEGMENT DATA
REINSURANCE SEGMENT DATA
FOR THE QUARTERS ENDED | ||||||||||||||||||||||||
JUNE 30, 2011 | MAR. 31, 2011 | DEC. 31, 2010 | SEPT. 30, 2010 | JUNE 30, 2010 | JUNE 30, 2009 | |||||||||||||||||||
UNDERWRITING REVENUES |
||||||||||||||||||||||||
Gross premiums written |
$ | 277,174 | $ | 374,527 | $ | 76,561 | $ | 252,013 | $ | 257,942 | $ | 328,363 | ||||||||||||
Net premiums written |
$ | 268,252 | $ | 366,576 | $ | 76,472 | $ | 247,591 | $ | 255,816 | $ | 326,265 | ||||||||||||
Net premiums earned |
$ | 237,181 | $ | 220,341 | $ | 244,208 | $ | 227,027 | $ | 228,537 | $ | 210,632 | ||||||||||||
Other underwriting income (loss) |
1,088 | (1,069 | ) | 406 | (151 | ) | (2,663 | ) | 493 | |||||||||||||||
Total underwriting revenues |
$ | 238,269 | $ | 219,272 | $ | 244,614 | $ | 226,876 | $ | 225,874 | $ | 211,125 | ||||||||||||
UNDERWRITING EXPENSES |
||||||||||||||||||||||||
Losses and loss expenses |
$ | 170,574 | $ | 303,017 | $ | 117,256 | $ | 94,117 | $ | 122,174 | $ | 104,770 | ||||||||||||
Acquisition expenses |
52,026 | 49,310 | 53,913 | 50,087 | 50,154 | 42,995 | ||||||||||||||||||
General and administrative expenses |
29,659 | 29,155 | 30,944 | 30,267 | 28,530 | 29,350 | ||||||||||||||||||
Total expenses |
$ | 252,259 | $ | 381,482 | $ | 202,113 | $ | 174,471 | $ | 200,858 | $ | 177,115 | ||||||||||||
UNDERWRITING (LOSS) INCOME |
$ | (13,990 | ) | $ | (162,210 | ) | $ | 42,501 | $ | 52,405 | $ | 25,016 | $ | 34,010 | ||||||||||
GAAP RATIOS |
||||||||||||||||||||||||
Loss ratio |
71.9 | % | 137.5 | % | 48.0 | % | 41.5 | % | 53.5 | % | 49.8 | % | ||||||||||||
Acquisition expense ratio |
22.0 | % | 22.4 | % | 22.1 | % | 22.1 | % | 21.9 | % | 20.4 | % | ||||||||||||
General and administrative expense ratio |
12.5 | % | 13.2 | % | 12.7 | % | 13.3 | % | 12.5 | % | 13.9 | % | ||||||||||||
Combined ratio AS REPORTED |
106.4 | % | 173.1 | % | 82.8 | % | 76.9 | % | 87.9 | % | 84.1 | % | ||||||||||||
Effect of favorable prior accident year reserve development |
9.1 | % | 6.4 | % | 4.9 | % | 11.3 | % | 9.4 | % | 7.7 | % | ||||||||||||
Combined ratio net of prior accident year reserve development |
115.5 | % | 179.5 | % | 87.7 | % | 88.2 | % | 97.3 | % | 91.8 | % | ||||||||||||
9
ENDURANCE SPECIALTY HOLDINGS LTD.
SEGMENT GROSS PREMIUMS WRITTEN BY LINE OF BUSINESS
SEGMENT GROSS PREMIUMS WRITTEN BY LINE OF BUSINESS
FOR THE QUARTERS ENDED | ||||||||||||||||||||||||
JUNE 30, 2011 | MAR. 31, 2011 | DEC. 31, 2010 | SEPT. 30, 2010 | JUNE 30, 2010 | JUNE 30, 2009 | |||||||||||||||||||
INSURANCE SEGMENT |
||||||||||||||||||||||||
Agriculture |
$ | 57,125 | $ | 508,705 | $ | 6,930 | $ | 156,162 | $ | 54,170 | $ | 56,235 | ||||||||||||
Professional lines |
49,181 | 35,469 | 36,690 | 43,381 | 56,567 | 62,079 | ||||||||||||||||||
Casualty |
63,178 | 38,882 | 37,377 | 40,538 | 55,406 | 50,605 | ||||||||||||||||||
Property |
35,904 | 24,690 | 22,134 | 30,295 | 43,158 | 40,084 | ||||||||||||||||||
Healthcare liability |
20,454 | 18,137 | 10,811 | 34,024 | 22,442 | 23,202 | ||||||||||||||||||
Workers compensation |
(92 | ) | (52 | ) | (1,278 | ) | (839 | ) | (117 | ) | (1,413 | ) | ||||||||||||
TOTAL INSURANCE |
$ | 225,750 | $ | 625,831 | $ | 112,664 | $ | 303,561 | $ | 231,626 | $ | 230,792 | ||||||||||||
REINSURANCE SEGMENT |
||||||||||||||||||||||||
Catastrophe |
$ | 146,249 | $ | 138,247 | $ | 17,896 | $ | 45,513 | $ | 123,808 | $ | 148,380 | ||||||||||||
Casualty |
45,619 | 116,352 | 47,970 | 81,167 | 56,919 | 83,813 | ||||||||||||||||||
Property |
52,185 | 70,087 | 8,628 | 111,395 | 39,999 | 55,245 | ||||||||||||||||||
Aerospace and Marine |
26,743 | 20,838 | 2,380 | 4,184 | 24,131 | 23,568 | ||||||||||||||||||
Surety and other specialty |
6,378 | 29,003 | (313 | ) | 9,754 | 13,085 | 17,357 | |||||||||||||||||
TOTAL REINSURANCE |
$ | 277,174 | $ | 374,527 | $ | 76,561 | $ | 252,013 | $ | 257,942 | $ | 328,363 | ||||||||||||
REPORTED TOTALS |
$ | 502,924 | $ | 1,000,358 | $ | 189,225 | $ | 555,574 | $ | 489,568 | $ | 559,155 | ||||||||||||
10
ENDURANCE SPECIALTY HOLDINGS LTD.
SEGMENT NET PREMIUMS WRITTEN BY LINE OF BUSINESS
SEGMENT NET PREMIUMS WRITTEN BY LINE OF BUSINESS
FOR THE QUARTERS ENDED | ||||||||||||||||||||||||
JUNE 30, 2011 | MAR. 31, 2011 | DEC. 31, 2010 | SEPT. 30, 2010 | JUNE 30, 2010 | JUNE 30, 2009 | |||||||||||||||||||
INSURANCE SEGMENT |
||||||||||||||||||||||||
Agriculture |
$ | 46,049 | $ | 346,472 | $ | 2,372 | $ | 89,119 | $ | 45,169 | $ | 28,713 | ||||||||||||
Professional lines |
37,624 | 31,124 | 33,171 | 38,522 | 49,422 | 54,370 | ||||||||||||||||||
Casualty |
43,811 | 25,759 | 25,536 | 23,700 | 37,527 | 28,291 | ||||||||||||||||||
Property |
25,996 | 12,585 | 11,895 | 21,366 | 40,950 | 22,125 | ||||||||||||||||||
Healthcare liability |
20,115 | 16,406 | 9,946 | 32,393 | 22,031 | 22,871 | ||||||||||||||||||
Workers compensation |
(89 | ) | (50 | ) | (1,277 | ) | (807 | ) | (112 | ) | (2,608 | ) | ||||||||||||
TOTAL INSURANCE |
$ | 173,506 | $ | 432,296 | $ | 81,643 | $ | 204,293 | $ | 194,987 | $ | 153,762 | ||||||||||||
REINSURANCE SEGMENT |
||||||||||||||||||||||||
Catastrophe |
$ | 139,337 | $ | 131,123 | $ | 17,896 | $ | 41,154 | $ | 123,808 | $ | 148,380 | ||||||||||||
Casualty |
45,617 | 115,554 | 47,965 | 81,163 | 56,831 | 83,805 | ||||||||||||||||||
Property |
52,185 | 70,087 | 8,628 | 111,395 | 39,999 | 55,245 | ||||||||||||||||||
Aerospace and Marine |
24,726 | 20,839 | 2,380 | 4,184 | 22,101 | 21,540 | ||||||||||||||||||
Surety and other specialty |
6,387 | 28,973 | (397 | ) | 9,695 | 13,077 | 17,295 | |||||||||||||||||
TOTAL REINSURANCE |
$ | 268,252 | $ | 366,576 | $ | 76,472 | $ | 247,591 | $ | 255,816 | $ | 326,265 | ||||||||||||
REPORTED TOTALS |
$ | 441,758 | $ | 798,872 | $ | 158,115 | $ | 451,884 | $ | 450,803 | $ | 480,027 | ||||||||||||
11
ENDURANCE SPECIALTY HOLDINGS LTD.
SEGMENT NET PREMIUMS EARNED BY LINE OF BUSINESS
SEGMENT NET PREMIUMS EARNED BY LINE OF BUSINESS
FOR THE QUARTERS ENDED | ||||||||||||||||||||||||
JUNE 30, 2011 | MAR. 31, 2011 | DEC. 31, 2010 | SEPT. 30, 2010 | JUNE 30, 2010 | JUNE 30, 2009 | |||||||||||||||||||
INSURANCE SEGMENT |
||||||||||||||||||||||||
Agriculture |
$ | 142,952 | $ | 59,808 | $ | 100,177 | $ | 134,864 | $ | 115,990 | $ | 93,806 | ||||||||||||
Professional lines |
37,788 | 36,175 | 37,167 | 38,085 | 39,626 | 42,473 | ||||||||||||||||||
Casualty |
28,735 | 29,742 | 28,415 | 25,682 | 26,315 | 19,694 | ||||||||||||||||||
Property |
19,566 | 16,593 | 20,362 | 24,000 | 26,153 | 20,677 | ||||||||||||||||||
Healthcare liability |
20,445 | 20,224 | 20,684 | 20,942 | 19,886 | 19,940 | ||||||||||||||||||
Workers compensation |
(89 | ) | (50 | ) | (1,277 | ) | (807 | ) | (112 | ) | 26,998 | |||||||||||||
TOTAL INSURANCE |
$ | 249,397 | $ | 162,492 | $ | 205,528 | $ | 242,766 | $ | 227,858 | $ | 223,588 | ||||||||||||
REINSURANCE SEGMENT |
||||||||||||||||||||||||
Catastrophe |
$ | 81,747 | $ | 76,335 | $ | 79,617 | $ | 74,675 | $ | 79,528 | $ | 77,987 | ||||||||||||
Casualty |
70,441 | 64,953 | 74,702 | 71,844 | 64,906 | 49,949 | ||||||||||||||||||
Property |
58,643 | 52,452 | 64,229 | 56,975 | 56,646 | 55,021 | ||||||||||||||||||
Aerospace and Marine |
13,154 | 13,587 | 11,312 | 8,602 | 12,751 | 11,789 | ||||||||||||||||||
Surety and other specialty |
13,196 | 13,014 | 14,348 | 14,931 | 14,706 | 15,886 | ||||||||||||||||||
TOTAL REINSURANCE |
$ | 237,181 | $ | 220,341 | $ | 244,208 | $ | 227,027 | $ | 228,537 | $ | 210,632 | ||||||||||||
REPORTED TOTALS |
$ | 486,578 | $ | 382,833 | $ | 449,736 | $ | 469,793 | $ | 456,395 | $ | 434,220 | ||||||||||||
12
ENDURANCE SPECIALTY HOLDINGS LTD.
CONSOLIDATED SEGMENT DATA
CONSOLIDATED SEGMENT DATA
FOR THE SIX MONTHS ENDED | ||||||||||||||||||||||||
JUNE 30, 2011 | JUNE 30, 2010 | |||||||||||||||||||||||
Insurance | Reinsurance | Totals | Insurance | Reinsurance | Totals | |||||||||||||||||||
UNDERWRITING REVENUES |
||||||||||||||||||||||||
Gross premiums written |
$ | 851,581 | $ | 651,701 | $ | 1,503,282 | $ | 695,967 | $ | 612,470 | $ | 1,308,437 | ||||||||||||
Net premiums written |
$ | 605,802 | $ | 634,828 | $ | 1,240,630 | $ | 543,928 | $ | 609,817 | $ | 1,153,745 | ||||||||||||
Net premiums earned |
$ | 411,889 | $ | 457,522 | $ | 869,411 | $ | 373,534 | $ | 448,050 | $ | 821,584 | ||||||||||||
Other underwriting income (loss) |
| 19 | 19 | (2 | ) | (2,366 | ) | (2,368 | ) | |||||||||||||||
Total underwriting revenues |
$ | 411,889 | $ | 457,541 | $ | 869,430 | $ | 373,532 | $ | 445,684 | $ | 819,216 | ||||||||||||
UNDERWRITING EXPENSES |
||||||||||||||||||||||||
Losses and loss expenses |
$ | 290,232 | $ | 473,591 | $ | 763,823 | $ | 256,857 | $ | 268,687 | $ | 525,544 | ||||||||||||
Acquisition expenses |
32,169 | 101,336 | 133,505 | 33,980 | 96,672 | 130,652 | ||||||||||||||||||
General and administrative expenses |
73,033 | 58,814 | 131,847 | 57,267 | 57,374 | 114,641 | ||||||||||||||||||
Total expenses |
$ | 395,434 | $ | 633,741 | $ | 1,029,175 | $ | 348,104 | $ | 422,733 | $ | 770,837 | ||||||||||||
UNDERWRITING INCOME (LOSS) |
$ | 16,455 | $ | (176,200 | ) | $ | (159,745 | ) | $ | 25,428 | $ | 22,951 | $ | 48,379 | ||||||||||
GAAP RATIOS |
||||||||||||||||||||||||
Loss ratio |
70.5 | % | 103.5 | % | 87.9 | % | 68.8 | % | 59.9 | % | 64.0 | % | ||||||||||||
Acquisition expense ratio |
7.8 | % | 22.1 | % | 15.4 | % | 9.1 | % | 21.6 | % | 15.9 | % | ||||||||||||
General and administrative expense ratio |
17.7 | % | 12.9 | % | 15.1 | % | 15.3 | % | 12.8 | % | 13.9 | % | ||||||||||||
Combined ratio AS REPORTED |
96.0 | % | 138.5 | % | 118.4 | % | 93.2 | % | 94.3 | % | 93.8 | % | ||||||||||||
Effect of favorable prior accident year
reserve development |
14.0 | % | 7.8 | % | 10.8 | % | 6.9 | % | 9.4 | % | 8.3 | % | ||||||||||||
Combined ratio net of prior accident
year reserve development |
110.0 | % | 146.3 | % | 129.2 | % | 100.1 | % | 103.7 | % | 102.1 | % | ||||||||||||
13
ENDURANCE SPECIALTY HOLDINGS LTD.
INSURANCE SEGMENT DATA
INSURANCE SEGMENT DATA
FOR THE SIX MONTHS ENDED | FOR THE YEARS ENDED | |||||||||||||||||||
JUNE 30, 2011 | JUNE 30, 2010 | JUNE 30, 2009 | DEC. 31, 2010 | DEC. 31, 2009 | ||||||||||||||||
UNDERWRITING REVENUES |
||||||||||||||||||||
Gross premiums written |
$ | 851,581 | $ | 695,967 | $ | 753,006 | $ | 1,112,192 | $ | 1,152,150 | ||||||||||
Net premiums written |
$ | 605,802 | $ | 543,928 | $ | 476,192 | $ | 829,864 | $ | 740,310 | ||||||||||
Net premiums earned |
$ | 411,889 | $ | 373,534 | $ | 404,262 | $ | 821,828 | $ | 823,703 | ||||||||||
Other underwriting (loss) income |
| (2 | ) | 3,062 | 475 | 3,533 | ||||||||||||||
Total underwriting revenues |
$ | 411,889 | $ | 373,532 | $ | 407,324 | $ | 822,303 | $ | 827,236 | ||||||||||
UNDERWRITING EXPENSES |
||||||||||||||||||||
Losses and loss expenses |
$ | 290,232 | $ | 256,857 | $ | 264,850 | $ | 558,040 | $ | 553,008 | ||||||||||
Acquisition expenses |
32,169 | 33,980 | 45,696 | 63,556 | 84,724 | |||||||||||||||
General and administrative expenses |
73,033 | 57,267 | 54,938 | 123,335 | 119,766 | |||||||||||||||
Total expenses |
$ | 395,434 | $ | 348,104 | $ | 365,484 | $ | 744,931 | $ | 757,498 | ||||||||||
UNDERWRITING INCOME |
$ | 16,455 | $ | 25,428 | $ | 41,840 | $ | 77,372 | $ | 69,738 | ||||||||||
GAAP RATIOS |
||||||||||||||||||||
Loss ratio |
70.5 | % | 68.8 | % | 65.5 | % | 67.9 | % | 67.1 | % | ||||||||||
Acquisition expense ratio |
7.8 | % | 9.1 | % | 11.3 | % | 7.7 | % | 10.3 | % | ||||||||||
General and administrative expense ratio |
17.7 | % | 15.3 | % | 13.6 | % | 15.0 | % | 14.6 | % | ||||||||||
Combined ratio AS REPORTED |
96.0 | % | 93.2 | % | 90.4 | % | 90.6 | % | 92.0 | % | ||||||||||
Effect of favorable prior accident year
reserve development |
14.0 | % | 6.9 | % | 14.0 | % | 5.7 | % | 11.2 | % | ||||||||||
Combined ratio net of prior accident
year reserve development |
110.0 | % | 100.1 | % | 104.4 | % | 96.3 | % | 103.2 | % | ||||||||||
14
ENDURANCE SPECIALTY HOLDINGS LTD.
REINSURANCE SEGMENT DATA
REINSURANCE SEGMENT DATA
FOR THE SIX MONTHS ENDED | FOR THE YEARS ENDED | |||||||||||||||||||
JUNE 30, 2011 | JUNE 30, 2010 | JUNE 30, 2009 | DEC. 31, 2010 | DEC. 31, 2009 | ||||||||||||||||
UNDERWRITING REVENUES |
||||||||||||||||||||
Gross premiums written |
$ | 651,701 | $ | 612,470 | $ | 589,455 | $ | 941,044 | $ | 869,300 | ||||||||||
Net premiums written |
$ | 634,828 | $ | 609,817 | $ | 586,750 | $ | 933,880 | $ | 865,740 | ||||||||||
Net premiums earned |
$ | 457,522 | $ | 448,050 | $ | 408,233 | $ | 919,285 | $ | 809,489 | ||||||||||
Other underwriting (loss) income |
19 | (2,366 | ) | 1,131 | (2,111 | ) | 381 | |||||||||||||
Total underwriting revenues |
$ | 457,541 | $ | 445,684 | $ | 409,364 | $ | 917,174 | $ | 809,870 | ||||||||||
UNDERWRITING EXPENSES |
||||||||||||||||||||
Losses and loss expenses |
$ | 473,591 | $ | 268,687 | $ | 226,102 | $ | 480,060 | $ | 313,632 | ||||||||||
Acquisition expenses |
101,336 | 96,672 | 86,428 | 200,672 | 183,247 | |||||||||||||||
General and administrative expenses |
58,814 | 57,374 | 59,848 | 118,585 | 117,388 | |||||||||||||||
Total expenses |
$ | 633,741 | $ | 422,733 | $ | 372,378 | $ | 799,317 | $ | 614,267 | ||||||||||
UNDERWRITING INCOME |
$ | (176,200 | ) | $ | 22,951 | $ | 36,986 | $ | 117,857 | $ | 195,603 | |||||||||
GAAP RATIOS |
||||||||||||||||||||
Loss ratio |
103.5 | % | 59.9 | % | 55.4 | % | 52.2 | % | 38.8 | % | ||||||||||
Acquisition expense ratio |
22.1 | % | 21.6 | % | 21.2 | % | 21.8 | % | 22.6 | % | ||||||||||
General and administrative expense ratio |
12.9 | % | 12.8 | % | 14.6 | % | 12.9 | % | 14.5 | % | ||||||||||
Combined ratio AS REPORTED |
138.5 | % | 94.3 | % | 91.2 | % | 86.9 | % | 75.9 | % | ||||||||||
Effect of favorable prior accident year
reserve development |
7.8 | % | 9.4 | % | 4.6 | % | 8.7 | % | 7.3 | % | ||||||||||
Combined ratio net of prior accident
year reserve development |
146.3 | % | 103.7 | % | 95.8 | % | 95.6 | % | 83.2 | % | ||||||||||
15
ENDURANCE SPECIALTY HOLDINGS LTD.
SEGMENT GROSS PREMIUMS WRITTEN BY LINE OF BUSINESS
SEGMENT GROSS PREMIUMS WRITTEN BY LINE OF BUSINESS
FOR THE SIX MONTHS ENDED | FOR THE YEARS ENDED | |||||||||||||||||||
JUNE 30, 2011 | JUNE 30, 2010 | JUNE 30, 2009 | DEC. 31, 2010 | DEC. 31, 2009 | ||||||||||||||||
INSURANCE SEGMENT |
||||||||||||||||||||
Agriculture |
$ | 565,830 | $ | 404,369 | $ | 434,645 | $ | 567,461 | $ | 572,096 | ||||||||||
Professional lines |
84,650 | 90,075 | 97,216 | 170,146 | 193,799 | |||||||||||||||
Casualty |
102,060 | 89,634 | 81,229 | 167,549 | 152,580 | |||||||||||||||
Property |
60,594 | 69,681 | 67,835 | 122,110 | 124,621 | |||||||||||||||
Healthcare liability |
38,591 | 42,758 | 42,915 | 87,593 | 82,955 | |||||||||||||||
Workers compensation |
(144 | ) | (550 | ) | 29,166 | (2,667 | ) | 26,099 | ||||||||||||
TOTAL INSURANCE |
$ | 851,581 | $ | 695,967 | $ | 753,006 | $ | 1,112,192 | $ | 1,152,150 | ||||||||||
REINSURANCE SEGMENT |
||||||||||||||||||||
Catastrophe |
$ | 284,496 | $ | 246,477 | $ | 257,829 | $ | 309,886 | $ | 303,404 | ||||||||||
Casualty |
161,971 | 164,893 | 159,205 | 294,030 | 255,142 | |||||||||||||||
Property |
122,272 | 104,521 | 90,032 | 224,544 | 215,085 | |||||||||||||||
Aerospace and Marine |
47,581 | 42,197 | 35,795 | 48,761 | 44,696 | |||||||||||||||
Surety and other specialty |
35,381 | 54,382 | 46,594 | 63,823 | 50,973 | |||||||||||||||
TOTAL REINSURANCE |
$ | 651,701 | $ | 612,470 | $ | 589,455 | $ | 941,044 | $ | 869,300 | ||||||||||
REPORTED TOTALS |
$ | 1,503,282 | $ | 1,308,437 | $ | 1,342,461 | $ | 2,053,236 | $ | 2,021,450 | ||||||||||
16
ENDURANCE SPECIALTY HOLDINGS LTD.
SEGMENT NET PREMIUMS WRITTEN BY LINE OF BUSINESS
SEGMENT NET PREMIUMS WRITTEN BY LINE OF BUSINESS
FOR THE SIX MONTHS ENDED | FOR THE YEARS ENDED | |||||||||||||||||||
JUNE 30, 2011 | JUNE 30, 2010 | JUNE 30, 2009 | DEC. 31, 2010 | DEC. 31, 2009 | ||||||||||||||||
INSURANCE SEGMENT |
||||||||||||||||||||
Agriculture |
$ | 392,521 | $ | 313,276 | $ | 252,016 | $ | 404,767 | $ | 324,480 | ||||||||||
Professional lines |
68,748 | 77,024 | 83,992 | 148,717 | 167,091 | |||||||||||||||
Casualty |
69,570 | 58,565 | 46,171 | 107,801 | 91,071 | |||||||||||||||
Property |
38,581 | 55,038 | 39,612 | 88,299 | 68,011 | |||||||||||||||
Healthcare liability |
36,521 | 40,554 | 40,080 | 82,893 | 78,284 | |||||||||||||||
Workers compensation |
(139 | ) | (529 | ) | 14,321 | (2,613 | ) | 11,373 | ||||||||||||
TOTAL INSURANCE |
$ | 605,802 | $ | 543,928 | $ | 476,192 | $ | 829,864 | $ | 740,310 | ||||||||||
REINSURANCE SEGMENT |
||||||||||||||||||||
Catastrophe |
$ | 270,460 | $ | 246,567 | $ | 257,829 | $ | 305,617 | $ | 302,218 | ||||||||||
Casualty |
161,171 | 164,094 | 158,974 | 293,222 | 254,897 | |||||||||||||||
Property |
122,272 | 104,521 | 90,032 | 224,544 | 215,085 | |||||||||||||||
Aerospace and Marine |
45,565 | 40,132 | 33,670 | 46,696 | 42,563 | |||||||||||||||
Surety and other specialty |
35,360 | 54,503 | 46,245 | 63,801 | 50,977 | |||||||||||||||
TOTAL REINSURANCE |
$ | 634,828 | $ | 609,817 | $ | 586,750 | $ | 933,880 | $ | 865,740 | ||||||||||
REPORTED TOTALS |
$ | 1,240,630 | $ | 1,153,745 | $ | 1,062,942 | $ | 1,763,744 | $ | 1,606,050 | ||||||||||
17
ENDURANCE SPECIALTY HOLDINGS LTD.
SEGMENT NET PREMIUMS EARNED BY LINE OF BUSINESS
SEGMENT NET PREMIUMS EARNED BY LINE OF BUSINESS
FOR THE SIX MONTHS ENDED | FOR THE YEARS ENDED | |||||||||||||||||||
JUNE 30, 2011 | JUNE 30, 2010 | JUNE 30, 2009 | DEC. 31, 2010 | DEC. 31, 2009 | ||||||||||||||||
INSURANCE SEGMENT |
||||||||||||||||||||
Agriculture |
$ | 202,760 | $ | 162,602 | $ | 143,074 | $ | 397,643 | $ | 331,960 | ||||||||||
Professional lines |
73,963 | 79,232 | 72,969 | 154,484 | 152,547 | |||||||||||||||
Casualty |
58,477 | 50,973 | 41,426 | 105,070 | 89,340 | |||||||||||||||
Property |
36,159 | 41,946 | 42,368 | 86,308 | 76,245 | |||||||||||||||
Healthcare liability |
40,669 | 39,474 | 39,929 | 81,100 | 80,219 | |||||||||||||||
Workers compensation |
(139 | ) | (693 | ) | 64,496 | (2,777 | ) | 93,392 | ||||||||||||
TOTAL INSURANCE |
$ | 411,889 | $ | 373,534 | $ | 404,262 | $ | 821,828 | $ | 823,703 | ||||||||||
REINSURANCE SEGMENT |
||||||||||||||||||||
Catastrophe |
$ | 158,082 | $ | 161,416 | $ | 152,703 | $ | 315,708 | $ | 296,982 | ||||||||||
Casualty |
135,394 | 126,422 | 100,366 | 272,968 | 208,865 | |||||||||||||||
Property |
111,095 | 106,078 | 99,329 | 227,282 | 198,606 | |||||||||||||||
Aerospace and Marine |
26,741 | 25,004 | 26,395 | 44,918 | 49,088 | |||||||||||||||
Surety and other specialty |
26,210 | 29,130 | 29,440 | 58,409 | 55,948 | |||||||||||||||
TOTAL REINSURANCE |
$ | 457,522 | $ | 448,050 | $ | 408,233 | $ | 919,285 | $ | 809,489 | ||||||||||
REPORTED TOTALS |
$ | 869,411 | $ | 821,584 | $ | 812,495 | $ | 1,741,113 | $ | 1,633,192 | ||||||||||
18
ENDURANCE SPECIALTY HOLDINGS LTD.
RETURN ON EQUITY ANALYSIS
RETURN ON EQUITY ANALYSIS
FOR THE SIX MONTHS | ||||
ENDED JUNE 30, 2011 | ||||
Average common equity [a] |
$ | 2,444,215 | ||
Net premiums earned |
$ | 869,411 | ||
Combined ratio |
118.4 | % | ||
Operating margin |
(18.4 | )% | ||
Premium leverage |
0.36 | x | ||
Implied ROAE from underwriting activity |
(6.6 | )% | ||
Average cash and invested assets at amortized cost |
$ | 6,148,188 | ||
Investment leverage |
2.52 | x | ||
Year to date investment income yield, pretax |
1.5 | % | ||
Implied ROAE from investment activity |
3.8 | % | ||
Financing Costs [b] |
(1.1 | )% | ||
Implied Pre-tax Operating ROAE, for period [c] |
(3.9 | )% | ||
Implied Pre-tax Operating ROAE, annualized [c] |
(7.8 | )% | ||
[a] | Average common equity is calculated as the arithmetic average of the beginning and ending common equity balances for the stated periods, which excludes the liquidation value of the preferred shares (beginning liquidation value of $200 million, ending liquidation value of $430 million). | |
[b] | Financing costs include interest expense and preferred dividends. | |
[c] | Implied pre-tax Operating ROAE considers only the main components of the Companys return on equity underwriting and investment returns. As such, it differs from operating ROE primarily due to the exclusion of tax on underwriting, financing and investment activites and the tax-effected impact of amortization expense. |
19
ENDURANCE SPECIALTY HOLDINGS LTD.
ANNUALIZED PREMIUM & INVESTMENT LEVERAGE
ANNUALIZED PREMIUM & INVESTMENT LEVERAGE
FOR THE QUARTERS ENDED | YEARS ENDED DECEMBER 31, | |||||||||||||||||||||||
JUNE 30, 2011 | MAR. 31, 2011 | DEC. 31, 2010 | SEPT. 30, 2010 | 2010 | 2009 | |||||||||||||||||||
Average common equity [a] |
$ | 2,224,270 | $ | 2,428,209 | $ | 2,683,919 | $ | 2,681,895 | $ | 2,617,718 | $ | 2,297,283 | ||||||||||||
Net premiums earned |
$ | 486,578 | $ | 382,833 | $ | 449,736 | $ | 469,793 | $ | 1,741,113 | $ | 1,633,192 | ||||||||||||
Premium leverage |
0.22 | x | 0.16 | x | 0.17 | x | 0.18 | x | 0.67 | x | 0.71 | x | ||||||||||||
Annualized premium leverage |
0.88 | x | 0.64 | x | 0.68 | x | 0.72 | x | 0.67 | x | 0.71 | x | ||||||||||||
Average cash and invested
assets at amortized cost |
$ | 6,069,548 | $ | 5,979,366 | $ | 6,107,765 | $ | 6,107,817 | $ | 5,997,489 | $ | 5,716,443 | ||||||||||||
Investment leverage |
2.73 | x | 2.46 | x | 2.28 | x | 2.28 | x | 2.29 | x | 2.49 | x | ||||||||||||
[a] | Average common equity is calculated as the arithmetic average of the beginning and ending common equity balances for the stated periods, which excludes the liquidation value of the preferred shares (beginning liquidation value of $200 million, ending liquidation value of $430 million). |
20
ENDURANCE SPECIALTY HOLDINGS LTD.
INVESTMENT PORTFOLIO
AS OF JUNE 30, 2011 AND DECEMBER 31, 2010
INVESTMENT PORTFOLIO
AS OF JUNE 30, 2011 AND DECEMBER 31, 2010
June 30, 2011 | December 31, 2010 | |||||||||||||||
Type of Investment | Fair Value | Percentage | Fair Value | Percentage | ||||||||||||
Cash and equivalents [a] |
$ | 673,997 | 10.6 | % | $ | 610,454 | 9.9 | % | ||||||||
Short-term investments |
303,895 | 4.8 | % | 70,444 | 1.1 | % | ||||||||||
U.S. government and government agencies notes |
914,977 | 14.4 | % | 1,010,819 | 16.3 | % | ||||||||||
Government and agency guaranteed corporates |
521,422 | 8.2 | % | 671,150 | 10.8 | % | ||||||||||
U.S. government agency residential mortgage-backed securities |
962,979 | 15.1 | % | 883,948 | 14.3 | % | ||||||||||
U.S. government agency commercial mortgage-backed securities |
28,041 | 0.4 | % | 22,889 | 0.4 | % | ||||||||||
Municipals |
57,647 | 0.9 | % | 29,979 | 0.5 | % | ||||||||||
Foreign government |
95,817 | 1.5 | % | 140,461 | 2.3 | % | ||||||||||
Corporate securities |
1,254,207 | 19.7 | % | 1,232,511 | 19.9 | % | ||||||||||
Non-agency residential mortgage-backed securities |
228,152 | 3.6 | % | 246,410 | 4.0 | % | ||||||||||
Non-agency commercial mortgage-backed securities |
567,315 | 8.9 | % | 604,820 | 9.8 | % | ||||||||||
Asset-backed securities |
331,391 | 5.2 | % | 273,715 | 4.4 | % | ||||||||||
Equity securities |
32,322 | 0.5 | % | 13,565 | 0.2 | % | ||||||||||
Other investments [b] |
395,078 | 6.2 | % | 376,652 | 6.1 | % | ||||||||||
Total |
$ | 6,367,240 | 100.0 | % | $ | 6,187,817 | 100.0 | % | ||||||||
Ratings [e] | Fair Value | Percentage | Fair Value | Percentage | ||||||||||||
U.S. government and government agencies notes |
$ | 914,977 | 16.2 | % | $ | 1,010,819 | 18.2 | % | ||||||||
AAA/Aaa |
2,722,066 | 48.0 | % | 2,639,682 | 47.3 | % | ||||||||||
AA/Aa |
437,538 | 7.7 | % | 465,315 | 8.4 | % | ||||||||||
A/A |
803,480 | 14.2 | % | 793,980 | 14.3 | % | ||||||||||
BBB |
176,678 | 3.1 | % | 50,733 | 0.9 | % | ||||||||||
Below BBB |
206,712 | 3.7 | % | 221,848 | 4.0 | % | ||||||||||
Not Rated |
4,392 | 0.1 | % | 4,769 | 0.1 | % | ||||||||||
Other investments [b] |
395,078 | 7.0 | % | 376,652 | 6.8 | % | ||||||||||
Total |
$ | 5,660,921 | 100.0 | % | $ | 5,563,798 | 100.0 | % | ||||||||
Performance | June 30, 2011 | December 31, 2010 | ||||||
Yield [c] |
2.6 | % | 3.3 | % | ||||
Duration in years [d] |
2.28 | 2.39 |
Quarter Ended | Quarter Ended | Quarter Ended | Quarter Ended | Quarter Ended | ||||||||||||||||
Investment Income | June 30, 2011 | Mar. 31, 2011 | Dec. 31, 2010 | Sept. 30, 2010 | June 30, 2010 | |||||||||||||||
Cash and fixed income securities |
$ | 38,661 | $ | 38,744 | $ | 40,425 | $ | 39,839 | $ | 40,302 | ||||||||||
Other Investments |
1,181 | 13,757 | 16,449 | 13,815 | (6,951 | ) | ||||||||||||||
Total net investment income |
$ | 39,842 | $ | 52,501 | $ | 56,874 | $ | 53,654 | $ | 33,351 | ||||||||||
Note: | [a] | Cash and equivalents, including operating cash, are shown net of investments pending settlement. |
[b] | Other investments includes investments in alternative and high yield bank loan funds. | |
[c] | Annualized earned yield for the quarter ending 6/30/11 and twelve months ending 12/31/10 excludes realized and unrealized gains and losses on fixed maturity investments. | |
[d] | Duration excludes other investments and operating cash. | |
[e] | Excludes cash and equivalents and equity securities. |
21
ENDURANCE SPECIALTY HOLDINGS LTD.
STRUCTURED SECURITIES DETAIL
AS OF JUNE 30, 2011
STRUCTURED SECURITIES DETAIL
AS OF JUNE 30, 2011
Percentage of | ||||||||||||
Securitized (RMBS, CMBS, ABS and CDO) securities ratings | Fair Value | Percentage | Investment Portfolio | |||||||||
U.S. Government and agencies |
$ | 991,020 | 46.8 | % | 15.6 | % | ||||||
AAA/Aaa |
770,866 | 36.4 | % | 12.1 | % | |||||||
AA/Aa |
67,328 | 3.2 | % | 1.1 | % | |||||||
A/A |
91,506 | 4.3 | % | 1.4 | % | |||||||
BBB |
48,477 | 2.3 | % | 0.8 | % | |||||||
Below BBB |
147,633 | 7.0 | % | 2.3 | % | |||||||
Not Rated |
1,048 | | | |||||||||
Total |
$ | 2,117,878 | 100.0 | % | 33.3 | % | ||||||
Percentage of | ||||||||||||
Structured securities sectors (RMBS, CMBS, ABS, CDO and CLO) | Fair Value | Percentage | Investment Portfolio | |||||||||
Commercial |
||||||||||||
Agency |
$ | 28,041 | 1.3 | % | 0.5 | % | ||||||
Non Agency |
637,379 | 30.1 | % | 10.0 | % | |||||||
Residential |
||||||||||||
Agency |
962,979 | 45.5 | % | 15.1 | % | |||||||
Non Agency |
230,256 | 10.9 | % | 3.6 | % | |||||||
Consumer |
||||||||||||
Agency |
3,919 | 0.2 | % | 0.1 | % | |||||||
Non Agency |
255,304 | 12.0 | % | 4.0 | % | |||||||
Total |
$ | 2,117,878 | 100.0 | % | 33.3 | % | ||||||
Spread Duration 3.31 years
Percentage of | ||||||||||||
Commercial real estate collateralized debt obligations ( CRE CDOs) | Fair Value | Percentage | Investment Portfolio | |||||||||
AAA/Aaa |
$ | 15,973 | 47.9 | % | 0.3 | % | ||||||
AA/Aa |
5,230 | 15.7 | % | 0.1 | % | |||||||
A/A |
5,330 | 16.0 | % | 0.1 | % | |||||||
BBB |
2,140 | 6.4 | % | | ||||||||
Below BBB |
4,659 | 14.0 | % | | ||||||||
Total |
$ | 33,332 | 100.0 | % | 0.5 | % | ||||||
Spread Duration 1.91 years
22
ENDURANCE SPECIALTY HOLDINGS LTD.
LARGEST TWENTY-FIVE CORPORATE HOLDINGS
AS OF JUNE 30, 2011
LARGEST TWENTY-FIVE CORPORATE HOLDINGS
AS OF JUNE 30, 2011
June 30, 2011 | ||||||||||||||
Amortized | Unrealized | Credit | ||||||||||||
ISSUER (1) (2) (4) | Cost | Fair Value | Gain (Loss) | Quality (3) | ||||||||||
METLIFE INC |
$ | 39,535 | $ | 40,257 | $ | 722 | A | |||||||
MORGAN STANLEY |
39,255 | 39,882 | 627 | A | ||||||||||
JPMORGAN CHASE & CO |
38,281 | 38,920 | 639 | A+ | ||||||||||
CREDIT SUISSE GROUP AG |
32,703 | 34,072 | 1,369 | A+ | ||||||||||
HSBC HOLDINGS PLC |
29,348 | 29,919 | 571 | AA- | ||||||||||
NOVARTIS AG |
27,646 | 28,675 | 1,029 | AA- | ||||||||||
AT&T INC |
27,324 | 28,510 | 1,186 | A- | ||||||||||
BANK OF AMERICA CORP |
27,927 | 28,153 | 226 | A | ||||||||||
WAL-MART STORES INC |
26,387 | 26,817 | 430 | AA | ||||||||||
VERIZON COMMUNICATIONS INC |
25,005 | 26,209 | 1,204 | A- | ||||||||||
US BANCORP |
21,679 | 22,111 | 432 | A+ | ||||||||||
PEPSICO INC |
18,382 | 19,832 | 1,450 | A | ||||||||||
EDISON INTERNATIONAL |
17,172 | 17,769 | 597 | A | ||||||||||
LOWES COMPANIES INC |
16,398 | 17,040 | 642 | A | ||||||||||
GOLDMAN SACHS GROUP INC/THE |
16,579 | 16,533 | (46 | ) | A | |||||||||
CITIGROUP INC |
15,929 | 16,006 | 77 | A | ||||||||||
NEW YORK LIFE INSURANCE COMPANY |
15,530 | 15,972 | 442 | AAA | ||||||||||
BANK OF NOVA SCOTIA |
15,562 | 15,874 | 312 | AA- | ||||||||||
GENERAL ELECTRIC CO |
15,618 | 15,696 | 78 | AA+ | ||||||||||
ROYAL DUTCH SHELL PLC |
14,386 | 14,925 | 539 | AA | ||||||||||
PHILIP MORRIS INTERNATIONAL INC |
14,456 | 14,712 | 256 | A | ||||||||||
NATIONAL GRID PLC |
13,925 | 14,477 | 552 | A- | ||||||||||
NORDEA BANK AB |
13,907 | 14,091 | 184 | AA- | ||||||||||
TOTAL SA |
13,932 | 14,068 | 136 | AA- | ||||||||||
MEDTRONIC INC |
13,399 | 13,912 | 513 | AA- |
(1) | Corporate issuers exclude government-backed, government-sponsored enterprises, covered bonds and cash and cash equivalents. | |
(2) | Credit exposures represent only direct exposure to fixed maturities and short term investments of the parent issuer and its major subsidiaries. | |
(3) | Represents weighted average credit quality of underlying issues. | |
(4) | Includes preferred equity securities. |
23
ENDURANCE SPECIALTY HOLDINGS LTD.
ACTIVITY IN RESERVE FOR LOSSES AND LOSS EXPENSES
ACTIVITY IN RESERVE FOR LOSSES AND LOSS EXPENSES
THREE MONTHS ENDED JUNE 30, 2011 | SIX MONTHS ENDED JUNE 30, 2011 | |||||||||||||||||||||||
GROSS | RECOVERIES | NET | GROSS | RECOVERIES | NET | |||||||||||||||||||
Reserve for losses and loss expenses |
||||||||||||||||||||||||
Balance, beginning of period |
$ | 3,566,198 | $ | (340,908 | ) | $ | 3,225,290 | 3,319,927 | (319,349 | ) | 3,000,578 | |||||||||||||
Incurred related to: |
||||||||||||||||||||||||
Current year |
481,148 | (74,397 | ) | 406,751 | 1,011,439 | (154,130 | ) | 857,309 | ||||||||||||||||
Prior years |
(78,736 | ) | 33,955 | (44,781 | ) | (150,799 | ) | 57,313 | (93,486 | ) | ||||||||||||||
Total Incurred |
402,412 | (40,442 | ) | 361,970 | 860,640 | (96,817 | ) | 763,823 | ||||||||||||||||
Paid related to: |
||||||||||||||||||||||||
Current year |
(93,313 | ) | 26,572 | (66,741 | ) | (96,403 | ) | 26,704 | (69,699 | ) | ||||||||||||||
Prior years |
(137,532 | ) | (14,294 | ) | (151,826 | ) | (352,720 | ) | 20,440 | (332,280 | ) | |||||||||||||
Total Paid |
(230,845 | ) | 12,278 | (218,567 | ) | (449,123 | ) | 47,144 | (401,979 | ) | ||||||||||||||
Foreign currency translation |
10,359 | (9 | ) | 10,350 | 16,680 | (59 | ) | 16,621 | ||||||||||||||||
Balance, end of period |
$ | 3,748,124 | $ | (369,081 | ) | $ | 3,379,043 | $ | 3,748,124 | $ | (369,081 | ) | $ | 3,379,043 | ||||||||||
24
ENDURANCE SPECIALTY HOLDINGS LTD.
PRIOR YEAR RESERVE DEVELOPMENT BY SEGMENT
PRIOR YEAR RESERVE DEVELOPMENT BY SEGMENT
(FAVORABLE) ADVERSE PRIOR ACCIDENT YEAR DEVELOPMENT DURING THE PERIODS ENDED JUNE 30, 2011
Total | ||||||||||||
Insurance | Reinsurance | Company | ||||||||||
Incurred related to prior years |
||||||||||||
Quarter ended March 31, 2011 |
$ | (34,612 | ) | $ | (14,093 | ) | $ | (48,705 | ) | |||
Quarter ended June 30, 2011 |
(23,190 | ) | (21,591 | ) | (44,781 | ) | ||||||
Six months ended June 30, 2011 |
$ | (57,802 | ) | $ | (35,684 | ) | $ | (93,486 | ) | |||
(FAVORABLE) ADVERSE PRIOR ACCIDENT YEAR DEVELOPMENT DURING THE YEAR ENDED DEC. 31, 2010
Total | ||||||||||||
Insurance | Reinsurance | Company | ||||||||||
Incurred related to prior years |
||||||||||||
Quarter ended March 31, 2010 |
$ | (17,679 | ) | $ | (20,915 | ) | $ | (38,594 | ) | |||
Quarter ended June 30, 2010 |
(8,099 | ) | (21,379 | ) | (29,478 | ) | ||||||
Quarter ended September 30, 2010 |
(9,568 | ) | (25,566 | ) | (35,134 | ) | ||||||
Quarter ended December 31, 2010 |
(11,525 | ) | (12,071 | ) | (23,596 | ) | ||||||
Year ended December 31, 2010 |
$ | (46,871 | ) | $ | (79,931 | ) | $ | (126,802 | ) | |||
(FAVORABLE) ADVERSE PRIOR ACCIDENT YEAR DEVELOPMENT DURING THE YEAR ENDED DEC. 31, 2009
Total | ||||||||||||
Insurance | Reinsurance | Company | ||||||||||
Incurred related to prior years |
||||||||||||
Quarter ended March 31, 2009 |
$ | (36,798 | ) | $ | (2,520 | ) | $ | (39,318 | ) | |||
Quarter ended June 30, 2009 |
(19,842 | ) | (16,132 | ) | (35,974 | ) | ||||||
Quarter ended September 30, 2009 |
(13,952 | ) | (20,449 | ) | (34,401 | ) | ||||||
Quarter ended December 31, 2009 |
(21,486 | ) | (19,710 | ) | (41,196 | ) | ||||||
Year ended December 31, 2009 |
$ | (92,078 | ) | $ | (58,811 | ) | $ | (150,889 | ) | |||
25
ENDURANCE SPECIALTY HOLDINGS LTD.
PRIOR YEAR RESERVE DEVELOPMENT BY DEVELOPMENT TAIL
PRIOR YEAR RESERVE DEVELOPMENT BY DEVELOPMENT TAIL
(FAVORABLE) ADVERSE PRIOR ACCIDENT YEAR DEVELOPMENT
FOR THE | ||||||||||||||||||||||||
FOR THE QUARTERS ENDED | YEAR ENDED | |||||||||||||||||||||||
JUNE 30, 2011 | MAR. 31, 2011 | DEC. 31, 2010 | SEPT. 30, 2010 | JUNE 30, 2010 | DEC. 31, 2010 | |||||||||||||||||||
INSURANCE SEGMENT |
||||||||||||||||||||||||
Short tail[a] |
$ | (5,150 | ) | $ | (9,274 | ) | $ | (4,445 | ) | $ | (5,359 | ) | $ | (5,632 | ) | $ | (21,349 | ) | ||||||
Long tail[b] |
(5,490 | ) | (2,560 | ) | (7,075 | ) | (3,480 | ) | 347 | (11,649 | ) | |||||||||||||
Other[c] |
(12,550 | ) | (22,778 | ) | (5 | ) | (729 | ) | (2,814 | ) | (13,873 | ) | ||||||||||||
TOTAL INSURANCE |
(23,190 | ) | (34,612 | ) | (11,525 | ) | (9,568 | ) | (8,099 | ) | (46,871 | ) | ||||||||||||
REINSURANCE SEGMENT |
||||||||||||||||||||||||
Short tail[a] |
(19,245 | ) | (14,163 | ) | (10,418 | ) | (17,743 | ) | (19,366 | ) | (68,865 | ) | ||||||||||||
Long tail[b] |
335 | 275 | (1,628 | ) | (6,902 | ) | 794 | (7,700 | ) | |||||||||||||||
Other[c] |
(2,681 | ) | (205 | ) | (25 | ) | (921 | ) | (2,807 | ) | (3,366 | ) | ||||||||||||
TOTAL REINSURANCE |
(21,591 | ) | (14,093 | ) | (12,071 | ) | (25,566 | ) | (21,379 | ) | (79,931 | ) | ||||||||||||
REPORTED TOTALS |
$ | (44,781 | ) | $ | (48,705 | ) | $ | (23,596 | ) | $ | (35,134 | ) | $ | (29,478 | ) | $ | (126,802 | ) | ||||||
[a] | Short tail business is that for which development typically emerges within a period of several quarters. The Companys short tail line of business in the Insurance segment includes its property line of business. The Companys short tail lines in its Reinsurance segment include property, catastrophe, aerospace and marine and surety. | |
[b] | Long tail business is that for which development emerges over many years. The Companys long tail lines of business in the Insurance segment includes casualty, healthcare liability, workers compensation and professional lines. The Companys long tail line of business in the Reinsurance segment includes its casualty line of business and some units included in its surety and other specialty line of business. | |
[c] | The Company writes certain specialty lines of business for which the loss emergence is considered to be unique in nature and thus, has been included as other. The Companys other lines of business included in the Insurance segment is agriculture and in the Reinsurance segment is the agriculture unit included in its surety and other specialty line of business. |
26
ENDURANCE SPECIALTY HOLDINGS LTD.
ANALYSIS OF UNPAID LOSSES AND LOSS EXPENSES
ANALYSIS OF UNPAID LOSSES AND LOSS EXPENSES
Insurance | Reinsurance | Reported | ||||||||||||||||||||||||||||||||||
Short Tail | Long Tail | Other | Total | Short Tail | Long Tail | Other | Total | Totals | ||||||||||||||||||||||||||||
AT JUNE 30, 2011 |
||||||||||||||||||||||||||||||||||||
Case reserves |
$ | 19,410 | $ | 375,869 | $ | 247,145 | $ | 642,424 | $ | 431,972 | $ | 268,802 | $ | 1,187 | $ | 701,961 | $ | 1,344,385 | ||||||||||||||||||
Total reserves |
$ | 48,268 | $ | 1,568,198 | $ | 276,347 | $ | 1,892,813 | $ | 893,835 | $ | 950,506 | $ | 10,970 | $ | 1,855,311 | $ | 3,748,124 | ||||||||||||||||||
Case reserves / Total reserves |
40.2 | % | 24.0 | % | 89.4 | % | 33.9 | % | 48.3 | % | 28.3 | % | 10.8 | % | 37.8 | % | 35.9 | % | ||||||||||||||||||
IBNR / Total reserves |
59.8 | % | 76.0 | % | 10.6 | % | 66.1 | % | 51.7 | % | 71.7 | % | 89.2 | % | 62.2 | % | 64.1 | % | ||||||||||||||||||
AT MAR. 31, 2011 |
||||||||||||||||||||||||||||||||||||
Case reserves |
$ | 18,089 | $ | 378,010 | $ | 73,374 | $ | 469,473 | $ | 322,587 | $ | 255,397 | $ | 455 | $ | 578,439 | $ | 1,047,912 | ||||||||||||||||||
Total reserves |
$ | 45,739 | $ | 1,539,977 | $ | 187,017 | $ | 1,772,733 | $ | 861,084 | $ | 919,839 | $ | 12,542 | $ | 1,793,465 | $ | 3,566,198 | ||||||||||||||||||
Case reserves / Total reserves |
39.5 | % | 24.5 | % | 39.2 | % | 26.5 | % | 37.5 | % | 27.8 | % | 3.6 | % | 32.3 | % | 29.4 | % | ||||||||||||||||||
IBNR / Total reserves |
60.5 | % | 75.5 | % | 60.8 | % | 73.5 | % | 62.5 | % | 72.2 | % | 96.4 | % | 67.7 | % | 70.6 | % | ||||||||||||||||||
AT DEC. 31, 2010 |
||||||||||||||||||||||||||||||||||||
Case reserves |
$ | 14,730 | $ | 325,750 | $ | 116,687 | $ | 457,167 | $ | 319,322 | $ | 248,870 | $ | 990 | $ | 569,182 | $ | 1,026,349 | ||||||||||||||||||
Total reserves |
$ | 45,330 | $ | 1,493,398 | $ | 190,865 | $ | 1,729,593 | $ | 670,750 | $ | 907,384 | $ | 12,200 | $ | 1,590,334 | $ | 3,319,927 | ||||||||||||||||||
Case reserves / Total reserves |
32.5 | % | 21.8 | % | 61.1 | % | 26.4 | % | 47.6 | % | 27.4 | % | 8.1 | % | 35.8 | % | 30.9 | % | ||||||||||||||||||
IBNR / Total reserves |
67.5 | % | 78.2 | % | 38.9 | % | 73.6 | % | 52.4 | % | 72.6 | % | 91.9 | % | 64.2 | % | 69.1 | % | ||||||||||||||||||
AT SEPT. 30, 2010 |
||||||||||||||||||||||||||||||||||||
Case reserves |
$ | 15,019 | $ | 378,887 | $ | 205,079 | $ | 598,985 | $ | 319,096 | $ | 244,711 | $ | 475 | $ | 564,282 | $ | 1,163,267 | ||||||||||||||||||
Total reserves |
$ | 48,572 | $ | 1,545,195 | $ | 233,189 | $ | 1,826,956 | $ | 674,075 | $ | 889,506 | $ | 10,775 | $ | 1,574,356 | $ | 3,401,312 | ||||||||||||||||||
Case reserves / Total reserves |
30.9 | % | 24.5 | % | 87.9 | % | 32.8 | % | 47.3 | % | 27.5 | % | 4.4 | % | 35.8 | % | 34.2 | % | ||||||||||||||||||
IBNR / Total reserves |
69.1 | % | 75.5 | % | 12.1 | % | 67.2 | % | 52.7 | % | 72.5 | % | 95.6 | % | 64.2 | % | 65.8 | % | ||||||||||||||||||
AT JUNE 30, 2010 |
||||||||||||||||||||||||||||||||||||
Case reserves |
$ | 21,529 | $ | 305,802 | $ | 164,639 | $ | 491,970 | $ | 319,558 | $ | 247,493 | $ | 5 | $ | 567,056 | $ | 1,059,026 | ||||||||||||||||||
Total reserves |
$ | 48,703 | $ | 1,480,283 | $ | 182,932 | $ | 1,711,918 | $ | 680,660 | $ | 873,184 | $ | 8,875 | $ | 1,562,719 | $ | 3,274,637 | ||||||||||||||||||
Case reserves / Total reserves |
44.2 | % | 20.7 | % | 90.0 | % | 28.7 | % | 46.9 | % | 28.3 | % | 0.1 | % | 36.3 | % | 32.3 | % | ||||||||||||||||||
IBNR / Total reserves |
55.8 | % | 79.3 | % | 10.0 | % | 71.3 | % | 53.1 | % | 71.7 | % | 99.9 | % | 63.7 | % | 67.7 | % | ||||||||||||||||||
27
ENDURANCE SPECIALTY HOLDINGS LTD.
SHAREHOLDER RETURN ANALYSIS
SHAREHOLDER RETURN ANALYSIS
SIX MONTHS ENDED | YEARS ENDED DECEMBER 31, | INCEPTION TO | ||||||||||||||||||||||
JUNE 30, 2011 | 2010 | 2009 | 2008 | 2007 | JUNE 30, 2011 | |||||||||||||||||||
(Loss) Income and Return on Equity: |
||||||||||||||||||||||||
Net (loss) income available to common and
participating common shareholders |
$ | (54,090 | ) | $ | 349,238 | $ | 520,604 | $ | 83,121 | $ | 505,607 | $ | 2,384,992 | |||||||||||
Operating (loss) income available to common and
participating common shareholders |
(79,920 | ) | 330,035 | 505,202 | 182,539 | 525,450 | 2,440,857 | |||||||||||||||||
Average Shareholders equity [a] |
2,444,215 | 2,617,718 | 2,297,283 | 2,159,771 | 2,205,067 | 1,950,458 | ||||||||||||||||||
Net (loss) income return on average equity |
(2.2 | )% | 13.3 | % | 22.7 | % | 3.8 | % | 22.9 | % | 12.9 | %[c] | ||||||||||||
Operating return on average equity |
(3.3 | )% | 12.6 | % | 22.0 | % | 8.5 | % | 23.8 | % | 13.2 | %[c] | ||||||||||||
Book value and dividends per share: |
||||||||||||||||||||||||
Dilutive book value per common share
(treasury stock method) |
$ | 52.20 | $ | 52.74 | $ | 44.61 | $ | 33.06 | $ | 35.05 | $ | 52.20 | ||||||||||||
Dividends paid per share |
0.60 | 1.00 | 1.00 | 1.00 | 1.00 | 7.73 | ||||||||||||||||||
Change in diluted book value per common share |
(1.0 | )% | 18.2 | % | 34.9 | % | (5.7 | )% | 21.4 | % | 17.8 | %[c] | ||||||||||||
Total return to common shareholders [b] |
0.1 | % | 20.5 | % | 38.0 | % | (2.8 | )% | 24.9 | % | 22.0 | %[c] | ||||||||||||
[a] | Excludes the $430 million (2010 $200 million) liquidation value of the preferred shares. | |
[b] | Total return to common shareholders is calculated as the change in diluted book value per common share plus dividends paid divided by beginning diluted book value per share. | |
[c] | Represents average non-compounded annual returns since December 31, 2001. |
28
ENDURANCE SPECIALTY HOLDINGS LTD.
DILUTIVE SHARES FOR EPS CALCULATION TWO CLASS METHOD
DILUTIVE SHARES FOR EPS CALCULATION TWO CLASS METHOD
QUARTERS ENDED | SIX MONTHS ENDED | |||||||||||||||
JUNE 30, | JUNE 30, | |||||||||||||||
2011 | 2010 | 2011 | 2010 | |||||||||||||
DILUTIVE SHARES
OUTSTANDING: |
||||||||||||||||
AS REPORTED |
||||||||||||||||
Average market price per share |
$ | 43.10 | $ | 37.40 | $ | 45.12 | $ | 37.27 | ||||||||
Basic weighted average common shares outstanding (1) |
39,710 | 52,509 | 40,227 | 52,958 | ||||||||||||
Add: weighted avg. unvested restricted share units |
9 | 13 | 12 | 19 | ||||||||||||
Weighted average exercise price per share |
| | | | ||||||||||||
Proceeds from unrecognized restricted share unit expense |
$ | 248 | $ | 349 | $ | 248 | $ | 349 | ||||||||
Less: restricted share units bought back via treasury method |
(6 | ) | (9 | ) | (12 | ) | (10 | ) | ||||||||
Add: weighted avg. dilutive warrants outstanding |
2,896 | 2,995 | 2,925 | 2,995 | ||||||||||||
Weighted average exercise price per share |
$ | 12.27 | $ | 13.37 | $ | 12.27 | $ | 13.37 | ||||||||
Less: warrants bought back via treasury method |
(824 | ) | (1,071 | ) | (2,925 | ) | (1,074 | ) | ||||||||
Add: weighted avg. dilutive options outstanding |
561 | 1,415 | 884 | 1,580 | ||||||||||||
Weighted average exercise price per share |
$ | 14.57 | $ | 16.96 | $ | 15.42 | $ | 16.59 | ||||||||
Proceeds from unrecognized option expense |
| | | | ||||||||||||
Less: options bought back via treasury method |
(190 | ) | (642 | ) | (884 | ) | (703 | ) | ||||||||
Weighted average dilutive shares outstanding |
42,156 | 55,210 | 40,227 | 55,765 | ||||||||||||
Notes: | (1) | Excludes unvested restricted shares outstanding which are considered participating securities under the two-class method for calculation of EPS. |
29
ENDURANCE SPECIALTY HOLDINGS LTD.
EARNINGS (LOSSES) PER SHARE INFORMATION TWO CLASS METHOD
EARNINGS (LOSSES) PER SHARE INFORMATION TWO CLASS METHOD
QUARTERS ENDED JUNE 30, | SIX MONTHS ENDED JUNE 30, | |||||||||||||||
2011 | 2010 | 2011 | 2010 | |||||||||||||
Net income (loss) |
$ | 41,077 | $ | 58,593 | $ | (46,340 | ) | $ | 114,382 | |||||||
Less preferred dividends |
(3,875 | ) | (3,875 | ) | (7,750 | ) | (7,750 | ) | ||||||||
Net income (loss) available (attributable) to common and participating
common shareholders |
$ | 37,202 | $ | 54,718 | $ | (54,090 | ) | $ | 106,632 | |||||||
Less amount allocated to participating common shareholders [a] |
(710 | ) | (1,120 | ) | (516 | ) | (2,051 | ) | ||||||||
Net income (loss) allocated (attributable) to common shareholders |
$ | 36,492 | $ | 53,598 | $ | (54,606 | ) | $ | 104,581 | |||||||
Denominator: |
||||||||||||||||
Weighted average shares basic |
||||||||||||||||
Outstanding |
39,710 | 52,509 | 40,227 | 52,954 | ||||||||||||
Vested restricted share units |
| | | 4 | ||||||||||||
39,710 | 52,509 | 40,227 | 52,958 | |||||||||||||
Share Equivalents |
||||||||||||||||
Warrants |
2,072 | 1,924 | | 1,921 | ||||||||||||
Options |
371 | 773 | | 877 | ||||||||||||
Restricted share units |
3 | 4 | | 9 | ||||||||||||
Weighted average shares diluted |
42,156 | 55,210 | 40,227 | 55,765 | ||||||||||||
Basic earnings (losses) per common share |
$ | 0.92 | $ | 1.02 | $ | (1.36 | ) | $ | 1.97 | |||||||
Diluted earnings (losses) per common share [b] |
$ | 0.87 | $ | 0.97 | $ | (1.36 | ) | $ | 1.88 | |||||||
[a] | Represents earnings and dividends allocated to holders of unvested restricted shares issued under the Companys stock compensation plans that are considered participating securities related to the calculation of earnings (losses) per share under the two-class method. In periods of loss, no losses are allocated to participating common shareholders. | |
[b] | Represents diluted earnings per share calculated under the two-class method which was the lower of the two-class method and the treasury stock method. |
30
ENDURANCE SPECIALTY HOLDINGS LTD.
OPERATING INCOME (LOSS) RECONCILIATION
EARNINGS (LOSSES) PER SHARE INFORMATION TWO CLASS METHOD
OPERATING INCOME (LOSS) RECONCILIATION
EARNINGS (LOSSES) PER SHARE INFORMATION TWO CLASS METHOD
Two-Class Method | Two-Class Method | |||||||||||||||
QUARTERS ENDED JUNE 30, | SIX MONTHS ENDED JUNE 30, | |||||||||||||||
2011 | 2010 | 2011 | 2010 | |||||||||||||
Net income (loss) |
$ | 41,077 | $ | 58,593 | $ | (46,340 | ) | $ | 114,382 | |||||||
(Less) Add after-tax items: |
||||||||||||||||
Net foreign exchange losses (gains) |
3,181 | 97 | (3,670 | ) | 5,969 | |||||||||||
Net realized and unrealized investment gains |
(20,717 | ) | (1,967 | ) | (24,739 | ) | (4,317 | ) | ||||||||
Net impairment losses recognized in earnings (losses) |
932 | 992 | 2,579 | 1,853 | ||||||||||||
Operating income (loss) before preferred dividends |
$ | 24,473 | $ | 57,715 | $ | (72,170 | ) | $ | 117,887 | |||||||
Preferred dividends |
(3,875 | ) | (3,875 | ) | (7,750 | ) | (7,750 | ) | ||||||||
Operating income (loss) available (attributable) to common and
participating common shareholders |
$ | 20,598 | $ | 53,840 | $ | (79,920 | ) | $ | 110,137 | |||||||
Less amount allocated to participating common shareholders [a] |
(399 | ) | (1,102 | ) | (516 | ) | (2,118 | ) | ||||||||
Operating income (loss) allocated to common shareholders |
$ | 20,199 | $ | 52,738 | $ | (80,436 | ) | $ | 108,019 | |||||||
Weighted average common shares outstanding |
||||||||||||||||
Basic |
39,710 | 52,509 | 40,227 | 52,958 | ||||||||||||
Dilutive |
42,156 | 55,210 | 40,227 | 55,765 | ||||||||||||
Basic per common share data |
||||||||||||||||
Net income (loss) allocated to common shareholders |
$ | 0.92 | $ | 1.02 | $ | (1.36 | ) | $ | 1.97 | |||||||
(Less) Add after-tax items: |
||||||||||||||||
Net foreign exchange losses (gains) |
0.08 | | (0.09 | ) | 0.11 | |||||||||||
Net realized and unrealized investment gains |
(0.52 | ) | (0.04 | ) | (0.61 | ) | (0.08 | ) | ||||||||
Net impairment losses recognized in earnings (losses) |
0.03 | 0.02 | 0.06 | 0.04 | ||||||||||||
Operating income (loss) allocated to common shareholders |
$ | 0.51 | $ | 1.00 | $ | (2.00 | ) | $ | 2.04 | |||||||
Diluted per common share data |
||||||||||||||||
Net income (loss) allocated to common shareholders |
$ | 0.87 | $ | 0.97 | $ | (1.36 | ) | $ | 1.88 | |||||||
(Less) Add after-tax items: |
||||||||||||||||
Net foreign exchange losses (gains) |
0.08 | | (0.09 | ) | 0.11 | |||||||||||
Net realized and unrealized investment gains |
(0.49 | ) | (0.03 | ) | (0.61 | ) | (0.08 | ) | ||||||||
Net impairment losses recognized in earnings (losses) |
0.02 | 0.02 | 0.06 | 0.03 | ||||||||||||
Operating income (loss) allocated to common shareholders [b] |
$ | 0.48 | $ | 0.96 | $ | (2.00 | ) | $ | 1.94 | |||||||
[a] | Represents earnings and dividends allocated to holders of unvested restricted shares issued under the Companys stock compensation plans that are considered participating securities related to the calculation of earnings (losses) per share under the two-class method. In periods of loss, no losses are allocated to participating common shareholders. | |
[b] | Represents diluted earnings per share calculated under the two-class method which was the lower of the two-class method and the treasury stock method. |
31
ENDURANCE SPECIALTY HOLDINGS LTD.
DILUTIVE SHARES SENSITIVITY ANALYSIS
DILUTIVE SHARES SENSITIVITY ANALYSIS
DILUTIVE SHARES OUSTANDING | ||||||||||||||||||||||||||||||||||||||||||
Market Price per Share | ||||||||||||||||||||||||||||||||||||||||||
$ | 35.00 | $ | 36.00 | $ | 37.00 | $ | 38.00 | $ | 39.00 | $ | 40.00 | $ | 41.00 | $ | 42.00 | $ | 43.00 | $ | 44.00 | $ | 45.00 | |||||||||||||||||||||
42,727 | 42,762 | 42,795 | 42,826 | 42,855 | 42,884 | 42,910 | 42,935 | 42,960 | 42,982 | 43,004 |
32
ENDURANCE SPECIALTY HOLDINGS LTD.
BOOK VALUE PER SHARE
BOOK VALUE PER SHARE
JUNE 30, | DEC. 31, | |||||||||||
2011 | 2010 | 2010 | ||||||||||
DILUTIVE COMMON SHARES OUTSTANDING: |
||||||||||||
AS-IF CONVERTED [a] |
||||||||||||
Price per share at period end |
$ | 41.33 | $ | 37.53 | $ | 46.07 | ||||||
Basic common shares outstanding [b] |
39,756 | 51,673 | 46,259 | |||||||||
Add: unvested restricted shares and restricted share units |
763 | 1,007 | 980 | |||||||||
Add: dilutive warrants outstanding |
2,896 | 2,986 | 2,986 | |||||||||
Weighted average exercise price per share |
$ | 12.27 | $ | 13.37 | $ | 12.87 | ||||||
Add: dilutive options outstanding |
561 | 1,335 | 1,278 | |||||||||
Weighted average exercise price per share |
$ | 14.57 | $ | 16.96 | $ | 16.50 | ||||||
Book Value [c] |
$ | 2,240,276 | $ | 2,644,105 | $ | 2,648,153 | ||||||
Add: proceeds from converted warrants |
35,534 | 39,923 | 38,430 | |||||||||
Add: proceeds from converted options |
8,174 | 22,642 | 21,087 | |||||||||
Pro forma book value |
$ | 2,283,984 | $ | 2,706,670 | $ | 2,707,670 | ||||||
Dilutive shares outstanding |
43,976 | 57,001 | 51,503 | |||||||||
Basic book value per common share |
$ | 56.35 | $ | 51.17 | $ | 57.25 | ||||||
Diluted book value per common share |
$ | 51.94 | $ | 47.48 | $ | 52.57 | ||||||
DILUTIVE COMMON SHARES OUTSTANDING: |
||||||||||||
TREASURY STOCK METHOD |
||||||||||||
Price per share at period end |
$ | 41.33 | $ | 37.53 | $ | 46.07 | ||||||
Basic common shares outstanding [b] |
39,756 | 51,673 | 46,259 | |||||||||
Add: unvested restricted shares and restricted share units |
763 | 1,007 | 980 | |||||||||
Add: dilutive warrants outstanding |
2,896 | 2,986 | 2,986 | |||||||||
Weighted average exercise price per share |
$ | 12.27 | $ | 13.37 | $ | 12.87 | ||||||
Less: warrants bought back via treasury method |
(860 | ) | (1,064 | ) | (834 | ) | ||||||
Add: dilutive options outstanding |
561 | 1,335 | 1,278 | |||||||||
Weighted average exercise price per share |
$ | 14.57 | $ | 16.96 | $ | 16.50 | ||||||
Less: options bought back via treasury method |
(198 | ) | (603 | ) | (458 | ) | ||||||
Dilutive shares outstanding |
42,918 | 55,334 | 50,211 | |||||||||
Basic book value per common share |
$ | 56.35 | $ | 51.17 | $ | 57.25 | ||||||
Diluted book value per common share |
$ | 52.20 | $ | 47.78 | $ | 52.74 | ||||||
[a] | The as-if converted method assumes that the proceeds received upon exercise of options and warrants will be retained by the Company and the resulting common shares from exercise will remain outstanding | |
[b] | Basic common shares includes vested restricted share units. | |
[c] | Excludes the $430 million (2010 $200 million) liquidation value of the preferred shares. |
33
ENDURANCE SPECIALTY HOLDINGS LTD.
REGULATION G
REGULATION G
In presenting the Companys results, management has included and discussed certain non-GAAP
measures. Management believes that these non-GAAP measures, which may be defined differently by
other companies, better explain the Companys results of operations in a manner that allows for a
more complete understanding of the underlying trends in the Companys business. However, these
measures should not be viewed as a substitute for those determined in accordance with GAAP.
Operating income (loss) is an internal performance measure used by the Company in the management of
its operations. Operating income (loss) represents after-tax operational results excluding, as
applicable, after-tax net realized capital gains or losses and after-tax net foreign exchange gains
or losses because the amount of these gains or losses is heavily influenced by, and fluctuates in
part, according to the availability of market opportunities. The Company believes these amounts
are largely independent of its business and underwriting process and including them distorts the
analysis of trends in its operations. In addition to presenting net income (loss) determined in
accordance with GAAP, the Company believes that showing operating income (loss) enables investors,
analysts, rating agencies and other users of its financial information to more easily analyze the
Companys results of operations in a manner similar to how management analyzes the Companys
underlying business performance. Operating income (loss) should not be viewed as a substitute for
GAAP net income (loss) . Please see page 31 for a reconciliation of operating income (loss) to net
income (loss).
Return on Average Equity (ROAE) is comprised using the average common equity calculated as the
arithmetic average of the beginning and ending common equity balances for stated periods. Return
on Beginning Equity (ROBE) is comprised using the beginning common equity for stated periods. The
Company presents various measures of Return on Equity that are commonly recognized as a standard of
performance by investors, analysts, rating agencies and other users of its financial information.
Investment yield is provided by the Companys investment managers and is calculated by dividing net
investment income by average invested assets at amortized cost. The Company utilizes and presents
the investment yield in order to better disclose the performance of the Companys investments and
to show the components of the Companys ROE.
The Company has included diluted book value per common share because it takes into account the
effect of dilutive securities; therefore, the Company believes it is a better measure of
calculating shareholder returns than book value per common share. Please see page 33 for a
reconciliation of diluted book value per common share to basic book value per common share.
34