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Collateralized Reinsurance And Trust Agreements

6 Months Ended

Jun. 30, 2021

Collateralized Reinsurance And Trust Agreements [Abstract]

Collateralized Reinsurance And Trust Agreements

10. COLLATERALIZED REINSURANCE AND TRUST AGREEMENTS

Certain subsidiaries of Group have established trust agreements, which effectively use the Company’s investments as collateral, as security for assumed losses payable to certain non-affiliated ceding companies. At June 30, 2021, the total amount on deposit in trust accounts was $1,418,185 thousand.

The Company reinsures some of its catastrophe exposures with the segregated accounts of Mt. Logan Re. Mt. Logan Re is a Collateralized insurer registered in Bermuda and 100% of the voting common shares are owned by Group. Each segregated account invests predominantly in a diversified set of catastrophe exposures, diversified by risk/peril and across different geographic regions globally.

The following table summarizes the premiums and losses that are ceded by the Company to Mt. Logan Re segregated accounts and assumed by the Company from Mt. Logan Re segregated accounts.

		Three Months Ended				Six Months Ended
		June 30,				June 30,
Mt. Logan Re Segregated Accounts		2021		2020		2021		2020
(Dollars in thousands)
Ceded written premiums	$	56,183	$	48,522	$	155,293	$	158,710
Ceded earned premiums		71,422		71,143		149,529		161,693
Ceded losses and LAE		31,052		40,936		111,895		86,051

Assumed written premiums		2,741		2,795		5,217		5,554
Assumed earned premiums		2,741		2,795		5,217		5,554
Assumed losses and LAE		-		-		-		-

Each segregated account is permitted to assume net risk exposures equal to the amount of its available posted collateral, which in the aggregate was $831,634 thousand and $806,564 thousand at June 30, 2021 and December 31, 2020, respectively. Of this amount, Group had investments recorded at $67,881 thousand and $67,645 thousand at June 30, 2021 and December 31, 2020, respectively, in the segregated accounts.

Effective April 1, 2018, the Company entered into a retroactive reinsurance transaction with one of the Mt. Logan Re segregated accounts to retrocede $269,198 thousand of casualty reserves held by Bermuda Re related to accident years 2002 through 2015. As consideration for entering the agreement, the Company transferred cash of $252,000 thousand to the Mt. Logan Re segregated account. The maximum liability to be retroceded under the agreement will be $319,000 thousand. The Company will retain liability for any amounts exceeding the maximum liability. As of June 30, 2021 and December 21, 2020, the Company has a reinsurance recoverable of $228,727 thousand and $254,907 thousand, respectively. In addition, the Company has a deferred gain liability of $36,064 thousand and $38,782 thousand as of June 30, 2021 and December 31, 2020, respectively, reported in other liabilities.

The Company entered into various collateralized reinsurance agreements with Kilimanjaro Re Limited (“Kilimanjaro”), a Bermuda based special purpose reinsurer, to provide the Company with catastrophe reinsurance coverage. These agreements are multi-year reinsurance contracts which cover named storm and earthquake events. The table below summarizes the various agreements.

(Dollars in thousands)
Class	Description	Effective Date	Expiration Date	Limit
Series 2017-1 Class A-2	US, Canada, Puerto Rico – Named Storm and Earthquake Events	4/13/2017	4/13/2022		50,000
Series 2017-1 Class B-2	US, Canada, Puerto Rico – Named Storm and Earthquake Events	4/13/2017	4/13/2022		75,000
Series 2017-1 Class C-2	US, Canada, Puerto Rico – Named Storm and Earthquake Events	4/13/2017	4/13/2022		175,000
Series 2018-1 Class A-1	US, Canada, Puerto Rico – Named Storm and Earthquake Events	4/30/2018	5/6/2022		62,500
Series 2018-1 Class B-1	US, Canada, Puerto Rico – Named Storm and Earthquake Events	4/30/2018	5/6/2022		200,000
Series 2018-1 Class A-2	US, Canada, Puerto Rico – Named Storm and Earthquake Events	4/30/2018	5/5/2023		62,500
Series 2018-1 Class B-2	US, Canada, Puerto Rico – Named Storm and Earthquake Events	4/30/2018	5/5/2023		200,000
Series 2019-1 Class A-1	US, Canada, Puerto Rico – Named Storm and Earthquake Events	12/12/2019	12/19/2023		150,000
Series 2019-1 Class B-1	US, Canada, Puerto Rico – Named Storm and Earthquake Events	12/12/2019	12/19/2023		275,000
Series 2019-1 Class A-2	US, Canada, Puerto Rico – Named Storm and Earthquake Events	12/12/2019	12/19/2024		150,000
Series 2019-1 Class B-2	US, Canada, Puerto Rico – Named Storm and Earthquake Events	12/12/2019	12/19/2024		275,000
Series 2020-1 Class A-1	US, Canada, Puerto Rico – Named Storm and Earthquake Events	4/8/2021	4/21/2025		150,000
Series 2020-1 Class B-1	US, Canada, Puerto Rico – Named Storm and Earthquake Events	4/8/2021	4/21/2025		85,000
Series 2020-1 Class C-1	US, Canada, Puerto Rico – Named Storm and Earthquake Events	4/8/2021	4/21/2025		85,000
Series 2020-1 Class A-2	US, Canada, Puerto Rico – Named Storm and Earthquake Events	4/8/2021	4/20/2026		150,000
Series 2020-1 Class B-2	US, Canada, Puerto Rico – Named Storm and Earthquake Events	4/8/2021	4/20/2026		90,000
Series 2020-1 Class C-2	US, Canada, Puerto Rico – Named Storm and Earthquake Events	4/8/2021	4/20/2026		90,000
	Total available limit as of June 30, 2021			$	2,325,000

Recoveries under these collateralized reinsurance agreements with Kilimanjaro are primarily dependent on estimated industry level insured losses from covered events, as well as, the geographic location of the events. The estimated industry level of insured losses is obtained from published estimates by an independent recognized authority on insured property losses. Currently, none of the published insured loss estimates for catastrophe events during the applicable covered periods of the various agreements have exceeded the single event retentions or aggregate retentions under the terms of the agreements that would result in a recovery.

Kilimanjaro has financed the various property catastrophe reinsurance coverages by issuing catastrophe bonds to unrelated, external investors. The proceeds from the issuance of the Notes listed below are held in reinsurance trusts throughout the duration of the applicable reinsurance agreements and invested solely in U.S. government money market funds with a rating of at least “AAAm” by Standard & Poor’s.

(Dollars in thousands)
Note Series	Issue Date	Maturity Date	Amount
Series 2017-1 Class A-2	4/13/2017	4/13/2022		50,000
Series 2017-1 Class B-2	4/13/2017	4/13/2022		75,000
Series 2017-1 Class C-2	4/13/2017	4/13/2022		175,000
Series 2018-1 Class A-1	4/30/2018	5/6/2022		62,500
Series 2018-1 Class B-1	4/30/2018	5/6/2022		200,000
Series 2018-1 Class A-2	4/30/2018	5/5/2023		62,500
Series 2018-1 Class B-2	4/30/2018	5/5/2023		200,000
Series 2019-1 Class A-1	12/12/2019	12/19/2023		150,000
Series 2019-1 Class B-1	12/12/2019	12/19/2023		275,000
Series 2019-1 Class A-2	12/12/2019	12/19/2024		150,000
Series 2019-1 Class B-2	12/12/2019	12/19/2024		275,000
Series 2020-1 Class A-1	4/8/2021	4/21/2025		150,000
Series 2020-1 Class B-1	4/8/2021	4/21/2025		85,000
Series 2020-1 Class C-1	4/8/2021	4/21/2025		85,000
Series 2020-1 Class A-2	4/8/2021	4/20/2026		150,000
Series 2020-1 Class B-2	4/8/2021	4/20/2026		90,000
Series 2020-1 Class C-2	4/8/2021	4/20/2026		90,000