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Collateralized Reinsurance And Trust Agreements | 12 Months Ended
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Dec. 31, 2021
Collateralized Reinsurance And Trust Agreements [Abstract] |
Collateralized Reinsurance And Trust Agreements | 8. 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 December 31, 2021, the total amount on deposit in trust accounts was $1.7 billion. 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.
|  | Years Ended December 31,
Mt. Logan Re Segregated Accounts |  | 2021 |  | 2020 |  | 2019
(Dollars in thousands) |  |  |  |  |  |
Ceded written premiums |  | 341,460 |  | 303,178 |  | 291,979
Ceded earned premiums |  | 332,989 |  | 306,184 |  | 294,762
Ceded losses and LAE |  | 282,233 |  | 241,347 |  | 187,192
Assumed written premiums |  | 12,120 |  | 18,831 |  | 17,005
Assumed earned premiums |  | 12,120 |  | 18,831 |  | 17,005
Each segregated account is permitted to assume net risk exposures equal to the amount of its available posted collateral, which in the aggregate was $930.0 million and $806.6 million at December 31, 2021 and 2020, respectively. Of this amount, Group had investments recorded at $66.3 million and $67.6 million at December 31, 2021 and 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 $269.2 million 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 $252.0 million to the Mt. Logan Re segregated account. The maximum liability to be retroceded under the agreement will be $319.0 million. The Company will retain liability for any amounts exceeding the maximum liability. As of December 31, 2021 and 2020, the Company has a reinsurance recoverable of $206.1 million and $254.9 million, respectively. In addition the Company has a deferred gain liability of $15.5 million and $38.8 million as of December 31, 2021 and 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 |  | Coverage Basis
Series 2017-1 Class A-2 |  | US, Canada, Puerto Rico – Named Storm and Earthquake Events |  | 4/13/2017 |  | 4/13/2022 |  | $ | 50,000 |  |  | Aggregate
Series 2017-1 Class B-2 |  | US, Canada, Puerto Rico – Named Storm and Earthquake Events |  | 4/13/2017 |  | 4/13/2022 |  |  | 75,000 |  |  | Aggregate
Series 2017-1 Class C-2 |  | US, Canada, Puerto Rico – Named Storm and Earthquake Events |  | 4/13/2017 |  | 4/13/2022 |  |  | 175,000 |  |  | Aggregate
Series 2018-1 Class A-1 |  | US, Canada, Puerto Rico – Named Storm and Earthquake Events |  | 4/30/2018 |  | 5/6/2022 |  |  | 62,500 |  |  | Aggregate
Series 2018-1 Class B-1 |  | US, Canada, Puerto Rico – Named Storm and Earthquake Events |  | 4/30/2018 |  | 5/6/2022 |  |  | 200,000 |  |  | Aggregate
Series 2018-1 Class A-2 |  | US, Canada, Puerto Rico – Named Storm and Earthquake Events |  | 4/30/2018 |  | 5/5/2023 |  |  | 62,500 |  |  | Aggregate
Series 2018-1 Class B-2 |  | US, Canada, Puerto Rico – Named Storm and Earthquake Events |  | 4/30/2018 |  | 5/5/2023 |  |  | 200,000 |  |  | Aggregate
Series 2019-1 Class A-1 |  | US, Canada, Puerto Rico – Named Storm and Earthquake Events |  | 12/12/2019 |  | 12/19/2023 |  |  | 150,000 |  |  | Occurrence
Series 2019-1 Class B-1 |  | US, Canada, Puerto Rico – Named Storm and Earthquake Events |  | 12/12/2019 |  | 12/19/2023 |  |  | 275,000 |  |  | Aggregate
Series 2019-1 Class A-2 |  | US, Canada, Puerto Rico – Named Storm and Earthquake Events |  | 12/12/2019 |  | 12/19/2024 |  |  | 150,000 |  |  | Occurrence
Series 2019-1 Class B-2 |  | US, Canada, Puerto Rico – Named Storm and Earthquake Events |  | 12/12/2019 |  | 12/19/2024 |  |  | 275,000 |  |  | Aggregate
Series 2021-1 Class A-1 |  | US, Canada, Puerto Rico – Named Storm and Earthquake Events |  | 4/8/2021 |  | 4/21/2025 |  |  | 150,000 |  |  | Occurrence
Series 2021-1 Class B-1 |  | US, Canada, Puerto Rico – Named Storm and Earthquake Events |  | 4/8/2021 |  | 4/21/2025 |  |  | 85,000 |  |  | Aggregate
Series 2021-1 Class C-1 |  | US, Canada, Puerto Rico – Named Storm and Earthquake Events |  | 4/8/2021 |  | 4/21/2025 |  |  | 85,000 |  |  | Aggregate
Series 2021-1 Class A-2 |  | US, Canada, Puerto Rico – Named Storm and Earthquake Events |  | 4/8/2021 |  | 4/20/2026 |  |  | 150,000 |  |  | Occurrence
Series 2021-1 Class B-2 |  | US, Canada, Puerto Rico – Named Storm and Earthquake Events |  | 4/8/2021 |  | 4/20/2026 |  |  | 90,000 |  |  | Aggregate
Series 2021-1 Class C-2 |  | US, Canada, Puerto Rico – Named Storm and Earthquake Events |  | 4/8/2021 |  | 4/20/2026 |  |  | 90,000 |  |  | Aggregate
|  | Total available limit as of December 31, 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 2021-1 Class A-1 |  | 4/8/2021 |  | 4/21/2025 |  |  | 150,000
Series 2021-1 Class B-1 |  | 4/8/2021 |  | 4/21/2025 |  |  | 85,000
Series 2021-1 Class C-1 |  | 4/8/2021 |  | 4/21/2025 |  |  | 85,000
Series 2021-1 Class A-2 |  | 4/8/2021 |  | 4/20/2026 |  |  | 150,000
Series 2021-1 Class B-2 |  | 4/8/2021 |  | 4/20/2026 |  |  | 90,000
Series 2021-1 Class C-2 |  | 4/8/2021 |  | 4/20/2026 |  |  | 90,000
|  |  |  |  |  | $ | 2,325,000

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