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Table of Contents
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 10-Q
☒ QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d)
OF THE SECURITIES EXCHANGE ACT OF 1934
For the quarterly period ended March 31, 2020
OR
☐ TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d)
OF THE SECURITIES EXCHANGE ACT OF 1934
Commission file number 001-31721
AXIS CAPITAL HOLDINGS LIMITED
(Exact name of registrant as specified in its charter)
Bermuda
(State or other jurisdiction of incorporation or organization)
98-0395986
(I.R.S. Employer Identification No.)
92 Pitts Bay Road, Pembroke, Bermuda HM 08
(Address of principal executive offices and zip code)
(441) 496-2600
(Registrant’s telephone number, including area code)
Securities registered pursuant to Section 12(b) of the Exchange Act:

Title of each class | Trading Symbol(s) | Name of each exchange on which registered
Common shares, par value $0.0125 per share | AXS | New York Stock Exchange
Depositary Shares, each representing a 1/100th interest in a 5.50% Series E preferred share | AXS PRE | New York Stock Exchange

Indicate by check mark whether the registrant: (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes ☒ No ☐
Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T during the preceding 12 months (or for such shorter period that the registrant was required to submit such files). Yes ☒ No ☐
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company, or an emerging growth company. See the definitions of "large accelerated filer", "accelerated filer", "smaller reporting company", and "emerging growth company" in Rule 12b-2 of the Exchange Act.

Large accelerated filer | ☒ |  | Accelerated filer | ☐
Non-accelerated filer | ☐ |  | Smaller reporting company | ☐
|  |  | Emerging growth company | ☐

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ¨
Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes ☐ No ☒
At May 8, 2020, there were 84,302,286 common shares outstanding, $0.0125 par value per share, of the registrant.

Table of Contents
AXIS CAPITAL HOLDINGS LIMITED
INDEX TO FORM 10-Q

|  | Page
| PART I |
| Financial Information | 3
Item 1. | Consolidated Financial Statements | 5
Item 2. | Management's Discussion and Analysis of Financial Condition and Results of Operations | 44
Item 3. | Quantitative and Qualitative Disclosures About Market Risk | 84
Item 4. | Controls and Procedures | 84
| PART II |
| Other Information | 86
Item 1. | Legal Proceedings | 86
Item 1A. | Risk Factors | 86
Item 2. | Unregistered Sales of Equity Securities and Use of Proceeds | 89
Item 5. | Other Information | 89
Item 6. | Exhibits | 90
| Signatures | 91

2

Table of Contents

PART I FINANCIAL INFORMATION

This Quarterly Report on Form 10-Q contains forward-looking statements within the meaning of section 27A of the Securities Act of 1933 and section 21E of the Securities Exchange Act of 1934. All statements, other than statements of historical facts included in this report, including statements regarding our estimates, beliefs, expectations, intentions, strategies or projections are forward-looking statements. We intend these forward-looking statements to be covered by the safe harbor provisions for forward-looking statements in the United States ("U.S.") federal securities laws. In some cases, these statements can be identified by the use of forward-looking words such as "may", "should", "could", "anticipate", "estimate", "expect", "plan", "believe", "predict", "potential", "intend" or similar expressions. These forward-looking statements are not historical facts, and are based on current expectations, estimates and projections, and various assumptions, many of which, by their nature, are inherently uncertain and beyond management's control.
Forward-looking statements contained in this report may include, but are not limited to, information regarding our estimates of losses related to catastrophes and other large losses including losses related to the COVID-19 pandemic, measurements of potential losses in the fair market value of our investment portfolio and derivative contracts, our expectations regarding the performance of our business, our financial results, our liquidity and capital resources, the outcome of our strategic initiatives, our expectations regarding estimated synergies and the success of the integration of acquired entities, our expectations regarding the estimated benefits and synergies related to our transformation program, our expectations regarding pricing and other market conditions, our growth prospects, and valuations of the potential impact of movements in interest rates, equity securities' prices, credit spreads and foreign currency rates.
Forward-looking statements only reflect our expectations and are not guarantees of performance. These statements involve risks, uncertainties and assumptions. Accordingly, there are or will be important factors that could cause actual events or results to differ materially from those indicated in such statements. We believe that these factors include, but are not limited to, the following:
•the adverse impact of the recent COVID-19 outbreak and resulting pandemic;
•the cyclical nature of the insurance and reinsurance business leading to periods with excess underwriting capacity and unfavorable premium rates;
•the occurrence and magnitude of natural and man-made disasters;
•the impact of global climate change on our business, including the possibility that we do not adequately assess or reserve for the increased frequency and severity of natural catastrophes;
•losses from war, terrorism and political unrest or other unanticipated losses;
•actual claims exceeding our loss reserves;
•general economic, capital and credit market conditions;
•the failure of any of the loss limitation methods we employ;
•the effects of emerging claims, coverage and regulatory issues, including uncertainty related to coverage definitions, limits, terms and conditions;
•our inability to purchase reinsurance or collect amounts due to us;
•the breach by third parties in our program business of their obligations to us;
•difficulties with technology and/or data security;
•the failure of our policyholders and intermediaries to pay premiums;
•the failure of our cedants to adequately evaluate risks;
•inability to obtain additional capital on favorable terms, or at all;
•the loss of one or more of our key executives;
•a decline in our ratings with rating agencies;
•the loss of business provided to us by our major brokers and credit risk due to our reliance on brokers;
•changes in accounting policies or practices;
•the use of industry catastrophe models and changes to these models;
•changes in governmental regulations and potential government intervention in our industry;
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•failure to comply with certain laws and regulations relating to sanctions and foreign corrupt practices;
•increased competition;
•changes in the political environment of certain countries in which we operate or underwrite business including the United Kingdom's ("U.K.") withdrawal from the European Union;
•fluctuations in interest rates, credit spreads, equity securities' prices and/or currency values;
•the failure to successfully integrate acquired businesses or to realize the expected synergies resulting from such acquisitions;
•the failure to realize the expected benefits or synergies relating to our transformation initiative;
•changes in tax laws; and
•other factors including but not limited to those described under Item 1A, 'Risk Factors' in our most recent Annual Report on Form 10-K filed with the Securities and Exchange Commission ("SEC"), as those factors may be updated from time to time in our periodic and other filings with the SEC, which are accessible on the SEC's website at www.sec.gov. Readers are urged to carefully consider all such factors and we note that the COVID-19 pandemic may have the effect of heightening many of the risks and uncertainties described.
We undertake no obligation to update or revise publicly any forward-looking statements, whether as a result of new information, future events or otherwise.
Website and Social Media Disclosure
We use our website (www.axiscapital.com) and our corporate Twitter (@AXIS_Capital) and LinkedIn (AXIS Capital) accounts as channels of distribution of Company information. The information we post through these channels may be deemed material. Accordingly, investors should monitor these channels, in addition to following our press releases, SEC filings and public conference calls and webcasts. In addition, e-mail alerts and other information about AXIS Capital may be received when enrolled in our "E-mail Alerts" program in the Investor Information section of our website (www.axiscapital.com). The contents of our website and social media channels are not, however, part of this Quarterly Report on Form 10-Q.
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ITEM 1. CONSOLIDATED FINANCIAL STATEMENTS

| Page
Consolidated Balance Sheets at March 31, 2020 (Unaudited) and December 31, 2019 | 6
Consolidated Statements of Operations for the three months ended March 31, 2020 and 2019 (Unaudited) | 7
Consolidated Statements of Comprehensive Income for the three months ended March 31, 2020 and 2019 (Unaudited) | 8
Consolidated Statements of Changes in Shareholders' Equity for the three months ended March 31, 2020 and 2019 (Unaudited) | 9
Consolidated Statements of Cash Flows for the three months ended March 31, 2020 and 2019 (Unaudited) | 10
Notes to Consolidated Financial Statements (Unaudited) | 11
Note 1 - Basis of Presentation and Significant Accounting Policies | 11
Note 2 - Segment Information | 13
Note 3 - Investments | 15
Note 4 - Fair Value Measurements | 23
Note 5 - Derivative Instruments | 32
Note 6 - Reserve for Losses and Loss Expenses | 34
Note 7 - Earnings Per Common Share | 38
Note 8 - Share-Based Compensation | 39
Note 9 - Shareholders' Equity | 40
Note 10 - Debt and Financing Arrangements | 42
Note 11 - Commitments and Contingencies | 42
Note 12 - Reorganization Expenses | 42
Note 13 - Other Comprehensive Income (Loss) | 43

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AXIS CAPITAL HOLDINGS LIMITED
CONSOLIDATED BALANCE SHEETS
MARCH 31, 2020 (UNAUDITED) AND DECEMBER 31, 2019

| 2020 |  | 2019
| (in thousands) |  |
Assets |  |  |
Investments: |  |  |
Fixed maturities, available for sale, at fair value (Amortized cost 2020: $12,166,126; 2019: $12,263,240 Allowance for expected credit losses 2020: $20,019) | $ | 12,076,186 |  |  | $ | 12,468,205 |
Equity securities, at fair value (Cost 2020: $390,941; 2019: $398,956) | 404,945 |  |  | 474,207 |
Mortgage loans, held for investment, at fair value (Allowance for expected credit losses 2020: $nil) | 517,181 |  |  | 432,748 |
Other investments, at fair value | 797,808 |  |  | 770,923 |
Equity method investments | 94,244 |  |  | 117,821 |
Short-term investments, at fair value | 77,101 |  |  | 38,471 |
Total investments | 13,967,465 |  |  | 14,302,375 |
Cash and cash equivalents | 755,961 |  |  | 1,241,109 |
Restricted cash and cash equivalents | 485,102 |  |  | 335,348 |
Accrued interest receivable | 76,569 |  |  | 78,085 |
Insurance and reinsurance premium balances receivable (Allowance for expected credit losses 2020: $7,924) | 3,485,043 |  |  | 3,071,390 |
Reinsurance recoverable on unpaid losses and loss expenses (Allowance for expected credit losses 2020: $18,954) | 4,101,579 |  |  | 3,877,756 |
Reinsurance recoverable on paid losses and loss expenses | 357,185 |  |  | 327,795 |
Deferred acquisition costs | 611,229 |  |  | 492,119 |
Prepaid reinsurance premiums | 1,281,808 |  |  | 1,101,889 |
Receivable for investments sold | 34,137 |  |  | 35,659 |
Goodwill | 102,003 |  |  | 102,003 |
Intangible assets | 227,821 |  |  | 230,550 |
Value of business acquired | 7,194 |  |  | 8,992 |
Operating lease right-of-use assets | 140,149 |  |  | 111,092 |
Other assets | 315,523 |  |  | 287,892 |
Total assets | $ | 25,948,768 |  |  | $ | 25,604,054 |
Liabilities |  |  |
Reserve for losses and loss expenses | $ | 13,082,273 |  |  | $ | 12,752,081 |
Unearned premiums | 4,395,240 |  |  | 3,626,246 |
Insurance and reinsurance balances payable | 1,263,389 |  |  | 1,349,082 |
Debt | 1,808,645 |  |  | 1,808,157 |
Payable for investments purchased | 123,678 |  |  | 32,985 |
Operating lease liabilities | 143,071 |  |  | 115,584 |
Other liabilities | 292,894 |  |  | 375,911 |
Total liabilities | 21,109,190 |  |  | 20,060,046 |
Shareholders’ equity |  |  |
Preferred shares | 550,000 |  |  | 775,000 |
Common shares (shares issued 2020: 176,580; 2019: 176,580 shares outstanding 2020: 84,298; 2019: 83,959) | 2,206 |  |  | 2,206 |
Additional paid-in capital | 2,307,998 |  |  | 2,317,212 |
Accumulated other comprehensive income (loss) | (89,919) |  |  | 171,710 |
Retained earnings | 5,836,007 |  |  | 6,056,686 |
Treasury shares, at cost (2020: 92,282; 2019: 92,621 shares) | (3,766,714) |  |  | (3,778,806) |
Total shareholders’ equity | 4,839,578 |  |  | 5,544,008 |
Total liabilities and shareholders’ equity | $ | 25,948,768 |  |  | $ | 25,604,054 |

See accompanying notes to Consolidated Financial Statements.
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AXIS CAPITAL HOLDINGS LIMITED
CONSOLIDATED STATEMENTS OF OPERATIONS (UNAUDITED)
FOR THE THREE MONTHS ENDED MARCH 31, 2020 AND 2019

| Three months ended |  |  |  |  |  |
| 2020 |  | 2019 |  |  |  |
| (in thousands, except for per share amounts) |  |  |  |  |  |
Revenues |  |  |  |  |  |  |
Net premiums earned | $ | 1,088,625 |  |  | $ | 1,134,212 |  |  |  |  |
Net investment income | 93,101 |  |  | 107,303 |  |  |  |  |
Other insurance related income (loss) |  | (8,707) |  |  | 6,929 |  |  |  |  |
Net investment gains (losses): |  |  |  |  |  |  |  |
Allowance for expected credit losses | (20,019) |  |  | — |  |  |  |  |
Impairment losses | (1,190) |  |  | — |  |  |  |  |
Other-than-temporary impairment ("OTTI") losses | — |  |  | (4,036) |  |  |  |  |
Other realized and unrealized investment gains (losses) | (41,668) |  |  | 16,803 |  |  |  |  |
Total net investment gains (losses) |  | (62,877) |  |  | 12,767 |  |  |  |  |
Total revenues | 1,110,142 |  |  | 1,261,211 |  |  |  |  |
Expenses |  |  |  |  |  |  |
Net losses and loss expenses | 908,073 |  |  | 664,028 |  |  |  |  |
Acquisition costs | 238,650 |  |  | 260,418 |  |  |  |  |
General and administrative expenses | 157,060 |  |  | 175,091 |  |  |  |  |
Foreign exchange losses (gains) | (61,683) |  |  | 7,056 |  |  |  |  |
Interest expense and financing costs | 23,472 |  |  | 15,895 |  |  |  |  |
Reorganization expenses | (982) |  |  | 14,820 |  |  |  |  |
Amortization of value of business acquired | 1,799 |  |  | 13,104 |  |  |  |  |
Amortization of intangible assets | 2,870 |  |  | 3,003 |  |  |  |  |
Total expenses | 1,269,259 |  |  | 1,153,415 |  |  |  |  |
Income (loss) before income taxes and interest in income (loss) of equity method investments |  | (159,117) |  |  | 107,796 |  |  |  |  |
Income tax (expense) benefit |  | 4,867 |  |  | (1,234) |  |  |  |  |
Interest in income (loss) of equity method investments |  | (23,577) |  |  | 2,219 |  |  |  |  |
Net income (loss) |  | (177,827) |  |  | 108,781 |  |  |  |  |
Preferred share dividends | 7,563 |  |  | 10,656 |  |  |  |  |
Net income (loss) available (attributable) to common shareholders |  | $ | (185,390) |  |  | $ | 98,125 |  |  |  |  |
Per share data |  |  |  |  |  |  |
Earnings (loss) per common share: |  |  |  |  |  |  |
Earnings (loss) per common share |  | $ | (2.20) |  |  | $ | 1.17 |  |  |  |  |
Earnings (loss) per diluted common share |  | $ | (2.20) |  |  | $ | 1.16 |  |  |  |  |
Weighted average common shares outstanding |  | 84,094 |  |  | 83,725 |  |  |  |  |
Weighted average diluted common shares outstanding |  | 84,094 |  |  | 84,272 |  |  |  |  |

See accompanying notes to Consolidated Financial Statements.
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AXIS CAPITAL HOLDINGS LIMITED
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (UNAUDITED)
FOR THE THREE MONTHS ENDED MARCH 31, 2020 AND 2019

| Three months ended |  |  |  |  |  |
| 2020 |  | 2019 |  |  |  |
| (in thousands) |  |  |  |  |  |
Net income (loss) |  | $ | (177,827) |  |  | $ | 108,781 |  |  |  |  |
Other comprehensive income (loss), net of tax: |  |  |  |  |  |  |  |
Available for sale investments: |  |  |  |  |  |  |
Unrealized gains (losses) arising during the period for which an allowance for expected credit losses has not been recognized |  | (242,962) |  |  | 190,173 |  |  |  |  |
Unrealized gains (losses) arising during the period for which an allowance for expected credit losses has been recognized |  | (16,590) |  |  | — |  |  |  |  |
Adjustment for reclassification of net realized (gains) losses, impairment losses and OTTI losses recognized in net income (loss) | 5,648 |  |  | 13,370 |  |  |  |  |
Unrealized gains (losses) arising during the period, net of reclassification adjustment |  | (253,904) |  |  | 203,543 |  |  |  |  |
Foreign currency translation adjustment | (7,725) |  |  | 2,662 |  |  |  |  |
Total other comprehensive income (loss), net of tax |  | (261,629) |  |  | 206,205 |  |  |  |  |
Comprehensive income (loss) |  | $ | (439,456) |  |  | $ | 314,986 |  |  |  |  |

See accompanying notes to Consolidated Financial Statements.
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AXIS CAPITAL HOLDINGS LIMITED
CONSOLIDATED STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (UNAUDITED)
FOR THE THREE MONTHS ENDED MARCH 31, 2020 AND 2019

| Three months ended |  |  |  |  |  |
| 2020 |  | 2019 |  |  |  |
| (in thousands) |  |  |  |  |  |
Preferred shares |  |  |  |  |  |  |
Balance at beginning of period | $ | 775,000 |  |  | $ | 775,000 |  |  |  |  |
Shares repurchased | (225,000) |  |  | — |  |  |  |  |
Balance at end of period | 550,000 |  |  | $ | 775,000 |  |  |  |  |
Common shares (par value) |  |  |  |  |  |  |
Balance at beginning and end of period | 2,206 |  |  | 2,206 |  |  |  |  |
Additional paid-in capital |  |  |  |  |  |  |
Balance at beginning of period | 2,317,212 |  |  | 2,308,583 |  |  |  |  |
Treasury shares reissued | (18,695) |  |  | (19,302) |  |  |  |  |
Share-based compensation expense | 9,481 |  |  | 7,358 |  |  |  |  |
Balance at end of period | 2,307,998 |  |  | 2,296,639 |  |  |  |  |
Accumulated other comprehensive income (loss) |  |  |  |  |  |  |
Balance at beginning of period | 171,710 |  |  | (177,110) |  |  |  |  |
Unrealized gains (losses) on available for sale investments, net of tax: |  |  |  |  |  |  |
Balance at beginning of period | 181,521 |  |  | (168,365) |  |  |  |  |
Unrealized gains (losses) arising during the period, net of reclassification adjustment |  | (253,904) |  |  | 203,543 |  |  |  |  |
Balance at end of period | (72,383) |  |  | 35,178 |  |  |  |  |
Cumulative foreign currency translation adjustments, net of tax: |  |  |  |  |  |  |
Balance at beginning of period | (9,811) |  |  | (8,745) |  |  |  |  |
Foreign currency translation adjustment | (7,725) |  |  | 2,663 |  |  |  |  |
Balance at end of period | (17,536) |  |  | (6,082) |  |  |  |  |
Balance at end of period | (89,919) |  |  | 29,096 |  |  |  |  |
Retained earnings |  |  |  |  |  |  |
Balance at beginning of period | 6,056,686 |  |  | 5,912,812 |  |  |  |  |
Net income (loss) |  | (177,827) |  |  | 108,781 |  |  |  |  |
Preferred share dividends | (7,563) |  |  | (10,656) |  |  |  |  |
Common share dividends |  | (35,289) |  |  | (34,334) |  |  |  |  |
Balance at end of period | 5,836,007 |  |  | 5,976,603 |  |  |  |  |
Treasury shares, at cost |  |  |  |  |  |  |
Balance at beginning of period | (3,778,806) |  |  | (3,791,420) |  |  |  |  |
Shares repurchased | (8,492) |  |  | (9,003) |  |  |  |  |
Shares reissued | 20,584 |  |  | 21,035 |  |  |  |  |
Balance at end of period | (3,766,714) |  |  | (3,779,388) |  |  |  |  |
Total shareholders’ equity | $ | 4,839,578 |  |  | $ | 5,300,156 |  |  |  |  |

See accompanying notes to Consolidated Financial Statements.
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AXIS CAPITAL HOLDINGS LIMITED
CONSOLIDATED STATEMENTS OF CASH FLOWS (UNAUDITED)
FOR THE THREE MONTHS ENDED MARCH 31, 2020 AND 2019

| Three months ended |  |
| 2020 |  | 2019
| (in thousands) |  |
Cash flows from operating activities: |  |  |
Net income (loss) |  | $ | (177,827) |  |  | $ | 108,781 |
Adjustments to reconcile net income (loss) to net cash used in operating activities: |  |  |  |
Net investment (gains) losses |  | 62,877 |  |  | (12,767) |
Net realized and unrealized (gains) losses on other investments |  | 2,119 |  |  | (6,528) |
Amortization of fixed maturities |  | 6,359 |  |  | 5,832 |
Interest in (income) loss of equity method investments |  | 23,577 |  |  | (2,219) |
Amortization of value of business acquired |  | 1,799 |  |  | 13,104 |
Other amortization and depreciation | 15,612 |  |  | 23,742 |
Share-based compensation expense, net of cash payments | (4,650) |  |  | (3,679) |
Changes in: |  |  |
Accrued interest receivable | 1,234 |  |  | 1,544 |
Reinsurance recoverable balances on unpaid and paid losses | (260,131) |  |  | (98,425) |
Deferred acquisition costs | (119,796) |  |  | (136,906) |
Prepaid reinsurance premiums | (181,055) |  |  | (260,567) |
Reserve for losses and loss expenses | 348,285 |  |  | 4,829 |
Unearned premiums | 774,703 |  |  | 903,253 |
Insurance and reinsurance balances, net | (502,437) |  |  | (559,150) |
Other items | (40,413) |  |  | (38,536) |
Net cash used in operating activities |  | (49,744) |  |  | (57,692) |
Cash flows from investing activities: |  |  |
Purchases of: |  |  |
Fixed maturities | (2,777,053) |  |  | (2,425,086) |
Equity securities | (16,132) |  |  | (23,503) |
Mortgage loans | (84,738) |  |  | (14,965) |
Other investments | (20,858) |  |  | (70,039) |
Short-term investments | (94,352) |  |  | (85,045) |
Proceeds from the sale of: |  |  |
Fixed maturities | 2,506,490 |  |  | 1,978,928 |
Equity securities | 10,308 |  |  | 14,875 |
Other investments | 32,355 |  |  | 67,865 |
Short-term investments | 54,105 |  |  | 185,445 |
Proceeds from redemption of fixed maturities | 424,207 |  |  | 278,150 |
Proceeds from redemption of short-term investments | 1,775 |  |  | 2,413 |
Proceeds from the repayment of mortgage loans | 399 |  |  | 243 |
Purchase of other assets | (13,485) |  |  | (12,051) |
Net cash provided by (used in) investing activities |  | 23,021 |  |  | (102,770) |
Cash flows from financing activities: |  |  |
Taxes paid on withholding shares |  | (8,491) |  |  | (9,003) |
Dividends paid - common shares |  | (37,318) |  |  | (36,260) |
Repurchase of preferred shares |  | (225,000) |  |  | — |
Dividends paid - preferred shares |  | (9,144) |  |  | (10,656) |
Net cash used in financing activities |  | (279,953) |  |  | (55,919) |
Effect of exchange rate changes on foreign currency cash, cash equivalents and restricted cash | (28,718) |  |  | (7,381) |
Decrease in cash, cash equivalents and restricted cash |  | (335,394) |  |  | (223,762) |
Cash, cash equivalents and restricted cash - beginning of period | 1,576,457 |  |  | 1,830,020 |
Cash, cash equivalents and restricted cash - end of period | $ | 1,241,063 |  |  | $ | 1,606,258 |
Supplemental disclosures of cash flow information: |  |  |  |
Income taxes paid (refund) |  | $ | (2,131) |  |  | $ | 1,321 |
Interest paid |  | $ | 13,133 |  |  | $ | — |

See accompanying notes to Consolidated Financial Statements.
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AXIS CAPITAL HOLDINGS LIMITED
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
1. BASIS OF PRESENTATION AND SIGNIFICANT ACCOUNTING POLICIES
Basis of Presentation
These unaudited Consolidated Financial Statements (the "financial statements") have been prepared in accordance with accounting principles generally accepted in the United States of America ("U.S. GAAP") for interim financial information and with the U.S. Securities and Exchange Commission's ("SEC") instructions to Form 10-Q and Article 10 of Regulation S-X and include AXIS Capital Holdings Limited ("AXIS Capital") and its subsidiaries (the "Company"). Accordingly, they do not include all of the information and notes required by U.S. GAAP for complete financial statements. This Quarterly Report on Form 10-Q should be read in conjunction with the financial statements and related notes included in AXIS Capital's Annual Report on Form 10-K for the year ended December 31, 2019, as filed with the SEC.
In the opinion of management, these financial statements reflect all adjustments (consisting of normal recurring adjustments) considered necessary for a fair presentation of the Company's financial position and results of operations for the periods presented.
The results of operations for any interim period are not necessarily indicative of the results for a full year. All inter-company accounts and transactions have been eliminated.
Tabular dollar and share amounts are in thousands, except per share amounts. All amounts are reported in U.S. dollars.
Significant Accounting Policies
There was one notable change to the Company's significant accounting policies subsequent to its Annual Report on Form 10-K for the year ended December 31, 2019.
Measurement of Credit Losses on Financial Instruments
Effective January 1, 2020, the Company adopted ASU 2016-13, "Financial Instruments - Credit Losses (Topic 326) - Measurement of Credit Losses on Financial Instruments," using the modified retrospective approach for insurance and reinsurance premium balances receivable, reinsurance recoverable on unpaid losses and loss expenses and mortgage loans, held for investment. The Company assessed that the impact of adoption of ASU 2016-13 was $nil. This guidance replaced the "incurred loss" impairment methodology with an approach based on "expected losses" to estimate credit losses on certain types of financial instruments and requires consideration of a broader range of reasonable and supportable information to inform credit loss estimates. The guidance requires financial assets to be presented at the net amount expected to be collected. The allowance for credit losses is a valuation account that is deducted from the cost of the financial asset to present the net carrying value at the amount expected to be collected on the financial asset.
Insurance and reinsurance premium balances receivable of $3,485 million and $3,071 million at March 31, 2020 and December 31, 2019, respectively, were presented net of an allowance for expected credit losses. The allowance for expected credit losses was estimated based on the Company's analysis of amounts outstanding, historical delinquencies and write-offs, and current economic conditions together with reasonable and supportable forecasts of short-term economic conditions, giving consideration to the potential impact from the COVID-19 pandemic. At March 31, 2020, the allowance for credit losses expected to be recognized over the life of premium balances receivable was $8 million, compared to an allowance for uncollectible premium balances receivable of $7 million at December 31, 2019. The allowance for expected credit losses is recognized in net income (loss). Any adjustment to the allowance for expected credit losses is recognized in the period in which it is determined. Write-offs of premium balances receivable together with associated allowances for expected credit losses are recognized in the period in which balances are deemed uncollectible. The Company does not have a history of significant write-offs.
Reinsurance recoverable on unpaid losses and loss expenses of $4,102 million and $3,878 million at March 31, 2020 and December 31, 2019, respectively, were presented net of an allowance for expected credit losses. The allowance for expected credit losses was estimated based on the Company's analysis of amounts outstanding, historical delinquencies and write-offs, and disputes. In addition, the Company used a default analysis based on the reinsurers' credit rating and the length of collection periods to estimate allowances for credit expected losses on the remainder of the reinsurance recoverable balance. The default analysis considered current and forecasted economic conditions including the potential impact from the COVID-19 pandemic. At March 31, 2020, the allowance for credit losses expected to be recognized over the life of the reinsurance recoverable balances was $19 million, compared to an allowance for estimated uncollectible reinsurance recoverable balances of $18 million at December 31, 2019. The allowance for expected credit losses is recognized in net income (loss). Any adjustment to the allowance for expected credit losses is recognized in
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AXIS CAPITAL HOLDINGS LIMITED
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
1. BASIS OF PRESENTATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
the period in which it is determined. Write-offs of reinsurance recoverable balances together with associated allowances for expected credit losses are recognized in the period in which balances are deemed uncollectible. The Company does not have a history of significant write-offs.
Mortgage loans, held for investment of $517 million and $433 million at March 31, 2020 and December 31, 2019, respectively, were presented net of an allowance for expected credit losses. The allowance for expected credit losses was estimated based on the Company’s analysis of projected lifetime losses. These projections take into account the Company’s experience with loan losses, defaults and loss severity, and loss expectations for loans with similar risk characteristics. These evaluations are revised as conditions change and new information becomes available. At March 31, 2020 and December 31, 2019, the allowance for credit losses expected to be recognized over the life of our mortgage loans was $nil. The allowance for expected credit losses is recognized in net investment gains (losses). Any adjustment to the allowance for expected credit losses is recognized in the period in which it is determined.
Effective January 1, 2020, the Company adopted the targeted changes to the impairment model for available for sale securities introduced in ASU 2016-13 using the prospective transition approach. The updated guidance amends the previous other-than-temporary impairment model by requiring the recognition of impairments related to credit losses through an allowance account and limits the amount of credit loss to the difference between a security's amortized cost basis and its fair value. In addition, the length of time a security has been in an unrealized loss position no longer impacts the determination of whether a credit loss exists.
An available for sale fixed maturity is impaired if the fair value of the investment is below amortized cost. If a fixed maturity is impaired and the Company intends to sell the security or it is more likely than not that the Company will be required to sell the security before its anticipated recovery, the full amount of the impairment loss is charged to net income and is included in net investment gains (losses). In instances where the Company intends to hold the impaired fixed maturity, and it does not anticipate to fully recover the amortized cost, an allowance for expected credit losses is established. At March 31, 2020, the allowance for expected credit losses was $20 million. The allowance for expected credit losses is charged to net income and is included in net investment gains (losses). The non-credit impairment amount of the loss is recognized in other comprehensive income.
On a quarterly basis, the Company assesses whether unrealized losses on fixed maturities represent credit impairments by considering the following factors:
a. the extent to which the fair value is less than amortized cost;
b. adverse conditions related to the security, industry, or geographical area;
c. downgrades in the security's credit rating by a credit rating agency; and
d. failure of the issuer to make scheduled principal or interest payments.
If a security is assessed to be credit impaired, it is subject to a discounted cash flow analysis by comparing the present value of expected future cash flows with the amortized cost basis. If the present value of expected cash flows is less than the amortized cost, a credit loss exists and an allowance for expected credit losses is recognized. If the present value of expected future cash flows is equal to or greater than the amortized cost basis, an expected credit loss does not exist.
The Company reports accrued interest receivable related to available for sale debt securities separately and has elected not to measure an allowance for expected credit losses for accrued interest receivable. Write-offs of accrued interest receivable balances are recognized in net investment gains (losses) in the period in which they are deemed uncollectible.
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Table of Contents
AXIS CAPITAL HOLDINGS LIMITED
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
2. SEGMENT INFORMATION
AXIS Capital's underwriting operations are organized around its global underwriting platforms, AXIS Insurance and AXIS Re. The Company has determined that it has two reportable segments, insurance and reinsurance. The Company does not allocate its assets by segment, with the exception of goodwill and intangible assets, as it evaluates the underwriting results of each segment separately from the results of its investment portfolio.
Insurance
The Company's insurance segment offers specialty insurance products to a variety of niche markets on a worldwide basis. The product lines in this segment are property, marine, terrorism, aviation, credit and political risk, professional lines, liability, accident and health, and discontinued lines - Novae.
Reinsurance
The Company's reinsurance segment provides treaty reinsurance to insurance companies on a worldwide basis. The product lines in this segment are catastrophe, property, professional lines, credit and surety, motor, liability, agriculture, engineering, marine and other, accident and health, and discontinued lines - Novae.
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Table of Contents
AXIS CAPITAL HOLDINGS LIMITED
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
2. SEGMENT INFORMATION (CONTINUED)
The following tables present the underwriting results of the Company's reportable segments, as well as the carrying values of allocated goodwill and intangible assets:

|  | 2020 |  |  |  |  |  | 2019 |  |  |  |  |
| Three months ended and at March 31, | Insurance |  | Reinsurance |  | Total |  | Insurance |  | Reinsurance |  | Total |
| Gross premiums written | $ | 940,715 |  |  | $ | 1,490,443 |  |  | $ | 2,431,158 |  |  | $ | 851,096 |  |  | $ | 1,732,130 |  |  | $ | 2,583,226 |  |
| Net premiums written | 581,650 |  |  | 1,097,394 |  |  | 1,679,044 |  |  | 529,239 |  |  | 1,247,820 |  |  | 1,777,059 |  |
| Net premiums earned | 562,064 |  |  | 526,561 |  |  | 1,088,625 |  |  | 556,762 |  |  | 577,450 |  |  | 1,134,212 |  |
| Other insurance related income (loss) | 647 |  |  | (9,354) |  |  | (8,707) |  |  | 1,742 |  |  | 5,187 |  |  | 6,929 |  |
| Net losses and loss expenses | (471,812) |  |  | (436,261) |  |  | (908,073) |  |  | (313,776) |  |  | (350,252) |  |  | (664,028) |  |
| Acquisition costs | (112,751) |  |  | (125,899) |  |  | (238,650) |  |  | (117,775) |  |  | (142,643) |  |  | (260,418) |  |
| General and administrative expenses | (100,778) |  |  | (29,184) |  |  | (129,962) |  |  | (106,034) |  |  | (32,839) |  |  | (138,873) |  |
| Underwriting income (loss) |  | $ | (122,630) |  |  | $ | (74,137) |  |  | (196,767) |  |  | $ | 20,919 |  |  | $ | 56,903 |  |  | 77,822 |  |
| Net investment income |  |  |  |  |  | 93,101 |  |  |  |  |  |  | 107,303 |  |
| Net investment gains (losses) |  |  |  |  |  | (62,877) |  |  |  |  |  |  | 12,767 |  |
| Corporate expenses |  |  |  |  |  | (27,098) |  |  |  |  |  |  | (36,218) |  |
| Foreign exchange (losses) gains |  |  |  |  |  | 61,683 |  |  |  |  |  |  | (7,056) |  |
| Interest expense and financing costs |  |  |  |  | (23,472) |  |  |  |  |  |  | (15,895) |  |
| Reorganization expenses |  |  |  |  |  | 982 |  |  |  |  |  |  | (14,820) |  |
| Amortization of value of business acquired |  |  |  |  | (1,799) |  |  |  |  |  |  | (13,104) |  |
| Amortization of intangible assets |  |  |  |  | (2,870) |  |  |  |  |  |  | (3,003) |  |
| Income (loss) before income taxes and interest in income (loss) of equity method investments |  |  |  |  |  | $ | (159,117) |  |  |  |  |  |  | $ | 107,796 |  |
| Net losses and loss expenses ratio | 83.9 | % |  | 82.9 | % |  | 83.4 | % |  | 56.4 | % |  | 60.7 | % |  | 58.5 | % |
| Acquisition cost ratio | 20.1 | % |  | 23.9 | % |  | 21.9 | % |  | 21.2 | % |  | 24.7 | % |  | 23.0 | % |
| General and administrative expense ratio | 17.9 | % |  | 5.5 | % |  | 14.5 | % |  | 19.0 | % |  | 5.6 | % |  | 15.4 | % |
| Combined ratio | 121.9 | % |  | 112.3 | % |  | 119.8 | % |  | 96.6 | % |  | 91.0 | % |  | 96.9 | % |
| Goodwill and intangible assets | $ | 329,824 |  |  | $ | — |  |  | $ | 329,824 |  |  | $ | 340,766 |  |  | $ | — |  |  | $ | 340,766 |  |

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AXIS CAPITAL HOLDINGS LIMITED
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
3. INVESTMENTS
a) Fixed Maturities and Equity securities
Fixed maturities
The following table provides the amortized cost and fair values of the Company's fixed maturities classified as available for sale:

|  | Amortized cost |  | Allowance for expected credit losses |  | Gross unrealized gains |  | Gross unrealized losses |  | Fair value |  |  |
| At March 31, 2020 |  |  |  |  |  |  |  |  |  |  |  |
| Fixed maturities |  |  |  |  |  |  |  |  |  |  |  |
| U.S. government and agency | $ | 1,787,739 |  |  | $ | — |  |  | $ | 78,458 |  |  | $ | (57) |  |  | $ | 1,866,140 |  |  |  |
| Non-U.S. government | 613,672 |  |  | — |  |  | 4,147 |  |  | (19,178) |  |  | 598,641 |  |  |  |
| Corporate debt | 4,917,957 |  |  | (19,884) |  |  | 64,712 |  |  | (183,033) |  |  | 4,779,752 |  |  |  |
| Agency RMBS(1) | 1,564,292 |  |  | — |  |  | 53,183 |  |  | (965) |  |  | 1,616,510 |  |  |  |
| CMBS(2) | 1,402,480 |  |  | — |  |  | 42,896 |  |  | (16,693) |  |  | 1,428,683 |  |  |  |
| Non-agency RMBS | 125,340 |  |  | (118) |  |  | 1,258 |  |  | (3,469) |  |  | 123,011 |  |  |  |
| ABS(3) | 1,543,933 |  |  | (17) |  |  | 2,125 |  |  | (100,862) |  |  | 1,445,179 |  |  |  |
| Municipals(4) | 210,713 |  |  | — |  |  | 7,728 |  |  | (171) |  |  | 218,270 |  |  |  |
| Total fixed maturities | $ | 12,166,126 |  |  | $ | (20,019) |  |  | $ | 254,507 |  |  | $ | (324,428) |  |  | $ | 12,076,186 |  |  |  |
| At December 31, 2019 |  |  |  |  |  |  |  |  |  |  |  |
| Fixed maturities |  |  |  |  |  |  |  |  |  |  |  |
| U.S. government and agency | $ | 2,102,849 |  |  | $ | — |  |  | $ | 16,345 |  |  | $ | (6,313) |  |  | $ | 2,112,881 |  |  |  |
| Non-U.S. government | 564,505 |  |  | — |  |  | 14,535 |  |  | (2,448) |  |  | 576,592 |  |  |  |
| Corporate debt | 4,797,384 |  |  | — |  |  | 140,426 |  |  | (7,556) |  |  | 4,930,254 |  |  |  |
| Agency RMBS(1) | 1,570,823 |  |  | — |  |  | 25,215 |  |  | (3,454) |  |  | 1,592,584 |  |  |  |
| CMBS(2) | 1,340,156 |  |  | — |  |  | 29,838 |  |  | (4,942) |  |  | 1,365,052 |  |  |  |
| Non-agency RMBS | 84,381 |  |  | — |  |  | 1,393 |  |  | (852) |  |  | 84,922 |  |  |  |
| ABS(3) | 1,599,867 |  |  | — |  |  | 4,706 |  |  | (5,880) |  |  | 1,598,693 |  |  |  |
| Municipals(4) | 203,275 |  |  | — |  |  | 4,359 |  |  | (407) |  |  | 207,227 |  |  |  |
| Total fixed maturities | $ | 12,263,240 |  |  | $ | — |  |  | $ | 236,817 |  |  | $ | (31,852) |  |  | $ | 12,468,205 |  |  |  |

(1)Residential mortgage-backed securities ("RMBS") originated by U.S. government-sponsored agencies.
(2)Commercial mortgage-backed securities ("CMBS").
(3)Asset-backed securities ("ABS") include debt tranched securities collateralized primarily by auto loans, student loans, credit card receivables and collateralized loan obligations ("CLOs").
(4)Municipals include bonds issued by states, municipalities and political subdivisions.
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AXIS CAPITAL HOLDINGS LIMITED
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
3. INVESTMENTS (CONTINUED)
Equity Securities
The following table provides the cost and fair values of the Company's equity securities:

|  | Cost |  | Gross unrealized gains |  | Gross unrealized losses |  | Fair value |
| At March 31, 2020 |  |  |  |  |  |  |  |
| Equity securities |  |  |  |  |  |  |  |
| Common stocks | $ | 504 |  |  | $ | 63 |  |  | $ | (449) |  |  | $ | 118 |  |
| Preferred stocks | 6,532 |  |  | 787 |  |  | (11) |  |  | 7,308 |  |
| Exchange-traded funds | 200,197 |  |  | 35,729 |  |  | (13,583) |  |  | 222,343 |  |
| Bond mutual funds | 183,708 |  |  | — |  |  | (8,532) |  |  | 175,176 |  |
| Total equity securities | $ | 390,941 |  |  | $ | 36,579 |  |  | $ | (22,575) |  |  | $ | 404,945 |  |
| At December 31, 2019 |  |  |  |  |  |  |  |
| Equity securities |  |  |  |  |  |  |  |
| Common stocks | $ | 504 |  |  | $ | 77 |  |  | $ | (388) |  |  | $ | 193 |  |
| Preferred stocks | — |  |  | — |  |  | — |  |  | — |  |
| Exchange-traded funds | 215,986 |  |  | 81,444 |  |  | (105) |  |  | 297,325 |  |
| Bond mutual funds | 182,466 |  |  | — |  |  | (5,777) |  |  | 176,689 |  |
| Total equity securities | $ | 398,956 |  |  | $ | 81,521 |  |  | $ | (6,270) |  |  | $ | 474,207 |  |

In the normal course of investing activities, the Company actively manages allocations to non-controlling tranches of structured securities which are variable interests issued by Variable Interest Entities ("VIEs"). These structured securities include RMBS, CMBS and ABS.
The Company also invests in limited partnerships which represent 58% of the Company's other investments. The investments in limited partnerships include hedge funds, direct lending funds, private equity funds and real estate funds as well as CLO equity tranched securities, which are variable interests issued by VIEs (refer to Note 3(c) 'Other Investments'). The Company does not have the power to direct the activities that are most significant to the economic performance of these VIEs therefore the Company is not the primary beneficiary of these VIEs.
The maximum exposure to loss on these interests is limited to the amount of commitment made by the Company. The Company has not provided financial or other support to these structured securities other than the original investment.
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AXIS CAPITAL HOLDINGS LIMITED
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
3. INVESTMENTS (CONTINUED)
Contractual Maturities of Fixed Maturities
Expected maturities may differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment penalties. The table below provides the contractual maturities of fixed maturities:

|  | Amortized cost |  | Fair value |  | % of Total fair value |
| At March 31, 2020 |  |  |  |  |  |
| Maturity |  |  |  |  |  |
| Due in one year or less | $ | 420,406 |  |  | $ | 418,331 |  |  | 3.5 | % |
| Due after one year through five years | 4,435,933 |  |  | 4,411,851 |  |  | 36.5 | % |
| Due after five years through ten years | 2,347,057 |  |  | 2,301,408 |  |  | 19.1 | % |
| Due after ten years | 326,685 |  |  | 331,213 |  |  | 2.7 | % |
|  | 7,530,081 |  |  | 7,462,803 |  |  | 61.8 | % |
| Agency RMBS | 1,564,292 |  |  | 1,616,510 |  |  | 13.4 | % |
| CMBS | 1,402,480 |  |  | 1,428,683 |  |  | 11.8 | % |
| Non-agency RMBS | 125,340 |  |  | 123,011 |  |  | 1.0 | % |
| ABS | 1,543,933 |  |  | 1,445,179 |  |  | 12.0 | % |
| Total | $ | 12,166,126 |  |  | $ | 12,076,186 |  |  | 100.0 | % |
| At December 31, 2019 |  |  |  |  |  |
| Maturity |  |  |  |  |  |
| Due in one year or less | $ | 438,881 |  |  | $ | 443,228 |  |  | 3.6 | % |
| Due after one year through five years | 4,810,202 |  |  | 4,884,837 |  |  | 39.2 | % |
| Due after five years through ten years | 2,091,486 |  |  | 2,157,157 |  |  | 17.3 | % |
| Due after ten years | 327,444 |  |  | 341,732 |  |  | 2.7 | % |
|  | 7,668,013 |  |  | 7,826,954 |  |  | 62.8 | % |
| Agency RMBS | 1,570,823 |  |  | 1,592,584 |  |  | 12.8 | % |
| CMBS | 1,340,156 |  |  | 1,365,052 |  |  | 10.9 | % |
| Non-agency RMBS | 84,381 |  |  | 84,922 |  |  | 0.7 | % |
| ABS | 1,599,867 |  |  | 1,598,693 |  |  | 12.8 | % |
| Total | $ | 12,263,240 |  |  | $ | 12,468,205 |  |  | 100.0 | % |

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AXIS CAPITAL HOLDINGS LIMITED
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
3. INVESTMENTS (CONTINUED)
Gross Unrealized Losses
The following table summarizes fixed maturities and equity securities in an unrealized loss position and the aggregate fair value and gross unrealized loss by length of time the security has continuously been in an unrealized loss position:

|  | 12 months or greater |  |  |  | Less than 12 months |  |  |  | Total |  |  |
|  | Fair value |  | Unrealized losses |  | Fair value |  | Unrealized losses |  | Fair value |  | Unrealized losses |
| At March 31, 2020 |  |  |  |  |  |  |  |  |  |  |  |
| Fixed maturities |  |  |  |  |  |  |  |  |  |  |  |
| U.S. government and agency | $ | — |  |  | $ | — |  |  | $ | 33,246 |  |  | $ | (57) |  |  | $ | 33,246 |  |  | $ | (57) |  |
| Non-U.S. government | 56,233 |  |  | (4,852) |  |  | 310,184 |  |  | (14,326) |  |  | 366,417 |  |  | (19,178) |  |
| Corporate debt | 86,332 |  |  | (13,220) |  |  | 2,418,579 |  |  | (169,813) |  |  | 2,504,911 |  |  | (183,033) |  |
| Agency RMBS | 8,532 |  |  | (135) |  |  | 69,214 |  |  | (830) |  |  | 77,746 |  |  | (965) |  |
| CMBS | 9,954 |  |  | (688) |  |  | 413,682 |  |  | (16,005) |  |  | 423,636 |  |  | (16,693) |  |
| Non-agency RMBS | 4,568 |  |  | (1,405) |  |  | 67,711 |  |  | (2,064) |  |  | 72,279 |  |  | (3,469) |  |
| ABS | 265,024 |  |  | (28,221) |  |  | 971,556 |  |  | (72,641) |  |  | 1,236,580 |  |  | (100,862) |  |
| Municipals | — |  |  | — |  |  | 28,367 |  |  | (171) |  |  | 28,367 |  |  | (171) |  |
| Total fixed maturities | $ | 430,643 |  |  | $ | (48,521) |  |  | $ | 4,312,539 |  |  | $ | (275,907) |  |  | $ | 4,743,182 |  |  | $ | (324,428) |  |
| At December 31, 2019 |  |  |  |  |  |  |  |  |  |  |  |
| Fixed maturities |  |  |  |  |  |  |  |  |  |  |  |
| U.S. government and agency | $ | 9,536 |  |  | $ | (67) |  |  | $ | 614,705 |  |  | $ | (6,246) |  |  | $ | 624,241 |  |  | $ | (6,313) |  |
| Non-U.S. government | 99,466 |  |  | (2,036) |  |  | 18,361 |  |  | (412) |  |  | 117,827 |  |  | (2,448) |  |
| Corporate debt | 121,635 |  |  | (3,847) |  |  | 375,858 |  |  | (3,709) |  |  | 497,493 |  |  | (7,556) |  |
| Agency RMBS | 195,395 |  |  | (1,816) |  |  | 326,402 |  |  | (1,638) |  |  | 521,797 |  |  | (3,454) |  |
| CMBS | 24,281 |  |  | (64) |  |  | 364,641 |  |  | (4,878) |  |  | 388,922 |  |  | (4,942) |  |
| Non-agency RMBS | 6,345 |  |  | (792) |  |  | 25,816 |  |  | (60) |  |  | 32,161 |  |  | (852) |  |
| ABS | 535,780 |  |  | (4,667) |  |  | 404,641 |  |  | (1,213) |  |  | 940,421 |  |  | (5,880) |  |
| Municipals | 5,418 |  |  | (34) |  |  | 46,684 |  |  | (373) |  |  | 52,102 |  |  | (407) |  |
| Total fixed maturities | $ | 997,856 |  |  | $ | (13,323) |  |  | $ | 2,177,108 |  |  | $ | (18,529) |  |  | $ | 3,174,964 |  |  | $ | (31,852) |  |

Fixed Maturities
At March 31, 2020, 2,783 fixed maturities (2019: 1,190) were in an unrealized loss position of $324 million (2019: $32 million), of which $127 million (2019: $5 million) was related to securities below investment grade or not rated.
At March 31, 2020, 320 fixed maturities (2019: 497) had been in a continuous unrealized loss position for twelve months or greater and had a fair value of $431 million (2019: $998 million). The Company concluded that the unrealized loss on these securities as well as the remaining securities in an unrealized loss position were due to non-credit factors at March 31, 2020, and were expected to recover in value as the securities approach maturity. At March 31, 2020, the Company did not intend to sell the securities in an unrealized loss position and it is more likely than not that the Company will not be required to sell these securities before the anticipated recovery of their amortized costs.
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AXIS CAPITAL HOLDINGS LIMITED
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
3. INVESTMENTS (CONTINUED)
b) Mortgage Loans
The following table provides details of the Company's mortgage loans held-for-investment:

|  | March 31, 2020 |  |  |  | December 31, 2019 |  |  |
|  | Carrying value |  | % of Total |  | Carrying value |  | % of Total |
| Mortgage Loans held-for-investment: |  |  |  |  |  |  |  |
| Commercial | $ | 517,181 |  |  | 100 | % |  | $ | 432,748 |  |  | 100 | % |
| Total Mortgage Loans held-for-investment | $ | 517,181 |  |  | 100 | % |  | $ | 432,748 |  |  | 100 | % |

The primary credit quality indicator for commercial mortgage loans is the debt service coverage ratio which compares a property’s net operating income to amounts needed to service the principal and interest due under the loan, (generally, the lower the debt service coverage ratio, the higher the risk of experiencing a credit loss) and the loan-to-value ratio which compares the unpaid principal balance of the loan to the estimated fair value of the underlying collateral (generally, the higher the loan-to-value ratio, the higher the risk of experiencing a credit loss). The debt service coverage ratio and loan-to-value ratio, as well as the values utilized in calculating these ratios, are updated annually, on a rolling basis.
The Company has a high quality mortgage loan portfolio with a weighted average debt service coverage ratio of 2.1x and a weighted average loan-to-value ratio of 58%. At March 31, 2020, there are no credit losses or past due amounts associated with the commercial mortgage loans held by the Company.
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AXIS CAPITAL HOLDINGS LIMITED
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
3. INVESTMENTS (CONTINUED)
c) Other Investments
The following tables provide a summary of the Company's other investments, together with additional information relating to the liquidity of each category:

|  | Fair value |  |  |  | Redemption frequency (if currently eligible) |  | Redemption notice period |
| At March 31, 2020 |  |  |  |  |  |  |  |
| Long/short equity funds | $ | 22,281 |  |  | 3 | % |  | Annually |  | 60 days |
| Multi-strategy funds | 140,096 |  |  | 18 | % |  | Quarterly, Semi-annually |  | 60-90 days |
| Direct lending funds | 289,952 |  |  | 36 | % |  | n/a |  | n/a |
| Private equity funds | 83,693 |  |  | 10 | % |  | n/a |  | n/a |
| Real estate funds | 157,039 |  |  | 20 | % |  | n/a |  | n/a |
| CLO-Equities | 12,793 |  |  | 1 | % |  | n/a |  | n/a |
| Other privately held investments | 37,441 |  |  | 5 | % |  | n/a |  | n/a |
| Overseas deposits | 54,513 |  |  | 7 | % |  | n/a |  | n/a |
| Total other investments | $ | 797,808 |  |  | 100 | % |  |  |  |  |
| At December 31, 2019 |  |  |  |  |  |  |  |
| Long/short equity funds | $ | 31,248 |  |  | 4 | % |  | Annually |  | 60 days |
| Multi-strategy funds | 136,542 |  |  | 18 | % |  | Quarterly, Semi-annually |  | 60-90 days |
| Direct lending funds | 277,395 |  |  | 36 | % |  | n/a |  | n/a |
| Private equity funds | 80,412 |  |  | 10 | % |  | n/a |  | n/a |
| Real estate funds | 130,112 |  |  | 17 | % |  | n/a |  | n/a |
| CLO-Equities | 14,328 |  |  | 2 | % |  | n/a |  | n/a |
| Other privately held investments | 36,934 |  |  | 5 | % |  | n/a |  | n/a |
| Overseas deposits | 63,952 |  |  | 8 | % |  | n/a |  | n/a |
| Total other investments | $ | 770,923 |  |  | 100 | % |  |  |  |  |

n/a - not applicable
Two common redemption restrictions which may impact the Company's ability to redeem hedge funds are gates and lockups. A gate is a suspension of redemptions which may be implemented by the general partner or investment manager of the fund in order to defer, in whole or in part, the redemption request in the event the aggregate amount of redemption requests exceeds a predetermined percentage of the fund's net assets which may otherwise hinder the general partner or investment manager's ability to liquidate holdings in an orderly fashion in order to generate the cash necessary to fund extraordinarily large redemption payouts. A lockup period is the initial amount of time an investor is contractually required to hold the security before having the ability to redeem. During the three months ended March 31, 2020 and 2019, neither of these restrictions impacted the Company's redemption requests. At March 31, 2020, $67 million (2019: $69 million), representing 42% (2019: 41%) of total hedge funds, relate to holdings where the Company is still within the lockup period. The expiration of these lockup periods range from October 2020 to March 2022.
At March 31, 2020, the Company had $157 million (2019: $170 million) of unfunded commitments as a limited partner in direct lending funds. Once the full amount of committed capital has been called by the General Partner of each of these funds, the assets will not be fully returned until the completion of the fund's investment term. These funds have investment terms ranging from five to fifteen years and the General Partners of certain funds have the option to extend the term by up to three years.
At March 31, 2020, the Company had $20 million (2019: $24 million) of unfunded commitments as a limited partner in multi-strategy hedge funds. Once the full amount of committed capital has been called by the General Partner of each of these funds, the assets will not be fully returned until after the completion of the funds' investment term. These funds have investment terms ranging from two years to the dissolution of the underlying fund.
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AXIS CAPITAL HOLDINGS LIMITED
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
3. INVESTMENTS (CONTINUED)
At March 31, 2020, the Company had $162 million (2019: $82 million) of unfunded commitments as a limited partner in funds which invest in real estate and real estate securities and businesses. These funds include an open-ended fund and funds with investment terms ranging from seven years to the dissolution of the underlying fund.
At March 31, 2020, the Company had $187 million (2019: $261 million) of unfunded commitments as a limited partner in private equity funds. The life of the funds is subject to the dissolution of the underlying funds. The Company expects the overall holding period to be over five years.
During 2015, the Company made a $50 million commitment as a limited partner of a bank revolver opportunity fund. The fund has an investment term of seven years and the General Partners have the option to extend the term by up to two years. At March 31, 2020, this commitment remains unfunded. It is not anticipated that the full amount of this fund will be drawn.
Syndicate 2007 holds overseas deposits which include investments in private funds where the underlying investments are primarily U.S. government, non-U.S. government and corporate debt securities. The funds do not trade on an exchange and therefore are not included within available for sale investments.
d) Equity Method Investments
During 2016, the Company paid $108 million including direct transaction costs to acquire 19% of the common equity of Harrington Reinsurance Holdings Limited ("Harrington"), the parent company of Harrington Re Ltd. ("Harrington Re"), an independent reinsurance company jointly sponsored by AXIS Capital and The Blackstone Group L.P. ("Blackstone"). Through long-term service agreements, AXIS Capital will serve as Harrington Re's reinsurance underwriting manager and Blackstone will serve as exclusive investment management service provider. As an investor, the Company expects to benefit from underwriting profit generated by Harrington Re and the income and capital appreciation Blackstone seeks to deliver through its investment management services. In addition, the Company has entered into an arrangement with Blackstone under which underwriting and investment related fees will be shared equally. Harrington is not a VIE that is required to be included in the Company's consolidated financial statements. The Company accounts for its ownership interest in Harrington under the equity method of accounting. The Company's proportionate share of the underlying equity in net assets resulted in a basis difference of $5 million which represents initial transactions costs.
e) Net Investment Income
Net investment income was derived from the following sources:

|  | Three months ended March 31, |  |  |  |  |  |  |
|  | 2020 |  | 2019 |  |  |  |  |
| Fixed maturities | $ | 89,943 |  |  | $ | 91,382 |  |  |  |  |  |
| Other investments | (2,120) |  |  | 6,895 |  |  |  |  |  |
| Equity securities | 2,125 |  |  | 2,328 |  |  |  |  |  |
| Mortgage loans | 4,053 |  |  | 3,063 |  |  |  |  |  |
| Cash and cash equivalents | 4,930 |  |  | 5,801 |  |  |  |  |  |
| Short-term investments | 1,498 |  |  | 3,894 |  |  |  |  |  |
| Gross investment income | 100,429 |  |  | 113,363 |  |  |  |  |  |
| Investment expenses | (7,328) |  |  | (6,060) |  |  |  |  |  |
| Net investment income | $ | 93,101 |  |  | $ | 107,303 |  |  |  |  |  |

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AXIS CAPITAL HOLDINGS LIMITED
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
3. INVESTMENTS (CONTINUED)
f) Net Investment Gains (Losses)
The following table provides an analysis of net investment gains (losses):

|  | Three months ended March 31, |  |  |  |  |  |  |
|  | 2020 |  | 2019 |  |  |  |  |
| Gross realized investment gains |  |  |  |  |  |  |  |
| Fixed maturities and short-term investments | $ | 39,931 |  |  | $ | 10,437 |  |  |  |  |  |
| Equity securities | 1,920 |  |  | 1,445 |  |  |  |  |  |
| Gross realized investment gains | 41,851 |  |  | 11,882 |  |  |  |  |  |
| Gross realized investment losses |  |  |  |  |  |  |  |
| Fixed maturities and short-term investments | (22,766) |  |  | (20,279) |  |  |  |  |  |
| Equity securities | (2,682) |  |  | (93) |  |  |  |  |  |
| Gross realized investment losses | (25,448) |  |  | (20,372) |  |  |  |  |  |
| Allowance for expected credit losses | (20,019) |  |  | — |  |  |  |  |  |
| Impairment losses(1) | (1,190) |  |  | — |  |  |  |  |  |
| OTTI losses | — |  |  | (4,036) |  |  |  |  |  |
| Change in fair value of investment derivatives(2) | 3,162 |  |  | (2,102) |  |  |  |  |  |
| Net unrealized gains (losses) on equity securities | (61,233) |  |  | 27,395 |  |  |  |  |  |
| Net investment gains (losses) |  | $ | (62,877) |  |  | $ | 12,767 |  |  |  |  |  |

(1) Related to instances where the Company intends to sell securities or it is more likely than not that the Company will be required to sell securities before their anticipated recovery.
(2) Refer to Note 5 'Derivative Instruments'.
The following table provides a reconciliation of the beginning and ending balances of the allowance for expected credit losses on fixed maturities classified as available for sale:

|  | Three months ended March 31, |  |  |  |  |  |  |
|  | 2020 |  |  |  |  |  |  |
| Balance at beginning of period | $ | — |  |  |  |  |  |  |  |
| Expected credit losses on securities where credit losses were not previously recognized | 20,019 |  |  |  |  |  |  |  |
| Additions (reductions) for expected credit losses on securities where credit losses were previously recognized | — |  |  |  |  |  |  |  |
| Impairments of securities which the Company intends to sell or more likely than not will be required to sell | — |  |  |  |  |  |  |  |
| Securities sold/redeemed/matured/defaults of credit-impaired securities | — |  |  |  |  |  |  |  |
| Balance at end of period | $ | 20,019 |  |  |  |  |  |  |  |

g) Reverse Repurchase Agreements
At March 31, 2020, the Company held $18 million (2019: $nil) of reverse repurchase agreements. These loans are fully collateralized, are generally outstanding for a short period of time and are presented on a gross basis as part of cash and cash equivalents in the Company's consolidated balance sheets. The required collateral for these loans is either cash or U.S. Treasuries at a minimum rate of 102% of the loan principal. Upon maturity, the Company receives principal and interest income. The Company monitors the estimated fair value of the securities loaned and borrowed on a daily basis with additional collateral obtained as necessary throughout the duration of the transaction.
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AXIS CAPITAL HOLDINGS LIMITED
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
4. FAIR VALUE MEASUREMENTS
Fair Value Hierarchy
Fair value is defined as the price to sell an asset or transfer a liability (i.e. the "exit price") in an orderly transaction between market participants. U.S. GAAP prescribes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to quoted prices in active markets and the lowest priority to unobservable data. The level in the hierarchy within which a given fair value measurement falls is determined based on the lowest level input that is significant to the measurement. The hierarchy is broken down into three levels as follows:
•Level 1 - Valuations based on unadjusted quoted prices in active markets for identical assets or liabilities that the Company has the ability to access.
•Level 2 - Valuations based on quoted prices in active markets for similar assets or liabilities, quoted prices for identical assets or liabilities in inactive markets, or for which significant inputs are observable (e.g. interest rates, yield curves, prepayment speeds, default rates, loss severities, etc.) or can be corroborated by observable market data.
•Level 3 - Valuations based on inputs that are unobservable and significant to the overall fair value measurement. The unobservable inputs reflect the Company's own judgments about assumptions that market participants might use.
The availability of observable inputs can vary from financial instrument to financial instrument and is affected by a wide variety of factors including, for example, the type of financial instrument, whether the financial instrument is new and not yet established in the marketplace, and other characteristics particular to the transaction. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires significantly more judgment.
Accordingly, the degree of judgment exercised by management in determining fair value is greatest for financial instruments categorized as Level 3. In periods of market dislocation, the observability of prices and inputs may be reduced for many financial instruments. This may lead the Company to change the selection of valuation technique (from market to cash flow approach) or may cause the Company to use multiple valuation techniques to estimate the fair value of a financial instrument. This circumstance could cause an instrument to be reclassified between levels within the fair value hierarchy.
Valuation Techniques
The valuation techniques, including significant inputs and assumptions generally used to determine the fair values of the Company's financial instruments as well as the classification of the fair values of its financial instruments in the fair value hierarchy are described in detail below.
Fixed Maturities
At each valuation date, the Company uses the market approach valuation technique to estimate the fair value of its fixed maturities portfolio, where possible. The market approach includes, but is not limited to, prices obtained from third-party pricing services for identical or comparable securities and the use of "pricing matrix models" using observable market inputs such as yield curves, credit risks and spreads, measures of volatility, and prepayment speeds. Pricing from third-party pricing services is sourced from multiple vendors, where available, and the Company maintains a vendor hierarchy by asset type based on historical pricing experience and vendor expertise. Where prices are unavailable from pricing services, the Company obtains non-binding quotes from broker-dealers who are active in the corresponding markets. The valuation techniques including significant inputs and assumptions generally used to determine the fair values of the Company's fixed maturities by asset class as well as the classifications of the fair values of these securities in the fair value hierarchy are described in detail below.
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AXIS CAPITAL HOLDINGS LIMITED
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
4. FAIR VALUE MEASUREMENTS (CONTINUED)
U.S. Government and Agency
U.S. government and agency securities consist primarily of bonds issued by the U.S. Treasury and mortgage pass-through agencies such as the Federal National Mortgage Association, the Federal Home Loan Mortgage Corporation and the Government National Mortgage Association. As the fair values of U.S. Treasury securities are based on unadjusted quoted market prices in active markets, the fair values of these securities are classified as Level 1. The fair values of U.S. government agency securities are determined using the spread above the risk-free yield curve. As the yields for the risk-free yield curve and the spreads are observable market inputs, the fair values of U.S. government agency securities are classified as Level 2.
Non-U.S. Government
Non-U.S. government securities include bonds issued by non-U.S. governments and their agencies along with supranational organizations (collectively also known as sovereign debt securities). The fair values of these securities are based on prices obtained from international indices or valuation models that include inputs such as interest rate yield curves, cross-currency basis index spreads, and country credit spreads for structures similar to the sovereign bond in terms of issuer, maturity and seniority. As the significant inputs used to price these securities are observable market inputs, the fair values of non-U.S. government securities are classified as Level 2.
Corporate Debt
Corporate debt securities consist primarily of investment-grade debt of a wide variety of corporate issuers and industries. The fair values of these securities are generally determined using the spread above the risk-free yield curve. These spreads are generally obtained from the new issue market, secondary trading and broker-dealer quotes. As the yields for the risk-free yield curve and the spreads are observable market inputs, the fair values of corporate debt securities are generally classified as Level 2. Where pricing is unavailable from pricing services, the Company obtains non-binding quotes from broker-dealers to estimate fair value. This is generally the case when there is a low volume of trading activity and current transactions are not orderly. In this event, the fair values of these securities are classified as Level 3.
Agency RMBS
Agency RMBS consist of bonds issued by the Federal National Mortgage Association, the Federal Home Loan Mortgage Corporation and the Government National Mortgage Association. The fair values of these securities are priced using a mortgage pool specific model which uses daily inputs from the active to be announced market and the spread associated with each mortgage pool based on vintage. As the significant inputs used to price these securities are observable market inputs, the fair values of Agency RMBS are classified as Level 2.
CMBS
CMBS mainly include investment-grade bonds originated by non-agencies. The fair values of these securities are determined using a pricing model which uses dealer quotes and other available trade information along with security level characteristics to determine deal specific spreads. As the significant inputs used to price these securities are observable market inputs, the fair values of CMBS are generally classified as Level 2. Where pricing is unavailable from pricing services, the Company obtains non-binding quotes from broker-dealers to estimate fair value. This is generally the case when there is a low volume of trading activity and current transactions are not orderly. I n this event, the fair values of these securities are classified as Level 3.
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AXIS CAPITAL HOLDINGS LIMITED
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
4. FAIR VALUE MEASUREMENTS (CONTINUED)
Non-agency RMBS
Non-agency RMBS mainly include investment-grade bonds originated by non-agencies. The fair values of these securities are determined using an option adjusted spread model or other relevant models, which use inputs including available trade information or broker quotes, prepayment and default projections based on historical statistics of the underlying collateral and current market data. As the significant inputs used to price these securities are observable market inputs, the fair values of non-agency RMBS are generally classified as Level 2. Where pricing is unavailable from pricing services, the Company obtains non-binding quotes from broker-dealers to estimate fair value. This is generally the case when there is a low volume of trading activity and current transactions are not orderly. I n this event, the fair values of these securities are classified as Level 3.
ABS
ABS mainly include investment-grade bonds backed by pools of loans with a variety of underlying collateral, including auto loans, student loans, credit card receivables and collateralized loan obligations ("CLOs"), originated by a variety of financial institutions. The fair values of these securities are determined using a model which uses prepayment speeds and spreads sourced primarily from the new issue market. As the significant inputs used to price these securities are observable market inputs, the fair values of ABS are generally classified as Level 2. Where pricing is unavailable from pricing services, the Company obtains non-binding quotes from broker-dealers t o estimate fair value. This is generally the case when there is a low volume of trading activity and current transactions are not orderly. I n this event, the fair values of these securities are classified as Level 3.
Municipals
Municipals comprise revenue and general obligation bonds issued by U.S. domiciled state and municipal entities. The fair values of these securities are determined using spreads obtained from the new issue market, trade prices and broker-dealers quotes. As the significant inputs used to price these securities are observable market inputs, the fair values of municipals are classified as Level 2.
Equity Securities
Equity securities include common stocks, preferred stocks, exchange-traded funds and bond mutual funds. As the fair values of common stocks, preferred stocks and exchange-traded funds are based on unadjusted quoted market prices in active markets, the fair values of these securities are classified as Level 1. As bond mutual funds have daily liquidity, the fair values of these securities are classified as Level 2.
Other Investments
The fair value of an indirect investment in CLO-Equities is estimated using an income approach valuation technique, specifically an externally developed discounted cash flow model due to the lack of observable and relevant trades in secondary markets. As the significant inputs used to price this security are unobservable, the fair value of the indirect investment in CLO-Equities is classified as Level 3.
Other privately held investments include convertible preferred shares, common shares, convertible notes and notes payable. These investments are initially valued at cost, which approximates fair value. In subsequent measurement periods, the fair values of these investments are generally determined using capital statements obtained from each investee company. In order to assess the reasonableness of the information received from each investee company, the Company maintains an understanding of current market conditions, historical results, and emerging trends that may impact the results of operations, financial condition or liquidity of investee companies. In addition, the Company engages in regular communication with management at the investee companies. As the significant inputs used to price these investments are unobservable, the fair values of other privately held investments are classified as Level 3.
Overseas deposits include investments in private funds held by Syndicate 2007 where the underlying investments are primarily U.S. government, non-U.S. government and corporate debt securities. The funds do not trade on an exchange, and therefore are not included in available for sale investments. As the significant inputs used to price the underlying investments are observable market inputs, the fair values of overseas deposits are classified as Level 2.
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AXIS CAPITAL HOLDINGS LIMITED
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
4. FAIR VALUE MEASUREMENTS (CONTINUED)
Short-term Investments
Short-term investments primarily comprise highly liquid securities with maturities greater than three months but less than one year from the date of purchase. These securities are typically not actively traded due to their approaching maturity, therefore their amortized cost approximates fair value. The fair values of short-term investments are classified as Level 2.
Derivative Instruments
Derivative instruments include foreign exchange forward contracts and exchange traded interest rate swaps that are customized to the Company's economic hedging strategies and trade in the over-the-counter derivative market. The fair values of these derivatives are determined using a market approach valuation technique based on significant observable market inputs from third party pricing vendors, non-binding broker-dealer quotes and/or recent trading activity. As the significant inputs used to price these securities are observable market inputs, the fair values of these derivatives are classified as Level 2.
Other underwriting-related derivatives include insurance and reinsurance contracts that are accounted for as derivatives. These derivative contracts are initially valued at cost which approximates fair value. In subsequent measurement periods, the fair values of these derivatives are determined using internally developed discounted cash flow models. As the significant inputs used to price these derivatives are unobservable, the fair values of these contracts are classified as Level 3.
Cash Settled Awards
Cash settled awards comprise restricted stock units that form part of the Company's compensation program. Although the fair values of these awards are determined using observable quoted market prices in active markets, the restricted stock units are not actively traded. As the significant inputs used to price these securities are observable market inputs, the fair values of these liabilities are classified as Level 2.
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AXIS CAPITAL HOLDINGS LIMITED
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
4. FAIR VALUE MEASUREMENTS (CONTINUED)
The tables below present the financial instruments measured at fair value on a recurring basis for the periods indicated:

|  | Quoted prices in active markets for identical assets (Level 1) |  | Significant other observable inputs (Level 2) |  | Significant unobservable inputs (Level 3) |  | Fair value based on NAV practical expedient |  | Total fair value |
| At March 31, 2020 |  |  |  |  |  |  |  |  |  |
| Assets |  |  |  |  |  |  |  |  |  |
| Fixed maturities |  |  |  |  |  |  |  |  |  |
| U.S. government and agency | $ | 1,787,049 |  |  | $ | 79,091 |  |  | $ | — |  |  | $ | — |  |  | $ | 1,866,140 |  |
| Non-U.S. government | — |  |  | 598,641 |  |  | — |  |  | — |  |  | 598,641 |  |
| Corporate debt | — |  |  | 4,777,507 |  |  | 2,245 |  |  | — |  |  | 4,779,752 |  |
| Agency RMBS | — |  |  | 1,616,510 |  |  | — |  |  | — |  |  | 1,616,510 |  |
| CMBS | — |  |  | 1,424,312 |  |  | 4,371 |  |  | — |  |  | 1,428,683 |  |
| Non-agency RMBS | — |  |  | 113,826 |  |  | 9,185 |  |  | — |  |  | 123,011 |  |
| ABS | — |  |  | 1,444,843 |  |  | 336 |  |  | — |  |  | 1,445,179 |  |
| Municipals | — |  |  | 218,270 |  |  | — |  |  | — |  |  | 218,270 |  |
|  | 1,787,049 |  |  | 10,273,000 |  |  | 16,137 |  |  | — |  |  | 12,076,186 |  |
| Equity securities |  |  |  |  |  |  |  |  |  |
| Common stocks | 118 |  |  | — |  |  | — |  |  | — |  |  | 118 |  |
| Preferred stocks | 7,308 |  |  | — |  |  | — |  |  | — |  |  | 7,308 |  |
| Exchange-traded funds | 222,343 |  |  | — |  |  | — |  |  | — |  |  | 222,343 |  |
| Bond mutual funds | — |  |  | 175,176 |  |  | — |  |  | — |  |  | 175,176 |  |
|  | 229,769 |  |  | 175,176 |  |  | — |  |  | — |  |  | 404,945 |  |
| Other investments |  |  |  |  |  |  |  |  |  |
| Hedge funds (1) | — |  |  | — |  |  | — |  |  | 162,377 |  |  | 162,377 |  |
| Direct lending funds | — |  |  | — |  |  | — |  |  | 289,952 |  |  | 289,952 |  |
| Private equity funds | — |  |  | — |  |  | — |  |  | 83,693 |  |  | 83,693 |  |
| Real estate funds | — |  |  | — |  |  | — |  |  | 157,039 |  |  | 157,039 |  |
| CLO-Equities | — |  |  | — |  |  | 12,793 |  |  | — |  |  | 12,793 |  |
| Other privately held investments | — |  |  | — |  |  | 37,441 |  |  | — |  |  | 37,441 |  |
| Overseas deposits | — |  |  | 54,513 |  |  | — |  |  | — |  |  | 54,513 |  |
|  | — |  |  | 54,513 |  |  | 50,234 |  |  | 693,061 |  |  | 797,808 |  |
| Short-term investments | — |  |  | 77,101 |  |  | — |  |  | — |  |  | 77,101 |  |
| Other assets |  |  |  |  |  |  |  |  |  |
| Derivative instruments (refer to Note 5) | — |  |  | 8,956 |  |  | — |  |  | — |  |  | 8,956 |  |
| Total Assets | $ | 2,016,818 |  |  | $ | 10,588,746 |  |  | $ | 66,371 |  |  | $ | 693,061 |  |  | $ | 13,364,996 |  |
| Liabilities |  |  |  |  |  |  |  |  |  |
| Derivative instruments (refer to Note 5) | $ | — |  |  | $ | 2,081 |  |  | $ | 20,164 |  |  | $ | — |  |  | $ | 22,245 |  |
| Cash settled awards (refer to Note 8) | — |  |  | 5,711 |  |  | — |  |  | — |  |  | 5,711 |  |
| Total Liabilities | $ | — |  |  | $ | 7,792 |  |  | $ | 20,164 |  |  | $ | — |  |  | $ | 27,956 |  |

(1) Includes Long/short equity and Multi-strategy funds.
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AXIS CAPITAL HOLDINGS LIMITED
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
4. FAIR VALUE MEASUREMENTS (CONTINUED)

|  | Quoted prices in active markets for identical assets (Level 1) |  | Significant other observable inputs (Level 2) |  | Significant unobservable inputs (Level 3) |  | Fair value based on NAV practical expedient |  | Total fair value |
| At December 31, 2019 |  |  |  |  |  |  |  |  |  |
| Assets |  |  |  |  |  |  |  |  |  |
| Fixed maturities |  |  |  |  |  |  |  |  |  |
| U.S. government and agency | $ | 2,053,622 |  |  | $ | 59,259 |  |  | $ | — |  |  | $ | — |  |  | $ | 2,112,881 |  |
| Non-U.S. government | — |  |  | 576,592 |  |  | — |  |  | — |  |  | 576,592 |  |
| Corporate debt | — |  |  | 4,927,957 |  |  | 2,297 |  |  | — |  |  | 4,930,254 |  |
| Agency RMBS | — |  |  | 1,592,584 |  |  | — |  |  | — |  |  | 1,592,584 |  |
| CMBS | — |  |  | 1,359,817 |  |  | 5,235 |  |  | — |  |  | 1,365,052 |  |
| Non-agency RMBS | — |  |  | 84,922 |  |  | — |  |  | — |  |  | 84,922 |  |
| ABS | — |  |  | 1,598,204 |  |  | 489 |  |  | — |  |  | 1,598,693 |  |
| Municipals | — |  |  | 207,227 |  |  | — |  |  | — |  |  | 207,227 |  |
|  | 2,053,622 |  |  | 10,406,562 |  |  | 8,021 |  |  | — |  |  | 12,468,205 |  |
| Equity securities |  |  |  |  |  |  |  |  |  |
| Common stocks | $ | 193 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 193 |  |
| Preferred stocks | — |  |  | — |  |  | — |  |  | — |  |  | — |  |
| Exchange-traded funds | 297,325 |  |  | — |  |  | — |  |  | — |  |  | 297,325 |  |
| Bond mutual funds | — |  |  | 176,689 |  |  | — |  |  | — |  |  | 176,689 |  |
|  | 297,518 |  |  | 176,689 |  |  | — |  |  | — |  |  | 474,207 |  |
| Other investments |  |  |  |  |  |  |  |  |  |
| Hedge funds (1) | — |  |  | — |  |  | — |  |  | 167,790 |  |  | 167,790 |  |
| Direct lending funds | — |  |  | — |  |  | — |  |  | 277,395 |  |  | 277,395 |  |
| Private equity funds | — |  |  | — |  |  | — |  |  | 80,412 |  |  | 80,412 |  |
| Real estate funds | — |  |  | — |  |  | — |  |  | 130,112 |  |  | 130,112 |  |
| CLO-Equities | — |  |  | — |  |  | 14,328 |  |  | — |  |  | 14,328 |  |
| Other privately held investments | — |  |  | — |  |  | 36,934 |  |  | — |  |  | 36,934 |  |
| Overseas deposits | — |  |  | 63,952 |  |  | — |  |  | — |  |  | 63,952 |  |
|  | — |  |  | 63,952 |  |  | 51,262 |  |  | 655,709 |  |  | 770,923 |  |
| Short-term investments | — |  |  | 38,471 |  |  | — |  |  | — |  |  | 38,471 |  |
| Other assets |  |  |  |  |  |  |  |  |  |
| Derivative instruments (refer to Note 5) | — |  |  | 3,174 |  |  | — |  |  | — |  |  | 3,174 |  |
| Total Assets | $ | 2,351,140 |  |  | $ | 10,688,848 |  |  | $ | 59,283 |  |  | $ | 655,709 |  |  | $ | 13,754,980 |  |
| Liabilities |  |  |  |  |  |  |  |  |  |
| Derivative instruments (refer to Note 5) | $ | — |  |  | $ | 3,965 |  |  | $ | 9,672 |  |  | $ | — |  |  | $ | 13,637 |  |
| Cash settled awards (refer to Note 8) | — |  |  | 21,731 |  |  | — |  |  | — |  |  | 21,731 |  |
| Total Liabilities | $ | — |  |  | $ | 25,696 |  |  | $ | 9,672 |  |  | $ | — |  |  | $ | 35,368 |  |

(1) Includes Long/short equity and Multi-strategy funds.
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AXIS CAPITAL HOLDINGS LIMITED
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
4. FAIR VALUE MEASUREMENTS (CONTINUED)
The following table quantifies the significant unobservable inputs used in estimating fair values at March 31, 2020 of investments classified as Level 3 in the fair value hierarchy:

|  | Fair value | Valuation technique | Unobservable input | Range | Weighted average |
| Other investments - CLO-Equities | $ | 12,793 |  | Discounted cash flow | Default rates | 3.5% | 3.5% |
|  |  |  | Loss severity rate | 35.0% | 35.0% |
|  |  |  | Collateral spreads | 3.0% | 3.0% |
|  |  |  | Estimated maturity dates | 7 years | 7 years |
| Derivatives - Other underwriting-related derivatives | $ | (20,164) |  | Discounted cash flow | Discount rate | 0.5% | 0.5% |

Note: Fixed maturities of $16 million that are classified as Level 3 are excluded from the above table as these securities are priced using broker-dealer quotes. In addition, privately held investments of $37 million that are classified as Level 3 are excluded from the above table as these investments are priced using capital statements received from investee companies.
Other Investments - CLO-Equities
The CLO-Equities market continues to be relatively inactive with only a small number of transactions being observed, particularly related to transactions involving CLO-Equities held by the Company. Accordingly, the fair value of the Company's indirect investment in CLO-Equities is determined using a discounted cash flow model prepared by an external investment manager.
The default and loss severity rates are the most judgmental unobservable market inputs to the discounted cash flow model to which the valuation of the Company's indirect investment in CLO-Equities is most sensitive. A significant increase (decrease) in either of these significant inputs in isolation would result in a lower (higher) fair value estimate for the investment in CLO-Equities and, in general, a change in default rate assumptions would be accompanied by a directionally similar change in loss severity rate assumptions. Collateral spreads and estimated maturity dates are less judgmental inputs as they are based on the historical average of actual spreads and the weighted average life of the current underlying portfolios, respectively. A significant increase (decrease) in either of these significant inputs in isolation would result in a higher (lower) fair value estimate for the investment in CLO-Equities. In general, these inputs have no significant interrelationship with each other or with default and loss severity rates.
On a quarterly basis, the Company's valuation process for its indirect investment in CLO-Equities includes a review of the underlying cash flows and key assumptions used in the discounted cash flow model. The above significant unobservable inputs are reviewed and updated based on information obtained from secondary markets, including information received from the managers of the Company's CLO-Equities investment. In order to assess the reasonableness of the inputs the Company uses in the discounted cash flow model, the Company maintains an understanding of current market conditions, historical results, and emerging trends that may impact future cash flows. In addition, the assumptions the Company uses in its models are updated through regular communication with industry participants and ongoing monitoring of the deals in which the Company participates.
Derivatives - Other Underwriting-related Derivatives
Other underwriting-related derivatives are initially valued at cost which approximates fair value. In subsequent measurement periods, the fair values of these derivatives are determined using internally developed discounted cash flow models which use appropriate discount rates. The selection of an appropriate discount rate is judgmental and is the most significant unobservable input used in the valuation of these derivatives. A significant increase (decrease) in this input in isolation could result in a significantly lower (higher) fair value measurement for the derivative contracts. In order to assess the reasonableness of the inputs the Company uses in the discounted cash flow model, the Company maintains an understanding of current market conditions, historical results, as well as contract specific information that may impact future cash flows.
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AXIS CAPITAL HOLDINGS LIMITED
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
4. FAIR VALUE MEASUREMENTS (CONTINUED)
The following tables present changes in Level 3 for financial instruments measured at fair value on a recurring basis:

|  | Opening balance |  | Transfers into Level 3 |  | Transfers out of Level 3 |  | Included in net income(1) |  | Included in OCI (2) |  | Purchases |  | Sales |  | Settlements/ distributions |  | Closing balance |  | Change in unrealized gains/losses (3) |  |
| Three months ended March 31, 2020 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Fixed maturities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Corporate debt | $ | 2,297 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | (52) |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 2,245 |  |  | $ | — |  |  |
| CMBS | 5,235 |  |  | — |  |  | — |  |  | — |  |  | (293) |  |  | — |  |  | — |  |  | (571) |  |  | 4,371 |  |  | — |  |  |
| Non-agency RMBS | — |  |  | 9,185 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 9,185 |  |  | — |  |  |
| ABS | 489 |  |  | — |  |  | — |  |  | — |  |  | (153) |  |  | — |  |  | — |  |  | — |  |  | 336 |  |  | — |  |  |
|  | 8,021 |  |  | 9,185 |  |  | — |  |  | — |  |  | (498) |  |  | — |  |  | — |  |  | (571) |  |  | 16,137 |  |  | — |  |  |
| Other investments |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CLO-Equities | 14,328 |  |  | — |  |  | — |  |  | (847) |  |  | — |  |  | — |  |  | — |  |  | (688) |  |  | 12,793 |  |  | (847) |  |  |
| Other privately held investments | 36,934 |  |  | — |  |  | — |  |  | 80 |  |  | — |  |  | 427 |  |  | — |  |  | — |  |  | 37,441 |  |  | 80 |  |  |
|  | 51,262 |  |  | — |  |  | — |  |  | (767) |  |  | — |  |  | 427 |  |  | — |  |  | (688) |  |  | 50,234 |  |  | (767) |  |  |
| Total assets | $ | 59,283 |  |  | $ | 9,185 |  |  | $ | — |  |  | $ | (767) |  |  | $ | (498) |  |  | $ | 427 |  |  | $ | — |  |  | $ | (1,259) |  |  | $ | 66,371 |  |  | $ | (767) |  |  |
| Other liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Derivative instruments | $ | 9,672 |  |  | $ | — |  |  | $ | — |  |  | $ | 10,492 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 20,164 |  |  | $ | 10,492 |  |  |
| Total liabilities | $ | 9,672 |  |  | $ | — |  |  | $ | — |  |  | $ | 10,492 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 20,164 |  |  | $ | 10,492 |  |  |

|  | Opening balance |  | Transfers into Level 3 |  | Transfers out of Level 3 |  | Included in net income(1) |  | Included in OCI (2) |  | Purchases |  | Sales |  | Settlements/ distributions |  | Closing balance |  | Change in unrealized gains/losses (3) |  |
| Three months ended March 31, 2019 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Fixed maturities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Corporate debt | $ | 49,012 |  |  | $ | — |  |  | $ | — |  |  | $ | (696) |  |  | $ | 624 |  |  | $ | — |  |  | $ | (5,547) |  |  | $ | (2,268) |  |  | $ | 41,125 |  |  | $ | — |  |  |
| CMBS | 19,134 |  |  | — |  |  | (4,767) |  |  | — |  |  | 143 |  |  | — |  |  | — |  |  | (3,365) |  |  | 11,145 |  |  | — |  |  |
| Non-agency RMBS | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  |
| ABS | 18,533 |  |  | — |  |  | (16,402) |  |  | — |  |  | 162 |  |  | 9,750 |  |  | — |  |  | — |  |  | 12,043 |  |  | — |  |  |
|  | 86,679 |  |  | — |  |  | (21,169) |  |  | (696) |  |  | 929 |  |  | 9,750 |  |  | (5,547) |  |  | (5,633) |  |  | 64,313 |  |  | — |  |  |
| Other investments |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| CLO-Equities | 21,271 |  |  | — |  |  | — |  |  | 415 |  |  | — |  |  | — |  |  | — |  |  | (3,664) |  |  | 18,022 |  |  | 415 |  |  |
| Other privately held investments | 44,518 |  |  | — |  |  | — |  |  | 667 |  |  | — |  |  | 2,500 |  |  | — |  |  | — |  |  | 47,685 |  |  | 667 |  |  |
|  | 65,789 |  |  | — |  |  | — |  |  | 1,082 |  |  | — |  |  | 2,500 |  |  | — |  |  | (3,664) |  |  | 65,707 |  |  | 1,082 |  |  |
| Total assets | $ | 152,468 |  |  | $ | — |  |  | $ | (21,169) |  |  | $ | 386 |  |  | $ | 929 |  |  | $ | 12,250 |  |  | $ | (5,547) |  |  | $ | (9,297) |  |  | $ | 130,020 |  |  | $ | 1,082 |  |  |
| Other liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Derivative instruments | $ | 10,299 |  |  | $ | — |  |  | $ | — |  |  | $ | (66) |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 10,233 |  |  | $ | (66) |  |  |
| Total liabilities | $ | 10,299 |  |  | $ | — |  |  | $ | — |  |  | $ | (66) |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 10,233 |  |  | $ | (66) |  |  |

(1) Realized gains (losses) on fixed maturities and realized and unrealized gains (losses) on other assets and other liabilities included in net income are included in net investment gains (losses). Realized and unrealized gains (losses) on other investments included in net income are included in net investment income.
(2) Unrealized gains (losses) on fixed maturities are included in other comprehensive income ("OCI").
(3) Change in unrealized gains (losses) relating to assets held at the reporting date.
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AXIS CAPITAL HOLDINGS LIMITED
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
4. FAIR VALUE MEASUREMENTS (CONTINUED)
Transfers into Level 3 from Level 2
The transfers into Level 3 from Level 2 made during the three months ended March 31, 2020 were primarily due to the lack of observable market inputs and multiple quotes from pricing vendors and broker-dealers for certain fixed maturities. There were no transfers into Level 3 from Level 2 during the three months ended March 31, 2019.
Transfers out of Level 3 into Level 2
There were no transfers out of Level 3 into Level 2 during the three months ended March 31, 2020. The transfers out of Level 3 into Level 2 made during the three months ended March 31, 2019 were primarily due to the availability of observable market inputs and multiple quotes from pricing vendors for certain fixed maturities.
Measuring the Fair Value of Other Investments Using Net Asset Valuations
The fair values of hedge funds, direct lending funds, private equity funds and real estate funds are estimated using net asset valuations ("NAVs") as advised by external fund managers or third party administrators. For these funds, NAVs are based on the manager's or administrator's valuation of the underlying holdings in accordance with the fund's governing documents and in accordance with U.S. GAAP.
If there is a reporting lag between the current period end and reporting date of the latest available fund valuation for any hedge fund, the Company estimates fair values by starting with the most recent fund valuation and adjusting for return estimates as well as any subscriptions, redemptions and distributions that took place during the current period. Return estimates are obtained from the relevant fund managers therefore the Company does not typically have a reporting lag in fair value measurements of these funds. Historically, the Company's valuation estimates incorporating these return estimates have not significantly diverged from the subsequently received NAVs.
For direct lending funds, private equity funds, real estate funds and two of the Company's hedge funds, valuation statements are typically released on a reporting lag therefore the Company estimates the fair value of these funds by starting with the most recent fund valuations and adjusting for capital calls, redemptions, drawdowns and distributions. Return estimates are not available from the relevant fund managers for these funds therefore the Company typically has a reporting lag in its fair value measurements of these funds. At March 31, 2020, funds reported on a lag represented 71% (2019: 68%) of the Company's total other investments balance.
The Company often does not have access to financial information relating to the underlying securities held within the funds, therefore management is unable to corroborate the fair values placed on the securities underlying the asset valuations provided by fund managers or fund administrators. In order to assess the reasonableness of the NAVs, the Company performs a number of monitoring procedures on a quarterly basis, to assess the quality of the information provided by fund managers and fund administrators. These procedures include, but are not limited to, regular review and discussion of each fund's performance with its manager, regular evaluation of fund performance against applicable benchmarks and the backtesting of the Company's fair value estimates against subsequently received NAVs. Backtesting involves comparing the Company's previously reported fair values for each fund against NAVs per audited financial statements (for year-end values) and final NAVs from fund managers and fund administrators (for interim values).
The fair values of hedge funds, direct lending funds, private equity funds and real estate funds are measured using the NAV practical expedient, therefore the fair values of these funds have not been categorized within the fair value hierarchy.
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AXIS CAPITAL HOLDINGS LIMITED
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
4. FAIR VALUE MEASUREMENTS (CONTINUED)
Financial Instruments Disclosed, But Not Carried, at Fair Value
The fair value of financial instruments accounting guidance also applies to financial instruments disclosed, but not carried, at fair value, except for certain financial instruments, including insurance contracts.
At March 31, 2020, the carrying values of cash and cash equivalents including restricted amounts, accrued investment income, receivable for investments sold, certain other assets, payable for investments purchased and certain other liabilities approximated their fair values due to their short maturities. As these financial instruments are not actively traded, their fair values are classified as Level 2.
At March 31, 2020, the carrying value of mortgage loans held-for-investment approximated their fair value. The fair values of mortgage loans are primarily determined by estimating expected future cash flows and discounting them using current interest rates for similar mortgage loans with similar credit risk or are determined from pricing for similar loans. As mortgage loans are not actively traded their fair values are classified as Level 3.
At March 31, 2020, Company's debt was recorded at amortized cost with a carrying value of $1,809 million (2019: $1,808 million) and a fair value of $1,798 million (2019: $1,896 million). The fair value of the Company's debt is based on prices obtained from a third-party pricing service and is determined using the spread above the risk-free yield curve. These spreads are generally obtained from the new issue market, secondary trading and broker-dealer quotes. As the yields for the risk-free yield curve and the spreads are observable market inputs, the fair value of the Company's debt is classified as Level 2.
5. DERIVATIVE INSTRUMENTS
The following table provides the balance sheet classifications of derivatives recorded at fair value:

|  | March 31, 2020 |  |  |  |  |  | December 31, 2019 |  |  |  |  |
|  | Derivative notional amount |  | Derivative asset fair value(1) |  | Derivative liability fair value(1) |  | Derivative notional amount |  | Derivative asset fair value(1) |  | Derivative liability fair value(1) |
| Relating to investment portfolio: |  |  |  |  |  |  |  |  |  |  |  |
| Foreign exchange forward contracts | $ | 221,515 |  |  | $ | 1,405 |  |  | $ | 254 |  |  | $ | 68,998 |  |  | $ | — |  |  | $ | 1,405 |  |
| Relating to underwriting portfolio: |  |  |  |  |  |  |  |  |  |  |  |
| Foreign exchange forward contracts | 972,913 |  |  | 7,551 |  |  | 1,827 |  |  | 1,038,630 |  |  | 3,174 |  |  | 2,560 |  |
| Other underwriting-related contracts | 85,000 |  |  | — |  |  | 20,164 |  |  | 85,000 |  |  | — |  |  | 9,672 |  |
| Total derivatives |  |  | $ | 8,956 |  |  | $ | 22,245 |  |  |  |  | $ | 3,174 |  |  | $ | 13,637 |  |

(1)Asset and liability derivatives are classified within other assets and other liabilities in the consolidated balance sheets.
The notional amounts of derivative contracts represent the basis on which amounts paid or received are calculated and are presented in the above table to quantify the volume of the Company's derivative activities. Notional amounts are not reflective of credit risk.
None of the Company's derivative instruments are designated as hedges under current accounting guidance.
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AXIS CAPITAL HOLDINGS LIMITED
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
5. DERIVATIVE INSTRUMENTS (CONTINUED)
Offsetting Assets and Liabilities
The Company's derivative instruments are generally traded under International Swaps and Derivatives Association master netting agreements which establish terms that apply to all transactions. In the event of a bankruptcy or other stipulated event, master netting agreements provide that individual positions be replaced with a new amount, usually referred to as the termination amount, determined by taking into account market prices and converting into a single currency. Effectively, this contractual close-out netting reduces credit exposure from gross to net exposure.
The following table provides a reconciliation of gross derivative assets and liabilities to the net amounts presented in the consolidated balance sheets, with the difference being attributable to the impact of master netting agreements:

|  | March 31, 2020 |  |  |  | December 31, 2019 |  |  |
|  | Gross amounts | Gross amounts offset | Net amounts(1) |  | Gross amounts | Gross amounts offset | Net amounts(1) |
| Derivative assets | $ | 17,034 |  | $ | (8,078) |  | $ | 8,956 |  |  | $ | 7,673 |  | $ | (4,499) |  | $ | 3,174 |  |
| Derivative liabilities | $ | 30,323 |  | $ | (8,078) |  | $ | 22,245 |  |  | $ | 18,136 |  | $ | (4,499) |  | $ | 13,637 |  |

(1)Net asset and liability derivatives are classified within other assets and other liabilities in the consolidated balance sheets.
Refer to Note 3 'Investments' for information on reverse repurchase agreements.
a) Relating to Investment Portfolio
Foreign Currency Risk
The Company's investment portfolio is exposed to foreign currency risk therefore the fair values of its investments are partially influenced by changes in foreign exchange rates. The Company may enter into foreign exchange forward contracts to manage the effect of this foreign currency risk. These foreign currency hedging activities are not designated as specific hedges for financial reporting purposes.
Interest Rate Risk
The Company's investment portfolio contains a large percentage of fixed maturities which exposes it to significant interest rate risk. As part of overall management of this risk, the Company may use interest rate swaps.
b) Relating to Underwriting Portfolio
Foreign Currency Risk
The Company's insurance and reinsurance subsidiaries and branches operate in various countries. Some of its business is written in currencies other than the U.S. dollar, therefore the underwriting portfolio is exposed to significant foreign currency risk. The Company manages foreign currency risk by seeking to match its foreign-denominated net liabilities under insurance and reinsurance contracts with cash and investments that are denominated in the same currencies. The Company uses derivative instruments, specifically, forward contracts to economically hedge foreign currency exposures.
Other Underwriting-related Risks
The Company enters into insurance and reinsurance contracts that are accounted for as derivatives. These insurance or reinsurance contracts provide indemnification to an insured or cedant as a result of a change in a variable as opposed to an identifiable insurable event. The Company considers these contracts to be part of its underwriting operations.
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AXIS CAPITAL HOLDINGS LIMITED
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
5. DERIVATIVE INSTRUMENTS (CONTINUED)
The total unrealized and realized gains (losses) recognized in net income for derivatives not designated as hedges are shown in the following table:

|  | Location of gain (loss) recognized in net income | Three months ended March 31, |  |  |  |  |  |  |
|  |  | 2020 |  | 2019 |  |  |  |  |
| Relating to investment portfolio: |  |  |  |  |  |  |  |  |
| Foreign exchange forward contracts | Net investment gains (losses) | $ | 3,162 |  |  | $ | 752 |  |  |  |  |  |
| Interest rate swaps | Net investment gains (losses) | — |  |  | (2,854) |  |  |  |  |  |
| Relating to underwriting portfolio: |  |  |  |  |  |  |  |  |
| Foreign exchange forward contracts | Foreign exchange gains (losses) | (690) |  |  | (10,517) |  |  |  |  |  |
| Other underwriting-related contracts | Other insurance related income (losses) | (10,201) |  |  | 347 |  |  |  |  |  |
| Total |  | $ | (7,729) |  |  | $ | (12,272) |  |  |  |  |  |

6. RESERVE FOR LOSSES AND LOSS EXPENSES
Reserve Roll-Forward
The following table presents a reconciliation of the Company's beginning and ending gross reserve for losses and loss expenses and net reserves for unpaid losses and loss expenses:

|  | Three months ended March 31, |  |  |  |
|  | 2020 |  | 2019 |  |
| Gross reserve for losses and loss expenses, beginning of period | $ | 12,752,081 |  |  | $ | 12,280,769 |  |  |
| Less reinsurance recoverable on unpaid losses and loss expenses, beginning of period | (3,877,756) |  |  | (3,501,669) |  |  |
| Net reserve for unpaid losses and loss expenses, beginning of period | 8,874,325 |  |  | 8,779,100 |  |  |
| Net incurred losses and loss expenses related to: |  |  |  |  |
| Current year | 914,186 |  |  | 678,700 |  |  |
| Prior years | (6,113) |  |  | (14,672) |  |  |
|  | 908,073 |  |  | 664,028 |  |  |
| Net paid losses and loss expenses related to: |  |  |  |  |
| Current year | (19,081) |  |  | (37,600) |  |  |
| Prior years | (652,014) |  |  | (691,558) |  |  |
|  | (671,095) |  |  | (729,158) |  |  |
| Foreign exchange and other | (130,609) |  |  | 6,460 |  |  |
| Net reserve for unpaid losses and loss expenses, end of period | 8,980,694 |  |  | 8,720,430 |  |  |
| Reinsurance recoverable on unpaid losses and loss expenses, end of period | 4,101,579 |  |  | 3,555,341 |  |  |
| Gross reserve for losses and loss expenses, end of period | $ | 13,082,273 |  |  | $ | 12,275,771 |  |  |

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AXIS CAPITAL HOLDINGS LIMITED
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
6. RESERVE FOR LOSSES AND LOSS EXPENSES (CONTINUED)
The Company writes business with loss experience generally characterized as low frequency and high severity in nature, which can result in volatility in its financial results. During the three months ended March 31, 2020, the Company recognized catastrophe and weather-related losses, net of reinstatement premiums of $300 million, including $235 million attributable to the COVID-19 pandemic. These losses were primarily associated with property related coverages, but also included event cancellation, and accident and health coverages, and considered a global shelter in place order that remains in effect until July 31, 2020. The remaining losses of $65 million were attributable to other weather-related events including regional weather events in the U.S., floods in the U.K. and wildfires in Australia. During the three months ended March 31, 2019, the Company recognized catastrophe and weather-related losses, net of reinstatement premiums of $11 million.
Estimates for Significant Catastrophe Events
At March 31, 2020, net reserves for losses and loss expenses included estimated amounts for numerous catastrophe events. The magnitude and complexity of losses arising from certain of these events inherently increase the level of uncertainty, and therefore, increase the level of management judgment involved in arriving at estimated net reserves for losses and loss expenses. These events include the COVID-19 pandemic which occurred in 2020, Japanese Typhoons Hagibis, Faxai and Tapah, Hurricane Dorian, and the Australia Wildfires which occurred in 2019, Hurricanes Michael and Florence, California Wildfires, and Typhoon Jebi which occurred in 2018, and Hurricanes Harvey, Irma and Maria, and the California Wildfires which occurred in 2017. Actual losses for these events may ultimately differ materially from the Company's current estimates.
The estimate of net reserves for losses and loss expenses related to the COVID-19 pandemic represented the Company's best estimate of losses and loss adjustment expenses that have been incurred at March 31, 2020 assuming a shelter in place order through July 31, 2020, where relevant. The determination of the Company's net reserves for losses and loss expenses for its insurance segment was based on its ground-up assessment of coverage from individual contracts, including a review of contracts with potential exposure to the COVID-19 pandemic. The determination of the Company's net reserves for losses and loss expenses for its reinsurance segment was largely based on a range of industry insured loss estimates and market share analyses, supplemented by a review of in-force treaties that may provide coverage and catastrophe modeling analyses, where appropriate. In addition, the Company considered preliminary information received from clients, brokers and loss adjusters.
The estimate of net reserves for losses and loss expenses related to the COVID-19 pandemic was subject to significant uncertainty. This uncertainty was driven by the inherent difficulty in making assumptions around the impact of the COVID-19 pandemic due to the lack of comparable events, the ongoing nature of the event, and its far-reaching impacts to world-wide economies and the health of the population. These assumptions include:
•the nature and the duration of the pandemic;
•the effects on human health, the economy and the Company's customers;
•the response of government bodies;
•the coverage provided under the Company's contracts;
•the coverage provided by its ceded reinsurance; and
•the evaluation of the loss and impact of loss mitigation actions.
While the Company believes its estimate of net reserves for losses and loss expenses is adequate for losses and loss adjustment expenses that have been incurred at March 31, 2020 based on current facts and circumstances, the Company will continue to monitor the appropriateness of its assumptions as new information comes to light and will adjust its estimate of net reserves for losses and loss adjustment expenses, as appropriate. Actual losses for these events may ultimately differ materially from the Company's current estimates.
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AXIS CAPITAL HOLDINGS LIMITED
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
6. RESERVE FOR LOSSES AND LOSS EXPENSES (CONTINUED)
Prior Year Reserve Development
The Company's net favorable prior year reserve development arises from changes to estimates of losses and loss expenses related to loss events that occurred in previous calendar years. The following table presents net prior year reserve development by segment:

|  | Three months ended March 31, |  |  |  |  |  |  |
|  | 2020 |  | 2019 |  |  |  |  |
| Insurance | $ | 3,832 |  |  | $ | 6,913 |  |  |  |  |  |
| Reinsurance | 2,281 |  |  | 7,759 |  |  |  |  |  |
| Total | $ | 6,113 |  |  | $ | 14,672 |  |  |  |  |  |

The following tables map the Company's lines of business to reserve classes and the expected claim tails:

Insurance segment |  |  |  |  |  |
| Reserve class and tail |  |  |  |  |
| Property and other | Marine | Aviation | Credit and political risk | Professional lines | Liability
| Short | Short | Short/Medium | Medium | Medium | Long
Reported lines of business |  |  |  |  |  |
Property | X |  |  |  |  |
Marine |  | X |  |  |  |
Terrorism | X |  |  |  |  |
Aviation |  |  | X |  |  |
Credit and political risk |  |  |  | X |  |
Professional lines |  |  |  |  | X |
Liability |  |  |  |  |  | X
Accident and health | X |  |  |  |  |
Discontinued lines - Novae | X |  |  |  | X | X

Reinsurance segment |  |  |  |  |
| Reserve class and tail |  |  |  |
| Property and other | Credit and surety | Professional lines | Motor | Liability
| Short | Medium | Medium | Long | Long
Reported lines of business |  |  |  |  |
Catastrophe | X |  |  |  |
Property | X |  |  |  |
Credit and surety |  | X |  |  |
Professional lines |  |  | X |  |
Motor |  |  |  | X |
Liability |  |  |  |  | X
Engineering | X |  |  |  |
Agriculture | X |  |  |  |
Marine and other | X |  |  |  |
Accident and health | X |  |  |  |
Discontinued lines - Novae | X |  |  | X | X

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AXIS CAPITAL HOLDINGS LIMITED
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
6. RESERVE FOR LOSSES AND LOSS EXPENSES (CONTINUED)
Short-tail business
Short-tail business includes the underlying exposures in property and other, marine and aviation reserve classes in the insurance segment, and the property and other reserve class in the reinsurance segment.
For the three months ended March 31, 2020, these reserve classes contributed net favorable prior year reserve development of $10 million, including net favorable prior year reserve development of $13 million contributed by the insurance property and other reserve class, partially offset by of net adverse prior year reserve development of $4 million recognized by the reinsurance property and other reserve class.
For the three months ended March 31, 2019, these reserve classes recognized net adverse prior year reserve development of $33 million, including net adverse prior year reserve development of $22 million recognized by the insurance property and other reserve
class and net adverse prior year reserve development of $29 million recognized by the reinsurance property and other reserve class,
partially offset by net favorable prior year development of $16 million contributed by the insurance marine class.
Medium-tail business
Medium-tail business consists primarily of insurance and reinsurance professional lines reserve classes, insurance credit and political risk reserve class and reinsurance credit and surety reserve class.
For the three months ended March 31, 2020, the insurance professional lines reserve class recorded net adverse prior year reserve development of $5 million reflecting reserve strengthening associated with recent accidents years.
For the three months ended March 31, 2019, the insurance professional lines reserve class recorded net favorable prior year reserve development of $6 million reflecting generally favorable experience on older accident years as we continued to transition to more experienced based actuarial methods.
Reinsurance professional lines reserve class recorded net favorable prior year reserve development of $5 million for the three months ended March 31, 2020, reflecting generally favorable experience on older accident years as we continued to transition to more experience based actuarial methods.
For the three months ended March 31, 2020, the reinsurance credit and surety reserve class recorded net favorable prior year reserve development of $5 million (2019: $10 million) reflecting better than expected loss emergence.
Long-tail business
Long-tail business consists primarily of insurance and reinsurance liability reserve classes and reinsurance motor reserve class.
For the three months ended March 31, 2020, the reinsurance liability reserve class recognized net adverse prior year reserve development of $17 million due to reserve strengthening within the European and U.S. books of business.
For the three months ended March 31, 2019, the reinsurance liability reserve class recognized net favorable prior year reserve development of $12 million due to increased weight given by management to experience based indications on older accident years.
For the three months ended March 31, 2020, the reinsurance motor reserve class recognized net favorable prior year reserve development of $13 million (2019: $12 million) primarily attributable to non-proportional treaty business on older accident years.
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AXIS CAPITAL HOLDINGS LIMITED
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
7. EARNINGS PER COMMON SHARE
The following table presents a comparison of earnings (loss) per common share and earnings (loss) per diluted common share:

|  | Three months ended March 31, |  |  |  |  |  |  |
|  | 2020 |  | 2019 |  |  |  |  |
| Earnings (loss) per common share |  |  |  |  |  |  |  |  |
| Net income (loss) |  | $ | (177,827) |  |  | $ | 108,781 |  |  |  |  |  |
| Less: Preferred share dividends | 7,563 |  |  | 10,656 |  |  |  |  |  |
| Net income (loss) available (attributable) to common shareholders |  | (185,390) |  |  | 98,125 |  |  |  |  |  |
| Weighted average common shares outstanding | 84,094 |  |  | 83,725 |  |  |  |  |  |
| Earnings (loss) per common share |  | $ | (2.20) |  |  | $ | 1.17 |  |  |  |  |  |
| Earnings (loss) per diluted common share |  |  |  |  |  |  |  |  |
| Net income (loss) available (attributable) to common shareholders |  | $ | (185,390) |  |  | $ | 98,125 |  |  |  |  |  |
| Weighted average common shares outstanding | 84,094 |  |  | 83,725 |  |  |  |  |  |
| Share-based compensation plans(1) | — |  |  | 547 |  |  |  |  |  |
| Weighted average diluted common shares outstanding | 84,094 |  |  | 84,272 |  |  |  |  |  |
| Earnings (loss) per diluted common share |  | $ | (2.20) |  |  | $ | 1.16 |  |  |  |  |  |
| Weighted average anti-dilutive shares excluded from the dilutive computation |  | 806 |  |  | 601 |  |  |  |  |  |

(1) Due to the net loss recognized for the three months ended March 31, 2020, the share equivalents were anti-dilutive.
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AXIS CAPITAL HOLDINGS LIMITED
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
8. SHARE-BASED COMPENSATION
Share-Settled Awards
The following table provides an activity summary of the Company's share-settled restricted stock units for the three months ended March 31, 2020:

|  | Share-Settled Performance Restricted Stock Units |  |  |  | Share-Settled Service Restricted Stock Units |  |  |
|  | Number of restricted stock units |  | Weighted average grant date fair value(1) |  | Number of restricted stock units |  | Weighted average grant date fair value(1) |
| Non-vested restricted stock units - beginning of period | 258 |  |  | $ | 53.31 |  |  | 1,273 |  |  | $ | 54.32 |  |
| Granted | 97 |  |  | 62.26 |  |  | 749 |  |  | 62.15 |  |
| Vested | (27) |  |  | 64.01 |  |  | (463) |  |  | 55.13 |  |
| Forfeited | — |  |  | — |  |  | (15) |  |  | 56.35 |  |
| Non-vested restricted stock units - end of period | 328 |  |  | $ | 55.09 |  |  | 1,544 |  |  | $ | 57.86 |  |

(1) Fair value is based on the closing price of the Company's common shares on the grant date.
Cash-Settled awards
The following table provides an activity summary of the Company's cash-settled restricted stock units for the three months ended March 31, 2020:

|  | Cash-Settled Performance Restricted Stock Units |  | Cash-Settled Service Restricted Stock Units |
|  | Number of restricted stock units |  | Number of restricted stock units |
| Non-vested restricted stock units - beginning of period | 6 |  |  | 853 |  |
| Granted | — |  |  | 1 |  |
| Vested | (6) |  |  | (311) |  |
| Forfeited | — |  |  | (11) |  |
| Non-vested restricted stock units - end of period | — |  |  | 532 |  |

The following table provides additional information related to share-based compensation:

Three months ended March 31, | 2020 |  | 2019
Share-based compensation expense(1) | $ | 13,132 |  |  | $ | 15,343 |
Tax benefits associated with share-based compensation expense | $ | 1,889 |  |  | $ | 2,341 |
Liability for cash-settled restricted stock units(2) | $ | 5,711 |  |  | $ | 7,878 |
Fair value of restricted stock units vested(3) | $ | 45,565 |  |  | $ | 47,816 |
Unrecognized share-based compensation expense | $ | 111,909 |  |  | $ | 120,735 |
Expected weighted average period associated with the recognition of unrecognized share-based compensation expense | 2.8 years |  | 2.9 years

(1) Related to share-settled stock units, and cash settled restricted stock units.
(2) Included in other liabilities in the consolidated balance sheets.
(3) Fair value is based on the closing price of the Company's common shares on the vest date.
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AXIS CAPITAL HOLDINGS LIMITED
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
9. SHAREHOLDERS' EQUITY
The following table presents changes in common shares issued and outstanding:

|  | Three months ended March 31, |  |  |  |  |  |  |
|  | 2020 |  | 2019 |  |  |  |  |
| Shares issued, balance at beginning of period | 176,580 |  |  | 176,580 |  |  |  |  |  |
| Shares issued | — |  |  | — |  |  |  |  |  |
| Total shares issued at end of period | 176,580 |  |  | 176,580 |  |  |  |  |  |
| Treasury shares, balance at beginning of period | (92,621) |  |  | (92,994) |  |  |  |  |  |
| Shares repurchased | (150) |  |  | (157) |  |  |  |  |  |
| Shares reissued | 489 |  |  | 505 |  |  |  |  |  |
| Total treasury shares at end of period | (92,282) |  |  | (92,646) |  |  |  |  |  |
| Total shares outstanding | 84,298 |  |  | 83,934 |  |  |  |  |  |

Treasury Shares
The following table presents common share repurchased from shares held in Treasury:

|  | Three months ended March 31, |  |  |  |  |  |  |
|  | 2020 |  | 2019 |  |  |  |  |
| In the open market: |  |  |  |  |  |  |  |
| Total shares | — |  |  | — |  |  |  |  |  |
| Total cost | $ | — |  |  | $ | — |  |  |  |  |  |
| Average price per share(1) | $ | — |  |  | $ | — |  |  |  |  |  |
| From employees:(2) |  |  |  |  |  |  |  |
| Total shares | 150 |  |  | 157 |  |  |  |  |  |
| Total cost | $ | 8,492 |  |  | $ | 9,003 |  |  |  |  |  |
| Average price per share(1) | $ | 56.43 |  |  | $ | 57.17 |  |  |  |  |  |
| Total shares repurchased: |  |  |  |  |  |  |  |
| Total shares | 150 |  |  | 157 |  |  |  |  |  |
| Total cost | $ | 8,492 |  |  | $ | 9,003 |  |  |  |  |  |
| Average price per share(1) | $ | 56.43 |  |  | $ | 57.17 |  |  |  |  |  |

(1) Calculated using whole numbers.
(2) Shares are repurchased from employees to satisfy withholding tax liabilities related to the vesting of share-settled restricted stock units.
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AXIS CAPITAL HOLDINGS LIMITED
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
9. SHAREHOLDERS' EQUITY (CONTINUED)
Dividends
The following table presents dividends declared and paid related to the Company's common and preferred shares:

| Per share data |  |  |  |  |
| Dividends declared |  | Dividends paid in period of declaration |  | Dividends paid in period following declaration |
Three months ended March 31, 2019 |  |  |  |  |  |
Common shares | $ | 0.40 |  |  | $ | — |  |  | $ | 0.40 |  |
Series D preferred shares | $ | 0.34 |  |  | $ | — |  |  | $ | 0.34 |  |
Series E preferred shares | $ | 34.38 |  |  | $ | — |  |  | $ | 34.38 |  |
Three months ended March 31, 2020 |  |  |  |  |  |
Common shares | $ | 0.41 |  |  | $ | — |  |  | $ | 0.41 |  |
Series D preferred shares(1) | $ | — |  |  | $ | — |  |  | $ | — |  |
Series E preferred shares | $ | 34.38 |  |  | $ | — |  |  | $ | 34.38 |  |

(1) On January 17, 2020, the Company redeemed all 9,000,000 Series D preferred shares, for an aggregate liquidation preference of $225 million. The final dividend on the Series D preferred shares was declared in 2019.
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AXIS CAPITAL HOLDINGS LIMITED
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
10. DEBT AND FINANCING ARRANGEMENTS
On March 28, 2020, certain of AXIS Capital’s operating subsidiaries (the "Participating Subsidiaries") amended their existing $250 million secured letter of credit facility with Citibank Europe plc (the "$250 million Facility") to extend the expiration date to March 31, 2021.
The terms and conditions of the $500 million secured letter of credit facility (the "$500 million Facility") remain unchanged.
Letters of credit issued under the $250 million facility and the $500 million facility are principally used to support the reinsurance obligations of the Participating Subsidiaries. The Participating Subsidiaries are subject to certain covenants, including the requirement to maintain sufficient collateral to cover the obligations outstanding under the facilities. Such obligations include contingent reimbursement obligations for outstanding letters of credit and fees payable to Citibank Europe plc. In the event of default, Citibank Europe plc may exercise certain remedies, including the exercise of control over pledged collateral and the termination facility to any or all of the Participating Subsidiaries.
11. COMMITMENTS AND CONTINGENCIES
Legal Proceedings
From time to time, the Company is subject to routine legal proceedings, including arbitrations, arising in the ordinary course of business. These legal proceedings generally relate to claims asserted by or against the Company in the ordinary course of insurance or reinsurance operations. Estimated amounts payable under such proceedings are included in the reserve for losses and loss expenses in the consolidated balance sheets.
The Company is not party to any material legal proceedings arising outside the ordinary course of business.
Investments
Refer to Note 3 - 'Investments' for information on the Company's unfunded investment commitments related to the Company's other investment portfolio.
12. REORGANIZATION EXPENSES
For the three months ended months ended March 31, 2020, reorganization expenses were $(1) million (2019: $15 million), respectively, related to the Company's transformation program which was launched in 2017. This program encompasses the integration of Novae which commenced in the fourth quarter of 2017, the realignment of the Company's accident and health business, together with other initiatives designed to increase efficiency and enhance profitability while delivering a customer-centric operating model.
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AXIS CAPITAL HOLDINGS LIMITED
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
13. OTHER COMPREHENSIVE INCOME (LOSS)
The following table presents the tax effects allocated to each component of other comprehensive income (loss):

|  | 2020 |  |  |  |  |  | 2019 |  |  |  |  |
|  | Before tax amount |  | Income tax (expense) benefit |  | Net of tax amount |  | Before tax amount |  | Income tax (expense) benefit |  | Net of Tax Amount |
| Three months ended March 31, |  |  |  |  |  |  |  |  |  |  |  |
| Available for sale investments: |  |  |  |  |  |  |  |  |  |  |  |
| Unrealized gains (losses) arising during the period for which an allowance for expected credit losses has not been recognized | $ | (260,758) |  |  | $ | 17,796 |  |  | $ | (242,962) |  |  | $ | 206,806 |  |  | $ | (16,633) |  |  | $ | 190,173 |  |
| Unrealized gains (losses) arising during the period for which an allowance for expected credit losses has been recognized |  | (18,125) |  |  | 1,535 |  |  | (16,590) |  |  | — |  |  | — |  |  | — |  |
| Adjustment for reclassification of net realized (gains) losses, impairment losses and OTTI losses recognized in net income (loss) | 4,126 |  |  | 1,522 |  |  | 5,648 |  |  | 13,874 |  |  | (504) |  |  | 13,370 |  |
| Unrealized gains (losses) arising during the period, net of reclassification adjustment | (274,757) |  |  | 20,853 |  |  | (253,904) |  |  | 220,680 |  |  | (17,137) |  |  | 203,543 |  |
| Foreign currency translation adjustment | (7,725) |  |  | — |  |  | (7,725) |  |  | 2,662 |  |  | — |  |  | 2,662 |  |
| Total other comprehensive income (loss), net of tax |  | $ | (282,482) |  |  | $ | 20,853 |  |  | $ | (261,629) |  |  | $ | 223,342 |  |  | $ | (17,137) |  |  | $ | 206,205 |  |

The following table presents details of amounts reclassified from accumulated other comprehensive income ("AOCI") to net income (loss):

|  |  | Amount reclassified from AOCI(1) |  |  |  |  |  |  |
| AOCI Components | Consolidated statement of operations line item that includes reclassification adjustment | Three months ended March 31, |  |  |  |  |  |  |
|  |  | 2020 |  | 2019 |  |  |  |  |
| Unrealized gains (losses) on available for sale investments |  |  |  |  |  |  |  |  |
|  | Other realized gains (losses) | $ | (2,936) |  |  | $ | (9,838) |  |  |  |  |  |
|  | Impairment losses | (1,190) |  |  | — |  |  |  |  |  |
|  | OTTI losses | — |  |  | (4,036) |  |  |  |  |  |
|  | Total before tax | (4,126) |  |  | (13,874) |  |  |  |  |  |
|  | Income tax (expense) benefit | (1,522) |  |  | 504 |  |  |  |  |  |
|  | Net of tax | $ | (5,648) |  |  | $ | (13,370) |  |  |  |  |  |

(1) Amounts in parentheses are charges to net income (loss).
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ITEM 2. MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS

The following is a discussion and analysis of our results of operations for the three months ended March 31, 2020 and 2019 and our financial condition at March 31, 2020 and December 31, 2019. This should be read in conjunction with Item 1 'Consolidated Financial Statements and the accompanying notes' of this report and our Management’s Discussion and Analysis of Financial Condition and Results of Operations included in our Annual Report on Form 10-K for the year ended December 31, 2019. Tabular dollars are in thousands, except per share amounts. Amounts in tables may not reconcile due to rounding differences.

| Page
First Quarter 2020 Financial Highlights | 45
Executive Summary | 46
Underwriting Results – Consolidated | 59
Results by Segment: For the three months ended March 31, 2020 and 2019 | 67
i) Insurance Segment | 67
ii) Reinsurance Segment | 70
Other Expenses (Revenues), Net | 73
Net Investment Income and Net Investment Gains (Losses) | 75
Cash and Investments | 77
Liquidity and Capital Resources | 80
Critical Accounting Estimates | 83
Recent Accounting Pronouncements | 83
Off-Balance Sheet and Special Purpose Entity Arrangements | 83

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FIRST QUARTER 2020 FINANCIAL HIGHLIGHTS

First Quarter 2020 Consolidated Results of Operations
•Net loss attributable to common shareholders of $185 million, or $(2.20) per common share and diluted common share
•Operating loss(1) of $164 million, or $(1.94) per diluted common share(1)
•Gross premiums written of $2.4 billion
•Net premiums written of $1.7 billion
•Net premiums earned of $1.1 billion
•Estimated pre-tax catastrophe and weather-related losses, net of reinsurance and reinstatement premiums, of $300 million (insurance: $178 million and reinsurance: $122 million), or 26.9 points on the current accident year loss ratio, primarily attributable to the COVID-19 pandemic and other weather-related events.
•Estimated pre-tax losses, net of reinsurance and reinstatement premiums of $235 million attributable to the COVID-19 pandemic. This estimate was primarily associated with property related coverages, but also included event cancellation and accident and health coverages and considered a global shelter in place order that remains in effect until July 31, 2020.
•Underwriting loss(2) of $197 million and combined ratio of 119.8%
•Net investment income of $93 million
•Net investment losses of $63 million
•Foreign exchange gains of $62 million
First Quarter 2020 Consolidated Financial Condition
•Total cash and investments of $15.2 billion; fixed maturities, cash and short-term securities comprise 88% of total cash and investments and have an average credit rating of AA-
•Total assets of $25.9 billion
•Reserve for losses and loss expenses of $13.1 billion and reinsurance recoverable on unpaid and paid losses and loss expenses, net of allowance for expected credit losses of $4.5 billion
•Total debt of $1.8 billion and debt to total capital ratio(3) of 27.2%
•Common shares repurchased were 0.2 million for $8 million
•Common shareholders’ equity of $4.3 billion; book value per diluted common share of $49.78
(1)Operating income (loss) and operating income (loss) per diluted common share are non-GAAP financial measures as defined in Item 10(e) of SEC Regulation S-K. The reconciliations to the most comparable GAAP financial measures, net income (loss) available (attributable) to common shareholders and earnings (loss) per diluted common share, respectively, are provided in 'Management’s Discussion and Analysis of Financial Condition and Results of Operations – Executive Summary – Results of Operation s' and a discussion of the rationale for the presentation of these items is provided in 'Management’s Discussion and Analysis of Financial Condition and Results of Operations – Executive Summary – Non-GAAP Financial Measures'.
(2)Consolidated underwriting income (loss) is a non-GAAP financial measure as defined in Item 10(e) of SEC Regulation S-K. The reconciliation to income (loss) before income taxes and interest in income (loss) of equity method investments, the most comparable GAAP financial measure, is presented in 'Management’s Discussion and Analysis of Financial Condition and Results of Operations – Executive Summary – Results of Operations'.
(3)The debt to total capital ratio is calculated by dividing debt by total capital. Total capital represents the sum of total shareholders’ equity and debt.
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EXECUTIVE SUMMARY

Business Overview
AXIS Capital Holdings Limited ("AXIS Capital"), through its operating subsidiaries, is a global provider of specialty lines insurance and treaty reinsurance with operations in Bermuda, the U.S., Europe, Singapore, Canada and the Middle East. Our underwriting operations are organized around our global underwriting platforms, AXIS Insurance and AXIS Re.
We provide our clients and distribution partners with a broad range of risk transfer products and services, and meaningful capacity, backed by significant financial strength. We manage our portfolio holistically, aiming to construct the optimum consolidated portfolio of risks, consistent with our risk appetite and development of our franchise. We nurture an ethical, entrepreneurial and disciplined culture that promotes outstanding client service, intelligent risk taking and the achievement of superior risk-adjusted returns for our shareholders. We believe that the achievement of our objectives will position us as a global leader in specialty risks. The execution of our strategy for the first three months of 2020 included the following:
•implementing a global response strategy to help manage and mitigate the impact of COVID-19, spanning underwriting, capital management, investments, operations and employee welfare;
•increasing our relevance in a select number of attractive specialty lines insurance and treaty reinsurance markets, and continuing the implementation of a more focused distribution strategy;
•continuing to grow a leadership position in the areas of our business with strong potential for profitable growth including U.S. excess and surplus lines, North America professional lines and Lloyd's specialty insurance business;
•continuing to re-balance our portfolio towards less volatile lines of business that carry attractive rates;
•continuing to improve in the effectiveness and efficiency of our operating platforms and processes;
•investing in data and technology capabilities, and tools to empower our underwriters and enhance the service that we provide to our customers;
•broadening risk-funding sources and the development of vehicles that utilize third-party capital; and
•growing our corporate citizenship program to give back to our communities and help contribute to a more sustainable future.
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Outlook
We are committed to leadership in specialty insurance risk and global reinsurance, where we have depth of talent and expertise. We believe we are well-positioned to succeed in the rapidly evolving marketplace. Through our hybrid strategy, we have developed substantial platforms, providing us with both balance and diversification. We believe our market positioning, underwriting expertise, best-in-class claims management capabilities, and strong relationships with our distributors and clients will provide opportunities for increased profitability, with differences among our lines driven by our tactical response to market conditions.
Rates, and terms and conditions across most insurance lines generally continued to see accelerating improvement in the first quarter, with U.S. excess and primary casualty, public and private D&O, marine cargo, and excess and surplus property lines experiencing the most upward rate momentum. While the insurance market remains competitive with capacity and capital willing to support business with a broad range of return hurdles in certain pockets, there has been more consistent signs of firming rates. We expect many specialty segments will experience further pricing improvements as carriers assess pricing, portfolio construction and account preferences through the course of the year. In this competitive market environment with mixed market conditions, we are focusing on lines of business and market segments that are adequately priced, and we are trading off growth for profitability in other areas.
The reinsurance market is also experiencing increased momentum in rates, and improved terms and conditions, due to adjustments to both supply and demand given the significant losses across many lines of business over the last couple of years. We continue to emphasize underwriting discipline to actively manage our portfolio profitability. In parallel, we are capitalizing on opportunities to support clients in a world of changing exposures, regulation and reinsurance panels. We believe that there is a real opportunity to achieve more relevance and to produce new streams of income in the future while still driving improvements in our existing portfolio. We are also focused on managing the volatility and capital efficiency of our portfolio by further expanding our already strong group of strategic capital partners.
Recent Developments Related to COVID-19
On March 11, 2020, COVID-19, a novel coronavirus outbreak, was declared a pandemic by the World Health Organization. The COVID-19 crisis has upended the marketplace and society on a global scale, and its impact has been felt within the insurance and reinsurance industry and at AXIS Capital.
COVID-19, and its related impacts, are an emerging and evolving risk to which we are exposed from an underwriting, investments, capital and liquidity, operations and employee welfare perspective. We have implemented a global response strategy to help manage and mitigate these risks.
Our team is tracking the situation closely, including stress and scenario testing on existing underwriting and investment exposures, taking into consideration the possible severity and duration of the outbreak. A range of economic impacts and external pressures across individual product lines are being considered.
Reserving
For the three months ended March 31, 2020 we incurred estimated pre-tax catastrophe and weather-related losses, net of reinstatement premiums, of $235 million attributable to the COVID-19 pandemic. This estimate was primarily associated with property related coverages, but also included event cancellation and accident and health coverages and considered a global shelter in place order that remains in effect until July 31, 2020.
The estimate of net reserves for losses and loss expenses related to the COVID-19 pandemic was subject to significant uncertainty. This uncertainty was driven by the inherent difficulty in making assumptions around the impact of the COVID-19 pandemic due to the lack of comparable events, the ongoing nature of the event, and its far-reaching impacts to world-wide economies and the health of the global population. While we believe the estimate of net reserves for losses and loss expenses is adequate for losses and loss adjustment expenses that have been incurred at March 31, 2020 based on current facts and circumstances, we will continue to monitor the appropriateness of our assumptions as new information comes to light and will adjust the estimate of net reserves for losses and loss adjustment expenses, as appropriate. Refer to 'Management’s Discussion and Analysis of Financial Condition and Results of Operations – Underwriting Results - Consolidated ' for further information.
At March 31, 2020, the estimated reserves for losses and loss expenses did not include an estimate of potential losses arising from the indirect impacts of COVID-19, such as the associated financial downturn. Product lines that may be affected by such indirect impacts
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include professional lines and credit lines. We expect that it may take several quarters, or potentially several years, for the full impact of COVID-19 on these lines of business to fully emerge. Any such losses will be recognized in the period in which they are incurred.
Actual losses for this event may ultimately differ materially from current estimates.
Underwriting
As our industry and society continues to navigate the challenges brought on by COVID-19, we are closely monitoring cash receipts from our customers and reinsurers, giving due consideration to related directives issued by certain government agencies. At March 31, 2020, we considered the potential financial impact of COVID-19 when determining allowances for expected credit losses for insurance and reinsurance premium balances receivable and reinsurance recoverable balances on unpaid losses. Based on facts and circumstances at that time, we did not adjust allowances for expected credit losses at March 31, 2020. We will continue to monitor the appropriateness of allowances for expected credit losses as new information comes to light. Adjustments to allowances for expected credit losses in subsequent periods could be material.
Our underwriters are reassessing our risk appetite in light of the COVID-19 pandemic, in particular as it relates to exposure to communicable diseases, viruses, pathogens and other similar risks. We are taking appropriate steps to mitigate exposure to these types of risks, including increasing pricing and adding policy terms and conditions, including exclusions. During the remainder of 2020, premium volume may be adversely impacted due to the disruption to both society and the insurance and reinsurance marketplace on a global scale. Adjustments to premiums in subsequent periods could be material.
Capital and Liquidity
Following two debt issuances in 2019 that raised $725 million at favorable rates, we redeemed our Series D preferred shares of $225 million in January 2020 and we will repay unsecured senior notes of $500 million in June 2020. After June 2020, no long-term debt will mature until the end of 2027. In addition, our common share repurchase plan expired in 2017 and has not been renewed. We continue to have capital above the level required by our group regulator, the Bermuda Monetary Authority.
We have a prudently constructed fixed maturity portfolio of $12 billion, with an average credit rating of AA-, which closely matches the duration of our liabilities.
We recently identified expense savings of approximately $50 million to be realized in 2020 based on the specific impacts of the COVID-19 pandemic on our business. The expense savings include deferring non-critical hires, delaying certain projects, and a reduction in travel and entertainment costs, given remote working.
We expect cash flows generated from operations, combined with liquidity provided by our investment portfolio, will be sufficient to cover cash outflows and other contractual commitments that become due within one year after the date that the financial statements are issued. We are committed to helping individuals, businesses, and organizations rebuild in times of crisis and to deliver on our promises to our customers, partners in distribution, and our communities. We are reviewing each claim on an individual basis and where our policies provide coverage, we are already making payments to help our insureds overcome financial setbacks.
Non-GAAP Financial Measures
We present our results of operations in the way we believe will be most meaningful and useful to investors, analysts, rating agencies and others who use our financial information to evaluate our performance. Some of the measurements we use are considered non-GAAP financial measures under SEC rules and regulations. In this Management's Discussion and Analysis of Financial Condition and Results of Operations ("MD&A"), we present underwriting-related general and administrative expenses, consolidated underwriting income (loss), operating income (loss) (in total and on a per share basis), annualized operating return on average common equity ("operating ROACE"), amounts presented on a constant currency basis, pre-tax total return on cash and investments excluding foreign exchange movements, ex-PGAAP operating income (loss) (in total and on a per share basis) and annualized ex-PGAAP operating ROACE which are non-GAAP financial measures as defined in Item 10(e) of SEC Regulation S-K. We believe that these non-GAAP financial measures, which may be defined and calculated differently by other companies, better explain and enhance the understanding of our results of operations. However, these measures should not be viewed as a substitute for those determined in accordance with accounting principles generally accepted in the United States of America ("U.S. GAAP").
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Underwriting-Related General and Administrative Expenses
Underwriting-related general and administrative expenses include those general and administrative expenses that are incremental and/or directly attributable to our underwriting operations. While this measure is presented in Item 1, Note 2 to the Consolidated Financial Statements 'Segment Information', it is considered a non-GAAP financial measure when presented elsewhere on a consolidated basis.
Corporate expenses include holding company costs necessary to support our worldwide insurance and reinsurance operations and costs associated with operating as a publicly-traded company. As these costs are not incremental and/or directly attributable to our underwriting operations, these costs are excluded from underwriting-related general and administrative expenses, and therefore, consolidated underwriting income (loss). General and administrative expenses, the most comparable GAAP financial measure to underwriting-related general and administrative expenses, also includes corporate expenses.
The reconciliation of underwriting-related general and administrative expenses to general and administrative expenses, the most comparable GAAP financial measure, is presented in 'Management’s Discussion and Analysis of Financial Condition and Results of Operations – Executive Summary – Results of Operations'.
Consolidated Underwriting Income (Loss)
Consolidated underwriting income (loss) is a pre-tax measure of underwriting profitability that takes into account net premiums earned and other insurance related income (loss) as revenues and net losses and loss expenses, acquisition costs and underwriting-related general and administrative expenses as expenses. While this measure is presented in Item 1, Note 2 to the Consolidated Financial Statements 'Segment Information', it is considered a non-GAAP financial measure when presented elsewhere on a consolidated basis.
We evaluate our underwriting results separately from the performance of our investment portfolio. As a result, we believe it is appropriate to exclude net investment income and net investment gains (losses) from our underwriting profitability measure.
Foreign exchange losses (gains) in our consolidated statements of operations primarily relate to the impact of foreign exchange rate movements on our net insurance-related liabilities. However, we manage our investment portfolio in such a way that unrealized and realized foreign exchange losses (gains) on our investment portfolio generally offset a large portion of the foreign exchange losses (gains) arising from our underwriting portfolio. As a result, we believe that foreign exchange losses (gains) are not a meaningful contributor to our underwriting performance, therefore, foreign exchange losses (gains) are excluded from consolidated underwriting income (loss).
Interest expense and financing costs primarily relate to interest payable on our debt. As these expenses are not incremental and/or directly attributable to our underwriting operations, these expenses are excluded from underwriting-related general and administrative expenses, and therefore, consolidated underwriting income (loss).
Reorganization expenses are primarily driven by business decisions, the nature and timing of which are not related to the underwriting process, therefore, these expenses are excluded from consolidated underwriting income (loss).
Amortization of intangible assets including value of business acquired ("VOBA") arose from business decisions, the nature and timing of which are not related to the underwriting process, therefore, these expenses are excluded from consolidated underwriting income (loss).
We believe that the presentation of underwriting-related general and administrative expenses and consolidated underwriting income (loss) provides investors with an enhanced understanding of our results of operations, by highlighting the underlying pre-tax profitability of our underwriting activities. The reconciliation of consolidated underwriting income (loss) to net income (loss), the most comparable GAAP financial measure, is presented in 'Management’s Discussion and Analysis of Financial Condition and Results of Operations – Executive Summary – Results of Operations'.
Operating Income (Loss)
Operating income (loss) represents after-tax operational results exclusive of net investment gains (losses), foreign exchange losses (gains), reorganization expenses, and interest in income (loss) of equity method investments.
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Although the investment of premiums to generate income and investment gains (losses) is an integral part of our operations, the determination to realize investment gains (losses) is independent of the underwriting process and is heavily influenced by the availability of market opportunities. Furthermore, many users believe that the timing of the realization of investment gains (losses) is somewhat opportunistic for many companies.
Foreign exchange losses (gains) in our consolidated statements of operations primarily relate to the impact of foreign exchange rate movements on net insurance-related liabilities. In addition, we recognize unrealized foreign exchange losses (gains) on our equity securities and foreign exchange losses (gains) realized on the sale of our available for sale investments and equity securities in net investment gains (losses). We also recognize unrealized foreign exchange losses (gains) on our available for sale investments in other comprehensive income (loss). These unrealized foreign exchange losses (gains) generally offset a large portion of the foreign exchange losses (gains) reported in net income (loss), thereby minimizing the impact of foreign exchange rate movements on total shareholders' equity. As a result, foreign exchange losses (gains) in our consolidated statements of operations in isolation are not a fair representation of the performance of our business.
Reorganization expenses are primarily driven by business decisions, the nature and timing of which are not related to the underwriting process, therefore, these expenses are excluded from operating income (loss).
Interest in income (loss) of equity method investments is primarily driven by business decisions, the nature and timing of which are not related to the underwriting process, therefore, this income (loss) is excluded from operating income (loss).
Certain users of our financial statements evaluate performance exclusive of after-tax net investment gains (losses), foreign exchange losses (gains), reorganization expenses, and interest in income (loss) of equity method investments to understand the profitability of recurring sources of income.
We believe that showing net income (loss) exclusive of after-tax net investment gains (losses), foreign exchange losses (gains), reorganization expenses, and interest in income (loss) of equity method investments reflects the underlying fundamentals of our business. In addition, we believe that this presentation enables investors and other users of our financial information to analyze performance in a manner similar to how our management analyzes the underlying business performance. We also believe this measure follows industry practice and, therefore, facilitates comparison of our performance with our peer group. We believe that equity analysts and certain rating agencies that follow us, and the insurance industry as a whole, generally exclude these items from their analyses for the same reasons. The reconciliation of operating income (loss) to net income (loss), the most comparable GAAP financial measure, is presented in 'Management’s Discussion and Analysis of Financial Condition and Results of Operations – Executive Summary – Results of Operations'.
We also present operating income (loss) per diluted common share and annualized operating ROACE, which are derived from the operating income (loss) measure and are reconciled to the most comparable GAAP financial measures, earnings (loss) per diluted common share and annualized return on average common equity ("ROACE"), respectively, in 'Management’s Discussion and Analysis of Financial Condition and Results of Operations – Executive Summary – Results of Operations'.
Constant Currency Basis
We present gross premiums written, net premiums written and net premiums earned on a constant currency basis in this MD&A. The amounts presented on a constant currency basis are calculated by applying the average foreign exchange rate from the current year to the prior year amounts. We believe this presentation enables investors and other users of our financial information to analyze growth in gross premiums written, net premiums written and net premiums earned on a constant basis. The reconciliation to gross premiums written, net premiums written and net premiums earned on a GAAP basis is presented in 'Management’s Discussion and Analysis of Financial Condition and Results of Operations – Underwriting Results – Consolidated'.
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Pre-Tax Total Return on Cash and Investments excluding Foreign Exchange Movement
Pre-tax total return on cash and investments excluding foreign exchange movements measures net investment income (loss), net investments gains (losses), interest in income (loss) of equity method investments, and change in unrealized gains (losses) generated by average cash and investment balances. The reconciliation of pre-tax total return on cash and investments excluding foreign exchange movements to pre-tax total return on cash and investments, the most comparable GAAP financial measure, is presented in 'Management’s Discussion and Analysis of Financial Condition and Results of Operations – Net Investment Income and Net Investment Gains (Losses)'. We believe this presentation enables investors and other users of our financial information to analyze the performance of our investment portfolio.
Ex-PGAAP Operating Income (Loss)
Ex-PGAAP operating income (loss) represents operating income (loss) exclusive of after-tax amortization of VOBA and intangible assets, and after-tax amortization of acquisition costs, both associated with Novae's balance sheet at October 2, 2017 (the "closing date" or "acquisition date"). The reconciliation of ex-PGAAP operating income (loss) to net income (loss) available (attributable) to common shareholders, the most comparable GAAP financial measure, is presented in 'Management’s Discussion and Analysis of Financial Condition and Results of Operations – Executive Summary – Results of Operations'.
We also present ex-PGAAP operating income (loss) per diluted common share and annualized ex-PGAAP operating ROACE, which are derived from the ex-PGAAP operating income (loss) measure and are reconciled to the most comparable GAAP financial measures, earnings (loss) per diluted common share and annualized ROACE, respectively, in 'Management’s Discussion and Analysis of Financial Condition and Results of Operations – Executive Summary – Results of Operations'.
We believe the presentation of ex-PGAAP operating income (loss), ex-PGAAP operating income (loss) per diluted common share and annualized ex-PGAAP operating ROACE enables investors and other users of our financial information to analyze the performance of our business.
Acquisition of Novae
On October 2, 2017, we acquired Novae. At the acquisition date, we identified value of business acquired ("VOBA") which represents the present value of the expected underwriting profit within policies that were in-force at the closing date of the transaction. In addition, the allocation of the acquisition price to the assets acquired and liabilities assumed based on estimated fair values at the acquisition date, resulted in the write-off of the deferred acquisition cost asset on Novae's balance sheet at the acquisition date as the value of policies in-force on that date are considered within VOBA. Consequently, underwriting income (loss) in the three months ended March 31, 2020 and 2019 included the recognition of premiums attributable to Novae's balance sheet at the acquisition date without the recognition of the associated acquisition costs.
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Results of Operations

|  | Three months ended March 31, |  |  |  |  |  |  |  |  |  |  |
|  | 2020 |  | % Change |  | 2019 |  |  |  |  |  |  |
| Underwriting revenues: |  |  |  |  |  |  |  |  |  |  |  |  |
| Net premiums earned | $ | 1,088,625 |  |  | (4 | %) |  | $ | 1,134,212 |  |  |  |  |  |  |  |
| Other insurance related income (loss) | (8,707) |  |  | nm |  | 6,929 |  |  |  |  |  |  |  |
| Underwriting expenses: |  |  |  |  |  |  |  |  |  |  |  |  |
| Net losses and loss expenses | (908,073) |  |  | 37 | % |  | (664,028) |  |  |  |  |  |  |  |
| Acquisition costs | (238,650) |  |  | (8 | %) |  | (260,418) |  |  |  |  |  |  |  |
| Underwriting-related general and administrative expenses(1) | (129,962) |  |  | (6 | %) |  | (138,873) |  |  |  |  |  |  |  |
| Underwriting income (loss) |  | $ | (196,767) |  |  |  |  | $ | 77,822 |  |  |  |  |  |  |  |
| Net investment income |  | 93,101 |  |  | (13 | %) |  | 107,303 |  |  |  |  |  |  |  |
| Net investment gains (losses) |  | (62,877) |  |  | nm |  | 12,767 |  |  |  |  |  |  |  |
| Corporate expenses(1) | (27,098) |  |  | (25 | %) |  | (36,218) |  |  |  |  |  |  |  |
| Other (expenses) revenues, net |  | 38,211 |  |  | nm |  | (22,951) |  |  |  |  |  |  |  |
| Reorganization expenses |  | 982 |  |  | nm |  | (14,820) |  |  |  |  |  |  |  |
| Amortization of value of business acquired |  | (1,799) |  |  | nm |  | (13,104) |  |  |  |  |  |  |  |
| Amortization of intangible assets |  | (2,870) |  | — |  | (4 | %) |  | (3,003) |  |  |  |  |  |  |  |
| Income (loss) before income taxes and interest in income (loss) of equity method investments |  | (159,117) |  |  |  |  | 107,796 |  |  |  |  |  |  |  |
| Income tax (expense) benefit |  | 4,867 |  |  | nm |  | (1,234) |  |  |  |  |  |  |  |
| Interest in income (loss) of equity method investments |  | (23,577) |  |  | nm |  | 2,219 |  |  |  |  |  |  |  |
| Net income (loss) |  | $ | (177,827) |  |  |  |  | $ | 108,781 |  |  |  |  |  |  |  |
| Preferred share dividends | (7,563) |  |  | (29 | %) |  | (10,656) |  |  |  |  |  |  |  |
| Net income (loss) available (attributable) to common shareholders |  | $ | (185,390) |  |  | nm |  | $ | 98,125 |  |  |  |  |  |  |  |
| Net investment (gains) losses(2) | $ | 62,877 |  |  | nm |  | $ | (12,767) |  |  |  |  |  |  |  |
| Foreign exchange losses (gains)(3) | (61,683) |  |  | nm |  | 7,056 |  |  |  |  |  |  |  |
| Reorganization expenses(4) | (982) |  |  | nm |  | 14,820 |  |  |  |  |  |  |  |
| Interest in (income) loss of equity method investments(5) | 23,577 |  |  | nm |  | (2,219) |  |  |  |  |  |  |  |
| Income tax expense |  | (2,811) |  |  | nm |  | (405) |  |  |  |  |  |  |  |
| Operating income (loss)(6) | $ | (164,412) |  |  | nm |  | $ | 104,610 |  |  |  |  |  |  |  |

nm – not meaningful
(1)Underwriting-related general and administrative expenses is a non-GAAP financial measure as defined in Item 10(e) of SEC Regulation S-K. The reconciliation to general and administrative expenses, the most comparable GAAP financial measure, also included corporate expenses of $27,098 and $36,218 for the three months ended March 31, 2020 and 2019, respectively. Refer to 'Management’s Discussion and Analysis of Financial Condition and Results of Operations – Other Expenses (Revenues), Net' for additional information on corporate expenses. Refer also to 'Management’s Discussion and Analysis of Financial Condition and Results of Operations – Non-GAAP Financial Measures' for additional information.
(2)Tax cost (benefit) of ($5,677) and $2,835 for the three months ended March 31, 2020 and 2019, respectively. Tax impact is estimated by applying the statutory rates of applicable jurisdictions, after consideration of other relevant factors including the ability to utilize capital losses.
(3)Tax cost (benefit) of $2,527 and ($582) for the three months ended March 31, 2020 and 2019, respectively. Tax impact is estimated by applying the statutory rates of applicable jurisdictions, after consideration of other relevant factors including the tax status of specific foreign exchange transactions.
(4)Tax cost (benefit) of $339 and ($2,658) for the three months ended March 31, 2020 and 2019, respectively. Tax impact is estimated by applying the statutory rates of applicable jurisdictions.
(5)Tax cost (benefit) of $nil for the three months ended March 31, 2020 and 2019, respectively. Tax impact is estimated by applying the statutory rates of applicable jurisdictions.
(6)Operating income (loss) is a non-GAAP financial measure as defined in Item 10(e) of SEC Regulation S-K. The reconciliation to net income (loss), the most comparable GAAP financial measure is provided in the table above, and a discussion of the rationale for its presentation is included in 'Management’s Discussion and Analysis of Financial Condition and Results of Operations – Non-GAAP Financial Measures'.
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Non-GAAP Financial Measures
We also present operating income (loss) per diluted common share and annualized operating return on average common equity ("operating ROACE"), which are derived from the operating income (loss) measure and can be reconciled to the most comparable GAAP financial measures as follows:

|  | Three months ended March 31, |  |  |  |  |  |  |
|  | 2020 |  | 2019 |  |  |  |  |
| Net income (loss) available (attributable) to common shareholders |  | $ | (185,390) |  |  | $ | 98,125 |  |  |  |  |  |
| Operating income (loss) |  | $ | (164,412) |  |  | 104,610 |  |  |  |  |  |
| Weighted average diluted common shares outstanding(1) | 84,094 |  |  | 84,272 |  |  |  |  |  |
| Earnings (loss) per diluted common share |  | $ | (2.20) |  |  | $ | 1.16 |  |  |  |  |  |
| Operating income (loss) per diluted common share(2) | $ | (1.94) |  |  | $ | 1.24 |  |  |  |  |  |
| Average common shareholders’ equity | $ | 4,529,293 |  |  | $ | 4,390,114 |  |  |  |  |  |
| Annualized return on average common equity(3) | nm |  |  | 8.9 | % |  |  |  |  |
| Annualized operating return on average common equity(4) | nm |  |  | 9.5 | % |  |  |  |  |

nm – not meaningful
(1)Refer to Item 1, Note 7 to our Consolidated Financial Statements 'Earnings per Common Share' for further details.
(2)Operating income (loss) per diluted common share is a non-GAAP financial measure as defined in Item 10(e) of SEC Regulation S-K. The reconciliation to earnings (loss) per diluted common share, the most comparable GAAP financial measure is provided in the table above, and a discussion of the rationale for its presentation is included in 'Management’s Discussion and Analysis of Financial Condition and Results of Operations – Non-GAAP Financial Meas ures'. Operating loss per diluted common share for the three months ended March 31, 2020, was calculated using weighted average common shares outstanding due to the operating loss recognized in the period.
(3)Annualized return on average common equity ("ROACE") is calculated by dividing annualized net income (loss) available (attributable) to common shareholders for the period by the average common shareholders' equity determined using the common shareholders' equity balances at the beginning and end of the period.
(4)Annualized operating ROACE, a non-GAAP financial measure as defined in Item 10(e) of SEC Regulation S-K, is calculated by dividing annualized operating income (loss) for the period by the average common shareholders' equity balances determined using the common shareholders' equity balances at the beginning and end of the period. The reconciliation to ROACE, the most comparable GAAP financial measure is provided in the table above, and a discussion of the rationale for its presentation is included in 'Management’s Discussion and Analysis of Financial Condition and Results of Operations – Non-GAAP Financial Measures'.
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Ex-PGAAP Operating Income
In addition, we present ex-PGAAP operating income (loss), ex-PGAAP operating income (loss) per diluted common share and ex-PGAAP operating ROACE, which are derived from the operating income (loss) measure and can be reconciled to the most comparable GAAP financial measures as follows:

| Three months ended March 31, |  |  |  |  |  |
| 2020 |  | 2019 |  |  |  |
Net income (loss) available (attributable) to common shareholders |  | $ | (185,390) |  |  | $ | 98,125 |  |  |  |  |
Net investment (gains) losses | 62,877 |  |  | (12,767) |  |  |  |  |
Foreign exchange losses (gains) | (61,683) |  |  | 7,056 |  |  |  |  |
Reorganization expenses | (982) |  |  | 14,820 |  |  |  |  |
Interest in (income) loss of equity method investments | 23,577 |  |  | (2,219) |  |  |  |  |
Income tax benefit | (2,811) |  |  | (405) |  |  |  |  |
Operating income (loss) |  | $ | (164,412) |  |  | $ | 104,610 |  |  |  |  |
Amortization of VOBA and intangible assets(2) | 4,697 |  |  | 16,002 |  |  |  |  |
Amortization of acquisition costs(3) | (478) |  |  | (6,267) |  |  |  |  |
Income tax benefit |  | (801) |  |  | (1,849) |  |  |  |  |
Ex-PGAAP operating income (loss)(1) | $ | (160,994) |  |  | $ | 112,496 |  |  |  |  |
Earnings (loss) per diluted common share |  | $ | (2.20) |  |  | $ | 1.16 |  |  |  |  |
Net investment (gains) losses |  | 0.75 |  |  | (0.15) |  |  |  |  |
Foreign exchange losses (gains) |  | (0.73) |  |  | 0.08 |  |  |  |  |
Reorganization expenses |  | (0.01) |  |  | 0.18 |  |  |  |  |
Interest in (income) loss of equity method investments |  | 0.28 |  |  | (0.03) |  |  |  |  |
Income tax benefit |  | (0.03) |  |  | — |  |  |  |  |
Operating income (loss) per diluted common share |  | $ | (1.94) |  |  | $ | 1.24 |  |  |  |  |
Amortization of VOBA and intangible assets(2) | 0.06 |  |  | 0.19 |  |  |  |  |
Amortization of acquisition cost(3) | (0.01) |  |  | (0.07) |  |  |  |  |
Income tax benefit |  | (0.01) |  |  | (0.02) |  |  |  |  |
Ex-PGAAP operating income (loss) per diluted common share(1) | $ | (1.90) |  |  | $ | 1.33 |  |  |  |  |
Weighted average diluted common shares outstanding | 84,094 |  |  | 84,272 |  |  |  |  |
Average common shareholders' equity | $ | 4,529,293 |  |  | $ | 4,390,114 |  |  |  |  |
Annualized return on average common equity | nm |  |  | 8.9 | % |  |  |  |
Annualized operating return on average common equity | nm |  |  | 9.5 | % |  |  |  |
Annualized ex-PGAAP operating return on average common equity(1) | nm |  |  | 10.2 | % |  |  |  |

nm – not meaningful
(1)Ex-PGAAP operating income (loss), ex-PGAAP operating income (loss) per diluted common share and annualized ex-PGAAP operating ROACE are non-GAAP financial measures as defined in Item 10(e) of SEC Regulation S-K. The reconciliation to the most comparable GAAP financial measures, net income (loss) available (attributable) to common shareholders, earnings (loss) per diluted common share, and annualized ROACE, respectively, are provided in the table above, and a discussion of the rationale for the presentation of these items is included in 'Management’s Discussion and Analysis of Financial Condition and Results of Operations – Non-GAAP Financial Measures'. Annualized ex-PGAAP operating (loss) per diluted common share for the three months ended March 31, 2020, was calculated using weighted average common shares outstanding due to the ex-PGAAP operating loss recognized in the period.
(2)Tax (benefit) of $(892) and $(3,040) for the three months ended March 31, 2020 and 2019, respectively. Tax impact is estimated by applying the statutory rates o f applicable jurisdictions.
(3)Tax cost of $91 and $1,191 for the three months ended March 31, 2020 and 2019, respectively. Tax impact is estimated by applying the statutory rates of applicable jurisdictions.
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Underwriting Results
Consolidated underwriting income(1) is a pre-tax measure of underwriting profitability that takes into account net premiums earned and other insurance related income (loss) as revenues and net losses and loss expenses, acquisition costs and underwriting-related general and administrative expenses as expenses.
Total underwriting loss for the three months ended March 31, 2020 was $197 million, compared to underwriting income of $78 million for the three months ended March 31, 2019. The underwriting loss in the quarter was driven by an increase in catastrophe and weather-related losses and a decrease in net premiums earned together with the other insurance related loss, partially offset by a decrease in the current accident year loss ratio excluding catastrophe and weather-related losses, a decrease in the acquisition cost ratio, and a decrease in the general and administrative expense ratio.
The reinsurance segment underwriting loss was $74 million for the three months ended March 31, 2020, compared to underwriting income of $57 million for the three months ended March 31, 2019. The underwriting loss in the quarter was primarily d riven by an increase in catastrophe and weather-related losses and a decrease in net premiums earned, together with the other insurance related loss, p artially offset by a decrease in the current accident year loss ratio excluding catastrophe and weather-related losses and a decrease in the acquisition cost ratio.
The insurance segment underwriting loss was $123 million for the three months ended March 31, 2020, compared to the underwriting income of $21 million for the three months ended March 31, 2019. The underwriting loss in the quarter was primarily driven by an increase in catastrophe and weather-related losses, partially offset by a decrease in the current accident year loss ratio excluding catastrophe and weather-related losses, a decrease in the acquisition cost ratio, and a decrease in the general and administrative expense ratio.
Net Investment Income
Net investment income was $93 million for the three months ended March 31, 2020, compared to $107 million for the three months ended March 31, 2019, a decrease of $14 million, primarily attributable to a decrease in income from other investments due to lower returns from hedge funds reflecting lower returns from credit market s, together with a decrease in income from fixed maturities due to the decrease in yields.
Net Investment Gains (Losses)
Net investment losses were $63 million for the three months ended March 31, 2020, compared to net investment gains of $13 million for the three months ended March 31, 2019.
Net investment losses for the three months ended March 31, 2020 were primarily due to net unrealized losses on equity securities of $61 million, together with the allowance for expected credit losses of $20 million due to the adoption of ASU 2016-13, "Financial Instruments - Credit Losses (Topic 326) - Measurement of Credit Losses on Financial Instruments," effective January 1, 2020, partially offset by net realized gains on sales of U.S. government bonds and agency RMBS.
Net investment gains for the three months ended March 31, 2019 were primarily due to net unrealized gains on equity securities of $27 million, partially offset by net realized losses on the sale of corporate debt securities.
(1) Consolidated underwriting income (loss) is a non-GAAP financial measure as defined in Item 10(e) of SEC Regulation S-K. The reconciliation to net income (loss), the most comparable GAAP financial measure, is provided in 'Management's Discussion and Analysis of Financial Condition and Results of Operations – Executive Summary – Results of Operation'.
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Other Expenses (Revenues), Net
Corporate expenses were $27 million for the three months ended March 31, 2020, compared to $36 million for the three months ended March 31, 2019. The decrease was primarily related to decreases in performance-related compensation costs, information technology costs, and travel and entertainment expenses.
Foreign exchange gains were $62 million for the three months ended March 31, 2020, compared to foreign exchange losses of $7 million for the three months ended March 31, 2019. Foreign exchange gains for the three months ended March 31, 2020, were mainly driven by the impact of the strengthening of the U.S. dollar on the remeasurement of net insurance-related liabilities denominated in pound sterling and euro.
Foreign exchange losses for the three months ended March 31, 2019, were mainly driven by the impact of the weakening of the
U.S. dollar on the remeasurement of net insurance-related liabilities denominated in pound sterling, partially offset by the
strengthening of the U.S. dollar on the remeasurement of net insurance-related liabilities denominated in euro.
Interest expenses and financing costs of $23 million for the three months ended March 31, 2020, compared to $16 million for the three months ended March 31, 2019. The increase was mainly due to the issuance of 3.900% senior unsecured notes ("3.900% Senior Notes") on June 19, 2019, and the issuance of 4.900% fixed-rate reset junior subordinated notes ("Junior Subordinated Notes") on December 10, 2019, partially offset by the repayment of the 2.65% senior unsecured notes ("2.65% Senior Notes") on April 1, 2019.
The financial results for the three months ended March 31, 2020 resulted in a tax benefit of $5 million, compared to the tax expense of $1 million for the three months ended March 31, 2019.
The tax benefit of $5 million for the three months ended March 31, 2020, was principally due to the generation of pre-tax losses in our U.K. and European operations, partially offset by pre-tax income in our U.S. operations.
The tax expense of $1 million for the three months ended March 31, 2019 was principally due to the generation of pre-tax
income in our U.S. operations, largely offset by pre-tax losses in our U.K. operations.
Reorganization Expenses
Reorganization expenses were $(1) million for the three months ended March 31, 2020, compared to $15 million for the three months ended March 31, 2019, related to the transformation program which launched in 2017. This program encompasses the integration of Novae, which commenced in the fourth quarter of 2017, the realignment of our accident and health business, together with other initiatives designed to increase efficiency and enhance profitability, while delivering a customer-centric operating model. These expenses were not included in operating income.
Amortization of Value of Business Acquired ("VOBA")
Amortization of VOBA was $2 million for the three months ended March 31, 2020, compared to $13 million, for the three months ended March 31, 2019.
On October 2, 2017, we acquired Novae, a diversified property and casualty insurance and reinsurance business which operates through Syndicate 2007 at Lloyd’s. The acquisition of Novae was undertaken to accelerate the growth strategy of our international insurance business, and to significantly scale up its capabilities to enable us to even better serve our clients and brokers. At the acquisition date, we identified VOBA, which represents the present value of the expected underwriting profit within policies that were in-force at the closing date of the transaction, of $257 million.
VOBA is amortized over its economic useful life and this expense is included in amortization of value of business acquired in the consolidated statement of operations.
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Interest in Income of Equity Method Investments
Interest in income (loss) of equity method investments represents our share of income (loss) related to investments where we have significant influence over the operating and financial policies of the investee.
Interest in loss of equity method investments was $24 million for the three months ended March 31, 2020, compared to interest in income of $2 million for the three months ended March 31, 2019, relating to our share of losses and income in a company where we have a significant influence over the operating and financial policies. The loss for the three months ended March 31, 2020 was attributable to negative investment returns realized by an investee due to the significant decline in equity and credit markets.
Financial Measures
We believe the following financial indicators are important in evaluating performance and measuring the overall growth in value generated for common shareholders:

|  | Three months ended March 31, |  |  |  |  |  |  |
|  | 2020 |  | 2019 |  |  |  |  |
| Annualized return on average common equity | nm |  |  | 8.9 | % |  |  |  |  |
| Annualized operating return on average common equity | nm |  |  | 9.5 | % |  |  |  |  |
| Annualized ex-PGAAP operating return on average common equity | nm |  |  | 10.2 | % |  |  |  |  |
| Book value per diluted common share(1) | $ | 49.78 |  |  | $ | 52.84 |  |  |  |  |  |
| Cash dividends declared per common share | $ | 0.41 |  |  | $ | 0.40 |  |  |  |  |  |
| Increase (decrease) in book value per diluted common share adjusted for dividends | $ | (5.60) |  |  | $ | 3.31 |  |  |  |  |  |

nm – not meaningful
(1) Book value per diluted common share represents total common shareholders’ equity divided by the number of diluted common shares outstanding, determined using the treasury stock method. Cash-settled restricted stock units are excluded.
Return on Average Common Equity
Our objective is to generate superior returns on capital that appropriately reward common shareholders for the risks we assume and to grow revenue only when we expect the returns will meet or exceed our requirements. We recognize that the nature of underwriting cycles and the frequency or severity of large loss events in any one year may challenge the ability to achieve a profitability target in any specific period.
ROACE reflects the impact of net income (loss) available (attributable) to common shareholders including net investment gains (losses), foreign exchange losses (gains), reorganization expenses, and interest in income (loss) of equity method investments.
The decrease in ROACE for the three months ended March 31, 2020, compared to the three months ended March 31, 2019, was primarily driven by the underwriting loss, net investment losses and interest in loss of equity method investments, partially offset by the foreign exchange gains. In addition, ROACE was impacted by an increase in average common shareholders' equity.
Operating ROACE excludes the impact of net investment gains (losses), foreign exchange losses (gains), reorganization expenses, and interest in income (loss) of equity method investments.
The decrease in operating ROACE for the three months ended March 31, 2020, compared to the three months ended March 31, 2019, was primarily driven by the underwriting loss and a decrease in investment income, partially offset by a decrease in the amortization of VOBA associated with the acquisition of Novae. In addition, operating ROACE was impacted by an increase in average common shareholders' equity.
Ex-PGAAP operating ROACE excludes the impact of after-tax amortization of VOBA and intangible assets, and after-tax amortization of acquisition costs, both associated with Novae's balance sheet at October 2, 2017.
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Book Value per Diluted Common Share
We consider book value per diluted common share to be an appropriate measure of our returns to common shareholders, as we believe growth in our book value on a diluted basis will ultimately translate into appreciation of our stock price.
Book value per diluted common share decreased to $49.78 at March 31, 2020, from $52.84 at March 31, 2019, a decrease of 6%, due to net unrealized losses reported in other comprehensive income and common share dividends declared.
Cash Dividends Declared per Common Share
We believe in returning excess capital to our shareholders by way of dividends and share repurchases. Accordingly, our dividend policy is an integral part of the value we create for our shareholders. Our cumulative strong earnings have permitted our Board of Directors to approve sixteen successive annual increases in quarterly common share dividends.
Book Value per Diluted Common Share Adjusted for Dividends
Book value per diluted common share adjusted for dividends decreased by $5.60, or 10% for the three months ended March 31, 2020.
Taken together, we believe that growth in book value per diluted common share and common share dividends declared represent the total value created for our common shareholders. As companies in the insurance industry have differing dividend payout policies, we believe investors use the book value per diluted common share adjusted for dividends metric to measure comparable performance across the industry.
During the three months ended March 31, 2020, the reduction in total value was driven by the net loss generated in the period and unrealized investment losses reported in accumulated other comprehensive income.
During the three months ended March 31, 2019, total value created was primarily driven by the net income generated in the period and unrealized gains reported in accumulated other comprehensive income.
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UNDERWRITING RESULTS – CONSOLIDATED

Underwriting income (loss) is a pre-tax measure of underwriting profitability that takes into account net premiums earned and other insurance related income (loss) as revenues and net losses and loss expenses, acquisition costs and underwriting-related general and administrative expenses as expenses. Underwriting results were as follows:

|  | Three months ended March 31, |  |  |  |  |  |  |  |  |  |  |
|  | 2020 |  | % Change |  | 2019 |  |  |  |  |  |  |
| Revenues: |  |  |  |  |  |  |  |  |  |  |  |
| Gross premiums written | $ | 2,431,158 |  |  | (6 | %) |  | $ | 2,583,226 |  |  |  |  |  |  |  |
| Net premiums written | 1,679,044 |  |  | (6 | %) |  | 1,777,059 |  |  |  |  |  |  |  |
| Net premiums earned | 1,088,625 |  |  | (4 | %) |  | 1,134,212 |  |  |  |  |  |  |  |
| Other insurance related income (loss) | (8,707) |  |  | nm |  | 6,929 |  |  |  |  |  |  |  |
| Expenses: |  |  |  |  |  |  |  |  |  |  |  |
| Current accident year net losses and loss expenses | (914,186) |  |  |  |  | (678,700) |  |  |  |  |  |  |  |
| Prior year reserve development | 6,113 |  |  |  |  | 14,672 |  |  |  |  |  |  |  |
| Acquisition costs | (238,650) |  |  |  |  | (260,418) |  |  |  |  |  |  |  |
| Underwriting-related general and administrative expenses(1) | (129,962) |  |  |  |  | (138,873) |  |  |  |  |  |  |  |
| Underwriting income (loss)(2) | $ | (196,767) |  |  | nm |  | $ | 77,822 |  |  |  |  |  |  |  |
| General and administrative expenses(1) | $ | 157,060 |  |  |  |  | $ | 175,091 |  |  |  |  |  |  |  |
| Income (loss) before income taxes and interest in income (loss) of equity method investments(2) | $ | (159,117) |  |  |  |  | $ | 107,796 |  |  |  |  |  |  |  |

nm – not meaningful
(1) Underwriting-related general and administrative expenses is a non-GAAP financial measure as defined in Item 10(e) of SEC Regulation S-K. The reconciliation to general and administrative expenses, the most comparable GAAP financial measure, is provided in 'Management’s Discussion and Analysis of Financial Condition and Results of Operations – Executive Summary – Results of Operations'.
(2) Consolidated underwriting income (loss) is a non-GAAP financial measure as defined in Item 10(e) of SEC Regulation S-K. The reconciliation to net income (loss), the most comparable GAAP financial measure, is provided in 'Management’s Discussion and Analysis of Financial Condition and Results of Operations – Executive Summary – Results of Operations'.
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Underwriting Revenues
Gross and net premiums written by segment were as follows:

|  | Gross premiums written |  |  |  |  |  |  |  |  |  |  |
|  | Three months ended March 31, |  |  |  |  |  |  |  |  |  |  |
|  | 2020 |  | % Change |  | 2019 |  |  |  |  |  |  |
| Insurance | $ | 940,715 |  |  | 11 | % |  | $ | 851,096 |  |  |  |  |  |  |  |
| Reinsurance | 1,490,443 |  |  | (14 | %) |  | 1,732,130 |  |  |  |  |  |  |  |
| Total | $ | 2,431,158 |  |  | (6 | %) |  | $ | 2,583,226 |  |  |  |  |  |  |  |
| % ceded |  |  |  |  |  |  |  |  |  |  |  |
| Insurance | 38% |  | 0 pts |  | 38% |  |  |  |  |  |  |
| Reinsurance | 26% |  | (2) pts |  | 28% |  |  |  |  |  |  |
| Total | 31% |  | 0 pts |  | 31% |  |  |  |  |  |  |
|  | Net premiums written |  |  |  |  |  |  |  |  |  |  |
|  | Three months ended March 31, |  |  |  |  |  |  |  |  |  |  |
|  | 2020 |  | % Change |  | 2019 |  |  |  |  |  |  |
| Insurance | $ | 581,650 |  |  | 10 | % |  | $ | 529,239 |  |  |  |  |  |  |  |
| Reinsurance | 1,097,394 |  |  | (12 | %) |  | 1,247,820 |  |  |  |  |  |  |  |
| Total | $ | 1,679,044 |  |  | (6 | %) |  | $ | 1,777,059 |  |  |  |  |  |  |  |

Gross Premiums Written:
Gross premiums written for the three months ended March 31, 2020 decreased by $152 million or 6%, compared to the three months ended March 31, 2019, due to a decrease in the reinsurance segment, partially offset by an increase in the insurance segment.
The decrease in the reinsurance segment's gross premiums written of $242 million or 14%, was primarily attributable to agriculture, catastrophe, credit and surety, and property lines, partially offset by increases in liability, accident and health, and professional lines.
The increase in the insurance segment's gross premiums written of $90 million or 11%, was primarily attributable to professional lines, liability, property, and marine lines.
Ceded Premiums Written:
Ceded premiums written for the three months ended March 31, 2020 were $752 million or 31% of gross premiums written, compared to ceded premiums of $806 million or 31% of gross premiums written for the three months ended March 31, 2019. The decrease in ceded premiums written was due to the reinsurance segment, partially offset by an increase in the insurance segment.
The decrease in the reinsurance segment ceded premiums written of $91 million or 19%, was attributable to catastrophe, credit and surety, and accident and health lines, partially offset by increases in motor, liability, professional lines and property lines.
The increase in the insurance segment ceded premiums written of $37 million or 11%, was primarily attributable to liability, marine, and property lines.
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Net Premiums Earned:
Net premiums earned by segment were as follows:

|  | Three months ended March 31, |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|  | 2020 |  |  |  | 2019 |  |  |  | % Change |  |  |  |  |  |  |  |  |  |  |
| Insurance | $ | 562,064 |  |  | 52 | % |  | $ | 556,762 |  |  | 49 | % |  | 1 | % |  |  |  |  |  |  |  |  |  |  |
| Reinsurance | 526,561 |  |  | 48 | % |  | 577,450 |  |  | 51 | % |  | (9 | %) |  |  |  |  |  |  |  |  |  |  |
| Total | $ | 1,088,625 |  |  | 100 | % |  | $ | 1,134,212 |  |  | 100 | % |  | (4 | %) |  |  |  |  |  |  |  |  |  |  |

Net premiums earned for the three months ended March 31, 2020 decreased by $46 million or 4% ($27 million or 2% on a constant currency basis(1)), compared to the three months ended March 31, 2019. The decrease in net premiums earned was due to the reinsurance segment.
The decrease in the reinsurance segment's net premium earned of $51 million or 9% ($39 million or 7% on a constant currency basis), was primarily attributable to motor, agriculture, and property lines, partially offset by increases in accident and health, and liability lines.
Other Insurance Related Income (Loss):
Other insurance related loss was $9 million for the three months ended March 31, 2020, compared to other insurance related income of $7 million for the three months ended March 31, 2019. The other insurance related loss for the three months ended March 31, 2020 was primarily due to the recognition of a full limit loss of $10 million associated with the WHO pandemic risk-linked swap.
Underwriting Expenses
The components of the combined ratio were as follows:

|  | Three months ended March 31, |  |  |  |  |  |  |  |  |  |  |
|  | 2020 |  | % Point Change |  | 2019 |  |  |  |  |  |  |
| Current accident year loss ratio excluding catastrophe and weather-related losses | 57.1 | % |  | (1.8) |  | 58.9 | % |  |  |  |  |  |  |
| Catastrophe and weather-related losses ratio | 26.9 | % |  | 26.0 |  | 0.9 | % |  |  |  |  |  |  |
| Current accident year loss ratio | 84.0 | % |  | 24.2 |  | 59.8 | % |  |  |  |  |  |  |
| Prior year reserve development ratio | (0.6 | %) |  | 0.7 |  | (1.3 | %) |  |  |  |  |  |  |
| Net losses and loss expenses ratio | 83.4 | % |  | 24.9 |  | 58.5 | % |  |  |  |  |  |  |
| Acquisition cost ratio | 21.9 | % |  | (1.1) |  | 23.0 | % |  |  |  |  |  |  |
| General and administrative expense ratio(2) | 14.5 | % |  | (0.9) |  | 15.4 | % |  |  |  |  |  |  |
| Combined ratio | 119.8 | % |  | 22.9 |  | 96.9 | % |  |  |  |  |  |  |

(1) Amounts presented on a constant currency basis are non-GAAP financial measures as defined in Item10 (e) of SEC Regulation S-K. The constant currency basis is calculated by applying the average foreign exchange rate from the current year to the prior year balance.
(2) The general and administrative expense ratio included corporate expenses not allocated to underwriting segments of 2.5% and 3.2% for the three months ended March 31, 2020 and 2019, respectively. Refer to 'Management’s Discussion and Analysis of Financial Condition and Results of Operations – Other Expenses (Revenues), Net' for further details.
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Current Accident Year Loss Ratio:
The current accident year loss ratio increased to 84.0% for the three months ended March 31, 2020, from 59.8% for the three months ended March 31, 2019.
The increase in the current accident year loss ratio was impacted by a higher level of catastrophe and weather-related losses. During the three months ended March 31, 2020, we incurred pre-tax catastrophe and weather-related losses, net of reinstatement premiums, of $300 million or 26.9 poin ts, including $235 million attributable to the COVID-19 pandemic. These losses were primarily associated with property related coverages, but also included event cancellation, and accident and health coverages and considered a global shelter in place order that remains in effect until July 31, 2020. The remaining losses of $65 million were attributable to other weather-related events including regional weather events in the U.S., floods in the U.K. and wildfires in Australia. Comparatively, during the three months ended March 31, 2019, we incurred pre-tax catastrophe and weather-related losses, of $11 million or 0.9 points.
After adjusting for the impact of catastrophe and weather-related losses, the current accident year loss ratio decreased to 57.1% for the three months ended March 31, 2019, from 58.9% for the three months ended March 31, 2019. The decrease in the current accident year loss ratio after adjusting for the impact of catastrophe and weather-related losses was principally due to a decrease in loss experience in marine and aviation lines in the insurance segment, the impact of improved pricing over loss trends and changes in business mix.
Estimates of Significant Catastrophe Events:
At March 31, 2020, net reserves for losses and loss expenses included estimated amounts for numerous catastrophe events. The magnitude and complexity of losses arising from certain of these events inherently increase the level of uncertainty, and therefore, increase the level of management judgment involved in arriving at estimated net reserves for losses and loss expenses. These events include the COVID-19 pandemic which occurred in 2020, Japanese Typhoons Hagibis, Faxai and Tapah, Hurricane Dorian, and the Australia Wildfires which occurred in 2019, Hurricanes Michael and Florence, California Wildfires, and Typhoon Jebi which occurred in 2018, and Hurricanes Harvey, Irma and Maria, and the California Wildfires which occurred in 2017. Actual losses for these events may ultimately differ materially from current estimates.
The estimate of net reserves for losses and loss expenses related to the COVID-19 pandemic represented management's best estimate of losses and loss adjustment expenses that have been incurred at March 31, 2020 assuming a shelter in place order through July 31, 2020, where relevant. The determination of net reserves for losses and loss expenses for the insurance segment was based on a ground-up assessment of coverage from individual contracts, including a review of contracts with potential exposure to the COVID-19 pandemic. The determination of the net reserves for losses and loss expenses for the reinsurance segment was largely based on a range of industry insured loss estimates and market share analyses, supplemented by a review of in-force treaties that may provide coverage and catastrophe modeling analyses, where appropriate. In addition, we considered preliminary information received from clients, brokers and loss adjusters.
The estimate of net reserves for losses and loss expenses related to the COVID-19 pandemic was subject to significant uncertainty. This uncertainty was driven by the inherent difficulty in making assumptions around the impact of the COVID-19 pandemic due to the lack of comparable events, the ongoing nature of the event, and its far-reaching impacts to world-wide economies and the health of the population. These assumptions include:
•the nature and the duration of the pandemic;
•the effects on human health, the economy and our customers;
•the response of government bodies;
•the coverage provided under our contracts;
•the coverage provided by our ceded reinsurance; and
•the evaluation of the loss and impact of loss mitigation actions.
While we believe the estimate of net reserves for losses and loss expenses is adequate for losses and loss adjustment expenses that have been incurred at March 31, 2020 based on current facts and circumstances, we will continue to monitor the appropriateness of
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our assumptions as new information comes to light and will adjust the estimate of net reserves for losses and loss adjustment expenses, as appropriate. Actual losses for these events may ultimately differ materially from current estimates.
T he estimate of net reserves for losses and loss expenses related to catastrophe events other than COVID-19 were derived from ground-up assessments of our in-force contracts and treaties providing coverage in the affected regions. These assessments take into account the latest information available from clients, brokers and loss adjusters. In addition, we consider industry insured loss estimates, market share analyses and catastrophe modeling analyses, when appropriate. Estimates are subject to change as additional loss data becomes available. Actual losses for these events may ultimately differ materially from current estimates.
We continue to monitor paid and incurred loss development for catastrophe events of prior years and update estimates of ultimate losses accordingly.
Prior Year Reserve Development:
Net favorable prior year reserve development arises from changes to estimates of losses and loss expenses related to loss events that occurred in previous calendar years. Net prior year reserve development by segment was as follows:

|  | Three months ended March 31, |  |  |  |  |  |  |
|  | 2020 |  | 2019 |  |  |  |  |
| Insurance | $ | 3,832 |  |  | $ | 6,913 |  |  |  |  |  |
| Reinsurance | 2,281 |  |  | 7,759 |  |  |  |  |  |
| Total | $ | 6,113 |  |  | $ | 14,672 |  |  |  |  |  |

Overview
Short-tail business
Short-tail business includes the underlying exposures in the property and other, marine and aviation reserve classes in the insurance segment, and the underlying exposures in the property and other reserve class in the reinsurance segment.
These reserve classes contributed net favorable prior year reserve development of $10 million for the three months ended March 31, 2020, including net favorable prior year reserve development of $12 million contributed by the insurance property and other reserve class, partially offset by net adverse prior year reserve development of $4 million recognized by the reinsurance property and other reserve class.
These reserve classes contributed net adverse prior year reserve development of $33 million for the three months ended March 31, 2019, including net adverse prior year reserve development of $22 million recognized by the insurance property and other reserve class and net adverse prior year reserve development of $29 million recognized by the reinsurance property and other reserve class, partially offset by net favorable prior year development of $16 million contributed by the insurance marine reserve class.
Medium-tail business
Medium-tail business consists primarily of insurance and reinsurance professional lines reserve classes, insurance credit and political risk reserve class and reinsurance credit and surety reserve class.
Insurance professional lines reserve class recorded net adverse prior year reserve development of $5 million for the three months ended March 31, 2020, reflecting reserve strengthening associated with recent accidents years.
Insurance professional lines reserve class recorded net favorable prior year reserve development of $6 million for the three months ended March 31, 2019, reflecting generally favorable experience on older accident years as we continued to transition to more experienced based methods.
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Reinsurance professional lines reserve class recorded net favorable prior year reserve development of $5 million for the three months ended March 31, 2020, reflecting generally favorable experience on older accident years as we continued to transition to more experience based actuarial methods.
Reinsurance credit and surety reserve class recorded net favorable prior year reserve development of $5 million and $10 million for the three months ended March 31, 2020 and 2019, respectively, reflecting generally better than expected loss emergence.
Long-tail business
Long-tail business consists primarily of insurance and reinsurance liability reserve classes and reinsurance motor reserve class.
Reinsurance liability reserve class recognized net adverse prior year reserve development of $17 million for the three months ended March 31, 2020, due to reserve strengthening within the European and U.S. books of business.
Reinsurance liability reserve class recognized net favorable prior year reserve development of $12 million for the three months ended March 31, 2019, due to increased weight given by management to experience based indications on older accident years.
Reinsurance motor reserve class recognized net favorable prior year reserve development of $13 million and $12 million for the three months ended March 31, 2020 and 2019, respectively, primarily attributable to non-proportional treaty business on older accident years.
We caution that conditions and trends that impacted the development of reserve for losses and loss expenses in the past may not recur in the future.
The following tables map our lines of business to reserve classes and the expected claim tails:

Insurance segment |  |  |  |  |  |
| Reserve class and tail |  |  |  |  |
| Property and other | Marine | Aviation | Credit and political risk | Professional lines | Liability
| Short | Short | Short/Medium | Medium | Medium | Long
Reported lines of business |  |  |  |  |  |
Property | X |  |  |  |  |
Marine |  | X |  |  |  |
Terrorism | X |  |  |  |  |
Aviation |  |  | X |  |  |
Credit and political risk |  |  |  | X |  |
Professional lines |  |  |  |  | X |
Liability |  |  |  |  |  | X
Accident and health | X |  |  |  |  |
Discontinued lines - Novae | X |  |  |  | X | X

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Reinsurance segment |  |  |  |  |
| Reserve class and tail |  |  |  |
| Property and other | Credit and surety | Professional lines | Motor | Liability
| Short | Medium | Medium | Long | Long
Reported lines of business |  |  |  |  |
Catastrophe | X |  |  |  |
Property | X |  |  |  |
Credit and surety |  | X |  |  |
Professional lines |  |  | X |  |
Motor |  |  |  | X |
Liability |  |  |  |  | X
Engineering | X |  |  |  |
Agriculture | X |  |  |  |
Marine and other | X |  |  |  |
Accident and health | X |  |  |  |
Discontinued lines - Novae | X |  |  | X | X

The following sections provide further details on prior year reserve development by segment, reserve class and accident year.
Insurance Segment:

|  | Three months ended March 31, |  |  |  |  |  |  |
|  | 2020 |  | 2019 |  |  |  |  |
| Property and other | $ | 12,491 |  |  | $ | (21,720) |  |  |  |  |  |
| Marine | (2,202) |  |  | 16,478 |  |  |  |  |  |
| Aviation | 3,991 |  |  | 1,188 |  |  |  |  |  |
| Credit and political risk | (916) |  |  | 2,501 |  |  |  |  |  |
| Professional lines | (5,087) |  |  | 5,965 |  |  |  |  |  |
| Liability | (4,445) |  |  | 2,501 |  |  |  |  |  |
| Total | $ | 3,832 |  |  | $ | 6,913 |  |  |  |  |  |

For the three months ended March 31, 2020, we recognized $4 million of net favorable prior year reserve development, the principal components of which were:
•$12 million of net favorable pr ior year reserve development on property and other business primarily due to overall better than expected loss emergence attributable to the 2017 and 2018 catastrophe events.
•$5 million of net adverse prior year reserve development on professional lines business primarily due to reserve strengthening related to the 2016 and 2017 accident years.
For the three months ended March 31, 2019, we recognized $7 million of net favorable prior year reserve development, the principal components of which were:
•$16 million of net favorable prior year reserve development on marine business primarily due to better than expected loss emergence on more recent accident years.
•$6 million of net favorable prior year reserve development on professional lines business due to better than expected loss emergence particularly related to the 2011 and 2014 accident years.
•$22 million of net adverse prior year reserve development on property and other business primarily due to reserve strengthening within the international book of business mainly related to accident year 2018.
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Reinsurance Segment:

|  | Three months ended March 31, |  |  |  |  |  |  |
|  | 2020 |  | 2019 |  |  |  |  |
| Property and other | $ | (3,905) |  |  | $ | (28,851) |  |  |  |  |  |
| Credit and surety | 4,854 |  |  | 10,363 |  |  |  |  |  |
| Professional lines | 5,162 |  |  | 1,479 |  |  |  |  |  |
| Motor | 13,085 |  |  | 12,305 |  |  |  |  |  |
| Liability | (16,915) |  |  | 12,463 |  |  |  |  |  |
| Total | $ | 2,281 |  |  | $ | 7,759 |  |  |  |  |  |

For the three months ended March 31, 2020, we recognized $2 million of net favorable prior year reserve development, the principal components of which were:
•$13 million of net favorable prior year reserve development on motor business primarily due to non-proportional treaty business related to the 2014 and prior accident years.
•$5 million of net favorable prior year reserve development on professional lines business reflecting generally favorable experience on older accident years as we continued to transition to more experience based actuarial methods.
•$5 million of net favorable prior year reserve development on credit and surety business primarily due to generally better than expected loss emergence related to the 2016 accident year.
•$17 million of net adverse prior year development on liability business primarily due to reserve strengthening within the European proportional and non-proportional books of business and the U.S. proportional book of business related to the 2016 and 2017 accident years.
For the three months ended March 31, 2019, we recognized $8 million of net favorable prior year reserve development, the principal components of which were:
•$12 million of net favorable prior year reserve development on liability business primarily due to increased weight given by management to experience based indications on older accident years.
•$12 million of net favorable prior year reserve development on motor business primarily due to non-proportional treaty business related to older accident years.
•$10 million of net favorable prior year reserve development on credit and surety business primarily due to generally better than expected loss emergence primarily related to the 2015 and 2016 accident years.
•$29 million of net favorable prior year reserve development on property and other business primarily due to an increase in loss estimates attributable Typhoons Jebi and Trami consistent with updated industry insured loss estimates.
Acquisition Cost Ratio:
The decrease in the acquisition cost ratio to 21.9% for the three months ended March 31, 2020, from 23.0% for the three months ended March 31, 2019, was related to both segments.
General and Administrative Expense Ratio:
The decrease in the general and administrative expense ratio to 14.5% for the three months ended March 31, 2020, from 15.4% for the three months ended March 31, 2019, was mainly driven by decreases in performance-related compensation costs, information technology costs and travel and entertainment expenses.
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RESULTS BY SEGMENT

Insurance Segment
Results for the insurance segment were as follows:

|  | Three months ended March 31, |  |  |  |  |  |  |  |  |  |  |
|  | 2020 |  | % Change |  | 2019 |  |  |  |  |  |  |
| Revenues: |  |  |  |  |  |  |  |  |  |  |  |
| Gross premiums written | $ | 940,715 |  |  | 11 | % |  | $ | 851,096 |  |  |  |  |  |  |  |
| Net premiums written | 581,650 |  |  | 10 | % |  | 529,239 |  |  |  |  |  |  |  |
| Net premiums earned | 562,064 |  |  | 1 | % |  | 556,762 |  |  |  |  |  |  |  |
| Other insurance related income | 647 |  |  | nm |  | 1,742 |  |  |  |  |  |  |  |
| Expenses: |  |  |  |  |  |  |  |  |  |  |  |
| Current accident year net losses and loss expenses | (475,644) |  |  |  |  | (320,689) |  |  |  |  |  |  |  |
| Prior year reserve development | 3,832 |  |  |  |  | 6,913 |  |  |  |  |  |  |  |
| Acquisition costs | (112,751) |  |  |  |  | (117,775) |  |  |  |  |  |  |  |
| General and administrative expenses | (100,778) |  |  |  |  | (106,034) |  |  |  |  |  |  |  |
| Underwriting income (loss) |  | $ | (122,630) |  |  | nm |  | $ | 20,919 |  |  |  |  |  |  |  |
| Ratios: |  |  | % Point Change |  |  |  |  |  |  |  |  |
| Current accident year loss ratio excluding catastrophe and weather-related losses | 54.2 | % |  | (2.0) |  | 56.2 | % |  |  |  |  |  |  |
| Catastrophe and weather-related losses ratio | 30.4 | % |  | 29.0 |  | 1.4 | % |  |  |  |  |  |  |
| Current accident year loss ratio | 84.6 | % |  | 27.0 |  | 57.6 | % |  |  |  |  |  |  |
| Prior year reserve development ratio | (0.7 | %) |  | 0.5 |  | (1.2 | %) |  |  |  |  |  |  |
| Net losses and loss expenses ratio | 83.9 | % |  | 27.5 |  | 56.4 | % |  |  |  |  |  |  |
| Acquisition cost ratio | 20.1 | % |  | (1.1) |  | 21.2 | % |  |  |  |  |  |  |
| General and administrative expense ratio | 17.9 | % |  | (1.1) |  | 19.0 | % |  |  |  |  |  |  |
| Combined ratio | 121.9 | % |  | 25.3 |  | 96.6 | % |  |  |  |  |  |  |

nm – not meaningful
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Gross Premiums Written:
Gross premiums written by line of business were as follows:

|  | Three months ended March 31, |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|  | 2020 |  |  |  | 2019 |  |  |  | % Change |  |  |  |  |  |  |  |  |  |  |
| Property | $ | 223,603 |  |  | 24 | % |  | $ | 200,502 |  |  | 23 | % |  | 12 | % |  |  |  |  |  |  |  |  |  |  |
| Marine | 156,296 |  |  | 17 | % |  | 146,979 |  |  | 17 | % |  | 6% |  |  |  |  |  |  |  |  |  |  |
| Terrorism | 16,520 |  |  | 2 | % |  | 14,362 |  |  | 2 | % |  | 15% |  |  |  |  |  |  |  |  |  |  |
| Aviation | 17,230 |  |  | 2 | % |  | 17,670 |  |  | 2 | % |  | (2 | %) |  |  |  |  |  |  |  |  |  |  |
| Credit and political risk | 47,675 |  |  | 5 | % |  | 45,907 |  |  | 5 | % |  | 4 | % |  |  |  |  |  |  |  |  |  |  |
| Professional lines | 258,391 |  |  | 27 | % |  | 227,308 |  |  | 27 | % |  | 14 | % |  |  |  |  |  |  |  |  |  |  |
| Liability | 170,878 |  |  | 18 | % |  | 142,642 |  |  | 17 | % |  | 20% |  |  |  |  |  |  |  |  |  |  |
| Accident and health | 51,062 |  |  | 5 | % |  | 51,048 |  |  | 6 | % |  | — | % |  |  |  |  |  |  |  |  |  |  |
| Discontinued lines - Novae | (940) |  |  | — | % |  | 4,678 |  |  | 1 | % |  | nm |  |  |  |  |  |  |  |  |  |  |
| Total | $ | 940,715 |  |  | 100 | % |  | $ | 851,096 |  |  | 100 | % |  | 11 | % |  |  |  |  |  |  |  |  |  |  |

nm – not meaningful
Gross premiums written for the three months ended March 31, 2020 increased by $90 million or 11%, compared to the three months ended March 31, 2019. The increase was primarily attributable to professional lines, liability, property, and marine lines, driven by new business and favorable rate changes.
Ceded Premiums Written:
Ceded premiums written for the three months ended March 31, 2020 were $359 million or 38% of gross premiums written, compared to $322 million or 38% of gross premiums written for the three months ended March 31, 2019. The increase in ceded premiums written of $37 million or 11% was primarily driven by increases in liability and marine lines.
Net Premiums Earned:
Net premiums earned by line of business were as follows:

|  | Three months ended March 31, |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|  | 2020 |  |  |  | 2019 |  |  |  | % Change |  |  |  |  |  |  |  |  |  |  |
| Property | $ | 150,282 |  |  | 26 | % |  | $ | 171,133 |  |  | 32 | % |  | (12 | %) |  |  |  |  |  |  |  |  |  |  |
| Marine | 67,944 |  |  | 12 | % |  | 73,815 |  |  | 13 | % |  | (8 | %) |  |  |  |  |  |  |  |  |  |  |
| Terrorism | 12,363 |  |  | 2 | % |  | 11,162 |  |  | 2 | % |  | 11 | % |  |  |  |  |  |  |  |  |  |  |
| Aviation | 14,776 |  |  | 3 | % |  | 12,871 |  |  | 2 | % |  | 15 | % |  |  |  |  |  |  |  |  |  |  |
| Credit and political risk | 26,086 |  |  | 5 | % |  | 22,805 |  |  | 4 | % |  | 14% |  |  |  |  |  |  |  |  |  |  |
| Professional lines | 179,071 |  |  | 32 | % |  | 157,125 |  |  | 28 | % |  | 14% |  |  |  |  |  |  |  |  |  |  |
| Liability | 78,568 |  |  | 14 | % |  | 62,208 |  |  | 11 | % |  | 26% |  |  |  |  |  |  |  |  |  |  |
| Accident and health | 33,561 |  |  | 6 | % |  | 40,424 |  |  | 7 | % |  | (17 | %) |  |  |  |  |  |  |  |  |  |  |
| Discontinued lines - Novae | (587) |  |  | — | % |  | 5,219 |  |  | 1 | % |  | nm |  |  |  |  |  |  |  |  |  |  |
| Total | $ | 562,064 |  |  | 100 | % |  | $ | 556,762 |  |  | 100 | % |  | 1 | % |  |  |  |  |  |  |  |  |  |  |

nm – not meaningful
Net premiums earned for the three months ended March 31, 2020 increased by $5 million or 1% ($11 million or 2% on a constant currency basis), compared to the three months ended March 31, 2019. The increase was primarily driven by increases in gross premiums earned in liability and professional lines, together with a decrease in ceded premiums earned in property lines, partially offset by a decrease in gross premiums earned in property lines, and an increase in ceded premiums earned in liability lines.
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Loss Ratio:
The table below shows the components of our loss ratio:

|  | Three months ended March 31, |  |  |  |  |  |  |  |  |  |  |
|  | 2020 |  | % Point Change |  | 2019 |  |  |  |  |  |  |
| Current accident year | 84.6 | % |  | 27.0 |  | 57.6 | % |  |  |  |  |  |  |
| Prior year reserve development | (0.7 | %) |  | 0.5 |  | (1.2 | %) |  |  |  |  |  |  |
| Loss ratio | 83.9 | % |  | 27.5 |  | 56.4 | % |  |  |  |  |  |  |

C urrent Accident Year Loss Ratio:
The current accident year loss ratio increased to 84.6% for the three months ended March 31, 2020, from 57.6% for the three months ended March 31, 2019.
During the three months ended March 31, 2020, we incurred pre-tax catastrophe and weather-related losses, net of reinstatement premiums, of $178 million or 30.4 points, including $135 million attributable to the COVID-19 pandemic. These losses were primarily associated with property related coverages, but also included event cancellation coverages and considered a global shelter in place order that remains in effect until July 31, 2020. The remaining losses of $43 million were primarily attributable to other weather-related events including regional weather events in the U.S. and floods in the U.K. Comparatively, during the three months ended March 31, 2019, we incurred pre-tax catastrophe and weather-related losses of $8 million or 1.4 points.
After adjusting for the impact of the catastrophe and weather-related losses, the current accident year loss ratio decreased to 54.2% for the three months ended March 31, 2020, from 56.2% for the three months ended March 31, 2019. The decrease in the current accident year loss ratio after ad justing for the impact of the catastrophe and weather-related losses was principally due to a decrease in loss experience in marine and aviation lines together with the impact of improved pricing over loss trends, partially offset by changes in business mix.
Refer to the ‘Prior Year Reserve Development’ section for further details.
Acquisition Cost Ratio:
The acquisition cost ratio decreased to 20.1% for the three months ended March 31, 2020, from 21.2% for the three months ended March 31, 2019, associated with the acquisition of Novae and changes in business mix. At the acquisition date, the allocation of the acquisition price to the assets acquired and liabilities assumed based on estimated fair values at that date, resulted in the write-off of the deferred acquisition cost asset on Novae's balance sheet as the value of policies in-force on that date are considered within VOBA. Consequently, the absence of $0.5 million and $6 million of acquisition expense related to premiums earned in the three months ended March 31, 2020 and 2019, respectively, benefited the acquisition cost ratio by 0.1 points and 1.1 points, respectively. Adjusting the acquisition cost ratio for these amounts, the acquisition cost ratio decreased by 2.2 point compared to the same period in 2019 principally related to changes in business mix.
General and Administrative Expense Ratio:
The general and administrative expense ratio decreased to 17.9% for the three months ended March 31, 2020, from 19.0% for the three months ended March 31, 2019, mainly driven by decreases in professional services fees, and travel and entertainment expenses, together with an increase in net premiums earned.
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Reinsurance Segment
Results from the reinsurance segment were as follows:

|  | Three months ended March 31, |  |  |  |  |  |  |  |  |  |  |
|  | 2020 |  | % Change |  | 2019 |  |  |  |  |  |  |
| Revenues: |  |  |  |  |  |  |  |  |  |  |  |
| Gross premiums written | $ | 1,490,443 |  |  | (14 | %) |  | $ | 1,732,130 |  |  |  |  |  |  |  |
| Net premiums written | 1,097,394 |  |  | (12 | %) |  | 1,247,820 |  |  |  |  |  |  |  |
| Net premiums earned | 526,561 |  |  | (9 | %) |  | 577,450 |  |  |  |  |  |  |  |
| Other insurance related income (loss) | (9,354) |  |  | nm |  | 5,187 |  |  |  |  |  |  |  |
| Expenses: |  |  |  |  |  |  |  |  |  |  |  |
| Current year net losses and loss expenses | (438,542) |  |  |  |  | (358,011) |  |  |  |  |  |  |  |
| Prior year reserve development | 2,281 |  |  |  |  | 7,759 |  |  |  |  |  |  |  |
| Acquisition costs | (125,899) |  |  |  |  | (142,643) |  |  |  |  |  |  |  |
| General and administrative expenses | (29,184) |  |  |  |  | (32,839) |  |  |  |  |  |  |  |
| Underwriting (loss) income |  | $ | (74,137) |  |  | nm |  | $ | 56,903 |  |  |  |  |  |  |  |
| Ratios: |  |  | % Point Change |  |  |  |  |  |  |  |  |
| Current accident year loss ratio excluding catastrophe and weather-related losses | 60.2 | % |  | (1.3) |  | 61.5 | % |  |  |  |  |  |  |
| Catastrophe and weather-related losses ratio | 23.1 | % |  | 22.6 |  | 0.5 | % |  |  |  |  |  |  |
| Current accident year loss ratio | 83.3 | % |  | 21.3 |  | 62.0 | % |  |  |  |  |  |  |
| Prior year reserve development ratio | (0.4 | %) |  | 0.9 |  | (1.3 | %) |  |  |  |  |  |  |
| Net losses and loss expenses ratio | 82.9 | % |  | 22.2 |  | 60.7 | % |  |  |  |  |  |  |
| Acquisition cost ratio | 23.9 | % |  | (0.8) |  | 24.7 | % |  |  |  |  |  |  |
| General and administrative expense ratio | 5.5 | % |  | (0.1) |  | 5.6 | % |  |  |  |  |  |  |
| Combined ratio | 112.3 | % |  | 21.3 |  | 91.0 | % |  |  |  |  |  |  |

nm – not meaningful
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Gross Premiums Written:
Gross premiums written by line of business were as follows:

|  | Three months ended March 31, |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|  | 2020 |  |  |  | 2019 |  |  |  | % Change |  |  |  |  |  |  |  |  |  |  |  |  |
| Catastrophe | $ | 262,283 |  |  | 17 | % |  | $ | 358,133 |  |  | 21 | % |  | (27 | %) |  |  |  |  |  |  |  |  |  |  |  |  |
| Property | 133,189 |  |  | 9 | % |  | 172,742 |  |  | 10 | % |  | (23 | %) |  |  |  |  |  |  |  |  |  |  |  |  |
| Professional lines | 123,570 |  |  | 8 | % |  | 109,828 |  |  | 6 | % |  | 13 | % |  |  |  |  |  |  |  |  |  |  |  |  |
| Credit and surety | 100,739 |  |  | 7 | % |  | 151,904 |  |  | 9 | % |  | (34 | %) |  |  |  |  |  |  |  |  |  |  |  |  |
| Motor | 279,132 |  |  | 19 | % |  | 281,401 |  |  | 16 | % |  | (1 | %) |  |  |  |  |  |  |  |  |  |  |  |  |
| Liability | 218,896 |  |  | 15 | % |  | 185,320 |  |  | 11 | % |  | 18 | % |  |  |  |  |  |  |  |  |  |  |  |  |
| Agriculture | 18,248 |  |  | 1 | % |  | 126,440 |  |  | 7 | % |  | nm |  |  |  |  |  |  |  |  |  |  |  |  |
| Engineering | 15,920 |  |  | 1 | % |  | 22,766 |  |  | 1 | % |  | (30 | %) |  |  |  |  |  |  |  |  |  |  |  |  |
| Marine and other | 29,993 |  |  | 2 | % |  | 36,336 |  |  | 2 | % |  | (17 | %) |  |  |  |  |  |  |  |  |  |  |  |  |
| Accident and health | 307,678 |  |  | 21 | % |  | 287,592 |  |  | 17 | % |  | 7 | % |  |  |  |  |  |  |  |  |  |  |  |  |
| Discontinued lines - Novae | 795 |  |  | — | % |  | (332) |  |  | — | % |  | nm |  |  |  |  |  |  |  |  |  |  |  |  |
| Total | $ | 1,490,443 |  |  | 100 | % |  | $ | 1,732,130 |  |  | 100 | % |  | (14 | %) |  |  |  |  |  |  |  |  |  |  |  |  |

nm – not meaningful
Gross premiums written for the three months ended March 31, 2020, decreased by $242 million or 14%, compared to the three months ended March 31, 2019. The decrease was primarily attributable to agriculture, catastrophe, credit and surety, and property lines, partially offset by increases in liability, accident and health, and professional lines.
The decrease in agriculture lines was due to the timing of the renewal of a significant contract. The decreases in catastrophe, credit and surety, and property lines were driven by non-renewals and decreased line sizes consistent with the optimization of the segment's portfolio.
The increases in liability, and accident and health lines were driven by new business due to favorable market condition s. In addition, increased lines sizes on a number of treaties also contributed to the increase in accident and health lines. The increase in professional lines was driven by premium adjustments.
Ceded Premiums Written:
Ceded premiums written for the three months ended March 31, 2020 were $393 million or 26% of gross premiums written, compared to $484 million or 28% of gross premiums written for the three months ended March 31, 2019. The decrease in ceded premiums written of $91 million or 19% was primarily driven by catastrophe, credit and surety, and accident and health lines, partially offset by increases in motor, liability, and property lines.
The decrease in catastrophe lines was attributable to a decrease in premiums ceded to strategic capital partners, partially offset by an increase in premiums ceded to a new excess of loss treaty. The decrease in credit and surety lines was attributable to the restructuring of a number of quota share retrocessional treaties, partially offset by an increase in premiums ceded to a new quota share retrocessional treaty. The decrease in accident and health lines was attributable to the restructuring of a quota share retrocessional treaty.
The increase in liability lines was attributable to an increase in premiums ceded to a new quota share retrocessional treaty, partially offset by the restructuring of an existing quota share retrocessional treaty. The increase in motor lines was attributable to an increase in premiums ceded to a new quota share retrocessional treaty. The increase in property lines was attributable to prior period premium adjustments ceded to a fronting arrangement.
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Net Premiums Earned:
Net premiums earned by line of business were as follows:

|  | Three months ended March 31, |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|  | 2020 |  |  |  | 2019 |  |  |  | % Change |  |  |  |  |  |  |  |  |  |  |
| Catastrophe | $ | 74,474 |  |  | 14 | % |  | $ | 68,052 |  |  | 12 | % |  | 9 | % |  |  |  |  |  |  |  |  |  |  |
| Property | 66,729 |  |  | 13 | % |  | 76,906 |  |  | 13 | % |  | (13 | %) |  |  |  |  |  |  |  |  |  |  |
| Professional lines | 48,963 |  |  | 9 | % |  | 51,899 |  |  | 9 | % |  | (6 | %) |  |  |  |  |  |  |  |  |  |  |
| Credit and surety | 43,514 |  |  | 8 | % |  | 50,082 |  |  | 9 | % |  | (13 | %) |  |  |  |  |  |  |  |  |  |  |
| Motor | 61,968 |  |  | 12 | % |  | 101,235 |  |  | 18 | % |  | (39 | %) |  |  |  |  |  |  |  |  |  |  |
| Liability | 96,913 |  |  | 18 | % |  | 88,862 |  |  | 15 | % |  | 9% |  |  |  |  |  |  |  |  |  |  |
| Agriculture | 22,292 |  |  | 4 | % |  | 37,068 |  |  | 6 | % |  | (40 | %) |  |  |  |  |  |  |  |  |  |  |
| Engineering | 13,333 |  |  | 3 | % |  | 14,675 |  |  | 3 | % |  | (9 | %) |  |  |  |  |  |  |  |  |  |  |
| Marine and other | 9,851 |  |  | 2 | % |  | 11,439 |  |  | 2 | % |  | (14 | %) |  |  |  |  |  |  |  |  |  |  |
| Accident and health | 87,619 |  |  | 17 | % |  | 77,468 |  |  | 13 | % |  | 13% |  |  |  |  |  |  |  |  |  |  |
| Discontinued lines - Novae | 905 |  |  | — | % |  | (236) |  |  | — | % |  | nm |  |  |  |  |  |  |  |  |  |  |
| Total | $ | 526,561 |  |  | 100 | % |  | $ | 577,450 |  |  | 100 | % |  | (9 | %) |  |  |  |  |  |  |  |  |  |  |

nm – not meaningful
Net premiums earned for the three months ended March 31, 2020, decreased by $51 million or 9% ($39 million or 7% on a constant currency basis), compared to the three months ended March 31, 2019. The decrease was primarily driven by decreases in gross premiums earned in motor and agriculture lines, together with an increase in ceded premiums earned in liability lines, partially offset by an increase in gross premiums earned in liability lines, and decreases in ceded premiums earned in agriculture and catastrophe lines.
Other Insurance Related Income (Loss):
Other insurance related loss was $9 million for the three months ended March 31, 2020, compared to other insurance related income of $5 million for the three months ended March 31, 2019. The decrease of $15 million was primarily due to the recognition of a full limit loss of $10 million associated with the WHO pandemic risk-linked swap, together with a decrease in fees associated with arrangements with strategic capital partners.
Loss Ratio:
The table below shows the components of our loss ratio:

|  | Three months ended March 31, |  |  |  |  |  |  |  |  |  |  |
|  | 2020 |  | % Point Change |  | 2019 |  |  |  |  |  |  |
| Current accident year | 83.3 | % |  | 21.3 |  | 62.0 | % |  |  |  |  |  |  |
| Prior year reserve development | (0.4 | %) |  | 0.9 |  | (1.3 | %) |  |  |  |  |  |  |
| Loss ratio | 82.9 | % |  | 22.2 |  | 60.7 | % |  |  |  |  |  |  |

Current Accident Year Loss Ratio:
The current accident year loss ratio increased to 83.3% for the three months ended March 31, 2020, from 62.0% for the three months ended March 31, 2019.
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During the three months ended March 31, 2020, we incurred pre-tax catastrophe and weather-related losses, net of reinstatement premiums, of $122 million or 23.1 points, including $100 million attributable to the COVID-19 pandemic. These losses were primarily associated with property related coverages, but also included accident and health coverages and considered a global shelter in place order that remains in effect until July 31, 2020. The remaining losses of $22 million were attributable to other weather-related events including regional weather events in the U.S. and wildfires in Australia. Comparatively, during the three months ended March 31, 2019, we incurred pre-tax catastrophe and weather-related losses of $3 million or 0.5 points.
After adjusting for the impact of the catastrophe and weather-related losses, our current accident year loss ratio decreased to 60.2% for the three months ended March 31, 2020, from 61.5% for the three months ended March 31, 2019. The decrease in the current accident year loss ratio after adjusting for the impact of catastrophe and weather-related losses was principally due to changes in business mix and a decrease in loss experience in aviation lines.
Refer to ‘Prior Year Reserve Development’ for further details.
Acquisition Cost Ratio:
The acquisition cost ratio decreased to 23.9% for the three months ended March 31, 2020, from 24.7% for the three months ended March 31, 2019. The decrease in the acquisition cost ratio was principally related to changes in business mix and the impact of retrocessional contracts, partially offset by adjustments related to loss sensitive features.
General and Administrative Expense Ratio:
The general and administrative expense ratio of 5.5% for the three months ended March 31, 2020, was comparable to 5.6% for the three months ended March 31, 2019.

OTHER EXPENSES (REVENUES), NET

The following table provides a summary of other expenses (revenues), net:

|  | Three months ended March 31, |  |  |  |  |  |  |  |  |  |  |
|  | 2020 |  | % Change |  | 2019 |  |  |  |  |  |  |
| Corporate expenses | $ | 27,098 |  |  | (25 | %) |  | $ | 36,218 |  |  |  |  |  |  |  |
| Foreign exchange losses (gains) |  | (61,683) |  |  | nm |  | 7,056 |  |  |  |  |  |  |  |
| Interest expense and financing costs | 23,472 |  |  | 48 | % |  | 15,895 |  |  |  |  |  |  |  |
| Income tax expense (benefit) |  | (4,867) |  |  | nm |  | 1,234 |  |  |  |  |  |  |  |
| Total | $ | (15,980) |  |  | nm |  | $ | 60,403 |  |  |  |  |  |  |  |

nm – not meaningful
Corporate Expenses
Corporate expenses include holding company costs necessary to support our worldwide insurance and reinsurance operations and costs associated with operating as a publicly-traded company. As a percentage of net premiums earned, corporate expenses decreased to 2.5% for the three months ended March 31, 2020, from 3.2% for the three months ended March 31, 2019.
The decrease in corporate expenses for the three months ended March 31, 2020, was primarily related to decreases in performance-related compensation costs, information technology costs, and travel and entertainment expenses.
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Foreign Exchange Losses (Gains)
Some of our business is written in currencies other than the U.S. dollar. Foreign exchange gains of $62 million for the three months ended March 31, 2020, were mainly driven by the impact of the strengthening of the U.S. dollar on the remeasurement of net insurance-related liabilities denominated in pound sterling and euro.
Foreign exchange losses of $7 million for the three months ended March 31, 2019, were mainly driven by the impact of the weakening of the U.S. dollar on the remeasurement of net insurance-related liabilities denominated in pound sterling, partially offset by the strengthening of the U.S. dollar on the remeasurement of net insurance-related liabilities denominated in euro.
Interest Expense and Financing Costs
Interest expense and financing costs are related to interest due on the 5.875% senior unsecured notes ("5.875% Senior Notes") issued in 2010, the 5.150% senior unsecured notes ("5.150% Senior Notes") issued in 2014, the 4.000% senior unsecured notes ("4.000% Senior Notes") issued in 2017, the 3.900% Senior Notes and the Junior Subordinated Notes issued in 2019.
Interest expense and financing costs increased by $8 million for the three months ended March 31, 2020, compared to the same period in 2019, was mainly due to the issuance of the 3.900% Senior Notes on June 19, 2019 and the issuance of the Junior Subordinated Notes on December 10, 2019, partially offset by the repayment of the 2.650% Senior Notes on April 1, 2019.
Income Tax Expense (Benefit)
Income tax expense (benefit) primarily results from income (loss) generated by our foreign operations in the U.S. and Europe. Our effective tax rate is calculated as income tax expense (benefit) divided by income (loss) before tax including interest in income (loss) of equity method investments. This effective rate can vary between periods depending on the distribution of net income (loss) among tax jurisdictions, as well as other factors.
The tax benefit of $5 million for the three months ended March 31, 2020, was principally due to the generation of pre-tax losses in our U.K. and European operations, partially offset by pre-tax income in our U.S. operations.
The tax expense of $1 million recognized for the three months ended March 31, 2019, was principally due to pre-tax income in our U.S. operations, largely offset by the generation of pre-tax losses in our U.K. operations.
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NET INVESTMENT INCOME AND NET INVESTMENT GAINS (LOSSES)

Net Investment Income
Net investment income from our cash and investment portfolio by major asset class was as follows:

|  | Three months ended March 31, |  |  |  |  |  |  |  |  |  |  |
|  | 2020 |  | % Change |  | 2019 |  |  |  |  |  |  |
| Fixed maturities | $ | 89,943 |  |  | (2 | %) |  | $ | 91,382 |  |  |  |  |  |  |  |
| Other investments | (2,120) |  |  | nm |  | 6,895 |  |  |  |  |  |  |  |
| Equity securities | 2,125 |  |  | (9 | %) |  | 2,328 |  |  |  |  |  |  |  |
| Mortgage loans | 4,053 |  |  | 32 | % |  | 3,063 |  |  |  |  |  |  |  |
| Cash and cash equivalents | 4,930 |  |  | (15 | %) |  | 5,801 |  |  |  |  |  |  |  |
| Short-term investments | 1,498 |  |  | (62 | %) |  | 3,894 |  |  |  |  |  |  |  |
| Gross investment income | 100,429 |  |  | (11 | %) |  | 113,363 |  |  |  |  |  |  |  |
| Investment expense | (7,328) |  |  | 21 | % |  | (6,060) |  |  |  |  |  |  |  |
| Net investment income |  | $ | 93,101 |  |  | (13 | %) |  | $ | 107,303 |  |  |  |  |  |  |  |
| Pre-tax yield:(1) |  |  |  |  |  |  |  |  |  |  |  |
| Fixed maturities | 2.9 | % |  |  |  | 3.1 | % |  |  |  |  |  |  |

nm - not meaningful
(1) Pre-tax yield is calculated by dividing annualized net investment income by the average month-end amortized cost balances.
Fixed Maturities
Net investment income attributable to fixed maturities for the three months ended March 31, 2020 was $90 million, compared to net investment income of $91 million for the three months ended March 31, 2019. The decrease for the three months ended March 31, 2020, compared to the same period in 2019, was due t o the decrease in yields and a smaller allocation of the portfolio to fixed maturities.
Other Investments
Net investment income from other investments was as follows:

|  | Three months ended March 31, |  |  |  |  |  |  |
|  | 2020 |  | 2019 |  |  |  |  |
| Hedge, direct lending, private equity and real estate funds | $ | (1,352) |  |  | $ | 5,446 |  |  |  |  |  |
| Other privately held investments | 80 |  |  | 1,034 |  |  |  |  |  |
| CLO-Equities | (848) |  |  | 415 |  |  |  |  |  |
| Net investment income from other investments (1) | $ | (2,120) |  |  | $ | 6,895 |  |  |  |  |  |
| Pre-tax return on other investments(2) | (0.3 | %) |  | 1.0 | % |  |  |  |  |

(1)Excluding overseas deposits.
(2)The pre-tax return on other investments is calculated by dividing total net investment income from other investments (non-annualized) by the average month-end fair value balances held for the periods indicated, excluding overseas deposits.
Net investment income attributable to other investments for the three months ended March 31, 2020 was $(2) million, compared to net investment income of $7 million for the three months ended March 31, 2019. The decrease for the three months ended March 31, 2020, compared to the same period in 2019, was due to lower returns from hedge funds.
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Net Investment Gains (Losses)
Net investment gains (losses) were as follows:

|  | Three months ended March 31, |  |  |  |  |  |  |
|  | 2020 |  | 2019 |  |  |  |  |
| On sale of investments: |  |  |  |  |  |  |  |
| Fixed maturities and short-term investments | $ | 17,165 |  |  | $ | (9,842) |  |  |  |  |  |
| Equity securities | (762) |  |  | 1,352 |  |  |  |  |  |
|  | 16,403 |  |  | (8,490) |  |  |  |  |  |
| Allowance for expected credit losses | (20,019) |  |  | — |  |  |  |  |  |
| Impairment losses | (1,190) |  |  | — |  |  |  |  |  |
| OTTI losses | — |  |  | (4,036) |  |  |  |  |  |
| Change in fair value of investment derivatives | 3,162 |  |  | (2,102) |  |  |  |  |  |
| Net unrealized gains (losses) on equity securities | (61,233) |  |  | 27,395 |  |  |  |  |  |
| Net investment gains (losses) |  | $ | (62,877) |  |  | $ | 12,767 |  |  |  |  |  |

Net investment losses for the three months ended March 31, 2020 were $63 million compared to net investment gains of $13 million for the three months ended March 31, 2019. For the three months ended March 31, 2020, the net investment losses were primarily due to net unrealized losses on equity securities and expected credit losses on corporate debt securities, partially offset by net realized gains on the sale of U.S. government and agency RMBS securities. For the three months ended March 31, 2019, the net investment gains were primarily due to net unrealized gains on equity securities, partially offset by net realized investment losses on the sale of corporate debt securities.
On Sale of Investments
Generally, sales of individual securities occur when there are changes in the relative value, credit quality or duration of a particular issue. We may also sell securities to re-balance our investment portfolio in order to change exposure to particular asset classes or sectors.
Impairment and OTTI Losses
The impairment losses for the three months ended March 31, 2020 were $1 million compared to OTTI losses of $4 million for the three months ended March 31, 2019. For the three months ended March 31, 2020, these losses were principally due to impairments of non-investment grade corporate debt securities that we intend to sell or more likely than not will be required to sell. For the three months ended March 31, 2019, these losses were principally due to impairments of non-U.S. denominated securities due to the impact of the strengthening of the U.S. dollar.
Change in Fair Value of Investment Derivatives
From time to time, we economically hedge foreign exchange exposure and interest rate risk with derivative contracts.
For the three months ended March 31, 2020, we recorded gains of $3 million related to foreign exchange contracts. For the three months ended March 31, 2019, we recorded gains of $1 million relating to foreign exchange contracts and losses of $3 million relating to interest rates swaps.
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Total Return
Total return on cash and investments was as follows:

|  | Three months ended March 31, |  |  |  |  |  |  |
|  | 2020 |  | 2019 |  |  |  |  |
| Net investment income |  | $ | 93,101 |  |  | $ | 107,303 |  |  |  |  |  |
| Net investments gains (losses) |  | (62,877) |  |  | 12,767 |  |  |  |  |  |
| Change in net unrealized gains (losses) on fixed maturities (1) | (274,757) |  |  | 220,680 |  |  |  |  |  |
| Interest in income (loss) of equity method investments |  | (23,577) |  |  | 2,219 |  |  |  |  |  |
| Total | $ | (268,110) |  |  | $ | 342,969 |  |  |  |  |  |
| Average cash and investments(2) | $ | 15,711,614 |  |  | $ | 15,068,255 |  |  |  |  |  |
| Total return on average cash and investments, pre-tax: |  |  |  |  |  |  |  |
| Including investment related foreign exchange movements | (1.7 | %) |  | 2.3 | % |  |  |  |  |
| Excluding investment related foreign exchange movements(3) | (1.3 | %) |  | 2.2 | % |  |  |  |  |

(1)Change in net unrealized gains (losses) on fixed maturities is calculated by taking net unrealized gains (losses) at period end less net unrealized gains (losses) at the prior period end.
(2)The average cash and investments balance is calculated by taking the average of the period end fair value balances.
(3)Pre-tax total return on cash and investments excluding foreign exchange movements is a non-GAAP financial measure as defined in Item 10(e) of SEC Regulation S-K. The reconciliation to pre-tax total return on cash and investments, the most comparable GAAP financial measure, included foreign exchange (losses) gain s of $(61) million and $11 million for the three months ended March 31, 2020 and 2019, respectively.

CASH AND INVESTMENTS

Details of cash and investments are as follows:

|  | March 31, 2020 |  |  |  | December 31, 2019 |  |
|  |  | Fair Value |  |  |  | Fair Value |
| Fixed maturities |  | $ | 12,076,186 |  |  |  |  | $ | 12,468,205 |  |
| Equity securities |  | 404,945 |  |  |  |  | 474,207 |  |
| Mortgage loans |  | 517,181 |  |  |  |  | 432,748 |  |
| Other investments |  | 797,808 |  |  |  |  | 770,923 |  |
| Equity method investments |  | 94,244 |  |  |  |  | 117,821 |  |
| Short-term investments |  | 77,101 |  |  |  |  | 38,471 |  |
| Total investments |  | $ | 13,967,465 |  |  |  |  | $ | 14,302,375 |  |
| Cash and cash equivalents(1) |  | $ | 1,241,063 |  |  |  |  | $ | 1,576,457 |  |

(1)Includes restricted cash and cash equivalents of $485 million and $335 million at March 31, 2020 and at December 31, 2019, respectively.
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Overview
The fair value of total investments decreased by $335 million for the three months ended March 31, 2020, driven by the decrease in the market value of fixed maturities due to the widening of credit spreads and the decrease in the market value of equity securities due to the decline in equity markets.
An analysis of our investment portfolio by asset class is detailed below:
Fixed Maturities
Details of our fixed maturities portfolio are as follows:

|  | March 31, 2020 |  |  |  | December 31, 2019 |  |  |
|  | Fair Value |  | % of Total |  | Fair Value |  | % of Total |
| Fixed maturities: |  |  |  |  |  |  |  |
| U.S. government and agency | $ | 1,866,140 |  |  | 15 | % |  | $ | 2,112,881 |  |  | 17 | % |
| Non-U.S. government | 598,641 |  |  | 5 | % |  | 576,592 |  |  | 5 | % |
| Corporate debt | 4,779,752 |  |  | 40 | % |  | 4,930,254 |  |  | 38 | % |
| Agency RMBS | 1,616,510 |  |  | 13 | % |  | 1,592,584 |  |  | 13 | % |
| CMBS | 1,428,683 |  |  | 12 | % |  | 1,365,052 |  |  | 11 | % |
| Non-agency RMBS | 123,011 |  |  | 1 | % |  | 84,922 |  |  | 1 | % |
| ABS | 1,445,179 |  |  | 12 | % |  | 1,598,693 |  |  | 13 | % |
| Municipals(1) | 218,270 |  |  | 2 | % |  | 207,227 |  |  | 2 | % |
| Total | $ | 12,076,186 |  |  | 100 | % |  | $ | 12,468,205 |  |  | 100 | % |
| Credit ratings: |  |  |  |  |  |  |  |
| U.S. government and agency | $ | 1,866,140 |  |  | 15 | % |  | $ | 2,112,881 |  |  | 17 | % |
| AAA(2) | 4,808,991 |  |  | 40 | % |  | 4,896,833 |  |  | 38 | % |
| AA | 846,757 |  |  | 7 | % |  | 865,601 |  |  | 7 | % |
| A | 1,922,346 |  |  | 16 | % |  | 1,848,331 |  |  | 15 | % |
| BBB | 1,570,265 |  |  | 13 | % |  | 1,684,589 |  |  | 14 | % |
| Below BBB(3) | 1,061,687 |  |  | 9 | % |  | 1,059,970 |  |  | 9 | % |
| Total | $ | 12,076,186 |  |  | 100 | % |  | $ | 12,468,205 |  |  | 100 | % |

(1)Includes bonds issued by states, municipalities, and political subdivisions.
(2)Includes U.S. government-sponsored agencies, residential mortgage-backed securities ("RMBS") and commercial mortgage-backed securities ("CMBS").
(3)Non-investment grade and non-rated securities.
At March 31, 2020, fixed maturities had a weighted average credit rating of AA- (2019: AA-), a book yield of 2.7% (2019: 2.8%) and an average duration of 3.3 years (2019: 3.2 years). At March 31, 2020, fixed maturities together with short-term investments, and cash and cash equivalents (i.e. total investments of $13.4 billion), had an average credit rating of AA- (2019: AA-) and an average duration of 3.0 years (2019: 2.9 years).
At March 31, 2020, net unrealized losses on fixed maturities were $90 million, compared to net unrealized gains of $205 million at December 31, 2019, a decrease of $295 million due to the widening of credit spreads.
Equity Securities
At March 31, 2020, net unrealized gains on equity securities were $14 million, compared to unrealized gains of $75 million at December 31, 2019, a decrease of $61 million driven by the decline in equity markets.
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Mortgage Loans
During the three months ended March 31, 2020, our investment in commercial mortgage loans increased by $84 million. The commercial mortgage loans are high quality and collateralized by a variety of commercial properties and are diversified both geographically throughout the U.S. and by property type to reduce the risk of concentration. At March 31, 2020, there were no credit losses or past due amounts associated with our commercial mortgage loans portfolio.
Other Investments
Details of our other investments portfolio are as follows:

|  | March 31, 2020 |  |  |  | December 31, 2019 |  |  |
|  | Fair Value |  | % of Total |  | Fair Value |  | % of Total |
| Hedge funds |  |  |  |  |  |  |  |
| Long/short equity funds | $ | 22,281 |  |  | 3 | % |  | $ | 31,248 |  |  | 4 | % |
| Multi-strategy funds | 140,096 |  |  | 18 | % |  | 136,542 |  |  | 18 | % |
| Total hedge funds | 162,377 |  |  | 21 | % |  | 167,790 |  |  | 22 | % |
| Direct lending funds | 289,952 |  |  | 36 | % |  | 277,395 |  |  | 36 | % |
| Private equity funds | 83,693 |  |  | 10 | % |  | 80,412 |  |  | 10 | % |
| Real estate funds | 157,039 |  |  | 20 | % |  | 130,112 |  |  | 17 | % |
| Total hedge, direct lending, private equity and real estate funds | 693,061 |  |  | 87 | % |  | 655,709 |  |  | 85 | % |
| CLO-Equities | 12,793 |  |  | 1 | % |  | 14,328 |  |  | 2 | % |
| Other privately held investments | 37,441 |  |  | 5 | % |  | 36,934 |  |  | 5 | % |
| Overseas deposits | 54,513 |  |  | 7 | % |  | 63,952 |  |  | 8 | % |
| Total other investments | $ | 797,808 |  |  | 100 | % |  | $ | 770,923 |  |  | 100 | % |

Refer to Note 3(c) to the Consolidated Financial Statements 'Investments'.
Equity Method Investments
During 2016, we paid $108 million including direct transactions costs to acquire 19% of the common equity of Harrington Reinsurance Holdings Limited ("Harrington"), the parent company of Harrington Re Ltd. ("Harrington Re"), an independent reinsurance company jointly sponsored by AXIS Capital and The Blackstone Group L.P. ("Blackstone"). Harrington is not a variable interest entity that is required to be included in our consolidated financial statements. We account for our ownership interest in Harrington under the equity method of accounting.
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LIQUIDITY AND CAPITAL RESOURCES

Refer to the ‘Liquidity and Capital Resources’ section included under Item 7 of our Annual Report on Form 10-K for the year ended December 31, 2019 for a general discussion of our liquidity and capital resources.
The following table summarizes our consolidated capital:

|  | March 31, 2020 |  | December 31, 2019 |
| Debt | $ | 1,808,645 |  |  | $ | 1,808,157 |  |
| Preferred shares | 550,000 |  |  | 775,000 |  |
| Common equity | 4,289,578 |  |  | 4,769,008 |  |
| Shareholders’ equity | 4,839,578 |  |  | 5,544,008 |  |
| Total capital | $ | 6,648,223 |  |  | $ | 7,352,165 |  |
| Ratio of debt to total capital | 27.2 | % |  | 24.6 | % |
| Ratio of debt and preferred equity to total capital | 35.5 | % |  | 35.1 | % |

We finance our operations with a combination of debt and equity capital. Debt to total capital and debt and preferred equity to total capital ratios provide an indication of our capital structure, along with some insight into our financial strength.
While the impact of the COVID-19 pandemic has reduced shareholders' equity, we believe that our financial flexibility remains strong, and we will make adjustments as necessary, if the outlook and impact changes. Refer to 'Management’s Discussion and Analysis of Financial Condition and Results of Operations – Executive Summary – Recent Developments related to COVID-19' for further information.
Secured Letter of Credit Facility
On March 28, 2020, certain of AXIS Capital’s operating subsidiaries (the "Participating Subsidiaries") amended their existing $250 million secured letter of credit facility with Citibank Europe plc (the "$250 million Facility") to extend the expiration date to March 31, 2021.
The terms and conditions of the $500 million secured letter of credit facility (the "$500 million Facility") remain unchanged.
Letters of credit issued under the $250 million facility and the $500 million facility are principally used to support the reinsurance obligations of the Participating Subsidiaries. The Participating Subsidiaries are subject to certain covenants, including the requirement to maintain sufficient collateral to cover the obligations outstanding under the facilities. Such obligations include contingent reimbursement obligations for outstanding letters of credit and fees payable to Citibank Europe plc. In the event of default, Citibank Europe plc may exercise certain remedies, including the exercise of control over pledged collateral and the termination facility to any or all of the Participating Subsidiaries.
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Common Equity
During the three months ended March 31, 2020, our common equity decreased by $479 million. The following table reconciles our opening and closing common equity positions:

| Three months ended March 31, | 2020 |
| Common equity - opening | $ | 4,769,008 |  |
| Treasury shares reissued | 1,889 |  |
| Share-based compensation expense |  | 9,481 |  |
| Change in unrealized gains (losses) on available for sale investments, net of tax |  | (253,904) |  |
| Foreign currency translation adjustment | (7,725) |  |
| Net income (loss) | (177,827) |  |
| Preferred share dividends |  | (7,563) |  |
| Common share dividends | (35,289) |  |
| Treasury shares repurchased |  | (8,492) |  |
| Common equity - closing | $ | 4,289,578 |  |

During the three months ended March 31, 2020, we repurch ased 150,000 common shares from employees to satisfy withholding tax liabilities related to the vesting of share-settled restricted stock units g ranted under our 2 007 and 2017 Long-Term Equity Compensation Plans for a total cost of $8 million.
A common share repurchase plan has not been authorized for 2020.
We expect cash flows generated from operations, combined with liquidity provided by our investment portfolio, will be sufficient to cover cash outflows and other contractual commitments that become due within one year after the date that the financial statements are issued. Refer to 'Management’s Discussion and Analysis of Financial Condition and Results of Operations – Executive Summary – Recent Developments related to COVID-19' for further information.
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Financial Strength Ratings
Our principal insurance and reinsurance operating subsidiaries are assigned financial strength ratings from internationally recognized rating agencies, including Standard & Poor’s, A.M. Best and Moody’s Investors Service. These ratings are publicly announced and are available directly from the agencies, as well as on our website.
On May 5, 2020, A.M. Best revised its rating and outlook from A+ and negative to A and stable, respectively. The revised rating was based on unfavorable trends in operating performance over the past five years, particularly emanating from the insurance segment. The revised outlook continues to reflect our strong balance sheet, favorable business profile and appropriate risk management practices.
On May 11, 2020, Standard & Poor's revised its outlook from stable to negative due to unfavorable trends in operating performance.
Our rating and outlook from Moody’s Investors Service remain unchanged.
The following are the most recent financial strength ratings from internationally recognized agencies in relation to our principal insurance and insurance operating subsidiaries:

| Rating agency |  | Agency’s description of rating |  | Rating and outlook |  | Agency’s rating definition |  | Ranking of rating |
| Standard & Poor’s |  | An "opinion about the financial security characteristics of an insurance organization, with respect to its ability to pay under its insurance policies and contracts, in accordance with their terms". |  | A+ (Negative) |  | "Strong capacity to meet its financial commitments" |  | The ‘A’ category is the third highest out of ten major rating categories. The second through eighth major rating categories may be modified by the addition of a plus or minus sign to show relative standing within the major rating categories. |
| A.M. Best |  | An "opinion of an insurer’s financial strength and ability to meet its ongoing insurance policy and contract obligations". |  | A (Stable) |  | "Excellent ability to meet ongoing insurance obligations" |  | The ‘A’ category is the third highest rating out of fourteen. Ratings outlooks (‘Positive’, ‘Negative’ and ‘Stable’) are assigned to indicate a rating’s potential direction over an intermediate term, generally defined as 36 months. |
| Moody’s Investors Service |  | "Opinions of the ability of insurance companies to pay punctually senior policyholder claims and obligations." |  | A2 (Negative) (1) |  | "Offers good financial security" |  | The ‘A’ category is the third highest out of nine rating categories. Each of the second through seventh categories are subdivided into three subcategories, as indicated by an appended numerical modifier of ‘1’, ‘2’ and ‘3’. The ‘1’ modifier indicates that the obligation ranks in the higher end of the rating category, the ‘2’ modifier indicates a mid-category ranking and the ‘3’ modifier indicates a ranking in the lower end of the rating category. |

(1)In April 2019, Moody's Investor Service revised its outlook from stable to negative reflecting higher operational and financial leverage and lower capitalization relative to peers.
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CRITICAL ACCOUNTING ESTIMATES

The Company's Consolidated Financial Statements include certain amounts that are inherently uncertain and judgmental in nature. As a result, the Company is required to make assumptions and best estimates in order to determine the reported values. The Company considers an accounting estimate to be critical if: (1) it requires that significant assumptions be made in order to deal with uncertainties and (2) changes in the estimate could have a material impact on the Company's results of operations, financial condition or liquidity.
The Company believes the material items requiring such subjective and complex estimates are:
•reserves for losses and loss expenses;
•reinsurance recoverable on unpaid losses, including the provision for uncollectible amounts;
•gross premiums written;
•fair value measurements of financial assets and liabilities; and
•other-than-temporary impairments ("OTTI") in the carrying value of available for sale securities and allowance for credit losses associated with available for sale securities.
Other that the Company's consideration of the impact of the targeted changes to the impairment model for available for sale securities introduced in ASU 2016-13 detailed in Note 1 'Basis of Presentation and Significant Accounting Policies' to the Consolidated Financial Statements, the Company believes that the critical accounting estimates discussion in Item 7 of its Annual Report on Form 10-K for the year ended December 31, 2019, continues to describe the significant estimates and judgments included in the preparation of the Consolidated Financial Statements.

RECENT ACCOUNTING PRONOUNCEMENTS

Refer to Item 1, Note 1 'Basis of Presentation and Significant Accounting Policies' to the Consolidated Financial Statements and Item 8, Note 2 'Basis of Presentation and Significant Accounting Policies' to the Consolidated Financial Statements in the Company's Annual Report on Form 10-K for the year ended December 31, 2019, for a discussion of recently issued accounting pronouncements.

OFF-BALANCE SHEET AND SPECIAL PURPOSE ENTITY ARRANGEMENTS

At March 31, 2020, the Company had not entered into any off-balance sheet arrangements, as defined by Item 303(a)(4) of Regulation S-K.
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ITEM 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

Refer to Item 7A included in our Annual Report on Form 10-K for the year ended December 31, 2019. There have been no material changes to this item since December 31, 2019, with the exception of the changes in exposure to foreign currency risk presented below.
Foreign Currency Risk
The table below provides a sensitivity analysis of our total net foreign currency exposures.

|  | AUD |  | NZD |  | CAD |  | EUR |  | GBP |  | JPY |  | Other |  | Total |
| At March 31, 2020 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Net managed assets (liabilities), excluding derivatives | $ | 20,860 |  |  | $ | (1,337) |  |  | $ | 161,560 |  |  | $ | (269,416) |  |  | $ | (137,890) |  |  | $ | (141,937) |  |  | $ | 140,958 |  |  | $ | (227,202) |  |
| Foreign currency derivatives, net | (18,920) |  |  | 2,669 |  |  | (133,759) |  |  | 381,240 |  |  | 109,361 |  |  | 168,767 |  |  | 12,667 |  |  | 522,026 |  |
| Net managed foreign currency exposure | 1,940 |  |  | 1,332 |  |  | 27,801 |  |  | 111,824 |  |  | (28,529) |  |  | 26,830 |  |  | 153,625 |  |  | 294,824 |  |
| Other net foreign currency exposure | — |  |  | — |  |  | 106 |  |  | (1,134) |  |  | (1,388) |  |  | — |  |  | 30,069 |  |  | 27,653 |  |
| Total net foreign currency exposure | $ | 1,940 |  |  | $ | 1,332 |  |  | $ | 27,907 |  |  | $ | 110,690 |  |  | $ | (29,917) |  |  | $ | 26,830 |  |  | $ | 183,694 |  |  | $ | 322,477 |  |
| Net foreign currency exposure as a percentage of total shareholders’ equity | — | % |  | — | % |  | 0.6 | % |  | 2.3 | % |  | (0.6 | %) |  | 0.6 | % |  | 3.8 | % |  | 6.7 | % |
| Pre-tax impact of net foreign currency exposure on shareholders’ equity given a hypothetical 10% rate movement(1) | $ | 194 |  |  | $ | 133 |  |  | $ | 2,791 |  |  | $ | 11,069 |  |  | $ | (2,992) |  |  | $ | 2,683 |  |  | $ | 18,369 |  |  | $ | 32,247 |  |

(1)Assumes 10% change in underlying currencies relative to the U.S. dollar.
Total Net Foreign Currency Exposure
At March 31, 2020, total net foreign currency exposure was $322 million net long, driven by increases in exposures to the euro and other non-core currencies primarily due to new business written during the three months ended March 31, 2020. In addition, $30 million included in other net foreign currency exposures related to assets managed by specific investment managers who have the discretion to hold foreign currency exposures as part of their total return strategy. An emerging market debt portfolio is the primary contributor to this group of assets.

ITEM 4. CONTROLS AND PROCEDURES

Disclosure Controls and Procedures
The Company’s management has performed an evaluation, with the participation of the Company’s Chief Executive Officer and Chief Financial Officer, of the effectiveness of the Company's disclosure controls and procedures (as defined in Rules 13a-15(e) and 15d-15(e) of the Securities Exchange Act of 1934 (the "Exchange Act")) at March 31, 2020. Based upon that evaluation, the Company's Chief Executive Officer and Chief Financial Officer concluded that, at March 31, 2020, the Company's disclosure controls and procedures are effective to ensure that information required to be disclosed by the Company in reports that it files or submits under the Exchange Act is recorded, processed, summarized and reported within the time periods specified in the rules and forms of the SEC and is accumulated and communicated to management, including its principal executive and principal financial officers, as appropriate to allow timely decisions regarding required disclosure.
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Changes in Internal Control Over Financial Reporting
The Company’s management has performed an evaluation, with the participation of the Company’s Chief Executive Officer and the Company’s Chief Financial Officer, of changes in the Company’s internal control over financial reporting that occurred during the three months ended March 31, 2020.
Based upon that evaluation, there were no changes in the Company's internal control over financial reporting that occurred during the three months ended March 31, 2020 that have materially affected, or are reasonably likely to materially affect, the Company's internal control over financial reporting. The Company has not experienced any material impact to its internal control over financial reporting resulting from the introduction of a remote work model due to the COVID-19 pandemic.
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PART II OTHER INFORMATION

ITEM 1. LEGAL PROCEEDINGS

From time to time, the Company is subject to routine legal proceedings, including arbitrations, arising in the ordinary course of business. These legal proceedings generally relate to claims asserted by or against the Company in the ordinary course of insurance or reinsurance operations. Estimated amounts payable under such proceedings are included in the reserve for losses and loss expenses in the consolidated balance sheets.
The Company is not party to any material legal proceedings arising outside the ordinary course of business.

ITEM 1A. RISK FACTORS

For information regarding factors that could affect our results of operations, financial condition or liquidity, refer to risk factors discussed in Part I, Item 1A. 'Risk Factors' in our Annual Report on Form 10-K for the year ended December 31, 2019.
In light of developments relating to the novel coronavirus ("COVID-19") pandemic occurring subsequent to the filing of our Annual Report on Form 10-K, we are supplementing the risk factors discussed in our Annual Report with the following risk factor, which should be read in conjunction with the risk factors contained in our Annual Report.
The scale and scope of the ongoing, novel COVID-19 pandemic is unknown and is expected to adversely impact our business. The overall impact on our business, results of operations, financial condition or liquidity could be material.
During the first quarter of 2020, there was a global outbreak of the novel coronavirus, COVID-19, which has spread to over 200 countries and territories, including our key business locations of Bermuda, the European Union, the U. K. and the U.S.. The World Health Organization has designated COVID-19 as a pandemic, and numerous countries in which we operate, including Bermuda, the U.K., Switzerland and the U.S., have declared national emergencies. The global impact of the outbreak has been rapidly evolving, and as cases have continued to be identified in additional countries, many countries have reacted by instituting social distancing measures and quarantines, placing restrictions on travel, restricting trading, limiting operations of non-essential businesses and issuing shelter in place orders. Such actions are creating disruption in global supply chains, and adversely impacting operations in many sectors of the economy. The outbreak will likely have a continued adverse impact on economic and market conditions, triggering a global economic slowdown.
The scale and scope of the COVID-19 pandemic may heighten the potential adverse effects on our business, results of operation, financial condition or liquidity described in the risk factors contained in our Annual Report on Form 10-K, including without limitation:
•We have substantial exposure to losses resulting from catastrophe events, potentially including pandemics. The extent of our losses from the COVID-19 pandemic will ultimately depend on its severity and duration and such losses could have a material adverse effect on our results of operations, financial condition or liquidity. While reported claims are limited at this
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stage of the pandemic, we have identified potential exposures arising from our underwriting of insurance and reinsurance policies that cover accident and health (including travel), event cancellation, property/business interruption, credit and surety (including mortgage) and professional lines (medical malpractice and directors’ and officers’ liability) among others. These potential exposures include direct claims relating to COVID-19 (e.g., business interruption following a shelter in place order) and indirect exposures arising from economic downturn. We note that other lines may be affected as the pandemic and associated economic downturn develop, and new information is discovered.
•Our exposures are controlled and limited by our insurance and reinsurance contracts, which include specific terms and conditions defining if and how our policies respond to losses arising from the COVID-19 pandemic. However, legislative, regulatory or judicial actions and social influences could alter the interpretation of our contracts or extend or change coverage (beyond the obligations set forth within those contracts or beyond what was intended by the parties). These legislative, regulatory or judicial actions make it difficult to predict the total amount of losses we could incur as a result of the pandemic, but these losses could be material.
•Actual claims may exceed loss reserves. While we believe that net reserves for losses and loss expenses at March 31, 2020 are adequate, changes in the duration, severity and scope of the impact of the COVID-19 pandemic from current expectations may result in ultimate losses being materially greater or less than the net reserves for losses and loss expenses currently provided. Among the factors that would cause net reserves for losses and loss expenses to increase or decrease are changes in claim frequency or severity driven by the COVID-19 pandemic or its related impact on the economy.
•Uncertainty and market turmoil caused by the COVID-19 pandemic could affect, among other aspects of our business, the demand for our products, and the ability of customers, counterparties and others to establish or maintain their relationships with us. In addition, the market for insurance and reinsurance could be smaller and certain industries for which we write business could be particularly impacted by the pandemic (such as, energy, aviation, retail, hospitality and construction lines, among others), resulting in downward pressure on our premium levels.
•Our investment and derivative instrument portfolios are exposed to significant economic and capital markets risks related to changes in interest rates, bankruptcies, credit spreads and equity prices, as well as other risks, which may adversely affect our results of operations or financial condition. The performance of our cash and investments portfolio has a significant impact on our financial results. The impact of the COVID-19 pandemic has heightened the risks to which our portfolios are subject, including risks relating to general economic conditions, interest rate fluctuations, equity price risk, foreign currency movements, pre-payment or reinvestment risk, liquidity risk and credit risk. Our investments in equities, corporate debt and hedge funds experienced declines during the first quarter and an increase in price volatility. Government imposed restrictions on movements and/or social distancing practices have led to sharp declines in the revenue of many companies and industries, and we have some debt and/or equity exposure to some of these highly impacted sectors. We anticipate that negative impacts of the COVID-19 pandemic may continue for some time.
•The COVID-19 pandemic may impact cashflows and could require access to liquidity in excess of prior forecasts. There is a risk that accessing additional required liquidity may be difficult or have costs associated as a result of the COVID-19 pandemic.
•The impact on the COVID-19 pandemic on financial markets may impact our ability to acquire additional capital, should we desire to do so, or to be able to effectively deploy existing capital resources.
•Certain of our policyholders and intermediaries may not pay premiums owed to us due to insolvency or other reasons. Insolvency, liquidity problems, distressed financial condition due to the impact of the COVID-19 pandemic or the general effects of economic recession may increase the risk that policyholders or intermediaries, such as insurance brokers, may not pay a part of or the full amount of premiums owed to us, despite an obligation to do so. The terms of our contracts, or actions by our regulators, may not permit us to cancel our insurance even though we have not received payment. We may further decide (or be obliged by regulation) to refund premiums already paid where it is judged that the COVID-19 pandemic has reduced the customer need for insurance. If refunds or non-payments become widespread, whether as a result of insolvency, lack of liquidity, adverse economic conditions, operational failure or otherwise, it could have a material adverse impact on our revenues and results of operations.
•The COVID-19 pandemic could impact our ability to obtain reinsurance and retrocessional arrangements on favorable terms which could limit the amount of business we are willing to write or reduce our reinsurance protection for large loss events.
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•Our reinsurance and retrocession counterparties may experience financial distress and therefore, may be unable to pay the amounts owed to us under the applicable contracts.
•Our reinsurers and retrocession counterparties may be unwilling to pay claims due to disagreements or differing interpretation of contracts.
•There is a risk of reputational damage resulting from potential claims disputes and underwriting renewal actions.
In addition, the COVID-19 pandemic may have a material adverse impact on our business and financial condition due to significant disruption in other areas, including:
•We may experience decreased worker productivity, including as a result of remote working arrangements, increased medical, emergency or other leave, or delays in implementation of our response plan.
•An extended period of remote working by our employees could strain our technology resources and introduce operational risks, including heightened cybersecurity risk. Remote working environments may be less secure and more susceptible to hacking attacks, including phishing and social engineering attempts that seek to exploit the COVID-19 pandemic.
•Similarly, third parties on whom we rely to provide key business services on an outsourced basis (including, but not limited to delegated underwriting, claims processing, finance operations, IT support) also may experience operational or system disruption, or cybersecurity issues, impacting their provision of service to us, and in turn, our operational performance.
•The COVID-19 pandemic could impact our ability to attract and maintain key personnel which could adversely impact our business.
•Limitation on travel, social distancing requirements implemented in response to COVID-19, alongside economic conditions, may challenge our ability to write new insurance or reinsurance business and market our products and services as anticipated prior to COVID-19.
The duration and extent of the impact from the COVID-19 pandemic depends on future developments that cannot be accurately predicted at this time, such as the severity and transmission rate of the virus, the extent and effectiveness of containment actions, the extent and effectiveness of government actions to support the economy. The duration and severity of the economic downturn is uncertain, as well as the impact of these and other factors on our employees, customers and partners. Such impact on our business, results of operations, financial condition or liquidity could be material.
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ITEM 2. UNREGISTERED SALES OF EQUITY SECURITIES AND USE OF PROCEEDS

Issuer Purchases of Equity Securities
Common Shares
The following table shows information regarding the number of common shares repurchased:

Period | Total number of shares purchased(a) (b) |  | Average price paid per share |  | Total number of shares purchased as part of publicly announced plans or programs |  | Maximum number (or approximate dollar value) of shares that may yet be purchased under the plans or programs(b) |
January 1-31, 2020 | 1 |  |  | $60.50 |  |  | — |  |  | — |  |
February 1-29, 2020 | 5 |  |  | $64.25 |  |  | — |  |  | — |  |
March 1-31, 2020 | 144 |  |  | $56.12 |  |  | — |  |  | — |  |
Total | 150 |  |  |  |  | — |  |  | — |  |

(a) In thousands.
(b) Shares are repurchased from employees to satisfy withholding tax liabilities that arise on the vesting of share-settled restricted stock units.

ITEM 5. OTHER INFORMATION

Disclosure of Certain Activities Under Section 13(r) of the Securities Exchange Act of 1934
Section 13(r) of the Securities Exchange Act of 1934, as amended, requires issuers to disclose in their annual and quarterly reports whether they or any of their affiliates knowingly engaged in certain activities with Iran or with individuals or entities that are subject to certain sanctions under U.S. law. Issuers are required to provide this disclosure even where the activities, transactions or dealings are conducted outside of the U.S. in compliance with applicable law.
As and when allowed by the applicable law and regulations, certain of our non-U.S. subsidiaries provide treaty reinsurance coverage to non-U.S. insurers on a worldwide basis, including insurers of liability, marine, aviation and energy risks, and as a result, these underlying reinsurance portfolios may have some exposure to Iran. In addition, we underwrite insurance and facultative reinsurance on a global basis to non-U.S. insureds and insurers, including for liability, marine, aviation and energy risks. Coverage provided to non-Iranian business may indirectly cover an exposure in Iran. For example, certain of our operations underwrite global marine hull and cargo policies that provide coverage for vessels navigating into and out of ports worldwide, including Iran. For the quarter ended March 31, 2020, there has been no material amount of premium allocated or apportioned to activities relating to Iran. We intend for our non-U.S. subsidiaries to continue to provide such coverage only to the extent permitted by applicable law.
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ITEM 6. EXHIBITS

2.1 | Rule 2.7 Announcement, dated July 5, 2017 (incorporated by reference to Exhibit 2.1 to the Company's Current Report on Form 8-K filed on July 6, 2017).
2.2 | Rule 2.7 Announcement, dated August 24, 2017 (incorporated by reference to Exhibit 2.1 to the Company's Current Report on Form 8-K filed on August 25, 2017).
3.1 | Certificate of Incorporation and Memorandum of Association (incorporated by reference to Exhibit 3.1 to the Company’s Registration Statement on Form S-1(Amendment No. 1) (No. 333-103620) filed on April 16, 2003).
3.2 | Amended and Restated Bye-Laws (incorporated by reference to Exhibit 4.2 to the Company’s Registration Statement on Form S-8 filed on May 15, 2009).
4.1 | Specimen Common Share Certificate (incorporated by reference to Exhibit 4.1 to the Company’s Registration Statement on Form S-1 (Amendment No. 3) (No. 333-103620) filed on June 10, 2003).
4.2 | Certificate of Designations establishing the specific rights, preferences, limitations and other terms of the Series D Preferred Shares (incorporated by reference to Exhibit 3.1 to the Company's Current Report on Form 8-K filed on May 20, 2013).
4.3 | Certificate of Designations establishing the specific rights, preferences, limitations and other terms of the Series E Preferred Shares (incorporated by reference to Exhibit 3.1 to the Company's Current Report on Form 8-K filed on November 7, 2016).
10.1 | Executive Annual Incentive Plan (incorporated by reference to Exhibit 10.29 to the Company's Annual Report on Form 10-K filed on February 27, 2020).
10.2 | Form of Employee Restricted Stock Unit Award Agreement (performance vesting) (incorporated by reference to Exhibit 10.39 to the Company's Annual Report on Form 10-K filed on February 27, 2020).
10.3 | Deed of Amendment dated March 28, 2020 to Committed Facility Letter dated March 27, 2017, as amended, by and among AXIS Specialty Limited, AXIS Re SE, AXIS Specialty Europe SE, AXIS Insurance Company, AXIS Reinsurance Company, AXIS Surplus Insurance Company and Citibank Europe plc (incorporated by reference to Exhibit 10.1 to the Company's Current Report on Form 8-K filed on April 1, 2020).
†31.1 | Certification of Chief Executive Officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.
†31.2 | Certification of Chief Financial Officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.
†32.1 | Certification of Chief Executive Officer pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.
†32.2 | Certification of Chief Financial Officer pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.
†101 |  | The following financial information from AXIS Capital Holdings Limited’s Quarterly Report on Form 10-Q for the quarter ended March 31, 2020 formatted in Inline XBRL: (i) Consolidated Balance Sheets at March 31, 2020 and December 31, 2019; (ii) Consolidated Statements of Operations for the three months ended March 31, 2020 and 2019; (iii) Consolidated Statements of Comprehensive Income for the three months ended March 31, 2020 and 2019; (iv) Consolidated Statements of Changes in Shareholders' Equity for the three months ended March 31, 2020 and 2019; (v) Consolidated Statements of Cash Flows for the three months ended March 31, 2020 and 2019; and (vi) Notes to Consolidated Financial Statements, tagged as blocks of text and in detail.
†104 |  | Cover Page Interactive Data File (formatted as Inline XBRL and contained in Exhibit 101).

* Exhibits 10.1 and 10.2 represent a management contract, compensatory plan or arrangement in which directors and/or executive officers are eligible to participate.
† Filed herewith.
The agreements and other documents filed as exhibits to this report are not intended to provide factual information or other disclosure other than with respect to the terms of the agreements or other documents themselves, and you should not rely on them for that purpose. In particular, any representations and warranties made by us in these agreements or other documents were made solely within the specific context of the relevant agreement or document and may not describe the actual state of affairs as of the date they were made or at any other time.
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SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Dated: May 11, 2020

AXIS CAPITAL HOLDINGS LIMITED |
By: | /S/ ALBERT BENCHIMOL
| Albert Benchimol
| President and Chief Executive Officer
| (Principal Executive Officer)
| /S/ PETER VOGT
| Peter Vogt
| Chief Financial Officer
| (Principal Financial Officer)

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