July 29, 2020 - 10-Q: Quarterly report pursuant to Section 13 or 15(d)

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 June 30, 2020

☐ TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF

THE SECURITIES EXCHANGE ACT OF 1934

For the transition period from to

Commission File Number: 001-14428

RENAISSANCERE HOLDINGS LTD.

(Exact Name Of Registrant As Specified In Its Charter)


Bermuda			98-0141974
(State or Other Jurisdiction of Incorporation or Organization)			(I.R.S. Employer Identification Number)

Renaissance House, 12 Crow Lane, Pembroke, Bermuda HM 19

(Address of Principal Executive Offices) (Zip Code)

(441) 295-4513

(Registrant’s telephone number, including area code)

Not Applicable

(Former name, former address and former fiscal year, if changed since last report)

Securities registered pursuant to Section 12(b) of the Act:


Title of each class	Trading symbol(s)	Name of each exchange on which registered
Common Shares, Par Value $1.00 per share	RNR	New York Stock Exchange
Series E 5.375% Preference Shares, Par Value $1.00 per share	RNR PRE	New York Stock Exchange
Depositary Shares, each representing a 1/1,000th interest in a Series F 5.750% Preference Share, Par Value $1.00 per share	RNR PRF	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 for 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 (§232.405 of this chapter) 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 ☒

The number of Common Shares, par value US $1.00 per share, outstanding at July 24, 2020 was 51,216,780.

RENAISSANCERE HOLDINGS LTD.

TABLE OF CONTENTS


		Page
	NOTE ON FORWARD-LOOKING STATEMENTS	3

PART I
ITEM 1.	FINANCIAL STATEMENTS	6






ITEM 2.	MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS	65
ITEM 3.	QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK	103
ITEM 4.	CONTROLS AND PROCEDURES	103

PART II
ITEM 1.	LEGAL PROCEEDINGS	104
ITEM 1A.	RISK FACTORS	104
ITEM 2.	UNREGISTERED SALES OF EQUITY SECURITIES AND USE OF PROCEEDS	104
ITEM 3.	DEFAULTS UPON SENIOR SECURITIES	104
ITEM 4.	MINE SAFETY DISCLOSURES	104
ITEM 5.	OTHER INFORMATION	104
ITEM 6.	EXHIBITS	105

SIGNATURES - RENAISSANCERE HOLDINGS LTD.			106

NOTE ON FORWARD-LOOKING STATEMENTS

This Quarterly Report on Form 10-Q (this “Form 10-Q”) of RenaissanceRe Holdings Ltd. (the “Company” or “RenaissanceRe”) contains forward-looking statements within the meaning of Section 27A of the Securities Act of 1933, as amended (the “Securities Act”), and Section 21E of the Securities Exchange Act of 1934, as amended (the “Exchange Act”). Forward-looking statements are necessarily based on estimates and assumptions that are inherently subject to significant business, economic and competitive uncertainties and contingencies, many of which, with respect to future business decisions, are subject to change. These uncertainties and contingencies can affect actual results and could cause actual results to differ materially from those expressed in any forward-looking statements made by, or on behalf of, us. In particular, statements using words such as “may,” “should,” “estimate,” “expect,” “anticipate,” “intend,” “believe,” “predict,” “potential,” or words of similar import generally involve forward-looking statements. For example, we may include certain forward-looking statements in “Management’s Discussion and Analysis of Financial Condition and Results of Operations” with regard to trends in results, prices, volumes, operations, investment results, margins, combined ratios, fees, reserves, market conditions, risk management and exchange rates. This Form 10-Q also contains forward-looking statements with respect to our business and industry, such as those relating to our strategy and management objectives, market standing and product volumes, competition and new entrants in our industry, industry capital, insured losses from loss events, government initiatives and regulatory matters affecting the reinsurance and insurance industries.

The inclusion of forward-looking statements in this report should not be considered as a representation by us or any other person that our current objectives or plans will be achieved. Numerous factors could cause our actual results to differ materially from those addressed by the forward-looking statements, including the following:

•the uncertainty of the continuing impact of the COVID-19 pandemic and measures taken in response thereto;

•the effect of legislative, regulatory, judicial or social influences related to the COVID-19 pandemic on our financial performance, including the emergence of unexpected or un-modeled insurance or reinsurance losses and our ability to conduct our business;

•the impact and potential future impacts of the COVID-19 pandemic on the value of our investments and our access to capital in the future or the pricing or terms of available financing;

•the effect that measures taken to mitigate the COVID-19 pandemic have on our operations and those of our counterparties;

•the frequency and severity of catastrophic and other events we cover;

•the effectiveness of our claims and claim expense reserving process;

•the effect of climate change on our business, including the trend towards increasingly frequent and severe climate events;

•our ability to maintain our financial strength ratings;

•the effect of emerging claims and coverage issues;

•collection on claimed retrocessional coverage, and new retrocessional reinsurance being available on acceptable terms and providing the coverage that we intended to obtain;

•our reliance on a small and decreasing number of reinsurance brokers and other distribution services for the preponderance of our revenue;

•our exposure to credit loss from counterparties in the normal course of business;

•the effect of continued challenging economic conditions throughout the world;

•the performance of our investment portfolio;

•a contention by the United States (the “U.S.”) Internal Revenue Service that Renaissance Reinsurance Ltd. (“Renaissance Reinsurance”), or any of our other Bermuda subsidiaries, is subject to taxation in the U.S.;

•the effects of U.S. tax reform legislation and possible future tax reform legislation and regulations, including changes to the tax treatment of our shareholders or investors in our joint ventures or other entities we manage;

•the effect of cybersecurity risks, including technology breaches or failure, on our business;

•the success of any of our strategic investments or acquisitions, including our ability to manage our operations as our product and geographical diversity increases;

•our ability to retain our key senior officers and to attract or retain the executives and employees necessary to manage our business;

•our ability to effectively manage capital on behalf of investors in joint ventures or other entities we manage;

•foreign currency exchange rate fluctuations;

•soft reinsurance underwriting market conditions;

•changes in the method for determining the London Inter-bank Offered Rate (“LIBOR”) and the potential replacement of LIBOR;

•losses we could face from terrorism, political unrest or war;

•our ability to successfully implement our business strategies and initiatives;

•our ability to determine any impairments taken on our investments;

•the effects of inflation;

•the ability of our ceding companies and delegated authority counterparties to accurately assess the risks they underwrite;

•the effect of operational risks, including system or human failures;

•our ability to raise capital if necessary;

•our ability to comply with covenants in our debt agreements;

•changes to the regulatory systems under which we operate, including as a result of increased global regulation of the insurance and reinsurance industries;

•changes in Bermuda laws and regulations and the political environment in Bermuda;

•our dependence on the ability of our operating subsidiaries to declare and pay dividends;

•aspects of our corporate structure that may discourage third-party takeovers and other transactions;

•difficulties investors may have in servicing process or enforcing judgments against us in the U.S.;

•the cyclical nature of the reinsurance and insurance industries;

•adverse legislative developments that reduce the size of the private markets we serve or impede their future growth;

•consolidation of competitors, customers and insurance and reinsurance brokers;

•the effect on our business of the highly competitive nature of our industry, including the effect of new entrants to, competing products for and consolidation in the (re)insurance industry;

•other political, regulatory or industry initiatives adversely impacting us;

•our ability to comply with applicable sanctions and foreign corrupt practices laws;

•increasing barriers to free trade and the free flow of capital;

•international restrictions on the writing of reinsurance by foreign companies and government intervention in the natural catastrophe market;

•the effect of Organisation for Economic Co-operation and Development or European Union (“EU”) measures to increase our taxes and reporting requirements;

•changes in regulatory regimes and accounting rules that may impact financial results irrespective of business operations;

•our need to make many estimates and judgments in the preparation of our financial statements; and

•the effect of the exit by the United Kingdom (the “U.K.”) from the EU.

As a consequence, our future financial condition and results may differ from those expressed in any forward-looking statements made by or on behalf of us. The factors listed above, which are discussed in more detail in our filings with the U.S. Securities and Exchange Commission (“SEC”), including our Annual Report on Form 10-K (“Form 10-K”) for the year ended December 31, 2019, Part II, Item 1A of this Quarterly Report on Form 10-Q and our prospectus supplement dated June 4, 2020, should not be construed as exhaustive. The effects of the events and circumstances described in the risk factors contained in this Form 10-Q may have the effect of heightening many of the risks contained in our Form 10-K. Forward-looking statements speak only as of the date they are made, and we undertake no obligation to revise or update forward-looking statements to reflect new information, events or circumstances after the date hereof or to reflect the occurrence of unanticipated events.

PART I FINANCIAL INFORMATION

ITEM 1. FINANCIAL STATEMENTS

INDEX TO CONSOLIDATED FINANCIAL STATEMENTS


			Page
Consolidated Balance Sheets at June 30 , 2020 (unaudited) and December 31, 2019			7
Consolidated Statements of Operations for the three and six months ended June 30 , 2020 and 2019			8
Consolidated Statements of Comprehensive Income for the three and six months ended June 30 , 2020 and 2019			9
Consolidated Statements of Changes in Shareholders’ Equity for the three and six months ended June 30 , 2020 and 2019			10
Consolidated Statements of Cash Flows for the six months ended June 30 , 2020 and 2019			11
Notes to the Consolidated Financial Statements			12
Note 1. Organization			12
Note 2. Significant Accounting Policies			14
Note 3. Investments			17
Note 4. Fair Value Measurements			19
Note 5. Reinsurance			29
Note 6. Reserve for Claims and Claim Expenses			30
Note 7. Debt and Credit Facilities			34
Note 8. Noncontrolling Interests			35
Note 9. Variable Interest Entities			38
Note 10. Shareholders’ Equity			41
Note 11. Earnings per Share			43
Note 12. Segment Reporting			44
Note 13. Derivative Instruments			48
Note 14. Commitments and Contingencies and Other Items			54
Note 15. Assets and Liabilities Held for Sale			55
Note 16. Condensed Consolidated Financial Information Provided in Connection with Outstanding Debt of Subsidiaries			56
Note 17. Subsequent Event			64

RenaissanceRe Holdings Ltd. and Subsidiaries

Consolidated Balance Sheets

(in thousands of United States Dollars, except share and per share amounts)


	June 30, 2020		December 31, 2019
Assets	(Unaudited)		(Audited)
Fixed maturity investments trading, at fair value – amortized cost $12,188,507 at June 30, 2020 (December 31, 2019 – $11,067,414)	$	12,495,135	$	11,171,655

Short term investments, at fair value	5,570,804		4,566,277
Equity investments trading, at fair value	470,087		436,931
Other investments, at fair value	1,093,338		1,087,377
Investments in other ventures, under equity method	94,285		106,549
Total investments	19,723,649		17,368,789
Cash and cash equivalents	1,185,844		1,379,068
Premiums receivable	3,519,965		2,599,896
Prepaid reinsurance premiums	1,266,203		767,781
Reinsurance recoverable	2,774,358		2,791,297
Accrued investment income	70,004		72,461
Deferred acquisition costs and value of business acquired	734,286		663,991
Receivable for investments sold	648,458		78,369
Other assets	298,396		346,216
Goodwill and other intangible assets	258,591		262,226

Total assets	$	30,479,754	$	26,330,094
Liabilities, Noncontrolling Interests and Shareholders’ Equity
Liabilities
Reserve for claims and claim expenses	$	9,365,469	$	9,384,349
Unearned premiums	3,549,641		2,530,975
Debt	1,135,216		1,384,105
Reinsurance balances payable	4,094,027		2,830,691
Payable for investments purchased	1,259,116		225,275
Other liabilities	342,014		932,024

Total liabilities	19,745,483		17,287,419
Commitments and Contingencies
Redeemable noncontrolling interests	3,387,099		3,071,308
Shareholders’ Equity
Preference shares: $1.00 par value – 11,010,000 shares issued and outstanding at June 30, 2020 (December 31, 2019 – 16,010,000)	525,000		650,000
Common shares: $1.00 par value – 50,811,098 shares issued and outstanding at June 30, 2020 (December 31, 2019 – 44,148,116)	50,811		44,148
Additional paid-in capital	1,602,738		568,277
Accumulated other comprehensive loss	(3,066)		(1,939)
Retained earnings	5,171,689		4,710,881
Total shareholders’ equity attributable to RenaissanceRe	7,347,172		5,971,367


Total liabilities, noncontrolling interests and shareholders’ equity	$	30,479,754	$	26,330,094

See accompanying notes to the consolidated financial statements

RenaissanceRe Holdings Ltd. and Subsidiaries

Consolidated Statements of Operations

For the three and six months ended June 30, 2020 and 2019

(in thousands of United States Dollars, except per share amounts) (Unaudited)


	Three months ended						Six months ended
	June 30, 2020		June 30, 2019		June 30, 2020		June 30, 2019
Revenues
Gross premiums written	$	1,701,872	$	1,476,908	$	3,727,593	$	3,041,203
Net premiums written	$	1,180,803	$	1,022,965	$	2,450,611	$	1,951,996
Increase in unearned premiums	(170,707)		(111,463)		(527,417)		(490,466)
Net premiums earned	1,010,096		911,502		1,923,194		1,461,530
Net investment income	89,305		118,588		188,778		200,682
Net foreign exchange (losses) gains	(7,195)		9,309		(12,923)		6,463
Equity in earnings of other ventures	9,041		6,812		13,605		11,473
Other (loss) income	(1,201)		922		(5,637)		4,093
Net realized and unrealized gains on investments	448,390		191,247		337,683		361,260



Total revenues	1,548,436		1,238,380		2,444,700		2,045,501
Expenses
Net claims and claim expenses incurred	510,272		453,373		1,081,226		680,408
Acquisition expenses	233,610		227,482		444,214		351,433
Operational expenses	49,077		59,814		116,538		104,747
Corporate expenses	11,898		23,847		27,889		62,636
Interest expense	11,842		15,534		26,769		27,288
Total expenses	816,699		780,050		1,696,636		1,226,512
Income before taxes	731,737		458,330		748,064		818,989
Income tax expense	(29,875)		(9,475)		(21,029)		(17,006)


Net income	701,862		448,855		727,035		801,983
Net income attributable to redeemable noncontrolling interests	(118,728)		(71,812)		(216,819)		(142,034)
Net income attributable to RenaissanceRe	583,134		377,043		510,216		659,949
Dividends on preference shares	(7,289)		(9,189)		(16,345)		(18,378)
Net income available to RenaissanceRe common shareholders	$	575,845	$	367,854	$	493,871	$	641,571


Net income available to RenaissanceRe common shareholders per common share – basic	$	12.64	$	8.36	$	11.04	$	14.82


Net income available to RenaissanceRe common shareholders per common share – diluted	$	12.63	$	8.35	$	11.02	$	14.81
Dividends per common share	$	0.35	$	0.34	$	0.70	$	0.68

See accompanying notes to the consolidated financial statements

RenaissanceRe Holdings Ltd. and Subsidiaries

Consolidated Statements of Comprehensive Income

For the three and six months ended June 30, 2020 and 2019

(in thousands of United States Dollars) (Unaudited)


	Three months ended						Six months ended
	June 30, 2020		June 30, 2019		June 30, 2020		June 30, 2019
Comprehensive income
Net income	$	701,862	$	448,855	$	727,035	$	801,983
Change in net unrealized (losses) gains on investments, net of tax	(1,488)		1,309		(2,145)		1,272
Foreign currency translation adjustments, net of tax	86		(3,708)		1,018		(3,708)

Comprehensive income	700,460		446,456		725,908		799,547
Net income attributable to redeemable noncontrolling interests	(118,728)		(71,812)		(216,819)		(142,034)

Comprehensive income attributable to redeemable noncontrolling interests	(118,728)		(71,812)		(216,819)		(142,034)
Comprehensive income attributable to RenaissanceRe	$	581,732	$	374,644	$	509,089	$	657,513

See accompanying notes to the consolidated financial statements

RenaissanceRe Holdings Ltd. and Subsidiaries

Consolidated Statements of Changes in Shareholders’ Equity

For the three and six months ended June 30, 2020 and 2019

(in thousands of United States Dollars) (Unaudited)


	Three months ended						Six months ended
	June 30, 2020		June 30, 2019		June 30, 2020		June 30, 2019
Preference shares
Beginning balance	$	525,000	$	650,000	$	650,000	$	650,000

Repurchase of shares	—		—		(125,000)		—
Ending balance	525,000		650,000		525,000		650,000
Common shares
Beginning balance	44,034		44,159		44,148		42,207
Issuance of shares	6,777		—		6,777		1,739
Repurchase of shares	—		—		(406)		—
Exercise of options and issuance of restricted stock awards	—		3		292		216
Ending balance	50,811		44,162		50,811		44,162
Additional paid-in capital
Beginning balance	502,608		543,889		568,277		296,099
Issuance of shares	1,088,772		—		1,088,772		248,259
Repurchase of shares	—		—		(62,215)		—

Change in redeemable noncontrolling interests	(4)		(213)		(353)		(216)
Exercise of options and issuance of restricted stock awards	11,362		8,534		8,257		8,068
Ending balance	1,602,738		552,210		1,602,738		552,210
Accumulated other comprehensive loss
Beginning balance	(1,664)		(1,470)		(1,939)		(1,433)
Change in net unrealized losses on investments, net of tax	(1,488)		1,309		(2,145)		1,272
Foreign currency translation adjustments, net of tax	86		(3,708)		1,018		(3,708)

Ending balance	(3,066)		(3,869)		(3,066)		(3,869)
Retained earnings
Beginning balance	4,613,548		4,317,455		4,710,881		4,058,207

Net income	701,862		448,855		727,035		801,983
Net income attributable to redeemable noncontrolling interests	(118,728)		(71,812)		(216,819)		(142,034)

Dividends on common shares	(17,704)		(14,970)		(33,063)		(29,439)
Dividends on preference shares	(7,289)		(9,189)		(16,345)		(18,378)
Ending balance	5,171,689		4,670,339		5,171,689		4,670,339

Total shareholders’ equity	$	7,347,172	$	5,912,842	$	7,347,172	$	5,912,842

See accompanying notes to the consolidated financial statements

RenaissanceRe Holdings Ltd. and Subsidiaries

Consolidated Statements of Cash Flows

For the six months ended June 30, 2020 and 2019

(in thousands of United States Dollars) (Unaudited)


	Six months ended
	June 30, 2020		June 30, 2019
Cash flows provided by operating activities
Net income	$	727,035	$	801,983
Adjustments to reconcile net income to net cash provided by operating activities
Amortization, accretion and depreciation	(8,526)		(16,529)
Equity in undistributed earnings of other ventures	1,388		5,380
Net realized and unrealized gains on investments	(337,683)		(361,260)



Change in:
Premiums receivable	(920,069)		(965,765)
Prepaid reinsurance premiums	(498,422)		(402,551)
Reinsurance recoverable	16,939		55,812
Deferred acquisition costs	(70,295)		1,911
Reserve for claims and claim expenses	(18,880)		1,061
Unearned premiums	1,018,666		882,888
Reinsurance balances payable	1,263,336		1,107,889
Other	(316,524)		(326,850)
Net cash provided by operating activities	856,965		783,969
Cash flows used in investing activities
Proceeds from sales and maturities of fixed maturity investments trading	8,340,351		9,405,348
Purchases of fixed maturity investments trading	(8,949,454)		(9,230,000)


Net (purchases) sales of equity investments trading	(45,008)		125,597
Net purchases of short term investments	(990,604)		(1,972,717)
Net purchases of other investments	(90,010)		(133,889)
Net purchases of investments in other ventures	(1,994)		(2,249)
Return of investment from investment in other ventures	9,157		11,250
Net purchase of other assets	—		(4,108)

Net purchase of TMR	—		(276,206)

Net cash used in investing activities	(1,727,562)		(2,076,974)
Cash flows provided by financing activities
Dividends paid – RenaissanceRe common shares	(33,063)		(29,439)
Dividends paid – preference shares	(16,345)		(18,378)
RenaissanceRe common share issuance, net of expenses	1,095,549		—
RenaissanceRe common share repurchases	(62,621)		—
Issuance of debt, net of expenses	—		396,411
Repayment of debt	(250,000)		—

Redemption of 6.08% Series C preference shares	(125,000)		—


Net third-party redeemable noncontrolling interest share transactions	79,283		514,732
Taxes paid on withholding shares	(10,243)		(7,083)

Net cash provided by financing activities	677,560		856,243
Effect of exchange rate changes on foreign currency cash	(187)		(534)
Net decrease in cash and cash equivalents	(193,224)		(437,296)

Cash and cash equivalents, beginning of period	1,379,068		1,107,922
Cash and cash equivalents, end of period	$	1,185,844	$	670,626

See accompanying notes to the consolidated financial statements

RENAISSANCERE HOLDINGS LTD. AND SUBSIDIARIES

NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS

June 30, 2020

(unless otherwise noted, amounts in tables expressed in thousands of United States (“U.S.”) dollars,

except shares, per share amounts and percentages) (Unaudited)

NOTE 1. ORGANIZATION

This report on Form 10-Q should be read in conjunction with RenaissanceRe’s Annual Report on Form 10-K (“Form 10-K”) for the fiscal year ended December 31, 2019. RenaissanceRe was formed under the laws of Bermuda on June 7, 1993. Together with its wholly owned and majority-owned subsidiaries and joint ventures, the Company provides property, casualty and specialty reinsurance and certain insurance solutions to its customers.

•On March 22, 2019, the Company’s wholly owned subsidiary, RenaissanceRe Specialty Holdings (UK) Limited (“RenaissanceRe Specialty Holdings”), completed its previously announced purchase of all of the share capital of RenaissanceRe Europe AG (formerly known as Tokio Millennium Re AG) (“RenaissanceRe Europe”), RenaissanceRe (UK) Limited (formerly known as Tokio Millennium Re (UK) Limited) (“RenaissanceRe UK”), and their respective subsidiaries (collectively, “TMR”) pursuant to a Stock Purchase Agreement by and among the Company, Tokio Marine & Nichido Fire Insurance Co. Ltd. (“Tokio”) and, with respect to certain sections only, Tokio Marine Holdings, Inc. entered into on October 30, 2018 (the “TMR Stock Purchase Agreement”). See “Note 3. Acquisition of Tokio Millennium Re” in the Company’s “Notes to the Consolidated Financial Statements” included in the Company’s Form 10-K for the year ended December 31, 2019 for additional information regarding the acquisition of TMR.

•Renaissance Reinsurance Ltd. (“Renaissance Reinsurance”), a Bermuda-domiciled reinsurance company, is the Company’s principal reinsurance subsidiary and provides property, casualty and specialty reinsurance coverages to insurers and reinsurers on a worldwide basis.

•Renaissance Reinsurance U.S. Inc. (“Renaissance Reinsurance U.S.”) is a reinsurance company domiciled in the state of Maryland that provides property, casualty and specialty reinsurance coverages to insurers and reinsurers, primarily in the Americas.

•RenaissanceRe Underwriting Managers U.S. LLC, a specialty reinsurance agency domiciled in the state of Connecticut, provides specialty treaty reinsurance solutions on both a quota share and excess of loss basis; and writes business on behalf of RenaissanceRe Specialty U.S. Ltd., a Bermuda-domiciled reinsurer, which operates subject to U.S. federal income tax, and RenaissanceRe Syndicate 1458 (“Syndicate 1458”).

•Syndicate 1458 is the Company’s Lloyd’s syndicate. RenaissanceRe Corporate Capital (UK) Limited, a wholly owned subsidiary of RenaissanceRe, is Syndicate 1458’s sole corporate member. RenaissanceRe Syndicate Management Ltd., a wholly owned subsidiary of RenaissanceRe, is the managing agent for Syndicate 1458.

•RenaissanceRe Europe, a Swiss-domiciled reinsurance company, which has branches in Australia, Bermuda, the U.K. and the U.S., provides property, casualty and specialty reinsurance coverages to insurers and reinsurers on a worldwide basis.

•RenaissanceRe UK, a U.K.-domiciled reinsurance company in run-off, provided property, casualty and specialty reinsurance coverages on a worldwide basis. RenaissanceRe UK was placed into run-off effective July 1, 2015, from which date all new and renewal business was written by the U.K. branch of RenaissanceRe Europe. On February 4, 2020, RenaissanceRe Specialty Holdings entered into an agreement to sell RenaissanceRe UK to an investment vehicle managed by AXA Liabilities Managers, an affiliate of AXA XL. The sale received regulatory approval on July 17, 2020 and is expected to close in the third quarter of 2020.

•The Company also manages property, casualty and specialty reinsurance business written on behalf of joint ventures, which include Top Layer Reinsurance Ltd., recorded under the equity method of accounting, and DaVinci Reinsurance Ltd. (“DaVinci”). Because the Company owns a noncontrolling equity interest in, but controls a majority of the outstanding voting power of, DaVinci’s parent,

DaVinciRe Holdings Ltd. (“DaVinciRe”), the results of DaVinci and DaVinciRe are consolidated in the Company’s consolidated financial statements and all significant intercompany transactions have been eliminated. Redeemable noncontrolling interest - DaVinciRe represents the interests of external parties with respect to the net income and shareholders’ equity of DaVinciRe. Renaissance Underwriting Managers, Ltd. (“RUM”), a wholly owned subsidiary of RenaissanceRe, acts as exclusive underwriting manager for these joint ventures in return for fee-based income and profit participation.

•RenaissanceRe Medici Fund Ltd. (“Medici”) is an exempted company, incorporated under the laws of Bermuda and registered as an institutional fund. Medici’s objective is to seek to invest substantially all of its assets in various insurance-based investment instruments that have returns primarily tied to property catastrophe risk. Third-party investors have subscribed for a portion of the participating, non-voting common shares of Medici. Because the Company owns a noncontrolling equity interest in, but controls a majority of the outstanding voting power of Medici, through its wholly-owned parent, RenaissanceRe Fund Holdings Ltd. (“Fund Holdings”), the results of Medici and Fund Holdings are consolidated in the Company’s consolidated financial statements and all significant inter-company transactions have been eliminated. Redeemable noncontrolling interest - Medici represents the interests of external parties with respect to the net income and shareholders’ equity of Medici.

•Upsilon RFO Re Ltd., formerly known as Upsilon Reinsurance II Ltd. (“Upsilon RFO”), a Bermuda domiciled special purpose insurer (“SPI”), is a managed joint venture formed by the Company principally to provide additional capacity to the worldwide aggregate and per-occurrence primary and retrocessional property catastrophe excess of loss market. Upsilon RFO is considered a variable interest entity (“VIE”) and the Company is considered the primary beneficiary. As a result, Upsilon RFO is consolidated by the Company and all significant inter-company transactions have been eliminated.

•RenaissanceRe Upsilon Fund Ltd. (“Upsilon Fund”), an exempted Bermuda segregated accounts company registered as a Class A Professional Fund, was formed by the Company to provide a fund structure through which third-party investors can invest in reinsurance risk managed by the Company. As a segregated accounts company, Upsilon Fund is permitted to establish segregated accounts to invest in and hold identified pools of assets and liabilities. Each pool of assets and liabilities in each segregated account is structured to be ring-fenced from any claims from the creditors of Upsilon Fund’s general account and from the creditors of other segregated accounts within Upsilon Fund. Third-party investors purchase redeemable, non-voting preference shares linked to specific segregated accounts of Upsilon Fund and own 100% of these shares. Upsilon Fund is an investment company and is considered a VIE. The Company is not considered the primary beneficiary of Upsilon Fund and, as a result, the Company does not consolidate the financial position and results of operations of Upsilon Fund.

•The Company formed Vermeer Reinsurance Ltd. (“Vermeer”), an exempted Bermuda reinsurer, with PGGM, a Dutch pension fund manager. Vermeer provides capacity focused on risk remote layers in the U.S. property catastrophe market. Vermeer is managed by RUM in return for a management fee. The Company maintains a majority voting control of Vermeer, while PGGM retains economic benefits. Vermeer is considered a VIE, as it has voting rights that are not proportional to its participating rights and the Company is the primary beneficiary. As a result, the Company consolidates Vermeer and all significant inter-company transactions have been eliminated. The Company does not currently expect its voting or economic interest in Vermeer to fluctuate.

•Fibonacci Reinsurance Ltd. ("Fibonacci Re"), a Bermuda-domiciled SPI, provides collateralized capacity to Renaissance Reinsurance and its affiliates. Fibonacci Re raises capital from third-party investors and the Company, via private placements of participating notes which are listed on the Bermuda Stock Exchange. Fibonacci Re is considered a VIE. The Company is not considered the primary beneficiary of Fibonacci Re and, as a result, the Company does not consolidate the financial position and results of operations of Fibonacci Re.

•The Company and Reinsurance Group of America, Incorporated closed an initiative (“Langhorne”) to source third-party capital to support reinsurers targeting large in-force life and annuity blocks. Langhorne Holdings LLC (“Langhorne Holdings”) is a company that owns and manages certain reinsurance entities within Langhorne. Langhorne Partners LLC (“Langhorne Partners”) is the

general partner for Langhorne and the entity which manages the third-parties investing in Langhorne Holdings. The Company concluded that Langhorne Holdings meets the definition of a VIE. The Company is not the primary beneficiary of Langhorne Holdings and as a result, the Company does not consolidate the financial position or results of operations of Langhorne Holdings. The Company concluded that Langhorne Partners is not a VIE. The Company will account for its investments in Langhorne Holdings and Langhorne Partners under the equity method of accounting, one quarter in arrears.

•Mona Lisa Re Ltd. (“Mona Lisa Re”), a Bermuda domiciled SPI, provides reinsurance capacity to subsidiaries of RenaissanceRe, namely Renaissance Reinsurance and DaVinci, through reinsurance agreements which are collateralized and funded by Mona Lisa Re through the issuance of one or more series of principal-at-risk variable rate notes. The Company concluded that Mona Lisa Re meets the definition of a VIE as it does not have sufficient equity capital to finance its activities. The Company evaluated its relationship with Mona Lisa Re and concluded it is not the primary beneficiary of Mona Lisa Re as it does not have power over the activities that most significantly impact the economic performance of Mona Lisa Re. As a result, the financial position and results of operations of Mona Lisa Re are not consolidated by the Company.

•In connection with the acquisition of TMR, the Company manages Shima Reinsurance Ltd. (“Shima Re”), Norwood Re Ltd. (“Norwood Re”) and Blizzard Re Ltd. (together, the “TMR managed third-party capital vehicles”), which provide third-party investors with access to reinsurance risk. Following the closing of the acquisition, the retrocessionaires providing reinsurance to TMR on certain TMR managed third-party capital vehicles’ legacy portfolios of in-force and expired contracts were replaced. The TMR managed third-party capital vehicles no longer write new business.

NOTE 2. SIGNIFICANT ACCOUNTING POLICIES

There have been no material changes to the Company’s significant accounting policies as described in its Form 10-K for the year ended December 31, 2019, except as described below.

BASIS OF PRESENTATION

These consolidated financial statements have been prepared on the basis of accounting principles generally accepted in the U.S. (“GAAP”) for interim financial information and in conformity with the instructions to Form 10-Q and Article 10 of Regulation S-X. Accordingly, they do not include all of the information and footnotes required by GAAP for complete consolidated financial statements. In the opinion of management, these unaudited consolidated financial statements reflect all adjustments (consisting of normal recurring accruals) considered necessary for a fair presentation of the Company’s financial position and results of operations as at the end of and for the periods presented. All significant intercompany accounts and transactions have been eliminated from these statements.

Certain comparative information has been reclassified to conform to the current presentation. Because of the seasonality of the Company’s business, the results of operations and cash flows for any interim period will not necessarily be indicative of the results of operations and cash flows for the full fiscal year or subsequent quarters.

USE OF ESTIMATES IN FINANCIAL STATEMENTS

The preparation of consolidated financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported and disclosed amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the consolidated financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ materially from those estimates. The major estimates reflected in the Company’s consolidated financial statements include, but are not limited to, the reserve for claims and claim expenses; reinsurance recoverables, including allowances for reinsurance recoverables deemed uncollectible; estimates of written and earned premiums; fair value, including the fair value of investments, financial instruments and derivatives; impairment charges; deferred acquisition costs and the value of business acquired and the Company’s deferred tax valuation allowance.

INVESTMENTS

Other Investments

The Company accounts for its other investments at fair value in accordance with FASB ASC Topic Financial Instruments with interest, dividend income, income distributions included in net investment income and realized and unrealized gains and losses included in net realized and unrealized gains (losses) on investments. The fair value of certain of the Company’s fund investments, which principally include private equity investments, senior secured bank loan funds and hedge funds, is recorded on its balance sheet in other investments, and is generally established on the basis of the net valuation criteria established by the managers of such investments, if applicable. The net valuation criteria established by the managers of such investments is established in accordance with the governing documents of such investments. Certain of the Company’s fund managers, fund administrators, or both, are unable to provide final fund valuations as of the Company’s current reporting date. The typical reporting lag experienced by the Company to receive a final net asset value report is one month for hedge funds and senior secured bank loan funds and three months for private equity investments, although, in the past, in respect of certain of the Company’s private equity investments, the Company has on occasion experienced delays of up to six months at year end, as the private equity investments typically complete their respective year-end audits before releasing their final net asset value statements.

In circumstances where there is a reporting lag between the current period end reporting date and the reporting date of the latest fund valuation, the Company estimates the fair value of these funds by starting with the most recently available prior month or quarter-end fund valuations, adjusting these valuations for actual capital calls, redemptions or distributions, as well as the impact of changes in foreign currency exchange rates, and then estimating the return for the current period. In circumstances in which the Company estimates the return for the current period, all information available to the Company is utilized. This principally includes preliminary estimates reported to the Company by its fund managers, obtaining the valuation of underlying portfolio investments where such underlying investments are publicly traded and therefore have a readily observable price, using information that is available to the Company with respect to the underlying investments, reviewing various indices for similar investments or asset classes, as well as estimating returns based on the results of similar types of investments for which the Company has obtained reported results, or other valuation methods, where possible. Actual final fund valuations may differ, perhaps materially so, from the Company’s estimates and these differences are recorded in the Company’s statement of operations in the period in which they are reported to the Company as a change in estimate.

The Company’s other investments also include investments in catastrophe bonds which are recorded at fair value and the fair value is based on broker or underwriter bid indications.

RECENTLY ADOPTED ACCOUNTING PRONOUNCEMENTS

Measurement of Credit Losses on Financial Instruments

In June 2016, the FASB issued ASU No. 2016-13, Measurement of Credit Losses on Financial Instruments (“ASU 2016-13”). ASU 2016-13 modifies the recognition of credit losses by replacing the incurred loss impairment methodology with a methodology that reflects expected credit losses and requires consideration of a broader range of reasonable and supportable information to inform credit loss estimates. ASU 2016-13 is applicable to financial assets such as loans, debt securities, trade receivables, off-balance sheet credit exposures, reinsurance receivables, and other financial assets that have the contractual right to receive cash. The measurement of expected credit losses is based on relevant information about past events, including historical experience, current conditions, and reasonable and supportable forecasts that affect the collectability of the reported amount. The Company's invested assets are measured at fair value through net income, and therefore those invested assets would not be impacted by the adoption of ASU 2016-13. The Company has other financial assets, such as reinsurance recoverables, that could be impacted by the adoption of ASU 2016-13. ASU 2016-13 is effective for public business entities that are SEC filers for annual and interim periods beginning after December 15, 2019, accordingly, the Company adopted ASU 2016-13 effective January 1, 2020. The adoption of ASU 2016-13 did not have a material impact on the Company’s consolidated statements of operations and financial position.

Disclosure Framework - Changes to the Disclosure Requirements for Fair Value Measurement

In August 2018, the FASB issued ASU No. 2018-13, Disclosure Framework - Changes to the Disclosure Requirements for Fair Value Measurement (“ASU 2018-13”). The ASU 2018-13 modifies the disclosure requirements of fair value measurements as part of the disclosure framework project with the objective to improve the effectiveness of disclosures in the notes to the financial statements. ASU 2018-13 allows for removal of the amount and reasons for transfer between Level 1 and Level 2 of the fair value hierarchy; the policy for transfers between levels; and the valuation processes for Level 3 fair value measurements. ASU 2018-13 is effective for all entities for fiscal years beginning after December 15, 2019 and interim periods within those fiscal years, accordingly, the Company adopted ASU 2018-13 effective January 1, 2020. Since ASU 2018-13 is disclosure-related only, it did not have a material impact on the Company’s consolidated statements of operations and financial position.

Simplifying the Test for Goodwill Impairment

In January 2017, the FASB issued ASU No. 2017-04, Simplifying the Test for Goodwill Impairment (“ASU 2017-04”). Among other things, ASU 2017-04 requires the following: (1) the elimination of step two of the goodwill impairment test; entities will no longer utilize the implied fair value of their assets and liabilities for purposes of testing goodwill for impairment, (2) the quantitative portion of the goodwill impairment test will be performed by comparing the fair value of a reporting unit with its carrying amount; an impairment charge is to be recognized for the excess of carrying amount over fair value, but only to the extent of the amount of goodwill allocated to that reporting unit, and (3) foreign currency translation adjustments are not to be allocated to a reporting unit from an entity’s accumulated other comprehensive income (loss); the reporting unit’s carrying amount should include only the currently translated balances of the assets and liabilities assigned to the reporting unit. ASU 2017-04 is effective for public business entities that are SEC filers for annual periods, or any interim goodwill impairment tests in annual periods, beginning after December 15, 2019, accordingly, the Company adopted ASU 2017-04 effective January 1, 2020. The adoption of ASU 2017-04 did not have a material impact on the Company’s consolidated statements of operations and financial position.

RECENTLY ISSUED ACCOUNTING PRONOUNCEMENTS NOT YET ADOPTED

Simplifying the Accounting for Income Taxes

In December 2019, the FASB issued ASU No. 2019-12, Simplifying the Accounting for Income Taxes (”ASU 2019-12”). Among other things, ASU 2019-12 eliminates certain exceptions for recognizing deferred taxes for investments, performing intraperiod tax allocation and calculating income taxes in interim periods. ASU 2019-12 also clarifies the accounting for transactions that result in a step-up in the tax basis of goodwill. ASU 2019-12 is effective for public business entities for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2020. Early adoption is permitted. The Company is currently evaluating the impact of this guidance; however, it is not expected to have a material impact on the Company’s consolidated statements of operations and financial position.

NOTE 3. INVESTMENTS

Fixed Maturity Investments Trading

The following table summarizes the fair value of fixed maturity investments trading:



	June 30, 2020		December 31, 2019
U.S. treasuries	$	4,258,675	$	4,467,345
Agencies	505,038		343,031

Non-U.S. government	584,206		497,392

Non-U.S. government-backed corporate	314,833		321,356
Corporate	4,428,553		3,075,660
Agency mortgage-backed	985,851		1,148,499
Non-agency mortgage-backed	276,300		294,604
Commercial mortgage-backed	591,238		468,698
Asset-backed	550,441		555,070
Total fixed maturity investments trading	$	12,495,135	$	11,171,655

Contractual maturities of fixed maturity investments trading are described in the following table. Expected maturities will differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment penalties.




June 30, 2020	Amortized Cost		Fair Value
Due in less than one year	$	632,668	$	638,686
Due after one through five years	5,388,088		5,513,103
Due after five through ten years	3,185,015		3,312,749
Due after ten years	602,473		626,768
Mortgage-backed	1,820,084		1,853,388
Asset-backed	560,179		550,441
Total	$	12,188,507	$	12,495,135

Equity Investments Trading

The following table summarizes the fair value of equity investments trading:



	June 30, 2020		December 31, 2019
Financials	$	228,710	$	248,189
Communications and technology	114,650		79,206
Consumer	44,057		35,987
Industrial, utilities and energy	38,625		38,583
Healthcare	37,449		29,510
Basic materials	6,596		5,456
Total	$	470,087	$	436,931

Pledged Investments

At June 30, 2020, $7.7 billion of cash and investments at fair value were on deposit with, or in trust accounts for the benefit of, various counterparties, including with respect to the Company’s letter of credit facilities (December 31, 2019 - $7.0 billion). Of this amount, $1.8 billion is on deposit with, or in trust accounts for the benefit of, U.S. state regulatory authorities (December 31, 2019 - $2.0 billion).

Reverse Repurchase Agreements

At June 30, 2020, the Company held $132.7 million (December 31, 2019 - $57.6 million) 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 short term investments on the Company’s consolidated balance sheets. The required collateral for these loans typically includes high-quality, readily marketable instruments at a minimum amount of 102% of the loan principal. Upon maturity, the Company receives principal and interest income.

Net Investment Income

The components of net investment income are as follows:



	Three months ended						Six months ended
	June 30, 2020		June 30, 2019		June 30, 2020		June 30, 2019
Fixed maturity investments	$	69,943	$	88,106	$	143,281	$	149,589
Short term investments	6,049		17,807		18,141		29,651
Equity investments	1,666		916		3,217		1,943
Other investments
Catastrophe bonds	13,519		11,781		27,658		20,472
Other	1,107		1,914		2,736		3,554
Cash and cash equivalents	837		2,306		2,341		3,823
	93,121		122,830		197,374		209,032
Investment expenses	(3,816)		(4,242)		(8,596)		(8,350)
Net investment income	$	89,305	$	118,588	$	188,778	$	200,682

Net Realized and Unrealized Gains on Investments

Net realized and unrealized gains on investments are as follows:



	Three months ended						Six months ended
	June 30, 2020		June 30, 2019		June 30, 2020		June 30, 2019


Net realized gains on fixed maturity investments trading	$	105,849	$	21,295	$	163,336	$	22,725
Net unrealized gains on fixed maturity investments trading	197,678		121,991		177,333		225,913
Net realized and unrealized gains on fixed maturity investments trading	303,527		143,286		340,669		248,638
Net realized and unrealized gains on investments-related derivatives	24,372		37,173		57,553		50,969
Net realized gains (losses) on equity investments trading	422		31,899		(14,625)		30,738
Net unrealized gains (losses) on equity investments trading	107,896		(18,355)		1,959		34,303
Net realized and unrealized gains (losses) on equity investments trading	108,318		13,544		(12,666)		65,041
Net realized and unrealized gains (losses) on other investments - catastrophe bonds	4,452		(11,902)		(9,900)		(14,112)
Net realized and unrealized gains (losses) on other investments - other	7,721		9,146		(37,973)		10,724
Net realized and unrealized gains on investments	$	448,390	$	191,247	$	337,683	$	361,260

NOTE 4. FAIR VALUE MEASUREMENTS

The use of fair value to measure certain assets and liabilities with resulting unrealized gains or losses is pervasive within the Company’s consolidated financial statements. Fair value is defined under accounting guidance currently applicable to the Company to be the price that would be received upon the sale of an asset or paid to transfer a liability in an orderly transaction between open market participants at the measurement date. The Company recognizes the change in unrealized gains and losses arising from changes in fair value in its consolidated statements of operations.

FASB ASC Topic Fair Value Measurements and Disclosures prescribes a fair value hierarchy that prioritizes the inputs to the respective valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to valuation techniques that use at least one significant input that is unobservable (Level 3). The three levels of the fair value hierarchy are described below:

•Fair values determined by Level 1 inputs utilize unadjusted quoted prices obtained from active markets for identical assets or liabilities for which the Company has access. The fair value is determined by multiplying the quoted price by the quantity held by the Company;

•Fair values determined by Level 2 inputs utilize inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. Level 2 inputs include quoted prices for similar assets and liabilities in active markets, and inputs other than quoted prices that are observable for the asset or liability, such as interest rates and yield curves that are observable at commonly quoted intervals, broker quotes and certain pricing indices; and

•Level 3 inputs are based all or in part on significant unobservable inputs for the asset or liability, and include situations where there is little, if any, market activity for the asset or liability. In these cases, significant management assumptions can be used to establish management’s best estimate of the assumptions used by other market participants in determining the fair value of the asset or liability.

In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, the level in the fair value hierarchy within which the fair value measurement in its entirety falls has been determined based on the lowest level input that is significant to the fair value measurement of the asset or liability. The Company’s assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment, and the Company considers factors specific to the asset or liability.

In order to determine if a market is active or inactive for a security, the Company considers a number of factors, including, but not limited to, the spread between what a seller is asking for a security and what a buyer is bidding for the same security, the volume of trading activity for the security in question, the price of the security compared to its par value (for fixed maturity investments), and other factors that may be indicative of market activity.

There have been no material changes in the Company’s valuation techniques, nor have there been any transfers between Level 1 and Level 2, or Level 2 and Level 3 during the period represented by these consolidated financial statements.

Below is a summary of the assets and liabilities that are measured at fair value on a recurring basis and also represents the carrying amount on the Company’s consolidated balance sheets:



At June 30, 2020	Total		Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
Fixed maturity investments
U.S. treasuries	$	4,258,675	$	4,258,675	$	—	$	—
Agencies	505,038		—		505,038		—

Non-U.S. government	584,206		—		584,206		—

Non-U.S. government-backed corporate	314,833		—		314,833		—
Corporate	4,428,553		—		4,428,553		—
Agency mortgage-backed	985,851		—		985,851		—
Non-agency mortgage-backed	276,300		—		276,300		—
Commercial mortgage-backed	591,238		—		591,238		—
Asset-backed	550,441		—		550,441		—
Total fixed maturity investments	12,495,135		4,258,675		8,236,460		—
Short term investments	5,570,804		—		5,570,804		—
Equity investments trading	470,087		470,087		—		—
Other investments
Catastrophe bonds	807,162		—		807,162		—
Private equity investments (1)	254,257		—		—		71,450
Senior secured bank loan funds (1)	22,261		—		—		—

Hedge funds (1)	9,658		—		—		—

Total other investments	1,093,338		—		807,162		71,450
Other assets and (liabilities)
Assumed and ceded (re)insurance contracts (2)	(6,711)		—		—		(6,711)
Derivatives (3)	4,075		(310)		4,385		—

Total other assets and (liabilities)	(2,636)		(310)		4,385		(6,711)
	$	19,626,728	$	4,728,452	$	14,618,811	$	64,739

(1) Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been classified in the fair value hierarchy. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the consolidated balance sheet.

(2) Included in assumed and ceded (re)insurance contracts at June 30, 2020 was $14.0 million of other assets and $20.7 million of other liabilities.

(3) See “Note 13. Derivative Instruments” for additional information related to the fair value, by type of contract, of derivatives entered into by the Company.



At December 31, 2019	Total		Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
Fixed maturity investments
U.S. treasuries	$	4,467,345	$	4,467,345	$	—	$	—
Agencies	343,031		—		343,031		—

Non-U.S. government	497,392		—		497,392		—

Non-U.S. government-backed corporate	321,356		—		321,356		—
Corporate	3,075,660		—		3,075,660		—
Agency mortgage-backed	1,148,499		—		1,148,499		—
Non-agency mortgage-backed	294,604		—		294,604		—
Commercial mortgage-backed	468,698		—		468,698		—
Asset-backed	555,070		—		555,070		—
Total fixed maturity investments	11,171,655		4,467,345		6,704,310		—
Short term investments	4,566,277		—		4,566,277		—
Equity investments trading	436,931		436,931		—		—
Other investments
Catastrophe bonds	781,641		—		781,641		—
Private equity investments (1)	271,047		—		—		74,634
Senior secured bank loan funds (1)	22,598		—		—		—

Hedge funds (1)	12,091		—		—		—

Total other investments	1,087,377		—		781,641		74,634
Other assets and (liabilities)
Assumed and ceded (re)insurance contracts (2)	4,731		—		—		4,731
Derivatives (3)	16,937		(1,020)		17,957		—

Total other assets and (liabilities)	21,668		(1,020)		17,957		4,731
	$	17,283,908	$	4,903,256	$	12,070,185	$	79,365

(2) Included in assumed and ceded (re)insurance contracts at December 31, 2019 was $32.9 million of other assets and $28.2 million of other liabilities.

(3) See “Note 13. Derivative Instruments” for additional information related to the fair value, by type of contract, of derivatives entered into by the Company.

Level 1 and Level 2 Assets and Liabilities Measured at Fair Value

Fixed Maturity Investments

Fixed maturity investments included in Level 1 consist of the Company’s investments in U.S. treasuries. Fixed maturity investments included in Level 2 are agencies, municipal, non-U.S. government, non-U.S. government-backed corporate, corporate, agency mortgage-backed, non-agency mortgage-backed, commercial mortgage-backed and asset-backed.

The Company’s fixed maturity investments are primarily priced using pricing services, such as index providers and pricing vendors, as well as broker quotations. In general, the pricing vendors provide pricing for a high volume of liquid securities that are actively traded. For securities that do not trade on an exchange, the pricing services generally utilize market data and other observable inputs in matrix pricing models to determine month end prices. Observable inputs include benchmark yields, reported trades,

broker-dealer quotes, issuer spreads, bids, offers, reference data and industry and economic events. Index pricing generally relies on market traders as the primary source for pricing; however, models are also utilized to provide prices for all index eligible securities. The models use a variety of observable inputs such as benchmark yields, transactional data, dealer runs, broker-dealer quotes and corporate actions. Prices are generally verified using third-party data. Securities which are priced by an index provider are generally included in the index.

In general, broker-dealers value securities through their trading desks based on observable inputs. The methodologies include mapping securities based on trade data, bids or offers, observed spreads, and performance on newly issued securities. Broker-dealers also determine valuations by observing secondary trading of similar securities. Prices obtained from broker quotations are considered non-binding, however they are based on observable inputs and by observing secondary trading of similar securities obtained from active, non-distressed markets.

The Company considers these broker quotations to be Level 2 inputs as they are corroborated with other market observable inputs. The techniques generally used to determine the fair value of the Company’s fixed maturity investments are detailed below by asset class.

U.S. Treasuries

Level 1 - At June 30, 2020, the Company’s U.S. treasuries fixed maturity investments were primarily priced by pricing services and had a weighted average yield to maturity of 0.3% and a weighted average credit quality of AA (December 31, 2019 - 1.7% and AA, respectively). When pricing these securities, the pricing services utilize daily data from many real time market sources, including active broker-dealers. Certain data sources are regularly reviewed for accuracy to attempt to ensure the most reliable price source is used for each issue and maturity date.

Agencies

Level 2 - At June 30, 2020, the Company’s agency fixed maturity investments had a weighted average yield to maturity of 0.7% and a weighted average credit quality of AA (December 31, 2019 - 2.1% and AA, respectively). The issuers of the Company’s agency fixed maturity investments primarily consist of the Federal National Mortgage Association, the Federal Home Loan Mortgage Corporation and other agencies. Fixed maturity investments included in agencies are primarily priced by pricing services. When evaluating these securities, the pricing services gather information from market sources and integrate other observations from markets and sector news. Evaluations are updated by obtaining broker-dealer quotes and other market information including actual trade volumes, when available. The fair value of each security is individually computed using analytical models which incorporate option adjusted spreads and other daily interest rate data.

Non-U.S. Government

Level 2 - At June 30, 2020, the Company’s non-U.S. government fixed maturity investments had a weighted average yield to maturity of 0.7% and a weighted average credit quality of AA (December 31, 2019 - 1.6% and AA, respectively). The issuers of securities in this sector are non-U.S. governments and their respective agencies as well as supranational organizations. Securities held in these sectors are primarily priced by pricing services that employ proprietary discounted cash flow models to value the securities. Key quantitative inputs for these models are daily observed benchmark curves for treasury, swap and high issuance credits. The pricing services then apply a credit spread for each security which is developed by in-depth and real time market analysis. For securities in which trade volume is low, the pricing services utilize data from more frequently traded securities with similar attributes. These models may also be supplemented by daily market and credit research for international markets.

Non-U.S. Government-backed Corporate

Level 2 - At June 30, 2020, the Company’s non-U.S. government-backed corporate fixed maturity investments had a weighted average yield to maturity of 0.8% and a weighted average credit quality of AA (December 31, 2019 - 2.0% and AA, respectively). Non-U.S. government-backed corporate fixed maturity investments are primarily priced by pricing services that employ proprietary discounted cash flow models to value the securities. Key quantitative inputs for these models are daily observed benchmark curves for

treasury, swap and high quality credits. The pricing services then apply a credit spread to the respective curve for each security which is developed by in-depth and real time market analysis. For securities in which trade volume is low, the pricing services utilize data from more frequently traded securities with similar attributes. These models may also be supplemented by daily market and credit research for international markets.

Corporate

Level 2 - At June 30, 2020, the Company’s corporate fixed maturity investments principally consisted of U.S. and international corporations and had a weighted average yield to maturity of 2.7% and a weighted average credit quality of BBB (December 31, 2019 - 3.0% and BBB, respectively). The Company’s corporate fixed maturity investments are primarily priced by pricing services. When evaluating these securities, the pricing services gather information from market sources regarding the issuer of the security and obtain credit data, as well as other observations, from markets and sector news. Evaluations are updated by obtaining broker-dealer quotes and other market information including actual trade volumes, when available. The pricing services also consider the specific terms and conditions of the securities, including any specific features which may influence risk. In certain instances, securities are individually evaluated using a spread which is added to the U.S. treasury curve or a security specific swap curve as appropriate.

Agency Mortgage-backed

Level 2 - At June 30, 2020, the Company’s agency mortgage-backed fixed maturity investments included agency residential mortgage-backed securities with a weighted average yield to maturity of 1.0%, a weighted average credit quality of AA and a weighted average life of 3.2 years (December 31, 2019 - 2.5%, AA and 4.9 years, respectively). The Company’s agency mortgage-backed fixed maturity investments are primarily priced by pricing services using a mortgage pool specific model which utilizes daily inputs from the active to-be-announced market which is very liquid, as well as the U.S. treasury market. The model also utilizes additional information, such as the weighted average maturity, weighted average coupon and other available pool level data which is provided by the sponsoring agency. Valuations are also corroborated with daily active market quotes.

Non-agency Mortgage-backed

Level 2 - The Company’s non-agency mortgage-backed fixed maturity investments include non-agency prime, non-agency Alt-A and other non-agency residential mortgage-backed securities. At June 30, 2020, the Company’s non-agency prime residential mortgage-backed fixed maturity investments had a weighted average yield to maturity of 3.1%, a weighted average credit quality of BBB and a weighted average life of 4.8 years (December 31, 2019 - 3.3%, BBB and 4.8 years, respectively). The Company’s non-agency Alt-A residential mortgage-backed fixed maturity investments held at June 30, 2020 had a weighted average yield to maturity of 3.7%, a weighted average credit quality of non-investment grade and a weighted average life of 6.1 years (December 31, 2019 - 3.8%, non-investment grade and 6.3 years, respectively). Securities held in these sectors are primarily priced by pricing services using an option adjusted spread model or other relevant models, which principally utilize inputs including benchmark yields, available trade information or broker quotes, and issuer spreads. The pricing services also review collateral prepayment speeds, loss severity and delinquencies among other collateral performance indicators for the securities valuation, when applicable.

Commercial Mortgage-backed

Level 2 - At June 30, 2020, the Company’s commercial mortgage-backed fixed maturity investments had a weighted average yield to maturity of 2.0%, a weighted average credit quality of AAA, and a weighted average life of 5.5 years (December 31, 2019 - 2.6%, AAA and 5.7 years, respectively). Securities held in these sectors are primarily priced by pricing services. The pricing services apply dealer quotes and other available trade information such as bids and offers, prepayment speeds which may be adjusted for the underlying collateral or current price data, the U.S. treasury curve and swap curve as well as cash settlement. The pricing services discount the expected cash flows for each security held in this sector using a spread adjusted benchmark yield based on the characteristics of the security.

Asset-backed

Level 2 - At June 30, 2020, the Company’s asset-backed fixed maturity investments had a weighted average yield to maturity of 2.5%, a weighted average credit quality of AAA and a weighted average life of 3.0 years (December 31, 2019 - 3.3%, AAA and 3.2 years, respectively). The underlying collateral for the Company’s asset-backed fixed maturity investments primarily consists of bank loans, student loans, credit card receivables, auto loans and other receivables. Securities held in these sectors are primarily priced by pricing services. The pricing services apply dealer quotes and other available trade information such as bids and offers, prepayment speeds which may be adjusted for the underlying collateral or current price data, the U.S. treasury curve and swap curve as well as cash settlement. The pricing services determine the expected cash flows for each security held in this sector using historical prepayment and default projections for the underlying collateral and current market data. In addition, a spread is applied to the relevant benchmark and used to discount the cash flows noted above to determine the fair value of the securities held in this sector.

Short Term Investments

Level 2 - At June 30, 2020, the Company’s short term investments had a weighted average yield to maturity of 0.2% and a weighted average credit quality of AAA (December 31, 2019 - 1.6% and AAA, respectively). The fair value of the Company’s portfolio of short term investments is generally determined using amortized cost which approximates fair value and, in certain cases, in a manner similar to the Company’s fixed maturity investments noted above.

Equity Investments, Classified as Trading

Level 1 - The fair value of the Company’s portfolio of equity investments, classified as trading is primarily priced by pricing services, reflecting the closing price quoted for the final trading day of the period. When pricing these securities, the pricing services utilize daily data from many real time market sources, including applicable securities exchanges. All data sources are regularly reviewed for accuracy to attempt to ensure the most reliable price source was used for each security.

Other Investments

Catastrophe Bonds

Level 2 - The Company’s other investments include investments in catastrophe bonds which are recorded at fair value based on broker or underwriter bid indications.

Other Assets and Liabilities

Derivatives

Level 1 and Level 2 - Other assets and liabilities include certain derivatives entered into by the Company. The fair value of these transactions includes certain exchange traded futures contracts which are considered Level 1, and foreign currency contracts and certain credit derivatives, determined using standard industry valuation models and considered Level 2, as the inputs to the valuation model are based on observable market inputs. For credit derivatives, these inputs include credit spreads, credit ratings of the underlying referenced security, the risk free rate and the contract term. For foreign currency contracts, these inputs include spot rates and interest rate curves.

Level 3 Assets and Liabilities Measured at Fair Value

Below is a summary of quantitative information regarding the significant unobservable inputs (Level 3) used in determining the fair value of assets and liabilities measured at fair value on a recurring basis:



At June 30, 2020	Fair Value (Level 3)		Valuation Technique	Unobservable Inputs	Low		High		Weighted Average or Actual
Other investments
Private equity investment	$	1,143	External valuation model	Manager pricing	$	277.73	$	369.09	$	323.41
Private equity investments	70,307		Internal valuation model	Discount rate	n/a		n/a		8.0		%
				Liquidity discount	n/a		n/a		15.0		%
Total other investments	71,450
Other assets and (liabilities)
Assumed and ceded (re)insurance contracts	(1,442)		Internal valuation model	Bond price	$	88.09	$	99.25	$	93.59
				Liquidity discount	n/a		n/a		1.3		%
Assumed and ceded (re)insurance contracts	(8,232)		Internal valuation model	Net undiscounted cash flows	n/a		n/a		$	11,752
				Expected loss ratio	n/a		n/a		28.3		%


				Discount rate	n/a		n/a		0.3		%
Assumed and ceded (re)insurance contracts	2,963		Internal valuation model	Expected loss ratio	n/a		n/a		0.0		%


Total other assets and (liabilities)	(6,711)
Total assets and (liabilities) measured at fair value on a recurring basis using Level 3 inputs	$	64,739

Below is a reconciliation of the beginning and ending balances, for the periods shown, of assets and liabilities measured at fair value on a recurring basis using Level 3 inputs. Interest and dividend income are included in net investment income and are excluded from the reconciliation.



	Other investments		Other assets and (liabilities)		Total
Balance - April 1, 2020	$	72,620	$	1,223	$	73,843
Total realized and unrealized losses
Included in net realized and unrealized gains on investments	(380)		—		(380)
Included in other (loss) income	—		(1,713)		(1,713)

Purchases	—		(482)		(482)
Sales	(790)		—		(790)
Settlements	—		(5,739)		(5,739)



Balance - June 30, 2020	$	71,450	$	(6,711)	$	64,739





	Other investments		Other assets and (liabilities)		Total
Balance - January 1, 2020	$	74,634	$	4,731	$	79,365
Total realized and unrealized losses
Included in net realized and unrealized gains on investments	(14,536)		—		(14,536)
Included in other (loss) income	—		(4,610)		(4,610)
Total foreign exchange losses	(21)		—		(21)
Purchases	20,962		(1,093)		19,869
Sales	(9,589)		—		(9,589)
Settlements	—		(5,739)		(5,739)



Balance - June 30, 2020	$	71,450	$	(6,711)	$	64,739



	Other investments		Other assets and (liabilities)		Total
Balance - April 1, 2019	$	63,695	$	11,827	$	75,522
Total realized and unrealized gains (losses)
Included in net realized and unrealized gains on investments	3,493		—		3,493
Included in other (loss) income	—		(935)		(935)
Total foreign exchange losses	(7)		—		(7)
Purchases	7,629		(2,950)		4,679




Balance - June 30, 2019	$	74,810	$	7,942	$	82,752





	Other investments		Other assets and (liabilities)		Total
Balance - January 1, 2019	$	54,545	$	(8,359)	$	46,186
Total realized and unrealized gains
Included in net realized and unrealized gains on investments	2,382		—		2,382
Included in other (loss) income	—		158		158
Total foreign exchange losses	(8)		—		(8)
Purchases	17,891		(3,847)		14,044

Settlements	—		20		20
Amounts acquired (1)	—		19,970		19,970

Balance - June 30, 2019	$	74,810	$	7,942	$	82,752

(1) Represents the fair value of the other assets acquired from TMR, measured at fair value on a recurring basis using Level 3 inputs at March 22, 2019. See “Note 3. Acquisition of Tokio Millennium Re” in the Company’s “Notes to the Consolidated Financial Statements” included in the Company’s Form 10-K for the year ended December 31, 2019 for additional information related to the acquisition of TMR.

Other Investments

Private Equity Investments

Level 3 - At June 30, 2020, the Company’s other investments included a $1.1 million private equity investment which is recorded at fair value, with the fair value obtained through the receipt of an indicative pricing obtained from the insurance manager of the security. The Company considers the price obtained to be unobservable, as there is little, if any, market activity for this security. This unobservable input in isolation can cause significant increases or decreases in fair value. Generally, an increase in the indicative pricing would result in an increase in the fair value of this private equity investment.

Level 3 - At June 30, 2020, the Company’s other investments included $70.3 million of private equity investments which are recorded at fair value, with the fair value obtained through the use of internal valuation models. The Company measured the fair value of these investments using multiples of net tangible book value of the underlying entity. The significant unobservable inputs used in the fair value measurement of these investments are liquidity discount rates applied to each of the net tangible book value multiples used in the internal valuation models, and discount rates applied to the expected cash flows of the underlying entity in various scenarios. These unobservable inputs in isolation can cause significant increases or decreases in fair value. Generally, an increase in the liquidity discount rate or discount rates would result in a decrease in the fair value of these private equity investments.

Other Assets and Liabilities

Assumed and Ceded (Re)insurance Contracts

Level 3 - At June 30, 2020, the Company had a $1.4 million net liability related to an assumed reinsurance contract accounted for at fair value, with the fair value obtained through the use of an internal valuation model. The inputs to the internal valuation model are principally based on indicative pricing obtained from independent brokers and pricing vendors for similarly structured marketable securities. The most significant unobservable inputs include prices for similar marketable securities and a liquidity premium. The Company considers the prices for similar securities to be unobservable, as there is little, if any market activity for these similar assets. In addition, the Company has estimated a liquidity premium that would be required if the Company attempted to effectively exit its position by executing a short sale of these securities. Generally, an increase in the prices for similar marketable securities or a decrease in the liquidity premium would result in an increase in the expected profit and ultimate fair value of this assumed reinsurance contract.

Level 3 - At June 30, 2020, the Company had a $8.2 million net liability related to assumed and ceded (re)insurance contracts accounted for at fair value, with the fair value obtained through the use of an internal valuation model. The inputs to the internal valuation model are principally based on proprietary data as observable market inputs are generally not available. The most significant unobservable inputs include the assumed and ceded expected net cash flows related to the contracts, including the expected premium, acquisition expenses and losses; the expected loss ratio and the relevant discount rate used to present value the net cash flows. The contract period and acquisition expense ratio are considered an observable input as each is defined in the contract. Generally, an increase in the net expected cash flows and expected term of the contract and a decrease in the discount rate, expected loss ratio or acquisition expense ratio, would result in an increase in the expected profit and ultimate fair value of these assumed and ceded (re)insurance contracts.

Level 3 - At June 30, 2020, the Company had a $3.0 million net asset related to assumed and ceded (re)insurance contracts accounted for at fair value, with the fair value obtained through the use of internal valuation models. The inputs to the models are primarily based on the unexpired period of risk and an evaluation of the probability of loss. The fair value of the contracts are sensitive to loss-triggering events. In the event of a loss, the Company would adjust the fair value of the contract to account for a recovery or

liability in accordance with the contract terms and the estimate of exposure under the contract. The inputs for the contracts are based on management’s evaluation and are unobservable.

Financial Instruments Disclosed, But Not Carried, at Fair Value

The Company uses various financial instruments in the normal course of its business. The Company’s insurance contracts are excluded from the fair value of financial instruments accounting guidance, unless the Company elects the fair value option, and therefore, are not included in the amounts discussed herein. The carrying values of cash and cash equivalents, accrued investment income, receivables for investments sold, certain other assets, payables for investments purchased, certain other liabilities, and other financial instruments not included herein approximated their fair values.

Debt

Included on the Company’s consolidated balance sheet at June 30, 2020 were debt obligations of $1.1 billion (December 31, 2019 - $1.4 billion). At June 30, 2020, the fair value of the Company’s debt obligations was $1.2 billion (December 31, 2019 – $1.5 billion).

The fair value of the Company’s debt obligations is determined using indicative market pricing obtained from third-party service providers, which the Company considers Level 2 in the fair value hierarchy. There have been no changes during the period in the Company’s valuation technique used to determine the fair value of the Company’s debt obligations. Refer to “Note 7. Debt and Credit Facilities” for additional information related to the Company’s debt obligations.

The Fair Value Option for Financial Assets and Financial Liabilities

The Company has elected to account for certain financial assets and financial liabilities at fair value using the guidance under FASB ASC Topic Financial Instruments as the Company believes it represents the most meaningful measurement basis for these assets and liabilities. Below is a summary of the balances the Company has elected to account for at fair value:



	June 30, 2020		December 31, 2019
Other investments	$	1,093,338	$	1,087,377
Other assets	$	12,537	$	32,944
Other liabilities	$	19,248	$	28,213

Included in net realized and unrealized gains on investments for the three and six months ended June 30, 2020 were net unrealized gains of $15.6 million and losses of $44.5 million, respectively, related to the changes in fair value of other investments (2019 – net unrealized losses of $2.7 million and $1.4 million, respectively). Included in other (loss) income for the three and six months ended June 30, 2020 were net unrealized gains of $Nil and $Nil related to the changes in the fair value of other assets and liabilities (2019 - $Nil and $Nil, respectively).

Measuring the Fair Value of Other Investments Using Net Asset Valuations

The table below shows the Company’s portfolio of other investments measured using net asset valuations as a practical expedient:

At June 30, 2020

Fair Value

Unfunded
Commitments

Redemption Frequency

Redemption
Notice Period (Minimum Days)

Redemption
Notice Period (Maximum Days)

Private equity investments

182,807

455,883

See below

Senior secured bank loan funds

22,261

6,995

See below

Hedge funds

9,658

—

See below

Total other investments measured using net asset valuations

214,726

462,878

Private Equity Investments

A significant portion of the Company’s investments in private equity investments include alternative asset limited partnerships (or similar corporate structures) that invest in certain private equity asset classes including U.S. and global leveraged buyouts, mezzanine investments, distressed securities, real estate, and oil, gas and power. The Company generally has no right to redeem its interest in any of these private equity investments in advance of dissolution of the applicable private equity investment. Instead, the nature of these investments is that distributions are received by the Company in connection with the liquidation of the underlying assets of the respective private equity investment. It is estimated that the majority of the underlying assets of the limited partnerships would liquidate over 7 to 10 years from inception of the respective limited partnership.

Senior Secured Bank Loan Funds

At June 30, 2020, the Company had $22.3 million invested in closed end funds which invest primarily in loans. The Company has no right to redeem its investment in these funds. It is estimated that the majority of the underlying assets in these closed end funds would begin to liquidate over 4 to 5 years from inception of the applicable fund.

Hedge Funds

At June 30, 2020, the Company had $9.7 million of investments in hedge funds that are primarily focused on global credit opportunities which are generally redeemable at the option of the shareholder.

NOTE 5. REINSURANCE

The Company purchases reinsurance and other protection to manage its risk portfolio and to reduce its exposure to large losses. The Company currently has in place contracts that provide for recovery of a portion of certain claims and claim expenses, generally in excess of various retentions or on a proportional basis. In addition to loss recoveries, certain of the Company’s ceded reinsurance contracts provide for payments of additional premiums, for reinstatement premiums and for lost no-claims bonuses, which are incurred when losses are ceded to the respective reinsurance contracts. The Company remains liable to the extent that any reinsurer fails to meet its obligations.

The following table sets forth the effect of reinsurance and retrocessional activity on premiums written and earned and on net claims and claim expenses incurred:



	Three months ended						Six months ended
	June 30, 2020		June 30, 2019		June 30, 2020		June 30, 2019
Premiums written
Direct	$	177,562	$	99,538	$	325,254	$	210,506
Assumed	1,524,310		1,377,370		3,402,339		2,830,697
Ceded	(521,069)		(453,943)		(1,276,982)		(1,089,207)
Net premiums written	$	1,180,803	$	1,022,965	$	2,450,611	$	1,951,996
Premiums earned
Direct	$	138,327	$	90,638	$	272,556	$	180,452
Assumed	1,281,357		1,202,144		2,431,090		1,967,577
Ceded	(409,588)		(381,280)		(780,452)		(686,499)
Net premiums earned	$	1,010,096	$	911,502	$	1,923,194	$	1,461,530
Claims and claim expenses
Gross claims and claim expenses incurred	$	647,226	$	752,056	$	1,394,941	$	1,090,175
Claims and claim expenses recovered	(136,954)		(298,683)		(313,715)		(409,767)
Net claims and claim expenses incurred	$	510,272	$	453,373	$	1,081,226	$	680,408

The Company adopted ASU 2016-13 effective January 1, 2020. In assessing an allowance for reinsurance assets, which includes reinsurance balances receivable and reinsurance recoverables, the Company considers historical information, financial strength of reinsurers, collateralization amounts, and ratings to determine the appropriateness of the allowance. In assessing future default for reinsurance assets, the Company evaluates the valuation allowance under the probability of default and loss given default method. The Company utilizes its internal capital and risk models which uses counterparty ratings from major rating agencies, as well as assessing the current market conditions for the likelihood of default. Historically, the Company has not experienced material credit losses from reinsurance assets. The adoption of ASU 2016-13 did not have a material impact on the Company’s consolidated statements of operations and financial position.

At June 30, 2020, the Company’s reinsurance recoverable balance was $2.8 billion (December 31, 2019 - $2.8 billion). Of the Company’s reinsurance recoverable balance at June 30, 2020, 51.2% is fully collateralized by our reinsurers, 47.6% is recoverable from reinsurers rated A- or higher by major rating agencies and 1.2% is recoverable from reinsurers rated lower than A- by major rating agencies (December 31, 2019 - 57.5%, 41.0% and 1.5%, respectively). The reinsurers with the three largest balances accounted for 14.2%, 9.0% and 7.2%, respectively, of the Company’s reinsurance recoverable balance at June 30, 2020 (December 31, 2019 - 12.7%, 7.2% and 7.0%, respectively). The valuation allowance recorded against reinsurance recoverable was $9.7 million at June 30, 2020 (December 31, 2019 - $7.3 million). The three largest company-specific components of the valuation allowance represented 13.3%, 6.3% and 5.2%, respectively, of the Company’s total valuation allowance at June 30, 2020 (December 31, 2019 - 18.1%, 7.9% and 7.2%, respectively).

NOTE 6. RESERVE FOR CLAIMS AND CLAIM EXPENSES

The Company believes the most significant accounting judgment made by management is its estimate of claims and claim expense reserves. Claims and claim expense reserves represent estimates, including actuarial and statistical projections at a given point in time, of the ultimate settlement and administration costs for unpaid claims and claim expenses arising from the insurance and reinsurance contracts the Company sells. The Company establishes its claims and claim expense reserves by taking claims reported to the Company by insureds and ceding companies, but which have not yet been paid (“case reserves”), adding estimates for the anticipated cost of claims incurred but not yet reported to the Company, or incurred but not enough reported to the Company (collectively referred to as “IBNR”) and, if deemed necessary, adding costs for additional case reserves which represent the Company’s estimates for claims related to specific contracts previously reported to the Company which it believes may not be adequately estimated by the client as of that date, or adequately covered in the application of IBNR.

The following table summarizes the Company’s claims and claim expense reserves by segment, allocated between case reserves, additional case reserves and IBNR:



At June 30, 2020	Case Reserves		Additional Case Reserves		IBNR		Total
Property	$	1,095,511	$	1,650,244	$	842,395	$	3,588,150
Casualty and Specialty	1,682,299		127,588		3,967,100		5,776,987
Other	332		—		—		332
Total	$	2,778,142	$	1,777,832	$	4,809,495	$	9,365,469

At December 31, 2019
Property	$	1,253,406	$	1,631,223	$	1,189,221	$	4,073,850
Casualty and Specialty	1,596,426		129,720		3,583,913		5,310,059
Other	440		—		—		440
Total	$	2,850,272	$	1,760,943	$	4,773,134	$	9,384,349

Activity in the liability for unpaid claims and claim expenses is summarized as follows:



Six months ended June 30,	2020		2019
Net reserves as of beginning of period	$	6,593,052	$	3,704,050
Net incurred related to:
Current year	1,082,732		684,481
Prior years	(1,506)		(4,073)
Total net incurred	1,081,226		680,408
Net paid related to:
Current year	61,625		52,332
Prior years	1,007,916		570,561
Total net paid	1,069,541		622,893
Foreign exchange (1)	(13,626)		(642)
Amounts acquired (2)	—		1,858,775
Net reserves as of end of period	6,591,111		5,619,698
Reinsurance recoverable as of end of period	2,774,358		2,865,150
Gross reserves as of end of period	$	9,365,469	$	8,484,848

(1) Reflects the impact of the foreign exchange revaluation of net reserves denominated in non-U.S. dollars as at the balance sheet date.

(2) Represents the fair value of TMR's reserves for claims and claim expenses, net of reinsurance recoverables, acquired at March 22, 2019.

Prior Year Development of the Reserve for Net Claims and Claim Expenses

The Company’s estimates of claims and claim expense reserves are not precise in that, among other things, they are based on predictions of future developments and estimates of future trends and other variable factors. Some, but not all, of the Company’s reserves are further subject to the uncertainty inherent in actuarial methodologies and estimates. Because a reserve estimate is simply an insurer’s estimate at a point in time of its ultimate liability, and because there are numerous factors that affect reserves and claims payments that cannot be determined with certainty in advance, the Company’s ultimate payments will vary, perhaps materially, from its estimates of reserves. If the Company determines in a subsequent period that adjustments to its previously established reserves are appropriate, such adjustments are recorded in the period in which they are identified. On a net basis, the Company’s cumulative favorable or unfavorable development is generally reduced by offsetting changes in its reinsurance recoverables, as well as changes to loss related premiums such as reinstatement premiums and redeemable noncontrolling interest, all of which generally move in the opposite direction to changes in the Company’s ultimate claims and claim expenses.

The following table details the Company’s prior year development by segment of its liability for unpaid claims and claim expenses:



Six months ended June 30,	2020		2019
	(Favorable) adverse development		(Favorable) adverse development
Property	$	7,444	$	12,640
Casualty and Specialty	(8,799)		(16,730)
Other	(151)		17
Total net favorable development of prior accident years net claims and claim expenses	$	(1,506)	$	(4,073)

Changes to prior year estimated claims reserves increased net income by $1.5 million during the six months ended June 30, 2020 (2019 - increased net income by $4.1 million), excluding the consideration of changes in reinstatement, adjustment or other premium items, profit commissions, redeemable noncontrolling interests and income tax.

Property Segment

The following tables detail the development of the Company’s liability for unpaid claims and claim expenses for its Property segment, allocated between large and small catastrophe net claims and claim expenses and attritional net claims and claim expenses, included in the other line item:



Six months ended June 30,	2020
	(Favorable) adverse development
Catastrophe net claims and claim expenses
Large catastrophe events
2019 Large Loss Events	$	(19,940)
2018 Large Loss Events	(12,306)
2017 Large Loss Events	(3,825)




Other	7,004
Total large catastrophe events	(29,067)
Small catastrophe events and attritional loss movements


Other small catastrophe events and attritional loss movements	36,511
Total small catastrophe events and attritional loss movements	36,511


Total net adverse development of prior accident years net claims and claim expenses	$	7,444

The net adverse development of prior accident years net claims and claim expenses within the Company’s Property segment in the six months ended June 30, 2020 of $7.4 million was comprised of net adverse development of $43.5 million primarily within the Company’s other property class of business and principally driven by higher than expected attritional losses related to lines of business where the Company principally estimates net claims and claim expenses using traditional actuarial methods, combined with the impact of certain of the Company’s whole account ceded protections. Partially offsetting this adverse development was favorable development on prior accident years net claims and claim expenses associated with the following large catastrophe events:

•$19.9 million associated with Hurricane Dorian and Typhoon Faxai, Typhoon Hagibis and losses associated with aggregate loss contracts (collectively, the “2019 Large Loss Events”);

•$12.3 million associated with Typhoons Jebi, Mangkhut and Trami, Hurricane Florence, the wildfires in California during the third and fourth quarters of 2018, Hurricane Michael and certain losses associated with aggregate loss contracts (collectively, the ”2018 Large Loss Events”); and

•$3.8 million associated with Hurricanes Harvey, Irma and Maria, the Mexico City Earthquake, the wildfires in California during the fourth quarter of 2017 and certain losses associated with aggregate loss contracts (collectively, the “2017 Large Loss Events”).



Six months ended June 30,	2019
	(Favorable) adverse development
Catastrophe net claims and claim expenses
Large catastrophe events
2017 Large Loss Events	$	(56,234)
2018 Large Loss Events	52,132
Other	1,412
Total large catastrophe events	(2,690)
Small catastrophe events and attritional loss movements
Other small catastrophe events and attritional loss movements	9,521
Total small catastrophe events and attritional loss movements	9,521
Total catastrophe and attritional net claims and claim expenses	6,831
Actuarial assumption changes	5,809
Total net adverse development of prior accident years net claims and claim expenses	$	12,640

The net adverse development of prior accident years net claims and claim expenses within the Company’s Property segment in the six months ended June 30, 2019 of $12.6 million was comprised of net favorable development of $2.7 million related to large catastrophe events, net adverse development of $9.5 million related to small catastrophe events and attritional loss movements and net adverse development of $5.8 million related to actuarial assumption changes. Included in net favorable development of prior accident years net claims and claim expenses from large catastrophe events within the Property segment was $56.2 million of net decreases in the estimated ultimate losses associated with the 2017 Large Loss Events, partially offset by $52.1 million of net increases in the estimated ultimate losses associated with the 2018 Large Loss Events.

The Company’s Property segment also experienced net adverse development of $9.5 million associated with a number of other small catastrophe events and attritional loss movements primarily driven by increases in the estimated ultimate net claims and claim expenses within the Company’s other property class of business.

Casualty and Specialty Segment

The following table details the development of the Company’s liability for unpaid claims and claim expenses for its Casualty and Specialty segment:



Six months ended June 30,	2020		2019
	(Favorable) adverse development		(Favorable) adverse development
Actuarial methods	$	(8,799)	$	(28,850)
Actuarial assumption changes	—		12,120
Total net favorable development of prior accident years net claims and claim expenses	$	(8,799)	$	(16,730)

The net favorable development of prior accident years net claims and claim expenses within the Company’s Casualty and Specialty segment of $8.8 million in the six months ended June 30, 2020 was due to reported losses generally coming in better than expected on attritional net claims and claim expenses.

The net favorable development of prior accident years net claims and claim expenses within the Company’s Casualty and Specialty segment was $16.7 million in the six months ended June 30, 2019 was comprised of net favorable development of $28.9 million related to reported losses generally coming in lower than expected on attritional net claims and claim expenses and certain assumption changes across a number of

lines of business, partially offset by net adverse development of $12.1 million associated with actuarial assumption changes.

NOTE 7. DEBT AND CREDIT FACILITIES

There have been no material changes to the Company’s debt obligations and credit facilities as described in its Form 10-K for the year ended December 31, 2019, except as described below.

Debt Obligations

A summary of the Company’s debt obligations on its consolidated balance sheets is set forth below:



	June 30, 2020						December 31, 2019
	Fair Value		Carrying Value		Fair Value		Carrying Value
3.600% Senior Notes due 2029	$	439,136	$	391,932	$	424,920	$	391,475
3.450% Senior Notes due 2027	318,138		296,538		314,070		296,292
3.700% Senior Notes due 2025	317,055		298,242		318,567		298,057
5.75% Senior Notes due 2020	—		—		251,030		249,931

4.750% Senior Notes due 2025 (DaVinciRe) (1)	159,924		148,504		160,031		148,350


Total debt	$	1,234,253	$	1,135,216	$	1,468,618	$	1,384,105

(1) RenaissanceRe owns a noncontrolling economic interest in its joint venture DaVinciRe. Because RenaissanceRe controls a majority of DaVinciRe’s outstanding voting rights, the consolidated financial statements of DaVinciRe are included in the consolidated financial statements of RenaissanceRe. However, RenaissanceRe does not guarantee or provide credit support for DaVinciRe and RenaissanceRe’s financial exposure to DaVinciRe is limited to its investment in DaVinciRe’s shares and counterparty credit risk arising from reinsurance transactions.

5.75% Senior Notes due 2020 of RenRe North America Holdings Inc. and RenaissanceRe Finance

On March 15, 2020, the Company repaid in full at maturity the aggregate principal amount of $250.0 million, plus applicable accrued interest, of the 5.75% Senior Notes due 2020 of RenRe North America Holdings Inc. and RenaissanceRe Finance.

Credit Facilities

The outstanding amounts issued or drawn under each of the Company’s significant credit facilities is set forth below:



At June 30, 2020	Issued or Drawn
Revolving Credit Facility (1)	$	—
Bilateral Letter of Credit Facilities
Secured	329,341
Unsecured	367,771
Funds at Lloyd’s Letter of Credit Facility	290,000


	$	987,112

(1) At June 30, 2020, no amounts were issued or drawn under this facility.

Uncommitted, Secured Standby Letter of Credit Facility with Wells Fargo

Effective June 11, 2020, RenaissanceRe and certain of its subsidiaries and affiliates, including Renaissance Reinsurance, DaVinci, Renaissance Reinsurance U.S. and RenaissanceRe Europe entered into an amendment to its letter of credit facility with Wells Fargo Bank, National Association. Pursuant to the amendment, the maximum amount of unsecured letters of credit that the applicants may request (outstanding on such request date) was increased from $25.0 million to $100.0 million. All other terms of the facility remained the same.

Unsecured Letter of Credit Facility with Credit Suisse

Effective June 26, 2020, RenaissanceRe Europe and RenaissanceRe entered into an amendment to its letter of credit facility with Credit Suisse (Switzerland) Ltd. Pursuant to the amendment, the maximum committed amount of the unsecured letter of credit facility was increased from $125.0 million to $200.0 million. All other terms of the facility remained the same.

TMR Letters of Credit

During the quarter ended March 31, 2020, the following letters of credit and facilities that were transferred to the Company in connection with the acquisition of TMR were terminated: (a) certain letters of credit for the account of RenaissanceRe Europe issued by Mizuho Bank, Ltd. pursuant to a Letter of Credit and Reimbursement Agreement, dated as of May 14, 2012, as amended, (b) certain letters of credit for the account of RenaissanceRe Europe issued by The Bank of Tokyo-Mitsubishi UFJ Ltd., Düsseldorf Branch pursuant to a Committed Revolving Standby Letter of Credit Agreement, dated as of September 29, 2017, and (c) certain letters of credit for the account of RenaissanceRe UK issued by The Bank of Tokyo-Mitsubishi UFJ, Ltd. pursuant to a Facility Letter, dated as of December 21, 2006. The parties had previously agreed that no new letters of credit would be issued under these facilities.

NOTE 8. NONCONTROLLING INTERESTS

A summary of the Company’s redeemable noncontrolling interests on its consolidated balance sheets is set forth below:



	June 30, 2020		December 31, 2019
Redeemable noncontrolling interest - DaVinciRe	$	1,621,300	$	1,435,581
Redeemable noncontrolling interest - Medici	682,118		632,112
Redeemable noncontrolling interest - Vermeer	1,083,681		1,003,615
Redeemable noncontrolling interests	$	3,387,099	$	3,071,308

A summary of the Company’s redeemable noncontrolling interests on its consolidated statements of operations is set forth below:



	Three months ended						Six months ended
	June 30, 2020		June 30, 2019		June 30, 2020		June 30, 2019
Redeemable noncontrolling interest - DaVinciRe	$	88,374	$	59,855	$	173,280	$	122,388
Redeemable noncontrolling interest - Medici	13,151		1,704		8,473		4,185
Redeemable noncontrolling interest - Vermeer	17,203		10,253		35,066		15,461
Net income attributable to redeemable noncontrolling interests	$	118,728	$	71,812	$	216,819	$	142,034

Redeemable Noncontrolling Interest – DaVinciRe

RenaissanceRe owns a noncontrolling economic interest in DaVinciRe; however, because RenaissanceRe controls a majority of DaVinciRe’s outstanding voting rights, the consolidated financial statements of DaVinciRe are included in the consolidated financial statements of the Company. The portion of DaVinciRe’s earnings owned by third parties is recorded in the consolidated statements of operations as net income attributable to redeemable noncontrolling interests. The Company’s noncontrolling economic ownership in DaVinciRe was 21.4% at June 30, 2020 (December 31, 2019 - 21.9%).

DaVinciRe shareholders are party to a shareholders agreement which provides DaVinciRe shareholders, excluding RenaissanceRe, with certain redemption rights that enable each shareholder to notify DaVinciRe of such shareholder’s desire for DaVinciRe to repurchase up to half of such shareholder’s initial aggregate number of shares held, subject to certain limitations, such as limiting the aggregate of all share repurchase requests to 25% of DaVinciRe’s capital in any given year and satisfying all applicable regulatory

requirements. If total shareholder requests exceed 25% of DaVinciRe’s capital, the number of shares repurchased will be reduced among the requesting shareholders pro-rata, based on the amounts desired to be repurchased. Shareholders desiring to have DaVinci repurchase their shares must notify DaVinciRe before March 1 of each year. The repurchase price will be based on GAAP book value as of the end of the year in which the shareholder notice is given, and the repurchase will be effective as of January 1 of the following year. The repurchase price is generally subject to a true-up for potential development on outstanding loss reserves after settlement of all claims relating to the applicable years.

2020

Effective January 1, 2020, the Company sold an aggregate of $10.0 million of its shares in DaVinciRe to an existing third-party investor. The Company’s noncontrolling economic ownership in DaVinciRe subsequent to these transactions was 21.4%.

2019

Effective June 1, 2019, DaVinciRe completed an equity capital raise of $349.2 million, comprised of $263.1 million from third-party investors and $86.1 million from RenaissanceRe. In addition, RenaissanceRe sold an aggregate of $11.6 million of its shares in DaVinciRe to a third-party investor. The Company’s noncontrolling economic ownership in DaVinciRe subsequent to these transactions was 21.9%, effective June 1, 2019.

The Company expects its noncontrolling economic ownership in DaVinciRe to fluctuate over time.

The activity in redeemable noncontrolling interest – DaVinciRe is detailed in the table below:



	Three months ended						Six months ended
	June 30, 2020		June 30, 2019		June 30, 2020		June 30, 2019
Beginning balance	$	1,533,085	$	1,097,245	$	1,435,581	$	1,034,946
Redemption of shares from redeemable noncontrolling interest, net of adjustments	(159)		(698)		2,448		(932)
Sale of shares to redeemable noncontrolling interests	—		274,699		9,991		274,699

Net income attributable to redeemable noncontrolling interest	88,374		59,855		173,280		122,388

Ending balance	$	1,621,300	$	1,431,101	$	1,621,300	$	1,431,101

Redeemable Noncontrolling Interest - RenaissanceRe Medici Fund Ltd.

Medici is an exempted company incorporated under the laws of Bermuda and registered as an institutional fund. Medici’s objective is to seek to invest substantially all of its assets in various insurance-based investment instruments that have returns primarily tied to property catastrophe risk. RenaissanceRe owns a noncontrolling economic interest in Medici; however, because RenaissanceRe controls all of Medici’s outstanding voting rights, the financial statements of Medici are included in the consolidated financial statements of the Company. The portion of Medici’s earnings owned by third parties is recorded in the consolidated statements of operations as net income attributable to redeemable noncontrolling interests. Any shareholder may redeem all or any portion of its shares as of the last day of any calendar month, upon at least 30 calendar days’ prior irrevocable written notice to Medici.

2020

During the six months ended June 30, 2020, third-party investors subscribed for $90.8 million and redeemed $49.2 million of the participating, non-voting common shares of Medici. As a result of these net subscriptions, the Company’s noncontrolling economic ownership in Medici was 11.4% at June 30, 2020.

2019

During the six months ended June 30, 2019, third-party investors subscribed for $132.4 million and redeemed $37.4 million of the participating, non-voting common shares of Medici. As a result of these net subscriptions, the Company’s noncontrolling economic ownership in Medici was 13.9% at June 30, 2019.

The Company expects its noncontrolling economic ownership in Medici to fluctuate over time.

The activity in redeemable noncontrolling interest – Medici is detailed in the table below:



	Three months ended						Six months ended
	June 30, 2020		June 30, 2019		June 30, 2020		June 30, 2019
Beginning balance	$	677,283	$	406,958	$	632,112	$	416,765
Redemption of shares from redeemable noncontrolling interest, net of adjustments	(44,474)		(21,556)		(49,238)		(37,440)
Sale of shares to redeemable noncontrolling interests	36,158		128,809		90,771		132,405
Net income attributable to redeemable noncontrolling interest	13,151		1,704		8,473		4,185


Ending balance	$	682,118	$	515,915	$	682,118	$	515,915

Redeemable Noncontrolling Interest – Vermeer

Vermeer is an exempted Bermuda reinsurer that provides capacity focused on risk remote layers in the U.S. property catastrophe market. Vermeer is managed by RUM in return for a management fee. The Company maintains majority voting control of Vermeer, while the sole third-party investor, PGGM, retains all of the economic benefits. The Company concluded that Vermeer is a VIE as it has voting rights that are not proportional to its participating rights, and the Company is the primary beneficiary. As a result, the Company consolidates Vermeer and all significant inter-company transactions have been eliminated. The portion of Vermeer’s earnings owned by PGGM is recorded in the consolidated statements of operations as net income attributable to redeemable noncontrolling interests. The Company has not provided any financial or other support to Vermeer that it was not contractually required to provide.

2020

During the six months ended June 30, 2020, PGGM subscribed for $45.0 million of the participating, non-voting common shares of Vermeer.

2019

During the six months ended June 30, 2019, PGGM subscribed for $150.0 million of the participating, non-voting common shares of Vermeer.

The Company does not expect its noncontrolling economic ownership in Vermeer to fluctuate over time.

The activity in redeemable noncontrolling interest – Vermeer is detailed in the table below:



	Three months ended						Six months ended
	June 30, 2020		June 30, 2019		June 30, 2020		June 30, 2019
Beginning balance	$	1,021,478	$	605,197	$	1,003,615	$	599,989

Sale of shares to redeemable noncontrolling interest	45,000		150,000		45,000		150,000

Net income attributable to redeemable noncontrolling interest	17,203		10,253		35,066		15,461

Ending balance	$	1,083,681	$	765,450	$	1,083,681	$	765,450

NOTE 9. VARIABLE INTEREST ENTITIES

Upsilon RFO

Upsilon RFO is a managed joint venture and a Bermuda domiciled SPI that was formed by the Company principally to provide additional capacity to the worldwide aggregate and per-occurrence retrocessional property catastrophe excess of loss market.

The shareholders (other than the Class A shareholder) participate in substantially all of the profits or losses of Upsilon RFO while their shares remain outstanding. The shareholders (other than the Class A shareholder) indemnify Upsilon RFO against losses relating to insurance risk, and therefore, these shares have been accounted for as prospective reinsurance under FASB ASC Topic Financial Services - Insurance.

Upsilon RFO is considered a VIE as it has insufficient equity capital to finance its activities without additional financial support. The Company is the primary beneficiary of Upsilon RFO as it has the power over the activities that most significantly impact the economic performance of Upsilon RFO and has the obligation to absorb expected losses and the right to receive expected benefits that could be significant to Upsilon RFO, in accordance with the accounting guidance. As a result, the Company consolidates Upsilon RFO and all significant inter-company transactions have been eliminated. Other than its equity investment in Upsilon RFO, the Company has not provided financial or other support to Upsilon RFO that it was not contractually required to provide.

2020

During the six months ended June 30, 2020, $802.0 million of Upsilon RFO non-voting preference shares were issued to existing investors, including $95.4 million to the Company. Also during the six months ended June 30, 2020 and following the release of collateral that was previously held by cedants associated with prior years’ contracts, Upsilon RFO returned $302.0 million of capital to its investors, including $61.6 million to the Company. At June 30, 2020, the Company’s participation in the risks assumed by Upsilon RFO was 13.9%.

At June 30, 2020, the Company’s consolidated balance sheet included total assets and total liabilities of Upsilon RFO of $3.5 billion and $3.5 billion, respectively (December 31, 2019 - $3.1 billion and $3.1 billion, respectively). Of the total assets and liabilities, a net amount of $301.1 million is attributable to the Company, and $1.8 billion is attributable to third-party investors.

2019

During 2019, $618.7 million of Upsilon RFO non-voting preference shares were issued to new and existing investors, including $100.0 million to the Company. In addition, Upsilon RFO returned $279.2 million of capital to its investors, including $31.0 million to the Company. At December 31, 2019, the Company’s participation in the risks assumed by Upsilon RFO was 16.5%.

Payments for certain of the shares issued during 2020 and 2019 that were received by the Company prior to January 1, 2020 and January 1, 2019, respectively, were included in other liabilities on the Company’s consolidated balance sheet at December 31, 2019 and December 31, 2018, respectively, and in other operating cash flows on the Company’s consolidated statements of cash flows for 2019 and 2018, respectively. During 2020 and 2019, in connection with the issuance of the non-voting preference shares of Upsilon RFO, other liabilities were reduced by this amount, and reinsurance balances payable were increased by an offsetting amount, with corresponding impacts to other operating cash flows and the change in reinsurance balances payable on the Company consolidated statements of cash flows for the six months ended June 30, 2020 and the year ended December 31, 2019, respectively.

Vermeer

Vermeer is an exempted Bermuda reinsurer that provides capacity focused on risk remote layers in the U.S. property catastrophe market. Vermeer is considered a VIE as it has voting rights that are not proportional to its participating rights. The Company is the primary beneficiary of Vermeer as it has power over the activities that most significantly impact the economic performance of Vermeer and has the obligation to absorb expected losses and the right to receive expected benefits that could be significant to Vermeer, in accordance with the accounting guidance. The portion of Vermeer’s earnings owned by PGGM is recorded

in the consolidated statements of operations as net income attributable to redeemable noncontrolling interests. See “Note 8. Noncontrolling Interests” for additional information regarding Vermeer. Other than the Company’s minimal equity investment, it has not provided any financial or other support to Vermeer that it was not contractually required to provide.

At June 30, 2020, the Company’s consolidated balance sheet included total assets and total liabilities of Vermeer of $1.1 billion and $59.8 million, respectively (December 31, 2019 - $1.0 billion and $23.2 million, respectively). In addition, the Company’s consolidated balance sheet included redeemable noncontrolling interests associated with Vermeer of $1.1 billion at June 30, 2020 (December 31, 2019 - $1.0 billion).

Mona Lisa Re

Mona Lisa Re is licensed as a Bermuda domiciled SPI to provide reinsurance capacity to subsidiaries of RenaissanceRe, namely Renaissance Reinsurance and DaVinci, through reinsurance agreements which are collateralized and funded by Mona Lisa Re through the issuance of one or more series of principal-at-risk variable rate notes.

Upon issuance of a series of notes by Mona Lisa Re, all of the proceeds from the issuance are deposited into collateral accounts, separated by series, to fund any potential obligation under the reinsurance agreements entered into with Renaissance Reinsurance and/or DaVinci underlying such series of notes. The outstanding principal amount of each series of notes generally will be returned to holders of such notes upon the expiration of the risk period underlying such notes, unless an event occurs which causes a loss under the applicable series of notes, in which case the amount returned will be reduced by such noteholder’s pro rata share of such loss, as specified in the applicable governing documents of such notes. In addition, holders of such notes are generally entitled to interest payments, payable quarterly, as determined by the applicable governing documents of each series of notes.

The Company concluded that Mona Lisa Re meets the definition of a VIE as it does not have sufficient equity capital to finance its activities. The Company evaluated its relationship with Mona Lisa Re and concluded it is not the primary beneficiary of Mona Lisa Re as it does not have power over the activities that most significantly impact the economic performance of Mona Lisa Re. As a result, the financial position and results of operations of Mona Lisa Re are not consolidated by the Company.

On July 6, 2018, all previously outstanding series of notes issued by Mona Lisa Re were redeemed and the proceeds were returned to the holders of such notes. Effective January 10, 2020, Mona Lisa Re issued two series of principal-at-risk variable rate notes to investors for a total principal amount of $400.0 million. At June 30, 2020, the total assets and total liabilities of Mona Lisa Re were $416.1 million and $416.1 million, respectively (December 31, 2019 - $6 thousand and $6 thousand, respectively).

The only transactions related to Mona Lisa Re that are recorded in the Company’s consolidated financial statements are the ceded reinsurance agreements entered into by Renaissance Reinsurance and DaVinci which are accounted for as prospective reinsurance under FASB ASC Topic Financial Services - Insurance, and the fair value of the principal-at-risk variable rate notes owned by the Company. Other than its investment in the principal-at-risk variable rate notes of Mona Lisa Re, the Company has not provided financial or other support to Mona Lisa Re that it was not contractually required to provide.

The fair value of the Company’s investment in the principal-at-risk variable rate notes of Mona Lisa Re is included in other investments. Net of third-party investors, the fair value of the Company’s investment in Mona Lisa Re was $2.7 million at June 30, 2020.

Renaissance Reinsurance and DaVinci have together entered into ceded reinsurance contracts with Mona Lisa Re with ceded premiums written of $24.3 million and $6.7 million, respectively, during the six months ended June 30, 2020 (2019 - $Nil and $Nil, respectively). In addition, Renaissance Reinsurance and DaVinci recognized ceded premiums earned related to the ceded reinsurance contracts with Mona Lisa Re of $12.1 million and $3.4 million, respectively, during the six months ended June 30, 2020 (2019 - $Nil and $Nil, respectively).

Fibonacci Re

Fibonacci Re, a Bermuda-domiciled SPI, was formed to provide collateralized capacity to Renaissance Reinsurance and its affiliates. Upon issuance of a series of notes by Fibonacci Re, all of the proceeds from

the issuance are deposited into collateral accounts, separated by series, to fund any potential obligation under the reinsurance agreements entered into with Renaissance Reinsurance underlying such series of notes. The outstanding principal amount of each series of notes generally is expected to be returned to holders of such notes upon the expiration of the risk period underlying such notes, unless an event occurs which causes a loss under the applicable series of notes, in which case the amount returned is expected to be reduced by such noteholder’s pro rata share of such loss, as specified in the applicable governing documents of such notes. In addition, holders of such notes are generally entitled to interest payments, payable quarterly, as determined by the applicable governing documents of each series of notes. RUM receives an origination and structuring fee in connection with the formation and operation of Fibonacci Re.

The Company concluded that Fibonacci Re meets the definition of a VIE as it does not have sufficient equity capital to finance its activities. The Company evaluated its relationship with Fibonacci Re and concluded it is not the primary beneficiary of Fibonacci Re as it does not have power over the activities that most significantly impact the economic performance of Fibonacci Re. As a result, the Company does not consolidate the financial position or results of operations of Fibonacci Re.

The only transactions related to Fibonacci Re that are recorded in the Company’s consolidated financial statements are the ceded reinsurance agreements entered into by Renaissance Reinsurance that are accounted for as prospective reinsurance under FASB ASC Topic Financial Services - Insurance, and the fair value of the participating notes owned by the Company. Other than its investment in the participating notes of Fibonacci Re, the Company has not provided financial or other support to Fibonacci Re that it was not contractually required to provide.

The fair value of the Company’s investment in the participating notes of Fibonacci Re is included in other investments. Net of third-party investors, the fair value of the Company’s investment in Fibonacci Re was $0.4 million at June 30, 2020 (December 31, 2019 - $0.4 million).

Renaissance Reinsurance entered into ceded reinsurance contracts with Fibonacci Re with ceded premiums written of $8 thousand and ceded premiums earned of $8 thousand during the six months ended June 30, 2020 (2019 - $47 thousand and $47 thousand, respectively). During the six months ended June 30, 2020, Renaissance Reinsurance reduced its net claims and claim expenses ceded to Fibonacci by $1.1 million (2019 - ceded net claims and claim expenses of $7.5 million) and as of June 30, 2020 had a net reinsurance recoverable of $6.4 million from Fibonacci Re (December 31, 2019 - $7.5 million).

Langhorne

The Company and Reinsurance Group of America, Incorporated formed Langhorne, an initiative to source third-party capital to support reinsurers targeting large in-force life and annuity blocks. In connection with Langhorne, as of June 30, 2020 the Company has invested $1.9 million in Langhorne Holdings (December 31, 2019 - $1.7 million), a company that owns and manages certain reinsurance entities within Langhorne. In addition, as of June 30, 2020 the Company has invested $0.1 million in Langhorne Partners (December 31, 2019 - $0.1 million), the general partner for Langhorne and the entity which manages the third-party investors investing into Langhorne Holdings.

The Company concluded that Langhorne Holdings meets the definition of a VIE as the voting rights are not proportional with the obligations to absorb losses and rights to receive residual returns. The Company evaluated its relationship with Langhorne Holdings and concluded it is not the primary beneficiary of Langhorne Holdings, as it does not have power over the activities that most significantly impact the economic performance of Langhorne Holdings. As a result, the Company does not consolidate the financial position or results of operations of Langhorne Holdings. The Company separately evaluated Langhorne Partners and concluded that it was not a VIE. The Company accounts for its investments in Langhorne Holdings and Langhorne Partners under the equity method of accounting, one quarter in arrears.

The Company anticipates that its absolute investment in Langhorne will increase, perhaps materially, as in-force life and annuity blocks of businesses are written. The Company expects its absolute and relative ownership in Langhorne Partners to remain stable. Other than its current and committed future equity investment in Langhorne, the Company has not provided financial or other support to Langhorne that it was not contractually required to provide.

Shima Re

Shima Re was acquired on March 22, 2019 in connection with the acquisition of TMR. See “Note 3. Acquisition of Tokio Millennium Re” in the Company’s “Notes to the Consolidated Financial Statements” included in the Company’s Form 10-K for the year ended December 31, 2019 for additional information related to the acquisition of TMR. Shima Re is a Bermuda domiciled Class 3 insurer. Shima Re is registered as a segregated accounts company and provides third-party investors with access to reinsurance risk. The maximum remaining exposure of each segregated account is fully collateralized and is funded by cash or investments as prescribed by the participant thereto. Shima Re no longer writes new business and the last in-force contract written by Shima Re expired on December 31, 2019.

Shima Re is considered a VIE as it has voting rights that are not proportional to its participating rights. The Company evaluated its relationship with Shima Re and concluded it is not the primary beneficiary of any segregated account, as it does not have power over the activities that most significantly impact the economic performance of any segregated account. As a result, the Company does not consolidate the financial position or results of operations of Shima Re or its segregated accounts. The Company has not provided any financial or other support to any segregated account of Shima Re that it was not contractually required to provide.

Norwood Re

A subsidiary of RenaissanceRe Europe that the Company acquired in the acquisition of TMR manages Norwood Re. See “Note 3. Acquisition of Tokio Millennium Re” in the Company’s “Notes to the Consolidated Financial Statements” included in the Company’s Form 10-K for the year ended December 31, 2019 for additional information related to the acquisition of TMR. Norwood Re is a Bermuda domiciled SPI registered as a segregated accounts company formed to provide solutions for reinsurance-linked asset investors. Norwood Re is wholly owned by the Norwood Re Purpose Trust. Risks assumed by the segregated accounts of Norwood Re are fronted by or ceded from only one cedant - RenaissanceRe Europe and/or its insurance affiliates. The obligations of each segregated account are funded through the issuance of non-voting preference shares to third-party investors. The maximum exposure of each segregated account is fully collateralized and is funded by cash and term deposits or investments as prescribed by the participant thereto. Norwood Re no longer writes new business, and the last in-force contract written by Norwood expired on June 30, 2020.

Norwood Re is considered a VIE as it has voting rights that are not proportional to its participating rights. The Company evaluated its relationship with Norwood Re and concluded it is not the primary beneficiary of Norwood Re and its segregated accounts, as it does not have power over the activities that most significantly impact the economic performance of Norwood Re and its segregated accounts. As a result, the Company does not consolidate the financial position or results of operations of Norwood Re and its segregated accounts. The Company has not provided any financial or other support to Norwood Re that it was not contractually required to provide.

NOTE 10. SHAREHOLDERS’ EQUITY

Dividends

The Board of Directors of RenaissanceRe declared dividends of $0.35 per common share, payable to common shareholders of record on March 13, 2020 and June 15, 2020, and the Company paid the dividends on March 31, 2020 and June 30, 2020.

The Board of Directors approved the payment of quarterly dividends on the Series C 6.08% Preference Shares, Series E 5.375% Preference Shares and 5.750% Series F Preference Shares to preference shareholders of record in the amounts and on the quarterly record dates and dividend payment dates set forth in the prospectus supplement and Certificate of Designation for the applicable series of preference shares, unless and until further action is taken by the Board of Directors. The dividend payment dates for the preference shares will be the first day of March, June, September and December of each year (or if this date is not a business day, on the business day immediately following this date). The record dates for the preference share dividends are one day prior to the dividend payment dates. The amount of the dividend on the Series C 6.08% Preference Shares is an amount per share equal to 6.08% of the liquidation preference per annum (the equivalent to $1.52 per share per annum, or $0.38 per share per quarter). The amount of

the dividend on the Series E 5.375% Preference Shares is an amount per share equal to 5.375% of the liquidation preference per annum (the equivalent to $1.34375 per share per annum, or $0.3359375 per share per quarter). The amount of the dividend on the 5.750% Series F Preference Shares is an amount per share equal to 5.750% of the liquidation preference per annum (the equivalent to $1,437.50 per 5.750% Series F Preference Share per annum, or $359.375 per 5.750% Series F Preference Share per quarter, or $1.4375 per Depositary Share per annum, or $0.359375 per Depositary Share per quarter).

During the six months ended June 30, 2020, the Company paid $16.3 million in preference share dividends (2019 - $18.4 million) and $33.1 million in common share dividends (2019 - $29.4 million).

Series C 6.08% Preference Shares Redemption

The Series C 6.08% Preference Shares were redeemed on March 26, 2020 for $125.0 million plus accrued and unpaid dividends thereon. Following the redemption, no Series C 6.08% Preference Shares remain outstanding.

Common Shares

On March 22, 2019, in connection with the closing of the acquisition of TMR, the Company issued 1,739,071 of its common shares to Tokio as part of the aggregate consideration payable to Tokio under the TMR Stock Purchase Agreement. See “Note 3. Acquisition of Tokio Millennium Re” in the Company’s “Notes to the Consolidated Financial Statements” included in the Company’s Form 10-K for the year ended December 31, 2019 for additional information related to the acquisition of TMR. On January 9, 2020, Tokio completed a secondary public offering of these common shares, which represented all of Tokio's remaining ownership in the Company. The Company did not receive any proceeds from Tokio’s sale of its common shares.

On June 5, 2020, the Company issued 6,325,000 of its common shares in an underwritten public offering at a public offering price of $166.00 per share. Concurrently with the public offering, the Company raised $75.0 million through the issuance of 451,807 of its common shares at a price of $166.00 per share to State Farm Mutual Automobile Insurance Company, one of the Company’s existing stockholders, in a private placement. The total net proceeds from the offerings were $1.1 billion.

Share Repurchases

The Company’s share repurchase program may be effected from time to time, depending on market conditions and other factors, through open market purchases and privately negotiated transactions. On November 10, 2017, RenaissanceRe’s Board of Directors approved a renewal of its authorized share repurchase program for an aggregate amount of up to $500.0 million. Unless terminated earlier by RenaissanceRe’s Board of Directors, the program will expire when the Company has repurchased the full value of the common shares authorized. The Company’s decision to repurchase common shares will depend on, among other matters, the market price of the common shares and the capital requirements of the Company. During the three months ended March 31, 2020, the Company repurchased 405,682 common shares in open market transactions at an aggregate cost of $62.6 million and an average price of $154.36 per common share. Given the current economic environment and to preserve capital for both risk and opportunity, the Company suspended share repurchases in March 2020. The Company did not engage in any share repurchase activity during the three months ended June 30, 2020. At June 30, 2020, $437.4 million remained available for repurchase under the share repurchase program. In the near term, the Company intends to prioritize capital for deployment into its business; however, we may resume repurchases at any time when we believe it is prudent to do so and without further notice.

NOTE 11. EARNINGS PER SHARE

The following table sets forth the computation of basic and diluted earnings per common share:



	Three months ended						Six months ended
(common shares in thousands)	June 30, 2020		June 30, 2019		June 30, 2020		June 30, 2019
Numerator:
Net income available to RenaissanceRe common shareholders	$	575,845	$	367,854	$	493,871	$	641,571
Amount allocated to participating common shareholders (1)	(7,593)		(4,393)		(6,153)		(7,483)
Net income allocated to RenaissanceRe common shareholders	$	568,252	$	363,461	$	487,718	$	634,088
Denominator:
Denominator for basic income per RenaissanceRe common share - weighted average common shares	44,939		43,483		44,190		42,774
Per common share equivalents of employee stock options and non-vested shares	64		38		63		32
Denominator for diluted income per RenaissanceRe common share - adjusted weighted average common shares and assumed conversions	45,003		43,521		44,253		42,806
Net income available to RenaissanceRe common shareholders per common share – basic	$	12.64	$	8.36	$	11.04	$	14.82
Net income available to RenaissanceRe common shareholders per common share – diluted	$	12.63	$	8.35	$	11.02	$	14.81

(1)Represents earnings and dividends attributable to holders of unvested shares issued pursuant to the Company's stock compensation plans.

NOTE 12. SEGMENT REPORTING

The Company’s reportable segments are defined as follows: (1) Property, which is comprised of catastrophe and other property reinsurance and insurance written on behalf of the Company’s operating subsidiaries and certain joint ventures managed by the Company’s ventures unit, and (2) Casualty and Specialty, which is comprised of casualty and specialty reinsurance and insurance written on behalf of the Company’s operating subsidiaries and certain joint ventures managed by the Company’s ventures unit. In addition to its reportable segments, the Company has an Other category, which primarily includes its strategic investments, investments unit, corporate expenses, capital servicing costs, noncontrolling interests, certain expenses related to acquisitions and the remnants of its former Bermuda-based insurance operations.

The Company’s Property segment is managed by the Chief Underwriting Officer - Property and the Casualty and Specialty segment is managed by the Chief Underwriting Officer - Casualty and Specialty, each of whom operate under the direction of the Company’s Group Chief Underwriting Officer, who in turn reports to the Company’s President and Chief Executive Officer.

The Company does not currently manage its assets by segment; accordingly, net investment income and total assets are not allocated to the segments.

A summary of the significant components of the Company’s revenues and expenses by segment is as follows:



Three months ended June 30, 2020	Property			Casualty and Specialty			Other		Total
Gross premiums written	$	1,042,536		$	659,336		$	—	$	1,701,872
Net premiums written	$	704,138		$	476,665		$	—	$	1,180,803
Net premiums earned	$	491,116		$	518,980		$	—	$	1,010,096
Net claims and claim expenses incurred	164,050			346,266			(44)		510,272
Acquisition expenses	94,772			138,837			1		233,610
Operational expenses	31,656			17,422			(1)		49,077
Underwriting income	$	200,638		$	16,455		$	44	217,137
Net investment income							89,305		89,305
Net foreign exchange losses							(7,195)		(7,195)
Equity in earnings of other ventures							9,041		9,041
Other loss							(1,201)		(1,201)
Net realized and unrealized gains on investments							448,390		448,390

Corporate expenses							(11,898)		(11,898)
Interest expense							(11,842)		(11,842)
Income before taxes									731,737
Income tax expense							(29,875)		(29,875)

Net income attributable to redeemable noncontrolling interests							(118,728)		(118,728)
Dividends on preference shares							(7,289)		(7,289)
Net income available to RenaissanceRe common shareholders									$	575,845

Net claims and claim expenses incurred – current accident year	$	170,614		$	355,064		$	—	$	525,678
Net claims and claim expenses incurred – prior accident years	(6,564)			(8,798)			(44)		(15,406)
Net claims and claim expenses incurred – total	$	164,050		$	346,266		$	(44)	$	510,272

Net claims and claim expense ratio – current accident year	34.7		%	68.4		%			52.0		%
Net claims and claim expense ratio – prior accident years	(1.3)		%	(1.7)		%			(1.5)		%
Net claims and claim expense ratio – calendar year	33.4		%	66.7		%			50.5		%
Underwriting expense ratio	25.7		%	30.1		%			28.0		%
Combined ratio	59.1		%	96.8		%			78.5		%



Six months ended June 30, 2020	Property			Casualty and Specialty			Other		Total
Gross premiums written	$	2,263,062		$	1,464,531		$	—	$	3,727,593
Net premiums written	$	1,378,719		$	1,071,892		$	—	$	2,450,611
Net premiums earned	$	912,451		$	1,010,743		$	—	$	1,923,194
Net claims and claim expenses incurred	308,902			772,475			(151)		1,081,226
Acquisition expenses	180,123			264,090			1		444,214
Operational expenses	75,663			40,876			(1)		116,538
Underwriting income (loss)	$	347,763		$	(66,698)		$	151	281,216
Net investment income							188,778		188,778
Net foreign exchange losses							(12,923)		(12,923)
Equity in earnings of other ventures							13,605		13,605
Other loss							(5,637)		(5,637)
Net realized and unrealized gains on investments							337,683		337,683

Corporate expenses							(27,889)		(27,889)
Interest expense							(26,769)		(26,769)
Income before taxes									748,064
Income tax expense							(21,029)		(21,029)

Net income attributable to redeemable noncontrolling interests							(216,819)		(216,819)
Dividends on preference shares							(16,345)		(16,345)
Net income available to RenaissanceRe common shareholders									$	493,871

Net claims and claim expenses incurred – current accident year	$	301,458		$	781,274		$	—	$	1,082,732
Net claims and claim expenses incurred – prior accident years	7,444			(8,799)			(151)		(1,506)
Net claims and claim expenses incurred – total	$	308,902		$	772,475		$	(151)	$	1,081,226

Net claims and claim expense ratio – current accident year	33.0		%	77.3		%			56.3		%
Net claims and claim expense ratio – prior accident years	0.9		%	(0.9)		%			(0.1)		%
Net claims and claim expense ratio – calendar year	33.9		%	76.4		%			56.2		%
Underwriting expense ratio	28.0		%	30.2		%			29.2		%
Combined ratio	61.9		%	106.6		%			85.4		%



Three months ended June 30, 2019	Property			Casualty and Specialty			Other		Total
Gross premiums written	$	839,200		$	637,708		$	—	$	1,476,908
Net premiums written	$	544,115		$	478,850		$	—	$	1,022,965
Net premiums earned	$	425,013		$	486,489		$	—	$	911,502
Net claims and claim expenses incurred	146,874			306,501			(2)		453,373
Acquisition expenses	89,711			137,963			(192)		227,482
Operational expenses	36,764			23,016			34		59,814
Underwriting income	$	151,664		$	19,009		$	160	170,833
Net investment income							118,588		118,588
Net foreign exchange gains							9,309		9,309
Equity in earnings of other ventures							6,812		6,812
Other income							922		922
Net realized and unrealized gains on investments							191,247		191,247

Corporate expenses							(23,847)		(23,847)
Interest expense							(15,534)		(15,534)
Income before taxes									458,330
Income tax expense							(9,475)		(9,475)

Net income attributable to redeemable noncontrolling interests							(71,812)		(71,812)
Dividends on preference shares							(9,189)		(9,189)
Net income available to RenaissanceRe common shareholders									$	367,854

Net claims and claim expenses incurred – current accident year	$	136,111		$	317,029		$	—	$	453,140
Net claims and claim expenses incurred – prior accident years	10,763			(10,528)			(2)		233
Net claims and claim expenses incurred – total	$	146,874		$	306,501		$	(2)	$	453,373

Net claims and claim expense ratio – current accident year	32.0		%	65.2		%			49.7		%
Net claims and claim expense ratio – prior accident years	2.6		%	(2.2)		%			—		%
Net claims and claim expense ratio – calendar year	34.6		%	63.0		%			49.7		%
Underwriting expense ratio	29.7		%	33.1		%			31.6		%
Combined ratio	64.3		%	96.1		%			81.3		%



Six months ended June 30, 2019	Property			Casualty and Specialty			Other		Total
Gross premiums written	$	1,871,584		$	1,169,619		$	—	$	3,041,203
Net premiums written	$	1,108,345		$	843,651		$	—	$	1,951,996
Net premiums earned	$	715,758		$	745,772		$	—	$	1,461,530
Net claims and claim expenses incurred	202,957			477,434			17		680,408
Acquisition expenses	143,450			208,175			(192)		351,433
Operational expenses	65,308			39,405			34		104,747
Underwriting income	$	304,043		$	20,758		$	141	324,942
Net investment income							200,682		200,682
Net foreign exchange gains							6,463		6,463
Equity in earnings of other ventures							11,473		11,473
Other income							4,093		4,093
Net realized and unrealized gains on investments							361,260		361,260

Corporate expenses							(62,636)		(62,636)
Interest expense							(27,288)		(27,288)
Income before taxes									818,989
Income tax expense							(17,006)		(17,006)
Net income attributable to redeemable noncontrolling interests							(142,034)		(142,034)
Dividends on preference shares							(18,378)		(18,378)
Net income available to RenaissanceRe common shareholders									$	641,571

Net claims and claim expenses incurred – current accident year	$	190,317		$	494,164		$	—	$	684,481
Net claims and claim expenses incurred – prior accident years	12,640			(16,730)			17		(4,073)
Net claims and claim expenses incurred – total	$	202,957		$	477,434		$	17	$	680,408

Net claims and claim expense ratio – current accident year	26.6		%	66.3		%			46.8		%
Net claims and claim expense ratio – prior accident years	1.8		%	(2.3)		%			(0.2)		%
Net claims and claim expense ratio – calendar year	28.4		%	64.0		%			46.6		%
Underwriting expense ratio	29.1		%	33.2		%			31.2		%
Combined ratio	57.5		%	97.2		%			77.8		%

NOTE 13. DERIVATIVE INSTRUMENTS

From time to time, the Company may enter into derivative instruments such as futures, options, swaps, forward contracts and other derivative contracts primarily to manage its foreign currency exposure, obtain exposure to a particular financial market, for yield enhancement, or for trading and to assume risk. The Company’s derivative instruments can be exchange traded or over-the-counter, with over-the-counter derivatives generally traded under International Swaps and Derivatives Association master agreements, which establish the terms of the transactions entered into with the Company’s derivative counterparties. In the event a party becomes insolvent or otherwise defaults on its obligations, a master agreement generally permits the non-defaulting party to accelerate and terminate all outstanding transactions and net the transactions’ marked-to-market values so that a single sum in a single currency will be owed by, or owed to, the non-defaulting party. Effectively, this contractual close-out netting reduces credit exposure from gross to net exposure. Where the Company has entered into master netting agreements with counterparties, or the Company has the legal and contractual right to offset positions, the derivative positions are generally netted by counterparty and are reported accordingly in other assets and other liabilities. Commencing in the second quarter of 2019, the Company elected to adopt hedge accounting for certain of its derivative instruments used as hedges of a net investment in a foreign operation.

The tables below show the gross and net amounts of recognized derivative assets and liabilities at fair value, including the location on the consolidated balance sheets of the Company’s principal derivative instruments:



	Derivative Assets
At June 30, 2020	Gross Amounts of Recognized Assets		Gross Amounts Offset in the Balance Sheet		Net Amounts of Assets Presented in the Balance Sheet		Balance Sheet Location	Collateral		Net Amount
Derivative instruments not designated as hedges
Interest rate futures	$	492	$	(932)	$	1,424	Other assets	$	—	$	1,424

Foreign currency forward contracts (1)	16,104		3,366		12,738		Other assets	—		12,738
Foreign currency forward contracts (2)	209		76		133		Other assets	—		133
Credit default swaps	261		—		261		Other assets	—		261




Total derivative instruments not designated as hedges	17,066		2,510		14,556			—		14,556
Derivative instruments designated as hedges
Foreign currency forward contracts (3)	—		3,953		(3,953)		Other assets	—		(3,953)

Total	$	17,066	$	6,463	$	10,603		$	—	$	10,603



	Derivative Liabilities
At June 30, 2020	Gross Amounts of Recognized Liabilities		Gross Amounts Offset in the Balance Sheet		Net Amounts of Liabilities Presented in the Balance Sheet		Balance Sheet Location	Collateral Pledged		Net Amount
Derivative instruments not designated as hedges
Interest rate futures	$	196	$	(932)	$	1,128	Other liabilities	$	1,128	$	—
Interest rate swaps	37		—		37		Other assets	37		—
Foreign currency forward contracts (1)	2,102		967		1,135		Other liabilities	—		1,135
Foreign currency forward contracts (2)	2,919		76		2,843		Other liabilities	—		2,843
Credit default swaps	—		—		—		Other assets	—		—
Total return swaps	779		—		779		Other assets	779		—
Equity futures	606		—		606		Other liabilities	606		—






Total	$	6,639	$	111	$	6,528		$	2,550	$	3,978

(1)Contracts used to manage foreign currency risks in underwriting and non-investment operations.

(2)Contracts used to manage foreign currency risks in investment operations.

(3)Contracts designated as hedges of a net investment in a foreign operation.



	Derivative Assets
At December 31, 2019	Gross Amounts of Recognized Assets		Gross Amounts Offset in the Balance Sheet		Net Amounts of Assets Presented in the Balance Sheet		Balance Sheet Location	Collateral		Net Amount
Derivative instruments not designated as hedges
Interest rate futures	$	234	$	122	$	112	Other assets	$	—	$	112

Foreign currency forward contracts (1)	22,702		2,418		20,284		Other assets	—		20,284
Foreign currency forward contracts (2)	1,082		622		460		Other assets	—		460
Credit default swaps	37		—		37		Other assets	—		37
Total return swaps	3,744		—		3,744		Other assets	3,601		143
Equity futures	291		—		291		Other assets	—		291


Total derivative instruments not designated as hedges	28,090		3,162		24,928			3,601		21,327
Derivative instruments designated as hedges
Foreign currency forward contracts (3)	64		667		(603)		Other assets	—		(603)

Total	$	28,154	$	3,829	$	24,325		$	3,601	$	20,724



	Derivative Liabilities
At December 31, 2019	Gross Amounts of Recognized Liabilities		Gross Amounts Offset in the Balance Sheet		Net Amounts of Liabilities Presented in the Balance Sheet		Balance Sheet Location	Collateral Pledged		Net Amount
Derivative instruments not designated as hedges
Interest rate futures	$	1,545	$	122	$	1,423	Other liabilities	$	1,423	$	—
Interest rate swaps	50		—		50		Other liabilities	50		—
Foreign currency forward contracts (1)	3,808		28		3,780		Other liabilities	—		3,780
Foreign currency forward contracts (2)	939		622		317		Other liabilities	—		317



Total derivative instruments not designated as hedges	6,342		772		5,570			1,473		4,097
Derivative instruments designated as hedges
Foreign currency forward contracts (3)	1,818		—		1,818		Other liabilities	—		1,818
Total	$	8,160	$	772	$	7,388		$	1,473	$	5,915

(1)Contracts used to manage foreign currency risks in underwriting and non-investment operations.

(2)Contracts used to manage foreign currency risks in investment operations.

(3)Contracts designated as hedges of a net investment in a foreign operation.

See “Note 3. Investments” for information on reverse repurchase agreements.

The location and amount of the gain (loss) recognized in the Company’s consolidated statements of operations related to its principal derivative instruments are shown in the following table:



	Location of gain (loss) recognized on derivatives	Amount of gain (loss) recognized on derivatives
Three months ended June 30,		2020		2019
Derivative instruments not designated as hedges
Interest rate futures	Net realized and unrealized gains on investments	$	2,557	$	22,253
Interest rate swaps	Net realized and unrealized gains on investments	502		835
Foreign currency forward contracts (1)	Net foreign exchange (losses) gains	6,908		(11,616)
Foreign currency forward contracts (2)	Net foreign exchange (losses) gains	(7,613)		590
Credit default swaps	Net realized and unrealized gains on investments	1,974		1,046
Total return swaps	Net realized and unrealized gains on investments	14,151		4,501
Equity futures	Net realized and unrealized gains on investments	5,188		8,538



Total derivative instruments not designated as hedges		23,667		26,147
Derivative instruments designated as hedges
Foreign currency forward contracts (3)	Accumulated other comprehensive loss	(8,694)		844
Total derivative instruments designated as hedges		(8,694)		844
Total		$	14,973	$	26,991



	Location of gain (loss) recognized on derivatives	Amount of gain (loss) recognized on derivatives
Six months ended June 30,		2020		2019
Derivative instruments not designated as hedges
Interest rate futures	Net realized and unrealized gains on investments	$	90,563	$	28,307
Interest rate swaps	Net realized and unrealized gains on investments	2,609		1,184
Foreign currency forward contracts (1)	Net foreign exchange (losses) gains	6,578		(7,174)
Foreign currency forward contracts (2)	Net foreign exchange (losses) gains	(1,213)		(2,281)
Credit default swaps	Net realized and unrealized gains on investments	(2,923)		5,456
Total return swaps	Net realized and unrealized gains on investments	(6,986)		5,035
Equity futures	Net realized and unrealized gains on investments	(25,710)		10,987



Total derivative instruments not designated as hedges		62,918		41,514
Derivative instruments designated as hedges
Foreign currency forward contracts (3)	Accumulated other comprehensive loss	2,150		844
Total derivative instruments designated as hedges		2,150		844
Total		$	65,068	$	42,358

(1)Contracts used to manage foreign currency risks in underwriting and non-investment operations.

(2)Contracts used to manage foreign currency risks in investment operations.

(3)Contracts designated as hedges of a net investment in a foreign operation.

The Company is not aware of the existence of any credit-risk related contingent features that it believes would be triggered in its derivative instruments that are in a net liability position at June 30, 2020.

Derivative Instruments Not Designated as Hedges

Interest Rate Derivatives

The Company uses interest rate futures and swaps within its portfolio of fixed maturity investments to manage its exposure to interest rate risk, which may result in increasing or decreasing its exposure to this risk.

Interest Rate Futures

The fair value of interest rate futures is determined using exchange traded prices. At June 30, 2020, the Company had $2.1 billion of notional long positions and $913.4 million of notional short positions of primarily Eurodollar and U.S. treasury futures contracts (December 31, 2019 - $2.5 billion and $1.0 billion, respectively).

Interest Rate Swaps

The fair value of interest rate swaps is determined using the relevant exchange traded price where available or a discounted cash flow model based on the terms of the contract and inputs, including, where applicable, observable yield curves. At June 30, 2020, the Company had $Nil of notional positions paying a fixed rate and $23.5 million receiving a fixed rate denominated in U.S. dollar swap contracts (December 31, 2019 - $27.9 million and $25.5 million, respectively).

Foreign Currency Derivatives

The Company’s reporting currency is the U.S. dollar. In addition, the functional currency of the Company, and the majority of the Company’s subsidiaries, is the U.S. dollar. However, the Company writes a portion of its business in currencies other than U.S. dollars and may, from time to time, experience foreign exchange gains and losses in the Company’s consolidated financial statements. All changes in exchange rates, with the exception of non-monetary assets and liabilities, are recognized in the Company’s consolidated statements of operations.

Underwriting and Non-investments Operations Related Foreign Currency Contracts

The Company’s foreign currency policy with regard to its underwriting operations is generally to enter into foreign currency forward and option contracts for notional values that approximate the foreign currency liabilities, including claims and claim expense reserves and reinsurance balances payable, net of any cash, investments and receivables held in the respective foreign currency. The Company’s use of foreign currency forward and option contracts is intended to minimize the effect of fluctuating foreign currencies on the value of non-U.S. dollar denominated assets and liabilities associated with its underwriting operations. The fair value of the Company’s underwriting operations related foreign currency contracts is determined using indicative pricing obtained from counterparties or broker quotes. At June 30, 2020, the Company had outstanding underwriting related foreign currency contracts of $464.0 million in notional long positions and $514.0 million in notional short positions, denominated in U.S. dollars (December 31, 2019 - $722.6 million and $1.2 billion, respectively).

Investment Portfolio Related Foreign Currency Forward Contracts

The Company’s investment operations are exposed to currency fluctuations through its investments in non-U.S. dollar fixed maturity investments, short term investments and other investments. From time to time, the Company may employ foreign currency forward contracts in its investment portfolio to either assume foreign currency risk or to economically hedge its exposure to currency fluctuations from these investments. The fair value of the Company’s investment portfolio related foreign currency forward contracts is determined using an interpolated rate based on closing forward market rates. At June 30, 2020, the Company had outstanding investment portfolio related foreign currency contracts of $219.9 million in notional long

positions and $64.2 million in notional short positions, denominated in U.S. dollars (December 31, 2019 - $195.6 million and $61.0 million, respectively).

Credit Derivatives

The Company’s exposure to credit risk is primarily due to its fixed maturity investments, short term investments, premiums receivable and reinsurance recoverable. From time to time, the Company may purchase credit derivatives to hedge its exposures in the insurance industry, and to assist in managing the credit risk associated with ceded reinsurance. The Company also employs credit derivatives in its investment portfolio to either assume credit risk or hedge its credit exposure.

Credit Default Swaps

The fair value of the Company’s credit default swaps is determined using industry valuation models, broker bid indications or internal pricing valuation techniques. The fair value of these credit default swaps can change based on a variety of factors including changes in credit spreads, default rates and recovery rates, the correlation of credit risk between the referenced credit and the counterparty, and market rate inputs such as interest rates. At June 30, 2020, the Company had outstanding credit default swaps of $Nil in notional positions to hedge credit risk and $121.2 million in notional positions to assume credit risk, denominated in U.S. dollars (December 31, 2019 - $0.5 million and $143.4 million, respectively).

Total Return Swaps

The Company uses total return swaps as a means to manage spread duration and credit exposure in its investment portfolio. The fair value of the Company’s total return swaps is determined using broker-dealer bid quotations, market-based prices from pricing vendors or valuation models. At June 30, 2020, the Company had $26.1 million of notional long positions (long credit) and $Nil of notional short positions (short credit), denominated in U.S. dollars (December 31, 2019 - $173.5 million and $Nil, respectively).

Equity Derivatives

Equity Futures

The Company uses equity derivatives in its investment portfolio from time to time to either assume equity risk or hedge its equity exposure. The fair value of the Company’s equity futures is determined using market-based prices from pricing vendors. At June 30, 2020, the Company had $Nil notional long position and $44.0 million notional short position of equity futures, denominated in U.S. dollars (December 31, 2019 - $122.0 million and $Nil, respectively).

Derivative Instruments Designated as Hedges of a Net Investment in a Foreign Operation

Foreign Currency Derivatives

Hedges of a Net Investment in a Foreign Operation

In connection with the acquisition of TMR, the Company acquired certain entities with non-U.S. dollar functional currencies, including RenaissanceRe Europe, Australia Branch, which has an Australian dollar functional currency. The Company has entered into foreign exchange forwards to hedge the Australian dollar net investment in foreign operations, on an after-tax basis, from changes in the exchange rate between the U.S. dollar and the Australian dollar.

The Company utilizes foreign exchange forward contracts to hedge the fair value of its net investment in a foreign operation. During 2020 and 2019, the Company entered into foreign exchange forward contracts that were formally designated as hedges of its investment in RenaissanceRe Europe, Australia Branch. There was no ineffectiveness in these transactions.

The table below provides a summary of derivative instruments designated as hedges of a net investment in a foreign operation, including the weighted average U.S. dollar equivalent of foreign denominated net assets that were hedged and the resulting derivative gain that was recorded in foreign currency translation adjustments, net of tax, within accumulated other comprehensive loss on the Company’s consolidated statements of changes in shareholders’ equity:



	Three months ended						Six months ended
	June 30, 2020		June 30, 2019		June 30, 2020		June 30, 2019
Weighted average of U.S. dollar equivalent of foreign denominated net assets	$	74,451	$	80,037	$	77,683	$	80,037
Derivative (losses) gains (1)	$	(8,694)	$	844	$	2,150	$	844

(1) Derivative (losses) gains from derivative instruments designated as hedges of the net investment in a foreign operation are recorded in foreign currency translation adjustments, net of tax, within accumulated other comprehensive loss on the Company’s consolidated statements of changes in shareholders’ equity.

NOTE 14. COMMITMENTS, CONTINGENCIES AND OTHER ITEMS

There are no material changes from the commitments, contingencies and other items previously disclosed in the Company’s Form 10-K for the year ended December 31, 2019.

Legal Proceedings

The Company and its subsidiaries are subject to lawsuits and regulatory actions in the normal course of business that do not arise from or directly relate to claims on reinsurance treaties or contracts or direct surplus lines insurance policies. In the Company’s industry, business litigation may involve allegations of underwriting or claims-handling errors or misconduct, disputes relating to the scope of, or compliance with, the terms of delegated underwriting agreements, employment claims, regulatory actions or disputes arising from the Company’s business ventures. The Company’s operating subsidiaries are subject to claims litigation involving, among other things, disputed interpretations of policy coverages. Generally, the Company’s direct surplus lines insurance operations are subject to greater frequency and diversity of claims and claims-related litigation than its reinsurance operations and, in some jurisdictions, may be subject to direct actions by allegedly injured persons or entities seeking damages from policyholders. These lawsuits, involving or arising out of claims on policies issued by the Company’s subsidiaries which are typical to the insurance industry in general and in the normal course of business, are considered in its loss and loss expense reserves. In addition, the Company may from time to time engage in litigation or arbitration related to its claims for payment in respect of ceded reinsurance, including disputes that challenge the Company’s ability to enforce its underwriting intent. Such matters could result, directly or indirectly, in providers of protection not meeting their obligations to the Company or not doing so on a timely basis. The Company may also be subject to other disputes from time to time, relating to operational or other matters distinct from insurance or reinsurance claims. Any litigation or arbitration, or regulatory process contains an element of uncertainty, and the value of an exposure or a gain contingency related to a dispute is difficult to estimate. The Company believes that no individual litigation or arbitration to which it is presently a party is likely to have a material adverse effect on its financial condition, business or operations.

NOTE 15. ASSETS AND LIABILITIES HELD FOR SALE

On February 4, 2020, RenaissanceRe Specialty Holdings entered into an agreement to sell its wholly owned subsidiary, RenaissanceRe UK, a U.K. run-off company, to an investment vehicle managed by AXA Liabilities Managers, an affiliate of AXA XL. The sale received regulatory approval on July 17, 2020 and is expected to close in the third quarter of 2020. The estimated purchase price was calculated based on preliminary book value. The ultimate purchase price will be determined following receipt of regulatory approval, based on the closing book value. The Company classified the assets and liabilities of RenaissanceRe UK as held for sale. The financial results of RenaissanceRe UK are recorded in the Company’s consolidated statements of operations as part of net income (loss) available (attributable) to RenaissanceRe common shareholders for the three and six months ended June 30, 2020. The underwriting activities of RenaissanceRe UK are principally all within the Company’s Casualty and Specialty segment.

The carrying value of the major classes of assets and liabilities held for sale at June 30, 2020 and December 31, 2019 are as follows:



	June 30, 2020		December 31, 2019
Assets of RenaissanceRe UK held for sale






Total investments	$	316,401	$	458,731







Other assets	22,527		40,284


Total assets held for sale	$	338,928	$	499,015

Liabilities of RenaissanceRe UK held for sale
Reserve for claims and claim expenses	$	158,826	$	199,436




Other liabilities	3,054		925

Total liabilities held for sale	$	161,880	$	200,361

NOTE 16. CONDENSED CONSOLIDATING FINANCIAL INFORMATION PROVIDED IN CONNECTION WITH OUTSTANDING DEBT OF SUBSIDIARIES

The following tables are provided in connection with outstanding debt of the Company’s subsidiaries and present condensed consolidating balance sheets at June 30, 2020 and December 31, 2019, condensed consolidating statements of operations and condensed consolidating statements of comprehensive income for the three and six months ended June 30, 2020 and 2019, and condensed consolidating statements of cash flows for the six months ended June 30, 2020 and 2019. RenaissanceRe Finance Inc. is a 100% owned subsidiary of RenaissanceRe and has outstanding debt securities. For additional information related to the terms of the Company’s outstanding debt securities, see “Note 8. Debt and Credit Facilities” in the “Notes to the Consolidated Financial Statements” in the Company’s Form 10-K for the year ended December 31, 2019 and “Note 7. Debt and Credit Facilities” in the “Notes to the Consolidated Financial Statements” included herein.


Condensed Consolidating Balance Sheet at June 30, 2020	RenaissanceRe Holdings Ltd. (Parent Guarantor)		RenaissanceRe Finance Inc. (Subsidiary Issuer)		Other RenaissanceRe Holdings Ltd. Subsidiaries and Eliminations (Non-guarantor Subsidiaries) (1)		Consolidating Adjustments (2)		RenaissanceRe Consolidated
Assets
Total investments	$	312,238	$	122,960	$	19,288,451	$	—	$	19,723,649
Cash and cash equivalents	5,466		8,374		1,172,004		—		1,185,844
Investments in subsidiaries	6,355,699		1,384,968		718,374		(8,459,041)		—
Due from subsidiaries and affiliates	117,917		(131,162)		13,000		245		—
Premiums receivable	—		—		3,519,965		—		3,519,965
Prepaid reinsurance premiums	—		—		1,266,203		—		1,266,203
Reinsurance recoverable	—		—		2,774,358		—		2,774,358
Accrued investment income	366		—		69,638		—		70,004
Deferred acquisition costs	—		—		734,286		—		734,286
Receivable for investments sold	2,522		2,505		643,431		—		648,458
Other assets	848,856		8,447		394,545		(953,452)		298,396
Goodwill and other intangible assets	114,161		—		144,430		—		258,591

Total assets	$	7,757,225	$	1,396,092	$	30,738,685	$	(9,412,248)	$	30,479,754
Liabilities, Noncontrolling Interests and Shareholders’ Equity
Liabilities
Reserve for claims and claim expenses	$	—	$	—	$	9,365,469	$	—	$	9,365,469
Unearned premiums	—		—		3,549,641		—		3,549,641
Debt	391,932		720,754		972,283		(949,753)		1,135,216

Reinsurance balances payable	—		—		4,094,027		—		4,094,027
Payable for investments purchased	2,505		—		1,256,611		—		1,259,116
Other liabilities	15,616		8,262		2,554,907		(2,236,771)		342,014

Total liabilities	410,053		729,016		21,792,938		(3,186,524)		19,745,483
Redeemable noncontrolling interests	—		—		3,387,099		—		3,387,099
Shareholders’ Equity
Total shareholders’ equity	7,347,172		667,076		5,558,648		(6,225,724)		7,347,172
Total liabilities, noncontrolling interests and shareholders’ equity	$	7,757,225	$	1,396,092	$	30,738,685	$	(9,412,248)	$	30,479,754

(1)Includes all other subsidiaries of RenaissanceRe Holdings Ltd. and eliminations.

(2)Includes Parent Guarantor and Subsidiary Issuer consolidating adjustments.


Condensed Consolidating Balance Sheet at December 31, 2019	RenaissanceRe Holdings Ltd. (Parent Guarantor)		RenaissanceRe Finance Inc. (Subsidiary Issuer)		Other RenaissanceRe Holdings Ltd. Subsidiaries and Eliminations (Non-guarantor Subsidiaries) (1)		Consolidating Adjustments (2)		RenaissanceRe Consolidated
Assets
Total investments	$	190,451	$	288,137	$	16,890,201	$	—	$	17,368,789
Cash and cash equivalents	26,460		8,731		1,343,877		—		1,379,068
Investments in subsidiaries	5,204,260		1,426,838		48,247		(6,679,345)		—
Due from subsidiaries and affiliates	10,725		—		101,579		(112,304)		—
Premiums receivable	—		—		2,599,896		—		2,599,896
Prepaid reinsurance premiums	—		—		767,781		—		767,781
Reinsurance recoverable	—		—		2,791,297		—		2,791,297
Accrued investment income	—		1,171		71,290		—		72,461
Deferred acquisition costs	—		—		663,991		—		663,991
Receivable for investments sold	173		—		78,196		—		78,369
Other assets	847,406		12,211		312,556		(825,957)		346,216
Goodwill and other intangible assets	116,212		—		146,014		—		262,226

Total assets	$	6,395,687	$	1,737,088	$	25,814,925	$	(7,617,606)	$	26,330,094
Liabilities, Noncontrolling Interest and Shareholders’ Equity
Liabilities
Reserve for claims and claim expenses	$	—	$	—	$	9,384,349	$	—	$	9,384,349
Unearned premiums	—		—		2,530,975		—		2,530,975
Debt	391,475		970,255		148,349		(125,974)		1,384,105
Amounts due to subsidiaries and affiliates	6,708		102,493		51		(109,252)		—
Reinsurance balances payable	—		—		2,830,691		—		2,830,691
Payable for investments purchased	—		—		225,275		—		225,275
Other liabilities	26,137		14,162		899,960		(8,235)		932,024

Total liabilities	424,320		1,086,910		16,019,650		(243,461)		17,287,419
Redeemable noncontrolling interests	—		—		3,071,308		—		3,071,308
Shareholders’ Equity
Total shareholders’ equity	5,971,367		650,178		6,723,967		(7,374,145)		5,971,367
Total liabilities, redeemable noncontrolling interest and shareholders’ equity	$	6,395,687	$	1,737,088	$	25,814,925	$	(7,617,606)	$	26,330,094

(1)Includes all other subsidiaries of RenaissanceRe Holdings Ltd. and eliminations.

(2)Includes Parent Guarantor and Subsidiary Issuer consolidating adjustments.


Condensed Consolidating Statement of Operations for the three months ended June 30, 2020	RenaissanceRe Holdings Ltd. (Parent Guarantor)		RenaissanceRe Finance Inc. (Subsidiary Issuer)		Other RenaissanceRe Holdings Ltd. Subsidiaries and Eliminations (Non-guarantor Subsidiaries) (1)		Consolidating Adjustments (2)		RenaissanceRe Consolidated
Revenues
Net premiums earned	$	—	$	—	$	1,010,096	$	—	$	1,010,096
Net investment income	10,415		110		89,488		(10,708)		89,305
Net foreign exchange gains (losses)	6,695		—		(13,218)		(672)		(7,195)
Equity in earnings of other ventures	—		787		8,254		—		9,041
Other (loss) income	(372)		—		12,392		(13,221)		(1,201)
Net realized and unrealized gains on investments	15,035		53		433,302		—		448,390

Total revenues	31,773		950		1,540,314		(24,601)		1,548,436
Expenses
Net claims and claim expenses incurred	—		—		510,272		—		510,272
Acquisition expenses	2,051		—		231,559		—		233,610
Operational expenses	2,390		13,966		46,278		(13,557)		49,077
Corporate expenses	8,534		—		3,364		—		11,898
Interest expense	4,096		6,906		11,525		(10,685)		11,842
Total expenses	17,071		20,872		802,998		(24,242)		816,699
Income (loss) before equity in net income (loss) of subsidiaries and taxes	14,702		(19,922)		737,316		(359)		731,737
Equity in net income (loss) of subsidiaries	567,028		93,652		(7,388)		(653,292)		—
Income before taxes	581,730		73,730		729,928		(653,651)		731,737
Income tax benefit (expense)	1,404		1,338		(32,617)		—		(29,875)


Net income	583,134		75,068		697,311		(653,651)		701,862
Net income attributable to redeemable noncontrolling interests	—		—		(118,728)		—		(118,728)
Net income attributable to RenaissanceRe	583,134		75,068		578,583		(653,651)		583,134
Dividends on preference shares	(7,289)		—		—		—		(7,289)
Net income available attributable to RenaissanceRe common shareholders	$	575,845	$	75,068	$	578,583	$	(653,651)	$	575,845

(1)Includes all other subsidiaries of RenaissanceRe Holdings Ltd. and eliminations.

(2)Includes Parent Guarantor and Subsidiary Issuer consolidating adjustments.


Condensed Consolidating Statement of Comprehensive Income for the three months ended June 30, 2020	RenaissanceRe Holdings Ltd. (Parent Guarantor)		RenaissanceRe Finance, Inc. (Subsidiary Issuer)		Other RenaissanceRe Holdings Ltd. Subsidiaries and Eliminations (Non-guarantor Subsidiaries) (1)		Consolidating Adjustments (2)		RenaissanceRe Consolidated
Comprehensive income
Net income	$	583,134	$	75,068	$	697,311	$	(653,651)	$	701,862
Change in net unrealized (losses) gains on investments, net of tax	(1,488)		6,934		7,088		(14,022)		(1,488)
Foreign currency translation adjustments, net of tax	86		—		—		—		86

Comprehensive income	581,732		82,002		704,399		(667,673)		700,460
Net income attributable to redeemable noncontrolling interests	—		—		(118,728)		—		(118,728)

Comprehensive income attributable to redeemable noncontrolling interests	—		—		(118,728)		—		(118,728)
Comprehensive income attributable to RenaissanceRe	$	581,732	$	82,002	$	585,671	$	(667,673)	$	581,732

(1)Includes all other subsidiaries of RenaissanceRe Holdings Ltd. and eliminations.

(2)Includes Parent Guarantor and Subsidiary Issuer consolidating adjustments.


Condensed Consolidating Statement of Operations for the six months ended June 30, 2020	RenaissanceRe Holdings Ltd. (Parent Guarantor)		RenaissanceRe Finance Inc. (Subsidiary Issuer)		Other RenaissanceRe Holdings Ltd. Subsidiaries and Eliminations (Non-guarantor Subsidiaries) (1)		Consolidating Adjustments (2)		RenaissanceRe Consolidated
Revenues
Net premiums earned	$	—	$	—	$	1,923,194	$	—	$	1,923,194
Net investment income	20,903		993		188,030		(21,148)		188,778
Net foreign exchange losses	(635)		—		(11,616)		(672)		(12,923)
Equity in earnings of other ventures	—		1,176		12,429		—		13,605
Other income (loss)	—		—		23,465		(29,102)		(5,637)
Net realized and unrealized (losses) gains on investments	(6,083)		169		343,597		—		337,683

Total revenues	14,185		2,338		2,479,099		(50,922)		2,444,700
Expenses
Net claims and claim expenses incurred	—		—		1,081,226		—		1,081,226
Acquisition expenses	2,051		—		442,163		—		444,214
Operational expenses	5,122		31,284		109,197		(29,065)		116,538
Corporate expenses	17,213		—		10,676		—		27,889
Interest expense	7,924		16,875		23,042		(21,072)		26,769
Total expenses	32,310		48,159		1,666,304		(50,137)		1,696,636
(Loss) income before equity in net income of subsidiaries and taxes	(18,125)		(45,821)		812,795		(785)		748,064
Equity in net income of subsidiaries	527,355		59,983		9,251		(596,589)		—
Income before taxes	509,230		14,162		822,046		(597,374)		748,064
Income tax benefit (expense)	986		3,524		(25,539)		—		(21,029)


Net income	510,216		17,686		796,507		(597,374)		727,035
Net income attributable to redeemable noncontrolling interests	—		—		(216,819)		—		(216,819)
Net income attributable to RenaissanceRe	510,216		17,686		579,688		(597,374)		510,216
Dividends on preference shares	(16,345)		—		—		—		(16,345)
Net income available to RenaissanceRe common shareholders	$	493,871	$	17,686	$	579,688	$	(597,374)	$	493,871

(1)Includes all other subsidiaries of RenaissanceRe Holdings Ltd. and eliminations.

(2)Includes Parent Guarantor and Subsidiary Issuer consolidating adjustments.


Condensed Consolidating Statement of Comprehensive Income for the six months ended June 30, 2020	RenaissanceRe Holdings Ltd. (Parent Guarantor)		RenaissanceRe Finance Inc. (Subsidiary Issuer)		Other RenaissanceRe Holdings Ltd. Subsidiaries and Eliminations (Non-guarantor Subsidiaries) (1)		Consolidating Adjustments (2)		RenaissanceRe Consolidated
Comprehensive income
Net income	$	510,216	$	17,686	$	796,507	$	(597,374)	$	727,035
Change in net unrealized (losses) gains on investments, net of tax	(2,145)		7,679		(7,474)		(205)		(2,145)
Foreign currency translation adjustments, net of tax	1,018		—				—		1,018

Comprehensive income	509,089		25,365		789,033		(597,579)		725,908
Net income attributable to redeemable noncontrolling interests	—		—		(216,819)		—		(216,819)

Comprehensive income attributable to noncontrolling interests	—		—		(216,819)		—		(216,819)
Comprehensive income attributable to RenaissanceRe	$	509,089	$	25,365	$	572,214	$	(597,579)	$	509,089

(1)Includes all other subsidiaries of RenaissanceRe Holdings Ltd. and eliminations.

(2)Includes Parent Guarantor and Subsidiary Issuer consolidating adjustments.


Condensed Consolidating Statement of Operations for the three months ended June 30, 2019	RenaissanceRe Holdings Ltd. (Parent Guarantor)		RenaissanceRe Finance Inc. (Subsidiary Issuer)		Other RenaissanceRe Holdings Ltd. Subsidiaries and Eliminations (Non-guarantor Subsidiaries) (1)		Consolidating Adjustments (2)		RenaissanceRe Consolidated
Revenues
Net premiums earned	$	—	$	—	$	911,502	$	—	$	911,502
Net investment income	10,676		2,017		118,244		(12,349)		118,588
Net foreign exchange (losses) gains	(6,059)		—		15,368		—		9,309
Equity in earnings of other ventures	—		652		6,160		—		6,812
Other income	—		—		922		—		922
Net realized and unrealized gains on investments	4,516		102		186,629		—		191,247

Total revenues	9,133		2,771		1,238,825		(12,349)		1,238,380
Expenses
Net claims and claim expenses incurred	—		—		453,373		—		453,373
Acquisition expenses	—		—		227,482		—		227,482
Operational expenses	2,135		8,607		21,206		27,866		59,814
Corporate expenses	3,842		9		18,084		1,912		23,847
Interest expense	5,693		9,254		587		—		15,534
Total expenses	11,670		17,870		720,732		29,778		780,050
(Loss) income before equity in net income of subsidiaries and taxes	(2,537)		(15,099)		518,093		(42,127)		458,330
Equity in net income of subsidiaries	378,726		28,655		1,717		(409,098)		—
Income before taxes	376,189		13,556		519,810		(451,225)		458,330
Income tax benefit (expense)	854		1,732		(12,061)		—		(9,475)


Net income	377,043		15,288		507,749		(451,225)		448,855
Net income attributable to redeemable noncontrolling interests	—		—		(71,812)		—		(71,812)
Net income attributable to RenaissanceRe	377,043		15,288		435,937		(451,225)		377,043
Dividends on preference shares	(9,189)		—		—		—		(9,189)
Net income available to RenaissanceRe common shareholders	$	367,854	$	15,288	$	435,937	$	(451,225)	$	367,854

(1)Includes all other subsidiaries of RenaissanceRe Holdings Ltd. and eliminations.

(2) Includes Parent Guarantor and Subsidiary Issuer consolidating adjustments.


Condensed Consolidating Statement of Comprehensive Income for the three months ended June 30, 2019	RenaissanceRe Holdings Ltd. (Parent Guarantor)		RenaissanceRe Finance Inc. (Subsidiary Issuer)		Other RenaissanceRe Holdings Ltd. Subsidiaries and Eliminations (Non-guarantor Subsidiaries) (1)		Consolidating Adjustments (2)		RenaissanceRe Consolidated
Comprehensive income
Net income	$	377,043	$	15,288	$	507,749	$	(451,225)	$	448,855
Change in net unrealized losses on investments, net of tax	—		—		1,309		—		1,309
Foreign currency translation adjustments, net of tax	—		—		(3,708)		—		(3,708)

Comprehensive income	377,043		15,288		505,350		(451,225)		446,456
Net income attributable to redeemable noncontrolling interests	—		—		(71,812)		—		(71,812)

Comprehensive income attributable to redeemable noncontrolling interests	—		—		(71,812)		—		(71,812)
Comprehensive income attributable to RenaissanceRe	$	377,043	$	15,288	$	433,538	$	(451,225)	$	374,644

(1)Includes all other subsidiaries of RenaissanceRe Holdings Ltd. and eliminations.

(2) Includes Parent Guarantor and Subsidiary Issuer consolidating adjustments.


Condensed Consolidating Statement of Operations for the six months ended June 30, 2019	RenaissanceRe Holdings Ltd. (Parent Guarantor)		RenaissanceRe Finance Inc. (Subsidiary Issuer)		Other RenaissanceRe Holdings Ltd. Subsidiaries and Eliminations (Non-guarantor Subsidiaries) (1)		Consolidating Adjustments (2)		RenaissanceRe Consolidated
Revenues
Net premiums earned	$	—	$	—	$	1,461,530	$	—	$	1,461,530
Net investment income	18,953		4,077		198,803		(21,151)		200,682
Net foreign exchange (losses) gains	(6,060)		—		12,523		—		6,463
Equity in earnings of other ventures	—		1,617		9,856		—		11,473
Other income	—		—		4,093		—		4,093
Net realized and unrealized gains on investments	5,518		211		355,531		—		361,260

Total revenues	18,411		5,905		2,042,336		(21,151)		2,045,501
Expenses
Net claims and claim expenses incurred	—		—		680,408		—		680,408
Acquisition expenses	—		—		351,433		—		351,433
Operational expenses	2,604		20,940		63,826		17,377		104,747
Corporate expenses	42,670		9		16,162		3,795		62,636
Interest expense	7,576		18,506		1,206		—		27,288
Total expenses	52,850		39,455		1,113,035		21,172		1,226,512
(Loss) income before equity in net income of subsidiaries and taxes	(34,439)		(33,550)		929,301		(42,323)		818,989
Equity in net income of subsidiaries	693,613		62,187		2,545		(758,345)		—
Income before taxes	659,174		28,637		931,846		(800,668)		818,989
Income tax benefit (expense)	775		3,394		(21,175)		—		(17,006)


Net income	659,949		32,031		910,671		(800,668)		801,983
Net income attributable to redeemable noncontrolling interests	—		—		(142,034)		—		(142,034)
Net income attributable to RenaissanceRe	659,949		32,031		768,637		(800,668)		659,949
Dividends on preference shares	(18,378)		—		—		—		(18,378)
Net income available to RenaissanceRe common shareholders	$	641,571	$	32,031	$	768,637	$	(800,668)	$	641,571

(1)Includes all other subsidiaries of RenaissanceRe Holdings Ltd. and eliminations.

(2) Includes Parent Guarantor and Subsidiary Issuer consolidating adjustments.


Condensed Consolidating Statement of Comprehensive Income for the six months ended June 30, 2019	RenaissanceRe Holdings Ltd. (Parent Guarantor)		RenaissanceRe Finance Inc. (Subsidiary Issuer)		Other RenaissanceRe Holdings Ltd. Subsidiaries and Eliminations (Non-guarantor Subsidiaries) (1)		Consolidating Adjustments (2)		RenaissanceRe Consolidated
Comprehensive income
Net income	$	659,949	$	32,031	$	910,671	$	(800,668)	$	801,983
Change in net unrealized losses on investments	—		—		1,272		—		1,272
Foreign currency translation adjustments, net of tax	—		—		(3,708)		—		(3,708)

Comprehensive income	659,949		32,031		908,235		(800,668)		799,547
Net income attributable to redeemable noncontrolling interests	—		—		(142,034)		—		(142,034)

Comprehensive income attributable to noncontrolling interests	—		—		(142,034)		—		(142,034)
Comprehensive income attributable to RenaissanceRe	$	659,949	$	32,031	$	766,201	$	(800,668)	$	657,513

(1)Includes all other subsidiaries of RenaissanceRe Holdings Ltd. and eliminations.

(2)Includes Parent Guarantor and Subsidiary Issuer consolidating adjustments.


Condensed Consolidating Statement of Cash Flows for the six months ended June 30, 2020	RenaissanceRe Holdings Ltd. (Parent Guarantor)		RenaissanceRe Finance Inc. (Subsidiary Issuer)		Other RenaissanceRe Holdings Ltd. Subsidiaries and Eliminations (Non-guarantor Subsidiaries) (1)		RenaissanceRe Consolidated
Cash flows provided by (used in) operating activities
Net cash provided by (used in) operating activities	$	8,180	$	(41,978)	$	890,763	$	856,965
Cash flows (used in) provided by investing activities
Proceeds from sales and maturities of fixed maturity investments trading	52,093		30,793		8,257,465		8,340,351
Purchases of fixed maturity investments trading	(220,197)		(30,725)		(8,698,532)		(8,949,454)


Net purchases of equity investments trading	—		—		(45,008)		(45,008)
Net sales (purchases) of short term investments	47,098		161,823		(1,199,525)		(990,604)
Net purchases of other investments	—		—		(90,010)		(90,010)
Net purchases of investments in other ventures	—		—		(1,994)		(1,994)
Return of investment from investments in other ventures	—		—		9,157		9,157

Dividends and return of capital from subsidiaries	499,704		101,061		(600,765)		—
Contributions to subsidiaries	(1,139,323)

Form: 10-Q

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