April 29, 2021 - 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 March 31, 2021

☐ 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 April 23, 2021 was 49,637,716.

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	51
ITEM 3.	QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK	78
ITEM 4.	CONTROLS AND PROCEDURES	78

PART II
ITEM 1.	LEGAL PROCEEDINGS	79
ITEM 1A.	RISK FACTORS	79
ITEM 2.	UNREGISTERED SALES OF EQUITY SECURITIES AND USE OF PROCEEDS	79
ITEM 3.	DEFAULTS UPON SENIOR SECURITIES	79
ITEM 4.	MINE SAFETY DISCLOSURES	79
ITEM 5.	OTHER INFORMATION	80
ITEM 6.	EXHIBITS	81

SIGNATURES - RENAISSANCERE HOLDINGS LTD.		82

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 and future impact of the COVID-19 pandemic, including measures taken in response thereto and the effect of legislative, regulatory and judicial influences on our financial performance and our ability to conduct our business;

•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 and financial market volatility;

•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 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 serving 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, 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 Mar ch 31, 2021 (unaudited) and December 31, 2 02 0			7
Consolidated Statements of Operations for the three months ended March 31, 2021 and 2 02 0			8
Consolidated Statements of Comprehensive Loss for the three months ended March 31 , 20 21 and 2 02 0			9
Consolidated Statements of Changes in Shareholders’ Equity for the three months ended March 31 , 202 1 and 2 02 0			10
Consolidated Statements of Cash Flows for the three months ended March 31 , 202 1 and 2 02 0			11
Notes to the Consolidated Financial Statements			12
Note 1. Organization			12
Note 2. Significant Accounting Policies			13
Note 3. Investments			14
Note 4. Fair Value Measurements			17
Note 5. Reinsurance			27
Note 6. Reserve for Claims and Claim Expenses			28
Note 7. Debt and Credit Facilities			33
Note 8. Noncontrolling Interests			33
Note 9. Variable Interest Entities			36
Note 10. Shareholders’ Equity			39
Note 11. Earnings per Share			40
Note 12. Segment Reporting			41
Note 13. Derivative Instruments			43
Note 14. Commitments and Contingencies and Other Items			48
Note 1 5 . Subsequent Events			50

RenaissanceRe Holdings Ltd. and Subsidiaries

Consolidated Balance Sheets

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


	March 31, 2021		December 31, 2020
Assets	(Unaudited)		(Audited)
Fixed maturity investments trading, at fair value – amortized cost $13,258,985 at March 31, 2021 (December 31, 2020 – $13,155,035)	$	13,309,234	$	13,506,503

Short term investments, at fair value	5,091,143		4,993,735
Equity investments trading, at fair value	503,137		702,617
Other investments, at fair value	1,379,056		1,256,948
Investments in other ventures, under equity method	91,362		98,373
Total investments	20,373,932		20,558,176
Cash and cash equivalents	1,286,661		1,736,813
Premiums receivable	3,928,122		2,894,631
Prepaid reinsurance premiums	1,229,716		823,582
Reinsurance recoverable	3,160,667		2,926,010
Accrued investment income	62,573		66,743
Deferred acquisition costs and value of business acquired	786,941		633,521
Receivable for investments sold	841,156		568,293
Other assets	318,249		363,170
Goodwill and other intangible assets	248,080		249,641

Total assets	$	32,236,097	$	30,820,580
Liabilities, Noncontrolling Interests and Shareholders’ Equity
Liabilities
Reserve for claims and claim expenses	$	10,953,383	$	10,381,138
Unearned premiums	3,833,155		2,763,599
Debt	1,136,783		1,136,265
Reinsurance balances payable	4,254,645		3,488,352
Payable for investments purchased	1,133,787		1,132,538
Other liabilities	436,437		970,121

Total liabilities	21,748,190		19,872,013
Commitments and Contingencies
Redeemable noncontrolling interests	3,409,570		3,388,319
Shareholders’ Equity
Preference shares: $1.00 par value – 11,010,000 shares issued and outstanding at March 31, 2021 (December 31, 2020 – 11,010,000)	525,000		525,000
Common shares: $1.00 par value – 49,969,717 shares issued and outstanding at March 31, 2021 (December 31, 2020 – 50,810,618)	49,970		50,811
Additional paid-in capital	1,450,627		1,623,206
Accumulated other comprehensive loss	(12,382)		(12,642)
Retained earnings	5,065,122		5,373,873
Total shareholders’ equity attributable to RenaissanceRe	7,078,337		7,560,248


Total liabilities, noncontrolling interests and shareholders’ equity	$	32,236,097	$	30,820,580

See accompanying notes to the consolidated financial statements

RenaissanceRe Holdings Ltd. and Subsidiaries

Consolidated Statements of Operations

For the three months ended March 31, 2021 and 2020

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


	Three months ended
		March 31, 2021		March 31, 2020
Revenues
Gross premiums written		$	2,652,442	$	2,025,721
Net premiums written		$	1,824,083	$	1,269,808
Increase in unearned premiums		(670,247)		(356,710)
Net premiums earned		1,153,836		913,098
Net investment income		79,804		99,473
Net foreign exchange losses		(22,788)		(5,728)
Equity in (losses) earnings of other ventures		(5,558)		4,564
Other income (loss)		2,171		(4,436)
Net realized and unrealized losses on investments		(345,563)		(110,707)



Total revenues		861,902		896,264
Expenses
Net claims and claim expenses incurred		867,051		570,954
Acquisition expenses		267,234		210,604
Operational expenses		55,311		67,461
Corporate expenses		10,405		15,991
Interest expense		11,912		14,927
Total expenses		1,211,913		879,937
(Loss) income before taxes		(350,011)		16,327
Income tax benefit		19,516		8,846


Net (loss) income		(330,495)		25,173
Net loss (income) attributable to redeemable noncontrolling interests		46,850		(98,091)
Net loss attributable to RenaissanceRe		(283,645)		(72,918)
Dividends on preference shares		(7,289)		(9,056)
Net loss attributable to RenaissanceRe common shareholders		$	(290,934)	$	(81,974)


Net loss attributable to RenaissanceRe common shareholders per common share – basic		$	(5.87)	$	(1.89)


Net loss attributable to RenaissanceRe common shareholders per common share – diluted		$	(5.87)	$	(1.89)
Dividends per common share		$	0.36	$	0.35

See accompanying notes to the consolidated financial statements

RenaissanceRe Holdings Ltd. and Subsidiaries

Consolidated Statements of Comprehensive Loss

For the three months ended March 31, 2021 and 2020

(in thousands of United States Dollars) (Unaudited)


	Three months ended
		March 31, 2021		March 31, 2020
Comprehensive loss
Net (loss) income		$	(330,495)	$	25,173
Change in net unrealized losses on investments, net of tax		(1,811)		(657)
Foreign currency translation adjustments, net of tax		2,071		932

Comprehensive (loss) income		(330,235)		25,448
Net loss (income) attributable to redeemable noncontrolling interests		46,850		(98,091)

Comprehensive loss (income) attributable to redeemable noncontrolling interests		46,850		(98,091)
Comprehensive loss attributable to RenaissanceRe		$	(283,385)	$	(72,643)

See accompanying notes to the consolidated financial statements

RenaissanceRe Holdings Ltd. and Subsidiaries

Consolidated Statements of Changes in Shareholders’ Equity

For the three months ended March 31, 2021 and 2020

(in thousands of United States Dollars) (Unaudited)


	Three months ended
		March 31, 2021		March 31, 2020
Preference shares
Beginning balance		$	525,000	$	650,000

Repurchase of shares		—		(125,000)
Ending balance		525,000		525,000
Common shares
Beginning balance		50,811		44,148

Repurchase of shares		(1,076)		(406)
Issuance of restricted stock awards		235		292
Ending balance		49,970		44,034
Additional paid-in capital
Beginning balance		1,623,206		568,277

Repurchase of shares		(170,569)		(62,215)

Change in redeemable noncontrolling interests		(1,865)		(349)
Issuance of restricted stock awards		(145)		(3,105)
Ending balance		1,450,627		502,608
Accumulated other comprehensive loss
Beginning balance		(12,642)		(1,939)
Change in net unrealized losses on investments, net of tax		(1,811)		(657)
Foreign currency translation adjustments, net of tax		2,071		932

Ending balance		(12,382)		(1,664)
Retained earnings
Beginning balance		5,373,873		4,710,881

Net (loss) income		(330,495)		25,173
Net loss (income) attributable to redeemable noncontrolling interests		46,850		(98,091)

Dividends on common shares		(17,817)		(15,359)
Dividends on preference shares		(7,289)		(9,056)
Ending balance		5,065,122		4,613,548

Total shareholders’ equity		$	7,078,337	$	5,683,526

See accompanying notes to the consolidated financial statements

RenaissanceRe Holdings Ltd. and Subsidiaries

Consolidated Statements of Cash Flows

For the three months ended March 31, 2021 and 2020

(in thousands of United States Dollars) (Unaudited)


	Three months ended
	March 31, 2021		March 31, 2020
Cash flows provided by operating activities
Net (loss) income	$	(330,495)	$	25,173
Adjustments to reconcile net income to net cash provided by operating activities
Amortization, accretion and depreciation	1,747		(4,405)
Equity in undistributed earnings of other ventures	17,891		7,398
Net realized and unrealized losses on investments	360,424		110,707




Change in:
Premiums receivable	(1,033,491)		(505,545)
Prepaid reinsurance premiums	(406,134)		(384,145)
Reinsurance recoverable	(234,657)		25,714
Deferred acquisition costs and value of business acquired	(153,420)		(75,884)
Reserve for claims and claim expenses	572,245		22,358
Unearned premiums	1,069,556		714,939
Reinsurance balances payable	766,293		944,684
Other	(423,421)		(405,528)
Net cash provided by operating activities	206,538		475,466
Cash flows used in investing activities
Proceeds from sales and maturities of fixed maturity investments trading	3,469,130		3,661,294
Purchases of fixed maturity investments trading	(3,808,597)		(3,370,394)


Net sales (purchases) of equity investments trading	128,020		(44,514)
Net purchases of short term investments	(111,085)		(704,226)
Net purchases of other investments	(127,661)		(79,711)
Net purchases of investments in other ventures	(15,542)		(1,888)
Return of investment from investment in other ventures	2,604		9,157




Net cash used in investing activities	(463,131)		(530,282)
Cash flows used in financing activities
Dividends paid – RenaissanceRe common shares	(17,817)		(15,359)
Dividends paid – preference shares	(7,289)		(9,056)

RenaissanceRe common share repurchases	(171,645)		(62,621)

Repayment of debt	—		(250,000)

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


Net third-party redeemable noncontrolling interest share transactions	13,006		42,599
Taxes paid on withholding shares	(9,834)		(10,180)

Net cash used in financing activities	(193,579)		(429,617)
Effect of exchange rate changes on foreign currency cash	20		1,581
Net decrease in cash and cash equivalents	(450,152)		(482,852)

Cash and cash equivalents, beginning of period	1,736,813		1,379,068
Cash and cash equivalents, end of period	$	1,286,661	$	896,216

See accompanying notes to the consolidated financial statements

RENAISSANCERE HOLDINGS LTD. AND SUBSIDIARIES

NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS

March 31, 2021

(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, 2020. RenaissanceRe was formed under the laws of Bermuda on June 7, 1993. Together with its wholly owned and majority-owned subsidiaries, joint ventures and managed funds, the Company provides property, casualty and specialty reinsurance and certain insurance solutions to its customers.

•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. 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 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 AG (“RREAG”), 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 Specialty U.S. Ltd., a Bermuda-domiciled insurer, which operates subject to U.S. federal income tax.

•DaVinci Reinsurance Ltd. (“DaVinci”), a wholly-owned subsidiary of DaVinciRe Holdings Ltd. (“DaVinciRe”), is a managed joint venture formed by the Company to principally write property catastrophe reinsurance and certain casualty and specialty reinsurance lines of business on a global basis.

•Top Layer Reinsurance Ltd. is a managed joint venture formed by the Company to write high excess non-U.S. property catastrophe reinsurance.

•RenaissanceRe Underwriting Managers U.S. LLC, is licensed as a reinsurance intermediary broker in the State of Connecticut and underwrites specialty treaty reinsurance solutions on both a quota share and excess of loss basis on behalf of affiliates.

•Renaissance Underwriting Managers, Ltd. (“RUM”), a wholly owned subsidiary of RenaissanceRe, acts as exclusive underwriting manager for certain of our joint ventures or managed funds in return for fee-based income and profit participation.

•RenaissanceRe Fund Management Ltd. (“RFM”) is a wholly-owned Bermuda exempted company and acts as the exclusive investment fund manager for several of the Company’s joint ventures or managed funds, in return for a management fee, a performance based incentive fee, or both. RFM is registered as an Exempt Reporting Adviser with the Securities and Exchange Commission and serves as the investment adviser to third-party investors in the various private investment partnerships and insurance-related investment products offered by the Company.

•RenaissanceRe Medici Fund Ltd. (“Medici”) is an exempted company, incorporated under the laws of Bermuda and registered as an institutional fund. Medici invests, primarily on behalf of third-party investors, in various instruments that have returns primarily tied to property catastrophe risk.

•Upsilon RFO Re Ltd., formerly known as Upsilon Reinsurance II Ltd. (“Upsilon RFO”), a Bermuda domiciled special purpose insurer (“SPI”), is a managed fund 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.

•RenaissanceRe Upsilon Fund Ltd., an exempted Bermuda segregated accounts company registered as a Class A Professional Fund provides a fund structure through which third-party investors can invest in reinsurance risk managed by the Company.

•Vermeer Reinsurance Ltd. (“Vermeer”), an exempted Bermuda reinsurer, provides capacity focused on risk remote layers in the U.S. property catastrophe market. The Company maintains a majority voting control of Vermeer, while Stichting Pensioenfonds Zorg en Welzijn (“PFZW”), a pension fund represented by PGGM Vermogensbeheer B.V., a Dutch pension fund manager, retains economic benefits.

•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.

•The Company and Reinsurance Group of America, Incorporated are engaged in an initiative (“Langhorne”) to source third-party capital to support reinsurers targeting large in-force life and annuity blocks. Langhorne Holdings LLC (“Langhorne Holdings”) was incorporated to own and manage certain reinsurance entities within Langhorne. Langhorne Partners LLC (“Langhorne Partners”) is the general partner for Langhorne and manages the third-parties investing in Langhorne Holdings.

•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.

•Following the acquisition of Tokio Millennium Re AG and certain associated entities and subsidiaries (collectively, “TMR”) on March 22, 2019, the Company managed Shima Reinsurance Ltd. (“Shima Re”), Norwood Re Ltd. (“Norwood Re”) and Blizzard Re Ltd. (“Blizzard,” together with Shima Re and Norwood Re, the “TMR managed third-party capital vehicles”), which provided third-party investors with access to reinsurance risk. The TMR managed third-party capital vehicles no longer write new business. The Company ceased providing management services to Blizzard effective November 1, 2020, and Shima Re and Norwood Re effective December 1, 2020.

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, 2020, 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 recoverable and premiums receivable, including provisions for reinsurance recoverable and premiums receivable to reflect expected credit losses; 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.

RECENTLY ADOPTED ACCOUNTING PRONOUNCEMENTS

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. Accordingly, the Company adopted ASU 2019-12 effective January 1, 2021. The adoption of ASU 2019-12 did not 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:



	March 31, 2021		December 31, 2020
U.S. treasuries	$	5,107,878	$	4,960,409
Agencies	227,184		368,032

Non-U.S. government	518,162		491,531

Non-U.S. government-backed corporate	335,662		338,014
Corporate	4,289,072		4,261,025
Agency mortgage-backed	957,563		1,113,792
Non-agency mortgage-backed	272,529		291,444
Commercial mortgage-backed	713,044		791,272
Asset-backed	888,140		890,984
Total fixed maturity investments trading	$	13,309,234	$	13,506,503

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.




March 31, 2021	Amortized Cost		Fair Value
Due in less than one year	$	568,444	$	572,443
Due after one through five years	5,498,414		5,569,638
Due after five through ten years	3,822,345		3,786,423
Due after ten years	562,618		549,453
Mortgage-backed	1,922,325		1,943,137
Asset-backed	884,839		888,140
Total	$	13,258,985	$	13,309,234

Equity Investments Trading

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



	March 31, 2021		December 31, 2020
Financials	$	241,360	$	452,765
Communications and technology	123,204		119,592
Consumer	45,586		44,477
Industrial, utilities and energy	48,935		43,380
Healthcare	36,248		35,140
Basic materials	7,804		7,263
Total	$	503,137	$	702,617

Pledged Investments

At March 31, 2021, $8.4 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, 2020 - $8.1 billion). Of this amount, $2.5 billion is on deposit with, or in trust accounts for the benefit of, U.S. state regulatory authorities (December 31, 2020 - $2.5 billion).

Reverse Repurchase Agreements

At March 31, 2021, the Company held $25.0 million (December 31, 2020 - $126.5 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
		March 31, 2021		March 31, 2020
Fixed maturity investments		$	62,933	$	73,338
Short term investments		573		12,092
Equity investments		1,491		1,551
Other investments
Catastrophe bonds		14,468		14,139
Other		3,801		1,629
Cash and cash equivalents		102		1,504
		83,368		104,253
Investment expenses		(3,564)		(4,780)
Net investment income		$	79,804	$	99,473

Net Realized and Unrealized Losses on Investments

Net realized and unrealized losses on investments are as follows:



	Three months ended
		March 31, 2021		March 31, 2020


Net realized gains on fixed maturity investments trading		$	20,398	$	57,487
Net unrealized losses on fixed maturity investments trading		(297,018)		(20,345)
Net realized and unrealized (losses) gains on fixed maturity investments trading		(276,620)		37,142
Net realized and unrealized gains on investments-related derivatives		14,861		33,181
Net realized gains (losses) on equity investments trading		109,887		(15,047)
Net unrealized losses on equity investments trading		(177,809)		(105,937)
Net realized and unrealized losses on equity investments trading		(67,922)		(120,984)
Net realized and unrealized losses on other investments - catastrophe bonds		(19,083)		(14,352)
Net realized and unrealized gains (losses) on other investments - other		3,201		(45,694)
Net realized and unrealized losses on investments		$	(345,563)	$	(110,707)

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 as 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 at the measurement date. 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 March 31, 2021	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	$	5,107,878	$	5,107,878	$	—	$	—
Agencies	227,184		—		227,184		—

Non-U.S. government	518,162		—		518,162		—

Non-U.S. government-backed corporate	335,662		—		335,662		—
Corporate	4,289,072		—		4,289,072		—
Agency mortgage-backed	957,563		—		957,563		—
Non-agency mortgage-backed	272,529		—		272,529		—
Commercial mortgage-backed	713,044		—		713,044		—
Asset-backed	888,140		—		888,140		—
Total fixed maturity investments	13,309,234		5,107,878		8,201,356		—
Short term investments	5,091,143		—		5,091,143		—
Equity investments trading	503,137		503,137		—		—
Other investments
Catastrophe bonds	941,604		—		941,604		—
Private equity investments	75,874		—		—		75,874
	1,017,478		—		941,604		75,874
Fund investments (1)	361,578



Total other investments	1,379,056		—		941,604		75,874
Other assets and (liabilities)
Assumed and ceded (re)insurance contracts (2)	(6,421)		—		—		(6,421)

Derivative assets (3)	20,449		2,317		18,132		—
Derivative liabilities (3)	(26,464)		(2,494)		(23,970)		—

Total other assets and (liabilities)	(12,436)		(177)		(5,838)		(6,421)
	$	20,270,134	$	5,610,838	$	14,228,265	$	69,453

(1) Fund investments, which are comprised of private equity funds, senior secured bank loan funds and hedge funds, are measured at fair value using the net asset value per share (or its equivalent) as a practical expedient and 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 March 31, 2021 was $0.6 million of other assets and $7.0 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, 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	$	4,960,409	$	4,960,409	$	—	$	—
Agencies	368,032		—		368,032		—

Non-U.S. government	491,531

Form: 10-Q

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