AXIS CAPITAL HOLDINGS LTD - Quarter Report: 2022 September (Form 10-Q)

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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 September 30, 2022

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

OF THE SECURITIES EXCHANGE ACT OF 1934

Commission file number 001-31721

AXIS CAPITAL HOLDINGS LIMITED

(Exact name of registrant as specified in its charter)

Bermuda

(State or other jurisdiction of incorporation or organization)

98-0395986

(I.R.S. Employer Identification No.)

92 Pitts Bay Road, Pembroke, Bermuda HM 08

(Address of principal executive offices and zip code)

(441) 496-2600

(Registrant’s telephone number, including area code)

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


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

Indicate by check mark whether the registrant: (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes ☒ No ☐

Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T during the preceding 12 months (or for such shorter period that the registrant was required to submit such files). Yes ☒ No ☐

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company, or an emerging growth company. See the definitions of "large accelerated filer", "accelerated filer", "smaller reporting company", and "emerging growth company" in Rule 12b-2 of the Exchange Act.

Large accelerated filer

☒

Accelerated filer

☐

Non-accelerated filer

☐

Smaller reporting company

☐

Emerging growth company

☐

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ¨

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes ☐ No ☒

At October 21, 2022, there were 84,666,896 common shares outstanding, $0.0125 par value per share, of the registrant.

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AXIS CAPITAL HOLDINGS LIMITED

INDEX TO FORM 10-Q


		Page
	PART I
	Financial Information	3
Item 1.	Consolidated Financial Statements	5
Item 2.	Management's Discussion and Analysis of Financial Condition and Results of Operations	52
Item 3.	Quantitative and Qualitative Disclosures About Market Risk	82
Item 4.	Controls and Procedures	83
	PART II
	Other Information	83
Item 1.	Legal Proceedings	83
Item 1A.	Risk Factors	83
Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds	84
Item 5.	Other Information	84
Item 6.	Exhibits	85
	Signatures	86

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PART I FINANCIAL INFORMATION

This Quarterly Report on Form 10-Q contains forward-looking statements within the meaning of section 27A of the Securities Act of 1933 and section 21E of the Securities Exchange Act of 1934. All statements, other than statements of historical facts included in this report, including statements regarding our estimates, beliefs, expectations, intentions, strategies or projections are forward-looking statements. We intend these forward-looking statements to be covered by the safe harbor provisions for forward-looking statements in the United States ("U.S.") federal securities laws. In some cases, these statements can be identified by the use of forward-looking words such as "may", "should", "could", "anticipate", "estimate", "expect", "plan", "believe", "predict", "potential", "intend" or similar expressions. These forward-looking statements are not historical facts, and are based on current expectations, estimates and projections, and various assumptions, many of which, by their nature, are inherently uncertain and beyond management's control.

Forward-looking statements contained in this report may include, but are not limited to, information regarding our estimates for catastrophes and other weather-related losses including losses related to the COVID-19 pandemic, measurements of potential losses in the fair market value of our investment portfolio and derivative contracts, our expectations regarding the performance of our business, our financial results, our liquidity and capital resources, the outcome of our strategic initiatives including our exit from property reinsurance business, our expectations regarding pricing, other market conditions and economic conditions including inflation, our growth prospects, and valuations of the potential impact of movements in interest rates, credit spreads, equity securities' prices, and foreign currency exchange rates.

Forward-looking statements only reflect our expectations and are not guarantees of performance. These statements involve risks, uncertainties and assumptions. Accordingly, there are or will be important factors that could cause actual events or results to differ materially from those indicated in such statements. Readers are urged to carefully consider all such factors as the COVID-19 pandemic may have the effect of heightening many of the other risks and uncertainties described.

We undertake no obligation to update or revise publicly any forward-looking statements, whether as a result of new information, future events or otherwise.

Summary of Risk Factors

Investing in our common stock involves substantial risks, and our ability to successfully operate our business is subject to numerous risks, including those that are generally associated with operating in the insurance/reinsurance industry. Some of the more significant material challenges and risks include the following:

COVID-19

•the adverse impact of the ongoing COVID-19 pandemic on our business, results of operations, financial condition, and liquidity;

Insurance Risk

•the cyclical nature of the insurance and reinsurance business leading to periods with excess underwriting capacity and unfavorable premium rates;

•the occurrence and magnitude of natural and man-made disasters, including the potential increase of our exposure to natural catastrophe losses due to climate change;

•actual claims exceeding loss reserves;

•the failure of any of the loss limitation methods we employ;

•the effects of emerging claims, coverage and regulatory issues, including increasing litigation and uncertainty related to coverage definitions, limits, terms and conditions;

•the failure of our cedants to adequately evaluate risks;

•the adverse impact of inflation;

Strategic Risk

•losses from war including losses related to the Russian invasion of Ukraine, terrorism and political unrest, or other unanticipated losses;

•changes in the political environment of certain countries in which we operate or underwrite business, including the United Kingdom's withdrawal from the European Union;

•the loss of business provided to us by major brokers;

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•a decline in our ratings with rating agencies;

•the loss of one or more of our key executives;

•difficulties with technology and/or data security;

Credit Risk

•the inability to purchase reinsurance or collect amounts due to us from reinsurance we have purchased;

•the failure of our policyholders or intermediaries to pay premiums;

•general economic, capital and credit market conditions, including fluctuations in interest rates, credit spreads, equity securities' prices, and/or foreign currency exchange rates;

•breaches by third parties in our program business of their obligations to us;

Liquidity Risk

•the inability to obtain additional capital on favorable terms, or at all;

Operational Risk

•changes in accounting policies or practices;

•the use of industry models and changes to these models;

Regulatory Risk

•changes in governmental regulations and potential government intervention in our industry;

•inadvertent failure to comply with certain laws and regulations relating to sanctions and foreign corrupt practices; and

Risks Related to Taxation

•changes in tax laws.

Readers should carefully consider the risks noted above together with other factors including but not limited to those described under Item 1A, 'Risk Factors' in our most recent Annual Report on Form 10-K filed with the Securities and Exchange Commission ("SEC"), as those factors may be updated from time to time in our periodic and other filings with the SEC, which are accessible on the SEC's website at www.sec.gov.

Website and Social Media Disclosure

We use our website (www.axiscapital.com) and our corporate LinkedIn (AXIS Capital) and Twitter (@AXIS_Capital) accounts as channels of distribution of Company information. The information we post through these channels may be deemed material. Accordingly, investors should monitor these channels, in addition to following our press releases, SEC filings and public conference calls and webcasts. In addition, e-mail alerts and other information about AXIS Capital may be received by those enrolled in our "E-mail Alerts" program, which can be found in the Investor Information section of our website. The contents of our website and social media channels are not part of this Quarterly Report on Form 10-Q.

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ITEM 1. CONSOLIDATED FINANCIAL STATEMENTS


			Page

Consolidated Balance Sheets at September 30, 2022 (Unaudited) and December 31, 2021			6
Consolidated Statements of Operations for the three and nine months ended September 30, 2022 and 2021 (Unaudited)			7
Consolidated Statements of Comprehensive Income for the three and nine months ended September 30, 2022 and 2021 (Unaudited)			8
Consolidated Statements of Changes in Shareholders' Equity for the three and nine months ended September 30, 2022 and 2021 (Unaudited)			9
Consolidated Statements of Cash Flows for the nine months ended September 30, 2022 and 2021 (Unaudited)			10
Notes to Consolidated Financial Statements (Unaudited)			12
Note 1 - Basis of Presentation and Significant Accounting Policies			12
Note 2 - Segment Information			13
Note 3 - Investments			16
Note 4 - Fair Value Measurements			25
Note 5 - Derivative Instruments			36
Note 6 - Reserve for Losses and Loss Expenses			38
Note 7 - Earnings Per Common Share			45
Note 8 - Share-Based Compensation			45
Note 9 - Shareholders' Equity			48
Note 10 - Debt and Financing Arrangements			49
Note 11 - Federal Home Loan Bank Advances			49
Note 12 - Commitments and Contingencies			50
Note 13 - Other Comprehensive Income (Loss)			50
Note 14 - Related Party Transactions			51
Note 15 - Reorganization Expenses			51

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AXIS CAPITAL HOLDINGS LIMITED

CONSOLIDATED BALANCE SHEETS

SEPTEMBER 30, 2022 (UNAUDITED) AND DECEMBER 31, 2021


	2022		2021
	(in thousands)
Assets
Investments:
Fixed maturities, available for sale, at fair value (Amortized cost 2022: $11,865,935; 2021: $12,241,782 Allowance for expected credit losses 2022: $10,504; 2021: $313)	$	10,784,353	$	12,313,200
Fixed maturities, held to maturity, at amortized cost (Fair value 2022: $663,704; 2021: $445,033 Allowance for expected credit losses 2022: $nil; 2021: $nil)	690,380		446,016
Equity securities, at fair value (Cost 2022: $519,926; 2021: $528,864)	469,839		655,675
Mortgage loans, held for investment, at fair value (Allowance for expected credit losses 2022: $nil; 2021: $nil)	653,700		594,088
Other investments, at fair value	970,310		947,982
Equity method investments	151,333		146,293
Short-term investments, at fair value	80,260		31,063
Total investments	13,800,175		15,134,317
Cash and cash equivalents	1,210,321		844,592
Restricted cash and cash equivalents	624,941		473,098
Accrued interest receivable	77,771		64,350
Insurance and reinsurance premium balances receivable (Allowance for expected credit losses 2022: $8,893; 2021: $7,567)	2,788,484		2,622,676
Reinsurance recoverable on unpaid losses and loss expenses (Allowance for expected credit losses 2022: $29,022; 2021: $29,554)	5,244,263		5,017,611
Reinsurance recoverable on paid losses and loss expenses	438,497		642,215
Deferred acquisition costs	541,544		465,593
Prepaid reinsurance premiums	1,597,586		1,377,358
Receivable for investments sold	6,452		4,555
Goodwill	100,801		100,801
Intangible assets	200,529		208,717
Operating lease right-of-use assets	96,631		103,295
Other assets	391,758		309,792
Total assets	$	27,119,753	$	27,368,970
Liabilities
Reserve for losses and loss expenses	$	14,652,196	$	14,653,094
Unearned premiums	4,650,934		4,090,676
Insurance and reinsurance balances payable	1,569,946		1,324,620
Debt	1,312,633		1,310,975
Federal Home Loan Bank advances	80,540		—
Payable for investments purchased	78,956		31,543
Operating lease liabilities	103,345		119,512
Other liabilities	327,780		427,894
Total liabilities	22,776,330		21,958,314

Shareholders’ equity
Preferred shares	550,000		550,000
Common shares (shares issued 2022: 176,580; 2021: 176,580 shares outstanding 2022: 84,666; 2021: 84,774)	2,206		2,206
Additional paid-in capital	2,354,895		2,346,179
Accumulated other comprehensive income (loss)	(1,042,650)		56,536
Retained earnings	6,244,268		6,204,745
Treasury shares, at cost (2022: 91,914; 2021: 91,806)	(3,765,296)		(3,749,010)
Total shareholders’ equity	4,343,423		5,410,656


Total liabilities and shareholders’ equity	$	27,119,753	$	27,368,970

See accompanying notes to Consolidated Financial Statements.

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AXIS CAPITAL HOLDINGS LIMITED

CONSOLIDATED STATEMENTS OF OPERATIONS (UNAUDITED)

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2022 AND 2021


	Three months ended				Nine months ended
	2022		2021		2022		2021
	(in thousands, except for per share amounts)
Revenues
Net premiums earned	$	1,284,866	$	1,211,427	$	3,820,163	$	3,472,090
Net investment income	88,177		107,339		271,744		326,174
Other insurance related income	1,092		7,665		9,998		16,262
Net investment gains (losses):
Allowance for expected credit losses	(3,210)		(315)		(10,191)		(76)
Impairment losses	(6,491)		(22)		(7,074)		(22)


Other realized and unrealized investment gains (losses)	(136,757)		11,269		(396,966)		113,966
Total net investment gains (losses)	(146,458)		10,932		(414,231)		113,868
Total revenues	1,227,677		1,337,363		3,687,674		3,928,394

Expenses
Net losses and loss expenses	941,911		911,369		2,444,196		2,292,559
Acquisition costs	240,511		231,712		746,443		669,654
General and administrative expenses	158,245		157,960		492,872		478,820
Foreign exchange gains	(135,660)		(28,032)		(236,934)		(4,316)
Interest expense and financing costs	15,915		15,954		46,720		46,759
Reorganization expenses	6,213		—		21,941		—
Amortization of value of business acquired	—		1,028		—		3,083
Amortization of intangible assets	2,729		3,149		8,188		9,163
Total expenses	1,229,864		1,293,140		3,523,426		3,495,722

Income (loss) before income taxes and interest in income (loss) of equity method investments	(2,187)		44,223		164,248		432,672
Income tax (expense) benefit	363		(1,186)		5,304		(49,827)
Interest in income (loss) of equity method investments	(7,560)		11,911		5,040		30,871
Net income (loss)	(9,384)		54,948		174,592		413,716


Preferred share dividends	7,563		7,563		22,688		22,688

Net income (loss) available (attributable) to common shareholders	$	(16,947)	$	47,385	$	151,904	$	391,028

Per share data
Earnings (loss) per common share:
Earnings (loss) per common share	$	(0.20)	$	0.56	$	1.79	$	4.62
Earnings (loss) per diluted common share	$	(0.20)	$	0.56	$	1.77	$	4.59
Weighted average common shares outstanding	84,660		84,771		84,930		84,684
Weighted average diluted common shares outstanding	84,660		85,336		85,674		85,191

See accompanying notes to Consolidated Financial Statements.

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AXIS CAPITAL HOLDINGS LIMITED

CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (UNAUDITED)

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2022 AND 2021


	Three months ended				Nine months ended
	2022		2021		2022		2021
	(in thousands)
Net income (loss)	$	(9,384)	$	54,948	$	174,592	$	413,716
Other comprehensive income (loss), net of tax:
Available for sale investments:
Unrealized gains (losses) arising during the period for which an allowance for expected credit losses has not been recognized	(393,880)		(58,178)		(1,259,482)		(179,147)
Unrealized gains (losses) arising during the period for which an allowance for expected credit losses has been recognized	(10,684)		370		(53,308)		131
Adjustment for reclassification of net realized (gains) losses and impairment losses recognized in net income (loss)	98,779		(14,580)		229,773		(86,181)
Unrealized gains (losses) arising during the period, net of reclassification adjustment	(305,785)		(72,388)		(1,083,017)		(265,197)

Foreign currency translation adjustment	(12,751)		(3,807)		(16,169)		924


Total other comprehensive income (loss), net of tax	(318,536)		(76,195)		(1,099,186)		(264,273)


Comprehensive income (loss)	$	(327,920)	$	(21,247)	$	(924,594)	$	149,443

See accompanying notes to Consolidated Financial Statements.

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AXIS CAPITAL HOLDINGS LIMITED

CONSOLIDATED STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (UNAUDITED)

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2022 AND 2021


	Three months ended				Nine months ended
	2022		2021		2022		2021
	(in thousands)
Preferred shares



Balance at beginning and end of period	$	550,000	$	550,000	$	550,000	$	550,000

Common shares (par value)


Balance at beginning and end of period	2,206		2,206		2,206		2,206

Additional paid-in capital
Balance at beginning of period	2,341,507		2,326,288		2,346,179		2,330,054

Treasury shares reissued	(694)		(397)		(30,844)		(24,437)




Share-based compensation expense	14,082		11,004		39,560		31,278
Balance at end of period	2,354,895		2,336,895		2,354,895		2,336,895

Accumulated other comprehensive income (loss)
Balance at beginning of period	(724,114)		226,317		56,536		414,395
Unrealized gains (losses) on available for sale investments, net of tax:
Balance at beginning of period	(715,077)		227,826		62,155		420,635


Unrealized gains (losses) arising during the period, net of reclassification adjustment	(305,785)		(72,388)		(1,083,017)		(265,197)

Balance at end of period	(1,020,862)		155,438		(1,020,862)		155,438
Cumulative foreign currency translation adjustments, net of tax:
Balance at beginning of period	(9,037)		(1,509)		(5,619)		(6,240)
Foreign currency translation adjustment	(12,751)		(3,807)		(16,169)		924

Balance at end of period	(21,788)		(5,316)		(21,788)		(5,316)




Balance at end of period	(1,042,650)		150,122		(1,042,650)		150,122

Retained earnings
Balance at beginning of period	6,298,680		6,034,151		6,204,745		5,763,607


Net income (loss)	(9,384)		54,948		174,592		413,716

Preferred share dividends (1)	(7,563)		(7,563)		(22,688)		(22,688)

Common share dividends (1)	(37,465)		(36,693)		(112,381)		(109,792)
Balance at end of period	6,244,268		6,044,843		6,244,268		6,044,843

Treasury shares, at cost
Balance at beginning of period	(3,765,648)		(3,749,202)		(3,749,010)		(3,764,568)
Shares repurchased	(342)		(206)		(48,675)		(10,025)
Shares reissued	694		397		32,389		25,582
Balance at end of period	(3,765,296)		(3,749,011)		(3,765,296)		(3,749,011)

Total shareholders’ equity	$	4,343,423	$	5,335,055	$	4,343,423	$	5,335,055

(1) Refer to Note 9 'Shareholders' Equity' for details on dividends declared and paid related to the Company's common and preferred shares.

See accompanying notes to Consolidated Financial Statements.

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AXIS CAPITAL HOLDINGS LIMITED

CONSOLIDATED STATEMENTS OF CASH FLOWS (UNAUDITED)

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2022 AND 2021


	Nine months ended
	2022		2021
	(in thousands)
Cash flows from operating activities:
Net income	$	174,592	$	413,716
Adjustments to reconcile net income to net cash provided by operating activities:
Net investment (gains) losses	414,231		(113,868)
Net realized and unrealized gains (losses) on other investments	(31,843)		(123,364)
Amortization of fixed maturities	24,918		28,601
Interest in income of equity method investments	(5,040)		(30,871)
Amortization of value of business acquired	—		3,083
Other amortization and depreciation	52,469		46,967
Share-based compensation expense, net of cash payments	36,097		25,848


Changes in:
Accrued interest receivable	(13,796)		2,441
Reinsurance recoverable on unpaid losses and loss expenses	(239,482)		(498,571)
Reinsurance recoverable on paid losses and loss expenses	201,729		(71,516)
Deferred acquisition costs	(79,994)		(113,959)
Prepaid reinsurance premiums	(222,235)		(267,082)
Reserve for losses and loss expenses	29,151		741,277
Unearned premiums	577,490		782,094
Insurance and reinsurance balances, net	72,655		110,921
Other items	(73,932)		74,447
Net cash provided by operating activities	917,010		1,010,164

Cash flows from investing activities:
Purchases of:
Fixed maturities, available for sale	(5,466,347)		(10,183,487)
Fixed maturities, held to maturity	(247,862)		(146,150)
Equity securities	(92,977)		(105,167)
Mortgage loans	(113,978)		(85,202)
Other investments	(122,628)		(194,212)

Short-term investments	(141,821)		(135,399)
Proceeds from the sale of:
Fixed maturities, available for sale	4,730,523		7,945,524
Equity securities	111,148		10,928
Other investments	134,348		254,580
Short-term investments	71,435		156,674
Proceeds from the redemption of fixed maturities, available for sale	850,954		1,381,867
Proceeds from the redemption of fixed maturities, held to maturity	3,500		134,347
Proceeds from redemption of short-term investments	20,124		71,665
Proceeds from the repayment of mortgage loans	54,881		55,410
Purchase of other assets	(25,041)		(30,706)



Net cash used in investing activities	(233,741)		(869,328)

Cash flows from financing activities:

Repurchase of common shares - open market	(34,987)		—
Taxes paid on withholding shares	(13,688)		(10,026)
Dividends paid - common shares	(112,888)		(109,974)

Dividends paid - preferred shares	(22,688)		(22,688)






Federal Home Loan Bank advances, net	78,950		—

Net cash used in financing activities	(105,301)		(142,688)

Effect of exchange rate changes on foreign currency cash, cash equivalents and restricted cash	(60,396)		(2,176)
Increase (decrease) in cash, cash equivalents and restricted cash	517,572		(4,028)
Cash, cash equivalents and restricted cash - beginning of period	1,317,690		1,503,232
Cash, cash equivalents and restricted cash - end of period	$	1,835,262	$	1,499,204

See accompanying notes to Consolidated Financial Statements.

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Supplemental disclosures of cash flow information:
Income taxes paid	$	36,431	$	43,548
Interest paid	$	45,963	$	45,963

Supplemental disclosures of cash flow information: In 2021, the transfer of securities with a fair value of $405 million from fixed maturities, available for sale to fixed maturities, held to maturity was treated as a non-cash activity in the consolidated statement of cash flows (refer to Note 3 'Investments').

See accompanying notes to Consolidated Financial Statements.

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AXIS CAPITAL HOLDINGS LIMITED

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)

1. BASIS OF PRESENTATION AND SIGNIFICANT ACCOUNTING POLICIES

Basis of Presentation

These unaudited consolidated financial statements (the "financial statements") have been prepared in accordance with accounting principles generally accepted in the United States of America ("U.S. GAAP") for interim financial information and with the U.S. Securities and Exchange Commission's ("SEC") instructions to Form 10-Q and Article 10 of Regulation S-X and include AXIS Capital Holdings Limited ("AXIS Capital") and its subsidiaries (the "Company"). Accordingly, they do not include all of the information and notes required by U.S. GAAP for complete financial statements. This Quarterly Report on Form 10-Q should be read in conjunction with the financial statements and related notes included in AXIS Capital's Annual Report on Form 10-K for the year ended December 31, 2021, as filed with the SEC.

In the opinion of management, these financial statements reflect all adjustments (consisting of normal recurring adjustments) considered necessary for a fair presentation of the Company's financial position and results of operations for the periods presented.

The results of operations for any interim period are not necessarily indicative of the results for a full year. All inter-company accounts and transactions have been eliminated.

To facilitate comparison of information across periods, certain reclassifications have been made to prior year amounts to conform to the current year's presentation.

Tabular dollar and share amounts are in thousands, with the exception of per share amounts. All amounts are reported in U.S. dollars.

Significant Accounting Policies

There were no notable changes to the Company's significant accounting policies subsequent to its Annual Report on Form 10-K for the year ended December 31, 2021.

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AXIS CAPITAL HOLDINGS LIMITED

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)

2. SEGMENT INFORMATION

The Company's underwriting operations are organized around its global underwriting platforms, AXIS Insurance and AXIS Re. The Company has determined that it has two reportable segments, insurance and reinsurance. The Company does not allocate its assets by segment, with the exception of goodwill and intangible assets.

Insurance

The Company's insurance segment offers specialty insurance products to a variety of niche markets on a worldwide basis. The product lines in this segment are property, marine, terrorism, aviation, credit and political risk, professional lines, liability, and accident and health.

Reinsurance

The Company's reinsurance segment provides specialty reinsurance solutions to insurance companies on a worldwide basis. The product lines in this segment are catastrophe, property, credit and surety, professional lines, motor, liability, engineering, agriculture, marine and aviation, and accident and health. The Company announced its exit from catastrophe and property lines of business in June 2022 and exited the engineering line of business in 2020.

The following tables present the underwriting results of the Company's reportable segments, as well as the carrying amounts of allocated goodwill and intangible assets:

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AXIS CAPITAL HOLDINGS LIMITED

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)

2. SEGMENT INFORMATION (CONTINUED)


	2022									2021
Three months ended and at September 30,	Insurance			Reinsurance			Total			Insurance			Reinsurance			Total

Gross premiums written	$	1,317,890		$	389,918		$	1,707,808		$	1,176,500		$	469,989		$	1,646,489
Net premiums written	777,789			258,995			1,036,784			707,492			288,979			996,471
Net premiums earned	782,101			502,765			1,284,866			681,008			530,419			1,211,427
Other insurance related income	151			941			1,092			468			7,197			7,665
Net losses and loss expenses	(519,006)			(422,905)			(941,911)			(442,681)			(468,688)			(911,369)
Acquisition costs	(139,436)			(101,075)			(240,511)			(123,529)			(108,183)			(231,712)
Underwriting-related general and administrative expenses	(108,072)			(24,498)			(132,570)			(104,905)			(29,921)			(134,826)
Underwriting income (loss)	$	15,738		$	(44,772)		(29,034)			$	10,361		$	(69,176)		(58,815)

Net investment income							88,177									107,339
Net investment gains (losses)							(146,458)									10,932
Corporate expenses							(25,675)									(23,134)
Foreign exchange gains							135,660									28,032
Interest expense and financing costs							(15,915)									(15,954)
Reorganization expenses							(6,213)									—
Amortization of value of business acquired							—									(1,028)
Amortization of intangible assets							(2,729)									(3,149)
Income (loss) before income taxes and interest in income (loss) of equity method investments							(2,187)									44,223
Income tax (expense) benefit							363									(1,186)
Interest in income (loss) of equity method investments							(7,560)									11,911
Net income (loss)							(9,384)									54,948
Preferred share dividends							7,563									7,563
Net income (loss) available (attributable) to common shareholders							$	(16,947)								$	47,385

Net losses and loss expenses ratio	66.4		%	84.1		%	73.3		%	65.0		%	88.4		%	75.2		%
Acquisition cost ratio	17.8		%	20.1		%	18.7		%	18.1		%	20.4		%	19.1		%
General and administrative expense ratio	13.8		%	4.9		%	12.3		%	15.4		%	5.6		%	13.1		%
Combined ratio	98.0		%	109.1		%	104.3		%	98.5		%	114.4		%	107.4		%

Goodwill and intangible assets	$	301,330		$	—		$	301,330		$	312,358		$	—		$	312,358

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AXIS CAPITAL HOLDINGS LIMITED

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)

2. SEGMENT INFORMATION (CONTINUED)


	2022									2021
Nine months ended and at September 30,	Insurance			Reinsurance			Total			Insurance			Reinsurance			Total

Gross premiums written	$	4,114,776		$	2,341,123		$	6,455,899		$	3,548,169		$	2,574,987		$	6,123,156
Net premiums written	2,491,120			1,675,382			4,166,502			2,128,190			1,851,025			3,979,215
Net premiums earned	2,303,640			1,516,523			3,820,163			1,928,970			1,543,120			3,472,090
Other insurance related income	470			9,528			9,998			1,435			14,827			16,262
Net losses and loss expenses	(1,346,585)			(1,097,611)			(2,444,196)			(1,131,753)			(1,160,806)			(2,292,559)
Acquisition costs	(422,979)			(323,464)			(746,443)			(348,172)			(321,482)			(669,654)
Underwriting-related general and administrative expenses	(330,598)			(82,471)			(413,069)			(307,777)			(88,678)			(396,455)
Underwriting income (loss)	$	203,948		$	22,505		226,453			$	142,703		$	(13,019)		129,684

Net investment income							271,744									326,174
Net investment gains (losses)							(414,231)									113,868
Corporate expenses							(79,803)									(82,365)
Foreign exchange gains							236,934									4,316
Interest expense and financing costs							(46,720)									(46,759)
Reorganization expenses							(21,941)									—
Amortization of value of business acquired							—									(3,083)
Amortization of intangible assets							(8,188)									(9,163)
Income before income taxes and interest in income of equity method investments							164,248									432,672
Income tax (expense) benefit							5,304									(49,827)
Interest in income of equity method investments							5,040									30,871
Net income							174,592									413,716
Preferred share dividends							22,688									22,688
Net income available to common shareholders							$	151,904								$	391,028

Net losses and loss expenses ratio	58.5		%	72.4		%	64.0		%	58.7		%	75.2		%	66.0		%
Acquisition cost ratio	18.4		%	21.3		%	19.5		%	18.0		%	20.8		%	19.3		%
General and administrative expense ratio	14.3		%	5.4		%	12.9		%	16.0		%	5.8		%	13.8		%
Combined ratio	91.2		%	99.1		%	96.4		%	92.7		%	101.8		%	99.1		%

Goodwill and intangible assets	$	301,330		$	—		$	301,330		$	312,358		$	—		$	312,358

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AXIS CAPITAL HOLDINGS LIMITED

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)

3. INVESTMENTS

a) Fixed Maturities and Equity Securities

Fixed Maturities

The following table provides the amortized cost and fair values of the Company's fixed maturities classified as available for sale:


	Amortized cost		Allowance for expected credit losses		Gross unrealized gains		Gross unrealized losses		Fair value

At September 30, 2022
Available for sale
U.S. government and agency	$	2,524,837	$	—	$	26	$	(138,355)	$	2,386,508
Non-U.S. government	595,713		—		254		(80,272)		515,695
Corporate debt	4,688,443		(10,380)		1,167		(539,118)		4,140,112
Agency RMBS(1)	1,128,676		—		405		(113,073)		1,016,008
CMBS(2)	1,088,174		—		21		(83,187)		1,005,008
Non-agency RMBS	160,143		(91)		403		(19,099)		141,356
ABS(3)	1,520,653		(33)		230		(84,138)		1,436,712
Municipals(4)	159,296		—		—		(16,342)		142,954
Total fixed maturities, available for sale	$	11,865,935	$	(10,504)	$	2,506	$	(1,073,584)	$	10,784,353







At December 31, 2021
Available for sale
U.S. government and agency	$	2,693,319	$	—	$	9,776	$	(20,647)	$	2,682,448
Non-U.S. government	794,705		—		10,158		(9,685)		795,178
Corporate debt	4,446,585		(236)		87,075		(38,112)		4,495,312
Agency RMBS(1)	1,065,973		—		17,397		(8,781)		1,074,589
CMBS(2)	1,223,051		—		29,827		(4,687)		1,248,191
Non-agency RMBS	185,854		(77)		2,410		(2,023)		186,164
ABS(3)	1,628,739		—		3,406		(9,665)		1,622,480
Municipals(4)	203,556		—		5,928		(646)		208,838
Total fixed maturities, available for sale	$	12,241,782	$	(313)	$	165,977	$	(94,246)	$	12,313,200

(1)Residential mortgage-backed securities ("RMBS") originated by U.S. government-sponsored agencies.

(2)Commercial mortgage-backed securities ("CMBS").

(3)Asset-backed securities ("ABS") include debt tranched securities collateralized primarily by auto loans, student loans, credit card receivables and collateralized loan obligations ("CLOs").

(4)Municipals include bonds issued by states, municipalities and political subdivisions.

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AXIS CAPITAL HOLDINGS LIMITED

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)

3. INVESTMENTS (CONTINUED)

The following table provides the amortized cost and fair values of the Company's fixed maturities classified as held to maturity:


	Amortized cost		Allowance for expected credit losses		Net carrying value		Gross unrealized gains		Gross unrealized losses		Fair value

At September 30, 2022
Held to maturity
Corporate debt	$	77,200	$	—	$	77,200	$	—	$	(11,347)	$	65,853
ABS(1)	613,180		—		613,180		—		(15,329)		597,851
Total fixed maturities, held to maturity	$	690,380	$	—	$	690,380	$	—	$	(26,676)	$	663,704

At December 31, 2021
Held to maturity
Corporate debt	$	37,700	$	—	$	37,700	$	18	$	(146)	$	37,572
ABS(1)	408,316		—		408,316		81		(936)		407,461
Total fixed maturities, held to maturity	$	446,016	$	—	$	446,016	$	99	$	(1,082)	$	445,033

(1)Asset-backed securities ("ABS") include debt tranched securities collateralized primarily by collateralized loan obligations ("CLOs").

On March 1, 2021, the Company transferred ABS with total fair value of $405 million from fixed maturities, available for sale to fixed maturities, held to maturity. These securities, which the Company has the intent and ability to hold to maturity, were transferred in order to better align the accounting classification with their management strategy. The net unrealized gain at the date of the transfer, March 1, 2021, continues to be reported in the carrying value of the transferred securities and is amortized over the remaining life of the securities using the effective yield method.

At September 30, 2022, fixed maturities, held to maturity of $690 million (2021: $446 million) were presented net of an allowance for expected credit losses of $nil (2021: $nil).

The Company's ABS, held to maturity consist of CLO debt tranched securities. The Company uses a scenario-based approach to review its CLO debt portfolio and reviews subordination levels of these securities to determine their ability to absorb credit losses of the underlying collateral. If losses are forecast to be below the subordination level for a tranche held by the Company, the security is determined not to have a credit loss. At September 30, 2022, the allowance for credit losses expected to be recognized over the life of the Company's ABS, held to maturity was $nil.

To estimate expected credit losses for corporate debt securities, held to maturity, the Company's projected cash flows are primarily driven by assumptions regarding the severity of loss, which is a function of the probability of default and projected recovery rates. The Company's default and recovery rates are based on credit ratings, credit analysis and macroeconomic forecasts. At September 30, 2022, the allowance for credit losses expected to be recognized over the life of the Company's corporate debt, held to maturity was $nil.

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AXIS CAPITAL HOLDINGS LIMITED

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)

3. INVESTMENTS (CONTINUED)

Equity Securities

The following table provides the cost and fair values of the Company's equity securities:


	Cost		Gross unrealized gains		Gross unrealized losses		Fair value

At September 30, 2022
Equity securities
Common stocks	$	13,655	$	350	$	(2,718)	$	11,287
Preferred stocks	115		—		(43)		72
Exchange-traded funds	227,847		56,783		(14,050)		270,580
Bond mutual funds	278,309		—		(90,409)		187,900
Total equity securities	$	519,926	$	57,133	$	(107,220)	$	469,839

At December 31, 2021
Equity securities
Common stocks	$	1,264	$	585	$	(485)	$	1,364
Preferred stocks	115		64		—		179
Exchange-traded funds	203,455		134,037		(677)		336,815
Bond mutual funds	324,030		544		(7,257)		317,317
Total equity securities	$	528,864	$	135,230	$	(8,419)	$	655,675

Variable Interest Entities

In the normal course of investing activities, the Company actively manages allocations to non-controlling tranches of structured securities which are variable interests issued by Variable Interest Entities ("VIEs"). These structured securities include RMBS, CMBS and ABS.

The Company also invests in limited partnerships which represent 70% of the Company's other investments. The investments in limited partnerships include hedge funds, direct lending funds, private equity funds and real estate funds and CLO equity tranched securities, which are variable interests issued by VIEs (refer to Note 3(c) 'Other Investments').

The Company does not have the power to direct the activities that are most significant to the economic performance of these VIEs therefore the Company is not the primary beneficiary of these VIEs. The maximum exposure to loss on these interests is limited to the amount of commitment made by the Company. The Company has not provided financial or other support to these structured securities other than the original investment.

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AXIS CAPITAL HOLDINGS LIMITED

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)

3. INVESTMENTS (CONTINUED)

Contractual Maturities of Fixed Maturities

Expected maturities may differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment penalties.

The table below provides the contractual maturities of fixed maturities classified as available for sale:


	Amortized cost		Fair value		% of Total fair value

At September 30, 2022
Maturity
Due in one year or less	$	642,398	$	625,398	5.9	%
Due after one year through five years	4,820,949		4,445,708		41.2	%
Due after five years through ten years	2,266,898		1,911,316		17.7	%
Due after ten years	238,044		202,847		1.9	%
	7,968,289		7,185,269		66.7	%
Agency RMBS	1,128,676		1,016,008		9.4	%
CMBS	1,088,174		1,005,008		9.3	%
Non-agency RMBS	160,143		141,356		1.3	%
ABS	1,520,653		1,436,712		13.3	%
Total	$	11,865,935	$	10,784,353	100.0	%

At December 31, 2021
Maturity
Due in one year or less	$	503,716	$	505,602	4.1	%
Due after one year through five years	4,878,151		4,908,640		39.9	%
Due after five years through ten years	2,478,542		2,488,478		20.2	%
Due after ten years	277,756		279,056		2.3	%
	8,138,165		8,181,776		66.5	%
Agency RMBS	1,065,973		1,074,589		8.7	%
CMBS	1,223,051		1,248,191		10.1	%
Non-agency RMBS	185,854		186,164		1.5	%
ABS	1,628,739		1,622,480		13.2	%
Total	$	12,241,782	$	12,313,200	100.0	%

ABS classified as held to maturity with a net carrying value of $613 million (2021: $408 million) do not have a single maturity date and cannot be allocated over several maturity groupings.

Corporate debt classified as held to maturity with a net carrying value of $73 million (2021: $34 million) is due between 3 years and 10 years and corporate debt classified as held to maturity with a net carrying value of $4 million (2021: $4 million) is due after ten years.

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AXIS CAPITAL HOLDINGS LIMITED

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)

3. INVESTMENTS (CONTINUED)

Gross Unrealized Losses

The following table summarizes fixed maturities, available for sale in an unrealized loss position and the aggregate fair value and gross unrealized loss by length of time the security has continuously been in an unrealized loss position:


	12 months or greater				Less than 12 months				Total
	Fair value		Unrealized losses		Fair value		Unrealized losses		Fair value		Unrealized losses

At September 30, 2022
Fixed maturities, available for sale
U.S. government and agency	$	456,814	$	(29,770)	$	1,899,250	$	(108,585)	$	2,356,064	$	(138,355)
Non-U.S. government	174,043		(26,531)		329,691		(53,741)		503,734		(80,272)
Corporate debt	832,099		(187,235)		3,257,887		(351,883)		4,089,986		(539,118)
Agency RMBS	159,089		(32,820)		802,339		(80,253)		961,428		(113,073)
CMBS	195,868		(25,689)		778,826		(57,498)		974,694		(83,187)
Non-agency RMBS	60,670		(11,360)		74,280		(7,739)		134,950		(19,099)
ABS	495,725		(42,822)		918,205		(41,316)		1,413,930		(84,138)
Municipals	25,063		(4,538)		117,826		(11,804)		142,889		(16,342)
Total fixed maturities, available for sale	$	2,399,371	$	(360,765)	$	8,178,304	$	(712,819)	$	10,577,675	$	(1,073,584)







At December 31, 2021
Fixed maturities, available for sale
U.S. government and agency	$	101,776	$	(4,852)	$	2,014,880	$	(15,795)	$	2,116,656	$	(20,647)
Non-U.S. government	11,011		(1,830)		463,498		(7,855)		474,509		(9,685)
Corporate debt	152,962		(6,542)		1,681,859		(31,570)		1,834,821		(38,112)
Agency RMBS	41,024		(1,678)		503,988		(7,103)		545,012		(8,781)
CMBS	30,128		(1,001)		347,515		(3,686)		377,643		(4,687)
Non-agency RMBS	4,481		(523)		109,937		(1,500)		114,418		(2,023)
ABS	43,466		(1,152)		1,040,363		(8,513)		1,083,829		(9,665)
Municipals	5,293		(137)		35,649		(509)		40,942		(646)
Total fixed maturities, available for sale	$	390,141	$	(17,715)	$	6,197,689	$	(76,531)	$	6,587,830	$	(94,246)

Fixed Maturities

At September 30, 2022, 4,929 fixed maturities (2021: 2,333) were in an unrealized loss position of $1,074 million (2021: $94 million), of which $103 million (2021: $8 million) was related to securities below investment grade or not rated.

At September 30, 2022, 1,302 fixed maturities (2021: 344) had been in a continuous unrealized loss position for twelve months or greater and had a fair value of $2,399 million (2021: $390 million).

The unrealized losses of $1,074 million (2021: $94 million) were due to non-credit factors and were expected to be recovered as the related securities approach maturity.

At September 30, 2022, the Company did not intend to sell the securities in an unrealized loss position and it is more likely than not that the Company will not be required to sell these securities before the anticipated recovery of their amortized costs.

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AXIS CAPITAL HOLDINGS LIMITED

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)

3. INVESTMENTS (CONTINUED)

b) Mortgage Loans

The following table provides details of the Company's mortgage loans, held for investment:


	September 30, 2022				December 31, 2021
	Carrying value		% of Total		Carrying value		% of Total

Mortgage loans, held for investment:
Commercial	$	653,700	100	%	$	594,088	100	%


Total mortgage loans, held for investment	$	653,700	100	%	$	594,088	100	%

The primary credit quality indicators for commercial mortgage loans are the debt service coverage ratio which compares a property’s net operating income to amounts needed to service the principal and interest due under the loan, (generally, the lower the debt service coverage ratio, the higher the risk of experiencing a credit loss) and the loan-to-value ratio which compares the unpaid principal balance of the loan to the estimated fair value of the underlying collateral (generally, the higher the loan-to-value ratio, the higher the risk of experiencing a credit loss). The debt service coverage ratio and loan-to-value ratio, as well as the values utilized in calculating these ratios, are updated annually, on a rolling basis.

The Company has a high quality mortgage loan portfolio with a weighted average debt service coverage ratio of 2.5x (2021: 2.5x) and a weighted average loan-to-value ratio of 59% (2021: 60%). At September 30, 2022, there are no credit losses or past due amounts associated with the commercial mortgage loans held by the Company.

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AXIS CAPITAL HOLDINGS LIMITED

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)

3. INVESTMENTS (CONTINUED)

c) Other Investments

The following table provides a summary of the Company's other investments, together with additional information relating to the liquidity of each category:


	Fair value		% of Total		Redemption frequency (if currently eligible)	Redemption notice period

At September 30, 2022
Long/short equity funds	$	—	—	%	n/a	n/a
Multi-strategy funds	39,138		4	%	Quarterly	60-90 days


Direct lending funds	249,561		26	%	Quarterly(1)	90 days
Private equity funds	268,593		28	%	n/a	n/a
Real estate funds	287,932		30	%	Quarterly(2), Annually(3)	45-90 days
CLO-Equities	5,167		—	%	n/a	n/a
Other privately held investments	119,919		12	%	n/a	n/a

Total other investments	$	970,310	100	%

At December 31, 2021
Long/short equity funds	$	3,476	—	%	Annually	60 days
Multi-strategy funds	56,012		6	%	Quarterly	60-90 days


Direct lending funds	289,867		31	%	Quarterly(1)	90 days
Private equity funds	249,974		26	%	n/a	n/a
Real estate funds	238,222		25	%	Quarterly(2)	45 days
CLO-Equities	5,910		1	%	n/a	n/a
Other privately held investments	104,521		11	%	n/a	n/a

Total other investments	$	947,982	100	%

n/a - not applicable

(1) Applies to one fund with a fair value of $43 million (2021: $47 million).

(2) Applies to one fund with a fair value of $73 million (2021: $73 million).

(3) Applies to one fund with a fair value of $26 million (2021: $nil).

Two common redemption restrictions which may impact the Company's ability to redeem hedge funds are gates and lockups. A gate is a suspension of redemptions which may be implemented by the general partner or investment manager of the fund in order to defer, in whole or in part, the redemption request in the event the aggregate amount of redemption requests exceeds a predetermined percentage of the fund's net assets which may otherwise hinder the general partner or investment manager's ability to liquidate holdings in an orderly fashion in order to generate the cash necessary to fund extraordinarily large redemption payouts. A lockup period is the initial amount of time an investor is contractually required to hold the security before having the ability to redeem. During the nine months ended September 30, 2022 and 2021, neither of these restrictions impacted the Company's redemption requests. At September 30, 2022, there were no hedge fund holdings (2021: $3 million) where the Company is still within the lockup period.

At September 30, 2022, the Company had $26 million (2021: $23 million) of unfunded commitments as a limited partner in multi-strategy hedge funds. Once the full amount of committed capital has been called by the General Partner of each of these funds, the assets will not be fully returned until after the completion of the funds' investment term. These funds have investment terms ranging from two years to the dissolution of the underlying fund.

At September 30, 2022, the Company had $192 million (2021: $224 million) of unfunded commitments as a limited partner in direct lending funds. Once the full amount of committed capital has been called by the General Partner of each of these funds, the assets will not be fully returned until the completion of the fund's investment term. These funds have investment terms ranging from four to ten years and the General Partners of certain funds have the option to extend the term by up to three years.

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AXIS CAPITAL HOLDINGS LIMITED

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)

3. INVESTMENTS (CONTINUED)

At September 30, 2022, the Company had $167 million (2021: $178 million) of unfunded commitments as a limited partner in private equity funds. The life of the funds is subject to the dissolution of the underlying funds. The Company expects the overall holding period to be over five years.

At September 30, 2022, the Company had $147 million (2021: $173 million) of unfunded commitments as a limited partner in real estate funds. These funds include an open-ended fund and funds with investment terms ranging from two years to the dissolution of the underlying fund.

During 2015, the Company made a $50 million commitment as a limited partner of a bank revolver opportunity fund. The fund has an investment term of seven years which expires in October 2022, and the General Partners have the option to extend the term by up to two years. At September 30, 2022, this commitment remains unfunded. It is not anticipated that the full amount of this fund will be drawn.

d) Equity Method Investments

During 2016, the Company paid $108 million including direct transaction costs to acquire 19% of the common equity of Harrington Reinsurance Holdings Limited ("Harrington"), the parent company of Harrington Re Ltd. ("Harrington Re"), an independent reinsurance company jointly sponsored by AXIS Capital and The Blackstone Group L.P. ("Blackstone"). Through long-term service agreements, AXIS Capital will serve as Harrington Re's reinsurance underwriting manager and Blackstone will serve as exclusive investment management service provider. As an investor, the Company expects to benefit from underwriting profit generated by Harrington Re and the income and capital appreciation Blackstone seeks to deliver through its investment management services. In addition, the Company has entered into an arrangement with Blackstone under which underwriting and investment related fees will be shared equally. Harrington is not a VIE that is required to be included in the Company's consolidated financial statements. The Company accounts for its ownership interest in Harrington under the equity method of accounting. The Company's proportionate share of the underlying equity in net assets resulted in a basis difference of $5 million which represents initial transactions costs.

e) Net Investment Income

Net investment income was derived from the following sources:


	Three months ended September 30,				Nine months ended September 30,
	2022		2021		2022		2021

Fixed maturities	$	87,364	$	63,712	$	224,780	$	194,426
Other investments	(7,576)		41,695		32,801		124,941
Equity securities	2,490		2,724		7,349		8,322
Mortgage loans	6,256		4,426		15,323		12,967
Cash and cash equivalents	5,350		692		10,147		3,645
Short-term investments	1,004		391		1,571		590
Gross investment income	94,888		113,640		291,971		344,891
Investment expenses	(6,711)		(6,301)		(20,227)		(18,717)
Net investment income	$	88,177	$	107,339	$	271,744	$	326,174

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AXIS CAPITAL HOLDINGS LIMITED

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)

3. INVESTMENTS (CONTINUED)

f) Net Investment Gains (Losses)

The following table provides an analysis of net investment gains (losses):


	Three months ended September 30,				Nine months ended September 30,
	2022		2021		2022		2021

Gross realized investment gains
Fixed maturities and short-term investments	$	1,095	$	21,036	$	11,390	$	126,901
Equity securities	6,997		4		6,997		5,006
Gross realized investment gains	8,092		21,040		18,387		131,907
Gross realized investment losses
Fixed maturities and short-term investments	(100,021)		(4,206)		(249,514)		(32,443)
Equity securities	(178)		—		(403)		(116)
Gross realized investment losses	(100,199)		(4,206)		(249,917)		(32,559)
Change in allowance for expected credit losses	(3,210)		(315)		(10,191)		(76)
Impairment losses(1)	(6,491)		(22)		(7,074)		(22)

Change in fair value of investment derivatives(2)	4,400		2,486		11,463		3,388
Net unrealized gains (losses) on equity securities	(49,050)		(8,051)		(176,899)		11,230

Net investment gains (losses)	$	(146,458)	$	10,932	$	(414,231)	$	113,868

(1) Related to instances where the Company intends to sell securities or it is more likely than not that the Company will be required to sell securities before their anticipated recovery.

(2) Refer to Note 5 'Derivative Instruments'.

The following table provides a reconciliation of the beginning and ending balances of the allowance for expected credit losses on fixed maturities classified as available for sale:


	Three months ended September 30,				Nine months ended September 30,
	2022		2021		2022		2021

Balance at beginning of period	$	7,294	$	84	$	313	$	323
Expected credit losses on securities where credit losses were not previously recognized	6,320		—		13,228		64
Additions (reductions) for expected credit losses on securities where credit losses were previously recognized	(592)		315		(500)		59
Impairments of securities which the Company intends to sell or more likely than not will be required to sell	—		—		—		—
Securities sold/redeemed/matured	(2,518)		—		(2,537)		(47)
Balance at end of period	$	10,504	$	399	$	10,504	$	399

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AXIS CAPITAL HOLDINGS LIMITED

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)

4. FAIR VALUE MEASUREMENTS

Fair Value Hierarchy

Fair value is defined as the price to sell an asset or transfer a liability (i.e. the "exit price") in an orderly transaction between market participants. U.S. GAAP prescribes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to quoted prices in active markets and the lowest priority to unobservable data. The level in the hierarchy within which a given fair value measurement falls is determined based on the lowest level input that is significant to the measurement. The hierarchy is broken down into three levels as follows:

•Level 1 - Valuations based on unadjusted quoted prices in active markets for identical assets or liabilities that the Company has the ability to access.

•Level 2 - Valuations based on quoted prices in active markets for similar assets or liabilities, quoted prices for identical assets or liabilities in inactive markets, or for which significant inputs are observable (e.g. interest rates, yield curves, prepayment speeds, default rates, loss severities, etc.) or can be corroborated by observable market data.

•Level 3 - Valuations based on inputs that are unobservable and significant to the overall fair value measurement. The unobservable inputs reflect the Company's judgments about assumptions that market participants might use.

The availability of observable inputs can vary from financial instrument to financial instrument and is affected by a wide variety of factors including, for example, the type of financial instrument, whether the financial instrument is new and not yet established in the marketplace, and other characteristics particular to the transaction. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires significantly more judgment.

Accordingly, the degree of judgment exercised by management in determining fair value is greatest for financial instruments categorized as Level 3. In periods of market dislocation, the observability of prices and inputs may be reduced for many financial instruments. This may lead the Company to change the selection of valuation technique (from market to cash flow approach) or may cause the Company to use multiple valuation techniques to estimate the fair value of a financial instrument. This circumstance could cause an instrument to be reclassified between levels within the fair value hierarchy.

Valuation Techniques

The valuation techniques, including significant inputs and assumptions generally used to determine the fair values of the Company's financial instruments as well as the classification of the fair values of its financial instruments in the fair value hierarchy are described in detail below.

Fixed Maturities

At each valuation date, the Company uses the market approach valuation technique to estimate the fair value of its fixed maturities portfolio, where possible. The market approach includes, but is not limited to, prices obtained from third-party pricing services for identical or comparable securities and the use of "pricing matrix models" using observable market inputs such as yield curves, credit risks and spreads, measures of volatility, and prepayment speeds. Pricing from third-party pricing services is sourced from multiple vendors, where available, and the Company maintains a vendor hierarchy by asset type based on historical pricing experience and vendor expertise. Where prices are unavailable from pricing services, the Company obtains non-binding quotes from broker-dealers who are active in the corresponding markets. The valuation techniques including significant inputs and assumptions generally used to determine the fair values of the Company's fixed maturities by asset class as well as the classifications of the fair values of these securities in the fair value hierarchy are described in detail below.

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AXIS CAPITAL HOLDINGS LIMITED

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)

4. FAIR VALUE MEASUREMENTS (CONTINUED)

U.S. Government and Agency

U.S. government and agency securities consist primarily of bonds issued by the U.S. Treasury and mortgage pass-through agencies such as the Federal National Mortgage Association, the Federal Home Loan Mortgage Corporation and the Government National Mortgage Association. As the fair values of U.S. Treasury securities are based on unadjusted quoted market prices in active markets, the fair values of these securities are classified as Level 1. The fair values of U.S. government agency securities are determined using the spread above the risk-free yield curve. As the yields for the risk-free yield curve and the spreads are observable market inputs, the fair values of U.S. government agency securities are classified as Level 2.

Non-U.S. Government

Non-U.S. government securities include bonds issued by non-U.S. governments and their agencies along with supranational organizations (collectively also known as sovereign debt securities). The fair values of these securities are based on prices obtained from international indices or valuation models that include inputs such as interest rate yield curves, cross-currency basis index spreads, and country credit spreads for structures similar to the sovereign bond in terms of issuer, maturity and seniority. As the significant inputs used to price these securities are observable market inputs, the fair values of non-U.S. government securities are classified as Level 2.

Corporate Debt

Corporate debt securities consist primarily of investment-grade debt of a wide variety of corporate issuers and industries. The fair values of these securities are generally determined using the spread above the risk-free yield curve. These spreads are generally obtained from the new issue market, secondary trading and broker-dealer quotes. As the yields for the risk-free yield curve and the spreads are observable market inputs, the fair values of corporate debt securities are generally classified as Level 2. Where pricing is unavailable from pricing services, the Company obtains non-binding quotes from broker-dealers to estimate fair value. This is generally the case when there is a low volume of trading activity and current transactions are not orderly. In this event, the fair values of these securities are classified as Level 3.

Agency RMBS

Agency RMBS consist of bonds issued by the Federal National Mortgage Association, the Federal Home Loan Mortgage Corporation and the Government National Mortgage Association. The fair values of these securities are priced using a mortgage pool specific model which uses daily inputs from the active to be announced market and the spread associated with each mortgage pool based on vintage. As the significant inputs used to price these securities are observable market inputs, the fair values of Agency RMBS are classified as Level 2.

CMBS

CMBS mainly include investment-grade bonds originated by non-agencies. The fair values of these securities are determined using a pricing model which uses dealer quotes and other available trade information along with security level characteristics to determine deal specific spreads. As the significant inputs used to price these securities are observable market inputs, the fair values of CMBS are generally classified as Level 2. Where pricing is unavailable from pricing services, the Company obtains non-binding quotes from broker-dealers to estimate fair value. This is generally the case when there is a low volume of trading activity and current transactions are not orderly. In this event, the fair values of these securities are classified as Level 3.

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AXIS CAPITAL HOLDINGS LIMITED

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)

4. FAIR VALUE MEASUREMENTS (CONTINUED)

Non-agency RMBS

Non-agency RMBS mainly include investment-grade bonds originated by non-agencies. The fair values of these securities are determined using an option adjusted spread model or other relevant models, which use inputs including available trade information or broker quotes, prepayment and default projections based on historical statistics of the underlying collateral and current market data. As the significant inputs used to price these securities are observable market inputs, the fair values of non-agency RMBS are generally classified as Level 2. Where pricing is unavailable from pricing services, the Company obtains non-binding quotes from broker-dealers to estimate fair value. This is generally the case when there is a low volume of trading activity and current transactions are not orderly. In this event, the fair values of these securities are classified as Level 3.

ABS

ABS mainly include investment-grade bonds backed by pools of loans with a variety of underlying collateral, including auto loans, student loans, credit card receivables and collateralized loan obligations ("CLOs"), originated by a variety of financial institutions. The fair values of these securities are determined using a model which uses prepayment speeds and spreads sourced primarily from the new issue market. As the significant inputs used to price these securities are observable market inputs, the fair values of ABS are generally classified as Level 2. Where pricing is unavailable from pricing services, the Company obtains non-binding quotes from broker-dealers to estimate fair value. This is generally the case when there is a low volume of trading activity and current transactions are not orderly. In this event, the fair values of these securities are classified as Level 3.

Municipals

Municipals comprise revenue bonds and general obligation bonds issued by U.S. domiciled state and municipal entities. The fair values of these securities are determined using spreads obtained from the new issue market, trade prices and broker-dealers quotes. As the significant inputs used to price these securities are observable market inputs, the fair values of municipals are classified as Level 2.

Equity Securities

Equity securities include common stocks, preferred stocks, exchange-traded funds and bond mutual funds. As the fair values of common stocks, preferred stocks and exchange-traded funds are based on unadjusted quoted market prices in active markets, the fair values of these securities are classified as Level 1. As bond mutual funds have daily liquidity, the fair values of these securities are classified as Level 2.

Other Investments

The fair value of an indirect investment in CLO-Equities is estimated using an income approach valuation technique, specifically an externally developed discounted cash flow model due to the lack of observable and relevant trades in secondary markets. As the significant inputs used to price this security are unobservable, the fair value of the indirect investment in CLO-Equities is classified as Level 3.

Other privately held investments include convertible preferred shares, common shares, convertible notes, investments in limited partnerships and a variable yield security. These investments are initially valued at cost, which approximates fair value. In subsequent measurement periods, the fair values of these investments is derived from one or a combination of valuation methodologies which consider factors including recent capital raises by the investee companies, comparable precedent transaction multiples, comparable publicly traded multiples, third-party valuations, discounted cash-flow models, and other techniques that account for the industry and development stage of each investee company. The fair value of the variable yield security is determined using an externally developed discounted cash flow model. In order to assess the reasonableness of the information received from investee companies, the Company maintains an understanding of current market conditions, historical results, and emerging trends that may impact the results of operations, financial condition or liquidity of these companies. In addition, the Company engages in regular communication with management at investee companies. As the significant inputs used to price these investments are unobservable, the fair values of other privately held investments are classified as Level 3.

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AXIS CAPITAL HOLDINGS LIMITED

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)

4. FAIR VALUE MEASUREMENTS (CONTINUED)

Short-term Investments

Short-term investments primarily comprise highly liquid securities with maturities greater than three months but less than one year from the date of purchase. These securities are typically not actively traded due to their approaching maturity, therefore their amortized cost approximates fair value. The fair values of short-term investments are classified as Level 2.

Derivative Instruments

Derivative instruments include foreign exchange forward contracts that are customized to the Company's economic hedging strategies and trade in the over-the-counter derivative market. The fair values of these derivatives are determined using a market approach valuation technique based on significant observable market inputs from third-party pricing vendors, non-binding broker-dealer quotes and/or recent trading activity. As the significant inputs used to price these derivatives are observable market inputs, the fair values of these derivatives are classified as Level 2.

Other underwriting-related derivatives include insurance and reinsurance contracts that are accounted for as derivatives. These derivative contracts are initially valued at cost which approximates fair value. In subsequent measurement periods, the fair values of these derivatives are determined using internally developed discounted cash flow models. As the significant inputs used to price these derivatives are unobservable, the fair values of these contracts are classified as Level 3.

Cash-Settled Awards

Cash-settled awards comprise restricted stock units that form part of the Company's compensation program. Although the fair values of these awards are determined using observable quoted market prices in active markets, the restricted stock units are not actively traded. As the significant inputs used to price these securities are observable market inputs, the fair values of these liabilities are classified as Level 2.

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AXIS CAPITAL HOLDINGS LIMITED

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)

4. FAIR VALUE MEASUREMENTS (CONTINUED)

The tables below present the financial instruments measured at fair value on a recurring basis for the periods indicated:


	Quoted prices in active markets for identical assets (Level 1)		Significant other observable inputs (Level 2)		Significant unobservable inputs (Level 3)		Fair value based on NAV practical expedient		Total fair value

At September 30, 2022
Assets
Fixed maturities, available for sale
U.S. government and agency	$	2,348,010	$	38,498	$	—	$	—	$	2,386,508
Non-U.S. government	—		515,695		—		—		515,695
Corporate debt	—		4,044,161		95,951		—		4,140,112
Agency RMBS	—		1,016,008		—		—		1,016,008
CMBS	—		1,005,008		—		—		1,005,008
Non-agency RMBS	—		141,356		—		—		141,356
ABS	—		1,436,712		—		—		1,436,712
Municipals	—		142,954		—		—		142,954
	2,348,010		8,340,392		95,951		—		10,784,353
Equity securities
Common stocks	11,287		—		—		—		11,287
Preferred stocks	72		—		—		—		72
Exchange-traded funds	270,580		—		—		—		270,580
Bond mutual funds	—		187,900		—		—		187,900
	281,939		187,900		—		—		469,839
Other investments
Hedge funds (1)	—		—		—		39,138		39,138
Direct lending funds	—		—		—		249,561		249,561
Private equity funds	—		—		—		268,593		268,593
Real estate funds	—		—		—		287,932		287,932
CLO-Equities	—		—		5,167		—		5,167
Other privately held investments	—		—		119,919		—		119,919

	—		—		125,086		845,224		970,310
Short-term investments	—		80,260		—		—		80,260
Other assets
Derivative instruments (refer to Note 5)	—		13,929		—		—		13,929

Total Assets	$	2,629,949	$	8,622,481	$	221,037	$	845,224	$	12,318,691
Liabilities
Derivative instruments (refer to Note 5)	$	—	$	20,207	$	4,286	$	—	$	24,493
Cash-settled awards (refer to Note 8)	—		4,084		—		—		4,084
Total Liabilities	$	—	$	24,291	$	4,286	$	—	$	28,577

(1) Includes Long/short equity and Multi-strategy funds.

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AXIS CAPITAL HOLDINGS LIMITED

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)

4. FAIR VALUE MEASUREMENTS (CONTINUED)


	Quoted prices in active markets for identical assets (Level 1)		Significant other observable inputs (Level 2)		Significant unobservable inputs (Level 3)		Fair value based on NAV practical expedient		Total fair value


































At December 31, 2021
Assets
Fixed maturities, available for sale
U.S. government and agency	$	2,632,541	$	49,907	$	—	$	—	$	2,682,448
Non-U.S. government	—		795,178		—		—		795,178
Corporate debt	—		4,452,418		42,894		—		4,495,312
Agency RMBS	—		1,074,589		—		—		1,074,589
CMBS	—		1,248,191		—		—		1,248,191
Non-agency RMBS	—		186,164		—		—		186,164
ABS	—		1,622,480		—		—		1,622,480
Municipals	—		208,838		—		—		208,838
	2,632,541		9,637,765		42,894		—		12,313,200
Equity securities
Common stocks	1,364		—		—		—		1,364
Preferred stocks	179		—		—		—		179
Exchange-traded funds	336,815		—		—		—		336,815
Bond mutual funds	—		317,317		—		—		317,317
	338,358		317,317		—		—		655,675
Other investments
Hedge funds (1)	—		—		—		59,488		59,488
Direct lending funds	—		—		—		289,867		289,867
Private equity funds	—		—		—		249,974		249,974
Real estate funds	—		—		—		238,222		238,222
CLO-Equities	—		—		5,910		—		5,910
Other privately held investments	—		—		104,521		—		104,521

	—		—		110,431		837,551		947,982
Short-term investments	—		31,063		—		—		31,063
Other assets
Derivative instruments (refer to Note 5)	—		3,116		—		—		3,116

Total Assets	$	2,970,899	$	9,989,261	$	153,325	$	837,551	$	13,951,036
Liabilities
Derivative instruments (refer to Note 5)	$	—	$	14,987	$	5,630	$	—	$	20,617
Cash-settled awards (refer to Note 8)	—		9,091		—		—		9,091
Total Liabilities	$	—	$	24,078	$	5,630	$	—	$	29,708

(1) Includes Long/short equity and Multi-strategy funds.

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AXIS CAPITAL HOLDINGS LIMITED

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)

4. FAIR VALUE MEASUREMENTS (CONTINUED)

The following table quantifies the significant unobservable inputs used in estimating fair values at September 30, 2022 of investments classified as Level 3 in the fair value hierarchy:


	Asset / Liability - Fair value		Valuation technique	Unobservable input	Amount / Range	Weighted average

Other investments - CLO-Equities	$	5,167	Discounted cash flow	Default rate	4.5%	4.5%
				Loss severity rate	50.0%	50.0%
				Collateral spread	3.0%	3.0%
				Estimated maturity date	6 years	6 years

Other investments - Other privately held investments	$	15,910	Discounted cash flow	Discount rate	5.4%	5.4%
				Default rate	0.5%	0.5%
				Loss absorption yield	1.0%	1.0%
				Estimated maturity date	2-3 years	3 years

Derivatives - Other underwriting-related derivatives	$	(4,286)	Discounted cash flow	Discount rate	4.1%	4.1%

Note: Fixed maturities of $96 million that are classified as Level 3 are excluded from the above table as these securities are priced using broker-dealer quotes. In addition, other privately held investments of $104 million that are classified as Level 3 are excluded from the above table as these investments are priced using capital statements received from investee companies.

Other Investments - CLO-Equities

The CLO-Equities market continues to be relatively inactive with only a small number of transactions being observed, particularly related to transactions involving CLO-Equities held by the Company. Accordingly, the fair value of the Company's indirect investment in CLO-Equities is determined using a discounted cash flow model prepared by an external investment manager.

The default and loss severity rates are the most judgmental unobservable market inputs to the discounted cash flow model to which the valuation of the Company's indirect investment in CLO-Equities is most sensitive. A significant increase (decrease) in either of these significant inputs in isolation would result in a lower (higher) fair value estimate for the investment in CLO-Equities and, in general, a change in default rate assumptions would be accompanied by a directionally similar change in loss severity rate assumptions. Collateral spreads and estimated maturity dates are less judgmental inputs as they are based on the historical average of actual spreads and the weighted average life of the current underlying portfolios, respectively. A significant increase (decrease) in either of these significant inputs in isolation would result in a higher (lower) fair value estimate for the investment in CLO-Equities. In general, these inputs have no significant interrelationship with each other or with default and loss severity rates.

On a quarterly basis, the Company's valuation process for its indirect investment in CLO-Equities includes a review of the underlying cash flows and key assumptions used in the discounted cash flow model. The above significant unobservable inputs are reviewed and updated based on information obtained from secondary markets, including information received from the managers of the Company's CLO-Equities investment. In order to assess the reasonableness of the inputs the Company uses in the discounted cash flow model, the Company maintains an understanding of current market conditions, historical results, and emerging trends that may impact future cash flows. In addition, the assumptions the Company uses in its models are updated through regular communication with industry participants and ongoing monitoring of the deals in which the Company participates.

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AXIS CAPITAL HOLDINGS LIMITED

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)

4. FAIR VALUE MEASUREMENTS (CONTINUED)

Other Investments - Other Privately Held Securities

Other privately held securities are initially valued at cost which approximates fair value. In subsequent measurement periods, the fair value of the variable yield security was determined using an externally developed discounted cash flow model. This model includes inputs that are specific to that investment. The inputs used in the fair value measurement include an appropriate discount rate, default rate, loss absorption rate and estimated maturity date. The selection of an appropriate discount rate is judgmental and is the most significant unobservable input used in the valuation of this investment. A significant increase (decrease) in this input in isolation could result in significantly lower (higher) fair value measurement for this investment. In order to assess the reasonableness of the inputs the Company uses in the discounted cash flow model, the Company maintains an understanding of current market conditions, historical results, as well as investee specific information that may impact future cash flows.

Derivatives - Other Underwriting-related Derivatives

Other underwriting-related derivatives are initially valued at cost which approximates fair value. In subsequent measurement periods, the fair values of these derivatives are determined using internally developed discounted cash flow models which use appropriate discount rates. The selection of an appropriate discount rate is judgmental and is the most significant unobservable input used in the valuation of these derivatives. A significant increase (decrease) in this input in isolation could result in a significantly lower (higher) fair value measurement for the derivative contracts. In order to assess the reasonableness of the inputs the Company uses in the discounted cash flow model, the Company maintains an understanding of current market conditions, historical results, as well as contract specific information that may impact future cash flows.

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AXIS CAPITAL HOLDINGS LIMITED

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)

4. FAIR VALUE MEASUREMENTS (CONTINUED)

The following table presents changes in Level 3 for financial instruments measured at fair value on a recurring basis:


	Opening balance		Transfers into Level 3		Transfers out of Level 3		Included in net income(1)		Included in OCI (2)		Purchases		Sales		Settlements/ distributions		Closing balance		Change in unrealized gains/(losses) (3)

Three months ended September 30, 2022
Fixed maturities, available for sale
Corporate debt	$	72,830	$	—	$	—	$	(34)	$	(3,977)	$	27,600	$	—	$	(468)	$	95,951	$	—
CMBS	—		—		—		—		—		—		—		—		—		—

ABS	—		—		—		—		—		—		—		—		—		—
	72,830		—		—		(34)		(3,977)		27,600		—		(468)		95,951		—
Other investments



CLO-Equities	4,808		—		—		890		—		—		—		(531)		5,167		890
Other privately held investments	115,970		—		—		1,249		—		2,700		—		—		119,919		1,249
	120,778		—		—		2,139		—		2,700		—		(531)		125,086		2,139




Total assets	$	193,608	$	—	$	—	$	2,105	$	(3,977)	$	30,300	$	—	$	(999)	$	221,037	$	2,139

Other liabilities
Derivative instruments	$	4,708	$	—	$	—	$	(422)	$	—	$	—	$	—	$	—	$	4,286	$	(422)
Total liabilities	$	4,708	$	—	$	—	$	(422)	$	—	$	—	$	—	$	—	$	4,286	$	(422)

Nine months ended September 30, 2022
Fixed maturities, available for sale
Corporate debt	$	42,894	$	—	$	—	$	(34)	$	(10,600)	$	64,832	$	—	$	(1,141)	$	95,951	$	—
CMBS	—		—		—		—		—		—		—		—		—		—

ABS	—		—		—		—		—		—		—		—		—		—
	42,894		—		—		(34)		(10,600)		64,832		—		(1,141)		95,951		—
Other investments



CLO-Equities	5,910		—		—		2,566		—		—		—		(3,309)		5,167		2,566
Other privately held investments	104,521		—		—		(2,242)		—		19,640		—		(2,000)		119,919		(2,242)
	110,431		—		—		324		—		19,640		—		(5,309)		125,086		324




Total assets	$	153,325	$	—	$	—	$	290	$	(10,600)	$	84,472	$	—	$	(6,450)	$	221,037	$	324

Other liabilities
Derivative instruments	$	5,630	$	—	$	—	$	(1,344)	$	—	$	—	$	—	$	—	$	4,286	$	(1,344)
Total liabilities	$	5,630	$	—	$	—	$	(1,344)	$	—	$	—	$	—	$	—	$	4,286	$	(1,344)

(1) Realized gains (losses) on fixed maturities and realized and unrealized gains (losses) on other assets and other liabilities included in net income are included in net investment gains (losses). Realized and unrealized gains (losses) on other investments included in net income are included in net investment income.

(2) Unrealized gains (losses) on fixed maturities are included in other comprehensive income ("OCI").

(3) Change in unrealized gains (losses) relating to assets and liabilities held at the reporting date.

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4. FAIR VALUE MEASUREMENTS (CONTINUED)


	Opening balance		Transfers into Level 3		Transfers out of Level 3		Included in net income(1)		Included in OCI(2)		Purchases		Sales		Settlements/ distributions		Closing balance		Change in unrealized gains/(losses)(3)

Three months ended September 30, 2021
Fixed maturities, available for sale
Corporate debt	$	22,726	$	—	$	—	$	—	$	(121)	$	25,000	$	—	$	—	$	47,605	$	—
CMBS	—		—		—		—		—		—		—		—		—		—

ABS	12,560		—		(12,582)		—		22		—		—		—		—		—
	35,286		—		(12,582)		—		(99)		25,000		—		—		47,605		—
Other investments



CLO-Equities	7,002		—		—		356		—		—		—		(1,061)		6,297		356
Other privately held investments	64,786		—		—		213		—		3,436		—		(2,923)		65,512		213
	71,788		—		—		569		—		3,436		—		(3,984)		71,809		569





Total assets	$	107,074	$	—	$	(12,582)	$	569	$	(99)	$	28,436	$	—	$	(3,984)	$	119,414	$	569

Other liabilities
Derivative instruments	$	8,117	$	—	$	—	$	(398)	$	—	$	—	$	—	$	—	$	7,719	$	(398)
Total liabilities	$	8,117	$	—	$	—	$	(398)	$	—	$	—	$	—	$	—	$	7,719	$	(398)

Nine months ended September 30, 2021
Fixed maturities, available for sale
Corporate debt	$	2,504	$	7,000	$	—	$	—	$	(199)	$	38,300	$	—	$	—	$	47,605	$	—
CMBS	1,740		—		—		—		13		—		—		(1,753)		—		—

ABS	10,665		18,566		(28,789)		—		58		—		—		(500)		—		—
	14,909		25,566		(28,789)		—		(128)		38,300		—		(2,253)		47,605		—
Other investments



CLO-Equities	6,173		—		—		2,337		—		—		—		(2,213)		6,297		2,337
Other privately held investments	70,011		—		—		18,694		—		6,710		(26,980)		(2,923)		65,512		1,314
	76,184		—		—		21,031		—		6,710		(26,980)		(5,136)		71,809		3,651




Total assets	$	91,093	$	25,566	$	(28,789)	$	21,031	$	(128)	$	45,010	$	(26,980)	$	(7,389)	$	119,414	$	3,651

Other liabilities
Derivative instruments	$	9,122	$	—	$	—	$	(1,403)	$	—	$	—	$	—	$	—	$	7,719	$	(1,403)
Total liabilities	$	9,122	$	—	$	—	$	(1,403)	$	—	$	—	$	—	$	—	$	7,719	$	(1,403)

(2) Unrealized gains (losses) on fixed maturities are included in other comprehensive income ("OCI").

(3) Change in unrealized gains (losses) relating to assets and liabilities held at the reporting date.

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4. FAIR VALUE MEASUREMENTS (CONTINUED)

Transfers into Level 3 from Level 2

There were no transfers into Level 3 from Level 2 during the three and nine months ended September 30, 2022. There were no transfers into Level 3 from Level 2 during the three months ended September 30, 2021. The transfers into Level 3 from Level 2 during the nine months ended September 30, 2021 were primarily due to the lack of observable market inputs and multiple quotes from pricing vendors and broker-dealers for certain fixed maturities.

Transfers out of Level 3 into Level 2

There were no transfers out of Level 3 into Level 2 during the three and nine months ended September 30, 2022. The transfers out of Level 3 into Level 2 during the three and nine months ended September 30, 2021 were primarily due to the availability of observable market inputs and multiple quotes from pricing vendors for certain fixed maturities.

Measuring the Fair Value of Other Investments Using Net Asset Valuations

The fair values of hedge funds, direct lending funds, private equity funds and real estate funds are estimated using net asset valuations ("NAVs") as advised by external fund managers or third-party administrators. For these funds, NAVs are based on the manager's or administrator's valuation of the underlying holdings in accordance with the fund's governing documents and in accordance with U.S. GAAP.

For hedge funds, direct lending funds, private equity funds and real estate funds, valuation statements are typically released on a reporting lag, therefore, the Company estimates the fair value of these funds by starting with the most recent fund valuations and adjusting for capital calls, redemptions, drawdowns and distributions. Return estimates are not available from the relevant fund managers for these funds, therefore the Company typically has a reporting lag in its fair value measurements of these funds. At September 30, 2022 and December 31, 2021 all funds measured at fair value using NAVs are reported generally on a one quarter lag.

The Company often does not have access to financial information relating to the underlying securities held within the funds, therefore, management is unable to corroborate the fair values placed on the securities underlying the asset valuations provided by fund managers or fund administrators. In order to assess the reasonableness of the NAVs, the Company performs a number of monitoring procedures on a quarterly basis, to assess the quality of the information provided by fund managers and fund administrators. These procedures include, but are not limited to, regular review and discussion of each fund's performance with its manager, regular evaluation of fund performance against applicable benchmarks and the backtesting of the Company's fair value estimates against subsequently received NAVs. Backtesting involves comparing the Company's previously reported fair values for each fund against NAVs per audited financial statements (for year-end values) and final NAVs from fund managers and fund administrators (for interim values).

The fair values of hedge funds, direct lending funds, private equity funds and real estate funds are measured using the NAV practical expedient, therefore the fair values of these funds have not been categorized within the fair value hierarchy.

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)

4. FAIR VALUE MEASUREMENTS (CONTINUED)

Financial Instruments Disclosed, But Not Carried, at Fair Value

The fair value of financial instruments accounting guidance also applies to financial instruments disclosed, but not carried, at fair value, except for certain financial instruments, including insurance contracts.

At September 30, 2022, the carrying values of cash and cash equivalents including restricted amounts, accrued investment income, receivable for investments sold, certain other assets, payable for investments purchased and certain other liabilities approximated fair values due to their short maturities. As these financial instruments are not actively traded, their fair values are classified as Level 2.

At September 30, 2022, the Company's fixed maturities held to maturity, were recorded at amortized cost with a carrying value of $690 million (2021: $446 million) and a fair value of $664 million (2021: $445 million). The fair values of these securities are determined using a model which uses prepayment speeds and spreads sourced primarily from the new issue market. As the significant inputs used to price these securities are observable market inputs, their fair values are classified as Level 2.

At September 30, 2022, the carrying value of mortgage loans, held for investment, approximated fair value. The fair values of mortgage loans are primarily determined by estimating expected future cash flows and discounting them using current interest rates for similar mortgage loans with similar credit risk or are determined from pricing for similar loans. As mortgage loans are not actively traded, their fair values are classified as Level 3.

At September 30, 2022, the Company's debt was recorded at amortized cost with a carrying value of $1,313 million (2021: $1,311 million) and a fair value of $1,136 million (2021: $1,453 million). The fair value of the Company's debt is based on prices obtained from a third-party pricing service and is determined using the spread above the risk-free yield curve. These spreads are generally obtained from the new issue market, secondary trading and broker-dealer quotes. As the yields for the risk-free yield curve and the spreads are observable market inputs, the fair value of the Company's debt is classified as Level 2.

At September 30, 2022, Federal Home Loan Bank advances were recorded at amortized cost with a carrying value of $81 million (2021: $nil) and a fair value of $81 million (2021: $nil).

5. DERIVATIVE INSTRUMENTS

The following table provides the balance sheet classifications of derivatives recorded at fair value:


	September 30, 2022						December 31, 2021
	Derivative notional amount		Derivative asset fair value(1)		Derivative liability fair value(1)		Derivative notional amount		Derivative asset fair value(1)		Derivative liability fair value(1)

Relating to investment portfolio:
Foreign exchange forward contracts	$	151,002	$	1,710	$	14	$	184,187	$	13	$	1,463

Relating to underwriting portfolio:
Foreign exchange forward contracts	1,288,186		12,219		20,193		1,258,836		3,103		13,524


Other underwriting-related contracts	50,000		—		4,286		50,000		—		5,630
Total derivatives			$	13,929	$	24,493			$	3,116	$	20,617

(1)Derivative assets and derivative liabilities are classified within other assets and other liabilities in the consolidated balance sheets.

The notional amounts of derivative contracts represent the basis on which amounts paid or received are calculated and are presented in the above table to quantify the volume of the Company's derivative activities. Notional amounts are not reflective of credit risk.

None of the Company's derivative instruments are designated as hedges under current accounting guidance.

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)

5. DERIVATIVE INSTRUMENTS (CONTINUED)

Offsetting Assets and Liabilities

The Company's derivative instruments are generally traded under International Swaps and Derivatives Association master netting agreements which establish terms that apply to all transactions. In the event of a bankruptcy or other stipulated event, master netting agreements provide that individual positions be replaced with a new amount, usually referred to as the termination amount, determined by taking into account market prices and converting into a single currency. Effectively, this contractual close-out netting reduces credit exposure from gross to net exposure.

The following table provides a reconciliation of gross derivative assets and liabilities to the net amounts presented in the consolidated balance sheets, with the difference being attributable to the impact of master netting agreements:


	September 30, 2022						December 31, 2021
	Gross amounts		Gross amounts offset		Net amounts(1)		Gross amounts		Gross amounts offset		Net amounts(1)

Derivative assets	$	32,410	$	(18,481)	$	13,929	$	9,047	$	(5,931)	$	3,116
Derivative liabilities	$	42,974	$	(18,481)	$	24,493	$	26,548	$	(5,931)	$	20,617

(1)Net asset and liability derivatives are classified within other assets and other liabilities in the consolidated balance sheets.

Refer to Note 3 'Investments' for information on reverse repurchase agreements.

a) Relating to Investment Portfolio

Foreign Currency Risk

The Company's investment portfolio is exposed to foreign currency risk therefore the fair values of its investments are partially influenced by changes in foreign exchange rates. The Company may enter into foreign exchange forward contracts to manage the effect of this foreign currency risk. These foreign currency hedging activities are not designated as specific hedges for financial reporting purposes.

Interest Rate Risk

The Company's investment portfolio includes a large percentage of fixed maturities which exposes it to significant interest rate risk. As part of overall management of this risk, the Company may use interest rate swaps.

b) Relating to Underwriting Portfolio

Foreign Currency Risk

The Company's insurance and reinsurance subsidiaries and branches operate in various countries. Some of its business is written in currencies other than the U.S. dollar, therefore the underwriting portfolio is exposed to significant foreign currency risk. The Company manages foreign currency risk by seeking to match its foreign-denominated net liabilities under insurance and reinsurance contracts with cash and investments that are denominated in the same currencies. The Company uses derivative instruments, specifically, forward contracts to economically hedge foreign currency exposures.

Other Underwriting-related Risks

The Company enters into insurance and reinsurance contracts that are accounted for as derivatives. These insurance or reinsurance contracts provide indemnification to an insured or cedant as a result of a change in a variable as opposed to an identifiable insurable event. The Company considers these contracts to be part of its underwriting operations.

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5. DERIVATIVE INSTRUMENTS (CONTINUED)

The following table provides the total unrealized and realized gains (losses) recognized in net income for derivatives not designated as hedges:


	Consolidated statement of operations line item that includes gain (loss) recognized in net income	Three months ended September 30,				Nine months ended September 30,
		2022		2021		2022		2021


Relating to investment portfolio:
Foreign exchange forward contracts	Net investment gains (losses)	$	4,400	$	2,486	$	11,463	$	3,388

Relating to underwriting portfolio:
Foreign exchange forward contracts	Foreign exchange gains (losses)	(36,577)		(10,081)		(95,700)		(36,741)


Other underwriting-related contracts	Other insurance related income (loss)	421		399		1,343		1,404
Total		$	(31,756)	$	(7,196)	$	(82,894)	$	(31,949)

6. RESERVE FOR LOSSES AND LOSS EXPENSES

Reserve Roll-Forward

The following table presents a reconciliation of the Company's beginning and ending gross reserve for losses and loss expenses and net reserve for unpaid losses and loss expenses:


	Nine months ended September 30,
	2022		2021

Gross reserve for losses and loss expenses, beginning of period	$	14,653,094	$	13,926,766
Less reinsurance recoverable on unpaid losses and loss expenses, beginning of period	(5,017,611)		(4,496,641)
Net reserve for unpaid losses and loss expenses, beginning of period	9,635,483		9,430,125

Net incurred losses and loss expenses related to:
Current year	2,461,828		2,315,697
Prior years	(17,632)		(23,138)
	2,444,196		2,292,559

Net paid losses and loss expenses related to:
Current year	(269,466)		(263,969)
Prior years	(1,900,366)		(1,778,479)
	(2,169,832)		(2,042,448)

Foreign exchange and other	(501,914)		(10,885)

Net reserve for unpaid losses and loss expenses, end of period	9,407,933		9,669,351
Reinsurance recoverable on unpaid losses and loss expenses, end of period	5,244,263		4,989,645
Gross reserve for losses and loss expenses, end of period	$	14,652,196	$	14,658,996

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)

6. RESERVE FOR LOSSES AND LOSS EXPENSES (CONTINUED)

The Company writes business with loss experience generally characterized as low frequency and high severity in nature, which can result in volatility in its financial results. During the nine months ended September 30, 2022, the Company recognized catastrophe and weather-related losses, net of reinstatement premiums, of $339 million (2021: $389 million).

At September 30, 2021, foreign exchange and other included a reduction in reinsurance recoverable on unpaid losses of $49 million related to the Reinsurance to Close of the 2018 year of account of Syndicate 2007.

Estimates for Significant Catastrophe Events

At September 30, 2022, net reserves for losses and loss expenses included estimated amounts for numerous catastrophe events. The magnitude and complexity of losses arising from certain of these events inherently increase the level of uncertainty and, therefore, the level of management judgment involved in arriving at estimated net reserves for losses and loss expenses. These events include Hurricane Ian, June European Convective Storms and the Russia-Ukraine war in 2022, Hurricane Ida, U.S. Winter Storms Uri and Viola and July European Floods in 2021, the COVID-19 pandemic, Hurricanes Laura, Sally, Zeta and Delta, the Midwest derecho and wildfires across the West Coast of the United States in 2020, Japanese Typhoons Hagibis, Faxai and Tapah, Hurricane Dorian and the Australia Wildfires in 2019 and Hurricanes Michael and Florence, California Wildfires and Typhoon Jebi in 2018. As a result, actual losses for these events may ultimately differ materially from current estimates.

Prior Year Reserve Development

The Company's net favorable prior year reserve development arises from changes to estimates of losses and loss expenses related to loss events that occurred in previous calendar years. The following table presents net prior year reserve development by segment:


	Three months ended September 30,				Nine months ended September 30,
	2022		2021		2022		2021
	Favorable (Adverse)		Favorable (Adverse)		Favorable (Adverse)		Favorable (Adverse)

Insurance	$	2,558	$	5,418	$	12,396	$	13,351
Reinsurance	2,177		5,594		5,236		9,787
Total	$	4,735	$	11,012	$	17,632	$	23,138

The following sections provide further details on net prior year reserve development by segment, reserving class and accident year:

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6. RESERVE FOR LOSSES AND LOSS EXPENSES (CONTINUED)

Insurance Segment:

The following table maps lines of business to reserve classes and the expected claim tails:

Insurance segment

Reserve class and tail

Property and other

Marine

Aviation

Credit and political risk

Professional lines

Liability

Short

Short/Medium

Medium

Long

Reported lines of business

Property

Marine

Terrorism

Aviation

Credit and political risk

Professional lines

Liability

Accident and health

Prior year reserve development by reserve class was as follows:


	Three months ended September 30,				Nine months ended September 30,
	2022		2021		2022		2021
	Favorable (Adverse)		Favorable (Adverse)		Favorable (Adverse)		Favorable (Adverse)

Property and other	$	5,211	$	12,486	$	18,290	$	63,167
Marine	17,346		4,189		30,239		23,411
Aviation	3,203		3,958		7,888		9,802
Credit and political risk	8,106		7,610		13,288		6,294
Professional lines	(2,747)		(20,759)		(3,937)		(68,405)
Liability	(28,561)		(2,066)		(53,372)		(20,918)
Total	$	2,558	$	5,418	$	12,396	$	13,351

For the three months ended September 30, 2022, the Company recognized $3 million of net favorable prior year reserve development, the principal components of which were:

•$17 million of net favorable prior year reserve development on marine business primarily due to better than expected loss emergence attributable to the cargo and specie, liability, and offshore energy books of business mainly related to the 2020 and 2021 accident years.

•$8 million of net favorable prior year reserve development on credit and political risk business primarily due to better than expected loss emergence mainly related to the 2016 through 2020 accident years.

•$5 million of net favorable prior year reserve development on property and other business primarily due to reserve reductions attributable to 2020 catastrophe events, partially offset by reserve strengthening within the U.S. programs book of business mainly related to the 2021 accident year, and the accident and health line of business mainly related to the 2020 and 2021 accident years.

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)

6. RESERVE FOR LOSSES AND LOSS EXPENSES (CONTINUED)

•$29 million of net adverse prior year reserve development on liability business primarily due to reserve strengthening within the U.S. programs book of business mainly related to the 2018 and 2019 accident years and the U.S. primary casualty and U.S. excess casualty books of business mainly related to the 2017 through 2021 accident years.

For the three months ended September 30, 2021, the Company recognized $5 million of net favorable prior year reserve development, the principal components of which were:

•$12 million of net favorable prior year reserve development on property and other business primarily due to better than expected loss emergence attributable to 2017 to 2020 catastrophe events, and the global property and E&S property books of business related to the 2020 accident year.

•$8 million of net favorable prior year reserve development on credit and political risk business primarily due to better than expected loss emergence mainly related to the 2019 and 2020 accident years.

•$4 million of net favorable prior year reserve development on marine business primarily due to better than expected loss emergence attributable to the cargo and specie books of business mainly related to the 2018 and 2020 accident years.

•$4 million of net favorable prior year reserve development on aviation business primarily due to better than expected loss emergence mainly related to the 2020 accident year.

•$21 million of net adverse prior year reserve development on professional lines business primarily due to reserve strengthening within the International cyber program book of business mainly related to the 2019 accident year, the International management liability solutions book of business mainly related to the 2016 through 2019 accident years and the U.S. professional firms book of business mainly related to the 2018 and 2019 accident years.

For the nine months ended September 30, 2022, we recognized $12 million of net favorable prior year reserve development, the principal components of which were:

•$30 million of net favorable prior year reserve development on marine business primarily due to better than expected loss emergence attributable to the cargo and specie, and offshore energy books of business mainly related to the 2018, 2020 and 2021 accident years.

•$18 million of net favorable prior year reserve development on property and other business primarily due to better than expected loss emergence attributable to 2018 and 2020 catastrophe events, and decreases in loss estimates attributable to specific large claims related to the 2017 accident year.

•$13 million of net favorable prior year reserve development on credit and political risk business primarily due to better than expected loss emergence mainly related to the 2017, 2018 and 2020 accident years.

•$8 million of net favorable prior year reserve development on aviation business primarily due to better than expected loss emergence mainly related to the 2021 accident year.

•$53 million of net adverse prior year reserve development on liability business primarily due to reserve strengthening within the U.S programs book of business mainly related to the 2017 through 2021 accident years and an increase in the loss estimate attributable to a specific large claim related to the 2017 accident year.

For the nine months ended September 30, 2021, we recognized $13 million of net favorable prior year reserve development, the principal components of which were:

•$63 million of net favorable prior year reserve development on property and other business primarily due to decreases in loss estimates attributable to specific large claims related to the 2011 and 2012 accident years, better than expected loss emergence attributable to 2017 to 2020 catastrophe events, the global property and E&S property books of business related to the 2020 accident year, and the accident and health book of business related to the 2019 and 2020 accident years.

•$23 million of net favorable prior year reserve development on marine business primarily due to better than expected loss emergence attributable to cargo, offshore energy and specie books of business mainly related to the 2017, 2018 and 2020 accident years and decreases in loss estimates attributable to specific large claims related to 2012 accident year.

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)

6. RESERVE FOR LOSSES AND LOSS EXPENSES (CONTINUED)

•$10 million of net favorable prior year reserve development on aviation business primarily due to better than expected loss emergence attributable to the International book of business related to the 2020 accident year.

•$6 million of net favorable prior year reserve development on credit and political risk business primarily due to better than expected loss emergence mainly related to the 2019 accident year.

•$68 million of net adverse prior year reserve development on professional lines business primarily due to reserve strengthening within the International management liability solutions and financial institutions books of businesses related to the 2016 through 2019 accident years, the professional firms book of business mainly related to the 2018 and 2019 accident years, the International cyber book of business mainly related to the 2019 accident year, the U.S. commercial management solutions book of business mainly related to the 2018 and 2019 accident years and the European program and European management liability solutions books of business mainly related to the 2018 accident year.

•$21 million of net adverse prior year reserve development on liability business primarily due to reserve strengthening within the program book of business mainly related to the 2018 and 2019 accident years.

Reinsurance Segment:

The following table maps lines of business to reserve classes and the expected claim tails:

Reinsurance segment

Reserve class and tail

Property and other

Credit and surety

Professional lines

Motor

Liability

Short

Medium

Long

Reported lines of business

Catastrophe

Property

Credit and surety

Professional lines

Motor

Liability

Engineering

Agriculture

Marine and aviation

Accident and health

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)

6. RESERVE FOR LOSSES AND LOSS EXPENSES (CONTINUED)

Prior year reserve development by reserve class was as follows:


	Three months ended September 30,				Nine months ended September 30,
	2022		2021		2022		2021
	Favorable (Adverse)		Favorable (Adverse)		Favorable (Adverse)		Favorable (Adverse)

Property and other	$	12,794	$	(5,486)	$	44,127	$	7,792
Credit and surety	5,905		8,623		16,952		(1,231)
Professional lines	(11,431)		(3,244)		(41,954)		(14,048)
Motor	6,849		8,345		8,979		38,431
Liability	(11,940)		(2,645)		(22,868)		$	(21,157)
Total	$	2,177	$	5,594	$	5,236	$	9,787

For the three months ended September 30, 2022, the Company recognized $2 million of net favorable prior year reserve development, the principal components of which were:

•$13 million of net favorable prior year development on property and other business primarily due to better than expected loss emergence attributable to 2018 catastrophe events, decreases in loss estimates attributable to specific large claims within the property line of business related to the 2019 through 2021 accident years, and better than expected loss emergence attributable to the accident and health line of business mainly related to the 2019 through 2021 accident years.

•$7 million of net favorable prior year reserve development on motor business primarily due to better than expected loss emergence mainly related to the 2017 and 2018 accident years.

•$6 million of net favorable prior year reserve development on credit and surety business primarily due to better than expected loss emergence mainly related to the 2015, 2018 and 2019 accident years.

•$12 million of net adverse prior year development on liability business primarily due to reserve strengthening within the U.S. multiline/regional and U.S. Casualty book of business mainly related to 2016 and older accident years.

•$11 million of net adverse prior year development on professional lines business primarily due to reserve strengthening within the U.S. public D&O and the U.S. proportional books of business mainly related to 2017 and older accident years.

For the three months ended September 30, 2021, the Company recognized $6 million of net favorable prior year reserve development, the principal components of which were:

•$9 million of net favorable prior year reserve development on credit and surety business primarily due to better than expected loss emergence attributable to the European surety book of business related to several accident years.

•$8 million of net favorable prior year reserve development on motor business primarily due to proportional treaty business mainly related to the 2018 and 2019 accident years.

•$5 million of net adverse prior year development on property and other business primarily due to reserve strengthening within the engineering line of business mainly related to the 2016 to 2019 accident years, and attributable to 2017 and 2020 catastrophe events, partially offset by better than expected loss emergence attributable to the agriculture book of business mainly related to the 2020 accident year.

For the nine months ended September 30, 2022, we recognized $5 million of net favorable prior year reserve development, the principal components of which were:

•$44 million of net favorable prior year development on property and other business primarily due to better than expected loss emergence attributable to 2018 through 2021 catastrophe events, the agriculture line of business mainly related to the 2021 accident year, and the accident and health line of business mainly related to the 2019 through 2021 accident years.

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)

6. RESERVE FOR LOSSES AND LOSS EXPENSES (CONTINUED)

•$17 million of net favorable prior year reserve development on credit and surety business primarily due to better than expected loss emergence mainly related to the 2015, 2016, 2018 and 2019 accidents years.

•$9 million of net favorable prior year reserve development on motor business primarily due to better than expected loss emergence mainly related to the 2018 and 2019 accident years.

•$42 million of net adverse prior year development on professional lines business primarily due to increases in loss estimates attributable to one cedant related to the 2016 to 2018 accident years, and a specific large claim related to the 2017 accident year, and reserve strengthening within the U.S. public D&O and the U.S. proportional books of business related to 2017 and older accident years.

•$23 million of net adverse prior year development on liability business primarily due to worse than expected loss emergence within the U.S. book of business related to the 2016 and older accident years, and increases in loss estimates attributable to specific large claims related to the 2003, 2015, 2018 and 2021 accident years.

For the nine months ended September 30, 2021, we recognized $10 million of net favorable prior year reserve development, the principal components of which were:

•$38 million of net favorable prior year reserve development on motor business primarily due to proportional and non- proportional treaty business mainly related to 2016 and older accident years.

•$8 million of net favorable prior year development on property and other business primarily due to decreases in the loss estimates attributable to specific claims related to the 2009, 2019 and 2020 accident years, better than expected loss emergence attributable to 2017 to 2019 catastrophe events, and the accident and health book of business mainly related to the 2020 accident year, partially offset by reserve strengthening within the engineering line of business mainly related to the 2016 to 2019 accident years, and attributable to 2020 catastrophe events.

•$21 million of net adverse prior year reserve development on liability business primarily due to increases in the loss estimates attributable to specific large claims related to the 2017 accident year and reserve strengthening within the commercial auto liability and U.S. multiline/regional books of business related to the 2018 accident year.

•$14 million of net adverse prior year reserve development on professional lines business primarily due to reserve strengthening within the U.S. and European books of business related to the 2015 through 2018 accident year and increases in the loss estimates attributable to specific large claims related to the 2015 to 2017 accident years.

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AXIS CAPITAL HOLDINGS LIMITED

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)

7. EARNINGS PER COMMON SHARE

The following table presents a comparison of earnings per common share and earnings per diluted common share:


	Three months ended September 30,				Nine months ended September 30,
	2022		2021		2022		2021

Earnings (loss) per common share
Net income (loss)	$	(9,384)	$	54,948	$	174,592	$	413,716

Less: Preferred share dividends	7,563		7,563		22,688		22,688

Net income (loss) available (attributable) to common shareholders	(16,947)		47,385		151,904		391,028
Weighted average common shares outstanding	84,660		84,771		84,930		84,684
Earnings (loss) per common share	$	(0.20)	$	0.56	$	1.79	$	4.62

Earnings (loss) per diluted common share
Net income (loss) available (attributable) to common shareholders	$	(16,947)	$	47,385	$	151,904	$	391,028

Weighted average common shares outstanding	84,660		84,771		84,930		84,684

Share-based compensation plans	—		565		744		507
Weighted average diluted common shares outstanding	84,660		85,336		85,674		85,191

Earnings (loss) per diluted common share	$	(0.20)	$	0.56	$	1.77	$	4.59

Weighted average anti-dilutive shares excluded from the dilutive computation	160		477		432		873

(1) Due to the net loss attributable to common shareholders recognized for the three months ended September 30, 2022, the share equivalents were anti-dilutive.

8. SHARE-BASED COMPENSATION

Performance Restricted Stock Units

Performance Restricted Stock Units granted in 2022

Performance restricted stock units granted in 2022 include a market condition which is the Company’s total shareholder return relative to its peer group ("Relative TSR") over the performance period. Relative TSR is calculated in accordance with the terms of the applicable award agreement. If performance goals are achieved, these awards will cliff vest at the end of a three-year performance period within a range of 0% to 200% of target. Performance restricted stock units granted in 2022 were share-settled awards.

Valuation assumptions

The fair value of performance restricted stock units granted in 2022 was measured on the grant date using a Monte Carlo simulation model.

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AXIS CAPITAL HOLDINGS LIMITED

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)

8. SHARE-BASED COMPENSATION (CONTINUED)

The following table provides details of the significant inputs used in the Monte Carlo simulation model:


Nine months ended September 30,	2022	2021

Expected volatility	33.44%	32.99%
Expected term (in years)	3.0	3.0
Expected dividend yield	n/a	n/a
Risk-free interest rate	1.26%	0.17%

Beginning share price: The beginning share price was based on the average closing share price over the 10 trading days preceding and including the start of the performance period.

Ending share price: The ending share price was based on the average projected closing share price over the 10 trading days preceding and including the end of the performance period.

Expected volatility: The expected volatility is estimated based on the Company's historical share price volatility.

Expected term: Performance for awards granted in 2022 is measured from January 1, 2022 to December 31, 2024, and performance for awards granted in 2021 is measured from January 1, 2021 to December 31, 2023.

Expected dividend yield: The expected dividend yield is not applicable to the performance restricted stock units as dividends are paid at the end of the vesting period and do not affect the value of the performance restricted stock units.

Risk-free interest rate: The risk free rate is estimated based on the yield on a U.S. treasury zero-coupon bond issued with a remaining term equal to the vesting period of the performance restricted stock units.

Compensation expense associated with performance restricted stock units granted in 2022 and 2021 is determined on the grant date based on the fair value calculated by the Monte Carlo simulation model, and is recognized on a straight-line basis over the requisite service period.

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AXIS CAPITAL HOLDINGS LIMITED

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)

8. SHARE-BASED COMPENSATION (CONTINUED)

Share-Settled Awards

The following table provides an activity summary of the Company's share-settled restricted stock units for the nine months ended September 30, 2022:


	Share-Settled Performance Restricted Stock Units			Share-Settled Service Restricted Stock Units
	Number of restricted stock units	Weighted average grant date fair value		Number of restricted stock units	Weighted average grant date fair value

Non-vested restricted stock units - beginning of period	311	$	54.75	2,062	$	51.59
Granted	140	68.63		989	56.11
Vested	(100)	54.70		(682)	52.66
Forfeited	—	—		(180)	53.05
Non-vested restricted stock units - end of period	351	$	60.15	2,189	$	53.18

Cash-Settled awards

The following table provides an activity summary of the Company's cash-settled restricted stock units for the nine months ended September 30, 2022:


												Cash-Settled Service Restricted Stock Units
												Number of restricted stock units

			Non-vested restricted stock units - beginning of period									215
			Granted									—
			Vested									(143)
			Forfeited									(8)
			Non-vested restricted stock units - end of period									64

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


Nine months ended September 30,	2022		2021

Share-based compensation expense(1)	$	43,595	$	37,394
Tax benefits associated with share-based compensation expense	$	7,468	$	6,248
Liability for cash-settled restricted stock units(2)	$	4,084	$	6,697
Fair value of restricted stock units vested(3)	$	49,239	$	42,582
Unrecognized share-based compensation expense	$	91,810	$	95,636
Expected weighted average period associated with the recognition of unrecognized share-based compensation expense	2.5 years		2.6 years

(1) Related to share-settled restricted stock units and cash-settled restricted stock units.

(2) Included in other liabilities in the consolidated balance sheets.

(3) Fair value is based on the closing price of the Company's common shares on the vest date.

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AXIS CAPITAL HOLDINGS LIMITED

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)

9. SHAREHOLDERS' EQUITY

The following table presents changes in common shares issued and outstanding:


	Three months ended September 30,		Nine months ended September 30,
	2022	2021	2022	2021

Shares issued, balance at beginning of period	176,580	176,580	176,580	176,580
Shares issued	—	—	—	—
Total shares issued at end of period	176,580	176,580	176,580	176,580

Treasury shares, balance at beginning of period	(91,925)	(91,813)	(91,806)	(92,227)
Shares repurchased	(6)	(4)	(891)	(201)
Shares reissued	17	10	783	621
Total treasury shares at end of period	(91,914)	(91,807)	(91,914)	(91,807)

Total shares outstanding	84,666	84,773	84,666	84,773

Treasury Shares

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


	Three months ended September 30,				Nine months ended September 30,
	2022		2021		2022		2021

In the open market:(1)
Total shares	—		—		634		—
Total cost	$	—	$	—	$	34,987	$	—
Average price per share(2)	$	—	$	—	$	55.22	$	—

From employees:(3)
Total shares	6		4		257		201
Total cost	$	342	$	206	$	13,688	$	10,025
Average price per share(2)	$	53.78	$	49.91	$	53.12	$	49.87






Total shares repurchased:
Total shares	6		4		891		201
Total cost	$	342	$	206	$	48,675	$	10,025
Average price per share(2)	$	53.78	$	49.91	$	54.61	$	49.87

(1) Shares are repurchased pursuant to the Company's Board-authorized share repurchase program announced in December 2021, effective January 1, 2022 through

to December 31, 2022.

(2) Calculated using whole numbers.

(3) Shares are repurchased from employees to facilitate the satisfaction of their personal withholding tax liabilities that arise on the vesting of share-settled restricted stock units.

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AXIS CAPITAL HOLDINGS LIMITED

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)

9. SHAREHOLDERS' EQUITY (CONTINUED)

Dividends

The following table presents dividends declared and paid related to the Company's common and preferred shares:


	Per share data
	Dividends declared		Dividends paid in period of declaration		Dividends paid in period following declaration

Three months ended September 30, 2022
Common shares	$	0.43	$	—	$	0.43

Series E preferred shares	$	34.38	$	—	$	34.38

Three months ended September 30, 2021
Common shares	$	0.42	$	—	$	0.42

Series E preferred shares	$	34.38	$	—	$	34.38
Nine months ended September 30, 2022
Common shares	$	1.29	$	0.86	$	0.43

Series E preferred shares	$	103.13	$	68.75	$	34.38

Nine months ended September 30, 2021
Common shares	$	1.26	$	0.84	$	0.42

Series E preferred shares	$	103.13	$	68.75	$	34.38

10. DEBT AND FINANCING ARRANGEMENTS

a)Letters of Credit

Effective March 31, 2022, certain of AXIS Capital’s operating subsidiaries (the "Participating Subsidiaries") amended their existing $650 million secured letter of credit facility to extend the expiration date of the $150 million secured letter of credit facility to March 31, 2023, with each letter of credit provided pursuant to such credit facility having a tenor not to extend beyond March 31, 2024. The terms and conditions of the $500 million secured letter of credit facility remain unchanged.

11. FEDERAL HOME LOAN BANK ADVANCES

The Company's subsidiaries, AXIS Insurance Company and AXIS Surplus Insurance Company are members of the Federal Home Loan Bank of Chicago ("FHLB").

Members may borrow from the FHLB at competitive rates subject to certain conditions. At September 30, 2022, the Company had admitted assets of approximately $3 billion which provides borrowing capacity of up to approximately $750 million. Conditions of membership include maintaining sufficient collateral deposits for funding, a requirement to maintain member stock at 0.4% of mortgage-related assets at December 31st of the prior year, and a requirement to purchase additional member stock of 2.0% or 4.5% of any amount borrowed.

At September 30, 2022, the Company had $81 million of borrowings under the FHLB program, with maturities in 2023 and interest payable at interest rates between 2.7% and 3.5%. The Company incurred interest expense of $0.6 million for the three months ended September 30, 2022. The borrowings under the FHLB program are secured by investments with a fair value of $90 million.

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AXIS CAPITAL HOLDINGS LIMITED

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)

12. COMMITMENTS AND CONTINGENCIES

Legal Proceedings

From time to time, the Company is subject to routine legal proceedings, including arbitrations, arising in the ordinary course of business. These legal proceedings generally relate to claims asserted by or against the Company in the ordinary course of insurance or reinsurance operations. Estimated amounts payable under such proceedings are included in the reserve for losses and loss expenses in the consolidated balance sheets.

The Company is not party to any material legal proceedings arising outside the ordinary course of business.

Investments

Refer to Note 3 - 'Investments' for information on the Company's unfunded investment commitments related to the Company's other investment portfolio.

13. OTHER COMPREHENSIVE INCOME (LOSS)

The following table presents the tax effects allocated to each component of other comprehensive income (loss):


	2022						2021
	Before tax amount		Income tax (expense) benefit		Net of tax amount		Before tax amount		Income tax (expense) benefit		Net of Tax Amount

Three months ended September 30,
Available for sale investments:
Unrealized gains (losses) arising during the period for which an allowance for expected credit losses has not been recognized	$	(393,848)	$	(32)	$	(393,880)	$	(65,321)	$	7,143	$	(58,178)
Unrealized gains (losses) arising during the period for which an allowance for expected credit losses has been recognized	(10,990)		306		(10,684)		370		—		370
Adjustment for reclassification of net realized (gains) losses and impairment losses recognized in net income (loss)	108,351		(9,572)		98,779		(16,438)		1,858		(14,580)
Unrealized gains (losses) arising during the period, net of reclassification adjustment	(296,487)		(9,298)		(305,785)		(81,389)		9,001		(72,388)

Foreign currency translation adjustment	(12,751)		—		(12,751)		(3,807)		—		(3,807)


Total comprehensive income (loss), net of tax	$	(309,238)	$	(9,298)	$	(318,536)	$	(85,196)	$	9,001	$	(76,195)

Nine months ended September 30,
Available for sale investments:
Unrealized gains (losses) arising during the period for which an allowance for expected credit losses has not been recognized	$	(1,340,927)	$	81,445	$	(1,259,482)	$	(204,587)	$	25,440	$	(179,147)
Unrealized gains (losses) arising during the period for which an allowance for expected credit losses has been recognized	(56,577)		3,269		(53,308)		131		—		131
Adjustment for reclassification of net realized (gains) losses and impairment losses recognized in net income (loss)	255,081		(25,308)		229,773		(94,018)		7,837		(86,181)
Unrealized gains (losses) arising during the period, net of reclassification adjustment	(1,142,423)		59,406		(1,083,017)		(298,474)		33,277		(265,197)

Foreign currency translation adjustment	(16,169)		—		(16,169)		924		—		924


Total other comprehensive income (loss), net of tax	$	(1,158,592)	$	59,406	$	(1,099,186)	$	(297,550)	$	33,277	$	(264,273)

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AXIS CAPITAL HOLDINGS LIMITED

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)

13. OTHER COMPREHENSIVE INCOME (LOSS) (CONTINUED)

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


		Amount reclassified from AOCI(1)
AOCI Components	Consolidated statement of operations line item that includes reclassification adjustment	Three months ended September 30,				Nine months ended September 30,
		2022		2021		2022		2021

Unrealized gains (losses) on available for sale investments
	Other realized gains (losses)	$	(101,860)	$	16,460	$	(248,007)	$	94,040
	Impairment losses	(6,491)		(22)		(7,074)		(22)

	Total before tax	(108,351)		16,438		(255,081)		94,018
	Income tax (expense) benefit	9,572		(1,858)		25,308		(7,837)
	Net of tax	$	(98,779)	$	14,580	$	(229,773)	$	86,181

(1) Amounts in parentheses are charges to net income (loss).

14. RELATED PARTY TRANSACTIONS

At September 30, 2022, the Company has invested $17 million in a Stone Point Credit Corporation bond.

At September 30, 2022, the Company has invested $20 million in co-investments with Gordon Brothers, an affiliate of Stone Point.

15. REORGANIZATION EXPENSES

For the three and nine months ended September 30, 2022, reorganization expenses were $6 million and $22 million, respectively (2021: $nil), attributable to compensation-related costs associated with the termination of certain employees and software asset impairments, mainly related to the Company's exit from catastrophe and property reinsurance lines of business.

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ITEM 2. MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS

The following is a discussion and analysis of our results of operations for the three and nine months ended September 30, 2022 and 2021 and our financial condition at September 30, 2022 and December 31, 2021. This should be read in conjunction with Item 1 'Consolidated Financial Statements' of this report and our Management’s Discussion and Analysis of Financial Condition and Results of Operations included in our Annual Report on Form 10-K for the year ended December 31, 2021. Tabular dollars are in thousands, except per share amounts. Amounts in tables may not reconcile due to rounding differences.


			Page

Third Quarter 2022 Financial Highlights			53
Overview			54
Consolidated Results of Operations			57
Results by Segment:
i) Insurance Segment			59
ii) Reinsurance Segment			63
Net Investment Income and Net Investment Gains (Losses)			68
Other Expenses (Revenues), Net			70
Financial Measures			72
Non-GAAP Financial Measures Reconciliation			74
Cash and Investments			77
Liquidity and Capital Resources			80
Critical Accounting Estimates			81
Recent Accounting Pronouncements			82

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THIRD QUARTER 2022 FINANCIAL HIGHLIGHTS

Third Quarter 2022 Consolidated Results of Operations

•Net loss attributable to common shareholders of $17 million, or $(0.20) per common share and diluted common share

•Operating income(1) of $3 million, or $0.03 per diluted common share(1)

•Gross premiums written of $1.7 billion

•Net premiums written of $1.0 billion

•Net premiums earned of $1.3 billion

•Pre-tax catastrophe and weather-related losses, net of reinsurance and reinstatement premiums, of $212 million (Insurance: $113 million and Reinsurance: $99 million), or 16.6 points, primarily attributable to Hurricane Ian.

•Net favorable prior year reserve development of $5 million

•Underwriting loss(2) of $29 million and combined ratio of 104.3%

•Net investment income of $88 million

•Net investment losses of $146 million

•Foreign exchange gains of $136 million

Third Quarter 2022 Consolidated Financial Condition

•Total cash and investments of $15.6 billion; fixed maturities, short-term investments, and cash and cash equivalents comprise 86% of total cash and investments and have an average credit rating of AA-

•Total assets of $27.1 billion

•Reserve for losses and loss expenses of $14.7 billion and reinsurance recoverable on unpaid and paid losses and loss expenses of $5.7 billion

•Debt of $1.3 billion and debt to total capital ratio(3) of 23.2%

•Common shareholders’ equity of $3.8 billion; book value per diluted common share of $43.50

(1)Operating income (loss) and operating income (loss) per diluted common share are non-GAAP financial measures as defined in Item 10(e) of SEC Regulation S-K. The reconciliations to the most comparable GAAP financial measures, net income (loss) available (attributable) to common shareholders and earnings (loss) per diluted common share, respectively, and a discussion of the rationale for the presentation of these items are provided in 'Management’s Discussion and Analysis of Financial Condition and Results of Operations – Non-GAAP Financial Measures Reconciliation'.

(2)Consolidated underwriting income (loss) is a non-GAAP financial measure as defined in Item 10(e) of SEC Regulation S-K. The reconciliation to, the most comparable GAAP financial measure, net income (loss), is presented in 'Management’s Discussion and Analysis of Financial Condition and Results of Operations – Consolidated Results of Operations', and a discussion of the rationale for its presentation is provided in 'Management’s Discussion and Analysis of Financial Condition and Results of Operations – Non-GAAP Financial Measures Reconciliation'.

(3)The debt to total capital ratio is calculated by dividing debt by total capital. Total capital represents the sum of total shareholders’ equity and debt.

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OVERVIEW

Business Overview

AXIS Capital Holdings Limited ("AXIS Capital"), through its operating subsidiaries, is a global specialty underwriter and provider of insurance and reinsurance solutions with operations in Bermuda, the U.S., Europe, Singapore and Canada. Our underwriting operations are organized around our global underwriting platforms, AXIS Insurance and AXIS Re.

We provide our clients and distribution partners with a broad range of risk transfer products and services, and meaningful capacity, backed by excellent financial strength. We manage our portfolio holistically, aiming to construct the optimum portfolio of risks, consistent with our risk appetite and the development of our franchise. We nurture an ethical, entrepreneurial, disciplined and diverse culture that promotes outstanding client service, intelligent risk taking and the achievement of superior risk-adjusted returns for our shareholders. We believe that the achievement of our objectives will position us as a global leader in specialty risks. The execution of our business strategy for the first nine months of 2022 included the following:

•increasing our relevance in a select number of attractive specialty lines insurance and treaty reinsurance markets including U.S. excess and surplus lines, North America professional lines and Lloyd's specialty insurance business;

•re-balancing our portfolio towards less volatile lines of business that carry attractive returns while deploying capital with risk limits, diversification and risk management;

•continuing the implementation of a focused distribution strategy while building mutually beneficial relationships with clients and partners;

•improving the effectiveness and efficiency of our operating platforms and processes;

•investing in data and technology capabilities, and tools to empower our underwriters and enhance the service that we provide to our customers;

•utilizing reinsurance markets and third party capital relationships;

•fostering a positive workplace environment that enables us to attract, retain and develop top talent; and

•growing our corporate citizenship program to give back to our communities and help contribute to a more sustainable future.

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Outlook

We are committed to leadership in specialty insurance and reinsurance, where we have a depth of talent and expertise. We believe our market positioning, underwriting expertise, best-in-class claims management capabilities and strong relationships with our distributors and clients will provide opportunities for increased profitability, with differences among our lines of business driven by our tactical response to market conditions.

Rates, terms and conditions across virtually all insurance lines continued to be favorable as pricing generally continues to rise, albeit at moderated levels. The industry has observed rising loss cost trends and we expect rate improvement to continue as carriers assess the impact of heightened catastrophe loss activity, financial and social inflation, and geopolitical uncertainty, among other factors. In this market environment, we continue to focus on growth in lines of business and market segments that are adequately priced.

The reinsurance market is experiencing improvements in rates, and terms and conditions. In light of 2022 marking the sixth consecutive year of challenging market loss events, reinsurance carriers are aiming to reduce net volatility and increase profitability, and we expect the hardest market opportunities to be catastrophe and property lines, with improving conditions in specialty and casualty reinsurance lines. While we anticipate pricing to be higher for our own reinsurance purchases, we also expect to see opportunity to drive profitable growth among the specialty and casualty reinsurance lines that we offer.

We are encouraged by the pricing improvements we are seeing across most markets, which we expect will carry through 2023. Where prices deliver adequate profitability, we will look to grow within our risk and volatility guidelines. We believe AXIS is well positioned to drive profitable growth within the current environment with a strengthened book of business, and growing footprint in attractive specialty markets that are seeing the most favorable conditions, we believe AXIS is well positioned to drive profitable growth within the current environment.

Response to Russia-Ukraine War

Following the Russian invasion of Ukraine and the triggering of sanctions against the countries involved, organizations and named individuals, we established a task-force to coordinate our response to this situation.

The Russia-Ukraine war, and its related impacts, are an emerging and evolving risk to which we are exposed from an underwriting and reserving perspective.

Our team is tracking the situation closely, including stress and scenario testing on existing underwriting exposures. A range of economic impacts and external pressures across individual product lines are being considered.

Underwriting

We are monitoring international sanctions which impact our global operations and were effective March 27, 2022. The impact on gross premiums written for the nine months ended September 30, 2022 of the cancellation of policies with exposures to the Russia-Ukraine war was immaterial. We continue to evaluate opportunities to write business in the region, not including Russia or Ukraine risks, with terms as short as seven days.

We are also closely monitoring cash due from our customers and reinsurers, giving due consideration to the Russia-Ukraine war and associated international sanctions. At September 30, 2022, we considered the potential financial impact of Russia-Ukraine war when determining allowances for expected credit losses for insurance and reinsurance premium balances receivable and reinsurance recoverable balances on unpaid losses and loss expenses. Based on facts and circumstances at that time, we did not adjust allowances for expected credit losses at September 30, 2022. We will continue to monitor the appropriateness of allowances for expected credit losses as new information comes to light. Adjustments to allowances for expected credit losses in subsequent periods could be material.

Reserving

At September 30, 2022, estimated pre-tax net losses attributable to the Russia-Ukraine war were $33 million.

The estimate of net reserves for losses and loss expenses related to the Russia-Ukraine war is subject to significant uncertainty. This uncertainty is driven by the difficulty in performing on-site evaluations, and by the inherent difficulty in making assumptions due to the lack of comparable events, the ongoing nature of the event, and its far-reaching impacts.

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While we believe the overall estimate of net reserves for losses and loss expenses is adequate for losses and loss adjustment expenses that have been incurred at September 30, 2022, based on current facts and circumstances, we will continue to monitor the appropriateness of our assumptions as new information comes to light and will adjust the estimate of net reserves for losses and loss adjustment expenses, as appropriate.

Actual losses for this event may ultimately differ materially from current estimates.

Refer to 'Management’s Discussion and Analysis of Financial Condition and Results of Operations – Results by Segment' for further information

Investments

At September 30, 2022, we had no direct exposures to Russia or Ukraine within our investments portfolio.

Refer to Item 1A, 'Risk Factors' in our most recent Annual Report on Form 10-K for further information.

Recent Developments

On June 7, 2022, we announced the decision to exit catastrophe and property reinsurance lines of business. This strategic initiative is part of an overall approach to reduce our exposure to volatile catastrophe risk. Reorganization expenses, mainly related to this strategic initiative for the three months ended September 30, 2022 of $6 million, were attributable to compensation-related costs associated with the termination of certain employees and software asset impairments.

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CONSOLIDATED RESULTS OF OPERATIONS


	Three months ended September 30,					Nine months ended September 30,
	2022		% Change	2021		2022		% Change	2021

Underwriting revenues:
Gross premiums written	$	1,707,808	4%	$	1,646,489	$	6,455,899	5%	$	6,123,156
Net premiums written	1,036,784		4%	996,471		4,166,502		5%	3,979,215
Net premiums earned	1,284,866		6%	1,211,427		3,820,163		10%	3,472,090
Other insurance related income	1,092		(86%)	7,665		9,998		(39%)	16,262
Underwriting expenses:
Net losses and loss expenses	(941,911)		3%	(911,369)		(2,444,196)		7%	(2,292,559)
Acquisition costs	(240,511)		4%	(231,712)		(746,443)		11%	(669,654)
Underwriting-related general and administrative expenses(1)	(132,570)		(2%)	(134,826)		(413,069)		4%	(396,455)
Underwriting income (loss)(2)	(29,034)			(58,815)		226,453			129,684

Net investment income	88,177		(18%)	107,339		271,744		(17%)	326,174
Net investment gains (losses)	(146,458)		nm	10,932		(414,231)		nm	113,868
Corporate expenses(1)	(25,675)		11%	(23,134)		(79,803)		(3%)	(82,365)
Foreign exchange gains	135,660		nm	28,032		236,934		nm	4,316
Interest expense and financing costs	(15,915)		—%	(15,954)		(46,720)		—%	(46,759)
Reorganization expenses	(6,213)		nm	—		(21,941)		nm	—
Amortization of value of business acquired	—		nm	(1,028)		—		nm	(3,083)
Amortization of intangible assets	(2,729)		(13%)	(3,149)		(8,188)		(11%)	(9,163)

Income (loss) before income taxes and interest in income (loss) of equity method investments	(2,187)			44,223		164,248			432,672
Income tax (expense) benefit	363		nm	(1,186)		5,304		nm	(49,827)
Interest in income (loss) of equity method investments	(7,560)		nm	11,911		5,040		(84%)	30,871
Net income (loss)	(9,384)			54,948		174,592			413,716

Preferred share dividends	(7,563)		—%	(7,563)		(22,688)		—%	(22,688)

Net income (loss) available (attributable) to common shareholders	$	(16,947)		$	47,385	$	151,904		$	391,028

nm – not meaningful is defined as a variance greater than +/-100%

(1)Underwriting-related general and administrative expenses is a non-GAAP financial measure as defined in Item 10(e) of SEC Regulation S-K. The reconciliation to general and administrative expenses, the most comparable GAAP financial measure, also included corporate expenses of $25,675 and $23,134 for the three months ended September 30, 2022 and 2021, respectively, and $79,803 and $82,365 for the nine months ended September 30, 2022 and 2021, respectively. Refer to 'Management’s Discussion and Analysis of Financial Condition and Results of Operations – Other Expenses (Revenues), Net' for further details on corporate expenses. Refer to 'Management’s Discussion and Analysis of Financial Condition and Results of Operations – Non-GAAP Financial Measures Reconciliation' for further details.

(2)Consolidated underwriting income (loss) is a non-GAAP financial measure as defined in in Item 10(e) of SEC Regulation S-K. The reconciliation to net income (loss), the most comparable GAAP financial measure, is presented in the table above. Refer also to 'Management’s Discussion and Analysis of Financial Condition and Results of Operations – Non-GAAP Financial Measures Reconciliation' for further details.

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Underwriting Revenues

Underwriting revenues by segment were as follows:


	Three months ended September 30,							Nine months ended September 30,
	2022			% Change	2021			2022			% Change	2021

Gross premiums written:
Insurance	$	1,317,890		12%	$	1,176,500		$	4,114,776		16%	$	3,548,169
Reinsurance	389,918			(17%)	469,989			2,341,123			(9%)	2,574,987
Total gross premiums written	$	1,707,808		4%	$	1,646,489		$	6,455,899		5%	$	6,123,156

Percent of gross premiums ceded
Insurance	41		%	1 pt	40		%	40		%	— pt	40		%
Reinsurance	34		%	(5 pts)	39		%	28		%	— pt	28		%
Total percent of gross premiums ceded	39		%	(1 pt)	40		%	36		%	1 pt	35		%

Net premiums written:
Insurance	$	777,789		10%	$	707,492		$	2,491,120		17%	$	2,128,190
Reinsurance	258,995			(10%)	288,979			1,675,382			(9%)	1,851,025
Total net premiums written	$	1,036,784		4%	$	996,471		$	4,166,502		5%	$	3,979,215

Net premiums earned:
Insurance	$	782,101		15%	$	681,008		$	2,303,640		19%	$	1,928,970
Reinsurance	502,765			(5%)	530,419			1,516,523			(2%)	1,543,120
Total net premiums earned	$	1,284,866		6%	$	1,211,427		$	3,820,163		10%	$	3,472,090

Refer to 'Management's Discussion and Analysis of Financial Condition and Results of Operations – Results by Segment' for further details on underwriting revenues.

Combined Ratio

The components of the combined ratio were as follows:


	Three months ended September 30,					Nine months ended September 30,
	2022		% Point Change	2021		2022		% Point Change	2021

Current accident year loss ratio, excluding catastrophe and weather-related losses	57.1	%	1.7	55.4	%	55.5	%	0.1	55.4	%
Catastrophe and weather-related losses ratio	16.6	%	(4.1)	20.7	%	8.9	%	(2.4)	11.3	%
Current accident year loss ratio	73.7	%	(2.4)	76.1	%	64.4	%	(2.3)	66.7	%
Prior year reserve development ratio	(0.4	%)	0.5	(0.9	%)	(0.4	%)	0.3	(0.7	%)
Net losses and loss expenses ratio	73.3	%	(1.9)	75.2	%	64.0	%	(2.0)	66.0	%
Acquisition cost ratio	18.7	%	(0.4)	19.1	%	19.5	%	0.2	19.3	%
General and administrative expense ratio(1)	12.3	%	(0.8)	13.1	%	12.9	%	(0.9)	13.8	%
Combined ratio	104.3	%	(3.1)	107.4	%	96.4	%	(2.7)	99.1	%

(1) The general and administrative expense ratio included corporate expenses not allocated to underwriting segments of 2.0% and 1.9% for the three months ended September 30, 2022 and 2021, respectively, and 2.1% and 2.4% for the nine months ended September 30, 2022 and 2021, respectively. Refer to 'Management’s Discussion and Analysis of Financial Condition and Results of Operations – Other Expenses (Revenues), Net' for further details.

Refer to 'Management's Discussion and Analysis of Financial Condition and Results of Operations – Results by Segment' for further details on underwriting expenses.

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RESULTS BY SEGMENT

Insurance Segment

Results for the insurance segment were as follows:


	Three months ended September 30,							Nine months ended September 30,
	2022			% Change	2021			2022			% Change	2021

Revenues:
Gross premiums written	$	1,317,890		12%	$	1,176,500		$	4,114,776		16%	$	3,548,169
Net premiums written	777,789			10%	707,492			2,491,120			17%	2,128,190
Net premiums earned	782,101			15%	681,008			2,303,640			19%	1,928,970
Other insurance related income	151			(68%)	468			470			(67%)	1,435

Expenses:
Current accident year net losses and loss expenses	(521,564)				(448,099)			(1,358,981)				(1,145,104)
Prior year reserve development	2,558				5,418			12,396				13,351
Acquisition costs	(139,436)				(123,529)			(422,979)				(348,172)
Underwriting-related general and administrative expenses	(108,072)				(104,905)			(330,598)				(307,777)

Underwriting income	$	15,738			$	10,361		$	203,948			$	142,703

Ratios:				% Point Change							% Point Change
Current accident year loss ratio, excluding catastrophe and weather-related losses	52.6		%	1.8	50.8		%	51.6		%	—	51.6		%
Catastrophe and weather-related losses ratio	14.1		%	(0.9)	15.0		%	7.4		%	(0.4)	7.8		%
Current accident year loss ratio	66.7		%	0.9	65.8		%	59.0		%	(0.4)	59.4		%
Prior year reserve development ratio	(0.3		%)	0.5	(0.8		%)	(0.5		%)	0.2	(0.7		%)
Net losses and loss expenses ratio	66.4		%	1.4	65.0		%	58.5		%	(0.2)	58.7		%
Acquisition cost ratio	17.8		%	(0.3)	18.1		%	18.4		%	0.4	18.0		%
Underwriting-related general and administrative expense ratio	13.8		%	(1.6)	15.4		%	14.3		%	(1.7)	16.0		%
Combined ratio	98.0		%	(0.5)	98.5		%	91.2		%	(1.5)	92.7		%

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Gross Premiums Written

Gross premiums written by line of business were as follows:


	Three months ended September 30,									Nine months ended September 30,
	2022				2021				% Change	2022				2021				% Change

Property	$	282,242	22	%	$	273,548	24	%	3%	$	953,529	23	%	$	855,759	24	%	11%
Marine	108,215		8	%	87,463		7	%	24%	433,718		11	%	389,472		11	%	11%
Terrorism	15,295		1	%	14,167		1	%	8%	52,456		1	%	46,250		1	%	13%
Aviation	32,446		2	%	32,954		3	%	(2%)	85,256		2	%	83,098		2	%	3%
Credit and political risk	47,483		4	%	27,651		2	%	72%	142,068		3	%	108,242		3	%	31%
Professional lines	499,441		38	%	465,576		40	%	7%	1,431,582		35	%	1,267,105		36	%	13%
Liability	266,615		20	%	228,497		19	%	17%	826,318		20	%	663,272		19	%	25%
Accident and health	66,153		5	%	46,644		4	%	42%	189,849		5	%	134,971		4	%	41%

Total	$	1,317,890	100	%	$	1,176,500	100	%	12%	$	4,114,776	100	%	$	3,548,169	100	%	16%

Gross premiums written for the three months ended September 30, 2022 increased by $141 million, or 12% ($164 million, or 14%, on a constant currency basis(1)), compared to the three months ended September 30, 2021. The increase was primarily attributable to liability, professional lines, marine, credit and political risk, accident and health, and property lines.

The increases in professional lines and property lines were driven by new business and favorable rate changes. The increases in liability and marine lines were associated with favorable rate changes. The increases in accident and health, and credit and political risk lines were due to new business.

Gross premiums written for the nine months ended September 30, 2022 increased by $567 million, or 16% ($609 million, or 17%, on a constant currency basis), compared to the nine months ended September 30, 2021. The increase was primarily attributable to professional lines, liability, property, accident and health, marine, and credit and political risk lines driven by new business and favorable rate changes.

Ceded Premiums Written

Ceded premiums written for the three months ended September 30, 2022 was $540 million, or 41%, of gross premiums written, compared to $469 million, or 40%, of gross premiums written for the three months ended September 30, 2021. The increase in ceded premiums written of $71 million, or 15%, was primarily driven by increases in liability, property, professional lines, and credit and political risk lines.

The increases in liability, professional lines, and credit and political risk lines reflected the increase in gross premiums written for the three months ended September 30, 2022, compared to the three months ended September 30, 2021. The increase in property lines was attributable to a new quota share treaty and to the restructuring of a significant existing quota share treaty.

Ceded premiums written for the nine months ended September 30, 2022 was $1,624 million, or 40%, of gross premiums written, compared to $1,420 million, or 40%, of gross premiums written for the nine months ended September 30, 2021. The increase in ceded premiums written of $204 million, or 14%, was primarily driven by increases in liability, property, and professional lines, and credit and political risk lines.

The increases in liability, property, and professional lines, and credit and political risk lines reflected the increase in gross premiums written for the nine months ended September 30, 2022, compared to the nine months ended September 30, 2021. The increase in property lines was also attributable to a new quota share treaty and to the restructuring of a significant existing quota share treaty.

(1) Amounts presented on a constant currency basis are non-GAAP financial measures as defined in Item 10 (e) of SEC Regulation S-K. The constant currency basis is calculated by applying the average foreign exchange rate from the current year to the prior year balance.

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Net Premiums Earned

Net premiums earned by line of business were as follows:


	Three months ended September 30,									Nine months ended September 30,
	2022				2021				% Change	2022				2021				% Change

Property	$	173,040	22	%	$	169,896	25	%	2%	$	521,007	23	%	$	486,798	25	%	7%
Marine	97,578		12	%	89,700		13	%	9%	285,210		12	%	261,574		14	%	9%
Terrorism	14,100		2	%	13,303		2	%	6%	37,006		2	%	38,055		2	%	(3%)
Aviation	21,541		3	%	21,105		3	%	2%	65,327		3	%	62,233		3	%	5%
Credit and political risk	26,186		3	%	22,156		3	%	18%	75,678		3	%	65,926		3	%	15%
Professional lines	286,988		37	%	236,518		35	%	21%	845,487		37	%	651,794		34	%	30%
Liability	114,525		15	%	90,258		13	%	27%	333,433		14	%	253,499		13	%	32%
Accident and health	48,143		6	%	38,072		6	%	26%	140,492		6	%	109,091		6	%	29%

Total	$	782,101	100	%	$	681,008	100%		15%	$	2,303,640	100	%	$	1,928,970	100	%	19%

Net premiums earned for the three months ended September 30, 2022 increased by $101 million, or 15%, ($119 million, or 17%, on a constant currency basis), compared to the three months ended September 30, 2021. The increase was primarily driven by increases in gross premiums earned in professional lines, liability, and accident and health lines, partially offset by increases in ceded premiums earned in liability and professional lines.

Net premiums earned for the nine months ended September 30, 2022 increased by $375 million, or 19%, ($394 million, or 20%, on a constant currency basis), compared to the nine months ended September 30, 2021. The increase was primarily driven by increases in gross premiums earned in professional lines, liability, property, marine, and accident and health lines, partially offset by increases in ceded premiums earned in professional lines, liability, and property lines.

Loss Ratio

The components of the loss ratio were as follows:


	Three months ended September 30,					Nine months ended September 30,
	2022		% Point Change	2021		2022		% Point Change	2021

Current accident year loss ratio	66.7	%	0.9	65.8	%	59.0	%	(0.4)	59.4	%
Prior year reserve development ratio	(0.3	%)	0.5	(0.8	%)	(0.5	%)	0.2	(0.7	%)
Loss ratio	66.4	%	1.4	65.0	%	58.5	%	(0.2)	58.7	%

Current Accident Year Loss Ratio

The current accident year loss ratio increased to 66.7% for the three months ended September 30, 2022, from 65.8% for the three months ended September 30, 2021. During the three months ended September 30, 2022, catastrophe and weather-related losses, were $113 million, or 14.1 points, attributable to Hurricane Ian and other events. Comparatively, during the three months ended September 30, 2021, catastrophe and weather-related losses were $105 million, or 15.0 points.

The current accident year loss ratio decreased to 59.0% for the nine months ended September 30, 2022, from 59.4% for the nine months ended September 30, 2021. The decrease in current accident year loss ratio for three months ended September 30, 2022, compared to the same period in 2021, was impacted by a lower level of catastrophe and weather-related losses. During the nine months ended September 30, 2022, catastrophe and weather-related losses were $174 million, or 7.4 points, primarily attributable to Hurricane Ian, Russia-Ukraine war, Eastern Australia floods, South Africa floods, and other weather-related events. During the nine months ended September 30, 2022, catastrophe and weather-related losses included $20 million, or 0.9 points, attributable to the Russia-Ukraine war. Comparatively, during the nine months ended September 30, 2021, catastrophe and weather-related losses were $152 million, or 7.8 points.

Table of Contents

After adjusting for the impact of the catastrophe and weather-related losses, the current accident year loss ratio increased to 52.6% for the three months ended September 30, 2022, from 50.8% for the three months ended September 30, 2021. The increase in the current accident year loss ratio, after adjusting for the impact of the catastrophe and weather-related losses was principally due to actions taken in liability lines related to program business, elevated experience in marine and property lines, and changes in business mix associated with the increase in professional lines and liability business written in recent periods.

After adjusting for the impact of the catastrophe and weather-related losses, the current accident year loss ratio was 51.6% for the nine months ended September 30, 2022 and 2021. The current accident year loss ratio, after adjusting for the impact of the catastrophe and weather-related losses was comparable to the prior year principally due to changes in business mix associated with the increase in professional lines and liability business written in recent periods, offset by the impact of favorable pricing over loss trends in most lines of business.

Prior Year Reserve Development

Refer to Item 1, Note 6 to the Consolidated Financial Statements 'Reserve for losses and loss expenses' for details on the reserve classes, the expected claims tails and prior year development.

Acquisition Cost Ratio

The acquisition cost ratio decreased to 17.8% for the three months ended September 30, 2022, from 18.1% for the three months ended September 30, 2021, primarily related to changes in business mix attributable to the decrease in program business in property lines written in recent periods and an increase in ceding commission in property lines, partially offset by an increase in variable acquisition costs associated with professional lines and a decrease in ceding commission in professional lines.

The acquisition cost ratio increased to 18.4% for the nine months ended September 30, 2022, from 18.0% for the nine months ended September 30, 2021, primarily related to an increase in variable acquisition costs associated with professional lines, partially offset by changes in business mix attributable to the decrease in program business in property lines written in recent periods.

Underwriting-Related General and Administrative Expense Ratio

The underwriting-related general and administrative expense ratio decreased to 13.8% for the three months ended September 30, 2022, from 15.4% for the three months ended September 30, 2021, mainly driven by an increase in net premiums earned, partially offset by an increase in travel costs.

The underwriting-related general and administrative expense ratio decreased to 14.3% for the nine months ended September 30, 2022, from 16.0% for the nine months ended September 30, 2021, mainly driven by an increase in net premiums earned, partially offset by an increase in personnel costs, performance-related compensation costs, and travel costs.

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Reinsurance Segment

Results from the reinsurance segment were as follows:


	Three months ended September 30,							Nine months ended September 30,
	2022			% Change	2021			2022			% Change	2021

Revenues:
Gross premiums written	$	389,918		(17%)	$	469,989		$	2,341,123		(9%)	$	2,574,987
Net premiums written	258,995			(10%)	288,979			1,675,382			(9%)	1,851,025
Net premiums earned	502,765			(5%)	530,419			1,516,523			(2%)	1,543,120
Other insurance related income	941			(87%)	7,197			9,528			(36%)	14,827

Expenses:
Current accident year net losses and loss expenses	(425,082)				(474,282)			(1,102,847)				(1,170,593)
Prior year reserve development	2,177				5,594			5,236				9,787
Acquisition costs	(101,075)				(108,183)			(323,464)				(321,482)
Underwriting-related general and administrative expenses	(24,498)				(29,921)			(82,471)				(88,678)

Underwriting income (loss)	$	(44,772)			$	(69,176)		$	22,505			$	(13,019)
Ratios:				% Point Change							% Point Change
Current accident year loss ratio, excluding catastrophe and weather-related losses	64.2		%	2.8	61.4		%	61.6		%	1.4	60.2		%
Catastrophe and weather-related losses ratio	20.3		%	(7.7)	28.0		%	11.1		%	(4.6)	15.7		%
Current accident year loss ratio	84.5		%	(4.9)	89.4		%	72.7		%	(3.2)	75.9		%
Prior year reserve development ratio	(0.4		%)	0.6	(1.0		%)	(0.3		%)	0.4	(0.7		%)
Net losses and loss expenses ratio	84.1		%	(4.3)	88.4		%	72.4		%	(2.8)	75.2		%
Acquisition cost ratio	20.1		%	(0.3)	20.4		%	21.3		%	0.5	20.8		%
Underwriting-related general and administrative expense ratio	4.9		%	(0.7)	5.6		%	5.4		%	(0.4)	5.8		%
Combined ratio	109.1		%	(5.3)	114.4		%	99.1		%	(2.7)	101.8		%

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Gross Premiums Written

Gross premiums written by line of business were as follows:


	Three months ended September 30,									Nine months ended September 30,
	2022				2021				% Change	2022				2021				% Change

Catastrophe	$	21,227	5	%	$	88,396	18	%	(76%)	$	221,700	10	%	$	472,441	17	%	(53%)
Property	2,173		1	%	38,584		8	%	(94%)	98,882		4	%	209,364		8	%	(53%)
Credit and surety	53,944		14	%	55,807		12	%	(3%)	234,692		10	%	176,441		7	%	33%
Professional lines	27,575		7	%	24,279		5	%	14%	334,210		14	%	303,932		12	%	10%
Motor	22,035		6	%	12,151		3	%	81%	209,563		9	%	275,455		11	%	(24%)
Liability	156,500		40	%	166,085		35	%	(6%)	630,921		27	%	617,975		24	%	2%
Engineering	(984)		—	%	(660)		—	%	49%	9,525		—	%	(5,590)		—	%	nm
Agriculture	39,312		10	%	11,992		3	%	nm	117,108		5	%	75,306		3	%	56%
Marine and aviation	8,823		2	%	12,428		3	%	(29%)	84,506		4	%	70,484		3	%	20%
Accident and health	59,313		15	%	60,927		13	%	(3%)	400,016		17	%	379,179		15	%	5%

Total	$	389,918	100	%	$	469,989	100	%	(17%)	$	2,341,123	100	%	$	2,574,987	100	%	(9%)

nm – not meaningful

Gross premiums written for the three months ended September 30, 2022, decreased by $80 million, or 17% ($74 million, or 16%, on a constant currency basis), compared to the three months ended September 30, 2021. The decrease was primarily attributable to catastrophe, property and liability lines, partially offset by increases in agriculture and motor lines.

The decreases in catastrophe and property lines were largely driven by non-renewals and decreased line sizes following the decision to exit these lines of business in June 2022. The decrease in liability lines was due to non-renewals, decreased line sizes and a lower level of premium adjustments associated with favorable market conditions in the current year compared to the prior year.

The increases in agriculture and motor lines were driven by new business. In addition, the increase in agriculture lines was due to the timing of the renewal of several contracts and the increase in motor lines was due premium adjustments.

Gross premiums written for the nine months ended September 30, 2022, decreased by $234 million or 9% ($187 million, or 7%, on a constant currency basis), compared to the nine months ended September 30, 2021. The decrease was primarily attributable to catastrophe, property and motor lines, partially offset by increases in credit and surety, agriculture, professional lines, accident and health, engineering, marine and aviation, and liability lines.

The decreases in catastrophe and property lines were largely driven by non-renewals and decreased line sizes associated with repositioning the portfolio together with the decision to exit these lines of business in June 2022. The decrease in motor lines was due to non-renewals and decreased line sizes mainly associated with repositioning the portfolio. In addition, the decrease in motor lines was attributable to the timing of the renewals of two significant contracts.

The increases in credit and surety, agriculture, professional lines, accident and health, and liability lines were driven by new business.

The increase in credit and surety lines was also due to premium adjustments related to significant contracts. The increase in professional lines was also due to favorable market conditions and increased line sizes on several contracts. The increase in liability lines was also due to favorable market conditions, partially offset by non-renewals, decreased line sizes and a lower level of premium adjustments associated with favorable market conditions in the current year compared to the prior year.

The increase in engineering lines was associated with premium adjustments related to significant contracts.

The increase in marine and aviation lines was attributable to new marine business.

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Ceded Premiums Written

Ceded premiums written for the three months ended September 30, 2022, was $131 million, or 34%, of gross premiums written, compared to $181 million, or 39%, of gross premiums written for the three months ended September 30, 2021.

The decrease in ceded premiums written of $50 million, or 28%, was primarily driven by a decrease in catastrophe lines, partially offset by increases in motor, and marine and aviation lines.

The decrease in catastrophe lines reflected the decrease in gross premiums written for the three months ended September 30, 2022, compared to the three months ended September 30, 2021, partially offset by an increase in costs associated with the purchase of catastrophe bond protection. The increase in motor lines was attributable to the restructuring of two significant quota share retrocessional treaties with strategic capital partners. The increase in marine and aviation lines was attributable to the timing of the renewal of a significant excess of loss retrocessional treaty.

Ceded premiums written for the nine months ended September 30, 2022, was $666 million, or 28%, of gross premiums written, compared to $724 million, or 28%, of gross premiums written for the nine months ended September 30, 2021.

The decrease in ceded premiums written of $58 million, or 8%, was primarily driven by a decrease in catastrophe lines, partially offset by increases in professional lines, motor, credit and surety, and liability lines.

The decrease in catastrophe lines reflected the decrease in gross premiums written for the nine months ended September 30, 2022, compared to the nine months ended September 30, 2021, and a decrease in premiums ceded to strategic capital partners due to the restructuring of several quota share retrocessional treaties.

The increase in professional lines was due to premiums ceded to new quota share retrocessional treaties with a strategic capital partner and the restructuring of significant quota share retrocessional treaties. The increases in motor and liability lines were associated with the restructuring of several significant quota share retrocessional treaties. The increase in credit and surety lines was attributable to the increase in gross premiums written for the nine months ended September 30, 2022, compared to the nine months ended September 30, 2021, premium adjustments and the restructuring of an existing significant quota share retrocessional treaty.

Net Premiums Earned

Net premiums earned by line of business were as follows:


	Three months ended September 30,									Nine months ended September 30,
	2022				2021				% Change	2022				2021				% Change

Catastrophe	$	31,710	6	%	$	55,226	10	%	(43%)	$	130,889	7	%	$	196,746	12	%	(33%)
Property	28,323		6	%	59,686		11	%	(53%)	104,964		7	%	178,274		12	%	(41%)
Credit and surety	45,126		9	%	43,304		8	%	4%	138,326		9	%	116,276		8	%	19%
Professional lines	62,472		12	%	54,977		10	%	14%	181,540		12	%	167,329		11	%	8%
Motor	46,619		9	%	65,821		12	%	(29%)	147,246		10	%	188,823		12	%	(22%)
Liability	126,858		25	%	116,263		22	%	9%	361,540		24	%	315,382		20	%	15%
Engineering	4,129		1	%	8,265		2	%	(50%)	24,543		2	%	21,704		1	%	13%
Agriculture	40,106		8	%	24,590		5	%	63%	84,058		6	%	56,890		4	%	48%
Marine and aviation	19,266		4	%	18,680		4	%	3%	57,332		4	%	44,312		3	%	29%
Accident and health	98,156		20	%	83,607		16	%	17%	286,085		19	%	257,384		17	%	11%

Total	$	502,765	100	%	$	530,419	100	%	(5%)	$	1,516,523	100	%	$	1,543,120	100	%	(2%)

Net premiums earned for the three months ended September 30, 2022, decreased by $28 million, or 5% ($nil, or —%, on a constant currency basis), compared to the three months ended September 30, 2021. The decrease was primarily driven by decreases in gross premiums earned in catastrophe, property, and motor lines, partially offset by a decrease in ceded premiums earned in catastrophe lines and increases in gross premiums earned in agriculture, accident and health, and liability lines.

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Net premiums earned for the nine months ended September 30, 2022, decreased by $27 million or 2% (increased by $25 million, or 2%, on a constant currency basis), compared to the nine months ended September 30, 2021. The decrease was primarily driven by decreases in gross premiums earned in catastrophe, property, and motor lines, partially offset by a decrease in ceded premiums earned in catastrophe lines and increases in gross premiums earned in liability, credit and surety, accident and health, professional lines, and agriculture lines.

Other Insurance Related Income (Loss)

Other insurance related income of $1 million and $10 million for the three and nine months ended September 30, 2022, respectively, compared to $7 million and $15 million for the three and nine months ended September 30, 2021, respectively, was primarily associated with fees related to arrangements with strategic capital partners.

Loss Ratio

The components of the loss ratio were as follows:


	Three months ended September 30,					Nine months ended September 30,
	2022		% Point Change	2021		2022		% Point Change	2021

Current accident year loss ratio	84.5	%	(4.9)	89.4	%	72.7	%	(3.2)	75.9	%
Prior year reserve development ratio	(0.4	%)	0.6	(1.0	%)	(0.3	%)	0.4	(0.7	%)
Loss ratio	84.1	%	(4.3)	88.4	%	72.4	%	(2.8)	75.2	%

Current Accident Year Loss Ratio

The current accident year loss ratio decreased to 84.5% for the three months ended September 30, 2022 from 89.4% for the three months ended September 30, 2021. The current accident year loss ratio for three months ended September 30, 2022, compared to the same period in 2021, was impacted by a lower level of catastrophe and weather-related losses. During the three months ended September 30, 2022, catastrophe and weather-related losses, were $99 million, or 20.3 points, primarily attributable to Hurricane Ian, an increase of $23 million in the net loss estimate attributable to June European Convective Storms consistent with an updated industry insured loss estimate, and other weather-related events. Comparatively, during the three months ended September 30, 2021, catastrophe and weather-related losses, were $145 million, or 28.0 points.

The current accident year loss ratio decreased to 72.7% for the nine months ended September 30, 2022 from 75.9% for the nine months ended September 30, 2021. The current accident year loss ratio for three months ended September 30, 2022, compared to the same period in 2021, was impacted by a lower level of catastrophe and weather-related losses. During the nine months ended September 30, 2022, catastrophe and weather-related losses, were $166 million, or 11.1 points, primarily attributable to Hurricane Ian, June European Convective Storms, Russia-Ukraine war, South Africa floods, Eastern Australia floods and other weather-related events. During the nine months ended September 30, 2022, catastrophe and weather-related losses included $13 million, or 0.9 points, attributable to the Russia-Ukraine war. Comparatively, during the nine months ended September 30, 2021, catastrophe and weather-related losses, were $237 million or 15.7 points.

After adjusting for the impact of the catastrophe and weather-related losses, the current accident year loss ratio increased to 64.2% for the three months ended September 30, 2022, from 61.4% for the three months ended September 30, 2021. The increase in the current accident year loss ratio after adjusting for the impact of catastrophe and weather-related losses was principally due to changes in business mix associated with the decrease in catastrophe business written in recent periods.

After adjusting for the impact of the catastrophe and weather-related losses, the current accident year loss ratio increased to 61.6% for the nine months ended September 30, 2022, from 60.2% for the nine months ended September 30, 2021. The increase in the current accident year loss ratio after adjusting for the impact of catastrophe and weather-related losses was principally due to changes in business mix associated with the decrease in catastrophe business written in recent periods.

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Prior Year Reserve Development

Refer to Item 1, Note 6 to the Consolidated Financial Statements 'Reserve for losses and loss expenses' for details on the reserve classes, the expected claims tails and prior year development.

Acquisition Cost Ratio

The acquisition cost ratio decreased to 20.1% for the three months ended September 30, 2022, from 20.4% for the three months ended September 30, 2021, primarily related adjustments attributable to loss-sensitive features driven by increased loss performance mainly in credit and surety, motor, and accident and health lines together with the impact of retrocessional contracts, largely offset by changes in business mix driven by the decrease in catastrophe lines of business written in recent periods and the increase in liability, professional lines, and accident and health lines of business written in recent periods, together with higher costs associated with professional lines, and accident and health lines mainly due to more proportional business being written in the recent periods.

The acquisition cost ratio increased to 21.3% for the nine months ended September 30, 2022, from 20.8% for the nine months ended September 30, 2021, primarily related to changes in business mix driven by the decrease in catastrophe lines of business written in recent periods and the increase in liability, professional lines, and accident and health lines of business written in recent periods, together with higher costs associated with professional lines, and accident and health lines mainly due to more proportional business being written in the recent periods, partially offset by the impact of retrocessional contracts.

Underwriting-Related General and Administrative Expense Ratio

The underwriting-related general and administrative expense decreased to 4.9% and 5.4% for the three and nine months ended September 30, 2022, respectively, from 5.6% and 5.8% for the three and nine months ended September 30, 2021, respectively, mainly driven by a decrease in personnel costs related to our exit from catastrophe and property reinsurance lines of business, and performance-related compensation costs, partially offset by a decrease in net premiums earned and a decrease in fees related to arrangements with strategic capital partners.

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NET INVESTMENT INCOME AND NET INVESTMENT GAINS (LOSSES)

Net Investment Income

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


	Three months ended September 30,							Nine months ended September 30,
	2022			% Change	2021			2022			% Change	2021

Fixed maturities	$	87,364		37%	$	63,712		$	224,780		16%	$	194,426
Other investments	(7,576)			nm	41,695			32,801			(74%)	124,941
Equity securities	2,490			(9%)	2,724			7,349			(12%)	8,322
Mortgage loans	6,256			41%	4,426			15,323			18%	12,967
Cash and cash equivalents	5,350			nm	692			10,147			nm	3,645
Short-term investments	1,004			nm	391			1,571			nm	590
Gross investment income	94,888			(17%)	113,640			291,971			(15%)	344,891
Investment expense	(6,711)			7%	(6,301)			(20,227)			8%	(18,717)
Net investment income	$	88,177		(18%)	$	107,339		$	271,744		(17%)	$	326,174

Pre-tax yield:(1)
Fixed maturities	2.7		%		2.1		%	2.4		%		2.2		%

nm - not meaningful

(1) Pre-tax yield is calculated by dividing annualized net investment income by the average month-end amortized cost balances.

Fixed Maturities

Net investment income attributable to fixed maturities for the three and nine months ended September 30, 2022, was $87 million and $225 million, respectively, compared to net investment income of $64 million and $194 million for the three and nine months ended September 30, 2021, respectively. The increase for the three and nine months ended September 30, 2022, compared to the same period in 2021, was due to higher yields.

Other Investments

Net investment income from other investments was as follows:


	Three months ended September 30,						Nine months ended September 30,
	2022			2021			2022			2021

Hedge, direct lending, private equity and real estate funds	$	(7,565)		$	38,833		$	31,170		$	101,283
Other privately held investments	(901)			2,096			(1,285)			20,639
CLO-Equities	890			766			2,916			3,019
Net investment income (loss) from other investments	$	(7,576)		$	41,695		$	32,801		$	124,941

Pre-tax return on other investments(1)	(0.8		%)	4.8		%	3.4		%	15.0		%

(1)The pre-tax return on other investments is calculated by dividing total net investment income from other investments (non-annualized) by the average month-end fair value balances held for the periods indicated.

Net investment income (loss) attributable to other investments for the three and nine months ended September 30, 2022, was $(8) million and $33 million, respectively, compared to net investment income of $42 million and $125 million, respectively, for the three and nine months ended September 30, 2021. The decrease for the three months ended September 30, 2022, compared to the same period in 2021, was primarily due to lower gains from private equity, real estate funds and direct lending. The decrease for the nine months ended September 30, 2022, compared to the same period in 2021, was primarily due to lower gains from direct lending, private equity, hedge funds and other privately held investments.

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Net Investment Gains (Losses)

Net investment gains (losses) were as follows:


	Three months ended September 30,				Nine months ended September 30,
	2022		2021		2022		2021

On sale of investments:
Fixed maturities and short-term investments	$	(98,926)	$	16,830	$	(238,124)	$	94,458
Equity securities	6,819		4		6,594		4,890
	(92,107)		16,834		(231,530)		99,348
Change in allowance for expected credit losses	(3,210)		(315)		(10,191)		(76)
Impairment losses (1)	(6,491)		(22)		(7,074)		(22)

Change in fair value of investment derivatives	4,400		2,486		11,463		3,388
Net unrealized gains (losses) on equity securities	(49,050)		(8,051)		(176,899)		11,230
Net investment gains (losses)	$	(146,458)	$	10,932	$	(414,231)	$	113,868

(1)Related to instances where we intend to sell securities, or it is more likely than not that we will be required to sell securities before their anticipated recovery.

Net investment losses for the three months ended September 30, 2022 were $146 million, compared to net investment gains of $11 million for the three months ended September 30, 2021. For the three months ended September 30, 2022, the net investment losses were primarily due to net realized losses on the sale of corporate debt, U.S government and Agency RMBS and net unrealized losses on equity securities. For the three months ended September 30, 2021, the net investment gains were primarily due to net realized gains on the sale of corporate debt and U.S government securities, partially offset by net unrealized losses on equity securities.

Net investment losses for the nine months ended September 30, 2022 were $414 million, compared to net investment gains of $114 million for the nine months ended September 30, 2021. For the nine months ended September 30, 2022, the net investment losses were primarily due to net realized losses on the sale of corporate debt, U.S government and Agency RMBS and net unrealized losses on equity securities. For the nine months ended September 30, 2021, the net investment gains were primarily due to net realized gains on the sale of corporate debt and CMBS, and net unrealized gains on equity securities.

On Sale of Investments

Generally, sales of individual securities occur when there are changes in the relative value, credit quality or duration of a particular issue. We may also sell securities to re-balance our investment portfolio in order to change exposure to particular asset classes or sectors.

Impairment Losses

The impairment losses for the three and nine months ended September 30, 2022 were $6 million and $7 million, respectively, compared to impairment losses of $nil for the three and nine months ended September 30, 2021.

Change in Fair Value of Investment Derivatives

From time to time, we economically hedge foreign exchange exposure with derivative contracts.

For the three and nine months ended September 30, 2022, we recorded gains of $4 million and $11 million, respectively, related to foreign exchange contracts. For the three and nine months ended September 30, 2021, we recorded gains of $2 million and $3 million, respectively, related to foreign exchange contracts.

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Total Return

Total return on cash and investments was as follows:


	Three months ended September 30,						Nine months ended September 30,
	2022			2021			2022			2021

Net investment income	$	88,177		$	107,339		$	271,744		$	326,174
Net investments gains (losses)	(146,458)			10,932			(414,231)			113,868
Change in net unrealized gains (losses) on fixed maturities (1)	(296,487)			(81,389)			(1,142,423)			(298,474)
Interest in income of equity method investments	(7,560)			11,911			5,040			30,871
Total	$	(362,328)		$	48,793		$	(1,279,870)		$	172,439

Average cash and investments(2)	$	15,824,697		$	16,340,392		$	16,003,712		$	15,997,691

Total return on average cash and investments, pre-tax:
Including investment related foreign exchange movements	(2.3		%)	0.3		%	(8.0		%)	1.1		%
Excluding investment related foreign exchange movements(3)	(1.8		%)	0.5		%	(6.8		%)	1.3		%

(1)Change in net unrealized gains (losses) on fixed maturities is calculated by taking net unrealized gains (losses) at period end less net unrealized gains (losses) at the prior period end.

(2)The average cash and investments balance is calculated by taking the average of the period end fair value balances.

(3)Pre-tax total return on cash and investments excluding foreign exchange movements is a non-GAAP financial measure as defined in Item 10(e) of SEC Regulation S-K. The reconciliation to pre-tax total return on cash and investments, the most comparable GAAP financial measure, included foreign exchange (losses) gains of $(83) million and $(30) million for the three months ended September 30, 2022 and 2021, respectively, and foreign exchange (losses) gains of $(189) million and $(35) million for the nine months ended September 30, 2022 and 2021, respectively.

OTHER EXPENSES (REVENUES), NET

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


	Three months ended September 30,					Nine months ended September 30,
	2022		% Change	2021		2022		% Change	2021

Corporate expenses	$	25,675	11%	$	23,134	$	79,803	(3%)	$	82,365
Foreign exchange gains	(135,660)		nm	(28,032)		(236,934)		nm	(4,316)
Interest expense and financing costs	15,915		—%	15,954		46,720		—%	46,759
Income tax expense (benefit)	(363)		nm	1,186		(5,304)		nm	49,827
Total	$	(94,433)		$	12,242	$	(115,715)		$	174,635

nm – not meaningful

Corporate Expenses

Corporate expenses include holding company costs necessary to support our worldwide insurance and reinsurance operations and costs associated with operating as a publicly-traded company.

As a percentage of net premiums earned, corporate expenses were 2.0% for the three months ended September 30, 2022, compared to 1.9% for the three months ended September 30, 2021 due to an increase in personnel costs, largely offset by an increase of net premiums earned.

As a percentage of net premiums earned, corporate expenses were 2.1% for the nine months ended September 30, 2022, compared to 2.4% for the nine months ended September 30, 2021 due to an increase of net premiums earned.

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Foreign Exchange Losses (Gains)

Some of our business is written in currencies other than the U.S. dollar.

Foreign exchange gains of $136 million for the three months ended September 30, 2022 were mainly driven by the impact of the strengthening of the U.S. dollar on the remeasurement of net insurance-related liabilities denominated in pound sterling and euro.

Foreign exchange gains of $237 million for the nine months ended September 30, 2022 were mainly driven by the impact of the strengthening of the U.S. dollar on the remeasurement of net insurance-related liabilities denominated in pound sterling and euro.

Foreign exchange gains of $28 million for the three months ended September 30, 2021 were mainly driven by the impact of the strengthening of the U.S. dollar on the remeasurement of net insurance-related liabilities denominated in pound sterling and euro.

Foreign exchange gains of $4 million for the nine months ended September 30, 2021 were mainly driven by the impact of the strengthening of the U.S. dollar on the remeasurement of net insurance-related liabilities denominated in pound sterling and euro.

Interest Expense and Financing Costs

Interest expense and financing costs are related to interest due on Federal Home Loan advances ("FHLB advances") received in the three months ended September 30, 2022, the 5.150% senior unsecured notes ("5.150% Senior Notes") issued in 2014, the 4.000% senior unsecured notes ("4.000% Senior Notes") issued in 2017, the 3.900% senior unsecured notes ("3.900% Senior Notes") and the 4.900% fixed-rate reset junior subordinated notes ("Junior Subordinated Notes") issued in 2019.

Interest expense and financing costs were $16 million and $47 million for the three and nine months ended September 30, 2022, respectively.

Income Tax Expense (Benefit)

Income tax expense (benefit) primarily results from income (loss) generated by our operations in the U.S. and Europe. Our effective tax rate is calculated as income tax expense (benefit) divided by income (loss) before tax including interest in income (loss) of equity method investments. This effective rate can vary between periods depending on the distribution of net income (loss) among tax jurisdictions, as well as other factors.

The tax expense (benefit) of $nil for the three months ended September 30, 2022 was principally due to the generation of pre-tax losses in our U.S. and U.K operations, and the revaluation of the net deferred tax liability associated with the increase in the U.K. tax rate to 25% from 19%, effective 2023, partially offset by an increase in the valuation allowance on deferred tax assets in Europe.

The tax benefit of $5 million for the nine months ended September 30, 2022 was principally due to the revaluation of net operating loss deferred tax assets associated with the increase in the U.K. tax rate to 25% from 19%, effective 2023, and the generation of pre-tax losses in our U.S. operations, partially offset by an increase in the valuation allowance on deferred tax assets in Europe.

The tax expense of $1 million for the three months ended September 30, 2021 was principally due to the generation of pre-tax income in our U.K. operations together with the revaluation of net deferred tax liabilities associated with the increase in the U.K. tax rate to 25% from 19%, effective 2023.

The tax expense of $50 million for the nine months ended September 30, 2021 was principally due to the generation of pre-tax income in our U.S., U.K. and European operations together with the revaluation of net deferred tax liabilities associated with the increase in the U.K. tax rate to 25% from 19%, effective 2023.

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FINANCIAL MEASURES

We believe the following financial indicators are important in evaluating performance and measuring the overall growth in value generated for common shareholders:


	Three months ended September 30,						Nine months ended September 30,
	2022			2021			2022			2021

Annualized return on average common equity(1)	(1.7		%)	3.9		%	4.7		%	10.9		%
Annualized operating return on average common equity(2)	0.3		%	0.1		%	10.2		%	7.1		%

Book value per diluted common share(3)	$	43.50		$	54.86		$	43.50		$	54.86
Cash dividends declared per common share	$	0.43		$	0.42		$	1.29		$	1.26
Increase (decrease) in book value per diluted common share adjusted for dividends	$	(3.69)		$	(0.22)		$	(10.99)		$	1.03

(1)Annualized return on average common equity ("ROACE") is calculated by dividing annualized net income (loss) available (attributable) to common shareholders for the period by the average common shareholders' equity determined using the common shareholders' equity balances at the beginning and end of the period.

(2)Annualized operating return on average common equity ("operating ROACE") is a non-GAAP financial measures as defined in Item 10(e) of SEC Regulation S-K. The reconciliation to the most comparable GAAP financial measure, annualized ROACE, and a discussion of the rationale for its presentation is provided in 'Management's Discussion and Analysis of Financial Condition and Results of Operations – Non-GAAP Financial Measures Reconciliation'.

(3)Book value per diluted common share represents total common shareholders’ equity divided by the number of diluted common share outstanding, determined using the treasury stock method. Cash-settled restricted stock units are excluded.

Return on Average Common Equity

Our objective is to generate superior returns on capital that appropriately reward common shareholders for the risks we assume and to grow revenue only when we expect the returns will meet or exceed our requirements. We recognize that the nature of underwriting cycles and the frequency or severity of large loss events in any one year may challenge the ability to achieve a profitability target in any specific period.

ROACE reflects the impact of net income (loss) available (attributable) to common shareholders including net investment gains (losses), foreign exchange losses (gains), reorganization expenses, and interest in income (loss) of equity method investments.

The decrease in ROACE for the three months ended September 30, 2022, compared to the three months ended September 30, 2021, was primarily driven by net investment losses, a decrease in underwriting income, a decrease in interest in income of equity method investments, and a decrease in net investment income, partially offset by foreign exchange gains. In addition, ROACE was impacted by a decrease in average common shareholder's equity.

The decrease in ROACE for the nine months ended September 30, 2022, compared to the nine months ended September 30, 2021, was primarily driven by net investment losses, a decrease in net investment income, a decrease in interest in income of equity method, and reorganization expenses, partially offset by foreign exchange gains, an increase in underwriting income, and an income tax benefit. In addition, ROACE was impacted by a decrease in average common shareholder's equity.

Operating ROACE excludes the impact of net investment gains (losses), foreign exchange losses (gains), reorganization expenses, and interest in income (loss) of equity method investments.

The increase in operating ROACE for the three months ended September 30, 2022, compared to the three months ended September 30, 2021, was primarily driven by an increase in underwriting income and net investment income and a decrease in average common shareholder's equity.

The increase in operating ROACE for the nine months ended September 30, 2022, compared to the nine months ended September 30, 2021, was primarily driven by an increase in underwriting income and an income tax benefit and a decrease in average common shareholder's equity, partially offset by a decrease in net investment income.

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Book Value per Diluted Common Share

We consider book value per diluted common share to be an appropriate measure of returns to common shareholders, as we believe growth in book value on a diluted basis will ultimately translate into appreciation of our stock price.

During the three months ended September 30, 2022, book value per diluted common share decreased by 9% due to net unrealized investment losses reported in other comprehensive income (loss), common dividends declared, and the net loss generated in the period.

During the nine months ended September 30, 2022, book value per diluted common share decreased by 22% due to net unrealized investment losses reported in other comprehensive income (loss) and common dividends declared, partially offset by net income generated in the period.

Cash Dividends Declared per Common Share

We believe in returning excess capital to shareholders by way of dividends and share repurchases. Accordingly, dividend policy is an integral part of the value we create for shareholders. Our cumulative strong earnings have permitted our Board of Directors to approve eighteen successive annual increases in quarterly common share dividends.

Book Value per Diluted Common Share Adjusted for Dividends

Taken together, we believe that growth in book value per diluted common share and common share dividends declared represent the total value created for common shareholders. As companies in the insurance industry have differing dividend payout policies, we believe investors use the book value per diluted common share adjusted for dividends metric to measure comparable performance across the industry.

During the three months ended September 30, 2022, the decrease in total value of $3.69, or 8%, was driven by net unrealized losses reported in accumulated other comprehensive income (income) and the net loss generated.

During the nine months ended September 30, 2022, the decrease in total value of $10.99, or 20%, was driven by net unrealized losses reported in accumulated other comprehensive income (income), partially offset by the net income generated.

During the three months ended September 30, 2021, the decrease in total value of $0.22 was driven a decrease in net unrealized gains reported in accumulated other comprehensive income, partially offset by net income generated.

During the nine months ended September 30, 2021, the increase in total value of $1.03 or 2%, was driven by net income generated, partially offset by a decrease in the net unrealized gains reported in other comprehensive income.

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NON-GAAP FINANCIAL MEASURES RECONCILIATION


	Three months ended September 30,						Nine months ended September 30,
	2022			2021			2022			2021


Net income (loss) available (attributable) to common shareholders	$	(16,947)		$	47,385		$	151,904		$	391,028
Net investment (gains) losses(1)	146,458			(10,932)			414,231			(113,868)
Foreign exchange gains(2)	(135,660)			(28,032)			(236,934)			(4,316)
Reorganization expenses(3)	6,213			—			21,941			—
Interest in (income) loss of equity method investments(4)	7,560			(11,911)			(5,040)			(30,871)
Income tax expense (benefit)	(5,117)			4,534			(14,779)			12,316
Operating income	$	2,507		$	1,044		$	331,323		$	254,289

Earnings (loss) per diluted common share	$	(0.20)		$	0.56		$	1.77		$	4.59
Net investment (gains) losses	1.72			(0.13)			4.83			(1.34)
Foreign exchange gains	(1.59)			(0.33)			(2.77)			(0.05)
Reorganization expenses	0.07			—			0.26			—
Interest in (income) loss of equity method investments	0.09			(0.14)			(0.06)			(0.36)
Income tax expense (benefit)	(0.06)			0.05			(0.17)			0.14
Operating income per diluted common share	$	0.03		$	0.01		$	3.86		$	2.98

Weighted average diluted common shares outstanding(5)	85,376			85,336			85,674			85,191

Average common shareholders' equity	$	3,973,027		$	4,812,408		$	4,327,040		$	4,765,375

Annualized return on average common equity	(1.7		%)	3.9		%	4.7		%	10.9		%


Annualized operating return on average common equity(6)	0.3		%	0.1		%	10.2		%	7.1		%

(1)Tax expense (benefit) of ($608) and $606 for the three months ended September 30, 2022 and 2021, respectively, and ($33,519) and $9,581 for the nine months ended September 30, 2022 and 2021, respectively. Tax impact is estimated by applying the statutory rates of applicable jurisdictions, after consideration of other relevant factors including the ability to utilize capital losses.

(2)Tax expense (benefit) of ($3,757) and $3,928 for the three months ended September 30, 2022 and 2021, respectively, and $21,191 and $2,735 for the nine months ended September 30, 2022 and 2021, respectively. Tax impact is estimated by applying the statutory rates of applicable jurisdictions, after consideration of other relevant factors including the tax status of specific foreign exchange transactions.

(3)Tax expense (benefit) of ($752) and ($2,451) for the three and nine months ended September 30, 2022, respectively. Tax impact is estimated by applying the statutory rates of applicable jurisdictions.

(4)Tax expense (benefit) of $nil for the three and nine months ended September 30, 2022 and 2021, respectively. Tax impact is estimated by applying the statutory rates of applicable jurisdictions.

(5)Refer to Item 1, Note 7 to our Consolidated Financial Statements 'Earnings per Common Share' for further details.

(6)Annualized operating ROACE is a non-GAAP financial measures as defined in Item 10(e) of SEC Regulation S-K. The reconciliation to the most comparable GAAP financial measure, annualized ROACE, is presented in the table above, and a discussion of the rationale for its presentation is provided below.

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Rationale for the Use of Non-GAAP Financial Measures

We present our results of operations in a way we believe will be meaningful and useful to investors, analysts, rating agencies and others who use our financial information to evaluate our performance. Some of the measurements we use are considered non-GAAP financial measures under SEC rules and regulations. In this Management's Discussion and Analysis of Financial Condition and Results of Operations ("MD&A"), we present underwriting-related general and administrative expenses, consolidated underwriting income (loss), operating income (loss) (in total and on a per share basis), annualized operating return on average common equity ("operating ROACE"), amounts presented on a constant currency basis and pre-tax total return on cash and investments excluding foreign exchange movements which are non-GAAP financial measures as defined in Item 10(e) of SEC Regulation S-K. We believe that these non-GAAP financial measures, which may be defined and calculated differently by other companies, help explain and enhance the understanding of our results of operations. However, these measures should not be viewed as a substitute for those determined in accordance with accounting principles generally accepted in the United States of America ("U.S. GAAP").

Underwriting-Related General and Administrative Expenses

Underwriting-related general and administrative expenses include those general and administrative expenses that are incremental and/or directly attributable to our underwriting operations. While this measure is presented in Item 1, Note 2 to the Consolidated Financial Statements 'Segment Information', it is considered a non-GAAP financial measure when presented elsewhere on a consolidated basis.

Corporate expenses include holding company costs necessary to support our worldwide insurance and reinsurance operations and costs associated with operating as a publicly-traded company. As these costs are not incremental and/or directly attributable to our underwriting operations, these costs are excluded from underwriting-related general and administrative expenses, and therefore, consolidated underwriting income (loss). General and administrative expenses, the most comparable GAAP financial measure to underwriting-related general and administrative expenses, also includes corporate expenses.

The reconciliation of underwriting-related general and administrative expenses to general and administrative expenses, the most comparable GAAP financial measure, is presented in 'Management's Discussion and Analysis of Financial Condition and Results of Operations – Consolidated Results of Operations'.

Consolidated Underwriting Income (Loss)

Consolidated underwriting income (loss) is a pre-tax measure of underwriting profitability that takes into account net premiums earned and other insurance related income (loss) as revenues and net losses and loss expenses, acquisition costs and underwriting-related general and administrative expenses as expenses. While this measure is presented in Item 1, Note 2 to the Consolidated Financial Statements 'Segment Information', it is considered a non-GAAP financial measure when presented elsewhere on a consolidated basis.

We evaluate our underwriting results separately from the performance of our investment portfolio. As a result, we believe it is appropriate to exclude net investment income and net investment gains (losses) from our underwriting profitability measure.

Foreign exchange losses (gains) in our consolidated statements of operations primarily relate to the impact of foreign exchange rate movements on our net insurance-related liabilities. However, we manage our investment portfolio in such a way that unrealized and realized foreign exchange losses (gains) on our investment portfolio generally offset a large portion of the foreign exchange losses (gains) arising from our underwriting portfolio. As a result, we believe that foreign exchange losses (gains) in our consolidated statements of operations in isolation are not a meaningful contributor to our underwriting performance, therefore, foreign exchange losses (gains) are excluded from consolidated underwriting income (loss).

Interest expense and financing costs primarily relate to interest payable on our debt. As these expenses are not incremental and/or directly attributable to our underwriting operations, these expenses are excluded from underwriting-related general and administrative expenses, and therefore, consolidated underwriting income (loss).

Reorganization expenses include compensation-related costs and software asset impairments mainly attributable to our exit from catastrophe and property reinsurance lines of business, part of an overall approach to reduce our exposure to volatile catastrophe risk, announced in June 2022. Reorganization expenses are primarily driven by business decisions, the nature and timing of which are not related to the underwriting process, therefore, these expenses are excluded from consolidated underwriting income (loss).

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Amortization of intangible assets including value of business acquired ("VOBA") arose from business decisions, the nature and timing of which are not related to the underwriting process, therefore, these expenses are excluded from consolidated underwriting income (loss).

We believe that the presentation of underwriting-related general and administrative expenses and consolidated underwriting income (loss) provides investors with an enhanced understanding of our results of operations, by highlighting the underlying pre-tax profitability of our underwriting activities. The reconciliation of consolidated underwriting income (loss) to net income (loss), the most comparable GAAP financial measure, is presented in 'Management's Discussion and Analysis of Financial Condition and Results of Operations – Consolidated Results of Operations'.

Operating Income (Loss)

Operating income (loss) represents after-tax operational results exclusive of net investment gains (losses), foreign exchange losses (gains), reorganization expenses, and interest in income (loss) of equity method investments.

Although the investment of premiums to generate income and investment gains (losses) is an integral part of our operations, the determination to realize investment gains (losses) is independent of the underwriting process and is heavily influenced by the availability of market opportunities. Furthermore, many users believe that the timing of the realization of investment gains (losses) is somewhat opportunistic for many companies.

Foreign exchange losses (gains) in our consolidated statements of operations primarily relate to the impact of foreign exchange rate movements on net insurance-related liabilities. In addition, we recognize unrealized foreign exchange losses (gains) on our equity securities and foreign exchange losses (gains) realized on the sale of our available for sale investments and equity securities in net investment gains (losses). We recognize unrealized foreign exchange losses (gains) on our available for sale investments in other comprehensive income (loss). These unrealized foreign exchange losses (gains) generally offset a large portion of the foreign exchange losses (gains) reported in net income (loss), thereby minimizing the impact of foreign exchange rate movements on total shareholders' equity. As a result, we believe that foreign exchange losses (gains) in our consolidated statements of operations in isolation are not a meaningful contributor to the performance of our business, therefore, foreign exchange losses (gains) are excluded from consolidated operating income (loss).

Interest in income (loss) of equity method investments is primarily driven by business decisions, the nature and timing of which are not related to the underwriting process, therefore, this income (loss) is excluded from operating income (loss).

Certain users of our financial statements evaluate performance exclusive of after-tax net investment gains (losses), foreign exchange losses (gains), reorganization expenses, and interest in income (loss) of equity method investments to understand the profitability of recurring sources of income.

We believe that showing net income (loss) available (attributable) to common shareholders exclusive of after-tax net investment gains (losses), foreign exchange losses (gains), reorganization expenses, and interest in income (loss) of equity method investments reflects the underlying fundamentals of our business. In addition, we believe that this presentation enables investors and other users of our financial information to analyze performance in a manner similar to how our management analyzes the underlying business performance. We also believe this measure follows industry practice and, therefore, facilitates comparison of our performance with our peer group. We believe that equity analysts and certain rating agencies that follow us, and the insurance industry as a whole, generally exclude these items from their analyses for the same reasons. The reconciliation of operating income (loss) to net income (loss) available (attributable) to common shareholders, the most comparable GAAP financial measure, is presented above.

We also present operating income (loss) per diluted common share and annualized operating ROACE, which are derived from the operating income (loss) measure and are reconciled above to the most comparable GAAP financial measures, earnings (loss) per diluted common share and annualized return on average common equity ("ROACE"), respectively.

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Constant Currency Basis

We present gross premiums written, net premiums written and net premiums earned on a constant currency basis in this MD&A. The amounts presented on a constant currency basis are calculated by applying the average foreign exchange rate from the current year to the prior year amounts. We believe this presentation enables investors and other users of our financial information to analyze growth in gross premiums written, net premiums written and net premiums earned on a constant basis. The reconciliation to gross premiums written, net premiums written and net premiums earned on a GAAP basis is presented in 'Management's Discussion and Analysis of Financial Condition and Results of Operations – Results by Segment'.

Pre-Tax Total Return on Cash and Investments excluding Foreign Exchange Movements

Pre-tax total return on cash and investments excluding foreign exchange movements measures net investment income, net investments gains (losses), interest in income (loss) of equity method investments, and change in unrealized gains (losses) generated by average cash and investment balances. We believe this presentation enables investors and other users of our financial information to analyze the performance of our investment portfolio. The reconciliation of pre-tax total return on cash and investments excluding foreign exchange movements to pre-tax total return on cash and investments, the most comparable GAAP financial measure, is presented in 'Management’s Discussion and Analysis of Financial Condition and Results of Operations – Net Investment Income and Net Investment Gains (Losses)'.

CASH AND INVESTMENTS

Details of cash and investments are as follows:


	September 30, 2022			December 31, 2021
		Fair Value		Fair Value

Fixed maturities, available for sale		$	10,784,353	$	12,313,200
Fixed maturities, held to maturity(1)		663,704		445,033
Equity securities		469,839		655,675
Mortgage loans		653,700		594,088
Other investments		970,310		947,982
Equity method investments		151,333		146,293
Short-term investments		80,260		31,063
Total investments		$	13,773,499	$	15,133,334

Cash and cash equivalents(2)		$	1,835,262	$	1,317,690

(1)Presented at net carrying value of $690 million (2021: $446 million) in the consolidated balance sheets.

(2)Includes restricted cash and cash equivalents of $625 million and $473 million at September 30, 2022 and at December 31, 2021, respectively.

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Overview

The fair value of total investments decreased by $1.4 billion in the nine months ended September 30, 2022, driven by the decrease in market value of fixed maturities due to the increase in yields and the widening of credit spreads.

An analysis of our investment portfolio by asset class is detailed below:

Fixed Maturities

Details of our fixed maturities portfolio are as follows:


	September 30, 2022				December 31, 2021
	Fair Value		% of Total		Fair Value		% of Total

Fixed maturities:
U.S. government and agency	$	2,386,508	21	%	$	2,682,448	21	%
Non-U.S. government	515,695		5	%	795,178		6	%
Corporate debt	4,205,965		36	%	4,532,884		36	%
Agency RMBS	1,016,008		9	%	1,074,589		8	%
CMBS	1,005,008		9	%	1,248,191		10	%
Non-agency RMBS	141,356		1	%	186,164		1	%
ABS	2,034,563		18	%	2,029,941		16	%
Municipals(1)	142,954		1	%	208,838		2	%
Total	$	11,448,057	100	%	$	12,758,233	100	%

Credit ratings:
U.S. government and agency	$	2,386,508	21	%	$	2,682,448	21	%
AAA(2)	4,029,278		35	%	4,491,643		34	%
AA	849,099		7	%	981,837		8	%
A	1,801,187		16	%	1,917,006		15	%
BBB	1,327,906		12	%	1,595,285		13	%
Below BBB(3)	1,054,079		9	%	1,090,014		9	%
Total	$	11,448,057	100	%	$	12,758,233	100	%

(1)Includes bonds issued by states, municipalities, and political subdivisions.

(2)Includes U.S. government-sponsored agencies, residential mortgage-backed securities ("RMBS") and commercial mortgage-backed securities ("CMBS").

(3)Non-investment grade and non-rated securities.

At September 30, 2022, fixed maturities had a weighted average credit rating of AA- (2021: AA-), a book yield of 2.9% (2021: 1.9%) and an average duration of 2.9 years (2021: 3.0 years). At September 30, 2022, fixed maturities together with short-term investments, and cash and cash equivalents (i.e. total investments of $13.4 billion), had an average credit rating of AA- (2021: AA-) and an average duration of 2.6 years (2021: 2.8 years).

At September 30, 2022, net unrealized losses on fixed maturities were $1.1 billion, compared to net unrealized gains of $71 million at December 31, 2021, a decrease of $1.2 billion due to the increase in yields and the widening of credit spreads.

Equity Securities

At September 30, 2022, net unrealized losses on equity securities were $50 million, compared to net unrealized gains of $127 million at December 31, 2021, a decrease of $177 million driven by the decline in market value of bond mutual funds and the decline in equity markets.

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Mortgage Loans

At September 30, 2022, our investment in commercial mortgage loans was $654 million, compared to $594 million at December 31, 2021, an increase of $60 million. The commercial mortgage loans are high quality and collateralized by a variety of commercial properties and are diversified both geographically throughout the U.S. and by property type to reduce the risk of concentration. At September 30, 2022, there were no credit losses or past due amounts associated with our commercial mortgage loans portfolio.

Other Investments

Details of our other investments portfolio are as follows:


	September 30, 2022				December 31, 2021
	Fair Value		% of Total		Fair Value		% of Total

Hedge funds
Long/short equity funds	$	—	—	%	$	3,476	—	%
Multi-strategy funds	39,138		4	%	56,012		6	%


Total hedge funds	39,138		4	%	59,488		6	%

Direct lending funds	249,561		26	%	289,867		31	%
Private equity funds	268,593		28	%	249,974		26	%
Real estate funds	287,932		30	%	238,222		25	%
Total hedge, direct lending, private equity and real estate funds	845,224		88	%	837,551		88	%

CLO-Equities	5,167		—	%	5,910		1	%
Other privately held investments	119,919		12	%	104,521		11	%

Total other investments	$	970,310	100	%	$	947,982	100	%

Refer to Note 3(c) to the Consolidated Financial Statements 'Investments'.

Equity Method Investments

Our ownership interest in Harrington is reported in interest in income (loss) of equity method investments. Interest in income (loss) of equity method investments of $(8) million and $5 million, for the three and nine months ended September 30, 2022, respectively, compared to $12 million and $31 million for the three and nine months ended September 30, 2021, respectively, was attributable to lower investment returns realized by Harrington.

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LIQUIDITY AND CAPITAL RESOURCES

Refer to the ‘Liquidity and Capital Resources’ section included in Item 7 of our Annual Report on Form 10-K for the year ended December 31, 2021 for a general discussion of liquidity and capital resources.

The following table summarizes consolidated capital:


	September 30, 2022			December 31, 2021

Debt	$	1,312,633		$	1,310,975

Preferred shares	550,000			550,000
Common equity	3,793,423			4,860,656
Shareholders’ equity	4,343,423			5,410,656
Total capital	$	5,656,056		$	6,721,631

Ratio of debt to total capital	23.2		%	19.5		%

Ratio of debt and preferred equity to total capital	32.9		%	27.7		%

We finance operations with a combination of debt and equity capital. Debt to total capital, and debt and preferred equity to total capital ratios, provide an indication of our capital structure, along with some insight into our financial strength. While the impact of unrealized losses recognized in other comprehensive income (loss), following a decrease in market value of our fixed maturities, has reduced common shareholders' equity, we believe that our financial flexibility remains strong.

Federal Home Loan Bank Advances

The Company's subsidiaries, AXIS Insurance Company and AXIS Surplus Insurance Company are members of the Federal Home Loan Bank of Chicago ("FHLB").

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Common Equity

During the nine months ended September 30, 2022, common equity decreased by $1.1 billion. The following table reconciles opening and closing common equity positions:


Nine months ended September 30,	2022

Common equity - opening	$	4,860,656


Share-based compensation expense	39,560
Change in unrealized gains (losses) on available for sale investments, net of tax	(1,083,017)
Foreign currency translation adjustment	(16,169)
Net income (loss)	174,592
Preferred share dividends	(22,688)
Common share dividends	(112,381)
Treasury shares repurchased	(48,675)
Treasury shares reissued	1,545

Common equity - closing	$	3,793,423

During the nine months ended September 30, 2022, we repurchased 891,000 common shares for a total of $49 million, including $35 million repurchased pursuant to our Board-authorized share repurchase program and $14 million from employees to facilitate the satisfaction of their personal withholding tax liabilities that arise on the vesting of share-settled restricted stock units granted under our 2017 Long-Term Equity Compensation Plans.

At September 30, 2022, we had $65 million of remaining authorization under our Board-authorized share repurchase program for common share repurchases through December 31, 2022 (refer to Part II, Item 2 'Unregistered Sales of Equity Securities and Use of Proceeds' for further details).

We expect cash flows generated from operations, combined with liquidity provided by our investment portfolio, will be sufficient to cover cash outflows and other contractual commitments through the foreseeable future.

Financial Strength Ratings

On May 31, 2022, Moody's Investors Service revised its outlook from negative to stable due to improved core underwriting profitability and reduced catastrophe risk exposure.

On July 20, 2022, Standard and Poor's revised its outlook from negative to stable due to improved underwriting performance and reduced prospective earnings volatility as a result of our exit from property and catastrophe reinsurance lines of business.

CRITICAL ACCOUNTING ESTIMATES

The consolidated financial statements include certain amounts that are inherently uncertain and judgmental in nature. As a result, we are required to make assumptions and best estimates in order to determine the reported values. We consider an accounting estimate to be critical if: (1) it requires that significant assumptions be made in order to deal with uncertainties and (2) changes in the estimate could have a material impact on our results of operations, financial condition or liquidity.

We believe the material items requiring such subjective and complex estimates are:

•reserves for losses and loss expenses;

•reinsurance recoverable on unpaid losses and loss expenses, including the allowance for expected credit losses;

•gross premiums written and net premiums earned;

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•fair value measurements of financial assets and liabilities; and

•the allowance for expected credit losses associated with fixed maturities, available for sale.

We believe that the critical accounting estimates discussion in Item 7 of our Annual Report on Form 10-K for the year ended December 31, 2021, continues to describe the significant estimates and judgments included in the preparation of the consolidated financial statements.

RECENT ACCOUNTING PRONOUNCEMENTS

At September 30, 2022, there were no recently issued accounting pronouncements that we have not yet adopted that we expect could have a material impact on our results of operations, financial condition or liquidity.

ITEM 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

Refer to Item 7A included in our Annual Report on Form 10-K for the year ended December 31, 2021. There have been no material changes to this item since December 31, 2021, with the exception of the changes in exposure to foreign currency risk presented below.

Foreign Currency Risk

The table below provides a sensitivity analysis of total net foreign currency exposures:



	AUD			NZD			CAD			EUR			GBP			JPY			Other			Total

At September 30, 2022
Net managed assets (liabilities), excluding derivatives	$	4,371		$	3,627		$	330,058		$	(485,109)		$	(327,724)		$	(30,881)		$	(53,142)		$	(558,800)
Foreign currency derivatives, net	14,790			3,100			(322,452)			418,600			316,082			24,226			4,140			458,486
Net managed foreign currency exposure	19,161			6,727			7,606			(66,509)			(11,642)			(6,655)			(49,002)			(100,314)
Other net foreign currency exposure	—			—			91			(1,302)			(965)			—			236			(1,940)
Total net foreign currency exposure	$	19,161		$	6,727		$	7,697		$	(67,811)		$	(12,607)		$	(6,655)		$	(48,766)		$	(102,254)
Net foreign currency exposure as a percentage of total shareholders’ equity	0.4		%	0.2		%	0.2		%	(1.6		%)	(0.3		%)	(0.2		%)	(1.1		%)	(2.4		%)
Pre-tax impact of net foreign currency exposure on shareholders’ equity given a hypothetical 10% rate movement(1)	$	1,916		$	673		$	770		$	(6,781)		$	(1,261)		$	(666)		$	(4,877)		$	(10,225)

(1)Assumes 10% appreciation in underlying currencies relative to the U.S. dollar.

Total Net Foreign Currency Exposure

At September 30, 2022, total net foreign currency liabilities were $102 million primarily driven by exposures to the euro, pound sterling and other non-core currencies due to new business written during the nine months ended September 30, 2022.

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ITEM 4. CONTROLS AND PROCEDURES

Disclosure Controls and Procedures

The Company’s management has performed an evaluation, with the participation of the Company’s Chief Executive Officer and Chief Financial Officer, of the effectiveness of the Company's disclosure controls and procedures (as defined in Rules 13a-15(e) and 15d-15(e) of the Securities Exchange Act of 1934 (the "Exchange Act")) at September 30, 2022. Based upon that evaluation, the Company's Chief Executive Officer and Chief Financial Officer concluded that, at September 30, 2022, the Company's disclosure controls and procedures are effective to ensure that information required to be disclosed by the Company in reports that it files or submits under the Exchange Act is recorded, processed, summarized and reported within the time periods specified in the rules and forms of the SEC and is accumulated and communicated to management, including its principal executive and principal financial officers, as appropriate to allow timely decisions regarding required disclosure.

Changes in Internal Control Over Financial Reporting

The Company’s management has performed an evaluation, with the participation of the Company’s Chief Executive Officer and the Company’s Chief Financial Officer, of changes in the Company’s internal control over financial reporting that occurred during the three months ended September 30, 2022.

Based upon that evaluation, there were no changes in the Company's internal control over financial reporting that occurred during the three months ended September 30, 2022 that have materially affected, or are reasonably likely to materially affect, the Company's internal control over financial reporting. The Company has not experienced any material impact to its internal control over financial reporting resulting from the introduction of a hybrid work model.

PART II OTHER INFORMATION

ITEM 1. LEGAL PROCEEDINGS

From time to time, we are subject to routine legal proceedings, including arbitrations, arising in the ordinary course of business. These legal proceedings generally relate to claims asserted by or against us in the ordinary course of insurance or reinsurance operations. Estimated amounts payable under such proceedings are included in the reserve for losses and loss expenses in the consolidated balance sheets.

We are not party to any material legal proceedings arising outside the ordinary course of business.

ITEM 1A. RISK FACTORS

There were no material changes from the risk factors disclosed in the Company's Annual Report on Form 10-K for the year ended December 31, 2021.

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ITEM 2. UNREGISTERED SALES OF EQUITY SECURITIES AND USE OF PROCEEDS

Issuer Purchases of Equity Securities

The following table shows information regarding the number of common shares repurchased in the quarter ended September 30, 2022:


Period	Total number of shares purchased (a) (b)	Average price paid per share	Total number of shares purchased as part of publicly announced programs (a)	Maximum number (or approximate dollar value) of shares that may yet be purchased under the announced programs (c)

July 1-31, 2022	1	$57.72	—	$65 million
August 1-31, 2022	—	$48.77	—	$65 million
September 1-30, 2022	5	$53.77	—	$65 million
Total	6		—	$65 million

(a) In thousands.

(b) Includes shares repurchased from employees to facilitate the satisfaction of their personal withholding tax liabilities that arise on the vesting of share-settled restricted stock units and shares repurchased as part of our publicly announced program, described below.

(c) On December 2, 2021, our Board of Directors authorized a share repurchase program for up to $100 million of our common shares, effective January 1, 2022 through to December 31, 2022. Share repurchases may be effected from time to time in the open market or privately negotiated transactions, depending on market conditions.

ITEM 5. OTHER INFORMATION

Disclosure of Certain Activities Under Section 13(r) of the Securities Exchange Act of 1934

Section 13(r) of the Securities Exchange Act of 1934, as amended, requires issuers to disclose in their annual and quarterly reports whether they or any of their affiliates knowingly engaged in certain activities with Iran or with individuals or entities that are subject to certain sanctions under U.S. law. Issuers are required to provide this disclosure even where the activities, transactions or dealings are conducted outside of the U.S. in compliance with applicable law.

As and when allowed by the applicable law and regulations, certain of our non-U.S. subsidiaries provide treaty reinsurance coverage to non-U.S. insurers on a worldwide basis, including insurers of liability, marine, aviation and energy risks, and as a result, these underlying insurance and reinsurance portfolios may have some exposure to Iran. In addition, we provide insurance and facultative reinsurance on a global basis to non-U.S. insureds and insurers, including for liability, marine, aviation and energy risks. Coverage provided to non-Iranian business may indirectly cover an exposure in Iran. For example, certain of our operations underwrite global marine hull war and cargo policies that provide coverage for vessels navigating into and out of ports worldwide, including Iran. For the quarter ended September 30, 2022, there has been no material amount of premium allocated or apportioned to activities relating to Iran. We intend for our non-U.S. subsidiaries to continue to provide such coverage only to the extent permitted by applicable law.

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ITEM 6. EXHIBITS


2.1			Rule 2.7 Announcement, dated July 5, 2017 in connection with acquisition of Novae Group plc (incorporated by reference to Exhibit 2.1 to the Company's Current Report on Form 8-K filed on July 6, 2017).
2.2			Rule 2.7 Announcement, dated August 24, 2017 in connection with acquisition of Novae Group plc (incorporated by reference to Exhibit 2.1 to the Company's Current Report on Form 8-K filed on August 25, 2017).
3.1			Certificate of Incorporation and Memorandum of Association (incorporated by reference to Exhibit 3.1 to the Company’s Registration Statement on Form S-1(Amendment No. 1) (No. 333-103620) filed on April 16, 2003).
3.2			Amended and Restated Bye-Laws (incorporated by reference to Exhibit 4.2 to the Company’s Registration Statement on Form S-8 filed on May 15, 2009).
4.1			Specimen Common Share Certificate (incorporated by reference to Exhibit 4.1 to the Company’s Registration Statement on Form S-1 (Amendment No. 3) (No. 333-103620) filed on June 10, 2003).
4.2			Certificate of Designations establishing the specific rights, preferences, limitations and other terms of the Series E Preferred Shares (incorporated by reference to Exhibit 3.1 to the Company's Current Report on Form 8-K filed on November 7, 2016).
†31.1			Certification of Chief Executive Officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.
†31.2			Certification of Chief Financial Officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.
†32.1			Certification of Chief Executive Officer pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.
†32.2			Certification of Chief Financial Officer pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.
†101			The following financial information from AXIS Capital Holdings Limited’s Quarterly Report on Form 10-Q for the quarter ended September 30, 2022 formatted in Inline XBRL: (i) Consolidated Balance Sheets at September 30, 2022 and December 31, 2021; (ii) Consolidated Statements of Operations for the three and nine months ended September 30, 2022 and 2021; (iii) Consolidated Statements of Comprehensive Income for the three and nine months ended September 30, 2022 and 2021; (iv) Consolidated Statements of Changes in Shareholders' Equity for the nine months ended September 30, 2022 and 2021; (v) Consolidated Statements of Cash Flows for the nine months ended September 30, 2022 and 2021; and (vi) Notes to Consolidated Financial Statements, tagged as blocks of text and in detail.
†104			Cover Page Interactive Data File (formatted as Inline XBRL and contained in Exhibit 101).

† Filed herewith.

The agreements and other documents filed as exhibits to this report are not intended to provide factual information or other disclosure other than with respect to the terms of the agreements or other documents themselves, and you should not rely on them for that purpose. In particular, any representations and warranties made by us in these agreements or other documents were made solely within the specific context of the relevant agreement or document and may not describe the actual state of affairs as of the date they were made or at any other time.

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SIGNATURES

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

Dated: October 26, 2022


AXIS CAPITAL HOLDINGS LIMITED
By:			/S/ ALBERT BENCHIMOL
			Albert Benchimol
			President and Chief Executive Officer
			(Principal Executive Officer)

			/S/ PETER VOGT
			Peter Vogt
			Chief Financial Officer
			(Principal Financial Officer)