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| SCOTTISHREGROUPLIMITED |
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| 2006 |
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| FOURTH QUARTER |
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| Financial Data Supplement |
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| Through the Fourth Quarter |
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| Ended December 31, 2006 |
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| (unaudited) |
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Scottish Re Group Limited
Financial Data Supplement Package
Table of Contents
Title | Page |
Definitions and Notes | 1 |
Summary Financial Results | 2 |
Quarterly Consolidated Balance Sheets |
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- Assets | 3 |
- Liabilities and Shareholders' Equity | 4 |
Quarterly Consolidated Statements of Income (Loss) | 5 |
Supplemental Information |
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- Net Operating Earnings (Loss) | 6 |
- Return on Equity | 6 |
- Book Value per Share | 7 |
- Segment Operating Results |
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> North America | 8 |
> International | 9 |
> Corporate & Other | 10 |
- International Segment Operating Revenues by Business Line | 11 |
- Life Reinsurance Key Operating Ratios |
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> Current Quarter | 12 |
> Year To Date | 13 |
- Investments |
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> Total Portfolio | 14 |
> Core Portfolio (excluding Triple X Transactions) | 15 |
> Funds Withheld at Interest | 16 |
> Triple X Transactions | 17 |
- North America Life Reinsurance Inforce and Premiums | 18 |
- North America Financial Solutions GAAP Reserves | 18 |
- Collateral Finance Facilities: Summary of Key Terms | 19-20 |
Financial Strength Ratings Summary | 21 |
Analyst Coverage | 21 |
Investor Relations Contact | 21 |
Scottish Re Group Limited
Financial Data Supplement Package
Definitions and Notes
The following document contains supplemental financial and statistical information for the quarter and year ended December 31, 2006. This document is dated as of February 20, 2007. Scottish Re Group Limited and its affiliates ("Scottish Re") do not undertake any duty to update such information after such date.
The information reported herein was derived from Scottish Re’s various administrative and financial reporting systems, but not necessarily its financial statements. These statistics attempt to measure only some of the many factors that may affect future business segment profitability, and therefore are not intended to be predictive of future profitability.
From time to time, Scottish Re provides additional financial information, which is available on its Web site atwww.scottishre.com.
Non-GAAP Financial Measures
Scottish Re uses various non-GAAP financial measures to assist it in managing its businesses. In this Financial Data Supplement, Scottish Re is pleased to share several of these measures, their definitions and reconciliations to their reported GAAP counterparts. While these items may be significant components in understanding and assessing the Company's consolidated financial performance, operating results and financial condition, they are not a substitute for measures determined in accordance with GAAP. Reconciliations to GAAP measures and other definitions of calculations are provided below and elsewhere in this package.
•
Net operating earnings (loss) available to ordinary shareholders
The Company determines net operating earnings (loss) available to ordinary shareholders by adjusting net income (loss) available to ordinary shareholders by net realized capital gains and losses and the change in value of embedded derivatives, as adjusted for the related effects upon the amortization of deferred acquisition costs, and taxes related to these items as well as acquisition-related due diligence costs in 2004. This reconciliation is illustrated on page 6.
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Return on equity
The Company determines return on equity by dividing the trailing twelve months net operating earnings (loss) available to ordinary shareholders (see above) by average shareholders' equity, as adjusted for preferred shares, accumulated other comprehensive income (AOCI), fair value of embedded derivatives (net), and prepaid variable forward share contract (PVFSC). This calculation is illustrated on page 6.
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Book value per share
The Company calculates three related measures of book value per share as follows:
1) Basic book value per ordinary share is determined by dividing end of period total shareholders' equity, as adjusted for preferred shares and PVFSC, by end of period ordinary shares outstanding.
2) Basic book value, excluding AOCI and fair value of embedded derivatives, per ordinary share is determined by dividing end of period total shareholders' equity, as adjusted for preferred shares, PVFSC, AOCI, and fair value of embedded derivatives (net), by end of period ordinary shares outstanding.
3) Fully converted book value per ordinary share is determined by dividing end of period total shareholders' equity, as adjusted for preferred shares, PVFSC, AOCI, fair value of embedded derivatives (net), and net proceeds from the assumed conversion of various instruments into common shares by end of period ordinary shares outstanding, as adjusted by adding potential shares issued from the assumed exercise of various options and restricted stock units, and conversion of various instruments into common shares.
These book value per share calculations are illustrated on page 7.
Scottish Re Group Limited
Summary Financial Results
(Stated in Thousands of United States Dollars, Except Share Data)
(unaudited)
| Three months | Three months | Twelve months | Twelve months |
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| ended | ended | ended | ended |
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Earnings | 31-Dec-05 | 31-Dec-06 | 31-Dec-05 | 31-Dec-06 |
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Net operating earnings (loss) available to ordinary shareholders1 | $50,778 | ($228,371) | $130,058 | ($368,348) |
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Net income (loss) available to ordinary shareholders | $58,510 | ($233,823) | $125,439 | ($376,657) |
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Net operating earnings (loss) per ordinary share: |
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Basic | $1.10 | ($3.77) | $2.97 | ($6.56) |
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Diluted | $1.03 | ($3.77) | $2.74 | ($6.56) |
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Net income (loss) per ordinary share: |
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Basic | $1.26 | ($3.86) | $2.86 | ($6.70) |
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Diluted | $1.18 | ($3.86) | $2.64 | ($6.70) |
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Share Data |
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Closing price per share | $24.55 | $5.34 | $24.55 | $5.34 |
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Dividends declared per ordinary share | $0.05 | $0.00 | $0.20 | $0.10 |
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Weighted average ordinary shares outstanding: |
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Basic | 46,312,567 | 60,554,104 | 43,838,261 | 56,182,222 |
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Diluted | 49,450,464 | 60,554,104 | 47,531,116 | 56,182,222 |
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Return on Equity1 | 31-Mar-06 | 30-Jun-06 | 30-Sep-06 | 31-Dec-06 |
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Return on average shareholders' equity, trailing twelve months | 11.5% | -3.3% | -8.4% | -35.0% |
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Book Value per Share2 |
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Basic book value per ordinary share | $20.80 | $17.73 | $19.13 | $15.39 |
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Basic book value per ordinary share (excluding other comprehensive income and value of embedded derivatives) | $21.89 | $19.45 | $19.27 | $15.50 |
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Fully converted book value per ordinary share (excluding other comprehensive income and value of embedded derivatives) | $21.13 | $19.26 | $18.95 | $15.78 |
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1 Please refer to page 6 for details on the calculation of these figures
2 Please refer to page 7 for details on the calculation of these figures
Scottish Re Group Limited
Quarterly Consolidated Balance Sheets
(stated in thousands of United States Dollars, Except Share Data)
(unaudited)
| 31-Dec | 31-Mar | 30-Jun | 30-Sep | 31-Dec | 31-Mar | 30-Jun | 30-Sep | 31-Dec |
| 2004 | 2005 | 2005 | 2005 | 2005 | 2006 | 2006 | 2006 | 2006 |
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ASSETS |
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Fixed maturity investments | $3,392,463 | $4,445,745 | $5,119,254 | $5,062,020 | $5,292,595 | $6,066,176 | $8,126,980 | $7,526,756 | $8,065,524 |
Preferred stock | 125,204 | 124,537 | 130,231 | 156,422 | 133,804 | 131,722 | 128,137 | 129,977 | 116,933 |
Cash and cash equivalents | 794,639 | 831,078 | 320,531 | 486,527 | 1,420,205 | 690,076 | 1,563,341 | 1,356,092 | 622,756 |
Other investments | 16,250 | 24,979 | 24,594 | 49,759 | 54,619 | 64,141 | 64,701 | 65,130 | 65,448 |
Funds withheld at interest | 2,056,280 | 1,920,730 | 1,895,353 | 1,892,077 | 2,597,416 | 2,610,195 | 2,175,141 | 2,076,097 | 1,942,079 |
Total investments | 6,384,836 | 7,347,069 | 7,489,963 | 7,646,805 | 9,498,639 | 9,562,310 | 12,058,300 | 11,154,052 | 10,812,740 |
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Accrued interest receivable | 32,092 | 40,983 | 39,645 | 41,368 | 44,012 | 45,371 | 71,411 | 59,767 | 57,538 |
Reinsurance balances |
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and risk fees receivable | 495,517 | 492,217 | 443,589 | 522,885 | 426,838 | 381,095 | 306,454 | 423,759 | 481,908 |
Deferred acquisition costs | 417,306 | 491,643 | 477,449 | 505,506 | 594,583 | 620,385 | 643,211 | 620,412 | 618,737 |
Amounts recoverable from reinsurers | 680,956 | 766,207 | 792,296 | 731,578 | 560,005 | 605,241 | 532,000 | 570,834 | 554,589 |
Present value of in-force business | 62,164 | 60,500 | 58,752 | 56,763 | 54,743 | 53,826 | 52,924 | 51,471 | 48,779 |
Goodwill | 34,125 | 34,125 | 34,125 | 34,125 | 34,125 | 34,125 | 34,125 | 34,125 | 0 |
Other assets | 38,926 | 61,161 | 188,715 | 63,488 | 87,198 | 94,719 | 124,349 | 172,072 | 178,311 |
Current income tax receivable | 7,712 | 2,553 | 9,189 | 16,791 | 0 | 0 | 0 | 0 | 0 |
Deferred tax assets | 15,030 | 25,289 | 11,729 | 34,805 | 55,453 | 79,435 | 5,901 | 0 | 0 |
Segregated assets | 783,573 | 774,162 | 799,329 | 772,526 | 760,707 | 780,132 | 776,048 | 739,410 | 683,470 |
TOTAL ASSETS | $8,952,237 | $10,095,909 | $10,344,781 | $10,426,640 | $12,116,303 | $12,256,639 | $14,604,723 | $13,825,902 | $13,436,072 |
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Scottish Re Group Limited
Quarterly Consolidated Balance Sheets - continued
(stated in thousands of United States Dollars, Except Share Data)
(unaudited)
| 31-Dec | 31-Mar | 30-Jun | 30-Sep | 31-Dec | 31-Mar | 30-Jun | 30-Sep | 31-Dec |
| 2004 | 2005 | 2005 | 2005 | 2005 | 2006 | 2006 | 2006 | 2006 |
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LIABILITIES |
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Reserves for future policy benefits | $3,301,715 | $3,537,190 | $3,524,757 | $3,592,779 | $3,526,220 | $3,539,016 | $4,101,799 | $3,663,489 | $3,919,901 |
Interest sensitive contract liabilities | 3,181,447 | 3,258,276 | 3,278,793 | 3,283,154 | 3,907,573 | 3,990,836 | 4,089,373 | 3,582,687 | 3,399,410 |
Collateral finance facilities | 200,000 | 1,050,000 | 1,050,000 | 1,050,000 | 1,985,681 | 1,985,681 | 3,725,161 | 3,745,918 | 3,757,435 |
Loans payable | 0 | 0 | 0 | 0 | 0 | 0 | 64,856 | 0 | 0 |
Accounts payable and other liabilites | 68,311 | 61,623 | 115,782 | 104,413 | 83,130 | 70,750 | 71,528 | 101,862 | 95,260 |
Reinsurance balances payable | 116,589 | 105,371 | 100,060 | 161,277 | 175,263 | 247,724 | 187,438 | 260,101 | 72,304 |
Current income tax payable | 0 | 0 | 0 | 0 | 9,155 | 4,481 | 3,487 | 4,451 | 48 |
7.00% convertible junior |
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subordinated notes | 41,282 | 42,005 | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
Deferred tax liability | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 47,106 | 169,977 |
Long term debt | 244,500 | 244,500 | 244,500 | 244,500 | 244,500 | 244,500 | 244,500 | 244,500 | 129,500 |
Segregated liabilities | 783,573 | 774,162 | 799,329 | 772,526 | 760,707 | 780,132 | 776,048 | 739,410 | 683,470 |
TOTAL LIABILITIES | 7,937,417 | 9,073,127 | 9,113,221 | 9,208,649 | 10,692,229 | 10,863,120 | 13,264,190 | 12,389,524 | 12,227,305 |
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Minority interest | 9,697 | 9,844 | 9,920 | 9,977 | 9,305 | 9,334 | 9,284 | 9,329 | 7,910 |
Mezzanine equity | 142,449 | 142,599 | 142,753 | 142,906 | 143,057 | 143,207 | 143,359 | 143,512 | 143,665 |
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SHAREHOLDERS' EQUITY |
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Ordinary shares, par value $0.01 per share | 399 | 400 | 454 | 456 | 534 | 537 | 537 | 606 | 606 |
Preferred shares, par value $0.01 per share | 0 | 0 | 125,000 | 125,000 | 125,000 | 125,000 | 125,000 | 125,000 | 125,000 |
Prepaid variable share forward contract | 0 | 0 | 0 | 0 | 0 | 0 | 110,031 | 0 | 0 |
Additional paid-in capital | 684,719 | 687,024 | 726,850 | 729,773 | 893,767 | 899,515 | 903,422 | 1,049,790 | 1,050,860 |
Accumulated other comprehensive income | 31,604 | 5,703 | 50,051 | 3,704 | (9,991) | (55,386) | (95,799) | (6,068) | 340 |
Retained earnings (deficit) | 145,952 | 177,212 | 176,532 | 206,175 | 262,402 | 271,312 | 144,699 | 114,209 | (119,614) |
TOTAL SHAREHOLDERS' EQUITY | 862,674 | 870,339 | 1,078,887 | 1,065,108 | 1,271,712 | 1,240,978 | 1,187,890 | 1,283,537 | 1,057,192 |
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TOTAL LIABILITIES, MINORITY |
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INTEREST, MEZZANINE EQUITY, AND SHAREHOLDERS' EQUITY | $8,952,237 | $10,095,909 | $10,344,781 | $10,426,640 | $12,116,303 | $12,256,639 | $14,604,723 | $13,825,902 | $13,436,072 |
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Ordinary shares outstanding | 39,931,145 | 40,022,945 | 45,453,472 | 45,627,372 | 53,391,939 | 53,655,856 | 53,745,156 | 60,554,104 | 60,554,104 |
Preferred shares outstanding | 0 | 0 | 5,000,000 | 5,000,000 | 5,000,000 | 5,000,000 | 5,000,000 | 5,000,000 | 5,000,000 |
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Scottish Re Group Limited
Quarterly Consolidated Statements of Income (Loss)
(stated in thousands of United States Dollars)
(unaudited)
For the Three Months Ended | 31-Dec | 31-Mar | 30-Jun | 30-Sep | 31-Dec | 31-Mar | 30-Jun | 30-Sep | 31-Dec |
| 2004 | 2005 | 2005 | 2005 | 2005 | 2006 | 2006 | 2006 | 2006 |
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REVENUES |
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Premiums earned, net | $152,089 | $463,680 | $436,893 | $470,094 | $563,263 | $449,021 | $444,942 | $453,521 | $494,501 |
Investment income, net | 56,699 | 80,479 | 83,554 | 92,132 | 99,672 | 129,022 | 147,977 | 162,408 | 177,217 |
Fee income | 2,860 | 3,624 | 2,785 | 2,801 | 3,106 | 3,733 | 4,639 | 2,380 | 3,741 |
Realized gains (losses) | (4,640) | 3,295 | 934 | 1,344 | (1,835) | (13,601) | (11,298) | (1,072) | (1,434) |
Change in value of embedded derivatives, net | 4,105 | 5,485 | (22,120) | (2,631) | 10,774 | 10,146 | 7,366 | (5,891) | (5,818) |
TOTAL REVENUES | 211,113 | 556,563 | 502,046 | 563,740 | 674,980 | 578,321 | 593,626 | 611,346 | 668,207 |
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BENEFITS AND EXPENSES |
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Claims and other policy benefits | 103,109 | 363,273 | 311,493 | 356,127 | 411,612 | 374,463 | 372,101 | 377,713 | 467,195 |
Interest credited to interest sensitive |
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contract liabilities | 29,182 | 30,642 | 31,723 | 36,724 | 33,879 | 42,701 | 55,399 | 42,423 | 32,444 |
Acquisition costs and other insurance expenses, net | 40,292 | 91,642 | 122,494 | 91,214 | 118,425 | 87,531 | 104,872 | 86,241 | 130,541 |
Operating expenses | 17,689 | 24,569 | 26,500 | 32,909 | 31,595 | 31,092 | 39,365 | 39,447 | 42,407 |
Goodwill impairment | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 34,125 |
Collateral finance facilities expense | 1,339 | 7,420 | 11,821 | 13,230 | 15,675 | 31,087 | 47,236 | 67,323 | 70,145 |
Interest expense | 3,891 | 5,594 | 4,813 | 5,690 | 4,641 | 4,893 | 7,066 | 5,005 | 6,175 |
Due diligence costs | 4,643 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
TOTAL BENEFITS AND EXPENSES | 200,145 | 523,140 | 508,844 | 535,894 | 615,827 | 571,767 | 626,039 | 618,152 | 783,032 |
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Income (loss) from continuing operations before |
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income taxes and minority interest | 10,968 | 33,423 | (6,798) | 27,846 | 59,153 | 6,554 | (32,413) | (6,806) | (114,825) |
Income tax benefit (expense) | 10,462 | 368 | 8,187 | 6,677 | 1,202 | 7,457 | (89,043) | (20,841) | (118,165) |
Income (loss) from continuing operations before |
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minority interest | 21,430 | 33,791 | 1,389 | 34,523 | 60,355 | 14,011 | (121,456) | (27,647) | (232,990) |
Minority interest | (176) | (371) | 202 | (113) | 421 | (162) | (134) | 232 | 1,432 |
Income (loss) from continuing operations | 21,254 | 33,420 | 1,591 | 34,410 | 60,776 | 13,849 | (121,590) | (27,415) | (231,558) |
Loss from discontinued operations | (208) | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
NET INCOME (LOSS) | 21,046 | 33,420 | 1,591 | 34,410 | 60,776 | 13,849 | (121,590) | (27,415) | (231,558) |
Dividends declared on non-cumulative perpetual |
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preferred shares | 0 | 0 | 0 | (2,492) | (2,266) | (2,266) | (2,265) | (2,266) | (2,265) |
Imputed dividends on prepaid variable |
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share forward contract | 0 | 0 | 0 | 0 | 0 | 0 | (72) | (809) | 0 |
NET INCOME (LOSS) AVAILABLE TO |
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ORDINARY SHAREHOLDERS | $21,046 | $33,420 | $1,591 | $31,918 | $58,510 | $11,583 | ($123,927) | ($30,490) | ($233,823) |
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Scottish Re Group Limited
Supplemental Information - Net Operating Earnings (Loss) and Return on Equity
(stated in thousands of United States Dollars, Except Share Data)
(unaudited)
For the Three Months Ended | 31-Dec | 31-Mar | 30-Jun | 30-Sep | 31-Dec | 31-Mar | 30-Jun | 30-Sep | 31-Dec |
| 2004 | 2005 | 2005 | 2005 | 2005 | 2006 | 2006 | 2006 | 2006 |
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Net income (loss) available to ordinary shareholders | $21,046 | $33,420 | $1,591 | $31,918 | $58,510 | $11,583 | ($123,927) | ($30,490) | ($233,823) |
Subtract: |
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Realized (gains) losses | 4,640 | (3,295) | (934) | (1,344) | 1,835 | 13,601 | 11,298 | 1,072 | 1,434 |
Change in value of embedded derivatives, net | (4,105) | (5,485) | 22,120 | 2,631 | (10,774) | (10,146) | (7,366) | 5,891 | 5,818 |
Taxes on realized gains/losses and |
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change in value of embedded derivatives | 1,172 | 2,289 | (3,062) | (569) | 1,207 | (749) | (10,318) | (426) | (1,800) |
Due diligence costs (12/31/04: net of $579 tax) | 4,064 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
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Net operating earnings (loss) available |
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to ordinary shareholders | $26,817 | $26,929 | $19,715 | $32,636 | $50,778 | $14,289 | ($130,313) | ($23,953) | ($228,371) |
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Net operating earnings (loss) per share |
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available to ordinary shareholders: |
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Basic | $0.75 | $0.67 | $0.45 | $0.72 | $1.10 | $0.27 | ($2.43) | ($0.42) | ($3.77) |
Diluted | $0.71 | $0.60 | $0.42 | $0.67 | $1.03 | $0.25 | ($2.43) | ($0.42) | ($3.77) |
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Weighted average ordinary shares outstanding: |
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Basic | 35,981,436 | 39,970,965 | 43,462,385 | 45,517,832 | 46,312,567 | 53,434,484 | 53,720,242 | 56,933,566 | 60,554,104 |
Diluted | 37,847,645 | 45,192,171 | 47,136,889 | 48,543,262 | 49,450,464 | 56,532,914 | 53,720,242 | 56,933,566 | 60,554,104 |
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Return on average shareholders' equity |
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(1) Numerator: Net operating earnings (loss) available to ordinary shareholders, trailing twelve months | $80,360 | $90,676 | $92,279 | $106,097 | $130,058 | $117,418 | ($32,610) | ($89,199) | ($368,348) |
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Total shareholders' equity | $862,674 | $870,339 | $1,078,887 | $1,065,108 | $1,271,712 | $1,240,978 | $1,187,890 | $1,283,537 | $1,057,192 |
Subtract: |
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Preferred shares | 0 | 0 | (125,000) | (125,000) | (125,000) | (125,000) | (125,000) | (125,000) | (125,000) |
Accumulated other comprehensive income (loss) | (31,604) | (5,703) | (50,051) | (3,704) | 9,991 | 55,386 | 95,799 | 6,068 | (340) |
Fair value of embedded derivatives, net | 4,220 | 332 | 18,599 | 20,875 | 11,810 | 2,984 | (3,121) | 1,980 | 6,985 |
Prepaid variable share forward contract | 0 | 0 | 0 | 0 | 0 | 0 | (110,031) | 0 | 0 |
Shareholders' equity for ROE | 835,290 | 864,968 | 922,435 | 957,279 | 1,168,513 | 1,174,348 | 1,045,537 | 1,166,585 | 938,837 |
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(2) Denominator: Average shareholders' equity | $736,921 | $761,134 | $799,008 | $823,841 | $1,001,902 | $1,019,658 | $983,986 | $1,061,932 | $1,053,675 |
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Return on average shareholders' equity (1) / (2) | 10.9% | 11.9% | 11.5% | 12.9% | 13.0% | 11.5% | -3.3% | -8.4% | -35.0% |
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Scottish Re Group Limited
Supplemental Information - Book Value per Share
(stated in thousands of United States Dollars, Except Share Data)
(unaudited)
| 31-Dec | 31-Mar | 30-Jun | 30-Sep | 31-Dec | 31-Mar | 30-Jun | 30-Sep | 31-Dec |
| 2004 | 2005 | 2005 | 2005 | 2005 | 2006 | 2006 | 2006 | 2006 |
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Total shareholders' equity, end of period | $862,674 | $870,339 | $1,078,887 | $1,065,108 | $1,271,712 | $1,240,978 | $1,187,890 | $1,283,537 | $1,057,192 |
Subtract: Preferred shares | 0 | 0 | (125,000) | (125,000) | (125,000) | (125,000) | (125,000) | (125,000) | (125,000) |
Subtract: Prepaid variable share forward contract (PVSFC) | 0 | 0 | 0 | 0 | 0 | 0 | (110,031) | 0 | 0 |
(1) Total shareholders' equity excl. pref. shares & PVSFC | 862,674 | 870,339 | 953,887 | 940,108 | 1,146,712 | 1,115,978 | 952,859 | 1,158,537 | 932,192 |
Subtract: Accum. other comprehensive income (AOCI) | (31,604) | (5,703) | (50,051) | (3,704) | 9,991 | 55,386 | 95,799 | 6,068 | (340) |
Subtract: Fair value of embedded derivatives, net | 4,220 | 332 | 18,599 | 20,875 | 11,810 | 2,984 | (3,121) | 1,980 | 6,985 |
(2) Total shareholders' equity excl. preferred shares, PVFSC, AOCI, and fair value of embedded derivatives | 835,290 | 864,968 | 922,435 | 957,279 | 1,168,513 | 1,174,348 | 1,045,537 | 1,166,585 | 938,837 |
Add net proceeds from assumed: |
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Conversion of options | 37,085 | 46,926 | 46,090 | 49,336 | 48,374 | 45,072 | 43,247 | 37,033 | 29,801 |
Conversion of warrants | 39,782 | 39,782 | 39,750 | 39,750 | 39,750 | 39,750 | 39,750 | 39,750 | 39,750 |
Conversion of mezzanine equity | 143,750 | 143,750 | 143,750 | 143,750 | 143,750 | 143,750 | 143,750 | 143,750 | 143,750 |
Prepaid variable share forward contract | 0 | 0 | 0 | 0 | 0 | 0 | 150,000 | 0 | 0 |
Conversion of 4.5% senior convertible notes | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
Conversion of 7% convertible notes | 41,282 | 42,005 | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
(3) Converted shareholders' equity excl. preferred shares, PVSFC, AOCI, and fair value of embedded derivatives | $1,097,189 | $1,137,431 | $1,152,025 | $1,190,115 | $1,400,387 | $1,402,920 | $1,422,284 | $1,387,118 | $1,152,138 |
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(4) Ordinary shares outstanding, end of period | 39,931,145 | 40,022,945 | 45,453,472 | 45,627,372 | 53,391,939 | 53,655,856 | 53,745,156 | 60,554,104 | 60,554,104 |
Add potential shares issued from assumed: |
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Exercise of options and restricted stock units | 2,491,236 | 3,059,836 | 3,199,936 | 3,359,436 | 3,390,936 | 3,320,020 | 3,201,521 | 2,563,719 | 2,351,521 |
Conversion of warrants | 5,856,431 | 5,856,431 | 2,650,000 | 2,650,000 | 2,650,000 | 2,650,000 | 2,650,000 | 2,650,000 | 2,650,000 |
Conversion of mezzanine equity | 6,099,025 | 6,383,214 | 6,099,025 | 6,099,025 | 6,099,025 | 6,099,025 | 7,440,500 | 7,440,500 | 7,440,500 |
Conversion of 4.5% senior convertible notes | 0 | 0 | 0 | 473,273 | 612,780 | 661,870 | 217,817 | 0 | 0 |
Prepaid variable share forward contract | 0 | 0 | 0 | 0 | 0 | 0 | 6,578,947 | 0 | 0 |
Conversion of 7% convertible notes | 2,130,709 | 2,167,996 | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
(5) Fully converted ordinary shares outstanding | 56,508,546 | 57,490,422 | 57,402,433 | 58,209,106 | 66,144,680 | 66,386,771 | 73,833,941 | 73,208,323 | 72,996,125 |
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Basic book value per ordinary share (1) / (4) | $21.60 | $21.75 | $20.99 | $20.60 | $21.48 | $20.80 | $17.73 | $19.13 | $15.39 |
Basic book value, excl. AOCI, and fair value of |
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embedded derivatives, per share (2) / (4) | $20.92 | $21.61 | $20.29 | $20.98 | $21.89 | $21.89 | $19.45 | $19.27 | $15.50 |
Fully converted book value, excl. AOCI and fair value of embedded derivatives, per share (3) / (5) | $19.42 | $19.78 | $20.07 | $20.45 | $21.17 | $21.13 | $19.26 | $18.95 | $15.78 |
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Scottish Re Group Limited
Supplemental Information - Segment Operating Results: Life Reinsurance North America
(stated in thousands of United States Dollars)
(unaudited)
For the Three Months Ended | 31-Dec | 31-Mar | 30-Jun | 30-Sep | 31-Dec | 31-Mar | 30-Jun | 30-Sep | 31-Dec |
| 2004 | 2005 | 2005 | 2005 | 2005 | 2006 | 2006 | 2006 | 2006 |
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REVENUES |
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|
Premiums earned, net | $113,629 | $437,095 | $408,877 | $427,224 | $541,679 | $428,918 | $407,549 | $421,707 | $461,065 |
Investment income, net | 54,374 | 77,531 | 80,956 | 88,490 | 94,562 | 123,941 | 136,763 | 151,872 | 171,783 |
Fee income | 2,073 | 2,900 | 2,007 | 2,010 | 2,316 | 3,017 | 3,879 | 1,620 | 2,975 |
Realized gains (losses) | (6,826) | 1,442 | 2,208 | (160) | (2,369) | (13,919) | (5,479) | 173 | 182 |
Change in value of embedded derivatives, net | 4,105 | 5,485 | (22,120) | (2,631) | 10,774 | 10,146 | 7,366 | (5,891) | (5,818) |
TOTAL REVENUES | 167,355 | 524,453 | 471,928 | 514,933 | 646,962 | 552,103 | 550,078 | 569,481 | 630,187 |
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BENEFITS AND EXPENSES |
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Claims and other policy benefits | 78,171 | 344,188 | 293,599 | 330,035 | 397,777 | 347,280 | 338,626 | 360,968 | 443,472 |
Interest credited to interest sensitive |
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contract liabilities | 29,182 | 30,642 | 31,723 | 36,724 | 33,879 | 42,701 | 55,399 | 42,423 | 32,444 |
Acquisition costs and other insurance expenses, net | 31,477 | 88,278 | 117,927 | 80,762 | 114,025 | 84,408 | 97,280 | 74,082 | 104,967 |
Operating expenses | 4,865 | 11,673 | 10,221 | 12,981 | 13,974 | 14,592 | 14,538 | 14,569 | 14,434 |
Goodwill impairment | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
Collateral finance facilities expense | 1,339 | 6,185 | 10,448 | 11,850 | 14,630 | 30,543 | 45,891 | 63,866 | 64,910 |
Interest expense | 1,713 | 2,708 | 2,657 | 3,062 | 2,396 | 2,562 | 3,038 | 2,986 | 3,027 |
Due diligence costs | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
TOTAL BENEFITS AND EXPENSES | 146,747 | 483,674 | 466,575 | 475,414 | 576,681 | 522,086 | 554,772 | 558,894 | 663,254 |
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Income (loss) from continuing operations before |
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income taxes and minority interest | $20,608 | $40,779 | $5,353 | $39,519 | $70,281 | $30,017 | ($4,694) | $10,587 | ($33,067) |
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Pre-tax operating earnings (loss) |
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Pre-tax income (loss) | $20,608 | $40,779 | $5,353 | $39,519 | $70,281 | $30,017 | ($4,694) | $10,587 | ($33,067) |
Realized losses (gains) | 6,826 | (1,442) | (2,208) | 160 | 2,369 | 13,919 | 5,479 | (173) | (182) |
Change in value of embedded derivatives, net | (4,105) | (5,485) | 22,120 | 2,631 | (10,774) | (10,146) | (7,366) | 5,891 | 5,818 |
Pre-tax operating earnings (loss) | $23,329 | $33,852 | $25,265 | $42,310 | $61,876 | $33,790 | ($6,581) | $16,305 | ($27,431) |
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Scottish Re Group Limited
Supplemental Information - Segment Operating Results: Life Reinsurance International
(stated in thousands of United States Dollars)
(unaudited)
For the Three Months Ended | 31-Dec | 31-Mar | 30-Jun | 30-Sep | 31-Dec | 31-Mar | 30-Jun | 30-Sep | 31-Dec |
| 2004 | 2005 | 2005 | 2005 | 2005 | 2006 | 2006 | 2006 | 2006 |
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REVENUES |
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|
Premiums earned, net | $38,460 | $26,585 | $28,016 | $42,870 | $21,584 | $20,103 | $37,393 | $31,814 | $33,436 |
Investment income, net | 2,195 | 2,590 | 2,352 | 2,734 | 3,812 | 2,989 | 8,971 | 8,528 | 3,618 |
Fee income | (2) | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
Realized gains (losses) | 1,959 | 497 | 88 | (82) | 760 | (1,138) | (6,908) | (2,832) | (691) |
Change in value of embedded derivatives, net | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
TOTAL REVENUES | 42,612 | 29,672 | 30,456 | 45,522 | 26,156 | 21,954 | 39,456 | 37,510 | 36,363 |
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BENEFITS AND EXPENSES |
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Claims and other policy benefits | 24,938 | 19,085 | 17,894 | 26,092 | 13,835 | 27,183 | 33,475 | 16,745 | 23,723 |
Interest credited to interest sensitive |
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contract liabilities | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
Acquisition costs and other insurance expenses, net | 8,390 | 2,845 | 4,053 | 9,933 | 3,891 | 2,817 | 6,185 | 9,396 | 18,934 |
Operating expenses | 5,692 | 5,849 | 7,285 | 6,728 | 5,414 | 5,777 | 7,874 | 7,678 | 9,907 |
Goodwill impairment | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 33,758 |
Collateral finance facilities expense | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
Interest expense | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
Due diligence costs | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
TOTAL BENEFITS AND EXPENSES | 39,020 | 27,779 | 29,232 | 42,753 | 23,140 | 35,777 | 47,534 | 33,819 | 86,322 |
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Income (loss) from continuing operations before |
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income taxes and minority interest | $3,592 | $1,893 | $1,224 | $2,769 | $3,016 | ($13,823) | ($8,078) | $3,691 | ($49,959) |
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Pre-tax operating earnings (loss) |
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Pre-tax income (loss) | $3,592 | $1,893 | $1,224 | $2,769 | $3,016 | ($13,823) | ($8,078) | $3,691 | ($49,959) |
Realized losses (gains) | (1,959) | (497) | (88) | 82 | (760) | 1,138 | 6,908 | 2,832 | 691 |
Change in value of embedded derivatives, net | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
Pre-tax operating earnings (loss) | $1,633 | $1,396 | $1,136 | $2,851 | $2,256 | ($12,685) | ($1,170) | $6,523 | ($49,268) |
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Scottish Re Group Limited
Supplemental Information - Segment Operating Results: Corporate & Other
(stated in thousands of United States Dollars)
(unaudited)
For the Three Months Ended | 31-Dec | 31-Mar | 30-Jun | 30-Sep | 31-Dec | 31-Mar | 30-Jun | 30-Sep | 31-Dec |
| 2004 | 2005 | 2005 | 2005 | 2005 | 2006 | 2006 | 2006 | 2006 |
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REVENUES |
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|
Premiums earned, net | $0 | $0 | $0 | $0 | $0 | $0 | $0 | $0 | $0 |
Investment income, net | 130 | 358 | 246 | 908 | 1,298 | 2,092 | 2,243 | 2,008 | 1,816 |
Fee income | 789 | 724 | 778 | 791 | 790 | 716 | 760 | 760 | 766 |
Realized gains (losses) | 227 | 1,356 | (1,362) | 1,586 | (226) | 1,456 | 1,089 | 1,587 | (925) |
Change in value of embedded derivatives, net | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
TOTAL REVENUES | 1,146 | 2,438 | (338) | 3,285 | 1,862 | 4,264 | 4,092 | 4,355 | 1,657 |
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BENEFITS AND EXPENSES |
|
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Claims and other policy benefits | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
Interest credited to interest sensitive |
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contract liabilities | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
Acquisition costs and other insurance expenses, net | 425 | 519 | 514 | 519 | 509 | 306 | 1,407 | 2,763 | 6,640 |
Operating expenses | 7,132 | 7,047 | 8,994 | 13,200 | 12,207 | 10,723 | 16,953 | 17,200 | 18,066 |
Goodwill impairment | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 367 |
Collateral finance facilities expense | 0 | 1,235 | 1,373 | 1,380 | 1,045 | 544 | 1,345 | 3,457 | 5,235 |
Interest expense | 2,178 | 2,886 | 2,156 | 2,628 | 2,245 | 2,331 | 4,028 | 2,019 | 3,148 |
Due diligence costs | 4,643 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
TOTAL BENEFITS AND EXPENSES | 14,378 | 11,687 | 13,037 | 17,727 | 16,006 | 13,904 | 23,733 | 25,439 | 33,456 |
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Loss from continuing operations before |
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income taxes and minority interest | ($13,232) | ($9,249) | ($13,375) | ($14,442) | ($14,144) | ($9,640) | ($19,641) | ($21,084) | ($31,799) |
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Pre-tax operating loss |
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Pre-tax income (loss) | ($13,232) | ($9,249) | ($13,375) | ($14,442) | ($14,144) | ($9,640) | ($19,641) | ($21,084) | ($31,799) |
Realized losses (gains) | (227) | (1,356) | 1,362 | (1,586) | 226 | (1,456) | (1,089) | (1,587) | 925 |
Change in value of embedded derivatives, net | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
Pre-tax operating loss | ($13,459) | ($10,605) | ($12,013) | ($16,028) | ($13,918) | ($11,096) | ($20,730) | ($22,671) | ($30,874) |
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Scottish Re Group Limited
Supplemental Information - International Segment Operating Revenues by Business Line
(stated in thousands of United States Dollars)
(unaudited)
| Three | Three | Twelve | Twelve |
| Three | Three | Twelve | Twelve |
| months | months | months | months |
| months | months | months | months |
| ended | ended | ended | ended |
| ended | ended | ended | ended |
Operating Revenues | 31-Dec-05 | 31-Dec-06 | 31-Dec-05 | 31-Dec-06 | Operating Revenues | 31-Dec-05 | 31-Dec-06 | 31-Dec-05 | 31-Dec-06 |
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NORTH AMERICA1 |
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| MIDDLE EAST2 |
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Premiums earned, net | $5,441 | $5,372 | $21,840 | $23,201 | Premiums earned, net | $4,256 | $5,400 | $20,047 | $23,293 |
Investment income, net | 542 | 568 | 1,623 | 1,971 | Investment income, net | 388 | 382 | 1,024 | 1,608 |
TOTAL | $5,983 | $5,940 | $23,463 | $25,172 | TOTAL | $4,644 | $5,782 | $21,071 | $24,901 |
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GLOBAL AVIATION3 |
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| ASIA4 |
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Premiums earned, net | $4,725 | $5,018 | $29,083 | $18,370 | Premiums earned, net | $1,383 | $857 | $3,891 | $5,135 |
Investment income, net | 361 | 219 | 897 | 768 | Investment income, net | 48 | 49 | 52 | 183 |
TOTAL | $5,086 | $5,237 | $29,980 | $19,138 | TOTAL | $1,431 | $906 | $3,943 | $5,318 |
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UK & IRELAND TREATIES5 |
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| UK & IRELAND ANNUITIES6 |
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Premiums earned, net | $1,030 | $9,242 | $3,143 | $18,190 | Premiums earned, net | $0 | $0 | $0 | $0 |
Investment income, net | 39 | 252 | 93 | 506 | Investment income, net | 0 | 0 | 0 | 11,332 |
TOTAL | $1,069 | $9,494 | $3,236 | $18,696 | TOTAL | $0 | $0 | $0 | $11,332 |
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OTHER7 |
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| TOTAL |
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|
Premiums earned, net | $4,749 | $7,547 | $41,051 | $34,557 | Premiums earned, net | $21,584 | $33,436 | $119,055 | $122,746 |
Investment income, net | 2,434 | 2,148 | 7,799 | 7,738 | Investment income, net | 3,812 | 3,618 | 11,488 | 24,106 |
TOTAL | $7,183 | $9,695 | $48,850 | $42,295 | TOTAL | $25,396 | $37,054 | $130,543 | $146,852 |
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Notes
1 Represents assumed retroceded reinsurance on North American lives written mainly in 2002 and prior; currently in runoff
2 Primarily Group business
3 Represents aircrew loss of license business, primarily UK, Ireland, and Europe
4 Represents primarily Japanese Kyosai business
5 Represents long term life reinsurance treaties
6 Represents reinsured annuity business
7 Represents Other European, African, Latin American, Asian, and Middle Eastern business primarily in runoff
Scottish Re Group Limited
Supplemental Information - Life Reinsurance Key Operating Ratios
(stated in thousands of United States Dollars)
(unaudited)
| Three Months Ended | |||||||
| North America | International | Total |
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| |||
| Traditional | Financial | Traditional | Financial | Traditional | Financial | Corporate |
|
| Solutions | Solutions | Solutions | Solutions | Solutions | Solutions | & Other | Total |
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REVENUES |
|
|
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|
|
(1) Premiums earned, net | $449,912 | $11,153 | $33,436 | $0 | $483,348 | $11,153 | $0 | $494,501 |
Investment income, net (net of securitization income) | 20,943 | 74,783 | 3,761 | (143) | 24,704 | 74,640 | 1,816 | 101,160 |
(2) TOTAL OPERATING REVENUES | $470,855 | $85,936 | $37,197 | ($143) | $508,052 | $85,793 | $1,816 | $595,661 |
BENEFITS AND EXPENSES |
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(3) Claims and other policy benefits | $407,449 | $36,023 | $23,723 | $0 | $431,172 | $36,023 | $0 | $467,195 |
(4) Interest credited to interest sensitive contract liabilities | $1,657 | $30,787 | $0 | $0 | $1,657 | $30,787 | $0 | $32,444 |
(5) Acquisition costs and other insurance expenses, net | $72,728 | $32,239 | $18,934 | $0 | $91,662 | $32,239 | $6,640 | $130,541 |
RATIOS |
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Benefit Ratio1 | 90.6% | 77.7% | 71.0% | 0.0% | 89.2% | 77.9% | n/a | 83.9% |
Acquisition Ratio2 | 16.2% | 37.5% | 56.6% | 0.0% | 19.0% | 37.6% | n/a | 21.9% |
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| Three Months Ended | |||||||
| North America | International | Total |
|
| |||
| Traditional | Financial | Traditional | Financial | Traditional | Financial | Corporate |
|
| Solutions | Solutions | Solutions | Solutions | Solutions | Solutions | & Other | Total |
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REVENUES |
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|
|
(1) Premiums earned, net | $525,096 | $16,583 | $21,584 | $0 | $546,680 | $16,583 | $0 | $563,263 |
Investment income, net (net of securitization income) | 26,791 | 48,781 | 3,812 | 0 | 30,603 | 48,781 | 1,298 | 80,682 |
(2) TOTAL OPERATING REVENUES | $551,887 | $65,364 | $25,396 | $0 | $577,283 | $65,364 | $1,298 | $643,945 |
BENEFITS AND EXPENSES |
|
|
|
|
|
|
|
|
(3) Claims and other policy benefits | $383,359 | $14,418 | $13,835 | $0 | $397,194 | $14,418 | $0 | $411,612 |
(4) Interest credited to interest sensitive contract liabilities | $1,249 | $32,630 | $0 | $0 | $1,249 | $32,630 | $0 | $33,879 |
(5) Acquisition costs and other insurance expenses, net | $99,530 | $14,495 | $3,891 | $0 | $103,421 | $14,495 | $509 | $118,425 |
RATIOS |
|
|
|
|
|
|
|
|
Benefit Ratio1 | 73.0% | 72.0% | 64.1% | n/a | 72.7% | 72.0% | n/a | 69.2% |
Acquisition Ratio2 | 19.0% | 22.2% | 18.0% | n/a | 18.9% | 22.2% | n/a | 18.4% |
|
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|
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|
|
|
|
|
1 Traditional Solutions: (3) / (1), Financial Solutions: [(3) + (4)] / (2), Total: [(3) + (4)] / (2)
2 Traditional Solutions: (5) / (1), Financial Solutions: (5) / (2), Total: (5) / (2)
Scottish Re Group Limited
Supplemental Information - Life Reinsurance Key Operating Ratios
(stated in thousands of United States Dollars)
(unaudited)
| Twelve Months Ended | |||||||
| North America | International | Total |
|
| |||
| Traditional | Financial | Traditional | Financial | Traditional | Financial | Corporate |
|
| Solutions | Solutions | Solutions | Solutions | Solutions | Solutions | & Other | Total |
|
|
|
|
|
|
|
|
|
REVENUES |
|
|
|
|
|
|
|
|
(1) Premiums earned, net | $1,681,768 | $37,471 | $122,746 | $0 | $1,804,514 | $37,471 | $0 | $1,841,985 |
Investment income, net (net of securitization income) | 99,724 | 248,705 | 12,898 | 11,208 | 112,622 | 259,913 | 8,159 | 380,694 |
(2) TOTAL OPERATING REVENUES | $1,781,492 | $286,176 | $135,644 | $11,208 | $1,917,136 | $297,384 | $8,159 | $2,222,679 |
BENEFITS AND EXPENSES |
|
|
|
|
|
|
|
|
(3) Claims and other policy benefits | $1,428,665 | $61,681 | $89,736 | $11,390 | $1,518,401 | $73,071 | $0 | $1,591,472 |
(4) Interest credited to interest sensitive contract liabilities | $6,112 | $166,855 | $0 | $0 | $6,112 | $166,855 | $0 | $172,967 |
(5) Acquisition costs and other insurance expenses, net | $292,867 | $67,870 | $37,327 | $5 | $330,194 | $67,875 | $11,116 | $409,185 |
RATIOS |
|
|
|
|
|
|
|
|
Benefit Ratio1 | 85.0% | 79.9% | 73.1% | 101.6% | 84.1% | 80.7% | n/a | 79.4% |
Acquisition Ratio2 | 17.4% | 23.7% | 30.4% | 0.0% | 18.3% | 22.8% | n/a | 18.4% |
|
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|
| Twelve Months Ended | |||||||
| North America |
| International |
| Total |
|
|
|
| Traditional | Financial | Traditional | Financial | Traditional | Financial | Corporate |
|
| Solutions | Solutions | Solutions | Solutions | Solutions | Solutions | & Other | Total |
|
|
|
|
|
|
|
|
|
REVENUES |
|
|
|
|
|
|
|
|
(1) Premiums earned, net | $1,762,090 | $52,785 | $119,055 | $0 | $1,881,145 | $52,785 | $0 | $1,933,930 |
Investment income, net (net of securitization income) | 100,645 | 186,037 | 11,488 | 0 | 112,133 | 186,037 | 2,810 | 300,980 |
(2) TOTAL OPERATING REVENUES | $1,862,735 | $238,822 | $130,543 | $0 | $1,993,278 | $238,822 | $2,810 | $2,234,910 |
BENEFITS AND EXPENSES |
|
|
|
|
|
|
|
|
(3) Claims and other policy benefits | $1,309,576 | $56,023 | $76,906 | $0 | $1,386,482 | $56,023 | $0 | $1,442,505 |
(4) Interest credited to interest sensitive contract liabilities | $1,249 | $131,719 | $0 | $0 | $1,249 | $131,719 | $0 | $132,968 |
(5) Acquisition costs and other insurance expenses, net | $355,903 | $45,089 | $20,722 | $0 | $376,625 | $45,089 | $2,061 | $423,775 |
RATIOS |
|
|
|
|
|
|
|
|
Benefit Ratio1 | 74.3% | 78.6% | 64.6% | n/a | 73.7% | 78.6% | n/a | 70.5% |
Acquisition Ratio2 | 20.2% | 18.9% | 17.4% | n/a | 20.0% | 18.9% | n/a | 19.0% |
|
|
|
|
|
|
|
|
|
1 Traditional Solutions: (3) / (1), Financial Solutions: [(3) + (4)] / (2), Total: [(3) + (4)] / (2)
2 Traditional Solutions: (5) / (1), Financial Solutions: (5) / (2), Total: (5) / (2)
Scottish Re Group Limited
Supplemental Information - Investments
(stated in millions of United States Dollars)
(unaudited)
| 31-Dec-05 | 31-Mar-06 | 30-Jun-06 | 30-Sep-06 | 31-Dec-06 | |||||
| Market |
| Market |
| Market |
| Market |
| Market |
|
| Value | % | Value | % | Value | % | Value | % | Value | % |
|
|
|
|
|
|
|
|
|
|
|
TOTAL PORTFOLIO |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BY RATINGS |
|
|
|
|
|
|
|
|
|
|
AAA | $3,723.5 | 40.0% | $3,605.1 | 38.8% | $4,591.4 | 39.0% | $4,246.8 | 39.0% | $3,778.0 | 35.6% |
AA | 1,215.0 | 13.1% | 1,275.4 | 13.7% | 2,099.6 | 17.9% | 2,168.8 | 19.9% | 2,519.6 | 23.7% |
A | 2,388.6 | 25.7% | 2,405.4 | 25.9% | 3,102.5 | 26.4% | 2,655.1 | 24.4% | 2,612.0 | 24.6% |
BBB | 1,763.4 | 18.9% | 1,790.9 | 19.3% | 1,761.0 | 15.0% | 1,613.9 | 14.8% | 1,524.1 | 14.3% |
BB and below | 106.0 | 1.1% | 105.7 | 1.1% | 98.6 | 0.8% | 101.3 | 0.9% | 99.9 | 0.9% |
Subtotal | 9,196.5 | 98.8% | 9,182.5 | 98.8% | 11,653.1 | 99.1% | 10,785.9 | 99.0% | 10,533.6 | 99.1% |
Commercial mortgage loans | 112.6 | 1.2% | 108.0 | 1.2% | 105.5 | 0.9% | 103.5 | 1.0% | 98.8 | 0.9% |
TOTAL | $9,309.1 | 100.0% | $9,290.5 | 100.0% | $11,758.6 | 100.0% | $10,889.4 | 100.0% | $10,632.4 | 100.0% |
|
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|
|
Weighted Average Rating | AA- | AA- | AA- | AA- | AA- | |||||
|
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|
|
|
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|
|
|
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|
|
|
|
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|
|
|
BY SECTOR |
|
|
|
|
|
|
|
|
|
|
U.S. Treasury securities and U.S. |
|
|
|
|
|
|
|
|
|
|
government agency obligations | $110.1 | 1.2% | $267.0 | 2.9% | $180.3 | 1.5% | $111.4 | 1.0% | $126.9 | 1.2% |
Corporate securities | 3,688.3 | 39.6% | 3,632.4 | 39.1% | 4,378.4 | 37.2% | 4,049.8 | 37.2% | 4,004.9 | 37.6% |
Municipal bonds | 70.6 | 0.8% | 73.3 | 0.8% | 80.2 | 0.7% | 82.2 | 0.8% | 82.0 | 0.8% |
Mortgage and asset-backed securities | 3,745.2 | 40.2% | 4,464.4 | 48.0% | 5,408.0 | 46.0% | 5,275.8 | 48.4% | 5,708.2 | 53.7% |
Preferred stock | 137.0 | 1.5% | 135.0 | 1.4% | 130.8 | 1.1% | 132.7 | 1.2% | 136.3 | 1.3% |
Commercial mortgage loans | 112.6 | 1.2% | 108.0 | 1.2% | 105.5 | 0.9% | 103.5 | 1.0% | 98.8 | 0.9% |
Subtotal | 7,863.8 | 84.5% | 8,680.1 | 93.4% | 10,283.2 | 87.4% | 9,755.4 | 89.6% | 10,157.1 | 95.5% |
Cash | 1,445.3 | 15.5% | 610.4 | 6.6% | 1,475.4 | 12.6% | 1,134.0 | 10.4% | 475.3 | 4.5% |
TOTAL | $9,309.1 | 100.0% | $9,290.5 | 100.0% | $11,758.6 | 100.0% | $10,889.4 | 100.0% | $10,632.4 | 100.0% |
|
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|
|
|
Weighted Average Book Yield | 5.1% | 5.3% | 5.5% | 5.6% | 5.6% | |||||
Option Adjusted Duration (years) | 3.6 | 3.5 | 3.4 | 3.3 | 3.3 | |||||
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|
|
Scottish Re Group Limited
Supplemental Information - Investments continued
(stated in millions of United States Dollars)
(unaudited)
| 31-Dec-05 | 31-Mar-06 | 30-Jun-06 | 30-Sep-06 | 31-Dec-06 | |||||
| Market |
| Market |
| Market |
| Market |
| Market |
|
| Value | % | Value | % | Value | % | Value | % | Value | % |
|
|
|
|
|
|
|
|
|
|
|
CORE PORTFOLIO EXCL. TRIPLE X TRANSACTIONS 1 |
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BY RATINGS |
|
|
|
|
|
|
|
|
|
|
AAA | $1,208.9 | 30.7% | $1,284.5 | 32.5% | $1,119.7 | 26.0% | $1,114.5 | 33.8% | $984.9 | 32.0% |
AA | 416.5 | 10.6% | 405.0 | 10.3% | 540.7 | 12.6% | 386.0 | 11.7% | 383.2 | 12.4% |
A | 1,316.8 | 33.5% | 1,277.9 | 32.4% | 1,629.0 | 37.9% | 943.8 | 28.6% | 864.0 | 28.0% |
BBB | 965.1 | 24.5% | 954.4 | 24.1% | 983.1 | 22.9% | 833.1 | 25.2% | 828.4 | 26.8% |
BB and below | 28.0 | 0.7% | 27.7 | 0.7% | 24.4 | 0.6% | 24.0 | 0.7% | 24.9 | 0.8% |
TOTAL | $3,935.3 | 100.0% | $3,949.5 | 100.0% | $4,296.9 | 100.0% | $3,301.4 | 100.0% | $3,085.4 | 100.0% |
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|
Weighted Average Rating | A+ | A+ | A+ | AA- | A+ | |||||
|
|
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BY SECTOR |
|
|
|
|
|
|
|
|
|
|
U.S. Treasury securities and U.S. |
|
|
|
|
|
|
|
|
|
|
government agency obligations | $31.2 | 0.8% | $27.5 | 0.7% | $88.9 | 2.1% | $12.5 | 0.4% | $12.5 | 0.4% |
Corporate securities | 1,701.4 | 43.2% | 1,685.1 | 42.7% | 2,074.9 | 48.3% | 1,584.3 | 48.0% | 1,589.0 | 51.6% |
Municipal bonds | 36.5 | 0.9% | 35.4 | 0.9% | 37.5 | 0.9% | 38.2 | 1.1% | 37.4 | 1.2% |
Mortgage and asset-backed securities | 1,679.1 | 42.7% | 1,693.4 | 42.9% | 1,791.0 | 41.6% | 1,273.8 | 38.6% | 1,148.8 | 37.2% |
Preferred stock | 133.8 | 3.4% | 131.7 | 3.3% | 128.2 | 3.0% | 129.9 | 3.9% | 133.7 | 4.3% |
Subtotal | 3,582.0 | 91.0% | 3,573.1 | 90.5% | 4,120.5 | 95.9% | 3,038.7 | 92.0% | 2,921.4 | 94.7% |
Cash | 353.3 | 9.0% | 376.4 | 9.5% | 176.4 | 4.1% | 262.7 | 8.0% | 164.0 | 5.3% |
TOTAL | $3,935.3 | 100.0% | $3,949.5 | 100.0% | $4,296.9 | 100.0% | $3,301.4 | 100.0% | $3,085.4 | 100.0% |
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|
Weighted Average Book Yield | 5.1% | 5.2% | 5.5% | 5.4% | 5.4% | |||||
Option Adjusted Duration (years) | 4.0 | 4.0 | 4.8 | 4.4 | 4.6 | |||||
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|
|
1 Consists of assets backing life reinsurance business and capital accounts only
Scottish Re Group Limited
Supplemental Information - Investments continued
(stated in millions of United States Dollars)
(unaudited)
| 31-Dec-05 | 31-Mar-06 | 30-Jun-06 | 30-Sep-06 | 31-Dec-06 | |||||
| Market |
| Market |
| Market |
| Market |
| Market |
|
| Value | % | Value | % | Value | % | Value | % | Value | % |
|
|
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|
|
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|
|
FUNDS WITHHELD AT INTEREST1 |
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BY RATINGS |
|
|
|
|
|
|
|
|
|
|
AAA | $706.0 | 27.5% | $630.5 | 24.9% | $504.0 | 23.9% | $413.4 | 20.0% | $427.5 | 22.1% |
AA | 145.9 | 5.7% | 146.4 | 5.8% | 144.5 | 6.9% | 166.5 | 8.1% | 166.5 | 8.6% |
A | 741.7 | 28.8% | 736.8 | 29.1% | 615.6 | 29.2% | 627.9 | 30.4% | 561.1 | 29.0% |
BBB | 785.8 | 30.6% | 829.5 | 32.8% | 661.8 | 31.4% | 674.6 | 32.7% | 605.6 | 31.3% |
BB and below | 78.0 | 3.0% | 78.0 | 3.1% | 74.2 | 3.6% | 77.3 | 3.8% | 75.0 | 3.9% |
Subtotal | 2,457.4 | 95.6% | 2,421.2 | 95.7% | 2,000.1 | 95.0% | 1,959.7 | 95.0% | 1,835.7 | 94.9% |
Commercial mortgage loans | 112.6 | 4.4% | 108.0 | 4.3% | 105.5 | 5.0% | 103.5 | 5.0% | 98.8 | 5.1% |
TOTAL | $2,570.0 | 100.0% | $2,529.2 | 100.0% | $2,105.6 | 100.0% | $2,063.2 | 100.0% | $1,934.5 | 100.0% |
|
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Weighted Average Rating | A+ | A | A | A | A | |||||
|
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BY SECTOR |
|
|
|
|
|
|
|
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|
|
U.S. Treasury securities and U.S. |
|
|
|
|
|
|
|
|
|
|
government agency obligations | $62.2 | 2.4% | $195.1 | 7.7% | $47.4 | 2.3% | $45.9 | 2.2% | $58.9 | 3.0% |
Corporate securities | 1,631.3 | 63.5% | 1,561.2 | 61.7% | 1,381.8 | 65.6% | 1,428.1 | 69.3% | 1,321.0 | 68.4% |
Municipal bonds | 33.0 | 1.3% | 31.4 | 1.2% | 28.4 | 1.3% | 29.2 | 1.4% | 29.9 | 1.5% |
Mortgage and asset-backed securities | 595.1 | 23.1% | 583.2 | 23.1% | 462.4 | 22.0% | 489.1 | 23.7% | 463.4 | 24.0% |
Preferred stock | 3.2 | 0.1% | 3.3 | 0.1% | 2.6 | 0.1% | 2.8 | 0.1% | 2.6 | 0.1% |
Commercial mortgage loans | 112.6 | 4.4% | 108.0 | 4.3% | 105.5 | 5.0% | 103.5 | 5.0% | 98.8 | 5.1% |
Subtotal | 2,437.4 | 94.8% | 2,482.2 | 98.1% | 2,028.1 | 96.3% | 2,098.6 | 101.7% | 1,974.6 | 102.1% |
Cash | 132.6 | 5.2% | 47.0 | 1.9% | 77.5 | 3.7% | (35.4) | -1.7% | (40.1) | -2.1% |
TOTAL | $2,570.0 | 100.0% | $2,529.2 | 100.0% | $2,105.6 | 100.0% | $2,063.2 | 100.0% | $1,934.5 | 100.0% |
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|
Weighted Average Book Yield | 5.6% | 5.7% | 5.8% | 6.0% | 5.9% | |||||
Option Adjusted Duration (years) | 5.1 | 4.7 | 4.5 | 4.8 | 5.0 | |||||
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1 Consists of assets held by ceding insurers under modified coinsurance and funds withheld coinsurance arrangements
Scottish Re Group Limited
Supplemental Information - Investments continued
(stated in millions of United States Dollars)
(unaudited)
| 31-Dec-05 | 31-Mar-06 | 30-Jun-06 | 30-Sep-06 | 31-Dec-06 | |||||
| Market |
| Market |
| Market |
| Market |
| Market |
|
| Value | % | Value | % | Value | % | Value | % | Value | % |
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|
TRIPLE X TRANSACTIONS1 |
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BY RATINGS |
|
|
|
|
|
|
|
|
|
|
AAA | $1,808.6 | 64.5% | $1,690.1 | 60.1% | $2,967.7 | 55.4% | $2,718.9 | 49.2% | $2,365.6 | 42.1% |
AA | 652.6 | 23.3% | 724.0 | 25.8% | 1,414.4 | 26.4% | 1,616.3 | 29.3% | 1,969.9 | 35.1% |
A | 330.1 | 11.8% | 390.7 | 13.9% | 857.9 | 16.0% | 1,083.4 | 19.6% | 1,186.9 | 21.1% |
BBB | 12.5 | 0.4% | 7.0 | 0.2% | 116.1 | 2.2% | 106.2 | 1.9% | 90.1 | 1.7% |
BB and below | 0.0 | 0.0% | 0.0 | 0.0% | 0.0 | 0.0% | 0.0 | 0.0% | 0.0 | 0.0% |
TOTAL | $2,803.8 | 100.0% | $2,811.8 | 100.0% | $5,356.1 | 100.0% | $5,524.8 | 100.0% | $5,612.5 | 100.0% |
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|
Weighted Average Rating | AA+ | AA+ | AA+ | AA+ | AA | |||||
|
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BY SECTOR |
|
|
|
|
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|
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|
|
U.S. Treasury securities and U.S. |
|
|
|
|
|
|
|
|
|
|
government agency obligations | $16.7 | 0.6% | $44.4 | 1.6% | $44.0 | 0.8% | $53.0 | 1.0% | $55.5 | 1.0% |
Corporate securities | 355.6 | 12.7% | 386.1 | 13.7% | 921.7 | 17.2% | 1,037.4 | 18.7% | 1,094.9 | 19.4% |
Municipal bonds | 1.1 | 0.0% | 6.5 | 0.2% | 14.3 | 0.3% | 14.8 | 0.3% | 14.7 | 0.3% |
Mortgage and asset-backed securities | 1,471.0 | 52.5% | 2,187.8 | 77.8% | 3,154.6 | 58.9% | 3,512.9 | 63.6% | 4,096.0 | 73.0% |
Preferred stock | 0.0 | 0.0% | 0.0 | 0.0% | 0.0 | 0.0% | 0.0 | 0.0% | 0.0 | 0.0% |
Subtotal | 1,844.4 | 65.8% | 2,624.8 | 93.3% | 4,134.6 | 77.2% | 4,618.1 | 83.6% | 5,261.1 | 93.7% |
Cash | 959.4 | 34.2% | 187.0 | 6.7% | 1,221.5 | 22.8% | 906.7 | 16.4% | 351.4 | 6.3% |
TOTAL | $2,803.8 | 100.0% | $2,811.8 | 100.0% | $5,356.1 | 100.0% | $5,524.8 | 100.0% | $5,612.5 | 100.0% |
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Weighted Average Book Yield | 4.5% | 5.0% | 5.5% | 5.5% | 5.6% | |||||
Option Adjusted Duration (years) | 1.6 | 1.7 | 1.9 | 2.0 | 2.0 | |||||
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1 Includes assets in trust related to excess reserves, economic reserves, surplus, debt service accounts, etc.
Scottish Re Group Limited
Supplemental Information - North America Life Reinsurance
(unaudited)
| 31-Dec | 31-Mar | 30-Jun | 30-Sep | 31-Dec | 31-Mar | 30-Jun | 30-Sep | 31-Dec |
| 2004 | 2005 | 2005 | 2005 | 2005 | 2006 | 2006 | 2006 | 2006 |
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Traditional life reinsurance inforce ($ billions) | $1,006.6 | $1,019.1 | $1,025.8 | $1,023.6 | $1,025.8 | $1,025.0 | $1,024.6 | $1,024.6 | $1,022.9 |
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Lives covered (in millions) | 14.2 | 13.5 | 13.9 | 13.9 | 13.5 | 14.1 | 14.2 | 14.3 | 14.3 |
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Average benefit per life | $70,642 | $75,765 | $73,942 | $73,740 | $75,757 | $72,835 | $72,178 | $71,870 | $71,440 |
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Supplemental Information - North America Financial Solutions
(stated in thousands of United States Dollars)
(unaudited)
| 31-Dec | 31-Mar | 30-Jun | 30-Sep | 31-Dec | 31-Mar | 30-Jun | 30-Sep | 31-Dec |
| 2004 | 2005 | 2005 | 2005 | 2005 | 2006 | 2006 | 2006 | 2006 |
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GAAP reserves1 |
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Fixed annuities | $2,472,526 | $2,539,595 | $2,561,582 | $2,563,438 | $3,187,938 | $3,222,878 | $3,240,312 | $3,119,601 | $2,960,563 |
Funding agreements | 500,634 | 500,746 | 500,584 | 500,800 | 500,858 | 575,873 | 651,998 | 0 | 0 |
Life insurance | 379,948 | 392,781 | 398,038 | 388,131 | 379,336 | 365,470 | 324,743 | 323,690 | 322,347 |
Disabled life reserves | 72,301 | 68,093 | 69,525 | 67,924 | 65,365 | 63,067 | 61,521 | 59,527 | 58,032 |
Credit life and other | 16,692 | 18,573 | 20,451 | 24,373 | 26,786 | 26,890 | 27,432 | 27,169 | 28,440 |
TOTAL | $3,442,101 | $3,519,788 | $3,550,180 | $3,544,666 | $4,160,283 | $4,254,178 | $4,306,006 | $3,529,987 | $3,369,382 |
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1 The majority of these reserves are contained in Interest Sensitive Contract Liabilities on the consolidated balance sheet. The remainder pertains to term/traditional life reserves that are categorized as Reserves for Future Policy Benefits on the consolidated balance sheet.
Scottish Re Group Limited
Supplemental Information - Collateral Finance Facilities: Summary of Key Terms
(unaudited)
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| Collateral |
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| Finance |
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| Transaction | Consolidated | Facility |
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| Closing | in Financial | Liability |
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Facility | Date | Statements? | (millions) | Other Details |
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HSBC I | 25-Jun-04 | Yes | $189 | This facility provides up to $189 million that can be used to collateralize reinsurance obligations under intercompany reinsurance agreements. A total return swap with HSBC Bank, USA, N.A. entitles us to the total return of the investment portfolio of the trust established for this facility. |
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Stingray | 12-Jan-05 | No (except debt obligations) | n/a * | We acquired an irrevocable put option to issue up to $325 million of funding agreements to Stingray Investor Trust in return for the assets of a portfolio of 30-day commercial paper. This put option may be exercised at any time. This facility may also provide collateral for Scottish Re (U.S.), Inc. for reinsurance obligations under intercompany quota share reinsurance agreements. This facility matures 12-Jan-15. |
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Orkney I | 11-Feb-05 | Yes | $850 | Orkney Holdings, LLC issued and sold an aggregate of $850 million of floating rate insured notes due 11-Feb-35 (the "Orkney Notes"). Proceeds from this offering were used to fund the Regulation XXX reserve requirements for a defined block of level premium term life insurance policies issued between 1-Jan-00 and 31-Dec-03 reinsured by Scottish Re (U.S.), Inc. to Orkney Re, Inc., a South Carolina special purpose captive insurance company. Proceeds from the Orkney Notes have been deposited into a series of trusts that collateralize the notes. |
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Orkney II | 21-Dec-05 | Yes | $450 | Proceeds from this offering were used to fund the Regulation XXX requirements for a defined block of level premium term life insurance policies issued between 1-Jan-04 and 31-Dec-04 reinsured by Scottish Re (U.S.), Inc. to Orkney Re II plc. Proceeds from the Orkney II Notes have been deposited into a series of trusts that collateralize the notes. |
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* $265 million included in Interest Sensitive Contract Liabilities
Scottish Re Group Limited
Supplemental Information - Collateral Finance Facilities: Summary of Key Terms - continued
(unaudited)
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| Collateral |
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| Finance |
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| Transaction | Consolidateed | Facility |
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| Closing | in Financial | Liability |
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Facility | Date | Statements? | (millions) | Other Details |
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HSBC II | 22-Dec-05 | Yes | $529 | This is a 20 year collateral finance facility that provides up to $1.0 bln of Regulation XXX collateral support for the business acquired from ING and can be used to collateralize reinsurance obligations under intercompany reinsurance agreements. A total return swap with HSBC Bank, USA, N.A. entitles us to the total return of the investment portfolio of the trust established for this facility. |
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Reinsurance Facility | 22-Dec-05 | n/a | n/a | This long term reinsurance facility with a third party, Bermuda-domiciled reinsurer provides up to $1.0 billion of Regulation XXX collateral support for the business acquired from ING. The Bermuda reinsurer provides security in the form of letters of credit and/or assets in trust equal to statutory reserves. |
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Ballantyne Re | 2-May-06 | Yes | $1,739 | Ballantyne Re plc issued $1.74 billion of debt to external investors and $178 million of debt to Scottish Annuity & Life Insurance Co. (Cayman) Ltd. Proceeds from this offering were used to fund the Regulation XXX reserve requirements for the business acquired from ING America Insurance Holdings, Inc. Proceeds from the offering have been deposited into a series of accounts that collateralize the reserve obligations of Scottish Re (U.S.), Inc. |
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Scottish Re Group Limited
Insurance Financial Strength Ratings(as of 31-Dec-06)
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| Moody's |
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| A.M. Best | Fitch | Investors | Standard |
Company | Company1 | Ratings2 | Service3 | & Poor's4 |
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Scottish Annuity and Life Insurance Co. (Cayman) Ltd. | B | BBB | Baa3 | BB |
Scottish Re (U.S.), Inc. | B | BBB | Baa3 | BB |
Scottish Re Ltd. | B | BBB | - | BB |
Scottish Re Life Corp. | B | - | - | BB |
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1 Ratings under review with positive implications
2 Rating Watch: Evolving
3 Ratings under review; direction uncertain
4 CreditWatch: Developing
Analyst Coverage
Firm | Analyst | Phone Number | ||
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A.G. Edwards & Sons, Inc. | J. Jeffrey Hopson, CFA | 314-955-2640 | ||
Bear, Stearns & Co. | Saul Martinez | 212-272-3528 | ||
Fox-Pitt Kelton | John Nadel |
| 212-857-6149 | |
Lehman Brothers | Eric N. Berg | 212-526-2805 | ||
Oppenheimer & Co. | Richard Sbaschnig, CFA | 212-668-4474 | ||
UBS | Andrew Kligerman | 212-713-2492 | ||
Wachovia Securities | John A. Hall | 212-214-8032 | ||
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Investor Relations Contact:
Dean E. Miller
EVP & Chief Financial Officer
Scottish Re Group Limited
(441) 298-4395
dean.miller@scottishre.com