SCOTTISH RE GROUP LIMITED
2006
FIRST QUARTER
Financial Data Supplement
Through the First Quarter
Ended March 31, 2006
(unaudited)
Scottish Re Group Limited
-------------------------
Financial Data Supplement Package
Table of Contents
Definitions and Notes 1
Summary Financial Results 2
Quarterly Consolidated Balance Sheets
- Assets 3
- Liabilities and Shareholders' Equity 4
Quarterly Consolidated Statements of Income 5
Supplemental Information
- Net Operating Earnings 6
- Return on Equity 6
- Book Value per Share 7
- International Segment Operating Revenues by Country/Region 8
- Life Reinsurance Key Operating Ratios 9
- Investments
> Total Portfolio 10
> Core Portfolio 11
> Funds Withheld at Interest 12
> Triple X Transactions 13
- North America Life Reinsurance Inforce and Premiums 14
- North America Financial Solutions GAAP Reserves 14
- Collateral Finance Facilities: Summary of Key Terms 15-16
Financial Strength Ratings Summary 17
Analyst Coverage 17
Investor Relations Contact 17
Scottish Re Group Limited
-------------------------
Financial Data Supplement Package
Definitions and Notes
The following document contains supplemental quarterly financial and statistical
information for the quarter ended March 31, 2006. This document is dated as of
May 26, 2006. Scottish Re Group Limited and its affiliates ("Scottish Re") do
not undertake a 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 at www.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.
o Net operating earnings available to ordinary shareholders
---------------------------------------------------------
The Company determines net operating earnings available to ordinary
shareholders by adjusting net income 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.
o Return on equity
----------------
The Company determines return on equity by dividing the trailing twelve
months net operating earnings available to ordinary shareholders (see
above) by average shareholders' equity, as adjusted for preferred
shares, accumulated other comprehensive income (AOCI) and fair value of
embedded derivatives (net). This calculation is illustrated on page 6.
o 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, 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, 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, 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.
PAGE 1
Scottish Re Group Limited
-------------------------
Summary Financial Results
(stated in thousands of United States Dollars, Except Share Data)
(unaudited)
Earnings, Dividends, Shares Outstanding Three months Three months
ended ended
31-Mar-05 31-Mar-06
----------------------- ----------------------
Net operating earnings available to ordinary shareholders (1) $26,930 $14,286
Net income available to ordinary shareholders $33,420 $11,583
Net operating earnings per ordinary share:
Basic $0.67 $0.27
Diluted $0.60 $0.25
Net income per ordinary share:
Basic $0.84 $0.22
Diluted $0.74 $0.20
Dividends declared per ordinary share $0.05 $0.05
Weighted average ordinary shares outstanding:
Basic 39,970,965 53,434,484
Diluted 45,192,171 56,532,914
Return on Equity (1) 31-Mar-05 31-Mar-06
Return on average shareholders' equity, trailing twelve month 11.9% 11.5%
Book Value per Share (2) 31-Mar-05 31-Mar-06
Basic book value per ordinary share $21.75 $20.80
Basic book value per ordinary share (excluding other comprehensive
income and value of embedded derivatives) $21.61 $21.89
Fully converted book value per ordinary share (excluding other comprehensive
income and value of embedded $19.78 $21.13
derivatives)
(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
PAGE 2
Scottish Re Group Limited
-------------------------
Quarterly Consolidated Balance Sheets
(stated in thousands of United States Dollars, Except Share Data)
(unaudited)
31-Mar 30-Jun 30-Sep 31-Dec 31-Mar 30-Jun 30-Sep
2004 2004 2004 2004 2005 2005 2005
----------- ----------- ----------- ---------- ------------ ------------ -------------
ASSETS
- ------
Fixed maturity investments $2,336,664 $2,548,635 $2,797,450 $3,392,463 $4,445,745 $5,119,254 $5,062,020
Preferred stock 137,836 134,139 125,082 125,204 124,537 130,231 156,422
Cash and cash equivalents 215,693 270,503 191,016 794,639 831,078 320,531 486,527
Other investments 17,526 16,755 16,412 16,250 24,979 24,594 49,759
Funds withheld at interest 1,473,502 1,474,287 1,477,870 2,056,280 1,920,730 1,895,353 1,892,077
--------- --------- --------- --------- --------- --------- ---------
Total investments 4,181,221 4,444,319 4,607,830 6,384,836 7,347,069 7,489,963 7,646,805
Accrued interest receivable 25,598 26,408 24,159 32,092 40,983 39,645 41,368
Reinsurance balances
and risk fees receivable 209,443 324,723 288,377 495,517 492,217 443,589 522,885
Deferred acquisition costs 328,149 390,661 411,880 417,306 491,643 477,449 505,506
Amounts recoverable from reinsurers 769,893 746,161 703,288 680,956 766,207 792,296 731,578
Present value of in-force business 12,794 11,922 38,349 62,164 60,500 58,752 56,763
Goodwill 35,847 35,847 34,125 34,125 34,125 34,125 34,125
Other assets 61,255 68,710 24,241 38,926 61,161 188,715 63,488
Current income tax receivable 0 0 10,716 7,712 2,553 9,189 16,791
Deferred tax benefit 6,605 31,870 9,623 15,030 25,289 11,729 34,805
Segregated assets 794,627 794,020 740,220 783,573 774,162 799,329 772,526
------- ------- ------- ------- ------- ------- -------
TOTAL ASSETS $6,425,432 $6,874,641 $6,892,808 $8,952,237 $10,095,909 $10,344,781 $10,426,640
31-Dec 31-Mar
2005 2006
------------- ----------------
ASSETS
- ------
Fixed maturity investments $5,292,595 $6,066,176
Preferred stock 133,804 131,722
Cash and cash equivalents 1,420,205 690,076
Other investments 54,619 64,141
Funds withheld at interest 2,597,416 2,610,195
Total investments 9,498,639 9,562,310
Accrued interest receivable 44,012 45,371
Reinsurance balances
and risk fees receivable 325,372 381,095
Deferred acquisition costs 594,583 620,385
Amounts recoverable from reinsurers 551,288 605,241
Present value of in-force business 54,743 53,826
Goodwill 34,125 34,125
Other assets 87,198 94,719
Current income tax receivable 0 0
Deferred tax benefit 55,453 79,435
Segregated assets 760,707 780,132
-------- -------
TOTAL ASSETS $12,006,120 $12,256,639
PAGE 3
Scottish Re Group Limited
-------------------------
Quarterly Consolidated Balance Sheets - continued
(stated in thousands of United States Dollars, Except Share Data)
(unaudited)
31-Mar 30-Jun 30-Sep 31-Dec 31-Mar
2004 2004 2004 2004 2005
--------- --------- --------- ---------- ----------
LIABILITIES
- -----------
Reserves for future policy benefits $1,528,589 $1,684,603 $1,602,348 $3,301,715 $3,537,190
Interest sensitive contract liabilities 2,864,570 3,220,301 3,136,930 3,181,447 3,258,276
Collateral finance facilities 0 0 200,000 200,000 1,050,000
Accounts payable and other liabilites 67,558 48,861 52,155 68,311 61,623
Reinsurance balances payable 145,873 105,452 93,946 116,589 105,371
Current income tax payable 6,896 5,991 0 0 0
7.00% convertible junior
subordinated notes 0 0 0 41,282 42,005
Long term debt 162,500 194,500 194,500 244,500 244,500
Segregated liabilities 794,627 794,020 740,220 783,573 774,162
-------- -------- -------- -------- --------
TOTAL LIABILITIES 5,570,613 6,053,728 6,020,099 7,937,417 9,073,127
Minority interest 9,546 9,188 9,535 9,697 9,844
Mezzanine equity 142,008 142,145 142,296 142,449 142,599
SHAREHOLDERS' EQUITY
- --------------------
Ordinary shares, par value $0.01 per share 355 358 359 399 400
Preferred shares, par value $0.01 per share 0 0 0 0 0
Additional paid-in capital 552,318 555,445 556,173 684,719 687,024
Accumulated other comprehensive income 60,556 (3,139) 37,644 31,604 5,703
Retained earnings 90,036 116,916 126,702 145,952 177,212
------- -------- -------- -------- --------
TOTAL SHAREHOLDERS' EQUITY 703,265 669,580 720,878 862,674 870,339
TOTAL LIABILITIES, MINORITY
INTEREST, MEZZANINE EQUITY,
AND SHAREHOLDERS' EQUITY $6,425,432 $6,874,641 $6,892,808 $8,952,237 $10,095,909
Ordinary shares outstanding 35,540,728 35,828,462 35,905,962 39,931,145 40,022,945
Preferred shares outstanding 0 0 0 0 0
30-Jun 30-Sep 31-Dec 31-Mar
2005 2005 2005 2006
---------- ---------- ---------- -----------
LIABILITIES
- -----------
Reserves for future policy benefits $3,524,757 $3,592,779 $3,477,222 $3,539,016
Interest sensitive contract liabilities 3,278,793 3,283,154 3,907,573 3,990,836
Collateral finance facilities 1,050,000 1,050,000 1,985,681 1,985,681
Accounts payable and other liabilites 115,782 104,413 83,130 70,750
Reinsurance balances payable 100,060 161,277 114,078 247,724
Current income tax payable 0 0 9,155 4,481
7.00% convertible junior
subordinated notes 0 0 0 0
Long term debt 244,500 244,500 244,500 244,500
Segregated liabilities 799,329 772,526 760,707 780,132
-------- -------- -------- -------
TOTAL LIABILITIES 9,113,221 9,208,649 10,582,046 10,863,120
Minority interest 9,920 9,977 9,305 9,334
Mezzanine equity 142,753 142,906 143,057 143,207
SHAREHOLDERS' EQUITY
- --------------------
Ordinary shares, par value $0.01 per share 454 456 534 537
Preferred shares, par value $0.01 per share 125,000 125,000 125,000 125,000
Additional paid-in capital 726,850 729,773 893,767 899,515
Accumulated other comprehensive income 50,051 3,704 (9,991) (55,386)
Retained earnings 176,532 206,175 262,402 271,312
-------- -------- -------- -------
TOTAL SHAREHOLDERS' EQUITY 1,078,887 1,065,108 1,271,712 1,240,978
TOTAL LIABILITIES, MINORITY
INTEREST, MEZZANINE EQUITY,
AND SHAREHOLDERS' EQUITY $10,344,781 $10,426,640 $12,006,120 $12,256,639
Ordinary shares outstanding 45,453,472 45,627,372 53,391,939 53,655,856
Preferred shares outstanding 5,000,000 5,000,000 5,000,000 5,000,000
PAGE 4
Scottish Re Group Limited
-------------------------
Quarterly Consolidated Statements of Income
(stated in thousands of United States Dollars)
(unaudited)
For the Three Months Ended 31-Mar 30-Jun 30-Sep 31-Dec 31-Mar
2004 2004 2004 2004 2005
------------ ------------- ------------- ------------ -------------
REVENUES
- --------
Premiums earned, net $133,600 $157,493 $146,263 $152,089 $463,680
Investment income, net 50,103 54,817 55,519 56,699 80,479
Fee income 2,953 3,189 2,545 2,860 3,624
Realized gains/(losses) 1,421 (1,687) (3,398) (4,640) 3,294
Change in value of embedded derivatives, net (8,645) 14,610 (5,509) 4,105 5,485
------- ------- ------- ------ ------
TOTAL REVENUES 179,432 228,422 195,420 211,113 556,562
BENEFITS AND EXPENSES
- ---------------------
Claims and other policy benefits 95,167 122,988 104,701 103,109 363,272
Interest credited to interest sensitive
contract liabilities 24,193 25,465 27,685 29,182 30,642
Acquisition costs and other insurance expenses, net 33,122 39,102 38,889 40,292 91,642
Operating expenses 12,854 10,901 13,214 17,689 24,569
Collateral finance facilities expense 0 0 1,385 1,339 7,420
Interest expense 2,777 2,996 3,352 3,891 5,594
Due diligence costs 0 0 0 4,643 0
-- -- -- ------ --
TOTAL BENEFITS AND EXPENSES 168,113 201,452 189,226 200,145 523,139
Income from continuing operations before
income taxes and minority interest 11,319 26,970 6,194 10,968 33,423
Income tax benefit (874) 1,690 5,401 10,462 368
----- ------ ------ ------- ----
Income from continuing operations before
minority interest 10,445 28,660 11,595 21,430 33,791
Minority interest (349) 11 (17) (176) (371)
----- --- ---- ----- -----
Income from continuing operations 10,096 28,671 11,578 21,254 33,420
Loss from discontinued operations 0 0 0 (208) 0
-- -- -- ----- --
NET INCOME 10,096 28,671 11,578 21,046 33,420
Dividends declared on non-cumulative perpetual
preferred shares 0 0 0 0 0
-- -- -- -- --
NET INCOME AVAILABLE TO
ORDINARY SHAREHOLDERS $10,096 $28,671 $11,578 $21,046 $33,420
For the Three Months Ended 30-Jun 30-Sep 31-Dec 31-Mar
2005 2005 2005 2006
---------- ------------- ------------- ------------
REVENUES
- --------
Premiums earned, net $436,893 $470,094 $563,263 $449,021
Investment income, net 83,554 92,132 99,672 129,022
Fee income 2,785 2,801 3,106 3,733
Realized gains/(losses) 934 1,344 (1,834) (13,601)
Change in value of embedded derivatives, net (22,120) (2,631) 10,774 10,146
-------- ------- ------- ------
TOTAL REVENUES 502,046 563,740 674,981 578,321
BENEFITS AND EXPENSES
- ---------------------
Claims and other policy benefits 311,493 356,127 411,613 374,463
Interest credited to interest sensitive
contract liabilities 31,723 36,724 33,879 42,701
Acquisition costs and other insurance expenses, net 122,494 91,214 118,425 87,531
Operating expenses 26,500 32,909 31,595 31,092
Collateral finance facilities expense 11,821 13,230 15,675 31,087
Interest expense 4,813 5,690 4,641 4,893
Due diligence costs 0 0 0 0
-- -- -- -
TOTAL BENEFITS AND EXPENSES 508,844 535,894 615,828 571,767
Income from continuing operations before
income taxes and minority interest (6,798) 27,846 59,153 6,554
Income tax benefit 8,187 6,677 1,202 7,457
------ ------ ------ -----
Income from continuing operations before
minority interest 1,389 34,523 60,355 14,011
Minority interest 202 (113) 421 (162)
---- ----- ---- -----
Income from continuing operations 1,591 34,410 60,776 13,849
Loss from discontinued operations 0 0 0 0
-- -- -- -
NET INCOME 1,591 34,410 60,776 13,849
Dividends declared on non-cumulative perpetual
preferred shares 0 (2,492) (2,266) (2,266)
-- ------- ------- -------
NET INCOME AVAILABLE TO
ORDINARY SHAREHOLDERS $1,591 $31,918 $58,510 $11,583
PAGE 5
Scottish Re Group Limited
-------------------------
Supplemental Information - Net Operating Earnings and Return on Equity
(stated in thousands of United States Dollars, Except Share Data)
(unaudited)
For the Three Months Ended 31-Mar 30-Jun 30-Sep 31-Dec 31-Mar
2004 2004 2004 2004 2005
-------------- -------------- -------------- -------------- --------------
Net income available to ordinary shareholders $10,096 $28,671 $11,578 $21,046 $33,420
Subtract:
Realized (gains) / losses (1,421) 1,687 3,398 4,640 (3,294)
Change in value of embedded derivatives, net 8,645 (14,610) 5,509 (4,105) (5,485)
Taxes on realized gains/losses and
change in value of embedded derivatives (707) 2,364 (1,667) 1,172 2,289
Due diligence costs (12/31/04: net of $579 tax) 0 0 0 4,064 0
-- -- -- ------ --
Net operating earnings available
to ordinary shareholders $16,613 $18,112 $18,818 $26,817 $26,930
Net operating earnings per share
available to ordinary shareholders:
Basic $0.47 $0.51 $0.52 $0.75 $0.67
Diluted $0.45 $0.49 $0.51 $0.71 $0.60
Weighted average ordinary shares outstanding:
Basic 35,327,658 35,747,254 35,869,413 35,981,436 39,970,965
Diluted 37,230,112 37,328,448 37,244,288 37,847,645 45,192,171
Return on average shareholders' equity
- --------------------------------------
(1) Numerator: Net operating earnings available
to ordinary shareholders, trailing twelve months $28,513 $34,170 $52,146 $80,360 $90,677
Total shareholders' equity $703,265 $669,580 $720,878 $862,674 $870,339
Subtract:
Preferred shares 0 0 0 0 0
Accumulated other comprehensive income (60,556) 3,139 (37,644) (31,604) (5,703)
Fair value of embedded derivatives, net 14,590 2,861 7,169 4,220 332
----------- ----------- ----------- ------------ -----------
Shareholders' equity for ROE $657,299 $675,580 $690,403 $835,290 $864,968
(2) Denominator: Average shareholders' equity $570,483 $585,431 $668,059 $736,921 $761,134
Return on average shareholders' equity (1) / (2) 5.0% 5.8% 7.8% 10.9% 11.9%
For the Three Months Ended 30-Jun 30-Sep 31-Dec 31-Mar
2005 2005 2005 2006
------------- -------------- -------------- --------------
Net income available to ordinary shareholders $1,591 $31,918 $58,510 $11,583
Subtract:
Realized (gains) / losses (934) (1,344) 1,834 13,601
Change in value of embedded derivatives, net 22,120 2,631 (10,774) (10,146)
Taxes on realized gains/losses and
change in value of embedded derivatives (3,062) (569) 1,207 (752)
Due diligence costs (12/31/04: net of $579 tax) 0 0 0 0
-- -- -- -
Net operating earnings available
to ordinary shareholders $19,715 $32,636 $50,777 $14,286
Net operating earnings per share
available to ordinary shareholders:
Basic $0.45 $0.72 $1.10 $0.27
Diluted $0.42 $0.67 $1.03 $0.25
Weighted average ordinary shares outstanding:
Basic 43,462,385 45,517,832 46,312,567 53,434,484
Diluted 47,136,889 48,543,262 49,450,464 56,532,914
Return on average shareholders' equity
- --------------------------------------
(1) Numerator: Net operating earnings available
to ordinary shareholders, trailing twelve months $92,280 $106,098 $130,058 $117,414
Total shareholders' equity $1,078,887 $1,065,108 $1,271,712 $1,240,978
Subtract:
Preferred shares (125,000) (125,000) (125,000) (125,000)
Accumulated other comprehensive income (50,051) (3,704) 9,991 55,386
Fair value of embedded derivatives, net 18,599 20,875 11,810 2,984
----------- ----------- ------------ ----------
Shareholders' equity for ROE $922,435 $957,279 $1,168,513 $1,174,348
(2) Denominator: Average shareholders' equity $799,008 $823,841 $1,001,902 $1,019,658
Return on average shareholders' equity (1) / (2) 11.5% 12.9% 13.0% 11.5%
PAGE 6
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
2004 2005 2005 2005
---------------- --------------- ---------------- ---------------
Total shareholders' equity, end of period $862,674 $870,339 $1,078,887 $1,065,108
Subtract: Preferred shares 0 0 (125,000) (125,000)
-- -- --------- ---------
(1) Total shareholders' equity excl. preferred shares 862,674 870,339 953,887 940,108
Subtract:
Accumulated other comprehensive income (AOCI) (31,604) (5,703) (50,051) (3,704)
Fair value of embedded derivatives, net 4,220 332 18,599 20,875
------ ---- ------- -------
(2) Total shareholders' equity excl. preferred shares,
AOCI, and fair value of embedded derivatives 835,290 864,968 922,435 957,279
Add net proceeds from assumed:
Conversion of options 37,085 46,926 46,090 49,336
Conversion of warrants 39,782 39,782 39,750 39,750
Conversion of mezzanine equity 143,750 143,750 143,750 143,750
Conversion of 4.5% senior convertible notes 0 0 0 0
Conversion of 7% convertible notes 41,282 42,005 0 0
------- ------- -- --
(3) Converted shareholders' equity excl. preferred shares,
AOCI, and fair value of embedded derivatives $1,097,189 $1,137,431 $1,152,025 $1,190,115
(4) Ordinary shares outstanding, end of period 39,931,145 40,022,945 45,453,472 45,627,372
Add potential shares issued from assumed:
Exercise of options and restricted stock units 2,491,236 3,059,836 3,199,936 3,359,436
Conversion of warrants 5,856,431 5,856,431 2,650,000 2,650,000
Conversion of mezzanine equity 6,099,025 6,383,214 6,099,025 6,099,025
Conversion of 4.5% senior convertible notes 0 0 0 473,273
Conversion of 7% convertible notes 2,130,709 2,167,996 0 0
---------- ---------- -- --
(5) Fully converted ordinary shares outstanding 56,508,546 57,490,422 57,402,433 58,209,106
Basic book value per ordinary share (1) / (4) $21.60 $21.75 $20.99 $20.60
Basic book value, excl. AOCI, and fair value
of embedded derivatives, per share (2) / (4) $20.92 $21.61 $20.29 $20.98
Fully converted book value, excl. AOCI and fair
value of embedded derivatives, per share (3) / (5) $19.42 $19.78 $20.07 $20.45
31-Dec 31-Mar
2005 2006
--------------- ---------------
Total shareholders' equity, end of period $1,271,712 $1,240,978
Subtract: Preferred shares (125,000) (125,000)
--------- ---------
(1) Total shareholders' equity excl. preferred shares 1,146,712 1,115,978
Subtract:
Accumulated other comprehensive income (AOCI) 9,991 55,386
Fair value of embedded derivatives, net 11,810 2,984
------- -----
(2) Total shareholders' equity excl. preferred shares,
AOCI, and fair value of embedded derivatives 1,168,513 1,174,348
Add net proceeds from assumed:
Conversion of options 48,374 45,072
Conversion of warrants 39,750 39,750
Conversion of mezzanine equity 143,750 143,750
Conversion of 4.5% senior convertible notes 0 0
Conversion of 7% convertible notes 0 0
-- -
(3) Converted shareholders' equity excl. preferred share
AOCI, and fair value of embedded derivatives $1,400,387 $1,402,920
(4) Ordinary shares outstanding, end of period 53,391,939 53,655,856
Add potential shares issued from assumed:
Exercise of options and restricted stock units 3,390,936 3,320,020
Conversion of warrants 2,650,000 2,650,000
Conversion of mezzanine equity 6,099,025 6,099,025
Conversion of 4.5% senior convertible notes 612,780 661,870
Conversion of 7% convertible notes 0 0
-- -
(5) Fully converted ordinary shares outstanding 66,144,680 66,386,771
Basic book value per ordinary share (1) / (4) $21.48 $20.80
Basic book value, excl. AOCI, and fair value
of embedded derivatives, per share (2) / (4) $21.89 $21.89
Fully converted book value, excl. AOCI and fair
value of embedded derivatives, per share (3) / (5) $21.17 $21.13
PAGE 7
Scottish Re Group Limited
-------------------------
Supplemental Information - International Segment Operating Revenues by Country/Region
(stated in thousands of United States Dollars)
(unaudited)
Three Three
Full months months
Year ended ended
2005 31-Mar-05 31-Mar-06
------------ ------------ ------------
OPER. REVENUES - NORTH AMERICA (1)
- ------------------------------
Premiums earned, net $16,678 $4,271 $2,403
Investment income, net 2,405 548 618
------- ------ ------
TOTAL $19,083 $4,819 $3,021
OPER. REVENUES - UK AND IRELAND (3)
- -------------------------------
Premiums earned, net $30,132 $6,742 $5,078
Investment income, net 3,748 884 931
------- ------ ------
TOTAL $33,880 $7,626 $6,009
OPER. REVENUES - LATIN AMERICA (5)
- ------------------------------
Premiums earned, net $3,751 $1,023 $493
Investment income, net 375 95 86
------ ------ ------
TOTAL $4,126 $1,118 $579
Three Three
Full months months
Year ended ended
2005 31-Mar-05 31-Mar-06
------------ ------------ ------------
OPER. REVENUES - MIDDLE EAST (2)
----------------------------
Premiums earned, net $33,831 $7,648 $5,642
Investment income, net 1,936 368 583
------- ------ ------
TOTAL $35,767 $8,016 $6,225
OPER. REVENUES - ASIA (4)
---------------------
Premiums earned, net $11,882 $1,576 $2,821
Investment income, net 351 71 100
------- ------ -------
TOTAL $12,233 $1,647 $2,921
OPER. REVENUES - OTHER (6)
----------------------
Premiums earned, net $22,781 $5,325 $3,666
Investment income, net 2,673 624 671
--------- ------ ------
TOTAL $25,454 $5,949 $4,337
OPER. REVENUES - TOTAL
------------------------
Premiums earned, net $119,055 $26,585 $20,103
Investment income, net 11,488 2,590 2,989
------- ------ -----
TOTAL $130,543 $29,175 $23,092
Notes
(1) Represents assumed retroceded reinsurance on North American lives written
in 2002 and prior; currently in runoff
(2) Represents Middle Eastern business partially in runoff, some new business,
loss of license
(3) Represents loss of license business and life protection treaties
(4) Represents Japanese Kyosai business and other Asian business
(5) Represents Latin America business in runoff
(6) Represents Other European and African business in runoff
PAGE 8
Scottish Re Group Limited
-------------------------
Supplemental Information - Life Reinsurance Key Operating Ratios
(stated in thousands of United States Dollars)
(unaudited)
Three Months Ended 31-Mar-06
-----------------------------------------------------------------------------------
North America International Total
---------------------- ------------------------ ------------------------
Traditional Financial Traditional Financial Traditional Financial
Solutions Solutions Solutions Solutions Solutions Solutions Total
--------- --------- --------- --------- --------- --------- -----
REVENUES
(1) Premiums earned, net $420,732 $8,186 $20,103 $0 $440,835 $8,186 $449,021
Investment income, net 60,690 63,251 2,989 0 63,679 63,251 126,930
------- ------- ------ -- ------- ------- -------
(2) TOTAL OPERATING REVENUES $481,422 $71,437 $23,092 $0 $504,514 $71,437 $575,950
BENEFITS AND EXPENSES
(3) Claims and other policy benefits $330,730 $16,550 $27,183 $0 $357,913 $16,550 $374,463
(4) Interest credited to interest sensitive
contract liabilities $0 $42,701 $0 $0 $0 $42,701 $42,701
(5) Acquisition costs and other insurance
expenses, net $ 72,556 $11,852 $2,817 $0 $75,373 $11,852 $87,225
RATIOS
Benefit Ratio (1) 78.6% 82.9% 135.2% n/a 81.2% 82.9% 72.4%
Acquisition Ratio (2) 17.2% 16.6% 14.0% n/a 17.1% 16.6% 15.1%
Three Months Ended 31-Mar-06
-----------------------------------------------------------------------------------
North America International Total
---------------------- ------------------------ -----------------------
Traditional Financial Traditional Financial Traditional Financial
Solutions Solutions Solutions Solutions Solutions Solutions Total
--------- --------- --------- --------- --------- --------- -----
REVENUES
(1) Premiums earned, net $422,391 $14,704 $26,585 $0 $448,976 $14,704 $463,680
Investment income, net 31,602 45,929 2,590 0 34,192 45,929 80,121
------- ------- ------ -- ------- ------- -------
(2) TOTAL OPERATING REVENUES $453,993 $60,633 $29,175 $0 $483,168 $60,633 $543,801
BENEFITS AND EXPENSES
(3) Claims and other policy benefits $328,520 $15,668 $19,084 $0 $347,604 $15,668 $363,272
(4) Interest credited to interest sensitive
contract liabilities $0 $30,642 $0 $0 $0 $30,642 $30,642
(5) Acquisition costs and other insurance
expenses, net $75,777 $12,500 $2,846 $0 $78,623 $12,500 $91,123
RATIOS
Benefit Ratio (1) 77.8% 76.4% 71.8% n/a 77.4% 76.4% 72.4%
Acquisition Ratio (2) 17.9% 20.6% 10.7% n/a 17.5% 20.6% 16.8%
(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)
PAGE 9
Scottish Re Group Limited
-------------------------
Supplemental Information - Investments
(stated in millions of United States Dollars)
(unaudited)
31-Mar-05 30-Jun-05 30-Sep-05
-------------------- -------------------- ----------------------
Market Market Market
Value % Value % Value %
---------- --------- ---------- --------- ---------- -----------
TOTAL PORTFOLIO
- ---------------
BY RATINGS
----------
AAA $2,716.4 37.5% $2,585.5 34.7% $2,666.2 35.6%
AA 750.9 10.4% 842.8 11.3% 869.0 11.6%
A 2,006.4 27.7% 2,201.0 29.5% 2,137.0 28.6%
BBB 1,548.8 21.4% 1,592.2 21.3% 1,578.8 21.1%
BB and below 93.9 1.3% 110.8 1.5% 110.7 1.5%
----- ---- ------ ---- ------ ----
Subtotal 7,116.4 98.3% 7,332.3 98.3% 7,361.7 98.4%
Commercial mortgage loans 125.9 1.7% 125.9 1.7% 123.0 1.6%
------ ---- ------ ---- ------ ----
TOTAL $7,242.3 100.0% $7,458.2 100.0% $7,484.7 100.0%
Weighted Average Rating AA- AA- AA-
BY SECTOR
---------
U.S. Treasury securities and U.S.
government agency obligations $131.5 1.8% $113.4 1.5% $64.8 0.9%
Corporate securities 3,018.7 41.7% 3,160.3 42.4% 3,167.4 42.3%
Municipal bonds 63.1 0.9% 68.5 0.9% 69.6 0.9%
Mortgage and asset-backed securities 2,983.0 41.2% 3,558.4 47.7% 3,526.0 47.1%
Preferred stock 127.4 1.8% 158.0 2.1% 159.9 2.1%
Commercial mortgage loans 125.9 1.7% 125.9 1.7% 123.0 1.6%
------ ---- ------ ---- ------ ----
Subtotal $6,449.6 89.1% $7,184.5 96.3% $7,110.7 95.0%
Cash 792.7 10.9% 273.7 3.7% 374.0 5.0%
------ ----- ------ ---- ------ ----
TOTAL $7,242.3 100.0% $7,458.2 100.0% $7,484.7 100.0%
Weighted Average Book Yield 4.7% 4.9% 5.1%
Option Adjusted Duration (years) 4.0 4.0 3.9
31-Dec-05 31-Mar-06
--------------------- ------------------------
Market Market
Value % Value %
---------- -------- ------------ -----------
TOTAL PORTFOLIO
- ---------------
BY RATINGS
----------
AAA $3,723.5 40.0% $3,605.1 38.8%
AA 1,215.0 13.1% 1,275.4 13.7%
A 2,388.6 25.7% 2,405.4 25.9%
BBB 1,763.4 18.9% 1,790.9 19.3%
BB and below 106.0 1.1% 105.7 1.1%
------ ---- ------ ----
Subtotal 9,196.5 98.8% 9,182.5 98.8%
Commercial mortgage loans 112.6 1.2% 108.0 1.2%
------ ---- ------ ----
TOTAL $9,309.1 100.0% $9,290.5 100.0%
Weighted Average Rating AA- AA-
BY SECTOR
---------
U.S. Treasury securities and U.S.
government agency obligations $110.1 1.2% $267.0 2.9%
Corporate securities 3,688.3 39.6% 3,632.4 39.1%
Municipal bonds 70.6 0.8% 73.3 0.8%
Mortgage and asset-backed securities 3,745.2 40.2% 4,464.4 48.1%
Preferred stock 137.0 1.5% 135.0 1.5%
Commercial mortgage loans 112.6 1.2% 108.0 1.2%
------ ---- ------ ----
Subtotal $7,863.8 84.5% $8,680.1 93.4%
Cash 1,445.3 15.5% 610.4 6.6%
-------- ----- ------ ----
TOTAL $9,309.1 100.0% $9,290.5 100.0%
Weighted Average Book Yield 5.1% 5.3%
Option Adjusted Duration (years) 3.6 3.5
PAGE 10
Scottish Re Group Limited
-------------------------
Supplemental Information - Investments - continued
(stated in millions of United States Dollars)
(unaudited)
31-Mar-05 30-Jun-05 30-Sep-05
--------------------- ---------------------- ----------------------
Market Market Market
Value % Value % Value %
------------ -------- ------------ --------- ------------ ---------
CORE PORTFOLIO (1)
- ------------------
BY RATINGS
AAA $2,294.4 42.9% $2,141.4 38.8% $2,233.2 40.0%
AA 658.6 12.3% 751.7 13.6% 778.3 13.9%
A 1,467.3 27.4% 1,642.6 29.8% 1,599.6 28.6%
BBB 907.9 17.0% 954.8 17.3% 950.3 17.0%
BB and below 23.1 0.4% 28.0 0.5% 28.1 0.5%
------- ----- -------- ---- ------- -----
TOTAL $5,351.3 100.0% $5,518.5 100.0% $5,589.5 100.0%
Weighted Average Rating AA- AA- AA-
BY SECTOR
U.S. Treasury securities and U.S.
government agency obligations $101.0 1.9% $81.5 1.5% $37.9 0.7%
Corporate securities 1,823.6 34.1% 1,926.3 34.9% 1,959.3 35.1%
Municipal bonds 39.4 0.7% 38.2 0.7% 36.5 0.6%
Mortgage and asset-backed securities 2,481.8 46.4% 3,049.0 55.2% 3,028.4 54.2%
Preferred stock 124.5 2.3% 154.5 2.8% 156.4 2.8%
------- ------ -------- ----- --------- -----
Subtotal $4,570.3 85.4% $5,249.5 95.1% $5,218.5 93.4%
Cash 781.0 14.6% 269.0 4.9% 371.0 6.6%
-------- ------- -------- ------ -------- ------
TOTAL $5,351.3 100.0% $5,518.5 100.0% $5,589.5 100.0%
Weighted Average Book Yield 4.3% 4.6% 4.8%
Option Adjusted Duration (years) 3.5 3.6 3.5
(1) Includes Triple X Transaction assets on page 13
31-Dec-05 31-Mar-06
---------------------- -----------------------
Market Market
Value % Value %
------------ --------- ------------ ----------
CORE PORTFOLIO (1)
- ------------------
BY RATINGS
AAA $3,017.5 44.8% $2,974.6 44.0%
AA 1,069.1 15.9% 1,129.0 16.7%
A 1,646.9 24.4% 1,668.6 24.7%
BBB 977.6 14.5% 961.4 14.2%
BB and below 28.0 0.4% 27.7 0.4%
-------- ----- -------- ------
TOTAL $6,739.1 100.0% $6,761.3 100.0%
Weighted Average Rating AA AA
BY SECTOR
U.S. Treasury securities and U.S.
government agency obligations $47.9 0.7% $71.9 1.1%
Corporate securities 2,057.0 30.5% 2,071.2 30.6%
Municipal bonds 37.6 0.6% 41.9 0.6%
Mortgage and asset-backed securities 3,150.1 46.7% 3,881.2 57.4%
Preferred stock 133.8 2.0% 131.7 2.0%
-------- ------ -------- -------
Subtotal $5,426.4 80.5% $6,197.9 91.7%
Cash 1,312.7 19.5% 563.4 8.3%
--------- ------ -------- ------
TOTAL $6,739.1 100.0% $6,761.3 100.0%
Weighted Average Book Yield 4.9% 5.1%
Option Adjusted Duration (years) 2.9 3.0
(1) Includes Triple X Transaction assets on page 13
PAGE 11
Scottish Re Group Limited
Supplemental Information - Investments - continued
(stated in millions of United States Dollars)
(unaudited)
31-Mar-05 30-Jun-05 30-Sep-05
------------------------ ------------------------ ------------------------
Market Market Market
Value % Value % Value %
------------ ----------- ------------ ----------- ------------ -----------
FUNDS WITHHELD AT INTEREST
- --------------------------
BY RATINGS
----------
AAA $422.0 22.3% $444.1 22.9% $433.0 22.8%
AA 92.3 4.9% 91.1 4.7% 90.7 4.8%
A 539.1 28.5% 558.4 28.8% 537.4 28.3%
BBB 640.9 33.9% 637.4 32.8% 628.5 33.2%
BB and below 70.8 3.7% 82.8 4.3% 82.6 4.4%
---- --- ---- --- ---- ---
Subtotal 1,765.1 93.3% 1,813.8 93.5% 1,772.2 93.5%
Commercial mortgage loans 125.9 6.7% 125.9 6.5% 123.0 6.5%
---- --- ---- --- ---- ---
TOTAL $1,891.0 100.0% $1,939.7 100.0% $1,895.2 100.0%
Weighted Average Rating A A A
BY SECTOR
---------
U.S. Treasury securities and U.S.
government agency obligations $30.5 1.6% $31.9 1.6% $26.9 1.4%
Corporate securities 1,195.1 63.2% 1,234.0 63.6% 1,208.1 63.7%
Municipal bonds 23.7 1.2% 30.3 1.6% 33.1 1.7%
Mortgage and asset-backed securities 501.2 26.5% 509.4 26.3% 497.6 26.3%
Preferred stock 2.9 0.2% 3.5 0.2% 3.5 0.2%
Commercial mortgage loans 125.9 6.7% 125.9 6.5% 123.0 6.5%
---- --- ---- --- ---- ---
Subtotal $1,879.3 99.4% $1,935.0 99.8% $1,892.2 99.8%
Cash 11.7 0.6% 4.7 0.2% 3.0 0.2%
---- --- ---- --- ---- ---
TOTAL $1,891.0 100.0% $1,939.7 100.0% $1,895.2 100.0%
Weighted Average Book Yield 5.8% 5.8% 5.8%
Option Adjusted Duration (years) 5.2 5.2 5.1
31-Dec-05 31-Mar-06
----------------------- ------------------------
Market Market
Value % Value %
----------- ----------- ------------ -----------
FUNDS WITHHELD AT INTEREST
- --------------------------
BY RATINGS
----------
AAA $706.0 27.5% $630.5 24.9%
AA 145.9 5.7% 146.4 5.8%
A 741.7 28.8% 736.8 29.1%
BBB 785.8 30.6% 829.5 32.8%
BB and below 78.0 3.0% 78.0 3.1%
---- --- ---- ---
Subtotal 2,457.4 95.6% 2,421.2 95.7%
Commercial mortgage loans 112.6 4.4% 108.0 4.3%
---- --- ---- ---
TOTAL $2,570.0 100.0% $2,529.2 100.0%
Weighted Average Rating A+ A
BY SECTOR
---------
U.S. Treasury securities and U.S.
government agency obligations $62.2 2.4% $195.1 7.7%
Corporate securities 1,631.3 63.5% 1,561.2 61.7%
Municipal bonds 33.0 1.3% 31.4 1.2%
Mortgage and asset-backed securities 595.1 23.1% 583.2 23.1%
Preferred stock 3.2 0.1% 3.3 0.1%
Commercial mortgage loans 112.6 4.4% 108.0 4.3%
---- --- ---- ---
Subtotal $2,437.4 94.8% $2,482.2 98.1%
Cash 132.6 5.2% 47.0 1.9%
---- --- ---- ---
TOTAL $2,570.0 100.0% $2,529.2 100.0%
Weighted Average Book Yield 5.6% 5.7%
Option Adjusted Duration (years) 5.1 4.7
PAGE 12
Scottish Re Group Limited
-------------------------
Supplemental Information - Investments - continued
(stated in millions of United States Dollars)
(unaudited)
31-Mar-05 30-Jun-05 30-Sep-05
------------------------ ------------------------ ------------------------
Market Market Market
Value % Value % Value %
------------ ----------- ------------ ----------- ------------ -----------
TRIPLE X TRANSACTIONS (1)
- -------------------------
BY RATINGS
AAA $1,128.7 74.0% $957.1 62.1% $953.1 61.2%
AA 239.0 15.7% 337.5 21.9% 359.3 23.1%
A 147.0 9.6% 235.3 15.3% 235.4 15.1%
BBB 10.7 0.7% 9.1 0.6% 9.3 0.6%
BB and below 0.0 0.0% 0.0 0.0% 0.0 0.0%
Not Rated (2) 0.0 0.0% 2.0 0.1% 0.0 0.0%
--- --- --- --- --- ---
TOTAL $1,525.5 100.0% $1,541.0 100.0% $1,557.1 100.0%
Weighted Average Rating AA- AA- AA-
BY SECTOR
U.S. Treasury securities and U.S.
government agency obligations $3.0 0.2% $3.0 0.2% $9.0 0.6%
Corporate securities 155.0 10.2% 195.8 12.7% 215.2 13.8%
Municipal bonds 0.0 0.0% 0.0 0.0% 0.0 0.0%
Mortgage and asset-backed securities 787.3 51.6% 1,305.2 84.7% 1,296.0 83.2%
Preferred stock 0.0 0.0% 0.0 0.0% 0.0 0.0%
--- --- --- --- --- ---
Subtotal $945.4 62.0% $1,504.0 97.6% $1,520.2 97.6%
Cash 580.1 38.0% 37.0 2.4% 36.9 2.4%
----- ---- ---- --- ---- ---
TOTAL $1,525.5 100.0% $1,541.0 100.0% $1,557.1 100.0%
Weighted Average Book Yield 3.1% 3.9% 4.3%
Option Adjusted Duration (years) 1.3 1.8 1.9
31-Dec-05 31-Mar-06
------------------------ ------------------------
Market Market
Value % Value %
------------ ----------- ------------ -----------
TRIPLE X TRANSACTIONS (1)
- -------------------------
BY RATINGS
AAA $1,808.6 64.5% $1,690.1 60.1%
AA 652.6 23.3% 724.0 25.8%
A 330.1 11.8% 390.7 13.9%
BBB 12.5 0.4% 7.0 0.2%
BB and below 0.0 0.0% 0.0 0.0%
Not Rated (2) 0.0 0.0% 0.0 0.0%
--- --- --- ---
TOTAL $2,803.8 100.0% $2,811.8 100.0%
Weighted Average Rating AA- AA-
BY SECTOR
U.S. Treasury securities and U.S.
government agency obligations $16.8 0.6% $44.4 1.6%
Corporate securities 355.6 12.7% 386.1 13.7%
Municipal bonds 1.1 0.0% 6.5 0.2%
Mortgage and asset-backed securities 1,471.0 52.5% 2,187.8 77.8%
Preferred stock 0.0 0.0% 0.0 0.0%
--- --- --- ---
Subtotal $1,844.4 65.8% $2,624.8 93.3%
Cash 959.4 34.2% 187.0 6.7%
----- ---- ----- ---
TOTAL $2,803.8 100.0% $2,811.8 100.0%
Weighted Average Book Yield 4.5% 5.0%
Option Adjusted Duration (years) 1.6 1.7
(1) Includes assets in trust related to excess reserves, economic reserves,
surplus, debt service accounts, etc.
(2) 30-Jun-05 contains one security that was purchased during Q2 2005 but was
not rated until Q3 2005
PAGE 13
Scottish Re Group Limited
-------------------------
Supplemental Information - North America Life Reinsurance
(stated in United States Dollars)
(unaudited)
31-Mar 30-Jun 30-Sep 31-Dec 31-Mar
2004 2004 2004 2004 2005
--------------- -------------- -------------- --------------- --------------
Traditional life reinsurance inforce ($billions) $286.0 $298.1 $307.4 $1,006.6 $1,019.1
Lives covered (millions) 6.9 7.4 7.5 14.2 13.5
Average benefit per life $41,665 $40,233 $40,927 $70,642 $75,765
30-Jun 30-Sep 31-Dec 31-Mar
2005 2005 2005 2006
-------------- -------------- -------------- --------------
Traditional life reinsurance inforce ($billions) $1,025.8 $1,023.6 $1,025.8 $1,025.0
Lives covered (millions) 13.9 13.9 13.5 14.1
Average benefit per life $73,942 $73,740 $75,757 $72,835
Supplemental Information - North America Financial Solutions
(stated in thousands of United States Dollars)
(unaudited)
31-Mar 30-Jun 30-Sep 31-Dec 31-Mar
2004 2004 2004 2004 2005
--------------- -------------- -------------- --------------- --------------
Fixed annuities $2,194,364 $2,260,630 $2,425,838 $2,472,526 $2,539,595
Funding agreements 510,347 500,384 500,493 500,634 500,746
Life insurance (1) 355,740 358,115 405,223 379,948 392,781
Disabled life reserves 76,684 75,371 73,512 72,301 68,093
Credit life and other 10,580 11,966 13,650 16,692 18,573
------- ------- ------- ------- -------
TOTAL $3,147,715 $3,206,466 $3,418,716 $3,442,101 $3,519,788
30-Jun 30-Sep 31-Dec 31-Mar
2005 2005 2005 2006
-------------- -------------- -------------- --------------
Fixed annuities $2,561,582 $2,563,438 $3,187,938 $3,222,878
Funding agreements 500,584 500,800 500,858 575,873
Life insurance (1) 398,038 388,131 379,336 365,470
Disabled life reserves 69,525 67,924 65,365 63,067
Credit life and other 20,451 24,373 26,786 26,890
------- ------- ------- ------
TOTAL $3,550,180 $3,544,666 $4,160,283 $4,254,178
(1) Includes term/traditional life reserves that are categorized as reserves for
future policy benefits on the balance sheet
PAGE 14
Scottish Re Group Limited
-------------------------
Supplemental Information - Collateral Finance Facilities: Summary of Key Terms
(unaudited)
Collateral
Transaction Consolidateed Facility
Closing in Financial Liability
Facility Date Statements? (millions)
- -------------- ----------------- ------------------- --------------
HSBC I 25-Jun-04 Yes $200
Stingray 12-Jan-05 No n/a
Orkney I 11-Feb-05 Yes $850
Orkney II 21-Dec-05 Yes $450
HSBC II 22-Dec-05 Yes $486
Other Details
- -------------------------------------------------------------------------------
This facility provides $200 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.
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
transaction 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.
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.
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.
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.
Page 15
Scottish Re Group Limited
-------------------------
Supplemental Information - Collateral Finance Facilities:
Summary of Key Terms - continued
(unaudited)
Collateral
Transaction Consolidateed Facility
Closing in Financial Liability
Facility Date Statements? (millions)
- -------------- ----------------- ------------------- --------------
Reinsurance Facility 22-Dec-05 No n/a
Other Details
- -------------------------------------------------------------------------------
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.
PAGE 16
Scottish Re Group Limited
-------------------------
Insurance Financial Strength Ratings (as of 31-Mar-06)
Moody's
A.M. Best Fitch Investors Standard
Company Company Ratings Service & Poors
- --------------------------------------------------------- ---------------- -------- ---------------- ------------------
Scottish Annuity and Life Insurance Co. (Cayman) Ltd. A- A A3* A-
Scottish Re (U.S.), Inc. A- A A3* A-
Scottish Re Ltd. A- A - - A-
Scottish Re Life Corp. A- - - - - A-
* Negative outlook
Analyst Coverage
Firm Analyst Phone Number
- ----------------------------------------- --------------------- ------------------
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
Keefe, Bruyette & Woods, Inc. Jeff Schuman 860-722-5902
Oppenheimer & Co. Richard Sbaschnig, CFA 212-668-4474
UBS Andrew Kligerman 212-713-2492
Wachovia Securities John Hall 212-214-8032
Investor Relations Contact:
- ---------------------------
Dean E. Miller
EVP & Chief Financial Officer
Scottish Re Group Limited
(441) 298-4395
dean.miller@scottishre.com
Page 17