SCOTTISH RE
SCOTTISH RE GROUP LIMITED
2006
SECOND QUARTER
Financial Data Supplement
Through the Second Quarter
Ended June 30, 2006
(unaudited)
Scottish Re Group Limited
Financial Data Supplement Package
Table of Contents
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Title Page
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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
- Segment Operating Results
> North America 8
> International 9
> Corporate & Other 10
- International Segment Operating Revenues by Business Line 11
- Life Reinsurance Key Operating Ratios
> Current Quarter 12
> Year To Date 13
- Investments
> 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
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Scottish Re Group Limited
Financial Data Supplement Package
Definitions and Notes
The following document contains supplemental quarterly financial and statistical
information for the quarter and six months ended June 30, 2006. This document is
dated as of August 2, 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
under- standing 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 (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.
o 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.
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
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.
PAGE 1
Scottish Re Group Limited
Summary Financial Results
(Stated in Thousands of United States Dollars, Except Share Data)
(unaudited)
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Three months Three months
ended ended
Earnings 30-Jun-05 30-Jun-06
- -------------------------------------------------------------------------------------------------------------------------------
Net operating earnings (loss) available to ordinary shareholders (1) $19,715 ($130,313)
Net income (loss) available to ordinary shareholders $1,591 ($123,927)
Net operating earnings (loss) per ordinary share:
Basic $0.45 ($2.43)
Diluted $0.42 ($2.43)
Net income (loss) per ordinary share:
Basic $0.04 ($2.31)
Diluted $0.03 ($2.31)
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Stock Data
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Closing price per share (at end of period indicated) $24.24 $16.68
Dividends declared per ordinary share $0.05 $0.00
Weighted average ordinary shares outstanding:
Basic 43,462,385 53,720,242
Diluted 47,136,889 53,720,242
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Return on Equity (1) 30-Sep-05 31-Dec-05
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Return on average shareholders' equity, trailing twelve months 12.9% 13.0%
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Book Value per Share (2)
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Basic book value per ordinary share $20.60 $21.48
Basic book value per ordinary share (excluding accumulated other comprehensive income
and fair value of embedded derivatives, net) $20.98 $21.89
Fully converted book value per ordinary share (excluding accumulated other comprehensive
income and fair value of embedded derivatives, net) $20.45 $21.17
- -------------------------------------------------------------------------------------------------------------------------------
Six months Six months
ended ended
Earnings 30-Jun-05 30-Jun-06
- ---------------------------------------------------------------------------------------------------------------------------
Net operating earnings (loss) available to ordinary shareholders (1) $46,645 ($116,038)
Net income (loss) available to ordinary shareholders $35,011 ($112,344)
Net operating earnings (loss) per ordinary share:
Basic $1.12 ($2.17)
Diluted $1.01 ($2.17)
Net income (loss) per ordinary share:
Basic $0.84 ($2.10)
Diluted $0.76 ($2.10)
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Stock Data
- ---------------------------------------------------------------------------------------------------------------------------
Closing price per share (at end of period indicated) $24.24 $16.68
Dividends declared per ordinary share $0.10 $0.05
Weighted average ordinary shares outstanding:
Basic 41,726,320 53,578,152
Diluted 46,179,275 53,578,152
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- ---------------------------------------------------------------------------------------------------------------------------
Return on Equity (1) 31-Mar-06 30-Jun-06
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Return on average shareholders' equity, trailing twelve months 11.5% -3.3%
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Book Value per Share (2)
- ---------------------------------------------------------------------------------------------------------------------------
Basic book value per ordinary share $20.80 $17.73
Basic book value per ordinary share (excluding accumulated other comprehensive income
and fair value of embedded derivatives, net) $21.89 $19.45
Fully converted book value per ordinary share (excluding accumulated other comprehensive
income and fair value of embedded derivatives, net) $21.13 $19.27
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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
PAGE 2
Scottish Re Group Limited
Quarterly Consolidated Balance Sheets
(stated in thousands of United States Dollars, Except Share Data)
(unaudited)
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30-Jun 30-Sep 31-Dec 31-Mar 30-Jun 30-Sep 31-Dec
2004 2004 2004 2005 2005 2005 2005
- ------------------------------------------------------------------------------------------------------------------------------------
ASSETS
Fixed maturity investments $2,548,635 $2,797,450 $3,392,463 $4,445,745 $5,119,254 $5,062,020 $5,292,595
Preferred stock 134,139 125,082 125,204 124,537 130,231 156,422 133,804
Cash and cash equivalents 270,503 191,016 794,639 831,078 320,531 486,527 1,420,205
Other investments 16,755 16,412 16,250 24,979 24,594 49,759 54,619
Funds withheld at interest 1,474,287 1,477,870 2,056,280 1,920,730 1,895,353 1,892,077 2,597,416
---------- ---------- ---------- ---------- ---------- ---------- ----------
Total investments 4,444,319 4,607,830 6,384,836 7,347,069 7,489,963 7,646,805 9,498,639
Accrued interest receivable 26,408 24,159 32,092 40,983 39,645 41,368 44,012
Reinsurance balances
and risk fees receivable 324,723 288,377 495,517 492,217 443,589 522,885 325,372
Deferred acquisition costs 390,661 411,880 417,306 491,643 477,449 505,506 594,583
Amounts recoverable from reinsurers 746,161 703,288 680,956 766,207 792,296 731,578 551,288
Present value of in-force business 11,922 38,349 62,164 60,500 58,752 56,763 54,743
Goodwill 35,847 34,125 34,125 34,125 34,125 34,125 34,125
Other assets 68,710 24,241 38,926 61,161 188,715 63,488 87,198
Current income tax receivable 0 10,716 7,712 2,553 9,189 16,791 0
Deferred tax benefit 31,870 9,623 15,030 25,289 11,729 34,805 55,453
Segregated assets 794,020 740,220 783,573 774,162 799,329 772,526 760,707
-------- -------- -------- -------- -------- -------- --------
TOTAL ASSETS $6,874,641 $6,892,808 $8,952,237 $10,095,909 $10,344,781 $10,426,640 $12,006,120
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31-Mar 30-Jun
2006 2006
- --------------------------------------------------------------------
ASSETS
Fixed maturity investments $6,066,176 $8,126,980
Preferred stock 131,722 128,137
Cash and cash equivalents 690,076 1,563,341
Other investments 64,141 64,701
Funds withheld at interest 2,610,195 2,175,141
--------- ---------
Total investments 9,562,310 12,058,300
Accrued interest receivable 45,371 71,411
Reinsurance balances
and risk fees receivable 381,095 306,454
Deferred acquisition costs 620,385 643,211
Amounts recoverable from reinsurers 605,241 532,000
Present value of in-force business 53,826 52,924
Goodwill 34,125 34,125
Other assets 94,719 124,349
Current income tax receivable 0 0
Deferred tax benefit 79,435 5,901
Segregated assets 780,132 776,048
------- -------
TOTAL ASSETS $12,256,639 $14,604,723
PAGE 3
Scottish Re Group Limited
Quarterly Consolidated Balance Sheets - continued
(stated in thousands of United States Dollars, Except Share Data)
(unaudited)
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30-Jun 30-Sep 31-Dec 31-Mar 30-Jun 30-Sep
2004 2004 2004 2005 2005 2005
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LIABILITIES
Reserves for future policy benefits $1,684,603 $1,602,348 $3,301,715 $3,537,190 $3,524,757 $3,592,779
Interest sensitive contract liabilities 3,220,301 3,136,930 3,181,447 3,258,276 3,278,793 3,283,154
Collateral finance facilities 0 200,000 200,000 1,050,000 1,050,000 1,050,000
Loans Payable 0 0 0 0 0 0
Accounts payable and other liabilites 48,861 52,155 68,311 61,623 115,782 104,413
Reinsurance balances payable 105,452 93,946 116,589 105,371 100,060 161,277
Current income tax payable 5,991 0 0 0 0 0
7.00% convertible junior
subordinated notes 0 0 41,282 42,005 0 0
Long term debt 194,500 194,500 244,500 244,500 244,500 244,500
Segregated liabilities 794,020 740,220 783,573 774,162 799,329 772,526
------- ------- ------- ------- ------- -------
TOTAL LIABILITIES 6,053,728 6,020,099 7,937,417 9,073,127 9,113,221 9,208,649
Minority interest 9,188 9,535 9,697 9,844 9,920 9,977
Mezzanine equity 142,145 142,296 142,449 142,599 142,753 142,906
SHAREHOLDERS' EQUITY
Ordinary shares, par value $0.01 per share 358 359 399 400 454 456
Preferred shares, par value $0.01 per share 0 0 0 0 125,000 125,000
Prepaid variable share forward contract 0 0 0 0 0 0
Additional paid-in capital 555,445 556,173 684,719 687,024 726,850 729,773
Accumulated other comprehensive income (3,139) 37,644 31,604 5,703 50,051 3,704
Retained earnings 116,916 126,702 145,952 177,212 176,532 206,175
------- ------- ------- ------- ------- -------
TOTAL SHAREHOLDERS' EQUITY 669,580 720,878 862,674 870,339 1,078,887 1,065,108
TOTAL LIABILITIES, MINORITY
INTEREST, MEZZANINE EQUITY,
AND SHAREHOLDERS' EQTY $6,874,641 $6,892,808 $8,952,237 $10,095,909 $10,344,781 $10,426,640
Ordinary shares outstanding 35,828,462 35,905,962 39,931,145 40,022,945 45,453,472 45,627,372
Preferred shares outstanding 0 0 0 0 5,000,000 5,000,000
- -----------------------------------------------------------------------------------------
31-Dec 31-Mar 30-Jun
2005 2006 2006
- -----------------------------------------------------------------------------------------
LIABILITIES
Reserves for future policy benefits $3,477,222 $3,539,016 $4,101,799
Interest sensitive contract liabilities 3,907,573 3,990,836 4,089,373
Collateral finance facilities 1,985,681 1,985,681 3,725,161
Loans Payable 0 0 64,856
Accounts payable and other liabilites 83,130 70,750 71,528
Reinsurance balances payable 114,078 247,724 187,438
Current income tax payable 9,155 4,481 3,487
7.00% convertible junior
subordinated notes 0 0 0
Long term debt 244,500 244,500 244,500
Segregated liabilities 760,707 780,132 776,048
------- ------- -------
TOTAL LIABILITIES 10,582,046 10,863,120 13,264,190
Minority interest 9,305 9,334 9,284
Mezzanine equity 143,057 143,207 143,359
SHAREHOLDERS' EQUITY
Ordinary shares, par value $0.01 per share 534 537 537
Preferred shares, par value $0.01 per share 125,000 125,000 125,000
Prepaid variable share forward contract 0 0 110,031
Additional paid-in capital 893,767 899,515 903,422
Accumulated other comprehensive income (9,991) (55,386) (95,799)
Retained earnings 262,402 271,312 144,699
------- ------- -------
TOTAL SHAREHOLDERS' EQUITY 1,271,712 1,240,978 1,187,890
TOTAL LIABILITIES, MINORITY
INTEREST, MEZZANINE EQUITY,
AND SHAREHOLDERS' EQTY $12,006,120 $12,256,639 $14,604,723
Ordinary shares outstanding 53,391,939 53,655,856 53,745,156
Preferred shares outstanding 5,000,000 5,000,000 5,000,000
PAGE 4
Scottish Re Group Limited
Quarterly Consolidated Statements of Income (Loss)
(stated in thousands of United States Dollars)
(unaudited)
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For the Three Months Ended 30-Jun 30-Sep 31-Dec 31-Mar 30-Jun 30-Sep
2004 2004 2004 2005 2005 2005
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REVENUES
Premiums earned, net $157,493 $146,263 $152,089 $463,680 $436,893 $470,094
Investment income, net 54,817 55,519 56,699 80,479 83,554 92,132
Fee income 3,189 2,545 2,860 3,624 2,785 2,801
Realized gains (losses) (1,687) (3,398) (4,640) 3,295 934 1,344
Change in value of embedded derivatives, net 14,610 (5,509) 4,105 5,485 (22,120) (2,631)
------- ------- ------ ------ -------- -------
TOTAL REVENUES 228,422 195,420 211,113 556,563 502,046 563,740
BENEFITS AND EXPENSES
Claims and other policy benefits 122,988 104,701 103,109 363,273 311,493 356,127
Interest credited to interest sensitive
contract liabilities 25,465 27,685 29,182 30,642 31,723 36,724
Acquisition costs and other insurance expenses, net 39,102 38,889 40,292 91,642 122,494 91,214
Operating expenses 10,901 13,214 17,689 24,569 26,500 32,909
Collateral finance facilities expense 0 1,385 1,339 7,420 11,821 13,230
Interest expense 2,996 3,352 3,891 5,594 4,813 5,690
Due diligence costs 0 0 4,643 0 0 0
- - ------ - - -
TOTAL BENEFITS AND EXPENSES 201,452 189,226 200,145 523,140 508,844 535,894
Income (loss) from continuing operations before
income taxes and minority interest 26,970 6,194 10,968 33,423 (6,798) 27,846
Income tax benefit (expense) 1,690 5,401 10,462 368 8,187 6,677
------ ------ ------- ---- ------ ------
Income (loss) from continuing operations before
minority interest 28,660 11,595 21,430 33,791 1,389 34,523
Minority interest 11 (17) (176) (371) 202 (113)
-- ---- ----- ----- ---- -----
Income (loss) from continuing operations 28,671 11,578 21,254 33,420 1,591 34,410
Loss from discontinued operations 0 0 (208) 0 0 0
- - ----- - - -
NET INCOME (LOSS) 28,671 11,578 21,046 33,420 1,591 34,410
Dividends declared on non-cumulative perpetual
preferred shares 0 0 0 0 0 (2,492)
Imputed dividends on prepaid variable
share forward contract 0 0 0 0 0 0
- - - - - -
NET INCOME (LOSS) AVAILABLE TO
ORDINARY SHAREHOLDERS $28,671 $11,578 $21,046 $33,420 $1,591 $31,918
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For the Three Months Ended 31-Dec 31-Mar 30-Jun
2005 2006 2006
- ---------------------------------------------------------------------------------------------
REVENUES
Premiums earned, net $563,263 $449,021 $444,942
Investment income, net 99,672 129,022 147,977
Fee income 3,106 3,733 4,639
Realized gains (losses) (1,835) (13,601) (11,298)
Change in value of embedded derivatives, net 10,774 10,146 7,366
------ ------ -----
TOTAL REVENUES 674,980 578,321 593,626
BENEFITS AND EXPENSES
Claims and other policy benefits 411,612 374,463 372,101
Interest credited to interest sensitive
contract liabilities 33,879 42,701 55,399
Acquisition costs and other insurance expenses, net 118,425 87,531 104,872
Operating expenses 31,595 31,092 39,365
Collateral finance facilities expense 15,675 31,087 47,236
Interest expense 4,641 4,893 7,066
Due diligence costs 0 0 0
- - -
TOTAL BENEFITS AND EXPENSES 615,827 571,767 626,039
Income (loss) from continuing operations before
income taxes and minority interest 59,153 6,554 (32,413)
Income tax benefit (expense) 1,202 7,457 (89,043)
----- ----- --------
Income (loss) from continuing operations before
minority interest 60,355 14,011 (121,456)
Minority interest 421 (162) (134)
--- ----- -----
Income (loss) from continuing operations 60,776 13,849 (121,590)
Loss from discontinued operations 0 0 0
- - -
NET INCOME (LOSS) 60,776 13,849 (121,590)
Dividends declared on non-cumulative perpetual
preferred shares (2,266) (2,266) (2,265)
Imputed dividends on prepaid variable
share forward contract 0 0 (72)
- - ----
NET INCOME (LOSS) AVAILABLE TO
ORDINARY SHAREHOLDERS $58,510 $11,583 ($123,927)
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)
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For the Three Months Ended 30-Jun 30-Sep 31-Dec 31-Mar 30-Jun 30-Sep
2004 2004 2004 2005 2005 2005
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Net income (loss) available to ordinary shareholders $28,671 $11,578 $21,046 $33,420 $1,591 $31,918
Subtract:
Realized (gains) losses 1,687 3,398 4,640 (3,295) (934) (1,344)
Change in value of embedded derivatives, net (14,610) 5,509 (4,105) (5,485) 22,120 2,631
Taxes on realized gains/losses and
change in value of embedded derivatives 2,364 (1,667) 1,172 2,290 (3,062) (569)
Due diligence costs (12/31/04: net of $579 tax) 0 0 4,064 0 0 0
- - ----- - - -
Net operating earnings (loss) available
to ordinary shareholders $18,112 $18,818 $26,817 $26,930 $19,715 $32,636
Net operating earnings (loss) per share
available to ordinary shareholders:
Basic $0.51 $0.52 $0.75 $0.67 $0.45 $0.72
Diluted $0.49 $0.51 $0.71 $0.60 $0.42 $0.67
Weighted average ordinary shares outstanding:
Basic 35,747,254 35,869,413 35,981,436 39,970,965 43,462,385 45,517,832
Diluted 37,328,448 37,244,288 37,847,645 45,192,171 47,136,889 48,543,262
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Return on average shareholders' equity
(1) Numerator: Net operating earnings (loss) available
to ordinary shareholders, trailing twelve months $34,170 $52,146 $80,360 $90,677 $92,280 $106,098
Total shareholders' equity $669,580 $720,878 $862,674 $870,339 $1,078,887 $1,065,108
Subtract:
Preferred shares 0 0 0 0 (125,000) (125,000)
Accumulated other comprehensive income (loss) 3,139 (37,644) (31,604) (5,703) (50,051) (3,704)
Fair value of embedded derivatives, net 2,861 7,169 4,220 332 18,599 20,875
Prepaid variable share forward contract 0 0 0 0 0 0
- - - - - -
Shareholders' equity for ROE 675,580 690,403 835,290 864,968 922,435 957,279
(2) Denominator: Average shareholders' equity $585,431 $668,059 $736,921 $761,134 $799,008 $823,841
Return on average shareholders' equity (1) / (2) 5.8% 7.8% 10.9% 11.9% 11.5% 12.9%
- -------------------------------------------------------------------------------------------
For the Three Months Ended 31-Dec 31-Mar 30-Jun
2005 2006 2006
- -------------------------------------------------------------------------------------------
Net income (loss) available to ordinary shareholders $58,510 $11,583 ($123,927)
Subtract:
Realized (gains) losses 1,835 13,601 11,298
Change in value of embedded derivatives, net (10,774) (10,146) (7,366)
Taxes on realized gains/losses and
change in value of embedded derivatives 1,207 (763) (10,318)
Due diligence costs (12/31/04: net of $579 tax) 0 0 0
- - -
Net operating earnings (loss) available
to ordinary shareholders $50,778 $14,275 ($130,313)
Net operating earnings (loss) per share
available to ordinary shareholders:
Basic $1.10 $0.27 ($2.43)
Diluted $1.03 $0.25 ($2.43)
Weighted average ordinary shares outstanding:
Basic 46,312,567 53,434,484 53,720,242
Diluted 49,450,464 56,532,914 53,720,242
- -------------------------------------------------------------------------------------------
Return on average shareholders' equity
(1) Numerator: Net operating earnings (loss) available
to ordinary shareholders, trailing twelve months $130,059 $117,404 ($32,624)
Total shareholders' equity $1,271,712 $1,240,978 $1,187,890
Subtract:
Preferred shares (125,000) (125,000) (125,000)
Accumulated other comprehensive income (loss) 9,991 55,386 95,799
Fair value of embedded derivatives, net 11,810 2,984 (3,121)
Prepaid variable share forward contract 0 0 (110,031)
- - ---------
Shareholders' equity for ROE 1,168,513 1,174,348 1,045,537
(2) Denominator: Average shareholders' equity $1,001,902 $1,019,658 $983,986
Return on average shareholders' equity (1) / (2) 13.0% 11.5% -3.3%
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 31-Dec
2004 2005 2005 2005 2005
- -----------------------------------------------------------------------------------------------------------------------------------
Total shareholders' equity, end of period $862,674 $870,339 $1,078,887 $1,065,108 $1,271,712
Subtract: Preferred shares 0 0 (125,000) (125,000) (125,000)
Subtract: Prepaid variable share forward contract (PVSFC) 0 0 0 0 0
-- -- -- -- --
(1) Total shareholders' equity excl. preferred shares & PVSFC 862,674 870,339 953,887 940,108 1,146,712
Subtract: Accumulated other comprehensive income (AOCI) (31,604) (5,703) (50,051) (3,704) 9,991
Subtract: Fair value of embedded derivatives, net 4,220 332 18,599 20,875 11,810
------ ---- ------- ------- -------
(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
Add net proceeds from assumed:
Conversion of options 37,085 46,926 46,090 49,336 48,374
Conversion of warrants 39,782 39,782 39,750 39,750 39,750
Conversion of mezzanine equity 143,750 143,750 143,750 143,750 143,750
Prepaid variable share forward contract 0 0 0 0 0
Conversion of 4.5% senior convertible notes 0 0 0 0 0
Conversion of 7% convertible notes 41,282 42,005 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
(4) Ordinary shares outstanding, end of period 39,931,145 40,022,945 45,453,472 45,627,372 53,391,939
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 3,390,936
Conversion of warrants 5,856,431 5,856,431 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
Conversion of 4.5% senior convertible notes 0 0 0 473,273 612,780
Prepaid variable share forward contract 0 0 0 0 0
Conversion of 7% convertible notes 2,130,709 2,167,996 0 0 0
--------- --------- - - -
(5) Fully converted ordinary shares outstanding 56,508,546 57,490,422 57,402,433 58,209,106 66,144,680
Basic book value per ordinary share (1) / (4) $21.60 $21.75 $20.99 $20.60 $21.48
Basic book value, excl. AOCI, and fair value of
embedded derivatives, per share (2) / (4) $20.92 $21.61 $20.29 $20.98 $21.89
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
- ----------------------------------------------------------------------------------------------
31-Mar 30-Jun
2006 2006
- ----------------------------------------------------------------------------------------------
Total shareholders' equity, end of period $1,240,978 $1,187,890
Subtract: Preferred shares (125,000) (125,000)
Subtract: Prepaid variable share forward contract (PVSFC) 0 (110,031)
-- ---------
(1) Total shareholders' equity excl. preferred shares & PVSFC 1,115,978 952,859
Subtract: Accumulated other comprehensive income (AOCI) 55,386 95,799
Subtract: Fair value of embedded derivatives, net 2,984 (3,121)
------ -------
(2) Total shareholders' equity excl. preferred shares, PVFSC,
AOCI, and fair value of embedded derivatives 1,174,348 1,045,537
Add net proceeds from assumed:
Conversion of options 45,072 43,247
Conversion of warrants 39,750 39,750
Conversion of mezzanine equity 143,750 143,750
Prepaid variable share forward contract 0 150,000
Conversion of 4.5% senior convertible notes 0 0
Conversion of 7% convertible notes 0 0
- -
(3) Converted shareholders' equity excl. preferred shares,
PVSFC, AOCI, and fair value of embedded derivatives $1,402,920 $1,422,284
(4) Ordinary shares outstanding, end of period 53,655,856 53,745,156
Add potential shares issued from assumed:
Exercise of options and restricted stock units 3,320,020 3,164,021
Conversion of warrants 2,650,000 2,650,000
Conversion of mezzanine equity 6,099,025 7,440,500
Conversion of 4.5% senior convertible notes 661,870 217,817
Prepaid variable share forward contract 0 6,578,947
Conversion of 7% convertible notes 0 0
- -
(5) Fully converted ordinary shares outstanding 66,386,771 73,796,441
Basic book value per ordinary share (1) / (4) $20.80 $17.73
Basic book value, excl. AOCI, and fair value of
embedded derivatives, per share (2) / (4) $21.89 $19.45
Fully converted book value, excl. AOCI and fair value
of embedded derivatives, per share (3) / (5) $21.13 $19.27
PAGE 7
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 30-Jun 30-Sep 31-Dec 31-Mar 30-Jun 30-Sep
2004 2004 2004 2005 2005 2005
- ------------------------------------------------------------------------------------------------------------------------------------
REVENUES
Premiums earned, net $127,242 $120,480 $113,629 $437,095 $408,877 $427,224
Investment income, net 50,979 53,250 54,374 77,531 80,956 88,490
Fee income 2,248 1,445 2,073 2,900 2,007 2,010
Realized gains (losses) (1,552) (1,289) (6,826) 1,442 2,208 (160)
Change in value of embedded derivatives, net 14,610 (5,509) 4,105 5,485 (22,120) (2,631)
------ ------- ----- ----- -------- -------
TOTAL REVENUES 193,527 168,377 167,355 524,453 471,928 514,933
BENEFITS AND EXPENSES
Claims and other policy benefits 102,485 88,070 78,171 344,188 293,599 330,035
Interest credited to interest sensitive
contract liabilities 25,465 27,685 29,182 30,642 31,723 36,724
Acquisition costs and other insurance expenses, net 35,671 35,001 31,477 88,278 117,927 80,762
Operating expenses 4,142 4,437 4,865 11,673 10,221 12,981
Collateral finance facilities expense 0 1,385 1,339 6,185 10,448 11,850
Interest expense 939 1,266 1,713 2,708 2,657 3,062
Due diligence costs 0 0 0 0 0 0
- - - - - -
TOTAL BENEFITS AND EXPENSES 168,702 157,844 146,747 483,674 466,575 475,414
Income (loss) from continuing operations before
income taxes and minority interest $24,825 $10,533 $20,608 $40,779 $5,353 $39,519
Pre-tax operating earnings (loss)
Pre-tax income (loss) $24,825 $10,533 $20,608 $40,779 $5,353 $39,519
Realized losses (gains) 1,552 1,289 6,826 (1,442) (2,208) 160
Change in value of embedded derivatives, net (14,610) 5,509 (4,105) (5,485) 22,120 2,631
-------- ----- ------- ------- ------ -----
Pre-tax operating earnings (loss) $11,767 $17,331 $23,329 $33,852 $25,265 $42,310
- ---------------------------------------------------------------------------------------------
For the Three Months Ended 31-Dec 31-Mar 30-Jun
2005 2006 2006
- ---------------------------------------------------------------------------------------------
REVENUES
Premiums earned, net $541,679 $428,918 $407,549
Investment income, net 94,562 123,941 136,763
Fee income 2,316 3,017 3,879
Realized gains (losses) (2,369) (13,919) (5,479)
Change in value of embedded derivatives, net 10,774 10,146 7,366
------ ------ -----
TOTAL REVENUES 646,962 552,103 550,078
BENEFITS AND EXPENSES
Claims and other policy benefits 397,777 347,280 338,626
Interest credited to interest sensitive
contract liabilities 33,879 42,701 55,399
Acquisition costs and other insurance expenses, net 114,025 84,408 97,280
Operating expenses 13,974 14,592 14,538
Collateral finance facilities expense 14,630 30,543 45,891
Interest expense 2,396 2,562 3,038
Due diligence costs 0 0 0
- - -
TOTAL BENEFITS AND EXPENSES 576,681 522,086 554,772
Income (loss) from continuing operations before
income taxes and minority interest $70,281 $30,017 ($4,694)
Pre-tax operating earnings (loss)
Pre-tax income (loss) $70,281 $30,017 ($4,694)
Realized losses (gains) 2,369 13,919 5,479
Change in value of embedded derivatives, net (10,774) (10,146) (7,366)
-------- -------- -------
Pre-tax operating earnings (loss) $61,876 $33,790 ($6,581)
PAGE 8
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 30-Jun 30-Sep 31-Dec 31-Mar 30-Jun 30-Sep
2004 2004 2004 2005 2005 2005
- -----------------------------------------------------------------------------------------------------------------------------------
REVENUES
Premiums earned, net $30,251 $25,783 $38,460 $26,585 $28,016 $42,870
Investment income, net 3,574 2,105 2,195 2,590 2,352 2,734
Fee income 0 0 (2) 0 0 0
Realized gains (losses) (189) 67 1,959 497 88 (82)
Change in value of embedded derivatives, net 0 0 0 0 0 0
- - - - - -
TOTAL REVENUES 33,636 27,955 42,612 29,672 30,456 45,522
BENEFITS AND EXPENSES
Claims and other policy benefits 20,503 16,631 24,938 19,085 17,894 26,092
Interest credited to interest sensitive
contract liabilities 0 0 0 0 0 0
Acquisition costs and other insurance expenses, net 2,877 3,438 8,390 2,845 4,053 9,933
Operating expenses 3,757 4,941 5,692 5,849 7,285 6,728
Collateral finance facilities expense 0 0 0 0 0 0
Interest expense 0 0 0 0 0 0
Due diligence costs 0 0 0 0 0 0
- - - - - -
TOTAL BENEFITS AND EXPENSES 27,137 25,010 39,020 27,779 29,232 42,753
Income (loss) from continuing operations before
income taxes and minority interest $6,499 $2,945 $3,592 $1,893 $1,224 $2,769
Pre-tax operating earnings (loss)
Pre-tax income (loss) $6,499 $2,945 $3,592 $1,893 $1,224 $2,769
Realized losses (gains) 189 (67) (1,959) (497) (88) 82
Change in value of embedded derivatives, net 0 0 0 0 0 0
- - - - - -
Pre-tax operating earnings (loss) $6,688 $2,878 $1,633 $1,396 $1,136 $2,851
- --------------------------------------------------------------------------------------------
For the Three Months Ended 31-Dec 31-Mar 30-Jun
2005 2006 2006
- --------------------------------------------------------------------------------------------
REVENUES
Premiums earned, net $21,584 $20,103 $37,393
Investment income, net 3,812 2,989 8,971
Fee income 0 0 0
Realized gains (losses) 760 (1,138) (6,908)
Change in value of embedded derivatives, net 0 0 0
- - -
TOTAL REVENUES 26,156 21,954 39,456
BENEFITS AND EXPENSES
Claims and other policy benefits 13,835 27,183 33,475
Interest credited to interest sensitive
contract liabilities 0 0 0
Acquisition costs and other insurance expenses, net 3,891 2,817 6,185
Operating expenses 5,414 5,777 7,874
Collateral finance facilities expense 0 0 0
Interest expense 0 0 0
Due diligence costs 0 0 0
- - -
TOTAL BENEFITS AND EXPENSES 23,140 35,777 47,534
Income (loss) from continuing operations before
income taxes and minority interest $3,016 ($13,823) ($8,078)
Pre-tax operating earnings (loss)
Pre-tax income (loss) $3,016 ($13,823) ($8,078)
Realized losses (gains) (760) 1,138 6,908
Change in value of embedded derivatives, net 0 0 0
- - -
Pre-tax operating earnings (loss) $2,256 ($12,685) ($1,170)
PAGE 9
Scottish Re Group Limited
Supplemental Information - Segment Operating Results: Corporate & Other
(stated in thousands of United States Dollars)
(unaudited)
- ------------------------------------------------------------------------------------------------------------------------------------
For the Three Months Ended 30-Jun 30-Sep 31-Dec 31-Mar 30-Jun 30-Sep
2004 2004 2004 2005 2005 2005
- ------------------------------------------------------------------------------------------------------------------------------------
REVENUES
Premiums earned, net $0 $0 $0 $0 $0 $0
Investment income, net 264 164 130 358 246 908
Fee income 941 1,100 789 724 778 791
Realized gains (losses) 54 (2,176) 227 1,356 (1,362) 1,586
Change in value of embedded derivatives, net 0 0 0 0 0 0
- - - - - -
TOTAL REVENUES 1,259 (912) 1,146 2,438 (338) 3,285
BENEFITS AND EXPENSES
Claims and other policy benefits 0 0 0 0 0 0
Interest credited to interest sensitive
contract liabilities 0 0 0 0 0 0
Acquisition costs and other insurance expenses, net 554 450 425 519 514 519
Operating expenses 3,002 3,836 7,132 7,047 8,994 13,200
Collateral finance facilities expense 0 0 1,235 1,373 1,380
Interest expense 2,057 2,086 2,178 2,886 2,156 2,628
Due diligence costs 0 0 4,643 0 0 0
- - ------ - - -
TOTAL BENEFITS AND EXPENSES 5,613 6,372 14,378 11,687 13,037 17,727
Income (loss) from continuing operations before
income taxes and minority interest ($4,354) ($7,284) ($13,232) ($9,249) ($13,375) ($14,442)
Pre-tax operating earnings (loss)
Pre-tax income (loss) ($4,354) ($7,284) ($13,232) ($9,249) ($13,375) ($14,442)
Realized losses (gains) (54) 2,176 (227) (1,356) 1,362 (1,586)
Change in value of embedded derivatives, net 0 0 0 0 0 0
- - - - - -
Pre-tax operating earnings (loss) ($4,408) ($5,108) ($13,459) ($10,605) ($12,013) ($16,028)
- ---------------------------------------------------------------------------------------------
For the Three Months Ended 31-Dec 31-Mar 30-Jun
2005 2006 2006
- ---------------------------------------------------------------------------------------------
REVENUES
Premiums earned, net $0 $0 $0
Investment income, net 1,298 2,092 2,243
Fee income 790 716 760
Realized gains (losses) (226) 1,456 1,089
Change in value of embedded derivatives, net 0 0 0
- - -
TOTAL REVENUES 1,862 4,264 4,092
BENEFITS AND EXPENSES
Claims and other policy benefits 0 0 0
Interest credited to interest sensitive
contract liabilities 0 0 0
Acquisition costs and other insurance expenses, net 509 306 1,407
Operating expenses 12,207 10,723 16,953
Collateral finance facilities expense 1,045 544 1,345
Interest expense 2,245 2,331 4,028
Due diligence costs 0 0 0
- - -
TOTAL BENEFITS AND EXPENSES 16,006 13,904 23,733
Income (loss) from continuing operations before
income taxes and minority interest ($14,144) ($9,640) ($19,641)
Pre-tax operating earnings (loss)
Pre-tax income (loss) ($14,144) ($9,640) ($19,641)
Realized losses (gains) 226 (1,456) (1,089)
Change in value of embedded derivatives, net 0 0 0
- - -
Pre-tax operating earnings (loss) ($13,918) ($11,096) ($20,730)
PAGE 10
Scottish Re Group Limited
Supplemental Information - International Segment Operating Revenues by Business Line (1)
(stated in thousands of United States Dollars)
(unaudited)
- ------------------------------------------------------------------------------------------------------------------------------------
Three Three Six Six Three
months months months months months
ended ended ended ended ended
Operating Revenues 30-Jun-05 30-Jun-06 30-Jun-05 30-Jun-06 Operating Revenues 30-Jun-05
- ------------------------------------------------------------------------------------------------------------------------------------
NORTH AMERICA (2) MIDDLE EAST (3)
- ----------------- ---------------
Premiums earned, net $5,920 $8,651 $10,389 $11,479 Premiums earned, net $5,358
Investment income, net 343 397 697 843 Investment income, net 226
--- --- --- --- ---
TOTAL $6,263 $9,048 $11,086 $12,322 TOTAL $5,584
- ------------------------------------------------------------------------------------------------------------------------------------
GLOBAL AVIATION (4) ASIA (5)
- ------------------- --------
Premiums earned, net $10,462 $6,109 $16,475 $7,093 Premiums earned, net $1,720
Investment income, net 202 169 384 362 Investment income, net 14
--- --- --- --- --
TOTAL $10,664 $6,278 $16,859 $7,455 TOTAL $1,734
- ------------------------------------------------------------------------------------------------------------------------------------
UK & IRELAND PROTECTION (6) UK & IRELAND ANNUITIES (7)
- --------------------------- --------------------------
Premiums earned, net ($135) $2,672 $1,439 $4,130 Premiums earned, net $0
Investment income, net 9 69 41 125 Investment income, net 0
- -- -- --- -
TOTAL ($126) $2,741 $1,480 $4,255 TOTAL $0
- ------------------------------------------------------------------------------------------------------------------------------------
OTHER (8) TOTAL
- --------- -----
Premiums earned, net $4,691 $12,634 $13,477 $20,142 Premiums earned, net $28,016
Investment income, net 1,558 1,705 3,360 3,564 Investment income, net 2,352
----- ----- ----- ----- -----
TOTAL $6,249 $14,339 $16,837 $23,706 TOTAL $30,368
- ------------------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------
Three Six Six
months months months
ended ended ended
Operating Revenues 30-Jun-06 30-Jun-05 30-Jun-06
- ----------------------------------------------------------------------
MIDDLE EAST (3)
---------------
Premiums earned, net $5,709 $11,043 $11,461
Investment income, net 364 438 753
--- --- ---
TOTAL $6,073 $11,481 $12,214
- ----------------------------------------------------------------------
ASIA (5)
--------
Premiums earned, net $1,618 $1,778 $3,191
Investment income, net 47 22 93
-- -- --
TOTAL $1,665 $1,800 $3,284
- ----------------------------------------------------------------------
UK & IRELAND ANNUITIES (7)
--------------------------
Premiums earned, net $0 $0 $0
Investment income, net 6,220 0 6,220
----- - -----
TOTAL $6,220 $0 $6,220
- ----------------------------------------------------------------------
TOTAL
-----
Premiums earned, net $37,393 $54,601 $57,496
Investment income, net 8,971 4,942 11,960
----- ----- ------
TOTAL $46,364 $59,543 $69,456
- ----------------------------------------------------------------------
Notes
(1) Reporting format changed from Q1 2006 Data Supplement to reflect business
line focus going forward
(2) Represents assumed retroceded reinsurance on North American lives written
mainly in 2002 and prior; currently in runoff
(3) Primarily Group business
(4) Represents aircrew loss of license business, primarily UK, Ireland, and
Europe
(5) Represents primarily Japanese kyosai business
(6) Represents long term life
reinsurance treaties
(7) Represents reinsured annuity business \
(8) Represents Other European, African, Latin American, Asian, and Middle
Eastern business in runoff
PAGE 11
Scottish Re Group Limited
Supplemental Information - Life Reinsurance Key Operating Ratios
(stated in thousands of United States Dollars)
(unaudited)
- ------------------------------------------------------------------------------------------------------------------------------------
Three Months Ended 30-Jun-06
--------------------------------------------------------------------------
North America International Total
--------------------------------------------------------------------------
Traditional Financial Traditional Financial Traditional Financial
Solutions Solutions Solutions Solutions Solutions Solutions
- ------------------------------------------------------------------------------------------------------------------------------------
REVENUES
(1) Premiums earned, net $399,324 $8,225 $37,393 $0 $436,717 $8,225
Investment income, net 79,405 57,358 2,750 6,221 82,155 63,579
------- ------ ------ ----- ------ ------
(2) TOTAL OPERATING REVENUES $478,729 $65,583 $40,143 $6,221 $518,872 $71,804
BENEFITS AND EXPENSES
(3) Claims and other policy benefits $333,485 $5,141 $27,976 $5,499 $361,461 $10,640
(4) Interest credited to interest sensitive contract
liabilities $0 $55,399 $0 $0 $0 $55,399
(5) Acquisition costs and other insurance expenses, net $78,967 $18,313 $6,185 $0 $85,152 $18,313
RATIOS
Benefit Ratio (1) 83.5% 92.3% 74.8% 88.4% 82.8% 92.0%
Acquisition Ratio (2) 19.8% 27.9% 16.5% 0.0% 19.5% 25.5%
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Three Months Ended 30-Jun-05
--------------------------------------------------------------------------
North America International Total
--------------------------------------------------------------------------
Traditional Financial Traditional Financial Traditional Financial
Solutions Solutions Solutions Solutions Solutions Solutions
- ------------------------------------------------------------------------------------------------------------------------------------
REVENUES
(1) Premiums earned, net $394,757 $14,120 $28,016 $0 $422,773 $14,120
Investment income, net 35,402 45,554 2,352 0 37,754 45,554
------ ------ ----- - ------ ------
(2) TOTAL OPERATING REVENUES $430,159 $59,674 $30,368 $0 $460,527 $59,674
BENEFITS AND EXPENSES
(3) Claims and other policy benefits $279,049 $14,550 $17,894 $0 $296,943 $14,550
(4) Interest credited to interest sensitive contract
liabilities $0 $31,723 $0 $0 $0 $31,723
(5) Acquisition costs and other insurance expenses, net $105,290 $12,637 $4,053 $0 $109,343 $12,637
RATIOS
Benefit Ratio (1) 70.7% 77.5% 63.9% n/a 70.2% 77.5%
Acquisition Ratio (2) 26.7% 21.2% 14.5% n/a 25.9% 21.2%
- ------------------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------
Other Total
- ---------------------------------------------------------------------------------
REVENUES
(1) Premiums earned, net $0 $444,942
Investment income, net 2,243 147,977
----- -------
(2) TOTAL OPERATING REVENUES $2,243 $592,919
BENEFITS AND EXPENSES
(3) Claims and other policy benefits $0 $372,101
(4) Interest credited to interest sensitive contract
liabilities $0 $55,399
(5) Acquisition costs and other insurance expenses, net $1,407 $104,872
RATIOS
Benefit Ratio (1) n/a 72.1%
Acquisition Ratio (2) n/a 17.7%
- ---------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------
Other Total
- ---------------------------------------------------------------------------------
REVENUES
(1) Premiums earned, net $0 $436,893
Investment income, net 246 83,554
--- ------
(2) TOTAL OPERATING REVENUES $246 $520,447
BENEFITS AND EXPENSES
(3) Claims and other policy benefits $0 $311,493
(4) Interest credited to interest sensitive contract
liabilities $0 $31,723
(5) Acquisition costs and other insurance expenses, net $514 $122,494
RATIOS
Benefit Ratio (1) n/a 65.9%
Acquisition Ratio (2) n/a 23.5%
- ---------------------------------------------------------------------------------
(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 12
Scottish Re Group Limited
Supplemental Information - Life Reinsurance Key Operating Ratios
(stated in thousands of United States Dollars)
(unaudited)
- ------------------------------------------------------------------------------------------------------------------------------------
Six Months Ended 30-Jun-06
----------------------------------------------------------------------------
North America International Total
---------------------------------------------------------------------------
Traditional Financial Traditional Financial Traditional Financial
Solutions Solutions Solutions Solutions Solutions Solutions
- ------------------------------------------------------------------------------------------------------------------------------------
REVENUES
(1) Premiums earned, net $820,056 $16,411 $57,496 $0 $877,552 $16,411
Investment income, net 140,095 120,609 5,739 6,221 145,834 126,830
------- ------- ----- ----- ------- --------
(2) TOTAL OPERATING REVENUES $960,151 $137,020 $63,235 $6,221 $1,023,386 $143,241
BENEFITS AND EXPENSES
(3) Claims and other policy benefits $664,215 $21,691 $55,159 $5,499 $719,374 $27,190
(4) Interest credited to interest sensitive contract
liabilities $0 $98,100 $0 $0 $0 $98,100
(5) Acquisition costs and other insurance expenses,
net $151,523 $30,165 $9,002 $0 $160,525 $30,165
RATIOS
Benefit Ratio (1) 81.0% 87.4% 95.9% 88.4% 82.0% 87.5%
Acquisition Ratio (2) 18.5% 22.0% 15.7% 0.0% 18.3% 21.1%
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Six Months Ended 30-Jun-05
----------------------------------------------------------------------------
North America International Total
---------------------------------------------------------------------------
Traditional Financial Traditional Financial Traditional Financial
Solutions Solutions Solutions Solutions Solutions Solutions
- ------------------------------------------------------------------------------------------------------------------------------------
REVENUES
(1) Premiums earned, net $817,148 $28,824 $54,601 $0 $871,749 $28,824
Investment income, net 67,004 91,483 4,942 0 71,946 91,483
------ ------ ----- - ------ ------
(2) TOTAL OPERATING REVENUES $884,152 $120,307 $59,543 $0 $943,695 $120,307
BENEFITS AND EXPENSES
(3) Claims and other policy benefits $607,569 $30,218 $36,979 $0 $644,548 $30,218
(4) Interest credited to interest sensitive contract
liabilities $0 $62,365 $0 $0 $0 $62,365
(5) Acquisition costs and other insurance expenses,
net $181,068 $25,137 $6,898 $0 $187,966 $25,137
RATIOS
Benefit Ratio (1) 74.4% 77.0% 67.7% n/a 73.9% 77.0%
Acquisition Ratio (2) 22.2% 20.9% 12.6% n/a 21.6% 20.9%
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
------------------------
Other Total
- --------------------------------------------------------------------------------
REVENUES
(1) Premiums earned, net $0 $893,963
Investment income, net 4,335 276,999
----- -------
(2) TOTAL OPERATING REVENUES $4,335 $1,170,962
BENEFITS AND EXPENSES
(3) Claims and other policy benefits $0 $746,564
(4) Interest credited to interest sensitive contract
liabilities $0 $98,100
(5) Acquisition costs and other insurance expenses,
net $1,713 $192,403
RATIOS
Benefit Ratio (1) n/a 72.1%
Acquisition Ratio (2) n/a 16.4%
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Other Total
- --------------------------------------------------------------------------------
REVENUES
(1) Premiums earned, net $0 $900,573
Investment income, net 604 164,033
--- -------
(2) TOTAL OPERATING REVENUES $604 $1,064,606
BENEFITS AND EXPENSES
(3) Claims and other policy benefits $0 $674,766
(4) Interest credited to interest sensitive contract
liabilities $0 $62,365
(5) Acquisition costs and other insurance expenses,
net $1,033 $214,136
RATIOS
Benefit Ratio (1) n/a 69.2%
Acquisition Ratio (2) n/a 20.1%
- --------------------------------------------------------------------------------
(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 13
Scottish Re Group Limited
Supplemental Information - Investments
(stated in millions of United States Dollars)
(unaudited)
- ---------------------------------------------------------------------------------------------------------------------------
30-Jun-05 30-Sep-05 31-Dec-05
-------------------------------------------------------------------------
Market Market Market
Value % Value % Value %
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL PORTFOLIO
BY RATINGS
AAA $2,585.5 34.7% $2,666.2 35.6% $3,723.5 40.0%
AA 842.8 11.3% 869.0 11.6% 1,215.0 13.1%
A 2,201.0 29.5% 2,137.0 28.6% 2,388.6 25.7%
BBB 1,592.2 21.3% 1,578.8 21.1% 1,763.4 18.9%
BB and below 108.8 1.5% 110.7 1.5% 106.0 1.1%
Not Rated (1) 2.0 0.0% 0.0 0.0% 0.0 0.0%
--- ---- ---- ---- --- ----
Subtotal 7,332.3 98.3% 7,361.7 98.4% 9,196.5 98.8%
Commercial mortgage loans 125.9 1.7% 123.0 1.6% 112.6 1.2%
----- ---- ----- ---- ----- ----
TOTAL $7,458.2 100.0% $7,484.7 100.0% $9,309.1 100.0%
- ---------------------------------------------------------------------------------------------------------------------------
Weighted Average Rating AA- AA- AA-
- ---------------------------------------------------------------------------------------------------------------------------
BY SECTOR
U.S. Treasury securities and U.S.
government agency obligations $113.4 1.5% $64.8 0.9% $110.1 1.2%
Corporate securities 3,160.3 42.4% 3,167.4 42.3% 3,688.3 39.6%
Municipal bonds 68.5 0.9% 69.6 0.9% 70.6 0.8%
Mortgage and asset-backed securities 3,558.4 47.7% 3,526.0 47.1% 3,745.2 40.2%
Preferred stock 158.0 2.1% 159.9 2.1% 137.0 1.5%
Commercial mortgage loans 125.9 1.7% 123.0 1.7% 112.6 1.2%
----- ---- ----- ---- ----- ----
Subtotal 7,184.5 96.3% 7,110.7 95.0% 7,863.8 84.5%
Cash 273.7 3.7% 374.0 5.0% 1,445.3 15.5%
----- ---- ----- ---- ------- -----
TOTAL $7,458.2 100.0% $7,484.7 100.0% $9,309.1 100.0%
- ---------------------------------------------------------------------------------------------------------------------------
Weighted Average Book Yield 4.9% 5.1% 5.1%
Option Adjusted Duration (years) 4.0 3.9 3.6
- ---------------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------
31-Mar-06 30-Jun-06
-----------------------------------------------
Market Market
Value % Value %
- -------------------------------------------------------------------------------------------------
TOTAL PORTFOLIO
BY RATINGS
AAA $3,605.1 38.8% $4,591.4 39.0%
AA 1,275.4 13.7% 2,099.6 17.9%
A 2,405.4 25.9% 3,102.5 26.4%
BBB 1,790.9 19.3% 1,761.0 15.0%
BB and below 105.7 1.1% 98.6 0.8%
Not Rated (1) 0.0 0.0% 0.0 0.0%
---- ---- --- ----
Subtotal 9,182.5 98.8% 11,653.1 99.1%
Commercial mortgage loans 108.0 1.2% 105.5 0.9%
----- ---- ----- ----
TOTAL $9,290.5 100.0% $11,758.6 100.0%
- ----------------------------------------------------------------------------------------------
Weighted Average Rating AA- AA-
- ----------------------------------------------------------------------------------------------
BY SECTOR
U.S. Treasury securities and U.S.
government agency obligations $267.0 2.9% $180.3 1.5%
Corporate securities 3,632.4 39.1% 4,378.4 37.2%
Municipal bonds 73.3 0.8% 80.2 0.7%
Mortgage and asset-backed securities 4,464.4 48.0% 5,408.0 46.0%
Preferred stock 135.0 1.4% 130.8 1.1%
Commercial mortgage loans 108.0 1.2% 105.5 0.9%
----- ---- ------ ---
Subtotal 8,680.1 93.4% 10,283.2 87.4%
Cash 610.4 6.6% 1,475.4 12.6%
----- ---- ------- -----
TOTAL $9,290.5 100.0% $11,758.6 100.0%
- ----------------------------------------------------------------------------------------------
Weighted Average Book Yield 5.3% 5.5%
Option Adjusted Duration (years) 3.5 3.4
- ----------------------------------------------------------------------------------------------
(1) 30-Jun-05 contains one security that was purchased during Q2 2005 but was
not rated until Q3 (2005)
PAGE 14
Scottish Re Group Limited
Supplemental Information - Investments - continued
(stated in millions of United States Dollars)
(unaudited)
- ---------------------------------------------------------------------------------------------------------------------------
30-Jun-05 30-Sep-05 31-Dec-05
-------------------------------------------------------------------------
Market Market Market
Value % Value % Value %
- ---------------------------------------------------------------------------------------------------------------------------
CORE PORTFOLIO EXCL. TRIPLE X TRANSACTIONS (1)
BY RATINGS
AAA $1,184.3 29.7% $1,280.1 31.7% $1,208.9 30.7%
AA 414.2 10.4% 419.0 10.4% 416.5 10.6%
A 1,407.3 35.4% 1,364.2 33.8% 1,316.8 33.5%
BBB 945.7 23.8% 941.0 23.4% 965.1 24.5%
BB and below 26.0 0.7% 28.1 0.7% 28.0 0.7%
---- ---- ---- ---- ---- ----
TOTAL $3,977.5 100.0% $4,032.4 100.0% $3,935.3 100.0%
- ---------------------------------------------------------------------------------------------------------------------------
Weighted Average Rating AA- A+ A+
- ---------------------------------------------------------------------------------------------------------------------------
BY SECTOR
U.S. Treasury securities and U.S.
government agency obligations $78.5 2.0% $28.9 0.7% $31.2 0.8%
Corporate securities 1,730.5 43.5% 1,744.1 43.3% 1,701.4 43.2%
Municipal bonds 38.2 1.0% 36.5 0.9% 36.5 0.9%
Mortgage and asset-backed securities 1,743.8 43.8% 1,732.4 43.0% 1,679.1 42.7%
Preferred stock 154.5 3.9% 156.4 3.9% 133.8 3.4%
----- ---- ----- ---- ----- ----
Subtotal 3,745.5 94.2% 3,698.3 91.8% 3,582.0 91.0%
Cash 232.0 5.8% 334.1 8.2% 353.3 9.0%
----- ---- ----- ---- ----- ----
TOTAL $3,977.5 100.0% $4,032.4 100.0% $3,935.3 100.0%
- ---------------------------------------------------------------------------------------------------------------------------
Weighted Average Book Yield 4.9% 5.0% 5.1%
Option Adjusted Duration (years) 4.3 4.2 4.0
- ---------------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------
31-Mar-06 30-Jun-06
-----------------------------------------------
Market Market
Value % Value %
- -------------------------------------------------------------------------------------------------
CORE PORTFOLIO EXCL. TRIPLE X TRANSACTIONS (1)
BY RATINGS
AAA $1,284.5 32.5% $1,119.7 26.0%
AA 405.0 10.3% 540.7 12.6%
A 1,277.9 32.4% 1,629.0 37.9%
BBB 954.4 24.1% 983.1 22.9%
BB and below 27.7 0.7% 24.4 0.6%
----- ---- ----- ----
TOTAL $3,949.5 100.0% $4,296.9 100.0%
- -------------------------------------------------------------------------------------------------
Weighted Average Rating A+ A+
- -------------------------------------------------------------------------------------------------
BY SECTOR
U.S. Treasury securities and U.S.
government agency obligations $27.5 0.7% $88.9 2.1%
Corporate securities 1,685.1 42.7% 2,074.9 48.3%
Municipal bonds 35.4 0.9% 37.5 0.9%
Mortgage and asset-backed securities 1,693.4 42.9% 1,791.0 41.6%
Preferred stock 131.7 3.3% 128.2 3.0%
----- ---- ------ ----
Subtotal 3,573.1 90.5% 4,120.5 95.9%
Cash 376.4 9.5% 176.4 4.1%
----- ---- ----- ----
TOTAL $3,949.5 100.0% $4,296.9 100.0%
- -------------------------------------------------------------------------------------------------
Weighted Average Book Yield 5.2% 5.5%
Option Adjusted Duration (years) 4.0 4.8
- -------------------------------------------------------------------------------------------------
(1) Consists of assets backing life reinsurance business and capital accounts
only
PAGE 15
Scottish Re Group Limited
Supplemental Information - Investments - continued
(stated in millions of United States Dollars)
(unaudited)
- ---------------------------------------------------------------------------------------------------------------------------
30-Jun-05 30-Sep-05 31-Dec-05
-------------------------------------------------------------------------
Market Market Market
Value % Value % Value %
- ---------------------------------------------------------------------------------------------------------------------------
FUNDS WITHHELD AT INTEREST (1)
BY RATINGS
AAA $444.1 22.9% $433.0 22.8% $706.0 27.5%
AA 91.1 4.7% 90.7 4.8% 145.9 5.7%
A 558.4 28.8% 537.4 28.3% 741.7 28.8%
BBB 637.4 32.8% 628.5 33.2% 785.8 30.6%
BB and below 82.8 4.3% 82.6 4.4% 78.0 3.0%
----- ---- ---- ---- ---- ----
Subtotal 1,813.8 93.5% 1,772.2 93.5% 2,457.4 95.6%
Commercial mortgage loans 125.9 6.5% 123.0 6.5% 112.6 4.4%
------ ---- ------ ---- ----- ----
TOTAL $1,939.7 100.0% $1,895.2 100.0% $2,570.0 100.0%
- -------------------------------------------------------------------------------------------------------------------------
Weighted Average Rating A A A+
- -------------------------------------------------------------------------------------------------------------------------
BY SECTOR
U.S. Treasury securities and U.S.
government agency obligations $31.9 1.6% $26.9 1.4% $62.2 2.4%
Corporate securities 1,234.0 63.6% 1,208.1 63.7% 1,631.3 63.5%
Municipal bonds 30.3 1.6% 33.1 1.7% 33.0 1.3%
Mortgage and asset-backed securities 509.4 26.3% 497.6 26.3% 595.1 23.1%
Preferred stock 3.5 0.2% 3.5 0.2% 3.2 0.1%
Commercial mortgage loans 125.9 6.5% 123.0 6.5% 112.6 4.4%
----- ---- ----- ---- ----- ----
Subtotal 1,935.0 99.8% 1,892.2 99.8% 2,437.4 94.8%
Cash 4.7 0.2% 3.0 0.2% 132.6 5.2%
--- ---- --- ---- ----- ----
TOTAL $1,939.7 100.0% $1,895.2 100.0% $2,570.0 100.0%
- -------------------------------------------------------------------------------------------------------------------------
Weighted Average Book Yield 5.8% 5.8% 5.6%
Option Adjusted Duration (years) 5.2 5.1 5.1
- -------------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------
31-Mar-06 30-Jun-06
-----------------------------------------------
Market Market
Value % Value %
- -------------------------------------------------------------------------------------------------
FUNDS WITHHELD AT INTEREST (1)
BY RATINGS
AAA $630.5 24.9% $504.0 23.9%
AA 146.4 5.8% 144.5 6.9%
A 736.8 29.1% 615.6 29.2%
BBB 829.5 32.8% 661.8 31.4%
BB and below 78.0 3.1% 74.2 3.6%
---- ---- ----- ----
Subtotal 2,421.2 95.7% 2,000.1 95.0%
Commercial mortgage loans 108.0 4.3% 105.5 5.0%
----- ---- ----- ----
TOTAL $2,529.2 100.0% $2,105.6 100.0%
- --------------------------------------------------------------------------------------------------
Weighted Average Rating A A
- --------------------------------------------------------------------------------------------------
BY SECTOR
U.S. Treasury securities and U.S.
government agency obligations $195.1 7.7% $47.4 2.3%
Corporate securities 1,561.2 61.7% 1,381.8 65.6%
Municipal bonds 31.4 1.2% 28.4 1.3%
Mortgage and asset-backed securities 583.2 23.1% 462.4 22.0%
Preferred stock 3.3 0.1% 2.6 0.1%
Commercial mortgage loans 108.0 4.3% 105.5 5.0%
----- ---- ----- ----
Subtotal 2,482.2 98.1% 2,028.1 96.3%
Cash 47.0 1.9% 77.5 3.7%
---- ---- ---- ----
TOTAL $2,529.2 100.0% $2,105.6 100.0%
- ----------------------------------------------------------------------------------------------------
Weighted Average Book Yield 5.7% 5.8%
Option Adjusted Duration (years) 4.7 4.5
- ----------------------------------------------------------------------------------------------------
(1) Consists of assets held by ceding insurers under modified coinsurance and
funds withheld coinsurance arrangements
PAGE 16
Scottish Re Group Limited
Supplemental Information - Investments - continued
(stated in millions of United States Dollars)
(unaudited)
- -------------------------------------------------------------------------------------------------------------------------
30-Jun-05 30-Sep-05 31-Dec-05
-----------------------------------------------------------------------
Market Market Market
Value % Value % Value %
- -------------------------------------------------------------------------------------------------------------------------
TRIPLE X TRANSACTIONS (1)
BY RATINGS
AAA $957.1 62.1% $953.1 61.2% $1,808.6 64.5%
AA 337.5 21.9% 359.3 23.1% 652.6 23.3%
A 235.3 15.3% 235.4 15.1% 330.1 11.8%
BBB 9.1 0.6% 9.3 0.6% 12.5 0.4%
BB and below 0.0 0.0% 0.0 0.0% 0.0 0.0%
Not Rated (2) 2.0 0.1% 0.0 0.0% 0.0 0.0%
--- ---- --- ---- --- ----
TOTAL $1,541.0 100.0% $1,557.1 100.0% $2,803.8 100.0%
- ------------------------------------------------------------------------------------------------------------------------
Weighted Average Rating AA+ AA+ AA+
- ------------------------------------------------------------------------------------------------------------------------
BY SECTOR
U.S. Treasury securities and U.S.
government agency obligations $3.0 0.2% $9.0 0.6% $16.7 0.6%
Corporate securities 195.8 12.7% 215.2 13.8% 355.6 12.7%
Municipal bonds 0.0 0.0% 0.0 0.0% 1.1 0.0%
Mortgage and asset-backed securities 1,305.2 84.7% 1,296.0 83.2% 1,471.0 52.5%
Preferred stock 0.0 0.0% 0.0 0.0% 0.0 0.0%
--- ---- --- ---- --- ----
Subtotal 1,504.0 97.6% 1,520.2 97.6% 1,844.4 65.8%
Cash 37.0 2.4% 36.9 2.4% 959.4 34.2%
---- ---- ---- ---- ----- -----
TOTAL $1,541.0 100.0% $1,557.1 100.0% $2,803.8 100.0%
- ------------------------------------------------------------------------------------------------------------------------
Weighted Average Book Yield 3.9% 4.3% 4.5%
Option Adjusted Duration (years) 1.8 1.9 1.6
- ------------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------
31-Mar-06 30-Jun-06
-----------------------------------------------
Market Market
Value % Value %
- -------------------------------------------------------------------------------------------------
TRIPLE X TRANSACTIONS (1)
BY RATINGS
AAA $1,690.1 60.1% $2,967.7 55.4%
AA 724.0 25.8% 1,414.4 26.4%
A 390.7 13.9% 857.9 16.0%
BBB 7.0 0.2% 116.1 2.2%
BB and below 0.0 0.0% 0.0 0.0%
Not Rated (2) 0.0 0.0% 0.0 0.0%
--- ---- --- ----
TOTAL $2,811.8 100.0% $5,356.1 100.0%
- ----------------------------------------------------------------------------------------------
Weighted Average Rating AA+ AA+
- ----------------------------------------------------------------------------------------------
BY SECTOR
U.S. Treasury securities and U.S.
government agency obligations $44.4 1.6% $44.0 0.8%
Corporate securities 386.1 13.7% 921.7 17.2%
Municipal bonds 6.5 0.2% 14.3 0.3%
Mortgage and asset-backed securities 2,187.8 77.8% 3,154.6 58.9%
Preferred stock 0.0 0.0% 0.0 0.0%
--- ---- --- ----
Subtotal 2,624.8 93.3% 4,134.6 77.2%
Cash 187.0 6.7% 1,221.5 22.8%
----- ---- ------- -----
TOTAL 2,811.8 100.0% $5,356.1 100.0%
- ----------------------------------------------------------------------------------------------
Weighted Average Book Yield 5.0% 5.5%
Option Adjusted Duration (years) 1.7 1.9
- ----------------------------------------------------------------------------------------------
(1) Includes assets in trust related to excess reserves, economic reserves,
surplus, debt service accounts, etc.
(2) 30-Jun-05 contains one security that was purchased during Q2 2005 but was
not rated until Q3 (2005)
PAGE 17
Scottish Re Group Limited
Supplemental Information - North America Life Reinsurance
(stated in United States Dollars)
(unaudited)
- ------------------------------------------------------------------------------------------------------------------------------------
30-Jun 30-Sep 31-Dec 31-Mar 30-Jun 30-Sep 31-Dec 31-Mar 30-Jun
2004 2004 2004 2005 2005 2005 2005 2006 2006
- ------------------------------------------------------------------------------------------------------------------------------------
Traditional life reinsurance
inforce ($billions) $298.1 $307.4 $1,006.6 $1,019.1 $1,025.8 $1,023.6 $1,025.8 $1,025.0 $1,024.6
Lives covered (millions) 7.4 7.5 14.2 13.5 13.9 13.9 13.5 14.1 14.2
Average benefit per life $40,233 $40,927 $70,642 $75,765 $73,942 $73,740 $75,757 $72,835 $72,178
- ------------------------------------------------------------------------------------------------------------------------------------
Supplemental Information - North America Financial Solutions
(stated in thousands of United States Dollars)
(unaudited)
- -------------------------------------------------------------------------------------------------------------------------------
30-Jun 30-Sep 31-Dec 31-Mar 30-Jun 30-Sep 31-Dec
2004 2004 2004 2005 2005 2005 2005
- -------------------------------------------------------------------------------------------------------------------------------
GAAP reserves (1)
Fixed annuities $2,260,630 $2,425,838 $2,472,526 $2,539,595 $2,561,582 $2,563,438 $3,187,938
Funding agreements 500,384 500,493 500,634 500,746 500,584 500,800 500,858
Life insurance 358,115 405,223 379,948 392,781 398,038 388,131 379,336
Disabled life reserves 75,371 73,512 72,301 68,093 69,525 67,924 65,365
Credit life and other 11,966 13,650 16,692 18,573 20,451 24,373 26,786
------ ------ ------ ------ ------ ------- ------
TOTAL $3,206,466 $3,418,716 $3,442,101 $3,519,788 $3,550,180 $3,544,666 $4,160,283
- -------------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------
31-Mar 30-Jun
2006 2006
- --------------------------------------------------------------
GAAP reserves (1)
Fixed annuities $3,222,878 $3,240,312
Funding agreements 575,873 651,998
Life insurance 365,470 324,743
Disabled life reserves 63,067 61,521
Credit life and other 26,890 27,432
------ ------
TOTAL $4,254,178 $4,306,006
- --------------------------------------------------------------
(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.
PAGE 18
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) Other Details
- ------------------------------------------------------------------------------------------------------------------------------------
HSBC I 25-Jun-04 Yes $200 This facility provides $200 million that can be used to collateral
ize 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.
- ------------------------------------------------------------------------------------------------------------------------------------
Stingray 12-Jan-05 No 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
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 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.
- ------------------------------------------------------------------------------------------------------------------------------------
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.
- ------------------------------------------------------------------------------------------------------------------------------------
HSBC II 22-Dec-05 Yes $486 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 19
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) Other Details
- ------------------------------------------------------------------------------------------------------------------------------------
Reinsurance Facility 22-Dec-05 No 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.
- -----------------------------------------------------------------------------------------------------------------------------------
Ballantyne Re 2-May-06 Yes $1,740 Ballantyne Re plc issued $1.71 billion of debt to external
investors and $210 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.
$1.65 billion of the proceeds from the offering have been
deposited into a series of accounts that collateralize the
reserve obligations of Scottish Re (U.S.), Inc.
- -----------------------------------------------------------------------------------------------------------------------------------
PAGE 20
Scottish Re Group Limited
Insurance Financial Strength Ratings (as of 2-Aug-06) *
- ----------------------------------------------------------------------------------------------------------------------------
Moody's
A.M. Best Fitch Investors Standard
Company Company Ratings Service & Poor's
- ----------------------------------------------------------------------------------------------------------------------------
Scottish Annuity and Life Insurance Co. (Cayman) Ltd. B++ BBB+ Baa2 BBB+
Scottish Re (U.S.), Inc. B++ BBB+ Baa2 BBB+
Scottish Re Ltd. B++ BBB+ - - BBB+
Scottish Re Life Corp. B++ - - - - BBB+
- ----------------------------------------------------------------------------------------------------------------------------
* All ratings on negative watch
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
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 21