Scottish Re
Scottish Re Group Limited
2006
THIRD QUARTER
Financial Data Supplement
Through the Third Quarter
Ended September 30, 2006
(unaudited)
Scottish Re Group Limited
Financial Data Supplement Package
Table of Contents
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 (Loss) 5
Supplemental Information
- Net Operating Earnings (Loss) 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 nine months ended September 30, 2006. This
document is dated as of November 9, 2006. Scottish Re Group Limited and its
affiliates ("Scottish Re") do not undertake any duty to update such information
after such date.
The information reported herein was derived from Scottish Re's various
administrative and financial reporting systems, but not necessarily its
financial statements. These statistics attempt to measure only some of the many
factors that may affect future business segment profitability, and therefore are
not intended to be predictive of future profitability.
From time to time, Scottish Re provides additional financial information, which
is available on its web site 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 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.
PAGE1
Scottish Re Group Limited
Summary Financial Results
(Stated in Thousands of United States Dollars, Except Share Data)
(unaudited)
- ------------------------------------------------------------------------------- ------------- ------------- ----------- -----------
Three months Three months Nine months Nine months
ended ended ended ended
- ------------------------------------------------------------------------------- ------------- ------------- ----------- -----------
Earnings 30-Sep-05 30-Sep-06 30-Sep-05 30-Sep-06
- ------------------------------------------------------------------------------- ------------- ------------- ----------- -----------
Net operating earnings (loss) available to ordinary shareholders (1) $32,636 ($23,953) $79,281 ($139,984)
Net income (loss) available to ordinary shareholders $31,918 ($30,490) $66,929 ($142,834)
Net operating earnings (loss) per ordinary share:
Basic $0.72 ($0.42) $1.84 ($2.56)
Diluted $0.67 ($0.42) $1.68 ($2.56)
Net income (loss) per ordinary share:
Basic $0.70 ($0.54) $1.56 ($2.61)
Diluted $0.66 ($0.54) $1.42 ($2.61)
- ------------------------------------------------------------------------------- ------------- ------------- ----------- -----------
Share Data
- ------------------------------------------------------------------------------- ------------- ------------- ----------- -----------
Closing price per share $23.84 $10.87 $23.84 $10.87
Dividends declared per ordinary share $0.05 $0.00 $0.15 $0.10
Weighted average ordinary shares outstanding:
Basic 45,517,832 56,933,566 43,004,046 54,708,914
Diluted 48,543,262 56,933,566 47,080,247 54,708,914
- ------------------------------------------------------------------------------- ------------- ------------- ----------- -----------
Return on Equity (1) 31-Dec-05 31-Mar-06 30-Jun-06 30-Sep-06
- ------------------------------------------------------------------------------- ------------- ------------- ----------- -----------
Return on average shareholders' equity, trailing twelve months 13.0% 11.5% -3.3% -8.4%
- ------------------------------------------------------------------------------- ------------- ------------- ----------- -----------
- ------------------------------------------------------------------------------- ------------- ------------- ----------- -----------
Book Value per Share (2)
- ------------------------------------------------------------------------------- ------------- ------------- ----------- -----------
Basic book value per ordinary share $21.48 $20.80 $17.73 $19.13
Basic book value per ordinary share (excluding other comprehensive income
and value of embedded derivatives) $21.89 $21.89 $19.45 $19.27
Fully converted book value per ordinary share (excluding other comprehensive
income and value of embedded derivatives) $21.17 $21.13 $19.27 $18.94
- ------------------------------------------------------------------------------- ------------- ------------- ----------- -----------
(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)
- -----------------------------------------------------------------------------------------------------------------------------------
30-Sep 31-Dec 31-Mar 30-Jun 30-Sep 31-Dec 31-Mar 30-Jun 30-Sep
2004 2004 2005 2005 2005 2005 2006 2006 2006
- ------------------------ ---------- ---------- ---------- ----------- ----------- ---------- ----------- ---------- -----------
ASSETS
Fixed maturity
investments $2,797,450 $3,392,463 $4,445,745 $5,119,254 $5,062,020 $5,292,595 $6,066,176 $8,126,980 $7,526,756
Preferred stock 125,082 125,204 124,537 130,231 156,422 133,804 131,722 128,137 129,977
Cash and cash
equivalents 191,016 794,639 831,078 320,531 486,527 1,420,205 690,076 1,563,341 1,356,092
Other investments 16,412 16,250 24,979 24,594 49,759 54,619 64,141 64,701 65,130
Funds withheld
at interest 1,477,870 2,056,280 1,920,730 1,895,353 1,892,077 2,597,416 2,610,195 2,175,141 2,076,097
---------- ---------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
Total investments 4,607,830 6,384,836 7,347,069 7,489,963 7,646,805 9,498,639 9,562,310 12,058,300 11,154,052
Accrued interest
receivable 24,159 32,092 40,983 39,645 41,368 44,012 45,371 71,411 59,767
Reinsurance balances
and risk fees
receivable 288,377 495,517 492,217 443,589 522,885 325,372 381,095 306,454 423,759
Deferred acquisition
costs 411,880 417,306 491,643 477,449 505,506 594,583 620,385 643,211 620,412
Amounts recoverable
from reinsurers 703,288 680,956 766,207 792,296 731,578 551,288 605,241 532,000 570,834
Present value of
in-force business 38,349 62,164 60,500 58,752 56,763 54,743 53,826 52,924 51,471
Goodwill 34,125 34,125 34,125 34,125 34,125 34,125 34,125 34,125 34,125
Other assets 24,241 38,926 61,161 188,715 63,488 87,198 94,719 124,349 172,072
Current income tax
receivable 10,716 7,712 2,553 9,189 16,791 0 0 0 0
Deferred tax benefit 9,623 15,030 25,289 11,729 34,805 55,453 79,435 5,901 0
Segregated assets 740,220 783,573 774,162 799,329 772,526 760,707 780,132 776,048 739,410
---------- ---------- ----------- ---------- ----------- ----------- ----------- ----------- -----------
TOTAL ASSETS $6,892,808 $8,952,237 $10,095,909 $10,344,781 $10,426,640 $12,006,120 $12,256,639 $14,604,723 $13,825,902
- ------------------------ ---------- ---------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
PAGE 3
Scottish Re Group Limited
Quarterly Consolidated Balance Sheets - continued
(stated in thousands of United States Dollars, Except Share Data)
(unaudited)
- ------------------------ ---------- ---------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
30-Sep 31-Dec 31-Mar 30-Jun 30-Sep 31-Dec 31-Mar 30-Jun 30-Sep
2004 2004 2005 2005 2005 2005 2006 2006 2006
- ------------------------ ---------- ---------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
LIABILITIES
Reserves for future
policy benefits $1,602,348 $3,301,715 $3,537,190 $3,524,757 $3,592,779 $3,477,222 $3,539,016 $4,101,799 $3,663,489
Interest sensitive
contract liabilities 3,136,930 3,181,447 3,258,276 3,278,793 3,283,154 3,907,573 3,990,836 4,089,373 3,582,687
Collateral finance
facilities 200,000 200,000 1,050,000 1,050,000 1,050,000 1,985,681 1,985,681 3,725,161 3,745,918
Loans Payable 0 0 0 0 0 0 0 64,856 0
Accounts payable and
other liabilites 52,155 68,311 61,623 115,782 104,413 83,130 70,750 71,528 101,862
Reinsurance balances
payable 93,946 116,589 105,371 100,060 161,277 114,078 247,724 187,438 260,101
Current income tax
payable 0 0 0 0 0 9,155 4,481 3,487 4,451
7.00% convertible
junior subordinated
notes 0 41,282 42,005 0 0 0 0 0 0
Deferred tax
liability 0 0 0 0 0 0 0 0 47,106
Long term debt 194,500 244,500 244,500 244,500 244,500 244,500 244,500 244,500 244,500
Segregated liabilities 740,220 783,573 774,162 799,329 772,526 760,707 780,132 776,048 739,410
---------- ---------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
TOTAL LIABILITIES 6,020,099 7,937,417 9,073,127 9,113,221 9,208,649 10,582,046 10,863,120 13,264,190 12,389,524
Minority interest 9,535 9,697 9,844 9,920 9,977 9,305 9,334 9,284 9,329
Mezzanine equity 142,296 142,449 142,599 142,753 142,906 143,057 143,207 143,359 143,512
SHAREHOLDERS' EQUITY
Ordinary shares, par
value $0.01 per share 359 399 400 454 456 534 537 537 606
Preferred shares, par
value $0.01 per share 0 0 0 125,000 125,000 125,000 125,000 125,000 125,000
Prepaid variable share
forward contract 0 0 0 0 0 0 0 110,031 0
Additional paid-in
capital 556,173 684,719 687,024 726,850 729,773 893,767 899,515 903,422 1,049,790
Accumulated other
comprehensive income 37,644 31,604 5,703 50,051 3,704 (9,991) (55,386) (95,799) (6,068)
Retained earnings 126,702 145,952 177,212 176,532 206,175 262,402 271,312 144,699 114,209
---------- ---------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
TOTAL SHAREHOLDERS'
EQUITY 720,878 862,674 870,339 1,078,887 1,065,108 1,271,712 1,240,978 1,187,890 1,283,537
TOTAL LIABILITIES,
MINORITY INTEREST,
MEZZANINE EQUITY,
AND SHAREHOLDERS'
EQUITY $6,892,808 $8,952,237 $10,095,909 $10,344,781 $10,426,640 $12,006,120 $12,256,639 $14,604,723 $13,825,902
Ordinary shares
outstanding 35,905,962 39,931,145 40,022,945 45,453,472 45,627,372 53,391,939 53,655,856 53,745,156 60,554,104
Preferred shares
outstanding 0 0 0 5,000,000 5,000,000 5,000,000 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)
- ---------------------------------------- ---------- ---------- -------- -------- -------- -------- -------- -------- --------
For the Three Months Ended 30-Sep 31-Dec 31-Mar 30-Jun 30-Sep 31-Dec 31-Mar 30-Jun 30-Sep
2004 2004 2005 2005 2005 2005 2006 2006 2006
- ---------------------------------------- ---------- ---------- -------- -------- -------- -------- -------- -------- --------
REVENUES
Premiums earned, net $146,263 $152,089 $463,680 $436,893 $470,094 $563,263 $449,021 $444,942 $453,521
Investment income, net 55,519 56,699 80,479 83,554 92,132 99,672 129,022 147,977 162,408
Fee income 2,545 2,860 3,624 2,785 2,801 3,106 3,733 4,639 2,380
Realized gains (losses) (3,398) (4,640) 3,295 934 1,344 (1,835) (13,601) (11,298) (1,072)
Change in value of embedded
derivatives, net (5,509) 4,105 5,485 (22,120) (2,631) 10,774 10,146 7,366 (5,891)
------- ------ ------ -------- ------- ------- ------- ------ -------
TOTAL REVENUES 195,420 211,113 556,563 502,046 563,740 674,980 578,321 593,626 611,346
BENEFITS AND EXPENSES
Claims and other policy benefits 104,701 103,109 363,273 311,493 356,127 411,612 374,463 372,101 377,713
Interest credited to interest
sensitive contract liabilities 27,685 29,182 30,642 31,723 36,724 33,879 42,701 55,399 42,423
Acquisition costs and other
insurance expenses, net 38,889 40,292 91,642 122,494 91,214 118,425 87,531 104,872 86,241
Operating expenses 13,214 17,689 24,569 26,500 32,909 31,595 31,092 39,365 39,447
Collateral finance facilities expense 1,385 1,339 7,420 11,821 13,230 15,675 31,087 47,236 67,323
Interest expense 3,352 3,891 5,594 4,813 5,690 4,641 4,893 7,066 5,005
Due diligence costs 0 4,643 0 0 0 0 0 0 0
-- ------ -- -- -- -- -- -- -
TOTAL BENEFITS AND EXPENSES 189,226 200,145 523,140 508,844 535,894 615,827 571,767 626,039 618,152
Income (loss) from continuing
operations before
income taxes and minority interest 6,194 10,968 33,423 (6,798) 27,846 59,153 6,554 (32,413) (6,806)
Income tax benefit (expense) 5,401 10,462 368 8,187 6,677 1,202 7,457 (89,043) (20,841)
------ ------- ---- ------ ------ ------ ------ -------- --------
Income (loss) from continuing
operations before
minority interest 11,595 21,430 33,791 1,389 34,523 60,355 14,011 (121,456)(27,647)
Minority interest (17) (176) (371) 202 (113) 421 (162) (134) 232
------ ------- ---- ------ ------ ------ ------ -------- --------
Income (loss) from continuing 11,578 21,254 33,420 1,591 34,410 60,776 13,849 (121,590)(27,415)
operations
Loss from discontinued operations 0 (208) 0 0 0 0 0 0 0
-- ----- -- -- -- -- -- -- -
NET INCOME (LOSS) 11,578 21,046 33,420 1,591 34,410 60,776 13,849 (121,590)(27,415)
Dividends declared on non-cumulative
perpetual preferred shares 0 0 0 0 (2,492) (2,266) (2,266) (2,265) (2,266)
Imputed dividends on prepaid variable
share forward contract 0 0 0 0 0 0 0 (72) (809)
-- -- -- -- -- -- -- ---- -----
NET INCOME (LOSS) AVAILABLE TO
ORDINARY SHAREHOLDERS $11,578 $21,046 $33,420 $1,591 $31,918 $58,510 $11,583 ($123,927($30,490)
- ---------------------------------------- ---------- ---------- -------- -------- -------- -------- -------- -------- --------
PAGE 5
Scottish Re Group Limited
Supplemental Information - Net Operating Earnings (Loss) and Return on Equity
(stated in thousands of United States Dollars, Except Share Data)
(unaudited)
- ---------------------------- ------------- ------------ ----------- ---------- ---------- ---------- --------- ---------- ----------
For the Three Months Ended 30-Sep 31-Dec 31-Mar 30-Jun 30-Sep 31-Dec 31-Mar 30-Jun 30-Sep
2004 2004 2005 2005 2005 2005 2006 2006 2006
- ---------------------------- ------------- ------------ ----------- ---------- ---------- ---------- --------- ---------- ----------
Net income (loss) available $11,578 $21,046 $33,420 $1,591 $31,918 $58,510 $11,583 ($123,927) ($30,490)
to ordinary shareholders
Subtract:
Realized (gains) losses 3,398 4,640 (3,295) (934) (1,344) 1,835 13,601 11,298 1,072
Change in value of
embedded derivatives, net 5,509 (4,105) (5,485) 22,120 2,631 (10,774) (10,146) (7,366) 5,891
Taxes on realized
gains/losses and
change in value of
embedded derivatives (1,667) 1,172 2,290 (3,062) (569) 1,207 (756) (10,318) (426)
Due diligence costs
(12/31/04: net of $579 tax) 0 4,064 0 0 0 0 0 0 0
-- ------ -- -- -- -- -- -- -
Net operating earnings
(loss) available
to ordinary shareholders $18,818 $26,817 $26,930 $19,715 $32,636 $50,778 $14,282 ($130,313) ($23,953)
Net operating earnings
(loss) per share
available to ordinary
shareholders:
Basic $0.52 $0.75 $0.67 $0.45 $0.72 $1.10 $0.27 ($2.43) ($0.42)
Diluted $0.51 $0.71 $0.60 $0.42 $0.67 $1.03 $0.25 ($2.43) ($0.42)
Weighted average ordinary
shares outstanding:
Basic 35,869,413 35,981,436 39,970,965 43,462,385 45,517,832 46,312,567 53,434,484 53,720,242 56,933,566
Diluted 37,244,288 37,847,645 45,192,171 47,136,889 48,543,262 49,450,464 56,532,914 53,720,242 56,933,566
Return on average
shareholders' equity
(1) Numerator: Net operating
earnings (loss) available
to ordinary shareholders,
trailing twelve months $52,146 $80,360 $90,677 $92,280 $106,098 $130,059 $117,411 ($32,617) ($89,206)
Total shareholders' equity $720,878 $862,674 $870,339 $1,078,887 $1,065,108 $1,271,712 $1,240,978$1,187,890 $1,283,537
Subtract:
Preferred shares 0 0 0 (125,000) (125,000) (125,000) (125,000) (125,000) (125,000)
Accumulated other
comprehensive income (loss) (37,644) (31,604) (5,703) (50,051) (3,704) 9,991 55,386 95,799 6,068
Fair value of embedded
derivatives, net 7,169 4,220 332 18,599 20,875 11,810 2,984 (3,121) 1,980
Prepaid variable share
forward contract 0 0 0 0 0 0 0 (110,031) 0
-- -- -- -- -- -- -- --------- -
Shareholders' equity for ROE 690,403 835,290 864,968 922,435 957,279 1,168,513 1,174,348 1,045,537 1,166,585
(2) Denominator: Average $668,059 $736,921 $761,134 $799,008 $823,841 $1,001,902 $1,019,658 $983,986 $1,061,932
shareholders' equity
Return on average
shareholders' equity (1) / (2) 7.8% 10.9% 11.9% 11.5% 12.9% 13.0% 11.5% -3.3% -8.4%
- ------------------------------ ----------- ------------ ----------- ---------- ---------- ---------- --------- ---------- ----------
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 31-Mar 30-Jun 30-Sep
2004 2005 2005 2005 2005 2006 2006 2006
- ---------------------------------------- ---------- ------------ ---------- --------- ---------- ---------- ---------- ----------
Total shareholders' equity, end of $862,674 $870,339 $1,078,887 $1,065,108 $1,271,712 $1,240,978 $1,187,890 $1,283,537
period
Subtract: Preferred shares 0 0 (125,000) (125,000) (125,000) (125,000) (125,000) (125,000)
Subtract: Prepaid variable share
forward contract (PVSFC) 0 0 0 0 0 0 (110,031) 0
-- -- -- -- -- -- --------- -
(1) Total shareholders' equity excl. 862,674 870,339 953,887 940,108 1,146,712 1,115,978 952,859 1,158,537
preferred shares & PVSFC
Subtract: Accumulated other (31,604) (5,703) (50,051) (3,704) 9,991 55,386 95,799 6,068
comprehensive income (AOCI)
Subtract: Fair value of embedded
derivatives, net 4,220 332 18,599 20,875 11,810 2,984 (3,121) 1,980
------ ---- ------- ------- ------- ------ ------- -----
(2) Total shareholders' equity excl. preferred shares, PVFSC,
AOCI, and fair value of embedded
derivatives 835,290 864,968 922,435 957,279 1,168,513 1,174,348 1,045,537 1,166,585
Add net proceeds from assumed:
Conversion of options 37,085 46,926 46,090 49,336 48,374 45,072 43,247 37,033
Conversion of warrants 39,782 39,782 39,750 39,750 39,750 39,750 39,750 39,750
Conversion of mezzanine equity 143,750 143,750 143,750 143,750 143,750 143,750 143,750 143,750
Prepaid variable share forward
contract 0 0 0 0 0 0 150,000 0
Conversion of 4.5% senior
convertible notes 0 0 0 0 0 0 0 0
Conversion of 7% convertible notes 41,282 42,005 0 0 0 0 0 0
------- ------- -- -- -- -- -- -
(3) Converted shareholders' equity
excl. preferred shares,
PVSFC, AOCI, and fair value of
embedded derivatives $1,097,189 $1,137,431 $1,152,025 $1,190,115 $1,400,387 $1,402,920 $1,422,284 $1,387,118
(4) Ordinary shares outstanding, end
of period 39,931,145 40,022,945 45,453,472 45,627,372 53,391,939 53,655,856 53,745,156 60,554,104
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 3,320,020 3,164,021 2,575,732
Conversion of warrants 5,856,431 5,856,431 2,650,000 2,650,000 2,650,000 2,650,000 2,650,000 2,650,000
Conversion of mezzanine equity 6,099,025 6,383,214 6,099,025 6,099,025 6,099,025 6,099,025 7,440,500 7,440,500
Conversion of 4.5% senior
convertible notes 0 0 0 473,273 612,780 661,870 217,817 0
Prepaid variable share forward
contract 0 0 0 0 0 0 6,578,947 0
Conversion of 7% convertible notes 2,130,709 2,167,996 0 0 0 0 0 0
---------- ---------- -- -- -- -- -- -
(5) Fully converted ordinary shares
outstanding 56,508,546 57,490,422 57,402,433 58,209,106 66,144,680 66,386,771 73,796,441 73,220,336
Basic book value per ordinary share
(1) / (4) $21.60 $21.75 $20.99 $20.60 $21.48 $20.80 $17.73 $19.13
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 $21.89 $19.45 $19.27
Fully converted book value, excl. AOCI
and fair value
of embedded derivatives, per share
(3) / (5) $19.42 $19.78 $20.07 $20.45 $21.17 $21.13 $19.27 $18.94
- ---------------------------------------- ---------- ------------ ---------- --------- ---------- ---------- ---------- ----------
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-Sep 31-Dec 31-Mar 30-Jun 30-Sep 31-Dec 31-Mar 30-Jun 30-Sep
2004 2004 2005 2005 2005 2005 2006 2006 2006
- --------------------------------- ------------ ---------- --------- ---------- -------- -------- --------- --------- --------
REVENUES
Premiums earned, net $120,480 $113,629 $437,095 $408,877 $427,224 $541,679 $428,918 $407,549 $421,707
Investment income, net 53,250 54,374 77,531 80,956 88,490 94,562 123,941 136,763 151,872
Fee income 1,445 2,073 2,900 2,007 2,010 2,316 3,017 3,879 1,620
Realized gains (losses) (1,289) (6,826) 1,442 2,208 (160) (2,369) (13,919) (5,479) 173
Change in value of embedded
derivatives, net (5,509) 4,105 5,485 (22,120) (2,631) 10,774 10,146 7,366 (5,891)
------- ------ ------ -------- ------- ------- ------- ------ -------
TOTAL REVENUES 168,377 167,355 524,453 471,928 514,933 646,962 552,103 550,078 569,481
BENEFITS AND EXPENSES
Claims and other policy benefits 88,070 78,171 344,188 293,599 330,035 397,777 347,280 338,626 360,968
Interest credited to interest
sensitive contract
liabilities 27,685 29,182 30,642 31,723 36,724 33,879 42,701 55,399 42,423
Acquisition costs and other
insurance expenses, net 35,001 31,477 88,278 117,927 80,762 114,025 84,408 97,280 74,082
Operating expenses 4,437 4,865 11,673 10,221 12,981 13,974 14,592 14,538 14,569
Collateral finance facilities
expense 1,385 1,339 6,185 10,448 11,850 14,630 30,543 45,891 63,866
Interest expense 1,266 1,713 2,708 2,657 3,062 2,396 2,562 3,038 2,986
Due diligence costs 0 0 0 0 0 0 0 0 0
-- -- -- -- -- -- -- -- -
TOTAL BENEFITS AND EXPENSES 157,844 146,747 483,674 466,575 475,414 576,681 522,086 554,772 558,894
Income (loss) from continuing
operations before income taxes
and minority interest $10,533 $20,608 $40,779 $5,353 $39,519 $70,281 $30,017 ($4,694) $10,587
Pre-tax operating earnings (loss)
Pre-tax income (loss) $10,533 $20,608 $40,779 $5,353 $39,519 $70,281 $30,017 ($4,694) $10,587
Realized losses (gains) 1,289 6,826 (1,442) (2,208) 160 2,369 13,919 5,479 (173)
Change in value of embedded 5,509 (4,105) (5,485) 22,120 2,631 (10,774) (10,146) (7,366) 5,891
derivatives, net ------ ------- ------- ------- ------ -------- -------- ------- -----
Pre-tax operating earnings (loss) $17,331 $23,329 $33,852 $25,265 $42,310 $61,876 $33,790 ($6,581) $16,305
- --------------------------------- ------------ ---------- --------- ---------- -------- -------- --------- --------- --------
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-Sep 31-Dec 31-Mar 30-Jun 30-Sep 31-Dec 31-Mar 30-Jun 30-Sep
- --------------------------------- ------------ ---------- --------- ---------- -------- -------- --------- --------- --------
2004 2004 2005 2005 2005 2005 2006 2006 2006
- --------------------------------- ------------ ---------- --------- ---------- -------- -------- --------- --------- --------
REVENUES
Premiums earned, net $25,783 $38,460 $26,585 $28,016 $42,870 $21,584 $20,103 $37,393 $31,814
Investment income, net 2,105 2,195 2,590 2,352 2,734 3,812 2,989 8,971 8,528
Fee income 0 (2) 0 0 0 0 0 0 0
Realized gains (losses) 67 1,959 497 88 (82) 760 (1,138) (6,908) (2,832)
Change in value of embedded
derivatives, net 0 0 0 0 0 0 0 0 0
-- -- -- -- -- -- -- -- -
TOTAL REVENUES 27,955 42,612 29,672 30,456 45,522 26,156 21,954 39,456 37,510
BENEFITS AND EXPENSES
Claims and other policy benefits 16,631 24,938 19,085 17,894 26,092 13,835 27,183 33,475 16,745
Interest credited to interest
sensitive contract liabilities 0 0 0 0 0 0 0 0 0
Acquisition costs and other
insurance expenses, net 3,438 8,390 2,845 4,053 9,933 3,891 2,817 6,185 9,396
Operating expenses 4,941 5,692 5,849 7,285 6,728 5,414 5,777 7,874 7,678
Collateral finance facilities
expense 0 0 0 0 0 0 0 0 0
Interest expense 0 0 0 0 0 0 0 0 0
Due diligence costs 0 0 0 0 0 0 0 0 0
-- -- -- -- -- -- -- -- -
TOTAL BENEFITS AND EXPENSES 25,010 39,020 27,779 29,232 42,753 23,140 35,777 47,534 33,819
Income (loss) from continuing
operations before
income taxes and minority
interest $2,945 $3,592 $1,893 $1,224 $2,769 $3,016 ($13,823) ($8,078) $3,691
Pre-tax operating earnings
(loss)
Pre-tax income (loss) $2,945 $3,592 $1,893 $1,224 $2,769 $3,016 ($13,823) ($8,078) $3,691
Realized losses (gains) (67) (1,959) (497) (88) 82 (760) 1,138 6,908 2,832
Change in value of embedded
derivatives, net 0 0 0 0 0 0 0 0 0
-- -- -- -- -- -- -- -- -
Pre-tax operating earnings (loss) $2,878 $1,633 $1,396 $1,136 $2,851 $2,256 ($12,685) ($1,170) $6,523
- --------------------------------- ------------ ---------- --------- ---------- -------- -------- --------- --------- --------
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-Sep 31-Dec 31-Mar 30-Jun 30-Sep 31-Dec 31-Mar 30-Jun 30-Sep
2004 2004 2005 2005 2005 2005 2006 2006 2006
- --------------------------------- ------------ ---------- --------- ---------- ---------- ---------- ---------- --------- ----------
REVENUES
Premiums earned, net $0 $0 $0 $0 $0 $0 $0 $0 $0
Investment income, net 164 130 358 246 908 1,298 2,092 2,243 2,008
Fee income 1,100 789 724 778 791 790 716 760 760
Realized gains (losses) (2,176) 227 1,356 (1,362) 1,586 (226) 1,456 1,089 1,587
Change in value of embedded 0 0 0 0 0 0 0 0 0
derivatives, net -- -- -- -- -- -- -- -- -
TOTAL REVENUES (912) 1,146 2,438 (338) 3,285 1,862 4,264 4,092 4,355
BENEFITS AND EXPENSES
Claims and other policy
benefits 0 0 0 0 0 0 0 0 0
Interest credited to interest
sensitive
contract liabilities 0 0 0 0 0 0 0 0 0
Acquisition costs and other 450 425 519 514 519 509 306 1,407 2,763
insurance expenses, net
Operating expenses 3,836 7,132 7,047 8,994 13,200 12,207 10,723 16,953 17,200
Collateral finance facilities 0 1,235 1,373 1,380 1,045 544 1,345 3,457
expense
Interest expense 2,086 2,178 2,886 2,156 2,628 2,245 2,331 4,028 2,019
Due diligence costs 0 4,643 0 0 0 0 0 0 0
-- ------ -- -- -- -- -- -- -
TOTAL BENEFITS AND EXPENSES 6,372 14,378 11,687 13,037 17,727 16,006 13,904 23,733 25,439
Income (loss) from continuing
operations before
income taxes and minority
interest ($7,284) ($13,232) ($9,249) ($13,375) ($14,442) ($14,144) ($9,640) ($19,641) ($21,084)
Pre-tax operating earnings
(loss)
Pre-tax income (loss) ($7,284) ($13,232) ($9,249) ($13,375) ($14,442) ($14,144) ($9,640) ($19,641) ($21,084)
Realized losses (gains) 2,176 (227) (1,356) 1,362 (1,586) 226 (1,456) (1,089) (1,587)
Change in value of embedded
derivatives, net 0 0 0 0 0 0 0 0 0
-- -- -- -- -- -- -- -- -
Pre-tax operating earnings (loss) ($5,108) ($13,459) ($10,605) ($12,013) ($16,028) ($13,918) ($11,096) ($20,730) ($22,671)
- -------------------------------- ------------ ---------- --------- ---------- ---------- ---------- ---------- --------- ----------
PAGE 10
Scottish Re Group Limited
Supplemental Information - International Segment Operating Revenues by Business Line
(stated in thousands of United States Dollars)
(unaudited)
- ------------------------------------------------------------------------------------------------------------------------------------
Nine Nine Three Three Nine Nine Three Three
months months months months months months months months
ended ended ended ended ended ended ended ended
- ------------------------- ---------- ---------- --------- ---------- ----------------------- --------- ---------- -------- ---------
Operating Revenues 30-Sep-05 30-Sep-06 30-Sep-05 30-Sep-06 Operating Revenues 30-Sep-05 30-Sep-06 30-Sep-0530-Sep-06
- ------------------------- ---------- ---------- --------- ---------- ----------------------- --------- ---------- -------- ---------
NORTH AMERICA (1) MIDDLE EAST (2)
- ----------------- ---------------
Premiums earned, net $16,399 $17,685 $6,010 $6,206 Premiums earned, net $15,791 $17,728 $4,748 $6,266
Investment income, net 1,068 1,403 371 560 Investment income, 727 1,226 289 473
---------- ---------- --------- ---------- ----------------------- --------- ---------- -------- ---------
TOTAL $17,467 $19,088 $6,381 $6,766 TOTAL $16,518 $18,954 $5,037 $6,739
- ------------------------- ---------- ---------- --------- ---------- ----------------------- --------- ---------- -------- ---------
GLOBAL AVIATION (3) ASIA (4)
- ------------------- --------
Premiums earned, net $24,357 $13,174 $7,882 $6,081 Premiums earned, net $2,508 $4,249 $730 $1,058
Investment income, net 653 549 269 187 Investment income, net 42 134 20 41
---------- ---------- --------- ---------- ----------------------- --------- ---------- -------- ---------
TOTAL $25,010 $13,723 $8,151 $6,268 TOTAL $2,550 $4,383 $750 $1,099
- ------------------------- ---------- ---------- --------- ---------- ----------------------- --------- ---------- -------- ---------
UK & IRELAND TREATIES (5) UK & IRELAND ANNUITIES (6)
- ------------------------- ---------------------------
Premiums earned, net $2,113 $8,824 $674 $4,693 Premiums earned, net $0 $0 $0 $0
Investment income, net 59 254 18 129 Investment income, net 0 11,332 0 5,111
---------- ---------- --------- ---------- ----------------------- --------- ---------- -------- ---------
TOTAL $2,172 $9,078 $692 $4,822 TOTAL $0 $11,332 $0 $5,111
- ------------------------- ---------- ---------- --------- ---------- ----------------------- --------- ---------- -------- ---------
OTHER (7) TOTAL
- --------- -----
Premiums earned, net $36,303 $27,650 $22,826 $7,510 Premiums earned, net $97,471 $89,310 $42,870 $31,814
Investment income, net 5,127 5,590 1,767 2,027 Investment income, net 7,676 20,488 2,734 8,528
---------- ---------- --------- ---------- ----------------------- --------- ---------- -------- ---------
TOTAL $41,430 $33,240 $24,593 $9,537 TOTAL $105,147 $109,798 $45,604 $40,342
- ------------------------------------------------------------------------------------------------------------------------------------
Notes
- -----
(1) Represents assumed retroceded reinsurance on North American lives written mainly in 2002 and prior; currently in runoff
(2) Primarily Group business
(3) Represents aircrew loss of license business, primarily UK, Ireland, and Europe
(4) Represents primarily Japanese Kyosai business
(5) Represents long term life reinsurance treaties
(6) Represents reinsured annuity business
(7) Represents Other European, African, Latin American, Asian, and Middle Eastern business 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-Sept-06
North America International Total
Traditional Financial Traditional Financial Traditional Financial Corporate
Solutions Solutions Solutions Solutions Solutions Solutions & Other Total
- ------------------------------------------------------------------------------------------------------------------------------------
REVENUES
(1) Premiums earned, net $411,801 $9,906 $31,814 $0 $443,615 $9,906 $0 $453,521
Investment income, net 98,559 53,313 $3,398 $5,130 101,957 58,443 2,008 162,408
------- ------- ------- ------- -------- ------- ------ ---------
(2) TOTAL OPERATING REVENUES $510,360 $63,219 $35,212 $5,130 $545,572 $68,349 $2,008 $615,929
BENEFITS AND EXPENSES
(3) Claims and other policy $357,001 $3,967 $10,854 $5,891 $367,855 $9,858 $0 $377,713
benefits
(4) Interest credited to $0 $42,423 $0 $0 $0 $42,423 $0 $42,423
interest sensitive contract
liabilities
(5) Acquisition costs and $68,616 $5,466 $9,391 $5 $78,007 $5,471 $2,763 $86,241
other insurance expenses, net
RATIOS
Benefit Ratio (1) 86.7% 73.4% 34.1% 114.8% 82.9% 76.5% n/a 68.2%
Acquisition Ratio (2) 16.7% 8.6% 29.5% 0.1% 17.6% 8.0% n/a 14.0%
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Three Months Ended 30-Sept-05
North America International Total
Traditional Financial Traditional Financial Traditional Financial Corporate
Solutions Solutions Solutions Solutions Solutions Solutions & Other Total
- ------------------------------------------------------------------------------------------------------------------------------------
REVENUES
(1) Premiums earned, net $419,846 $7,378 $42,870 $0 $462,716 $7,378 $0 $470,094
Investment income, net 42,717 45,773 $2,734 $0 45,451 45,773 908 92,132
------- ------- ------- --- ------- ------- ---- --------
(2) TOTAL OPERATING REVENUES $462,563 $53,151 $45,604 $0 $508,167 $53,151 $908 $562,226
BENEFITS AND EXPENSES
(3) Claims and other policy $318,648 $11,387 $26,092 $0 $344,740 $11,387 $0 $356,127
benefits
(4) Interest credited to $0 $36,724 $0 $0 $0 $36,724 $0 $36,724
interest sensitive contract
liabilities
(5) Acquisition costs and $75,305 $5,457 $9,933 $0 $85,238 $5,457 $519 $91,214
other insurance expenses, net
RATIOS
Benefit Ratio (1) 75.9% 90.5% 60.9% n/a 74.5% 90.5% n/a 69.9%
Acquisition Ratio (2) 17.9% 10.3% 23.2% n/a 18.4% 10.3% n/a 16.2%
- ------------------------------------------------------------------------------------------------------------------------------------
(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)
- -----------------------------------------------------------------------------------------------------------------------------------
Nine Months Ended 30-Sep-06
North America International Total
----------------------------------- ----------------------- ---------------------------------- --------
Traditional Financial Traditional Financial Traditional Financial Corporate
Solutions Solutions Solutions Solutions Solutions Solutions & Other Total
- -------------------------- -------------------- --------------- -------------- --------- ------------ ---------- ---------- --------
REVENUES
(1) Premiums earned,
net $1,231,856 $26,318 $89,310 $0 $1,321,166 $26,318 0 $1,347,484
Investment income, net 238,654 173,922 9,137 11,351 247,791 185,273 6,343 439,407
-------- -------- ------ ------- -------- -------- ------ -----------
(2) TOTAL OPERATING
REVENUES $1,470,510 $200,240 $98,447 $11,351 $1,568,957 $211,591 $6,343 $1,786,891
BENEFITS AND EXPENSES
(3) Claims and other
policy benefits $1,021,216 $25,658 $66,013 $11,390 $1,087,229 $37,048 $0 $1,124,277
(4) Interest credited to
interest sensitive
contract liabilities $0 $140,523 $0 $0 $0 $140,523 $0 $140,523
(5) Acquisition costs
and other insurance
expenses, net $220,139 $35,631 $18,393 $5 $238,532 $35,636 $4,476 $278,644
RATIOS
Benefit Ratio (1) 82.9% 83.0% 73.9% 100.3% 82.3% 83.9% n/a 70.8%
Acquisition Ratio (2) 17.9% 17.8% 20.6% 0.0% 18.1% 16.8% n/a 15.6%
- -------------------------------------------- --------------- -------------- --------- ------------ ---------- ---------- -----------
- -------------------------------------------- --------------- -------------- --------- ------------ ---------- ---------- -----------
Nine Months Ended 30-Sep-05
North America International Total
------------------------------- ----------------------- ---------------------------------- ------------
Traditional Financial Traditional Financial Traditional Financial Corporate
Solutions Solutions Solutions Solutions Solutions Solutions & Other Total
- -------------------------- ---------------- --------------- -------------- --------- ------------ ---------- ---------- -----------
REVENUES
(1) Premiums earned, net $1,236,994 $36,202 $97,471 $0 $1,334,465 $36,202 $0 $1,370,667
Investment income, net 109,721 137,256 7,676 0 117,397 137,256 $1,512 256,165
----------------- --------------- -------------- --------- ------------ ---------- ---------- ----------
(2) TOTAL OPERATING
REVENUES $1,346,715 $173,458 $105,147 $0 $1,451,862 $173,458 $1,512 $1,626,832
BENEFITS AND EXPENSES
(3) Claims and other
policy benefits $926,217 $41,605 $63,071 $0 $989,288 $41,605 $0 $1,030,893
(4) Interest credited to
interest sensitive
contract liabilities $0 $99,089 $0 $0 $0 $99,089 $0 $99,089
(5) Acquisition costs
and other insurance
expenses, net $256,373 $30,594 $16,831 $0 $273,204 $30,594 $1,552 $305,350
RATIOS
Benefit Ratio (1) 74.9% 81.1% 64.7% n/a 74.1% 81.1% n/a 69.5%
Acquisition Ratio (2) 20.7% 17.6% 17.3% n/a 20.5% 17.6% n/a 18.8%
- -------------------------- ----------------- --------------- -------------- --------- ------------ ---------- ---------- -----------
(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 13
Scottish Re Group Limited
Supplemental Information - Investments
(stated in millions of United States Dollars)
(unaudited)
- ------------------------------------------------------------------------------------------------------------------------------------
30-Sep-05 31-Dec-05 31-Mar-06 30-Jun-06 30-Sep-06
Market Market Market Market Market
Value % Value % Value % Value % Value %
- ----------------------------------------- --------- ------- --------- ------ ---------- ------ --------- ------- -------- ----------
TOTAL PORTFOLIO
BY RATINGS
AAA $2,666.2 35.6% $3,723.5 40.0% $3,605.1 38.8% $4,591.4 39.0% $4,246.8 39.0%
AA 869.0 11.6% 1,215.0 13.1% 1,275.4 13.7% 2,099.6 17.9% 2,168.8 19.9%
A 2,137.0 28.6% 2,388.6 25.7% 2,405.4 25.9% 3,102.5 26.4% 2,655.1 24.4%
BBB 1,578.8 21.1% 1,763.4 18.9% 1,790.9 19.3% 1,761.0 15.0% 1,613.9 14.8%
BB and below 110.7 1.5% 106.0 1.1% 105.7 1.1% 98.6 0.8% 101.3 0.9%
Subtotal 7,361.7 98.4% 9,196.5 98.8% 9,182.5 98.8% 11,653.1 99.1% 10,785.9 99.0%
Commercial mortgage loans 123.0 1.6% 112.6 1.2% 108.0 1.2% 105.5 0.9% 103.5 1.0%
--------- ------- --------- ------ ---------- ------ --------- ------- --------- --------
TOTAL $7,484.7 100.0% $9,309.1 100.0% $9,290.5 100.0% $11,758.6 100.0% $10,889.4 100.0%
- ----------------------------------------- --------- ------- --------- ------ ---------- ------ --------- ------- --------- --------
- ----------------------------------------- ----------------- ---------------- ----------------- ----------------- -----------------
Weighted Average Rating AA- AA- AA- AA- AA-
- ----------------------------------------- ----------------- ---------------- ----------------- ----------------- -----------------
- ----------------------------------------- --------- ------- --------- ------ ---------- ------ --------- ------- -------- --------
BY SECTOR
U.S. Treasury securities and U.S.
government agency obligations $64.8 0.9% $110.1 1.2% $267.0 2.9% $180.3 1.5% $111.4 1.0%
Corporate securities 3,167.4 42.3% 3,688.3 39.6% 3,632.4 39.1% 4,378.4 37.2% 4,049.8 37.2%
Municipal bonds 69.6 0.9% 70.6 0.8% 73.3 0.8% 80.2 0.7% 82.2 0.8%
Mortgage and asset-backed securities 3,526.0 47.1% 3,745.2 40.2% 4,464.4 48.0% 5,408.0 46.0% 5,275.8 48.4%
Preferred stock 159.9 2.1% 137.0 1.5% 135.0 1.4% 130.8 1.1% 132.7 1.2%
Commercial mortgage loans 123.0 1.7% 112.6 1.2% 108.0 1.2% 105.5 0.9% 103.5 1.0%
--------- ------- --------- ------ ---------- ------ --------- ------- --------- --------
Subtotal $7,110.7 95.0% $7,863.8 84.5% $8,680.1 93.4% $10,283.2 87.4% $9,755.4 89.6%
Cash 374.0 5.0% 1,445.3 15.5% 610.4 6.6% 1,475.4 12.6% 1,134.0 10.4%
--------- ------- --------- ------ ---------- ------ --------- ------- --------- -------
TOTAL $7,484.7 100.0% $9,309.1 100.0% $9,290.5 100.0% $11,758.6 100.0% $10,889.4 100.0%
- ----------------------------------------- --------- ------- --------- ------ ---------- ------ --------- ------- --------- -------
Weighted Average Book Yield 5.1% 5.1% 5.3% 5.5% 5.6%
Option Adjusted Duration (years) 3.9 3.6 3.5 3.4 3.3
- ------------------------------------------------------------------------------------------------------------------------------------
PAGE 14
Scottish Re Group Limited
Supplemental Information - Investments continued
(stated in millions of United States Dollars)
(unaudited)
- -----------------------------------------------------------------------------------------------------------------------------------
30-Sep-05 31-Dec-05 31-Mar-06 30-Jun-06 30-Sep-06
Market Market Market Market Market
Value % Value % Value % Value % Value %
- ------------------------------------------ ----------- ------ --------- ------ ---------- ------ --------- ------ --------- -------
CORE PORTFOLIO EXCL. TRIPLE X
- ------------------------------
TRANSACTIONS (1)
BY RATINGS
AAA $1,280.1 31.7% $1,208.9 30.7% $1,284.5 32.5% $1,119.7 26.0% $1,114.5 33.8%
AA 419.0 10.4% 416.5 1 0.6% 405.0 10.3% 540.7 12.6% 386.0 11.7%
A 1,364.2 33.8% 1,316.8 3 3.5% 1,277.9 32.4% 1,629.0 37.9% 943.8 28.6%
BBB 941.0 23.4% 965.1 24.5% 954.4 24.1% 983.1 22.9% 833.1 25.2%
BB and below 28.1 0.7% 28.0 0.7% 27.7 0.7% 24.4 0.6% 24.0 0.7%
----------- ------ --------- ------ ---------- ------ --------- ------ --------- -------
TOTAL $4,032.4 100.0% $3,935.3 100.0% $3,949.5 100.0% $4,296.9 100.0% $3,301.4 100.0%
- ------------------------------------------ ----------- ------ --------- ------ ---------- ------ --------- ------ --------- -------
- ------------------------------------------ ------------------ ---------------- ----------------- ---------------- -----------------
Weighted Average Rating A+ A+ A+ A+ AA-
- ------------------------------------------ ------------------ ---------------- ----------------- ---------------- -----------------
BY SECTOR
U.S. Treasury securities
and U.S. government agency
obligations $28.9 0.7% $31.2 0.8% $27.5 0.7% $88.9 2.1% $12.5 0.4%
Corporate securities 1,744.1 43.3% 1,701.4 43.2% 1,685.1 42.7% 2,074.9 48.3% 1,584.3 48.0%
Municipal bonds 36.5 0.9% 36.5 0.9% 35.4 0.9% 37.5 0.9% 38.2 1.1%
Mortgage and asset-backed
securities 1,732.4 43.0% 1,679.1 42.7% 1,693.4 42.9% 1,791.0 41.6% 1,273.8 38.6%
Preferred stock 156.4 3.9% 133.8 3.4% 131.7 3.3% 128.2 3.0% 129.9 3.9%
----------- ------ --------- ------ ---------- ------ --------- ------ --------- -------
Subtotal $3,698.3 91.8% $3,582.0 91.0% $3,573.1 90.5% $4,120.5 95.9% $3,038.7 92.0%
Cash 334.1 8.2% 353.3 9.0% 376.4 9.5% 176.4 4.1% 262.7 8.0%
----------- ------ --------- ------ ---------- ------ --------- ------ --------- -------
TOTAL $4,032.4 100.0% $3,935.3 100.0% $3,949.5 100.0% $4,296.9 100.0% $3,301.4 100.0%
- ------------------------------------------ ----------- ------ --------- ------ ---------- ------ --------- ------ --------- -------
Weighted Average Book Yield 5.0% 5.1% 5.2% 5.5% 5.4%
Option Adjusted Duration (years) 4.2 4.0 4.0 4.8 4.4
- ------------------------------------------------------ ------ --------- ------ ---------- ------ --------- ------ --------- -------
(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-Sep-05 31-Dec-05 31-Mar-06 30-Jun-06 30-Sep-06
Market Market Market Market Market
Value % Value % Value % Value % Value %
- ------------------------------------ ----------- -------- ----------- -------- --------- ------- --------- ------ --------- ------
FUNDS WITHHELD AT INTEREST (1)
- ------------------------------
BY RATINGS
AAA $433.0 22.8% $706.0 27.5% $630.5 24.9% $504.0 23.9% $413.4 20.0%
AA 90.7 4.8% 145.9 5.7% 146.4 5.8% 144.5 6.9% 166.5 8.1%
A 537.4 28.3% 741.7 28.8% 736.8 29.1% 615.6 29.2% 627.9 30.4%
BBB 628.5 33.2% 785.8 30.6% 829.5 32.8% 661.8 31.4% 674.6 32.7%
BB and below 82.6 4.4% 78.0 3.0% 78.0 3.1% 74.2 3.6% 77.3 3.8%
----------- -------- ----------- -------- --------- ------- --------- ------ --------- ------
Subtotal 1,772.2 93.5% 2,457.4 95.6% 2,421.2 95.7% 2,000.1 95.0% 1,959.7 95.0%
Commercial mortgage loans 123.0 6.5% 112.6 4.4% 108.0 4.3% 105.5 5.0% 103.5 5.0%
----------- -------- ----------- -------- --------- ------- --------- ------ --------- ------
TOTAL $1,895.2 100.0% $2,570.0 100.0% $2,529.2 100.0% $2,105.6 100.0% $2,063.2 100.0%
- ------------------------------------ ----------- -------- ----------- -------- --------- ------- --------- ------ --------- ------
Weighted Average Rating A A+ A A A
- ------------------------------------ -------------------- -------------------- ----------------- ---------------- ----------------
BY SECTOR
U.S. Treasury securitie
and U.S. government agency
obligations $26.9 1.4% $62.2 2.4% $195.1 7.7% $47.4 2.3% $45.9 2.2%
Corporate securities 1,208.1 63.7% 1,631.3 63.5% 1,561.2 61.7% 1,381.8 65.6% 1,428.1 69.3%
Municipal bonds 33.1 1.7% 33.0 1.3% 31.4 1.2% 28.4 1.3% 29.2 1.4%
Mortgage and asset-backed
securities 497.6 26.3% 595.1 23.1% 583.2 23.1% 462.4 22.0% 489.1 23.7%
Preferred stock 3.5 0.2% 3.2 0.1% 3.3 0.1% 2.6 0.1% 2.8 0.1%
Commercial mortgage loans 123.0 6.5% 112.6 4.4% 108.0 4.3% 105.5 5.0% 103.5 5.0%
Subtotal 1,892.2 99.8% 2,437.4 94.8% 2,482.2 98.1% 2,028.1 96.3% 2,098.6 101.7%
Cash 3.0 0.2% 132.6 5.2% 47.0 1.9% 77.5 3.7% (35.4) -1.7%
----------- -------- ----------- -------- --------- ------- --------- ------ --------- ------
TOTAL $1,895.2 100.0% $2,570.0 100.0% $2,529.2 100.0% $2,105.6 100.0% $2,063.2 100.0%
- ------------------------------------ ----------- -------- ----------- -------- --------- ------- --------- ------ --------- ------
Weighted Average Book Yield 5.8% 5.6% 5.7% 5.8% 6.0%
Option Adjusted Duration (years) 5.1 5.1 4.7 4.5 4.8
- ----------------------------------------------------------------------------------------------------------------------------------
(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-Sep-05 31-Dec-05 31-Mar-06 30-Jun-06 30-Sep-06
Market Market Market Market Market
Value % Value % Value % Value % Value %
- ------------------------------------ ----------- -------- ----------- ------ ---------- ------ --------- ------- --------- ------
TRIPLE X TRANSACTIONS (1)
- -------------------------
BY RATINGS
AAA $953.1 61.2% $1,808.6 64.5% $1,690.1 60.1% $2,967.7 55.4% $2,718.9 49.2%
AA 359.3 23.1% 652.6 23.3% 724.0 25.8% 1,414.4 26.4% 1,616.3 29.3%
A 235.4 15.1% 330.1 11.8% 390.7 13.9% 857.9 16.0% 1,083.4 19.6%
BBB 9.3 0.6% 12.5 0.4% 7.0 0.2% 116.1 2.2% 106.2 1.9%
BB and below 0.0 0.0% 0.0 0.0% 0.0 0.0% 0.0 0.0% 0.0 0.0%
Not Rated (2) 0.0 0.0% 0.0 0.0% 0.0 0.0% 0.0 0.0% 0.0 0.0%
----------- -------- ----------- ------ ---------- ------ --------- ------- --------- ------
TOTAL $1,557.1 100.0% $2,803.8 100.0% $2,811.8 100.0% $5,356.1 100.0% $5,524.8 100.0%
- ------------------------------------ ----------- -------- ----------- ------ ---------- ------ --------- ------- --------- ------
Weighted Average Rating AA+ AA+ AA+ AA+ AA+
- ------------------------------------ -------------------- ------------------ ----------------- ----------------- ----------------
BY SECTOR
U.S. Treasury securities
and U.S. government
agency obligations $9.0 0.6% $16.7 0.6% $44.4 1.6% $44.0 0.8% $53.0 1.0%
Corporate securities 215.2 13.8% 355.6 12.7% 386.1 13.7% 921.7 17.2% 1,037.4 18.7%
Municipal bonds 0.0 0.0% 1.1 0.0% 6.5 0.2% 14.3 0.3% 14.8 0.3%
Mortgage and asset-backed
securities 1,296.0 83.2% 1,471.0 52.5% 2,187.8 77.8% 3,154.6 58.9% 3,512.9 63.6%
Preferred stock 0.0 0.0% 0.0 0.0% 0.0 0.0% 0.0 0.0% 0.0 0.0%
----------- -------- ----------- ------ ---------- ------ --------- ------- --------- ------
Subtotal 1,520.2 97.6% 1,844.4 65.8% 2,624.8 93.3% 4,134.6 77.2% 4,618.1 83.6%
Cash 36.9 2.4% 959.4 34.2% 187.0 6.7% 1,221.5 22.8% 906.7 16.4%
----------- -------- ----------- ------ ---------- ------ --------- ------- --------- ------
TOTAL $1,557.1 100.0% $2,803.8 100.0% $2,811.8 100.0% $5,356.1 100.0% $5,524.8 100.0%
- ------------------------------------ ----------- -------- ----------- ------ ---------- ------ --------- ------- --------- ------
Weighted Average Book Yield 4.3% 4.5% 5.0% 5.5% 5.5%
Option Adjusted Duration (years) 1.9 1.6 1.7 1.9 2.0
- ---------------------------------------------------------------------------- ----------------------------------------------------
(1) Includes assets in trust related to excess reserves, economic reserves, surplus, debt service accounts, etc.
(2) 30-Jun-05 contains one security that was purchased during Q2 2005 but was not rated until Q3 2005
PAGE 17
Scottish Re Group Limited
Supplemental Information - North America Life Reinsurance
(stated in United States Dollars)
(unaudited)
- -----------------------------------------------------------------------------------------------------------------------------------
30-Sep 31-Dec 31-Mar 30-Jun 30-Sep 31-Dec 31-Mar 30-Jun 30-Sep
2004 2004 2005 2005 2005 2005 2006 2006 2006
- -------------------- ------------ ------------ ------------ ------------ ------------ ------------- --------- ---------- ----------
Traditional life
reinsurance
inforce
($billions) $307.4 $1,006.6 $1,019.1 $1,025.8 $1,023.6 $1,025.8 $1,025.0 $1,024.6 $1,024.6
Lives covered
(millions) 7.5 14.2 13.5 13.9 13.9 13.5 14.1 14.2 14.3
Average benefit
per life $40,927 $70,642 $75,765 $73,942 $73,740 $75,757 $72,835 $72,178 $71,870
- ------------------------------------------------------------------------------------------------------------------------ ----------
Supplemental Information - North America Financial Solutions
(stated in thousands of United States Dollars)
(unaudited)
- ------------------------------------------------------------------------------------------------------------------------ ----------
30-Sep 31-Dec 31-Mar 30-Jun 30-Sep 31-Dec 31-Mar 30-Jun 30-Sep
2004 2004 2005 2005 2005 2005 2006 2006 2006
- -------------------- ------------ ------------ ------------ ------------ ------------ ------------- --------- ---------- ----------
GAAP reserves (1)
Fixed annuities $2,425,838 $2,472,526 $2,539,595 $2,561,582 $2,563,438 $3,187,938 $3,222,878$3,240,312 $3,119,601
Funding agreements 500,493 500,634 500,746 500,584 500,800 500,858 575,873 651,998 0
Life insurance 405,223 379,948 392,781 398,038 388,131 379,336 365,470 324,743 323,690
Disabled life
reserves 73,512 72,301 68,093 69,525 67,924 65,365 63,067 61,521 59,527
Credit life and
other 13,650 16,692 18,573 20,451 24,373 26,786 26,890 27,432 27,169
------------ ------------ ------------ ------------ ------------ ------------- --------- ---------- ----------
TOTAL $3,418,716 $3,442,101 $3,519,788 $3,550,180 $3,544,666 $4,160,283 $4,254,178$4,306,006 $3,529,987
- --------------------------------------------------------------------------------------------------- --------- ---------- ----------
(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
Finance
Transaction Consolidated Facility
Closing in Financial Liability
Facility Date Statements? (millions) Other Details
- ------------ ------------- -------------- ----------- -----------------------------------------------------------------------------
HSBC I 25-Jun-04 Yes $188 This facility provides up to $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.
- ------------ ------------- -------------- ----------- -----------------------------------------------------------------------------
Stingray 12-Jan-05 No n/a * We acquired an irrevocable put option to issue up to $325 million of funding
(except debt agreements to Stingray Investor Trust in return for the assets of a portfolio
obligations) of 30-day commercial paper. This put option may be exercised at any time.
This facility may also provide collateral for Scottish Re (U.S.), Inc. for
reinsurance obligations under intercompany quota share reinsurance agreements.
This facility matures 12-Jan-15.
- ------------ ------------- -------------- ----------- ------------------------------------------------------------------------------
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.
- ----------------------------------------------------- ------------------------------------------------------------------------------
* $265 million included in Interest Sensitive
Contract Liabilities
PAGE 19
- -----------------------------------------------------------------------------------------------------------------------------------
Scottish Re Group Limited
Supplemental Information - Collateral Finance Facilities: Summary of Key Terms - continued
(unaudited)
- -----------------------------------------------------------------------------------------------------------------------------------
Collateral
Finance
Transaction Consolidated Facility
Closing in Liability
Financial
Facility Date Statements? (millions) Other Details
- ------------------- ----------- ------------ -------- -----------------------------------------------------------------------------
HSBC II 22-Dec-05 Yes $518 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.
- ------------------- ----------- ------------ -------- -----------------------------------------------------------------------------
Reinsurance 22-Dec-05 No n/a This long term reinsurance facility with a third party, Bermuda-domiciled
Facility 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 $1,742 Ballantyne Re plc issued $1.74 billion of debt to external investors and
$178 million of debt to Scottish Annuity & Life Insurance Co. (Cayman) Ltd.
Proceeds from this offering were used to fund the Regulation XXX reserve
requirements for the business acquired from ING America Insurance Holdings,
Inc. Proceeds from the offering have been deposited into a series of accounts
that collateralize the reserve obligations of Scottish Re (U.S.), Inc. 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 30-Sep-06)
- -------------------------------------------------------------------------------------------------------------
Moody's
A.M. Best Fitch Investors Standard
Company Company (1) Ratings Service & Poor's
(2) (3) (2)
- ----------------------------------------------------------- ----------------- ---------- --------- ----------
Scottish Annuity and Life Insurance Co. (Cayman) Ltd. B+ BBB Baa3 BBB-
Scottish Re (U.S.), Inc. B+ BBB Baa3 BBB-
Scottish Re Ltd. B+ BBB - - BBB-
Scottish Re Life Corp. B+ - - - - BBB-
- ----------------------------------------------------------- ----------------- ---------- --------- ----------
(1) Ratings under review with negative implications
(2) Negative watch
(3) Ratings under review; direction uncertain
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
Lehman Brothers Eric N. Berg 212-526-2805
Oppenheimer & Co. Richard Sbaschnig, CFA 212-668-4474
UBS Andrew Kligerman 212-713-2492
Wachovia Securities John A. Hall 212-214-8032
- ----------------------------------------------------------- ---------------------------- --------------------
PAGE 21
Investor Relations Contact:
- --------------------------
Dean E. Miller
EVP & Chief Financial Officer
Scottish Re Group Limited
(441) 298-4395
dean.miller@scottishre.com