MONTPELIER RE HOLDINGS LTD - FORM 8-K - EX-99.2

Attached files

file	filename
8-K - 8-K - MONTPELIER RE HOLDINGS LTD	a11-5556_18k.htm
EX-99.1 - EX-99.1 - MONTPELIER RE HOLDINGS LTD	a11-5556_1ex99d1.htm

Exhibit 99.2

		Financial Supplement

		December 31, 2010

contact: telephone: email:	William Pollett, Treasurer +1(441) 299 7576 bill.pollett@montpelierre.bm	This report is for informational purposes only. It should be read in conjunction with other documents filed by Montpelier Re Holdings Ltd. pursuant to the Securities Exchange Act of 1934.

Application of the Safe Harbor of the Private Securities Litigation Reform Act of 1995:

This financial supplement contains forward-looking statements within the meaning of the United States federal securities laws, pursuant to the safe harbor provisions of the Private Securities Litigation Reform Act of 1995, that are not historical facts, including statements about our beliefs and expectations. These statements are based upon current plans, estimates and projections. Forward-looking statements rely on a number of assumptions concerning future events and are subject to a number of uncertainties and various risk factors, many of which are outside our control, that could cause actual results to differ materially from such statements. See “Risk Factors” contained in our Annual Report on Form 10-K for the fiscal year ended December 31, 2009 as filed with the Securities and Exchange Commission. In particular, statements using words such as “may,” “should,” “estimate,” “expect,” “anticipate,” “intend,” “believe,” “predict,” “potential,” or words of similar meaning generally involve forward-looking statements.

Important events and uncertainties that could cause our actual results, future dividends or future common share repurchases to differ include, but are not necessarily limited to: market conditions affecting our common share price; the possibility of severe or unanticipated losses from natural or man-made catastrophes, including those that may result from changes in climate conditions, including, but not limited to, global temperatures and expected sea levels; the effectiveness of our loss limitation methods; our dependence on principal employees; our ability to execute our business plans effectively; increases in our general and administrative expenses due to new business ventures, which expenses may not be recoverable through additional profits; the cyclical nature of the insurance and reinsurance business; the levels of new and renewal business achieved; opportunities to increase writings in our core property and specialty insurance and reinsurance lines of business and in specific areas of the casualty reinsurance market and our ability to capitalize on those opportunities; the sensitivity of our business to financial strength ratings established by independent rating agencies; the inherent uncertainty of our risk management process, which is subject to, among other things, industry loss estimates and estimates generated by modeling techniques; the accuracy of estimates reported by cedants and brokers on pro rata contracts and certain excess of loss contracts where a deposit or minimum premium is not specified in the contract; the inherent uncertainties of establishing reserves for loss and loss adjustment expenses, particularly on longer-tail classes of business such as casualty; unanticipated adjustments to premium estimates; changes in the availability, cost or quality of reinsurance or retrocessional coverage; changes in general economic and financial market conditions; changes in and the impact of governmental legislation or regulation, including changes in tax laws in the jurisdictions where we conduct business; our ability to assimilate effectively the additional regulatory issues created by our entry into new markets; the amount and timing of reinsurance recoverables and reimbursements we actually receive from our reinsurers; the overall level of competition, and the related demand and supply dynamics in our markets relating to growing capital levels in our industry; declining demand due to increased retentions by cedants and other factors; the impact of terrorist activities on the economy; rating agency policies and practices; unexpected developments concerning the small number of insurance and reinsurance brokers upon whom we rely for a large portion of revenues; our dependence as a holding company upon dividends or distributions from our operating subsidiaries; and the impact of foreign currency fluctuations.

We undertake no obligation to publicly update or revise any forward looking statements, whether as a result of new information, future events or otherwise. Readers are cautioned not to place undue reliance on these forward-looking statements, which speak only as of the dates on which they are made.

MONTPELIER RE HOLDINGS LTD.

Table of Contents

Page

1	Consolidated Financial Highlights

2	Summary Consolidated Balance Sheets

3	Summary Consolidated Income Statements

4	Net Insurance and Reinsurance Premiums Written by Line of Business

5	Net Insurance and Reinsurance Premiums Earned by Line of Business

6	Rollforward of Loss Reserves

7	Losses and Loss Ratios by Line of Business

8	Consolidated Investment Portfolio

9	Consolidated Investment Detail - Mortgage-Backed and Asset-Backed Securities

10	Consolidated Investment Detail - Corporate Bonds

11	Reinsurance Recoverable by Rating

12	Fully Converted Book Value Per Share

13	Basic and Diluted Earnings Per Share

14	Financial Measures Disclosures

MONTPELIER RE HOLDINGS LTD.

Consolidated Financial Highlights (unaudited)

$ in millions, except per share amounts

	Three months ended								Year-to-date
	December 31								December 31						% change
	2010			2009			% change		2010			2009			YTD
*Highlights*
Gross insurance and reinsurance premiums written	$	102.3		$	79.1		29	%	$	720.0		$	634.9		13	%
Net insurance and reinsurance premiums written	$	91.2		$	74.2		23	%	$	668.8		$	602.2		11	%
Net insurance and reinsurance premiums earned	$	162.2		$	154.8		5	%	$	625.4		$	573.2		9	%
Net investment income	$	16.6		$	21.3		-22	%	$	74.1		$	81.0		-9	%
Operating income (1)	$	53.9		$	94.1		-43	%	$	164.0		$	270.8		-39	%
Net income	$	42.2		$	104.7		-60	%	$	212.0		$	463.5		-54	%
Comprehensive income	$	41.8		$	103.0		-59	%	$	208.7		$	463.8		-55	%
Total assets									$	3,219.4		$	3,099.2		4	%
Common shareholders’ equity									$	1,628.8		$	1,728.5		-6	%

*Per share data*
Operating income per share (2)	$	0.81		$	1.12				$	2.30		$	3.13
Comprehensive income per share (2)	$	0.62		$	1.23				$	2.92		$	5.36
Fully converted book value per share (3)									$	24.61		$	21.14
Fully converted tangible book value per share (3)									$	24.53		$	21.08

*Financial ratios*
Loss and loss adjustment expense ratio:
Current year	53.7		%	27.1		%			65.8		%	37.4		%
Prior year	-15.1		%	-15.7		%			-17.5		%	-13.2		%
Loss and loss adjustment expense ratio	38.6		%	11.4		%			48.3		%	24.2		%
Acquisition costs ratio	17.3		%	12.7		%			15.8		%	14.0		%
General and administrative expense ratio	18.2		%	24.6		%			17.9		%	24.0		%
Combined ratio	74.1		%	48.7		%			82.0		%	62.2		%

Operating income / Avg shareholders’ equity	3.3		%	5.5		%			10.0		%	17.3		%

Change in FCBVPS adjusted for dividends (4)	4.0		%	7.3		%			18.1		%	34.6		%

(1) Excludes net investment and foreign exchange gains and losses and gain on early extinguishment of debt.

(2) See Page 13 for calculation and Page 14 for a discussion of our use of certain Financial Measures Disclosures.

(3) See Page 12 for calculation and Page 14 for a discussion of our use of certain Financial Measures Disclosures.

(4) Change in FCBVPS adjusted for dividends represents the change in fully converted book value per share in the period adjusted for dividends declared. See page 14 for a discussion of our use of certain Financial Measures Disclosures.

MONTPELIER RE HOLDINGS LTD.

Summary Consolidated Balance Sheets (unaudited)

in millions, except per share amounts

	Dec 31		Sept 30		June 30		Mar 31		Dec 31
	2010		2010		2010		2010		2009

ASSETS
Investments, cash and cash equivalents	$	2,791.7	$	2,792.3	$	2,672.0	$	2,623.0	$	2,708.7
Insurance and reinsurance premiums receivable	201.6		257.0		294.6		250.3		161.5
Deferred insurance and reinsurance acquisition costs	45.0		52.1		52.9		47.5		38.2
Reinsurance recoverable on paid and unpaid losses	75.3		77.3		74.7		111.7		114.1
Unearned reinsurance premiums ceded	22.9		26.7		14.2		20.0		14.7
Other assets	82.9		56.4		95.8		74.4		62.0

Total Assets	$	3,219.4	$	3,261.8	$	3,204.2	$	3,126.9	$	3,099.2

LIABILITIES
Loss and loss adjustment expense reserves	$	784.6	$	781.4	$	776.0	$	779.4	$	680.8
Unearned insurance and reinsurance premiums	264.0		340.9		360.2		318.4		215.4
Debt	327.7		327.7		327.7		328.6		328.6
Other liabilities	214.3		143.4		118.9		142.0		145.9

Total Liabilities	1,590.6		1,593.4		1,582.8		1,568.4		1,370.7

SHAREHOLDERS’ EQUITY
Common shareholder’s equity	1,628.8		1,668.4		1,621.4		1,558.5		1,728.5

Total Liabilities and Shareholders’ Equity	$	3,219.4	$	3,261.8	$	3,204.2	$	3,126.9	$	3,099.2

Fully converted book value per share (1)	$	24.61	$	23.76	$	22.31	$	21.36	$	21.14

Fully converted tangible book value per share (1)	$	24.53	$	23.69	$	22.24	$	21.29	$	21.08

(1) See Page 12 for calculation and Page 14 for a discussion of our use of certain Financial Measures Disclosures.

MONTPELIER RE HOLDINGS LTD.

Summary Consolidated Income Statements (unaudited)

$ in millions, except per share amounts

																YTD			YTD
	Q4-10			Q3-10			Q2-10			Q1-10			Q4-09			2010			2009

Underwriting revenues
Gross insurance and reinsurance premiums written	$	102.3		$	143.4		$	199.5		$	274.8		$	79.1		$	720.0		$	634.9
Reinsurance premiums ceded	(11.1		)	(23.7		)	(3.5		)	(12.9		)	(4.9		)	(51.2		)	(32.7		)
Net insurance and reinsurance premiums written	91.2			119.7			196.0			261.9			74.2			668.8			602.2

Gross insurance and reinsurance premiums earned	176.7			168.0			157.9			165.4			163.1			668.0			613.5
Earned reinsurance premiums ceded	(14.5		)	(11.6		)	(9.6		)	(6.9		)	(8.3		)	(42.6		)	(40.3		)
Net insurance and reinsurance premiums earned	162.2			156.4			148.3			158.5			154.8			625.4			573.2

Loss and loss adjustment expenses	(62.5		)	(52.0		)	(43.6		)	(144.2		)	(17.7		)	(302.3		)	(138.7		)
Insurance and reinsurance acquisition costs	(28.1		)	(24.8		)	(23.4		)	(22.4		)	(19.7		)	(98.7		)	(80.5		)
Operating expenses	(21.9		)	(21.9		)	(16.5		)	(23.1		)	(24.8		)	(83.4		)	(97.0		)
Incentive compensation expenses	(7.6		)	(9.8		)	(5.3		)	(6.0		)	(13.2		)	(28.7		)	(40.1		)
Underwriting income (loss)	42.1			47.9			59.5			(37.2		)	79.4			112.3			216.9

Net investment income	16.6			18.7			20.3			18.5			21.3			74.1			81.0
Interest and other financing expenses	(6.0		)	(6.0		)	(6.1		)	(6.5		)	(6.5		)	(24.6		)	(26.3		)
Other revenue	0.5			0.1			—			0.2			—			0.8			0.5
Other non-underwriting expenses	(0.1		)	0.1			0.1			—			—			0.1			(0.2		)
Income tax benefit (expense)	0.8			(0.1		)	(1.3		)	1.9			(0.1		)	1.3			(1.1		)
Operating income (loss) (1)	53.9			60.7			72.5			(23.1		)	94.1			164.0			270.8

Net realized investment gains (losses)	(3.6		)	13.1			7.1			9.1			23.9			25.7			30.8
Net unrealized investment gains (losses)	(13.1		)	17.5			(4.1		)	17.7			(11.9		)	18.0			159.1
Gain on early extinguishment of debt	—			—			—			—			—			—			5.9
Net foreign exchange gains (losses)	5.0			(1.3		)	(5.6		)	6.2			(1.4		)	4.3			(3.1		)
Net income	42.2			90.0			69.9			9.9			104.7			212.0			463.5

Other comprehensive income (loss) items	(0.4		)	0.8			0.7			(4.4		)	(1.7		)	(3.3		)	0.3

Comprehensive income	$	41.8		$	90.8		$	70.6		$	5.5		$	103.0		$	208.7		$	463.8

Loss and loss adjustment expense ratio:
Current year	53.7		%	46.8		%	55.9		%	106.2		%	27.1		%	65.8		%	37.4		%
Prior year	-15.1		%	-13.5		%	-26.5		%	-15.2		%	-15.7		%	-17.5		%	-13.2		%
Loss and loss adjustment expense ratio	38.6		%	33.3		%	29.4		%	91.0		%	11.4		%	48.3		%	24.2		%
Acquisition costs ratio	17.3		%	15.8		%	15.7		%	14.2		%	12.7		%	15.8		%	14.0		%
Operating expenses	13.5		%	14.0		%	11.1		%	14.5		%	16.1		%	13.3		%	17.0		%
Incentive compensation expenses	4.7		%	6.3		%	3.6		%	3.8		%	8.5		%	4.6		%	7.0		%
Combined ratio	74.1		%	69.4		%	59.8		%	123.5		%	48.7		%	82.0		%	62.2		%

Operating income (loss) per share (2)	$	0.81		$	0.86		$	1.00		$	(0.31	)	$	1.12		$	2.30		$	3.13
Comprehensive income per share (2)	$	0.62		$	1.28		$	0.97		$	0.07		$	1.23		$	2.92		$	5.36
Operating income / Avg shareholders’ equity	3.3		%	3.7		%	4.6		%	-1.4		%	5.5		%	10.0		%	17.3		%
Comprehensive income / Avg shareholders’ equity	2.5		%	5.5		%	4.4		%	0.3		%	6.0		%	12.7		%	29.6		%

(1) Excludes net investment and foreign exchange gains and losses and gain on early extinguishment of debt.

(2) See Page 13 for calculation and Page 14 for a discussion of our use of certain Financial Measures Disclosures.

MONTPELIER RE HOLDINGS LTD.

Net Premiums Written by Line of Business

(unaudited)

in millions

															YTD			YTD
Net Insurance and Reinsurance Premiums Written	Q4-10			Q3-10		Q2-10			Q1-10			Q4-09			2010			2009

Bermuda
Property Catastrophe - Treaty Reinsurance	$	7.9		$	23.0	$	104.6		$	112.9		$	12.9		$	248.4		$	255.2
Property Specialty - Treaty Reinsurance	8.4			8.3		12.8			11.6			12.8			41.1			66.0
Other Specialty - Treaty Reinsurance	12.5			19.9		17.5			42.6			5.3			92.5			69.2
Property & Specialty Individual Risk	2.9			8.3		11.5			7.7			4.9			30.4			37.2
	$	31.7		$	59.5	$	146.4		$	174.8		$	35.9		$	412.4		$	427.6

Syndicate 5151
Property Catastrophe - Treaty Reinsurance	$	(0.2	)	$	1.0	$	2.4		$	30.3		$	0.5		$	33.5		$	30.8
Property Specialty - Treaty Reinsurance	4.9			6.3		3.3			7.2			5.2			21.7			25.3
Other Specialty - Treaty Reinsurance	15.4			13.0		10.6			22.2			7.2			61.2			44.9
Property & Specialty Individual Risk	25.4			26.9		22.0			19.1			17.1			93.4			49.9
	$	45.5		$	47.2	$	38.3		$	78.8		$	30.0		$	209.8		$	150.9

MUSIC
Property Catastrophe - Treaty Reinsurance	$	—		$	—	$	—		$	—		$	—		$	—		$	—
Property Specialty - Treaty Reinsurance	—			—		—			—			—			—			—
Other Specialty - Treaty Reinsurance	—			—		—			—			—			—			—
Property & Specialty Individual Risk	14.0			13.0		11.3			8.3			8.3			46.6			23.7
	$	14.0		$	13.0	$	11.3		$	8.3		$	8.3		$	46.6		$	23.7

Intercompany Reinsurance Eliminations
Property Catastrophe - Treaty Reinsurance	$	—		$	—	$	(9.2	)	$	(0.2	)	$	(0.3	)	$	(9.4	)	$	(5.9	)
Property Specialty - Treaty Reinsurance	—			—		1.9			0.1			0.1			2.0			2.3
Other Specialty - Treaty Reinsurance	—			—		4.1			(0.1		)	2.0			4.0			3.7
Property & Specialty Individual Risk	—			—		3.2			0.2			(1.8		)	3.4			(0.1		)
	$	—		$	—	$	—		$	—		$	—		$	—		$	—

Consolidated Total NWP
Property Catastrophe - Treaty Reinsurance	$	7.7		$	24.0	$	97.8		$	143.0		$	13.1		$	272.5		$	280.1
Property Specialty - Treaty Reinsurance	13.3			14.6		18.0			18.9			18.1			64.8			93.6
Other Specialty - Treaty Reinsurance	27.9			32.9		32.2			64.7			14.5			157.7			117.8
Property & Specialty Individual Risk	42.3			48.2		48.0			35.3			28.5			173.8			110.7
	$	91.2		$	119.7	$	196.0		$	261.9		$	74.2		$	668.8		$	602.2

Reinstatements included in NWP	$	0.9		$	1.6	$	3.3		$	11.7		$	(1.8	)	$	17.5		$	1.4

Consolidated 12 Mo. Rolling NWP	$	668.8		$	651.8	$	638.4		$	626.3		$	602.2

MONTPELIER RE HOLDINGS LTD.

Net Premiums Earned by Line of Business

(unaudited)

in millions

																YTD			YTD
Net Insurance and Reinsurance Premiums Earned	Q4-10			Q3-10			Q2-10			Q1-10			Q4-09			2010			2009

Bermuda
Property Catastrophe - Treaty Reinsurance	$	61.3		$	63.6		$	63.3		$	70.0		$	66.1		$	258.2		$	249.9
Property Specialty - Treaty Reinsurance	12.8			9.8			13.3			11.7			16.0			47.6			68.4
Other Specialty - Treaty Reinsurance	18.8			22.0			16.3			17.9			15.8			75.0			72.6
Property & Specialty Individual Risk	6.7			6.5			8.4			11.5			10.2			33.1			35.1
	$	99.6		$	101.9		$	101.3		$	111.1		$	108.1		$	413.9		$	426.0

Syndicate 5151
Property Catastrophe - Treaty Reinsurance	$	7.0		$	7.4		$	9.6		$	9.5		$	8.8		$	33.5		$	34.5
Property Specialty - Treaty Reinsurance	5.9			6.0			5.3			5.1			7.1			22.3			29.3
Other Specialty - Treaty Reinsurance	14.0			10.7			10.6			12.0			13.1			47.3			30.9
Property & Specialty Individual Risk	24.4			20.4			13.1			14.0			12.2			71.9			38.4
	$	51.3		$	44.5		$	38.6		$	40.6		$	41.2		$	175.0		$	133.1

MUSIC
Property Catastrophe - Treaty Reinsurance	$	—		$	—		$	—		$	—		$	—		$	—		$	—
Property Specialty - Treaty Reinsurance	—			—			—			—			—			—			—
Other Specialty - Treaty Reinsurance	—			—			—			—			—			—			—
Property & Specialty Individual Risk	11.3			10.0			8.4			6.8			5.5			36.5			14.1
	$	11.3		$	10.0		$	8.4		$	6.8		$	5.5		$	36.5		$	14.1

Intercompany Reinsurance Eliminations
Property Catastrophe - Treaty Reinsurance	$	(2.4	)	$	(2.6	)	$	(2.0	)	$	(1.2	)	$	(1.3	)	$	(8.2	)	$	(5.1	)
Property Specialty - Treaty Reinsurance	0.4			0.6			0.6			0.1			0.6			1.7			1.8
Other Specialty - Treaty Reinsurance	1.2			0.9			0.9			0.9			0.4			3.9			1.8
Property & Specialty Individual Risk	0.8			1.1			0.5			0.2			0.3			2.6			1.5
	$	—		$	—		$	—		$	—		$	—		$	—		$	—

Consolidated Total NPE
Property Catastrophe - Treaty Reinsurance	$	65.9		$	68.4		$	70.9		$	78.3		$	73.6		$	283.5		$	279.3
Property Specialty - Treaty Reinsurance	19.1			16.4			19.2			16.9			23.7			71.6			99.5
Other Specialty - Treaty Reinsurance	34.0			33.6			27.8			30.8			29.3			126.2			105.3
Property & Specialty Individual Risk	43.2			38.0			30.4			32.5			28.2			144.1			89.1
	$	162.2		$	156.4		$	148.3		$	158.5		$	154.8		$	625.4		$	573.2

Reinstatements included in NPE	$	0.9		$	1.6		$	3.3		$	11.7		$	(1.8	)	$	17.5		$	1.4

Consolidated 12 Mo. Rolling NPE	$	625.4		$	618.0		$	605.2		$	598.3		$	573.2

MONTPELIER RE HOLDINGS LTD.

Rollforward of Loss Reserves (unaudited)

in millions

	Three months ended December 31, 2010								Three months ended December 31, 2009
	Gross			Recoveries		Net			Gross			Recoveries			Net

Reserve for unpaid losses, beginning of period	$	781.4		$	70.4	$	711.0		$	719.0		$	78.7		$	640.3

Losses incurred:
Current year	90.6			3.6		87.0			42.7			0.7			42.0
Prior years	(15.5		)	9.0		(24.5		)	(27.0		)	(2.7		)	(24.3		)
Total losses incurred	75.1			12.6		62.5			15.7			(2.0		)	17.7

Net impact of foreign currency movements	(3.3		)	—		(3.3		)	0.2			—			0.2

Losses paid and approved for payment:
Current year	32.9			5.5		27.4			14.7			(0.1		)	14.8
Prior years	35.7			15.1		20.6			39.4			7.2			32.2
Total paid losses	68.6			20.6		48.0			54.1			7.1			47.0

Reserve for unpaid losses, end of period	$	784.6		$	62.4	$	722.2		$	680.8		$	69.6		$	611.2

	YTD December 31, 2010								YTD December 31, 2009
	Gross			Recoveries		Net			Gross			Recoveries			Net

Reserve for unpaid losses, beginning of period	$	680.8		$	69.6	$	611.2		$	808.9		$	122.9		$	686.0

Losses incurred:
Current year	427.9			16.3		411.6			219.9			5.5			214.4
Prior years	(101.6		)	7.7		(109.3		)	(109.0		)	(33.3		)	(75.7		)
Total losses incurred	326.3			24.0		302.3			110.9			(27.8		)	138.7

Net impact of foreign currency movements	(2.0		)	—		(2.0		)	(0.5		)	—			(0.5		)

Losses paid and approved for payment:
Current year	81.0			7.5		73.5			31.4			1.3			30.1
Prior years	139.5			23.7		115.8			207.1			24.2			182.9
Total paid losses	220.5			31.2		189.3			238.5			25.5			213.0

Reserve for unpaid losses, end of period	$	784.6		$	62.4	$	722.2		$	680.8		$	69.6		$	611.2

MONTPELIER RE HOLDINGS LTD.

Consolidated Losses and Loss Ratios

(unaudited)

$ in millions

																YTD			YTD
	Q4-10			Q3-10			Q2-10			Q1-10			Q4-09			2010			2009
Property Catastrophe - Treaty

Net reserves: start	$	207.6		$	220.1		$	242.5		$	155.8		$	167.0		$	155.8		$	209.6
Change in prior AY	(6.9		)	(2.4		)	(3.3		)	(5.4		)	(6.0		)	(18.0		)	(24.9		)
Losses paid and approved for payment	(28.3		)	(26.7		)	(23.8		)	(13.9		)	(12.3		)	(92.7		)	(86.8		)
Current yr. incurred losses	28.1			16.6			4.7			106.0			7.1			155.4			57.9
Net reserves: end	$	200.5		$	207.6		$	220.1		$	242.5		$	155.8		$	200.5		$	155.8

Net earned premium	$	65.9		$	68.4		$	70.9		$	78.3		$	73.6		$	283.5		$	279.3
Net loss ratio	32.2		%	20.8		%	2.0		%	128.5		%	1.5		%	48.5		%	11.8		%
Net loss ratio excl. prior AY adjusts.	42.7		%	24.3		%	6.7		%	135.4		%	9.7		%	54.8		%	20.7		%
Net loss ratio - prior AY adjusts.	-10.5		%	-3.5		%	-4.7		%	-6.9		%	-8.2		%	-6.3		%	-8.9		%

IBNR	$	84.4		$	101.2		$	150.4		$	161.3		$	93.5
IBNR as a % of net reserves	42		%	49		%	68		%	67		%	60		%

Property Specialty - Treaty

Net reserves: start	$	136.4		$	144.4		$	147.7		$	140.8		$	145.7		$	140.8		$	152.1
Change in prior AY	(3.7		)	(8.9		)	(9.2		)	(4.8		)	(6.3		)	(26.6		)	(13.0		)
Losses paid and approved for payment	(6.8		)	(12.6		)	(8.5		)	(11.4		)	(9.0		)	(39.3		)	(53.6		)
Current yr. incurred losses	13.0			13.5			14.4			23.1			10.4			64.0			55.3
Net reserves: end	$	138.9		$	136.4		$	144.4		$	147.7		$	140.8		$	138.9		$	140.8

Net earned premium	$	19.1		$	16.4		$	19.2		$	16.9		$	23.7		$	71.6		$	99.5
Net loss ratio	48.7		%	28.0		%	27.1		%	108.3		%	17.3		%	52.2		%	42.5		%
Net loss ratio excl. prior AY adjusts.	68.1		%	82.3		%	75.0		%	136.7		%	43.9		%	89.4		%	55.6		%
Net loss ratio - prior AY adjusts.	-19.4		%	-54.3		%	-47.9		%	-28.4		%	-26.6		%	-37.2		%	-13.1		%

IBNR	$	88.2		$	86.8		$	91.9		$	102.9		$	90.8
IBNR as a % of net reserves	63		%	64		%	64		%	70		%	64		%

Other Specialty - Treaty

Net reserves: start	$	242.0		$	238.4		$	220.7		$	217.3		$	232.7		$	217.3		$	246.7
Change in prior AY	(9.0		)	(6.2		)	(13.5		)	(8.0		)	(9.4		)	(36.7		)	(26.2		)
Losses paid and approved for payment	(4.1		)	(8.6		)	(11.3		)	(10.2		)	(23.7		)	(34.2		)	(61.1		)
Current yr. incurred losses	17.8			18.4			42.5			21.6			17.7			100.3			57.9
Net reserves: end	$	246.7		$	242.0		$	238.4		$	220.7		$	217.3		$	246.7		$	217.3

Net earned premium	$	34.0		$	33.6		$	27.8		$	30.8		$	29.3		$	126.2		$	105.3
Net loss ratio	25.9		%	36.3		%	104.3		%	44.2		%	28.3		%	50.4		%	30.1		%
Net loss ratio excl. prior AY adjusts.	52.4		%	54.8		%	152.9		%	70.2		%	60.4		%	79.5		%	55.0		%
Net loss ratio - prior AY adjusts.	-26.5		%	-18.5		%	-48.6		%	-26.0		%	-32.1		%	-29.1		%	-24.9		%

IBNR	$	191.5		$	191.2		$	189.7		$	170.7		$	165.4
IBNR as a % of net reserves	78		%	79		%	80		%	77		%	76		%

Property and Specialty Individual Risk

Net reserves: start	$	124.2		$	109.7		$	107.1		$	97.8		$	95.6		$	97.8		$	77.6
Change in prior AY	(4.9		)	(3.8		)	(13.4		)	(5.9		)	(2.6		)	(28.0		)	(11.6		)
Losses paid and approved for payment	(8.8		)	(6.5		)	(5.4		)	(2.4		)	(2.0		)	(23.1		)	(11.6		)
Current yr. incurred losses	28.1			24.8			21.4			17.6			6.8			91.9			43.4
Net reserves: end	$	138.6		$	124.2		$	109.7		$	107.1		$	97.8		$	138.6		$	97.8

Net earned premium	$	43.2		$	38.0		$	30.4		$	32.5		$	28.2		$	144.1		$	89.1
Net loss ratio	53.7		%	55.3		%	26.3		%	36.0		%	14.9		%	44.3		%	35.7		%
Net loss ratio excl. prior AY adjusts.	65.0		%	65.3		%	70.4		%	54.2		%	24.1		%	63.7		%	48.7		%
Net loss ratio - prior AY adjusts.	-11.3		%	-10.0		%	-44.1		%	-18.2		%	-9.2		%	-19.4		%	-13.0		%

IBNR	$	90.4		$	86.1		$	77.6		$	69.6		$	62.0
IBNR as a % of net reserves	65		%	69		%	71		%	65		%	63		%

TOTAL

Net reserves: start	$	711.0		$	705.9		$	711.6		$	611.2		$	640.3		$	611.2		$	686.0
Change in prior AY	(24.5		)	(21.3		)	(39.4		)	(24.1		)	(24.3		)	(109.3		)	(75.7		)
Losses paid and approved for payment	(48.0		)	(54.4		)	(49.0		)	(37.9		)	(47.0		)	(189.3		)	(213.1		)
Current yr. incurred losses	87.0			73.3			83.0			168.3			42.0			411.6			214.5
Net impact of foreign currency	(3.3		)	7.5			(0.3		)	(5.9		)	0.2			(2.0		)	(0.5		)
Net reserves: end	$	722.2		$	711.0		$	705.9		$	711.6		$	611.2		$	722.2		$	611.2

Net earned premium	$	162.2		$	156.4		$	148.3		$	158.5		$	154.8		$	625.4		$	573.2
Net loss ratio	38.6		%	33.3		%	29.4		%	91.0		%	11.4		%	48.3		%	24.2		%
Net loss ratio excl. prior AY adjusts.	53.7		%	46.8		%	55.9		%	106.2		%	27.1		%	65.8		%	37.4		%
Net loss ratio - prior AY adjusts.	-15.1		%	-13.5		%	-26.5		%	-15.2		%	-15.7		%	-17.5		%	-13.2		%

IBNR	$	454.5		$	465.3		$	509.6		$	504.5		$	411.7
IBNR as a % of net reserves	63		%	65		%	72		%	71		%	67		%

MONTPELIER RE HOLDINGS LTD.

Consolidated Investment Portfolio (unaudited)

$ in millions

	December 31, 2010									September 30, 2010					June 30, 2010					March 31, 2010					December 31, 2009
	Amortized				Fair					Fair					Fair					Fair					Fair
	Cost		Gain		Value			%		Value			%		Value			%		Value			%		Value			%
Composition:

Fixed maturities	$	2,270.0	$	19.3	$	2,289.3		82	%	$	2,329.0		84	%	$	2,218.7		82	%	$	2,111.5		81	%	$	2,207.5		82	%
Equity securities	116.9		36.0		152.9			5	%	113.4			4	%	134.2			5	%	138.7			5	%	167.2			6	%
Other investments	84.2		5.9		90.1			3	%	92.6			3	%	66.8			3	%	77.0			3	%	91.0			3	%
Cash equivalents	71.7		—		71.7			3	%	48.8			2	%	70.5			3	%	86.4			3	%	8.0			0	%
Cash and restricted cash	187.7		—		187.7			7	%	208.5			7	%	181.8			7	%	209.4			8	%	235.0			9	%

Total investments and cash	$	2,730.5	$	61.2	$	2,791.7		100	%	$	2,792.3		100	%	$	2,672.0		100	%	$	2,623.0		100	%	$	2,708.7		100	%

Fixed maturities allocation:

Mortgage-backed and asset-backed securities (1)	$	803.3	$	2.5	$	805.8		35	%	$	964.2		41	%	$	879.0		40	%	$	801.8		37	%	$	815.0		37	%
Government & government-sponsored entities	710.8		2.0		712.8			31	%	801.8			34	%	695.0			31	%	710.0			34	%	796.2			36	%
Corporate bonds (2)	696.6		14.4		711.0			31	%	525.5			23	%	608.0			27	%	561.3			27	%	571.7			26	%
Municipal bonds	59.3		0.4		59.7			3	%	37.5			2	%	36.7			2	%	38.4			2	%	24.6			1	%

Total fixed maturities	$	2,270.0	$	19.3	$	2,289.3		100	%	$	2,329.0		100	%	$	2,218.7		100	%	$	2,111.5		100	%	$	2,207.5		100	%

Other investments:

Limited partnership interests and private investment funds	$	71.7	$	4.3	$	76.0		84	%	$	78.7		85	%	$	52.2		79	%	$	64.0		83	%	$	57.3		63	%
Catastrophe bonds	10.0		0.6		10.6			12	%	10.5			11	%	10.3			15	%	10.3			13	%	10.0			11	%
Symetra Financial (3)	—		—		—			—	%	—			—	%	—			—	%	—			—	%	22.6			25	%
Derivative instruments	2.5		1.0		3.5			4	%	3.4			4	%	4.3			6	%	2.7			4	%	1.1			1	%

Total other investments	$	84.2	$	5.9	$	90.1		100	%	$	92.6		100	%	$	66.8		100	%	$	77.0		100	%	$	91.0		100	%

Total investment return:

Net investment income					$	16.6				$	18.7				$	20.3				$	18.5				$	21.3
Net realized investment gains					(3.6		)			13.1					7.1					9.1					23.9
Net unrealized investment gains (losses) (4)					(13.1		)			17.5					(4.1		)			15.1					(13.3		)
Net investment FX gains (losses)					1.6					(0.2		)			(0.2		)			2.4					(0.1		)
Total investment return					$	1.5				$	49.1				$	23.1				$	45.1				$	31.8

Total quarterly return on average fair value %					0.0		%			1.8		%			0.9		%			1.6		%			1.1		%

Average market yield to worst of fixed maturities and cash equivalents					3.1		%			2.3		%			2.7		%			3.4		%			3.7		%
Average duration of fixed maturities, cash and cash equivalents					3.1 years					1.7 years					1.9 years					2.2 years					2.1 years
Average credit quality of fixed maturities and cash equivalents					AA					AA+					AA+					AA+					AA+
Average duration of fixed maturities					3.4 years					1.9 years					2.2 years					2.5 years					2.5 years

(1) See Page 9 for additional detail regarding our investments in mortgage-backed and asset-backed securities.

(2) Corporate bonds includes bank loans. See page 10 for additional details.

(3) Symetra Financial went public in 1Q10 and is now presented as an equity security.

(4) Includes changes in comprehensive income from Symetra.

MONTPELIER RE HOLDINGS LTD.

Consolidated Investment Detail

Mortgage-Backed and Asset-Backed Securities

(unaudited)

$ in millions

At December 31, 2010

									Option		Fair Value
	Amortized		Fair		Gain				Adjusted	Average					Insurance (1)
	Cost		Value		(Loss)			Rating	Duration	Life	Subprime		Alt-A		wrapped
Mortgage-backed and asset-backed securities

Residential-Mortgage Backed:

GNMA	$	54.8	$	57.3	$	2.5		AAA
FNMA	173.4		172.9		(0.5		)	AAA
Freddie Mac	107.6		107.4		(0.2		)	AAA
Total Residential Mortgage-Backed	$	335.8	$	337.6	$	1.8		AAA	4.1	5.5

Collateralized Residential Mortgage Obligations:

GNMA	$	71.1	$	71.4	$	0.3		AAA
FNMA	45.4		45.8		0.4			AAA
Freddie Mac	41.7		42.4		0.7			AAA
Nat’l Credit Union Admin	0.2		0.2		—			AAA
Total agency CMOS	158.4		159.8		1.4

Non-agency CMOS	17.4		17.6		0.2			AAA					$	3.6
Non-agency CMOS	0.8		0.8		—			BBB					0.6
Non-agency CMOS	4.7		4.5		(0.2		)	BB
Non-agency CMOS	4.1		4.1		(0.0		)	B
Non-agency CMOS	8.9		8.5		(0.4		)	CCC					1.8
Non-agency CMOS	3.0		2.8		(0.2		)	CC					0.6
Total Non-agency CMOS	39.1		38.4		(0.6		)
Total Collateralized Residential Mortgage Obligations	$	197.5	$	198.2	$	0.8		AAA	3.1	3.7	$	—	$	6.6	—

Asset-Backed Securities:

Credit card	$	27.0	$	27.1	$	0.1		AAA
Credit card	1.0		1.0		—			A
Auto	20.5		20.6		0.1			AAA
Auto	11.4		11.5		0.1			AA
Auto	0.5		0.5		—			A
Auto	7.6		7.6		—			BBB							$	3.1
Home Equity	2.4		2.5		0.1			AAA			$	2.5
Home Equity	0.5		0.5		—			AA			0.5
Home Equity	3.7		3.7		—			A			3.7
Home Equity	5.0		5.1		0.1			BB			5.1
Home Equity	3.9		4.0		0.1			B			1.7				1.0
Home Equity	0.2		0.2		—			CC			0.2
Home Equity	1.0		1.3		0.3			C			1.3
Home Equity	0.8		0.8		—			D
Equipment	9.0		9.0		—			AAA
Equipment	6.2		5.6		(0.6		)	BBB							5.6
Commercial Mortgage Backed Securities	94.1		95.3		1.2			AAA
Commercial Mortgage Backed Securities	32.3		30.8		(1.5		)	AA
Commercial Mortgage Backed Securities	12.6		12.5		(0.1		)	A
Commercial Mortgage Backed Securities	1.2		1.2		—			NR
Miscellaneous	8.5		8.5		—			AAA
Miscellaneous	17.4		17.3		(0.1		)	A
Miscellaneous	3.2		3.3		0.1			BBB							3.3
Total Asset-Backed Securities	$	270.0	$	269.9	$	(0.1	)	AA	2.1	2.7	$	15.0	$	—	$	13.0

Total Mortgage-Backed and Asset-Backed Securities	$	803.3	$	805.8	$	2.5					$	15.0	$	6.6	$	13.0

(1) We estimate that our insurance wrapped investments at 12/31/10 would be BBB- or better, if they were rated, excluding the effects of financial guarantee enhancements.

MONTPELIER RE HOLDINGS LTD.

Consolidated Investment Detail - Corporate Bonds

(unaudited)

$ in millions

At December 31, 2010

Corporate Bonds - Quality:

								Option
								Adjusted
	Amortized		Fair					Duration
	Cost		Value		Gain			(Years)

AAA	$	26.1	$	26.0	$	(0.1	)	1.7
AA	66.8		68.4		1.6			3.8
A	343.4		351.0		7.6			3.5
BBB	132.7		133.8		1.1			4.5
Below BBB	122.5		126.5		4.0			3.3
Not Rated	5.1		5.3		0.2			1.8

Total Corporate Bonds	$	696.6	$	711.0	$	14.4		3.6

Corporate Bonds - Top Ten Holdings:

								% of
	Amortized		Fair					Total Corp.
	Cost		Value		Gain			Bonds

General Electric	$	25.1	$	26.0	$	0.9		3.7	%
JP Morgan Chase	22.8		23.2		0.4			3.3	%
ConocoPhillips	19.7		21.3		1.6			3.0	%
BP Capital	19.6		20.2		0.6			2.8	%
Bank of America Corp	20.2		20.1		(0.1		)	2.8	%
Morgan Stanley	17.3		17.4		0.1			2.4	%
Citigroup Inc	16.8		17.0		0.2			2.4	%
BA Covered Bond issuer	16.0		16.8		0.8			2.4	%
Wells Fargo	15.8		16.0		0.2			2.3	%
Verizon Communications	14.5		14.9		0.4			2.1	%

Total	$	187.8	$	192.9	$	5.1		27.1	%

Corporate Bonds - By Sector:

							Option
							Adjusted
	Amortized		Fair		Gain		Duration
	Cost		Value		(Loss)		(Years)

Industrial	$	331.4	$	340.3	$	8.9	3.6
Financial	282.8		287.9		5.1		3.7
Utility	21.6		21.7		0.1		4.8
All Others	60.8		61.1		0.3		1.5
Total	$	696.6	$	711.0	$	14.4	3.6

MONTPELIER RE HOLDINGS LTD.

Reinsurance Recoverable by Rating (unaudited)

$ in millions

The A.M. Best ratings of our reinsurers related to reinsurance recoverable on paid and unpaid losses as of the dates presented are as follows:

	Dec 31				Sept 30				Jun 30				Mar 31				Dec 31
	2010				2010				2010				2010				2009

Reinsurance recoverable on paid losses

A++	$	—	—	%	$	—	—	%	$	—	—	%	$	—	—	%	$	—	—	%
A+	5.9		46		6.4		93		3.6		78		43.3		98		42.7		96
A	6.9		53		0.4		6		0.9		20		0.3		1		1.7		4
A-	0.1		1		0.1		1		0.1		2		0.3		1		0.1		—
Unrated (1)	—		—		—		—		—		—		—		—		—		—
Recoverable under MUSIC guarantee (2)	—		—		—		—		—		—		—		—		—		—

	$	12.9	100	%	$	6.9	100	%	$	4.6	100	%	$	43.9	100	%	$	44.5	100	%

Reinsurance recoverable on unpaid losses

A++	$	—	—	%	$	—	—	%	$	—	—	%	$	—	—	%	$	0.4	1	%
A+	17.9		29		26.3		38		30.6		44		26.2		39		27.7		40
A	21.0		34		28.3		40		28.3		40		29.9		44		30.1		43
A-	1.4		2		1.4		2		2.1		3		1.9		3		2.3		3
Unrated (1)	16.3		26		8.6		12		3.1		4		3.1		4		3.0		4
Recoverable under MUSIC guarantee (2)	5.8		9		5.8		8		6.0		9		6.7		10		6.1		9

	$	62.4	100	%	$	70.4	100	%	$	70.1	100	%	$	67.8	100	%	$	69.6	100	%

Total reinsurance recoverable

A++	$	—	—	%	$	—	—	%	$	—	—	%	$	—	—	%	$	0.4	—	%
A+	23.8		32		32.7		42		34.2		46		69.5		62		70.4		62
A	27.9		36		28.7		37		29.2		39		30.2		27		31.8		28
A-	1.5		2		1.5		2		2.2		3		2.2		2		2.4		2
Unrated (1)	16.3		22		8.6		11		3.1		4		3.1		3		3.0		3
Recoverable under MUSIC guarantee (2)	5.8		8		5.8		8		6.0		8		6.7		6		6.1		5

	$	75.3	100	%	$	77.3	100	%	$	74.7	100	%	$	111.7	100	%	$	114.1	100	%

(1) These obligations are either: (i) fully collateralized; (ii) reinsurer has an S&P financial strength rating equivalent to an A.M. Best rating of A- or better; or (iii) reinsurer is solvent but has entered run-off.

(2) In support of MUSIC’s remaining loss reserves acquired in 2007, MUSIC benefits from a trust deposit maintained by the seller and reinsurance from third party reinsurers (each rated A- or better) which collectively support the $5.8 million in remaining reserves at December 31, 2010. In addition, MUSIC has a full indemnification from the seller covering any adverse development from its past business.

MONTPELIER RE HOLDINGS LTD.

Fully Converted Book Value Per Share (unaudited)

$ in millions, except per share amounts

	Dec 31			Sept 30			June 30			Mar 31			Dec 31
	2010			2010			2010			2010			2009

Numerator

Book value per share and fully converted book value per share numerator (common shareholders’ equity)	$	1,628.8		$	1,668.4		$	1,621.4		$	1,558.5		$	1,728.5

Intangible asset	(4.8		)	(4.8		)	(4.8		)	(4.8		)	(4.8		)

Fully converted tangible book value per share numerator	$	1,624.0		$	1,663.6		$	1,616.6		$	1,553.7		$	1,723.7

Denominator (in shares)

Book value per share denominator	64,557,204			68,258,453			70,888,952			71,082,196			79,998,795

Dilutive effect of share based obligations under benefit plans	1,637,580			1,976,739			1,799,987			1,889,904			1,768,769

Fully converted book value per share and fully converted tangible book value per share denominator	66,194,784			70,235,192			72,688,939			72,972,100			81,767,564

Book value per share	$	25.23		$	24.44		$	22.87		$	21.93		$	21.61

Fully converted book value per share	$	24.61		$	23.76		$	22.31		$	21.36		$	21.14

Fully converted tangible book value per share	$	24.53		$	23.69		$	22.24		$	21.29		$	21.08

Dividends declared per common share	$	0.10		$	0.09		$	0.09		$	0.09		$	0.09
Change in FCBVPS (1) Quarter	3.5		%	6.5		%	4.4		%	1.0		%	6.8		%
Change in FCBVPS adjusted for dividends (2) Quarter	4.0		%	6.9		%	4.9		%	1.5		%	7.3		%
Change in FCBVPS adjusted for dividends (2) Rolling 12 months	18.1		%	21.9		%	25.1		%	32.7		%	34.6		%
Annualized Change in FCBVPS adjusted for dividends (2) Since inception	10.7		%

(1) FCBVPS = Fully converted book value per share. See Page 14 for a discussion of our use of certain Financial Measures Disclosures.

(2) Change in FCBVPS adjusted for dividends is the internal rate of return of the increase in fully converted book value per share in the period plus dividends declared. See Page 14 for a discussion of our use of certain Financial Measures Disclosures.

MONTPELIER RE HOLDINGS LTD.

Basic and Diluted Earnings Per Share (unaudited)

$ in millions, except per share amounts

																YTD			YTD
	Q4-10			Q3-10			Q2-10			Q1-10			Q4-09			2010			2009

Numerator
Operating income(1)	$	53.9		$	60.7		$	72.5		$	(23.1	)	$	94.1		$	164.0		$	270.8
Adjustment to operating income related to participating securities	(1.0		)	(1.5		)	(1.6		)	—			(1.8		)	(3.8		)	(5.0		)

Operating income per share numerator	$	52.9		$	59.2		$	70.9		$	(23.1	)	$	92.3		$	160.2		$	265.8

Net investment and foreign exchange gains and losses	(11.7		)	29.3			(2.6		)	33.0			10.6			48.0			186.8
Gain on early extinguishment of debt	—			—			—			—			—			—			5.9
Adjustment to net income related to participating securities	—			(0.7		)	—			(0.1		)	(0.3		)	(1.1		)	(3.6		)

Earnings per share numerator	$	41.2		$	87.8		$	68.3		$	9.8		$	102.6		$	207.1		$	454.9

Other comprehensive income (loss) items	(0.4		)	0.8			0.7			(4.4		)	(1.7		)	(3.3		)	0.3

Comprehensive income per share numerator	$	40.8		$	88.6		$	69.0		$	5.4		$	100.9		$	203.8		$	455.2

Denominator
Average common shares outstanding	65,477,694			68,995,819			71,017,781			73,481,396			82,121,535			69,743,173			86,188,677
Less: average common shares subject to the share issuance agreement	—			—			—			—			—			—			(1,320,000		)
Adjusted average common shares outstanding	65,477,694			68,995,819			71,017,781			73,481,396			82,121,535			69,743,173			84,868,677

Average vested participating securities	—			—			—			—			—			—			—

Per share denominator	65,477,694			68,995,819			71,017,781			73,481,396			82,121,535			69,743,173			84,868,677

Operating income (loss) per share (1)	$	0.81		$	0.86		$	1.00		$	(0.31	)	$	1.12		$	2.30		$	3.13
Net income per share	$	0.63		$	1.27		$	0.96		$	0.13		$	1.25		$	2.97		$	5.36
Comprehensive income per share	$	0.62		$	1.28		$	0.97		$	0.07		$	1.23		$	2.92		$	5.36

(1) Excludes net investment and foreign exchange gains and losses and early extinguishment of debt. See Page 14 for a discussion of the use of certain Financial Measures Disclosures.

MONTPELIER RE HOLDINGS LTD.

Financial Measures Disclosures

Financial Measures Disclosures

In presenting our results, we have included and discussed certain financial measures. These measures are important for an understanding of our overall results of operations. We believe that these measures are important to investors and other interested parties, and that such persons benefit from having a consistent basis for comparison with other companies within the industry. However, these measures may not be comparable to similarly titled measures used by companies either inside or outside of the insurance industry.

Management believes that presenting operating income, in addition to net income and comprehensive net income, assists some users of our financial information in their analysis of our ongoing performance. Operating income, which equals net income excluding net investment and foreign exchange gains and losses and gain on early extinguishment of debt, is considered by some analysts, rating agencies and investors to be a useful and consistent measure of our performance.

This financial supplement also contains presentations of “book value per share”, “fully converted book value per share” and “fully converted tangible book value per share”. These calculations are based on total shareholders’ equity (as adjusted in certain circumstances as indicated on page 12) divided by our common shares outstanding in the case of “book value per share” and by the sum of our common shares and common share equivalents outstanding (assuming their issuance) in the case of “fully converted book value per share” and “fully converted tangible book value per share”. The Company believes that these measures, in particular “fully converted book value per share”, reflect the value attributable to a common share and are of interest to both our shareholders and the investment community.

This financial supplement also contains the presentation of “change in fully converted book value adjusted for dividends”. This calculation represents the change in fully converted book value per share in the period adjusted for dividends declared. We believe that this measure accurately reflects the return provided to our shareholders, as it takes into account the effect of all dilutive securities and the effect of dividends.

Attached files

MONTPELIER RE HOLDINGS LTD Reports

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