Attached files
| file | filename |
|---|---|
| 8-K - 8-K - MONTPELIER RE HOLDINGS LTD | a11-9196_38k.htm |
| EX-99.1 - EX-99.1 - MONTPELIER RE HOLDINGS LTD | a11-9196_3ex99d1.htm |
Exhibit 99.2
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Financial Supplement | |
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March 31, 2011 | |
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contact: |
William Pollett, Treasurer |
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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. |
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telephone: |
+1(441) 299 7576 |
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email: |
bill.pollett@montpelierre.bm |
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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, 2010 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
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Page |
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1 |
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Consolidated Financial Highlights |
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2 |
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Summary Consolidated Balance Sheets |
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3 |
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Summary Consolidated Income Statements |
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4 |
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Net Insurance and Reinsurance Premiums Written by Line of Business |
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5 |
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Net Insurance and Reinsurance Premiums Earned by Line of Business |
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6 |
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Rollforward of Loss Reserves |
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7 |
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Losses and Loss Ratios by Line of Business |
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8 |
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Consolidated Investment Portfolio |
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9 |
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Consolidated Investment Detail - Mortgage-Backed and Asset-Backed Securities |
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10 |
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Consolidated Investment Detail - Corporate Bonds |
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11 |
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Reinsurance Recoverable by Rating |
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12 |
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Fully Converted Book Value Per Share |
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13 |
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Basic and Diluted Earnings Per Share |
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14 |
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Financial Measures Disclosures |
MONTPELIER RE HOLDINGS LTD.
Consolidated Financial Highlights (unaudited)
$ in millions, except per share amounts
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Three months ended |
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March 31 |
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2011 |
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2010 |
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% change |
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Highlights |
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Gross insurance and reinsurance premiums written |
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$ |
254.1 |
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$ |
274.8 |
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-8 |
% |
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Net insurance and reinsurance premiums written |
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$ |
226.5 |
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$ |
261.9 |
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-14 |
% |
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Net insurance and reinsurance premiums earned |
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$ |
166.1 |
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$ |
158.5 |
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5 |
% |
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Net investment income |
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$ |
17.6 |
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$ |
18.5 |
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-5 |
% |
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Operating loss (1) |
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$ |
(118.5 |
) |
$ |
(23.1 |
) |
n/m |
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Net income (loss) |
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$ |
(104.3 |
) |
$ |
9.9 |
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n/m |
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Comprehensive income (loss) |
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$ |
(103.8 |
) |
$ |
5.5 |
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n/m |
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Total assets |
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$ |
3,371.2 |
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$ |
3,126.9 |
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8 |
% |
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Common shareholders’ equity |
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$ |
1,472.1 |
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$ |
1,558.5 |
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-6 |
% |
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Per share data |
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Operating loss per share (2) |
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$ |
(1.90 |
) |
$ |
(0.31 |
) |
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Comprehensive income (loss) per share (2) |
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$ |
(1.66 |
) |
$ |
0.07 |
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Fully converted book value per share (3) |
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$ |
23.10 |
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$ |
21.36 |
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Fully converted tangible book value per share (3) |
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$ |
23.03 |
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$ |
21.29 |
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Financial ratios |
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Loss and loss adjustment expense ratio: |
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Current year |
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169.7 |
% |
106.2 |
% |
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Prior year |
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-20.2 |
% |
-15.2 |
% |
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Loss and loss adjustment expense ratio |
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149.5 |
% |
91.0 |
% |
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Acquisition costs ratio |
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14.8 |
% |
14.2 |
% |
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General and administrative expense ratio |
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14.5 |
% |
18.3 |
% |
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Combined ratio |
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178.8 |
% |
123.5 |
% |
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Operating income / Avg shareholders’ equity |
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-7.6 |
% |
-1.4 |
% |
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Change in FCBVPS adjusted for dividends (4) |
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-5.7 |
% |
1.5 |
% |
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(1) Excludes net investment and foreign exchange gains and losses.
(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 after taking into account dividends declared during the period. See page 14 for a discussion of our use of certain Financial Measures Disclosures.
n/m - not meaningful
MONTPELIER RE HOLDINGS LTD.
Summary Consolidated Balance Sheets (unaudited)
in millions, except per share amounts
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Mar 31 |
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Dec 31 |
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Sept 30 |
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June 30 |
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Mar 31 |
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2011 |
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2010 |
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2010 |
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2010 |
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2010 |
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ASSETS |
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Investments, cash and cash equivalents |
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$ |
2,812.3 |
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$ |
2,791.7 |
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$ |
2,792.3 |
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$ |
2,672.0 |
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$ |
2,623.0 |
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Insurance and reinsurance premiums receivable |
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280.1 |
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201.6 |
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257.0 |
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294.6 |
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250.3 |
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Deferred insurance and reinsurance acquisition costs |
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52.4 |
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45.0 |
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52.1 |
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52.9 |
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47.5 |
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Reinsurance recoverable on paid and unpaid losses |
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71.2 |
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75.3 |
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77.3 |
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74.7 |
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111.7 |
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Unearned reinsurance premiums ceded |
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35.1 |
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22.9 |
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26.7 |
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14.2 |
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20.0 |
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Other assets |
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120.1 |
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82.9 |
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56.4 |
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95.8 |
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74.4 |
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Total Assets |
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$ |
3,371.2 |
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$ |
3,219.4 |
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$ |
3,261.8 |
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$ |
3,204.2 |
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$ |
3,126.9 |
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LIABILITIES |
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Loss and loss adjustment expense reserves |
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$ |
990.9 |
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$ |
784.6 |
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$ |
781.4 |
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$ |
776.0 |
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$ |
779.4 |
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Unearned insurance and reinsurance premiums |
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340.0 |
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264.0 |
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340.9 |
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360.2 |
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318.4 |
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Debt |
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327.8 |
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327.7 |
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327.7 |
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327.7 |
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328.6 |
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Other liabilities |
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240.4 |
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214.3 |
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143.4 |
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118.9 |
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142.0 |
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Total Liabilities |
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1,899.1 |
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1,590.6 |
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1,593.4 |
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1,582.8 |
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1,568.4 |
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SHAREHOLDERS’ EQUITY |
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Common shareholder’s equity |
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1,472.1 |
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1,628.8 |
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1,668.4 |
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1,621.4 |
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1,558.5 |
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Total Liabilities and Shareholders’ Equity |
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$ |
3,371.2 |
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$ |
3,219.4 |
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$ |
3,261.8 |
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$ |
3,204.2 |
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$ |
3,126.9 |
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Fully converted book value per share (1) |
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$ |
23.10 |
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$ |
24.61 |
|
$ |
23.76 |
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$ |
22.31 |
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$ |
21.36 |
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Fully converted tangible book value per share (1) |
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$ |
23.03 |
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$ |
24.53 |
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$ |
23.69 |
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$ |
22.24 |
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$ |
21.29 |
|
(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
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Q1-11 |
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Q4-10 |
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Q3-10 |
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Q2-10 |
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Q1-10 |
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Underwriting revenues |
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Gross insurance and reinsurance premiums written |
|
$ |
254.1 |
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$ |
102.3 |
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$ |
143.4 |
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$ |
199.5 |
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$ |
274.8 |
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Reinsurance premiums ceded |
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(27.6 |
) |
(11.1 |
) |
(23.7 |
) |
(3.5 |
) |
(12.9 |
) | |||||
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Net insurance and reinsurance premiums written |
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226.5 |
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91.2 |
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119.7 |
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196.0 |
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261.9 |
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Gross insurance and reinsurance premiums earned |
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182.2 |
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176.7 |
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168.0 |
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157.9 |
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165.4 |
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Earned reinsurance premiums ceded |
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(16.1 |
) |
(14.5 |
) |
(11.6 |
) |
(9.6 |
) |
(6.9 |
) | |||||
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Net insurance and reinsurance premiums earned |
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166.1 |
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162.2 |
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156.4 |
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148.3 |
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158.5 |
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Loss and loss adjustment expenses |
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(248.4 |
) |
(62.5 |
) |
(52.0 |
) |
(43.6 |
) |
(144.2 |
) | |||||
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Insurance and reinsurance acquisition costs |
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(24.7 |
) |
(28.1 |
) |
(24.8 |
) |
(23.4 |
) |
(22.4 |
) | |||||
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Operating expenses |
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(22.1 |
) |
(21.9 |
) |
(21.9 |
) |
(16.5 |
) |
(23.1 |
) | |||||
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Incentive compensation expenses |
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(1.9 |
) |
(7.6 |
) |
(9.8 |
) |
(5.3 |
) |
(6.0 |
) | |||||
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Underwriting income (loss) |
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(131.0 |
) |
42.1 |
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47.9 |
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59.5 |
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(37.2 |
) | |||||
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Net investment income |
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17.6 |
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16.6 |
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18.7 |
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20.3 |
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18.5 |
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Interest and other financing expenses |
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(5.9 |
) |
(6.0 |
) |
(6.0 |
) |
(6.1 |
) |
(6.5 |
) | |||||
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Other revenue (expense) |
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(0.3 |
) |
0.4 |
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0.2 |
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0.1 |
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0.2 |
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Income tax benefit (expense) |
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1.1 |
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0.8 |
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(0.1 |
) |
(1.3 |
) |
1.9 |
| |||||
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Operating income (loss) (1) |
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(118.5 |
) |
53.9 |
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60.7 |
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72.5 |
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(23.1 |
) | |||||
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Net realized investment gains (losses) |
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5.6 |
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(3.6 |
) |
13.1 |
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7.1 |
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9.1 |
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Net unrealized investment gains (losses) |
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10.2 |
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(13.1 |
) |
17.5 |
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(4.1 |
) |
17.7 |
| |||||
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Net foreign exchange gains (losses) |
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(1.6 |
) |
5.0 |
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(1.3 |
) |
(5.6 |
) |
6.2 |
| |||||
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Net income (loss) |
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(104.3 |
) |
42.2 |
|
90.0 |
|
69.9 |
|
9.9 |
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Other comprehensive income (loss) items |
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0.5 |
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(0.4 |
) |
0.8 |
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0.7 |
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(4.4 |
) | |||||
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Comprehensive income (loss) |
|
$ |
(103.8 |
) |
$ |
41.8 |
|
$ |
90.8 |
|
$ |
70.6 |
|
$ |
5.5 |
|
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Loss and loss adjustment expense ratio: |
|
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|
| |||||
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Current year |
|
169.7 |
% |
53.7 |
% |
46.8 |
% |
55.9 |
% |
106.2 |
% | |||||
|
Prior year |
|
-20.2 |
% |
-15.1 |
% |
-13.5 |
% |
-26.5 |
% |
-15.2 |
% | |||||
|
Loss and loss adjustment expense ratio |
|
149.5 |
% |
38.6 |
% |
33.3 |
% |
29.4 |
% |
91.0 |
% | |||||
|
Acquisition costs ratio |
|
14.8 |
% |
17.3 |
% |
15.8 |
% |
15.7 |
% |
14.2 |
% | |||||
|
Operating expenses |
|
13.3 |
% |
13.5 |
% |
14.0 |
% |
11.1 |
% |
14.5 |
% | |||||
|
Incentive compensation expenses |
|
1.2 |
% |
4.7 |
% |
6.3 |
% |
3.6 |
% |
3.8 |
% | |||||
|
Combined ratio |
|
178.8 |
% |
74.1 |
% |
69.4 |
% |
59.8 |
% |
123.5 |
% | |||||
|
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| |||||
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Operating income (loss) per share (2) |
|
$ |
(1.90 |
) |
$ |
0.91 |
|
$ |
0.86 |
|
$ |
1.00 |
|
$ |
(0.31 |
) |
|
Comprehensive income (loss) per share (2) |
|
$ |
(1.66 |
) |
$ |
1.37 |
|
$ |
1.28 |
|
$ |
0.97 |
|
$ |
0.07 |
|
|
Operating income / Avg shareholders’ equity |
|
-7.6 |
% |
3.3 |
% |
3.7 |
% |
4.6 |
% |
-1.4 |
% | |||||
|
Comprehensive income / Avg shareholders’ equity |
|
-6.7 |
% |
2.5 |
% |
5.5 |
% |
4.4 |
% |
0.3 |
% | |||||
(1) Excludes net investment and foreign exchange gains and losses.
(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
|
Net Insurance and Reinsurance Premiums Written |
|
Q1-11 |
|
Q4-10 |
|
Q3-10 |
|
Q2-10 |
|
Q1-10 |
| |||||
|
|
|
|
|
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|
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|
| |||||
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Bermuda |
|
|
|
|
|
|
|
|
|
|
| |||||
|
Property Catastrophe - Treaty Reinsurance |
|
$ |
93.0 |
|
$ |
7.9 |
|
$ |
23.0 |
|
$ |
104.6 |
|
$ |
112.9 |
|
|
Property Specialty - Treaty Reinsurance |
|
14.7 |
|
8.4 |
|
8.3 |
|
12.8 |
|
11.6 |
| |||||
|
Other Specialty - Treaty Reinsurance |
|
26.1 |
|
12.5 |
|
19.9 |
|
17.5 |
|
42.6 |
| |||||
|
Property & Specialty Individual Risk |
|
6.0 |
|
2.9 |
|
8.3 |
|
11.5 |
|
7.7 |
| |||||
|
|
|
$ |
139.8 |
|
$ |
31.7 |
|
$ |
59.5 |
|
$ |
146.4 |
|
$ |
174.8 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
|
Syndicate 5151 |
|
|
|
|
|
|
|
|
|
|
| |||||
|
Property Catastrophe - Treaty Reinsurance |
|
$ |
26.0 |
|
$ |
(0.2 |
) |
$ |
1.0 |
|
$ |
2.4 |
|
$ |
30.3 |
|
|
Property Specialty - Treaty Reinsurance |
|
4.2 |
|
4.9 |
|
6.3 |
|
3.3 |
|
7.2 |
| |||||
|
Other Specialty - Treaty Reinsurance |
|
19.9 |
|
15.4 |
|
13.0 |
|
10.6 |
|
22.2 |
| |||||
|
Property & Specialty Individual Risk |
|
25.5 |
|
25.4 |
|
26.9 |
|
22.0 |
|
19.1 |
| |||||
|
|
|
$ |
75.6 |
|
$ |
45.5 |
|
$ |
47.2 |
|
$ |
38.3 |
|
$ |
78.8 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
|
MUSIC |
|
|
|
|
|
|
|
|
|
|
| |||||
|
Property Catastrophe - Treaty Reinsurance |
|
$ |
— |
|
$ |
— |
|
$ |
— |
|
$ |
— |
|
$ |
— |
|
|
Property Specialty - Treaty Reinsurance |
|
— |
|
— |
|
— |
|
— |
|
— |
| |||||
|
Other Specialty - Treaty Reinsurance |
|
— |
|
— |
|
— |
|
— |
|
— |
| |||||
|
Property & Specialty Individual Risk |
|
11.1 |
|
14.0 |
|
13.0 |
|
11.3 |
|
8.3 |
| |||||
|
|
|
$ |
11.1 |
|
$ |
14.0 |
|
$ |
13.0 |
|
$ |
11.3 |
|
$ |
8.3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
|
Intercompany Reinsurance Eliminations |
|
|
|
|
|
|
|
|
|
|
| |||||
|
Property Catastrophe - Treaty Reinsurance |
|
$ |
— |
|
$ |
— |
|
$ |
— |
|
$ |
(9.2 |
) |
$ |
(0.2 |
) |
|
Property Specialty - Treaty Reinsurance |
|
— |
|
— |
|
— |
|
1.9 |
|
0.1 |
| |||||
|
Other Specialty - Treaty Reinsurance |
|
— |
|
— |
|
— |
|
4.1 |
|
(0.1 |
) | |||||
|
Property & Specialty Individual Risk |
|
— |
|
— |
|
— |
|
3.2 |
|
0.2 |
| |||||
|
|
|
$ |
— |
|
$ |
— |
|
$ |
— |
|
$ |
— |
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
|
Consolidated Total NWP |
|
|
|
|
|
|
|
|
|
|
| |||||
|
Property Catastrophe - Treaty Reinsurance |
|
$ |
119.0 |
|
$ |
7.7 |
|
$ |
24.0 |
|
$ |
97.8 |
|
$ |
143.0 |
|
|
Property Specialty - Treaty Reinsurance |
|
18.9 |
|
13.3 |
|
14.6 |
|
18.0 |
|
18.9 |
| |||||
|
Other Specialty - Treaty Reinsurance |
|
46.0 |
|
27.9 |
|
32.9 |
|
32.2 |
|
64.7 |
| |||||
|
Property & Specialty Individual Risk |
|
42.6 |
|
42.3 |
|
48.2 |
|
48.0 |
|
35.3 |
| |||||
|
|
|
$ |
226.5 |
|
$ |
91.2 |
|
$ |
119.7 |
|
$ |
196.0 |
|
$ |
261.9 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
|
Reinstatements included in NWP |
|
$ |
16.6 |
|
$ |
0.9 |
|
$ |
1.6 |
|
$ |
3.3 |
|
$ |
11.7 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
|
Consolidated 12 Mo. Rolling NWP |
|
$ |
633.4 |
|
$ |
668.8 |
|
$ |
651.8 |
|
$ |
638.4 |
|
$ |
626.3 |
|
MONTPELIER RE HOLDINGS LTD.
Net Premiums Earned by Line of Business
(unaudited)
in millions
|
Net Insurance and Reinsurance Premiums Earned |
|
Q1-11 |
|
Q4-10 |
|
Q3-10 |
|
Q2-10 |
|
Q1-10 |
| |||||
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
|
Bermuda |
|
|
|
|
|
|
|
|
|
|
| |||||
|
Property Catastrophe - Treaty Reinsurance |
|
$ |
59.7 |
|
$ |
61.3 |
|
$ |
63.6 |
|
$ |
63.3 |
|
$ |
70.0 |
|
|
Property Specialty - Treaty Reinsurance |
|
13.4 |
|
12.8 |
|
9.8 |
|
13.3 |
|
11.7 |
| |||||
|
Other Specialty - Treaty Reinsurance |
|
19.7 |
|
18.8 |
|
22.0 |
|
16.3 |
|
17.9 |
| |||||
|
Property & Specialty Individual Risk |
|
7.5 |
|
6.7 |
|
6.5 |
|
8.4 |
|
11.5 |
| |||||
|
|
|
$ |
100.3 |
|
$ |
99.6 |
|
$ |
101.9 |
|
$ |
101.3 |
|
$ |
111.1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
|
Syndicate 5151 |
|
|
|
|
|
|
|
|
|
|
| |||||
|
Property Catastrophe - Treaty Reinsurance |
|
$ |
13.0 |
|
$ |
7.0 |
|
$ |
7.4 |
|
$ |
9.6 |
|
$ |
9.5 |
|
|
Property Specialty - Treaty Reinsurance |
|
3.2 |
|
5.9 |
|
6.0 |
|
5.3 |
|
5.1 |
| |||||
|
Other Specialty - Treaty Reinsurance |
|
14.7 |
|
14.0 |
|
10.7 |
|
10.6 |
|
12.0 |
| |||||
|
Property & Specialty Individual Risk |
|
23.0 |
|
24.4 |
|
20.4 |
|
13.1 |
|
14.0 |
| |||||
|
|
|
$ |
53.9 |
|
$ |
51.3 |
|
$ |
44.5 |
|
$ |
38.6 |
|
$ |
40.6 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
|
MUSIC |
|
|
|
|
|
|
|
|
|
|
| |||||
|
Property Catastrophe - Treaty Reinsurance |
|
$ |
— |
|
$ |
— |
|
$ |
— |
|
$ |
— |
|
$ |
— |
|
|
Property Specialty - Treaty Reinsurance |
|
— |
|
— |
|
— |
|
— |
|
— |
| |||||
|
Other Specialty - Treaty Reinsurance |
|
— |
|
— |
|
— |
|
— |
|
— |
| |||||
|
Property & Specialty Individual Risk |
|
11.9 |
|
11.3 |
|
10.0 |
|
8.4 |
|
6.8 |
| |||||
|
|
|
$ |
11.9 |
|
$ |
11.3 |
|
$ |
10.0 |
|
$ |
8.4 |
|
$ |
6.8 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
|
Intercompany Reinsurance Eliminations |
|
|
|
|
|
|
|
|
|
|
| |||||
|
Property Catastrophe - Treaty Reinsurance |
|
$ |
(2.4 |
) |
$ |
(2.4 |
) |
$ |
(2.6 |
) |
$ |
(2.0 |
) |
$ |
(1.2 |
) |
|
Property Specialty - Treaty Reinsurance |
|
0.6 |
|
0.4 |
|
0.6 |
|
0.6 |
|
0.1 |
| |||||
|
Other Specialty - Treaty Reinsurance |
|
1.0 |
|
1.2 |
|
0.9 |
|
0.9 |
|
0.9 |
| |||||
|
Property & Specialty Individual Risk |
|
0.8 |
|
0.8 |
|
1.1 |
|
0.5 |
|
0.2 |
| |||||
|
|
|
$ |
— |
|
$ |
— |
|
$ |
— |
|
$ |
— |
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
|
Consolidated Total NPE |
|
|
|
|
|
|
|
|
|
|
| |||||
|
Property Catastrophe - Treaty Reinsurance |
|
$ |
70.3 |
|
$ |
65.9 |
|
$ |
68.4 |
|
$ |
70.9 |
|
$ |
78.3 |
|
|
Property Specialty - Treaty Reinsurance |
|
17.2 |
|
19.1 |
|
16.4 |
|
19.2 |
|
16.9 |
| |||||
|
Other Specialty - Treaty Reinsurance |
|
35.4 |
|
34.0 |
|
33.6 |
|
27.8 |
|
30.8 |
| |||||
|
Property & Specialty Individual Risk |
|
43.2 |
|
43.2 |
|
38.0 |
|
30.4 |
|
32.5 |
| |||||
|
|
|
$ |
166.1 |
|
$ |
162.2 |
|
$ |
156.4 |
|
$ |
148.3 |
|
$ |
158.5 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
|
Reinstatements included in NPE |
|
$ |
16.6 |
|
$ |
0.9 |
|
$ |
1.6 |
|
$ |
3.3 |
|
$ |
11.7 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
|
Consolidated 12 Mo. Rolling NPE |
|
$ |
633.0 |
|
$ |
625.4 |
|
$ |
618.0 |
|
$ |
605.2 |
|
$ |
598.3 |
|
MONTPELIER RE HOLDINGS LTD.
Rollforward of Loss Reserves (unaudited)
in millions
|
|
|
Three months ended March 31, 2011 |
|
Three months ended March 31, 2010 |
| ||||||||||||||
|
|
|
Gross |
|
Recoveries |
|
Net |
|
Gross |
|
Recoveries |
|
Net |
| ||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
|
Reserve for unpaid losses, beginning of period |
|
$ |
784.6 |
|
$ |
62.4 |
|
$ |
722.2 |
|
$ |
680.8 |
|
$ |
69.6 |
|
$ |
611.2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
|
Losses incurred: |
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
|
Current year |
|
290.5 |
|
8.5 |
|
282.0 |
|
169.6 |
|
1.3 |
|
168.3 |
| ||||||
|
Prior years |
|
(32.7 |
) |
0.9 |
|
(33.6 |
) |
(24.4 |
) |
(0.3 |
) |
(24.1 |
) | ||||||
|
Total losses incurred |
|
257.8 |
|
9.4 |
|
248.4 |
|
145.2 |
|
1.0 |
|
144.2 |
| ||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
|
Net impact of foreign currency movements |
|
6.1 |
|
— |
|
6.1 |
|
(6.0 |
) |
(0.1 |
) |
(5.9 |
) | ||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
|
Losses paid and approved for payment: |
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
|
Current year |
|
2.8 |
|
0.1 |
|
2.7 |
|
1.3 |
|
0.3 |
|
1.0 |
| ||||||
|
Prior years |
|
54.8 |
|
3.0 |
|
51.8 |
|
39.3 |
|
2.4 |
|
36.9 |
| ||||||
|
Total paid losses |
|
57.6 |
|
3.1 |
|
54.5 |
|
40.6 |
|
2.7 |
|
37.9 |
| ||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
|
Reserve for unpaid losses, end of period |
|
$ |
990.9 |
|
$ |
68.7 |
|
$ |
922.2 |
|
$ |
779.4 |
|
$ |
67.8 |
|
$ |
711.6 |
|
MONTPELIER RE HOLDINGS LTD.
Consolidated Losses and Loss Ratios
(unaudited)
$ in millions
|
|
|
Q1-11 |
|
Q4-10 |
|
Q3-10 |
|
Q2-10 |
|
Q1-10 |
| |||||
|
Property Catastrophe - Treaty |
|
|
|
|
|
|
|
|
|
|
| |||||
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
|
Net reserves: start |
|
$ |
200.5 |
|
$ |
207.6 |
|
$ |
220.1 |
|
$ |
242.5 |
|
$ |
155.8 |
|
|
Change in prior AY |
|
(5.2 |
) |
(6.9 |
) |
(2.4 |
) |
(3.3 |
) |
(5.4 |
) | |||||
|
Losses paid and approved for payment |
|
(25.6 |
) |
(28.3 |
) |
(26.7 |
) |
(23.8 |
) |
(13.9 |
) | |||||
|
Current yr. incurred losses |
|
200.9 |
|
28.1 |
|
16.6 |
|
4.7 |
|
106.0 |
| |||||
|
Net reserves: end |
|
$ |
370.6 |
|
$ |
200.5 |
|
$ |
207.6 |
|
$ |
220.1 |
|
$ |
242.5 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
|
Net earned premium |
|
$ |
70.3 |
|
$ |
65.9 |
|
$ |
68.4 |
|
$ |
70.9 |
|
$ |
78.3 |
|
|
Net loss ratio |
|
278.4 |
% |
32.2 |
% |
20.8 |
% |
2.0 |
% |
128.5 |
% | |||||
|
Net loss ratio excl. prior AY adjusts. |
|
285.8 |
% |
42.7 |
% |
24.3 |
% |
6.7 |
% |
135.4 |
% | |||||
|
Net loss ratio - prior AY adjusts. |
|
-7.4 |
% |
-10.5 |
% |
-3.5 |
% |
-4.7 |
% |
-6.9 |
% | |||||
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
|
IBNR |
|
$ |
266.4 |
|
$ |
84.4 |
|
$ |
101.2 |
|
$ |
150.4 |
|
$ |
161.3 |
|
|
IBNR as a % of net reserves |
|
72 |
% |
42 |
% |
49 |
% |
68 |
% |
67 |
% | |||||
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
|
Property Specialty - Treaty |
|
|
|
|
|
|
|
|
|
|
| |||||
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
|
Net reserves: start |
|
$ |
139.1 |
|
$ |
136.6 |
|
$ |
144.6 |
|
$ |
147.9 |
|
$ |
140.8 |
|
|
Change in prior AY |
|
(9.7 |
) |
(3.7 |
) |
(8.9 |
) |
(9.2 |
) |
(4.8 |
) | |||||
|
Losses paid and approved for payment |
|
(10.0 |
) |
(6.8 |
) |
(12.6 |
) |
(8.5 |
) |
(11.2 |
) | |||||
|
Current yr. incurred losses |
|
27.1 |
|
13.0 |
|
13.5 |
|
14.4 |
|
23.1 |
| |||||
|
Net reserves: end |
|
$ |
146.5 |
|
$ |
139.1 |
|
$ |
136.6 |
|
$ |
144.6 |
|
$ |
147.9 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
|
Net earned premium |
|
$ |
17.2 |
|
$ |
19.1 |
|
$ |
16.4 |
|
$ |
19.2 |
|
$ |
16.9 |
|
|
Net loss ratio |
|
101.2 |
% |
48.7 |
% |
28.0 |
% |
27.1 |
% |
108.3 |
% | |||||
|
Net loss ratio excl. prior AY adjusts. |
|
157.6 |
% |
68.1 |
% |
82.3 |
% |
75.0 |
% |
136.7 |
% | |||||
|
Net loss ratio - prior AY adjusts. |
|
-56.4 |
% |
-19.4 |
% |
-54.3 |
% |
-47.9 |
% |
-28.4 |
% | |||||
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
|
IBNR |
|
$ |
99.2 |
|
$ |
88.2 |
|
$ |
86.8 |
|
$ |
91.9 |
|
$ |
102.9 |
|
|
IBNR as a % of net reserves |
|
68 |
% |
63 |
% |
64 |
% |
64 |
% |
70 |
% | |||||
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
|
TOTAL |
|
|
|
|
|
|
|
|
|
|
| |||||
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
|
Net reserves: start |
|
$ |
722.2 |
|
$ |
711.0 |
|
$ |
705.9 |
|
$ |
711.6 |
|
$ |
611.2 |
|
|
Change in prior AY |
|
(33.6 |
) |
(24.5 |
) |
(21.3 |
) |
(39.4 |
) |
(24.1 |
) | |||||
|
Losses paid and approved for payment |
|
(54.5 |
) |
(48.0 |
) |
(54.4 |
) |
(49.0 |
) |
(37.7 |
) | |||||
|
Current yr. incurred losses |
|
282.0 |
|
87.0 |
|
73.3 |
|
83.0 |
|
168.3 |
| |||||
|
Net impact of foreign currency |
|
6.1 |
|
(3.3 |
) |
7.5 |
|
(0.3 |
) |
(6.1 |
) | |||||
|
Net reserves: end |
|
$ |
922.2 |
|
$ |
722.2 |
|
$ |
711.0 |
|
$ |
705.9 |
|
$ |
711.6 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
|
Net earned premium |
|
$ |
166.1 |
|
$ |
162.2 |
|
$ |
156.4 |
|
$ |
148.3 |
|
$ |
158.5 |
|
|
Net loss ratio |
|
149.5 |
% |
38.6 |
% |
33.3 |
% |
29.4 |
% |
91.0 |
% | |||||
|
Net loss ratio excl. prior AY adjusts. |
|
169.7 |
% |
53.7 |
% |
46.8 |
% |
55.9 |
% |
106.2 |
% | |||||
|
Net loss ratio - prior AY adjusts. |
|
-20.2 |
% |
-15.1 |
% |
-13.5 |
% |
-26.5 |
% |
-15.2 |
% | |||||
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
|
IBNR |
|
$ |
656.4 |
|
$ |
454.5 |
|
$ |
465.3 |
|
$ |
509.6 |
|
$ |
504.5 |
|
|
IBNR as a % of net reserves |
|
71 |
% |
63 |
% |
65 |
% |
72 |
% |
71 |
% | |||||
|
|
|
Q1-11 |
|
Q4-10 |
|
Q3-10 |
|
Q2-10 |
|
Q1-10 |
| |||||
|
Other Specialty - Treaty |
|
|
|
|
|
|
|
|
|
|
| |||||
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
|
Net reserves: start |
|
$ |
246.7 |
|
$ |
242.0 |
|
$ |
238.4 |
|
$ |
220.7 |
|
$ |
217.3 |
|
|
Change in prior AY |
|
(7.0 |
) |
(9.0 |
) |
(6.2 |
) |
(13.5 |
) |
(8.0 |
) | |||||
|
Losses paid and approved for payment |
|
(7.7 |
) |
(4.1 |
) |
(8.6 |
) |
(11.3 |
) |
(10.2 |
) | |||||
|
Current yr. incurred losses |
|
19.9 |
|
17.8 |
|
18.4 |
|
42.5 |
|
21.6 |
| |||||
|
Net reserves: end |
|
$ |
251.9 |
|
$ |
246.7 |
|
$ |
242.0 |
|
$ |
238.4 |
|
$ |
220.7 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
|
Net earned premium |
|
$ |
35.4 |
|
$ |
34.0 |
|
$ |
33.6 |
|
$ |
27.8 |
|
$ |
30.8 |
|
|
Net loss ratio |
|
36.4 |
% |
25.9 |
% |
36.3 |
% |
104.3 |
% |
44.2 |
% | |||||
|
Net loss ratio excl. prior AY adjusts. |
|
56.2 |
% |
52.4 |
% |
54.8 |
% |
152.9 |
% |
70.2 |
% | |||||
|
Net loss ratio - prior AY adjusts. |
|
-19.8 |
% |
-26.5 |
% |
-18.5 |
% |
-48.6 |
% |
-26.0 |
% | |||||
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
|
IBNR |
|
$ |
193.3 |
|
$ |
191.5 |
|
$ |
191.2 |
|
$ |
189.7 |
|
$ |
170.7 |
|
|
IBNR as a % of net reserves |
|
77 |
% |
78 |
% |
79 |
% |
80 |
% |
77 |
% | |||||
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
|
Property and Specialty Individual Risk |
|
|
|
|
|
|
|
|
|
|
| |||||
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
|
Net reserves: start |
|
$ |
138.6 |
|
$ |
124.2 |
|
$ |
109.7 |
|
$ |
107.1 |
|
$ |
97.8 |
|
|
Change in prior AY |
|
(11.7 |
) |
(4.9 |
) |
(3.8 |
) |
(13.4 |
) |
(5.9 |
) | |||||
|
Losses paid and approved for payment |
|
(11.2 |
) |
(8.8 |
) |
(6.5 |
) |
(5.4 |
) |
(2.4 |
) | |||||
|
Current yr. incurred losses |
|
34.1 |
|
28.1 |
|
24.8 |
|
21.4 |
|
17.6 |
| |||||
|
Net reserves: end |
|
$ |
149.8 |
|
$ |
138.6 |
|
$ |
124.2 |
|
$ |
109.7 |
|
$ |
107.1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
|
Net earned premium |
|
$ |
43.2 |
|
$ |
43.2 |
|
$ |
38.0 |
|
$ |
30.4 |
|
$ |
32.5 |
|
|
Net loss ratio |
|
51.9 |
% |
53.7 |
% |
55.3 |
% |
26.3 |
% |
36.0 |
% | |||||
|
Net loss ratio excl. prior AY adjusts. |
|
79.0 |
% |
65.0 |
% |
65.3 |
% |
70.4 |
% |
54.2 |
% | |||||
|
Net loss ratio - prior AY adjusts. |
|
-27.1 |
% |
-11.3 |
% |
-10.0 |
% |
-44.1 |
% |
-18.2 |
% | |||||
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
|
IBNR |
|
$ |
97.5 |
|
$ |
90.4 |
|
$ |
86.1 |
|
$ |
77.6 |
|
$ |
69.6 |
|
|
IBNR as a % of net reserves |
|
65 |
% |
65 |
% |
69 |
% |
71 |
% |
65 |
% | |||||
MONTPELIER RE HOLDINGS LTD.
Consolidated Investment Portfolio (unaudited)
$ in millions
|
|
|
March 31, 2011 |
|
December 31, 2010 |
|
September 30, 2010 |
|
June 30, 2010 |
|
March 31, 2010 |
| |||||||||||||||||||||
|
|
|
Amortized |
|
|
|
Fair |
|
|
|
Fair |
|
|
|
Fair |
|
|
|
Fair |
|
|
|
Fair |
|
|
| |||||||
|
|
|
Cost |
|
Gain |
|
Value |
|
% |
|
Value |
|
% |
|
Value |
|
% |
|
Value |
|
% |
|
Value |
|
% |
| |||||||
|
Composition: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
|
Fixed maturities |
|
$ |
2,247.7 |
|
$ |
23.1 |
|
$ |
2,270.8 |
|
81 |
% |
$ |
2,289.3 |
|
82 |
% |
$ |
2,329.0 |
|
84 |
% |
$ |
2,218.7 |
|
82 |
% |
$ |
2,111.5 |
|
81 |
% |
|
Equity securities |
|
80.0 |
|
42.8 |
|
122.8 |
|
4 |
% |
152.9 |
|
5 |
% |
113.4 |
|
4 |
% |
134.2 |
|
5 |
% |
138.7 |
|
5 |
% | |||||||
|
Other investments |
|
79.1 |
|
6.6 |
|
85.7 |
|
3 |
% |
90.1 |
|
3 |
% |
92.6 |
|
3 |
% |
66.8 |
|
3 |
% |
77.0 |
|
3 |
% | |||||||
|
Cash equivalents |
|
82.2 |
|
— |
|
82.2 |
|
3 |
% |
71.7 |
|
3 |
% |
48.8 |
|
2 |
% |
70.5 |
|
3 |
% |
86.4 |
|
3 |
% | |||||||
|
Cash and restricted cash |
|
250.8 |
|
— |
|
250.8 |
|
9 |
% |
187.7 |
|
7 |
% |
208.5 |
|
7 |
% |
181.8 |
|
7 |
% |
209.4 |
|
8 |
% | |||||||
|
Total investments and cash |
|
$ |
2,739.8 |
|
$ |
72.5 |
|
$ |
2,812.3 |
|
100 |
% |
$ |
2,791.7 |
|
100 |
% |
$ |
2,792.3 |
|
100 |
% |
$ |
2,672.0 |
|
100 |
% |
$ |
2,623.0 |
|
100 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
|
Fixed maturities allocation: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
|
Mortgage-backed and asset-backed securities (1) |
|
$ |
914.1 |
|
$ |
3.0 |
|
$ |
917.1 |
|
40 |
% |
$ |
805.8 |
|
35 |
% |
$ |
964.2 |
|
41 |
% |
$ |
879.0 |
|
40 |
% |
$ |
801.8 |
|
37 |
% |
|
Government & government-sponsored entities |
|
562.6 |
|
5.0 |
|
567.6 |
|
25 |
% |
712.8 |
|
31 |
% |
801.8 |
|
34 |
% |
695.0 |
|
31 |
% |
710.0 |
|
34 |
% | |||||||
|
Corporate bonds (2) |
|
709.2 |
|
14.3 |
|
723.5 |
|
32 |
% |
711.0 |
|
31 |
% |
525.5 |
|
23 |
% |
608.0 |
|
27 |
% |
561.3 |
|
27 |
% | |||||||
|
Municipal bonds |
|
61.8 |
|
0.8 |
|
62.6 |
|
3 |
% |
59.7 |
|
3 |
% |
37.5 |
|
2 |
% |
36.7 |
|
2 |
% |
38.4 |
|
2 |
% | |||||||
|
Total fixed maturities |
|
$ |
2,247.7 |
|
$ |
23.1 |
|
$ |
2,270.8 |
|
100 |
% |
$ |
2,289.3 |
|
100 |
% |
$ |
2,329.0 |
|
100 |
% |
$ |
2,218.7 |
|
100 |
% |
$ |
2,111.5 |
|
100 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
|
Other investments: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
|
Limited partnership interests and private investment funds |
|
$ |
68.5 |
|
$ |
4.0 |
|
$ |
72.5 |
|
85 |
% |
$ |
76.0 |
|
84 |
% |
$ |
78.7 |
|
85 |
% |
$ |
52.2 |
|
79 |
% |
$ |
64.0 |
|
83 |
% |
|
Catastrophe bonds |
|
10.0 |
|
0.6 |
|
10.6 |
|
12 |
% |
10.6 |
|
12 |
% |
10.5 |
|
11 |
% |
10.3 |
|
15 |
% |
10.3 |
|
13 |
% | |||||||
|
Derivative instruments |
|
0.6 |
|
2.0 |
|
2.6 |
|
3 |
% |
3.5 |
|
4 |
% |
3.4 |
|
4 |
% |
4.3 |
|
6 |
% |
2.7 |
|
4 |
% | |||||||
|
Total other investments |
|
$ |
79.1 |
|
$ |
6.6 |
|
$ |
85.7 |
|
100 |
% |
$ |
90.1 |
|
100 |
% |
$ |
92.6 |
|
100 |
% |
$ |
66.8 |
|
100 |
% |
$ |
77.0 |
|
100 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
|
Total investment return: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
|
Net investment income |
|
|
|
|
|
$ |
17.6 |
|
|
|
$ |
16.6 |
|
|
|
$ |
18.7 |
|
|
|
$ |
20.3 |
|
|
|
$ |
18.5 |
|
|
| ||
|
Net realized investment gains (losses) |
|
|
|
|
|
5.6 |
|
|
|
(3.6 |
) |
|
|
13.1 |
|
|
|
7.1 |
|
|
|
9.1 |
|
|
| |||||||
|
Net unrealized investment gains (losses) |
|
|
|
|
|
10.2 |
|
|
|
(13.1 |
) |
|
|
17.5 |
|
|
|
(4.1 |
) |
|
|
15.1 |
|
|
| |||||||
|
Net investment FX gains (losses) |
|
|
|
|
|
2.1 |
|
|
|
1.6 |
|
|
|
(0.2 |
) |
|
|
(0.2 |
) |
|
|
2.4 |
|
|
| |||||||
|
Total investment return |
|
|
|
|
|
$ |
35.5 |
|
|
|
$ |
1.5 |
|
|
|
$ |
49.1 |
|
|
|
$ |
23.1 |
|
|
|
$ |
45.1 |
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
|
Total quarterly return on average fair value % |
|
|
|
|
|
1.2 |
% |
|
|
0.0 |
% |
|
|
1.8 |
% |
|
|
0.9 |
% |
|
|
1.6 |
% |
|
| |||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
|
Average market yield to worst of fixed maturities and cash equivalents |
|
|
|
|
|
3.4 |
% |
|
|
3.1 |
% |
|
|
2.3 |
% |
|
|
2.7 |
% |
|
|
3.4 |
% |
|
| |||||||
|
Average duration of fixed maturities, cash and cash equivalents |
|
|
|
|
|
2.7 years |
|
|
|
3.1 years |
|
|
|
1.7 years |
|
|
|
1.9 years |
|
|
|
2.2 years |
|
|
| |||||||
|
Average credit quality of fixed maturities and cash equivalents |
|
|
|
|
|
AA |
|
|
|
AA |
|
|
|
AA+ |
|
|
|
AA+ |
|
|
|
AA+ |
|
|
| |||||||
|
Average duration of fixed maturities |
|
|
|
|
|
3.1 years |
|
|
|
3.4 years |
|
|
|
1.9 years |
|
|
|
2.2 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.
MONTPELIER RE HOLDINGS LTD.
Consolidated Investment Detail
Mortgage-Backed and Asset-Backed Securities
(unaudited)
$ in millions
At March 31, 2011
|
|
|
|
|
|
|
|
|
|
|
Option |
|
|
|
Fair Value |
| ||||||||||
|
|
|
Amortized |
|
Fair |
|
Gain |
|
|
|
Adjusted |
|
Average |
|
|
|
|
|
Insurance (1) |
| ||||||
|
Mortgage-backed and asset-backed securities |
|
Cost |
|
Value |
|
(Loss) |
|
Rating |
|
Duration |
|
Life |
|
Subprime |
|
Alt-A |
|
wrapped |
| ||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
|
Residential-Mortgage Backed: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
|
GNMA |
|
$ |
64.5 |
|
$ |
66.7 |
|
$ |
2.2 |
|
AAA |
|
|
|
|
|
|
|
|
|
|
| |||
|
FNMA |
|
137.1 |
|
136.2 |
|
(0.9 |
) |
AAA |
|
|
|
|
|
|
|
|
|
|
| ||||||
|
Freddie Mac |
|
169.8 |
|
169.5 |
|
(0.3 |
) |
AAA |
|
|
|
|
|
|
|
|
|
|
| ||||||
|
Total Residential Mortgage-Backed |
|
$ |
371.4 |
|
$ |
372.4 |
|
$ |
1.0 |
|
AAA |
|
4.0 |
|
5.1 |
|
|
|
|
|
|
| |||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
|
Collateralized Residential Mortgage Obligations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
|
GNMA |
|
$ |
69.0 |
|
$ |
68.6 |
|
$ |
(0.4 |
) |
AAA |
|
|
|
|
|
|
|
|
|
|
| |||
|
FNMA |
|
44.3 |
|
44.8 |
|
0.5 |
|
AAA |
|
|
|
|
|
|
|
|
|
|
| ||||||
|
Freddie Mac |
|
61.7 |
|
62.6 |
|
0.9 |
|
AAA |
|
|
|
|
|
|
|
|
|
|
| ||||||
|
Nat’l Credit Union Admin |
|
0.2 |
|
0.2 |
|
— |
|
AAA |
|
|
|
|
|
|
|
|
|
|
| ||||||
|
Other |
|
1.5 |
|
1.5 |
|
— |
|
AAA |
|
|
|
|
|
|
|
|
|
|
| ||||||
|
Total agency CMOS |
|
176.7 |
|
177.7 |
|
1.0 |
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
|
Non-agency CMOS |
|
16.8 |
|
16.9 |
|
0.1 |
|
AAA |
|
|
|
|
|
|
|
$ |
3.3 |
|
|
| |||||
|
Non-agency CMOS |
|
0.1 |
|
0.1 |
|
— |
|
AA |
|
|
|
|
|
|
|
|
|
|
| ||||||
|
Non-agency CMOS |
|
1.0 |
|
1.0 |
|
— |
|
BBB |
|
|
|
|
|
|
|
0.8 |
|
|
| ||||||
|
Non-agency CMOS |
|
5.2 |
|
5.1 |
|
(0.1 |
) |
BB |
|
|
|
|
|
|
|
|
|
|
| ||||||
|
Non-agency CMOS |
|
4.0 |
|
4.0 |
|
— |
|
B |
|
|
|
|
|
|
|
|
|
|
| ||||||
|
Non-agency CMOS |
|
7.0 |
|
6.7 |
|
(0.3 |
) |
CCC |
|
|
|
|
|
|
|
1.6 |
|
|
| ||||||
|
Non-agency CMOS |
|
2.5 |
|
2.4 |
|
(0.1 |
) |
CC |
|
|
|
|
|
|
|
0.6 |
|
|
| ||||||
|
Total Non-agency CMOS |
|
36.6 |
|
36.2 |
|
(0.4 |
) |
|
|
|
|
|
|
|
|
|
|
|
| ||||||
|
Total Collateralized Residential Mortgage Obligations |
|
$ |
213.3 |
|
$ |
213.9 |
|
$ |
0.6 |
|
AAA |
|
2.6 |
|
3.7 |
|
$ |
— |
|
$ |
6.3 |
|
— |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
|
Asset-Backed Securities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
|
Credit card |
|
$ |
52.6 |
|
$ |
52.6 |
|
$ |
— |
|
AAA |
|
|
|
|
|
|
|
|
|
|
| |||
|
Credit card |
|
8.5 |
|
8.5 |
|
— |
|
A |
|
|
|
|
|
|
|
|
|
|
| ||||||
|
Auto |
|
35.9 |
|
36.0 |
|
0.1 |
|
AAA |
|
|
|
|
|
|
|
|
|
|
| ||||||
|
Auto |
|
9.8 |
|
9.9 |
|
0.1 |
|
AA |
|
|
|
|
|
|
|
|
|
|
| ||||||
|
Auto |
|
0.5 |
|
0.5 |
|
— |
|
A |
|
|
|
|
|
|
|
|
|
|
| ||||||
|
Auto |
|
7.4 |
|
7.4 |
|
— |
|
BBB |
|
|
|
|
|
|
|
|
|
$ |
2.6 |
| |||||
|
Home Equity |
|
3.2 |
|
3.3 |
|
0.1 |
|
AAA |
|
|
|
|
|
$ |
3.3 |
|
|
|
|
| |||||
|
Home Equity |
|
0.1 |
|
0.1 |
|
— |
|
AA |
|
|
|
|
|
0.1 |
|
|
|
|
| ||||||
|
Home Equity |
|
3.3 |
|
3.3 |
|
— |
|
A |
|
|
|
|
|
3.3 |
|
|
|
|
| ||||||
|
Home Equity |
|
4.6 |
|
4.8 |
|
0.2 |
|
BB |
|
|
|
|
|
4.8 |
|
|
|
|
| ||||||
|
Home Equity |
|
1.1 |
|
1.1 |
|
— |
|
B |
|
|
|
|
|
1.1 |
|
|
|
|
| ||||||
|
Home Equity |
|
0.9 |
|
1.4 |
|
0.5 |
|
C |
|
|
|
|
|
1.4 |
|
|
|
|
| ||||||
|
Equipment |
|
6.7 |
|
6.6 |
|
(0.1 |
) |
AAA |
|
|
|
|
|
|
|
|
|
|
| ||||||
|
Commercial Mortgage Backed Securities |
|
100.1 |
|
100.9 |
|
0.8 |
|
AAA |
|
|
|
|
|
|
|
|
|
|
| ||||||
|
Commercial Mortgage Backed Securities |
|
35.4 |
|
34.8 |
|
(0.6 |
) |
AA |
|
|
|
|
|
|
|
|
|
|
| ||||||
|
Commercial Mortgage Backed Securities |
|
16.4 |
|
16.5 |
|
0.1 |
|
A |
|
|
|
|
|
|
|
|
|
|
| ||||||
|
Commercial Mortgage Backed Securities |
|
1.2 |
|
1.2 |
|
— |
|
NR |
|
|
|
|
|
|
|
|
|
|
| ||||||
|
Miscellaneous |
|
10.5 |
|
10.5 |
|
— |
|
AAA |
|
|
|
|
|
|
|
|
|
|
| ||||||
|
Miscellaneous |
|
6.6 |
|
6.6 |
|
— |
|
AA |
|
|
|
|
|
|
|
|
|
|
| ||||||
|
Miscellaneous |
|
21.5 |
|
21.5 |
|
— |
|
A |
|
|
|
|
|
|
|
|
|
|
| ||||||
|
Miscellaneous |
|
3.0 |
|
3.1 |
|
0.1 |
|
BBB |
|
|
|
|
|
|
|
|
|
3.1 |
| ||||||
|
Total Asset-Backed Securities |
|
$ |
329.4 |
|
$ |
330.7 |
|
$ |
1.3 |
|
AA |
|
1.7 |
|
2.9 |
|
$ |
14.1 |
|
$ |
— |
|
$ |
5.7 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
|
Total Mortgage-Backed and Asset-Backed Securities |
|
$ |
914.1 |
|
$ |
917.1 |
|
$ |
3.0 |
|
|
|
|
|
|
|
$ |
14.1 |
|
$ |
6.3 |
|
$ |
5.7 |
|
(1) We estimate that our insurance wrapped investments at 3/31/11 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 March 31, 2011
Corporate Bonds - Quality:
|
|
|
|
|
|
|
|
|
Option |
| |||
|
|
|
|
|
|
|
|
|
Adjusted |
| |||
|
|
|
Amortized |
|
Fair |
|
Gain |
|
Duration |
| |||
|
|
|
Cost |
|
Value |
|
(Loss) |
|
(Years) |
| |||
|
|
|
|
|
|
|
|
|
|
| |||
|
AAA |
|
$ |
41.4 |
|
$ |
41.3 |
|
$ |
(0.1 |
) |
2.1 |
|
|
AA |
|
78.7 |
|
80.0 |
|
1.3 |
|
3.3 |
| |||
|
A |
|
305.5 |
|
311.3 |
|
5.8 |
|
3.5 |
| |||
|
BBB |
|
144.7 |
|
145.5 |
|
0.8 |
|
4.6 |
| |||
|
Below BBB |
|
133.4 |
|
140.3 |
|
6.9 |
|
2.9 |
| |||
|
Not Rated |
|
5.5 |
|
5.1 |
|
(0.4 |
) |
2.2 |
| |||
|
Total Corporate Bonds |
|
$ |
709.2 |
|
$ |
723.5 |
|
$ |
14.3 |
|
3.5 |
|
Corporate Bonds - Top Ten Holdings:
|
|
|
|
|
|
|
|
|
% of |
| |||
|
|
|
Amortized |
|
Fair |
|
|
|
Total Corp. |
| |||
|
|
|
Cost |
|
Value |
|
Gain |
|
Bonds |
| |||
|
|
|
|
|
|
|
|
|
|
| |||
|
General Electric |
|
$ |
28.4 |
|
$ |
29.2 |
|
$ |
0.8 |
|
4.0 |
% |
|
Bank of America Corp |
|
20.9 |
|
21.2 |
|
0.3 |
|
2.9 |
% | |||
|
BP Capital |
|
19.9 |
|
20.7 |
|
0.8 |
|
2.9 |
% | |||
|
ConocoPhillips |
|
19.0 |
|
20.3 |
|
1.3 |
|
2.8 |
% | |||
|
Morgan Stanley |
|
18.8 |
|
18.9 |
|
0.1 |
|
2.6 |
% | |||
|
Citigroup Inc |
|
18.1 |
|
18.3 |
|
0.2 |
|
2.5 |
% | |||
|
BA Covered Bond issuer |
|
16.0 |
|
16.7 |
|
0.7 |
|
2.3 |
% | |||
|
Verizon Communications |
|
14.6 |
|
14.9 |
|
0.3 |
|
2.1 |
% | |||
|
JP Morgan Chase |
|
14.7 |
|
14.8 |
|
0.1 |
|
2.0 |
% | |||
|
Goldman Sachs Group |
|
13.9 |
|
14.1 |
|
0.2 |
|
1.9 |
% | |||
|
Total |
|
$ |
184.3 |
|
$ |
189.1 |
|
$ |
4.8 |
|
26.1 |
% |
Corporate Bonds - By Sector:
|
|
|
|
|
|
|
|
|
Option |
| |||
|
|
|
|
|
|
|
|
|
Adjusted |
| |||
|
|
|
Amortized |
|
Fair |
|
Gain |
|
Duration |
| |||
|
|
|
Cost |
|
Value |
|
(Loss) |
|
(Years) |
| |||
|
|
|
|
|
|
|
|
|
|
| |||
|
Industrial |
|
$ |
325.1 |
|
$ |
333.2 |
|
$ |
8.0 |
|
3.5 |
|
|
Financial |
|
287.6 |
|
293.4 |
|
5.7 |
|
3.5 |
| |||
|
Utility |
|
19.7 |
|
19.6 |
|
(0.1 |
) |
4.2 |
| |||
|
All Others |
|
76.7 |
|
77.4 |
|
0.7 |
|
3.0 |
| |||
|
Total |
|
$ |
709.2 |
|
$ |
723.5 |
|
$ |
14.3 |
|
3.5 |
|
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:
|
|
|
Mar 31 |
|
Dec 31 |
|
Sept 30 |
|
Jun 30 |
|
Mar 31 |
| |||||||||||||||
|
|
|
2011 |
|
2010 |
|
2010 |
|
2010 |
|
2010 |
| |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
|
Reinsurance recoverable on paid losses |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
|
A++ |
|
$ |
— |
|
— |
% |
$ |
— |
|
— |
% |
$ |
— |
|
— |
% |
$ |
— |
|
— |
% |
$ |
— |
|
— |
% |
|
A+ |
|
0.2 |
|
8 |
|
5.9 |
|
46 |
|
6.4 |
|
93 |
|
3.6 |
|
78 |
|
43.3 |
|
98 |
| |||||
|
A |
|
0.3 |
|
12 |
|
6.9 |
|
53 |
|
0.4 |
|
6 |
|
0.9 |
|
20 |
|
0.3 |
|
1 |
| |||||
|
A- |
|
0.1 |
|
4 |
|
0.1 |
|
1 |
|
0.1 |
|
1 |
|
0.1 |
|
2 |
|
0.3 |
|
1 |
| |||||
|
Unrated (1) |
|
1.9 |
|
76 |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
| |||||
|
Recoverable under MUSIC guarantee (2) |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
| |||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
|
|
|
$ |
2.5 |
|
100 |
% |
$ |
12.9 |
|
100 |
% |
$ |
6.9 |
|
100 |
% |
$ |
4.6 |
|
100 |
% |
$ |
43.9 |
|
100 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
|
Reinsurance recoverable on unpaid losses |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
|
A++ |
|
$ |
— |
|
— |
% |
$ |
— |
|
— |
% |
$ |
— |
|
— |
% |
$ |
— |
|
— |
% |
$ |
— |
|
— |
% |
|
A+ |
|
17.3 |
|
25 |
|
17.9 |
|
29 |
|
26.3 |
|
38 |
|
30.6 |
|
44 |
|
26.2 |
|
39 |
| |||||
|
A |
|
19.9 |
|
29 |
|
21.0 |
|
34 |
|
28.3 |
|
40 |
|
28.3 |
|
40 |
|
29.9 |
|
44 |
| |||||
|
A- |
|
2.3 |
|
3 |
|
1.4 |
|
2 |
|
1.4 |
|
2 |
|
2.1 |
|
3 |
|
1.9 |
|
3 |
| |||||
|
Unrated (1) |
|
23.4 |
|
35 |
|
16.3 |
|
26 |
|
8.6 |
|
12 |
|
3.1 |
|
4 |
|
3.1 |
|
4 |
| |||||
|
Recoverable under MUSIC guarantee (2) |
|
5.8 |
|
8 |
|
5.8 |
|
9 |
|
5.8 |
|
8 |
|
6.0 |
|
9 |
|
6.7 |
|
10 |
| |||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
|
|
|
$ |
68.7 |
|
100 |
% |
$ |
62.4 |
|
100 |
% |
$ |
70.4 |
|
100 |
% |
$ |
70.1 |
|
100 |
% |
$ |
67.8 |
|
100 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
|
Total reinsurance recoverable |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
|
A++ |
|
$ |
— |
|
— |
% |
$ |
— |
|
— |
% |
$ |
— |
|
— |
% |
$ |
— |
|
— |
% |
$ |
— |
|
— |
% |
|
A+ |
|
17.5 |
|
25 |
|
23.8 |
|
32 |
|
32.7 |
|
42 |
|
34.2 |
|
46 |
|
69.5 |
|
62 |
| |||||
|
A |
|
20.2 |
|
28 |
|
27.9 |
|
36 |
|
28.7 |
|
37 |
|
29.2 |
|
39 |
|
30.2 |
|
27 |
| |||||
|
A- |
|
2.4 |
|
3 |
|
1.5 |
|
2 |
|
1.5 |
|
2 |
|
2.2 |
|
3 |
|
2.2 |
|
2 |
| |||||
|
Unrated (1) |
|
25.3 |
|
36 |
|
16.3 |
|
22 |
|
8.6 |
|
11 |
|
3.1 |
|
4 |
|
3.1 |
|
3 |
| |||||
|
Recoverable under MUSIC guarantee (2) |
|
5.8 |
|
8 |
|
5.8 |
|
8 |
|
5.8 |
|
8 |
|
6.0 |
|
8 |
|
6.7 |
|
6 |
| |||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
|
|
|
$ |
71.2 |
|
100 |
% |
$ |
75.3 |
|
100 |
% |
$ |
77.3 |
|
100 |
% |
$ |
74.7 |
|
100 |
% |
$ |
111.7 |
|
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 financially sound 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 March 31, 2011. 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
|
|
|
Mar 31 |
|
Dec 31 |
|
Sept 30 |
|
June 30 |
|
Mar 31 |
| |||||
|
|
|
2011 |
|
2010 |
|
2010 |
|
2010 |
|
2010 |
| |||||
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
|
Numerator |
|
|
|
|
|
|
|
|
|
|
| |||||
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
|
Book value per share and fully converted book value per share numerator (common shareholders’ equity) |
|
$ |
1,472.1 |
|
$ |
1,628.8 |
|
$ |
1,668.4 |
|
$ |
1,621.4 |
|
$ |
1,558.5 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
|
Intangible asset |
|
(4.8 |
) |
(4.8 |
) |
(4.8 |
) |
(4.8 |
) |
(4.8 |
) | |||||
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
|
Fully converted tangible book value per share numerator |
|
$ |
1,467.3 |
|
$ |
1,624.0 |
|
$ |
1,663.6 |
|
$ |
1,616.6 |
|
$ |
1,553.7 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
|
Denominator (in shares) |
|
|
|
|
|
|
|
|
|
|
| |||||
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
|
Book value per share denominator (ending common shares) |
|
62,347,071 |
|
64,557,204 |
|
68,258,453 |
|
70,888,952 |
|
71,082,196 |
| |||||
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
|
Common share obligations under benefit plans |
|
1,377,922 |
|
1,637,580 |
|
1,976,739 |
|
1,799,987 |
|
1,889,904 |
| |||||
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
|
Fully converted book value per share and fully converted tangible book value per share denominator |
|
63,724,993 |
|
66,194,784 |
|
70,235,192 |
|
72,688,939 |
|
72,972,100 |
| |||||
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
|
Book value per share |
|
$ |
23.61 |
|
$ |
25.23 |
|
$ |
24.44 |
|
$ |
22.87 |
|
$ |
21.93 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
|
Fully converted book value per share |
|
$ |
23.10 |
|
$ |
24.61 |
|
$ |
23.76 |
|
$ |
22.31 |
|
$ |
21.36 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
|
Fully converted tangible book value per share |
|
$ |
23.03 |
|
$ |
24.53 |
|
$ |
23.69 |
|
$ |
22.24 |
|
$ |
21.29 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
|
Dividends declared per common share |
|
$ |
0.10 |
|
$ |
0.10 |
|
$ |
0.09 |
|
$ |
0.09 |
|
$ |
0.09 |
|
|
Change in FCBVPS (1) Quarter |
|
-6.1 |
% |
10.3 |
% |
6.5 |
% |
4.4 |
% |
1.0 |
% | |||||
|
Change in FCBVPS adjusted for dividends (2) Quarter |
|
-5.7 |
% |
10.8 |
% |
6.9 |
% |
4.9 |
% |
1.5 |
% | |||||
|
Change in FCBVPS adjusted for dividends (2) Rolling 12 months |
|
10.0 |
% |
26.1 |
% |
21.9 |
% |
25.1 |
% |
32.7 |
% | |||||
|
Annualized Change in FCBVPS adjusted for dividends (2) Since inception |
|
10.0 |
% |
|
|
|
|
|
|
|
| |||||
(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 represents the change in fully converted book value per share after taking into account dividends declared for the period. 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
|
|
|
Q1-11 |
|
Q4-10 |
|
Q3-10 |
|
Q2-10 |
|
Q1-10 |
| |||||
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
|
Numerator |
|
|
|
|
|
|
|
|
|
|
| |||||
|
Operating income (loss) (1) |
|
$ |
(118.5 |
) |
$ |
60.7 |
|
$ |
60.7 |
|
$ |
72.5 |
|
$ |
(23.1 |
) |
|
Adjustment to operating income related to participating securities |
|
— |
|
(1.0 |
) |
(1.5 |
) |
(1.6 |
) |
— |
| |||||
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
|
Operating income (loss) per share numerator |
|
$ |
(118.5 |
) |
$ |
59.7 |
|
$ |
59.2 |
|
$ |
70.9 |
|
$ |
(23.1 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
|
Net investment and foreign exchange gains and losses |
|
14.2 |
|
29.3 |
|
29.3 |
|
(2.6 |
) |
33.0 |
| |||||
|
Adjustment to net income related to participating securities |
|
— |
|
— |
|
(0.7 |
) |
— |
|
(0.1 |
) | |||||
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
|
Earnings (loss) per share numerator |
|
$ |
(104.3 |
) |
$ |
89.0 |
|
$ |
87.8 |
|
$ |
68.3 |
|
$ |
9.8 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
|
Other comprehensive income (loss) items |
|
0.5 |
|
0.8 |
|
0.8 |
|
0.7 |
|
(4.4 |
) | |||||
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
|
Comprehensive income (loss) per share numerator |
|
$ |
(103.8 |
) |
$ |
89.8 |
|
$ |
88.6 |
|
$ |
69.0 |
|
$ |
5.4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
|
Denominator |
|
|
|
|
|
|
|
|
|
|
| |||||
|
Adjusted average common shares outstanding |
|
62,499,458 |
|
65,477,694 |
|
68,995,819 |
|
71,017,781 |
|
73,481,396 |
| |||||
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
|
Per share denominator |
|
62,499,458 |
|
65,477,694 |
|
68,995,819 |
|
71,017,781 |
|
73,481,396 |
| |||||
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
|
Operating income (loss) per share (1) |
|
$ |
(1.90 |
) |
$ |
0.91 |
|
$ |
0.86 |
|
$ |
1.00 |
|
$ |
(0.31 |
) |
|
Net income (loss) per share |
|
$ |
(1.67 |
) |
$ |
1.36 |
|
$ |
1.27 |
|
$ |
0.96 |
|
$ |
0.13 |
|
|
Comprehensive income (loss) per share |
|
$ |
(1.66 |
) |
$ |
1.37 |
|
$ |
1.28 |
|
$ |
0.97 |
|
$ |
0.07 |
|
(1) Excludes net investment and foreign exchange gains and losses. 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 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, 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 objective values 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 after taking into account dividends declared during the period. 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.