MONTPELIER RE HOLDINGS LTD - FORM 8-K - EX-99.2 - October 26, 2011

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8-K - 8-K - MONTPELIER RE HOLDINGS LTDa11-28570_18k.htm
EX-99.1 - EX-99.1 - MONTPELIER RE HOLDINGS LTDa11-28570_1ex99d1.htm

Exhibit 99.2

 

 

contact:     William Pollett, Treasurer
telephone:  +1(441) 299 7576  
email:         bill.pollett@montpelierre.bm

 

Financial Supplement
September 30, 2011

 

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, 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 common or preferred share dividends or repurchases to differ include, but are not necessarily limited to: market conditions affecting our common or preferred share prices; 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 Common Share

 

 

 

13

 

Income (Loss) Available to Common Shareholders Per Share

 

 

 

14

 

Non-GAAP Financial Measures

 


 

MONTPELIER RE HOLDINGS LTD.

Consolidated Financial Highlights (unaudited)

$ in millions, except per share amounts

 

 

 

Three months ended

 

 

 

Year-to-date

 

 

 

 

 

September 30

 

 

 

September 30

 

 

 

 

 

2011

 

2010

 

% change

 

2011

 

2010

 

% change

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Selected financial highlights

 

 

 

 

 

 

 

 

 

 

 

 

 

Gross insurance and reinsurance premiums written

 

$

162.5

 

$

143.4

 

13

%

$

633.8

 

$

617.7

 

3

%

Net insurance and reinsurance premiums written

 

121.6

 

119.7

 

2

%

542.4

 

577.6

 

-6

%

Net insurance and reinsurance premiums earned

 

155.9

 

156.4

 

0

%

474.4

 

463.2

 

2

%

Net investment income

 

17.0

 

18.7

 

-9

%

51.6

 

57.5

 

-10

%

Underwriting income (loss)

 

(33.5

)

47.9

 

n/m

 

(168.3

)

70.2

 

n/m

 

Operating income (loss) available to common shareholders (1)

 

(24.9

)

60.7

 

n/m

 

(138.2

)

110.1

 

n/m

 

Net income (loss) available to common shareholders

 

(66.2

)

90.0

 

n/m

 

(149.3

)

169.8

 

n/m

 

Comprehensive income (loss)

 

(62.3

)

90.8

 

n/m

 

(141.6

)

166.9

 

n/m

 

Total assets

 

 

 

 

 

 

 

3,539.5

 

3,261.8

 

9

%

Common shareholders’ equity

 

 

 

 

 

 

 

1,400.4

 

1,668.4

 

-16

%

Total shareholders’ equity

 

 

 

 

 

 

 

1,550.4

 

1,668.4

 

-7

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Amounts per common share

 

 

 

 

 

 

 

 

 

 

 

 

 

Operating income (loss) available to common shareholders (2)

 

$

(0.40

)

$

0.86

 

 

 

$

(2.23

)

$

1.51

 

 

 

Net income (loss) available to common shareholders (2)

 

(1.07

)

1.27

 

 

 

(2.41

)

2.33

 

 

 

Fully converted book value (3)

 

 

 

 

 

 

 

22.26

 

23.76

 

 

 

Fully converted tangible book value (3)

 

 

 

 

 

 

 

22.18

 

23.69

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Financial ratios

 

 

 

 

 

 

 

 

 

 

 

 

 

Loss and loss adjustment expense ratio:

 

 

 

 

 

 

 

 

 

 

 

 

 

Current year

 

100.5

%

46.8

%

 

 

118.6

%

70.1

%

 

 

Prior year

 

-11.5

%

-13.5

%

 

 

-15.0

%

-18.3

%

 

 

Loss and loss adjustment expense ratio

 

89.0

%

33.3

%

 

 

103.6

%

51.8

%

 

 

Acquisition costs ratio

 

17.1

%

15.8

%

 

 

16.4

%

15.2

%

 

 

General and administrative expense ratio

 

15.4

%

20.3

%

 

 

15.5

%

17.8

%

 

 

Combined ratio

 

121.5

%

69.4

%

 

 

135.5

%

84.8

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Operating income (loss) / Average common shareholders’ equity

 

-1.7

%

3.7

%

 

 

-9.3

%

6.7

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Change in FCBVPCS adjusted for dividends (4)

 

-4.3

%

6.9

%

 

 

-8.3

%

13.7

%

 

 

 

(1) Excludes net investment and foreign exchange gains and losses.

(2) See Page 13 for calculation and Page 14 for information regarding our use of Non-GAAP Financial Measures.

(3) See Page 12 for calculation and Page 14 for information regarding our use of Non-GAAP Financial Measures.

(4) Change in FCBVPCS adjusted for dividends represents the change in fully converted book value per common share after taking into account dividends declared on common shares during the period.  See page 14 for information regarding our use of Non-GAAP Financial Measures.

n/m - not meaningful

 

1


 

MONTPELIER RE HOLDINGS LTD.

Summary Consolidated Balance Sheets (unaudited)

in millions, except per share amounts

 

 

 

September 30

 

June 30

 

March 31

 

December 31

 

September 30

 

 

 

2011

 

2011

 

2011

 

2010

 

2010

 

 

 

 

 

 

 

 

 

 

 

 

 

ASSETS

 

 

 

 

 

 

 

 

 

 

 

Investments, cash and cash equivalents

 

$

3,019.6

 

$

2,950.4

 

$

2,812.3

 

$

2,791.7

 

$

2,792.3

 

Insurance and reinsurance premiums receivable

 

284.2

 

325.0

 

280.1

 

201.6

 

257.0

 

Deferred insurance and reinsurance acquisition costs

 

55.2

 

56.2

 

52.4

 

45.0

 

52.1

 

Reinsurance recoverable on paid and unpaid losses

 

81.9

 

76.8

 

71.2

 

75.3

 

77.3

 

Unearned reinsurance premiums ceded

 

47.6

 

37.9

 

35.1

 

22.9

 

26.7

 

Other assets

 

51.0

 

57.6

 

120.1

 

82.9

 

56.4

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Assets

 

$

3,539.5

 

$

3,503.9

 

$

3,371.2

 

$

3,219.4

 

$

3,261.8

 

 

 

 

 

 

 

 

 

 

 

 

 

LIABILITIES

 

 

 

 

 

 

 

 

 

 

 

Loss and loss adjustment expense reserves

 

$

1,056.6

 

$

1,031.1

 

$

990.9

 

$

784.6

 

$

781.4

 

Unearned insurance and reinsurance premiums

 

356.8

 

384.5

 

340.0

 

264.0

 

340.9

 

Debt

 

327.8

 

327.8

 

327.8

 

327.7

 

327.7

 

Other liabilities

 

247.9

 

140.3

 

240.4

 

214.3

 

143.4

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Liabilities

 

1,989.1

 

1,883.7

 

1,899.1

 

1,590.6

 

1,593.4

 

 

 

 

 

 

 

 

 

 

 

 

 

SHAREHOLDERS’ EQUITY

 

 

 

 

 

 

 

 

 

 

 

Preferred shareholders’ equity

 

150.0

 

150.0

 

—

 

—

 

—

 

Common shareholders’ equity

 

1,400.4

 

1,470.2

 

1,472.1

 

1,628.8

 

1,668.4

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Shareholders’ Equity

 

1,550.4

 

1,620.2

 

1,472.1

 

1,628.8

 

1,668.4

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Liabilities and Shareholders’ Equity

 

$

3,539.5

 

$

3,503.9

 

$

3,371.2

 

$

3,219.4

 

$

3,261.8

 

 

 

 

 

 

 

 

 

 

 

 

 

Fully converted book value per common share (1)

 

$

22.26

 

$

23.36

 

$

23.10

 

$

24.61

 

$

23.76

 

Fully converted tangible book value per common share (1)

 

$

22.18

 

$

23.29

 

$

23.03

 

$

24.53

 

$

23.69

 

 

(1) See Page 12 for calculation and Page 14 for information regarding our use of Non-GAAP Financial Measures.

 

2


 

MONTPELIER RE HOLDINGS LTD.

Summary Consolidated Income Statements (unaudited)

$ in millions, except per share amounts

 

 

 

 

 

 

 

 

 

 

 

 

 

YTD

 

YTD

 

 

 

Q3-11

 

Q2-11

 

Q1-11

 

Q4-10

 

Q3-10

 

2011

 

2010

 

Underwriting revenues

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Gross insurance and reinsurance premiums written

 

$

162.5

 

$

217.2

 

$

254.1

 

$

102.3

 

$

143.4

 

$

633.8

 

$

617.7

 

Reinsurance premiums ceded

 

(40.9

)

(22.9

)

(27.6

)

(11.1

)

(23.7

)

(91.4

)

(40.1

)

Net insurance and reinsurance premiums written

 

121.6

 

194.3

 

226.5

 

91.2

 

119.7

 

542.4

 

577.6

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Gross insurance and reinsurance premiums earned

 

187.2

 

172.5

 

182.2

 

176.7

 

168.0

 

541.9

 

491.3

 

Earned reinsurance premiums ceded

 

(31.3

)

(20.1

)

(16.1

)

(14.5

)

(11.6

)

(67.5

)

(28.1

)

Net insurance and reinsurance premiums earned

 

155.9

 

152.4

 

166.1

 

162.2

 

156.4

 

474.4

 

463.2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Underwriting expenses

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Loss and loss adjustment expenses - current year

 

(156.7

)

(124.1

)

(282.0

)

(87.1

)

(73.3

)

(562.8

)

(324.6

)

Loss and loss adjustment expenses - prior year

 

18.0

 

19.7

 

33.6

 

24.6

 

21.3

 

71.3

 

84.8

 

Insurance and reinsurance acquisition costs

 

(26.7

)

(26.3

)

(24.7

)

(28.1

)

(24.8

)

(77.7

)

(70.6

)

Operating expenses

 

(21.2

)

(22.9

)

(22.1

)

(21.9

)

(21.8

)

(66.2

)

(61.5

)

Incentive compensation expenses

 

(2.8

)

(2.6

)

(1.9

)

(7.6

)

(9.9

)

(7.3

)

(21.1

)

Underwriting income (loss)

 

(33.5

)

(3.8

)

(131.0

)

42.1

 

47.9

 

(168.3

)

70.2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

17.0

 

17.1

 

17.5

 

16.5

 

18.7

 

51.6

 

57.5

 

Other revenue

 

0.2

 

0.1

 

—

 

0.5

 

0.1

 

0.3

 

0.3

 

Interest and other financing expenses

 

(4.9

)

(4.9

)

(5.9

)

(6.0

)

(6.0

)

(15.7

)

(18.6

)

Net realized and unrealized investment gains (losses)

 

(31.3

)

9.4

 

16.6

 

(16.2

)

29.4

 

(5.3

)

66.8

 

Net foreign exchange gains (losses)

 

(4.1

)

2.3

 

(2.0

)

5.0

 

(3.9

)

(3.8

)

(2.7

)

Net income (expense) from derivative instruments

 

(6.3

)

3.9

 

(0.6

)

(0.5

)

3.9

 

(3.0

)

(4.2

)

Income tax benefit (expense)

 

—

 

(0.5

)

1.1

 

0.8

 

(0.1

)

0.6

 

0.5

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net income (loss)

 

(62.9

)

23.6

 

(104.3

)

42.2

 

90.0

 

(143.6

)

169.8

 

Dividends declared on non-cumulative preferred shares

 

(3.3

)

(2.4

)

—

 

—

 

—

 

(5.7

)

—

 

Net income (loss) available to common shareholders

 

$

(66.2

)

$

21.2

 

$

(104.3

)

$

42.2

 

$

90.0

 

$

(149.3

)

$

169.8

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net income (loss)

 

$

(62.9

)

$

23.6

 

$

(104.3

)

$

42.2

 

$

90.0

 

$

(143.6

)

$

169.8

 

Other comprehensive income (loss) items

 

0.6

 

0.9

 

0.5

 

(0.4

)

0.8

 

2.0

 

(2.9

)

Comprehensive income (loss)

 

$

(62.3

)

$

24.5

 

$

(103.8

)

$

41.8

 

$

90.8

 

$

(141.6

)

$

166.9

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net income (loss) available to common shareholders

 

$

(66.2

)

$

21.2

 

$

(104.3

)

$

42.2

 

$

90.0

 

$

(149.3

)

$

169.8

 

Add (subtract):

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net realized and unrealized investment losses (gains)

 

31.3

 

(9.4

)

(16.6

)

16.2

 

(29.4

)

5.3

 

(66.8

)

Net losses (gains) from investment-related derivative instruments

 

5.7

 

(0.2

)

0.8

 

0.5

 

(1.2

)

6.3

 

6.4

 

Net foreign exchange losses (gains)

 

4.1

 

(2.3

)

2.0

 

(5.0

)

3.9

 

3.8

 

2.7

 

Net losses (gains) from foreign exchange-related derivative instruments

 

0.2

 

(4.1

)

(0.4

)

—

 

(2.6

)

(4.3

)

(2.0

)

Operating income (loss) available to common shareholders

 

$

(24.9

)

$

5.2

 

$

(118.5

)

$

53.9

 

$

60.7

 

$

(138.2

)

$

110.1

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Loss and loss adjustment expense ratio:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Current year

 

100.5

%

81.5

%

169.7

%

53.8

%

46.8

%

118.6

%

70.1

%

Prior year

 

-11.5

%

-12.9

%

-20.2

%

-15.2

%

-13.5

%

-15.0

%

-18.3

%

Loss and loss adjustment expense ratio

 

89.0

%

68.6

%

149.5

%

38.6

%

33.3

%

103.6

%

51.8

%

Acquisition costs ratio

 

17.1

%

17.3

%

14.8

%

17.3

%

15.8

%

16.4

%

15.2

%

Operating expenses

 

13.6

%

15.0

%

13.3

%

13.5

%

14.0

%

14.0

%

13.2

%

Incentive compensation expenses

 

1.8

%

1.7

%

1.2

%

4.7

%

6.3

%

1.5

%

4.6

%

Combined ratio

 

121.5

%

102.6

%

178.8

%

74.1

%

69.4

%

135.5

%

84.8

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Operating income (loss) available to common shareholders per share (1)

 

$

(0.40

)

$

0.08

 

$

(1.90

)

$

0.81

 

$

0.86

 

$

(2.23

)

$

1.51

 

Net income (loss) available to common shareholders per share (1)

 

$

(1.07

)

$

0.33

 

$

(1.67

)

$

0.63

 

$

1.27

 

$

(2.41

)

$

2.33

 

Operating income (loss) / Average common shareholders’ equity

 

-1.7

%

0.4

%

-7.6

%

3.3

%

3.7

%

-9.3

%

6.7

%

 

(1) See Page 13 for calculation and Page 14 for information regarding our use of Non-GAAP Financial Measures.

 

3


 

MONTPELIER RE HOLDINGS LTD.

Net Premiums Written by Line of Business

(unaudited)

in millions

 

 

 

 

 

 

 

 

 

 

 

 

 

YTD

 

YTD

 

Net Insurance and Reinsurance Premiums Written

 

Q3-11

 

Q2-11

 

Q1-11

 

Q4-10

 

Q3-10

 

2011

 

2010

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Bermuda

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Property Catastrophe - Treaty Reinsurance

 

$

33.3

 

$

96.7

 

$

93.0

 

$

7.9

 

$

23.0

 

$

223.0

 

$

240.5

 

Property Specialty - Treaty Reinsurance

 

5.8

 

12.1

 

14.7

 

8.4

 

8.3

 

32.6

 

32.7

 

Other Specialty - Treaty Reinsurance

 

16.6

 

15.0

 

26.1

 

12.5

 

19.9

 

57.7

 

80.0

 

Property & Specialty Individual Risk

 

6.7

 

13.4

 

6.0

 

2.9

 

8.3

 

26.1

 

27.5

 

 

 

$

62.4

 

$

137.2

 

$

139.8

 

$

31.7

 

$

59.5

 

$

339.4

 

$

380.7

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Syndicate 5151

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Property Catastrophe - Treaty Reinsurance

 

$

0.4

 

$

2.0

 

$

26.0

 

$

(0.2

)

$

1.0

 

$

28.4

 

$

33.7

 

Property Specialty - Treaty Reinsurance

 

3.3

 

—

 

4.2

 

4.9

 

6.3

 

7.5

 

16.8

 

Other Specialty - Treaty Reinsurance

 

19.2

 

12.8

 

19.9

 

15.4

 

13.0

 

51.9

 

45.8

 

Property & Specialty Individual Risk

 

24.6

 

28.8

 

25.5

 

25.4

 

26.9

 

78.9

 

68.0

 

 

 

$

47.5

 

$

43.6

 

$

75.6

 

$

45.5

 

$

47.2

 

$

166.7

 

$

164.3

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

MUSIC

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Property Catastrophe - Treaty Reinsurance

 

$

—

 

$

—

 

$

—

 

$

—

 

$

—

 

$

—

 

$

—

 

Property Specialty - Treaty Reinsurance

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

Other Specialty - Treaty Reinsurance

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

Property & Specialty Individual Risk

 

11.7

 

13.5

 

11.1

 

14.0

 

13.0

 

36.3

 

32.6

 

 

 

$

11.7

 

$

13.5

 

$

11.1

 

$

14.0

 

$

13.0

 

$

36.3

 

$

32.6

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Intercompany Reinsurance Eliminations

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Property Catastrophe - Treaty Reinsurance

 

$

—

 

$

(8.7

)

$

—

 

$

—

 

$

—

 

$

(8.7

)

$

(9.4

)

Property Specialty - Treaty Reinsurance

 

—

 

0.7

 

—

 

—

 

—

 

0.7

 

2.0

 

Other Specialty - Treaty Reinsurance

 

—

 

5.0

 

—

 

—

 

—

 

5.0

 

4.0

 

Property & Specialty Individual Risk

 

—

 

3.0

 

—

 

—

 

—

 

3.0

 

3.4

 

 

 

$

—

 

$

—

 

$

—

 

$

—

 

$

—

 

$

—

 

$

—

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Consolidated Total NWP

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Property Catastrophe - Treaty Reinsurance

 

$

33.7

 

$

90.0

 

$

119.0

 

$

7.7

 

$

24.0

 

$

242.7

 

$

264.8

 

Property Specialty - Treaty Reinsurance

 

9.1

 

12.8

 

18.9

 

13.3

 

14.6

 

40.8

 

51.5

 

Other Specialty - Treaty Reinsurance

 

35.8

 

32.8

 

46.0

 

27.9

 

32.9

 

114.6

 

129.8

 

Property & Specialty Individual Risk

 

43.0

 

58.7

 

42.6

 

42.3

 

48.2

 

144.3

 

131.5

 

 

 

$

121.6

 

$

194.3

 

$

226.5

 

$

91.2

 

$

119.7

 

$

542.4

 

$

577.6

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Reinstatements included in NWP

 

$

4.5

 

$

4.3

 

$

16.6

 

$

0.9

 

$

1.6

 

$

25.4

 

$

16.6

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Consolidated 12 Mo. Rolling NWP

 

$

633.6

 

$

631.7

 

$

633.4

 

$

668.8

 

$

651.8

 

 

 

 

 

 

4


 

MONTPELIER RE HOLDINGS LTD.

Net Premiums Earned by Line of Business

(unaudited)

in millions

 

 

 

 

 

 

 

 

 

 

 

 

 

YTD

 

YTD

 

Net Insurance and Reinsurance Premiums Earned

 

Q3-11

 

Q2-11

 

Q1-11

 

Q4-10

 

Q3-10

 

2011

 

2010

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Bermuda

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Property Catastrophe - Treaty Reinsurance

 

$

58.4

 

$

54.4

 

$

59.7

 

$

61.3

 

$

63.6

 

$

172.5

 

$

196.9

 

Property Specialty - Treaty Reinsurance

 

9.6

 

13.0

 

13.4

 

12.8

 

9.8

 

36.0

 

34.8

 

Other Specialty - Treaty Reinsurance

 

20.4

 

17.0

 

19.7

 

18.8

 

22.0

 

57.1

 

56.2

 

Property & Specialty Individual Risk

 

7.9

 

8.1

 

7.5

 

6.7

 

6.5

 

23.5

 

26.4

 

 

 

$

96.3

 

$

92.5

 

$

100.3

 

$

99.6

 

$

101.9

 

$

289.1

 

$

314.3

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Syndicate 5151

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Property Catastrophe - Treaty Reinsurance

 

$

4.8

 

$

5.7

 

$

13.0

 

$

7.0

 

$

7.4

 

$

23.5

 

$

26.5

 

Property Specialty - Treaty Reinsurance

 

1.7

 

1.6

 

3.2

 

5.9

 

6.0

 

6.5

 

16.4

 

Other Specialty - Treaty Reinsurance

 

16.1

 

13.1

 

14.7

 

14.0

 

10.7

 

43.9

 

33.3

 

Property & Specialty Individual Risk

 

24.4

 

26.6

 

23.0

 

24.4

 

20.4

 

74.0

 

47.5

 

 

 

$

47.0

 

$

47.0

 

$

53.9

 

$

51.3

 

$

44.5

 

$

147.9

 

$

123.7

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

MUSIC

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Property Catastrophe - Treaty Reinsurance

 

$

—

 

$

—

 

$

—

 

$

—

 

$

—

 

$

—

 

$

—

 

Property Specialty - Treaty Reinsurance

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

Other Specialty - Treaty Reinsurance

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

Property & Specialty Individual Risk

 

12.6

 

12.9

 

11.9

 

11.3

 

10.0

 

37.4

 

25.2

 

 

 

$

12.6

 

$

12.9

 

$

11.9

 

$

11.3

 

$

10.0

 

$

37.4

 

$

25.2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Intercompany Reinsurance Eliminations

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Property Catastrophe - Treaty Reinsurance

 

$

(1.8

)

$

(2.8

)

$

(2.4

)

$

(2.4

)

$

(2.6

)

$

(7.0

)

$

(5.8

)

Property Specialty - Treaty Reinsurance

 

0.3

 

0.2

 

0.6

 

0.4

 

0.6

 

1.1

 

1.3

 

Other Specialty - Treaty Reinsurance

 

0.9

 

1.9

 

1.0

 

1.2

 

0.9

 

3.8

 

2.7

 

Property & Specialty Individual Risk

 

0.6

 

0.7

 

0.8

 

0.8

 

1.1

 

2.1

 

1.8

 

 

 

$

—

 

$

—

 

$

—

 

$

—

 

$

—

 

$

—

 

$

—

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Consolidated Total NPE

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Property Catastrophe - Treaty Reinsurance

 

$

61.4

 

$

57.3

 

$

70.3

 

$

65.9

 

$

68.4

 

$

189.0

 

$

217.6

 

Property Specialty - Treaty Reinsurance

 

11.6

 

14.8

 

17.2

 

19.1

 

16.4

 

43.6

 

52.5

 

Other Specialty - Treaty Reinsurance

 

37.4

 

32.0

 

35.4

 

34.0

 

33.6

 

104.8

 

92.2

 

Property & Specialty Individual Risk

 

45.5

 

48.3

 

43.2

 

43.2

 

38.0

 

137.0

 

100.9

 

 

 

$

155.9

 

$

152.4

 

$

166.1

 

$

162.2

 

$

156.4

 

$

474.4

 

$

463.2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Reinstatements included in NPE

 

$

4.5

 

$

4.3

 

$

16.6

 

$

0.9

 

$

1.6

 

$

25.4

 

$

16.6

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Consolidated 12 Mo. Rolling NPE

 

$

636.6

 

$

637.1

 

$

633.0

 

$

625.4

 

$

618.0

 

 

 

 

 

 

5

 


 

MONTPELIER RE HOLDINGS LTD.

Rollforward of Loss Reserves (unaudited)

in millions

 

 

 

Three months ended September 30, 2011

 

Three months ended September 30, 2010

 

 

 

Gross

 

Recoveries

 

Net

 

Gross

 

Recoveries

 

Net

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Reserve for unpaid losses, beginning of period

 

$

1,031.1

 

$

73.8

 

$

957.3

 

$

776.0

 

$

70.1

 

$

705.9

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Losses incurred:

 

 

 

 

 

 

 

 

 

 

 

 

 

Current year

 

168.7

 

12.0

 

156.7

 

75.7

 

2.4

 

73.3

 

Prior years

 

(20.3

)

(2.3

)

(18.0

)

(18.7

)

2.6

 

(21.3

)

Total losses incurred

 

148.4

 

9.7

 

138.7

 

57.0

 

5.0

 

52.0

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net impact of foreign currency movements

 

(7.2

)

(0.5

)

(6.7

)

7.4

 

(0.1

)

7.5

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Losses paid and approved for payment:

 

 

 

 

 

 

 

 

 

 

 

 

 

Current year

 

(71.7

)

(5.0

)

(66.7

)

(24.0

)

(1.2

)

(22.8

)

Prior years

 

(44.0

)

(3.3

)

(40.7

)

(35.0

)

(3.4

)

(31.6

)

Total paid losses

 

(115.7

)

(8.3

)

(107.4

)

(59.0

)

(4.6

)

(54.4

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Reserve for unpaid losses, end of period

 

$

1,056.6

 

$

74.7

 

$

981.9

 

$

781.4

 

$

70.4

 

$

711.0

 

 

 

 

YTD September 30, 2011

 

YTD September 30, 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

 

589.2

 

26.4

 

562.8

 

337.3

 

12.7

 

324.6

 

Prior years

 

(71.2

)

0.1

 

(71.3

)

(86.1

)

(1.3

)

(84.8

)

Total losses incurred

 

518.0

 

26.5

 

491.5

 

251.2

 

11.4

 

239.8

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net impact of foreign currency movements

 

(1.6

)

0.1

 

(1.7

)

1.3

 

—

 

1.3

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Losses paid and approved for payment:

 

 

 

 

 

 

 

 

 

 

 

 

 

Current year

 

(93.0

)

(5.7

)

(87.3

)

(48.1

)

(2.0

)

(46.1

)

Prior years

 

(151.4

)

(8.6

)

(142.8

)

(103.8

)

(8.6

)

(95.2

)

Total paid losses

 

(244.4

)

(14.3

)

(230.1

)

(151.9

)

(10.6

)

(141.3

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Reserve for unpaid losses, end of period

 

$

1,056.6

 

$

74.7

 

$

981.9

 

$

781.4

 

$

70.4

 

$

711.0

 

 

6

 


 

MONTPELIER RE HOLDINGS LTD.

Consolidated Losses and Loss Ratios

(unaudited)

$ in millions

 

 

 

 

 

 

 

 

 

 

 

 

 

YTD

 

YTD

 

 

 

Q3-11

 

Q2-11

 

Q1-11

 

Q4-10

 

Q3-10

 

2011

 

2010

 

Property Catastrophe - Treaty

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net reserves: start

 

$

375.3

 

$

370.6

 

$

200.5

 

$

207.6

 

$

220.1

 

$

200.5

 

$

155.8

 

Change in prior AY

 

(10.3

)

—

 

(5.2

)

(6.9

)

(2.4

)

(15.5

)

(11.1

)

Losses paid and approved for payment

 

(74.7

)

(18.8

)

(25.6

)

(28.3

)

(26.7

)

(119.1

)

(64.4

)

Current yr. incurred losses

 

83.5

 

23.5

 

200.9

 

28.1

 

16.6

 

307.9

 

127.3

 

Net reserves: end

 

$

373.8

 

$

375.3

 

$

370.6

 

$

200.5

 

$

207.6

 

$

373.8

 

$

207.6

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net earned premium

 

$

61.4

 

$

57.3

 

$

70.3

 

$

65.9

 

$

68.4

 

$

189.0

 

$

217.6

 

Net loss ratio

 

119.2

%

41.0

%

278.4

%

32.2

%

20.8

%

154.7

%

53.4

%

Net loss ratio excl. prior AY adjusts.

 

136.0

%

41.0

%

285.8

%

42.7

%

24.3

%

162.9

%

58.5

%

Net loss ratio - prior AY adjusts.

 

-16.8

%

0.0

%

-7.4

%

-10.5

%

-3.5

%

-8.2

%

-5.1

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

IBNR

 

$

187.6

 

$

219.1

 

$

266.4

 

$

84.4

 

$

101.2

 

 

 

 

 

IBNR as a % of net reserves

 

50

%

58

%

72

%

42

%

49

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Property Specialty - Treaty

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net reserves: start

 

$

149.4

 

$

146.5

 

$

139.1

 

$

136.6

 

$

144.6

 

$

139.1

 

$

140.8

 

Change in prior AY

 

(3.0

)

(5.4

)

(9.7

)

(3.7

)

(8.9

)

(18.1

)

(22.9

)

Losses paid and approved for payment

 

(10.4

)

(11.5

)

(10.0

)

(6.8

)

(12.6

)

(31.9

)

(32.3

)

Current yr. incurred losses

 

8.7

 

19.8

 

27.1

 

13.0

 

13.5

 

55.6

 

51.0

 

Net reserves: end

 

$

144.7

 

$

149.4

 

$

146.5

 

$

139.1

 

$

136.6

 

$

144.7

 

$

136.6

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net earned premium

 

$

11.6

 

$

14.8

 

$

17.2

 

$

19.1

 

$

16.4

 

$

43.6

 

$

52.5

 

Net loss ratio

 

49.1

%

97.3

%

101.2

%

48.7

%

28.0

%

86.0

%

53.5

%

Net loss ratio excl. prior AY adjusts.

 

75.0

%

133.8

%

157.6

%

68.1

%

82.3

%

127.5

%

97.1

%

Net loss ratio - prior AY adjusts.

 

-25.9

%

-36.5

%

-56.4

%

-19.4

%

-54.3

%

-41.5

%

-43.6

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

IBNR

 

$

76.6

 

$

86.8

 

$

99.2

 

$

88.2

 

$

86.8

 

 

 

 

 

IBNR as a % of net reserves

 

53

%

58

%

68

%

63

%

64

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

TOTAL

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net reserves: start

 

$

957.3

 

$

922.2

 

$

722.2

 

$

711.0

 

$

705.9

 

$

722.2

 

$

611.2

 

Change in prior AY

 

(18.0

)

(19.7

)

(33.6

)

(24.5

)

(21.3

)

(71.3

)

(84.8

)

Losses paid and approved for payment

 

(107.4

)

(68.2

)

(54.5

)

(48.0

)

(54.4

)

(230.1

)

(141.3

)

Current yr. incurred losses

 

156.7

 

124.1

 

282.0

 

87.0

 

73.3

 

562.8

 

324.6

 

Net impact of foreign currency

 

(6.7

)

(1.1

)

6.1

 

(3.3

)

7.5

 

(1.7

)

1.3

 

Net reserves: end

 

$

981.9

 

$

957.3

 

$

922.2

 

$

722.2

 

$

711.0

 

$

981.9

 

$

711.0

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net earned premium

 

$

155.9

 

$

152.4

 

$

166.1

 

$

162.2

 

$

156.4

 

$

474.4

 

$

463.2

 

Net loss ratio

 

89.0

%

68.5

%

149.5

%

38.6

%

33.3

%

103.6

%

51.8

%

Net loss ratio excl. prior AY adjusts.

 

100.5

%

81.4

%

169.7

%

53.7

%

46.8

%

118.6

%

70.1

%

Net loss ratio - prior AY adjusts.

 

-11.5

%

-12.9

%

-20.2

%

-15.1

%

-13.5

%

-15.0

%

-18.3

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

IBNR

 

$

583.5

 

$

595.1

 

$

656.4

 

$

454.5

 

$

465.3

 

 

 

 

 

IBNR as a % of net reserves

 

59

%

62

%

71

%

63

%

65

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

YTD

 

YTD

 

 

 

Q3-11

 

Q2-11

 

Q1-11

 

Q4-10

 

Q3-10

 

2011

 

2010

 

Other Specialty - Treaty

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net reserves: start

 

$

242.0

 

$

251.9

 

$

246.7

 

$

242.0

 

$

238.4

 

$

246.7

 

$

217.3

 

Change in prior AY

 

(3.1

)

(6.4

)

(7.0

)

(9.0

)

(6.2

)

(16.5

)

(27.7

)

Losses paid and approved for payment

 

(5.5

)

(21.8

)

(7.7

)

(4.1

)

(8.6

)

(35.0

)

(30.1

)

Current yr. incurred losses

 

26.3

 

18.3

 

19.9

 

17.8

 

18.4

 

64.5

 

82.5

 

Net reserves: end

 

$

259.7

 

$

242.0

 

$

251.9

 

$

246.7

 

$

242.0

 

$

259.7

 

$

242.0

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net earned premium

 

$

37.4

 

$

32.0

 

$

35.4

 

$

34.0

 

$

33.6

 

$

104.8

 

$

92.2

 

Net loss ratio

 

62.0

%

37.2

%

36.4

%

25.9

%

36.3

%

45.8

%

59.4

%

Net loss ratio excl. prior AY adjusts.

 

70.3

%

57.2

%

56.2

%

52.4

%

54.8

%

61.5

%

89.4

%

Net loss ratio - prior AY adjusts.

 

-8.3

%

-20.0

%

-19.8

%

-26.5

%

-18.5

%

-15.7

%

-30.0

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

IBNR

 

$

198.8

 

$

183.6

 

$

193.3

 

$

191.5

 

$

191.2

 

 

 

 

 

IBNR as a % of net reserves

 

77

%

76

%

77

%

78

%

79

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Property and Specialty Individual Risk

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net reserves: start

 

$

188.1

 

$

149.6

 

$

138.4

 

$

124.0

 

$

109.5

 

$

138.4

 

$

97.8

 

Change in prior AY

 

(1.6

)

(7.9

)

(11.7

)

(4.9

)

(3.8

)

(21.2

)

(23.1

)

Losses paid and approved for payment

 

(16.8

)

(16.1

)

(11.2

)

(8.8

)

(6.5

)

(44.1

)

(14.5

)

Current yr. incurred losses

 

38.2

 

62.5

 

34.1

 

28.1

 

24.8

 

134.8

 

63.8

 

Net reserves: end

 

$

207.9

 

$

188.1

 

$

149.6

 

$

138.4

 

$

124.0

 

$

207.9

 

$

124.0

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net earned premium

 

$

45.5

 

$

48.3

 

$

43.2

 

$

43.2

 

$

38.0

 

$

137.0

 

$

100.9

 

Net loss ratio

 

80.4

%

113.0

%

51.9

%

53.7

%

55.3

%

82.9

%

40.3

%

Net loss ratio excl. prior AY adjusts.

 

83.9

%

129.4

%

79.0

%

65.0

%

65.3

%

98.4

%

63.2

%

Net loss ratio - prior AY adjusts.

 

-3.5

%

-16.4

%

-27.1

%

-11.3

%

-10.0

%

-15.5

%

-22.9

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

IBNR

 

$

120.5

 

$

105.6

 

$

97.5

 

$

90.4

 

$

86.1

 

 

 

 

 

IBNR as a % of net reserves

 

58

%

56

%

65

%

65

%

69

%

 

 

 

 

 

7


 

MONTPELIER RE HOLDINGS LTD.

Consolidated Investment Portfolio (unaudited)

$ in millions

 

 

 

September 30, 2011

 

June 30, 2011

 

March 31, 2011

 

December 31, 2010

 

September 30, 2010

 

 

 

Amortized
Cost

 

Unrealized
Gain

 

Fair
Value

 

%

 

Fair
Value

 

%

 

Fair
Value

 

%

 

Fair
Value

 

%

 

Fair
Value

 

%

 

Composition:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fixed maturities

 

$

2,286.4

 

$

22.8

 

$

2,309.2

 

76

%

$

2,335.6

 

79

%

$

2,270.8

 

81

%

$

2,289.3

 

82

%

$

2,329.0

 

84

%

Equity securities

 

101.9

 

4.3

 

106.2

 

4

%

109.6

 

4

%

122.8

 

4

%

152.9

 

5

%

113.4

 

4

%

Other investments

 

73.9

 

(1.6

)

72.3

 

2

%

74.7

 

3

%

85.7

 

3

%

90.1

 

3

%

92.6

 

3

%

Cash equivalents

 

84.0

 

—

 

84.0

 

3

%

181.7

 

6

%

82.2

 

3

%

71.7

 

3

%

48.8

 

2

%

Cash and restricted cash

 

447.9

 

—

 

447.9

 

15

%

248.8

 

8

%

250.8

 

9

%

187.7

 

7

%

208.5

 

7

%

Total investments and cash (1)

 

$

2,994.1

 

$

25.5

 

$

3,019.6

 

100

%

$

2,950.4

 

100

%

2,812.3

 

100

%

$

2,791.7

 

100

%

$

2,792.3

 

100

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fixed maturities allocation:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Mortgage-backed and asset-backed securities (2)

 

$

923.9

 

$

16.3

 

$

940.2

 

40

%

$

1,032.2

 

44

%

$

917.1

 

40

%

$

805.8

 

35

%

$

964.2

 

41

%

Government & government-sponsored entities

 

431.1

 

5.9

 

437.0

 

19

%

517.9

 

22

%

567.6

 

25

%

712.8

 

31

%

801.8

 

34

%

Corporate bonds (3)

 

872.9

 

(5.9

)

867.0

 

38

%

727.1

 

31

%

723.5

 

32

%

711.0

 

31

%

525.5

 

23

%

Municipal bonds

 

58.5

 

6.5

 

65.0

 

3

%

58.4

 

3

%

62.6

 

3

%

59.7

 

3

%

37.5

 

2

%

Total fixed maturities

 

$

2,286.4

 

$

22.8

 

$

2,309.2

 

100

%

$

2,335.6

 

100

%

2,270.8

 

100

%

$

2,289.3

 

100

%

$

2,329.0

 

100

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Other investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Limited partnership interests and private investment funds

 

$

63.3

 

$

1.3

 

$

64.6

 

90

%

$

63.5

 

85

%

$

72.5

 

85

%

$

76.0

 

84

%

$

78.7

 

85

%

Catastrophe bonds

 

10.0

 

0.4

 

10.4

 

14

%

10.5

 

14

%

10.6

 

12

%

10.6

 

12

%

10.5

 

11

%

Derivative instruments

 

0.7

 

(3.4

)

(2.7

)

-4

%

0.7

 

1

%

2.6

 

3

%

3.5

 

4

%

3.4

 

4

%

Total other investments

 

$

73.9

 

$

(1.6

)

$

72.3

 

100

%

$

74.7

 

100

%

$

85.7

 

100

%

$

90.1

 

100

%

$

92.6

 

100

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total investment return:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

 

 

 

$

17.0

 

 

 

$

17.1

 

 

 

$

17.5

 

 

 

$

16.5

 

 

 

$

18.7

 

 

 

Net realized investment gains (losses)

 

 

 

 

 

13.3

 

 

 

5.1

 

 

 

7.1

 

 

 

(2.4

)

 

 

13.8

 

 

 

Net unrealized investment gains (losses)

 

 

 

 

 

(44.6

)

 

 

4.3

 

 

 

9.5

 

 

 

(13.8

)

 

 

15.6

 

 

 

Net income from investment-related derivative instruments

 

 

 

 

 

(0.4

)

 

 

—

 

 

 

0.1

 

 

 

0.1

 

 

 

—

 

 

 

Net gains (losses) from investment-related derivative instruments

 

 

 

 

 

(5.7

)

 

 

0.2

 

 

 

(0.8

)

 

 

(0.5

)

 

 

1.2

 

 

 

Net investment FX gains (losses)

 

 

 

 

 

(6.6

)

 

 

5.1

 

 

 

2.1

 

 

 

1.6

 

 

 

(0.2

)

 

 

Total investment return

 

 

 

 

 

$

(27.0

)

 

 

$

31.8

 

 

 

$

35.5

 

 

 

$

1.5

 

 

 

$

49.1

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total quarterly return on average fair value %

 

 

 

 

 

-0.8

%

 

 

1.0

%

 

 

1.2

%

 

 

0.0

%

 

 

1.8

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Average market yield to worst of fixed maturities and cash equivalents

 

 

 

 

 

3.7

%

 

 

3.2

%

 

 

3.4

%

 

 

3.1

%

 

 

2.3

%

 

 

Average duration of fixed maturities, cash and cash equivalents

 

 

 

 

 

2.6 years

 

 

 

2.4 years

 

 

 

2.7 years

 

 

 

3.1 years

 

 

 

1.7 years

 

 

 

Average credit quality of fixed maturities and cash equivalents

 

 

 

 

 

AA-

 

 

 

AA+

 

 

 

AA

 

 

 

AA

 

 

 

AA+

 

 

 

Average duration of fixed maturities

 

 

 

 

 

2.9 years

 

 

 

2.8 years

 

 

 

3.1 years

 

 

 

3.4 years

 

 

 

1.9 years

 

 

 

 

(1)          We also hold various short investment positions which are reported within “Other Liabilities” on our Balance Sheet. Some of these short positions fully or partially offset some of the long investment positions presented above.

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

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

 

8


 

MONTPELIER RE HOLDINGS LTD.

Consolidated Investment Detail

Mortgage-Backed and Asset-Backed Securities

(unaudited)

$ in millions

 

At September 30, 2011

 

 

 

 

 

 

 

 

 

 

 

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

 

$

33.4

 

$

36.8

 

$

3.4

 

AA

 

 

 

 

 

 

 

 

 

 

 

FNMA

 

208.5

 

213.7

 

5.2

 

AA

 

 

 

 

 

 

 

 

 

 

 

Freddie Mac

 

155.2

 

159.8

 

4.6

 

AA

 

 

 

 

 

 

 

 

 

 

 

Total Residential Mortgage-Backed

 

$

397.1

 

$

410.3

 

$

13.2

 

AA

 

2.4

 

3.4

 

$

—

 

$

—

 

$

—

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Collateralized Residential Mortgage Obligations:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

GNMA

 

$

62.7

 

$

64.0

 

$

1.3

 

AA

 

 

 

 

 

 

 

 

 

 

 

FNMA

 

39.2

 

39.0

 

(0.2

)

AA

 

 

 

 

 

 

 

 

 

 

 

Freddie Mac

 

56.2

 

56.9

 

0.7

 

AA

 

 

 

 

 

 

 

 

 

 

 

Nat’l Credit Union Admin

 

0.2

 

0.3

 

0.1

 

AA

 

 

 

 

 

 

 

 

 

 

 

Total agency CMOS

 

158.3

 

160.2

 

1.9

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Non-agency CMOS

 

10.0

 

10.0

 

—

 

AAA

 

 

 

 

 

 

 

$

2.7

 

 

 

Non-agency CMOS

 

4.4

 

4.4

 

—

 

A

 

 

 

 

 

 

 

 

 

 

 

Non-agency CMOS

 

0.2

 

0.2

 

—

 

BBB

 

 

 

 

 

 

 

0.2

 

 

 

Non-agency CMOS

 

4.4

 

4.2

 

(0.2

)

BB

 

 

 

 

 

 

 

 

 

 

 

Non-agency CMOS

 

3.2

 

3.0

 

(0.2

)

B

 

 

 

 

 

 

 

0.1

 

 

 

Non-agency CMOS

 

5.9

 

5.4

 

(0.5

)

CCC

 

 

 

 

 

 

 

1.6

 

 

 

Non-agency CMOS

 

1.3

 

1.3

 

—

 

CC

 

 

 

 

 

 

 

 

 

 

 

Non-agency CMOS

 

0.6

 

0.5

 

(0.1

)

D

 

 

 

 

 

 

 

0.5

 

 

 

Total Non-agency CMOS

 

30.0

 

29.0

 

(1.0

)

 

 

 

 

 

 

 

 

 

 

 

 

Total Collateralized Residential Mortgage Obligations

 

$

188.3

 

$

189.2

 

$

0.9

 

AA

 

1.6

 

2.7

 

$

—

 

$

5.1

 

$

—

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Asset-Backed Securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit card

 

$

54.2

 

$

55.0

 

$

0.8

 

AAA

 

 

 

 

 

 

 

 

 

 

 

Credit card

 

9.4

 

9.5

 

0.1

 

A

 

 

 

 

 

 

 

 

 

 

 

Auto

 

46.6

 

47.2

 

0.6

 

AAA

 

 

 

 

 

 

 

 

 

 

 

Auto

 

7.5

 

7.5

 

—

 

AA

 

 

 

 

 

 

 

 

 

 

 

Auto

 

5.0

 

5.2

 

0.2

 

A

 

 

 

 

 

 

 

 

 

 

 

Auto

 

0.3

 

0.4

 

0.1

 

BBB

 

 

 

 

 

 

 

 

 

 

 

Home Equity

 

3.7

 

3.7

 

—

 

AAA

 

 

 

 

 

$

3.7

 

 

 

 

 

Home Equity

 

2.4

 

2.4

 

—

 

A

 

 

 

 

 

2.4

 

 

 

 

 

Home Equity

 

4.4

 

4.4

 

—

 

BB

 

 

 

 

 

4.4

 

 

 

 

 

Home Equity

 

0.5

 

0.4

 

(0.1

)

B

 

 

 

 

 

0.4

 

 

 

 

 

Home Equity

 

0.8

 

1.2

 

0.4

 

C

 

 

 

 

 

1.2

 

 

 

 

 

Home Equity

 

0.0

 

0.3

 

0.3

 

D

 

 

 

 

 

0.3

 

 

 

 

 

Equipment

 

6.5

 

6.5

 

—

 

AAA

 

 

 

 

 

 

 

 

 

 

 

Equipment

 

0.5

 

0.5

 

—

 

AA

 

 

 

 

 

 

 

 

 

 

 

Commercial Mortgage Backed Securities

 

113.0

 

114.1

 

1.1

 

AAA

 

 

 

 

 

 

 

 

 

 

 

Commercial Mortgage Backed Securities

 

32.7

 

31.6

 

(1.1

)

AA

 

 

 

 

 

 

 

 

 

 

 

Commercial Mortgage Backed Securities

 

13.7

 

13.6

 

(0.1

)

A

 

 

 

 

 

 

 

 

 

 

 

Commercial Mortgage Backed Securities

 

1.1

 

1.0

 

(0.1

)

BBB

 

 

 

 

 

 

 

 

 

 

 

Commercial Mortgage Backed Securities

 

1.2

 

1.2

 

—

 

NR

 

 

 

 

 

 

 

 

 

 

 

Miscellaneous

 

10.0

 

10.1

 

0.1

 

AAA

 

 

 

 

 

 

 

 

 

 

 

Miscellaneous

 

4.8

 

4.8

 

—

 

AA

 

 

 

 

 

 

 

 

 

 

 

Miscellaneous

 

16.6

 

16.8

 

0.2

 

A

 

 

 

 

 

 

 

 

 

$

0.2

 

Miscellaneous

 

3.4

 

3.5

 

0.1

 

BBB

 

 

 

 

 

 

 

 

 

2.5

 

Total Asset-Backed Securities

 

$

338.5

 

$

340.7

 

$

2.2

 

AA

 

1.9

 

2.9

 

$

12.4

 

$

—

 

$

2.7

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Mortgage-Backed and Asset-Backed Securities

 

$

923.9

 

$

940.2

 

$

16.3

 

 

 

 

 

 

 

$

12.4

 

$

5.1

 

$

2.7

 

 

(1)      We estimate that our insurance wrapped investments at 9/30/11 would be BBB- or better, if they were rated, excluding the effects of financial guarantee enhancements.

 

9


 

MONTPELIER RE HOLDINGS LTD.

Consolidated Investment Detail - Corporate Bonds

 (unaudited)

$ in millions

 

At September 30, 2011

 

Corporate Bonds - Quality: (1)

 

 

 

 

 

 

 

 

 

Option

 

 

 

 

 

 

 

 

 

Adjusted

 

 

 

Amortized

 

Fair

 

Gain

 

Duration

 

 

 

Cost

 

Value

 

(Loss)

 

(Years)

 

 

 

 

 

 

 

 

 

 

 

AAA

 

$

47.2

 

$

47.4

 

$

0.2

 

3.4

 

AA

 

87.3

 

88.9

 

1.6

 

2.7

 

A

 

300.7

 

304.1

 

3.4

 

3.6

 

BBB

 

179.3

 

177.6

 

(1.7

)

4.8

 

Below BBB

 

213.2

 

204.8

 

(8.4

)

3.6

 

Not Rated

 

45.2

 

44.2

 

(1.0

)

1.1

 

Total Corporate Bonds

 

$

872.9

 

$

867.0

 

$

(5.9

)

3.7

 

 

Corporate Bonds - Top Ten Holdings:

 

 

 

 

 

 

 

 

 

% of

 

 

 

Amortized

 

Fair

 

 

 

Total Corp.

 

 

 

Cost

 

Value

 

Gain

 

Bonds

 

 

 

 

 

 

 

 

 

 

 

General Electric

 

$

25.3

 

$

26.2

 

$

0.9

 

3.0

%

Bank of America Corp

 

22.6

 

21.0

 

(1.6

)

2.4

%

BP Capital

 

19.3

 

20.2

 

0.9

 

2.3

%

JP Morgan Chase

 

18.0

 

18.1

 

0.1

 

2.1

%

Citigroup Inc

 

17.7

 

17.4

 

(0.3

)

2.0

%

BA Covered Bond issuer

 

16.0

 

16.4

 

0.4

 

1.9

%

Verizon Communications

 

13.7

 

13.9

 

0.2

 

1.6

%

Goldman Sachs Group

 

14.0

 

13.5

 

(0.5

)

1.6

%

Wal-Mart Stores Inc

 

12.5

 

12.8

 

0.3

 

1.5

%

American International Group

 

12.5

 

12.1

 

(0.4

)

1.4

%

Total

 

$

171.6

 

$

171.6

 

$

(0.0

)

19.8

%

 

Corporate Bonds -  By Sector: (1)

 

 

 

 

 

 

 

 

 

Option

 

 

 

 

 

 

 

 

 

Adjusted

 

 

 

Amortized

 

Fair

 

Gain

 

Duration

 

 

 

Cost

 

Value

 

(Loss)

 

(Years)

 

 

 

 

 

 

 

 

 

 

 

Industrial

 

$

429.7

 

$

434.7

 

$

5.0

 

3.9

 

Financial

 

303.4

 

296.6

 

(6.8

)

3.5

 

Utility

 

27.0

 

26.7

 

(0.3

)

4.5

 

All Others

 

112.8

 

109.0

 

(3.8

)

3.1

 

Total

 

$

872.9

 

$

867.0

 

$

(5.9

)

3.7

 

 

(1)          We also have various short positions in Corporate Bonds which are reported within “Other Liabilities” on our Balance Sheet. Some of these short positions fully or partially offset some of the long positions presented above.

 

10


 

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:

 

 

 

September 30

 

June 30

 

March 31

 

December 31

 

September 30

 

 

 

2011

 

2011

 

2011

 

2010

 

2010

 

Reinsurance recoverable on paid losses

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

A++

 

$

—

 

—

%

$

—

 

—

%

$

—

 

—

%

$

—

 

—

%

$

—

 

—

%

A+

 

1.7

 

24

 

0.7

 

23

 

0.2

 

8

 

5.9

 

46

 

6.4

 

93

 

A

 

4.6

 

63

 

0.9

 

30

 

0.3

 

12

 

6.9

 

53

 

0.4

 

6

 

A-

 

0.5

 

7

 

0.2

 

7

 

0.1

 

4

 

0.1

 

1

 

0.1

 

1

 

Unrated (1)

 

0.4

 

6

 

1.2

 

40

 

1.9

 

76

 

—

 

—

 

—

 

—

 

Recoverable under MUSIC guarantee (2)

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

7.2

 

100

%

$

3.0

 

100

%

$

2.5

 

100

%

$

12.9

 

100

%

$

6.9

 

100

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Reinsurance recoverable on unpaid losses

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

A++

 

$

—

 

—

%

$

—

 

—

%

$

—

 

—

%

$

—

 

—

%

$

—

 

—

%

A+

 

21.2

 

28

 

21.4

 

29

 

17.3

 

25

 

17.9

 

29

 

26.3

 

38

 

A

 

28.8

 

39

 

24.8

 

33

 

19.9

 

29

 

21.0

 

34

 

28.3

 

40

 

A-

 

2.0

 

3

 

2.6

 

4

 

2.3

 

3

 

1.4

 

2

 

1.4

 

2

 

Unrated (1)

 

18.8

 

25

 

18.7

 

25

 

23.4

 

35

 

16.3

 

26

 

8.6

 

12

 

Recoverable under MUSIC guarantee (2)

 

3.9

 

5

 

6.3

 

9

 

5.8

 

8

 

5.8

 

9

 

5.8

 

8

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

74.7

 

100

%

$

73.8

 

100

%

$

68.7

 

100

%

$

62.4

 

100

%

$

70.4

 

100

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total reinsurance recoverable

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

A++

 

$

—

 

—

%

$

—

 

—

%

$

—

 

—

%

$

—

 

—

%

$

—

 

—

%

A+

 

22.9

 

28

 

22.1

 

29

 

17.5

 

25

 

23.8

 

32

 

32.7

 

42

 

A

 

33.4

 

41

 

25.7

 

33

 

20.2

 

28

 

27.9

 

36

 

28.7

 

37

 

A-

 

2.5

 

3

 

2.8

 

4

 

2.4

 

3

 

1.5

 

2

 

1.5

 

2

 

Unrated (1)

 

19.2

 

23

 

19.9

 

26

 

25.3

 

36

 

16.3

 

22

 

8.6

 

11

 

Recoverable under MUSIC guarantee (2)

 

3.9

 

5

 

6.3

 

8

 

5.8

 

8

 

5.8

 

8

 

5.8

 

8

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

81.9

 

100

%

$

76.8

 

100

%

$

71.2

 

100

%

$

75.3

 

100

%

$

77.3

 

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 $3.9 million in remaining reserves at September 30, 2011.  In addition, MUSIC has a full indemnification from the seller covering any adverse development from its past business.

 

11


 

MONTPELIER RE HOLDINGS LTD.

Fully Converted Book Value Per Common Share (unaudited)

$ in millions, except per share amounts

 

 

 

 

September 30

 

June 30

 

March 31

 

December 31

 

September 30

 

 

 

2011

 

2011

 

2011

 

2010

 

2010

 

 

 

 

 

 

 

 

 

 

 

 

 

Numerator

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Book value and fully converted book value per common share numerator (common shareholders’ equity)

 

$

1,400.4

 

$

1,470.2

 

$

1,472.1

 

$

1,628.8

 

$

1,668.4

 

 

 

 

 

 

 

 

 

 

 

 

 

Intangible asset

 

(4.8

)

(4.8

)

(4.8

)

(4.8

)

(4.8

)

 

 

 

 

 

 

 

 

 

 

 

 

Fully converted tangible book value per common share numerator

 

$

1,395.6

 

$

1,465.4

 

$

1,467.3

 

$

1,624.0

 

$

1,663.6

 

 

 

 

 

 

 

 

 

 

 

 

 

Denominator (in shares)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Book value per share common denominator (ending common shares)

 

61,584,974

 

61,581,768

 

62,347,071

 

64,557,204

 

68,258,453

 

 

 

 

 

 

 

 

 

 

 

 

 

Common share obligations under benefit plans

 

1,336,222

 

1,345,072

 

1,377,922

 

1,637,580

 

1,976,739

 

 

 

 

 

 

 

 

 

 

 

 

 

Fully converted book value per common share and fully converted tangible book value per common share denominator

 

62,921,196

 

62,926,840

 

63,724,993

 

66,194,784

 

70,235,192

 

 

 

 

 

 

 

 

 

 

 

 

 

Book value per common share

 

$

22.74

 

$

23.87

 

$

23.61

 

$

25.23

 

$

24.44

 

Fully converted book value per common share

 

$

22.26

 

$

23.36

 

$

23.10

 

$

24.61

 

$

23.76

 

Fully converted tangible book value per common share

 

$

22.18

 

$

23.29

 

$

23.03

 

$

24.53

 

$

23.69

 

 

 

 

 

 

 

 

 

 

 

 

 

Dividends declared per common share

 

$

0.10

 

$

0.10

 

$

0.10

 

$

0.10

 

$

0.09

 

Change in FCBVPCS (1) Quarter

 

-4.7

%

1.1

%

-6.1

%

3.5

%

6.5

%

Change in FCBVPCS adjusted for dividends (2) Quarter

 

-4.3

%

1.6

%

-5.7

%

4.0

%

6.9

%

Change in FCBVPCS adjusted for dividends (2) YTD

 

-8.3

%

-4.3

%

-5.7

%

18.2

%

13.7

%

Change in FCBVPCS adjusted for dividends (2) Rolling 12 months

 

-4.7

%

6.5

%

10.0

%

18.2

%

21.9

%

Annualized change in FCBVPCS adjusted for dividends (2) Since inception

 

9.3

%

 

 

 

 

 

 

 

 

 

(1) FCBVPCS = Fully converted book value per common share.  See Page 14 for information regarding our use of Non-GAAP Financial Measures.

 

(2) Change in FCBVPCS adjusted for dividends represents the change in fully converted book value per common share after taking into account common share dividends declared for the period.  See page 14 for information regarding our use of Non-GAAP Financial Measures.

 

12


 

MONTPELIER RE HOLDINGS LTD.

Income (Loss) Available to Common Shareholders Per Share (unaudited)

$ in millions, except per share amounts

 

 

 

 

 

 

 

 

 

 

 

 

 

YTD

 

YTD

 

 

 

Q3-11

 

Q2-11

 

Q1-11

 

Q4-10

 

Q3-10

 

2011

 

2010

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Numerator

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Operating income (loss) available to common shareholders (1)

 

$

(24.9

)

$

5.2

 

$

(118.5

)

$

53.9

 

$

60.7

 

$

(138.2

)

$

110.1

 

Adjustment to operating income (loss) related to participating securities

 

—

 

(0.1

)

—

 

(1.0

)

(1.5

)

—

 

(1.0

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Operating income (loss) available to common shareholders, as adjusted

 

$

(24.9

)

$

5.1

 

$

(118.5

)

$

52.9

 

$

59.2

 

$

(138.2

)

$

109.1

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment and foreign exchange gains and losses

 

(41.3

)

16.0

 

14.2

 

(11.7

)

29.3

 

(11.1

)

59.7

 

Adjustment to net income (loss) related to participating securities

 

—

 

(0.3

)

—

 

—

 

(0.7

)

—

 

(0.6

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net income (loss) available to common shareholders, as adjusted

 

$

(66.2

)

$

20.8

 

$

(104.3

)

$

41.2

 

$

87.8

 

$

(149.3

)

$

168.2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Denominator

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Average common shares outstanding

 

61,582,837

 

61,953,603

 

62,499,458

 

65,477,694

 

68,995,819

 

62,011,966

 

72,249,589

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Operating income (loss) available to common shareholders per share

 

$

(0.40

)

$

0.08

 

$

(1.90

)

$

0.81

 

$

0.86

 

$

(2.23

)

$

1.51

 

Net income (loss) available to common shareholders per share

 

$

(1.07

)

$

0.33

 

$

(1.67

)

$

0.63

 

$

1.27

 

$

(2.41

)

$

2.33

 

 

(1) Excludes net investment and foreign exchange gains and losses.  See Page 3 for the computation of our operating income (loss) available to common shareholders and page 14 for information regarding our use of Non-GAAP Financial Measures.

 

13


 

MONTPELIER RE HOLDINGS LTD.

Financial Measures Disclosures

 

Non-GAAP Financial Measures Disclosures

 

Within this report, we present “operating income (loss) available to common shareholders”, which is a “non-GAAP financial measure” as defined in Regulation G pursuant to Section 401 of the Sarbanes - Oxley Act of 2002. This measure represents our GAAP results for the periods presented without consideration of net realized and unrealized investment and foreign exchange gains and losses.  A reconciliation of this measure to our most directly comparable GAAP financial measure, net income (loss) available to common shareholders, is included herein. We also present a measure referred to as “operating income (loss) available to common shareholders per share” which represents our “operating income (loss) available to common shareholders”, as adjusted for participating securities, divided by our weighted average common shares outstanding.

Within this report, we also present “book value per common share, fully converted book value per common share and fully converted tangible book value per common share”, each of which is a “non-GAAP financial measure” as defined in Regulation G.  The computations of these measures are included herein. We also present a measure referred to as “change in fully converted book value per common share” which represents the change in our “fully converted book value per common share”, taking into account dividends declared on our common shares during the period.

We believe that these non-GAAP measures are important to our investors, analysts and other interested parties who benefit from having an objective and consistent basis for comparison with other companies within our industry and we further believe these measures to be more relevant than comparable GAAP measures in evaluating our financial performance.

 

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MONTPELIER RE HOLDINGS LTD Reports