-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, KXOsz9GUb/i56JhW6A1glqwm2Eog4e1Bm/aP4kx9T7Qhh0rtQuTFWXYDwjv+20kE vm1/DFFezyDJ/obh9o0v0Q== 0000898080-06-000226.txt : 20060602 0000898080-06-000226.hdr.sgml : 20060602 20060602142518 ACCESSION NUMBER: 0000898080-06-000226 CONFORMED SUBMISSION TYPE: 8-K PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20060526 ITEM INFORMATION: Results of Operations and Financial Condition ITEM INFORMATION: Financial Statements and Exhibits FILED AS OF DATE: 20060602 DATE AS OF CHANGE: 20060602 FILER: COMPANY DATA: COMPANY CONFORMED NAME: SCOTTISH RE GROUP LTD CENTRAL INDEX KEY: 0001064122 STANDARD INDUSTRIAL CLASSIFICATION: LIFE INSURANCE [6311] IRS NUMBER: 000000000 STATE OF INCORPORATION: E9 FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 8-K SEC ACT: 1934 Act SEC FILE NUMBER: 001-16855 FILM NUMBER: 06882739 BUSINESS ADDRESS: STREET 1: GRAND PAVILION COMMERCIAL CENTRE STREET 2: 802 WEST BAY RD GEORGE TOWN GRAND CAYMAN CITY: GRAND CAYMAN CAYMAN STATE: E9 ZIP: 00000 BUSINESS PHONE: 3459492800 MAIL ADDRESS: STREET 1: P O BOX HM 2939 CITY: HAMILTON STATE: D0 ZIP: HM MX FORMER COMPANY: FORMER CONFORMED NAME: SCOTTISH LIFE HOLDINGS LTD DATE OF NAME CHANGE: 19980615 8-K 1 form8k.txt FORM 8-K _______________________________________________________________________________ UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 ________________ FORM 8-K CURRENT REPORT Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 Date of Report (Date of earliest event reported): May 26, 2006 ________________ SCOTTISH RE GROUP LIMITED (Exact name of registrant as specified in its charter) ________________ Cayman Islands 001-16855 98-0362785 (State or Other Jurisdiction (Commission File Number) (I.R.S. Employer of Incorporation) Identification No.) P.O. Box HM 2939 Crown House, Third Floor, 4 Par-la-Ville Road Hamilton HM12 Bermuda N/A (Address of Principal Executive Offices) (Zip Code) (441) 295-4451 Registrant's telephone number, including area code N/A (Former name or former address, if changed since last report) Check the appropriate box below if the Form 8-K filing is intended to simultaneously satisfy the filing obligation of the registrant under any of the following provisions: [ ] Written communications pursuant to Rule 425 under the Securities Act (17 CFR 230.425) [ ] Soliciting material pursuant to Rule 14a-12 under the Exchange Act (17 CFR 240.14a-12) [ ] Pre-commencement communications pursuant to Rule 14d-2(b) under the Exchange Act (17 CFR 240.14d-2(b)) [ ] Pre-commencement communications pursuant to Rule 13e-4(c) under the Exchange Act (17 CFR 240.13e-4(c)) _______________________________________________________________________________ Item 2.02. Results of Operations and Financial Condition. On May 26, 2006, Scottish Re Group Limited (the "Company") made available on its website supplemental financial information with respect to its financial results for the quarter ended March 31, 2006. This information is included as Exhibit 99.1 to this Current Report and incorporated by reference herein. The information in this Form 8-K and the Exhibits attached hereto shall not be deemed "filed" for purposes of Section 18 of the Securities Exchange Act of 1934 (the "Exchange Act") or otherwise subject to the liabilities of that section, nor shall it be deemed incorporated by reference in any filing under the Securities Act of 1933 or the Exchange Act, except as expressly set forth by specific reference in such a filing. Item 9.01. Financial Statements and Exhibits. (c) Exhibits. 99.1 Supplemental financial information with respect to the quarter ended March 31, 2006. 2 SIGNATURE Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned, hereunto duly authorized. SCOTTISH RE GROUP LIMITED By: /s/ Paul Goldean ------------------------------------------- Paul Goldean Executive Vice President and General Counsel Dated: June 2, 2006 3 INDEX TO EXHIBITS Number Description - ------ ----------- 99.1 Supplemental financial information with respect to the quarter ended March 31, 2006. 4 EX-99 2 ex99.txt SCOTTISH RE GROUP LIMITED 2006 FIRST QUARTER Financial Data Supplement Through the First Quarter Ended March 31, 2006 (unaudited) Scottish Re Group Limited ------------------------- Financial Data Supplement Package Table of Contents Definitions and Notes 1 Summary Financial Results 2 Quarterly Consolidated Balance Sheets - Assets 3 - Liabilities and Shareholders' Equity 4 Quarterly Consolidated Statements of Income 5 Supplemental Information - Net Operating Earnings 6 - Return on Equity 6 - Book Value per Share 7 - International Segment Operating Revenues by Country/Region 8 - Life Reinsurance Key Operating Ratios 9 - Investments > Total Portfolio 10 > Core Portfolio 11 > Funds Withheld at Interest 12 > Triple X Transactions 13 - North America Life Reinsurance Inforce and Premiums 14 - North America Financial Solutions GAAP Reserves 14 - Collateral Finance Facilities: Summary of Key Terms 15-16 Financial Strength Ratings Summary 17 Analyst Coverage 17 Investor Relations Contact 17 Scottish Re Group Limited ------------------------- Financial Data Supplement Package Definitions and Notes The following document contains supplemental quarterly financial and statistical information for the quarter ended March 31, 2006. This document is dated as of May 26, 2006. Scottish Re Group Limited and its affiliates ("Scottish Re") do not undertake a duty to update such information after such date. The information reported herein was derived from Scottish Re's various administrative and financial reporting systems, but not necessarily its financial statements. These statistics attempt to measure only some of the many factors that may affect future business segment profitability, and therefore are not intended to be predictive of future profitability. From time to time, Scottish Re provides additional financial information, which is available on its web site at www.scottishre.com. Non-GAAP Financial Measures - --------------------------- Scottish Re uses various non-GAAP financial measures to assist it in managing its businesses. In this Financial Data Supplement, Scottish Re is pleased to share several of these measures, their definitions and reconciliations to their reported GAAP counterparts. While these items may be significant components in understanding and assessing the Company's consolidated financial performance, operating results and financial condition, they are not a substitute for measures determined in accordance with GAAP. Reconciliations to GAAP measures and other definitions of calculations are provided below and elsewhere in this package. o Net operating earnings available to ordinary shareholders --------------------------------------------------------- The Company determines net operating earnings available to ordinary shareholders by adjusting net income available to ordinary shareholders by net realized capital gains and losses and the change in value of embedded derivatives, as adjusted for the related effects upon the amortization of deferred acquisition costs, and taxes related to these items as well as acquisition-related due diligence costs in 2004. This reconciliation is illustrated on page 6. o Return on equity ---------------- The Company determines return on equity by dividing the trailing twelve months net operating earnings available to ordinary shareholders (see above) by average shareholders' equity, as adjusted for preferred shares, accumulated other comprehensive income (AOCI) and fair value of embedded derivatives (net). This calculation is illustrated on page 6. o Book value per share -------------------- The Company calculates three related measures of book value per share as follows: 1) Basic book value per ordinary share is determined by dividing end of period total shareholders' equity, as adjusted for preferred shares, by end of period ordinary shares outstanding. 2) Basic book value, excluding AOCI and fair value of embedded derivatives, per ordinary share is determined by dividing end of period total shareholders' equity, as adjusted for preferred shares, AOCI, and fair value of embedded derivatives (net), by end of period ordinary shares outstanding. 3) Fully converted book value per ordinary share is determined by dividing end of period total shareholders' equity, as adjusted for preferred shares, AOCI, fair value of embedded derivatives (net), and net proceeds from the assumed conversion of various instruments into common shares by end of period ordinary shares outstanding, as adjusted by adding potential shares issued from the assumed exercise of various options and restricted stock units and conversion of various instruments into common shares. These book value per share calculations are illustrated on page 7. PAGE 1
Scottish Re Group Limited ------------------------- Summary Financial Results (stated in thousands of United States Dollars, Except Share Data) (unaudited) Earnings, Dividends, Shares Outstanding Three months Three months ended ended 31-Mar-05 31-Mar-06 ----------------------- ---------------------- Net operating earnings available to ordinary shareholders (1) $26,930 $14,286 Net income available to ordinary shareholders $33,420 $11,583 Net operating earnings per ordinary share: Basic $0.67 $0.27 Diluted $0.60 $0.25 Net income per ordinary share: Basic $0.84 $0.22 Diluted $0.74 $0.20 Dividends declared per ordinary share $0.05 $0.05 Weighted average ordinary shares outstanding: Basic 39,970,965 53,434,484 Diluted 45,192,171 56,532,914 Return on Equity (1) 31-Mar-05 31-Mar-06 Return on average shareholders' equity, trailing twelve month 11.9% 11.5% Book Value per Share (2) 31-Mar-05 31-Mar-06 Basic book value per ordinary share $21.75 $20.80 Basic book value per ordinary share (excluding other comprehensive income and value of embedded derivatives) $21.61 $21.89 Fully converted book value per ordinary share (excluding other comprehensive income and value of embedded $19.78 $21.13 derivatives) (1) Please refer to page 6 for details on the calculation of these figures (2) Please refer to page 7 for details on the calculation of these figures
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Scottish Re Group Limited ------------------------- Quarterly Consolidated Balance Sheets (stated in thousands of United States Dollars, Except Share Data) (unaudited) 31-Mar 30-Jun 30-Sep 31-Dec 31-Mar 30-Jun 30-Sep 2004 2004 2004 2004 2005 2005 2005 ----------- ----------- ----------- ---------- ------------ ------------ ------------- ASSETS - ------ Fixed maturity investments $2,336,664 $2,548,635 $2,797,450 $3,392,463 $4,445,745 $5,119,254 $5,062,020 Preferred stock 137,836 134,139 125,082 125,204 124,537 130,231 156,422 Cash and cash equivalents 215,693 270,503 191,016 794,639 831,078 320,531 486,527 Other investments 17,526 16,755 16,412 16,250 24,979 24,594 49,759 Funds withheld at interest 1,473,502 1,474,287 1,477,870 2,056,280 1,920,730 1,895,353 1,892,077 --------- --------- --------- --------- --------- --------- --------- Total investments 4,181,221 4,444,319 4,607,830 6,384,836 7,347,069 7,489,963 7,646,805 Accrued interest receivable 25,598 26,408 24,159 32,092 40,983 39,645 41,368 Reinsurance balances and risk fees receivable 209,443 324,723 288,377 495,517 492,217 443,589 522,885 Deferred acquisition costs 328,149 390,661 411,880 417,306 491,643 477,449 505,506 Amounts recoverable from reinsurers 769,893 746,161 703,288 680,956 766,207 792,296 731,578 Present value of in-force business 12,794 11,922 38,349 62,164 60,500 58,752 56,763 Goodwill 35,847 35,847 34,125 34,125 34,125 34,125 34,125 Other assets 61,255 68,710 24,241 38,926 61,161 188,715 63,488 Current income tax receivable 0 0 10,716 7,712 2,553 9,189 16,791 Deferred tax benefit 6,605 31,870 9,623 15,030 25,289 11,729 34,805 Segregated assets 794,627 794,020 740,220 783,573 774,162 799,329 772,526 ------- ------- ------- ------- ------- ------- ------- TOTAL ASSETS $6,425,432 $6,874,641 $6,892,808 $8,952,237 $10,095,909 $10,344,781 $10,426,640 31-Dec 31-Mar 2005 2006 ------------- ---------------- ASSETS - ------ Fixed maturity investments $5,292,595 $6,066,176 Preferred stock 133,804 131,722 Cash and cash equivalents 1,420,205 690,076 Other investments 54,619 64,141 Funds withheld at interest 2,597,416 2,610,195 Total investments 9,498,639 9,562,310 Accrued interest receivable 44,012 45,371 Reinsurance balances and risk fees receivable 325,372 381,095 Deferred acquisition costs 594,583 620,385 Amounts recoverable from reinsurers 551,288 605,241 Present value of in-force business 54,743 53,826 Goodwill 34,125 34,125 Other assets 87,198 94,719 Current income tax receivable 0 0 Deferred tax benefit 55,453 79,435 Segregated assets 760,707 780,132 -------- ------- TOTAL ASSETS $12,006,120 $12,256,639
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Scottish Re Group Limited ------------------------- Quarterly Consolidated Balance Sheets - continued (stated in thousands of United States Dollars, Except Share Data) (unaudited) 31-Mar 30-Jun 30-Sep 31-Dec 31-Mar 2004 2004 2004 2004 2005 --------- --------- --------- ---------- ---------- LIABILITIES - ----------- Reserves for future policy benefits $1,528,589 $1,684,603 $1,602,348 $3,301,715 $3,537,190 Interest sensitive contract liabilities 2,864,570 3,220,301 3,136,930 3,181,447 3,258,276 Collateral finance facilities 0 0 200,000 200,000 1,050,000 Accounts payable and other liabilites 67,558 48,861 52,155 68,311 61,623 Reinsurance balances payable 145,873 105,452 93,946 116,589 105,371 Current income tax payable 6,896 5,991 0 0 0 7.00% convertible junior subordinated notes 0 0 0 41,282 42,005 Long term debt 162,500 194,500 194,500 244,500 244,500 Segregated liabilities 794,627 794,020 740,220 783,573 774,162 -------- -------- -------- -------- -------- TOTAL LIABILITIES 5,570,613 6,053,728 6,020,099 7,937,417 9,073,127 Minority interest 9,546 9,188 9,535 9,697 9,844 Mezzanine equity 142,008 142,145 142,296 142,449 142,599 SHAREHOLDERS' EQUITY - -------------------- Ordinary shares, par value $0.01 per share 355 358 359 399 400 Preferred shares, par value $0.01 per share 0 0 0 0 0 Additional paid-in capital 552,318 555,445 556,173 684,719 687,024 Accumulated other comprehensive income 60,556 (3,139) 37,644 31,604 5,703 Retained earnings 90,036 116,916 126,702 145,952 177,212 ------- -------- -------- -------- -------- TOTAL SHAREHOLDERS' EQUITY 703,265 669,580 720,878 862,674 870,339 TOTAL LIABILITIES, MINORITY INTEREST, MEZZANINE EQUITY, AND SHAREHOLDERS' EQUITY $6,425,432 $6,874,641 $6,892,808 $8,952,237 $10,095,909 Ordinary shares outstanding 35,540,728 35,828,462 35,905,962 39,931,145 40,022,945 Preferred shares outstanding 0 0 0 0 0 30-Jun 30-Sep 31-Dec 31-Mar 2005 2005 2005 2006 ---------- ---------- ---------- ----------- LIABILITIES - ----------- Reserves for future policy benefits $3,524,757 $3,592,779 $3,477,222 $3,539,016 Interest sensitive contract liabilities 3,278,793 3,283,154 3,907,573 3,990,836 Collateral finance facilities 1,050,000 1,050,000 1,985,681 1,985,681 Accounts payable and other liabilites 115,782 104,413 83,130 70,750 Reinsurance balances payable 100,060 161,277 114,078 247,724 Current income tax payable 0 0 9,155 4,481 7.00% convertible junior subordinated notes 0 0 0 0 Long term debt 244,500 244,500 244,500 244,500 Segregated liabilities 799,329 772,526 760,707 780,132 -------- -------- -------- ------- TOTAL LIABILITIES 9,113,221 9,208,649 10,582,046 10,863,120 Minority interest 9,920 9,977 9,305 9,334 Mezzanine equity 142,753 142,906 143,057 143,207 SHAREHOLDERS' EQUITY - -------------------- Ordinary shares, par value $0.01 per share 454 456 534 537 Preferred shares, par value $0.01 per share 125,000 125,000 125,000 125,000 Additional paid-in capital 726,850 729,773 893,767 899,515 Accumulated other comprehensive income 50,051 3,704 (9,991) (55,386) Retained earnings 176,532 206,175 262,402 271,312 -------- -------- -------- ------- TOTAL SHAREHOLDERS' EQUITY 1,078,887 1,065,108 1,271,712 1,240,978 TOTAL LIABILITIES, MINORITY INTEREST, MEZZANINE EQUITY, AND SHAREHOLDERS' EQUITY $10,344,781 $10,426,640 $12,006,120 $12,256,639 Ordinary shares outstanding 45,453,472 45,627,372 53,391,939 53,655,856 Preferred shares outstanding 5,000,000 5,000,000 5,000,000 5,000,000
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Scottish Re Group Limited ------------------------- Quarterly Consolidated Statements of Income (stated in thousands of United States Dollars) (unaudited) For the Three Months Ended 31-Mar 30-Jun 30-Sep 31-Dec 31-Mar 2004 2004 2004 2004 2005 ------------ ------------- ------------- ------------ ------------- REVENUES - -------- Premiums earned, net $133,600 $157,493 $146,263 $152,089 $463,680 Investment income, net 50,103 54,817 55,519 56,699 80,479 Fee income 2,953 3,189 2,545 2,860 3,624 Realized gains/(losses) 1,421 (1,687) (3,398) (4,640) 3,294 Change in value of embedded derivatives, net (8,645) 14,610 (5,509) 4,105 5,485 ------- ------- ------- ------ ------ TOTAL REVENUES 179,432 228,422 195,420 211,113 556,562 BENEFITS AND EXPENSES - --------------------- Claims and other policy benefits 95,167 122,988 104,701 103,109 363,272 Interest credited to interest sensitive contract liabilities 24,193 25,465 27,685 29,182 30,642 Acquisition costs and other insurance expenses, net 33,122 39,102 38,889 40,292 91,642 Operating expenses 12,854 10,901 13,214 17,689 24,569 Collateral finance facilities expense 0 0 1,385 1,339 7,420 Interest expense 2,777 2,996 3,352 3,891 5,594 Due diligence costs 0 0 0 4,643 0 -- -- -- ------ -- TOTAL BENEFITS AND EXPENSES 168,113 201,452 189,226 200,145 523,139 Income from continuing operations before income taxes and minority interest 11,319 26,970 6,194 10,968 33,423 Income tax benefit (874) 1,690 5,401 10,462 368 ----- ------ ------ ------- ---- Income from continuing operations before minority interest 10,445 28,660 11,595 21,430 33,791 Minority interest (349) 11 (17) (176) (371) ----- --- ---- ----- ----- Income from continuing operations 10,096 28,671 11,578 21,254 33,420 Loss from discontinued operations 0 0 0 (208) 0 -- -- -- ----- -- NET INCOME 10,096 28,671 11,578 21,046 33,420 Dividends declared on non-cumulative perpetual preferred shares 0 0 0 0 0 -- -- -- -- -- NET INCOME AVAILABLE TO ORDINARY SHAREHOLDERS $10,096 $28,671 $11,578 $21,046 $33,420 For the Three Months Ended 30-Jun 30-Sep 31-Dec 31-Mar 2005 2005 2005 2006 ---------- ------------- ------------- ------------ REVENUES - -------- Premiums earned, net $436,893 $470,094 $563,263 $449,021 Investment income, net 83,554 92,132 99,672 129,022 Fee income 2,785 2,801 3,106 3,733 Realized gains/(losses) 934 1,344 (1,834) (13,601) Change in value of embedded derivatives, net (22,120) (2,631) 10,774 10,146 -------- ------- ------- ------ TOTAL REVENUES 502,046 563,740 674,981 578,321 BENEFITS AND EXPENSES - --------------------- Claims and other policy benefits 311,493 356,127 411,613 374,463 Interest credited to interest sensitive contract liabilities 31,723 36,724 33,879 42,701 Acquisition costs and other insurance expenses, net 122,494 91,214 118,425 87,531 Operating expenses 26,500 32,909 31,595 31,092 Collateral finance facilities expense 11,821 13,230 15,675 31,087 Interest expense 4,813 5,690 4,641 4,893 Due diligence costs 0 0 0 0 -- -- -- - TOTAL BENEFITS AND EXPENSES 508,844 535,894 615,828 571,767 Income from continuing operations before income taxes and minority interest (6,798) 27,846 59,153 6,554 Income tax benefit 8,187 6,677 1,202 7,457 ------ ------ ------ ----- Income from continuing operations before minority interest 1,389 34,523 60,355 14,011 Minority interest 202 (113) 421 (162) ---- ----- ---- ----- Income from continuing operations 1,591 34,410 60,776 13,849 Loss from discontinued operations 0 0 0 0 -- -- -- - NET INCOME 1,591 34,410 60,776 13,849 Dividends declared on non-cumulative perpetual preferred shares 0 (2,492) (2,266) (2,266) -- ------- ------- ------- NET INCOME AVAILABLE TO ORDINARY SHAREHOLDERS $1,591 $31,918 $58,510 $11,583
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Scottish Re Group Limited ------------------------- Supplemental Information - Net Operating Earnings and Return on Equity (stated in thousands of United States Dollars, Except Share Data) (unaudited) For the Three Months Ended 31-Mar 30-Jun 30-Sep 31-Dec 31-Mar 2004 2004 2004 2004 2005 -------------- -------------- -------------- -------------- -------------- Net income available to ordinary shareholders $10,096 $28,671 $11,578 $21,046 $33,420 Subtract: Realized (gains) / losses (1,421) 1,687 3,398 4,640 (3,294) Change in value of embedded derivatives, net 8,645 (14,610) 5,509 (4,105) (5,485) Taxes on realized gains/losses and change in value of embedded derivatives (707) 2,364 (1,667) 1,172 2,289 Due diligence costs (12/31/04: net of $579 tax) 0 0 0 4,064 0 -- -- -- ------ -- Net operating earnings available to ordinary shareholders $16,613 $18,112 $18,818 $26,817 $26,930 Net operating earnings per share available to ordinary shareholders: Basic $0.47 $0.51 $0.52 $0.75 $0.67 Diluted $0.45 $0.49 $0.51 $0.71 $0.60 Weighted average ordinary shares outstanding: Basic 35,327,658 35,747,254 35,869,413 35,981,436 39,970,965 Diluted 37,230,112 37,328,448 37,244,288 37,847,645 45,192,171 Return on average shareholders' equity - -------------------------------------- (1) Numerator: Net operating earnings available to ordinary shareholders, trailing twelve months $28,513 $34,170 $52,146 $80,360 $90,677 Total shareholders' equity $703,265 $669,580 $720,878 $862,674 $870,339 Subtract: Preferred shares 0 0 0 0 0 Accumulated other comprehensive income (60,556) 3,139 (37,644) (31,604) (5,703) Fair value of embedded derivatives, net 14,590 2,861 7,169 4,220 332 ----------- ----------- ----------- ------------ ----------- Shareholders' equity for ROE $657,299 $675,580 $690,403 $835,290 $864,968 (2) Denominator: Average shareholders' equity $570,483 $585,431 $668,059 $736,921 $761,134 Return on average shareholders' equity (1) / (2) 5.0% 5.8% 7.8% 10.9% 11.9% For the Three Months Ended 30-Jun 30-Sep 31-Dec 31-Mar 2005 2005 2005 2006 ------------- -------------- -------------- -------------- Net income available to ordinary shareholders $1,591 $31,918 $58,510 $11,583 Subtract: Realized (gains) / losses (934) (1,344) 1,834 13,601 Change in value of embedded derivatives, net 22,120 2,631 (10,774) (10,146) Taxes on realized gains/losses and change in value of embedded derivatives (3,062) (569) 1,207 (752) Due diligence costs (12/31/04: net of $579 tax) 0 0 0 0 -- -- -- - Net operating earnings available to ordinary shareholders $19,715 $32,636 $50,777 $14,286 Net operating earnings per share available to ordinary shareholders: Basic $0.45 $0.72 $1.10 $0.27 Diluted $0.42 $0.67 $1.03 $0.25 Weighted average ordinary shares outstanding: Basic 43,462,385 45,517,832 46,312,567 53,434,484 Diluted 47,136,889 48,543,262 49,450,464 56,532,914 Return on average shareholders' equity - -------------------------------------- (1) Numerator: Net operating earnings available to ordinary shareholders, trailing twelve months $92,280 $106,098 $130,058 $117,414 Total shareholders' equity $1,078,887 $1,065,108 $1,271,712 $1,240,978 Subtract: Preferred shares (125,000) (125,000) (125,000) (125,000) Accumulated other comprehensive income (50,051) (3,704) 9,991 55,386 Fair value of embedded derivatives, net 18,599 20,875 11,810 2,984 ----------- ----------- ------------ ---------- Shareholders' equity for ROE $922,435 $957,279 $1,168,513 $1,174,348 (2) Denominator: Average shareholders' equity $799,008 $823,841 $1,001,902 $1,019,658 Return on average shareholders' equity (1) / (2) 11.5% 12.9% 13.0% 11.5%
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Scottish Re Group Limited ------------------------- Supplemental Information - Book Value per Share (stated in thousands of United States Dollars, Except Share Data) (unaudited) 31-Dec 31-Mar 30-Jun 30-Sep 2004 2005 2005 2005 ---------------- --------------- ---------------- --------------- Total shareholders' equity, end of period $862,674 $870,339 $1,078,887 $1,065,108 Subtract: Preferred shares 0 0 (125,000) (125,000) -- -- --------- --------- (1) Total shareholders' equity excl. preferred shares 862,674 870,339 953,887 940,108 Subtract: Accumulated other comprehensive income (AOCI) (31,604) (5,703) (50,051) (3,704) Fair value of embedded derivatives, net 4,220 332 18,599 20,875 ------ ---- ------- ------- (2) Total shareholders' equity excl. preferred shares, AOCI, and fair value of embedded derivatives 835,290 864,968 922,435 957,279 Add net proceeds from assumed: Conversion of options 37,085 46,926 46,090 49,336 Conversion of warrants 39,782 39,782 39,750 39,750 Conversion of mezzanine equity 143,750 143,750 143,750 143,750 Conversion of 4.5% senior convertible notes 0 0 0 0 Conversion of 7% convertible notes 41,282 42,005 0 0 ------- ------- -- -- (3) Converted shareholders' equity excl. preferred shares, AOCI, and fair value of embedded derivatives $1,097,189 $1,137,431 $1,152,025 $1,190,115 (4) Ordinary shares outstanding, end of period 39,931,145 40,022,945 45,453,472 45,627,372 Add potential shares issued from assumed: Exercise of options and restricted stock units 2,491,236 3,059,836 3,199,936 3,359,436 Conversion of warrants 5,856,431 5,856,431 2,650,000 2,650,000 Conversion of mezzanine equity 6,099,025 6,383,214 6,099,025 6,099,025 Conversion of 4.5% senior convertible notes 0 0 0 473,273 Conversion of 7% convertible notes 2,130,709 2,167,996 0 0 ---------- ---------- -- -- (5) Fully converted ordinary shares outstanding 56,508,546 57,490,422 57,402,433 58,209,106 Basic book value per ordinary share (1) / (4) $21.60 $21.75 $20.99 $20.60 Basic book value, excl. AOCI, and fair value of embedded derivatives, per share (2) / (4) $20.92 $21.61 $20.29 $20.98 Fully converted book value, excl. AOCI and fair value of embedded derivatives, per share (3) / (5) $19.42 $19.78 $20.07 $20.45 31-Dec 31-Mar 2005 2006 --------------- --------------- Total shareholders' equity, end of period $1,271,712 $1,240,978 Subtract: Preferred shares (125,000) (125,000) --------- --------- (1) Total shareholders' equity excl. preferred shares 1,146,712 1,115,978 Subtract: Accumulated other comprehensive income (AOCI) 9,991 55,386 Fair value of embedded derivatives, net 11,810 2,984 ------- ----- (2) Total shareholders' equity excl. preferred shares, AOCI, and fair value of embedded derivatives 1,168,513 1,174,348 Add net proceeds from assumed: Conversion of options 48,374 45,072 Conversion of warrants 39,750 39,750 Conversion of mezzanine equity 143,750 143,750 Conversion of 4.5% senior convertible notes 0 0 Conversion of 7% convertible notes 0 0 -- - (3) Converted shareholders' equity excl. preferred share AOCI, and fair value of embedded derivatives $1,400,387 $1,402,920 (4) Ordinary shares outstanding, end of period 53,391,939 53,655,856 Add potential shares issued from assumed: Exercise of options and restricted stock units 3,390,936 3,320,020 Conversion of warrants 2,650,000 2,650,000 Conversion of mezzanine equity 6,099,025 6,099,025 Conversion of 4.5% senior convertible notes 612,780 661,870 Conversion of 7% convertible notes 0 0 -- - (5) Fully converted ordinary shares outstanding 66,144,680 66,386,771 Basic book value per ordinary share (1) / (4) $21.48 $20.80 Basic book value, excl. AOCI, and fair value of embedded derivatives, per share (2) / (4) $21.89 $21.89 Fully converted book value, excl. AOCI and fair value of embedded derivatives, per share (3) / (5) $21.17 $21.13
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Scottish Re Group Limited ------------------------- Supplemental Information - International Segment Operating Revenues by Country/Region (stated in thousands of United States Dollars) (unaudited) Three Three Full months months Year ended ended 2005 31-Mar-05 31-Mar-06 ------------ ------------ ------------ OPER. REVENUES - NORTH AMERICA (1) - ------------------------------ Premiums earned, net $16,678 $4,271 $2,403 Investment income, net 2,405 548 618 ------- ------ ------ TOTAL $19,083 $4,819 $3,021 OPER. REVENUES - UK AND IRELAND (3) - ------------------------------- Premiums earned, net $30,132 $6,742 $5,078 Investment income, net 3,748 884 931 ------- ------ ------ TOTAL $33,880 $7,626 $6,009 OPER. REVENUES - LATIN AMERICA (5) - ------------------------------ Premiums earned, net $3,751 $1,023 $493 Investment income, net 375 95 86 ------ ------ ------ TOTAL $4,126 $1,118 $579 Three Three Full months months Year ended ended 2005 31-Mar-05 31-Mar-06 ------------ ------------ ------------ OPER. REVENUES - MIDDLE EAST (2) ---------------------------- Premiums earned, net $33,831 $7,648 $5,642 Investment income, net 1,936 368 583 ------- ------ ------ TOTAL $35,767 $8,016 $6,225 OPER. REVENUES - ASIA (4) --------------------- Premiums earned, net $11,882 $1,576 $2,821 Investment income, net 351 71 100 ------- ------ ------- TOTAL $12,233 $1,647 $2,921 OPER. REVENUES - OTHER (6) ---------------------- Premiums earned, net $22,781 $5,325 $3,666 Investment income, net 2,673 624 671 --------- ------ ------ TOTAL $25,454 $5,949 $4,337 OPER. REVENUES - TOTAL ------------------------ Premiums earned, net $119,055 $26,585 $20,103 Investment income, net 11,488 2,590 2,989 ------- ------ ----- TOTAL $130,543 $29,175 $23,092
Notes (1) Represents assumed retroceded reinsurance on North American lives written in 2002 and prior; currently in runoff (2) Represents Middle Eastern business partially in runoff, some new business, loss of license (3) Represents loss of license business and life protection treaties (4) Represents Japanese Kyosai business and other Asian business (5) Represents Latin America business in runoff (6) Represents Other European and African business in runoff PAGE 8
Scottish Re Group Limited ------------------------- Supplemental Information - Life Reinsurance Key Operating Ratios (stated in thousands of United States Dollars) (unaudited) Three Months Ended 31-Mar-06 ----------------------------------------------------------------------------------- North America International Total ---------------------- ------------------------ ------------------------ Traditional Financial Traditional Financial Traditional Financial Solutions Solutions Solutions Solutions Solutions Solutions Total --------- --------- --------- --------- --------- --------- ----- REVENUES (1) Premiums earned, net $420,732 $8,186 $20,103 $0 $440,835 $8,186 $449,021 Investment income, net 60,690 63,251 2,989 0 63,679 63,251 126,930 ------- ------- ------ -- ------- ------- ------- (2) TOTAL OPERATING REVENUES $481,422 $71,437 $23,092 $0 $504,514 $71,437 $575,950 BENEFITS AND EXPENSES (3) Claims and other policy benefits $330,730 $16,550 $27,183 $0 $357,913 $16,550 $374,463 (4) Interest credited to interest sensitive contract liabilities $0 $42,701 $0 $0 $0 $42,701 $42,701 (5) Acquisition costs and other insurance expenses, net $ 72,556 $11,852 $2,817 $0 $75,373 $11,852 $87,225 RATIOS Benefit Ratio (1) 78.6% 82.9% 135.2% n/a 81.2% 82.9% 72.4% Acquisition Ratio (2) 17.2% 16.6% 14.0% n/a 17.1% 16.6% 15.1% Three Months Ended 31-Mar-06 ----------------------------------------------------------------------------------- North America International Total ---------------------- ------------------------ ----------------------- Traditional Financial Traditional Financial Traditional Financial Solutions Solutions Solutions Solutions Solutions Solutions Total --------- --------- --------- --------- --------- --------- ----- REVENUES (1) Premiums earned, net $422,391 $14,704 $26,585 $0 $448,976 $14,704 $463,680 Investment income, net 31,602 45,929 2,590 0 34,192 45,929 80,121 ------- ------- ------ -- ------- ------- ------- (2) TOTAL OPERATING REVENUES $453,993 $60,633 $29,175 $0 $483,168 $60,633 $543,801 BENEFITS AND EXPENSES (3) Claims and other policy benefits $328,520 $15,668 $19,084 $0 $347,604 $15,668 $363,272 (4) Interest credited to interest sensitive contract liabilities $0 $30,642 $0 $0 $0 $30,642 $30,642 (5) Acquisition costs and other insurance expenses, net $75,777 $12,500 $2,846 $0 $78,623 $12,500 $91,123 RATIOS Benefit Ratio (1) 77.8% 76.4% 71.8% n/a 77.4% 76.4% 72.4% Acquisition Ratio (2) 17.9% 20.6% 10.7% n/a 17.5% 20.6% 16.8%
(1) Traditional Solutions: (3)/(1), Financial Solutions: [(3)+(4)]/(2), Total: [(3 +(4) /(2) (2) Traditional Solutions: (5)/(1), Financial Solutions: (5)/(2), Total: (5)/(2) PAGE 9
Scottish Re Group Limited ------------------------- Supplemental Information - Investments (stated in millions of United States Dollars) (unaudited) 31-Mar-05 30-Jun-05 30-Sep-05 -------------------- -------------------- ---------------------- Market Market Market Value % Value % Value % ---------- --------- ---------- --------- ---------- ----------- TOTAL PORTFOLIO - --------------- BY RATINGS ---------- AAA $2,716.4 37.5% $2,585.5 34.7% $2,666.2 35.6% AA 750.9 10.4% 842.8 11.3% 869.0 11.6% A 2,006.4 27.7% 2,201.0 29.5% 2,137.0 28.6% BBB 1,548.8 21.4% 1,592.2 21.3% 1,578.8 21.1% BB and below 93.9 1.3% 110.8 1.5% 110.7 1.5% ----- ---- ------ ---- ------ ---- Subtotal 7,116.4 98.3% 7,332.3 98.3% 7,361.7 98.4% Commercial mortgage loans 125.9 1.7% 125.9 1.7% 123.0 1.6% ------ ---- ------ ---- ------ ---- TOTAL $7,242.3 100.0% $7,458.2 100.0% $7,484.7 100.0% Weighted Average Rating AA- AA- AA- BY SECTOR --------- U.S. Treasury securities and U.S. government agency obligations $131.5 1.8% $113.4 1.5% $64.8 0.9% Corporate securities 3,018.7 41.7% 3,160.3 42.4% 3,167.4 42.3% Municipal bonds 63.1 0.9% 68.5 0.9% 69.6 0.9% Mortgage and asset-backed securities 2,983.0 41.2% 3,558.4 47.7% 3,526.0 47.1% Preferred stock 127.4 1.8% 158.0 2.1% 159.9 2.1% Commercial mortgage loans 125.9 1.7% 125.9 1.7% 123.0 1.6% ------ ---- ------ ---- ------ ---- Subtotal $6,449.6 89.1% $7,184.5 96.3% $7,110.7 95.0% Cash 792.7 10.9% 273.7 3.7% 374.0 5.0% ------ ----- ------ ---- ------ ---- TOTAL $7,242.3 100.0% $7,458.2 100.0% $7,484.7 100.0% Weighted Average Book Yield 4.7% 4.9% 5.1% Option Adjusted Duration (years) 4.0 4.0 3.9 31-Dec-05 31-Mar-06 --------------------- ------------------------ Market Market Value % Value % ---------- -------- ------------ ----------- TOTAL PORTFOLIO - --------------- BY RATINGS ---------- AAA $3,723.5 40.0% $3,605.1 38.8% AA 1,215.0 13.1% 1,275.4 13.7% A 2,388.6 25.7% 2,405.4 25.9% BBB 1,763.4 18.9% 1,790.9 19.3% BB and below 106.0 1.1% 105.7 1.1% ------ ---- ------ ---- Subtotal 9,196.5 98.8% 9,182.5 98.8% Commercial mortgage loans 112.6 1.2% 108.0 1.2% ------ ---- ------ ---- TOTAL $9,309.1 100.0% $9,290.5 100.0% Weighted Average Rating AA- AA- BY SECTOR --------- U.S. Treasury securities and U.S. government agency obligations $110.1 1.2% $267.0 2.9% Corporate securities 3,688.3 39.6% 3,632.4 39.1% Municipal bonds 70.6 0.8% 73.3 0.8% Mortgage and asset-backed securities 3,745.2 40.2% 4,464.4 48.1% Preferred stock 137.0 1.5% 135.0 1.5% Commercial mortgage loans 112.6 1.2% 108.0 1.2% ------ ---- ------ ---- Subtotal $7,863.8 84.5% $8,680.1 93.4% Cash 1,445.3 15.5% 610.4 6.6% -------- ----- ------ ---- TOTAL $9,309.1 100.0% $9,290.5 100.0% Weighted Average Book Yield 5.1% 5.3% Option Adjusted Duration (years) 3.6 3.5
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Scottish Re Group Limited ------------------------- Supplemental Information - Investments - continued (stated in millions of United States Dollars) (unaudited) 31-Mar-05 30-Jun-05 30-Sep-05 --------------------- ---------------------- ---------------------- Market Market Market Value % Value % Value % ------------ -------- ------------ --------- ------------ --------- CORE PORTFOLIO (1) - ------------------ BY RATINGS AAA $2,294.4 42.9% $2,141.4 38.8% $2,233.2 40.0% AA 658.6 12.3% 751.7 13.6% 778.3 13.9% A 1,467.3 27.4% 1,642.6 29.8% 1,599.6 28.6% BBB 907.9 17.0% 954.8 17.3% 950.3 17.0% BB and below 23.1 0.4% 28.0 0.5% 28.1 0.5% ------- ----- -------- ---- ------- ----- TOTAL $5,351.3 100.0% $5,518.5 100.0% $5,589.5 100.0% Weighted Average Rating AA- AA- AA- BY SECTOR U.S. Treasury securities and U.S. government agency obligations $101.0 1.9% $81.5 1.5% $37.9 0.7% Corporate securities 1,823.6 34.1% 1,926.3 34.9% 1,959.3 35.1% Municipal bonds 39.4 0.7% 38.2 0.7% 36.5 0.6% Mortgage and asset-backed securities 2,481.8 46.4% 3,049.0 55.2% 3,028.4 54.2% Preferred stock 124.5 2.3% 154.5 2.8% 156.4 2.8% ------- ------ -------- ----- --------- ----- Subtotal $4,570.3 85.4% $5,249.5 95.1% $5,218.5 93.4% Cash 781.0 14.6% 269.0 4.9% 371.0 6.6% -------- ------- -------- ------ -------- ------ TOTAL $5,351.3 100.0% $5,518.5 100.0% $5,589.5 100.0% Weighted Average Book Yield 4.3% 4.6% 4.8% Option Adjusted Duration (years) 3.5 3.6 3.5 (1) Includes Triple X Transaction assets on page 13 31-Dec-05 31-Mar-06 ---------------------- ----------------------- Market Market Value % Value % ------------ --------- ------------ ---------- CORE PORTFOLIO (1) - ------------------ BY RATINGS AAA $3,017.5 44.8% $2,974.6 44.0% AA 1,069.1 15.9% 1,129.0 16.7% A 1,646.9 24.4% 1,668.6 24.7% BBB 977.6 14.5% 961.4 14.2% BB and below 28.0 0.4% 27.7 0.4% -------- ----- -------- ------ TOTAL $6,739.1 100.0% $6,761.3 100.0% Weighted Average Rating AA AA BY SECTOR U.S. Treasury securities and U.S. government agency obligations $47.9 0.7% $71.9 1.1% Corporate securities 2,057.0 30.5% 2,071.2 30.6% Municipal bonds 37.6 0.6% 41.9 0.6% Mortgage and asset-backed securities 3,150.1 46.7% 3,881.2 57.4% Preferred stock 133.8 2.0% 131.7 2.0% -------- ------ -------- ------- Subtotal $5,426.4 80.5% $6,197.9 91.7% Cash 1,312.7 19.5% 563.4 8.3% --------- ------ -------- ------ TOTAL $6,739.1 100.0% $6,761.3 100.0% Weighted Average Book Yield 4.9% 5.1% Option Adjusted Duration (years) 2.9 3.0 (1) Includes Triple X Transaction assets on page 13
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Scottish Re Group Limited Supplemental Information - Investments - continued (stated in millions of United States Dollars) (unaudited) 31-Mar-05 30-Jun-05 30-Sep-05 ------------------------ ------------------------ ------------------------ Market Market Market Value % Value % Value % ------------ ----------- ------------ ----------- ------------ ----------- FUNDS WITHHELD AT INTEREST - -------------------------- BY RATINGS ---------- AAA $422.0 22.3% $444.1 22.9% $433.0 22.8% AA 92.3 4.9% 91.1 4.7% 90.7 4.8% A 539.1 28.5% 558.4 28.8% 537.4 28.3% BBB 640.9 33.9% 637.4 32.8% 628.5 33.2% BB and below 70.8 3.7% 82.8 4.3% 82.6 4.4% ---- --- ---- --- ---- --- Subtotal 1,765.1 93.3% 1,813.8 93.5% 1,772.2 93.5% Commercial mortgage loans 125.9 6.7% 125.9 6.5% 123.0 6.5% ---- --- ---- --- ---- --- TOTAL $1,891.0 100.0% $1,939.7 100.0% $1,895.2 100.0% Weighted Average Rating A A A BY SECTOR --------- U.S. Treasury securities and U.S. government agency obligations $30.5 1.6% $31.9 1.6% $26.9 1.4% Corporate securities 1,195.1 63.2% 1,234.0 63.6% 1,208.1 63.7% Municipal bonds 23.7 1.2% 30.3 1.6% 33.1 1.7% Mortgage and asset-backed securities 501.2 26.5% 509.4 26.3% 497.6 26.3% Preferred stock 2.9 0.2% 3.5 0.2% 3.5 0.2% Commercial mortgage loans 125.9 6.7% 125.9 6.5% 123.0 6.5% ---- --- ---- --- ---- --- Subtotal $1,879.3 99.4% $1,935.0 99.8% $1,892.2 99.8% Cash 11.7 0.6% 4.7 0.2% 3.0 0.2% ---- --- ---- --- ---- --- TOTAL $1,891.0 100.0% $1,939.7 100.0% $1,895.2 100.0% Weighted Average Book Yield 5.8% 5.8% 5.8% Option Adjusted Duration (years) 5.2 5.2 5.1 31-Dec-05 31-Mar-06 ----------------------- ------------------------ Market Market Value % Value % ----------- ----------- ------------ ----------- FUNDS WITHHELD AT INTEREST - -------------------------- BY RATINGS ---------- AAA $706.0 27.5% $630.5 24.9% AA 145.9 5.7% 146.4 5.8% A 741.7 28.8% 736.8 29.1% BBB 785.8 30.6% 829.5 32.8% BB and below 78.0 3.0% 78.0 3.1% ---- --- ---- --- Subtotal 2,457.4 95.6% 2,421.2 95.7% Commercial mortgage loans 112.6 4.4% 108.0 4.3% ---- --- ---- --- TOTAL $2,570.0 100.0% $2,529.2 100.0% Weighted Average Rating A+ A BY SECTOR --------- U.S. Treasury securities and U.S. government agency obligations $62.2 2.4% $195.1 7.7% Corporate securities 1,631.3 63.5% 1,561.2 61.7% Municipal bonds 33.0 1.3% 31.4 1.2% Mortgage and asset-backed securities 595.1 23.1% 583.2 23.1% Preferred stock 3.2 0.1% 3.3 0.1% Commercial mortgage loans 112.6 4.4% 108.0 4.3% ---- --- ---- --- Subtotal $2,437.4 94.8% $2,482.2 98.1% Cash 132.6 5.2% 47.0 1.9% ---- --- ---- --- TOTAL $2,570.0 100.0% $2,529.2 100.0% Weighted Average Book Yield 5.6% 5.7% Option Adjusted Duration (years) 5.1 4.7
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Scottish Re Group Limited ------------------------- Supplemental Information - Investments - continued (stated in millions of United States Dollars) (unaudited) 31-Mar-05 30-Jun-05 30-Sep-05 ------------------------ ------------------------ ------------------------ Market Market Market Value % Value % Value % ------------ ----------- ------------ ----------- ------------ ----------- TRIPLE X TRANSACTIONS (1) - ------------------------- BY RATINGS AAA $1,128.7 74.0% $957.1 62.1% $953.1 61.2% AA 239.0 15.7% 337.5 21.9% 359.3 23.1% A 147.0 9.6% 235.3 15.3% 235.4 15.1% BBB 10.7 0.7% 9.1 0.6% 9.3 0.6% BB and below 0.0 0.0% 0.0 0.0% 0.0 0.0% Not Rated (2) 0.0 0.0% 2.0 0.1% 0.0 0.0% --- --- --- --- --- --- TOTAL $1,525.5 100.0% $1,541.0 100.0% $1,557.1 100.0% Weighted Average Rating AA- AA- AA- BY SECTOR U.S. Treasury securities and U.S. government agency obligations $3.0 0.2% $3.0 0.2% $9.0 0.6% Corporate securities 155.0 10.2% 195.8 12.7% 215.2 13.8% Municipal bonds 0.0 0.0% 0.0 0.0% 0.0 0.0% Mortgage and asset-backed securities 787.3 51.6% 1,305.2 84.7% 1,296.0 83.2% Preferred stock 0.0 0.0% 0.0 0.0% 0.0 0.0% --- --- --- --- --- --- Subtotal $945.4 62.0% $1,504.0 97.6% $1,520.2 97.6% Cash 580.1 38.0% 37.0 2.4% 36.9 2.4% ----- ---- ---- --- ---- --- TOTAL $1,525.5 100.0% $1,541.0 100.0% $1,557.1 100.0% Weighted Average Book Yield 3.1% 3.9% 4.3% Option Adjusted Duration (years) 1.3 1.8 1.9 31-Dec-05 31-Mar-06 ------------------------ ------------------------ Market Market Value % Value % ------------ ----------- ------------ ----------- TRIPLE X TRANSACTIONS (1) - ------------------------- BY RATINGS AAA $1,808.6 64.5% $1,690.1 60.1% AA 652.6 23.3% 724.0 25.8% A 330.1 11.8% 390.7 13.9% BBB 12.5 0.4% 7.0 0.2% BB and below 0.0 0.0% 0.0 0.0% Not Rated (2) 0.0 0.0% 0.0 0.0% --- --- --- --- TOTAL $2,803.8 100.0% $2,811.8 100.0% Weighted Average Rating AA- AA- BY SECTOR U.S. Treasury securities and U.S. government agency obligations $16.8 0.6% $44.4 1.6% Corporate securities 355.6 12.7% 386.1 13.7% Municipal bonds 1.1 0.0% 6.5 0.2% Mortgage and asset-backed securities 1,471.0 52.5% 2,187.8 77.8% Preferred stock 0.0 0.0% 0.0 0.0% --- --- --- --- Subtotal $1,844.4 65.8% $2,624.8 93.3% Cash 959.4 34.2% 187.0 6.7% ----- ---- ----- --- TOTAL $2,803.8 100.0% $2,811.8 100.0% Weighted Average Book Yield 4.5% 5.0% Option Adjusted Duration (years) 1.6 1.7
(1) Includes assets in trust related to excess reserves, economic reserves, surplus, debt service accounts, etc. (2) 30-Jun-05 contains one security that was purchased during Q2 2005 but was not rated until Q3 2005 PAGE 13
Scottish Re Group Limited ------------------------- Supplemental Information - North America Life Reinsurance (stated in United States Dollars) (unaudited) 31-Mar 30-Jun 30-Sep 31-Dec 31-Mar 2004 2004 2004 2004 2005 --------------- -------------- -------------- --------------- -------------- Traditional life reinsurance inforce ($billions) $286.0 $298.1 $307.4 $1,006.6 $1,019.1 Lives covered (millions) 6.9 7.4 7.5 14.2 13.5 Average benefit per life $41,665 $40,233 $40,927 $70,642 $75,765 30-Jun 30-Sep 31-Dec 31-Mar 2005 2005 2005 2006 -------------- -------------- -------------- -------------- Traditional life reinsurance inforce ($billions) $1,025.8 $1,023.6 $1,025.8 $1,025.0 Lives covered (millions) 13.9 13.9 13.5 14.1 Average benefit per life $73,942 $73,740 $75,757 $72,835
Supplemental Information - North America Financial Solutions (stated in thousands of United States Dollars) (unaudited) 31-Mar 30-Jun 30-Sep 31-Dec 31-Mar 2004 2004 2004 2004 2005 --------------- -------------- -------------- --------------- -------------- Fixed annuities $2,194,364 $2,260,630 $2,425,838 $2,472,526 $2,539,595 Funding agreements 510,347 500,384 500,493 500,634 500,746 Life insurance (1) 355,740 358,115 405,223 379,948 392,781 Disabled life reserves 76,684 75,371 73,512 72,301 68,093 Credit life and other 10,580 11,966 13,650 16,692 18,573 ------- ------- ------- ------- ------- TOTAL $3,147,715 $3,206,466 $3,418,716 $3,442,101 $3,519,788 30-Jun 30-Sep 31-Dec 31-Mar 2005 2005 2005 2006 -------------- -------------- -------------- -------------- Fixed annuities $2,561,582 $2,563,438 $3,187,938 $3,222,878 Funding agreements 500,584 500,800 500,858 575,873 Life insurance (1) 398,038 388,131 379,336 365,470 Disabled life reserves 69,525 67,924 65,365 63,067 Credit life and other 20,451 24,373 26,786 26,890 ------- ------- ------- ------ TOTAL $3,550,180 $3,544,666 $4,160,283 $4,254,178
(1) Includes term/traditional life reserves that are categorized as reserves for future policy benefits on the balance sheet PAGE 14
Scottish Re Group Limited ------------------------- Supplemental Information - Collateral Finance Facilities: Summary of Key Terms (unaudited) Collateral Transaction Consolidateed Facility Closing in Financial Liability Facility Date Statements? (millions) - -------------- ----------------- ------------------- -------------- HSBC I 25-Jun-04 Yes $200 Stingray 12-Jan-05 No n/a Orkney I 11-Feb-05 Yes $850 Orkney II 21-Dec-05 Yes $450 HSBC II 22-Dec-05 Yes $486 Other Details - ------------------------------------------------------------------------------- This facility provides $200 million that can be used to collateralize reinsurance obligations under intercompany reinsurance agreements. A total return swap with HSBC Bank, USA, N.A. entitles us to the total return of the investment portfolio of the trust established for this facility. We acquired an irrevocable put option to issue up to $325 million of funding agreements to Stingray Investor Trust in return for the assets of a portfolio of 30-day commercial paper. This put option may be exercised at any time. This transaction may also provide collateral for Scottish Re (U.S.), Inc. for reinsurance obligations under intercompany quota share reinsurance agreements. This facility matures 12-Jan-15. Orkney Holdings, LLC issued and sold an aggregate of $850 million of floating rate insured notes due 11-Feb-35 (the "Orkney Notes"). Proceeds from this offering were used to fund the Regulation XXX reserve requirements for a defined block of level premium term life insurance policies issued between 1-Jan-00 and 31-Dec-03 reinsured by Scottish Re (U.S.), Inc. to Orkney Re, Inc., a South Carolina special purpose captive insurance company. Proceeds from the Orkney Notes have been deposited into a series of trusts that collateralize the notes. Proceeds from this offering were used to fund the Regulation XXX requirements for a defined block of level premium term life insurance policies issued between 1-Jan-04 and 31-Dec-04 reinsured by Scottish Re (U.S.), Inc. to Orkney Re II plc. Proceeds from the Orkney II Notes have been deposited into a series of trusts that collateralize the notes. This is a 20 year collateral finance facility that provides up to $1.0 bln of Regulation XXX collateral support for the business acquired from ING and can be used to collateralize reinsurance obligations under intercompany reinsurance agreements. A total return swap with HSBC Bank, USA, N.A. entitles us to the total return of the investment portfolio of the trust established for this facility.
Page 15
Scottish Re Group Limited ------------------------- Supplemental Information - Collateral Finance Facilities: Summary of Key Terms - continued (unaudited) Collateral Transaction Consolidateed Facility Closing in Financial Liability Facility Date Statements? (millions) - -------------- ----------------- ------------------- -------------- Reinsurance Facility 22-Dec-05 No n/a Other Details - ------------------------------------------------------------------------------- This long term reinsurance facility with a third party, Bermuda-domiciled reinsurer provides up to $1.0 billion of Regulation XXX collateral support for the business acquired from ING. The Bermuda reinsurer provides security in the form of letters of credit and/or assets in trust equal to statutory reserves.
PAGE 16 Scottish Re Group Limited ------------------------- Insurance Financial Strength Ratings (as of 31-Mar-06)
Moody's A.M. Best Fitch Investors Standard Company Company Ratings Service & Poors - --------------------------------------------------------- ---------------- -------- ---------------- ------------------ Scottish Annuity and Life Insurance Co. (Cayman) Ltd. A- A A3* A- Scottish Re (U.S.), Inc. A- A A3* A- Scottish Re Ltd. A- A - - A- Scottish Re Life Corp. A- - - - - A- * Negative outlook
Analyst Coverage
Firm Analyst Phone Number - ----------------------------------------- --------------------- ------------------ A.G. Edwards & Sons, Inc. J. Jeffrey Hopson, CFA 314-955-2640 Bear, Stearns & Co. Saul Martinez 212-272-3528 Fox-Pitt Kelton John Nadel 212-857-6149 Keefe, Bruyette & Woods, Inc. Jeff Schuman 860-722-5902 Oppenheimer & Co. Richard Sbaschnig, CFA 212-668-4474 UBS Andrew Kligerman 212-713-2492 Wachovia Securities John Hall 212-214-8032 Investor Relations Contact: - --------------------------- Dean E. Miller EVP & Chief Financial Officer Scottish Re Group Limited (441) 298-4395 dean.miller@scottishre.com
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