EX-99.3 4 ex99-3.txt 2006 SECOND QUARTER FINANCIAL DATA SUPPLEMENT SCOTTISH RE SCOTTISH RE GROUP LIMITED 2006 SECOND QUARTER Financial Data Supplement Through the Second Quarter Ended June 30, 2006 (unaudited) Scottish Re Group Limited Financial Data Supplement Package Table of Contents -------------------------------------------------------------------------------- Title Page -------------------------------------------------------------------------------- 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 - Segment Operating Results > North America 8 > International 9 > Corporate & Other 10 - International Segment Operating Revenues by Business Line 11 - Life Reinsurance Key Operating Ratios > Current Quarter 12 > Year To Date 13 - Investments > Total Portfolio 14 > Core Portfolio (excluding Triple X Transactions) 15 > Funds Withheld at Interest 16 > Triple X Transactions 17 - North America Life Reinsurance Inforce and Premiums 18 - North America Financial Solutions GAAP Reserves 18 - Collateral Finance Facilities: Summary of Key Terms 19-20 Financial Strength Ratings Summary 21 Analyst Coverage 21 Investor Relations Contact 21 -------------------------------------------------------------------------------- Scottish Re Group Limited Financial Data Supplement Package Definitions and Notes The following document contains supplemental quarterly financial and statistical information for the quarter and six months ended June 30, 2006. This document is dated as of August 2, 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 under- standing and assessing the Company's consolidated financial performance, operating results and financial condition, they are not a substitute for measures determined in accordance with GAAP. Reconciliations to GAAP measures and other definitions of calculations are provided below and elsewhere in this package. o Net operating earnings (loss) available to ordinary shareholders The Company determines net operating earnings (loss) available to ordinary shareholders by adjusting net income (loss) available to ordinary shareholders by net realized capital gains and losses and the change in value of embedded derivatives, as adjusted for the related effects upon the amortization of deferred acquisition costs, and taxes related to these items as well as acquisition-related due diligence costs in 2004. This reconciliation is illustrated on page 6. o Return on equity The Company determines return on equity by dividing the trailing twelve months net operating earnings (loss) available to ordinary shareholders (see above) by average shareholders' equity, as adjusted for preferred shares, accumulated other comprehensive income (AOCI), fair value of embedded derivatives (net), and prepaid variable forward share contract (PVFSC). This calculation is illustrated on page 6. o Book value per share The Company calculates three related measures of book value per share as follows: 1) Basic book value per ordinary share is determined by dividing end of period total shareholders' equity, as adjusted for preferred shares and PVFSC, by end of period ordinary shares outstanding. 2) Basic book value, excluding AOCI and fair value of embedded derivatives, per ordinary share is determined by dividing end of period total shareholders' equity, as adjusted for preferred shares, PVFSC, AOCI, and fair value of embedded derivatives (net), by end of period ordinary shares outstanding. 3) Fully converted book value per ordinary share is determined by dividing end of period total shareholders' equity, as adjusted for preferred shares, PVFSC, AOCI, fair value of embedded derivatives (net), and net proceeds from the assumed conversion of various instruments into common shares by end of period ordinary shares outstanding, as adjusted by adding potential shares issued from the assumed exercise of various options and restricted stock units, and conversion of various instruments into common shares. These book value per share calculations are illustrated on page 7. PAGE 1 Scottish Re Group Limited Summary Financial Results (Stated in Thousands of United States Dollars, Except Share Data) (unaudited)
------------------------------------------------------------------------------------------------------------------------------- Three months Three months ended ended Earnings 30-Jun-05 30-Jun-06 ------------------------------------------------------------------------------------------------------------------------------- Net operating earnings (loss) available to ordinary shareholders (1) $19,715 ($130,313) Net income (loss) available to ordinary shareholders $1,591 ($123,927) Net operating earnings (loss) per ordinary share: Basic $0.45 ($2.43) Diluted $0.42 ($2.43) Net income (loss) per ordinary share: Basic $0.04 ($2.31) Diluted $0.03 ($2.31) ------------------------------------------------------------------------------------------------------------------------------- Stock Data ------------------------------------------------------------------------------------------------------------------------------- Closing price per share (at end of period indicated) $24.24 $16.68 Dividends declared per ordinary share $0.05 $0.00 Weighted average ordinary shares outstanding: Basic 43,462,385 53,720,242 Diluted 47,136,889 53,720,242 ------------------------------------------------------------------------------------------------------------------------------- ------------------------------------------------------------------------------------------------------------------------------- Return on Equity (1) 30-Sep-05 31-Dec-05 ------------------------------------------------------------------------------------------------------------------------------- Return on average shareholders' equity, trailing twelve months 12.9% 13.0% ------------------------------------------------------------------------------------------------------------------------------- ------------------------------------------------------------------------------------------------------------------------------- Book Value per Share (2) ------------------------------------------------------------------------------------------------------------------------------- Basic book value per ordinary share $20.60 $21.48 Basic book value per ordinary share (excluding accumulated other comprehensive income and fair value of embedded derivatives, net) $20.98 $21.89 Fully converted book value per ordinary share (excluding accumulated other comprehensive income and fair value of embedded derivatives, net) $20.45 $21.17 ------------------------------------------------------------------------------------------------------------------------------- Six months Six months ended ended Earnings 30-Jun-05 30-Jun-06 --------------------------------------------------------------------------------------------------------------------------- Net operating earnings (loss) available to ordinary shareholders (1) $46,645 ($116,038) Net income (loss) available to ordinary shareholders $35,011 ($112,344) Net operating earnings (loss) per ordinary share: Basic $1.12 ($2.17) Diluted $1.01 ($2.17) Net income (loss) per ordinary share: Basic $0.84 ($2.10) Diluted $0.76 ($2.10) --------------------------------------------------------------------------------------------------------------------------- Stock Data --------------------------------------------------------------------------------------------------------------------------- Closing price per share (at end of period indicated) $24.24 $16.68 Dividends declared per ordinary share $0.10 $0.05 Weighted average ordinary shares outstanding: Basic 41,726,320 53,578,152 Diluted 46,179,275 53,578,152 --------------------------------------------------------------------------------------------------------------------------- --------------------------------------------------------------------------------------------------------------------------- Return on Equity (1) 31-Mar-06 30-Jun-06 --------------------------------------------------------------------------------------------------------------------------- Return on average shareholders' equity, trailing twelve months 11.5% -3.3% --------------------------------------------------------------------------------------------------------------------------- --------------------------------------------------------------------------------------------------------------------------- Book Value per Share (2) --------------------------------------------------------------------------------------------------------------------------- Basic book value per ordinary share $20.80 $17.73 Basic book value per ordinary share (excluding accumulated other comprehensive income and fair value of embedded derivatives, net) $21.89 $19.45 Fully converted book value per ordinary share (excluding accumulated other comprehensive income and fair value of embedded derivatives, net) $21.13 $19.27 --------------------------------------------------------------------------------------------------------------------------- (1) Please refer to page 6 for details on the calculation of these figures (2) Please refer to page 7 for details on the calculation of these figures
PAGE 2 Scottish Re Group Limited Quarterly Consolidated Balance Sheets (stated in thousands of United States Dollars, Except Share Data) (unaudited)
------------------------------------------------------------------------------------------------------------------------------------ 30-Jun 30-Sep 31-Dec 31-Mar 30-Jun 30-Sep 31-Dec 2004 2004 2004 2005 2005 2005 2005 ------------------------------------------------------------------------------------------------------------------------------------ ASSETS Fixed maturity investments $2,548,635 $2,797,450 $3,392,463 $4,445,745 $5,119,254 $5,062,020 $5,292,595 Preferred stock 134,139 125,082 125,204 124,537 130,231 156,422 133,804 Cash and cash equivalents 270,503 191,016 794,639 831,078 320,531 486,527 1,420,205 Other investments 16,755 16,412 16,250 24,979 24,594 49,759 54,619 Funds withheld at interest 1,474,287 1,477,870 2,056,280 1,920,730 1,895,353 1,892,077 2,597,416 ---------- ---------- ---------- ---------- ---------- ---------- ---------- Total investments 4,444,319 4,607,830 6,384,836 7,347,069 7,489,963 7,646,805 9,498,639 Accrued interest receivable 26,408 24,159 32,092 40,983 39,645 41,368 44,012 Reinsurance balances and risk fees receivable 324,723 288,377 495,517 492,217 443,589 522,885 325,372 Deferred acquisition costs 390,661 411,880 417,306 491,643 477,449 505,506 594,583 Amounts recoverable from reinsurers 746,161 703,288 680,956 766,207 792,296 731,578 551,288 Present value of in-force business 11,922 38,349 62,164 60,500 58,752 56,763 54,743 Goodwill 35,847 34,125 34,125 34,125 34,125 34,125 34,125 Other assets 68,710 24,241 38,926 61,161 188,715 63,488 87,198 Current income tax receivable 0 10,716 7,712 2,553 9,189 16,791 0 Deferred tax benefit 31,870 9,623 15,030 25,289 11,729 34,805 55,453 Segregated assets 794,020 740,220 783,573 774,162 799,329 772,526 760,707 -------- -------- -------- -------- -------- -------- -------- TOTAL ASSETS $6,874,641 $6,892,808 $8,952,237 $10,095,909 $10,344,781 $10,426,640 $12,006,120 -------------------------------------------------------------------- 31-Mar 30-Jun 2006 2006 -------------------------------------------------------------------- ASSETS Fixed maturity investments $6,066,176 $8,126,980 Preferred stock 131,722 128,137 Cash and cash equivalents 690,076 1,563,341 Other investments 64,141 64,701 Funds withheld at interest 2,610,195 2,175,141 --------- --------- Total investments 9,562,310 12,058,300 Accrued interest receivable 45,371 71,411 Reinsurance balances and risk fees receivable 381,095 306,454 Deferred acquisition costs 620,385 643,211 Amounts recoverable from reinsurers 605,241 532,000 Present value of in-force business 53,826 52,924 Goodwill 34,125 34,125 Other assets 94,719 124,349 Current income tax receivable 0 0 Deferred tax benefit 79,435 5,901 Segregated assets 780,132 776,048 ------- ------- TOTAL ASSETS $12,256,639 $14,604,723
PAGE 3 Scottish Re Group Limited Quarterly Consolidated Balance Sheets - continued (stated in thousands of United States Dollars, Except Share Data) (unaudited)
--------------------------------------------------------------------------------------------------------------------------------- 30-Jun 30-Sep 31-Dec 31-Mar 30-Jun 30-Sep 2004 2004 2004 2005 2005 2005 --------------------------------------------------------------------------------------------------------------------------------- LIABILITIES Reserves for future policy benefits $1,684,603 $1,602,348 $3,301,715 $3,537,190 $3,524,757 $3,592,779 Interest sensitive contract liabilities 3,220,301 3,136,930 3,181,447 3,258,276 3,278,793 3,283,154 Collateral finance facilities 0 200,000 200,000 1,050,000 1,050,000 1,050,000 Loans Payable 0 0 0 0 0 0 Accounts payable and other liabilites 48,861 52,155 68,311 61,623 115,782 104,413 Reinsurance balances payable 105,452 93,946 116,589 105,371 100,060 161,277 Current income tax payable 5,991 0 0 0 0 0 7.00% convertible junior subordinated notes 0 0 41,282 42,005 0 0 Long term debt 194,500 194,500 244,500 244,500 244,500 244,500 Segregated liabilities 794,020 740,220 783,573 774,162 799,329 772,526 ------- ------- ------- ------- ------- ------- TOTAL LIABILITIES 6,053,728 6,020,099 7,937,417 9,073,127 9,113,221 9,208,649 Minority interest 9,188 9,535 9,697 9,844 9,920 9,977 Mezzanine equity 142,145 142,296 142,449 142,599 142,753 142,906 SHAREHOLDERS' EQUITY Ordinary shares, par value $0.01 per share 358 359 399 400 454 456 Preferred shares, par value $0.01 per share 0 0 0 0 125,000 125,000 Prepaid variable share forward contract 0 0 0 0 0 0 Additional paid-in capital 555,445 556,173 684,719 687,024 726,850 729,773 Accumulated other comprehensive income (3,139) 37,644 31,604 5,703 50,051 3,704 Retained earnings 116,916 126,702 145,952 177,212 176,532 206,175 ------- ------- ------- ------- ------- ------- TOTAL SHAREHOLDERS' EQUITY 669,580 720,878 862,674 870,339 1,078,887 1,065,108 TOTAL LIABILITIES, MINORITY INTEREST, MEZZANINE EQUITY, AND SHAREHOLDERS' EQTY $6,874,641 $6,892,808 $8,952,237 $10,095,909 $10,344,781 $10,426,640 Ordinary shares outstanding 35,828,462 35,905,962 39,931,145 40,022,945 45,453,472 45,627,372 Preferred shares outstanding 0 0 0 0 5,000,000 5,000,000 ----------------------------------------------------------------------------------------- 31-Dec 31-Mar 30-Jun 2005 2006 2006 ----------------------------------------------------------------------------------------- LIABILITIES Reserves for future policy benefits $3,477,222 $3,539,016 $4,101,799 Interest sensitive contract liabilities 3,907,573 3,990,836 4,089,373 Collateral finance facilities 1,985,681 1,985,681 3,725,161 Loans Payable 0 0 64,856 Accounts payable and other liabilites 83,130 70,750 71,528 Reinsurance balances payable 114,078 247,724 187,438 Current income tax payable 9,155 4,481 3,487 7.00% convertible junior subordinated notes 0 0 0 Long term debt 244,500 244,500 244,500 Segregated liabilities 760,707 780,132 776,048 ------- ------- ------- TOTAL LIABILITIES 10,582,046 10,863,120 13,264,190 Minority interest 9,305 9,334 9,284 Mezzanine equity 143,057 143,207 143,359 SHAREHOLDERS' EQUITY Ordinary shares, par value $0.01 per share 534 537 537 Preferred shares, par value $0.01 per share 125,000 125,000 125,000 Prepaid variable share forward contract 0 0 110,031 Additional paid-in capital 893,767 899,515 903,422 Accumulated other comprehensive income (9,991) (55,386) (95,799) Retained earnings 262,402 271,312 144,699 ------- ------- ------- TOTAL SHAREHOLDERS' EQUITY 1,271,712 1,240,978 1,187,890 TOTAL LIABILITIES, MINORITY INTEREST, MEZZANINE EQUITY, AND SHAREHOLDERS' EQTY $12,006,120 $12,256,639 $14,604,723 Ordinary shares outstanding 53,391,939 53,655,856 53,745,156 Preferred shares outstanding 5,000,000 5,000,000 5,000,000
PAGE 4 Scottish Re Group Limited Quarterly Consolidated Statements of Income (Loss) (stated in thousands of United States Dollars) (unaudited)
------------------------------------------------------------------------------------------------------------------------------------ For the Three Months Ended 30-Jun 30-Sep 31-Dec 31-Mar 30-Jun 30-Sep 2004 2004 2004 2005 2005 2005 ------------------------------------------------------------------------------------------------------------------------------------ REVENUES Premiums earned, net $157,493 $146,263 $152,089 $463,680 $436,893 $470,094 Investment income, net 54,817 55,519 56,699 80,479 83,554 92,132 Fee income 3,189 2,545 2,860 3,624 2,785 2,801 Realized gains (losses) (1,687) (3,398) (4,640) 3,295 934 1,344 Change in value of embedded derivatives, net 14,610 (5,509) 4,105 5,485 (22,120) (2,631) ------- ------- ------ ------ -------- ------- TOTAL REVENUES 228,422 195,420 211,113 556,563 502,046 563,740 BENEFITS AND EXPENSES Claims and other policy benefits 122,988 104,701 103,109 363,273 311,493 356,127 Interest credited to interest sensitive contract liabilities 25,465 27,685 29,182 30,642 31,723 36,724 Acquisition costs and other insurance expenses, net 39,102 38,889 40,292 91,642 122,494 91,214 Operating expenses 10,901 13,214 17,689 24,569 26,500 32,909 Collateral finance facilities expense 0 1,385 1,339 7,420 11,821 13,230 Interest expense 2,996 3,352 3,891 5,594 4,813 5,690 Due diligence costs 0 0 4,643 0 0 0 - - ------ - - - TOTAL BENEFITS AND EXPENSES 201,452 189,226 200,145 523,140 508,844 535,894 Income (loss) from continuing operations before income taxes and minority interest 26,970 6,194 10,968 33,423 (6,798) 27,846 Income tax benefit (expense) 1,690 5,401 10,462 368 8,187 6,677 ------ ------ ------- ---- ------ ------ Income (loss) from continuing operations before minority interest 28,660 11,595 21,430 33,791 1,389 34,523 Minority interest 11 (17) (176) (371) 202 (113) -- ---- ----- ----- ---- ----- Income (loss) from continuing operations 28,671 11,578 21,254 33,420 1,591 34,410 Loss from discontinued operations 0 0 (208) 0 0 0 - - ----- - - - NET INCOME (LOSS) 28,671 11,578 21,046 33,420 1,591 34,410 Dividends declared on non-cumulative perpetual preferred shares 0 0 0 0 0 (2,492) Imputed dividends on prepaid variable share forward contract 0 0 0 0 0 0 - - - - - - NET INCOME (LOSS) AVAILABLE TO ORDINARY SHAREHOLDERS $28,671 $11,578 $21,046 $33,420 $1,591 $31,918 --------------------------------------------------------------------------------------------- For the Three Months Ended 31-Dec 31-Mar 30-Jun 2005 2006 2006 --------------------------------------------------------------------------------------------- REVENUES Premiums earned, net $563,263 $449,021 $444,942 Investment income, net 99,672 129,022 147,977 Fee income 3,106 3,733 4,639 Realized gains (losses) (1,835) (13,601) (11,298) Change in value of embedded derivatives, net 10,774 10,146 7,366 ------ ------ ----- TOTAL REVENUES 674,980 578,321 593,626 BENEFITS AND EXPENSES Claims and other policy benefits 411,612 374,463 372,101 Interest credited to interest sensitive contract liabilities 33,879 42,701 55,399 Acquisition costs and other insurance expenses, net 118,425 87,531 104,872 Operating expenses 31,595 31,092 39,365 Collateral finance facilities expense 15,675 31,087 47,236 Interest expense 4,641 4,893 7,066 Due diligence costs 0 0 0 - - - TOTAL BENEFITS AND EXPENSES 615,827 571,767 626,039 Income (loss) from continuing operations before income taxes and minority interest 59,153 6,554 (32,413) Income tax benefit (expense) 1,202 7,457 (89,043) ----- ----- -------- Income (loss) from continuing operations before minority interest 60,355 14,011 (121,456) Minority interest 421 (162) (134) --- ----- ----- Income (loss) from continuing operations 60,776 13,849 (121,590) Loss from discontinued operations 0 0 0 - - - NET INCOME (LOSS) 60,776 13,849 (121,590) Dividends declared on non-cumulative perpetual preferred shares (2,266) (2,266) (2,265) Imputed dividends on prepaid variable share forward contract 0 0 (72) - - ---- NET INCOME (LOSS) AVAILABLE TO ORDINARY SHAREHOLDERS $58,510 $11,583 ($123,927)
PAGE 5 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 30-Jun 30-Sep 31-Dec 31-Mar 30-Jun 30-Sep 2004 2004 2004 2005 2005 2005 ---------------------------------------------------------------------------------------------------------------------------------- Net income (loss) available to ordinary shareholders $28,671 $11,578 $21,046 $33,420 $1,591 $31,918 Subtract: Realized (gains) losses 1,687 3,398 4,640 (3,295) (934) (1,344) Change in value of embedded derivatives, net (14,610) 5,509 (4,105) (5,485) 22,120 2,631 Taxes on realized gains/losses and change in value of embedded derivatives 2,364 (1,667) 1,172 2,290 (3,062) (569) Due diligence costs (12/31/04: net of $579 tax) 0 0 4,064 0 0 0 - - ----- - - - Net operating earnings (loss) available to ordinary shareholders $18,112 $18,818 $26,817 $26,930 $19,715 $32,636 Net operating earnings (loss) per share available to ordinary shareholders: Basic $0.51 $0.52 $0.75 $0.67 $0.45 $0.72 Diluted $0.49 $0.51 $0.71 $0.60 $0.42 $0.67 Weighted average ordinary shares outstanding: Basic 35,747,254 35,869,413 35,981,436 39,970,965 43,462,385 45,517,832 Diluted 37,328,448 37,244,288 37,847,645 45,192,171 47,136,889 48,543,262 ---------------------------------------------------------------------------------------------------------------------------------- Return on average shareholders' equity (1) Numerator: Net operating earnings (loss) available to ordinary shareholders, trailing twelve months $34,170 $52,146 $80,360 $90,677 $92,280 $106,098 Total shareholders' equity $669,580 $720,878 $862,674 $870,339 $1,078,887 $1,065,108 Subtract: Preferred shares 0 0 0 0 (125,000) (125,000) Accumulated other comprehensive income (loss) 3,139 (37,644) (31,604) (5,703) (50,051) (3,704) Fair value of embedded derivatives, net 2,861 7,169 4,220 332 18,599 20,875 Prepaid variable share forward contract 0 0 0 0 0 0 - - - - - - Shareholders' equity for ROE 675,580 690,403 835,290 864,968 922,435 957,279 (2) Denominator: Average shareholders' equity $585,431 $668,059 $736,921 $761,134 $799,008 $823,841 Return on average shareholders' equity (1) / (2) 5.8% 7.8% 10.9% 11.9% 11.5% 12.9% ------------------------------------------------------------------------------------------- For the Three Months Ended 31-Dec 31-Mar 30-Jun 2005 2006 2006 ------------------------------------------------------------------------------------------- Net income (loss) available to ordinary shareholders $58,510 $11,583 ($123,927) Subtract: Realized (gains) losses 1,835 13,601 11,298 Change in value of embedded derivatives, net (10,774) (10,146) (7,366) Taxes on realized gains/losses and change in value of embedded derivatives 1,207 (763) (10,318) Due diligence costs (12/31/04: net of $579 tax) 0 0 0 - - - Net operating earnings (loss) available to ordinary shareholders $50,778 $14,275 ($130,313) Net operating earnings (loss) per share available to ordinary shareholders: Basic $1.10 $0.27 ($2.43) Diluted $1.03 $0.25 ($2.43) Weighted average ordinary shares outstanding: Basic 46,312,567 53,434,484 53,720,242 Diluted 49,450,464 56,532,914 53,720,242 ------------------------------------------------------------------------------------------- Return on average shareholders' equity (1) Numerator: Net operating earnings (loss) available to ordinary shareholders, trailing twelve months $130,059 $117,404 ($32,624) Total shareholders' equity $1,271,712 $1,240,978 $1,187,890 Subtract: Preferred shares (125,000) (125,000) (125,000) Accumulated other comprehensive income (loss) 9,991 55,386 95,799 Fair value of embedded derivatives, net 11,810 2,984 (3,121) Prepaid variable share forward contract 0 0 (110,031) - - --------- Shareholders' equity for ROE 1,168,513 1,174,348 1,045,537 (2) Denominator: Average shareholders' equity $1,001,902 $1,019,658 $983,986 Return on average shareholders' equity (1) / (2) 13.0% 11.5% -3.3%
PAGE 6 Scottish Re Group Limited Supplemental Information - Book Value per Share (stated in thousands of United States Dollars, Except Share Data) (unaudited)
----------------------------------------------------------------------------------------------------------------------------------- 31-Dec 31-Mar 30-Jun 30-Sep 31-Dec 2004 2005 2005 2005 2005 ----------------------------------------------------------------------------------------------------------------------------------- Total shareholders' equity, end of period $862,674 $870,339 $1,078,887 $1,065,108 $1,271,712 Subtract: Preferred shares 0 0 (125,000) (125,000) (125,000) Subtract: Prepaid variable share forward contract (PVSFC) 0 0 0 0 0 -- -- -- -- -- (1) Total shareholders' equity excl. preferred shares & PVSFC 862,674 870,339 953,887 940,108 1,146,712 Subtract: Accumulated other comprehensive income (AOCI) (31,604) (5,703) (50,051) (3,704) 9,991 Subtract: Fair value of embedded derivatives, net 4,220 332 18,599 20,875 11,810 ------ ---- ------- ------- ------- (2) Total shareholders' equity excl. preferred shares, PVFSC, AOCI, and fair value of embedded derivatives 835,290 864,968 922,435 957,279 1,168,513 Add net proceeds from assumed: Conversion of options 37,085 46,926 46,090 49,336 48,374 Conversion of warrants 39,782 39,782 39,750 39,750 39,750 Conversion of mezzanine equity 143,750 143,750 143,750 143,750 143,750 Prepaid variable share forward contract 0 0 0 0 0 Conversion of 4.5% senior convertible notes 0 0 0 0 0 Conversion of 7% convertible notes 41,282 42,005 0 0 0 ------- ------- - - - (3) Converted shareholders' equity excl. preferred shares, PVSFC, AOCI, and fair value of embedded derivatives $1,097,189 $1,137,431 $1,152,025 $1,190,115 $1,400,387 (4) Ordinary shares outstanding, end of period 39,931,145 40,022,945 45,453,472 45,627,372 53,391,939 Add potential shares issued from assumed: Exercise of options and restricted stock units 2,491,236 3,059,836 3,199,936 3,359,436 3,390,936 Conversion of warrants 5,856,431 5,856,431 2,650,000 2,650,000 2,650,000 Conversion of mezzanine equity 6,099,025 6,383,214 6,099,025 6,099,025 6,099,025 Conversion of 4.5% senior convertible notes 0 0 0 473,273 612,780 Prepaid variable share forward contract 0 0 0 0 0 Conversion of 7% convertible notes 2,130,709 2,167,996 0 0 0 --------- --------- - - - (5) Fully converted ordinary shares outstanding 56,508,546 57,490,422 57,402,433 58,209,106 66,144,680 Basic book value per ordinary share (1) / (4) $21.60 $21.75 $20.99 $20.60 $21.48 Basic book value, excl. AOCI, and fair value of embedded derivatives, per share (2) / (4) $20.92 $21.61 $20.29 $20.98 $21.89 Fully converted book value, excl. AOCI and fair value of embedded derivatives, per share (3) / (5) $19.42 $19.78 $20.07 $20.45 $21.17 ---------------------------------------------------------------------------------------------- 31-Mar 30-Jun 2006 2006 ---------------------------------------------------------------------------------------------- Total shareholders' equity, end of period $1,240,978 $1,187,890 Subtract: Preferred shares (125,000) (125,000) Subtract: Prepaid variable share forward contract (PVSFC) 0 (110,031) -- --------- (1) Total shareholders' equity excl. preferred shares & PVSFC 1,115,978 952,859 Subtract: Accumulated other comprehensive income (AOCI) 55,386 95,799 Subtract: Fair value of embedded derivatives, net 2,984 (3,121) ------ ------- (2) Total shareholders' equity excl. preferred shares, PVFSC, AOCI, and fair value of embedded derivatives 1,174,348 1,045,537 Add net proceeds from assumed: Conversion of options 45,072 43,247 Conversion of warrants 39,750 39,750 Conversion of mezzanine equity 143,750 143,750 Prepaid variable share forward contract 0 150,000 Conversion of 4.5% senior convertible notes 0 0 Conversion of 7% convertible notes 0 0 - - (3) Converted shareholders' equity excl. preferred shares, PVSFC, AOCI, and fair value of embedded derivatives $1,402,920 $1,422,284 (4) Ordinary shares outstanding, end of period 53,655,856 53,745,156 Add potential shares issued from assumed: Exercise of options and restricted stock units 3,320,020 3,164,021 Conversion of warrants 2,650,000 2,650,000 Conversion of mezzanine equity 6,099,025 7,440,500 Conversion of 4.5% senior convertible notes 661,870 217,817 Prepaid variable share forward contract 0 6,578,947 Conversion of 7% convertible notes 0 0 - - (5) Fully converted ordinary shares outstanding 66,386,771 73,796,441 Basic book value per ordinary share (1) / (4) $20.80 $17.73 Basic book value, excl. AOCI, and fair value of embedded derivatives, per share (2) / (4) $21.89 $19.45 Fully converted book value, excl. AOCI and fair value of embedded derivatives, per share (3) / (5) $21.13 $19.27
PAGE 7 Scottish Re Group Limited Supplemental Information - Segment Operating Results: Life Reinsurance North America (stated in thousands of United States Dollars) (unaudited)
------------------------------------------------------------------------------------------------------------------------------------ For the Three Months Ended 30-Jun 30-Sep 31-Dec 31-Mar 30-Jun 30-Sep 2004 2004 2004 2005 2005 2005 ------------------------------------------------------------------------------------------------------------------------------------ REVENUES Premiums earned, net $127,242 $120,480 $113,629 $437,095 $408,877 $427,224 Investment income, net 50,979 53,250 54,374 77,531 80,956 88,490 Fee income 2,248 1,445 2,073 2,900 2,007 2,010 Realized gains (losses) (1,552) (1,289) (6,826) 1,442 2,208 (160) Change in value of embedded derivatives, net 14,610 (5,509) 4,105 5,485 (22,120) (2,631) ------ ------- ----- ----- -------- ------- TOTAL REVENUES 193,527 168,377 167,355 524,453 471,928 514,933 BENEFITS AND EXPENSES Claims and other policy benefits 102,485 88,070 78,171 344,188 293,599 330,035 Interest credited to interest sensitive contract liabilities 25,465 27,685 29,182 30,642 31,723 36,724 Acquisition costs and other insurance expenses, net 35,671 35,001 31,477 88,278 117,927 80,762 Operating expenses 4,142 4,437 4,865 11,673 10,221 12,981 Collateral finance facilities expense 0 1,385 1,339 6,185 10,448 11,850 Interest expense 939 1,266 1,713 2,708 2,657 3,062 Due diligence costs 0 0 0 0 0 0 - - - - - - TOTAL BENEFITS AND EXPENSES 168,702 157,844 146,747 483,674 466,575 475,414 Income (loss) from continuing operations before income taxes and minority interest $24,825 $10,533 $20,608 $40,779 $5,353 $39,519 Pre-tax operating earnings (loss) Pre-tax income (loss) $24,825 $10,533 $20,608 $40,779 $5,353 $39,519 Realized losses (gains) 1,552 1,289 6,826 (1,442) (2,208) 160 Change in value of embedded derivatives, net (14,610) 5,509 (4,105) (5,485) 22,120 2,631 -------- ----- ------- ------- ------ ----- Pre-tax operating earnings (loss) $11,767 $17,331 $23,329 $33,852 $25,265 $42,310 --------------------------------------------------------------------------------------------- For the Three Months Ended 31-Dec 31-Mar 30-Jun 2005 2006 2006 --------------------------------------------------------------------------------------------- REVENUES Premiums earned, net $541,679 $428,918 $407,549 Investment income, net 94,562 123,941 136,763 Fee income 2,316 3,017 3,879 Realized gains (losses) (2,369) (13,919) (5,479) Change in value of embedded derivatives, net 10,774 10,146 7,366 ------ ------ ----- TOTAL REVENUES 646,962 552,103 550,078 BENEFITS AND EXPENSES Claims and other policy benefits 397,777 347,280 338,626 Interest credited to interest sensitive contract liabilities 33,879 42,701 55,399 Acquisition costs and other insurance expenses, net 114,025 84,408 97,280 Operating expenses 13,974 14,592 14,538 Collateral finance facilities expense 14,630 30,543 45,891 Interest expense 2,396 2,562 3,038 Due diligence costs 0 0 0 - - - TOTAL BENEFITS AND EXPENSES 576,681 522,086 554,772 Income (loss) from continuing operations before income taxes and minority interest $70,281 $30,017 ($4,694) Pre-tax operating earnings (loss) Pre-tax income (loss) $70,281 $30,017 ($4,694) Realized losses (gains) 2,369 13,919 5,479 Change in value of embedded derivatives, net (10,774) (10,146) (7,366) -------- -------- ------- Pre-tax operating earnings (loss) $61,876 $33,790 ($6,581)
PAGE 8 Scottish Re Group Limited Supplemental Information - Segment Operating Results: Life Reinsurance International (stated in thousands of United States Dollars) (unaudited)
----------------------------------------------------------------------------------------------------------------------------------- For the Three Months Ended 30-Jun 30-Sep 31-Dec 31-Mar 30-Jun 30-Sep 2004 2004 2004 2005 2005 2005 ----------------------------------------------------------------------------------------------------------------------------------- REVENUES Premiums earned, net $30,251 $25,783 $38,460 $26,585 $28,016 $42,870 Investment income, net 3,574 2,105 2,195 2,590 2,352 2,734 Fee income 0 0 (2) 0 0 0 Realized gains (losses) (189) 67 1,959 497 88 (82) Change in value of embedded derivatives, net 0 0 0 0 0 0 - - - - - - TOTAL REVENUES 33,636 27,955 42,612 29,672 30,456 45,522 BENEFITS AND EXPENSES Claims and other policy benefits 20,503 16,631 24,938 19,085 17,894 26,092 Interest credited to interest sensitive contract liabilities 0 0 0 0 0 0 Acquisition costs and other insurance expenses, net 2,877 3,438 8,390 2,845 4,053 9,933 Operating expenses 3,757 4,941 5,692 5,849 7,285 6,728 Collateral finance facilities expense 0 0 0 0 0 0 Interest expense 0 0 0 0 0 0 Due diligence costs 0 0 0 0 0 0 - - - - - - TOTAL BENEFITS AND EXPENSES 27,137 25,010 39,020 27,779 29,232 42,753 Income (loss) from continuing operations before income taxes and minority interest $6,499 $2,945 $3,592 $1,893 $1,224 $2,769 Pre-tax operating earnings (loss) Pre-tax income (loss) $6,499 $2,945 $3,592 $1,893 $1,224 $2,769 Realized losses (gains) 189 (67) (1,959) (497) (88) 82 Change in value of embedded derivatives, net 0 0 0 0 0 0 - - - - - - Pre-tax operating earnings (loss) $6,688 $2,878 $1,633 $1,396 $1,136 $2,851 -------------------------------------------------------------------------------------------- For the Three Months Ended 31-Dec 31-Mar 30-Jun 2005 2006 2006 -------------------------------------------------------------------------------------------- REVENUES Premiums earned, net $21,584 $20,103 $37,393 Investment income, net 3,812 2,989 8,971 Fee income 0 0 0 Realized gains (losses) 760 (1,138) (6,908) Change in value of embedded derivatives, net 0 0 0 - - - TOTAL REVENUES 26,156 21,954 39,456 BENEFITS AND EXPENSES Claims and other policy benefits 13,835 27,183 33,475 Interest credited to interest sensitive contract liabilities 0 0 0 Acquisition costs and other insurance expenses, net 3,891 2,817 6,185 Operating expenses 5,414 5,777 7,874 Collateral finance facilities expense 0 0 0 Interest expense 0 0 0 Due diligence costs 0 0 0 - - - TOTAL BENEFITS AND EXPENSES 23,140 35,777 47,534 Income (loss) from continuing operations before income taxes and minority interest $3,016 ($13,823) ($8,078) Pre-tax operating earnings (loss) Pre-tax income (loss) $3,016 ($13,823) ($8,078) Realized losses (gains) (760) 1,138 6,908 Change in value of embedded derivatives, net 0 0 0 - - - Pre-tax operating earnings (loss) $2,256 ($12,685) ($1,170)
PAGE 9 Scottish Re Group Limited Supplemental Information - Segment Operating Results: Corporate & Other (stated in thousands of United States Dollars) (unaudited)
------------------------------------------------------------------------------------------------------------------------------------ For the Three Months Ended 30-Jun 30-Sep 31-Dec 31-Mar 30-Jun 30-Sep 2004 2004 2004 2005 2005 2005 ------------------------------------------------------------------------------------------------------------------------------------ REVENUES Premiums earned, net $0 $0 $0 $0 $0 $0 Investment income, net 264 164 130 358 246 908 Fee income 941 1,100 789 724 778 791 Realized gains (losses) 54 (2,176) 227 1,356 (1,362) 1,586 Change in value of embedded derivatives, net 0 0 0 0 0 0 - - - - - - TOTAL REVENUES 1,259 (912) 1,146 2,438 (338) 3,285 BENEFITS AND EXPENSES Claims and other policy benefits 0 0 0 0 0 0 Interest credited to interest sensitive contract liabilities 0 0 0 0 0 0 Acquisition costs and other insurance expenses, net 554 450 425 519 514 519 Operating expenses 3,002 3,836 7,132 7,047 8,994 13,200 Collateral finance facilities expense 0 0 1,235 1,373 1,380 Interest expense 2,057 2,086 2,178 2,886 2,156 2,628 Due diligence costs 0 0 4,643 0 0 0 - - ------ - - - TOTAL BENEFITS AND EXPENSES 5,613 6,372 14,378 11,687 13,037 17,727 Income (loss) from continuing operations before income taxes and minority interest ($4,354) ($7,284) ($13,232) ($9,249) ($13,375) ($14,442) Pre-tax operating earnings (loss) Pre-tax income (loss) ($4,354) ($7,284) ($13,232) ($9,249) ($13,375) ($14,442) Realized losses (gains) (54) 2,176 (227) (1,356) 1,362 (1,586) Change in value of embedded derivatives, net 0 0 0 0 0 0 - - - - - - Pre-tax operating earnings (loss) ($4,408) ($5,108) ($13,459) ($10,605) ($12,013) ($16,028) --------------------------------------------------------------------------------------------- For the Three Months Ended 31-Dec 31-Mar 30-Jun 2005 2006 2006 --------------------------------------------------------------------------------------------- REVENUES Premiums earned, net $0 $0 $0 Investment income, net 1,298 2,092 2,243 Fee income 790 716 760 Realized gains (losses) (226) 1,456 1,089 Change in value of embedded derivatives, net 0 0 0 - - - TOTAL REVENUES 1,862 4,264 4,092 BENEFITS AND EXPENSES Claims and other policy benefits 0 0 0 Interest credited to interest sensitive contract liabilities 0 0 0 Acquisition costs and other insurance expenses, net 509 306 1,407 Operating expenses 12,207 10,723 16,953 Collateral finance facilities expense 1,045 544 1,345 Interest expense 2,245 2,331 4,028 Due diligence costs 0 0 0 - - - TOTAL BENEFITS AND EXPENSES 16,006 13,904 23,733 Income (loss) from continuing operations before income taxes and minority interest ($14,144) ($9,640) ($19,641) Pre-tax operating earnings (loss) Pre-tax income (loss) ($14,144) ($9,640) ($19,641) Realized losses (gains) 226 (1,456) (1,089) Change in value of embedded derivatives, net 0 0 0 - - - Pre-tax operating earnings (loss) ($13,918) ($11,096) ($20,730)
PAGE 10 Scottish Re Group Limited Supplemental Information - International Segment Operating Revenues by Business Line (1) (stated in thousands of United States Dollars) (unaudited)
------------------------------------------------------------------------------------------------------------------------------------ Three Three Six Six Three months months months months months ended ended ended ended ended Operating Revenues 30-Jun-05 30-Jun-06 30-Jun-05 30-Jun-06 Operating Revenues 30-Jun-05 ------------------------------------------------------------------------------------------------------------------------------------ NORTH AMERICA (2) MIDDLE EAST (3) ----------------- --------------- Premiums earned, net $5,920 $8,651 $10,389 $11,479 Premiums earned, net $5,358 Investment income, net 343 397 697 843 Investment income, net 226 --- --- --- --- --- TOTAL $6,263 $9,048 $11,086 $12,322 TOTAL $5,584 ------------------------------------------------------------------------------------------------------------------------------------ GLOBAL AVIATION (4) ASIA (5) ------------------- -------- Premiums earned, net $10,462 $6,109 $16,475 $7,093 Premiums earned, net $1,720 Investment income, net 202 169 384 362 Investment income, net 14 --- --- --- --- -- TOTAL $10,664 $6,278 $16,859 $7,455 TOTAL $1,734 ------------------------------------------------------------------------------------------------------------------------------------ UK & IRELAND PROTECTION (6) UK & IRELAND ANNUITIES (7) --------------------------- -------------------------- Premiums earned, net ($135) $2,672 $1,439 $4,130 Premiums earned, net $0 Investment income, net 9 69 41 125 Investment income, net 0 - -- -- --- - TOTAL ($126) $2,741 $1,480 $4,255 TOTAL $0 ------------------------------------------------------------------------------------------------------------------------------------ OTHER (8) TOTAL --------- ----- Premiums earned, net $4,691 $12,634 $13,477 $20,142 Premiums earned, net $28,016 Investment income, net 1,558 1,705 3,360 3,564 Investment income, net 2,352 ----- ----- ----- ----- ----- TOTAL $6,249 $14,339 $16,837 $23,706 TOTAL $30,368 ------------------------------------------------------------------------------------------------------------------------------------ ---------------------------------------------------------------------- Three Six Six months months months ended ended ended Operating Revenues 30-Jun-06 30-Jun-05 30-Jun-06 ---------------------------------------------------------------------- MIDDLE EAST (3) --------------- Premiums earned, net $5,709 $11,043 $11,461 Investment income, net 364 438 753 --- --- --- TOTAL $6,073 $11,481 $12,214 ---------------------------------------------------------------------- ASIA (5) -------- Premiums earned, net $1,618 $1,778 $3,191 Investment income, net 47 22 93 -- -- -- TOTAL $1,665 $1,800 $3,284 ---------------------------------------------------------------------- UK & IRELAND ANNUITIES (7) -------------------------- Premiums earned, net $0 $0 $0 Investment income, net 6,220 0 6,220 ----- - ----- TOTAL $6,220 $0 $6,220 ---------------------------------------------------------------------- TOTAL ----- Premiums earned, net $37,393 $54,601 $57,496 Investment income, net 8,971 4,942 11,960 ----- ----- ------ TOTAL $46,364 $59,543 $69,456 ----------------------------------------------------------------------
Notes (1) Reporting format changed from Q1 2006 Data Supplement to reflect business line focus going forward (2) Represents assumed retroceded reinsurance on North American lives written mainly in 2002 and prior; currently in runoff (3) Primarily Group business (4) Represents aircrew loss of license business, primarily UK, Ireland, and Europe (5) Represents primarily Japanese kyosai business (6) Represents long term life reinsurance treaties (7) Represents reinsured annuity business \ (8) Represents Other European, African, Latin American, Asian, and Middle Eastern business in runoff PAGE 11 Scottish Re Group Limited Supplemental Information - Life Reinsurance Key Operating Ratios (stated in thousands of United States Dollars) (unaudited)
------------------------------------------------------------------------------------------------------------------------------------ Three Months Ended 30-Jun-06 -------------------------------------------------------------------------- North America International Total -------------------------------------------------------------------------- Traditional Financial Traditional Financial Traditional Financial Solutions Solutions Solutions Solutions Solutions Solutions ------------------------------------------------------------------------------------------------------------------------------------ REVENUES (1) Premiums earned, net $399,324 $8,225 $37,393 $0 $436,717 $8,225 Investment income, net 79,405 57,358 2,750 6,221 82,155 63,579 ------- ------ ------ ----- ------ ------ (2) TOTAL OPERATING REVENUES $478,729 $65,583 $40,143 $6,221 $518,872 $71,804 BENEFITS AND EXPENSES (3) Claims and other policy benefits $333,485 $5,141 $27,976 $5,499 $361,461 $10,640 (4) Interest credited to interest sensitive contract liabilities $0 $55,399 $0 $0 $0 $55,399 (5) Acquisition costs and other insurance expenses, net $78,967 $18,313 $6,185 $0 $85,152 $18,313 RATIOS Benefit Ratio (1) 83.5% 92.3% 74.8% 88.4% 82.8% 92.0% Acquisition Ratio (2) 19.8% 27.9% 16.5% 0.0% 19.5% 25.5% ------------------------------------------------------------------------------------------------------------------------------------ ------------------------------------------------------------------------------------------------------------------------------------ Three Months Ended 30-Jun-05 -------------------------------------------------------------------------- North America International Total -------------------------------------------------------------------------- Traditional Financial Traditional Financial Traditional Financial Solutions Solutions Solutions Solutions Solutions Solutions ------------------------------------------------------------------------------------------------------------------------------------ REVENUES (1) Premiums earned, net $394,757 $14,120 $28,016 $0 $422,773 $14,120 Investment income, net 35,402 45,554 2,352 0 37,754 45,554 ------ ------ ----- - ------ ------ (2) TOTAL OPERATING REVENUES $430,159 $59,674 $30,368 $0 $460,527 $59,674 BENEFITS AND EXPENSES (3) Claims and other policy benefits $279,049 $14,550 $17,894 $0 $296,943 $14,550 (4) Interest credited to interest sensitive contract liabilities $0 $31,723 $0 $0 $0 $31,723 (5) Acquisition costs and other insurance expenses, net $105,290 $12,637 $4,053 $0 $109,343 $12,637 RATIOS Benefit Ratio (1) 70.7% 77.5% 63.9% n/a 70.2% 77.5% Acquisition Ratio (2) 26.7% 21.2% 14.5% n/a 25.9% 21.2% ------------------------------------------------------------------------------------------------------------------------------------ --------------------------------------------------------------------------------- Other Total --------------------------------------------------------------------------------- REVENUES (1) Premiums earned, net $0 $444,942 Investment income, net 2,243 147,977 ----- ------- (2) TOTAL OPERATING REVENUES $2,243 $592,919 BENEFITS AND EXPENSES (3) Claims and other policy benefits $0 $372,101 (4) Interest credited to interest sensitive contract liabilities $0 $55,399 (5) Acquisition costs and other insurance expenses, net $1,407 $104,872 RATIOS Benefit Ratio (1) n/a 72.1% Acquisition Ratio (2) n/a 17.7% --------------------------------------------------------------------------------- --------------------------------------------------------------------------------- Other Total --------------------------------------------------------------------------------- REVENUES (1) Premiums earned, net $0 $436,893 Investment income, net 246 83,554 --- ------ (2) TOTAL OPERATING REVENUES $246 $520,447 BENEFITS AND EXPENSES (3) Claims and other policy benefits $0 $311,493 (4) Interest credited to interest sensitive contract liabilities $0 $31,723 (5) Acquisition costs and other insurance expenses, net $514 $122,494 RATIOS Benefit Ratio (1) n/a 65.9% Acquisition Ratio (2) n/a 23.5% ---------------------------------------------------------------------------------
(1) Traditional Solutions: (3) / (1), Financial Solutions: [(3) + (4)] / (2), Total: [(3) + (4)] / (2) (2) Traditional Solutions: (5) / (1), Financial Solutions: (5) / (2), Total: (5) / (2) PAGE 12 Scottish Re Group Limited Supplemental Information - Life Reinsurance Key Operating Ratios (stated in thousands of United States Dollars) (unaudited)
------------------------------------------------------------------------------------------------------------------------------------ Six Months Ended 30-Jun-06 ---------------------------------------------------------------------------- North America International Total --------------------------------------------------------------------------- Traditional Financial Traditional Financial Traditional Financial Solutions Solutions Solutions Solutions Solutions Solutions ------------------------------------------------------------------------------------------------------------------------------------ REVENUES (1) Premiums earned, net $820,056 $16,411 $57,496 $0 $877,552 $16,411 Investment income, net 140,095 120,609 5,739 6,221 145,834 126,830 ------- ------- ----- ----- ------- -------- (2) TOTAL OPERATING REVENUES $960,151 $137,020 $63,235 $6,221 $1,023,386 $143,241 BENEFITS AND EXPENSES (3) Claims and other policy benefits $664,215 $21,691 $55,159 $5,499 $719,374 $27,190 (4) Interest credited to interest sensitive contract liabilities $0 $98,100 $0 $0 $0 $98,100 (5) Acquisition costs and other insurance expenses, net $151,523 $30,165 $9,002 $0 $160,525 $30,165 RATIOS Benefit Ratio (1) 81.0% 87.4% 95.9% 88.4% 82.0% 87.5% Acquisition Ratio (2) 18.5% 22.0% 15.7% 0.0% 18.3% 21.1% ------------------------------------------------------------------------------------------------------------------------------------ ------------------------------------------------------------------------------------------------------------------------------------ Six Months Ended 30-Jun-05 ---------------------------------------------------------------------------- North America International Total --------------------------------------------------------------------------- Traditional Financial Traditional Financial Traditional Financial Solutions Solutions Solutions Solutions Solutions Solutions ------------------------------------------------------------------------------------------------------------------------------------ REVENUES (1) Premiums earned, net $817,148 $28,824 $54,601 $0 $871,749 $28,824 Investment income, net 67,004 91,483 4,942 0 71,946 91,483 ------ ------ ----- - ------ ------ (2) TOTAL OPERATING REVENUES $884,152 $120,307 $59,543 $0 $943,695 $120,307 BENEFITS AND EXPENSES (3) Claims and other policy benefits $607,569 $30,218 $36,979 $0 $644,548 $30,218 (4) Interest credited to interest sensitive contract liabilities $0 $62,365 $0 $0 $0 $62,365 (5) Acquisition costs and other insurance expenses, net $181,068 $25,137 $6,898 $0 $187,966 $25,137 RATIOS Benefit Ratio (1) 74.4% 77.0% 67.7% n/a 73.9% 77.0% Acquisition Ratio (2) 22.2% 20.9% 12.6% n/a 21.6% 20.9% ------------------------------------------------------------------------------------------------------------------------------------ ------------------------------------------------------------------------------------------------------------------------------------ ------------------------ Other Total -------------------------------------------------------------------------------- REVENUES (1) Premiums earned, net $0 $893,963 Investment income, net 4,335 276,999 ----- ------- (2) TOTAL OPERATING REVENUES $4,335 $1,170,962 BENEFITS AND EXPENSES (3) Claims and other policy benefits $0 $746,564 (4) Interest credited to interest sensitive contract liabilities $0 $98,100 (5) Acquisition costs and other insurance expenses, net $1,713 $192,403 RATIOS Benefit Ratio (1) n/a 72.1% Acquisition Ratio (2) n/a 16.4% -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- Other Total -------------------------------------------------------------------------------- REVENUES (1) Premiums earned, net $0 $900,573 Investment income, net 604 164,033 --- ------- (2) TOTAL OPERATING REVENUES $604 $1,064,606 BENEFITS AND EXPENSES (3) Claims and other policy benefits $0 $674,766 (4) Interest credited to interest sensitive contract liabilities $0 $62,365 (5) Acquisition costs and other insurance expenses, net $1,033 $214,136 RATIOS Benefit Ratio (1) n/a 69.2% Acquisition Ratio (2) n/a 20.1% --------------------------------------------------------------------------------
(1) Traditional Solutions: (3) / (1), Financial Solutions: [(3) + (4)] / (2), Total: [(3) + (4)] / (2) (2) Traditional Solutions: (5) / (1), Financial Solutions: (5) / (2), Total: (5) / (2) PAGE 13 Scottish Re Group Limited Supplemental Information - Investments (stated in millions of United States Dollars) (unaudited)
--------------------------------------------------------------------------------------------------------------------------- 30-Jun-05 30-Sep-05 31-Dec-05 ------------------------------------------------------------------------- Market Market Market Value % Value % Value % --------------------------------------------------------------------------------------------------------------------------- TOTAL PORTFOLIO BY RATINGS AAA $2,585.5 34.7% $2,666.2 35.6% $3,723.5 40.0% AA 842.8 11.3% 869.0 11.6% 1,215.0 13.1% A 2,201.0 29.5% 2,137.0 28.6% 2,388.6 25.7% BBB 1,592.2 21.3% 1,578.8 21.1% 1,763.4 18.9% BB and below 108.8 1.5% 110.7 1.5% 106.0 1.1% Not Rated (1) 2.0 0.0% 0.0 0.0% 0.0 0.0% --- ---- ---- ---- --- ---- Subtotal 7,332.3 98.3% 7,361.7 98.4% 9,196.5 98.8% Commercial mortgage loans 125.9 1.7% 123.0 1.6% 112.6 1.2% ----- ---- ----- ---- ----- ---- TOTAL $7,458.2 100.0% $7,484.7 100.0% $9,309.1 100.0% --------------------------------------------------------------------------------------------------------------------------- Weighted Average Rating AA- AA- AA- --------------------------------------------------------------------------------------------------------------------------- BY SECTOR U.S. Treasury securities and U.S. government agency obligations $113.4 1.5% $64.8 0.9% $110.1 1.2% Corporate securities 3,160.3 42.4% 3,167.4 42.3% 3,688.3 39.6% Municipal bonds 68.5 0.9% 69.6 0.9% 70.6 0.8% Mortgage and asset-backed securities 3,558.4 47.7% 3,526.0 47.1% 3,745.2 40.2% Preferred stock 158.0 2.1% 159.9 2.1% 137.0 1.5% Commercial mortgage loans 125.9 1.7% 123.0 1.7% 112.6 1.2% ----- ---- ----- ---- ----- ---- Subtotal 7,184.5 96.3% 7,110.7 95.0% 7,863.8 84.5% Cash 273.7 3.7% 374.0 5.0% 1,445.3 15.5% ----- ---- ----- ---- ------- ----- TOTAL $7,458.2 100.0% $7,484.7 100.0% $9,309.1 100.0% --------------------------------------------------------------------------------------------------------------------------- Weighted Average Book Yield 4.9% 5.1% 5.1% Option Adjusted Duration (years) 4.0 3.9 3.6 --------------------------------------------------------------------------------------------------------------------------- ------------------------------------------------------------------------------------------------- 31-Mar-06 30-Jun-06 ----------------------------------------------- Market Market Value % Value % ------------------------------------------------------------------------------------------------- TOTAL PORTFOLIO BY RATINGS AAA $3,605.1 38.8% $4,591.4 39.0% AA 1,275.4 13.7% 2,099.6 17.9% A 2,405.4 25.9% 3,102.5 26.4% BBB 1,790.9 19.3% 1,761.0 15.0% BB and below 105.7 1.1% 98.6 0.8% Not Rated (1) 0.0 0.0% 0.0 0.0% ---- ---- --- ---- Subtotal 9,182.5 98.8% 11,653.1 99.1% Commercial mortgage loans 108.0 1.2% 105.5 0.9% ----- ---- ----- ---- TOTAL $9,290.5 100.0% $11,758.6 100.0% ---------------------------------------------------------------------------------------------- Weighted Average Rating AA- AA- ---------------------------------------------------------------------------------------------- BY SECTOR U.S. Treasury securities and U.S. government agency obligations $267.0 2.9% $180.3 1.5% Corporate securities 3,632.4 39.1% 4,378.4 37.2% Municipal bonds 73.3 0.8% 80.2 0.7% Mortgage and asset-backed securities 4,464.4 48.0% 5,408.0 46.0% Preferred stock 135.0 1.4% 130.8 1.1% Commercial mortgage loans 108.0 1.2% 105.5 0.9% ----- ---- ------ --- Subtotal 8,680.1 93.4% 10,283.2 87.4% Cash 610.4 6.6% 1,475.4 12.6% ----- ---- ------- ----- TOTAL $9,290.5 100.0% $11,758.6 100.0% ---------------------------------------------------------------------------------------------- Weighted Average Book Yield 5.3% 5.5% Option Adjusted Duration (years) 3.5 3.4 ----------------------------------------------------------------------------------------------
(1) 30-Jun-05 contains one security that was purchased during Q2 2005 but was not rated until Q3 (2005) PAGE 14 Scottish Re Group Limited Supplemental Information - Investments - continued (stated in millions of United States Dollars) (unaudited)
--------------------------------------------------------------------------------------------------------------------------- 30-Jun-05 30-Sep-05 31-Dec-05 ------------------------------------------------------------------------- Market Market Market Value % Value % Value % --------------------------------------------------------------------------------------------------------------------------- CORE PORTFOLIO EXCL. TRIPLE X TRANSACTIONS (1) BY RATINGS AAA $1,184.3 29.7% $1,280.1 31.7% $1,208.9 30.7% AA 414.2 10.4% 419.0 10.4% 416.5 10.6% A 1,407.3 35.4% 1,364.2 33.8% 1,316.8 33.5% BBB 945.7 23.8% 941.0 23.4% 965.1 24.5% BB and below 26.0 0.7% 28.1 0.7% 28.0 0.7% ---- ---- ---- ---- ---- ---- TOTAL $3,977.5 100.0% $4,032.4 100.0% $3,935.3 100.0% --------------------------------------------------------------------------------------------------------------------------- Weighted Average Rating AA- A+ A+ --------------------------------------------------------------------------------------------------------------------------- BY SECTOR U.S. Treasury securities and U.S. government agency obligations $78.5 2.0% $28.9 0.7% $31.2 0.8% Corporate securities 1,730.5 43.5% 1,744.1 43.3% 1,701.4 43.2% Municipal bonds 38.2 1.0% 36.5 0.9% 36.5 0.9% Mortgage and asset-backed securities 1,743.8 43.8% 1,732.4 43.0% 1,679.1 42.7% Preferred stock 154.5 3.9% 156.4 3.9% 133.8 3.4% ----- ---- ----- ---- ----- ---- Subtotal 3,745.5 94.2% 3,698.3 91.8% 3,582.0 91.0% Cash 232.0 5.8% 334.1 8.2% 353.3 9.0% ----- ---- ----- ---- ----- ---- TOTAL $3,977.5 100.0% $4,032.4 100.0% $3,935.3 100.0% --------------------------------------------------------------------------------------------------------------------------- Weighted Average Book Yield 4.9% 5.0% 5.1% Option Adjusted Duration (years) 4.3 4.2 4.0 --------------------------------------------------------------------------------------------------------------------------- ------------------------------------------------------------------------------------------------- 31-Mar-06 30-Jun-06 ----------------------------------------------- Market Market Value % Value % ------------------------------------------------------------------------------------------------- CORE PORTFOLIO EXCL. TRIPLE X TRANSACTIONS (1) BY RATINGS AAA $1,284.5 32.5% $1,119.7 26.0% AA 405.0 10.3% 540.7 12.6% A 1,277.9 32.4% 1,629.0 37.9% BBB 954.4 24.1% 983.1 22.9% BB and below 27.7 0.7% 24.4 0.6% ----- ---- ----- ---- TOTAL $3,949.5 100.0% $4,296.9 100.0% ------------------------------------------------------------------------------------------------- Weighted Average Rating A+ A+ ------------------------------------------------------------------------------------------------- BY SECTOR U.S. Treasury securities and U.S. government agency obligations $27.5 0.7% $88.9 2.1% Corporate securities 1,685.1 42.7% 2,074.9 48.3% Municipal bonds 35.4 0.9% 37.5 0.9% Mortgage and asset-backed securities 1,693.4 42.9% 1,791.0 41.6% Preferred stock 131.7 3.3% 128.2 3.0% ----- ---- ------ ---- Subtotal 3,573.1 90.5% 4,120.5 95.9% Cash 376.4 9.5% 176.4 4.1% ----- ---- ----- ---- TOTAL $3,949.5 100.0% $4,296.9 100.0% ------------------------------------------------------------------------------------------------- Weighted Average Book Yield 5.2% 5.5% Option Adjusted Duration (years) 4.0 4.8 -------------------------------------------------------------------------------------------------
(1) Consists of assets backing life reinsurance business and capital accounts only PAGE 15 Scottish Re Group Limited Supplemental Information - Investments - continued (stated in millions of United States Dollars) (unaudited)
--------------------------------------------------------------------------------------------------------------------------- 30-Jun-05 30-Sep-05 31-Dec-05 ------------------------------------------------------------------------- Market Market Market Value % Value % Value % --------------------------------------------------------------------------------------------------------------------------- FUNDS WITHHELD AT INTEREST (1) BY RATINGS AAA $444.1 22.9% $433.0 22.8% $706.0 27.5% AA 91.1 4.7% 90.7 4.8% 145.9 5.7% A 558.4 28.8% 537.4 28.3% 741.7 28.8% BBB 637.4 32.8% 628.5 33.2% 785.8 30.6% BB and below 82.8 4.3% 82.6 4.4% 78.0 3.0% ----- ---- ---- ---- ---- ---- Subtotal 1,813.8 93.5% 1,772.2 93.5% 2,457.4 95.6% Commercial mortgage loans 125.9 6.5% 123.0 6.5% 112.6 4.4% ------ ---- ------ ---- ----- ---- TOTAL $1,939.7 100.0% $1,895.2 100.0% $2,570.0 100.0% ------------------------------------------------------------------------------------------------------------------------- Weighted Average Rating A A A+ ------------------------------------------------------------------------------------------------------------------------- BY SECTOR U.S. Treasury securities and U.S. government agency obligations $31.9 1.6% $26.9 1.4% $62.2 2.4% Corporate securities 1,234.0 63.6% 1,208.1 63.7% 1,631.3 63.5% Municipal bonds 30.3 1.6% 33.1 1.7% 33.0 1.3% Mortgage and asset-backed securities 509.4 26.3% 497.6 26.3% 595.1 23.1% Preferred stock 3.5 0.2% 3.5 0.2% 3.2 0.1% Commercial mortgage loans 125.9 6.5% 123.0 6.5% 112.6 4.4% ----- ---- ----- ---- ----- ---- Subtotal 1,935.0 99.8% 1,892.2 99.8% 2,437.4 94.8% Cash 4.7 0.2% 3.0 0.2% 132.6 5.2% --- ---- --- ---- ----- ---- TOTAL $1,939.7 100.0% $1,895.2 100.0% $2,570.0 100.0% ------------------------------------------------------------------------------------------------------------------------- Weighted Average Book Yield 5.8% 5.8% 5.6% Option Adjusted Duration (years) 5.2 5.1 5.1 ------------------------------------------------------------------------------------------------------------------------- ------------------------------------------------------------------------------------------------- 31-Mar-06 30-Jun-06 ----------------------------------------------- Market Market Value % Value % ------------------------------------------------------------------------------------------------- FUNDS WITHHELD AT INTEREST (1) BY RATINGS AAA $630.5 24.9% $504.0 23.9% AA 146.4 5.8% 144.5 6.9% A 736.8 29.1% 615.6 29.2% BBB 829.5 32.8% 661.8 31.4% BB and below 78.0 3.1% 74.2 3.6% ---- ---- ----- ---- Subtotal 2,421.2 95.7% 2,000.1 95.0% Commercial mortgage loans 108.0 4.3% 105.5 5.0% ----- ---- ----- ---- TOTAL $2,529.2 100.0% $2,105.6 100.0% -------------------------------------------------------------------------------------------------- Weighted Average Rating A A -------------------------------------------------------------------------------------------------- BY SECTOR U.S. Treasury securities and U.S. government agency obligations $195.1 7.7% $47.4 2.3% Corporate securities 1,561.2 61.7% 1,381.8 65.6% Municipal bonds 31.4 1.2% 28.4 1.3% Mortgage and asset-backed securities 583.2 23.1% 462.4 22.0% Preferred stock 3.3 0.1% 2.6 0.1% Commercial mortgage loans 108.0 4.3% 105.5 5.0% ----- ---- ----- ---- Subtotal 2,482.2 98.1% 2,028.1 96.3% Cash 47.0 1.9% 77.5 3.7% ---- ---- ---- ---- TOTAL $2,529.2 100.0% $2,105.6 100.0% ---------------------------------------------------------------------------------------------------- Weighted Average Book Yield 5.7% 5.8% Option Adjusted Duration (years) 4.7 4.5 ----------------------------------------------------------------------------------------------------
(1) Consists of assets held by ceding insurers under modified coinsurance and funds withheld coinsurance arrangements PAGE 16 Scottish Re Group Limited Supplemental Information - Investments - continued (stated in millions of United States Dollars) (unaudited)
------------------------------------------------------------------------------------------------------------------------- 30-Jun-05 30-Sep-05 31-Dec-05 ----------------------------------------------------------------------- Market Market Market Value % Value % Value % ------------------------------------------------------------------------------------------------------------------------- TRIPLE X TRANSACTIONS (1) BY RATINGS AAA $957.1 62.1% $953.1 61.2% $1,808.6 64.5% AA 337.5 21.9% 359.3 23.1% 652.6 23.3% A 235.3 15.3% 235.4 15.1% 330.1 11.8% BBB 9.1 0.6% 9.3 0.6% 12.5 0.4% BB and below 0.0 0.0% 0.0 0.0% 0.0 0.0% Not Rated (2) 2.0 0.1% 0.0 0.0% 0.0 0.0% --- ---- --- ---- --- ---- TOTAL $1,541.0 100.0% $1,557.1 100.0% $2,803.8 100.0% ------------------------------------------------------------------------------------------------------------------------ Weighted Average Rating AA+ AA+ AA+ ------------------------------------------------------------------------------------------------------------------------ BY SECTOR U.S. Treasury securities and U.S. government agency obligations $3.0 0.2% $9.0 0.6% $16.7 0.6% Corporate securities 195.8 12.7% 215.2 13.8% 355.6 12.7% Municipal bonds 0.0 0.0% 0.0 0.0% 1.1 0.0% Mortgage and asset-backed securities 1,305.2 84.7% 1,296.0 83.2% 1,471.0 52.5% Preferred stock 0.0 0.0% 0.0 0.0% 0.0 0.0% --- ---- --- ---- --- ---- Subtotal 1,504.0 97.6% 1,520.2 97.6% 1,844.4 65.8% Cash 37.0 2.4% 36.9 2.4% 959.4 34.2% ---- ---- ---- ---- ----- ----- TOTAL $1,541.0 100.0% $1,557.1 100.0% $2,803.8 100.0% ------------------------------------------------------------------------------------------------------------------------ Weighted Average Book Yield 3.9% 4.3% 4.5% Option Adjusted Duration (years) 1.8 1.9 1.6 ------------------------------------------------------------------------------------------------------------------------ ------------------------------------------------------------------------------------------------- 31-Mar-06 30-Jun-06 ----------------------------------------------- Market Market Value % Value % ------------------------------------------------------------------------------------------------- TRIPLE X TRANSACTIONS (1) BY RATINGS AAA $1,690.1 60.1% $2,967.7 55.4% AA 724.0 25.8% 1,414.4 26.4% A 390.7 13.9% 857.9 16.0% BBB 7.0 0.2% 116.1 2.2% BB and below 0.0 0.0% 0.0 0.0% Not Rated (2) 0.0 0.0% 0.0 0.0% --- ---- --- ---- TOTAL $2,811.8 100.0% $5,356.1 100.0% ---------------------------------------------------------------------------------------------- Weighted Average Rating AA+ AA+ ---------------------------------------------------------------------------------------------- BY SECTOR U.S. Treasury securities and U.S. government agency obligations $44.4 1.6% $44.0 0.8% Corporate securities 386.1 13.7% 921.7 17.2% Municipal bonds 6.5 0.2% 14.3 0.3% Mortgage and asset-backed securities 2,187.8 77.8% 3,154.6 58.9% Preferred stock 0.0 0.0% 0.0 0.0% --- ---- --- ---- Subtotal 2,624.8 93.3% 4,134.6 77.2% Cash 187.0 6.7% 1,221.5 22.8% ----- ---- ------- ----- TOTAL 2,811.8 100.0% $5,356.1 100.0% ---------------------------------------------------------------------------------------------- Weighted Average Book Yield 5.0% 5.5% Option Adjusted Duration (years) 1.7 1.9 ----------------------------------------------------------------------------------------------
(1) Includes assets in trust related to excess reserves, economic reserves, surplus, debt service accounts, etc. (2) 30-Jun-05 contains one security that was purchased during Q2 2005 but was not rated until Q3 (2005) PAGE 17 Scottish Re Group Limited Supplemental Information - North America Life Reinsurance (stated in United States Dollars) (unaudited)
------------------------------------------------------------------------------------------------------------------------------------ 30-Jun 30-Sep 31-Dec 31-Mar 30-Jun 30-Sep 31-Dec 31-Mar 30-Jun 2004 2004 2004 2005 2005 2005 2005 2006 2006 ------------------------------------------------------------------------------------------------------------------------------------ Traditional life reinsurance inforce ($billions) $298.1 $307.4 $1,006.6 $1,019.1 $1,025.8 $1,023.6 $1,025.8 $1,025.0 $1,024.6 Lives covered (millions) 7.4 7.5 14.2 13.5 13.9 13.9 13.5 14.1 14.2 Average benefit per life $40,233 $40,927 $70,642 $75,765 $73,942 $73,740 $75,757 $72,835 $72,178 ------------------------------------------------------------------------------------------------------------------------------------
Supplemental Information - North America Financial Solutions (stated in thousands of United States Dollars) (unaudited)
------------------------------------------------------------------------------------------------------------------------------- 30-Jun 30-Sep 31-Dec 31-Mar 30-Jun 30-Sep 31-Dec 2004 2004 2004 2005 2005 2005 2005 ------------------------------------------------------------------------------------------------------------------------------- GAAP reserves (1) Fixed annuities $2,260,630 $2,425,838 $2,472,526 $2,539,595 $2,561,582 $2,563,438 $3,187,938 Funding agreements 500,384 500,493 500,634 500,746 500,584 500,800 500,858 Life insurance 358,115 405,223 379,948 392,781 398,038 388,131 379,336 Disabled life reserves 75,371 73,512 72,301 68,093 69,525 67,924 65,365 Credit life and other 11,966 13,650 16,692 18,573 20,451 24,373 26,786 ------ ------ ------ ------ ------ ------- ------ TOTAL $3,206,466 $3,418,716 $3,442,101 $3,519,788 $3,550,180 $3,544,666 $4,160,283 ------------------------------------------------------------------------------------------------------------------------------- -------------------------------------------------------------- 31-Mar 30-Jun 2006 2006 -------------------------------------------------------------- GAAP reserves (1) Fixed annuities $3,222,878 $3,240,312 Funding agreements 575,873 651,998 Life insurance 365,470 324,743 Disabled life reserves 63,067 61,521 Credit life and other 26,890 27,432 ------ ------ TOTAL $4,254,178 $4,306,006 --------------------------------------------------------------
(1) The majority of these reserves are contained in Interest Sensitive Contract Liabilities on the consolidated balance sheet. The remainder pertains to term/traditional life reserves that are categorized as Reserves for Future Policy Benefits on the consolidated balance sheet. PAGE 18 Scottish Re Group Limited Supplemental Information - Collateral Finance Facilities: Summary of Key Terms (unaudited)
------------------------------------------------------------------------------------------------------------------------------------ Collateral Transaction Consolidateed Facility Closing in Financial Liability Facility Date Statements? (millions) Other Details ------------------------------------------------------------------------------------------------------------------------------------ HSBC I 25-Jun-04 Yes $200 This facility provides $200 million that can be used to collateral ize reinsurance obligations under intercompany reinsurance agreements. A total return swap with HSBC Bank, USA, N.A. entitles us to the total return of the investment portfolio of the trust established for this facility. ------------------------------------------------------------------------------------------------------------------------------------ Stingray 12-Jan-05 No n/a We acquired an irrevocable put option to issue up to $325 million of funding 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 I 11-Feb-05 Yes $850 Orkney Holdings, LLC issued and sold an aggregate of $850 million of floating rate insured notes due 11-Feb-35 (the "Orkney Notes"). Proceeds from this offering were used to fund the Regulation XXX reserve requirements for a defined block of level premium term life insurance policies issued between 1-Jan-00 and 31-Dec-03 reinsured by Scottish Re (U.S.), Inc. to Orkney Re, Inc., a South Carolina special purpose captive insurance company. Proceeds from the Orkney Notes have been deposited into a series of trusts that collateralize the notes. ------------------------------------------------------------------------------------------------------------------------------------ Orkney II 21-Dec-05 Yes $450 Proceeds from this offering were used to fund the Regulation XXX requirements for a defined block of level premium term life insurance policies issued between 1-Jan-04 and 31-Dec-04 reinsured by Scottish Re (U.S.), Inc. to Orkney Re II plc. Proceeds from the Orkney II Notes have been deposited into a series of trusts that collateralize the notes. ------------------------------------------------------------------------------------------------------------------------------------ HSBC II 22-Dec-05 Yes $486 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 19 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) Other Details ------------------------------------------------------------------------------------------------------------------------------------ Reinsurance Facility 22-Dec-05 No n/a 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. ----------------------------------------------------------------------------------------------------------------------------------- Ballantyne Re 2-May-06 Yes $1,740 Ballantyne Re plc issued $1.71 billion of debt to external investors and $210 million of debt to Scottish Annuity & Life Insurance Co. (Cayman) Ltd. Proceeds from this offering were used to fund the Regulation XXX reserve requirements for the business acquired from ING America Insurance Holdings, Inc. $1.65 billion of the proceeds from the offering have been deposited into a series of accounts that collateralize the reserve obligations of Scottish Re (U.S.), Inc. -----------------------------------------------------------------------------------------------------------------------------------
PAGE 20 Scottish Re Group Limited Insurance Financial Strength Ratings (as of 2-Aug-06) *
---------------------------------------------------------------------------------------------------------------------------- Moody's A.M. Best Fitch Investors Standard Company Company Ratings Service & Poor's ---------------------------------------------------------------------------------------------------------------------------- Scottish Annuity and Life Insurance Co. (Cayman) Ltd. B++ BBB+ Baa2 BBB+ Scottish Re (U.S.), Inc. B++ BBB+ Baa2 BBB+ Scottish Re Ltd. B++ BBB+ - - BBB+ Scottish Re Life Corp. B++ - - - - BBB+ ----------------------------------------------------------------------------------------------------------------------------
* All ratings on negative watch 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 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 PAGE 21