MONTPELIER RE HOLDINGS LTD - FORM 8-K - EX-99.2 - October 31, 2012

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EX-99.1 - EX-99.1 - MONTPELIER RE HOLDINGS LTDa12-25242_1ex99d1.htm

Exhibit 99.2

 

 

 

 

Financial Supplement

September 30, 2012

 

 

 

contact:

telephone:

email:

William Pollett, Treasurer

+1(441) 299 7576

bill.pollett@montpelierre.bm

This report is for informational purposes only. It should be read in conjunction with other documents filed by Montpelier Re Holdings Ltd. pursuant to the Securities Exchange Act of 1934.

 


 

 

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

 

This financial supplement contains forward-looking statements within the meaning of the United States federal securities laws, pursuant to the safe harbor provisions of the Private Securities Litigation Reform Act of 1995, that are not historical facts, including statements about our beliefs and expectations. These statements are based upon current plans, estimates and projections. Forward-looking statements rely on a number of assumptions concerning future events and are subject to a number of uncertainties and various risk factors, many of which are outside the Company’s control. See “Risk Factors” contained in our Annual Report on Form 10-K for the fiscal year ended December 31, 2011, as filed with the Securities and Exchange Commission, for specific important factors that could cause actual results to differ materially from those contained in forward- looking statements. In particular, statements using words such as “may,” “should,” “estimate,” “expect,” “anticipate,” “intend,” “believe,” “predict,” “potential,” or words of similar meaning generally involve forward-looking statements.

 

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

 

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

 


 

 

MONTPELIER RE HOLDINGS LTD.

Table of Contents

 

Page

 

 

 

 

 

1

 

Consolidated Financial Highlights

 

 

 

2

 

Summary Consolidated Balance Sheets

 

 

 

3

 

Summary Consolidated Income Statements

 

 

 

4

 

Net Insurance and Reinsurance Premiums Written by Line of Business

 

 

 

5

 

Net Insurance and Reinsurance Premiums Earned by Line of Business

 

 

 

6

 

Natural Catastrophe Risk Management

 

 

 

7

 

Rollforward of Loss Reserves

 

 

 

8

 

Losses and Loss Ratios by Line of Business

 

 

 

9

 

Consolidated Investment Portfolio

 

 

 

10

 

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

 

 

 

11

 

Consolidated Investment Detail - Corporate Bonds

 

 

 

12

 

Reinsurance Recoverable by Rating

 

 

 

13

 

Fully Converted Tangible Book Value Per Common Share

 

 

 

14

 

Income (Loss) Available to Common Shareholders Per Share

 

 

 

15

 

Non-GAAP Financial Measures

 


 

 

MONTPELIER RE HOLDINGS LTD.

Consolidated Financial Highlights (unaudited)

$ in millions, except per share amounts

 

 

 

Three months ended
September 30

 

 

 

Year-to-date
September 30

 

 

 

 

 

2012

 

2011

 

% change

 

2012

 

2011

 

% change

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Selected financial highlights

 

 

 

 

 

 

 

 

 

 

 

 

 

Gross insurance and reinsurance premiums written

 

$

127.7

 

$

162.5

 

-21

%

$

640.9

 

$

633.8

 

1

%

Net insurance and reinsurance premiums written

 

101.5

 

121.6

 

-17

%

532.3

 

542.4

 

-2

%

Net insurance and reinsurance premiums earned

 

153.0

 

155.9

 

-2

%

459.9

 

474.4

 

-3

%

Net investment income

 

15.5

 

17.0

 

-9

%

50.3

 

51.6

 

-3

%

Underwriting income (loss)

 

41.7

 

(33.5

)

n/m

 

142.3

 

(168.3

)

n/m

 

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

 

48.5

 

(24.9

)

n/m

 

167.8

 

(138.2

)

n/m

 

Net income (loss) available to common shareholders

 

71.7

 

(66.2

)

n/m

 

240.9

 

(149.3

)

n/m

 

Comprehensive income (loss)

 

76.7

 

(62.3

)

n/m

 

251.4

 

(141.6

)

n/m

 

Total assets

 

 

 

 

 

 

 

4,049.5

 

3,539.5

 

14

%

Common shareholders’ equity

 

 

 

 

 

 

 

1,524.0

 

1,400.4

 

9

%

Total shareholders’ equity

 

 

 

 

 

 

 

1,674.0

 

1,550.4

 

8

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Amounts per common share

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

$

0.85

 

$

(0.40

)

 

 

$

2.84

 

$

(2.23

)

 

 

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

 

1.25

 

(1.07

)

 

 

4.08

 

(2.41

)

 

 

Fully converted book value (3)

 

 

 

 

 

 

 

26.61

 

22.26

 

 

 

Fully converted tangible book value (3)

 

 

 

 

 

 

 

26.61

 

22.18

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Financial ratios

 

 

 

 

 

 

 

 

 

 

 

 

 

Loss and loss adjustment expense ratio:

 

 

 

 

 

 

 

 

 

 

 

 

 

Current year

 

47.6

%

100.5

%

 

 

47.7

%

118.6

%

 

 

Prior year

 

-10.2

%

-11.5

%

 

 

-13.3

%

-15.0

%

 

 

Loss and loss adjustment expense ratio

 

37.4

%

89.0

%

 

 

34.4

%

103.6

%

 

 

Acquisition costs ratio

 

15.4

%

17.1

%

 

 

15.6

%

16.4

%

 

 

General and administrative expense ratio

 

19.9

%

15.4

%

 

 

19.0

%

15.5

%

 

 

Combined ratio

 

72.7

%

121.5

%

 

 

69.0

%

135.5

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Operating income (loss) / Average common shareholders’ equity

 

3.2

%

-1.7

%

 

 

11.4

%

-9.3

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Change in FCTBVPCS adjusted for dividends (4)

 

5.3

%

-4.3

%

 

 

18.6

%

-8.4

%

 

 

 

(1) Excludes net investment and foreign exchange gains and losses and any significant non-recurring items.

(2) See Page 14 for calculation and Page 15 for information regarding our use of Non-GAAP Financial Measures.

(3) See Page 13 for calculation and Page 15 for information regarding our use of Non-GAAP Financial Measures.

(4) Change in FCTBVPCS adjusted for dividends represents the change in fully converted tangible book value per common share after taking into account dividends declared on common shares during the period.  See page 15 for information regarding our use of Non-GAAP Financial Measures.

 

n/m - not meaningful

 

1


 

 

MONTPELIER RE HOLDINGS LTD.

Summary Consolidated Balance Sheets (unaudited)

in millions, except per share amounts

 

 

 

September 30

 

June 30

 

March 31

 

December 31

 

September 30

 

 

 

2012

 

2012

 

2012

 

2011

 

2011

 

 

 

 

 

 

 

 

 

 

 

 

 

ASSETS

 

 

 

 

 

 

 

 

 

 

 

Investments, cash and cash equivalents

 

$

3,355.8

 

$

3,225.3

 

$

3,201.3

 

$

3,057.4

 

$

3,019.6

 

Insurance and reinsurance premiums receivable

 

287.9

 

353.5

 

287.1

 

213.4

 

284.2

 

Deferred insurance and reinsurance acquisition costs

 

54.2

 

57.7

 

56.9

 

50.9

 

55.2

 

Reinsurance recoverable on paid and unpaid losses

 

85.5

 

82.3

 

74.3

 

85.4

 

81.9

 

Unearned reinsurance premiums ceded

 

47.6

 

51.1

 

38.2

 

22.0

 

47.6

 

Unsettled sales of investments

 

181.4

 

88.2

 

106.4

 

33.9

 

9.6

 

Other assets

 

37.1

 

36.6

 

39.4

 

36.5

 

41.4

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Assets

 

$

4,049.5

 

$

3,894.7

 

$

3,803.6

 

$

3,499.5

 

$

3,539.5

 

 

 

 

 

 

 

 

 

 

 

 

 

LIABILITIES

 

 

 

 

 

 

 

 

 

 

 

Loss and loss adjustment expense reserves

 

$

1,039.4

 

$

1,029.9

 

$

1,035.7

 

$

1,077.1

 

$

1,056.6

 

Unearned insurance and reinsurance premiums

 

368.2

 

418.3

 

344.7

 

265.9

 

356.8

 

Debt

 

327.9

 

327.9

 

327.9

 

327.8

 

327.8

 

Liability for investment securities sold short

 

153.4

 

127.7

 

104.3

 

136.3

 

91.4

 

Unsettled purchases of investments

 

375.5

 

251.0

 

275.2

 

69.9

 

77.8

 

Other liabilities

 

111.1

 

115.2

 

100.7

 

73.2

 

78.7

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Liabilities

 

2,375.5

 

2,270.0

 

2,188.5

 

1,950.2

 

1,989.1

 

 

 

 

 

 

 

 

 

 

 

 

 

SHAREHOLDERS’ EQUITY

 

 

 

 

 

 

 

 

 

 

 

Preferred shareholders’ equity

 

150.0

 

150.0

 

150.0

 

150.0

 

150.0

 

Common shareholders’ equity

 

1,524.0

 

1,474.7

 

1,465.1

 

1,399.3

 

1,400.4

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Shareholders’ Equity

 

1,674.0

 

1,624.7

 

1,615.1

 

1,549.3

 

1,550.4

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Liabilities and Shareholders’ Equity

 

$

4,049.5

 

$

3,894.7

 

$

3,803.6

 

$

3,499.5

 

$

3,539.5

 

 

 

 

 

 

 

 

 

 

 

 

 

Fully converted book value per common share (1)

 

$

26.61

 

$

25.36

 

$

24.30

 

$

22.71

 

$

22.26

 

Fully converted tangible book value per common share (1)

 

$

26.61

 

$

25.36

 

$

24.30

 

$

22.71

 

$

22.18

 

 

(1) See Page 13 for calculation and Page 15 for information regarding our use of Non-GAAP Financial Measures.

 

2


 

 

MONTPELIER RE HOLDINGS LTD.

Summary Consolidated Income Statements (unaudited)

$ in millions, except per share amounts

 

 

 

 

 

 

 

 

 

 

 

 

 

YTD

 

YTD

 

Year

 

 

 

Q3-12

 

Q2-12

 

Q1-12

 

Q4-11

 

Q3-11

 

2012

 

2011

 

2011

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Underwriting revenues

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Gross insurance and reinsurance premiums written

 

$

127.7

 

$

253.5

 

$

259.7

 

$

91.7

 

$

162.5

 

$

640.9

 

$

633.8

 

$

725.5

 

Reinsurance premiums ceded

 

(26.2

)

(42.7

)

(39.7

)

(10.1

)

(40.9

)

(108.6

)

(91.4

)

(101.5

)

Net insurance and reinsurance premiums written

 

101.5

 

210.8

 

220.0

 

81.6

 

121.6

 

532.3

 

542.4

 

624.0

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Gross insurance and reinsurance premiums earned

 

183.1

 

176.1

 

184.1

 

179.2

 

187.2

 

543.3

 

541.9

 

721.1

 

Earned reinsurance premiums ceded

 

(30.1

)

(29.7

)

(23.6

)

(30.9

)

(31.3

)

(83.4

)

(67.5

)

(98.4

)

Net insurance and reinsurance premiums earned

 

153.0

 

146.4

 

160.5

 

148.3

 

155.9

 

459.9

 

474.4

 

622.7

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Underwriting expenses

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Loss and loss adjustment expenses - current year

 

(73.0

)

(73.9

)

(72.7

)

(138.6

)

(156.7

)

(219.6

)

(562.8

)

(701.4

)

Loss and loss adjustment expenses - prior year

 

15.7

 

16.7

 

28.7

 

18.0

 

18.0

 

61.1

 

71.3

 

89.3

 

Insurance and reinsurance acquisition costs

 

(23.5

)

(23.6

)

(24.8

)

(27.7

)

(26.7

)

(71.9

)

(77.7

)

(105.4

)

Operating expenses

 

(18.9

)

(20.8

)

(20.1

)

(22.1

)

(21.2

)

(59.8

)

(66.2

)

(88.3

)

Incentive compensation expenses

 

(11.6

)

(10.2

)

(5.6

)

(3.0

)

(2.8

)

(27.4

)

(7.3

)

(10.3

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Underwriting income (loss)

 

41.7

 

34.6

 

66.0

 

(25.1

)

(33.5

)

142.3

 

(168.3

)

(193.4

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

15.5

 

17.2

 

17.6

 

17.1

 

17.0

 

50.3

 

51.6

 

68.7

 

Other revenue

 

0.1

 

0.2

 

0.5

 

0.2

 

0.2

 

0.8

 

0.3

 

0.5

 

Interest and other financing expenses

 

(4.7

)

(4.8

)

(5.0

)

(4.9

)

(4.9

)

(14.5

)

(15.7

)

(20.6

)

Net realized and unrealized investment gains (losses)

 

33.2

 

13.3

 

32.4

 

31.5

 

(31.3

)

78.9

 

(5.3

)

26.2

 

Net foreign exchange gains (losses)

 

(10.8

)

2.9

 

(2.6

)

(1.4

)

(4.1

)

(10.5

)

(3.8

)

(5.2

)

Net income (loss) from derivative instruments

 

0.7

 

2.1

 

1.5

 

(0.1

)

(6.3

)

4.3

 

(3.0

)

(3.1

)

Gain on sale of MUSIC

 

—

 

—

 

—

 

11.1

 

—

 

—

 

—

 

11.1

 

Income tax benefit (provision)

 

(0.7

)

—

 

—

 

—

 

—

 

(0.7

)

0.6

 

0.6

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net income (loss)

 

75.0

 

65.5

 

110.4

 

28.4

 

(62.9

)

250.9

 

(143.6

)

(115.2

)

Dividends declared on non-cumulative preferred shares

 

(3.3

)

(3.4

)

(3.3

)

(3.4

)

(3.3

)

(10.0

)

(5.7

)

(9.1

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net income (loss) available to common shareholders

 

$

71.7

 

$

62.1

 

$

107.1

 

$

25.0

 

$

(66.2

)

$

240.9

 

$

(149.3

)

$

(124.3

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net income (loss)

 

$

75.0

 

$

65.5

 

$

110.4

 

$

28.4

 

$

(62.9

)

$

250.9

 

$

(143.6

)

$

(115.2

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Other comprehensive income (loss) items

 

1.7

 

(1.6

)

0.4

 

0.1

 

0.6

 

0.5

 

2.0

 

2.1

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Comprehensive income (loss)

 

$

76.7

 

$

63.9

 

$

110.8

 

$

28.5

 

$

(62.3

)

$

251.4

 

$

(141.6

)

$

(113.1

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net income (loss) available to common shareholders

 

$

71.7

 

$

62.1

 

$

107.1

 

$

25.0

 

$

(66.2

)

$

240.9

 

$

(149.3

)

$

(124.3

)

Add (subtract):

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net realized and unrealized investment (gains) losses

 

(33.2

)

(13.3

)

(32.4

)

(31.5

)

31.3

 

(78.9

)

5.3

 

(26.2

)

Net (gains) losses from investment-related derivative instruments

 

2.1

 

(0.8

)

(1.7

)

2.7

 

5.7

 

(0.4

)

6.3

 

9.0

 

Net foreign exchange (gains) losses

 

10.8

 

(2.9

)

2.6

 

1.4

 

4.1

 

10.5

 

3.8

 

5.2

 

Net (gains) losses from fx-related derivative instruments

 

(2.9

)

(1.5

)

0.1

 

(2.7

)

0.2

 

(4.3

)

(4.3

)

(7.0

)

Gain on sale of MUSIC

 

—

 

—

 

—

 

(11.1

)

—

 

—

 

—

 

(11.1

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Operating income (loss) available to common shareholders

 

$

48.5

 

$

43.6

 

$

75.7

 

$

(16.2

)

$

(24.9

)

$

167.8

 

$

(138.2

)

$

(154.4

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Loss and loss adjustment expense ratio:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Current year

 

47.6

%

50.6

%

45.3

%

93.4

%

100.5

%

47.7

%

118.6

%

112.6

%

Prior year

 

-10.2

%

-11.4

%

-17.9

%

-12.1

%

-11.5

%

-13.3

%

-15.0

%

-14.3

%

Loss and loss adjustment expense ratio

 

37.4

%

39.2

%

27.4

%

81.3

%

89.0

%

34.4

%

103.6

%

98.3

%

Acquisition costs ratio

 

15.4

%

16.1

%

15.5

%

18.7

%

17.1

%

15.6

%

16.4

%

16.9

%

Operating expenses

 

12.3

%

14.2

%

12.5

%

14.9

%

13.6

%

13.0

%

14.0

%

14.2

%

Incentive compensation expenses

 

7.6

%

7.0

%

3.5

%

2.0

%

1.8

%

6.0

%

1.5

%

1.7

%

Combined ratio

 

72.7

%

76.5

%

58.9

%

116.9

%

121.5

%

69.0

%

135.5

%

131.1

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

$

0.85

 

$

0.74

 

$

1.23

 

$

(0.27

)

$

(0.40

)

$

2.84

 

$

(2.23

)

$

(2.50

)

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

 

$

1.25

 

$

1.06

 

$

1.74

 

$

0.40

 

$

(1.07

)

$

4.08

 

$

(2.41

)

$

(2.01

)

Operating income (loss) / Average common shareholders’ equity

 

3.2

%

3.0

%

5.3

%

-1.2

%

-1.7

%

11.4

%

-9.3

%

-10.5

%

 

(1) See Page 14 for calculation and Page 15 for information regarding our use of Non-GAAP Financial Measures.

 

3


 

 

MONTPELIER RE HOLDINGS LTD.
Net Premiums Written by Line of Business
(unaudited)
in millions

 

 

 

 

 

 

 

 

 

 

 

 

 

YTD

 

YTD

 

Year

 

Net Insurance and Reinsurance Premiums Written

 

Q3-12

 

Q2-12

 

Q1-12

 

Q4-11

 

Q3-11

 

2012

 

2011

 

2011

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Bermuda

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Property Catastrophe - Treaty Reinsurance

 

$

20.9

 

$

113.1

 

$

103.4

 

$

4.3

 

$

33.3

 

$

237.4

 

$

223.0

 

$

227.3

 

Property Specialty - Treaty Reinsurance

 

11.7

 

12.3

 

11.2

 

7.6

 

5.8

 

35.2

 

32.6

 

40.2

 

Other Specialty - Treaty Reinsurance

 

10.8

 

9.3

 

34.1

 

12.7

 

16.6

 

54.2

 

57.7

 

70.4

 

Property & Specialty Individual Risk

 

3.7

 

14.1

 

5.4

 

4.3

 

6.7

 

23.2

 

26.1

 

30.4

 

 

 

$

47.1

 

$

148.8

 

$

154.1

 

$

28.9

 

$

62.4

 

$

350.0

 

$

339.4

 

$

368.3

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Syndicate 5151

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Property Catastrophe - Treaty Reinsurance

 

$

(1.0

)

$

2.1

 

$

8.1

 

$

2.3

 

$

0.4

 

$

9.2

 

$

28.4

 

$

30.7

 

Property Specialty - Treaty Reinsurance

 

3.0

 

0.5

 

2.5

 

1.4

 

3.3

 

6.0

 

7.5

 

8.9

 

Other Specialty - Treaty Reinsurance

 

18.4

 

23.0

 

22.9

 

17.4

 

19.2

 

64.3

 

51.9

 

69.3

 

Property & Specialty Individual Risk

 

33.4

 

36.2

 

31.1

 

16.1

 

24.6

 

100.7

 

78.9

 

95.0

 

 

 

$

53.8

 

$

61.8

 

$

64.6

 

$

37.2

 

$

47.5

 

$

180.2

 

$

166.7

 

$

203.9

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

MUSIC Run-Off

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Property Catastrophe - Treaty Reinsurance

 

$

—

 

$

—

 

$

—

 

$

—

 

$

—

 

$

—

 

$

—

 

$

—

 

Property Specialty - Treaty Reinsurance

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

Other Specialty - Treaty Reinsurance

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

Property & Specialty Individual Risk

 

0.6

 

0.2

 

1.3

 

15.5

 

11.7

 

2.1

 

36.3

 

51.8

 

 

 

$

0.6

 

$

0.2

 

$

1.3

 

$

15.5

 

$

11.7

 

$

2.1

 

$

36.3

 

$

51.8

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Intercompany Reinsurance Eliminations

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Property Catastrophe - Treaty Reinsurance

 

$

(0.1

)

$

—

 

$

2.7

 

$

(0.2

)

$

—

 

$

2.6

 

$

(8.7

)

$

(8.9

)

Property Specialty - Treaty Reinsurance

 

0.1

 

—

 

(0.1

)

—

 

—

 

—

 

0.7

 

0.7

 

Other Specialty - Treaty Reinsurance

 

—

 

—

 

(0.4

)

(0.2

)

—

 

(0.4

)

5.0

 

4.8

 

Property & Specialty Individual Risk

 

—

 

—

 

(2.2

)

0.4

 

—

 

(2.2

)

3.0

 

3.4

 

 

 

$

—

 

$

—

 

$

—

 

$

—

 

$

—

 

$

—

 

$

—

 

$

—

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Consolidated Total NWP

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Property Catastrophe - Treaty Reinsurance

 

$

19.8

 

$

115.2

 

$

114.2

 

$

6.4

 

$

33.7

 

$

249.2

 

$

242.7

 

$

249.1

 

Property Specialty - Treaty Reinsurance

 

14.8

 

12.8

 

13.6

 

9.0

 

9.1

 

41.2

 

40.8

 

49.8

 

Other Specialty - Treaty Reinsurance

 

29.2

 

32.3

 

56.6

 

29.9

 

35.8

 

118.1

 

114.6

 

144.5

 

Property & Specialty Individual Risk

 

37.7

 

50.5

 

35.6

 

36.3

 

43.0

 

123.8

 

144.3

 

180.6

 

 

 

$

101.5

 

$

210.8

 

$

220.0

 

$

81.6

 

$

121.6

 

$

532.3

 

$

542.4

 

$

624.0

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Reinstatements included in NWP

 

$

2.2

 

$

1.3

 

$

2.7

 

$

2.3

 

$

4.4

 

$

6.2

 

$

25.2

 

$

27.5

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Consolidated 12 Mo. Rolling NWP

 

$

613.9

 

$

634.0

 

$

617.5

 

$

624.0

 

$

633.6

 

 

 

 

 

 

 

 

4


 

 

MONTPELIER RE HOLDINGS LTD.

Net Premiums Earned by Line of Business

(unaudited)

in millions

 

 

 

 

 

 

 

 

 

 

 

 

 

YTD

 

YTD

 

Year

 

Net Insurance and Reinsurance Premiums Earned

 

Q3-12

 

Q2-12

 

Q1-12

 

Q4-11

 

Q3-11

 

2012

 

2011

 

2011

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Bermuda

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Property Catastrophe - Treaty Reinsurance

 

$

59.1

 

$

56.1

 

$

60.8

 

$

48.1

 

$

58.4

 

$

176.0

 

$

172.5

 

$

220.6

 

Property Specialty - Treaty Reinsurance

 

10.7

 

11.5

 

10.5

 

12.3

 

9.6

 

32.7

 

36.0

 

48.3

 

Other Specialty - Treaty Reinsurance

 

16.6

 

10.3

 

19.0

 

21.4

 

20.4

 

45.9

 

57.1

 

78.5

 

Property & Specialty Individual Risk

 

7.1

 

7.4

 

8.0

 

7.1

 

7.9

 

22.5

 

23.5

 

30.6

 

 

 

$

93.5

 

$

85.3

 

$

98.3

 

$

88.9

 

$

96.3

 

$

277.1

 

$

289.1

 

$

378.0

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Syndicate 5151

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Property Catastrophe - Treaty Reinsurance

 

$

1.4

 

$

3.4

 

$

2.3

 

$

7.4

 

$

4.8

 

$

7.1

 

$

23.5

 

$

30.9

 

Property Specialty - Treaty Reinsurance

 

1.6

 

1.6

 

1.7

 

2.2

 

1.7

 

4.9

 

6.5

 

8.7

 

Other Specialty - Treaty Reinsurance

 

19.0

 

21.2

 

18.7

 

16.9

 

16.1

 

58.9

 

43.9

 

60.8

 

Property & Specialty Individual Risk

 

32.0

 

26.5

 

28.1

 

20.1

 

24.4

 

86.6

 

74.0

 

94.1

 

 

 

$

54.0

 

$

52.7

 

$

50.8

 

$

46.6

 

$

47.0

 

$

157.5

 

$

147.9

 

$

194.5

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

MUSIC Run-Off

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Property Catastrophe - Treaty Reinsurance

 

$

—

 

$

—

 

$

—

 

$

—

 

$

—

 

$

—

 

$

—

 

$

—

 

Property Specialty - Treaty Reinsurance

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

Other Specialty - Treaty Reinsurance

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

Property & Specialty Individual Risk

 

5.5

 

8.4

 

11.4

 

12.8

 

12.6

 

25.3

 

37.4

 

50.2

 

 

 

$

5.5

 

$

8.4

 

$

11.4

 

$

12.8

 

$

12.6

 

$

25.3

 

$

37.4

 

$

50.2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Intercompany Reinsurance Eliminations

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Property Catastrophe - Treaty Reinsurance

 

$

—

 

$

—

 

$

0.2

 

$

(2.1

)

$

(1.8

)

$

0.2

 

$

(7.0

)

$

(9.1

)

Property Specialty - Treaty Reinsurance

 

—

 

—

 

—

 

0.2

 

0.3

 

—

 

1.1

 

1.3

 

Other Specialty - Treaty Reinsurance

 

—

 

—

 

0.7

 

0.9

 

0.9

 

0.7

 

3.8

 

4.7

 

Property & Specialty Individual Risk

 

—

 

—

 

(0.9

)

1.0

 

0.6

 

(0.9

)

2.1

 

3.1

 

 

 

$

—

 

$

—

 

$

—

 

$

—

 

$

—

 

$

—

 

$

—

 

$

—

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Consolidated Total NPE

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Property Catastrophe - Treaty Reinsurance

 

$

60.5

 

$

59.5

 

$

63.3

 

$

53.4

 

$

61.4

 

$

183.3

 

$

189.0

 

$

242.4

 

Property Specialty - Treaty Reinsurance

 

12.3

 

13.1

 

12.2

 

14.7

 

11.6

 

37.6

 

43.6

 

58.3

 

Other Specialty - Treaty Reinsurance

 

35.6

 

31.5

 

38.4

 

39.2

 

37.4

 

105.5

 

104.8

 

144.0

 

Property & Specialty Individual Risk

 

44.6

 

42.3

 

46.6

 

41.0

 

45.5

 

133.5

 

137.0

 

178.0

 

 

 

$

153.0

 

$

146.4

 

$

160.5

 

$

148.3

 

$

155.9

 

$

459.9

 

$

474.4

 

$

622.7

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Reinstatements included in NPE

 

$

2.2

 

$

1.3

 

$

2.7

 

$

2.3

 

$

4.4

 

$

6.2

 

$

25.2

 

$

27.5

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Consolidated 12 Mo. Rolling NPE

 

$

608.2

 

$

611.1

 

$

617.1

 

$

622.7

 

$

636.6

 

 

 

 

 

 

 

 

5


 

 

MONTPELIER RE HOLDINGS LTD.

Natural Catastrophe Risk Management(1)

$ in millions

 

Exposure Management

 

 

 

Net Reinsurance Treaty Limits by Zone(1)

 

 

 

As of June 1, 2012

 

As of January 1, 2012

 

 

 

Treaty Limits

 

% of Sept. 30,
2012
Shareholders’
Equity

 

Treaty Limits

 

% of March 31,
2012
Shareholders’
Equity

 

U.S. Hurricane:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Mid-Atlantic hurricane

 

$

545

 

33

%

$

489

 

30

%

Northeast hurricane

 

402

 

24

%

366

 

23

%

Florida hurricane

 

372

 

22

%

302

 

19

%

Gulf hurricane

 

360

 

22

%

303

 

19

%

Hawaii hurricane

 

180

 

11

%

173

 

11

%

 

 

 

 

 

 

 

 

 

 

U.S. Earthquake:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

New Madrid earthquake

 

$

458

 

27

%

$

541

 

33

%

California earthquake

 

290

 

17

%

369

 

23

%

Northwest earthquake

 

290

 

17

%

360

 

22

%

 

 

 

 

 

 

 

 

 

 

European Windstorm:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

UK & Ireland windstorm

 

$

282

 

17

%

$

303

 

19

%

Western Europe windstorm

 

272

 

16

%

329

 

20

%

Scandinavia windstorm

 

89

 

5

%

111

 

7

%

 

 

 

 

 

 

 

 

 

 

Other Countries:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Japan earthquake

 

$

263

 

16

%

$

295

 

18

%

Canada earthquake

 

231

 

14

%

233

 

14

%

Australia earthquake

 

150

 

9

%

177

 

11

%

Australia cyclone

 

144

 

9

%

171

 

11

%

Turkey earthquake

 

139

 

8

%

162

 

10

%

Japan windstorm

 

131

 

8

%

156

 

10

%

New Zealand earthquake

 

108

 

6

%

161

 

10

%

Chile earthquake

 

102

 

6

%

112

 

7

%

 

Single Event Losses

 

 

 

Net Impact From Single Event Losses by Return Period(2)

 

 

 

As of June 1, 2012

 

As of January 1, 2012

 

 

 

 

 

 

 

% of Sept. 30, 2012

 

 

 

 

 

% of March 31, 2012

 

 

 

Net Impact

 

Shareholders’ Equity

 

Net Impact

 

Shareholders’ Equity

 

 

 

100-year

 

250-year

 

100-year

 

250-year

 

100-year

 

250-year

 

100-year

 

250-year

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Hurricane

 

$

306

 

$

375

 

18

%

22

%

$

247

 

$

302

 

15

%

19

%

U.S. Earthquake

 

180

 

230

 

11

%

14

%

197

 

252

 

12

%

16

%

Europe Windstorm

 

158

 

183

 

9

%

11

%

166

 

190

 

10

%

12

%

 

(1) This disclosure should be read in conjunction with item 1A “Risk Factors” included in our Annual Report on Form 10-K for the year ended December 31, 2011, as filed with the Securities and Exchange Commission.

(2) A “100-year” return period can also be referred to as the 1.0% occurrence exceedance probability (“OEP”) meaning there is a 1.0% chance in any given year that this level will be exceeded.  A “250-year” return period can also be referred to as the 0.4% OEP meaning there is a 0.4% chance in any given year that this level will be exceeded.

 

6


 

 

MONTPELIER RE HOLDINGS LTD.

Rollforward of Loss Reserves (unaudited)

in millions

 

 

 

Three months ended September 30, 2012

 

Three months ended September 30, 2011

 

 

 

Gross

 

Recoveries

 

Net

 

Gross

 

Recoveries

 

Net

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Reserve for unpaid losses, beginning of period

 

$

1,029.9

 

$

78.8

 

$

951.1

 

$

1,031.1

 

$

73.8

 

$

957.3

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Losses incurred:

 

 

 

 

 

 

 

 

 

 

 

 

 

Current year

 

80.1

 

7.1

 

73.0

 

168.7

 

12.0

 

156.7

 

Prior years

 

(18.4

)

(2.7

)

(15.7

)

(20.3

)

(2.3

)

(18.0

)

Total losses incurred

 

61.7

 

4.4

 

57.3

 

148.4

 

9.7

 

138.7

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net foreign currency translation movements on loss and LAE

 

13.0

 

1.3

 

11.7

 

(7.2

)

(0.5

)

(6.7

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Losses paid and approved for payment:

 

 

 

 

 

 

 

 

 

 

 

 

 

Current year

 

(18.4

)

(2.6

)

(15.8

)

(71.7

)

(5.0

)

(66.7

)

Prior years

 

(46.8

)

(1.7

)

(45.1

)

(44.0

)

(3.3

)

(40.7

)

Total paid losses

 

(65.2

)

(4.3

)

(60.9

)

(115.7

)

(8.3

)

(107.4

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Reserve for unpaid losses, end of period

 

$

1,039.4

 

$

80.2

 

$

959.2

 

$

1,056.6

 

$

74.7

 

$

981.9

 

 

 

 

YTD September 30, 2012

 

YTD September 30, 2011

 

 

 

Gross

 

Recoveries

 

Net

 

Gross

 

Recoveries

 

Net

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Reserve for unpaid losses, beginning of period

 

$

1,077.1

 

$

77.7

 

$

999.4

 

$

784.6

 

$

62.4

 

$

722.2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Losses incurred:

 

 

 

 

 

 

 

 

 

 

 

 

 

Current year

 

235.7

 

16.1

 

219.6

 

589.2

 

26.4

 

562.8

 

Prior years

 

(66.3

)

(5.2

)

(61.1

)

(71.2

)

0.1

 

(71.3

)

Total losses incurred

 

169.4

 

10.9

 

158.5

 

518.0

 

26.5

 

491.5

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net foreign currency translation movements on loss and LAE

 

11.8

 

1.3

 

10.5

 

(1.6

)

0.1

 

(1.7

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Losses paid and approved for payment:

 

 

 

 

 

 

 

 

 

 

 

 

 

Current year

 

(28.3

)

(3.4

)

(24.9

)

(93.0

)

(5.7

)

(87.3

)

Prior years

 

(190.6

)

(6.3

)

(184.3

)

(151.4

)

(8.6

)

(142.8

)

Total paid losses

 

(218.9

)

(9.7

)

(209.2

)

(244.4

)

(14.3

)

(230.1

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Reserve for unpaid losses, end of period

 

$

1,039.4

 

$

80.2

 

$

959.2

 

$

1,056.6

 

$

74.7

 

$

981.9

 

 

7


 

 

MONTPELIER RE HOLDINGS LTD.

Consolidated Losses and Loss Ratios

(unaudited)

$ in millions

 

 

 

 

 

 

 

 

 

 

 

 

 

YTD

 

YTD

 

Year

 

 

 

Q3-12

 

Q2-12

 

Q1-12

 

Q4-11

 

Q3-11

 

2012

 

2011

 

2011

 

Property Catastrophe - Treaty

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net reserves: start

 

$

299.2

 

$

323.8

 

$

362.9

 

$

373.8

 

$

375.3

 

$

362.9

 

$

200.5

 

$

200.5

 

Change in prior AY

 

(5.3

)

(10.7

)

(4.8

)

(1.7

)

(10.3

)

(20.8

)

(15.5

)

(17.2

)

Losses paid and approved for payment

 

(23.6

)

(26.7

)

(42.7

)

(56.8

)

(74.7

)

(93.0

)

(119.1

)

(175.9

)

Current yr. incurred losses

 

18.8

 

12.8

 

8.4

 

47.6

 

83.5

 

40.0

 

307.9

 

355.5

 

Net reserves sold - MUSIC

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net reserves: end

 

$

289.1

 

$

299.2

 

$

323.8

 

$

362.9

 

$

373.8

 

$

289.1

 

$

373.8

 

$

362.9

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net earned premium

 

$

60.5

 

$

59.5

 

$

63.3

 

$

53.4

 

$

61.4

 

183.3

 

189.0

 

$

242.4

 

Net loss ratio

 

22.3

%

3.5

%

5.7

%

86.0

%

119.2

%

10.5

%

154.7

%

139.6

%

Net loss ratio excl. prior AY adjusts.

 

31.1

%

21.5

%

13.3

%

89.2

%

136.0

%

21.8

%

162.9

%

146.7

%

Net loss ratio - prior AY adjusts.

 

-8.8

%

-18.0

%

-7.6

%

-3.2

%

-16.8

%

-11.3

%

-8.2

%

-7.1

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

IBNR

 

$

115.1

 

$

113.7

 

$

136.2

 

$

152.4

 

$

187.6

 

 

 

 

 

 

 

IBNR as a % of net reserves

 

40

%

38

%

42

%

42

%

50

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Property Specialty - Treaty

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net reserves: start

 

$

133.9

 

$

133.7

 

$

146.4

 

$

144.7

 

$

149.4

 

$

146.4

 

$

139.1

 

$

139.1

 

Change in prior AY

 

(5.6

)

2.8

 

(9.6

)

(5.5

)

(3.0

)

(12.4

)

(18.1

)

(23.6

)

Losses paid and approved for payment

 

(9.4

)

(13.0

)

(10.3

)

(10.9

)

(10.4

)

(32.7

)

(31.9

)

(42.8

)

Current yr. incurred losses

 

7.1

 

10.4

 

7.2

 

18.1

 

8.7

 

24.7

 

55.6

 

73.7

 

Net reserves sold - MUSIC

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net reserves: end

 

$

126.0

 

$

133.9

 

$

133.7

 

$

146.4

 

$

144.7

 

$

126.0

 

$

144.7

 

$

146.4

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net earned premium

 

$

12.3

 

$

13.1

 

$

12.2

 

$

14.7

 

$

11.6

 

37.6

 

43.6

 

$

58.3

 

Net loss ratio

 

12.2

%

100.8

%

-19.7

%

85.7

%

49.1

%

32.7

%

86.0

%

85.9

%

Net loss ratio excl. prior AY adjusts.

 

57.7

%

79.4

%

59.0

%

123.1

%

75.0

%

65.7

%

127.5

%

126.4

%

Net loss ratio - prior AY adjusts.

 

-45.5

%

21.4

%

-78.7

%

-37.4

%

-25.9

%

-33.0

%

-41.5

%

-40.5

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

IBNR

 

$

70.9

 

$

76.8

 

$

71.9

 

$

78.6

 

$

76.6

 

 

 

 

 

 

 

IBNR as a % of net reserves

 

56

%

57

%

54

%

54

%

53

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Other Specialty - Treaty

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net reserves: start

 

$

274.6

 

$

275.8

 

$

268.6

 

$

259.7

 

$

242.0

 

$

268.6

 

$

246.7

 

$

246.7

 

Change in prior AY

 

(4.0

)

(13.2

)

(5.0

)

(8.6

)

(3.1

)

(22.2

)

(16.5

)

(25.1

)

Losses paid and approved for payment

 

(7.6

)

(9.5

)

(10.2

)

(10.2

)

(5.5

)

(27.3

)

(35.0

)

(45.2

)

Current yr. incurred losses

 

25.4

 

21.5

 

22.4

 

27.7

 

26.3

 

69.3

 

64.5

 

92.2

 

Net reserves sold - MUSIC

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net reserves: end

 

$

288.4

 

$

274.6

 

$

275.8

 

$

268.6

 

$

259.7

 

$

288.4

 

$

259.7

 

$

268.6

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net earned premium

 

$

35.6

 

$

31.5

 

$

38.4

 

$

39.2

 

$

37.4

 

105.5

 

104.8

 

$

144.0

 

Net loss ratio

 

60.1

%

26.3

%

45.3

%

48.7

%

62.0

%

44.6

%

45.8

%

46.6

%

Net loss ratio excl. prior AY adjusts.

 

71.3

%

68.2

%

58.3

%

70.6

%

70.3

%

65.6

%

61.5

%

64.0

%

Net loss ratio - prior AY adjusts.

 

-11.2

%

-41.9

%

-13.0

%

-21.9

%

-8.3

%

-21.0

%

-15.7

%

-17.4

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

IBNR

 

$

207.9

 

$

202.9

 

$

209.0

 

$

201.8

 

$

198.8

 

 

 

 

 

 

 

IBNR as a % of net reserves

 

72

%

74

%

76

%

75

%

77

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Property and Specialty Individual Risk

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net reserves: start

 

$

249.1

 

$

228.2

 

$

226.0

 

$

207.9

 

$

188.1

 

$

226.0

 

$

138.4

 

$

138.4

 

Change in prior AY

 

(0.8

)

4.4

 

(9.3

)

(2.2

)

(1.6

)

(5.7

)

(21.2

)

(23.4

)

Losses paid and approved for payment

 

(20.3

)

(12.7

)

(23.2

)

(10.1

)

(16.8

)

(56.2

)

(44.1

)

(54.2

)

Current yr. incurred losses

 

21.7

 

29.2

 

34.7

 

45.2

 

38.2

 

85.6

 

134.8

 

180.0

 

Net reserves sold - MUSIC

 

—

 

—

 

—

 

(14.8

)

—

 

 

 

 

 

(14.8

)

Net reserves: end

 

$

249.7

 

$

249.1

 

$

228.2

 

$

226.0

 

$

207.9

 

$

249.7

 

$

207.9

 

$

226.0

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net earned premium

 

$

44.6

 

$

42.3

 

$

46.6

 

$

41.0

 

$

45.5

 

133.5

 

137.0

 

$

178.0

 

Net loss ratio

 

46.9

%

79.4

%

54.5

%

104.9

%

80.4

%

59.9

%

82.9

%

88.0

%

Net loss ratio excl. prior AY adjusts.

 

48.7

%

69.0

%

74.5

%

110.3

%

83.9

%

64.2

%

98.4

%

101.1

%

Net loss ratio - prior AY adjusts.

 

-1.8

%

10.4

%

-20.0

%

-5.4

%

-3.5

%

-4.3

%

-15.5

%

-13.1

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

IBNR

 

$

129.1

 

$

120.3

 

$

105.5

 

$

124.8

 

$

120.5

 

 

 

 

 

 

 

IBNR as a % of net reserves

 

52

%

48

%

46

%

55

%

58

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

TOTAL

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net reserves: start

 

$

951.1

 

$

964.6

 

$

999.4

 

$

981.9

 

$

957.3

 

$

999.4

 

$

722.2

 

$

722.2

 

Change in prior AY

 

(15.7

)

(16.7

)

(28.7

)

(18.0

)

(18.0

)

(61.1

)

(71.3

)

(89.3

)

Losses paid and approved for payment

 

(60.9

)

(61.9

)

(86.4

)

(88.0

)

(107.4

)

(209.2

)

(230.1

)

(318.1

)

Current yr. incurred losses

 

73.0

 

73.9

 

72.7

 

138.6

 

156.7

 

219.6

 

562.8

 

701.4

 

Net reserves sold - MUSIC

 

—

 

—

 

—

 

(14.8

)

—

 

—

 

—

 

(14.8

)

Net impact of foreign currency

 

11.7

 

(8.8

)

7.6

 

(0.3

)

(6.7

)

10.5

 

(1.7

)

(2.0

)

Net reserves: end

 

$

959.2

 

$

951.1

 

$

964.6

 

$

999.4

 

$

981.9

 

$

959.2

 

$

981.9

 

$

999.4

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net earned premium

 

$

153.0

 

$

146.4

 

$

160.5

 

$

148.3

 

$

155.9

 

$

459.9

 

$

474.4

 

$

622.7

 

Net loss ratio

 

37.4

%

39.1

%

27.4

%

81.3

%

89.0

%

34.4

%

103.6

%

98.3

%

Net loss ratio excl. prior AY adjusts.

 

47.7

%

50.5

%

45.3

%

93.4

%

100.5

%

47.7

%

118.6

%

112.6

%

Net loss ratio - prior AY adjusts.

 

-10.3

%

-11.4

%

-17.9

%

-12.1

%

-11.5

%

-13.3

%

-15.0

%

-14.3

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

IBNR

 

$

523.0

 

$

513.7

 

$

522.6

 

$

557.6

 

$

583.5

 

 

 

 

 

 

 

IBNR as a % of net reserves

 

55

%

54

%

54

%

56

%

59

%

 

 

 

 

 

 

 

8


 

 

MONTPELIER RE HOLDINGS LTD.
Consolidated Investment Portfolio (unaudited)
$ in millions

 

 

 

September 30, 2012

 

June 30, 2012

 

March 31, 2012

 

December 31, 2011

 

September 30, 2011

 

 

 

Amortized

 

Unrealized

 

Fair

 

 

 

Fair

 

 

 

Fair

 

 

 

Fair

 

 

 

Fair

 

 

 

 

 

Cost

 

Gain

 

Value

 

%

 

Value

 

%

 

Value

 

%

 

Value

 

%

 

Value

 

%

 

Composition:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fixed maturities

 

$

2,617.1

 

$

80.5

 

$

2,697.6

 

81

%

$

2,425.9

 

76

%

$

2,544.8

 

80

%

$

2,390.2

 

79

%

$

2,309.2

 

76

%

Equity securities

 

38.9

 

2.0

 

40.9

 

1

%

37.2

 

1

%

39.8

 

1

%

96.1

 

3

%

106.2

 

4

%

Other investments

 

101.6

 

0.6

 

102.2

 

3

%

109.9

 

3

%

94.9

 

3

%

102.4

 

3

%

72.3

 

2

%

Cash equivalents

 

137.8

 

—

 

137.8

 

4

%

195.5

 

6

%

193.2

 

6

%

34.8

 

1

%

84.0

 

3

%

Cash and restricted cash

 

377.3

 

—

 

377.3

 

11

%

456.8

 

14

%

328.6

 

10

%

433.9

 

14

%

447.9

 

15

%

Total investments and cash (1)

 

$

3,272.7

 

$

83.1

 

$

3,355.8

 

100

%

$

3,225.3

 

100

%

$

3,201.3

 

100

%

$

3,057.4

 

100

%

$

3,019.6

 

100

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fixed maturities allocation:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Mortgage-backed and asset-backed securities (2)

 

$

1,009.8

 

$

28.7

 

$

1,038.5

 

38

%

$

975.5

 

40

%

$

933.0

 

37

%

$

896.9

 

37

%

$

940.2

 

40

%

Government & government-sponsored entities

 

632.7

 

12.9

 

645.6

 

24

%

438.2

 

18

%

555.3

 

22

%

542.5

 

23

%

437.0

 

19

%

Corporate bonds (3)

 

910.5

 

31.7

 

942.2

 

35

%

937.9

 

39

%

978.3

 

38

%

886.2

 

37

%

867.0

 

38

%

Municipal bonds

 

64.1

 

7.2

 

71.3

 

3

%

74.3

 

3

%

78.2

 

3

%

64.6

 

3

%

65.0

 

3

%

Total fixed maturities

 

$

2,617.1

 

$

80.5

 

$

2,697.6

 

100

%

$

2,425.9

 

100

%

$

2,544.8

 

100

%

$

2,390.2

 

100

%

$

2,309.2

 

100

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Other investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Limited partnership interests and private investment funds

 

$

90.7

 

$

(3.0

)

$

87.7

 

86

%

$

97.2

 

89

%

$

79.8

 

84

%

$

89.2

 

87

%

$

64.6

 

90

%

Catastrophe bonds

 

10.0

 

(0.0

)

10.0

 

10

%

10.0

 

9

%

10.0

 

11

%

10.2

 

10

%

10.4

 

14

%

Derivative instruments

 

0.9

 

3.6

 

4.5

 

4

%

2.7

 

2

%

5.0

 

5

%

3.0

 

3

%

(2.7

)

-4

%

Total other investments

 

$

101.6

 

$

0.6

 

$

102.2

 

100

%

$

109.9

 

100

%

$

94.9

 

100

%

$

102.4

 

100

%

$

72.3

 

100

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total investment return:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

 

 

 

$

15.5

 

 

 

$

17.2

 

 

 

$

17.6

 

 

 

$

17.1

 

 

 

$

17.0

 

 

 

Net income (loss) from investment-related derivative instruments

 

 

 

 

 

0.4

 

 

 

0.1

 

 

 

—

 

 

 

(0.2

)

 

 

(0.4

)

 

 

Net realized investment gains

 

 

 

 

 

14.9

 

 

 

7.4

 

 

 

28.2

 

 

 

9.1

 

 

 

13.3

 

 

 

Net unrealized investment gains (losses)

 

 

 

 

 

18.3

 

 

 

5.9

 

 

 

4.2

 

 

 

22.4

 

 

 

(44.6

)

 

 

Net gains (losses) from investment-related derivative instruments

 

 

 

 

 

(2.1

)

 

 

0.8

 

 

 

1.7

 

 

 

(2.7

)

 

 

(5.7

)

 

 

Net investment FX gains (losses) from managed cash and investments

 

 

 

 

 

0.4

 

 

 

0.1

 

 

 

(0.8

)

 

 

—

 

 

 

(2.9

)

 

 

Total investment return

 

 

 

 

 

$

47.4

 

 

 

$

31.5

 

 

 

$

50.9

 

 

 

$

45.7

 

 

 

$

(23.3

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total quarterly return on average fair value %(4)

 

 

 

 

 

1.6

%

 

 

1.1

%

 

 

1.7

%

 

 

1.6

%

 

 

-0.8

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Average market yield to worst of fixed maturities and cash equivalents (5)

 

 

 

 

 

2.0

%

 

 

2.5

%

 

 

2.9

%

 

 

3.2

%

 

 

3.7

%

 

 

Average duration of fixed maturities, cash and cash equivalents (5)

 

 

 

 

 

3.0 years

 

 

 

2.6 years

 

 

 

2.7 years

 

 

 

2.5 years

 

 

 

2.6 years

 

 

 

Average credit quality of fixed maturities and cash equivalents (5)

 

 

 

 

 

AA-

 

 

 

AA-

 

 

 

AA-

 

 

 

AA-

 

 

 

AA-

 

 

 

Average duration of fixed maturities (5)

 

 

 

 

 

3.2 years

 

 

 

3.0 years

 

 

 

3.1 years

 

 

 

3.0 years

 

 

 

2.9 years

 

 

 

 

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

(2) See Page 10 for additional detail regarding our investments in mortgage-backed and asset-backed securities.

(3) Corporate bonds includes bank loans.  See page 11 for additional details.

(4) Excludes net gains (losses) from non-investment FX hedging activities which are undertaken solely to hedge our insurance balances that are exposed to FX movements. These fx forwards are presented within our other investments.

(5) Net of short positions and excluding operational cash.

 

 

9


 

 

MONTPELIER RE HOLDINGS LTD.

Consolidated Investment Detail
Mortgage-Backed and Asset-Backed Securities 
(unaudited)
$ in millions

 

At September 30, 2012

 

 

 

 

 

 

 

 

 

 

 

Option

 

 

 

Fair Value

 

 

 

Amortized

 

Fair

 

Gain

 

 

 

Adjusted

 

Average

 

 

 

 

 

Insurance (1)

 

 

 

Cost

 

Value

 

(Loss)

 

Rating

 

Duration

 

Life

 

Subprime

 

Alt-A

 

wrapped

 

Mortgage-backed and asset-backed securities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Residential-Mortgage Backed:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

GNMA

 

$

43.8

 

$

46.1

 

$

2.3

 

AA

 

 

 

 

 

 

 

 

 

 

 

FNMA

 

238.8

 

243.1

 

4.3

 

AA

 

 

 

 

 

 

 

 

 

 

 

Freddie Mac

 

211.9

 

222.0

 

10.1

 

AA

 

 

 

 

 

 

 

 

 

 

 

Total Residential Mortgage-Backed

 

$

494.5

 

$

511.2

 

$

16.7

 

AA

 

3.0

 

4.4

 

$

—

 

$

—

 

$

—

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Collateralized Residential Mortgage Obligations:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

GNMA

 

$

38.5

 

$

39.7

 

$

1.2

 

AA

 

 

 

 

 

 

 

 

 

 

 

FNMA

 

15.1

 

14.9

 

(0.2

)

AA

 

 

 

 

 

 

 

 

 

 

 

Freddie Mac

 

65.7

 

66.8

 

1.1

 

AA

 

 

 

 

 

 

 

 

 

 

 

Other

 

0.8

 

0.8

 

—

 

AA

 

 

 

 

 

 

 

 

 

 

 

Total agency CMOS

 

120.1

 

122.2

 

2.1

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Non-agency CMOS

 

27.9

 

28.1

 

0.2

 

AAA

 

 

 

 

 

0.8

 

$

2.1

 

 

 

Non-agency CMOS

 

1.4

 

1.4

 

—

 

AA

 

 

 

 

 

1.4

 

 

 

 

 

Non-agency CMOS

 

4.8

 

4.9

 

0.1

 

A

 

 

 

 

 

1.9

 

 

 

 

 

Non-agency CMOS

 

8.9

 

9.1

 

0.2

 

BB

 

 

 

 

 

4.3

 

0.2

 

 

 

Non-agency CMOS

 

3.5

 

3.6

 

0.1

 

B

 

 

 

 

 

0.7

 

1.0

 

 

 

Non-agency CMOS

 

2.9

 

2.9

 

—

 

CCC

 

 

 

 

 

0.4

 

1.5

 

 

 

Non-agency CMOS

 

0.8

 

1.0

 

0.2

 

CC

 

 

 

 

 

 

 

 

 

 

 

Non-agency CMOS

 

2.0

 

1.8

 

(0.2

)

C

 

 

 

 

 

0.6

 

 

 

 

 

Non-agency CMOS

 

1.2

 

1.2

 

—

 

D

 

 

 

 

 

 

 

0.5

 

 

 

Total Non-agency CMOS

 

53.4

 

54.0

 

0.6

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Collateralized Residential Mortgage Obligations

 

$

173.5

 

$

176.2

 

$

2.7

 

AA

 

2.3

 

4.3

 

$

10.1

 

$

5.3

 

$

—

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Asset-Backed Securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit card

 

$

55.0

 

$

56.2

 

$

1.2

 

AAA

 

 

 

 

 

 

 

 

 

 

 

Credit card

 

9.3

 

9.4

 

0.1

 

A

 

 

 

 

 

 

 

 

 

 

 

Auto

 

88.0

 

89.1

 

1.1

 

AAA

 

 

 

 

 

 

 

 

 

 

 

Auto

 

10.5

 

10.7

 

0.2

 

AA

 

 

 

 

 

 

 

 

 

 

 

Auto

 

3.4

 

3.4

 

—

 

A

 

 

 

 

 

 

 

 

 

 

 

Auto

 

0.9

 

0.9

 

—

 

BBB

 

 

 

 

 

 

 

 

 

$

0.5

 

Equipment

 

3.2

 

3.2

 

—

 

AAA

 

 

 

 

 

 

 

 

 

 

 

Equipment

 

0.5

 

0.5

 

—

 

AA

 

 

 

 

 

 

 

 

 

 

 

Equipment

 

0.3

 

0.3

 

—

 

NR

 

 

 

 

 

 

 

 

 

 

 

Commercial Mortgage Backed Securities

 

101.5

 

106.7

 

5.2

 

AAA

 

 

 

 

 

 

 

 

 

 

 

Commercial Mortgage Backed Securities

 

8.2

 

8.5

 

0.3

 

AA

 

 

 

 

 

 

 

 

 

 

 

Commercial Mortgage Backed Securities

 

6.7

 

7.2

 

0.5

 

A

 

 

 

 

 

 

 

 

 

 

 

Commercial Mortgage Backed Securities

 

2.6

 

2.7

 

0.1

 

BBB

 

 

 

 

 

 

 

 

 

 

 

Commercial Mortgage Backed Securities

 

1.7

 

1.7

 

—

 

BB

 

 

 

 

 

 

 

 

 

 

 

Commercial Mortgage Backed Securities

 

3.9

 

4.0

 

0.1

 

NR

 

 

 

 

 

 

 

 

 

 

 

Miscellaneous

 

12.0

 

12.2

 

0.2

 

AAA

 

 

 

 

 

 

 

 

 

 

 

Miscellaneous

 

12.1

 

12.1

 

—

 

AA

 

 

 

 

 

 

 

 

 

 

 

Miscellaneous

 

19.4

 

19.7

 

0.3

 

A

 

 

 

 

 

 

 

 

 

$

0.1

 

Miscellaneous

 

2.6

 

2.6

 

—

 

BBB

 

 

 

 

 

 

 

 

 

1.6

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Asset-Backed Securities

 

$

341.8

 

$

351.1

 

$

9.3

 

AA

 

1.9

 

3.0

 

$

—

 

$

—

 

$

2.2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Mortgage-Backed and Asset-Backed Securities

 

$

1,009.8

 

$

1,038.5

 

$

28.7

 

 

 

 

 

 

 

$

10.1

 

$

5.3

 

$

2.2

 

 

(1) We estimate that our insurance wrapped investments at 9/30/12 would be BBB- or better, if they were rated, excluding the effects of financial guarantee enhancements.

 

10


 

 

MONTPELIER RE HOLDINGS LTD.

Consolidated Investment Detail - Corporate Bonds

(unaudited)

$ in millions

 

At September 30, 2012

 

Corporate Bonds - Quality: (1)

 

 

 

 

 

 

 

 

 

Option

 

 

 

 

 

 

 

 

 

Adjusted

 

 

 

Amortized

 

Fair

 

Gain

 

Duration

 

 

 

Cost

 

Value

 

(Loss)

 

(Years)

 

 

 

 

 

 

 

 

 

 

 

AAA

 

$

23.7

 

$

24.3

 

$

0.6

 

3.1

 

AA

 

53.1

 

54.5

 

1.4

 

2.6

 

A

 

309.6

 

323.1

 

13.5

 

3.0

 

BBB

 

225.8

 

235.4

 

9.6

 

4.9

 

Below BBB

 

288.7

 

295.3

 

6.6

 

2.9

 

Not Rated

 

9.6

 

9.6

 

—

 

1.2

 

 

 

 

 

 

 

 

 

 

 

Total Corporate Bonds

 

$

910.5

 

$

942.2

 

$

31.7

 

3.4

 

 

Corporate Bonds - Top Ten Holdings:

 

 

 

 

 

 

 

 

 

% of

 

 

 

Amortized

 

Fair

 

 

 

Total Corp.

 

 

 

Cost

 

Value

 

Gain

 

Bonds

 

 

 

 

 

 

 

 

 

 

 

General Electric

 

$

18.6

 

$

19.4

 

$

0.8

 

2.1

%

Bank of America Corp

 

17.8

 

18.7

 

0.9

 

2.0

%

BP Capital

 

17.2

 

18.0

 

0.8

 

1.9

%

JP Morgan Chase

 

17.0

 

17.9

 

0.9

 

1.9

%

Goldman Sachs Group

 

14.3

 

15.4

 

1.1

 

1.6

%

Citigroup Inc

 

13.9

 

14.5

 

0.6

 

1.5

%

Wal-Mart Stores Inc

 

12.5

 

12.8

 

0.3

 

1.4

%

Schlumberger Ltd

 

12.1

 

12.3

 

0.2

 

1.3

%

Coca-Cola Co

 

11.4

 

12.0

 

0.6

 

1.3

%

Chesapeake Enercy Corp

 

11.7

 

11.9

 

0.2

 

1.3

%

 

 

 

 

 

 

 

 

 

 

Total

 

$

146.5

 

$

152.9

 

$

6.4

 

16.2

%

 

Corporate Bonds -  By Sector: (1)

 

 

 

 

 

 

 

 

 

Option

 

 

 

 

 

 

 

 

 

Adjusted

 

 

 

Amortized

 

Fair

 

Gain

 

Duration

 

 

 

Cost

 

Value

 

(Loss)

 

(Years)

 

 

 

 

 

 

 

 

 

 

 

Industrial

 

$

520.7

 

$

538.7

 

$

18.0

 

3.5

 

Financial

 

232.3

 

242.3

 

10.0

 

3.1

 

Utility

 

28.1

 

29.0

 

0.9

 

3.9

 

All Others

 

129.4

 

132.2

 

2.8

 

2.8

 

Total

 

$

910.5

 

$

942.2

 

$

31.7

 

3.3

 

 

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

 

11


 

 

MONTPELIER RE HOLDINGS LTD.

Reinsurance Recoverable by Rating (unaudited)

$ in millions

 

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

 

 

 

September 30

 

June 30

 

March 31

 

December 31

 

September 30

 

 

 

2012

 

2012

 

2012

 

2011

 

2011

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Reinsurance recoverable on paid losses

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

A++

 

$

—

 

—

%

$

—

 

—

%

$

—

 

—

%

$

—

 

—

%

$

—

 

—

%

A+

 

0.8

 

15

 

1.4

 

40

 

1.5

 

47

 

3.2

 

42

 

1.7

 

24

 

A

 

2.7

 

51

 

1.8

 

51

 

1.7

 

53

 

4.4

 

57

 

4.6

 

63

 

A-

 

0.5

 

9

 

0.2

 

6

 

—

 

—

 

0.1

 

1

 

0.5

 

7

 

Unrated (1)

 

1.3

 

25

 

0.1

 

3

 

—

 

—

 

—

 

—

 

0.4

 

6

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

5.3

 

100

%

$

3.5

 

100

%

$

3.2

 

100

%

$

7.7

 

100

%

$

7.2

 

100

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Reinsurance recoverable on unpaid losses

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

A++

 

$

—

 

—

%

$

—

 

—

%

$

—

 

—

%

$

—

 

—

%

$

—

 

—

%

A+

 

22.3

 

28

 

22.4

 

28

 

22.2

 

31

 

23.6

 

30

 

21.2

 

28

 

A

 

27.9

 

35

 

27.2

 

35

 

25.0

 

35

 

27.5

 

35

 

28.8

 

39

 

A-

 

4.8

 

6

 

3.8

 

5

 

2.8

 

4

 

2.8

 

4

 

3.4

 

5

 

Unrated (1)

 

25.2

 

31

 

25.4

 

32

 

21.1

 

30

 

23.8

 

31

 

21.3

 

28

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

80.2

 

100

%

$

78.8

 

100

%

$

71.1

 

100

%

$

77.7

 

100

%

$

74.7

 

100

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total reinsurance recoverable

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

A++

 

$

—

 

—

%

$

—

 

—

%

$

—

 

—

%

$

—

 

—

%

$

—

 

—

%

A+

 

23.1

 

27

 

23.8

 

29

 

23.7

 

32

 

26.8

 

31

 

22.9

 

28

 

A

 

30.6

 

36

 

29.0

 

35

 

26.7

 

36

 

31.9

 

38

 

33.4

 

41

 

A-

 

5.3

 

6

 

4.0

 

5

 

2.8

 

4

 

2.9

 

3

 

3.9

 

5

 

Unrated (1)

 

26.5

 

31

 

25.5

 

31

 

21.1

 

28

 

23.8

 

28

 

21.7

 

26

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

85.5

 

100

%

$

82.3

 

100

%

$

74.3

 

100

%

$

85.4

 

100

%

$

81.9

 

100

%

 

(1)  These obligations are either: (i) fully collateralized; (ii) reinsurer has an S&P financial strength rating equivalent to an A.M. Best rating of A- or better; or (iii) reinsurer is considered by management to be financially sound.

 

12


 

 

MONTPELIER RE HOLDINGS LTD.

Fully Converted Tangible Book Value Per Common Share (unaudited)

$ in millions, except per share amounts

 

 

 

September 30

 

June 30

 

March 31

 

December 31

 

September 30

 

 

 

2012

 

2012

 

2012

 

2011

 

2011

 

 

 

 

 

 

 

 

 

 

 

 

 

Numerators

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

$

1,524.0

 

$

1,474.7

 

$

1,465.1

 

$

1,399.3

 

$

1,400.4

 

 

 

 

 

 

 

 

 

 

 

 

 

Intangible asset

 

—

 

—

 

—

 

—

 

(4.8

)

 

 

 

 

 

 

 

 

 

 

 

 

Fully converted tangible book value per common share numerator

 

$

1,524.0

 

$

1,474.7

 

$

1,465.1

 

$

1,399.3

 

$

1,395.6

 

 

 

 

 

 

 

 

 

 

 

 

 

Denominators (in common shares)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Book value per share common denominator (ending common shares)

 

55,522,489

 

56,561,997

 

58,923,505

 

60,864,174

 

61,584,974

 

 

 

 

 

 

 

 

 

 

 

 

 

Common share obligations under benefit plans

 

1,741,326

 

1,588,443

 

1,376,701

 

761,279

 

1,336,222

 

 

 

 

 

 

 

 

 

 

 

 

 

Fully converted tangible book value per common share denominator

 

57,263,815

 

58,150,440

 

60,300,206

 

61,625,453

 

62,921,196

 

 

 

 

 

 

 

 

 

 

 

 

 

Book value per common share

 

$

27.45

 

$

26.07

 

$

24.86

 

$

22.99

 

$

22.74

 

Fully converted book value per common share

 

$

26.61

 

$

25.36

 

$

24.30

 

$

22.71

 

$

22.26

 

Fully converted tangible book value per common share

 

$

26.61

 

$

25.36

 

$

24.30

 

$

22.71

 

$

22.18

 

 

 

 

 

 

 

 

 

 

 

 

 

Dividends declared per common share

 

$

0.105

 

$

0.105

 

$

0.105

 

$

0.105

 

$

0.10

 

Change in FCTBVPCS (1) Quarter

 

4.9

%

4.4

%

7.0

%

2.4

%

-4.8

%

Change in FCTBVPCS adjusted for dividends (2) Quarter

 

5.3

%

4.8

%

7.5

%

2.9

%

-4.3

%

Change in FCTBVPCS adjusted for dividends (2) YTD

 

18.6

%

12.6

%

7.5

%

-5.8

%

-8.4

%

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

 

22.0

%

10.7

%

7.3

%

-5.8

%

-4.8

%

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

 

10.2

%

 

 

 

 

 

 

 

 

 

(1) FCTBVPCS = Fully converted tangible book value per common share.  See Page 15 for information regarding our use of Non-GAAP Financial Measures.

 

(2) Change in FCTBVPCS adjusted for dividends represents the change in fully converted tangible book value per common share after taking into account common share dividends declared for the period.  See page 15 for information regarding our use of Non-GAAP Financial Measures.

 

13


 

 

MONTPELIER RE HOLDINGS LTD.

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

$ in millions, except per share amounts

 

 

 

 

 

 

 

 

 

 

 

 

 

YTD

 

YTD

 

Year

 

 

 

Q3-12

 

Q2-12

 

Q1-12

 

Q4-11

 

Q3-11

 

2012

 

2011

 

2011

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Numerator

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

$

48.5

 

$

43.6

 

$

75.7

 

$

(16.2

)

$

(24.9

)

$

167.8

 

$

(138.2

)

$

(154.4

)

Adjustment to operating income related to participating securities

 

(1.3

)

(1.0

)

(1.6

)

—

 

—

 

(3.9

)

—

 

—

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

$

47.2

 

$

42.6

 

$

74.1

 

$

(16.2

)

$

(24.9

)

$

163.9

 

$

(138.2

)

$

(154.4

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment and foreign exchange gains (losses)

 

23.2

 

18.5

 

31.4

 

30.1

 

(41.3

)

73.1

 

(11.1

)

19.0

 

Gain on sale of MUSIC

 

—

 

—

 

—

 

11.1

 

—

 

—

 

—

 

11.1

 

Adjustment to net income related to participating securities

 

(0.6

)

(0.4

)

(0.6

)

(0.3

)

—

 

(1.7

)

—

 

—

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

$

69.8

 

$

60.7

 

$

104.9

 

$

24.7

 

$

(66.2

)

$

235.3

 

$

(149.3

)

$

(124.3

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Denominator

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Average common shares outstanding

 

55,653,966

 

57,257,343

 

60,205,184

 

61,018,441

 

61,582,837

 

57,705,498

 

62,226,531

 

61,763,585

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Operating income (loss) available to common shareholders per share

 

$

0.85

 

$

0.74

 

$

1.23

 

$

(0.27

)

$

(0.40

)

$

2.84

 

$

(2.23

)

$

(2.50

)

Net income (loss) available to common shareholders per share

 

$

1.25

 

$

1.06

 

$

1.74

 

$

0.40

 

$

(1.07

)

$

4.08

 

$

(2.41

)

$

(2.01

)

 

(1) Excludes net investment and foreign exchange gains and losses. See Page 3 for the computation of our operating income (loss) available to common shareholders and page 15 for information regarding our use of Non-GAAP Financial Measures.

 

14


 

 

MONTPELIER RE HOLDINGS LTD.

Financial Measures Disclosures

 

Non-GAAP Financial Measures Disclosures

 

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

 

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

 

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

 

15

MONTPELIER RE HOLDINGS LTD Reports