MONTPELIER RE HOLDINGS LTD - FORM 8-K - EX-99.2

Attached files

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8-K - 8-K - MONTPELIER RE HOLDINGS LTD	a15-4011_18k.htm
EX-99.1 - EX-99.1 - MONTPELIER RE HOLDINGS LTD	a15-4011_1ex99d1.htm

Exhibit 99.2

	Financial Supplement
	December 31, 2014
contact: Laura Newhook
telephone: +1(441) 278 5067 email: laura.newhook@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, 2013, 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 results or future dividends on, or repurchases of, our common shares or preferred shares to change include, but are not 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 effectively execute the business plans of the Company, its subsidiaries and any new ventures that it may enter into; 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 processes, which are 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, including our dependency on the loss information we receive from cedants and brokers; 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 Company and 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 and interest rate 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 and LAE Reserves

8		Losses and Loss Ratios by Line of Business

9		Consolidated Investment Portfolio

10		Reinsurance Recoverable by Rating

11		Fully Converted Book Value Per Common Share

12		Income Available to the Company’s Common Shareholders Per Share

13		Non-GAAP Financial Measures

MONTPELIER RE HOLDINGS LTD.

Consolidated Financial Highlights (unaudited)

$ in millions, except per share amounts

	Three months ended December 31					Year ended December 31
	2014		2013		% change	2014		2013		% change
*Selected financial highlights*
Gross insurance and reinsurance premiums written	$	98.9	$	87.6	13%	$	740.3	$	706.0	5%
Net insurance and reinsurance premiums written	93.2		77.8		20%	650.9		603.1		8%
Net insurance and reinsurance premiums earned	160.6		148.0		9%	645.2		599.6		8%
Net investment income	9.6		14.2		-32%	46.8		64.0		-27%
Underwriting income	63.2		89.8		-30%	221.7		263.4		-16%
Operating income avail. to the Company’s common shareholders 1	60.3		90.4		-33%	208.6		277.5		-25%
Net income avail. to the Company’s common shareholders	48.8		73.4		-34%	210.6		191.2		10%
Comprehensive income avail. to the Company	50.7		77.7		-35%	221.5		205.4		8%
Total assets						3,629.1		3,758.5		-3%
Common shareholders’ equity						1,498.2		1,492.1		0%
Total shareholders’ equity						1,648.2		1,642.1		0%

*Amounts per common share*
Operating income avail. to the Company’s common shareholders 2	$	1.34	$	1.78	-25%	$	4.44	$	5.24	-15%
Net income avail. to the Company’s common shareholders 2	1.09		1.44		-24%	4.48		3.61		24%
Fully converted book value 3						33.19		29.42		13%

*Financial ratios*
Loss and loss adjustment expense ratio:
Current year	46.8%		30.2%			52.9%		45.2%
Prior year	-26.2%		-28.6%			-23.5%		-24.1%
Loss and loss adjustment expense ratio	20.6%		1.6%			29.4%		21.1%
Acquisition cost ratio	17.7%		14.4%			17.1%		15.1%
General and administrative expense ratio	22.4%		23.4%			19.1%		19.9%
Combined ratio	60.7%		39.4%			65.6%		56.1%

Operating income / Average common shareholders’ equity	4.0%		6.2%			13.9%		18.8%

Change in FCBVPCS adjusted for dividends 4	3.5%		5.3%			15.0%		14.3%

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

2 See Page 12 for calculation and Page 13 for information regarding our use of Non-GAAP Financial Measures.

3 See Page 11 for calculation and Page 13 for information regarding our use of Non-GAAP Financial Measures.

4 Change in FCBVPCS adjusted for dividends represents the change in fully converted book value per common share after taking into account dividends declared on common shares during the period. See page 13 for information regarding our use of Non-GAAP Financial Measures.

	MONTPELIER RE HOLDINGS LTD.
	Summary Consolidated Balance Sheets (unaudited)

	in millions, except per share amounts

	December 31		September 30		June 30		March 31		December 31
	2014		2014		2014		2014		2013

ASSETS
Investments, cash and cash equivalents	$	3,190.4	$	3,272.4	$	3,431.0	$	3,630.7	$	3,229.0
Insurance and reinsurance premiums receivable	206.5		264.5		333.6		273.8		203.4
Deferred insurance and reinsurance acquisition costs	53.3		61.7		68.1		61.4		51.5
Reinsurance recoverable on paid and unpaid losses	55.8		64.7		64.2		59.3		67.2
Unearned reinsurance premiums ceded	24.0		40.5		52.0		38.3		22.6
Unsettled sales of investments	51.1		208.4		232.7		132.6		58.8
Other assets	48.0		37.0		102.1		168.1		126.0

Total Assets	$	3,629.1	$	3,949.2	$	4,283.7	$	4,364.2	$	3,758.5

LIABILITIES
Loss and loss adjustment expense reserves	$	775.7	$	830.3	$	861.9	$	839.1	$	881.6
Unearned insurance and reinsurance premiums	275.4		364.7		433.2		373.6		276.7
Debt	407.3		403.2		399.2		399.2		399.2
Investment securities sold short	76.2		82.1		234.1		220.4		155.6
Amounts payable under repurchase agreements	-		-		71.5		402.7		-
Unsettled purchases of investments	68.8		260.9		235.4		110.7		58.8
Other liabilities	111.2		118.0		125.9		109.1		99.6

Total Liabilities	1,714.6		2,059.2		2,361.2		2,454.8		1,871.5

SHAREHOLDERS’ EQUITY
Preferred shareholders’ equity	150.0		150.0		150.0		150.0		150.0
Common shareholders’ equity	1,498.2		1,489.2		1,517.8		1,507.2		1,492.1

Total Shareholders’ Equity available to the Company	1,648.2		1,639.2		1,667.8		1,657.2		1,642.1

Non-controlling interests	266.3		250.8		254.7		252.2		244.9

Total Shareholders’ Equity	1,914.5		1,890.0		1,922.5		1,909.4		1,887.0

Total Liabilities and Shareholders’ Equity	$	3,629.1	$	3,949.2	$	4,283.7	$	4,364.2	$	3,758.5

Fully converted book value per common share 1	$	33.19	$	32.27	$	31.74	$	31.01	$	29.42

1 See Page 11 for calculation and Page 13 for information regarding our use of Non-GAAP Financial Measures.

	MONTPELIER RE HOLDINGS LTD.
	Summary Consolidated Income Statements (unaudited)

	$ in millions, except per share amounts

	Q4-14		Q3-14		Q2-14		Q1-14		Q4-13		Year 2014		Year 2013

Underwriting revenues
Gross insurance and reinsurance premiums written	$	98.9	$	128.9	$	239.0	$	273.5	$	87.6	$	740.3	$	706.0
Reinsurance premiums ceded	(5.7)		(13.2)		(34.1)		(36.4)		(9.8)		(89.4)		(102.9)
Net insurance and reinsurance premiums written	93.2		115.7		204.9		237.1		77.8		650.9		603.1

Gross insurance and reinsurance premiums earned	182.3		189.2		183.5		177.6		174.1		732.6		702.4
Earned reinsurance premiums ceded	(21.7)		(24.0)		(20.9)		(20.8)		(26.1)		(87.4)		(102.8)
Net insurance and reinsurance premiums earned	160.6		165.2		162.6		156.8		148.0		645.2		599.6

Underwriting expenses
Loss and loss adjustment expenses - current year	(75.2)		(99.6)		(104.0)		(62.6)		(44.6)		(341.4)		(270.9)
Loss and loss adjustment expenses - prior year	42.1		37.0		37.5		35.2		42.3		151.8		144.4
Insurance and reinsurance acquisition costs	(28.5)		(27.5)		(29.4)		(24.8)		(21.3)		(110.2)		(90.5)
Operating expenses	(21.1)		(19.4)		(20.1)		(20.9)		(19.3)		(81.5)		(79.8)
Incentive compensation expenses	(14.7)		(12.8)		(8.8)		(5.9)		(15.3)		(42.2)		(39.4)

Underwriting income	63.2		42.9		37.8		77.8		89.8		221.7		263.4

Net investment income	9.6		11.9		12.4		12.9		14.2		46.8		64.0
Other revenue (expense)	(0.7)		0.2		(0.3)		0.3		(0.2)		(0.5)		(0.2)
Interest and other financing expenses	(4.8)		(4.7)		(4.7)		(4.7)		(4.7)		(18.9)		(18.8)
Net realized and unrealized investment gains (losses)	(19.5)		(17.6)		19.8		22.7		8.1		5.4		(49.2)
Net foreign currency gains (losses)	10.1		9.9		(8.8)		(1.8)		(9.4)		9.4		(15.9)
Net losses from derivative instruments	(2.2)		(0.1)		(11.2)		(5.1)		(11.0)		(18.6)		(25.3)
Non-recurring, non-operating expenses	-		-		-		-		(7.5)		-		(7.5)
Income tax benefit (provision)	3.0		(0.2)		(0.2)		0.1		-		2.7		0.1

Net income	58.7		42.3		44.8		102.2		79.3		248.0		210.6

Net income attributable to non-controlling interests	(6.6)		(4.2)		(4.3)		(9.0)		(2.6)		(24.1)		(6.1)

Net income available to the Company	52.1		38.1		40.5		93.2		76.7		223.9		204.5

Dividends declared on non-cumulative preferred shares	(3.3)		(3.3)		(3.4)		(3.3)		(3.3)		(13.3)		(13.3)

Net income available to the Company’s common shareholders	$	48.8	$	34.8	$	37.1	$	89.9	$	73.4	$	210.6	$	191.2

Net income	$	58.7	$	42.3	$	44.8	$	102.2	$	79.3	$	248.0	$	210.6

Net change in foreign currency translation	(1.4)		(2.4)		1.2		0.2		1.0		(2.4)		0.9

Comprehensive income	57.3		39.9		46.0		102.4		80.3		245.6		211.5

Net income attributable to non-controlling interests	(6.6)		(4.2)		(4.3)		(9.0)		(2.6)		(24.1)		(6.1)

Comprehensive income available to the Company	$	50.7	$	35.7	$	41.7	$	93.4	$	77.7	$	221.5	$	205.4

Net income available to the Company’s common shareholders	$	48.8	$	34.8	$	37.1	$	89.9	$	73.4	$	210.6	$	191.2
Add (subtract):
Net realized and unrealized investment (gains) losses	19.5		17.6		(19.8)		(22.7)		(8.1)		(5.4)		49.2
Net (gains) losses from investment-related derivative instruments	3.1		3.9		8.2		(0.5)		6.5		14.7		11.2
Net foreign currency (gains) losses	(10.1)		(9.9)		8.8		1.8		9.4		(9.4)		15.9
Net (gains) losses from fx-related derivative instruments	(1.0)		(6.5)		1.9		3.7		1.7		(1.9)		2.5
Non-recurring, non-operating expenses	-		-		-		-		7.5		-		7.5

Operating income available to the Company’s common shareholders	$	60.3	$	39.9	$	36.2	$	72.2	$	90.4	$	208.6	$	277.5

Loss and loss adjustment expense ratio:
Current year	46.8%		60.3%		63.9%		39.9%		30.2%		52.9%		45.2%
Prior year	-26.2%		-22.4%		-23.1%		-22.4%		-28.6%		-23.5%		-24.1%
Loss and loss adjustment expense ratio	20.6%		37.9%		40.8%		17.5%		1.6%		29.4%		21.1%
Acquisition costs ratio	17.7%		16.7%		18.1%		15.8%		14.4%		17.1%		15.1%
Operating expenses	13.2%		11.7%		12.4%		13.3%		13.0%		12.6%		13.3%
Incentive compensation expenses	9.2%		7.7%		5.4%		3.8%		10.4%		6.5%		6.6%
Combined ratio	60.7%		74.0%		76.7%		50.4%		39.4%		65.6%		56.1%

Operating income avail. to the Company’s common shareholders per share 1	$	1.34	$	0.86	$	0.76	$	1.48	$	1.78	$	4.44	$	5.24
Net income avail. to the Company’s common shareholders per share 1	$	1.09	$	0.75	$	0.78	$	1.84	$	1.44	$	4.48	$	3.61
Operating income / Average common shareholders’ equity	4.0%		2.7%		2.4%		4.8%		6.2%		13.9%		18.8%

1 See Page 12 for calculation and Page 13 for information regarding our use of Non-GAAP Financial Measures.

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

											Year		Year
Net Insurance and Reinsurance Premiums Written	Q4-14		Q3-14		Q2-14		Q1-14		Q4-13		2014		2013

Montpelier Bermuda
Property Catastrophe - Treaty Reinsurance	$	(3.0)	$	11.2	$	68.5	$	89.1	$	1.9	$	165.8	$	213.2
Property Specialty - Treaty Reinsurance	11.0		11.3		14.0		17.6		12.8		53.9		50.3
Other Specialty - Treaty Reinsurance	12.0		12.5		20.3		28.0		8.9		72.8		67.0
Property & Specialty Individual Risk	6.3		3.1		9.4		3.0		3.8		21.8		23.1
	$	26.3	$	38.1	$	112.2	$	137.7	$	27.4	$	314.3	$	353.6

Montpelier at Lloyd’s
Property Catastrophe - Treaty Reinsurance	$	(0.5)	$	0.8	$	-	$	2.9	$	0.8	$	3.2	$	4.1
Property Specialty - Treaty Reinsurance	0.2		2.1		0.2		1.3		(0.5)		3.8		4.6
Other Specialty - Treaty Reinsurance	21.8		24.5		21.8		21.6		18.1		89.7		79.1
Property & Specialty Individual Risk	37.4		38.6		41.0		39.6		30.7		156.6		124.4
	$	58.9	$	66.0	$	63.0	$	65.4	$	49.1	$	253.3	$	212.2

Collateralized Reinsurance
Property Catastrophe - Treaty Reinsurance	$	8.0	$	11.7	$	29.7	$	34.0	$	1.5	$	83.4	$	36.8
Property Specialty - Treaty Reinsurance	-		-		-		-		-		-		-
Other Specialty - Treaty Reinsurance	-		-		-		-		-		-		-
Property & Specialty Individual Risk	-		-		-		-		-		-		-
	$	8.0	$	11.7	$	29.7	$	34.0	$	1.5	$	83.4	$	36.8

Corporate & Other
Property Catastrophe - Treaty Reinsurance	$	-	$	0.1	$	-	$	0.1	$	-	$	0.2	$	0.8
Property Specialty - Treaty Reinsurance	-		-		-		0.4		-		0.4		(0.3)
Other Specialty - Treaty Reinsurance	-		-		-		(0.3)		-		(0.3)		(0.1)
Property & Specialty Individual Risk	-		(0.2)		-		(0.2)		(0.2)		(0.4)		0.1
	$	-	$	(0.1)	$	-	$	-	$	(0.2)	$	(0.1)	$	0.5

Consolidated Total NWP
Property Catastrophe - Treaty Reinsurance	$	4.5	$	23.8	$	98.2	$	126.1	$	4.2	$	252.6	$	254.9
Property Specialty - Treaty Reinsurance	11.2		13.4		14.2		19.3		12.3		58.1		54.6
Other Specialty - Treaty Reinsurance	33.8		37.0		42.1		49.3		27.0		162.2		146.0
Property & Specialty Individual Risk	43.7		41.5		50.4		42.4		34.3		178.0		147.6
	$	93.2	$	115.7	$	204.9	$	237.1	$	77.8	$	650.9	$	603.1

Reinstatements included in NWP	$	1.0	$	4.3	$	2.5	$	0.9	$	0.1	$	8.7	$	1.5

Consolidated 12 Mo. Rolling NWP	$	650.9	$	635.5	$	621.3	$	614.2	$	603.1

MONTPELIER RE HOLDINGS LTD.

Net Premiums Earned by Line of Business

(unaudited)

in millions

											Year		Year
Net Insurance and Reinsurance Premiums Earned	Q4-14		Q3-14		Q2-14		Q1-14		Q4-13		2014		2013

Montpelier Bermuda
Property Catastrophe - Treaty Reinsurance	$	40.6	$	41.7	$	45.6	$	46.7	$	52.1	$	174.6	$	229.5
Property Specialty - Treaty Reinsurance	13.1		14.0		15.1		13.3		12.0		55.5		47.3
Other Specialty - Treaty Reinsurance	16.2		17.0		16.0		14.8		14.6		64.0		59.6
Property & Specialty Individual Risk	5.6		4.7		6.0		5.5		5.4		21.8		22.8
	$	75.5	$	77.4	$	82.7	$	80.3	$	84.1	$	315.9	$	359.2

Montpelier at Lloyd’s
Property Catastrophe - Treaty Reinsurance	$	0.2	$	1.6	$	0.6	$	1.0	$	1.6	$	3.4	$	4.1
Property Specialty - Treaty Reinsurance	0.9		1.1		0.8		1.0		0.7		3.8		5.1
Other Specialty - Treaty Reinsurance	24.0		23.4		23.8		21.0		20.2		92.2		83.0
Property & Specialty Individual Risk	38.0		39.4		34.9		33.1		32.9		145.4		121.5
	$	63.1	$	65.5	$	60.1	$	56.1	$	55.4	$	244.8	$	213.7

Collateralized Reinsurance
Property Catastrophe - Treaty Reinsurance	$	22.0	$	22.3	$	19.9	$	20.4	$	8.7	$	84.6	$	26.2
Property Specialty - Treaty Reinsurance	-		-		-		-		-		-		-
Other Specialty - Treaty Reinsurance	-		-		-		-		-		-		-
Property & Specialty Individual Risk	-		-		-		-		-		-		-
	$	22.0	$	22.3	$	19.9	$	20.4	$	8.7	$	84.6	$	26.2

Corporate & Other
Property Catastrophe - Treaty Reinsurance	$	(0.1)	$	0.1	$	(0.1)	$	(0.2)	$	-	$	(0.3)	$	0.7
Property Specialty - Treaty Reinsurance	-		-		0.1		-		-		0.1		(0.3)
Other Specialty - Treaty Reinsurance	-		(0.1)		(0.1)		-		-		(0.2)		-
Property & Specialty Individual Risk	0.1		-		-		0.2		(0.2)		0.3		0.1
	$	-	$	-	$	(0.1)	$	-	$	(0.2)	$	(0.1)	$	0.5

Consolidated Total NPE
Property Catastrophe - Treaty Reinsurance	$	62.7	$	65.7	$	66.0	$	67.9	$	62.4	$	262.3	$	260.5
Property Specialty - Treaty Reinsurance	14.0		15.1		16.0		14.3		12.7		59.4		52.1
Other Specialty - Treaty Reinsurance	40.2		40.3		39.7		35.8		34.8		156.0		142.6
Property & Specialty Individual Risk	43.7		44.1		40.9		38.8		38.1		167.5		144.4
	$	160.6	$	165.2	$	162.6	$	156.8	$	148.0	$	645.2	$	599.6

Reinstatements included in NPE	$	1.0	$	4.3	$	2.5	$	0.9	$	0.1	$	8.7	$	1.5

Consolidated 12 Mo. Rolling NPE	$	645.2	$	632.6	$	620.4	$	596.7	$	599.6

MONTPELIER RE HOLDINGS LTD.

Natural Catastrophe Risk Management 1

$ in millions

	Net Reinsurance Treaty Limits by Zone 1
*Exposure Management*	As of Jan 1, 2015			As of June 1, 2014
	Treaty Limits		% of Dec. 31, 2014 Shareholders’ Equity avail. to the Company	Treaty Limits		% of Sept. 30, 2014 Shareholders’ Equity avail. to the Company
U.S. Hurricane:

Mid-Atlantic hurricane	$	498	30%	$	525	32%
Northeast hurricane	413		25%	405		25%
Florida hurricane	385		23%	434		26%
Gulf hurricane	363		22%	383		23%
Hawaii hurricane	163		10%	141		9%

U.S. Earthquake:

New Madrid earthquake	$	510	31%	$	550	34%
California earthquake	361		22%	358		22%
Northwest earthquake	324		20%	352		21%

European Windstorm:

Western Europe windstorm	$	409	25%	$	473	29%
UK & Ireland windstorm	364		22%	398		24%
Scandinavia windstorm	170		10%	171		10%

Other Countries:

Japan earthquake	$	242	15%	$	292	18%
Canada earthquake	218		13%	267		16%
Australia earthquake	218		13%	253		15%
Australia cyclone	207		13%	249		15%
New Zealand earthquake	158		10%	174		11%
Turkey earthquake	149		9%	174		11%
Chile earthquake	139		8%	155		9%
Japan windstorm	118		7%	117		7%

	Net Impact From Single Event Losses by Return Period 2

*Single Event Losses*	As of Jan 1, 2015						As of June 1, 2014
					% of Dec. 31, 2014 Shareholders’						% of Sept. 30, 2014 Shareholders’
	Net Impact				Equity avail. to the Company		Net Impact				Equity avail. to the Company
	100-year		250-year		100-year	250-year	100-year		250-year		100-year	250-year

U.S. Hurricane	$	263	$	313	16%	19%	$	294	$	347	18%	21%
Europe Windstorm	219		273		13%	17%	235		298		14%	18%
U.S. Earthquake	158		259		10%	16%	184		270		11%	16%

NOTE - These disclosures 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, 2013, as filed with the Securities and Exchange Commission.

1 The treaty limits presented include the Company’s portion of the exposures assumed through its investment in the Blue Capital Global Reinsurance Fund Limited (BCGR) and Blue Capital Reinsurance Holdings Ltd. (BCRH).The treaty limits presented are shown net of any outward reinsurance or other third-party protection we purchase but have not been reduced by any expected reinstatement premiums.

2 The single event losses presented include the Company’s portion of exposures assumed through its investment in BCGR and BCRH and are shown net of: (i) any outward reinsurance or other third-party protection we purchase; and (ii) the benefit of any expected reinstatement premiums. 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.

MONTPELIER RE HOLDINGS LTD.

Rollforward of Loss and LAE Reserves (unaudited)

in millions

	Three months ended December 31, 2014									Three months ended December 31, 2013
	Gross			Recoveries			Net			Gross			Recoveries			Net

Reserve for unpaid losses, beginning of period	$	830.3		$	55.5		$	774.8		$	961.1		$		73.7	$	887.4

Losses incurred:
Current year	78.7			3.5			75.2			44.3			(0.3)			44.6
Prior years	(45.1)			(3.0)			(42.1)			(49.4)			(7.1)			(42.3)
Total losses incurred	33.6			0.5			33.1			(5.1)			(7.4)			2.3

Net foreign currency translation movements	(14.9)			(0.2)			(14.7)			7.6			0.2			7.4

Losses paid and approved for payment:
Current year	(33.1)			(3.4)			(29.7)			(18.6)			(1.2)			(17.4)
Prior years	(40.2)			(3.7)			(36.5)			(63.4)			(1.7)			(61.7)
Total paid losses	(73.3)			(7.1)			(66.2)			(82.0)			(2.9)			(79.1)

Reserve for unpaid losses, end of period	$	775.7		$	48.7		$	727.0		$	881.6		$		63.6	$	818.0


	Year ended December 31, 2014									Year ended December 31, 2013
	Gross			Recoveries			Net			Gross			Recoveries			Net

Reserve for unpaid losses, beginning of period	$		881.6	$		63.6	$		818.0	$		1,112.4	$	102.7		$	1,009.7

Losses incurred:
Current year	364.7			23.3			341.4			289.5			18.6			270.9
Prior years	(161.3)			(9.5)			(151.8)			(159.3)			(14.9)			(144.4)
Total losses incurred	203.4			13.8			189.6			130.2			3.7			126.5

Net foreign currency translation movements	(22.8)			(0.6)			(22.2)			6.7			0.6			6.1

Losses paid and approved for payment:
Current year	(88.8)			(8.9)			(79.9)			(55.8)			(3.7)			(52.1)
Prior years	(197.7)			(19.2)			(178.5)			(311.9)			(39.7)			(272.2)
Total paid losses	(286.5)			(28.1)			(258.4)			(367.7)			(43.4)			(324.3)

Reserve for unpaid losses, end of period	$		775.7	$		48.7	$		727.0	$		881.6	$	63.6		$	818.0

MONTPELIER RE HOLDINGS LTD.

Consolidated Losses and Loss Ratios

(unaudited)

$ in millions


																Year			Year
	Q4-14			Q3-14			Q2-14			Q1-14			Q4-13			2014			2013
Property Catastrophe - Treaty

Net reserves: start	$	151.1		$	180.4		$	170.9		$	196.6		$	234.0		$	196.6		$	300.2
Change in prior AY	(10.7		)	(22.3		)	(11.8		)	(16.6		)	(10.1		)	(61.4		)	(40.1		)
Losses paid and approved for payment	(17.9		)	(35.0		)	(17.5		)	(16.7		)	(26.8		)	(87.1		)	(113.6		)
Current yr. incurred losses	19.8			28.0			38.8			7.6			(0.5		)	94.2			50.1
Net reserves: end	$	142.3		$	151.1		$	180.4		$	170.9		$	196.6		$	142.3		$	196.6

Net earned premium	$	62.7		$	65.7		$	66.0		$	67.9		$	62.4		262.3			$	260.5
Net loss ratio	14.5%			8.7%			40.9%			-13.3%			-17.0%			12.5%			3.8%
Net loss ratio excl. prior AY adjusts.	31.6%			42.6%			58.8%			11.1%			-0.8%			35.9%			19.2%
Net loss ratio - prior AY adjusts.	-17.1%			-33.9%			-17.9%			-24.4%			-16.2%			-23.4%			-15.4%

IBNR	$	74.9		$	85.3		$	123.4		$	96.1		$	104.0
IBNR as a % of net reserves	53%			56%			68%			56%			53%

Property Specialty - Treaty

Net reserves: start	$	79.7		$	85.5		$	92.8		$	99.7		$	113.7		$	99.7		$	138.8
Change in prior AY	(7.9		)	(8.8		)	(8.7		)	(6.3		)	(10.3		)	(31.7		)	(29.2		)
Losses paid and approved for payment	(6.4		)	(5.9		)	(7.5		)	(8.7		)	(7.5		)	(28.5		)	(42.3		)
Current yr. incurred losses	5.8			8.9			8.9			8.1			3.8			31.7			32.4
Net reserves: end	$	71.2		$	79.7		$	85.5		$	92.8		$	99.7		$	71.2		$	99.7

Net earned premium	$	14.0		$	15.1		$	16.0		$	14.3		$	12.7		59.4			$	52.1
Net loss ratio	-15.0%			0.7%			1.3%			12.6%			-51.2%			0.0%			6.1%
Net loss ratio excl. prior AY adjusts.	41.4%			59.0%			55.7%			56.7%			29.9%			53.4%			62.1%
Net loss ratio - prior AY adjusts.	-56.4%			-58.3%			-54.4%			-44.1%			-81.1%			-53.4%			-56.0%

IBNR	$	42.2		$	46.7		$	53.4		$	56.6		$	59.0
IBNR as a % of net reserves	59%			59%			62%			61%			59%

TOTAL

Net reserves: start	$	774.8		$	804.5		$	784.1		$	818.0		$	887.4		$	818.0		$	1,009.7
Change in prior AY	(42.1		)	(37.0		)	(37.5		)	(35.2		)	(42.3		)	(151.8		)	(144.4		)
Losses paid and approved for payment	(66.2		)	(73.6		)	(55.2		)	(63.4		)	(79.1		)	(258.4		)	(324.3		)
Current yr. incurred losses	75.2			99.6			104.0			62.6			44.6			341.4			270.9
Net impact of foreign currency	(14.7		)	(18.7		)	9.1			2.1			7.4			(22.2		)	6.1
Net reserves: end	$	727.0		$	774.8		$	804.5		$	784.1		$	818.0		$	727.0		$	818.0

Net earned premium	$	160.6		$	165.2		$	162.6		$	156.8		$	148.0		$	645.2		$	599.6
Net loss ratio	20.6%			37.9%			40.8%			17.5%			1.6%			29.4%			21.1%
Net loss ratio excl. prior AY adjusts.	46.8%			60.3%			63.9%			39.9%			30.2%			52.9%			45.2%
Net loss ratio - prior AY adjusts.	-26.2%			-22.4%			-23.1%			-22.4%			-28.6%			-23.5%			-24.1%

IBNR	$	454.3		$	499.2		$	548.2		$	514.3		$	516.7
IBNR as a % of net reserves	62%			64%			68%			66%			63%

Other Specialty - Treaty

Net reserves: start	$	312.8		$	302.7		$	298.1		$	286.5		$	291.4		$	286.5		$	288.1
Change in prior AY	(10.6		)	(4.5		)	(8.7		)	(1.9		)	(7.2		)	(25.7		)	(31.0		)
Losses paid and approved for payment	(19.7		)	(12.6		)	(12.4		)	(8.4		)	(18.1		)	(53.1		)	(54.3		)
Current yr. incurred losses	26.4			27.2			25.7			21.9			20.4			101.2			83.7
Net reserves: end	$	308.9		$	312.8		$	302.7		$	298.1		$	286.5		$	308.9		$	286.5

Net earned premium	$	40.2		$	40.3		$	39.7		$	35.8		$	34.8		156.0			$	142.6
Net loss ratio	39.3%			56.3%			42.8%			55.9%			37.9%			48.4%			37.0%
Net loss ratio excl. prior AY adjusts.	65.7%			67.5%			64.7%			61.2%			58.6%			64.9%			58.7%
Net loss ratio - prior AY adjusts.	-26.4%			-11.2%			-21.9%			-5.3%			-20.7%			-16.5%			-21.7%

IBNR	$	213.6		$	231.3		$	234.7		$	231.3		$	221.0
IBNR as a % of net reserves	69%			74%			78%			78%			77%

Property and Specialty Individual Risk

Net reserves: start	$	225.1		$	211.1		$	206.6		$	221.6		$	242.1		$	221.6		$	275.1
Change in prior AY	(12.9		)	(1.4		)	(8.3		)	(10.4		)	(14.7		)	(33.0		)	(44.1		)
Losses paid and approved for payment	(22.2		)	(20.1		)	(17.8		)	(29.6		)	(26.7		)	(89.7		)	(114.1		)
Current yr. incurred losses	23.2			35.5			30.6			25.0			20.9			114.3			104.7
Net reserves: end	$	213.2		$	225.1		$	211.1		$	206.6		$	221.6		$	213.2		$	221.6

Net earned premium	$	43.7		$	44.1		$	40.9		$	38.8		$	38.1		167.5			$	144.4
Net loss ratio	23.6%			77.3%			54.5%			37.6%			16.3%			48.5%			42.0%
Net loss ratio excl. prior AY adjusts.	53.1%			80.5%			74.8%			64.4%			54.9%			68.2%			72.5%
Net loss ratio - prior AY adjusts.	-29.5%			-3.2%			-20.3%			-26.8%			-38.6%			-19.7%			-30.5%

IBNR	$	123.6		$	135.9		$	136.7		$	130.3		$	132.7
IBNR as a % of net reserves	58%			60%			65%			63%			60%

MONTPELIER RE HOLDINGS LTD.

Consolidated Investment Portfolio (unaudited)

$ in millions


	December 31, 2014								September 30, 2014			June 30, 2014			March 31, 2014			December 31, 2013

	Amortized		Unrealized			Fair			Fair			Fair			Fair			Fair
Long Investment Positions:	Cost		Gain (Loss)			Value		%	Value		%	Value		%	Value		%	Value		%

Fixed maturities	$	1,902.9	$	(1.9)		$	1,901.0	60%	$	1,928.5	59%	$	2,289.1	67%	$	2,496.3	69%	$	2,430.8	75%
Equity securities	163.8		9.3			173.1		5%	169.2		5%	163.2		5%	156.9		4%	117.3		4%
Other investments	642.4		(0.4)			642.0		20%	670.9		21%	381.4		11%	155.6		4%	78.8		2%
Cash equivalents	33.3		-			33.3		1%	35.1		1%	145.4		4%	305.0		8%	23.6		1%
Cash and restricted cash	441.0		-			441.0		14%	468.7		14%	451.9		13%	516.9		15%	578.5		18%

Total long investments and cash	$	3,183.4	$	7.0		$	3,190.4	100%	$	3,272.4	100%	$	3,431.0	100%	$	3,630.7	100%	$	3,229.0	100%

Breakdown of Long Fixed Maturities:

Mortgage-backed and asset-backed securities	$	522.6	$	3.4		$	526.0	27%	$	632.1	32%	$	751.3	32%	$	670.5	27%	$	844.2	35%
Government & government-sponsored entities	507.2		0.2			507.4		27%	534.0		28%	566.3		25%	853.9		34%	632.7		26%
Corporate bonds	853.6		(5.4)			848.2		45%	743.0		39%	929.2		41%	929.7		37%	906.8		37%
Municipal bonds	19.5		(0.1)			19.4		1%	19.4		1%	42.3		2%	42.2		2%	47.1		2%

Total long fixed maturities	$	1,902.9	$	(1.9)		$	1,901.0	100%	$	1,928.5	100%	$	2,289.1	100%	$	2,496.3	100%	$	2,430.8	100%

Other investments:

Investment Funds and LPs - fixed maturities	$	534.0	$		-	$	534.0	83%	$	561.7	84%	$	361.6	95%	$	136.1	88%	$	59.4	75%
Investment Funds and LPs - high yield fixed maturities	100.1		(2.6)			97.5		15%	98.7		15%	-		0%	-		0%	-		0%
Investment Funds and LPs - equities and other	6.4		-			6.4		1%	2.5		0%	13.0		3%	11.6		7%	12.3		16%
Derivative instruments and catastrophe bonds	1.9		2.2			4.1		1%	8.0		2%	6.8		2%	7.9		5%	7.1		9%

Total other investments	$	642.4	$	(0.4)		$	642.0	100%	$	670.9	101%	$	381.4	100%	$	155.6	100%	$	78.8	100%

Short Investment Positions:

Fixed maturities	$	(70.7)	0.2			$	(70.5)	93%	$	(74.6)	91%	$	(221.6)	95%	$	(208.4)	95%	$	(130.0)	84%
Equities, options and futures	(5.8)		0.1			(5.7)		7%	(7.5)		9%	(12.5)		5%	(12.0)		5%	(25.6)		16%

Total short investments	$	(76.5)	0.3			$	(76.2)	100%	$	(82.1)	100%	$	(234.1)	100%	$	(220.4)	100%	$	(155.6)	100%

Total investment return:

Net investment income						$	9.6		$	11.9		$	12.4		$	12.9		$	14.2
Net loss from investment-related derivative instruments						-			(0.6)			(0.4)			(1.7)			(0.5)
Net realized investment gains (losses)						(9.5)			19.1			5.5			(0.1)			4.4
Net unrealized investment gains (losses)						(10.0)			(36.7)			14.3			22.8			3.7
Net gains (losses) from investment-related derivative instruments						(3.1)			(3.9)			(8.2)			0.5			(6.5)
Net investment FX gains (losses) from managed cash and investments						0.7			1.9			(0.2)			(3.8)			(1.1)
Total investment return						$	(12.3)		$	(8.3)		$	23.4		$	30.6		$	14.2
Total quarterly return on average fair value % 1						-0.5%			-0.3%			0.9%			1.1%			0.5%

Average duration of the total investment portfolio, including cash 2						0.9 years			0.2 years			0.3 years			0.4 years			1.5 years
Average credit quality, including cash 2, 3						A+			AA-			AA-			AA-			AA-

1 Excludes net gains (losses) from non-investment FX contracts which are undertaken solely to hedge our insurance balances that are exposed to FX movements.

Also excludes short-term fixed maturities ($154 million) and cash and cash equivalents ($306 million) at December 31, 2014 that relate to our Collateralized Reinsurance operations.

These assets generate virtually no investment income and the “return” on these invested assets constitutes our Collateralized Reinsurance underwriting result and is included in our combined ratio.

2 Net of relevant derivative and short positions, open trades and any outstanding repurchase agreements and reverse repurchase agreements.

3 Excludes equity securities and other investments.

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:

	December 31				September 30				June 30				March 31				December 31
	2014				2014				2014				2014				2013

Reinsurance recoverable on paid losses

A++	$	0.1	1	%	$	0.3	3	%	$	-	-	%	$	-	-	%	$	-	-	%
A+	2.8		40		5.0		54		4.0		58		2.3		53		0.7		19
A	3.2		45		3.1		34		1.6		24		0.7		16		1.4		39
A-	-		-		0.1		1		0.4		6		0.2		5		-		-
Unrated by AM Best 1	1.0		14		0.7		8		0.8		12		1.1		26		1.5		42

	$	7.1	100	%	$	9.2	100	%	$	6.8	100	%	$	4.3	100	%	$	3.6	100	%

Reinsurance recoverable on unpaid losses

A++	$	0.3	1	%	$	0.3	1	%	$	0.3	1	%	$	-	-	%	$	-	-	%
A+	21.8		44		26.7		48		27.9		49		24.4		44		28.6		45
A	18.8		39		20.3		37		20.2		35		19.8		36		20.2		32
A-	2.2		5		0.8		1		2.4		4		2.8		5		4.2		6
Unrated by AM Best 1	5.6		11		7.4		13		6.6		11		8.0		15		10.6		17

	$	48.7	100	%	$	55.5	100	%	$	57.4	100	%	$	55.0	100	%	$	63.6	100	%

Total reinsurance recoverable

A++	$	0.4	1	%	$	0.6	1	%	$	0.3	-	%	$	-	-	%	$	-	-	%
A+	24.6		44		31.7		49		31.9		50		26.7		45		29.3		44
A	22.0		39		23.4		36		21.8		34		20.5		35		21.6		32
A-	2.2		4		0.9		1		2.8		4		3.0		5		4.2		6
Unrated by AM Best 1	6.6		12		8.1		13		7.4		12		9.1		15		12.1		18

	$	55.8	100	%	$	64.7	100	%	$	64.2	100	%	$	59.3	100	%	$	67.2	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.

MONTPELIER RE HOLDINGS LTD.

Fully Converted Book Value Per Common Share (unaudited)

$ in millions, except per share amounts

	December 31		September 30		June 30		March 31		December 31
	2014		2014		2014		2014		2013

Numerators

Book value and fully converted book value per common share
numerator (common shareholders’ equity avail. to the Company)	$	1,498.2	$	1,489.2	$	1,517.8	$	1,507.2	$	1,492.1

Denominators (in common shares)

Book value per share common denominator (ending common shares)	43,619,124		44,325,971		46,174,697		47,017,858		49,274,165

Common share obligations under benefit plans	1,520,764		1,817,215		1,644,202		1,589,510		1,448,374

Fully converted book value per common share denominator	45,139,888		46,143,186		47,818,899		48,607,368		50,722,539

Book value per common share	$	34.35	$	33.60	$	32.87	$	32.05	$	30.28
Fully converted book value per common share	$	33.19	$	32.27	$	31.74	$	31.01	$	29.42

Dividends declared per common share	$	0.20	$	0.20	$	0.125	$	0.125	$	0.125
Change in FCBVPCS 1 Quarter	2.8%		1.7%		2.4%		5.4%		4.9%
Change in FCBVPCS adjusted for dividends 2 Quarter	3.5%		2.3%		2.8%		5.8%		5.3%
Change in FCBVPCS adjusted for dividends 2 YTD	15.0%		11.2%		8.7%		5.8%		14.3%
Change in FCBVPCS adjusted for dividends 2 Rolling 12 months	15.0%		17.2%		19.4%		14.6%		14.3%
Annualized change in FCBVPCS adjusted for dividends 2 Since inception	10.5%		10.4%		10.4%		10.4%		10.2%

1 FCBVPCS = Fully converted book value per common share. See Page 13 for information regarding our use of Non-GAAP Financial Measures.

2 Change in FCBVPCS adjusted for dividends represents the change in fully converted book value per common share after taking into account common share dividends declared for the period. See page 13 for information regarding our use of Non-GAAP Financial Measures.

MONTPELIER RE HOLDINGS LTD.

Income Available to the Company’s Common Shareholders Per Share (unaudited)

$ in millions, except per share amounts

																Year			Year
	Q4-14			Q3-14			Q2-14			Q1-14			Q4-13			2014			2013

Numerator
Operating income available to the Company’s common shareholders 1	$	60.3		$	39.9		$	36.2		$	72.2		$	90.4		$	208.6		$	277.5
Operating income allocated to participating securities	(2.0		)	(1.3		)	(1.0		)	(2.2		)	(2.5		)	(6.3		)	(7.3		)

Adj. operating income avail. to the Company’s common shareholders	$	58.3		$	38.6		$	35.2		$	70.0		$	87.9		$	202.3		$	270.2

Net investment and foreign exchange gains (losses)	(11.5		)	(5.1		)	0.9			17.7			(9.5		)	2.0			(78.8		)
Non-recurring, non-operating expenses	-			-			-			-			(7.5		)	-			(7.5		)
Adjustment to arrive at net income allocated to participating securities	0.4			0.2			-			(0.5		)	0.4			-			2.5

Adj. net income available to the Company’s common shareholders	$	47.2		$	33.7		$	36.1		$	87.2		$	71.3		$	204.3		$	186.4

Denominator
Average common shares outstanding	43,433,446			45,057,582			46,285,542			47,442,063			49,334,102			45,554,658			51,565,653

Per common share
Operating income available to the Company’s common shareholders	$	1.34		$	0.86		$	0.76		$	1.48		$	1.78		$	4.44		$	5.24
Net income available to the Company’s common shareholders	$	1.09		$	0.75		$	0.78		$	1.84		$	1.44		$	4.48		$	3.61

1 Excludes net investment and foreign exchange gains and losses and certain non-recurring items. See Page 3 for the computation of our operating income available to the Company’s common shareholders and page 13 for information regarding our use of Non-GAAP Financial Measures.

MONTPELIER RE HOLDINGS LTD.

Financial Measures Disclosures

Non-GAAP Financial Measures Disclosures

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

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

MONTPELIER RE HOLDINGS LTD - FORM 8-K - EX-99.2 - February 9, 2015

Attached files

MONTPELIER RE HOLDINGS LTD Reports