Form: 8-K

Current report filing

April 30, 2009

Exhibit 99.1

LOGO

RenaissanceRe Reports Operating Income of $94.2 Million for the First Quarter of 2009 or $1.52 Per Common Share.

Net Income of $97.3 Million for the First Quarter of 2009 or $1.57 Per Common Share.

Pembroke, Bermuda, April 29, 2009 — RenaissanceRe Holdings Ltd. (NYSE: RNR) today reported $94.2 million in first quarter operating income available to common shareholders compared to $147.8 million in the first quarter of 2008. Operating income excludes net realized gains on investments of $3.1 million and net realized losses on investments of $10.7 million in the first quarters of 2009 and 2008, respectively. Operating income available to common shareholders per diluted common share was $1.52 in the first quarter of 2009, compared to $2.21 in the first quarter of 2008. Net income available to common shareholders was $97.3 million or $1.57 per diluted common share in the quarter, compared to net income available to common shareholders of $137.2 million or $2.05 per diluted common share for the same quarter of 2008. The Company reported an annualized operating return on average common equity of 15.5% and an annualized return on average common equity of 16.0% in the first quarter of 2009, compared to 21.3% and 19.7%, respectively, in the first quarter of 2008. Book value per common share increased to $39.65 at March 31, 2009, a 2.3% increase in the first quarter of 2009, compared to a 2.7% increase in the first quarter of 2008.

Neill A. Currie, CEO, commented: “We generated an annualized operating ROE of over 15% and 2.3% growth in book value per share in the quarter. Although below our expectations in a light catastrophe quarter, our results also reflect over 20% growth in our managed catastrophe premiums due to a successful January 1st renewal season, fueled by improving market conditions and increasing demand for property catastrophe reinsurance.”

Mr. Currie added: “We are seeing an increasing flow of new business opportunities, particularly within our specialty reinsurance unit and Individual Risk segment. Our strong financial resources, excellent ratings, reputation for superior underwriting and client service along with our ongoing efforts to build out our business capabilities, position us well to capture these opportunities.”

FIRST QUARTER 2009 RESULTS

Underwriting Results

Gross premiums written for the first quarter of 2009 increased 13.5% to $598.3 million, compared to $527.0 million for the first quarter of 2008. The increase in gross premiums written was primarily driven by an increase in gross premiums written in the Company’s catastrophe unit, and partially offset by decreases in both the Company’s specialty unit and Individual Risk segment as discussed in more detail below. The Company generated $131.2 million of underwriting income and had a combined ratio of 56.5% in the first quarter of 2009, compared to $150.2 million of underwriting income and a 51.4% combined ratio in the first quarter of 2008, principally driven by an increase in net claims and claim expenses incurred during the quarter as a result of unfavorable development on prior years reserves within the Company’s Individual Risk segment. The Company’s unfavorable development on prior years reserves totaled $7.3 million in the first quarter of 2009, compared to $45.1 million of favorable development in the first quarter of 2008, and was principally due to higher than expected claims emergence on the 2008 crop year for the Company’s multi-peril crop business in its Individual Risk segment and partially offset by favorable development in the Company’s Reinsurance segment.

 

1


Reinsurance Segment

Gross premiums written for the Company’s Reinsurance segment increased $89.2 million, or 20.1%, to $532.9 million in the first quarter of 2009, compared to $443.7 million in the first quarter of 2008, due to growth in gross premiums written in the Company’s catastrophe unit which benefited from the impact of improving market conditions and the inception of several new programs in the quarter. The Company’s catastrophe premiums increased $97.3 million, or 26.7%, to $461.4 million in the first quarter of 2009, compared to $364.1 million in the first quarter of 2008. The Company’s specialty reinsurance premiums decreased $8.1 million, or 10.2%, to $71.5 million in the first quarter of 2009, compared to $79.6 million in the first quarter of 2008. The Company’s specialty reinsurance premiums are prone to significant volatility due to the timing of contract inception and also due to the business being characterized by a relatively small number of relatively large transactions.

The Company’s Reinsurance segment generated $161.3 million of underwriting income and had a combined ratio of 28.6% in the first quarter of 2009, compared to $145.5 million of underwriting income and a 37.3% combined ratio in the first quarter of 2008. The increase in underwriting income in the first quarter of 2009 was primarily due to the comparably low level of insured catastrophe events in the quarter. The Reinsurance segment experienced $24.7 million of favorable development on prior year reserves in the first quarter of 2009, compared to $23.5 million of favorable development in the first quarter of 2008. The favorable development in the first quarter of 2009 was principally attributable to reduced estimated ultimate losses on certain small catastrophes within the Company’s catastrophe unit and lower than expected claims emergence in the Company’s specialty reinsurance unit.

Individual Risk Segment

Gross premiums written for the Company’s Individual Risk segment decreased $15.7 million, or 19.4%, to $65.1 million in the first quarter of 2009, compared to $80.8 million in the first quarter of 2008. The decrease was primarily due to the Company’s prior decisions to terminate several program manager relationships and a commercial property quota share contract as a result of the then softening market conditions, resulting in reduced commercial property and commercial multi-line gross premiums written. Gross premiums written in the Company’s Individual Risk segment can fluctuate, perhaps significantly between quarters and between years based on several factors, including, without limitation, the timing of the inception or cessation of new program managers and quota share reinsurance contracts, including whether or not the Company has portfolio transfers in, or portfolio transfers out, of quota share reinsurance contracts of in-force books of business.

The Individual Risk segment incurred an underwriting loss of $30.1 million and had a combined ratio of 139.7% in the first quarter of 2009, compared to $4.7 million of underwriting income and a 93.9% combined ratio in the first quarter of 2008. The decrease in underwriting income and increase in the combined ratio in the first quarter of 2009 compared to the first quarter of 2008 were primarily due to an increase in net claims and claim expenses as a result of unfavorable development on prior years reserves of $32.0 million, compared to favorable development of $21.6 million on prior year reserves in the first quarter of 2008, and partially offset by a decrease in current accident year net claims and claim expenses of $19.0 million. The unfavorable loss reserve development in the first quarter of 2009 was primarily due to a $27.3 million increase in prior year losses in the Company’s multi-peril crop insurance line of business related to the 2008 crop year due to an increase in the severity of reported losses incurred during 2008 and reported during the first quarter of 2009. The net impact of this unfavorable development, after considering corresponding changes in net earned premium and related acquisition costs for the 2008 crop year, was a reduction in underwriting income of $25.8 million and an increase in the Company’s combined ratio of 33.7 percentage points. Current accident year losses were $37.6 million during the first quarter of 2009, compared to $56.7 million in the first quarter of 2008, primarily due to a decrease in net claims and claim expenses in the Company’s commercial property line of business.

 

2


Investments

Returns on the Company’s investment portfolio were lower in the first quarter of 2009 compared to the first quarter of 2008, principally due to lower average invested assets in the Company’s fixed maturity investments available for sale portfolio combined with lower total returns on the Company’s fixed maturity investments available for sale and short term investments. The Company’s total investment result, which includes the sum of net investment income, net realized gains and losses on investments and the net change in unrealized holding gains on fixed maturity investments available for sale, was $39.8 million in the first quarter of 2009, compared to $65.6 million in the first quarter of 2008, a decrease of $25.7 million.

Net investment income was $42.1 million in the first quarter of 2009, compared to net investment income of $52.5 million in the first quarter of 2008. The $10.4 million decrease was principally driven by $16.0 million and $10.4 million decreases in net investment income from the Company’s short term investments and fixed maturity investments available for sale, respectively, as discussed above, combined with a $17.8 million decrease in net investment income from hedge funds and private equity investments, and partially offset by a $36.3 million increase in net investment income from the Company’s other investments, principally senior secured bank loan funds and non-U.S. fixed income funds. The Company’s hedge fund, private equity and other investments are accounted for at fair value with the change in fair value recorded in net investment income which included net unrealized losses of $17.0 million in the first quarter of 2009, compared to $25.3 million of net unrealized losses in the first quarter of 2008.

Net realized gains on investments were $3.1 million in the first quarter of 2009 compared to net realized losses on investments of $10.7 million in the first quarter of 2008, an improvement of $13.8 million. Included in net realized gains for the first quarter of 2009 is $19.0 million of other than temporary impairments, compared to $25.4 million in the first quarter of 2008. Included in other than temporary impairment charges are impairment charges for which the Company believes it will not be able to recover the full principal amount if the impaired security is held to maturity, of $nil and $0.4 million for the first quarters of 2009 and 2008, respectively. The Company had essentially no fixed maturity investments available for sale in an unrealized loss position at March 31, 2009.

Other Items

 

  •  

The Company’s cash flows from operations were $140.1 million for the first quarter of 2009, compared to $276.8 million for the first quarter of 2008.

 

  •  

The Company’s other loss of $14.8 million incurred during the first quarter of 2009 is primarily the result of a negative mark-to-market on the Company’s Platinum warrant of $13.7 million. In addition, other loss in the first quarter of 2009 reflected $4.8 million of other income related to the Company’s weather and energy derivatives trading activities compared to $15.3 million in the first quarter of 2008.

 

  •  

During the first quarter of 2009, the Company incurred $10.2 million in net foreign exchange losses, compared to net foreign exchange gains of $4.9 million in the first quarter of 2008. The $15.1 million decrease in net foreign exchange (losses) gains is a result of changes to the U.S. dollar during the quarter against other major currencies with which the Company does business resulting in unfavorable foreign exchange translations on the Company’s net non-U.S. dollar denominated monetary assets and liabilities.

 

3


This press release includes certain non-GAAP financial measures including “operating income”, “operating income available to RenaissanceRe common shareholders per common share – diluted”, “operating return on average common equity – annualized” and “managed catastrophe premiums”. A reconciliation of such measures to the most comparable GAAP figures in accordance with Regulation G is presented in the attached supplemental financial data.

Please refer to the “Investor Information – Financial Reports – Financial Supplements” section of the Company’s website at www.renre.com for a copy of the Financial Supplement which includes additional information on the Company’s financial performance.

RenaissanceRe Holdings Ltd. will host a conference call on Thursday, April 30, 2009 at 9:30 a.m. (ET) to discuss this release. Live broadcast of the conference call will be available through the “Investor Information – Company Webcasts” section of the Company’s website at www.renre.com.

RenaissanceRe Holdings Ltd. is a global provider of reinsurance and insurance. The Company’s business consists of two segments: (1) Reinsurance, which includes catastrophe reinsurance, specialty reinsurance and certain joint ventures and other investments managed by the Company’s subsidiary RenaissanceRe Ventures Ltd., and (2) Individual Risk, which includes primary insurance and quota share reinsurance.

Cautionary Statement under “Safe Harbor” Provisions of the Private Securities Litigation Reform Act of 1995: Statements made in this news release contain information about the Company’s future business prospects. These statements may be considered “forward-looking.” These statements are subject to risks and uncertainties that could cause actual results to differ materially from those set forth in or implied by such forward-looking statements. For further information regarding cautionary statements and factors affecting future results, please refer to RenaissanceRe Holdings Ltd.’s filings with the Securities and Exchange Commission, including its Annual Report on Form 10-K for the year ended December 31, 2008 and its quarterly reports on Form 10-Q.

 

INVESTOR CONTACT:   MEDIA CONTACT:
Fred R. Donner   David Lilly or Dawn Dover
Chief Financial Officer and Executive Vice President   Kekst and Company
RenaissanceRe Holdings Ltd.   (212) 521-4800
(441) 295-4513  

 

4


RenaissanceRe Holdings Ltd. and Subsidiaries

Summary Consolidated Statements of Operations

(in thousands of United States Dollars, except per share amounts)

(Unaudited)

 

     Three months ended  
   March 31,
2009
    March 31,
2008
 

Revenues

    

Gross premiums written

   $ 598,301     $ 527,038  
                

Net premiums written

   $ 446,836     $ 403,116  

Increase in unearned premiums

     (145,088 )     (94,202 )
                

Net premiums earned

     301,748       308,914  

Net investment income

     42,126       52,503  

Net foreign exchange (losses) gains

     (10,155 )     4,936  

Equity in earnings of other ventures

     1,736       6,250  

Other (loss) income

     (14,795 )     8,012  

Net realized gains (losses) on investments

     3,104       (10,670 )
                

Total revenues

     323,764       369,945  
                

Expenses

    

Net claims and claim expenses incurred

     86,197       82,156  

Acquisition expenses

     44,604       46,428  

Operational expenses

     39,757       30,113  

Corporate expenses

     6,588       8,703  

Interest expense

     4,136       6,804  
                

Total expenses

     181,282       174,204  
                

Income before taxes

     142,482       195,741  

Income tax benefit (expense)

     852       (7,686 )
                

Net income

     143,334       188,055  

Net income attributable to redeemable noncontrolling interest - DaVinciRe

     (35,475 )     (40,315 )
                

Net income available to RenaissanceRe

     107,859       147,740  

Dividends on preference shares

     (10,575 )     (10,575 )
                

Net income available to RenaissanceRe common shareholders

   $ 97,284     $ 137,165  
                

Operating income available to RenaissanceRe common shareholders per common share - diluted (1)

   $ 1.52     $ 2.21  

Net income available to RenaissanceRe common shareholders per common share - basic

   $ 1.57     $ 2.09  

Net income available to RenaissanceRe common shareholders per common share - diluted

   $ 1.57     $ 2.05  

Net claims and claim expense ratio

     28.6 %     26.6 %

Underwriting expense ratio

     27.9 %     24.8 %
                

Combined ratio

     56.5 %     51.4 %
                

Operating return on average common equity - annualized (1)

     15.5 %     21.3 %
                

 

(1) See Comments on Regulation G for a reconciliation of non-GAAP financial measures.

 

5


RenaissanceRe Holdings Ltd. and Subsidiaries

Summary Consolidated Balance Sheets

(in thousands of United States Dollars, except per share amounts)

 

     At
   March 31,
2009
   December 31,
2008
   (Unaudited)    (Audited)

Assets

     

Fixed maturity investments available for sale, at fair value

   $ 3,164,848    $ 2,996,885

Short term investments, at fair value

     2,136,336      2,172,343

Other investments, at fair value

     733,023      773,475

Investments in other ventures, under equity method

     88,159      99,879
             

Total investments

     6,122,366      6,042,582

Cash and cash equivalents

     249,340      274,692

Premiums receivable

     593,199      565,630

Ceded reinsurance balances

     149,309      88,019

Losses recoverable

     201,215      299,534

Accrued investment income

     23,927      26,614

Deferred acquisition costs

     97,710      81,904

Receivable for investments sold

     308,483      236,485

Other secured assets

     76,331      76,424

Other assets

     165,492      217,986

Goodwill and other intangibles

     72,537      74,181
             

Total assets

   $ 8,059,909    $ 7,984,051
             

Liabilities, Redeemable Noncontrolling Interest and Shareholders’ Equity

     

Liabilities

     

Reserve for claims and claim expenses

   $ 1,992,049    $ 2,160,612

Reserve for unearned premiums

     716,613      510,235

Debt

     450,000      450,000

Reinsurance balances payable

     289,522      315,401

Payable for investments purchased

     590,401      378,111

Other secured liabilities

     77,420      77,420

Other liabilities

     171,738      290,998
             

Total liabilities

     4,287,743      4,182,777
             

Redeemable noncontrolling interest - DaVinciRe

     650,763      768,531

Shareholders’ Equity

     

Preference shares

     650,000      650,000

Common shares

     62,324      61,503

Additional paid-in capital

     11,373      —  

Accumulated other comprehensive income

     69,530      75,387

Retained earnings

     2,328,176      2,245,853
             

Total shareholders’ equity

     3,121,403      3,032,743
             

Total liabilities, redeemable noncontrolling interest and shareholders’ equity

   $ 8,059,909    $ 7,984,051
             

Book value per common share

   $ 39.65    $ 38.74
             

Common shares outstanding

     62,324      61,503
             

 

6


RenaissanceRe Holdings Ltd. and Subsidiaries

Supplemental Financial Data - Segment Information

(in thousands of United States Dollars)

(Unaudited)

 

     Three months ended March 31, 2009  
   Reinsurance     Individual Risk     Eliminations (1)    Other     Total  

Gross premiums written

   $ 532,916     $ 65,149     $ 236    $ —       $ 598,301  
                                 

Net premiums written

   $ 414,787     $ 32,049          —       $ 446,836  
                             

Net premiums earned

   $ 225,971     $ 75,777          —       $ 301,748  

Net claims and claim expenses incurred

     16,571       69,626          —         86,197  

Acquisition expenses

     19,021       25,583          —         44,604  

Operational expenses

     29,115       10,642          —         39,757  
                                   

Underwriting income (loss)

   $ 161,264     $ (30,074 )        —         131,190  
                       

Net investment income

            42,126       42,126  

Equity in earnings of other ventures

            1,736       1,736  

Other loss

            (14,795 )     (14,795 )

Interest and preference share dividends

            (14,711 )     (14,711 )

Redeemable noncontrolling interest - DaVinciRe

            (35,475 )     (35,475 )

Other items, net

            (15,891 )     (15,891 )

Net realized gains on investments

            3,104       3,104  
                       

Net income available to RenaissanceRe common shareholders

          $ (33,906 )   $ 97,284  
                       

Net claims and claim expenses incurred - current accident year

   $ 41,306     $ 37,629          $ 78,935  

Net claims and claim expenses incurred - prior accident years

     (24,735 )     31,997            7,262  
                             

Net claims and claim expenses incurred - total

   $ 16,571     $ 69,626          $ 86,197  
                             

Net claims and claim expense ratio - current accident year

     18.3 %     49.7 %          26.2 %

Net claims and claim expense ratio - prior accident years

     (11.0 %)     42.2 %          2.4 %
                             

Net claims and claim expense ratio - calendar year

     7.3 %     91.9 %          28.6 %

Underwriting expense ratio

     21.3 %     47.8 %          27.9 %
                             

Combined ratio

     28.6 %     139.7 %          56.5 %
                             

 

(1) Represents gross premiums ceded from the Individual Risk segment to the Reinsurance segment.

 

     Three months ended March 31, 2008  
   Reinsurance     Individual Risk     Eliminations (1)    Other     Total  

Gross premiums written

   $ 443,728     $ 80,821     $ 2,489    $ —       $ 527,038  
                                 

Net premiums written

   $ 342,920     $ 60,196          —       $ 403,116  
                             

Net premiums earned

   $ 232,227     $ 76,687          —       $ 308,914  

Net claims and claim expenses incurred

     47,069       35,087          —         82,156  

Acquisition expenses

     18,515       27,913          —         46,428  

Operational expenses

     21,139       8,974          —         30,113  
                                   

Underwriting income

   $ 145,504     $ 4,713          —         150,217  
                       

Net investment income

            52,503       52,503  

Equity in earnings of other ventures

            6,250       6,250  

Other income

            8,012       8,012  

Interest and preference share dividends

            (17,379 )     (17,379 )

Redeemable noncontrolling interest - DaVinciRe

            (40,315 )     (40,315 )

Other items, net

            (11,453 )     (11,453 )

Net realized losses on investments

            (10,670 )     (10,670 )
                       

Net income available to RenaissanceRe common shareholders

          $ (13,052 )   $ 137,165  
                       

Net claims and claim expenses incurred - current accident year

   $ 70,576     $ 56,665          $ 127,241  

Net claims and claim expenses incurred - prior accident years

     (23,507 )     (21,578 )          (45,085 )
                             

Net claims and claim expenses incurred - total

   $ 47,069     $ 35,087          $ 82,156  
                             

Net claims and claim expense ratio - current accident year

     30.4 %     73.9 %          41.2 %

Net claims and claim expense ratio - prior accident years

     (10.1 %)     (28.1 %)          (14.6 %)
                             

Net claims and claim expense ratio - calendar year

     20.3 %     45.8 %          26.6 %

Underwriting expense ratio

     17.0 %     48.1 %          24.8 %
                             

Combined ratio

     37.3 %     93.9 %          51.4 %
                             

 

(1) Represents gross premiums ceded from the Individual Risk segment to the Reinsurance segment.

 

7


RenaissanceRe Holdings Ltd. and Subsidiaries

Supplemental Financial Data - Gross Premiums Written Analysis

(in thousands of United States Dollars) (Unaudited)

 

Reinsurance Segment

   Three months ended
   March 31, 2009    March 31, 2008

Renaissance catastrophe premiums

   $ 289,630    $ 224,968

Renaissance specialty premiums

     68,973      75,463
             

Total Renaissance premiums

     358,603      300,431
             

DaVinci catastrophe premiums

     171,786      139,178

DaVinci specialty premiums

     2,527      4,119
             

Total DaVinci premiums

     174,313      143,297
             

Total Reinsurance premiums

   $ 532,916    $ 443,728
             

Total specialty premiums

   $ 71,500    $ 79,582
             

Total catastrophe premiums

   $ 461,416    $ 364,146

Catastrophe premiums written on behalf of our joint venture, Top Layer Re (1)

     23,792      31,621

Catastrophe premiums assumed from the Individual Risk segment

     236      2,489
             

Total managed catastrophe premiums (2)

   $ 485,444    $ 398,256
             

 

(1) Top Layer Re is accounted for under the equity method of accounting.

 

(2) See Comments on Regulation G for a reconciliation of non-GAAP financial measures.

 

Individual Risk Segment

   Three months ended
   March 31, 2009    March 31, 2008

Commercial multi-line

   $ 24,642    $ 31,384

Personal lines property

     16,234      13,212

Commercial property

     16,121      30,853

Multi-peril crop

     8,152      5,372
             

Total Individual Risk premiums

   $ 65,149    $ 80,821
             

 

8


RenaissanceRe Holdings Ltd. and Subsidiaries

Supplemental Financial Data - Total Investment Result

(in thousands of United States Dollars) (Unaudited)

 

     Three months ended  
   March 31,
2009
    March 31,
2008
 

Fixed maturity investments available for sale

   $ 39,127     $ 49,535  

Short term investments

     3,071       19,080  

Other investments

    

Hedge funds and private equity investments

     (19,741 )     (1,940 )

Other

     21,821       (14,441 )

Cash and cash equivalents

     373       2,902  
                
     44,651       55,136  

Investment expenses

     (2,525 )     (2,633 )
                

Net investment income

     42,126       52,503  
                

Gross realized gains

     31,423       20,272  

Gross realized losses

     (9,297 )     (5,560 )

Other than temporary impairments

     (19,022 )     (25,382 )
                

Net realized gains (losses) on investments

     3,104       (10,670 )
                

Net change in unrealized holding gains on fixed maturity investments available for sale

     (5,407 )     23,729  
                

Total investment result

   $ 39,823     $ 65,562  
                

 

9


RenaissanceRe Holdings Ltd. and Subsidiaries

Supplemental Financial Data - Investment Portfolio - Yield to Maturity and Credit Rating

(in thousands of United States Dollars)

(Unaudited)

 

At March 31, 2009

  Amortized
Cost
  Fair
Value
    % of Total
Managed
Investment
Portfolio
    Credit Rating (1)  
        Yield to
Maturity
    AAA     AA     A     BBB     Non-
Investment
Grade
    Not
Rated
 
Short term investments   $ 2,136,336   $ 2,136,336     35.4 %   0.3 %   $ 2,113,433     $ 16,206     $ 5,469     $ 120     $ 1,108     $ —    
      100.0 %         98.9 %     0.7 %     0.3 %     0.0 %     0.1 %     0.0 %
Fixed maturity investments available for sale                    

U.S. treasuries

    223,224     227,594     3.8 %   1.5 %     227,594       —         —         —         —         —    

Agencies

                   

Fannie Mae & Freddie Mac

    373,351     380,955     6.3 %   1.6 %     376,288       —         4,667       —         —         —    

Other agencies

    21,931     23,169     0.4 %   2.1 %     23,169       —         —         —         —         —    
                                                                     

Total agencies

    395,282     404,124     6.7 %   1.6 %     399,457       —         4,667       —         —         —    

Non U.S. government

    78,035     80,921     1.3 %   5.3 %     46,694       11,462       373       10,317       12,075       —    

FDIC guaranteed corporate

    509,782     516,115     8.6 %   1.8 %     516,115       —         —         —         —         —    

Corporate

    501,458     518,400     8.6 %   6.2 %     18,715       198,711       195,272       54,734       50,968       —    

Mortgage-backed securities

                   

Residential mortgage-backed securities

                   

Agency securities

    967,757     990,126     16.4 %   3.0 %     990,126       —         —         —         —         —    

Non-agency securities

    39,343     39,887     0.7 %   13.9 %     39,387       —         —         500       —         —    

Non-agency securities - Alt A

    21,423     22,172     0.4 %   16.6 %     21,663       —         —         175       334       —    

Non-agency securities - Sub-prime

    —       —       0.0 %   0.0 %     —         —         —         —         —         —    
                                                                     

Total residential mortgage-backed securities

    1,028,523     1,052,185     17.5 %   3.8 %     1,051,176       —         —         675       334       —    

Commercial mortgage-backed securities

    209,562     213,943     3.5 %   9.2 %     213,943       —         —         —         —         —    
                                                                     

Total mortgage-backed securities

    1,238,085     1,266,128     21.0 %   4.7 %     1,265,119       —         —         675       334       —    

Asset-backed securities

                   

Credit cards

    51,316     53,647     0.9 %   3.9 %     53,647       —         —         —         —         —    

Auto

    45,553     48,008     0.8 %   5.1 %     48,008       —         —         —         —         —    

Other - Stranded cost

    7,292     7,670     0.1 %   3.2 %     7,670       —         —         —         —         —    

Other

    40,334     42,241     0.7 %   7.8 %     42,241       —         —         —         —         —    
                                                                     

Total asset-backed securities

    144,495     151,566     2.5 %   5.3 %     151,566       —         —         —         —         —    
                                                                     

Total securitized assets

    1,382,580     1,417,694     23.5 %   4.8 %     1,416,685       —         —         675       334       —    
                                                                     

Total fixed maturity investments available for sale

    3,090,361     3,164,848     52.5 %   3.9 %     2,625,260       210,173       200,312       65,726       63,377       —    
      100.0 %         83.0 %     6.6 %     6.3 %     2.1 %     2.0 %     0.0 %
Other investments                    

Private equity partnerships

      247,559     4.1 %       —         —         —         —         —         247,559  

Senior secured bank loan funds

      220,202     3.6 %       —         —         —         —         220,202       —    

Catastrophe bonds

      93,798     1.6 %       —         23,905       —         —         69,893       —    

Non-U.S. fixed income funds

      81,757     1.4 %       —         —         —         58,734       23,023       —    

Hedge funds

      72,428     1.2 %       —         —         —         —         —         72,428  

Miscellaneous other investments

      17,279     0.2 %       —         —         —         8,880       —         8,399  
                                                                 

Total other investments

      733,023     12.1 %       —         23,905       —         67,614       313,118       328,386  

Total managed investment portfolio

    $ 6,034,207     100.0 %     $ 4,738,693     $ 250,284     $ 205,781     $ 133,460     $ 377,603     $ 328,386  
      100.0 %         78.6 %     4.1 %     3.4 %     2.2 %     6.3 %     5.4 %

 

(1) The credit ratings included in this table are those assigned by Standard & Poor’s Corporation. The Company has grouped short term investments with an A-1+ and A-1 short-term issue credit rating as AAA, short term investments with A-2 short-term issue credit rating as AA and short term investments with an A-3 short-term issue credit rating as A.

 

10


RenaissanceRe Holdings Ltd. and Subsidiaries

Supplemental Financial Data - Investment Portfolio

(in thousands of United States Dollars)

(Unaudited)

 

    At March 31, 2009     At December 31, 2008     Change  
  Fair Value   % of Total
Managed
Investment
Portfolio
    Fair Value   % of Total
Managed
Investment
Portfolio
    $     %  
Short term investments   $ 2,136,336   35.4 %   $ 2,172,343   36.6 %   $ (36,007 )   (1.7 %)
Fixed maturity investments available for sale            

U.S. treasuries

    227,594   3.8 %     467,480   7.9 %     (239,886 )   (51.3 %)

Agencies

           

Fannie Mae & Freddie Mac

    380,955   6.3 %     385,229   6.4 %     (4,274 )   (1.1 %)

Other agencies

    23,169   0.4 %     63,292   1.1 %     (40,123 )   (63.4 %)
                                 

Total agencies

    404,124   6.7 %     448,521   7.5 %     (44,397 )   (9.9 %)

Non U.S. government

    80,921   1.3 %     57,058   1.0 %     23,863     41.8 %

FDIC guaranteed corporate

    516,115   8.6 %     207,393   3.5 %     308,722     148.9 %

Corporate

    518,400   8.6 %     539,817   9.1 %     (21,417 )   (4.0 %)

Mortgage-backed securities

           

Residential mortgage-backed securities

           

Agency securities

    990,126   16.4 %     756,902   12.7 %     233,224     30.8 %

Non-agency securities

    39,887   0.7 %     70,916   1.2 %     (31,029 )   (43.8 %)

Non-agency securities - Alt A

    22,172   0.4 %     27,756   0.5 %     (5,584 )   (20.1 %)

Non-agency securities - Sub-prime

    —     0.0 %     —     0.0 %     —       0.0 %
                                 

Total residential mortgage-backed securities

    1,052,185   17.5 %     855,574   14.4 %     196,611     23.0 %

Commercial mortgage-backed securities

    213,943   3.5 %     255,020   4.3 %     (41,077 )   (16.1 %)
                                 

Total mortgage-backed securities

    1,266,128   21.0 %     1,110,594   18.7 %     155,534     14.0 %

Asset-backed securities

           

Auto

    53,647   0.9 %     95,812   1.6 %     (42,165 )   (44.0 %)

Credit cards

    48,008   0.8 %     12,056   0.2 %     35,952     298.2 %

Other - Stranded cost

    7,670   0.1 %     7,639   0.1 %     31     0.4 %

Other

    42,241   0.7 %     50,515   0.8 %     (8,274 )   (16.4 %)
                                 

Total asset-backed securities

    151,566   2.5 %     166,022   2.7 %     (14,456 )   (8.7 %)
                                 

Total securitized assets

    1,417,694   23.5 %     1,276,616   21.4 %     141,078     11.1 %
                                 

Total fixed maturity investments available for sale

    3,164,848   52.5 %     2,996,885   50.4 %     167,963     5.6 %
Other investments            

Private equity partnerships

    247,559   4.1 %     258,901   4.3 %     (11,342 )   (4.4 %)

Senior secured bank loan funds

    220,202   3.6 %     215,870   3.6 %     4,332     2.0 %

Catastrophe bonds

    93,798   1.6 %     93,085   1.8 %     713     0.8 %

Non-U.S. fixed income funds

    81,757   1.4 %     81,719   1.6 %     38     0.0 %

Hedge funds

    72,428   1.2 %     105,838   1.4 %     (33,410 )   (31.6 %)

Miscellaneous other investments

    17,279   0.2 %     18,062   0.3 %     (783 )   (4.3 %)
                                 

Total other investments

    733,023   12.1 %     773,475   13.0 %     (40,452 )   (5.2 %)

Total managed investment portfolio

  $ 6,034,207   100.0 %   $ 5,942,703   100.0 %   $ 91,504     1.5 %

 

11


RenaissanceRe Holdings Ltd. and Subsidiaries

Supplemental Financial Data - Fixed Maturity Investments Available for Sale - Securitized Assets

(in thousands of United States Dollars)

(Unaudited)

 

At March 31, 2009

   Fair Value    % of Total
Managed
Investment
Portfolio
    % of Total Managed Investment Portfolio     % of Total
Securitized
Assets
    Average
Duration
        Vintage      
        2009     2008     2007     2006     2005     2004
&
Prior
     

Total managed investment portfolio

   $ 6,034,207    100.0 %                

Mortgage-backed securities

                     

Residential mortgage-backed securities

                     

Agency securities

     990,126    16.4 %   3.7 %   6.8 %   2.9 %   0.7 %   1.1 %   1.2 %   69.8 %   2.5

Non-agency securities

     39,887    0.7 %   0.0 %   0.0 %   0.0 %   0.1 %   0.2 %   0.3 %   2.8 %   0.8

Non-agency securities - Alt A

     22,172    0.4 %   0.0 %   0.0 %   0.0 %   0.0 %   0.1 %   0.2 %   1.6 %   0.3

Non-agency securities - Sub-prime

     —      0.0 %   0.0 %   0.0 %   0.0 %   0.0 %   0.0 %   0.0 %   0.0 %   —  
                                                         

Total non-agency securities

     62,059    1.1 %   0.0 %   0.0 %   0.0 %   0.1 %   0.3 %   0.5 %   4.4 %   0.6
                                                         

Total residential mortgage-backed securities

     1,052,185    17.5 %   3.7 %   6.8 %   2.9 %   0.8 %   1.4 %   1.7 %   74.2 %   2.3

Commercial mortgage-backed securities

     213,943    3.5 %   0.0 %   0.1 %   0.2 %   0.5 %   0.8 %   2.0 %   15.1 %   2.0
                                                         

Total mortgage-backed securities

     1,266,128    21.0 %   3.7 %   6.9 %   3.1 %   1.3 %   2.2 %   3.7 %   89.3 %   2.2

Asset-backed securities

                     

Credit cards

     53,647    0.9 %   0.0 %   0.3 %   0.0 %   0.4 %   0.2 %   0.0 %   3.8 %   0.6

Auto

     48,008    0.8 %   0.0 %   0.0 %   0.0 %   0.5 %   0.3 %   0.0 %   3.4 %   0.8

Other - Stranded cost

     7,670    0.1 %   0.0 %   0.0 %   0.0 %   0.0 %   0.1 %   0.0 %   0.5 %   1.7

Other

     42,241    0.7 %   0.0 %   0.4 %   0.0 %   0.0 %   0.2 %   0.1 %   3.0 %   0.3
                                                         

Total asset-backed securities

     151,566    2.5 %   0.0 %   0.7 %   0.0 %   0.9 %   0.8 %   0.1 %   10.7 %   0.7
                                                         

Total securitized assets

   $ 1,417,694    23.5 %   3.7 %   7.6 %   3.1 %   2.2 %   3.0 %   3.8 %   100.0 %   2.0
                                                         

RenaissanceRe Holdings Ltd. and Subsidiaries

Supplemental Financial Data - Investment Portfolio - Fixed Maturity Investments Available for Sale - Corporate

(in thousands of United States Dollars)

(Unaudited)

 

Sector

   At March 31, 2009
   Total    AAA    AA    A    BBB    Non-Investment
Grade

Financials

   $ 285,738    $ 16,130    $ 154,438    $ 97,593    $ 8,238    $ 9,339

Industrial, utilities and energy

     87,671      167      21,453      31,730      19,393      14,928

Consumer

     77,641      2,418      22,820      26,165      11,480      14,758

Communications and technology

     60,437      —        —        36,478      13,980      9,979

Basic materials

     6,913      —        —        3,306      1,643      1,964
                                         

Total corporate fixed maturity investments available for sale, at fair value (1)

   $ 518,400    $ 18,715    $ 198,711    $ 195,272    $ 54,734    $ 50,968
                                         

 

(1) Excludes FDIC guaranteed corporate fixed maturity investments available for sale, at fair value.

 

12


RenaissanceRe Holdings Ltd. and Subsidiaries

Supplemental Financial Data - Investment Portfolio

Short Term Investments and Fixed Maturity Investments Available for Sale - Top 10 Corporate Issuers by Fair Value

(in thousands of United States Dollars)

(Unaudited)

 

Issuer

   At March 31, 2009
   Total    Short term
investments
   Fixed maturity
investments
available for
sale

General Electric Company

   $ 71,238    $ —      $ 71,238

Wells Fargo & Company

     38,019      —        38,019

JP Morgan Chase & Co.

     20,600      2,054      18,546

BP PLC

     16,032      —        16,032

Chevron Corporation

     15,701      —        15,701

Bank of America Corporation

     12,274      100      12,174

The Goldman Sachs Group, Inc.

     9,828      —        9,828

Morgan Stanley

     9,184      —        9,184

Wal-Mart Stores, Inc.

     8,555      —        8,555

Citigroup Inc.

     8,555      —        8,555
                    

Total (1)

   $ 209,986    $ 2,154    $ 207,832
                    

 

(1) Excludes FDIC guaranteed corporate fixed maturity investments available for sale, at fair value.

 

13


Comments on Regulation G

In addition to the GAAP financial measures set forth in this Press Release, the Company has included certain non-GAAP financial measures in this Press Release within the meaning of Regulation G. The Company has provided these financial measurements in previous investor communications and the Company’s management believes that these measurements are important to investors and other interested persons, and that investors and such other persons benefit from having a consistent basis for comparison between quarters and for the comparison with other companies within the industry. These measures may not, however, be comparable to similarly titled measures used by companies outside of the insurance industry. Investors are cautioned not to place undue reliance on these non-GAAP measures in assessing the Company’s overall financial performance.

The Company uses “operating income” as a measure to evaluate the underlying fundamentals of its operations and believes it to be a useful measure of its corporate performance. “Operating income” as used herein differs from “net income available to RenaissanceRe common shareholders,” which the Company believes is the most directly comparable GAAP measure, by the exclusion of net realized gains and losses on investments. The Company’s management believes that “operating income” is useful to investors because it more accurately measures and predicts the Company’s results of operations by removing the variability arising from fluctuations in the Company’s investment portfolio, which is not considered by management to be a relevant indicator of business operations. The Company also uses “operating income” to calculate “operating income per common share – diluted” and “operating return on average common equity – annualized”. The following is a reconciliation of: 1) net income available to RenaissanceRe common shareholders to operating income available to RenaissanceRe common shareholders; 2) net income available to RenaissanceRe common shareholders per common share – diluted to operating income available to RenaissanceRe common shareholders per common share – diluted; and 3) return on average common equity – annualized to operating return on average common equity – annualized:

 

(in thousands of United States Dollars, except for per share amounts)

   Three months ended  
   March 31, 2009     March 31, 2008  

Net income available to RenaissanceRe common shareholders

   $ 97,284     $ 137,165  

Adjustment for net realized (gains) losses on investments

     (3,104 )     10,670  
                

Operating income available to RenaissanceRe common shareholders

   $ 94,180     $ 147,835  
                

Net income available to RenaissanceRe common shareholders per common share - diluted

   $ 1.57     $ 2.05  

Adjustment for net realized (gains) losses on investments

     (0.05 )     0.16  
                

Operating income available to RenaissanceRe common shareholders per common share - diluted

   $ 1.52     $ 2.21  
                

Return on average common equity - annualized

     16.0 %     19.7 %

Adjustment for net realized (gains) losses on investments

     (0.5 %)     1.6 %
                

Operating return on average common equity - annualized

     15.5 %     21.3 %
                

The Company has also included in this Press Release “managed catastrophe premiums.” “Managed catastrophe premiums” is defined as gross catastrophe premiums written by Renaissance Reinsurance and its related joint ventures. “Managed catastrophe premiums” differ from total catastrophe premiums, which the Company believes is the most directly comparable GAAP measure, due to the inclusion of catastrophe premiums written on behalf of the Company’s joint venture Top Layer Re, which is accounted for under the equity method of accounting. The Company’s management believes “managed catastrophe premiums” is useful to investors and other interested parties because it provides a measure of total catastrophe reinsurance premiums assumed by the Company through its consolidated subsidiaries and related joint ventures.

 

14