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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 10-Q

    QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the quarterly period ended September 30, 2020
OR

    TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

Commission file number: 001-38788
https://cdn.kscope.io/d666401e37e9eec89939c8ebdea97ddc-wtre-20200930_g1.jpg
Watford Holdings Ltd.
Bermuda
98-1155442
(State or other jurisdiction
of incorporation or organization)
(I.R.S. Employer Identification Number)
Waterloo House, 1st Floor
(441)
278-3455
100 Pitts Bay Road, Pembroke HM 08,Bermuda
(Registrant’s telephone number, including area code)
(Address of principal executive offices)
Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Exchange Act during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes ☒ No ☐
Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files). Yes ☒ No ☐
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, smaller reporting company, or an emerging growth company. See the definitions of “large accelerated filer,” “accelerated filer,” “smaller reporting company,” and “emerging growth company” in Rule 12b-2 of the Exchange Act.
Large accelerated filer
Accelerated filer ☐
Non-accelerated filer Smaller reporting companyEmerging growth company
If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act.
Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes No ☒
Securities registered pursuant to Section 12(b) of the Act:
Title of each classTrading Symbol(s)Name of each exchange on which registered
Common SharesWTRENasdaq Global Select Market
8½% Cumulative Redeemable Preference SharesWTREPNasdaq Global Select Market

As of November 10, 2020, there were 19,886,979 common shares, $0.01 par value per share, of the registrant outstanding.



Watford Holdings Ltd.
Index to Form 10-Q
Page
Part I.
Item 1.
Item 2.
Item 3.
Item 4.
Part II.
Item 1.
Item 1A.
Item 2.
Item 3.
Item 4.
Item 5.
Item 6.
1


Explanatory note - Certain defined terms
Unless the context suggests otherwise, any reference in this report to:
“ACGL” refers to Arch Capital Group Ltd. and its controlled subsidiaries;
“Arch” refers to any one or more of the following direct or indirect subsidiaries of ACGL, as applicable in the context in which such term appears:
Arch Investment Management Ltd., or AIM, which manages the majority of our investment grade portfolio;
Arch Reinsurance Company, or ARC, which is a party to certain quota share agreements with one or more of our operating subsidiaries and a services agreement with Watford Holdings (U.S.) Inc.;
Arch Reinsurance Ltd., or ARL, which is a party to certain quota share agreements with one or more of our operating subsidiaries and owned approximately 12.6% of our outstanding common shares as of September 30, 2020;
Arch Underwriters Inc., or AUI, which manages the underwriting business of our U.S. operating subsidiaries;
Arch Underwriters Ltd., or AUL, which manages the underwriting business of our non-U.S. operating subsidiaries, including Watford Re;
“HPS” refers to HPS Investment Partners, LLC (formerly known as Highbridge Principal Strategies, LLC), which manages our non-investment grade portfolio, as well as accounts in our investment grade portfolio;
our “Investment Managers” refers to AIM, HPS or any other investment managers that manage our investment grade portfolio or our non-investment grade portfolio from time to time;
“Watford,” “we,” “us” and “our” refers to Watford Holdings Ltd. and its subsidiaries;
“Watford Holdings” refers to our company, Watford Holdings Ltd., a Bermuda exempted company;
“Watford Re” refers to Watford Re Ltd., a Bermuda domiciled insurance company and a wholly-owned subsidiary of our company;
“Watford Trust” refers to Watford Asset Trust I, a statutory trust organized under the laws of the State of Delaware;
“WIC” refers to Watford Insurance Company, a New Jersey domiciled insurance company and a wholly-owned subsidiary of our company;
“WICE” refers to Watford Insurance Company Europe Limited, a Gibraltar domiciled insurance company and a wholly-owned subsidiary of our company; and
“WSIC” refers to Watford Specialty Insurance Company, a New Jersey domiciled insurance company and a wholly-owned subsidiary of our company.
In addition, unless the context suggests otherwise, any reference in this report to:
“HoldCo” refers to Greysbridge Holdings Ltd., a newly formed entity of which ACGL will own approximately 40%, and funds managed by Warburg Pincus LLC and Kelso & Company will each own approximately 30%;
2



“Merger” refers to the merger of Merger Sub with and into Watford pursuant to the Merger Agreement, with Watford surviving as a wholly-owned subsidiary of HoldCo;
“Merger Agreement” refers to the Agreement and Plan of Merger, dated as of October 9, 2020, among Watford, ACGL and Merger Sub, as amended by Amendment No. 1 to Agreement and Plan of Merger, dated as of November 2, 2020, among Watford, ACGL and Merger Sub; and
“Merger Sub” refers to Greysbridge Ltd., a wholly-owned subsidiary of HoldCo.
Explanatory note - Proposed merger
On October 9, 2020, we announced that we had entered into a definitive agreement to be acquired by ACGL. Further, on November 2, 2020, ACGL assigned its interests and obligations in connection with this acquisition to Greysbridge Holdings Ltd., a newly formed entity of which ACGL will own approximately 40%, and funds managed by Warburg Pincus LLC and Kelso & Company will each own approximately 30%. Unless stated otherwise, all forward-looking information contained in this report on Form 10-Q does not take into account or give any effect to the impact of the Merger (as defined herein). For additional details regarding the Merger, see Part II Item 1A “Risk factors” and Part I Item 2 “Management’s discussion and analysis of financial condition and results of operations” of this Quarterly Report on Form 10-Q, and Note 19 to our consolidated financial statements contained in Part I Item 1 of this Quarterly Report on Form 10-Q.

3



Part I. Financial information
Cautionary note regarding forward-looking statements
The Private Securities Litigation Reform Act of 1995 (or the PSLRA) provides a “safe harbor” for forward-looking statements. This report contains forward-looking statements that are intended to enhance the reader’s ability to assess our future financial and business performance. These statements are based on the beliefs and assumptions of our management, and are subject to risks and uncertainties. Generally, statements that are not about historical facts, including statements concerning our possible or assumed future actions or results of operations are forward-looking statements. Forward-looking statements include, but are not limited to, statements that represent our beliefs, expectations or estimates concerning future operations, strategies, financial results or performance, financings, investments, acquisitions, expenditures or other developments and anticipated trends and competition in the markets in which we operate. Forward-looking statements, for purposes of the PSLRA or otherwise, can also be identified by the use of forward-looking terminology such as “may,” “believes,” “intends,” “anticipates,” “plans,” “estimates,” “expects,” “should” or similar expressions.
Forward-looking statements involve our current assessment of risks and uncertainties. Actual events and results may differ materially from those expressed or implied in these statements. Important factors that could cause actual events or results to differ materially from those indicated in such statements are discussed below and elsewhere in this report and in our other reports and other documents filed with the Securities and Exchange Commission, or the SEC, and include:
our limited operating history;
fluctuations in the results of our operations;
our ability to compete successfully with more established competitors;
our losses exceeding our reserves;
downgrades, potential downgrades or other negative actions by rating agencies, including the recent announcements by A.M. Best Company, or A.M. Best, that it has placed under review with negative implications our financial strength and credit ratings and Kroll Bond Rating Agency, or KBRA, that it has revised the outlook of our financial strength and credit ratings to negative and placed such ratings on “watch developing” status;
our dependence on key executives and inability to attract qualified personnel, or the potential loss of suitably qualified personnel as a result of Bermuda employment and immigration restrictions;
our dependence on letter of credit facilities and borrowing facilities that may not be available on commercially acceptable terms;
our potential inability to pay dividends or distributions;
our potential need for additional capital in the future and the potential unavailability of such capital to us on favorable terms or at all;
our dependence on clients’ evaluations of risks associated with such clients’ insurance underwriting;
the suspension or revocation of our subsidiaries’ insurance licenses;
Watford Holdings potentially being deemed an investment company under U.S. federal securities law;
4



the potential characterization of us and/or any of our subsidiaries as a passive foreign investment company, or PFIC;
our dependence on Arch for services critical to our underwriting operations;
changes to our strategic relationship with Arch or the termination by Arch of any of our services agreements or quota share agreements;
our dependence on HPS and AIM to implement our investment strategy;
the termination by HPS or AIM of any of our investment management agreements;
risks associated with our investment strategy being greater than those faced by competitors;
changes in the regulatory environment;
our potentially becoming subject to U.S. federal income taxation;
our potentially becoming subject to U.S. withholding and information reporting requirements under the U.S. Foreign Account Tax Compliance Act, or FATCA, provisions;
our ability to complete acquisitions and integrate businesses successfully;
adverse general, societal, economic and market conditions, including those caused by pandemics, including the current global pandemic related to the novel coronavirus, or COVID-19, and government actions in response thereto;
one or more closing conditions to the Merger, including certain regulatory approvals, may not be satisfied or waived, on a timely basis or otherwise, including that a governmental entity may prohibit, delay or refuse to grant approval for the consummation of the Merger, or that the required approval of the Merger Agreement by our shareholders may not be obtained;
our business may suffer as a result of uncertainty surrounding the Merger and there may be challenges with employee retention as a result of the Merger;
the Merger may involve unexpected costs, liabilities or delays;
legal proceedings may be initiated related to the Merger;
an event, change or other circumstance may occur that could give rise to the termination of the Merger Agreement (including circumstances requiring us to pay HoldCo a termination fee pursuant to the Merger Agreement); and
the other matters set forth under Item 1A “Risk factors,” Item 7 “Management’s discussion and analysis of financial condition and results of operations,” and other sections of the Company’s Annual Report on Form 10-K for the year ended December 31, 2019, Part II Item 1A “Risk factors” and Part I Item 2 “Management’s discussion and analysis of financial condition and results of operations” of this Quarterly Report on Form 10-Q as well as the other factors set forth in the Company’s other documents on file with the SEC, and management’s response to any of the aforementioned factors.
Consequently, such forward-looking statements should be regarded solely as our current plans, estimates or belief as of the date of this report. All subsequent forward-looking statements attributable to us or persons acting on our behalf are expressly qualified in their entirety by these cautionary statements. The foregoing review of important factors should not be construed as exhaustive and should be read in conjunction with other cautionary statements that are included herein or elsewhere. We do not intend, and do not undertake, any obligation to update any forward-looking statements to reflect future events or circumstances after the date of this report.

5



Item 1. Consolidated financial statements
Page
September 30, 2020 (unaudited) and December 31, 2019
For the three and nine months ended September 30, 2020 and 2019 (unaudited)
For the three and nine months ended September 30, 2020 and 2019 (unaudited)
For the three and nine months ended September 30, 2020 and 2019 (unaudited)
For the nine months ended September 30, 2020 and 2019 (unaudited)
Notes to the Consolidated Financial Statements (unaudited)

6



WATFORD HOLDINGS LTD.
CONSOLIDATED BALANCE SHEETS
(U.S. dollars in thousands, except share data)
(Unaudited)
September 30,December 31,
20202019
Assets
Investments:
Term loans, fair value option (Amortized cost: $969,929 and $1,113,212)
$893,030 $1,061,934 
Fixed maturities, fair value option (Amortized cost: $677,977 and $432,576)
632,664 416,594 
Short-term investments, fair value option (Cost: $348,479 and $325,542)
350,391 329,303 
Equity securities, fair value option60,951 59,799 
Other investments, fair value option (1) 30,461 
Investments, fair value option1,937,036 1,898,091 
Fixed maturities, available for sale (Amortized cost: $645,663 and $739,456)
649,781 745,708 
Equity securities, fair value through net income52,829 65,338 
Total investments (1)2,639,646 2,709,137 
Cash and cash equivalents195,333 102,437 
Accrued investment income16,234 14,025 
Premiums receivable (1)263,748 273,657 
Reinsurance recoverable on unpaid and paid losses and loss adjustment expenses (1)
263,293 170,974 
Prepaid reinsurance premiums (1)131,885 132,577 
Deferred acquisition costs, net (1) 58,583 64,044 
Receivable for securities sold1,730 16,288 
Intangible assets7,650 7,650 
Funds held by reinsurers (1)46,787 42,505 
Other assets 28,331 17,562 
Total assets$3,653,220 $3,550,856 
Liabilities
Reserve for losses and loss adjustment expenses (1)$1,429,656 $1,263,628 
Unearned premiums (1)459,476 438,907 
Losses payable (1) 78,537 61,314 
Reinsurance balances payable (1)68,339 77,066 
Payable for securities purchased67,602 18,180 
Payable for securities sold short24,909 66,257 
Revolving credit agreement borrowings 390,195 484,287 
Senior notes (1)172,621 172,418 
Amounts due to affiliates (1) 5,060 4,467 
Investment management and performance fees payable (1)7,539 17,762 
Other liabilities (1)30,012 21,912 
Total liabilities$2,733,946 $2,626,198 
Commitments and contingencies
Contingently redeemable preference shares (1)52,375 52,305 
Shareholders’ equity
Common shares ($0.01 par; shares authorized: 120 million; shares issued: 22,804,128 and 22,692,300)
228 227 
Additional paid-in capital
899,213 898,083 
Retained earnings (deficit)
42,184 43,470 
Accumulated other comprehensive income (loss)
3,197 5,629 
Common shares held in treasury, at cost (shares: 2,917,149 and 2,789,405)
(77,923)(75,056)
Total shareholders’ equity
866,899 872,353 
Total liabilities, contingently redeemable preference shares and shareholders’ equity
$3,653,220 $3,550,856 
(1) See Note 12, “Transactions with related parties” for disclosure of related party amounts.
See Notes to Consolidated Financial Statements
7


WATFORD HOLDINGS LTD.
CONSOLIDATED STATEMENTS OF INCOME (LOSS)
(U.S. dollars in thousands, except share and per share data)
(Unaudited)(Unaudited)
Three Months Ended September 30,Nine Months Ended September 30,
2020201920202019
Revenues
Gross premiums written (1)$197,480 $249,960 $590,309 $598,627 
Gross premiums ceded (1)(50,164)(94,208)(150,437)(178,118)
Net premiums written147,316 155,752 439,872 420,509 
Change in unearned premiums (1)(1,285)(29,920)(22,267)2,735 
Net premiums earned (1)146,031 125,832 417,605 423,244 
Other underwriting income (loss)546 579 1,547 1,844 
Interest income34,553 41,376 108,830 123,113 
Investment management fees - related parties (1) (4,380)(4,606)(12,994)(13,585)
Borrowing and miscellaneous other investment expenses
(3,657)(7,234)(14,089)(23,143)
Net interest income26,516 29,536 81,747 86,385 
Realized and unrealized gains (losses) on investments
67,995 (14,646)(50,444)18,138 
Investment performance fees - related parties (1) (1,758)(850)(1,758)(8,342)
Net investment income (loss) 92,753 14,040 29,545 96,181 
Total revenues239,330 140,451 448,697 521,269 
Expenses
Loss and loss adjustment expenses (1)(115,813)(96,214)(331,275)(318,480)
Acquisition expenses (1) (31,110)(27,612)(88,963)(97,003)
General and administrative expenses (1)(7,346)(7,027)(22,326)(24,018)
Interest expense (1)(2,912)(2,841)(8,735)(2,841)
Net foreign exchange gains (losses)(2,926)167 4,752 (711)
Total expenses(160,107)(133,527)(446,547)(443,053)
Income (loss) before income taxes79,223 6,924 2,150 78,216 
Income tax benefit (expense)(69) 333 (20)
Net income (loss) before preference dividends and redemption costs
79,154 6,924 2,483 78,196 
Preference dividends (1) (1,061)(2,608)(3,341)(12,423)
Accelerated amortization of costs related to the redemption of preference shares (1)
 (4,164) (4,164)
Net income (loss) available to common shareholders
$78,093 $152 $(858)$61,609 
Earnings (loss) per common share:
Basic$3.93 $0.01 $(0.04)$2.71 
Diluted
$3.92 $0.01 $(0.04)$2.71 
Weighted average number of common shares used in the determination of earnings (loss) per share:
Basic
19,890,784 22,765,802 19,901,921 22,729,848 
Diluted
19,904,051 22,776,204 19,901,921 22,734,464 
(1) See Note 12, “Transactions with related parties” for disclosure of related party amounts.
See Notes to Consolidated Financial Statements
8


WATFORD HOLDINGS LTD.
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS)
(U.S. dollars in thousands)
(Unaudited)(Unaudited)
Three Months Ended September 30,Nine Months Ended September 30,
2020201920202019
Comprehensive income (loss)
Net income (loss) available to common shareholders$78,093 $152 $(858)$61,609 
Other comprehensive income (loss) net of income tax:
Available for sale investments:
Unrealized holding gains (losses) arising during the period6,631 3,785 9,440 14,398 
Unrealized foreign currency gains (losses) arising during the period5,729 (3,676)(1,691)(4,224)
Credit loss recognized in net income (loss) 59  410  
Reclassification of net realized (gains) losses, included in net income (loss)368 (1,254)(10,368)(3,465)
Unrealized holding gains (losses) of available for sale investments12,787 (1,145)(2,209)6,709 
Foreign currency translation adjustments(411)286 (223)333 
Other comprehensive income (loss) net of income tax12,376 (859)(2,432)7,042 
Comprehensive income (loss) $90,469 $(707)$(3,290)$68,651 
See Notes to Consolidated Financial Statements
9


WATFORD HOLDINGS LTD.
CONSOLIDATED STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(U.S. dollars in thousands)
(Unaudited)(Unaudited)
Three Months Ended September 30,Nine Months Ended September 30,
2020201920202019
Common shares
Balance at beginning of period$228 $227 $227 $227 
Common shares issued  1  
Balance at end of period228 227 228 227 
Additional paid-in capital
Balance at beginning of period898,935 897,716 898,083 895,386 
Common shares issued under share plans  490 250 
Share-based compensation278 184 640 2,264 
Balance at end of period899,213 897,900 899,213 897,900 
Accumulated other comprehensive income (loss)
Balance at beginning of period(9,179)3,171 5,629 (4,730)
Unrealized holding gains (losses) of available for sale investments:
Balance at beginning of period(8,744)3,696 6,252 (4,158)
Unrealized holding gains (losses) of available for sale investments, net of reclassification adjustments12,787 (1,145)(2,209)6,709 
Balance at end of period4,043 2,551 4,043 2,551 
Currency translation adjustment:
Balance at beginning of period(435)(525)(623)(572)
Currency translation adjustment(411)286 (223)333 
Balance at end of period(846)(239)(846)(239)
Balance at end of period<