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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 March 31, 2021
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/9aab98d899ca6d0a1cfb47c091d3f1b9-wtre-20210331_g1.jpg
Watford Holdings Ltd.
(Exact Name of Registrant as Specified in its Charter)
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 filerSmaller 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 May 10, 2021, there were 19,924,220 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 10.2% of our outstanding common shares as of March 31, 2021;
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 Holdings pursuant to the Merger Agreement, with Watford Holdings 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 Holdings, ACGL and Merger Sub, as amended by Amendment No. 1 to Agreement and Plan of Merger, dated as of November 2, 2020, among Watford Holdings, ACGL and Merger Sub; and
“Merger Sub” refers to Greysbridge Ltd., a newly formed entity that is a wholly-owned subsidiary of HoldCo.
Explanatory note - Proposed merger
On October 9, 2020, we announced that we had entered into (i) an Agreement and Plan of Merger with ACGL and Merger Sub pursuant to which, among other things, Merger Sub will merge with and into Watford Holdings, with Watford Holdings surviving as a wholly-owned subsidiary of ACGL, and (ii) a Voting and Support Agreement (or the Arch Voting Agreement) with ARL and Gulf Reinsurance Ltd., each a subsidiary of ACGL, pursuant to which, among other things, ARL and Gulf Reinsurance Ltd. agreed to vote all of the Company’s common shares and preference shares owned by them in favor of the Merger and to not transfer any such shares, subject to the conditions set forth in the Arch Voting Agreement. On November 2, 2020, we announced that we had entered into an amendment to the merger agreement with ACGL and Merger Sub to amend certain terms of the original merger agreement. ACGL assigned its interests and obligations in connection with this acquisition to HoldCo, 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%.
On February 16, 2021, ARL sold an aggregate of 230,400 common shares to affiliates of Kelso & Company, or Kelso, and 230,400 common shares to an affiliate of Warburg Pincus LLC, Warburg Pincus, in each case, at a purchase price of $34.66 per common share which was the then current market price of the common shares (based on the closing sale price of the common shares on the Nasdaq Global Select Market on February 12, 2021) (such sales collectively referred to as the Arch Sales). In connection with the Arch Sales, the Company entered into a waiver to the Arch Voting Agreement with ARL and Gulf Reinsurance Ltd. in order to permit the Arch Sales to Kelso and Warburg Pincus. The Company also entered into Voting and Support Agreements with Kelso and Warburg Pincus, which are substantially similar to the Arch Voting Agreement and pursuant to which Kelso and Warburg Pincus agreed, among other things, to vote any common shares or preference shares owned by them (i) in favor of the adoption of the Merger Agreement and (ii) against any proposal or action that would reasonably be expected to impede or adversely affect in any material respect the merger or any of the other transactions contemplated by the Merger Agreement.
The Merger is expected to close in the first half of 2021, subject to customary closing conditions, including regulatory approval. Shareholder approval was obtained on March 30, 2021 at the Company's special general meeting.
Unless stated otherwise, all forward-looking information contained in this Quarterly Report on Form 10-Q does not take into account or give any effect to the impact of the Merger. For additional details regarding the Merger, see Part II Item 1A “Risk factors”, Part II Item 1 “Legal proceedings” 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.


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:
adverse general 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;
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 announcements by A.M. Best Company, or A.M. Best, that it has placed under review with negative implications status for 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;
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;
4


Watford Holdings potentially being deemed an investment company under U.S. federal securities law;
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;
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;
uncertainties regarding the proposed acquisition of Watford Holdings by HoldCo;
our business may suffer as a result of uncertainty surrounding the proposed transaction with HoldCo, and there may be challenges with employee retention as a result of the proposed transaction with HoldCo;
the proposed transaction with HoldCo may involve unexpected costs, liabilities or delays;
legal proceedings that have been, and additional proceedings that may be, initiated against us or our directors related to the proposed transactions with HoldCo;
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, 2020, 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 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
March 31, 2021 (unaudited) and December 31, 2020
For the three months ended March 31, 2021 and 2020 (unaudited)
For the three months ended March 31, 2021 and 2020 (unaudited)
For the three months ended March 31, 2021 and 2020 (unaudited)
For the three months ended March 31,2021 and 2020 (unaudited)
Notes to the Consolidated Financial Statements (unaudited)


6


WATFORD HOLDINGS LTD.
CONSOLIDATED BALANCE SHEETS
(U.S. dollars in thousands, except share data)
(Unaudited)
March 31,December 31,
20212020
Assets
Investments:
Term loans, fair value option (Amortized cost: $815,305 and $890,996)
$790,186 $851,539 
Fixed maturities, fair value option (Amortized cost: $546,878 and $477,548)
539,687 455,162 
Short-term investments, fair value option (Cost: $477,084 and $412,762)
483,600 418,690 
Equity securities, fair value option67,295 64,994 
Investments, fair value option1,880,768 1,790,385 
Fixed maturities, available for sale (Amortized cost: $616,054 and $638,075)
627,387 655,249 
Equity securities, fair value through net income63,758 53,207 
Total investments (1)2,571,913 2,498,841 
Cash and cash equivalents236,164 211,451 
Accrued investment income14,325 14,679 
Premiums receivable (1)252,523 224,377 
Reinsurance recoverable on unpaid and paid losses and loss adjustment expenses (1)
291,485 286,590 
Prepaid reinsurance premiums (1)113,180 122,339 
Deferred acquisition costs, net (1) 62,224 53,705 
Receivable for securities sold68,076 37,423 
Intangible assets7,650 7,650 
Funds held by reinsurers (1)54,929 45,989 
Other assets (1)30,985 29,016 
Total assets$3,703,454 $3,532,060 
Liabilities
Reserve for losses and loss adjustment expenses (1)$1,568,243 $1,519,583 
Unearned premiums (1)426,975 407,714 
Losses payable (1) 48,415 59,397 
Reinsurance balances payable (1)77,041 63,269 
Payable for securities purchased50,265 16,916 
Payable for securities sold short34,589 21,975 
Revolving credit agreement borrowings 250,579 211,640 
Senior notes (1)172,757 172,689 
Amounts due to affiliates (1) 4,516 7,708 
Investment management and performance fees payable (1)12,012 21,641 
Other liabilities (1)28,645 35,786 
Total liabilities$2,674,037 $2,538,318 
Commitments and contingencies
Contingently redeemable preference shares (1)52,421 52,398 
Shareholders’ equity
Common shares ($0.01 par; shares authorized: 120 million; shares issued: 22,813,915 and 22,804,128)
228 228 
Additional paid-in capital899,761 899,491 
Retained earnings (deficit) 144,441 103,554 
Accumulated other comprehensive income (loss)10,489 15,994 
Common shares held in treasury, at cost (shares: 2,917,149 and 2,917,149)
(77,923)(77,923)
Total shareholders’ equity
976,996 941,344 
Total liabilities, contingently redeemable preference shares and shareholders’ equity
$3,703,454 $3,532,060 
(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)
Three Months Ended March 31,
20212020
Revenues
Gross premiums written (1)$216,523 $234,902 
Gross premiums ceded (1)(37,212)(48,202)
Net premiums written (1)179,311 186,700 
Change in unearned premiums (1)(31,580)(46,661)
Net premiums earned (1)147,731 140,039 
Other underwriting income (loss)411 133 
Interest income25,798 37,824 
Investment management fees - related parties (1) (4,487)(4,352)
Borrowing and miscellaneous other investment expenses
(2,354)(5,669)
Net interest income18,957 27,803 
Realized and unrealized gains (losses) on investments
46,173 (290,502)
Investment performance fees - related parties (1) (6,016) 
Net investment income (loss) 59,114 (262,699)
Total revenues207,256 (122,527)
Expenses
Loss and loss adjustment expenses (1)(118,794)(110,676)
Acquisition expenses (1) (35,135)(28,367)
General and administrative expenses (1)(7,292)(7,139)
Interest expense (1)(2,912)(2,912)
Net foreign exchange gains (losses)(475)5,013 
Transaction costs and other(715) 
Total expenses(165,323)(144,081)
Income (loss) before income taxes41,933 (266,608)
Income tax expense(8) 
Net income (loss) before preference dividends41,925 (266,608)
Preference dividends (1) (1,038)(1,171)
Net income (loss) available to common shareholders
$40,887 $(267,779)
Earnings (loss) per common share:
Basic$2.06 $(13.42)
Diluted
$2.05 $(13.42)
Weighted average number of common shares used in the determination of earnings (loss) per share:
Basic
19,892,886 19,951,932 
Diluted19,956,123 19,951,932 
(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)
Three Months Ended March 31,
20212020
Comprehensive income (loss)
Net income (loss) available to common shareholders$40,887 $(267,779)
Other comprehensive income (loss) net of income tax:
Available for sale investments:
Unrealized holding gains (losses) arising during the period(5,116)(28,431)
Unrealized foreign currency gains (losses) arising during the period620 (7,699)
Credit loss recognized in net income (loss)
412 563 
Reclassification of net realized (gains) losses, included in net income (loss)(1,345)(2,405)
Unrealized holding gains (losses) of available for sale investments
(5,429)(37,972)
Foreign currency translation adjustments(76)137 
Other comprehensive income (loss) net of income tax(5,505)(37,835)
Comprehensive income (loss) $35,382 $(305,614)
See Notes to Consolidated Financial Statements
9


WATFORD HOLDINGS LTD.
CONSOLIDATED STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(U.S. dollars in thousands)
(Unaudited)
Three Months Ended March 31,
20212020
Common shares
Balance at beginning of period$228 $227 
Common shares issued  
Balance at end of period228 227 
Additional paid-in capital
Balance at beginning of period899,491 898,083 
Common shares issued under share plans225 250 
Share-based compensation45 360 
Balance at end of period899,761 898,693 
Accumulated other comprehensive income (loss)
Balance at beginning of period15,994 5,629 
Unrealized holding gains (losses) of available for sale investments:
Balance at beginning of period17,371 6,252 
Unrealized holding gains (losses) of available for sale investments, net of reclassification adjustments(5,429)(37,972)
Balance at end of period11,942 (31,720)
Currency translation adjustment:
Balance at beginning of period(1,377)(623)
Currency translation adjustment(76)137 
Balance at end of period(1,453)(486)
Balance at end of period10,489 (32,206)
Common shares held in treasury, at cost
Balance at beginning of period(77,923)(75,056)
Shares repurchased for treasury (2,867)
Balance at end of period(77,923)(77,923)
Retained earnings (deficit)
Balance at beginning of period103,554 43,470 
Cumulative effect of adoption of updated accounting guidance for credit losses at January 1, 2020 (428)
Net income (loss) before preference dividends41,925 (266,608)
Preference share dividends paid and accrued(1,038)(1,171)
Balance at end of period144,441 (224,737)
Total shareholders’ equity$976,996 $564,054 
See Notes to Consolidated Financial Statements
10


WATFORD HOLDINGS LTD.
CONSOLIDATED STATEMENTS OF CASH FLOWS
(U.S. dollars in thousands)
(Unaudited)
Three Months Ended March 31,
20212020
Operating Activities
Net income (loss) before preference dividends$41,925 $(266,608)
Adjustments to reconcile net income (loss) to net cash provided by operating activities:
Net realized and unrealized (gains) losses on investments(46,173)290,502 
Amortization of fixed assets4 1 
Share-based compensation270 610 
Changes in:
Accrued investment income356 (2,329)
Premiums receivable(29,097)(16,272)
Reinsurance recoverable on unpaid and paid losses and loss adjustment expenses
(8,457)(23,069)
Prepaid reinsurance premiums9,158 4,007 
Deferred acquisition costs, net(9,103)(7,995)
Reserve for losses and loss adjustment expenses50,539 60,178 
Unearned premiums22,422 42,654 
Reinsurance balances payable14,277 (6,901)
Funds held with reinsurers(8,829)(2,868)
Other liabilities(28,126)(27,662)
Other items(2,182)(19,673)
Net Cash Provided By Operating Activities6,984 24,575 
Investing Activities
Purchase of term loans(105,440)(86,702)
Purchase of fixed maturity investments(554,618)(328,927)
Purchase of short-term investments with maturities over three months (36,119)
Proceeds from sale, redemptions and maturity of term loans166,281 98,992 
Proceeds from sales, redemptions and maturities of fixed maturity investments
546,187 215,719 
Proceeds from sales, redemptions and maturities of short-term investments with maturities over three months 5,596 
Net (purchases) sales of short-term investments with maturities less than three months(64,138)22,337 
Purchases of equity securities(6,180)(6,388)
Proceeds from sales of equity securities1,024 1,531 
Net settlements of derivative instruments (600)2,336 
Purchases of furniture, equipment and other assets(14)(2)
Net Cash Provided by (Used For) Investing Activities(17,498)(111,627)
Financing Activities
Dividends paid on redeemable preference shares(1,015)(1,148)
Proceeds from borrowings38,939 92,199 
Purchases of common shares under share repurchase program (2,867)
Net Cash Provided By (Used For) Financing Activities37,924 88,184 
Effects of exchange rate changes on foreign currency cash(2,697)(6,989)
Increase (decrease) in cash24,713 (5,857)
Cash and cash equivalents, beginning of period211,451 102,437 
Cash and cash equivalents, end of period$236,164 $96,580 
Supplementary information
Income taxes paid$8 $ 
Interest paid$1,810 $5,422 
Non-cash exchange of investments$15,328 $13,467 
See Notes to Consolidated Financial Statements
11


WATFORD HOLDINGS LTD.
NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
(U.S. dollars in thousands, except share data)

1. Organization
Watford Holdings Ltd. (the “Parent”) and its wholly-owned subsidiary, Watford Re Ltd. (“Watford Re”), were incorporated under the laws of Bermuda on July 19, 2013.
As used herein, the terms “Company” or “Companies,” or “we,” “us” and “our,” collectively refer to the Parent and/or, as applicable, its subsidiaries. Watford Re is licensed as a Class 4 multi-line insurer under the Insurance Act 1978 of Bermuda, as amended, and related regulations (the “Insurance Act”) and is licensed to underwrite general business on an insurance and reinsurance basis. Through Watford Re, the Company primarily underwrites reinsurance on exposures worldwide.
Watford Re and Watford Insurance Company Europe Limited (“WICE”) have engaged Arch Underwriters Ltd. (“AUL”), a company incorporated in Bermuda and a wholly-owned subsidiary of Arch Capital Group Ltd. (“ACGL”), to act as their insurance and reinsurance manager pursuant to services agreements between AUL and Watford Re and WICE, respectively. AUL manages the day-to-day underwriting activities of Watford Re and WICE, subject to the provisions of the services agreement and the oversight of our board of directors. See Note 12, “Transactions with related parties” for further details.
In May 2018, WICE formed a branch in Romania and commenced underwriting operations in June 2018. WICE is a wholly-owned subsidiary of Watford Re. The Romanian branch ceased accepting new business from September 1, 2020.
Watford Specialty Insurance Company (“WSIC”) and Watford Insurance Company (“WIC”), which are wholly-owned, indirect subsidiaries of Watford Re, have engaged Arch Underwriters Inc. (“AUI”), a company incorporated in Delaware and a wholly-owned subsidiary of ACGL, to act as their insurance and reinsurance manager pursuant to services agreements between AUI and WSIC and WIC, respectively. AUI manages the day-to-day underwriting activities of WSIC and WIC, subject to the provisions of the services agreement and the oversight of our board of directors. See Note 12, “Transactions with related parties” for further details.
The Company has engaged HPS Investment Partners, LLC (“HPS”), as Investment Manager of the assets in its non-investment grade portfolio pursuant to various investment management agreements. HPS invests the Company’s non-investment grade assets and a portion of its investment grade assets, subject to the terms of the applicable investment management agreements and the oversight of our senior management and board of directors. See Note 12, “Transactions with related parties” for further details.
The Company has engaged Arch Investment Management Ltd. (“AIM”), a Bermuda exempted company and a subsidiary of ACGL, as Investment Manager of assets in its investment grade portfolio pursuant to various investment management agreements. AIM manages the majority of the Company’s investment grade assets pursuant to the terms of the applicable investment management agreements and the oversight of our senior management and board of directors. See Note 12, “Transactions with related parties” for further details.
The results for the three months ended March 31, 2021 are not necessarily indicative of the results expected for the full calendar year.
2. Basis of presentation and significant accounting policies
There has been no material change to the Company’s significant accounting policies as described in its audited consolidated financial statements and the accompanying notes as of December 31, 2020 and 2019 and for each of the years in the periods ended December 31, 2020, 2019 and 2018, except as noted below.
12


WATFORD HOLDINGS LTD.
NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
(U.S. dollars in thousands, except share data)

(a) Basis of presentation
The unaudited interim consolidated financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (“GAAP”) on a basis consistent with reporting interim financial information in accordance with instructions to Form 10-Q and Article 10 of Regulation S-X under the Securities and Exchange Act of 1934, as amended. All significant intercompany transactions and balances have been eliminated on consolidation. The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and assumptions. In the opinion of management, the accompanying unaudited interim consolidated financial statements reflect all adjustments (consisting of recurring accruals) necessary for a fair statement of results on an interim basis.
Certain information and footnote disclosures normally included in financial statements prepared in accordance with GAAP have been condensed or omitted; however management believes that the disclosures are adequate to make the information presented not misleading. These unaudited interim financial statements should be read in conjunction with the Company’s audited consolidated financial statements and the accompanying notes for the years ended December 31, 2020, 2019 and 2018.
To facilitate comparison of information across periods, certain reclassifications have been made to prior period amounts to conform to the current period’s presentation.
(b) Recent accounting pronouncements
Recently issued accounting standards not yet adopted
In December 2019, the FASB issued ASU 2019-12, Income Taxes (Topic 740), Simplifying the Accounting for Income Taxes (“ASU 2019-12”). ASU 2019-12 simplifies the accounting for income taxes by removing certain exceptions to the general principles in Topic 740. ASU 2019-12 will be effective for fiscal years beginning after December 31, 2021, and interim periods within fiscal years beginning after December 15, 2022. The Company has assessed the impact of the implementation of this ASU and considers the impact to be immaterial to the Company’s consolidated financial statements and disclosures.
In March 2020, the FASB issued ASU 2020-04, Reference Rate Reform (Topic 848), (“ASU 2020-04”), and in January 2021, the FASB issued ASU 2021-01, Reference Rate Reform (Topic 848), Scope (“ASU 2021-01”). These ASUs provide practical expedients and exceptions for applying GAAP to contracts and transactions affected by reference rate reform if such contracts or transactions reference LIBOR or another reference rate expected to be discontinued. Amendments in this ASU for contract modifications may be applied as of March 12, 2020 through December 31, 2022. Once adopted, this ASU must be applied prospectively for all eligible contract modifications. The Company is currently assessing the impact the implementation of this ASU will have on its consolidated financial statements and disclosures, but does not believe that such impact will be material.
For additional information regarding accounting standards that the Company has not yet adopted, see Note 2, “Basis of presentation and significant accounting policies” in the Company’s audited consolidated financial statements in Part II, Item 8 of the Company’s Annual Report on Form 10-K for the year ended December 31, 2020.
13


WATFORD HOLDINGS LTD.
NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
(U.S. dollars in thousands, except share data)

3. Segment information
The Company reports results under one segment, referred to as the “underwriting segment.” The underwriting segment captures the results of the Company’s underwriting lines of business, which are comprised of specialty products on a worldwide basis. Lines of business include: (i) casualty reinsurance; (ii) property catastrophe reinsurance; (iii) other specialty reinsurance; and (iv) insurance programs and coinsurance.
The accounting policies of the underwriting segment are the same as those used for the preparation of the Company’s consolidated financial statements.
The Company has a corporate function that includes certain general and administrative expenses related to corporate activities, interest expense (on the 6.5% senior notes due 2029), net foreign exchange gains (losses), income tax expense and items related to the Company’s preference shares.
The following table provides summary information regarding premiums written and earned by line of business and net premiums written by underwriting location:
Three Months Ended March 31,
20212020
($ in thousands)
Gross premiums written:
Casualty reinsurance$57,070 $83,818 
Other specialty reinsurance46,519 36,880 
Property catastrophe reinsurance13,410 9,832 
Insurance programs and coinsurance99,524 104,372 
Total $216,523 $234,902 
Net premiums written:
Casualty reinsurance$57,016 $83,667 
Other specialty reinsurance39,468 35,484 
Property catastrophe reinsurance13,410 9,832 
Insurance programs and coinsurance69,417 57,717 
Total $179,311 $186,700 
Net premiums earned:
Casualty reinsurance$47,138 $52,765 
Other specialty reinsurance35,203 35,364 
Property catastrophe reinsurance8,318 4,884 
Insurance programs and coinsurance57,072 47,026 
Total$147,731 $140,039 
Net premiums written by underwriting location:
United States$30,030 $36,303 
Europe 39,388 21,203 
Bermuda109,893 129,194 
Total$179,311 $186,700 

14


WATFORD HOLDINGS LTD.
NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
(U.S. dollars in thousands, except share data)

4. Reinsurance
Through reinsurance agreements with Arch Reinsurance Ltd. (“ARL”) and Arch Reinsurance Company (“ARC”), which are subsidiaries of ACGL, as well as through other third-party reinsurance agreements, the Company cedes a portion of its premiums. The effects of reinsurance on the Company’s written and earned premiums, losses and loss adjustment expenses were as follows:
Three Months Ended March 31,
20212020
($ in thousands)
Premiums written
Direct$99,524 $104,372 
Assumed116,999 130,530 
Ceded(37,212)(48,202)
Net$179,311 $186,700 
Premiums earned
Direct$101,414 $88,536 
Assumed97,779 99,529 
Ceded(51,462)(48,026)
Net$147,731 $