<PAGE>   1

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                                 UNITED STATES
                       SECURITIES AND EXCHANGE COMMISSION
                              WASHINGTON, DC 20549

                            ------------------------

                                   FORM 10-Q

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

                  FOR THE QUARTERLY PERIOD ENDED JUNE 30, 2001

                                       OR

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

                         COMMISSION FILE NUMBER 0-23625
                      ANNUITY AND LIFE RE (HOLDINGS), LTD.
             (EXACT NAME OF REGISTRANT AS SPECIFIED IN ITS CHARTER)

<Table>
<S>                                            <C>
                   BERMUDA                                     NOT APPLICABLE
       (STATE OR OTHER JURISDICTION OF                         (IRS EMPLOYER
        INCORPORATION OR ORGANIZATION)                     IDENTIFICATION NUMBER)
</Table>

          CUMBERLAND HOUSE, 1 VICTORIA STREET, HAMILTON HM 11, BERMUDA
                    (ADDRESS OF PRINCIPAL EXECUTIVE OFFICES)

                                  441-296-7667
              (REGISTRANT'S TELEPHONE NUMBER, INCLUDING AREA CODE)

     Indicate by check mark whether the registrant (1) has filed all reports
required to be filed by Section 13 or 15(d) of the Securities Exchange Act of
1934 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  [X]     No  [ ]

     The number of the Registrant's Common Shares (par value $1.00 per share)
outstanding as of August 3, 2001 was 25,680,828.

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<PAGE>   2

                               INDEX TO FORM 10-Q

                        PART I -- FINANCIAL INFORMATION

<Table>
<Caption>
                                                                       PAGE
                                                                       -----
<C>      <S>                                                           <C>
ITEM 1.  Unaudited Consolidated Financial Statements
         Consolidated Balance Sheets                                       2
         June 30, 2001 (unaudited) and December 31, 2000.............
         Unaudited Consolidated Statements of Operations                   3
         Three and Six Months ended June 30, 2001 and 2000...........
         Unaudited Consolidated Statements of Comprehensive Income         4
         Three and Six Months ended June 30, 2001 and 2000...........
         Unaudited Consolidated Statements of Cash Flows                   5
         Six Months ended June 30, 2001 and 2000.....................
         Unaudited Consolidated Statements of Changes in                   6
         Stockholders' Equity
         Six Months ended June 30, 2001 and 2000.....................
         Notes to Unaudited Consolidated Financial Statements........      7
ITEM 2.  Management's Discussion and Analysis of Financial Condition    9-12
         and Results of Operations...................................
ITEM 3.  Quantitative and Qualitative Disclosures About Market            13
         Risk........................................................

                        PART II -- OTHER INFORMATION
ITEM 4.  Submission of Matters to a Vote of Security Holders.........     13
ITEM 6.  Exhibits and Reports on Form 8-K............................     13
         Signatures..................................................     14
</Table>

                                        1
<PAGE>   3

                      ANNUITY AND LIFE RE (HOLDINGS), LTD.

                          CONSOLIDATED BALANCE SHEETS
                                   UNAUDITED

                      (EXPRESSED IN UNITED STATES DOLLARS)

<Table>
<Caption>
                                                              JUNE 30, 2001     DECEMBER 31, 2000
                                                              --------------    -----------------
<S>                                                           <C>               <C>
ASSETS
Cash and cash equivalents...................................  $   36,560,587     $   52,691,974
Fixed maturity investments, available for sale, at fair
  value (amortized cost of $297,871,915 at June 30, 2001;
  December 31, 2000 $266,967,810)...........................     301,502,666        269,127,422
Funds withheld at interest..................................   1,508,013,594      1,530,109,853
Accrued investment income...................................       4,713,814          3,760,138
Other reinsurance receivables...............................      17,300,234         29,552,630
Receivable for reinsurance ceded............................     109,306,285        104,495,543
Receivable for investments sold.............................       4,929,379                 --
Deferred policy acquisition costs...........................     246,380,910        228,728,083
Insurance Licenses, net of amortization.....................       2,185,562          2,243,330
Other assets................................................       5,236,497          3,977,918
                                                              --------------     --------------
          Total Assets......................................  $2,236,129,528     $2,224,686,891
                                                              ==============     ==============
LIABILITIES
Reserves for future policy benefits.........................  $  191,001,428     $  174,953,018
Interest-sensitive contracts liabilities....................   1,550,815,988      1,595,128,506
Other reinsurance liabilities...............................      15,726,473          7,623,822
Payable for investments purchased...........................       4,792,058             25,863
Accounts payable and accrued expenses.......................       5,950,813          5,739,906
                                                              --------------     --------------
          Total Liabilities.................................  $1,768,286,760     $1,783,471,115
                                                              --------------     --------------
STOCKHOLDERS' EQUITY
Preferred Shares (par value $1.00; 50,000,000 shares
  authorized; no shares outstanding)........................  $           --     $           --
Common Shares (par value $1.00; 100,000,000 shares
  authorized; 25,680,828 shares outstanding at June 30,
  2001; December 31, 2000: 25,499,999 shares................      25,680,828         25,499,999
Additional paid-in capital..................................     332,049,592        329,496,091
Notes receivable from stock sales...........................      (1,407,491)        (1,367,241)
Accumulated other comprehensive income......................       3,630,751          2,064,971
Retained earnings...........................................     107,889,088         85,521,956
                                                              --------------     --------------
          Total Stockholders' Equity........................  $  467,842,768     $  441,215,776
                                                              --------------     --------------
          Total Liabilities and Stockholders' Equity........  $2,236,129,528     $2,224,686,891
                                                              ==============     ==============
</Table>

     See accompanying notes to unaudited consolidated financial statements
                                        2
<PAGE>   4

                      ANNUITY AND LIFE RE (HOLDINGS), LTD.

                     CONSOLIDATED STATEMENTS OF OPERATIONS
                                   UNAUDITED

                      (EXPRESSED IN UNITED STATES DOLLARS)

<Table>
<Caption>
                                       3 MONTHS ENDED   3 MONTHS ENDED   6 MONTHS ENDED   6 MONTHS ENDED
                                       JUNE 30, 2001    JUNE 30, 2000    JUNE 30, 2001    JUNE 30, 2000
                                       --------------   --------------   --------------   --------------
<S>                                    <C>              <C>              <C>              <C>
REVENUES
Net premiums.........................   $61,628,943      $37,684,372      $115,142,096     $ 73,914,378
Investment income, net of related
  expenses...........................    19,605,194       25,819,232        42,695,004       52,616,929
Net realized investment gains
  (losses)...........................       320,629       (2,417,880)          346,250       (2,980,705)
Other................................     4,644,690        1,589,357         7,778,161        3,396,958
                                        -----------      -----------      ------------     ------------
          Total Revenues.............   $86,199,456      $62,675,081      $165,961,511     $126,947,560
                                        -----------      -----------      ------------     ------------
BENEFITS AND EXPENSES
Claims and policy benefits...........   $45,201,447      $29,898,304      $ 86,826,115     $ 62,856,415
Net cost of interest sensitive
  contract liabilities...............     4,497,407        7,475,510        11,188,877       15,903,068
Policy acquisition costs and other
  insurance expenses.................    20,609,472       15,313,661        37,675,005       28,395,489
Operating expenses...................     2,689,045        2,165,313         5,354,115        4,156,527
                                        -----------      -----------      ------------     ------------
Total Benefits and Expenses..........   $72,997,371      $54,852,788      $141,044,112     $111,311,499
                                        -----------      -----------      ------------     ------------
          Net Income.................   $13,202,085      $ 7,822,293      $ 24,917,399     $ 15,636,061
                                        ===========      ===========      ============     ============
NET INCOME PER COMMON SHARE (NOTE 3):
Basic................................   $      0.52      $      0.31      $       0.97     $       0.61
Diluted..............................   $      0.47      $      0.29      $       0.89     $       0.57
</Table>

     See accompanying notes to unaudited consolidated financial statements
                                        3
<PAGE>   5

                      ANNUITY AND LIFE RE (HOLDINGS), LTD.

                CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME
                                   UNAUDITED

                      (EXPRESSED IN UNITED STATES DOLLARS)

<Table>
<Caption>
                                       3 MONTHS ENDED   3 MONTHS ENDED   6 MONTHS ENDED   6 MONTHS ENDED
                                       JUNE 30, 2001    JUNE 30, 2000    JUNE 30, 2001    JUNE 30, 2000
                                       --------------   --------------   --------------   --------------
<S>                                    <C>              <C>              <C>              <C>
Net income for period................   $13,202,085      $ 7,822,293      $24,917,399      $15,636,061
Other comprehensive income (loss):
Unrealized holding gains (losses) on
  securities arising during period...    (2,839,789)       3,146,152        1,565,780        3,271,262
                                        -----------      -----------      -----------      -----------
Total comprehensive income...........   $10,362,296      $10,968,445      $26,483,179      $18,907,323
                                        ===========      ===========      ===========      ===========
</Table>

     See accompanying notes to unaudited consolidated financial statements
                                        4
<PAGE>   6

                      ANNUITY AND LIFE RE (HOLDINGS), LTD.

                     CONSOLIDATED STATEMENTS OF CASH FLOWS
                                   UNAUDITED

                      (EXPRESSED IN UNITED STATES DOLLARS)

<Table>
<Caption>
                                                              6 MONTHS ENDED    6 MONTHS ENDED
                                                              JUNE 30, 2001     JUNE 30, 2000
                                                              --------------    --------------
<S>                                                           <C>               <C>
CASH FLOWS FROM OPERATING ACTIVITIES
Net income..................................................  $  24,917,399     $  15,636,061
Adjustments to reconcile net income to cash provided (used)
  by operating activities...................................
Net realized investment losses (gains)......................       (346,250)        2,980,705
Changes in:
Accrued investment income...................................       (953,676)          994,666
Deferred policy acquisition costs...........................    (17,652,827)       21,409,256
Other reinsurance receivables...............................      7,441,654      (110,539,559)
Other assets................................................     (1,226,194)       (1,016,741)
Reserves for future policy benefits.........................     16,048,410       109,908,330
Interest sensitive contracts, net of funds withheld.........    (22,216,259)      (33,100,476)
Other reinsurance liabilities...............................      8,102,651        (4,683,435)
Accounts payable............................................        210,907          (912,681)
                                                              -------------     -------------
Net cash provided by operating activities...................  $  14,325,815     $     676,126
                                                              -------------     -------------
CASH FLOWS FROM INVESTING ACTIVITIES
Proceeds from sales of fixed maturity securities............  $ 102,410,728     $ 192,402,916
Purchase of fixed maturity securities.......................   (133,011,744)     (165,214,278)
Acquisition of business.....................................             --       (13,181,790)
                                                              -------------     -------------
Net cash provided (used) by investing activities............    (30,601,016)       14,006,848
                                                              -------------     -------------
CASH FLOWS FROM FINANCING ACTIVITIES
Issuance of shares..........................................      2,734,330                --
Interest accrued on notes receivable........................        (40,250)          (40,250)
Dividends paid to stockholders..............................     (2,550,266)       (2,040,000)
                                                              -------------     -------------
Net cash provided (used) by financing activities............        143,814        (2,080,250)
                                                              -------------     -------------
Increase (decrease) in cash and cash equivalents............    (16,131,387)       12,602,724
Cash and cash equivalents, beginning of period..............     52,691,974        31,187,242
                                                              -------------     -------------
Cash and cash equivalents, end of period....................  $  36,560,587     $  43,789,966
                                                              =============     =============
</Table>

     See accompanying notes to unaudited consolidated financial statements.
                                        5
<PAGE>   7

                      ANNUITY AND LIFE RE (HOLDINGS), LTD.

           CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS' EQUITY
                                   UNAUDITED

                      (EXPRESSED IN UNITED STATES DOLLARS)

<Table>
<Caption>
                                                              6 MONTHS ENDED    6 MONTHS ENDED
                                                              JUNE 30, 2001     JUNE 30, 2000
                                                              --------------    --------------
<S>                                                           <C>               <C>
PREFERRED SHARES PAR VALUE $1.00
Balance at beginning and end of period......................   $         --      $         --
                                                               ------------      ------------
COMMON SHARES PAR VALUE $1.00
Balance at beginning of period..............................   $ 25,499,999      $ 25,499,999
Issuance of shares..........................................        180,829                --
                                                               ------------      ------------
Balance at end of period....................................   $ 25,680,828      $ 25,499,999
                                                               ------------      ------------
ADDITIONAL PAID-IN CAPITAL
Balance at beginning of period..............................   $329,496,091      $329,496,091
Issuance of shares..........................................      2,553,501                --
                                                               ------------      ------------
Balance at end of period....................................   $332,049,592      $329,496,091
                                                               ------------      ------------
NOTES RECEIVABLE FROM STOCK SALES
Balance at beginning of period..............................   $ (1,367,241)     $ (1,286,741)
Accrued interest during period..............................        (40,250)          (40,250)
                                                               ------------      ------------
Balance at end of period....................................   $ (1,407,491)     $ (1,326,991)
                                                               ------------      ------------
ACCUMULATED OTHER COMPREHENSIVE INCOME
Balance at beginning of period..............................   $  2,064,971      $(11,269,216)
Net unrealized holding gains on securities..................      1,565,780         3,271,262
                                                               ------------      ------------
Balance at end of period....................................   $  3,630,751      $ (7,997,954)
                                                               ------------      ------------
RETAINED EARNINGS
Balance at beginning of period..............................   $ 85,521,956      $ 49,614,761
Net income..................................................     24,917,399        15,636,061
Stockholder dividends.......................................     (2,550,266)       (2,040,000)
                                                               ------------      ------------
Balance at end of period....................................   $107,889,089      $ 63,210,822
                                                               ------------      ------------
TOTAL STOCKHOLDERS' EQUITY..................................   $467,842,768      $408,881,967
                                                               ============      ============
</Table>

     See accompanying notes to unaudited consolidated financial statements.
                                        6
<PAGE>   8

                      ANNUITY AND LIFE RE (HOLDINGS), LTD.

            NOTES TO THE UNAUDITED CONSOLIDATED FINANCIAL STATEMENTS

1.  ORGANIZATION

     Annuity and Life Re (Holdings), Ltd. ("Holdings") was incorporated on
December 2, 1997 under the laws of Bermuda. Holdings provides annuity and life
reinsurance to insurers and reinsurers through its wholly-owned subsidiaries:
Annuity and Life Reassurance, Ltd. ("Annuity and Life Reassurance"), licensed
under the laws of Bermuda as a long term insurer; Annuity and Life Re America,
Inc. ("Annuity and Life Re America"), an insurance holding company based in the
United States, and Annuity and Life Reassurance America, Inc. ("Annuity and Life
Reassurance America"), a life insurance company domiciled in the United States.
Holdings, Annuity and Life Reassurance, Annuity and Life Re America and Annuity
and Life Reassurance America are collectively referred to herein as the
"Company".

2.  BASIS OF PRESENTATION

     The accompanying unaudited consolidated financial statements of the Company
have been prepared in accordance with accounting principles generally accepted
in the United States of America ("U.S. GAAP") for interim financial information
and in accordance with Regulation S-X. Accordingly, they do not include all of
the information and footnotes required by U.S. GAAP for complete financial
statements. These consolidated financial statements should be read in
conjunction with the audited consolidated financial statements and notes thereto
contained in the Company's Form 10K for the fiscal year ended December 31, 2000
and Form 10-Q for the fiscal quarter ended March 31, 2001. In the opinion of
management, all adjustments considered necessary for a fair presentation have
been included in these financial statements.

3.  EARNINGS PER SHARE

     The following table sets forth the computation of basic and diluted
earnings per share:

<Table>
<Caption>
                                 3 MONTHS ENDED JUNE 30,       6 MONTHS ENDED JUNE 30,
                                --------------------------    --------------------------
                                   2001           2000           2001           2000
                                -----------    -----------    -----------    -----------
<S>                             <C>            <C>            <C>            <C>
Net Income....................  $13,202,085    $ 7,822,293    $24,917,399    $15,636,061
Weighted average number of
  common shareholders
  outstanding.................   25,591,746     25,499,999     25,590,414     25,499,999
Weighted average number of
  common shares outstanding
  including shares issuable
  from exercise of options and
  warrants....................   28,211,313     27,311,063     28,097,367     27,366,408
Earnings per share............  $      0.52    $      0.31    $      0.97    $      0.61
Earnings per share assuming
  dilution....................  $      0.47    $      0.29    $      0.89    $      0.57
</Table>

4.  ACCOUNTING STANDARDS

     In September 2000, the Financial Accounting Standards Board (FASB) issued
Statement No. 140 "Accounting for Transfers and Servicing of Financial Assets
and Extinguishments of Liabilities -- a Replacement of SFAS Statement No. 125".
It revises the standards for accounting for securitizations and other transfers
of financial assets and collateral and requires certain disclosures. However,
most of the provisions of SFAS No. 125 have been carried over without change.
The Statement is effective for transactions occurring after March 31, 2001 and
is effective for recognition, reclassification and disclosures of transactions
and collateral for fiscal years ending after December 15, 2000. This Statement
is to be applied prospectively, with certain exceptions. Management has reviewed
this Statement and has concluded that it does not significantly affect its
current financial reporting.

                                        7
<PAGE>   9
                      ANNUITY AND LIFE RE (HOLDINGS), LTD.

    NOTES TO THE UNAUDITED CONSOLIDATED FINANCIAL STATEMENTS -- (CONTINUED)

5.  CONTINGENCY

     In accordance with standard industry practices the Company conducts audits
of its reinsurance clients in the normal course of business. Such audits relate
to and are specifically limited to a review of the insurance business ceded to
the Company by each reinsurance client company. Currently, the Company is in the
process of conducting reinsurance audits of several of its client companies. The
outcome of such audits cannot now be reasonably determined. The results of these
audits may impact the Company's financial position and results of operations in
future reporting periods.

                                        8
<PAGE>   10

                      ANNUITY AND LIFE RE (HOLDINGS), LTD.

                    MANAGEMENT'S DISCUSSION AND ANALYSIS OF
                 FINANCIAL CONDITION AND RESULTS OF OPERATIONS

1.  GENERAL

     Annuity and Life Re (Holdings), Ltd.("Holdings") was incorporated on
December 2, 1997 under the laws of Bermuda. Holdings provides annuity and life
reinsurance to insurers and reinsurers through its wholly-owned subsidiaries:
Annuity and Life Reassurance, Ltd. ("Annuity and Life Reassurance"), licensed
under the insurance laws of Bermuda as a long term insurer; Annuity and Life Re
America, Inc. ("Annuity and Life Re America"), an insurance holding company
based in the United States; and Annuity and Life Reassurance America, Inc.
("Annuity and Life Reassurance America"), a life insurance company domiciled in
the United States. Holdings, Annuity and Life Reassurance, Annuity and Life Re
America and Annuity and Life Reassurance America are collectively referred to
herein as the "Company".

2.  OPERATING RESULTS

     Net Income.  For the six-month period ended June 30, 2001, we had
consolidated net income of $24,917,000 or $0.97 per common share, $0.89 per
common share on a fully diluted basis, compared with $15,636,000 or $0.61 per
common share, $0.57 per common share on a fully diluted basis for the six months
ended June 30, 2000. For the three month period ended June 30, 2001, we had
consolidated net income of $13,202,000 or $0.52 per common share, $0.47 per
common share on a fully diluted basis, compared with $7,822,000 or $0.31 per
common share, $0.29 per common share on a fully diluted basis for the three
months ended June 30, 2000. The increase in the net income for the three and six
month periods ended June 30, 2001 as compared with the net income for the three
and six month periods ended June 30, 2000 reflects the strong growth and
development of our reinsurance business, favorable underwriting and investment
results and the net realized investment losses incurred in periods ended June
30, 2000. During the three and six month periods ended June 30, 2000 the
investment portfolio was repositioned to improve performance and to increase
future operating income.

     Net Operating Income.  In addition to net income, we report net operating
income. This is not a substitute for net income computed in accordance with
accounting principles generally accepted in the United States of America ("U.S.
GAAP"), but is an important measure used by management, investors and others to
measure our results. We define net operating income as net income excluding
realized gains and losses from the sale of investments. Our definition of net
operating income may differ from that used by other public life and annuity
companies.

     For the three-month and six month periods ended June 30, 2001, our net
operating income increased 26% and 32%, respectively, over the comparable prior
year periods. Net operating income for the six month period ending June 30, 2000
was $24,572,000 or $0.96 per common share, $0.87 per common share on a fully
diluted basis, compared with $18,617,000 or $0.73 per common share, $0.68 per
common share on a fully diluted basis for the six months ended June 30, 2000.
Net operating income for the three month period ending June 30, 2001 was
$12,881,000 or $0.50 per common share, $0.46 per common share on a fully diluted
basis, compared with $10,240,000 or $0.40 per common share, $0.37 per common
share on a fully diluted basis for the three months ended June 30, 2000. The
increase in the net operating income for the three and six month periods ended
June 30, 2001 as compared with the three and six month periods ended June 30,
2000 reflects the growth and development of our reinsurance business, favorable
underwriting and investment results.

     Net Premiums.  Net premium revenue for the three-month and six-month
periods ended June 30, 2001 was $61,629,000 and $115,142,000, respectively, an
increase of 63% and 56% over the three-month and six-month periods ended June
30, 2000, respectively. Substantially all premium revenue was derived from
traditional ordinary life reinsurance developed directly and through the use of
intermediaries. The growth reflects the level of new business written and the
increase in the face amount of insurance in force. At June 30, 2001 the total
face amount of life insurance in force was $91.1 billion compared with $55.5
billion at June 30, 2000, an increase of 64%, and $77.0 billion at December 31,
2000, an increase of 18%. New business writings
                                        9
<PAGE>   11

and premium levels are significantly influenced by the seasonal nature of the
life reinsurance marketplace and by large transactions and therefore can
fluctuate from period to period.

     Net Investment Income.  Total net investment income for the three month and
six-month periods ended June 30, 2001 was $19,605,000 and $42,695,000,
respectively, as compared with $25,819,000 and $52,617,000 for the three-month
and six-month periods ended June 30, 2000. The decrease in investment income is
primarily due to a decrease in the income earned on Funds Withheld under
modified coinsurance agreements related to our Interest Sensitive Contracts
Liabilities. The income earned on the funds withheld for the three month and
six-month periods ended June 30, 2001 was $14,564,000 and $32,614,000,
respectively, as compared with $20,611,000 and $42,411,000 for the three and six
month periods ended June 30, 2000, respectively. The average yield rate earned
on an annualized basis on the invested assets, excluding the funds withheld, for
the six months ended June 30, 2001 was approximately 6.36% as compared with
6.52% for the six months ended June 30, 2000.

     Realized Investment Gains.  Realized investment gains (losses) for the
three month and six month period ended June 30, 2001 were $321,000 and $346,000,
respectively, as compared with ($2,418,000) and ($2,981,000), respectively, for
the three month and six month periods ended June 30, 2000. These gains and
losses result from active management of our investment portfolio intended to
improve performance and increase operating income.

     Realized gains and losses are not considered by the Company to be recurring
components of earnings. We make decisions concerning the sales of invested
assets based on a variety of market, business and other factors.

     During the six month period ended June 30, 2001, unrealized gains were
$1,565,000 as compared with unrealized gains of $3,271,000 incurred during the
six month period ended June 30, 2000 which were included in Other Comprehensive
Income. The unrealized gains and losses are principally related to changes in
the general level of interest rates during those periods.

     Other Income.  Other income for the three month and six month period ended
June 30, 2001 was $4,645,000 and $7,778,000, respectively, as compared with
$1,589,000 and $3,397,000, respectively, for the three and six month periods
ended June 30, 2000. This income is primarily derived from net surrender fees
related to our Interest Sensitive Contract liabilities. The increase in the
income is primarily due to the increase in the surrender and withdrawal level
during the three and six month period ended June 30, 2001 as compared with the
three and six-month periods ended June 30, 2000.

     Claims and Policy Benefits.  Life insurance claims and policy benefits for
the three month and six month periods ended June 30, 2001 were $41,426,000, 72%
of net premium and $79,168,000, 74% of net premium, respectively, as compared
with $25,329,000, 76% of net premium and $54,875,000, 83% of net premium for the
three month and six month periods ended June 30, 2000. Aggregate experience
reported for the three month and six-month period ended June 30, 2001 was within
pricing parameters and expected levels, taking into consideration seasonal
incidence of claims. The reserves for future policy benefits takes into
consideration the expected seasonal incidence of claims. On a percentage of
premium basis results for the six month period ended June 30, 2001 were
significantly better than the results reported for the six month period ended
June 30, 2000. During the three months ended March 31, 2000 we reported an
increase in the number of life insurance claims and higher than expected losses.
This variance from expected losses was primarily due to incorrect claim
information provided by one reinsurance client. This was corrected in the
three-month period ended December 31, 2000 when we received corrected
information from the client company. Currently, we are conducting reinsurance
audits of two client companies. The probable outcome of these audits cannot now
be reasonably determined. It is possible that the settlement of the audit
findings may impact our operating results in a future period. Although we expect
mortality to be fairly constant over long periods of time, it will fluctuate
from period to period. Reserves for future policy benefits are determined by
claims reported from ceding companies, our aggregate experience, seasonal claim
patterns and overall mortality trends.

     Interest Credited to Interest Sensitive Contracts Liabilities.  Interest
credited to interest sensitive contract liabilities, which are liabilities we
assume under certain reinsurance agreements we enter into, for the three month
and six month periods ended June 30, 2001 was $4,497,000 and $11,189,000,
respectively, as

                                        10
<PAGE>   12

compared with $7,475,000 and $15,903,000 for the three month and six month
periods ended June 30, 2000. The decrease reflects the level of our interest
sensitive contracts liabilities and is related to income earned on the related
funds withheld at interest. The income earned on the funds withheld at interest
for the three month and six-month periods ended June 30, 2001 was $14,564,000
and $32,614,000, respectively, as compared with $20,611,000 and
$42,411,000,respectively, for the three month and six month periods ended June
30, 2000. Currently, we are conducting a reinsurance audit of a reinsurance
client company . The probable outcome of this audit cannot now be reasonably
determined. It is possible that the settlement of the audit findings may impact
our operating results in a future period.

     Policy Acquisition and Other Insurance Expenses.  Policy acquisition and
other insurance expenses, consisting primarily of allowances and amortization of
deferred policy acquisition costs, for the three month and six month periods
ended June 30, 2001 were $20,609,000 and $37,675,000, respectively, as compared
with $15,314,000 and $28,395,000, respectively, for the three month and six
month periods ended June 30, 2000. Generally, policy acquisition costs and other
insurance expenses fluctuate with business volume and changes in product mix.
The increase in these costs reflects the growth, development and experience of
our life and annuity business. In addition, during the three and six month
periods ended June 30, 2001 as compared with the three and six month periods
ended June 30, 2000 the surrender and withdrawal level on the Interest Sensitive
Contracts Liabilities increased significantly, increasing the amortization of
the related Deferred Policy Acquisition Costs and certain other related
insurance expenses.

     Other Operating Expenses.  Operating expenses for the three month and six
month periods ending June 30, 2001 were $2,689,000, or 3.1% of total revenue,
and $5,354,000, or 3.2% of total revenue, respectively, as compared with
$2,165,000, or 3.5% of total revenue, and $4,156,000, or 3.3% of total revenue,
for the three month and six month periods ending June 30, 2000. We consider the
operating expense level to be low by industry standards and are in line with the
Company's plan to be a low cost provider. The reduction in the expense ratio is
primarily due to growth and development of our reinsurance operations.

3.  FINANCIAL CONDITION

  Investments

     Cash & Fixed Maturity Investments

     Invested assets, including cash and cash equivalents, amounted to
$338,063,000 at June 30, 2001 as compared with $321,819,000 at December 31,
2000. At June 30, 2001 and December 31,2000 net unrealized gains on invested
assets were $3,630,000 and $2,065,000, respectively, and generally reflect the
declines in interest rates during the periods.

     The Company's investment policy is designed to achieve above average risk
adjusted returns, maintain a high quality portfolio, maximize current income,
maintain an adequate level of liquidity and match the cash flows of the
portfolio to the required cash flows for the related liabilities.

     Funds Withheld at Interest -- Interest Sensitive Contracts Liabilities

     Assets with a carrying value of approximately $1,508,014,000 at June 30,
2001 and $1,530,110,000 at December 31, 2000, related to annuity reinsurance
agreements entered into by the Company, are held by and managed by the ceding
company in segmented portfolios. The liability for the annuity reinsurance is
included on the Company's Balance Sheet as Interest Sensitive Contracts
Liabilities. During the six-month period ended June 30, 2001 these liabilities
decreased approximately 3% reflecting the level of deposits accepted by the
Company, surrender and benefit payments made by the Company under the
reinsurance agreements.

     Liquidity and Capital Resources

     Our liquidity and capital resources are a measure of our overall financial
strength and our ability to generate cash flows from our operations to meet
operating and growth needs. Our principal sources of funds are premiums
received, net investment income, proceeds from investments called, redeemed or
sold, cash and

                                        11
<PAGE>   13

short term investments. The principal obligations and uses of the funds are the
payment of policy benefits, policy acquisition and operating costs and the
purchase of investments.

     For the six-month period ended June 30, 2001 we generated $14,326,000 from
our operating activities as compared with $676,000 from our operating activities
for the six months ended June 30, 2000. This change is primarily related to the
development of our insurance operations, the underwriting results and the
initial costs associated with writing new life reinsurance and annuity
reinsurance business.

     Our capital structure currently consists entirely of equity. At June 30,
2001 our total capitalization after deducting loans to management and including
retained earnings and accumulated other comprehensive income amounted to
$467,843,000 as compared with $441,216,000 at December 31, 2000. During the six
month period ended June 30, 2001 the outstanding shares increased 180,829 due to
the exercise of stock options, increasing capital by $2,734,330. We continuously
review our capital adequacy and we believe this level of capital is sufficient
to support the Company's insurance writings and growth for the near future.

     At June 30, 2001 we had no outstanding debt. At June 30, 2001 and December
31, 2000 letters of credit totaling $187,822,000 and $183,687,000, respectively,
issued in the ordinary course of the Company's business have been issued by the
Company's bankers in favor of certain ceding insurance companies to provide
security and to meet regulatory requirements. At June 30, 2001 and December 31,
2000 letters of credit totaling $141,487,000 and $138,000,000, respectively,
were fully collateralized by our investments. The Company may incur indebtedness
in the future in connection with possible acquisitions of, investments in, joint
ventures with or strategic alliances with companies whose businesses compliment
the Company's business.

     At June 30, 2001 and December 31, 2000 investments of $65,572,000 and
$63,410,000, respectively, were held in trust for the benefit of certain ceding
insurance companies to provide security and to meet regulatory requirements.

     On February 15, 2001 and April 26, 2001 the Board of Directors declared
quarterly stockholder dividends of $.05 per share payable to shareholders of
record on March 8, 2001 and May 17, 2001, respectively. The Board intends to
continue to declare and payout of earnings a quarterly dividend. The continued
payment of dividends is dependent on the ability of our operating subsidiaries
to achieve satisfactory underwriting and investment results and other factors
determined to be relevant by the Company's Board of Directors.

     The Company has no material commitments for capital expenditures at June
30, 2001.

4.  FORWARD-LOOKING AND CAUTIONARY STATEMENTS

     The Company and its representatives may from time to time make written or
oral forward-looking statements, including those contained in the foregoing
Management's Discussion and Analysis. In order to take advantage of the "safe
harbor" provisions of the Private Securities Litigation Reform Act of 1995, the
Company is hereby identifying certain important factors which could cause the
Company's actual results, performance or achievement to differ materially from
those that may be contained in or implied by any forward-looking statement made
by or on behalf of the Company. The factors that could cause such forward-
looking statements not to be realized include, without limitation, acceptance in
the market of the Company's reinsurance products; pricing competition; the
amount of underwriting capacity from time to time in the market; general
economic conditions and conditions specific to the reinsurance and investment
markets in which the Company operates; material fluctuations in interest rate
levels; regulatory changes and conditions; rating agency policies and practices;
claims development; and loss of key executives. The Company cautions that the
foregoing list of important factors is not intended to be, and is not,
exhaustive. The Company does not undertake to update any forward-looking
statement that may be made from time to time by or on behalf of the Company.

                                        12
<PAGE>   14

                      ANNUITY AND LIFE RE (HOLDINGS), LTD.

           QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

There have been no material changes since December 31, 2000. Please refer to
"Item 7A: Quantitative and Qualitative Disclosures About Market Risk" in our
Annual Report on Form 10-K.

                           PART II OTHER INFORMATION

ITEM 4.  SUBMISSION OF MATTERS TO A VOTE OF SECURITIES HOLDERS

     (1) Annual Meeting of Shareholders

     The Annual Meeting of Shareholders of the Company was held on April 26,
2001. The following matters were voted upon at the Annual Meeting, and received
the votes set forth below:

          (a) All of the following persons nominated were elected to serve as
     directors and received the number of votes set forth opposite their
     respective names:

<Table>
<Caption>
                                                   FOR        WITHHELD
                                                ----------    --------
<S>                                             <C>           <C>
Lawrence S. Doyle.............................  22,928,743     26,683
Michael P. Esposito, Jr. .....................  22,951,420      4,006
Mark Grier....................................  22,949,620      5,806
Mary R. Hennessy..............................  22,951,420      4,006
Jerry S. Rosenbloom...........................  22,949,620      5,806
</Table>

          (b) A proposal to appoint KPMG as independent accountants for the
     Company for the 2001 fiscal year was approved and received 22,951,966 votes
     FOR and 1,740 votes AGAINST, with 1,720 abstentions and 0 broker non-votes.

ITEM 6.  EXHIBITS AND REPORTS ON FORM 8-K

     (a) Exhibits -- The following exhibits are filed as part of this report on
Form 10-Q:

        None

     (b) Reports on Form 8-K -- There were no reports on Form 8-K filed during
the period ended June 30, 2001.

                                        13
<PAGE>   15

                      ANNUITY AND LIFE RE (HOLDINGS), LTD.

                                   SIGNATURES

     Pursuant to the requirements of the Securities Exchange Act of 1934, the
registrant has duly caused this report to be signed on its behalf by the
undersigned thereunto duly authorized.

                                          Annuity and Life Re (Holdings), Ltd.

                                          /s/ LAWRENCE S. DOYLE
                                          --------------------------------------
                                          Name: Lawrence S. Doyle
                                           Title: President and Chief Executive
                                                  Officer (Principal Executive
                                                  Officer)

Date: August 10, 2001

                                          /s/ WILLIAM W. ATKIN
                                          --------------------------------------
                                          Name: William W. Atkin
                                           Title: Chief Financial Officer and
                                                  Treasurer (Principal
                                                  Accounting and Financial
                                                  Officer)

Date: August 10, 2001

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