<PAGE>   1
                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 March 31, 1999

                                       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)

               Bermuda                                 Not applicable
   (State or other jurisdiction of                     (IRS Employer
    incorporation or organization)                 Identification Number)

              Cumberland House, Victoria Street, Hamilton, 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 May 7, 1999 was 25,499,999.
<PAGE>   2
                               INDEX TO FORM 10-Q

                         PART I - FINANCIAL INFORMATION

<TABLE>
<CAPTION>
                                                                                                   PAGE
<S>            <C>                                                                              <C>
   ITEM 1.     Unaudited Consolidated Financial Statements

               Consolidated Balance Sheets
               March 31, 1999 and December 31, 1998 .......................................          3

               Consolidated Statements of Operations
               Three Months ended March 31, 1999 and March 31, 1998 .......................          4

               Consolidated Statements of Comprehensive Income
               Three Months ended March 31, 1999 and March 31, 1998 .......................          5

               Consolidated Statements of Cash Flows
               Three Months ended March 31, 1999 and March 31, 1998 .......................          6

               Consolidated Statements of Changes in Stockholders' Equity
               Three Months ended March 31, 1999 and March 31, 1998 .......................          7

               Notes to Unaudited Consolidated Financial Statements .......................         8-9

   ITEM 2.     Management's Discussion and Analysis of
               Financial Condition and Results of Operations ..............................        10-13

                           PART II - OTHER INFORMATION

ITEM 6.            Exhibits and Reports on Form 8-K                                                 14

Signatures

Exhibits
</TABLE>
<PAGE>   3
                      ANNUITY AND LIFE RE (HOLDINGS), LTD.
                           CONSOLIDATED BALANCE SHEETS
                                    UNAUDITED

                      (Expressed in United States Dollars)

<TABLE>
<CAPTION>
                                                                  March 31, 1999            December 31, 1998
                                                                  --------------            -----------------
<S>                                                              <C>                         <C>
ASSETS

     Cash and cash equivalents                                   $    25,764,739             $    66,586,267
     Fixed maturity investments, available for sale,
       at fair value (amortized cost of $295,993,175
       at March 31, 1999: December 31, 1998:
       $272,305,333)                                                 296,261,447                 276,027,927
     Funds withheld at interest                                    1,411,829,191               1,200,101,268
     Accrued investment income                                         3,945,407                   3,812,062
     Deferred policy acquisition costs                               189,514,383                 159,582,286
     Other assets                                                        726,770                     400,370
                                                                 ---------------             ---------------

           Total Assets                                          $ 1,928,041,937             $ 1,706,510,180
                                                                 ===============             ===============

LIABILITIES AND STOCKHOLDERS' EQUITY

     Reserves for future policy benefits                         $    27,443,909             $    22,026,409
     Interest-sensitive contracts liabilities                      1,510,638,757               1,283,675,809
     Other reinsurance liabilities                                     5,393,099                  22,455,437
     Payable for investments purchased                                 1,493,775
     Accounts payable and accrued expenses                             3,560,318                   3,012,279
                                                                 ---------------             ---------------

           Total Liabilities                                     $ 1,548,529,858             $ 1,331,169,934
                                                                 ---------------             ---------------

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; 25,499,999 shares
     outstanding)                                                $    25,499,999             $    25,499,999
Additional paid-in capital                                           329,517,104                 329,517,104
Notes receivable from stock sales                                     (1,227,192)                 (1,391,068)
Accumulated other comprehensive income                                   268,272                   3,722,594
Retained earnings                                                     25,453,896                  17,991,617
                                                                 ---------------             ---------------

           Total Stockholders' Equity                            $   379,512,079             $   375,340,246
                                                                 ---------------             ---------------

           Total Liabilities and Stockholders' Equity            $ 1,928,041,937             $ 1,706,510,180
                                                                 ===============             ===============
</TABLE>

See accompanying notes to consolidated financial statements.

                                       3
<PAGE>   4
                      ANNUITY AND LIFE RE (HOLDINGS), LTD.
                      CONSOLIDATED STATEMENTS OF OPERATIONS
                                    UNAUDITED

                      (Expressed in United States Dollars)


<TABLE>
<CAPTION>
                                                      Three Months Ended     Three Months Ended
                                                          March 31, 1999         March 31, 1998    
                                                          --------------         --------------    
<S>                                                   <C>                    <C>
REVENUES                                           
                                                   
     Net premiums                                            $18,247,012            $
     Investment income, net of related expenses               18,159,060                     --
     Net realized investment gains                               263,458
     Other                                                       239,701                     -- 
                                                             -----------            -----------
                                                   
     Total Revenues                                           36,909,231            $        -- 
                                                             -----------            -----------
                                                   
BENEFITS AND EXPENSES                              
                                                   
     Claims and policy benefits                              $15,765,869            $        --
     Net cost on interest sensitive                
        Contract liabilities                                   3,876,829
     Policy acquisition costs and other            
                                                   
       insurance expenses                                      7,405,339                     --
     Operating expenses                                        1,378,915                407,372
     Organizational expenses                                          --                 41,614
                                                             -----------            -----------
                                                   
     Total Benefits and Expenses                             $28,426,952            $   448,986
                                                             -----------            -----------
                                                   
         Net Income (loss)                                   $ 8,482,279            $  (448,986)
                                                             ===========            ===========
                                                   
                                                   
     NET INCOME PER COMMON SHARE (NOTE 3):         
                                                   
         Basic                                               $      0.33            $        --
                                                   
         Diluted                                             $      0.31            $        --
</TABLE>

See accompanying notes to consolidated financial statements

                                       4
<PAGE>   5
                      ANNUITY AND LIFE RE (HOLDINGS), LTD.
             CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS)
                                    UNAUDITED

                      (Expressed in United States Dollars)


<TABLE>
<CAPTION>
                                                        Three Months Ended       Three Months Ended
                                                            March 31, 1999           March 31, 1998
                                                            --------------           --------------
<S>                                                     <C>                      <C>
Net Income (loss) for period                                   $ 8,482,279             $  (448,986)
                                                               -----------             -----------
                                                         
Other comprehensive income;                              
Unrealized holding gains (losses) on securities          
arising during period                                           (3,717,780)                     --
                                                         
Plus reclassification adjustment for gains               
                                                         
     Realized in net income                                        263,458                      --
                                                               -----------             -----------
Total other comprehensive income                                (3,454,322)                     --
                                                               -----------             -----------
                                                         
Total Comprehensive income (loss)                              $ 5,027,957             $  (448,986)
                                                               ===========             ===========
</TABLE>
                                                         
See accompanying notes to consolidated financial statements

                                       5
<PAGE>   6
                      ANNUITY AND LIFE RE (HOLDINGS), LTD.
                      CONSOLIDATED STATEMENTS OF CASH FLOWS
                                    UNAUDITED

                      (Expressed in United States Dollars)


<TABLE>
<CAPTION>
                                                               Three Months Ended       Three Months Ended
                                                                   March 31, 1999           March 31, 1998    
                                                                   --------------           --------------    
<S>                                                            <C>                      <C>
CASH FLOWS FROM OPERATING ACTIVITIES
Net income (loss)                                                   $  8,482,279             $   (448,986)
Adjustments to reconcile net income to cash                      
  flow from operating activities                                 
Net realized investment gains                                           (263,458)                      --
Changes in:                                                      
Accrued investment income                                               (133,345)                      --
Deferred policy acquisition costs                                    (29,932,097)
Other assets                                                            (326,400)                (110,920)
Reserves for future policy benefits and interest                 
    Sensitive contracts, net of funds withheld                        20,652,525
Other reinsurance liabilities                                        (17,062,338)
                                                                 
Accounts payable                                                         548,039                  559,900
                                                                    ------------             ------------
                                                                 
Net cash provided (used) by operating activities                     (18,034,795)                      (6)
                                                                    ------------             ------------
                                                                 
CASH FLOWS FROM INVESTING ACTIVITIES                             
                                                                 
Proceeds from sales of fixed maturity securities                      69,565,470                       --
Purchase of fixed maturity securities                                 91,496,079                       -- 
                                                                    ------------             ------------
                                                                 
Net cash provided (used) by                                      
  investing activities                                               (21,930,609)                      -- 
                                                                    ------------             ------------
                                                                 
CASH FLOWS FROM FINANCING ACTIVITIES                             
                                                                 
Repayment of Note Receivable, less                               
   Interest accrued                                                      163,876
                                                                 
Dividends paid to stockholders                                        (1,020,000)
                                                                    ------------
                                                                 
                                                                 
Net cash provided (used) by financing activities                        (856,124)                      -- 
                                                                    ------------             ------------
                                                                 
                                                                 
Increase (decrease) in cash and cash equivalents                     (40,821,528)                      (6)
Cash and cash equivalents, beginning of period                        66,586,267                  250,000
                                                                    ------------             ------------
                                                                 
Cash and cash equivalents, end of period                            $ 25,764,739             $    249,994
                                                                    ============             ============
</TABLE>
                                                                 
See accompanying notes to consolidated financial statements.

                                       6
<PAGE>   7
                      ANNUITY AND LIFE RE (HOLDINGS), LTD.
           CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS' EQUITY
                                    UNAUDITED

                      (Expressed in United States Dollars)


<TABLE>
<CAPTION>
                                                            Three months Ended        Three months Ended
                                                                March 31, 1999            March 31, 1998
                                                                --------------            --------------
<S>                                                         <C>                       <C>
PREFERRED SHARES PAR VALUE $1.00
Balance at beginning and end of period                          $          --             $          -- 
                                                                -------------             -------------
                                                                
COMMON SHARES PAR VALUE $1.00                                   
Balance of beginning of period                                  $  25,499,999             $      12,000
Issuance of shares                                                                                   --
Retirement of shares                                                                                 -- 
                                                                -------------             -------------                        
Balance at end of period                                        $  25,499,999             $      12,000
                                                                -------------             -------------
                                                                
ADDITIONAL PAID-IN CAPITAL                                      
Balance at beginning of period                                  $ 329,517,104             $     238,000
Issuance of shares                                                                                   --
Direct equity offering expenses                                                                      -- 
                                                                -------------             -------------
                                                                
Balance at end of period                                        $ 329,517,104             $     238,000
                                                                -------------             -------------
                                                                
NOTES RECEIVABLE FROM STOCK SALES                               
Balance at beginning of period                                  $  (1,391,068)            $          --
Notes issued                                                                                         --
Repayments                                                            174,950
Accrued interest during period                                         11,074                        -- 
                                                                -------------             -------------
                                                                
Balance at end of period                                        $  (1,227,192)            $          -- 
                                                                -------------             -------------
                                                                
ACCUMULATED OTHER COMPREHENSIVE INCOME                          
                                                                
Balance at beginning of period                                  $   3,722,594             $          --
Net unrealized holding gains on securities                         (3,454,322)                       -- 
                                                                -------------             -------------
                                                                
Balance at end of period                                        $     268,272             $          -- 
                                                                -------------             -------------
                                                                
RETAINED EARNINGS                                               
Balance at beginning of period                                  $  17,991,617             $          --
Net income                                                          8,482,279                  (448,986)
Stockholder Dividends                                              (1,020,000)                       -- 
                                                                -------------             -------------
                                                                
Balance at end of period                                        $  25,453,896             $    (448,986)
                                                                -------------             -------------
                                                                
TOTAL STOCKHOLDERS' EQUITY                                      $ 379,512,079             $    (198,986)
                                                                =============             =============
</TABLE>

See accompanying notes to consolidated financial statements.

                                       7
<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 to provide annuity and life
     reinsurance to insurers and reinsurers through its wholly-owned subsidiary,
     Annuity and Life Reassurance, Ltd. ("Annuity Reassurance" and, together
     with Holdings, the "Company"). Annuity Reassurance is licensed under the
     insurance laws of Bermuda as a long term insurer.

2.   BASIS OF PRESENTATION

     The accompanying unaudited consolidated financial statements of the Company
     have been prepared in accordance with generally accepted accounting
     principles for interim financial information and in accordance with
     Regulation S-X. Accordingly, they do not include all of the information and
     footnotes required by generally accepted accounting principles 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 31,1998. In the opinion of management, all adjustments considered
     necessary for a fair presentation have been included in these financial
     statements.

     It should be noted that, in view of the Company's limited operating
     history, the financial data included herein is not necessarily indicative
     of the results of operations or financial condition of the Company in the
     future.

3.   EARNINGS PER SHARE

     The following table sets forth the computation of basic and diluted
     earnings per share. The Company was nominally capitalized with 12,000
     common shares of par value $1.00 each during the period from its
     incorporation to the date of its initial public offering and did not
     commence operations until April 17, 1998. For this reason earnings per
     share for the three months ended March 31, 1998 is not presented as, in the
     opinion of management, it is not meaningful.

<TABLE>
<CAPTION>
                                                                  Three Months Ended
                                                                     March 31, 1999
                                                                     --------------
<S>                                                               <C>
     Net Income                                                       $ 8,482,279

     Weighted average number of common                                 25,499,999
     shares outstanding

     Weighted average number of common
     shares outstanding including shares
     issuable from exercise of options and warrants                    27,181,315

     Earnings per share                                               $      0.33

     Earnings per share assuming dilution                             $      0.31
</TABLE>

                                       8
<PAGE>   9
4.   ACCOUNTING STANDARDS

     In June 1998, the Financial Accounting Standards Board issued Statement of
     Financial Accounting Standards No. 133 "Accounting for Derivative
     Instruments and Hedging Activities". This Statement is effective for all
     fiscal quarters of fiscal years beginning after June 15, 1999. The Company
     is currently reviewing the impact of this standard on its financial
     reporting.

                                       9
<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 to provide annuity and life
        reinsurance to insurers and reinsurers through its wholly-owned
        subsidiary, Annuity and Life Reassurance, Ltd. ("Annuity Reassurance"
        and together with Holdings, the "Company"). Annuity Reassurance is
        licensed under the insurance laws of Bermuda as a long term insurer.

2.       OPERATING RESULTS

         Net Income. For the three-month period ending March 31,1999, the
         Company had consolidated net Income of approximately $8,482,000 or
         $0.33 per common share , $0.31 per common share on a fully diluted
         basis. A loss of approximately $449,000 was incurred during the three
         month period ended March 31, 1998 relating to expenses and costs
         incurred in the formation and organization of the Company; the Company
         began its insurance operations on April 17,1998 following the
         completion of its initial public offering and direct sales of its
         Common Shares.

         Net Operating Income. In addition to net income, the Company reports
         net operating income which excludes realized investment gains and
         losses. Net Operating Income is commonly used in the insurance industry
         as a measure of on-going earnings performance.

         Net Operating Income for the three month period ending March 31, 1999
         was approximately $8,219,000 or $0.32 per common share, $0.30 per
         common share on a fully diluted basis.

         Net Premiums. Net premium revenue was approximately $18.2 million for
         the three-month period ending March 31,1999. All premium revenue was
         derived from traditional ordinary life reinsurance. At March 31, 1999
         the total face amount of life insurance in force was approximately$30.0
         billion compared with approximately $22.5 billion at December 31,1998 ,
         an increase of 33.3%. This increase reflects the level of new business
         written by the Company which became effective during the period. The
         Company expects premium revenue to follow the level and growth of the
         face amount of insurance in-force.

         Net Investment Income. Total Net investment income for the three month
         period ending March 31,1999 was approximately $18.2 million. This
         includes approximately $12.7 million in income earned on funds withheld
         under modified coinsurance agreements related to the Company's interest
         sensitive contract liabilities. Total assets increased approximately
         13% from December 31,1998. The average yield rate earned on an
         annualized basis on the invested assets, excluding the funds withheld,
         for this period was approximately 6.27%.

         Realized Investment Gains. Realized investment gains were
         approximately$263,000 resulting from activity within the Company's
         investment portfolios. At March 31, 1999 the Company's portfolio of
         fixed maturity securities had unrealized gains of approximately
         $268,000. Due to the increase in interest rates during the period the
         Company had unrealized losses of approximately $3.4 million which were
         included in Other Comprehensive Income.

                                       10
<PAGE>   11
         Realized gains and losses are not considered by the Company to be
         recurring components of earnings. The Company makes decisions
         concerning the sales of invested assets based on a variety of market,
         business and other factors.

         Claims and Policy Benefits. Claims and policy benefits were
         approximately $15.8 million for the period ending March 31,1999. This
         represents 86% of the net premium revenue. The Company expects
         mortality to be fairly constant over long periods of time, but to
         fluctuate from period to period. Reserve levels will in part be
         determined by the Company's experience and overall mortality trends.

         Policy Acquisition and Other Insurance Expenses. Policy acquisition and
         other insurance expenses, consisting primarily of allowances and
         amortization of deferred policy acquisition costs , were approximately
         $7.4 million for the period ending March 31, 1999. Of this amount
         approximately $6.3 million is related to the Company's annuity
         reinsurance product line and approximately $1.1 million to the life
         reinsurance product line. Generally, policy acquisition costs and other
         insurance expenses fluctuate with product mix and business volumes.

         Other Operating Expenses. Operating expenses for the three month period
         ending March 31, 1999 were approximately $1.4 million or 3.7% of total
         revenue. The operating expense level is considered by Company
         Management to be very low by industry standards and is in line with the
         Company's plan to be a low cost provider.

3.       FINANCIAL CONDITION

         Investments

         Invested assets, including cash and cash equivalents, amounted to
         approximately $322.0 million at March 31,1999. Net unrealized gains on
         invested assets total $268,000 at March 31,1999 and generally reflect
         the increase in interest rates during the period.

         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 $1,411.8 million relate
         to an annuity reinsurance agreement with 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 period these
         assets and liabilities each grew approximately 17% primarily due to the
         level of new deposits accepted by the Company under the reinsurance
         agreement.

         Liquidity and Capital Resources

         The Company's liquidity and capital resources are a measure of the
         overall financial strength of the Company and its ability to generate
         cash flows from its operations to meet operating and growth needs. The
         Company's principal sources of funds are premiums received, net
         investment income, proceeds from investments called, redeemed or sold,
         cash and short term investments. The principal obligations and uses of
         the funds are the payment of policy benefits, acquisition and operating
         costs and the purchase of investments.

                                       11
<PAGE>   12
         For the three month period ended March 31,1999 the Company used
         approximately $18.0 million in its operating activities. This is
         primarily related to initial costs associated with writing new life
         reinsurance and annuity reinsurance business. The funds to meet these
         obligations were provided by the cash and cash equivalent balances held
         at December 31,1998.

         The Company's capital structure currently consists entirely of equity.
         At March 31,1999 total capitalization of the Company after deducting
         certain loans to management and including retained earnings and
         accumulated other comprehensive income amounted to approximately $379.5
         million. Management believes this level of capital is sufficient to
         support the Company's insurance writings and growth for the near
         future.

         At March 31,1999 the Company had no outstanding debt. At March 31, 1999
         letters of credit totaling approximately $46.4 million 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; these
         letters of credit are fully collateralized by investments of the
         Company. 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.

         On April 17, 1998 the Company completed an initial public offering of
         19,640,579 common shares; total proceeds received net of underwriting
         discounts and commissions were approximately$276.9 million.
         Simultaneous with the initial closing of the public offering, direct
         sales of 5,859,420 common shares and 397,500 Class B warrants were made
         to strategic investors, certain members of the Board of Directors and
         Company management; total net proceeds were approximately $82.6
         million. Substantially all of the net proceeds from these offerings
         were used to provide working capital and to capitalize the operating
         subsidiary, Annuity and Life Reassurance, Ltd.

         On February 11, 1999 the Board of Directors declared a quarterly
         stockholder dividend of $.04 per share payable to shareholders of
         record on March 10, 1999. The continued payment of dividends is
         dependent on the ability of Annuity and Life Reassurance, Ltd., to
         achieve satisfactory underwriting and investment results and other
         factors determined to be relevant by the Company's Board of Directors.

         The Company currently has no material commitments for capital
         expenditures.

         4.       YEAR 2000

         Many existing computer programs use only two digits to identify a year
         in the date field. These programs, if not corrected, could fail or
         create erroneous results by or at the year 2000. This "Year 2000" issue
         is believed to affect virtually all companies and organizations. All of
         the Company's data processing and related systems were purchased after
         April 17, 1998. Therefore, the Company believes that its exposure with
         respect to its own computer systems to Year 2000-related problems will
         not be significant. The Company does not expect to incur any material
         costs in connection with Year 2000-related issues.

         However, the Company will be exposed to the risk that its third-party
         service providers and client companies may be exposed to Year
         2000-related problems. The Company has no direct control over the Year
         2000 compliance efforts of its third party service providers and client
         companies. The Company is monitoring whether such parties will be Year
         2000 compliant on a timely basis and has received assurances that they
         will be. There can be no assurance, however, that the Company's
         operations will not experience material disruptions due to the failure
         of the Company's third-party service providers or 

                                       12
<PAGE>   13
         client companies to become fully Year 2000 compliant in a timely manner
         or that such failure will not otherwise have an adverse effect on the
         Company. Furthermore, the Company's interaction with third-party
         service providers and client companies outside the United States may
         subject the Company to additional Year 2000 risk as foreign entities
         have in general not addressed Year 2000 compliance issues as
         comprehensively as their United States counterparts. The Company will
         continue to monitor developments relating to the issue, including the
         development of additional contingency plans to supplement its current
         contingency plan, which provides for the replacement of existing
         third-party service providers which are not Year 2000 compliant with
         comparable third-party service providers which are Year 2000 compliant,
         and including the development of contingency plans for providing
         back-up services in the event of a systems failure.

5.       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.

                                       13
<PAGE>   14
                            PART II OTHER INFORMATION

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:

                  4    Annuity and Life Re (Holdings), Ltd. Initial Stock Option
                       Plan (as amended, effective April 29,1999.

                  11   Computation of Earnings per share

                  27   Financial Data Schedule

         (b)      Reports on Form 8-K - There were no reports on Form 8-K filed
                  during the period ended March 31, 1999.

                                       14
<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.

Date:
     -------------------               ----------------------------------------
                                       Name:  Lawrence S. Doyle
                                       Title: President and Chief
                                              Executive Officer
                                              (Principal Executive Officer)

Date:
     -------------------               ----------------------------------------
                                       Name:  William W. Atkin
                                       Title: Chief Financial Officer and
                                              Treasurer
                                              (Principal Accounting and 
                                              Financial Officer)

                                       15