UNITED STATES
                       SECURITIES AND EXCHANGE COMMISSION

                             Washington, D.C. 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, 2006

     [ ] Transition Report Pursuant to Section 13 or 15(d) of the Securities
                              Exchange Act of 1934
                  For the Transition period from ____ to ______

                        Commission File Number 001-16855

                            SCOTTISH RE GROUP LIMITED

             (Exact Name of Registrant as Specified in Its Charter)


             Cayman Islands                                    98-0362785
     (State or Other Jurisdiction of                        (I.R.S. Employer
     Incorporation or Organization)                        Identification No.)

                                P.O. Box HM 2939
                            Crown House, Third Floor
                               4 Par-la-Ville Road
                                  Hamilton HM08
                                     Bermuda

                                                              Not Applicable
               (Address of Principal Executive Offices)          (Zip Code)

       Registrant's telephone number, including area code: (441) 295-4451
              (Former name, former address and former fiscal year,
                         if changed since last report)

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

Indicate by checkmark whether the registrant is a large accelerated filer, or a
non-accelerated filer. See definition of "accelerated filer" and "large
accelerated filer" in Rule 12b-2 of the Exchange Act. Large accelerated filer[X]
Accelerated filer [ ] Non-accelerated filer [ ]

Indicate by checkmark whether the registrant is a shell company (as defined in
Rule 12b-2 of the Exchange Act). Yes [ ] No [X]


As of May 5, 2006, the Registrant had 53,719,156 ordinary shares outstanding.


<PAGE>


                                Table of Contents

PART I.  FINANCIAL INFORMATION.................................................2

Item 1.  Financial Statements..................................................2

         Consolidated Balance Sheets - March 31, 2006 (unaudited) and
         December 31, 2005.....................................................2

         Consolidated Statements of Income - Three months ended
         March 31, 2006 and 2005 (unaudited)...................................3

         Consolidated Statements of Comprehensive Income (Loss) - Three months
         ended March 31, 2006 and 2005 (unaudited).............................4

         Consolidated Statements of Shareholders' Equity - Three months ended
         March 31, 2006 and 2005 (unaudited)...................................5

         Consolidated Statements of Cash Flows - Three months ended March 31,
         2006 and 2005 (unaudited).............................................6

         Notes to Consolidated Financial Statements (unaudited)................7

Item 2.  Management's Discussion and Analysis of Financial Condition
         and Results of Operations............................................19

Item 3.  Quantitative and Qualitative Disclosures About Market Risk...........43

Item 4.  Controls and Procedures..............................................43

PART II.  OTHER INFORMATION...................................................44

Item 1.  Legal Proceedings....................................................44

Item 1a: Risk Factors.........................................................44

Item 2.  Unregistered Sales of Equity Securities and Use of Proceeds..........44

Item 3.  Defaults Upon Senior Securities......................................44

Item 4.  Submission of Matters to a Vote of Security Holders..................44

Item 5.  Other Information....................................................44

Item 6.  Exhibits.............................................................44



<PAGE>


       Part 1. Financial Information
       Item 1. Financial Statements

                            SCOTTISH RE GROUP LIMITED
                           CONSOLIDATED BALANCE SHEETS

      (Expressed in Thousands of United States dollars, except share data)

<TABLE>
<CAPTION>

                                                                          March 31, 2006          December 31,
                                                                            (unaudited)               2005
                                                                       ------------------     ------------------
<S>                                                                  <C>                    <C>
ASSETS
Fixed maturity investments, available for sale, at fair value
      (Amortized cost $6,174,404; 2005 - $5,323,488)...............    $      6,066,176       $      5,292,595
Preferred stock, available for sale, at fair value (Cost
      $136,828.; 2005 -$137,271)...................................             131,722                133,804
Cash and cash equivalents..........................................             690,076              1,420,205
Other investments..................................................              64,141                 54,619
Funds withheld at interest.........................................           2,610,195              2,597,416
                                                                       ------------------     ------------------
     Total investments.............................................           9,562,310              9,498,639
Accrued interest receivable........................................              45,371                 44,012
Reinsurance balances and risk fees receivable......................             381,095                325,372
Deferred acquisition costs.........................................             620,385                594,583
Amount recoverable from reinsurers.................................             605,241                551,288
Present value of in-force business.................................              53,826                 54,743
Goodwill...........................................................              34,125                 34,125
Other assets.......................................................              94,719                 87,198
Deferred tax assets................................................              79,435                 55,453
Segregated assets..................................................             780,132                760,707
                                                                       ------------------     ------------------
     Total assets..................................................    $     12,256,639       $     12,006,120
                                                                       ==================     ==================
LIABILITIES
Reserves for future policy benefits................................    $      3,539,016       $      3,477,222
Interest sensitive contract liabilities............................           3,990,836              3,907,573
Collateral finance facilities......................................           1,985,681              1,985,681
Accounts payable and other liabilities.............................              70,750                 83,130
Reinsurance balances payable.......................................             247,724                114,078
Current income tax payable.........................................               4,481                  9,155
Long term debt.....................................................             244,500                244,500
Segregated liabilities.............................................             780,132                760,707
                                                                       ------------------     ------------------
     Total liabilities.............................................          10,863,120             10,582,046
                                                                       ------------------     ------------------
MINORITY INTEREST                                                                 9,334                  9,305
MEZZANINE EQUITY                                                                143,207                143,057
SHAREHOLDERS' EQUITY
Ordinary shares, par value $0.01:
     Issued: 53,655,856 shares (2005 - 53,391,939).................                 537                    534
Preferred shares, par value $0.01:
     Issued: 5,000,000 shares (2005 - 5,000,000)...................             125,000                125,000
Additional paid-in capital.........................................             899,515                893,767
Accumulated other comprehensive loss...............................             (55,386)                (9,991)
Retained earnings..................................................             271,312                262,402
                                                                       ------------------     ------------------
     Total shareholders' equity....................................           1,240,978              1,271,712
                                                                       ------------------     ------------------
Total liabilities, minority interest, mezzanine equity and
     shareholders' equity..........................................    $     12,256,639       $     12,006,120
                                                                       ==================     ===================
</TABLE>

     See Accompanying Notes to Consolidated Financial Statements (unaudited)


                                        2

<PAGE>

                            SCOTTISH RE GROUP LIMITED
                        CONSOLIDATED STATEMENTS OF INCOME
                                   (UNAUDITED)

      (Expressed in Thousands of United States dollars, except share data)


<TABLE>
<CAPTION>
                                                                   Three months ended
                                                           -----------------------------------
                                                           March 31, 2006       March 31, 2005
                                                           ----------------    ---------------
<S>                                                           <C>                 <C>
Revenues
Premiums earned, net..................................     $        449,021    $       463,680
Investment income, net................................              129,022             80,479
Fee income............................................                3,733              3,624
Realized gains (losses)...............................              (13,601)             3,294
Change in value of embedded derivatives, net..........               10,146              5,485
                                                           ----------------    ---------------
     Total revenues...................................              578,321            556,562
                                                           ----------------    ---------------
Benefits and expenses
Claims and other policy benefits......................              374,463            363,272
Interest credited to interest sensitive contract
      liabilities.....................................               42,701             30,642
Acquisition costs and other insurance expenses, net ..               87,531             91,642
Operating expenses....................................               31,092             24,569
Collateral finance facilities expense.................               31,087              7,420
Interest expense......................................                4,893              5,594
                                                           ----------------    ---------------
     Total benefits and expenses......................              571,767            523,139
                                                           ----------------    ---------------
Income before income taxes and minority interest......                6,554             33,423
Income tax benefit....................................                7,457                368
                                                           ----------------    ---------------
Income before minority interest.......................               14,011             33,791
Minority interest.....................................                 (162)              (371)
                                                           ----------------    ---------------
Net income............................................               13,849             33,420
Dividend declared on non-cumulative perpetual
     preferred shares.................................               (2,266)                -
                                                           ----------------    ---------------
Net income available to ordinary shareholders.........     $         11,583    $        33,420
                                                           ================    ===============
Earnings per ordinary share - Basic...................     $           0.22    $          0.84
                                                           ================    ===============
Earnings per ordinary share - Diluted.................     $           0.20    $          0.74
                                                           ================    ===============
Dividends per ordinary share..........................     $           0.05    $          0.05
                                                           ================    ===============

Weighted average number of ordinary shares
     outstanding
Basic.................................................           53,434,484         39,970,965
                                                           ================    ===============
Diluted...............................................           56,532,914         45,192,171
                                                           ================    ===============
</TABLE>


     See Accompanying Notes to Consolidated Financial Statements (unaudited)


                                        3

<PAGE>


                            SCOTTISH RE GROUP LIMITED
             CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS)
                                   (UNAUDITED)

                (Expressed in Thousands of United States dollars)


<TABLE>
<CAPTION>
                                                              Three months ended
                                                ------------------------------------------------
                                                    March 31, 2006           March 31, 2005
                                                ------------------------ -----------------------
<S>                                           <C>                       <C>
Net income...............................       $                13,849  $               33,420
                                                ------------------------ -----------------------
Other comprehensive loss, net of tax and
  deferred acquisition costs:
     Unrealized depreciation on
       investments net of income tax
       expense and deferred acquisition
       costs of $33,807 and $25,480......                       (37,457)                (24,732)
     Add: reclassification adjustment
       for investment gains (losses)
       included in net income............                        (7,670)                  1,020
                                                ------------------------ -----------------------
Net unrealized depreciation..............                       (45,127)                (23,712)
Cumulative translation adjustment........                          (268)                 (2,189)
                                                ------------------------ -----------------------
Other comprehensive loss.................                       (45,395)                (25,901)
                                                ------------------------ -----------------------
Comprehensive income (loss)..............       $               (31,546) $                7,519
                                                ------------------------ -----------------------
</TABLE>


     See Accompanying Notes to Consolidated Financial Statements (unaudited)


                                        4

<PAGE>


                            SCOTTISH RE GROUP LIMITED
                 CONSOLIDATED STATEMENTS OF SHAREHOLDERS' EQUITY
                                   (UNAUDITED)

      (Expressed in Thousands of United States dollars, except share data)

<TABLE>
<CAPTION>
                                                                                       Three months ended
                                                                             -------------------------------------
                                                                               March 31, 2006      March 31, 2005
                                                                             -----------------   -----------------
<S>                                                                          <C>                <C>
Ordinary shares:
     Beginning of period................................................           53,391,939          39,931,145
     Issuance to employees on exercise of options.......................              263,917              91,800
                                                                             -----------------   -----------------
     End of period......................................................           53,655,856          40,022,945
                                                                             =================   =================
Preferred shares:
     Beginning and end of period........................................            5,000,000                   -
                                                                             =================   =================

Share capital:
Ordinary shares:
     Beginning of period................................................     $            534    $            399
     Issuance to employees on exercise of options.......................                    3                   1
                                                                             -----------------   -----------------
       End of period....................................................                  537                 400
                                                                             -----------------   -----------------
Preferred shares:
     Beginning and end of period........................................              125,000                   -
                                                                             -----------------   -----------------

Additional paid-in capital:
     Beginning of period................................................              893,767             684,719
     Issuance to employees on exercise of options.......................                3,752               1,257
     Option and restricted stock unit expense...........................                1,996               1,048
                                                                             -----------------   -----------------
       End of period....................................................              899,515             687,024
                                                                             -----------------   -----------------

Accumulated other comprehensive income:
Unrealized appreciation (depreciation) on investments:
     Beginning of period................................................             (17,879)              13,661
     Change in period (net of tax and deferred acquisition costs).......             (45,127)            (23,712)
                                                                             -----------------   -----------------
       End of period....................................................             (63,006)            (10,051)
                                                                             -----------------   -----------------
Cumulative translation adjustment:
     Beginning of period................................................               7,888               17,943
     Change in period (net of tax)......................................                (268)              (2,189)
                                                                             -----------------   -----------------
     End of period......................................................                7,620              15,754
                                                                             -----------------   -----------------
Total accumulated other comprehensive income (loss).....................              (55,386)              5,703
                                                                             -----------------   -----------------

Retained earnings:
     Beginning of period................................................              262,402              145,952
     Net income.........................................................               13,849               33,420
     Dividends declared on ordinary shares..............................               (2,673)              (2,160)
     Dividends declared on non-cumulative perpetual preferred shares ...               (2,266)                   -
                                                                             -----------------   -----------------
     End of period......................................................              271,312              177,212
                                                                             -----------------   -----------------
Total shareholders' equity..............................................     $      1,240,978    $         870,339
                                                                             =================   =================
</TABLE>


     See Accompanying Notes to Consolidated Financial Statements (unaudited)


                                        5

<PAGE>


                            SCOTTISH RE GROUP LIMITED
                      CONSOLIDATED STATEMENTS OF CASH FLOWS
                                   (UNAUDITED)

                (Expressed in Thousands of United States dollars)

<TABLE>
<CAPTION>
                                                                                          Three months ended
                                                                                  -----------------------------------
                                                                                  March 31, 2006      March 31, 2005
                                                                                  ---------------     ---------------
<S>                                                                              <C>                <C>
Operating activities
Net income....................................................................    $       13,849      $      33,420
Adjustments to reconcile net income to net cash provided by operating
activities:...................................................................
     Net realized (gains) losses..............................................            13,601             (3,294)
     Change in value of embedded derivatives, net.............................           (10,146)            (5,485)
     Amortization of discount on investments..................................             4,067              4,779
     Amortization of deferred acquisition costs...............................            18,866             19,870
     Amortization of present value of in-force business.......................               916              1,652
     Changes in assets and liabilities:.......................................
         Accrued interest receivable..........................................            (1,383)            (8,841)
         Reinsurance balances and risk fees receivable........................            79,050            (45,888)
         Deferred acquisition costs...........................................           (34,724)           (84,737)
         Deferred tax asset...................................................              (276)             5,427
         Other assets.........................................................             5,542            (13,897)
         Current income tax payable...........................................            (4,701)             5,135
         Reserves for future policy benefits, net of amounts recoverable from
         reinsurers...........................................................           (35,900)           189,676
         Interest sensitive contract liabilities, net of funds withheld at
         interest.............................................................            36,175                 66
         Accounts payable and other liabilities...............................           (12,270)            (9,828)
         Other................................................................            (3,054)              (435)
                                                                                  ---------------     ---------------
Net cash provided by operating activities.....................................            69,612             87,620
                                                                                  ---------------     ---------------

Investing activities
Purchase of fixed maturity investments........................................        (1,144,900)        (1,351,503)
Proceeds from sales of fixed maturity investments.............................           184,417            299,515
Proceeds from maturity of fixed maturity investments..........................           105,673            101,048
Purchase of preferred stock investments.......................................            (4,608)            (3,469)
Proceeds from sales of preferred stock investments............................             4,793                940
Proceeds from maturity of preferred stock investments.........................                28                  -
Purchase/sale of other investments............................................            (9,616)                 -
Other.........................................................................            (2,601)           (11,550)
                                                                                  ---------------     ---------------
Net cash used in investing activities.........................................          (866,814)          (965,019)
                                                                                  ---------------     ---------------

Financing activities
Proceeds from collateral finance facility.....................................                 -            850,000
Deposits to interest sensitive contract liabilities...........................           113,521             90,778
Withdrawals from interest sensitive contract liabilities......................           (45,264)           (26,038)
Proceeds from issuance of ordinary shares.....................................             3,755              1,258
Dividends paid................................................................            (4,939)            (2,160)
                                                                                  ---------------     ---------------
Net cash provided by financing activities.....................................            67,073            913,838
                                                                                  ---------------     ---------------
Net change in cash and cash equivalents.......................................          (730,129)            36,439
Cash and cash equivalents, beginning of period................................         1,420,205            794,639
                                                                                  ---------------     ---------------
Cash and cash equivalents, end of period                                          $      690,076      $     831,078
                                                                                  ===============     ===============
</TABLE>

     See Accompanying Notes to Consolidated Financial Statements (unaudited)


                                        6

<PAGE>


                            SCOTTISH RE GROUP LIMITED
                   NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
                                 MARCH 31, 2006
                                   (UNAUDITED)


1. Basis of presentation

     Accounting Principles - The accompanying unaudited consolidated financial
statements have been prepared in accordance with generally accepted accounting
principles in the United States of America ("GAAP") and the instructions to Form
10-Q and Article 10 of Regulation S-X. Accordingly, they do not include all of
the information and footnotes required by GAAP for complete financial
statements. In the opinion of management, all adjustments (consisting of normal
recurring accruals) considered necessary for a fair presentation have been
included. The results for the interim period are not necessarily indicative of
the results to be expected for the full year ending December 31, 2006. These
unaudited consolidated financial statements should be read in conjunction with
the consolidated financial statements and notes thereto included in our 2005
Annual Report on Form 10-K for the year ended December 31, 2005 ("2005 Annual
Report").

     Consolidation - We consolidate the results of all of our subsidiaries and
all variable interest entities for which we are the primary beneficiary. All
significant intercompany transactions and balances have been eliminated on
consolidation.

     Estimates, Risks and Uncertainties - The preparation of consolidated
financial statements in conformity with GAAP requires management to make
estimates and assumptions that affect the amounts reported on the consolidated
financial statements and accompanying notes. Actual results could differ
materially from those estimates and assumptions used by management. Our most
significant assumptions are for assumed reinsurance liabilities, premiums
receivable, deferred acquisition costs and valuation of investment impairments.
We review and revise these estimates as appropriate. Any adjustments made to
these estimates are reflected in the period the estimates are revised.

     All tabular amounts are reported in thousands of United States dollars,
except share and per share data, or as otherwise noted.

     Certain prior period amounts have been reclassified to conform to the
current period presentation.

2. New accounting pronouncements

Statement of Financial Accounting Standards ("SFAS") No. 155, "Accounting for
Certain Hybrid Financial Instruments - an amendment of FASB Statements No. 133
and 140" ("SFAS No. 155")

     In February 2006, the FASB issued SFAS No. 155, which resolves issues
addressed in SFAS No. 133 Implementation Issue No. D1, "Application of Statement
133 to Beneficial Interests in Securitized Financial Assets." SFAS No. 155 is
effective for all financial instruments acquired or issued in a fiscal year
beginning after September 15, 2006. Implementation of this policy would not
currently have a material impact on our financial position or our operating
results; however we will consider this pronouncement in future transactions.


                                        7


<PAGE>


                            SCOTTISH RE GROUP LIMITED
                   NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
                                 MARCH 31, 2006
                                   (UNAUDITED)


3. Business segments

     We measure segment performance primarily based on income or loss before
income taxes and minority interest. Our reportable segments are strategic
business units that are primarily segregated by geographic region. We report
segments in accordance with SFAS No. 131, "Disclosures about Segments of an
Enterprise and Related Information". Our segments are Life Reinsurance North
America, Life Reinsurance International and Corporate and Other. The segment
reporting is as follows:


<TABLE>
<CAPTION>
                                                                       Three months ended March 31, 2006
                                                   ----------------------------------------------------------------------
                                                           Life Reinsurance
                                                   --------------------------------
                                                   North America      International    Corporate & Other         Total
                                                   --------------     -------------    -----------------     -----------
<S>                                                 <C>                 <C>            <C>                  <C>
Premiums earned, net.........................      $     428,918      $      20,103    $              -      $   449,021
Investment income, net.......................            123,941              2,989               2,092          129,022
Fee income...................................              3,017                  -                 716            3,733
Realized gains (losses)......................            (13,919)            (1,138)              1,456          (13,601)
Change in value of embedded derivatives, net.             10,146                  -                   -           10,146
                                                   --------------     -------------    -----------------     -----------
Total revenues...............................            552,103             21,954               4,264          578,321
                                                   --------------     -------------    -----------------     -----------

Claims and other policy benefits.............            347,280             27,183                   -          374,463
Interest credited to interest sensitive
   contract liabilities......................             42,701                  -                   -           42,701
Acquisition costs and other insurance
   expenses, net.............................             84,408              2,817                 306           87,531
Operating expenses...........................             14,592              5,777              10,723           31,092
Collateral finance facilities expense.......              30,543                  -                 544           31,087
Interest expense............................               2,562                  -               2,331            4,893
                                                   --------------     -------------    -----------------     -----------
Total benefits and expenses..................            522,086             35,777              13,904          571,767
                                                   --------------     -------------    -----------------     -----------
Income (loss) before income taxes and
   minority interest.........................      $      30,017      $     (13,823)   $         (9,640)     $     6,554
                                                   ==============     =============    =================     ===========
</TABLE>




                                        8

<PAGE>


                            SCOTTISH RE GROUP LIMITED
             NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (CONTINUED)
                                   (UNAUDITED)

3. Business segments (continued)

<TABLE>
<CAPTION>
                                                                       Three months ended March 31, 2005
                                                   ----------------------------------------------------------------------
                                                           Life Reinsurance
                                                   --------------------------------
                                                   North America      International    Corporate & Other         Total
                                                   --------------     -------------    -----------------     -----------
<S>                                                 <C>                 <C>            <C>                  <C>
Premiums earned, net .....................         $     437,095      $     26,585     $              -      $   463,680
Investment income, net....................                77,531             2,590                  358           80,479
Fee income................................                 2,900                 -                  724            3,624
Realized gains............................                 1,441               497                1,356            3,294
Change in value of embedded derivatives,
   net....................................                 5,485                 -                    -            5,485
                                                   --------------     -------------    -----------------     -----------
Total revenues............................               524,452            29,672                2,438          556,562
                                                   --------------     -------------    -----------------     -----------

Claims and other policy benefits..........               344,188            19,084                    -          363,272
Interest credited to interest sensitive
   contract liabilities...................                30,642                 -                    -           30,642
Acquisition costs and other insurance
   expenses, net..........................                88,277             2,846                  519           91,642
Operating expenses........................                11,672             5,849                7,048           24,569
Collateral finance facilities expense.....                 6,185                 -                1,235            7,420
Interest expense..........................                 2,708                 -                2,886            5,594
                                                   --------------     -------------    -----------------     -----------
Total benefits and expenses...............               483,672            27,779               11,688          523,139
                                                   --------------     -------------    -----------------     -----------
Income (loss) before income taxes and
   minority interest......................         $      40,780      $      1,893     $         (9,250)     $    33,423
                                                   ==============     =============    =================     ===========
</TABLE>


<TABLE>
<CAPTION>
Assets                                                            March 31, 2006          December 31, 2005
                                                              --------------------        -----------------
<S>                                                          <C>                        <C>
Life Reinsurance
    North America.........................................    $         10,649,087        $       10,472,863
    International.........................................                 451,291                   460,888
                                                              --------------------        ------------------
Total Life Reinsurance....................................              11,100,378                10,933,751
Corporate & Other.........................................               1,156,261                 1,072,369
                                                              --------------------        ------------------
Total.....................................................    $         12,256,639        $       12,006,120
                                                              ====================        ==================
</TABLE>


                                        9

<PAGE>


                            SCOTTISH RE GROUP LIMITED
             NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (CONTINUED)
                                 MARCH 31, 2006
                                   (UNAUDITED)


4. Earnings per ordinary share

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

<TABLE>
<CAPTION>
                                                                       Three months ended
                                                            -----------------------------------------
                                                                  March 31,            March 31,
                                                                    2006                  2005
                                                            ---------------------  ------------------
<S>                                                       <C>                     <C>
         Numerator:
         Net income..................................       $            13,849     $        33,420
         Dividend declared on non-cumulative
            perpetual preferred shares...............                    (2,266)                  -
                                                            ---------------------  ------------------
         Net income available to ordinary
            shareholders.............................       $            11,583     $        33,420
                                                            =====================  ==================
         Denominator:
         Denominator for basic earnings per ordinary
            share - Weighted average number of
            ordinary shares..........................                53,434,484          39,970,965
         Effect of dilutive securities:
            - Stock options and restricted stock
                units................................                 1,221,086             619,688
            - Warrants...............................                 1,030,301           4,173,443
            - 4.50% senior convertible notes and
                Hybrid Capital Units.................                   847,043             428,075
                                                            ---------------------  ------------------
         Denominator for dilutive earnings per
            ordinary share...........................                56,532,914          45,192,171
                                                            =====================  ==================
         Basic earnings per ordinary share...........       $              0.22    $           0.84
                                                            =====================  ==================
         Diluted earnings per ordinary share..............  $              0.20    $           0.74
                                                            =====================  ==================
</TABLE>

5. Derivatives

     During 2004, we entered into an interest rate swap contract in the amount
of $100.0 million in relation to certain of our investment assets not supporting
reinsurance liabilities. This contract is accounted for in accordance with SFAS
No. 133, "Accounting for Derivative Instruments and Hedging Activities" ("SFAS
No. 133"), which requires that all derivatives be recognized as either assets or
liabilities on the balance sheet and be measured at fair value. This derivative
has not been designated as a hedge. The change in fair value of the swap during
the quarters ended March 31, 2006 and 2005 amounted to a gain of $1.2 million
and $2.1 million, respectively. These gains are included in realized gains
(losses) in the consolidated statements of income.



                                       10

<PAGE>


                            SCOTTISH RE GROUP LIMITED
             NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (CONTINUED)
                                   (UNAUDITED)


6.  Stock based compensation

     Prior to January 1, 2006, we accounted for stock-based compensation in
accordance with SFAS No. 123, "Accounting for Stock-Based Compensation" ("SFAS
No, 123"), as amended by SFAS No. 148, "Accounting for Stock-Based Compensation
- Transition and Disclosure". Under the fair value recognition provisions of
SFAS No. 123, stock-based compensation expense for all stock-based awards issued
from January 1, 2003 was measured at the grant date based on the value of the
award and were recognized as expense over the service period for awards that
were expected to vest.

     In December 2004, the Financial Accounting Standards Board ("FASB") revised
SFAS No. 123, by issuing "Share-Based Payment" ("SFAS No. 123(R)"). SFAS No.
123(R) requires us to recognize, in the determination of income, the grant date
fair value of all stock options and other equity based compensation issued to
employees.

     Effective January 1, 2006, we adopted SFAS No. 123(R) using the
modified-prospective transition method. Under the transition method,
compensation cost recognized includes compensation costs for all share-based
payments granted prior to, but not yet vested, as of January 1, 2006, based on
the grant date fair value estimated in accordance with the original provisions
of SFAS No. 123, and compensation costs for all share-based payments granted
subsequent to January 1, 2006, based on the grant date fair value estimated in
accordance with the provisions of SFAS No. 123(R). Results for prior periods
have not been restated.

     As a result of adopting SFAS No. 123(R), income before income taxes and net
income for the three months ended March 31, 2006 are $154,000 lower, than if we
had continued to account for share-based compensation awarded before January 1,
2003 under Accounting Principles Board Opinion No. 25. Diluted earnings per
share for the three months ended March 31, 2006 would be $0.21 per share without
the adoption of SFAS No. 123(R).

     Pro forma information regarding net income and earnings per share is
required by SFAS No. 123(R) for periods prior to the adoption of SFAS No.
123(R) and has been determined as if we accounted for all employee equity based
compensation under the fair value method of SFAS 123(R).

     For purposes of pro forma disclosures, the estimated fair value of the
options is amortized to expense over the options' vesting period using the
Black-Scholes model. The Black-Scholes pricing model was developed for use in
estimating the fair value of traded options that have no vesting restrictions
and are fully transferable. In addition, option valuation models require the
input of highly subjective assumptions including the expected price volatility,
dividend yield, risk free interest rate and expected life (in years). In
management's opinion, because our employee stock options have characteristics
significantly different from those of traded options, and because changes in the
subjective input assumptions can materially affect the fair value estimate, the
Black-Scholes model does not necessarily provide a reliable single measure of
the fair value of our employee stock options.

     Our pro forma information for the three months ended March 31, 2005 is as
follows:


                                       11

<PAGE>


                            SCOTTISH RE GROUP LIMITED
             NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (CONTINUED)
                                 MARCH 31, 2006
                                   (UNAUDITED)

6. Stock based compensation (continued)
                                                               Three months
                                                                   ended
                                                             ----------------
                                                              March 31, 2005
                                                             ----------------
   Net income available to ordinary
      shareholders...................................        $      33,420
   Stock-based employee compensation cost,
       net of related tax effects, included in the
       determination of net income as reported.......                1,048
   Stock-based employee compensation cost,
       net of related tax effects, that would
       have been included in the determination
       of net income if the fair value based
       method had been applied to all awards..........              (1,223)
                                                             ----------------
   Net income -- pro forma............................       $      33,245
                                                             ================

                                                               Three months
                                                                   ended
                                                             ----------------
                                                               March 31, 2005
                                                             ----------------
   Basic earnings per ordinary share -- as
     reported.........................................       $        0.84
   Basic earnings per ordinary share -- pro
     forma............................................       $        0.83
   Diluted earnings per ordinary share -- as
     reported.........................................       $        0.74
   Diluted earnings per ordinary share -- pro
     forma............................................       $        0.74



                                       12

<PAGE>


                            SCOTTISH RE GROUP LIMITED
             NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (CONTINUED)
                                   (UNAUDITED)

6. Stock based compensation (continued)

     We have four stock option plans (the "1998 Plan", the "1999 Plan", the
"Harbourton Plan" and the "2001 Plan", collectively the "Option Plans"). The
Option Plans allow us to grant non-statutory options, subject to certain
restrictions, to eligible employees, non-employee directors, advisors and
consultants. The minimum exercise price of the options will be equal to the fair
market value, as defined in the Option Plans, of our ordinary shares at the date
of grant. The term of the options is between seven and ten years from the date
of grant. Unless otherwise provided in each option agreement, all options
granted between January 1, 2002 and May 4, 2004, will become exercisable in five
equal installments commencing on the first anniversary of the grant date, except
for annual grants to each director, which are fully exercisable on the date of
grant. All options issued after May 5, 2004, become exercisable in three equal
annual installments commencing on the first anniversary of the grant date,
except for grants to directors, which are fully exercisable on the date of
grant. Total options authorized under the Option Plans are 3,750,000.

     The equity incentive compensation plan ("2004 ECP") allows us to grant
non-statutory options and restricted share units, subject to certain
restrictions, to eligible employees, non-employee directors, advisors and
consultants. For the first year of the 2004 ECP or the first 250,000 options
issued, the minimum exercise price of the options will be equal to 110% of fair
market value. At the discretion of our Compensation Committee, option grants
after the first year of the 2004 ECP or in excess of 250,000 options may have a
minimum exercise price equal to the fair market value of our ordinary shares at
the date of grant. The term of the options shall not be more than ten years from
the date of grant. Options will become exercisable in three equal installments
commencing on the first anniversary of the grant date, except for grants to
directors, which are fully exercisable on the date of grant. Total options
authorized under the 2004 ECP are 750,000. In addition, 1,000,000 restricted
shares units have been authorized under the 2004 ECP of which at least 750,000
will vest based on achievement of certain performance goals. The performance
measures that must be met for vesting to occur are established at the beginning
of each three year performance period. Depending on the performance, the actual
amount of restricted share units could range from 0% to 100%. The remaining
250,000 restricted share units may be issued without performance goals.


                                       13

<PAGE>


                            SCOTTISH RE GROUP LIMITED
             NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (CONTINUED)
                                 MARCH 31, 2006
                                   (UNAUDITED)


6. Stock based compensation (continued)

     Option activity under all Option Plans and the 2004 ECP is as follows:

<TABLE>
<CAPTION>
                                                               Three months ended
                                                    ------------------------------------------
                                                      March 31, 2006        March 31, 2005
                                                    -------------------- ---------------------
<S>                                                 <C>                  <C>
Outstanding, beginning of period..............               2,586,237            2,491,236
Granted.......................................                 149,000              428,500
Exercised.....................................                (288,917)             (91,200)
Cancelled.....................................                       -               (1,200)

Outstanding, end of period....................               2,446,320            2,827,336
                                                    ==================== =====================
Options exercisable, end of period............               1,522,705            1,811,770
                                                    ==================== =====================

Weighted average exercise price per
share:

Outstanding, beginning of period...............      $         17.5411   $          14.8860
Granted........................................      $         24.7383   $          25.9435
Exercised......................................      $         13.7718   $          13.7996
Cancelled......................................      $               -   $          18.7475
Outstanding, end of period.....................      $         18.4246   $          16.5953
Options exercisable............................      $         15.3809   $          13.2632
</TABLE>

Restricted share unit activity under the 2004 ECP is as follows:

<TABLE>
<CAPTION>
                                                        Three months ended
                                               --------------------------------------
                                                     March 31,         March 31,
                                                        2006             2005
                                               ------------------ -------------------
<S>                                           <C>                <C>
Outstanding, beginning of period.........                 659,200             95,700
Granted..................................                 218,000            361,500
Cancelled................................                  (3,500)                 -
                                               ------------------ -------------------
Outstanding, end of period...............                 873,700            457,200
                                               ================== ===================

Restricted share units exercisable, end
  of period..............................                       -                  -
                                               ================== ===================
</TABLE>


         Weighted average exercise price for restricted share units is $0.



                                       14

<PAGE>


                            SCOTTISH RE GROUP LIMITED
             NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (CONTINUED)
                                 MARCH 31, 2006
                                   (UNAUDITED)


6. Stock based compensation (continued)

     During the three months ended March 31, 2006 and 2005, the following
activity occurred under our plans:

<TABLE>
<CAPTION>
                                                                     Three months ended
                                                        ----------------------------------------------
                                                           March 31, 2006         March 31, 2005
                                                        --------------------- ------------------------
<S>                                                    <C>                   <C>
Weighted average grant date fair value of options       $            11.8435  $               10.8389
Weighted average grant date fair value of awards.       $            24.7380  $               24.0763
Total intrinsic value of options exercised.......       $          2,439,501  $               487,805
Total fair value of options vested ..............       $          2,628,292  $             1,105,913
</TABLE>


         Summary of options outstanding at March 31, 2006:

<TABLE>
<CAPTION>
                                              Options Outstanding                       Options Exercisable
                                    --------------------------------------    --------------------------------------
                                                                 Weighted                                  Weighted
                                                   Weighted       Average                    Weighted      Average
                                     Number of      Average      Remaining     Number of     Average      Remaining
Year of            Range of            Shares      Exercise     Contractual     Shares       Exercise    Contractual
  Grant        Exercise Prices      Outstanding      Price         Life       Exercisable     Price          Life
-------       -----------------     -----------    ---------    -----------   -----------   ---------    -----------
<S>         <C>                   <C>            <C>            <C>           <C>         <C>          <C>
   1998       $         15.0000        300,002     $15.0000        2.67          300,002    $15.0000         2.67
   1999       $  8.0625-15.0000        149,100     $12.3038        2.26          149,100    $12.3038         2.26
   2000       $   7.7500-9.0000        310,000     $ 8.0210        3.92          310,000    $ 8.0210         3.92
   2001       $ 13.5000-18.7600        230,167     $14.7182        4.67          230,167    $14.7182         4.67
   2002       $ 15.5000-21.5100        400,050     $17.9356        5.92          272,650    $17.9597         5.89
   2003       $ 17.4700-17.7500         94,000     $17.6830        6.57           26,000    $17.5938         5.96
   2004       $ 21.7000-23.8700        198,000     $23.4199        8.10           80,267    $23.2305         8.14
   2005       $ 22.5000-26.1030        616,001     $25.4923        9.05          144,519    $25.9175         8.87
   2006       $ 24.4000-24.7500        149,000     $24.7383        9.88           10,000    $24.7500         9.88
              -----------------     -----------    ---------    -----------   -----------   ---------    -----------
              $  7.7500-26.1030      2,446,320     $18.4246        6.16        1,522,705    $15.3809         6.16
              =================     ===========    =========    ===========   ===========   =========    ===========
</TABLE>


     The aggregate intrinsic value of options outstanding amounted to $15.6
million. The aggregate intrinsic value of options exercisable amounted to $14.4
million.

     The fair value of each option award is estimated on the date of grant using
the Black-Scholes option-pricing model, which uses the assumptions noted in the
following table. Expected dividend yield is based on the historical dividend
patterns as a percentage of the market value of the stock. Expected volatility
is based on implied volatilities from options traded on our ordinary shares. The
expected term of options granted is derived using the "simplified" method as
allowed under the provisions of the Securities and Exchange Commission's Staff
Accounting Bulletin No. 107 and represents the period of time that options
granted are expected to be outstanding. The risk-free interest rate for periods
within the contractual life of the option is based on the U.S. Treasury yield
curve in effect at the time of grant.


                                       15

<PAGE>


                            SCOTTISH RE GROUP LIMITED
             NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (CONTINUED)
                                 MARCH 31, 2006
                                   (UNAUDITED)


6. Stock based compensation (continued)


<TABLE>
<CAPTION>
                                               Three months ended     Three months ended
                                                    March 31,             March 31,
                                                      2006                   2005
                                               -------------------    ------------------
<S>                                            <C>                   <C>
Expected dividend yield.......................        0.78%                 0.77%
Risk free interest rate.......................    4.84% - 4.97%         3.43% - 4.59%
Expected life of options......................       7 years               7 years
Expected volatility...........................        0.34                   0.34
</TABLE>

     We recognize compensation costs for awards with pro-rata vesting evenly
over the requisite service period.

     As of March 31, 2006, there was $7.9 million and $9.9 million of total
unrecognized compensation costs related to stock options and restricted share
units, respectively. These costs are expected to be recognized over a period of
up to three years.

     During the three months ended March 31, 2006, the amount of cash received
from the exercise of share options was $4.7 million and there was no tax benefit
realized from stock options.

     Compensation expense for options and restricted stock units for the
three months ended March 31, 2006 and 2005 was $2.0 million and $1.1 million,
respectively. There was no tax benefit during the three months ended March 31,
2006.

7. Mediation

     On June 16, 2005, we requested mediation from Employers Reinsurance
Corporation ("ERC") pursuant to the stock purchase agreement transferring a 95%
interest in Scottish Re Life Corporation (formerly ERC Life Corporation) to
Scottish Holdings, Inc. We assert that ERC breached certain representations and
warranties under the agreement. Any negative outcome from this mediation will
not have a material adverse impact on our financial position because the
asserted breaches have already been fully reflected in our financial position at
March 31, 2006. The parties held their first mediation session on March 30,
2006. A second mediation session is currently scheduled for June 30, 2006.



                                       16

<PAGE>


                            SCOTTISH RE GROUP LIMITED
             NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (CONTINUED)
                                 MARCH 31, 2006
                                   (UNAUDITED)


8. Subsequent events

     Ballantyne Re plc - On May 2, 2006, Ballantyne Re plc, an orphan special
purpose vehicle incorporated under the laws of Ireland issued in a private
offering $1.71 billion of debt to external investors and $210.0 million of debt
to Scottish Annuity & Life Insurance Company (Cayman) Ltd. The debt issued to
external investors consisted of $250.0 million of Class A-1 Floating Rate Notes,
$500.0 million of Class A-2 Floating Rate Guaranteed Notes Series A, $500.0
million of Class A-2 Floating Rate Guaranteed Notes Series B, $100.0 million of
Class A-3 Floating Rate Guaranteed Notes Series A, $100.0 million of Class A-3
Floating Rate Guaranteed Notes Series B, $100.0 million of Class A-3 Floating
Rate Guaranteed Notes Series C, $100.0 million of Class A-3 Floating Rate
Guaranteed Notes Series D, $10.0 million of Class B-1 7.51244 % Subordinated
Notes, $40.0 million of Class B-2 Subordinated Floating Rate Notes and $10.0
million of Class C-1 Subordinated Variable Interest Rate Notes (collectively,
the "Notes"). The debt issued to Scottish Annuity & Life Insurance Company
(Cayman) Ltd. consisted of $40.0 million of Class C-1 Subordinated Variable
Interest Rate Notes, which Scottish Annuity & Life Insurance Company (Cayman)
Ltd. intends to sell to external investors, and $170.0 million Class C-2
Subordinated Variable Interest Rate Notes, which Scottish Annuity & Life
Insurance Company (Cayman) Ltd. intends to hold (collectively, the "SALIC
Notes"; and together with the Notes, the "Ballantyne Notes"). Concurrently with
its offering of the Ballantyne Notes, Ballantyne Re issued (i) $500,000 of Class
D Convertible Notes, which were purchased by Scottish Re Group Limited, (ii)
163.0 million Redeemable Preference Shares of U.S. $1.00 par value per share
which were purchased by Scottish Annuity & Life Insurance Company (Cayman) Ltd.,
and (iii) 18.2 million Non-Redeemable Preference Shares of U.S. $1.00 par value
per share which were also purchased by Scottish Annuity & Life Insurance Company
(Cayman) Ltd.

     Interest on the principal amount of the Ballantyne Notes is payable in
intervals ranging from every 28 days to monthly to annually, depending on the
note, initially at a rate equivalent to one-month LIBOR plus 0.61% for the Class
A-1 Floating Rate Notes (and after May 2, 2022, one-month LIBOR plus 1.22%),
one-month LIBOR plus 0.31% for the Class A-2 Floating Rate Guaranteed Notes
Series A (and after May 2, 2027, one-month LIBOR plus 0.62%), one-month LIBOR
plus 0.36% for the Class A-2 Floating Rate Guaranteed Notes Series B (and after
May 2, 2027, one-month LIBOR plus 0.72%), 4.99%, 4.99%, 5.00% and 5.01% for
Series A, Series B, Series C, and Series D of the Class A-3 Notes, respectively
(with the rate on the Class A-3 Notes to reset every 28 days), 7.51244% for the
Class B-1 Subordinated Notes, one-month LIBOR plus 2.00% for the Class B-2
Subordinated Floating Rate Notes, and a variable rate based on performance of
the underlying block of business for the Class C-1 Subordinated Variable
Interest Rate Notes and the Class C-2 Subordinated Variable Interest Rate Notes.

     Proceeds from this offering were used to fund the Regulation XXX reserve
requirements for the business acquired from ING America Insurance Holdings, Inc.
("ING"). $1.65 billion of the proceeds from the Ballantyne Notes have been
deposited into a series of accounts that collateralize the reserve obligations
of Scottish Re (U.S.), Inc.

     The holders of the Ballantyne Notes cannot require repayment from us or any
of our subsidiaries. The timely payment of the scheduled interest payments and
the principal on the maturity date of Series A of the Class A-2 Notes and Series
A, Series B, Series C, Series D and, if issued, Series E of the Class A-3 Notes
has been guaranteed by Ambac Assurance UK Limited. The timely payment of the
scheduled


                                       17

<PAGE>


                            SCOTTISH RE GROUP LIMITED
             NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (CONTINUED)
                                 MARCH 31, 2006
                                   (UNAUDITED)


8. Subsequent events (continued)

interest payments and the principal on the maturity date of Series B of the
Class A-2 Notes and, if issued, Series F of the Class A-3 Notes has been
guaranteed by Assured Guaranty (UK) Ltd.

     In accordance with FASB Interpretation No. 46 (revised December 2003),
"Consolidation of Variable Interest Entities" ("FIN 46R"), Ballantyne Re is
considered to be a variable interest entity and we are considered to hold the
primary beneficial interest. As a result, Ballantyne Re will be consolidated in
our financial statements beginning in the second quarter of 2006. The assets of
Ballantyne Re will be recorded as fixed maturity investments and cash and cash
equivalents. Our consolidated statements of income will include the investment
return of Ballantyne Re as investment income and the cost of the facility will
be reflected in collateral finance facilities expense.

     Tartan Capital Limited - On May 4, 2006, Scottish Annuity & Life Insurance
Company (Cayman) Ltd. sponsored a $155 million catastrophe mortality
securitization through a Cayman special purpose vehicle, Tartan Capital Limited.
The notes consisted of $75.0 million Class A Notes and $80.0 million Class B
Notes. Interest on the principal amount of the Class A and B Notes is three
months LIBOR plus 0.19% and three months LIBOR plus 3.00%, respectively. The
timely payment of principal and interest on the Class A Notes is guaranteed by
Financial Guaranty Insurance Company.

     Benefits of the transaction include the mitigation of the impact of extreme
mortality events on our Life Reinsurance North America portfolio.

     In accordance with FIN 46R, Tartan Capital Limited is considered to be a
variable interest entity and we are not considered to hold the primary
beneficial interest. As a result, Tartan Capital Limited will not be
consolidated in our financial statements.


                                       18

<PAGE>


Item 2. Management's Discussion and Analysis of Financial Condition and Results
of Operations

General

     This discussion and analysis should be read in conjunction with
"Management's Discussion and Analysis of Financial Condition and Results of
Operations" and the audited Consolidated Financial Statements and Notes thereto,
presented under Item 7 and Item 8, respectively, of our 2005 Annual Report.

Overview

     See "Overview" in Item 7 of our 2005 Annual Report.


Critical Accounting Policies

     See the discussion of our Critical Accounting Policies in Item 7 of our
Form 10-K for the year ended December 31, 2005.


Results of Operations

All amounts are reported in thousands of United States dollars, except share
amounts.

Consolidated results of operations

<TABLE>
<CAPTION>
                                                        Three months ended
                                                ----------------------------------
                                                   March 31,          March 31,
                                                      2006                2005
                                                --------------      --------------
<S>                                           <C>                 <C>
 Premiums earned, net.......................    $      449,021      $      463,680
 Investment income, net.....................           129,022              80,479
 Fee income.................................             3,733               3,624
 Realized gains (losses)....................           (13,601)              3,294
 Change in value of embedded derivatives,
 net........................................            10,146               5,485
                                                --------------      --------------
 Total revenues.............................           578,321             556,562
                                                --------------      --------------

 Claims and other policy benefits...........           374,463             363,272
 Interest credited to interest sensitive
 contract liabilities.......................            42,701              30,642
 Acquisition costs and other insurance
 expenses, net..............................            87,531              91,642
 Operating expenses.........................            31,092              24,569
 Collateral finance facilities expense......            31,087               7,420
 Interest expense...........................             4,893               5,594
                                                --------------      --------------
 Total benefits and expenses................           571,767             523,139
                                                --------------      --------------
 Income before income taxes and minority
 interest...................................             6,554              33,423

 Income tax benefit.........................             7,457                 368
                                                --------------      --------------
 Income before minority interest............            14,011              33,791
 Minority interest..........................              (162)               (371)
                                                --------------      --------------
 Net income.................................            13,849              33,420

 Dividend declared on non-cumulative
 perpetual preferred shares.................            (2,266)                  -
                                                --------------      --------------
 Net income available to ordinary
 shareholders...............................    $       11,583      $       33,420
                                                ==============      ==============
</TABLE>


                                       19

<PAGE>


Item 2. Management's Discussion and Analysis of Financial Condition and Results
of Operations


     Total revenues increased by 4% to $578.3 million in the first quarter ended
March 31, 2006 from $556.6 million in the same period in 2005. Net premiums
earned decreased by 3% to $449.0 million in the first quarter ended March 31,
2006 from $463.7 million in the same period in 2005. The decrease in net
premiums earned is primarily due to a decline in first year premiums due to a
curtailment of a number of North American treaties immediately following the ING
acquisition, cedant balance true-ups in the Life Reinsurance International
segment which reduced premiums and a shift in our Life Reinsurance North America
segment from coinsurance to yearly renewable term life reinsurance, partially
offset by an increase in renewal premiums as a result of an increase in the
overall business in force in that segment. Net investment income increased by
60% to $129.0 million in the first quarter ended March 31, 2006 from $80.5
million in the same period in 2005. The increase in investment income is due to
growth in our invested assets, which arises from business growth, the proceeds
from the issuance of the non-cumulative perpetual preferred shares in July 2005,
the assets raised through our Regulation XXX transactions in December 2005 (the
Orkney Re II plc and HSBC II transactions described below) and the proceeds from
the issuance of ordinary shares in December 2005.

     Total benefits and expenses increased by 9% to $571.8 million in the first
quarter ended March 31, 2006 from $523.1 million in the same period in 2005. The
increase was principally due to higher interest credited expenses arising on a
large interest sensitive contract closed in the fourth quarter of 2005, higher
collateral finance facilities expense related to our Regulation XXX
transactions, higher operating expenses and higher claims experience in our Life
Reinsurance International segment. When analyzing the impact of collateral
finance facilities on the consolidated results, it is important to understand
that this expense is offset by the investment income earned on the fixed
maturity investments from the Regulation XXX transactions. Higher operating
costs arise as we continue to expand our corporate infrastructure in response to
our recent and anticipated future growth.

     The change in our effective tax rate for the first quarter of 2006 as
compared to the same period in 2005 is due primarily to the amount of pre-tax
earnings attributable to different subsidiaries (which changes from time to
time), each of which may have different tax rates. The increase in the tax
benefit for the first quarter ended March 31, 2006 is principally due to the
losses incurred in our Life Reinsurance International segment.


                                       20

<PAGE>


Item 2. Management's Discussion and Analysis of Financial Condition and Results
of Operations


Segment Operating Results

Life Reinsurance North America

                                                Three months ended
                                             --------------------------
                                               March 31,     March 31,
                                                2006           2005
                                             -----------     ----------
Premiums earned, net........................ $   428,918     $ 437,095
Investment income, net......................     123,941        77,531
Fee income..................................       3,017         2,900
Realized gains (losses).....................     (13,919)        1,441
Change in value of embedded
derivatives, net............................      10,146         5,485
                                             -----------     ---------
Total revenues..............................     552,103       524,452
                                             -----------     ---------

Claims and other policy benefits............     347,280       344,188
Interest credited to interest
sensitive contract liabilities..............      42,701        30,642
Acquisition costs and other
insurance expenses, net.....................      84,408        88,277
Operating expenses..........................      14,592        11,672
Collateral finance facilities
expense.....................................      30,543         6,185
Interest expense............................       2,562         2,708
                                             -----------     ---------
Total benefits and expenses.................     522,086       483,672
                                             -----------     ---------

Income before income taxes and
minority interest........................... $    30,017     $  40,780
                                             ===========     =========



     In our Life Reinsurance North America Segment we reinsure life insurance,
annuities and annuity-type products through yearly renewable term agreements,
coinsurance and modified coinsurance agreements. These reinsurance arrangements
are predominantly on an automatic basis and written by life insurance companies
and other financial institutions located principally in the United States.

     Net premiums earned in our Life Reinsurance North America Segment during
the first quarter ended March 31, 2006 decreased 2% to $428.9 million from
$437.1 million in the same period in 2005. The decrease is primarily due to a
curtailment of a number of large treaties immediately following the ING
acquisition that did not meet our risk management criteria and a shift in
business mix from coinsurance to yearly renewable term life reinsurance. As of
March 31, 2006, we had approximately $1.025 trillion of gross life reinsurance
in force in our Life Reinsurance North American segment compared to $1.019
trillion as of March 31, 2005. Included in net earned premiums for the first
quarter 2006 is an experience refund accrual of $5.8 million, which was $2.7
million higher than in the same period in 2005. In addition, further
improvements to the administration of the former ERC business resulted in
additional recoveries from external retrocessionaires of $3.6 million which are
included in net earned premiums. Related to the ERC business was the release of
$1.0 million of the $6.0 million provision for uncollectible reinsurance
recoveries established at December 31, 2005.

     Net investment income increased by $46.4 million or 60% to $123.9 million
for the first quarter ended March 31, 2006 from $77.5 million in the same period
in 2005. The increase is principally due to the growth in our average invested
assets but was also favorably impacted by an increase in interest rates.


                                       21

<PAGE>


Item 2. Management's Discussion and Analysis of Financial Condition and Results
of Operations


Our total invested assets have increased significantly because of growth in our
Life Reinsurance North America Segment, including the closing of a large
interest sensitive contract at the end of 2005 and investment of the proceeds of
our Regulation XXX transactions that closed in December 2005. Finally, a large
portion of the proceeds from the December 2005 equity issuance were contributed
to the North America segment to support its continued growth. The Regulation XXX
transactions resulted in an increase of $23.0 million in net investment income
during the first quarter of 2006 compared to the first quarter of 2005.

     On the portfolio managed by our external investment managers, the yields on
fixed rate assets were 5.18% and 5.13% at March 31, 2006 and 2005, respectively.
Yields on floating rate assets are indexed to LIBOR. The yield on our floating
rate assets increased to 5.30% at March 31, 2006 from 3.72% at March 31, 2005,
and the yield on our cash and cash equivalents increased to 4.15% at March 31,
2006 from 2.21% at March 31, 2005.

     During the first quarter ended March 31, 2006, the change in value of the
embedded derivatives amounted to a gain of $10.1 million. Changes in the
embedded derivative valuation may be offset by actual realized gain and losses
on the underlying securities. The primary reason for the increase was related to
the realization of losses on certain securities held under a modified
coinsurance arrangement that were sold or expected to be transferred from the
modified coinsurance arrangement in the first quarter of 2006 plus securities
which were sold or transferred subsequent to March 31, 2006 in order to provide
collateral for the Ballantyne Re securitization that closed on May 2, 2006. With
respect to securities sold or transferred subsequent to March 31, 2006, since
the securities were in an unrealized loss position at March 31, 2006 and
subsequently sold or transferred at a loss, management determined that it was
appropriate to recognize the loss as a realized loss in the quarter ended March
31, 2006. By recognizing a total loss of $12.2 million, the valuation of the
embedded derivative for the related assets increased in value by a similar
amount. Otherwise, changes in interest rates, spreads and convexity caused the
embedded derivative to decrease in value by approximately $2.0 million.

     Claims and other policy benefits increased to $347.3 million for the first
quarter ended March 31, 2006 from $344.2 million in the same period in 2005. The
increase is a result of our traditional solutions business and the impact of
higher claims experience due to the aging of the business in force and lower
than expected retrocession recoveries on the business assumed from ING (the
"ING block"). Claims and policy benefits, as a percentage of net premiums
earned, were 81.0% and 78.7% in the first quarters of 2006 and 2005,
respectively. Although gross claims were within expectations in the aggregate, a
higher number of smaller claims within our retention limit resulted in
retrocession recoveries below our expectations, which resulted in approximately
$10.8 million of pre-tax adverse mortality. Partially offsetting this additional
claim expense are experience refunds earned as a result of the lower than
expected reinsurance recoveries. Experience refunds of $5.8 million were
recognized and recorded as an increase in net earned premiums as described
above. Claims and other policy benefits were also impacted by the recapture of a
portion of our ING block from reinsurers that resulted in the release of $9.6
million of net reserves.

     For the first quarter ended March 31, 2006, interest credited to interest
sensitive contract liabilities increased by $12.1 million or 39% to $42.7
million from $30.6 million in the same period in 2005. The increase is
principally due to the large interest sensitive contract written in late 2005,
along with increases in interest credited on existing treaties due to increasing
average liability balances. Interest sensitive contract liabilities amounted to
$4.0 billion at March 31, 2006 compared to $3.3 billion at March 31, 2005.

     During the first quarter ended March 31, 2006, acquisition costs and other
insurance expenses decreased by 4% to $84.4 million from $88.3 million in the
same quarter in 2005. The decrease was


                                       22

<PAGE>


Item 2. Management's Discussion and Analysis of Financial Condition and Results
of Operations


principally impacted by the levels of premiums earned in the first quarter of
2006 compared to the same period in 2005 and a reduction in letter of credit
fees in 2006 due to the Regulation XXX transactions completed in 2005.

     Operating expenses increased by 25% to $14.6 million in the first quarter
ended March 31, 2006 from $11.7 million in the same period in 2005. Operating
expenses as a percentage of operating revenues increased to 2.6% from 2.3% in
the first quarters of 2006 and 2005, respectively. Compensation costs were $1.9
million higher than the prior year period principally due to an increase in
headcount and related salaries and benefits in the segment. In addition,
depreciation expense increased $0.7 million as several software development
projects were completed and the new Denver office space was placed in service in
late 2005.

     The costs of the collateral finance facilities amounted to $30.5 million in
the first quarter ended March 31, 2006 compared to $6.2 million in the same
period of 2005. The increase is due to the impact of the Regulation XXX
transactions (relating to Orkney Re II (as defined herein) and HSBC II (as
defined herein)) which closed in December 2005 and the full impact of Orkney Re
I transaction that closed in February 2005. In addition, beginning in the second
half of 2005, a portion of the cost of the Stingray facility was charged to the
Life Reinsurance North America segment.

Life Reinsurance International

                                                      Three months ended
                                                   ------------------------
                                                    March 31,    March 31,
                                                      2006         2005
                                                   ----------   -----------
Premiums earned, net..........................      $ 20,103    $  26,585
Investment income, net.........................        2,989        2,590
Realized gains (losses).........................      (1,138)         497
                                                    --------    ---------
Total revenues..................................      21,954       29,672
                                                    --------    ---------

Claims and other policy benefits................      27,183       19,084
Acquisition costs and other
  insurance expenses, net.......................       2,817        2,846
Operating expenses..............................       5,777        5,849
                                                    --------    ---------
Total benefits and expenses.....................      35,777       27,779
                                                    --------    ---------
Income (loss) before income taxes ..............    $(13,823)   $   1,893
                                                    ========    =========


     Prior to 2005, our Life Reinsurance International Segment specialized in
niche markets in developed countries, broader life insurance markets in the
developing world and focused on the reinsurance of short term group life
policies and aircrew "loss of license" insurance. In 2005, our Life Reinsurance
International Segment became actively engaged in the reinsurance of U.K. and
Irish protection business and has been actively seeking to reinsure U.K. and
Irish annuity products. The life insurance and annuity products are similar to
those offered in the Life Reinsurance North America Segment.

     Net premiums earned during the first quarter ended March 31, 2006 decreased
24% to $20.1 million compared to $26.6 million in the same period in 2005.
Premiums earned in the current quarter included a $4.5 million reduction to
reflect updated data received from cedants on a number of large treaties and a
$5.1 million downward revision of premium estimates on the loss of license
business partially offset by earned premium on new UK protection treaties. The
adjustment related to the loss of license business had no net income impact as
acquisition and claims expenses were adjusted by a similar amount.


                                       23

<PAGE>


Item 2. Management's Discussion and Analysis of Financial Condition and Results
of Operations


     Claims and other policy benefits increased by 42% to $27.2 million in the
first quarter ended March 31, 2006 from $19.1 million in the same period in
2005. Claims and other policy benefits in the quarter included $2.3 million of
adverse mortality experience, a $3.8 million charge due to a reduction in
estimated retrocessional recoveries on certain large claims and a charge of $3.0
million related to further anticipated cedant data true-ups. These were
partially offset by the adjustment to loss of license noted above.

     Investment income in the first quarter ended March 31, 2006 increased to
$3.0 million compared to $2.6 million for the same period in 2005. The increase
is due to the income earned on capital contributions received during 2005.

     Operating expenses for the first quarter ended March 31, 2006 were
consistent compared with the same period in 2005. An increase in personnel costs
in response to the anticipated growth in the Life Reinsurance International
Segment was offset by reductions primarily in various professional services
costs.

Corporate & Other
                                                       Three months ended
                                                   -----------------------
                                                    March 31,    March 31,
                                                      2006         2005
                                                   ----------   ----------
 Investment income, net.........................   $    2,092   $     358
 Fee income.....................................          716         724
 Realized gains.................................        1,456       1,356
                                                    ---------   ---------
 Total revenues.................................        4,264       2,438
                                                    ---------   ---------
 Acquisition costs and other
 insurance expenses, net........................          306         519
 Operating expenses.............................       10,723       7,048
 Collateral finance facilities
 expense........................................          544       1,235
 Interest expense...............................        2,331       2,886
                                                    ---------   ---------
 Total benefits and expenses....................       13,904      11,688
                                                    ---------   ---------
 Loss before income taxes.......................    $  (9,640)  $  (9,250)
                                                    =========   =========


     The Corporate and Other Segment is comprised of revenues and expenses that
are not included in the Life Reinsurance segments and includes corporate
overhead.

     Investment income arises in the Corporate and Other Segment on capital not
specifically allocated to the Life Reinsurance Segments. Investment income will
increase or decrease as we raise capital and deploy it in our operating
segments. Fee income and acquisition expenses arise from our wealth management
operations.

     Operating expenses include the costs of running our principal office in
Bermuda, compensation and other costs for our Board of Directors and legal and
professional fees, including those in respect of corporate governance. Operating
expenses have increased by 52% to $10.7 million in 2006 from $7.0 million in
2005 principally due to increased personnel costs, including recruitment and
relocation costs, the costs of option and restricted stock unit awards granted
under our equity incentive compensation plans and professional fees.


                                       24

<PAGE>


Item 2. Management's Discussion and Analysis of Financial Condition and Results
of Operations


     The collateral finance facilities expense consists of a portion of the
Stingray facility.

     Interest expense includes interest on the 4.5% senior convertible notes and
the 1.0% dividend payable on the convertible preferred shares of our Hybrid
Capital Units. In addition, interest expense in 2005 included $0.8 million in
interest expense on the notes issued to the Cypress entities which include
Cypress Merchant B Partners II (Cayman) L.P., Cypress Merchant Banking II-A
C.V., 55th Street Partners II (Cayman) L.P. and Cypress Side-by-Side (Cayman)
L.P. These were converted into Class C Warrants on April 7, 2005.

Realized gains (losses)

     During the first quarter ended March 31, 2006, consolidated realized losses
amounted to $13.6 million in comparison with realized gains of $3.3 million in
the same period in 2005. The major component of the realized losses in the first
quarter of 2006 is a loss of $12.2 million due to the realization of losses on
certain securities held under a modified coinsurance arrangement that were sold
or expected to be transferred from the modified coinsurance arrangement in the
Ballantyne Re transaction. Included in realized gains and losses is a gain of
$1.2 million for the three months ended March 31, 2006 and a loss of $2.1
million for the same period in 2005, resulting from the mark to market of an
interest rate swap. During the first quarter ended March 31, 2006, there were no
losses in respect of other than temporary impairments. During the first quarter
ended March 31, 2005, we recognized other than temporary impairments of $1.1
million.

Income Taxes

     We determine our income tax provision in accordance with SFAS No. 109
"Accounting for Income Taxes". The consolidated income tax expense or benefit is
determined by applying the income tax rate for each subsidiary to its pre-tax
income or loss. The tax rates for our subsidiaries vary from jurisdiction to
jurisdiction and range from zero to approximately 39%. Income tax expense arises
in periods where taxes on subsidiaries with pre-tax income exceed the tax
benefit on subsidiaries with pre-tax losses. An income tax benefit arises in
periods where the tax benefit on subsidiaries with pre-tax losses exceeds the
taxes on subsidiaries with pre-tax income.

     Our effective tax rate in each reporting period is determined by dividing
the net tax benefit (expense) by our pre-tax income or loss. The change in our
effective tax rate is due primarily to the amount in any reporting period of
pre-tax earnings attributable to different subsidiaries (which changes from time
to time), each of which may have different tax rates. The change in our
effective tax rate is due primarily to the relationship of pre-tax income or
losses in different jurisdictions.

Financial Condition

Investments

     At March 31, 2006, the portfolio controlled by us consisted of $6.8 billion
of fixed income securities, preferred stock and cash. The portfolio controlled
by us excludes the assets held by ceding reinsurers under modified coinsurance
and funds withheld coinsurance arrangements. The majority of these assets are
publicly traded; however, $556.1 million of this amount represents investments
in private securities. Of the total portfolio controlled by us, $6.2 billion
represents the fixed income and preferred stock portfolios managed by external
investment managers and $563.4 million represents other cash balances. At
December 31, 2005, the portfolio controlled by us consisted of $6.7 billion of
fixed income securities, preferred stock and cash. The majority of these assets
were publicly traded; however, $452.9 million represented investments in private
securities. Of the total portfolio, $5.4 billion represented the fixed income
and preferred stock portfolio managed by external investment managers and $1.3
million represented other cash balances. At March 31, 2006, the average Standard
& Poor's rating of the portfolio was "AA", the average effective duration was
3.0 years and the average book yield was 5.1%, as compared with an average
rating of " AA ", an average effective duration of 2.9 years and an average book
yield of 4.9% at December 31, 2005. At


                                       25

<PAGE>


Item 2. Management's Discussion and Analysis of Financial Condition and Results
of Operations


March 31, 2006, the unrealized depreciation on investments, net of tax and
deferred acquisition costs, was $63.0 million as compared with unrealized
appreciation on investments, net of tax and deferred acquisition costs, of $17.9
million at December 31, 2005. The unrealized appreciation (depreciation) on
investments is included in our Consolidated Balance Sheet as part of
shareholders' equity.

     The table below sets forth the total returns earned by our portfolio for
the first quarter ended March 31, 2006, compared to the returns earned by three
indices: the Lehman Brothers Global Bond Index, the S&P 500, and a customized
index that we developed to take into account our investment guidelines. We
believe that this customized index is a more relevant benchmark for our
portfolio's performance.

                                                           Quarter ended
                                                           March 31, 2006
                                                           --------------
         Portfolio performance.......................         -0.21%
         Customized index............................         -0.50%
         Lehman Brothers Global Bond Index...........         -0.65%
         S&P 500.....................................          4.21%

     The following table presents the investment portfolio (market value) credit
exposure by category as assigned by Standard & Poor's.

                                            March 31, 2006    December 31, 2005
                                      -----------------------------------------
     Ratings                               $ in              $ in
                                          millions    %     millions      %
                                         ---------   ----   --------    ----
     AAA............................     $2,974.6    44.0%  $ 3,017.4   44.8%
     AA.............................      1,129.0    16.7     1,069.1   15.9
     A..............................      1,668.6    24.7     1,646.9   24.4
     BBB............................        961.4    14.2       977.7   14.5
     BB or below....................         27.7     0.4        28.0    0.4
                                         ---------  ------  ---------  ------
     Total..........................     $6,761.3   100.0%  $ 6,739.1  100.0%
                                         =========  ======  =========  ======

     The following  table  illustrates the investment  portfolio  (market value)
sector exposure.

                                              March 31, 2006  December 31, 2005
                                              --------------  -----------------
     Sector                                      $ in           $ in
                                               millions   %    millions    %
                                               --------  ---   --------   ----

     U.S. Treasury securities and U.S.
       government agency obligations.........  $   71.9    1.1% $   47.9   0.7%
     Corporate securities....................   2,071.2   30.6   2,057.0  30.5
     Municipal bonds.........................      41.9    0.6      37.6   0.6
     Mortgage and asset backed securities....   3,881.2   57.4   3,150.1  46.7
     Preferred stock.........................     131.7    2.0     133.8   2.0
                                               --------  -----  -------- -----
                                                6,197.9   91.7   5,426.4  80.5
     Cash....................................     563.4    8.3   1,312.7  19.5
                                               --------  -----  -------- -----
     Total...................................  $6,761.3  100.0% $6,739.1 100.0%
                                               ========  =====  ======== =====

     Management reviews securities with material unrealized losses and tests for
other-than- temporary impairments on a quarterly basis. Factors involved in the
determination of potential impairment include fair value as compared to cost,
length of time the value has been below cost, credit worthiness of the issuer,
forecasted financial performance of the issuer, position of the security in the


                                       26

<PAGE>


Item 2. Management's Discussion and Analysis of Financial Condition and Results
of Operations


issuer's capital structure, the presence and estimated value of collateral or
other credit enhancement, length of time to maturity, interest rates and our
intent and ability to hold the security until the market value recovers. When a
decline is considered to be "other-than-temporary" the cost basis of the
impaired asset is adjusted to its fair value and a corresponding realized
investment loss is recognized in the consolidated statements of income. The
actual value at which such financial instruments could actually be sold or
settled with a willing buyer may differ from such estimated fair values.

     The following tables present the estimated fair values and gross unrealized
losses for the fixed maturity investments and preferred stock that have
estimated fair values below amortized cost or cost as of March 31, 2006 and
December 31, 2005. These investments are presented by class and grade of
security, as well as the length of time the related market value has remained
below amortized cost or cost.


                                       27

<PAGE>


Item 2. Management's Discussion and Analysis of Financial Condition and Results
of Operations
<TABLE>
<CAPTION>


                                                      March 31, 2006
                            --------------------------------------------------------------------------
                                                      Equal to or greater than
                                Less than 12 months          12 months                   Total
                            --------------------------------------------------------------------------
                              Estimated   Unrealized   Estimated  Unrealized    Estimated   Unrealized
                              fair value     loss      fair value    loss       fair value     loss
                            ------------  ----------   ----------  --------     ----------  ----------
<S>                          <C>          <C>         <C>         <C>          <C>         <C>
Investment Grade
  Securities:
CMO......................   $    512,078  $ (10,996)    $106,505   $ (2,475)  $    618,583 $ (13,471)
Corporates...............      1,487,116    (61,348)     218,964     (9,252)     1,706,080   (70,600)
Governments..............         66,894     (2,290)       4,125       (185)        71,019    (2,475)
MBS......................        127,466     (5,496)      62,506     (2,959)       189,972    (8,455)
Municipal................         36,493     (1,128)       3,264       (154)        39,757    (1,282)
Other structured
  securities.............        877,623    (17,224)     249,742     (5,967)     1,127,365   (23,191)
Preferred stocks.........         93,633     (3,385)      42,516     (2,172)       136,149    (5,557)
                            ------------   --------      -------      ------   -----------  --------

Total investment grade
  securities.............      3,201,303   (101,867)     687,622    (23,164)     3,888,925  (125,031)
                            ------------   --------     --------   ---------   ----------- ---------

Below investment grade
  securities:
Corporates...............         15,670       (826)         978        (171)       16,648      (997)
Other structured
  securities.............          3,046       (569)       5,119         (31)        8,165      (600)
Preferred stock..........              -          -          666         (31)          666       (31)

Total below investment
  grade securities.......         18,716     (1,395)       6,763        (233)       25,479    (1,628)
                            ------------   --------     --------   ---------   ----------- ---------

Total....................   $  3,220,019  $(103,262)    $694,385   $ (23,397)  $ 3,914,404 $(126,659)
                            ============   ========     ========   ==========  =========== ==========

</TABLE>

                                       28

<PAGE>


Item 2. Management's Discussion and Analysis of Financial Condition and Results
of Operations

<TABLE>
<CAPTION>

                                                             December 31, 2005
                             ---------------------------------------------------------------------------------
                                                          Equal to or greater than
                                Less than 12 months              12 months                     Total
                             ---------------------------------------------------------------------------------
                              Estimated     Unrealized    Estimated     Unrealized    Estimated     Unrealized
                             fair value       loss       fair value       loss       fair value       loss
                             -----------   -----------   -----------   -----------   -----------   -----------
<S>                         <C>            <C>          <C>            <C>           <C>           <C>
Investment Grade
  Securities:
CMO......................    $   467,314   $    (4,865)  $    85,305   $    (1,688)  $   552,619   $    (6,553)
Corporates...............      1,132,840       (23,950)       94,218        (2,545)    1,227,058       (26,495)
Governments..............         36,297          (774)        1,999           (71)       38,296          (845)
MBS......................        143,956        (3,383)       42,682        (1,611)      186,638        (4,994)
Municipal................         17,738          (330)        1,621           (68)       19,359          (398)
Other structured
  securities.............      1,028,657       (11,882)      135,341        (3,113)    1,163,998       (14,995)
Preferred stocks.........         98,263        (2,287)       24,106        (1,295)      122,369        (3,582)
                             -----------   -----------   -----------   -----------   -----------   -----------

Total investment grade
  securities.............      2,925,065       (47,471)      385,272       (10,391)    3,310,337       (57,862)
                             -----------   -----------   -----------   -----------   -----------   -----------

Below investment grade
  securities:
Corporates...............         10,676          (655)        1,841           (59)       12,517          (714)
Other structured
  securities.............          3,552          (555)        7,260           (29)       10,812          (584)
Preferred stock..........            392           (12)          340           (19)          732           (31)
                             -----------   -----------   -----------   -----------  ------------   -----------

Total below investment
  grade securities.......         14,620        (1,222)        9,441          (107)       24,061        (1,329)
                             -----------   -----------   -----------   -----------   -----------   -----------

Total....................    $ 2,939,685   $   (48,693)  $   394,713   $   (10,498)  $ 3,334,398   $   (59,191)
                             ===========   ===========   ===========   ===========   ===========   ===========

</TABLE>

     At March 31, 2006, our fixed income portfolio had 2,666 positions and
$126.7 million of gross unrealized losses. No single position had an unrealized
loss greater than $2.0 million. There were $13.9 million of unrealized gains on
the remainder of the portfolio. There were 149 private securities in an
unrealized loss position totaling $9.3 million in our fixed income portfolio. At
December 31, 2005, our fixed income portfolio had 2,493 positions and $59.2
million of gross unrealized losses. No single position had an unrealized loss
greater than $0.5 million. There were $25.5 million of unrealized gains on the
remainder of the portfolio. There were 127 private securities in an unrealized
loss position totaling $4.3 million in our fixed income portfolio.

     Based on our analysis of each security whose price has been below market
for greater than twelve months, we believe that the financial strength,
liquidity, leverage, future outlook, and our ability and intent to hold the
security until recovery support the view that the security was not
other-than-temporarily impaired as of March 31, 2006. The unrealized losses on
fixed maturity securities are primarily a result of rising interest rates,
changes in credit spreads and the long-dated maturities of the securities.
Additionally, as of March 31, 2006, approximately 99% of the gross unrealized
losses are associated with investment grade securities.

     Unrealized losses on securities that have been in an unrealized loss
position for periods greater than two years amounted to $3.8 million at March
31, 2006 and $1.1 million at December 31, 2005. Unrealized losses on
non-investment grade securities amounted to $1.6 million and $1.3 million at
March 31, 2006 and December 31, 2005, respectively. Of these amounts,
non-investment grade securities with unrealized losses of $0.2 million at March
31, 2006 and $0.1 million at December 31, 2005 had been in an unrealized loss
position for a period greater than one year, but not greater than 2 years.


                                       29

<PAGE>


Item 2. Management's Discussion and Analysis of Financial Condition and Results
of Operations


     The following tables illustrate the industry analysis of the unrealized
losses at March 31, 2006 and December 31, 2005.

<TABLE>
<CAPTION>
                                                          March 31, 2006
                                  ----------------------------------------------------------------
                                   Amortized            Estimated            Unrealized
                                      Cost        %    Fair Value        %     Loss         %
                                   ---------    ----   ----------      -----  ----------   -----
<S>                              <C>           <C>    <C>           <C>     <C>          <C>
 Industry
 --------
 Mortgage and asset backed
    securities..................   $1,989,803    49.2%  $1,944,085     49.7%  $ (45,718)    36.1%
 Banking........................      315,975     7.8      305,469      7.8     (10,506)     8.3
 Communications.................      231,428     5.7      218,525      5.6     (12,903)    10.2
 Consumer noncyclical ..........      174,594     4.3      165,729      4.2      (8,865)     7.0
 Insurance......................      169,376     4.2      163,747      4.2      (5,629)     4.4
 Finance companies .............      155,123     3.8      150,195      3.8      (4,928)     3.9
 Financial other................      129,440     3.2      124,572      3.2      (4,868)     3.8
 Other..........................      875,324    21.8      842,082     21.5     (33,242)    26.3
                                   ----------   -----   ----------    -----   ----------   -----
 Total..........................   $4,041,063   100.0%  $3,914,404    100.0%  $(126,659)   100.0%
                                   ==========   =====   ==========    =====   ==+=======   =====


                                                          December 31, 2005
                                  ----------------------------------------------------------------
                                   Amortized            Estimated            Unrealized
                                      Cost        %    Fair Value        %     Loss         %
                                   ---------    ----   ----------      -----  ----------   -----
 Industry
 --------
 Mortgage and asset backed
    securities..................   $1,941,193    57.2%  $1,914,068     57.4%   $(27,125)  45.8%
 Banking........................      210,360     6.2      206,189      6.2      (4,171)   7.1
 Insurance......................      192,282     5.7      186,480      5.6      (5,802)   9.8
 Financial other................      114,199     3.4      111,488      3.3      (2,711)   4.6
 Brokerage......................      124,998     3.7      122,134      3.7      (2,864)   4.8
 Financial companies............      103,455     3.0      101,663      3.0      (1,792)   3.0
 Communications.................      117,803     3.5      115,767      3.5      (2,036)   3.4
 Other..........................      589,299    17.3      576,609     17.3     (12,690)  21.5
                                   ----------   -----   ----------    -----   --------   -----
 Total..........................   $3,393,589   100.0%  $3,334,398    100.0%   $(59,191) 100.0%
                                   ==========   =====   ==========    =====    ========  =====


     The expected maturity dates of securities that have unrealized losses at
March 31, 2006 and December 31, 2005 are presented in the tables below.

                                                          March 31, 2006
                                  ----------------------------------------------------------------
                                   Amortized            Estimated            Unrealized
                                      Cost        %    Fair Value        %     Loss         %
                                   ---------    ----   ----------      -----  ----------   -----
Maturity
--------

Due in one year or less............$  308,392     7.6%  $  304,604      7.8%   $  (3,788)    3.0%
Due in one through five years...... 1,494,544    37.0    1,461,823     37.3      (32,721)   25.8
Due in five through ten years...... 1,316,221    32.6    1,270,855     32.5      (45,366)   35.8
Due after ten years................   921,906    22.8      877,122     22.4      (44,784)   35.4
                                   ----------   -----   ----------    -----    ---------   -----
Total..............................$4,041,063   100.0%  $3,914,404    100.0%   $(126,659)  100.0%
                                   ==========   =====   ==========    =====    =========   =====


                                       30
</TABLE>

<PAGE>


Item 2. Management's Discussion and Analysis of Financial Condition and Results
of Operations

<TABLE>
<CAPTION>

                                                               December 31, 2005
                                         ----------------------------------------------------------------
                                                                Estimated            Unrealized
   Maturity                                Book Value     %     Fair Value    %        Loss          %
   --------                               -----------   ------  ----------   -----    ----------   -----
<S>                                      <C>          <C>      <C>         <C>       <C>          <C>

   Due in one year or less.............   $    269,410     7.9% $   267,712    8.0% $  (1,698)      2.9%
   Due in one through five years.......      1,659,946    48.9    1,636,102   49.1    (23,844)     40.3
   Due in five through ten years.......        925,650    27.3      905,973   27.2    (19,677)     33.2
   Due after ten years.................        538,583    15.9      524,611   15.7    (13,972)     23.6
                                          ------------   -----  -----------  -----   ---------    -----
   Total...............................   $  3,393,589   100.0% $ 3,334,398  100.0%  $(59,191)    100.0%
                                          ============   =====  ===========  =====   =========    =====
</TABLE>


     At March 31, 2006, there were 1,950 securities with unrealized loss
positions all of which were less than $2.0 million. At December 31, 2005, there
were 1,698 securities with unrealized loss positions, all of which were less
than $0.5 million.

     At March 31, 2006, there was one security with a fair value that traded
continuously at less than 80% of amortized cost for at least six months or 90%
of amortized cost for at least 12 months. The total unrealized loss on this
security amounted to $0.5 million. At December 31, 2005, there was one security
with a fair value that traded continuously at less than 80% of amortized cost
for at least six months or 90% of amortized cost for at least 12 months. The
total unrealized loss on this security amounted to $0.5 million.

     The following tables provide details of the sales proceeds, realized loss,
length of time the security has been in an unrealized loss position and reason
for sale for those securities sold at a loss during the periods ended March 31,
2006 and 2005. These tables exclude gains or losses from modified coinsurance
portfolios, foreign exchange and swaps or other derivatives.

<TABLE>
<CAPTION>

                                                      Three months ended March 31, 2006
                      -----------------------------------------------------------------------------------------------
                         Credit Concern            Relative Value              Tactical                   Total
                      -------------------      --------------------     ---------------------     --------------------
Days                  Proceeds       Loss      Proceeds       Loss       Proceeds      Loss       Proceeds       Loss
                      --------      ------     --------      ------     ---------     -------     --------      ------
<S>                <C>            <C>        <C>           <C>        <C>          <C>           <C>           <C>

0-90..........       $   2,821    $    (19)   $ 52,679     $    (22)    $  41,523   $   (171)   $  97,023    $   (212)
91-180........           2,729         (59)      9,635         (266)       13,632       (374)      25,996        (699)
181-270.......           6,124        (678)      1,255          (19)          856        (47)       8,235        (744)
Greater than 270         2,300        (314)     14,054         (303)        9,751       (177)      26,105        (794)
                     ---------    --------    --------     --------     ---------   --------    ---------    ---------
Total.........       $  13,974    $ (1,070)   $ 77,623     $   (610)    $  65,762   $   (769)   $ 157,359    $  (2,449)
                     =========    ========    ========     ========     =========   ========    =========    =========


</TABLE>

                                       31

<PAGE>


Item 2. Management's Discussion and Analysis of Financial Condition and Results
of Operations

<TABLE>
<CAPTION>


                                                   Three months ended March 31, 2005
                      -------------------------------------------------------------------------------------------
                         Credit Concern         Relative Value              Tactical                  Total
                      -------------------     ------------------     ---------------------    --------------------
Days                  Proceeds       Loss     Proceeds     Loss       Proceeds    Loss        Proceeds       Loss
                      --------      ------    --------    ------     ---------   -------      --------      ------
<S>                <C>            <C>        <C>           <C>        <C>        <C>         <C>         <C>

0-90..........       $   2,151    $   (302)   $11,624   $   (89)     $ 94,537     $  (608)     $108,312    $   (999)
91-180........             290         (26)     3,983       (11)            -           -         4,273         (37)
181-270.......             981         (51)        -          -            81          (1)        1,062         (52)
Greater than 270            54         (11)        -          -             -           -            54         (11)
                     ---------    --------   --------   --------     ---------    -------      ---------   ---------
Total.........       $   3,476    $   (390)   $15,607   $  (100)     $ 94,618     $  (609)     $113,701    $ (1,099)
                     =========    ========   ========   ========     =========    ========     =========   =========
</TABLE>

Funds withheld at interest

     Funds withheld at interest arise on contracts written under modified
coinsurance agreements and funds withheld coinsurance agreements. In substance,
these agreements are identical to coinsurance treaties except that the ceding
company retains control of and title to, the assets. The deposits paid to the
ceding company by the underlying policyholders are held in a segregated
portfolio and managed by the ceding company or by investment managers appointed
by the ceding company. These treaties transfer a quota share of the risks. The
funds withheld at interest represent our share of the ceding companies'
statutory reserves. The cash flows exchanged with each monthly settlement are
netted and include, among other items, our quota share of investment income on
our proportionate share of the portfolio, realized losses, realized gains
(amortized to reflect the statutory rules relating to interest maintenance
reserve), interest credited and expense allowances.

     At March 31, 2006, the funds withheld at interest totaled $2.6 billion with
an average rating of "A", an average effective duration of 4.7 years and an
average book yield of 5.7%, as compared to $2.6 billion with an average rating
of "A+", an average effective duration of 5.1 years and an average book yield of
5.6% at December 31, 2005. These are fixed income investments and include
marketable securities, commercial mortgages, private placements and cash. The
market value of the funds withheld amounted to $2.5 billion and $2.6 billion at
March 31, 2006 and December 31, 2005, respectively.

     At March 31, 2006 and December 31, 2005, funds withheld at interest were in
respect of seven contracts with five ceding companies. At March 31, 2006, we had
three contracts with Lincoln National Life Insurance Company that accounted for
$1.3 billion or 50% of the funds withheld balances. Additionally we had one
contract with Security Life of Denver International Limited that accounted for
$0.6 billion or 26% of the funds withheld balances and one contract with
Fidelity & Guaranty Life that accounted for $0.6 billion or 23% of the funds
withheld balances. The remaining contracts were with Illinois Mutual Insurance
Company and American Founders Life Insurance Company. Lincoln National Life
Insurance Company has financial strength ratings of "A+" from A.M. Best, "AA"
from Standard & Poor's, "Aa3" from Moody's and "AA" from Fitch. In the event of
insolvency of the ceding companies on these arrangements, we would need to exert
a claim on the assets supporting the contract liabilities. However, the risk of
loss is mitigated by our ability to offset amounts owed to the ceding company
with the amounts owed to us by the ceding company. Reserves for future policy
benefits and interest sensitive contract liabilities relating to these contracts
amounted to $2.4 billion at March 31, 2006 and December 31, 2005.

     The investment objectives for these arrangements are included in the
modified coinsurance and funds withheld coinsurance agreements. The primary
objective is to maximize current income, consistent with the long-term
preservation of capital. The overall investment strategy is executed within the
context of prudent asset/liability management. The investment guidelines permit
investments in fixed maturity securities, and include marketable securities,
commercial mortgages, private placements and cash. The


                                       32

<PAGE>


Item 2. Management's Discussion and Analysis of Financial Condition and Results
of Operations


maximum percentage of below investment grade securities is 10%, and other
guidelines limit risk, ensure issuer and industry diversification, and maintain
liquidity and overall portfolio credit quality.

     According to data provided by our ceding companies, the following table
reflects the market value of assets backing the funds withheld at interest
portfolio using the lowest rating assigned by the three major rating agencies.
<TABLE>
<CAPTION>

                                                            March 31, 2006           December 31, 2005
                                                       ---------------------    -------------------------
         Ratings                                       $ in millions     %      $ in millions         %
         -------                                        -----------    -----      ----------       -----

<S>                                                  <C>              <C>      <C>               <C>
         AAA......................................      $     630.6     24.9%     $    705.9        27.4%
         AA.......................................            146.4      5.8           146.0         5.7
         A........................................            736.7     29.1           741.6        28.9
         BBB......................................            829.5     32.8           785.8        30.6
         BB or below..............................             78.0      3.1            78.0         3.0
                                                        -----------    -----      ----------       -----
                                                            2,421.2     95.7         2,457.3        95.6
         Commercial mortgage loans................            108.0      4.3           112.6         4.4
                                                        -----------    -----      ----------       -----
     Total....................................          $   2,529.2    100.0%     $  2,569.9       100.0%
                                                        ===========    =====      ==========       =====
</TABLE>

     According to data provided by our ceding companies, the following table
reflects the market value of assets backing the funds withheld at interest
portfolio by sector.

<TABLE>
<CAPTION>

                                                           March 31, 2006             December 31, 2005
                                                       ---------------------       ------------------------
         Sector                                        $ in millions     %         $ in millions        %
         ------                                        -------------   -----       -------------      -----
<S>                                                   <C>             <C>         <C>                 <C>
         U.S. Treasury securities and U.S. $
            government agency obligations......         $    195.1       7.7%     $       62.3       2.4%
         Corporate securities..................            1,564.5      61.9           1,634.4      63.6
         Municipal bonds.......................               31.4       1.2              33.0       1.3
         Mortgage and asset backed securities..              583.2      23.1             595.1      23.1
         Commercial mortgage loans.............              108.0       4.3             112.5       4.4
         Cash..................................               47.0       1.8             132.6       5.2
                                                        -----------    -----      ------------     -----
         Total.....................................     $  2,529.2     100.0%     $    2,569.9     100.0%
                                                        ===========    =====      ============     =====
</TABLE>

Liquidity and Capital Resources

Cash flow

     Cash provided by operating activities amounted to $69.6 million in the
first quarter ended March 31, 2006 compared to cash of $87.6 million provided by
operating activities in the same period of 2005. Operating cash flow includes
cash inflows from premiums, fees and investment income, and cash outflows for
benefits and expenses paid. In periods of growth of new business our operating
cash flow may decrease due to first year commissions paid on new business
generated. For income recognition purposes these commissions are deferred and
amortized over the life of the business.

     We believe cash flows from operations will be positive over time. However,
they may be positive or negative in any one period depending on the amount of
new life reinsurance business written, the level of ceding commissions paid in
connection with writing that business, the level of renewal premiums earned in
the period and the timing of receipt of reinsurance receivables and settlement
of


                                       33

<PAGE>


Item 2. Management's Discussion and Analysis of Financial Condition and Results
of Operations


reinsurance payables. To address the risk that operating cash flows may not be
sufficient in any given period we maintain a high quality fixed maturity
portfolio with positive liquidity characteristics. These securities are
available for sale and can be sold to meet obligations if necessary.

     Net cash used in investing activities was $0.9 billion and $1.0 billion in
the first quarter ended March 31, 2006 and the comparable period in 2005,
respectively. The decrease in cash used in investing activities principally
relates to the purchases of fixed maturity securities. In the current year,
these were primarily related to the investment of the proceeds of the Regulation
XXX transactions closed in December 2005 and the excess cash generated by
operating and financing activities. In the same quarter in 2005 these were
primarily related to the investment of the proceeds of the ING acquisition, the
collateral finance facilities and the excess cash generated by operating and
financing activities.

     Net cash provided by financing activities was $67.1 million in the first
quarter ended March 31, 2006 and $913.8 million in the same period of 2005. The
2005 financings included $850.0 million raised in collateral finance facilities.

The Holding Company

     We are a holding company whose primary uses of liquidity include, but are
not limited to, the immediate capital needs of our operating companies,
dividends paid to our shareholders and interest payments on our indebtedness.
See Note 10, "Debt Obligations" in the Notes to the Consolidated Financial
Statements to our 2005 Annual Report on Form 10-K. The primary sources of our
liquidity include proceeds from our capital raising efforts, interest income on
corporate investments and dividends from operating subsidiaries. As we continue
our expansion efforts, we will continue to be dependent upon these sources of
liquidity.



Capital

     At March 31, 2006, total capitalization was $1.6 billion compared to $1.7
billion at December 31, 2005. Total capitalization is analyzed as follows:

                                         March 31, 2006    December 31, 2005
                                        --------------    -----------------
         Shareholders' equity.........   $   1,240,978     $   1,271,712
         Mezzanine equity.............         143,207           143,057
         Long-term debt...............         244,500           244,500
                                         -------------     -------------
         Total........................   $   1,628,685     $   1,659,269
                                         =============     =============

     The decrease in shareholders' equity is principally due to the other
comprehensive loss of $45.4 million. Other comprehensive income consists of the
unrealized appreciation (depreciation) on investments (net of taxes and deferred
acquisition costs) and the cumulative translation adjustment arising from the
translation of our balance sheet at exchange rates as of March 31, 2006.

Shareholder dividends

     Historically, we have paid quarterly dividends of $0.05 per ordinary share
and have paid quarterly dividends on our non-cumulative perpetual preferred
shares during the first quarter of 2006. All future payments of dividends are at
the discretion of our Board of Directors and will depend on our income, capital
requirements, insurance regulatory conditions, operating conditions and such
other factors as the Board of Directors may deem relevant. The amount of
dividends that we can pay will depend in part on the operations of our
reinsurance subsidiaries.


                                       34

<PAGE>


Item 2. Management's Discussion and Analysis of Financial Condition and Results
of Operations


Collateral

     We must have sufficient assets available for use as collateral to support
borrowings, letters of credit and certain reinsurance transactions. With
reinsurance transactions, the need for collateral or letters of credit arises in
five ways:

     o    Scottish Annuity & Life Insurance Company (Cayman) Ltd., Scottish Re
          (Dublin) Limited or Scottish Re Limited enters into a reinsurance
          treaty with a U.S. customer, we must contribute assets into a reserve
          credit trust with a U.S. bank or issue a letter of credit to enable
          the ceding company to obtain reserve credit for the reinsurance
          transaction;

     o    Scottish Re (U.S.), Inc. enters into a reinsurance transaction, it
          typically incurs a need for additional statutory capital. This need
          can be met by its own capital surplus, an infusion of cash or assets
          from us or an affiliate or by ceding a portion of the transaction to
          another company within the group or an unrelated reinsurance company,
          in which case that reinsurer must provide reserve credit by
          contributing assets in a reserve credit trust or a letter of credit;

     o    Scottish Re (U.S.), Inc. is licensed, accredited, approved or
          authorized to write reinsurance in 50 states and the District of
          Columbia. When Scottish Re (U.S.), Inc. enters into a reinsurance
          transaction with a customer domiciled in a state in which it is not a
          licensed, accredited, authorized or approved reinsurer, it likewise
          must provide a reserve credit trust or letter of credit;

     o    Scottish Re Life Corporation is licensed, accredited, approved or
          authorized to write reinsurance in 50 states, the District of
          Columbia, Guam and the Federated States of Micronesia. When Scottish
          Re Life Corporation enters into a reinsurance transaction with a
          customer domiciled in a state in which it is not a licensed,
          accredited, authorized or approved reinsurer, it likewise must provide
          a reserve credit trust or letter of credit; and

     o    Scottish Re (U.S.), Inc. is licensed, accredited, approved or
          authorized to write reinsurance in a state, it may still agree with a
          customer to provide a reserve credit trust or letter of credit
          voluntarily to mitigate the counter-party risk from the customer's
          perspective, thereby doing transactions that would otherwise be
          unavailable or would be available only on significantly less
          attractive terms.

     Assets placed in trust continue to be owned by us, but their use is
restricted based on terms of the trust agreements. We have a number of
facilities in place to provide collateral requested for our reinsurance
business.

Credit Facilities

     Scottish Annuity & Life Insurance Company (Cayman) Ltd., Scottish Re
(Dublin) Limited, Scottish Re (U.S.), Inc. and Scottish Re Limited have a $200.0
million, three-year revolving unsecured senior credit facility with a syndicate
of banks. The facility may be increased, at our option, to an aggregate
principal amount of $300.0 million. The facility provides capacity for borrowing
and extending letters of credit. The facility is a direct financial obligation
of each of the borrowers; however, Scottish Annuity & Life Insurance Company
(Cayman) Ltd. has guaranteed the payment of obligations of Scottish Re (Dublin)
Limited, Scottish Re (U.S.), Inc. and Scottish Re Limited. There were no
outstanding borrowings at March 31, 2006. Outstanding letters of credit under
this facility amounted to $56.5 million at March 31, 2006. In the second quarter
of 2006, we expect to make use of this facility to finance a $120 million
capital contribution by Scottish Annuity & Life Insurance Company (Cayman) Ltd.
in Scottish Re (U.S.), Inc. A significant portion of this contribution relates
to Scottish Re (U.S.), Inc.'s investment in Orkney Holdings LLC and Orkney Re,
Inc. In March 2006, the Delaware Insurance Department raised a question as to
whether the carrying value of these entities for statutory reporting purposes
should be zero rather than the carrying value computed in accordance with
generally accepted accounting principles, which carrying value was reflected in
Scottish Re (U.S.), Inc.'s statutory financial statements for year end 2005
filed in February 2006. Pending Scottish Re (U.S.), Inc.'s discussions with the
Delaware Insurance Department on the issue, we have assumed the lower valuation
and therefore plan to arrange the additional capital contribution.


                                       35

<PAGE>


Item 2. Management's Discussion and Analysis of Financial Condition and Results
of Operations


     Scottish Re (Dublin) Limited has a $30.0 million three-year revolving,
unsecured letter of credit facility with a syndicate of banks. The credit
facility may be increased, at our option, to an aggregate principal amount of
$50.0 million. The facility is a direct financial obligation of Scottish Re
(Dublin) Limited, however, Scottish Annuity & Life Insurance Company (Cayman)
Ltd. has guaranteed the payment obligations of Scottish Re (Dublin) Limited.
There were no outstanding borrowings or letters of credit at March 31, 2006.

     The financial covenants of these facilities require that Scottish Annuity &
Life Insurance Company (Cayman) Ltd. maintain a minimum amount of consolidated
shareholders' equity and maintain the ratio of unencumbered assets to aggregate
borrowings under the facilities of 1.2 times borrowings. In addition, these
facilities also require us to maintain a minimum amount of consolidated
shareholders' equity and a debt to capitalization ratio of less than 30%. For
the purposes of computing the financial covenants, the collateral finance
facilities and their associated costs are excluded.

     Failure to comply with the requirements of the credit facilities would,
subject to grace periods, result in an event of default and we would be required
to repay any outstanding borrowings. At March 31, 2006, we were in compliance
with the financial covenants noted in the preceding paragraphs.

     We also have a reverse repurchase agreement with a major broker/dealer.
Under this agreement, we have the ability to sell agency mortgage backed
securities with the agreement to repurchase them at a fixed price, providing the
dealer with a spread that equates to an effective borrowing cost linked to
one-month LIBOR. This agreement is renewable monthly at the discretion of the
broker/dealer. At March 31, 2006 and December 31, 2005, there were no borrowings
under this agreement.


ING Collateral Arrangement

     ING is obligated to maintain collateral for the Regulation XXX and AXXX
reserve requirements of the business we acquired from them for the duration of
such requirements (which relate to state insurance law reserve requirements
applying to reserves for level premium term life insurance policies and
universal life policies). We pay ING a fee based on the face amount of the
collateral provided until satisfactory alternative collateral arrangements are
made. In the normal course of business and our capital planning we are always
looking for opportunities to relieve capital strain relating to XXX reserve
requirements for our existing business, as well as, the business acquired from
ING. We completed three financing solutions relating to these requirements in
December 2005 and one in May 2006. All Regulation XXX business has been
permanently financed with alternative sources and the only obligation left for
ING is related to the Regulation AXXX business.

HSBC I

     In 2004, we entered into a collateral finance facility with HSBC Bank USA,
N.A. ("HSBC I"). This facility provides $200.0 million that can be used to
collateralize reinsurance obligations under intercompany reinsurance agreements.
Simultaneously, we entered into a total return swap with HSBC Bank USA, N.A.
under which we are entitled to the total return of the investment portfolio of
the trust established for this facility. In accordance with FIN 46R, the trust
is considered to be a variable interest entity and we are deemed to hold the
primary beneficial interest in the trust. As a result, the trust has been
consolidated in these financial statements. The assets of the trust have been
recorded as fixed maturity investments. Our consolidated statements of income
show the investment return of the trust as investment income and the cost of the
facility is reflected in collateral finance facilities expense. The creditors of
the trust have no recourse against our general assets.


                                       36

<PAGE>


Item 2. Management's Discussion and Analysis of Financial Condition and Results
of Operations


Stingray

     On January 12, 2005, we entered into a put agreement with Stingray Investor
Trust ("Stingray") for an aggregate value of $325.0 million. Under the terms of
the put agreement, we acquired an irrevocable put option to issue funding
agreements to Stingray in return for the assets in a portfolio of 30-day
commercial paper. This put option may be exercised at any time. In addition, we
may be required to issue funding agreements to Stingray under certain
circumstances, including, but not limited to, the non-payment of the put option
premium and a non-payment of interest under any outstanding funding agreements
under the put agreement. The facility matures on January 12, 2015. This
transaction may also provide collateral for Scottish Re (U.S.), Inc. for
reinsurance obligations under intercompany quota share reinsurance agreements
and at March 31, 2006, $54.4 million was in use for this purpose. The put
premium incurred during the quarter ended March 31, 2006 amounted to $1.2
million, and is included in collateral finance facilities expense in the
consolidated statements of income. In accordance with FIN 46R, we are not
considered to be the primary beneficiary of Stingray and as a result we are not
required to consolidate Stingray.

Orkney Re, Inc.

     On February 11, 2005, Orkney Holdings, LLC, a Delaware limited liability
company ("Orkney I"), issued and sold in a private offering an aggregate of
$850.0 million Series A Floating Rate Insured Notes due February 11, 2035 (the
"Orkney Notes"). Orkney I organized for the limited purpose of holding the stock
of Orkney Re, Inc., a South Carolina special purpose captive insurance company,
and issuing the Orkney Notes. All of the ordinary shares of Orkney I are owned
by Scottish Re (U.S.), Inc. Proceeds from this offering were used to fund the
Regulation XXX reserve requirements for a defined block of level premium term
life insurance policies issued between January 1, 2000 and December 31, 2003
reinsured by Scottish Re (U.S.), Inc. to Orkney Re, Inc. Proceeds from the
Orkney Notes have been deposited into a series of trusts that collateralize the
notes.

     The holders of the Orkney Notes cannot require repayment from us or any of
our subsidiaries, other than Orkney I. The timely payment of interest and
ultimate payment of principal for the Orkney Notes are guaranteed by MBIA
Insurance Corporation.

     Interest on the principal amount of the Orkney Notes is payable quarterly
at a rate equivalent to three month LIBOR plus 0.53%. At March 31, 2006, the
interest rate was 5.53%. Any payment of principal, including by redemption, or
interest on the Orkney Notes is sourced from dividends from Orkney Re, Inc. and
the balances available in a series of trust accounts. Dividends may only be made
with the prior approval of the Director of Insurance of the State of South
Carolina in accordance with the terms of its licensing orders and in accordance
with applicable law. The Orkney Notes also contain a customary limitation on
lien provisions and customary events of default provisions, which, if breached,
could result in the accelerated maturity of the Orkney Notes. Orkney I has the
option to redeem all or a portion of the Orkney Notes prior to and on or after
February 11, 2010, subject to certain call premiums.

     In accordance with FIN 46R, Orkney I, is considered to be a variable
interest entity and we are considered to hold the primary beneficial interest.
As a result, Orkney I has been consolidated in these financial statements. The
assets of Orkney I have been recorded as fixed maturity investments and cash and
cash equivalents. Our consolidated statements of income show the investment
return of Orkney I as investment income and the cost of the facility is
reflected in collateral finance facilities expense.

Orkney Re II plc

     On December 21, 2005, Orkney Re II plc, an orphan special purpose vehicle
incorporated under the laws of Ireland ("Orkney II"), whose issued ordinary
shares are held by a share trustee and its


                                       37

<PAGE>


Item 2. Management's Discussion and Analysis of Financial Condition and Results
of Operations


nominees in trust for charitable purposes, issued in a private offering $450.0
million of debt to external investors. The debt consisted of $382.5 million
Series A-1 Floating Rate Guaranteed Notes (the "Series A Notes"), $42.5 million
in aggregate principal amount of Series A-2 Floating Rate Notes (the "Series B
Notes"), and $25.0 million Series B Floating Rate Notes, all due December 31,
2035 (collectively, the "Orkney II Notes"). The Orkney II Notes are listed on
the Irish Stock Exchange. Proceeds from this offering were used to fund the
Regulation XXX reserve requirements for a defined block of level premium term
life insurance policies issued between January 1, 2004 and December 31, 2004
reinsured by Scottish Re (U.S.), Inc. to Orkney II. Proceeds from the Orkney II
Notes have been deposited into a series of trusts that collateralize the notes.

     The holders of the Orkney II Notes cannot require repayment from us or any
of our subsidiaries, only from Orkney II. Assured Guaranty (UK) Ltd. has
guaranteed the timely payment of the scheduled interest payments and the
principal on the maturity date, December 21, 2035 of the Series A-1 Notes.

     Interest on the principal amount of the Orkney II Notes is payable
quarterly at a rate equivalent to three month LIBOR plus 0.425% for the Series
A-1 Notes, three month LIBOR plus 0.73% for the Series A-2 Notes, and
three month LIBOR plus 3.0% for the Series B Notes. At March 31, 2006, the
interest rate on the Series A-1 Notes was 5.425%, Series A-2 Notes was 5.73%,
and Series B Notes was 8%. The Orkney II Notes also contain a customary
limitation on lien provisions and customary events of default provisions, which,
if breached, could result in the accelerated maturity of the Orkney II Notes.
Orkney II has the option to redeem all or a portion of the Orkney II Notes prior
to and on or after February 11, 2007, subject to certain call premiums.

     In accordance with FIN 46R, Orkney II is considered to be a variable
interest entity and we are considered to hold the primary beneficial interest.
As a result, Orkney II has been consolidated in these financial statements. The
assets of Orkney II have been recorded as fixed maturity investments and cash
and cash equivalents. Our consolidated statements of income show the investment
return of Orkney II as investment income and the cost of the facility is
reflected in collateral finance facilities expense.

HSBC II

     On December 22, 2005, we entered into a second collateral finance facility
with HSBC Bank USA, N.A ("HSBC II"). This facility is a 20 year collateral
finance facility that provides up to $1.0 billion of Regulation XXX collateral
support for the business acquired from ING and can be used to collateralize
reinsurance obligations under inter-company reinsurance agreements.
Simultaneously, we entered into a total return swap with HSBC Bank USA, N.A.
under which we are entitled to the total return of the investment portfolio of
the trust established for this facility. In accordance with FIN 46R the trust is
considered to be a variable interest entity and we are deemed to hold the
primary beneficial interest in the trust. As a result, the trust has been
consolidated in these financial statements. The assets of the trust have been
recorded as fixed maturity investments, cash and cash equivalents. Our
consolidated statements of income show the investment return of the trust as
investment income and the cost of the facility is reflected in collateral
finance facilities expense. The creditors of the trust have no recourse against
our general assets.

Reinsurance Facility

     On December 22, 2005, we entered into a long term reinsurance facility
("Reinsurance Facility") with a third party Bermuda-domiciled reinsurer that
provides up to $1.0 billion of Regulation XXX collateral support for the
business acquired from ING. The Bermuda reinsurer provides security in the form
of letters of credit in trust equal to the statutory reserves. All risks and
returns arising out of the underlying book of business are retained by us.


                                       38

<PAGE>


Item 2. Management's Discussion and Analysis of Financial Condition and Results
of Operations


     At March 31, 2006, we had $2.0 billion of collateral finance facility
obligations relating to the HSBC I, HSBC II, Orkney I and Orkney II
transactions. In connection with these transactions, we have assets in trust of
approximately $2.7 billion that represent assets supporting both the economic
and excess reserves and surplus in the transactions. The assets in trust are
managed in accordance with predefined investment guidelines as to permitted
investments, portfolio quality, diversification and duration.

Ballantyne Re plc

     On May 2, 2006, Ballantyne Re plc, an orphan special purpose vehicle
incorporated under the laws of Ireland issued in a private offering $1.71
billion of debt to external investors and $210.0 million of debt to Scottish
Annuity & Life Insurance Company (Cayman) Ltd. The debt issued to external
investors consisted of $250.0 million of Class A-1 Floating Rate Notes, $500.0
million of Class A-2 Floating Rate Guaranteed Notes Series A, $500.0 million of
Class A-2 Floating Rate Guaranteed Notes Series B, $100.0 million of Class A-3
Floating Rate Guaranteed Notes Series A, $100.0 million of Class A-3 Floating
Rate Guaranteed Notes Series B, $100.0 million of Class A-3 Floating Rate
Guaranteed Notes Series C, $100.0 million of Class A-3 Floating Rate Guaranteed
Notes Series D, $10.0 million of Class B-1 7.51244 % Subordinated Notes, $40.0
million of Class B-2 Subordinated Floating Rate Notes, and $10.0 million of
Class C-1 Subordinated Variable Interest Rate Notes (collectively, the "Notes").
The debt issued to Scottish Annuity & Life Insurance Company (Cayman) Ltd.
consisted of $40.0 million of Class C-1 Subordinated Variable Interest Rate
Notes, which Scottish Annuity & Life Insurance Company (Cayman) Ltd. intends to
sell to external investors, and $170.0 million Class C-2 Subordinated Variable
Interest Rate Notes, which Scottish Annuity & Life Insurance Company (Cayman)
Ltd. intends to hold (collectively, the "SALIC Notes"; and together with the
Notes, the "Ballantyne Notes"). Concurrently with its offering of the Ballantyne
Notes, Ballantyne Re issued (i) $500,000 of Class D Convertible Notes, which
were purchased by Scottish Re Group Limited, (ii) 163.0 million Redeemable
Preference Shares of U.S. $1.00 par value per share which were purchased by
Scottish Annuity & Life Insurance Company (Cayman) Ltd., and (iii) 18.2 million
Non-Redeemable Preference Shares of U.S. $1.00 par value per share which were
also purchased by Scottish Annuity & Life Insurance Company (Cayman) Ltd.

     Interest on the principal amount of the Ballantyne Notes is payable in
intervals ranging from every 28 days to monthly to annually, depending on the
note, initially at a rate equivalent to one-month LIBOR plus 0.61% for the Class
A-1 Floating Rate Notes (and after May 2, 2022, one-month LIBOR plus 1.22%),
one-month LIBOR plus 0.31% for the Class A-2 Floating Rate Guaranteed Notes
Series A (and after May 2, 2027, one-month LIBOR plus 0.62%), one-month LIBOR
plus 0.36% for the Class A-2 Floating Rate Guaranteed Notes Series B (and after
May 2, 2027, one-month LIBOR plus 0.72%), 4.99%, 4.99%, 5.00% and 5.01% for
Series A, Series B, Series C, and Series D of the Class A-3 Notes, respectively
(with the rate on the Class A-3 Notes to reset every 28 days), 7.51244% for the
Class B-1 Subordinated Notes, one-month LIBOR plus 2.00% for the Class B-2
Subordinated Floating Rate Notes, and a variable rate based on performance of
the underlying block of business for the Class C-1 Subordinated Variable
Interest Rate Notes and the Class C-2 Subordinated Variable Interest Rate Notes.

     Proceeds from this offering were used to fund the Regulation XXX reserve
requirements for the business acquired from ING. $1.65 billion of the proceeds
from the Ballantyne Notes have been deposited into a series of accounts that
collateralize the reserve obligations of Scottish Re (U.S.), Inc.

     The holders of the Ballantyne Notes cannot require repayment from us or any
of our subsidiaries. The timely payment of the scheduled interest payments and
the principal on the maturity date of Series A of the Class A-2 Notes and Series
A, Series B, Series C, Series D and, if issued, Series E of the Class A-3 Notes
has been guaranteed by Ambac Assurance UK Limited. The timely payment of the
scheduled interest payments and the principal on the maturity date of Series B
of the Class A-2 Notes and, if issued, Series F of the Class A-3 Notes has been
guaranteed by Assured Guaranty (UK) Ltd.


                                       39

<PAGE>


Item 2. Management's Discussion and Analysis of Financial Condition and Results
of Operations


     In accordance with FIN 46R, Ballantyne Re is considered to be a variable
interest entity and we are considered to hold the primary beneficial interest.
As a result, Ballantyne Re will be consolidated in our financial statements
beginning in the second quarter of 2006. The assets of Ballantyne Re will be
recorded as fixed maturity investments and cash and cash equivalents. Our
consolidated statements of income will include the investment return of
Ballantyne Re as investment income and the cost of the facility will be
reflected in collateral finance facilities expense.

Regulatory Capital Requirements

     Scottish Annuity & Life Insurance Company (Cayman) Ltd. has agreed with
Scottish Re (U.S.), Inc. that it will (1) cause Scottish Re (U.S.), Inc. to
maintain capital and surplus equal to the greater of $20.0 million or such
amount necessary to prevent the occurrence of a Company Action Level Event under
the risk-based capital laws of the State of Delaware and (2) provide Scottish Re
(U.S.), Inc. with enough liquidity to meet its obligations in a timely manner.

     Scottish Annuity & Life Insurance Company (Cayman) Ltd. has agreed with
Scottish Re Life Corporation that it will (1) cause Scottish Re Life Corporation
to maintain capital and surplus equal to at least 175% of Company Action Level
RBC, as defined under the laws of the State of Delaware and (2) provide Scottish
Re Life Corporation with enough liquidity to meet its obligations in a timely
manner.

     Scottish Annuity & Life Insurance Company (Cayman) Ltd. and Scottish Re
Group Limited have agreed with Scottish Re Limited that in the event Scottish Re
Limited is unable to meet its obligations under its insurance or reinsurance
agreements, Scottish Annuity & Life Insurance Company (Cayman) Ltd. or if
Scottish Annuity & Life Insurance Company (Cayman) Ltd. cannot fulfill such
obligations, then Scottish Re Group Limited will assume all of Scottish Re
Limited's obligations under such agreements.

     Scottish Re Group Limited and Scottish Annuity & Life Insurance Company
(Cayman) Ltd. have executed similar agreements for Scottish Re (Dublin) Limited
and Scottish Re Life (Bermuda) Limited and may, from time to time, execute
additional agreements guaranteeing the performance and/or obligations of their
subsidiaries.

     Our business is capital and collateral intensive. We expect that our cash
and investments, together with cash generated from our businesses, will be
sufficient to meet our current liquidity and letter of credit needs. However, we
expect that we will need to raise additional capital as our business continues
to grow.

Off Balance Sheet Arrangements

     We have no obligations, assets or liabilities other than those disclosed in
the financial statements; no trading activities involving non-exchange traded
contracts accounted for at fair value; and no relationships and transactions
with persons or entities that derive benefits from their non-independent
relationship with us or our related parties.

New Accounting Standards

     In December 2004, the FASB revised SFAS No. 123 by issuing SFAS No. 123(R)
which requires us to recognize, in the determination of income, the grant date
fair value of all stock options and other equity based compensation issued to
employees. We adopted SFAS No. 123(R) on January 1, 2006.


                                       40

<PAGE>


Item 2. Management's Discussion and Analysis of Financial Condition and Results
of Operations


     In February 2006, the FASB issued SFAS No. 155, which resolves issues
addressed in SFAS No. 133 Implementation Issue No. D1, "Application of Statement
133 to Beneficial Interests in Securitized Financial Assets." SFAS No. 155 is
effective for all financial instruments acquired or issued in a fiscal year
beginning after September 15, 2006. Implementation of this policy would not
currently have a material impact on our financial position or our operating
results; however we will consider this pronouncement in future transactions.

Forward-Looking Statements

     Some of the statements contained in this report are not historical facts
and are forward-looking statements within the meaning of the Private Securities
Litigation Reform Act. Forward-looking statements involve known and unknown
risks, uncertainties and other factors, which may cause the actual results to
differ materially from the forward-looking statements. Words such as
"anticipates", "expects", "intends", "plans", "believes", "seeks", "estimates",
"may", "will", "continue", "project", and similar expressions, as well as
statements in the future tense, identify forward-looking statements.

     These forward-looking statements are not guarantees of our future
performance and are subject to risks and uncertainties that could cause actual
results to differ materially from the results contemplated by the
forward-looking statements. These risks and uncertainties include:

     o    uncertainties relating to the ratings accorded to our insurance
          subsidiaries;

     o    the risk that our risk analysis and underwriting may be inadequate;

     o    exposure to mortality experience which differs from our assumptions;

     o    risks arising from our investment strategy, including risks related to
          the market value of our investments, fluctuations in interest rates
          and our need for liquidity;

     o    uncertainties arising from control of our invested assets by third
          parties;

     o    developments in global financial markets that could affect our
          investment portfolio and fee income;

     o    changes in the rate of policyholder withdrawals or recapture of
          reinsurance treaties;

     o    the risk that our retrocessionaires may not honor their obligations to
          us;

     o    terrorist attacks on the United States and the impact of such attacks
          on the economy in general and on our business in particular;

     o    political and economic risks in developing countries;

     o    the impact of acquisitions, including the ability to successfully
          integrate acquired businesses, the competing demands for our capital
          and the risk of undisclosed liabilities;

     o    loss of the services of any of our key employees;


                                       41

<PAGE>


Item 2. Management's Discussion and Analysis of Financial Condition and Results
of Operations


     o    losses due to foreign currency exchange rate fluctuations;

     o    uncertainties relating to government and regulatory policies (such as
          subjecting us to insurance regulation or taxation in additional
          jurisdictions);

     o    the competitive environment in which we operate and associated pricing
          pressures; and

     o    changes in accounting principles.

     The effects of these factors are difficult to predict. New factors emerge
from time to time and we cannot assess the financial impact of any such factor
on our business or the extent to which any factor, or combination of factors,
may cause results to differ materially from those contained in any
forward-looking statement. Any forward-looking statement speaks only as of the
date of this report and we do not undertake any obligation, other than as may be
required under the Federal securities laws, to update any forward looking
statements to reflect events or circumstances after the date of such statement
or to reflect the occurrence of unanticipated events.


                                       42

<PAGE>


     Item 3. Quantitative and Qualitative Disclosures about Market Risk

     There have been no material changes since December 31, 2005. Please refer
to "Item 7A: Quantitative and Qualitative Disclosures about Market Risk" in our
2005 Annual Report.

     Item 4. Controls and Procedures

Evaluation of disclosure controls and procedures
------------------------------------------------

     Our Chief Executive Officer and Chief Financial Officer have evaluated the
effectiveness of our disclosure controls and procedures (as defined in Rules
13a-15(e) and 15d-15(e) under the Securities Exchange Act of 1934). Based on
such evaluation, such officers have concluded that our disclosure controls and
procedures were effective as of March 31, 2006 to ensure that information
required to be disclosed by us in the reports filed and submitted by us under
the Exchange Act were recorded, processed, summarized and reported within the
time periods specified in the SEC's rules and forms.

Changes in internal controls
----------------------------

     There have not been any changes in our internal control over financial
reporting (as defined in Rules 13a-15(f) and 15d-15(f) promulgated by the SEC
under the Securities Exchange Act of 1934) during our most recently completed
fiscal quarter that have materially affected, or are reasonably likely to
materially affect, our internal control over financial reporting.



                                       43

<PAGE>


PART II.  OTHER INFORMATION

     Item 1. Legal Proceedings

       We are not currently involved in any material litigation or arbitration.

     Item 1a. Risk Factors

       Not applicable.

     Item 2. Unregistered Sales of Equity Securities and Use of Proceeds

       Not applicable.

     Item 3. Defaults upon Senior Securities

       Not applicable.

     Item 4. Submission of Matters to a Vote of Security Holders

       Not applicable.

     Item 5. Other Information

       Not applicable.

     Item 6. Exhibits

       Except as otherwise indicated, the following Exhibits are filed herewith
and made a part hereof:



                                       44

<PAGE>


     Except as otherwise indicated, the following Exhibits are filed herewith
and made a part hereof:

3.1       Memorandum of Association of Scottish Re Group Limited, as amended as
          of April 7, 2005 (incorporated herein by reference to Scottish Re
          Group Limited's Current Report on Form 8-K). (6)

3.2       Articles of Association of Scottish Re Group Limited, as amended as of
          April 7, 2005 (incorporated herein by reference to Scottish Re Group
          Limited's Current Report on Form 8-K). (6)

4.1       Specimen Ordinary Share Certificate (incorporated herein by reference
          to Exhibit 4.1 to Scottish Re Group Limited's Registration Statement
          on Form S-1). (1)

4.2       Form of Amended and Restated Class A Warrant (incorporated herein by
          reference to Exhibit 4.2 to Scottish Re Group Limited's Registration
          Statement on Form S-1). (1)

4.3       Form of Securities Purchase Agreement for the Class A Warrants
          (incorporated herein by reference to Exhibit 4.4 to Scottish Re Group
          Limited's Registration Statement on Form S-1). (1)

4.4       Form of Securities Purchase Agreement between Scottish Re Group
          Limited and the Shareholder Investors (incorporated herein by
          reference to Exhibit 4.10 to Scottish Re Group Limited's Registration
          Statement on Form S-1). (1)

4.5       Form of Securities Purchase Agreement between Scottish Re Group
          Limited and the Non-Shareholder Investors (incorporated herein by
          reference to Exhibit 4.12 to Scottish Re Group Limited's Registration
          Statement on Form S-1). (1)

4.6       Certificate of Designations of Convertible Preferred Shares of
          Scottish Re Group Limited (incorporated herein by reference to
          Scottish Re Group Limited's Current Report on Form 8-K). (10)

4.7       Certificate of Designations of Scottish Re Group Limited's
          Non-Cumulative Perpetual Preferred Shares, dated June 28, 2005
          (incorporated herein by reference to Scottish Re Group Limited's
          Current Report on Form 8-K). (16)

4.8       Specimen Stock Certificate for the Company's Non-Cumulative Perpetual
          Preferred Shares (incorporated herein by reference to Scottish Re
          Group Limited's Current Report on Form 8-K). (16)

10.1      Employment Agreement dated June 18, 1998 between Scottish Re Group
          Limited and Michael C. French (incorporated herein by reference to
          Exhibit 10.1 to Scottish Re Group Limited's Registration Statement on
          Form S-1). (1)(22)

10.2      Second Amended and Restated 1998 Stock Option Plan effective October
          22, 1998 (incorporated herein by reference to Exhibit 10.3 to Scottish
          Re Group Limited's Registration Statement on Form S-1). (1)(22)

10.3      Form of Stock Option Agreement in connection with 1998 Stock Option
          Plan (incorporated herein by reference to Exhibit 10.4 to Scottish Re
          Group Limited's Registration Statement on Form S-1). (1)(22)


                                       45

<PAGE>


10.4      Investment Management Agreement dated October 22, 1998 between
          Scottish Re Group Limited and General Re-New England Asset Management,
          Inc. (incorporated herein by reference to Exhibit 10.14 to Scottish Re
          Group Limited's Registration Statement on Form S-1). (1)

10.5      Form of Omnibus Registration Rights Agreement (incorporated herein by
          reference to Exhibit 10.17 to Scottish Re Group Limited's Registration
          Statement on Form S-1). (1)

10.6      1999 Stock Option Plan (incorporated herein by reference to Exhibit
          10.14 to Scottish Re Group Limited's 1999 Annual Report on Form 10-K).
          (2)(22)

10.7      Form of Stock Options Agreement in connection with 1999 Stock Option
          Plan (incorporated herein by reference to Exhibit 10.15 to Scottish Re
          Group Limited's 1999 Annual Report on Form 10-K). (2)(22)

10.8      Employment Agreement dated September 18, 2000 between Scottish Re
          (U.S.), Inc. and Oscar R. Scofield (incorporated herein by reference
          to Exhibit 10.16 to Scottish Re Group Limited's 2000 Annual Report on
          Form 10-K). (3)(22)

10.9      Share Purchase Agreement by and between Scottish Re Group Limited and
          Pacific Life dated August 6, 2001 (incorporated by reference to
          Scottish Re Group Limited's Current Report on Form 8-K). (7)

10.10     Amendment No. 1, dated November 8, 2001, to Share Purchase Agreement
          dated August 6, 2001 by and between Scottish Re Group Limited and
          Pacific Life (incorporated by reference to Scottish Re Group Limited's
          Current Report on Form 8-K). (5)

10.11     2001 Stock Option Plan (incorporated herein by reference to Exhibit
          10.17 to Scottish Re Group Limited's 2001 Annual Report on Form 10-K).
          (4)(22)

10.12     Form of Nonqualified Stock Option Agreement in connection with 2001
          Stock Option Plan (incorporated herein by reference to Exhibit 10.17
          to Scottish Re Group Limited's 2001 Annual Report on Form 10-K).
          (4)(22)

10.13     Tax Deed of Covenant dated December 31, 2001 between Scottish Re Group
          Limited and Pacific Life (incorporated by reference to Scottish Re
          Group Limited's Current Report on Form 8-K). (5)

10.14     Letter Agreement dated December 28, 2001 between Scottish Re Group
          Limited and Pacific Life (incorporated by reference to Scottish Re
          Group Limited's Current Report on Form 8-K). (5)

10.15     Form of Indemnification Agreement between Scottish Re Group Limited
          and each of its directors and officers (incorporated by reference to
          Scottish Re Group Limited's Amended Quarterly Report on Form 10-Q/A
          for the period ended September 30, 2002). (8)(22)

10.16     Employment Agreement dated July 1, 2002 between Scottish Annuity &
          Life Insurance Company (Cayman) Ltd. and Thomas A. McAvity, Jr.
          (incorporated by reference to Scottish Re Group Limited's Amended
          Quarterly Report on Form 10-Q/A


                                       46

<PAGE>


          for the period ended September 30, 2002). (8)(22)

10.17     Employment Agreement dated June 1, 2002 between Scottish Re Group
          Limited and Paul Goldean (incorporated herein by reference to Scottish
          Re Group Limited's Quarterly Report on Form 10-Q for the period ended
          March 31, 2004). (14)(22)

10.18     Employment Agreement dated July 1, 2002 between Scottish Re Group
          Limited and Elizabeth Murphy (incorporated by reference to Scottish Re
          Group Limited's Amended Quarterly Report on Form 10-Q/A for the period
          ended September 30, 2002). (8)(22)

10.19     Employment Agreement dated June 1, 2002 between Scottish Re Group
          Limited and Clifford J. Wagner (incorporated by reference to Scottish
          Re Group Limited's Amended Quarterly Report on Form 10-Q/A for the
          period ended September 30, 2002). (8)(22)

10.20     Employment Agreement dated July 8, 2002 between Scottish Re Group
          Limited and Scott E. Willkomm (incorporated by reference to Scottish
          Re Group Limited's Amended Quarterly Report on Form 10-Q/A for the
          period ended September 30, 2002). (8)(22)

10.21     Employment Agreement dated February 10, 2003 between Scottish Re Group
          Limited and Michael C. French (incorporated herein by reference to
          Scottish Re Group Limited's 2002 Annual Report on Form 10-K). (12)(22)

10.22     Employment Agreement dated February 10, 2003 between Scottish Re
          (U.S.), Inc. and Oscar R. Scofield (incorporated herein by reference
          to Scottish Re Group Limited's 2002 Annual Report on Form 10-K).
          (12)(22)

10.23     Amended Employment Agreement dated February 10, 2003 between Scottish
          Re Group Limited and Thomas A. McAvity (incorporated herein by
          reference to Scottish Re Group Limited's 2002 Annual Report on Form
          10-K). (12)(22)

10.24     Indenture, dated November 22, 2002, between Scottish Re Group Limited
          and The Bank of New York (incorporated herein by reference to Scottish
          Re Group Limited's Registration Statement on Form S-3). (9)

10.25     Registration Rights Agreement, dated November 22, 2002, by and among
          Scottish Re Group Limited and Bear Stearns & Co. and Putnam Lovell
          Securities Inc. (incorporated herein by reference to Scottish Re Group
          Limited's Registration Statement on Form S-3). (9)

10.26     Employment Agreement dated May 1, 2003 between Scottish Re Holdings
          Limited and David Huntley (incorporated herein by reference to
          Scottish Re Group Limited's Quarterly Report on Form 10-Q for the
          period ended September 30, 2003). (13)(22)

10.27     Stock Purchase Agreement, dated as of October 24, 2003, by and among
          Scottish Re Group Limited, Scottish Holdings, Inc. and Employers
          Reinsurance Corporation (incorporated herein by reference to Scottish
          Re Group Limited's Current Report on Form 8-K). (11)

10.28     Tax Matters Agreement, dated as of January 22, 2003, by and among
          Scottish Re


                                       47

<PAGE>


          Group Limited, Scottish Holdings, Inc. and Employers Reinsurance
          Corporation (incorporated herein by reference to Scottish Re Group
          Limited's Current Report on Form 8-K). (11)

10.29     Transition Services Agreement, dated as of January 22, 2003, by and
          among Scottish Holdings, Inc. and Employers Reinsurance Corporation
          (incorporated herein by reference to Scottish Re Group Limited's
          Current Report on Form 8-K). (11)

10.30     Employment Agreement dated April 21, 2004, by and among Scottish
          Holdings, Inc. and Seth W. Vance (incorporated herein by reference to
          Scottish Re Group Limited's Quarterly Report on Form 10-Q for the
          period ended March 31, 2004). (14)(22)

10.31     Amendment to Employment Agreement dated March 29, 2004, by and between
          Scottish Re (U.S.), Inc. and Oscar R. Scofield (incorporated herein by
          reference to Scottish Re Group Limited's Quarterly Report on Form 10-Q
          for the period ended June 30, 2004, filed with the SEC on August 9,
          2004). (22)

10.32     Asset Purchase Agreement, dated as of October 17, 2004, by and among
          Security Life of Denver Insurance Company, Security Life of Denver
          International Limited, ING America Insurance Holdings, Inc. (for
          purposes of Section 11.11), Scottish Re Group Limited, Scottish Re
          (U.S.), Inc., Scottish Annuity & Life Insurance Company (Cayman) Ltd.
          (for purposes of Section 5.26) and Scottish Re Life Corporation (for
          purposes of Section 5.24) (incorporated herein by reference to
          Scottish Re Group Limited's Current Report on Form 8-K). (15)

10.33     Securities Purchase Agreement, dated as of October 17, 2004, by and
          among Scottish Re Group Limited and Cypress Merchant B Partners II
          (Cayman) L.P., Cypress Merchant Banking II-A C.V., 55th Street
          Partners II (Cayman) L.P. and Cypress Side-by-Side (Cayman) L.P.
          (including form of Subordinated Note, Class C Warrant, Shareholders'
          Agreement and Amendments to Articles of Association) (incorporated
          herein by reference to Scottish Re Group Limited's Current Report on
          Form 8-K). (15)

10.34     Form of Voting Agreement, by and among Cypress Merchant B Partners II
          (Cayman) L.P., Cypress Merchant Banking II-A C.V., 55th Street
          Partners II (Cayman) L.P. and Cypress Side-by-Side (Cayman) L.P.,
          Scottish Re Group Limited and, respectively, each director and each
          officer of Scottish Re Group Limited (incorporated herein by reference
          to Scottish Re Group Limited's Current Report on Form 8-K). (15)

10.35     Voting Agreement, dated as of October 15, 2004, by and among Scottish
          Re Group Limited, Cypress Merchant B Partners II (Cayman) L.P.,
          Cypress Merchant Banking II-A C.V., 55th Street Partners II (Cayman)
          L.P. and Cypress Side-by-Side (Cayman) L.P. and Pacific Life Insurance
          Company (incorporated herein by reference to Scottish Re Group
          Limited's Current Report on Form 8-K). (15)

10.36     Letter Agreement, dated as of October 17, 2004, by and among Scottish
          Re Group Limited and Cypress Merchant B Partners II (Cayman) L.P.,
          Cypress Merchant Banking II-A C.V., 55th Street Partners II (Cayman)
          L.P. and Cypress Side-by-Side (Cayman) L.P. (incorporated herein by
          reference to Scottish Re Group Limited's Current Report on Form 8-K).
          (15)

10.37     First Supplemental Indenture, dated as of October 26, 2004, between
          Scottish Re


                                       48

<PAGE>


          Group Limited and The Bank of New York (incorporated herein by
          reference to Scottish Re Group Limited's Current Report on Form 8-K,
          filed with the SEC on October 29, 2004).

10.38     Amendment to Employment Agreement dated as of March 29, 2004, by and
          among the Company and Michael C. French (incorporated herein by
          reference to Scottish Re Group Limited's Quarterly Report on Form 10-Q
          for the nine month period ended September 30, 2004, filed with the SEC
          on November 8, 2004). (22)

10.39     Employment Agreement, dated as of March 29, 2004, by and among the
          Company and Deborah G. Percy (incorporated herein by reference to
          Scottish Re Group Limited's Quarterly Report on Form 10-Q for the nine
          month period ended September 30, 2004, filed with the SEC on November
          8, 2004). (22)

10.40     Employment Agreement, dated as of January 1, 2005, between Scottish
          Holdings, Inc. and Gary Dombowsky (incorporated herein by reference to
          Scottish Re Group Limited's 2004 Annual Report on Form 10-K). (20)(22)

10.41     Amendment to Employment Agreement, dated as of February 7, 2005,
          between Scottish Re Group Limited and Michael C. French (incorporated
          herein by reference to Scottish Re Group Limited's 2004 Annual Report
          on Form 10-K). (20)(22)

10.42     Employment Agreement, dated as of February 1, 2005, between Scottish
          Re Group Limited and Hugh T. McCormick (incorporated herein by
          reference to Scottish Re Group Limited's 2004 Annual Report on Form
          10-K). (20)(22)

10.43     Employment Agreement, dated as of December 1, 2004, between Scottish
          Holdings, Inc. and Kenneth R. Stott (incorporated herein by reference
          to Scottish Re Group Limited's 2004 Annual Report on Form 10-K).
          (20)(22)

10.44     Credit Agreement, dated as of December 29, 2004, among Scottish
          Annuity & Life Insurance Company (Cayman) Ltd., Scottish Re (Dublin)
          Limited, Scottish Re (U.S.), Inc., and Scottish Re Limited, as
          borrowers, Bear Stearns Corporate Lending, Inc. and Wachovia Bank,
          National Association as Co-Syndication Agents, Bank of America, N.A.,
          as Administrative Agent and L/C Issuer, and The Other Lenders Party
          Hereto, Banc of America Securities LLC, as Sole Lead Arranger and Sole
          Book Manager (incorporated herein by reference to Scottish Re Group
          Limited's 2004 Annual Report on Form 10-K). (20)

10.45     Administrative Services Agreement, dated as of December 31, 2004,
          between Security Life of Denver Insurance Company and Security Life of
          Denver International Limited and Scottish Re (U.S.), Inc.
          (incorporated herein by reference to Scottish Re Group Limited's 2004
          Annual Report on Form 10-K). (20)

10.46     Coinsurance Agreement dated December 31, 2004 between Security Life of
          Denver Insurance Company and Scottish Re (U.S.), Inc. (incorporated
          herein by reference to Scottish Re Group Limited's 2004 Annual Report
          on Form 10-K). (20)

10.47     Coinsurance/Modified Coinsurance Agreement, dated December 31, 2004,
          between Security Life of Denver Insurance Company and Scottish Re
          (U.S.), Inc. (incorporated herein by reference to Scottish Re Group
          Limited's 2004 Annual Report on Form 10-K). (20)


                                       49

<PAGE>


10.48     Retrocession Agreement, dated December 31, 2004, between Scottish Re
          (U.S.), Inc. and Security Life of Denver Insurance Company
          (incorporated herein by reference to Scottish Re Group Limited's 2004
          Annual Report on Form 10-K). (20)

10.49     Retrocession Agreement, dated December 31, 2004, between Scottish Re
          Life (Bermuda) Limited Bermuda and Security Life of Denver Insurance
          Company (incorporated herein by reference to Scottish Re Group
          Limited's 2004 Annual Report on Form 10-K). (20)

10.50     Reserve Trust Agreement, dated as of December 31, 2004, between
          Scottish Re (U.S.) Inc., as Grantor, and Security Life of Denver
          Insurance Company, as Beneficiary, and The Bank of New York, as
          Trustee, and The Bank of New York, as Securities Intermediary
          (incorporated herein by reference to Scottish Re Group Limited's 2004
          Annual Report on Form 10-K). (20)

10.51     Security Trust Agreement, dated as of December 31, 2004, by and among
          Scottish Re (U.S.), Inc., as Grantor, Security Life of Denver
          Insurance Company, as Beneficiary, The Bank of New York, as Trustee,
          and The Bank of New York, as Securities Intermediary (incorporated
          herein by reference to Scottish Re Group Limited's 2004 Annual Report
          on Form 10-K). (20)

10.52     Coinsurance Agreement, dated December 31, 2004, between Security Life
          of Denver International Limited and Scottish Re Life (Bermuda) Limited
          (incorporated herein by reference to Scottish Re Group Limited's 2004
          Annual Report on Form 10-K). (20)

10.53     Coinsurance/Modified Coinsurance Agreement, dated December 31, 2004,
          between Security Life of Denver International Limited and Scottish Re
          Life (Bermuda) Limited (incorporated herein by reference to Scottish
          Re Group Limited's 2004 Annual Report on Form 10-K). (20)

10.54     Coinsurance Funds Withheld Agreement, dated December 31, 2004, between
          Security Life of Denver International Limited and Scottish Re Life
          (Bermuda) Limited (incorporated herein by reference to Scottish Re
          Group Limited's 2004 Annual Report on Form 10-K). (20)

10.55     Reserve Trust Agreement, dated December 31, 2004, between Scottish Re
          Life (Bermuda) Limited, as Grantor, and Security Life of Denver
          International Limited, as Beneficiary, and The Bank of New York, as
          Trustee, and The Bank of New York, as Securities Intermediary
          (incorporated herein by reference to Scottish Re Group Limited's 2004
          Annual Report on Form 10-K). (20)

10.56     Security Trust Agreement, dated as of December 31, 2004, by and among
          Scottish Re Life (Bermuda) Limited, as Grantor, Security Life of
          Denver International Limited, as Beneficiary, The Bank of New York, as
          Trustee, and the Bank of New York, as Securities Intermediary
          (incorporated herein by reference to Scottish Re Group Limited's 2004
          Annual Report on Form 10-K). (20)

10.57     Technology Transfer and License Agreement, dated as of December 31,
          2004, between Security Life of Denver Insurance Company, ING North
          America Insurance


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<PAGE>


          Corporation and Scottish Re (U.S.), Inc. (incorporated herein by
          reference to Scottish Re Group Limited's 2004 Annual Report on Form
          10-K). (20)

10.58     Transition and Integration Services Agreement, dated December 31,
          2004, between Security Life of Denver Insurance Company and Scottish
          Re (U.S.), Inc. (incorporated herein by reference to Scottish Re Group
          Limited's Current Report on Form 8-K). (19)

10.59     Form of Remarketing Agreement, between the Company and Lehman
          Brothers, Inc., as Remarketing Agent (incorporated herein by reference
          to Scottish Re Group Limited's Current Report on Form 8-K). (16)

10.60     Amended and Restated Credit Agreement, dated as of July 14, 2005,
          among Scottish Annuity & Life Insurance Company (Cayman) Ltd.,
          Scottish Re (Dublin) Limited, Scottish Re (U.S.), Inc., and Scottish
          Re Limited, as Borrowers, Bear Stearns Corporate Lending, Inc., HSBC
          Bank USA, National Association, and Wachovia Bank, National
          Association as Syndication Agents, Bank of America, N.A., as
          Administrative Agent and L/C Issuer, and the Other Lenders Party
          Hereto, Banc of America Securities LLC, as Sole Lead Arranger and Sole
          Book Manager (incorporated herein by reference to Scottish Re Group
          Limited's Current Report on Form 8-K). (17)

10.61     Scottish Re Group Limited 2004 Equity Incentive Compensation Plan
          (incorporated herein by reference to Scottish Re Group Limited's Proxy
          Statement filed with the SEC on April 1, 2004).

10.62     Amendment No. 1 to Scottish Re Group Limited 2004 Equity Incentive
          Compensation Plan (incorporated herein by reference to Scottish Re
          Group Limited's Current Report on Form 8-K). (18) (22)

10.63     Amendment No. 2 to Scottish Re Group Limited 2004 Equity Incentive
          Compensation Plan (incorporated herein by reference to Scottish Re
          Group Limited's Current Report on Form 8-K). (18) (22)

10.64     Form of Management Stock Option Agreement under the Scottish Re Group
          Limited 2004 Equity Incentive Compensation Plan (incorporated herein
          by reference to Scottish Re Group Limited's Current Report on Form
          8-K). (18) (22)

10.65     Form of Management Performance Share Unit Agreement under the Scottish
          Re Group Limited 2004 Equity Incentive Compensation Plan (incorporated
          herein by reference to Scottish Re Group Limited's Current Report on
          Form 8-K). (18) (22)

10.66     Form of Management Restricted Share Unit Agreement under the Scottish
          Re Group Limited 2004 Equity Incentive Compensation Plan (incorporated
          herein by reference to Scottish Re Group Limited's Current Report on
          Form 8-K). (18) (22)

10.67     Employment Agreement, dated as of July 18, 2005, between Scottish Re
          Group Limited and Dean Miller (incorporated herein by reference to
          Scottish Re Group Limited's Current Report on Form 8-K). (19) (22)

10.68     Letter of Credit Agreement, dated as of August 18, 2005, among
          Scottish Re (Dublin) Limited, as Borrower, Scottish Annuity & Life
          Insurance Company (Cayman) Ltd., as Guarantor, Bank of America, N.A.,
          as Administrative Agent and L/C Issuer, and the


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<PAGE>


          Other Lenders Party Hereto, and Bank of America Securities LLC, as
          Sole Lead Arranger and Sole Book Manager (incorporated herein by
          reference to Scottish Re Group Limited's Current Report on Form 8-K).
          (21)

31.1      Certification Pursuant to Section 302 of the Sarbanes-Oxley Act of
          2002.

31.2      Certification Pursuant to Section 302 of the Sarbanes-Oxley Act of
          2002.

32.1      Certification Pursuant to 18 U.S.C. Section 1350, as Adopted Pursuant
          to Section 906 of the Sarbanes-Oxley Act of 2002.

32.2      Certification Pursuant to 18 U.S.C. Section 1350, as Adopted Pursuant
          to Section 906 of the Sarbanes-Oxley Act of 2002.

      --------------------
           (1)       Scottish Re Group Limited's Registration Statement on Form
                     S-1 was filed with the SEC on June 19, 1998, as amended.
           (2)       Scottish Re Group Limited's 1999 Annual Report on Form 10-K
                     was filed with the SEC on April 3, 2000.
           (3)       Scottish Re Group Limited's 2000 Annual Report on Form 10-K
                     was filed with the SEC on March 30, 2001.
           (4)       Scottish Re Group Limited's 2001 Annual Report on Form 10-K
                     was filed with the SEC on March 5, 2002.
           (5)       Scottish Re Group Limited's Current Report on Form 8-K was
                     filed with the SEC on December 31, 2001.
           (6)       Scottish Re Group Limited's Current Report on Form 8-K was
                     filed with the SEC on June 2, 2005.
           (7)       Scottish Re Group Limited's Current Report on Form 8-K was
                     filed with the SEC on August 9, 2001.
           (8)       Scottish Re Group Limited's Amended Quarterly Report on
                     Form 10-Q/A was filed with the SEC on August 8, 2002.
           (9)       Scottish Re Group Limited's Registration Statement on Form
                     S-3 was filed with the SEC on January 31, 2003, as amended.
           (10)      Scottish Re Group Limited's Current Report on Form 8-K was
                     filed with the SEC on December 17, 2003.
           (11)      Scottish Re Group Limited's Current Report on Form 8-K was
                     filed with the SEC on January 6, 2004.
           (12)      Scottish Re Group Limited's 2002 Annual Report on Form 10-K
                     was filed with the SEC on March 31, 2003.
           (13)      Scottish Re Group Limited's Quarterly Report on Form 10-Q
                     was filed with the SEC on August 12, 2003.
           (14)      Scottish Re Group Limited's Quarterly Report on Form 10-Q
                     was filed with the SEC on May 10, 2004.
           (15)      Scottish Re Group Limited's Current Report on Form 8-K was
                     filed with the SEC on October 21, 2004.
           (16)      Scottish Re Group Limited's Current Report on Form 8-K was
                     filed with the SEC on July 1, 2005.
           (17)      Scottish Re Group Limited's Current Report on Form 8-K was
                     filed with the SEC on July 18, 2005.

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<PAGE>


           (18)      Scottish Re Group Limited's Current Report on Form 8-K was
                     filed with the SEC on August 8, 2005.
           (19)      Scottish Re Group Limited's Current Report on Form 8-K was
                     filed with the SEC on August 4, 2005.
           (20)      Scottish Re Group Limited's 2004 Annual Report on Form 10-K
                     was filed with the SEC on March 18, 2005.
           (21)      Scottish Re Group Limited's Current Report on Form 8-K was
                     filed with the SEC on August 22, 2005.
           (22)      This exhibit is a management contract or compensatory plan
                     or arrangement.


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<PAGE>


                                   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.

                                        SCOTTISH RE GROUP LIMITED

Date: May 10, 2006                      By: /s/ Scott E. Willkomm
                                        -------------------------
                                           Scott E. Willkomm
                                           President and Chief Executive Officer


Date: May 10, 2006                      By: /s/ Dean E. Miller
                                        ----------------------
                                           Dean E. Miller
                                           Chief Financial Officer


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