<PAGE>   1
                                  UNITED STATES
                       SECURITIES AND EXCHANGE COMMISSION
                             Washington, D.C. 20549

                                    FORM 10-Q

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

For the Quarterly Period Ended March 31, 2000

[ ]      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 333-34829

                            DELPHI INTERNATIONAL LTD.

             (Exact name of registrant as specified in its charter)

    Bermuda              (441) 295 3688                   98-0206924
(State or other (Registrant's telephone number,  (I.R.S. Employer Identification
Jurisdiction of        including area code)                 Number)
incorporation
or organization)

Chevron House, 11 Church Street, Hamilton, Bermuda                      HM 11
(Address of principal executive offices)                             (Zip Code)

Indicate by check mark whether 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 filing requirements
for the past 90 days:

                     Yes     X                 No


  As of May 12, 2000, the Registrant had 4,079,014 Common Shares outstanding.
<PAGE>   2
                            DELPHI INTERNATIONAL LTD.

                                    FORM 10-Q

                                      INDEX

<TABLE>
<CAPTION>
PART I.           FINANCIAL INFORMATION                                         Page
-------           ---------------------                                         ----
<S>               <C>                                                           <C>
                  Consolidated Statements of Income and Comprehensive
                  Income for the Three Months Ended March 31, 2000
                  and 1999                                                       3

                  Consolidated Balance Sheets at March 31, 2000
                  and December 31, 1999                                          4

                  Consolidated Statements of Cash Flows for the
                  Three Months Ended March 31, 2000 and 1999                     5

                  Notes to Consolidated Financial Statements                     6

                  Management's Discussion and Analysis of Financial
                  Condition and Results of Operations                            8

PART II.          OTHER INFORMATION                                              10
</TABLE>

                                       2
<PAGE>   3
                   DELPHI INTERNATIONAL LTD. AND SUBSIDIARIES
           CONSOLIDATED STATEMENTS OF INCOME AND COMPREHENSIVE INCOME

                           (UNAUDITED: IN US DOLLARS)


<TABLE>
<CAPTION>
                                                                   THREE MONTHS ENDED
                                                                        MARCH 31,
                                                                 -----------------------
                                                                 2000               1999
                                                                 ----               ----
<S>                                                        <C>                <C>
REVENUES:
Premiums written                                           $        --        $        --
Premiums ceded                                                      --                 --
                                                           -----------        -----------
Premiums earned                                                     --                 --
Underwriting fees                                                7,168              8,428
Net investment income                                        6,669,666          3,334,611
                                                           -----------        -----------
Total revenues                                               6,676,834          3,343,039
                                                           -----------        -----------
LOSSES AND EXPENSES:
Losses and loss expenses incurred                            1,182,624          1,226,437
Underwriting and acquisition expenses                          811,816             76,193
Interest expense                                               781,433            688,722
General and administrative expenses                            582,865            516,262
                                                           -----------        -----------
Total losses and expenses                                    3,358,738          2,507,614
                                                           -----------        -----------
Net income                                                   3,318,096            835,425
Dividends on Preferred Shares                                 (237,500)          (237,500)
                                                           -----------        -----------
Net income attributable to Common Shares                   $ 3,080,596        $   597,925
                                                           ===========        ===========

Basic and diluted income per Common Share                  $      0.76        $      0.15
Weighted average Common Shares outstanding                   4,079,014          4,079,014
Comprehensive income:
    Net income                                             $ 3,318,096        $   835,425
    Other comprehensive income (loss):
     Change in unrealized losses on fixed maturity
      securities net of reclassification adjustments            64,453           (488,596)
                                                           -----------        -----------
Comprehensive income                                       $ 3,382,549        $   346,829
                                                           ===========        ===========
</TABLE>

                 See notes to consolidated financial statements

                                       3
<PAGE>   4
                   DELPHI INTERNATIONAL LTD. AND SUBSIDIARIES
                           CONSOLIDATED BALANCE SHEETS

                          (UNAUDITED: IN U.S. DOLLARS)

<TABLE>
<CAPTION>
                                                                         MARCH 31,          DECEMBER 31,
                                                                            2000                1999
                                                                            ----                ----
<S>                                                                   <C>                  <C>
Assets:
Investments:
       Fixed maturity securities, available for sale                  $  91,524,719        $  84,226,329
       Balances with independent investment managers                     29,938,148           27,389,096
       Equity securities                                                  7,515,900            7,515,900
                                                                      -------------        -------------
                                                                        128,978,767          119,131,325

Cash and cash equivalents                                                16,928,764           22,514,299
Funds withheld by ceding reinsurer                                       13,420,343           13,735,735
Receivable from independent investment managers                             228,930            2,536,997
Deferred acquisition costs                                                  972,310            1,087,506
Accrued income                                                            3,133,295            5,599,079
Other assets                                                                129,600               85,307
Assets held for participating shareholder:
       Cash and cash equivalents                                            185,577              125,306
       Fixed maturity securities                                          1,461,057            1,509,842
       Other assets                                                          32,583               51,571
                                                                      -------------        -------------

Total assets                                                          $ 165,471,226        $ 166,376,967
                                                                      =============        =============

Liabilities:
Reserves for losses and loss expenses                                 $ 110,815,718        $ 112,528,589
Subordinated notes                                                       34,234,983           32,760,750
Other liabilities                                                         3,645,180            7,687,330
Liabilities relating to participating shareholder:
       Reserves for losses and loss expenses                              1,599,521            1,618,509
       Other liabilities                                                     37,257               30,089
                                                                      -------------        -------------

Total liabilities                                                       150,332,659          154,625,267
                                                                      -------------        -------------

Participating Preferred Shareholder's equity:
Participating Preferred Shares, $0.01 par value; 1,000
       shares authorized, issued and outstanding                                 10                   10
Additional paid-in capital                                                      990                  990
Retained earnings                                                            42,439               38,121
                                                                      -------------        -------------
                                                                             43,439               39,121
                                                                      -------------        -------------
Shareholders' equity:
Preferred Shares, $0.01 par value; 5,000,000 shares authorized,
       100,000 shares issued and outstanding                                  1,000                1,000
Common Shares, $0.01 par value; 10,000,000 shares
       authorized, 4,079,014 shares issued and outstanding                   40,790               40,790
Additional paid-in capital                                               30,863,157           30,863,157
Appropriation for dividend on Preferred Shares                            1,187,500              950,000
Accumulated other comprehensive loss                                     (1,482,525)          (1,546,978)
Retained deficit                                                        (15,514,794)         (18,595,390)
                                                                      -------------        -------------

Total shareholders' equity                                               15,095,128           11,712,579
                                                                      -------------        -------------

Total liabilities and shareholders' equity                            $ 165,471,226        $ 166,376,967
                                                                      =============        =============
</TABLE>

                 See notes to consolidated financial statements

                                       4
<PAGE>   5
                   DELPHI INTERNATIONAL LTD. AND SUBSIDIARIES
                      CONSOLIDATED STATEMENTS OF CASH FLOWS

                           (UNAUDITED: IN US DOLLARS)

<TABLE>
<CAPTION>
                                                                                           THREE MONTHS ENDED
                                                                                                 MARCH 31,
                                                                                      2000                         1999
                                                                                      ----                         ----
<S>                                                                              <C>                        <C>
Net cash flows from operating activities:
Net income                                                                       $  3,318,096               $      835,425
Adjustments to reconcile net income to net cash provided by
    operating activities:
    Interest on subordinated notes                                                  1,474,233                    1,350,000
    Investment income related to balances with independent investment
       managers                                                                    (3,198,220)                  (2,704,769)
    Amortization on fixed maturity securities                                        (104,818)                     (22,062)
    Changes in assets and liabilities:
      Funds withheld by ceding reinsurer                                              315,393                            -
      Deferred acquisition costs                                                      115,197                       15,104
      Accrued income                                                               (2,819,644)                      15,087
      Other assets                                                                    (44,293)                     (31,837)
      Reserves for losses and loss expenses                                        (1,712,871)                    (166,457)
      Receivable from independent investment managers                               2,308,068                   21,088,281
      Other liabilities                                                            (4,042,151)                  (1,066,069)
                                                                                 ------------                -------------
      Net cash (used) provided by operating activities                             (4,391,010)                  19,312,703
                                                                                 ------------                -------------
Cash flows from investing activities:
    Proceeds from sales of fixed maturity securities                                  155,058                       52,450
    Withdrawals from balances with independent investment managers                  4,649,167                    5,447,899
    Purchases of investments with independent investment managers                  (4,000,000)                 (12,630,000)
    Purchases of fixed maturity securities                                         (1,998,750)                  (2,502,905)
                                                                                 ------------                -------------
      Net cash used by investing activities                                        (1,194,525)                  (9,632,556)
                                                                                 ------------                -------------
(Decrease) increase in cash and cash equivalents                                   (5,585,535)                   9,680,147
Cash and cash equivalents at beginning of period                                   22,514,299                   26,152,550
                                                                                 ------------                -------------
Cash and cash equivalents at the end of period                                    $16,928,764                $  35,832,697
                                                                                 ------------                -------------
</TABLE>

                 See notes to consolidated financial statements

                                       5
<PAGE>   6
                   DELPHI INTERNATIONAL LTD. AND SUBSIDIARIES

                   NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

                                   (UNAUDITED)

NOTE A - SIGNIFICANT ACCOUNTING POLICIES

The financial statements included herein were prepared in conformity with
accounting principles generally accepted in the United States for interim
financial information and with 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 generally accepted accounting principles for complete
financial statements. Such principles were applied on a basis consistent with
those reflected in the Company's report on Form 10-K for the year ended December
31, 1999. The information furnished includes all adjustments and accruals of a
normal recurring nature which are, in the opinion of management, necessary for a
fair presentation of results for the interim periods. Operating results for the
three months ended March 31, 2000 are not necessarily indicative of the results
that may be expected for the year ended December 31, 2000. Certain
reclassifications have been made in the 1999 financial statements to conform to
the 2000 presentation. For further information refer to the consolidated
financial statements and footnotes thereto included in the Company's report on
Form 10-K for the year ended December 31, 1999. Capitalized terms used herein
without definition have the meanings ascribed to them in the Company's report on
Form 10-K for the year ended December 31, 1999.

NOTE B - INVESTMENTS

At March 31, 2000, the Company had fixed maturity securities available for sale
with a carrying value of $91.5 million and an amortized cost of $93.0 million
and balances with independent investment managers with a carrying value and a
fair value of $29.9 million. At December 31, 1999, the Company had fixed
maturity securities available for sale with a carrying value of $84.2 million
and an amortized cost of $85.8 million and balances with independent investment
managers with a carrying value and a fair value of $27.4 million. During the
three months ended March 31, 2000, the Company elected to receive the $5.3
million dividend due on the preferred securities of the LLC by the receipt of
additional preferred securities of the LLC in lieu of cash. The amounts invested
with independent investment managers are, with certain limited exceptions,
withdrawable at least annually, subject to applicable notice requirements.

NOTE C - CAPITAL SECURITIES AND LOAN FINANCING

Pursuant to the terms of the Subordinated Notes, interest due on such notes of
$1.5 million and $1.4 million for the three months ended March 31, 2000 and
1999, respectively, has been paid by the issuance of additional Subordinated
Notes.

The Company's Series A Preferred Shares (the "Preferred Shares") are entitled to
receive, when and as declared by the Board of Directors out of funds legally
available therefor, a cumulative dividend of 9.5% per annum on the shares' issue
price. The dividend is payable in cash or in additional Preferred Shares issued
and redeemable at $100 per share. No dividend has been declared at March 31,
2000 but a provision for the cumulative dividend at March 31, 2000 has been
recorded as an appropriation of retained deficit.

                                       6
<PAGE>   7
                   DELPHI INTERNATIONAL LTD. AND SUBSIDIARIES

                   NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

                                   (UNAUDITED)

NOTE D - COMPUTATION OF NET INCOME PER COMMON SHARE

Net income per Common Share is computed by dividing net income attributable to
Common Shares by the weighted average number of Common Shares outstanding for
the period:

<TABLE>
<CAPTION>
                                                    Three Months Ended
                                                         March 31,
                                                  -------------------------
                                                  2000                 1999
                                                  ----                 ----

<S>                                              <C>              <C>
Numerator:
Net income attributable to Common Shares         $3,080,596       $  597,925

Denominator:
Weighted average Common Shares outstanding        4,079,014        4,079,014

Net income per Common Share                      $     0.76       $     0.15
</TABLE>

                                       7
<PAGE>   8
                            DELPHI INTERNATIONAL LTD.
                     MANAGEMENT'S DISCUSSION AND ANALYSIS OF
                  FINANCIAL CONDITION AND RESULTS OF OPERATIONS


GENERAL

The following is an analysis of the results of operations and financial
condition of Delphi International Ltd. (the "Company" which term includes the
Company and its consolidated subsidiaries unless the context indicates
otherwise). This analysis should be read in conjunction with the Consolidated
Financial Statements and related notes included in this document, as well as the
Company's report on Form 10-K for the year ended December 31, 1999. Capitalized
terms used herein without definition have the meanings ascribed to them in the
Company's report on Form 10-K for the year ended December 31, 1999.

RESULTS OF OPERATIONS

Underwriting Income. The Company did not earn any premium income from
reinsurance contracts during the three months ended March 31, 1999 and 2000. Due
to excess capacity in the global reinsurance markets and the resulting lack of
attractively priced reinsurance programs, the Company did not take on any new
reinsurance business during either period.

Investment Income. Investment income for the quarter ended March 31, 2000 was
$6.7 million as compared with investment income for the period ended March 31,
1999 of $3.3 million. Investment results during these periods are primarily
derived from preferred dividends from the LLC, the assets of which are invested
with independent investment managers, and from investment vehicles of
independent investment managers, which are accounted for under the equity
method, with earnings and losses included in net investment income. Investment
income for the 2000 period reflects strong investment results.

Underwriting and Other Expenses. Losses and loss expenses of $1.2 million
incurred in each of the first quarters of 1999 and 2000 primarily reflect the
increase in discounted values of existing reserves, which accrete over time.
Underwriting and acquisition expenses in the first quarter of 2000 reflect $0.8
million of profit sharing commissions incurred during the quarter under the
Safety National and RSL reinsurance agreements.

LIQUIDITY AND CAPITAL RESOURCES

The Company's current liquidity needs at the holding company level include
funding operating expenses and interest payments on the Subordinated Notes. At
the Company's option, the Company may pay interest on the Subordinated Notes in
additional Subordinated Notes in lieu of cash payments during any five-year
period. During the three-month period to March 31, 2000, $1.5 million of
interest due on the Subordinated Notes was paid by the issuance of additional
Subordinated Notes with an aggregate principal amount of $1.5 million. As of
March 31, 2000, the Company had $14.2 million in financial assets at the holding
company level. The Company's other source of liquidity at the holding company
level consists of dividends from Oracle Re. Dividend payments by the Company's
insurance subsidiary to the Company are subject to certain Bermuda regulatory
restrictions as well as contractual restrictions. Under the LOC Agreement,
dividends by Oracle Re in any fiscal year may generally not exceed the greater
of (a) 50% of Oracle Re's statutory net income for the preceding fiscal year and
(b) the lesser of (i) $3,000,000 and (ii) Oracle Re's statutory net income for
the preceding fiscal year.

                                       8
<PAGE>   9
                            DELPHI INTERNATIONAL LTD.
                     MANAGEMENT'S DISCUSSION AND ANALYSIS OF
                  FINANCIAL CONDITION AND RESULTS OF OPERATIONS

The principal liquidity requirement of the Company's insurance subsidiary,
Oracle Re, in addition to funding operating expenses, is the fulfillment of the
obligations under its reinsurance agreements. The primary source of funding for
these obligations, in addition to operating earnings, is the net cash flow from
the investments included in Oracle Re's investment portfolio. Each of the
Company's reinsurance agreements involved a one-time payment to Oracle Re at
inception and does not provide for ongoing reinsurance premiums.

In addition to Oracle Re's current liquidity requirements, Oracle Re is required
to provide collateral security with respect to letters of credit outstanding
under the LOC Agreement and otherwise. Under the LOC Agreement, the collateral
maintenance requirement is equal to up to 145% of the amount of the outstanding
letters of credit. In the event that sufficient collateral cannot be maintained
relative to these requirements, Oracle Re may be required to negotiate with its
reinsureds to reduce the size of the reinsurance transactions, thereby
decreasing the amounts of letters of credit and related collateral requirements
under the LOC Agreement. Moreover, if Oracle Re were unable to furnish
sufficient collateral or otherwise were to fail to satisfy any covenant or
requirement under the LOC Agreement, it may be required to liquidate all or a
substantial portion of its investment portfolio or otherwise secure its
obligations under its reinsurance agreements, which would likely have a material
adverse effect on the business and operations of the Company.

The Company believes that the sources of funding available at the holding
company and insurance subsidiary levels, respectively, will be adequate to
satisfy on both a short-term and long-term basis the companies' applicable
liquidity requirements.

MARKET RISK

There have been no material changes in the Company's exposure to market risk or
its management of such risk since December 31, 1999.

CAUTIONARY NOTE REGARDING FORWARD LOOKING STATEMENTS

In connection with and because it desires to take advantage of the "safe harbor"
provisions of the Private Securities Litigation Reform Act of 1995, the Company
cautions its readers regarding certain forward-looking statements in the
foregoing discussions and elsewhere in this Form 10-Q and in any other statement
made by, or on behalf of, the Company, whether or not in future filings with the
Securities and Exchange Commission. Forward-looking statements are statements
not based on historical information and which relate to future operations,
strategies, financial results or other developments. Some forward-looking
statements may be identified by the use of terms such as "expects," "believes,"
"anticipates," "intends," or "judgment." Forward-looking statements are
necessarily based upon estimates and assumptions that are inherently subject to
significant business, economic and competitive uncertainties and contingencies,
many of which are beyond the Company's control and many of which, with respect
to future business decisions, are subject to change. Examples of such
uncertainties and contingencies include changes in global economic and financial
conditions and markets, the Company's investment strategy and implementation
thereof, the performance of the Company's investment portfolio, competitive
conditions in the global reinsurance markets, the ability of the Company to
generate new business opportunities and submissions and changes in insurance or
other laws and regulations or governmental interpretations thereof. These
uncertainties can affect actual results and could cause actual results to differ
materially from those expressed in any forward-looking statements made by, or on
behalf of, the Company. The Company disclaims any obligation to update
forward-looking information.

                                       9
<PAGE>   10
                           PART II. OTHER INFORMATION


Item 6.           Exhibits and Reports on Form 8-K

                  (a)      Exhibits

                           10.1 -   Reinsurance Agreement between Oracle
                                    Reinsurance Company Ltd. and Reliance
                                    Standard Life Insurance Company

                           10.2 -   Reinsurance Agreement between Oracle
                                    Reinsurance Company Ltd. and Safety National
                                    Casualty Corporation

                           10.3 -   Investment Advisory Agreement between
                                    Oracle Reinsurance Company Ltd. and Acorn
                                    Advisory Capital L.P.

                           10.4 -   Second Amendment to the Letter of Credit
                                    Agreement, dated as of March 31, 2000, among
                                    Oracle Reinsurance Company Ltd., the various
                                    financial institutions parties thereto and
                                    Bank of America, National Association
                                    (formerly known as Bank of America National
                                    Trust and Savings Association) as letter of
                                    credit administrator and as agent, The Bank
                                    of New York, as co-agent, Deutsche Bank AG,
                                    as co-agent, Dresdner Bank AG, New York
                                    Branch as co-agent and Fleet National Bank,
                                    as co-agent

                           11 -     Computation of Earnings Per Common Share
                                    (incorporated herein by reference to Note D
                                    to the Consolidated Financial Statements
                                    included elsewhere herein)

                           27 -     Financial Data Schedule

                  (b)      Reports on Form 8-K

                           The Company filed a report on Form 8-K on January 28,
                           2000 which restated the Company's Consolidated
                           Statements of Income for each of the first three
                           quarters of 1999.

                                       10
<PAGE>   11
                                   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.

                                   DELPHI INTERNATIONAL LTD. (Registrant)

                                   /s/ COLIN O'CONNOR
                                   Colin O'Connor
                                   President and Chief Executive Officer
                                   (Principal Executive Officer)

                                   /s/ DAVID EZEKIEL
                                   David Ezekiel
                                   Vice President and Director
                                   (Principal Accounting and Financial Officer)

Date: May 12, 2000

                                       11