<PAGE>   1

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                                   FORM 10-Q

                       SECURITIES AND EXCHANGE COMMISSION
                             WASHINGTON, D.C. 20549
                            ------------------------

(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

                                       OR

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

                        COMMISSION FILE NUMBER 001-49632

                                CGA GROUP, LTD.
             (EXACT NAME OF REGISTRANT AS SPECIFIED IN ITS CHARTER)

<TABLE>
<CAPTION>
                         BERMUDA                                                 98-0173536
<S>                                                       <C>
             (STATE OR OTHER JURISDICTION OF                                  (I.R.S. EMPLOYER
             INCORPORATION OR ORGANIZATION)                                  IDENTIFICATION NO.)
                    CRAIG APPIN HOUSE
                     8 WESLEY STREET
                  HAMILTON HM11 BERMUDA                                        NOT APPLICABLE
        (ADDRESS OF PRINCIPAL EXECUTIVE OFFICES)                                 (ZIP CODE)
</TABLE>

                                 (441) 296-3165
              (REGISTRANT'S TELEPHONE NUMBER, INCLUDING AREA CODE)

                                 NOT APPLICABLE
             (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 AND 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 THE NUMBER OF SHARES OUTSTANDING OF EACH OF THE ISSUER'S CLASSES
OF COMMON STOCK, AS OF THE LATEST PRACTICABLE DATE:

                                   28,005,648
                              AS OF MARCH 31, 2000

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<PAGE>   2

                                CGA GROUP, LTD.

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

                               TABLE OF CONTENTS

PART I -- FINANCIAL INFORMATION

<TABLE>
<CAPTION>
                                                              PAGE
                                                              ----
<S>                                                           <C>
  Item 1. Financial Statements
     Unaudited Consolidated Balance Sheets -- March 31, 2000
      and December 31, 1999.................................     1
     Unaudited Consolidated Statements of
      Operations -- Three Months Ended March 31, 2000 and
      March 31, 1999........................................     2
     Unaudited Consolidated Statements of Comprehensive
      Income -- Three Months Ended March 31, 2000 and March
      31, 1999..............................................     3
     Unaudited Consolidated Statements of Changes in
      Mezzanine Equity -- Three Months Ended March 31, 2000
      and the Year Ended December 31, 1999..................     4
     Unaudited Consolidated Statements of Shareholders'
      Equity -- Three Months Ended March 31, 2000 and the
      Year Ended December 31, 1999..........................     5
     Unaudited Consolidated Statements of Cash
      Flows -- Three Months Ended March 31, 2000 and March
      31, 1999..............................................     6
     Notes to Unaudited Consolidated Financial Statements...     7
  Item 2. Management's Discussion and Analysis of Financial
     Condition and
     Results of Operations..................................    14

PART II -- OTHER INFORMATION
  Item 6. Exhibits and Reports on Form 8-K..................  II-1
  Signatures................................................  II-2
  Index to Exhibits.........................................  II-3
</TABLE>
<PAGE>   3

                      [THIS PAGE INTENTIONALLY LEFT BLANK]
<PAGE>   4

PART I -- FINANCIAL INFORMATION

ITEM 1.  FINANCIAL STATEMENTS.

                                CGA GROUP, LTD.

                          CONSOLIDATED BALANCE SHEETS
                          (EXPRESSED IN U.S. DOLLARS)
                                  (UNAUDITED)

<TABLE>
<CAPTION>
                                                               MARCH 31,      DECEMBER 31,
                                                                  2000            1999
                                                              ------------    ------------
<S>                                                           <C>             <C>
ASSETS
  Fixed maturity securities available for sale at fair value
     (amortized cost: $154,995,171 and $152,838,109)........  $147,919,381    $146,337,676
  Cash and cash equivalents.................................     2,460,476      12,775,595
  Premiums receivable.......................................     2,055,330       2,267,991
  Management fees receivable................................       410,046         412,644
  Accrued investment income.................................     4,096,988       4,385,663
  Deferred acquisition costs................................     4,984,595       4,767,372
  Prepaid reinsurance premiums..............................            --         310,144
  Reinsurance recoverable...................................     3,208,668      25,000,000
  Deferred premiums receivable..............................       801,354         519,809
  Other assets..............................................     3,489,923       2,842,614
                                                              ------------    ------------
  Total assets..............................................  $169,426,761    $199,619,508
                                                              ============    ============
LIABILITIES
  Unearned premiums.........................................  $  3,253,151    $  2,946,120
  Reserve for losses and loss adjustment expenses...........    10,963,250      36,545,700
  Reinsurance balances payable..............................       243,249         285,726
  Accrued costs and expenses................................     1,928,878       4,896,550
                                                              ------------    ------------
  Total liabilities.........................................    16,388,528      44,674,096
                                                              ------------    ------------
MEZZANINE EQUITY
  Preferred stock, $.01 par value:
  Series A, 10,000,000 shares authorized, 3,803,212 and
     3,676,821 issued and outstanding.......................    90,813,952      87,506,212
                                                              ------------    ------------
  Total mezzanine equity....................................    90,813,951      87,506,212
                                                              ------------    ------------
SHAREHOLDERS' EQUITY
  Series C preferred stock, $.01 par value, 52,000,000
     shares authorized, 44,971,346 issued and outstanding...       449,713         449,713
  Additional paid-in-capital -- Series C preferred stock....    49,481,298      49,466,298
  Common stock, $.01 par value, 268,000,000 shares
     authorized, 28,005,648 issued and outstanding..........       280,057         280,057
  Additional paid-in-capital -- common stock................    95,575,117      95,723,081
  Accumulated other comprehensive loss......................    (7,075,790)     (6,500,433)
  Accumulated deficit.......................................   (76,486,113)    (71,979,516)
                                                              ------------    ------------
  Total shareholders' equity................................    62,224,282      67,439,200
                                                              ------------    ------------
  Total liabilities and shareholders' equity................  $169,426,761    $199,619,508
                                                              ============    ============
</TABLE>

   The accompanying notes are an integral part of these financial statements.
                                        1
<PAGE>   5

                                CGA GROUP, LTD.

                     CONSOLIDATED STATEMENTS OF OPERATIONS
                          (EXPRESSED IN U.S. DOLLARS)
                                  (UNAUDITED)

<TABLE>
<CAPTION>
                                                               THREE MONTHS      THREE MONTHS
                                                                  ENDED             ENDED
                                                              MARCH 31, 2000    MARCH 31, 1999
                                                              --------------    --------------
<S>                                                           <C>               <C>
REVENUES
  Gross premiums written....................................   $ 4,010,355       $ 3,467,232
  Ceded premiums............................................      (553,393)         (419,625)
                                                               -----------       -----------
  Net premiums written......................................     3,456,962         3,047,607
  Change in unearned premiums...............................      (273,695)           34,439
                                                               -----------       -----------
  Net premiums earned.......................................     3,183,267         3,082,046
  Net investment income.....................................     2,277,324         1,671,501
  Net realized gains (losses)...............................      (321,509)          151,566
  Management fees...........................................       549,056         1,145,259
                                                               -----------       -----------
  Total revenues............................................     5,688,138         6,050,372
                                                               -----------       -----------
EXPENSES
  Operating expenses........................................     3,616,324         3,276,277
  Policy acquisition costs..................................       227,245           148,138
  Commitment fees...........................................       150,000           147,945
  Excess of loss facility...................................        50,000            50,000
  Losses and loss adjustment expenses.......................     2,991,391           300,000
                                                               -----------       -----------
  Total expenses............................................     7,034,960         3,922,360
                                                               -----------       -----------
NET INCOME (LOSS)...........................................    (1,346,822)        2,128,012
  Pay-in-kind dividends -- preferred stock..................    (3,159,775)       (5,460,945)
  Accretion -- preferred stock..............................      (147,966)         (198,103)
                                                               -----------       -----------
NET LOSS ATTRIBUTABLE TO COMMON SHAREHOLDERS................   $(4,654,563)      $(3,531,036)
Basic and diluted loss per common share.....................   $     (0.17)      $     (0.38)
                                                               ===========       ===========
Weighted average shares outstanding.........................    28,005,648         9,310,063
                                                               ===========       ===========
</TABLE>

   The accompanying notes are an integral part of these financial statements.
                                        2
<PAGE>   6

                                CGA GROUP, LTD.

                CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME
                          (EXPRESSED IN U.S. DOLLARS)
                                  (UNAUDITED)

<TABLE>
<CAPTION>
                                                               THREE MONTHS      THREE MONTHS
                                                                  ENDED             ENDED
                                                              MARCH 31, 2000    MARCH 31, 1999
                                                              --------------    --------------
<S>                                                           <C>               <C>
NET INCOME (LOSS) FOR THE PERIOD............................    (1,346,822)        2,128,012
OTHER COMPREHENSIVE INCOME
Change in unrealized appreciation (depreciation) on fixed
  maturity securities.......................................      (575,357)       (1,704,381)
                                                                ----------        ----------
COMPREHENSIVE INCOME (LOSS) FOR THE PERIOD..................    (1,922,179)          423,631
                                                                ==========        ==========
</TABLE>

   The accompanying notes are an integral part of these financial statements.
                                        3
<PAGE>   7

                                CGA GROUP, LTD.

             CONSOLIDATED STATEMENTS OF CHANGES IN MEZZANINE EQUITY
                          (EXPRESSED IN U.S. DOLLARS)
                                  (UNAUDITED)

<TABLE>
<CAPTION>
                                                               THREE MONTHS
                                                                  ENDED            YEAR ENDED
                                                              MARCH 31, 2000    DECEMBER 31, 1999
                                                              --------------    -----------------
<S>                                                           <C>               <C>
MEZZANINE EQUITY
SERIES A PREFERRED STOCK
Balance -- beginning of period..............................   $    36,768        $     32,119
Pay-in-kind dividends paid..................................         1,264               4,649
                                                               -----------        ------------
Balance -- end of period....................................        38,032              36,768
                                                               -----------        ------------
ADDITIONAL PAID-IN-CAPITAL -- SERIES A PREFERRED
Balance -- beginning of period..............................    87,469,444          75,258,981
Pay-in-kind dividends paid..................................     3,158,511          11,618,601
Accretion to redemption value...............................       114,282             457,132
Accretion on warrants.......................................        33,682             134,730
                                                               -----------        ------------
Balance -- end of period....................................    90,775,919          87,469,444
                                                               -----------        ------------
TOTAL SERIES A PREFERRED STOCK..............................   $90,813,951        $ 87,506,212
                                                               ===========        ============
SERIES B PREFERRED STOCK
Balance -- beginning of period..............................   $        --        $     16,000
Pay-in-kind dividends paid..................................            --               6,687
Conversion to common stock..................................            --             (22,687)
                                                               -----------        ------------
Balance -- end of period....................................            --                  --
                                                               -----------        ------------
ADDITIONAL PAID-IN-CAPITAL -- SERIES B PREFERRED
Balance -- beginning of period..............................            --          37,284,985
Pay-in-kind dividends paid..................................            --          16,710,271
Accretion to redemption value...............................            --              50,137
Unaccreted issuance costs...................................            --           2,648,879
Conversion to common stock..................................            --         (56,694,272)
                                                               -----------        ------------
Balance -- end of period....................................            --                  --
                                                               -----------        ------------
PAY-IN-KIND DIVIDENDS ACCRUED -- SERIES B
Balance -- beginning of period..............................   $        --        $ 14,016,164
Dividends accrued...........................................            --           2,700,795
Dividends paid..............................................            --         (16,716,959)
                                                               -----------        ------------
Balance -- end of period....................................   $        --        $         --
                                                               -----------        ------------
TOTAL SERIES B PREFERRED STOCK..............................   $        --        $         --
                                                               ===========        ============
TOTAL MEZZANINE EQUITY......................................   $90,813,951        $ 87,506,212
                                                               ===========        ============
</TABLE>

   The accompanying notes are an integral part of these financial statements.
                                        4
<PAGE>   8

                                CGA GROUP, LTD.

                CONSOLIDATED STATEMENTS OF SHAREHOLDERS' EQUITY
                          (EXPRESSED IN U.S. DOLLARS)
                                  (UNAUDITED)

<TABLE>
<CAPTION>
                                                               THREE MONTHS
                                                                  ENDED            YEAR ENDED
                                                              MARCH 31, 2000    DECEMBER 31, 1999
                                                              --------------    -----------------
<S>                                                           <C>               <C>
SHAREHOLDERS' EQUITY
SERIES C CONVERTIBLE PREFERRED STOCK
Balance -- beginning of period..............................   $    449,713       $         --
Stock issued (44,971,346 shares)............................             --            449,713
                                                               ------------       ------------
Balance -- end of period....................................        449,713            449,713
                                                               ------------       ------------
ADDITIONAL PAID-IN-CAPITAL -- SERIES C PREFERRED
Balance -- beginning of period..............................     49,466,298                 --
Stock issued................................................             --         51,715,259
Employee loans..............................................             --         (1,045,961)
Employee loans repaid.......................................         15,000                 --
Issuance costs..............................................             --         (1,203,000)
                                                               ------------       ------------
Balance -- end of period....................................     49,481,298         49,466,298
                                                               ------------       ------------
TOTAL SERIES C PREFERRED STOCK..............................     49,931,011         49,916,011
                                                               ------------       ------------
COMMON STOCK
Balance -- beginning of period..............................        280,057             91,000
Stock issued (18,905,648 shares)............................             --            189,057
                                                               ------------       ------------
Balance -- end of period....................................        280,057            280,057
                                                               ------------       ------------
ADDITIONAL PAID-IN-CAPITAL -- COMMON STOCK
Balance -- beginning of period..............................     95,723,081         42,486,057
Stock issued................................................             --         56,527,902
Accretion of Series A Preferred Stock to redemption value...       (114,282)          (457,132)
Accretion of Series B Preferred Stock to redemption value...             --            (50,137)
Accretion on warrants.......................................        (33,682)          (134,730)
Unaccreted issuance costs (Series B)........................             --         (2,648,879)
                                                               ------------       ------------
Balance -- end of period....................................     95,575,117         95,723,081
                                                               ------------       ------------
TOTAL COMMON STOCK..........................................     95,855,174         96,003,138
                                                               ------------       ------------
ACCUMULATED OTHER COMPREHENSIVE INCOME
Balance -- beginning of period..............................     (6,500,433)           927,676
Decrease during the period..................................       (575,357)        (7,428,109)
                                                               ------------       ------------
Balance -- end of period....................................     (7,075,790)        (6,500,433)
                                                               ------------       ------------
ACCUMULATED DEFICIT
Balance -- beginning of period..............................    (71,979,516)       (50,006,600)
Net loss....................................................     (1,346,822)        (7,648,871)
Series A pay-in-kind dividends..............................     (3,159,775)       (11,623,250)
Series B pay-in-kind dividends..............................             --         (2,700,795)
                                                               ------------       ------------
Balance -- end of period....................................    (76,486,113)       (71,979,516)
                                                               ------------       ------------
TOTAL SHAREHOLDERS' EQUITY..................................   $ 62,224,282       $ 67,439,200
                                                               ============       ============
</TABLE>

   The accompanying notes are an integral part of these financial statements.
                                        5
<PAGE>   9

                                CGA GROUP, LTD.

                     CONSOLIDATED STATEMENTS OF CASH FLOWS
                          (EXPRESSED IN U.S. DOLLARS)
                                  (UNAUDITED)

<TABLE>
<CAPTION>
                                                               THREE MONTHS      THREE MONTHS
                                                                  ENDED             ENDED
                                                              MARCH 31, 2000    MARCH 31, 1999
                                                              --------------    --------------
<S>                                                           <C>               <C>
CASH FLOWS FROM OPERATING ACTIVITIES
Net income (loss)...........................................   $ (1,346,822)     $  2,128,012
Adjustments to reconcile net income (loss) to net cash
  provided by (used in) operating activities:
  Amortization of (discounts) premiums on investments.......        (34,352)           90,484
  Depreciation expense......................................        130,801           128,792
  Realized loss (gain) on sale of investments...............        321,509          (151,566)
Changes in assets and liabilities:
  Premiums receivable.......................................        212,661           148,442
  Accrued investment income.................................        288,675           829,387
  Deferred acquisition costs................................       (217,223)         (359,717)
  Prepaid reinsurance premiums..............................        310,144            13,142
  Reinsurance recoverable...................................     21,791,332                --
  Management fees receivable................................          2,598            28,773
  Deferred premiums receivable..............................       (281,545)               --
  Other assets..............................................       (772,873)          229,646
  Unearned premiums.........................................        307,031           (34,439)
  Reserve for losses and loss adjustment expenses...........    (25,582,450)          300,000
  Reinsurance balances payable..............................        (42,477)          (14,177)
  Accrued costs and expenses................................     (2,967,672)         (724,020)
                                                               ------------      ------------
Net cash provided by (used in) operating activities.........     (7,880,663)        2,612,759
                                                               ------------      ------------
CASH FLOWS FROM INVESTING ACTIVITIES
Cost of fixed maturity securities acquired..................     (8,726,140)      (22,856,171)
Proceeds from sale of fixed maturity securities.............      6,281,921        20,985,021
Purchases of fixed assets...................................         (5,237)          (50,300)
                                                               ------------      ------------
Net cash used in investing activities.......................     (2,449,456)       (1,921,450)
                                                               ------------      ------------
CASH FLOWS FROM FINANCING ACTIVITIES
Proceeds on issuance of series C preferred stock............             --        52,042,756
Employee loans..............................................             --        (1,045,961)
Repayment of employee loans.................................         15,000                --
Issuance costs of series C preferred stock..................             --        (1,203,000)
                                                               ------------      ------------
Net cash provided by financing activities...................         15,000        49,793,795
                                                               ------------      ------------
NET INCREASE (DECREASE) IN CASH AND CASH EQUIVALENTS........    (10,315,119)       50,485,104
CASH AND CASH EQUIVALENTS -- BEGINNING OF PERIOD............     12,775,595         2,598,140
                                                               ------------      ------------
CASH AND CASH EQUIVALENTS -- END OF PERIOD..................   $  2,460,476      $ 53,083,244
                                                               ============      ============
</TABLE>

   The accompanying notes are an integral part of these financial statements.
                                        6
<PAGE>   10

                                CGA GROUP, LTD.

              NOTES TO UNAUDITED CONSOLIDATED FINANCIAL STATEMENTS
                   FOR THE THREE MONTHS ENDED MARCH 31, 2000
                          (EXPRESSED IN U.S. DOLLARS)

1. BUSINESS AND ORGANIZATION

     CGA Group, Ltd. is a holding company which was incorporated in Bermuda on
June 21, 1996. CGA Group has two wholly owned subsidiaries. Commercial Guaranty
Assurance, Ltd. was incorporated in Bermuda on October 16, 1996. Commercial
Guaranty Assurance is licensed as a class 3 insurer under the Insurance Act 1978
(Bermuda), amendments thereto and related regulations, which authorizes it to
carry on insurance business of all classes in or from within Bermuda subject to
its compliance with the solvency margin, liquidity ratio and other requirements
imposed on it by the Act. Commercial Guaranty Assurance has a "Triple-A" "claims
paying ability" rating from Duff & Phelps Credit Rating Company and has also
been rated in the highest rating category assigned by each of the two Canadian
rating agencies, Dominion Bond Ratings Service and Canadian Bond Ratings
Service. Effective March 31, 2000, Commercial Guaranty Assurance's claims-paying
ability rating was rated "Triple A" by Japan Rating and Investment Information,
Inc., the largest credit rating agency in Japan. Commercial Guaranty Assurance
issues financial guaranty insurance policies, which are the functional
equivalent of direct-pay letters of credit, to insure payment of interest,
principal and other amounts payable in respect of notes, securities, and other
financial obligations. CGA Investment Management, Inc. was incorporated in the
state of Delaware in July 1996. CGA Investment Management is registered as an
investment advisor with the United States Securities and Exchange Commission
under the Investment Advisers Act of 1940, as amended. CGA Investment Management
provides investment management and financial advisory services primarily to
specialized investment vehicles and for the U.S. and international structured
finance markets. CGA Investment Management and its employees are based in New
York City, New York.

     The accompanying unaudited consolidated financial statements have been
prepared in accordance with the instructions to Form 10-Q under the Rules and
Regulations of the Securities and Exchange Commission and accordingly, do not
include all of the information and disclosures required by generally accepted
accounting principles. These financial statements include the accounts of CGA
Group, Ltd. and its subsidiaries, and should be read in conjunction with the
consolidated financial statements, and related notes thereto, included in CGA
Group's 1999 Annual Report on Form 10-K. The accompanying financial statements
have not been audited by independent auditors in accordance with generally
accepted auditing standards. However, in the opinion of management, the
financial statements reflect all adjustments (consisting of normal recurring
accruals) necessary for a fair presentation of results for such periods. The
results of operations and cash flows for any interim period are not necessarily
indicative of results for the full year.

2. DETAIL OF OTHER ASSETS

     Other assets are comprised of the following at March 31, 2000 and December
31, 1999:

<TABLE>
<CAPTION>
                                                                 2000          1999
                                                              ----------    ----------
<S>                                                           <C>           <C>
Other Assets
  Other prepaid expenses....................................  $1,023,464    $  668,627
  Prepaid commitment fees...................................     126,164       276,164
  Fixed assets, net of depreciation.........................   1,160,015     1,285,579
  Deposits..................................................     299,580       301,080
  Accounts receivable.......................................     265,500        47,405
  Other.....................................................     615,200       263,759
                                                              ----------    ----------
  Total Other Assets........................................  $3,489,923    $2,842,614
                                                              ==========    ==========
</TABLE>

                                        7
<PAGE>   11
                                CGA GROUP, LTD.

      NOTES TO UNAUDITED CONSOLIDATED FINANCIAL STATEMENTS -- (CONTINUED)

3. LOSSES AND LOSS ADJUSTMENT EXPENSES

     The reserve for losses and loss adjustment expenses is established in an
amount equal to Commercial Guaranty Assurance's estimate of unidentified or case
basis reserves and unallocated losses including costs of settlement, on the
obligations it has insured. Case basis reserves are established when specific
insured issues are identified as currently or likely to be in default. Such a
reserve is based on the present value of the expected loss and loss adjustment
expenses. The general reserve for losses and loss adjustment expenses is
calculated by applying a loss factor, determined based on an independent rating
agency study of bond defaults, to net par amount outstanding of the insured
obligations.

     The reserve for losses and loss adjustment expenses is comprised of the
following at March 31, 2000 and December 31, 1999:

<TABLE>
<CAPTION>
                                                               2000           1999
                                                            -----------    -----------
<S>                                                         <C>            <C>
Case basis reserve........................................  $ 7,213,250    $33,200,000
General reserve...........................................    3,750,000      3,345,700
                                                            -----------    -----------
          Total reserve for losses and loss adjustment
            expenses......................................  $10,963,250    $36,545,700
                                                            ===========    ===========
</TABLE>

     The activity in the reserve for losses and loss adjustment expenses is as
follows:

<TABLE>
<CAPTION>
                                                              2000            1999
                                                          ------------    ------------
<S>                                                       <C>             <C>
Balance at beginning of year............................  $ 36,545,700    $ 90,200,000
  Less reinsurance recoverables.........................   (25,000,000)    (67,400,000)
                                                          ------------    ------------
Net balance at beginning of year........................    11,545,700      22,800,000
Net losses and loss expenses incurred in respect of
  losses
  occurring in:
  Current year..........................................     2,991,391       1,350,000
  Prior years...........................................            --      15,300,000
                                                          ------------    ------------
  Total.................................................    14,537,091      16,650,000
Net losses and loss expenses paid in respect of losses
  occurring in prior years..............................    (6,782,509)    (27,904,300)
                                                          ------------    ------------
Balance at end of period................................     7,754,582      11,545,700
Reinsurance recoverable.................................     3,208,668      25,000,000
                                                          ------------    ------------
Reserve for losses and loss adjustment expenses, gross
  of reinsurance recoverable
Balance at end of period................................  $ 10,963,250    $ 36,545,700
                                                          ============    ============
</TABLE>

     On March 15, 2000, Commercial Guaranty Assurance made a claim payment in
respect of Commercial Financial Services securities of $28.5 million, of which
$21.8 million consisted of payments from its reinsurer and $6.7 million
consisted of Commercial Guaranty Assurance's own funds, paid out of the case
basis reserve. At March 31, 2000, Commercial Guaranty Assurance's gross
remaining exposure to Commercial Financial Services was reduced to $45.0
million, of which $34.4 million is covered by reinsurance and $1.0 million is
included in case basis reserves, resulting in a net remaining exposure of $9.6
million. On April 18, 2000, Commercial Guaranty Assurance made an additional
claim payment of $4.2 million, of which $3.2 million consisted of payments from
its reinsurer and $1.0 consisted of Commercial Guaranty Assurance's own funds,
paid out of the case basis reserve.

     In April 2000, Commercial Guaranty Assurance elected to pay a $2.6 million
claim in connection with a "Triple-B" rated tranche of a home equity loan
securitization insured by Commercial Guaranty Assurance.

                                        8
<PAGE>   12
                                CGA GROUP, LTD.

      NOTES TO UNAUDITED CONSOLIDATED FINANCIAL STATEMENTS -- (CONTINUED)

Based on its ongoing surveillance, Commercial Guaranty Assurance concluded that
this security was no longer investment grade risk and consequently, as insurer
of the transaction, Commercial Guaranty Assurance directed the transaction's
trustee to sell the security. The sale resulted in a shortfall of $2.6 million,
which was included in the case basis reserve at March 31, 2000. The claim
payment of $2.6 million was made on April 27, 2000.

4. LOSS PER COMMON SHARE

     The following table sets forth the computation of basic and diluted loss
per share for the periods ended March 31, 2000 and 1999:

<TABLE>
<CAPTION>
                                                               2000           1999
                                                            -----------    -----------
<S>                                                         <C>            <C>
Basic loss per share
Numerator:
  Net income (loss).......................................  $(1,346,822)   $ 2,128,012
  Series A -- Pay-in-kind dividends paid..................   (3,159,775)    (2,760,150)
  Series A -- Accretion to redemption value...............     (114,283)      (114,283)
  Series A -- Accretion on warrants.......................      (33,683)       (33,683)
  Series B -- Pay-in-kind dividends.......................           --     (2,700,795)
  Series B -- Accretion to redemption value...............           --        (50,137)
                                                            -----------    -----------
Net loss attributable to common shareholders..............  $(4,654,563)   $(3,531,036)
                                                            -----------    -----------
Denominator:
  Weighted average shares outstanding.....................   28,005,648      9,310,063
                                                            -----------    -----------
Basic loss per share......................................  $     (0.17)   $     (0.38)
                                                            ===========    ===========
Diluted loss per share
Numerator.................................................  $(4,654,563)   $(3,531,036)
Denominator...............................................   28,005,648      9,310,063
                                                            -----------    -----------
Diluted loss per share....................................  $     (0.17)   $     (0.38)
                                                            ===========    ===========
</TABLE>

     The total number of common share equivalents not included in the
calculation of diluted loss per share was 46,747,067 because they were
anti-dilutive.

                                        9
<PAGE>   13
                                CGA GROUP, LTD.

      NOTES TO UNAUDITED CONSOLIDATED FINANCIAL STATEMENTS -- (CONTINUED)

5. INSURANCE IN FORCE

     The following table shows the net par outstanding of insured obligations,
net of reinsurance, at March 31, 2000 and December 31, 1999 by asset type:

<TABLE>
<CAPTION>
                                                                 2000          1999
ASSET TYPE                                                    (IN 000'S)    (IN 000'S)
----------                                                    ----------    ----------
<S>                                                           <C>           <C>
Auto........................................................  $   21,709    $   26,158
Commercial loan and bond obligations........................     371,512       327,335
Commercial mortgage-backed securities.......................     732,575       614,217
Corporate asset-backed securities...........................     152,490       147,490
Credit card receivables.....................................     158,694       165,997
Equipment...................................................      16,045        17,111
Future flows................................................      52,921        55,463
Home equity loans...........................................     416,281       374,280
Real estate investment trust debt...........................     251,559       256,774
Real estate investment trust preferred stock................      70,000        70,000
Sovereign debt..............................................      90,000        90,000
Other consumer asset-backed securities......................     103,800        89,640
                                                              ----------    ----------
Total.......................................................  $2,437,586    $2,234,465
                                                              ==========    ==========
</TABLE>

     The following table presents the credit ratings of the above assets, based
on net par outstanding at March 31, 2000 and December 31, 1999:

<TABLE>
<CAPTION>
                                                              2000    1999
                                                              ----    ----
<S>                                                           <C>     <C>
"AAA".......................................................    3%      4%
"AA"........................................................    3%      2%
"A".........................................................   25%     25%
"BBB".......................................................   60%     58%
"BB"........................................................    9%      9%
Not rated...................................................   --       2%
Total.......................................................  100%    100%
                                                              ===     ===
</TABLE>

     North America comprises 93% of the insured obligations' geographic
exposure. Other countries include Turkey, Korea, Greece, Poland, Portugal and
Venezuela, each of which comprises approximately 2% or less of the geographic
exposure.

6. SEGMENT REPORTING

     CGA Group has two reportable segments: Commercial Guaranty Assurance and
CGA Investment Management (see description of each segment in Note 1). CGA
Group's management has identified the operating segments on the basis that they
are separate entities with each entity carrying on a different type of business.
Commercial Guaranty Assurance provides financial guaranty insurance and CGA
Investment Management provides investment management services. The tables below
present financial information for each of the operating segments.

                                       10
<PAGE>   14
                                CGA GROUP, LTD.

      NOTES TO UNAUDITED CONSOLIDATED FINANCIAL STATEMENTS -- (CONTINUED)

     As of and for the three months ended March 31, 2000:

<TABLE>
<CAPTION>
                                       COMMERCIAL         CGA
                                        GUARANTY      INVESTMENT
                                       ASSURANCE      MANAGEMENT      OTHER(A)         TOTAL
                                      ------------    -----------    -----------    ------------
<S>                                   <C>             <C>            <C>            <C>
REVENUES
Net premiums earned.................  $  3,183,267             --             --    $  3,183,267
Net investment income...............     2,182,285         19,004         76,035       2,277,324
Net realized losses.................      (321,509)            --             --        (321,509)
Management fees.....................            --        549,056             --         549,056
Intersegment revenue................                      112,882        191,959         304,841
                                      ------------    -----------    -----------    ------------
TOTAL REVENUES......................     5,044,043        680,942        267,994       5,992,979
                                      ------------    -----------    -----------    ------------
EXPENSE ITEMS
Operating expenses..................       413,322      2,829,970        373,032       3,616,324
Acquisition costs...................       227,245             --             --         227,245
Commitment fees.....................       150,000             --             --         150,000
Excess of loss facility.............        50,000             --             --          50,000
Losses and loss adjustment
  expenses..........................     2,991,391             --             --       2,991,391
Intersegment expenses...............       112,882        191,959             --         304,841
                                      ------------    -----------    -----------    ------------
TOTAL EXPENSES......................     3,944,840      3,021,929        373,032       7,339,801
                                      ------------    -----------    -----------    ------------
NET INCOME (LOSS)...................     1,099,203     (2,340,987)      (105,038)     (1,346,822)
                                      ============    ===========    ===========    ============
ASSETS
TOTAL ASSETS........................  $166,786,997    $ 3,439,530    $17,763,430    $187,989,957
                                      ============    ===========    ===========    ============
</TABLE>

---------------
(a) The "other" segment is comprised of CGA Group, the holding company, which
    does not meet any of the quantitative thresholds for determining a
    reportable segment.

                                       11
<PAGE>   15
                                CGA GROUP, LTD.

      NOTES TO UNAUDITED CONSOLIDATED FINANCIAL STATEMENTS -- (CONTINUED)

     As of and for the three months ended March 31, 1999:

<TABLE>
<CAPTION>
                                       COMMERCIAL         CGA
                                        GUARANTY      INVESTMENT
                                       ASSURANCE      MANAGEMENT      OTHER (A)        TOTAL
                                      ------------    -----------    -----------    ------------
<S>                                   <C>             <C>            <C>            <C>
REVENUES
Net premiums earned.................  $  3,082,046    $        --    $        --    $  3,082,046
Net investment income...............     1,651,857         16,972          2,672       1,671,501
Net realized gains..................       151,566             --             --         151,566
Management fees.....................            --      1,145,259             --       1,145,259
Intersegment revenue................            --         59,827             --          59,827
                                      ------------    -----------    -----------    ------------
TOTAL REVENUES......................     4,885,469      1,222,058          2,672       6,110,199
                                      ------------    -----------    -----------    ------------
EXPENSE ITEMS
Operating expenses..................       303,556      2,627,079        345,642       3,276,277
Acquisition Costs...................       148,138             --             --         148,138
Commitment Fees.....................       147,945             --             --         147,945
Excess of loss facility.............        50,000             --             --          50,000
Losses and loss adjustment
  expenses..........................       300,000             --             --         300,000
Intersegment expenses...............        59,827             --             --          59,827
                                      ------------    -----------    -----------    ------------
TOTAL EXPENSES......................     1,009,466      2,627,079        345,642       3,982,187
                                      ------------    -----------    -----------    ------------
NET INCOME (LOSS)...................     3,876,003     (1,405,021)      (342,970)      2,128,012
                                      ============    ===========    ===========    ============
ASSETS
TOTAL ASSETS........................  $244,118,686    $ 3,644,229    $31,307,904    $279,070,819
                                      ============    ===========    ===========    ============
</TABLE>

     The following are reconciliations of reportable segment revenues, expenses
and assets to CGA Group's consolidated totals in the financial statements as of
and for the periods ended March 31, 2000 and 1999. Depreciation expense is
included in operating expenses.

<TABLE>
<CAPTION>
                                                                  2000            1999
                                                              ------------    ------------
<S>                                                           <C>             <C>
REVENUES
Total revenues for reportable segments......................  $  5,992,979    $  6,110,199
Elimination of intersegment revenues........................      (304,841)        (59,827)
                                                              ------------    ------------
Total consolidated revenues.................................  $  5,688,138    $  6,050,372
                                                              ============    ============
EXPENSES
Total expenses for reportable segments......................  $  7,339,801    $  3,982,187
Elimination of intersegment operating expenses..............      (304,841)        (59,827)
                                                              ------------    ------------
Total consolidated expenses.................................  $  7,034,960    $  3,922,360
                                                              ============    ============
ASSETS
Total assets for reportable segments........................  $187,989,957    $279,070,819
Intercompany loans..........................................   (16,043,700)    (10,500,000)
Other intercompany balances.................................    (2,519,496)     (2,922,097)
                                                              ------------    ------------
Total consolidated assets...................................  $169,426,761    $265,648,722
                                                              ============    ============
</TABLE>

                                       12
<PAGE>   16
                                CGA GROUP, LTD.

      NOTES TO UNAUDITED CONSOLIDATED FINANCIAL STATEMENTS -- (CONTINUED)

7. RECENT ACCOUNTING PRONOUNCEMENTS

     In June 1998, the Financial Accounting Standards Board (the FASB) issued
Statement No. 133 Accounting for Derivative Instruments and Hedging Activities
("SFAS 133"), subsequently amended by SFAS No. 137, which CGA Group is required
to adopt effective January 1, 2001. SFAS 133 requires all derivatives to be
recognized on the balance sheet as either assets or liabilities and measured at
fair value. Upon implementation, credit default swaps will be valued at fair
value in accordance with this statement. The impact of SFAS 133 on CGA Group's
financial statements will depend on a variety of factors, including future
interpretative guidance from the FASB, and the volume of credit default swaps
written by Commercial Guaranty Assurance.

                                       13
<PAGE>   17

ITEM 2.  MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS
OF OPERATIONS

     The following is a discussion of CGA Group's results of operations,
financial condition, liquidity and capital resources as of and for the three
months ended March 31, 2000. The results of operations and cash flows for any
interim period are not necessarily indicative of results for the full year. This
discussion should be read in conjunction with the consolidated financial
statements, related notes thereto and the Management's discussion and Analysis
of Results of Operations and Financial Conditions included in CGA Group's 1999
Annual Report on Form 10-K.

GENERAL

     CGA Group, Ltd. was incorporated in Bermuda in June, 1996. CGA Group has
two wholly-owned subsidiaries. Commercial Guaranty Assurance, Ltd., was
incorporated in Bermuda in October, 1996. Commercial Guaranty Assurance is
licensed as a class 3 insurer under the Insurance Act 1978 (Bermuda), amendments
thereto and related regulations (the "Act"), which authorizes it to carry on
insurance business of all classes in or from within Bermuda subject to its
compliance with the solvency margin, liquidity ratio and other requirements
imposed on it by the Act. Commercial Guaranty Assurance has a "Triple-A" "claims
paying ability" rating from Duff & Phelps Credit Rating Company and has also
been rated in the highest rating category assigned by each of the two Canadian
rating agencies, Dominion Bond Ratings Service and Canadian Bond Ratings
Service. Effective March 31, 2000, Commercial Guaranty Assurance's claims-paying
ability rating was rated "Triple-A" by Japan Rating and Investment Information,
Inc., the largest credit rating agency in Japan. Commercial Guaranty Assurance
issues financial guaranty insurance policies, which are the functional
equivalent of direct-pay letters of credit, to insure payment of interest,
principal and other amounts payable in respect of notes, securities, and other
financial obligations.

     CGA Investment Management, Inc. was incorporated in Delaware, U.S.A., in
July 1996. CGA Investment Management is registered as an investment advisor with
the United States Securities and Exchange Commission under the Investment
Advisers Act of 1940, as amended. CGA Investment Management provides investment
management and financial advisory services primarily to specialized investment
vehicles and for the U.S. and international structured finance markets.

     CGA Group and its subsidiaries were inactive until June 17, 1997, on which
date CGA Group's private placement offering was completed and CGA Group was
recapitalized with (a) two classes of preferred stock totaling $105 million, (b)
common stock totaling $45.5 million and (c) conditional commitments to purchase
$60 million of additional preferred stock. On March 31, 1999, CGA Group sold
43,997,863 shares of its Series C preferred stock to existing shareholders for
an aggregate sales price of approximately $51 million. Concurrent with the sale
of the Series C preferred stock, all the outstanding shares of Series B
preferred stock were converted to shares of common stock. On April 26, 1999, CGA
Group sold 973,483 shares of Series C preferred stock to employees of CGA Group
and its subsidiaries for an aggregate sales price of approximately $1.2 million.

RESULTS OF OPERATIONS

     Total revenues for the quarter ended March 31, 2000 were $5.7 million, of
which $3.2 million was from financial guaranty insurance premiums, $0.5 million
was from investment management and advisory fees and $2.3 million was from
investment income, less $0.3 million from net realized losses on the sale of
investments. Total revenues for the quarter ended March 31, 1999 were $6.1
million, of which $3.1 million was from financial guaranty insurance premiums,
$1.1 million was from investment management and advisory fees, $1.7 million was
from investment income and $0.2 million from net realized gains on the sale of
investments.

  Premiums

     Net premiums earned in the quarter ended March 31, 2000 were derived from
$4.0 million of gross premiums written, of which $0.6 million were ceded under
reinsurance agreements. Net premiums earned in the quarter ended March 31, 1999
were derived from $3.5 million of gross premiums written, of which $0.4 million
were ceded under reinsurance agreements. The $0.4 million increase in net
premiums written during
                                       14
<PAGE>   18

the three months ended March 31, 2000 compared to March 31, 1999 resulted from
net insurance in force increasing from $1.6 billion at March 31, 1999 to $2.4
billion at March 31, 2000, offset by a 34% premium discount provided to three
subsidiaries of St. George Holdings, Ltd. This premium discount totaled $0.5
million for the quarter ended March 31, 2000. The discount was provided at the
request of the clients which are continuing to resolve liquidity issues that
arose during the fourth quarter of 1998.

     Ceded premiums in the first quarter of 2000 were affected by a charge of
approximately $0.3 million relating to recognition of prepaid reinsurance
premiums related to the Commercial Financial Services securities. The increase
in unearned premiums results from two insurance policies for which approximately
$.8 million was received up-front of which only $.2 million was earned during
the first quarter of 2000.

  Insurance in force

     The amount of Commercial Guaranty Assurance's insured portfolio was $2.4
billion net par as of March 31, 2000. The weighted average term of the insured
securities at March 31, 2000 is approximately eight years. The following table
shows the net par insured obligations at March 31, 2000 and December 31, 1999 by
asset type:

<TABLE>
<CAPTION>
                                                                 2000          1999
ASSET TYPE                                                    (IN 000'S)    (IN 000'S)
----------                                                    ----------    ----------
<S>                                                           <C>           <C>
Auto........................................................  $   21,709    $   26,158
Commercial loan and bond obligations........................     371,512       327,335
Commercial mortgage-backed securities.......................     732,575       614,217
Corporate asset-backed securities...........................     152,490       147,490
Credit card receivables.....................................     158,694       165,997
Equipment...................................................      16,045        17,111
Future flows................................................      52,921        55,463
Home equity loans...........................................     416,281       374,280
Real estate investment trust debt...........................     251,559       256,774
Real estate investment trust preferred stock................      70,000        70,000
Sovereign debt..............................................      90,000        90,000
Other consumer asset-backed securities......................     103,800        89,640
                                                              ----------    ----------
Total.......................................................  $2,437,586    $2,234,465
                                                              ==========    ==========
</TABLE>

     The following table presents the credit ratings of the above assets, as
assigned by one or more nationally recognized credit rating agencies, based on
net par outstanding at March 31, 2000 and December 31, 1999:

<TABLE>
<CAPTION>
                                                              2000    1999
                                                              ----    ----
<S>                                                           <C>     <C>
"AAA".......................................................    3%      4%
"AA"........................................................    3%      2%
"A".........................................................   25%     25%
"BBB".......................................................   60%     58%
"BB"........................................................    9%      9%
Not rated...................................................   --       2%
                                                              ---     ---
Total.......................................................  100%    100%
                                                              ===     ===
</TABLE>

  Investment income

     Net investment income was $2.3 million for the quarter ended March 31, 2000
and $1.7 million for the same period in 1999. Net investment income is presented
after deducting the cost of external investment management fees which totaled
$30,000 for the quarter ended March 31, 2000 and $20,000 for the quarter ended
March 31, 1999. The increase in net investment income in the first quarter of
2000 over the first quarter of 1999 was due to having investments of $148
million at March 31, 2000 compared to $131 million at
                                       15
<PAGE>   19

March 31, 1999. In addition, the average yield on the investment portfolio was
7.2% as of March 31, 2000 compared with an average yield of 5.6% as of March 31,
1999.

     Unrealized losses on the investment portfolio as of March 31, 2000 were
$7.1 million compared to $6.5 million of unrealized losses as of December 31,
1999. The increase in unrealized losses is a result of the increase in interest
rates during the first quarter of 2000.

  Management fees

     Management fees earned for the quarter ended March 31, 2000 were $0.5
million compared with the same period in 1999 of $1.1 million. During the first
quarter of 2000 the par value of CGA Investment Management's assets under
management increased from $2.5 billion at December 31, 1999 to $2.6 billion. The
primary reason for the 52% decrease in management fees on a comparable quarter
basis is attributable to a 60% reduction of management fees, from 25 basis
points to 10 basis points, charged to certain clients of CGA Investment
Management.

  Operating expenses

     Operating expenses for the quarter ended March 31, 2000 were $3.6 million
compared to $3.3 million for the quarter ended March 31, 1999. These costs are
primarily personnel, legal, and administrative.

  Losses and loss adjustment expenses

     On March 15, 2000, Commercial Guaranty Assurance made a claim payment in
respect of Commercial Financial Services securities of $28.5 million of which
$21.8 million consisted of payments from its reinsurer and $6.7 million
consisted of Commercial Guaranty Assurance's own funds, paid out of the case
basis reserve. At March 31, 2000, Commercial Guaranty Assurance's gross
remaining exposure to Commercial Financial Services was reduced to $45.0 million
of which $34.4 million is covered by reinsurance and $1.0 million is included in
case basis reserves, resulting in a net remaining exposure of $9.6 million. On
April 18, 2000, Commercial Guaranty Assurance made an additional claim payment
of $4.2 million of which $3.2 million consisted of payments from its reinsurer
and $1.0 consisted of Commercial Guaranty Assurance's own funds, paid out of the
case basis reserve. Including the claim payment made in April 2000, cumulative
claim payments made in respect of Commercial Financial Services securities total
$150.7 million, of which $115.2 million was covered by reinsurance and $35.5 was
paid by Commercial Guaranty Assurance out of case basis reserves.

     In April 2000, Commercial Guaranty Assurance elected to pay a $2.6 million
claim in connection with a "Triple-B" rated tranche of a home equity loan
securitization insured by Commercial Guaranty Assurance. Based on its ongoing
surveillance, Commercial Guaranty Assurance concluded that this security was no
longer investment grade risk and consequently, as insurer of the transaction,
Commercial Guaranty Assurance directed the transaction's trustee to sell the
security. The sale resulted in a shortfall of $2.6 million, which was included
in the case basis reserve at March 31, 2000. The claim payment of $2.6 million
was made on April 27, 2000.

     Giving effect to the two claim payments in April 2000 described above, the
balance of Commercial Guaranty Assurance's case basis reserves is approximately
$0.4 million, which represents the balance of expected loss adjustment expenses
relating to the Commercial Financial Services securities.

  Preferred dividends

     For the quarter ended March 31, 2000, the pay-in-kind dividends on
preferred stock and accretion on preferred stock totaled $3.3 million compared
to $5.6 million for the quarter ended March 31, 1999. The decrease resulted from
the conversion of all outstanding Series B preferred stock into common stock on
March 31, 1999.

                                       16
<PAGE>   20

SUMMARY OF OPERATING SEGMENTS

     CGA Group has two reportable segments, Commercial Guaranty Assurance and
CGA Investment Management. Commercial Guaranty Assurance issues financial
guaranty insurance policies and CGA Investment Management provides investment
management and advisory services. The tables below present selected financial
information for each of the operating segments:

     As of and for the three months ended March 31, 2000:

<TABLE>
<CAPTION>
                               COMMERCIAL         CGA
                                GUARANTY      INVESTMENT
                               ASSURANCE      MANAGEMENT      OTHER(A)         TOTAL
                              ------------    -----------    -----------    ------------
<S>                           <C>             <C>            <C>            <C>
REVENUES
Net premiums earned.........  $  3,183,267    $        --    $        --    $  3,183,267
Net investment income.......     2,182,285         19,004         76,035       2,277,324
Net realized losses.........      (321,509)            --             --        (321,509)
Management fees.............            --        549,056             --         549,056
Intersegment revenue........                      112,882        191,959         304,841
                              ------------    -----------    -----------    ------------
TOTAL REVENUES..............     5,044,043        680,942        267,994       5,992,979
                              ------------    -----------    -----------    ------------
EXPENSE ITEMS
Operating expenses..........       413,322      2,829,970        373,032       3,616,324
Acquisition costs...........       227,245             --             --         227,245
Commitment fees.............       150,000             --             --         150,000
Excess of loss facility.....        50,000             --             --          50,000
Losses and loss adjustment
  expenses..................     2,991,391             --             --       2,991,391
Intersegment expenses.......       112,882        191,959             --         304,841
                              ------------    -----------    -----------    ------------
TOTAL EXPENSES..............     3,944,840      3,021,929        373,032       7,339,801
                              ------------    -----------    -----------    ------------
NET INCOME (LOSS)...........     1,099,203     (2,340,987)      (105,038)     (1,346,822)
                              ------------    -----------    -----------    ------------
ASSETS
TOTAL ASSETS................  $166,786,997    $ 3,439,530    $17,763,430    $187,989,957
                              ============    ===========    ===========    ============
</TABLE>

---------------
(a) The "other" segment is comprised of CGA Group, Ltd., the holding company,
    which does not meet any of the quantitative thresholds for determining a
    reportable segment.

     As of and for the three months ended March 31, 1999:

<TABLE>
<CAPTION>
                               COMMERCIAL         CGA
                                GUARANTY      INVESTMENT
                               ASSURANCE      MANAGEMENT      OTHER(A)         TOTAL
                              ------------    -----------    -----------    ------------
<S>                           <C>             <C>            <C>            <C>
REVENUES
Net premiums earned.........  $  3,082,046    $        --    $        --    $  3,082,046
Net investment income.......     1,651,857         16,972          2,672       1,671,501
Net realized gains..........       151,566             --             --         151,566
Management fees.............            --      1,145,259             --       1,145,259
Intersegment revenue........            --         59,827             --          59,827
                              ------------    -----------    -----------    ------------
TOTAL REVENUES..............     4,885,469      1,222,058          2,672       6,110,199
                              ------------    -----------    -----------    ------------
</TABLE>

                                       17
<PAGE>   21

<TABLE>
<CAPTION>
                               COMMERCIAL         CGA
                                GUARANTY      INVESTMENT
                               ASSURANCE      MANAGEMENT      OTHER(A)         TOTAL
                              ------------    -----------    -----------    ------------
<S>                           <C>             <C>            <C>            <C>
EXPENSE ITEMS
Operating expenses..........       303,556      2,627,079        345,642       3,276,277
Acquisition costs...........       148,138             --             --         148,138
Commitment fees.............       147,945             --             --         147,945
Excess of loss facility.....        50,000             --             --          50,000
Losses and loss adjustment
  expenses..................       300,000             --             --         300,000
Intersegment expenses.......        59,827             --             --          59,827
                              ------------    -----------    -----------    ------------
TOTAL EXPENSES..............     1,009,466      2,627,079        345,642       3,982,187
                              ------------    -----------    -----------    ------------
NET INCOME (LOSS)...........     3,876,003     (1,405,021)      (342,970)      2,128,012
                              ------------    -----------    -----------    ------------
ASSETS
TOTAL ASSETS................  $244,118,686    $ 3,644,229    $31,307,904    $279,070,819
                              ============    ===========    ===========    ============
</TABLE>

LIQUIDITY AND CAPITAL RESOURCES

     CGA Group's investment portfolio, which is managed by Alliance Capital
Management Corporation, is available to fund the liquidity needs of CGA Group.
These funds are invested in foreign corporate and government debt securities
which are rated "Double-A" or higher by a nationally recognized rating agency
and are denominated in U.S. dollars. The portfolio maintains a weighted average
duration of two to five years. As of March 31, 2000, the duration of the
portfolio was 3.1 years. The investment portfolio had a return of 0.85% for the
quarter ended March 31, 2000, while the Merrill Lynch Eurodollar High Quality
3-5 year Index against which CGA Group's investment portfolio is measured,
returned 0.89%.

     CGA Group does not expect to pay cash dividends to its shareholders.
Commercial Guaranty Assurance's Board of Directors has passed a resolution that
Commercial Guaranty Assurance will not declare or pay cash dividends during the
first five years of operations. After such five-year period, Commercial Guaranty
Assurance intends to comply with dividend restrictions, if any, imposed by Duff
& Phelps, subject to covenants contained in the subscription agreements for the
various classes of CGA Group's stock. In addition, Commercial Guaranty
Assurance's dividend payments are subject to certain limitations under Bermudian
insurance regulations that require minimum solvency margins and liquidity
ratios.

     CGA Investment Management required additional funding for operations from
CGA Group during the quarter ended March 31, 2000 totaling $5.7 million. All
intercompany loans bear interest at a rate of 6% per annum with interest paid
annually. CGA Investment Management is expected to require additional funding in
2000 while it continues to build its assets under management to generate
sufficient fee income to cover its operations.

     On a consolidated basis, CGA Group used $7.9 million of cash from operating
activities during the quarter ended March 31, 2000, compared to generating $2.6
million for the quarter ended March 31, 1999. Cash flows from operations are
affected by claim payments, which due to the nature of CGA Group's operations,
may comprise large loss payments on a limited number of claims and therefore can
fluctuate significantly from year to year. The source of funds for claim
payments occurring in the quarter ended March 31, 2000 was from the sale of cash
equivalents, therefore resulting in a significant variation in cash flows from
operations between comparable periods. For the three months ended March 31, 2000
and 1999, loss and loss adjustment payments amounted to $6.8 million and nil,
respectively. For the three months ended March 31, 2000 and 1999, net losses and
loss adjustment expenses amounted to $3.0 million and $0.3 million respectively.

     CGA Group used $2.4 million of net cash in investing activities during the
quarter ended March 31, 2000, compared to $1.9 million in the first quarter of
1999.

                                       18
<PAGE>   22

     Commercial Guaranty Assurance has a $20 million excess of loss reinsurance
facility agreement and can also arrange reinsurance on an as needed basis to
manage its exposure. CGA Group also has commitments which expire June 17, 2002,
from certain institutional shareholders to purchase an aggregate of $60 million
of Series B preferred stock which would pay quarterly dividends in kind at 7%
per annum. Should those commitments be called upon, the proceeds are required to
be used to increase the capital of Commercial Guaranty Assurance. The
commitments must be funded in the event that Duff & Phelps (or Fitch IBCA, Inc.,
as successor by merger to Duff & Phelps) provides written notice at least 45
days prior to June 17, 2002 that Commercial Guaranty Assurance's claims paying
ability rating will be reduced below "Triple-A".

     At March 31, 2000, Commercial Guaranty Assurance's claims paying resources
were $222.8 million compared to $194.1 million at March 31, 1999.

     On April 12, 2000, Fitch IBCA announced that it successfully completed its
acquisition of Duff & Phelps. The merger is expected to be completed by late May
and until such time that the merger is completed, Duff & Phelps will operate as
a separate entity and its ratings shall remain outstanding. Commercial Guaranty
Assurance is not currently rated by Fitch IBCA and it is unclear what effect, if
any, the merger will have on the rating of Commercial Guaranty Assurance.

     On March 13, 2000, CGA Group hired Donaldson, Lufkin & Jenrette Securities
Corporation ("DLJ"), an investment banking firm, to act as CGA Group's exclusive
financial advisor for the purpose of raising additional capital. At March 31,
2000, no additional capital had been raised. At this time, Management is unable
to predict whether or to what extent DLJ will be successful in these capital
raising efforts.

RECENT ACCOUNTING PRONOUNCEMENTS

     In June 1998, the Financial Accounting Standards Board (the FASB) issued
Statement No. 133 Accounting for Derivative Instruments and Hedging Activities
("SFAS 133"), subsequently amended by SFAS No. 137, which CGA Group is required
to adopt effective January 1, 2001. SFAS 133 requires all derivatives to be
recognized on the balance sheet as either assets or liabilities and measured at
fair value. Upon implementation, credit default swaps will be valued at fair
value in accordance with this statement. The impact of SFAS 133 on CGA Group's
financial statements will depend on a variety of factors, including future
interpretative guidance from the FASB, and the volume of credit default swaps
written by Commercial Guaranty Assurance.

FORWARD-LOOKING INFORMATION

     The Private Securities Litigation Reform Act of 1995 provides a "safe
harbor" for forward-looking statements. This report on Form 10-Q or any other
written or oral statements made by or on behalf of CGA Group may include
forward-looking statements which reflect CGA Group's current views with respect
to future events and financial performance. The forward-looking statements are
subject to certain uncertainties and other factors that could cause actual
results to differ materially from such statements. These uncertainties and other
factors (which are described in more detail herein and in other documents filed
by CGA Group with the Securities and Exchange Commission) include, but are not
limited to, (i) financial difficulties encountered by an insured of CGA Group's
insurance company subsidiary, (ii) uncertainties relating to government and
regulatory policies (such as subjecting the company and/or its subsidiaries to
insurance regulation or taxation in additional jurisdictions), (iii) the legal
environment, (iv) the uncertainties of the reserving process, (v) the risks
relating to the claims-paying ability rating of CGA Group's insurer subsidiary,
(vi) loss of the services of any of CGA Group's executive officers, (vii)
changing rates on inflation and other economic conditions (viii) ability to
collect reinsurance recoverables (ix) developments in global financial markets
which could affect CGA Group's investment portfolio, and (x) risks associated
with the development of new products and services. The words "believe",
"anticipate", "considered to be", "project", "plan", "expect", "intend", "will
likely result" or "will continue" and similar expressions identify
forward-looking statements, whether as a result of new information, future
events or otherwise.

                                       19
<PAGE>   23

                          PART II.  OTHER INFORMATION

ITEM 6.  EXHIBITS AND REPORTS ON FORM 8-K.

    (a) Exhibits

     The exhibits listed on the accompanying Index to Exhibits are filed as part
of this Report.

    (b) Reports on Form 8-K

     CGA Group did not file any Current Reports on Form 8-K during the quarter
ended March 31, 2000.

                                      II-1
<PAGE>   24

                                   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.

                                          CGA GROUP, LTD.
                                          Registrant

                                          /s/  JAMES R. REINHART
                                          --------------------------------------
                                               JAMES R. REINHART
                                             CHIEF FINANCIAL OFFICER
                                               (PRINCIPAL FINANCIAL OFFICER)

Date:  May 15, 2000

                                      II-2
<PAGE>   25

                               INDEX TO EXHIBITS

<TABLE>
<CAPTION>
EXHIBIT NUMBER                           DESCRIPTION
--------------                           -----------
<C>              <S>
      3.1        Memorandum of Association and Certificate of Incorporation
                 of CGA Group, Ltd., incorporated herein by reference to
                 Exhibit 3.1 to the Registration Statement on Form S-1 (No.
                 333-7944) of the Company (the "Registration Statement")
      3.2        Amended and Restated Bye-laws of CGA Group, Ltd.,
                 incorporated herein by reference to Exhibit 4.2 to the
                 Company's Current Report on Form 8-K filed on April 8, 1999
                 (the "April 8, 1999 8-K")
      3.3        Amended and Restated Appendices to Bye-laws of CGA Group,
                 Ltd., incorporated herein by reference to Exhibit 4.3 to the
                 April 8, 1999 8-K
      4.1        CGA Group, Ltd. Shareholders Agreement, dated as of June 12,
                 1997, as amended and restated as of March 31, 1999,
                 incorporated herein by reference to Exhibit 4.4 to the April
                 9, 1999 8-K
     10.1        Employment Agreement, as of January 1, 2000, by and between
                 Commercial Guaranty Assurance, Ltd. and Michael Miran
     10.2        Employment Agreement, as of January 1, 2000, by and between
                 CGA Investment Management, Inc. and Geoffrey N. Kauffman
     10.3        Series C Convertible Cumulative Voting Preferred Stock
                 Subscription Agreement, dated as of March 31, 1999,
                 incorporated herein by reference to Exhibit 10.18 to the
                 Registration Statement
     10.4        Agreement dated as of March 1, 1999 by and among CGA Group,
                 Ltd. and the holders of the Series C Preferred Stock,
                 incorporated herein by reference to Exhibit 10.19 to the
                 Registration Statement
     10.5        Restricted Stock Purchase Agreement and Promissory Note,
                 dated as of April 26, 1999, between CGA Group, Ltd. and the
                 employees thereof listed in Exhibit B thereto, incorporated
                 herein by reference to Exhibit 10.20 to the Company's
                 Quarterly Report on Form 10-Q for the quarter ended June 30,
                 1999 (the "June 30, 1999 10-Q")
     10.6        CGA Group, Ltd. Chief Financial Officer's Certificate As To
                 Adjustment to Exercise Price of Warrants Issued Pursuant to
                 the Sponsoring Investors and Founders Stock Warrant Plan,
                 dated May 18, 1999, incorporated herein by reference to
                 Exhibit 10.21 to the June 30, 1999 10-Q
     27.1        Financial Data Schedule
</TABLE>

                                      II-3