Bermuda domiciled re/insurance company Watford Holdings is expecting to shoulder a $256 million net investment loss in the first quarter due to coronavirus-related market volatility.
Watford says the loss predominantly consists of unrealised mark-to-market losses to its non-investment grade fixed-income portfolio.
The impact of unrealised mark-to-market losses on net income is estimated to be approximately $290 million.
Realised losses in the quarter are estimated to be approximately $6 million.
The impact of COVID-19 on Watford’s Q1 underwriting results is not expected to be material, due to the mix of business underwritten.
Watford expects that its book value will be impacted by unrealized mark-to-market losses to its investment grade portfolio of approximately $38 million.