MAIDEN HOLDINGS, LTD. – 10-Q – Management's Discussion and Analysis of Financial Condition and Results of Operations

The following discussion and analysis of our financial condition and results of
operations should be read in conjunction with our unaudited Condensed
Consolidated Financial Statements and related notes included elsewhere in this
Quarterly Report on Form 10-Q (this "Form 10-Q" or this "Report"). References in
this Form 10-Q to the terms "we", "us", "our", "the Company", "Maiden" or other
similar terms mean the consolidated operations of Maiden Holdings, Ltd. and its
subsidiaries, unless the context requires otherwise. References in this Form
10-Q to the term "Maiden Holdings" means Maiden Holdings, Ltd. only. Certain
reclassifications have been made for 2021 to conform to the 2022 presentation
and have no impact on consolidated net income and total equity previously
reported.

Note on Forward-Looking Statements

This Quarterly Report on Form 10-Q includes projections concerning financial
information and statements concerning future economic performance and events,
plans and objectives relating to management, operations, products and services,
and assumptions underlying these projections and statements. These projections
and statements are forward-looking statements within the meaning of The Private
Securities Litigation Reform Act of 1995 and are not historical facts but
instead represent only our belief regarding future events, many of which, by
their nature, are inherently uncertain and outside our control. These
projections and statements may address, among other things, our strategy for
growth, product development, financial results and reserves. Our actual results
and financial condition may differ, possibly materially, from these projections
and statements and therefore you should not place undue reliance on them.

Factors that could cause our actual results and financial condition to differ,
possibly materially, from those in the specific projections and statements are
discussed throughout this Management's Discussion and Analysis of Financial
Condition and Results of Operations and in "Risk Factors" in Item 1A of Part I
of our Annual Report on Form 10-K for the year ended December 31, 2021 that was
filed with the U.S. Securities and Exchange Commission ("SEC") on March 14,
2022, however, these factors should not be construed as
exhaustive. Forward-looking statements speak only as of the date they are made
and we undertake no obligation to update or revise any forward-looking statement
that may be made from time to time, whether as a result of new information,
future developments or otherwise, except as required by law.

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Overview

Maiden Holdings is a Bermuda-based holding company. We create shareholder value
by actively managing and allocating our assets and capital, including through
ownership and management of businesses and assets mostly in the insurance and
related financial services industries where we can leverage our deep knowledge
of those markets. We also provide a full range of legacy services to small
insurance companies, particularly those in run-off or with blocks of reserves
that are no longer core, working with clients to develop and implement finality
solutions including acquiring entire companies that enable our clients to meet
their capital and risk management objectives. We expect our legacy solutions
business to contribute to our active asset and capital management strategies.

Short-term income protection business is written on a primary basis by our
wholly owned subsidiaries Maiden Life Försäkrings AB ("Maiden LF") and Maiden
General Försäkrings AB ("Maiden GF") in the Scandinavian and Northern European
markets. Insurance support services are provided to Maiden LF and Maiden GF
through our wholly owned subsidiary, Maiden Global Holdings, Ltd. ("Maiden
Global") which is also a licensed intermediary in the United Kingdom. Maiden
Global had previously operated internationally by providing branded auto and
credit life insurance products through insurer partners, particularly those in
Europe and other global markets. These products also produced reinsurance
programs which were underwritten by our wholly owned subsidiary Maiden
Reinsurance Ltd. ("Maiden Reinsurance").

We are not currently underwriting reinsurance business on new prospective risks
but are actively underwriting risks on a retroactive basis through Genesis
Legacy Solutions ("GLS"). We also have various historic reinsurance programs
underwritten by Maiden Reinsurance which are in run-off, including the
liabilities associated with AmTrust Financial Services, Inc. ("AmTrust") which
we terminated in 2019 as discussed in "Note 10. Related Party Agreements" of the
Notes to Condensed Consolidated Financial Statements in Part I Item 1.
"Financial Information". In addition, we have a Loss Portfolio Transfer and
Adverse Development Cover Agreement ("LPT/ADC Agreement") with Cavello Bay
Reinsurance Limited ("Cavello") and a commutation agreement that further reduces
our exposure to and limits the potential volatility related to these AmTrust
liabilities in run-off, as discussed in "Note 8. Reinsurance" of the Notes to
Condensed Consolidated Financial Statements in Part I Item 1. "Financial
Information".

Our business currently consists of two reportable segments: Diversified
Reinsurance and AmTrust Reinsurance. Our Diversified Reinsurance segment
consists of a portfolio of predominantly property and casualty reinsurance
business focusing on regional and specialty property and casualty insurance
companies located primarily in Europe. This segment also includes transactions
entered into by GLS which was formed in November 2020. Our AmTrust Reinsurance
segment includes all business ceded to Maiden Reinsurance by AmTrust, primarily
the quota share reinsurance agreement ("AmTrust Quota Share") between Maiden
Reinsurance and AmTrust's wholly owned subsidiary, AmTrust International
Insurance, Ltd. ("AII") and the European hospital liability quota share
reinsurance contract ("European Hospital Liability Quota Share") with AmTrust's
wholly owned subsidiaries AmTrust Europe Limited ("AEL") and AmTrust
International Underwriters DAC ("AIU DAC"), both of which are in run-off
effective January 1, 2019.

Please refer to "Management's Discussion and Analysis of Financial Condition and
Results of Operations" section included under Item 7 of our Annual Report on
Form 10-K for the year ended December 31, 2021 for further information on recent
developments within the Company.

We believe Maiden Holdings North America, Ltd.'s ("Maiden NA") investments,
including its ownership of Maiden Reinsurance and its active asset management
strategy, will create opportunities to utilize net operating loss carry-forwards
("NOL") of $262.1 million as of September 30, 2022. These NOL carryforwards, in
combination with additional net deferred tax assets ("DTA") primarily related to
our insurance liabilities result in a net U.S. DTA (before valuation allowance)
of $120.8 million or $1.39 per common share at September 30, 2022.

These net DTA are not presently recognized on the Company's consolidated balance
sheet as a full valuation allowance is carried against them. At this time, while
positive evidence in support of reducing the valuation allowance is
accumulating, the Company believes it is necessary to maintain its full
valuation allowance against the net U.S. DTA due to insufficient accumulation of
evidence at this time regarding the utilization of these losses. As our
profitability continues to improve, we will continuously evaluate the amount of
the valuation allowance held against the net U.S. DTA.

For further details, please see "Note 13. Income Taxes" included under Item 8
"Financial Statements and Supplementary Data" in our Annual Report on Form 10-K
for the year ended December 31, 2021. Taken together, we believe these measures
should generate additional income for Maiden NA in a tax-efficient manner, while
sharing in the improvement in profitability anticipated in Maiden Reinsurance as
a result of the measures enacted as described above.

Business Strategy

We continued to deploy our revised operating strategy during 2022 which
leverages the significant assets and capital we retain. In addition to restoring
operating profitability, our strategic focus centers on creating the greatest
risk-adjusted shareholder returns in order to increase book value for our common
shareholders, both near and long-term. This strategy has three principal areas
of focus:

•Asset management - investing in assets and asset classes in a prudent but
expansive manner in order to maximize investment returns and is principally
enabled by limiting the amount of insurance risk we assume in relation to the
assets we hold and maintaining required regulatory capital at very strong levels
to manage our aggregate risk profile;

•Legacy underwriting - judiciously building a portfolio of legacy run-off
acquisitions and retroactive reinsurance transactions which we believe will
produce attractive underwriting returns; and

•Capital management - effectively managing the capital we hold on our balance
sheet and when appropriate, repurchasing securities or returning capital to
enhance common shareholder returns.

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The returns expected to be produced by each pillar of our strategy are evaluated
in relation to our cost of debt capital, which carries a weighted average
effective interest rate of 7.6%. To the extent our experience or belief
indicates we cannot exceed the cost of debt capital over a reasonable long-term
investment horizon, we expect to refrain from activities in those areas. As an
example, our present assessment of the reinsurance marketplace along with our
current operating profile continues to be that the risk-adjusted returns that
may be produced via active reinsurance underwriting of new prospective risks are
likely to be lower over the long-term than our cost of capital.

The measures implemented in recent years have allowed us to more flexibly
allocate capital to those activities most likely to produce the greatest returns
for shareholders, and we are actively engaged in evaluating and deploying funds
in all pillars of the strategies as discussed herein. We also believe that these
areas of strategic focus will enhance our profitability through increased
returns, which we believe also increase the likelihood of fully utilizing the
significant NOL carryforwards described above which would create additional
common shareholder value.

As part of our expanded asset management activities, we have evaluated and
continue to consider investing in various initiatives in the insurance industry
across a variety of segments which we believe will produce appropriate
risk-adjusted returns while maintaining the option to consider underwriting
activities in the future. We believe these expanded activities will produce a
broad range of positive impacts on our financial condition, including current
income, longer-term gains and in certain instances, fee income.

In recent years, we have invested approximately $263.6 million into alternative
investments which include equity securities, other investments and equity method
investments in a wide variety of asset classes and we believe these activities
will exceed that benchmark cost of capital with adjustments as necessary if
those returns do not emerge.

In November 2020, we formed GLS which specializes in providing a full range of
legacy services to small insurance entities, particularly those in run-off or
with blocks of reserves that are no longer core, working with clients to develop
and implement finality solutions including acquiring entire companies that
enable our clients to meet their capital and risk management objectives. We
acquire legacy liabilities and (re)insurance reserves from companies and provide
retroactive reinsurance coverage for portfolios of (re)insurance business,
primarily via loss portfolio transfer contracts ("LPT"). Additionally, we
provide reinsurance contracts to other (re)insurers to mitigate some of their
risk of future adverse development (adverse development cover, or "ADC") on
insurance risks relating to prior accident years.

We believe the formation of GLS is highly complementary to our overall
longer-term strategy and will produce risk-adjusted returns in excess of our
debt cost of capital. In addition, while we anticipate profitable growth from
the GLS portfolio as it develops, we expect our required capital to continue to
decline as insurance risk incurred by GLS will be more than offset by the
run-off of insurance liabilities from our prior reinsurance strategies. GLS,
along with other recent insurance industry investments, enables us to leverage
our knowledge base while not re-entering active underwriting of new prospective
risks and maintaining an efficient operating profile. We believe GLS not only
enhances our profitability through both fee income and effective claims
management services, but it will also increase our asset base through the
addition of blocks of reserves or companies that can be successfully wound down.

Effective October 1, 2021, GLS completed its first loss portfolio transfer
transaction which includes an ADC cover. GLS and its subsidiaries have completed
additional transactions in 2022 and as of September 30, 2022, GLS and its
subsidiaries have insurance related liabilities totaling $29.5 million which
included total reserves of $16.3 million, derivative liability on retroactive
reinsurance of $9.0 million, and deferred gains on retroactive reinsurance of
$4.1 million. GLS continues to write additional retroactive reinsurance
transactions consistent with its business plan. In addition to producing returns
that exceed the target cost of capital, we expect the business produced through
GLS should further enhance our ability to pursue the asset and capital
management pillars of our business strategy.

Our capital management strategy is significantly informed by the required
capital needed to operate our business in a prudent manner and our ongoing
analysis of our loss development trends. Recent trends continue to increase our
confidence in our recorded ultimate losses for our insurance liabilities in
run-off, however, a prudent assessment dictates that the run-off portfolio still
requires additional maturity to fully emerge. While there is no guarantee that
these recent loss development trends will persist, as our confidence has
increased it has enabled us to pursue continued capital management initiatives,
primarily the repurchase of our preference shares, which we believe provide the
greatest risk-adjusted returns to our common shareholders. Our current
assessment is that losses have continued to stabilize sufficiently to continue
the capital management initiatives we initiated in 2020, although we have
approached these strategies in a deliberate fashion.

On March 3, 2021 and May 6, 2021, the Company's Board of Directors approved the
repurchase, including the repurchase by Maiden Reinsurance in accordance with
its investment guidelines, of up to $100.0 million and $50.0 million,
respectively, of the Company's preference shares from time to time at market
prices in open market purchases or as may be privately negotiated. The
authorizations are collectively referred to as the "2021 Preference Share
Repurchase Program". The Company has a remaining authorization of $3.9 million
for preference share repurchases at September 30, 2022.

On November 9, 2022, subject to the terms and conditions of the preference
shares including the affirmative vote of two-thirds of our preference
shareholders, we announced our plans to exchange all outstanding preference
shares for our common shares. As part of this transaction, we estimate that our
book value per common share will increase by approximately $0.82 in the fourth
quarter of 2022 subject to the determination of the final value of the
preference shares and the exchange price of the common shares. Please refer to
"Notes to Condensed Consolidated Financial Statements - Note 14. Subsequent
Events" under Item 8 "Financial Statements and Supplementary Data" in Part I
Item 1. "Financial Information" for further information.

Please refer to "Notes to Condensed Consolidated Financial Statements - Note
6. Shareholders' Equity" under Item 8 "Financial Statements and Supplementary
Data" in Part I Item 1. "Financial Information" for recent repurchases and
further detail on our preference shares.

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Our ability to execute our asset and capital management initiatives is dependent
on maintaining adequate levels of unrestricted liquidity and cash flows.
Further, there can be no assurance that our insurance liabilities will run-off
at levels that will permit further capital management activities, which we
continually review as part of our strategy. Please refer to the "Liquidity and
Capital Resources" section for further information on our asset and capital
management activities, in particular our various preference share repurchase
measures.

Three and Nine Months Ended September 30, 2022 and 2021 Financial Highlights

For the Three Months Ended September 30,                          2022                 2021              Change
Summary Consolidated Statement of Income Data
(unaudited):                                                        ($ in 

thousands except per share data)

Net loss                                                    $     (8,160)          $  (3,140)         $  (5,020)
Gain from repurchase of preference shares                              -               6,004             (6,004)
Net (loss) income attributable to Maiden common
shareholders                                                      (8,160)              2,864            (11,024)
Basic and diluted earnings per common share:
Net (loss) income attributable to common
shareholders(2)                                                    (0.09)               0.03              (0.12)
Gain from repurchase of preference securities per
common share                                                           -                0.07              (0.07)
Gross premiums written                                             5,380               6,821             (1,441)
Net premiums earned                                               12,251              15,030             (2,779)
Underwriting loss(3)                                             (12,627)             (3,649)            (8,978)
Net investment results(13)                                         4,692               5,730             (1,038)

Non-GAAP measures:
Non-GAAP operating loss(1)                                       (21,060)             (3,114)           (17,946)

Non-GAAP basic and diluted operating loss per common
share(1)

                                                           (0.24)              (0.04)             (0.20)
Annualized non-GAAP operating return on average
common shareholders' equity(1)                                     (32.6)  %            (4.5) %           (28.1)

For the Nine Months Ended September 30,                           2022                 2021              Change
Summary Consolidated Statement of Income Data
(unaudited):                                                        ($ in 

thousands except per share data)

Net (loss) income                                           $     (9,047)          $  14,258          $ (23,305)
Gain from repurchase of preference shares                         28,233              87,168            (58,935)
Net income attributable to Maiden common shareholders             19,186             101,426            (82,240)
Basic and diluted earnings per common share:
Net income attributable to Maiden common
shareholders(2)                                                     0.22                1.17              (0.95)
Gain from repurchase of preference shares per common
share                                                               0.32                1.01              (0.69)
Gross premiums written                                            (1,451)              7,865             (9,316)
Net premiums earned                                               23,816              40,106            (16,290)
Underwriting (loss) income(3)                                    (19,412)              6,377            (25,789)
Net investment results(13)                                        21,576              37,521            (15,945)

Non-GAAP measures:
Non-GAAP operating (loss) earnings(1)                            (11,362)             58,135            (69,497)

Non-GAAP basic and diluted operating (loss) earnings
per common share(1)

                                                (0.13)               0.67              (0.80)

Annualized non-GAAP operating return on average
common shareholders' equity(1)                                      (5.9)  %            32.3  %           (38.2)



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