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The accompanying unaudited Condensed Consolidated Financial Statements include the accounts of Maiden Holdings, Ltd. ("Maiden Holdings") and its subsidiaries (the "Company" or "Maiden"). They have been prepared in accordance with accounting principles generally accepted in the United States ("U.S. GAAP") for interim financial information and with the instructions to Form 10-Q and Article 10 of Regulation S-X as promulgated by the U.S. Securities and Exchange Commission ("SEC"). Accordingly, they do not include all of the information and footnotes required by U.S. GAAP for complete financial statements. All significant intercompany transactions and accounts have been eliminated.

These interim unaudited Condensed Consolidated Financial Statements reflect all adjustments that are, in the opinion of management, necessary for a fair presentation of the results for the interim period and all such adjustments are of a normal recurring nature. The results of operations for the interim period are not necessarily indicative, if annualized, of those to be expected for the full year. The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results could differ from those estimates.

These unaudited Condensed Consolidated Financial Statements, including these notes, should be read in conjunction with the Company's audited Consolidated Financial Statements, and related notes thereto, included in the Company's Annual Report on Form 10-K for the year ended December 31, 2019. Certain prior year comparatives have been reclassified to conform to the current year presentation. The effect of these reclassifications had no impact on previously reported shareholders' equity or net loss.

Strategic Review

Since 2018, the Company has engaged in a series of strategic measures that have dramatically reduced the regulatory capital required to operate our business, materially strengthened our solvency ratios, re-domiciled Maiden Reinsurance Ltd. ("Maiden Reinsurance") to Vermont in the U.S. and ceased active reinsurance underwriting. During that time, we significantly increased our estimate of ultimate losses and loss reserves while purchasing reinsurance protection against further loss reserve volatility and as a result, have improved the ultimate economic value of the Company. We believe these measures have given the Company the ability to more flexibly allocate capital to those activities most likely to produce the greatest returns for shareholders.

The measures we ultimately have taken were initiated in early 2018, when our Board of Directors initiated a review of strategic alternatives ("Strategic Review") to evaluate ways to increase shareholder value after a period of continuing higher than targeted combined ratios and lower returns on equity than expected.

As part of the Strategic Review, a series of transactions were entered into including: (1) completed the sale of Maiden Reinsurance North America, Inc. ("Maiden US") on December 27, 2018; (2) Maiden Reinsurance's shareholders, Maiden Holdings and Maiden Holdings North America, Ltd. ("Maiden NA"), made capital injections of $125,000 on December 31, 2018 and $70,000 on January 18, 2019 to Maiden Reinsurance from the sale proceeds of Maiden US; (3) entered into a partial termination amendment ("Partial Termination Amendment") with AmTrust Financial Services, Inc. ("AmTrust") effective January 1, 2019 which amended the quota share reinsurance agreement (“AmTrust Quota Share”) between Maiden Reinsurance and AmTrust’s wholly owned subsidiary AmTrust International Insurance, Ltd. (“AII”) (as more fully described in "Note 10 - Related Party Transactions"); (4) entered into amendments which terminated the AmTrust Quota Share 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") effective January 1, 2019 (these transactions are broadly referred to herein as the "Final AmTrust QS Terminations"); (5) entered into the Loss Portfolio Transfer and Adverse Development Cover Agreement ("LPT/ADC Agreement") with Enstar Group Limited ("Enstar") pursuant to the revised Master Transaction Agreement entered into on March 1, 2019; and (6) entered into a Commutation and Release Agreement with AmTrust to commute certain workers' compensation business with AII as of January 1, 2019.

Please see the Company's audited Consolidated Financial Statements, and related notes thereto, included in the Company's Annual Report on Form 10-K for the year ended December 31, 2019 for further details on the above transactions.

Discontinued Operations

The Company made the strategic decision to divest its U.S. treaty reinsurance operations through the sale of Maiden US which was completed on December 27, 2018. Except as explicitly described as discontinued operations, and unless otherwise noted, all discussions and amounts presented herein relate to the Company's continuing operations except for net income (loss).

Re-domestication of Maiden Reinsurance

Effective March 16, 2020, we re-domesticated our principal operating subsidiary, Maiden Reinsurance, to the State of Vermont in the United States, having made the necessary filings in both Vermont and Bermuda in the fourth quarter of 2019 and first quarter of 2020. Maiden Reinsurance is now subject to the statutes and regulations of Vermont in the ordinary course of business. We have determined that re-domesticating Maiden Reinsurance to Vermont enables us to better align our capital and resources with our liabilities, which originate mostly in the United States, resulting in a more efficient structure. The re-domestication, in combination with the transactions completed pursuant to the Strategic Review, will continue to strengthen the Company’s capital position and solvency ratios. While the Vermont Department of Financial Regulation ("Vermont DFR") will be the group supervisor for the Company, the re-domestication did not apply to the parent holding company which remains a Bermuda-based holding company. Securities issued by Maiden Holdings were not affected by the re-domestication of Maiden Reinsurance to Vermont. Concurrent with its re-domestication to Vermont on March 16, 2020, Maiden Holdings contributed as capital the remaining 65% of its ownership in Maiden Reinsurance to Maiden NA. Maiden NA now owns 100% of Maiden Reinsurance.

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1. Basis of Presentation (continued)

Segments

As a result of the strategic decision to divest all of the Company's U.S. treaty reinsurance operations noted above, the Company revised the composition of its reportable segments. As described in more detail under “Note 3. Segment Information”, the reportable segments include: (i) Diversified Reinsurance which consists of a portfolio of property and casualty reinsurance business focusing on regional and specialty property and casualty insurance companies located primarily in Europe; and (ii) AmTrust Reinsurance which includes all business ceded to Maiden Reinsurance from subsidiaries of AmTrust. In addition to these reportable segments, the results of operations of the former National General Holdings Corporation Quota Share ("NGHC Quota Share") segment, which was commuted in November 2019, was previously included in the "Other" category.

COVID-19 Pandemic

The evolving COVID-19 global pandemic has caused significant disruption to the economy and financial markets globally, and the full extent of the potential impacts of COVID-19 are not yet known. Circumstances caused by the COVID-19 pandemic are complex, uncertain and rapidly evolving. Our results of operations, financial condition, and liquidity and capital resources have been adversely impacted by the COVID-19 pandemic, and the future impact of the pandemic on our financial condition or results of operations is difficult to predict.

As described herein, the Company is not currently engaged in active reinsurance underwriting and is running off the remaining unearned exposures it has reinsured. The Company's IIS unit does write limited primary insurance coverages that could be exposed to COVID-19 claims.  While we assess our exposure to COVID-19 insurance and reinsurance claims on our existing insurance exposures and remaining reinsurance exposures as limited and immaterial, given the uncertainty surrounding the COVID-19 pandemic and its impact on the insurance industry, our preliminary estimates of losses and loss adjustment expenses and estimates of reinsurance recoverable arising from the COVID-19 pandemic may materially change. The Company has not received any COVID-19 claims to date. Unanticipated issues relating to claims and coverage may emerge, which could adversely affect our business by increasing the scope of coverage beyond our intent and/or increasing the frequency and severity of claims.

Due to the change in fair value of our investments caused by the COVID-19 pandemic, we and our reinsurance subsidiaries may need additional capital to maintain compliance with regulatory capital requirements and/or be required to post additional collateral under existing reinsurance arrangements, which could reduce our liquidity. In addition, the Company may experience a reduction in the amount of available distribution or dividend capacity from its regulated reinsurance subsidiaries, which would also reduce liquidity.

Due in large part to the uncertainty caused by the COVID-19 pandemic in global financial markets, during the three months ended March 31, 2020, the Company's investment portfolio experienced significant unrealized losses (largely due to widening credit spreads on fixed income investments), increased volatility, heightened credit risk, and declines in yields on its fixed income investments. The Company's investment portfolio may continue to be adversely impacted by unfavorable market conditions caused by the COVID-19 pandemic, which could cause continued volatility in our results of operations and negatively impact our financial condition.

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There have been no material changes to the significant accounting policies as described in the Company's Annual Report on Form 10-K for the year ended December 31, 2019 except for the following:

Recently Adopted Accounting Standards Updates

Changes to the Disclosure Requirements for Fair Value Measurement

In August 2018, the Financial Accounting Standards Board ("FASB") issued Accounting Standards Update ("ASU") 2018-13 for changes to the disclosure framework related to Topic 820 which amends the disclosure requirements for fair value measurement. The following disclosure requirements were removed from Topic 820: (i) amount of and reasons for transfers between Level 1 and Level 2 of the fair value hierarchy, (ii) policy for timing of transfers between levels, and (iii) valuation processes for Level 3 fair value measurements. The amendments clarify that the measurement uncertainty disclosure is to communicate information about the uncertainty in measurement as of the reporting date. The following disclosure requirements were added to Topic 820: (i) changes in unrealized gains and losses for the period included in other comprehensive income for recurring Level 3 fair value measurements held at the end of the reporting period; and (ii) range and weighted average of significant unobservable inputs used to develop Level 3 fair value measurements. For certain unobservable inputs, an entity may disclose other quantitative information (such as the median or arithmetic average) in lieu of the weighted average if the entity determines that other quantitative information would be a more reasonable and rational method to reflect the distribution of unobservable inputs used to develop Level 3 fair value measurements.

The amendments in this Update are effective for all entities for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2019. The amendments on changes in unrealized gains and losses, the range and weighted average of significant unobservable inputs used to develop Level 3 fair value measurements, and the narrative description of measurement uncertainty should be applied prospectively for only the most recent interim or annual period presented in the initial fiscal year of adoption. All other amendments should be applied retrospectively to all periods presented upon their effective date. Early adoption is permitted upon issuance of this Update. An entity is permitted to early adopt any removed or modified disclosures upon issuance of this Update and delay adoption of the additional disclosures until their effective date. These amendments only impact disclosures made in "Note 5. Fair Value Measurements" therefore, the adoption of this standard on January 1, 2020 did not impact the Company’s consolidated balance sheets, results of operations or cash flows.

Recently Issued Accounting Standards Not Yet Adopted

Accounting for Measurement of Credit Losses on Financial Instruments

In June 2016, the FASB issued ASU 2016-13 "Financial Instruments: Credit Losses (Topic 326)" replacing the "incurred loss" impairment methodology with an approach based on "expected losses" to estimate credit losses on certain types of financial instruments and requires consideration of a broader range of reasonable and supportable information to inform credit loss estimates. The guidance requires financial assets to be presented at the net amount expected to be collected. The allowance for credit losses is a valuation account that is deducted from the cost of the financial asset to present the net carrying value at the amount expected to be collected on the financial asset. ASU 2016-13 also modified the accounting for available-for-sale ("AFS") debt securities, which must be individually assessed for credit losses when fair value is less than the amortized cost basis, in accordance with Subtopic 326-30, Financial Instruments: Credit Losses Available-for-Sale Debt Securities. Credit losses relating to AFS debt securities will be recorded through an allowance for credit losses rather than under the current other-than-temporarily impaired ("OTTI") methodology.

In April 2019, the FASB issued ASU 2019-04 for targeted improvements related to ASU 2016-13 which clarify that an entity should include all expected recoveries in its estimate of the allowance for credit losses. In addition, for collateral dependent financial assets, the amendments mandate that an allowance for credit losses that is added to the amortized cost basis of the financial asset should not exceed amounts previously written off. It also clarifies FASB’s intent to include all reinsurance recoverables within the scope of Topic 944 to be within the scope of Subtopic 326-20, regardless of the measurement basis of those recoverables. The Company's reinsurance balances receivable and reinsurance recoverable on unpaid losses are its most significant financial assets within the scope of ASU 2016-13.

The guidance is effective for public business entities, excluding entities eligible to be smaller reporting companies ("SRCs") as defined by the SEC, for annual periods beginning after December 15, 2019, and interim periods therein. The guidance is effective for all other entities, including public entities eligible to be SRCs, for fiscal years beginning after December 15, 2022, including interim periods within those fiscal years. As of December 31, 2019, the Company qualified for SRC status, as determined on the last business day of its most recent second quarter, and is thus eligible to follow the reporting deadlines and effective dates applicable to SRCs. Therefore Topic 326 will not be effective until the 2023 fiscal year. The Company continues to evaluate the impact of this guidance on its results of operations, financial condition and liquidity.

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The Company currently has 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. Our AmTrust Reinsurance segment includes all business ceded to Maiden Reinsurance by AmTrust, primarily the AmTrust Quota Share and the European Hospital Liability Quota Share, which are in run-off effective January 1, 2019. In addition to our reportable segments, the results of operations of the former NGHC Quota Share segment which was commuted in November 2019 and the remnants of our retroceded U.S. treaty business have been included in the "Other" category. Please refer to "Note 10. Related Party Transactions" for additional information.

The Company evaluates segment performance based on segment profit separately from the results of our investment portfolio. General and administrative expenses are allocated to the segments on an actual basis except salaries and benefits where management’s judgment is applied; however general corporate expenses are not allocated to the segments. In determining total assets by reportable segment, the Company identifies those assets that are attributable to a particular segment such as reinsurance balances receivable, reinsurance recoverable on unpaid losses, deferred commission and other acquisition expenses, funds withheld receivable, loan to related party and restricted cash and investments. All remaining assets are allocated to Corporate.

As discussed in "Note 1. Basis of Presentation" and "Note 10. Related Party Transactions", the Partial Termination Amendment and the termination of the remaining business with AmTrust effective January 1, 2019 resulted in a significant reduction in gross premiums written. This was due to the return of unearned premium on certain lines covered by the Partial Termination Amendment, with no new business written since 2018 as a result of the termination of the AmTrust Quota Share and the European Hospital Liability Quota Share. The following tables summarize the underwriting results of our reportable segments and the reconciliation of our reportable segments and Other category's underwriting results to consolidated net income (loss) from continuing operations:

For the Three Months Ended March 31, 2020		Diversified Reinsurance				AmTrust Reinsurance				Total
Gross premiums written		$	11,734			$	—			$	11,734
Net premiums written		$	10,372			$	—			$	10,372
Net premiums earned		$	12,531			$	18,684			$	31,215
Other insurance revenue		408				—				408
Net loss and loss adjustment expenses ("loss and LAE")		(7,041		)		(14,045		)		(21,086		)
Commission and other acquisition expenses		(4,979		)		(6,994		)		(11,973		)
General and administrative expenses		(1,613		)		(644		)		(2,257		)
Underwriting loss		$	(694	)		$	(2,999	)		(3,693		)
Reconciliation to net income from continuing operations
Net investment income and realized gains on investment										29,002
Total other-than-temporary impairment losses										(1,506		)
Interest and amortization expenses										(4,831		)
Foreign exchange and other gains, net										8,197
Other general and administrative expenses										(6,293		)
Income tax expense										(15		)
Net income from continuing operations										$	20,861
Net loss and LAE ratio(1)		54.4		%		75.2		%		66.7		%
Commission and other acquisition expense ratio(2)		38.5		%		37.4		%		37.9		%
General and administrative expense ratio(3)		12.5		%		3.5		%		27.0		%
Expense ratio(4)		51.0		%		40.9		%		64.9		%
Combined ratio(5)		105.4		%		116.1		%		131.6		%

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3. Segment Information (continued)

For the Three Months Ended March 31, 2019		Diversified Reinsurance				AmTrust Reinsurance				Other				Total
Gross premiums written		$	15,338			$	(576,477	)		$	—			$	(561,139	)
Net premiums written		$	14,947			$	(576,477	)		$	—			$	(561,530	)
Net premiums earned		$	25,292			$	157,810			$	—			$	183,102
Other insurance revenue		812				—				—				812
Net loss and LAE		(14,391		)		(138,070		)		(228		)		(152,689		)
Commission and other acquisition expenses		(9,261		)		(60,356		)		—				(69,617		)
General and administrative expenses		(3,031		)		(1,266		)		—				(4,297		)
Underwriting loss		$	(579	)		$	(41,882	)		$	(228	)		(42,689		)
Reconciliation to net loss from continuing operations
Net investment income and realized losses on investment														20,921
Interest and amortization expenses														(4,829		)
Foreign exchange and other gains, net														4,979
Other general and administrative expenses														(12,322		)
Income tax benefit														38
Net loss from continuing operations														$	(33,902	)
Net loss and LAE ratio(1)		55.1		%		87.5		%						83.0		%
Commission and other acquisition expense ratio(2)		35.5		%		38.2		%						37.9		%
General and administrative expense ratio(3)		11.6		%		0.8		%						9.0		%
Expense ratio(4)		47.1		%		39.0		%						46.9		%
Combined ratio(5)		102.2		%		126.5		%						129.9		%

(1)	Calculated by dividing net loss and LAE by the sum of net premiums earned and other insurance revenue.

(2)	Calculated by dividing commission and other acquisition expenses by the sum of net premiums earned and other insurance revenue.

(3)	Calculated by dividing general and administrative expenses by the sum of net premiums earned and other insurance revenue.

(4)	Calculated by adding together the commission and other acquisition expense ratio and general and administrative expense ratio.

(5)	Calculated by adding together net loss and LAE ratio and the expense ratio.

For the Three Months Ended March 31, 2020		Diversified Reinsurance		AmTrust Reinsurance		Other		Total

For the Three Months Ended March 31, 2019		Diversified Reinsurance		AmTrust Reinsurance		Other		Total

The following tables summarize the financial position of the Company's reportable segments including the reconciliation to the Company's consolidated total assets at March 31, 2020 and December 31, 2019:

March 31, 2020		Diversified Reinsurance				AmTrust Reinsurance				Total
Total assets - reportable segments		$	163,684			$	2,643,073			$	2,806,757
Corporate assets		—				—				515,000
Total Assets		$	163,684			$	2,643,073			$	3,321,757
December 31, 2019		Diversified Reinsurance				AmTrust Reinsurance				Total
Total assets - reportable segments		$	167,845			$	2,843,802			$	3,011,647
Corporate assets		—				—				556,549
Total Assets		$	167,845			$	2,843,802			$	3,568,196

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3. Segment Information (continued)

The following tables set forth financial information relating to net premiums written by major line of business and reportable segment for the three months ended March 31, 2020 and 2019:

For the Three Months Ended March 31,		2020				2019
Net premiums written		Total				Total
Diversified Reinsurance
International		$	10,372			$	14,947
Total Diversified Reinsurance		10,372				14,947
AmTrust Reinsurance
Small Commercial Business		—				(342,681		)
Specialty Program		—				(12,608		)
Specialty Risk and Extended Warranty		—				(221,188		)
Total AmTrust Reinsurance		—				(576,477		)
Total Net Premiums Written		$	10,372			$	(561,530	)

For the Three Months Ended March 31,		2020		2019

The following tables set forth financial information relating to net premiums earned by major line of business and reportable segment for the three months ended March 31, 2020 and 2019:

For the Three Months Ended March 31,		2020							2019
Net premiums earned		Total				% of Total			Total				% of Total
Diversified Reinsurance
International		$	12,531			40.1	%		$	25,292			13.8	%
Total Diversified Reinsurance		12,531				40.1	%		25,292				13.8	%
AmTrust Reinsurance
Small Commercial Business		939				3.0	%		39,455				21.6	%
Specialty Program		75				0.3	%		76,221				41.6	%
Specialty Risk and Extended Warranty		17,670				56.6	%		42,134				23.0	%
Total AmTrust Reinsurance		18,684				59.9	%		157,810				86.2	%
Total Net Premiums Earned		$	31,215			100.0	%		$	183,102			100.0	%

For the Three Months Ended March 31,		2020		2019

a)	Fixed Maturities

The original or amortized cost, estimated fair value and gross unrealized gains and losses of fixed maturities at March 31, 2020 and December 31, 2019 are as follows:

March 31, 2020		Original or amortized cost				Gross unrealized gains				Gross unrealized losses				Fair value
U.S. treasury bonds		$	84,959			$	1,185			$	(1	)		$	86,143
U.S. agency bonds – mortgage-backed		495,747				19,510				(132		)		515,125
Non-U.S. government and supranational bonds		7,290				93				(200		)		7,183
Asset-backed securities		187,255				495				(14,715		)		173,035
Corporate bonds		755,438				9,336				(37,716		)		727,058
Total fixed maturity investments		$	1,530,689			$	30,619			$	(52,764	)		$	1,508,544

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4. Investments (continued)

December 31, 2019		Original or amortized cost				Gross unrealized gains				Gross unrealized losses				Fair value
U.S. treasury bonds		$	94,921			$	704			$	—			$	95,625
U.S. agency bonds – mortgage-backed		533,296				6,717				(1,291		)		538,722
Non-U.S. government and supranational bonds		11,796				294				(91		)		11,999
Asset-backed securities		187,881				821				(532		)		188,170
Corporate bonds		981,441				31,140				(15,725		)		996,856
Municipal bonds		4,091				55				—				4,146
Total fixed maturity investments		$	1,813,426			$	39,731			$	(17,639	)		$	1,835,518

The contractual maturities of our fixed maturities are shown in the table below. Actual maturities may differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment penalties.

March 31, 2020		Amortized cost				Fair value
Due in one year or less		$	124,415			$	123,759
Due after one year through five years		527,356				508,288
Due after five years through ten years		195,916				188,337
		847,687				820,384
U.S. agency bonds – mortgage-backed		495,747				515,125
Asset-backed securities		187,255				173,035
Total fixed maturity investments		$	1,530,689			$	1,508,544

The following tables summarize fixed maturities in an unrealized loss position and the aggregate fair value and gross unrealized loss by length of time the security has continuously been in an unrealized loss position:

		Less than 12 Months								12 Months or More								Total
March 31, 2020		Fair value				Unrealized losses				Fair value				Unrealized losses				Fair value				Unrealized losses
U.S. treasury bonds		$	9,999			$	(1	)		$	—			$	—			$	9,999			$	(1	)
U.S. agency bonds – mortgage-backed		16,204				(132		)		—				—				16,204				(132		)
Non-U.S. government and supranational bonds		2,307				(180		)		162				(20		)		2,469				(200		)
Asset-backed securities		142,916				(12,976		)		16,154				(1,739		)		159,070				(14,715		)
Corporate bonds		245,591				(18,440		)		115,797				(19,276		)		361,388				(37,716		)
Total temporarily impaired fixed maturities		$	417,017			$	(31,729	)		$	132,113			$	(21,035	)		$	549,130			$	(52,764	)

At March 31, 2020, there were 184 securities in an unrealized loss position with a fair value of $549,130 and unrealized losses of $52,764. Of these securities, there were 50 securities that have been in an unrealized loss position for twelve months or greater with a fair value of $132,113 and unrealized losses of $21,035.

		Less than 12 Months								12 Months or More								Total
December 31, 2019		Fair value				Unrealized losses				Fair value				Unrealized losses				Fair value				Unrealized losses
U.S. agency bonds – mortgage-backed		$	31,401			$	(257	)		$	85,008			$	(1,034	)		$	116,409			$	(1,291	)
Non-U.S. government and supranational bonds		1,824				(22		)		701				(69		)		2,525				(91		)
Asset-backed securities		60,863				(240		)		17,594				(292		)		78,457				(532		)
Corporate bonds		29,692				(305		)		159,216				(15,420		)		188,908				(15,725		)
Total temporarily impaired fixed maturities		$	123,780			$	(824	)		$	262,519			$	(16,815	)		$	386,299			$	(17,639	)

At December 31, 2019, there were 104 securities in an unrealized loss position with a fair value of $386,299 and unrealized losses of $17,639. Of these securities, there were 67 securities that have been in an unrealized loss position for twelve months or greater with a fair value of $262,519 and unrealized losses of $16,815.

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4. Investments (continued)

Other-than-temporarily impaired

The Company performs quarterly reviews of its fixed maturities in order to determine whether declines in fair value below the amortized cost basis were considered other-than-temporary in accordance with applicable guidance. At March 31, 2020, we determined that unrealized losses on fixed maturities were primarily due to changes in interest rates as well as the impact of foreign exchange rate changes on certain foreign currency denominated fixed maturities since their date of purchase. All fixed maturity securities continue to pay the expected coupon payments under the contractual terms of the securities. Any credit-related impairment related to fixed maturity securities that the Company does not plan to sell and for which the Company is not more likely than not to be required to sell is recognized in net earnings, with the non-credit related impairment recognized in comprehensive earnings.

Based on our analysis, our fixed maturity portfolio is of high credit quality and we believe the amortized cost basis of the securities will ultimately be recovered. The Company continually monitors the credit quality of the fixed maturity investments to assess if it is probable that it will receive contractual or estimated cash flows in the form of principal and interest. For the three months ended March 31, 2020, we recognized $1,506 (2019 - $0) in OTTI charges in earnings on two fixed maturity securities.

The following tables summarize the credit ratings of our fixed maturities as at March 31, 2020 and December 31, 2019:

March 31, 2020		Amortized cost				Fair value				% of Total fair value
U.S. treasury bonds		$	84,959			$	86,143			5.7	%
U.S. agency bonds		495,747				515,125				34.2	%
AAA		97,181				92,229				6.1	%
AA+, AA, AA-		87,667				82,028				5.4	%
A+, A, A-		357,080				343,162				22.8	%
BBB+, BBB, BBB-		382,271				371,173				24.6	%
BB+ or lower		25,784				18,684				1.2	%
Total fixed maturities (1)		$	1,530,689			$	1,508,544			100.0	%

December 31, 2019		Amortized cost				Fair value				% of Total fair value
U.S. treasury bonds		$	94,921			$	95,625			5.2	%
U.S. agency bonds		533,296				538,722				29.4	%
AAA		99,212				99,542				5.4	%
AA+, AA, AA-		101,491				101,467				5.5	%
A+, A, A-		540,002				549,479				29.9	%
BBB+, BBB, BBB-		438,731				445,202				24.3	%
BB+ or lower		5,773				5,481				0.3	%
Total fixed maturities(1)		$	1,813,426			$	1,835,518			100.0	%

(1)	Ratings above are based on Standard & Poor’s ("S&P"), or equivalent, ratings.

b)	Other Investments

The table below shows the fair value of the Company's other investments as at March 31, 2020 and December 31, 2019:

		March 31, 2020							December 31, 2019
		Fair value				% of Total fair value			Fair value				% of Total fair value
Investment in limited partnerships		$	3,092			63.2	%		$	3,077			63.1	%
Other		1,800				36.8	%		1,800				36.9	%
Total other investments		$	4,892			100.0	%		$	4,877			100.0	%

The Company also holds other investments made by special purpose vehicles related to lending activities of $29,196 at March 31, 2020 (December 31, 2019 - $26,871). These investments are carried at cost less impairment, if any, with any indication of impairment recognized in income when determined. Because these investments are carried at cost, they are not included in the table above. Please see "Note 5 - Fair Value Measurements" for additional information. The Company has remaining unfunded commitments on its investment in limited partnerships of $333 at March 31, 2020 (December 31, 2019 - $340). The Company also has a remaining

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unfunded commitment on its investment in special purpose vehicles focused on lending activities of $1,296 at March 31, 2020 (December 31, 2019 - $767).

4. Investments (continued)

c)	Net Investment Income

Net investment income was derived from the following sources:

		For the Three Months Ended March 31,
		2020				2019
Fixed maturities		$	12,651			$	26,220
Funds withheld interest		3,853				4,537
Loan to related party		1,365				1,822
Cash and cash equivalents and other		496				275
		18,365				32,854
Investment expenses		(401		)		(832		)
Net investment income		$	17,964			$	32,022

d)	Realized Gains (Losses) on Investment

Realized gains or losses on the sale of investments are determined on the basis of the first in first out cost method. The following tables show the net realized gains (losses) on investment included in the Condensed Consolidated Statements of Income:

For the Three Months Ended March 31, 2020		Gross gains				Gross losses				Net
Fixed maturities		$	10,932			$	(1	)		$	10,931
Other investments		107				—				107
Net realized gains (losses) on investment		$	11,039			$	(1	)		$	11,038
For the Three Months Ended March 31, 2019		Gross gains				Gross losses				Net
Fixed maturities		$	2,424			$	(13,380	)		$	(10,956	)
Other investments		—				(145		)		(145		)
Net realized gains (losses) on investment		$	2,424			$	(13,525	)		$	(11,101	)

Proceeds from sales of fixed maturities were $224,471 for the three months ended March 31, 2020 (2019 - $84,361).

Net unrealized (losses) gains on investments were as follows at March 31, 2020 and December 31, 2019, respectively:

		March 31, 2020				December 31, 2019
Fixed maturities		$	(22,144	)		$	22,092
Deferred income tax		19				(96		)
Net unrealized gains (losses), net of deferred income tax		$	(22,125	)		$	21,996
Change, net of deferred income tax		$	(44,121	)		$	81,758

e)	Restricted Cash and Cash Equivalents and Investments

The Company is required to provide collateral for its reinsurance liabilities under various reinsurance agreements and utilizes trust accounts to collateralize business with reinsurance counterparties. The assets in trust as collateral are primarily cash and highly rated fixed maturities. The fair values of these restricted assets were as follows at March 31, 2020 and December 31, 2019:

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		March 31, 2020				December 31, 2019
Restricted cash – third party agreements		$	21,454			$	21,447
Restricted cash – related party agreements		96,449				37,634
Total restricted cash		117,903				59,081
Restricted investments – in trust for third party agreements at fair value (amortized cost: 2020 – $66,307; 2019 – $65,539)		66,369				65,678
Restricted investments – in trust for related party agreements at fair value (amortized cost: 2020 – $1,121,189; 2019 – $1,366,873)		1,113,184				1,382,994
Total restricted investments		1,179,553				1,448,672
Total restricted cash and investments		$	1,297,456			$	1,507,753

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(a) Fair Values of Financial Instruments

Fair Value Measurements — Accounting Standards Codification ("ASC") Topic 820, "Fair Value Measurements and Disclosures" ("ASC 820") defines fair value as the price that would be received upon the sale of an asset or paid to transfer a liability in an orderly transaction between open market participants at the measurement date. Additionally, ASC 820 establishes a hierarchy for inputs used in measuring fair value that maximizes the use of observable inputs and minimizes the use of unobservable inputs by requiring that the most observable inputs be used when available. The hierarchy is broken down into three levels based on the reliability of inputs as follows:

•

Level 1 — Valuations based on unadjusted quoted market prices for identical assets or liabilities that we have the ability to access. Because valuations are based on quoted prices that are readily and regularly available in an active market, valuation of these products does not entail a significant degree of judgment. Examples of assets and liabilities utilizing Level 1 inputs include: U.S. Treasury bonds;

•

Level 2 — Valuations based on quoted prices for similar assets or liabilities in active markets, quoted prices for identical assets or liabilities in inactive markets, or valuations based on models where the significant inputs are observable (e.g. interest rates, yield curves, prepayment speeds, default rates, loss severities, etc.) or can be corroborated by observable market data. Examples of assets and liabilities utilizing Level 2 inputs include: U.S. government-sponsored agency securities; non-U.S. government and supranational obligations; commercial mortgage-backed securities ("CMBS"); collateralized loan obligations ("CLO"); corporate and municipal bonds; and

•	Level 3 — Valuations based on models where significant inputs are not observable. The unobservable inputs reflect our own assumptions about assumptions that market participants would use. Examples of assets and liabilities utilizing Level 3 inputs include: an investment in preference shares of a start-up insurance producer.

The availability of observable inputs can vary and is affected by a wide variety of factors, including, for example, the type of financial instrument, whether the financial instrument is new and not yet established in the marketplace, and other characteristics particular to the transaction. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires significantly more judgment. Accordingly, the degree of judgment exercised by management in determining fair value is greatest for instruments categorized in Level 3. We use prices and inputs that are current at the measurement date. In periods of market dislocation, the observability of prices and inputs may be reduced for many instruments. This condition could cause an instrument to be reclassified between levels.

For investments that have quoted market prices in active markets, the Company uses the quoted market prices as fair value and includes these in the Level 1 hierarchy. The Company receives the quoted market prices from a third party nationally recognized provider ("the Pricing Service"). When quoted market prices are unavailable, the Company utilizes the Pricing Service to determine an estimate of fair value. The fair value estimates are included in the Level 2 hierarchy. The Company will challenge any prices for its investments which are considered not to be representative of fair value. If quoted market prices and an estimate from the Pricing Service are unavailable, the Company produces an estimate of fair value based on dealer quotations for recent activity in positions with the same or similar characteristics to that being valued. The Company determines whether the fair value estimate is in the Level 2 or Level 3 hierarchy depending on the level of observable inputs available when estimating the fair value. The Company bases its estimates of fair values for assets on the bid price as it represents what a third party market participant would be willing to pay in an orderly transaction.

ASC 825, "Disclosure About Fair Value of Financial Instruments", requires all entities to disclose the fair value of their financial instruments, both assets and liabilities recognized and not recognized in the balance sheet, for which it is practicable to estimate fair value. The following describes the valuation techniques used by the Company to determine the fair value of financial instruments held at March 31, 2020 and December 31, 2019.

U.S. government and U.S. agency — Bonds issued by the U.S. Treasury, the Federal Home Loan Bank, the Federal Home Loan Mortgage Corporation, Government National Mortgage Association, Federal National Mortgage Association and the Federal Farm Credit Banks Funding Corporation. The fair values of U.S. treasury bonds are based on quoted market prices in active markets, and are included in the Level 1 fair value hierarchy. We believe the market for U.S. treasury bonds is an actively traded market given the high level of daily trading volume. The fair values of U.S. agency bonds are determined using the spread above the risk-free yield curve. As the yields for the risk-free yield curve and the spreads for these securities are observable market inputs, the fair values of U.S. agency bonds are included in the Level 2 fair value hierarchy.

Non-U.S. government and supranational bonds — These securities are generally priced by independent pricing services. The Pricing Service may use current market trades for securities with similar quality, maturity and coupon. If no such trades are available, the Pricing Service typically uses analytical models which may incorporate spreads, interest rate data and market/sector news. As the significant inputs used to price non-U.S. government and supranational bonds are observable market inputs, the fair values of non-U.S. government and supranational bonds are included in the Level 2 fair value hierarchy.

Asset-backed securities — These securities comprise CMBS and CLO originated by a variety of financial institutions that on acquisition are rated BBB-/Baa3 or higher. These securities are priced by independent pricing services and brokers. The pricing provider applies dealer quotes and other available trade information, prepayment speeds, yield curves and credit spreads to the valuation. As the significant inputs used to price the CMBS and CLO are observable market inputs, the fair value of the CMBS and CLO securities are included in the Level 2 fair value hierarchy.

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5. Fair Value of Financial Instruments (continued)

Corporate and municipal bonds — Bonds issued by corporations, U.S. state and municipality entities or agencies that on acquisition are rated BBB-/Baa3 or higher. These securities are generally priced by independent pricing services. The credit spreads are sourced from broker/dealers, trade prices and the new issue market. Where pricing is unavailable from pricing services, custodian pricing or non-binding quotes are obtained from broker-dealers to estimate fair values. As the significant inputs used to price corporate and municipal bonds are observable market inputs, the fair values are included in the Level 2 fair value hierarchy.

Other investments — Includes unquoted investments comprised of investments in limited partnerships and other investments which includes investments in special purpose vehicles focused on lending activities as well as investments in start-up insurance entities. The fair values of the limited partnerships are determined by the fund manager based on recent filings, operating results, balance sheet stability, growth and other business and market sector fundamentals. The fair value of these investments are measured using the NAV practical expedient and therefore have not been categorized within the fair value hierarchy. If there is a reporting lag between the current period end and reporting date of the latest available fund valuation, fair values are estimated by starting with the most recently available valuation and adjusting for return estimates as well as any subscriptions and distributions that took place during the current period.

The investments made by special purpose vehicles focused on lending activities are carried at cost less impairment, if any, with any indication of impairment recognized in income when determined. As these investments are carried at cost, they are not included in the fair value hierarchy below.

The fair value of the start-up insurance entities are determined using recent private market transactions and as such, the fair value of these investments are included in the Level 3 fair value hierarchy.

Cash and cash equivalents (including restricted amounts), accrued investment income, reinsurance balances receivable, and certain other assets and liabilities — The carrying values reported in the Condensed Consolidated Balance Sheets for these financial instruments approximate their fair value due to their short term nature and are classified within the Level 2 fair value hierarchy.

Loan to related party, reinsurance recoverable on unpaid losses, and funds withheld receivable — The carrying values reported in the Condensed Consolidated Balance Sheets for these financial instruments approximate their fair value and are included in the Level 2 fair value hierarchy.

Senior notes — The carrying value for these financial instruments represents the principal value of the notes less any unamortized issuance costs. The fair values of the senior notes are based on indicative market pricing obtained from a third-party service provider and as such, are included in the Level 2 fair value hierarchy.

(b) Fair Value Hierarchy

The Company’s estimates of fair value for financial assets and financial liabilities are based on the framework established in ASC 820. The framework is based on the inputs used in valuation and gives the highest priority to quoted prices in active markets and requires that observable inputs be used in the valuations when available. The disclosure of fair value estimates in the ASC 820 hierarchy is based on whether the significant inputs into the valuation are observable. In determining the level of the hierarchy in which the estimate is disclosed, the highest priority is given to unadjusted quoted prices in active markets and the lowest priority to unobservable inputs that reflect the Company’s significant market assumptions.

At March 31, 2020 and December 31, 2019, the Company classified its financial instruments measured at fair value on a recurring basis in the following valuation hierarchy:    

March 31, 2020		Quoted Prices in Active Markets for Identical Assets (Level 1)				Significant Other Observable Inputs (Level 2)				Significant Unobservable Inputs (Level 3)				Fair Value Based on NAV Practical Expedient				Total Fair Value
Fixed maturities
U.S. treasury bonds		$	86,143			$	—			$	—			$	—			$	86,143
U.S. agency bonds – mortgage-backed		—				515,125				—				—				515,125
Non-U.S. government and supranational bonds		—				7,183				—				—				7,183
Asset-backed securities		—				173,035				—				—				173,035
Corporate bonds		—				727,058				—				—				727,058
Other investments		—				—				1,800				3,092				4,892
Total		$	86,143			$	1,422,401			$	1,800			$	3,092			$	1,513,436
As a percentage of total assets		2.6		%		42.8		%		0.1		%		0.1		%		45.6		%

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5. Fair Value of Financial Instruments (continued)

December 31, 2019		Quoted Prices in Active Markets for Identical Assets (Level 1)				Significant Other Observable Inputs (Level 2)				Significant Unobservable Inputs (Level 3)				Fair Value Based on NAV Practical Expedient				Total Fair Value
Fixed maturities
U.S. treasury bonds		$	95,625			$	—			$	—			$	—			$	95,625
U.S. agency bonds – mortgage-backed		—				538,722				—				—				538,722
Non-U.S. government and supranational bonds		—				11,999				—				—				11,999
Asset-backed securities		—				188,170				—				—				188,170
Corporate bonds		—				996,856				—				—				996,856
Municipal bonds		—				4,146				—				—				4,146
Other investments		—				—				1,800				3,077				4,877
Total		$	95,625			$	1,739,893			$	1,800			$	3,077			$	1,840,395
As a percentage of total assets		2.7		%		48.8		%		0.1		%		0.1		%		51.7		%

The Company utilizes the Pricing Service to assist in determining the fair value of its investments; however, management is ultimately responsible for all fair values presented in the Company’s financial statements. This includes responsibility for monitoring the fair value process, ensuring objective and reliable valuation practices and pricing of assets and liabilities and pricing sources. The Company analyzes and reviews the information and prices received from the Pricing Service to ensure that the prices represent a reasonable estimate of the fair value.

The Pricing Service was utilized to estimate fair value measurements for 99.6% and 99.7% of our fixed maturities at March 31, 2020 and December 31, 2019, respectively. The Pricing Service utilizes market quotations for fixed maturity securities that have quoted market prices in active markets. Because fixed maturities other than U.S. treasury bonds generally do not trade actively on a daily basis, the Pricing Service prepares estimates of fair value measurements using relevant market data, benchmark curves, sector groupings and matrix pricing and these have been classified as Level 2 within the fair value hierarchy.

At March 31, 2020 and December 31, 2019, 0.4% and 0.3%, respectively, of the Level 2 fixed maturities are valued using the market approach. At March 31, 2020 and December 31, 2019, one security or $5,392 and $5,481, respectively, of Level 2 fixed maturities, was priced using a quotation from a broker and/or custodian as opposed to the Pricing Service due to lack of information available. At March 31, 2020 and December 31, 2019, the Company has not adjusted any pricing provided to it based on the review performed by its investment managers.

During the year ended December 31, 2019, the Company transferred its investment in special purpose vehicles focused on lending activities out of Level 3 within the fair value hierarchy due to a change in accounting policy to report these investments at cost less any impairment instead of fair market value. There were no other transfers to or from Level 3 during the periods represented by these Condensed Consolidated Financial Statements.

(c) Level 3 Financial Instruments

At March 31, 2020, the Company has other investments of $1,800 (December 31, 2019 - $1,800) which includes investments in start-up insurance entities. Due to significant unobservable inputs in these valuations, the Company classifies the fair value estimate of these other investments as Level 3 within the fair value hierarchy.

(d) Financial Instruments not measured at Fair Value

The following table presents the respective carrying value and fair value for the financial instruments not measured at fair value on the Condensed Consolidated Balance Sheets as at March 31, 2020 and December 31, 2019, respectively:

		March 31, 2020								December 31, 2019
		Carrying Value				Fair Value				Carrying Value				Fair Value
Financial Liabilities
Senior Notes - MHLA – 6.625%		$	110,000			$	74,118			$	110,000			$	86,460
Senior Notes - MHNC – 7.75%		152,500				115,900				152,500				137,067
Total financial liabilities		$	262,500			$	190,018			$	262,500			$	223,527

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Sale of U.S. Treaty Reinsurance operations

As described in Part II of our Annual Report on Form 10-K for the year ended December 31, 2019, the Company entered into a renewal rights transaction with Transatlantic Reinsurance Company on August 29, 2018 and subsequently sold Maiden US on December 27, 2018 to Enstar. Maiden US was a substantial portion of the Diversified Reinsurance segment; therefore the Company concluded that the sale represented a strategic shift that has a major effect on its ongoing operations and financial results and that all of the held for sale criteria were met. Accordingly, all transactions related to the U.S. treaty reinsurance operations are reported and presented as part the results from discontinued operations in the Condensed Consolidated Statements of Income.

As described in Part II of our Annual Report on Form 10-K for the year ended December 31, 2019, Cavello Bay Reinsurance Limited ("Cavello"), Enstar’s Bermuda reinsurance affiliate, and Maiden Reinsurance entered into a retrocession agreement pursuant to which certain assets and liabilities associated with the U.S. treaty reinsurance business held by Maiden Reinsurance were retroceded to Cavello on December 27, 2018. As at December 31, 2018, the assets and liabilities related to this business including the retrocession agreement were classified as held for sale, however, a decision was made to reclassify them as it is now considered unlikely that these reserves will be novated in the foreseeable future; therefore, there are no remaining assets and liabilities classified as held for sale as at March 31, 2020 and December 31, 2019.

The following table summarizes the major classes of items constituting the net loss from discontinued operations for the three months ended March 31, 2019 presented in the unaudited Condensed Consolidated Statements of Income:

For the Three Months Ended March 31,		2019
General and administrative expenses		$	(337	)
Expense from discontinued operations before income tax		(337		)
Loss on disposal of discontinued operations		(2,397		)
Loss from discontinued operations, net of income tax		$	(2,734	)

Senior Notes

At March 31, 2020 and December 31, 2019, both Maiden Holdings and its wholly owned subsidiary, Maiden NA, have outstanding publicly-traded senior notes which were issued in 2016 ("2016 Senior Notes") and 2013 ("2013 Senior Notes"), respectively (collectively "Senior Notes"). The 2013 Senior Notes issued by Maiden NA are fully and unconditionally guaranteed by Maiden Holdings. The Senior Notes are unsecured and unsubordinated obligations of the Company.

The following tables detail the issuances of Senior Notes outstanding at March 31, 2020 and December 31, 2019:    

March 31, 2020		2016 Senior Notes				2013 Senior Notes				Total
Principal amount		$	110,000			$	152,500			$	262,500
Less: unamortized issuance costs		3,553				3,985				7,538
Carrying value		$	106,447			$	148,515			$	254,962
December 31, 2019		2016 Senior Notes				2013 Senior Notes				Total
Principal amount		$	110,000			$	152,500			$	262,500
Less: unamortized issuance costs		3,565				4,027				7,592
Carrying value		$	106,435			$	148,473			$	254,908
Other details:
Original debt issuance costs		$	3,715			$	5,054
Maturity date		June 14, 2046				December 1, 2043
Earliest redeemable date (for cash)		June 14, 2021				December 1, 2018
Coupon rate		6.625		%		7.75		%
Effective interest rate		7.07		%		8.04		%

The interest expense incurred on the Senior Notes for the three months ended March 31, 2020 was $4,777 (2019 - $4,776), of which $1,342 was accrued at both March 31, 2020 and December 31, 2019, respectively. The issuance costs related to the Senior Notes were capitalized and are being amortized over the effective life of the Senior Notes. The amortization expense for the three months ended March 31, 2020 was $54 (2019 - $53).

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7. Long-Term Debt (continued)

The Company uses reinsurance and retrocessional agreements ("ceded reinsurance") to mitigate volatility, reduce its exposure to certain risks and provide capital support. Ceded reinsurance provides for the recovery of a portion of loss and LAE under certain circumstances without relieving the Company of its obligations to the policyholders. The Company remains liable to the extent that any of its reinsurers or retrocessionaires fails to meet their obligations. Loss and LAE incurred and premiums earned are reported after deduction for ceded reinsurance. In the event that one or more of our reinsurers or retrocessionaires are unable to meet their obligations under these agreements, the Company would not realize the full value of the reinsurance recoverable balances.

The effect of ceded reinsurance on net premiums written and earned and on net loss and LAE for the three months ended March 31, 2020 and 2019 was as follows:

For the Three Months Ended March 31,		2020				2019
Premiums written
Direct		$	5,193			$	3,778
Assumed		6,541				(564,917		)
Ceded		(1,362		)		(391		)
Net		$	10,372			$	(561,530	)
Premiums earned
Direct		$	4,761			$	3,024
Assumed		27,453				180,788
Ceded		(999		)		(710		)
Net		$	31,215			$	183,102
Loss and LAE
Gross loss and LAE		$	20,994			$	152,734
Loss and LAE ceded		92				(45		)
Net		$	21,086			$	152,689

The Company's reinsurance recoverable on unpaid losses balance as at March 31, 2020 was $620,882 (December 31, 2019 - $623,422) presented in the Condensed Consolidated Balance Sheets. At March 31, 2020 and December 31, 2019, the Company had no valuation allowance against reinsurance recoverable on unpaid losses.

As discussed in "Note 1. Organization", on December 27, 2018, Cavello and Maiden Reinsurance entered into a retrocession agreement pursuant to which certain assets and liabilities associated with the U.S. treaty reinsurance business held by Maiden Reinsurance were retroceded to Cavello in exchange for a ceding commission. The balance of reinsurance recoverable on unpaid losses due from Cavello under this retrocession agreement was $60,281 at March 31, 2020 (December 31, 2019 - $62,699).

On July 31, 2019, Maiden Reinsurance and Cavello entered into the LPT/ADC Agreement, pursuant to which Cavello assumed the loss reserves as of December 31, 2018 associated with the AmTrust Quota Share in excess of a $2,178,535 retention up to $600,000, in exchange for a retrocession premium of $445,000. The $2,178,535 retention is subject to adjustment for paid losses subsequent to December 31, 2018. Please see "Note 1. Basis of Presentation" for further details.

The LPT/ADC Agreement provides Maiden Reinsurance with $155,000 in adverse development cover over its carried AmTrust Quota Share loss reserves at December 31, 2018. The LPT/ADC Agreement meets the criteria for risk transfer and is thus accounted for as retroactive reinsurance. Cumulative ceded losses exceeding $445,000 are recognized as a deferred gain liability and amortized into income over the settlement period of the ceded reserves in proportion to cumulative losses collected over the estimated ultimate reinsurance recoverable. The amount of the deferral is recalculated each period based on loss payments and updated estimates. Consequently, cumulative adverse development subsequent to December 31, 2018 may result in significant losses from operations until periods when the deferred gain is recognized as a benefit to earnings. As of March 31, 2020, the reinsurance recoverable on unpaid losses under the retroactive reinsurance agreement were $557,950 while the deferred gain liability was $112,950 (December 31, 2019 - $557,950 and $112,950, respectively). Amortization of the deferred gain will not occur until paid losses have exceeded the minimum retention under the LPT/ADC Agreement, which is estimated to be in 2024.

Cavello has provided collateral in the form of a letter of credit in the amount of $445,000 to AmTrust under the LPT/ADC Agreement and Cavello is subject to additional collateral funding requirements as explained in "Note 10. Related Party Transactions". Under the terms of the LPT/ADC Agreement, the covered losses associated with the Commutation and Release Agreement with AmTrust are eligible to be covered but recoverable only when such losses are paid or settled by AII or its affiliates, provided such losses and other related amounts shall not exceed $312,786. Cavello's parent company, Enstar, has credit ratings of BBB from both Standard &Poor's and Fitch Ratings at March 31, 2020.

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The Company uses both historical experience and industry-wide loss development factors to provide a reasonable basis for estimating future losses. In the future, certain events may be beyond the control of management, such as changes in law, judicial interpretations of law, and rates of inflation, which may favorably or unfavorably impact the ultimate settlement of the Company’s loss and LAE reserves.

The anticipated effect of inflation is implicitly considered when estimating liabilities for loss and LAE. While anticipated changes in claim costs due to inflation are considered in estimating the ultimate claim costs, changes in average severity of claims are caused by a number of factors that vary with the individual type of policy written. Ultimate losses are projected based on historical trends adjusted for implemented changes in underwriting standards, claims handling, policy provisions, and general economic trends. Those anticipated trends are monitored based on actual development and are modified if necessary.

The reserving process begins with the collection and analysis of paid losses and incurred claims data for each of the Company's contracts. While reserves are mostly reviewed on a contract by contract basis, paid loss and incurred claims data is also aggregated into reserving segments. The segmental data is disaggregated by reserving class and further disaggregated by either accident year (i.e. the year in which the loss event occurred) or by underwriting year (i.e. the year in which the contract generating the premium and losses incepted). The Company in some cases uses underwriting year information to analyze the Diversified Reinsurance segment and subsequently allocate reserves to the respective accident years. The reserve for loss and LAE consists of:

		March 31, 2020				December 31, 2019
Reserve for reported loss and LAE		$	1,194,204			$	1,271,358
Reserve for losses incurred but not reported ("IBNR")		1,054,841				1,168,549
Reserve for loss and LAE		$	2,249,045			$	2,439,907

The following table represents a reconciliation of our beginning and ending gross and net loss and LAE reserves:

For the Three Months Ended March 31,		2020				2019
Gross loss and LAE reserves, January 1		$	2,439,907			$	3,126,134
Less: reinsurance recoverable on unpaid losses, January 1		623,422				71,901
Net loss and LAE reserves, January 1		1,816,485				3,054,233
Net incurred losses related to:
Current year		21,619				145,431
Prior years		(533		)		7,258
		21,086				152,689
Net paid losses related to:
Current year		(214		)		(416		)
Prior years		(193,430		)		(219,950		)
		(193,644		)		(220,366		)
Effect of foreign exchange rate movements		(15,764		)		(8,260		)
Net loss and LAE reserves, March 31		1,628,163				2,978,296
Reinsurance recoverable on unpaid losses, March 31		620,882				71,975
Gross loss and LAE reserves, March 31		$	2,249,045			$	3,050,271

Prior period development arises from changes to loss estimates recognized in the current year that relate to loss reserves in previous calendar years. The favorable or unfavorable development reflects changes in management's best estimate of the ultimate losses under the relevant reinsurance policies after considerable review of changes in actuarial assessments. During the three months ended March 31, 2020, the Company recognized net favorable prior year loss development of $533 (2019 - adverse $7,258).

In the Diversified Reinsurance segment, net favorable prior year loss development was $533 for the three months ended March 31, 2020 (2019 - favorable $1,096) primarily due to favorable reserve development in German Auto Programs. The favorable loss development for the same period in 2019 was largely due to facultative reinsurance run-off lines.

In the AmTrust Reinsurance segment, there was no prior year loss development for the three months ended March 31, 2020, (2019 - adverse $8,126). The adverse development in the three months ended March 31, 2019 was primarily driven by Commercial Auto Liability in accident years 2014 to 2017, partly offset by favorable development in Workers Compensation.

The Other category incurred net adverse prior year loss development of $228 for the three months ended March 31, 2019 due to increased reserves in the run-off of the NGHC Quota Share which was commuted in November 2019.

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The Founding Shareholders of the Company were Michael Karfunkel, George Karfunkel and Barry Zyskind. Based on each individual's most recent public filing, Leah Karfunkel (wife of the late Michael Karfunkel) owns or controls approximately 8.1% of the outstanding shares of the Company and Barry Zyskind (the Company's non-executive chairman) owns or controls approximately 7.6% of the outstanding shares of the Company. George Karfunkel owns or controls less than 5.0% of the outstanding shares of the Company. Leah Karfunkel and George Karfunkel are directors of AmTrust, and Barry Zyskind is the president, chief executive officer and chairman of AmTrust. Leah Karfunkel, George Karfunkel and Barry Zyskind own or control approximately 53.4% of the ownership interests of Evergreen Parent LP, the ultimate parent of AmTrust.

AmTrust

The following describes transactions between the Company and AmTrust:

AmTrust Quota Share

Effective July 1, 2007, the Company and AmTrust entered into a master agreement, as amended ("Master Agreement"), by which they caused Maiden Reinsurance, and AmTrust's Bermuda reinsurance subsidiary, AII, to enter into the AmTrust Quota Share by which AII retroceded to Maiden Reinsurance an amount equal to 40% of the premium written by subsidiaries of AmTrust, net of the cost of unaffiliated inuring reinsurance and 40% of losses. The Master Agreement further provided that AII receive a ceding commission of 31% of ceded written premiums. On June 11, 2008, Maiden Reinsurance and AII amended the AmTrust Quota Share to add Retail Commercial Package Business to the Covered Business. AII receives a ceding commission of 34.375% on Retail Commercial Package Business. On July 1, 2016, the agreement was renewed through June 30, 2019. Effective July 1, 2018, the amount AEL ceded to Maiden Reinsurance was reduced to 20%.

Effective July 1, 2013, for the Specialty Program portion of Covered Business only, AII was responsible for ultimate net loss otherwise recoverable from Maiden Reinsurance to the extent that the loss ratio to Maiden Reinsurance, which shall be determined on an inception to date basis from July 1, 2007 through the date of calculation, is between 81.5% and 95% ("Loss Corridor"). Above and below the Loss Corridor, Maiden Reinsurance continued to reinsure losses at its proportional 40% share of the AmTrust Quota Share. Effective July 31, 2019, the Loss Corridor was amended such that the maximum amount covered is $40,500, the amount calculated by Maiden Reinsurance for the Loss Corridor coverage as of March 31, 2019. Any development above this maximum amount will be subject to the coverage of the LPT/ADC Agreement. Please refer to Note 1. "Basis of Presentation" for additional information.

Effective January 1, 2019, Maiden Reinsurance and AII entered into the Partial Termination Amendment which amended the AmTrust Quota Share. The Partial Termination Amendment provided for the cut-off of the ongoing and unearned premium of AmTrust’s Small Commercial Business, comprising workers’ compensation, general liability, umbrella liability, professional liability (including cyber liability) insurance coverages, and U.S. Specialty Risk and Extended Warranty ("Terminated Business") as of December 31, 2018. Under the Partial Termination Amendment, the ceding commission payable by Maiden Reinsurance for its remaining in-force business immediately prior to January 1, 2019 increased by five percentage points with respect to in-force remaining business (excluding Terminated Business) and related unearned premium as of January 1, 2019. The Partial Termination Amendment resulted in Maiden Reinsurance returning $647,980 in unearned premium to AII, or $436,760 net of applicable ceding commission and brokerage as calculated during the second quarter of 2019.

Subsequently, on January 30, 2019, Maiden Reinsurance and AII agreed to terminate the remaining business subject to the AmTrust Quota Share on a run-off basis effective as of January 1, 2019.

Effective July 31, 2019, Maiden Reinsurance and AII entered into a Commutation and Release Agreement which provided for AII to assume all reserves ceded by AII to Maiden Reinsurance with respect to its proportional 40% share of the ultimate net loss under the AmTrust Quota Share related to the Commuted Business. Please refer to Note 1 "Basis of Presentation" for additional information.

AII and Maiden Reinsurance also agreed that, as of July 31, 2019, the AmTrust Quota Share shall be deemed amended as applicable so that the Commuted Business is no longer included as part of the Covered Business under the AmTrust Quota Share.

On January 30, 2019, in connection with the termination of the reinsurance agreement described above, the Company and AmTrust entered into a second amendment to the Master Agreement between the parties, originally entered into on July 3, 2007, to remove the provisions requiring AmTrust to reinsure business with the Company.

European Hospital Liability Quota Share

Effective April 1, 2011, Maiden Reinsurance entered into the European Hospital Liability Quota Share with AEL and AIU DAC, both wholly owned subsidiaries of AmTrust. Pursuant to the terms of the European Hospital Liability Quota Share, Maiden Reinsurance assumed 40% of the premiums and losses related to policies classified as European Hospital Liability, including associated liability coverages and policies covering physician defense costs, written or renewed on or after April 1, 2011. The European Hospital Liability Quota Share also covers policies written or renewed on or before March 31, 2011, but only with respect to losses that occur, accrue or arise on or after April 1, 2011. The maximum limit of liability attaching shall be €5,000 (€10,000 effective January 1, 2012) or currency equivalent (on a 100% basis) per original claim for any one original policy. Maiden Reinsurance paid a ceding commission of 5% on contracts assumed under the European Hospital Liability Quota Share. 

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10. Related Party Transactions (continued)

Effective July 1, 2016, the European Hospital Liability Quota Share was amended such that Maiden Reinsurance assumes from AEL 32.5% of the premiums and losses of all policies written or renewed on or after July 1, 2016 until June 30, 2017 and 20% of all policies written or renewed on or after July 1, 2017. Subsequently, on January 30, 2019, Maiden Reinsurance, AEL and AIU DAC agreed to terminate the European Hospital Liability Quota Share on a run-off basis effective as of January 1, 2019.

The table below shows the effect of both of these quota share arrangements with AmTrust on the Company's unaudited Condensed Consolidated Income Statement for the three months ended March 31, 2020 and 2019, respectively:

		For the Three Months Ended March 31,
		2020				2019
Gross and net premiums written		$	—			$	(576,477	)
Net premiums earned		18,684				158,130
Net loss and LAE		(14,045		)		(137,944		)
Commission expenses		(6,994		)		(60,356		)

Collateral provided to AmTrust

a) AmTrust Quota Share

To provide AmTrust's U.S. insurance subsidiaries with credit for reinsurance on their statutory financial statements, AII, as the direct reinsurer of AmTrust's insurance subsidiaries, established trust accounts ("Trust Accounts") for their benefit. Maiden Reinsurance has agreed to provide appropriate collateral to secure its proportional share under the AmTrust Quota Share of AII's obligations to the AmTrust subsidiaries to whom AII is required to provide collateral. This collateral may be in the form of (a) assets loaned by Maiden Reinsurance to AII for deposit into the Trust Accounts, pursuant to a loan agreement between those parties, (b) assets transferred by Maiden Reinsurance for deposit into the Trust Accounts, or (c) a letter of credit obtained by Maiden Reinsurance and delivered to an AmTrust subsidiary on AII's behalf. Maiden Reinsurance may provide any or a combination of these forms of collateral, provided that the aggregate value thereof equals Maiden Reinsurance's proportionate share of its obligations under the AmTrust Quota Share. Maiden Reinsurance satisfied its collateral requirements under the AmTrust Quota Share with AII as follows:

•

by lending funds in the amount of $167,975 at March 31, 2020 and December 31, 2019 pursuant to a loan agreement entered into between those parties. Advances under the loan are secured by promissory notes. This loan was assigned by AII to AmTrust effective December 31, 2014 and is carried at cost. Interest is payable at a rate equivalent to the Federal Funds Effective Rate ("Fed Funds") plus 200 basis points per annum. Please see "Note 4. (c) Investments" for the total amount of interest earned from this loan. The interest income on the loan was $1,365 for the three months ended March 31, 2020 (2019 - $1,822) and the effective yield was 3.3% for the same period (2019 - 4.3%). On January 30, 2019, in connection with the termination of the reinsurance agreements described above, the Company and AmTrust entered into an amendment to the Loan Agreement between Maiden Reinsurance, AmTrust and AII, originally entered into on November 16, 2007, extending the maturity date to January 1, 2025 and acknowledges that due to the termination of the AmTrust Quota Share, no further loans or advances may be made pursuant to the Loan Agreement;

•

effective December 1, 2008, the Company entered into a Reinsurer Trust Assets Collateral agreement to provide to AII sufficient collateral to secure its proportional share of AII's obligations to the U.S. AmTrust subsidiaries. The amount of the collateral at March 31, 2020 was $998,535 (December 31, 2019 - $1,155,955) and the accrued interest was $4,897 (December 31, 2019 - $7,366). Please refer to "Note 4. (e) Investments" for additional information;

•

on January 11, 2019, a portion of the existing trust accounts used for collateral on the AmTrust Quota Share were converted to a funds withheld arrangement. The Company transferred cash and investments of $575,000 to AmTrust as a funds withheld receivable which initially had an annual interest rate of 3.5%, subject to annual adjustment. The annual interest rate was adjusted to 2.65% for the three months ended March 31, 2020. At March 31, 2020, the balance of funds withheld was $575,000 (December 31, 2019 - $575,000) and the accrued interest was $8,873 (December 31, 2019 - $5,073). The interest income on the funds withheld receivable was $3,800 for the three months ended March 31, 2020 (2019 - $4,426).

Pursuant to the terms of the LPT/ADC Agreement, Maiden Reinsurance, Cavello and AmTrust and certain of its affiliated companies entered into a Master Collateral Agreement (“MCA”) to define and enable the operation of collateral provided under the AmTrust Quota Share. Under the MCA, Cavello provided letters of credit on behalf of Maiden Reinsurance to AmTrust in an amount representing Cavello’s obligations under the LPT/ADC Agreement. Because these letters of credit replaced other collateral previously provided directly by Maiden Reinsurance to AmTrust, the MCA coordinates the collateral protection that will be provided to AmTrust to ensure that no gaps in collateral funding occur by operation of the LPT/ADC Agreement and related MCA. As a result of entering into both the LPT/ADC Agreement and the MCA, certain post-termination endorsements (“PTE's”) to the AmTrust Quota Share between AII and Maiden Reinsurance were required. Effective July 31, 2019, the PTE's: i) enable the operation of both the LPT/ADC Agreement and MCA by making provision for certain forms of collateral, including letters of credit provided by Cavello on Maiden Reinsurance’s behalf, and further defines the permitted use and return of collateral; and ii) increase the required funding percentage for Maiden Reinsurance under the collateral arrangements between the parties to 105% of its obligations, subject to a minimum excess funding requirement of $54,000, as may be mutually amended by the parties from time to time. Under certain defined conditions, Maiden Reinsurance may be required to increase this funding percentage to 110%.

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10. Related Party Transactions (continued)

Effective March 16, 2020, Maiden Reinsurance discontinued as a Bermuda company and completed its re-domestication to the State of Vermont. Bermuda is a Solvency II equivalent jurisdiction and the State of Vermont is not such a jurisdiction therefore, the collateral provided under the respective agreements with AmTrust subsidiaries was strengthened to reflect the impact of the re-domestication concurrent with the date of Maiden Reinsurance’s re-domestication to Vermont. Maiden Reinsurance and AmTrust agreed to: 1) amend the AmTrust Quota Share pursuant to Post Termination Endorsement No. 2 effective March 16, 2020; and 2) amend the European Hospital Liability Quota Share pursuant to Post Termination Endorsement No. 1 effective March 16, 2020.

Pursuant to the terms of Post Termination Endorsement No. 2 to the AmTrust Quota Share, Maiden Reinsurance will strengthen the collateral protection provided by Maiden Reinsurance to AII by increasing the required funding percentage for Maiden Reinsurance under the collateral arrangements between the parties to 110% of its obligations, subject to a minimum excess funding requirement of $54,000, as may be mutually amended by the parties from time to time. Post Termination Endorsement No. 2 also sets forth conditions by which the funding percentage will be reduced and the sequence of how collateral will be utilized as obligations as defined under the AmTrust Quota Share are satisfied.

Pursuant to the terms of Post Termination Endorsement No. 1 to the European Hospital Liability Quota Share, Maiden Reinsurance will strengthen the collateral protection provided by Maiden Reinsurance to AEL and AIU DAC by increasing the required funding percentage for Maiden Reinsurance under the collateral arrangements between the parties to the greater of 120% of the Exposure (as defined therein) and the amount of security required to offset the increase in the Solvency Capital Requirement (“SCR”) that results from the changes in the SCR which arise out of Maiden Reinsurance's re-domestication as compared to the SCR calculation if Maiden Reinsurance had remained domesticated in a Solvency II equivalent jurisdiction with a solvency ratio above 100% and provided collateral equivalent to 100% of the Exposure.

b) European Hospital Liability Quota Share

Collateral has been provided to both AEL and AIU DAC under the European Hospital Liability Quota Share. For AEL, the amount of the collateral held in reinsurance trust accounts at March 31, 2020 was $200,150 (December 31, 2019 - $253,631) and the accrued interest was $1,696 (December 31, 2019 - $1,821). For AIU DAC, the Company utilizes funds withheld to satisfy its collateral requirements. At March 31, 2020, the amount of funds withheld was $74,516 (December 31, 2019 - $57,305) and the accrued interest was $71 (December 31, 2019 - $269). AIU DAC pays Maiden Reinsurance a fixed annual interest rate of 0.5%, on the average daily funds withheld balance which is subject to annual adjustment.The interest income on the funds withheld receivable was $71 for the three months ended March 31, 2020 (2019 - $53), respectively.

Brokerage Agreement

Effective July 1, 2007, the Company entered into a reinsurance brokerage agreement with AII Reinsurance Broker Ltd. ("AIIB"), a wholly owned subsidiary of AmTrust. Pursuant to the brokerage agreement, AIIB provided brokerage services relating to the AmTrust Quota Share and the European Hospital Liability Quota Share for a fee equal to 1.25% of the premium assumed. AIIB was not the Company's exclusive broker. The brokerage agreement was terminated as of March 15, 2019.

Maiden Reinsurance recorded $234 of reinsurance brokerage expense for the three months ended March 31, 2020 (2019 - $1,977) and deferred reinsurance brokerage of $2,139 at March 31, 2020 (December 31, 2019 - $2,372) as a result of this agreement.

Asset Management Agreement

Effective July 1, 2007, the Company entered into an asset management agreement with AII Insurance Management Limited ("AIIM"), a wholly owned subsidiary of AmTrust, pursuant to which AIIM agreed to provide investment management services to the Company. Effective January 1, 2018, AIIM provides investment management services for a quarterly fee of 0.02125% of the average value of the account. The agreement may be terminated upon 30 days written notice by either party. The Company recorded $400 of investment management fees for the three months ended March 31, 2020 (2019 - $775) under this agreement.

Insurance Management Services Agreement

Effective August 31, 2019, the Company entered into an agreement with Risk Services - Vermont, Inc. ("Risk Services"), an affiliate of AmTrust. Pursuant to the agreement, Risk Services agreed to provide insurance management services to the Company including regulatory compliance services in connection with the re-domestication, licensing and operation of Maiden Reinsurance in the State of Vermont. The initial term of the agreement is three years and will automatically renew for an additional three years until either party gives written notice of its intention to terminate this agreement at least three months prior to the commencement of the next applicable period. The fee for this agreement was an initial $100 retainer for re-domestication services and $100 annually and reimbursement for reasonable out-of-pocket expenses incurred by Risk Services pursuant to the terms of the agreement. The Company recorded $25 of fees for the three months ended March 31, 2020.

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There are no material changes from the commitments, contingencies and concentrations previously disclosed in the Company’s Form 10-K for the year ended December 31, 2019.

a)	Concentrations of Credit Risk

At March 31, 2020 and December 31, 2019, the Company’s assets where significant concentrations of credit risk may exist include investments, cash and cash equivalents, loan to related party, reinsurance balances receivable, reinsurance recoverable on unpaid losses and funds withheld receivable. Please refer to "Note 8. Reinsurance" for additional information regarding the Company's credit risk exposure on its reinsurance counterparties including the impact of the LPT/ADC Agreement effective January 1, 2019. The Company requires its reinsurers to have adequate financial strength. The Company evaluates the financial condition of its reinsurers and monitors its concentration of credit risk on an ongoing basis. Provisions are made for amounts considered potentially uncollectible. Letters of credit are provided by its reinsurers for material amounts recoverable as discussed further in "Note 8 — Reinsurance".

The Company manages concentration of credit risk in its investment portfolio through issuer and sector exposure limitations. The Company believes it bears minimal credit risk in its cash on deposit. The Company also monitors the credit risk related to the loan to related party and funds withheld receivable, within which the largest balance is due from AmTrust. AmTrust has a financial strength/credit rating of A- from A.M. Best at March 31, 2020. To mitigate credit risk, the Company generally has a contractual right of offset thereby allowing claims to be settled net of any premiums or loan receivable. The Company believes these balances as at March 31, 2020 will be fully collectible.

b)	Operating Lease Commitments

The Company leases office spaces, housing, office equipment and company vehicles under various operating leases expiring in various years through 2022. The Company did not enter into any new lease arrangements during the three months ended March 31, 2020. The Company's leases are all currently classified as operating leases and none of them have non-lease components. For operating leases that have a lease term of more than twelve months, the Company recognized a lease liability and a right-of-use asset in the Company's Condensed Consolidated Balance Sheets at the present value of the remaining lease payments until expiration. As the lease contracts generally do not provide an implicit discount rate, the Company used the weighted-average discount rate of 10%, representing its secured incremental borrowing rate, in calculating the present value of the lease liability. The exercise of lease renewal options is at the sole discretion of the Company and none of our current lease renewal options are deemed to be reasonably certain to be exercised. The Company has made an accounting policy election not to include renewal, termination, or purchase options that are not reasonably certain of exercise when determining the term of the borrowing. The Company’s lease agreements do not contain any material residual value guarantees or material restrictive covenants. The Company's weighted-average remaining lease term is 2.4 years.

At March 31, 2020, the Company's future lease obligations of $2,060 (December 31, 2019 - $2,342) was calculated based on the present value of future annual rental commitments excluding taxes, insurance and other operating costs for non-cancellable operating leases discounted using its secured incremental borrowing rate. This amount has been recognized on the Condensed Consolidated Balance Sheets as a lease liability of $2,060 within accrued expenses and other liabilities with an equivalent amount for the right-of-use asset presented as part of other assets. Under Topic 842, Leases, the Company continues to recognize the related leasing expense on a straight-line basis over the lease term in the unaudited Condensed Consolidated Statements of Income. The Company's total lease expense for the three months ended March 31, 2020 was $410 (2019 - $421) which was recognized within net income consistent with the accounting treatment in prior periods under Topic 840. The operating cash outflows from operating leases included in the measurement of the lease liability during the three months ended March 31, 2020 was $340 (2019 - $341).

The scheduled maturity of the Company's operating lease liabilities are expected to be as follows:

	March 31, 2020
2020	$	832
2021	741
2022	741
Discount for present value	(254		)
Total discounted operating lease liabilities	$	2,060

c)	Legal Proceedings

Except as noted below, the Company is not a party to any material legal proceedings. From time to time, the Company is subject to routine legal proceedings, including arbitrations, arising in the ordinary course of business. These legal proceedings generally relate to claims asserted by or against the Company in the ordinary course of insurance or reinsurance operations. Based on the Company's opinion, the eventual outcome of these legal proceedings is not expected to have a material adverse effect on its financial condition or results of operations.

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11. Commitments and Contingencies (continued)

In April 2009, the Company learned that Bentzion S. Turin, the former Chief Operating Officer, General Counsel and Secretary of Maiden Holdings and Maiden Reinsurance, sent a letter to the U.S. Department of Labor claiming that his employment with the Company was terminated in retaliation for corporate whistle-blowing in violation of the whistle-blower protection provisions of the Sarbanes-Oxley Act of 2002. Mr. Turin alleged that he was terminated for raising concerns regarding corporate governance with respect to the negotiation of the terms of the Trust Preferred Securities Offering. He seeks reinstatement as Chief Operating Officer, General Counsel and Secretary of Maiden Holdings and Maiden Reinsurance, back pay and legal fees incurred. On December 31, 2009, the U.S. Secretary of Labor found no reasonable cause for Mr. Turin’s claim and dismissed the complaint in its entirety. Mr. Turin objected to the Secretary's findings and requested a hearing before an administrative law judge in the U.S. Department of Labor. The Company moved to dismiss Mr. Turin's complaint, and its motion was granted by the Administrative Law Judge on June 30, 2011. On July 13, 2011, Mr. Turin filed a petition for review of the Administrative Law Judge's decision with the Administrative Review Board in the U.S. Department of Labor. On March 29, 2013, the Administrative Review Board reversed the dismissal of the complaint on procedural grounds, and remanded the case to the administrative law judge. The administrative hearing began in September 2014 and concluded in November 2018. The Company believes that it had good and sufficient reasons for terminating Mr. Turin's employment and that the claim is without merit. The Company will continue to vigorously defend itself against this claim.

A putative class action complaint was filed against Maiden Holdings, Arturo M. Raschbaum, Karen L. Schmitt, and John M. Marshaleck in the United States District Court for the District of New Jersey on February 11, 2019. On February 19, 2020, the Court appointed lead plaintiffs, and on May 1, 2020, lead plaintiffs filed an amended class action complaint (the “Amended Complaint”).The Amended Complaint asserts violations of Section 10(b) of the Exchange Act and Rule 10b-5 (and Section 20(a) for control person liability) arising in large part from allegations that Maiden failed to take adequate loss reserves in connection with reinsurance provided to AmTrust. Plaintiffs further claim that certain of Maiden Holdings’ representations concerning its business, underwriting and financial statements were rendered false by the allegedly inadequate loss reserves, that these misrepresentations inflated the price of Maiden Holdings' common stock, and that when the truth about the misrepresentations was revealed, the Company’s stock price fell, causing Plaintiffs to incur losses. The Company believes the claims are without merit and intends to vigorously defend itself. It is possible that additional lawsuits will be filed against the Company, its subsidiaries and its respective officers due to the diminution in value of our securities as a result of our operating results and financial condition. It is currently uncertain as to the effect of such litigation on our business, operating results and financial condition.

The following is a summary of the elements used in calculating basic and diluted earnings per common share:

For the Three Months Ended March 31,		2020				2019
Numerator:
Net income (loss) from continuing operations		$	20,861			$	(33,902	)
Amount allocated to participating common shareholders(1)		(247		)		—
Income (loss) attributable to common shareholders, before discontinued operations		20,614				(33,902		)
Loss from discontinued operations, net of income tax expense		—				(2,734		)
Net income (loss) allocated to common shareholders		$	20,614			$	(36,636	)
Denominator:
Weighted average number of common shares – basic and diluted(2)		83,256,223				82,965,156
Basic and diluted earnings (loss) from continuing operations per share attributable to common shareholders		$	0.25			$	(0.41	)
Basic and diluted loss from discontinued operations per share attributable to common shareholders		—				(0.03		)
Basic and diluted earnings (loss) per share attributable to common shareholders:		$	0.25			$	(0.44	)

For the Three Months Ended March 31,		2020		2019

(1)	This represents the share in net income using the two class method of the holders of non-vested restricted shares issued to the Company's employees under the 2019 Omnibus Incentive Plan.

(2)

Please refer to "Note 13. Shareholders' Equity" and "Note 14. Share Compensation and Pension Plans" of the Notes to Consolidated Financial Statements included in the Company's Annual Report on Form 10-K for the year ended December 31, 2019, for the terms and conditions of securities that could potentially be dilutive in the future. For the three months ended March 31, 2020, there were no potentially dilutive securities.

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a)	Common Shares

At March 31, 2020, the aggregate authorized share capital of the Company is 150,000,000 shares from which the Company has issued 88,983,171 common shares, of which 83,969,991 common shares are outstanding, and 18,600,000 preference shares, all of which are outstanding. The remaining 42,416,829 shares are undesignated at March 31, 2020. For further discussion on the components of Shareholders' Equity, please refer to the Company's Annual Report on Form 10-K for the year ended December 31, 2019.

b)	Treasury Shares

During the three months ended March 31, 2019, the Company repurchased a total of 182 shares at an average price per share of $1.48 from employees, which represent withholdings in respect of tax obligations on the vesting of restricted shares and performance based shares. There were no such repurchases during the three months ended March 31, 2020.

The Company has a remaining authorization of $74,245 for share repurchases at March 31, 2020 (December 31, 2019 - $74,245). No repurchases were made during the three months ended March 31, 2020 and 2019 under the share repurchase plan.

c)	Accumulated Other Comprehensive Income (Loss)

The following tables set forth financial information regarding the changes in the balances of each component of AOCI:

For the Three Months Ended March 31, 2020		Change in net unrealized gains on investment				Foreign currency translation				Total
Beginning balance		$	21,996			$	(4,160	)		$	17,836
Other comprehensive loss before reclassifications		(40,088		)		(3		)		(40,091		)
Amounts reclassified from AOCI to net loss, net of tax		(4,033		)		—				(4,033		)
Net current period other comprehensive loss		(44,121		)		(3		)		(44,124		)
Ending balance, Maiden shareholders		$	(22,125	)		$	(4,163	)		$	(26,288	)
For the Three Months Ended March 31, 2019		Change in net unrealized gains on investment				Foreign currency translation				Total
Beginning balance		$	(59,762	)		$	(5,932	)		$	(65,694	)
Other comprehensive income before reclassifications		48,988				3,998				52,986
Amounts reclassified from AOCI to net loss, net of tax		12,488				—				12,488
Net current period other comprehensive income		61,476				3,998				65,474
Ending balance, Maiden shareholders		$	1,714			$	(1,934	)		$	(220	)

For the Three Months Ended March 31, 2020		Change in net unrealized gains on investment		Foreign currency translation		Total

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(1)	Non-GAAP operating earnings (loss), non-GAAP operating earnings (loss) per common share, and annualized non-GAAP operating return on average common equity and underwriting loss are non-GAAP financial measures. See "Key Financial Measures" for additional information.

(2)	Please refer to "Notes to Condensed Consolidated Financial Statements (unaudited) Note 12. Earnings per Common Share" for the calculation of basic and diluted income or loss per common share.

(3)	Underwriting loss is a non-GAAP measure and is calculated as net premiums earned plus other insurance revenue less net loss and LAE, commission and other acquisition expenses and general and administrative expenses directly related to underwriting activities. See "Key Financial Measures" for additional information.

(4)	Combined ratio is calculated by adding together the net loss and LAE ratio and the expense ratio.

(5)	Total investments and cash and cash equivalents includes both restricted and unrestricted.

(6)	Total capital resources is the sum of the Company's principal amount of debt and shareholders' equity. See "Key Financial Measures" for additional information.

(7)	Book value per common share is calculated using common shareholders’ equity (shareholders' equity excluding the aggregate liquidation value of our preference shares) divided by the number of common shares outstanding.See "Key Financial Measures" for additional information.

(8)	Diluted book value per common share is calculated by dividing common shareholders' equity, adjusted for assumed proceeds from the exercise of dilutive options, by the number of outstanding common shares plus dilutive options and restricted shares (assuming exercise of all dilutive share based awards). See "Key Financial Measures" for additional information.

(9)	During a period of loss, the basic weighted average common shares outstanding is used in the denominator of the diluted loss per common share computation as the effect of including potential dilutive shares would be anti-dilutive.

(10)	Adjusted book value per common share is a non-GAAP measure that is calculated using common shareholders' equity, adjusted for unamortized deferred gain on retroactive reinsurance, divided by the number of common shares outstanding. See "Key Financial Measures" for additional information.

(11)

Adjusted shareholders' equity and adjusted total capital resources are calculated by adding the unamortized deferred gain on retroactive reinsurance to the GAAP shareholders' equity and GAAP total capital resources, respectively. The deferred gain arises from the LPT/ADC Agreement with Cavello relating to losses from the AmTrust Quota Share agreement. Under U.S. GAAP, the deferred gain shall be amortized over the estimated remaining settlement period. See "Key Financial Measures" for additional information.

(12)	Ratio of debt to total capital resources is calculated using the total principal amount of debt divided by the sum of total capital resources.

(13)	Ratio of debt to adjusted total capital resources is calculated using the total principal amount of debt divided by the sum of adjusted total capital resources.

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(1)	Underwriting related general and administrative expenses is a non-GAAP measure. Please refer to "General and Administrative Expenses" below for additional information related to these corporate expenses and the reconciliation to those presented in our unaudited Condensed Consolidated Statements of Income.

(2)	Underwriting loss is a non-GAAP measure and is calculated as net premiums earned plus other insurance revenue less net loss and LAE, commission and other acquisition expenses and general and administrative expenses directly related to underwriting activities.

(3)	Calculated by dividing net loss and LAE by the sum of net premiums earned and other insurance revenue.

(4)	Calculated by dividing commission and other acquisition expenses by the sum of net premiums earned and other insurance revenue.

(5)	Calculated by dividing general and administrative expenses by the sum of net premiums earned and other insurance revenue.

(6)	Calculated by adding together commission and other acquisition expense ratio and general and administrative expense ratio.

(7)	Calculated by adding together net loss and LAE ratio and the expense ratio.

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•	net income from continuing operations of $20.9 million compared to net loss from continuing operations of $33.9 million for the same period in 2019 largely due to the following factors:

•	underwriting loss of $3.7 million compared to $42.7 million in the same period in 2019. The reduction in the underwriting loss was due to:

◦	the impact of lower loss ratios for current year premiums earned during the three months ended March 31, 2020 compared to the same period in 2019; and

◦	favorable prior year loss development of $0.5 million or 1.7 percentage points in the first quarter of 2020 compared to adverse prior year loss development of $7.3 million or 3.9 percentage points during the same period in 2019 which had been incurred primarily within AmTrust Reinsurance Segment.

•	realized gains on investment of $11.0 million for the three months ended March 31, 2020 compared to realized losses of $11.1 million for the same period in 2019; and

•	foreign exchange and other gains of $8.2 million for the three months ended March 31, 2020 compared to foreign exchange and other gains of $5.0 million for the same period in 2019.

•	net income from discontinued operations of $0.0 million compared to a net loss from discontinued operations of $2.7 million for the same period in 2019.

•	Premiums written in the Diversified Reinsurance segment decreased by $4.6 million or 30.6% for the three months ended March 31, 2020 compared to the same respective period in 2019 due to lower premiums written in German Auto programs within our IIS business.

•

There were no new written premiums within the AmTrust Reinsurance segment due to the termination of both the AmTrust Quota Share and the European Hospital Liability Quota Share effective January 1, 2019. For the three months ended March 31, 2019, the negative premiums written are primarily the result of the Partial Termination Amendment which resulted in Maiden Reinsurance returning approximately $648.0 million in unearned premium to AII, or $436.8 million net of applicable ceding commission and brokerage.

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(1)	The average of our total investments, cash, restricted cash and cash equivalents, funds withheld receivable and loan to related party held at each quarter-end during the period.

(2)	Ratio of net investment income over average investable assets at fair value.

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•	the Partial Termination Amendment caused significant changes in the mix of business being earned in 2020 compared to 2019. These changes resulted in a current year loss ratio which decreased relative to the same period in 2019 for the remaining in-force business; and

•

there was no impact of prior year loss development during the three months ended March 31, 2020 on the loss ratio, compared to the impact of adverse prior year loss development which was $8.1 million or 5.2 percentage points for the same period in 2019. Prior year adverse development in 2019 was due to adverse development in Commercial Auto Liability in accident years 2014 to 2017, partly offset by favorable development in Workers Compensation.

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(1)	Average yield is calculated by dividing annualized investment income for each sub-component of fixed maturity securities and cash and cash equivalents (including amortization of premium or discount) by amortized cost.

(2)	Average duration in years.

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(1)	Ratings as assigned by S&P, or equivalent

(1)	Ratings as assigned by S&P, or equivalent

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(1)	Ratings as assigned by S&P, or equivalent

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•	net decrease in AOCI of $44.1 million which arose due to net unrealized losses on investment resulting from the net decrease in the fair value of our investment portfolio relating to market price movements due to widening credit spreads and unfavorable economic conditions during the three months ended March 31, 2020; partly offset by:

•	net income attributable to Maiden of $20.9 million for the three months ended March 31, 2020; and

•	net increase in share based transactions of $0.5 million.

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