Watford warns market volatility will weigh on Q1 results

Watford Holdings has warned its Q1 results will include a net investment loss of approximately $265 million due to the financial volatility caused by the COVID-19 crisis and the resulting economic shutdown.

The loss comprises unrealised mark-to-market losses to Watford’s non-investment grade fixed-income portfolio. The impact of unrealised mark-to-market losses on net income is estimated to be approximately $290 million, with realised losses estimated to be approximately $6 million for the quarter.

Book value is also expected to be impacted by unrealised mark-to-market losses to its investment grade portfolio of approximately $38 million.

Watford said the impact of COVID-19 on its Q1 underwriting results, which are due on May 4, is not expected to be material, due to the mix of business underwritten.