Exhibit 99.1
MAX CAPITAL GROUP LTD. REPORTS THIRD-QUARTER 2008 RESULTS
HAMILTON, BERMUDA, November 3, 2008—Max Capital Group Ltd. (NASDAQ: MXGL; BSX: MXGL BH) today reported a net loss for the three months ended September 30, 2008, of $163.2 million, or $2.89 per fully diluted share, compared to net income of $66.8 million, or $1.05 per fully diluted share, for the three months ended September 30, 2007. Net operating loss, which represents net income or loss excluding after-tax net realized gains and losses on fixed maturities, was $146.1 million, or $2.59 per fully diluted share, compared to net operating income of $68.4 million, or $1.08 per fully diluted share, for the three months ended September 30, 2008 and 2007, respectively.
W. Marston (Marty) Becker, Chairman and Chief Executive Officer of Max Capital Group Ltd., said: “Max’s continued solid underwriting performance has been overshadowed by the impact of an unusually difficult investment environment. Max’s overall combined ratio remains ahead of plan for the year despite the soft market conditions and the occurrence of multiple cat events, with the improved underwriting performance primarily due to favorable development of prior period reserves. As previously announced, our overall investment portfolio return was negative for the quarter but compared favorably to major indices on a year to date basis. We have updated our investment strategy in keeping with Max’s growing and changing underwriting platforms which should serve us well in an increasingly attractive underwriting environment for 2009.”
For the nine months ended September 30, 2008, the Company had a net loss of $81.2 million, or $1.43 per diluted share, compared to net income of $240.9 million, or $3.77 per diluted share, for the nine months ended September 30, 2007. Net operating loss was $63.7 million, or $1.12 per diluted share, compared to net operating income of $243.9 million, or $3.81 per diluted share, for the nine months ended September 30, 2008 and 2007, respectively.
Gross premiums written from property and casualty underwriting for the three months ended September 30, 2008, were $206.3 million compared to $160.8 million for the three months ended September 30, 2007, an increase of 28.3 percent. The increase in gross premiums written reflects the growth of the Company’s property and casualty U.S. specialty segment, which commenced underwriting activity in the first half of 2007. Net premiums earned from property and casualty underwriting for the three months ended September 30, 2008, were $141.6 million compared to $115.5 million for the same period of 2007. There were no gross premiums written and net premiums earned from life and annuity underwriting for the three months ended September 30, 2008, compared to $62.2 million and $62.1 million for the same period of 2007.
Gross premiums written from property and casualty underwriting for the nine months ended September 30, 2008, were $787.9 million compared to $614.5 million for the nine months ended September 30, 2007, an increase of 28.2 percent. The increase in property and casualty gross premiums written was principally due to the expansion of the Company’s agriculture reinsurance product line together with the growth of its property and casualty U.S. specialty segment. Property and casualty reinsurance, property and casualty insurance, property and casualty U.S. specialty insurance, and life and annuity reinsurance accounted for 42.8 percent, 31.3 percent, 15.2 percent and 10.7 percent, respectively, of gross premiums written for the nine months ended September 30, 2008, versus 45.5 percent, 41.9 percent, 3.2 percent and 9.4 percent, respectively, for the same period in 2007. Net premiums earned from property and casualty underwriting for the nine months ended September 30, 2008, were $418.0 million compared to $391.8 million for the same period of 2007. Gross premiums written and net premiums earned from life and annuity underwriting for the nine months ended September 30, 2008, were $94.3 million and $94.0 million, respectively, compared to $63.6 million and $63.2 million for the same period of 2007, with one annuity reinsurance transaction in each period.
Net investment income for the three months ended September 30, 2008, decreased to $45.3 million from $49.7 million for the same period in 2007, principally attributable to lower yields on cash and fixed-maturity investments. Net losses on alternative investments for the three months ended September 30, 2008 were $158.8 million, for a negative 12.99 percent rate of return, compared to net gains of $14.5 million and a 1.19 percent rate of return for the same period in 2007. For the nine months ended September 30, 2008 alternative investments have returned negative 11.98 percent or a net loss of $145.0 million compared to 12.18 percent or net gains of $136.7 million for the same period in 2007. Trailing twelve-month and sixty-month returns on alternative investments were negative 8.22 percent and positive 4.95 percent, respectively, at September 30, 2008. In accordance with the Company’s accounting policy, the unrealized mark-to-market gains and losses from the alternative investment portfolio are recorded through net income rather than as an adjustment to book value through other comprehensive income. Invested assets were $5.0 billion as of September 30, 2008, with an allocation of 81.4 percent to cash and fixed maturities and 18.6 percent to alternative investments.
Property and casualty net losses and loss expenses were $106.8 million with a loss ratio of 75.5% for the three months ended September 30, 2008, compared to $50.8 million with a loss ratio of 44.0% for the same period in 2007. Net losses recognized in the three months ended September 30, 2008 related to hurricanes Gustav and Ike were $50.0 million, net of reinstatement premiums of $7.4 million. There were no comparable catastrophe-related losses in the 2007 period. Results for the three months ended September 30, 2008 include net favorable development on prior period reserves of $52.3 million on property and casualty reinsurance and insurance reserves, compared to net favorable development of $49.2 million in the same period in 2007.
Claims and policy benefits for life and annuity reinsurance decreased from $70.6 million for the three months ended September 30, 2007 to $14.0 million for the same period in 2008, as no new life and annuity transactions were written in the current quarter.
Acquisition costs for the three months ended September 30, 2008, were $13.9 million compared to $12.1 million for the three months ended September 30, 2007. The increase in the 2008 quarter compared to the same period in 2007 was principally attributable to the growth in the Company’s property and casualty U.S. specialty segment.
Interest expense for the three months ended September 30, 2008, was $4.5 million versus $13.7 million for the same period in 2007. The decrease was principally attributable to lower interest crediting rates on certain large funds withheld balances, which are based on the total return of two fixed income indices, together with the reduction in interest expense on bank loans due to the decrease in LIBOR compared to the same period in 2007.
General and administrative expenses for the three months ended September 30, 2008, were $33.3 million compared to $27.8 million for the same period in 2007. The increase in general and administrative expenses was principally the result of losses on foreign exchange and expenses related to the growth of the Company’s property and casualty U.S. specialty segment.
During the three months ended September 30, 2008, under the Board-approved share repurchase authorization, the Company repurchased 109,500 of its common shares at an average price of $25.63 per share for a total amount of $2.8 million. As of September 30, 2008, $73.4 million remains under the Company’s share repurchase authorization.
Shareholders’ equity was $1,274.5 million at September 30, 2008. Book value per share at September 30, 2008, was $22.77 per share, versus $27.54 at December 31, 2007, a decrease of 17.3 percent. Fully diluted book value per share at September 30, 2008, was $21.88 versus $25.59 at December 31, 2007, a decrease of 14.5 percent. Diluted book value per share is computed using the treasury stock method.
Max Capital Group Ltd., through its operating subsidiaries, provides specialty insurance and reinsurance products to corporations, public entities, property and casualty insurers and life and health insurers.
This release includes statements about future economic performance, finances, expectations, plans and prospects of the Company that constitute forward-looking statements for purposes of the safe harbor provisions of the Private Securities Litigation Reform Act of 1995. Such forward-looking statements are subject to various risks and uncertainties that could cause actual results to differ materially from those suggested by such statements. For further information regarding cautionary statements and factors affecting future results, please refer to the Company’s most recent Annual Report on Form 10-K, Quarterly Reports on Form 10-Q filed subsequent to the Annual Report and other documents filed by the Company with the SEC. The Company undertakes no obligation to update or revise publicly any forward-looking statement whether as a result of new information, future developments or otherwise.
In presenting the Company’s results, management has included and discussed net operating income per diluted share and net operating return on average shareholders’ equity. Such measures are “non-GAAP financial measures” as defined in Regulation G. Management believes that these non-GAAP financial measures, which may be defined differently by other companies, allow for a more complete understanding of the Company’s business. These measures, however, should not be viewed as a substitute for those determined in accordance with GAAP. The reconciliation of such measures to their respective most directly comparable GAAP financial measures is presented in the attached financial information in accordance with Regulation G.
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| Contacts | | | | |
| N. James Tees | | Roanne Kulakoff | | |
| Executive Vice President | | Kekst and Company | | |
| jim.tees@maxcapservices.com | | roanne-kulakoff@kekst.com | | |
| 1-441-293-8800 | | 1-212-521-4837 | | |
MAX CAPITAL GROUP LTD.
CONSOLIDATED BALANCE SHEETS
(Expressed in thousands of United States Dollars, except per share and share amounts)
| | | | | | | | |
| | | September 30, 2008 | | | December 31, 2007 | |
| | | (Unaudited) | | | | |
ASSETS | | | | | | | | |
Cash and cash equivalents | | $ | 652,929 | | | $ | 397,656 | |
Fixed maturities, available for sale at fair value | | | 3,410,672 | | | | 3,663,226 | |
Alternative investments, at fair value | | | 930,315 | | | | 1,061,734 | |
Accrued interest income | | | 47,639 | | | | 49,100 | |
Premiums receivable | | | 505,260 | | | | 432,965 | |
Losses and benefits recoverable from reinsurers | | | 716,186 | | | | 578,333 | |
Deferred acquisition costs | | | 51,568 | | | | 44,187 | |
Prepaid reinsurance premiums | | | 180,322 | | | | 130,071 | |
Trades pending settlement | | | 62,384 | | | | 112,423 | |
Other assets | | | 81,658 | | | | 68,834 | |
| | | | | | | | |
Total assets | | $ | 6,638,933 | | | $ | 6,538,529 | |
| | | | | | | | |
| | |
LIABILITIES | | | | | | | | |
Property and casualty losses | | $ | 2,568,020 | | | $ | 2,333,877 | |
Life and annuity benefits | | | 1,222,016 | | | | 1,203,509 | |
Deposit liabilities | | | 219,524 | | | | 220,513 | |
Funds withheld from reinsurers | | | 158,957 | | | | 169,263 | |
Unearned property and casualty premiums | | | 557,845 | | | | 439,581 | |
Reinsurance balances payable | | | 147,579 | | | | 99,221 | |
Accounts payable and accrued expenses | | | 95,713 | | | | 58,892 | |
Bank loans | | | 295,000 | | | | 330,000 | |
Senior notes | | | 99,797 | | | | 99,779 | |
| | | | | | | | |
Total liabilities | | | 5,364,451 | | | | 4,954,635 | |
| | | | | | | | |
| | |
SHAREHOLDERS’ EQUITY | | | | | | | | |
Preferred shares (par value $1.00) 20,000,000 shares authorized; no shares issued or outstanding | | | — | | | | — | |
Common shares (par value $1.00) 200,000,000 shares authorized; 55,970,138 (2007 - 57,515,075) shares issued and outstanding | | | 55,970 | | | | 57,515 | |
Additional paid-in capital | | | 759,478 | | | | 844,455 | |
Accumulated other comprehensive loss | | | (146,749 | ) | | | (20,341 | ) |
Retained earnings | | | 605,783 | | | | 702,265 | |
| | | | | | | | |
Total shareholders’ equity | | | 1,274,482 | | | | 1,583,894 | |
| | | | | | | | |
Total liabilities and shareholders’ equity | | $ | 6,638,933 | | | $ | 6,538,529 | |
| | | | | | | | |
Book Value Per Share | | $ | 22.77 | | | $ | 27.54 | |
| | | | | | | | |
Fully Diluted Book Value Per Share | | $ | 21.88 | | | $ | 25.59 | |
| | | | | | | | |
Diluted Shares Outstanding | | | 58,246,737 | | | | 61,901,228 | |
MAX CAPITAL GROUP LTD.
CONSOLIDATED STATEMENTS OF INCOME AND COMPREHENSIVE INCOME (Unaudited)
(Expressed in thousands of United States Dollars, except per share and share amounts)
| | | | | | | | | | | | | | | | |
| | | Three Months Ended September 30 | | | Nine Months Ended September 30 | |
| | | 2008 | | | 2007 | | | 2008 | | | 2007 | |
REVENUES | | | | | | | | | | | | | | | | |
Gross premiums written | | $ | 206,260 | | | $ | 222,989 | | | $ | 882,186 | | | $ | 678,089 | |
Reinsurance premiums ceded | | | (96,061 | ) | | | (49,680 | ) | | | (299,851 | ) | | | (203,521 | ) |
| | | | | | | | | | | | | | | | |
Net premiums written | | $ | 110,199 | | | $ | 173,309 | | | $ | 582,335 | | | $ | 474,568 | |
| | | | | | | | | | | | | | | | |
| | | | |
Earned premiums | | $ | 238,378 | | | $ | 239,462 | | | $ | 760,676 | | | $ | 640,651 | |
Earned premiums ceded | | | (96,789 | ) | | | (61,908 | ) | | | (248,665 | ) | | | (185,664 | ) |
| | | | | | | | | | | | | | | | |
Net premiums earned | | | 141,589 | | | | 177,554 | | | | 512,011 | | | | 454,987 | |
| | | | |
Net investment income | | | 45,265 | | | | 49,665 | | | | 137,398 | | | | 138,851 | |
Net (losses) gains on alternative investments | | | (158,756 | ) | | | 14,487 | | | | (144,990 | ) | | | 136,686 | |
Net realized losses on fixed maturities | | | (17,550 | ) | | | (1,650 | ) | | | (17,911 | ) | | | (2,975 | ) |
Other income | | | (423 | ) | | | 244 | | | | 1,001 | | | | 587 | |
| | | | | | | | | | | | | | | | |
Total revenues | | | 10,125 | | | | 240,300 | | | | 487,509 | | | | 728,136 | |
| | | | | | | | | | | | | | | | |
| | | | |
LOSSES AND EXPENSES | | | | | | | | | | | | | | | | |
Net losses and loss expenses | | | 106,834 | | | | 50,781 | | | | 278,585 | | | | 243,229 | |
Claims and policy benefits | | | 14,000 | | | | 70,572 | | | | 137,175 | | | | 91,640 | |
Acquisition costs | | | 13,896 | | | | 12,105 | | | | 35,743 | | | | 46,763 | |
Interest expense | | | 4,501 | | | | 13,673 | | | | 20,547 | | | | 30,108 | |
General and administrative expenses | | | 33,308 | | | | 27,783 | | | | 95,520 | | | | 79,741 | |
| | | | | | | | | | | | | | | | |
Total losses and expenses | | | 172,539 | | | | 174,914 | | | | 567,570 | | | | 491,481 | |
| | | | | | | | | | | | | | | | |
| | | | |
(LOSS) INCOME BEFORE TAXES | | | (162,414 | ) | | | 65,386 | | | | (80,061 | ) | | | 236,655 | |
Income tax expense (benefit) | | | 773 | | | | (1,380 | ) | | | 1,174 | | | | (4,244 | ) |
| | | | | | | | | | | | | | | | |
NET (LOSS) INCOME | | | (163,187 | ) | | | 66,766 | | | | (81,235 | ) | | | 240,899 | |
| | | | |
Change in net unrealized depreciation of fixed maturities, net of tax | | | (40,127 | ) | | | 33,274 | | | | (108,939 | ) | | | (24,472 | ) |
Foreign currency translation adjustment | | | (9,116 | ) | | | 1,666 | | | | (17,469 | ) | | | 2,535 | |
| | | | | | | | | | | | | | | | |
| | | | |
COMPREHENSIVE (LOSS) INCOME | | $ | (212,430 | ) | | $ | 101,706 | | | $ | (207,643 | ) | | $ | 218,962 | |
| | | | | | | | | | | | | | | | |
| | | | |
Basic earnings per share | | $ | (2.89 | ) | | $ | 1.12 | | | $ | (1.43 | ) | | $ | 4.01 | |
| | | | | | | | | | | | | | | | |
Diluted earnings per share | | $ | (2.89 | ) | | $ | 1.05 | | | $ | (1.43 | ) | | $ | 3.77 | |
| | | | | | | | | | | | | | | | |
Diluted net operating earnings per share | | $ | (2.59 | ) | | $ | 1.08 | | | $ | (1.12 | ) | | $ | 3.81 | |
| | | | | | | | | | | | | | | | |
| | | | |
Weighted average shares outstanding - basic | | | 56,385,134 | | | | 59,609,354 | | | | 56,660,457 | | | | 60,021,083 | |
| | | | | | | | | | | | | | | | |
Weighted average shares outstanding - diluted | | | 58,505,163 | | | | 63,558,087 | | | | 60,370,906 | | | | 63,958,341 | |
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MAX CAPITAL GROUP LTD.
CONSOLIDATED STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (Unaudited)
(Expressed in thousands of United States Dollars)
| | | | | | | | |
| | | Nine Months Ended September 30 | |
| | | 2008 | | | 2007 | |
Preferred shares | | | | | | | | |
Balance, beginning of period | | $ | — | | | $ | — | |
| | | | | | | | |
Balance, end of period | | | — | | | | — | |
| | | | | | | | |
| | |
Common shares | | | | | | | | |
Balance, beginning of period | | | 57,515 | | | | 60,277 | |
Issuance of shares | | | 2,315 | | | | 1,488 | |
Repurchase of shares | | | (3,860 | ) | | | (3,057 | ) |
| | | | | | | | |
Balance, end of period | | | 55,970 | | | | 58,708 | |
| | | | | | | | |
| | |
Additional paid-in capital | | | | | | | | |
Balance, beginning of period | | | 844,455 | | | | 933,292 | |
Issuance of common shares, net | | | 2,677 | | | | 3,294 | |
Stock based compensation expense | | | 14,726 | | | | 13,319 | |
Repurchase of shares | | | (102,380 | ) | | | (76,575 | ) |
| | | | | | | | |
Balance, end of period | | | 759,478 | | | | 873,330 | |
| | | | | | | | |
| | |
Accumulated other comprehensive loss | | | | | | | | |
Balance, beginning of period | | | (20,341 | ) | | | (21,688 | ) |
Holding losses on fixed maturities arising in period, net of tax | | | (122,677 | ) | | | (27,447 | ) |
Net realized losses included in net income, net of tax | | | 13,738 | | | | 2,975 | |
Currency translation adjustments | | | (17,469 | ) | | | 2,535 | |
| | | | | | | | |
Balance, end of period | | | (146,749 | ) | | | (43,625 | ) |
| | | | | | | | |
| | |
Retained earnings | | | | | | | | |
Balance, beginning of period | | | 702,265 | | | | 418,180 | |
Net (loss) income | | | (81,235 | ) | | | 240,899 | |
Dividends paid | | | (15,247 | ) | | | (13,896 | ) |
| | | | | | | | |
Balance, end of period | | | 605,783 | | | | 645,183 | |
| | | | | | | | |
| | |
Total shareholders’ equity | | $ | 1,274,482 | | | $ | 1,533,596 | |
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MAX CAPITAL GROUP LTD.
CONSOLIDATED STATEMENTS OF CASH FLOWS (Unaudited)
(Expressed in thousands of United States Dollars)
| | | | | | | | |
| | | Nine Months Ended September 30 | |
| | | 2008 | | | 2007 | |
OPERATING ACTIVITIES | | | | | | | | |
Net (loss) income | | $ | (81,235 | ) | | $ | 240,899 | |
Adjustments to reconcile net income to net cash from operating activities: | | | | | | | | |
Stock based compensation | | | 14,726 | | | | 13,319 | |
Amortization of premium on fixed maturities | | | 3,771 | | | | 3,271 | |
Accretion of deposit liabilities | | | 3,649 | | | | 4,950 | |
Net losses (gains) on alternative investments | | | 144,990 | | | | (136,686 | ) |
Net realized losses on fixed maturities | | | 17,911 | | | | 2,975 | |
Changes in: | | | | | | | | |
Accrued interest income | | | 1,461 | | | | (4,450 | ) |
Premiums receivable | | | (72,295 | ) | | | (32,529 | ) |
Losses and benefits recoverable from reinsurers | | | (140,869 | ) | | | (113,611 | ) |
Deferred acquisition costs | | | (7,381 | ) | | | (1,329 | ) |
Prepaid reinsurance premiums | | | (51,004 | ) | | | (17,659 | ) |
Trades pending settlement | | | 50,039 | | | | 87,086 | |
Other assets | | | 17,135 | | | | (7,658 | ) |
Property and casualty losses | | | 247,334 | | | | 170,910 | |
Life and annuity benefits | | | 55,057 | | | | 68,965 | |
Funds withheld from reinsurers | | | (10,306 | ) | | | 606 | |
Unearned property and casualty premiums | | | 121,510 | | | | 37,492 | |
Reinsurance balances payable | | | 48,358 | | | | 28,337 | |
Accounts payable and accrued expenses | | | 36,821 | | | | (47,814 | ) |
| | | | | | | | |
Cash provided by operating activities | | | 399,672 | | | | 297,074 | |
| | | | | | | | |
| | |
INVESTING ACTIVITIES | | | | | | | | |
Purchases of fixed maturities | | | (638,977 | ) | | | (1,103,483 | ) |
Sales of fixed maturities | | | 261,290 | | | | 263,024 | |
Redemptions of fixed maturities | | | 441,634 | | | | 346,525 | |
Net (purchases) sales of alternative investments | | | (13,571 | ) | | | 108,276 | |
Acquisition of subsidiary, net of cash acquired | | | (29,941 | ) | | | (28,400 | ) |
| | | | | | | | |
Cash provided by (used in) investing activities | | | 20,435 | | | | (414,058 | ) |
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| | |
FINANCING ACTIVITIES | | | | | | | | |
Net proceeds from issuance of common shares | | | 4,992 | | | | 4,782 | |
Repurchase of common shares | | | (106,240 | ) | | | (79,632 | ) |
(Repayment of) proceeds from bank loans | | | (35,000 | ) | | | 165,000 | |
Net proceeds from issuance of senior notes | | | — | | | | 99,497 | |
Dividends paid | | | (15,247 | ) | | | (13,896 | ) |
Additions to deposit liabilities | | | 15,762 | | | | 18,879 | |
Payment of deposit liabilities | | | (21,011 | ) | | | (7,379 | ) |
| | | | | | | | |
Cash (used in) provided by financing activities | | | (156,744 | ) | | | 187,251 | |
| | | | | | | | |
Effect of exchange rate on cash | | | (8,090 | ) | | | 2,535 | |
Net increase in cash and cash equivalents | | | 255,273 | | | | 72,802 | |
Cash and cash equivalents, beginning of period | | | 397,656 | | | | 441,895 | |
| | | | | | | | |
CASH AND CASH EQUIVALENTS, END OF PERIOD | | $ | 652,929 | | | $ | 514,697 | |
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SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION: | | | | | | | | |
Interest paid totaled $14,892 and $13,084 for the nine months ended September 30, 2008 and 2007, respectively.
Corporate taxes paid totaled $185 and $307 for the nine months ended September 30, 2008 and 2007, respectively.
MAX CAPITAL GROUP LTD.
SCHEDULE OF SUPPLEMENTAL UNDERWRITING DATA–NINE MONTHS ENDED SEPTEMBER 30, 2008 (Unaudited)
(Expressed in thousands of United States Dollars)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Year to Date Segment Information: | | Property & Casualty | | | Life & Annuity | | | Corporate | | | Consolidated | |
| | Bermuda/Dublin | | | | | | | | | | | | | | | | |
| | Reinsurance | | | Insurance | | | U.S. Specialty | | | Total | | | Reinsurance | | | | | | | |
Gross premiums written | | $ | 377,485 | | | $ | 276,288 | | | $ | 134,162 | | | $ | 787,935 | | | $ | 94,251 | | | $ | — | | | $ | 882,186 | |
Reinsurance premiums ceded | | | (85,133 | ) | | | (133,099 | ) | | | (81,334 | ) | | | (299,566 | ) | | | (285 | ) | | | — | | | | (299,851 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net premiums written | | $ | 292,352 | | | $ | 143,189 | | | $ | 52,828 | | | $ | 488,369 | | | $ | 93,966 | | | $ | — | | | $ | 582,335 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Earned premiums | | $ | 310,663 | | | $ | 278,092 | | | $ | 77,670 | | | $ | 666,425 | | | $ | 94,251 | | | $ | — | | | $ | 760,676 | |
Earned premiums ceded | | | (57,817 | ) | | | (140,991 | ) | | | (49,571 | ) | | | (248,379 | ) | | | (286 | ) | | | — | | | | (248,665 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net premiums earned | | | 252,846 | | | | 137,101 | | | | 28,099 | | | | 418,046 | | | | 93,965 | | | | — | | | | 512,011 | |
| | | | | | | |
Net investment income | | | 27,797 | | | | 13,313 | | | | 5,563 | | | | 46,673 | | | | 29,932 | | | | 60,793 | | | | 137,398 | |
Net losses on alternative investments | | | (29,638 | ) | | | (13,576 | ) | | | — | | | | (43,214 | ) | | | (58,751 | ) | | | (43,025 | ) | | | (144,990 | ) |
Net realized losses on fixed maturities | | | — | | | | — | | | | (523 | ) | | | (523 | ) | | | — | | | | (17,388 | ) | | | (17,911 | ) |
Other income | | | — | | | | 1,112 | | | | 140 | | | | 1,252 | | | | — | | | | (251 | ) | | | 1,001 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total revenues | | | 251,005 | | | | 137,950 | | | | 33,279 | | | | 422,234 | | | | 65,146 | | | | 129 | | | | 487,509 | |
| | | | | | | |
Net losses and loss expenses | | | 150,326 | | | | 108,819 | | | | 19,440 | | | | 278,585 | | | | — | | | | — | | | | 278,585 | |
Claims and policy benefits | | | — | | | | — | | | | — | | | | — | | | | 137,175 | | | | — | | | | 137,175 | |
Acquisition costs | | | 35,174 | | | | (1,945 | ) | | | 2,058 | | | | 35,287 | | | | 456 | | | | — | | | | 35,743 | |
Interest expense | | | 2,382 | | | | — | | | | — | | | | 2,382 | | | | 2,096 | | | | 16,069 | | | | 20,547 | |
General and administrative expenses | | | 21,981 | | | | 16,052 | | | | 20,599 | | | | 58,632 | | | | 2,273 | | | | 34,615 | | | | 95,520 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total losses and expenses | | | 209,863 | | | | 122,926 | | | | 42,097 | | | | 374,886 | | | | 142,000 | | | | 50,684 | | | | 567,570 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Income (loss) before taxes | | $ | 41,142 | | | $ | 15,024 | | | $ | (8,818 | ) | | $ | 47,348 | | | $ | (76,854 | ) | | $ | (50,555 | ) | | $ | (80,061 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Loss Ratio (a) | | | 59.5 | % | | | 79.4 | % | | | 69.2 | % | | | 66.6 | % | | | | | | | | | | | | |
Combined Ratio (b) | | | 82.1 | % | | | 89.7 | % | | | 149.8 | % | | | 89.1 | % | | | | | | | | | | | | |
SCHEDULE OF SUPPLEMENTAL UNDERWRITING DATA–THREE MONTHS ENDED SEPTEMBER 30, 2008 (Unaudited)
(Expressed in thousands of United States Dollars)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Quarter Segment Information: | | Property & Casualty | | | Life & Annuity | | | Corporate | | | Consolidated | |
| | Bermuda/Dublin | | | | | | | | | | | | | | | | |
| | Reinsurance | | | Insurance | | | U.S. Specialty | | | Total | | | Reinsurance | | | | | | | |
Gross premiums written | | $ | 72,458 | | | $ | 80,908 | | | $ | 52,894 | | | $ | 206,260 | | | $ | — | | | $ | — | | | $ | 206,260 | |
Reinsurance premiums ceded | | | (27,210 | ) | | | (38,316 | ) | | | (30,535 | ) | | | (96,061 | ) | | | — | | | | — | | | | (96,061 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net premiums written | | $ | 45,248 | | | $ | 42,592 | | | $ | 22,359 | | | $ | 110,199 | | | $ | — | | | $ | — | | | $ | 110,199 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Earned premiums | | $ | 110,132 | | | $ | 93,264 | | | $ | 34,982 | | | $ | 238,378 | | | $ | — | | | $ | — | | | $ | 238,378 | |
Earned premiums ceded | | | (28,054 | ) | | | (47,013 | ) | | | (21,722 | ) | | | (96,789 | ) | | | — | | | | — | | | | (96,789 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net premiums earned | | | 82,078 | | | | 46,251 | | | | 13,260 | | | | 141,589 | | | | — | | | | — | | | | 141,589 | |
| | | | | | | |
Net investment income | | | 8,360 | | | | 4,933 | | | | 1,753 | | | | 15,046 | | | | 9,347 | | | | 20,872 | | | | 45,265 | |
Net losses on alternative investments | | | (32,637 | ) | | | (14,937 | ) | | | — | | | | (47,574 | ) | | | (65,286 | ) | | | (45,896 | ) | | | (158,756 | ) |
Net realized losses on fixed maturities | | | — | | | | — | | | | (523 | ) | | | (523 | ) | | | — | | | | (17,027 | ) | | | (17,550 | ) |
Other income | | | — | | | | — | | | | 140 | | | | 140 | | | | — | | | | (563 | ) | | | (423 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total revenues | | | 57,801 | | | | 36,247 | | | | 14,630 | | | | 108,678 | | | | (55,939 | ) | | | (42,614 | ) | | | 10,125 | |
| | | | | | | |
Net losses and loss expenses | | | 58,990 | | | | 39,014 | | | | 8,830 | | | | 106,834 | | | | — | | | | — | | | | 106,834 | |
Claims and policy benefits | | | — | | | | — | | | | — | | | | — | | | | 14,000 | | | | — | | | | 14,000 | |
Acquisition costs | | | 12,668 | | | | (743 | ) | | | 1,773 | | | | 13,698 | | | | 198 | | | | — | | | | 13,896 | |
Interest expense | | | (63 | ) | | | — | | | | — | | | | (63 | ) | | | (148 | ) | | | 4,712 | | | | 4,501 | |
General and administrative expenses | | | 6,186 | | | | 5,200 | | | | 8,323 | | | | 19,709 | | | | 782 | | | | 12,817 | | | | 33,308 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total losses and expenses | | | 77,781 | | | | 43,471 | | | | 18,926 | | | | 140,178 | | | | 14,832 | | | | 17,529 | | | | 172,539 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Income (loss) before taxes | | $ | (19,980 | ) | | $ | (7,224 | ) | | $ | (4,296 | ) | | $ | (31,500 | ) | | $ | (70,771 | ) | | $ | (60,143 | ) | | $ | (162,414 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Loss Ratio (a) | | | 71.9 | % | | | 84.4 | % | | | 66.6 | % | | | 75.5 | % | | | | | | | | | | | | |
Combined Ratio (b) | | | 94.8 | % | | | 94.0 | % | | | 142.7 | % | | | 99.0 | % | | | | | | | | | | | | |
| (a) | The loss ratio is calculated by dividing net losses and loss expenses by net premiums earned. |
| (b) | The combined ratio is calculated by dividing the sum of net losses and loss expenses, acquisition costs and general and administrative expenses by net premiums earned. |
MAX CAPITAL GROUP LTD.
SCHEDULE OF SUPPLEMENTAL UNDERWRITING DATA–NINE MONTHS ENDED SEPTEMBER 30, 2007 (Unaudited)
(Expressed in thousands of United States Dollars)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Year to Date Segment Information: | | Property & Casualty | | | Life & Annuity | | | Corporate | | | Consolidated | |
| | Bermuda/Dublin | | | | | | | | | | | | | | | | |
| | Reinsurance | | | Insurance | | | U.S. Specialty | | | Total | | | Reinsurance | | | | | | | |
Gross premiums written | | $ | 308,765 | | | $ | 284,078 | | | $ | 21,692 | | | $ | 614,535 | | | $ | 63,554 | | | $ | — | | | $ | 678,089 | |
Reinsurance premiums ceded | | | (41,629 | ) | | | (146,419 | ) | | | (15,074 | ) | | | (203,122 | ) | | | (399 | ) | | | — | | | | (203,521 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net premiums written | | $ | 267,136 | | | $ | 137,659 | | | $ | 6,618 | | | $ | 411,413 | | | $ | 63,155 | | | $ | — | | | $ | 474,568 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Earned premiums | | $ | 271,578 | | | $ | 299,984 | | | $ | 5,535 | | | $ | 577,097 | | | $ | 63,554 | | | $ | — | | | $ | 640,651 | |
Earned premiums ceded | | | (30,531 | ) | | | (150,854 | ) | | | (3,880 | ) | | | (185,265 | ) | | | (399 | ) | | | — | | | | (185,664 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net premiums earned | | | 241,047 | | | | 149,130 | | | | 1,655 | | | | 391,832 | | | | 63,155 | | | | — | | | | 454,987 | |
| | | | | | | |
Net investment income | | | 31,826 | | | | 12,056 | | | | 3,856 | | | | 47,738 | | | | 22,261 | | | | 68,852 | | | | 138,851 | |
Net gains on alternative investments | | | 41,364 | | | | 10,517 | | | | — | | | | 51,881 | | | | 43,313 | | | | 41,492 | | | | 136,686 | |
Net realized losses on fixed maturities | | | — | | | | — | | | | — | | | | — | | | | — | | | | (2,975 | ) | | | (2,975 | ) |
Other income | | | — | | | | — | | | | — | | | | — | | | | — | | | | 587 | | | | 587 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total revenues | | | 314,237 | | | | 171,703 | | | | 5,511 | | | | 491,451 | | | | 128,729 | | | | 107,956 | | | | 728,136 | |
| | | | | | | |
Net losses and loss expenses | | | 131,484 | | | | 110,799 | | | | 946 | | | | 243,229 | | | | — | | | | — | | | | 243,229 | |
Claims and policy benefits | | | — | | | | — | | | | — | | | | — | | | | 91,640 | | | | — | | | | 91,640 | |
Acquisition costs | | | 47,247 | | | | (972 | ) | | | (96 | ) | | | 46,179 | | | | 584 | | | | — | | | | 46,763 | |
Interest expense | | | 8,919 | | | | — | | | | — | | | | 8,919 | | | | 4,368 | | | | 16,821 | | | | 30,108 | |
General and administrative expenses | | | 20,428 | | | | 13,409 | | | | 14,149 | | | | 47,986 | | | | 2,126 | | | | 29,629 | | | | 79,741 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total losses and expenses | | | 208,078 | | | | 123,236 | | | | 14,999 | | | | 346,313 | | | | 98,718 | | | | 46,450 | | | | 491,481 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Income (loss) before taxes | | $ | 106,159 | | | $ | 48,467 | | | $ | (9,488 | ) | | $ | 145,138 | | | $ | 30,011 | | | $ | 61,506 | | | $ | 236,655 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Loss Ratio (a) | | | 54.5 | % | | | 74.3 | % | | | 57.2 | % | | | 62.1 | % | | | | | | | | | | | | |
Combined Ratio (b) | | | 82.6 | % | | | 82.6 | % | | | n/a | | | | 86.1 | % | | | | | | | | | | | | |
SCHEDULE OF SUPPLEMENTAL UNDERWRITING DATA–THREE MONTHS ENDED SEPTEMBER 30, 2007 (Unaudited)
(Expressed in thousands of United States Dollars)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Quarter Segment Information: | | Property & Casualty | | | Life & Annuity | | | Corporate | | | Consolidated | |
| | Bermuda/Dublin | | | | | | | | | | | | | | | | |
| | Reinsurance | | | Insurance | | | U.S. Specialty | | | Total | | | Reinsurance | | | | | | | |
Gross premiums written | | $ | 68,839 | | | $ | 80,140 | | | $ | 11,820 | | | $ | 160,799 | | | $ | 62,190 | | | $ | — | | | $ | 222,989 | |
Reinsurance premiums ceded | | | (6,463 | ) | | | (34,891 | ) | | | (8,200 | ) | | | (49,554 | ) | | | (126 | ) | | | — | | | | (49,680 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net premiums written | | $ | 62,376 | | | $ | 45,249 | | | $ | 3,620 | | | $ | 111,245 | | | $ | 62,064 | | | $ | — | | | $ | 173,309 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Earned premiums | | $ | 74,673 | | | $ | 98,003 | | | $ | 4,596 | | | $ | 177,272 | | | $ | 62,190 | | | $ | — | | | $ | 239,462 | |
Earned premiums ceded | | | (8,672 | ) | | | (49,896 | ) | | | (3,214 | ) | | | (61,782 | ) | | | (126 | ) | | | — | | | | (61,908 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net premiums earned | | | 66,001 | | | | 48,107 | | | | 1,382 | | | | 115,490 | | | | 62,064 | | | | — | | | | 177,554 | |
| | | | | | | |
Net investment income | | | 9,994 | | | | 4,102 | | | | 2,211 | | | | 16,307 | | | | 7,620 | | | | 25,738 | | | | 49,665 | |
Net gains on alternative investments | | | 3,903 | | | | 1,108 | | | | — | | | | 5,011 | | | | 4,529 | | | | 4,947 | | | | 14,487 | |
Net realized losses on fixed maturities | | | — | | | | — | | | | — | | | | — | | | | — | | | | (1,650 | ) | | | (1,650 | ) |
Other income | | | — | | | | — | | | | — | | | | — | | | | — | | | | 244 | | | | 244 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total revenues | | | 79,898 | | | | 53,317 | | | | 3,593 | | | | 136,808 | | | | 74,213 | | | | 29,279 | | | | 240,300 | |
| | | | | | | |
Net losses and loss expenses | | | 16,170 | | | | 33,817 | | | | 794 | | | | 50,781 | | | | — | | | | — | | | | 50,781 | |
Claims and policy benefits | | | — | | | | — | | | | — | | | | — | | | | 70,572 | | | | — | | | | 70,572 | |
Acquisition costs | | | 12,334 | | | | (339 | ) | | | (76 | ) | | | 11,919 | | | | 186 | | | | — | | | | 12,105 | |
Interest expense | | | 4,675 | | | | — | | | | — | | | | 4,675 | | | | 2,200 | | | | 6,798 | | | | 13,673 | |
General and administrative expenses | | | 6,487 | | | | 4,494 | | | | 5,970 | | | | 16,951 | | | | 697 | | | | 10,135 | | | | 27,783 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total losses and expenses | | | 39,666 | | | | 37,972 | | | | 6,688 | | | | 84,326 | | | | 73,655 | | | | 16,933 | | | | 174,914 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Income (loss) before taxes | | $ | 40,232 | | | $ | 15,345 | | | $ | (3,095 | ) | | $ | 52,482 | | | $ | 558 | | | $ | 12,346 | | | $ | 65,386 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Loss Ratio (a) | | | 24.5 | % | | | 70.3 | % | | | 57.5 | % | | | 44.0 | % | | | | | | | | | | | | |
Combined Ratio (b) | | | 53.0 | % | | | 78.9 | % | | | n/a | | | | 69.0 | % | | | | | | | | | | | | |
| (a) | The loss ratio is calculated by dividing net losses and loss expenses by net premiums earned. |
| (b) | The combined ratio is calculated by dividing the sum of net losses and loss expenses, acquisition costs and general and administrative expenses by net premiums earned. |
MAX CAPITAL GROUP LTD.
SCHEDULE OF SUPPLEMENTAL PREMIUM DATA–NINE MONTHS ENDED SEPTEMBER 30, 2008 (Unaudited)
(Expressed in thousands of United States Dollars)
| | | | | | | | | | | | |
| Gross Premiums Written by Type of Risk: | | Nine Months Ended September 30, 2008 | | | Nine Months Ended September 30, 2007 | |
| | Gross
Premiums
Written | | Percentage of Total
Premiums Written | | | Gross
Premiums
Written | | Percentage of Total
Premiums Written | |
Property & Casualty: | | | | | | | | | | | | |
Bermuda/Dublin Reinsurance: | | | | | | | | | | | | |
Agriculture | | $ | 80,220 | | 9.1 | % | | $ | 872 | | 0.1 | % |
Aviation | | | 27,746 | | 3.1 | % | | | 33,314 | | 4.9 | % |
Excess Liability | | | 8,239 | | 1.0 | % | | | 14,705 | | 2.2 | % |
Medical Malpractice | | | 64,555 | | 7.3 | % | | | 49,868 | | 7.3 | % |
Other | | | 2,849 | | 0.3 | % | | | 278 | | 0.0 | % |
Professional Liability | | | 29,306 | | 3.3 | % | | | 37,082 | | 5.5 | % |
Property | | | 97,774 | | 11.1 | % | | | 96,709 | | 14.3 | % |
Marine & Energy | | | 7,892 | | 0.9 | % | | | 33,058 | | 4.9 | % |
Whole Account | | | 10,481 | | 1.2 | % | | | 12,551 | | 1.8 | % |
Workers’ Compensation | | | 48,423 | | 5.5 | % | | | 30,328 | | 4.5 | % |
| | | | | | | | | | | | |
| | | 377,485 | | 42.8 | % | | | 308,765 | | 45.5 | % |
Bermuda/Dublin Insurance: | | | | | | | | | | | | |
Aviation | | | 21,870 | | 2.5 | % | | | 14,408 | | 2.1 | % |
Excess Liability | | | 96,557 | | 10.9 | % | | | 106,160 | | 15.7 | % |
Professional Liability | | | 116,565 | | 13.2 | % | | | 116,624 | | 17.2 | % |
Property | | | 41,296 | | 4.7 | % | | | 46,886 | | 6.9 | % |
| | | | | | | | | | | | |
| | | 276,288 | | 31.3 | % | | | 284,078 | | 41.9 | % |
U.S. Specialty: | | | | | | | | | | | | |
Property | | | 65,590 | | 7.4 | % | | | 21,692 | | 3.2 | % |
General Casualty | | | 42,849 | | 4.9 | % | | | — | | 0.0 | % |
Marine | | | 25,723 | | 2.9 | % | | | — | | 0.0 | % |
| | | | | | | | | | | | |
| | | 134,162 | | 15.2 | % | | | 21,692 | | 3.2 | % |
| | | | | | | | | | | | |
Aggregate Property & Casualty | | $ | 787,935 | | 89.3 | % | | $ | 614,535 | | 90.6 | % |
| | | | | | | | | | | | |
| | | | |
Life & Annuity: | | | | | | | | | | | | |
Annuity | | $ | 92,821 | | 10.5 | % | | $ | 62,010 | | 9.2 | % |
Health | | | — | | 0.0 | % | | | 28 | | 0.0 | % |
Life | | | 1,430 | | 0.2 | % | | | 1,516 | | 0.2 | % |
| | | | | | | | | | | | |
Aggregate Life & Annuity | | | 94,251 | | 10.7 | % | | | 63,554 | | 9.4 | % |
| | | | | | | | | | | | |
Aggregate P&C and Life & Annuity | | $ | 882,186 | | 100.0 | % | | $ | 678,089 | | 100.0 | % |
| | | | | | | | | | | | |
MAX CAPITAL GROUP LTD.
NON-GAAP FINANCIAL MEASURE RECONCILIATIONS (Unaudited)
Net Operating Income per Diluted Share
(Expressed in thousands of United States Dollars, except per share and share amounts)
| | | | | | | | | | | | | | |
| | | Three Months Ended September 30 | | Nine Months Ended September 30 |
| | | 2008 | | | 2007 | | 2008 | | | 2007 |
Net (loss) income | | $ | (163,187 | ) | | $ | 66,766 | | $ | (81,235 | ) | | $ | 240,899 |
Net realized losses on fixed maturities, net of tax | | | 17,065 | | | | 1,650 | | | 17,532 | | | | 2,975 |
| | | | | | | | | | | | | | |
Net operating (loss) income | | $ | (146,122 | ) | | $ | 68,416 | | $ | (63,703 | ) | | $ | 243,874 |
| | | | | | | | | | | | | | |
Net (loss) income per diluted share | | $ | (2.89 | ) | | $ | 1.05 | | $ | (1.43 | ) | | $ | 3.77 |
Net realized losses on fixed maturities, net of tax | | | 0.30 | | | | 0.03 | | | 0.31 | | | | 0.04 |
| | | | | | | | | | | | | | |
Net operating (loss) income per diluted share | | $ | (2.59 | ) | | $ | 1.08 | | $ | (1.12 | ) | | $ | 3.81 |
| | | | | | | | | | | | | | |
| | | | |
Weighted average shares outstanding - basic | | | 56,385,134 | | | | 59,609,354 | | | 56,660,457 | | | | 60,021,083 |
Weighted average shares outstanding - diluted | | | 58,505,163 | | | | 63,558,087 | | | 60,370,906 | | | | 63,958,341 |
Annualized Return and Annualized Net Operating Return on Average Shareholders’ Equity
(Expressed in thousands of United States Dollars)
| | | | | | | | | | | | | | | | |
| | | Three Months Ended September 30 | | | Nine Months Ended September 30 | |
| | | 2008 | | | 2007 | | | 2008 | | | 2007 | |
Net (loss) income | | $ | (163,187 | ) | | $ | 66,766 | | | $ | (81,235 | ) | | $ | 240,899 | |
Annualized net (loss) income | | | (652,748 | ) | | | 267,064 | | | | (108,313 | ) | | | 321,199 | |
| | | | |
Net operating (loss) income | | $ | (146,122 | ) | | $ | 68,416 | | | $ | (63,703 | ) | | $ | 243,874 | |
Annualized net operating (loss) income | | | (584,488 | ) | | | 273,664 | | | | (84,937 | ) | | | 325,165 | |
| | | | |
Beginning shareholders’ equity | | $ | 1,489,556 | | | $ | 1,472,774 | | | $ | 1,583,894 | | | $ | 1,390,061 | |
Ending shareholders’ equity | | | 1,274,482 | | | | 1,533,596 | | | | 1,274,482 | | | | 1,533,596 | |
| | | | | | | | | | | | | | | | |
Average shareholders’ equity | | $ | 1,382,019 | | | $ | 1,503,185 | | | $ | 1,429,188 | | | $ | 1,461,829 | |
| | | | | | | | | | | | | | | | |
| | | | |
Annualized return on average shareholders’ equity | | | -47.2 | % | | | 17.8 | % | | | -7.6 | % | | | 22.0 | % |
Annualized net operating return on average shareholders’ equity | | | -42.3 | % | | | 18.2 | % | | | -5.9 | % | | | 22.2 | % |
MAX CAPITAL GROUP LTD.
SCHEDULE OF SUPPLEMENTAL INVESTMENT DATA–NINE MONTHS ENDED SEPTEMBER 30, 2008 (Unaudited)
Selected Investment Return Data:
| | | | | | | | | | | | | | | | | | |
| | | | | | | | Periodic Rate of Return | |
| | | Fair
Value* | | Investment
Distribution | | | Last
3 Months | | | Year
to Date | | | Last
12 months | | | Last
60 months** | |
Cash and Fixed Maturities | | $ | 4,063,601 | | 81.4 | % | | 0.31 | % | | 0.80 | % | | 2.67 | % | | 3.53 | % |
| | | | | | | | | | | | | | | | | | |
| | | | | | |
Convertible Arbitrage | | | 10,625 | | 0.2 | % | | -13.88 | % | | -13.88 | % | | -13.88 | % | | -3.02 | % |
Distressed Securities | | | 136,079 | | 2.7 | % | | -11.94 | % | | -10.19 | % | | -5.45 | % | | -12.94 | % |
Diversified Arbitrage | | | 64,057 | | 1.3 | % | | -15.66 | % | | -22.84 | % | | -25.52 | % | | 1.32 | % |
Emerging Markets | | | 51,443 | | 1.0 | % | | -14.16 | % | | -11.54 | % | | -8.59 | % | | 11.48 | % |
Event-Driven Arbitrage | | | 109,562 | | 2.2 | % | | -23.44 | % | | -14.95 | % | | -8.03 | % | | 11.26 | % |
Fixed Income Arbitrage | | | 29,788 | | 0.6 | % | | -0.84 | % | | 14.21 | % | | 24.23 | % | | 9.31 | % |
Global Macro | | | 83,690 | | 1.7 | % | | -10.40 | % | | -5.59 | % | | 0.53 | % | | 5.21 | % |
Long / Short Credit | | | 43,045 | | 0.9 | % | | -6.47 | % | | -4.94 | % | | -3.81 | % | | 7.60 | % |
Long / Short Equity | | | 356,781 | | 7.1 | % | | -12.23 | % | | -12.91 | % | | -5.13 | % | | 6.09 | % |
Opportunistic | | | 40,725 | | 0.8 | % | | -16.28 | % | | -21.25 | % | | -19.11 | % | | 12.17 | % |
| | | | | | | | | | | | | | | | | | |
MDS **** | | | 925,795 | | 18.5 | % | | -13.03 | % | | -12.07 | % | | -8.46 | % | | 5.59 | % |
Reinsurance Private Equity | | | 4,520 | | 0.1 | % | | -2.85 | % | | 14.69 | % | | 92.95 | % | | 9.20 | % |
| | | | | | | | | | | | | | | | | | |
Alternative Investments | | $ | 930,315 | | 18.6 | % | | -12.99 | % | | -11.98 | % | | -8.22 | % | | 4.95 | % |
| | | | | | | | | | | | | | | | | | |
Total Investments | | $ | 4,993,916 | | 100.0 | % | | -2.83 | % | | -2.17 | % | | 0.23 | % | | 4.63 | % |
| | | | | | | | | | | | | | | | | | |
| | | | | | |
Alternative Investment Return Data ***: | | | | | | | | | | | | | | | | | | |
| | | | | | |
HFRI Fund of Funds Index ^ | | | | | | | | -9.63 | % | | -11.84 | % | | -10.10 | % | | 5.04 | % |
| | | | | | | | |
| MDS Performance History **** – 60 months ended September 30, 2008 | | | |
| | | |
Largest monthly gain | | 4.15 | % | | Largest monthly loss | | (7.31 | )% |
Largest quarterly gain | | 5.83 | % | | Largest quarterly loss | | (13.03 | )% |
Average monthly gain | | 1.03 | % | | Average monthly loss | | (1.60 | )% |
Average quarterly gain | | 3.42 | % | | Average quarterly loss | | (3.12 | )% |
Months with a gain | | 42 | | | Months with a loss | | 18 | |
Quarters with a gain | | 14 | | | Quarters with a loss | | 6 | |
% of months with a gain | | 70 | % | | Quarterly standard deviation | | 4.19 | % |
% of quarters with a gain | | 70 | % | | Annual standard deviation | | 6.28 | % |
| | | | | Largest drawdown ***** | | (13.03 | )% |
| | | | | | | | | | | | | | | | | | |
| Monthly performance | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | | 2003 | | | 2004 | | | 2005 | | | 2006 | | | 2007 | | | 2008 | |
January | | | | | 1.75 | % | | 0.16 | % | | 2.75 | % | | 1.28 | % | | (1.37 | )% |
February | | | | | 1.28 | % | | 1.69 | % | | 0.39 | % | | 1.50 | % | | 1.83 | % |
March | | | | | 1.18 | % | | (0.61 | )% | | 1.22 | % | | 1.90 | % | | (2.58 | )% |
April | | | | | 0.03 | % | | (0.65 | )% | | 1.89 | % | | 2.30 | % | | (0.13 | )% |
May | | | | | (0.87 | )% | | (0.68 | )% | | (1.74 | )% | | 2.59 | % | | 2.51 | % |
June | | | | | 0.70 | % | | 1.20 | % | | (0.66 | )% | | 0.85 | % | | 0.93 | % |
July | | | | | 0.03 | % | | 1.33 | % | | (0.71 | )% | | 0.99 | % | | (4.12 | )% |
August | | | | | (0.02 | )% | | 0.98 | % | | 0.02 | % | | (1.62 | )% | | (2.14 | )% |
September | | | | | 0.04 | % | | 1.84 | % | | (2.04 | )% | | 1.85 | % | | (7.31 | )% |
October | | 0.98 | % | | 1.04 | % | | (1.45 | )% | | 1.37 | % | | 4.15 | % | | | |
November | | 0.56 | % | | 2.54 | % | | 0.61 | % | | 1.81 | % | | 0.10 | % | | | |
December | | 1.85 | % | | 1.74 | % | | 1.37 | % | | 1.96 | % | | (0.13 | )% | | | |
| | | | | | |
| Quarterly performance | | | | | | | | | | | | | | | | | | |
| | | | | | |
Q1 | | | | | 4.27 | % | | 1.22 | % | | 4.41 | % | | 4.75 | % | | (2.15 | )% |
Q2 | | | | | (0.15 | )% | | (0.14 | )% | | (0.54 | )% | | 5.83 | % | | 3.33 | % |
Q3 | | | | | 0.06 | % | | 4.21 | % | | (2.72 | )% | | 1.18 | % | | (13.03 | )% |
Q4 | | 3.43 | % | | 5.41 | % | | 0.51 | % | | 5.22 | % | | 4.11 | % | | | |
Period return | | 3.43 | % | | 9.81 | % | | 5.88 | % | | 6.30 | % | | 16.78 | % | | (12.07 | )% |
Past performance should not be considered to be a reliable indicator of future performance.
| * | Expressed in thousands of United States Dollars |
| *** | The percentages shown under the alternative investment return data relate only to the performance of our alternative investments held by MDS. |
| ***** | Largest drawdown represents the largest decline in value between two NAV peak values. |
| ^ | As reported by HFRI as at October 21, 2008 |
