![]() Max Capital Group Ltd. NASDAQ: MXGL INVESTOR PRESENTATION QUARTER ENDED – MARCH 31, 2009 S P E C I A L T Y I N S U R A N C E & R E I N S U R A N C E B E R M U D A I R E L A N D U N I T E D S T A T E S LLOYD’S Exhibit 99.1 |
![]() 2 2 INFORMATION CONCERNING FORWARD LOOKING STATEMENTS CAUTIONARY NOTE REGARDING FORWARD-LOOKING INFORMATION This presentation includes statements about future economic performance, finances, expectations, plans and prospects of both IPC Holdings, Ltd. (“IPC”) and Max Capital Group Ltd. (“Max”) 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 certain risks and uncertainties, including the risks described in the definitive joint proxy statement/prospectus of IPC and Max that has been filed with the Securities and Exchange Commission (“SEC”) under “Risk Factors,” many of which are difficult to predict and generally beyond the control of IPC and Max, that could cause actual results to differ materially from those expressed in or suggested by such statements. For further information regarding cautionary statements and factors affecting future results, please also refer to the 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 each of IPC or Max, as the case may be, with the SEC. Neither IPC nor Max undertakes any obligation to update or revise publicly any forward-looking statement whether as a result of new information, future developments or otherwise. This presentation contains certain forward-looking statements within the meaning of the U.S. federal securities laws. Statements that are not historical facts, including statements about our beliefs, plans or expectations, are forward-looking statements. These statements are based on our current plans, estimates and expectations. Some forward-looking statements may be identified by our use of terms such as “believes,” “anticipates,” “intends,” “expects” and similar statements of a future or forward looking nature. In light of the inherent risks and uncertainties in all forward-looking statements, the inclusion of such statements in this presentation should not be considered as a representation by us or any other person that our objectives or plans will be achieved. A non-exclusive list of important factors that could cause actual results to differ materially from those in such forward-looking statements includes the following: (a) the occurrence of natural or man-made catastrophic events with a frequency or severity exceeding our expectations; (b) the adequacy of our loss reserves and the need to adjust such reserves as claims develop over time; (c) any lowering or loss of financial ratings of any wholly-owned operating subsidiary; (d) the effect of competition on market trends and pricing; (e) changes in general economic conditions, including changes in interest rates and/or equity values in the United States of America and elsewhere and continued instability in global credit markets; and (f) other factors set forth in the definitive joint proxy statement/prospectus of IPC and Max, the most recent reports on Form 10-K, Form 10-Q and other documents of IPC or Max, as the case may be, on file with the SEC. Risks and uncertainties relating to the proposed transaction include the risks that: the parties will not obtain the requisite shareholder or regulatory approvals for the transaction; the anticipated benefits of the transaction will not be realized; and/or the proposed transactions will not be consummated. Readers are cautioned not to place undue reliance on these forward-looking statements, which speak only as of the date on which they are made. We do not intend, and are under no obligation, to update any forward looking statement contained in this presentation. ADDITIONAL INFORMATION ABOUT THE PROPOSED BUSINESS COMBINATION AND WHERE TO FIND IT: This presentation relates to a proposed business combination between IPC and Max. On May 7, 2009, IPC filed with the SEC a definitive joint proxy statement/prospectus of IPC and Max. This presentation is not a substitute for the definitive joint proxy statement/prospectus that IPC has filed with the SEC or any other document that IPC or Max may file with the SEC or send to their respective shareholders in connection with the proposed transaction. INVESTORS AND SECURITY HOLDERS ARE URGED TO READ THE DEFINITIVE JOINT PROXY STATEMENT/PROSPECTUS AND ALL OTHER RELEVANT DOCUMENTS FILED OR THAT WILL BE FILED WITH THE SEC, AS THEY BECOME AVAILABLE BECAUSE THEY CONTAIN OR WILL CONTAIN IMPORTANT INFORMATION ABOUT THE PROPOSED BUSINESS COMBINATION. All such documents, if filed, would be available free of charge at the SEC’s website (www.sec.gov) or by directing a request to IPC, at Jim Bryce, President and Chief Executive Officer, or John Weale, Executive Vice President and Chief Financial Officer, at 441-298-5100, in the case of IPC’s filings, or Max, at Joe Roberts, Chief Financial Officer, or Susan Spivak Bernstein, Senior Vice President, Investor Relations at 441-295-8800, in the case of Max’s filings. PARTICIPANTS IN THE SOLICITATION: IPC and Max and their directors, executive officers and other employees may be deemed to be participants in any solicitation of IPC and Max shareholders, respectively, in connection with the proposed business combination. Information about IPC’s directors and executive officers is available in the definitive joint proxy statement/prospectus filed with the SEC on May 7, 2009, relating to IPC’s 2009 annual meeting of shareholders; information about Max’s directors and executive officers is available in the amendment to its annual report on Form-10K, filed with the SEC on April 1, 2009. |
![]() 3 3 Global underwriter of specialty insurance and reinsurance Multiple operating platforms - Bermuda, Dublin, United States, and Lloyd’s Diversified business profile across specialty classes of business Highly experienced management with proven track record Opportunistic and disciplined underwriting strategy Analytical and quantitative underwriting orientation 5 year average combined ratio, with cats, of 93% Strong, liquid balance sheet with conservative reserving track record Gross premiums written (2008) of $1.3 billion and ending equity of $1.3 billion Prudent capital management - $305 million in dividends/repurchases over last 5 years Significant expansion of underwriting platforms with minimal goodwill High quality investment portfolio repositioned to reflect traditional underwriting base Alternative investments are now a much smaller part of Max’s asset base at 11.9% and will be further reduced Max has evolved and repositioned itself since its formation in 1999 Max Capital Today Short-Tail Long-Tail 62% 38% Insurance Reinsurance 53% 47% 2008 GPW |
![]() 4 4 Q1 2009 Strong Results Profitable Q1 2009 underwriting results Total GPW of $434.3 million, up 41.6% compared to Q1’08, reflects build-out of global platform Max Specialty GPW: $68.8 million Max at Lloyd’s $44.2 million Overall combined ratio 89.7% Market conditions improving in 2009 Rate increases on short-tail lines Casualty rates have stopped declining Allocation to alternative investments reduced to 11.9% at 3/31/09 from 14.1% of total invested assets at 12/31/08 and 20.7% at 12/31/07. Total investment portfolio return: 0.06% Max Fixed Income Return: (0.41%) Max Alternative Investments Return: 2.06% HFRI Fund of Fund’s Index return: 0.47% |
![]() Global Reach Through Established Platforms Bermuda / Dublin Reinsurance Bermuda / Dublin Insurance Lloyd’s U.S Specialty Insurance Major Classes Agriculture Aviation Excess liability Medical malpractice Professional liability Property Marine and energy Whole account Workers’ comp Life and annuity Aviation Excess liability Professional liability Property Personal accident Financial institutions Professional liability Property General liability Marine Property Operating Regions United States Latin America Canada European Union Japan Australia New Zealand United States European Union United Kingdom Japan Denmark United States Offices Bermuda Dublin Bermuda Dublin Hamburg London Leeds Tokyo Copenhagen New York Philadelphia Richmond Atlanta Dallas San Francisco 5 |
![]() 83% 84% 75% 77% 96% 84% 104% 101% 96% 96% 124% 102% 0% 25% 50% 75% 100% 125% 150% 300% 2004 2005 2006 2007 2008 Average ____________________ Source: Company filings. Property focused reinsurers include RNR, IPC, VR, MRH and FSR. Diversified reinsurers include RE, AXS, ACGL, TRH, PRE, ORH, AWH, ENH, AHL, PTP and MXGL. Diversified Platforms Generate More Consistent Margins Diversified Reinsurers Property Focused Reinsurers 6 78% 140% 33% 50% 56% 71% 104% 252% 60% 73% 92% 116% 0% 25% 50% 75% 100% 125% 150% 300% 2004 2005 2006 2007 2008 Average Max has performed well within its diversified peer group with less volatility than property focused reinsurers Median 78% 201% 55% 61% 89% 97% Median 94% 116% 85% 83% 94% 94% Max 94% 106% 86% 88% 92% 93% |
![]() ____________________ Source: Company filings, as of 12/31/08. Losses are generally disclosed net of reinstatement premiums. Note: TRH goes not disclose specific losses but did lose “$169.7 million principally relating to Hurricane Ike” or 5.0% of 6/30/08 common equity. (1) Results reflect Ike only. (2) Equity includes preferred, which subsequently converted to common. (1) Max’s Diversified Portfolio Limits CAT Losses (2) (2) Losses $256 $140 $276 $140 $165 $287 $384 $305 $171 $135 $148 $155 $113 $257 $50 7 Max had the lowest losses from Ike/Gustav as a % of equity of all its peers Ike/Gustav Ultimate Net Losses as a % of 6/30/08 Common Equity ($ in millions) 12.4% 11.0% 10.1% 8.9% 8.4% 8.1% 8.1% 7.8% 7.0% 6.7% 6.3% 6.0% 4.8% 4.6% 3.4% 0.0% 2.0% 4.0% 6.0% 8.0% 10.0% 12.0% 14.0% VR FSR RNR MRH PTP ACGL AXS PRE AHL IPCR ENH ORH AWH RE MXGL |
![]() 8 8 Max Has a Strong Market Position in Specialty Classes … Working layer excess business Focus on Fortune 1000 customers 2008 combined ratio = 88% 2008 GPW - $389 million 2008 GPW - $420 million Bermuda / Dublin Insurance Bermuda / Dublin Reinsurance Working layer excess / quota share business Cross class capability 2008 combined ratio = 87% Excess Liability Professional Liability Aviation Property 14% 14% 41% 32% Other General Liability Marine & Energy Whole Account Aviation Prof. Liabliity Workers Comp Med. Mal. Agriculture Property 25% 19% 18% 13% 9% 8% 3% 3% |
![]() Accident & Health Fin. Institutions Prof. Indemnity / Med. Mal. Employers' Public Liability Property Treaty 45% 1% 19% 18% 17% 9 9 … With an Attractive Position in the U.S. Market and Lloyd’s Launched in 2007 Nationwide niche E&S underwriter Growing into expense base – target combined ratio of 85% to 90% Expected GPW of $250 million in 2009 2008 GPW - $194 million 2008 GPW - £65 million (1) U.S. Insurance Max at Lloyd’s Acquired in November 2008 Direct and reinsurance Expected GPW of $150 million in 2009 ____________________ (1) GPW reflects full year of business, which includes periods prior to the acquisition by Max. Marine General Casualty Property 20% 31% 49% |
![]() 10 Diversified Premium Mix: A Key Differentiator Property Casualty Insurance Incumbent (Re) Insurers Class of 2001 Class of 2005 ____________________ Source: Merrill Lynch Note: Based on full year 2008 property and casualty gross premiums written. Certain allocations have been estimated. Reinsurance RE TRH PRE ORH AXS ACGL ENH AHL RNR AWH PTP MXGL MRH VR IPCR FSR |
![]() 10-12% 16% 14% 24% 0% 5% 10% 15% 20% 25% Max 12/31/06 Max IPC Combined Investment Portfolio Highlights Max maintains a highly rated and highly liquid portfolio ____________________ Source: Company filings. (1) Peers include: IPCR, PRE, ORH, ACGL, RE, RNR, MRH, ENH, TRH, AXS, AWH, PTP, VR, AHL, FSR, and GLRE. Peer average represents 12/31/08 allocation of preferred / equities and “other investments” as % of total investments. 12/31/08 Alternatives allocation is decreasing Market neutral / absolute return focus Max alternatives in line with Bermuda peers 3/31/09: Max allocation now 12% Max Target Allocation)= 10 - 12% Hedge funds 5-7% Others 3-5% Bermuda Peers (1) (average),,= 10% As % of Total Investments 11 Alternatives Cash Fixed Income 69% 19% 12% Distressed Securities Arbitrage Strategies Opportunistic Emerging / Global Marekts Long / Short funds 41% 18% 3% 24% 14% |
![]() Max Bermuda and Dublin (Insurance/Reinsurance) Rates rising in short-tail property cat and energy Long-tail lines have stabilized and stopped declining Max Specialty Strong distribution relationships continue to generate a high flow of business Market dislocations provide the opportunity to add teams and new products Benefiting from improving property rates Profitability improving as the business matures and can retain more business Max at Lloyd’s Newest platform to Max that provides access to global specialty business, high credit ratings, worldwide licenses Experienced team underwriting a seasoned book of business Opportunity to recruit new teams in attractive product lines International casualty reinsurance Marine and personal accident insurance Life Reinsurance Only writes “closed” blocks of business with no variable annuity exposure Provides surplus relief which will be in high demand as many life insurers are capital constrained 12 Max Strongly Positioned in 2009 |
![]() 13 Property and Casualty GPW growth target of 20% to 22% driven by: Max at Lloyd’s Max Specialty Bermuda/Dublin Insurance and Reinsurance relatively flat Combined ratio target of 88% to 90% Assumes a cat load of 4-6 points Does not include reserve releases Improved profitability at Max Specialty as earned premiums offset higher expenses to build-out the platform Investment allocations 88% Fixed income 10-12% Alternatives 5-7% hedge funds 3-5% other Target ROE is 15% over the course of the cycle 2009 Guidance |
![]() 14 Strongly positioned to capitalize on market dislocations “Merger of equals” with IPC creates a world class specialty insurer/reinsurer Diversified portfolio with four quality underwriting platforms Committed to reducing alternative investment exposure Target reduction as a percentage of total investments to 10-12% Further commitment to changing alternative investment mix by reducing hedge funds to 5-7% Introduction of other alternative investment classes e.g. high yield bonds Demonstrated commitment to enhancing shareholder value Well capitalized liquid balance sheet with financial flexibility Valuation at a significant discount to “specialty insurance” peers 14 Investment Opportunity in Max Today |
![]() ____________________ Source: FactSet, SNL and company filings. Note: Based on primary book value per share. (1) Diversified peers include RE, AXS, ACGL, TRH, PRE, ORH, AWH, ENH, AHL, and PTP. 15 Stock Valuation Is Lagging Underwriting Performance 0.20x 0.40x 0.60x 0.80x 1.00x 1.20x 1.40x 1.60x 5/1/06 8/30/06 12/30/06 5/1/07 8/31/07 12/30/07 4/30/08 8/30/08 12/30/08 5/1/09 Average Price / Book Value 3-Year 2-Year 1-Year Curren Max 0.99x 0.93x 0.78x 0.73x Diversified 1.15 1.06 0.91 0.88 Max Average |
![]() Structure Stock-for-stock merger of equals Exchange Ratio Fixed exchange ratio of 0.6429 IPC shares for each share of Max Pro Forma Ownership (Fully Diluted) 58% by IPC shareholders 42% by Max shareholders Board of Directors 12 directors in total – 6 directors from Max, including CEO, and 6 directors from IPC Non-Executive Chairman: Ken Hammond Non-Executive Vice-Chairman: Mario Torsiello Management Marty Becker, Chief Executive Officer Jim Bryce, Non-Executive Chairman of Max IPC Re Ltd. Peter Minton, Chief Operating Officer Joe Roberts, Chief Financial Officer John Weale, EVP & Treasurer Company Name Max Capital Group Ltd. Reinsurance Company – Max IPC Re Ltd. Approvals IPC and Max shareholder approvals Customary regulatory approvals Targeted Closing June 2009 HSR clearance obtained IPC/Max Merger of Strength – Transaction Overview 16 |
![]() A truly diversified, balanced global underwriting platform Strong and vibrant franchise serving both property & casualty markets Strong capital base with over $3 billion in equity and minimal leverage Greater size enhances “margin of safety” and financial flexibility Strong and deep management and underwriting teams Complementary businesses with little overlap Excess capital can be profitably deployed or returned to shareholders Increased ability to accelerate growth in a hardening market Both property & casualty markets currently provide attractive opportunities IPC/Max Creates A World Class Specialty Company We believe this combination will enhance value for IPC / Max shareholders 17 |
![]() APPENDIX |
![]() 19 ($ in millions) Strong Balance Sheet March 31, December 31, 2009 2008 Cash & Fixed Maturities $4,436 $4,603 Alternative Investments 599 754 Premium Receivables 674 555 Losses Recoverable 880 847 Other Assets 588 493 Total Assets $7,177 $7,252 Property & Casualty Losses $3,005 $2,938 Life & Annuity Benefits 1,307 1,367 Deposit Liabilities 153 219 Funds Withheld 149 164 Unearned Premium 690 574 Bank Loan 300 375 Senior Notes 91 91 Other Liabilities 219 244 Total Liabilites $5,914 $5,972 Shareholders' Equity 1,263 1,280 $7,177 $7,252 |
![]() 20 20 ($ in millions) Quarterly Results Comparison 2009 2008 Gross Premiums Written $434 $307 Net Premiums Earned 190 136 Net Investment Income 41 50 Net Gains (Losses) on Alternative Investments 18 (26) Net Realized Gains on Fixed Maturities 1 1 Other Income 1 1 Total Revenues 251 162 Total Losses, Expenses & Taxes 206 155 Net Income $45 $8 Property & Casualty Underwriting Loss Ratio 66% 69% Expense Ratio 24% 20% Combined Ratio 90% 89% Three months ended March 31, |
![]() 21 21 Three months ended March 31, 2009 ($ in millions) Diversified Operating Platform Life & Property & Casualty Annuity Corporate Consolidated Bermuda / Dublin Max at Insurance Reinsurance U.S. Specialt Lloyd's Total Reinsurance Gross premiums written $87.7 $233.0 $68.8 $44.2 $433.7 $0.6 $0.0 $434.3 Reinsurance premiums ceded (54.9) (51.4) (40.7) (17.3) (164.3) (0.1) 0.0 (164.4) Net premiums written $32.7 $181.6 $28.2 $26.9 $269.4 $0.5 $0.0 $269.9 Earned premiums 102.2 124.0 54.4 28.2 308.8 0.6 0.0 309.4 Earned premiums ceded (52.2) (26.5) (33.0) (7.4) (119.0) (0.1) 0.0 (119.1) Net premiums earned 50.0 97.5 21.4 20.9 189.8 0.5 0.0 190.3 Net investment income 5.2 9.2 1.6 0.8 16.9 11.6 12.0 40.5 Net gains on alternative investments 1.2 3.0 0.0 0.0 4.3 7.9 5.9 18.0 Net realized gains (losses) on fixed maturities 0.0 0.0 0.1 0.5 0.6 0.0 (0.2) 0.4 Other income 1.1 0.0 (0.2) 0.1 1.1 0.0 0.2 1.3 Total revenues $57.7 $109.7 $23.0 $22.2 $212.6 $19.9 $18.0 $250.5 Net losses and loss expenses 36.5 66.2 12.1 10.0 124.7 0.0 0.0 124.7 Claims and policy benefits 0.0 0.0 0.0 0.0 0.0 14.3 0.0 14.3 Acquisition costs (1.4) 17.5 1.2 3.2 20.4 0.2 0.0 20.6 Interest expense 0.0 (0.5) 0.0 0.0 (0.5) (0.4) 4.8 3.9 Foreign exchange (gains) losses 0.0 0.0 0.0 (3.5) (3.5) 0.0 0.0 (3.5) General and administrative expenses 5.1 7.5 7.8 4.7 25.1 0.7 18.5 44.3 Total losses and expenses 40.2 90.7 21.1 14.3 166.3 14.8 23.3 204.4 Income (loss) before taxes $17.5 $19.0 $1.9 $7.9 $46.3 $5.1 ($5.4) $46.1 Loss Ratio 72.9% 67.9% 56.5% 47.7% 65.7% Combined Ratio 80.3% 93.6% 98.4% 85.5% 89.7% |
![]() 22 22 P&C Combined Ratio Operating ROE Gross Premiums Written Operating Earnings Per Share (Diluted) Life, $212 Life, $275 Life, $45 Life, $302 Life, $242 $1,254 $1,078 $865 $1,246 $1,044 $0 $250 $500 $750 $1,000 $1,250 $1,500 2004 2005 2006 2007 2008 $2.70 $3.52 $4.81 $0.19 ($2.59) ($3) $0 $3 $6 2004 2005 2006 2007 2008 15.8% 1.0% 17.3% 20.7% (10.2%) (10%) (5%) 0% 5% 10% 15% 20% 25% 2004 2005 2006 2007 2008 Profitable Underwriting Trends 94% 106% 86% 88% 92% 75% 100% 125% 2004 2005 2006 2007 2008 |
![]() Invested Assets (Ratio to Shareholders’ Equity) Shareholders’ Equity (Book Value Per Share) Dividends Operating Cash Flow $3,515 $4,223 $4,536 $5,123 $5,357 $0 $1,000 $2,000 $3,000 $4,000 $5,000 $6,000 2004 2005 2006 2007 2008 $799 $447 $273 $252 $508 $0 $300 $600 $900 2004 2005 2006 2007 2008 $903 $1,186 $1,390 $1,584 $1,280 $0 $300 $600 $900 $1,200 $1,500 $1,800 2004 2005 2006 2007 2008 $0.12 $0.18 $0.24 $0.32 $0.36 $0.00 $0.10 $0.20 $0.30 $0.40 2004 2005 2006 2007 2008 (3.9:1) (3.6:1) (3.3:1) (3.2:1) (3.9:1) ($19.70) ($20.16) ($23.06) ($27.54) ($22.77) ($ in millions) 23 A Growing, Global Insurance / Reinsurance Company |
![]() 24 24 Average quality of AA 70%+ of fixed income securities rated Aa or better Less than 5% rated Baa or below Approximately 43% of portfolio is Cash, Governments, Agencies, and Agency MBS Cash balance is approximately $956 million or 22% of the portfolio U.S. and G7 governments approximately $745 million or 17% of the portfolio U.S. Agencies approximately $254 million or 6% of the portfolio U.S. Agency MBS approximately $577 million or 13% of the portfolio Corporate Holdings are well diversified Approximately 32% of the portfolio Approximately 200 different corporate issuers Largest “Aa” issuer is less than 1.1% of the portfolio Largest “A” issuer is less than 0.7% of the portfolio No CDO’s, CLO’s, SIV’s or other highly structured securities Remaining portfolio is high quality ABS, CMO and CMBS Holdings Almost all CMO holdings are rated AAA, with substantial portion being agency CMO’s Almost all CMBS holdings are rated AAA Principal losses, if any, are expected to be minimal based upon cash flow and stress testing ABS holdings are largely comprised of plain vanilla auto and credit cards Home equity ABS holdings amount to approximately $50 million (all Subprime and Alt – A) Subprime and Alt – A exposures are approximately $73 million book value >40% are AAA rated securities 2.7 year weighted average life Significant and growing over-collateralization No principal losses are expected based upon cash flow and stress testing Unrealized loss of approximately $23 million High Quality Cash and Fixed Income Portfolio |
![]() Past performance should not be considered to be a reliable indicator of future performance. 25 25 Supplemental Investment Data – March 31, 2009 ____________________ (1) Included within U.S. Governments and Agencies are Agency Mortgage-Backed Securities with a fair value of $576,909. Fair Investment Credit Fair Ratings ($ thousands) Value Distribution Rating Value* Distribution Cash and Cash Equivalents $955,577 19.0% U.S. Government and Agencies $962,470 27.7% U.S. Government and Agencies 385,561 7.6% AAA 1,296,639 37.3% Non-U.S. Government 613,519 12.2% AA 298,666 8.6% Corporate Securities 1,428,150 28.4% A 753,232 21.6% Other Corporate Securities 38,476 0.8% BBB 128,906 3.7% Asset and Mortgage-Backed Securities 726,853 14.4% BB 22,209 0.6% Collateralized Mortgage Obligations 288,348 5.7% B or lower 18,785 0.5% Fixed Maturities $3,480,907 69.1% $3,480,907 100.0% Annualized Periodic Rate of Return Last Year Last Last 3 Months to Date 12 months 60 months Cash and Fixed Maturities $4,436,484 88.1% (0.41%) (0.41%) 2.77% 3.69% Convertible Arbitrage - 0.0% 16.99% 16.99% 2.72% (0.83%) Distressed Securities 85,883 1.7% (0.25%) (0.25%) (19.14%) 6.91% Diversified Arbitrage 44,769 0.9% 0.25% 0.25% (31.44%) (4.06%) Emerging Markets 32,651 0.6% 0.18% 0.18% (30.66%) 4.05% Event-Driven Arbitrage 69,134 1.4% 2.99% 2.99% (29.30%) 4.55% Fixed Income Arbitrage 28,504 0.6% 9.66% 9.66% 15.63% 11.02% Global Macro 73,587 1.5% (0.16%) (0.16%) (5.70%) 4.17% Long / Short Credit 19,309 0.4% 2.98% 2.98% (12.24%) 4.45% Long / Short Equity 226,610 4.5% 4.05% 4.05% (3.86%) 4.40% Opportunistic 14,039 0.3% (3.43%) (3.43%) (41.96%) 4.66% MDS 594,486 11.8% 2.00% 2.00% (15.95%) 2.62% Reinsurance Private Equity 4,999 0.1% 12.32% 12.32% 14.60% 10.41% Alternative Investments $599,485 11.9% 2.06% 2.06% (15.83%) 2.07% Total Investments $5,035,969 100.0% 0.06% 0.06% (3.53%) 3.68% (1) |
![]() Source: FactSet, SNL Financial, Company filings. ____________________ Note: Market data as of 5/1/09. (1) Includes short-term investments and cash and cash equivalents. (2) Based on primary book value per share, which excludes the dilutive impact of options, warrants and restricted stock. (3) $92mm in municipal bonds assumed to be investment grade. (4) Everest Re investment grade portfolio shown excludes cash and short term investments, which are assumed to be AAA. (5) Endurance investment grade portfolio shown excludes preferred investments and short term investments, which are assumed to be AAA. (6) Platinum investment grade portfolio shown excludes preferred investments, which are assumed to be AAA. (7) Allocation between investment and non-investment grade fixed income excludes $61.8mm of fixed maturities, trading at fair value. ($ in millions) Peer Analysis Investment Portfolio by Security Type – 12/31/08 26 Non-Investment Grade Fixed Income & Equity / % of Total Cash & Investments Other Securities Fixed Income Securities as a % of Cash & Cash Investment Non-investment Equity / Other Total Cash & Total Cash & Price / Equivalents (1) Grade Grade Total Securities Investments Investment Book Value (2) OdysseyRe 25.9% 45.6% 4.2% 49.8% 24.3% $7,892.5 28.5% 0.88x Montpelier Re (3) 11.3 69.6 2.6 72.2 16.5 2,365.2 19.1 0.84 IPC Holdings 3.4 80.1 0.1 80.2 16.3 2,235.2 16.4 0.79 RenaissanceRe 39.4 47.3 0.9 48.2 12.4 6,217.4 13.4 1.26 Transatlantic 4.9 87.3 0.5 87.8 7.3 10,518.5 7.8 0.81 PartnerRe 8.1 84.2 2.6 86.8 5.0 11,724.7 7.6 1.03 Everest Re (4) 15.3 77.5 1.3 78.8 6.0 13,714.3 7.2 0.92 Arch Capital 8.3 85.2 2.3 87.6 4.1 9,992.2 6.4 1.10 Endurance (5) 21.9 71.5 0.8 72.3 5.8 5,358.1 6.6 0.75 AXIS 17.5 76.6 0.2 76.8 5.7 10,432.6 6.0 0.85 FlagstoneRe 50.4 46.1 0.0 46.1 3.5 1,700.8 3.5 0.80 Allied World 10.3 87.8 0.1 87.9 1.8 6,863.4 2.0 0.75 Validus 25.2 74.3 0.5 74.8 0.0 3,281.4 0.5 0.90 Platinum Re (6) 20.8 79.0 0.1 79.1 0.1 4,259.9 0.1 0.85 Aspen 18.0 NA NA 77.0 5.0 5,754.0 NA 0.82 Greenlight Capital 39.9 NA NA 8.2 51.9 857.9 NA 1.20 Mean 20.0% 72.3% 1.2% 69.6% 10.4% 8.9% 0.91x Median 17.7 77.0 0.6 76.9 5.8 6.9 0.85 Max Capital (7) 17.7% 66.9% 0.2% 67.1% 14.1% $5,356.9 14.3% 0.73x |
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