AXIS Capital Holdings Limited Investment Portfolio Supplemental Information and Data December 31, 2008 Exhibit 99.3 |
Cautionary Note on Forward Looking Statements Statements in this presentation that are not historical facts, including statements regarding our estimates, beliefs, expectations, intentions, strategies or projections, may be “forward-looking statements” within the meaning of the U.S. federal securities laws, including the Private Securities Litigation Reform Act of 1995. We intend these forward-looking statements to be covered by the safe harbor provisions for forward-looking statements in the United States securities laws. In some cases, these statements can be identified by the use of forward- looking words such as “may,” “should,” “could,” “anticipate,” “estimate,” “expect,” “plan,” “believe,” “predict,” “potential,” “intend” or similar expressions. Our expectations are not guarantees and are based on currently available competitive, financial and economic data along with our operating plans. Forward-looking statements contained in this presentation may include, but are not limited to, information regarding measurements of potential losses in the fair value of our investment portfolio, our expectations regarding pricing and other market conditions and valuations of the potential impact of movements in interest rates, equity prices, credit spreads and foreign currency rates. Forward-looking statements only reflect our expectations and are not guarantees of performance. Accordingly, there are or will be important factors that could cause actual results to differ materially from those indicated in such statements. We believe that these factors include, but are not limited to, the following: • the occurrence of natural and man-made disasters, • actual claims exceeding our loss reserves, • general economic, capital and credit market conditions, • the failure of any of the loss limitation methods we employ, • the effects of emerging claims and coverage issues, • the failure of our cedants to adequately evaluate risks, • the loss of one or more key executives, • a decline in our ratings with rating agencies, • loss of business provided to us by our major brokers, • changes in accounting policies or practices, • changes in governmental regulations, • increased competition, • changes in the political environment of certain countries in which we operate or underwrite business, and • fluctuations in interest rates, credit spreads, equity prices and/or currency values. We undertake no obligation to update or revise publicly any forward-looking statements, whether as a result of new information, future events or otherwise. This report is for informational purposes only. It should be read in conjunction with the documents that we file with the Securities and Exchange Commission pursuant to the Securities Act of 1933 and the Securities Exchange Act of 1934. |
A 10% AAA 21% US Govt, Agency, and Agency Backed 36% BBB and lower 6% Equities 1% Other Investments (Unrated) 4% AA 5% Cash Equivalents 17% 3 Total Cash and Investments Total Cash and Investments: $10.4 Billion Total Portfolio Allocation Total Portfolio Ratings Allocation Note: Other investments include hedge funds, CLO equity tranches, credit funds and short duration high yield funds (As of December 31, 2008) Equities 1% Non AgencyRMBS 3% State & Municipal 4% Other Investments 4% Non Agency CMBS 7% Cash Equivalents 17% ABS 4% US Govt / Agency 13% Agency MBS 23% Foreign Govt Agency 3% Corporates 20% |
$ $20 $40 $60 $80 $100 $120 $140 $160 $180 $200 $220 Pre 2000 2000 2001 2002 2003 2004 2005 2006 2007 2008 AAA AA A Investment Grade Fixed Income: CMBS Fair Value ($ in millions) Net Unrealized Loss ($ in millions) 0% 25% 50% 75% 100% Pre 2000 2000 2001 2002 2003 2004 2005 2006 2007 2008 AAA AA A Rating by Vintage (%) Rating by Vintage ($ in millions) Vintage AAA AA A Total 2008 $15 $- $- $15 2007 148 - - 148 2006 159 1 4 164 2005 198 - - 199 Other 218 3 4 225 Total $739 $4 $8 $751 Net Unrealized Loss $(160) $(6) $(4) $(170) 4 Key Characteristics • 98.4% AAA, 96.6% super senior tranches • 217 securities • Weighted average life of 4.50 years • Duration of 3.62 • Book yield is 5.39% • Average price of 82% of par (As of December 31, 2008) Total CMBS: $751 Million (7% of total portfolio) |
CMBS: Detail Average loan to value of the underlying collateral is 69.1 Average subordination has improved to 26.5% from 24.5% at origination Current percentage of defeased collateral is 11.2% Average current collateral delinquency is 1.01% Asset Class Amortized Cost Net Unrealized Loss Fair Value Office $303 $(57) $246 Retail 283 (51) 232 Multifamily 145 (25) 120 Hotel 75 (14) 61 Industrial 41 (8) 33 Mixed Use 18 (3) 15 Self Storage 17 (4) 13 Mobile Home 15 (3) 12 Healthcare 4 (1) 3 Other 20 (4) 16 Total $921 $(170) $751 5 Years to Maturity Amortized Cost Net Unrealized Loss Fair Value < 2 $234 $(15) $219 2.1 – 3 49 (7) 42 3.1 – 4 72 (14) 58 4.1 – 5 49 (7) 43 5.1 – 7 253 (57) 196 7.1 – 10 263 (70) 194 Total $921 $(170) $751 Collateral Property Type ($ in millions) Maturity Detail ($ in millions) (As of December 31, 2008) |
6 Investment Grade Fixed Income: RMBS Non- Agency RMBS 13% Agency RMBS 87% • Non-Agency RMBS have an amortized cost of $453 million with net unrealized loss of $95 million • This sector includes prime, Alt-A and subprime collateral. • Non-Agency RMBS is 96.7% AAA-rated as detailed on the following slides Total Agency and Non-Agency RMBS: $2.7 Billion (26% of total portfolio) • Agency RMBS are primarily pass-through securities issued by the Federal Home Loan Mortgage Corporation, Federal National Mortgage Association, and the Government National Mortgage Association. • These securities have an amortized cost of $2.3 billion with an unrealized gain of $70 million. (As of December 31, 2008) |
Non-Agency RMBS: Detail Fair Value ($ in millions) Rating by Vintage (%) Rating by Vintage ($ in millions) Vintage AAA AA A BBB and lower Total 2007 $36 $- $- $1 $37 2006 43 1 2 1 47 2005 116 - - - 116 2004 57 - - 1 58 Other 96 4 - - 100 Total $347 $6 $2 $4 $359 Net Unrealized $(91) $(2) $(2) $(1) $(95) Net Unrealized Loss ($ in millions) 7 Key Characteristics • 96.7% AAA • 174 securities • Weighted average life of 3.1 years • Book yield is 6.08% • Average price of 76% of par • Duration of 0.29 and convexity of -0.22 • Fair value of Subprime and Alt-A holdings are $30 million and $102 million respectively (As of December 31, 2008) |
Non-Agency RMBS: Detail (Continued) Years to Maturity Amortized Cost Net Unrealized Loss Fair Value < 2 $79 $(10) $69 2.1 – 3 27 (8) 20 3.1 – 4 99 (22) 78 4.1 – 5 86 (17) 69 5.1 – 7 85 (23) 62 7.1 – 10 47 (8) 39 10 30 (8) 22 Total $454 $(95) $359 Maturity Detail ($ in millions) 8 • Our Alt-A and Subprime classification is determined by the underlying collateral, a security with any level of Alt-A or Subprime collateral is classified as such even if the collateral is majority prime. • The average book yield on Alt-A and Subprime is 6.6% and 9.9% respectively. • The average price of Alt-A and Subprime is 71.4% and 66.6% of par respectively. (As of December 31, 2008) |
9 Medium- Term Notes * 14% Financials 50% Non- Financials 36% Investment Grade Fixed Income: Corporate Debt Total Corporate Debt: $2.1 Billion (20% of total portfolio) Average corporate debt rating of A Weighted average life of 4.5 years Duration of 3.1 Book Yield is 5.75% (As of December 31, 2008) *Medium-Term Notes provide access to European credit issuances. |
Commercial Finance 2% Consumer Finance 3% Brokerage 9% Banking 34% Govt Guaranteed 1% Insurance 2% Foreign Banks 22% Other 4% Corporate Finance 19% FDIC Guaranteed 4% Investment Grade Corporate Debt: Financials 100% 7% 45% 25% 24% % of Amortized Cost $ in millions Amortized Cost Net Unrealized Loss Fair Value AAA $277 $(4) $273 AA 295 (25) 270 A 524 (51) 473 BBB and lower 80 (21) 59 Total $1,176 $(101) $1,075 Financials by Subsector: $1.1 Billion (11% of total portfolio) Financials by Rating 10 Included in Financials are $98 million of FDIC guaranteed bonds The largest direct issuer exposure is 1.0% of total cash and investments Top 5 Direct Financial Holdings $ in millions Amortized Cost Net Unrealized Loss Fair Value General Electric 105 $ - $ 105 $ JP Morgan Chase 87 (1) 86 Bank of America 94 (10) 84 Wells Fargo 81 (4) 77 Citigroup 93 (16) 77 460 $ (31) $ 429 $ (As of December 31, 2008) |
Investment Grade Corporate Debt: Non-Financials Technology 5% Transportation 2% Other 1% Natural Gas 2% Industrial 6% Communications 22% Consumer cyclicals 13% Consumer Non cyclicals 20% Electric 15% Energy 14% 100% 2% 5% 1% 2% 6% 14% 15% 20% 13% 22% % of Amortized Cost $ in millions Amortized Cost Net Unrealized Gain/(Loss) Fair Value Communications $171 $(5) $166 Consumer cyclicals 102 (6) 95 Consumer Non cyclicals 151 - 151 Electric 121 (5) 116 Energy 107 (4) 102 Industrial 50 (1) 48 Natural gas 20 (3) 17 REIT 7 (2) 5 Technology 39 1 40 Transportation 13 (1) 12 Total $781 $(27) $754 100% 40% 48% 8% 4% % of Amortized Cost $ in millions Amortized Cost Net Unrealized Gain/(Loss) Fair Value AAA $ 28 $(1) $ 27 AA 69 1 70 A 380 (7) 373 BBB 304 (21) 282 Total $781 $ (27) $ 754 Non-Financial Corporates By Subsector: $754 Million (7% of total portfolio) 11 Non Financials by Rating $ in millions Amortized Cost Net Unrealized Gain/(Loss) Fair Value Verizon Communications 42 $ 1 $ 43 $ AT&T Inc 34 - 34 Procter & Gamble 32 1 33 Time Warner Inc 31 (2) 29 Comcast Corporation 24 (1) 23 163 $ (1) $ 161 $ Top 5 Direct Non-Financial Holdings (As of December 31, 2008) |
ABS 12% Corporate & Sovereign 52% Financials 36% 12 USA 6% France 7% Germany 9% Netherland s 9% Other 34% Spain 4% Australia 4% Korea 5% Italy 5% UK 17% Investment Grade Corporate Debt: Medium-Term Notes Credit issuances accessed via medium-term notes which employ leverage Investment results driven by changes in credit spreads – interest rate risk is hedged Average yield of medium-term notes is Libor+243bps Fair Value by Country AAA/AA 26% BB& Below 1% BBB 29% A 44% $287 Fair Value 2.8% % of Total Portfolio $ in millions Amortized Cost Net Unrealized Loss Medium-Term Notes $618 $(331) Fair Value by Rating Fair Value by Sector (As of December 31, 2008) |
Investment Grade Fixed Income: ABS Home equity and home improvement 8% Equipment 1% Credit card 29% CDO 3% CLO - debt tranches 9% Auto ABS 30% Other ABS 20% 100% 8% 8% 2% 82% % of Amortized Cost $ in millions Amortized Cost Net Unrealized Loss Fair Value AAA $355 $(29) $326 AA 9 (1) 8 A 35 (10) 25 BBB and lower 34 (12) 22 Total $433 $(52) $381 100% 19% 9% 1% 27% 3% 12% 28% % of Amortized Cost $ in millions Amortized Cost Net Unrealized Loss Fair Value Auto ABS $122 $(5) $117 CLO –debt tranches 53 (18) 35 CDO 15 (4) 11 Credit card 119 (9) 110 Equipment 4 - 4 Home equity and home improvement 38 (9) 29 Other ABS 82 (6) 76 Total $433 $(52) $381 13 Key Characteristics • 82% AAA • 143 securities • Weighted average life of 3.54 years • Duration of 0.63 • Book yield is 5.55% • Average price of 90% of par ABS by Subsector: $381 Million (4% of total portfolio) (As of December 31, 2008) |
ABS: Detail 100% 2% 17% 5% 10% 11% 8% 47% % of Amortized Cost Years to Maturity Amortized Cost Net Unrealized Loss Fair Value < 2 $206 $(12) $194 2.1 – 3 35 (4) 31 3.1 – 4 46 (8) 39 4.1 – 5 41 (11) 30 5.1 – 7 20 (5) 14 7.1 – 10 75 (10) 65 >10 9 (2) 8 Total $433 ($52) $381 14 100% 2% 7% 18% 23% 25% 25% % of Amortized Cost Asset Class Amortized Cost Fair Value Vintage 2008 $110 $102 2007 109 98 2006 98 91 2005 79 60 2004 29 23 Pre 2004 8 7 Total $433 $381 Maturity Detail – All ABS ($ in millions) Vintage Detail – All ABS ($ in millions) (As of December 31, 2008) |
Other Investments Overview CLO - equity tranches 20% Credit funds 21% Short duration high yield fund 8% Hedge funds 51% Total Other Investments: $492 million (4% of total portfolio) (As of December 31, 2008) 15 |
Net Unrealized Gain / (Loss) Summary $ in millions Amortized Cost Net Unrealized Loss Fair Value Fixed maturities $8,672 $(659) $8,013 Equities 164 (57) 107 Total $8,836 $(716) $8,120 -$60 -$27 -$52 $8 $30 -$79 -$170 -$47 -$95 -$21 -$36 -$57 -$25 -$85 -$284 -$459 $11 $16 -$14 $6 $70 $26 -$5 $38 US GOVT / AGENCY STATE & MUNICIPAL AGENCY MBS FOREIGN GOVT AGENCY CORPORATES EQUITIES NON-AGENCY RMBS NON-AGENCY CMBS ABS Dec 2007 Jun 2008 Sep 2008 Dec 2008 100 0 -100 -200 -300 -400 -500 -600 -700 -800 16 (As of December 31, 2008) |