Exhibit 99.2
AXIS Capital Holdings Limited
INVESTOR FINANCIAL SUPPLEMENT
FIRST QUARTER 2009
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AXIS Capital Holdings Limited 92 Pitts Bay Road Pembroke HM 08 Bermuda Contact Information: Linda Ventresca Investor Relations 441 405 2727 investorrelations@axiscapital.com Website Information: www.axiscapital.com |
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.
AXIS Capital Holdings Limited
FINANCIAL SUPPLEMENT TABLE OF CONTENTS
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| | | | | | | Page(s) |
| i. | | Basis of Presentation | | i - iii |
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| I. | | Financial Highlights | | 1 |
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| II. | | Income Statements | | |
| | a. | | Consolidated Statements of Income - Quarterly | | 2 |
| | c. | | Consolidated Segment Data | | 3 |
| | d. | | Gross Premium Written by Segment by Line of Business | | 4 |
| | e. | | Segment Consecutive Quarters | | 5-6 |
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| III. | | Balance Sheets | | |
| | a. | | Consolidated Balance Sheets | | 7 |
| | b. | | Summary Investment Portfolio Information | | 8 |
| | c. | | Investment Portfolio Composition - Quarterly | | 9 |
| | d. | | Investment Portfolio: Mortgage and Asset Backed Securities | | 10 |
| | e. | | Investment Portfolio: Subprime and Alternative-A Holdings in Direct Investment Portfolio | | 11 |
| | f. | | Investment Portfolio: Ten Largest Corporate Holdings | | 12 |
| | g. | | Investment Portfolio: Financial Issuer Exposure in Fixed Maturity Portfolio | | 13 |
| | h. | | Reconciliation of Net Realized and Net Unrealized Investments Gains (Losses) | | 14 |
| | i. | | Reinsurance Recoverable Analysis | | 15-16 |
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| IV. | | Loss Reserve Analysis | | |
| | a. | | Paid to Incurred Analysis | | 17 |
| | b. | | Paid to Incurred Analysis by Segment | | 18 |
| | c. | | Segment Consecutive Quarters | | 19-20 |
| | d. | | Estimated Exposures to Peak Zone Property Catastrophe Losses | | 21 |
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| V. | | Share Analysis | | |
| | a. | | Earnings Per Common Share Analysis and Common Share Rollforward - Quarterly | | 22 |
| | b. | | Diluted Book Value Per Common Share Analysis | | 23 |
AXIS Capital Holdings Limited
BASIS OF PRESENTATION
DEFINITIONS AND PRESENTATION
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• | | Unless otherwise noted, all data is in thousands, except for per share amounts and ratio information. |
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• | | All financial information contained herein is unaudited, except for the consolidated balance sheet and statement of income at and for the year ended December 31, 2008. |
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• | | Amounts may not reconcile exactly due to rounding differences. |
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• | | NM-Not meaningful; NR-Not Reported; NA-Not applicable |
CAUTIONARY NOTE REGARDING 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 our estimates of losses related to hurricanes and other catastrophes, including Hurricanes Ike and Gustav, measurements of potential losses in the fair market value of our investment portfolio, our expectations regarding pricing and other market conditions, our growth prospects, and valuations of the potential impact of movements in interest rates, equity prices, credit spread 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, |
| | • | | 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.
i
AXIS Capital Holdings Limited
BASIS OF PRESENTATION
BUSINESS DESCRIPTIONS
INSURANCE SEGMENT
Our insurance segment offers specialty insurance products to a variety of niche markets on a worldwide basis. The following are the lines of business in our insurance segment:
Property: provides physical damage and business interruption coverage primarily for industrial and commercial properties and physical damage, business interruption and liability coverage for onshore energy properties and operations. The line of business consists of both primary and excess risks, some of which are catastrophe-exposed.
Marine: provides coverage for hull, liability, cargo and specie and recreational marine risks. These risks include property damage or physical loss to ships, pollution damage caused by vessels on a sudden and accidental basis, protection for general cargo and the contents of armored cars, vaults, exhibitions and museums, and specific war related risks. This line of business also provides physical damage, business interruption and liability coverage for offshore energy property and operations.
Terrorism: provides coverage for physical damage and business interruption of an insured following an act of terrorism.
Aviation:includes hull and liability and specific war coverage for passenger and cargo airlines and privately owned aircraft as well as select aviation product liability coverage.
Credit and political risk:provides credit insurance, sovereign default insurance coverage and traditional political risk insurance coverage. The credit insurance coverage is primarily for lenders seeking to mitigate the risk of non-payment from their borrowers in emerging markets. For the credit insurance contracts, it is necessary for the buyer of the insurance (most often a bank) to hold an insured asset (most often an underlying loan) in order to claim compensation under the insurance contract. The traditional political risk coverage provides protection against sovereign actions that result in the impairment of cross-border investments for banks and major corporations (known as “CEND” coverage’s).
Professional lines: includes coverage for directors’ and officers’ liability, errors and omissions liability, employment practices liability, media, cyber, technology and miscellaneous professional liability coverage.
Liability:primarily targets general liability and umbrella and excess liability in the U.S. excess and surplus lines markets. Target classes include mercantile, manufacturing and building/premises, with particular emphasis on commercial and consumer products, commercial construction and miscellaneous general liability.
Other:primarily consists of employee medical coverage for self-insured, small and medium sized employers, for losses in excess of a given retention.
ii
AXIS Capital Holdings Limited
BASIS OF PRESENTATION
BUSINESS DESCRIPTIONS (CONTINUED)
REINSURANCE SEGMENT
Our reinsurance segment provides treaty and facultative property and casualty reinsurance to insurance companies on a worldwide basis. The following are the lines of business in our reinsurance segment:
Catastrophe:provides protection for most catastrophic losses that are covered in the underlying insurance policies written by our cedants. The exposure in the underlying policies is principally property exposure but also covers other exposures including workers compensation, personal accident and life. The principal perils in this portfolio are hurricane and windstorm, earthquake, flood, tornado, hail and fire. In some instances, terrorism may be a covered peril or the only peril. We underwrite catastrophe reinsurance principally on an excess of loss basis, meaning that our exposure only arises when our customers’ claims exceed a certain retained amount.
Property:includes reinsurance written on both a pro rata and a per risk basis and covers underlying personal lines and commercial property exposures. Property pro rata treaty reinsurance covers a cedent’s aggregate losses from all events in the covered period on a proportional basis. Property per risk treaty reinsurance reinsures a portfolio of particular property risks of ceding companies on an excess of loss basis.
Professional Liability:covers directors’ and officers’ liability, employment practices liability, medical malpractice and miscellaneous errors and omissions insurance risks.
Credit and Bond:consists principally of reinsurance of trade credit insurance products and includes both proportional and excess-of -loss structures. The underlying insurance indemnifies sellers of goods and services in the event of a payment default by the buyer of those goods and services. Also included in this line of business is coverage for losses arising from a broad array of surety bonds issued by bond insurers principally to satisfy regulatory demands in a variety of jurisdictions around the world, but predominantly in Europe.
Motor:provides coverage to cedants for motor liability losses arising out of any one occurrence. The occurrence can involve one or many claimants where the ceding insurer aggregates the claims from the occurrence.
Liability:provides coverage to insurers of standard casualty lines, including auto liability, general liability, personal and commercial umbrella and workers’ compensation.
Engineering:provides coverage for all types of civil construction risks and risks associated with erection, testing and commissioning of machinery and plants during the construction stage. This line of business also includes coverage for losses arising from operational failures of machinery, plant and equipment and electronic equipment as well as business interruption. We write engineering business on a proportional and non-proportional treaty basis as well as on a facultative basis.
Other: includes aviation, marine, personal accident and crop reinsurance.
iii
AXIS Capital Holdings Limited
FINANCIAL HIGHLIGHTS
| | | | | | | | | | |
| | | | | Quarter ended March 31, |
| | | | | 2009 | | 2008 | | Change |
| | | | | | | | | | |
HIGHLIGHTS | | Gross premiums written | | $ | 1,323,495 | | $ | 1,264,181 | | 4.7% |
| | Gross premiums written - Insurance | | | 27.5% | | | 34.4% | | (20.0)% |
| | Gross premiums written - Reinsurance | | | 72.5% | | | 65.6% | | 10.5% |
| | Net premiums written | | $ | 1,162,301 | | $ | 1,091,775 | | 6.5% |
| | Net premiums earned | | $ | 665,359 | | $ | 658,634 | | 1.0% |
| | Net premiums earned - Insurance | | | 41.4% | | | 45.5% | | (8.9)% |
| | Net premiums earned - Reinsurance | | | 58.6% | | | 54.5% | | 7.4% |
| | Net income available to common shareholders | | $ | 115,679 | | $ | 237,722 | | (51.3)% |
| | Reserve for losses and loss expenses | | | 6,392,278 | | | 5,814,208 | | 9.9% |
| | Total shareholders’ equity | | | 4,492,837 | | | 5,371,422 | | (16.4)% |
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| PER COMMON SHARE AND COMMON SHARE DATA | | Basic earnings per common share | | | $0.84 | | | $1.66 | | (49.2)% |
| | Diluted earnings per common share | | | $0.78 | | | $1.48 | | (47.7)% |
| | Weighted average common shares outstanding | | | 137,316 | | | 143,239 | | (4.1)% |
| | Diluted weighted average common shares outstanding | | | 149,023 | | | 160,184 | | (7.0)% |
| | Book value per common share | | | $29.01 | | | $33.69 | | (13.9)% |
| | Accumulated dividends paid per common share | | | $3.29 | | | $2.54 | | 29.8% |
| | Diluted book value per common share (treasury stock method) | | | $26.35 | | | $29.96 | | (12.1)% |
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FINANCIAL RATIOS | | ROACE[a] | | | 11.6% | | | 20.0% | | (8.3)% |
| | | | | | | | | | |
| | | | |
| | Net loss and loss expense ratio | | | 58.3% | | | 54.9% | | 3.4% |
| | Acquisition cost ratio | | | 15.3% | | | 14.3% | | 1.0% |
| | General and administrative expense ratio | | | 13.0% | | | 12.0% | | 1.0% |
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| | Combined ratio | | | 86.6% | | | 81.2% | | 5.4% |
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INVESTMENT DATA | | Total assets | | $ | 14,777,366 | | $ | 15,640,194 | | (5.5)% |
| | Total cash and investments[b] | | | 10,477,614 | | | 10,753,782 | | (2.6)% |
| | Net investment income | | | 99,292 | | | 85,651 | | 15.9% |
| | Net realized investment (losses) gains | | | (40,597) | | | 35,685 | | nm |
| | Total return on cash and investments[c] | | | 0.0% | | | 0.9% | | (0.9)% |
| | Return on other investments[d] | | | 1.4% | | | (5.6)% | | 7.0% |
| | Annualized effective yield of invested assets[e] | | | 4.2% | | | 4.9% | | (0.7)% |
[a]Return on average common equity (“ROACE”) is calculated by dividing net income available to common shareholders for the period by the average common shareholders’ equity determined by using the common shareholders’ equity balances at the beginning and end of the period. Percentages for the quarter-periods are annualized.
[b] Cash and investments represents the total cash, available for sale investments, other investments, accrued interest receivable and net receivable (payable) for investments sold (purchased).
[c]In calculating total return, we include net investment income, net realized investment gains (losses) and the change in unrealized gains (losses) generated by our average cash and investment balances.
[d] Return on other investments is calculated by dividing other investment income (loss) by the average other investment balances for the period.
[e] Annualized effective yield of invested assets is calculated by dividing the net income generated from invested assets by the average balance of the assets managed by our external investment managers.
nm not meaningful
1
AXIS Capital Holdings Limited
CONSOLIDATED STATEMENTS OF INCOME - QUARTERLY
| | | | | | | | | | | | | | | | | | |
| | | Q1 2009 | | Q4 2008 | | Q3 2008 | | Q2 2008 | | Q1 2008 | | Q1 2007 |
UNDERWRITING REVENUES | | | | | | | | | | | | | | | | | | |
Gross premiums written | | $ | 1,323,495 | | $ | 526,755 | | $ | 725,283 | | $ | 874,169 | | $ | 1,264,181 | | $ | 1,302,622 |
Premiums ceded | | | (161,194) | | | (187,282) | | | (173,867) | | | (189,953) | | | (172,406) | | | (163,265) |
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Net premiums written | | | 1,162,301 | | | 339,473 | | | 551,416 | | | 684,216 | | | 1,091,775 | | | 1,139,357 |
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Gross premiums earned | | | 839,316 | | | 830,975 | | | 862,338 | | | 845,249 | | | 835,514 | | | 852,003 |
Ceded premiums amortized | | | (173,957) | | | (172,689) | | | (172,368) | | | (164,958) | | | (176,880) | | | (166,699) |
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Net premiums earned | | | 665,359 | | | 658,286 | | | 689,970 | | | 680,291 | | | 658,634 | | | 685,304 |
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Other insurance related (loss) income | | | (9,395) | | | (19,594) | | | (13,806) | | | (7,269) | | | 2,002 | | | 1,940 |
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Total underwriting revenues | | | 655,964 | | | 638,692 | | | 676,164 | | | 673,022 | | | 660,636 | | | 687,244 |
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UNDERWRITING EXPENSES | | | | | | | | | | | | | | | | | | |
Net losses and loss expenses | | | 387,999 | | | 273,837 | | | 705,531 | | | 371,717 | | | 361,681 | | | 392,797 |
Acquisition costs | | | 101,976 | | | 83,916 | | | 90,333 | | | 97,780 | | | 94,480 | | | 98,139 |
General and administrative expenses | | | 68,752 | | | 65,437 | | | 66,727 | | | 65,218 | | | 65,189 | | | 50,266 |
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Total underwriting expenses | | | 558,727 | | | 423,190 | | | 862,591 | | | 534,715 | | | 521,350 | | | 541,202 |
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UNDERWRITING INCOME (LOSS) | | | 97,237 | | | 215,502 | | | (186,427) | | | 138,307 | | | 139,286 | | | 146,042 |
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OTHER OPERATING REVENUE (EXPENSES) | | | | | | | | | | | | | | | | | | |
Net investment income (loss) | | | 99,292 | | | (26,012) | | | 50,583 | | | 137,015 | | | 85,651 | | | 125,280 |
Net realized (losses) gains on investments | | | (40,597) | | | (33,425) | | | (89,079) | | | 1,552 | | | 35,685 | | | 301 |
Interest expense and financing costs | | | (7,921) | | | (7,884) | | | (7,941) | | | (7,890) | | | (7,958) | | | (15,144) |
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Total other operating revenue (expenses) | | | 50,774 | | | (67,321) | | | (46,437) | | | 130,677 | | | 113,378 | | | 110,437 |
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OTHER (EXPENSES) REVENUE | | | | | | | | | | | | | | | | | | |
Net foreign exchange gains (losses) | | | 389 | | | 22,347 | | | 7,627 | | | (6,564) | | | 20,297 | | | 2,391 |
Corporate expenses[a] | | | (17,805) | | | (21,896) | | | (19,995) | | | (17,735) | | | (13,561) | | | (12,340) |
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Total other (expenses) revenue | | | (17,416) | | | 451 | | | (12,368) | | | (24,299) | | | 6,736 | | | (9,949) |
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INCOME (LOSS) BEFORE INCOME TAXES | | | 130,595 | | | 148,632 | | | (245,232) | | | 244,685 | | | 259,400 | | | 246,530 |
Income tax (expense) recovery | | | (5,697) | | | (8,555) | | | 5,104 | | | (4,199) | | | (12,459) | | | (9,747) |
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NET INCOME (LOSS) | | | 124,898 | | | 140,077 | | | (240,128) | | | 240,486 | | | 246,941 | | | 236,783 |
Preferred share dividends | | | (9,219) | | | (9,219) | | | (9,218) | | | (9,219) | | | (9,219) | | | (9,204) |
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NET INCOME (LOSS) AVAILABLE TO COMMON SHAREHOLDERS | | $ | 115,679 | | $ | 130,858 | | $ | (249,346) | | $ | 231,267 | | $ | 237,722 | | $ | 227,579 |
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KEY RATIOS/PER COMMON SHARE DATA | | | | | | | | | | | | | | | | | | |
Net loss and loss expense ratio | | | 58.3% | | | 41.6% | | | 102.3% | | | 54.6% | | | 54.9% | | | 57.3% |
Acquisition cost ratio | | | 15.3% | | | 12.7% | | | 13.1% | | | 14.4% | | | 14.3% | | | 14.3% |
General and administrative expense ratio[a] | | | 13.0% | | | 13.3% | | | 12.6% | | | 12.2% | | | 12.0% | | | 9.1% |
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Combined ratio | | | 86.6% | | | 67.6% | | | 128.0% | | | 81.2% | | | 81.2% | | | 80.7% |
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Weighted average basic shares outstanding | | | 137,316 | | | 136,433 | | | 139,335 | | | 142,333 | | | 143,239 | | | 150,433 |
Weighted average diluted shares outstanding | | | 149,023 | | | 149,363 | | | 139,335 | | | 157,602 | | | 160,184 | | | 166,035 |
Basic earnings per common share | | | $0.84 | | | $0.96 | | | ($1.79) | | | $1.62 | | | $1.66 | | | $1.51 |
Diluted earnings per common share | | | $0.78 | | | $0.88 | | | ($1.79) | | | $1.47 | | | $1.48 | | | $1.37 |
ROACE (annualized) | | | 11.6% | | | 13.0% | | | (22.5)% | | | 19.2% | | | 20.0% | | | 22.6% |
[a]Corporate expenses are included in the calculation of the general and administrative expense ratio.
2
AXIS Capital Holdings Limited
CONSOLIDATED SEGMENT DATA
| | | | | | | | | | | | | | | | | | |
| | | Three months ended March 31, 2009 | | Three months ended March 31, 2008 |
| | | Insurance | | Reinsurance | | Total | | Insurance | | Reinsurance | | Total |
UNDERWRITING REVENUES | | | | | | | | | | | | | | | | | | |
Gross premiums written | | $ | 364,158 | | $ | 959,337 | | $ | 1,323,495 | | $ | 434,857 | | $ | 829,324 | | $ | 1,264,181 |
Net premiums written | | | 212,015 | | | 950,286 | | | 1,162,301 | | | 271,732 | | | 820,043 | | | 1,091,775 |
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Gross premiums earned | | | 445,541 | | | 393,775 | | | 839,316 | | | 472,603 | | | 362,911 | | | 835,514 |
Ceded premiums amortized | | | (169,918) | | | (4,039) | | | (173,957) | | | (173,046) | | | (3,834) | | | (176,880) |
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Net premiums earned | | | 275,623 | | | 389,736 | | | 665,359 | | | 299,557 | | | 359,077 | | | 658,634 |
Other insurance related (loss) income | | | (9,805) | | | 410 | | | (9,395) | | | 1,187 | | | 815 | | | 2,002 |
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Total underwriting revenues | | | 265,818 | | | 390,146 | | | 655,964 | | | 300,744 | | | 359,892 | | | 660,636 |
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UNDERWRITING EXPENSES | | | | | | | | | | | | | | | | | | |
Net losses and loss expenses | | | 152,704 | | | 235,295 | | | 387,999 | | | 159,450 | | | 202,231 | | | 361,681 |
Acquisition costs | | | 26,203 | | | 75,773 | | | 101,976 | | | 31,714 | | | 62,766 | | | 94,480 |
General and administrative expenses | | | 50,481 | | | 18,271 | | | 68,752 | | | 47,819 | | | 17,370 | | | 65,189 |
| | | | | | | | | | | | | | | | | | |
Total underwriting expenses | | | 229,388 | | | 329,339 | | | 558,727 | | | 238,983 | | | 282,367 | | | 521,350 |
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UNDERWRITING INCOME | | $ | 36,430 | | $ | 60,807 | | $ | 97,237 | | $ | 61,761 | | $ | 77,525 | | $ | 139,286 |
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KEY RATIOS | | | | | | | | | | | | | | | | | | |
Net loss and loss expense ratio | | | 55.4% | | | 60.4% | | | 58.3% | | | 53.2% | | | 56.3% | | | 54.9% |
Acquisition cost ratio | | | 9.5% | | | 19.4% | | | 15.3% | | | 10.6% | | | 17.5% | | | 14.3% |
General and administrative expense ratio | | | 18.3% | | | 4.7% | | | 10.3% | | | 16.0% | | | 4.8% | | | 9.9% |
Corporate expense ratio | | | | | | | | | 2.7% | | | | | | | | | 2.1% |
| | | | | | | | | | | | | | | | | | |
Combined ratio | | | 83.2% | | | 84.5% | | | 86.6% | | | 79.8% | | | 78.6% | | | 81.2% |
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3
AXIS Capital Holdings Limited
GROSS PREMIUM WRITTEN BY SEGMENT BY LINE OF BUSINESS
| | | | | | | | | | | | | | | | | | |
| | | Q1 2009 | | Q4 2008 | | Q3 2008 | | Q2 2008 | | Q1 2008 | | Q1 2007 |
INSURANCE SEGMENT | | | | | | | | | | | | | | | | | | |
| | | | | | |
Property | | $ | 106,138 | | $ | 99,413 | | $ | 137,417 | | $ | 175,017 | | $ | 127,291 | | $ | 138,396 |
Marine | | | 60,626 | | | 22,625 | | | 41,121 | | | 64,601 | | | 64,887 | | | 77,892 |
Terrorism | | | 5,667 | | | 6,215 | | | 7,112 | | | 14,612 | | | 8,349 | | | 12,787 |
Aviation | | | 17,067 | | | 29,825 | | | 11,735 | | | 8,715 | | | 17,486 | | | 16,140 |
Credit and political risk | | | 2,491 | | | 38,012 | | | 24,817 | | | 65,636 | | | 54,576 | | | 28,977 |
Professional lines | | | 120,328 | | | 180,945 | | | 137,553 | | | 175,199 | | | 108,177 | | | 97,325 |
Liability | | | 51,812 | | | 71,467 | | | 42,833 | | | 52,406 | | | 49,923 | | | 53,483 |
Other | | | 29 | | | 439 | | | 84 | | | (722) | | | 4,168 | | | 11,488 |
| | | | | | | | | | | | | | | | | | |
TOTAL INSURANCE SEGMENT | | | 364,158 | | | 448,941 | | | 402,672 | | | 555,464 | | | 434,857 | | | 436,488 |
| | | | | | | | | | | | | | | | | | |
| | | | | | |
REINSURANCE SEGMENT | | | | | | | | | | | | | | | | | | |
Catastrophe | | | 237,347 | | | 9,298 | | | 115,216 | | | 117,306 | | | 212,948 | | | 244,125 |
Property | | | 126,457 | | | 3,599 | | | 64,683 | | | 86,416 | | | 141,408 | | | 147,159 |
Professional lines | | | 113,640 | | | 52,208 | | | 55,378 | | | 31,806 | | | 87,376 | | | 88,426 |
Credit and bond | | | 197,271 | | | 5,610 | | | 5,083 | | | 9,230 | | | 134,574 | | | 104,119 |
Motor | | | 77,704 | | | 1,933 | | | 7,202 | | | 16,831 | | | 75,526 | | | 81,131 |
Liability | | | 153,724 | | | (3,112) | | | 54,659 | | | 28,917 | | | 108,759 | | | 145,929 |
Engineering | | | 41,266 | | | 4,856 | | | 17,381 | | | 7,895 | | | 53,224 | | | 38,350 |
Other | | | 11,928 | | | 3,422 | | | 3,009 | | | 20,304 | | | 15,509 | | | 16,894 |
| | | | | | | | | | | | | | | | | | |
TOTAL REINSURANCE SEGMENT | | | 959,337 | | | 77,814 | | | 322,611 | | | 318,705 | | | 829,324 | | | 866,134 |
| | | | | | | | | | | | | | | | | | |
| | | | | | |
CONSOLIDATED TOTAL | | $ | 1,323,495 | | $ | 526,755 | | $ | 725,283 | | $ | 874,169 | | $ | 1,264,181 | | $ | 1,302,622 |
| | | | | | | | | | | | | | | | | | |
4
AXIS Capital Holdings Limited
INSURANCE SEGMENT DATA - QUARTERLY
| | | | | | | | | | | | | | | | | | |
| | | Q1 2009 | | Q4 2008 | | Q3 2008 | | Q2 2008 | | Q1 2008 | | Q1 2007 |
UNDERWRITING REVENUES | | | | | | | | | | | | | | | | | | |
Gross premiums written | | $ | 364,158 | | $ | 448,941 | | $ | 402,672 | | $ | 555,464 | | $ | 434,857 | | $ | 436,488 |
Net premiums written | | | 212,015 | | | 260,934 | | | 235,666 | | | 365,511 | | | 271,732 | | | 282,046 |
| | | | | | | | | | | | | | | | | | |
| | | | | | |
Gross premiums earned | | | 445,541 | | | 461,931 | | | 461,871 | | | 458,545 | | | 472,603 | | | 478,842 |
Ceded premiums amortized | | | (169,918) | | | (169,346) | | | (168,299) | | | (161,116) | | | (173,046) | | | (163,910) |
| | | | | | | | | | | | | | | | | | |
Net premiums earned | | | 275,623 | | | 292,585 | | | 293,572 | | | 297,429 | | | 299,557 | | | 314,932 |
Other insurance related (loss) income | | | (9,805) | | | (19,789) | | | (13,751) | | | (7,509) | | | 1,187 | | | 767 |
| | | | | | | | | | | | | | | | | | |
Total underwriting revenues | | | 265,818 | | | 272,796 | | | 279,821 | | | 289,920 | | | 300,744 | | | 315,699 |
| | | | | | | | | | | | | | | | | | |
| | | | | | |
UNDERWRITING EXPENSES | | | | | | | | | | | | | | | | | | |
Net losses and loss expenses | | | 152,704 | | | 109,945 | | | 230,577 | | | 159,696 | | | 159,450 | | | 185,952 |
Acquisition costs | | | 26,203 | | | 17,677 | | | 21,964 | | | 31,120 | | | 31,714 | | | 35,348 |
General and administrative expenses | | | 50,481 | | | 48,560 | | | 49,361 | | | 48,141 | | | 47,819 | | | 35,523 |
| | | | | | | | | | | | | | | | | | |
Total underwriting expenses | | | 229,388 | | | 176,182 | | | 301,902 | | | 238,957 | | | 238,983 | | | 256,823 |
| | | | | | | | | | | | | | | | | | |
| | | | | | |
UNDERWRITING INCOME (LOSS) | | $ | 36,430 | | $ | 96,614 | | $ | (22,081) | | $ | 50,963 | | $ | 61,761 | | $ | 58,876 |
| | | | | | | | | | | | | | | | | | |
| | | | | | |
KEY RATIOS | | | | | | | | | | | | | | | | | | |
Net loss and loss expense ratio | | | 55.4% | | | 37.6% | | | 78.5% | | | 53.7% | | | 53.2% | | | 59.0% |
Acquisition cost ratio | | | 9.5% | | | 6.0% | | | 7.5% | | | 10.4% | | | 10.6% | | | 11.2% |
General and administrative expense ratio | | | 18.3% | | | 16.6% | | | 16.8% | | | 16.2% | | | 16.0% | | | 11.3% |
| | | | | | | | | | | | | | | | | | |
Combined ratio | | | 83.2% | | | 60.2% | | | 102.8% | | | 80.3% | | | 79.8% | | | 81.5% |
| | | | | | | | | | | | | | | | | | |
5
AXIS Capital Holdings Limited
REINSURANCE SEGMENT DATA - QUARTERLY
| | | | | | | | | | | | | | | | | | |
| | | Q1 2009 | | Q4 2008 | | Q3 2008 | | Q2 2008 | | Q1 2008 | | Q1 2007 |
UNDERWRITING REVENUES | | | | | | | | | | | | | | | | | | |
Gross premiums written | | $ | 959,337 | | $ | 77,814 | | $ | 322,611 | | $ | 318,705 | | $ | 829,324 | | $ | 866,134 |
Net premiums written | | | 950,286 | | | 78,539 | | | 315,750 | | | 318,705 | | | 820,043 | | | 857,311 |
| | | | | | | | | | | | | | | | | | |
Gross premiums earned | | | 393,775 | | | 369,044 | | | 400,467 | | | 386,704 | | | 362,911 | | | 373,161 |
Ceded premiums amortized | | | (4,039) | | | (3,343) | | | (4,069) | | | (3,842) | | | (3,834) | | | (2,789) |
| | | | | | | | | | | | | | | | | | |
Net premiums earned | | | 389,736 | | | 365,701 | | | 396,398 | | | 382,862 | | | 359,077 | | | 370,372 |
Other insurance related income (loss) | | | 410 | | | 195 | | | (55) | | | 240 | | | 815 | | | 1,173 |
| | | | | | | | | | | | | | | | | | |
Total underwriting revenues | | | 390,146 | | | 365,896 | | | 396,343 | | | 383,102 | | | 359,892 | | | 371,545 |
| | | | | | | | | | | | | | | | | | |
| | | | | | |
UNDERWRITING EXPENSES | | | | | | | | | | | | | | | | | | |
Net losses and loss expenses | | | 235,295 | | | 163,892 | | | 474,954 | | | 212,021 | | | 202,231 | | | 206,845 |
Acquisition costs | | | 75,773 | | | 66,239 | | | 68,369 | | | 66,660 | | | 62,766 | | | 62,791 |
General and administrative expenses | | | 18,271 | | | 16,877 | | | 17,366 | | | 17,077 | | | 17,370 | | | 14,743 |
| | | | | | | | | | | | | | | | | | |
Total underwriting expenses | | | 329,339 | | | 247,008 | | | 560,689 | | | 295,758 | | | 282,367 | | | 284,379 |
| | | | | | | | | | | | | | | | | | |
| | | | | | |
UNDERWRITING INCOME (LOSS) | | $ | 60,807 | | $ | 118,888 | | $ | (164,346) | | $ | 87,344 | | $ | 77,525 | | $ | 87,166 |
| | | | | | | | | | | | | | | | | | |
| | | | | | |
KEY RATIOS | | | | | | | | | | | | | | | | | | |
Net loss and loss expense ratio | | | 60.4% | | | 44.8% | | | 119.8% | | | 55.4% | | | 56.3% | | | 55.8% |
Acquisition cost ratio | | | 19.4% | | | 18.1% | | | 17.2% | | | 17.4% | | | 17.5% | | | 17.0% |
General and administrative expense ratio | | | 4.7% | | | 4.6% | | | 4.4% | | | 4.5% | | | 4.8% | | | 4.0% |
| | | | | | | | | | | | | | | | | | |
Combined ratio | | | 84.5% | | | 67.5% | | | 141.4% | | | 77.3% | | | 78.6% | | | 76.8% |
| | | | | | | | | | | | | | | | | | |
6
AXIS Capital Holdings Limited
CONSOLIDATED BALANCE SHEETS
| | | | | | | | | | | | |
| | | Mar 31,
2009 | | Dec 31,
2008 | | Sep 30,
2008 | | Jun 30,
2008 | | Mar 31,
2008 | | Mar 31,
2007 |
ASSETS | | | | | | | | | | | | |
Investments: | | | | | | | | | | | | |
Fixed maturities, available for sale, at fair value | | $ 8,238,175 | | $7,750,654 | | $8,336,337 | | $8,608,053 | | $8,317,137 | | 6,735,189 |
Equities, available for sale, at fair value | | 78,527 | | 107,283 | | 129,220 | | 247,845 | | 99,239 | | - |
Other investments, at fair value | | 494,405 | | 492,082 | | 636,304 | | 724,239 | | 552,872 | | 1,094,828 |
Short term investments, available for sale, at fair value | | 225,583 | | 261,879 | | 113,283 | | 95,293 | | 106,657 | | 70,144 |
| | | | | | | | | | | | |
Total investments | | 9,036,690 | | 8,611,898 | | 9,215,144 | | 9,675,430 | | 9,075,905 | | 7,900,161 |
Cash and cash equivalents | | 1,411,551 | | 1,820,673 | | 1,419,610 | | 1,094,429 | | 1,578,801 | | 2,090,834 |
Accrued interest receivable | | 80,746 | | 79,232 | | 74,693 | | 89,261 | | 80,990 | | 68,056 |
Insurance and reinsurance premium balances receivable | | 1,581,743 | | 1,185,785 | | 1,412,445 | | 1,652,295 | | 1,607,609 | | 1,507,855 |
Reinsurance recoverable balances | | 1,375,143 | | 1,304,551 | | 1,410,554 | | 1,340,452 | | 1,330,965 | | 1,307,609 |
Reinsurance recoverable balances on paid losses | | 57,507 | | 74,079 | | 62,617 | | 82,677 | | 95,348 | | 94,284 |
Deferred acquisition costs | | 375,774 | | 273,096 | | 333,002 | | 355,587 | | 369,000 | | 345,904 |
Prepaid reinsurance premiums | | 266,789 | | 279,553 | | 264,960 | | 263,461 | | 238,466 | | 238,359 |
Securities lending collateral | | 312,364 | | 412,823 | | 731,661 | | 813,737 | | 1,025,343 | | 895,832 |
Net receivable for investments sold | | - | | - | | - | | - | | 18,086 | | - |
Goodwill and intangible assets | | 95,380 | | 60,417 | | 60,726 | | 61,035 | | 61,344 | | 28,786 |
Other assets | | 183,679 | | 180,727 | | 190,042 | | 178,025 | | 158,337 | | 134,757 |
| | | | | | | | | | | | |
TOTAL ASSETS | | $ 14,777,366 | | $ 14,282,834 | | $ 15,175,454 | | $ 15,606,389 | | $ 15,640,194 | | $ 14,612,437 |
| | | | | | | | | | | | |
| | | | | | |
LIABILITIES | | | | | | | | | | | | |
Reserve for losses and loss expenses | | $6,392,278 | | $6,244,783 | | $6,406,204 | | $5,995,731 | | $5,814,208 | | $5,186,191 |
Unearned premiums | | 2,646,578 | | 2,162,401 | | 2,466,622 | | 2,603,676 | | 2,574,755 | | 2,466,213 |
Insurance and reinsurance balances payable | | 154,763 | | 202,145 | | 223,963 | | 249,710 | | 225,715 | | 286,068 |
Securities lending payable | | 317,310 | | 415,197 | | 730,412 | | 812,833 | | 1,024,752 | | 893,692 |
Senior notes | | 499,395 | | 499,368 | | 499,342 | | 499,315 | | 499,288 | | 499,180 |
Other liabilities | | 222,832 | | 233,082 | | 183,385 | | 144,689 | | 130,054 | | 146,738 |
Liability under repurchase agreement | | - | | - | | - | | - | | - | | 400,000 |
Net payable for investments purchased | | 51,373 | | 64,817 | | 64,336 | | 37,273 | | - | | 92,608 |
| | | | | | | | | | | | |
TOTAL LIABILITIES | | 10,284,529 | | 9,821,793 | | 10,574,264 | | 10,343,227 | | 10,268,772 | | 9,970,690 |
| | | | | | | | | | | | |
| | | | | | |
SHAREHOLDERS’ EQUITY | | | | | | | | | | | | |
Series A and B preferred shares | | 500,000 | | 500,000 | | 500,000 | | 500,000 | | 500,000 | | 500,000 |
Common shares | | 1,899 | | 1,878 | | 1,878 | | 1,877 | | 1,875 | | 1,880 |
Additional paid-in capital | | 1,977,144 | | 1,962,779 | | 1,943,125 | | 1,922,356 | | 1,902,336 | | 1,936,518 |
Accumulated other comprehensive (loss) | | (767,182) | | (706,499) | | (495,697) | | (150,721) | | (104) | | (22,125) |
Retained earnings | | 3,282,392 | | 3,198,492 | | 3,097,487 | | 3,377,051 | | 3,176,654 | | 2,225,474 |
Treasury shares, at cost | | (501,416) | | (495,609) | | (445,603) | | (387,401) | | (209,339) | | - |
| | | | | | | | | | | | |
TOTAL SHAREHOLDERS’ EQUITY | | 4,492,837 | | 4,461,041 | | 4,601,190 | | 5,263,162 | | 5,371,422 | | 4,641,747 |
| | | | | | | | | | | | |
TOTAL LIABILITIES AND SHAREHOLDERS’ EQUITY | | $14,777,366 | | $14,282,834 | | $15,175,454 | | $15,606,389 | | $15,640,194 | | $14,612,437 |
| | | | | | | | | | | | |
| | | | | | |
Book value per common share | | $29.01 | | $29.08 | | $29.72 | | $34.11 | | $33.69 | | $27.54 |
| | | | | | | | | | | | |
| | | | | | |
Diluted book value per common share | | $26.35 | | $25.79 | | $26.25 | | $30.30 | | $29.96 | | 24.56 |
| | | | | | | | | | | | |
| | | | | | |
Debt (Senior notes) to total capitalization [a] | | 10.0% | | 10.1% | | 9.8% | | 8.7% | | 8.5% | | 9.7% |
| | | | | | | | | | | | |
| | | | | | |
Debt plus preferred shares to total capitalization | | 20.0% | | 20.1% | | 19.6% | | 17.3% | | 17.0% | | 19.4% |
| | | | | | | | | | | | |
[a] The debt to capitalization ratio is calculated by dividing our senior notes by the total capital. Total capital represents the sum of total shareholders’ equity and our senior notes.
7
AXIS Capital Holdings Limited
INVESTMENT PORTFOLIO
At March 31, 2009
| | | | | | | | | | | | | | |
| TYPE OF INVESTMENT | | Cost or
Amortized Cost | | Unrealized
Gains | | Unrealized
Losses | | Fair Value | | Percentage |
U.S. government and agency | | $ | 1,411,404 | | $ | 22,111 | | $ | (1,876) | | $ | 1,431,639 | | 13% |
Non U.S. government | | | 257,493 | | | 3,557 | | | (10,997) | | | 250,053 | | 2% |
Corporate debt | | | 2,791,065 | | | 20,367 | | | (533,075) | | | 2,278,357 | | 22% |
Agency Mortgage-backed [a], [b] | | | 2,433,713 | | | 58,701 | | | (320) | | | 2,492,094 | | 24% |
Non-Agency CMBS [a] | | | 928,072 | | | 49 | | | (186,937) | | | 741,184 | | 7% |
Non-Agency RMBS [a] | | | 367,326 | | | 116 | | | (87,434) | | | 280,008 | | 3% |
Asset-backed [a] | | | 385,102 | | | 2,555 | | | (35,279) | | | 352,378 | | 3% |
Municipals | | | 406,719 | | | 10,465 | | | (4,722) | | | 412,462 | | 4% |
| | | | | | | | | | | | | | |
Total Fixed Maturities | | | 8,980,894 | | | 117,921 | | | (860,640) | | | 8,238,175 | | 78% |
| | | | | |
Common stocks | | | 125,016 | | | 2,057 | | | (50,574) | | | 76,499 | | 1% |
Non-redeemable preferred stocks | | | 2,028 | | | — | | | — | | | 2,028 | | — |
| | | | | | | | | | | | | | |
Total Equities | | | 127,044 | | | 2,057 | | | (50,574) | | | 78,527 | | 1% |
| | | | | |
Total Short-term investments | | | 227,922 | | | 98 | | | (2,437) | | | 225,583 | | 2% |
| | | | | |
Cash, net of unsettled trades | | | 310,995 | | | — | | | — | | | 310,995 | | 3% |
| | | | | | | | | | | | | | |
Total Invested Assets | | | 9,646,855 | | | 120,076 | | | (913,651) | | | 8,853,280 | | 84% |
Operating Cash Balances | | | 1,049,183 | | | — | | | — | | | 1,049,183 | | 10% |
| | | | | | | | | | | | | | |
| | $ | 10,696,038 | | $ | 120,076 | | $ | (913,651) | | | 9,902,463 | | 94% |
| | | | | | | | | | | | | | |
| | | | | |
Other Investments | | | | | | | | | | | | 494,405 | | 5% |
Accrued interest receivable | | | | | | | | | | | | 80,746 | | 1% |
| | | | | | | | | | | | | | |
Total Cash and Investments | | | | | | | | | | | $ | 10,477,614 | | 100% |
| | | | | | | | | | | | | | |
| | | | | |
OTHER INVESTMENTS | | | | | | | | | | | | Fair Value | | Percentage |
Hedge funds | | | | | | | | | | | $ | 273,239 | | 55% |
Collateralized loan obligations-equity tranches | | | | | | | | | | | | 94,861 | | 19% |
Credit funds | | | | | | | | | | | | 83,882 | | 17% |
Short duration high yield fund | | | | | | | | | | | | 42,423 | | 9% |
| | | | | | | | | | | | | | |
Total | | | | | | | | | | | $ | 494,405 | | 100% |
| | | | | | | | | | | | | | |
[a] For a further breakdown of our mortgage-backed and asset-backed securities, refer to page 10.
[b] Agency mortgage-backed securities include both agency RMBS and agency CMBS.
8
AXIS Capital Holdings Limited
INVESTMENT PORTFOLIO COMPOSITION - QUARTERLY
| | | | | | | | | | | | |
| | | Q1 2009 | | Q4 2008 | | Q3 2008 | | Q2 2008 | | Q1 2008 | | Q1 2007 |
| | | | | | |
| TYPE OF INVESTMENT | | Fair Value % | | Fair Value % | | Fair Value % | | Fair Value % | | Fair Value % | | Fair Value % |
U.S. government and agency | | 13.6% | | 11.5% | | 11.7% | | 11.2% | | 11.1% | | 12.0% |
Non U.S. government | | 2.4% | | 2.5% | | 2.4% | | 2.4% | | 2.5% | | 1.6% |
Corporate debt | | 21.7% | | 19.7% | | 19.3% | | 20.9% | | 20.5% | | 14.1% |
Mortgage-backed | | 33.5% | | 33.3% | | 33.1% | | 34.2% | | 33.3% | | 30.0% |
Asset-backed | | 3.4% | | 3.6% | | 3.8% | | 4.1% | | 4.2% | | 5.9% |
Municipals | | 3.9% | | 3.5% | | 7.5% | | 6.7% | | 5.7% | | 3.5% |
Mortgage derivatives | | — | | — | | — | | — | | — | | 0.5% |
| | | | | | | | | | | | |
Total Fixed Maturities | | 78.5% | | 74.1% | | 77.8% | | 79.5% | | 77.3% | | 67.6% |
Equities | | 0.7% | | 1.1% | | 1.2% | | 2.3% | | — | | — |
Short-term investments | | 2.3% | | 2.6% | | 1.1% | | 0.9% | | 1.0% | | 0.7% |
Cash, net of unsettled trades | | 3.0% | | 6.3% | | 3.6% | | 3.0% | | 5.6% | | 9.4% |
| | | | | | | | | | | | |
Total Invested Assets | | 84.5% | | 84.1% | | 83.7% | | 85.7% | | 83.9% | | 77.7% |
Operating Cash Balances | | 10.0% | | 10.3% | | 9.6% | | 6.8% | | 9.3% | | 10.7% |
| | | | | | | | | | | | |
| | 94.5% | | 94.4% | | 93.4% | | 92.5% | | 93.2% | | 88.4% |
Other Investments | | 4.7% | | 4.7% | | 5.9% | | 6.7% | | 6.0% | | 11.0% |
Accrued interest receivable | | 0.8% | | 0.9% | | 0.7% | | 0.8% | | 0.8% | | 0.6% |
| | | | | | | | | | | | |
Total Cash and Investments | | 100.0% | | 100.0% | | 100.0% | | 100.0% | | 100.0% | | 100.0% |
| | | | | | | | | | | | |
| | | | | | |
CREDIT QUALITY
OF FIXED
MATURITIES | | Fair Value % | | Fair Value % | | Fair Value % | | Fair Value % | | Fair Value % | | Fair Value % |
AAA | | 72.3% | | 73.6% | | 69.7% | | 69.2% | | 72.4% | | 76.8% |
AA | | 7.6% | | 6.4% | | 8.6% | | 10.0% | | 9.1% | | 5.5% |
A | | 11.8% | | 12.1% | | 13.2% | | 12.2% | | 9.7% | | 6.9% |
BBB | | 6.7% | | 7.6% | | 8.0% | | 8.2% | | 8.8% | | 10.8% |
BB | | 1.6% | | 0.3% | | 0.4% | | 0.4% | | — | | — |
| | | | | | | | | | | | |
Total | | 100.0% | | 100.0% | | 100.0% | | 100.0% | | 100.0% | | 100.0% |
| | | | | | | | | | | | |
| | | | | | |
MATURITY
PROFILE OF FIXED
MATURITIES | | Fair Value % | | Fair Value % | | Fair Value % | | Fair Value % | | Fair Value % | | Fair Value % |
Within one year | | 4.9% | | 7.6% | | 7.5% | | 7.3% | | 7.9% | | 7.3% |
From one to five years | | 32.8% | | 31.4% | | 27.6% | | 30.1% | | 30.8% | | 25.6% |
From five to ten years | | 12.5% | | 10.0% | | 10.5% | | 9.5% | | 8.5% | | 11.6% |
Above ten years | | 2.9% | | 2.9% | | 7.6% | | 5.6% | | 5.0% | | 2.1% |
Asset-backed and mortgage-backed securities | | 46.9% | | 48.1% | | 46.8% | | 47.6% | | 47.8% | | 53.4% |
| | | | | | | | | | | | |
Total | | 100.0% | | 100.0% | | 100.0% | | 100.0% | | 100.0% | | 100.0% |
| | | | | | | | | | | | |
| |
PORTFOLIO
CHARACTERISTICS
OF FIXED
MATURITIES | | As of or for the quarter ended |
| | | Q1 2009 | | Q4 2008 | | Q3 2008 | | Q2 2008 | | Q1 2008 | | Q1 2007 |
Annualized effective yield of invested assets | | 4.2% | | 4.9% | | 4.8% | | 4.8% | | 4.9% | | 4.9% |
Yield to maturity of invested assets | | 4.6% | | 5.0% | | 5.7% | | 5.1% | | 5.1% | | 5.5% |
Average duration of invested assets | | 2.4 yrs | | 2.5 yrs | | 2.9 yrs | | 2.9 yrs | | 2.9 yrs | | 3.1 yrs |
Average credit quality of invested assets | | AA+ | | AA+ | | AA+ | | AA+ | | AA+ | | AA+ |
9
AXIS Capital Holdings Limited
MORTGAGE AND ASSET BACKED SECURITIES
At March 31, 2009
| | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Mortgage-Backed Securities By Rating and Class |
| | | Agency [a] | | AAA | | AA or lower | | Total | | |
| | | Residential | | Commercial | | Residential | | Commercial | | Residential | | Commercial | | Residential | | Commercial | | Total |
Agency | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Agency Pass-Throughs | | $ | 2,297,884 | | $ | - | | $ | - | | $ | - | | $ | - | | $ | - | | $ | 2,297,884 | | $ | - | | $ | 2,297,884 |
Agency CMO’s | | | 120,345 | | | 12,368 | | | - | | | - | | | - | | | - | | | 120,345 | | | 12,368 | | | 132,713 |
Agency Floating Rate MBS | | | 61,496 | | | - | | | - | | | - | | | - | | | - | | | 61,496 | | | - | | | 61,496 |
| | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Agency | | | 2,479,725 | | | 12,368 | | | - | | | - | | | - | | | - | | | 2,479,725 | | | 12,368 | | | 2,492,093 |
| | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | |
Non-Agency | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Non-Agency CMO’s | | | - | | | - | | | 211,966 | | | 728,777 | | | 28,653 | | | 11,422 | | | 240,619 | | | 740,199 | | | 980,818 |
Non-Agency Floating Rate MBS | | | - | | | - | | | 38,789 | | | 986 | | | 600 | | | - | | | 39,389 | | | 986 | | | 40,375 |
| | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Non Agency | | | - | | | - | | | 250,755 | | | 729,763 | | | 29,253 | | | 11,422 | | | 280,008 | | | 741,185 | | | 1,021,193 |
| | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | |
Total | | $ | 2,479,725 | | $ | 12,368 | | $ | 250,755 | | $ | 729,763 | | $ | 29,253 | | $ | 11,422 | | $ | 2,759,733 | | $ | 753,553 | | $ | 3,513,286 |
| | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | |
| | | | | |
| | | Asset-Backed Securities By Rating | |
Description | | AAA | | AA or lower | | Total | |
Auto | | $ | 118,204 | | $ | 6,738 | | $ | 124,942 | |
CLO [b] | | | - | | | 38,592 | | | 38,592 | |
CDO | | | 4,737 | | | 1,529 | | | 6,266 | |
Credit Card | | | 81,039 | | | - | | | 81,039 | |
Equipment | | | 532 | | | 122 | | | 654 | |
Home Equity | | | 16,689 | | | 5,406 | | | 22,095 | |
Other | | | 77,536 | | | 1,254 | | | 78,790 | |
| | | | | | | | | | |
Total | | $ | 298,737 | | $ | 53,641 | | $ | 352,378 | |
| | | | | | | | | | |
[a]These represent securities backed by U.S Government sponsored agencies.
[b]Collateralized loan obligation - debt tranche securities.
10
AXIS Capital Holdings Limited
SUBPRIME AND ALTERNATIVE-A HOLDINGS IN DIRECT INVESTMENT PORTFOLIO
At March 31, 2009
| | | | | | | | | | | | | | |
| | | SUBPRIME AND ALTERNATIVE-A HOLDINGS BY SECTOR | | |
| | | Holdings at
Fair Value | | % of Total
Shareholders’
Equity | | Net Unrealized
Gain/(Loss) | | Realized
losses and
impairments
in 2008 | |
Subprime Agency MBS | | $ | 1,308 | | | 0.03% | | $ | 9 | | $ | - | |
Subprime Non-Agency MBS | | | 1,124 | | | 0.02% | | | (393) | | | - | |
Subprime ABS | | | 20,655 | | | 0.46% | | | (4,694) | | | (8,684) | |
| | | | | | | | | | | | | |
Total Subprime | | $ | 23,087 | | | 0.51% | | $ | (5,078) | | $ | (8,684) | |
| | | | | | | | | | | | | |
Alternative-A Agency MBS | | $ | 468 | | | 0.01% | | $ | (8) | | $ | - | |
Alternative-A Non-Agency MBS | | | 95,003 | | | 2.11% | | | (27,237) | | | (3,021) | |
Alternative-A ABS | | | 1,440 | | | 0.03% | | | (295) | | | (925) | |
| | | | | | | | | | | | | |
Total Alternative-A | | $ | 96,911 | | | 2.15% | | $ | (27,540) | | $ | (3,946) | |
| | | | | | | | | | | | | |
TOTAL Subprime and Alternative-A | | $ | 119,998 | | | 2.66% | | $ | (32,618) | | $ | (12,630) | |
| | | | | | | | | | | | | |
| |
| | | SUBPRIME AND ALTERNATIVE-A HOLDINGS AT FAIR VALUE BY RATING & VINTAGE |
| | | Agency | | AAA | | AA or lower | | Total | | Percentage of
total |
Sub-prime 2003 and prior | | $ | 1,308 | | $ | 1,434 | | $ | 177 | | $ | 2,919 | | 12.6% |
Sub-prime 2004 | | | - | | | 3,318 | | | - | | | 3,318 | | 14.4% |
Sub-prime 2005 | | | - | | | 3,909 | | | 315 | | | 4,224 | | 18.3% |
Sub-prime 2006 | | | - | | | 6,745 | | | 4,674 | | | 11,419 | | 49.5% |
Sub-prime 2007 | | | - | | | 1,205 | | | - | | | 1,205 | | 5.2% |
| | | | | | | | | | | | | | |
Total Subprime | | $ | 1,308 | | $ | 16,611 | | $ | 5,166 | | $ | 23,085 | | 100.0% |
| | | | | | | | | | | | | | |
| | | | | |
Rating as Percentage of Total | | | 5.7% | | | 72.0% | | | 22.4% | | | 100.0% | | |
| | | | | |
Alternative-A 2003 and prior | | $ | - | | $ | 17,359 | | $ | 2,733 | | $ | 20,092 | | 20.7% |
Alternative-A 2004 | | | 468 | | | 24,540 | | | 88 | | | 25,096 | | 25.9% |
Alternative-A 2005 | | | - | | | 43,503 | | | - | | | 43,503 | | 44.9% |
Alternative-A 2006 | | | - | | | 1,805 | | | 2,594 | | | 4,399 | | 4.5% |
Alternative-A 2007 | | | - | | | 3,306 | | | 515 | | | 3,821 | | 3.9% |
| | | | | | | | | | | | | | |
Total Alternative A | | $ | 468 | | $ | 90,513 | | $ | 5,930 | | $ | 96,911 | | 100.0% |
| | | | | | | | | | | | | | |
| | | | | |
Rating as Percentage of Total | | | 0.5% | | | 93.4% | | | 6.1% | | | 100.0% | | |
| | | | | |
Subprime and Alternative-A 2003 and prior | | $ | 1,308 | | $ | 18,793 | | $ | 2,910 | | $ | 23,011 | | 19.2% |
Subprime and Alternative-A 2004 | | | 468 | | | 27,858 | | | 88 | | | 28,414 | | 23.7% |
Subprime and Alternative-A 2005 | | | - | | | 47,412 | | | 315 | | | 47,727 | | 39.8% |
Subprime and Alternative-A 2006 | | | - | | | 8,550 | | | 7,268 | | | 15,818 | | 13.2% |
Subprime and Alternative-A 2007 | | | - | | | 4,511 | | | 515 | | | 5,026 | | 4.2% |
| | | | | | | | | | | | | | |
TOTAL Subprime and Alternative-A | | $ | 1,776 | | $ | 107,124 | | $ | 11,096 | | $ | 119,996 | | 100.0% |
| | | | | | | | | | | | | | |
| | | | | |
Rating as Percentage of Total | | | 1.5% | | | 89.3% | | | 9.2% | | | 100.0% | | |
11
AXIS Capital Holdings Limited
INVESTMENT PORTFOLIO
TEN LARGEST CORPORATE HOLDINGS IN FIXED MATURITY PORTFOLIO
At March 31, 2009
| | | | | | | | | | | |
| ISSUER | | Amortized
Cost | | Unrealized
Gain / (Loss) | | Fair Value | | % of Total
Fixed Maturities |
GENERAL ELECTRIC CO | | $ | 107,551 | | $ | (5,730) | | $ | 101,821 | | 1.2% |
JPMORGAN CHASE & CO | | | 81,633 | | | (4,730) | | | 76,903 | | 0.9% |
WELLS FARGO & COMPANY | | | 83,629 | | | (8,049) | | | 75,580 | | 0.9% |
BANK OF AMERICA CORP | | | 78,098 | | | (19,025) | | | 59,073 | | 0.7% |
VERIZON COMMUNICATIONS INC | | | 56,180 | | | 1,561 | | | 57,741 | | 0.7% |
CITIGROUP INC | | | 62,679 | | | (9,914) | | | 52,765 | | 0.6% |
AT&T INC | | | 50,154 | | | (550) | | | 49,604 | | 0.6% |
MORGAN STANLEY | | | 45,640 | | | (1,453) | | | 44,187 | | 0.5% |
TOKYO ELECTRIC POWER CO INC | | | 45,234 | | | (3,390) | | | 41,844 | | 0.5% |
PROCTER & GAMBLE CO | | | 39,767 | | | 1,253 | | | 41,020 | | 0.5% |
Notes:
1. Corporate issuers exclude government-backed, government-sponsored enterprises and cash and cash equivalents.
2. The holdings above represent direct investments in fixed maturities of the parent issuer and its major subsidiaries. These investments exclude asset and mortgage backed securities that were issued, sponsored or serviced by the parent.
12
AXIS Capital Holdings Limited
INVESTMENT PORTFOLIO
TEN LARGEST FINANCIAL ISSUER HOLDINGS IN FIXED MATURITY PORTFOLIO
At March 31, 2009
| | | | | | | | | | | |
| ISSUER | | Amortized
Cost | | Unrealized
Loss | | Fair Value | | % of Total
Fixed Maturities |
GENERAL ELECTRIC CO | | $ | 107,551 | | $ | (5,730) | | $ | 101,821 | | 1.2% |
JP MORGAN CHASE & CO | | | 81,633 | | | (4,730) | | | 76,903 | | 0.9% |
WELLS FARGO & COMPANY | | | 83,629 | | | (8,049) | | | 75,580 | | 0.9% |
BANK OF AMERICA CORP | | | 78,098 | | | (19,025) | | | 59,073 | | 0.7% |
CITIGROUP INC | | | 62,679 | | | (9,914) | | | 52,765 | | 0.6% |
MORGAN STANLEY | | | 45,640 | | | (1,453) | | | 44,187 | | 0.5% |
AMERICAN EXPRESS CO | | | 30,696 | | | (935) | | | 29,761 | | 0.4% |
HSBC HOLDINGS PLC | | | 34,232 | | | (5,685) | | | 28,547 | | 0.3% |
GOLDMAN SACHS GROUP | | | 30,675 | | | (2,456) | | | 28,219 | | 0.3% |
NATIONWIDE BUILDING SOCIETY | | | 19,860 | | | (231) | | | 19,629 | | 0.2% |
Notes:
1. Corporate issuers exclude government-backed, government-sponsored enterprises and cash and cash equivalents.
2. The holdings above represent direct investments in fixed maturities of the parent issuer and its major subsidiaries. These investments exclude asset and mortgage backed securities that were issued, sponsored or serviced by the parent.
3. Our investment in General Electric Co. is primarily related to issuances from its finance subsidiaries.
13
AXIS Capital Holdings Limited
RECONCILIATION OF NET REALIZED AND UNREALIZED INVESTMENTS GAINS (LOSSES)
| | | | | | | | | |
| | | Quarter ended March 31, 2009 |
| | | Net Realized
Gains
(Losses) | | Net Unrealized
Gains
(Losses) | | Net
Impact |
Fixed maturities and short-term investments | | $ | 729 | | $ | (85,957) | | $ | (85,228) |
Equity securities | | | (14,905) | | | 8,530 | | | (6,375) |
Other than temporary impairments | | | (29,901) | | | - | | | (29,901) |
| | | | | | | | | |
Sub-total | | | (44,077) | | | (77,427) | | | (121,504) |
Change in fair value of derivative instruments | | | 21,465 | | | - | | | 21,465 |
Change in fair value of hedged AFS instruments[1] | | | (17,985) | | | 17,985 | | | - |
| | | | | | | | | |
Total losses | | | (40,597) | | | (59,442) | | | (100,039) |
Income tax (recovery) expense | | | (465) | | | (1,726) | | | (2,191) |
| | | | | | | | | |
| | $ | (40,132) | | $ | (57,716) | | $ | (97,848) |
| | | | | | | | | |
| | | | | | | | | |
| | | Quarter ended March 31, 2008 |
| | | Net Realized
Gains
(Losses) | | Net Unrealized
Gains
(Losses) | | Net
Impact |
Fixed maturities and short-term investments | | $ | 50,969 | | $ | (28,148) | | $ | 22,821 |
Equity securities | | | - | | | - | | | - |
Other than temporary impairments | | | (15,120) | | | - | | | (15,120) |
| | | | | | | | | |
Sub-total | | | 35,849 | | | (28,148) | | | 7,701 |
Change in fair value of derivative instruments | | | (164) | | | - | | | (164) |
| | | | | | | | | |
Total gains | | | 35,685 | | | (28,148) | | | 7,537 |
Income tax (recovery) expense | | | 2,742 | | | (4,813) | | | (2,071) |
| | | | | | | | | |
Net (losses) gains | | $ | 32,943 | | $ | (23,335) | | $ | 9,608 |
| | | | | | | | | |
[1] The fair value hedge represents currency derivatives used to hedge the fair value of certain foreign denominated investments attributable to changes in foreign currency exchange rates. Changes in the fair value of the currency derivatives along with the changes in the fair value of the hedged investments are recorded in net realized investment gains (losses).
14
AXIS Capital Holdings Limited
REINSURANCE RECOVERABLE ANALYSIS
| | | | | | | | | | | | | | | | | | |
| | | Q1 2009 | | Q4 2008 | | Q3 2008 | | Q2 2008 | | Q1 2008 | | Q1 2007 |
Reinsurance recoverable on paid losses and loss expenses: | | | | | | | | | | | | | | | | | | |
Insurance | | $ | 52,512 | | $ | 69,084 | | $ | 57,622 | | $ | 70,438 | | $ | 83,109 | | $ | 75,233 |
Reinsurance | | | 4,995 | | | 4,995 | | | 4,995 | | | 12,239 | | | 12,239 | | | 19,051 |
| | | | | | | | | | | | | | | | | | |
Total | | $ | 57,507 | | $ | 74,079 | | $ | 62,617 | | $ | 82,677 | | $ | 95,348 | | $ | 94,284 |
| | | | | | | | | | | | | | | | | | |
| | | | | | |
Reinsurance recoverable on unpaid losses and loss expenses: OSLR | | | | | | | | | | | | | | | | | | |
Insurance | | $ | 425,115 | | $ | 417,370 | | $ | 492,024 | | $ | 479,724 | | $ | 492,319 | | $ | 586,485 |
Reinsurance | | | - | | | - | | | - | | | - | | | - | | | - |
| | | | | | | | | | | | | | | | | | |
Total | | $ | 425,115 | | $ | 417,370 | | $ | 492,024 | | $ | 479,724 | | $ | 492,319 | | $ | 586,485 |
| | | | | | | | | | | | | | | | | | |
| | | | | | |
Reinsurance recoverable on unpaid losses and loss expenses: IBNR | | | | | | | | | | | | | | | | | | |
Insurance | | $ | 939,382 | | $ | 877,588 | | $ | 922,329 | | $ | 865,323 | | $ | 844,747 | | $ | 734,041 |
Reinsurance | | | 31,079 | | | 30,026 | | | 30,405 | | | 29,609 | | | 27,747 | | | 21,081 |
| | | | | | | | | | | | | | | | | | |
Total | | $ | 970,461 | | $ | 907,614 | | $ | 952,734 | | $ | 894,932 | | $ | 872,494 | | $ | 755,122 |
| | | | | | | | | | | | | | | | | | |
| | | | | | |
Provision against reinsurance recoverables: | | | | | | | | | | | | | | | | | | |
Insurance | | $ | (13,623) | | $ | (13,623) | | $ | (27,394) | | $ | (27,394) | | $ | (19,794) | | $ | (19,944) |
Reinsurance | | | (6,810) | | | (6,810) | | | (6,810) | | | (6,810) | | | (14,054) | | | (14,054) |
| | | | | | | | | | | | | | | | | | |
Total | | $ | (20,433) | | $ | (20,433) | | $ | (34,204) | | $ | (34,204) | | $ | (33,848) | | $ | (33,998) |
| | | | | | | | | | | | | | | | | | |
| | | | | | |
Net reinsurance reinsurance recoverables: | | | | | | | | | | | | | | | | | | |
Insurance | | $ | 1,403,386 | | $ | 1,350,419 | | $ | 1,444,581 | | $ | 1,388,091 | | $ | 1,400,381 | | $ | 1,375,815 |
Reinsurance | | | 29,264 | | | 28,211 | | | 28,590 | | | 35,038 | | | 25,932 | | | 26,078 |
| | | | | | | | | | | | | | | | | | |
Total | | $ | 1,432,650 | | $ | 1,378,630 | | $ | 1,473,171 | | $ | 1,423,129 | | $ | 1,426,313 | | $ | 1,401,893 |
| | | | | | | | | | | | | | | | | | |
15
AXIS Capital Holdings Limited
REINSURANCE RECOVERABLE ANALYSIS
| | | | | | | | | | | | | | | | | | | | | |
Consolidated Reinsurance Recoverable | | March 31, 2009 |
| Categories | | Gross
Recoverable | | Collateral | | Gross
Recoverable
Net of
Collateral | | % of Total
Gross
Recoverable
Net of
Collateral | | % of Total
Shareholders’
Equity | | Provision
against
Reinsurance
Recoverables | | Provision
against Reinsurance
Recoverable as %
of Gross Recoverable | | Net
Recoverable |
Top 10 reinsurers based on gross recoverables | | $ | 961,805 | | $ | (48,168) | | $ | 913,637 | | 67.1% | | 20.3% | | $ | (5,749) | | 0.6% | | $ | 956,056 |
Other reinsurers balances > $20 million | | | 221,566 | | | (3,030) | | | 218,536 | | 16.1% | | 4.9% | | | (2,000) | | 0.9% | | | 219,566 |
Other reinsurers balances < $20 million | | | 269,712 | | | (41,129) | | | 228,583 | | 16.8% | | 5.1% | | | (12,684) | | 4.7% | | | 257,028 |
| | | | | | | | | | | | | | | | | | | | | |
Total | | $ | 1,453,083 | | $ | (92,327) | | $ | 1,360,756 | | 100.0% | | 30.3% | | $ | (20,433) | | 1.4% | | $ | 1,432,650 |
| | | | | | | | | | | | | | | | | | | | | |
At March 31, 2009, 97.4% (December 31, 2008: 97.1%) of our gross recoverables were collectible from reinsurers rated the equivalent of A- or better by internationally recognised rating agencies.
| | | | |
Top 10 Reinsurers (net of collateral) | | % of Total
Gross
Recoverable
Net of
Collateral | | % of Total
Shareholders’
Equity |
Swiss Reinsurance America Corporation | | 13.7% | | 4.2% |
Partner Reinsurance Company | | 11.8% | | 3.6% |
Transatlantic Reinsurance Co. | | 11.5% | | 3.5% |
XL Reinsurance America Inc | | 8.4% | | 2.6% |
Lloyd’s of London | | 8.4% | | 2.5% |
Berkley Insurance Company | | 5.1% | | 1.6% |
Ace Property & Casualty Ins | | 4.0% | | 1.2% |
Federal Insurance Company | | 2.7% | | 0.8% |
Munich Reinsurance America, Inc | | 2.2% | | 0.7% |
Everest Reinsurance Company | | 2.1% | | 0.6% |
| | | | |
| | 69.9% | | 21.3% |
| | | | |
16
AXIS Capital Holdings Limited
RESERVE FOR LOSSES AND LOSS EXPENSES: PAID TO INCURRED ANALYSIS
| | | | | | | | | | | | | | | | | | |
| | | Quarter ended March 31, 2009 | | Quarter ended March 31, 2008 |
Reserve
for
losses
and loss
expenses | | Gross | | Recoveries | | Net | | Gross | | Recoveries | | Net |
Beginning of period | | $ | 6,244,783 | | $ | (1,378,630) | | $ | 4,866,153 | | $ | 5,587,311 | | $ | (1,356,893) | | $ | 4,230,418 |
| | | | | | |
Incurred | | | 496,628 | | | (108,629) | | | 387,999 | | | 512,579 | | | (150,898) | | | 361,681 |
| | | | | | |
Paid | | | (310,407) | | | 53,156 | | | (257,251) | | | (305,975) | | | 81,478 | | | (224,497) |
| | | | | | |
Foreign exchange (gains) losses | | | (38,726) | | | 1,453 | | | (37,273) | | | 20,293 | | | - | | | 20,293 |
| | | | | | | | | | | | | | | | | | |
| | | | | | |
End of period[a] | | $ | 6,392,278 | | $ | (1,432,650) | | $ | 4,959,628 | | $ | 5,814,208 | | $ | (1,426,313) | | $ | 4,387,895 |
| | | | | | | | | | | | | | | | | | |
[a] As at March 31, 2009, the gross reserve for losses and loss expenses included IBNR of $4,343 million, or 68%, of total gross reserves for loss and loss expenses. As at December 31, 2008, the comparable amount was $4,190 million, or 67%.
17
AXIS Capital Holdings Limited
RESERVE FOR LOSSES AND LOSS EXPENSES: PAID TO INCURRED ANALYSIS BY SEGMENT
| | | | | | | | | | | | | | | | | | |
| | | Three months ended March 31, 2009 | | Three months ended March 31, 2008 |
| | | Insurance | | Reinsurance | | Total | | Insurance | | Reinsurance | | Total |
Gross losses paid | | $ | 199,058 | | $ | 111,349 | | $ | 310,407 | | $ | 201,488 | | $ | 104,487 | | $ | 305,975 |
Reinsurance recoveries received | | | (53,156) | | | - | | | (53,156) | | | (81,478) | | | - | | | (81,478) |
| | | | | | | | | | | | | | | | | | |
Net losses paid | | | 145,902 | | | 111,349 | | | 257,251 | | | 120,010 | | | 104,487 | | | 224,497 |
| | | | | | |
Change in: | | | | | | | | | | | | | | | | | | |
Reported case reserves | | | 63,922 | | | 38,863 | | | 102,785 | | | 92,709 | | | 12,029 | | | 104,738 |
IBNR | | | (2,700) | | | 86,136 | | | 83,436 | | | 14,703 | | | 87,163 | | | 101,866 |
Reinsurance recoveries on paid and unpaid loss and loss expense reserves | | | (54,420) | | | (1,053) | | | (55,473) | | | (67,972) | | | (1,448) | | | (69,420) |
| | | | | | | | | | | | | | | | | | |
| | | | | | |
TOTAL NET INCURRED LOSSES AND LOSS EXPENSES | | $ | 152,704 | | $ | 235,295 | | $ | 387,999 | | $ | 159,450 | | $ | 202,231 | | $ | 361,681 |
| | | | | | | | | | | | | | | | | | |
| | | | | | |
Gross reserve for losses and loss expenses | | $ | 3,603,197 | | $ | 2,789,081 | | $ | 6,392,277 | | $ | 3,442,804 | | $ | 2,371,404 | | $ | 5,814,208 |
| | | | | | | | | | | | | | | | | | |
| | | | | | |
Prior years net favorable reserve development | | $ | 35,906 | | $ | 48,428 | | $ | 84,334 | | $ | 54,580 | | $ | 33,531 | | $ | 88,111 |
| | | | | | | | | | | | | | | | | | |
| | | | | | |
Key Ratios | | | | | | | | | | | | | | | | | | |
| | | | | | |
Net paid to net incurred percentage | | | 95.5% | | | 47.3% | | | 66.3% | | | 75.3% | | | 51.7% | | | 62.1% |
| | | | | | | | | | | | | | | | | | |
| | | | | | |
Net paid losses / Net premiums earned | | | 52.9% | | | 28.6% | | | 38.7% | | | 40.0% | | | 29.1% | | | 34.1% |
Change in net loss and loss expense reserves / Net premiums earned | | | 2.5% | | | 31.8% | | | 19.7% | | | 13.2% | | | 27.2% | | | 20.8% |
| | | | | | | | | | | | | | | | | | |
| | | | | | |
Net loss and loss expense ratio | | | 55.4% | | | 60.4% | | | 58.3% | | | 53.2% | | | 56.3% | | | 54.9% |
| | | | | | | | | | | | | | | | | | |
18
AXIS Capital Holdings Limited
RESERVE FOR LOSSES AND LOSS EXPENSES: PAID TO INCURRED ANALYSIS
INSURANCE - QUARTERLY
| | | | | | | | | | | | | | | | | | |
| | | Quarter ended |
| | | Q1 2009 | | Q4 2008 | | Q3 2008 | | Q2 2008 | | Q1 2008 | | Q1 2007 |
Gross losses paid | | $ | 199,058 | | $ | 270,708 | | $ | 148,243 | | $ | 161,108 | | $ | 201,488 | | $ | 181,854 |
Reinsurance recoveries received | | | (53,156) | | | (125,765) | | | (54,077) | | | (79,170) | | | (81,478) | | | (44,729) |
| | | | | | | | | | | | | | | | | | |
Net losses paid | | | 145,902 | | | 144,943 | | | 94,166 | | | 81,938 | | | 120,010 | | | 137,125 |
| | | | | | |
Change in: | | | | | | | | | | | | | | | | | | |
Reported case reserves | | | 63,922 | | | 32,149 | | | 34,509 | | | 44,365 | | | 92,709 | | | (81,327) |
IBNR | | | (2,700) | | | (159,195) | | | 158,606 | | | 21,103 | | | 14,703 | | | 171,237 |
Reinsurance recoveries on paid and unpaid loss and loss expense reserves | | | (54,420) | | | 92,048 | | | (56,704) | | | 12,290 | | | (67,972) | | | (41,084) |
| | | | | | | | | | | | | | | | | | |
| | | | | | |
TOTAL NET INCURRED LOSSES AND LOSS EXPENSES | | $ | 152,704 | | $ | 109,945 | | $ | 230,577 | | $ | 159,696 | | $ | 159,450 | | $ | 185,951 |
| | | | | | | | | | | | | | | | | | |
| | | | | | |
Gross reserve for losses and loss expenses | | $ | 3,603,197 | | $ | 3,547,071 | | $ | 3,690,039 | | $ | 3,508,456 | | $ | 3,442,804 | | $ | 3,260,711 |
| | | | | | | | | | | | | | | | | | |
| | | | | | |
Prior years net favorable reserve development | | $ | 35,906 | | $ | 60,045 | | $ | 41,608 | | $ | 46,106 | | $ | 54,580 | | $ | 28,727 |
| | | | | | | | | | | | | | | | | | |
| | | | | | |
Key Ratios | | | | | | | | | | | | | | | | | | |
Net paid to net incurred percentage | | | 95.5% | | | 131.8% | | | 40.8% | | | 51.3% | | | 75.3% | | | 73.7% |
| | | | | | | | | | | | | | | | | | |
| | | | | | |
Net paid losses / Net premiums earned | | | 52.9% | | | 49.5% | | | 32.1% | | | 27.5% | | | 40.0% | | | 43.5% |
Change in net loss and loss expense reserves / Net premiums earned | | | 2.5% | | | (11.9%) | | | 46.5% | | | 26.1% | | | 13.2% | | | 15.5% |
| | | | | | | | | | | | | | | | | | |
| | | | | | |
Net loss and loss expense ratio | | | 55.4% | | | 37.6% | | | 78.5% | | | 53.7% | | | 53.2% | | | 59.0% |
| | | | | | | | | | | | | | | | | | |
19
AXIS Capital Holdings Limited
RESERVE FOR LOSSES AND LOSS EXPENSES: PAID TO INCURRED ANALYSIS
REINSURANCE - QUARTERLY
| | | | | | | | | | | | | | | | | | |
| | | Quarter ended |
| | | Q1 2009 | | Q4 2008 | | Q3 2008 | | Q2 2008 | | Q1 2008 | | Q1 2007 |
Gross losses paid | | $ | 111,349 | | $ | 139,509 | | $ | 164,376 | | $ | 101,782 | | $ | 104,487 | | $ | 130,490 |
Reinsurance recoveries received | | | - | | | - | | | (7,497) | | | - | | | - | | | - |
| | | | | | | | | | | | | | | | | | |
Net losses paid | | | 111,349 | | | 139,509 | | | 156,879 | | | 101,782 | | | 104,487 | | | 130,490 |
| | | | | | |
Change in: | | | | | | | | | | | | | | | | | | |
Reported case reserves | | | 38,863 | | | 41,589 | | | 161,303 | | | 15,193 | | | 12,029 | | | (50,972) |
IBNR | | | 86,136 | | | (17,585) | | | 150,324 | | | 104,152 | | | 87,163 | | | 128,983 |
Reinsurance recoveries on paid and unpaid loss and loss expense reserves | | | (1,053) | | | 379 | | | 6,448 | | | (9,106) | | | (1,448) | | | (1,655) |
| | | | | | | | | | | | | | | | | | |
| | | | | | |
TOTAL NET INCURRED LOSSES AND LOSS EXPENSES | | $ | 235,295 | | $ | 163,892 | | $ | 474,954 | | $ | 212,021 | | $ | 202,231 | | $ | 206,846 |
| | | | | | | | | | | | | | | | | | |
| | | | | | |
Gross reserve for losses and loss expenses | | $ | 2,789,081 | | $ | 2,697,712 | | $ | 2,716,165 | | $ | 2,487,275 | | $ | 2,371,404 | | $ | 1,925,480 |
| | | | | | | | | | | | | | | | | | |
| | | | | | |
Prior years net favorable reserve development | | $ | 48,428 | | $ | 65,116 | | $ | 34,663 | | $ | 40,638 | | $ | 33,531 | | $ | 37,237 |
| | | | | | | | | | | | | | | | | | |
| | | | | | |
Key Ratios | | | | | | | | | | | | | | | | | | |
| | | | | | |
Net paid to net incurred percentage | | | 47.3% | | | 85.1% | | | 33.0% | | | 48.0% | | | 51.7% | | | 63.1% |
| | | | | | | | | | | | | | | | | | |
| | | | | | |
Net paid losses / Net premiums earned | | | 28.6% | | | 38.1% | | | 39.6% | | | 26.6% | | | 29.1% | | | 35.2% |
Change in net loss and loss expense reserves / Net premiums earned | | | 31.8% | | | 6.7% | | | 80.2% | | | 28.8% | | | 27.2% | | | 20.6% |
| | | | | | | | | | | | | | | | | | |
| | | | | | |
Net loss and loss expense ratio | | | 60.4% | | | 44.8% | | | 119.8% | | | 55.4% | | | 56.3% | | | 55.8% |
| | | | | | | | | | | | | | | | | | |
20
AXIS Capital Holdings Limited
ESTIMATED NET LOSSES TO PEAK ZONE PROPERTY CATASTROPHE LOSSES - AS OF APRIL 1, 2009
| | | | | | | | | | | | | | | | | | | | |
| | | | | Group Estimated Net Losses (in thousands of U.S. dollars) | | Estimated Industry Losses (in billions of U.S. dollars) |
| Zones | | Perils | | 50 Year
Return
Period | | 100 Year
Return
Period | | 250 Year
Return
Period | | 50 Year
Return
Period | | 100 Year
Return
Period | | 250 Year
Return
Period |
United States | | Hurricane | | $ | 647,815 | | $ | 871,848 | | $ | 1,224,933 | | $ | 75.9 | | $ | 117.6 | | $ | 191.5 |
California | | Earthquake | | | 377,109 | | | 570,025 | | | 946,450 | | | 23.2 | | | 35.2 | | | 60.7 |
Europe | | Windstorm | | | 431,864 | | | 635,378 | | | 913,806 | | | 25.5 | | | 37.3 | | | 53.7 |
Japan | | Earthquake | | | 216,758 | | | 292,913 | | | 527,150 | | | 16.5 | | | 23.6 | | | 43.0 |
Japan | | Windstorm | | | 79,937 | | | 122,009 | | | 130,833 | | | 17.5 | | | 25.0 | | | 41.8 |
For natural peril catastrophes, based on our current tolerances, we are not willing to lose more than 25% of our prior year-end capital for a modeled single occurrence 1-in-250 year return period probable maximum net loss. We reserve the right to change these thresholds at any time.
The above table shows our net loss estimates to the peak natural catastrophe territories at April 1, 2009. We have developed these loss estimates using multiple commercially available catastrophe models and our own assessments for non-modeled exposures. These models allow us to simulate many hypothetical loss scenarios to supplement our underwriting judgment. These estimates include assumptions regarding the location, size and magnitude of an event, the frequency of events, the construction type and damageability of property in a zone, and the cost of rebuilding property in a zone. Loss estimates for non-U.S. territories will be subject to fluctuations in currency rates, although from a financial statement point of view, we may mitigate this currency variability. Return period refers to the frequency with which losses of a given amount or greater are expected to occur.
The figures take into account the fact that an event may trigger claims in a number of lines of business. For instance, our U.S hurricane modeling includes, among other things, the estimated pre-tax impact to our financial results arising from our catastrophe, property, engineering, energy, marine and aviation lines of business. As indicated in the table above, our modeled single occurrence 1-in-100 year return period U.S. hurricane probable maximum loss, net of reinsurance, is approximately $872 million (or 19% of shareholders’ equity at March 31, 2009). According to our modeling, there is a one percent chance that our losses incurred in any single U.S. hurricane event could be in excess of $872 million. Conversely, there is a 99% chance that the loss from a U.S. hurricane will fall below $872 million. We estimate that, at such hypothetical loss levels, aggregate industry losses would be approximately $118 billion, resulting in an estimated market share of insured losses for the Company of 0.7%.
Net loss estimates are before income tax, net of reinstatement premiums, and net of reinsurance recoveries. The estimates set forth above are based on assumptions (see above) that are inherently subject to significant uncertainties and contingencies. These uncertainties and contingencies can affect actual losses and could cause actual losses to differ materially from those expressed above. In particular, modeled loss estimates do not necessarily accurately predict actual losses, and may significantly misstate actual losses. Such estimates, therefore, should not be considered as a representation of actual losses. Our estimated net losses from peak zone catastrophes may change from period to period as a result of several factors, which include but are not limited to, updates to vendor catastrophe models, changes in our own modeling, changes in our underwriting portfolios and changes in foreign exchange rates.
21
AXIS Capital Holdings Limited
EARNINGS PER COMMON SHARE INFORMATION AND COMMON SHARE ROLLFOWARD - QUARTERLY
| | | | | | | | | | | | | | | | | | |
| | | Quarter ended |
| | | Q1 2009 | | Q4 2008 | | Q3 2008 | | Q2 2008 | | Q1 2008 | | Q1 2007 |
Net income (loss) available to common shareholders | | $ | 115,679 | | $ | 130,858 | | $ | (249,347) | | $ | 231,267 | | $ | 237,722 | | $ | 227,579 |
| | | | | | | | | | | | | | | | | | |
| | | | | | |
COMMON SHARES OUTSTANDING | | | | | | | | | | | | | | | | | | |
| | | | | | |
Common Shares - at beginning of period | | | 136,212 | | | 137,991 | | | 139,653 | | | 144,590 | | | 142,520 | | | 149,982 |
Shares issued | | | 1,630 | | | 13 | | | 113 | | | 154 | | | 2,189 | | | 522 |
Shares repurchased for treasury | | | (220) | | | (1,792) | | | (1,775) | | | (5,091) | | | (119) | | | - |
Shares repurchased and cancelled | | | - | | | - | | | - | | | - | | | - | | | (87) |
| | | | | | | | | | | | | | | | | | |
Common Shares - at end of period | | | 137,622 | | | 136,212 | | | 137,991 | | | 139,653 | | | 144,590 | | | 150,417 |
| | | | | | | | | | | | | | | | | | |
| | | | | | |
WEIGHTED AVERAGE COMMON SHARES OUTSTANDING | | | | | | | | | | | | | | | | | | |
Weighted average basic shares outstanding | | | 137,316 | | | 136,433 | | | 139,335 | | | 142,333 | | | 143,239 | | | 150,433 |
| | | | | | |
Dilutive share equivalents: | | | | | | | | | | | | | | | | | | |
Warrants[a] | | | 9,729 | | | 10,293 | | | - | | | 12,579 | | | 13,160 | | | 12,384 |
Restricted stock[a] | | | 1,308 | | | 1,921 | | | - | | | 1,194 | | | 2,258 | | | 2,192 |
Options[a] | | | 668 | | | 716 | | | - | | | 1,496 | | | 1,527 | | | 1,026 |
Restricted stock units | | | 2 | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
Weighted average diluted shares outstanding | | | 149,023 | | | 149,363 | | | 139,335 | | | 157,602 | | | 160,184 | | | 166,035 |
| | | | | | | | | | | | | | | | | | |
| | | | | | |
EARNINGS PER COMMON SHARE | | | | | | | | | | | | | | | | | | |
Basic | | $ | 0.84 | | $ | 0.96 | | ($ | 1.79) | | $ | 1.62 | | $ | 1.66 | | $ | 1.51 |
| | | | | | |
Diluted | | $ | 0.78 | | $ | 0.88 | | ($ | 1.79) | | $ | 1.47 | | $ | 1.48 | | $ | 1.37 |
| | | | | | | | | | | | | | | | | | |
[a]Due to the net loss incurred in the three months ended September 30, 2008, these securities were not included in the computation of diluted earnings per share, because of their anti-dilutive effect.
22
AXIS Capital Holdings Limited
DILUTED BOOK VALUE PER COMMON SHARE ANALYSIS - TREASURY STOCK METHOD[a]
| | | | | | | | |
| | | At March 31, 2009 |
| | | Weighted
Average
Strike Price | | Common
Shareholders’
Equity | | Outstanding
Common Shares
net of
Treasury Shares | | Per share |
| | | | |
Closing stock price | | | | | | | | $22.54 |
| | | | | | | | |
| | | | |
Book value per common share | | | | $ 3,992,837 | | 137,622 | | $29.01 |
| | | | |
Dilutive securities: | | | | | | | | |
Warrants | | $12.39 | | - | | 8,883 | | (1.76) |
Restricted stocks | | | | - | | 4,628 | | (0.83) |
Options | | $21.20 | | - | | 182 | | (0.03) |
Restricted stock units | | | | - | | 164 | | (0.03) |
Phantom stock units | | | | - | | 66 | | (0.01) |
| | | | | | | | |
Diluted book value per common share | | | | $ 3,992,837 | | 151,545 | | $26.35 |
| | | | | | | | |
| |
| | At December 31, 2008 |
| | | Weighted
Average
Strike Price | | Common
Shareholders’
Equity | | Outstanding
Common Shares
net of
Treasury Shares | | Per share |
| | | | |
Closing stock price | | | | | | | | $29.12 |
| | | | | | | | |
| | | | |
Book value per common share | | | | $ 3,961,041 | | 136,211 | | $29.08 |
| | | | |
Dilutive securities: | | | | | | | | |
Warrants | | $12.40 | | - | | 11,317 | | (2.23) |
Restricted stocks | | | | - | | 5,163 | | (0.90) |
Options | | $21.20 | | - | | 834 | | (0.15) |
Phantom stock units | | | | - | | 62 | | (0.01) |
| | | | | | | | |
Diluted book value per common share | | | | $ 3,961,041 | | 153,588 | | $25.79 |
| | | | | | | | |
[a]This method assumes that proceeds received upon exercise of options and warrants will be used to repurchase our common shares at the closing market price. Unvested restricted stock is also added to determine the diluted common shares outstanding.
23
