AXIS Capital Holdings Limited Investment Portfolio Supplemental Information and Data September 30, 2009 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. |
3 Total Cash and Investments Total Cash and Investments: $11.8 Billion Total Portfolio Allocation Total Portfolio Ratings Allocation Note: Other investments include hedge funds, CLO equity tranches, credit funds and short duration high yield funds (As of September 30, 2009) Equities 1% Short Term Investments 2% Other Investments 5% Municipals 6% Corporates 29% Foreign Govt Agency 5% Cash & Cash Equivalents 10% US Govt/Agency 16% Agency MBS 15% ABS 3% Non Agency RMBS 2% Non Agency CMBS 6% Other Investments (unrated) 5% US Govt/Agency/Cash & Cash Equivalents 41% A 15% BBB 9% Below BBB 1% Equities 1% AA 8% AAA 20% |
Non-Agency CMBS: Detail Fair Value ($ in millions) Net Unrealized Loss ($ in millions) Rating by Vintage (%) Rating by Vintage ($ in millions) $11 - - - 11 - - BBB $8 $ - $ - $8 2009 Vintage AAA AA A Total 2008 15 - - 15 2007 123 16 24 174 2006 162 4 13 179 2005 99 14 7 121 Other 229 10 1 240 Total $636 $44 $45 $737 $(6) Net Unrealized $(29) $(8) $- $(42) 4 Key Characteristics • 86.4% AAA, 95.8% senior/super senior tranches • 157 securities • Weighted average life of 4.7 years • Duration of 3.79 • Book yield is 5.80% • Average price of 92% of par (As of September 30, 2009) Total Non Agency CMBS: $737 Million (6% of total portfolio) $- $20 $40 $60 $80** $100 $120 $140 $160 $180 Pre 2001 2002 2003 2004 2005 2006 2007 2008 2009 AAA AA A BBB 0% 20% 40% 60% 80% 100% Pre 2001 2002 2003 2004 2005 2006 2007 2008 2009 AAA AA A BBB |
Non-Agency CMBS: Detail (Continued) • Average loan to value of the underlying collateral is 70.9 • Average subordination has improved to 27.5% from 25.3% at origination • Current percentage of defeased collateral is 8.25% • Average current collateral delinquency is 4.82% Asset Class Amortized Cost Net Unrealized Loss Fair Value Office $258 $(17) $241 Retail 239 (11) 229 Multifamily 124 (6) 118 Hotel 59 (3) 56 Industrial 35 (2) 33 Mixed use 16 (1) 15 Self storage 15 (1) 14 Mobile home 13 (1) 12 Healthcare 4 - 4 Other 16 - 17 Total $779 $(42) $737 5 108 (12) 121 7.1 – 10 5 - 5 >10 Years to Maturity Amortized Cost Net Unrealized Gain/(Loss) Fair Value < 2 $142 $1 $144 2.1 – 3 85 (2) 83 3.1 – 4 61 1 62 4.1 – 5 96 (1) 95 5.1 – 7 268 (28) 240 Total $779 $(42) $737 Collateral Property Type ($ in millions) Maturity Detail ($ in millions) (As of September 30, 2009) |
6 Investment Grade Fixed Income: RMBS Key Characteristics – Non Agency RMBS • Non-Agency RMBS have an amortized cost of $265 million with net unrealized loss of $39 million • This sector includes prime, Alt-A and subprime collateral • Non-Agency RMBS is 59.7% AAA-rated as detailed on the following slides Total Agency and Non-Agency RMBS: $2.0 Billion (17% of total portfolio) Key Characteristics – Agency RMBS • 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 $1.7 billion with a net unrealized gain of $50 million • Duration of 2.51 • Book yield is 4.69% (As of September 30, 2009) Agency RMBS 89% Non-Agency RMBS 11% |
Non-Agency RMBS: Detail Fair Value ($ in millions) Rating by Vintage (%) Rating by Vintage ($ in millions) $5 - - 2 1 2 $- BBB $2 $- $- $- $2 2009 Vintage AAA AA A Below BBB Total 2007 13 7 - 13 35 2006 9 - - 27 37 2005 39 16 - 19 76 2004 35 - - 1 36 Other 37 3 - - 40 Total $135 $26 $- $60 $226 $(1) Net Unrealized $(22) $(4) $ - $(12) $(39) Net Unrealized Loss ($ in millions) 7 Key Characteristics • 59.7% AAA • 134 securities • Weighted average life of 5.1 years • Book yield is 6.10% • Average price of 85% of par • Duration of 0.03 (As of September 30, 2009) 0% 20% 40% 60% 80% 100% Pre 2001 2002 2003 2004 2005 2006 2007 2009 AAA AA A BBB Below BBB $- $10 $20 $30 $40 $50 $60 $70 $80 Pre 2001 2002 2003 2004 2005 2006 2007 2009 AAA AA A BBB Below BBB |
Non-Agency RMBS: Detail (Continued) Years to Maturity Amortized Cost Net Unrealized Loss Fair Value < 2 $30 $(2) $28 2.1 – 3 12 (2) 10 3.1 – 4 49 (5) 44 4.1 – 5 55 (9) 46 5.1 – 7 63 (10) 52 7.1 – 10 44 (9) 36 >10 12 (2) 10 Total $265 $(39) $226 Maturity Detail ($ in millions) 8 • The fair value of securities with Subprime content is $19 million (Non-Agency RMBS $3 million and ABS $16 million) • The fair value of securities with Alt-A content is $69 million (Non-Agency RMBS $68 million, ABS $0.6 million and Agency MBS $0.4 million) (As of September 30, 2009) Note: 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 |
9 Investment Grade Fixed Income: Corporate Debt Total Corporate Debt: $3.4 Billion (29% of total portfolio) (As of September 30, 2009) *Medium-Term Notes primarily comprise European credit issuances Direct Non Financials 38% Medium Term Notes* 10% Direct Financials 52% • Average corporate debt rating A • Weighted average life of 4.28 years • Duration of 3.09 • Book Yield is 4.03% |
Investment Grade Corporate Debt: Financials Financials by Subsector: $1.8 Billion (15% of total portfolio) 10 (As of September 30, 2009) Commercial Finance 10% Consumer Finance 2% Corporate Finance 12% Brokerage 15% US Banking 35% Non US Govt Guaranteed 1% Foreign Banks 24% Insurance 1% Amortized Cost Net Unrealized Gain/(Loss) Fair Value US Banking $608 $13 $621 Brokerage 248 11 260 Commercial Finance 182 1 183 Consumer Finance 40 1 41 Corporate Finance 211 (3) 208 Foreign Banks 436 (5) 431 Insurance 15 1 16 Non US Govt Guaranteed 14 1 15 Total $1,753 $21 $1,774 • Included in Investment Grade Corporate Debt for Financials are $311 million of FDIC guaranteed bonds |
Corporate Debt - Financials: Detail 136 9 127 JP Morgan Chase 140 2 138 Bank of America 137 2 135 Citigroup 111 4 107 Goldman Sachs 109 3 106 Morgan Stanley 93 2 91 Wells Fargo & Co Amortized Cost Net Unrealized Gain Fair Value General Electric $208 $4 $212 HSBC Holdings PLC 65 1 66 Credit Suisse 56 2 58 American Express 34 1 35 Top 10 Direct Financial Holdings ($ in millions) 117 2 115 BBB 790 20 770 A Amortized Cost Net Unrealized Gain/(Loss) Fair Value AAA $441 $5 $446 AA 387 2 389 Below BBB 40 (8) 32 Total $1,753 $21 $1,774 Financials by Rating ($ in millions) (As of September 30, 2009) 11 |
Investment Grade Corporate Debt: Non-Financials Amortized Cost Net Unrealized Gain Fair Value Communications $338 $17 $355 Consumer cyclicals 106 3 109 Consumer non cyclicals 196 10 206 Electric 204 11 216 Energy 140 8 147 Industrial 131 7 138 Natural gas 43 2 45 Other 11 - 11 Technology 61 3 64 Transportation 16 1 17 Total $1,245 $62 $1,307 Non-Financials By Subsector: $1.3 Billion (11% of total portfolio) (As of September 30, 2009) 12 Subsector Detail ($ in millions) Consumer cyclicals 8% Technology 5% Other 1% Industrial 11% Transportation 1% Communications 27% Natural gas 3% Energy 11% Consumer non cyclicals 16% Electric 17% |
Top 10 Direct Non-Financial Holdings ($ in millions) Corporate Debt - Non-Financials: Detail 33 2 31 Duke Energy 49 2 47 AT&T 41 2 39 Time Warner Cable 29 2 27 Comcast Corporation 26 2 24 Dominion Resources Inc 23 - 23 Daimler AG Amortized Cost Net Unrealized Gain Fair Value Verizon Communications $114 $7 $121 Anadarko Petroleum Co 20 1 21 International Paper Co 19 2 21 Consolidated Edison Inc 19 1 20 576 26 550 BBB Amortized Cost Net Unrealized Gain Fair Value AAA $15 $1 $156 AA 100 3 103 A 578 32 610 Below BBB 2 - 2 Total $1,245 $62 $1,307 Non Financials by Rating ($ in millions) 13 (As of September 30, 2009) |
14 Investment Grade Corporate Debt: Medium-Term Notes • Credit issuances accessed via medium-term notes which employ leverage • Current leverage 0.32 (for each unit of client capital an additional of borrowed capital is employed) • Investment results driven by changes in credit spreads and the yield based on LIBOR plus the credit spread • Amortized cost was adjusted to fair value at September 30, 2009 due to other than temporary impairment charges • Average yield of medium-term notes is LIBOR + 258bps Fair Value by Region $361 Fair Value 3.0 % of Total Portfolio Amortized Cost Net Unrealized Gain/(Loss) Medium-Term Notes $361 $- Fair Value by Rating Fair Value by Sector Medium-Term Notes ($ in millions) (As of September 30, 2009) Other 4% Asia 2% US 2% UK 27% Western Europe 61% Middle East 2% Eastern Europe 2% A 36% AA 12% AAA 3% BBB 31% Below BBB 18% ABS 9% Financials 25% Corporate & Sovereign 66% |
Investment Grade Fixed Income: ABS Amortized Cost Net Unrealized Gain/(Loss) Fair Value Auto ABS $182 $3 $185 CLO – debt tranches 57 (14) 43 CDO 10 (4) 6 Credit card 55 1 56 Home equity & home improvement 23 (7) 16 Other ABS 80 1 81 Total $407 $(21) $386 15 ABS by Subsector: $386 Million (3% of total portfolio) (As of September 30, 2009) Auto ABS 47% Home equity & home improvement 4% Credit card 15% CDO 2% CLO - debt tranches 11% Other ABS 21% Subsector Detail ($ in millions) |
ABS: Detail Years to Maturity Amortized Cost Net Unrealized Loss Fair Value < 2 $174 $(2) $172 2.1 – 3 83 - 83 3.1 – 4 19 (3) 16 4.1 – 5 65 (8) 57 5.1 – 7 20 (6) 14 7.1 – 10 37 - 37 >10 9 (3) 6 Total $407 $(21) $386 16 Maturity Detail ($ in millions) Vintage Detail ($ in millions) (As of September 30, 2009) $11 8 3 - - $- BBB Vintage AAA AA A Below BBB Total 2009 $121 $- $- $- $121 2008 105 - - - 105 2007 30 - 4 1 35 2006 42 - - 4 49 Other 32 - 27 9 76 Total $330 $- $31 $14 $386 $(7) Net Unrealized $- $ - $(7) $(7) $(21) Key Characteristics • 85.5% AAA • 124 securities • Weighted average life of 2.83 years • Duration of 0.90 • Book yield is 3.07% • Average price of 95% of par 11 (7) 19 BBB Amortized Cost Net Unrealized Loss Fair Value AAA $330 $- $330 AA - - - A 38 (7) 31 Below BBB 20 (7) 14 Total $407 $(21) $386 Rating Detail ($ in millions) Net Unrealized Loss ($ in millions) |
Fund of funds 77% Single managers 23% Other Investments Overview CLO - equity tranches 12% Hedge funds 60% Short duration high yield fund 9% Credit funds 19% Total Other Investments: $541 million (5% of total portfolio) (As of September 30, 2009) 17 Key Characteristics • Short duration high yield fund – invests mainly in high yield bonds with an average maturity of years and average rating of • Credit funds –invest in bank loans, investment grade credit and distressed debt • CLO equity tranches – equity tranches of cash flow collateralized loan obligations that invest primarily in first-lien bank loans • Single managers – invest in event driven, equity long short, and energy MLP strategies Hedge Funds Total Other Investments |
Net Unrealized Gain / (Loss) Summary 138 8 129 Equities Amortized Cost Net Unrealized Gain Fair Value Fixed maturities $9,588 $94 $9,683 Short-term investments 283 - 283 Total $10,000 $103 $10,103 As of September 30, 2009) Invested Assets ($ in millions) 18 109 (456) (265) (52) (57) 79 (7) (513) (274) (33) (49) 41 (349) (178) (31) (22) 19 17 83 (31) (21) 27 $(900) $(750) $(600) $(450) $(300) $(150) $- $150 Dec 2008 Mar 2009 Jun 2009 Sep 2009 US Govt/Agency Foreign Govt Corporates Non Agency CMBS/RMBS Asset-backed securitites Municipals Short-term investments Equities |