AXIS Capital Holdings Limited Investment Portfolio Supplemental Information and Data December 31, 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: $11.6 Billion Total Portfolio Allocation Total Portfolio Ratings Allocation Note: Other investments include hedge funds, CLO equity tranches, credit funds and short duration high yield funds (As of December 31, 2009) Equities 2% Short Term Investments 1% Other Investments 5% Municipals 6% Corporates 31% Foreign Govt Agency 6% Cash & Cash Equivalents 8% US Govt/Agency 16% Agency MBS 13% ABS 4% Non Agency RMBS 2% Non Agency CMBS 6% AAA 22% AA 8% Equities 2% Below BBB 1% BBB 9% A 16% US Govt/Agency/Cash & Cash Equivalents/ Agency MBS 37% Other Investments (unrated) 5% |
Non-Agency CMBS: Detail Fair Value ($ in millions) Net Unrealized Loss ($ in millions) Rating by Vintage (%) Rating by Vintage ($ in millions) Vintage AAA AA A BBB Total 2008 $8 $ - $ 2 - $10 2007 82 18 51 1 152 2006 108 31 13 - 152 2005 104 4 7 - 115 Other 212 11 1 - 224 Total $514 $64 $74 $1 $653 Net Unrealized $(4) $(6) $(8) $- $(18) 4 Key Characteristics • 78.7% AAA, 95.4% senior/super senior tranches • 145 securities • Weighted average life of 4.4 years • Duration of 3.59 • Book yield is 5.71% • Average price of 95% of par (As of December 31, 2009) Total Non Agency CMBS: $653 Million (6% of total portfolio) $- $20 $40 $60 $80 $100 $120 $140 $160 Pre 2001 2002 2003 2004 2005 2006 2007 2008 AAA AA A BBB 0% 20% 40% 60% 80% 100% Pre 2001 2002 2003 2004 2005 2006 2007 2008 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 27.2% from 24.8% at origination • Current percentage of defeased collateral is 8.58% • Average current collateral delinquency is 6.12% Asset Class Amortized Cost Net Unrealized Loss Fair Value Office $218 $(7) $211 Retail 213 (5) 208 Multifamily 109 (2) 107 Hotel 50 (1) 49 Industrial 30 (1) 29 Mixed use 14 - 14 Self storage 13 (1) 12 Mobile home 11 (1) 10 Healthcare 4 - 4 Other 9 - 9 Total $671 $(18) $653 5 Years to Maturity Amortized Cost Net Unrealized Gain/(Loss) Fair Value < 2 $127 $2 $129 2.1 – 3 49 - 49 3.1 – 4 96 1 97 4.1 – 5 99 (3) 96 5.1 – 7 252 (14) 238 7.1 – 10 48 (4) 44 Total $671 $(18) $653 Collateral Property Type ($ in millions) Maturity Detail ($ in millions) (As of December 31, 2009) |
6 Investment Grade Fixed Income: RMBS Key Characteristics – Non Agency RMBS • Non-Agency RMBS have an amortized cost of $258 million with net unrealized loss of $35 million • This sector includes prime, Alt-A and subprime collateral • Non-Agency RMBS is 56.1% AAA-rated as detailed on the following slides Total Agency and Non-Agency RMBS: $1.8 Billion (15% 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 $1.5 billion with a net unrealized gain of $37 million • Duration of 3.15 • Book yield is 4.70% (As of December 31, 2009) Agency RMBS 87% Non-Agency RMBS 13% |
Non-Agency RMBS: Detail Fair Value ($ in millions) Rating by Vintage (%) Rating by Vintage ($ in millions) Vintage AAA AA A BBB Below BBB Total 2009 $2 $- $- $- $- $2 2007 9 7 1 - 15 32 2006 8 - - 1 28 37 2005 42 15 - 2 19 78 2004 30 2 1 1 2 35 Other 34 4 - - 1 39 Total $125 $27 $2 $4 $65 $223 Net Unrealized $(17) $(4) $ (1) $(1) $(12) $(35) Net Unrealized Loss ($ in millions) 7 Key Characteristics • 56.1% AAA • 172 securities • Weighted average life of 3.7 years • Book yield is 6.41% • Average price of 81% of par • Duration of 0.06 (As of December 31, 2009) $- $10 $20 $30 $40 $50 $60 $70 $80 Pre 2001 2002 2003 2004 2005 2006 2007 2009 AAA AA A BBB Below BBB 0% 20% 40% 60% 80% 100% 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 $46 $(4) $42 2.1 – 3 49 (3) 46 3.1 – 4 38 (5) 33 4.1 – 5 21 (4) 17 5.1 – 7 82 (13) 69 7.1 – 10 12 (3) 9 >10 10 (3) 7 Total $258 $(35) $223 Maturity Detail ($ in millions) 8 • The fair value of securities with Subprime content is $17 million • The fair value of securities with Alt-A content is $70 million (As of December 31, 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: $3.6 Billion (31% of total portfolio) (As of December 31, 2009) *Medium-Term Notes primarily comprise European credit issuances Direct Non Financials 37% Medium Term Notes* 10% Direct Financials 53% • Average corporate debt rating A • Weighted average life of 4.49 years • Duration of 3.16 • Book Yield is 5.12% |
Investment Grade Corporate Debt: Financials Financials by Subsector: $1.9 Billion (17% of total portfolio) 10 (As of December 31, 2009) Commercial Finance 15% Consumer Finance 4% Corporate Finance 7% Brokerage 12% US Banking 30% Non US Govt Guaranteed 8% Foreign Banks 23% Insurance 1% Amortized Cost Net Unrealized Gain/(Loss) Fair Value US Banking $569 $11 $580 Brokerage 215 11 226 Commercial Finance 277 4 281 Consumer Finance 65 2 67 Corporate Finance 136 - 136 Foreign Banks 438 (3) 435 Insurance 26 - 26 Non US Govt Guaranteed 162 - 162 Total $1,888 $25 $1,913 • Included in Investment Grade Corporate Debt for Financials are $281 million of FDIC guaranteed bonds |
Corporate Debt - Financials: Detail Amortized Cost Net Unrealized Gain Fair Value Bank of America $184 $4 $188 JP Morgan Chase 139 9 148 Citigroup 131 2 133 General Electric 125 2 127 Morgan Stanley 111 4 115 Goldman Sachs 96 4 100 Wells Fargo & Co 78 2 80 HSBC Holdings PLC 69 1 70 Credit Suisse 41 2 43 Australia & New Zealand Banking Group 27 1 28 Top 10 Direct Financial Holdings ($ in millions) Amortized Cost Net Unrealized Gain/(Loss) Fair Value AAA $561 $2 $563 AA 367 (1) 366 A 804 23 827 BBB 117 2 119 Below BBB 39 (1) 38 Total $1,888 $25 $1,913 Financials by Rating ($ in millions) (As of December 31, 2009) 11 |
Investment Grade Corporate Debt: Non-Financials Amortized Cost Net Unrealized Gain Fair Value Communications $348 $16 $364 Consumer cyclicals 97 3 100 Consumer non cyclicals 206 8 214 Electric 205 8 213 Energy 135 8 143 Industrial 130 7 137 Natural gas 51 2 53 Other 15 - 15 Technology 57 3 60 Transportation 17 - 17 Total $1,261 $55 $1,316 Non-Financials By Subsector: $1.3 Billion (11% of total portfolio) (As of December 31, 2009) 12 Subsector Detail ($ in millions) Consumer cyclicals 8% Technology 5% Other 1% Industrial 10% Transportation 1% Communications 28% Natural gas 4% Energy 11% Consumer non cyclicals 16% Electric 16% |
Top 10 Direct Non-Financial Holdings ($ in millions) Corporate Debt - Non-Financials: Detail Amortized Cost Net Unrealized Gain/(Loss) Fair Value Verizon Communications $116 $7 $123 AT&T 48 2 50 Time Warner Cable 38 2 40 Duke Energy 30 2 32 Kinder Morgan Energy Partners 28 1 29 Comcast Corporation 24 1 25 Anheuser Busch 23 1 24 Dominion Resources Inc 21 1 22 Toyota Motor Co 22 (1) 21 Anadarko Petroleum Co 20 1 21 Amortized Cost Net Unrealized Gain Fair Value AAA $4 $- $4 AA 115 3 118 A 578 26 604 BBB 555 26 581 Below BBB 9 - 9 Total $1,261 $55 $1,316 Non Financials by Rating ($ in millions) 13 (As of December 31, 2009) |
14 Investment Grade Corporate Debt: Medium-Term Notes • Credit issuances accessed via medium-term notes which employ leverage • Current leverage 0.51 (for each unit of client capital an additional 0.51 of borrowed capital is employed) • Investment results driven by changes in credit spreads and the yield based on LIBOR plus the credit spread • Average yield of medium-term notes is LIBOR + 259bps Fair Value by Region Amortized Cost Net Unrealized Gain Fair Value % of Total Portfolio Medium-Term Notes $334 $18 $352 3.0 Fair Value by Rating Fair Value by Sector Medium-Term Notes ($ in millions) (As of December 31, 2009) ABS 10% Financials 24% Corporate & Sovereign 66% A 33% AA 9% AAA 3% BBB 33% Below BBB 22% Other 4% Asia 1% US 1% UK 31% Western Europe 59% Middle East 2% Eastern Europe 2% |
Investment Grade Fixed Income: ABS Amortized Cost Net Unrealized Gain/(Loss) Fair Value Auto ABS $204 $3 $207 CLO – debt tranches 57 (15) 42 CDO 6 (2) 4 Credit card 73 - 73 Equipment 27 - 27 Other ABS 89 1 90 Total $456 $(13) $443 15 ABS by Subsector: $443 Million (4% of total portfolio) (As of December 31, 2009) Auto ABS 46% Equipment 6% Credit card 17% CDO 1% CLO - debt tranches 10% Other ABS 20% Subsector Detail ($ in millions) |
ABS: Detail Years to Maturity Amortized Cost Net Unrealized Gain/(Loss) Fair Value < 2 $264 $2 $266 2.1 – 3 27 - 27 3.1 – 4 44 (4) 40 4.1 – 5 65 (7) 58 5.1 – 7 18 (4) 14 7.1 – 10 34 1 35 >10 4 (1) 3 Total $456 $(13) $443 16 Maturity Detail ($ in millions) Vintage Detail ($ in millions) (As of December 31, 2009) Vintage AAA AA A BBB Below BBB Total 2009 $195 $- $- $- $- $195 2008 118 - - - - 118 2007 29 - 3 - - 32 2006 31 - - 1 - 32 Other 22 - 22 13 9 66 Total $395 $- $25 $14 $9 $443 Net Unrealized $5 $ - $(5) $(9) $(4) $(13) Key Characteristics • 89.2% AAA • 80 securities • Weighted average life of 2.65 years • Duration of 1.29 • Book yield is 2.75% • Average price of 98% of par Amortized Cost Net Unrealized Gain/(Loss) Fair Value AAA $390 $5 $395 AA - - - A 31 (5) 26 BBB 23 (9) 14 Below BBB 12 (4) 8 Total $456 $(13) $443 Rating Detail ($ in millions) Net Unrealized Loss ($ in millions) |
Fund of Funds 73% Single Managers 27% Other Investments Overview CLO - equity tranches 11% Hedge Funds 61% Short duration high yield fund 9% Credit funds 19% Total Other Investments: $570 million (5% of total portfolio) (As of December 31, 2009) Key Characteristics • Short duration high yield fund – invests mainly in high yield bonds with an average maturity of 1.5 years and average rating of B+ • 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 • Fund of Funds – seek to achieve attractive risk adjusted total returns by investing in a large diversified portfolio of asset managers • Single managers – invest in event driven, equity long short, and energy MLP strategies Hedge Funds Total Other Investments 17 |
Net Unrealized Gain / (Loss) Summary Amortized Cost Net Unrealized Gain Fair Value Fixed maturities $9,628 $90 $9,718 Equities 195 9 204 Short-term investments 129 - 129 Total $9,952 $99 $10,051 As of December 31, 2009) Invested Assets ($ in millions) 18 79 (513) (274) (33) (49) 41 (349) (178) (31) (22) 19 1 7 83 (31) (21) 27 98 (16) 14 $(900) $(750) $(600) $(450) $(300) $(150) $- $150 Mar 2009 Jun 2009 Sep 2009 Dec 2009 US Govt/Agency Foreign Govt Corporates Non Agency CMBS/RMBS Asset-backed securitites Municipals Short-term investments Equities |