AXIS Capital Holdings Limited Investment Portfolio Supplemental Information and Data June 30, 2010 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 Invested Assets Total Cash and Invested Assets: $12.2 Billion Total Portfolio Allocation Total Portfolio Ratings Allocation Note: Other investments include hedge funds, CLO equity tranches, credit funds and short duration high yield fund. (As of June 30, 2010) Equities 2% Short Term Investments 1% Other Investments 5% Municipals 5% Corporates 33% Foreign Govt Agency 6% Cash & Cash Equivalents 10% US Govt/Agency 12% Agency MBS 14% ABS 5% Non Agency RMBS 2% Non Agency CMBS 5% AAA 21% AA 9% Equities 2% Below BBB 1% BBB 11% A 16% US Govt/Agency/Cash & Cash Equivalents/Agency MBS 35% Other Investments (unrated) 5% |
Non-Agency CMBS: Detail Fair Value ($ in millions) Net Unrealized Gain ($ in millions) Rating by Vintage (%) Rating by Vintage ($ in millions) Vintage AAA AA A BBB Total 2010 $7 $- $- $- $7 2009 13 - - - 13 2008 8 - - - 8 2007 46 - 61 1 108 2006 104 34 12 - 150 2005 112 5 7 4 128 Other 188 6 1 - 195 Total $478 $45 $81 $5 $609 Net Unrealized $22 $2 $2 $- $26 4 Key Characteristics • 78.4% AAA, 96.7% senior/super senior tranches • 125 securities • Weighted average life of 4.49 years • Duration of 3.42 • Book yield is 5.59% • Average price of 103% of par (As of June 30, 2010) Total Non Agency CMBS: $609 Million (5% of total portfolio) $- $20 $40 $60 $80 $100 $120 $140 $160 Pre 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 AAA AA A BBB 0% 20% 40% 60% 80% 100% Pre 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 AAA AA A BBB |
Non-Agency CMBS: Detail (Continued) • Average loan to value of the underlying collateral is 73.1 • Average subordination has improved to 27.5% from 25.7% at origination • Current percentage of defeased collateral is 7.94% • Average current collateral delinquency is 10.48% Asset Class Amortized Cost Net Unrealized Gain Fair Value Office $196 $8 $204 Retail 185 9 194 Multifamily 90 4 94 Hotel 44 2 46 Industrial 25 1 26 Mixed use 13 1 14 Self storage 11 - 11 Mobile home 9 - 9 Healthcare 4 - 4 Other 6 1 7 Total $583 $26 $609 5 Years to Maturity Amortized Cost Net Unrealized Gain Fair Value < 2 $92 $2 $94 2.1 – 3 73 2 75 3.1 – 4 88 8 96 4.1 – 5 90 4 94 5.1 – 7 222 10 232 7.1 – 10 6 - 6 > 10 12 - 12 Total $583 $26 $609 Collateral Property Type ($ in millions) Maturity Detail ($ in millions) (As of June 30, 2010) |
6 Investment Grade Fixed Income: RMBS Key Characteristics – Non Agency RMBS • Non-Agency RMBS have an amortized cost of $235 million with net unrealized loss of $14 million • This sector includes prime, Alt-A and subprime collateral • Non-Agency RMBS is 56.4% AAA-rated as detailed on the following slides Total Agency and Non-Agency RMBS: $1.9 Billion (16% 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 $1.6 billion with a net unrealized gain of $64 million • Duration of 2.43 • Book yield is 4.27% (As of June 30, 2010) Agency RMBS 88% Non-Agency RMBS 12% |
Non-Agency RMBS: Detail Fair Value ($ in millions) Rating by Vintage (%) Rating by Vintage ($ in millions) Vintage AAA AA A BBB Below BBB Total 2010 $28 $- $- $- $- $28 2009 2 - - - - 2 2007 1 6 1 - 21 29 2006 7 1 - - 22 30 2005 22 3 - 11 21 57 2004 33 1 2 1 1 38 Other 32 4 - - 1 37 Total $125 $15 $3 $12 $66 $221 Net Unrealized $(5) $(2) $(1) $(2) $(4) $(14) Net Unrealized (Loss) ($ in millions) 7 Key Characteristics • 56.4% AAA • 172 securities • Weighted average life of 4.74 years • Duration of 0.16 • Book yield is 5.99% • Average price of 87% par (As of June 30, 2010) $- $10 $20 $30 $40 $50 $60 Pre 2001 2002 2003 2004 2005 2006 2007 2009 2010 AAA AA A BBB Below BBB 0% 20% 40% 60% 80% 100% Pre 2001 2002 2003 2004 2005 2006 2007 2009 2010 AAA AA A BBB Below BBB |
Non-Agency RMBS: Detail (Continued) Years to Maturity Amortized Cost Net Unrealized Loss Fair Value < 2 $34 $(1) $33 2.1 – 3 30 - 30 3.1 – 4 47 (2) 45 4.1 – 5 29 (3) 26 5.1 – 7 64 (5) 59 7.1 – 10 15 (3) 12 >10 16 - 16 Total $235 $(14) $221 Maturity Detail ($ in millions) 8 • The fair value of securities with Subprime content is $14 million • The fair value of securities with Alt-A content is $55 million (As of June 30, 2010) 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 majority of the collateral is prime. |
9 Investment Grade Fixed Income: Corporate Debt Total Corporate Debt: $4.1 Billion (33% of total portfolio) (As of June 30, 2010) *Medium-Term Notes primarily comprise European credit issuances Direct Non Financials 44% Medium Term Notes* 8% Direct Financials 48% • Average corporate debt rating A • Weighted average life of years 4.68 • Duration of 3.51 • Book Yield is 4.02% |
Investment Grade Corporate Debt: Financials Financials by Subsector: $2.0 Billion (16% of total portfolio) 10 (As of June 30, 2010) Commercial Finance 9% Consumer Finance 4% Corporate Finance 5% Brokerage 12% US Banking 28% Non US Govt Guaranteed 17% Foreign Banks 22% Insurance 3% Amortized Cost Net Unrealized Gain/(Loss) Fair Value US Banking $540 $10 $550 Brokerage 232 6 238 Commercial Finance 178 - 178 Consumer Finance 69 2 71 Corporate Finance 100 3 103 Foreign Banks 456 (15) 441 Insurance 50 1 51 Non US Govt Guaranteed 332 3 335 Total $1,957 $10 $1,967 • Included in Investment Grade Corporate Debt for Financials are $119 million of FDIC guaranteed bonds |
Corporate Debt - Financials: Detail Amortized Cost Net Unrealized Gain Fair Value Bank of America $168 $3 $171 JP Morgan Chase 136 7 143 Citigroup Inc 124 3 127 Morgan Stanley 117 1 118 General Electric 110 2 112 Goldman Sachs 95 3 98 HSBC Holdings PLC 73 1 74 Wells Fargo & Co 68 2 70 Credit Suisse 43 2 45 Barclays PLC 36 1 37 Top 10 Direct Financial Holdings ($ in millions) Amortized Cost Net Unrealized Gain/(Loss) Fair Value AAA $474 $4 $478 AA 439 (5) 434 A 914 7 921 BBB 102 3 105 Below BBB 28 1 29 Total $1,957 $10 $1,967 Financials by Rating ($ in millions) (As of June 30, 2010) 11 |
Investment Grade Corporate Debt: Non-Financials Amortized Cost Net Unrealized Gain/(Loss) Fair Value Communications $444 $18 $462 Consumer cyclicals 124 (1) 123 Consumer non cyclicals 345 12 357 Electric 219 13 232 Energy 209 3 212 Industrial 128 6 134 Natural gas 138 - 138 Other 15 - 15 Technology 73 4 77 Transportation 17 - 17 Total $1,712 $55 $1,767 Non-Financials By Subsector: $1.8 Billion (15% of total portfolio) (As of June 30, 2010) 12 Subsector Detail ($ in millions) Consumer cyclicals 7% Technology 4% Other 1% Industrial 8% Transportation 1% Communications 26% Natural gas 8% Energy 12% Consumer non cyclicals 20% Electric 13% |
Top 10 Direct Non-Financial Holdings ($ in millions) Corporate Debt - Non-Financials: Detail Amortized Cost Net Unrealized Gain Fair Value Verizon Communications $97 $8 $105 AT&T 58 3 61 Time Warner Cable 55 3 58 Comcast Corporation 51 3 54 Kraft Foods Inc 46 2 48 Roche Holding AG 44 3 47 Duke Energy Corp 40 3 43 Kinder Morgan Energy Partners 41 - 41 Anheuser-Busch 37 1 38 Daimler AG 32 1 33 Amortized Cost Net Unrealized Gain Fair Value AAA $7 $1 $8 AA 189 6 195 A 705 31 736 BBB 799 17 816 Below BBB 12 - 12 Total $1,712 $55 $1,767 Non Financials by Rating ($ in millions) 13 (As of June 30, 2010) |
14 Investment Grade Corporate Debt: Medium-Term Notes • Credit issuances accessed via medium-term notes which employ leverage • Current leverage 0.48 (for each unit of client capital an additional 0.48 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 + 279 bps Fair Value by Region Amortized Cost Net Unrealized Gain Fair Value % of Total Portfolio Medium-Term Notes $302 $24 $326 2.7 Fair Value by Rating Fair Value by Sector Medium-Term Notes ($ in millions) (As of June 30, 2010) Middle East 2% UK 33% Western Europe 57% Eastern Europe 3% Other 5% Below BBB 21% BBB 39% AAA 0% AA 6% A 34% ABS 13% Financials 22% Corporate & Sovereign 65% |
Investment Grade Fixed Income: ABS Amortized Cost Net Unrealized Gain/(Loss) Fair Value Auto ABS $399 $3 $402 CLO – debt tranches 57 (14) 43 CDO 5 (1) 4 Credit card 56 1 57 Equipment 36 - 36 Other ABS 108 5 113 Total $661 $(6) $655 15 ABS by Subsector: $655 Million (5% of total portfolio) (As of June 30, 2010) Auto ABS 61% Equipment 6% Credit card 9% CDO 1% CLO - debt tranches 6% Other ABS 17% Subsector Detail ($ in millions) |
ABS: Detail Years to Maturity Amortized Cost Net Unrealized Gain/(Loss) Fair Value < 2 $351 $2 $353 2.1 – 3 103 1 104 3.1 – 4 50 (6) 44 4.1 – 5 87 (3) 84 5.1 – 7 28 (2) 26 7.1 – 10 40 2 42 >10 2 - 2 Total $661 $(6) $655 16 Maturity Detail ($ in millions) Vintage Detail ($ in millions) (As of June 30, 2010) Vintage AAA AA A BBB Below BBB Total 2010 $191 $- $- $- $- $191 2009 243 - - - - 243 2008 114 - - - - 114 2007 23 - - - - 23 2006 17 - - - - 17 Other 23 - 10 12 22 67 Total $611 $- $10 $12 $22 $655 Net Unrealized $9 $ - $(3) $(3) $(9) $(6) Key Characteristics • 93.1% AAA • 93 securities • Weighted average life of years 2.54 • Duration of 1.22 • Book yield is 2.01% • Average price of 100% of par Amortized Cost Net Unrealized Gain/(Loss) Fair Value AAA $601 $9 $610 AA - - - A 12 (2) 10 BBB 16 (3) 13 Below BBB 32 (10) 22 Total $661 $(6) $655 Rating Detail ($ in millions) Net Unrealized Gain/(Loss) ($ in millions) |
Fund of Funds 67% Single Managers 33% Other Investments Overview CLO - equity tranches 11% Hedge Funds 61% Short duration high yield fund 10% Credit funds 18% Total Other Investments: $548 million (5% of total portfolio) (As of June 30, 2010) 17 Key Characteristics • Short duration high yield fund – invests mainly in high yield bonds with an average maturity of 3.1 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 |