AXIS Capital Holdings Limited Investment Portfolio Supplemental Information and Data September 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: $12.8 Billion Total Portfolio Allocation Total Portfolio Ratings Allocation Note: Other investments include hedge funds, CLO equity tranches and credit funds. (As of September 30, 2010) Equities 2% Short Term Investments 1% Other Investments 4% Municipals 6% Corporates 34% Foreign Govt Agency 6% Cash & Cash Equivalents 9% US Govt/Agency 11% Agency MBS 16% ABS 5% Non Agency RMBS 2% Non Agency CMBS 4% AAA 20% AA 9% Equities 2% Below BBB 2% BBB 10% A 17% US Govt/Agency/Cash & Cash Equivalents/Agency MBS 36% Other Investments (unrated) 4% |
Non-Agency CMBS: Detail Fair Value ($ in millions) Net Unrealized Gain ($ in millions) Rating by Vintage (%) Rating by Vintage ($ in millions) Vintage AAA AA A BBB Total 2010 $21 $- $- $- $21 2009 13 7 - - 20 2008 8 - - - 8 2007 43 - 58 1 102 2006 71 21 12 - 104 2005 93 5 7 - 105 Other 134 6 1 - 141 Total $383 $39 $78 $1 $501 Net Unrealized $25 $2 $6 $- $33 4 Key Characteristics • 76.4% AAA, 96.5% senior/super senior tranches • 114 securities • Weighted average life of 4.33 years • Duration of 3.25 • Book yield is 5.48% • Average price of 106% of par (As of September 30, 2010) Total Non Agency CMBS: $501 Million (4% of total portfolio) $- $20 $40 $60 $80 $100 $120 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 74.0 • Average subordination has improved to 28.1% from 26.7% at origination • Current percentage of defeased collateral is 7.63% • Average current collateral delinquency is 13.45% Asset Class Amortized Cost Net Unrealized Gain Fair Value Office $147 $10 157 Retail 146 10 156 Multifamily 68 5 73 Hotel 36 3 39 Industrial 24 2 26 Mixed use 12 1 13 Self storage 10 1 11 Mobile home 8 - 8 Healthcare 5 - 5 Other 12 1 13 Total $468 $33 $501 5 Years to Maturity Amortized Cost Net Unrealized Gain Fair Value < 2 $118 $3 $121 2.1 – 3 35 2 37 3.1 – 4 53 7 60 4.1 – 5 75 4 79 5.1 – 7 175 17 192 7.1 – 10 7 - 7 > 10 5 - 5 Total $468 $33 $501 Collateral Property Type ($ in millions) Maturity Detail ($ in millions) (As of September 30, 2010) |
6 Agency and Non-Agency RMBS: Detail Key Characteristics – Non Agency RMBS • Non-Agency RMBS have an amortized cost of $229 million with net unrealized loss of $7 million • This sector includes prime, Alt-A and subprime collateral • Non-Agency RMBS is 59.3% AAA-rated as detailed on the following slides Total Agency and Non-Agency RMBS: $2.3 Billion (18% 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 $2.0 billion with a net unrealized gain of $50 million • Duration of 2.21 • Book yield is 3.44% (As of September 30, 2010) Agency RMBS 90% Non-Agency RMBS 10% |
Non-Agency RMBS: Detail Fair Value ($ in millions) Rating by Vintage (%) Rating by Vintage ($ in millions) Vintage AAA AA A BBB Below BBB Total 2010 $29 $- $- $- $- $29 2009 2 - - - - 2 2007 12 - 1 - 21 34 2006 6 1 - - 22 29 2005 20 3 - 11 21 55 2004 31 1 2 1 1 36 Other 31 4 - - 1 36 Total $131 $9 $3 $12 $66 $221 Net Unrealized $(2) $(2) $- $(1) $(2) $(7) Net Unrealized (Loss) ($ in millions) 7 Key Characteristics • 59.3% AAA • 169 securities • Weighted average life of 5.75 years • Duration of 0.10 • Book yield is 5.68% • Average price of 90% par (As of September 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 $41 $- $41 2.1 – 3 29 - 29 3.1 – 4 52 (1) 51 4.1 – 5 27 (1) 25 5.1 – 7 49 (3) 46 7.1 – 10 15 (1) 13 >10 16 (1) 15 Total $229 $(7) $221 Maturity Detail ($ 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 September 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 Corporate Debt: Detail Total Corporate Debt: $4.3 Billion (34% of total portfolio) (As of September 30, 2010) *Medium-Term Notes primarily comprise European credit issuances Direct Non Financials 49% Medium Term Notes* 6% Direct Financials 45% • Average corporate debt rating A • Weighted average life of years 4.52 • Duration of 3.57 • Book Yield is 3.87% |
Corporate Debt – Financials: Details Financials by Subsector: $1.9 Billion (15% of total portfolio) 10 (As of September 30, 2010) Commercial Finance 3% Consumer Finance 4% Corporate Finance 6% US Banking/Brokerage 45% Insurance 3% Foreign Banks 22% Non US Govt Guaranteed 17% Amortized Cost Net Unrealized Gain Fair Value US Banking / Brokerage $826 $43 $869 Commercial Finance 54 4 58 Consumer Finance 82 3 85 Corporate Finance 114 3 117 Foreign Banks 409 9 418 Insurance 57 2 59 Non US Govt Guaranteed 309 10 319 Total $1,851 $74 $1,925 • Included in Investment Grade Corporate Debt for Financials are $104 million of FDIC guaranteed bonds |
Corporate Debt – Financials: Details (Continued) Amortized Cost Net Unrealized Gain Fair Value JP Morgan Chase $146 $9 $155 Bank of America 122 5 127 General Electric Co 114 1 115 Citigroup Inc 112 7 119 Goldman Sachs 98 7 105 Morgan Stanley 90 4 94 HSBC Holdings PLC 73 3 76 US Bancorp 66 2 68 Wells Fargo & Co 60 2 62 Credit Suisse 45 2 47 Top 10 Direct Financial Holdings ($ in millions) Amortized Cost Net Unrealized Gain Fair Value AAA $395 $12 $407 AA 433 14 447 A 899 41 940 BBB 102 6 108 Below BBB 22 1 23 Total $1,851 $74 $1,925 Financials by Rating ($ in millions) (As of September 30, 2010) 11 |
Corporate Debt – Non-Financials: Detail Amortized Cost Net Unrealized Gain Fair Value Communications $428 $29 $457 Consumer cyclicals 147 4 151 Consumer non cyclicals 407 26 433 Electric 321 23 344 Energy 225 18 243 Industrial 201 12 213 Natural gas 134 5 139 Other 8 1 9 Technology 121 5 126 Transportation 32 1 33 Total $2,024 $124 $2,148 Non-Financials By Subsector: $2.1 Billion (17% of total portfolio) (As of September 30, 2010) 12 Consumer cyclicals 7% Technology 6% Other 0% Industrial 10% Transportation 2% Communications 22% Natural gas 6% Energy 11% Consumer non cyclicals 20% Electric 16% Subsector Detail ($ in millions) |
Top 10 Direct Non-Financial Holdings ($ in millions) Corporate Debt – Non-Financials: Detail (Continued) Amortized Cost Net Unrealized Gain Fair Value Verizon Communications Inc. 76 10 86 Duke Energy Corp 60 5 65 AT&T 56 3 59 Kraft Foods Inc. 53 4 57 BP PLC 51 4 55 Anheuser-Busch 45 3 48 Directv 41 1 42 Roche Holding AG 37 4 41 Dominion Resources Inc 39 2 41 Daimler AG 36 1 37 Amortized Cost Net Unrealized Gain Fair Value AAA $48 $2 $50 AA 168 11 179 A 834 63 897 BBB 838 47 885 Below BBB 136 1 137 Total $2,024 $124 $2,148 Non Financials by Rating ($ in millions) 13 (As of September 30, 2010) |
14 Corporate Debt – Medium-Term Notes: Detail • Credit issuances accessed via medium-term notes which employ leverage • Current leverage 0.29 (for each unit of client capital an additional 0.29 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 + 312 bps Fair Value by Region Amortized Cost Net Unrealized Gain Fair Value % of Total Portfolio Medium-Term Notes $210 $27 $237 1.9 Fair Value by Rating Fair Value by Sector Medium-Term Notes ($ in millions) (As of September 30, 2010) Middle East 2% UK 35% Western Europe 55% Eastern Europe 4% Other 4% Below BBB 25% BBB 38% AAA 1% AA 6% A 30% ABS 15% Financials 21% Corporate & Sovereign 64% |
ABS: Detail Amortized Cost Net Unrealized Gain/(Loss) Fair Value Auto $334 $9 $343 CLO – debt tranches 56 (14) 42 CDO 4 - 4 Credit card 84 1 85 Equipment 25 - 25 Student Loan 127 2 129 Other ABS 35 - 35 Total $665 $(2) $663 15 ABS by Subsector: $663 Million (5% of total portfolio) (As of September 30, 2010) Auto 52% Other ABS 5% Equipment 4% Credit card 13% CDO 1% CLO - debt tranches 6% Student Loan 19% Subsector Detail ($ in millions) |
ABS: Detail (Continued) Years to Maturity Amortized Cost Net Unrealized Gain/(Loss) Fair Value < 2 $291 $4 $295 2.1 – 3 121 2 123 3.1 – 4 50 (9) 41 4.1 – 5 54 (2) 52 5.1 – 7 60 1 61 7.1 – 10 49 2 51 >10 40 - 40 Total $665 $(2) $663 16 Maturity Detail ($ in millions) Vintage Detail ($ in millions) (As of September 30, 2010) Vintage AAA AA A BBB Below BBB Total 2010 $232 $- $- $- $- $232 2009 181 - - - - 181 2008 108 - - - - 108 2007 34 - - - - 34 2006 10 - - - - 10 Other 54 - 8 9 27 98 Total $619 $- $8 $9 $27 $663 Net Unrealized $13 $ - $(2) $(2) $(11) $(2) Key Characteristics • 93.3% AAA • 100 securities • Weighted average life of years 4.15 • Duration of 1.24 • Book yield is 1.93% • Average price of 102% of par Amortized Cost Net Unrealized Gain/(Loss) Fair Value AAA $606 $13 $619 AA - - - A 10 (2) 8 BBB 11 (2) 9 Below BBB 38 (11) 27 Total $665 $(2) $663 Rating Detail ($ in millions) Net Unrealized Gain/(Loss) ($ in millions) |
Other Investments Overview CLO - equity tranches 11% Credit funds 19% Hedge Funds 70% Total Other Investments: $533 million (4% of total portfolio) (As of September 30, 2010) 17 Key Characteristics • 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 |