Exhibit 99.2
AXIS Capital Holdings Limited
INVESTOR FINANCIAL SUPPLEMENT
THIRD QUARTER 2011
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 |
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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
Page(s) | ||
i - iii | ||
I. Financial Highlights | 1 | |
II. Income Statements | ||
2 | ||
3 | ||
4 | ||
5 | ||
6-7 | ||
8 | ||
III. Balance Sheets | ||
9 | ||
b. Cash and Invested Assets: | ||
10 | ||
11 | ||
12 | ||
13 | ||
14 | ||
15-16 | ||
IV. Loss Reserve Analysis | 17 | |
18 | ||
19-20 | ||
21 | ||
e. Net Probable Maximum Losses to Certain Peak Industry Catastrophe Exposures | 22 | |
V. Share Analysis | ||
23 | ||
b. Earnings Per Common Share Analysis and Common Share Rollforward - Quarterly | 24 | |
25 | ||
VI. Non-GAAP Financial Measures | ||
26 |
BASIS OF PRESENTATION
DEFINITIONS AND PRESENTATION
• | Unless otherwise noted, all data is in thousands, except for per share amounts and ratio information. |
• | All financial information contained herein is unaudited, except for the consolidated balance sheet at December 31, 2010. |
• | Amounts may not reconcile exactly due to rounding differences. |
• | 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 catastrophes and other large losses, 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 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 and magnitude 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, coverage and regulatory issues, |
• | the failure of our cedants to adequately evaluate risks, |
• | inability to obtain additional capital on favorable terms, or at all, |
• | 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, |
• | the use of industry catastrophe models and changes to those models, |
• | 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.
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 loss or damage, business interruption and machinery breakdown coverage for virtually all types of property, including commercial buildings, residential premises, construction projects and onshore energy installations. This line of business consists of both primary and excess risks, some of which are catastrophe-exposed.
Marine: provides coverage for traditional marine classes, including offshore energy, cargo, liability, recreational marine, fine art, specie, hull and war. Offshore energy coverages include physical damage, business interruption, operators extra expense and liability coverage for all aspects of offshore upstream energy, from exploration and construction through the operation and distribution phases.
Terrorism: provides coverage for physical damage and business interruption of an insured following an act of terrorism.
Aviation: provides hull and liability and specific war coverage primarily for passenger airlines but also for cargo operations, general aviation operations, airports, aviation authorities, security firms and product manufacturers.
Credit and political risk: provides credit and political risk insurance products for banks and corporations. Coverage is provided for a range of risks including sovereign default, credit default, political violence, currency inconvertibility and non-transfer, expropriation, aircraft non-repossession and contract frustration due to political events. 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” coverages).
Professional lines: provides coverage for directors’ and officers’ liability, errors and omissions liability, employment practices liability, fiduciary liability, crime, professional indemnity and other financial insurance related coverages for commercial enterprises, financial institutions and not-for-profit organizations. This business is predominantly written on a claims-made basis.
Liability: primarily targets primary and low/mid-level excess and umbrella commercial liability risks in the U.S. excess and surplus lines markets. Target industry sectors include construction, manufacturing, transportation and trucking and other services.
Accident & Health: Global Accident & Health business, including accidental death and sickness insurance for employer and affinity groups, financial institutions, schools and colleges, as well as accident & health reinsurance for catastrophic events on a quota share and/or excess of loss basis, with aggregate and/or per person deductibles.
5
AXIS Capital Holdings Limited
BASIS OF PRESENTATION
BUSINESS DESCRIPTIONS (CONTINUED)
REINSURANCE SEGMENT
Our reinsurance segment provides non-life 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.
Property: includes reinsurance written on both a proportional and a per risk excess of loss basis and covers underlying personal lines and commercial property exposures. Here the primary reason for the product is not simply to protect against catastrophic perils, however they are normally included with limitations.
Professional Liability: covers directors’ and officers’ liability, employment practices liability, medical malpractice, lawyers’ and accountants’ liability, environmental liability and miscellaneous errors and omissions insurance risks. The underlying business is predominantly written on a claims-made basis. Business is written on both a proportional and excess of loss basis.
Credit and Bond: consists 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.
Motor: provides coverage to cedants for motor liability and, to a lesser degree, property damage 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 business, excess and surplus casualty business and specialty casualty programs. The primary focus of the underlying business is general liability, although workers compensation and auto liability are also written.
Engineering: provides coverage for all types of 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.
Other: includes aviation, marine, personal accident and crop reinsurance.
iii
FINANCIAL HIGHLIGHTS
Quarter ended September 30, | Nine months ended September 30, | |||||||||||||||||||||||||||||
2011 | 2010 | Change | 2011 | 2010 | Change | |||||||||||||||||||||||||
HIGHLIGHTS | Gross premiums written | $ | 835,056 | $ | 750,687 | 11.2% | $ | 3,429,649 | $ | 3,115,761 | 10.1% | |||||||||||||||||||
Gross premiums written - Insurance | 59.1% | 57.8% | 1.3 | pts | 46.7% | 45.6% | 1.1 | pts | ||||||||||||||||||||||
Gross premiums written - Reinsurance | 40.9% | 42.2% | (1.3 | ) | pts | 53.3% | 54.4% | (1.1 | ) | pts | ||||||||||||||||||||
Net premiums written | $ | 673,453 | $ | 626,322 | 7.5% | $ | 2,924,372 | $ | 2,658,896 | 10.0% | ||||||||||||||||||||
Net premiums earned | $ | 839,992 | $ | 758,873 | 10.7% | $ | 2,468,207 | $ | 2,190,092 | 12.7% | ||||||||||||||||||||
Net premiums earned - Insurance | 44.1% | 42.2% | 1.9 | pts | 42.9% | 40.1% | 2.8 | pts | ||||||||||||||||||||||
Net premiums earned - Reinsurance | 55.9% | 57.8% | (1.9 | ) | pts | 57.1% | 59.9% | (2.8 | ) | pts | ||||||||||||||||||||
Net income (loss) available to common shareholders | $ | 212,058 | 238,842 | (11.2)% | $ | (70,634 | ) | 555,505 | nm | |||||||||||||||||||||
Operating income (loss)[a],[b] | 94,727 | 189,053 | (49.9)% | (221,080 | ) | 428,885 | nm | |||||||||||||||||||||||
Reserve for losses and loss expenses | 8,334,841 | 6,934,528 | 20.2% | 8,334,841 | 6,934,528 | 20.2% | ||||||||||||||||||||||||
Total shareholders’ equity | 5,357,105 | 5,848,938 | (8.4)% | 5,357,105 | 5,848,938 | (8.4)% | ||||||||||||||||||||||||
PER COMMON SHARE AND | Basic earnings (loss) per common share | $1.68 | $1.99 | (15.4)% | ($0.58 | ) | $4.50 | nm | ||||||||||||||||||||||
COMMON SHARE DATA | Diluted earnings (loss) per common share | $1.66 | $1.78 | (6.8)% | ($0.58 | ) | $4.04 | nm | ||||||||||||||||||||||
Operating diluted earnings (loss) per common share[a], [c] | $0.74 | $1.41 | (47.5)% | ($1.82 | ) | $3.12 | nm | |||||||||||||||||||||||
Weighted average common shares outstanding | 125,971 | 120,091 | 4.9% | 121,197 | 123,320 | (1.7)% | ||||||||||||||||||||||||
Diluted weighted average common shares outstanding | 128,002 | 134,406 | (4.8)% | 121,197 | 137,382 | (11.8)% | ||||||||||||||||||||||||
Book value per common share | $38.51 | $44.59 | (13.6)% | $38.51 | $44.59 | (13.6)% | ||||||||||||||||||||||||
Diluted book value per common share (treasury stock method) | $37.06 | $39.01 | (5.0)% | $37.06 | $39.01 | (5.0)% | ||||||||||||||||||||||||
Accumulated dividends paid per common share | $5.42 | $4.52 | 19.9% | $5.42 | $4.52 | 19.9% | ||||||||||||||||||||||||
FINANCIAL RATIOS | ROACE[d] | 17.5% | 18.5% | (1.0 | ) | pts | (1.9)% | 14.3% | (16.2 | ) | pts | |||||||||||||||||||
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Operating ROACE[a],[c] | 7.8% | 14.6% | (6.8 | ) | pts | (5.9)% | 11.1% | (17.0 | ) | pts | ||||||||||||||||||||
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Net loss and loss expense ratio | 60.3% | 55.6% | 4.7 | pts | 84.7% | 59.1% | 25.6 | pts | ||||||||||||||||||||||
Acquisition cost ratio | 17.5% | 16.3% | 1.2 | pts | 17.4% | 16.6% | 0.8 | pts | ||||||||||||||||||||||
General and administrative expense ratio | 13.7% | 13.7% | - | pts | 14.2% | 14.1% | 0.1 | pts | ||||||||||||||||||||||
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Combined ratio | 91.5% | 85.6% | 5.9 | pts | 116.3% | 89.8% | 26.5 | pts | ||||||||||||||||||||||
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INVESTMENT DATA | Total assets | $ | 17,943,930 | $ | 16,846,530 | 6.5% | $ | 17,943,930 | $ | 16,846,530 | 6.5% | |||||||||||||||||||
Total cash and invested assets[e] | 13,352,316 | 12,784,710 | 4.4% | 13,352,316 | 12,784,710 | 4.4% | ||||||||||||||||||||||||
Net investment income | 49,396 | 111,800 | (55.8)% | 260,068 | 299,004 | (13.0)% | ||||||||||||||||||||||||
Net realized investment gains | 57,557 | 76,531 | (24.8)% | 125,177 | 117,325 | 6.7% | ||||||||||||||||||||||||
Total return on cash and investments[f] | (0.4)% | 2.8% | nm | 2.0% | 5.9% | (3.9 | ) | pts | ||||||||||||||||||||||
Return on other investments[g] | (4.8)% | 4.7% | nm | 1.2% | 7.3% | (6.1 | ) | pts | ||||||||||||||||||||||
Book yield of fixed maturities | 3.0% | 3.3% | (0.3 | ) | pts | 3.0% | 3.3% | (0.3 | ) | pts |
[a] Effective April 1, 2011, we amended our definition of operating income (loss) to exclude after-tax foreign exchange losses (gains). Accordingly, we have restated all prior period operating income, diluted operating earnings per share and operating return on average common equity amounts herein to reflect this change.
[b]Operating income (loss) is a “Non-GAAP financial measure” as defined by Regulation G. See page 26 for reconciliation of operating income to net income (loss) available to common shareholders.
[c]Operating return on average common equity (“ROACE”), also a “Non-GAAP financial measure”, is calculated by dividing operating income (loss) 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. Operating income (loss) for the quarter-periods is annualized. Operating diluted earnings per share is calculated by dividing operating income (loss) for the period by weighted average common shares and share equivalents.
[d]ROACE is calculated by dividing net income (loss) 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. Net income (loss) for the quarter-periods is annualized.
[e] Cash and invested assets represents the total cash, available for sale investments, other investments, accrued interest receivable and net receivable (payable) for investments sold (purchased).
[f]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.
[g] Return on other investments is calculated by dividing other investment income by the average month-end other investment balances for the period.
nmnot meaningful
1
CONSOLIDATED STATEMENTS OF INCOME - QUARTERLY
Q3 2011 | Q2 2011 | Q1 2011 | Q4 2010 | Q3 2010 | Q3 2009 | |||||||||||||||||||
UNDERWRITING REVENUES | ||||||||||||||||||||||||
Gross premiums written | $ | 835,056 | $ | 1,046,163 | $ | 1,548,430 | $ | 634,774 | $ | 750,687 | $ | 775,314 | ||||||||||||
Premiums ceded | (161,603 | ) | (196,024 | ) | (147,651 | ) | (146,130 | ) | (124,365 | ) | (180,170 | ) | ||||||||||||
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Net premiums written | 673,453 | 850,139 | 1,400,779 | 488,644 | 626,322 | 595,144 | ||||||||||||||||||
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Gross premiums earned | 1,005,761 | 1,003,613 | 944,627 | 917,480 | 920,954 | 898,268 | ||||||||||||||||||
Ceded premiums amortized | (165,769 | ) | (163,599 | ) | (156,426 | ) | (160,162 | ) | (162,081 | ) | (192,243 | ) | ||||||||||||
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Net premiums earned | 839,992 | 840,014 | 788,201 | 757,318 | 758,873 | 706,025 | ||||||||||||||||||
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Other insurance related income (loss) | 1,156 | 126 | 763 | 345 | 884 | (135,738 | ) | |||||||||||||||||
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Total underwriting revenues | 841,148 | 840,140 | 788,964 | 757,663 | 759,757 | 570,287 | ||||||||||||||||||
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UNDERWRITING EXPENSES | ||||||||||||||||||||||||
Net losses and loss expenses | 506,839 | 564,959 | 1,019,801 | 383,345 | 422,154 | 311,109 | ||||||||||||||||||
Acquisition costs | 146,836 | 147,905 | 135,356 | 124,098 | 123,788 | 113,423 | ||||||||||||||||||
General and administrative expenses | 97,444 | 98,302 | 95,112 | 117,674 | 86,439 | 74,404 | ||||||||||||||||||
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Total underwriting expenses | 751,119 | 811,166 | 1,250,269 | 625,117 | 632,381 | 498,936 | ||||||||||||||||||
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UNDERWRITING INCOME (LOSS) | 90,029 | 28,974 | (461,305 | ) | 132,546 | 127,376 | 71,351 | |||||||||||||||||
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OTHER OPERATING REVENUE (EXPENSES) | ||||||||||||||||||||||||
Net investment income | 49,396 | 100,018 | 110,655 | 107,889 | 111,800 | 134,788 | ||||||||||||||||||
Net realized investment gains (losses) | 57,557 | 37,477 | 30,144 | 77,772 | 76,531 | (253,365 | ) | |||||||||||||||||
Interest expense and financing costs | (15,677 | ) | (15,445 | ) | (15,860 | ) | (15,690 | ) | (15,800 | ) | (7,977 | ) | ||||||||||||
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Total other operating revenues (expenses) | 91,276 | 122,050 | 124,939 | 169,971 | 172,531 | (126,554 | ) | |||||||||||||||||
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OTHER (EXPENSES) REVENUE | ||||||||||||||||||||||||
Foreign exchange (losses) gains | 60,830 | (18,517 | ) | (15,058 | ) | 5,120 | (24,961 | ) | (6,784 | ) | ||||||||||||||
Corporate expenses[a] | (17,093 | ) | (19,803 | ) | (21,408 | ) | (22,946 | ) | (16,996 | ) | (17,605 | ) | ||||||||||||
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Total other (expenses) revenue | 43,737 | (38,320 | ) | (36,466 | ) | (17,826 | ) | (41,957 | ) | (24,389 | ) | |||||||||||||
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INCOME (LOSS) BEFORE INCOME TAXES | 225,042 | 112,704 | (372,832 | ) | 284,691 | 257,950 | (79,592 | ) | ||||||||||||||||
Income tax expense | (3,765 | ) | (2,417 | ) | (1,709 | ) | (11,129 | ) | (9,890 | ) | (7,082 | ) | ||||||||||||
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NET INCOME (LOSS) | 221,277 | 110,287 | (374,541 | ) | 273,562 | 248,060 | (86,674 | ) | ||||||||||||||||
Preferred share dividends | (9,219 | ) | (9,219 | ) | (9,219 | ) | (9,219 | ) | (9,218 | ) | (9,218 | ) | ||||||||||||
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NET INCOME (LOSS) AVAILABLE TO COMMON SHAREHOLDERS | $ | 212,058 | $ | 101,068 | $ | (383,760 | ) | $ | 264,343 | $ | 238,842 | $ | (95,892 | ) | ||||||||||
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KEY RATIOS/PER SHARE DATA | ||||||||||||||||||||||||
Net loss and loss expense ratio | 60.3% | 67.3% | 129.4% | 50.6% | 55.6% | 44.1% | ||||||||||||||||||
Acquisition cost ratio | 17.5% | 17.6% | 17.1% | 16.4% | 16.3% | 16.1% | ||||||||||||||||||
General and administrative expense ratio[a] | 13.7% | 14.0% | 14.8% | 18.6% | 13.7% | 13.0% | ||||||||||||||||||
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Combined ratio | 91.5% | 98.9% | 161.3% | 85.6% | 85.6% | 73.2% | ||||||||||||||||||
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Weighted average basic shares outstanding | 125,971 | 124,132 | 113,351 | 117,101 | 120,091 | 137,904 | ||||||||||||||||||
Weighted average diluted shares outstanding | 128,002 | 128,369 | 113,351 | 132,799 | 134,406 | 137,904 | ||||||||||||||||||
Basic earnings per common share | $1.68 | $0.81 | ($3.39) | $2.26 | $1.99 | ($0.70) | ||||||||||||||||||
Diluted earnings per common share | $1.66 | $0.79 | ($3.39) | $1.99 | $1.78 | ($0.70) | ||||||||||||||||||
ROACE (annualized) | 17.5% | 8.5% | (31.3)% | 20.2% | 18.5% | (8.2)% | ||||||||||||||||||
Operating ROACE (annualized) | 7.8% | 7.0% | (32.5)% | 13.9% | 14.6% | 13.7% |
[a]Corporate expenses are included in the calculation of the general and administrative expense ratio.
2
CONSOLIDATED STATEMENTS OF INCOME - YEAR TO DATE
Nine months ended September 30, | Year ended December 31, | |||||||||||||||||||
2011 | 2010 | 2009 | 2010 | 2009 | ||||||||||||||||
UNDERWRITING REVENUES | ||||||||||||||||||||
Gross premiums written | $ | 3,429,649 | $ | 3,115,761 | $ | 3,013,450 | $ | 3,750,536 | $ | 3,587,295 | ||||||||||
Premiums ceded | (505,277 | ) | (456,865 | ) | (554,992 | ) | (602,996 | ) | (770,866 | ) | ||||||||||
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Net premiums written | 2,924,372 | 2,658,896 | 2,458,458 | 3,147,540 | 2,816,429 | |||||||||||||||
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Gross premiums earned | 2,954,002 | 2,714,698 | 2,627,778 | 3,632,177 | 3,540,298 | |||||||||||||||
Ceded premiums amortized | (485,795 | ) | (524,606 | ) | (549,624 | ) | (684,767 | ) | (748,534 | ) | ||||||||||
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Net premiums earned | 2,468,207 | 2,190,092 | 2,078,154 | 2,947,410 | 2,791,764 | |||||||||||||||
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Other insurance related income (loss) | 2,047 | 1,727 | (159,394 | ) | 2,073 | (129,681 | ) | |||||||||||||
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Total underwriting revenues | 2,470,254 | 2,191,819 | 1,918,760 | 2,949,483 | 2,662,083 | |||||||||||||||
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UNDERWRITING EXPENSES | ||||||||||||||||||||
Net losses and loss expenses | 2,091,598 | 1,293,787 | 1,077,360 | 1,677,132 | 1,423,872 | |||||||||||||||
Acquisition costs | 430,097 | 364,614 | 318,708 | 488,712 | 420,495 | |||||||||||||||
General and administrative expenses | 290,860 | 256,762 | 213,574 | 374,436 | 293,081 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total underwriting expenses | 2,812,555 | 1,915,163 | 1,609,642 | 2,540,280 | 2,137,448 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
UNDERWRITING INCOME (LOSS) | (342,301 | ) | 276,656 | 309,118 | 409,203 | 524,635 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
OTHER OPERATING REVENUE (EXPENSES) | ||||||||||||||||||||
Net investment income | 260,068 | 299,004 | 346,300 | 406,892 | 464,478 | |||||||||||||||
Net realized investment gains (losses) | 125,177 | 117,325 | (317,640 | ) | 195,098 | (311,584 | ) | |||||||||||||
Interest expense and financing costs | (46,982 | ) | (40,185 | ) | (23,869 | ) | (55,876 | ) | (32,031 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total other operating revenues | 338,263 | 376,144 | 4,791 | 546,114 | 120,863 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
OTHER (EXPENSES) REVENUE | ||||||||||||||||||||
Foreign exchange (losses) gains | 27,255 | 10,415 | (30,579 | ) | 15,535 | (28,561 | ) | |||||||||||||
Corporate expenses[a] | (58,303 | ) | (52,504 | ) | (51,941 | ) | (75,449 | ) | (77,076 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total other expenses | (31,048 | ) | (42,089 | ) | (82,520 | ) | (59,914 | ) | (105,637 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
INCOME (LOSS) BEFORE INCOME TAXES | (35,086 | ) | 610,711 | 231,389 | 895,403 | 539,861 | ||||||||||||||
Income tax expense | (7,892 | ) | (27,550 | ) | (24,785 | ) | (38,680 | ) | (41,975 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
NET INCOME (LOSS) | (42,978 | ) | 583,161 | 206,604 | 856,723 | 497,886 | ||||||||||||||
Preferred share dividends | (27,656 | ) | (27,656 | ) | (27,656 | ) | (36,875 | ) | (36,875 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
NET INCOME (LOSS) AVAILABLE TO COMMON SHAREHOLDERS | $ | (70,634 | ) | $ | 555,505 | $ | 178,948 | $ | 819,848 | $ | 461,011 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
KEY RATIOS/PER SHARE DATA | ||||||||||||||||||||
Net loss and loss expense ratio | 84.7% | 59.1% | 51.8% | 56.9% | 51.0% | |||||||||||||||
Acquisition cost ratio | 17.4% | 16.6% | 15.4% | 16.6% | 15.1% | |||||||||||||||
General and administrative expense ratio[a] | 14.2% | 14.1% | 12.8% | 15.2% | 13.2% | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Combined ratio | 116.3% | 89.8% | 80.0% | 88.7% | 79.3% | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Weighted average basic shares outstanding | 121,197 | 123,320 | 137,693 | 121,728 | 137,279 | |||||||||||||||
Weighted average diluted shares outstanding | 121,197 | 137,382 | 150,258 | 136,199 | 150,371 | |||||||||||||||
Basic earnings per common share | ($0.58 | ) | $4.50 | $1.30 | $6.74 | $3.36 | ||||||||||||||
Diluted earnings per common share | ($0.58 | ) | $4.04 | $1.19 | $6.02 | $3.07 | ||||||||||||||
ROACE[b] | (1.9)% | 14.3% | 5.4% | 16.2% | 10.3% | |||||||||||||||
Operating ROACE[b] | (5.9)% | 11.1% | 15.7% | 12.1% | 17.8% |
[a]Corporate expenses are included in the calculation of the general and administrative expense ratio.
[b]Annualized for the nine-month periods.
3
CONSOLIDATED SEGMENT DATA
Quarter ended September 30, 2011 | Nine months ended September 30, 2011 | |||||||||||||||||||||||
Insurance | Reinsurance | Total | Insurance | Reinsurance | Total | |||||||||||||||||||
UNDERWRITING REVENUES | ||||||||||||||||||||||||
Gross premiums written | $ | 493,460 | $ | 341,596 | $ | 835,056 | $ | 1,600,548 | $ | 1,829,101 | $ | 3,429,649 | ||||||||||||
Net premiums written | 331,857 | 341,596 | 673,453 | 1,116,222 | 1,808,150 | 2,924,372 | ||||||||||||||||||
Gross premiums earned | 529,847 | 475,914 | 1,005,761 | 1,528,685 | 1,425,318 | 2,954,003 | ||||||||||||||||||
Ceded premiums amortized | (159,327 | ) | (6,442 | ) | (165,769 | ) | (470,643 | ) | (15,153 | ) | (485,796 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net premiums earned | 370,520 | 469,472 | 839,992 | 1,058,042 | 1,410,165 | 2,468,207 | ||||||||||||||||||
Other insurance related income | 1,156 | - | 1,156 | 2,047 | - | 2,047 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total underwriting revenues | 371,676 | 469,472 | 841,148 | 1,060,089 | 1,410,165 | 2,470,254 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
UNDERWRITING EXPENSES | ||||||||||||||||||||||||
Net losses and loss expenses | 207,403 | 299,436 | 506,839 | 692,255 | 1,399,343 | 2,091,598 | ||||||||||||||||||
Acquisition costs | 51,753 | 95,083 | 146,836 | 145,075 | 285,022 | 430,097 | ||||||||||||||||||
General and administrative expenses | 72,005 | 25,439 | 97,444 | 209,960 | 80,900 | 290,860 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total underwriting expenses | 331,161 | 419,958 | 751,119 | 1,047,290 | 1,765,265 | 2,812,555 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
UNDERWRITING INCOME(LOSS) | $ | 40,515 | $ | 49,514 | $ | 90,029 | $ | 12,799 | $ | (355,100) | $ | (342,301 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
KEY RATIOS | ||||||||||||||||||||||||
Current accident year loss ratio | 64.8% | 73.5% | 69.7% | 72.4% | 106.7% | 92.0% | ||||||||||||||||||
Prior period reserve development | (8.8%) | (9.7%) | (9.4%) | (7.0%) | (7.5%) | (7.3%) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net loss and loss expense ratio | 56.0% | 63.8% | 60.3% | 65.4% | 99.2% | 84.7% | ||||||||||||||||||
Acquisition cost ratio | 14.0% | 20.3% | 17.5% | 13.7% | 20.2% | 17.4% | ||||||||||||||||||
General and administrative expense ratio | 19.4% | 5.4% | 11.7% | 19.9% | 5.8% | 11.8% | ||||||||||||||||||
Corporate expense ratio | 2.0% | 2.4% | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Combined ratio | 89.4% | 89.5% | 91.5% | 99.0% | 125.2% | 116.3% | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
4
GROSS PREMIUM WRITTEN BY SEGMENT BY LINE OF BUSINESS
Nine months ended September 30, | ||||||||||||||||||||||||||||||||
Q3 2011 | Q2 2011 | Q1 2011 | Q4 2010 | Q3 2010 | Q3 2009 | 2011 | 2010 | |||||||||||||||||||||||||
INSURANCE SEGMENT | ||||||||||||||||||||||||||||||||
Property | $ | 158,786 | $ | 217,215 | $ | 116,231 | $ | 125,285 | $ | 150,123 | $ | 147,117 | $ | 492,232 | $ | 475,521 | ||||||||||||||||
Marine | 46,905 | 97,162 | 63,655 | 33,556 | 46,403 | 45,765 | 207,722 | 191,258 | ||||||||||||||||||||||||
Terrorism | 13,216 | 6,531 | 6,270 | 7,047 | 8,029 | 7,861 | 26,018 | 30,198 | ||||||||||||||||||||||||
Aviation | 11,957 | 19,694 | 2,803 | 44,118 | 9,891 | 11,098 | 34,455 | 31,676 | ||||||||||||||||||||||||
Credit and political risk | (148 | ) | 11,499 | 10,801 | 13,169 | 10,754 | (3,902 | ) | 22,151 | 17,500 | ||||||||||||||||||||||
Professional lines | 173,608 | 229,546 | 136,544 | 208,400 | 156,276 | 155,382 | 539,697 | 503,654 | ||||||||||||||||||||||||
Liability | 52,065 | 64,137 | 44,878 | 62,266 | 50,448 | 50,601 | 161,079 | 165,981 | ||||||||||||||||||||||||
Accident & health | 37,071 | 36,313 | 43,809 | 2,903 | 1,626 | - | 117,194 | 3,584 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
TOTAL INSURANCE SEGMENT | 493,460 | 682,097 | 424,991 | 496,744 | 433,550 | 413,922 | 1,600,548 | 1,419,372 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
REINSURANCE SEGMENT | ||||||||||||||||||||||||||||||||
Catastrophe | 91,340 | 114,361 | 253,218 | 8,631 | 92,479 | 87,700 | 458,918 | 444,427 | ||||||||||||||||||||||||
Property | 79,196 | 69,079 | 182,204 | 27,424 | 73,080 | 78,222 | 330,480 | 327,105 | ||||||||||||||||||||||||
Professional lines | 51,341 | 56,412 | 93,273 | 66,106 | 56,963 | 84,903 | 201,025 | 222,130 | ||||||||||||||||||||||||
Credit and bond | 38,292 | 20,336 | 236,645 | 5,997 | 17,527 | 18,369 | 295,273 | 248,132 | ||||||||||||||||||||||||
Motor | 13,074 | 30,799 | 195,114 | 9,408 | 11,872 | 5,675 | 238,987 | 139,276 | ||||||||||||||||||||||||
Liability | 62,366 | 53,780 | 99,015 | 11,565 | 56,437 | 80,876 | 215,161 | 226,496 | ||||||||||||||||||||||||
Engineering | 4,906 | 5,130 | 50,664 | 8,443 | 7,424 | 5,979 | 60,701 | 59,772 | ||||||||||||||||||||||||
Other | 1,081 | 14,169 | 13,306 | 456 | 1,355 | (332 | ) | 28,556 | 29,051 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
TOTAL REINSURANCE SEGMENT | 341,596 | 364,066 | 1,123,439 | 138,030 | 317,137 | 361,392 | 1,829,101 | 1,696,389 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
CONSOLIDATED TOTAL | $ | 835,056 | $ | 1,046,163 | $ | 1,548,430 | $ | 634,774 | $ | 750,687 | $ | 775,314 | $ | 3,429,649 | $ | 3,115,761 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5
INSURANCE SEGMENT DATA - QUARTERLY
Q3 2011 | Q2 2011 | Q1 2011 | Q4 2010 | Q3 2010 | Q3 2009 | |||||||||||||||||||
UNDERWRITING REVENUES | ||||||||||||||||||||||||
Gross premiums written | $ | 493,460 | $ | 682,097 | $ | 424,991 | $ | 496,744 | $ | 433,550 | $ | 413,922 | ||||||||||||
Net premiums written | 331,857 | 495,049 | 289,316 | 349,250 | 309,277 | 239,781 | ||||||||||||||||||
Gross premiums earned | 529,847 | 518,929 | 479,908 | 485,188 | 477,149 | 465,701 | ||||||||||||||||||
Ceded premiums amortized | (159,327 | ) | (159,054 | ) | (152,260 | ) | (156,813 | ) | (156,965 | ) | (187,064 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net premiums earned | 370,520 | 359,875 | 327,648 | 328,375 | 320,184 | 278,637 | ||||||||||||||||||
Other insurance related income (loss) | 1,156 | 126 | 763 | 345 | 884 | (135,898) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total underwriting revenues | 371,676 | 360,001 | 328,411 | 328,720 | 321,068 | 142,739 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
UNDERWRITING EXPENSES | ||||||||||||||||||||||||
Net losses and loss expenses | 207,403 | 218,219 | 266,633 | 132,811 | 150,860 | 111,228 | ||||||||||||||||||
Acquisition costs | 51,753 | 51,244 | 42,079 | 41,553 | 38,962 | 29,613 | ||||||||||||||||||
General and administrative expenses | 72,005 | 70,229 | 67,726 | 86,633 | 64,147 | 55,685 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total underwriting expenses | 331,161 | 339,692 | 376,438 | 260,997 | 253,969 | 196,526 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
UNDERWRITING INCOME (LOSS) | $ | 40,515 | $ | 20,309 | $ | (48,027 | ) | $ | 67,723 | $ | 67,099 | $ | (53,787 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
KEY RATIOS | ||||||||||||||||||||||||
Current accident year loss ratio | 64.8% | 68.1% | 85.9% | 51.0% | 55.8% | 59.8% | ||||||||||||||||||
Prior period reserve development | (8.8%) | (7.5)% | (4.5)% | (10.6)% | (8.7)% | (19.9)% | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net loss and loss expense ratio | 56.0% | 60.6% | 81.4% | 40.4% | 47.1% | 39.9% | ||||||||||||||||||
Acquisition cost ratio | 14.0% | 14.3% | 12.8% | 12.7% | 12.2% | 10.6% | ||||||||||||||||||
General and administrative expense ratio | 19.4% | 19.5% | 20.7% | 26.4% | 20.0% | 20.0% | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Combined ratio | 89.4% | 94.4% | 114.9% | 79.5% | 79.3% | 70.5% | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
6
AXIS Capital Holdings Limited
REINSURANCE SEGMENT DATA - QUARTERLY
Q3 2011 | Q2 2011 | Q1 2011 | Q4 2010 | Q3 2010 | Q3 2009 | |||||||||||||||||||
UNDERWRITING REVENUES | ||||||||||||||||||||||||
Gross premiums written | $ | 341,596 | $ | 364,066 | $ | 1,123,439 | $ | 138,030 | $ | 317,137 | $ | 361,392 | ||||||||||||
Net premiums written | 341,596 | 355,090 | 1,111,463 | 139,394 | 317,045 | 355,363 | ||||||||||||||||||
Gross premiums earned | 475,914 | 484,684 | 464,719 | 432,291 | 443,805 | 432,567 | ||||||||||||||||||
Ceded premiums amortized | (6,442 | ) | (4,545 | ) | (4,166 | ) | (3,348 | ) | (5,116 | ) | (5,179 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net premiums earned | 469,472 | 480,139 | 460,553 | 428,943 | 438,689 | 427,388 | ||||||||||||||||||
Other insurance related income | - | - | - | - | - | 160 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total underwriting revenues | 469,472 | 480,139 | 460,553 | 428,943 | 438,689 | 427,548 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
UNDERWRITING EXPENSES | ||||||||||||||||||||||||
Net losses and loss expenses | 299,436 | 346,740 | 753,168 | 250,534 | 271,294 | 199,881 | ||||||||||||||||||
Acquisition costs | 95,083 | 96,661 | 93,277 | 82,545 | 84,826 | 83,810 | ||||||||||||||||||
General and administrative expenses | 25,439 | 28,073 | 27,386 | 31,041 | 22,292 | 18,719 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total underwriting expenses | 419,958 | 471,474 | 873,831 | 364,120 | 378,412 | 302,410 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
UNDERWRITING INCOME (LOSS) | $ | 49,514 | $ | 8,665 | $ | (413,278 | ) | $ | 64,823 | $ | 60,277 | $ | 125,138 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
KEY RATIOS | ||||||||||||||||||||||||
Current accident year loss ratio | 73.5% | 77.4% | 171.1% | 69.3% | 71.8% | 62.4% | ||||||||||||||||||
Prior period reserve development | (9.7)% | (5.2)% | (7.6)% | (10.9)% | (10.0)% | (15.6)% | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net loss and loss expense ratio | 63.8% | 72.2% | 163.5% | 58.4% | 61.8% | 46.8% | ||||||||||||||||||
Acquisition cost ratio | 20.3% | 20.1% | 20.3% | 19.2% | 19.4% | 19.6% | ||||||||||||||||||
General and administrative expense ratio | 5.4% | 5.9% | 5.9% | 7.3% | 5.1% | 4.4% | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Combined ratio | 89.5% | 98.2% | 189.7% | 84.9% | 86.3% | 70.8% | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
7
NET INVESTMENT INCOME - QUARTERLY
Nine months ended September 30, | ||||||||||||||||||||||||||||||||
Q3 2011 | Q2 2011 | Q1 2011 | Q4 2010 | Q3 2010 | Q3 2009 | 2011 | 2010 | |||||||||||||||||||||||||
Fixed maturities | $ | 81,900 | $ | 89,203 | $ | 88,581 | $ | 84,887 | $ | 89,580 | $ | 98,337 | $ | 259,683 | $ | 267,471 | ||||||||||||||||
Other investments | (30,376 | ) | 11,797 | 25,311 | 25,391 | 25,094 | 38,646 | 6,732 | 39,374 | |||||||||||||||||||||||
Equities | 2,079 | 4,074 | 824 | 63 | 917 | 689 | 6,977 | 2,837 | ||||||||||||||||||||||||
Cash and cash equivalents | 1,148 | 1,502 | 2,153 | 1,595 | 1,517 | 1,052 | 4,803 | 4,241 | ||||||||||||||||||||||||
Short-term investments | 302 | 472 | 387 | 706 | 308 | 81 | 1,161 | 735 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Gross investment income | 55,053 | 107,048 | 117,256 | 112,642 | 117,416 | 138,805 | 279,356 | 314,658 | ||||||||||||||||||||||||
Investment expense | (5,657 | ) | (7,030 | ) | (6,601 | ) | (4,753 | ) | (5,616 | ) | (4,017 | ) | (19,288 | ) | (15,654 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Net investment income | $ | 49,396 | $ | 100,018 | $ | 110,655 | $ | 107,889 | $ | 111,800 | $ | 134,788 | $ | 260,068 | $ | 299,004 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8
CONSOLIDATED BALANCE SHEETS
Sep 30, 2011 | Jun 30, 2011 | Mar 31, 2011 | Dec 31, 2010 | Sep 30, 2010 | Sep 30, 2009 | |||||||||||||||||||
ASSETS | ||||||||||||||||||||||||
Investments: | ||||||||||||||||||||||||
Fixed maturities, available for sale, at fair value | $ | 10,736,729 | $ | 10,758,157 | $ | 10,726,390 | $ | 10,482,897 | $ | 10,664,824 | $ | 9,682,932 | ||||||||||||
Equities, available for sale, at fair value | 567,881 | 648,264 | 502,096 | 349,254 | 251,005 | 137,544 | ||||||||||||||||||
Other investments, at fair value | 643,270 | 623,650 | 554,113 | 519,296 | 533,072 | 541,447 | ||||||||||||||||||
Short-term investments, at amortized cost | 149,136 | 187,601 | 132,512 | 172,719 | 129,042 | 282,737 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total investments | 12,097,016 | 12,217,672 | 11,915,111 | 11,524,166 | 11,577,943 | 10,644,660 | ||||||||||||||||||
Cash and cash equivalents | 1,201,037 | 1,066,540 | 1,086,189 | 1,045,355 | 1,205,393 | 1,239,471 | ||||||||||||||||||
Accrued interest receivable | 95,320 | 97,384 | 94,013 | 96,364 | 92,758 | 82,169 | ||||||||||||||||||
Insurance and reinsurance premium balances receivable | 1,665,636 | 1,987,615 | 1,880,305 | 1,343,665 | 1,536,944 | 1,497,639 | ||||||||||||||||||
Reinsurance recoverable on paid and unpaid losses | 1,759,017 | 1,774,601 | 1,688,778 | 1,577,547 | 1,551,612 | 1,406,449 | ||||||||||||||||||
Deferred acquisition costs | 477,403 | 494,147 | 498,598 | 359,300 | 402,887 | 363,739 | ||||||||||||||||||
Prepaid reinsurance premiums | 239,769 | 245,442 | 212,808 | 221,396 | 234,850 | 284,922 | ||||||||||||||||||
Securities lending collateral | - | - | - | - | - | 135,122 | ||||||||||||||||||
Receivable for investments sold | 86,932 | 3,782 | 8,376 | - | 11,745 | 19,713 | ||||||||||||||||||
Goodwill and intangible assets | 98,260 | 103,404 | 102,847 | 103,231 | 89,744 | 93,049 | ||||||||||||||||||
Other assets | 223,540 | 206,261 | 195,275 | 174,707 | 154,399 | 172,248 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
TOTAL ASSETS | $ | 17,943,930 | $ | 18,196,848 | $ | 17,682,300 | $ | 16,445,731 | $ | 16,858,275 | $ | 15,939,181 | ||||||||||||
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|
|
|
|
|
|
|
|
|
|
| |||||||||||||
LIABILITIES | ||||||||||||||||||||||||
Reserve for losses and loss expenses | $ | 8,334,841 | $ | 8,402,612 | $ | 8,013,861 | $ | 7,032,375 | $ | 6,934,528 | $ | 6,579,914 | ||||||||||||
Unearned premiums | 2,805,620 | 2,981,817 | 2,938,328 | 2,333,676 | 2,614,239 | 2,548,072 | ||||||||||||||||||
Insurance and reinsurance balances payable | 179,081 | 196,543 | 141,483 | 164,927 | 123,127 | 170,664 | ||||||||||||||||||
Securities lending payable | - | - | - | - | - | 138,092 | ||||||||||||||||||
Senior notes | 994,523 | 994,383 | 994,246 | 994,110 | 993,976 | 499,449 | ||||||||||||||||||
Other liabilities | 144,771 | 133,584 | 231,523 | 275,422 | 240,338 | 426,068 | ||||||||||||||||||
Payable for investments purchased | 127,989 | 154,970 | 173,279 | 20,251 | 103,129 | 178,815 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
TOTAL LIABILITIES | 12,586,825 | 12,863,909 | 12,492,720 | 10,820,761 | 11,009,337 | 10,541,074 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
SHAREHOLDERS’ EQUITY | ||||||||||||||||||||||||
Series A and B preferred shares | 500,000 | 500,000 | 500,000 | 500,000 | 500,000 | 500,000 | ||||||||||||||||||
Common shares | 2,112 | 2,107 | 1,958 | 1,934 | 1,931 | 1,901 | ||||||||||||||||||
Additional paid-in capital | 2,095,727 | 2,085,215 | 2,074,982 | 2,059,708 | 2,046,297 | 2,003,417 | ||||||||||||||||||
Accumulated other comprehensive income | 50,932 | 218,133 | 155,192 | 176,821 | 371,625 | 74,974 | ||||||||||||||||||
Retained earnings | 4,105,216 | 3,923,395 | 3,853,076 | 4,267,608 | 4,033,018 | 3,319,467 | ||||||||||||||||||
Treasury shares, at cost | (1,396,882 | ) | (1,395,911 | ) | (1,395,628 | ) | (1,381,101 | ) | (1,103,933 | ) | (501,652 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
TOTAL SHAREHOLDERS’ EQUITY | 5,357,105 | 5,332,939 | 5,189,580 | 5,624,970 | 5,848,938 | 5,398,107 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
TOTAL LIABILITIES AND SHAREHOLDERS’ EQUITY | $ | 17,943,930 | $ | 18,196,848 | $ | 17,682,300 | $ | 16,445,731 | $ | 16,858,275 | $ | 15,939,181 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Basic common shares outstanding | 126,141 | 125,811 | 113,902 | 112,393 | 119,958 | 137,835 | ||||||||||||||||||
Diluted common shares outstanding | 131,067 | 131,419 | 131,402 | 130,189 | 137,115 | 155,110 | ||||||||||||||||||
Book value per common share | $ | 38.51 | $ | 38.41 | $ | 41.17 | $ | 45.60 | $ | 44.59 | $ | 35.54 | ||||||||||||
Diluted book value per common share | $ | 37.06 | $ | 36.78 | $ | 35.69 | $ | 39.37 | $ | 39.01 | $ | 31.58 | ||||||||||||
Debt (Senior notes) to total capital[a] | 15.7 | % | 15.7 | % | 16.1 | % | 15.0 | % | 14.5 | % | 8.5 | % | ||||||||||||
Debt plus preferred shares to total capital | 23.5 | % | 23.6 | % | 24.2 | % | 22.6 | % | 21.8 | % | 16.9 | % |
[a] The debt to capital 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.
9
CASH AND INVESTED ASSETS PORTFOLIO
Cost or Amortized Cost | Unrealized Gains | Unrealized Losses | Fair Value | Percentage | ||||||||||||||||
Fixed Maturities, available for sale | ||||||||||||||||||||
U.S. government and agency | $ | 1,103,869 | $ | 6,856 | $ | (1,282 | ) | $ | 1,109,443 | 8% | ||||||||||
Non-U.S. government | 1,015,795 | 7,061 | (22,278 | ) | 1,000,578 | 7% | ||||||||||||||
Corporate debt | 3,716,760 | 78,168 | (74,828 | ) | 3,720,100 | 28% | ||||||||||||||
Agency RMBS | 2,538,293 | 73,876 | (1,100 | ) | 2,611,069 | 20% | ||||||||||||||
CMBS | 273,278 | 10,987 | (1,105 | ) | 283,160 | 2% | ||||||||||||||
Non-Agency RMBS | 186,480 | 1,509 | (11,203 | ) | 176,786 | 1% | ||||||||||||||
ABS | 643,332 | 9,046 | (13,836 | ) | 638,542 | 5% | ||||||||||||||
Municipals | 1,163,380 | 35,894 | (2,223 | ) | 1,197,051 | 9% | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total fixed maturities | 10,641,187 | 223,397 | (127,855 | ) | 10,736,729 | 80% | ||||||||||||||
Equities, available for sale | 634,268 | 11,703 | (78,090 | ) | 567,881 | 4% | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total available for sale investments | $ | 11,275,455 | $ | 235,100 | $ | (205,945 | ) | 11,304,610 | 84% | |||||||||||
|
|
|
|
|
| |||||||||||||||
Other investments (see below) | 643,270 | 5% | ||||||||||||||||||
Short-term investments | 149,136 | 1% | ||||||||||||||||||
|
|
|
| |||||||||||||||||
Total investments | 12,097,016 | 90% | ||||||||||||||||||
Cash and cash equivalents [a] | 1,201,037 | 9% | ||||||||||||||||||
Accrued interest receivable | 95,320 | 1% | ||||||||||||||||||
Net receivable/(payable) for investments sold (purchased) | (41,057 | ) | - | |||||||||||||||||
|
|
|
| |||||||||||||||||
Total cash and invested assets | $ | 13,352,316 | 100% | |||||||||||||||||
|
|
|
| |||||||||||||||||
Other Investments: | Fair Value | Percentage | ||||||||||||||||||
Hedge funds | $ | 267,055 | 41% | |||||||||||||||||
Fund of hedge funds | 230,187 | 36% | ||||||||||||||||||
Credit funds | 87,386 | 14% | ||||||||||||||||||
Collateralized loan obligations - equity tranches | 58,642 | 9% | ||||||||||||||||||
|
|
|
| |||||||||||||||||
Total | $ | 643,270 | 100% | |||||||||||||||||
|
|
|
| |||||||||||||||||
|
|
|
|
[a] Includes $266 million of restricted cash and cash equivalents.
10
CASH AND INVESTED ASSETS COMPOSITION - QUARTERLY
Q3 2011 | Q2 2011 | Q1 2011 | Q4 2010 | Q3 2010 | Q3 2009 | |||||||||||||||||||
CASH AND INVESTED ASSETS PORTFOLIO | Fair Value % | Fair Value % | Fair Value % | Fair Value % | Fair Value % | Fair Value % | ||||||||||||||||||
Fixed Maturities: | ||||||||||||||||||||||||
U.S. government and agency | 8.2% | 7.6% | 8.3% | 6.8% | 10.7% | 16.4% | ||||||||||||||||||
Non-U.S. government | 7.4% | 6.8% | 6.5% | 6.1% | 6.2% | 4.5% | ||||||||||||||||||
Corporate debt | 27.9% | 31.3% | 31.3% | 32.9% | 33.7% | 29.2% | ||||||||||||||||||
MBS: | ||||||||||||||||||||||||
Agency RMBS | 19.6% | 18.8% | 20.3% | 20.5% | 16.4% | 14.9% | ||||||||||||||||||
CMBS | 2.1% | 3.2% | 3.7% | 3.8% | 3.9% | 6.3% | ||||||||||||||||||
Non-agency RMBS | 1.3% | 1.7% | 1.8% | 1.9% | 1.7% | 1.9% | ||||||||||||||||||
ABS | 4.8% | 5.2% | 5.1% | 5.2% | 5.2% | 3.3% | ||||||||||||||||||
Municipals | 8.8% | 6.1% | 6.0% | 5.6% | 5.6% | 5.6% | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Fixed Maturities | 80.1% | 80.7% | 83.0% | 82.8% | 83.4% | 82.1% | ||||||||||||||||||
Equities | 4.3% | 4.9% | 3.9% | 2.8% | 2.0% | 1.2% | ||||||||||||||||||
Other investments | 4.8% | 4.7% | 4.3% | 4.1% | 4.2% | 4.6% | ||||||||||||||||||
Short-term investments | 1.2% | 1.4% | 1.0% | 1.4% | 1.0% | 2.0% | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total investments | 90.4% | 91.7% | 92.2% | 91.1% | 90.6% | 89.9% | ||||||||||||||||||
Cash and cash equivalents | 9.1% | 8.1% | 8.4% | 8.3% | 9.4% | 10.5% | ||||||||||||||||||
Accrued interest receivable | 0.8% | 0.8% | 0.7% | 0.8% | 0.7% | 0.9% | ||||||||||||||||||
Net receivable/(payable) for investments sold or purchased | (0.3)% | (0.6)% | (1.3)% | (0.2)% | (0.7)% | (1.3)% | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Cash and Invested Assets | 100.0% | 100.0% | 100.0% | 100.0% | 100.0% | 100.0% | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
CREDIT QUALITY [a] | Fair Value % | Fair Value % | Fair Value % | Fair Value % | Fair Value % | Fair Value % | ||||||||||||||||||
Cash and cash equivalents [b] | 9.6% | 7.7% | 7.8% | 8.8% | 9.4% | 9.8% | ||||||||||||||||||
U.S. government and agency | 9.2% | 8.5% | 9.1% | 7.4% | 11.5% | 17.5% | ||||||||||||||||||
AAA | 37.1% | 39.7% | 39.9% | 41.3% | 37.4% | 36.4% | ||||||||||||||||||
AA | 15.2% | 12.7% | 11.7% | 12.3% | 13.2% | 11.5% | ||||||||||||||||||
A | 16.5% | 17.2% | 17.2% | 16.2% | 14.8% | 13.6% | ||||||||||||||||||
BBB | 8.7% | 10.0% | 10.0% | 10.4% | 10.9% | 8.7% | ||||||||||||||||||
Below BBB | 3.7% | 4.2% | 4.3% | 3.6% | 2.8% | 2.5% | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | 100.0% | 100.0% | 100.0% | 100.0% | 100.0% | 100.0% | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
MATURITY PROFILE | Fair Value % | Fair Value % | Fair Value % | Fair Value % | Fair Value % | Fair Value % | ||||||||||||||||||
Within one year (includes cash & cash equivalents) | 14.4% | 13.4% | 13.2% | 14.4% | 16.1% | 11.9% | ||||||||||||||||||
From one to five years | 38.7% | 38.1% | 38.1% | 35.5% | 38.7% | 39.2% | ||||||||||||||||||
From five to ten years | 14.3% | 14.2% | 13.2% | 14.2% | 14.0% | 15.8% | ||||||||||||||||||
Above ten years | 1.9% | 2.0% | 1.6% | 1.9% | 2.0% | 3.1% | ||||||||||||||||||
Asset-backed and mortgage-backed securities | 30.7% | 32.3% | 33.9% | 34.0% | 29.2% | 30.0% | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | 100.0% | 100.0% | 100.0% | 100.0% | 100.0% | 100.0% | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
CASH AND INVESTED ASSETS PORTFOLIO CHARACTERISTICS | ||||||||||||||||||||||||
Book yield of fixed maturities | 3.0% | 3.3% | 3.3% | 3.3% | 3.3% | 4.0% | ||||||||||||||||||
Yield to maturity of fixed maturities | 2.4% | 2.7% | 2.9% | 2.8% | 2.3% | 3.4% | ||||||||||||||||||
Average duration of fixed maturities | 2.9 yrs | 3.0 yrs | 3.1 yrs | 3.2 yrs | 3.1 yrs | 2.8 yrs | ||||||||||||||||||
Average credit quality [a] | AA | AA- | AA | AA | AA | AA |
[a] During Q3 2011 we changed our methodology for assigning credit ratings to be in line with the methodology used for the Barclay’s U.S. Aggregate Bond index. Previously we used S&P’s ratings and, in the absence of an S&P rating, the lower of the ratings established by Moody’s and Fitch. We have restated the ratings for prior periods to conform to the new methodology. The methodology amendment resulted in a change in the weighted average credit quality for cash and invested assets at September 30, 2011 from AA- to AA. There was no change to the weighted average credit quality for prior periods, except for Q2 2011 which changed from AA to AA-.
[b] Cash and cash equivalents are net of receivables/payables for investments sold/purchased.
11
CORPORATE DEBT COMPOSITION
At September 30, 2011
Fair Value | Percentage of of Corporate Debt | Percentage of Total Cash and Invested Assets | ||||||||||
Composition by sector - Investment grade | ||||||||||||
US banking | $ | 722,027 | 19.4% | 5.4% | ||||||||
Consumer non cyclicals | 372,317 | 10.0% | 2.8% | |||||||||
Communications | 365,507 | 9.8% | 2.7% | |||||||||
Utilities | 349,845 | 9.4% | 2.6% | |||||||||
Foreign banking [a] | 328,270 | 8.8% | 2.5% | |||||||||
Finance | 273,768 | 7.4% | 2.1% | |||||||||
Non US government guaranteed | 245,722 | 6.6% | 1.8% | |||||||||
Industrial | 207,742 | 5.6% | 1.6% | |||||||||
Energy | 166,353 | 4.5% | 1.2% | |||||||||
Consumer cyclicals | 133,075 | 3.6% | 1.0% | |||||||||
Technology | 96,843 | 2.6% | 0.7% | |||||||||
Insurance | 59,716 | 1.6% | 0.4% | |||||||||
Transportation | 32,657 | 0.9% | 0.2% | |||||||||
|
|
|
|
|
| |||||||
Total investment grade | 3,353,842 | 90.2% | 25.0% | |||||||||
Total non-investment grade | 366,258 | 9.8% | 2.7% | |||||||||
|
|
|
|
|
| |||||||
Total corporate debt | $ | 3,720,100 | 100% | 27.7% | ||||||||
|
|
|
|
|
| |||||||
Investment Grade | Non-Investment Grade | |||||||||||
Corporate debt characteristics | ||||||||||||
Average credit rating | A | B | ||||||||||
Average duration | 3.34 | 1.20 |
[a] During October 2011, we sold all U.K. and other European banking-related bonds (fair value: $301,608 at September 30, 2011) and realized an insignificant loss. The net proceeds will be reinvested in other investment-grade corporate sectors.
12
INVESTMENT PORTFOLIO
TEN LARGEST ISSUER HOLDINGS IN FIXED MATURITY PORTFOLIO At September 30, 2011
ISSUER[a] | Amortized Cost | Unrealized Gain (Loss) | Fair Value | % of Total Fixed Maturities | ||||||||||||
CITIGROUP INC | $ | 137,883 | $ | 1,215 | $ | 139,098 | 1.3% | |||||||||
GENERAL ELECTRIC CO | 118,486 | (1,862 | ) | 116,624 | 1.1% | |||||||||||
BANK OF AMERICA CORP | 114,727 | (7,139 | ) | 107,588 | 1.0% | |||||||||||
MORGAN STANLEY | 110,852 | (4,721 | ) | 106,131 | 1.0% | |||||||||||
GOLDMAN SACHS GROUP | 110,249 | (3,914 | ) | 106,335 | 1.0% | |||||||||||
JPMORGAN CHASE & CO | 108,344 | 2,328 | 110,672 | 1.0% | ||||||||||||
WELLS FARGO & COMPANY | 69,368 | 1,213 | 70,581 | 0.7% | ||||||||||||
AT&T INC | 67,029 | 1,508 | 68,537 | 0.6% | ||||||||||||
HSBC HOLDINGS PLC | 60,203 | (448 | ) | 59,755 | 0.6% | |||||||||||
VERIZON COMMUNICATIONS INC | 49,373 | 3,984 | 53,357 | 0.5% |
[a] | The holdings 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. |
13
MORTGAGE-BACKED AND ASSET-BACKED SECURITIES COMPOSITION At September 30, 2011
Agencies | AAA | AA | A | BBB | Non Investment Grade | Total | ||||||||||||||||||||||
Residential MBS | $ | 2,611,069 | $ | 100,344 | $ | 5,290 | $ | 4,509 | $ | 9,045 | $ | 57,598 | $ | 2,787,855 | ||||||||||||||
Commercial MBS | - | 230,690 | 41,368 | 11,102 | - | - | 283,160 | |||||||||||||||||||||
ABS | - | 586,211 | 3,649 | 24,780 | 8,510 | 15,392 | 638,542 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total mortgage-backed and asset-backed securities | $ | 2,611,069 | $ | 917,245 | $ | 50,307 | $ | 40,391 | $ | 17,555 | $ | 72,990 | $ | 3,709,557 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Percentage of total | 70.4% | 24.7% | 1.4% | 1.1% | 0.5% | 1.9% | 100.0% |
14
REINSURANCE RECOVERABLE ANALYSIS
Q3 2011 | Q2 2011 | Q1 2011 | Q4 2010 | Q3 2010 | Q3 2009 | |||||||||||||||||||
Reinsurance recoverable on paid losses and loss expenses: | ||||||||||||||||||||||||
Insurance | $ | 21,071 | $ | 21,398 | $ | 26,525 | $ | 41,077 | $ | 31,007 | $ | 31,630 | ||||||||||||
Reinsurance | - | - | - | - | 5,000 | 4,995 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | 21,071 | $ | 21,398 | $ | 26,525 | $ | 41,077 | $ | 36,007 | $ | 36,625 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Reinsurance recoverable on unpaid losses and loss expenses: OSLR | ||||||||||||||||||||||||
Insurance | $ | 536,811 | $ | 552,085 | $ | 477,084 | $ | 432,426 | $ | 424,234 | $ | 388,803 | ||||||||||||
Reinsurance | - | - | - | - | - | - | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | 536,811 | $ | 552,085 | $ | 477,084 | $ | 432,426 | $ | 424,234 | $ | 388,803 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Reinsurance recoverable on unpaid losses and loss expenses: IBNR | ||||||||||||||||||||||||
Insurance | $ | 1,165,884 | $ | 1,168,450 | $ | 1,152,784 | $ | 1,073,960 | $ | 1,067,630 | $ | 970,655 | ||||||||||||
Reinsurance | 53,987 | 51,679 | 49,479 | 47,204 | 46,020 | 32,799 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | 1,219,871 | $ | 1,220,129 | $ | 1,202,263 | $ | 1,121,164 | $ | 1,113,650 | $ | 1,003,454 | ||||||||||||
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|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Provision against reinsurance recoverables: | ||||||||||||||||||||||||
Insurance | $ | (18,278 | ) | $ | (18,571 | ) | $ | (16,706 | ) | $ | (16,737 | ) | $ | (16,911 | ) | $ | (15,623 | ) | ||||||
Reinsurance | (458 | ) | (440 | ) | (388 | ) | (383 | ) | (5,368 | ) | (6,810 | ) | ||||||||||||
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Total | $ | (18,736 | ) | $ | (19,011 | ) | $ | (17,094 | ) | $ | (17,120 | ) | $ | (22,279 | ) | $ | (22,433 | ) | ||||||
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Net reinsurance recoverables: | ||||||||||||||||||||||||
Insurance | $ | 1,705,488 | $ | 1,723,362 | $ | 1,639,687 | $ | 1,530,726 | $ | 1,505,960 | $ | 1,375,465 | ||||||||||||
Reinsurance | 53,529 | 51,239 | 49,091 | 46,821 | 45,652 | 30,984 | ||||||||||||||||||
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Total | $ | 1,759,017 | $ | 1,774,601 | $ | 1,688,778 | $ | 1,577,547 | $ | 1,551,612 | $ | 1,406,449 | ||||||||||||
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15
AXIS Capital Holdings Limited
REINSURANCE RECOVERABLE ANALYSIS
Consolidated Reinsurance | September 30, 2011 | |||||||||||||||||||||||||
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 | $ | 1,253,734 | $ | (23,331 | ) | $ | 1,230,403 | 72.4% | 23.0% | $ | (9,441 | ) | 0.8% | $ | 1,244,293 | |||||||||||
Other reinsurers | 232,297 | (11,514 | ) | 220,783 | 13.0% | 4.1% | (1,846 | ) | 0.8% | 230,451 | ||||||||||||||||
Other reinsurers | 291,722 | (42,789 | ) | 248,933 | 14.6% | 4.6% | (7,449 | ) | 2.6% | 284,273 | ||||||||||||||||
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Total | $ | 1,777,753 | $ | (77,634 | ) | $ | 1,700,119 | 100.0% | 31.7% | $ | (18,736 | ) | 1.1% | $ | 1,759,017 | |||||||||||
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At September 30, 2011 and December 31, 2010, 97.9% 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 | ||
Transatlantic Reinsurance Co. | 13.1% | 4.2% | ||
Swiss Reinsurance America Corporation | 10.7% | 3.4% | ||
Partner Reinsurance Co of US | 10.4% | 3.3% | ||
Berkley Insurance Company | 8.4% | 2.7% | ||
Lloyds of London | 8.2% | 2.6% | ||
Ace Property & Casualty Ins | 6.3% | 2.0% | ||
XL Reinsurance America Inc | 5.9% | 1.9% | ||
Munchener Ruckversicherungs Gesellschaft | 3.3% | 1.0% | ||
Liberty Mutual Insurance Co. | 3.2% | 1.0% | ||
Munich Re America, Inc | 2.9% | 0.9% | ||
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72.4% | 23.0% | |||
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16
RESERVE FOR LOSSES AND LOSS EXPENSES: PAID TO INCURRED ANALYSIS
Quarter ended September 30, 2011 | Nine months ended September 30, 2011 | |||||||||||||||||||||||
Reserve for unpaid losses and loss expenses | Gross | Recoveries | Net | Gross | Recoveries | Net | ||||||||||||||||||
Beginning of period | $ | 8,402,612 | $ | (1,757,367 | ) | $ | 6,645,245 | $ | 7,032,375 | $ | (1,540,633 | ) | $ | 5,491,742 | ||||||||||
Incurred | 548,259 | (41,420 | ) | 506,839 | 2,438,859 | (347,261 | ) | 2,091,598 | ||||||||||||||||
Paid | (476,649 | ) | 48,301 | (428,348 | ) | (1,128,958 | ) | 143,299 | (985,659 | ) | ||||||||||||||
Foreign exchange and other | (139,381 | ) | 9,377 | (130,004 | ) | (7,435 | ) | 3,486 | (3,949 | ) | ||||||||||||||
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End of period[a] | $ | 8,334,841 | $ | (1,741,109 | ) | $ | 6,593,732 | $ | 8,334,841 | $ | (1,741,109 | ) | $ | 6,593,732 | ||||||||||
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[a] At September 30, 2011, the gross reserve for losses and loss expenses included IBNR of $5,463 million, or 66%, of total gross reserves for loss and loss expenses. At December 31, 2010, the comparable amount was $4,935 million, or 70%.
17
RESERVE FOR LOSSES AND LOSS EXPENSES: PAID TO INCURRED ANALYSIS BY SEGMENT
Quarter ended September 30, 2011 | Nine months ended September 30, 2011 | |||||||||||||||||||||||
Insurance | Reinsurance | Total | Insurance | Reinsurance | Total | |||||||||||||||||||
Gross losses paid | $ | 198,120 | $ | 278,529 | $ | 476,649 | $ | 486,627 | $ | 642,331 | $ | 1,128,958 | ||||||||||||
Reinsurance recoveries | (48,301 | ) | - | (48,301 | ) | (143,299 | ) | - | (143,299 | ) | ||||||||||||||
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Net losses paid | 149,819 | 278,529 | 428,348 | 343,328 | 642,331 | 985,659 | ||||||||||||||||||
Change in: | ||||||||||||||||||||||||
Reported case reserves | (3,088 | ) | 90,009 | 86,921 | 282,636 | 498,583 | 781,219 | |||||||||||||||||
IBNR | 51,501 | (66,812 | ) | (15,311 | ) | 263,546 | 265,136 | 528,682 | ||||||||||||||||
Reinsurance recoveries on unpaid loss and loss expense reserves | 9,171 | (2,290 | ) | 6,881 | (197,254 | ) | (6,708 | ) | (203,962 | ) | ||||||||||||||
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Total net incurred losses and loss expenses | $ | 207,403 | $ | 299,436 | $ | 506,839 | $ | 692,256 | $ | 1,399,342 | $ | 2,091,598 | ||||||||||||
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Gross reserve for losses and loss expenses | $ | 4,045,488 | $ | 4,289,353 | $ | 8,334,841 | $ | 4,045,488 | $ | 4,289,353 | $ | 8,334,841 | ||||||||||||
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Prior years net favorable reserve development | $ | 32,594 | $ | 45,837 | $ | 78,431 | $ | 74,075 | $ | 105,610 | $ | 179,685 | ||||||||||||
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Key Ratios | ||||||||||||||||||||||||
Net paid to net incurred percentage | 72.2% | 93.0% | 84.5% | 49.6% | 45.9% | 47.1% | ||||||||||||||||||
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Net paid losses / Net premiums earned | 40.4% | 59.3% | 51.0% | 32.4% | 45.5% | 39.9% | ||||||||||||||||||
Change in net loss and loss expense reserves /Net premiums earned | 15.6% | 4.5% | 9.3% | 33.0% | 53.7% | 44.8% | ||||||||||||||||||
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Net loss and loss expense ratio | 56.0% | 63.8% | 60.3% | 65.4% | 99.2% | 84.7% | ||||||||||||||||||
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18
RESERVE FOR LOSSES AND LOSS EXPENSES: PAID TO INCURRED ANALYSIS
INSURANCE - QUARTERLY
Q3 2011 | Q2 2011 | Q1 2011 | Q4 2010 | Q3 2010 | Q3 2009 | |||||||||||||||||||
Gross losses paid | $ | 198,120 | $ | 199,117 | $ | 89,390 | $ | 203,863 | $ | 218,495 | $ | 244,472 | ||||||||||||
Reinsurance recoveries | (48,301 | ) | (45,322 | ) | (49,676 | ) | (78,224 | ) | (63,619 | ) | (64,649 | ) | ||||||||||||
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Net losses paid | 149,819 | 153,795 | 39,714 | 125,639 | 154,876 | 179,823 | ||||||||||||||||||
Change in: | ||||||||||||||||||||||||
Reported case reserves | (3,088 | ) | 73,868 | 211,857 | 13,991 | (88,805 | ) | (97,814 | ) | |||||||||||||||
IBNR | 51,501 | 75,879 | 136,165 | 5,653 | 95,595 | 11,911 | ||||||||||||||||||
Reinsurance recoveries on unpaid loss and loss expense reserves | 9,171 | (85,323 | ) | (121,102 | ) | (12,472 | ) | (10,806 | ) | 17,308 | ||||||||||||||
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Total net incurred losses and loss expenses | $ | 207,403 | $ | 218,219 | $ | 266,634 | $ | 132,811 | $ | 150,860 | $ | 111,228 | ||||||||||||
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Gross reserve for losses and loss expenses | $ | 4,045,488 | $ | 4,026,267 | $ | 3,865,548 | $ | 3,512,002 | $ | 3,488,114 | $ | 3,572,266 | ||||||||||||
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Prior years net favorable reserve development | $ | 32,594 | $ | 26,754 | $ | 14,728 | $ | 34,603 | $ | 27,823 | $ | 55,401 | ||||||||||||
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Key Ratios | ||||||||||||||||||||||||
Net paid to net incurred percentage | 72.2% | 70.5% | 14.9% | 94.6% | 102.7% | 161.7% | ||||||||||||||||||
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Net paid losses/Net premiums earned | 40.4% | 42.7% | 12.1% | 38.2% | 48.4% | 64.5% | ||||||||||||||||||
Change in net loss and loss expense reserves / Net premiums earned | 15.6% | 17.9% | 69.3% | 2.2% | (1.3% | ) | (24.6% | ) | ||||||||||||||||
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Net loss and loss expense ratio | 56.0% | 60.6% | 81.4% | 40.4% | 47.1% | 39.9% | ||||||||||||||||||
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19
AXIS Capital Holdings Limited
RESERVE FOR LOSSES AND LOSS EXPENSES: PAID TO INCURRED ANALYSIS
REINSURANCE - QUARTERLY
Q3 2011 | Q2 2011 | Q1 2011 | Q4 2010 | Q3 2010 | Q3 2009 | |||||||||||||||||||
Gross losses paid | $ | 278,529 | $ | 176,729 | $ | 187,073 | $ | 173,651 | $ | 182,404 | $ | 132,292 | ||||||||||||
Reinsurance recoveries | - | - | - | - | - | - | ||||||||||||||||||
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Net losses paid | 278,529 | 176,729 | 187,073 | 173,651 | 182,404 | 132,292 | ||||||||||||||||||
Change in: | ||||||||||||||||||||||||
Reported case reserves | 90,009 | 214,366 | 194,207 | 161,567 | 36,785 | 56,294 | ||||||||||||||||||
IBNR | (66,812 | ) | (42,207 | ) | 374,157 | (83,515 | ) | 54,589 | 12,349 | |||||||||||||||
Reinsurance recoveries on unpaid loss and loss expense reserves | (2,290 | ) | (2,148 | ) | (2,270 | ) | (1,169 | ) | (2,484 | ) | (1,054 | ) | ||||||||||||
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Total net incurred losses and loss expenses | $ | 299,436 | $ | 346,740 | $ | 753,167 | $ | 250,534 | $ | 271,294 | $ | 199,881 | ||||||||||||
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Gross reserve for losses and loss expenses | $ | 4,289,353 | $ | 4,376,345 | $ | 4,148,313 | $ | 3,520,373 | $ | 3,446,414 | $ | 3,007,648 | ||||||||||||
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Prior years net favorable reserve development | $ | 45,837 | $ | 24,796 | $ | 34,976 | $ | 46,673 | $ | 43,884 | $ | 66,698 | ||||||||||||
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Key Ratios | ||||||||||||||||||||||||
Net paid to net incurred percentage | 93.0% | 51.0% | 24.8% | 69.3% | 67.2% | 66.2% | ||||||||||||||||||
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Net paid losses / Net premiums earned | 59.3% | 36.8% | 40.6% | 40.5% | 41.6% | 31.0% | ||||||||||||||||||
Change in net loss and loss expense reserves / Net premiums earned | 4.5% | 35.4% | 122.9% | 17.9% | 20.2% | 15.8% | ||||||||||||||||||
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Net loss and loss expense ratio | 63.8% | 72.2% | 163.5% | 58.4% | 61.8% | 46.8% | ||||||||||||||||||
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20
IMPACT OF 2011 CATASTROPHE EVENTS
Australia[a] | New Zealand II | Japan | Q1 Events Total | New Zealand III | U.S. Weather[b] | Q2 Events Total | Hurricane Irene | Tropical Storm Lee | Danish Floods | Q3 Events Total | Total | |||||||||||||||||||||||||||||||||||||
Gross loss and loss expenses | ||||||||||||||||||||||||||||||||||||||||||||||||
Insurance | $ | 1,111 | $ | 33,135 | $ | 77,572 | $ | 111,818 | $ | - | $ | 39,452 | $ | 39,452 | $ | 20,000 | $ | 17,500 | $ | - | $ | 37,500 | $ | 188,770 | ||||||||||||||||||||||||
Reinsurance | 72,630 | 342,500 | 162,500 | 577,630 | 33,008 | 36,243 | 69,251 | 10,000 | - | 17,195 | 27,195 | 674,076 | ||||||||||||||||||||||||||||||||||||
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| |||||||||||||||||||||||||
Total | 73,741 | 375,635 | 240,072 | 689,448 | 33,008 | 75,695 | 108,703 | 30,000 | 17,500 | 17,195 | 64,695 | 862,846 | ||||||||||||||||||||||||||||||||||||
Net loss and loss expenses | ||||||||||||||||||||||||||||||||||||||||||||||||
Insurance | 1,111 | 20,000 | 25,000 | 46,111 | - | 39,452 | 39,452 | 20,000 | 17,500 | - | 37,500 | 123,063 | ||||||||||||||||||||||||||||||||||||
Reinsurance | 72,630 | 342,500 | 162,500 | 577,630 | 33,008 | 36,243 | 69,251 | 10,000 | - | 17,195 | 27,195 | 674,076 | ||||||||||||||||||||||||||||||||||||
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Total | 73,741 | 362,500 | 187,500 | 623,741 | 33,008 | 75,695 | 108,703 | 30,000 | 17,500 | 17,195 | 64,695 | 797,139 | ||||||||||||||||||||||||||||||||||||
Gross premiums earned[c] | ||||||||||||||||||||||||||||||||||||||||||||||||
Reinsurance | 885 | 3,376 | 4,098 | 8,359 | 660 | 1,843 | 2,503 | - | - | - | - | 10,862 | ||||||||||||||||||||||||||||||||||||
Ceded premiums expensed[d] | ||||||||||||||||||||||||||||||||||||||||||||||||
Insurance | - | 535 | 5,108 | 5,643 | - | - | - | - | - | - | - | 5,643 | ||||||||||||||||||||||||||||||||||||
Total impact before income tax | ||||||||||||||||||||||||||||||||||||||||||||||||
Insurance | 1,111 | 20,535 | 30,108 | 51,754 | - | 39,452 | 39,452 | 20,000 | 17,500 | - | 37,500 | 128,706 | ||||||||||||||||||||||||||||||||||||
Reinsurance | 71,745 | 339,124 | 158,402 | 569,271 | 32,348 | 34,400 | 66,748 | 10,000 | - | 17,195 | 27,195 | 663,214 | ||||||||||||||||||||||||||||||||||||
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Total | 72,856 | 359,659 | 188,510 | 621,025 | 32,348 | 73,852 | 106,200 | 30,000 | 17,500 | 17,195 | 64,695 | 791,920 | ||||||||||||||||||||||||||||||||||||
Income tax benefit | - | (543 | ) | (2,066 | ) | (2,609 | ) | - | (7,669 | ) | (7,669 | ) | (4,159 | ) | (2,416 | ) | - | (6,575 | ) | (16,853 | ) | |||||||||||||||||||||||||||
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Total impact after income tax | $ | 72,856 | $ | 359,116 | $ | 186,444 | $ | 618,416 | $ | 32,348 | $ | 66,183 | $ | 98,531 | $ | 25,841 | $ | 15,084 | $ | 17,195 | $ | 58,120 | $ | 775,067 | ||||||||||||||||||||||||
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[a] Includes January floods and Cyclone Yasi.
[b]Series of severe weather events in April and May, including tornadoes.
[c] The impact of the catastrophes on gross premiums earned relates to the accelerated recognition of unearned premiums on impacted contracts in our reinsurance segment, as well as the applicable earnings for reinstatement premiums covering the remaining risk period.
[d] The impact of the catastrophes on ceded premiums expensed relates to reinstatement premiums for reinsurance protection purchased for our insurance segment.
21
NET PROBABLE MAXIMUM LOSSES TO CERTAIN PEAK INDUSTRY CATASTROPHE EXPOSURES - AS OF
OCTOBER 1, 2011
Estimated Net Exposures (millions of U.S. dollars) | ||||||||||||||||
Territory | Peril | 50 Year Return Period | 100 Year Return | 250 Year Return | ||||||||||||
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Single zone, single event | ||||||||||||||||
Southeast | U.S. Hurricane | $ | 492 | $ | 722 | $ | 1,002 | |||||||||
Northeast | U.S. Hurricane | 97 | 322 | 678 | ||||||||||||
Mid-Atlantic | U.S. Hurricane | 185 | 549 | 1,107 | ||||||||||||
Gulf of Mexico | U.S. Hurricane | 355 | 476 | 777 | ||||||||||||
California | Earthquake | 441 | 668 | 1,069 | ||||||||||||
Europe | Windstorm | 326 | 437 | 631 | ||||||||||||
Japan | Earthquake | 183 | 282 | 548 | ||||||||||||
Japan | Windstorm | 75 | 123 | 142 |
The above table shows our Probable Maximum Loss (“PML”) to a single natural peril catastrophe event within certain defined single zones which correspond to peak industry catastrophe exposures at October 1, 2011. The return period refers to the frequency with which losses of a given amount or greater are expected to occur. A zone is a geographic area in which the insurance risks are considered to be correlated to a single catastrophic event. Estimated losses from a modeled event are grouped into a single zone, as shown above, based on where the majority of the total estimated industry loss is expected to occur.
As indicated in the table above, our modeled single occurrence 1-in-100 year return period PML for a Southeast hurricane, net of reinsurance, is approximately $0.7 billion. According to our modeling, there is a one percent chance that on an annual basis, our losses incurred from a Southeast hurricane event could be in excess of $0.7 billion. Conversely, there is a 99% chance that on an annual basis, the loss from a Southeast hurricane will fall below $0.7 billion.
We have developed our PML estimates using multiple commercially available catastrophe vendor models, including AIR and RMS[a] . We weight the use of these vendor models based upon our own judgment and experience, and include in our estimates non-modeled perils and other factors which we believe provide us with a more complete view of catastrophe risk.
A supplementary disclosure entitled “Overview of AXIS Natural Peril Catastrophe Risk Measurement and Management” is available in the Investor Information section of our website. This disclosure provides an overview of our PML methodology, including our approach to zonal aggregation, as well as information about zonal definitions commonly used by other external parties.
Our PML estimates are based on assumptions 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. We aim to reduce the potential for model error in a number of ways, foremost by ensuring that management’s judgment supplements the model outputs. We also perform ongoing model validation both within our business units and through our catastrophe model validation unit. These validation procedures include sensitivity testing of models to understand their key variables and, where possible, back testing the model outputs to actual results.
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, changes to our reinsurance purchasing strategy and changes in foreign exchange rates.
[a] The PML estimates above incorporate the output of the latest vendor models, including RMS v11.
22
EARNINGS PER COMMON SHARE INFORMATION - AS REPORTED, GAAP
Quarter ended September 30, | Nine months ended September 30, | |||||||||||||||
2011 | 2010 | 2011 | 2010 | |||||||||||||
Net income (loss) available to common shareholders | $ | 212,058 | $ | 238,842 | $ | (70,634 | ) | $ | 555,505 | |||||||
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WEIGHTED AVERAGE COMMON SHARES OUTSTANDING: | ||||||||||||||||
Weighted average basic shares outstanding | 125,971 | 120,091 | 121,197 | 123,320 | ||||||||||||
Dilutive share equivalents: | ||||||||||||||||
Warrants[a] | 1,108 | 12,012 | - | 11,851 | ||||||||||||
Stock compensation plans[a] | 923 | 2,303 | - | 2,211 | ||||||||||||
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Weighted average diluted shares outstanding | 128,002 | 134,406 | 121,197 | 137,382 | ||||||||||||
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EARNINGS (LOSS) PER COMMON SHARE | ||||||||||||||||
Basic | $1.68 | $1.99 | ($0.58) | $4.50 | ||||||||||||
Diluted | $1.66 | $1.78 | ($0.58) | $4.04 |
[a] Due to the net loss incurred in the nine months ended September 30, 2011, these securities were not included in the computation of diluted earnings per share, because of their anti-dilutive effect.
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EARNINGS PER COMMON SHARE INFORMATION AND COMMON SHARE ROLLFOWARD - QUARTERLY
Q3 2011 | Q2 2011 | Q1 2011 | Q4 2010 | Q3 2010 | Q3 2009 | |||||||||||||||||||
Net income (loss) available to common shareholders | $ | 212,058 | $ | 101,068 | $ | (383,760 | ) | $ | 264,343 | $ | 238,842 | $ | (95,892 | ) | ||||||||||
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COMMON SHARES OUTSTANDING | ||||||||||||||||||||||||
Common shares - at beginning of period | 125,811 | 113,902 | 112,393 | 119,958 | 120,254 | 137,710 | ||||||||||||||||||
Shares issued[a] | 362 | 11,917 | 1,908 | 215 | 148 | 129 | ||||||||||||||||||
Shares repurchased for treasury | (32 | ) | (8 | ) | (399 | ) | (7,780 | ) | (444 | ) | (4 | ) | ||||||||||||
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Common shares - at end of period | 126,141 | 125,811 | 113,902 | 112,393 | 119,958 | 137,835 | ||||||||||||||||||
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WEIGHTED AVERAGE COMMON SHARES OUTSTANDING | ||||||||||||||||||||||||
Weighted average basic shares outstanding | 125,971 | 124,132 | 113,351 | 117,101 | 120,091 | 137,904 | ||||||||||||||||||
Dilutive share equivalents: | ||||||||||||||||||||||||
Warrants[a], [b] | 1,108 | 2,915 | - | 12,873 | 12,012 | - | ||||||||||||||||||
Stock compensation plans[b] | 923 | 1,322 | - | 2,825 | 2,303 | - | ||||||||||||||||||
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Weighted average diluted shares outstanding | 128,002 | 128,369 | 113,351 | 132,799 | 134,406 | 137,904 | ||||||||||||||||||
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EARNINGS (LOSS) PER COMMON SHARE | ||||||||||||||||||||||||
Basic | $1.68 | $0.81 | ($3.39) | $2.26 | $1.99 | ($0.70) | ||||||||||||||||||
Diluted | $1.66 | $0.79 | ($3.39) | $1.99 | $1.78 | ($0.70) |
[a] The cashless exercise of 18,103 warrants resulted in the issuance of 11,853 shares during the three months ended June 30, 2011.
[b] Due to the net loss incurred in the three months ended March 31, 2011 and September 30, 2009, these securities were not included in the computation of diluted earnings per share, because of their anti-dilutive effect.
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DILUTED BOOK VALUE PER COMMON SHARE ANALYSIS -TREASURY STOCK METHOD[a]
At September 30, 2011 | ||||||||||||||||
Weighted Average Strike Price | Common Shareholders’ Equity | Outstanding Common Shares net of Treasury Shares | Per share | |||||||||||||
Closing stock price | $25.94 | |||||||||||||||
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Book value per common share | $ | 4,857,105 | 126,141 | $38.51 | ||||||||||||
Dilutive securities: | ||||||||||||||||
Warrants | $10.36 | - | 1,036 | (0.32 | ) | |||||||||||
Restricted stocks | - | 3,404 | (1.00 | ) | ||||||||||||
Options | $24.67 | - | 82 | (0.02 | ) | |||||||||||
Restricted and phantom stock units | - | 404 | (0.11 | ) | ||||||||||||
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Diluted book value per common share | $ | 4,857,105 | 131,067 | $37.06 | ||||||||||||
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At December 31, 2010 | ||||||||||||||||
Weighted Average Strike Price | Common Shareholders’ Equity | Outstanding Common Shares net of Treasury Shares | Per share | |||||||||||||
Closing stock price | $35.88 | |||||||||||||||
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Book value per common share | $ | 5,124,970 | 112,393 | $45.60 | ||||||||||||
Dilutive securities: | ||||||||||||||||
Warrants | $12.31 | - | 12,999 | (4.73 | ) | |||||||||||
Restricted stocks | - | 3,592 | (1.13 | ) | ||||||||||||
Options | $22.26 | - | 880 | (0.28 | ) | |||||||||||
Restricted and phantom stock units | - | 325 | (0.09 | ) | ||||||||||||
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Diluted book value per common share | $ | 5,124,970 | 130,189 | $39.37 | ||||||||||||
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[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 stocks and units and unrestricted phantom stock units are also added to determine the diluted common shares outstanding.
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NON-GAAP FINANCIAL MEASURE RECONCILIATION
Quarter ended September 30, | Nine months ended September 30, | |||||||||||||||
2011 | 2010 | 2011 | 2010 | |||||||||||||
Net income (loss) available to common shareholders | $ | 212,058 | $ | 238,842 | $ | (70,634 | ) | $ | 555,505 | |||||||
Adjustment for net realized investment gains | (57,557 | ) | (76,531 | ) | (125,177 | ) | (117,325 | ) | ||||||||
Adjustment for associated tax impact | 947 | 1,240 | 1,843 | 1,201 | ||||||||||||
Adjustment for foreign exchange losses (gains) | (60,830 | ) | 24,961 | (27,254 | ) | (10,415 | ) | |||||||||
Adjustment for associated tax impact | 109 | 541 | 142 | (81 | ) | |||||||||||
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Operating income (loss) | $ | 94,727 | $ | 189,053 | $ | (221,080 | ) | $ | 428,885 | |||||||
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Net income (loss) per share - diluted | $ | 1.66 | $ | 1.78 | $ | (0.58 | ) | $ | 4.04 | |||||||
Adjustment for net realized investment gains | (0.45 | ) | (0.57 | ) | (1.03 | ) | (0.85 | ) | ||||||||
Adjustment for associated tax impact | 0.01 | 0.01 | 0.01 | 0.01 | ||||||||||||
Adjustment for foreign exchange losses (gains) | (0.48 | ) | 0.19 | (0.22 | ) | (0.08 | ) | |||||||||
Adjustment for associated tax impact | - | - | - | - | ||||||||||||
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Operating income (loss) | $ | 0.74 | $ | 1.41 | $ | (1.82 | ) | $ | 3.12 | |||||||
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Weighted average common shares and common share equivalents - diluted | 128,002 | 134,406 | 121,197 | 137,382 | ||||||||||||
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26