Exhibit 99.1
| Validus Holdings, Ltd. | ||
| Bermuda Commercial Bank Building | ||
| 19 Par-la-Ville Road | ||
| Hamilton, HM 11 | ||
| Bermuda | ||
| November 5, 2009 | Mailing Address: | |
| Suite 1790 | ||
| 48 Par-la-Ville Road | ||
| Hamilton, HM 11 | ||
| Bermuda | ||
| Telephone: (441) 278-9000 | ||
| Facsimile: (441) 278-9090 | ||
| Website: www.validusre.bm |
ADDITIONAL DISCLOSURE ON THE VALIDUS HOLDINGS, LTD. (“VALIDUS”)
CONSOLIDATED INVESTMENT PORTFOLIO (THE “PORTFOLIO”)
CONSOLIDATED INVESTMENT PORTFOLIO (THE “PORTFOLIO”)
As of September 30, 2009, the Portfolio had a fair market value of $5,707.5 million. Validus is providing the following additional disclosure on the composition of its Portfolio in response to the continued volatility in the global credit markets.
Validus Mortgage-Backed And Asset-Backed Securities Portfolio
| Market Values (in USD MM) as of September 30, 2009 | ||||||||||||||||||||||||||||||||||||
| RATING | ||||||||||||||||||||||||||||||||||||
| Gov't | AAA | AA | A | BBB | BB | B | Other | Total | ||||||||||||||||||||||||||||
Mortgage-Backed Securities | ||||||||||||||||||||||||||||||||||||
| Residential Mortgage-Backed GNMA | 129.4 | — | — | — | — | — | — | — | 129.4 | |||||||||||||||||||||||||||
| FNMA | 319.4 | — | — | — | — | — | — | — | 319.4 | |||||||||||||||||||||||||||
| Freddie Mac | 197.0 | — | — | — | — | — | — | — | 197.0 | |||||||||||||||||||||||||||
| Total Agency RMBS | 645.8 | — | — | — | — | — | 645.8 | |||||||||||||||||||||||||||||
| Non-Agency RMBS | — | 18.2 | 13.2 | 19.1 | 17.1 | 6.7 | 37.6 | 51.0 | 162.9 | |||||||||||||||||||||||||||
| Total Residential Mortgage-Backed | 645.8 | 18.2 | 13.2 | 19.1 | 17.1 | 6.7 | 37.6 | 51.0 | 808.7 | |||||||||||||||||||||||||||
| Commercial Mortgage-Backed | — | 53.2 | — | — | — | — | — | — | 53.2 | |||||||||||||||||||||||||||
Total Mortgage-Backed Securities | 645.8 | 71.4 | 13.2 | 19.1 | 17.1 | 6.7 | 37.6 | 51.0 | 861.9 | |||||||||||||||||||||||||||
Asset-Backed Securities | ||||||||||||||||||||||||||||||||||||
| Sub Prime | — | 2.7 | — | 1.0 | — | — | — | — | 3.7 | |||||||||||||||||||||||||||
| Credit Cards | — | 2.4 | — | — | — | — | — | — | 2.4 | |||||||||||||||||||||||||||
| Autos | — | 37.2 | 0.7 | — | — | — | — | — | 37.9 | |||||||||||||||||||||||||||
| Student Loan | — | 3.8 | — | — | — | — | — | — | 3.8 | |||||||||||||||||||||||||||
| Stranded Cost & UK ABS | — | 4.6 | — | — | — | — | — | — | 4.6 | |||||||||||||||||||||||||||
Total Asset-Backed Securities | — | 50.7 | 0.7 | 1.0 | — | — | — | — | 52.4 | |||||||||||||||||||||||||||
Total Asset-Backed and Mortgage- Backed Securities | 914.3 | |||||||||||||||||||||||||||||||||||
Note:Lower of Moody’s or Standard & Poor’s rating, presented in Standard & Poor’s equivalent rating.
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Residential Mortgage Backed Securities (“RMBS”) (14.2% of total cash and investments*)
GSE (Government Sponsored Enterprise) RMBS (11.3%)
The Portfolio contains $645.8 million in GSE residential mortgage-backed securities.
The Portfolio contains $645.8 million in GSE residential mortgage-backed securities.
Validus’ GSE RMBS allocation has a weighted-average effective duration of 1.8 years; a weighted-average life of 3.1 years; a fair market price of 104.93 and corresponding yield of 2.8%; a book yield of 4.5% and an unrealized gain of approximately $16.1 million.
Non-Agency RMBS — Prime (1.3%)
The Portfolio’s $72.4 million prime non-Agency RMBS allocation includes $14.1 million of AAA rated securities. All of these securities were originally rated AAA at the time of purchase. 55.8% of Validus’ prime non-Agency allocation consists of securities whose loans were originated in 2005 and prior; 13.0% of the prime RMBS allocation was issued in 2006. The allocation has a weighted average current credit enhancement of 8.4%, which will increase as the securities pay down. The allocation has a weighted-average FICO score of 738 and a loan-to-value ratio of 67.3%.
Validus’ overall prime non-agency allocation has a weighted-average effective duration of 3.0 years; a weighted-average life of 4.1 years; a fair market price of 84.00 and corresponding yield of 9.72%; an equivalent weighted-average book yield of 5.5%; and an unrealized loss of approximately $13.5 million.
The following table shows fair market values by vintage year and rating:
Fair Market Values (in USD MM) of Prime non-Agency RMBS by Vintage Year & Rating
| Vintage | AAA | AA | A | BBB | BB and below | Total | ||||||||||||||||||
| 2007 | — | — | 4.7 | 11.6 | 6.3 | 22.6 | ||||||||||||||||||
| 2006 | — | — | — | 0.8 | 8.6 | 9.4 | ||||||||||||||||||
| 2005 | 9.2 | 8.0 | 7.0 | 0.7 | 5.3 | 30.2 | ||||||||||||||||||
| 2004 and prior | 4.9 | 0.5 | 4.2 | 0.6 | — | 10.2 | ||||||||||||||||||
Total | 14.1 | 8.5 | 15.9 | 13.7 | 20.2 | 72.4 | ||||||||||||||||||
Note: Lower of Moody’s or Standard & Poor’s rating, presented in Standard & Poor’s equivalent rating.
Non-Agency RMBS — Alt-A (1.6%)
4.4% of the Portfolio’s $90.5 million Alt-A non-Agency RMBS allocation consists of AAA rated securities. All of these securities were originally rated AAA at the time of purchase. 49.6% of Validus’ Alt-A non-Agency allocation consists of securities whose loans were originated in 2006 and prior. The allocation has a weighted average current credit enhancement of 24.2%, which will increase as the securities pay down. The allocation has a weighted-average FICO score of 711 and a loan-to-value ratio of 78.4%.
Validus’ overall Alt-A non-agency allocation has a weighted-average effective duration of 2.9 years; a weighted-average life of 4.6 years; a fair market price of 80.89 and corresponding yield of 4.6%; an equivalent weighted-average book yield of 3.3%; and an unrealized loss of approximately $22.1 million.
The Company determined that markets for certain of its non-agency RMBS (“identified non-agency RMBS securities”), primarily Alt-A, were illiquid at September 30, 2009. As a result, the identified non-agency RMBS securities were deemed to be Level 3 securities as defined by Financial Accounting Standard 157 (“FAS 157”). The Company applied the guidance in FSP FAS 157-4 to determine the fair market value of the identified non-agency RMBS securities using a discounted cash flow model.
*Total cash and investments at 9/30/09 (MMs) = $5,707.5
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The following table shows fair market values by vintage year and rating:
Fair Market Values (in USD MM) of Alt-A non-Agency RMBS by Vintage Year & Rating
| Vintage | AAA | AA | A | BBB | BB and below | Total | ||||||||||||||||||
| 2007 | — | 3.6 | — | — | 42.0 | 45.6 | ||||||||||||||||||
| 2006 | — | — | — | — | 19.9 | 19.9 | ||||||||||||||||||
| 2005 | 4.0 | — | 1.6 | 3.4 | 13.4 | 22.4 | ||||||||||||||||||
| 2004 and prior | — | 1.1 | 1.5 | — | — | 2.6 | ||||||||||||||||||
Total | 4.0 | 4.7 | 3.1 | 3.4 | 75.3 | 90.5 | ||||||||||||||||||
Note: Lower of Moody’s or Standard & Poor’s rating, presented in Standard & Poor’s equivalent rating.
ABS (0.9% of total cash and investments *)
Auto & Credit Card ABS — Non Sub-Prime (0.9%)
The Portfolio’s $48.7 million allocation to ABS includes $48.0 million of AAA rated securities. The ABS portfolio excluding Sub-Prime consists of auto, credit card, stranded cost and UK ABS. 56.9% of Validus’ auto- and credit card-backed allocation consists of securities whose loans were originated in 2006 and prior.
Validus’ ABS allocation, excluding Sub-Prime, has a weighted-average effective duration of 0.3 years; a weighted-average life of 1.3 years; a fair market price of 100.64 and corresponding yield of 1.6%; a book yield of 4.7% and an unrealized gain of approximately $0.7 million.
Home Equity ABS — Sub-Prime (0.1%)
The Portfolio’s $3.7 million sub-prime home equity ABS allocation includes $2.7 million of AAA rated securities. 70.3% of Validus’ sub-prime allocation consists of securities issued in 2006 and prior. The allocation has a weighted-average current credit enhancement of 41.0%. The credit enhancement will continue to increase as the securities pay down. The securities have a weighted-average FICO score of 617 and a loan-to-value ratio of 78.6%.
Validus’ overall home equity ABS allocation has a weighted-average effective duration of 1.4 years; a weighted-average life of 1.6 years; a fair market price of 89.23 and corresponding yield of 13.55%; a book yield of 0.5%; and an unrealized loss of approximately $0.5 million.
The following table shows fair market values by vintage year and rating:
Fair Market Values (in USD MM) of Sub prime HEL ABS by Vintage Year & Rating
| Vintage | AAA | AA | A | BBB | BB and below | Total | ||||||||||||||||||
| 2007 | 1.1 | — | — | — | — | 1.1 | ||||||||||||||||||
| 2006 | 1.0 | — | 1.0 | — | — | 2.0 | ||||||||||||||||||
| 2005 | — | — | — | — | — | — | ||||||||||||||||||
| 2004 and prior | 0.6 | — | — | — | — | 0.6 | ||||||||||||||||||
Total | 2.7 | — | 1.0 | — | — | 3.7 | ||||||||||||||||||
Note: Lower of Moody’s or Standard & Poor’s rating, presented in Standard & Poor’s equivalent rating.
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CMBS (0.9% of total cash and investments *)
The Portfolio’s $53.2 million CMBS allocation consists entirely of AAA rated securities. The Portfolio is well-diversified with seasoned deals that have collateral with transparent histories. 86.7% of Validus’
*Total cash and investments at 9/30/09 (MMs) = $5,707.5
CMBS allocation consists of securities issued in 2004 and prior. The allocation has a weighted average current credit enhancement of 31.9% and defeasance adjusted credit enhancement of 46.4%, both of which will increase as the securities pay down. The average loan-to-value ratio is 70.2% and the debt service coverage ratio in excess of 1.49.
Validus’ overall CMBS allocation has a weighted-average effective duration of 0.9 years; a weighted-average life of 1.0 years; a fair market price of 102.35 and corresponding yield of 3.1%; a book yield of 5.2%; and an unrealized gain of approximately $1.0 million.
The following table shows fair market values by vintage year and rating:
Fair Market Values (in USD MM) of CMBS by Vintage Year & Rating
| Vintage | AAA | AA | A | BBB | BB and below | Total | ||||||||||||||||||
| 2007 | 7.1 | — | — | — | — | 7.1 | ||||||||||||||||||
| 2006 | — | — | — | — | — | — | ||||||||||||||||||
| 2005 | — | — | — | — | — | — | ||||||||||||||||||
| 2004 and prior | 46.2 | — | — | — | — | 46.2 | ||||||||||||||||||
Total | 53.3 | — | — | — | — | 53.3 | ||||||||||||||||||
Note: Lower of Moody’s or Standard & Poor’s rating, presented in Standard & Poor’s equivalent rating.
*Total cash and investments at 9/30/09 (MMs) = $5,707.5
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As of September 30, 2009, the Portfolio’s allocation to Corporate and Financial issuers was $1,997.8 million and $724.4 million, respectively. The following table presents the ten largest Corporate and ten largest Financial issuers as of September 30, 2009:
| Corporate Issuers | ||||||||
| % of Total | ||||||||
| Fair Value | Cash and | |||||||
| ISSUER | ($MM) | Investments | ||||||
| GENERAL ELECTRIC | $ | 97.4 | 1.7 | % | ||||
| WELLS FARGO | 93.0 | 1.6 | % | |||||
| JP MORGAN CHASE & CO | 72.6 | 1.3 | % | |||||
| BANK OF AMERICA | 57.9 | 1.0 | % | |||||
| VERIZON | 50.5 | 0.9 | % | |||||
| CREDIT SUISSE | 50.4 | 0.9 | % | |||||
| BP PLC | 44.8 | 0.8 | % | |||||
| LLOYDS BANKING GROUP PLC | 43.5 | 0.8 | % | |||||
| MORGAN STANLEY | 40.5 | 0.7 | % | |||||
| AT&T | 38.1 | 0.7 | % | |||||
Sub-total | $ | 588.7 | 10.4 | % | ||||
| Financial Issuers | ||||||||
| % of Total | ||||||||
| Fair Value | Cash and | |||||||
| ISSUER | ($MM) | Investments | ||||||
| GENERAL ELECTRIC | $ | 97.4 | 1.7 | % | ||||
| WELLS FARGO | 93.0 | 1.6 | % | |||||
| JP MORGAN CHASE & CO | 72.6 | 1.3 | % | |||||
| BANK OF AMERICA | 57.9 | 1.0 | % | |||||
| CREDIT SUISSE | 50.4 | 0.9 | % | |||||
| LLOYDS BANKING GROUP PLC | 43.5 | 0.8 | % | |||||
| MORGAN STANLEY | 40.5 | 0.7 | % | |||||
| GOLDMAN SACHS | 30.0 | 0.5 | % | |||||
| HSBC HOLDINGS | 29.3 | 0.5 | % | |||||
| RABOBANK NEDERLAND | 25.2 | 0.4 | % | |||||
Sub-total | $ | 539.8 | 9.4 | % | ||||
| 1 Issuers exclude government-backed, government-sponsored enterprises and cash and cash equivalents. | ||
| 2 Credit exposures represent only direct exposure to fixed maturities and short-term investments of the parent issuer and its major subsidiaries. These exposures exclude asset and mortgage backed securities that were issued, sponsored or serviced by the parent. |
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