Axis Capital Holdings Limited · NYSE:AXS
Axis Capital — Earnings Presentation (February 2010)
18 slides from Axis Capital's earnings presentation, Feb 9, 2010
Slide 1: AXIS Capital Holdings Limited Investment Portfolio Supplemental Information and Data
Exhibit 99.3 AXIS Capital Holdings Limited Investment Portfolio Supplemental Information and Data December 31, 2009
Slide 2: Cautionary Note on Forward Looking Statements
Cautionary Note on Forward Looking Statements Statements in this presentation that are not historical facts, including statements regarding our estimates, beliefs, expectations, intentions, strategies or projections, may be “forward-looking statements” within the meaning of the U.S. federal securiti
Slide 3: Total Cash and Investments
Total Cash and Investments (As of December 31, 2009) Total Cash and Investments: $11.6 Billion Total Portfolio Allocation Total Portfolio Ratings Allocation AAA Corporates 22% 31% AA 8% Agency MBS Foreign Govt Agency 13% 6% Non Agency CMBS 6% A US 16% Govt/Agency/Cash Cash & Cash Non Agency RMBS & C
Slide 4: Non-Agency CMBS: Detail
Non-Agency CMBS: Detail (As of December 31, 2009) Total Non Agency CMBS: $653 Million (6% of total portfolio) Rating by Vintage ($ in millions) Rating by Vintage (%) $160 100% $140 80% $120 $100 60% $80 40% $60 $40 20% $20 $- 0% Pre 2002 2003 2004 2005 2006 2007 2008 Pre 2002 2003 2004 2005 2006 200
Slide 5: Non-Agency CMBS: Detail (Continued)
Non-Agency CMBS: Detail (Continued) (As of December 31, 2009) Collateral Property Type ($ in millions) Maturity Detail ($ in millions) Amortized Net Unrealized Amortized Net Unrealized Asset Class Cost Loss Fair Value Years to Maturity Cost Gain/(Loss) Fair Value Office $218 $(7) $211 <2 $127 $2 $12
Slide 6: Investment Grade Fixed Income: RMBS
Investment Grade Fixed Income: RMBS (As of December 31, 2009) Total Agency and Non-Agency RMBS: $1.8 Billion (15% of total portfolio) Agency RMBS 87% Non-Agency Key Characteristics – Agency RMBS RMBS 13% • Primarily pass-through securities issued by the Federal Home Loan Mortgage Corporation, Federa
Slide 7: Non-Agency RMBS: Detail
Non-Agency RMBS: Detail (As of December 31, 2009) Rating by Vintage ($ in millions) Rating by Vintage (%) $80 100% $70 80% $60 $50 60% $40 40% $30 $20 20% $10 0% $- Pre 2002 2003 2004 2005 2006 2007 2009 Pre 2002 2003 2004 2005 2006 2007 2009 2001 2001 AAA AA A BBB Below BBB AAA AA A BBB Below BBB F
Slide 8: Non-Agency RMBS: Detail (Continued)
Non-Agency RMBS: Detail (Continued) (As of December 31, 2009) Maturity Detail ($ in millions) Amortized Years to Maturity Cost Net Unrealized Loss Fair Value <2 $46 $(4) $42 2.1 – 3 49 (3) 46 3.1 – 4 38 (5) 33 4.1 – 5 21 (4) 17 5.1 – 7 82 (13) 69 7.1 – 10 12 (3) 9 >10 10 (3) 7 Total $258 $(35) $223
Slide 9: Investment Grade Fixed Income: Corporate Debt
Investment Grade Fixed Income: Corporate Debt (As of December 31, 2009) Total Corporate Debt: $3.6 Billion (31% of total portfolio) Direct Non Financials Direct Financials 37% 53% Medium Term Notes* 10% • Average corporate debt rating A • Weighted average life of 4.49 years • Duration of 3.16 • Book
Slide 10: Investment Grade Corporate Debt: Financials
Investment Grade Corporate Debt: Financials (As of December 31, 2009) Financials by Subsector: $1.9 Billion (17% of total portfolio) Amortized Net Unrealized Fair Non US Govt Cost Gain/(Loss) Value Guaranteed Foreign Banks Insurance 8% US Banking $569 $11 $580 23% 1% Brokerage 215 11 226 Commercial
Slide 11: Corporate Debt - Financials: Detail
Corporate Debt - Financials: Detail (As of December 31, 2009) Top 10 Direct Financial Holdings ($ in millions) Financials by Rating ($ in millions) Net Amortized Unrealized Amortized Net Unrealized Cost Gain Fair Value Cost Gain/(Loss) Fair Value Bank of America $184 $4 $188 AAA $561 $2 $563 JP Morg
Slide 12: Investment Grade Corporate Debt: Non-Financials
Investment Grade Corporate Debt: Non-Financials (As of December 31, 2009) Non-Financials By Subsector: $1.3 Billion (11% of total portfolio) Subsector Detail ($ in millions) Amortized Net Unrealized Fair Cost Gain Value Industrial Natural gas Energy Communications $348 $16 $364 Electric 10% 4% Other
Slide 13: Corporate Debt - Non-Financials: Detail
Corporate Debt - Non-Financials: Detail (As of December 31, 2009) Top 10 Direct Non-Financial Holdings ($ in millions) Non Financials by Rating ($ in millions) Net Unrealized Net Unrealized Amortized Cost Gain/(Loss) Fair Value Amortized Cost Gain Fair Value Verizon Communications $116 $7 $123 AAA $
Slide 14: Investment Grade Corporate Debt: Medium-Term Notes
Investment Grade Corporate Debt: Medium-Term Notes (As of December 31, 2009) Medium-Term Notes ($ in millions) Amortized Net Unrealized Fair % of Total Cost Gain Value Portfolio Medium-Term Notes $334 $18 $352 3.0 Fair Value by Region Fair Value by Rating Fair Value by Sector Financials ABS A 10% 24
Slide 15: Investment Grade Fixed Income: ABS
Investment Grade Fixed Income: ABS (As of December 31, 2009) ABS by Subsector: $443 Million (4% of total portfolio) Subsector Detail ($ in millions) Net Unrealized Other ABS Amortized Cost Gain/(Loss) Fair Value 20% Auto ABS $204 $3 $207 Equipment Auto ABS CLO – debt tranches 57 (15) 42 6% 46% CDO 6
Slide 16: ABS: Detail
ABS: Detail (As of December 31, 2009) Maturity Detail ($ in millions) Rating Detail ($ in millions) Net Unrealized Fair Net Unrealized Fair Years to Maturity Amortized Cost Gain/(Loss) Value Amortized Cost Gain/(Loss) Value <2 $264 $2 $266 AAA $390 $5 $395 2.1 – 3 27 - 27 3.1 – 4 44 (4) 40 AA - - -
Slide 17: Other Investments Overview
Other Investments Overview (As of December 31, 2009) Total Other Investments: $570 million (5% of total portfolio) Total Other Investments Hedge Funds Fund of Short duration Funds high yield 73% fund Hedge Funds 9% 61% Credit funds 19% Single Managers CLO - equity 27% tranches 11% Key Characteristic
Slide 18: Net Unrealized Gain / (Loss) Summary
Net Unrealized Gain / (Loss) Summary As of December 31, 2009) Invested Assets ($ in millions) Amortized Cost Net Unrealized Gain Fair Value Fixed maturities $9,628 $90 $9,718 Equities 195 9 204 Short-term investments 129 - 129 Total $9,952 $99 $10,051 $150 14 27 83 98 79 17 (31) (16) 41 19 $- (21) $
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