Axis Capital Holdings Limited · NYSE:AXS
Axis Capital — Earnings Presentation (February 2009)
16 slides from Axis Capital's earnings presentation, Feb 10, 2009
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, 2008
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, 2008) Total Cash and Investments: $10.4 Billion Total Portfolio Allocation Total Portfolio Ratings Allocation A ABS US Govt / Agency 4% 10% 13% US Govt, Agency, AA Cash Equivalents and Agency 5% State & Municipal 17% 4% Backed 36% Other Investments 4% N
Slide 4: Investment Grade Fixed Income: CMBS
Investment Grade Fixed Income: CMBS (As of December 31, 2008) Total CMBS: $751 Million (7% of total portfolio) Rating by Vintage ($ in millions) Rating by Vintage (%) $220 100% $200 $180 $160 $140 75% $120 $100 $80 50% $60 $40 $20 $ 25% Pre 2000 2001 2002 2003 2004 2005 2006 2007 2008 2000 AAA AA A
Slide 5: CMBS: Detail
CMBS: Detail (As of December 31, 2008) 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 Loss Fair Value Office $303 $(57) $246 <2 $234 $(15) $219 Retail 283 (51) 232 2.1
Slide 6: Investment Grade Fixed Income: RMBS
Investment Grade Fixed Income: RMBS (As of December 31, 2008) Total Agency and Non-Agency RMBS: $2.7 Billion (26% of total portfolio) Agency RMBS 87% • Agency RMBS are primarily pass-through securities issued Non- Agency by the Federal Home Loan RMBS Mortgage Corporation, Federal 13% National Mortga
Slide 7: Non-Agency RMBS: Detail
Non-Agency RMBS: Detail (As of December 31, 2008) Rating by Vintage ($ in millions) Rating by Vintage (%) Fair Value ($ in millions) Vintage AAA AA A BBB and lower Total Key Characteristics 2007 $36 $- $- $1 $37 • 96.7% AAA 2006 43 1 2 1 47 • 174 securities 2005 116 - - - 116 • Weighted average life
Slide 8: Non-Agency RMBS: Detail (Continued)
Non-Agency RMBS: Detail (Continued) (As of December 31, 2008) Maturity Detail ($ in millions) Amortized Net Unrealized Years to Maturity Cost Loss Fair Value <2 $79 $(10) $69 2.1 – 3 27 (8) 20 3.1 – 4 99 (22) 78 4.1 – 5 86 (17) 69 5.1 – 7 85 (23) 62 7.1 – 10 47 (8) 39 10 30 (8) 22 Total $454 $(95) $
Slide 9: Investment Grade Fixed Income: Corporate Debt
Investment Grade Fixed Income: Corporate Debt (As of December 31, 2008) Total Corporate Debt: $2.1 Billion (20% of total portfolio) Financials Non- 50% Financials 36% Medium- Term Notes * 14% Average corporate debt rating of A Weighted average life of 4.5 years Duration of 3.1 Book Yield is 5.75% *M
Slide 10: Investment Grade Corporate Debt: Financials
Investment Grade Corporate Debt: Financials (As of December 31, 2008) Financials by Subsector: $1.1 Billion (11% of total portfolio) Govt Guaranteed Insurance 2% 1% Included in Financials are $98 million of Foreign Banks FDIC guaranteed bonds 22% Banking 34% The largest direct issuer exposure is 1.0
Slide 11: Investment Grade Corporate Debt: Non-Financials
Investment Grade Corporate Debt: Non-Financials (As of December 31, 2008) % of Net Amortized Amortized Unrealized Fair Non-Financial Corporates By Subsector: $754 Million $ in millions Cost Cost Gain/(Loss) Value (7% of total portfolio) Communications $171 22% $(5) $166 Transportation Consumer cycli
Slide 12: Investment Grade Corporate Debt: Medium-Term Notes
Investment Grade Corporate Debt: Medium-Term Notes (As of December 31, 2008) Net % of Amortized Unrealized Fair Total $ in millions Cost Loss Value Portfolio Medium-Term Notes $618 $(331) $287 2.8% Fair Value by Country Fair Value by Rating Fair Value by Sector Australia Italy Spain 4% 4% ABS 5% UK
Slide 13: Investment Grade Fixed Income: ABS
Investment Grade Fixed Income: ABS (As of December 31, 2008) % of Net ABS by Subsector: $381 Million Amortized Amortized Unrealized Fair (4% of total portfolio) $ in millions Cost Cost Loss Value Auto ABS $122 28% $(5) $117 Other ABS CLO –debt 20% tranches 53 12% (18) 35 Auto ABS 30% CDO 15 3% (4) 1
Slide 14: ABS: Detail
ABS: Detail (As of December 31, 2008) Maturity Detail – All ABS ($ in millions) % of Net Amortized Amortized Unrealized Years to Maturity Cost Cost Loss Fair Value <2 $206 47% $(12) $194 2.1 – 3 35 8% (4) 31 3.1 – 4 46 11% (8) 39 4.1 – 5 41 10% (11) 30 5.1 – 7 20 5% (5) 14 7.1 – 10 75 17% (10) 65 >1
Slide 15: Other Investments Overview
Other Investments Overview (As of December 31, 2008) Total Other Investments: $492 million (4% of total portfolio) CLO - equity tranches 20% Hedge funds 51% Credit funds 21% Short duration high yield fund 8% 15
Slide 16: Net Unrealized Gain / (Loss) Summary
Net Unrealized Gain / (Loss) Summary (As of December 31, 2008) $ in millions Amortized Cost Net Unrealized Loss Fair Value Fixed maturities $8,672 $(659) $8,013 Equities 164 (57) 107 Total $8,836 $(716) $8,120 Dec 2007 Jun 2008 Sep 2008 Dec 2008 100 $26 $38 $16 $8 $70 $30 $11 0 $6 -$25 -$21 -$27 -$5
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