AXIS Capital Holdings

Limited

Investment Portfolio

Supplemental Information and Data

March 31, 2010

Exhibit 99.3

Cautionary Note on Forward Looking Statements

Statements

in

this

presentation

that

are

not

historical

facts,

including

statements

regarding

our

estimates,

beliefs,

expectations,

intentions,      

strategies

or

projections,

may

be

“forward-looking

statements”

within

the

meaning

of

the

U.S.

federal

securities

laws,

including

the

Private

Securities

Litigation

Reform

Act

of

1995.

We

intend

these

forward-looking

statements

to

be

covered

by

the

safe

harbor

provisions

for

forward-looking

statements

in

the

United

States

securities

laws.

In

some

cases,

these

statements

can

be

identified

by

the

use

of

forward-

looking

words

such

as

“may,”

“should,”

“could,”

“anticipate,”

“estimate,”

“expect,”

“plan,”

“believe,”

“predict,”

“potential,”

“intend”

or

similar

expressions.

Our

expectations

are

not

guarantees

and

are

based

on

currently

available

competitive,

financial

and

economic

data

along

with

our

operating

plans.

Forward-looking

statements

contained

in

this

presentation

may

include,

but

are

not

limited

to,

information

regarding

measurements

of

potential

losses

in

the

fair

value

of

our

investment

portfolio,

our

expectations

regarding

pricing

and

other

market

conditions

and

valuations

of

the

potential

impact

of

movements

in

interest

rates,

equity

prices,

credit

spreads

and

foreign

currency

rates.

Forward-looking statements only reflect our expectations and are not guarantees of performance. Accordingly, there are or will be important

factors that could cause actual results to differ materially from those indicated in such statements. We believe that these factors include, but

are not limited to, the following:

•

the occurrence of natural and man-made disasters,

•

actual claims exceeding our loss reserves,

•

general economic, capital and credit market conditions,

•

the failure of any of the loss limitation methods we employ,

•

the effects of emerging claims and coverage issues,

•

the failure of our cedants

to adequately evaluate risks,

•

the loss of one or more key executives,

•

a decline in our ratings with rating agencies,

•

loss of business provided to us by our major brokers,

•

changes in accounting policies or practices,

•

changes in governmental regulations,

•

increased competition,

•

changes in the political environment of certain countries in which we operate or underwrite business, and

•

fluctuations in interest rates, credit spreads, equity prices and/or currency values.

We undertake no obligation to update or revise publicly any forward-looking statements, whether as a result of new information, future events or

otherwise.

This report is for informational purposes only. It should be read in conjunction with the documents that we file with the Securities

and Exchange Commission pursuant to the Securities Act of 1933 and the Securities Exchange Act of 1934.

3

Total Cash and Invested Assets

Total Cash and Invested Assets: $12.1 Billion

Total Portfolio Allocation

Total Portfolio Ratings Allocation

Note:  Other investments include hedge funds, CLO equity tranches, credit funds and short duration high yield fund.

(As of March 31, 2010)

Equities

2%

Short Term

Investments

1%

Other Investments

4%

Municipals

5%

Corporates

32%

Foreign Govt Agency

6%

Cash & Cash

Equivalents

13%

US Govt/Agency

11%

Agency MBS

14%

ABS

4%

Non Agency RMBS

2%

Non Agency CMBS

6%

AAA

20%

AA

9%

Equities

2%

Below BBB

2%

BBB

10%

A

15%

US

Govt/Agency/Cash

& Cash Equivalents/

Agency MBS

38%

Other Investments

(unrated)

4%

Non-Agency CMBS: Detail

Fair Value ($ in millions)

Net Unrealized Gain/(Loss) ($ in millions)

Rating by Vintage (%)

Rating by Vintage ($ in millions)

Vintage

AAA

AA

A

BBB

Total

2010

$5

$-

$-

$-

$5

2009

3

-

-

-

3

2008

8

-

3

-

11

2007

48

20

64

1

133

2006

116

34

16

-

166

2005

112

6

9

7

134

Other

212

16

1

-

229

Total

$504

$76

$93

$8

$681

Net

Unrealized

$16

$2

$(2)

$(1)

$15

4

Key Characteristics

•

74.1% AAA, 94.1% senior/super senior tranches

•

149 securities

•

Weighted average life of 4.8 years

•

Duration of 3.54

•

Book yield is 5.59%

•

Average price of 101% of par

(As of March 31, 2010)

Total Non Agency CMBS: $681 Million

(6% of total portfolio)

$-

$20

$40

$60

$80

$100

$120

$140

$160

$180

Pre

2001

2002

2003

2004

2005

2006

2007

2008

2009

2010

AAA

AA

A

BBB

0%

20%

40%

60%

80%

100%

Pre

2001

2002

2003

2004

2005

2006

2007

2008

2009

2010

AAA

AA

A

BBB

Non-Agency CMBS: Detail (Continued)

•

Average loan to value of the underlying collateral is 71.8

•

Average subordination has improved to 27.2% from 24.7% at origination

•

Current percentage of defeased collateral is 8.43%

•

Average current collateral delinquency is 7.99%

Asset Class

Amortized

Cost

Net Unrealized

Gain

Fair Value

Office

$218

$4

$222

Retail

213

5

218

Multifamily

104

2

106

Hotel

49

1

50

Industrial

30

1

31

Mixed use

15

1

16

Self storage

13

-

13

Mobile home

11

-

11

Healthcare

4

-

4

Other

9

1

10

Total

$666

$15

$681

5

Years to Maturity

Amortized

Cost

Net Unrealized

Gain/(Loss)

Fair Value

< 2

$89

$1

$90

2.1 –

3

72

3

75

3.1 –

4

71

3

74

4.1 –

5

113

5

118

5.1 –

7

224

4

228

7.1 –

10

88

(1)

87

> 10

9

-

9

Total

$666

$15

$681

Collateral Property Type ($ in millions)

Maturity Detail ($ in millions)

(As of March 31, 2010)

6

Investment Grade Fixed Income:  RMBS

Key Characteristics –

Non Agency RMBS

•

Non-Agency RMBS have an amortized cost     

of $222 million with net unrealized loss of

$22 million

•

This sector includes prime, Alt-A and

subprime collateral

•

Non-Agency RMBS is 49.2% AAA-rated as

detailed on the following slides

Total Agency and Non-Agency RMBS: $1.9 Billion

(16% of total portfolio)

Key Characteristics –

Agency RMBS

•

Primarily pass-through securities

issued by the Federal Home Loan

Mortgage Corporation, Federal

National Mortgage Association, and the

Government National Mortgage

Association

•

These securities have an amortized cost

of $1.6 billion with a net unrealized gain

of $40 million

•

Duration of 2.98

•

Book yield is 4.27%

(As of March 31, 2010)

Agency RMBS

89%

Non-Agency

RMBS

11%

Non-Agency RMBS: Detail

Fair Value ($ in millions)

Rating by Vintage (%)

Rating by Vintage ($ in millions)

Vintage

AAA

AA

A

BBB

Below

BBB

Total

2010

$3

$-

$-

$-

$-

$3

2009

2

-

-

-

-

2

2007

1

6

10

-

14

31

2006

7

2

-

-

23

32

2005

22

3

-

12

21

58

2004

30

2

1

1

2

36

Other

33

4

-

-

1

38

Total

$98

$17

$11

$13

$61

$200

Net

Unrealized

$(7)

$(2)

$(2)

$(3)

$(8)

$(22)

Net Unrealized Loss ($ in millions)

7

Key Characteristics

•

49.2% AAA

•

163 securities

•

Weighted average life of 4.5 years

•

Book yield is 5.73%

•

Average price of 85% of par

•

Duration of 0.12

(As of March 31, 2010)

$-

$10

$20

$30

$40

$50

$60

Pre

2001

2002

2003

2004

2005

2006

2007

2009

2010

AAA

AA

A

BBB

Below BBB

0%

20%

40%

60%

80%

100%

Pre

2001

2002

2003

2004

2005

2006

2007

2009

2010

AAA

AA

A

BBB

Below BBB

Non-Agency RMBS: Detail (Continued)

Years to Maturity

Amortized

Cost

Net Unrealized Loss

Fair Value

< 2

$29

$(1)

$28

2.1 –

3

38

(1)

37

3.1 –

4

31

(2)

29

4.1 –

5

28

(4)

24

5.1 –

7

72

(8)

64

7.1 –

10

14

(4)

10

>10

10

(2)

8

Total

$222

$(22)

$200

Maturity Detail ($ in millions)

8

•

The fair value of securities with Subprime content is $15 million

•

The fair value of securities with Alt-A content is $56 million

(As of March 31, 2010)

Note: Our Alt-A and Subprime classification is determined by the underlying collateral. A security with any

level of Alt-A or Subprime collateral is classified as such even if the majority of the collateral is prime.

9

Investment Grade Fixed Income:  Corporate Debt

Total Corporate Debt: $3.9 Billion

(32% of total portfolio)

(As of March 31, 2010)

*Medium-Term Notes primarily comprise European credit issuances

Direct Non

Financials

40%

Medium Term

Notes*

9%

Direct Financials

51%

•

Average corporate debt rating A

•

Weighted average life of 4.62 years

•

Duration of 3.59

•

Book Yield is 4.5%

Investment Grade Corporate Debt: Financials

Financials by Subsector: $2.0 Billion

(16% of total portfolio)

10

(As of March 31, 2010)

Commercial Finance

10%

Consumer Finance

3%

Corporate Finance

6%

Brokerage

13%

US Banking

35%

Non US Govt

Guaranteed

12%

Foreign Banks

19%

Insurance

2%

Amortized

Cost

Net Unrealized

Gain/(Loss)

Fair

Value

US Banking

$689

$10

$699

Brokerage

244

10

254

Commercial Finance

185

3

188

Consumer Finance

63

2

65

Corporate Finance

112

1

113

Foreign Banks

373

(5)

368

Insurance

43

1

44

Non US Govt Guaranteed

238

-

238

Total

$1,947

$22

$1,969

•

Included in Investment Grade Corporate Debt for

Financials are $154 million of FDIC guaranteed bonds

Corporate Debt -

Financials: Detail

Amortized

Cost

Net

Unrealized

Gain

Fair Value

Bank of America

$136

$3

$139

JP Morgan Chase

132

6

138

Morgan Stanley

132

3

135

General Electric Co

89

2

91

Citigroup Inc

87

3

90

Goldman Sachs

81

4

85

Credit Suisse

62

2

64

Wells Fargo & Co

62

2

64

HSBC Holdings PLC

61

2

63

American Express

34

1

35

Top 10 Direct Financial Holdings ($ in millions)

Amortized

Cost

Net Unrealized

Gain

Fair Value

AAA

$465

$1

$466

AA

435

1

436

A

894

16

910

BBB

114

4

118

Below BBB

39

-

39

Total

$1,947

$22

$1,969

Financials by Rating ($ in millions)

(As of March 31, 2010)

11

Investment Grade Corporate Debt: Non-Financials

Amortized

Cost

Net Unrealized

Gain

Fair

Value

Communications

$388

$14

$402

Consumer cyclicals

99

1

100

Consumer non cyclicals

285

8

293

Electric

207

9

216

Energy

170

8

178

Industrial

165

7

172

Natural gas

89

1

90

Other

19

-

19

Technology

58

2

60

Transportation

20

1

21

Total

$1,500

$51

$1,551

Non-Financials By Subsector: $1.6 Billion

(13% of total portfolio)

(As of March 31, 2010)

12

Subsector Detail ($ in millions)

Consumer cyclicals

6%

Technology

4%

Other

1%

Industrial

11%

Transportation

1%

Communications

27%

Natural gas

6%

Energy

11%

Consumer non

cyclicals

19%

Electric

14%

Top 10 Direct Non-Financial Holdings ($ in millions)

Corporate Debt -

Non-Financials: Detail

Amortized

Cost

Net Unrealized

Gain

Fair Value

Verizon

Communications

$98

$7

$105

AT&T

53

2

55

Time Warner Cable

48

2

50

Comcast

Corporation

42

2

44

Kraft Foods Inc

37

1

38

Duke Energy

35

2

37

International Paper

Co

33

3

36

Roche Holding AG

30

1

31

Canadian Natural

Resources Ltd

27

1

28

Kinder Morgan

Energy Partners

27

-

27

Amortized Cost

Net Unrealized

Gain

Fair Value

AAA

$2

$-

$2

AA

132

3

135

A

606

24

630

BBB

748

24

772

Below BBB

12

-

12

Total

$1,500

$51

$1,551

Non Financials by Rating ($ in millions)

13

(As of March 31, 2010)

14

Investment Grade Corporate Debt:

Medium-Term Notes

•

Credit issuances accessed via medium-term notes which employ leverage

•

Current leverage 0.48 (for each unit of client capital an additional 0.48 of borrowed capital is

employed)

•

Investment results driven by changes in credit spreads

and the yield based on LIBOR plus the credit spread

•

Average yield of medium-term notes is LIBOR + 278 bps

Fair Value by Region

Amortized

Cost

Net Unrealized

Gain

Fair

Value

% of Total

Portfolio

Medium-Term Notes

$302

$40

$342

2.8

Fair Value by Rating

Fair Value by Sector

Medium-Term Notes ($ in millions)

(As of March 31, 2010)

Middle East

2%

UK

30%

Western Europe

61%

Eastern Europe

3%

Other

4%

Below BBB

23%

BBB

39%

AAA

1%

AA

6%

A

31%

ABS

12%

Financials

23%

Corporate &

Sovereign

65%

Investment Grade Fixed Income: ABS

Amortized Cost

Net Unrealized

Gain/(Loss)

Fair Value

Auto ABS

$330

$3

$333

CLO –

debt tranches

57

(14)

43     

CDO

5

(1)

4

Credit card

60

-

60

Equipment

27

-

27

Other ABS

94

2

96

Total

$573

$(10)

$563

15

ABS by Subsector: $563 Million

(4% of total portfolio)

(As of March 31, 2010)

Auto ABS

59%

Equipment

5%

Credit card

11%

CDO

1%

CLO - debt

tranches

7%

Other ABS

17%

Subsector Detail ($ in millions)

ABS: Detail

Years to Maturity

Amortized Cost

Net Unrealized

Gain/(Loss)

Fair

Value

< 2

$305

$2

$307

2.1 –

3

74

-

74

3.1 –

4

71

(6)

65

4.1 –

5

45

(3)

42

5.1 –

7

30

(4)

26

7.1 –

10

44

2

46

>10

4

(1)

3

Total

$573

$(10)

$563

16

Maturity Detail ($ in millions)

Vintage Detail ($ in millions)

(As of March 31, 2010)

Vintage

AAA

AA

A

BBB

Below

BBB

Total

2010

$81

$-

$-

$-

$-

$81

2009

246

-

-

-

-

246

2008

109

-

-

-

-

109

2007

27

-

1

-

-

28

2006

25

-

-

1

-

26

Other

28

-

10

12

23

73

Total

$516

$-

$11

$13

$23

$563

Net

Unrealized

$7

$ -

$(2)

$(5)

$(10)

$(10)

Key Characteristics

•

91.6% AAA

•

90 securities

•

Weighted average life of 2.66 years

•

Duration of 1.41

•

Book yield is 2.3%

•

Average price of 100% of par

Amortized Cost

Net Unrealized

Gain/(Loss)

Fair

Value

AAA

$510

$7

$517

AA

-

-

-

A

13

(2)

11

BBB

18

(5)

13

Below BBB

32

(10)

22

Total

$573

$(10)

$563

Rating Detail ($ in millions)

Net Unrealized Loss ($ in millions)

Fund of

Funds

70%

Single

Managers

30%

Other Investments Overview

CLO - equity

tranches

11%

Hedge Funds

60%

Short duration

high yield

fund

10%

Credit funds

19%

Total Other Investments: $539 million

(4% of total portfolio)

(As of March 31, 2010)

Hedge Funds

Total Other Investments

Key Characteristics

•

Short duration high yield fund –

invests mainly in high yield bonds with an

average maturity of 2.9 years and average rating of B+

•

Credit funds –

invest in bank loans, investment grade credit and distressed debt

•

CLO equity tranches –

equity tranches of cash flow collateralized loan

obligations that invest primarily in first-lien bank loans

•

Fund of Funds –

seek to achieve attractive risk adjusted total returns by

investing in a large diversified portfolio of asset managers

•

Single managers –

invest in event driven, equity long short, and energy MLP

strategies

17