AXIS Capital Holdings

Limited

Investment Portfolio

Supplemental Information and Data

June 30, 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: $12.2 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 June 30, 2010)

Equities

2%

Short Term

Investments

1%

Other Investments

5%

Municipals

5%

Corporates

33%

Foreign Govt Agency

6%

Cash & Cash

Equivalents

10%

US Govt/Agency

12%

Agency MBS

14%

ABS

5%

Non Agency RMBS

2%

Non Agency CMBS

5%

AAA

21%

AA

9%

Equities

2%

Below BBB

1%

BBB

11%

A

16%

US

Govt/Agency/Cash &

Cash

Equivalents/Agency

MBS

35%

Other Investments

(unrated)

5%

Non-Agency CMBS: Detail

Fair Value ($ in millions)

Net Unrealized Gain ($ in millions)

Rating by Vintage (%)

Rating by Vintage ($ in millions)

Vintage

AAA

AA

A

BBB

Total

2010

$7

$-

$-

$-

$7

2009

13

-

-

-

13

2008

8

-

-

-

8

2007

46

-

61

1

108

2006

104

34

12

-

150

2005

112

5

7

4

128

Other

188

6

1

-

195

Total

$478

$45

$81

$5

$609

Net

Unrealized

$22

$2

$2

$-

$26

4

Key Characteristics

•

78.4% AAA, 96.7% senior/super senior tranches

•

125 securities

•

Weighted average life of 4.49 years

•

Duration of 3.42

•

Book yield is 5.59%

•

Average price of 103% of par

(As of June 30, 2010)

Total Non Agency CMBS: $609 Million

(5% of total portfolio)

$-

$20

$40

$60

$80

$100

$120

$140

$160

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 73.1

•

Average subordination has improved to 27.5% from 25.7% at origination

•

Current percentage of defeased collateral is 7.94%

•

Average current collateral delinquency is 10.48%

Asset Class

Amortized

Cost

Net Unrealized

Gain

Fair Value

Office

$196

$8

$204

Retail

185

9

194

Multifamily

90

4

94

Hotel

44

2

46

Industrial

25

1

26

Mixed use

13

1

14

Self storage

11

-

11

Mobile home

9

-

9

Healthcare

4

-

4

Other

6

1

7

Total

$583

$26

$609

5

Years to Maturity

Amortized

Cost

Net Unrealized

Gain

Fair Value

< 2

$92

$2

$94

2.1 –

3

73

2

75

3.1 –

4

88

8

96

4.1 –

5

90

4

94

5.1 –

7

222

10

232

7.1 –

10

6

-

6

> 10

12

-

12

Total

$583

$26

$609

Collateral Property Type ($ in millions)

Maturity Detail ($ in millions)

(As of June 30, 2010)

6

Investment Grade Fixed Income:  RMBS

Key Characteristics –

Non Agency RMBS

•

Non-Agency RMBS have an amortized cost     

of $235 million with net unrealized loss of

$14 million

•

This sector includes prime, Alt-A and

subprime collateral

•

Non-Agency RMBS is 56.4% 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 $64 million

•

Duration of 2.43

•

Book yield is 4.27%

(As of June 30, 2010)

Agency RMBS

88%

Non-Agency

RMBS

12%

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

$28

$-

$-

$-

$-

$28

2009

2

-

-

-

-

2

2007

1

6

1

-

21

29

2006

7

1

-

-

22

30

2005

22

3

-

11

21

57

2004

33

1

2

1

1

38

Other

32

4

-

-

1

37

Total

$125

$15

$3

$12

$66

$221

Net

Unrealized

$(5)

$(2)

$(1)

$(2)

$(4)

$(14)

Net Unrealized (Loss) ($ in millions)

7

Key Characteristics

•

56.4% AAA

•

172 securities

•

Weighted average life of  4.74 years

•

Duration of 0.16

•

Book yield is 5.99%

•

Average price of 87% par

(As of June 30, 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

$34

$(1)

$33

2.1 –

3

30

-

30

3.1 –

4

47

(2)

45

4.1 –

5

29

(3)

26

5.1 –

7

64

(5)

59

7.1 –

10

15

(3)

12

>10

16

-

16

Total

$235

$(14)

$221

Maturity Detail ($ in millions)

8

•

The fair value of securities with Subprime content is $14 million

•

The fair value of securities with Alt-A content is $55 million

(As of June 30, 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: $4.1 Billion

(33% of total portfolio)

(As of June 30, 2010)

*Medium-Term Notes primarily comprise European credit issuances

Direct Non

Financials

44%

Medium Term

Notes*

8%

Direct Financials

48%

•

Average corporate debt rating  A 

•

Weighted average life of years 4.68

•

Duration of 3.51

•

Book Yield is 4.02%

Investment Grade Corporate Debt: Financials

Financials by Subsector: $2.0 Billion

(16% of total portfolio)

10

(As of June 30, 2010)

Commercial Finance

9%

Consumer Finance

4%

Corporate Finance

5%

Brokerage

12%

US Banking

28%

Non US Govt

Guaranteed

17%

Foreign Banks

22%

Insurance

3%

Amortized

Cost

Net Unrealized

Gain/(Loss)

Fair Value

US Banking

$540

$10

$550

Brokerage

232

6

238

Commercial Finance

178

-

178

Consumer Finance

69

2

71

Corporate Finance

100

3

103

Foreign Banks

456

(15)

441

Insurance

50

1

51

Non US Govt Guaranteed

332

3

335

Total

$1,957

$10

$1,967

•

Included in Investment Grade Corporate Debt for

Financials are $119 million of FDIC guaranteed bonds

Corporate Debt -

Financials: Detail

Amortized

Cost

Net

Unrealized

Gain

Fair Value

Bank of America

$168

$3

$171

JP Morgan Chase

136

7

143

Citigroup Inc

124

3

127

Morgan Stanley

117

1

118

General Electric

110

2

112

Goldman Sachs

95

3

98

HSBC Holdings PLC

73

1

74

Wells Fargo & Co

68

2

70

Credit Suisse

43

2

45

Barclays PLC

36

1

37

Top 10 Direct Financial Holdings ($ in millions)

Amortized

Cost

Net Unrealized

Gain/(Loss)

Fair Value

AAA

$474

$4

$478

AA

439

(5)

434

A

914

7

921

BBB

102

3

105

Below BBB

28

1

29

Total

$1,957

$10

$1,967

Financials by Rating ($ in millions)

(As of June 30, 2010)

11

Investment Grade Corporate Debt: Non-Financials

Amortized

Cost

Net Unrealized

Gain/(Loss)

Fair Value

Communications

$444

$18

$462

Consumer cyclicals

124

(1)

123

Consumer non cyclicals

345

12

357

Electric

219

13

232

Energy

209

3

212

Industrial

128

6

134

Natural gas

138

-

138

Other

15

-

15

Technology

73

4

77

Transportation

17

-

17

Total

$1,712

$55

$1,767

Non-Financials By Subsector: $1.8 Billion

(15% of total portfolio)

(As of June 30, 2010)

12

Subsector Detail ($ in millions)

Consumer cyclicals

7%

Technology

4%

Other

1%

Industrial

8%

Transportation

1%

Communications

26%

Natural gas

8%

Energy

12%

Consumer non

cyclicals

20%

Electric

13%

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

Corporate Debt -

Non-Financials: Detail

Amortized

Cost

Net Unrealized

Gain

Fair Value

Verizon

Communications

$97

$8

$105

AT&T

58

3

61

Time Warner Cable

55

3

58

Comcast

Corporation

51

3

54

Kraft Foods Inc

46

2

48

Roche Holding AG

44

3

47

Duke Energy Corp

40

3

43

Kinder Morgan

Energy Partners

41

-

41

Anheuser-Busch

37

1

38

Daimler AG

32

1

33

Amortized

Cost

Net Unrealized

Gain

Fair Value

AAA

$7

$1

$8

AA

189

6

195

A

705

31

736

BBB

799

17

816

Below BBB

12

-

12

Total

$1,712

$55

$1,767

Non Financials by Rating ($ in millions)

13

(As of June 30, 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 + 279 bps

Fair Value by Region

Amortized

Cost

Net Unrealized

Gain

Fair

Value

% of Total

Portfolio

Medium-Term Notes

$302

$24

$326

2.7

Fair Value by Rating

Fair Value by Sector

Medium-Term Notes ($ in millions)

(As of June 30, 2010)

Middle East

2%

UK

33%

Western Europe

57%

Eastern Europe

3%

Other

5%

Below BBB

21%

BBB

39%

AAA

0%

AA

6%

A

34%

ABS

13%

Financials

22%

Corporate &

Sovereign

65%

Investment Grade Fixed Income: ABS

Amortized

Cost

Net Unrealized

Gain/(Loss)

Fair Value

Auto ABS

$399

$3

$402

CLO –

debt tranches

57

(14)

43     

CDO

5

(1)

4

Credit card

56

1

57

Equipment

36

-

36

Other ABS

108

5

113

Total

$661

$(6)

$655

15

ABS by Subsector: $655 Million

(5% of total portfolio)

(As of June 30, 2010)

Auto ABS

61%

Equipment

6%

Credit card

9%

CDO

1%

CLO - debt

tranches

6%

Other ABS

17%

Subsector Detail ($ in millions)

ABS: Detail

Years to Maturity

Amortized

Cost

Net Unrealized

Gain/(Loss)

Fair Value

< 2

$351

$2

$353

2.1 –

3

103

1

104

3.1 –

4

50

(6)

44

4.1 –

5

87

(3)

84

5.1 –

7

28

(2)

26

7.1 –

10

40

2

42

>10

2

-

2

Total

$661

$(6)

$655

16

Maturity Detail ($ in millions)

Vintage Detail ($ in millions)

(As of June 30, 2010)

Vintage

AAA

AA

A

BBB

Below

BBB

Total

2010

$191

$-

$-

$-

$-

$191

2009

243

-

-

-

-

243

2008

114

-

-

-

-

114

2007

23

-

-

-

-

23

2006

17

-

-

-

-

17

Other

23

-

10

12

22

67

Total

$611

$-

$10

$12

$22

$655

Net

Unrealized

$9

$ -

$(3)

$(3)

$(9)

$(6)

Key Characteristics

•

93.1% AAA

•

93 securities

•

Weighted average life of  years 2.54

•

Duration of  1.22

•

Book yield is 2.01%

•

Average price of 100% of par

Amortized

Cost

Net Unrealized

Gain/(Loss)

Fair Value

AAA

$601

$9

$610

AA

-

-

-

A

12

(2)

10

BBB

16

(3)

13

Below BBB

32

(10)

22

Total

$661

$(6)

$655

Rating Detail ($ in millions)

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

Fund of

Funds

67%

Single

Managers

33%

Other Investments Overview

CLO - equity

tranches

11%

Hedge Funds

61%

Short duration

high yield

fund

10%

Credit funds

18%

Total Other Investments: $548 million

(5% of total portfolio)

(As of June 30, 2010)

17

Key Characteristics

•

Short duration high yield fund –

invests mainly in high yield bonds with an

average maturity of  3.1 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

Hedge Funds

Total Other Investments