Exhibit 99.2

 

ALTERRA CAPITAL HOLDINGS LIMITED

Investor Financial Supplement

First Quarter 2012

(Unaudited)

This supplement is for information purposes only. It should be read in conjunction with documents filed by Alterra Capital Holdings Limited with the U.S. Securities and Exchange Commission pursuant to the Securities Exchange Act 1934.

Alterra Capital Holdings Limited

Investors:

Susan Spivak Bernstein, +1-212-898-6640

or

Media:

Kekst and Company

Peter Hill or Melissa Sheer, +1-212-521-4800

---

ALTERRA CAPITAL HOLDINGS LIMITED

Cautionary note regarding forward-looking information

This financial supplement may include forward-looking statements that reflect Alterra’s current views with respect to future events and financial performance. Statements that include the words “expect,” “intend,” “plan,” “believe,” “project,” “anticipate,” “will,” “may” and similar statements of a future or forward-looking nature identify forward-looking statements. All forward-looking statements address matters that involve risks and uncertainties. Accordingly, there are important factors that could cause actual results to differ materially from those indicated in such statements and you should not place undue reliance on any such statements.

These factors include, but are not limited to, the following: (1) the adequacy of loss reserves and the need to adjust such reserves as claims develop over time; (2) the failure of any of the loss limitation methods employed; (3) the effect of cyclical trends, including with respect to demand and pricing in the insurance and reinsurance markets; (4) changes in general economic conditions, including changes in capital and credit markets; (5) any lowering or loss of financial ratings; (6) the occurrence of natural or man-made catastrophic events with a frequency or severity exceeding expectations; (7) actions by competitors, including consolidation; (8) the effects of emerging claims and coverage issues; (9) the loss of business provided to Alterra by its major brokers; (10) the effect on Alterra’s investment portfolio of changing financial market conditions including inflation, interest rates, liquidity and other factors; (11) tax and regulatory changes and conditions; (12) retention of key personnel; (13) the integration of new business ventures Alterra may enter into; and (14) management’s response to any of the aforementioned factors.

The foregoing review of important factors should not be construed as exhaustive and should be read in conjunction with the other cautionary statements that are included herein and elsewhere, including the Risk Factors included in Alterra’s most recent reports on Form 10-K and Form 10-Q and other documents on file with the U.S. Securities and Exchange Commission. Any forward-looking statements made in this financial supplement are qualified by these cautionary statements, and there can be no assurance that the actual results or developments anticipated by Alterra will be realized or, even if substantially realized, that they will have the expected consequences to, or effects on, Alterra or its business or operations. Alterra undertakes no obligation to update publicly or revise any forward-looking statement, whether as a result of new information, future developments or otherwise.

---

ALTERRA CAPITAL HOLDINGS LIMITED

FINANCIAL SUPPLEMENT TABLE OF CONTENTS

 

		Page
Financial Highlights			4
Consolidated Balance Sheets			5
Consolidated Statements of Operations - Quarterly			6
Segment Data and Ratios - Quarterly			7
Gross Premiums Written by Line of Business - Quarterly			15
Investment Portfolio			16
Shareholder Return Analysis			20
Earnings Per Share Information			21
Operating Income Reconciliation			22
Book Value per Share			23
Regulation G			24

---

ALTERRA CAPITAL HOLDINGS LIMITED

FINANCIAL HIGHLIGHTS

(Expressed in thousands of United States Dollars, except per share and share amounts)

 

		For The Quarters Ended
		Mar. 31, 2012				Mar. 31, 2011				Previous Year Quarter Change
HIGHLIGHTS
Net income (loss)		$	79,024			$	(46,687	)			n/m
Net operating income (loss) [a]			67,756				(24,725	)			n/m
Operating cashflow			68,042				46,909				45.1	%
Gross premiums written			661,330				627,848				5.3	%
Net premiums earned			338,175				379,887				(11.0	%)
Total assets			10,575,778				10,250,379				3.2	%
Total shareholders’ equity			2,851,262				2,723,194				4.7	%
PER SHARE
Basic earnings per share
Net income (loss)		$	0.78			$	(0.44	)
Net operating income (loss) [a]			0.67				(0.23	)
Diluted earnings per share
Net income (loss)		$	0.77			$	(0.44	)
Net operating income (loss) [a]			0.66				(0.23	)
Weighted average shares outstanding - basic			101,002,884				107,165,228
Weighted average shares outstanding - diluted			103,154,081				107,165,228
Book value per common share [b]		$	28.31			$	25.76				9.9	%
Diluted book value per share (treasury stock method) [b]			27.67				25.34				9.2	%
Diluted tangible book value per share (treasury stock method) [b]			27.13				24.79				9.4	%
RATIOS
Annualized return on average shareholders’ equity [c]			11.2	%			(6.6	%)
Annualized net operating return on average shareholders’ equity [c]			9.6	%			(3.5	%)
Loss ratio [d]			61.0	%			80.2	%
Acquisition cost ratio [d]			17.6	%			18.6	%
General and administrative expense ratio [d]			14.0	%			13.8	%
Combined ratio [d]			92.6	%			112.5	%

 

[a]	Non-GAAP financial measure. For definition and calculation see page 22.

[b]	For calculations see page 23.

[c]	Non-GAAP financial measure. For calculations see page 20.

[d]	For property and casualty business only.

 

4

---

ALTERRA CAPITAL HOLDINGS LIMITED

CONSOLIDATED BALANCE SHEETS

(Expressed in thousands of United States Dollars, except per share and share amounts)

 

		Mar. 31, 2012				Dec. 31, 2011				Sept. 30, 2011				June 30, 2011				Mar. 31, 2011				Dec. 31, 2010
		(Unaudited)								(Unaudited)				(Unaudited)				(Unaudited)
ASSETS
Cash and cash equivalents		$	844,743			$	922,844			$	869,975			$	987,057			$	1,001,051			$	905,606
Fixed maturities, trading at fair value			223,592				229,206				227,753				218,481				214,807				244,872
Fixed maturities, available for sale at fair value			5,518,102				5,501,925				5,662,869				5,403,312				5,290,684				5,392,643
Fixed maturities, held to maturity at amortized cost			885,214				874,259				926,916				993,691				983,207				940,104
Other investments, at fair value			332,884				286,515				311,633				350,193				357,655				378,128
Accrued interest income			64,295				71,322				71,038				70,777				69,497				75,414
Premiums receivable			869,800				715,154				777,980				870,287				809,483				588,537
Losses and benefits recoverable from reinsurers			1,108,036				1,068,119				1,079,035				1,058,724				1,053,223				956,115
Deferred acquisition costs			176,199				145,850				166,353				171,517				149,197				111,901
Prepaid reinsurance premiums			299,163				212,238				214,132				215,392				176,918				149,252
Trades pending settlement			111,194				22,887				34,158				9,168				—				32,393
Goodwill and intangible assets			55,771				56,111				56,652				58,094				58,585				59,076
Other assets			86,785				79,417				73,836				90,671				86,072				83,247
Total assets		$	10,575,778			$	10,185,847			$	10,472,330			$	10,497,364			$	10,250,379			$	9,917,288
LIABILITIES
Property and casualty losses		$	4,322,847			$	4,216,538			$	4,205,057			$	4,230,290			$	4,185,230			$	3,906,134
Life and annuity benefits			1,203,752				1,190,697				1,230,344				1,317,527				1,316,287				1,275,580
Deposit liabilities			151,058				151,035				147,493				147,428				147,424				147,612
Funds withheld from reinsurers			92,793				112,469				124,631				122,705				122,072				121,107
Unearned property and casualty premiums			1,221,788				1,020,639				1,149,108				1,203,024				1,065,160				905,487
Reinsurance balances payable			201,409				134,354				178,560				137,910				127,299				102,942
Accounts payable and accrued expenses			90,359				110,380				110,527				104,917				103,376				99,680
Trades pending settlement			—				—				41,383				—				19,855				—
Senior notes			440,510				440,500				440,489				440,482				440,482				440,476
Total liabilities			7,724,516				7,376,612				7,627,592				7,704,283				7,527,185				6,999,018
SHAREHOLDERS’ EQUITY
Common shares (par value $1.00) 100,707,484 shares issued and outstanding			100,707				102,102				104,324				105,795				105,734				110,963
Additional paid-in capital			1,807,287				1,847,034				1,890,763				1,911,979				1,905,144				2,026,045
Accumulated other comprehensive income			185,146				166,957				173,025				132,218				89,233				98,946
Retained earnings			758,122				693,142				676,626				643,089				623,083				682,316
Total shareholders’ equity			2,851,262				2,809,235				2,844,738				2,793,081				2,723,194				2,918,270
Total liabilities and shareholders’ equity		$	10,575,778			$	10,185,847			$	10,472,330			$	10,497,364			$	10,250,379			$	9,917,288
Book value per share		$	28.31			$	27.51			$	27.27			$	26.40			$	25.76			$	26.30
Diluted book value per share (treasury stock method)		$	27.67			$	26.91			$	27.18			$	25.98			$	25.34			$	25.99
Diluted tangible book value per share (treasury stock method) [a]		$	27.13			$	26.37			$	26.64			$	25.44			$	24.79			$	25.46
Debt-to-capital ratio [b]			13.4	%			13.6	%			13.4	%			13.6	%			13.9	%			13.1	%

 

[a]	Non-GAAP financial measure. For calculations see page 23.

[b]	Calculated as debt, being senior notes, divided by shareholders’ equity plus debt.

 

5

---

ALTERRA CAPITAL HOLDINGS LIMITED

CONSOLIDATED STATEMENTS OF OPERATIONS AND COMPREHENSIVE INCOME - QUARTERLY (Unaudited)

(Expressed in thousands of United States Dollars, except per share and share amounts)

 

		FOR THE QUARTERS ENDED
		Mar. 31, 2012				Dec. 31, 2011				Sept. 30, 2011				June 30, 2011				Mar. 31, 2011				Mar. 31, 2010
REVENUES
Gross premiums written		$	661,330			$	325,983			$	386,328			$	563,907			$	627,848			$	371,139
Reinsurance premiums ceded			(224,462	)			(107,203	)			(90,891	)			(136,626	)			(137,357	)			(153,220	)
Net premiums written		$	436,868			$	218,780			$	295,437			$	427,281			$	490,491			$	217,919
Earned premiums		$	477,867			$	460,636			$	452,931			$	443,008			$	489,262			$	304,997
Earned premiums ceded			(139,692	)			(111,532	)			(105,889	)			(94,067	)			(109,375	)			(110,757	)
Net premiums earned			338,175				349,104				347,042				348,941				379,887				194,240
Net investment income			58,678				57,080				60,335				59,665				57,766				48,390
Net realized and unrealized (losses) gains on investments			25,493				(5,775	)			(7,972	)			(5,774	)			(18,818	)			6,422
Total other-than-temporary impairment losses			(5,467	)			(703	)			(692	)			(187	)			(1,124	)			(698	)
Portion of loss recognized in other comprehensive income (loss) before taxes			98				1				(169	)			(166	)			95				278
Net impairment losses recognized in earnings			(5,369	)			(702	)			(861	)			(353	)			(1,029	)			(420	)
Other income (loss)			5,362				2,017				1,473				591				1,315				344
Total revenues			422,339				401,724				400,017				403,070				419,121				248,976
LOSSES AND EXPENSES
Net losses and loss expenses			206,029				231,533				198,521				211,133				304,406				124,965
Claims and policy benefits			13,466				14,564				14,538				15,570				14,710				17,659
Acquisition costs			59,724				64,380				61,434				64,680				70,608				24,244
Interest expense			8,628				13,296				11,303				10,630				8,459				4,942
Net foreign exchange (gains) losses			(32	)			(753	)			(147	)			3,090				(878	)			(2,452	)
Merger and acquisition expenses			—				—				—				—				—				4,744
General and administrative expenses			60,082				54,657				61,555				69,659				71,203				36,528
Total losses and expenses			347,897				377,677				347,204				374,762				468,508				210,630
INCOME (LOSS) BEFORE TAXES			74,442				24,047				52,813				28,308				(49,387	)			38,346
Income tax (benefit) expense			(4,582	)			(6,901	)			4,427				(4,327	)			(2,700	)			1,965
NET INCOME (LOSS)			79,024				30,948				48,386				32,635				(46,687	)			36,381
Change in net unrealized gains and losses on fixed maturities, net of tax			16,819				(3,670	)			61,540				42,820				(14,586	)			34,131
Foreign currency translation adjustment			1,370				(2,398	)			(20,733	)			165				4,873				(9,740	)
COMPREHENSIVE INCOME (LOSS)		$	97,213			$	24,880			$	89,193			$	75,620			$	(56,400	)		$	60,772
KEY RATIOS/PER SHARE DATA
Loss ratio [a]			61.0	%			66.5	%			57.3	%			60.7	%			80.2	%			64.6	%
Acquisition cost ratio [b]			17.6	%			18.5	%			17.7	%			18.5	%			18.6	%			12.5	%
General and administrative expense ratio [c]			14.0	%			12.4	%			12.7	%			14.5	%			13.8	%			13.4	%
Combined ratio [d]			92.6	%			97.4	%			87.7	%			93.7	%			112.5	%			90.5	%
Net income (loss) per share		$	0.78			$	0.30			$	0.46			$	0.31			$	(0.44	)		$	0.64
Net income (loss) per diluted share		$	0.77			$	0.30			$	0.46			$	0.30			$	(0.44	)		$	0.63
Net operating income (loss) per share - diluted [e]		$	0.66			$	0.30			$	0.47			$	0.37			$	(0.23	)		$	0.71
Annualized ROAE [f]			11.2	%			4.4	%			6.9	%			4.7	%			(6.6	%)			9.2	%
Annualized net operating ROAE [f]			9.6	%			4.5	%			7.1	%			5.7	%			(3.5	%)			10.2	%

 

[a]	The loss ratio is calculated by dividing net losses and loss expenses by net premiums earned for the property & casualty business.

[b]	The acquisition cost ratio is calculated by dividing acquisition costs by net premiums earned for the property & casualty business.

[c]	The general and administrative expense ratio is calculated by dividing general and administrative expenses by net premiums earned for the property & casualty business.

[d]	The combined ratio is calculated by dividing the sum of net losses and loss expenses, acquisition costs and general and administrative expenses by net premiums earned for the property & casualty business.

[e]	Non-GAAP financial measure. See page 22 for calculation of net operating income per share - diluted.

[f]	Non-GAAP financial measure. See page 20 for calculation of annualized return on average shareholders’ equity (ROAE) and annualized net operating ROAE.

Results for Harbor Point Limited (“Harbor Point”) are included from May 12, 2010.

Percentage totals may not add due to rounding.

 

6

---

ALTERRA CAPITAL HOLDINGS LIMITED

SCHEDULE OF SUPPLEMENTAL UNDERWRITING DATA–THREE MONTHS ENDED MARCH 31, 2012 (Unaudited)

(Expressed in thousands of United States Dollars)

 

		Property & Casualty
		Global Insurance				U.S. Insurance				Reinsurance				Alterra at Lloyd’s				Latin America				Total				Life & Annuity Reinsurance				Corporate				Consolidated
Gross premiums written		$	66,771			$	104,282			$	318,354			$	146,143			$	25,340			$	660,890			$	440			$	—			$	661,330
Reinsurance premiums ceded			(43,251	)			(70,494	)			(59,493	)			(38,590	)			(12,616	)			(224,444	)			(18	)			—				(224,462	)
Net premiums written		$	23,520			$	33,788			$	258,861			$	107,553			$	12,724			$	436,446			$	422			$	—			$	436,868
Earned premiums		$	94,103			$	96,241			$	194,661			$	72,899			$	19,523			$	477,427			$	440			$	—			$	477,867
Earned premiums ceded			(47,133	)			(40,456	)			(26,753	)			(20,049	)			(5,283	)			(139,674	)			(18	)			—				(139,692	)
Net premiums earned			46,970				55,785				167,908				52,850				14,240				337,753				422				—				338,175
Net losses and loss expenses			(18,061	)			(37,564	)			(101,195	)			(38,675	)			(10,534	)			(206,029	)			—				—				(206,029	)
Claims and policy benefits			—				—				—				—				—				—				(13,466	)			—				(13,466	)
Acquisition costs			(59	)			(7,696	)			(38,661	)			(9,434	)			(3,755	)			(59,605	)			(119	)			—				(59,724	)
General and administrative expenses			(6,481	)			(12,257	)			(17,052	)			(9,095	)			(2,259	)			(47,144	)			(34	)			—				(47,178	)
Other income (loss)			815				81				4,441				—				—				5,337				—				—				5,337
Underwriting income (loss)		$	23,184			$	(1,651	)		$	15,441			$	(4,354	)		$	(2,308	)		$	30,312				n/a				—				n/a
Net investment income																											14,776				43,902				58,678
Net realized and unrealized gains on investments																											—				25,493				25,493
Net impairment losses recognized in earnings																															(5,369	)			(5,369	)
Corporate other income																															25				25
Interest expense																															(8,628	)			(8,628	)
Net foreign exchange gains																															32				32
Corporate general and administrative expenses																															(12,904	)			(12,904	)
Income before taxes																										$	1,579			$	42,551			$	74,442
Loss ratio [a]			38.5	%			67.3	%			60.3	%			73.2	%			74.0	%			61.0	%
Acquisition cost ratio [b]			0.1	%			13.8	%			23.0	%			17.9	%			26.4	%			17.6	%
General and administrative expense ratio [c]			13.8	%			22.0	%			10.2	%			17.2	%			15.9	%			14.0	%
Combined ratio [d]			52.4	%			103.1	%			93.4	%			108.2	%			116.2	%			92.6	%

 

[a]	The loss ratio is calculated by dividing net losses and loss expenses by net premiums earned for the property & casualty business.

[b]	The acquisition cost ratio is calculated by dividing acquisition costs by net premiums earned for the property & casualty business.

[c]	The general and administrative expense ratio is calculated by dividing general and administrative expenses by net premiums earned for the property & casualty business.

[d]	The combined ratio is calculated by dividing the sum of net losses and loss expenses, acquisition costs and general and administrative expenses by net premiums earned for the property & casualty business.

Percentage totals may not add due to rounding.

Effective January 1, 2012, the Company redefined its operating and reporting segments. Reinsurance business written within Latin America, which was previously reported within the reinsurance or Alterra at Lloyd’s segments, has been reclassified to a new Latin America segment. In addition, business written by the Company’s recently incorporated Brazilian reinsurance company, Alterra Resseguradora do Brasil Limitada (“Alterra Brazil”), is included in the Latin America segment. Insurance business written by Alterra Insurance USA Inc., which was previously reported within the global insurance segment (formerly the insurance segment), has been reclassified to the U.S. insurance segment (formerly the U.S. specialty segment). Re-presented comparative financial information was filed on Form 8-K on April 20, 2012.

 

7

---

ALTERRA CAPITAL HOLDINGS LIMITED

CONSOLIDATED UNDERWRITING RATIOS - THREE MONTHS ENDED MARCH 31, 2012 (Unaudited)

 

		Property & Casualty
		Global Insurance				U.S. Insurance				Reinsurance				Alterra at Lloyd’s				Latin America				Total
UNDERWRITING RATIOS
Loss ratio			38.5	%			67.3	%			60.3	%			73.2	%			74.0	%			61.0	%
Acquisition cost ratio			0.1	%			13.8	%			23.0	%			17.9	%			26.4	%			17.6	%
General and administrative expense ratio			13.8	%			22.0	%			10.2	%			17.2	%			15.9	%			14.0	%
Combined ratio			52.4	%			103.1	%			93.4	%			108.2	%			116.2	%			92.6	%
EFFECT OF PRIOR ACCIDENT YEAR RESERVE DEVELOPMENT FAVORABLE / (UNFAVORABLE)
Loss ratio [a]			39.0	%			(1.8	%)			(0.5	%)			(8.5	%)			(8.0	%)			3.2	%
NET OF PRIOR ACCIDENT YEAR RESERVE DEVELOPMENT UNDERWRITING RATIOS
Loss ratio			77.4	%			65.5	%			59.7	%			64.7	%			66.0	%			64.2	%
Acquisition cost ratio			0.1	%			13.8	%			23.0	%			17.9	%			26.4	%			17.6	%
General and administrative expense ratio			13.8	%			22.0	%			10.2	%			17.2	%			15.9	%			14.0	%
Combined ratio			91.4	%			101.3	%			92.9	%			99.7	%			108.3	%			95.8	%

CONSOLIDATED UNDERWRITING RATIOS - THREE MONTHS ENDED MARCH 31, 2011 (Unaudited)

 

		Property & Casualty
		Global Insurance				U.S. Insurance				Reinsurance				Alterra at Lloyd’s				Latin America				Total
UNDERWRITING RATIOS
Loss ratio			63.4	%			64.1	%			81.9	%			113.8	%			67.5	%			80.2	%
Acquisition cost ratio			0.5	%			14.9	%			21.3	%			29.7	%			20.1	%			18.6	%
General and administrative expense ratio			15.9	%			21.0	%			9.9	%			19.4	%			27.6	%			13.8	%
Combined ratio			79.9	%			100.0	%			113.1	%			162.8	%			115.2	%			112.5	%
EFFECT OF PRIOR ACCIDENT YEAR RESERVE DEVELOPMENT FAVORABLE / (UNFAVORABLE)
Loss ratio [a]			14.7	%			—				10.2	%			—				—				8.0	%
NET OF PRIOR ACCIDENT YEAR RESERVE DEVELOPMENT UNDERWRITING RATIOS
Loss ratio			78.1	%			64.1	%			92.1	%			113.8	%			67.5	%			88.2	%
Acquisition cost ratio			0.5	%			14.9	%			21.3	%			29.7	%			20.1	%			18.6	%
General and administrative expense ratio			15.9	%			21.0	%			9.9	%			19.4	%			27.6	%			13.8	%
Combined ratio			94.6	%			100.0	%			123.3	%			162.8	%			115.2	%			120.5	%

 

[a]	Prior accident year reserve development excludes changes in reserves resulting from changes in premium estimates on prior years’ contracts.

Percentage totals may not add due to rounding.

 

8

---

ALTERRA CAPITAL HOLDINGS LIMITED

GLOBAL INSURANCE SEGMENT DATA (Unaudited)

(Expressed in thousands of United States Dollars)

 

		FOR THE QUARTERS ENDED
		Mar. 31, 2012				Dec. 31, 2011				Sept. 30, 2011				June 30, 2011				Mar. 31, 2011				Mar. 31, 2010
Gross premiums written		$	66,771			$	97,660			$	73,297			$	130,909			$	63,895			$	66,421
Reinsurance premiums ceded			(43,251	)			(50,172	)			(37,625	)			(55,133	)			(38,524	)			(38,576	)
Net premiums written		$	23,520			$	47,488			$	35,672			$	75,776			$	25,371			$	27,845
Earned premiums		$	94,103			$	91,077			$	93,467			$	88,892			$	90,651			$	97,041
Earned premiums ceded			(47,133	)			(42,827	)			(48,456	)			(43,286	)			(40,779	)			(47,246	)
Net premiums earned			46,970				48,250				45,011				45,606				49,872				49,795
Net losses and loss expenses			(18,061	)			(15,152	)			(21,288	)			(23,689	)			(31,624	)			(37,279	)
Acquisition costs			(59	)			(1,084	)			748				1,117				(264	)			309
General and administrative expenses			(6,481	)			(6,952	)			(6,699	)			(6,774	)			(7,952	)			(5,897	)
Other income (loss)			815				(128	)			—				85				729				(11	)
Underwriting income		$	23,184			$	24,934			$	17,772			$	16,345			$	10,761			$	6,917
Loss ratio			38.5	%			31.4	%			47.3	%			51.9	%			63.4	%			74.9	%
Acquisition cost ratio			0.1	%			2.2	%			(1.7	%)			(2.4	%)			0.5	%			(0.6	%)
General and administrative expense ratio			13.8	%			14.4	%			14.9	%			14.9	%			15.9	%			11.8	%
Combined ratio			52.4	%			48.1	%			60.5	%			64.3	%			79.9	%			86.1	%

 

9

---

ALTERRA CAPITAL HOLDINGS LIMITED

U.S. INSURANCE SEGMENT DATA (Unaudited)

(Expressed in thousands of United States Dollars)

 

		FOR THE QUARTERS ENDED
		Mar 31, 2012				Dec. 31, 2011				Sept. 30, 2011				June 30, 2011				Mar. 31, 2011				Mar. 31, 2010
Gross premiums written		$	104,282			$	102,279			$	84,858			$	109,794			$	77,765			$	76,887
Reinsurance premiums ceded			(70,494	)			(45,443	)			(30,579	)			(28,227	)			(38,317	)			(49,227	)
Net premiums written		$	33,788			$	56,836			$	54,279			$	81,567			$	39,448			$	27,660
Earned premiums		$	96,241			$	90,048			$	83,279			$	82,244			$	81,470			$	73,890
Earned premiums ceded			(40,456	)			(34,078	)			(28,004	)			(23,835	)			(27,801	)			(39,977	)
Net premiums earned			55,785				55,970				55,275				58,409				53,669				33,913
Net losses and loss expenses			(37,564	)			(45,129	)			(36,002	)			(38,012	)			(34,415	)			(21,363	)
Acquisition costs			(7,696	)			(8,349	)			(9,669	)			(10,400	)			(7,986	)			(3,674	)
General and administrative expenses			(12,257	)			(12,299	)			(10,228	)			(11,374	)			(11,270	)			(8,472	)
Other income (loss)			81				84				58				54				83				5
Underwriting (loss) income		$	(1,651	)		$	(9,723	)		$	(566	)		$	(1,323	)		$	81			$	409
Loss ratio			67.3	%			80.6	%			65.1	%			65.1	%			64.1	%			63.0	%
Acquisition cost ratio			13.8	%			14.9	%			17.5	%			17.8	%			14.9	%			10.8	%
General and administrative expense ratio			22.0	%			22.0	%			18.5	%			19.5	%			21.0	%			25.0	%
Combined ratio			103.1	%			117.5	%			101.1	%			102.4	%			100.0	%			98.8	%

 

10

---

ALTERRA CAPITAL HOLDINGS LIMITED

REINSURANCE SEGMENT DATA (Unaudited)

(Expressed in thousands of United States Dollars)

 

		FOR THE QUARTERS ENDED
		Mar. 31, 2012				Dec. 31, 2011				Sept. 30, 2011				June 30, 2011				Mar. 31, 2011				Mar. 31, 2010
Gross premiums written		$	318,354			$	88,397			$	121,329			$	244,899			$	360,727			$	154,829
Reinsurance premiums ceded			(59,493	)			(1,670	)			(11,055	)			(27,675	)			(35,252	)			(45,351	)
Net premiums written		$	258,861			$	86,727			$	110,274			$	217,224			$	325,475			$	109,478
Earned premiums		$	194,661			$	207,129			$	206,698			$	203,470			$	244,340			$	95,737
Earned premiums ceded			(26,753	)			(17,718	)			(17,146	)			(11,815	)			(19,901	)			(15,958	)
Net premiums earned			167,908				189,411				189,552				191,655				224,439				79,779
Net losses and loss expenses			(101,195	)			(97,328	)			(108,135	)			(122,576	)			(183,908	)			(50,061	)
Acquisition costs			(38,661	)			(42,026	)			(41,781	)			(42,947	)			(47,760	)			(14,965	)
General and administrative expenses			(17,052	)			(14,585	)			(16,470	)			(21,647	)			(22,272	)			(7,832	)
Other income (loss)			4,441				(100	)			777				548				—				—
Underwriting income (loss)		$	15,441			$	35,372			$	23,943			$	5,033			$	(29,501	)		$	6,921
Loss ratio			60.3	%			51.4	%			57.0	%			64.0	%			81.9	%			62.7	%
Acquisition cost ratio			23.0	%			22.2	%			22.0	%			22.4	%			21.3	%			18.8	%
General and administrative expense ratio			10.2	%			7.7	%			8.7	%			11.3	%			9.9	%			9.8	%
Combined ratio			93.4	%			81.3	%			87.8	%			97.7	%			113.1	%			91.3	%

 

11

---

ALTERRA CAPITAL HOLDINGS LIMITED

ALTERRA AT LLOYD’S SEGMENT DATA (Unaudited)

(Expressed in thousands of United States Dollars)

 

		FOR THE QUARTERS ENDED
		Mar. 31, 2012				Dec. 31, 2011				Sept. 30, 2011				June 30, 2011				Mar. 31, 2011				Mar. 31, 2010
Gross premiums written		$	146,143			$	27,933			$	44,816			$	72,428			$	107,890			$	72,117
Reinsurance premiums ceded			(38,590	)			(8,888	)			(6,723	)			(24,918	)			(23,179	)			(19,959	)
Net premiums written		$	107,553			$	19,045			$	38,093			$	47,510			$	84,711			$	52,158
Earned premiums		$	72,899			$	52,850			$	50,534			$	58,117			$	63,164			$	37,460
Earned premiums ceded			(20,049	)			(14,952	)			(10,850	)			(14,540	)			(20,580	)			(7,469	)
Net premiums earned			52,850				37,898				39,684				43,577				42,584				29,991
Net losses and loss expenses			(38,675	)			(64,346	)			(24,462	)			(21,072	)			(48,443	)			(16,258	)
Acquisition costs			(9,434	)			(7,977	)			(6,230	)			(9,946	)			(12,652	)			(5,767	)
General and administrative expenses			(9,095	)			(7,271	)			(8,007	)			(7,773	)			(8,253	)			(2,713	)
Other income (loss)			—				851				(27	)			165				215				178
Underwriting (loss) income		$	(4,354	)		$	(40,845	)		$	958			$	4,951			$	(26,549	)		$	5,431
Loss ratio			73.2	%			169.8	%			61.6	%			48.4	%			113.8	%			54.2	%
Acquisition cost ratio			17.9	%			21.0	%			15.7	%			22.8	%			29.7	%			19.2	%
General and administrative expense ratio			17.2	%			19.2	%			20.2	%			17.8	%			19.4	%			9.0	%
Combined ratio			108.2	%			210.0	%			97.5	%			89.0	%			162.8	%			82.5	%

 

12

---

ALTERRA CAPITAL HOLDINGS LIMITED

LATIN AMERICA SEGMENT DATA (Unaudited)

(Expressed in thousands of United States Dollars)

 

		FOR THE QUARTERS ENDED
		Mar. 31, 2012				Dec. 31, 2011				Sept. 30, 2011				June 30, 2011				Mar. 31, 2011				Mar. 31, 2010
Gross premiums written		$	25,340			$	8,545			$	61,206			$	4,947			$	17,136			$	22
Reinsurance premiums ceded			(12,616	)			(876	)			(4,819	)			(572	)			(2,065	)			—
Net premiums written		$	12,724			$	7,669			$	56,387			$	4,375			$	15,071			$	22
Earned premiums		$	19,523			$	18,363			$	18,131			$	9,355			$	9,202			$	6
Earned premiums ceded			(5,283	)			(1,803	)			(1,343	)			(490	)			(294	)			—
Net premiums earned			14,240				16,560				16,788				8,865				8,908				6
Net losses and loss expenses			(10,534	)			(9,578	)			(8,634	)			(5,784	)			(6,016	)			(4	)
Acquisition costs			(3,755	)			(4,813	)			(4,357	)			(2,382	)			(1,787	)			(1	)
General and administrative expenses			(2,259	)			(2,105	)			(2,431	)			(3,053	)			(2,456	)			(1,127	)
Underwriting (loss) income		$	(2,308	)		$	64			$	1,366			$	(2,354	)		$	(1,351	)		$	(1,126	)
Loss ratio			74.0	%			57.8	%			51.4	%			65.2	%			67.5	%			66.7	%
Acquisition cost ratio			26.4	%			29.1	%			26.0	%			26.9	%			20.1	%			16.7	%
General and administrative expense ratio			15.9	%			12.7	%			14.5	%			34.4	%			27.6	%			n/m
Combined ratio			116.2	%			99.6	%			91.9	%			126.6	%			115.2	%			n/m

 

13

---

ALTERRA CAPITAL HOLDINGS LIMITED

LIFE AND ANNUITY REINSURANCE SEGMENT DATA (Unaudited)

(Expressed in thousands of United States Dollars)

 

		FOR THE QUARTERS ENDED
		Mar. 31, 2012				Dec. 31, 2011				Sept. 30, 2011				June 30, 2011				Mar. 31, 2011				Mar. 31, 2010
Gross premiums written		$	440			$	1,169			$	822			$	930			$	435			$	863
Reinsurance premiums ceded			(18	)			(154	)			(90	)			(101	)			(20	)			(107	)
Net premiums written		$	422			$	1,015			$	732			$	829			$	415			$	756
Earned premiums		$	440			$	1,169			$	822			$	930			$	435			$	863
Earned premiums ceded			(18	)			(154	)			(90	)			(101	)			(20	)			(107	)
Net premiums earned			422				1,015				732				829				415				756
Net investment income			14,776				11,515				12,131				12,545				12,343				13,099
Net realized and unrealized (losses) gains on investments			—				(5,509	)			(6,407	)			(1,299	)			2,807				5,916
Other income (loss)			—				413				(8	)			(23	)			—				(28	)
Claims and policy benefits			(13,466	)			(14,564	)			(14,538	)			(15,570	)			(14,710	)			(17,659	)
Acquisition costs			(119	)			(131	)			(145	)			(122	)			(159	)			(146	)
General and administrative expenses			(34	)			(67	)			(145	)			(259	)			(177	)			(657	)
Income (loss) before taxes		$	1,579			$	(7,328	)		$	(8,380	)		$	(3,899	)		$	519			$	1,281

 

14

---

ALTERRA CAPITAL HOLDINGS LIMITED

SEGMENT GROSS PREMIUMS WRITTEN BY LINE OF BUSINESS (Unaudited)

(Expressed in thousands of United States Dollars)

 

				FOR THE QUARTERS ENDED
				Mar. 31, 2012				Dec. 31, 2011				Sept. 30, 2011				June 30, 2011				Mar. 31, 2011				Mar. 31, 2010
Property & Casualty:
Global Insurance:
Aviation		S		$	1,302			$	20,410			$	6,736			$	3,814			$	1,416			$	2,349
Excess Liability		L			25,186				21,281				20,365				34,659				22,277				23,648
Professional Liability		L			24,466				40,360				30,590				62,402				24,529				27,573
Property		S			15,817				15,609				15,606				30,034				15,673				12,851
					66,771				97,660				73,297				130,909				63,895				66,421
U.S. Insurance:
General/ Excess Liability		L			34,667				31,618				24,925				25,118				22,993				23,014
Marine		S			25,201				23,806				22,189				25,389				17,109				16,063
Professional Liability		L			11,208				15,720				13,318				8,509				6,622				2,246
Property		S			33,206				31,135				24,426				50,778				31,041				35,564
					104,282				102,279				84,858				109,794				77,765				76,887
Reinsurance:
Agriculture		S			17,505				186				998				8,713				20,785				35,806
Auto		S			512				20,548				7,716				55,072				15,024				—
Aviation		S			5,460				337				14,440				80				904				4,822
Credit/ Surety		S			31,409				1,801				98				571				22,707				—
General Casualty		L			12,521				12,951				20,923				22,045				15,427				13,051
Marine & Energy		S			11,707				2,918				1,647				(678	)			16,549				4,100
Medical Malpractice		L			11,276				1,673				6,867				11,223				17,582				27,155
Other		S			4,437				(181	)			1,112				447				1,693				989
Professional Liability		L			59,458				20,270				39,877				39,462				59,684				11,919
Property		S			144,413				18,731				22,115				103,390				138,866				45,911
Whole Account		S/L			1,408				2,408				(1,946	)			268				35,070				2,573
Workers’ Compensation		L			18,248				6,755				7,482				4,306				16,436				8,503
					318,354				88,397				121,329				244,899				360,727				154,829
Alterra at Lloyd’s:
Accident & Health		S			17,432				5,646				9,523				8,380				13,544				13,410
Agriculture		S			20,370				—				—				—				—				—
Aviation		S			2,486				5,562				4,130				1,810				1,767				4,403
Financial Institutions		L			6,904				8,137				3,591				6,441				9,036				6,088
International Casualty		L			49,268				1,947				7,903				8,263				33,789				13,684
Marine		S			2,726				1,493				—				—				—				—
Professional Liability		L			5,428				1,868				440				10,466				7,922				6,896
Property		S			41,529				3,280				19,229				37,068				41,832				27,636
					146,143				27,933				44,816				72,428				107,890				72,117
Latin America:
Aviation		S			65				—				230				—				—				—
General Liability		L			2,435				179				1,947				223				957				—
Marine		S			1,688				489				2,484				59				544				—
Property		S			16,711				2,914				48,159				3,681				13,935				22
Surety		S			4,441				4,963				8,386				984				1,700				—
					25,340				8,545				61,206				4,947				17,136				22
Aggregate Property & Casualty				$	660,890			$	324,814			$	385,506			$	562,977			$	627,413			$	370,276
Life & Annuity:
Annuity				$	353			$	770			$	449			$	271			$	336			$	—
Life					87				399				373				659				99				863
Aggregate Life & Annuity				$	440			$	1,169			$	822			$	930			$	435			$	863
Aggregate Property & Casualty and Life & Annuity				$	661,330			$	325,983			$	386,328			$	563,907			$	627,848			$	371,139
S = Short tail lines				$	399,121			$	160,851			$	208,251			$	329,726			$	372,624			$	205,212
L = Long tail lines					261,769				163,963				177,255				233,251				254,789				165,064
Aggregate Property & Casualty				$	660,890			$	324,814			$	385,506			$	562,977			$	627,413			$	370,276
Property [a]				$	251,676			$	71,669			$	129,535			$	224,951			$	241,347			$	121,984
Casualty [b]					261,065				162,759				178,228				233,117				237,254				163,777
Specialty [c]					148,149				90,386				77,743				104,909				148,812				84,515
Aggregate Property & Casualty				$	660,890			$	324,814			$	385,506			$	562,977			$	627,413			$	370,276

 

[a]	Property includes property lines of business.

[b]	Casualty includes excess liability, financial institutions, general liability, general casualty, international casualty, medical malpractice, professional liability and workers’ compensation lines of business.

[c]	Specialty includes accident & health, agriculture, auto, aviation, credit, energy, marine, other, surety and whole account lines of business.

 

15

---

ALTERRA CAPITAL HOLDINGS LIMITED

INVESTMENT PORTFOLIO (Unaudited)

(Expressed in thousands of United States Dollars)

 

		Carrying Value																Fair Value
Type of Investment		As of Mar. 31, 2012				Investment Distribution				As of Dec. 31, 2011				Investment Distribution				As of Mar. 31, 2012				Investment Distribution				As of Dec. 31, 2011				Investment Distribution
Cash and cash equivalents		$	844,743				10.8	%		$	922,844				11.8	%		$	844,743				10.6	%		$	922,844				11.6	%
U.S. government and agencies			773,635				9.9	%			751,806				9.6	%			773,635				9.7	%			751,806				9.5	%
Non-U.S. governments			172,921				2.2	%			164,621				2.1	%			172,921				2.2	%			164,621				2.1	%
Corporate securities			2,586,702				33.1	%			2,646,358				33.9	%			2,586,702				32.5	%			2,646,358				33.3	%
Municipal securities			268,658				3.4	%			263,007				3.4	%			268,658				3.4	%			263,007				3.3	%
Asset-backed securities			263,481				3.4	%			247,965				3.2	%			263,481				3.3	%			247,965				3.1	%
Residential mortgage-backed securities			1,311,184				16.8	%			1,296,277				16.6	%			1,311,184				16.5	%			1,296,277				16.3	%
Commercial mortgage-backed securities			365,113				4.7	%			361,097				4.6	%			365,113				4.6	%			361,097				4.5	%
Fixed maturities carried at fair value		$	5,741,694				73.6	%		$	5,731,131				73.3	%		$	5,741,694				72.2	%		$	5,731,131				72.1	%
Other investments carried at fair value		$	332,884				4.3	%		$	286,515				3.7	%		$	332,884				4.2	%		$	286,515				3.6	%
Total investments carried at fair value		$	6,919,321				88.7	%		$	6,940,490				88.8	%		$	6,919,321				87.0	%		$	6,940,490				87.3	%
U.S. government and agencies		$	29,206				0.4	%		$	29,201				0.4	%		$	31,982				0.4	%		$	32,906				0.4	%
Non-U.S. governments			537,824				6.9	%			524,449				6.7	%			638,160				8.0	%			623,080				7.8	%
Corporate securities			317,184				4.1	%			319,609				4.1	%			358,356				4.5	%			354,504				4.5	%
Asset-backed securities			1,000				0.0	%			1,000				0.0	%			1,004				0.0	%			1,003				0.0	%
Fixed maturities carried at amortized cost		$	885,214				11.3	%		$	874,259				11.2	%		$	1,029,502				13.0	%		$	1,011,493				12.7	%
Total invested assets		$	7,804,535				100.0	%		$	7,814,749				100.0	%		$	7,948,823				100.0	%		$	7,951,983				100.0	%
As of March 31, 2012, the weighted average book yield of the cash and fixed maturities portfolio was 3.36%, and the weighted average duration was 4.2 years.
		Carrying Value																Fair Value
Credit Ratings		As of Mar. 31, 2012				Ratings Distribution				As of Dec. 31, 2011				Ratings Distribution				As of Mar. 31, 2012				Ratings Distribution				As of Dec. 31, 2011				Ratings Distribution
U.S. government and agencies [a]		$	1,986,689				30.0	%		$	1,869,405				28.3	%		$	1,986,689				29.3	%		$	1,869,405				27.7	%
AAA			1,007,269				15.2	%			948,861				14.4	%			1,007,269				14.9	%			948,861				14.1	%
AA			828,916				12.5	%			883,783				13.4	%			828,916				12.2	%			883,783				13.1	%
A			1,363,572				20.6	%			1,378,361				20.9	%			1,363,572				20.1	%			1,378,361				20.4	%
BBB			284,843				4.3	%			281,983				4.3	%			284,843				4.2	%			281,983				4.2	%
BB			64,343				1.0	%			84,803				1.3	%			64,343				1.0	%			84,803				1.3	%
B			121,783				1.8	%			131,159				2.0	%			121,783				1.8	%			131,159				1.9	%
CCC or lower			43,005				0.6	%			53,157				0.8	%			43,005				0.6	%			53,157				0.8	%
Not rated			41,274				0.6	%			99,619				1.5	%			41,274				0.6	%			99,619				1.5	%
Fixed maturities carried at fair value		$	5,741,694				86.6	%		$	5,731,131				86.8	%		$	5,741,694				84.8	%		$	5,731,131				85.0	%
U.S. government and agencies		$	29,206				0.4	%		$	29,201				0.4	%		$	31,982				0.5	%		$	32,907				0.5	%
AAA			612,593				9.2	%			619,832				9.4	%			726,242				10.7	%			733,631				10.9	%
AA			99,451				1.5	%			82,511				1.2	%			109,423				1.6	%			88,631				1.3	%
A			121,952				1.8	%			117,600				1.8	%			137,218				2.0	%			129,791				1.9	%
BBB			21,014				0.3	%			24,117				0.4	%			23,750				0.4	%			25,705				0.4	%
BB			998				0.0	%			998				0.0	%			887				0.0	%			828				0.0	%
Fixed maturities carried at amortized cost		$	885,214				13.4	%		$	874,259				13.2	%		$	1,029,502				15.2	%		$	1,011,493				15.0	%
Total fixed maturities		$	6,626,908				100.0	%		$	6,605,390				100.0	%		$	6,771,196				100.0	%		$	6,742,624				100.0	%

 

[a]	Included within U.S. government and agencies are agency-issued residential mortgage-backed securities with a fair value of $1,213,054 (December 31, 2011: $1,117,599).

Percentage totals may not add due to rounding.

 

		Quarter Ended				Quarter Ended				Quarter Ended				Quarter Ended				Quarter Ended				Quarter Ended
		Mar. 31, 2012				Dec. 31, 2011				Sept. 30, 2011				Jun. 31, 2011				Mar. 31. 2011				Mar. 31. 2010
Net investment income		$	58,678			$	57,080			$	60,335			$	59,665			$	57,766			$	48,390
Realized and unrealized gains (losses) on trading fixed maturities		$	1,066			$	763			$	1,663			$	1,432			$	(1,827	)		$	(182	)
Net realized gains (losses) on available for sale fixed maturities			7,759				1,990				6,096				54				3,369				838
Increase in fair value of hedge funds			3,679				(5,415	)			(7,669	)			(1,878	)			3,167				7,370
Decrease in fair value of catastrophe bonds			—				—				—				(251	)			(25,390	)			—
Increase (decrease) in fair value of structured deposit			365				(313	)			(2,007	)			(1,284	)			1,334				—
Income (loss) from equity method investments			4,927				1,024				579				(13	)			(145	)			(83	)
Increase (decrease) in fair value of derivatives			7,697				(3,824	)			(6,634	)			(3,834	)			674				(1,521	)
Net realized and unrealized gains (losses) on investments		$	25,493			$	(5,775	)		$	(7,972	)		$	(5,774	)		$	(18,818	)		$	6,422
Net impairment losses recognized in earnings		$	(5,369	)		$	(702	)		$	(861	)		$	(353	)		$	(1,029	)		$	(420	)

 

16

---

ALTERRA CAPITAL HOLDINGS LIMITED

INVESTMENT PORTFOLIO (Unaudited)

(Expressed in thousands of United States Dollars)

 

						Periodic Rate of Return
		As of				Last 3 Months				Year to Date				Last 12 months				Last 60 months*
		Mar. 31, 2012
Cash and fixed maturities		$	7,471,651				1.15	%			1.15	%			5.85	%			5.31	%
Distressed securities		$	25,511				4.81	%			4.81	%			1.82	%			3.32	%
Diversified arbitrage			18,121				5.34	%			5.34	%			(2.82	%)			(2.40	%)
Emerging markets			3,690				(25.14	%)			(25.14	%)			(26.05	%)			(3.26	%)
Event-driven arbitrage			9,302				(14.66	%)			(14.66	%)			(31.89	%)			(7.43	%)
Fixed income arbitrage			—				0.00	%			0.00	%			0.00	%			11.78	%
Fund of funds			32,907				3.84	%			3.84	%			2.05	%			1.74	%
Global macro			23,743				1.65	%			1.65	%			1.69	%			5.01	%
Long / short credit			1,763				(0.44	%)			(0.44	%)			(14.00	%)			(0.55	%)
Long / short equity			107,585				4.69	%			4.69	%			1.40	%			4.62	%
Opportunistic			1,660				(2.00	%)			(2.00	%)			(3.48	%)			(22.99	%)
Hedge funds **			224,282				1.33	%			1.33	%			(3.24	%)			0.55	%
Derivatives			3,267
Structured deposits			24,905
Equity investments			80,430
Total other investments		$	332,884
Total invested assets		$	7,804,535
Hedge Fund Investment Return Data:
HFRI Fund of Funds Composite Index [a]							3.36	%			3.36	%			(3.41	%)			(0.71	%)
Hedge Fund Performance History – 60 months ended March 31, 2012

 

Monthly performance		2012				2011				2010				2009				2008				2007
January			1.53	%			0.13	%			0.79	%			2.13	%			(1.37	%)
February			0.02	%			0.57	%			0.17	%			0.65	%			1.83	%
March			(0.21	%)			0.29	%			1.02	%			(0.76	%)			(2.58	%)
April							0.73	%			0.88	%			(0.84	%)			(0.13	%)			2.30	%
May							(0.28	%)			(0.73	%)			2.45	%			2.51	%			2.59	%
June							(0.89	%)			(0.83	%)			1.53	%			0.93	%			0.85	%
July							0.15	%			0.36	%			1.40	%			(4.12	%)			0.99	%
August							(1.37	%)			(0.28	%)			0.78	%			(2.14	%)			(1.62	%)
September							(1.13	%)			1.28	%			1.71	%			(7.31	%)			1.85	%
October							0.07	%			0.84	%			1.53	%			(4.85	%)			4.15	%
November							(0.19	%)			0.40	%			0.35	%			(1.75	%)			0.10	%
December							(1.67	%)			0.31	%			0.77	%			(1.92	%)			(0.13	%)
Quarterly performance
Q1			1.33	%			0.98	%			1.99	%			2.00	%			(2.15	%)			4.75	%
Q2							(0.45	%)			(0.69	%)			3.14	%			3.33	%			5.83	%
Q3							(2.33	%)			1.35	%			3.94	%			(13.03	%)			1.18	%
Q4							(1.79	%)			1.56	%			2.66	%			(8.31	%)			4.11	%
Period return			1.33	%			(3.57	%)			4.25	%			12.27	%			(19.38	%)			16.78	%

Past performance should not be considered to be a reliable indicator of future performance.

 

[a]	As reported by HFRI as of April 26, 2012

*	Annualized

**	Net of all fees

 

17

---

ALTERRA CAPITAL HOLDINGS LIMITED

LARGEST 25 CORPORATE HOLDINGS [a] (Unaudited)

(Expressed in thousands of United States Dollars)

 

		As of Mar. 31, 2012
Issuer		Amortized Cost				Fair Value
General Electric Co.		$	89,643			$	94,777
JP Morgan Chase & Co			83,998				86,797
Citigroup Inc			74,744				77,377
Bank of America Corp			67,508				69,142
European Investment Bank			58,343				66,587
KFW			48,196				54,666
Wells Fargo & Co			50,778				53,515
Morgan Stanley			44,022				44,417
Goldman Sachs Group Inc			39,006				39,954
Pepsico Inc			33,554				35,616
Novartis AG			32,948				34,954
Credit Suisse Group AG			33,754				34,935
BP plc			31,633				33,110
Ally Financial Inc			31,572				31,787
AT&T Inc			29,293				31,287
Wal-Mart Stores Inc			29,081				30,109
UBS AG			26,927				29,326
International Business Machines Corp			26,433				28,223
Verizon Communications Inc			26,254				28,057
Conoco Philips			25,300				27,838
Metlife Inc			25,044				27,310
PNC Financial Services Group Inc			26,383				26,934
National Australia Bank Ltd			26,348				26,726
Coca-Cola Co			24,436				26,272
Barclays plc			26,081				25,944
		$	1,011,279			$	1,065,660

 

[a]	Corporate holdings includes supranationals and government-guaranteed corporate securities.

 

18

---

ALTERRA CAPITAL HOLDINGS LIMITED

EUROPEAN GOVERNMENT AND EUROPEAN FINANCIAL INSTITUTION HOLDINGS (Unaudited)

(Expressed in thousands of United States Dollars)

 

		As of Mar. 31, 2012
Largest European Government Holdings		Fair Value				% of Total
France		$	275,008				36.6	%
Germany			251,063				33.4	%
Netherlands			147,397				19.6	%
United Kingdom			42,385				5.6	%
Belgium			21,344				2.8	%
Denmark			5,915				0.8	%
Norway			2,997				0.4	%
All Other European Governments			4,880				0.6	%
Total European Government Holdings		$	750,989				100.0	%
		As of Mar. 31, 2012
Largest European Financial Institution Holdings		Fair Value				% of Total
European Investment Bank		$	66,587				15.8	%
KFW			54,666				13.0	%
Credit Suisse Group AG			34,935				8.3	%
UBS AG			29,326				7.0	%
Barclays plc			25,944				6.2	%
Lloyds Banking Group plc			23,915				5.7	%
Cooperatieve Centrale Raiffeisen-Boerenleenbank			22,240				5.3	%
HSBC Holdings plc			21,950				5.2	%
BNP Paribas SA			18,910				4.5	%
All Other			123,075				29.2	%
Total European Financial Institutions		$	421,548				100.0	%

Percentage totals may not add due to rounding.

 

19

---

ALTERRA CAPITAL HOLDINGS LIMITED

SHAREHOLDER RETURN ANALYSIS (Unaudited)

(Expressed in thousands of United States Dollars, except per share and share amounts)

 

		FOR THE QUARTERS ENDED
		Mar. 31, 2012				Mar. 31, 2011
Income and Return on Equity:
Net income (loss)		$	79,024			$	(46,687	)
Net operating income (loss)		$	67,756			$	(24,725	)
Average shareholders’ equity		$	2,830,249			$	2,820,732
Annualized return on average shareholders’ equity [a]			11.2	%			(6.6	%)
Annualized net operating return on average shareholders’ equity [a]			9.6	%			(3.5	%)
Book value and dividends per share:
Diluted book value per share		$	27.67			$	25.34
Dividends paid per share		$	0.14			$	0.12
Change in diluted book value per share			2.8	%			(2.5	%)
Dividend payout ratio [b]			0.5	%			0.4	%
Total return to shareholders [c]			3.3	%			(2.1	%)

 

[a]	Annualized return on average shareholders’ equity is defined as annualized net income divided by the quarterly average shareholders’ equity balances.

Annualized net operating return on average shareholders’ equity is defined as annualized net operating income divided by the quarterly average shareholders’ equity balances.

 

[b]	Dividend payout ratio is calculated as dividends paid divided by beginning shareholders’ equity.

[c]	Total return to shareholders is calculated as the change in diluted book value per share plus the dividend payout ratio.

 

20

---

ALTERRA CAPITAL HOLDINGS LIMITED

EARNINGS PER SHARE INFORMATION (Unaudited)

(Expressed in thousands of United States Dollars, except per share and share amounts)

 

		FOR THE QUARTERS ENDED
		Mar. 31, 2012				Mar. 31, 2011
Net income (loss) available to common shareholders		$	79,024			$	(46,687	)
Denominator:
Weighted average shares - basic
Outstanding [a]			100,734,640				106,978,358
Unvested restricted share units			268,244				186,870
			101,002,884				107,165,228
Share equivalents:
Warrants			1,931,251				—
Options			116,024				—
Employee stock purchase plan			6,405				—
Non participating restricted shares			97,517				—
Weighted average shares - diluted [b]			103,154,081				107,165,228
Net income (loss) per share		$	0.78			$	(0.44	)
Net income (loss) per diluted share		$	0.77			$	(0.44	)

 

[a]	Includes weighted average unvested participating restricted shares.

[b]	Computed using the treasury method. The treasury method assumes that the proceeds received from the exercise of options or warrants will be used to repurchase the Company’s common shares at the average market price during the period of calculation.

 

21

---

ALTERRA CAPITAL HOLDINGS LIMITED

OPERATING INCOME RECONCILIATION (Unaudited)

(Expressed in thousands of United States Dollars, except per share and share amounts)

 

		FOR THE QUARTERS ENDED
		Mar. 31, 2012				Mar. 31, 2011
Before tax
Net income (loss)		$	74,442			$	(49,387	)
Net realized and unrealized (gains) losses on investments excluded from operating income, before tax [a]			(11,551	)			23,109
Foreign exchange (gains) losses, before tax			(32	)			(878	)
Net operating income (loss)			62,859				(27,156	)
Net of tax
Net income		$	79,024			$	(46,687	)
Net realized and unrealized (gains) losses on investments excluded from operating income, net of tax [a]			(11,247	)			22,602
Foreign exchange (gains) losses, net of tax			(21	)			(640	)
Net operating income (loss)			67,756				(24,725	)
Weighted average shares outstanding:
Basic			101,002,884				107,165,228
Diluted			103,154,081				107,165,228
Basic per share data
Income (loss) per share		$	0.78			$	(0.44	)
Net realized and unrealized (gains) losses on investments excluded from operating income, net of tax [a]			(0.11	)			0.21
Foreign exchange (gains) losses, net of tax			(0.00	)			(0.01	)
Net operating income (loss) per share		$	0.67			$	(0.23	)
Diluted per share data
Diluted income (loss) per share		$	0.77			$	(0.44	)
Net realized and unrealized (gains) losses on investments excluded from operating income, net of tax [a]			(0.11	)			0.21
Foreign exchange (gains) losses, net of tax			(0.00	)			(0.01	)
Net operating income (loss) per diluted share		$	0.66			$	(0.23	)

 

[a]

Net realized and unrealized (gains) losses on investments excluded from operating income includes realized and unrealized (gains) losses on trading securities, realized (gains) losses on available for sale securities, net impairment losses recognized in earnings, earnings from equity method investments in run off and changes in fair value of derivatives, catastrophe bonds and structured deposits.

Per share totals may not add due to rounding.

 

22

---

ALTERRA CAPITAL HOLDINGS LIMITED

BOOK VALUE PER SHARE (Unaudited)

(Expressed in thousands of United States Dollars, except per share and share amounts)

 

		As of Mar. 31, 2012				As of Dec. 31, 2011
Price per share at period end		$	22.98			$	23.63
Shareholders’ equity		$	2,851,262			$	2,809,235
Goodwill and intangible assets		$	55,771			$	56,111
Tangible book value		$	2,795,491			$	2,753,124
Basic common shares outstanding [a]			100,707,484				102,101,950
Add: unvested restricted stock units			354,019				241,108
Add: dilutive impact of warrants outstanding			1,764,836				1,938,297
Add: dilutive impact of options outstanding			93,871				125,424
Add: unvested performance based restricted shares			112,625				—
Add: ESPP			3,795				—
Diluted shares outstanding [b]			103,036,630				104,406,779
Basic book value per share		$	28.31			$	27.51
Diluted book value per share		$	27.67			$	26.91
Basic tangible book value per share		$	27.76			$	26.96
Diluted tangible book value per share		$	27.13			$	26.37

 

[a]	Includes unvested restricted shares

[b]	Computed using the treasury method. The treasury method assumes that the proceeds received from the exercise of options or warrants will be used to repurchase the Company’s common shares at the period-end market price.

 

23

---

ALTERRA CAPITAL HOLDINGS LIMITED

REGULATION G

In presenting the Company’s results, management has included and discussed net operating income, net operating income per share, net operating income per diluted share, annualized net operating return on average shareholders’ equity, tangible book value per share and diluted tangible book value per share. These measures are “non-GAAP financial measures” as defined in Regulation G. Management believes that these non-GAAP financial measures, which may be defined differently by other companies, allow for a more complete understanding of the Company’s business. These measures, however, should not be viewed as a substitute for those determined in accordance with U.S. GAAP. The reconciliation of such measures to their respective most directly comparable U.S. GAAP financial measures is presented in the attached financial information in accordance with Regulation G.

Net operating income is defined as net income excluding after-tax net realized and unrealized gains or losses on investment excluded from operating income (this includes net realized and unrealized gains or losses on trading securities, net realized gains or losses on available for sale securities, net impairment losses recognized in earnings, changes in fair value of derivatives, catastrophe bonds, structured deposits and earnings from equity method investments in run-off), after-tax net foreign exchange gains or losses and after-tax merger and acquisition expenses. Net operating income per share and per diluted share is defined as the net operating income divided by the weighted average common shares or weighted average diluted common shares, respectively. We believe that this non-GAAP measure provides a better indication of management performance and the underlying fundamentals of our operations as realized and unrealized gains and losses on non-hedge fund investments and foreign exchange gains and losses may fluctuate from period to period and are typically outside the control of management. Merger and acquisition expenses are not indicative of expenses fundamental to the business and may fluctuate from period to period.

Annualized net operating return on average shareholders’ equity is defined as annualized net operating income divided by the average of the beginning and ending shareholders’ equity. Tangible book value is defined as shareholders’ equity excluding goodwill and intangible assets. Tangible book value per share and diluted tangible book value per share is defined as the tangible book value divided by the common shares outstanding or diluted common shares outstanding, respectively. These non-GAAP measures allow management to assess how the Company has performed in terms of wealth generated for its shareholders.

 

24