Per share totals may not add due to rounding.

                               
Annualized Net Operating Return on Average Shareholders' Equity

(Expressed in thousands of United States Dollars)
 
Three Months Ended December 31, Year Ended December 31,

2012
 

2011

2012
 

2011
 
Net income (loss) $ (51,810 ) $ 30,948 $ 143,806 $ 65,282
Annualized net income (loss) (207,240 ) 123,792 143,806 65,282
 
Net operating income (loss) $ (49,713 ) $ 31,685 $ 119,103 $ 96,600
Annualized net operating income (loss) (198,852 ) 126,740 119,103 96,600
 
Average shareholders' equity [b] $ 2,881,449 $ 2,826,987 $ 2,862,663 $ 2,806,191
 
Annualized return on average shareholders' equity (7.2 )% 4.4 % 5.0 % 2.3 %
Annualized net operating return on average shareholders' equity (6.9 )% 4.5 % 4.2 % 3.4 %
 

[b] Average shareholders equity is computed as the average of the quarterly average shareholders' equity balances.
       
Diluted Tangible Book Value Per Share

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

 
 
December 31, 2012 December 31, 2011
Shareholders' equity $ 2,839,722 $ 2,809,235
Goodwill and intangible assets 54,751   56,111
Tangible book value $ 2,784,971   $ 2,753,124
 
Diluted shares outstanding 100,213,325 104,406,779
 
Diluted tangible book value per share $ 27.79 $ 26.37
 
           

ALTERRA CAPITAL HOLDINGS LIMITED
 

SCHEDULE OF SUPPLEMENTAL INVESTMENT DATA - DECEMBER 31, 2012 (UNAUDITED)
(Expressed in thousands of United States Dollars)
 
Type of Investment

As of December 31, 2012

Investment Distribution

As of December 31, 2011

Investment Distribution
 
Cash and cash equivalents (restricted and unrestricted) $ 694,756   8.6 % $ 922,844   11.8 %
 
U.S. government and agencies $ 885,370 11.0 % $ 751,806 9.6 %
Non-U.S. governments 246,712 3.1 % 164,621 2.1 %
Corporate securities 2,610,605 32.5 % 2,646,358 33.9 %
Municipal securities 273,336 3.4 % 263,007 3.4 %
Asset-backed securities 371,597 4.6 % 247,965 3.2 %
Residential mortgage-backed securities 1,234,670 15.4 % 1,296,277 16.6 %
Commercial mortgage-backed securities 454,259   5.7 % 361,097   4.6 %
 
Fixed maturities at fair value $ 6,076,549   75.6 % $ 5,731,131   73.3 %
 
U.S. government and agencies $ 27,639 0.3 % $ 29,201 0.4 %
Non-U.S. governments 527,843 6.6 % 524,449 6.7 %
Corporate securities 296,360 3.7 % 319,609 4.1 %
Asset-backed securities 424     1,000    
 
Fixed maturities at amortized cost $ 852,266   10.6 % $ 874,259   11.2 %
       
Equity method investments $ 92,050   1.1 % $ 13,670   0.2 %
       
Other investments $ 316,955   3.9 % $ 272,845   3.5 %
 
Total invested assets $ 8,032,576   100.0 % $ 7,814,749   100.0 %
 
Credit Rating

As of December 31, 2012

Ratings Distribution
 

As of December 31, 2011
 

Ratings Distribution
 
U.S. government and agencies [a] $ 2,092,893 30.2 % $ 1,869,405 28.3 %
AAA 1,170,299 16.9 % 948,861 14.4 %
AA 693,411 10.0 % 883,783 13.4 %
A 1,520,959 22.0 % 1,378,361 20.9 %
BBB 320,215 4.6 % 281,983 4.3 %
BB 67,041 1.0 % 84,803 1.3 %
B 158,934 2.3 % 131,159 2.0 %
CCC or lower 38,420 0.6 % 53,157 0.8 %
Not rated 14,377   0.2 %   99,619     1.5 %
Fixed maturities at fair value $ 6,076,549   87.7 %   $ 5,731,131     86.8 %
 
U.S. government and agencies $ 27,639 0.4 % $ 29,201 0.4 %
AAA 406,659 5.9 % 619,832 9.4 %
AA 284,282 4.1 % 82,511 1.2 %
A 99,235 1.4 % 117,600 1.8 %
BBB 32,031 0.5 % 24,117 0.4 %
BB 2,420       998      
Fixed maturities at amortized cost $ 852,266 12.3 % $ 874,259 13.2 %
           
Total fixed maturities $ 6,928,815   100.0 %   $ 6,605,390     100.0 %
 

[a] Included within U.S. government and agencies are agency-issued residential mortgage-backed securities with a fair value of $1,207,523 (December 31, 2011: $1,117,599).

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