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ACGL » Topics » Interest Rate Risk

This excerpt taken from the ACGL 10-K filed Mar 15, 2005.

Interest Rate Risk

        We consider the effect of interest rate movements on the market value of our fixed maturities and short-term investments and the corresponding change in unrealized appreciation. The following table summarizes the effect that an immediate, parallel shift in the U.S. interest rate yield curve would have had at December 31, 2004:

 
   Interest Rate Shift in Basis Points
  
 
   -100
   -50
   0
   50
   100
  
 
   (U.S. dollars in millions)

  
Total market value   $ 5,901.5   $ 5,788.7   $ 5,680.3   $ 5,576.1   $ 5,476.0  
Market value change from base     3.89 %   1.91 %   —     (1.83 %)   (3.60 %)
Change in unrealized value   $ 221.2   $ 108.4     —   ($ 104.2 ) ($ 204.3 )

        In addition, our $300 million unsecured credit facility is subject to variable interest rates. There were no borrowings outstanding under such facility at December 31, 2004. For further discussion on the credit facility, please refer to "—Contractual Obligations and Commercial Commitments—Letter of Credit and Revolving Credit Facilities."

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