Alterra Capital 8-K Max Capital Group LTD. Reports Third-quarter 2009 Earnings

Exhibit 99.2

Max Capital Group Ltd.

Investor Financial Supplement

Third Quarter 2009

(Unaudited)

This supplement is for information purposes only. It should be read in conjunction with documents filed by Max Capital Group Ltd with the U.S. Securities Exchange Commission pursuant to the Securities Act of 1933 and the Securities Exchange Act 1934.

Max Capital Group Ltd.

Investors:

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

or

Media:

Kekst and Company

Roanne Kulakoff or Peter Hill, +1-212-521-4800

MAX CAPITAL GROUP LTD.

FINANCIAL SUPPLEMENT TABLE OF CONTENTS

	Page
Financial Highlights	3
Consolidated Balance Sheets	4
Consolidated Statements of Income - Quarterly	5
Consolidated Statements of Income - Year to Date	6
Segment Information and Ratios - Quarterly	7
Premiums by Line of Business - Quarterly	14
Segment Information and Ratios - Year to Date	15
Premiums by Line of Business - Year to Date	22
Investment Portfolio	23
Shareholder Return Analysis	26
Earnings Per Share	27
Operating Income	28
Book Value per Share	29
Regulation G	30

Cautionary note regarding forward-looking information

This financial supplement includes statements about future economic performance, finances, expectations, plans and prospects of Max Capital Group Ltd. that constitute forward-looking statements for purposes of the safe harbor provisions of the Private Securities Litigation Reform Act of 1995. Such forward-looking statements are subject to certain risks and uncertainties that could cause actual results to differ materially from those suggested by such statements. For further information regarding cautionary statements and factors affecting future results, please refer to the Company’s most recent Annual Report on Form 10-K, Quarterly Reports on Form 10-Q filed subsequent to the Annual Report and other documents filed by the Company with the SEC. The Company undertakes no obligation to update or revise publicly any forward-looking statement whether as a result of new information, future developments or otherwise.

MAX CAPITAL GROUP LTD.

FINANCIAL HIGHLIGHTS

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

	Quarter Ended						Nine months						Previous Year Quarter Change		Previous Year to Date Change
	Sept 30, 2009			Sept 30, 2008			Sept 30, 2009			Sept 30, 2008
HIGHLIGHTS
Net income	$	95,326		$	(163,187	)	$	183,623		$	(81,235	)	n/a		n/a
Net operating income [a]		53,660			(144,651	)		148,404			(58,231	)	n/a		n/a
Operating cashflow		134,322			180,992			249,851			349,633		(25.8	%)	(28.5	%)
Gross premiums written		265,886			206,260			1,096,668			882,186		28.9	%	24.3	%
Net premiums earned		208,016			141,589			627,083			512,011		46.9	%	22.5	%
Total assets		7,428,746			6,638,933			7,428,746			6,638,933		11.9	%	11.9	%
Total shareholders’ equity		1,546,674			1,274,482			1,546,674			1,274,482		21.4	%	21.4	%
PER SHARE
Basic earnings per share
Net income	$	1.67		$	(2.89	)	$	3.22		$	(1.43	)
Net operating income [a]		0.95			(2.57	)		2.61			(1.03	)
Diluted earnings per share
Net income	$	1.64		$	(2.89	)	$	3.18		$	(1.43	)
Net operating income [a]		0.92			(2.57	)		2.57			(1.03	)
Weighted average shares outstanding - basic		57,233,115			56,385,134			56,978,901			56,660,457
Weighted average shares outstanding - diluted		58,210,501			56,385,134			57,677,996			56,660,457
Book value per common share [b]	$	27.13		$	22.77		$	27.13		$	22.77		19.1	%	19.1	%
Diluted book value per share (treasury stock method) [b]		26.54			21.88			26.54			21.88		21.3	%	21.3	%
RATIOS
Annualized return on average shareholders equity [c]		26.2	%		(47.2	%)		17.3	%		(7.6	%)
Annualized net operating return on average shareholders equity [c]		14.8	%		(41.9	%)		14.0	%		(5.4	%)
Loss ratio [d]		63.4	%		75.5	%		64.7	%		66.6	%
Acquisition cost ratio [d]		13.4	%		9.7	%		12.4	%		8.4	%
General and administrative expense ratio [d]		14.1	%		13.8	%		13.4	%		14.1	%
Combined ratio [d]		90.9	%		99.0	%		90.5	%		89.1	%

[a] Net operating income represents net income excluding, as applicable, after-tax net realized gains and losses on fixed maturities, after-tax net foreign exchange gains or losses, and after-tax merger and acquisition expenses.

[b] For detailed calculations see page 29.

[c] For detailed calculations see page 26.

[d] For property and casualty business only.

3

MAX CAPITAL GROUP LTD.

CONSOLIDATED BALANCE SHEETS

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

	Sept. 30, 2009			June 30, 2009			Mar. 31, 2009			Dec. 31, 2008			Sept. 30, 2008
	(Unaudited)			(Unaudited)			(Unaudited)						(Unaudited)
ASSETS
Cash and cash equivalents	$	1,056,011		$	1,008,178		$	955,577		$	949,404		$	652,929
Fixed maturities, trading at fair value		74,337			63,666			56,041			61,820			—
Fixed maturities, available for sale at fair value		2,872,146			3,615,549			3,424,866			3,592,039			3,410,672
Fixed maturities, held to maturity at amortized cost (fair value $1,069,245)		1,026,244			—			—			—			—
Other investments, at fair value		389,515			436,603			599,485			753,658			930,315
Accrued interest income		52,145			47,432			45,816			52,882			47,639
Premiums receivable		546,195			670,443			673,551			554,845			505,260
Losses and benefits recoverable from reinsurers		985,614			930,483			879,823			846,622			716,186
Deferred acquisition costs		66,451			70,097			64,000			51,337			51,568
Prepaid reinsurance premiums		206,924			246,068			238,700			192,889			180,322
Trades pending settlement		38,217			95,919			131,325			85,727			62,384
Other assets		114,947			108,121			108,190			110,772			81,658
Total assets	$	7,428,746		$	7,292,559		$	7,177,374		$	7,251,995		$	6,638,933
LIABILITIES
Property and casualty losses	$	3,159,156		$	3,058,337		$	3,005,125		$	2,938,171		$	2,568,020
Life and annuity benefits		1,415,836			1,389,052			1,306,573			1,366,976			1,222,016
Deposit liabilities		152,638			153,109			153,265			219,260			219,524
Funds withheld from reinsurers		142,384			140,826			148,942			164,157			158,957
Unearned property and casualty premiums		676,342			745,948			690,122			574,134			557,845
Reinsurance balances payable		151,615			190,479			165,008			160,686			147,579
Accounts payable and accrued expenses		92,722			54,964			54,108			81,916			95,713
Bank loans		—			105,000			300,000			375,000			295,000
Senior notes		91,379			91,375			91,369			91,364			99,797
Total liabilities		5,882,072			5,929,090			5,914,512			5,971,664			5,364,451
SHAREHOLDERS’ EQUITY
Preferred shares (par value $1.00) 20,000,000 shares authorized; no shares issued or outstanding		—			—			—			—			—
Common shares (par value $1.00) 200,000,000 shares authorized; 57,013,063 shares issued and outstanding		57,013			56,599			55,883			55,806			55,970
Additional paid-in capital		773,923			772,047			768,585			763,391			759,478
Accumulated other comprehensive loss		41,602			(49,730	)		(107,588	)		(45,399	)		(146,749	)
Retained earnings		674,136			584,553			545,982			506,533			605,783
Total shareholders’ equity		1,546,674			1,363,469			1,262,862			1,280,331			1,274,482
Total liabilities and shareholders’ equity	$	7,428,746		$	7,292,559		$	7,177,374		$	7,251,995		$	6,638,933
Book Value Per Share	$	27.13		$	24.09		$	22.60		$	22.94		$	22.77
Diluted Book Value Per Share (treasury stock method)	$	26.54		$	23.53		$	21.88		$	22.46		$	21.88
Debt-to-capital ratio [a]		5.6	%		6.3	%		16.0	%		15.9	%		10.5	%

[a] Calculated as debt, being bank loans (excluding swap loan) and senior notes, divided by shareholders’ equity plus debt.

4

MAX CAPITAL GROUP LTD.

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

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

	QUARTER ENDED
	Sept. 30, 2009			June 30, 2009			Mar. 31, 2009			Dec. 31, 2008			Sept. 30, 2008			Sept. 30, 2007
REVENUES
Gross premiums written	$	265,886		$	396,509		$	434,273		$	372,065		$	206,260		$	222,989
Reinsurance premiums ceded		(83,290	)		(129,669	)		(164,379	)		(114,196	)		(96,061	)		(49,680	)
Net premiums written	$	182,596		$	266,840		$	269,894		$	257,869		$	110,199		$	173,309
Earned premiums	$	329,869		$	354,620		$	309,382		$	409,572		$	238,378		$	239,462
Earned premiums ceded		(121,853	)		(125,835	)		(119,100	)		(108,073	)		(96,789	)		(61,908	)
Net premiums earned		208,016			228,785			190,282			301,499			141,589			177,554
Net investment income		42,830			41,755			40,488			44,226			45,265			49,665
Net gains (losses) on other investments		23,275			21,406			18,013			(88,003	)		(158,756	)		14,487
Net realized gains (losses) on fixed maturities		1,253			66			428			(948	)		(3,793	)		(1,650	)
Total other-than-temporary impairment losses		—			(5,190	)		—			—			(13,757	)		—
Portion of loss recognized in other comprehensive income (loss) before taxes		(139	)		3,176			—			—			—			—
Net impairment losses recognized in earnings		(139	)		(2,014	)		—			—			(13,757	)		—
Other income		819			974			1,306			2,702			(423	)		244
Total revenues		276,054			290,972			250,517			259,476			10,125			240,300
LOSSES AND EXPENSES
Net losses and loss expenses		131,778			122,228			124,723			115,160			106,834			50,781
Claims and policy benefits		14,378			55,407			14,332			164,351			14,000			70,572
Acquisition costs		27,997			25,059			20,630			16,635			13,896			12,105
Interest expense		5,971			4,744			3,939			15,542			4,501			13,673
Net foreign exchange (gains) losses		406			(3,404	)		(3,476	)		7,889			1,971			8
Merger and acquisition expenses		(41,350	)		4,785			5,223			(544	)		(500	)		—
General and administrative expenses		40,372			36,105			39,060			34,468			31,837			27,775
Total losses and expenses		179,552			244,924			204,431			353,501			172,539			174,914
INCOME (LOSS) BEFORE TAXES		96,502			46,048			46,086			(94,025	)		(162,414	)		65,386
Income tax expense (benefit)		1,176			2,290			1,547			58			773			(1,380	)
NET INCOME (LOSS)		95,326			43,758			44,539			(94,083	)		(163,187	)		66,766
Change in net unrealized gains and losses on available for sale securities, net of tax		95,794			36,933			(66,098	)		118,821			(40,127	)		33,274
Foreign currency translation adjustment		(4,462	)		20,925			3,909			(17,471	)		(9,116	)		1,666
COMPREHENSIVE INCOME (LOSS)	$	186,658		$	101,616		$	(17,650	)	$	7,267		$	(212,430	)	$	101,706
KEY RATIOS/PER SHARE DATA
Loss ratio [a]		63.4	%		65.1	%		65.7	%		74.9	%		75.5	%		44.0	%
Acquisition cost ratio [b]		13.4	%		13.0	%		10.8	%		11.2	%		9.7	%		10.3	%
General and administrative expense ratio [c]		14.1	%		12.7	%		13.2	%		13.5	%		13.8	%		14.7	%
Combined ratio		90.9	%		90.8	%		89.7	%		99.6	%		99.0	%		69.0	%
Net income per share - basic	$	1.67		$	0.77		$	0.79		$	(1.67	)	$	(2.89	)	$	1.12
Net income per share - diluted [d]	$	1.64		$	0.76		$	0.78		$	(1.67	)	$	(2.89	)	$	1.05
Net operating income per share - diluted	$	0.92		$	0.83		$	0.82		$	(1.52	)	$	(2.57	)	$	1.08
Annualized ROAE [e]		26.2	%		13.3	%		14.0	%		(29.5	%)		(47.2	%)		17.8	%
Annualized Net Operating ROAE [e]		14.8	%		14.6	%		14.8	%		(26.8	%)		(41.9	%)		18.2	%

[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] In accordance with U.S. generally accepted accounting principles, diluted earnings per share calculations use weighted average common shares outstanding - basic, for periods with a net loss

[e] See page 26 for calculation of annualized return on average shareholders’ equity (ROAE) and net operating ROAE

5

MAX CAPITAL GROUP LTD.

CONSOLIDATED STATEMENTS OF INCOME AND COMPREHENSIVE INCOME - YEAR TO DATE AND PRIOR YEARS (Unaudited)

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

	NINE MONTHS ENDED									YEAR ENDED
	Sept. 30, 2009			Sept. 30, 2008			Sept. 30, 2007			Dec. 31, 2008			Dec. 31, 2007
REVENUES
Gross premiums written	$	1,096,668		$	882,186		$	678,089		$	1,254,250		$	1,078,286
Reinsurance premiums ceded		(377,338	)		(299,851	)		(203,521	)		(414,047	)		(281,696	)
Net premiums written	$	719,330		$	582,335		$	474,568		$	840,203		$	796,590
Earned premiums	$	993,871		$	760,676		$	640,651		$	1,170,248		$	1,074,173
Earned premiums ceded		(366,788	)		(248,665	)		(185,664	)		(356,738	)		(256,268	)
Net premiums earned		627,083			512,011			454,987			813,510			817,905
Net investment income		125,073			137,398			138,851			181,624			188,206
Net gains (losses) on other investments		62,693			(144,990	)		136,686			(232,993	)		186,721
Net realized gains (losses) on fixed maturities		1,747			(1,024	)		(2,975	)		(1,972	)		(2,930	)
Total other-than-temporary impairment losses		(5,190	)		(16,887	)		—			(16,887	)		(1,087	)
Portion of loss recognized in other comprehensive income (loss) before taxes		3,037			—			—			—			—
Net impairment losses recognized in earnings		(2,153	)		(16,887	)		—			(16,887	)		(1,087	)
Other income		3,099			1,001			587			3,703			745
Total revenues		817,542			487,509			728,136			746,985			1,189,560
LOSSES AND EXPENSES
Net losses and loss expenses		378,729			278,585			243,229			393,745			330,394
Claims and policy benefits		84,117			137,175			91,640			301,526			345,602
Acquisition costs		73,686			35,743			46,763			52,379			61,360
Interest expense		14,654			20,547			30,108			36,089			42,663
Net foreign exchange (gains) losses		(6,474	)		1,984			15			9,873			25
Merger and acquisition expenses		(31,342	)		3,488			—			2,944			—
General and administrative expenses		115,537			90,048			79,726			124,515			106,689
Total losses and expenses		628,907			567,570			491,481			921,071			886,733
INCOME (LOSS) BEFORE TAXES		188,635			(80,061	)		236,655			(174,086	)		302,827
Income tax expense (benefit)		5,012			1,174			(4,244	)		1,232			(422	)
NET INCOME (LOSS)		183,623			(81,235	)		240,899			(175,318	)		303,249
Change in net unrealized gains and losses on available for sale securities, net of tax		66,629			(108,939	)		(24,472	)		9,882			369
Foreign currency translation adjustment		20,372			(17,469	)		2,535			(34,940	)		978
COMPREHENSIVE INCOME (LOSS)	$	270,624		$	(207,643	)	$	218,962		$	(200,376	)	$	304,596
KEY RATIOS/PER SHARE DATA
Loss ratio [a]		64.7	%		66.6	%		62.1	%		68.9	%		64.0	%
Acquisition cost ratio [b]		12.4	%		8.4	%		11.8	%		9.2	%		11.6	%
General and administrative expense ratio [c]		13.4	%		14.1	%		12.2	%		13.8	%		12.6	%
Combined ratio		90.5	%		89.1	%		86.1	%		91.9	%		88.2	%
Net income per share - basic	$	3.22		$	(1.43	)	$	4.01		$	(3.10	)	$	5.06
Net income per share - diluted [d]	$	3.18		$	(1.43	)	$	3.77		$	(3.10	)	$	4.75
Net operating income per share - diluted	$	2.57		$	(1.03	)	$	3.81		$	(2.54	)	$	4.81
Annualized ROAE [e]		17.3	%		(7.6	%)		22.0	%		(12.2	%)		20.4	%
Annualized Net Operating ROAE [e]		14.0	%		(5.4	%)		22.2	%		(10.0	%)		20.7	%

[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] In accordance with U.S. generally accepted accounting principles, diluted earnings per share calculations use weighted average common shares outstanding - basic, for periods with a net loss

[e] See page 26 for calculation of annualized return on average shareholders’ equity (ROAE) and net operating ROAE

6

MAX CAPITAL GROUP LTD.

SCHEDULE OF SUPPLEMENTAL UNDERWRITING DATA–THREE MONTHS ENDED SEPTEMBER 30, 2009 (Unaudited)

(Expressed in thousands of United States Dollars)

	Property & Casualty															Life & Annuity			Corporate			Consolidated
	Bermuda/Dublin						U.S. Specialty			Max at Lloyd’s			Total			Reinsurance
	Insurance			Reinsurance
Gross premiums written	$	81,134		$	94,118		$	69,419		$	21,087		$	265,758		$	128		$	—		$	265,886
Reinsurance premiums ceded		(41,884	)		(11,106	)		(26,259	)		(4,015	)		(83,264	)		(26	)		—			(83,290	)
Net premiums written	$	39,250		$	83,012		$	43,160		$	17,072		$	182,494		$	102		$	—		$	182,596
Earned premiums	$	103,961		$	128,458		$	68,175		$	29,147		$	329,741		$	128		$	—		$	329,869
Earned premiums ceded		(54,814	)		(25,367	)		(37,074	)		(4,572	)		(121,827	)		(26	)		—			(121,853	)
Net premiums earned		49,147			103,091			31,101			24,575			207,914			102			—			208,016
Net investment income		5,898			10,404			1,461			1,749			19,512			13,143			10,175			42,830
Net gains on other investments		1,298			3,040			—			—			4,338			11,932			7,005			23,275
Net realized gains (losses) on fixed maturities		—			—			—			1,400			1,400			—			(147	)		1,253
Net impairment losses recognized in earnings		—			—			—			—			—			—			(139	)		(139	)
Other income		91			—			52			(33	)		110			—			709			819
Total revenues		56,434			116,535			32,614			27,691			233,274			25,177			17,603			276,054
Net losses and loss expenses		31,756			68,728			21,266			10,028			131,778			—			—			131,778
Claims and policy benefits		—			—			—			—			—			14,378			—			14,378
Acquisition costs		369			20,299			1,926			5,250			27,844			153			—			27,997
Interest expense		—			1,706			—			—			1,706			2,349			1,916			5,971
Net foreign exchange losses		—			—			—			42			42			—			364			406
Merger and acquisition expenses		—			—			—			—			—			—			(41,350	)		(41,350	)
General and administrative expenses		7,281			8,857			7,804			5,423			29,365			829			10,178			40,372
Total losses and expenses		39,406			99,590			30,996			20,743			190,735			17,709			(28,892	)		179,552
Income before taxes	$	17,028		$	16,945		$	1,618		$	6,948		$	42,539		$	7,468		$	46,495		$	96,502
Loss ratio [a]		64.6	%		66.7	%		68.4	%		40.8	%		63.4	%
Acquisition cost ratio [b]		0.8	%		19.7	%		6.2	%		21.4	%		13.4	%
General and administrative expense ratio [c]		14.8	%		8.5	%		25.1	%		22.0	%		14.1	%
Combined ratio		80.2	%		94.9	%		99.7	%		84.2	%		90.9	%

[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

7

MAX CAPITAL GROUP LTD.

CONSOLIDATED UNDERWRITING RATIOS - THREE MONTHS ENDED SEPTEMBER 30, 2009 (Unaudited)

(Expressed in thousands of United States Dollars)

	Property & Casualty
	Bermuda/Dublin				U.S. Specialty		Max at Lloyd’s		Total
	Insurance		Reinsurance
UNDERWRITING RATIOS
Loss ratio	64.6	%	66.7	%	68.4	%	40.8	%	63.4	%
Acquisition cost ratio	0.8	%	19.7	%	6.2	%	21.4	%	13.4	%
General and administration expense ratio	14.8	%	8.5	%	25.1	%	22.0	%	14.1	%
Combined ratio	80.2	%	94.9	%	99.7	%	84.2	%	90.9	%
EFFECT OF PRIOR ACCIDENT YEAR RESERVE DEVELOPMENT FAVORABLE / (UNFAVORABLE)
Loss ratio [a]	22.4	%	3.1	%	(8.7	%)	14.6	%	7.2	%
NET OF PRIOR ACCIDENT YEAR RESERVE DEVELOPMENT UNDERWRITING RATIOS
Loss ratio	87.0	%	69.8	%	59.7	%	55.4	%	70.6	%
Acquisition cost ratio	0.8	%	19.7	%	6.2	%	21.4	%	13.4	%
General and administration expense ratio	14.8	%	8.5	%	25.1	%	22.0	%	14.1	%
Combined ratio	102.6	%	98.0	%	91.0	%	98.8	%	98.1	%

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

8

MAX CAPITAL GROUP LTD.

BERMUDA/DUBLIN INSURANCE SEGMENT DATA (Unaudited)

(Expressed in thousands of United States Dollars)

	FOR THE QUARTERS ENDED
	Sept. 30, 2009			June 30, 2009			Mar. 31, 2009			Dec. 31, 2008			Sept. 30, 2008			Sept. 30, 2007
Gross premiums written	$	81,134		$	133,911		$	87,682		$	113,080		$	80,908		$	80,140
Reinsurance premiums ceded		(41,884	)		(49,251	)		(54,941	)		(64,999	)		(38,316	)		(34,891	)
Net premiums written	$	39,250		$	84,660		$	32,741		$	48,081		$	42,592		$	45,249
Earned premiums	$	103,961		$	101,551		$	102,197		$	92,988		$	93,264		$	98,003
Earned premiums ceded		(54,814	)		(50,743	)		(52,153	)		(48,134	)		(47,013	)		(49,896	)
Net premiums earned		49,147			50,808			50,044			44,854			46,251			48,107
Net investment income		5,898			5,722			5,241			5,124			4,933			4,102
Net gains (losses) on other investments		1,298			1,003			1,236			(9,923	)		(14,937	)		1,108
Net realized gains (losses) on fixed maturities		—			—			—			—			—			—
Net impairment losses recognized in earnings		—			—			—			—			—			—
Other income		91			—			1,147			—			—			—
Total revenues		56,434			57,533			57,668			40,055			36,247			53,317
Net losses and loss expenses		31,756			37,809			36,464			33,331			39,014			33,817
Claims and policy benefits		—			—			—			—			—			—
Acquisition costs		369			(470	)		(1,402	)		(865	)		(743	)		(339	)
Interest expense		—			—			—			—			—			—
Net foreign exchange (gains) losses		—			—			—			—			—			—
Merger and acquisition expenses		—			—			—			—			—			—
General and administrative expenses		7,281			5,415			5,129			5,049			5,200			4,494
Total losses and expenses		39,406			42,754			40,191			37,515			43,471			37,972
Income (loss) before taxes	$	17,028		$	14,779		$	17,477		$	2,540		$	(7,224	)	$	15,345
Loss ratio		64.6	%		74.4	%		72.9	%		74.3	%		84.4	%		70.3	%
Acquisition cost ratio		0.8	%		(0.9	%)		(2.8	%)		(1.9	%)		(1.6	%)		(0.7	%)
General and administration expense ratio		14.8	%		10.6	%		10.2	%		11.2	%		11.2	%		9.3	%
Combined ratio		80.2	%		84.1	%		80.3	%		83.6	%		94.0	%		78.9	%

9

MAX CAPITAL GROUP LTD.

BERMUDA/DUBLIN REINSURANCE SEGMENT DATA (Unaudited)

(Expressed in thousands of United States Dollars)

	FOR THE QUARTERS ENDED
	Sept. 30, 2008			June 30, 2009			Mar. 31, 2009			Dec. 31, 2008			Sept. 30, 2008			Sept. 30, 2007
Gross premiums written	$	94,118		$	95,196		$	232,982		$	42,025		$	72,458		$	68,839
Reinsurance premiums ceded		(11,106	)		(18,085	)		(51,383	)		(7,288	)		(27,210	)		(6,463	)
Net premiums written	$	83,012		$	77,111		$	181,599		$	34,737		$	45,248		$	62,376
Earned premiums	$	128,458		$	112,550		$	123,986		$	115,494		$	110,132		$	74,673
Earned premiums ceded		(25,367	)		(22,825	)		(26,519	)		(26,549	)		(28,054	)		(8,672	)
Net premiums earned		103,091			89,725			97,467			88,945			82,078			66,001
Net investment income		10,404			9,975			9,228			8,272			8,360			9,994
Net gains (losses) on other investments		3,040			2,385			3,042			(21,458	)		(32,637	)		3,903
Net realized gains (losses) on fixed maturities		—			—			—			—			—			—
Net impairment losses recognized in earnings		—			—			—			—			—			—
Other income		—			12			—			—			—			—
Total revenues		116,535			102,097			109,737			75,759			57,801			79,898
Net losses and loss expenses		68,728			57,813			66,215			68,423			58,990			16,170
Claims and policy benefits		—			—			—			—			—			—
Acquisition costs		20,299			15,734			17,463			16,154			12,668			12,334
Interest expense		1,706			1,191			(497	)		5,134			(63	)		4,675
Net foreign exchange (gains) losses		—			—			—			—			—			—
Merger and acquisition expenses		—			—			—			—			—			—
General and administrative expenses		8,857			7,223			7,524			6,567			6,186			6,487
Total losses and expenses		99,590			81,961			90,705			96,278			77,781			39,666
Income (loss) before taxes	$	16,945		$	20,136		$	19,032		$	(20,519	)	$	(19,980	)	$	40,232
Loss ratio		66.7	%		64.4	%		67.9	%		76.9	%		71.9	%		24.5	%
Acquisition cost ratio		19.7	%		17.5	%		18.0	%		18.2	%		15.4	%		18.7	%
General and administration expense ratio		8.5	%		8.1	%		7.7	%		7.4	%		7.5	%		9.8	%
Combined ratio		94.9	%		90.0	%		93.6	%		102.5	%		94.8	%		53.0	%

10

MAX CAPITAL GROUP LTD.

U.S. SPECIALTY SEGMENT DATA (Unaudited)

(Expressed in thousands of United States Dollars)

	FOR THE QUARTERS ENDED
	Sept. 30, 2009			June 30, 2009			Mar. 31, 2009			Dec. 31, 2008			Sept. 30, 2008			Sept. 30, 2007
Gross premiums written	$	69,419		$	81,016		$	68,833		$	60,191		$	52,894		$	11,820
Reinsurance premiums ceded		(26,259	)		(51,659	)		(40,661	)		(37,376	)		(30,535	)		(8,200	)
Net premiums written	$	43,160		$	29,357		$	28,172		$	22,815		$	22,359		$	3,620
Earned premiums	$	68,175		$	63,078		$	54,356		$	43,502		$	34,982		$	4,596
Earned premiums ceded		(37,074	)		(41,657	)		(32,951	)		(27,803	)		(21,722	)		(3,214	)
Net premiums earned		31,101			21,421			21,405			15,699			13,260			1,382
Net investment income		1,461			1,495			1,593			1,672			1,753			2,211
Net gains (losses) on other investments		—			—			—			—			—			—
Net realized gains (losses) on fixed maturities		—			—			148			—			(523	)		—
Net impairment losses recognized in earnings		—			—			—			—			—			—
Other income		52			372			(152	)		163			140			—
Total revenues		32,614			23,288			22,994			17,534			14,630			3,593
Net losses and loss expenses		21,266			13,149			12,085			10,936			8,830			794
Claims and policy benefits		—			—			—			—			—			—
Acquisition costs		1,926			2,723			1,224			980			1,773			(76	)
Interest expense		—			—			—			—			—			—
Net foreign exchange (gains) losses		—			—			—			—			—			—
Merger and acquisition expenses		—			—			—			—			—			—
General and administrative expenses		7,804			5,635			7,756			6,636			8,323			5,970
Total losses and expenses		30,996			21,507			21,065			18,552			18,926			6,688
Income (loss) before taxes	$	1,618		$	1,781		$	1,929		$	(1,018	)	$	(4,296	)	$	(3,095	)
Loss ratio		68.4	%		61.4	%		56.5	%		69.7	%		66.6	%		57.5	%
Acquisition cost ratio		6.2	%		12.7	%		5.7	%		6.2	%		13.4	%		-5.6	%
General and administration expense ratio		25.1	%		26.3	%		36.2	%		42.3	%		62.7	%		n/a
Combined ratio		99.7	%		100.4	%		98.4	%		118.2	%		142.7	%		n/a

11

MAX CAPITAL GROUP LTD.

MAX AT LLOYD’S SEGMENT DATA (Unaudited)

(Expressed in thousands of United States Dollars)

	FOR THE QUARTERS ENDED
	Sept. 30, 2009			June 30, 2009			Mar. 31, 2009			Dec. 31, 2008 [a]
Gross premiums written	$	21,087		$	45,363		$	44,179		$	8,844
Reinsurance premiums ceded		(4,015	)		(10,647	)		(17,301	)		(4,294	)
Net premiums written	$	17,072		$	34,716		$	26,878		$	4,550
Earned premiums	$	29,147		$	36,418		$	28,246		$	9,663
Earned premiums ceded		(4,572	)		(10,583	)		(7,384	)		(5,349	)
Net premiums earned		24,575			25,835			20,862			4,314
Net investment income		1,749			645			822			542
Net gains (losses) on other investments		—			—			—			—
Net realized gains on fixed maturities		1,400			720			467			508
Net impairment losses recognized in earnings		—			—			—			—
Other income		(33	)		436			72			160
Total revenues		27,691			27,636			22,223			5,524
Net losses and loss expenses		10,028			13,457			9,959			2,470
Claims and policy benefits		—			—			—			—
Acquisition costs		5,250			6,395			3,152			981
Interest expense		—			—			—			—
Net foreign exchange losses (gains)		42			(1,656	)		(3,510	)		(382	)
Merger and acquisition expenses		—			—			—			—
General and administrative expenses		5,423			5,712			4,721			2,525
Total losses and expenses		20,743			23,908			14,322			5,594
Income (loss) before taxes	$	6,948		$	3,728		$	7,901		$	(70	)
Loss ratio		40.8	%		52.1	%		47.7	%		57.3	%
Acquisition cost ratio		21.4	%		24.8	%		15.1	%		22.7	%
General and administration expense ratio		22.0	%		22.1	%		22.7	%		58.5	%
Combined ratio		84.2	%		99.0	%		85.5	%		138.5	%

[a] The results of operations for the Max at Lloyd’s segment are consolidated only from November 6, 2008, the date Max at Lloyd’s was acquired.

12

MAX CAPITAL GROUP LTD.

LIFE AND ANNUITY REINSURANCE SEGMENT DATA (Unaudited)

(Expressed in thousands of United States Dollars)

	FOR THE QUARTERS ENDED
	Sept. 30, 2009			June 30, 2009			Mar. 31, 2009			Dec. 31, 2008			Sept. 30, 2008			Sept. 30, 2007
Gross premiums written	$	128		$	41,023		$	597		$	147,925		$	—		$	62,190
Reinsurance premiums ceded		(26	)		(27	)		(93	)		(238	)		—			(126	)
Net premiums written	$	102		$	40,996		$	504		$	147,687		$	—		$	62,064
Earned premiums	$	128		$	41,023		$	597		$	147,925		$	—		$	62,190
Earned premiums ceded		(26	)		(27	)		(93	)		(238	)		—			(126	)
Net premiums earned		102			40,996			504			147,687			—			62,064
Net investment income		13,143			12,917			11,566			10,126			9,347			7,620
Net gains (losses) on other investments		11,932			9,346			7,868			(42,170	)		(65,286	)		4,529
Net realized gains (losses) on fixed maturities		—			—			—			—			—			—
Net impairment losses recognized in earnings		—			—			—			—			—			—
Other income		—			—			—			—			—			—
Total revenues		25,177			63,259			19,938			115,643			(55,939	)		74,213
Net losses and loss expenses		—			—			—			—			—			—
Claims and policy benefits		14,378			55,407			14,332			164,351			14,000			70,572
Acquisition costs		153			677			193			(615	)		198			186
Interest expense		2,349			837			(383	)		4,722			(148	)		2,200
Net foreign exchange (gains) losses		—			—			—			—			—			—
Merger and acquisition expenses		—			—			—			—			—			—
General and administrative expenses		829			657			694			644			782			697
Total losses and expenses		17,709			57,578			14,836			169,102			14,832			73,655
Income (loss) before taxes	$	7,468		$	5,681		$	5,102		$	(53,459	)	$	(70,771	)	$	558

13

MAX CAPITAL GROUP LTD.

SEGMENT GROSS PREMIUMS WRITTEN BY LINE OF BUSINESS (Unaudited)

(Expressed in thousands of United States Dollars)

Gross Premiums Written by Type of Risk:	FOR THE QUARTERS ENDED
	Sept. 30, 2009			June 30, 2009			Mar. 31, 2009		Dec. 31, 2008			Sept. 30, 2008			Sept. 30, 2007
Property & Casualty:
Bermuda/Dublin Insurance:
Aviation	$	13,495		$	10,634		$	6,185	$	31,164		$	9,057		$	979
Excess Liability		19,084			33,352			34,648		26,933			20,783			29,490
Professional Liability		39,146			63,258			32,441		42,575			42,849			36,021
Property		9,409			26,667			14,408		12,408			8,219			13,650
		81,134			133,911			87,682		113,080			80,908			80,140
Bermuda/Dublin Reinsurance:
Agriculture		(95	)		(233	)		87,666		234			(4,834	)		—
Aviation		10,477			10,699			4,159		3,809			4,226			13,516
General Casualty		7,279			(2,016	)		18,141		1,926			887			8,532
Marine & Energy		5,987			(343	)		9,078		4,877			2,618			8,131
Medical Malpractice		2,567			17,437			36,393		12,578			7,686			12,337
Other		—			402			1,866		(915	)		(1,169	)		526
Professional Liability		20,992			15,219			9,711		9,412			5,543			5,909
Property		13,541			33,692			42,181		1,506			18,544			17,567
Whole Account		2,546			1,588			4,375		2,425			2,594			4,010
Workers’ Compensation		30,824			18,751			19,412		6,172			36,363			(1,689	)
		94,118			95,196			232,982		42,024			72,458			68,839
U.S. Specialty:
General Casualty		27,267			22,816			18,943		16,989			22,427			—
Marine		16,168			14,968			14,781		12,944			11,331			—
Property		25,984			43,232			35,109		30,258			19,136			11,820
		69,419			81,016			68,833		60,191			52,894			11,820
Max at Lloyd’s [a]:
Accident & Health		3,692			5,255			12,410		408			—			—
Financial Institutions		6,873			7,679			3,824		4,062			—			—
Professional Liability		5,284			6,530			2,785		2,928			—			—
Property		5,238			25,899			25,160		1,446			—			—
		21,087			45,363			44,179		8,844			—			—
Aggregate Property & Casualty	$	265,758		$	355,486		$	433,676	$	224,139		$	206,260		$	160,799
Life & Annuity:
Annuity	$	—		$	—		$	—	$	146,734		$	—		$	62,010
Health		—			—			—		—			—			28
Life		128			41,023			597		1,191			—			152
Aggregate Life & Annuity		128			41,023			597		147,925			—			62,190
Aggregate P&C and Life & Annuity	$	265,886		$	396,509		$	434,273	$	372,064		$	206,260		$	222,989

[a] The results of operations for the Max at Lloyd’s segment are consolidated only from November 6, 2008, the date Max at Lloyd’s was acquired.

14

MAX CAPITAL GROUP LTD.

SCHEDULE OF SUPPLEMENTAL UNDERWRITING DATA–NINE MONTHS ENDED SEPTEMBER 30, 2009 (Unaudited)

(Expressed in thousands of United States Dollars)

	Property & Casualty															Life & Annuity			Corporate			Consolidated
	Bermuda/Dublin						U.S. Specialty			Max at Lloyd’s			Total			Reinsurance
	Insurance			Reinsurance
Gross premiums written	$	302,727		$	422,296		$	219,268		$	110,629		$	1,054,920		$	41,748		$	—		$	1,096,668
Reinsurance premiums ceded		(146,076	)		(80,574	)		(118,579	)		(31,963	)		(377,192	)		(146	)		—			(377,338	)
Net premiums written	$	156,651		$	341,722		$	100,689		$	78,666		$	677,728		$	41,602		$	—		$	719,330
Earned premiums	$	307,709		$	364,994		$	185,609		$	93,811		$	952,123		$	41,748		$	—		$	993,871
Earned premiums ceded		(157,710	)		(74,711	)		(111,682	)		(22,539	)		(366,642	)		(146	)		—			(366,788	)
Net premiums earned		149,999			290,283			73,927			71,272			585,481			41,602			—			627,083
Net investment income		16,861			29,607			4,549			3,216			54,233			37,626			33,214			125,073
Net gains on other investments		3,537			8,467			—			—			12,004			29,146			21,543			62,693
Net realized gains (losses) on fixed maturities		—			—			148			2,587			2,735			—			(988	)		1,747
Net impairment losses recognized in earnings		—			—			—			—			—			—			(2,153	)		(2,153	)
Other income		1,238			12			272			475			1,997			—			1,102			3,099
Total revenues		171,635			328,369			78,896			77,550			656,450			108,374			52,718			817,542
Net losses and loss expenses		106,029			192,756			46,500			33,444			378,729			—			—			378,729
Claims and policy benefits		—			—			—			—			—			84,117			—			84,117
Acquisition costs		(1,503	)		53,496			5,873			14,797			72,663			1,023			—			73,686
Interest expense		—			2,400			—			—			2,400			2,803			9,451			14,654
Net foreign exchange gains		—			—			—			(5,124	)		(5,124	)		—			(1,350	)		(6,474	)
Merger and acquisition expenses		—			—			—			—			—			—			(31,342	)		(31,342	)
General and administrative expenses		17,825			23,604			21,195			15,856			78,480			2,180			34,877			115,537
Total losses and expenses		122,351			272,256			73,568			58,973			527,148			90,123			11,636			628,907
Income before taxes	$	49,284		$	56,113		$	5,328		$	18,577		$	129,302		$	18,251		$	41,082		$	188,635
Loss ratio		70.7	%		66.4	%		62.9	%		46.9	%		64.7	%
Acquisition cost ratio		(1.0	%)		18.5	%		7.9	%		20.8	%		12.4	%
General and administration expense ratio		11.9	%		8.1	%		28.7	%		22.2	%		13.4	%
Combined ratio		81.6	%		93.0	%		99.5	%		89.9	%		90.5	%

15

MAX CAPITAL GROUP LTD.

CONSOLIDATED UNDERWRITING RATIOS - NINE MONTHS ENDED SEPTEMBER 30, 2009 (Unaudited)

(Expressed in thousands of United States Dollars)

	Property & Casualty
	Bermuda/Dublin
	Insurance		Reinsurance		U.S. Specialty		Max at Lloyd’s		Total
UNDERWRITING RATIOS
Loss ratio	70.7	%	66.4	%	62.9	%	46.9	%	64.7	%
Acquisition cost ratio	(1.0	%)	18.5	%	7.9	%	20.8	%	12.4	%
General and administration expense ratio	11.9	%	8.1	%	28.7	%	22.2	%	13.4	%
Combined ratio	81.6	%	93.0	%	99.5	%	89.9	%	90.5	%
EFFECT OF PRIOR ACCIDENT YEAR RESERVE DEVELOPMENT FAVORABLE / (UNFAVORABLE)
Loss ratio [a]	17.6	%	6.9	%	(2.4	%)	3.9	%	8.1	%
NET OF PRIOR ACCIDENT YEAR RESERVE DEVELOPMENT UNDERWRITING RATIOS
Loss ratio	88.3	%	73.3	%	60.5	%	50.8	%	72.8	%
Acquisition cost ratio	(1.0	%)	18.5	%	7.9	%	20.8	%	12.4	%
General and administration expense ratio	11.9	%	8.1	%	28.7	%	22.2	%	13.4	%
Combined ratio	99.2	%	99.9	%	97.1	%	93.8	%	98.6	%

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

16

MAX CAPITAL GROUP LTD.

BERMUDA/DUBLIN INSURANCE SEGMENT DATA (Unaudited)

(Expressed in thousands of United States Dollars)

	FOR THE NINE MONTHS ENDED									FOR THE YEARS ENDED
	Sept. 30, 2009			Sept. 30, 2008			Sept. 30, 2007			Dec. 31, 2008			Dec. 31, 2007
Gross premiums written	$	302,727		$	276,288		$	284,078		$	389,368		$	382,926
Reinsurance premiums ceded		(146,076	)		(133,099	)		(146,419	)		(198,098	)		(201,987	)
Net premiums written	$	156,651		$	143,189		$	137,659		$	191,270		$	180,939
Earned premiums	$	307,709		$	278,092		$	299,984		$	371,080		$	398,776
Earned premiums ceded		(157,710	)		(140,991	)		(150,854	)		(189,125	)		(199,223	)
Net premiums earned		149,999			137,101			149,130			181,955			199,553
Net investment income		16,861			13,313			12,056			18,437			16,160
Net gains (losses) on other investments		3,537			(13,576	)		10,517			(23,499	)		14,271
Net realized gains (losses) on fixed maturities		—			—			—			—			—
Net impairment losses recognized in earnings		—			—			—			—			—
Other income		1,238			1,112			—			1,112			—
Total revenues		171,635			137,950			171,703			178,005			229,984
Net losses and loss expenses		106,029			108,819			110,799			142,150			153,816
Claims and policy benefits		—			—			—			—			—
Acquisition costs		(1,503	)		(1,945	)		(972	)		(2,810	)		(1,162	)
Interest expense		—			—			—			—			—
Net foreign exchange (gains) losses		—			—			—			—			—
Merger and acquisition expenses		—			—			—			—			—
General and administrative expenses		17,825			16,052			13,409			21,101			19,348
Total losses and expenses		122,351			122,926			123,236			160,441			172,002
Income before taxes	$	49,284		$	15,024		$	48,467		$	17,564		$	57,982
Loss ratio		70.7	%		79.4	%		74.3	%		78.1	%		77.1	%
Acquisition cost ratio		(1.0	%)		(1.3	%)		(0.7	%)		(1.5	%)		(0.6	%)
General and administration expense ratio		11.9	%		11.6	%		9.0	%		11.6	%		9.7	%
Combined ratio		81.6	%		89.7	%		82.6	%		88.2	%		86.2	%

17

MAX CAPITAL GROUP LTD.

BERMUDA/DUBLIN REINSURANCE SEGMENT DATA (Unaudited)

(Expressed in thousands of United States Dollars)

	FOR THE NINE MONTHS ENDED									FOR THE YEARS ENDED
	Sept. 30, 2009			Sept. 30, 2008			Sept. 30, 2007			Dec. 31, 2008			Dec. 31, 2007
Gross premiums written	$	422,296		$	377,485		$	308,765		$	419,509		$	345,156
Reinsurance premiums ceded		(80,574	)		(85,133	)		(41,629	)		(92,421	)		(44,565	)
Net premiums written	$	341,722		$	292,352		$	267,136		$	327,088		$	300,591
Earned premiums	$	364,994		$	310,663		$	271,578		$	426,157		$	356,448
Earned premiums ceded		(74,711	)		(57,817	)		(30,531	)		(84,366	)		(43,501	)
Net premiums earned		290,283			252,846			241,047			341,791			312,947
Net investment income		29,607			27,797			31,826			36,069			41,025
Net gains (losses) on other investments		8,467			(29,638	)		41,364			(51,096	)		53,021
Net realized gains (losses) on fixed maturities		—			—			—			—			—
Net impairment losses recognized in earnings		—			—			—			—			—
Other income		12			—			—			—			—
Total revenues		328,369			251,005			314,237			326,764			406,993
Net losses and loss expenses		192,756			150,326			131,484			218,749			173,317
Claims and policy benefits		—			—			—			—			—
Acquisition costs		53,496			35,174			47,247			51,328			60,910
Interest expense		2,400			2,382			8,919			7,516			11,890
Net foreign exchange (gains) losses		—			—			—			—			—
Merger and acquisition expenses		—			—			—			—
General and administrative expenses		23,604			21,981			20,428			28,548			28,394
Total losses and expenses		272,256			209,863			208,078			306,141			274,511
Income before taxes	$	56,113		$	41,142		$	106,159		$	20,623		$	132,482
Loss ratio		66.4	%		59.5	%		54.5	%		64.0	%		55.4	%
Acquisition cost ratio		18.4	%		13.9	%		19.6	%		15.0	%		19.4	%
General and administration expense ratio		8.2	%		8.7	%		8.5	%		8.4	%		9.1	%
Combined ratio		93.0	%		82.1	%		82.6	%		87.4	%		83.9	%

18

MAX CAPITAL GROUP LTD.

U.S. SPECIALTY SEGMENT DATA (Unaudited)

(Expressed in thousands of United States Dollars)

	FOR THE NINE MONTHS ENDED									FOR THE YEARS ENDED
	Sept. 30, 2009			Sept. 30, 2008			Sept. 30, 2007			Dec. 31, 2008			Dec. 31, 2007
Gross premiums written	$	219,268		$	134,162		$	21,692		$	194,353		$	48,243
Reinsurance premiums ceded		(118,579	)		(81,334	)		(15,074	)		(118,710	)		(34,610	)
Net premiums written	$	100,689		$	52,828		$	6,618		$	75,643		$	13,633
Earned premiums	$	185,609		$	77,670		$	5,535		$	121,172		$	16,988
Earned premiums ceded		(111,682	)		(49,571	)		(3,880	)		(77,374	)		(13,010	)
Net premiums earned		73,927			28,099			1,655			43,798			3,978
Net investment income		4,549			5,563			3,856			7,235			5,974
Net gains (losses) on other investments		—			—			—			—			—
Net realized gains (losses) on fixed maturities		148			(523	)		—			(523	)		—
Net impairment losses recognized in earnings		—			—			—			—			—
Other income		272			140			—			303			—
Total revenues		78,896			33,279			5,511			50,813			9,952
Net losses and loss expenses		46,500			19,440			946			30,376			3,261
Claims and policy benefits		—			—			—			—			—
Acquisition costs		5,873			2,058			(96	)		3,039			376
Interest expense		—			—			—			—			—
Net foreign exchange (gains) losses		—			—			—			—			—
Merger and acquisition expenses		—			—			—			—			—
General and administrative expenses		21,195			20,599			14,149			27,235			17,430
Total losses and expenses		73,568			42,097			14,999			60,650			21,067
Income (loss) before taxes	$	5,328		$	(8,818	)	$	(9,488	)	$	(9,837	)	$	(11,115	)
Loss ratio		62.9	%		69.2	%		57.2	%		69.4	%		82.0	%
Acquisition cost ratio		7.9	%		7.3	%		(5.8	%)		6.9	%		9.5	%
General and administration expense ratio		28.7	%		73.3	%		n/a			62.2	%		n/a
Combined ratio		99.5	%		149.8	%		n/a			138.5	%		n/a

19

MAX CAPITAL GROUP LTD.

MAX AT LLOYD’S SEGMENT DATA (Unaudited)

(Expressed in thousands of United States Dollars)

	FOR THE NINE MONTHS ENDED			FOR THE YEAR ENDED
	Sept. 30, 2009			Dec. 31, 2008 [a]
Gross premiums written	$	110,629		$	8,844
Reinsurance premiums ceded		(31,963	)		(4,294	)
Net premiums written	$	78,666		$	4,550
Earned premiums	$	93,811		$	9,663
Earned premiums ceded		(22,539	)		(5,349	)
Net premiums earned		71,272			4,314
Net investment income		3,216			542
Net gains (losses) on other investments		—			—
Net realized gains on fixed maturities		2,587			508
Net impairment losses recognized in earnings		—			—
Other income		475			160
Total revenues		77,550			5,524
Net losses and loss expenses		33,444			2,470
Claims and policy benefits		—			—
Acquisition costs		14,797			981
Interest expense		—			—
Net foreign exchange gains		(5,124	)		(382	)
Merger and acquisition expenses		—			—
General and administrative expenses		15,856			2,525
Total losses and expenses		58,973			5,594
Income (loss) before taxes	$	18,577		$	(70	)
Loss ratio		46.9	%		57.3	%
Acquisition cost ratio		20.8	%		22.7	%
General and administration expense ratio		22.2	%		58.5	%
Combined ratio		89.9	%		138.5	%

[a] The results of operations for the Max at Lloyd’s segment are consolidated only from November 6, 2008, the date Max at Lloyd’s was acquired.

20

MAX CAPITAL GROUP LTD.

LIFE AND ANNUITY REINSURANCE SEGMENT DATA (Unaudited)

(Expressed in thousands of United States Dollars)

	FOR THE NINE MONTHS ENDED									FOR THE YEARS ENDED
	Sept. 30, 2009			Sept. 30, 2008			Sept. 30, 2007			Dec. 31, 2008			Dec. 31, 2007
Gross premiums written	$	41,748		$	94,251		$	63,554		$	242,176		$	301,961
Reinsurance premiums ceded		(146	)		(286	)		(399	)		(524	)		(534	)
Net premiums written	$	41,602		$	93,965		$	63,155		$	241,652		$	301,427
Earned premiums	$	41,748		$	94,251		$	63,554		$	242,176		$	301,961
Earned premiums ceded		(146	)		(286	)		(399	)		(524	)		(534	)
Net premiums earned		41,602			93,965			63,155			241,652			301,427
Net investment income		37,626			29,932			22,261			40,058			33,936
Net gains (losses) on other investments		29,146			(58,751	)		43,313			(100,921	)		60,713
Net realized gains (losses) on fixed maturities		—			—			—			—			—
Net impairment losses recognized in earnings		—			—			—			—			—
Other income		—			—			—			—			—
Total revenues		108,374			65,146			128,729			180,789			396,076
Net losses and loss expenses		—			—			—			—			—
Claims and policy benefits		84,117			137,175			91,640			301,526			345,602
Acquisition costs		1,023			456			584			(159	)		1,236
Interest expense		2,803			2,096			4,368			6,818			6,864
Net foreign exchange (gains) losses		—			—			—			—			—
Merger and acquisition expenses		—			—			—			—			—
General and administrative expenses		2,180			2,273			2,126			2,917			2,813
Total losses and expenses		90,123			142,000			98,718			311,102			356,515
Income (loss) before taxes	$	18,251		$	(76,854	)	$	30,011		$	(130,313	)	$	39,561

21

MAX CAPITAL GROUP LTD.

SEGMENT GROSS PREMIUMS WRITTEN BY LINE OF BUSINESS (Unaudited)

(Expressed in thousands of United States Dollars)

Gross Premiums Written by Type of Risk:	FOR THE NINE MONTHS ENDED						FOR THE YEARS ENDED
	Sept. 30, 2009		Sept. 30, 2008		Sept. 30, 2007		Dec. 31, 2008		Dec. 31, 2007
Property & Casualty:
Bermuda/Dublin Insurance:
Aviation	$	30,314	$	21,870	$	14,408	$	53,034	$	40,934
Excess Liability		87,084		96,557		106,160		123,490		131,515
Professional Liability		134,845		116,565		116,624		159,140		157,450
Property		50,484		41,296		46,886		53,704		53,027
		302,727		276,288		284,078		389,368		382,926
Bermuda/Dublin Reinsurance:
Agriculture		87,338	$	80,220	$	872	$	80,454	$	985
Aviation		25,335		27,746		33,314		31,555		34,095
General Casualty		23,404		8,239		14,705		10,165		16,716
Marine & Energy		14,722		7,892		33,058		12,769		47,077
Medical Malpractice		56,397		64,555		49,868		77,133		53,138
Other		2,269		2,849		278		1,934		6,031
Professional Liability		45,922		29,306		37,082		38,718		33,640
Property		89,414		97,774		96,709		99,280		89,197
Whole Account		8,508		10,481		12,551		12,906		15,080
Workers’ Compensation		68,987		48,423		30,328		54,595		49,197
		422,296		377,485		308,765		419,509		345,156
U.S. Specialty:
General Casualty		69,026		42,849		—		59,838		12,302
Marine		45,917	$	25,723		—		38,667		1,220
Property		104,325		65,590		21,692		95,848		34,721
		219,268		134,162		21,692		194,353		48,243
Max at Lloyd’s [a]:
Accident & Health		21,357		—		—		408		—
Financial Institutions		18,376		—		—		4,062		—
Professional Liability		14,599		—		—		2,928		—
Property		56,297		—		—		1,446		—
		110,629		—		—		8,844		—
Aggregate Property & Casualty	$	1,054,920	$	787,935	$	614,535	$	1,012,074	$	776,325
Life & Annuity:
Annuity	$	—	$	92,821	$	62,010	$	239,555	$	299,261
Health		—		—		28		—		29
Life		41,748		1,430		1,516		2,621		2,671
Aggregate Life & Annuity		41,748		94,251		63,554		242,176		301,961
Aggregate P&C and Life & Annuity	$	1,096,668	$	882,186	$	678,089	$	1,254,250	$	1,078,286

[a] The results of operations for the Max at Lloyd’s segment are consolidated only from November 6, 2008, the date Max at Lloyd’s was acquired.

22

MAX CAPITAL GROUP LTD.

INVESTMENT PORTFOLIO (Unaudited)

(Expressed in thousands of United States Dollars)

Type of Investment	As of 30-Sep-09		Investment Distribution		As of 31-Dec-08		Investment Distribution
Cash and Cash Equivalents	$	1,056,011	19.5	%	$	949,404	17.7	%
U.S. Government and Agencies		437,967	8.1	%		407,128	7.6	%
Non-U.S. Government		100,363	1.9	%		662,566	12.4	%
Corporate Securities		1,210,951	22.3	%		1,471,379	27.5	%
Municipal Securities		68,630	1.3	%		48,597	0.9	%
Asset-Backed Securities		151,299	2.8	%		178,554	3.3	%
Residential Mortgage-Backed Securities		689,497	12.7	%		713,419	13.3	%
Commercial Mortgage-Backed Securities		287,776	5.3	%		172,216	3.2	%
Fixed Maturities carried at Fair Value	$	2,946,483	54.4	%	$	3,653,859	68.2	%
Other Investments carried at Fair Value	$	389,515	7.2	%	$	753,658	14.1	%
Total investments carried at Fair Value	$	4,392,009	81.1	%	$	5,356,921	100.0	%
U.S. Government and Agencies	$	14,041	0.2	%	$	—	—
Non-U.S. Government		585,906	10.8	%		—	—
Corporate Securities		426,297	7.9	%		—	—
Fixed Maturities carried at Amortized Cost	$	1,026,244	18.9	%	$	—	—
Total Investments	$	5,418,253	100.0	%	$	5,356,921	100.0	%
Credit Ratings	As of 30-Sep-09		Ratings Distribution		As of 31-Dec-08		Ratings Distribution
U.S. Government and Agencies [a]	$	1,047,968	26.4	%	$	987,714	27.0	%
AAA		677,434	17.1	%		1,567,688	42.9	%
AA		305,040	7.7	%		406,299	11.1	%
A		650,756	16.4	%		622,646	17.1	%
BBB		143,337	3.6	%		59,432	1.6	%
BB		32,607	0.8	%		4,161	0.1	%
B or lower		89,341	2.2	%		5,919	0.2	%
Fixed Maturities carried at Fair Value	$	2,946,483	74.2	%	$	3,653,859	100.0	%
U.S. Government and Agencies [a]		14,041	0.3	%	$	—	—
AAA		733,276	18.5	%		—	—
AA		106,383	2.7	%		—	—
A		158,387	4.0	%		—	—
BBB		12,685	0.3	%		—	—
BB		—	0.0	%		—	—
B or lower		1,472	0.0	%		—	—
						—	—
Fixed Maturities carried at Amortised Cost	$	1,026,244	25.8	%	$	—	—
Total Fixed Maturities	$	3,972,727	100.0	%	$	3,653,859	100.0	%

	Quarter Ended 30-Sep-09			Quarter Ended 30-Jun-09			Quarter Ended 31-Mar-09		Quarter Ended 30-Sep-08			Nine months 30-Sep-09			Nine months 30-Sep-08
Net investment income	$	42,830		$	41,755		$	40,488	$	44,226		$	125,073		$	137,398
Net gains (losses) on other investments		23,275			21,406			18,013		(80,003	)		62,693			(144,990	)
Realized gains (losses) on fixed maturities		1,253			66			428		(948	)		1,747			(1,024	)
Impairment losses recognized in earnings		(139	)		(2,014	)		—		—			(2,153	)		(16,887	)

[a] Included within US Government and Agencies are Agency-issued Residential Mortgage-Backed Securities with a fair value of $610,001

23

MAX CAPITAL GROUP LTD.

HEDGE FUND DETAIL - AS OF SEPTEMBER 30, 2009 (Unaudited)

(Expressed in thousands of United States Dollars)

			Periodic Rate of Return
	Fair Value		Last 3 Months		Year to Date		Last 12 months		Last 60 months*
Convertible Arbitrage	$	—	0.00	%	16.99	%	19.28	%	(0.41	%)
Distressed Securities		75,003	8.90	%	13.74	%	2.09	%	8.53	%
Diversified Arbitrage		35,289	4.42	%	7.85	%	(12.54	%)	(2.39	%)
Emerging Markets		29,174	10.09	%	32.09	%	3.64	%	8.33	%
Event-Driven Arbitrage		56,110	4.30	%	16.46	%	(4.57	%)	7.02	%
Fixed Income Arbitrage		17,029	3.62	%	16.30	%	22.64	%	12.70	%
Global Macro		43,634	1.86	%	8.50	%	8.46	%	6.50	%
Long / Short Credit		11,083	6.47	%	17.40	%	7.03	%	6.65	%
Long / Short Equity		116,893	4.67	%	10.52	%	9.02	%	5.48	%
Opportunistic		2,772	(5.31	%)	(32.64	%)	(49.74	%)	(3.58	%)
Hedge Funds **		386,987	3.94	%	9.36	%	0.27	%	4.08	%
Reinsurance Private Equity		2,528	3.05	%	10.88	%	9.16	%	14.15	%
Other Investments	$	389,515	3.94	%	9.38	%	0.32	%	3.76	%
			4.37	%	9.80	%	(1.24	%)	3.44	%

Hedge Fund Investment Return Data:

HFRI Fund of Funds Composite Index [a]

Hedge Fund Performance History – 60 months ended September 30, 2009

Annual standard deviation	6.95	%
Monthly performance	2004		2005		2006		2007		2008		2009
January			0.16	%	2.75	%	1.28	%	(1.37	%)	2.13	%
February			1.69	%	0.39	%	1.50	%	1.83	%	0.65	%
March			(0.61	%)	1.22	%	1.90	%	(2.58	%)	(0.76	%)
April			(0.65	%)	1.89	%	2.30	%	(0.13	%)	(0.84	%)
May			(0.68	%)	(1.74	%)	2.59	%	2.51	%	2.45	%
June			1.20	%	(0.66	%)	0.85	%	0.93	%	1.53	%
July			1.33	%	(0.71	%)	0.99	%	(4.12	%)	1.40	%
August			0.98	%	0.02	%	(1.62	%)	(2.14	%)	0.78	%
September			1.84	%	(2.04	%)	1.85	%	(7.31	%)	1.71	%
October	1.04	%	(1.45	%)	1.37	%	4.15	%	(4.85	%)
November	2.54	%	0.61	%	1.81	%	0.10	%	(1.75	%)
December	1.74	%	1.37	%	1.96	%	(0.13	%)	(1.92	%)
Quarterly performance
Q1			1.22	%	4.41	%	4.75	%	(2.15	%)	2.00	%
Q2			(0.14	%)	(0.54	%)	5.83	%	3.33	%	3.14	%
Q3			4.21	%	(2.72	%)	1.18	%	(13.03	%)	3.94	%
Q4	5.41	%	0.51	%	5.22	%	4.11	%	(8.31	%)
Period return	5.41	%	5.88	%	6.30	%	16.78	%	(19.38	%)	9.36	%

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

[a] As reported by HFRI as at October 15, 2009

* Annualized

** Net of all fees

24

MAX CAPITAL GROUP LTD.

LARGEST 25 CORPORATE HOLDINGS - AS OF SEPTEMBER 30, 2009 (Unaudited)

(Expressed in thousands of United States Dollars)

	SEPTEMBER 30, 2009
Issuer	Amortized Cost		Fair Value
European Investment Bank	$	62,911	$	60,415
KFW-Kredit Wiederaufrbau		51,069		54,809
General Electric Cap Corp		50,496		50,396
JP Morgan Chase & Co		38,433		39,174
Morgan Stanley		33,395		34,116
Citigroup Inc		27,656		26,523
Hypo PFandBriefBK Intl		26,307		28,343
Bank of America		23,917		23,888
UBS AG		23,423		24,337
Wal-Mart Stores		23,024		23,416
Deutsche Bank Financial		22,464		24,289
Network Rail		21,909		21,985
Goldman Sachs Group Inc		21,446		21,776
Credit Suisse USA Inc		19,964		20,806
Conocco Philips		18,885		19,973
Merrill Lynch		18,613		19,371
Nord Deutsche Landesbank		17,764		18,190
Credit Agricole		17,289		17,457
Caisse D’amort Dette SOC		17,246		20,327
HBOS Treasury Services plc		17,105		15,615
Wells Fargo Company		16,871		17,236
BP Capital Markets plc		16,633		17,123
Intl BK Recon & Develop		14,796		14,370
BK Nederlandse Gemeenten		13,250		12,379
Proctor and Gamble		12,973		13,776
	$	627,839	$	640,090

25

MAX CAPITAL GROUP LTD.

SHAREHOLDER RETURN ANALYSIS (Unaudited)

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

	NINE MONTHS ENDED						FOR THE YEARS ENDED
	Sept 30, 2009			Sept 30, 2008			2008			2007
Income and Return on Equity:
Net income (loss)	$	183,623		$	(81,235	)	$	(175,318	)	$	303,249
Net operating income (loss)	$	148,404		$	(58,231	)	$	(143,752	)	$	307,273
Shareholders’ equity	$	1,546,674		$	1,274,482		$	1,280,331		$	1,583,894
Annualized return on average shareholders’ equity [a]		17.3	%		(7.6	%)		(12.2	%)		20.4	%
Annualized net operating return on average shareholders’ equity [a]		14.0	%		(5.4	%)		(10.0	%)		20.7	%
Book value and dividends per share:
Diluted book value per share	$	26.54		$	21.88		$	22.46		$	25.59
Dividends paid per share	$	0.28		$	0.27		$	0.36		$	0.32
Change in diluted book value per share		18.2	%		(14.5	%)		(12.2	%)		28.0	%
Dividend payout ratio [b]		1.3	%		2.2	%		1.3	%		1.4	%
Total return to shareholders [c]		19.5	%		(12.3	%)		(10.9	%)		29.4	%

[a] Annualized return on average shareholders’ equity is defined as annualized net income divided by the average of the beginning and ending shareholders’ equity.

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.

[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.

26

MAX CAPITAL GROUP LTD.

EARNINGS PER SHARE INFORMATION (Unaudited)

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

	QUARTERS ENDED					NINE MONTHS ENDED
	Sept 30, 2009		Sept 30, 2008			Sept 30, 2009		Sept 30, 2008
Net income available to common shareholders	$	95,326	$	(163,187	)	$	183,623	$	(81,235	)
Denominator:
Weighted average shares - basic
Outstanding [a]		56,834,601		56,037,375			56,590,983		56,318,786
Unvested restricted share units		398,514		347,759			387,918		341,671
		57,233,115		56,385,134			56,978,901		56,660,457
Share equivalents:
Warrants		787,738		—			570,871		—
Options		189,648		—			127,413		—
Employee Stock Purchase Plan		—		—			811		—
Weighted average shares - diluted [b] [c]		58,210,501		56,385,134			57,677,996		56,660,457
Basic earnings per common share	$	1.67	$	(2.89	)	$	3.22	$	(1.43	)
Diluted earnings per common share [c]	$	1.64	$	(2.89	)	$	3.18	$	(1.43	)

[a] Includes weighted average 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 average market price during the period of calculation.

[c] In accordance with U.S. generally accepted accounting principles, diluted earnings per share calculations use weighted average common shares outstanding - basic, for periods with a net loss.

27

MAX CAPITAL GROUP LTD.

OPERATING INCOME RECONCILIATION (Unaudited)

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

	QUARTERS ENDED						NINE MONTHS ENDED
	Sept 30, 2009			Sept 30, 2008			Sept 30, 2009			Sept 30, 2008
Net income	$	95,326		$	(163,187	)	$	183,623		$	(81,235	)
Add (Less) after-tax items:
Net realized (gains) losses on fixed maturities		(711	)		17,065			1,166			17,532
Net foreign exchange (gains) losses		395			1,971			(5,043	)		1,984
Merger and acquisition expenses		(41,350	)		(500	)		(31,342	)		3,488
Net operating income		53,660			(144,651	)		148,404			(58,231	)
Weighted average shares outstanding:
Basic		57,233,115			56,385,134			56,978,901			56,660,457
Diluted [a]		58,210,501			56,385,134			57,677,996			56,660,457
Basic per share data
Net income per share	$	1.67		$	(2.89	)	$	3.22		$	(1.43	)
Add (Less) after-tax items:
Net realized (gains) losses on fixed maturities		(0.01	)	$	0.30			0.02			0.31
Net foreign exchange (gains) losses		0.01			0.03			(0.09	)		0.03
Merger and acquisition expenses		(0.72	)		(0.01	)		(0.54	)		0.06
Net operating income per share	$	0.95		$	(2.57	)	$	2.61		$	(1.03	)
Diluted per share data [a]
Net income per diluted share	$	1.64		$	(2.89	)	$	3.18		$	(1.43	)
Add (Less) after-tax items:
Net realized (gains) losses on fixed maturities		(0.01	)		0.30			0.02			0.31
Net foreign exchange (gains) losses		0.01			0.03			(0.09	)		0.03
Merger and acquisition expenses		(0.72	)		(0.01	)		(0.54	)		0.06
Net operating income per diluted share	$	0.92		$	(2.57	)	$	2.57		$	(1.03	)

[a] In accordance with U.S. generally accepted accounting principles, diluted earnings per share calculations use weighted average common shares outstanding - basic, for periods with a net loss.

28

MAX CAPITAL GROUP LTD.

BOOK VALUE PER SHARE (Unaudited)

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

	Sept 30, 2009		Sept 30, 2008		Dec 31, 2008
Price per share at period end	$	21.37	$	23.23	$	17.70
Basic common shares outstanding [a]		57,013,063		55,970,138		55,905,509
Add: unvested restricted stock units		398,514		347,759		347,759
Add: dilutive impact of warrants outstanding		660,834		1,606,691		635,729
Add: dilutive impact of options outstanding		200,454		322,149		128,160
Diluted shares outstanding [b]		58,272,865		58,246,737		57,017,157
Basic book value per common share	$	27.13	$	22.77	$	22.94
Diluted book value per common share	$	26.54	$	21.88	$	22.46

[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.

29

MAX CAPITAL GROUP LTD.

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 and net operating return on average shareholders’ equity. Such 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 GAAP. The reconciliation of such measures to their respective most directly comparable 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 gains or losses on fixed maturities, 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 as realized gains and losses on fixed maturities may fluctuate from period to period and foreign exchange gains and losses 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 shareholder’s equity is defined as annualized net operating income divided by the average of the beginning and ending shareholders’ equity. This non-GAAP measure allows management to assess how the Company has performed in terms of wealth generated for our shareholders.

30