Alterra Capital 8-K Max Capital Group LTD. Reports Fourth-quarter and Year-end 2009

Exhibit 99.2

Max Capital Group Ltd.

Investor Financial Supplement

Fourth 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						Year Ended						Previous Year Quarter Change		Previous Year to Date Change
	Dec 31, 2009			Dec 31, 2008			Dec 31, 2009			Dec 31, 2008
HIGHLIGHTS
Net income	$	62,592		$	(94,083	)	$	246,215		$	(175,318	)	n/a		n/a
Net operating income [a]		60,474			(85,520	)		208,907			(143,752	)	n/a		n/a
Operating cashflow		(56,699	)		132,352			193,152			481,985		n/a		(59.9	%)
Gross premiums written		278,333			372,065			1,375,001			1,254,250		(25.2	%)	9.6	%
Net premiums earned		207,273			301,499			834,356			813,510		(31.3	%)	2.6	%
Total assets		7,339,746			7,251,995			7,339,746			7,251,995		1.2	%	1.2	%
Total shareholders’ equity		1,564,633			1,280,331			1,564,633			1,280,331		22.2	%	22.2	%
PER SHARE
Basic earnings per share
Net income	$	1.10		$	(1.67	)	$	4.32		$	(3.10	)
Net operating income [a]		1.06			(1.52	)		3.66			(2.54	)
Diluted earnings per share
Net income	$	1.08		$	(1.67	)	$	4.26		$	(3.10	)
Net operating income [a]		1.04			(1.52	)		3.62			(2.54	)
Weighted average shares outstanding - basic		57,090,930			56,296,064			57,006,908			56,565,588
Weighted average shares outstanding - diluted		58,035,775			56,296,064			57,767,137			56,565,588
Book value per common share [b]	$	28.01		$	22.94		$	28.01		$	22.94		22.1	%	22.1	%
Diluted book value per share (treasury stock method) [b]		27.36			22.46			27.36			22.46		21.8	%	21.8	%
RATIOS
Annualized return on average shareholders equity [c]		16.1	%		(29.5	%)		17.3	%		(12.2	%)
Annualized net operating return on average shareholders equity [c]		15.5	%		(26.8	%)		14.7	%		(10.0	%)
Loss ratio [d]		55.9	%		74.9	%		62.4	%		68.9	%
Acquisition cost ratio [d]		11.1	%		11.2	%		12.1	%		9.2	%
General and administrative expense ratio [d]		14.2	%		13.5	%		13.6	%		13.8	%
Combined ratio [d]		81.2	%		99.6	%		88.1	%		91.9	%

[a] Net operating income represents net income excluding, as applicable, after-tax net realized and unrealized 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)

	Dec. 31, 2009			Sept. 30, 2009			June 30, 2009			Mar. 31, 2009			Dec. 31, 2008
	(Unaudited)			(Unaudited)			(Unaudited)			(Unaudited)
ASSETS
Cash and cash equivalents	$	702,278		$	1,056,011		$	1,008,178		$	955,577		$	949,404
Fixed maturities, trading at fair value		228,696			74,337			63,666			56,041			61,820
Fixed maturities, available for sale at fair value		3,007,356			2,872,146			3,615,549			3,424,866			3,592,039
Fixed maturities, held to maturity at amortized cost (fair value $1,033,551)		1,005,947			1,026,244			—			—			—
Other investments, at fair value		314,849			389,515			436,603			599,485			753,658
Accrued interest income		57,215			52,145			47,432			45,816			52,882
Premiums receivable		567,301			546,195			670,443			673,551			554,845
Losses and benefits recoverable from reinsurers		1,001,373			985,614			930,483			879,823			846,622
Deferred acquisition costs		65,648			66,451			70,097			64,000			51,337
Prepaid reinsurance premiums		190,613			206,924			246,068			238,700			192,889
Trades pending settlement		76,031			38,217			95,919			131,325			85,727
Other assets		122,439			114,947			108,121			108,190			110,772
Total assets	$	7,339,746		$	7,428,746		$	7,292,559		$	7,177,374		$	7,251,995
LIABILITIES
Property and casualty losses	$	3,178,094		$	3,159,156		$	3,058,337		$	3,005,125		$	2,938,171
Life and annuity benefits		1,372,513			1,415,836			1,389,052			1,306,573			1,366,976
Deposit liabilities		152,629			152,638			153,109			153,265			219,260
Funds withheld from reinsurers		140,079			142,384			140,826			148,942			164,157
Unearned property and casualty premiums		628,161			676,342			745,948			690,122			574,134
Reinsurance balances payable		146,085			151,615			190,479			165,008			160,686
Accounts payable and accrued expenses		67,088			92,722			54,964			54,108			81,916
Bank loans		—			—			105,000			300,000			375,000
Senior notes		90,464			91,379			91,375			91,369			91,364
Total liabilities		5,775,113			5,882,072			5,929,090			5,914,512			5,971,664
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; 55,867,125 shares issued and outstanding		55,867			57,013			56,599			55,883			55,806
Additional paid-in capital		752,309			773,923			772,047			768,585			763,391
Accumulated other comprehensive income (loss)		25,431			41,602			(49,730	)		(107,588	)		(45,399	)
Retained earnings		731,026			674,136			584,553			545,982			506,533
Total shareholders’ equity		1,564,633			1,546,674			1,363,469			1,262,862			1,280,331
Total liabilities and shareholders’ equity	$	7,339,746		$	7,428,746		$	7,292,559		$	7,177,374		$	7,251,995
Book Value Per Share	$	28.01		$	27.13		$	24.09		$	22.60		$	22.94
Diluted Book Value Per Share (treasury stock method)	$	27.36		$	26.54		$	23.53		$	21.88		$	22.46
Debt-to-capital ratio [a]		5.5	%		5.6	%		6.3	%		16.0	%		15.9	%

[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
	Dec. 31, 2009			Sept. 30, 2009			June 30, 2009			Mar. 31, 2009			Dec. 31, 2008			Dec. 31, 2007
REVENUES
Gross premiums written	$	278,333		$	265,886		$	396,509		$	434,273		$	372,065		$	400,197
Reinsurance premiums ceded		(103,143	)		(83,290	)		(129,669	)		(164,379	)		(114,196	)		(78,176	)
Net premiums written	$	175,190		$	182,596		$	266,840		$	269,894		$	257,869		$	322,021
Earned premiums	$	325,078		$	329,869		$	354,620		$	309,382		$	409,572		$	433,522
Earned premiums ceded		(117,805	)		(121,853	)		(125,835	)		(119,100	)		(108,073	)		(70,604	)
Net premiums earned		207,273			208,016			228,785			190,282			301,499			362,918
Net investment income		44,668			42,830			41,755			40,488			44,226			49,355
Net realized and unrealized gains (losses) on investments		17,325			24,528			21,472			18,441			(88,951	)		50,080
Total other-than-temporary impairment losses		(125	)		—			(5,190	)		—			—			(1,087	)
Portion of loss recognized in other comprehensive income (loss) before taxes		(800	)		(139	)		3,176			—			—			—
Net impairment losses recognized in earnings		(925	)		(139	)		(2,014	)		—			—			(1,087	)
Net realized gain on retirement of senior notes		111			—			—			—			2,245			—
Other income		(196	)		819			974			1,306			457			158
Total revenues		268,256			276,054			290,972			250,517			259,476			461,424
LOSSES AND EXPENSES
Net losses and loss expenses		114,870			131,778			122,228			124,723			115,160			87,165
Claims and policy benefits		16,976			14,378			55,407			14,332			164,351			253,962
Acquisition costs		23,188			27,997			25,059			20,630			16,635			14,597
Interest expense		6,685			5,971			4,744			3,939			15,542			12,555
Net foreign exchange (gains) losses		702			406			(3,404	)		(3,476	)		7,889			10
Merger and acquisition expenses		(224	)		(41,350	)		4,785			5,223			(544	)		—
General and administrative expenses		38,458			40,372			36,105			39,060			34,468			26,963
Total losses and expenses		200,655			179,552			244,924			204,431			353,501			395,252
INCOME (LOSS) BEFORE TAXES		67,601			96,502			46,048			46,086			(94,025	)		66,172
Income tax expense		5,009			1,176			2,290			1,547			58			3,822
NET INCOME (LOSS)		62,592			95,326			43,758			44,539			(94,083	)		62,350
Change in net unrealized gains and losses on available for sale securities, net of tax		(16,085	)		95,794			36,933			(66,098	)		118,821			24,841
Foreign currency translation adjustment		(86	)		(4,462	)		20,925			3,909			(17,471	)		(1,557	)
COMPREHENSIVE INCOME (LOSS)	$	46,421		$	186,658		$	101,616		$	(17,650	)	$	7,267		$	85,634
KEY RATIOS/PER SHARE DATA
Loss ratio [a]		55.9	%		63.4	%		65.1	%		65.7	%		74.9	%		69.9	%
Acquisition cost ratio [b]		11.1	%		13.4	%		13.0	%		10.8	%		11.2	%		11.2	%
General and administrative expense ratio [c]		14.2	%		14.1	%		12.7	%		13.2	%		13.5	%		13.8	%
Combined ratio		81.2	%		90.9	%		90.8	%		89.7	%		99.6	%		94.9	%
Basic earnings per share	$	1.10		$	1.67		$	0.77		$	0.79		$	(1.67	)	$	1.07
Diluted earnings per share [d]	$	1.08		$	1.64		$	0.76		$	0.78		$	(1.67	)	$	1.00
Net operating income per share - diluted [e]	$	1.04		$	0.92		$	0.83		$	0.82		$	(1.52	)	$	1.01
Annualized ROAE [f]		16.1	%		26.2	%		13.3	%		14.0	%		(29.5	%)		16.0	%
Annualized Net Operating ROAE [f]		15.5	%		14.8	%		14.6	%		14.8	%		(26.8	%)		16.3	%

[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 28 for calculation of net operating income per share - diluted.

[f] 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)

	YEAR ENDED
	Dec. 31, 2009			Dec. 31, 2008			Dec. 31, 2007
REVENUE
Gross premiums written	$	1,375,001		$	1,254,250		$	1,078,286
Reinsurance premiums ceded		(480,481	)		(414,047	)		(281,696	)
Net premiums written	$	894,520		$	840,203		$	796,590
Earned premiums	$	1,318,949		$	1,170,248		$	1,074,173
Earned premiums ceded		(484,593	)		(356,738	)		(256,268	)
Net premiums earned		834,356			813,510			817,905
Net investment income		169,741			181,624			188,206
Net realized and unrealized gains (losses) on investments		81,765			(234,965	)		183,791
Total other-than-temporary impairment losses		(5,315	)		(16,887	)		(1,087	)
Portion of loss recognized in other comprehensive income (loss) before taxes		2,237			—			—
Net impairment losses recognized in earnings		(3,078	)		(16,887	)		(1,087	)
Net realized gain on retirement of senior notes		111			2,245			—
Other income		2,903			1,458			745
Total revenues		1,085,798			746,985			1,189,560
LOSSES AND EXPENSES
Net losses and loss expenses		493,599			393,745			330,394
Claims and policy benefits		101,093			301,526			345,602
Acquisition costs		96,874			52,379			61,360
Interest expense		21,339			36,089			42,663
Net foreign exchange (gains) losses		(5,772	)		9,873			25
Merger and acquisition expenses		(31,566	)		2,944			—
General and administrative expenses		153,995			124,515			106,689
Total losses and expenses		829,562			921,071			886,733
INCOME (LOSS) BEFORE TAXES		256,236			(174,086	)		302,827
Income tax expense (benefit)		10,021			1,232			(422	)
NET INCOME (LOSS)		246,215			(175,318	)		303,249
Change in net unrealized gains and losses on available for sale securities, net of tax		50,544			9,882			369
Foreign currency translation adjustment		20,286			(34,940	)		978
COMPREHENSIVE INCOME (LOSS)	$	317,045		$	(200,376	)	$	304,596
KEY RATIOS/PER SHARE DATA
Loss ratio [a]		62.4	%		68.9	%		64.0	%
Acquisition cost ratio [b]		12.1	%		9.2	%		11.6	%
General and administrative expense ratio [c]		13.6	%		13.8	%		12.6	%
Combined ratio		88.1	%		91.9	%		88.2	%
Basic earnings per share	$	4.32		$	(3.10	)	$	5.06
Diluted earnings per share [d]	$	4.26		$	(3.10	)	$	4.75
Net operating income per share - diluted [e]	$	3.62		$	(2.54	)	$	4.81
Annualized ROAE [f]		17.3	%		(12.2	%)		20.4	%
Annualized Net Operating ROAE [f]		14.7	%		(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 28 for calculation of net operating income per share - diluted.

[f] 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 DECEMBER 31, 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	$	125,040		$	66,732		$	66,210		$	18,344		$	276,326		$	2,007		$	—		$	278,333
Reinsurance premiums ceded		(66,007	)		569			(36,517	)		(921	)		(102,876	)		(267	)		—			(103,143	)
Net premiums written	$	59,033		$	67,301		$	29,693		$	17,423		$	173,450		$	1,740		$	—		$	175,190
Earned premiums	$	109,381		$	111,440		$	71,061		$	31,189		$	323,071		$	2,007		$	—		$	325,078
Earned premiums ceded		(53,417	)		(13,867	)		(42,886	)		(7,368	)		(117,538	)		(267	)		—			(117,805	)
Net premiums earned		55,964			97,573			28,175			23,821			205,533			1,740			—			207,273
Net investment income		6,014			10,613			1,438			1,172			19,237			13,367			12,064			44,668
Net realized and unrealized gains on investments		893			2,073			84			3			3,053			8,192			6,080			17,325
Net impairment losses recognized in earnings		—			—			—			—			—			—			(925	)		(925	)
Net realized gain on retirement of senior notes		—			—			—			—			—			—			111			111
Other income		—			—			42			183			225			(120	)		(301	)		(196	)
Total revenues		62,871			110,259			29,739			25,179			228,048			23,179			17,029			268,256
Net losses and loss expenses		26,326			61,718			16,312			10,514			114,870			—			—			114,870
Claims and policy benefits		—			—			—			—			—			16,976			—			16,976
Acquisition costs		270			17,578			1,628			3,339			22,815			373			—			23,188
Interest expense		781			4,191			—			—			4,972			525			1,188			6,685
Net foreign exchange losses		—			—			—			69			69			—			633			702
Merger and acquisition expenses		—			—			—			—			—			—			(224	)		(224	)
General and administrative expenses		6,798			8,174			10,034			4,116			29,122			606			8,730			38,458
Total losses and expenses		34,175			91,661			27,974			18,038			171,848			18,480			10,327			200,655
Income before taxes	$	28,696		$	18,598		$	1,765		$	7,141		$	56,200		$	4,699		$	6,702		$	67,601
Loss ratio [a]		47.0	%		63.3	%		57.9	%		44.1	%		55.9	%
Acquisition cost ratio [b]		0.5	%		18.0	%		5.8	%		14.0	%		11.1	%
General and administrative expense ratio [c]		12.2	%		8.3	%		35.6	%		17.3	%		14.2	%
Combined ratio		59.7	%		89.6	%		99.3	%		75.4	%		81.2	%

[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

7

MAX CAPITAL GROUP LTD.

CONSOLIDATED UNDERWRITING RATIOS - THREE MONTHS ENDED DECEMBER 31, 2009 (Unaudited)

	Property & Casualty
	Bermuda/Dublin
	Insurance		Reinsurance		U.S. Specialty		Max at Lloyd’s		Total
UNDERWRITING RATIOS
Loss ratio	47.0	%	63.3	%	57.9	%	44.1	%	55.9	%
Acquisition cost ratio	0.5	%	18.0	%	5.8	%	14.0	%	11.1	%
General and administration expense ratio	12.2	%	8.3	%	35.6	%	17.3	%	14.2	%
Combined ratio	59.7	%	89.6	%	99.3	%	75.4	%	81.2	%
EFFECT OF PRIOR ACCIDENT YEAR RESERVE DEVELOPMENT FAVORABLE / (UNFAVORABLE)
Loss ratio [a]	26.7	%	12.2	%	2.3	%	14.1	%	15.0	%
NET OF PRIOR ACCIDENT YEAR RESERVE DEVELOPMENT UNDERWRITING RATIOS
Loss ratio	73.7	%	75.5	%	60.2	%	58.2	%	70.9	%
Acquisition cost ratio	0.5	%	18.0	%	5.8	%	14.0	%	11.1	%
General and administration expense ratio	12.2	%	8.3	%	35.6	%	17.3	%	14.2	%
Combined ratio	86.4	%	101.8	%	101.6	%	89.5	%	96.2	%

[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
	Dec. 31, 2009			Sept. 30, 2009			June 30, 2009			Mar. 31, 2009			Dec. 31, 2008			Dec. 31, 2007
Gross premiums written	$	125,040		$	81,134		$	133,911		$	87,682		$	113,080		$	98,848
Reinsurance premiums ceded		(66,007	)		(41,884	)		(49,251	)		(54,941	)		(64,999	)		(55,568	)
Net premiums written	$	59,033		$	39,250		$	84,660		$	32,741		$	48,081		$	43,280
Earned premiums	$	109,381		$	103,961		$	101,551		$	102,197		$	92,988		$	98,792
Earned premiums ceded		(53,417	)		(54,814	)		(50,743	)		(52,153	)		(48,134	)		(48,369	)
Net premiums earned		55,964			49,147			50,808			50,044			44,854			50,423
Net investment income		6,014			5,898			5,722			5,241			5,124			4,104
Net realized and unrealized gains (losses) on investments		893			1,298			1,003			1,236			(9,923	)		3,755
Other income		—			91			—			1,147			—			���
Total revenues		62,871			56,434			57,533			57,668			40,055			58,282
Net losses and loss expenses		26,326			31,756			37,809			36,464			33,331			43,017
Acquisition costs		270			369			(470	)		(1,402	)		(865	)		(190	)
Interest expense		781			—			—			—			—			—
General and administrative expenses		6,798			7,281			5,415			5,129			5,049			5,939
Total losses and expenses		34,175			39,406			42,754			40,191			37,515			48,766
Income before taxes	$	28,696		$	17,028		$	14,779		$	17,477		$	2,540		$	9,516
Loss ratio		47.0	%		64.6	%		74.4	%		72.9	%		74.3	%		85.3	%
Acquisition cost ratio		0.5	%		0.8	%		(0.9	%)		(2.8	%)		(1.9	%)		(0.4	%)
General and administration expense ratio		12.2	%		14.8	%		10.6	%		10.2	%		11.2	%		11.8	%
Combined ratio		59.7	%		80.2	%		84.1	%		80.3	%		83.6	%		96.7	%

9

MAX CAPITAL GROUP LTD.

BERMUDA/DUBLIN REINSURANCE SEGMENT DATA (Unaudited)

(Expressed in thousands of United States Dollars)

	FOR THE QUARTERS ENDED
	Dec. 31, 2009			Sept. 30, 2008			June 30, 2009			Mar. 31, 2009			Dec. 31, 2008			Dec. 31, 2007
Gross premiums written	$	66,732		$	94,118		$	95,196		$	232,982		$	42,025		$	36,391
Reinsurance premiums ceded		569			(11,106	)		(18,085	)		(51,383	)		(7,288	)		(2,936	)
Net premiums written	$	67,301		$	83,012		$	77,111		$	181,599		$	34,737		$	33,455
Earned premiums	$	111,440		$	128,458		$	112,550		$	123,986		$	115,494		$	84,870
Earned premiums ceded		(13,867	)		(25,367	)		(22,825	)		(26,519	)		(26,549	)		(12,970	)
Net premiums earned		97,573			103,091			89,725			97,467			88,945			71,900
Net investment income		10,613			10,404			9,975			9,228			8,272			9,199
Net realized and unrealized gains (losses) on investments		2,073			3,040			2,385			3,042			(21,458	)		11,656
Other income		—			—			12			—			—			—
Total revenues		110,259			116,535			102,097			109,737			75,759			92,755
Net losses and loss expenses		61,718			68,728			57,813			66,215			68,423			41,833
Acquisition costs		17,578			20,299			15,734			17,463			16,154			13,663
Interest expense		4,191			1,706			1,191			(497	)		5,134			2,971
General and administrative expenses		8,174			8,857			7,223			7,524			6,567			7,966
Total losses and expenses		91,661			99,590			81,961			90,705			96,278			66,433
Income (loss) before taxes	$	18,598		$	16,945		$	20,136		$	19,032		$	(20,519	)	$	26,322
Loss ratio		63.3	%		66.7	%		64.4	%		67.9	%		76.9	%		58.2	%
Acquisition cost ratio		18.0	%		19.7	%		17.5	%		18.0	%		18.2	%		19.0	%
General and administration expense ratio		8.3	%		8.5	%		8.1	%		7.7	%		7.4	%		11.1	%
Combined ratio		89.6	%		94.9	%		90.0	%		93.6	%		102.5	%		88.3	%

10

MAX CAPITAL GROUP LTD.

U.S. SPECIALTY SEGMENT DATA (Unaudited)

(Expressed in thousands of United States Dollars)

	FOR THE QUARTERS ENDED
	Dec. 31, 2009			Sept. 30, 2009			June 30, 2009			Mar. 31, 2009			Dec. 31, 2008			Dec. 31, 2007
Gross premiums written	$	66,210		$	69,419		$	81,016		$	68,833		$	60,191		$	26,551
Reinsurance premiums ceded		(36,517	)		(26,259	)		(51,659	)		(40,661	)		(37,376	)		(19,536	)
Net premiums written	$	29,693		$	43,160		$	29,357		$	28,172		$	22,815		$	7,015
Earned premiums	$	71,061		$	68,175		$	63,078		$	54,356		$	43,502		$	11,453
Earned premiums ceded		(42,886	)		(37,074	)		(41,657	)		(32,951	)		(27,803	)		(9,130	)
Net premiums earned		28,175			31,101			21,421			21,405			15,699			2,323
Net investment income		1,438			1,461			1,495			1,593			1,672			2,118
Net realized and unrealized gains on investments		84			—			—			148			—			—
Other income		42			52			372			(152	)		163			—
Total revenues		29,739			32,614			23,288			22,994			17,534			4,441
Net losses and loss expenses		16,312			21,266			13,149			12,085			10,936			2,315
Acquisition costs		1,628			1,926			2,723			1,224			980			472
General and administrative expenses		10,034			7,804			5,635			7,756			6,636			3,281
Total losses and expenses		27,974			30,996			21,507			21,065			18,552			6,068
Income (loss) before taxes	$	1,765		$	1,618		$	1,781		$	1,929		$	(1,018	)	$	(1,627	)
Loss ratio		57.9	%		68.4	%		61.4	%		56.5	%		69.7	%		99.7	%
Acquisition cost ratio		5.8	%		6.2	%		12.7	%		5.7	%		6.2	%		20.3	%
General and administration expense ratio		35.6	%		25.1	%		26.3	%		36.2	%		42.3	%		n/a
Combined ratio		99.3	%		99.7	%		100.4	%		98.4	%		118.2	%		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
	Dec. 31, 2009			Sept. 30, 2009			June 30, 2009			Mar. 31, 2009			Dec. 31, 2008 [a]
Gross premiums written	$	18,344		$	21,087		$	45,363		$	44,179		$	8,844
Reinsurance premiums ceded		(921	)		(4,015	)		(10,647	)		(17,301	)		(4,294	)
Net premiums written	$	17,423		$	17,072		$	34,716		$	26,878		$	4,550
Earned premiums	$	31,189		$	29,147		$	36,418		$	28,246		$	9,663
Earned premiums ceded		(7,368	)		(4,572	)		(10,583	)		(7,384	)		(5,349	)
Net premiums earned		23,821			24,575			25,835			20,862			4,314
Net investment income		1,172			1,749			645			822			542
Net realized and unrealized gains on investments		3			1,400			720			467			508
Other income		183			(33	)		436			72			160
Total revenues		25,179			27,691			27,636			22,223			5,524
Net losses and loss expenses		10,514			10,028			13,457			9,959			2,470
Acquisition costs		3,339			5,250			6,395			3,152			981
Net foreign exchange losses (gains)		69			42			(1,656	)		(3,510	)		(382	)
General and administrative expenses		4,116			5,423			5,712			4,721			2,525
Total losses and expenses		18,038			20,743			23,908			14,322			5,594
Income (loss) before taxes	$	7,141		$	6,948		$	3,728		$	7,901		$	(70	)
Loss ratio		44.1	%		40.8	%		52.1	%		47.7	%		57.3	%
Acquisition cost ratio		14.0	%		21.4	%		24.8	%		15.1	%		22.7	%
General and administration expense ratio		17.3	%		22.0	%		22.1	%		22.7	%		58.5	%
Combined ratio		75.4	%		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
	Dec. 31, 2009			Sept. 30, 2009			June 30, 2009			Mar. 31, 2009			Dec. 31, 2008			Dec. 31, 2007
Gross premiums written	$	2,007		$	128		$	41,023		$	597		$	147,925		$	238,407
Reinsurance premiums ceded		(267	)		(26	)		(27	)		(93	)		(239	)		(136	)
Net premiums written	$	1,740		$	102		$	40,996		$	504		$	147,686		$	238,271
Earned premiums	$	2,007		$	128		$	41,023		$	597		$	147,925		$	238,407
Earned premiums ceded		(267	)		(26	)		(27	)		(93	)		(238	)		(135	)
Net premiums earned		1,740			102			40,996			504			147,687			238,272
Net investment income		13,367			13,143			12,917			11,566			10,126			11,675
Net realized and unrealized gains (losses) on investments		8,192			11,932			9,346			7,868			(42,170	)		17,399
Other income		(120	)		—			—			—			—			—
Total revenues		23,179			25,177			63,259			19,938			115,643			267,346
Claims and policy benefits		16,976			14,378			55,407			14,332			164,351			253,962
Acquisition costs		373			153			677			193			(615	)		652
Interest expense		525			2,349			837			(383	)		4,722			2,496
General and administrative expenses		606			829			657			694			644			687
Total losses and expenses		18,480			17,709			57,578			14,836			169,102			257,797
Income (loss) before taxes	$	4,699		$	7,468		$	5,681		$	5,102		$	(53,459	)	$	9,549

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
		Dec. 31, 2009			Sept. 30, 2009			June 30, 2009			Mar. 31, 2009		Dec. 31, 2008			Dec. 31, 2007
Property & Casualty:
Bermuda/Dublin Insurance:
Aviation	S	$	39,520		$	13,495		$	10,634		$	6,185	$	31,164		$	26,526
Excess Liability	L		26,683			19,084			33,352			34,648		26,933			25,355
Professional Liability	L		45,059			39,146			63,258			32,441		42,575			40,826
Property	S		13,778			9,409			26,667			14,408		12,408			6,141
			125,040			81,134			133,911			87,682		113,080			98,848
Bermuda/Dublin Reinsurance:
Agriculture	S		2,212			(95	)		(233	)		87,666		234			113
Aviation	S		9,380			10,477			10,699			4,159		3,809			781
General Casualty	L		5,781			7,279			(2,016	)		18,141		1,926			2,011
Marine & Energy	S		3,599			5,987			(343	)		9,078		4,877			14,019
Medical Malpractice	L		11,086			2,567			17,437			36,393		12,578			3,270
Other	S		29			—			402			1,866		(914	)		5,753
Professional Liability	L		25,609			20,992			15,219			9,711		9,412			(3,442	)
Property	S		(2,375	)		13,541			33,692			42,181		1,506			(7,512	)
Whole Account	L		2,947			2,546			1,588			4,375		2,425			2,529
Workers’ Compensation	L		8,464			30,824			18,751			19,412		6,172			18,869
			66,732			94,118			95,196			232,982		42,025			36,391
U.S. Specialty:
General Casualty	L		18,756			27,267			22,816			18,943		16,989			12,302
Marine	S		15,443			16,168			14,968			14,781		12,944			1,220
Professional Liability	L		576			—			—			—		—			—
Property	S		31,435			25,984			43,232			35,109		30,258			13,029
			66,210			69,419			81,016			68,833		60,191			26,551
Max at Lloyd’s [a]:
Accident & Health	S		1,245			3,692			5,255			12,410		408			—
Aviation	S		2,611			—			—			—		—			—
Financial Institutions	L		5,446			6,873			7,679			3,824		4,062			—
Professional Liability	L		5,290			5,284			6,530			2,785		2,928			—
Property	S		3,752			5,238			25,899			25,160		1,446			—
			18,344			21,087			45,363			44,179		8,844			—
Aggregate Property & Casualty		$	276,326		$	265,758		$	355,486		$	433,676	$	224,140		$	161,790
Life & Annuity:
Annuity		$	—		$	—		$	—		$	—	$	146,734		$	237,251
Health			—			—			—			—		—			1
Life			2,007			128			41,023			597		1,191			1,155
Aggregate Life & Annuity			2,007			128			41,023			597		147,925			238,407
Aggregate P&C and Life & Annuity		$	278,333		$	265,886		$	396,509		$	434,273	$	372,065		$	400,197
[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.
S = Short tail lines		$	120,629		$	103,896		$	170,872		$	253,003	$	98,140		$	60,070
L = Long tail lines			155,697			161,862			184,614			180,673		126,000			101,720
Aggregate Property & Casualty		$	276,326		$	265,758		$	355,486		$	433,676	$	224,140		$	161,790

14

MAX CAPITAL GROUP LTD.

SCHEDULE OF SUPPLEMENTAL UNDERWRITING DATA - YEAR ENDED DECEMBER 31, 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	$	427,767		$	489,028		$	285,478		$	128,973		$	1,331,246		$	43,755		$	—		$	1,375,001
Reinsurance premiums ceded		(212,083	)		(80,005	)		(155,096	)		(32,884	)		(480,068	)		(413	)		—			(480,481	)
Net premiums written	$	215,684		$	409,023		$	130,382		$	96,089		$	851,178		$	43,342		$	—		$	894,520
Earned premiums	$	417,090		$	476,434		$	256,670		$	125,000		$	1,275,194		$	43,755		$	—		$	1,318,949
Earned premiums ceded		(211,127	)		(88,578	)		(154,568	)		(29,907	)		(484,180	)		(413	)		—			(484,593	)
Net premiums earned		205,963			387,856			102,102			95,093			791,014			43,342			—			834,356
Net investment income		22,875			40,220			5,987			4,388			73,470			50,993			45,278			169,741
Net realized and unrealized gains on investments		4,430			10,540			232			2,590			17,792			37,338			26,635			81,765
Net impairment losses recognized in earnings		—			—			—			—			—			—			(3,078	)		(3,078	)
Net realized gain on retirement of senior notes		—			—			—			—			—			—			111			111
Other income		1,238			12			314			658			2,222			(120	)		801			2,903
Total revenues		234,506			438,628			108,635			102,729			884,498			131,553			69,747			1,085,798
Net losses and loss expenses		132,355			254,474			62,812			43,958			493,599			—			—			493,599
Claims and policy benefits		—			—			—			—			—			101,093			—			101,093
Acquisition costs		(1,233	)		71,074			7,501			18,136			95,478			1,396			—			96,874
Interest expense		781			6,591			—			—			7,372			3,328			10,639			21,339
Net foreign exchange gains		—			—			—			(5,055	)		(5,055	)		—			(717	)		(5,772	)
Merger and acquisition expenses		—			—			—			—			—			—			(31,566	)		(31,566	)
General and administrative expenses		24,623			31,778			31,229			19,972			107,602			2,786			43,607			153,995
Total losses and expenses		156,526			363,917			101,542			77,011			698,996			108,603			21,963			829,562
Income before taxes	$	77,980		$	74,711		$	7,093		$	25,718		$	185,502		$	22,950		$	47,784		$	256,236
Loss ratio		64.3	%		65.6	%		61.5	%		46.2	%		62.4	%
Acquisition cost ratio		(0.6	%)		18.3	%		7.3	%		19.1	%		12.1	%
General and administration expense ratio		11.9	%		8.2	%		30.7	%		21.0	%		13.6	%
Combined ratio		75.6	%		92.1	%		99.5	%		86.3	%		88.1	%

15

MAX CAPITAL GROUP LTD.

CONSOLIDATED UNDERWRITING RATIOS - YEAR ENDED DECEMBER 31, 2009 (Unaudited)

	Property & Casualty
	Bermuda/Dublin				U.S. Specialty		Max at Lloyd’s		Total
	Insurance		Reinsurance
UNDERWRITING RATIOS
Loss ratio	64.3	%	65.6	%	61.5	%	46.2	%	62.4	%
Acquisition cost ratio	(0.6	%)	18.3	%	7.3	%	19.1	%	12.1	%
General and administration expense ratio	11.9	%	8.2	%	30.7	%	21.0	%	13.6	%
Combined ratio	75.6	%	92.1	%	99.5	%	86.3	%	88.1	%
EFFECT OF PRIOR ACCIDENT YEAR RESERVE DEVELOPMENT FAVORABLE / (UNFAVORABLE)
Loss ratio [a]	20.0	%	8.3	%	(1.1	%)	6.5	%	9.9	%
NET OF PRIOR ACCIDENT YEAR RESERVE DEVELOPMENT UNDERWRITING RATIOS
Loss ratio	84.3	%	73.9	%	60.4	%	52.7	%	72.3	%
Acquisition cost ratio	(0.6	%)	18.3	%	7.3	%	19.1	%	12.1	%
General and administration expense ratio	11.9	%	8.2	%	30.7	%	21.0	%	13.6	%
Combined ratio	95.6	%	100.4	%	98.4	%	92.8	%	98.0	%

[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 YEARS ENDED
	Dec. 31, 2009			Dec. 31, 2008			Dec. 31, 2007
Gross premiums written	$	427,767		$	389,368		$	382,926
Reinsurance premiums ceded		(212,083	)		(198,098	)		(201,987	)
Net premiums written	$	215,684		$	191,270		$	180,939
Earned premiums	$	417,090		$	371,080		$	398,776
Earned premiums ceded		(211,127	)		(189,125	)		(199,223	)
Net premiums earned		205,963			181,955			199,553
Net investment income		22,875			18,437			16,160
Net realized and unrealized gains (losses) on investments		4,430			(23,499	)		14,271
Other income		1,238			1,112			—
Total revenues		234,506			178,005			229,984
Net losses and loss expenses		132,355			142,150			153,816
Acquisition costs		(1,233	)		(2,810	)		(1,162	)
Interest expense		781			—			—
General and administrative expenses		24,623			21,101			19,348
Total losses and expenses		156,526			160,441			172,002
Income before taxes	$	77,980		$	17,564		$	57,982
Loss ratio		64.3	%		78.1	%		77.1	%
Acquisition cost ratio		(0.6	%)		(1.5	%)		(0.6	%)
General and administration expense ratio		11.9	%		11.6	%		9.7	%
Combined ratio		75.6	%		88.2	%		86.2	%

17

MAX CAPITAL GROUP LTD.

BERMUDA/DUBLIN REINSURANCE SEGMENT DATA (Unaudited)

(Expressed in thousands of United States Dollars)

	FOR THE YEARS ENDED
	Dec. 31, 2009			Dec. 31, 2008			Dec. 31, 2007
Gross premiums written	$	489,028		$	419,509		$	345,156
Reinsurance premiums ceded		(80,005	)		(92,421	)		(44,565	)
Net premiums written	$	409,023		$	327,088		$	300,591
Earned premiums	$	476,434		$	426,157		$	356,448
Earned premiums ceded		(88,578	)		(84,366	)		(43,501	)
Net premiums earned		387,856			341,791			312,947
Net investment income		40,220			36,069			41,025
Net realized and unrealized gains (losses) on investments		10,540			(51,096	)		53,021
Other income		12			—			—
Total revenues		438,628			326,764			406,993
Net losses and loss expenses		254,474			218,749			173,317
Acquisition costs		71,074			51,328			60,910
Interest expense		6,591			7,516			11,890
General and administrative expenses		31,778			28,548			28,394
Total losses and expenses		363,917			306,141			274,511
Income before taxes	$	74,711		$	20,623		$	132,482
Loss ratio		65.6	%		64.0	%		55.4	%
Acquisition cost ratio		18.3	%		15.0	%		19.4	%
General and administration expense ratio		8.2	%		8.4	%		9.1	%
Combined ratio		92.1	%		87.4	%		83.9	%

18

MAX CAPITAL GROUP LTD.

U.S. SPECIALTY SEGMENT DATA (Unaudited)

(Expressed in thousands of United States Dollars)

	FOR THE YEARS ENDED
	Dec. 31, 2009			Dec. 31, 2008			Dec. 31, 2007
Gross premiums written	$	285,478		$	194,353		$	48,243
Reinsurance premiums ceded		(155,096	)		(118,710	)		(34,610	)
Net premiums written	$	130,382		$	75,643		$	13,633
Earned premiums	$	256,670		$	121,172		$	16,988
Earned premiums ceded		(154,568	)		(77,374	)		(13,010	)
Net premiums earned		102,102			43,798			3,978
Net investment income		5,987			7,235			5,974
Net realized and unrealized gains (losses) on investments		232			(523	)		—
Other income		314			303			—
Total revenues		108,635			50,813			9,952
Net losses and loss expenses		62,812			30,376			3,261
Acquisition costs		7,501			3,039			376
General and administrative expenses		31,229			27,235			17,430
Total losses and expenses		101,542			60,650			21,067
Income (loss) before taxes	$	7,093		$	(9,837	)	$	(11,115	)
Loss ratio		61.5	%		69.4	%		82.0	%
Acquisition cost ratio		7.4	%		6.9	%		9.5	%
General and administration expense ratio		30.6	%		62.2	%		n/a
Combined ratio		99.5	%		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 YEAR ENDED			FOR THE YEAR ENDED
	Dec. 31, 2009			Dec. 31, 2008 [a]
Gross premiums written	$	128,973		$	8,844
Reinsurance premiums ceded		(32,884	)		(4,294	)
Net premiums written	$	96,089		$	4,550
Earned premiums	$	125,000		$	9,663
Earned premiums ceded		(29,907	)		(5,349	)
Net premiums earned		95,093			4,314
Net investment income		4,388			542
Net realized and unrealized gains on investments		2,590			508
Other income		658			160
Total revenues		102,729			5,524
Net losses and loss expenses		43,958			2,470
Acquisition costs		18,136			981
Net foreign exchange gains		(5,055	)		(382	)
General and administrative expenses		19,972			2,525
Total losses and expenses		77,011			5,594
Income (loss) before taxes	$	25,718		$	(70	)
Loss ratio		46.2	%		57.3	%
Acquisition cost ratio		19.1	%		22.7	%
General and administration expense ratio		21.0	%		58.5	%
Combined ratio		86.3	%		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 YEARS ENDED
	Dec. 31, 2009			Dec. 31, 2008			Dec. 31, 2007
Gross premiums written	$	43,755		$	242,176		$	301,961
Reinsurance premiums ceded		(413	)		(524	)		(534	)
Net premiums written	$	43,342		$	241,652		$	301,427
Earned premiums	$	43,755		$	242,176		$	301,961
Earned premiums ceded		(413	)		(524	)		(534	)
Net premiums earned		43,342			241,652			301,427
Net investment income		50,993			40,058			33,936
Net realized and unrealized gains (losses) on investments		37,338			(100,921	)		60,713
Other income		(120	)		—			—
Total revenues		131,553			180,789			396,076
Claims and policy benefits		101,093			301,526			345,602
Acquisition costs		1,396			(159	)		1,236
Interest expense		3,328			6,818			6,864
General and administrative expenses		2,786			2,917			2,813
Total losses and expenses		108,603			311,102			356,515
Income (loss) before taxes	$	22,950		$	(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 YEARS ENDED
		Dec. 31, 2009		Dec. 31, 2008		Dec. 31, 2007
Property & Casualty:
Bermuda/Dublin Insurance:
Aviation	S	$	69,834	$	53,034	$	40,934
Excess Liability	L		113,767		123,490		131,515
Professional Liability	L		179,904		159,140		157,450
Property	S		64,262		53,704		53,027
			427,767		389,368		382,926
Bermuda/Dublin Reinsurance:
Agriculture	S	$	89,550	$	80,454	$	985
Aviation	S		34,715		31,555		34,095
General Casualty	L		29,185		10,165		16,716
Marine & Energy	S		18,321		12,769		47,077
Medical Malpractice	L		67,483		77,133		53,138
Other	S		2,297		1,934		6,031
Professional Liability	L		71,531		38,718		33,640
Property	S		87,039		99,280		89,197
Whole Account	L		11,456		12,906		15,080
Workers’Compensation	L		77,451		54,595		49,197
			489,028		419,509		345,156
U.S. Specialty:
General Casualty	L		87,782		59,838		12,302
Marine	S		61,360		38,667		1,220
Professional Liability	L		576		—		—
Property	S		135,760		95,848		34,721
			285,478		194,353		48,243
Max at Lloyd’s [a]:
Accident & Health	S		22,602		408		—
Aviation	S		2,611		—		—
Financial Institutions	L		23,822		4,062		—
Professional Liability	L		19,889		2,928		—
Property	S		60,049		1,446		—
			128,973		8,844		—
Aggregate Property & Casualty		$	1,331,246	$	1,012,074	$	776,325
Life & Annuity:
Annuity		$	—	$	239,555	$	299,261
Health			—		—		29
Life			43,755		2,621		2,671
Aggregate Life & Annuity			43,755		242,176		301,961
Aggregate P&C and Life & Annuity		$	1,375,001	$	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.
S = Short tail lines		$	648,400	$	469,099	$	307,287
L = Long tail lines			682,846		542,975		469,038
Aggregate Property & Casualty		$	1,331,246	$	1,012,074	$	776,325

22

MAX CAPITAL GROUP LTD.

INVESTMENT PORTFOLIO (Unaudited)

(Expressed in thousands of United States Dollars)

	Carrying Value												Fair Value
Type of Investment	As of 31-Dec-09			Investment Distribution			As of 31-Dec-08			Investment Distribution			As of 31-Dec-09			Investment Distribution			As of 31-Dec-08			Investment Distribution
Cash and Cash Equivalents	$	702,278			13.4	%	$	949,404			17.7	%	$	702,278			13.3	%	$	949,404		17.7	%
U.S. Government and Agencies		525,427			10.0	%		407,128			7.6	%		525,427			9.9	%		407,128		7.6	%
Non-U.S. Government		82,027			1.5	%		662,566			12.4	%		82,027			1.6	%		662,566		12.4	%
Corporate Securities		1,375,999			26.2	%		1,471,379			27.5	%		1,375,999			26.0	%		1,471,379		27.5	%
Municipal Securities		83,658			1.6	%		48,597			0.9	%		83,658			1.6	%		48,597		0.9	%
Asset-Backed Securities		102,006			1.9	%		178,554			3.3	%		102,006			1.9	%		178,554		3.3	%
Residential Mortgage-Backed Securities		763,974			14.5	%		713,419			13.3	%		763,974			14.5	%		713,419		13.3	%
Commercial Mortgage-Backed Securities		302,961			5.8	%		172,216			3.2	%		302,961			5.7	%		172,216		3.2	%
Fixed Maturities carried at Fair Value	$	3,236,052			61.5	%	$	3,653,859			68.2	%	$	3,236,052			61.2	%	$	3,653,859		68.2	%
Other Investments carried at Fair Value	$	314,849			6.0	%	$	753,658			14.1	%	$	314,849			6.0	%	$	753,658		14.1	%
Total investments carried at Fair Value	$	4,253,179			80.9	%	$	5,356,921			100.0	%	$	4,253,179			80.5	%	$	5,356,921		100.0	%
																					��
U.S. Government and Agencies	$	14,050			0.3	%	$	—			—		$	13,535			0.2	%	$	—		—
Non-U.S. Government		573,250			10.9	%		—			—			584,284			11.0	%		—		—
Corporate Securities		418,647			7.9	%		—			—			435,732			8.3	%		—		—
Fixed Maturities carried at Amortized Cost	$	1,005,947			19.1	%	$	—			—		$	1,033,551			19.5	%	$	—		—
Total Investments	$	5,259,126			100.0	%	$	5,356,921			100.0	%	$	5,286,730			100.0	%	$	5,356,921		100.0	%
Credit Ratings	As of 31-Dec-09			Ratings Distribution			As of 31-Dec-08			Ratings Distribution			As of 31-Dec-09			Ratings Distribution			As of 31-Dec-08			Ratings Distribution
U.S. Government and Agencies [a]	$	1,214,895			28.6	%	$	987,714			27.0	%	$	1,214,895			28.5	%	$	987,714		27.0	%
AAA		720,364			17.0	%		1,567,688			42.9	%		720,364			16.9	%		1,567,688		42.9	%
AA		325,997			7.7	%		406,299			11.1	%		325,997			7.6	%		406,299		11.1	%
A		731,723			17.3	%		622,646			17.1	%		731,723			17.1	%		622,646		17.1	%
BBB		100,841			2.4	%		59,432			1.6	%		100,841			2.4	%		59,432		1.6	%
BB		34,781			0.8	%		4,161			0.1	%		34,781			0.8	%		4,161		0.1	%
B or lower		107,451			2.5	%		5,919			0.2	%		107,451			2.5	%		5,919		0.2	%
Fixed Maturities carried at Fair Value	$	3,236,052			76.3	%	$	3,653,859			100.0	%	$	3,236,052			75.8	%	$	3,653,859		100.0	%
U.S. Government and Agencies		14,050			0.3	%	$	—			—			13,535			0.3	%	$	—		—
AAA		717,954			16.9	%		—			—			734,595			17.2	%		—		—
AA		101,675			2.4	%		—			—			105,296			2.5	%		—		—
A		158,141			3.7	%		—			—			165,172			3.9	%		—		—
BBB		12,672			0.3	%		—			—			13,478			0.3	%		—		—
BB		—			0.0	%		—			—			—			0.0	%		—		—
B or lower		1,455			0.1	%		—			—			1,475			0.0	%		—		—
								—			—									—		—
Fixed Maturities carried at Amortized Cost	$	1,005,947			23.7	%	$	—			—		$	1,033,551			24.2	%	$	—		—
Total Fixed Maturities	$	4,241,999			100.0	%	$	3,653,859			100.0	%	$	4,269,603			100.0	%	$	3,653,859		100.0	%
[a]    Included within US Government and Agencies are Agency-issued Residential Mortgage-Backed Securities with a fair value of $689,468
	Quarter Ended 31-Dec-09			Quarter Ended 30-Sep-09			Quarter Ended 30-Jun-09			Quarter Ended 31-Mar-09			Year ended 31-Dec-09			Year ended 31-Dec-08
Net investment income	$	44,668		$	42,830		$	41,755		$	40,488		$	169,741		$	181,624
Net realized and unrealized gains (losses) on investments:
Change in fair value of other investments		13,820			23,275			21,406			18,013			76,514			(232,993	)
Realized and unrealized gains (losses) on trading fixed maturities		3			1,400			720			467			2,590			508
Net realized gains (losses) on available for sale fixed maturities		3,234			(655	)		(654	)		(39	)		1,885			(2,480	)
Change in fair value of derivatives		268			508			—			—			776			—
		17,325			24,528			21,472			18,441			81,765			(234,965	)
Net impairment losses recognized in earnings		(925	)		(139	)		(2,014	)		—			(3,078	)		(16,887	)

23

MAX CAPITAL GROUP LTD.

HEDGE FUND DETAIL - AS OF DECEMBER 31, 2009 (Unaudited)

(Expressed in thousands of United States Dollars)

			Periodic Rate of Return
	Fair Value		Last 3 Months		Last 12 months		Last 60 months*
Convertible Arbitrage	$	—	0.00	%	16.99	%	(0.45	%)
Distressed Securities		62,897	5.97	%	20.53	%	7.71	%
Diversified Arbitrage		34,503	3.56	%	11.69	%	(2.54	%)
Emerging Markets		26,211	2.68	%	35.62	%	7.29	%
Event-Driven Arbitrage		41,724	9.93	%	28.02	%	7.15	%
Fixed Income Arbitrage		14,351	2.03	%	18.66	%	12.96	%
Global Macro		34,299	1.51	%	10.14	%	4.86	%
Long / Short Credit		9,426	3.09	%	21.03	%	6.02	%
Long / Short Equity		85,901	0.29	%	10.84	%	5.39	%
Opportunistic		2,765	0.63	%	(32.22	%)	(6.04	%)
Hedge Funds **		312,077	2.66	%	12.27	%	3.53	%
Reinsurance Private Equity		2,772	9.62	%	21.56	%	15.24	%
Other Investments	$	314,849	2.71	%	12.35	%	3.37	%
Hedge Fund Investment Return Data:
HFRI Fund of Funds Composite Index [a]			1.46	%	11.46	%	2.77	%

Hedge Fund Performance History – 60 months ended December 31, 2009

Annual standard deviation	6.87	%
Monthly performance	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	(1.45	%)	1.37	%	4.15	%	(4.85	%)	1.53	%
November	0.61	%	1.81	%	0.10	%	(1.75	%)	0.35	%
December	1.37	%	1.96	%	(0.13	%)	(1.92	%)	0.77	%
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	0.51	%	5.22	%	4.11	%	(8.31	%)	2.66	%
Period return	5.88	%	6.30	%	16.78	%	(19.38	%)	12.27	%

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

[a] As reported by HFRI as at February 8, 2010.

* Annualized

** Net of all fees

24

MAX CAPITAL GROUP LTD.

LARGEST 25 CORPORATE HOLDINGS - AS OF DECEMBER 31, 2009 (Unaudited)

(Expressed in thousands of United States Dollars)

	DECEMBER 31, 2009
Issuer	Amortized Cost		Fair Value
European Investment Bank	$	62,957	$	58,706
KFW-Kredit Wiederaufrbau		51,036		53,334
General Electric Cap Corp		50,491		50,232
Citigroup Inc		39,691		38,466
JP Morgan Chase & Co		38,443		38,892
Morgan Stanley		33,389		34,147
Wal-Mart Stores		26,756		26,867
Hypo PFandBriefBK Intl		26,322		28,080
Goldman Sachs Group Inc		23,489		23,824
UBS AG		23,422		23,597
Deutsche Bank		22,472		23,978
Network Rail		21,908		21,762
BP Capital Markets plc		20,215		20,499
Wells Fargo Company		20,039		20,057
Conocco Philips		19,895		20,866
Credit Suisse USA Inc		19,605		19,793
Nord Deutsche Landesbank		17,783		18,029
Credit Agricole		17,267		17,418
Caisse D’amort Dette SOC		17,252		20,100
Roche Holdings		16,502		17,657
Bank of America		15,996		15,909
Praxair Inc		15,717		15,879
Verizon Communications		15,042		15,717
HBOS Treasury Services plc		14,993		14,875
Intl BK Recon & Develop		14,785		14,131
FPL Group Capital Inc		14,388		14,750
	$	659,855	$	667,565

25

MAX CAPITAL GROUP LTD.

SHAREHOLDER RETURN ANALYSIS (Unaudited)

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

	FOR THE YEARS ENDED
	2009			2008			2007
Income and Return on Equity:
Net income (loss)	$	246,215		$	(175,318	)	$	303,249
Net operating income (loss)	$	208,907		$	(143,752	)	$	307,273
Shareholders’ equity	$	1,564,633		$	1,280,331		$	1,583,894
Annualized return on average shareholders’equity [a]		17.3	%		(12.2	%)		20.4	%
Annualized net operating return on average shareholders’equity [a]		14.7	%		(10.0	%)		20.7	%
Book value and dividends per share:
Diluted book value per share	$	27.36		$	22.46		$	25.59
Dividends paid per share	$	0.38		$	0.36		$	0.32
Change in diluted book value per share		21.8	%		(12.2	%)		18.7	%
Dividend payout ratio [b]		1.7	%		1.3	%		1.4	%
Total return to shareholders [c]		23.5	%		(10.9	%)		20.1	%

[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					YEARS ENDED
	Dec 31, 2009		Dec 31, 2008			Dec 31, 2009		Dec 31, 2008
Net income available to common shareholders	$	62,592	$	(94,083	)	$	246,215	$	(175,318	)
Denominator:
Weighted average shares - basic
Outstanding [a]		56,687,373		55,948,305			56,615,080		56,222,466
Unvested restricted share units		403,557		347,759			391,828		343,122
		57,090,930		56,296,064			57,006,908		56,565,588
Share equivalents:
Warrants		720,029		—			608,161		—
Options		220,437		—			150,669		—
Employee Stock Purchase Plan		4,379		—			1,399		—
Weighted average shares - diluted [b] [c]		58,035,775		56,296,064			57,767,137		56,565,588
Basic earnings per common share	$	1.10	$	(1.67	)	$	4.32	$	(3.10	)
Diluted earnings per common share [c]	$	1.08	$	(1.67	)	$	4.26	$	(3.10	)

[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.

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MAX CAPITAL GROUP LTD.

OPERATING INCOME RECONCILIATION (Unaudited)

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

	QUARTERS ENDED						YEARS ENDED
	Dec 31, 2009			Dec 31, 2008			Dec 31, 2009			Dec 31, 2008
Net income	$	62,592		$	(94,083	)	$	246,215		$	(175,318	)
Add (Less) after-tax items:
Net realized and unrealized (gains) losses on fixed maturities [a]		(2,576	)		1,108			(1,411	)		18,640
Net foreign exchange (gains) losses		682			7,999			(4,331	)		9,982
Merger and acquisition expenses		(224	)		(544	)		(31,566	)		2,944
Net operating income		60,474			(85,520	)		208,907			(143,752	)
Weighted average shares outstanding:
Basic		57,090,930			56,296,064			57,006,908			56,565,588
Diluted [a]		58,035,775			56,296,064			57,767,137			56,565,588
Basic per share data
Earnings per share	$	1.10		$	(1.67	)	$	4.32		$	(3.10	)
Add (Less) after-tax items:
Net realized and unrealized (gains) losses on fixed maturities [a]		(0.05	)	$	0.02			(0.02	)		0.33
Net foreign exchange (gains) losses		0.01			0.14			(0.08	)		0.18
Merger and acquisition expenses		—			(0.01	)		(0.56	)		0.05
Net operating income per share	$	1.06		$	(1.52	)	$	3.66		$	(2.54	)
Diluted per share data [b]
Diluted earnings per share	$	1.08		$	(1.67	)	$	4.26		$	(3.10	)
Add (Less) after-tax items:
Net realized and unrealized (gains) losses on fixed maturities [a]		(0.05	)		0.02			(0.02	)		0.33
Net foreign exchange (gains) losses		0.01			0.14			(0.07	)		0.18
Merger and acquisition expenses		—			(0.01	)		(0.55	)		0.05
Net operating income per diluted share	$	1.04		$	(1.52	)	$	3.62		$	(2.54	)

[a] Net realized and unrealized (gains) losses on fixed maturities includes realized and unrealized (gains) losses on trading securities, realized (gains) losses on available for sale securities, net impairment losses recognized in earnings and changes in fair value of investment derivatives.

[b] 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.

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MAX CAPITAL GROUP LTD.

BOOK VALUE PER SHARE (Unaudited)

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

	Dec 31, 2009		Dec 31, 2008
Price per share at period end	$	22.30	$	17.70
Basic common shares outstanding [a]		55,867,125		55,905,509
Add: unvested restricted stock units		406,514		347,759
Add: dilutive impact of warrants outstanding		683,163		635,729
Add: dilutive impact of options outstanding		221,656		128,160
Diluted shares outstanding [b]		57,178,458		57,017,157
Basic book value per common share	$	28.01	$	22.94
Diluted book value per common share	$	27.36	$	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.

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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 and unrealized gains or losses on fixed maturities (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 and changes in fair value of investment derivatives), 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 and unrealized 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.

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