Endurance Specialty (ENH) 8-K Endurance Specialty Holdings Reports First Quarter 2006 Net Income of $107 Million

Exhibit 99.2

Endurance Specialty Holdings Ltd.

INVESTOR FINANCIAL SUPPLEMENT

FIRST QUARTER 2006

Endurance Specialty Holdings Ltd.
Wellesley House, 90 Pitts Bay Rd.
Pembroke HM 08, Bermuda

Massa B. Cressall
Assistant VP, Strategy and Planning
Phone: (441) 278-0988
Fax: (441) 278-0493
email: mcressall@endurance.bm

This report is for information purposes only. It should be read in conjunction with other documents filed by Endurance Specialty Holdings Ltd. pursuant to the Securities Act of 1933 and the Securities Exchange Act of 1934.

ENDURANCE SPECIALTY HOLDINGS LTD.
FINANCIAL SUPPLEMENT TABLE OF CONTENTS

		Page
i.	Basis of Presentation	i
ii.	Organizational Chart of Executive Management	ii
iii.	Organizational Chart of Corporate Structure	iii
I.	Financial Highlights	1
II.	Consolidated Financial Statements
	a. Consolidated Statements of Income	2
	b. Consolidated Balance Sheets	3
	c. Segment Distribution	4
	d. Consolidated Segment Data	5
	e. Deposit Accounting Adjustment Impacts on Segment Data	6
III.	Other Financial Information
	a. Return on Equity Analysis	7
	b. ROE Component Analysis - Operating and Investment Leverage	8
	c. Investment Portfolio Information	9
	d. Unrealized Gains and Operating Cash Flow	10
IV.	Loss Reserve Analysis
	a. Activity in Reserve for Losses and Loss Expenses	11
	b. Activity in Reserve for Losses and Loss Expenses by Segment	12
	c. Analysis of Unpaid Losses and Loss Expense	13
V.	Share Analysis
	a. Weighted Average Dilutive Shares Outstanding	14
	b. Operating Income Reconciliation	15
	c. Dilutive Shares Sensitivity Analysis	16
	d. Book Value Per Share Analysis	17
	e. Shareholder Return Analysis	18
VII.	Regulation G	19

Application of the Safe Harbor of the Private Securities Litigation Reform Act of 1995:

Some of the statements in this financial supplement may include forward-looking statements which reflect our current views with respect to future events and financial performance. Such statements may include forward-looking statements both with respect to us in general and the insurance and reinsurance sectors specifically, both as to underwriting and investment matters. Statements which include the words “expect,” “intend,” “plan,” “believe,” “project,” “anticipate,” “seek,” “will,” and similar statements of a future or forward-looking nature identify forward-looking statements in this financial supplement for purposes of the U.S. federal securities laws or otherwise. We intend these forward-looking statements to be covered by the safe harbor provisions for forward-looking statements in the Private Securities Litigation Reform Act of 1995. Readers are cautioned not to place undue reliance on these forward-looking statements, which speak only to the date on which they are made. We undertake no obligation to publicly update or review any forward looking statement, when as a result of new information, future developments or otherwise.

All forward-looking statements address matters that involve risks and uncertainties. Accordingly, there are or may be important factors that could cause actual results to differ from those indicated in the forward-looking statements. These factors include, but are not limited to, competition, possible terrorism or the outbreak of war, the frequency or severity of unpredictable catastrophic events, changes in demand for insurance or reinsurance, rating agency actions, uncertainties in our reserving process, a change in our tax status, acceptance of our products, the availability of reinsurance or retrocessional coverage, retention of key personnel, political conditions, the impact of current regulatory investigations, changes in accounting policies, changes in general economic conditions and other factors described in our Annual Report on Form 10-K for the year ended December 31, 2005.

ENDURANCE SPECIALTY HOLDINGS LTD.
BASIS OF PRESENTATION

DEFINITIONS AND PRESENTATION

• All financial information contained herein is unaudited, except the balance sheet and income statement data for the years ended December 31, 2005, December 31, 2004 and December 31, 2003, which was derived from the Company’s audited financial statements.

• Unless otherwise noted, all data is in thousands, except for per share, percentage and ratio information.

• As used in this financial supplement, “common shares” refers to our ordinary shares and class A shares, collectively.

• Endurance Specialty Holdings Ltd., along with others in the industry, uses underwriting ratios as measures of performance. The loss ratio is the ratio of claims and claims adjustment expense to earned premiums. The acquisition expense ratio is the ratio of underwriting expenses (commissions, taxes, licenses and fees, as well as other underwriting expenses) to earned premiums. The general and administrative expense ratio is the ratio of general and administrative expenses to earned premiums. The combined ratio is the sum of the loss ratio, the acquisition expense ratio and the general and administrative expense ratio. These ratios are relative measurements that describe for every $100 of net premiums earned or written, the cost of losses and expenses, respectively. The combined ratio presents the total cost per $100 of earned premium. A combined ratio below 100% demonstrates underwriting profit; a combined ratio above 100% demonstrates underwriting loss.

• GAAP combined ratios differ from statutory combined ratios primarily due to the deferral of certain third party acquisition expenses for GAAP reporting purposes and the use of net premiums earned rather than net premiums written in the denominator when calculating the acquisition expense and the general & administrative expense ratios.

• NM - Not meaningful; NA - Not Applicable; LTM - Latest twelve months.

i

ENDURANCE SPECIALTY HOLDINGS LTD.
ORGANIZATION CHART

Endurance Specialty Holdings Ltd.

Chairman, President and Chief Executive Officer - Kenneth LeStrange

Chief Financial Officer - Michael McGuire   Chief Actuary and Chief Risk Officer - Michael Angelina
General Counsel - John Del Col   Chief Operating Officer - Steven Carlsen
Chief Underwriting Officer - David Cash   Chief Operating Officer - Insurance - Michael Fujii

Endurance Reinsurance

Corporation of America

(Principal Operation - New York)

President -
William Jewett

Endurance Specialty

Insurance Ltd.

(Principal Operation - Bermuda)

President -
Daniel Izard

Endurance

Services Limited

(Principal Operation - New York)

President -
John O'Connor

Chief Investment Officer -
Mark Silverstein

Endurance Worldwide

Insurance Limited

(Principal Operation - London)

Chief Executive Officer -
Mark Boucher

Operations

President -
Michael Fujii

Endurance U.S. Insurance

ii

ENDURANCE SPECIALTY HOLDINGS LTD.

CORPORATE ORGANIZATION CHART

Endurance U.S.

Holdings Corp.

(U.S.)

Endurance

Services Limited

(U.K.)

Endurance Specialty Holdings Ltd.

(Bermuda)

Endurance

Worldwide

Holdings Limited

(U.K.)

Endurance

Worldwide

Insurance

Limited

(U.K.)

Endurance

Specialty

Insurance Ltd.

(Bermuda)

Endurance U.S.

Specialty

Services

Corporation

(U.S.)

Endurance

Reinsurance

Corporation of

America

(U.S.)

Traders and

Pacific

Insurance

Company

(U.S.)

Endurance Elite

Assurance

Company Ltd.

(Bermuda)

Endurance

Specialty Insurance

Marketing Corp. of

California

(U.S.)

Endurance

Specialty

Insurance

Marketing Corp. of

Illinois

(U.S.)

Endurance

Specialty

Insurance

Marketing Corp. of

Massachusetts

(U.S.)

iii

ENDURANCE SPECIALTY HOLDINGS LTD.
CONSOLIDATED FINANCIAL HIGHLIGHTS

		QUARTER ENDED MARCH 31,						Previous Quarter Change
		2006			2005
HIGHLIGHTS	Net income	$	107,036		$	96,259			11.2	%
	Net income available to common shareholders		103,161			96,259			7.2	%
	Operating income available to common shareholders[a]		104,045			102,673			1.3	%
	Gross premiums written		571,381			702,491			(18.7	)%
	Net premiums earned		420,206			437,598			(4.0	)%
	Total assets		6,733,186			5,695,088			18.2	%
	Total shareholders’ equity		1,923,988			1,882,640			2.2	%
PER SHARE AND	Basic earnings per share
SHARES DATA	Net income (as reported)	$	1.55		$	1.57			(1.1	)%
	Operating income (as reported)[a]	$	1.57		$	1.68			(6.5	)%
	Diluted earnings per share
	Net income (as reported)	$	1.45		$	1.45			(0.5	)%
	Operating income (as reported)[a]	$	1.46		$	1.55			(6.0	)%
As Reported	Weighted average common shares outstanding		66,445			61,292			8.4	%
	Weighted average common shares outstanding and dilutive potential common shares		71,295			66,166			7.8	%
Book Value Per Common Share	Book value per common share[b]	$	25.93		$	30.94			(16.2	)%
	Diluted book value per common share (treasury stock method)[b]	$	23.96		$	28.23			(15.1	)%
FINANCIAL RATIOS	Return on av. equity (ROAE) per common share, net income[c]		6.1	%		5.1	%		0.9
	ROAE, operating income per common share[a] [c]		6.1	%		5.5	%		0.6
	Return on beg. equity (ROBE), net income per common share		6.2	%		5.2	%		1.0
	ROBE, operating income per common share[a]		6.2	%		5.5	%		0.7
	Annualized ROAE, net income [c]		24.3	%		20.6	%		3.7
	Annualized ROAE, operating income[a] [c]		24.5	%		21.9	%		2.6
	Annualized ROBE, net income		24.7	%		20.7	%		4.0
	Annualized ROBE, operating income[a]		24.9	%		22.1	%		2.8
	Annualized investment yield		4.9	%		4.0	%		1.0
	Loss ratio		56.8	%		57.4	%		(0.6	)
GAAP	Acquisition expense ratio		17.6	%		19.8	%		(2.2	)
	General and administrative expense ratio		10.5	%		7.7	%		2.8
	Combined ratio		84.9	%		84.9	%		0.0
STAT	Acquisition expense ratio		15.4	%		18.5	%		(3.1	)
	General and administrative expense ratio		8.2	%		4.8	%		3.4
	Combined ratio		80.4	%		80.7	%		(0.3	)

[a]	Operating income represents after-tax operational results excluding, as applicable, after-tax net realized capital gains or losses and after-tax net foreign exchange gains or losses.
	Please see page 15 for a reconciliation to net income.
[b]	For detailed calculations please refer to page 17.
[c]	Average equity is calculated as the arithmetic average of the beginning and ending common equity balances for the stated periods, which excludes the $200 million liquidation value of the preferred shares.

1

ENDURANCE SPECIALTY HOLDINGS LTD.
CONSOLIDATED STATEMENTS OF INCOME

	QUARTER ENDED MARCH 31,						YEAR ENDED DEC. 31, 2005
	2006			2005
UNDERWRITING REVENUES
Gross premiums written	$	571,381		$	702,491		$	1,668,877
Premiums ceded		(28,372	)		(3,313	)		(49,528	)
Net premiums written		543,009			699,178			1,619,349
Change in unearned premiums		(122,803	)		(261,580	)		104,345
Net premiums earned	$	420,206		$	437,598		$	1,723,694
Other underwriting income (expenses)		2,071			171			(5,342	)
Total underwriting revenues	$	422,277		$	437,769		$	1,718,352
UNDERWRITING EXPENSES
Losses and loss expenses	$	238,732		$	251,059		$	1,650,943
Acquisition expenses		73,771			86,775			329,692
General and administrative expenses		44,298			33,546			148,036
Total underwriting expenses		356,801			371,380			2,128,671
Underwriting income (loss)	$	65,476		$	66,389		($	410,319	)
OTHER OPERATING REVENUE/EXPENSES
Net investment income	$	61,904		$	40,011		$	180,975
Interest expense		(7,526	)		(5,471	)		(24,210	)
Amortization of intangibles		(1,158	)		(1,220	)		(4,694	)
Total other operating revenue/expenses	$	53,220		$	33,320		$	152,071
INCOME (LOSS) BEFORE OTHER ITEMS		118,696			99,709			(258,248	)
OTHER
Net foreign exchange gains (losses)	$	2,886		($	2,421	)	($	5,140	)
Net realized (losses) gains on investments		(3,330	)		(4,453	)		(8,244	)
Income tax (expense) benefit		(11,216	)		3,424			51,148
NET INCOME (LOSS)	$	107,036		$	96,259		($	220,484	)
Preferred dividends		(3,875	)		—			(2,720	)
NET INCOME (LOSS) AVAILABLE TO COMMON SHAREHOLDERS	$	103,161		$	96,259		($	223,204	)
KEY RATIOS/PER SHARE DATA
Loss ratio		56.8	%		57.4	%		95.8	%
Acquisition expense ratio		17.6	%		19.8	%		19.1	%
General and administrative expense ratio		10.5	%		7.7	%		8.6	%
Combined ratio		84.9	%		84.9	%		123.5	%
Weighted average basic shares outstanding		66,445			61,292			62,029
Weighted average dilutive shares outstanding		71,295			66,166			62,029
Basic EPS	$	1.55		$	1.57		$	(3.60	)
Diluted EPS	$	1.45		$	1.45		$	(3.60	)
ROAE[a]		6.1	%		5.1	%		(12.6	)%

[a] Average equity is calculated as the arithmetic average of the beginning and ending common equity balances for the stated periods, which excludes the $200 million liquidation value of the preferred shares.

2

ENDURANCE SPECIALTY HOLDINGS LTD.
CONSOLIDATED BALANCE SHEETS

	MAR. 31, 2006			DEC. 31, 2005
ASSETS
Cash and cash equivalents	$	562,060		$	468,015
Fixed maturity investments available for sale, at fair value		4,310,088			4,323,339
Investments in other ventures, under equity method		184,215			161,883
Premiums receivable, net		798,008			575,109
Deferred acquisition costs		178,427			166,720
Securities lending collateral		439,652			408,663
Prepaid reinsurance premiums		39,617			27,132
Losses recoverable		26,442			17,248
Accrued investment income		33,737			33,734
Intangible assets		65,086			65,633
Deferred tax assets		61,745			69,360
Other assets		34,109			35,701
TOTAL ASSETS	$	6,733,186		$	6,352,537
LIABILITIES
Reserve for losses and loss expenses	$	2,688,986		$	2,603,590
Reserve for unearned premiums		939,165			803,629
Deposit liabilities		151,418			92,523
Reinsurance balances payable		102,726			85,281
Securities lending payable		439,652			408,663
Debt		447,112			447,092
Other liabilities		40,139			39,216
TOTAL LIABILITIES	$	4,809,198		$	4,479,994
SHAREHOLDERS’ EQUITY
Preferred shares
Series A, non-cumulative - 8,000 issued and outstanding (2005 - 8,000)	$	8,000		$	8,000
Common shares
66,256 issued and outstanding (2005 - 66,139)		66,256			66,139
Additional paid-in capital		1,454,842			1,453,722
Accumulated other comprehensive loss		(55,815	)		(19,672	)
Retained earnings		450,705			364,354
TOTAL SHAREHOLDERS’ EQUITY	$	1,923,988		$	1,872,543
TOTAL LIABILITIES AND SHAREHOLDERS’ EQUITY	$	6,733,186		$	6,352,537
Book value per common share	$	25.93		$	25.18
Diluted book value per common share (treasury stock method)	$	23.96		$	23.17
RATIOS
Debt to total capitalization		18.9	%		19.3	%

3

ENDURANCE SPECIALTY HOLDINGS LTD.

SEGMENT DISTRIBUTION

FOR THE QUARTER ENDED MARCH 31, 2006

Gross Premiums Written = $671 million [a]

[a]

Prior to deposit accounting adjustments.

Source of Business

Casualty

44%

Property

53%

Other Specialty

3%

Type of Business

Insurance

12%

Reinsurance

88%

Broker Distribution

Benfield

12%

Other

25%

Aon

24%

Marsh

23%

Willis

16%

4

ENDURANCE SPECIALTY HOLDINGS LTD.
CONSOLIDATED SEGMENT DATA
FOR THE QUARTER ENDED MARCH 31, 2006

	Property Per			Property			Casualty			Property			Casualty
	Risk Treaty			Catastrophe			Treaty			Individual			Individual
	Reinsurance			Reinsurance			Reinsurance			Risk			Risk
UNDERWRITING REVENUES
Gross premiums written	$	122,480		$	100,804		$	205,469		$	28,574		$	51,583
Net premiums written	$	122,480		$	100,804		$	203,466		$	10,690		$	46,002
Net premiums earned	$	98,109		$	53,398		$	151,047		$	21,058		$	69,368
Other underwriting income		—			—			—			—			—
Total underwriting revenues	$	98,109		$	53,398		$	151,047		$	21,058		$	69,368
UNDERWRITING EXPENSES
Losses and loss expenses	$	40,435		$	32,705		$	85,960		($	5,461	)	$	47,068
Acquisition expenses		20,097			7,811			42,521			1,291			3,355
General and administrative expenses		7,449			6,573			11,836			3,777			5,531
Total expenses		67,981			47,089			140,317			(393	)		55,954
UNDERWRITING INCOME (LOSS)	$	30,128		$	6,309		$	10,730		$	21,451		$	13,414
GAAP RATIOS
Loss ratio		41.2	%		61.2	%		56.9	%		(25.9	)%		67.9	%
Acquisition expense ratio		20.5	%		14.6	%		28.2	%		6.1	%		4.8	%
General and administrative expense ratio		7.6	%		12.3	%		7.8	%		17.9	%		8.0	%
Combined ratio		69.3	%		88.1	%		92.9	%		(1.9	)%		80.7	%
STATUTORY RATIOS
Loss ratio		41.2	%		61.2	%		56.9	%		(25.9	)%		67.9	%
Acquisition expense ratio		20.8	%		12.0	%		25.1	%		3.6	%		3.0	%
General and administrative expense ratio		6.1	%		6.5	%		5.8	%		35.3	%		12.0	%
Combined ratio		68.1	%		79.7	%		87.8	%		13.0	%		82.9	%

	Aerospace and			Total			Deposit
	Other Specialty			Company			Accounting			Reported
	Lines			Sub-total			Adjustment [a]			Totals
UNDERWRITING REVENUES
Gross premiums written	$	161,620		$	670,530		($	99,149	)	$	571,381
Net premiums written	$	158,716		$	642,158		($	99,149	)	$	543,009
Net premiums earned	$	83,983		$	476,963		($	56,757	)	$	420,206
Other underwriting income		—			—			2,071			2,071
Total underwriting revenues	$	83,983		$	476,963		($	54,686	)	$	422,277
UNDERWRITING EXPENSES
Losses and loss expenses	$	69,298		$	270,005		($	31,273	)	$	238,732
Acquisition expenses		19,267			94,342			(20,571	)		73,771
General and administrative expenses		9,132			44,298			—			44,298
Total expenses		97,697			408,645			(51,844	)		356,801
UNDERWRITING INCOME (LOSS)	($	13,714	)	$	68,318		($	2,842	)	$	65,476
GAAP RATIOS
Loss ratio		82.5	%		56.6	%		55.1	%		56.8	%
Acquisition expense ratio		22.9	%		19.8	%		36.2	%		17.6	%
General and administrative expense ratio		10.9	%		9.3	%		—			10.5	%
Combined ratio		116.3	%		85.7	%		91.3	%		84.9	%
STATUTORY RATIOS
Loss ratio		82.5	%		56.6	%		55.1	%		56.8	%
Acquisition expense ratio		15.5	%		17.9	%		31.3	%		15.4	%
General and administrative expense ratio		5.8	%		6.9	%		—			8.2	%
Combined ratio		103.8	%		81.4	%		86.4	%		80.4	%

[a] For internal management reporting purposes, underwriting results by segment are presented on the basis of applying reinsurance accounting to all reinsurance contracts written. However, for financial statement presentation purposes, management determined that certain reinsurance contracts written during the period were more appropriately accounted for under the deposit method of accounting specified by AICPA SOP 98-7 whereby net premiums due on such contracts were recorded as deposit liabilities. The adjustment herein reconciles the Company's underwriting results by segment to the Company's financial statement presentation.

5

ENDURANCE SPECIALTY HOLDINGS LTD.
DEPOSIT ACCOUNTING ADJUSTMENT IMPACTS ON SEGMENT DATA
FOR THE QUARTER ENDED MARCH 31, 2006

INCLUDING DEPOSIT ACCOUNTING ADJUSTMENTS

	Property PerRisk TreatyReinsurance			PropertyCatastropheReinsurance			CasualtyTreatyReinsurance			PropertyIndividualRisk			CasualtyIndividualRisk			Aerospace andOther SpecialtyLines			TotalCompany
UNDERWRITING REVENUES
Gross premiums written	$	98,823		$	100,804		$	137,394		$	28,574		$	51,583		$	154,203		$	571,381
Net premiums written	$	98,823		$	100,804		$	135,391		$	10,690		$	46,002		$	151,299		$	543,009
Net premiums earned	$	87,866		$	50,762		$	108,399		$	21,058		$	69,368		$	82,753		$	420,206
Other underwriting income (expenses)		(889	)		209			2,654			—			—			97			2,071
Total underwriting revenues		86,977			50,971			111,053			21,058			69,368			82,850			422,277
UNDERWRITING EXPENSES
Losses and loss expenses	$	34,959		$	30,871		$	62,670		($	5,461	)	$	47,068		$	68,625		$	238,732
Acquisition expenses		15,926			7,218			27,097			1,291			3,355			18,884			73,771
General and administrative expenses		7,449			6,573			11,836			3,777			5,531			9,132			44,298
Total expenses		58,334			44,662			101,603			(393	)		55,954			96,641			356,801
UNDERWRITING INCOME (LOSS)	$	28,643		$	6,309		$	9,450		$	21,451		$	13,414		($	13,791	)	$	65,476
GAAP RATIOS
Loss ratio		39.8	%		60.8	%		57.8	%		(25.9	)%		67.9	%		82.9	%		56.8	%
Acquisition expense ratio		18.1	%		14.2	%		25.0	%		6.1	%		4.8	%		22.8	%		17.6	%
General and administrative expense ratio		8.5	%		12.9	%		10.9	%		17.9	%		8.0	%		11.0	%		10.5	%
Combined ratio		66.4	%		87.9	%		93.7	%		(1.9	)%		80.7	%		116.7	%		84.9	%

EXCLUDING DEPOSIT ACCOUNTING ADJUSTMENTS

	Property PerRisk TreatyReinsurance			PropertyCatastropheReinsurance			CasualtyTreatyReinsurance			PropertyIndividualRisk			CasualtyIndividualRisk			Aerospace andOther SpecialtyLines			TotalCompany
UNDERWRITING REVENUES
Gross premiums written	$	122,480		$	100,804		$	205,469		$	28,574		$	51,583		$	161,620		$	670,530
Net premiums written	$	122,480		$	100,804		$	203,466		$	10,690		$	46,002		$	158,716		$	642,158
Net premiums earned	$	98,109		$	53,398		$	151,047		$	21,058		$	69,368		$	83,983		$	476,963
UNDERWRITING EXPENSES
Losses and loss expenses	$	40,435		$	32,705		$	85,960		($	5,461	)	$	47,068		$	69,298		$	270,005
Acquisition expenses		20,097			7,811			42,521			1,291			3,355			19,267			94,342
General and administrative expenses		7,449			6,573			11,836			3,777			5,531			9,132			44,298
Total expenses		67,981			47,089			140,317			(393	)		55,954			97,697			408,645
UNDERWRITING INCOME (LOSS)	$	30,128		$	6,309		$	10,730		$	21,451		$	13,414		($	13,714	)	$	68,318
GAAP RATIOS
Loss ratio		41.2	%		61.2	%		56.9	%		(25.9	)%		67.9	%		82.5	%		56.6	%
Acquisition expense ratio		20.5	%		14.6	%		28.2	%		6.1	%		4.8	%		22.9	%		19.8	%
General and administrative expense ratio		7.6	%		12.3	%		7.8	%		17.9	%		8.0	%		10.9	%		9.3	%
Combined ratio		69.3	%		88.1	%		92.9	%		(1.9	)%		80.7	%		116.3	%		85.7	%

6

ENDURANCE SPECIALTY HOLDINGS LTD.
RETURN ON EQUITY ANALYSIS

	THREE MONTHS ENDED MAR. 31, 2006
Average common equity[a]	$	1,698,266
Net premiums earned	$	420,206
Combined ratio		84.9	%
Operating margin		15.1	%
Premium leverage		0.25	x
Implied ROAE from underwriting activity		3.7	%
Average invested assets at amortized cost	$	5,064,789
Investment leverage		2.98	x
Year to date investment income yield, pretax		1.2	%
Implied ROAE from investment activity		3.6	%
Implied Pre-tax Operating ROAE, for period		7.4	%
Implied Pre-tax Operating ROAE, annualized		29.5	%

[a] Average equity is calculated as the arithmetic average of the beginning and ending common equity balances for the stated periods, which excludes the $200 million liquidation value of the preferred shares.

7

ENDURANCE SPECIALTY HOLDINGS LTD.
ANNUALIZED OPERATING & INVESTMENT LEVERAGE

													Year Ended December 31,
	2Q 2005			3Q 2005			4Q 2005			1Q 2006			2005			2004
Average total equity [a]	$	1,934,883		$	1,772,610		$	1,715,319		$	1,898,266		$	1,867,499		$	1,753,635
Net premiums earned	$	437,921			441,166		$	407,009		$	420,206		$	1,723,694		$	1,632,600
Operating leverage		0.23	x		0.25	x		0.24	x		0.22	x		0.92	x		0.93	x
Annualized operating leverage		0.91	x		1.00	x		0.95	x		0.89	x		0.92	x		0.93	x
Avg. invested assets at amortized cost	$	4,187,712			4,397,080		$	4,750,427		$	5,064,789		$	4,463,908		$	3,277,276
Investment leverage		2.16	x		2.48	x		2.77	x		2.67	x		2.39			1.87	x

[a] Average equity is calculated as the arithmetic average of the beginning and ending equity balances for the stated periods and includes the $200 million liquidation value of the preferred shares.

8

ENDURANCE SPECIALTY HOLDINGS LTD.
INVESTMENT PORTFOLIO
AS OF MARCH 31, 2006

Type of Investment					Fair Value		Percentage
Cash and equivalents [a]					$	562,901		11.1	%
U.S. government and agencies						1,065,535		21.1	%
Corporate securities						692,526		13.7	%
Foreign government						190,671		3.8	%
Municipals						4,919		0.1	%
Asset-backed securities						634,780		12.6	%
Mortgage-backed securities						1,721,657		34.0	%
Investments in other ventures						184,215		3.6	%
Total					$	5,057,204		100.0	%
Ratings					Fair Value		Percentage
U.S. Government and agencies					$	1,065,535		21.1	%
AAA/Aaa						3,226,367		63.8	%
AA/Aa						219,522		4.3	%
A/A						359,409		7.1	%
BBB and below						2,156		NM
Investments in other ventures/Not rated						184,215		3.7	%
Total					$	5,057,204		100.0	%
Performance							March 31, 2006
Annualized yield, year to date[b]								5.0	%
Duration [c]								2.66
Investment Income	Quarter Ended June 30, 2005		Quarter Ended Sept. 30, 2005		Quarter Ended December 31, 2005		Quarter Ended March 31, 2006
Income from investments in other ventures	$	168	$	6,611	$	2,818	$	9,332
Total net investment income	$	39,696	$	49,494	$	51,774	$	61,904

Note:	[a]	Cash and equivalents are shown net of investments pending settlement.
	[b]	Annualized yield excludes realized and unrealized gains and losses on fixed maturity investments
	[c]	Duration excludes investments in other ventures

9

ENDURANCE SPECIALTY HOLDINGS LTD.
PERIOD END UNREALIZED GAINS AND QUARTERLY OPERATING CASH FLOW

	2Q 2005		3Q 2005			4Q 2005			1Q 2006
Unrealized holding gains (losses) on investments, period end	$	14,519	($	30,242	)	($	44,039	)	($	84,415	)
Operating cash flow	$	252,105	$	262,717		$	68,543		$	175,719

10

ENDURANCE SPECIALTY HOLDINGS LTD.
ACTIVITY IN RESERVE FOR LOSSES AND LOSS EXPENSES

	QUARTER ENDED MARCH 31, 2005			QUARTERENDEDJUNE 30, 2005			QUARTERENDEDSEPT. 30, 2005			QUARTERENDEDDEC. 31, 2005			QUARTERENDEDMARCH 31, 2006
Incurred related to:
Current year	$	297,060		$	256,664		$	808,484		$	451,197		$	281,273
Prior years		(46,001	)		(27,748	)		(23,876	)		(64,837	)		(42,541	)
Total incurred		251,059			228,916			784,608			386,360			238,732
Paid related to:
Current year	($	3,021	)	($	14,025	)	($	26,678	)	($	229,008	)	($	6,776	)
Prior years		(86,769	)		(94,706	)		(68,658	)		(57,124	)		(156,623	)
Total paid		(89,790	)		(108,731	)		(95,336	)		(286,132	)		(163,399	)

11

ENDURANCE SPECIALTY HOLDINGS LTD.
ACTIVITY IN RESERVE FOR LOSSES AND LOSS EXPENSES BY SEGMENT

FAVORABLE (ADVERSE) DEVELOPMENT DURING THE QUARTER ENDED MARCH 31, 2006

	Property Per Risk Treaty Reinsurance		Property Catastrophe Reinsurance		Casualty Treaty Reinsurance		Property Individual Risk		Casualty Individual Risk		Aerospace and Other Specialty Lines		TotalCompany
Incurred related to prior years
Quarter ended March 31, 2006		29,255		(10,100)		7,635		23,746		4,109		(12,104)		42,541

FAVORABLE (ADVERSE) DEVELOPMENT DURING THE YEAR ENDED DECEMBER 31, 2005

	Property Per Risk Treaty Reinsurance		Property Catastrophe Reinsurance			Casualty Treaty Reinsurance			Property Individual Risk			Casualty Individual Risk		Aerospace and Other Specialty Lines		TotalCompany
Incurred related to prior years
Quarter ended March 31, 2005		28,900		5,146			1,929			(2,477	)		12,265		238		46,001
Quarter ended June 30, 2005		11,994		2,117			(9,670	)		6,788			9,361		7,158		27,748
Quarter ended September 30, 2005		13,506		1,667			2,530			2,351			438		3,384		23,876
Quarter ended December 31, 2005		19,441		(4,694	)		11,971			12,299			16,971		8,849		64,837
Year ended December 31, 2005		73,841		4,236			6,760			18,961			39,035		19,629		162,462

FAVORABLE (ADVERSE) DEVELOPMENT DURING THE YEAR ENDED DECEMBER 31, 2004

	Property Per Risk Treaty Reinsurance		Property Catastrophe Reinsurance		Casualty Treaty Reinsurance			Property Individual Risk		Casualty Individual Risk		Aerospace and Other Specialty Lines		TotalCompany
Incurred related to prior years
Quarter ended March 31, 2004		2,392		7,288		1,827			6,294		372		1,199		19,372
Quarter ended June 30, 2004		10,467		10,000		4,020			3,486		6,396		6,325		40,694
Quarter ended September 30, 2004		18,047		17,643		5,401			3,082		1,851		4,909		50,933
Quarter ended December 31, 2004		17,132		5,483		(11,170	)		2,881		6,491		4,864		25,681
Year ended December 31, 2004		48,038		40,414		78			15,743		15,110		17,297		136,680

12

ENDURANCE SPECIALTY HOLDINGS LTD.
ANALYSIS OF UNPAID LOSSES AND LOSS EXPENSE

	Property Per Risk Treaty Reinsurance			Property Catastrophe Reinsurance			Casualty Treaty Reinsurance			Property Individual Risk			Casualty Individual Risk
AT MARCH 31, 2006
Case reserves	$	363,392		$	172,076		$	161,028		$	142,150		$	9,083
Total reserves	$	525,225		$	218,434		$	760,706		$	196,312		$	509,582
Case reserves / Total reserves		69.2	%		78.8	%		21.2	%		72.4	%		1.8	%
IBNR / Total reserves		30.8	%		21.2	%		78.8	%		27.6	%		98.2	%

	Aerospace and Other Specialty Lines			TotalCompany			Deposit Accounting Adjustment [a]			ReportedTotals
AT MARCH 31, 2006
Case reserves	$	278,636		$	1,126,365		$	(15,355	)	$	1,111,010
Total reserves	$	550,942		$	2,761,201		$	(72,215	)	$	2,688,986
Case reserves / Total reserves		50.6	%		40.8	%		21.3	%		41.3	%
IBNR / Total reserves		49.4	%		59.2	%		78.7	%		58.7	%

[a] For internal management reporting purposes, underwriting results by segment are presented on the basis of applying reinsurance accounting to all reinsurance contracts written. However, for financial statement presentation purposes, management determined that certain reinsurance contracts written during the period were more appropriately accounted for under the deposit method of accounting specified by AICPA SOP 98-7 whereby net premiums due on such contracts were recorded as deposit liabilities. The adjustment herein reconciles the Company’s underwriting results by segment to the Company’s financial statement presentation.

13

ENDURANCE SPECIALTY HOLDINGS LTD.
DILUTIVE SHARES FOR EPS CALCULATION

		QUARTER ENDED MARCH 31,
		2006			2005
DILUTIVE SHARES OUTSTANDING:	Average market price per share	$	32.67		$	34.23
AS REPORTED	Basic weighted average common shares outstanding		66,445			61,292
				��
	Add: weighted ave. unvested restricted share units		705			587
	Weighted average exercise price per share		—			—
	Proceeds from unrecognized restricted share unit expense	$	16,750		$	13,335
	Less: restricted share units bought back via treasury method		(513	)		(390	)
	Add: weighted ave. dilutive warrants outstanding		7,202			7,202
	Weighted average exercise price per share	$	17.62		$	18.62
	Less: warrants bought back via treasury method		(3,885	)		(3,917	)
	Add: weighted ave. dilutive options outstanding		3,051			3,239
	Weighted average exercise price per share	$	18.21		$	19.18
	Proceeds from unrecognized option expense	$	324		$	1,107
	Less: options bought back via treasury method		(1,710	)		(1,847	)
	Weighted average dilutive shares outstanding		71,295			66,166

Note:  Warrants, options and unvested restricted share units that are anti-dilutive are not included in the calculation of diluted shares outstanding. Warrants, options and unvested restricted share units are anti-dilutive for earnings per share in any period in which there is a net loss and the anti-dilution is reflected in the calculations above as additional treasury method repurchases. Restricted share units are included in the calculation of basic and diluted weighted shares outstanding. The treasury stock 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. SFAS No. 123 also requires that any unrecognized stock based compensation expense that will be recorded in future periods be included as proceeds for purposes of the treasury stock repurchases.

14

ENDURANCE SPECIALTY HOLDINGS LTD.
OPERATING INCOME RECONCILIATION
EARNINGS PER SHARE INFORMATION - AS REPORTED, GAAP

	QUARTER ENDED MARCH 31,
	2006			2005
Net income before preferred dividends	$	107,036		$	96,259
Add (Less) after-tax items:
Net foreign exchange (gains) losses		(2,140	)		2,292
Net realized losses on investments		3,024			4,122
Operating income before preferred dividends		107,920			102,673
Preferred dividends		(3,875	)		—
Operating income available to common shareholders	$	104,045		$	102,673
Weighted average common shares outstanding
Basic		66,445			61,292
Dilutive		71,295			66,166
Basic per share data
Net income per common share	$	1.55		$	1.57
Add (Less) after-tax items:
Net foreign exchange (gains) losses		(0.03	)		0.04
Net realized losses on investments		0.05			0.07
Operating income per common share	$	1.57		$	1.68
Diluted per share data
Net income per common share	$	1.45		$	1.45
Add (Less) after-tax items:
Net foreign exchange (gains) losses		(0.03	)		0.04
Net realized losses on investments		0.04			0.06
Operating income per common share	$	1.46		$	1.55

15

ENDURANCE SPECIALTY HOLDINGS LTD.
DILUTIVE COMMON SHARES SENSITIVITY ANALYSIS

DILUTIVE COMMON SHARES OUSTANDING
Market Price per Share
$	30.00	$	31.00	$	32.00	$	33.00	$	34.00	$	35.00	$	36.00	$	37.00	$	38.00	$	39.00	$	40.00
	71,470		71,666		71,850		72,023		72,186		72,339		72,484		72,621		72,751		72,874		72,991

16

ENDURANCE SPECIALTY HOLDINGS LTD.
BOOK VALUE PER COMMON SHARE

		MARCH 31,
		2006			2005			DEC. 31, 2005
DILUTIVE COMMON SHARES OUTSTANDING:	Price per share at period end	$	32.55		$	37.84		$	35.85
AS-IF CONVERTED [a]	Basic common shares outstanding[b]		66,474			60,858			66,413
	Add: unvested restricted share units		826			576			652
	Add: dilutive warrants outstanding		7,202			7,202			7,202
	Weighted average exercise price per share	$	17.62		$	18.62		$	17.87
	Add: dilutive options outstanding		3,053			3,222			3,081
	Weighted average exercise price per share	$	18.23		$	19.18		$	18.45
	Book Value[c]	$	1,723,988		$	1,882,640		$	1,672,543
	Add: proceeds from converted warrants		126,905			134,108			128,706
	Add: proceeds from converted options		55,650			61,821			56,845
	Pro forma book value	$	1,906,543		$	2,078,569		$	1,858,094
	Dilutive shares outstanding		77,555			71,859			77,349
	Basic book value per common share	$	25.93		$	30.94		$	25.18
	Diluted book value per common share	$	24.58		$	28.93		$	24.02
DILUTIVE COMMON SHARES OUTSTANDING:	Price per share at period end	$	32.55		$	37.84		$	35.85
TREASURY STOCK METHOD	Basic common shares outstanding[b]		66,474			60,858			66,413
	Add: unvested restricted share units		826			576			652
	Add: dilutive warrants outstanding		7,202			7,202			7,202
	Weighted average exercise price per share	$	17.62		$	18.62		$	17.87
	Less: warrants bought back via treasury method		(3,899	)		(3,544	)		(3,590	)
	Add: dilutive options outstanding		3,053			3,222			3,081
	Weighted average exercise price per share	$	18.23		$	19.18		$	18.45
	Less: options bought back via treasury method		(1,710	)		(1,634	)		(1,586	)
	Dilutive shares outstanding		71,946			66,681			72,173
	Basic book value per common share	$	25.93		$	30.94		$	25.18
	Diluted book value per common share	$	23.96		$	28.23		$	23.17

[a]	The as-if converted method assumes that the proceeds received upon exercise of options and warrants will be retained by the Company and the resulting common shares from exercise will remain outstanding.
[b]	Basic common shares include vested restricted share units.
[c]	Excludes the $200 million liquidation value of the preferred shares.

17

ENDURANCE SPECIALTY HOLDINGS LTD.
SHAREHOLDER RETURN ANALYSIS

	QUARTER ENDED				YEAR ENDED DECEMBER 31,
	MAR. 31, 2006				2005			2004			2003			2002
Net income available to common shareholders		$	103,161		($	223,204	)	$	355,584		$	263,437		$	102,066
Dividends paid to common shareholders			(16,563	)		(61,695	)		(50,346	)		(20,505	)		—
Shareholders’ equity [a]			1,723,988			1,672,543			1,862,455			1,644,815			1,217,500
Return on beginning equity			6.2	%		(12.0	)%		21.6	%		21.6	%
Dividend payout ratio [b]			1.0	%		3.3	%		3.1	%		1.7	%
Dilutive common shares outstanding			71,946			72,173			66,729			68,445			56,017
Diluted book value per common share (treasury stock method)		$	23.96		$	23.17		$	27.91		$	24.03		$	21.73
Change in diluted book value per common share			3.4	%		(17.0	)%		16.1	%		10.6	%
Total return to common shareholders [c]			4.4	%		(13.7	)%		19.2	%		12.3	%

[a]	Excludes the $200 million liquidation value of the preferred shares.
[b]	Dividend payout ratio is calculated as dividends paid divided by beginning shareholders’ equity.
[c]	Total return to common shareholders is calculated as the sum of the change in diluted book value per common share and the dividend payout ratio.

18

ENDURANCE SPECIALTY HOLDINGS LTD.
REGULATION G

In presenting the Company’s results, management has included and discussed certain non-GAAP measures. Management believes that these non-GAAP measures, which may be defined differently by other companies, better explain the Company’s results of operations in a manner that allows for a more complete understanding of the underlying trends in the Company’s business. However, these measures should not be viewed as a substitute for those determined in accordance with GAAP.

Operating income is an internal performance measure used by the Company in the management of its operations. Operating income represents after-tax operational results excluding, as applicable, after-tax net realized capital gains or losses and after-tax net foreign exchange gains or losses because the amount of these gains or losses is heavily influenced by, and fluctuates in part, according to the availability of market opportunities. The Company believes these amounts are largely independent of its business and underwriting process and including them distorts the analysis of trends in its operations. In addition to presenting net income determined in accordance with GAAP, the Company believes that showing operating income enables investors, analysts, rating agencies and other users of its financial information to more easily analyze the Company’s results of operations in a manner similar to how management analyzes the Company’s underlying business performance. Operating income should not be viewed as a substitute for GAAP net income. Please see page 15 for a reconciliation of operating income to net income.

Return on Average Equity (ROAE) is comprised using the average common equity calculated as the arithmetic average of the beginning and ending common equity balances for stated periods. Return on Beginning Equity (ROBE) is comprised using the beginning common equity for stated periods. The Company presents various measures of Return on Equity that are commonly recognized as a standard of performance by investors, analysts, rating agencies and other users of its financial information.

Investment yield is provided by the Company’s investment managers and is calculated by dividing net investment income by average invested assets at amortized cost. The Company utilizes and presents the investment yield in order to better disclose the performance of the Company’s investments and to show the components of the Company’s ROE.

The Company has included diluted book value per common share because it takes into account the effect of dilutive securities; therefore, the Company believes it is a better measure of calculating shareholder returns than book value per common share. Please see page 17 for a reconciliation of diluted book value per common share to basic book value per common share.

19