AXIS Capital Holdings Limited (AXS) 8-K Results of Operations and Financial Condition

Exhibit 99.2

AXIS Capital Holdings Limited

INVESTOR FINANCIAL SUPPLEMENT

FIRST QUARTER 2007

AXIS Capital Holdings Limited
92 Pitts Bay Road
Pembroke HM 08 Bermuda

Contact Information:
Linda Ventresca
Investor Relations
441 405 2727
investorrelations@axiscapital.com

Website Information:
www.axiscapital.com

This report is for informational purposes only.  It should be read in conjunction with the documents that we file with the Securities and Exchange Commission pursuant to the Securities Act of 1933 and the Securities Exchange Act of 1934.

AXIS Capital Holdings Limited

FINANCIAL SUPPLEMENT TABLE OF CONTENTS

i. Basis of Presentation
I. Financial Highlights
II. Income Statements
		a.		Consolidated Statements of Income - Quarterly
		b.		Consolidated Segment Data
		c.		Gross Premium Written by Segment by Line of Business
		d.		Segment Consecutive Quarters
III. Balance Sheets
		a.		Consolidated Balance Sheets
		b.		Summary of Investment Portfolio Information
		c.		Investment Portfolio Composition
		d.		Investment Portfolio: Investment Performance
		e.		Reinsurance Recoverable Analysis
IV. Loss Reserve Analysis
	a.			Paid to Incurred Analysis
	b.			Paid to Incurred Analysis by Segment
	c.			Segment Consecutive Quarters
V. Share Analysis
	a.		Earnings Per Common Share Analysis - As Reported
	b.		Diluted Book Value Per Common Share Analysis - As-If Converted Method
	c.		Diluted Book Value Per Common Share Analysis - Treasury Method

AXIS Capital Holdings Limited

BASIS OF PRESENTATION

DEFINITIONS AND PRESENTATION

·In January 2007, the Company announced a strategic reorganization of the AXIS Insurance segment to further strengthen its global operations.  As a result, the Company’s segment reporting has been modified effective January 1, 2007 to reflect the reorganization of AXIS Insurance.  The data presented in this supplement reflects the AXIS Insurance reorganization.  The Company will continue to report overall results based on its two operating segments: Insurance and Reinsurance.

·All financial information contained herein is unaudited, except for the consolidated balance sheets and statements of income relating to the years ended December 31, 2006, 2005 and 2004.

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

·Return on average common equity (“ROACE”) is calculated by dividing the net income available to common shareholders for the period by the average common shareholders’ equity determined using the shareholders’ equity balances at the beginning and the end of the period.

·The debt to capitalization ratio is calculated by dividing the company’s senior notes by the total capital. Total capital represents the sum of equity (common equity and preferred equity) plus debt.

·Annualized effective investment yield is calculated by dividing the investment income generated by the average balance of invested assets.

·NM - - Not meaningful; NR - Not reported; NA - Not applicable

REGULATION G

This investor financial supplement includes the presentation of dilutive book value per common share.  This item is a “non-GAAP financial measure” as defined in Regulation G. The reconciliation of diluted book value per common share to basic book value per common share  in accordance with Regulation G is included on page 18. Management has included this non-GAAP financial measure because it takes into account the effect of dilutive stock awards, and, therefore, we believe that this is a better measure of calculating shareholder returns than book value per share.

Cautionary Note Regarding Forward-Looking Statements:

This financial supplement may contain forward-looking statements which involve inherent risks and uncertainties.  Statements that are not historical facts, including statements about our beliefs, plans or expectations, are forward-looking statements.  These statements are based on current plans, estimates and expectations. Actual results may differ materially from those included in such forward-looking statements and therefore you should not place undue reliance on them.  A non-exclusive list of other important factors that could cause actual results to differ materially from those in such forward-looking statements is set forth in our most recent annual report on Form 10-K, quarterly report on Form 10-Q and our other documents on file with the Securities and Exchange Commission.  AXIS undertakes no obligation to publicly update or revise any forward-looking statement, whether as a result of new information, future developments or otherwise.

i

BUSINESS DESCRIPTIONS

INSURANCE SEGMENT

Our insurance segment provides worldwide coverage on property, marine, terrorism, aviation, political risk, professional, liability and accident & health lines of business.  These product lines are offered through wholesale brokers, retail brokers and managing general underwriters.

The property line of business provides physical damage and business interruption coverage for industrial and commercial properties and physical damage, business interruption and liability coverage for onshore energy properties and operations. The book consists of both primary and excess risks, some of which are catastrophe-exposed.

Our marine line of business provides coverage for hull, liability, cargo and specie and recreational marine risks. These risks include property damage or physical loss to ships, pollution damage caused by vessels on a sudden and accidental basis, protection for general cargo and the contents of armored cars, vaults, exhibitions and museums, and specific war related risks. This line of business also provides physical damage, business interruption and liability coverage for offshore energy property and operations.

Terrorism provides coverage for physical damage and associated business interruption of an insured following an act of terrorism.

Our aviation line of business includes hull and liability and specific war coverage for passenger and cargo airlines and privately owned aircraft as well as select aviation product liability coverage.

The political risk line of business generally provides protection against sovereign default or sovereign actions resulting in impairment of cross-border investments for banks and major corporations. It also provides protection on structured credit based transactions where lenders seek to mitigate some of the non-payment risk of their borrowers.

The professional line of business primarily consists of coverage for directors’ and officers’ liability, errors and omissions liability and employment practices liability.

Our liability line of business primarily targets casualty risks in the U.S. excess and surplus lines markets. Target classes include mercantile, manufacturing and building/premises, with particular emphasis on commercial and consumer products, commercial construction and miscellaneous general liability.

The accident & health line of business primarily provides employee medical coverage for self-insured, small and medium sized employers for losses in excess of a retention.

ii

REINSURANCE SEGMENT

Our reinsurance segment provides treaty and facultative reinsurance to insurance companies on a worldwide basis.  Treaty reinsurance contracts are contractual arrangements that provide for automatic reinsurance of a type or category of risk underwritten by our clients. Contracts can be written on an excess of loss basis or a pro rata basis, also known as proportional. Facultative reinsurance provides for all or a portion of the insurance provided by a single policy and each policy reinsured is individually negotiated. The product lines in this segment are catastrophe, property, professional liability, credit and bond, motor liability, liability and other.

The catastrophe book provides protection for most catastrophic losses that are covered in the underlying insurance policies written by our ceding company clients which is principally property exposure. This business also consists of contracts covering non-property exposures, including workers compensation, personal accident and life. The principal perils in this portfolio are hurricane and windstorm, earthquake, flood, tornado, hail and fire. In some instances, terrorism may be a covered peril or the only peril.

The property line of business includes reinsurance written on both a pro rata and a per risk basis and covers underlying personal lines and commercial property exposures. Property pro rata treaty reinsurance covers a cedent’s aggregate losses from all events in the covered period on a proportional basis. Property per risk treaty reinsurance reinsures a portfolio of particular property risks of ceding companies on an excess of loss basis.

The professional liability treaty reinsurance book covers directors’ and officers’ liability, employment practices liability, medical malpractice and miscellaneous errors and omissions insurance risks.

The credit and bond treaty reinsurance book consists principally of reinsurance of trade credit insurance products and includes both proportional and excess-of loss structures. The underlying insurance indemnifies sellers of goods and services against a payment default by the buyer of those goods and services. Also included in this book is coverage for ceding insurers against losses arising from a broad array of surety bonds issued by bond insurers principally to satisfy regulatory demands in a variety of jurisdictions around the world, but predominantly in Europe.

The motor liability reinsurance line of business provides coverage to insurers for motor liability losses arising out of any one occurrence. The occurrence can involve one or many claimants where the ceding insurer aggregates the claims from the occurrence.

The liability reinsurance line of business provides coverage to insurers of standard casualty lines, including auto liability, general liability, personal and commercial umbrella and workers’ compensation.

The other reinsurance line of business covers claims arising from aviation, engineering, marine, personal accident and crop reinsurance.

iii

AXIS Capital Holdings Limited

FINANCIAL HIGHLIGHTS

	Quarter ended
	March 31,
	2007			2006			Change
HIGHLIGHTS
Gross premiums written	$	1,302,622		$	1,164,740		11.8	%
Gross premiums written - Insurance	33.5		%	37.5		%	(4.0	)%
Gross premiums written - Reinsurance	66.5		%	62.5		%	4.0	%
Net premiums written	1,139,357			992,328			14.8	%
Net premiums earned	$	685,304		$	633,594		8.2	%
Net premiums earned - Insurance	46.0		%	50.9		%	(4.9	)%
Net premiums earned - Reinsurance	54.0		%	49.1		%	4.9	%
Net income available to common shareholders	$	227,579		$	195,185		16.6	%
Reserve for losses and loss expenses	5,186,191			4,813,516			7.7	%
Total shareholders’ equity	4,641,747			3,645,228			27.3	%
PER COMMON SHARE AND COMMON SHARE DATA
Basic earnings per common share	$	1.51		$	1.31		15.5	%
Diluted earnings per common share	$	1.37		$	1.19		15.2	%
Weighted average common shares outstanding	150,433			149,314			0.7	%
Diluted weighted average common shares outstanding	166,035			163,555			1.5	%
Book value per common share	$	27.54		$	21.00		31.1	%
Diluted book value per common share (if converted method)	$	25.11		$	19.72		27.3	%
FINANCIAL RATIOS
ROACE, net income available to common shareholders [a]	22.6		%	25.4		%	(2.8	)%
Net loss and loss expense ratio	57.3		%	56.6		%	0.7	%
Acquisition cost ratio	14.3		%	14.2		%	0.1	%
General and administrative expense ratio	9.1		%	8.7		%	0.4	%
Combined ratio	80.7		%	79.5		%	1.2	%
INVESTMENT DATA
Total assets	$	14,612,437		$	12,655,655		15.5	%
Total cash and investments [b]	$	9,966,443		$	7,975,435		25.0	%
Net investment income	125,280			93,568			33.9	%
Investment income from other investments	25,310			13,405			88.8	%
Realized investment gains (losses)	301			(10,929		)	(102.8	)%
Total return on invested assets [c]	1.5		%	(1.0		)%	2.5	%
Annualized effective investment yield [d]	4.9		%	4.5		%	0.4	%

[a]Percentages presented are annualized for the period where applicable.

[b]Cash and investments represents the total cash, fixed maturity investments, other investments, accrued interest receivable and net payable for investments purchased.

[c]In calculating total return, we include net investment income, net realized investment gains and losses and the change in unrealized gains and losses generated by our average investment portfolio.

[d]For total cash and fixed maturities.

1

AXIS Capital Holdings Limited
CONSOLIDATED STATEMENTS OF INCOME - QUARTERLY

	Quarter ended
	Q1 2007			Q4 2006			Q3 2006			Q2 2006			Q1 2006			Q1 2005
UNDERWRITING REVENUES
Gross premiums written	$	1,302,622		$	714,006		$	734,910		$	995,380		$	1,164,740		$	1,198,699
Premiums ceded	(163,265		)	(143,800		)	(128,997		)	(174,648		)	(172,412		)	(136,628		)
Net premiums written	1,139,357			570,206			605,913			820,732			992,328			1,062,071
Gross premiums earned	852,003			865,748			858,310			837,456			792,370			761,092
Ceded premiums amortized	(166,699		)	(176,951		)	(165,530		)	(158,357		)	(158,776		)	(135,502		)
Net premiums earned	685,304			688,797			692,780			679,099			633,594			625,590
Other insurance related income	1,940			1,027			804			438			624			(68		)
Total underwriting revenues	687,244			689,824			693,584			679,537			634,218			625,522
UNDERWRITING EXPENSES
Net losses and loss expenses	392,797			329,257			365,958			371,982			358,658			344,290
Acquisition costs	98,139			91,808			103,615			101,832			89,704			91,301
General and administrative expenses	50,266			71,128			48,303			46,374			43,769			42,464
Total underwriting expenses	541,202			492,193			517,876			520,188			492,131			478,055
UNDERWRITING INCOME	146,042			197,631			175,708			159,349			142,087			147,467
OTHER OPERATING REVENUE (EXPENSES)
Net investment income	125,280			123,082			98,787			91,663			93,568			52,758
Net realized gains (losses) on investments	301			(3,274		)	(1,722		)	(9,777		)	(10,929		)	(1,393		)
Interest expense	(15,144		)	(8,315		)	(8,239		)	(8,315		)	(8,085		)	(8,078		)
Total other operating revenue	110,437			111,493			88,826			73,571			74,554			43,287
OTHER (EXPENSES) REVENUE
Net foreign exchange gains (losses)	2,391			7,078			(2,738		)	18,901			9,264			(23,418		)
Corporate expenses [a]	(12,340		)	(15,730		)	(20,167		)	(11,283		)	(11,642		)	(11,838		)
Total other (expenses) revenue	(9,949		)	(8,652		)	(22,905		)	7,618			(2,378		)	(35,256		)
INCOME BEFORE INCOME TAXES	246,530			300,472			241,629			240,538			214,263			155,498
Income tax expense	(9,747		)	(10,302		)	(6,181		)	(7,912		)	(9,447		)	(3,699		)
NET INCOME	$	236,783		$	290,170		$	235,448		$	232,626		$	204,816		$	151,799
Preferred share dividends	(9,204		)	(9,212		)	(9,226		)	(9,226		)	(9,631		)	—
NET INCOME AVAILABLE TO COMMON SHAREHOLDERS	$	227,579		$	280,958		$	226,222		$	223,400		$	195,185		$	151,799
COMPREHENSIVE INCOME	$	259,296		$	300,205		$	347,354		$	200,285		$	148,376		$	89,490
KEY RATIOS/PER COMMON SHARE DATA
Net loss and loss expense ratio	57.3		%	47.8		%	52.8		%	54.8		%	56.6		%	55.0		%
Acquisition cost ratio	14.3		%	13.3		%	15.0		%	15.0		%	14.2		%	14.6		%
General and administrative expense ratio[a]	9.1		%	12.6		%	9.9		%	8.5		%	8.7		%	8.7		%
Combined ratio	80.7		%	73.7		%	77.7		%	78.3		%	79.5		%	78.3		%
Weighted average basic shares outstanding	150,433			150,006			149,884			149,765			149,314			146,636
Weighted average diluted shares outstanding	166,035			165,986			164,701			163,325			163,555			160,430
Basic earnings per common share	$	1.51		$	1.87		$	1.51		$	1.49		$	1.31		$	1.04
Diluted earnings per common share	$	1.37		$	1.69		$	1.37		$	1.37		$	1.19		$	0.95
ROACE [b]	22.6		%	29.8		%	26.0		%	27.6		%	25.4		%	19.6		%

[a]Corporate expenses are included in the calculation of the general and administrative expense ratio.

[b]Percentages persented are annualized for the period.

2

AXIS Capital Holdings Limited
CONSOLIDATED SEGMENT DATA

	Quarter ended March 31, 2007									Quarter ended March 31, 2006
	Insurance			Reinsurance			Total			Insurance			Reinsurance			Total
UNDERWRITING REVENUES
Gross premiums written	$	436,488		$	866,134		$	1,302,622		$	437,050		$	727,690		$	1,164,740
Net premiums written	282,046			857,311			1,139,357			275,150			717,178			992,328
Gross premiums earned	478,842			373,161			852,003			478,502			313,868			792,370
Ceded premiums amortized	(163,910		)	(2,789		)	(166,699		)	(155,789		)	(2,987		)	(158,776		)
Net premiums earned	314,932			370,372			685,304			322,713			310,881			633,594
Other insurance related income	767			1,173			1,940			624			—			624
Total underwriting revenues	315,699			371,545			687,244			323,337			310,881			634,218
UNDERWRITING EXPENSES
Net losses and loss expenses	185,952			206,845			392,797			156,170			202,488			358,658
Acquisition costs	35,348			62,791			98,139			37,456			52,248			89,704
General and administrative expenses	35,523			14,743			50,266			33,055			10,714			43,769
Total underwriting expenses	256,823			284,379			541,202			226,681			265,450			492,131
UNDERWRITING INCOME	$	58,876		$	87,166		$	146,042		$	96,656		$	45,431		$	142,087
KEY RATIOS
Net loss and loss expense ratio	59.0		%	55.8		%	57.3		%	48.4		%	65.1		%	56.6		%
Acquisition cost ratio	11.2		%	17.0		%	14.3		%	11.6		%	16.8		%	14.2		%
General and administrative expense ratio	11.3		%	4.0		%	7.3		%	10.2		%	3.4		%	6.9		%
Corporate expense ratio							1.8		%							1.8		%
Combined ratio	81.5		%	76.8		%	80.7		%	70.2		%	85.3		%	79.5		%

3

AXIS Capital Holdings LimitedGROSS PREMIUM WRITTEN BY SEGMENT BY LINE OF BUSINESS

	Quarter ended
	Q1 2007		Q4 2006		Q3 2006		Q2 2006		Q1 2006		Q1 2005
INSURANCE SEGMENT
Property	$	138,396	$	166,109	$	145,334	$	201,330	$	128,471	$	106,393
Marine	77,892		32,790		54,904		81,326		73,739		81,539
Terrorism	12,787		19,751		18,454		27,214		16,420		21,806
Aviation & aerospace	16,140		33,639		15,384		25,175		39,194		64,780
Political risk	28,977		88,877		35,955		70,747		14,050		25,591
Professional lines	97,325		135,947		112,469		151,557		93,780		66,018
Casualty	53,483		67,986		57,559		67,265		61,163		62,107
Accident & health	11,488		5,597		13,057		4,991		10,233		1,015
TOTAL INSURANCE SEGMENT	$	436,488	$	550,696	$	453,116	$	629,605	$	437,050	$	429,249
REINSURANCE SEGMENT
Catastrophe	$	244,125	$	17,404	$	100,759	$	118,432	$	227,501	$	267,798
Property	147,159		79,096		53,933		103,953		101,580		145,818
Professional lines	88,426		48,214		49,431		83,348		93,442		87,336
Credit and bond	104,119		3,284		1,889		3,008		89,483		94,630
Motor	81,131		2,961		5,896		7,985		67,329		72,041
Liability	145,929		6,996		48,640		35,863		113,120		90,649
Other	55,245		5,355		21,246		13,186		35,235		11,178
TOTAL REINSURANCE SEGMENT	$	866,134	$	163,310	$	281,794	$	365,775	$	727,690	$	769,450
TOTAL	$	1,302,622	$	714,006	$	734,910	$	995,380	$	1,164,740	$	1,198,699

4

AXIS Capital Holdings Limited
INSURANCE SEGMENT DATA

	Quarter ended
	Q1 2007			Q4 2006			Q3 2006			Q2 2006			Q1 2006			Q1 2005
UNDERWRITING REVENUES
Gross premiums written	$	436,488		$	550,696		$	453,116		$	629,605		$	437,050		$	429,249
Net premiums written	282,046			406,605			323,618			455,026			275,150			294,662
Gross premiums earned	$	478,842		$	507,546		$	490,150		$	479,769		$	478,502		$	454,053
Ceded premiums amortized	(163,910		)	(175,771		)	(162,449		)	(156,198		)	(155,789		)	(130,694		)
Net premiums earned	314,932			331,775			327,701			323,571			322,713			323,359
Other insurance related income	767			284			412			438			624			(218		)
Total underwriting revenues	315,699			332,059			328,113			324,009			323,337			323,141
UNDERWRITING EXPENSES
Net losses and loss expenses	185,952			150,449			182,280			147,785			156,170			137,613
Acquisition costs	35,348			34,996			40,796			38,754			37,456			36,126
General and administrative expenses	35,523			51,847			36,141			34,873			33,055			30,163
Total underwriting expenses	256,823			237,292			259,217			221,412			226,681			203,902
UNDERWRITING INCOME	$	58,876		$	94,767		$	68,896		$	102,597		$	96,656		$	119,239
KEY RATIOS
Net loss and loss expense ratio	59.0		%	45.3		%	55.6		%	45.7		%	48.4		%	42.6		%
Acquisition cost ratio	11.2		%	10.5		%	12.4		%	12.0		%	11.6		%	11.2		%
General and administrative expense ratio	11.3		%	15.6		%	11.0		%	10.8		%	10.2		%	9.3		%
Combined ratio	81.5		%	71.4		%	79.0		%	68.5		%	70.2		%	63.1		%

5

AXIS Capital Holdings Limited
REINSURANCE SEGMENT DATA

	Quarter ended
	Q1 2007			Q4 2006			Q3 2006			Q2 2006			Q1 2006			Q1 2005
UNDERWRITING REVENUES
Gross premiums written	$	866,134		$	163,310		$	281,794		$	365,775		$	727,690		$	769,450
Net premiums written	857,311			163,601			282,295			365,706			717,178			767,409
Gross premiums earned	$	373,161		$	358,202		$	368,160		$	357,687		$	313,868		$	307,039
Ceded premiums amortized	(2,789		)	(1,180		)	(3,081		)	(2,159		)	(2,987		)	(4,808		)
Net premiums earned	370,372			357,022			365,079			355,528			310,881			302,231
Other insurance related income	1,173			743			392			—			—			150
Total underwriting revenues	371,545			357,765			365,471			355,528			310,881			302,381
UNDERWRITING EXPENSES
Net losses and loss expenses	206,845			178,808			183,678			224,197			202,488			206,677
Acquisition costs	62,791			56,812			62,819			63,078			52,248			55,175
General and administrative expenses	14,743			19,281			12,162			11,501			10,714			12,301
Total underwriting expenses	284,379			254,901			258,659			298,776			265,450			274,153
UNDERWRITING INCOME	$	87,166		$	102,864		$	106,812		$	56,752		$	45,431		$	28,228
KEY RATIOS
Net loss and loss expense ratio	55.8		%	50.1		%	50.3		%	63.1		%	65.1		%	68.4		%
Acquisition cost ratio	17.0		%	15.9		%	17.2		%	17.7		%	16.8		%	18.3		%
General and administrative expense ratio	4.0		%	5.4		%	3.3		%	3.2		%	3.4		%	4.1		%
Combined ratio	76.8		%	71.4		%	70.8		%	84.0		%	85.3		%	90.8		%

6

AXIS Capital Holdings Limited
CONSOLIDATED BALANCE SHEETS

	Q1 2007			Q4 2006			Q3 2006			Q2 2006			Q1 2006
ASSETS
Investments:
Fixed maturity investments, available for sale, at fair value	$	6,805,333		$	6,532,723		$	6,523,009		$	6,009,431		$	6,047,556
Other investments, at fair value	1,094,828			1,130,664			714,381			627,721			543,866
Total investments	7,900,161			7,663,387			7,237,390			6,637,152			6,591,422
Cash and cash equivalents	2,090,834			1,989,287			1,640,914			1,615,448			1,511,619
Accrued interest receivable	68,056			76,967			65,235			68,381			58,602
Insurance and reinsurance premium balances receivable	1,507,855			1,125,822			1,233,125			1,409,988			1,316,318
Reinsurance recoverable balances	1,307,609			1,293,660			1,315,395			1,271,452			1,456,560
Reinsurance recoverable balances on paid losses	94,284			65,494			49,287			121,091			18,946
Deferred acquisition costs	345,904			251,799			272,110			290,627			266,566
Prepaid reinsurance premiums	238,359			241,821			274,972			309,881			295,215
Securities lending collateral	895,832			794,149			1,010,846			909,807			984,847
Goodwill and intangible assets	28,786			29,041			34,543			35,500			36,056
Other assets	134,757			133,860			120,385			129,723			119,504
TOTAL ASSETS	$	14,612,437		$	13,665,287		$	13,254,202		$	12,799,050		$	12,655,655
LIABILITIES
Reserve for losses and loss expenses	$	5,186,191		$	5,015,113		$	4,995,074		$	4,835,161		$	4,813,516
Unearned premiums	2,466,213			2,015,556			2,167,364			2,289,140			2,132,841
Insurance and reinsurance balances payable	286,068			294,374			287,445			333,547			311,933
Securities lending payable	893,692			791,744			1,006,806			904,974			982,499
Senior notes	499,180			499,144			499,127			499,100			499,073
Liability under repurchase agreement	400,000			400,000			—			—			—
Net payable for investments purchased	92,608			62,185			47,781			43,012			186,208
Other liabilities	146,738			174,524			109,656			75,393			84,357
TOTAL LIABILITIES	9,970,690			9,252,640			9,113,253			8,980,327			9,010,427
SHAREHOLDERS’ EQUITY
Series A and B preferred shares	500,000			500,000			500,000			500,000			500,000
Common shares	1,880			1,875			1,875			1,873			1,872
Additional paid-in capital	1,936,518			1,929,406			1,923,169			1,913,566			1,905,604
Accumulated other comprehensive loss	(22,125		)	(44,638		)	(54,673		)	(166,580		)	(134,238		)
Retained earnings	2,225,474			2,026,004			1,770,578			1,569,864			1,371,990
TOTAL SHAREHOLDERS’ EQUITY	4,641,747			4,412,647			4,140,949			3,818,723			3,645,228
TOTAL LIABILITIES AND SHAREHOLDERS’ EQUITY	$	14,612,437		$	13,665,287		$	13,254,202		$	12,799,050		$	12,655,655
Book value per common share	$	27.54		$	26.09		$	24.27		$	22.15		$	21.00
Debt (Senior notes) to total capitalization	9.7		%	10.2		%	10.8		%	11.6		%	12.0		%
Debt plus preferred shares to total capitalization	19.4		%	20.3		%	21.5		%	23.1		%	24.1		%

7

AXIS Capital Holdings Limited

INVESTMENT PORTFOLIO

As of March 31, 2007

	Amortized	Unrealized		Unrealized
	Cost	Gains		Losses			Fair Value	Percentage
TYPE OF INVESTMENT
U.S. government and agency securities	$1,201,988	$	4,385	$	(11,684	)	$1,194,689	12.1	%
Non U.S. government securities	162,396	9,364		(2,740		)	169,020	1.7	%
Corporate debt securities	1,461,389	9,865		(6,893		)	1,464,361	14.8	%
Mortgage-backed securities	3,009,025	11,994		(30,569		)	2,990,450	30.2	%
Asset-backed securities	593,209	1,223		(1,468		)	592,964	6.0	%
Municipals	346,359	939		(1,919		)	345,379	3.5	%
Mortgage derivatives [a]	48,612	—		(142		)	48,470	0.5	%
Total Fixed Maturities	$6,822,978	$	37,770	$	(55,415	)	$6,805,333	68.8	%
Cash, net of unsettled trades	935,286	—		—			935,286	9.4	%
Total Invested Assets	$7,758,264	$	37,770	$	(55,415	)	$7,740,619	78.2	%
Operating Cash Balances	1,062,938	—		—			1,062,938	10.7	%
Total Cash and Fixed Maturities	$8,821,202	$	37,770	$	(55,415	)	$8,803,557	88.9	%
Other Investments							1,094,828	11.1	%
Total Cash and Investments							$9,898,385	100.0	%

CREDIT QUALITY OF FIXED MATURITIES

	Fair Value	Percentage
AAA	$5,224,855	76.8	%
AA	377,922	5.5	%
A	469,149	6.9	%
BBB	733,407	10.8	%
Total	$6,805,333	100.0	%

MATURITY PROFILE OF FIXED MATURITIES

	Fair Value	Percentage
Within one year	$    496,421	7.3	%
From one to five years	1,741,576	25.6
From five to ten years	791,107	11.6	%
Above ten years	144,,345	2.1	%
Asset-backed and mortgage-backed securities	3,631,884	53.4	%
Total	$ 6,805,333	100.0	%

OTHER INVESTMENTS

	Cost		Fair Value		Percentage
Life settlement contracts	$	377,767	$	378,400	34.5	%
Fund of hedge funds	215,000		245,375		22.4	%
Collateralized loan obligations	254,167		233,091		21.3	%
Credit funds	142,375		163,847		15.0	%
Short duration high yield fund	65,000		74,115		6.8	%
Total	$	1,054,309	$	1,094,828	100.0	%

[a] Reflects securities classified as mortgage derivatives under FAS 149. Unrealized gains/losses on these securities are recorded as realized gains/losses on the statement of operations.

8

AXIS Capital Holdings Limited
INVESTMENT PORTFOLIO COMPOSITION

	Quarter ended
	Q1 2007		Q4 2006		Q3 2006		Q2 2006		Q1 2006
TYPE OF INVESTMENT	Fair Value %		Fair Value %		Fair Value %		Fair Value %		Fair Value %
U.S. government and agency securities	12.1	%	12.3	%	14.7	%	16.9	%	18.6	%
Non U.S. government securities	1.7	%	1.6	%	1.7	%	1.7	%	1.2	%
Corporate debt securities	14.8	%	14.8	%	14.4	%	15.3	%	16.1	%
Mortgage-backed securities	30.2	%	29.9	%	31.3	%	29.7	%	29.0	%
Asset-backed securities	6.0	%	5.6	%	5.4	%	4.6	%	4.4	%
Municipals	3.5	%	3.9	%	6.1	%	4.5	%	4.9	%
Mortgage derivatives	0.5	%	—		0.3	%	0.5	%	2.2	%
Total Fixed Maturities	68.8	%	68.1	%	73.9	%	73.2	%	76.4	%
Cash, net of unsettled trades	9.4	%	8.5	%	3.8	%	2.1	%	1.7	%
Total Invested Assets	78.2	%	76.6	%	77.7	%	75.3	%	78.1	%
Operating Cash Balances	10.7	%	11.6	%	14.2	%	17.1	%	15.0	%
Total Cash and Fixed Maturities	88.9	%	88.2	%	91.9	%	92.4	%	93.1	%
Other Investments	11.1	%	11.8	%	8.1	%	7.6	%	6.9	%
Total Cash and Investments	100.0	%	100.0	%	100.0	%	100.0	%	100.0	%

CREDIT QUALITY OF FIXED MATURITIES	Fair Value %		Fair Value %		Fair Value %		Fair Value %		Fair Value %
AAA	76.8	%	79.3	%	77.6	%	78.2	%	78.2	%
AA	5.5	%	4.8	%	4.6	%	4.5	%	3.3	%
A	6.9	%	7.3	%	9.7	%	8.8	%	9.8	%
BBB	10.8	%	8.6	%	8.1	%	8.5	%	8.7	%
Total	100.0	%	100.0	%	100.0	%	100.0	%	100.0	%

MATURITY PROFILE OF FIXED MATURITIES	Fair Value %		Fair Value %		Fair Value %		Fair Value %		Fair Value %
Within one year	7.3	%	8.0	%	5.7	%	5.6	%	6.5	%
From one to five years	25.6	%	24.6	%	26.8	%	30.7	%	31.3	%
From five to ten years	11.6	%	13.0	%	13.2	%	13.5	%	12.3	%
Above ten years	2.1	%	2.2	%	4.3	%	2.7	%	3.3	%
Asset-backed and mortgage-backed securities	53.4	%	52.2	%	50.0	%	47.5	%	46.6	%
Total	100.0	%	100.0	%	100.0	%	100.0	%	100.0	%

PORTFOLIO CHARACTERISTICS OF FIXED  MATURITIES							As of or for the quarter ended
	Q1 2007		Q4 2006		Q3 2006		Q2 2006		Q1 2006
Annualized effective yield of invested assets	4.9	%	4.8	%	4.8	%	4.8	%	5.1	%
Yield to maturity of invested assets	5.5	%	5.1	%	5.1	%	5.4	%	5.1	%
Average duration of invested assets	3.1 yrs		3.0 yrs		3.1 yrs		3.3 yrs		3.2 yrs
Average credit quality of invested assets	AA+		AA+		AA+		AA+		AAA

9

AXIS Capital Holdings LimitedINVESTMENT PERFORMANCE

	Quarter ended
	Q1 2007		Q4 2006		Q3 2006		Q2 2006		Q1 2006
Aggregate AXIS Capital Invested Assets	1.47	%	1.21	%	3.11	%	0.29	%	(0.08	)%
Composite Benchmark[a]	1.46	%	1.17	%	3.17	%	0.18	%	(0.20	)%
	0.01	%	0.04	%	(0.06	)%	0.11	%	0.12	%
Individual portfolios
Total return liquidity portfolio	1.32	%	1.18	%	1.95	%	0.88	%	0.64	%
Merrill Lynch 1-3 year Treasury Index	1.41	%	0.98	%	1.96	%	0.64	%	0.39	%
	(0.09	)%	0.20	%	(0.01	)%	0.24	%	0.25	%
Total return intermediate duration portfolios	1.57	%	1.31	%	3.33	%	0.28	%	(0.17	)%
Customized benchmark[b]	1.58	%	1.26	%	3.42	%	0.12	%	(0.26	)%
	(0.01	)%	0.05	%	(0.09	)%	0.16	%	0.09	%
Total return long duration portfolios [c]	n/a		1.49	%	3.88	%	(0.02	)%	(0.59	)%
Customized benchmark [b]	n/a		1.45	%	3.81	%	(0.08	)%	(0.64	)%
			0.04	%	0.07	%	0.06	%	0.05	%
Total return U.S. combined portfolios	1.51	%	1.07	%	3.22	%	0.08	%	(0.06	)%
Customized benchmark[b]	1.41	%	1.13	%	3.26	%	0.15	%	(0.18	)%
	0.10	%	(0.06	)%	(0.04	)%	(0.07	)%	0.12	%
Total return Euro portfolio	0.59	%	0.22	%	1.67	%	(0.04	)%	(0.59	)%
Merrill Lynch 1-7 year EMU Gov’t Index	0.71	%	0.01	%	1.43	%	0.10	%	(0.76	)%
	(0.12	)%	0.21	%	0.24	%	(0.14	)%	0.17	%

[a]The return for the composite benchmark is calculated using the market value weighted average of each individual portfolio’s benchmark.

[b]The benchmarks are customized to reflect the desired duration and composition of the portfolio.   Benchmarks may be adjusted frequently.

[c]The assets in the long duration portfolio were transitioned to an intermediate portfolio and measured against the intermediate benchmark as of January 1st, 2007.

10

AXIS Capital Holdings Limited

Reinsurance Recoverable Analysis

	Quarter ended
	Q1 2007			Q4 2006			Q3 2006			Q2 2006			Q1 2006
Reinsurance recoverable on paid losses and loss expenses:
Insurance	75,233			46,442			27,065			85,473			52,934
Reinsurance	19,051			19,052			22,222			35,619			75,368
Total	$	94,284		$	65,494		$	49,287		$	121,092		$	128,302
Reinsurance recoverable on unpaid losses and loss expenses: OSLR
Insurance	586,485			661,211			677,279			703,357			784,470
Reinsurance	—			—			—			—			—
Total	$	586,485		$	661,211		$	677,279		$	703,357		$	784,470
Reinsurance recoverable on unpaid losses and loss expenses: IBNR
Insurance	734,041			647,022			635,202			565,697			561,712
Reinsurance	21,081			19,425			18,137			17,620			16,245
Total	$	755,122		$	666,447		$	653,339		$	583,317		$	577,957
Provision against reinsurance recoverables:
Insurance	(19,944		)	(19,944		)	(794		)	(2,604		)	(2,604		)
Reinsurance	(14,054		)	(14,054		)	(14,429		)	(12,619		)	(12,619		)
Total	$	(33,998	)	$	(33,998	)	$	(15,223	)	$	(15,223	)	$	(15,223	)
Net reinsurance recoverables:
Insurance	1,375,815			1,334,731			1,338,752			1,351,923			1,396,512
Reinsurance	26,078			24,423			25,930			40,620			78,994
Total	$	1,401,893		$	1,359,154		$	1,364,682		$	1,392,543		$	1,475,506

11

Consolidated Reinsurance Recoverable

	March 31, 2007
													Provision
													against Reinsurance
	Gross					Gross Recoverable Net of				Provision against Reinsurance			Recoverable as % of Gross		Net
Categories	Recoverable		Collateral			Collateral		% of Total		Recoverables			Recoverable		Recoverable
Top 10 reinsurers	$	928,504	$	(84,930	)	$	843,574	65.7	%	$	(28,796	)	3.1	%	$	899,708
Other reinsurers balances > $20 million	144,419		—			144,419		11.2	%	(1,810		)	1.3	%	142,609
Other reinsurers balances < $20 million	362,968		(66,688		)	296,280		23.1	%	(3,392		)	0.9	%	359,576
Total	$	1,435,891	$	(151,618	)	$	1,284,272	100.0	%	$	(33,998	)	5.3	%	$	1,401,893

At March 31, 2007, 97.1% (December 31, 2006: 96.0%) of the reinsurers were rated the equivalent of A- or better by internationally recognised rating agencies.

Top 10 Reinsurers (net of collateral)	% of Total
Swiss Reinsurance America Corporation	18.4	%
Transatlantic Reinsurance Co.	7.8	%
Partner Reinsurance Co of US	7.0	%
Allianz Marine & Aviation Versicherungs	6.6	%
XL Reinsurance America Inc	6.5	%
Hannover Rueckversicherung AG	6.3	%
Lloyd’s of London	5.1	%
Berkley Insurance Company	3.7	%
Endurance Reinsurance Corporation of America	2.3	%
Muenchener Rueckversicherungs	2.0	%
	65.7	%

12

AXIS Capital Holdings Limited
RESERVE FOR LOSSES AND LOSS EXPENSES:  PAID TO INCURRED ANALYSIS

	Quarter ended March 31, 2007									Quarter ended March 31, 2006
Reserve for losses and loss expenses	Gross			Recoveries			Net			Gross			Recoveries			Net
Beginning of period	$	5,015,113		$	(1,359,154	)	$	3,655,959		$	4,743,338		$	(1,518,110	)	$	3,225,228
Incurred	480,265			(87,468		)	392,797			412,010			(53,352		)	358,658
Paid	(312,344		)	44,729			(267,615		)	(340,940		)	95,956			(244,984		)
Foreign exchange loss	3,157			—			3,157			(892		)	—			(892		)
End of period [a]	$	5,186,191		$	(1,401,893	)	$	3,784,298		$	4,813,516		$	(1,475,506	)	$	3,338,010
Paid to incurred percentage	65.0		%	51.1		%	68.1		%	82.8		%	179.9		%	68.3		%

[a] As at March 31, 2007, the gross reserve for losses and loss expenses included IBNR of $3,484.0 million, or 67.2%, of total gross reserves for loss and loss expenses. As at March 31, 2006, the comparable amount was $2,738.5 million, or 56.9%.

13

AXIS Capital Holdings Limited
RESERVE FOR LOSSES AND LOSS EXPENSES:  PAID TO INCURRED ANALYSIS BY SEGMENT
TOTAL

	Quarter ended March 31, 2007									Quarter ended March 31, 2006
	Insurance			Reinsurance			Total			Insurance			Reinsurance			Total
Gross losses paid	$	181,854		$	130,490		$	312,344		$	189,531		$	151,409		$	340,940
Reinsurance recoveries received	(44,729		)	—			(44,729		)	(87,081		)	(8,875		)	(95,956		)
Net losses paid	137,125			130,490			267,615			102,450			142,534			244,984
Change in:
Reported case reserves	(81,327		)	(50,972		)	(132,299		)	(46,694		)	91,098			44,404
IBNR	171,237			128,983			300,220			69,534			(42,867		)	26,667
Reinsurance recoveries on unpaid loss and loss expense reserves	(41,084		)	(1,655		)	(42,739		)	30,880			11,723			42,603
TOTAL NET INCURRED LOSSES AND LOSS EXPENSES	$	185,951		$	206,846		$	392,797		$	156,170		$	202,488		$	358,658
Gross reserve for losses and loss expenses	$	3,260,711		$	1,925,480		$	5,186,191		$	3,087,144		$	1,726,372		$	4,813,516
Prior years favorable reserve development	$	28,727		$	37,237		$	65,964		$	65,947		$	(4,877	)	$	61,070
Key Ratios
Net paid to net incurred percentage	73.7		%	63.1		%	68.1		%	65.6		%	70.4		%	68.3		%
Net paid losses / Net premiums earned	43.5		%	35.2		%	39.0		%	31.7		%	45.8		%	38.7		%
Change in net loss and loss expense reserves / Net premiums earned	15.5		%	20.6		%	18.3		%	16.6		%	19.3		%	17.9		%
Net loss and loss expense ratio	59.0		%	55.8		%	57.3		%	48.4		%	65.1		%	56.6		%

14

AXIS Capital Holdings Limited
RESERVE FOR LOSSES AND LOSS EXPENSES:  PAID TO INCURRED ANALYSIS
INSURANCE

	Quarter ended
	Q1 2007			Q4 2006			Q3 2006			Q2 2006			Q1 2006
Gross losses paid	$	181,854		$	210,172		$	163,642		$	263,846		$	189,531
Reinsurance recoveries received	(44,729		)	(80,865		)	(117,506		)	(100,001		)	(87,081		)
Net losses paid	137,125			129,307			46,136			163,845			102,450
Change in:
Reported case reserves	(81,327		)	(14,096		)	(30,212		)	(84,982		)	(46,694		)
IBNR	171,237			31,217			153,183			24,336			69,534
Reinsurance recoveries on unpaid loss and loss expense reserves	(41,084		)	4,021			13,173			44,586			30,880
TOTAL NET INCURRED LOSSES AND LOSS EXPENSES	$	185,951		$	150,449		$	182,280		$	147,785		$	156,170
Gross reserve for losses and loss expenses	$	3,260,711		$	3,171,746		$	3,152,082		$	3,028,932		$	3,087,144
Prior years favorable reserve development	$	28,727		$	15,459		$	27,940		$	58,186		$	65,947
Key Ratios
Net paid to net incurred percentage	73.7		%	85.9		%	25.3		%	110.9		%	65.6		%
Net paid losses / Net premiums earned	43.5		%	39.0		%	14.1		%	50.6		%	31.7		%
Change in Net loss and loss expense reserves / Net premiums earned	15.5		%	6.3		%	41.5		%	-4.9		%	16.7		%
Net loss and loss expense ratio	59.0		%	45.3		%	55.6		%	45.7		%	48.4		%

15

AXIS Capital Holdings Limited
RESERVE FOR LOSSES AND LOSS EXPENSES:  PAID TO INCURRED ANALYSIS
REINSURANCE

	Quarter ended
	Q1 2007			Q4 2006			Q3 2006			Q2 2006			Q1 2006
Gross losses paid	$	130,490		$	189,958		$	147,766		$	155,835		$	151,409
Reinsurance recoveries received	—			(2,376		)	(15,000		)	(41,750		)	(8,875		)
Net losses paid	130,490			187,582			132,766			114,085			142,534
Change in:
Reported case reserves	(50,972		)	(94,506		)	(23,293		)	(21,107		)	91,098
IBNR	128,983			84,225			59,517			92,842			(42,867		)
Reinsurance recoveries on unpaid loss and loss expense reserves	(1,655		)	1,507			14,688			38,377			11,723
TOTAL NET INCURRED LOSSES AND LOSS EXPENSES	$	206,846		$	178,808		$	183,678		$	224,197		$	202,488
Reserve for losses and loss expenses	$	1,925,480		$	1,843,367		$	1,842,992		$	1,806,229		$	1,726,372
Prior years favorable (adverse) reserve development	$	37,237		$	18,971		$	28,626		$	6,284		$	(4,877	)
Key Ratios
Net paid to net incurred percentage	63.1		%	104.9		%	72.3		%	50.9		%	70.4		%
Net paid losses / Net premiums earned	35.2		%	52.5		%	36.4		%	32.1		%	45.8		%
Change in Net loss and loss expense reserves / Net premiums earned	20.6		%	(2.4		)%	13.9		%	31.0		%	19.3		%
Net loss and loss expense ratio	55.8		%	50.1		%	50.3		%	63.1		%	65.1		%

16

AXIS Capital Holdings Limited
EARNINGS PER COMMON SHARE INFORMATION - AS REPORTED, GAAP

	Quarter ended
	March 31,
	2007		2006
Net income available to common shareholders	$	227,579	$	195,185
WEIGHTED AVERAGE COMMON SHARES OUTSTANDING
Basic weighted average common shares outstanding	150,433		149,314
Dilutive share equivalents:
Warrants	12,384		11,634
Options	2,192		2,032
Restricted stock	1,026		574
Diluted weighted average common shares outstanding	166,035		163,554
EARNINGS PER COMMON SHARE
Basic	$	1.51	$	1.31
Diluted	$	1.37	$	1.19

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AXIS Capital Holdings Limited
NON-GAAP FINANCIAL MEASURE RECONCILIATION
DILUTED BOOK VALUE PER COMMON SHARE - IF CONVERTED METHOD

	As at
	March 31, 2007			December 31, 2006
AS-IF CONVERTED METHOD [a]
Shareholders’ equity	$	4,641,747		$	4,412,647
Less: preferred equity	(500,000		)	(500,000		)
Common shareholders’ equity	4,141,747			3,912,647
Basic common shares outstanding	150,417			149,982
Book value per common share	$	27.54		$	26.09
Diluted book value on an “as if converted basis”
Common shareholders’ equity	$	4,141,747		$	3,912,647
add in:
proceeds on exercise of options	94,835			96,485
proceeds on exercise of warrants	244,363			244,363
Adjusted shareholders’ equity	4,480,945			4,253,495
As if converted diluted shares outstanding
Common shares outstanding	150,417			149,982
add in:
exercise of warrants [b]	19,652			19,644
exercise of options[c]	5,058			5,147
vested phantom stock units	55			46
vesting of restricted stock	3,273			2,229
Diluted common shares outstanding	178,455			177,048
Diluted book value per common share	$	25.11		$	24.02
Diluted book value, excluding accumulated other comprehensive loss
As if converted common shareholders’ equity	$	4,480,945		$	4,251,821
Add: accumulated other comprehensive loss	22,125			44,638
As if converted shareholders’ equity excluding accumulated other comprehensive loss	$	4,503,070		$	4,296,459
Diluted common shares outstanding	178,455			177,048
Diluted book value excluding accumulated other comprehensive loss - “as if converted method”	$	25.23		$	24.27

[a]This method assumes that 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]The weighted average exercise price per share at March 31, 2007 and December 31, 2006 was $12.43 and $12.44 respectively.

[c]The weighted average exercise price per share at March 31, 2007 and December 31, 2006 was $18.75.

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AXIS Capital Holdings Limited
DILUTED BOOK VALUE PER COMMON SHARE - TREASURY STOCK METHOD

	As at
	March 31, 2007			December 31, 2006
TREASURY STOCK METHOD [a]
Closing price per share	$	33.86		$	33.37
Shareholders’ equity	$	4,641,747		$	4,412,647
Less: preferred equity	(500,000		)	(500,000		)
Common shareholders’ equity	$	4,141,747		$	3,912,647
Basic common shares outstanding	150,417			149,982
Book value per common share	$	27.54		$	26.09
Diluted book value on an “treasury stock method”
Common shareholders’ equity	$	4,141,747		$	3,912,647
Basic common shares outstanding	150,417			149,982
add in:
warrants outstanding [b]	19,652			19,644
options outstanding [c]	5,058			5,147
restricted stock outstanding	3,273			2,229
phantom stock units	55			46
less:
warrants bought back via treasury method	(7,217		)	(7,323		)
options bought back via treasury method	(2,801		)	(2,892		)
Diluted common shares outstanding	168,437			166,833
Diluted book value per common share	$	24.59		$	23.45
Diluted book value, excluding accumulated other comprehensive loss
Common shareholders’ equity	4,141,747			3,912,647
Add: accumulated other comprehensive loss	22,125			44,638
Shareholders’ equity excluding accumulated other comprehensive loss	4,163,872			3,957,285
Diluted shares outstanding—“treasury stock method”	168,437			166,833
Diluted book value excluding other accumulated comprehensive loss—“treasury stock method”	$	24.72		$	23.71

[a] This method assumes that proceeds received upon exercise of options and warrants will be used to repurchase the Company’s common shares at the closing market price.  Unvested restricted stock is also added to determine the diluted common shares outstanding.

[b] The weighted average exercise price per share at March 31, 2007 and December 31, 2006 was $12.43 and $12.44 respectively.

[c] The weighted average exercise price per share at March 31, 2007 and December 31, 2006 was $18.75.

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