News Release of Max Capital Group Ltd., dated November 5, 2007

EX-99.1 2 dex991.htm NEWS RELEASE OF MAX CAPITAL GROUP LTD., DATED NOVEMBER 5, 2007 News Release of Max Capital Group Ltd., dated November 5, 2007

Exhibit 99.1

MAX CAPITAL GROUP LTD. REPORTS THIRD-QUARTER FINANCIAL RESULTS

Annualized Return on Average Shareholders’ Equity of 22.0%,

Rolling Twelve-Month Book Value Per Share Grows By 20.1%

HAMILTON, BERMUDA, November 5, 2007—Max Capital Group Ltd. (NASDAQ: MXGL; BSX: MXGL BH) today reported net income for the three months ended September 30, 2007, of $66.8 million, or $1.05 per diluted share, compared to net income of $26.5 million, or $0.42 per diluted share, for the three months ended September 30, 2006. Net operating income, which represents net income excluding after-tax net realized gains and losses on sales of fixed maturities, for the three months ended September 30, 2007, was $68.4 million, or $1.08 per diluted share, compared with net operating income of $26.8 million, or $0.42 per diluted share, for the three months ended September 30, 2006. For the nine months ended September 30, 2007, the Company had net income of $240.9 million, or $3.77 per diluted share, compared to $121.5 million, or $1.91 per diluted share, for the nine months ended September 30, 2006. For the nine months ended September 30, 2007, the Company had net operating income of $243.9 million, or $3.81 per diluted share, compared to $128.8 million, or $2.03 per diluted share, for the nine months ended September 30, 2006.

W. Marston Becker, Chairman and Chief Executive Officer of Max Capital Group Ltd., said: “Max continues an excellent year with third-quarter results reflecting significant underwriting income and continued solid investment performance. Our internal review of loss reserves during the third quarter permitted us to release $12.4 million of prior-period reserves. Additionally, we entered an agreement to settle a large block of prior-period reserves on one of our structured product contracts for significantly less than originally estimated. We are very pleased with this quarter’s performance and the depth of earnings opportunities it represents. We look forward to carrying this earnings momentum into the year-end as we continue to build the Company.”

Gross premiums written for the three months ended September 30, 2007, were $223.0 million, of which $160.8 million came from property and casualty underwriting and $62.2 million from life and annuity underwriting, compared to $177.9 million, of which $177.3 million came from property and casualty underwriting and $0.6 million from life and annuity underwriting, for the three months ended September 30, 2006. The lower level of gross premiums written from property and casualty underwriting for the three months ended September 30, 2007, versus the same period in 2006 is consistent with the Company’s 2007 budget. Gross premiums written in the third quarter were boosted by a new life and annuity reinsurance transaction in which the gross premium written was $62.0 million. Net premiums earned for the three months ended September 30, 2007, were $177.6 million compared to $147.1 million for the same period in 2006. Gross premiums written for the nine months ended September 30, 2007, were $678.1 million compared to $717.7 million for the first nine months of 2006. Property and casualty reinsurance, property and casualty insurance, excess and surplus lines insurance, and life and annuity reinsurance accounted for 45.5%, 41.9%, 3.2% and 9.4%, respectively, of gross premiums written for the first nine months of 2007, versus 55.4%, 38.5%, 0.0% and 6.1%, respectively, for the same period in 2006. Net premiums earned for the first nine months of 2007 decreased 10.1% to $455.0 million compared to $506.0 million for the same period in 2006. The decline in net premiums earned in the nine months ended September 30, 2007, versus the same period in 2006 principally reflects the lower volume of gross premium written and the increase in the Company’s use of reinsurance in order to manage its net retained exposure.

Net investment income for the three months ended September 30, 2007, increased to $49.7 million from $38.7 million for the same period in 2006. The increase is principally attributable to a year-over-year increase in cash and fixed maturities balances. Net investment income for the nine months ended September 30, 2007, increased $29.7 million, to $138.9 million, compared to $109.2 million for the same period in 2006. Net gains on alternative investments for the three months ended September 30, 2007, were $14.5 million, for a 1.19% rate of return, versus net losses on alternative investments of $31.0 million, for a negative 2.33% rate of return, for the same period of 2006. For the nine months ended September 30, 2007, alternative investments have returned 12.18% or $136.7 million compared to 1.57% or $18.2 million for the same period in 2006. Invested assets were $5.1 billion as of September 30, 2007, with an allocation of 78.6% to cash and fixed maturities and of 21.4% to alternative investments.

Total revenue for the three months ended September 30, 2007, increased 55.4% to $240.3 million, versus $154.6 million for the same period in 2006. Total revenue for the nine months ended September 30, 2007, increased 16.1% to $728.1 million, compared to $627.0 million for the same period in 2006. The increase in revenue in the three- and nine-month periods ended September 30, 2007, reflects an increase in investment income and net gains on alternative investments partially offset by the decrease in net premiums earned compared to 2006.

Losses and benefits were $121.4 million for the three months ended September 30, 2007, versus $89.2 million for the same period in 2006. Losses and benefits include $62.6 million attributable to a new life and annuity transaction. Excluding the new life and annuity transaction, losses and benefits for the quarter were $58.8 million, with the decrease in losses and benefits for the three months ended September 30, 2007, principally attributable to favorable development of $12.4 million in prior-period reserves and the agreement to settle a large block of prior-period reserves, resulting in a $15.2 million net release of reserves.

Acquisition costs for the three months ended September 30, 2007, were $12.1 million compared to $19.0 million for the same period in 2006. Acquisition costs are principally related to the Company’s property and casualty business. The decrease in this quarter versus the same period in 2006 is principally attributable to the change in mix between reinsurance and insurance net premiums earned, with insurance being a greater proportion of premiums this quarter and having a lower net acquisition cost ratio.

Interest expense for the three months ended September 30, 2007, was $13.7 million versus $(1.7) million for the same period in 2006, with the increase principally attributable to the increased principal amount of bank loans and senior notes outstanding.

General and administrative expenses for the three months ended September 30, 2007, were $27.8 million, versus $21.3 million for the same period in 2006. The increase in general and administrative expenses for the three months ended September 30, 2007, principally reflects operating costs related to the Company’s newly launched U.S.-based excess and surplus lines operations, as well as additional personnel-related costs for the group.

Shareholders’ equity was $1,533.6 million at September 30, 2007. Book value per share at September 30, 2007, was $26.12 versus $24.49 at June 30, 2007, $23.06 at December 31, 2006, and $21.74 at September 30, 2006, for an increase in the rolling twelve-month book value per share of 20.1%. Annualized return on average shareholders’ equity for the nine months ended September 30, 2007, was 22.0%.

During the three months ended September 30, 2007, Max Capital Group Ltd. repurchased 1,546,200 of the Company’s common shares or approximately $40.0 million of such shares outstanding, at an average price of $25.87 per share, under the board-approved share repurchase plan. During the nine months ended September 30, 2007, the Company repurchased 3,056,700 common shares at an average price of $26.05 per common share for a total amount of $79.6 million, including the costs incurred to effect the repurchases. The Company has approximately $60.0 million remaining under its current share repurchase authorization.

Max Capital Group Ltd., through its operating subsidiaries, provides specialty insurance and reinsurance products to corporations, public entities, property and casualty insurers and life and health insurers.

This release includes statements about future economic performance, finances, expectations, plans and prospects of the Company 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, including those described on the Company’s Form 10-K and Form 10-Q filed with the SEC, that could cause actual results to differ materially from those suggested by such statements, including the risk that the SEC’s view of the conclusions reached by the Audit and Risk Management Committee of the Company’s Board of Directors in connection with the internal review of three finite risk retrocessional contracts written in 2001 and 2003, which caused the Company to restate its audited financial statements for the years ended December 31, 2005, 2004, 2003, 2002 and 2001 and unaudited financial statements for the periods ended March 31, 2006, and June 30, 2006, may differ,

perhaps materially, and result in material changes to information contained in the Company’s past SEC filings, including financial statements and financial information. For further information regarding cautionary statements and factors affecting future results, please refer to the Company’s Annual Report on Form 10-K for the year ended December 31, 2006, and other documents filed by the Company with the SEC. The Company undertakes no obligation to publicly update or revise any forward-looking statement whether as a result of new information, future developments or otherwise.

In presenting the Company’s results management has included and discussed net operating income per diluted share and annualized 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, allows for a more complete understanding of the Company’s business. However, these measures 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.

MAX CAPITAL GROUP LTD.

CONSOLIDATED BALANCE SHEETS

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


	September 30, 2007			December 31, 2006
	(Unaudited)
ASSETS
Cash and cash equivalents	$	514,697		$	441,895
Fixed maturities, available for sale at fair value		3,511,362			3,028,108
Alternative investments, at fair value		1,094,247			1,065,874
Accrued interest income		43,372			38,922
Premiums receivable		423,418			390,889
Losses and benefits recoverable from reinsurers		651,620			538,009
Funds withheld		14,263			15,385
Deferred acquisition costs		50,393			49,064
Prepaid reinsurance premiums		122,102			104,443
Trades pending settlement		49,477			136,563
Other assets		57,287			39,832

Total assets	$	6,532,238		$	5,848,984

LIABILITIES
Property and casualty losses	$	2,506,019		$	2,335,109
Life and annuity benefits		964,525			895,560
Deposit liabilities		220,839			204,389
Funds withheld from reinsurers		255,329			254,723
Unearned property and casualty premiums		473,968			436,476
Reinsurance balances payable		107,843			79,506
Accounts payable and accrued expenses		85,346			103,160
Bank loans		285,000			150,000
Senior notes		99,773			—

Total liabilities		4,998,642			4,458,923

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; 58,707,527 (2006 - 60,276,560) shares issued and outstanding		58,708			60,277
Additional paid-in capital		873,330			950,862
Unearned stock grant compensation		—			(17,570	)
Accumulated other comprehensive loss		(43,625	)		(21,688	)
Retained earnings		645,183			418,180

Total shareholders’ equity		1,533,596			1,390,061

Total liabilities and shareholders’ equity	$	6,532,238		$	5,848,984

Book Value Per Share	$	26.12		$	23.06

MAX CAPITAL GROUP LTD.

CONSOLIDATED STATEMENTS OF INCOME AND COMPREHENSIVE INCOME (Unaudited)

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


	Three Months Ended September 30						Nine Months Ended September 30
	2007			2006			2007			2006
REVENUES
Gross premiums written	$	222,989		$	177,854		$	678,089		$	717,745
Reinsurance premiums ceded		(49,680	)		(39,005	)		(203,521	)		(170,406	)

Net premiums written	$	173,309		$	138,849		$	474,568		$	547,339

Earned premiums	$	239,462		$	202,831		$	640,651		$	658,240
Earned premiums ceded		(61,908	)		(55,750	)		(185,664	)		(152,213	)

Net premiums earned		177,554			147,081			454,987			506,027
Net investment income		49,665			38,668			138,851			109,195
Net gains (losses) on alternative investments		14,487			(31,004	)		136,686			18,219
Net realized losses on sale of fixed maturities		(1,650	)		(288	)		(2,975	)		(7,249	)
Other income		244			167			587			831

Total revenues		240,300			154,624			728,136			627,023

LOSSES AND EXPENSES
Losses and benefits		121,353			89,186			334,869			380,110
Acquisition costs		12,105			18,979			46,763			59,369
Interest expense		13,673			(1,650	)		30,108			6,317
General and administrative expenses		27,783			21,301			79,741			58,857

Total losses and expenses		174,914			127,816			491,481			504,653

NET INCOME BEFORE TAXES		65,386			26,808			236,655			122,370
Income tax (benefit) expense		(1,380	)		311			(4,244	)		868

NET INCOME		66,766			26,497			240,899			121,502
Change in net unrealized depreciation of fixed maturities		33,274			61,110			(24,472	)		(20,064	)
Foreign currency translation adjustment		1,666			2,371			2,535			3,853

COMPREHENSIVE INCOME	$	101,706		$	89,978		$	218,962		$	105,291

Basic earnings per share	$	1.12		$	0.45		$	4.01		$	2.05

Diluted earnings per share	$	1.05		$	0.42		$	3.77		$	1.91

Diluted net operating earnings per share	$	1.08		$	0.42		$	3.81		$	2.03

Weighted average shares outstanding - basic		59,609,354			59,447,853			60,021,083			59,373,409

Weighted average shares outstanding - diluted		63,558,087			63,249,815			63,958,341			63,511,226

MAX CAPITAL GROUP LTD.

CONSOLIDATED STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (Unaudited)

(Expressed in thousands of United States Dollars)


	Nine Months Ended September 30
	2007			2006
Preferred shares
Balance, beginning of period	$	—		$	—

Balance, end of period		—			—

Common shares
Balance, beginning of period		60,277			58,829
Issue of shares		1,488			722
Repurchase of shares		(3,057	)		(1	)

Balance, end of period		58,708			59,550

Additional paid-in capital
Balance, beginning of period		950,862			921,384
Reclassification of unearned stock grant compensation		(26,357	)		—
Issue of common shares		19,775			15,106
Stock based compensation expense		5,625			616
Repurchase of shares		(76,575	)		(17	)

Balance, end of period		873,330			937,089

Loans receivable from common share sales
Balance, beginning of period		—			(465	)
Loans repaid		—			465

Balance, end of period		—			—

Unearned stock grant compensation
Balance, beginning of period		(17,570	)		(14,574	)
Stock grants awarded		(16,481	)		(13,052	)
Amortization		7,694			9,794
Reclassification of unearned stock grant compensation		26,357			—

Balance, end of period		—			(17,832	)

Accumulated other comprehensive loss
Balance, beginning of period		(21,688	)		4,981
Holding losses on fixed maturities arising in period		(27,447	)		(27,313	)
Net realized losses included in net income		2,975			7,249
Currency translation adjustments		2,535			3,853

Balance, end of period		(43,625	)		(11,230	)

Retained earnings
Balance, beginning of period		418,180			215,565
Net income		240,899			121,502
Dividends paid		(13,896	)		(10,098	)

Balance, end of period		645,183			326,969

Total shareholders’ equity	$	1,533,596		$	1,294,546

MAX CAPITAL GROUP LTD.

CONSOLIDATED STATEMENTS OF CASH FLOWS (Unaudited)

(Expressed in thousands of United States Dollars)


	Nine Months Ended September 30
	2007			2006
OPERATING ACTIVITIES
Net income	$	240,899		$	121,502
Adjustments to reconcile net income to net cash from operating activities:
Stock based compensation		13,319			10,410
Amortization of premium on fixed maturities		3,271			5,053
Accretion of deposit liabilities		4,950			(10,474	)
Net realized losses on sale of fixed maturities		2,975			7,249
Changes in:
Alternative investments		(28,410	)		(51,552	)
Accrued interest income		(4,450	)		(2,965	)
Premiums receivable		(32,529	)		(11,712	)
Losses and benefits recoverable from reinsurers		(113,611	)		(55,780	)
Funds withheld		1,122			1,362
Deferred acquisition costs		(1,329	)		(8,809	)
Prepaid reinsurance premiums		(17,659	)		(18,939	)
Trades pending settlement		87,086			—
Other assets		(8,780	)		(753	)
Property and casualty losses		170,910			232,450
Life and annuity benefits		68,965			31,959
Funds withheld from reinsurers		606			(15,621	)
Unearned property and casualty premiums		37,492			62,571
Reinsurance balances payable		28,337			(7,222	)
Accounts payable and accrued expenses		(17,814	)		36,896

Cash from operating activities		435,350			325,625

INVESTING ACTIVITIES
Purchases of fixed maturities		(1,103,483	)		(852,365	)
Sales of fixed maturities		263,024			425,485
Redemptions of fixed maturities		346,525			128,824
Purchase of Max Specialty		(28,400	)		—

Cash used in investing activities		(522,334	)		(298,056	)

FINANCING ACTIVITIES
Net proceeds from issuance of common shares		4,782			2,776
Repurchase of common shares		(79,632	)		(18	)
Proceeds from bank loan		135,000			—
Proceeds from issuance of senior notes		99,497			—
Dividends		(13,896	)		(10,098	)
Additions to deposit liabilities		18,879			25,297
Payment of deposit liabilities		(7,379	)		(36,581	)
Notes and loans repaid		—			465

Cash provided by (used in) financing activities		157,251			(18,159	)

Effect of exchange rate on cash		2,535			3,853
Net increase in cash and cash equivalents		72,802			13,263
Cash and cash equivalents, beginning of period		441,895			314,031

CASH AND CASH EQUIVALENTS, END OF PERIOD	$	514,697		$	327,294

SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION:

Interest paid totaled $13,084 and $9,096 for the nine months ended September 30, 2007 and 2006, respectively.

Corporate taxes paid totaled $307 and $nil for the nine months ended September 30, 2007 and 2006, respectively.

MAX CAPITAL GROUP LTD.

SCHEDULE OF SUPPLEMENTAL UNDERWRITING DATA–NINE MONTHS TO SEPTEMBER 30, 2007 (Unaudited)

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

Year to Date Segment Information:


	Property & Casualty												Life & Annuity			Corporate			Consolidated
	Reinsurance			Insurance			U.S. Excess & Surplus			Total			Reinsurance
Gross premiums written	$	308,765		$	284,078		$	21,692		$	614,535		$	63,554		$	—		$	678,089
Reinsurance premiums ceded		(41,629	)		(146,419	)		(15,074	)		(203,122	)		(399	)		—			(203,521	)

Net premiums written	$	267,136		$	137,659		$	6,618		$	411,413		$	63,155		$	—		$	474,568

Earned premiums	$	271,578		$	299,984		$	5,535		$	577,097		$	63,554		$	—		$	640,651
Earned premiums ceded		(30,531	)		(150,854	)		(3,880	)		(185,265	)		(399	)		—			(185,664	)

Net premiums earned		241,047			149,130			1,655			391,832			63,155			—			454,987
Net investment income		31,826			12,056			3,856			47,738			22,261			68,852			138,851
Net gains on alternative investments		41,364			10,517			—			51,881			43,313			41,492			136,686
Net realized losses on sales of fixed maturities		—			—			—			—			—			(2,975	)		(2,975	)
Other income		—			—			—			—			—			587			587

Total revenues		314,237			171,703			5,511			491,451			128,729			107,956			728,136
Losses and benefits		131,484			110,799			946			243,229			91,640			—			334,869
Acquisition costs		47,247			(972	)		(96	)		46,179			584			—			46,763
Interest expense		8,919			—			—			8,919			4,368			16,821			30,108
General and administrative expenses		20,428			13,409			14,149			47,986			2,126			29,629			79,741

Total losses and expenses		208,078			123,236			14,999			346,313			98,718			46,450			491,481

Net income before taxes	$	106,159		$	48,467		$	(9,488	)	$	145,138		$	30,011		$	61,506		$	236,655

Loss Ratio (a)		54.5	%		74.3	%		57.2	%		62.1	%
Combined Ratio (b)		82.6	%		82.6	%		n/a			86.1	%

SCHEDULE OF SUPPLEMENTAL UNDERWRITING DATA–THREE MONTHS TO SEPTEMBER 30, 2007 (Unaudited)
(Expressed in thousands of United States Dollars, except per Share and share amounts) Quarter Segment Information:
	Property & Casualty												Life & Annuity			Corporate			Consolidated
	Reinsurance			Insurance			U.S. Excess & Surplus			Total			Reinsurance
Gross premiums written	$	68,839		$	80,140		$	11,820		$	160,799		$	62,190		$	—		$	222,989
Reinsurance premiums ceded		(6,463	)		(34,891	)		(8,200	)		(49,554	)		(126	)		—			(49,680	)

Net premiums written	$	62,376		$	45,249		$	3,620		$	111,245		$	62,064		$	—		$	173,309

Earned premiums	$	74,673		$	98,003		$	4,596		$	177,272		$	62,190		$	—		$	239,462
Earned premiums ceded		(8,672	)		(49,896	)		(3,214	)		(61,782	)		(126	)		—			(61,908	)

Net premiums earned		66,001			48,107			1,382			115,490			62,064			—			177,554
Net investment income		9,994			4,102			2,211			16,307			7,620			25,738			49,665
Net gains on alternative investments		3,903			1,108			—			5,011			4,529			4,947			14,487
Net realized gains on sales of fixed maturities		—			—			—			—			—			(1,650	)		(1,650	)
Other income		—			—			—			—			—			244			244

Total revenues		79,898			53,317			3,593			136,808			74,213			29,279			240,300
Losses and benefits		16,170			33,817			794			50,781			70,572			—			121,353
Acquisition costs		12,334			(339	)		(76	)		11,919			186			—			12,105
Interest expense		4,675			—			—			4,675			2,200			6,798			13,673
General and administrative expenses		6,487			4,494			5,970			16,951			697			10,135			27,783

Total losses and expenses		39,666			37,972			6,688			84,326			73,655			16,933			174,914

Net income before taxes	$	40,232		$	15,345		$	(3,095	)	$	52,482		$	558		$	12,346		$	65,386

Loss Ratio (a)		24.5	%		70.3	%		57.5	%		44.0	%
Combined Ratio (b)		53.0	%		78.9	%		n/a			69.0	%

(a)	The loss ratio is calculated by dividing losses and benefits by net premiums earned.

(b)	The combined ratio is calculated by dividing the sum of losses and benefits, acquisition costs and general and administrative expenses by net premiums earned.

MAX CAPITAL GROUP LTD.

SCHEDULE OF SUPPLEMENTAL UNDERWRITING DATA–NINE MONTHS TO SEPTEMBER 30, 2006 (Unaudited)

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

Year to Date Segment Information:


	Property & Casualty											Life & Annuity			Corporate			Consolidated
	Reinsurance			Insurance			U.S. Excess & Surplus		Total			Reinsurance
Gross premiums written	$	397,481		$	276,078		$	—	$	673,559		$	44,186		$	—		$	717,745
Reinsurance premiums ceded		(33,653	)		(136,196	)		—		(169,849	)		(557	)		—			(170,406	)

Net premiums written	$	363,828		$	139,882		$	—	$	503,710		$	43,629		$	—		$	547,339

Earned premiums	$	339,880		$	274,174		$	—	$	614,054		$	44,186		$	—		$	658,240
Earned premiums ceded		(24,471	)		(127,185	)		—		(151,656	)		(557	)		—			(152,213	)

Net premiums earned		315,409			146,989			—		462,398			43,629			—			506,027
Net investment income		28,723			10,958			—		39,681			21,778			47,736			109,195
Net gains on alternative investments		3,603			1,363			—		4,966			3,559			9,694			18,219
Net realized losses on sales of fixed maturities		—			—			—		—			—			(7,249	)		(7,249	)
Other income		—			—			—		—			—			831			831

Total revenues		347,735			159,310			—		507,045			68,966			51,012			627,023
Losses and benefits		224,960			83,315			—		308,275			71,835			—			380,110
Acquisition costs		57,360			554			—		57,914			1,455			—			59,369
Interest expense		(6,482	)		—			—		(6,482	)		3,662			9,137			6,317
General and administrative expenses		16,957			10,767			—		27,724			2,169			28,964			58,857

Total losses and expenses		292,795			94,636			—		387,431			79,121			38,101			504,653

Net income before taxes	$	54,940		$	64,674		$	—	$	119,614		$	(10,155	)	$	12,911		$	122,370

Loss Ratio (a)		71.3	%		56.7	%				66.7	%
Combined Ratio (b)		94.9	%		64.4	%				85.2	%

SCHEDULE OF SUPPLEMENTAL UNDERWRITING DATA–THREE MONTHS TO SEPTEMBER 30, 2006 (Unaudited)
(Expressed in thousands of United States Dollars, except per Share and share amounts) Quarter Segment Information:
	Property & Casualty											Life & Annuity			Corporate			Consolidated
	Reinsurance			Insurance			U.S. Excess & Surplus		Total			Reinsurance
Gross premiums written	$	98,708		$	78,531		$	—	$	177,239		$	615		$	—		$	177,854
Reinsurance premiums ceded		(6,130	)		(32,579	)		—		(38,709	)		(296	)		—			(39,005	)

Net premiums written	$	92,578		$	45,952		$	—	$	138,530		$	319		$	—		$	138,849

Earned premiums	$	107,209		$	95,007		$	—	$	202,216		$	615		$	—		$	202,831
Earned premiums ceded		(9,164	)		(46,290	)		—		(55,454	)		(296	)		—			(55,750	)

Net premiums earned		98,045			48,717			—		146,762			319			—			147,081
Net investment income		9,514			3,519			—		13,033			7,428			18,207			38,668
Net gains (losses) on alternative investments		(8,672	)		(2,089	)		—		(10,761	)		(10,126	)		(10,117	)		(31,004	)
Net realized gains on sales of fixed maturities		—			—			—		—			—			(288	)		(288	)
Other income		—			—			—		—			—			167			167

Total revenues		98,887			50,147			—		149,034			(2,379	)		7,969			154,624
Losses and benefits		71,735			8,483			—		80,218			8,968			—			89,186
Acquisition costs		17,957			111			—		18,068			911			—			18,979
Interest expense		(7,791	)		—			—		(7,791	)		2,812			3,329			(1,650	)
General and administrative expenses		5,985			3,894			—		9,879			853			10,569			21,301

Total losses and expenses		87,886			12,488			—		100,374			13,544			13,898			127,816

Net income before taxes	$	11,001		$	37,659		$	—	$	48,660		$	(15,923	)	$	(5,929	)	$	26,808

Loss Ratio (a)		73.2	%		17.4	%				54.7	%
Combined Ratio (b)		97.6	%		25.6	%				73.7	%

(a)	The loss ratio is calculated by dividing losses and benefits by net premiums earned.

(b)	The combined ratio is calculated by dividing the sum of losses and benefits, acquisition costs and general and administrative expenses by net premiums earned.

MAX CAPITAL GROUP LTD.

SCHEDULE OF SUPPLEMENTAL PREMIUM DATA–NINE MONTHS TO SEPTEMBER 30, 2007 (Unaudited)

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

Gross Premiums Written by Type of Risk:


	Nine months to September 30, 2007				Nine months to September 30, 2006
	Gross Premiums Written		Percentage of Total Premiums Written		Gross Premiums Written		Percentage of Total Premiums Written
Property & Casualty Reinsurance:
Accident & Health	$	—	0.0	%	$	7,585	1.1	%
Aviation		33,314	4.8	%		26,141	3.6	%
Excess Liability		14,705	2.2	%		65,963	9.2	%
Medical Malpractice		49,868	7.3	%		49,997	7.0	%
Other		1,150	0.2	%		660	0.1	%
Professional Liability		37,082	5.5	%		50,223	7.0	%
Property		96,709	14.2	%		67,759	9.4	%
Marine & Energy		33,058	4.9	%		28,955	4.0	%
Whole Account		12,551	1.9	%		41,015	5.7	%
Workers’ Compensation		30,328	4.5	%		59,183	8.3	%

		308,765	45.5	%		397,481	55.4	%
Property & Casualty Insurance:
Aviation		14,408	2.1	%		4,449	0.6	%
Excess Liability		106,160	15.7	%		121,962	17.0	%
Professional Liability		116,624	17.2	%		105,821	14.7	%
Property		46,886	6.9	%		43,846	6.1	%

		284,078	41.9	%		276,078	38.4	%
Excess & Surplus Insurance:
Property		21,692	3.2	%		—	0.0	%

		21,692	3.2	%		—	0.0	%

Aggregate Property & Casualty	$	614,535	90.6	%	$	673,559	93.9	%

Life & Annuity:
Annuity	$	62,010	9.2	%	$	41,059	5.7	%
Health		28	0.0	%		—	0.0	%
Life		1,516	0.2	%		3,127	0.4	%

Aggregate Life & Annuity		63,554	9.4	%		44,186	6.1	%

Aggregate P&C and Life & Annuity	$	678,089	100.0	%	$	717,745	100.0	%

MAX CAPITAL GROUP LTD.

NON-GAAP FINANCIAL MEASURE RECONCILIATIONS (Unaudited)

Net Operating Income per Diluted Share

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


	Three Months Ended September 30						Nine Months Ended September 30
	2007			2006			2007			2006
Net income	$	66,766		$	26,497		$	240,899		$	121,502
Net realized losses on sale of fixed maturities, net of tax		1,650			288			2,975			7,249

Net operating income	$	68,416		$	26,785		$	243,874		$	128,751

Net income per diluted share	$	1.05		$	0.42		$	3.77		$	1.91
Net realized losses on sale of fixed maturities, net of tax		0.03			—			0.04			0.12

Net operating income per diluted share	$	1.08		$	0.42		$	3.81		$	2.03

Weighted average shares outstanding - basic		59,609,354			59,447,853			60,021,083			59,373,409
Weighted average shares outstanding - diluted		63,558,087			63,249,815			63,958,341			63,511,226

Annualized Return on Average Shareholders’ Equity
(Expressed in thousands of United States Dollars)

	Three Months Ended September 30						Nine Months Ended September 30
	2007			2006			2007			2006
Net income	$	66,766		$	26,497		$	240,899		$	121,502
Annualized net income		267,064			105,988			321,199			162,003
Beginning shareholders’ equity		1,472,774			1,203,398			1,390,061			1,185,720
Ending shareholders’ equity		1,533,596			1,294,546			1,533,596			1,294,546

Average shareholders’ equity		1,503,185			1,248,972			1,461,829			1,240,133

Annualized return on average shareholders’ equity		17.8	%		8.5	%		22.0	%		13.1	%

MAX CAPITAL GROUP LTD.

SCHEDULE OF SUPPLEMENTAL INVESTMENT DATA–NINE MONTHS TO SEPTEMBER 30, 2007 (Unaudited)

Selected Investment Return Data:


					Periodic Rate of Return
	Fair Value*		Investment Distribution		Last 3 Months		Year to Date		Last 60 months**
Cash and Fixed Maturities	$	4,026,059	78.6	%	2.18	%	3.19	%	3.78	%

Commodity Trading Advisers	$	—	0.0	%	0.00	%	6.63	%	5.88	%
Distressed Securities		182,381	3.5	%	0.30	%	9.93	%	21.96	%
Diversified Arbitrage		168,462	3.3	%	12.30	%	20.04	%	9.85	%
Emerging Markets		96,106	1.9	%	1.44	%	14.70	%	17.82	%
Event-Driven Arbitrage		205,950	4.0	%	3.71	%	25.89	%	17.01	%
Fixed Income Arbitrage		29,780	0.6	%	7.11	%	14.95	%	8.27	%
Global Macro		65,169	1.3	%	-1.59	%	6.75	%	9.40	%
Long / Short Credit		78,030	1.5	%	-4.74	%	2.19	%	10.66	%
Long / Short Equity		230,640	4.5	%	3.23	%	16.53	%	10.00	%
Opportunistic		34,805	0.7	%	1.83	%	17.19	%	19.69	%

MDS ****		1,091,323	21.3	%	1.18	%	12.17	%	10.96	%
Reinsurance Private Equity		2,924	0.1	%	1.90	%	17.30	%	-1.05	%

Alternative Investments	$	1,094,247	21.4	%	1.19	%	12.18	%	10.24	%

Total Investments	$	5,120,306	100.0	%	1.92	%	7.74	%	6.29	%

Alternative Investment Return Data ***:

MDS Performance History **** – 60 months ended September 30, 2007


Largest monthly gain	3.02	%	Largest monthly loss	(2.04	%)
Largest quarterly gain	6.07	%	Largest quarterly loss	(2.72	%)
Average monthly gain	1.36	%	Average monthly loss	(0.88	%)
Average quarterly gain	3.55	%	Average quarterly loss	(0.89	%)
Months with a gain	47		Months with a loss	13
Quarters with a gain	16		Quarters with a loss	4
% of months with a gain	78	%	Quarterly standard deviation	2.47	%
% of quarters with a gain	80	%	Annual standard deviation	4.11	%
			Largest drawdown *****	(5.04	%)

Monthly performance


	2002		2003		2004		2005		2006		2007
January			1.63	%	1.75	%	0.16	%	2.75	%	1.28	%
February			1.40	%	1.28	%	1.69	%	0.39	%	1.50	%
March			(0.18	%)	1.18	%	(0.61	%)	1.22	%	1.90	%
April			2.03	%	0.03	%	(0.65	%)	1.89	%	2.30	%
May			3.02	%	(0.87	%)	(0.68	%)	(1.74	%)	2.59	%
June			0.92	%	0.70	%	1.20	%	(0.66	%)	0.85	%
July			(0.24	%)	0.03	%	1.33	%	(0.71	%)	0.99	%
August			0.96	%	(0.02	%)	0.98	%	0.02	%	(1.62	%)
September			2.63	%	0.04	%	1.84	%	(2.04	%)	1.85	%
October	0.25	%	0.98	%	1.04	%	(1.45	%)	1.37	%
November	1.68	%	0.56	%	2.54	%	0.61	%	1.81	%
December	2.05	%	1.85	%	1.74	%	1.37	%	1.96	%
Quarterly performance
Q1			2.88	%	4.27	%	1.22	%	4.41	%	4.75	%
Q2			6.07	%	(0.15	%)	(0.14	%)	(0.54	%)	5.83	%
Q3			3.37	%	0.06	%	4.21	%	(2.72	%)	1.18	%
Q4	4.02	%	3.43	%	5.41	%	0.51	%	5.22	%
Period return	4.02	%	16.67	%	9.81	%	5.88	%	6.30	%	12.17	%

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

*	Expressed in thousands of United States Dollars

**	Annualized

***	The percentages shown under the alternative investment return data relate only to the performance of our alternative investments held by MDS.

****	Net of all fees

*****

Largest drawdown represents the largest decline in value between two NAV peak values.


Contacts
N. James Tees		Roy Winnick
Executive Vice President		Kekst and Company
jim.tees@maxcapgroup.com		roy-winnick@kekst.com
1-441-295-8800		1-212-521-4842