8-K

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 8-K

Current Report

Pursuant to Section 13 or 15(d) of the

Securities Exchange Act of 1934

Date of Report (Date of earliest event reported): November 2, 2009

AXIS CAPITAL HOLDINGS LIMITED

(Exact Name Of Registrant As Specified In Charter)

Bermuda	001-31721	98-0395986
(State of Incorporation)	(Commission File No.)	(I.R.S. Employer Identification No.)

92 Pitts Bay Road

Pembroke, Bermuda HM 08

(Address of principal executive offices, including zip code)

(441) 405-2600

(Registrant’s telephone number, including area code)

Not applicable

(Former name or address, if changed since last report)

Check the appropriate box below if the Form 8-K filing is intended to simultaneously satisfy the filing obligation of the registrant under any of the following provisions (see General Instruction A.2 below):

¨ Written communications pursuant to Rule 425 under the Securities Act (17 CFR 230.425)

¨ Soliciting material pursuant to Rule 14a-12 under the Exchange Act (17 CFR 240.14a-12)

¨ Pre-commencement communications pursuant to Rule 14d-2(b) under the Exchange Act (17 CFR 240.14d-2(b))

¨ Pre-commencement communications pursuant to Rule 13e-4(c) under the Exchange Act (17 CFR 240.13e(4)(c))

Item 2.02 Results of Operations and Financial Condition.

On November 2, 2009, AXIS Capital Holdings Limited, a Bermuda company (the “Company”) issued a press release reporting its third quarter 2009 results and the availability of its third quarter financial supplement. The press release and the financial supplement are attached hereto as Exhibit 99.1 and Exhibit 99.2, respectively. Investment Portfolio Supplemental Information and Data is attached as Exhibit 99.3.

Item 9.01 Financial Statements and Exhibits

(d) Exhibits

99.1 Press release dated November 2, 2009.

99.2 Third Quarter 2009 Financial Supplement.

99.3 Investment Portfolio Supplemental Information and Data

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned hereunto duly authorized.

Dated: November 2, 2009

AXIS CAPITAL HOLDINGS LIMITED
By:	/S/    RICHARD T. GIERYN, JR.
	Richard T. Gieryn, Jr.
	General Counsel

EXHIBIT INDEX

Exhibit Number	Description of Document
99.1	Press release dated November 2, 2009.
99.2	Third Quarter 2009 Financial Supplement.
99.3	Investment Portfolio Supplemental Information and Data

EX-99.1

Exhibit 99.1

Investor Contacts	Media Contacts
Linda Ventresca	Joseph Kuo
AXIS Capital Holdings Limited	Kekst and Company
investorrelations@axiscapital.com	(212) 521-4800
(441) 405-2727

AXIS CAPITAL REPORTS THIRD QUARTER OPERATING INCOME OF $152 MILLION

DILUTED OPERATING EARNINGS PER SHARE OF $1.00 AND

ANNUALIZED OPERATING RETURN ON AVERAGE COMMON EQUITY OF 13.0%

Pembroke, Bermuda, November 2, 2009 - AXIS Capital Holdings Limited (“AXIS Capital”) (NYSE: AXS) today reported net loss available to common shareholders for the third quarter of 2009 of $96 million, or $0.70 per diluted common share, compared with a net loss of $249 million, or $1.79 per diluted common share, for the third quarter of 2008. Net income for the nine months ended September 30, 2009 was $179 million, or $1.19 per diluted share, compared with $220 million, or $1.40 per diluted share, for the corresponding period in 2008.

Operating income for the third quarter of 2009 was $152 million, or $1.00 per diluted share, compared with an operating loss of $161 million, or $1.15 per diluted common share, for the third quarter of 2008. This same item excluding foreign exchange gains/losses, net of tax, for the third quarter of 2009 was $160 million, or $1.05 per common share, compared with a loss of $171 million, or $1.22 per diluted common share, for the third quarter of 2008.

Operating income for the first nine months of 2009 was $490 million, or $3.26 per diluted share, compared with $273 million, or $1.74 per diluted common share, for the first nine months of 2008. This same item excluding foreign exchange gains/losses, net of tax, for the first nine months of 2009 was $522 million, or $3.48 per diluted common share, compared with $251 million, or $1.59 per diluted common share, for the first nine months of 2008.

AXIS Capital Holdings Limited 92 Pitts Bay Road Pembroke, Bermuda HM08

Tel. 441.496.2600 Fax 441.296.3140

www.axiscapital.com

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Third Quarter Highlights¹

• Gross premiums written of $775 million, an increase of 7%;

• Net premiums written of $595 million, an increase of 8%;

• Net premiums earned of $706 million, an increase of 2%;

• Combined ratio of 73.2% compared with 128.0%;

• Favorable prior year reserve development of $122 million, benefiting the combined ratio by 17.3 points, compared with $76 million, benefiting the combined ratio in the same period last year by 11.0 points;

• Total underwriting income, adjusted for the impact of the change in fair value of a longevity-exposed indemnity derivative contract, of $207 million compared with a loss of $173 million;

• Net investment income of $135 million, an increase of 166% relative to the prior year quarter and an increase of 20% relative to the second quarter of 2009;

• Cash and invested assets grew to $11.8 billion during the current quarter, reflective of operating cash flows of $442 million and an improvement in asset valuations of $354 million;

• The total return on our cash and investments portfolio was 4.3% for the quarter and 7.5% for the year-to-date;

• Operating income for the third quarter of 2009 of $152 million represented an annualized operating return on average common equity² of 13.0% and operating income for the nine months ended September 30, 2009 of $490 million represented an annualized operating return on average common equity² of 14.7%;

• Diluted book value per common share of $31.58, an increase of 10% from June 30, 2009 and 22% from December 31, 2008.

¹ All comparisons are with the same periods last year unless stated otherwise.

² Calculated using operating income divided by average common shareholders’ equity for the period. The presentation of operating income available to common shareholder is a “non-GAAP financial measure” as defined in Regulation G. The reconciliation of such measure to net income available to common shareholders (the most directly comparable GAAP financial measure) in accordance with Regulation G is included on page 12 of this release. A discussion of the presentation of operating income begins on page 13 of this release.

AXIS Capital Holdings Limited 92 Pitts Bay Road Pembroke, Bermuda HM08

Tel. 441.496.2600 Fax 441.296.3140

www.axiscapital.com

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Commenting on the third quarter 2009 financial results, John Charman, Chief Executive Officer and President of AXIS Capital, stated: “I am pleased to report that, during this third quarter of 2009, AXIS benefited from very good P&C underwriting results as well as a strong recovery in asset valuations throughout our investment portfolio. Importantly, our underwriting operations produced a combined ratio of 73.2%. While the combined ratio benefited from a low level of catastrophes, it continues to demonstrate our strong performance for the year and the consistency of our underwriting performance through what has been so far a very challenging phase of the underwriting cycle. Our results are particularly strong given the impact of the global economic crisis over the last two years.

Our results this quarter were adversely impacted by an increase in the fair value liability of our only insurance derivative contract. Despite this adjustment, we were still able to deliver an increase in diluted book value per share of 10% in the quarter and 22% for the year to date.

For the third quarter, our consolidated net premiums written were up 8% largely due to the continued success of our reinsurance segment in accessing underwriting opportunities. At this time, the reinsurance market continues to remain the most disciplined and attractive area of the global P&C marketplace.

In our insurance segment, we have maintained a very defensive posture overall. While rate improved across our insurance portfolio during the third quarter of 2009, this improvement was somewhat muted relative to the first half of this year. As we have demonstrated in the past, when necessary, we will sacrifice top-line growth to preserve underwriting profit.

As we work diligently through this challenging phase of the underwriting cycle, we have continued to invest in broadening our franchise’s capabilities. This includes the expansion of distribution capabilities and new target markets including global accident and health. We expect these efforts to generate significant returns to shareholders over time.”

AXIS Capital Holdings Limited 92 Pitts Bay Road Pembroke, Bermuda HM08

Tel. 441.496.2600 Fax 441.296.3140

www.axiscapital.com

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Segment Highlights

Insurance Segment

Our insurance segment reported an underwriting loss for the quarter of $54 million compared with a loss of $22 million in the third quarter of 2008. The current quarter’s underwriting result also included an increase of $136 million in the fair value liability of a longevity-exposed insurance derivative contract, which is included in other insurance related income. The segment’s combined ratio was 70.5% compared with 102.8% in the prior year quarter. The improvement in the combined ratio primarily reflects a lower level of catastrophe activity this quarter, compared to the third quarter of 2008, which included significant losses from Hurricanes Ike and Gustav. Net favorable prior period reserve development was $55 million, or 19.9 points, this quarter compared with $42 million, or 14.2 points, in the prior year quarter.

Our insurance segment reported gross premiums written in the quarter of $414 million, up 3% from the third quarter of 2008, and net premiums written of $240 million, up 2% from the third quarter of 2008. These increases primarily reflect attractive new business opportunities in our professional lines business. Ceded premiums were 42% of gross premiums written in the current quarter, which was comparable with the third quarter of 2008.

Reinsurance Segment

Our reinsurance segment reported underwriting income for the quarter of $125 million, compared with an underwriting loss of $164 million in the third quarter of 2008. The segment’s combined ratio was 70.8% compared with 141.4% in the prior year quarter. The improvement in the combined ratio primarily reflects a lower level of catastrophe activity this quarter, compared to the third quarter of 2008, which included significant losses from Hurricanes Ike and Gustav. Net favorable prior period reserve development was $67 million, or 15.6 points, this quarter compared with $35 million, or 8.7 points, in the prior year quarter.

AXIS Capital Holdings Limited 92 Pitts Bay Road Pembroke, Bermuda HM08

Tel. 441.496.2600 Fax 441.296.3140

www.axiscapital.com

- 4 -

Our reinsurance segment reported gross premiums written in the quarter of $361 million, up 12% from the third quarter of 2008, reflecting a combination of rate increases, increased participation on certain renewals and new business opportunities across several of our lines of business.

Investments

Net investment income for the quarter of $135 million represented an increase of $23 million, or 20%, relative to the second quarter of this year and an increase of $84 million, or 166%, relative to the third quarter of 2008, primarily due in both cases to improved investment market conditions for our alternative investment portfolio (“other investments”). Income from our other investments was $39 million this quarter. This represented an increase of $27 million relative to the second quarter of this year and an increase of $105 million relative to the same period last year. The return on our other investments was 7.1% this quarter, reflecting a strong performance from our investments in hedge funds and credit funds. For the year-to-date, our return on other investments was 11.3% and is the primary driver of the increase of 27% in net investment income relative to the same period last year.

During the quarter, we incurred net realized investment losses of $253 million compared to net realized investment losses of $89 million in the prior year quarter. Net realized investment losses for the quarter included $263 million in OTTI losses from medium-term note investments in our fixed maturity portfolio, for which we no longer expect full recovery. The recognition of these OTTI losses does not indicate that sales will occur, that sales are imminent or that sales are planned.

At September 30, 2009, net unrealized gains within our available for sale investment portfolio were $103 million, an improvement of $354 million in the quarter excluding the impact of the OTTI losses recognized in earnings. The improvement in asset valuations experienced during the quarter was primarily due to credit spread tightening on corporate debt and structured credit securities.

AXIS Capital Holdings Limited 92 Pitts Bay Road Pembroke, Bermuda HM08

Tel. 441.496.2600 Fax 441.296.3140

www.axiscapital.com

- 5 -

At September 30, 2009, we held cash and cash equivalent balances of $1.2 billion, or 10%, of total cash and investments. Our fixed maturity investment portfolio, which represents 82% of total cash and investments, is well diversified, has a weighted average credit quality of AA+, and has an average duration of approximately 2.8 years. Our other investments represent 5% of our total cash and investments at September 30, 2009.

Supplementary information relating to our investment portfolio at September 30, 2009 is available in the Investor Information section of our website.

Capitalization / Shareholders’ Equity

Total capitalization at September 30, 2009 was $5.9 billion, including $0.5 billion of long-term debt and $0.5 billion of preferred equity, compared to $5.0 billion at December 31, 2008. At September 30, 2009, diluted book value per common share, on a treasury stock basis, was $31.58 and book value per common share was $35.54, compared to $25.79 and $29.08 respectively, as of December 31, 2008.

AXIS Capital Holdings Limited 92 Pitts Bay Road Pembroke, Bermuda HM08

Tel. 441.496.2600 Fax 441.296.3140

www.axiscapital.com

- 6 -

Conference Call

We will host a conference call on Tuesday, November 3, 2009 at 8:00 AM (Eastern) to discuss the third quarter financial results and related matters. The teleconference can be accessed by dialing (866) 843-0890 (U.S. callers) or (412) 317-9250 (international callers) and entering the pass-code 5501909 approximately ten minutes in advance of the call. A live, listen-only webcast of the call will also be available via the Investor Information section of the Company’s website at www.axiscapital.com.

In addition, a financial supplement relating to our financial results for the quarter ended September 30, 2009 is available in the Investor Information section of our website.

AXIS Capital is a Bermuda-based global provider of specialty lines insurance and treaty reinsurance with shareholders’ equity at September 30, 2009 of $5.4 billion and locations in Bermuda, the United States, Europe, Singapore, Canada and Australia. Its operating subsidiaries have been assigned a rating of “A+” (“Strong”) by Standard & Poor’s and “A” (“Excellent”) by A.M. Best. AXIS Capital has been assigned a senior unsecured debt rating of A- (stable) by Standard & Poor’s and Baa1 (stable) by Moody’s Investors Service. For more information about AXIS Capital, visit our website at www.axiscapital.com.

AXIS Capital Holdings Limited 92 Pitts Bay Road Pembroke, Bermuda HM08

Tel. 441.496.2600 Fax 441.296.3140

www.axiscapital.com

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AXIS CAPITAL HOLDINGS LIMITED

CONSOLIDATED BALANCE SHEETS

SEPTEMBER 30, 2009 (UNAUDITED) AND DECEMBER 31, 2008

	2009			2008
	(in thousands)
Assets
Investments:
Fixed maturities, available for sale, at fair value	$	9,682,932		$	7,750,654
Equity securities, available for sale, at fair value		137,544			107,283
Other investments, at fair value		541,447			492,082
Short-term investments		282,737			261,879
Total investments		10,644,660			8,611,898
Cash and cash equivalents		1,239,471			1,820,673
Accrued interest receivable		82,169			79,232
Insurance and reinsurance premium balances receivable		1,497,639			1,185,785
Reinsurance recoverable balances		1,369,824			1,304,551
Reinsurance recoverable balances on paid losses		36,625			74,079
Deferred acquisition costs		363,739			273,096
Prepaid reinsurance premiums		284,922			279,553
Securities lending collateral		135,122			412,823
Goodwill and intangible assets		93,049			60,417
Other assets		172,248			180,727
Total assets	$	15,919,468		$	14,282,834
Liabilities
Reserve for losses and loss expenses	$	6,579,914		$	6,244,783
Unearned premiums		2,548,072			2,162,401
Insurance and reinsurance balances payable		170,664			202,145
Securities lending payable		138,092			415,197
Senior notes		499,449			499,368
Other liabilities		426,068			233,082
Net payable for investments purchased		159,102			64,817
Total liabilities		10,521,361			9,821,793
Shareholders’ Equity
Preferred shares - Series A and B		500,000			500,000
Common shares		1,901			1,878
Additional paid-in capital		2,003,417			1,962,779
Accumulated other comprehensive income (loss)		74,974			(706,499	)
Retained earnings		3,319,467			3,198,492
Treasury shares, at cost		(501,652	)		(495,609	)
Total shareholders’ equity		5,398,107			4,461,041
Total liabilities and shareholders’ equity	$	15,919,468		$	14,282,834

AXIS Capital Holdings Limited 92 Pitts Bay Road Pembroke, Bermuda HM08

Tel. 441.496.2600 Fax 441.296.3140

www.axiscapital.com

- 8 -

AXIS CAPITAL HOLDINGS LIMITED

CONSOLIDATED STATEMENTS OF OPERATIONS (UNAUDITED)

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2009 AND 2008

	Three months ended						Nine months ended
	2009			2008			2009			2008
	(in thousands, except per share amounts)
Revenues
Net premiums earned	$	706,025		$	689,970		$	2,078,154		$	2,028,895
Net investment income		134,788			50,583			346,300			273,249
Other insurance related loss		(135,738	)		(13,806	)		(159,394	)		(19,073	)
Net realized investment loss:
Other-than-temporary impairment losses		(283,418	)		(49,663	)		(336,214	)		(65,804	)
Portion of impairment losses transferred to other comprehensive income		4,080			—			5,523			—
Other realized investment gains (losses)		25,973			(39,416	)		13,051			13,962
Total net realized investment losses		(253,365	)		(89,079	)		(317,640	)		(51,842	)
Total revenues		451,710			637,668			1,947,420			2,231,229
Expenses
Net losses and loss expenses		311,109			705,531			1,077,360			1,438,929
Acquisition costs		113,423			90,333			318,708			282,593
General and administrative expenses		92,009			86,722			265,515			248,425
Foreign exchange losses (gains)		6,784			(7,627	)		30,579			(21,360	)
Interest expense and financing costs		7,977			7,941			23,869			23,789
Total expenses		531,302			882,900			1,716,031			1,972,376
Income (loss) before income taxes		(79,592	)		(245,232	)		231,389			258,853
Income tax expense (recovery)		7,082			(5,104	)		24,785			11,554
Net income (loss)		(86,674	)		(240,128	)		206,604			247,299
Preferred shares dividends		9,218			9,218			27,656			27,656
Net income (loss) available to common shareholders	$	(95,892	)	$	(249,346	)	$	178,948		$	219,643
Weighted average common shares and common share equivalents:
Basic		137,904			139,335			137,693			141,628
Diluted		137,904			139,335			150,258			157,315
Earnings per common share:
Basic	$	(0.70	)	$	(1.79	)	$	1.30		$	1.55
Diluted	$	(0.70	)	$	(1.79	)	$	1.19		$	1.40
Cash dividends declared per common share	$	0.20		$	0.185		$	0.60		$	0.555

AXIS Capital Holdings Limited 92 Pitts Bay Road Pembroke, Bermuda HM08

Tel. 441.496.2600 Fax 441.296.3140

www.axiscapital.com

- 9 -

AXIS CAPITAL HOLDINGS LIMITED

CONSOLIDATED SEGMENTAL DATA (UNAUDITED)

FOR THE THREE MONTHS ENDED SEPTEMBER 30, 2009 AND 2008

	2009									2008
	Insurance			Reinsurance			Total			Insurance			Reinsurance			Total
Gross premiums written	$	413,922		$	361,392		$	775,314		$	402,672		$	322,611		$	725,283
Net premiums written		239,781			355,363			595,144			235,666			315,750			551,416
Net premiums earned		278,637			427,388			706,025			293,572			396,398			689,970
Other insurance related income (loss)		(135,898	)		160			(135,738	)		(13,751	)		(55	)		(13,806	)
Net losses and loss expenses		(111,228	)		(199,881	)		(311,109	)		(230,577	)		(474,954	)		(705,531	)
Acquisition costs		(29,613	)		(83,810	)		(113,423	)		(21,964	)		(68,369	)		(90,333	)
General and administrative expenses		(55,685	)		(18,719	)		(74,404	)		(49,361	)		(17,366	)		(66,727	)
Underwriting income (loss)	$	(53,787	)	$	125,138			71,351		$	(22,081	)	$	(164,346	)		(186,427	)
Corporate expenses								(17,605	)								(19,995	)
Net investment income								134,788									50,583
Net realized investment losses								(253,365	)								(89,079	)
Foreign exchange (losses) gains								(6,784	)								7,627
Interest expense and financing costs								(7,977	)								(7,941	)
Loss before income taxes							$	(79,592	)							$	(245,232	)
Net loss and loss expense ratio		39.9	%		46.8	%		44.1	%		78.5	%		119.8	%		102.3	%
Acquisition cost ratio		10.6	%		19.6	%		16.1	%		7.5	%		17.2	%		13.1	%
General and administrative expense ratio		20.0	%		4.4	%		13.0	%		16.8	%		4.4	%		12.6	%
Combined ratio		70.5	%		70.8	%		73.2	%		102.8	%		141.4	%		128.0	%

AXIS Capital Holdings Limited 92 Pitts Bay Road Pembroke, Bermuda HM08

Tel. 441.496.2600 Fax 441.296.3140

www.axiscapital.com

- 10 -

AXIS CAPITAL HOLDINGS LIMITED

CONSOLIDATED SEGMENTAL DATA (UNAUDITED)

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2009 AND 2008

	2009									2008
	Insurance			Reinsurance			Total			Insurance			Reinsurance			Total
Gross premiums written	$	1,304,844		$	1,708,606		$	3,013,450		$	1,392,993		$	1,470,640		$	2,863,633
Net premiums written		764,932			1,693,526			2,458,458			872,909			1,454,498			2,327,407
Net premiums earned		853,235			1,224,919			2,078,154			890,558			1,138,337			2,028,895
Other insurance related income (loss)		(160,659	)		1,265			(159,394	)		(20,073	)		1,000			(19,073	)
Net losses and loss expenses		(451,143	)		(626,217	)		(1,077,360	)		(549,723	)		(889,206	)		(1,438,929	)
Acquisition costs		(84,122	)		(234,586	)		(318,708	)		(84,798	)		(197,795	)		(282,593	)
General and administrative expenses		(159,059	)		(54,515	)		(213,574	)		(145,321	)		(51,813	)		(197,134	)
Underwriting income (loss)	$	(1,748	)	$	310,866			309,118		$	90,643		$	523			91,166
Corporate expenses								(51,941	)								(51,291	)
Net investment income								346,300									273,249
Net realized investment losses								(317,640	)								(51,842	)
Foreign exchange (losses) gains								(30,579	)								21,360
Interest expense and financing costs								(23,869	)								(23,789	)
Income before income taxes							$	231,389								$	258,853
Net loss and loss expense ratio		52.9	%		51.1	%		51.8	%		61.7	%		78.1	%		70.9	%
Acquisition cost ratio		9.9	%		19.2	%		15.4	%		9.6	%		17.4	%		13.9	%
General and administrative expense ratio		18.6	%		4.4	%		12.8	%		16.3	%		4.5	%		12.2	%
Combined ratio		81.4	%		74.7	%		80.0	%		87.6	%		100.0	%		97.0	%

AXIS Capital Holdings Limited 92 Pitts Bay Road Pembroke, Bermuda HM08

Tel. 441.496.2600 Fax 441.296.3140

www.axiscapital.com

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AXIS CAPITAL HOLDINGS LIMITED

NON-GAAP FINANCIAL MEASURE RECONCILIATION

OPERATING INCOME AND OPERATING INCOME EXCLUDING

FOREIGN EXCHANGE GAINS, NET OF TAX

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2009 AND 2008

	Three months ended						Nine months ended
	2009			2008			2009			2008
Net income (loss) available to common shareholders	$	(95,892	)	$	(249,346	)	$	178,948		$	219,643
Adjustment for net realized investment losses		253,365			89,079			317,640			51,842
Adjustment for associated tax impact		(5,915	)		(556	)		(6,585	)		1,623
Operating income (loss)		151,558			(160,823	)		490,003			273,108
Adjustment for foreign exchange losses (gains)		6,784			(7,627	)		30,579			(21,360	)
Adjustment for associated tax impact		1,242			(2,144	)		1,715			(989	)
Operating income (loss) excluding foreign exchange gains, net of tax	$	159,584		$	(170,594	)	$	522,297		$	250,759
Net income (loss) per share - diluted	$	(0.70	)	$	(1.79	)	$	1.19		$	1.40
Adjustment for net realized investment losses		1.67			0.64			2.11			0.33
Adjustment for associated tax impact		(0.04	)		—			(0.04	)		0.01
Adjustment for dilutive securities(1)		0.07			—			—			—
Operating income (loss) per share - diluted	$	1.00		$	(1.15	)	$	3.26		$	1.74
Adjustment for foreign exchange (losses) gains		0.04			(0.05	)		0.20			(0.14	)
Adjustment for associated tax impact		0.01			(0.02	)		0.02			(0.01	)
Operating income (loss) excluding foreign exchange gains, net of tax	$	1.05		$	(1.22	)	$	3.48		$	1.59
Weighted average common shares and common share equivalents - for net income (loss)		137,904			139,335			150,258			157,315
Weighted average common shares and common share equivalents - for operating income (loss)		151,882			139,335			150,258			157,315

(1) For operating income per share purposes we have included the impact of otherwise anti-dilutive securities.

AXIS Capital Holdings Limited 92 Pitts Bay Road Pembroke, Bermuda HM08

Tel. 441.496.2600 Fax 441.296.3140

www.axiscapital.com

- 12 -

Cautionary Note Regarding Forward-Looking Statements

This release contains forward-looking statements within the meaning of the U.S. federal securities laws. Forward-looking statements contained in this release include our expectations regarding market conditions and information regarding our estimates of losses related to natural disasters. These statements involve risks, uncertainties and assumptions. Actual events or results may differ materially from our expectations. Important factors that could cause actual events or results to be materially different from our expectations include (1) the occurrence of natural and man-made disasters, (2) actual claims exceeding our loss reserves, (3) general economic, capital, and credit market conditions, (4) the failure of any of the loss limitation methods we employ, (5) the effects of emerging claims and coverage issues, (6) the failure of our cedants to adequately evaluate risks, (7) the loss of one or more key executives, (8) a decline in our ratings with rating agencies, (9) the loss of business provided to us by our major brokers, (10) changes in accounting policies or practices, (11) changes in governmental regulations, (12) increased competition, (13) changes in the political environment of certain countries in which we operate or underwrite business, (14) fluctuations in interest rates, credit spreads, equity prices and/or currency values, and (15) the other factors set forth in our most recent report on Form 10-K, Form 10-Q and other documents on file with the Securities and Exchange Commission. We undertake no obligation to update or revise publicly any forward-looking statements, whether as a result of new information, future events or otherwise.

Non-GAAP Financial Measures

In this release, we have presented the following non-GAAP financial measures:

1. Operating income (loss). This represents net income (loss) available to common shareholders, before the after tax impact of net realized gains and losses on investments;

2. Operating income (loss), excluding the after tax impact of foreign exchange gains and losses.

We have included these measures as we believe that security analysts, rating agencies and investors believe that realized gains and losses and/or foreign exchange, where an actively managed foreign exchange program is not in place, are not indicative of the performance of,

AXIS Capital Holdings Limited 92 Pitts Bay Road Pembroke, Bermuda HM08

Tel. 441.496.2600 Fax 441.296.3140

www.axiscapital.com

- 13 -

or trends in, the Company’s business performance and result, in large part, from general economic and financial market conditions. As a result, we believe that they evaluate earnings before realized gains and losses and/or foreign exchange, adjusted for tax, to make performance comparisons with our industry peers.

AXIS Capital Holdings Limited 92 Pitts Bay Road Pembroke, Bermuda HM08

Tel. 441.496.2600 Fax 441.296.3140

www.axiscapital.com

- 14 -

EX-99.2

Exhibit 99.2

AXIS Capital Holdings Limited

INVESTOR FINANCIAL SUPPLEMENT

THIRD QUARTER 2009

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

		Page(s)
	Basis of Presentation	i - iii
I.	Financial Highlights	1
II.	Income Statements	2
	a.      Consolidated Statements of Income - Quarterly
	b.      Consolidated Statements of Income - Year	3
	c.      Consolidated Segment Data	4
	d.      Gross Premium Written by Segment by Line of Business	5
	e.      Segment Consecutive Quarters	6-7
III.	Balance Sheets	8
	a.      Consolidated Balance Sheets
	b.      Summary Investment Portfolio Information	9
	c.      Investment Portfolio Composition - Quarterly	10
	d.      Investment Portfolio: Mortgage and Asset Backed Securities	11
	e.      Investment Portfolio: Subprime and Alternative-A Holdings in Direct Investment Portfolio	12
	f.       Investment Portfolio: Ten Largest Corporate Holdings	13
	g.      Investment Portfolio: Financial Issuer Exposure in Fixed Maturity Portfolio	14-15
	h.      Reconciliation of Net Realized and Net Unrealized Investments Gains (Losses)	16
	i.       Reinsurance Recoverable Analysis	17-18
IV.	Loss Reserve Analysis	19
	a.      Paid to Incurred Analysis
	b.      Paid to Incurred Analysis by Segment	20
	c.      Segment Consecutive Quarters	21-22
	d.      Estimated Exposures to Peak Zone Property Catastrophe Losses	23
V.	Share Analysis
	a.      Earnings Per Common Share Analysis - As Reported, GAAP	24
	b.      Earnings Per Common Share Analysis and Common Share Rollforward - Quarterly	25
	c.      Diluted Book Value Per Common Share Analysis	26

AXIS Capital Holdings Limited

BASIS OF PRESENTATION

DEFINITIONS AND PRESENTATION

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

• All financial information contained herein is unaudited, except for the consolidated balance sheet and statement of income at and for the year ended December 31, 2008.

• Amounts may not reconcile exactly due to rounding differences.

• NM - Not meaningful; NR - Not Reported; NA - Not applicable

CAUTIONARY NOTE REGARDING FORWARD-LOOKING STATEMENTS:

Statements in this presentation that are not historical facts, including statements regarding our estimates, beliefs, expectations, intentions, strategies or projections, may be “forward-looking statements” within the meaning of the U.S. federal securities laws, including the Private Securities Litigation Reform Act of 1995. We intend these forward-looking statements to be covered by the safe harbor provisions for forward-looking statements in the United States securities laws. In some cases, these statements can be identified by the use of forward-looking words such as “may,” “should,” “could,” “anticipate,” “estimate,” “expect,” “plan,” “believe,” “predict,” “potential,” “intend” or similar expressions. Our expectations are not guarantees and are based on currently available competitive, financial and economic data along with our operating plans. Forward-looking statements contained in this presentation may include, but are not limited to, information regarding our estimates of losses related to hurricanes and other catastrophes, including Hurricanes Ike and Gustav, measurements of potential losses in the fair market value of our investment portfolio, our expectations regarding pricing and other market conditions, our growth prospects, and valuations of the potential impact of movements in interest rates, equity prices, credit spread and foreign currency rates.

Forward-looking statements only reflect our expectations and are not guarantees of performance. Accordingly, there are or will be important factors that could cause actual results to differ materially from those indicated in such statements. We believe that these factors include, but are not limited to, the following:

• the occurrence of natural and man-made disasters,

• actual claims exceeding our loss reserves,

• general economic, capital and credit market conditions,

• the failure of any of the loss limitation methods we employ,

• the effects of emerging claims and coverage issues,

• the failure of our cedants to adequately evaluate risks,

• the loss of one or more key executives,

• a decline in our ratings with rating agencies,

• loss of business provided to us by our major brokers,

• changes in accounting policies or practices,

• changes in governmental regulations,

• increased competition,

• changes in the political environment of certain countries in which we operate or underwrite business, and

• fluctuations in interest rates, credit spreads, equity prices and/or currency values.

We undertake no obligation to update or revise publicly any forward-looking statements, whether as a result of new information, future events or otherwise.

    

i

AXIS Capital Holdings Limited

BASIS OF PRESENTATION

BUSINESS DESCRIPTIONS

INSURANCE SEGMENT

Our insurance segment offers specialty insurance products to a variety of niche markets on a worldwide basis. The following are the lines of business in our insurance segment:

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

Marine: 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 business interruption of an insured following an act of terrorism.

Aviation: 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.

Credit and political risk: provides credit insurance, sovereign default insurance coverage and traditional political risk insurance coverage. The credit insurance coverage is primarily for lenders seeking to mitigate the risk of non-payment from their borrowers in emerging markets. For the credit insurance contracts, it is necessary for the buyer of the insurance (most often a bank) to hold an insured asset (most often an underlying loan) in order to claim compensation under the insurance contract. The traditional political risk coverage provides protection against sovereign actions that result in the impairment of cross-border investments for banks and major corporations (known as “CEND” coverage’s).

Professional lines: includes coverage for directors’ and officers’ liability, errors and omissions liability, employment practices liability, media, cyber, technology and miscellaneous professional liability coverage.

Liability: primarily targets general liability and umbrella and excess liability 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.

Other: primarily consists of employee medical coverage for self-insured, small and medium sized employers, for losses in excess of a given retention.

    

ii

AXIS Capital Holdings Limited

BASIS OF PRESENTATION

BUSINESS DESCRIPTIONS (CONTINUED)

REINSURANCE SEGMENT

Our reinsurance segment provides treaty and facultative property and casualty reinsurance to insurance companies on a worldwide basis. The following are the lines of business in our reinsurance segment:

Catastrophe: provides protection for most catastrophic losses that are covered in the underlying insurance policies written by our cedants. The exposure in the underlying policies is principally property exposure but also covers other 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. We underwrite catastrophe reinsurance principally on an excess of loss basis, meaning that our exposure only arises when our customers’ claims exceed a certain retained amount.

Property: 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.

Professional Liability: covers directors’ and officers’ liability, employment practices liability, medical malpractice and miscellaneous errors and omissions insurance risks.

Credit and Bond: 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 in the event of a payment default by the buyer of those goods and services. Also included in this line of business is coverage for 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.

Motor: provides coverage to cedants 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.

Liability: provides coverage to insurers of standard casualty lines, including auto liability, general liability, personal and commercial umbrella and workers’ compensation.

Engineering: provides coverage for all types of civil construction risks and risks associated with erection, testing and commissioning of machinery and plants during the construction stage. This line of business also includes coverage for losses arising from operational failures of machinery, plant and equipment and electronic equipment as well as business interruption. We write engineering business on a proportional and non-proportional treaty basis as well as on a facultative basis.

Other: includes aviation, marine, personal accident and crop reinsurance.

    

iii

AXIS Capital Holdings Limited

FINANCIAL HIGHLIGHTS

		Quarter ended September 30,								Nine months ended September 30,
		2009			2008			Change		2009			2008			Change
HIGHLIGHTS	Gross premiums written	$	775,314		$	725,283		6.9	%	$	3,013,450		$	2,863,633		5.2	%
	Gross premiums written - Insurance		53.4	%		55.5	%	(3.8	)%		43.3	%		48.6	%	(11.0	)%
	Gross premiums written - Reinsurance		46.6	%		44.5	%	4.8	%		56.7	%		51.4	%	10.4	%
	Net premiums written	$	595,144		$	551,416		7.9	%	$	2,458,458		$	2,327,407		5.6	%
	Net premiums earned	$	706,025		$	689,970		2.3	%	$	2,078,154		$	2,028,895		2.4	%
	Net premiums earned - Insurance		39.5	%		42.5	%	(7.2	)%		41.1	%		43.9	%	(6.5	)%
	Net premiums earned - Reinsurance		60.5	%		57.5	%	5.4	%		58.9	%		56.1	%	5.1	%
	Net income (loss) available to common shareholders	$	(95,892	)	$	(249,346	)	(61.5	)%	$	178,948		$	219,643		(18.5	)%
	Reserve for losses and loss expenses		6,579,914			6,406,204		2.7	%		6,579,914			6,406,204		2.7	%
	Total shareholders’ equity		5,398,107			4,601,190		17.3	%		5,398,107			4,601,190		17.3	%
PER COMMON SHARE AND COMMON SHARE DATA	Basic earnings per common share	$	(0.70	)	$	(1.79	)	(61.1	)%	$	1.30		$	1.55		(16.2	)%
	Diluted earnings per common share	$	(0.70	)	$	(1.79	)	(61.1	)%	$	1.19		$	1.40		(14.7	)%
	Weighted average common shares outstanding		137,904			139,335		(1.0	)%		137,693			141,628		(2.8	)%
	Diluted weighted average common shares outstanding		137,904			139,335		(1.0	)%		150,258			157,315		(4.5	)%
	Book value per common share	$	35.54		$	29.72		19.6	%	$	35.54		$	29.72		19.6	%
	Diluted book value per common share (treasury stock method)	$	31.58		$	26.25		20.3	%	$	31.58		$	26.25		20.3	%
	Accumulated dividends paid per common share	$	3.69		$	2.91		27.0	%	$	3.69		$	2.91		27.0	%
FINANCIAL RATIOS	ROACE [a]		(8.2	)%		(22.5	)%	14.3	%		5.4	%		6.7	%	(1.3	)%
	Operating ROACE [b]		13.0	%		(14.5	)%	27.5	%		14.7	%		8.3	%	6.4	%
	Net loss and loss expense ratio		44.1	%		102.3	%	(58.2	)%		51.8	%		70.9	%	(19.1	)%
	Acquisition cost ratio		16.1	%		13.1	%	3.0	%		15.4	%		13.9	%	1.5	%
	General and administrative expense ratio		13.0	%		12.6	%	0.4	%		12.8	%		12.2	%	0.6	%
	Combined ratio		73.2	%		128.0	%	(54.8	)%		80.0	%		97.0	%	(17.0	)%
INVESTMENT DATA	Total assets	$	15,919,468		$	15,175,454		4.9	%	$	15,919,468		$	15,175,454		4.9	%
	Total cash and investments [c]		11,807,198			10,645,111		10.9	%		11,807,198			10,645,111		10.9	%
	Net investment income		134,788			50,583		166.5	%		346,300			273,249		26.7	%
	Net realized investment losses		(253,365	)		(89,079	)	184.4	%		(317,640	)		(51,842	)	512.7	%
	Total return on cash and investments [d]		4.3	%		(3.6	)%	7.9	%		7.5	%		(2.8	)%	10.3	%
	Return on other investments [e]		7.1	%		(9.7	)%	16.8	%		11.3	%		(12.5	)%	23.8	%
	Annualized pre-tax yield of fixed maturities [f]		4.1	%		4.9	%	(0.8	)%		4.2	%		5.0	%	(0.8	)%

[a] Return on average common equity (“ROACE”) is calculated by dividing net income available to common shareholders for the period by the average common shareholders’ equity determined by using the common shareholders’ equity balances at the beginning and end of the period. Percentages for the quarter-periods are annualized.

[b] Operating return on average common equity is calculated by dividing operating income for the period by the average common shareholders’ equity determined by using the common shareholders’ equity balances at the beginning and end of the period. Percentages for the quarter-periods are annualized.

[c] Cash and investments represents the total cash, available for sale investments, other investments, accrued interest receivable and net receivable (payable) for investments sold (purchased).

[d] In calculating total return, we include net investment income, net realized investment gains (losses) and the change in unrealized gains (losses) generated by our average month-end fair value balance of total cash and investments.

[e] Return on other investments is calculated by dividing other investment income (loss) by the average month-end fair value balance of other investments.

[f] Annualized pre-tax yield of fixed maturities is calculated by dividing the pre-tax net investment income generated from fixed maturities by the average month-end amortized cost balance of the fixed maturities.

    

1

AXIS Capital Holdings Limited

CONSOLIDATED STATEMENTS OF INCOME - QUARTERLY

	Q3 2009			Q2 2009			Q1 2009			Q4 2008			Q3 2008			Q3 2007
UNDERWRITING REVENUES
Gross premiums written	$	775,314		$	914,641		$	1,323,495		$	526,755		$	725,283		$	755,224
Premiums ceded		(180,170	)		(213,628	)		(161,194	)		(187,282	)		(173,867	)		(171,322	)
Net premiums written		595,144			701,013			1,162,301			339,473			551,416			583,902
Gross premiums earned		898,268			890,194			839,316			830,975			862,338			870,752
Ceded premiums amortized		(192,243	)		(183,424	)		(173,957	)		(172,689	)		(172,368	)		(184,907	)
Net premiums earned		706,025			706,770			665,359			658,286			689,970			685,845
Other insurance related income (loss)		(135,738	)		(14,261	)		(9,395	)		(19,594	)		(13,806	)		1,005
Total underwriting revenues		570,287			692,509			655,964			638,692			676,164			686,850
UNDERWRITING EXPENSES
Net losses and loss expenses		311,109			378,252			387,999			273,837			705,531			328,193
Acquisition costs		113,423			103,309			101,976			83,916			90,333			100,039
General and administrative expenses		74,404			70,418			68,752			65,437			66,727			59,090
Total underwriting expenses		498,936			551,979			558,727			423,190			862,591			487,322
UNDERWRITING INCOME (LOSS)		71,351			140,530			97,237			215,502			(186,427	)		199,528
OTHER OPERATING REVENUE (EXPENSES)
Net investment income (loss)		134,788			112,220			99,292			(26,012	)		50,583			118,908
Net realized gains (losses) on investments		(253,365	)		(23,678	)		(40,597	)		(33,425	)		(89,079	)		(1,192	)
Interest expense and financing costs		(7,977	)		(7,971	)		(7,921	)		(7,884	)		(7,941	)		(13,929	)
Total other operating revenue (expenses)		(126,554	)		80,571			50,774			(67,321	)		(46,437	)		103,787
OTHER (EXPENSES) REVENUE
Net foreign exchange (losses) gains		(6,784	)		(24,184	)		389			22,347			7,627			7,202
Corporate expenses [a]		(17,605	)		(16,531	)		(17,805	)		(21,896	)		(19,995	)		(20,723	)
Total other (expenses) revenue		(24,389	)		(40,715	)		(17,416	)		451			(12,368	)		(13,521	)
INCOME (LOSS) BEFORE INCOME TAXES		(79,592	)		180,386			130,595			148,632			(245,232	)		289,794
Income tax (expense) recovery		(7,082	)		(12,006	)		(5,697	)		(8,555	)		5,104			(10,677	)
NET INCOME (LOSS)		(86,674	)		168,380			124,898			140,077			(240,128	)		279,117
Preferred share dividends		(9,218	)		(9,219	)		(9,219	)		(9,219	)		(9,218	)		(9,142	)
NET INCOME (LOSS) AVAILABLE TO COMMON SHAREHOLDERS	$	(95,892	)	$	159,161		$	115,679		$	130,858		$	(249,346	)	$	269,975
KEY RATIOS/PER COMMON SHARE DATA
Net loss and loss expense ratio		44.1	%		53.5	%		58.3	%		41.6	%		102.3	%		47.9	%
Acquisition cost ratio		16.1	%		14.6	%		15.3	%		12.7	%		13.1	%		14.6	%
General and administrative expense ratio [a]		13.0	%		12.3	%		13.0	%		13.3	%		12.6	%		11.6	%
Combined ratio		73.2	%		80.4	%		86.6	%		67.6	%		128.0	%		74.1	%
Weighted average basic shares outstanding		137,904			137,849			137,316			136,433			139,335			146,845
Weighted average diluted shares outstanding		137,904			149,861			149,023			149,363			139,335			164,064
Basic earnings per common share	$	(0.70	)	$	1.15		$	0.84		$	0.96		($	1.79	)	$	1.84
Diluted earnings per common share	$	(0.70	)	$	1.06		$	0.78		$	0.88		($	1.79	)	$	1.65
ROACE (annualized)		(8.2	)%		15.2	%		11.6	%		13.0	%		(22.5	)%		25.0	%
Operating ROACE (annualized)		13.0	%		17.4	%		15.7	%		16.2	%		(14.5	)%		25.1	%

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

    

2

AXIS Capital Holdings Limited

CONSOLIDATED STATEMENTS OF INCOME - YTD

	Nine months ended September 30,									Year ended
	2009			2008			2007			December 31, 2008			December 31, 2007
UNDERWRITING REVENUES
Gross premiums written	$	3,013,450		$	2,863,633		$	3,017,225		$	3,390,388		$	3,590,090
Premiums ceded		(554,992	)		(536,226	)		(538,623	)		(723,508	)		(726,333	)
Net premiums written		2,458,458			2,327,407			2,478,602			2,666,880			2,863,757
Gross premiums earned		2,627,778			2,543,101			2,599,395			3,374,076			3,459,816
Ceded premiums amortized		(549,624	)		(514,206	)		(534,305	)		(686,895	)		(725,406	)
Net premiums earned		2,078,154			2,028,895			2,065,090			2,687,181			2,734,410
Other insurance related income (loss)		(159,394	)		(19,073	)		3,638			(38,667	)		3,911
Total underwriting revenues		1,918,760			2,009,822			2,068,728			2,648,514			2,738,321
UNDERWRITING EXPENSES
Net losses and loss expenses		1,077,360			1,438,929			1,079,714			1,712,766			1,370,260
Acquisition costs		318,708			282,593			293,923			366,509			384,497
General and administrative expenses		213,574			197,134			163,746			262,571			245,531
Total underwriting expenses		1,609,642			1,918,656			1,537,383			2,341,846			2,000,288
UNDERWRITING INCOME		309,118			91,166			531,345			306,668			738,033
OTHER OPERATING REVENUE (EXPENSES)
Net investment income		346,300			273,249			357,873			247,237			482,873
Net realized gains (losses) on investments		(317,640	)		(51,842	)		(5,548	)		(85,267	)		5,230
Interest expense		(23,869	)		(23,789	)		(43,241	)		(31,673	)		(51,153	)
Total other operating revenue		4,791			197,618			309,084			130,297			436,950
OTHER REVENUE (EXPENSES)
Net foreign exchange gains (losses)		(30,579	)		21,360			16,477			43,707			16,826
Corporate expenses [a]		(51,941	)		(51,291	)		(47,247	)		(73,187	)		(58,300	)
Total other expenses		(82,520	)		(29,931	)		(30,770	)		(29,480	)		(41,474	)
INCOME BEFORE INCOME TAXES		231,389			258,853			809,659			407,485			1,133,509
Income tax expense		(24,785	)		(11,554	)		(32,943	)		(20,109	)		(41,491	)
NET INCOME		206,604			247,299			776,716			387,376			1,092,018
Preferred share dividends		(27,656	)		(27,656	)		(27,573	)		(36,875	)		(36,775	)
NET INCOME AVAILABLE TO COMMON SHAREHOLDERS	$	178,948		$	219,643		$	749,143		$	350,501		$	1,055,243
KEY RATIOS/PER SHARE DATA
Net loss and loss expense ratio		51.8	%		70.9	%		52.3	%		63.7	%		50.1	%
Acquisition cost ratio		15.4	%		13.9	%		14.2	%		13.6	%		14.1	%
General and administrative expense ratio [a]		12.8	%		12.2	%		10.2	%		12.5	%		11.1	%
Combined ratio		80.0	%		97.0	%		76.7	%		89.8	%		75.3	%
Weighted average basic shares outstanding		137,693			141,628			148,753			140,322			147,524
Weighted average diluted shares outstanding		150,258			157,315			165,458			155,320			164,515
Basic earnings per common share	$	1.30		$	1.55		$	5.04		$	2.50		$	7.15
Diluted earnings per common share	$	1.19		$	1.40		$	4.53		$	2.26		$	6.41
ROACE, net income [b]		5.4	%		6.7	%		23.9	%		8.1	%		24.6	%
Operating ROACE [b]		14.7	%		8.3	%		24.1	%		10.1	%		24.5	%

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

[b] Percentages presented are annualized for the nine months period.

    

3

AXIS Capital Holdings Limited

CONSOLIDATED SEGMENT DATA

	Three months ended September 30, 2009									Nine months ended September 30, 2009
	Insurance			Reinsurance			Total			Insurance			Reinsurance			Total
UNDERWRITING REVENUES
Gross premiums written	$	413,922		$	361,392		$	775,314		$	1,304,844		$	1,708,606		$	3,013,450
Net premiums written		239,781			355,363			595,144			764,932			1,693,526			2,458,458
Gross premiums earned		465,701			432,567			898,268			1,389,541			1,238,237			2,627,778
Ceded premiums amortized		(187,064	)		(5,179	)		(192,243	)		(536,306	)		(13,318	)		(549,624	)
Net premiums earned		278,637			427,388			706,025			853,235			1,224,919			2,078,154
Other insurance related income (loss)		(135,898	)		160			(135,738	)		(160,659	)		1,265			(159,394	)
Total underwriting revenues		142,739			427,548			570,287			692,576			1,226,184			1,918,760
UNDERWRITING EXPENSES
Net losses and loss expenses		111,228			199,881			311,109			451,143			626,217			1,077,360
Acquisition costs		29,613			83,810			113,423			84,122			234,586			318,708
General and administrative expenses		55,685			18,719			74,404			159,059			54,515			213,574
Total underwriting expenses		196,526			302,410			498,936			694,324			915,318			1,609,642
UNDERWRITING INCOME	$	(53,787	)	$	125,138		$	71,351		$	(1,748	)	$	310,866		$	309,118
KEY RATIOS
Net loss and loss expense ratio		39.9	%		46.8	%		44.1	%		52.9	%		51.1	%		51.8	%
Acquisition cost ratio		10.6	%		19.6	%		16.1	%		9.9	%		19.2	%		15.4	%
General and administrative expense ratio		20.0	%		4.4	%		10.5	%		18.6	%		4.4	%		10.3	%
Corporate expense ratio								2.5	%								2.5	%
Combined ratio		70.5	%		70.8	%		73.2	%		81.4	%		74.7	%		80.0	%

    

4

AXIS Capital Holdings Limited

GROSS PREMIUM WRITTEN BY SEGMENT BY LINE OF BUSINESS

																Nine months ended September 30,
	Q3 2009			Q2 2009			Q1 2009		Q4 2008			Q3 2008		Q3 2007		2009		2008
INSURANCE SEGMENT
Property	$	147,117		$	176,421		$	106,138	$	99,413		$	137,417	$	147,033	$	429,676	$	439,725
Marine		45,765			61,858			60,626		22,625			41,121		49,971		168,249		170,609
Terrorism		7,861			10,165			5,667		6,215			7,112		11,672		23,693		30,073
Aviation		11,098			7,176			17,067		29,825			11,735		14,518		35,341		37,936
Credit and political risk		(3,902	)		4,222			2,491		38,012			24,817		71,442		2,811		145,029
Professional lines		155,382			211,417			120,328		180,945			137,553		123,824		487,127		420,929
Liability		50,601			55,505			51,812		71,467			42,833		53,158		157,918		145,162
Other		—			—			29		439			84		9,111		29		3,530
TOTAL INSURANCE SEGMENT		413,922			526,764			364,158		448,941			402,672		480,729		1,304,844		1,392,993
REINSURANCE SEGMENT
Catastrophe		87,700			132,071			237,347		9,298			115,216		76,044		457,118		445,470
Property		78,196			110,083			126,457		3,599			64,683		55,965		314,736		292,507
Professional lines		84,903			70,420			113,640		52,208			55,378		54,645		268,963		174,560
Credit and bond		18,369			(1,632	)		197,271		5,610			5,083		6,705		214,008		148,887
Motor		7,655			23,771			77,704		1,933			7,202		5,886		109,130		99,559
Liability		78,896			29,991			153,724		(3,112	)		54,659		59,014		262,611		185,333
Engineering		5,979			8,839			41,266		4,856			17,381		13,578		56,084		78,500
Other		(306	)		14,334			11,928		3,422			3,009		2,658		25,956		45,824
TOTAL REINSURANCE SEGMENT		361,392			387,877			959,337		77,814			322,611		274,495		1,708,606		1,470,640
CONSOLIDATED TOTAL	$	775,314		$	914,641		$	1,323,495	$	526,755		$	725,283	$	755,224	$	3,013,450	$	2,863,633

    

5

AXIS Capital Holdings Limited

INSURANCE SEGMENT DATA - QUARTERLY

	Q3 2009			Q2 2009			Q1 2009			Q4 2008			Q3 2008			Q3 2007
UNDERWRITING REVENUES
Gross premiums written	$	413,922		$	526,764		$	364,158		$	448,941		$	402,672		$	480,729
Net premiums written		239,781			313,136			212,015			260,934			235,666			315,605
Gross premiums earned		465,701			478,299			445,541			461,931			461,871			483,046
Ceded premiums amortized		(187,064	)		(179,324	)		(169,918	)		(169,346	)		(168,299	)		(181,121	)
Net premiums earned		278,637			298,975			275,623			292,585			293,572			301,925
Other insurance related (loss) income		(135,898	)		(14,956	)		(9,805	)		(19,789	)		(13,751	)		610
Total underwriting revenues		142,739			284,019			265,818			272,796			279,821			302,535
UNDERWRITING EXPENSES
Net losses and loss expenses		111,228			187,211			152,704			109,945			230,577			113,092
Acquisition costs		29,613			28,306			26,203			17,677			21,964			34,721
General and administrative expenses		55,685			52,893			50,481			48,560			49,361			43,262
Total underwriting expenses		196,526			268,410			229,388			176,182			301,902			191,075
UNDERWRITING INCOME (LOSS)	$	(53,787	)	$	15,609		$	36,430		$	96,614		$	(22,081	)	$	111,460
KEY RATIOS
Net loss and loss expense ratio		39.9	%		62.6	%		55.4	%		37.6	%		78.5	%		37.5	%
Acquisition cost ratio		10.6	%		9.5	%		9.5	%		6.0	%		7.5	%		11.5	%
General and administrative expense ratio		20.0	%		17.7	%		18.3	%		16.6	%		16.8	%		14.3	%
Combined ratio		70.5	%		89.8	%		83.2	%		60.2	%		102.8	%		63.3	%

    

6

AXIS Capital Holdings Limited

REINSURANCE SEGMENT DATA - QUARTERLY

	Q3 2009			Q2 2009			Q1 2009			Q4 2008			Q3 2008			Q3 2007
UNDERWRITING REVENUES
Gross premiums written	$	361,392		$	387,877		$	959,337		$	77,814		$	322,611		$	274,495
Net premiums written		355,363			387,877			950,286			78,539			315,750			268,297
Gross premiums earned		432,567			411,895			393,775			369,044			400,467			387,706
Ceded premiums amortized		(5,179	)		(4,100	)		(4,039	)		(3,343	)		(4,069	)		(3,786	)
Net premiums earned		427,388			407,795			389,736			365,701			396,398			383,920
Other insurance related income (loss)		160			695			410			195			(55	)		395
Total underwriting revenues		427,548			408,490			390,146			365,896			396,343			384,315
UNDERWRITING EXPENSES
Net losses and loss expenses		199,881			191,041			235,295			163,892			474,954			215,101
Acquisition costs		83,810			75,003			75,773			66,239			68,369			65,318
General and administrative expenses		18,719			17,525			18,271			16,877			17,366			15,828
Total underwriting expenses		302,410			283,569			329,339			247,008			560,689			296,247
UNDERWRITING INCOME (LOSS)	$	125,138		$	124,921		$	60,807		$	118,888		$	(164,346	)	$	88,068
KEY RATIOS
Net loss and loss expense ratio		46.8	%		46.8	%		60.4	%		44.8	%		119.8	%		56.0	%
Acquisition cost ratio		19.6	%		18.4	%		19.4	%		18.1	%		17.2	%		17.0	%
General and administrative expense ratio		4.4	%		4.3	%		4.7	%		4.6	%		4.4	%		4.1	%
Combined ratio		70.8	%		69.5	%		84.5	%		67.5	%		141.4	%		77.1	%

    

7

AXIS Capital Holdings Limited

CONSOLIDATED BALANCE SHEETS

	Sep 30, 2009			Jun 30, 2009			Mar 31, 2009			Dec 31, 2008			Sep 30, 2008			Sep 30, 2007
ASSETS
Investments:
Fixed maturities, available for sale, at fair value	$	9,682,932		$	8,872,839		$	8,238,175		$	7,750,654		$	8,336,337			7,643,789
Equities, available for sale, at fair value		137,544			96,875			78,527			107,283			129,220			12,054
Other investments, at fair value		541,447			539,545			494,405			492,082			636,304			603,651
Short term investments		282,737			165,197			225,583			261,879			113,283			167,790
Total investments		10,644,660			9,674,456			9,036,690			8,611,898			9,215,144			8,427,284
Cash and cash equivalents		1,239,471			1,380,863			1,411,551			1,820,673			1,419,610			1,830,852
Accrued interest receivable		82,169			87,361			80,746			79,232			74,693			76,257
Insurance and reinsurance premium balances receivable		1,497,639			1,707,677			1,581,743			1,185,785			1,412,445			1,385,486
Reinsurance recoverable balances		1,369,824			1,381,076			1,375,143			1,304,551			1,410,554			1,247,720
Reinsurance recoverable balances on paid losses		36,625			62,764			57,507			74,079			62,617			97,047
Deferred acquisition costs		363,739			374,849			375,774			273,096			333,002			331,290
Prepaid reinsurance premiums		284,922			296,994			266,789			279,553			264,960			246,027
Securities lending collateral		135,122			146,350			312,364			412,823			731,661			861,280
Goodwill and intangible assets		93,049			95,058			95,380			60,417			60,726			61,967
Other assets		172,248			171,437			183,679			180,727			190,042			146,694
TOTAL ASSETS	$	15,919,468		$	15,378,885		$	14,777,366		$	14,282,834		$	15,175,454		$	14,711,904
LIABILITIES
Reserve for losses and loss expenses	$	6,579,914		$	6,561,894		$	6,392,278		$	6,244,783		$	6,406,204		$	5,531,379
Unearned premiums		2,548,072			2,671,025			2,646,578			2,162,401			2,466,622			2,433,339
Insurance and reinsurance balances payable		170,664			178,372			154,763			202,145			223,963			255,922
Securities lending payable		138,092			149,288			317,310			415,197			730,412			858,546
Senior notes		499,449			499,422			499,395			499,368			499,342			499,234
Other liabilities		426,068			253,198			222,832			233,082			183,385			140,869
Net payable for investments purchased		159,102			156,567			51,373			64,817			64,336			49,023
TOTAL LIABILITIES		10,521,361			10,469,766			10,284,529			9,821,793			10,574,264			9,768,312
SHAREHOLDERS’ EQUITY
Series A and B preferred shares		500,000			500,000			500,000			500,000			500,000			500,000
Common shares		1,901			1,900			1,899			1,878			1,878			1,849
Additional paid-in capital		2,003,417			1,989,503			1,977,144			1,962,779			1,943,125			1,859,067
Accumulated other comprehensive (loss)		74,974			(528,261	)		(767,182	)		(706,499	)		(495,697	)		(28,444	)
Retained earnings		3,319,467			3,447,511			3,282,392			3,198,492			3,097,487			2,690,742
Treasury shares, at cost		(501,652	)		(501,534	)		(501,416	)		(495,609	)		(445,603	)		(79,622	)
TOTAL SHAREHOLDERS’ EQUITY		5,398,107			4,909,119			4,492,837			4,461,041			4,601,190			4,943,592
TOTAL LIABILITIES AND SHAREHOLDERS’ EQUITY	$	15,919,468		$	15,378,885		$	14,777,366		$	14,282,834		$	15,175,454		$	14,711,904
Book value per common share	$	35.54		$	32.02		$	29.01		$	29.08		$	29.72		$	30.50
Diluted book value per common share	$	31.58		$	28.72		$	26.35		$	25.79		$	26.25		$	26.93
Debt (Senior notes) to total capitalization [a]		8.5	%		9.2	%		10.0	%		10.1	%		9.8	%		9.2	%
Debt plus preferred shares to total capitalization		16.9	%		18.5	%		20.0	%		20.1	%		19.6	%		18.4	%

[a] The debt to capitalization ratio is calculated by dividing our senior notes by the total capital. Total capital represents the sum of total shareholders’ equity and our senior notes.

    

8

AXIS Capital Holdings Limited

INVESTMENT PORTFOLIO

At September 30, 2009

	Cost or Amortized Cost		Unrealized Gains		Unrealized Losses			Fair Value		Percentage
TYPE OF INVESTMENT
U.S. government and agency	$	1,917,915	$	22,324	$	(3,773	)	$	1,936,466	16	%
Non U.S. government		516,781		18,078		(648	)		534,211	5	%
Corporate debt		3,358,709		118,787		(35,571	)		3,441,925	29	%
Agency MBS [a], [b]		1,708,210		51,004		(488	)		1,758,726	15	%
Non-Agency CMBS [a]		778,967		10,165		(52,253	)		736,879	6	%
Non-Agency RMBS [a]		265,391		250		(39,393	)		226,248	2	%
ABS [a]		407,005		7,253		(28,741	)		385,517	3	%
Municipals		635,482		30,691		(3,213	)		662,960	6	%
Total Fixed Maturities		9,588,460		258,552		(164,080	)		9,682,932	82	%
Total Equities		129,055		16,522		(8,033	)		137,544	1	%
Total Short-term investments		282,737		—		—			282,737	2	%
Cash, net of unsettled trades		218,979		—		—			218,979	2	%
Total Invested Assets		10,219,231		275,074		(172,113	)		10,322,192	87	%
Operating Cash Balances		861,390		—		—			861,390	7	%
	$	11,080,621	$	275,074	$	(172,113	)		11,183,582	94	%
Other Investments									541,447	5	%
Accrued interest receivable									82,169	1	%
Total Cash and Investments								$	11,807,198	100	%
								Fair Value		Percentage
OTHER INVESTMENTS
Hedge funds								$	321,820	60	%
Collateralized loan obligations - equity tranches									66,953	12	%
Credit funds									104,029	19	%
Short duration high yield fund									48,645	9	%
Total								$	541,447	100	%

[a] For a further breakdown of our mortgage-backed (“MBS”) and asset-backed securities (“ABS”), refer to page 11.

[b] Agency mortgage-backed securities include both agency RMBS and agency CMBS.

    

9

AXIS Capital Holdings Limited

INVESTMENT PORTFOLIO COMPOSITION - QUARTERLY

	Q3 2009		Q2 2009		Q1 2009		Q4 2008		Q3 2008		Q3 2007
	Fair Value %		Fair Value %		Fair Value %		Fair Value %		Fair Value %		Fair Value %
TYPE OF INVESTMENT
U.S. government and agency	16.4	%	16.2	%	13.6	%	11.5	%	11.7	%	11.5	%
Non U.S. government	4.5	%	2.8	%	2.4	%	2.5	%	2.4	%	1.6	%
Corporate debt	29.2	%	24.4	%	21.7	%	19.7	%	19.3	%	16.2	%
MBS	23.1	%	29.4	%	33.5	%	33.3	%	33.1	%	31.3	%
ABS	3.3	%	2.8	%	3.4	%	3.6	%	3.8	%	5.5	%
Municipals	5.6	%	5.2	%	3.9	%	3.5	%	7.5	%	7.8	%
Mortgage derivatives	—		—		—		—		—		0.5	%
Total Fixed Maturities	82.1	%	80.8	%	78.5	%	74.1	%	77.8	%	74.4	%
Equities	1.2	%	0.9	%	0.7	%	1.1	%	1.2	%	—
Short-term investments	2.0	%	1.5	%	2.3	%	2.6	%	1.1	%	1.6	%
Cash, net of unsettled trades	1.9	%	2.9	%	3.0	%	6.3	%	3.6	%	4.9	%
Total Invested Assets	87.2	%	86.1	%	84.5	%	84.1	%	83.7	%	80.9	%
Operating Cash Balances	7.3	%	8.2	%	10.0	%	10.3	%	9.7	%	12.4	%
	94.5	%	94.3	%	94.5	%	94.4	%	93.4	%	93.3	%
Other Investments	4.6	%	4.9	%	4.7	%	4.7	%	5.9	%	6.0	%
Accrued interest receivable	0.9	%	0.8	%	0.8	%	0.9	%	0.7	%	0.7	%
Total Cash and Investments	100.0	%	100.0	%	100.0	%	100.0	%	100.0	%	100.0	%
	Fair Value %		Fair Value %		Fair Value %		Fair Value %		Fair Value %		Fair Value %
CREDIT QUALITY OF FIXED MATURITIES
AAA	61.9	%	68.3	%	72.3	%	73.3	%	70.5	%	71.4	%
AA	9.0	%	8.0	%	7.6	%	6.3	%	8.7	%	7.7	%
A	17.3	%	14.2	%	11.8	%	12.3	%	12.3	%	11.3	%
BBB	10.5	%	8.5	%	6.7	%	7.8	%	8.1	%	9.6	%
Below BBB	1.3	%	1.0	%	1.6	%	0.3	%	0.4	%	—
Total	100.0	%	100.0	%	100.0	%	100.0	%	100.0	%	100.0	%
	Fair Value %		Fair Value %		Fair Value %		Fair Value %		Fair Value %		Fair Value %
MATURITY PROFILE OF FIXED MATURITIES
Within one year	5.8	%	4.8	%	4.9	%	7.6	%	7.5	%	5.9	%
From one to five years	41.9	%	34.9	%	32.8	%	31.4	%	27.6	%	27.1	%
From five to ten years	16.9	%	17.5	%	12.5	%	10.0	%	10.5	%	10.0	%
Above ten years	3.3	%	2.9	%	2.9	%	2.9	%	7.6	%	7.9	%
Asset-backed and mortgage-backed securities	32.1	%	39.9	%	46.9	%	48.1	%	46.8	%	49.1	%
Total	100.0	%	100.0	%	100.0	%	100.0	%	100.0	%	100.0	%
	As of or for the quarter ended
	Q3 2009		Q2 2009		Q1 2009		Q4 2008		Q3 2008		Q3 2007
PORTFOLIO CHARACTERISTICS OF FIXED MATURITIES
Annualized pre-tax yield of fixed maturities	4.1	%	4.4	%	4.2	%	5.0	%	4.9	%	5.0	%
Yield to maturity of invested assets	3.4	%	4.2	%	4.6	%	5.0	%	5.7	%	5.6	%
Average duration of invested assets	2.8 yrs		3.1yrs		2.4yrs		2.5 yrs		2.9 yrs		3.2 yrs
Average credit quality of invested assets	AA+		AA+		AA+		AA+		AA+		AA+

    

10

AXIS Capital Holdings Limited

MORTGAGE AND ASSET BACKED SECURITIES

At September 30, 2009

	Mortgage-Backed Securities By Rating and Class
	Agency [a]				AAA				AA or lower				Total
	Residential		Commercial		Residential		Commercial		Residential		Commercial		Residential		Commercial		Total
Agency
Agency Pass-Throughs	$	1,606,410	$	—	$	—	$	—	$	—	$	—	$	1,606,410	$	—	$	1,606,410
Agency CMO’s		111,496		9,665		—		—		—		—		111,496		9,665		121,161
Agency Floating Rate MBS		31,155		—		—		—		—		—		31,155		—		31,155
Total Agency		1,749,061		9,665		—		—		—		—		1,749,061		9,665		1,758,726
Non-Agency
Non-Agency CMO’s		—		—		109,847		635,145		74,914		100,721		184,761		735,866		920,627
Non-Agency Floating Rate MBS		—		—		24,778		1,013		16,709		—		41,487		1,013		42,500
Total Non Agency		—		—		134,625		636,158		91,623		100,721		226,248		736,879		963,127
Total	$	1,749,061	$	9,665	$	134,625	$	636,158	$	91,623	$	100,721	$	1,975,309	$	746,544	$	2,721,853
	Asset-Backed Securities By Rating
	AAA		AA or lower		Total
Description
Auto	$	180,449	$	3,965	$	184,414
CLO [b]		—		42,535		42,535
CDO		4,253		1,881		6,134
Credit Card		55,671		—		55,671
Equipment		—		150		150
Home Equity		9,670		6,595		16,265
Other		79,576		772		80,348
Total	$	329,619	$	55,898	$	385,517

[a] These represent securities backed by U.S Government sponsored agencies.

[b] Collateralized loan obligation - debt tranche securities.

    

11

AXIS Capital Holdings Limited

SUBPRIME AND ALTERNATIVE-A HOLDINGS IN DIRECT INVESTMENT PORTFOLIO

At September 30, 2009

	SUBPRIME AND ALTERNATIVE-A HOLDINGS BY SECTOR
	Holdings at Fair Value		% of Total Shareholders’ Equity		Net Unrealized Gain / (Loss)			Realized losses and impairments in 2009
Subprime Agency MBS	$	—	0.00	%	$	—		$	—
Subprime Non-Agency MBS		3,195	0.05	%		(1,207	)		—
Subprime ABS		15,665	0.26	%		(6,685	)		(8,007	)
Total Subprime	$	18,860	0.31	%	$	(7,892	)	$	(8,007	)
Alternative-A Agency MBS	$	449	0.01	%	$	(1	)	$	—
Alternative-A Non-Agency MBS		68,080	1.15	%		(17,613	)		(2,918	)
Alternative-A ABS		600	0.01	%		(293	)		(925	)
Total Alternative-A	$	69,129	1.17	%	$	(17,907	)	$	(3,843	)
TOTAL Subprime and Alternative-A	$	87,989	1.48	%	$	(25,799	)	$	(11,850	)

	SUBPRIME AND ALTERNATIVE-A HOLDINGS AT FAIR VALUE BY RATING & VINTAGE
	Agency			AAA			AA or lower			Total			Percentage of total
Sub-prime 2003 and prior	$	—		$	1,989		$	172		$	2,161		11.5	%
Sub-prime 2004		—			4,154			—			4,154		22.0	%
Sub-prime 2005		—			5,768			702			6,470		34.3	%
Sub-prime 2006		—			94			5,480			5,574		29.6	%
Sub-prime 2007		—			103			398			501		2.7	%
Total Subprime	$	—		$	12,108		$	6,752		$	18,860		100.0	%
Rating as Percentage of Total		0.0	%		64.2	%		35.8	%		100.0	%
Alternative-A 2003 and prior	$	—		$	4,665		$	2,792		$	7,457		10.8	%
Alternative-A 2004		449			14,958			109			15,516		22.4	%
Alternative-A 2005		—			8,926			28,794			37,720		54.6	%
Alternative-A 2006		—			—			4,139			4,139		6.0	%
Alternative-A 2007		—			3,450			847			4,297		6.2	%
Total Alternative A	$	449		$	31,999		$	36,681		$	69,129		100.0	%
Rating as Percentage of Total		0.6	%		46.3	%		53.1	%		100.0	%
Subprime and Alternative-A 2003 and prior	$	—		$	6,654		$	2,964		$	9,618		10.9	%
Subprime and Alternative-A 2004		449			19,112			109			19,670		22.4	%
Subprime and Alternative-A 2005		—			14,694			29,496			44,190		50.2	%
Subprime and Alternative-A 2006		—			94			9,619			9,713		11.0	%
Subprime and Alternative-A 2007		—			3,553			1,245			4,798		5.5	%
TOTAL Subprime and Alternative-A	$	449		$	44,107		$	43,433		$	87,989		100.0	%
Rating as Percentage of Total		0.5	%		50.1	%		49.4	%		100.0	%

    

12

AXIS Capital Holdings Limited

INVESTMENT PORTFOLIO

TEN LARGEST CORPORATE HOLDINGS IN FIXED MATURITY PORTFOLIO

At September 30, 2009

ISSUER (1)	Amortized Cost (2)		Unrealized Gain/(Loss)		Fair Value		% of Total Fixed Maturities
GENERAL ELECTRIC CO (3)	$	207,808	$	3,822	$	211,630	2.2	%
BANK OF AMERICA CORP		138,477		1,818		140,295	1.4	%
CITIGROUP INC		135,417		1,488		136,905	1.4	%
JP MORGAN CHASE CO		127,061		8,749		135,810	1.4	%
VERIZON COMMUNICATIONS INC		113,582		7,281		120,863	1.2	%
GOLDMAN SACHS GROUP		106,956		3,984		110,940	1.1	%
MORGAN STANLEY		105,971		3,467		109,438	1.1	%
WELLS FARGO & COMPANY		91,663		1,823		93,486	1.0	%
HSBC HOLDINGS PLC		64,903		657		65,560	0.7	%
CREDIT SUISSE GROUP		56,152		1,660		57,812	0.6	%

Notes:

1. The holdings represent direct investments in fixed maturities of the parent issuer and its major subsidiaries. These investments exclude asset and mortgage backed securities that were issued, sponsored or serviced by the parent.

2. Includes issuances guaranteed by the Federal Deposit Insurance Corporation (“FDIC”).

3. Our investment in General Electric Co. is primarily related to issuances from its finance subsidiaries.

    

13

AXIS Capital Holdings Limited

INVESTMENT PORTFOLIO

TEN LARGEST FINANCIAL ISSUER HOLDINGS IN FIXED MATURITY PORTFOLIO

At September 30, 2009

ISSUER (1)	Amortized Cost (2)		Unrealized Gain/(Loss)		Fair Value		% of Total Fixed Maturities
GENERAL ELECTRIC CO (3)	$	207,808	$	3,822	$	211,630	2.2	%
BANK OF AMERICA CORP		138,477		1,818		140,295	1.4	%
CITIGROUP INC		135,417		1,488		136,905	1.4	%
JP MORGAN CHASE CO		127,061		8,749		135,810	1.4	%
GOLDMAN SACHS GROUP		106,956		3,984		110,940	1.1	%
MORGAN STANLEY		105,971		3,467		109,438	1.1	%
WELLS FARGO & COMPANY		91,663		1,823		93,486	1.0	%
HSBC HOLDINGS PLC		64,903		657		65,560	0.7	%
CREDIT SUISSE GROUP		56,152		1,660		57,812	0.6	%
AMERICAN EXPRESS COMPANY		33,831		1,572		35,403	0.4	%

Notes:

1. The holdings represent direct investments in fixed maturities of the parent issuer and its major subsidiaries. These investments exclude asset and mortgage backed securities that were issued, sponsored or serviced by the parent.

2. Includes issuances guaranteed by the Federal Deposit Insurance Corporation (“FDIC”).

3. Our investment in General Electric Co. is primarily related to issuances from its finance subsidiaries.

    

14

AXIS Capital Holdings Limited

INVESTMENT PORTFOLIO

TEN LARGEST FINANCIAL ISSUER HOLDINGS IN FIXED MATURITY PORTFOLIO

At September 30, 2009

	Estimated Fair Value
ISSUER (1)	Government Guaranteed (2)		Not Government Guaranteed		Total		% of Total Fixed Maturities
GENERAL ELECTRIC CO (3)	$	105,095	$	106,535	$	211,630	2.2	%
BANK OF AMERICA CORP		15,751		124,544		140,295	1.4	%
CITIGROUP INC		56,207		80,698		136,905	1.4	%
JP MORGAN CHASE CO		10,216		125,594		135,810	1.4	%
GOLDMAN SACHS GROUP		26,170		84,770		110,940	1.1	%
MORGAN STANLEY		18,218		91,221		109,439	1.1	%
WELLS FARGO & COMPANY		5,393		88,093		93,486	1.0	%
HSBC HOLDINGS PLC		4,784		60,776		65,560	0.7	%
CREDIT SUISSE GROUP		—		57,812		57,812	0.6	%
AMERICAN EXPRESS COMPANY		—		35,403		35,403	0.4	%

Notes:

1. The holdings represent direct investments in fixed maturities of the parent issuer and its major subsidiaries. These investments exclude asset and mortgage backed securities that were issued, sponsored or serviced by the parent.

2. Corporate issuances guaranteed by the Federal Deposit Insurance Corporation (“FDIC”).

3. Our investment in General Electric Co. is primarily related to issuances from its finance subsidiaries.

    

15

AXIS Capital Holdings Limited

RECONCILIATION OF NET REALIZED AND UNREALIZED INVESTMENTS GAINS (LOSSES)

	Quarter ended September 30, 2009									Nine months ended September 30, 2009
	Net Realized Gains (Losses)			Net Unrealized Gains (Losses)			Net Impact			Net Realized Gains (Losses)			Net Unrealized Gains (Losses)			Net Impact
Fixed maturities and short-term investments	$	26,136		$	601,933		$	628,069		$	27,035		$	753,574		$	780,609
Equity securities		1,593			30,959			32,552			(13,331	)		65,536			52,205
Other than temporary impairments		(279,338	)		—			(279,338	)		(330,691	)		—			(330,691	)
Sub-total		(251,609	)		632,892			381,283			(316,987	)		819,110			502,123
Change in fair value of derivative instruments		(21,494	)		—			(21,494	)		(27,133	)		—			(27,133	)
Change in fair value of hedged AFS instruments [1]		19,738			(19,738	)		—			26,480			(26,480	)		—
Total (losses) gains		(253,365	)		613,154			359,789			(317,640	)		792,630			474,990
Income tax (recovery) expense		(5,915	)		11,829			5,914			(6,585	)		11,400			4,815
Net (losses) gains	$	(247,450	)	$	601,325		$	353,875		$	(311,055	)	$	781,230		$	470,175
	Quarter ended September 30, 2008									Nine months ended September 30, 2008
	Net Realized Gains (Losses)			Net Unrealized Gains (Losses)			Net Impact			Net Realized Gains (Losses)			Net Unrealized Gains (Losses)			Net Impact
Fixed maturities and short-term investments	$	21,782		$	(331,593	)	$	(309,811	)	$	75,318		$	(493,476	)	$	(418,158	)
Equity securities		(63,073	)		(14,886	)		(77,959	)		(62,881	)		(32,429	)		(95,310	)
Other than temporary impairments		(49,663	)		—			(49,663	)		(65,804	)		—			(65,804	)
Sub-total		(90,954	)		(346,479	)		(437,433	)		(53,367	)		(525,905	)		(579,272	)
Change in fair value of derivative instruments		1,875			—			1,875			1,525			—			1,525
Total gains (losses)		(89,079	)		(346,479	)		(435,558	)		(51,842	)		(525,905	)		(577,747	)
Income tax (recovery) expense		(556	)		(940	)		(1,496	)		1,623			(5,853	)		(4,230	)
Net gains (losses)	$	(88,523	)	$	(345,539	)	$	(434,062	)		(53,465	)		(520,052	)		(573,517	)

[1] The fair value hedge represents currency derivatives used to hedge the fair value of certain foreign denominated investments attributable to changes in foreign currency exchange rates. Changes in the fair value of the currency derivatives along with the changes in the fair value of the hedged investments are recorded in net realized investment gains (losses).

    

16

AXIS Capital Holdings Limited

REINSURANCE RECOVERABLE ANALYSIS

	Q3 2009			Q2 2009			Q1 2009			Q4 2008			Q3 2008			Q3 2007
Reinsurance recoverable on paid losses and loss expenses:
Insurance	$	31,630		$	57,769		$	52,512		$	69,084		$	57,622		$	82,795
Reinsurance		4,995			4,995			4,995			4,995			4,995			14,252
Total	$	36,625		$	62,764		$	57,507		$	74,079		$	62,617		$	97,047
Reinsurance recoverable on unpaid losses and loss expenses: OSLR
Insurance	$	388,803		$	397,627		$	425,115		$	417,370		$	492,024		$	414,777
Reinsurance		—			—			—			—			—			—
Total	$	388,803		$	397,627		$	425,115		$	417,370		$	492,024		$	414,777
Reinsurance recoverable on unpaid losses and loss expenses: IBNR
Insurance	$	970,655		$	974,138		$	939,382		$	877,588		$	922,329		$	842,797
Reinsurance		32,799			31,745			31,079			30,026			30,405			24,144
Total	$	1,003,454		$	1,005,883		$	970,461		$	907,614		$	952,734		$	866,941
Provision against reinsurance recoverables:
Insurance	$	(15,623	)	$	(15,624	)	$	(13,623	)	$	(13,623	)	$	(27,394	)	$	(19,944	)
Reinsurance		(6,810	)		(6,810	)		(6,810	)		(6,810	)		(6,810	)		(14,054	)
Total	$	(22,433	)	$	(22,434	)	$	(20,433	)	$	(20,433	)	$	(34,204	)	$	(33,998	)
Net reinsurance recoverables:
Insurance	$	1,375,465		$	1,413,910		$	1,403,386		$	1,350,419		$	1,444,581		$	1,320,425
Reinsurance		30,984			29,930			29,264			28,211			28,590			24,342
Total	$	1,406,449		$	1,443,840		$	1,432,650		$	1,378,630		$	1,473,171		$	1,344,767

    

17

AXIS Capital Holdings Limited

REINSURANCE RECOVERABLE ANALYSIS

Consolidated Reinsurance Recoverable			September 30, 2009
Categories	Gross Recoverable		Collateral			Gross Recoverable Net of Collateral		% of Total Gross Recoverable Net of Collateral		% of Total Shareholders’ Equity		Provision against Reinsurance Recoverables			Provision against Reinsurance Recoverable as % of Gross Recoverable		Net Recoverable
Top 10 reinsurers based on gross recoverables	$	991,799	$	(35,465	)	$	956,334	72.3	%	17.7	%	$	(2,076	)	0.2	%	$	989,723
Other reinsurers balances > $20 million		131,008		(4,209	)		126,799	9.6	%	2.3	%		(2,000	)	1.5	%		129,008
Other reinsurers balances < $20 million		306,075		(66,976	)		239,099	18.1	%	4.4	%		(18,357	)	6.0	%		287,718
Total	$	1,428,882	$	(106,650	)	$	1,322,232	100.0	%	24.4	%	$	(22,433	)	1.6	%	$	1,406,449

At September 30, 2009, 97.4% (December 31, 2008: 97.1%) of our gross recoverables were collectible from reinsurers rated the equivalent of A- or better by internationally recognised rating agencies.

Top 10 Reinsurers (net of collateral)	% of Total Gross Recoverable Net of Collateral		% of Total Shareholders’ Equity
Partner Reinsurance Co of US	13.7	%	3.4	%
Swiss Reinsurance America Corporation	13.4	%	3.3	%
Transatlantic Reinsurance Co.	13.4	%	3.3	%
XL Reinsurance America Inc	7.5	%	1.8	%
Berkley Insurance Company	6.3	%	1.5	%
Lloyds of London	5.9	%	1.4	%
Ace Property & Casualty Ins	5.4	%	1.3	%
Federal Insurance Company	2.8	%	0.7	%
Munich Re America, Inc	2.5	%	0.6	%
Liberty Mutual Insurance Co.	2.1	%	0.5	%
	73.0	%	17.8	%

    

18

AXIS Capital Holdings Limited

RESERVE FOR LOSSES AND LOSS EXPENSES: PAID TO INCURRED ANALYSIS

	Quarter ended September 30, 2009									Nine months ended September 30, 2009
Reserve for losses and loss expenses	Gross			Recoveries			Net			Gross			Recoveries			Net
Beginning of period	$	6,561,894		$	(1,443,840	)	$	5,118,054		$	6,244,783		$	(1,378,630	)	$	4,866,153
Incurred		359,504			(48,395	)		311,109			1,300,597			(223,237	)		1,077,360
Paid		(376,764	)		85,805			(290,959	)		(1,056,742	)		198,879			(857,863	)
Foreign exchange (gains) losses		35,280			(19	)		35,261			91,276			(3,461	)		87,815
End of period [a]	$	6,579,914		$	(1,406,449	)	$	5,173,465		$	6,579,914		$	(1,406,449	)	$	5,173,465

[a] As at September 30, 2009, the gross reserve for losses and loss expenses included IBNR of $4,579 million, or 70%, of total gross reserves for loss and loss expenses. As at December 31, 2008, the comparable amount was $4,190 million, or 67%.

    

19

AXIS Capital Holdings Limited

RESERVE FOR LOSSES AND LOSS EXPENSES: PAID TO INCURRED ANALYSIS BY SEGMENT

	Quarter ended September 30, 2009									Nine months ended September 30, 2009
	Insurance			Reinsurance			Total			Insurance			Reinsurance			Total
Gross losses paid	$	244,472		$	132,292		$	376,764		$	669,734		$	387,007		$	1,056,741
Reinsurance recoveries received		(85,805	)		—			(85,805	)		(198,879	)		—			(198,879	)
Net losses paid		158,667			132,292			290,959			470,855			387,007			857,862
Change in:
Reported case reserves		(97,814	)		56,294			(41,520	)		(166,948	)		77,482			(89,466	)
IBNR		11,911			12,349			24,260			168,821			164,501			333,322
Reinsurance recoveries on paid and unpaid loss and loss expense reserves		38,464			(1,054	)		37,410			(21,585	)		(2,773	)		(24,358	)
TOTAL NET INCURRED LOSSES AND LOSS EXPENSES	$	111,228		$	199,881		$	311,109		$	451,143		$	626,217		$	1,077,360
Gross reserve for losses and loss expenses	$	3,572,266		$	3,007,648		$	6,579,914		$	3,572,266		$	3,007,648		$	6,579,914
Prior years net favorable reserve development	$	55,401		$	66,698		$	122,099		$	138,167		$	165,008		$	303,175
Key Ratios
Net paid to net incurred percentage		142.7	%		66.2	%		93.5	%		104.4	%		61.8	%		79.6	%
Net paid losses / Net premiums earned		56.9	%		31.0	%		41.2	%		55.2	%		31.6	%		41.3	%
Change in net loss and loss expense reserves / Net premiums earned		(17.0	)%		15.8	%		2.9	%		(2.3	)%		19.5	%		10.5	%
Net loss and loss expense ratio		39.9	%		46.8	%		44.1	%		52.9	%		51.1	%		51.8	%

    

20

AXIS Capital Holdings Limited

RESERVE FOR LOSSES AND LOSS EXPENSES: PAID TO INCURRED ANALYSIS

INSURANCE - QUARTERLY

	Quarter ended
	Q3 2009			Q2 2009			Q1 2009			Q4 2008			Q3 2008			Q3 2007
Gross losses paid	$	244,472		$	226,204		$	199,058		$	270,708		$	148,243		$	126,883
Reinsurance recoveries received		(85,805	)		(59,917	)		(53,156	)		(125,765	)		(54,077	)		(48,874	)
Net losses paid		158,667			166,287			145,902			144,943			94,166			78,009
Change in:
Reported case reserves		(97,814	)		(38,506	)		(30,628	)		32,149			34,509			1,976
IBNR		11,911			65,060			91,850			(159,195	)		158,606			39,379
Reinsurance recoveries on paid and unpaid loss and loss expense reserves		38,464			(5,630	)		(54,420	)		92,048			(56,704	)		(6,272	)
TOTAL NET INCURRED LOSSES AND LOSS EXPENSES	$	111,228		$	187,211		$	152,704		$	109,945		$	230,577		$	113,092
Gross reserve for losses and loss expenses	$	3,572,266		$	3,654,192		$	3,603,197		$	3,547,071		$	3,690,039		$	3,363,368
Prior years net favorable reserve development	$	55,401		$	46,860		$	35,906		$	60,045		$	41,608		$	58,607
Key Ratios
Net paid to net incurred percentage		142.7	%		88.8	%		95.5	%		131.8	%		40.8	%		69.0	%
Net paid losses / Net premiums earned		56.9	%		55.6	%		52.9	%		49.5	%		32.1	%		25.8	%
Change in net loss and loss expense reserves / Net premiums earned		(17.0	)%		7.0	%		2.5	%		(11.9	%)		46.5	%		11.6	%
Net loss and loss expense ratio		39.9	%		62.6	%		55.4	%		37.6	%		78.5	%		37.5	%

    

21

AXIS Capital Holdings Limited

RESERVE FOR LOSSES AND LOSS EXPENSES: PAID TO INCURRED ANALYSIS

REINSURANCE - QUARTERLY

	Quarter ended
	Q3 2009			Q2 2009			Q1 2009			Q4 2008			Q3 2008			Q3 2007
Gross losses paid	$	132,292		$	143,366		$	111,349		$	139,509		$	164,376		$	105,316
Reinsurance recoveries received		—			—			—			—			(7,497	)		(738	)
Net losses paid		132,292			143,366			111,349			139,509			156,879			104,578
Change in:
Reported case reserves		56,294			(17,675	)		38,863			41,589			161,303			49,528
IBNR		12,349			66,016			86,136			(17,585	)		150,324			61,779
Reinsurance recoveries on paid and unpaid loss and loss expense reserves		(1,054	)		(666	)		(1,053	)		379			6,448			(784	)
TOTAL NET INCURRED LOSSES AND LOSS EXPENSES	$	199,881		$	191,041		$	235,295		$	163,892		$	474,954		$	215,101
Gross reserve for losses and loss expenses	$	3,007,648		$	2,907,702		$	2,789,081		$	2,697,712		$	2,716,165		$	2,168,011
Prior years net favorable reserve development	$	66,698		$	49,882		$	48,428		$	65,116		$	34,663		$	23,585
Key Ratios
Net paid to net incurred percentage		66.2	%		75.0	%		47.3	%		85.1	%		33.0	%		48.6	%
Net paid losses / Net premiums earned		31.0	%		35.1	%		28.6	%		38.1	%		39.6	%		27.2	%
Change in net loss and loss expense reserves / Net premiums earned		15.8	%		11.7	%		31.8	%		6.7	%		80.2	%		28.8	%
Net loss and loss expense ratio		46.8	%		46.8	%		60.4	%		44.8	%		119.8	%		56.0	%

    

22

AXIS Capital Holdings Limited

ESTIMATED NET LOSSES TO PEAK ZONE PROPERTY CATASTROPHE LOSSES - AS OF OCTOBER 1, 2009

		Group Estimated Net Losses (in thousands of U.S. dollars)						Estimated Industry Losses (in billions of U.S. dollars)
Zones	Perils	50 Year Return Period		100 Year Return Period		250 Year Return Period		50 Year Return Period		100 Year Return Period		250 Year Return Period
United States	Hurricane	$	685,747	$	938,250	$	1,223,125	$	74.5	$	114.9	$	186.7
California	Earthquake		430,323		650,121		1,100,491		22.9		34.7		59.6
Europe	Windstorm		504,696		739,312		1,117,339		28.3		41.0		59.0
Japan	Earthquake		232,898		318,356		583,657		18.2		25.9		47.2
Japan	Windstorm		88,415		133,722		144,801		19.2		27.3		43.2

For natural peril catastrophes, based on our current tolerances, we are not willing to lose more than 25% of our prior year-end capital for a modeled single occurrence 1-in-250 year return period probable maximum net loss. We reserve the right to change these thresholds at any time.

The above table shows our net loss estimates to the peak natural catastrophe territories at October 1, 2009. We have developed these loss estimates using multiple commercially available catastrophe models and our own assessments for non-modeled exposures. These models allow us to simulate many hypothetical loss scenarios to supplement our underwriting judgment. These estimates include assumptions regarding the location, size and magnitude of an event, the frequency of events, the construction type and damageability of property in a zone, and the cost of rebuilding property in a zone. Loss estimates for non-U.S. territories will be subject to fluctuations in currency rates, although from a financial statement point of view, we may mitigate this currency variability. Return period refers to the frequency with which losses of a given amount or greater are expected to occur.

The figures take into account the fact that an event may trigger claims in a number of lines of business. For instance, our U.S hurricane modeling includes, among other things, the estimated pre-tax impact to our financial results arising from our catastrophe, property, engineering, energy, marine and aviation lines of business. As indicated in the table above, our modeled single occurrence 1-in-100 year return period U.S. hurricane probable maximum loss, net of reinsurance, is approximately $938 million (or 17% of shareholders’ equity at September 30, 2009). According to our modeling, there is a one percent chance that our losses incurred in any single U.S. hurricane event could be in excess of $938 million. Conversely, there is a 99% chance that the loss from a U.S. hurricane will fall below $938 million. We estimate that, at such hypothetical loss levels, aggregate industry losses would be approximately $115 billion, resulting in an estimated market share of insured losses for the Company of 0.8%.

Net loss estimates are before income tax, net of reinstatement premiums, and net of reinsurance recoveries. The estimates set forth above are based on assumptions (see above) that are inherently subject to significant uncertainties and contingencies. These uncertainties and contingencies can affect actual losses and could cause actual losses to differ materially from those expressed above. In particular, modeled loss estimates do not necessarily accurately predict actual losses, and may significantly misstate actual losses. Such estimates, therefore, should not be considered as a representation of actual losses. Our estimated net losses from peak zone catastrophes may change from period to period as a result of several factors, which include but are not limited to, updates to vendor catastrophe models, changes in our own modeling, changes in our underwriting portfolios and changes in foreign exchange rates.

    

23

AXIS Capital Holdings Limited

EARNINGS PER COMMON SHARE INFORMATION - AS REPORTED, GAAP

	Three months ended September 30,						Nine months ended September 30,
	2009			2008			2009		2008
Net income (loss) available to common shareholders	$	(95,892	)	$	(249,346	)	$	178,948	$	219,643
WEIGHTED AVERAGE COMMON SHARES OUTSTANDING
Weighted average basic shares outstanding		137,904			139,335			137,693		141,628
Dilutive share equivalents:
Warrants [a]		—			—			10,328		12,600
Restricted stock [a]		—			—			1,529		—
Options [a]		—			—			695		1,496
Restricted stock units		—			—			13		1,591
Weighted average diluted shares outstanding		137,904			139,335			150,258		157,315
EARNINGS PER COMMON SHARE
Basic	$	(0.70	)	$	(1.79	)	$	1.30	$	1.55
Diluted	$	(0.70	)	$	(1.79	)	$	1.19	$	1.40

[a] Due to the net loss incurred in the three months ended September 30, 2009 and 2008, these securities were not included in the computation of diluted earnings per share, because of their anti-dilutive effect.

    

24

AXIS Capital Holdings Limited

EARNINGS PER COMMON SHARE INFORMATION AND COMMON SHARE ROLLFOWARD - QUARTERLY

	Quarter ended
	Q3 2009			Q2 2009			Q1 2009			Q4 2008			Q3 2008			Q3 2007
Net income (loss) available to common shareholders	$	(95,892	)	$	159,161		$	115,677		$	130,858		$	(249,346	)	$	269,975
COMMON SHARES OUTSTANDING
Common Shares - at beginning of period		137,710			137,622			136,212			137,991			139,653			147,924
Shares issued		129			93			1,630			13			113			86
Shares repurchased for treasury		(4	)		(5	)		(220	)		(1,792	)		(1,775	)		(2,225	)
Shares repurchased and cancelled		—			—			—			—			—			(75	)
Common Shares - at end of period		137,835			137,710			137,622			136,212			137,991			145,710
WEIGHTED AVERAGE COMMON SHARES OUTSTANDING
Weighted average basic shares outstanding		137,904			137,849			137,316			136,433			139,335			146,845
Dilutive share equivalents:
Warrants [a]		—			10,018			9,729			10,293			—			13,124
Restricted stock [a]		—			1,332			1,308			1,921			—			1,710
Options [a]		—			656			668			716			—			2,385
Restricted stock units		—			6			2			—			—			—
Weighted average diluted shares outstanding		137,904			149,861			149,023			149,363			139,335			164,064
EARNINGS PER COMMON SHARE
Basic	$	(0.70	)	$	1.15		$	0.84		$	0.96		$	(1.79	)	$	1.84
Diluted	$	(0.70	)	$	1.06		$	0.78		$	0.88		$	(1.79	)	$	1.65

[a] Due to the net loss incurred in the three months ended September 30, 2009 and 2008, these securities were not included in the computation of diluted earnings per share, because of their anti-dilutive effect.

    

25

AXIS Capital Holdings Limited

DILUTED BOOK VALUE PER COMMON SHARE ANALYSIS - TREASURY STOCK METHOD ^[a]

	At September 30, 2009
	Weighted Average Strike Price		Common Shareholders’ Equity		Outstanding Common Shares net of Treasury Shares	Per share
Closing stock price						$	30.18
Book value per common share			$	4,898,107	137,835	$	35.54
Dilutive securities:
Warrants	$	12.37		—	11,655		(2.78	)
Restricted stocks				—	4,588		(0.97	)
Options	$	21.63		—	798		(0.17	)
Restricted stock units				—	167		(0.03	)
Phantom stock units				—	67		(0.01	)
Diluted book value per common share			$	4,898,107	155,110	$	31.58
	At December 31, 2008
	Weighted Average Strike Price		Common Shareholders’ Equity		Outstanding Common Shares net of Treasury Shares	Per share
Closing stock price						$	29.12
Book value per common share			$	3,961,041	136,211	$	29.08
Dilutive securities:
Warrants	$	12.40		—	11,317		(2.23	)
Restricted stocks				—	5,163		(0.90	)
Options	$	21.20		—	834		(0.15	)
Phantom stock units				—	62		(0.01	)
Diluted book value per common share			$	3,961,041	153,588	$	25.79

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

    

26

EX-99.3

AXIS Capital Holdings

Limited

Investment Portfolio

Supplemental Information and Data

September 30, 2009

Exhibit 99.3

Cautionary Note on Forward Looking Statements

Statements in this presentation that are not historical facts, including statements regarding our estimates, beliefs, expectations, intentions,      

strategies or projections, may be “forward-looking statements”*within the meaning of the U.S. federal securities laws, including the Private

Securities Litigation Reform Act of 1995.*We intend these forward-looking statements to be covered by the safe harbor provisions for

forward-looking statements in the United States securities laws. In some*cases, these statements can be identified by the use of forward-

looking words such as “may,”*“should,”*“could,”

“anticipate,”

“estimate,”

“expect,”

“plan,”

“believe,”

“predict,”

“potential,”

“intend”

or similar

expressions.*Our expectations are not guarantees and are based on currently available competitive, financial and economic data along with

our operating plans.*Forward-looking statements contained in this presentation may include, but are not limited to, information regarding

measurements of potential losses in the fair value of our investment portfolio, our expectations regarding pricing and other market conditions

and valuations of the potential impact of movements in interest rates, equity prices, credit spreads and foreign currency rates.

Forward-looking statements only reflect our expectations and are not guarantees of performance. Accordingly, there are or will be important

factors that could cause actual results to differ materially from those indicated in such statements. We believe that these factors include, but

are not limited to, the following:

•

the occurrence of natural and man-made disasters,

•

actual claims exceeding our loss reserves,

•

general economic, capital and credit market conditions,

•

the failure of any of the loss limitation methods we employ,

•

the effects of emerging claims and coverage issues,

•

the failure of our cedants to adequately evaluate risks,

•

the loss of one or more key executives,

•

a decline in our ratings with rating agencies,

•

loss of business provided to us by our major brokers,

•

changes in accounting policies or practices,

•

changes in governmental regulations,

•

increased competition,

•

changes in the political environment of certain countries in which we operate or underwrite business, and

•

fluctuations in interest rates, credit spreads, equity prices and/or currency values.

We undertake no obligation to update or revise publicly any forward-looking statements, whether as a result of new information, future events or

otherwise.

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.

3

Total Cash and Investments

Total Cash and Investments: $11.8 Billion

Total Portfolio Allocation

Total Portfolio Ratings Allocation

Note:  Other investments include hedge funds, CLO equity tranches, credit funds and short duration high yield funds

(As of September 30, 2009)

Equities

1%

Short Term

Investments

2%

Other Investments

5%

Municipals

6%

Corporates

29%

Foreign Govt Agency

5%

Cash & Cash

Equivalents

10%

US Govt/Agency

16%

Agency MBS

15%

ABS

3%

Non Agency RMBS

2%

Non Agency CMBS

6%

Other Investments

(unrated)

5%

US

Govt/Agency/Cash &

Cash Equivalents

41%

A

15%

BBB

9%

Below BBB

1%

Equities

1%

AA

8%

AAA

20%

Non-Agency CMBS: Detail

Fair Value ($ in millions)

Net Unrealized Loss ($ in millions)

Rating by Vintage (%)

Rating by Vintage ($ in millions)

$11

-

-

-

11

-

-

BBB

$8

$ -

$ -

$8

2009

Vintage

AAA

AA

A

Total

2008

15

-

-

15

2007

123

16

24

174

2006

162

4

13

179

2005

99

14

7

121

Other

229

10

1

240

Total

$636

$44

$45

$737

$(6)

Net

Unrealized

$(29)

$(8)

$-

$(42)

4

Key Characteristics

•

86.4% AAA, 95.8% senior/super senior tranches

•

157 securities

•

Weighted average life of 4.7 years

•

Duration of 3.79

•

Book yield is 5.80%

•

Average price of 92% of par

(As of September 30, 2009)

Total Non Agency CMBS: $737 Million

(6% of total portfolio)

$-

$20

$40

$60

$80**

$100

$120

$140

$160

$180

Pre

2001

2002

2003

2004

2005

2006

2007

2008

2009

AAA

AA

A

BBB

0%

20%

40%

60%

80%

100%

Pre

2001

2002

2003

2004

2005

2006

2007

2008

2009

AAA

AA

A

BBB

Non-Agency CMBS: Detail (Continued)

•

Average loan to value of the underlying collateral is 70.9

•

Average subordination has improved to 27.5% from 25.3% at origination

•

Current percentage of defeased collateral is 8.25%

•

Average current collateral delinquency is 4.82%

Asset Class

Amortized

Cost

Net Unrealized

Loss

Fair Value

Office

$258

$(17)

$241

Retail

239

(11)

229

Multifamily

124

(6)

118

Hotel

59

(3)

56

Industrial

35

(2)

33

Mixed use

16

(1)

15

Self storage

15

(1)

14

Mobile home

13

(1)

12

Healthcare

4

-

4

Other

16

-

17

Total

$779

$(42)

$737

5

108

(12)

121

7.1 –

10

5

-

5

>10

Years to Maturity

Amortized

Cost

Net Unrealized

Gain/(Loss)

Fair Value

< 2

$142

$1

$144

2.1 –

3

85

(2)

83

3.1 –

4

61

1

62

4.1 –

5

96

(1)

95

5.1 –

7

268

(28)

240

Total

$779

$(42)

$737

Collateral Property Type ($ in millions)

Maturity Detail ($ in millions)

(As of September 30, 2009)

6

Investment Grade Fixed Income:  RMBS

Key Characteristics –

Non Agency RMBS

•

Non-Agency RMBS have an amortized cost     

of $265 million with net unrealized loss of

$39 million

•

This sector includes prime, Alt-A and

subprime collateral

•

Non-Agency RMBS is 59.7% AAA-rated as

detailed on the following slides

Total Agency and Non-Agency RMBS: $2.0 Billion

(17% of total portfolio)

Key Characteristics –

Agency RMBS

•

Primarily pass-through securities

issued by the Federal Home Loan

Mortgage Corporation, Federal

National Mortgage Association, and the

Government National Mortgage

Association

•

These securities have an amortized cost

of $1.7 billion with a net unrealized gain

of $50 million

•

Duration of 2.51

•

Book yield is 4.69%

(As of September 30, 2009)

Agency RMBS

89%

Non-Agency

RMBS

11%

Non-Agency RMBS: Detail

Fair Value ($ in millions)

Rating by Vintage (%)

Rating by Vintage ($ in millions)

$5

-

-

2

1

2

$-

BBB

$2

$-

$-

$-

$2

2009

Vintage

AAA

AA

A

Below

BBB

Total

2007

13

7

-

13

35

2006

9

-

-

27

37

2005

39

16

-

19

76

2004

35

-

-

1

36

Other

37

3

-

-

40

Total

$135

$26

$-

$60

$226

$(1)

Net

Unrealized

$(22)

$(4)

$ -

$(12)

$(39)

Net Unrealized Loss ($ in millions)

7

Key Characteristics

•

59.7% AAA

•

134 securities

•

Weighted average life of 5.1 years

•

Book yield is 6.10%

•

Average price of 85% of par

•

Duration of 0.03

(As of September 30, 2009)

0%

20%

40%

60%

80%

100%

Pre

2001

2002

2003

2004

2005

2006

2007

2009

AAA

AA

A

BBB

Below BBB

$-

$10

$20

$30

$40

$50

$60

$70

$80

Pre

2001

2002

2003

2004

2005

2006

2007

2009

AAA

AA

A

BBB

Below BBB

Non-Agency RMBS: Detail (Continued)

Years to Maturity

Amortized

Cost

Net Unrealized Loss

Fair Value

< 2

$30

$(2)

$28

2.1 –

3

12

(2)

10

3.1 –

4

49

(5)

44

4.1 –

5

55

(9)

46

5.1 –

7

63

(10)

52

7.1 –

10

44

(9)

36

>10

12

(2)

10

Total

$265

$(39)

$226

Maturity Detail ($ in millions)

8

•

The fair value of securities with Subprime content is $19 million (Non-Agency RMBS $3

million and ABS $16 million)

•

The fair value of securities with Alt-A content is $69 million (Non-Agency RMBS $68 million,

ABS $0.6 million and Agency MBS $0.4 million)

(As of September 30, 2009)

Note: Our Alt-A and Subprime classification is determined by the underlying collateral. A security with any

level of Alt-A or Subprime collateral is classified as such even if the collateral is majority prime

9

Investment Grade Fixed Income:  Corporate Debt

Total Corporate Debt: $3.4 Billion

(29% of total portfolio)

(As of September 30, 2009)

*Medium-Term Notes primarily comprise European credit issuances

Direct Non

Financials

38%

Medium Term

Notes*

10%

Direct Financials

52%

•

Average corporate debt rating A

•

Weighted average life of  4.28 years

•

Duration of 3.09

•

Book Yield is 4.03%

Investment Grade Corporate Debt: Financials

Financials by Subsector: $1.8 Billion

(15% of total portfolio)

10

(As of September 30, 2009)

Commercial Finance

10%

Consumer Finance

2%

Corporate Finance

12%

Brokerage

15%

US Banking

35%

Non US Govt

Guaranteed

1%

Foreign Banks

24%

Insurance

1%

Amortized

Cost

Net Unrealized

Gain/(Loss)

Fair

Value

US Banking

$608

$13

$621

Brokerage

248

11

260

Commercial Finance

182

1

183

Consumer Finance

40

1

41

Corporate Finance

211

(3)

208

Foreign Banks

436

(5)

431

Insurance

15

1

16

Non US Govt

Guaranteed

14

1

15

Total

$1,753

$21

$1,774

•

Included in Investment Grade Corporate Debt for

Financials are $311 million of FDIC guaranteed bonds

Corporate Debt -

Financials: Detail

136

9

127

JP Morgan Chase

140

2

138

Bank of America

137

2

135

Citigroup

111

4

107

Goldman Sachs

109

3

106

Morgan Stanley

93

2

91

Wells Fargo & Co

Amortized

Cost

Net

Unrealized

Gain

Fair Value

General Electric

$208

$4

$212

HSBC Holdings PLC

65

1

66

Credit Suisse

56

2

58

American Express

34

1

35

Top 10 Direct Financial Holdings ($ in millions)

117

2

115

BBB

790

20

770

A

Amortized

Cost

Net Unrealized

Gain/(Loss)

Fair Value

AAA

$441

$5

$446

AA

387

2

389

Below BBB

40

(8)

32

Total

$1,753

$21

$1,774

Financials by Rating ($ in millions)

(As of September 30, 2009)

11

Investment Grade Corporate Debt: Non-Financials

Amortized

Cost

Net Unrealized

Gain

Fair

Value

Communications

$338

$17

$355

Consumer cyclicals

106

3

109

Consumer non cyclicals

196

10

206

Electric

204

11

216

Energy

140

8

147

Industrial

131

7

138

Natural gas

43

2

45

Other

11

-

11

Technology

61

3

64

Transportation

16

1

17

Total

$1,245

$62

$1,307

Non-Financials By Subsector: $1.3 Billion

(11% of total portfolio)

(As of September 30, 2009)

12

Subsector Detail ($ in millions)

Consumer cyclicals

8%

Technology

5%

Other

1%

Industrial

11%

Transportation

1%

Communications

27%

Natural gas

3%

Energy

11%

Consumer non

cyclicals

16%

Electric

17%

Top 10 Direct Non-Financial Holdings ($ in millions)

Corporate Debt -

Non-Financials: Detail

33

2

31

Duke Energy

49

2

47

AT&T

41

2

39

Time Warner

Cable

29

2

27

Comcast

Corporation

26

2

24

Dominion

Resources Inc

23

-

23

Daimler AG

Amortized Cost

Net Unrealized

Gain

Fair Value

Verizon

Communications

$114

$7

$121

Anadarko

Petroleum Co

20

1

21

International

Paper Co

19

2

21

Consolidated

Edison Inc

19

1

20

576

26

550

BBB

Amortized Cost

Net Unrealized

Gain

Fair Value

AAA

$15

$1

$156

AA

100

3

103

A

578

32

610

Below BBB

2

-

2

Total

$1,245

$62

$1,307

Non Financials by Rating ($ in millions)

13

(As of September 30, 2009)

14

Investment Grade Corporate Debt:

Medium-Term Notes

•

Credit issuances accessed via medium-term notes which employ leverage

•

Current

leverage

0.32

(for

each

unit

of

client

capital

an

additional

of

borrowed

capital

is

employed)

•

Investment

results

driven

by

changes

in

credit

spreads

and

the

yield

based

on

LIBOR

plus

the

credit

spread

•

Amortized cost was adjusted to fair value at September 30, 2009 due to other than temporary impairment                       

charges

•

Average yield of medium-term notes is LIBOR + 258bps

Fair Value by Region

$361

Fair

Value

3.0

% of Total

Portfolio

Amortized

Cost

Net Unrealized

Gain/(Loss)

Medium-Term Notes

$361

$-

Fair Value by Rating

Fair Value by Sector

Medium-Term Notes ($ in millions)

(As of September 30, 2009)

Other

4%

Asia

2%

US

2%

UK

27%

Western Europe

61%

Middle East

2%

Eastern Europe

2%

A

36%

AA

12%

AAA

3%

BBB

31%

Below BBB

18%

ABS

9%

Financials

25%

Corporate &

Sovereign

66%

Investment Grade Fixed Income: ABS

Amortized Cost

Net Unrealized

Gain/(Loss)

Fair Value

Auto ABS

$182

$3

$185

CLO –

debt tranches

57

(14)

43     

CDO

10

(4)

6

Credit card

55

1

56

Home equity &       

home improvement

23

(7)

16

Other ABS

80

1

81

Total

$407

$(21)

$386

15

ABS by Subsector: $386 Million

(3% of total portfolio)

(As of September 30, 2009)

Auto ABS

47%

Home equity &

home

improvement

4%

Credit card

15%

CDO

2%

CLO - debt

tranches

11%

Other ABS

21%

Subsector Detail ($ in millions)

ABS: Detail

Years to Maturity

Amortized Cost

Net Unrealized

Loss

Fair

Value

< 2

$174

$(2)

$172

2.1 –

3

83

-

83

3.1 –

4

19

(3)

16

4.1 –

5

65

(8)

57

5.1 –

7

20

(6)

14

7.1 –

10

37

-

37

>10

9

(3)

6

Total

$407

$(21)

$386

16

Maturity Detail ($ in millions)

Vintage Detail ($ in millions)

(As of September 30, 2009)

$11

8

3

-

-

$-

BBB

Vintage

AAA

AA

A

Below

BBB

Total

2009

$121

$-

$-

$-

$121

2008

105

-

-

-

105

2007

30

-

4

1

35

2006

42

-

-

4

49

Other

32

-

27

9

76

Total

$330

$-

$31

$14

$386

$(7)

Net

Unrealized

$-

$ -

$(7)

$(7)

$(21)

Key Characteristics

•

85.5% AAA

•

124 securities

•

Weighted average life of  2.83 years

•

Duration of 0.90

•

Book yield is 3.07%

•

Average price of 95% of par

11

(7)

19

BBB

Amortized Cost

Net Unrealized

Loss

Fair

Value

AAA

$330

$-

$330

AA

-

-

-

A

38

(7)

31

Below BBB

20

(7)

14

Total

$407

$(21)

$386

Rating Detail ($ in millions)

Net Unrealized Loss ($ in millions)

Fund of

funds

77%

Single

managers

23%

Other Investments Overview

CLO - equity

tranches

12%

Hedge funds

60%

Short

duration high

yield fund

9%

Credit funds

19%

Total Other Investments: $541 million

(5% of total portfolio)

(As of September 30, 2009)

17

Key Characteristics

•

Short

duration

high

yield

fund

–

invests

mainly

in

high

yield

bonds

with

an

average

maturity

of

years

and

average

rating

of

•

Credit funds –invest in bank loans, investment grade credit and distressed debt

•

CLO equity tranches –

equity tranches of cash flow collateralized loan

obligations that invest primarily in first-lien bank loans

•

Single managers –

invest in event driven, equity long short, and energy MLP

strategies

Hedge Funds

Total Other Investments

Net Unrealized Gain / (Loss) Summary

138  

8

129

Equities

Amortized Cost

Net Unrealized Gain

Fair Value

Fixed maturities

$9,588

$94

$9,683

Short-term investments

283  

-

283   

Total

$10,000

$103

$10,103

As of September 30, 2009)

Invested Assets ($ in millions)

18

109

(456)

(265)

(52)

(57)

79

(7)

(513)

(274)

(33)

(49)

41

(349)

(178)

(31)

(22)

19

17

83

(31)

(21)

27

$(900)

$(750)

$(600)

$(450)

$(300)

$(150)

$-

$150

Dec 2008

Mar 2009

Jun 2009

Sep 2009

US Govt/Agency

Foreign Govt

Corporates

Non Agency CMBS/RMBS

Asset-backed securitites

Municipals

Short-term investments

Equities