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): April 28, 2011

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 April 28, 2011, AXIS Capital Holdings Limited, a Bermuda company, issued a press release reporting its first quarter 2011 results and the availability of its first quarter 2011 investor financial supplement. The press release and the investor financial supplement are attached hereto as Exhibit 99.1 and Exhibit 99.2, respectively.

Item 9.01 Financial Statements and Exhibits

(d) Exhibits

99.1	Press release dated April 28, 2011.
99.2	First quarter 2011 Investor Financial Supplement.

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: April 28, 2011

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 April 28, 2011.
99.2	First quarter 2011 Investor Financial Supplement.

EX-99.1

Exhibit 99.1

Investor Contacts	Media Contacts
Linda Ventresca	Michael Herley
AXIS Capital Holdings Limited	Kekst and Company
investorrelations@axiscapital.com	michael-herley@kekst.com
(441) 405-2727	(212) 521-4897

AXIS CAPITAL REPORTS FIRST QUARTER OPERATING LOSS OF $414 MILLION

QUARTERLY DILUTED OPERATING LOSS PER COMMON SHARE OF $3.65

Pembroke, Bermuda, April 28, 2011 - AXIS Capital Holdings Limited (“AXIS Capital”) (NYSE: AXS) today reported a net loss available to common shareholders for the first quarter of 2011 of $384 million, or $3.39 per diluted common share, compared with net income of $112 million, or $0.79 per diluted common share, for the first quarter of 2010.

The operating loss¹ for the first quarter of 2011 was $414 million, or $3.65 per diluted common share, compared with operating income of $96 million, or $0.67 per diluted common share, for the first quarter of 2010.

¹  The presentation of operating income (loss) available to common shareholders is a “non-GAAP financial measure” as defined in Regulation G. The reconciliation of operating income (loss) to net income (loss) available to common shareholders (the most directly comparable GAAP financial measure) is provided in this release, as is a discussion of the presentation of operating income (loss).

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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First Quarter Highlights²

• Gross premiums written increased 9% to $1.5 billion;

• Net premiums written increased 13% to $1.4 billion;

• Net premiums earned increased 13% to $788 million;

• Estimated pre-tax net losses (net of reinstatement premiums) of $87 million, $203 million and $287 million for Australian loss events, the Christchurch, New Zealand earthquake and the Japanese earthquake, respectively;

• Combined ratio of 161.3%, compared to 98.3%;

• Excluding the above catastrophe events, the first quarter combined ratio and current accident year loss ratio were 88.1% and 62.3% respectively, compared to 77.0% and 57.4% for the first quarter of 2010³;

• Net favorable prior year reserve development of $50 million, pre-tax, benefiting the combined ratio by 6.3 points, compared with $81 million in the prior year quarter, benefiting the combined ratio by 11.7 points;

• Net investment income of $111 million, an increase of 6%;

• Total return on cash and investments was 0.9% (pre-tax), compared to (0.3%) in the fourth quarter of 2010;

• Shareholders’ equity of $5.2 billion; and

• Diluted book value per common share of $35.69.

²  All comparisons are with the same period last year unless stated otherwise.

³ Includes the Chilean earthquake, Australian storms, European Windstorm Xynthia and U.S. winter storms

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 first quarter 2011 financial results, John Charman, Chief Executive Officer and President of AXIS Capital, stated: “The first quarter of 2011 has been an extraordinarily challenging quarter, not only for AXIS but also for the industry as a whole, marked by an unprecedented series of natural catastrophes including one of the largest earthquakes ever recorded. The scale of these losses is indicative of the terrible human tragedies we have witnessed during the period and our deepest sympathies are with those who have suffered from these events.

Currently, there is great uncertainty within the industry over the scale and distribution of total insured losses, which we believe are likely to exceed $50 billion. Against the backdrop of this uncertainty, we believe that we have been prudent in estimating our catastrophe losses. Therefore, our results this quarter are heavily influenced by an accumulation of expensive major natural catastrophes, slow pick-up in demand for our products, and continuing low investment yields. On a positive note, these industry-wide pressures, coming on the back of four to five years of aggressive price competition, are now driving an earlier exit from the absolute bottom of the property and casualty pricing cycle in a number of lines. We believe our major global businesses stand to gain meaningfully in the coming year.”

Segment Highlights

Insurance Segment

Our insurance segment reported gross premiums written in the quarter of $425 million, up 14% from the first quarter of 2010. This increase was primarily driven by our new Global Accident & Health operations. Net premiums written and earned increased 40% and 28%, respectively, during the first quarter of 2011; these increases were primarily due to the changes in our ceded reinsurance purchasing and increases in gross premiums written.

Our insurance segment reported an underwriting loss of $48 million for the quarter, compared to underwriting income of $33 million for the first quarter of 2010. The current quarter’s underwriting result reflected a combined ratio of 114.9%, compared with 87.2% in the prior year quarter. The segment’s current accident year loss ratio increased from 60.9% in the first quarter of 2010 to 85.9% this quarter, primarily due to estimated net pre-tax losses of $3 million, $20 million and $27 million (inclusive of related premiums to reinstate reinsurance protection) for the Australian events and the New Zealand and Japanese earthquakes, respectively, which added 15.1 points to the quarter’s loss ratio. Net

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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favorable prior period reserve development was $15 million, or 4.5 points, this quarter compared with $25 million, or 9.9 points, in the first quarter of 2010. Increased acquisition costs reflected changes in our ceded reinsurance purchasing effected during the second quarter of 2010, while the increase in general and administrative expenses reflected the continued build-out of the segment’s platform.

Reinsurance Segment

Our reinsurance segment reported gross premiums written in the quarter of $1.1 billion, up 7% from the first quarter of 2010. Premium growth in the quarter was primarily driven by the motor reinsurance line.

Our reinsurance segment reported an underwriting loss of $413 million for the quarter, compared to a loss of $5 million in the first quarter of 2010. The segment’s combined ratio increased from 101.1% in the first quarter of 2010 to 189.7% for the first quarter of 2011. The current accident year loss ratio increased from 89.5% in the first quarter of 2010 to 171.1% this quarter, largely due to estimated net pre-tax losses (net of reinstatement premiums) of $84 million, $183 million and $260 million for the Australian events and the New Zealand and Japanese earthquakes, respectively, which added 115.0 points to the quarter’s loss ratio. Net favorable prior period reserve development was $35 million, or 7.6 points, this quarter compared with $56 million, or 12.8 points, in the first quarter of 2010.

Investments

Net investment income for the quarter increased $6 million, or 6%, relative to the prior year quarter to $111 million. This increase was primarily due to higher returns from our alternative investments (“other investments”). Net investment income from fixed maturities was $89 million this quarter, compared with $91 million in the prior year quarter. The decline was primarily due to lower reinvestment yields, partially offset by a higher fixed maturity investment balance.

Net realized investment gains were $30 million, compared to net realized investment gains of $16 million 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

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Capitalization / Shareholders’ Equity

Total capitalization at March 31, 2011 was $6.2 billion, including $1.0 billion of long-term debt and $0.5 billion of preferred equity. At March 31, 2011, diluted book value per common share on a treasury stock basis was $35.69 and book value per common share was $41.17, compared to $39.37 and $45.60, respectively, as of December 31, 2010.

Subsequent to March 31, 2011, certain of our founding shareholders exercised their warrants on a cashless basis pursuant to the terms of the applicable warrant agreements, resulting in a lower number of shares being issued than the number of warrants exercised. Accordingly, we issued 11,852,589 shares upon the exercise of 18,102,623 warrants. In connection with the warrant exercise, we paid deferred dividends of $93 million to those warrant holders who chose the deferred cash option for dividends declared, which was included in other liabilities in the consolidated balance sheets at March 31, 2011. As of April 28, 2011, 1,697,839 warrants remain outstanding and will expire on November 20, 2011.

We did not repurchase any common shares under our authorized repurchase plan during the quarter. At April 28, 2011, we had approximately $593 million of remaining authorization for common share repurchases through December 31, 2012.

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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Conference Call

We will host a conference call on Friday April 29, 2011 at 8:00 AM (Eastern) to discuss the first 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) approximately ten minutes in advance of the call and entering the code 5-3-3-4-8-5-6. 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. A replay of the teleconference will be available for 90 days by dialing (877) 344-7529 (U.S. callers) or (412) 317-0088 (international callers) and entering the code 4-4-9-8-3-9. The webcast will be archived in the Investor Information section of our website.

In addition, a financial supplement relating to our financial results for the quarter ended March 31, 2011 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 March 31, 2011 of $5.2 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 and AXIS Specialty Finance LLC have been assigned senior unsecured debt ratings 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

MARCH 31, 2011 (UNAUDITED) AND DECEMBER 31, 2010

	2011			2010
	(in thousands)
Assets
Investments:
Fixed maturities, available for sale, at fair value	$	10,726,390		$	10,482,897
Equity securities, available for sale, at fair value		502,096			349,254
Other investments, at fair value		554,113			519,296
Short-term investments, at amortized cost		132,512			172,719
Total investments		11,915,111			11,524,166
Cash and cash equivalents		963,266			929,515
Restricted cash and cash equivalents		122,923			115,840
Accrued interest receivable		94,013			96,364
Insurance and reinsurance premium balances receivable		1,880,305			1,343,665
Reinsurance recoverable on unpaid and paid losses		1,688,778			1,577,547
Deferred acquisition costs		498,598			359,300
Prepaid reinsurance premiums		212,808			221,396
Goodwill and intangible assets		102,847			103,231
Other assets		195,275			174,707
Total assets	$	17,673,924		$	16,445,731
Liabilities
Reserve for losses and loss expenses	$	8,013,861		$	7,032,375
Unearned premiums		2,938,328			2,333,676
Insurance and reinsurance balances payable		141,483			164,927
Senior notes		994,246			994,110
Other liabilities		231,523			275,422
Net payable for investments purchased		164,903			20,251
Total liabilities		12,484,344			10,820,761
Shareholders’ equity
Preferred shares - Series A and B		500,000			500,000
Common shares		1,958			1,934
Additional paid-in capital		2,074,982			2,059,708
Accumulated other comprehensive income		155,192			176,821
Retained earnings		3,853,076			4,267,608
Treasury shares, at cost		(1,395,628	)		(1,381,101	)
Total shareholders’ equity		5,189,580			5,624,970
Total liabilities and shareholders’ equity	$	17,673,924		$	16,445,731

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 STATEMENTS OF OPERATIONS (UNAUDITED)

FOR THE THREE MONTHS ENDED MARCH 31, 2011 AND 2010

	2011			2010
	(in thousands, except per share amounts)
Revenues
Net premiums earned	$	788,201		$	696,192
Net investment income		110,655			104,619
Other insurance related income		763			626
Net realized investment gains:
Other-than-temporary impairment losses		(2,155	)		(6,957	)
Portion of impairment losses transferred to other comprehensive income		215			1,449
Other realized investment gains		32,084			21,684
Total net realized investment gains		30,144			16,176
Total revenues		929,763			817,613
Expenses
Net losses and loss expenses		1,019,801			468,262
Acquisition costs		135,356			116,649
General and administrative expenses		116,520			99,769
Foreign exchange losses (gains)		15,058			(8,147	)
Interest expense and financing costs		15,860			8,688
Total expenses		1,302,595			685,221
Income (loss) before income taxes		(372,832	)		132,392
Income tax expense		1,709			11,361
Net income (loss)		(374,541	)		121,031
Preferred shares dividends		9,219			9,219
Net income (loss) available to common shareholders	$	(383,760	)	$	111,812
Per share data
Net income (loss) per common share:
Basic net income (loss)	$	(3.39	)	$	0.87
Diluted net income (loss)	$	(3.39	)	$	0.79
Weighted average number of common shares outstanding - basic		113,351			128,202
Weighted average number of common shares outstanding - diluted		113,351			142,176
Cash dividends declared per common share	$	0.23		$	0.21

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 SEGMENTAL DATA (UNAUDITED)

FOR THE THREE MONTHS ENDED MARCH 31, 2011 AND 2010

	2011									2010
	Insurance			Reinsurance			Total			Insurance			Reinsurance			Total
	(in thousands)
Gross premiums written	$	424,991		$	1,123,439		$	1,548,430		$	372,929		$	1,052,272		$	1,425,201
Net premiums written		289,316			1,111,463			1,400,779			206,812			1,036,823			1,243,635
Net premiums earned		327,648			460,553			788,201			256,281			439,911			696,192
Other insurance related income		763			—			763			626			—			626
Net losses and loss expenses		(266,633	)		(753,168	)		(1,019,801	)		(130,703	)		(337,559	)		(468,262	)
Acquisition costs		(42,079	)		(93,277	)		(135,356	)		(31,141	)		(85,508	)		(116,649	)
General and administrative expenses		(67,726	)		(27,386	)		(95,112	)		(61,610	)		(21,851	)		(83,461	)
Underwriting income (loss)	$	(48,027	)	$	(413,278	)		(461,305	)	$	33,453		$	(5,007	)		28,446
Corporate expenses								(21,408	)								(16,308	)
Net investment income								110,655									104,619
Net realized investment gains								30,144									16,176
Foreign exchange (losses) gains								(15,058	)								8,147
Interest expense and financing costs								(15,860	)								(8,688	)
Income (loss) before income taxes							$	(372,832	)							$	132,392
Net loss and loss expense ratio		81.4	%		163.5	%		129.4	%		51.0	%		76.7	%		67.3	%
Acquisition cost ratio		12.8	%		20.3	%		17.1	%		12.2	%		19.4	%		16.7	%
General and administrative expense ratio		20.7	%		5.9	%		14.8	%		24.0	%		5.0	%		14.3	%
Combined ratio		114.9	%		189.7	%		161.3	%		87.2	%		101.1	%		98.3	%

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 MARCH 31, 2011 AND 2010

	2011			2010
	(in thousands, except per share amounts)
Net income (loss) available to common shareholders	$	(383,760	)	$	111,812
Net realized investment gains, net of tax(1)		(30,142	)		(16,162	)
Operating income (loss)	$	(413,902	)	$	95,650
Net income (loss) per share - diluted	$	(3.39	)	$	0.79
Net realized investment gains, net of tax		(0.26	)		(0.12	)
Operating income (loss) per share - diluted	$	(3.65	)	$	0.67
Weighted average common shares and common share equivalents - diluted		113,351			142,176
Average common shareholders’ equity	$	4,907,275		$	4,938,132
Annualized return on average common equity		(31.3	%)		9.1	%
Annualized operating return on average common equity		(33.7	%)		7.7	%

(1) Tax cost of $2 and $14 for the three months ended March 31, 2011 and 2010, respectively. Tax impact is estimated by applying the statutory rates of applicable jurisdictions, after consideration of other relevant factors including the ability to utilize capital losses.

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

Tel. 441.496.2600 Fax 441.296.3140

www.axiscapital.com

- 10 -

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 and magnitude 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) inability to obtain additional capital on favorable terms, or at all, (8) the loss of one or more key executives, (9) a decline in our ratings with rating agencies, (10) the loss of business provided to us by our major brokers, (11) changes in accounting policies or practices, (12) the use of industry catastrophe models and changes to those models, (13) changes in governmental regulations, (14) increased competition, (15) changes in the political environment of certain countries in which we operate or underwrite business, (16) fluctuations in interest rates, credit spreads, equity prices and/or currency values, and (17) 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.

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

Tel. 441.496.2600 Fax 441.296.3140

www.axiscapital.com

- 11 -

Non-GAAP Financial Measures

In this release, we have presented operating income, which is a “non-GAAP financial measure” as defined in Regulation G. Operating income (loss) represents after-tax operational results without consideration of after-tax net realized investment gains (losses). A reconciliation of operating income to the most directly comparable GAAP financial measure, net income (loss) available to common shareholders, is included above.

In addition, this press release presents the following measures which are derived from the non-GAAP operating income measure:

1. Diluted operating earnings (loss) per share - represents operating income (loss) divided by diluted weighted average common shares and share equivalents; and

2. Annualized operating return on average common equity - represents operating income (loss) for the period, projected for a full year, as a percentage of average common equity for the period.

We present our results of operations in the way we believe will be most meaningful and useful to investors, analysts, rating agencies and others who use our financial information to evaluate our performance. This presentation includes the use of “operating income (loss)” and “annualized operating return on average common equity”, which is based on the “operating income (loss)” measure. Although the investment of premiums to generate income and realized investment gains (or losses) is an integral part of our operations, the determination to realize investment gains (or losses) is independent of the underwriting process and is heavily influenced by the availability of market opportunities. Furthermore, many users believe that the timing of the realization of investment gains (or losses) is somewhat opportunistic for many companies. In this regard, certain users of our financial statements evaluate earnings excluding after-tax net realized investment gains (losses) to understand the profitability of recurring sources of income.

We believe that showing net income available to common shareholders exclusive of net realized gains (losses) reflects the underlying fundamentals of our business.

In addition, we believe that this presentation enables investors and other users of our financial information to analyze performance in a manner similar to how our management analyzes the underlying business performance. We also believe this measure follows industry practice and, therefore, facilitates comparison of our performance with our peer group. We believe that equity analysts and certain rating agencies that follow us, and the insurance industry as a whole, generally exclude realized gains (losses) from their analyses for the same reasons.

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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EX-99.2

Exhibit 99.2

AXIS Capital Holdings Limited

INVESTOR FINANCIAL SUPPLEMENT

FIRST QUARTER 2011

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
	a. Consolidated Statements of Income - Quarterly		2
	b. Consolidated Segment Data		3
	c. Gross Premium Written by Segment by Line of Business		4
	d. Segment Data - Quarterly		5-6
	e. Net Investment Income - Quarterly		7
III. Balance Sheets
	a. Consolidated Balance Sheets		8
	b. Cash and Invested Assets:
	•    Cash and Invested Assets Portfolio		9
	•    Cash and Invested Assets Composition - Quarterly		10
	•    Corporate Debt Composition		11
	•    Ten Largest Issuer Holdings in Fixed Maturity Portfolio		12
	•    Mortgage Backed and Assets Backed Securities Composition		13
	c. Reinsurance Recoverable Analysis		14-15
IV. Loss Reserve Analysis
	a. Paid to Incurred Analysis		16
	b. Paid to Incurred Analysis by Segment		17
	c. Segment Consecutive Quarters		18-19
	d. 2011 Impact of Major Catastrophe Events		20
	e. Estimated Net Modeled Losses to Peak Territory Catastrophe Exposures		21
V. Share Analysis
	a. Earnings Per Common Share Analysis and Common Share Rollforward - Quarterly		22
	b. Diluted Book Value Per Common Share Analysis		23
VI. Non-GAAP Financial Measures			24
	a. Non-GAAP Financial Measure Reconciliation

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 at December 31, 2010.

• 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 catastrophes and other large losses, 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 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 and magnitude 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,

• inability to obtain additional capital on favorable terms, or at all,

• 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,

• the use of industry catastrophe models and changes to those models,

• 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 loss or damage, business interruption and machinery breakdown coverage for virtually all types of property, including commercial buildings, residential premises, construction projects and onshore energy installations. This line of business consists of both primary and excess risks, some of which are catastrophe-exposed.

Marine: provides coverage for traditional marine classes, including offshore energy, cargo, liability, recreational marine, fine art, specie, hull and war. Offshore energy coverages include physical damage, business interruption, operators extra expense and liability coverage for all aspects of offshore upstream energy, from exploration and construction through the operation and distribution phases.

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

Aviation: provides hull and liability and specific war coverage primarily for passenger airlines but also for cargo operations, general aviation operations, airports, aviation authorities, security firms and product manufacturers.

Credit and political risk: provides credit and political risk insurance products for banks and corporations. Coverage is provided for a range of risks including sovereign default, credit default, political violence, currency inconvertibility and non-transfer, expropriation, aircraft non-repossession and contract frustration due to political events. 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” coverages).

Professional lines: provides coverage for directors’ and officers’ liability, errors and omissions liability, employment practices liability, fiduciary liability, crime, professional indemnity and other financial insurance related coverages for commercial enterprises, financial institutions and not-for-profit organizations. This business is predominantly written on a claims-made basis.

Liability: primarily targets primary and low/mid-level excess and umbrella commercial liability risks in the U.S. excess and surplus lines markets. Target industry sectors include construction, manufacturing, transportation and trucking and other services.

Other: commencing in 2010, primarily relates to our Global Accident & Health business and includes accidental death and sickness insurance for employer and affinity groups, financial institutions, schools and colleges, as well as accident reinsurance for catastrophic events on a quota share and/or excess of loss basis, with aggregate and/or per person deductibles. In prior years, our underwriting in this line of business primarily related to 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 non-life 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.

Property: includes reinsurance written on both a proportional and a per risk excess of loss basis and covers underlying personal lines and commercial property exposures. Here the primary reason for the product is not simply to protect against catastrophic perils, however they are normally included with limitations.

Professional Liability: covers directors’ and officers’ liability, employment practices liability, medical malpractice, lawyers’ and accountants’ liability, environmental liability and miscellaneous errors and omissions insurance risks. The underlying business is predominantly written on a claims-made basis. Business is written on both a proportional and excess of loss basis.

Credit and Bond: consists 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.

Motor: provides coverage to cedants for motor liability and, to a lesser degree, property damage 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 business, excess and surplus casualty business and specialty casualty programs. The primary focus of the underlying business is general liability, although workers compensation and auto liability are also written.

Engineering: provides coverage for all types of 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.

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

iii

AXIS Capital Holdings Limited

FINANCIAL HIGHLIGHTS

		Quarter ended March 31,
		2011			2010			Change
HIGHLIGHTS	Gross premiums written	$	1,548,430		$	1,425,201			8.6	%
	Gross premiums written - Insurance		27.4	%		26.2	%		1.3	pts
	Gross premiums written - Reinsurance		72.6	%		73.8	%		(1.3	)pts
	Net premiums written	$	1,400,779		$	1,243,635			12.6	%
	Net premiums earned	$	788,201		$	696,192			13.2	%
	Net premiums earned - Insurance		41.6	%		36.8	%		4.8	pts
	Net premiums earned - Reinsurance		58.4	%		63.2	%		(4.8	)pts
	Net income (loss) available to common shareholders	$	(383,760	)		111,812			nm
	Operating income (loss) [a]		(413,902	)		95,650			nm
	Reserve for losses and loss expenses		8,013,861			6,759,522			18.6	%
	Total shareholders’ equity		5,189,580			5,376,019			(3.5	)%
PER COMMON SHARE AND	Basic earnings (loss) per common share	($	3.39	)	$	0.87			nm
COMMON SHARE DATA	Diluted earnings (loss) per common share	($	3.39	)	$	0.79			nm
	Operating diluted earnings (loss) per common share [b]	($	3.65	)	$	0.67			nm
	Weighted average common shares outstanding		113,351			128,202			(11.6	)%
	Diluted weighted average common shares outstanding		113,351			142,176			(20.3	)%
	Book value per common share	$	41.17		$	39.27			4.8	%
	Diluted book value per common share (treasury stock method)	$	35.69		$	34.56			3.3	%
	Accumulated dividends paid per common share	$	4.96		$	4.10			21.0	%
FINANCIAL RATIOS	ROACE [c]		(31.3	)%		9.1	%		nm
	Operating ROACE [b]		(33.7	)%		7.7	%		nm
	Net loss and loss expense ratio		129.4	%		67.3	%		62.1	pts
	Acquisition cost ratio		17.1	%		16.7	%		0.4	pts
	General and administrative expense ratio		14.8	%		14.3	%		0.5	pts
	Combined ratio		161.3	%		98.3	%		63.0	pts
INVESTMENT DATA	Total assets	$	17,673,924		$	16,329,170			8.2	%
	Total cash and invested assets [d]		12,930,410			12,125,262			6.6	%
	Net investment income		110,655			104,619			5.8	%
	Net realized investment gains		30,144			16,176			86.4	%
	Total return on cash and investments [e]		0.9	%		1.8	%		(0.5	)pts
	Return on other investments [f]		4.7	%		2.9	%		1.8	pts
	Book yield of fixed maturities		3.3	%		3.7	%		(0.4	)pts

[a] Operating income (loss) is a “Non-GAAP financial measure” as defined by Regulation G. See page 24 for reconciliation of operating income to net income (loss) available to common shareholders.

[b] Operating return on average common equity (“ROACE”), also a “Non-GAAP financial measure”, is calculated by dividing operating income (loss) 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. Operating income (loss) for the quarter-periods is annualized. Operating diluted earnings per share is calculated by dividing operating income (loss) for the period by weighted average common shares and share equivalents.

[c] ROACE is calculated by dividing net income (loss) 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. Net income (loss) for the quarter-periods is annualized.

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

[e] 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 cash and investment balances.

[f] Return on other investments is calculated by dividing other investment income by the average month-end other investment balances for the period.

nm not meaningful

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AXIS Capital Holdings Limited

CONSOLIDATED STATEMENTS OF INCOME - QUARTERLY

	Q1 2011			Q4 2010			Q3 2010			Q2 2010			Q1 2010			Q1 2009
UNDERWRITING REVENUES
Gross premiums written	$	1,548,430		$	634,774		$	750,687		$	939,873		$	1,425,201		$	1,323,495
Premiums ceded		(147,651	)		(146,130	)		(124,365	)		(150,935	)		(181,566	)		(161,194	)
Net premiums written		1,400,779			488,644			626,322			788,938			1,243,635			1,162,301
Gross premiums earned		944,627			917,480			920,954			905,137			888,607			839,316
Ceded premiums amortized		(156,426	)		(160,162	)		(162,081	)		(170,110	)		(192,415	)		(173,957	)
Net premiums earned		788,201			757,318			758,873			735,027			696,192			665,359
Other insurance related income (loss)		763			345			884			217			626			(9,395	)
Total underwriting revenues		788,964			757,663			759,757			735,244			696,818			655,964
UNDERWRITING EXPENSES
Net losses and loss expenses		1,019,801			383,345			422,154			403,370			468,262			387,999
Acquisition costs		135,356			124,098			123,788			124,176			116,649			101,976
General and administrative expenses		95,112			117,674			86,439			86,862			83,461			68,752
Total underwriting expenses		1,250,269			625,117			632,381			614,408			668,372			558,727
UNDERWRITING INCOME (LOSS)		(461,305	)		132,546			127,376			120,836			28,446			97,237
OTHER OPERATING REVENUE (EXPENSES)
Net investment income		110,655			107,889			111,800			82,584			104,619			99,292
Net realized investment gains (losses)		30,144			77,772			76,531			24,619			16,176			(40,597	)
Interest expense and financing costs		(15,860	)		(15,690	)		(15,800	)		(15,697	)		(8,688	)		(7,921	)
Total other operating revenues		124,939			169,971			172,531			91,506			112,107			50,774
OTHER (EXPENSES) REVENUE
Foreign exchange (losses) gains		(15,058	)		5,120			(24,961	)		27,229			8,147			389
Corporate expenses [a]		(21,408	)		(22,946	)		(16,996	)		(19,200	)		(16,308	)		(17,805	)
Total other (expenses) revenue		(36,466	)		(17,826	)		(41,957	)		8,029			(8,161	)		(17,416	)
INCOME (LOSS) BEFORE INCOME TAXES		(372,832	)		284,691			257,950			220,371			132,392			130,595
Income tax expense		(1,709	)		(11,129	)		(9,890	)		(6,300	)		(11,361	)		(5,697	)
NET INCOME (LOSS)		(374,541	)		273,562			248,060			214,071			121,031			124,898
Preferred share dividends		(9,219	)		(9,219	)		(9,218	)		(9,219	)		(9,219	)		(9,219	)
NET INCOME (LOSS) AVAILABLE TO COMMON SHAREHOLDERS	$	(383,760	)	$	264,343		$	238,842		$	204,852		$	111,812		$	115,679
KEY RATIOS/PER SHARE DATA
Net loss and loss expense ratio		129.4	%		50.6	%		55.6	%		54.9	%		67.3	%		58.3	%
Acquisition cost ratio		17.1	%		16.4	%		16.3	%		16.9	%		16.7	%		15.3	%
General and administrative expense ratio [a]		14.8	%		18.6	%		13.7	%		14.4	%		14.3	%		13.0	%
Combined ratio		161.3	%		85.6	%		85.6	%		86.2	%		98.3	%		86.6	%
Weighted average basic shares outstanding		113,351			117,101			120,091			121,766			128,202			137,316
Weighted average diluted shares outstanding		113,351			132,799			134,406			135,665			142,176			149,023
Basic earnings per common share	($	3.39	)	$	2.26		$	1.99		$	1.68		$	0.87		$	0.84
Diluted earnings per common share	($	3.39	)	$	1.99		$	1.78		$	1.51		$	0.79		$	0.78
ROACE (annualized)		(31.3	)%		20.2	%		18.5	%		16.6	%		9.1	%		11.6	%
Operating ROACE (annualized)		(33.7	)%		14.3	%		12.6	%		14.6	%		7.7	%		15.7	%

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

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AXIS Capital Holdings Limited

CONSOLIDATED SEGMENT DATA

	Quarter ended March 31, 2011									Quarter ended March 31, 2010
	Insurance			Reinsurance			Total			Insurance			Reinsurance			Total
UNDERWRITING REVENUES
Gross premiums written	$	424,991		$	1,123,439		$	1,548,430		$	372,929		$	1,052,272		$	1,425,201
Net premiums written		289,316			1,111,463			1,400,779			206,812			1,036,823			1,243,635
Gross premiums earned		479,908			464,719			944,627			443,050			445,557			888,607
Ceded premiums amortized		(152,260	)		(4,166	)		(156,426	)		(186,769	)		(5,646	)		(192,415	)
Net premiums earned		327,648			460,553			788,201			256,281			439,911			696,192
Other insurance related income		763			—			763			626			—			626
Total underwriting revenues		328,411			460,553			788,964			256,907			439,911			696,818
UNDERWRITING EXPENSES
Net losses and loss expenses		266,633			753,168			1,019,801			130,703			337,559			468,262
Acquisition costs		42,079			93,277			135,356			31,141			85,508			116,649
General and administrative expenses		67,726			27,386			95,112			61,610			21,851			83,461
Total underwriting expenses		376,438			873,831			1,250,269			223,454			444,918			668,372
UNDERWRITING INCOME (LOSS)	$	(48,027	)	$	(413,278	)	$	(461,305	)	$	33,453		$	(5,007	)	$	28,446
KEY RATIOS
Current accident year loss ratio		85.9	%		171.1	%		135.7	%		60.9	%		89.5	%		79.0	%
Prior period reserve development		(4.5	%)		(7.6	%)		(6.3	%)		(9.9	%)		(12.8	%)		(11.7	%)
Net loss and loss expense ratio		81.4	%		163.5	%		129.4	%		51.0	%		76.7	%		67.3	%
Acquisition cost ratio		12.8	%		20.3	%		17.1	%		12.2	%		19.4	%		16.7	%
General and administrative expense ratio		20.7	%		5.9	%		12.1	%		24.0	%		5.0	%		12.0	%
Corporate expense ratio								2.7	%								2.3	%
Combined ratio		114.9	%		189.7	%		161.3	%		87.2	%		101.1	%		98.3	%

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AXIS Capital Holdings Limited

GROSS PREMIUM WRITTEN BY SEGMENT BY LINE OF BUSINESS

	Q1 2011		Q4 2010		Q3 2010		Q2 2010		Q1 2010			Q1 2009
INSURANCE SEGMENT
Property	$	116,231	$	125,285	$	150,123	$	207,184	$	118,214		$	106,138
Marine		63,655		33,556		46,403		77,996		66,859			60,626
Terrorism		6,270		7,047		8,029		17,079		5,091			5,667
Aviation		2,803		44,118		9,891		18,649		3,136			17,067
Credit and political risk		10,801		13,169		10,754		9,444		(2,698	)		2,491
Professional lines		136,544		208,400		156,276		219,432		127,945			120,328
Liability		44,878		62,266		50,448		61,817		53,716			51,812
Other		43,809		2,903		1,626		1,292		666			29
TOTAL INSURANCE SEGMENT		424,991		496,744		433,550		612,893		372,929			364,158
REINSURANCE SEGMENT
Catastrophe		253,218		8,631		92,479		124,168		227,781			237,347
Property		182,204		27,424		73,080		75,527		178,498			126,430
Professional lines		93,273		66,106		56,963		58,368		106,799			113,640
Credit and bond		236,645		5,997		17,527		2,532		228,073			197,271
Motor		195,114		9,408		11,872		9,289		118,114			77,572
Liability		99,015		11,565		56,437		36,680		133,379			153,856
Engineering		50,664		8,443		7,424		7,972		44,376			41,266
Other		13,306		456		1,355		12,444		15,252			11,955
TOTAL REINSURANCE SEGMENT		1,123,439		138,030		317,137		326,980		1,052,272			959,337
CONSOLIDATED TOTAL	$	1,548,430	$	634,774	$	750,687	$	939,873	$	1,425,201		$	1,323,495

4

AXIS Capital Holdings Limited

INSURANCE SEGMENT DATA - QUARTERLY

	Q1 2011			Q4 2010			Q3 2010			Q2 2010			Q1 2010			Q1 2009
UNDERWRITING REVENUES
Gross premiums written	$	424,991		$	496,744		$	433,550		$	612,893		$	372,929		$	364,158
Net premiums written		289,316			349,250			309,277			466,880			206,812			212,015
Gross premiums earned		479,908			485,188			477,149			466,627			443,050			445,541
Ceded premiums amortized		(152,260	)		(156,813	)		(156,965	)		(164,975	)		(186,769	)		(169,918	)
Net premiums earned		327,648			328,375			320,184			301,652			256,281			275,623
Other insurance related income (loss)		763			345			884			217			626			(9,805	)
Total underwriting revenues		328,411			328,720			321,068			301,869			256,907			265,818
UNDERWRITING EXPENSES
Net losses and loss expenses		266,633			132,811			150,860			155,494			130,703			152,704
Acquisition costs		42,079			41,553			38,962			40,567			31,141			26,203
General and administrative expenses		67,726			86,633			64,147			64,045			61,610			50,481
Total underwriting expenses		376,438			260,997			253,969			260,106			223,454			229,388
UNDERWRITING INCOME (LOSS)	$	(48,027	)	$	67,723		$	67,099		$	41,763		$	33,453		$	36,430
KEY RATIOS
Current accident year loss ratio		85.9	%		51.0	%		55.8	%		61.7	%		60.9	%		68.4	%
Prior period reserve development		(4.5	%)		(10.6	)%		(8.7	)%		(10.1	)%		(9.9	)%		(13.0	)%
Net loss and loss expense ratio		81.4	%		40.4	%		47.1	%		51.6	%		51.0	%		55.4	%
Acquisition cost ratio		12.8	%		12.7	%		12.2	%		13.4	%		12.2	%		9.5	%
General and administrative expense ratio		20.7	%		26.4	%		20.0	%		21.2	%		24.0	%		18.3	%
Combined ratio		114.9	%		79.5	%		79.3	%		86.2	%		87.2	%		83.2	%

5

AXIS Capital Holdings Limited

REINSURANCE SEGMENT DATA - QUARTERLY

	Q1 2011			Q4 2010			Q3 2010			Q2 2010			Q1 2010			Q1 2009
UNDERWRITING REVENUES
Gross premiums written	$	1,123,439		$	138,030		$	317,137		$	326,980		$	1,052,272		$	959,337
Net premiums written		1,111,463			139,394			317,045			322,058			1,036,823			950,286
Gross premiums earned		464,719			432,291			443,805			438,510			445,557			393,775
Ceded premiums amortized		(4,166	)		(3,348	)		(5,116	)		(5,135	)		(5,646	)		(4,039	)
Net premiums earned		460,553			428,943			438,689			433,375			439,911			389,736
Other insurance related income		—			—			—			—			—			410
Total underwriting revenues		460,553			428,943			438,689			433,375			439,911			390,146
UNDERWRITING EXPENSES
Net losses and loss expenses		753,168			250,534			271,294			247,876			337,559			235,295
Acquisition costs		93,277			82,545			84,826			83,609			85,508			75,773
General and administrative expenses		27,386			31,041			22,292			22,817			21,851			18,271
Total underwriting expenses		873,831			364,120			378,412			354,302			444,918			329,339
UNDERWRITING INCOME (LOSS)	$	(413,278	)	$	64,823		$	60,277		$	79,073		$	(5,007	)	$	60,807
KEY RATIOS
Current accident year loss ratio		171.1	%		69.3	%		71.8	%		68.3	%		89.5	%		72.8	%
Prior period reserve development		(7.6	)%		(10.9	)%		(10.0	)%		(11.1	)%		(12.8	)%		(12.4	)%
Net loss and loss expense ratio		163.5	%		58.4	%		61.8	%		57.2	%		76.7	%		60.4	%
Acquisition cost ratio		20.3	%		19.2	%		19.4	%		19.3	%		19.4	%		19.4	%
General and administrative expense ratio		5.9	%		7.3	%		5.1	%		5.3	%		5.0	%		4.7	%
Combined ratio		189.7	%		84.9	%		86.3	%		81.8	%		101.1	%		84.5	%

6

AXIS Capital Holdings Limited

NET INVESTMENT INCOME - QUARTERLY

	Q1 2011			Q4 2010			Q3 2010			Q2 2010			Q1 2010			Q1 2009
Fixed maturities	$	88,581		$	84,887		$	89,580		$	86,772		$	91,118		$	91,697
Other investments		25,311			25,391			25,094			(1,985	)		16,265			6,870
Cash and cash equivalents		2,153			1,595			1,517			989			1,735			2,856
Equities		824			63			917			1,332			588			371
Short-term investments		387			706			308			207			220			266
Gross investment income		117,256			112,642			117,416			87,315			109,926			102,060
Investment expense		(6,601	)		(4,753	)		(5,616	)		(4,731	)		(5,307	)		(2,768	)
Net investment income	$	110,655		$	107,889		$	111,800		$	82,584		$	104,619		$	99,292

7

AXIS Capital Holdings Limited

CONSOLIDATED BALANCE SHEETS

	Mar 31, 2011			Dec 31, 2010			Sep 30, 2010			Jun 30, 2010			Mar 31, 2010			Mar 31, 2009
ASSETS
Investments:
Fixed maturities, available for sale, at fair value	$	10,726,390		$	10,482,897		$	10,664,824		$	10,064,335		$	9,649,199		$	8,238,175
Equities, available for sale, at fair value		502,096			349,254			251,005			201,173			201,920			78,527
Other investments, at fair value		554,113			519,296			533,072			547,873			538,917			494,405
Short-term investments, at amortized cost		132,512			172,719			129,042			131,104			143,937			225,583
Total investments		11,915,111			11,524,166			11,577,943			10,944,485			10,533,973			9,036,690
Cash and cash equivalents		1,086,189			1,045,355			1,205,393			1,197,543			1,510,027			1,411,551
Accrued interest receivable		94,013			96,364			92,758			94,686			84,407			80,746
Insurance and reinsurance premium balances receivable		1,880,305			1,343,665			1,536,944			1,722,586			1,708,400			1,581,743
Reinsurance recoverable on paid and unpaid losses		1,688,778			1,577,547			1,551,612			1,545,080			1,445,918			1,432,650
Deferred acquisition costs		498,598			359,300			402,887			419,191			420,283			375,774
Prepaid reinsurance premiums		212,808			221,396			234,850			271,700			291,382			266,789
Securities lending collateral		—			—			—			107,167			86,975			312,364
Goodwill and intangible assets		102,847			103,231			89,744			90,473			91,217			95,380
Other assets		195,275			174,707			154,399			165,369			156,588			183,679
TOTAL ASSETS	$	17,673,924		$	16,445,731		$	16,846,530		$	16,558,280		$	16,329,170		$	14,777,366
LIABILITIES
Reserve for losses and loss expenses	$	8,013,861		$	7,032,375		$	6,934,528		$	6,718,776		$	6,759,522		$	6,392,278
Unearned premiums		2,938,328			2,333,676			2,614,239			2,781,101			2,748,283			2,646,578
Insurance and reinsurance balances payable		141,483			164,927			123,127			199,463			144,679			154,763
Securities lending payable		—			—			—			107,167			87,975			317,310
Senior notes		994,246			994,110			993,976			993,843			993,712			499,395
Other liabilities		231,523			275,422			240,338			182,959			215,835			222,832
Net payable for investments purchased		164,903			20,251			91,384			79,669			3,145			51,373
TOTAL LIABILITIES		12,484,344			10,820,761			10,997,592			11,062,978			10,953,151			10,284,529
SHAREHOLDERS’ EQUITY
Series A and B preferred shares		500,000			500,000			500,000			500,000			500,000			500,000
Common shares		1,958			1,934			1,931			1,930			1,929			1,899
Additional paid-in capital		2,074,982			2,059,708			2,046,297			2,038,158			2,027,950			1,977,144
Accumulated other comprehensive income (loss)		155,192			176,821			371,625			221,856			165,455			(767,182	)
Retained earnings		3,853,076			4,267,608			4,033,018			3,824,111			3,649,770			3,282,392
Treasury shares, at cost		(1,395,628	)		(1,381,101	)		(1,103,933	)		(1,090,753	)		(969,085	)		(501,416	)
TOTAL SHAREHOLDERS’ EQUITY		5,189,580			5,624,970			5,848,938			5,495,302			5,376,019			4,492,837
TOTAL LIABILITIES AND SHAREHOLDERS’ EQUITY	$	17,673,924		$	16,445,731		$	16,846,530		$	16,558,280		$	16,329,170		$	14,777,366
Basic common shares outstanding		113,902			112,393			119,958			120,254			124,155			137,622
Diluted common shares outstanding		131,402			130,189			137,115			136,613			141,076			151,545
Book value per common share	$	41.17		$	45.60		$	44.59		$	41.54		$	39.27		$	29.01
Diluted book value per common share	$	35.69		$	39.37		$	39.01		$	36.57		$	34.56		$	26.35
Debt (Senior notes) to total capital [a]		16.1	%		15.0	%		14.5	%		15.3	%		15.6	%		10.0	%
Debt plus preferred shares to total capital		24.2	%		22.6	%		21.8	%		23.0	%		23.5	%		20.0	%

[a] The debt to capital 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

CASH AND INVESTED ASSETS PORTFOLIO

At March 31, 2011

	Cost or Amortized Cost		Unrealized Gains		Unrealized Losses			Fair Value			Percentage
Fixed Maturities, available for sale
U.S. government and agency	$	1,068,362	$	2,764	$	(2,176	)	$	1,068,950			8	%
Non-U.S. government		822,952		18,497		(3,110	)		838,339			7	%
Corporate debt		3,963,915		108,577		(19,808	)		4,052,684			31	%
Agency RMBS		2,608,846		38,574		(24,723	)		2,622,697			20	%
CMBS		460,320		23,460		(1,534	)		482,246			4	%
Non-Agency RMBS		231,382		3,545		(7,290	)		227,637			2	%
ABS		660,796		11,837		(15,014	)		657,619			5	%
Municipals		774,725		10,006		(8,513	)		776,218			6	%
Total fixed maturities		10,591,298		217,260		(82,168	)		10,726,390			83	%
Equities, available for sale		466,429		41,524		(5,857	)		502,096			4	%
Total available for sale investments	$	11,057,727	$	258,784	$	(88,025	)		11,228,486			87	%
Other investments (see below)									554,113			4	%
Short-term investments									132,512			1	%
Total investments									11,915,111			92	%
Cash and cash equivalents [a]									1,086,189			8	%
Accrued interest receivable									94,013			1	%
Net receivable/(payable) for investments sold (purchased)									(164,903	)		(1	)%
Total cash and invested assets								$	12,930,410			100	%
Other Investments:								Fair Value			Percentage
Fund of hedge funds								$	238,519			43	%
Hedge funds									151,125			27	%
Credit funds									104,208			19	%
Collateralized loan obligations - equity tranches									60,261			11	%
Total								$	554,113			100	%

[a] Includes $123 million of restricted cash and cash equivalents.

9

AXIS Capital Holdings Limited

CASH AND INVESTED ASSETS COMPOSITION - QUARTERLY

	Q1 2011			Q4 2010			Q3 2010			Q2 2010			Q1 2010			Q1 2009
CASH AND INVESTED ASSETS PORTFOLIO	Fair Value %			Fair Value %			Fair Value %			Fair Value %			Fair Value %			Fair Value %
Fixed Maturities:
U.S. government and agency		8.3	%		6.8	%		10.7	%		11.7	%		11.0	%		13.6	%
Non-U.S. government		6.5	%		6.1	%		6.2	%		6.2	%		5.6	%		2.4	%
Corporate debt		31.3	%		32.9	%		33.7	%		33.4	%		31.9	%		21.7	%
MBS:
Agency RMBS		20.3	%		20.5	%		16.4	%		14.0	%		14.0	%		23.7	%
CMBS		3.7	%		3.8	%		3.9	%		5.0	%		5.6	%		7.1	%
Non-agency RMBS		1.8	%		1.9	%		1.7	%		1.7	%		1.6	%		2.7	%
ABS		5.1	%		5.2	%		5.2	%		5.1	%		4.4	%		3.4	%
Municipals		6.0	%		5.6	%		5.6	%		5.2	%		5.4	%		3.9	%
Total Fixed Maturities		83.0	%		82.8	%		83.4	%		82.3	%		79.5	%		78.5	%
Equities		3.9	%		2.8	%		2.0	%		1.7	%		1.7	%		0.7	%
Other investments		4.3	%		4.1	%		4.2	%		4.5	%		4.4	%		4.7	%
Short-term investments		1.0	%		1.4	%		1.0	%		1.1	%		1.2	%		2.3	%
Total investments		92.2	%		91.1	%		90.6	%		89.6	%		86.8	%		86.2	%
Cash and cash equivalents		8.4	%		8.3	%		9.4	%		9.9	%		12.4	%		13.5	%
Accrued interest receivable		0.7	%		0.8	%		0.7	%		1.2	%		0.8	%		0.8	%
Net receivable/(payable) for investments sold or purchased		(1.3	)%		(0.2	)%		(0.7	)%		(0.7	)%		—			(0.5	)%
Total Cash and Invested Assets		100.0	%		100.0	%		100.0	%		100.0	%		100.0	%		100.0	%
CREDIT QUALITY	Fair Value %			Fair Value %			Fair Value %			Fair Value %			Fair Value %			Fair Value %
Cash and cash equivalents		9.2	%		8.9	%		10.1	%		10.5	%		13.4	%		14.2	%
U.S. government and agency		9.0	%		7.4	%		11.4	%		12.5	%		11.8	%		14.9	%
AAA		40.3	%		42.6	%		38.4	%		37.9	%		36.4	%		47.1	%
AA		8.9	%		9.3	%		9.4	%		9.5	%		9.1	%		6.5	%
A		19.0	%		18.5	%		17.6	%		17.0	%		16.5	%		10.2	%
BBB		9.6	%		10.0	%		10.5	%		11.3	%		11.2	%		5.7	%
Below BBB		3.9	%		3.3	%		2.6	%		1.3	%		1.6	%		1.4	%
Total		100.0	%		100.0	%		100.0	%		100.0	%		100.0	%		100.0	%
MATURITY PROFILE	Fair Value %			Fair Value %			Fair Value %			Fair Value %			Fair Value %			Fair Value %
Within one year (includes cash & cash equivalents)		13.4	%		14.6	%		16.8	%		18.4	%		20.7	%		18.4	%
From one to five years		38.1	%		35.4	%		38.4	%		36.2	%		33.9	%		28.2	%
From five to ten years		13.1	%		14.1	%		13.9	%		14.8	%		14.7	%		10.6	%
Above ten years		1.5	%		1.9	%		1.9	%		2.6	%		3.0	%		2.5	%
Asset-backed and mortgage-backed securities		33.9	%		34.0	%		29.0	%		28.0	%		27.7	%		40.3	%
Total		100.0	%		100.0	%		100.0	%		100.0	%		100.0	%		100.0	%
CASH AND INVESTED ASSETS PORTFOLIO CHARACTERISTICS
Book yield of fixed maturities		3.3	%		3.3	%		3.3	%		3.6	%		3.7	%		4.2	%
Yield to maturity of fixed maturities		2.9	%		2.8	%		2.3	%		3.2	%		3.5	%		4.6	%
Average duration of fixed maturities		3.1 yrs			3.2 yrs			3.1 yrs			3.0 yrs			2.9 yrs			3.1 yrs
Average credit quality		AA			AA			AA			AA			AA			AA

10

AXIS Capital Holdings Limited

CORPORATE DEBT COMPOSITION

At March 31, 2011

	Fair Value		Percentage of Corporate Debt			Percentage of Total Cash and Invested Assets
Composition by sector - Investment grade [a]
US banking	$	962,239		23.7	%		7.4	%
Foreign banking		437,043		10.8	%		3.4	%
Communications		421,653		10.4	%		3.3	%
Utilities		334,655		8.3	%		2.6	%
Consumer non cyclicals		331,168		8.2	%		2.6	%
Finance		272,912		6.7	%		2.1	%
Industrial		228,425		5.6	%		1.8	%
Non US government guaranteed		211,498		5.2	%		1.6	%
Energy		194,536		4.8	%		1.5	%
Consumer cyclicals		106,365		2.6	%		0.8	%
Technology		64,638		1.6	%		0.5	%
Insurance		55,836		1.4	%		0.4	%
Transportation		36,484		0.9	%		0.3	%
Other		8,806		0.2	%		0.1	%
Total investment grade		3,666,258		90.4	%		28.3	%
Total non-investment grade		386,426		9.6	%		3.0	%
Total corporate debt	$	4,052,684		100	%		31.3	%

	Investment Grade		Non-Investment Grade
Corporate debt characteristics
Average S&P credit rating		A		B+
Average duration		3.51		0.94

[a] Included in investment grade corporate debt are $30 million of FDIC guaranteed bonds

11

AXIS Capital Holdings Limited

INVESTMENT PORTFOLIO

TEN LARGEST ISSUER HOLDINGS IN FIXED MATURITY PORTFOLIO

At March 31, 2011

ISSUER [a]	Amortized Cost		Unrealized Gain		Fair Value		% of Total Fixed Maturities			Government Guaranteed  [b]
BANK OF AMERICA CORP	$	164,529	$	3,857	$	168,386		1.6	%	$	7,022
MORGAN STANLEY		155,721		3,450		159,171		1.5	%		2,260
CITIGROUP INC		149,150		6,011		155,161		1.4	%		10,516
JPMORGAN CHASE & CO		133,738		2,784		136,522		1.3	%		—
GOLDMAN SACHS GROUP		120,306		3,593		123,899		1.2	%		1,017
GENERAL ELECTRIC CO		116,300		938		117,238		1.1	%		3,528
VERIZON COMMUNICATIONS INC		83,420		6,447		89,867		0.8	%		—
WELLS FARGO & COMPANY		80,010		2,040		82,050		0.8	%		—
HSBC HOLDINGS PLC		77,980		2,116		80,096		0.7	%		—
ANHEUSER-BUSCH INBEV NV		68,113		174		68,287		0.6	%		—

[a] 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.

[b] Amounts guaranteed by the U.S. Federal Deposit Insurance Corporation (“FDIC”) and foreign government and agencies included in Fair Value.

12

AXIS Capital Holdings Limited

MORTGAGE-BACKED AND ASSET-BACKED SECURITIES COMPOSITION

At March 31, 2011

	Agencies			AAA			AA			A			BBB			Non Investment Grade			Total
Residential MBS	$	2,622,697		$	154,467		$	6,575		$	2,313		$	11,064		$	53,218		$	2,850,334
Commercial MBS		—			363,146			38,626			78,886			1,588			—			482,246
ABS		—			612,286			221			13,669			13,945			17,498			657,619
Total mortgage-backed and asset-backed securities	$	2,622,697		$	1,129,899		$	45,422		$	94,868		$	26,597		$	70,716		$	3,990,199
Percentage of total		65.7	%		28.3	%		1.1	%		2.4	%		0.7	%		1.8	%		100.0	%

13

AXIS Capital Holdings Limited

REINSURANCE RECOVERABLE ANALYSIS

	Q1 2011			Q4 2010			Q3 2010			Q2 2010			Q1 2010			Q1 2009
Reinsurance recoverable on paid losses and loss expenses:
Insurance	$	26,525		$	41,077		$	31,007		$	46,511		$	26,447		$	47,512
Reinsurance		—			—			5,000			4,995			4,995			4,995
Total	$	26,525		$	41,077		$	36,007		$	51,506		$	31,442		$	52,507
Reinsurance recoverable on unpaid losses and loss expenses: OSLR
Insurance	$	477,084		$	432,426		$	424,234		$	445,871		$	377,826		$	430,115
Reinsurance		—			—			—			—			—			—
Total	$	477,084		$	432,426		$	424,234		$	445,871		$	377,826		$	430,115
Reinsurance recoverable on unpaid losses and loss expenses: IBNR
Insurance	$	1,152,784		$	1,073,960		$	1,067,630		$	1,029,475		$	1,020,877		$	939,382
Reinsurance		49,479			47,204			46,020			43,514			40,653			31,079
Total	$	1,202,263		$	1,121,164		$	1,113,650		$	1,072,989		$	1,061,530		$	970,461
Provision against reinsurance recoverables:
Insurance	$	(16,706	)	$	(16,737	)	$	(16,911	)	$	(19,941	)	$	(19,563	)	$	(13,623	)
Reinsurance		(388	)		(383	)		(5,368	)		(5,345	)		(5,317	)		(6,810	)
Total	$	(17,094	)	$	(17,120	)	$	(22,279	)	$	(25,286	)	$	(24,880	)	$	(20,433	)
Net reinsurance recoverables:
Insurance	$	1,639,687		$	1,530,726		$	1,505,960		$	1,501,916		$	1,405,587		$	1,403,386
Reinsurance		49,091			46,821			45,652			43,164			40,331			29,264
Total	$	1,688,778		$	1,577,547		$	1,551,612		$	1,545,080		$	1,445,918		$	1,432,650

14

AXIS Capital Holdings Limited

REINSURANCE RECOVERABLE ANALYSIS

Consolidated Reinsurance Recoverable	March 31, 2011
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	$	1,198,309	$	(24,291	)	$	1,174,018		72.5	%		22.6	%	$	(8,714	)		0.7	%	$	1,189,595
Other reinsurers balances > $20 million		223,999		(12,640	)		211,359		13.0	%		4.1	%		(1,275	)		0.6	%		222,724
Other reinsurers balances < $20 million		283,564		(49,129	)		234,435		14.5	%		4.5	%		(7,105	)		2.5	%		276,459
Total	$	1,705,872	$	(86,060	)	$	1,619,812		100.0	%		31.2	%	$	(17,094	)		1.0	%	$	1,688,778

At March 31, 2011, 98.1% (December 31, 2010, 97.9%) 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
Transatlantic Reinsurance Co.		13.3	%		4.1	%
Swiss Reinsurance America Corporation		11.5	%		3.6	%
Partner Reinsurance Co of US		11.0	%		3.4	%
Berkley Insurance Company		8.3	%		2.6	%
Lloyds of London		7.3	%		2.3	%
Ace Property & Casualty Ins		6.4	%		2.0	%
XL Reinsurance America Inc		6.1	%		1.9	%
Munchener Ruckversicherungs Gesellschaft		3.1	%		1.0	%
Liberty Mutual Insurance Co.		3.1	%		0.9	%
Munich Re America, Inc 3/4		2.4	%		0.8	%
		72.5	%		22.6	%

15

AXIS Capital Holdings Limited

RESERVE FOR LOSSES AND LOSS EXPENSES: PAID TO INCURRED ANALYSIS

	Quarter ended March 31, 2011									Quarter ended March 31, 2010
Reserve for unpaid losses and loss expenses	Gross			Recoveries			Net			Gross			Recoveries			Net
Beginning of period	$	7,032,375		$	(1,540,633	)	$	5,491,742		$	6,564,133		$	(1,381,058	)	$	5,183,075
Incurred		1,192,849			(173,048	)		1,019,801			555,596			(87,334	)		468,262
Paid		(276,463	)		49,676			(226,787	)		(300,316	)		39,283			(261,033	)
Foreign exchange and other		65,100			(2,410	)		62,690			(59,891	)		1,747			(58,144	)
End of period [a]	$	8,013,861		$	(1,666,415	)	$	6,347,446		$	6,759,522		$	(1,427,362	)	$	5,332,160

[a] At March 31, 2011, the gross reserve for losses and loss expenses included IBNR of $5,480 million, or 68%, of total gross reserves for loss and loss expenses. At December 31, 2010, the comparable amount was $4,935 million, or 70%.

16

AXIS Capital Holdings Limited

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

	Quarter ended March 31, 2011									Quarter ended March 31, 2010
	Insurance			Reinsurance			Total			Insurance			Reinsurance			Total
Gross losses paid	$	89,390		$	187,073		$	276,463		$	179,490		$	120,826		$	300,316
Reinsurance recoveries		(49,676	)		—			(49,676	)		(39,283	)		—			(39,283	)
Net losses paid		39,714			187,073			226,787			140,207			120,826			261,033
Change in:
Reported case reserves		211,857			194,207			406,064			(82,590	)		20,158			(62,432	)
IBNR		136,165			374,157			510,322			118,721			198,991			317,712
Reinsurance recoveries on unpaid loss and loss expense reserves		(121,102	)		(2,270	)		(123,372	)		(45,635	)		(2,416	)		(48,051	)
Total net incurred losses and loss expenses	$	266,634		$	753,167		$	1,019,801		$	130,703		$	337,559		$	468,262
Gross reserve for losses and loss expenses	$	3,865,548		$	4,148,313		$	8,013,861		$	3,533,040		$	3,226,482		$	6,759,522
Prior years net favorable reserve development	$	14,728		$	34,976		$	49,704		$	25,369		$	56,097		$	81,466
Key Ratios
Net paid to net incurred percentage		14.9	%		24.8	%		22.2	%		107.3	%		35.8	%		55.7	%
Net paid losses / Net premiums earned		12.1	%		40.6	%		28.8	%		54.7	%		27.4	%		37.5	%
Change in net loss and loss expense reserves / Net premiums earned		69.3	%		122.9	%		100.6	%		(3.7	%)		49.3	%		29.8	%
Net loss and loss expense ratio		81.4	%		163.5	%		129.4	%		51.0	%		76.7	%		67.3	%

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AXIS Capital Holdings Limited

RESERVE FOR LOSSES AND LOSS EXPENSES: PAID TO INCURRED ANALYSIS

INSURANCE - QUARTERLY

	Quarter ended
	Q1 2011			Q4 2010			Q3 2010			Q2 2010			Q1 2010			Q1 2009
Gross losses paid	$	89,390		$	203,863		$	218,495		$	384,703		$	179,490		$	199,058
Reinsurance recoveries		(49,676	)		(78,224	)		(63,619	)		(87,703	)		(39,283	)		(36,760	)
Net losses paid		39,714			125,639			154,876			297,000			140,207			162,298
Change in:
Reported case reserves		211,857			13,991			(88,805	)		81,219			(62,590	)		(30,628	)
IBNR		136,165			5,653			95,595			(143,990	)		98,721			91,850
Reinsurance recoveries on unpaid loss and loss expense reserves		(121,102	)		(12,472	)		(10,806	)		(78,735	)		(45,635	)		(70,816	)
Total net incurred losses and loss expenses	$	266,634		$	132,811		$	150,860		$	155,494		$	130,703		$	152,704
Gross reserve for losses and loss expenses	$	3,865,548		$	3,512,002		$	3,488,114		$	3,460,339		$	3,533,040		$	3,603,197
Prior years net favorable reserve development	$	14,728		$	34,603		$	27,823		$	30,541		$	25,369		$	35,906
Key Ratios
Net paid to net incurred percentage		14.9	%		94.6	%		102.7	%		191.0	%		107.3	%		106.3	%
Net paid losses / Net premiums earned		12.1	%		38.2	%		48.4	%		98.5	%		54.7	%		58.9	%
Change in net loss and loss expense reserves / Net premiums earned		69.3	%		2.2	%		(1.3	%)		(46.9	%)		(3.7	%)		(3.5	%)
Net loss and loss expense ratio		81.4	%		40.4	%		47.1	%		51.6	%		51.0	%		55.4	%

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AXIS Capital Holdings Limited

RESERVE FOR LOSSES AND LOSS EXPENSES: PAID TO INCURRED ANALYSIS

REINSURANCE - QUARTERLY

	Quarter ended
	Q1 2011			Q4 2010			Q3 2010			Q2 2010			Q1 2010			Q1 2009
Gross losses paid	$	187,073		$	173,651		$	182,404		$	148,580		$	120,826		$	111,795
Reinsurance recoveries		—			—			—			—			—			—
Net losses paid		187,073			173,651			182,404			148,580			120,826			111,795
Change in:
Reported case reserves		194,207			161,567			36,785			34,429			20,158			38,417
IBNR		374,157			(83,515	)		54,589			67,699			198,991			86,136
Reinsurance recoveries on unpaid loss and loss expense reserves		(2,270	)		(1,169	)		(2,484	)		(2,832	)		(2,416	)		(1,053	)
Total net incurred losses and loss expenses	$	753,167		$	250,534		$	271,294		$	247,876		$	337,559		$	235,295
Gross reserve for losses and loss expenses	$	4,148,313		$	3,520,373		$	3,446,414		$	3,258,437		$	3,226,482		$	2,789,081
Prior years net favorable reserve development	$	34,976		$	46,673		$	43,884		$	48,065		$	56,097		$	48,428
Key Ratios
Net paid to net incurred percentage		24.8	%		69.3	%		67.2	%		59.9	%		35.8	%		47.5	%
Net paid losses / Net premiums earned		40.6	%		40.5	%		41.6	%		34.3	%		27.4	%		28.7	%
Change in net loss and loss expense reserves / Net premiums earned		122.9	%		17.9	%		20.2	%		22.9	%		49.3	%		31.7	%
Net loss and loss expense ratio		163.5	%		58.4	%		61.8	%		57.2	%		76.7	%		60.4	%

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AXIS Capital Holdings Limited

2011 IMPACT OF MAJOR CATASTROPHE EVENTS

	Australia[a]			Christchurch New Zealand			Japan			Total
Gross loss and loss expenses
Insurance	$	2,650		$	20,000		$	77,500		$	100,150
Reinsurance		85,820			184,410			263,600			533,830
Total		88,470			204,410			341,100			633,980
Net loss and loss expenses
Insurance		2,650			20,000			25,000			47,650
Reinsurance		85,820			184,410			263,600			533,830
Total		88,470			204,410			288,600			581,480
Gross premiums earned [b]
Reinsurance		1,810			1,533			4,005			7,348
Ceded premiums expensed [c]
Insurance		—			—			2,430			2,430
Total impact before income tax		86,660			202,877			287,025			576,562
Income tax benefit		(230	)		(520	)		(2,220	)		(2,970	)
Total impact after income tax	$	86,430		$	202,357		$	284,805		$	573,592

[a] Includes January floods and Cyclone Yasi.

[b] The impact of the catastrophes on gross premiums earned relates to the accelerated recognition of unearned premiums on impacted contracts in our reinsurance segment, as well as the applicable earnings for reinstatement premiums covering the remaining risk period.

[c] The impact of the catastrophes on ceded premiums expensed relates to the accelerated recognition of prepaid reinsurance premiums on the reinsurance protection program in our insurance segment, as well as the applicable expense related to the reinstatement premiums payable for coverage during the remaining risk period.

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AXIS Capital Holdings Limited

ESTIMATED NET MODELED LOSSES TO PEAK TERRITORY CATASTROPHE EXPOSURES - AS OF APRIL 1, 2011

		Group Estimated Net Exposures (in millions of U.S.  dollars)						Estimated Industry Exposures (in billions of U.S.  dollars)
Territory	Peril	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	$	779	$	1,074	$	1,425	$	83	$	125	$	204
California	Earthquake		471		718		1,159		18		31		55
Europe	Windstorm		340		457		650		17		23		31
Japan	Earthquake		207		305		625		20		28		52
Japan	Windstorm		62		119		146		20		28		45

We impose limits on natural peril catastrophe risk exposure at the group level. Based on our current tolerance, we are not willing to lose more than 25% of our prior quarter-end common equity for a modeled single occurrence 1-in-250 year return period probable maximum net loss. We impose these limits on probable maximum losses in any one zone from a single event. A zone is a geographical area in which insurance risks are considered to be correlated to a single catastrophe event. For example, our U.S. hurricane exposures above include hurricanes from South Eastern and North Eastern U.S. zones, amongst others. Our executive management receives regular reports on our group-wide total natural peril exposures by peril and zone to ensure active monitoring of our risk positions.

The above table shows our net modeled loss estimates to the corresponding peak natural catastrophe territories at April 1, 2011. We have developed these loss estimates using multiple commercially available catastrophe models and our own assessments for non-vendor modeled exposures. These estimates include assumptions regarding the location, size and magnitude of an event, the frequency of events, the construction type and a property’s susceptibility to damage in a zone, and the cost of rebuilding property in a territory. Loss estimates for non-U.S. territories will be subject to foreign exchange rates, although we may mitigate this currency variability from a financial statement point of view. 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 $1.1 billion. According to our modeling, there is a one percent chance that on an annual basis, our losses incurred in any single U.S. hurricane event could be in excess of $1.1 billion. Conversely, there is a 99% chance that on an annual basis, the loss from a single U.S. hurricane will fall below $1.1 billion. We estimate that, an event that gave rise to such hypothetical loss levels, at this return period, would cause industry losses of approximately $125 billion, resulting in an estimated market share of insured losses for us of around 1%.

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.

21

AXIS Capital Holdings Limited

EARNINGS PER COMMON SHARE INFORMATION AND COMMON SHARE ROLLFOWARD - QUARTERLY

	Q1 2011			Q4 2010			Q3 2010			Q2 2010			Q1 2010			Q1 2009
Net income (loss) available to common shareholders	$	(383,760	)	$	264,343		$	238,842		$	204,852		$	111,812		$	115,679
COMMON SHARES OUTSTANDING
Common shares - at beginning of period		112,393			119,958			120,254			124,155			132,140			136,212
Shares issued		1,908			215			148			76			2,008			1,630
Shares repurchased for treasury		(399	)		(7,780	)		(444	)		(3,977	)		(9,993	)		(220	)
Common shares - at end of period		113,902			112,393			119,958			120,254			124,155			137,622
WEIGHTED AVERAGE COMMON SHARES OUTSTANDING
Weighted average basic shares outstanding		113,351			117,101			120,091			121,766			128,202			137,316
Dilutive share equivalents:
Warrants[a]		—			12,873			12,012			11,866			11,675			9,729
Stock compensation plans[a]		—			2,825			2,303			2,033			2,299			1,978
Weighted average diluted shares outstanding		113,351			132,799			134,406			135,665			142,176			149,023
EARNINGS (LOSS) PER COMMON SHARE
Basic	($	3.39	)	$	2.26		$	1.99		$	1.68		$	0.87		$	0.84
Diluted	($	3.39	)	$	1.99		$	1.78		$	1.51		$	0.79		$	0.78

[a] Due to the net loss incurred in the three months ended March 31, 2011, these securities were not included in the computation of diluted earnings per share, because of their anti-dilutive effect.

22

AXIS Capital Holdings Limited

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

	At March 31, 2011
	Weighted Average Strike Price		Common Shareholders’ Equity		Outstanding Common Shares net of Treasury Shares		Per share
Closing stock price							$	34.92
Book value per common share			$	4,689,580		113,902	$	41.17
Dilutive securities:
Warrants	$	12.31		—		12,820		(4.16	)
Restricted stocks				—		3,458		(0.97	)
Options	$	21.98		—		813		(0.24	)
Restricted and phantom stock units				—		409		(0.11	)
Diluted book value per common share			$	4,689,580		131,402	$	35.69
	At December 31, 2010
	Weighted Average Strike Price		Common Shareholders’ Equity		Outstanding Common Shares net of Treasury Shares		Per share
Closing stock price							$	35.88
Book value per common share			$	5,124,970		112,393	$	45.60
Dilutive securities:
Warrants	$	12.31		—		12,999		(4.73	)
Restricted stocks				—		3,592		(1.13	)
Options	$	22.26		—		880		(0.28	)
Restricted and phantom stock units				—		325		(0.09	)
Diluted book value per common share			$	5,124,970		130,189	$	39.37

[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 stocks and units and unrestricted phantom stock units are also added to determine the diluted common shares outstanding.

23

AXIS Capital Holdings Limited

NON-GAAP FINANCIAL MEASURE RECONCILIATION

	Quarter ended March 31,
	2011			2010
	(in thousands)
Net income (loss) available to common shareholders	$	(383,760	)	$	111,812
Adjustment for net realized investment gains		(30,144	)		(16,176	)
Adjustment for associated tax impact		2			14
Operating income (loss)		(413,902	)		95,650
Adjustment for foreign exchange losses (gains)		15,058			(8,147	)
Adjustment for associated tax impact		(22	)		2,277
Operating income (loss) excluding foreign exchange gains/losses, net of tax	$	(398,866	)	$	89,780
Net income (loss) per share - diluted	$	(3.39	)	$	0.79
Adjustment for net realized investment gains		(0.26	)		(0.12	)
Adjustment for associated tax impact		—			—
Operating income (loss) per share - diluted	$	(3.65	)	$	0.67
Adjustment for foreign exchange losses (gains)		0.13			(0.06	)
Adjustment for associated tax impact		—			0.02
Operating income (loss) excluding foreign exchange gains/losses, net of tax	$	(3.52	)	$	0.63
Weighted average common shares and common share equivalents - diluted		113,351			142,176

24