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): February 9, 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 February 9, 2009, AXIS Capital Holdings Limited, a Bermuda company, issued a press release reporting its fourth quarter and year end 2008 results and the availability of its fourth quarter and year end 2008 financial supplement. The press release and the financial supplement are attached hereto as Exhibit 99.1 and Exhibit 99.2, respectively. An Investment Portfolio Supplemental Information and Data presentation is attached as Exhibit 99.3.

Item 9.01 Financial Statements and Exhibits

(d) Exhibits

99.1	Press release dated February 9, 2009.
99.2	Fourth quarter and year end 2008 Financial Supplement.
99.3	Investment Portfolio Supplemental Information and Data presentation.

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: February 9, 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 February 9, 2009.
99.2	Fourth quarter and year end 2008 Financial Supplement.
99.3	Investment Portfolio Supplemental Information and Data presentation

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 FOURTH QUARTER NET INCOME OF $131 MILLION AND FULL

YEAR NET INCOME OF $351 MILLION

FOURTH QUARTER DILUTED EARNINGS PER SHARE OF $0.88 AND

RETURN ON AVERAGE EQUITY OF 13.0% (ANNUALIZED)

Pembroke, Bermuda, February 9, 2009—AXIS Capital Holdings Limited (“AXIS Capital”) (NYSE: AXS) today reported net income for the fourth quarter of 2008 of $131 million, or $0.88 per diluted common share, compared with net income of $306 million, or $1.89 per diluted common share, for the corresponding period in 2007. Net income for the full year of 2008 was $351 million, or $2.26 per diluted share, compared with $1,055 million, or $6.41 per diluted share, for the prior year.

Our operating income for the fourth quarter of 2008 was $163 million, or $1.09 per diluted share, compared with $296 million, or $1.83 per diluted common share, for the fourth quarter of 2007. The same item excluding foreign exchange gains, net of tax, for the fourth quarter of 2008 was $141 million, or $0.94 per diluted common share, compared with $296 million, or $1.83 per diluted common share, for the same period of 2007.

Operating income for the full year of 2008 was $436 million, or $2.81 per diluted share, compared with $1,050 million, or $6.38 per diluted common share for 2007. This same item excluding foreign exchange gains, net of tax, for 2008 was $391 million, or $2.52 per diluted common share, compared with $1,035 million, or $6.29 per diluted common share, for 2007.

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

Tel. 441.496.2600 Fax 441.296.3140

www.axiscapital.com

1

Fourth Quarter and Full Year Highlights

• Return on average common shareholders’ equity of 13.0% for the quarter (annualized) and 8.1% for the full year;

• Strong underwriting results in both segments this quarter driving a 4% increase in underwriting income. Our combined ratio of 67.6% improved 3.2 points from the prior year quarter;

• A consolidated combined ratio of 89.8% for the year compared with 75.3% in the prior year. The increase primarily reflects estimated net losses incurred from Hurricanes Ike and Gustav of $408 million, or 15.2 points. Our total estimated net losses from these hurricanes is unchanged from September 30, 2008;

• Net favorable prior year reserve development in the quarter and full year of 2008 of $125 million and $376 million, respectively;

• Pre-tax net investment losses in the quarter of $26 million compared to net investment income of $125 million in the prior year quarter. Our pre-tax net investment income for the year decreased 49% to $247 million. These reductions were primairly due to valuation declines on credit funds, and to a lesser extent hedge funds, resulting from the significant disruption in the global markets;

• Strong operating cash flows of $297 million for the quarter and $1.5 billion for the year;

• Shareholders’ equity of $4.5 billion, a decrease of 3% from September 30, 2008. This decline was driven by after-tax unrealized losses on our investment portfolio of $208 million and share repurchases of $50 million. This was partially offset by net income of $131 million in the quarter;

• Diluted book value per common share of $25.79, a decrease of 2% from September 30, 2008, and 10% from December 31, 2007.

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

Tel. 441.496.2600 Fax 441.296.3140

www.axiscapital.com

2

Commenting on the 2008 financial results, John Charman, Chief Executive Officer and President of AXIS Capital, stated: “In 2008, we have delivered $351 million in net income, a return on average common equity of 8% and, importantly, an excellent combined ratio of 90%. This result continues to positively reflect the diversity and strength of our global underwriting operations, but also reflects the negative impact of the extreme volatility of the global financial markets on our alternative investment portfolio, in particular, in 2008. Further, the decline in our book value per share during the year of 10% was primarily due to the unprecedented decline in asset values globally. Despite this, the overall conservative nature of our investment portfolio and liquidity position has held us in good stead.

In 2008, we estimate that our industry will digest over $60 billion in insured property and energy losses worldwide, AXIS’s market share of these losses is less than 1%. The year also presented some of the most challenging and previously uncorrelated market conditions we have experienced since the formation of AXIS and which prevailed throughout 2008. Importantly we successfully maintained our overall defensive underwriting posture against a market backdrop of often irrational and excessive pricing competition. We are comfortable that any expected loss activity related to the credit crisis and deteriorating global economic environment is manageable and well within acceptable loss parameters for us.

Through the last several months, we have seen strong signals that our view regarding a reinsurance-led hard market is coming to fruition. As we anticipated, the insurance markets are lagging the reinsurance market. We continue to believe the insurance markets will begin to respond positively from the middle of this year onwards. We have not, cannot and will not abandon our high underwriting and operational standards which, in some areas, means that we will continue to shrink our underwriting activity and our exposures. In most areas of our underwriting portfolio, we are in a very strong position to take advantage of any dislocations and ensuing opportunities.

Against the backdrop of these unprecedented adverse events, our fundamentals remain strong. Last week, Standard & Poor’s upgraded our financial strength ratings to A+ in recognition of the outstanding performance AXIS has delivered since the formation of our Company, our financial security and our strong enterprise risk management. Against the backdrop of a world which is increasingly more discerning with respect to counterparty financial strength, we are even more strongly positioned to capitalize on opportunities which will crystallize as this industry changing transitional period progresses. We expect the coming year will continue to present challenges, but our global, diversified and strongly capitalized company is more than prepared to meet these challenges and to positively re-position our global franchise as market conditions and changes unfold over the next couple of years.”

Segment Highlights

Insurance Segment

Our insurance segment reported underwriting income for the quarter of $97 million, down 8% from the fourth quarter of 2007. The current quarter underwriting result reflected a combined ratio of 60.2%, down 4.1 points from the prior year quarter. This reduction was driven by lower acquisition costs and general and administrative costs. These factors in the quarter were partially offset by lower net prior period favorable reserve development. Net favorable prior period reserve development was $60 million, or 20.5 points, this quarter compared with $71 million, or 24.2 points, in the fourth quarter of 2007. In addition, the current quarter’s underwriting result included a reduction of $20 million in the fair value of an insurance derivative contract, which is included in other insurance related income. For the full year, our insurance segment reported underwriting income of $187 million, down 50% from the prior year. The segment’s combined ratio for the full year increased 11.6 points to 80.8% for the year, driven by net losses incurred on Hurricane Ike and Gustav of $127 million, or 10.7 points.

Gross premiums written in our insurance segment decreased 12% to $449 million for the quarter and 10% to $1.8 billion for the full year. We reduced gross premiums written in many of our property and casualty lines of business this year as a result of continued competitive market conditions. In addition, gross premiums written for our credit and political risk book was negatively impacted by a reduction in available transactions during the second half of 2008 as capital flows slowed amidst the ongoing global financial crisis. Net premiums written in our insurance segment decreased 19% to $261 million for the quarter and 15% to $1.1 billion for the year. These decreases were due to the reduction in gross premiums written, the expansion of our reinsurance coverage during the year and a shift in business mix towards business with higher levels of ceded premiums.

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

Tel. 441.496.2600 Fax 441.296.3140

www.axiscapital.com

3

Reinsurance Segment

Our reinsurance segment reported underwriting income for the quarter of $119 million, up 17% from the fourth quarter of 2007. The segment’s combined ratio decreased 5.5 points to 67.5%, primarily reflecting higher prior period net favorable reserve development. Net favorable prior period development was $65 million, or 17.8 points, this quarter compared with $21 million, or 5.6 points, in the fourth quarter of 2007. This was partially offset by an increase in the segment’s current accident year loss ratio of 6.7 points to 62.6%, due to higher property loss activity and increased loss activity arising from the ongoing global financial crisis. For the full year, our reinsurance segment reported underwriting income of $119 million, down 67% from the prior year. The segment’s combined ratio increased 15.8 points to 92.1% for the year, driven by net losses incurred on Hurricane Ike and Gustav of $281 million, or 18.7 points.

Our reinsurance segment reported gross premiums written of $78 million and $1,548 million in the quarter and full year 2008, respectively, compared to $64 million and $1,551 million in the corresponding periods of 2007.

Investments

Net investment losses for the quarter of $26 million compared to net investment income for the prior year quarter of $125 million. For the full year, net investment income decreased 49% to $247 million. We continued to generate growing net investment income from our fixed maturity investment portfolio, which increased 5% to $110 million for the quarter, and 17% to $432 million for the year. However, this was more than offset by a reduction in net investment income from our alternative investment portfolio (“other investments”) of $142 million for the quarter and $255 million for the year. These reductions were driven by valuation declines in our investments in credit funds, and to a lesser extent, hedge funds. The valuation of credit funds were negatively impacted by significant selling pressures in the bank loan market. Hedge funds, which are primarily exposed to long-biased equity strategies, were down in line with hedge fund benchmarks, but, as expected, performed better than the broader equity markets during 2008.

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

Tel. 441.496.2600 Fax 441.296.3140

www.axiscapital.com

4

We experienced net realized investment losses of $33 million and $85 million in the fourth quarter and full year of 2008, respectively, compared to net realized gains of $11 million and $5 million in the corresponding periods of 2007.

At December 31, 2008, net unrealized losses within our investment portfolio were $716 million, an increase of $218 million for the quarter and $743 million for the full year. The increase was primarily related to the widening of credit spreads on corporate bonds and non-agency mortgage-backed securities, and to a lesser extent, the impact of a strengthening U.S. Dollar on certain foreign-denominated investments, rather than issuer-specific credit events in the quarter.

At December 31, 2008, we held cash and cash equivalent balances of $1.8 billion, or 17%, of total cash and investments. Our fixed maturity investment portfolio, which represents 77% of total cash and investments, is well diversified, has a weighted average credit quality of AA+/Aa1 (with 92% of securities rated A-/A3 or better), and has a short average duration of approximately 2.5 years. At December 31, 2008, our fixed maturity investment portfolio included $3.5 billion in mortgage-backed securities. $2.4 billion, or 68%, of these securities carry the full faith and credit guarantee of the U.S. government. Of the remaining mortgage-backed securities, 98% had a credit quality of AAA/Aaa. At December 31, 2008, we also held $0.4 billion in asset-backed securities, of which 85% had a credit quality of AAA/Aaa. With respect to sub-prime and Alternative-A exposures in our fixed maturity investment portfolio, this remains a negligible portion of our total cash and investments at $132 million, or less than 1.3%, with the vast majority rated AAA/Aaa by major rating agencies. Our fixed maturity investment portfolio at December 31, 2008 also includes $2.1 billion of corporate debt with a weighted average credit quality of A/A2.

During the fourth quarter, we reduced the risk profile of our investment portfolio in response to current market conditions. These measures included increasing our asset allocation to cash and cash equivalents.

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

Tel. 441.496.2600 Fax 441.296.3140

www.axiscapital.com

5

We also continued to wind down our securities lending program during the current quarter. At December 31, 2008, we had outstanding security lending agreements approximating $406 million, compared with $848 million at December 31, 2007. The proceeds from these agreements are primarily invested in cash equivalents with a credit quality of A-1/P-q and short-term securities of AAA/Aaa.

Supplementary information on our investment portfolio at December 31, 2008 is available in the Investor Information section of our website.

Capitalization / Shareholders’ Equity

Total capitalization at December 31, 2008 was $5.0 billion, including $0.5 billion of long-term debt and $0.5 billion of preferred equity, compared to $5.7 billion at December 31, 2007. The reduction in capital this year was due to an increase in after-tax unrealized losses from our investment portfolio of $728 million, share repurchases totaling $291 million, and dividends to common shareholders of $121 million. These items were partially offset by net income in the year of $351 million.

At December 31, 2008, diluted book value per common share, on a treasury stock basis, was $25.79 and book value per common share was $29.08 compared to $28.79 and $32.69, respectively, at December 31, 2007.

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 February 10, 2009 at 8:00 AM (Eastern) to discuss the fourth quarter financial results and related matters. The teleconference can be accessed by dialing (800) 860-2442 (U.S. callers) or (412) 858-4600 (international callers) 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 December 31, 2008 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 December 31, 2008 of $4.5 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

7

AXIS CAPITAL HOLDINGS LIMITED

CONSOLIDATED BALANCE SHEETS

DECEMBER 31, 2008 (UNAUDITED) AND 2007

	2008			2007
	(in thousands, except per share amounts)
Assets
Investments:
Fixed maturities, available for sale, at fair value	$	8,012,533		$	8,331,666
Equity securities, available for sale, at fair value		107,283			7,746
Other investments, at fair value		492,082			638,241
Total investments		8,611,898			8,977,653
Cash and cash equivalents		1,820,673			1,332,921
Accrued interest receivable		79,232			87,338
Insurance and reinsurance premium balances receivable		1,185,785			1,231,494
Reinsurance recoverable balances		1,304,551			1,280,295
Reinsurance recoverable balances on paid losses		74,079			76,598
Deferred acquisition costs		273,096			276,801
Prepaid reinsurance premiums		279,553			242,940
Securities lending collateral		412,823			865,256
Net receivable for investments sold		—			86,356
Goodwill and intangible assets		60,417			61,653
Other assets		180,727			156,004
Total assets	$	14,282,834		$	14,675,309
Liabilities
Reserve for losses and loss expenses	$	6,244,783		$	5,587,311
Unearned premiums		2,162,401			2,146,087
Insurance and reinsurance balances payable		202,145			244,988
Securities lending payable		415,197			863,906
Senior notes		499,368			499,261
Other liabilities		233,082			175,134
Net payable for investments purchased		64,817			—
Total liabilities		9,821,793			9,516,687
Shareholders’ Equity
Preferred shares—Series A and B		500,000			500,000
Common shares		1,878			1,850
Additional paid-in capital		1,962,779			1,869,810
Accumulated other comprehensive (loss) income		(706,499	)		22,668
Retained earnings		3,198,492			2,968,900
Treasury shares, at cost		(495,609	)		(204,606	)
Total shareholders’ equity		4,461,041			5,158,622
Total liabilities and shareholders’ equity	$	14,282,834		$	14,675,309

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 QUARTERS AND YEARS ENDED DECEMBER 31, 2008 AND 2007

	Quarters ended						Years ended
	2008			2007			2008			2007
	(in thousands, except per share amounts)
Revenues
Net premiums earned	$	658,286		$	669,320		$	2,687,181		$	2,734,410
Net investment (loss) income		(26,012	)		125,000			247,237			482,873
Net realized investment (losses) gains		(33,425	)		10,778			(85,267	)		5,230
Other insurance related (losses) income		(19,594	)		273			(38,667	)		3,911
Total revenues		579,255			805,371			2,810,484			3,226,424
Expenses
Net losses and loss expenses		273,837			290,546			1,712,766			1,370,260
Acquisition costs		83,916			90,574			366,509			384,497
General and administrative expenses		87,333			92,838			335,758			303,831
Foreign exchange gains		(22,347	)		(349	)		(43,707	)		(16,826	)
Interest expense and financing costs		7,884			7,912			31,673			51,153
Total expenses		430,623			481,521			2,402,999			2,092,915
Income before income taxes		148,632			323,850			407,485			1,133,509
Income tax expense		8,555			8,547			20,109			41,491
Net income		140,077			315,303			387,376			1,092,018
Preferred shares dividends		9,219			9,203			36,875			36,775
Net income available to common shareholders	$	130,858		$	306,100		$	350,501		$	1,055,243
Weighted average common shares and common share equivalents:
Basic		136,433			143,877			140,322			147,524
Diluted		149,363			161,732			155,320			164,515
Earnings per common share:
Basic	$	0.96		$	2.13		$	2.50		$	7.15
Diluted	$	0.88		$	1.89		$	2.26		$	6.41
Cash dividends declared per common share	$	0.20		$	0.185		$	0.755		$	0.68

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 QUARTERS ENDED DECEMBER 31, 2008 AND 2007

	2008									2007
	Insurance			Reinsurance			Total			Insurance			Reinsurance			Total
Gross premiums written	$	448,941		$	77,814		$	526,755		$	509,326		$	63,539		$	572,865
Net premiums written		260,934			78,539			339,473			322,111			63,044			385,155
Net premiums earned		292,585			365,701			658,286			293,338			375,982			669,320
Other insurance related (loss) income		(19,789	)		195			(19,594	)		123			150			273
Net losses and loss expenses		(109,945	)		(163,892	)		(273,837	)		(101,652	)		(188,894	)		(290,546	)
Acquisition costs		(17,677	)		(66,239	)		(83,916	)		(28,911	)		(61,663	)		(90,574	)
General and administrative expenses		(48,560	)		(16,877	)		(65,437	)		(57,858	)		(23,927	)		(81,785	)
Underwriting income	$	96,614		$	118,888			215,502		$	105,040		$	101,648			206,688
Corporate expenses								(21,896	)								(11,053	)
Net investment income								(26,012	)								125,000
Net realized investment (losses) gains								(33,425	)								10,778
Foreign exchange gains								22,347									349
Interest expense and financing costs								(7,884	)								(7,912	)
Income before income taxes							$	148,632								$	323,850
Net loss and loss expense ratio		37.6	%		44.8	%		41.6	%		34.7	%		50.2	%		43.4	%
Acquisition cost ratio		6.0	%		18.1	%		12.7	%		9.9	%		16.4	%		13.5	%
General and administrative expense ratio		16.6	%		4.6	%		10.0	%		19.7	%		6.4	%		12.2	%
Corporate expense ratio								3.3	%								1.7	%
Combined ratio		60.2	%		67.5	%		67.6	%		64.3	%		73.0	%		70.8	%

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 YEARS ENDED DECEMBER 31, 2008 AND 2007

	2008									2007
	Insurance			Reinsurance			Total			Insurance			Reinsurance			Total
Gross premiums written	$	1,841,934		$	1,548,454		$	3,390,388		$	2,039,214		$	1,550,876		$	3,590,090
Net premiums written		1,133,843			1,533,037			2,666,880			1,326,647			1,537,110			2,863,757
Net premiums earned		1,183,143			1,504,038			2,687,181			1,208,440			1,525,970			2,734,410
Other insurance related (loss) income		(39,862	)		1,195			(38,667	)		1,860			2,051			3,911
Net losses and loss expenses		(659,668	)		(1,053,098	)		(1,712,766	)		(534,264	)		(835,996	)		(1,370,260	)
Acquisition costs		(102,475	)		(264,034	)		(366,509	)		(126,423	)		(258,074	)		(384,497	)
General and administrative expenses		(193,881	)		(68,690	)		(262,571	)		(175,810	)		(69,721	)		(245,531	)
Underwriting income	$	187,257		$	119,411			306,668		$	373,803		$	364,230			738,033
Corporate expenses								(73,187	)								(58,300	)
Net investment income								247,237									482,873
Net realized investment (losses) gains								(85,267	)								5,230
Foreign exchange gains								43,707									16,826
Interest expense and financing costs								(31,673	)								(51,153	)
Income before income taxes							$	407,485								$	1,133,509
Net loss and loss expense ratio		55.8	%		70.0	%		63.7	%		44.2	%		54.8	%		50.1	%
Acquisition cost ratio		8.6	%		17.5	%		13.6	%		10.5	%		16.9	%		14.1	%
General and administrative expense ratio		16.4	%		4.6	%		9.8	%		14.5	%		4.6	%		9.0	%
Corporate expense ratio								2.7	%								2.1	%
Combined ratio		80.8	%		92.1	%		89.8	%		69.2	%		76.3	%		75.3	%

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

Tel. 441.496.2600 Fax 441.296.3140

www.axiscapital.com

11

AXIS CAPITAL HOLDINGS LIMITED

NON-GAAP FINANCIAL MEASURE RECONCILIATION

OPERATING INCOME AND OPERATING INCOME EXCLUDING

FOREIGN EXCHANGE GAINS, NET OF TAX

FOR THE QUARTERS AND YEARS ENDED DECEMBER 31, 2008 AND 2007

	Quarters ended						Years ended
	2008			2007			2008			2007
Income available to common shareholders	$	130,858		$	306,100		$	350,501		$	1,055,243
Adjustment for net realized investment losses (gains)		33,425			(10,778	)		85,267			(5,230	)
Adjustment for associated tax impact		(1,429	)		514			194			(380	)
Operating income		162,854			295,836			435,962			1,049,633
Adjustment for foreign exchange gains		(22,347	)		(349	)		(43,707	)		(16,826	)
Adjustment for associated tax impact		55			401			(934	)		1,728
Operating income excluding foreign exchange gains, net of tax	$	140,562		$	295,888		$	391,321		$	1,034,535
Net income per share—diluted	$	0.88		$	1.89		$	2.26		$	6.41
Adjustment for net realized investment losses (gains)		0.22			(0.06	)		0.55			(0.03	)
Adjustment for associated tax impact		(0.01	)		—			—			—
Operating income per share—diluted	$	1.09		$	1.83		$	2.81		$	6.38
Adjustment for foreign exchange gains		(0.15	)		—			(0.28	)		(0.10	)
Adjustment for associated tax impact		—			—			(0.01	)		0.01
Operating income excluding foreign exchange gains, net of tax	$	0.94		$	1.83		$	2.52		$	6.29
Weighted average common shares and common share equivalents—diluted		149,363			161,732			155,320			164,515

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, including Hurricanes Ike and Gustav. 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 governmental regulations, (11) increased competition, (12), interest rate and/or currency value fluctuations, and (13) 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. This represents net income available to common shareholders, before the after tax impact of net realized gains and losses on investments;

2. Operating income, 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 foreign exchange, where an actively managed foreign exchange program is not in place, are largely opportunistic and are a function of economic and interest rate conditions. As a result, we believe that they evaluate earnings before realized gains and losses and 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

13

EX-99.2

Exhibit 99.2

AXIS Capital Holdings Limited

INVESTOR FINANCIAL SUPPLEMENT

FOURTH QUARTER 2008

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)
i. Basis of Presentation	i-iii
I. Financial Highlights	1
II. Income Statements
a. Consolidated Statements of Income—Quarterly	2
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
a. Consolidated Balance Sheets	8
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
h. Reconciliation of Net Realized and Net Unrealized Investments Gains (Losses)	15
i. Reinsurance Recoverable Analysis	16-17
IV. Loss Reserve Analysis
a. Paid to Incurred Analysis	18
b. Paid to Incurred Analysis by Segment	19
c. Segment Consecutive Quarters	20-21
d. 2008 Impact of Hurricanes Gustav and Ike	22
e. 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, 2007 and the consolidated balance sheet at December 31, 2006.

•      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.

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. The 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.

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.

AXIS Capital Holdings Limited

FINANCIAL HIGHLIGHTS

		Quarter ended December 31,						Year ended December 31,
		2008			2007		Change	2008			2007		Change
HIGHLIGHTS	Gross premiums written	$	526,755		$	572,865	(8.0)%	$	3,390,388		$	3,590,090	(5.6)%
	Gross premiums written – Insurance		85.2%			88.9%	(3.7)%		54.3%			56.8%	(2.5)%
	Gross premiums written – Reinsurance		14.8%			11.1%	3.7%		45.7%			43.2%	2.5%
	Net premiums written	$	339,473		$	385,155	(11.9)%	$	2,666,880		$	2,863,757	(6.9)%
	Net premiums earned	$	658,286		$	669,320	(1.6)%	$	2,687,181		$	2,734,410	(1.7)%
	Net premiums earned – Insurance		44.4%			43.8%	0.6%		44.0%			44.2%	(0.2)%
	Net premiums earned – Reinsurance		55.6%			56.2%	(0.6)%		56.0%			55.8%	0.2%
	Net income available to common shareholders	$	130,858		$	306,100	(57.2)%	$	350,501		$	1,055,243	(66.8)%
	Reserve for losses and loss expenses		6,244,783			5,587,311	11.8%		6,244,783			5,587,311	11.8%
	Total shareholders’ equity		4,461,041			5,158,622	(13.5)%		4,461,041			5,158,622	(13.5)%
PER COMMON SHARE AND
COMMON SHARE DATA	Basic earnings per common share	$	0.96		$	2.13	(54.9)%	$	2.50		$	7.15	(65.1)%
	Diluted earnings per common share	$	0.88		$	1.89	(53.7)%	$	2.26		$	6.41	(64.8)%
	Weighted average common shares outstanding		136,433			143,877	(5.2)%		140,322			147,524	(4.9)%
	Diluted weighted average common shares outstanding		149,363			161,732	(7.6)%		155,320			164,515	(5.6)%
	Book value per common share	$	29.08		$	32.69	(11.0)%	$	29.08		$	32.69	(11.0)%
	Accumulated dividends paid per common share	$	3.09		$	2.35	31.5%	$	3.09		$	2.35	31.5%
	Diluted book value per common share (treasury stock method)	$	25.79		$	28.79	(10.4)%	$	25.79		$	28.79	(10.4)%
FINANCIAL RATIOS	ROACE [a]		13.0%			26.9%	(13.9)%		8.1%			24.6%	(16.5)%
	Net loss and loss expense ratio		41.6%			43.4%	(1.8)%		63.7%			50.1%	13.6%
	Acquisition cost ratio		12.7%			13.5%	(0.8)%		13.6%			14.1%	(0.4)%
	General and administrative expense ratio		13.3%			13.9%	(0.6)%		12.5%			11.1%	1.4%
	Combined ratio		67.6%			70.8%	(3.2)%		89.8%			75.3%	14.5%
INVESTMENT DATA	Total assets	$	14,282,834		$	14,675,309	(2.7)%	$	14,282,834		$	14,675,309	(2.7)%
	Total cash and investments [b]		10,446,986			10,484,268	(0.4)%		10,446,986			10,484,268	(0.4)%
	Net investment (loss) income		(26,012	)		125,000	(120.8)%		247,237			482,873	(48.8)%
	Net realized investment (losses) gains		(33,425	)		10,778	nm		(85,267	)		5,230	nm
	Total return on cash and investments [c]		(2.6)%			1.8%	(4.4)%		(5.4)%			5.4%	(10.8)%
	Return on other investments [d]		(25.0)%			0.6%	(25.6)%		(35.1)%			3.7%	(38.8)%
	Annualized effective yield of invested assets [e]		4.9%			4.9%	—		4.8%			4.9%	(0.1)%

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

[c] 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 cash and investment balances.

[d] Return on other investments is calculated by dividing other investment (loss) income by the average other investment balances for the period.

[e] Annualized effective yield of invested assets is calculated by dividing the net income generated from invested assets by the average balance of the assets managed by our external investment managers.

nm not meaningful

AXIS Capital Holdings Limited

CONSOLIDATED STATEMENTS OF INCOME – QUARTERLY

	Q4 2008		Q3 2008		Q2 2008		Q1 2008		Q4 2007		Q4 2006
UNDERWRITING REVENUES
Gross premiums written	$	526,755	$	725,283	$	874,169	$	1,264,181	$	572,865	$	714,006
Premiums ceded		(187,282)		(173,867)		(189,953)		(172,406)		(187,710)		(143,800)
Net premiums written		339,473		551,416		684,216		1,091,775		385,155		570,206
Gross premiums earned		830,975		862,338		845,249		835,514		860,421		865,748
Ceded premiums amortized		(172,689)		(172,368)		(164,958)		(176,880)		(191,101)		(176,951)
Net premiums earned		658,286		689,970		680,291		658,634		669,320		688,797
Other insurance related (loss) income		(19,594)		(13,806)		(7,269)		2,002		273		1,027
Total underwriting revenues		638,692		676,164		673,022		660,636		669,593		689,824
UNDERWRITING EXPENSES
Net losses and loss expenses		273,837		705,531		371,717		361,681		290,546		329,257
Acquisition costs		83,916		90,333		97,780		94,480		90,574		91,808
General and administrative expenses		65,437		66,727		65,218		65,189		81,785		71,128
Total underwriting expenses		423,190		862,591		534,715		521,350		462,905		492,193
UNDERWRITING INCOME (LOSS)		215,502		(186,427)		138,307		139,286		206,688		197,631
OTHER OPERATING REVENUE (EXPENSES)
Net investment (loss) income		(26,012)		50,583		137,015		85,651		125,000		123,082
Net realized (losses) gains on investments		(33,425)		(89,079)		1,552		35,685		10,778		(3,274)
Interest expense and financing costs		(7,884)		(7,941)		(7,890)		(7,958)		(7,912)		(8,315)
Total other operating (expenses) revenue		(67,321)		(46,437)		130,677		113,378		127,866		111,493
OTHER (EXPENSES) REVENUE
Net foreign exchange gains (losses)		22,347		7,627		(6,564)		20,297		349		7,078
Corporate expenses [a]		(21,896)		(19,995)		(17,735)		(13,561)		(11,053)		(15,730)
Total other revenue (expenses)		451		(12,368)		(24,299)		6,736		(10,704)		(8,652)
INCOME (LOSS) BEFORE INCOME TAXES		148,632		(245,232)		244,685		259,400		323,850		300,472
Income tax (expense) recovery		(8,555)		5,104		(4,199)		(12,459)		(8,547)		(10,302)
NET INCOME (LOSS)		140,077		(240,128)		240,486		246,941		315,303		290,170
Preferred share dividends		(9,219)		(9,218)		(9,219)		(9,219)		(9,203)		(9,212)
NET INCOME (LOSS) AVAILABLE TO COMMON SHAREHOLDERS	$	130,858	$	(249,346)	$	231,267	$	237,722	$	306,100	$	280,958
KEY RATIOS/PER COMMON SHARE DATA
Net loss and loss expense ratio		41.6%		102.3%		54.6%		54.9%		43.4%		47.8%
Acquisition cost ratio		12.7%		13.1%		14.4%		14.3%		13.5%		13.3%
General and administrative expense ratio [a]		13.3%		12.6%		12.2%		12.0%		13.9%		12.6%
Combined ratio		67.6%		128.0%		81.2%		81.2%		70.8%		73.7%
Weighted average basic shares outstanding		136,433		139,335		142,333		143,239		143,877		150,006
Weighted average diluted shares outstanding		149,363		139,335		157,602		160,184		161,732		165,986
Basic earnings per common share		$0.96		($1.79)		$1.62		$1.66		$2.13		$1.87
Diluted earnings per common share		$0.88		($1.79)		$1.47		$1.48		$1.89		$1.69
ROACE (annualized)		13.0%		(22.5)%		19.2%		20.0%		26.9%		29.8%

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

AXIS Capital Holdings Limited

CONSOLIDATED STATEMENTS OF INCOME – YEAR

	Year ended
	December 31, 2008		December 31, 2007		December 31, 2006
UNDERWRITING REVENUES
Gross premiums written	$	3,390,388	$	3,590,090	$	3,609,036
Premiums ceded		(723,508)		(726,333)		(619,857)
Net premiums written		2,666,880		2,863,757		2,989,179
Gross premiums earned		3,374,076		3,459,816		3,353,884
Ceded premiums amortized		(686,895)		(725,406)		(659,614)
Net premiums earned		2,687,181		2,734,410		2,694,270
Other insurance related (loss) income		(38,667)		3,911		2,893
Total underwriting revenues		2,648,514		2,738,321		2,697,163
UNDERWRITING EXPENSES
Net losses and loss expenses		1,712,766		1,370,260		1,425,855
Acquisition costs		366,509		384,497		386,959
General and administrative expenses		262,57		245,531		209,574
Total underwriting expenses		2,341,846		2,000,288		2,022,388
UNDERWRITING INCOME		306,668		738,033		674,775
OTHER OPERATING REVENUE (EXPENSES)
Net investment income		247,237		482,873		407,100
Net realized (losses) gains on investments		(85,267)		5,230		(25,702)
Interest expense		(31,673)		(51,153)		(32,954)
Total other operating revenue		130,297		436,950		348,444
OTHER REVENUE (EXPENSES)
Net foreign exchange gains		43,707		16,826		32,505
Corporate expenses		(73,187)		(58,300)		(58,822)
Total other expenses		(29,480)		(41,474)		(26,317)
INCOME BEFORE INCOME TAXES		407,485		1,133,509		996,902
Income tax expense		(20,109)		(41,491)		(33,842)
NET INCOME	$	387,376	$	1,092,018	$	963,060
Preferred share dividends		(36,875)		(36,775)		(37,925)
NET INCOME AVAILABLE TO COMMON SHAREHOLDERS	$	350,501	$	1,055,243	$	925,765
KEY RATIOS/PER SHARE DATA
Net loss and loss expense ratio		63.7%		50.1%		52.9%
Acquisition cost ratio		13.6%		14.1%		14.4%
General and administrative expense ratio [a]		12.5%		11.1%		10.0%
Combined ratio		89.8%		75.3%		77.3%
Weighted average basic shares outstanding		140,322		147,524		149,745
Weighted average diluted shares outstanding		155,320		164,515		164,394
Basic earnings per share	$	2.50	$	7.15	$	6.18
Diluted earnings per share	$	2.26	$	6.41	$	5.63
ROACE		8.1%		24.6%		26.7%

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

AXIS Capital Holdings Limited

CONSOLIDATED SEGMENT DATA

	Three months ended December 31, 2008									Year ended December 31, 2008
	Insurance			Reinsurance			Total				Insurance			Reinsurance			Total
UNDERWRITING REVENUES
Gross premiums written	$	448,941		$	77,814		$	526,755			$	1,841,934		$	1,548,454		$	3,390,388
Net premiums written		260,934			78,539			339,473				1,133,843			1,533,037			2,666,880
Gross premiums earned		461,931			369,044			830,975				1,854,950			1,519,126			3,374,076
Ceded premiums amortized		(169,346	)		(3,343	)		(172,689	)			(671,807	)		(15,088	)		(686,895	)
Net premiums earned		292,585			365,701			658,286				1,183,143			1,504,038			2,687,181
Other insurance related (loss) income		(19,789	)		195			(19,594	)			(39,862	)		1,195			(38,667	)
Total underwriting revenues		272,796			365,896			638,692				1,143,281			1,505,233			2,648,514
UNDERWRITING EXPENSES
Net losses and loss expenses		109,945			163,892			273,837				659,668			1,053,098			1,712,766
Acquisition costs		17,677			66,239			83,916				102,475			264,034			366,509
General and administrative expenses		48,560			16,877			65,437				193,881			68,690			262,571
Total underwriting expenses		176,182			247,008			423,190				956,024			1,385,822			2,341,846
UNDERWRITING INCOME	$	96,614		$	118,888		$	215,502			$	187,257		$	119,411		$	306,668
KEY RATIOS
Net loss and loss expense ratio		37.6%			44.8%			41.6%				55.8%			70.0%			63.7%
Acquisition cost ratio		6.0%			18.1%			12.7%				8.6%			17.5%			13.6%
General and administrative expense ratio		16.6%			4.6%			10.0%				16.4%			4.6%			9.8%
Corporate expense ratio								3.3%										2.7%
Combined ratio		60.2%			67.5%			67.6%				80.8%			92.1%			89.8%

AXIS Capital Holdings Limited

GROSS PREMIUM WRITTEN BY SEGMENT BY LINE OF BUSINESS

	Quarter ended															Year ended December 31,
	Q4 2008			Q3 2008		Q2 2008			Q1 2008		Q4 2007			Q4 2006		2008		2007
INSURANCE SEGMENT
Property	$	99,413		$	137,417	$	175,017		$	127,291	$	150,283		$	166,109	$	539,138	$	659,595
Marine		22,625			41,121		64,601			64,887		19,984			32,790		193,234		218,030
Terrorism		6,215			7,112		14,612			8,349		10,216			19,751		36,288		51,757
Aviation		29,825			11,735		8,715			17,486		28,788			33,639		67,761		70,387
Credit and political risk		38,012			24,817		65,636			54,576		75,410			88,877		183,041		232,549
Professional lines		180,945			137,553		175,199			108,177		146,095			135,947		601,874		528,616
Liability		71,467			42,833		52,406			49,923		74,294			67,986		216,629		248,562
Other		439			84		(722	)		4,168		4,256			5,597		3,969		29,718
TOTAL INSURANCE SEGMENT		448,941			402,672		555,464			434,857		509,326			550,696		1,841,934		2,039,214
REINSURANCE SEGMENT
Catastrophe		9,298			115,216		117,306			212,948		8,743			17,404		454,768	$	471,514
Property		3,599			64,683		86,416			141,408		(578	)		79,096		296,106		281,363
Professional lines		52,208			55,378		31,806			87,376		27,909			48,214		226,768		230,040
Credit and bond		5,610			5,083		9,230			134,574		5,363			3,284		154,497		124,976
Motor		1,933			7,202		16,831			75,526		902			2,961		101,492		96,999
Liability		(3,112	)		54,659		28,917			108,759		8,477			6,996		189,223		244,612
Engineering		4,856			17,381		7,895			53,224		10,428			3,277		83,356		71,969
Other		3,422			3,009		20,304			15,509		2,295			2,077		42,244		29,403
TOTAL REINSURANCE SEGMENT		77,814			322,611		318,705			829,324		63,539			163,309		1,548,454		1,550,876
CONSOLIDATED TOTAL	$	526,755		$	725,283	$	874,169		$	1,264,181	$	572,865		$	714,005	$	3,390,388	$	3,590,090

AXIS Capital Holdings Limited

INSURANCE SEGMENT DATA—QUARTERLY

	Q4 2008			Q3 2008			Q2 2008			Q1 2008			Q4 2007			Q4 2006
UNDERWRITING REVENUES
Gross premiums written	$	448,941		$	402,672		$	555,464		$	434,857		$	509,326		$	550,696
Net premiums written		260,934			235,666			365,511			271,732			322,111			406,605
Gross premiums earned		461,931			461,871			458,545			472,603			480,158			507,546
Ceded premiums amortized		(169,346	)		(168,299	)		(161,116	)		(173,046	)		(186,820	)		(175,771	)
Net premiums earned		292,585			293,572			297,429			299,557			293,338			331,775
Other insurance related (loss) income		(19,789	)		(13,751	)		(7,509	)		1,187			123			284
Total underwriting revenues		272,796			279,821			289,920			300,744			293,461			332,059
UNDERWRITING EXPENSES
Net losses and loss expenses		109,945			230,577			159,696			159,450			101,652			150,449
Acquisition costs		17,677			21,964			31,120			31,714			28,911			34,996
General and administrative expenses		48,560			49,361			48,141			47,819			57,858			51,847
Total underwriting expenses		176,182			301,902			238,957			238,983			188,421			237,292
UNDERWRITING INCOME (LOSS)	$	96,614		$	(22,081	)	$	50,963		$	61,761		$	105,040		$	94,767
KEY RATIOS
Net loss and loss expense ratio		37.6%			78.5%			53.7%			53.2%			34.7%			45.3%
Acquisition cost ratio		6.0%			7.5%			10.4%			10.6%			9.9%			10.5%
General and administrative expense ratio		16.6%			16.8%			16.2%			16.0%			19.7%			15.6%
Combined ratio		60.2%			102.8%			80.3%			79.8%			64.3%			71.4%

AXIS Capital Holdings Limited

REINSURANCE SEGMENT DATA—QUARTERLY

	Q4 2008			Q3 2008			Q2 2008			Q1 2008			Q4 2007			Q4 2006
UNDERWRITING REVENUES
Gross premiums written	$	77,814		$	322,611		$	318,705		$	829,324		$	63,539		$	163,310
Net premiums written		78,539			315,750			318,705			820,043			63,044			163,601
Gross premiums earned		369,044			400,467			386,704			362,911			380,263			358,202
Ceded premiums amortized		(3,343	)		(4,069	)		(3,842	)		(3,834	)		(4,281	)		(1,180	)
Net premiums earned		365,701			396,398			382,862			359,077			375,982			357,022
Other insurance related income (loss)		195			(55	)		240			815			150			743
Total underwriting revenues		365,896			396,343			383,102			359,892			376,132			357,765
UNDERWRITING EXPENSES
Net losses and loss expenses		163,892			474,954			212,021			202,231			188,894			178,808
Acquisition costs		66,239			68,369			66,660			62,766			61,663			56,812
General and administrative expenses		16,877			17,366			17,077			17,370			23,927			19,281
Total underwriting expenses		247,008			560,689			295,758			282,367			274,484			254,901
UNDERWRITING INCOME (LOSS)	$	118,888		$	(164,346	)	$	87,344		$	77,525		$	101,648		$	102,864
KEY RATIOS
Net loss and loss expense ratio		44.8%			119.8%			55.4%			56.3%			50.2%			50.1%
Acquisition cost ratio		18.1%			17.2%			17.4%			17.5%			16.4%			15.9%
General and administrative expense ratio		4.6%			4.4%			4.5%			4.8%			6.4%			5.4%
Combined ratio		67.5%			141.4%			77.3%			78.6%			73.0%			71.4%

AXIS Capital Holdings Limited

CONSOLIDATED BALANCE SHEETS

	Dec 31, 2008			Sep 30, 2008			Jun 30, 2008			Mar 31, 2008			Dec 31, 2007			Dec 31, 2006
ASSETS
Investments:
Fixed maturities, available for sale, at fair value	$	8,012,533		$	8,449,620		$	8,703,346		$	8,423,794		$	8,331,666		$	6,532,723
Equities, available for sale, at fair value		107,283			129,220			247,845			99,239			7,746			—
Other investments, at fair value		492,082			636,304			724,239			552,872			638,241			1,130,664
Total investments		8,611,898			9,215,144			9,675,430			9,075,905			8,977,653			7,663,387
Cash and cash equivalents		1,820,673			1,419,610			1,094,429			1,578,801			1,332,921			1,989,287
Accrued interest receivable		79,232			74,693			89,261			80,990			87,338			76,967
Insurance and reinsurance premium balances receivable		1,185,785			1,412,445			1,652,295			1,607,609			1,231,494			1,125,822
Reinsurance recoverable balances		1,304,551			1,410,554			1,340,452			1,330,965			1,280,295			1,293,660
Reinsurance recoverable balances on paid losses		74,079			62,617			82,677			95,348			76,598			65,494
Deferred acquisition costs		273,096			333,002			355,587			369,000			276,801			251,799
Prepaid reinsurance premiums		279,553			264,960			263,461			238,466			242,940			241,821
Securities lending collateral		412,823			731,661			813,737			1,025,343			865,256			794,149
Net receivable for investments sold		—			—			—			18,086			86,356			—
Goodwill and intangible assets		60,417			60,726			61,035			61,344			61,653			29,041
Other assets		180,727			190,042			178,025			158,337			156,004			133,860
TOTAL ASSETS	$	14,282,834		$	15,175,454		$	15,606,389		$	15,640,194		$	14,675,309		$	13,665,287
LIABILITIES
Reserve for losses and loss expenses	$	6,244,783		$	6,406,204		$	5,995,731		$	5,814,208		$	5,587,311		$	5,015,113
Unearned premiums		2,162,401			2,466,622			2,603,676			2,574,755			2,146,087			2,015,556
Insurance and reinsurance balances payable		202,145			223,963			249,710			225,715			244,988			294,374
Securities lending payable		415,197			730,412			812,833			1,024,752			863,906			791,744
Senior notes		499,368			499,342			499,315			499,288			499,261			499,144
Other liabilities		233,082			183,385			144,689			130,054			175,134			174,524
Net payable for investments purchased		64,817			64,336			37,273			—			—			62,185
TOTAL LIABILITIES		9,821,793			10,574,264			10,343,227			10,268,772			9,516,687			9,252,640
SHAREHOLDERS’ EQUITY
Series A and B preferred shares		500,000			500,000			500,000			500,000			500,000			500,000
Common shares		1,878			1,878			1,877			1,875			1,850			1,875
Additional paid-in capital		1,962,779			1,943,125			1,922,356			1,902,336			1,869,810			1,929,406
Accumulated other comprehensive (loss) income		(706,499	)		(495,697	)		(150,721	)		(104	)		22,668			(44,638	)
Retained earnings		3,198,492			3,097,487			3,377,051			3,176,654			2,968,900			2,026,004
Treasury shares, at cost		(495,609	)		(445,603	)		(387,401	)		(209,339	)		(204,606	)		—
TOTAL SHAREHOLDERS’ EQUITY		4,461,041			4,601,190			5,263,162			5,371,422			5,158,622			4,412,647
TOTAL LIABILITIES AND SHAREHOLDERS’ EQUITY	$	14,282,834		$	15,175,454		$	15,606,389		$	15,640,194		$	14,675,309		$	13,665,287
Book value per common share	$	29.08		$	29.72		$	34.11		$	33.69		$	32.69		$	26.09
Diluted book value per common share	$	25.79		$	26.25		$	30.30		$	29.96		$	28.79		$	23.45
Debt (Senior notes) to total capitalization [a]		10.1%			9.8%			8.7%			8.5%			8.8%			10.2%
Debt plus preferred shares to total capitalization		20.1%			19.6%			17.3%			17.0%			17.7%			20.3%

[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.

AXIS Capital Holdings Limited

INVESTMENT PORTFOLIO

At December 31, 2008

TYPE OF INVESTMENT	Cost or Amortized Cost		Unrealized Gains		Unrealized Losses			Fair Value		Percentage
U.S. government and agency	$	1,314,944	$	39,475	$	(908	)	$	1,353,511	13%
Non U.S. government		314,275		19,731		(13,904	)		320,102	3%
Corporate debt		2,575,253		20,251		(479,363	)		2,116,141	20%
Agency Mortgage-backed [a], [b]		2,295,311		71,553		(1,113	)		2,365,751	23%
Non-Agency CMBS [a]		921,127		3		(170,292	)		750,838	7%
Non-Agency RMBS [a]		453,688		57		(95,238	)		358,507	3%
Asset-backed [a]		433,266		390		(52,650	)		381,006	4%
Municipals		363,770		6,479		(3,572	)		366,677	4%
Total Fixed Maturities		8,671,634		157,939		(817,040	)		8,012,533	77%
Common stocks		132,935		1,522		(48,620	)		85,837	1%
Non-redeemable preferred stocks		31,395		—		(9,949	)		21,446	0%
Total Equities		164,330		1,522		(58,569	)		107,283	1%
Cash, net of unsettled trades		663,192		—		—			663,192	6%
Total Invested Assets		9,499,156		159,461		(875,609	)		8,783,008	84%
Operating Cash Balances		1,092,664		—		—			1,092,664	10%
Total Cash, Fixed Maturities and Equities	$	10,591,820	$	159,461	$	(875,609	)		9,875,672	94%
Other Investments									492,082	5%
Accrued interest receivable									79,232	1%
Total Cash and Investments								$	10,446,986	100%
OTHER INVESTMENTS								Fair Value		Percentage
Hedge funds								$	251,787	51%
Collateralized loan obligations—Equity tranches									97,661	20%
Credit funds									101,094	21%
Short duration high yield fund									41,540	8%
Total								$	492,082	100%

[a] For a further breakdown of our mortgage-backed and asset-backed securities, refer to page 11.

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

AXIS Capital Holdings Limited

INVESTMENT PORTFOLIO COMPOSITION – QUARTERLY

	Q4 2008	Q3 2008	Q2 2008	Q1 2008	Q4 2007	Q4 2006
TYPE OF INVESTMENT	Fair Value%	Fair Value%	Fair Value%	Fair Value%	Fair Value%	Fair Value%
U.S. government and agency	13.0%	11.8%	11.3%	11.3%	10.1%	12.2%
Non U.S. government	3.0%	2.8%	2.4%	2.6%	2.7%	1.6%
Corporate debt	20.3%	19.9%	21.7%	21.2%	20.5%	14.7%
Mortgage-backed	33.3%	33.1%	34.2%	33.3%	33.2%	29.7%
Asset-backed	3.6%	3.8%	4.1%	4.2%	5.1%	5.6%
Municipals	3.5%	7.5%	6.7%	5.7%	7.9%	3.9%
Total Fixed Maturities	76.7%	78.9%	80.4%	78.3%	79.5%	67.7%
Equities	1.1%	1.2%	2.3%	—	—	—
Cash, net of unsettled trades	6.3%	3.6%	3.0%	5.6%	5.4%	8.4%
Total Invested Assets	84.1%	83.7%	85.7%	83.9%	84.9%	76.1%
Operating Cash Balances	10.3%	9.6%	6.8%	9.3%	8.1%	11.5%
Total Cash and Fixed Maturities	94.4%	93.4%	92.5%	93.2%	93.0%	87.6%
Other Investments	4.7%	5.9%	6.7%	6.0%	6.2%	11.7%
Accrued interest receivable	0.9%	0.7%	0.8%	0.8%	0.8%	0.7%
Total Cash and Investments	100.0%	100.0%	100.0%	100.0%	100.0%	100.0%
CREDIT QUALITY OF FIXED MATURITIES	Fair Value%	Fair Value%	Fair Value%	Fair Value%	Fair Value%	Fair Value%
AAA	73.6%	69.7%	69.2%	72.4%	70.8%	79.3%
AA	6.4%	8.6%	10.0%	9.1%	7.8%	4.8%
A	12.1%	13.2%	12.2%	9.7%	12.5%	7.3%
BBB	7.6%	8.0%	8.2%	8.8%	8.9%	8.6%
BB	0.3%	0.4%	0.4%	—	—	—
Total	100.0%	100.0%	100.0%	100.0%	100.0%	100.0%
MATURITY PROFILE OF FIXED MATURITIES	Fair Value%	Fair Value%	Fair Value%	Fair Value%	Fair Value%	Fair Value%
Within one year	7.6%	7.5%	7.3%	7.9%	10.4%	8.0%
From one to five years	31.4%	27.6%	30.1%	30.8%	25.2%	24.6%
From five to ten years	10.0%	10.5%	9.5%	8.5%	10.6%	13.0%
Above ten years	2.9%	7.6%	5.6%	5.0%	5.6%	2.2%
Asset-backed and mortgage-backed securities	48.1%	46.8%	47.6%	47.8%	48.2%	52.2%
Total	100.0%	100.0%	100.0%	100.0%	100.0%	100.0%
PORTFOLIO CHARACTERISTICS OF FIXED MATURITIES	As of or for the quarter ended
	Q4 2008	Q3 2008	Q2 2008	Q1 2008	Q4 2007	Q4 2006
Annualized effective yield of invested assets	4.9%	4.8%	4.8%	4.9%	4.9%	4.8%
Yield to maturity of invested assets	5.0%	5.7%	5.1%	5.1%	5.1%	5.1%
Average duration of invested assets	2.5 yrs	2.9 yrs	2.9 yrs	2.9 yrs	2.7 yrs	3.0 yrs
Average credit quality of invested assets	AA+	AA+	AA+	AA+	AA+	AA+

AXIS Capital Holdings Limited

MORTGAGE AND ASSET BACKED SECURITIES

At December 31, 2008

	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	$	2,159,551	$	—	$	—	$	—	$	—	$	—	$	2,159,551	$	—	$	2,159,551
Agency CMO’s		125,251		12,261		—				—		—		125,251		12,261		137,512
Agency Floating Rate MBS		68,688		—		—		—		—		—		68,688		—		68,688
Total Agency		2,353,490		12,261		—		—		—		—		2,353,490		12,261		2,365,751
Non-Agency
Non-Agency CMO’s		—		—		303,710		737,668		10,807		12,160		314,517		749,828		1,064,345
Non-Agency Floating Rate MBS		—		—		43,563		1,010		427		—		43,990		1,010		45,000
Total Non Agency		—		—		347,273		738,678		11,234		12,160		358,507		750,838		1,109,345
Total	$	2,353,490	$	12,261	$	347,273	$	738,678	$	11,234	$	12,160	$	2,711,997	$	763,099	$	3,475,096

	Asset-Backed Securities By Rating
Description	AAA		AA or lower		Total
Auto	$	107,719	$	9,233	$	116,952
CLO [b]		1,298		33,925		35,223
CDO		4,540		6,172		10,712
Credit Card		109,797		—		109,797
Equipment		3,537		125		3,662
Home Equity		23,208		5,895		29,103
Other		75,557		—		75,557
Total	$	325,656	$	55,350	$	381,006

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

[b] Collateralized loan obligation—debt tranche securities.

17

AXIS Capital Holdings Limited

SUBPRIME AND ALTERNATIVE-A HOLDINGS IN DIRECT INVESTMENT PORTFOLIO

At December 31, 2008

	SUBPRIME AND ALTERNATIVE-A HOLDINGS BY SECTOR
	Holdings at Fair Value		% of Total Shareholders’ Equity		Net Unrealized Loss			Realized losses and impairments in 2008
Subprime Agency MBS	$	1,331	0.03	%	$	(13	)	$	—
Subprime Non-Agency MBS		817	0.02	%		(120	)		(4,078	)
Subprime ABS		27,627	0.62	%		(8,388	)		(7,674	)
Total Subprime	$	29,775	0.67	%	$	(8,521	)	$	(11,752	)
Alternative-A Agency MBS	$	—	0.00	%	$	—		$	—
Alternative-A Non-Agency MBS		96,457	2.16	%		(32,135	)		—
Alternative-A ABS		5,294	0.12	%		(1,847	)		—
Total Alternative-A	$	101,751	2.28	%	$	(33,982	)	$	—
TOTAL Subprime and Alternative-A	$	131,526	2.95	%	$	(42,503	)	$	(11,752	)

	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	$	1,331	$	1,887	$	57	$	3,275	11.0%
Sub-prime 2004		—		4,151		—		4,151	13.9%
Sub-prime 2005		—		4,598		377		4,975	16.7%
Sub-prime 2006		—		10,580		5,151		15,731	52.8%
Sub-prime 2007		—		1,643		—		1,643	5.5%
Total Subprime	$	1,331	$	22,859	$	5,585	$	29,775	100.0%
Rating as Percentage of Total		4.5%		76.8%		18.8%		100.0%
Alternative-A 2003 and prior	$	—	$	16,106	$	2,111	$	18,217	17.9%
Alternative-A 2004		—		26,265		100		26,365	25.9%
Alternative-A 2005		—		46,029		—		46,029	45.2%
Alternative-A 2006		—		4,612		1,241		5,853	5.8%
Alternative-A 2007		—		4,685		602		5,287	5.2%
Total Alternative A	$	—	$	97,697	$	4,054	$	101,751	100.0%
Rating as Percentage of Total		0.0%		96.0%		4.0%		100.0%
Subprime and Alternative-A 2003 and prior	$	1,331	$	17,993	$	2,168	$	21,492	16.3%
Subprime and Alternative-A 2004		—		30,416		100		30,516	23.2%
Subprime and Alternative-A 2005		—		50,627		377		51,004	38.8%
Subprime and Alternative-A 2006		—		15,192		6,392		21,584	16.4%
Subprime and Alternative-A 2007		—		6,328		602		6,930	5.3%
TOTAL Subprime and Alternative-A	$	1,331	$	120,556	$	9,639	$	131,526	100.0%
Rating as Percentage of Total		1.0%		91.7%		7.3%		100.0%

18

AXIS Capital Holdings Limited

INVESTMENT PORTFOLIO

TEN LARGEST CORPORATE HOLDINGS IN FIXED MATURITY PORTFOLIO

At December 31, 2008

ISSUER	Amortized Cost		Unrealized Gain / (Loss)			Fair Value		% of Total Fixed Maturities
GENERAL ELECTRIC CO	$	105,014	$	(226	)	$	104,788	1.3%
JPMORGAN CHASE & CO		87,526		(1,108	)		86,418	1.1%
BANK OF AMERICA CORP		94,143		(9,769	)		84,374	1.1%
WELLS FARGO & COMPANY		81,165		(3,647	)		77,518	1.0%
CITIGROUP INC		93,429		(16,455	)		76,974	1.0%
VERIZON COMMUNICATIONS INC		42,102		959			43,061	0.5%
MORGAN STANLEY		42,470		(3,456	)		39,014	0.5%
HSBC HOLDINGS PLC		38,795		(2,989	)		35,806	0.4%
AT&T INC		34,139		(355	)		33,784	0.4%
PROCTER & GAMBLE CO		31,762		925			32,687	0.4%

Notes:

1. Corporate issuers exclude government-backed, government-sponsored enterprises and cash and cash equivalents.

2. The holdings above 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.

AXIS Capital Holdings Limited

INVESTMENT PORTFOLIO

TEN LARGEST FINANCIAL ISSUER HOLDINGS IN FIXED MATURITY PORTFOLIO

At December 31, 2008

ISSUER	Amortized Cost		Unrealized Loss			Fair Value		% of Total Fixed Maturities
GENERAL ELECTRIC CO	$	105,014	$	(226	)	$	104,788	1.3%
JP MORGAN CHASE & CO		87,526		(1,108	)		86,418	1.1%
BANK OF AMERICA CORP		94,143		(9,769	)		84,374	1.1%
WELLS FARGO & COMPANY		81,165		(3,647	)		77,518	1.0%
CITIGROUP INC		93,429		(16,455	)		76,974	1.0%
MORGAN STANLEY		42,470		(3,456	)		39,014	0.5%
HSBC HOLDINGS PLC		38,795		(2,989	)		35,806	0.4%
BANCO SANTANDER SA		31,024		(2,339	)		28,685	0.4%
AMERICAN EXPRESS CO		28,366		(258	)		28,108	0.4%
NATIONWIDE BUILDING SOCIETY		25,624		(375	)		25,249	0.3%

Notes:

1. Corporate issuers exclude government-backed, government-sponsored enterprises and cash and cash equivalents.

2. The holdings above represent only 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.

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

AXIS Capital Holdings Limited

RECONCILIATION OF NET REALIZED AND UNREALIZED INVESTMENTS GAINS (LOSSES)

	Quarter ended December 31, 2008									Year ended December 31, 2008
	Net Realized Gains (Losses)			Net Unrealized Gains (Losses)			Net Impact			Net Realized Gains (Losses)			Net Unrealized Gains (Losses)			Net Impact
Fixed maturities	$	(19,099	)	$	(195,763	)	$	(214,862	)	$	56,219		$	(689,239	)	$	(633,020	)
Equity securities		(6,642	)		(21,514	)		(28,156	)		(69,523	)		(53,943	)		(123,466	)
Other than temporary impairments		(11,949	)		—			(11,949	)		(77,753	)		—			(77,753	)
Sub-total		(37,690	)		(217,277	)		(254,967	)		(91,057	)		(743,182	)		(834,239	)
Change in the fair value of investment derivatives		12,373			—			12,373			13,898			—			13,898
Fair value hedge [1]		(8,108	)		8,108			—			(8,108	)		8,108			—
Total losses		(33,425	)		(209,169	)		(242,594	)		(85,267	)		(735,074	)		(820,341	)
Income tax (recovery) expense		(1,429	)		(1,483	)		(2,912	)		194			(7,336	)		(7,142	)
	$	(31,996	)	$	(207,686	)	$	(239,682	)	$	(85,461	)	$	(727,738	)	$	(813,199	)
	Quarter ended December 31, 2007									Year ended December 31, 2007
	Net Realized Gains (Losses)			Net Unrealized Gains (Losses)			Net Impact			Net Realized Gains (Losses)			Net Unrealized Gains (Losses)			Net Impact
Fixed maturities	$	17,241		$	51,347		$	68,588		$	13,874		$	67,238		$	81,112
Equity securities		—			—			—			—			—			—
Other than temporary impairments		(6,462	)		—			(6,462	)		(8,562	)		—			(8,562	)
Sub-total		10,779			51,347			62,126			5,312			67,238			72,550
Change in the fair value of investment derivatives		(1	)		—			(1	)		(82	)		—			(82	)
Total gains		10,778			51,347			62,125			5,230			67,238			72,468
Income tax (recovery) expense		514			1,013			1,527			(380	)		2,397			2,017
Net (losses) gains	$	10,264		$	50,334		$	60,598		$	5,610		$	64,841		$	70,451

[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).

AXIS Capital Holdings Limited

REINSURANCE RECOVERABLE ANALYSIS

	Q4 2008			Q3 2008			Q2 2008			Q1 2008			Q4 2007			Q4 2006
Reinsurance recoverable on paid losses and loss expenses:
Insurance	$	69,084		$	57,622		$	70,438		$	83,109		$	64,106		$	46,442
Reinsurance		4,995			4,995			12,239			12,239			12,492			19,052
Total	$	74,079		$	62,617		$	82,677		$	95,348		$	76,598		$	65,494
Reinsurance recoverable on unpaid losses and loss expenses: OSLR
Insurance	$	417,370		$	492,024		$	479,724		$	492,319		$	436,042		$	661,211
Reinsurance		—			—			—			—			—			—
Total	$	417,370		$	492,024		$	479,724		$	492,319		$	436,042		$	661,211
Reinsurance recoverable on unpaid losses and loss expenses: IBNR
Insurance	$	877,588		$	922,329		$	865,323		$	844,747		$	852,054		$	647,022
Reinsurance		30,026			30,405			29,609			27,747			26,047			19,425
Total	$	907,614		$	952,734		$	894,932		$	872,494		$	878,101		$	666,447
Provision against reinsurance recoverables:
Insurance	$	(13,623	)	$	(27,394	)	$	(27,394	)	$	(19,794	)	$	(19,794	)	$	(19,944	)
Reinsurance		(6,810	)		(6,810	)		(6,810	)		(14,054	)		(14,054	)		(14,054	)
Total	$	(20,433	)	$	(34,204	)	$	(34,204	)	$	(33,848	)	$	(33,848	)	$	(33,998	)
Net reinsurance recoverables:
Insurance	$	1,350,419		$	1,444,581		$	1,388,091		$	1,400,381		$	1,332,408		$	1,334,731
Reinsurance		28,211			28,590			35,038			25,932			24,485			24,423
Total	$	1,378,630		$	1,473,171		$	1,423,129		$	1,426,313		$	1,356,893		$	1,359,154

AXIS Capital Holdings Limited

REINSURANCE RECOVERABLE ANALYSIS

Consolidated Reinsurance Recoverable			December 31, 2008
							% of Total
					Gross		Gross		Provision		Provision
					Recoverable		Recoverable	% of Total	against		against Reinsurance
	Gross				Net of		Net of	Shareholders’	Reinsurance		Recoverable as %	Net
Categories	Recoverable		Collateral		Collateral		Collateral	Equity	Recoverables		of Gross Recoverable	Recoverable
Top 10 reinsurers based on gross recoverables	$	932,481	$	(44,828)	$	887,653	67.6%	19.9%	$	(5,749)	0.6%	$	926,732
Other reinsurers balances > $20 million		176,635		(3,735)		172,900	13.2%	3.9%		(2,000)	1.1%		174,635
Other reinsurers balances < $20 million		289,947		(37,515)		252,432	19.2%	5.7%		(12,684)	4.4%		277,263
Total	$	1,399,063	$	(86,078)	$	1,312,985	100.0%	29.5%	$	(20,433)	1.5%	$	1,378,630

At December 31, 2008, 97.1% (December 31, 2007: 95.9%) of our gross recoverables were collectible from reinsurers rated the equivalent of A- or better by internationally recognised rating agencies.

	% of Total
	Gross
	Recoverable	% of Total
	Net of	Shareholders’
Top 10 Reinsurers (net of collateral)	Collateral	Equity
Swiss Reinsurance America Corporation	14.5%	4.3%
Partner Reinsurance Co. of U.S.	12.2%	3.6%
Transatlantic Reinsurance Co.	11.4%	3.3%
XL Reinsurance America Inc	8.4%	2.5%
Lloyd's of London	8.2%	2.4%
Berkley Insurance Company	5.1%	1.5%
Ace Property & Casualty Ins	3.7%	1.1%
Federal Insurance Company	2.8%	0.8%
Hannover Rueckversicherung AG	2.2%	0.6%
Munich Reinsurance America, Inc	2.1%	0.6%
	70.6%	20.7%

AXIS Capital Holdings Limited

RESERVE FOR LOSSES AND LOSS EXPENSES: PAID TO INCURRED ANALYSIS

	Quarter ended December 31, 2008									Year ended December 31, 2008
Reserve for losses and loss expenses	Gross			Recoveries			Net			Gross			Recoveries			Net
Beginning of period	$	6,406,204		$	(1,473,171	)	$	4,933,033		$	5,587,311		$	(1,356,893	)	$	4,230,418
Incurred		307,175			(33,338	)		273,837			2,084,818			(372,052	)		1,712,766
Paid		(410,217	)		125,765			(284,452	)		(1,291,701	)		347,987			(943,714	)
Foreign exchange (gains) losses		(58,379	)		2,114			(56,265	)		(135,645	)		2,328			(133,317	)
End of period [a]	$	6,244,783		$	(1,378,630	)	$	4,866,153		$	6,244,783		$	(1,378,630	)	$	4,866,153

[a] As at December 31, 2008, the gross reserve for losses and loss expenses included IBNR of $4,190 million, or 67%, of total gross reserves for loss and loss expenses. As at December 31, 2007, the comparable amount was $3,890 million, or 70%.

AXIS Capital Holdings Limited

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

	Three months ended December 31, 2008									Year ended December 31, 2008
	Insurance			Reinsurance			Total			Insurance			Reinsurance			Total
Gross losses paid	$	270,708		$	139,509		$	410,217		$	781,547		$	510,154		$	1,291,701
Reinsurance recoveries received		(125,765	)		—			(125,765	)		(340,490	)		(7,497	)		(347,987	)
Net losses paid		144,943			139,509			284,452			441,057			502,657			943,714
Change in:
Reported case reserves		32,149			41,589			73,738			203,732			230,114			433,846
IBNR		(159,195	)		(17,585	)		(176,780	)		35,217			324,054			359,271
Reinsurance recoveries on paid and unpaid loss and loss expense reserves		92,048			379			92,427			(20,338	)		(3,727	)		(24,065	)
TOTAL NET INCURRED LOSSES AND LOSS EXPENSES	$	109,945		$	163,892		$	273,837		$	659,668		$	1,053,098		$	1,712,766
Gross reserve for losses and loss expenses	$	3,547,071		$	2,697,712		$	6,244,783		$	3,547,071		$	2,697,712		$	6,244,783
Prior years net favorable reserve development	$	60,045		$	65,116		$	125,161		$	202,339		$	173,948		$	376,287
Key Ratios
Net paid to net incurred percentage		131.8%			85.1%			103.9%			66.9%			47.7%			55.1%
Net paid losses / Net premiums earned		49.5%			38.1%			43.2%			37.3%			33.4%			35.1%
Change in net loss and loss expense reserves / Net premiums earned		(11.9%	)		6.7%			(1.6%	)		18.5%			36.6%			28.6%
Net loss and loss expense ratio		37.6%			44.8%			41.6%			55.8%			70.0%			63.7%

AXIS Capital Holdings Limited

RESERVE FOR LOSSES AND LOSS EXPENSES: PAID TO INCURRED ANALYSIS

INSURANCE – QUARTERLY

	Quarter ended																		Year ended December 31,
	Q4 2008			Q3 2008			Q2 2008			Q1 2008			Q4 2007			Q4 2006			2008			2007
Gross losses paid	$	270,708		$	148,243		$	161,108		$	201,488		$	239,712		$	210,172		$	781,547		$	733,209
Reinsurance recoveries received		(125,765	)		(54,077	)		(79,170	)		(81,478	)		(98,388	)		(80,865	)		(340,490	)		(362,512	)
Net losses paid		144,943			94,166			81,938			120,010			141,324			129,307			441,057			370,697
Change in:
Reported case reserves		32,149			34,509			44,365			92,709			(9,888	)		(14,096	)		203,732			(165,119	)
IBNR		(159,195	)		158,606			21,103			14,703			(17,802	)		31,217			35,217			326,362
Reinsurance recoveries on paid and unpaid loss and loss expense reserves		92,048			(56,704	)		12,290			(67,972	)		(11,982	)		4,021			(20,338	)		2,324
TOTAL NET INCURRED LOSSES AND LOSS EXPENSES	$	109,945		$	230,577		$	159,696		$	159,450		$	101,652		$	150,449		$	659,668		$	534,264
Gross reserve for losses and loss expenses	$	3,547,071		$	3,690,039		$	3,508,456		$	3,442,804		$	3,333,743		$	3,171,746		$	3,547,071		$	3,333,743
Prior years net favorable reserve development	$	60,045		$	41,608		$	46,106		$	54,580		$	70,870		$	15,459		$	202,339		$	214,018
Key Ratios
Net paid to net incurred percentage		131.8%			40.8%			51.3%			75.3%			139.0%			85.9%			66.9%			69.4%
Net paid losses / Net premiums earned		49.5%			32.1%			27.5%			40.0%			47.2%			39.0%			37.3%			30.7%
Change in net loss and loss expense reserves / Net premiums earned		(11.9%	)		46.5%			26.1%			13.2%			(13.2%	)		6.3%			18.5%			13.5%
Net loss and loss expense ratio		37.6%			78.5%			53.7%			53.2%			33.9%			45.3%			55.8%			44.2%

AXIS Capital Holdings Limited

RESERVE FOR LOSSES AND LOSS EXPENSES: PAID TO INCURRED ANALYSIS

REINSURANCE – QUARTERLY

	Quarter ended																		Year ended December 31,
	Q4 2008			Q3 2008			Q2 2008			Q1 2008			Q4 2007			Q4 2006			2008			2007
Gross losses paid	$	139,509		$	164,376		$	101,782		$	104,487		$	103,817		$	189,958		$	510,154		$	456,680
Reinsurance recoveries received		—			(7,497	)		—			—			—			(2,376	)		(7,497	)		(2,988	)
Net losses paid		139,509			156,879			101,782			104,487			103,817			187,582			502,657			453,692
Change in:
Reported case reserves		41,589			161,303			15,193			12,029			162			(94,506	)		230,114			2,572
IBNR		(17,585	)		150,324			104,152			87,163			85,058			84,225			324,054			379,794
Reinsurance recoveries on paid and unpaid loss and loss expense reserves		379			6,448			(9,106	)		(1,448	)		(143	)		1,507			(3,727	)		(62	)
TOTAL NET INCURRED LOSSES AND LOSS EXPENSES	$	163,892		$	474,954		$	212,021		$	202,231		$	188,894		$	178,808		$	1,053,098		$	835,996
Gross reserve for losses and loss expenses	$	2,697,712		$	2,716,165		$	2,487,275		$	2,371,404		$	2,253,568		$	1,843,367		$	2,697,712		$	2,253,568
Prior years net favorable reserve development	$	65,116		$	34,663		$	40,638		$	33,531		$	21,131		$	18,971		$	173,948		$	122,959
Key Ratios
Net paid to net incurred percentage		85.1%			33.0%			48.0%			51.7%			55.0%			104.9%			47.7%			54.3%
Net paid losses / Net premiums earned		38.1%			39.6%			26.6%			29.1%			27.6%			52.5%			33.4%			29.7%
Change in net loss and loss expense reserves / Net premiums earned		6.7%			80.2%			28.8%			27.2%			22.6%			(2.4%	)		36.6%			25.1%
Net loss and loss expense ratio		44.8%			119.8%			55.4%			56.3%			50.2%			50.1%			70.0%			54.8%

AXIS Capital Holdings Limited

2008 IMPACT OF HURRICANES GUSTAV AND IKE

	Insurance		Reinsurance		Total
Gross loss and loss expenses
Hurricane Gustav	$	36,000	$	3,000	$	39,000
Hurricane Ike		137,609		278,493		416,102
Total gross loss and loss expenses	$	173,609	$	281,493	$	455,102
Net loss and loss expenses
Hurricane Gustav	$	28,224	$	3,000	$	31,224
Hurricane Ike		98,296		278,493		376,789
Total net loss and loss expenses	$	126,520	$	281,493	$	408,013
Gross premiums written [a]	$	—	$	(28,255)	$	(28,255)
Gross premiums earned [b]	$	—	$	(24,133)	$	(24,133)
Ceded premiums amortized		—		—		—
Net premium earned	$	—	$	(24,133)	$	(24,133)
Total impact before income tax	$	126,520	$	257,360	$	383,880
Income tax benefit		(12,443)		(1,097)		(13,540)
Total impact after income tax	$	114,077	$	256,263	$	370,340
Key Ratios
Net loss and loss expense ratio—as reported		55.8%		70.0%		63.7%
Hurricane Gustav and Ike impact		(10.7)%		(18.7)%		(15.2)%
Adjusted net loss and loss expense ratio		45.1%		51.3%		48.6%

[a] The impact of Hurricanes Gustav and Ike on gross premiums written in 2008 relates to reinstatement premiums recorded in our reinsurance segment following the event. These premiums will be earned over the remaining risk period.

[b] The impact of Hurricanes Gustav and Ike on gross premiums earned in 2008 primarily relates to the impact of the earnout of the reinstatements premiums in the year, for contracts impacted by these losses.

AXIS Capital Holdings Limited

ESTIMATED NET LOSSES TO PEAK ZONE PROPERTY CATASTROPHE LOSSES – AS OF JANUARY 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	$	639,748	$	845,518	$	1,168,917	$	75.9	$	117.6	$	191.5
California	Earthquake		326,586		508,487		842,248		23.2		35.2		60.7
Europe	Windstorm		438,325		663,105		927,714		26.9		39.4		56.4
Japan	Earthquake		208,067		306,508		514,382		19.3		55.1		112.6
Japan	Windstorm		75,896		128,775		142,162		13.4		19.8		32.6

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 January 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 $845 million (or 19% of shareholders’ equity at December 31, 2008). 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 $845 million. Conversely, there is a 99% chance that the loss from a U.S. hurricane will fall below $845 million. We estimate that, at such hypothetical loss levels, aggregate industry losses would be approximately $118 billion, resulting in an estimated market share of insured losses for the Company of 0.7%.

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.

AXIS Capital Holdings Limited

EARNINGS PER COMMON SHARE INFORMATION – AS REPORTED, GAAP

	Three months ended December 31,		Year ended December 31,
	2008	2007	2008	2007
Net income available to common shareholders	$130,858	$306,100	$350,501	$1,055,243
WEIGHTED AVERAGE COMMON SHARES OUTSTANDING
Weighted average basic shares outstanding	136,433	143,877	140,322	147,524
Dilutive share equivalents:
Warrants	10,293	13,406	12,023	13,055
Restricted stock	1,921	1,970	1,674	1,551
Options	716	2,479	1,301	2,385
Weighted average diluted shares outstanding	149,363	161,732	155,320	164,515
EARNINGS PER COMMON SHARE
Basic	$0.96	$2.13	$2.50	$7.15
Diluted	$0.88	$1.89	$2.26	$6.41

AXIS Capital Holdings Limited

EARNINGS PER COMMON SHARE INFORMATION AND COMMON SHARE ROLLFOWARD – QUARTERLY

	Quarter ended
	Q4 2008		Q3 2008		Q2 2008		Q1 2008		Q4 2007		Q4 2006
Net income (loss) available to common shareholders	$130,858		$(249,347	)	$231,267		$237,722		$306,100		$280,958
COMMON SHARES OUTSTANDING
Common Shares – at beginning of period	137,991		139,653		144,590		142,520		145,710		149,995
Shares issued	12		113		154		2,189		62		33
Shares repurchased for treasury	(1,792	)	(1,775	)	(5,091	)	(119	)	(3,240	)	—
Shares repurchased and cancelled	—		—		—		—		(12	)	(46	)
Common Shares – at end of period	136,211		137,991		139,653		144,590		142,520		149,982
WEIGHTED AVERAGE COMMON SHARES OUTSTANDING
Weighted average basic shares outstanding	136,433		139,335		142,333		143,239		143,877		150,006
Dilutive share equivalents:
Warrants [a]	10,293		—		12,579		13,160		13,406		12,479
Options [a]	716		—		1,496		1,527		1,970		2,240
Restricted stock [a]	1,921		—		1,194		2,258		2,479		1,261
Weighted average diluted shares outstanding	149,363		139,335		157,602		160,184		161,732		165,986
EARNINGS PER COMMON SHARE
Basic	$0.96		($1.79	)	$1.62		$1.66		$2.13		$1.87
Diluted	$0.88		($1.79	)	$1.47		$1.48		$1.89		$1.69

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

AXIS Capital Holdings Limited

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

	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

	At December 31, 2007
	Weighted Average Strike Price		Common Shareholders’ Equity		Outstanding Common Shares net of Treasury Shares	Per share
Closing stock price						$	38.97
Book value per common share			$	4,658,622	142,520	$	32.69
Dilutive securities:
Warrants	$	12.42		—	13,388		(2.81	)
Restricted stocks				—	3,312		(0.60	)
Options	$	18.46		—	2,531		(0.48	)
Phantom stock units				—	53		(0.01	)
Diluted book value per common share			$	4,658,622	161,804	$	28.79

[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.

EX-99.3

AXIS Capital Holdings

Limited

Investment Portfolio

Supplemental Information and Data

December 31, 2008

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.

A

10%

AAA

21%

US Govt,  Agency,

and Agency

Backed

36%

BBB and lower

6%

Equities

1%

Other

Investments

(Unrated)

4%

AA

5%

Cash Equivalents

17%

3

Total Cash and Investments

Total Cash and Investments: $10.4 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 December  31, 2008)

Equities

1%

Non

AgencyRMBS

3%

State & Municipal

4%

Other Investments

4%

Non Agency

CMBS

7%

Cash Equivalents

17%

ABS

4%

US Govt / Agency

13%

Agency MBS

23%

Foreign Govt

Agency

3%

Corporates

20%

$

$20

$40

$60

$80

$100

$120

$140

$160

$180

$200

$220

Pre

2000

2000

2001

2002

2003

2004

2005

2006

2007

2008

AAA

AA

A

Investment Grade Fixed Income: CMBS

Fair Value ($ in millions)

Net Unrealized Loss ($ in millions)

0%

25%

50%

75%

100%

Pre

2000

2000

2001

2002

2003

2004

2005

2006

2007

2008

AAA

AA

A

Rating by Vintage (%)

Rating by Vintage ($ in millions)

Vintage

AAA

AA

A

Total

2008

$15

$-

$-

$15

2007

148

-

-

148

2006

159

1

4

164

2005

198

-

-

199

Other

218

3

4

225

Total

$739

$4

$8

$751

Net

Unrealized

Loss

$(160)

$(6)

$(4)

$(170)

4

Key Characteristics

•

98.4% AAA, 96.6% super senior tranches

•

217 securities

•

Weighted average life of 4.50 years

•

Duration of 3.62

•

Book yield is 5.39%

•

Average price of 82% of par

(As of December  31, 2008)

Total CMBS: $751 Million

(7% of total portfolio)

CMBS: Detail

Average loan to value of the underlying collateral is 69.1

Average subordination has improved to 26.5% from 24.5% at origination

Current percentage of defeased

collateral is 11.2%

Average current collateral delinquency is 1.01%

Asset Class

Amortized

Cost

Net Unrealized

Loss

Fair Value

Office

$303

$(57)

$246

Retail

283

(51)

232

Multifamily

145

(25)

120

Hotel

75

(14)

61

Industrial

41

(8)

33

Mixed Use

18

(3)

15

Self Storage

17

(4)

13

Mobile Home

15

(3)

12

Healthcare

4

(1)

3

Other

20

(4)

16

Total

$921

$(170)

$751

5

Years to Maturity

Amortized

Cost

Net Unrealized

Loss

Fair Value

< 2

$234

$(15)

$219

2.1 –

3

49

(7)

42

3.1 –

4

72

(14)

58

4.1 –

5

49

(7)

43

5.1 –

7

253

(57)

196

7.1 –

10

263

(70)

194

Total

$921

$(170)

$751

Collateral Property Type ($ in millions)

Maturity Detail ($ in millions)

(As of December  31, 2008)

6

Investment Grade Fixed Income:  RMBS

Non- Agency

RMBS

13%

Agency RMBS

87%

•

Non-Agency RMBS have an amortized cost     

of $453 million with net unrealized loss of

$95 million

•

This sector includes prime, Alt-A and

subprime collateral.

•

Non-Agency RMBS is 96.7%  AAA-rated as

detailed on the following slides

Total Agency and Non-Agency RMBS: $2.7 Billion

(26% of total portfolio)

•

Agency RMBS are 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  $2.3 billion

with an  unrealized gain of

$70 million.

(As of December  31, 2008)

Non-Agency RMBS: Detail

Fair Value ($ in millions)

Rating by Vintage (%)

Rating by Vintage ($ in millions)

Vintage

AAA

AA

A

BBB and lower

Total

2007

$36

$-

$-

$1

$37

2006

43

1

2

1

47

2005

116

-

-

-

116

2004

57

-

-

1

58

Other

96

4

-

-

100

Total

$347

$6

$2

$4

$359

Net

Unrealized

$(91)

$(2)

$(2)

$(1)

$(95)

Net Unrealized Loss ($ in millions)

7

Key Characteristics

•

96.7% AAA

•

174 securities

•

Weighted average life of 3.1 years

•

Book yield is 6.08%

•

Average price of 76% of par

•

Duration of 0.29 and convexity of -0.22

•

Fair value of Subprime and Alt-A holdings are

$30 million and $102 million respectively

(As of December 31, 2008)

Non-Agency RMBS: Detail (Continued)

Years to Maturity

Amortized

Cost

Net Unrealized

Loss

Fair Value

< 2

$79

$(10)

$69

2.1 –

3

27

(8)

20

3.1 –

4

99

(22)

78

4.1 –

5

86

(17)

69

5.1 –

7

85

(23)

62

7.1 –

10

47

(8)

39

10

30

(8)

22

Total

$454

$(95)

$359

Maturity Detail ($ in millions)

8

•

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.

•

The average book yield on Alt-A and Subprime is 6.6% and 9.9% respectively.

•

The average price of Alt-A and Subprime is 71.4% and 66.6% of par respectively.

(As of December 31, 2008)

9

Medium-

Term

Notes

*

14%

Financials

50%

Non-

Financials

36%

Investment Grade Fixed Income:  Corporate Debt

Total Corporate Debt: $2.1 Billion

(20% of total portfolio)

Average corporate debt rating of A

Weighted average life of 4.5 years

Duration of 3.1

Book Yield is 5.75%

(As of December  31, 2008)

*Medium-Term Notes provide access to European credit issuances.

Commercial

Finance

2%

Consumer

Finance

3%

Brokerage

9%

Banking

34%

Govt Guaranteed

1%

Insurance

2%

Foreign Banks

22%

Other

4%

Corporate

Finance

19%

FDIC Guaranteed

4%

Investment Grade Corporate Debt: Financials

100%

7%

45%

25%

24%

% of

Amortized

Cost

$ in millions

Amortized

Cost

Net

Unrealized

Loss

Fair Value

AAA

$277

$(4)

$273

AA

295

(25)

270

A

524

(51)

473

BBB and lower

80

(21)

59

Total

$1,176

$(101)

$1,075

Financials by Subsector: $1.1 Billion

(11% of total portfolio)

Financials by Rating

10

Included in Financials are $98 million of

FDIC guaranteed bonds

The largest direct issuer exposure is

1.0% of total cash and investments

Top 5 Direct Financial Holdings

$ in millions

Amortized

Cost

Net

Unrealized

Loss

Fair

Value

General Electric

105

$          

-

$                

105

$      

JP Morgan Chase

87

(1)

86

Bank of America

94

(10)

84

Wells Fargo

81

(4)

77

Citigroup

93

(16)

77

460

$          

(31)

$            

429

$      

(As of December 31, 2008)

Investment Grade Corporate Debt: Non-Financials

Technology

5%

Transportation

2%

Other

1%

Natural Gas

2%

Industrial

6%

Communications

22%

Consumer

cyclicals

13%

Consumer Non

cyclicals

20%

Electric

15%

Energy

14%

100%

2%

5%

1%

2%

6%

14%

15%

20%

13%

22%

% of

Amortized

Cost

$ in millions

Amortized

Cost

Net

Unrealized

Gain/(Loss)

Fair

Value

Communications

$171

$(5)

$166

Consumer cyclicals

102

(6)

95

Consumer Non cyclicals

151

-

151

Electric

121

(5)

116

Energy

107

(4)

102

Industrial

50

(1)

48

Natural gas

20

(3)

17

REIT

7

(2)

5

Technology

39

1

40

Transportation

13

(1)

12

Total

$781

$(27)

$754

100%

40%

48%

8%

4%

% of

Amortized

Cost

$ in millions

Amortized

Cost

Net

Unrealized

Gain/(Loss)

Fair

Value

AAA

$ 28

$(1)

$ 27

AA

69

1

70

A

380

(7)

373

BBB

304

(21)

282

Total

$781

$ (27)

$ 754

Non-Financial Corporates By Subsector: $754 Million

(7% of total portfolio)

11

Non Financials by Rating

$ in millions

Amortized

Cost

Net

Unrealized

Gain/(Loss)

Fair

Value

Verizon Communications

42

$         

1

$              

43

$     

AT&T Inc             

34

-

34

Procter & Gamble

32

1

33

Time Warner Inc      

31

(2)

29

Comcast Corporation  

24

(1)

23

163

$       

(1)

$             

161

$   

Top 5 Direct Non-Financial Holdings

(As of December 31, 2008)

ABS

12%

Corporate &

Sovereign

52%

Financials

36%

12

USA

6%

France

7%

Germany

9%

Netherland

s

9%

Other

34%

Spain

4%

Australia

4%

Korea

5%

Italy

5%

UK

17%

Investment Grade Corporate Debt:

Medium-Term Notes

Credit issuances accessed via medium-term notes which employ leverage

Investment

results

driven

by

changes

in

credit

spreads

–

interest

rate

risk

is

hedged

Average yield of medium-term notes is Libor+243bps

Fair Value by Country

AAA/AA

26%

BB&

Below

1%

BBB

29%

A

44%

$287

Fair

Value

2.8%

% of

Total

Portfolio

$ in millions

Amortized

Cost

Net

Unrealized

Loss

Medium-Term Notes

$618

$(331)

Fair Value by Rating

Fair Value by Sector

(As of December 31, 2008)

Investment Grade Fixed Income: ABS

Home equity and

home

improvement

8%

Equipment

1%

Credit card

29%

CDO

3%

CLO - debt

tranches

9%

Auto ABS

30%

Other ABS

20%

100%

8%

8%

2%

82%

% of

Amortized

Cost

$ in millions

Amortized

Cost

Net

Unrealized

Loss

Fair

Value

AAA

$355

$(29)

$326

AA

9

(1)

8

A

35

(10)

25

BBB and lower

34

(12)

22

Total

$433

$(52)

$381

100%

19%

9%

1%

27%

3%

12%

28%

% of

Amortized

Cost

$ in millions

Amortized

Cost

Net

Unrealized

Loss

Fair

Value

Auto ABS

$122

$(5)

$117

CLO –debt

tranches

53

(18)

35

CDO

15

(4)

11

Credit card

119

(9)

110

Equipment

4

-

4

Home equity and       

home improvement

38

(9)

29

Other ABS

82

(6)

76

Total

$433

$(52)

$381

13

Key Characteristics

•

82% AAA

•

143 securities

•

Weighted average life of 3.54 years

•

Duration of 0.63

•

Book yield is 5.55%

•

Average price of 90% of par

ABS by Subsector: $381 Million

(4% of total portfolio)

(As of December 31, 2008)

ABS: Detail

100%

2%

17%

5%

10%

11%

8%

47%

% of

Amortized

Cost

Years to Maturity

Amortized

Cost

Net

Unrealized

Loss

Fair Value

< 2

$206

$(12)

$194

2.1 –

3

35

(4)

31

3.1 –

4

46

(8)

39

4.1 –

5

41

(11)

30

5.1 –

7

20

(5)

14

7.1 –

10

75

(10)

65

>10

9

(2)

8

Total

$433

($52)

$381

14

100%

2%

7%

18%

23%

25%

25%

% of

Amortized

Cost

Asset Class

Amortized Cost

Fair Value

Vintage

2008

$110

$102

2007

109

98

2006

98

91

2005

79

60

2004

29

23

Pre 2004

8

7

Total

$433

$381

Maturity Detail –

All ABS ($ in millions)

Vintage Detail –

All ABS ($ in millions)

(As of December  31, 2008)

Other Investments Overview

CLO - equity tranches

20%

Credit funds

21%

Short duration high yield

fund

8%

Hedge funds

51%

Total Other Investments: $492 million

(4% of total portfolio)

(As of December  31, 2008)

15

Net Unrealized Gain / (Loss) Summary

$ in millions

Amortized Cost

Net Unrealized Loss

Fair Value

Fixed maturities

$8,672

$(659)

$8,013

Equities

164

(57)

107

Total

$8,836

$(716)

$8,120

-$60

-$27

-$52

$8

$30

-$79

-$170

-$47

-$95

-$21

-$36

-$57

-$25

-$85

-$284

-$459

$11

$16

-$14

$6

$70

$26

-$5

$38

US GOVT / AGENCY

STATE & MUNICIPAL

AGENCY MBS

FOREIGN GOVT AGENCY

CORPORATES

EQUITIES

NON-AGENCY RMBS

NON-AGENCY CMBS

ABS

Dec 2007                              Jun 2008           

Sep 2008                                 Dec 2008

100

0

-100

-200

-300

-400

-500

-600

-700

-800

16

(As of December 31,  2008)