Exhibit 99.2

AXIS Capital Holdings Limited

INVESTOR FINANCIAL SUPPLEMENT

FIRST QUARTER 2010

AXIS Capital Holdings Limited

92 Pitts Bay Road

Pembroke HM 08 Bermuda

Contact Information:

Linda Ventresca

Investor Relations

441 405 2727

investorrelations@axiscapital.com

Website Information:

www.axiscapital.com

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

AXIS Capital Holdings Limited

FINANCIAL SUPPLEMENT TABLE OF CONTENTS

		Page(s)
	Basis of Presentation	i - iii
I. Financial Highlights		1
II. Income Statements
	a. Consolidated Statements of Income - Quarterly	2
	b. Consolidated Segment Data	3
	c. Gross Premium Written by Segment by Line of Business	4
	d. Segment Consecutive Quarters	5-6
III. Balance Sheets
	a. Consolidated Balance Sheets	7
	b. Cash and Invested Assets*	8
	c. Cash and Invested Assets Composition - Quarterly	9
	d. Investment Portfolio: Ten Largest Issuer Holdings in Fixed Maturity Portfolio	10
	e. Reinsurance Recoverable Analysis	11-12
IV. Loss Reserve Analysis
	a. Paid to Incurred Analysis	13
	b. Paid to Incurred Analysis by Segment	14
	c. Segment Consecutive Quarters	15-16
	d. 2010 Impact of Chilean Earthquake	17
	e. Estimated Exposures to Peak Zone Property Catastrophe Losses	18
V. Share Analysis
	a. Earnings Per Common Share Analysis and Common Share Rollforward - Quarterly	19
	b. Diluted Book Value Per Common Share Analysis	20
VI. Non-GAAP Financial Measures
	a. Non-GAAP Financial Measure Reconciliation	21

* Refer also to Investment Portfolio Supplemental Information and Data for more details.

AXIS Capital Holdings Limited

BASIS OF PRESENTATION

DEFINITIONS AND PRESENTATION

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

• All financial information contained herein is unaudited, except for the consolidated balance sheet at December 31, 2009.

• Amounts may not reconcile exactly due to rounding differences.

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

CAUTIONARY NOTE REGARDING FORWARD-LOOKING STATEMENTS:

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

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

• the occurrence of natural and man-made disasters,

• actual claims exceeding our loss reserves,

• general economic, capital and credit market conditions and the persistence of the recent financial crisis,

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

• the effects of emerging claims and coverage issues,

• the failure of our cedants to adequately evaluate risks,

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

• the loss of one or more key executives,

• a decline in our ratings with rating agencies,

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

• changes in accounting policies or practices,

• changes in governmental regulations,

• increased competition,

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

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

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

i

AXIS Capital Holdings Limited

BASIS OF PRESENTATION

BUSINESS DESCRIPTIONS

INSURANCE SEGMENT

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

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

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

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

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

Credit and political risk: provides credit and political risk insurance products for banks and corporations. Coverage is provided for a range of risks including sovereign default, credit default, political violence, currency inconvertibility and non-transfer, expropriation, aircraft non-repossession and contract frustration due to political events. The credit insurance coverage is primarily for lenders seeking to mitigate the risk of non-payment from their borrowers in emerging markets. For the credit insurance contracts, it is necessary for the buyer of the insurance (most often a bank) to hold an insured asset (most often an underlying loan) in order to claim compensation under the insurance contract. The traditional political risk coverage provides protection against sovereign actions that result in the impairment of cross-border investments for banks and major corporations (known as “CEND” coverages).

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

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

Other: commencing in Q1 2010, “Other” primarily relates to accidental death and sickness insurance for employer and affinity groups, financial institutions, schools and colleges, as well as accident reinsurance for catastrophic events on a quota share or excess basis, with aggregate and/or per person deductibles. Prior to this, “Other” related primarily to employee medical coverage for self-insured, small and medium sized employers, for losses in excess of a given retention.

ii

AXIS Capital Holdings Limited

BASIS OF PRESENTATION

BUSINESS DESCRIPTIONS (CONTINUED)

REINSURANCE SEGMENT

Our reinsurance segment provides non-life reinsurance to insurance companies on a worldwide basis. The following are the lines of business in our reinsurance segment:

Catastrophe: provides protection for most catastrophic losses that are covered in the underlying insurance policies written by our cedants. The exposure in the underlying policies is principally property exposure but also covers other exposures including workers compensation, personal accident and life. The principal perils in this portfolio are hurricane and windstorm, earthquake, flood, tornado, hail and fire. In some instances, terrorism may be a covered peril or the only peril. We underwrite catastrophe reinsurance principally on an excess of loss basis.

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

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

Credit and Bond: consists of reinsurance of trade credit insurance products and includes both proportional and excess of loss structures. The underlying insurance indemnifies sellers of goods and services in the event of a payment default by the buyer of those goods and services. Also included in this line of business is coverage for losses arising from a broad array of surety bonds issued by bond insurers principally to satisfy regulatory demands in a variety of jurisdictions around the world.

Motor: provides coverage to cedants for motor liability and, to a lesser degree, property damage losses arising out of any one occurrence. The occurrence can involve one or many claimants where the ceding insurer aggregates the claims from the occurrence.

Liability: provides coverage to insurers of standard casualty business, excess and surplus casualty business and specialty casualty programs. The primary focus of the underlying business is general liability, although workers compensation and auto liability are also written.

Engineering: provides coverage for all types of construction risks and risks associated with erection, testing and commissioning of machinery and plants during the construction stage. This line of business also includes coverage for losses arising from operational failures of machinery, plant and equipment and electronic equipment as well as business interruption.

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

iii

AXIS Capital Holdings Limited

FINANCIAL HIGHLIGHTS

		Quarter ended March 31,
		2010			2009			Change
HIGHLIGHTS	Gross premiums written	$	1,425,201		$	1,323,495		7.7	%
	Gross premiums written - Insurance		26.2	%		27.5	%	(1.3	)	pts
	Gross premiums written - Reinsurance		73.8	%		72.5	%	1.3		pts
	Net premiums written	$	1,243,635		$	1,162,301		7.0	%
	Net premiums earned	$	696,192		$	665,359		4.6	%
	Net premiums earned - Insurance		36.8	%		41.4	%	(4.6	)	pts
	Net premiums earned - Reinsurance		63.2	%		58.6	%	4.6		pts
	Net income available to common shareholders	$	111,812		$	115,679		(3.3	)%
	Operating income [a]		95,650			155,811		(38.6	)%
	Reserve for losses and loss expenses		6,759,522			6,392,278		5.7	%
	Total shareholders’ equity		5,376,019			4,492,837		19.7	%
PER COMMON SHARE AND	Basic earnings per common share	$	0.87		$	0.84		3.5	%
COMMON SHARE DATA	Diluted earnings per common share	$	0.79		$	0.78		1.3	%
	Operating diluted earnings per common share [b]	$	0.67		$	1.05		(36.2	)%
	Weighted average common shares outstanding		128,202			137,316		(6.6	)%
	Diluted weighted average common shares outstanding		142,176			149,023		(4.6	)%
	Book value per common share	$	39.27		$	29.01		35.4	%
	Diluted book value per common share (treasury stock method)	$	34.56		$	26.35		31.2	%
	Accumulated dividends paid per common share	$	4.10		$	3.29		24.6	%
FINANCIAL RATIOS	ROACE [c]		9.1	%		11.6	%	2.5		pts
	Operating ROACE [b]		7.7	%		15.7	%	(8.0	)	pts
	Net loss and loss expense ratio		67.3	%		58.3	%	9.0		pts
	Acquisition cost ratio		16.7	%		15.3	%	1.4		pts
	General and administrative expense ratio		14.3	%		13.0	%	1.3		pts
	Combined ratio		98.3	%		86.6	%	11.7		pts
INVESTMENT DATA	Total assets	$	16,329,170		$	14,777,366		10.5	%
	Total cash and invested assets [d]		12,125,262			10,477,614		15.7	%
	Net investment income		104,619			99,292		5.4	%
	Net realized investment gains (losses)		16,176			(40,597	)	nm
	Total return on cash and investments [e]		1.8	%		0.0	%	1.8		pts
	Return on other investments [f]		2.9	%		1.4	%	1.5		pts
	Annualized pre-tax yield of fixed maturities [g]		3.8	%		4.2	%	(0.4	)	pts

[a] Operating income is a “Non-GAAP financial measure” as defined by Regulation G. See page 21 for reconciliation of operating income to net income available to common shareholders.

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

[c] 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. Net income available to common shareholders for the quarter-periods is annualized.

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

[e] In calculating total return, we include net investment income, net realized investment gains (losses) and the change in unrealized gains (losses) generated by our average month-end cash and investment balances.

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

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

nm not meaningful

1

AXIS Capital Holdings Limited

CONSOLIDATED STATEMENTS OF INCOME - QUARTERLY

	Q1 2010			Q4 2009			Q3 2009			Q2 2009			Q1 2009			Q1 2008
UNDERWRITING REVENUES
Gross premiums written	$	1,425,201		$	573,845		$	775,314		$	914,641		$	1,323,495		$	1,264,181
Premiums ceded		(181,566	)		(215,874	)		(180,170	)		(213,628	)		(161,194	)		(172,406	)
Net premiums written		1,243,635			357,971			595,144			701,013			1,162,301			1,091,775
Gross premiums earned		888,607			912,520			898,268			890,194			839,316			835,514
Ceded premiums amortized		(192,415	)		(198,910	)		(192,243	)		(183,424	)		(173,957	)		(176,880	)
Net premiums earned		696,192			713,610			706,025			706,770			665,359			658,634
Other insurance related income (loss)		626			29,713			(135,738	)		(14,261	)		(9,395	)		2,002
Total underwriting revenues		696,818			743,323			570,287			692,509			655,964			660,636
UNDERWRITING EXPENSES
Net losses and loss expenses		468,262			346,512			311,109			378,252			387,999			361,681
Acquisition costs		116,649			101,787			113,423			103,309			101,976			94,480
General and administrative expenses		83,461			79,507			74,404			70,418			68,752			65,189
Total underwriting expenses		668,372			527,806			498,936			551,979			558,727			521,350
UNDERWRITING INCOME		28,446			215,517			71,351			140,530			97,237			139,286
OTHER OPERATING REVENUE (EXPENSES)
Net investment income		104,619			118,178			134,788			112,220			99,292			85,651
Net realized investment gains (losses)		16,176			6,056			(253,365	)		(23,678	)		(40,597	)		35,685
Interest expense and financing costs		(8,688	)		(8,162	)		(7,977	)		(7,971	)		(7,921	)		(7,958	)
Total other operating revenue (expenses)		112,107			116,072			(126,554	)		80,571			50,774			113,378
OTHER (EXPENSES) REVENUE
Foreign exchange gains (losses)		8,147			2,018			(6,784	)		(24,184	)		389			20,297
Corporate expenses [a]		(16,308	)		(25,135	)		(17,605	)		(16,531	)		(17,805	)		(13,561	)
Total other (expenses) revenue		(8,161	)		(23,117	)		(24,389	)		(40,715	)		(17,416	)		6,736
INCOME (LOSS) BEFORE INCOME TAXES		132,392			308,472			(79,592	)		180,386			130,595			259,400
Income tax expense		(11,361	)		(17,190	)		(7,082	)		(12,006	)		(5,697	)		(12,459	)
NET INCOME (LOSS)		121,031			291,282			(86,674	)		168,380			124,898			246,941
Preferred share dividends		(9,219	)		(9,219	)		(9,218	)		(9,219	)		(9,219	)		(9,219	)
NET INCOME (LOSS) AVAILABLE TO COMMON SHAREHOLDERS	$	111,812		$	282,063		$	(95,892	)	$	159,161		$	115,679		$	237,722
KEY RATIOS/PER COMMON SHARE DATA
Net loss and loss expense ratio		67.3	%		48.6	%		44.1	%		53.5	%		58.3	%		54.9	%
Acquisition cost ratio		16.7	%		14.3	%		16.1	%		14.6	%		15.3	%		14.3	%
General and administrative expense ratio [a]		14.3	%		14.6	%		13.0	%		12.3	%		13.0	%		12.0	%
Combined ratio		98.3	%		77.5	%		73.2	%		80.4	%		86.6	%		81.2	%
Weighted average basic shares outstanding		128,202			136,049			137,904			137,849			137,316			143,239
Weighted average diluted shares outstanding		142,176			150,718			137,904			149,861			149,023			160,184
Basic earnings per common share	$	0.87		$	2.07		($	0.70	)	$	1.15		$	0.84		$	1.66
Diluted earnings per common share	$	0.79		$	1.87		($	0.70	)	$	1.06		$	0.78		$	1.48
ROACE (annualized)		9.1	%		22.8	%		(8.2	)%		15.2	%		11.6	%		20.0	%
Operating ROACE (annualized)		7.7	%		22.3	%		13.0	%		17.4	%		15.7	%		17.2	%

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

2

AXIS Capital Holdings Limited

CONSOLIDATED SEGMENT DATA

	Three months ended March 31, 2010									Three months ended March 31, 2009
	Insurance			Reinsurance			Total			Insurance			Reinsurance			Total
UNDERWRITING REVENUES
Gross premiums written	$	372,929		$	1,052,272		$	1,425,201		$	364,158		$	959,337		$	1,323,495
Net premiums written		206,812			1,036,823			1,243,635			212,015			950,286			1,162,301
Gross premiums earned		443,050			445,557			888,607			445,541			393,775			839,316
Ceded premiums amortized		(186,769	)		(5,646	)		(192,415	)		(169,918	)		(4,039	)		(173,957	)
Net premiums earned		256,281			439,911			696,192			275,623			389,736			665,359
Other insurance related income (loss)		626			—			626			(9,805	)		410			(9,395	)
Total underwriting revenues		256,907			439,911			696,818			265,818			390,146			655,964
UNDERWRITING EXPENSES
Net losses and loss expenses		130,703			337,559			468,262			152,704			235,295			387,999
Acquisition costs		31,141			85,508			116,649			26,203			75,773			101,976
General and administrative expenses		61,610			21,851			83,461			50,481			18,271			68,752
Total underwriting expenses		223,454			444,918			668,372			229,388			329,339			558,727
UNDERWRITING INCOME	$	33,453		$	(5,007	)	$	28,446		$	36,430		$	60,807		$	97,237
KEY RATIOS
Net loss and loss expense ratio		51.0	%		76.7	%		67.3	%		55.4	%		60.4	%		58.3	%
Acquisition cost ratio		12.2	%		19.4	%		16.7	%		9.5	%		19.4	%		15.3	%
General and administrative expense ratio		24.0	%		5.0	%		12.0	%		18.3	%		4.7	%		10.3	%
Corporate expense ratio								2.3	%								2.7	%
Combined ratio		87.2	%		101.1	%		98.3	%		83.2	%		84.5	%		86.6	%

3

AXIS Capital Holdings Limited

GROSS PREMIUM WRITTEN BY SEGMENT BY LINE OF BUSINESS

	Q1 2010			Q4 2009			Q3 2009			Q2 2009			Q1 2009		Q1 2008
INSURANCE SEGMENT
Property	$	118,214		$	121,860		$	147,117		$	176,421		$	106,138	$	127,291
Marine		66,859			32,618			45,765			61,858			60,626		64,887
Terrorism		5,091			12,330			7,861			10,165			5,667		8,349
Aviation		3,136			40,857			11,098			7,176			17,067		17,486
Credit and political risk		(2,698	)		16,639			(3,902	)		4,222			2,491		54,576
Professional lines		127,945			184,491			155,382			211,417			120,328		108,177
Liability		53,716			61,951			50,601			55,505			51,812		49,923
Other		666			—			—			—			29		4,168
TOTAL INSURANCE SEGMENT		372,929			470,746			413,922			526,764			364,158		434,857
REINSURANCE SEGMENT
Catastrophe		227,781			9,448			87,700			132,071			237,347		212,948
Property		178,498			11,993			78,222			110,083			126,430		141,401
Professional lines		106,799			59,546			84,903			70,420			113,640		87,376
Credit and bond		228,073			9,556			18,369			(1,632	)		197,271		134,574
Motor		118,114			(2,168	)		5,675			23,771			77,572		75,526
Liability		133,379			7,979			80,876			29,991			153,856		108,181
Engineering		44,376			5,434			5,979			8,839			41,266		53,224
Other		15,252			1,311			(332	)		14,334			11,955		16,094
TOTAL REINSURANCE SEGMENT		1,052,272			103,099			361,392			387,877			959,337		829,324
CONSOLIDATED TOTAL	$	1,425,201		$	573,845		$	775,314		$	914,641		$	1,323,495	$	1,264,181

4

AXIS Capital Holdings Limited

INSURANCE SEGMENT DATA - QUARTERLY

	Q1 2010			Q4 2009			Q3 2009			Q2 2009			Q1 2009			Q1 2008
UNDERWRITING REVENUES
Gross premiums written	$	372,929		$	470,746		$	413,922		$	526,764		$	364,158		$	434,857
Net premiums written		206,812			260,129			239,781			313,136			212,015			271,732
Gross premiums earned		443,050			494,580			465,701			478,299			445,541			472,603
Ceded premiums amortized		(186,769	)		(189,849	)		(187,064	)		(179,324	)		(169,918	)		(173,046	)
Net premiums earned		256,281			304,731			278,637			298,975			275,623			299,557
Other insurance related income (loss)		626			29,713			(135,898	)		(14,956	)		(9,805	)		1,187
Total underwriting revenues		256,907			334,444			142,739			284,019			265,818			300,744
UNDERWRITING EXPENSES
Net losses and loss expenses		130,703			161,551			111,228			187,211			152,704			159,450
Acquisition costs		31,141			29,065			29,613			28,306			26,203			31,714
General and administrative expenses		61,610			57,895			55,685			52,893			50,481			47,819
Total underwriting expenses		223,454			248,511			196,526			268,410			229,388			238,983
UNDERWRITING INCOME (LOSS)	$	33,453		$	85,933		$	(53,787	)	$	15,609		$	36,430		$	61,761
KEY RATIOS
Net loss and loss expense ratio		51.0	%		53.0	%		39.9	%		62.6	%		55.4	%		53.2	%
Acquisition cost ratio		12.2	%		9.6	%		10.6	%		9.5	%		9.5	%		10.6	%
General and administrative expense ratio		24.0	%		19.0	%		20.0	%		17.7	%		18.3	%		16.0	%
Combined ratio		87.2	%		81.6	%		70.5	%		89.8	%		83.2	%		79.8	%

5

AXIS Capital Holdings Limited

REINSURANCE SEGMENT DATA - QUARTERLY

	Q1 2010			Q4 2009			Q3 2009			Q2 2009			Q1 2009			Q1 2008
UNDERWRITING REVENUES
Gross premiums written	$	1,052,272		$	103,099		$	361,392		$	387,877		$	959,337		$	829,324
Net premiums written		1,036,823			97,842			355,363			387,877			950,286			820,043
Gross premiums earned		445,557			417,940			432,567			411,895			393,775			362,911
Ceded premiums amortized		(5,646	)		(9,061	)		(5,179	)		(4,100	)		(4,039	)		(3,834	)
Net premiums earned		439,911			408,879			427,388			407,795			389,736			359,077
Other insurance related income		—			—			160			695			410			815
Total underwriting revenues		439,911			408,879			427,548			408,490			390,146			359,892
UNDERWRITING EXPENSES
Net losses and loss expenses		337,559			184,961			199,881			191,041			235,295			202,231
Acquisition costs		85,508			72,722			83,810			75,003			75,773			62,766
General and administrative expenses		21,851			21,612			18,719			17,525			18,271			17,370
Total underwriting expenses		444,918			279,295			302,410			283,569			329,339			282,367
UNDERWRITING INCOME (LOSS)	$	(5,007	)	$	129,584		$	125,138		$	124,921		$	60,807		$	77,525
KEY RATIOS
Net loss and loss expense ratio		76.7	%		45.2	%		46.8	%		46.8	%		60.4	%		56.3	%
Acquisition cost ratio		19.4	%		17.8	%		19.6	%		18.4	%		19.4	%		17.5	%
General and administrative expense ratio		5.0	%		5.3	%		4.4	%		4.3	%		4.7	%		4.8	%
Combined ratio		101.1	%		68.3	%		70.8	%		69.5	%		84.5	%		78.6	%

6

AXIS Capital Holdings Limited

CONSOLIDATED BALANCE SHEETS

	Mar 31, 2010			Dec 31, 2009			Sep 30, 2009			Jun 30, 2009			Mar 31, 2009			Mar 31, 2008
ASSETS
Investments:
Fixed maturities, available for sale, at fair value	$	9,649,199		$	9,718,355		$	9,682,932		$	8,872,839		$	8,238,175		$	8,317,137
Equities, available for sale, at fair value		201,920			204,375			137,544			96,875			78,527			99,239
Other investments, at fair value		538,917			570,276			541,447			539,545			494,405			552,872
Short-term investments		143,937			129,098			282,737			165,197			225,583			106,657
Total investments		10,533,973			10,622,104			10,644,660			9,674,456			9,036,690			9,075,905
Cash and cash equivalents		1,510,027			864,054			1,239,471			1,380,863			1,411,551			1,578,801
Accrued interest receivable		84,407			89,559			82,169			87,361			80,746			80,990
Insurance and reinsurance premium balances receivable		1,708,400			1,292,877			1,497,639			1,707,677			1,581,743			1,607,609
Reinsurance recoverable on paid and unpaid losses		1,445,918			1,424,172			1,406,449			1,443,840			1,432,650			1,426,313
Deferred acquisition costs		420,283			302,320			363,739			374,849			375,774			369,000
Prepaid reinsurance premiums		291,382			301,885			284,922			296,994			266,789			238,466
Securities lending collateral		86,975			129,814			135,122			146,350			312,364			1,025,343
Net receivable for investments sold		—			12,740			—			—			—			18,086
Goodwill and intangible assets		91,217			91,505			93,049			95,058			95,380			61,344
Other assets		156,588			175,494			172,248			171,437			183,679			158,337
TOTAL ASSETS	$	16,329,170		$	15,306,524		$	15,919,468		$	15,378,885		$	14,777,366		$	15,640,194
LIABILITIES
Reserve for losses and loss expenses	$	6,759,522		$	6,564,133		$	6,579,914		$	6,561,894		$	6,392,278		$	5,814,208
Unearned premiums		2,748,283			2,209,397			2,548,072			2,671,025			2,646,578			2,574,755
Insurance and reinsurance balances payable		144,679			173,156			170,664			178,372			154,763			225,715
Securities lending payable		87,975			132,815			138,092			149,288			317,310			1,024,752
Senior notes		993,712			499,476			499,449			499,422			499,395			499,288
Other liabilities		215,835			227,303			426,068			253,198			222,832			130,054
Net payable for investments purchased		3,145			—			159,102			156,567			51,373			—
TOTAL LIABILITIES		10,953,151			9,806,280			10,521,361			10,469,766			10,284,529			10,268,772
SHAREHOLDERS’ EQUITY
Series A and B preferred shares		500,000			500,000			500,000			500,000			500,000			500,000
Common shares		1,929			1,903			1,901			1,900			1,899			1,875
Additional paid-in capital		2,027,950			2,014,815			2,003,417			1,989,503			1,977,144			1,902,336
Accumulated other comprehensive income (loss)		165,455			85,633			74,974			(528,261	)		(767,182	)		(104	)
Retained earnings		3,649,770			3,569,411			3,319,467			3,447,511			3,282,392			3,176,654
Treasury shares, at cost		(969,085	)		(671,518	)		(501,652	)		(501,534	)		(501,416	)		(209,339	)
TOTAL SHAREHOLDERS’ EQUITY		5,376,019			5,500,244			5,398,107			4,909,119			4,492,837			5,371,422
TOTAL LIABILITIES AND SHAREHOLDERS’ EQUITY	$	16,329,170		$	15,306,524		$	15,919,468		$	15,378,885		$	14,777,366		$	15,640,194
Book value per common share	$	39.27		$	37.84		$	35.54		$	32.02		$	29.01		$	33.69
Diluted book value per common share	$	34.56		$	33.65		$	31.58		$	28.72		$	26.35		$	29.96
Debt (Senior notes) to total capitalization [a]		15.6	%		8.3	%		8.5	%		9.2	%		10.0	%		8.5	%
Debt plus preferred shares to total capitalization		23.5	%		16.7	%		16.9	%		18.5	%		20.0	%		17.0	%

[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.

7

AXIS Capital Holdings Limited

CASH AND INVESTED ASSETS

At March 31, 2010

	Cost or Amortized Cost		Unrealized Gains		Unrealized Losses			Fair Value			Percentage
Fixed Maturities, available for sale
U.S. government and agency	$	1,327,369	$	9,553	$	(2,856	)	$	1,334,066		11	%
Non-U.S. government		685,643		6,137		(12,883	)		678,897		6	%
Corporate debt		3,747,774		144,767		(30,632	)		3,861,909		32	%
Agency MBS [a]		1,652,820		44,301		(3,978	)		1,693,143		14	%
Non-Agency CMBS		665,483		24,460		(9,297	)		680,646		6	%
Non-Agency RMBS		222,000		1,523		(23,706	)		199,817		2	%
ABS		573,259		7,826		(18,166	)		562,919		4	%
Municipals		625,297		16,392		(3,887	)		637,802		5	%
Total fixed maturities		9,499,645		254,959		(105,405	)		9,649,199		80	%
Equities, available for sale		192,486		18,767		(9,333	)		201,920		2	%
Total available for sale investments	$	9,692,131	$	273,726	$	(114,738	)		9,851,119		82	%
Other investments (see below)									538,917		4	%
Short-term investments									143,937		1	%
Total investments									10,533,973		87	%
Cash and cash equivalents [b]									1,510,027		12	%
Accrued interest receivable									84,407		1	%
Net receivable/(payable) for investments sold (purchased)									(3,145	)	0	%
Total Cash and Invested Assets								$	12,125,262		100	%
Other Investments:								Fair Value			Percentage
Hedge funds								$	324,536		60	%
Credit funds									104,337		19	%
Collateralized loan obligations - equity tranches									58,593		11	%
Short duration high yield fund									51,451		10	%
Total								$	538,917		100	%

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

[b] Includes $131 million of restricted cash and cash equivalents.

8

AXIS Capital Holdings Limited

CASH AND INVESTED ASSETS COMPOSITION - QUARTERLY

	Q1 2010		Q4 2009		Q3 2009		Q2 2009		Q1 2009
CASH AND INVESTED ASSETS PORTFOLIO	Fair Value %		Fair Value %		Fair Value %		Fair Value %		Fair Value %
Fixed Maturities:
U.S. government and agency	11.0	%	16.0	%	16.4	%	16.2	%	13.6	%
Non-U.S. government	5.6	%	6.0	%	4.5	%	2.8	%	2.4	%
Corporate debt	31.9	%	30.9	%	29.2	%	24.4	%	21.7	%
MBS
Agency MBS	14.0	%	13.5	%	14.9	%	20.6	%	23.7	%
Non-agency CMBS	5.6	%	5.6	%	6.3	%	6.5	%	7.1	%
Non-agency RMBS	1.6	%	1.9	%	1.9	%	2.3	%	2.7	%
ABS	4.4	%	3.8	%	3.3	%	2.8	%	3.4	%
Municipals	5.4	%	6.0	%	5.6	%	5.2	%	3.9	%
Total Fixed Maturities	79.5	%	83.7	%	82.1	%	80.8	%	78.5	%
Equities	1.7	%	1.8	%	1.2	%	0.9	%	0.7	%
Other Investments	4.4	%	4.9	%	4.6	%	4.9	%	4.7	%
Short-term investments	1.2	%	1.0	%	2.0	%	1.5	%	2.3	%
Total investments	86.8	%	91.4	%	89.9	%	88.1	%	86.2	%
Cash and cash equivalents	12.4	%	7.5	%	10.5	%	12.6	%	13.5	%
Accrued interest receivable	0.8	%	1.0	%	0.9	%	0.8	%	0.8	%
Net receivable/(payable) for investments sold	—		0.1	%	(1.3	)%	(1.5	)%	(0.5	)%
Total Cash and Invested Assets	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 %
U.S. government and agency	13.8	%	19.1	%	20.0	%	20.1	%	17.4	%
AAA	41.7	%	41.2	%	41.9	%	48.2	%	54.9	%
AA	10.6	%	9.4	%	9.0	%	8.0	%	7.6	%
A	19.1	%	18.1	%	17.3	%	14.2	%	11.8	%
BBB	13.2	%	10.7	%	10.5	%	8.5	%	6.7	%
Below BBB	1.6	%	1.5	%	1.3	%	1.0	%	1.6	%
Total	100.0	%	100.0	%	100.0	%	100.0	%	100.0	%
MATURITY PROFILE OF FIXED MATURITIES	Fair Value %		Fair Value %		Fair Value %		Fair Value %		Fair Value %
Within one year	7.1	%	7.3	%	5.8	%	4.8	%	4.9	%
From one to five years	39.7	%	43.0	%	41.9	%	34.9	%	32.8	%
From five to ten years	17.2	%	16.3	%	16.9	%	17.5	%	12.5	%
Above ten years	3.5	%	3.7	%	3.3	%	2.9	%	2.9	%
Asset-backed and mortgage-backed securities	32.5	%	29.7	%	32.1	%	39.9	%	46.9	%
Total	100.0	%	100.0	%	100.0	%	100.0	%	100.0	%
PORTFOLIO CHARACTERISTICS OF FIXED MATURITIES	As of or for the quarter ended
	Q1 2010		Q4 2009		Q3 2009		Q2 2009		Q1 2009
Annualized pre-tax yield	3.8	%	3.9	%	4.1	%	4.4	%	4.2	%
Yield to maturity	3.5	%	3.6	%	3.4	%	4.2	%	4.6	%
Average duration	2.9 yrs		3.1 yrs		2.8 yrs		3.1 yrs		2.4 yrs
Average credit quality	AA		AA		AA		AA+		AA+

9

AXIS Capital Holdings Limited

INVESTMENT PORTFOLIO

TEN LARGEST ISSUER HOLDINGS IN FIXED MATURITY PORTFOLIO

At March 31, 2010

ISSUER (1)	Amortized Cost		Unrealized Gain/(Loss)		Fair Value		% of Total Fixed Maturities		FDIC Guarantee (2)
BANK OF AMERICA CORP	$	135,969	$	2,765	$	138,734	1.4	%	$	16,774
JP MORGAN CHASE CO		132,196		6,166		138,362	1.4	%		5,431
MORGAN STANLEY		131,659		3,164		134,823	1.4	%		15,072
VERIZON COMMUNICATIONS INC		98,549		6,814		105,363	1.1	%		—
GENERAL ELECTRIC CO		89,640		1,830		91,470	0.9	%		12,264
CITIGROUP INC		87,208		2,711		89,919	0.9	%		24,308
GOLDMAN SACHS		81,240		3,514		84,754	0.9	%		17,291
CREDIT SUISSE GROUP AG		62,432		1,960		64,392	0.7	%		—
WELLS FARGO & COMPANY		61,720		2,222		63,942	0.7	%		5,377
HSBC HOLDINGS PLC		61,271		1,482		62,753	0.7	%		4,767

Notes:

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

2. Amounts guaranteed by the U.S. Federal Deposit Insurance Corporation (“FDIC”) and foreign FDIC included in Fair Value.

10

AXIS Capital Holdings Limited

REINSURANCE RECOVERABLE ANALYSIS

	Q1 2010			Q4 2009			Q3 2009			Q2 2009			Q1 2009			Q1 2008
Reinsurance recoverable on paid losses and loss expenses:
Insurance	$	26,447		$	43,119		$	31,630		$	52,769		$	47,512		$	78,104
Reinsurance		4,995			4,995			4,995			4,995			4,995			12,492
Total	$	31,442		$	48,114		$	36,625		$	57,764		$	52,507		$	90,596
Reinsurance recoverable on unpaid losses and loss expenses: OSLR
Insurance	$	377,826		$	376,403		$	388,803		$	402,627		$	430,115		$	497,324
Reinsurance		—			—			—			—			—			—
Total	$	377,826		$	376,403		$	388,803		$	402,627		$	430,115		$	497,324
Reinsurance recoverable on unpaid losses and loss expenses: IBNR
Insurance	$	1,020,877		$	984,426		$	970,655		$	974,138		$	939,382		$	844,747
Reinsurance		40,653			38,186			32,799			31,745			31,079			27,494
Total	$	1,061,530		$	1,022,612		$	1,003,454		$	1,005,883		$	970,461		$	872,241
Provision against reinsurance recoverables:
Insurance	$	(19,563	)	$	(17,691	)	$	(15,623	)	$	(15,624	)	$	(13,623	)	$	(19,794	)
Reinsurance		(5,317	)		(5,266	)		(6,810	)		(6,810	)		(6,810	)		(14,054	)
Total	$	(24,880	)	$	(22,957	)	$	(22,433	)	$	(22,434	)	$	(20,433	)	$	(33,848	)
Net reinsurance recoverables:
Insurance	$	1,405,587		$	1,386,257		$	1,375,465		$	1,413,910		$	1,403,386		$	1,400,381
Reinsurance		40,331			37,915			30,984			29,930			29,264			25,932
Total	$	1,445,918		$	1,424,172		$	1,406,449		$	1,443,840		$	1,432,650		$	1,426,313

11

AXIS Capital Holdings Limited

REINSURANCE RECOVERABLE ANALYSIS

Consolidated Reinsurance Recoverable			March 31, 2010
Categories	Gross Recoverable		Collateral			Gross Recoverable Net of Collateral		% of Total Gross Recoverable Net of Collateral	% of Total Shareholders' Equity	Provision against Reinsurance Recoverables			Provision against Reinsurance Recoverable as % of Gross Recoverable	Net Recoverable
Top 10 reinsurers based on gross recoverables	$	1,031,862	$	(28,639	)	$	1,003,223	72.6%	18.7%	$	(8,728	)	0.8%	$	1,023,134
Other reinsurers balances > $20 million		159,647		(3,652	)		155,995	11.3%	2.9%		(4,630	)	2.9%		155,017
Other reinsurers balances < $20 million		279,289		(56,774	)		222,515	16.1%	4.1%		(11,522	)	4.1%		267,767
Total	$	1,470,798	$	(89,065	)	$	1,381,733	100.0%	25.7%	$	(24,880	)	1.7%	$	1,445,918

At March 31, 2010, 97.8% (December 31, 2009: 97.8%) of our gross recoverables were collectible from reinsurers rated the equivalent of A- or better by internationally recognised rating agencies.

Top 10 Reinsurers (net of collateral)	% of Total Gross Recoverable Net of Collateral	% of Total Shareholders’ Equity
Transatlantic Reinsurance Co.	13.8%	3.5%
Partner Reinsurance Co of US	13.3%	3.4%
Swiss Reinsurance America Corporation	12.3%	3.2%
XL Reinsurance America Inc	7.8%	2.0%
Berkley Insurance Company	7.3%	1.9%
Ace Property & Casualty Ins	6.2%	1.6%
Lloyds of London	5.3%	1.3%
Munich Re America, Inc. Direct	2.6%	0.7%
Liberty Mutual Insurance Co.	2.6%	0.7%
Federal Insurance Company	2.3%	0.6%
	73.5%	18.9%

12

AXIS Capital Holdings Limited

RESERVE FOR LOSSES AND LOSS EXPENSES: PAID TO INCURRED ANALYSIS

	Quarter ended March 31, 2010									Quarter ended March 31, 2009
Reserve for unpaid losses and loss expenses	Gross			Recoveries			Net			Gross			Recoveries			Net
Beginning of period		6,564,133			(1,381,058	)	$	5,183,075			6,244,783			(1,314,551	)	$	4,930,232
Incurred		555,596			(87,334	)		468,262			496,628			(108,629	)		387,999
Paid		(300,316	)		39,283			(261,033	)		(310,853	)		36,760			(274,093	)
Foreign exchange (gains) losses		(59,891	)		1,747			(58,144	)		(38,280	)		1,277			(37,003	)
End of period [a]	$	6,759,522		$	(1,427,362	)	$	5,332,160		$	6,392,278		$	(1,385,143	)	$	5,007,135

[a] At March 31, 2010, the gross reserve for losses and loss expenses included IBNR of $4,935 million, or 73%, of total gross reserves for loss and loss expenses. At December 31, 2009, the comparable amount was $4,669 million, or 71%.

13

AXIS Capital Holdings Limited

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

	Quarter ended March 31, 2010									Quarter ended March 31, 2009
	Insurance			Reinsurance			Total			Insurance			Reinsurance			Total
Gross losses paid	$	179,490		$	120,826		$	300,316		$	199,058		$	111,795		$	310,853
Reinsurance recoveries		(39,283	)		—			(39,283	)		(36,760	)		—			(36,760	)
Net losses paid		140,207			120,826			261,033			162,298			111,795			274,093
Change in:
Reported case reserves		(82,590	)		20,158			(62,432	)		(30,628	)		38,417			7,789
IBNR		118,721			198,991			317,712			91,850			86,136			177,986
Reinsurance recoveries on unpaid loss and loss expense reserves		(45,635	)		(2,416	)		(48,051	)		(70,816	)		(1,053	)		(71,869	)
TOTAL NET INCURRED LOSSES AND LOSS EXPENSES	$	130,703		$	337,559		$	468,262		$	152,704		$	235,295		$	387,999
Gross reserve for losses and loss expenses	$	3,533,040		$	3,226,482		$	6,759,522		$	3,603,197		$	2,789,081		$	6,392,278
Prior years net favorable reserve development	$	25,369		$	56,097		$	81,466		$	35,906		$	48,428		$	84,334
Key Ratios
Net paid to net incurred percentage		107.3	%		35.8	%		55.7	%		106.3	%		47.5	%		70.6	%
Net paid losses / Net premiums earned		54.7	%		27.4	%		37.5	%		58.9	%		28.7	%		41.2	%
Change in net loss and loss expense reserves / Net premiums earned		(3.7	%)		49.3	%		29.8	%		(3.5	%)		31.7	%		17.1	%
Net loss and loss expense ratio		51.0	%		76.7	%		67.3	%		55.4	%		60.4	%		58.3	%

14

AXIS Capital Holdings Limited

RESERVE FOR LOSSES AND LOSS EXPENSES: PAID TO INCURRED ANALYSIS

INSURANCE – QUARTERLY

	Quarter ended
	Q1 2010			Q4 2009			Q3 2009			Q2 2009			Q1 2009			Q1 2008
Gross losses paid	$	179,490		$	324,989		$	244,472		$	226,204		$	199,058		$	201,488
Reinsurance recoveries		(39,283	)		(89,773	)		(64,649	)		(65,170	)		(36,760	)		(100,476	)
Net losses paid		140,207			235,216			179,823			161,034			162,298			101,012
Change in:
Reported case reserves		(82,590	)		(122,563	)		(97,814	)		(38,506	)		(30,628	)		92,709
IBNR		118,721			47,741			11,911			65,060			91,850			14,703
Reinsurance recoveries on unpaid loss and loss expense reserves		(45,635	)		1,157			17,308			(377	)		(70,816	)		(48,974	)
TOTAL NET INCURRED LOSSES AND LOSS EXPENSES	$	130,703		$	161,551		$	111,228		$	187,211		$	152,704		$	159,450
Gross reserve for losses and loss expenses	$	3,533,040		$	3,502,680		$	3,572,266		$	3,654,192		$	3,603,197		$	3,442,804
Prior years net favorable reserve development	$	25,369		$	72,694		$	55,401		$	46,860		$	35,906		$	54,580
Key Ratios
Net paid to net incurred percentage		107.3	%		145.6	%		161.7	%		86.0	%		106.3	%		63.4	%
Net paid losses / Net premiums earned		54.7	%		77.2	%		64.5	%		53.9	%		58.9	%		33.7	%
Change in net loss and loss expense reserves / Net premiums earned		(3.7	%)		(24.2	%)		(24.6	%)		8.8	%		(3.5	%)		19.5	%
Net loss and loss expense ratio		51.0	%		53.0	%		39.9	%		62.6	%		55.4	%		53.2	%

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AXIS Capital Holdings Limited

RESERVE FOR LOSSES AND LOSS EXPENSES: PAID TO INCURRED ANALYSIS

REINSURANCE – QUARTERLY

	Quarter ended
	Q1 2010			Q4 2009			Q3 2009			Q2 2009			Q1 2009			Q1 2008
Gross losses paid	$	120,826		$	125,676		$	132,292		$	144,913		$	111,795		$	104,487
Reinsurance recoveries		—			—			—			—			—			—
Net losses paid		120,826			125,676			132,292			144,913			111,795			104,487
Change in:
Reported case reserves		20,158			20,902			56,294			(19,222	)		38,417			12,029
IBNR		198,991			45,313			12,349			66,016			86,136			87,163
Reinsurance recoveries on unpaid loss and loss expense reserves		(2,416	)		(6,930	)		(1,054	)		(666	)		(1,053	)		(1,448	)
TOTAL NET INCURRED LOSSES AND LOSS EXPENSES	$	337,559		$	184,961		$	199,881		$	191,041		$	235,295		$	202,231
Gross reserve for losses and loss expenses	$	3,226,482		$	3,061,453		$	3,007,648		$	2,907,702		$	2,789,081		$	2,371,404
Prior years net favorable reserve development	$	56,097		$	47,303		$	66,698		$	49,882		$	48,428		$	33,531
Key Ratios
Net paid to net incurred percentage		35.8	%		67.9	%		66.2	%		75.9	%		47.5	%		51.7	%
Net paid losses / Net premiums earned		27.4	%		30.7	%		31.0	%		35.5	%		28.7	%		29.1	%
Change in net loss and loss expense reserves / Net premiums earned		49.3	%		14.5	%		15.8	%		11.3	%		31.7	%		27.2	%
Net loss and loss expense ratio		76.7	%		45.2	%		46.8	%		46.8	%		60.4	%		56.3	%

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AXIS Capital Holdings Limited

2010 IMPACT OF CHILEAN EARTHQUAKE

	Reinsurance			Insurance			Total
Gross loss and loss expenses	$	101,500		$	5,025		$	106,525
Net loss and loss expenses		101,500			5,025			106,525
Gross and net premiums written [a]		8,020			—			8,020
Gross and net premiums earned [b]		6,137			—			6,137
Total impact before income tax		95,363			5,025			100,388
Income tax benefit		(78	)		(157	)		(235	)
Total impact after income tax	$	95,285		$	4,868		$	100,153

[a] The impact of Chilean earthquake on gross and net premiums written in 2010 relates to the recognition of reinstatement premiums in our reinsurance segment following the event. These premiums will be earned over the remaining risk period.

[b] The impact of Chilean earthquake on gross and net premiums earned in 2010 relates to the accelerated recognition of unearned premiums on policies in our reinsurance segment, prior to the recognition of reinstatement premiums.

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AXIS Capital Holdings Limited

ESTIMATED NET LOSSES TO PEAK ZONE PROPERTY CATASTROPHE LOSSES – AS OF APRIL 1, 2010

		Group Estimated Net Losses (in millions 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	$	706	$	998	$	1,329	$	78	$	121	$	195
California	Earthquake		404		682		998		16		28		50
Europe	Windstorm		395		612		865		20		28		41
Japan	Earthquake		203		291		517		15		21		38
Japan	Windstorm		71		125		135		15		21		34

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 April 1, 2010. 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 $998 million (or 19% of shareholders’ equity at March 31, 2010). 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 $998 million. Conversely, there is a 99% chance that the loss from a U.S. hurricane will fall below $998 million. We estimate that, at such hypothetical loss levels, aggregate industry losses would be approximately $121 billion, resulting in an estimated market share of insured losses for the Company of 0.8%.

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

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AXIS Capital Holdings Limited

EARNINGS PER COMMON SHARE INFORMATION AND COMMON SHARE ROLLFOWARD - QUARTERLY

	Quarter ended
	Q1 2010			Q4 2009			Q3 2009			Q2 2009			Q1 2009			Q1 2008
Net income (loss) available to common shareholders	$	111,812		$	282,063		$	(95,892	)	$	159,161		$	115,679		$	237,722
COMMON SHARES OUTSTANDING
Common Shares - at beginning of period		132,140			137,835			137,710			137,622			136,212			142,520
Shares issued		2,008			158			129			93			1,630			2,189
Shares repurchased for treasury		(9,993	)		(5,853	)		(4	)		(5	)		(220	)		(119	)
Common Shares - at end of period		124,155			132,140			137,835			137,710			137,622			144,590
WEIGHTED AVERAGE COMMON SHARES OUTSTANDING
Weighted average basic shares outstanding		128,202			136,049			137,904			137,849			137,316			143,239
Dilutive share equivalents:
Warrants[a]		11,675			11,480			—			10,018			9,729			13,160
Restricted stock[a]		1,501			2,387			—			1,332			1,308			2,258
Options[a]		761			757			—			656			668			1,527
Restricted stock units		37			45			—			6			2			—
Weighted average diluted shares outstanding		142,176			150,718			137,904			149,861			149,023			160,184
EARNINGS PER COMMON SHARE
Basic	$	0.87		$	2.07		($	0.70	)	$	1.15		$	0.84		$	1.66
Diluted	$	0.79		$	1.87		($	0.70	)	$	1.06		$	0.78		$	1.48

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

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AXIS Capital Holdings Limited

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

	At March 31, 2010
	Weighted Average Strike Price		Common Shareholders’ Equity		Outstanding Common Shares net of Treasury Shares	Per share
Closing stock price						$	31.26
Book value per common share			$	4,876,019	124,155	$	39.27
Dilutive securities:
Warrants	$	12.33		—	11,998		(3.46	)
Restricted stocks				—	3,802		(0.96	)
Options	$	22.06		—	758		(0.20	)
Restricted stock units				—	295		(0.07	)
Phantom stock units				—	68		(0.02	)
Diluted book value per common share			$	4,876,019	141,076	$	34.56
	At December 31, 2009
	Weighted Average Strike Price		Common Shareholders’ Equity		Outstanding Common Shares net of Treasury Shares	Per share
Closing stock price						$	28.41
Book value per common share			$	5,000,244	132,140	$	37.84
Dilutive securities:
Warrants	$	12.36		—	11,165		(2.95	)
Restricted stocks				—	4,388		(1.03	)
Options	$	21.56		—	669		(0.16	)
Restricted stock units				—	167		(0.03	)
Phantom stock units				—	67		(0.02	)
Diluted book value per common share			$	5,000,244	148,596	$	33.65

[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.

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AXIS Capital Holdings Limited

NON-GAAP FINANCIAL MEASURE RECONCILIATION

	Quarter ended March 31,
	2010			2009
	(in thousands)
Net income available to common shareholders	$	111,812		$	115,679
Adjustment for net realized investment (gains) losses		(16,176	)		40,597
Adjustment for associated tax impact		14			(465	)
Operating income		95,650			155,811
Adjustment for foreign exchange (gains) losses		(8,147	)		(389	)
Adjustment for associated tax impact		2,277			(639	)
Operating income excluding foreign exchange gains/losses, net of tax	$	89,780		$	154,783
Net income per share – diluted	$	0.79		$	0.78
Adjustment for net realized investment (gains) losses		(0.12	)		0.27
Adjustment for associated tax impact		—			—
Operating income per share – diluted	$	0.67		$	1.05
Adjustment for foreign exchange (gains) losses		(0.06	)		—
Adjustment for associated tax impact		0.02			(0.01	)
Operating income excluding foreign exchange gains/losses, net of tax	$	0.63		$	1.04
Weighted average common shares and common share equivalents – diluted		142,176			149,023

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