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Press Release

AXIS Capital Announces Third Quarter Net Income of $226.2 Million, or $1.37 Per Diluted Share

Year to Date Annualized Return on Average Common Equity of 25.8%

Company Release - 10/30/2006 5:00 PM ET

PEMBROKE, Bermuda--(BUSINESS WIRE)--

AXIS Capital Holdings Limited ("AXIS Capital") (NYSE: AXS) today reported net income available to common shareholders of $226.2 million, or $1.37 per diluted common share for the quarter ended September 30, 2006, compared with a net loss of $468.1 million, or $(3.32) per diluted common share, for the quarter ended September 30, 2005. Net income available to common shareholders for the nine months ended September 30, 2006 was $644.8 million, or $3.94 per diluted share, compared with a net loss of $143.4 million, or $(1.01) per diluted share, for the corresponding period in 2005. Prior year results were significantly impacted by the losses from Hurricanes Katrina and Rita.

Operating income for the third quarter of 2006 was $228.1 million, or $1.38 per diluted share, compared with an operating loss of $462.2 million, or $(3.27) per diluted common share, for the quarter ended September 30, 2005. This same item excluding foreign exchange gains (losses), net of tax, for the third quarter of 2006 was $230.8 million, or $1.40 per diluted common share, compared with $(460.8) million, or $(3.26) per diluted common share, for the quarter ended September 30, 2005.

Operating income for the nine months ended September 30, 2006 was $665.5 million, or $4.07 per diluted share, compared with an operating loss of $138.5 million, or $(0.98) per diluted common share, for the nine months ended September 30, 2005. This same item excluding foreign exchange gains (losses), net of tax, for the nine months ended September 30, 2006 was $641.3 million, or $3.92 per diluted common share, compared with $(87.6) million, or $(0.62) per diluted common share, for the nine months ended September 30, 2005.

Operating income and operating income excluding foreign exchange gains (losses), net of tax, are non-GAAP financial measures. Reconciliations of these measures to net income are presented at the end of this release.

Operating highlights for the nine months ended September 30, 2006 included the following:

    --  Net premiums written increased by 10.2% to $2,419.0 million;

    --  Net premiums earned increased by 7.4% to $2,005.5 million;

    --  Combined ratio of 78.5% included net favorable prior period
        reserve development of $182.1 million, or 9.1 percentage
        points;

    --  Pre-tax net investment income increased by 59.8% to $284.0
        million;

    --  Annualized return on average common shareholders' equity was
        25.8%; and

    --  Total shareholders' equity increased from December 31, 2005 by
        17.9% to $4.1 billion and diluted book value per common share
        increased 17.1% to $22.48.

    Operating highlights for the third quarter included the following:

    --  Net premiums written increased by 17.0% to $605.9 million;

    --  Net premiums earned increased by 12.3% to $692.8 million;

    --  Combined ratio of 77.7% included net favorable prior period
        reserve development of $56.6 million, or 8.2 percentage
        points;

    --  Pre-tax net investment income increased by 47.4% to $98.8
        million; and

    --  Annualized return on average common shareholders' equity was
        26.0%.

Commenting on the third quarter 2006 results, John Charman, Chief Executive Officer and President of AXIS Capital, stated: "We are extremely pleased to deliver another very strong quarter, bringing year-to-date diluted book value accretion to 17 percent. We have achieved disciplined growth in net premiums written of 10 percent during the same period with a substantially strengthened underwriting portfolio. As we enter 2007, risk selection, franchise focus and the quality of earnings will continue to be our key drivers. We believe our selectively diverse global underwriting platform is uniquely positioned to continue to extract profitability from a mixed marketplace."

Operating Results

Our operating results for the quarter ended and for the nine months ended September 30, 2005 were significantly impacted by Hurricanes Katrina and Rita. Consequently, any comparison between these periods and the corresponding periods in 2006 must consider these factors. For a summary of the impact of Hurricanes Katrina and Rita during these periods, please refer to our third quarter 2006 financial supplement.

Consolidated gross premiums written decreased $59.7 million, or 7.5%, from the third quarter of 2005. This decrease was due primarily to additional gross premiums written in 2005 from our cedants to reinstate reinsurance coverage that was utilized following Hurricanes Katrina and Rita. These assumed reinsurance reinstatement premiums in the third quarter of 2005 totaled $58.7 million. Our gross premiums written were derived 61.7% from our insurance segment and 38.3% from our reinsurance segment compared to 58.0% and 42.0%, respectively, for the third quarter of 2005. Our net premiums written increased by 17.0% to $605.9 million for the third quarter of 2006. Taking into account the impact of assumed and ceded reinstatement premiums following Hurricanes Katrina and Rita, our net premiums written would have grown by 8.4% for the quarter ended September 30, 2006. Our combined ratio decreased to 77.7% from 185.4% in the third quarter of 2005. The third quarter of 2005 included net losses incurred of $804.5 million, or 130.4 percentage points from Hurricanes Katrina and Rita.

Gross premiums written for the nine months ended September 30, 2006 increased 4.9% from the same period of 2005 and were derived 52.5% from our insurance segment and 47.5% from our reinsurance segment compared to 50.8% and 49.2%, respectively, for the same period of 2005. The increase was primarily driven by significant improvement in pricing for catastrophe-exposed business, the expansion of our product offerings in the global professional lines insurance business, and an increase in our participations on renewals of U.S. professional lines and other liability reinsurance business. Our net premiums written increased by 10.2% to $2,419.0 million. Taking into account the impact of assumed and ceded reinstatement premiums following Hurricanes Katrina and Rita, our net premiums written would have grown by 8.1% for the nine months ended September 30, 2006. Our combined ratio decreased to 78.5% in the nine months ended September 30, 2006 from 112.4% in the same period of 2005 which included net losses from Hurricanes Katrina and Rita.

Insurance Segment

For the quarter ended September 30, 2006, our insurance segment essentially reported flat gross premiums written compared to the same period of last year. The segment's net premiums written increased by 72.3% from the third quarter of 2005 to $323.6 million in this quarter. This increase in net premiums written was largely due to higher reinstatement premiums ceded in the third quarter of 2005 following our utilization of reinsurance protections on Hurricanes Katrina and Rita. The segment's ceded reinstatement premiums related to Hurricanes Katrina and Rita totaled $96.7 million in the third quarter of 2005.

Our insurance segment reported gross premiums written for the nine months ended September 30, 2006 of $1,519.8 million, up 8.3% from the same period of 2005, and net premiums written of $1,053.8 million, up 24.3% from the same period of 2005. Throughout the nine months ended September 30, 2006, the segment substantially reduced gross aggregate catastrophe exposures while attaining significant improvements in price for catastrophe-exposed business. The growth in gross premiums written was largely driven by a combination of this significant improvement in the pricing environment for catastrophe-exposed property and marine lines and expansion of our global product offerings in the professional lines insurance business.

Our insurance segment reported a combined ratio of 79.0% for the quarter compared to 192.7% for the quarter ended September 30, 2005. The decrease was primarily due to lower catastrophic loss activity in the quarter compared to the third quarter of 2005, which included net losses incurred of $309.5 million, or 124.5 percentage points from Hurricanes Katrina and Rita. The insurance segment experienced favorable prior period reserve development from short tail lines of $27.9 million, or 8.5 percentage points, compared to favorable prior period development of $66.1 million, or 26.6 percentage points, in the quarter ended September 30, 2005.

Reinsurance Segment

Gross premiums written in our reinsurance segment decreased by 15.6%, or $52.2 million to $281.8 million, for the quarter ended September 30, 2006 compared to the same period of 2005. The decrease was principally due to the impact of assumed reinsurance reinstatement premiums of $58.7 million in the third quarter of 2005 following our cedants' utilization of coverage in Hurricanes Katrina and Rita.

Our reinsurance segment reported gross premiums written for the nine months ended September 30, 2006 of $1,375.3 million, up 1.3% from the same period of 2005. The level of gross premiums written was impacted by assumed reinsurance reinstatement premiums of $58.7 million in the third quarter of 2005. Growth experienced in the reinsurance segment, excluding the impact of these reinstatement premiums, was driven by increased participations on renewals of our U.S. professional lines and other liability reinsurance and new engineering business in Europe.

Our reinsurance segment reported a combined ratio of 70.8% for the quarter compared to 179.7% in the third quarter of 2005. The decrease was primarily due to lower catastrophic loss activity in the quarter compared to the third quarter of 2005 which included net losses incurred from Hurricanes Katrina and Rita of $495.0 million, or 134.4 percentage points. Our reinsurance segment experienced favorable prior period reserve development from short tail lines of $28.6 million, or 7.8 percentage points, consistent with $29.7 million, or 8.1 percentage points, in the quarter ended September 30, 2005.

Interest Expense

Interest expense for the quarter and nine months ended September 30, 2006 was $8.2 million and $24.6 million respectively, consistent with the comparable periods of 2005. Interest expense consists of interest due on outstanding debt, the amortization of debt offering expenses and offering discounts and fees relating to our credit facility. Our outstanding debt relates to $500.0 million of senior unsecured debt issued on November 15, 2004.

Preferred Dividends

Preferred dividends were $9.2 million and $28.1 million in the quarter and nine months ended September 30, 2006 respectively, and related to dividends declared on our Series A and B preferred shares which were issued in September and November 2005, respectively.

Investments

Pre-tax net investment income was $98.8 million, an increase of 47.4%, or $31.8 million, from the third quarter of 2005. This increase principally reflects the positive impact of higher average investment yields and higher investment balances. We experienced $1.7 million of net realized losses, compared to $6.4 million in the third quarter of 2005.

Pre-tax net investment income for the nine months ended September 30, 2006 was $284.0 million, an increase of 59.8%, or $106.2 million, from the nine months ended September 30, 2005. This increase principally reflects the positive impact of higher average investment yields, higher investment balances and includes an increase of $14.0 million in investment income from other investments. We experienced $22.4 million of net realized losses, compared to $6.0 million for the nine months ended September 30, 2005.

Capitalization / Shareholders' Equity

Total capitalization at September 30, 2006 was $4.6 billion, including $0.5 billion of long-term debt and $0.5 billion of preferred equity, compared to $4.0 billion at December 31, 2005.

At September 30, 2006, diluted book value per common share was $22.48 and book value per common share was $24.27, compared to $19.19 and $20.23 respectively, at December 31, 2005. Diluted book value per share is a non-GAAP financial measure. A reconciliation of this measure to shareholders' equity is presented at the end of this release.

Conference Call

We will host a conference call on Tuesday October 31, 2006 at 8:00 AM (Eastern) to discuss the third quarter financial results and related matters. This presentation will be available through an audio webcast accessible through the Investor Information section of our website at www.axiscapital.com.

In addition, a financial supplement relating to our financial results for the quarter ended September 30, 2006 is available in the Investor Information section of our website.

AXIS Capital is a Bermuda-based global provider of specialty lines insurance and treaty reinsurance with shareholders' equity at September 30, 2006 of $4.1 billion and locations in Bermuda, the United States, Europe and Singapore. Its operating subsidiaries have been assigned a rating of "A" ("Excellent") by A.M. Best and a rating of "A" ("Strong") by Standard & Poor's. AXIS Capital has been assigned a senior unsecured debt rating of Baa1 (stable) by Moody's Investors Service and BBB+ (stable) by Standard & Poor's. For more information about AXIS Capital, visit our website at www.axiscapital.com.

                    AXIS CAPITAL HOLDINGS LIMITED
               CONSOLIDATED BALANCE SHEETS (UNAUDITED)
            As at September 30, 2006 and December 31, 2005
               (Expressed in thousands of U.S. dollars)

                                  September 30, 2006 December 31, 2005
                                  ------------------ -----------------
Assets
Cash and cash equivalents               $ 1,640,914       $ 1,280,990
Fixed maturity investments at fair
 market value                             6,523,009         6,012,425
Other investments                           714,381           409,504
Accrued interest receivable                  65,235            59,784
Securities lending collateral             1,010,846           998,349
Insurance and reinsurance balances
 receivable                               1,233,125         1,026,975
Deferred acquisition costs                  272,110           196,388
Prepaid reinsurance premiums                274,972           281,579
Reinsurance recoverable                   1,364,682         1,518,110
Intangible assets                            34,543            37,013
Other assets                                120,385           104,859
                                  ------------------ -----------------
        Total Assets                    $13,254,202       $11,925,976
                                  ================== =================
Liabilities
Reserve for losses and loss
 expenses                               $ 4,995,074       $ 4,743,338
Unearned premiums                         2,167,364         1,760,467
Insurance and reinsurance balances
 payable                                    287,445           314,232
Accounts payable and accrued
 expenses                                   109,656           101,179
Securities lending payable                1,006,806           995,287
Net payable for investments
 purchased                                   47,781                76
Debt                                        499,127           499,046
                                  ------------------ -----------------
        Total Liabilities                 9,113,253         8,413,625
                                  ------------------ -----------------

Shareholders' Equity
Series A preferred shares                       125               125
Series B preferred shares                        31                31
Common shares                                 1,875             1,861
Additional paid-in capital                2,423,013         2,386,200
Accumulated other comprehensive
 loss                                       (54,673)          (77,798)
Retained earnings                         1,770,578         1,201,932
                                  ------------------ -----------------
        Total Shareholders' Equity        4,140,949         3,512,351
                                  ------------------ -----------------
        Total Liabilities &
         Shareholders' Equity           $13,254,202       $11,925,976
                                  ================== =================
                    AXIS CAPITAL HOLDINGS LIMITED
          CONSOLIDATED STATEMENTS OF OPERATIONS (UNAUDITED)
  For the quarters and nine months ended September 30, 2006 and 2005
 (Expressed in thousands of U.S. dollars, except share and per share
                               amounts)


                      Quarters ended            Nine Months ended
                       September 30,              September 30,
                    2006          2005         2006          2005
Revenues
 Gross premiums
  written       $    734,910  $    794,571 $  2,895,030  $  2,760,563
 Premiums ceded     (128,997)     (276,854)    (476,057)     (564,979)
 Change in
  unearned
  premiums            86,867        99,097     (413,500)     (328,767)
                ------------- ------------- ------------ -------------
 Net premiums
  earned             692,780       616,814    2,005,473     1,866,817

 Net investment
  income              98,787        67,015      284,018       177,774
 Net realized
  losses              (1,722)       (6,435)     (22,428)       (5,997)
 Other insurance
  related income
  (loss)                 804           236        1,866        (5,283)
                ------------- -------------------------- -------------
    Total
     revenues        790,649       677,630    2,268,929     2,033,311
                ------------- ------------- ------------ -------------

Expenses
 Net losses and
  loss expenses      365,958     1,035,270    1,096,598     1,702,413
 Acquisition
  costs              103,615        64,436      295,151       241,208
 General and
  administrative
  expenses            68,470        44,237      181,538       155,335
 Foreign
  exchange
  losses (gains)       2,738         1,727      (25,427)       52,371
 Interest
  expense              8,239         8,360       24,639        24,257
                ------------- ------------- ------------ -------------
    Total
     expenses        549,020     1,154,030    1,572,499     2,175,584
                ------------- ------------- ------------ -------------

Income (loss)
 before income
 taxes               241,629      (476,400)     696,430      (142,273)
 Income tax
  (expense)
  benefit             (6,181)        8,325      (23,540)       (1,158)
                ------------- ------------- ------------ -------------
Net Income
 (loss)              235,448      (468,075)     672,890      (143,431)
Preferred share
 dividends            (9,226)            -      (28,083)            -
                ------------- ------------- ------------ -------------

Net income
 (loss)
 available to
 common
 shareholders   $    226,222  $   (468,075)$    644,807  $   (143,431)
                ============= ============= ============ =============

Weighted average
 common shares
 and
  common share
   equivalents -
   basic         149,884,027   140,995,298  149,656,707   142,711,852
                ============= ============= ============ =============

Weighted average
 common shares
 and
 common share
  equivalents -
  diluted        164,700,926   140,995,298  163,862,658   142,711,852
                ============= ============= ============ =============

Net income per
 share -basic   $       1.51  $      (3.32)$       4.31  $      (1.01)
                ============= ============= ============ =============

Net income per
 share - diluted$       1.37  $      (3.32)$       3.94  $      (1.01)
                ============= ============= ============ =============

Insurance Ratios
Loss ratio              52.8%        167.8%        54.7%         91.2%
Expense ratio           24.9%         17.6%        23.8%         21.2%
                ------------- -------------------------- -------------
Combined ratio          77.7%        185.4%        78.5%        112.4%
                ============= ============= ============ =============
                    AXIS CAPITAL HOLDINGS LIMITED
               CONSOLIDATED SEGMENTAL DATA (UNAUDITED)
                   Quarter ended September 30, 2006


                           Global      U.S.       Total
                           Insurance  Insurance  Insurance Reinsurance
                          ---------- ---------- ---------- -----------

Revenues:
Gross premiums written     $177,350   $275,766  $ 453,116   $ 281,794
Net premiums written        169,128    154,490    323,618     282,295
Net premiums earned         189,229    138,472    327,701     365,079
Other insurance related
 income                           -        412        412         392
Net losses and loss
 expenses                   (98,024)   (84,256)  (182,280)   (183,678)
Acquisition costs           (27,364)   (13,432)   (40,796)    (62,819)
General and administrative
 expenses                   (11,502)   (24,639)   (36,141)    (12,162)
                          ---------- ---------- ---------- -----------
Underwriting income        $ 52,339   $ 16,557  $  68,896   $ 106,812
                          ========== ========== ========== ===========
Corporate expenses
Net investment income
Realized losses on
 investments
Foreign exchange losses
Interest expense
Income before income taxes

Net loss and loss expense
 ratio                         51.8%      60.8%      55.6%       50.3%
Acquisition cost ratio         14.5%       9.7%      12.4%       17.2%
General and administrative
 expense ratio                  6.1%      17.8%      11.0%        3.3%
                          ---------- ---------- ---------- -----------
Combined ratio                 72.4%      88.3%      79.0%       70.8%
                          ========== ========== ========== ===========


                                 Corporate          Total
                               -------------- -----------------

Revenues:
Gross premiums written              $      -     $     734,910
Net premiums written                       -           605,913
Net premiums earned                        -           692,780
Other insurance related income             -           804 412
Net losses and loss expenses               -          (365,958)
Acquisition costs                          -          (103,615)
General and administrative
 expenses                                  -           (48,303)
                               -------------- -----------------
Underwriting income                        -     $     175,708
Corporate expenses                   (20,167)          (20,167)
Net investment income                 98,787            98,787
Realized losses on investments        (1,722)           (1,722)
Foreign exchange losses               (2,738)           (2,738)
Interest expense                      (8,239)           (8,239)
                                              -----------------
Income before income taxes                            $241,629
                                              =================

Net loss and loss expense ratio                           52.8%
Acquisition cost ratio                                    15.0%
General and administrative
 expense ratio                           2.9%              9.9%
                               -------------- -----------------
Combined ratio                                           77.7 %
                               ============== =================
                    AXIS CAPITAL HOLDINGS LIMITED
               CONSOLIDATED SEGMENTAL DATA (UNAUDITED)
                   Quarter ended September 30, 2005

                          Global       U.S.      Total
                          Insurance Insurance   Insurance Reinsurance
                         ---------- ---------- ---------- -----------

Revenues:
Gross premiums written   $ 191,616  $ 268,967  $ 460,583   $ 333,988
Net premiums written        63,813    124,061    187,874     329,843
Net premiums earned        141,359    107,174    248,533     368,281
Other insurance related
 income                          -        236        236           -
Expenses:
Net losses and loss
 expenses                 (308,024)  (130,500)  (438,524)   (596,746)
Acquisition costs          (13,293)     1,722    (11,571)    (52,865)
General and
 administrative expenses    (9,039)   (19,716)   (28,755)    (12,187)
                         ---------- ---------- ---------- -----------
Underwriting loss        $(188,997) $ (41,084) $(230,081)  $(293,517)
                         ========== ========== ========== ===========

Corporate expenses
Net investment income
Realized losses on
 investments
Foreign exchange losses
Interest expense
Loss before income taxes

Net loss and loss expense
 ratio                       217.9%     121.8%     176.4%      162.0%
Acquisition cost ratio         9.4%     (1.6%)       4.7%       14.4%
General and
 administrative expense
 ratio                         6.4%      18.4%      11.6%        3.3%
                         ---------- ---------- ---------- -----------
Combined ratio               233.7%     138.6%     192.7%      179.7%
                         ========== ========== ========== ===========

                                                Corporate    Total
                                                --------- ------------

Revenues:
Gross premiums written                           $     -  $   794,571
Net premiums written                                   -      517,717
Net premiums earned                                    -      616,814
Other insurance related income                         -          236
Expenses:
Net losses and loss expenses                           -   (1,035,270)
Acquisition costs                                      -      (64,436)
General and administrative expenses                    -      (40,942)
                                                --------- ------------
Underwriting loss                                      -  $  (523,598)

Corporate expenses                                (3,295)      (3,295)
Net investment income                             67,015       67,015
Realized losses on investments                    (6,435)      (6,435)
Foreign exchange losses                           (1,727)      (1,727)
Interest expense                                  (8,360)      (8,360)
                                                          ------------
Loss before income taxes                                  $  (476,400)
                                                          ============

Net loss and loss expense ratio                                 167.8%
Acquisition cost ratio                                           10.4%
General and administrative expense ratio             0.6%         7.2%
                                                --------- ------------
Combined ratio                                                  185.4%
                                                          ============
                    AXIS CAPITAL HOLDINGS LIMITED
               CONSOLIDATED SEGMENTAL DATA (UNAUDITED)
                 Nine Months ended September 30, 2006

                         Global      U.S.        Total
                         Insurance  Insurance   Insurance  Reinsurance
                        ---------- ---------- ------------ -----------

Revenues:
Gross premiums written  $ 700,383  $ 819,388  $1, 519,771  $1,375,259
Net premiums written      604,684    449,110    1,053,794   1,365,179
Net premiums earned       554,996    418,989      973,985   1,031,488
Other insurance related
 income                         -      1,474        1,474         392
Net losses and loss
 expenses                (247,346)  (238,889)    (486,235)   (610,363)
Acquisition costs         (78,506)   (38,500)    (117,006)   (178,145)
General and
 administrative expenses  (32,674)   (71,395)    (104,069)    (34,377)
                        ---------- ---------- ------------ -----------
Underwriting income     $ 196,470  $  71,679  $   268,149  $  208,995
                        ========== ========== ============ ===========
Corporate expenses
Net investment income
Realized losses on
 investments
Foreign exchange gains
Interest expense
Income before income
 taxes

Net loss and loss
 expense ratio               44.6%      57.0%        49.9%       59.2%
Acquisition cost ratio       14.1%       9.2%        12.0%       17.3%
General and
 administrative expense
 ratio                        5.9%      17.0%        10.7%        3.3%
                        ---------- ---------- ------------ -----------
Combined ratio               64.6%      83.2%        72.6%       79.8%
                        ========== ========== ============ ===========

                                                Corporate    Total
                                                --------- ------------

Revenues:
Gross premiums written                          $      -  $ 2,895,030
Net premiums written                                   -    2,418,973
Net premiums earned                                    -    2,005,473
Other insurance related income                         -        1,866
Net losses and loss expenses                           -   (1,096,598)
Acquisition costs                                      -     (295,151)
General and administrative expenses                    -     (138,446)
                                                --------- ------------
Underwriting income                                    -  $   477,144
Corporate expenses                               (43,092)     (43,092)
Net investment income                            284,018      284,018
Realized losses on investments                   (22,428)     (22,428)
Foreign exchange gains                            25,427       25,427
Interest expense                                 (24,639)     (24,639)
                                                          ------------
Income before income taxes                                $   696,430
                                                          ============

Net loss and loss expense ratio                                  54.7%
Acquisition cost ratio                                           14.7%
General and administrative expense ratio             2.1%         9.1%
                                                --------- ------------
Combined ratio                                                   78.5%
                                                ========= ============
                    AXIS CAPITAL HOLDINGS LIMITED
               CONSOLIDATED SEGMENTAL DATA (UNAUDITED)
                 Nine Months ended September 30, 2005

                          Global      U.S.       Total
                          Insurance  Insurance  Insurance  Reinsurance
                         ---------- ---------- ----------- -----------

Revenues:
Gross premiums written   $ 671,451  $ 731,363  $1,402,814  $1,357,749
Net premiums written       481,248    366,391     847,639   1,347,945
Net premiums earned        562,934    321,996     884,930     981,887
Other insurance related
 (loss) income              (5,865)       582      (5,283)          -
Expenses:
Net losses and loss
 expenses                 (451,958)  (272,876)   (724,834)   (977,579)
Acquisition costs          (72,830)    (5,017)    (77,847)   (163,361)
General and
 administrative expenses   (28,523)   (60,804)    (89,327)    (36,818)
                         ---------- ---------- ----------- -----------
Underwriting income
 (loss)                  $   3,758  $ (16,119) $  (12,361) $ (195,871)
                         ========== ========== =========== ===========

Corporate expenses
Net investment income
Realized losses on
 investments
Foreign exchange losses
Interest expense
Loss before income taxes

Net loss and loss expense
 ratio                        80.3%      84.7%       81.9%       99.6%
Acquisition cost ratio        12.9%       1.6%        8.8%       16.6%
General and
 administrative expense
 ratio                         5.1%      18.9%      10.1 %        3.7%
                         ---------- ---------- ----------- -----------
Combined ratio                98.3%     105.2%      100.8%      119.9%
                         ========== ========== =========== ===========

                                                Corporate    Total
                                                --------- ------------

Revenues:
Gross premiums written                                 -  $ 2,760,563
Net premiums written                                   -    2,195,584
Net premiums earned                                    -    1,866,817
Other insurance related (loss) income                  -       (5,283)
Expenses:
Net losses and loss expenses                           -   (1,702,413)
Acquisition costs                                      -     (241,208)
General and administrative expenses                    -     (126,145)
                                                --------- ------------
Underwriting income (loss)                             -  $  (208,232)

Corporate expenses                               (29,190)     (29,190)
Net investment income                            177,774      177,774
Realized losses on investments                    (5,997)      (5,997)
Foreign exchange losses                          (52,371)     (52,371)
Interest expense                                 (24,257)     (24,257)
                                                          ------------
Loss before income taxes                                  $  (142,273)
                                                          ============

Net loss and loss expense ratio                                  91.2%
Acquisition cost ratio                                           12.9%
General and administrative expense ratio             1.5%         8.3%
                                                --------- ------------
Combined ratio                                                  112.4%
                                                          ============

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. 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) our limited operating history, (2) the occurrence of natural and man-made disasters, (3) actual claims exceeding our loss reserves, (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) general economic conditions and (13) the other matters set forth under Item 1A, "Risk Factors" included in our Annual Report on Form 10-K for the year ended December 31, 2005 filed with the SEC on March 9, 2006. 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 addition to the GAAP financial measures included within this release, we have presented 'operating income' which represents net income available to common shareholders, before the after tax impact of net realized gains and losses on investments, "operating income, excluding the after tax impact of foreign exchange gains/losses" and "diluted book value per common share," which are non-GAAP financial measures. We have included the first and second 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. We have included the third measure because it takes into account the effect of dilutive securities and, therefore, we believe that this is a better measure of calculating shareholder returns than book value per share.

                    AXIS CAPITAL HOLDINGS LIMITED
              NON-GAAP FINANCIAL MEASURE RECONCILIATION
                           OPERATING INCOME
  For the Quarters and Nine Months ended September 30, 2006 and 2005
  (Expressed in thousands of U.S. dollars, except per share amounts)


                     Quarters ended             Nine Months ended
                      September 30,               September 30,
                   2006          2005          2006          2005

Net income
 (loss)
 available to
 common
 shareholders  $    226,222  $   (468,075)      644,807      (143,431)

Adjustment for
 net realized
 losses on
 investments         1,722         6,435        22,428         5,997
Adjustment for
 associated tax
 impact of net
 realized
 losses on
 investments           149          (517)       (1,724)       (1,039)

               ------------- ------------- ------------- -------------
Operating
 income (loss) $    228,093  $   (462,157) $    665,511  $   (138,473)
               ============= ============= ============= =============

Net income
 (loss) per
 share -
 diluted       $       1.37  $      (3.32) $       3.94  $      (1.01)
               ============= ============= ============= =============

Adjustment for
 net realized
 losses on
 investments          0.01          0.05          0.14          0.04
Adjustment for
 associated tax
 impact of net
 realized
 losses on
 investments              -             -         (0.01)        (0.01)


               ------------- ------------- ------------- -------------
Operating
 income (loss)
 per share -
 diluted       $       1.38  $      (3.27) $       4.07  $      (0.98)
               ============= ============= ============= =============


Weighted
 average common
 shares and
common share
 equivalents -
 diluted        164,700,926   140,995,298   163,862,658   142,711,852
               ============= ============= ============= =============
                    AXIS CAPITAL HOLDINGS LIMITED
              NON-GAAP FINANCIAL MEASURE RECONCILIATION
OPERATING INCOME EXCLUDING FOREIGN EXCHANGE (GAINS) LOSSES, NET OF TAX
  For the Quarters and Nine Months ended September 30, 2006 and 2005
  (Expressed in thousands of U.S. dollars, except per share amounts)


                     Quarters ended             Nine Months ended
                      September 30,               September 30,
                   2006          2005          2006          2005

Net income
 (loss)
 available to
 common
 shareholders  $    226,222  $   (468,075)      644,807      (143,431)

Adjustment for
 net realized
 losses on
 investments          1,722         6,435        22,428         5,997
Adjustment for
 foreign
 exchange
 losses (gains)       2,738         1,727       (25,427)       52,371
Adjustment for
 associated tax
 impact                 149          (837)         (540)       (2,563)
                ------------ ------------- ------------- -------------

Operating
 income
 excluding
 foreign
 exchange
 (losses)
 gains, net of
 tax           $    230,831  $   (460,750) $    641,268  $    (87,626)
               ============= ============= ============= =============

Net income
 (loss) per
 share -
 diluted       $       1.37  $      (3.32) $       3.94  $      (1.01)
               ============= ============= ============= =============

Adjustment for
 net realized
 losses on
   investments         0.01          0.05          0.14          0.04
Adjustment for
 foreign
 exchange
 losses (gains)        0.02          0.01         (0.16)         0.37
Adjustment for
 associated tax
 impact                   -             -             -         (0.02)
                ------------ ------------- ------------- -------------

Operating
 income
 excluding
 foreign
 exchange
 (losses)
 gains, net of
 tax, per share
 - diluted     $       1.40  $      (3.26) $       3.92  $      (0.62)
               ============= ============= ============= =============


Weighted
 average common
 shares and
 common share
  equivalents -
  diluted       164,700,926   140,995,298   163,862,658   142,711,852
               ============= ============= ============= =============
                    AXIS CAPITAL HOLDINGS LIMITED
              NON-GAAP FINANCIAL MEASURE RECONCILIATION
                     DILUTED BOOK VALUE PER SHARE
            As at September 30, 2006 and December 31, 2005
 (Expressed in thousands of U.S. dollars, except share and per share
                               amounts)

                                 September 30, 2006  December 31, 2005


Total shareholders' equity            $  4,140,949       $  3,512,351
less preferred equity                     (500,000)          (500,000)
                                 ------------------  -----------------
Common shareholders' equity           $  3,640,949       $  3,012,351

Common shares outstanding              149,994,363        148,868,759

                                 ------------------  -----------------
Book value per common share           $      24.27       $      20.23
                                 ==================  =================

Diluted book value on an "as if
 converted basis"

Common shareholders' equity           $  3,640,949       $  3,012,351
add in:
 proceeds on exercise of options            96,501            117,808
 proceeds on exercise of
  warrants                                 244,812            244,812

                                 ------------------  -----------------
Adjusted shareholders' equity            3,982,262          3,374,971
                                 ------------------  -----------------

As if converted diluted shares
 outstanding
Common shares outstanding              149,994,363        148,868,759
add in:
 vesting of restricted stock             2,250,750          1,172,550
 exercise of options                     5,193,653          6,174,464
 exercise of warrants                   19,672,737         19,650,509

                                 ------------------  -----------------
Diluted common shares
 outstanding                           177,111,503        175,866,282
                                 ------------------  -----------------

                                 ------------------  -----------------
Diluted book value per common
 share                                $      22.48       $      19.19
                                 ==================  =================

Source: AXIS Capital Holdings Limited

Contact: AXIS Capital Holdings Limited Investors: Linda Ventresca, 441-297-9513 info@axiscapital.com or Kekst and Company Media: Joseph Kuo / Caroline Gentile, 212-521-4800