Max Capital Group Ltd. Reports Fourth-Quarter and Year-End 2008 Results

February 11, 2009

HAMILTON, Bermuda--(BUSINESS WIRE)--Feb. 11, 2009-- Max Capital Group Ltd. (NASDAQ: MXGL; BSX: MXGL BH) today reported a net loss for the three months ended December 31, 2008, of $94.1 million, or $1.67 per diluted share, compared to net income of $62.4 million, or $1.00 per diluted share, for the three months ended December 31, 2007. Net operating loss, which represents net income or loss excluding after-tax net realized gains and losses on fixed maturities and foreign exchange, for the three months ended December 31, 2008, was $85.0 million, or $1.51 per diluted share, compared to net operating income of $63.4 million, or $1.01 per diluted share, for the three months ended December 31, 2007.

For the year ended December 31, 2008, the Company had a net loss of $175.3 million, or $3.10 per diluted share, compared to net income of $303.2 million, or $4.75 per diluted share, for the year ended December 31, 2007. For the year ended December 31, 2008, the Company had a net operating loss of $146.7 million, or $2.59 per diluted share, compared to net operating income of $307.2 million, or $4.81 per diluted share, for the year ended December 31, 2007.

W. Marston (Marty) Becker, Chairman and Chief Executive Officer of Max Capital Group Ltd., said: “In 2008, solid performances by our underwriting units were overshadowed by losses in our alternative investment portfolio. In a year generally regarded as being a soft pricing year, as well as having the fourth-highest U.S. property losses from catastrophes, our losses have been limited compared to many of our peers and our overall combined ratios have remained attractive. Max Specialty, our U.S. excess and surplus lines operation, grew considerably during 2008 and we expanded our specialty insurance and reinsurance capabilities with our fourth-quarter acquisition of Max at Lloyd’s, which provided us entry to the world’s most famous specialty insurance marketplace. We believe this greater product and geographic diversification will allow us to take advantage of more favorable market conditions as they emerge, and will help limit the volatility of our future underwriting results.

“On the investment side, Max has not been immune to the turmoil of the financial markets, and the negative return and volatility experienced by our alternative investments was worse than we had previously modeled. Late last year we announced our intention to reduce and rebalance our alternative investment allocation and this process is well under way. Total alternative investments are less than 15% of invested assets at year-end and we expect them to be less than 12% by the end of March 2009. The decision to change our asset mix in this way reflects the growing strength and scale of our underwriting platforms.

“Looking ahead, while we expect the market to remain in transition throughout 2009, opportunities continue to arise. Max Capital and our individual platforms are well-positioned from both a business and capital standpoint to continue to compete effectively and to take advantage of market dislocations,” Becker concluded.

Gross premiums written from property and casualty underwriting for the three months ended December 31, 2008 were $224.1 million compared to $161.8 million for the three months ended December 31, 2007, an increase of 38.5%. The increase in gross premiums written principally reflects growth in the Company’s U.S. specialty insurance and Bermuda/Dublin insurance segments. Net premiums earned from property and casualty underwriting for the three months ended December 31, 2008 were $153.8 million compared to $124.6 million for the same period of 2007. Life and annuity reinsurance gross premiums written for the three months ended December 31, 2008 were $147.9 million compared to $238.4 million for the same period in 2007, reflecting two new reinsurance transactions written in 2008 compared to five in 2007.

Gross premiums written from property and casualty underwriting for the year ended December 31, 2008, were $1,012.1 million compared to $776.3 million for the year ended December 31, 2007, an increase of 30.4%. The increase in gross premiums written reflects year-over-year increases in all of the Company’s property and casualty segments, with particularly strong growth in the U.S. specialty insurance segment in its first full year of operations. Net premiums earned from property and casualty underwriting for the year ended December 31, 2008 were $571.9 million compared to $516.5 million for the same period of 2007, reflecting additional premiums written. Life and annuity reinsurance gross premiums written for the year ended December 31, 2008 were $242.2 million compared to $302.0 million for the same period in 2007, reflecting three new reinsurance transactions written in 2008 compared to six in 2007.

Net investment income for the three months ended December 31, 2008 decreased to $44.2 million from $49.4 million for the same period in 2007, which is attributable to an increased weighting year-over-year in lower-yielding cash balances and lower yields on fixed-maturity investments. Net investment income for the year ended December 31, 2008 decreased to $181.6 million from $188.2 million for the same period in 2007. Net losses on alternative investments for the three months ended December 31, 2008 were $88.0 million, for a negative 8.28% rate of return, compared to net gains of $50.0 million and a 4.27% rate of return for the same period in 2007. Net losses on alternative investments for the year ended December 31, 2008 were $233.0 million, for a negative 19.27% rate of return, compared to net gains of $186.7 million and a 16.97% rate of return for the same period in 2007. In accordance with the Company’s accounting policy, the unrealized mark-to-market gains and losses from the alternative investment portfolio are recorded through net income rather than as an adjustment to book value through other comprehensive income. Invested assets were $5.4 billion as of December 31, 2008, with an allocation of 85.9% to cash and fixed maturities and 14.1% to alternative investments. The Company’s liquidity position at December 31, 2008 is strong, with $949.4 million in cash and 70% of fixed maturities investments held in government, agency or AAA-rated securities.

Property and casualty net losses and loss expenses were $115.2 million with a loss ratio of 74.9% for the three months ended December 31, 2008, compared to $87.2 million with a loss ratio of 69.9% for the same period in 2007. Property and casualty net losses and loss expenses were $393.7 million with a loss ratio of 68.9% for the year ended December 31, 2008, compared to $330.4 million with a loss ratio of 64.0% for the same period in 2007. Net losses recognized in the year ended December 31, 2008 related to hurricane losses were $50.0 million (net of reinstatement premiums of $7.4 million). There were no catastrophe-related losses recorded in the fourth-quarter of 2008 and no comparable catastrophe-related losses in 2007. Results for the three months and year ended December 31, 2008 include net favorable development on prior period reserves of $2.1 million and $90.7 million, respectively. Favorable development reflects lower than expected claims emergence on prior year contracts, with the majority of the development occurring in casualty lines of business on 2006 and prior years. Net favorable development on prior period reserves in the three months and year ended December 31, 2007 were $6.7 million and $45.6 million, respectively.

Claims and policy benefits for life and annuity reinsurance for the three months and year ended December 31, 2008 were $164.4 million and $301.5 million, respectively, compared to $254.0 million and $345.6 million for the three months and year ended December 31, 2007, respectively. No material reserve changes were recognized in 2008. The decrease in 2008 for the quarter and the year is principally attributable to fewer life and annuity transactions written in 2008 compared to the same periods in 2007.

Acquisition costs for the three months ended December 31, 2008 were $16.6 million compared to $14.6 million for the three months ended December 31, 2007. Acquisition costs for the year ended December 31, 2008 were $52.4 million compared to $61.4 million for the year ended December 31, 2007. The decrease for the year is principally attributable to growth in the U.S. specialty insurance segment, which generally has lower acquisition costs, and changes in the business mix of the other segments.

Interest expense for the three months ended December 31, 2008 was $15.5 million, compared to $12.6 million for the same period in 2007. The increase in the fourth-quarter was principally due to fluctuations in interest rates on funds held for retrocessionaires. Interest expense for the year ended December 31, 2008 was $36.1 million, compared to $42.7 million for the same period in 2007. The decrease for the year principally reflects the reduction in interest expense on bank loans due to the decrease in LIBOR compared to the previous year.

Foreign exchange losses for the three months and year ended December 31, 2008 were $7.9 million and $9.9 million, respectively, compared to negligible foreign exchange losses in both 2007 periods. The Company’s 2008 foreign exchange losses were principally attributable to a build-up of British pounds prior to the acquisition of the Company’s Max at Lloyd’s segment, which is not expected to be a recurring item.

General and administrative expenses for the three months ended December 31, 2008, were $33.9 million compared to $27.0 million for the same period in 2007. General and administrative expenses for the year ended December 31, 2008, were $127.5 million, compared to $106.7 million for the same period in 2007. The increase for the quarter and the year principally reflects the growth of the Company’s U.S. specialty segment compared to the respective 2007 quarter and year, and expenses associated with acquisition activities undertaken in 2008.

During the three months ended December 31, 2008, under the Board-approved share repurchase authorization, the Company repurchased 287,900 of its common shares at an average price of $12.50 per share for a total amount of $3.6 million. For the year ended December 31, 2008, the Company repurchased 4,147,864 of its common shares at an average price of $26.48 per share for a total amount of $109.8 million. As of December 31, 2008, $69.8 million remains available under the Company’s share repurchase authorization. On December 31, 2008, the Company’s subsidiary, Max USA Holdings Ltd., repurchased $8.5 million principal amount of its senior notes for a total amount of $6.2 million, recognizing a gain of $2.3 million, and reducing the principal amount of senior notes outstanding to $91.5 million at December 31, 2008.

Shareholders’ equity was $1,280.3 million at December 31, 2008. Book value per share at December 31, 2008 was $22.94 per share, compared to $27.54 at December 31, 2007, a decrease of 16.7%. Diluted book value per share at December 31, 2008, was $22.46 compared to $25.59 at December 31, 2007, a decrease of 12.2%.

Max Capital Group Ltd., through its operating subsidiaries, provides specialty insurance and reinsurance products to corporations, public entities, property and casualty insurers and life and health insurers.

This release includes statements about future economic performance, finances, expectations, plans and prospects of the Company that constitute forward-looking statements for purposes of the safe harbor provisions of the Private Securities Litigation Reform Act of 1995. Such forward-looking statements are subject to various risks and uncertainties that could cause actual results to differ materially from those suggested by such statements. For further information regarding cautionary statements and factors affecting future results, please refer to the Company’s most recent Annual Report on Form 10-K, Quarterly Reports on Form 10-Q filed subsequent to the Annual Report and other documents filed by the Company with the SEC. The Company undertakes no obligation to update or revise publicly any forward-looking statement whether as a result of new information, future developments or otherwise.

In presenting the Company’s results, management has included and discussed net operating income or loss per diluted share and net operating return on average shareholders’ equity. Such measures are “non-GAAP financial measures” as defined in Regulation G. Management believes that these non-GAAP financial measures, which may be defined differently by other companies, allow for a more complete understanding of the Company’s business. These measures, however, should not be viewed as a substitute for those determined in accordance with GAAP. The reconciliation of such measures to their respective most directly comparable GAAP financial measures is presented in the attached financial information in accordance with Regulation G.

MAX CAPITAL GROUP LTD.
CONSOLIDATED BALANCE SHEETS
(Expressed in thousands of United States Dollars, except per share and share amounts)
	December 31, 2008			December 31, 2007
	(Unaudited)
ASSETS
Cash and cash equivalents	$	949,404		$	397,656
Fixed maturities, trading securities at fair value		61,820			-
Fixed maturities, available for sale at fair value		3,592,039			3,663,226
Alternative investments, at fair value		753,658			1,061,734
Accrued interest income		52,882			49,100
Premiums receivable		554,845			432,965
Losses and benefits recoverable from reinsurers		846,622			578,333
Deferred acquisition costs		51,337			44,187
Prepaid reinsurance premiums		192,889			130,071
Trades pending settlement		85,727			112,423
Other assets		110,772			68,834
Total assets	$	7,251,995		$	6,538,529
LIABILITIES
Property and casualty losses	$	2,938,171		$	2,333,877
Life and annuity benefits		1,366,976			1,203,509
Deposit liabilities		219,260			220,513
Funds withheld from reinsurers		164,157			169,263
Unearned property and casualty premiums		574,134			439,581
Reinsurance balances payable		160,686			99,221
Accounts payable and accrued expenses		81,916			58,892
Bank loans		375,000			330,000
Senior notes		91,364			99,779
Total liabilities		5,971,664			4,954,635
SHAREHOLDERS' EQUITY
Preferred shares (par value $1.00)
20,000,000 shares authorized;
no shares issued or outstanding		-			-
Common shares (par value $1.00)
200,000,000 shares authorized;
55,805,790 (2007 - 57,515,075) shares issued and outstanding		55,806			57,515
Additional paid-in capital		763,391			844,455
Accumulated other comprehensive loss		(45,399)			(20,341)
Retained earnings		506,533			702,265
Total shareholders' equity		1,280,331			1,583,894
Total liabilities and shareholders' equity	$	7,251,995		$	6,538,529
Book Value Per Share	$	22.94		$	27.54
Diluted Book Value Per Share	$	22.46		$	25.59
Diluted Shares Outstanding		57,017,157			61,901,228

MAX CAPITAL GROUP LTD.
CONSOLIDATED STATEMENTS OF INCOME AND COMPREHENSIVE INCOME (Unaudited)
(Expressed in thousands of United States Dollars, except per share and share amounts)
		Three Months Ended December 31						Years Ended December 31
		2008			2007			2008			2007
REVENUES
Gross premiums written		$	372,065		$	400,197		$	1,254,250		$	1,078,286
Reinsurance premiums ceded			(114,196)			(78,176)			(414,047)			(281,696)
Net premiums written		$	257,869		$	322,021		$	840,203		$	796,590
Earned premiums		$	409,572		$	433,522		$	1,170,248		$	1,074,173
Earned premiums ceded			(108,073)			(70,604)			(356,738)			(256,268)
Net premiums earned			301,499			362,918			813,510			817,905
Net investment income			44,226			49,355			181,624			188,206
Net (losses) gains on alternative investments			(88,003)			50,035			(232,993)			186,721
Net realized losses on fixed maturities			(948)			(1,042)			(18,859)			(4,017)
Net realized gain on retirement of senior notes			2,245			-			2,245			-
Other income			457			158			1,458			745
Total revenues			259,476			461,424			746,985			1,189,560
LOSSES AND EXPENSES
Net losses and loss expenses			115,160			87,165			393,745			330,394
Claims and policy benefits			164,351			253,962			301,526			345,602
Acquisition costs			16,635			14,597			52,379			61,360
Interest expense			15,542			12,555			36,089			42,663
Foreign exchange losses			7,889			10			9,873			25
General and administrative expenses			33,924			26,963			127,459			106,689
Total losses and expenses			353,501			395,252			921,071			886,733
(LOSS) INCOME BEFORE TAXES			(94,025)			66,172			(174,086)			302,827
Income tax expense (benefit)			58			3,822			1,232			(422)
NET (LOSS) INCOME			(94,083)			62,350			(175,318)			303,249
Change in net unrealized gains and losses on available for sale securities, net of tax			118,821			24,841			9,882			369
Foreign currency translation adjustment			(17,471)			(1,557)			(34,940)			978
COMPREHENSIVE INCOME (LOSS)		$	7,267		$	85,634		$	(200,376)		$	304,596
Basic earnings per share		$	(1.67)		$	1.07		$	(3.10)		$	5.06
Diluted earnings per share		$	(1.67)		$	1.00		$	(3.10)		$	4.75
Diluted net operating earnings per share (1)		$	(1.51)		$	1.01		$	(2.59)		$	4.81
Weighted average shares outstanding - basic			56,296,064			58,480,101			56,565,588			59,892,414
Weighted average shares outstanding - diluted (1)			56,296,064			62,534,171			56,565,588			63,839,232
(1) In accordance with U.S. generally accepted accounting principles, diluted earnings per share calculations use weighted average common shares outstanding - basic, for periods with a net loss

MAX CAPITAL GROUP LTD.
CONSOLIDATED STATEMENTS OF CHANGES IN SHAREHOLDERS' EQUITY (Unaudited)
(Expressed in thousands of United States Dollars)
			Years Ended December 31
			2008			2007
Preferred shares
	Balance, beginning of year		$	-		$	-
	Balance, end of year			-			-
Common shares
	Balance, beginning of year			57,515			60,277
	Issuance of shares			2,439			1,527
	Repurchase of shares			(4,148)			(4,289)
	Balance, end of year			55,806			57,515
Additional paid-in capital
	Balance, beginning of year			844,455			933,292
	Issuance of common shares, net			4,379			3,449
	Stock based compensation expense			20,248			17,780
	Repurchase of shares			(105,691)			(110,066)
	Balance, end of year			763,391			844,455
Accumulated other comprehensive loss
	Balance, beginning of year			(20,341)			(21,688)
	Holding losses on available for sale securities arising in year, net of tax			(5,327)			(3,630)
	Net realized losses on available for sale securities included in net income, net of tax			15,209			3,999
	Currency translation adjustments			(34,940)			978
	Balance, end of year			(45,399)			(20,341)
Retained earnings
	Balance, beginning of year			702,265			418,180
	Net (loss) income			(175,318)			303,249
	Dividends paid			(20,414)			(19,164)
	Balance, end of year			506,533			702,265
Total shareholders' equity			$	1,280,331		$	1,583,894

MAX CAPITAL GROUP LTD.
CONSOLIDATED STATEMENTS OF CASH FLOWS (Unaudited)
(Expressed in thousands of United States Dollars)
		Years Ended December 31
		2008			2007
OPERATING ACTIVITIES
Net (loss) income		$	(175,318)		$	303,249
Adjustments to reconcile net income to net cash from operating activities:
	Stock based compensation		20,248			17,780
	Amortization of premium on fixed maturities		5,095			5,146
	Accretion of deposit liabilities		4,507			4,607
	Net losses (gains) on alternative investments		232,993			(186,721)
	Net realized losses on fixed maturities		18,859			4,017
	Net realized gain on retirement of senior notes		(2,245)			-
Changes in:
	Accrued interest income		(3,498)			(10,178)
	Premiums receivable		(52,844)			(42,076)
	Losses and benefits recoverable from reinsurers		(223,188)			(37,102)
	Deferred acquisition costs		2,934			4,877
	Prepaid reinsurance premiums		(55,801)			(25,698)
	Trades pending settlement		26,696			24,140
	Other assets		(3,006)			(3,607)
	Property and casualty losses		373,625			(11,348)
	Life and annuity benefits		200,434			252,601
	Funds withheld from reinsurers		(5,106)			(85,460)
	Unearned property and casualty premiums		84,563			4,128
	Reinsurance balances payable		46,934			19,715
	Accounts payable and accrued expenses		12,799			14,405
Cash provided by operating activities			508,681			252,475
INVESTING ACTIVITIES
	Purchases of fixed maturities		(964,606)			(1,459,418)
	Sales of fixed maturities		438,634			428,522
	Redemptions of fixed maturities		514,988			466,988
	Net sales of alternative investments		75,083			190,824
	Acquisition of subsidiaries, net of cash acquired		103,155			(28,400)
Cash provided by (used in) investing activities			167,254			(401,484)
FINANCING ACTIVITIES
	Net proceeds from issuance of common shares		6,818			4,976
	Repurchase of common shares		(109,839)			(114,355)
	Net proceeds from bank loans		45,000			120,000
	Net (repayment) proceeds from issuance of senior notes		(8,415)			99,497
	Dividends paid		(20,414)			(19,163)
	Additions to deposit liabilities		16,681			19,253
	Payment of deposit liabilities		(23,000)			(9,630)
Cash (used in) provided by financing activities			(93,169)			100,578
Effect of exchange rate on cash			(31,018)			4,192
Net increase in cash and cash equivalents			551,748			(44,239)
Cash and cash equivalents, beginning of year			397,656			441,895
CASH AND CASH EQUIVALENTS, END OF YEAR		$	949,404		$	397,656
SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION:
Interest paid totaled $21,416 and $21,514 for the years ended December 31, 2008 and 2007, respectively.
Corporate taxes paid totaled $199 and $1,879 for the years ended December 31, 2008 and 2007, respectively.

MAX CAPITAL GROUP LTD.
SCHEDULE OF SUPPLEMENTAL UNDERWRITING DATA–YEARS ENDED DECEMBER 31, 2008 (Unaudited)
(Expressed in thousands of United States Dollars)
Year to Date Segment Information:			Property & Casualty															Life & Annuity			Corporate			Consolidated
			Bermuda/Dublin
			Reinsurance			Insurance			U.S. Specialty			Max at Lloyd's			Total			Reinsurance
Gross premiums written			$	419,509		$	389,368		$	194,353		$	8,844		$	1,012,074		$	242,176		$	-		$	1,254,250
Reinsurance premiums ceded				(92,421)			(198,098)			(118,710)			(4,294)			(413,523)			(524)			-			(414,047)
Net premiums written			$	327,088		$	191,270		$	75,643		$	4,550		$	598,551		$	241,652		$	-		$	840,203
Earned premiums			$	426,157		$	371,080		$	121,172		$	9,663		$	928,072		$	242,176		$	-		$	1,170,248
Earned premiums ceded				(84,366)			(189,125)			(77,374)			(5,349)			(356,214)			(524)			-			(356,738)
Net premiums earned				341,791			181,955			43,798			4,314			571,858			241,652			-			813,510
Net investment income				36,069			18,437			7,235			542			62,283			40,058			79,283			181,624
Net losses on alternative investments				(51,096)			(23,499)			-			-			(74,595)			(100,921)			(57,477)			(232,993)
Net realized losses on fixed maturities				-			-			(523)			508			(15)			-			(18,844)			(18,859)
Net realized gain on retirement of senior notes				-			-			-			-			-			-			2,245			2,245
Other income				-			1,112			303			160			1,575			-			(117)			1,458
Total revenues				326,764			178,005			50,813			5,524			561,106			180,789			5,090			746,985
Net losses and loss expenses				218,749			142,150			30,376			2,470			393,745			-			-			393,745
Claims and policy benefits										-						-			301,526			-			301,526
Acquisition costs				51,328			(2,810)			3,039			981			52,538			(159)			-			52,379
Interest expense				7,516			-			-			-			7,516			6,818			21,755			36,089
Foreign exchange (gains) losses				-			-			-			(382)			(382)			-			10,255			9,873
General and administrative expenses				28,548			21,101			27,235			2,525			79,409			2,917			45,133			127,459
Total losses and expenses				306,141			160,441			60,650			5,594			532,826			311,102			77,143			921,071
Income (loss) before taxes			$	20,623		$	17,564		$	(9,837)		$	(70)		$	28,280		$	(130,313)		$	(72,053)		$	(174,086)
Loss Ratio (a)				64.0%			78.1%			69.4%			57.3%			68.9%
Combined Ratio (b)				87.4%			88.2%			138.5%			138.5%			91.9%
SCHEDULE OF SUPPLEMENTAL UNDERWRITING DATA–THREE MONTHS ENDED DECEMBER 31, 2008 (Unaudited)
(Expressed in thousands of United States Dollars)
Quarter Segment Information:			Property & Casualty															Life & Annuity			Corporate			Consolidated
			Bermuda/Dublin
			Reinsurance			Insurance			U.S. Specialty			Max at Lloyd's			Total			Reinsurance
Gross premiums written			$	42,025		$	113,080		$	60,191		$	8,844		$	224,140		$	147,925		$	-		$	372,065
Reinsurance premiums ceded				(7,288)			(64,999)			(37,376)			(4,294)			(113,957)			(239)			-			(114,196)
Net premiums written			$	34,737		$	48,081		$	22,815		$	4,550		$	110,183		$	147,686		$	-		$	257,869
Earned premiums			$	115,494		$	92,988		$	43,502		$	9,663		$	261,647		$	147,925		$	-		$	409,572
Earned premiums ceded				(26,549)			(48,134)			(27,803)			(5,349)			(107,835)			(238)			-			(108,073)
Net premiums earned				88,945			44,854			15,699			4,314			153,812			147,687			-			301,499
Net investment income				8,272			5,124			1,672			542			15,610			10,126			18,490			44,226
Net losses on alternative investments				(21,458)			(9,923)			-			-			(31,381)			(42,170)			(14,452)			(88,003)
Net realized losses on fixed maturities				-			-			-			508			508			-			(1,456)			(948)
Net realized gain on retirement of senior notes				-			-			-			-			-			-			2,245			2,245
Other income				-			-			163			160			323			-			134			457
Total revenues				75,759			40,055			17,534			5,524			138,872			115,643			4,961			259,476
Net losses and loss expenses				68,423			33,331			10,936			2,470			115,160			-			-			115,160
Claims and policy benefits				-			-			-			-			-			164,351			-			164,351
Acquisition costs				16,154			(865)			980			981			17,250			(615)			-			16,635
Interest expense				5,134			-			-			-			5,134			4,722			5,686			15,542
Foreign exchange (gains) losses				-			-			-			(382)			(382)			-			8,271			7,889
General and administrative expenses				6,567			5,049			6,636			2,525			20,777			644			12,503			33,924
Total losses and expenses				96,278			37,515			18,552			5,594			157,939			169,102			26,460			353,501
Income (loss) before taxes			$	(20,519)		$	2,540		$	(1,018)		$	(70)		$	(19,067)		$	(53,459)		$	(21,499)		$	(94,025)
Loss Ratio (a)				76.9%			74.3%			69.7%			57.3%			74.9%
Combined Ratio (b)				102.5%			83.6%			118.2%			138.5%			99.6%
(a)	The loss ratio is calculated by dividing net losses and loss expenses by net premiums earned.
(b)	The combined ratio is calculated by dividing the sum of net losses and loss expenses, acquisition costs and general and administrative expenses by net premiums earned.

MAX CAPITAL GROUP LTD.
SCHEDULE OF SUPPLEMENTAL UNDERWRITING DATA–YEARS ENDED DECEMBER 31, 2007 (Unaudited)
(Expressed in thousands of United States Dollars)
Year to Date Segment Information:			Property & Casualty												Life & Annuity			Corporate			Consolidated
			Bermuda/Dublin
			Reinsurance			Insurance			U.S. Specialty			Total			Reinsurance
Gross premiums written			$	345,156		$	382,926		$	48,243		$	776,325		$	301,961		$	-		$	1,078,286
Reinsurance premiums ceded				(44,565)			(201,987)			(34,610)			(281,162)			(534)			-			(281,696)
Net premiums written			$	300,591		$	180,939		$	13,633		$	495,163		$	301,427		$	-		$	796,590
Earned premiums			$	356,448		$	398,776		$	16,988		$	772,212		$	301,961		$	-		$	1,074,173
Earned premiums ceded				(43,501)			(199,223)			(13,010)			(255,734)			(534)			-			(256,268)
Net premiums earned				312,947			199,553			3,978			516,478			301,427			-			817,905
Net investment income				41,025			16,160			5,974			63,159			33,936			91,111			188,206
Net gains on alternative investments				53,021			14,271			-			67,292			60,713			58,716			186,721
Net realized losses on fixed maturities				-			-			-			-			-			(4,017)			(4,017)
Other income				-			-			-			-			-			745			745
Total revenues				406,993			229,984			9,952			646,929			396,076			146,555			1,189,560
Net losses and loss expenses				173,317			153,816			3,261			330,394			-			-			330,394
Claims and policy benefits				-			-			-			-			345,602			-			345,602
Acquisition costs				60,910			(1,162)			376			60,124			1,236			-			61,360
Interest expense				11,890			-			-			11,890			6,864			23,909			42,663
Foreign exchange losses				-			-			-			-			-			25			25
General and administrative expenses				28,394			19,348			17,430			65,172			2,813			38,704			106,689
Total losses and expenses				274,511			172,002			21,067			467,580			356,515			62,638			886,733
Income (loss) before taxes			$	132,482		$	57,982		$	(11,115)		$	179,349		$	39,561		$	83,917		$	302,827
Loss Ratio (a)				55.4%			77.1%			82.0%			64.0%
Combined Ratio (b)				83.9%			86.2%			n/a			88.2%
SCHEDULE OF SUPPLEMENTAL UNDERWRITING DATA–THREE MONTHS ENDED DECEMBER 31, 2007 (Unaudited)
(Expressed in thousands of United States Dollars)
Quarter Segment Information:			Property & Casualty												Life & Annuity			Corporate			Consolidated
			Bermuda/Dublin
			Reinsurance			Insurance			U.S. Specialty			Total			Reinsurance
Gross premiums written			$	36,391		$	98,848		$	26,551		$	161,790		$	238,407		$	-		$	400,197
Reinsurance premiums ceded				(2,936)			(55,568)			(19,536)			(78,040)			(136)			-			(78,176)
Net premiums written			$	33,455		$	43,280		$	7,015		$	83,750		$	238,271		$	-		$	322,021
Earned premiums			$	84,870		$	98,792		$	11,453		$	195,115		$	238,407		$	-		$	433,522
Earned premiums ceded				(12,970)			(48,369)			(9,130)			(70,469)			(135)			-			(70,604)
Net premiums earned				71,900			50,423			2,323			124,646			238,272			-			362,918
Net investment income				9,199			4,104			2,118			15,421			11,675			22,259			49,355
Net gains on alternative investments				11,656			3,755			-			15,411			17,399			17,225			50,035
Net realized losses on fixed maturities				-			-			-			-			-			(1,042)			(1,042)
Other income				-			-			-			-			-			158			158
Total revenues				92,755			58,282			4,441			155,478			267,346			38,600			461,424
Net losses and loss expenses				41,833			43,017			2,315			87,165			-			-			87,165
Claims and policy benefits				-			-			-			-			253,962			-			253,962
Acquisition costs				13,663			(190)			472			13,945			652			-			14,597
Interest expense				2,971			-			-			2,971			2,496			7,088			12,555
Foreign exchange losses				-			-			-			-			-			10			10
General and administrative expenses				7,966			5,939			3,281			17,186			687			9,090			26,963
Total losses and expenses				66,433			48,766			6,068			121,267			257,797			16,188			395,252
Income (loss) before taxes			$	26,322		$	9,516		$	(1,627)		$	34,211		$	9,549		$	22,412		$	66,172
Loss Ratio (a)				58.2%			85.3%			99.7%			69.9%
Combined Ratio (b)				88.3%			96.7%			n/a			94.9%
(a)	The loss ratio is calculated by dividing net losses and loss expenses by net premiums earned.
(b)	The combined ratio is calculated by dividing the sum of net losses and loss expenses, acquisition costs and general and administrative expenses by net premiums earned.

MAX CAPITAL GROUP LTD.
SCHEDULE OF SUPPLEMENTAL PREMIUM DATA–YEAR ENDED DECEMBER 31, 2008 (Unaudited)
(Expressed in thousands of United States Dollars)
	Gross Premiums Written by Type of Risk:				Year Ended December 31, 2008							Year Ended December 31, 2007
					Gross Premiums Written			Percentage of Total Premiums Written				Gross Premiums Written			Percentage of Total Premiums Written
	Property & Casualty:
	Bermuda/Dublin Reinsurance:
		Agriculture			$	80,454			6.4%			$	985			0.1%
		Aviation				31,555			2.5%				34,095			3.1%
		Excess Liability				10,165			0.8%				16,716			1.6%
		Medical Malpractice				77,133			6.2%				53,138			4.9%
		Other				1,934			0.2%				6,031			0.6%
		Professional Liability				38,718			3.1%				33,640			3.1%
		Property				99,280			7.9%				89,197			8.3%
		Marine & Energy				12,769			1.0%				47,077			4.4%
		Whole Account				12,906			1.0%				15,080			1.4%
		Workers' Compensation				54,595			4.4%				49,197			4.5%
						419,509			33.5%				345,156			32.0%
	Bermuda/Dublin Insurance:
		Aviation				53,034			4.2%				40,934			3.8%
		Excess Liability				123,490			9.8%				131,515			12.2%
		Professional Liability				159,140			12.7%				157,450			14.6%
		Property				53,704			4.3%				53,027			4.9%
						389,368			31.0%				382,926			35.5%
	U.S. Specialty:
		Property				95,848			7.6%				34,721			3.2%
		General Casualty				59,838			4.8%				12,302			1.2%
		Marine				38,667			3.1%				1,220			0.1%
						194,353			15.5%				48,243			4.5%
	Max at Lloyd's:
		Property				1,446			0.1%				-			0.0%
		Personal Accident				408			0.0%				-			0.0%
		Financial Institutions				4,062			0.3%				-			0.0%
		Professional Liability				2,928			0.3%				-			0.0%
		Other				-			0.0%				-			0.0%
						8,844			0.7%				-			0.0%
	Aggregate Property & Casualty				$	1,012,074			80.7%			$	776,325			72.0%
	Life & Annuity:
		Annuity			$	239,555			19.1%			$	299,261			27.8%
		Health				-			0.0%				29			0.0%
		Life				2,621			0.2%				2,671			0.2%
	Aggregate Life & Annuity					242,176			19.3%				301,961			28.0%
	Aggregate P&C and Life & Annuity				$	1,254,250			100.0%			$	1,078,286			100.0%

MAX CAPITAL GROUP LTD.
NON-GAAP FINANCIAL MEASURE RECONCILIATIONS (Unaudited)
Net Operating Income per Diluted Share
(Expressed in thousands of United States Dollars, except per share and share amounts)
			Three Months Ended December 31						Year Ended December 31
			2008			2007			2008				2007
Net (loss) income			$	(94,083)		$	62,350			$	(175,318)		$	303,249
	Net realized losses on fixed maturities, net of tax			1,108			1,046				18,640			3,999
	Foreign exchange losses, net of tax			7,999			10				9,982			25
Net operating (loss) income			$	(84,976)		$	63,406			$	(146,696)		$	307,273
Net (loss) income per diluted share (1)			$	(1.67)		$	1.00			$	(3.10)		$	4.75
	Net realized losses on fixed maturities, net of tax			0.02			0.01				0.33			0.06
	Foreign exchange losses, net of tax			0.14			-				0.18			-
Net operating (loss) income per diluted share (1)			$	(1.51)		$	1.01			$	(2.59)		$	4.81
Weighted average shares outstanding - basic				56,296,064			58,480,101				56,565,588			59,892,414
Weighted average shares outstanding - diluted (1)				56,296,064			62,534,171				56,565,588			63,839,232
(1) In accordance with U.S. generally accepted accounting principles, diluted earnings per share calculations use weighted average common shares outstanding - basic, for periods with a net loss
Annualized Return and Annualized Net Operating Return on Average Shareholders' Equity
(Expressed in thousands of United States Dollars)
			Three Months Ended December 31						Year Ended December 31
			2008			2007				2008			2007
Net (loss) income			$	(94,083)		$	62,350			$	(175,318)		$	303,249
Annualized net (loss) income				(376,332)			249,400				(175,318)			303,249
Net operating (loss) income			$	(84,976)		$	63,406			$	(146,696)		$	307,273
Annualized net operating (loss) income				(339,904)			253,624				(146,696)			307,273
Beginning shareholders' equity			$	1,274,482		$	1,533,596			$	1,583,894		$	1,390,061
Ending shareholders' equity				1,280,331			1,583,894				1,280,331			1,583,894
Average shareholders' equity			$	1,277,407		$	1,558,745			$	1,432,113		$	1,486,978
Annualized return on average shareholders' equity				-29.5%			16.0%				-12.2%			20.4%
Annualized net operating return on average shareholders' equity				-26.6%			16.3%				-10.2%			20.7%

MAX CAPITAL GROUP LTD.
SCHEDULE OF SUPPLEMENTAL INVESTMENT DATA–YEAR ENDED DECEMBER 31, 2008 (Unaudited)
Selected Investment Return Data:													Periodic Rate of Return
				Fair					Investment				Last		Year		Last
				Value*					Distribution				3 Months		to Date		60 months**
Cash and Fixed Maturities				$	4,603,263				85.9%				4.09%		4.66%		4.27%
Convertible Arbitrage					10,650				0.2%				1.96%		-12.19%		-3.27%
Distressed Securities					115,900				2.2%				-10.25%		-19.39%		8.17%
Diversified Arbitrage					46,034				0.9%				-21.88%		-39.72%		-4.14%
Emerging Markets					39,683				0.7%				-21.54%		-30.59%		5.07%
Event-Driven Arbitrage					75,205				1.4%				-18.06%		-30.31%		5.29%
Fixed Income Arbitrage					30,881				0.6%				5.45%		20.43%		9.63%
Global Macro					87,304				1.6%				-0.04%		-5.63%		4.88%
Long / Short Credit					38,581				0.7%				-8.83%		-13.34%		4.60%
Long / Short Equity					290,224				5.4%				-0.86%		-13.66%		5.00%
Opportunistic					14,746				0.3%				-25.39%		-41.25%		6.64%
MDS ****					749,208				14.0%				-8.31%		-19.38%		3.08%
Reinsurance Private Equity					4,450				0.1%				-1.55%		12.91%		8.26%
Alternative Investments				$	753,658				14.1%				-8.28%