Max Re Capital Ltd. Reports Third Quarter Net Operating Loss

Commenting on the Company's results, Robert J. Cooney, Chairman, President and Chief Executive Officer, stated, "Our disappointing investment returns overshadowed a vibrant property and casualty underwriting environment within the Company producing an operating loss for the quarter. I'm pleased that appreciation of our bond portfolio resulted in our book value per share at September 30 reaching its highest level ever at $15.51. Our shift in emphasis towards more traditional property and casualty underwriting took hold during the quarter with over 64% of our gross premiums written and deposits coming from these products."

Underwriting production for the three months ended September 30, 2002 increased by 54% to $75.2 million, comprised of gross premiums written of $65.7 million and deposits received of $9.5 million, compared to $48.7 million, comprised of gross premiums written of $42.4 million and deposits received of $6.3 million, for the three months ended September 30, 2001. Property and Casualty underwriting produced $75.2 million of gross premiums written and deposits during the three months ended September 30, 2002 compared to $45.7 million of gross premiums written and deposits during the same period in 2001. Life and Annuity underwriting did not produce any gross premiums written and deposits during the three months ended September 30, 2002, compared to $3.0 million for the same period in 2001. Year to date 2002, underwriting production was $612.4 million, comprised of gross premiums written of $531.1 million and deposits received of $81.3 million, compared to $563.0 million, comprised of gross premiums written of $471.1 million and deposits received of $91.9 million, for the same period in 2001. Net premiums written for the three months ended September 30, 2002 were $63.0 million, compared to $36.0 million for the same period of 2001. Net premiums written were $477.7 million versus $391.9 million year-to-date 2002 compared to 2001.

Total revenue for the third quarter of 2002 increased to $113.5 million, compared to $65.3 million of total revenue for the third quarter of 2001. The increase in revenue is principally attributable to an increase in net premiums earned during the quarter compared to the same period in 2001. Year-to-date, total revenue was $302.3 million compared to $308.1 million for the same period in 2001. The $5.8 million decrease results principally from the Company's business mix shifting to a greater portion of prospective property and casualty premiums and decreased gains on alternative investments, partially mitigated by increased net investment income from growth in fixed maturities assets.

Net investment income, excluding realized and unrealized gains and losses, for the three months ended September 30, 2002 increased to $13.8 million, compared to $13.2 million for the same period in 2001. Net investment income, excluding realized and unrealized gains and losses, for the nine months ended September 30, 2002 increased $7.6 million, to $39.6 million, compared to $32.0 million for the same period in 2001. Net gains on alternative investments for the three months ended September 30, 2002 was $1.1 million, or 0.25%, compared to a net loss on alternative investments of $4.7 million, or 0.83%, for the same period of 2001. For the nine months ended September 30, 2002, alternative investments have returned 1.11%, compared to 3.97% for the same period in 2001. Invested assets were $1.9 billion as of September 30, 2002, with an allocation of approximately 68% to cash and fixed maturities and an allocation of approximately 32% to alternative investments. The ratio of invested assets to minority interest and total shareholders' equity was 2.75 at September 30, 2002, compared to 1.96 as of September 30, 2001.

General and administrative expenses for the three months ended September 30, 2002 were $4.9 million compared to $5.0 million for the three months ended September 30, 2001. General and administrative expenses for the nine months ended September 30, 2002 were $15.5 million compared to $14.6 million for the nine months ended September 30, 2001. General and administrative expenses for the nine months ended September 30, 2002 were 4.88% of net premiums earned and deposits received, compared to 5.68% of net premiums earned and deposits received for the same period of 2001.

Minority interest and shareholders' equity was $706.1 million at September 30, 2002. Combined book value per share at September 30, 2002, including conversion of the non-voting Max Re Ltd. common shares held by the founding investors, was $15.51 per share compared to $14.92 at December 31, 2001.

Max Re Capital Ltd., through its principal operating subsidiary, Max Re Ltd., offers customized reinsurance solutions to property and casualty insurers, life and health insurers, and large corporations.

The above remarks about future expectations, plans and prospects for the Company are forward-looking statements for purposes of the safe harbor provisions of the Private Securities Litigation Reform Act of 1995. Such statements are subject to certain 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 operating results, please refer to the Company's most recent Annual Report on Form 10-K and other documents filed with the Securities and Exchange Commission. The Company undertakes no obligation to publicly update or revise any forward-looking statement whether as a result of new information, future developments or otherwise.