PXRE Reports First Quarter Results

Net Income of $41.6 Million 


HAMILTON, Bermuda, May 9  /PRNewswire-FirstCall/ -- PXRE Group Ltd. (NYSE:PXT) today announced results for the first quarter ended March 31, 2006.  Notable items for the quarter included:

  -- On a fully diluted basis, book value per share was $6.50 at March 31,
     2006
  -- Net income before convertible preferred share dividends was $41.6
     million compared to $22.7 million in the first quarter of 2005



Jeffrey L. Radke, President & Chief Executive Officer of PXRE Group, commented, "We are continuing to actively explore potential strategic alternatives.  During this process, we have explored the sale of PXRE, the sale of all or certain of our assets, mergers with one or more companies and the acquisition of smaller companies that would provide diversifying lines of business, share repurchases and other strategic alternatives.  To date, our Board of Directors has not found an alternative that it believes would be in the best interests of our shareholders and reinsurance clients, but we are continuing the process.  However, if our Board of Directors concludes that no other alternative would be in the best interests of our shareholders, it may determine that the best option is to place PXRE's reinsurance business into runoff and eventually commence an orderly winding up of PXRE operations over some period of time that is not currently determinable."

Mr. Radke continued, "Although we are engaged in this strategic exploration process, I want to again stress that PXRE remains financially sound and able to meet all of its obligations to clients. We also have sufficient liquidity to meet all currently foreseen needs.  Our financial results for the quarter underscore this fact.  Most significantly, we did not experience any adverse development on our reserves for the 2005 hurricanes during the quarter."

Mr. Radke continued, "Although the results of this quarter were encouraging, we do not expect to repeat this level of profitability in future quarters.  As of May 5, 2006, approximately 65% of our in-force business as of January 1, 2006 has either been cancelled or non-renewed and it is anticipated that this percentage will increase as additional contracts are non-renewed on a going forward basis.  Given this rate of cancellations and our limited ability to renew our existing reinsurance contracts and underwrite new reinsurance contracts, we expect to see significant decreases in net premiums earned in future quarters."

Mr. Radke concluded, "As a result of the cancellations and non-renewals our catastrophe exposures have been reduced.  As of May 5, 2006, our largest gross zonal aggregate exposure to any single catastrophe event was approximately $475 million.  As of July 1, 2006, we expect this aggregate exposure to have decreased by at least 20% from the current level, as the non- renewals and cancellations continue."

For the quarter ended March 31, 2006, net income before convertible preferred share dividends was $41.6 million compared to $22.7 million in the first quarter of 2005.  The increase in net income is primarily attributable to the absence of any significant catastrophe events during the first quarter of 2006 as well as the lack of any adverse development on our loss reserves for prior year catastrophes.

Net premiums earned for the quarter decreased 3%, or $2.3 million, to $77.1 million from $79.4 million for the year-earlier period.  This decrease in net premiums earned can be attributed to the increase in ceded premiums associated with excess of loss retrocessional catastrophe coverage during 2006, including a collateralized catastrophe facility entered into during the fourth quarter of 2005 to protect the Company against a severe catastrophe event and the cancellations or non-renewal of contracts subsequent to our ratings downgrades by the major rating agencies in February 2006, partially offset by an increase in rates and an increase in North American pro-rata business.

                     Revenues and Net Premiums Earned

                                    Three Months Ended
  ($000's)                               March 31,
                                    2006            2005          Change %
  Revenues                        $90,531         $89,980             1

  Net Premiums Earned:
  Cat & Risk Excess               $76,996         $80,141            (4)
  Exited                               91            (707)          113
                                  $77,087         $79,434            (3)



Net premiums written in the first quarter of 2006 decreased 31%, or $34.7 million, to $78.9 million from $113.6 million for the same period of 2005.

                           Net Premiums Written

                                     Three Months Ended
  ($000's)                                 March 31,
                                    2006            2005        Change %
  Net Premiums Written:
  Cat & Risk Excess               $78,806        $114,311          (31)
  Exited                               87            (706)         112
                                  $78,893        $113,605          (31)



Net investment income for the first quarter of 2006 increased 72%, or $7.5 million, to $17.9 million from $10.4 million for the corresponding period of 2005 primarily as a result of a $6.4 million increase in income from our fixed maturity and short-term investment portfolio and a $1.3 million increase in income from hedge funds.  The increase in income from our fixed income and short-term investment portfolio was due to a net return on the fixed maturity and short-term investment portfolios of 4.3% for the quarter, on an annualized basis, compared to 3.4% during the comparable prior year period and an increase in invested assets attributable to cash flow from the proceeds of capital raising activities in the fourth quarter of 2005.  The increase in income from our hedge fund portfolio was the result of a return of 3.7% on the hedge funds for the quarter compared to 3.0% for the first quarter of 2005. As previously communicated, PXRE submitted redemption notices for its entire hedge fund portfolio in February 2006, and as a result income from hedge funds is expected to significantly decrease in future quarters as we receive the proceeds from our various hedge fund investments.  Net realized investment losses for the first quarter of 2006 were $4.7 million compared to $0.1 million in the first quarter of 2005, primarily due to $3.8 million in other than temporary impairment charges.

PXRE's GAAP loss ratio for the first quarter of 2006 was 23.1% compared to 55.9% for the first quarter of 2005.  Losses and loss expenses incurred in the first quarter of 2006 were $17.8 million.  There were no significant property catastrophe losses during the first three months of 2006.  Losses and loss expenses incurred in the first quarter of 2005 were $44.4 million, which included $28.1 million of net losses incurred in connection with European Windstorm Erwin.  The expense ratio was 29.4% for the first quarter of 2006 compared to 23.2% in the year-earlier quarter due to higher ceded premiums earned and an increase in operating expenses of $1.6 million in 2006 related to additional fees to attorneys and financial advisors which have been incurred following our ratings downgrades and our Board of Directors' decision to explore strategic alternatives for the Company.

                               GAAP Ratios
                                                      Three Months Ended
                                                           March 31,
                                                     2006           2005
  Loss Ratio, All Lines                              23.1%          55.9%
  Expense Ratio                                      29.4           23.2
  Combined Ratio                                     52.5%          79.1%

  Loss Ratio, Cat & Risk Excess                      20.6%          55.9%



In the fourth quarter of 2005, PXRE sponsored a catastrophe bond transaction which was determined to be a derivative and recorded at fair value on the Company's balance sheet.  The increase of $3.7 million in other reinsurance related expense was primarily due to the change in fair value of this derivative during the quarter ended March 31, 2006.

Operating results reflect a tax benefit of 0.3% for the first quarter of 2005.  No tax benefit was recognized during the first quarter of 2006.

On a fully diluted basis, book value per share increased to $6.50 at March 31, 2006 from $6.01 per share at December 31, 2005.  During the first quarter of 2006, PXRE recorded a change in net after-tax unrealized depreciation in investments of $3.0 million in other comprehensive income, which resulted in a $0.04 decrease in fully diluted book value per share.  The cause of this decrease in value was primarily an increase in interest rates during the quarter.

As a result of the losses arising from Hurricanes Katrina, Rita and Wilma during the second half of 2005, PXRE had an accumulated deficit of $486.9 million at March 31, 2006.  Under Bermuda company law, even if a company is solvent and able to pay its liabilities as they become due, it cannot declare or pay dividends or make distributions if, after such payment, the realizable value of its assets would thereby be less than the sum of its liabilities, its issued share capital (par value) and its share premium account, a defined term in Bermuda company law.  Due to the size of the Company's share premium account ($550.0 million as of March 31, 2006), the Company was prohibited under Bermuda company law from paying dividends or making distributions from its contributed surplus to its shareholders.  In order for PXRE to continue to have the flexibility to pay dividends, the Board of Directors has determined that it is in the best interests of PXRE to reduce the share premium account to zero and allocate $550.0 million to the Company's contributed surplus as permitted under Bermuda company law.  This reduction of the share premium account and reallocation to the Company's contributed surplus required the approval of PXRE's shareholders to be effective.

At our Annual General Meeting of Shareholders on May 9, 2006, the Company's shareholders approved the reduction of our share premium account and transfer of the $550.0 million balance to our contributed surplus account. Future dividends and distributions may now be made by the Board within the limits prescribed by Bermuda law, without restriction for the value of the historical share premium account.

The Board of Directors will evaluate whether to resume paying dividends and the appropriate level of such dividends as part of its evaluation of strategic alternatives.

PXRE -- with operations in Bermuda, Europe and the United States -- provides reinsurance products and services to a worldwide marketplace.  The Company's primary focus is providing property catastrophe reinsurance and retrocessional coverage.  The Company also provides marine, aviation and aerospace products and services.  The Company's shares trade on the New York Stock Exchange under the symbol "PXT."

PXRE Group Ltd. is scheduled to hold a conference call with respect to its first quarter financial results on Wednesday, May 10, 2006 at 8:00 a.m. Eastern Time.

A live webcast of the conference call will be available online at http://www.pxre.com/.  The dial-in numbers are [phone] for U.S. and Canadian callers and [phone] for international callers.  Following the conclusion of the presentation, the webcast will remain available online through June 10, 2006 at http://www.pxre.com/.  In addition, a replay of the call will be available from May 10, 2006 - May 17, 2006 by dialing [phone]. Callers dialing from outside the U.S. and Canada can access the replay by dialing [phone].  Please enter 9432864 as the conference ID.

Quarterly financial statements are expected to be available on the Company's website under the press release section of News and Events after market close on May 9, 2006.  To request other printed investor material from PXRE or additional copies of this news release, please call [phone], send e-mail to , or visit http://www.pxre.com/.

Statements in this release that are not strictly historical are forward- looking and are based upon current expectations and assumptions of management. Statements included herein, as well as statements made by or on behalf of PXRE in its communications and discussions with investors and analysts in the normal course of business through meetings, phone calls and conference calls, which are not historical in nature are intended to be, and are hereby identified as, "forward-looking statements" for purposes of the safe harbor provided by Section 21E of the Securities Exchange Act of 1934 as amended. These forward-looking statements, identified by words such as "intend," "believe," "anticipate," or "expects" or variations of such words or similar expressions are based on current expectations, speak only as of the date thereof, and are subject to risk and uncertainties.  In light of the risks and uncertainties inherent in all future projections, the forward-looking statements in this report should not be considered as a representation by us or any other person that the Company's objectives or plans will be achieved. The Company cautions investors and analysts that actual results or events could differ materially from those set forth or implied by the forward-looking statements and related assumptions, depending on the outcome of certain important factors including, but not limited to, the following: (i) we are exploring strategic alternatives and the implementation of any of these alternatives could involve substantial uncertainties and risks, including, among other things, the risk of failure in the implementation thereof and significant restructuring costs; (ii) as a result of the recent decline in our ratings and decline in capital, more than 75% of our clients as of January 1, 2006, measured by premium volume, may have the right to cancel their reinsurance contracts, which could result in a substantial loss in premium volume in 2006 and subsequent periods; (iii) the downgrade in, and withdrawal of, the ratings of our reinsurance subsidiaries by rating agencies will materially and negatively impact our business and results of operations; (iv) the decline in, and withdrawal of, our ratings and reduction in our surplus will allow clients to terminate their contracts with us and, with respect to ceded reinsurance, may require us to transfer premiums retained by us into a beneficiary trust; (v) we may not be able to identify or implement strategic alternatives for PXRE; (vi) if our Board of Directors concludes that no feasible strategic alternative would be in the best interests of our shareholders, it may determine that the best course of action is to place the reinsurance operations of PXRE into runoff and eventually commence an orderly winding up and liquidation of PXRE operations over some period of time that is not currently determinable; (vii) if the Board of Directors elects to pursue a strategic alternative that does not involve the continuation of meaningful property catastrophe reinsurance business, there is a risk that the Company could incur material charges or termination fees in connection with our collateralized catastrophe facilities and certain multiyear ceded reinsurance agreements; (viii) our ability to continue to operate our business and to identify, evaluate and complete any strategic alternative are dependent on our ability to retain our management and other key employees, and we may not be able to do so;  (ix) the market price of our common stock has declined and may decline further as a result of our announcements of increased loss estimates for losses due to Hurricanes Katrina, Rita and Wilma and the ratings downgrades we have experienced; (x) the company faces significant litigation related to alleged securities law violations; (xi) recent adverse events have affected the market price of our common shares, which may lead to further securities litigation, administrative proceedings or both being brought against us; (xii) reserving for losses includes significant estimates which are also subject to inherent uncertainties;  (xiii) because of exposure to catastrophes, our financial results may vary significantly from period to period; (xiv) we may be overexposed to losses in certain geographic areas for certain types of catastrophe events; (xv) we may be overexposed to smaller catastrophe losses and for certain geographic areas and perils due to the cancellations of a substantial portion of our assumed reinsurance contracts following our recent ratings downgrade; (xvi) we operate in a highly competitive environment and no assurance can be given that we will be able to compete effectively in this environment; (xvii) reinsurance prices may decline, which could affect our profitability; (xviii) we may require additional capital in the future;  (xix) our investment portfolio is subject to significant market and credit risks which could result in an adverse impact on our financial position or results; (xx) because we depend on a few reinsurance brokers for a large portion of revenue, loss of business provided by any one or more of them could adversely affect us; (xxi) the impact of investigations of broker fee and placement arrangements could adversely impact our ability to write more business; (xxii) we have exited the finite reinsurance business, but claims in respect of finite reinsurance could have an adverse effect on our results of operations; (xxiii) our reliance on reinsurance brokers exposes us to their credit risk; (xxiv) we may be adversely affected by foreign currency fluctuations; (xxv) retrocessional reinsurance subjects us to credit risk and may become unavailable on acceptable terms; (xxvi) we have exhausted our retrocessional coverage with respect to Hurricane Katrina, leaving us exposed to further losses; (xxvii) recoveries under portions of our collateralized facilities are triggered by modeled loss to a notional portfolio, rather than our actual losses arising from a catastrophe event, which creates a potential mismatch between the risks assumed through our inwards reinsurance business and the protection afforded by these facilities; (xxviii) our inability to provide the necessary collateral to cedents could affect its ability to offer reinsurance in certain markets; (xxix) the insurance and reinsurance business is historically cyclical, and we may experience periods with excess underwriting capacity and unfavorable premium rates; conversely, we may have a shortage of underwriting capacity when premium rates are strong; (xxx) regulatory constraints may restrict our ability to operate our business; (xxxi) any determination by the United States Internal Revenue Service ("IRS") that we or our offshore subsidiaries are subject to U.S. taxation could result in a material adverse impact on the our financial position or results; and (xxxii) any changes in tax laws, tax treaties, tax rules and interpretations could result in a material adverse impact on our financial position or results.  In addition to the factors outlined above that are directly related to PXRE's business, PXRE is also subject to general business risks, including, but not limited to, adverse state, federal or foreign legislation and regulation, adverse publicity or news coverage, changes in general economic factors, the loss of key employees and other factors set forth in PXRE's SEC filings.  The factors listed above should not be construed as exhaustive.  Therefore, actual results or outcomes may differ materially from what is expressed or forecasted in such forward-looking statements.

PXRE undertakes no obligation to update any forward-looking statements, whether as a result of new information, future events (including catastrophe events), or otherwise.

  Contact:
   PXRE Group Ltd.
   Robert P. Myron
   Chief Financial Officer
   441-296-5858
   

   Investors:
   Citigate Sard Verbinnen
   Jamie Tully/Lesley Bogdanow
   212-687-8080
   



                             PXRE Group Ltd.
                      Unaudited Financial Highlights
             (Dollars in thousands except per share amounts)

                                                    Three Months Ended
                                                          March 31,
                                                    2006           2005

  Gross premiums written                         $121,385       $124,700
  Net premiums written                            $78,893       $113,605

  Revenues                                        $90,531        $89,980
  Losses and expenses                             (48,919)       (67,301)

  Income before income taxes and convertible
   preferred share dividends                       41,612         22,679
  Income tax benefit                                    -            (64)
  Net income before convertible
   preferred share dividends                      $41,612        $22,743
  Net income per diluted common share               $0.54          $0.69
  Average diluted shares outstanding (000's)       76,975         32,980

                                                 Mar. 31,       Dec. 31,
  Financial Position:                              2006           2005
    Cash and investments                       $1,519,455     $1,660,996
    Total assets                                1,889,091      2,116,047
    Reserve for losses and loss expenses        1,010,038      1,320,126
    Shareholders' equity                          503,710        465,318
    Book value per common share (1)                  6.50           6.01
    Statutory surplus:
      PXRE Reinsurance Ltd.                       567,240 (2)    530,775 (3)
      PXRE Reinsurance Company                    129,279 (4)    126,991


                                                        Three Months Ended
                                                             March 31,
                                                       2006           2005
  GAAP Ratios:
    Loss ratio                                         23.1%          55.9%
    Expense ratio                                      29.4%          23.2%
    Combined ratio                                     52.5%          79.1%

  Losses Incurred by Segment:
    Cat & Risk Excess                                $15,879       $44,767
    Exited                                             1,921          (329)
                                                     $17,800       $44,438

  Commission and Brokerage,
   Net of Fee Income by Segment:
    Cat & Risk Excess                                $11,742        $9,255
    Exited                                               (38)         (188)
                                                     $11,704        $9,067

  Underwriting Income (Loss) by Segment: (5)
    Cat & Risk Excess                                $49,375       $26,119
    Exited                                            (1,792)         (190)
                                                     $47,583       $25,929


                                                       Three Months Ended
                                                            March 31,
                                                       2006           2005
  Underwriting Income Reconciled to
   Income Before Income Taxes and Convertible
   Preferred Share Dividends:
    Net underwriting income (5)                      $47,583        $25,929
    Net investment income                             17,912         10,442
    Net realized investment losses                    (4,659)          (107)
    Other reinsurance related expense                 (3,721)             -
    Operating expenses                               (10,965)        (9,377)
    Foreign exchange losses                             (927)          (598)
    Interest expense                                  (3,611)        (3,610)
    Income before income taxes and
     convertible preferred share dividends           $41,612        $22,679


  (1) After considering convertible preferred shares.
  (2) Estimated and before inter-company eliminations.
  (3) Before inter-company eliminations.
  (4) Estimated.
  (5) Underwriting Income (Loss) by Segment (a GAAP financial measure):  The
      Company's reported underwriting results are its best measure of
      profitability for its individual underwriting segments and accordingly
      are disclosed in the footnotes to the Company's financial statements
      required by SFAS 131, Disclosures about Segments of an Enterprise and
      Related Information.  Underwriting Income by Segment is calculated by
      subtracting losses and loss expenses incurred and commission and
      brokerage, net of fee income from net earned premiums.  PXRE does not
      allocate net investment income, net realized investment gains
      (losses), other reinsurance related expense, operating expenses,
      foreign exchange gains or losses, or interest expense to its
      respective underwriting segments.



These preliminary financial statements are unaudited and do not include footnotes that customarily accompany a complete set of financial statements; these footnotes will be furnished when the Company makes its filing on Form 10-Q for the quarter ended March 31, 2006.

  PXRE        Consolidated Balance Sheets
  Group Ltd.  (Dollars in thousands, except par value per share)

                                           March 31,        December 31,
                                              2006              2005
                                          (Unaudited)

  Assets
    Investments:
      Fixed maturities, at fair value:
        Available-for-sale (amortized cost
         $704,687 and $1,212,299, respectively)  $696,733        $1,208,248
        Trading (cost $35,359 and $28,225,
         respectively)                             34,812            25,796
      Short-term investments, at fair value       623,114           261,076
      Hedge funds, at fair value (cost
       $124,637 and $132,690, respectively)       144,894           148,230
      Other invested assets, at fair value
       (cost $2,216 and $2,806, respectively)       2,661             3,142
        Total investments                       1,502,214         1,646,492
    Cash                                           17,241            14,504
    Accrued investment income                       5,437            10,809
    Premiums receivable, net                      166,247           217,446
    Other receivables                               9,055            17,000
    Reinsurance recoverable on paid losses         13,797             4,223
    Reinsurance recoverable on unpaid losses       68,668           107,655
    Ceded unearned premiums                        25,313             1,379
    Deferred acquisition costs                     10,206             5,487
    Income tax recoverable                          6,081             6,295
    Other assets                                   64,832            84,757
        Total assets                           $1,889,091        $2,116,047

  Liabilities
    Losses and loss expenses                   $1,010,038        $1,320,126
    Unearned premiums                              58,254            32,512
    Subordinated debt                             167,083           167,081
    Reinsurance balances payable                   24,693            30,244
    Deposit liabilities                            64,733            68,270
    Other liabilities                              60,580            32,496
        Total liabilities                       1,385,381         1,650,729

  Shareholders' Equity
    Serial convertible preferred shares,
     $1.00 par value, $10,000 stated value
     -- 30 million shares authorized,
     0.01 million and 0.01 million shares
     issued and outstanding, respectively          58,132            58,132
    Common shares, $1.00 par value -- 350
     million shares authorized, 72.4 million
     and 72.3 million shares issued and
     outstanding, respectively                     72,410            72,281
    Additional paid-in capital                    875,228           875,224
    Accumulated other comprehensive loss           (8,314)           (5,468)
    Accumulated deficit                          (486,900)         (527,349)
    Restricted shares at cost (0.5 million
     and 0.5 million shares, respectively)         (6,846)           (7,502)
      Total shareholders' equity                  503,710           465,318
      Total liabilities and
       shareholders' equity                    $1,889,091        $2,116,047



  PXRE        Consolidated Statements of Income and Comprehensive Income
  Group Ltd.  (Dollars in thousands, except per share amounts)

                                                Three Months Ended
                                                    March 31,
                                             2006               2005
                                                   (Unaudited)
  Revenues
    Net premiums earned                    $77,087            $79,434
    Net investment income                   17,912             10,442
    Net realized investment losses          (4,659)              (107)
    Fee income                                 191                211
                                            90,531             89,980
  Losses and Expenses
    Losses and loss expenses incurred       17,800             44,438
    Commission and brokerage                11,895              9,278
    Other reinsurance related expense        3,721                  -
    Operating expenses                      10,965              9,377
    Foreign exchange losses                    927                598
    Interest expense                         3,611              3,610
                                            48,919             67,301

    Income before income taxes and
     convertible preferred share dividends  41,612             22,679
    Income tax benefit                           -                (64)
    Net income before convertible
     preferred share dividends             $41,612            $22,743
    Convertible preferred share dividends    1,163              3,369
    Net income to common shareholders      $40,449            $19,374

  Comprehensive Income, Net of Tax
    Net income before convertible
     preferred share dividends             $41,612            $22,743
    Net change in unrealized
     depreciation on investments            (7,628)            (7,347)
    Reclassification adjustments for
     losses included in net income           4,659                 56
    Minimum additional pension liability       123                  -
    Comprehensive income                   $38,766            $15,452

  Per Share
    Basic:
      Income before convertible
       preferred share dividends             $0.58              $1.13
      Convertible preferred share dividends  (0.02)             (0.17)
      Net income to common shareholders      $0.56              $0.96
      Average shares outstanding (000's)    71,889             20,200

    Diluted:
      Net income                             $0.54              $0.69
      Average shares outstanding (000's)    76,975             32,980



  PXRE        Consolidated Statements of Shareholders' Equity
  Group Ltd.  (Dollars in thousands)
                                                    Three Months Ended
                                                         March 31,
                                                  2006               2005
                                                        (Unaudited)
  Convertible Preferred Shares
    Balance at beginning of period               $58,132           $163,871
    Conversion of convertible preferred shares         -           (103,869)
    Dividends to convertible preferred shareholders    -              3,369
      Balance at end of period                   $58,132            $63,371

  Common Shares
    Balance at beginning of period               $72,281            $20,469
    Issuance of common shares, net                   129              8,177
      Balance at end of period                   $72,410            $28,646

  Additional Paid-in Capital
    Balance at beginning of period              $875,224           $329,730
    Issuance of common shares, net                     4            103,713
    Tax effect of stock options exercised              -                368
      Balance at end of period                  $875,228           $433,811

  Accumulated Other Comprehensive Income
    Balance at beginning of period               $(5,468)           $(4,855)
    Change in unrealized losses on investments    (2,969)            (7,291)
    Change in minimum additional pension liability   123                  -
      Balance at end of period                   $(8,314)          $(12,146)

  (Accumulated Deficit)/Retained Earnings
    Balance at beginning of period             $(527,349)          $194,081
    Net income before convertible preferred
     share dividends                              41,612             22,743
    Dividends to convertible
     preferred shareholders                       (1,163)            (3,369)
    Dividends to common shareholders                   -             (1,234)
      Balance at end of period                 $(486,900)          $212,221

  Restricted Shares
    Balance at beginning of period               $(7,502)           $(6,741)
    Issuance of restricted shares, net              (140)            (5,452)
    Amortization of restricted shares                796                889
      Balance at end of period                   $(6,846)          $(11,304)

  Total Shareholders' Equity
    Balance at beginning of period              $465,318           $696,555
    Conversion of convertible
     preferred shares                                  -           (103,869)
    Issuance of common shares, net                   133            111,890
    Restricted shares, net                           656             (4,563)
    Unrealized depreciation on investments        (2,969)            (7,291)
    Minimum additional pension liability             123                  -
    Net income before convertible preferred
     share dividends                              41,612             22,743
    Dividends to convertible
     preferred shareholders                       (1,163)                 -
    Dividends to common shareholders                   -             (1,234)
    Tax effect of stock options exercised              -                368
      Balance at end of period                  $503,710           $714,599



  PXRE       Consolidated Statements of Cash Flows
  Group Ltd. (Dollars in thousands)

                                                    Three Months Ended
                                                          March 31,
                                                    2006              2005
                                                        (Unaudited)
  Cash Flows from Operating Activities
    Premiums collected, net of reinsurance       $142,658          $109,891
    Loss and loss adjustment expenses paid,
     net of reinsurance                          (263,321)          (46,336)
    Commission and brokerage
     paid, net of fee income                       (8,995)          (18,704)
    Operating expenses paid                       (13,141)          (10,945)
    Net investment income received                 17,928             7,303
    Interest paid                                  (5,794)           (5,794)
    Income taxes recovered                            214             7,186
    Trading portfolio purchased                   (49,539)          (14,396)
    Trading portfolio disposed                     40,121                 -
    Deposit paid                                   (3,537)           (3,052)
    Other                                          (2,881)              (57)
      Net cash (used) provided
       by operating activities                   (146,287)           25,096

  Cash Flows from Investing Activities
    Fixed maturities available
     for sale purchased                           (66,991)         (187,990)
    Fixed maturities available for sale
     disposed or matured                          569,533            56,546
    Hedge funds purchased                          (4,000)         (105,352)
    Hedge funds disposed                           13,116            98,805
    Other invested assets disposed                    573             1,367
    Net change in short-term investments         (362,038)          110,481
    Receivable for securities                           -           (11,860)
    Payable for securities                              -            21,916
      Net cash provided (used)
       by investing activities                    150,193           (16,087)

  Cash Flows from Financing Activities
    Proceeds from issuance of common shares           257             3,129
    Cash dividends paid to
     common shareholders                                -            (1,234)
    Cash dividends paid to
     preferred shareholders                        (1,163)                -
    Cost of shares repurchased                       (263)             (561)
      Net cash (used) provided
       by financing activities                     (1,169)            1,334

    Net change in cash                              2,737            10,343
    Cash, beginning of period                      14,504            15,668
    Cash, end of period                           $17,241           $26,011

    Reconciliation of net income to net
     cash (used) provided by operating
     activities:
    Net income before convertible preferred
     share dividends                              $41,612           $22,743
    Adjustments to reconcile net income to
     net cash (used) provided by
     operating activities:
       Losses and loss expenses                  (310,086)              481
       Unearned premiums                            1,807            34,172
       Deferred acquisition costs                  (4,719)           (5,052)
       Receivables                                 77,259           (12,636)
       Reinsurance balances payable                (5,551)            3,965
       Reinsurance recoverable                     29,414            (2,379)
       Income taxes                                   214             7,121
       Equity in earnings of
        limited partnerships                       (5,872)           (4,403)
       Trading portfolio purchased                (49,539)          (14,396)
       Trading portfolio disposed                  40,121                 -
       Deposit liability                           (3,537)           (3,052)
       Receivable on commutation                   35,154                 -
       Other                                        7,436            (1,468)
       Net cash (used) provided
        by operating activities                 $(146,287)          $25,096


DATASOURCE: PXRE Group Ltd.



CONTACT:  Robert P. Myron, Chief Financial Officer of PXRE Group Ltd.,

[phone], ; or Investors, Jamie Tully,

, or Lesley Bogdanow, both of Citigate Sard Verbinnen,

[phone]



Web site:  http://www.pxre.com/ 

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