<PAGE>   1
                                  UNITED STATES
                       SECURITIES AND EXCHANGE COMMISSION
                             WASHINGTON, D.C. 20549

                                    FORM 10-Q

      [X]   QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE
                         SECURITIES EXCHANGE ACT OF 1934

                  FOR THE QUARTERLY PERIOD ENDED: JUNE 30, 2001

                                       OR

      [ ]   TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE
                         SECURITIES EXCHANGE ACT OF 1934

       FOR THE TRANSITION PERIOD FROM ________________ TO _______________

                    COMMISSION FILE NUMBER:      0-27662

                               IPC HOLDINGS, LTD.
             (Exact name of registrant as specified in its charter)

               BERMUDA                                     NOT APPLICABLE
   (State or other jurisdiction of                        (I.R.S. Employer
    incorporation or organization)                       Identification No.)

   AMERICAN INTERNATIONAL BUILDING, 29 RICHMOND ROAD, PEMBROKE, HM 08, BERMUDA
                    (Address of principal executive offices)

                                 (441) 298-5100
                                 --------------
                         (Registrant's telephone number,
                              including area code)


         Indicate by check mark whether the registrant (1) has filed all reports
required to be filed by Section 13 or 15(d) of the Securities Exchange Act of
1934 during the preceding 12 months (or for such shorter period that the
registrant was required to file such reports), and (2) has been subject to such
filing requirements for the past 90 days. Yes  X   No
                                              ---     ---

The number of outstanding common shares par value U.S. $0.01 per share of IPC
Holdings, Ltd., as of August 8, 2001, was 25,063,072.



                        EXHIBIT INDEX LOCATED ON PAGE 14
<PAGE>   2
                          PART I. FINANCIAL INFORMATION

ITEM 1. FINANCIAL STATEMENTS

                       IPC HOLDINGS, LTD. AND SUBSIDIARIES
                           CONSOLIDATED BALANCE SHEETS

 (Expressed in thousands of United States dollars, except for per share amounts)


<TABLE>
<CAPTION>
                                                                  As of              As of
                                                               June 30, 2001    December 31, 2000
                                                               -------------    -----------------
                                                                (unaudited)         (audited)
<S>                                                            <C>              <C>
ASSETS:

Fixed maturity investments:
   Available for sale, at fair market value (Amortized
   cost 2001: $527,815; 2000: $519,194)                           $534,158          $523,660
Equity investments, available for sale at fair market
  value (Cost 2001: $103,426; 2000: $65,348)                        99,296            65,462
Cash and cash equivalents                                           13,551             9,409
Accrued investment income                                           11,589            15,304
Reinsurance balances receivable (Related party 2001:
  $8,542; 2000: $3,847)                                             59,792            25,419
Deferred premiums ceded                                              2,671             1,120
Loss reserves recoverable (Related party 2001: $95;
  2000: $119)                                                          954             1,187

Deferred acquisition costs                                           6,601             2,249
Prepaid expenses and other assets                                    4,503             3,680
                                                                  --------          --------
    TOTAL ASSETS                                                  $733,115          $647,490
                                                                  ========          ========

LIABILITIES:

Reserve for losses and loss adjustment expenses                   $ 59,721          $ 61,358
Unearned premiums                                                   60,471            19,068
Reinsurance balances payable (Related party 2001: $343;
  2000: $95)                                                         2,956               920
Deferred commissions                                                   479               202
Accounts payable and accrued liabilities (Related party
  2001: $1,630; 2000: $989)                                          7,468             6,672
                                                                  --------          --------
                                                                   131,095            88,220
                                                                  --------          --------

SHAREHOLDERS' INVESTMENT:

Share capital (Common shares outstanding, par value U.S.
  $0.01: 2001: 25,063,072; 2000: 25,039,713 shares)                    251               250
Additional paid-in capital                                         300,305           299,929
Retained earnings                                                  299,251           254,511
Accumulated other comprehensive income                               2,213             4,580
                                                                  --------          --------
                                                                   602,020           559,270
                                                                  --------          --------

   TOTAL SHAREHOLDERS' INVESTMENT AND LIABILITIES                 $733,115          $647,490
                                                                  ========          ========
</TABLE>

           See accompanying Notes to Consolidated Financial Statements


                                      -2-
<PAGE>   3
                       IPC HOLDINGS, LTD. AND SUBSIDIARIES
                        CONSOLIDATED STATEMENTS OF INCOME

 (Expressed in thousands of United States dollars, except for per share amounts)



<TABLE>
<CAPTION>
                                                          Quarter ended June 30,          Six months ended June 30,
                                                          ----------------------          -------------------------
                                                          2001             2000             2001             2000
                                                      -----------      -----------      -----------      -----------
<S>                                                   <C>              <C>              <C>              <C>
REVENUES:

Gross premiums written                                $    26,965      $    20,200      $    92,587      $    78,033
Premiums ceded                                             (2,487)          (1,298)          (3,404)          (2,653)
                                                      -----------      -----------      -----------      -----------
Net written premiums                                       24,478           18,902           89,183           75,380
Change in unearned premium reserve                            367            4,617          (39,851)         (29,134)
                                                      -----------      -----------      -----------      -----------
Net premiums earned                                        24,845           23,519           49,332           46,246
Net investment income                                       7,574            7,823           15,635           15,410
Realized gains/(losses), net on investments                   587              445            4,451              302
                                                      -----------      -----------      -----------      -----------
                                                           33,006           31,787           69,418           61,958
                                                      -----------      -----------      -----------      -----------

EXPENSES:

Losses and loss adjustment expenses, net                    7,212           22,066           14,179           36,978
Acquisition costs, net                                      2,706            3,435            5,753            5,926
General and administrative expenses                         2,225            2,263            4,349            4,943
Exchange loss                                                  28              547              397              824
                                                      -----------      -----------      -----------      -----------
                                                           12,171           28,311           24,678           48,671
                                                      -----------      -----------      -----------      -----------

                                                      -----------      -----------      -----------      -----------
NET INCOME                                            $    20,835      $     3,476      $    44,740      $    13,287
                                                      ===========      ===========      ===========      ===========


Basic net income per common share                     $      0.83      $      0.14      $      1.79      $      0.53
Diluted net income per common share                   $      0.79      $      0.14      $      1.70      $      0.53

Weighted average number of common shares - basic       25,063,072       25,033,932       25,061,854       25,033,932
Weighted average number of common shares - diluted     26,330,576       25,146,058       26,300,139       25,123,814
</TABLE>

           See accompanying Notes to Consolidated Financial Statements


                                      -3-
<PAGE>   4
                       IPC HOLDINGS, LTD. AND SUBSIDIARIES
                 CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME

                (Expressed in thousands of United States dollars)


<TABLE>
<CAPTION>
                                             Quarter ended June 30,   Six months ended June 30,
                                             ---------------------    -------------------------
                                               2001         2000          2001         2000
                                             --------     --------      --------     --------
<S>                                          <C>          <C>         <C>            <C>
NET INCOME                                   $ 20,835     $  3,476      $ 44,740     $ 13,287
                                             --------     --------      --------     --------
OTHER COMPREHENSIVE INCOME (LOSS):
  Holding gains, net on investments
  during period                                   853         (741)        2,084         (725)
  Reclassification adjustment for (gains)
  losses included in net income                  (587)        (445)       (4,451)        (302)
                                             --------     --------      --------     --------
                                                  266       (1,186)       (2,367)      (1,027)
                                             --------     --------      --------     --------
COMPREHENSIVE INCOME                         $ 21,101     $  2,290      $ 42,373     $ 12,260
                                             ========     ========      ========     ========
</TABLE>




           See accompanying Notes to Consolidated Financial Statements




                                      -4-
<PAGE>   5
                       IPC HOLDINGS, LTD. AND SUBSIDIARIES
                      CONSOLIDATED STATEMENTS OF CASH FLOWS

                (Expressed in thousands of United States dollars)

<TABLE>
<CAPTION>
                                                              Six months ended June 30,
                                                              -------------------------
                                                                2001             2000
                                                             ----------       ----------
                                                             (unaudited)      (unaudited)
<S>                                                          <C>              <C>
CASH FLOWS FROM OPERATING ACTIVITIES:

Net income                                                   $   44,740       $   13,287
Adjustments to reconcile net income to cash provided
    by operating activities:
    Amortization of investment premium, net                          (8)            (145)
    Realized (gains) losses, net on investments                  (4,451)            (302)
    Changes in, net:
       Reinsurance balances receivable                          (34,373)         (29,700)
       Deferred premiums ceded                                   (1,551)          (1,628)
       Loss reserves recoverable                                    233            2,213
       Accrued investment income                                  3,715            1,660
       Deferred acquisition costs                                (4,352)          (3,322)
       Prepaid expenses and other assets                           (823)            (663)
       Reserve for losses and loss adjustment expenses           (1,637)         (32,347)
       Unearned premiums                                         41,403           30,762
       Reinsurance balances payable                               2,036            2,104
       Deferred commissions                                         277              299
       Accounts payable and accrued liabilities                     796              825
                                                             ----------       ----------
                                                                 46,005          (16,957)
                                                             ----------       ----------

CASH FLOWS FROM INVESTING ACTIVITIES:

Purchase of fixed maturity investments                         (290,379)         (93,836)
Proceeds from sale of fixed maturity investments                275,411           90,599
Proceeds from maturities of fixed maturity investments           11,000            8,000
Purchases of equity investments                                 (39,283)          (2,708)
Proceeds from sale of equity investments                          1,011            9,251
                                                             ----------       ----------
                                                                (42,240)          11,306
                                                             ----------       ----------

CASH FLOWS FROM FINANCING ACTIVITIES:

Additional share capital                                            377                0
Cash dividends paid to shareholders                                   0                0
                                                             ----------       ----------
                                                                    377                0
                                                             ----------       ----------
NET INCREASE (DECREASE) IN CASH AND CASH EQUIVALENTS              4,142           (5,651)
CASH AND CASH EQUIVALENTS, beginning of period                    9,409           28,069
                                                             ----------       ----------
CASH AND CASH EQUIVALENTS, end of period                     $   13,551       $   22,418
                                                             ==========       ==========
</TABLE>

           See accompanying Notes to Consolidated Financial Statements


                                      -5-
<PAGE>   6
                       IPC HOLDINGS, LTD. AND SUBSIDIARIES
                   NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

 (Expressed in thousands of United States dollars, except for per share amounts)
                                   (unaudited)


1.  GENERAL:

    The consolidated interim financial statements presented herein have been
    prepared on the basis of United States generally accepted accounting
    principles ("GAAP") and include the accounts of IPC Holdings, Ltd. (the
    "Company"), and its wholly owned subsidiaries, IPCRe Limited ("IPCRe") and
    IPCRe Services Limited ("Services" and, together with the Company and IPCRe,
    "IPC") and IPCRe Europe Limited, which is a wholly-owned subsidiary of
    IPCRe. In the opinion of management, these financial statements reflect all
    adjustments (consisting of normal recurring accruals) necessary for a fair
    presentation of the results of operations for the three and six month
    periods ended June 30, 2001 and 2000, respectively, the balance sheet as of
    June 30, 2001 and the cash flows for the six month periods ended June 30,
    2001 and 2000, respectively. These interim consolidated financial statements
    should be read in conjunction with the audited consolidated financial
    statements for the year ended December 31, 2000. The results of operations
    for any interim period are not necessarily indicative of results for the
    full year.

2.  DIVIDENDS:

    On July 24, 2001, the Directors declared a quarterly dividend of $0.16 per
    share payable on September 20th, 2001 to shareholders of record on September
    4th, 2001.

3.  NET INCOME PER SHARE:

    The Company has adopted Statement of Financial Accounting Standards No. 128,
    "Earnings per Share", which requires dual presentation of basic and diluted
    earnings per share. Diluted net income per common share is computed by
    dividing net income by the weighted average number of shares of common stock
    and common stock equivalents outstanding during the year. Stock options held
    by a shareholder of the Company were considered common stock equivalents and
    were included in the number of weighted average shares outstanding using the
    treasury stock method. Stock options granted to employees between February
    15, 1996, and January 2, 2001 were also considered common stock equivalents
    for the purpose of calculating diluted net income per common share.






                                      -6-
<PAGE>   7
ITEM 2. MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS
OF OPERATIONS

        RESULTS OF OPERATIONS, QUARTERS ENDED JUNE 30, 2001 AND 2000

    The following is a discussion of the results of operations and financial
    position of IPC Holdings, Ltd. References to "we", "our" or "IPC" mean IPC
    Holdings together with its wholly-owned subsidiaries, IPCRe Limited
    ("IPCRe"), and IPCRe Services Limited. This discussion should be read in
    conjunction with our Consolidated Financial Statements and related notes for
    the six months ended June 30, 2001.

    In the quarters ended June 30, 2001 and 2000, we wrote premiums of $27.0
    million and $20.2 million, respectively, an increase of 33.5%. Written
    premiums in the quarter were higher due to the benefit of increases in
    premium rates, which were in the range of 10% to 25% for loss-free
    contracts, and greater increases for loss-impacted contracts. Approximately
    $4.9 million of additional premium resulted from rate increases. We also
    wrote business for new clients and additional business for existing clients,
    which amounted to approximately $3.8 million. These increases were partly
    offset by business which was not renewed because of unsatisfactory terms and
    conditions, and by decreases in foreign currency exchange rates. These
    reductions totaled approximately $2.4 million. Written premiums also
    included reinstatement premiums of $0.5 million in the second quarter of
    2001, compared to $0.1 million of reinstatement premiums recorded in the
    second quarter of 2000. We ceded premiums of $2.5 million to IPCRe's
    proportional reinsurance facility in the second quarter of 2001, compared to
    $1.3 million ceded in the second quarter of 2000. Net premiums earned in the
    three months ended June 30, 2001 were $24.8 million, compared to $23.5
    million in the same period in 2000, an increase of 5.6%. Earned premiums
    were higher due to the increase in written premiums during the previous
    twelve months, as well as the increase in reinstatement premiums which are
    fully earned when written.

    Net investment income was $7.6 million in the quarter ended June 30, 2001,
    compared to $7.8 million for the quarter ended June 30, 2000, a decrease of
    3.2%. This decrease is the result of the portfolio allocation change made at
    the end of March 2001, when $38.0 million was invested in a global equity
    fund, which will not generate investment income until a dividend is
    declared. This was offset in part by an increase in the average amount of
    invested assets.

    There was a net realized gain from the sale of investments in the quarter
    ended June 30, 2001 of $0.6 million, compared to $0.4 million in the second
    quarter of 2000. Net realized gains and losses fluctuate from period to
    period, depending on the individual securities sold, as recommended by
    IPCRe's investment advisor.

    In the three months ended June 30, 2001, we incurred losses of $7.2 million,
    compared to $22.1 million in the second quarter of 2000. Incurred losses in
    the second quarter included reserves on certain events which took place
    during the quarter, including Tropical Storm Allison which caused heavy
    flooding in Texas and other southern states in June, and hail and other
    storms which struck St. Louis and other parts of the mid-West in April and
    May. These events, represented approximately $5.8 million of the incurred
    losses. In the second quarter of 2000, incurred losses were primarily the
    result of the development of losses from claims arising out of the European
    storms which took place in December 1999 and from Typhoon Bart which struck
    Japan in late September 1999. Our loss and loss expense ratio (the ratio of
    losses and loss adjustment expenses to premiums earned) was 29.0% in the
    second quarter of 2001, compared to 93.8% in the second quarter of 2000.

    Acquisition costs incurred, which consist primarily of commissions and
    brokerage fees paid to intermediaries for the production of business, were
    $2.7 million for the quarter ended June 30, 2001, compared to $3.4 million
    in the same period of 2000, a decrease of 21.2%. Acquisition costs have
    decreased as a proportion of both written and earned premiums as a result of
    a reduction in brokerage accruals. General and administrative expenses were
    $2.2 million in the quarter ended June 30, 2001, compared to the $2.3
    million incurred in the corresponding period in 2000. This decrease is due
    primarily to the closure of IPC's London office in 2000, as well as savings
    resulting from having one less member of senior management. These reductions
    were partly offset by an increase in administrative fees which are based on
    earned premiums. IPC's expense ratio (the ratio of acquisition costs plus
    general and administrative expenses to premiums earned) was 19.9% for the
    quarter ended June 30, 2001 compared to 24.2% for the corresponding period
    in 2000.

    The following table summarizes the loss and loss expense ratio, expense
    ratio and combined ratio (sum of loss and loss expense ratio, plus expense
    ratio) for the quarters ended June 30, 2001 and 2000, respectively:

<TABLE>
<CAPTION>
                                       Quarter ended June 30,
                                       ----------------------
                                         2001          2000
                                        ------        ------
<S>                                    <C>            <C>
    Loss & loss expense ratio            29.0%         93.8%
    Expense ratio                        19.9%         24.2%
    Combined ratio                       48.9%        118.0%
</TABLE>

    Our net income for the quarter ended June 30, 2001 was $20.8 million,
    compared to $3.5 million for the corresponding period in 2000, an increase
    of 499.4%. Excluding the effects of net realized gains and losses arising
    from the sale of


                                      -7-
<PAGE>   8
    investments, net operating income for the second quarter of 2001 was $20.2
    million, compared to $3.0 million for the second quarter of 2000, an
    increase of 568.0%. This increase is primarily the result of higher premiums
    and lower losses, as discussed above.

        RESULTS OF OPERATIONS, SIX MONTHS ENDED JUNE 30, 2001 AND 2000

    In the six months ended June 30, 2001 and 2000, we wrote premiums of $92.6
    million and $78.0 million, respectively, an increase of 18.7%. Written
    premiums in the six months were higher due to the benefit of increases in
    premium rates, which were in the range of 10% to 25% for loss-free
    contracts, and greater increases for loss-impacted contracts. Rate increases
    have resulted in approximately $14.8 million of additional premium. Premiums
    from new clients and additional business for existing clients amounted to
    approximately $14.2 million. These increases were partly offset by business
    which was not renewed because of unsatisfactory terms and conditions, and by
    decreases in foreign currency exchange rates. These reductions totaled
    approximately $13.4 million. Written premiums also included reinstatement
    premiums of $1.2 million in the first six months of 2001, compared to $1.5
    million of reinstatement premiums recorded in the first six months of 2000.
    We ceded premiums of $3.4 million to IPCRe's proportional reinsurance
    facility in the first six months of 2001, compared to $2.7 million ceded in
    the first six months of 2000. Net premiums earned in the six months ended
    June 30, 2001 were $49.3 million, compared to $46.2 million in the same
    period in 2000, an increase of 6.7%. Earned premiums were higher due to the
    increase in written premiums during the previous twelve months. This was
    offset in part by the reduction in reinstatement premiums which are fully
    earned when written.

    Net investment income was $15.6 million in the six months ended June 30,
    2001, compared to $15.4 million for the six months ended June 30, 2000, an
    increase of 1.5%. This increase is a result of an increase in the average
    amount of invested assets (6.3%), offset by the effect of the portfolio
    reallocation discussed above.

    There was a net realized gain from the sale of investments in the six months
    ended June 30, 2001 of $4.5 million, compared to $0.3 million in the first
    six months of 2000. Net realized gains and losses fluctuate from period to
    period, depending on the individual securities sold, as recommended by
    IPCRe's investment advisor. On March 27, 2001, as part of a portfolio
    reallocation recommended by our investment advisor, we invested $38.0
    million in a global equity fund managed by AIG Sun America Asset Management
    Ltd. This investment was financed from operating cash flows, and some bond
    sales which took place during the latter part of March, which resulted in
    approximately $0.5 million of the gains.

    In the six months ended June 30, 2001, we incurred losses of $14.2 million,
    compared to $37.0 million in the first six months of 2000. Incurred losses
    in the first six months included reserves on certain events which took place
    during the six months, including North American winter storms, storms in
    Northeast Australia, Tropical Storm Allison and the hail storms which struck
    St. Louis and other parts of the mid-West. These events represented
    approximately $7.3 million. A provision for indexed loss contracts for prior
    periods accounted for a further approximately $3.0 million. In the first six
    months of 2000, incurred losses were primarily the result of the development
    of losses from claims arising out of the European storms which took place in
    December 1999 and from Typhoon Bart which struck Japan in late September
    1999. Our loss and loss expense ratio was 28.7% in the first six months of
    2001, compared to 80.0% in the first six months of 2000.

    Acquisition costs incurred, which consist primarily of commissions and
    brokerage fees paid to intermediaries for the production of business, were
    $5.8 million for the six months ended June 30, 2001, compared to $5.9
    million in the same period of 2000, a decrease of 2.9%. This decrease is due
    in part to a reduction in brokerage accruals, offset in part by the increase
    in earned premiums. General and administrative expenses were $4.3 million in
    the six months ended June 30, 2001, compared to the $4.9 million incurred in
    the corresponding period in 2000. This decrease is due primarily to the
    closure of IPC's London office in 2000, as well as savings resulting from
    having one less member of senior management. These reductions were partly
    offset by an increase in administrative fees which are based on earned
    premiums. IPC's expense ratio was 20.5% for the six months ended June 30,
    2001 compared to 23.5% for the corresponding period in 2000.

    The following table summarizes the loss and loss expense ratio, expense
    ratio and combined ratio for the six months ended June 30, 2001 and 2000,
    respectively:

<TABLE>
<CAPTION>
                                      Six months ended June 30,
                                      -------------------------
                                         2001           2000
                                        ------         ------
<S>                                   <C>              <C>
    Loss & loss expense ratio            28.7%          80.0%
    Expense ratio                        20.5%          23.5%
    Combined ratio                       49.2%         103.5%
</TABLE>



                                      -8-
<PAGE>   9
    Our net income for the six months ended June 30, 2001 was $44.7 million,
    compared to $13.3 million for the corresponding period in 2000, an increase
    of 236.7%. Excluding the effects of net realized gains and losses arising
    from the sale of investments, net operating income for the first six months
    of 2001 was $40.3 million, compared to $13.0 million for the first six
    months of 2000, an increase of 210.3%. This increase is primarily the result
    of higher premiums and lower losses, as discussed above.

    LIQUIDITY AND CAPITAL RESOURCES

    IPC Holdings is a holding company that conducts no reinsurance operations of
    its own. Its cash flows are limited to distributions from IPCRe and Services
    by way of loans or dividends. The dividends that IPCRe may pay are limited
    under Bermuda legislation and IPCRe's revolving credit facility. The Bermuda
    Insurance Act of 1978, and subsequent amendments thereto, require IPCRe to
    maintain a minimum solvency margin and a minimum liquidity ratio. The
    maximum dividend payable by IPCRe in accordance with Bermuda regulations as
    of January 1, 2001 was approximately $139 million. The maximum that can
    currently be paid under the credit facility without a waiver from certain
    covenants is approximately $59 million.

    IPCRe's sources of funds consist of premiums written, investment income and
    proceeds from sales and redemptions of investments. Cash is used primarily
    to pay losses and loss adjustment expenses, premiums retroceded, brokerage
    commissions, excise taxes, general and administrative expenses and
    dividends. The potential for a large catastrophe means that unpredictable
    and substantial payments may need to be made within relatively short periods
    of time, and therefore our cash flows fluctuate significantly from period to
    period.

    Net cash flows from operating activities in the six months ended June 30,
    2001 were $46.0 million compared to a net cash outflow from operations of
    $(17.0) million in the corresponding period in 2000. The increase is
    primarily the result of the reduction in net claims paid during the period,
    which fell from $64.8 million in the first half of 2000, to $13.8 million in
    the first half of 2001.

    Net cash outflows from investing activities in the three months ended June
    30, 2001 were $(42.2) million. Cash and cash equivalents increased by $4.1
    million in the six months ended June 30, 2001, resulting in a balance of
    $13.6 million at June 30, 2001. At June 30, 2001, 51% of IPC's fixed
    maturity portfolio (based on market value) was held in cash, United States
    Treasury notes and in securities rated AAA, and 34% was held in securities
    rated AA. The average modified duration of IPC's fixed maturity portfolio
    was 2.7 years. IPC's portfolio does not contain any investments in real
    estate or mortgage loans. In view of its demonstrated ability to pay
    significant amounts of losses out of operating cash flow, IPCRe reduced the
    amount of its revolving credit facility from $300 million to $150 million,
    effective June 30, 2001. We believe that this facility, and the relatively
    high quality of IPC's investment portfolio, provide sufficient liquidity to
    meet IPC's cash demands.

    Neither the Company, IPCRe nor Services have any material commitments for
    capital expenditures.

    YEAR 2000 DISCLOSURE STATEMENT

    IPCRe is principally an excess of loss property catastrophe reinsurer.
    IPCRe's reinsurance policies did not specifically include Y2K as a covered
    event and IPCRe did not intend to provide specific coverage for losses
    arising from Y2K events. We carefully monitored the terms of policy renewals
    with respect to the extent that they oblige us to provide such coverage and,
    with respect to renewals in 1999, we declined certain business.

    Although no significant property damage has been reported with Y2K as its
    primary cause, a limited number of commercial policyholders have sought a
    response from their property insurers for compensation for remedial costs.
    These cases involve a creative interpretation of the sue and labour clause
    in policies, which is designed to compensate policyholders for costs
    involved in efforts to mitigate losses from insured events. The outcome of
    these cases is uncertain but, given the limited number of cases, we
    currently believe that such cases are unlikely to have a significant impact,
    if any, on IPCRe's operations. One case has received an initial judgement in
    favour of the insurance company, and another case has been dropped by the
    plaintiff.

ITEM 3. QUANTITATIVE AND QUALITATIVE DISCLOSURE ABOUT MARKET RISK

    The investment portfolio of IPCRe is exposed to market risk. Market risk is
    the risk of loss of fair value resulting from adverse fluctuations in
    interest rates, foreign currency exchange rates and equity prices.

    Measuring potential losses in fair values has become the focus of risk
    management efforts by many companies. Such measurements are performed
    through the application of various statistical techniques. One such
    technique is Value at Risk ("VaR"). VaR is a summary statistical measure
    that uses historical interest and foreign currency exchange rates and


                                      -9-
<PAGE>   10
    equity prices and estimates of the volatility and correlation of each of
    these rates and prices to calculate the maximum loss that could occur within
    a given statistical confidence level and time horizon.

    We believe that statistical models alone do not provide a reliable method of
    monitoring and controlling market risk. While VaR models are relatively
    sophisticated, the quantitative market risk information is limited by the
    assumptions and parameters established in creating the related models.
    Therefore, such models are tools and do not substitute for the experience or
    judgement of senior management.

    Our investment managers performed a VaR analysis, to estimate the maximum
    potential loss of fair value for each segment of market risk for our
    investment portfolio, as of June 30, 2001. The analysis calculated the VaR
    with respect to the net fair value of our financial instrument assets as of
    June 30, 2001 using historical simulation methodology. As of June 30, 2001
    the VaR of IPCRe's investment portfolio was approximately $9.1 million,
    which represents a 95th percentile value change over a one-month time
    horizon. This result was obtained through historical simulation using
    approximately 750 days (3 years) of historical interest rate, foreign
    exchange rate and equity market data.

    The following table presents the VaR of each component of market risk of
    IPCRe's investment portfolio as of June 30, 2001 and December 31, 2000,
    respectively, and the average for the six months ended June 30, 2001
    (expressed in thousands of U.S. dollars):

<TABLE>
<CAPTION>
        MARKET RISK                                                Average for six
                                      June 30,      December 31,     months ended
                                        2001            2000        June 30, 2001
                                      --------      ------------   ---------------
<S>                                   <C>           <C>            <C>
        Currency                      $    639        $    270        $    454
        Interest Rate                    5,283           5,220           5,252
        Equity                           8,981           6,099           7,540
       ---------------------------------------------------------------------------
        Sum of Risk                     14,903          11,589          13,246
        Diversification Benefit         (5,795)         (4,499)         (5,147)
       ---------------------------------------------------------------------------
        TOTAL NET RISK                $  9,108        $  7,090        $  8,099
       ---------------------------------------------------------------------------
</TABLE>

    The primary reason for the increase in VaR from December 31, 2000 to June
    30, 2001 is the additional investment in the AIG Global Equity Growth fund
    noted above, growth in our bond holdings and an increase in interest rate
    and equity markets volatility.

    IPCRe's balances receivable and liabilities for losses from reinsurance
    contracts it has written, are also exposed to the risk of changes in value
    resulting from adverse fluctuations in foreign currency exchange rates. To
    an extent, the impact on loss reserves of a movement in an exchange rate,
    will be partly offset by the impact on assets (receivables and
    cash/investments) denominated in the same currency, or vice versa. As of
    June 30, 2001 an estimated 35% ($21 million) of reinsurance balances
    receivable, and an estimated $27 million of loss reserves, were denominated
    in non-U.S. currencies. In addition, we held U.S.$3.8 million of Australian
    dollar cash deposits which are to be used to settle hailstorm claims from
    1999. Accordingly, we do not believe that the impact of exchange rate
    movements in respect of receivables or loss reserves on our overall VaR as
    of June 30, 2001 to be material.

    SUBSEQUENT EVENT

    On July 24, 2001 Ms. Jackie Clegg was appointed a Director of IPCRe Limited
    and IPC Holdings, Ltd. Ms. Clegg was formerly Vice-Chairman and First Vice
    President of the Export - Import Bank of the United States, having served in
    that capacity since May, 1997.

    NOTE ON FORWARD-LOOKING STATEMENTS

    This report contains certain forward-looking statements within the meaning
    of Section 27A of the Securities Act of 1933, as amended, and Section 21E of
    the Exchange Act. Forward-looking statements are statements other than
    historical information or statements of current condition. Some
    forward-looking statements may be identified by use of terms such as
    "believes", "anticipates", "intends", or "expects". These forward-looking
    statements include but are not limited to the outcome of Y2K litigation and
    the effect of exchange rate movements. In light of the risks and
    uncertainties inherent in all forward-looking statements, the inclusion of
    such statements in this report should not be considered as a representation
    by the Company or any other person that the objectives or plans of the
    Company will be achieved. Numerous factors could cause the Company's actual
    results to differ materially from those in the forward-looking statements,
    or those achieved in the past, including: greater than expected severity or
    frequency of catastrophic events, reductions in pricing, or a decrease in
    demand for property catastrophe reinsurance, or changes in exchange rates
    and greater than expected currency exposure.


                                      -10-
<PAGE>   11
    PART II - OTHER INFORMATION

    ITEM 1.     LEGAL PROCEEDINGS

            NONE

    ITEM 2.     CHANGES IN SECURITIES AND USE OF PROCEEDS

            NONE

    ITEM 3.     DEFAULTS UPON SENIOR SECURITIES

            NONE

    ITEM 4.     SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS

                On June 15, 2001, the Annual General Meeting of Shareholders of
                the Company was held. At the meeting, shareholders were asked to
                vote upon resolutions set forth below. The following tabulation
                indicates the number of shares present in person or by proxy at
                such meeting and the number of such shares for or against, or
                withheld, or abstaining, with respect to each resolution after
                giving effect to the voting limitations contained in the
                Company's Bye-Laws:

                i). amending the Company's Bye-Laws to alter the number of
                directors to be elected or appointed from a fixed number of
                seven to a number determined by the Board of Directors
                (minimum two; maximum seven) -

<TABLE>
<CAPTION>
                                                         FOR         AGAINST      WITHHELD
                                                         ---         -------      --------
<S>                                                   <C>           <C>          <C>
                                                      14,485,204    2,546,187    1,559,584
</TABLE>

                ii). electing the following persons as directors of the Company
                to serve until the 2002 Annual General Meeting -

<TABLE>
<CAPTION>
                                                         FOR         AGAINST      WITHHELD
                                                         ---         -------      --------
<S>                                                   <C>           <C>          <C>
                Joseph C.H. Johnson                   18,574,848        -           38,443
                Russell S. Fisher                     18,576,048        -           37,243
                Anthony M. Pilling                    18,575,448        -           37,843
                Dr. the Honourable Clarence James     18,573,618        -           39,673
                Frank Mutch                           18,576,961        -           36,330
                James P. Bryce                        18,578,061        -           35,230
</TABLE>

                iii). appointing Arthur Andersen as auditors of the Company for
                its fiscal year ending December 31, 2001 -

<TABLE>
<CAPTION>
                                                         FOR         AGAINST      WITHHELD
                                                         ---         -------      --------
<S>                                                   <C>           <C>          <C>
                                                      18,587,183       22,414        3,694
</TABLE>

                All resolutions were passed by show of hands. No other business
                of substance was transacted.

    ITEM 5.     OTHER INFORMATION

            NONE

    ITEM 6.     EXHIBITS AND REPORTS ON FORM 8-K

                (a) Exhibits

                Unless otherwise indicated, exhibits are incorporated by
                reference to the corresponding numbered exhibits to the
                Company's Registration Statement on Form S-1 (Registration No.
                333-00088).

<TABLE>
<CAPTION>
       EXHIBIT
       NUMBER         DESCRIPTION
       ------         -----------
<S>                   <C>
         3.1          Memorandum of Association of the Company
         3.2          Amended and Restated Bye-laws of the Company
         3.3          Form of Memorandum of Increase of Share Capital
</TABLE>



                                      -11-
<PAGE>   12
<TABLE>
<S>                   <C>
         10.1*        Amended Schedule I (Investment Policy Guideline) to
                      Investment Management Agreement between IPCRe and AIGIC
                      (as originally filed as Exhibit 10.1 to the Company's Form
                      10-Q for the quarter ended June 30, 1997 (File No.
                      0-27662)).
         10.2*        Amendment to Credit Agreement between IPCRe, BankOne and
                      other Lenders names therein (as originally filed as
                      Exhibits 10.1 and 10.2 to the Company's Form 10-Q for the
                      quarter ended June 30, 1998 (File No. 0-27662)).
         11.1*        Reconciliation of basic and diluted net income per common
                      share ("EPS").
</TABLE>

             *  Filed herewith

                (b) Reports on Form 8-K

                NONE






                                      -12-
<PAGE>   13
                               IPC HOLDINGS, LTD.

                                   SIGNATURES



PURSUANT TO THE REQUIREMENTS OF THE SECURITIES EXCHANGE ACT OF 1934, THE
REGISTRANT HAS DULY CAUSED THIS REPORT TO BE SIGNED ON ITS BEHALF BY THE
UNDERSIGNED THEREUNTO DULY AUTHORIZED.



                                                IPC HOLDINGS, LTD.
                                                ------------------
                                                   (REGISTRANT)




DATE  AUGUST 9, 2001                              /s/ James P. Bryce
      --------------                   -----------------------------------------
                                                    JAMES P. BRYCE
                                         PRESIDENT AND CHIEF EXECUTIVE OFFICER




DATE  AUGUST 9, 2001                              /s/ John R. Weale
      --------------                  ------------------------------------------
                                                     JOHN R. WEALE
                                      VICE PRESIDENT AND CHIEF FINANCIAL OFFICER





                                      -13-
<PAGE>   14
                                  EXHIBIT INDEX




Unless otherwise indicated, exhibits are incorporated by reference to the
corresponding numbered exhibits to the Company's Registration Statement on Form
S-1 (Registration No. 333-00088).

<TABLE>
<CAPTION>
       EXHIBIT
       NUMBER         DESCRIPTION
       ------         -----------
<S>                   <C>
         3.1          Memorandum of Association of the Company
         3.2          Amended and Restated Bye-laws of the Company
         3.3          Form of Memorandum of Increase of Share Capital
        10.1*         Amended Schedule I (Investment Policy Guideline) to
                      Investment Management Agreement between IPCRe and AIGIC
                      (as originally filed as Exhibit 10.1 to the Company's Form
                      10-Q for the quarter ended June 30, 1997 (File No.
                      0-27662)).
        10.2*         Amendment to Credit Agreement between IPCRe, BankOne and
                      other Lenders names therein (as originally filed as
                      Exhibits 10.1 and 10.2 to the Company's Form 10-Q for the
                      quarter ended June 30, 1998 (File No. 0-27662))
        11.1*         Reconciliation of basic and diluted net income per common
                      share ("EPS")
</TABLE>

             *  Filed herewith





                                      -14-