<PAGE>
================================================================================

                                  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: MARCH 31, 2002

                                       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 May 1st, 2002, was 48,172,776.

THIS FILING INCLUDES UNAUDITED FINANCIAL STATEMENTS THAT HAVE NOT BEEN REVIEWED
IN ACCORDANCE WITH RULE 10-01(d) OF REGULATION S-X PROMULGATED BY THE SECURITIES
AND EXCHANGE COMMISSION, BECAUSE WE WERE UNABLE TO OBTAIN SUCH A REVIEW FROM OUR
CURRENT AUDITOR, ARTHUR ANDERSEN. SEE "INFORMATION WITH RESPECT TO FINANCIAL
STATEMENTS" IN THIS FILING FOR MORE INFORMATION.


                        EXHIBIT INDEX LOCATED ON PAGE 15

================================================================================
<PAGE>
                          PART I. FINANCIAL INFORMATION


INFORMATION WITH RESPECT TO FINANCIAL STATEMENTS

This filing includes unaudited financial statements that have not been reviewed
in accordance with Rule 10-01(d) of Regulation S-X promulgated by the Securities
and Exchange Commission, because we were unable to obtain such a review from our
current auditor, Arthur Andersen.

Our Board of Directors has recommended that KPMG be appointed for the office of
independent auditor at the annual general meeting of our shareholders to be held
on June 14, 2002. Subject to KPMG's appointment by our shareholders, we intend
to have KPMG, or such other independent auditor as may be appointed by our
shareholders, review the financial statements for the quarterly period ended
March 31, 2002 in accordance with Rule 10-01(d).

No independent auditor has reviewed the financial statements set forth below or
opined that such statements present fairly, in all material aspects, the
financial position, results of operations, cash flows and changes in
shareholders' equity of IPC Holdings for the quarterly period ended March 31,
2002.


                                       2
<PAGE>
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
                                                                                        March 31, 2002        December 31, 2001
                                                                                        --------------        -----------------
                                                                                         (unaudited)             (audited)
<S>                                                                                     <C>                   <C>
ASSETS:

Fixed maturity investments:
   Available for sale, at fair market value (amortized
     cost 2002: $1,015,586; 2001: $740,734)                                              $ 1,019,125            $   758,224
Equity investments, available for sale at fair market value
   (cost 2002: $216,615; 2001: $163,828)                                                     211,231                158,870
Cash and cash equivalents                                                                     27,639                315,207
Accrued investment income                                                                     20,250                 18,841
Reinsurance premiums receivable (Related party 2002:
   $19,668; 2001: $3,644)                                                                    110,427                 42,356
Deferred premiums ceded                                                                        2,465                  1,228
Loss reserves recoverable (Related party 2002: $56; 2001: $68)                                   560                    681
Deferred acquisition costs                                                                    13,444                  2,833
Prepaid expenses and other assets                                                              6,133                  3,476
                                                                                         -----------            -----------
    TOTAL ASSETS                                                                         $ 1,411,274            $ 1,301,716
                                                                                         ===========            ===========

LIABILITIES:

Reserve for losses and loss adjustment expenses                                          $   140,270            $   162,207
Unearned premiums                                                                            123,274                 24,440
Reinsurance premiums payable (Related party 2002: $323;
   2001: $197)                                                                                 3,230                  1,732
Deferred commissions                                                                             201                    218
Accounts payable and accrued liabilities (Related party
   2002: $337; 2001: $1,212)                                                                   9,486                  7,325
                                                                                         -----------            -----------
                                                                                             276,461                195,922
                                                                                         -----------            -----------

SHAREHOLDERS' INVESTMENT:

Share capital (Common shares outstanding, par value U.S.
  $0.01: 2002: 48,172,776; 2001: 48,172,776 shares)                                              482                    482
Additional paid-in capital                                                                   846,101                846,101
Retained earnings                                                                            290,075                246,568
Accumulated other comprehensive (loss) income                                                 (1,845)                12,643
                                                                                         -----------            -----------
                                                                                           1,134,813              1,105,794
                                                                                         ===========            ===========

  TOTAL SHAREHOLDERS' INVESTMENT AND LIABILITIES                                         $ 1,411,274            $ 1,301,716
                                                                                         ===========            ===========
</TABLE>


              The accompanying notes are an integral part of these
                        consolidated financial statements


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

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

--------------------------------------------------------------------------------

<TABLE>
<CAPTION>
                                                          Three months ended March 31,
                                                            2002               2001
                                                        ------------       ------------
<S>                                                     <C>                <C>
REVENUES:

Gross premiums written                                  $    147,048       $     65,622
Premiums ceded                                                (3,040)              (917)
                                                        ------------       ------------
Net written premiums                                         144,008             64,705
Change in unearned premiums                                  (97,597)           (40,218)
                                                        ------------       ------------
Net premiums earned                                           46,411             24,487
Net investment income                                         11,882              8,061
Realized (loss) gain, net on investments                        (767)             3,864
Other income                                                   1,407                  0
                                                        ------------       ------------
                                                              58,933             36,412
                                                        ------------       ------------

EXPENSES:

Losses and loss adjustment expenses, net                       7,607              6,967
Acquisition costs, net                                         5,044              3,047
General and administrative expenses                            2,857              2,124
Exchange (gain) loss                                             (82)               369
                                                        ------------       ------------
                                                              15,426             12,507
                                                        ============       ============

NET INCOME                                              $     43,507       $     23,905
                                                        ============       ============


Basic net income per common share                       $       0.90       $       0.95
Diluted net income per common share                     $       0.90       $       0.91

Weighted average number of common shares - basic          48,172,776         25,060,623
Weighted average number of common shares - diluted        48,265,701         26,269,689
</TABLE>


              The accompanying notes are an integral part of these
                        consolidated financial statements


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

                (Expressed in thousands of United States dollars)

--------------------------------------------------------------------------------

<TABLE>
<CAPTION>
                                                  Three Months ended March 31,
                                                    2002               2001
                                                  --------           --------
<S>                                               <C>                <C>
NET INCOME                                        $ 43,507           $ 23,905
                                                  --------           --------
OTHER COMPREHENSIVE (LOSS) INCOME:
  Holding (losses) gains, net on
  investments during period                        (15,255)             1,231
  Reclassification adjustment for losses
  (gains) included in net income                       767             (3,864)
                                                  --------           --------
                                                   (14,488)            (2,633)
                                                  --------           --------
COMPREHENSIVE INCOME                              $ 29,019           $ 21,272
                                                  ========           ========
</TABLE>


              The accompanying notes are an integral part of these
                        consolidated financial statements


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

                (Expressed in thousands of United States dollars)

--------------------------------------------------------------------------------

<TABLE>
<CAPTION>
                                                                                      Three months ended March 31,
                                                                                      ----------------------------
                                                                                         2002               2001
                                                                                      ---------          ---------
                                                                                     (unaudited)         (unaudited)
<S>                                                                                  <C>                 <C>
CASH FLOWS FROM OPERATING ACTIVITIES:

Net income                                                                            $  43,507          $  23,905
Adjustments to reconcile net income to cash provided
    by operating activities:
    Amortization of investment premium, net                                               1,703               (123)
    Realized losses (gains), net on investments                                             767             (3,864)
    Changes in, net:
       Reinsurance premiums receivable                                                  (68,071)           (30,839)
       Deferred premiums ceded                                                           (1,237)                62
       Loss reserves recoverable                                                            121                225
       Accrued investment income                                                         (1,409)             3,588
       Deferred acquisition costs                                                       (10,611)            (4,238)
       Prepaid expenses and other assets                                                 (2,657)              (940)
       Reserve for losses and loss adjustment expenses                                  (21,937)               834
       Unearned premiums                                                                 98,834             40,156
       Reinsurance premiums payable                                                       1,498                551
       Deferred commissions                                                                 (17)                (6)
       Accounts payable and accrued liabilities                                           2,161                426
                                                                                      ---------          ---------
                                                                                         42,652             29,737
                                                                                      ---------          ---------

CASH FLOWS FROM INVESTING ACTIVITIES:

Purchases of fixed maturity investments                                                (414,493)          (179,206)
Proceeds from sale of fixed maturity investments                                        138,405            180,531
Proceeds from maturities of fixed maturity investments                                        0             11,000
Purchases of equity investments                                                         (54,359)           (38,562)
Proceeds from sale of equity investments                                                    227                430
                                                                                      ---------          ---------
                                                                                       (330,220)           (25,807)
                                                                                      ---------          ---------

CASH FLOWS FROM FINANCING ACTIVITIES:

Additional share capital                                                                      0                377
Cash dividends paid to shareholders                                                           0                  0
                                                                                      ---------          ---------
                                                                                              0                377
                                                                                      ---------          ---------
NET (DECREASE) INCREASE IN CASH AND CASH EQUIVALENTS                                   (287,568)             4,307
CASH AND CASH EQUIVALENTS, beginning of period                                          315,207              9,409
                                                                                      ---------          ---------
CASH AND CASH EQUIVALENTS, end of period                                              $  27,639          $  13,716
                                                                                      =========          =========
</TABLE>


              The accompanying notes are an integral part of these
                        consolidated financial statements


                                       6
<PAGE>
                       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 Underwriting Services Limited ("IPCUSL" 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
    month periods ended March 31, 2002 and 2001, respectively, the balance sheet
    as of March 31, 2002 and the cash flows for the three month periods ended
    March 31, 2002 and 2001, respectively. These interim consolidated financial
    statements should be read in conjunction with the audited consolidated
    financial statements for the year ended December 31, 2001. The results of
    operations for any interim period are not necessarily indicative of results
    for the full year.

2.  DIVIDENDS:

    No dividends have been declared or paid in 2002 to date.

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, 2002 were also considered common stock equivalents
    for the purpose of calculating diluted net income per common share.


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

    CRITICAL ACCOUNTING POLICIES

    The following is a summary of the accounting policies for the three main
    components of our balance sheet and statement of income: premiums, losses
    (claims) including reserves and investments/investment income.

    Premiums are recorded at the beginning of each policy, based upon
    information received from ceding companies and their brokers. For excess of
    loss contracts, the amount of premium is usually contractually documented at
    inception, and no management judgement is necessary in accounting for this.
    Premiums are earned on a pro rata basis over the policy period. For
    proportional treaties, the amount of premium is normally estimated at
    inception by the ceding company. We account for such premium using the
    initial estimates, and then adjust them once a sufficient period for actual
    premium reporting has elapsed, normally around three years. For the quarter
    ended March 31, 2002 the net amount of premium written resulting from
    estimate accruals was approximately 5% of total premiums written. The first
    quarter generally has the highest accrual because the proportional treaties
    renew on January 1st. We also accrue for reinstatement premiums on loss
    reserves. Such accruals are based upon actual contractual terms, and the
    only element of management judgement involved is with respect to the amount
    of loss reserves, as described below. The amount accrued at March 31, 2002
    for reinstatement premiums on Reported But Not Enough losses ("RBNE") and
    Incurred But Not Reported ("IBNR") loss reserves was $2.4 million, the
    majority of which related to claims from the World Trade Center tragedy.

    Under U.S. generally accepted accounting principles, we are not permitted to
    establish loss reserves with respect to property catastrophe reinsurance
    until the occurrence of an event which may give rise to a claim. As a
    result, only loss reserves applicable to losses incurred up to the reporting
    date may be set aside, with no allowance for the provision of a contingency
    reserve to account for expected future losses. Claims arising from future
    catastrophic events can be expected to require the establishment of
    substantial reserves from time to time.

    Setting appropriate reserves for catastrophes is an inherently uncertain
    process. Loss reserves represent our estimates, at a given point in time, of
    ultimate settlement and administration costs of losses incurred (including
    IBNR losses). We regularly review and update these estimates, using the most
    current information available to us. Consequently, the ultimate liability
    for a catastrophic loss is likely to differ from the original estimate.
    Whenever we determine that any existing loss reserves are inadequate, we are
    required to increase the loss reserves with a corresponding reduction, which
    could be material, in our operating results in the period in which the
    deficiency is identified. The establishment of new reserves, or the
    adjustment of reserves for reported claims, could result in significant
    upward or downward changes to our financial condition or results of
    operations in any particular period.

    The reserve for losses and loss adjustment expenses is based upon reports,
    individual case estimates received from ceding companies, and management's
    estimates. Management's estimates are used mostly to estimate IBNR or RBNE
    loss amounts. For certain catastrophic events there is considerable
    uncertainty underlying the assumptions and associated estimated reserves for
    losses and loss adjustment expenses. Reserves are reviewed regularly and, as
    experience develops and additional information becomes known, the reserves
    are adjusted as necessary. Such adjustments, if necessary, are reflected in
    results of operations in the period in which they become known. To validate
    management's estimates, we have an independent firm of actuaries review our
    reserves semi-annually. At March 31, 2002 management's estimates for
    IBNR/RBNE represented approximately 19.4% of total loss reserves. The
    majority of the estimate related to additional reserves for claims from the
    attack on the World Trade Center.

    In accordance with our investment guidelines, our investments consist of
    certain equity securities and high-grade marketable fixed income securities.
    Investments are carried at market value as determined by the most recently
    traded price of each security at the balance sheet date. In accordance with
    SFAS 115, unrealized gains and losses are included as a separate component
    of shareholders' investment. Realized gains and losses on sales of
    investments are determined on a first-in, first-out basis. In addition,
    unrealized depreciation in the value of individual securities considered by
    management to be other than temporary is charged to income in the period it
    is determined. Investment income is recorded when earned and includes the
    amortization of premiums and discounts on investments.

    RESULTS OF OPERATIONS, QUARTERS ENDED MARCH 31, 2002 AND 2001

    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 and IPCUSL. This
    discussion should be read in conjunction with our Consolidated Financial
    Statements and related notes for the three months ended March 31, 2002.

    In the quarters ended March 31, 2002 and 2001, we wrote premiums of $147.0
    million and $65.6 million, respectively, an increase of 124.1%. Written
    premiums in the quarter were higher primarily because we used our increased
    capacity resulting from the additional capital raised in December 2001, to
    write additional business for our existing clients, as well as new business.
    Premiums were also higher because of increases in premium rates, which were
    in the range of 15% to


                                       8
<PAGE>
    25% for loss-free contracts, and greater increases for loss-impacted
    contracts. The additional premium from existing clients resulting from
    additional business written and rate increases amounted to approximately
    $52.2 million. Premiums from new business amounted to $38.3 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 $8.6 million.
    Reinstatement premiums were $1.0 million lower in the first quarter of 2002
    when compared to the corresponding quarter in 2001. We retroceded premiums
    of $3.0 million in the first quarter of 2002, compared to $0.9 million ceded
    in the first quarter of 2001. This increase reflects the growth in premiums
    assumed, as well as a cession to a secondary aggregate excess of loss
    facility which was established in the quarter to cover a portfolio of
    specific reinsurance contracts. Net premiums earned in the three months
    ended March 31, 2002 were $46.4 million, compared to $24.5 million in the
    same period in 2001, an increase of 89.5%. Earned premiums were higher due
    to the increase in written premiums.

    Net investment income was $11.9 million in the quarter ended March 31, 2002,
    compared to $8.1 million for the quarter ended March 31, 2001. The overall
    yield of the fixed income portfolio was less for the quarter ended March 31,
    2002, than for the corresponding quarter in 2001. In addition, the amount of
    equity investments in the portfolio represented a greater proportion of the
    total portfolio in the first quarter of 2002, than they did for the first
    quarter of 2001. These negative factors were more than offset by the
    increase in the average balance of invested assets in the first quarter of
    2002, which was 102.7% higher than the first quarter of 2001.

    There was a net realized loss from the sale of investments in the quarter
    ended March 31, 2002 of $(0.8) million, compared to a net realized gain of
    $3.9 million in the first quarter of 2001. Generally, net realized gains and
    losses fluctuate from period to period, depending on the individual
    securities sold, as recommended by IPCRe's investment advisor. In addition,
    in March 2002, we wrote down the cost basis of equity investments in certain
    S& P 500 stocks, where the decline in value was considered other than
    temporary. In accordance with FAS 115, such a write-down is recognized as a
    realized loss in the income statement, even though there were no sales of
    the securities. The amount of the write-down was $1.3 million.

    In the three months ended March 31, 2002, we incurred losses of $7.6
    million, compared to $7.0 million in the first quarter of 2001. Losses
    included approximately $4.0 million for various minor 2002 events, and some
    minor development from some 2001 events. Our loss and loss expense ratio
    (the ratio of losses and loss adjustment expenses to premiums earned) was
    16.4% in the first quarter of 2002, compared to 28.5% in the first quarter
    of 2001.

    Acquisition costs incurred, which consist primarily of commissions and
    brokerage fees paid to intermediaries for the production of business, were
    $5.0 million for the quarter ended March 31, 2002, compared to $3.0 million
    in the corresponding period of 2001, an increase of 65.4%. Acquisition costs
    have increased primarily because of the increase in earned premiums. General
    and administrative expenses were $2.9 million in the quarter ended March 31,
    2002, compared to the $2.1 million incurred in the first quarter of 2001.
    This increase is due primarily to 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 17.0%
    for the quarter ended March 31, 2002 compared to 21.1% for the quarter ended
    March 31, 2001.

    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 March 31, 2002 and 2001, respectively:
<TABLE>
<CAPTION>
                                                     Quarter ended March 31,
                                                  ----------------------------
                                                  2002                   2001
                                                  -----                  -----
<S>                                               <C>                    <C>
    Loss & loss expense ratio                     16.4%                  28.5%
    Expense ratio                                 17.0%                  21.1%
    Combined ratio                                33.4%                  49.6%
</TABLE>

    Our net income for the quarter ended March 31, 2002 was $43.5 million,
    compared to $23.9 million for the first quarter of 2001, an increase of
    82.0%. Excluding the effects of net realized gains and losses arising from
    the sale of investments, our net operating income for the quarter ended
    March 31, 2002 was $44.3 million, compared to $20.0 million for the first
    quarter of 2001, an increase of 120.9%. This increase is primarily the
    result of the significant increase in premiums, 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 IPCUSL
    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, 2002 was approximately $276 million. IPCRe could not have paid
    any dividends in the first quarter under the credit facility, without a
    waiver from certain covenants.

                                       9
<PAGE>
    IPCRe's sources of funds consist of premiums written, investment income,
    paid losses recovered from retrocedants 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 three months ended March 31,
    2002 were $42.7 million compared to $29.7 million in the corresponding
    period in 2001. The increase is primarily the result of the significant
    increase in premium volume, offset in part by an increase in net claims paid
    during the period, which were $29.1 million in the three months ended March
    31, 2002, compared to $4.5 million in the first quarter of 2001. A
    significant proportion of the claims paid in 2002 relate to Cat. #48 (the
    attack on the World Trade Center). We expect to continue to pay significant
    amounts in respect of that event during the next six to nine months.

    Net cash outflows from investing activities in the three months ended March
    31, 2002 were $(330.2) million. Cash and cash equivalents decreased by
    $(287.6) million in the three months ended March 31, 2002, resulting in a
    balance of $27.6 million at March 31, 2002. The decrease is due to the fact
    that at December 31, 2001, a significant proportion of the proceeds of our
    capital raising in December had been invested in commercial paper, time
    deposits and other short term instruments with maturities of less than
    ninety days, which we classify as cash equivalents. During the first quarter
    of 2002, our investment managers reinvested these funds in longer dated
    fixed income securities and equities. At March 31, 2002, 39.9% of IPC's
    fixed maturity portfolio (based on market value) was held in cash, United
    States Treasury notes and in securities rated AAA, and 45.9% was held in
    securities rated AA. The average modified duration of IPC's fixed maturity
    portfolio was 2.72 years. We believe that IPCRe's $150 million revolving
    credit facility which expires in June 2003, and the relatively short
    duration and high quality of IPC's investment portfolio, will provide
    sufficient liquidity to meet IPC's cash demands.

    IPCRe is not a licensed insurer in the United States and therefore, under
    the terms of most of its contracts with U.S.-based companies, must provide
    security to reinsureds to cover unpaid liabilities in a form acceptable to
    state insurance commissioners. Typically, this type of security takes the
    form of a letter of credit issued by an acceptable bank, the establishment
    of a trust, or a cash advance. Currently IPCRe obtains letters of credit
    through one commercial bank pursuant to a $100.0 million facility. In turn,
    IPCRe provides the bank security by giving the bank a lien over certain of
    IPCRe's investments in an amount not to exceed the aggregate letters of
    credit outstanding to a maximum of $118.0 million. At March 31, 2002, there
    were outstanding letters of credit of $97.0 million. If we were unable to
    obtain the necessary credit, IPCRe could be limited in its ability to write
    business for our clients in the United States.

    Our investment portfolio does not currently include options, warrants,
    swaps, collars or similar derivative instruments. Our investment policy
    guidelines provide that financial futures and options and foreign exchange
    contracts may not be used in a speculative manner, but may be used, subject
    to certain numerical limits, only as part of a defensive strategy to protect
    the market value of the portfolio. Also, our portfolio does not contain any
    investments in real estate or mortgage loans. Neither the Company nor any of
    its subsidiaries has any other forms of off-balance sheet arrangements, or
    cash obligations or commitments.

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

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 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 March 31, 2002 and December 31, 2001. The
    analysis calculated the VaR with respect to the net fair value of our
    financial instrument assets, which includes cash and cash equivalents,
    certain equity and high grade fixed maturity securities, as of March 31,
    2002 using historical simulation methodology. As of March 31, 2002 the VaR
    of IPCRe's investment portfolio was approximately $18.7 million, which
    represents a 95th

                                       10
<PAGE>
    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 March 31, 2002 and December 31, 2001,
    respectively, and the average for the three months ended March 31, 2002
    calculated using the beginning and ending points (expressed in thousands of
    U.S. dollars):

        MARKET RISK

<TABLE>
<CAPTION>
                                                               Average for three
                                 March 31,      December 31,     months ended
                                 ---------      -----------    -----------------
                                   2002            2001          March 31, 2002
                                 ---------      -----------    -----------------
<S>                              <C>            <C>            <C>
Currency                         $  1,351         $  1,101         $  1,226
Interest Rate                      11,404            7,296            9,350
Equity                             18,625           13,222           15,923
--------------------------------------------------------------------------------
Sum of Risk                        31,380           21,619           26,499
Diversification Benefit           (12,666)          (8,305)         (10,485)
--------------------------------------------------------------------------------
TOTAL NET RISK                   $ 18,714         $ 13,314         $ 16,014
--------------------------------------------------------------------------------
</TABLE>

    The primary reasons for the increase in VaR from December 31, 2001 to March
    31, 2002 are the additional investment in equities, which took place at the
    beginning of January, 2002, growth in our bond holdings and a slight
    increase in the duration of the fixed maturity portfolio.

    IPCRe's premiums 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
    March 31, 2002 an estimated 30% ($33 million) of reinsurance premiums
    receivable, and an estimated $24 million of loss reserves, were denominated
    in non-U.S. currencies. In addition, we held U.S.$3.3 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 March 31, 2002 to be material.

    TRANSACTIONS WITH NON-INDEPENDENT PARTIES

    The following is a summary of amounts in respect of significant related
    party transactions during the quarter ended March 31, 2002:

<TABLE>
<S>                                            <C>
    Administrative services fees               $ 1,214
    Investment management services fees            540
    Investment custodian services fees              96

    Underwriting services fee income           $ 1,407

    Premiums written                           $28,584
    Premiums ceded                                 305
</TABLE>

    In addition, IPCRe assumes premiums through brokers related to shareholders
    of the Company. Generally, such premiums represent less than 5% of total
    premiums assumed. Brokerage fees incurred on such premiums are generally 10%
    of the premium.

    For a discussion of certain of our contractual relationships with
    non-independent parties, please see "Certain Relationships and Related
    Transactions" in our definitive Proxy Statement on Schedule 14A, filed with
    the Securities and Exchange Commission on April 26, 2002 and incorporated by
    reference into our Form 10-K for the year ended December 31, 2001.

    All transactions with related parties are conducted at arm's length, with
    normal terms and conditions applicable. To our knowledge, neither the
    Company nor any of its subsidiaries have entered into any other significant
    transactions with non-independent parties.

    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, including
    expectations regarding losses resulting from the terrorist attacks and their
    impact on future periods. 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


                                       11
<PAGE>
    effect of losses from the September 11 terrorist attacks and the payment
    thereof on our results of operations. 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, further development of losses
    from the attack on the World Trade Center, or changes in exchange rates and
    greater than expected currency exposure.


                                       12
<PAGE>
                           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

                NONE

    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

        11.1   *      Reconciliation of basic and diluted net income per common
                      share ("EPS").
</TABLE>

*  Filed herewith
+  Incorporated by reference to Exhibit 4.2 to our Registration Statement on
   Form S-3 (No. 333-73828).

                      (b) Reports on Form 8-K

                      NONE


                                       13
<PAGE>
                               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  MAY 1ST, 2002                        /s/ James P. Bryce
      -------------           -------------------------------------------------
                                             JAMES P. BRYCE
                              PRESIDENT AND CHIEF EXECUTIVE OFFICER




DATE  MAY 1ST, 2002                        /s/ John R. Weale
      -------------           -------------------------------------------------
                                             JOHN R. WEALE
                              SENIOR VICE PRESIDENT AND CHIEF FINANCIAL OFFICER


                                       14
<PAGE>
                                  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

        11.1   *      Reconciliation of basic and diluted net income per common
                      share ("EPS")
</TABLE>

*  Filed herewith
+  Incorporated by reference to Exhibit 4.2 to our Registration Statement on
   Form S-3 (No. 333-73828).


                                       15