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Prepared and filed by St Ives Financial
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<p align="center"><font size="2" face="serif"><b><font face="serif" size="4">UNITED
        STATES </font></b></font><br>
<b><font face="serif" size="4">SECURITIES AND EXCHANGE COMMISSION</font></b><br>
<font face="serif" size="3">WASHINGTON, D.C. 20549 </font></p>
<p align="center"><b><font face="serif" size="5">FORM 8-K</font></b></p>
<p align="center"><font size="2" face="serif"><b>CURRENT REPORT </b></font><br>
<font size="2" face="serif"><b>PURSUANT TO SECTION 13 OR 15(d)
      OF THE SECURITIES EXCHANGE ACT OF 1934</b></font></p>
<p align="center"><font size="2" face="serif"><b>May 11, 2006</b></font><br>
<font size="2" face="serif">Date of Report (Date of earliest event reported) </font></p>
<p align="center"><b><font face="serif" size="5">PXRE GROUP LTD.</font></b><br>
<font size="2" face="serif">(Exact name of registrant as specified
in its charter) </font></p>
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<td width="33%"><font size="2" face="serif"><b>Bermuda</b></font></td>
<td width="33%"><font size="2" face="serif"><b>1-15259</b></font></td>
<td width="30%"><font size="2" face="serif"><b>98-0214719</b></font></td>
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<td><font size="2" face="serif">(State or other jurisdiction</font><br>
  <font size="2" face="serif">of incorporation or organization)</font></td>
<td><font size="2" face="serif">(Commission</font><br>
  <font size="2" face="serif">File No.)</font></td>
<td><font size="2" face="serif">(I.R.S. Employer</font><br>
  <font size="2" face="serif">Identification No.)</font></td>
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<br><br>
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<td align="left" width="40%"><font size="2" face="serif"><b>PXRE House<br>
  110 Pitts Bay Road<br>
Pembroke HM 08<br>
Bermuda</b><br>
(Address, including zip code,<br>of principal executive offices)</font></td>
<td align="left"><font size="2" face="serif"><b>P.O. Box HM 1282<br>
  Hamilton HM FX<br>
  Bermuda</b><br>
  <br>
(Mailing address)</font></td>
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<p align="center">                                 <font size="2" face="serif"><b>(441)
    296-5858</b></font><br>
<font size="2" face="serif">              (Registrant's telephone number, including
area code)</font></p>
<p align="center"><font size="2" face="serif"><b>NOT APPLICABLE</b> </font><br>
  <font size="2" face="serif">(Former Name or Former Address, if Changed Since
Last Report)</font></p>
<p align="left"><font size="2" face="serif">Check the appropriate box below if
    the Form 8-K filing is intended to simultaneously satisfy the filing obligation
    of the registrant under any of the following provisions (see General Instruction
A.2. below):</font></p>
<p align="left"><font size="2" face="serif"><img src="emptybox.gif" width="12" height="12"> Written
communications pursuant to Rule 425 under the Securities Act (17 CFR 230.425)</font></p>
<p align="left"><font size="2" face="serif"><img src="emptybox.gif" width="12" height="12">   Soliciting
material pursuant to Rule 14a-12 under the Exchange Act (17 CFR 240.14a-12) </font></p>
<p align="left"><font size="2" face="serif"><img src="emptybox.gif" width="12" height="12">  Pre-commencement
communications pursuant to Rule 14d-2(b) under the Exchange Act (17 CFR 240.14d-2(b)) </font></p>
<p align="left"><font size="2" face="serif"><img src="emptybox.gif" width="12" height="12">  Pre-commencement
communications pursuant to Rule 13e-4(c) under the Exchange Act (17 CFR 240.13e-4(c)) </font></p>
<p align="center">&nbsp;</p>
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<p>&nbsp;</p>
<p align="left"><font size="2" face="serif"><b>Item 1.01. Entry into a Material
Definitive Agreement</b></font></p>
<p align="left"><font size="2" face="serif">On May 11, 2006, PXRE Reinsurance
    Ltd. (&#8220;PXRE Bermuda&#8221;) entered into a Property Catastrophe Excess
    of Loss Reinsurance Agreement (the &#8220;XOL Agreement&#8221;), effective
    as of April 1, 2006, with PXRE Reinsurance Company (&#8220;PXRE US&#8221;).
    The XOL Agreement provides PXRE Bermuda, as cedent, with excess of loss property
    catastrophe coverage. The XOL Agreement has a per occurrence limit of $40
    million each and every loss occurrence, subject to a $40 million aggregate
    limit. The coverage provided under the XOL agreement attaches excess of $150
    million of ultimate net loss each and every loss occurrence. The term of
    the XOL Agreement is April 1, 2006 through March 31, 2007, with an automatic
    renewal for successive one-year periods unless either party gives the other
    notice of at least 30 days prior to March 31<sup>st</sup> of the subject
    year. An annual premium of $7,000,000 is payable by PXRE Bermuda to PXRE
    US, and
    shall be payable quarterly in advance in four installments of $1,750,000.
    The XOL Agreement was approved by the Insurance Department of the State of
    Connecticut.</font></p>
<p align="left"><font size="2" face="serif">The foregoing description of the
    XOL Agreement does not purport to be complete and is qualified in its entirety
    by reference to the XOL Agreement, which is filed as Exhibit&nbsp;99.1 hereto,
    and is incorporated into this report by reference.</font></p>
<p align="left"><font size="2" face="serif"><b>Item 9.01. Financial Statements
      and Exhibits </b></font></p>
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    <td colspan="3"><font size="2" face="serif">(c) &nbsp;&nbsp;&nbsp;&nbsp;Exhibits</font></td>
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    <td width="12%"><font size="2" face="serif">Exhibit No.</font></td>
    <td>&nbsp;</td>
    <td><font size="2" face="serif">Description</font> </td>
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    <td>&nbsp;</td>
    <td>&nbsp;</td>
    <td>&nbsp;</td>
    <td>&nbsp;</td>
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    <td align="left" valign="top"><font size="2" face="serif">99.1</font></td>
    <td>&nbsp;</td>
    <td valign="top"><font size="2" face="serif">Property Catastrophe Excess
        of Loss Reinsurance Agreement, dated as of May 11, 2006, by and between
        PXRE Reinsurance Ltd., as cedent,
    and PXRE Reinsurance Company, as reinsurer.</font></td>
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<p align="center"><font size="2" face="serif"><b>SIGNATURES </b></font></p>
<p align="left"><font size="2" face="serif">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. </font></p>
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    <td align="center"><font size="2" face="serif">&nbsp;</font></td>
    <td width="33%" align="center"><font size="2" face="serif"><b><u>PXRE Group
            Ltd.<br>
    </u></b>(Registrant) <b><u> </u></b></font></td>
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    <td>&nbsp;</td>
    <td align="left"><font size="2" face="serif"><i>By:</i></font></td>
    <td align="left"><font size="2" face="serif"><i>/s/ Robert P. Myron</i></font></td>
    <td>&nbsp;</td>
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    </td>
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    <td align="left" valign="top"><font size="2" face="serif"><i>Name:</i></font></td>
    <td align="left" valign="top"><font size="2" face="serif"><i>Robert P. Myron</i></font></td>
    <td>&nbsp;</td>
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    <td align="left" valign="top"><font size="2" face="serif"><i>Title:</i></font></td>
    <td align="left" valign="top"><font size="2" face="serif"><i>Executive Vice President,
    Chief Financial Officer &amp; Treasurer</i></font></td>
    <td>&nbsp;</td>
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    <td>&nbsp;</td>
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    <td><font size="2" face="serif">Date: May 15, 2006</font></td>
    <td align="left">&nbsp;</td>
    <td align="left">&nbsp;</td>
    <td>&nbsp;</td>
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Prepared and filed by St Ives Financial
UNITED
        STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM 8-K
CURRENT REPORT
PURSUANT TO SECTION 13 OR 15(d)
      OF THE SECURITIES EXCHANGE ACT OF 1934
May 11, 2006
Date of Report (Date of earliest event reported)
PXRE GROUP LTD.
(Exact name of registrant as specified
in its charter)
Bermuda
1-15259
98-0214719
(State or other jurisdiction
of incorporation or organization)
(Commission
File No.)
(I.R.S. Employer
Identification No.)
PXRE House
110 Pitts Bay Road
Pembroke HM 08
Bermuda
(Address, including zip code,
of principal executive offices)
P.O. Box HM 1282
Hamilton HM FX
Bermuda
(Mailing address)
(441)
    296-5858
(Registrant's telephone number, including
area code)
NOT APPLICABLE
(Former Name or Former Address, if Changed Since
Last Report)
Check the appropriate box below if
    the Form 8-K filing is intended to simultaneously satisfy the filing obligation
    of the registrant under any of the following provisions (see General Instruction
A.2. below):
Written
communications pursuant to Rule 425 under the Securities Act (17 CFR 230.425)
Soliciting
material pursuant to Rule 14a-12 under the Exchange Act (17 CFR 240.14a-12)
Pre-commencement
communications pursuant to Rule 14d-2(b) under the Exchange Act (17 CFR 240.14d-2(b))
Pre-commencement
communications pursuant to Rule 13e-4(c) under the Exchange Act (17 CFR 240.13e-4(c))
Item 1.01. Entry into a Material
Definitive Agreement
On May 11, 2006, PXRE Reinsurance
    Ltd. ("PXRE Bermuda") entered into a Property Catastrophe Excess
    of Loss Reinsurance Agreement (the "XOL Agreement"), effective
    as of April 1, 2006, with PXRE Reinsurance Company ("PXRE US").
    The XOL Agreement provides PXRE Bermuda, as cedent, with excess of loss property
    catastrophe coverage. The XOL Agreement has a per occurrence limit of $40
    million each and every loss occurrence, subject to a $40 million aggregate
    limit. The coverage provided under the XOL agreement attaches excess of $150
    million of ultimate net loss each and every loss occurrence. The term of
    the XOL Agreement is April 1, 2006 through March 31, 2007, with an automatic
    renewal for successive one-year periods unless either party gives the other
    notice of at least 30 days prior to March 31
st
of the subject
    year. An annual premium of $7,000,000 is payable by PXRE Bermuda to PXRE
    US, and
    shall be payable quarterly in advance in four installments of $1,750,000.
    The XOL Agreement was approved by the Insurance Department of the State of
    Connecticut.
The foregoing description of the
    XOL Agreement does not purport to be complete and is qualified in its entirety
    by reference to the XOL Agreement, which is filed as Exhibit 99.1 hereto,
    and is incorporated into this report by reference.
Item 9.01. Financial Statements
      and Exhibits
(c)     Exhibits
Exhibit No.
Description
99.1
Property Catastrophe Excess
        of Loss Reinsurance Agreement, dated as of May 11, 2006, by and between
        PXRE Reinsurance Ltd., as cedent,
    and PXRE Reinsurance Company, as reinsurer.
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.
PXRE Group
            Ltd.
(Registrant)
By:
/s/ Robert P. Myron
Name:
Robert P. Myron
Title:
Executive Vice President,
    Chief Financial Officer & Treasurer
Date: May 15, 2006