ILS 2012 Report v11 - Aon...

Empower Results™

Insurance-Linked SecuritiesEvolving Strength 2012

Aon Benfield Securities, Inc. and Aon Benfield Securities Limited (collectively, “Aon Benfield Securities”) provide insurance and reinsurance clients with a full suite of insurance-linked securities products, including catastrophe bonds, contingent capital, sidecars, collateralized reinsurance, industry loss warranties, and derivative products.

As one of the most experienced investment banking firms in this market, Aon Benfield Securities offers expert underwriting and placement of new debt and equity issues, financial and strategic advisory services, as well as a leading secondary trading desk. Aon Benfield Securities’ integration with Aon Benfield’s reinsurance operation expands its capability to provide distinctive analytics, modeling, rating agency, and other consultative services.

Aon Benfield Inc., Aon Benfield Securities, Inc. and Aon Benfield Securities Limited are all wholly-owned subsidiaries of Aon plc. Securities advice, products and services described within this report are offered solely through Aon Benfield Securities, Inc. and/or Aon Benfield Securities Limited.

ForewordIt is my pleasure to bring to you the fifth iteration of Aon Benfield Securities’ annual Insurance Linked Securities (ILS) report. As with all our research, this study aims to offer an authoritative review and analysis of the ILS asset class and, along with our quarterly ILS Updates, is intended to be an important and useful reference document for both ILS market participants and those with an active interest in the sector.

Unless otherwise stated, this report covers the 12 month period ending June 30, 2012, during which time ILS continued to be an attractive source of capacity for both new and repeat sponsors. The ILS market has clearly demonstrated its resilience following the global financial crisis, reaching its highest levels for both new issuance and outstanding volumes in four years. In the first quarter of 2012, the market witnessed a record level of catastrophe bond issuance that surpassed the previous record set in the first quarter of 2007.

Specifically, the 2012 edition of this study offers:

• Our comprehensive review of the catastrophe bond market and the drivers affecting the market;

• Our exclusive Aon Benfield ILS Indices;

• A review of investor activity;

• An overview of related ILS markets;

• A review of activity in the U.S. market;

• Our perspective on diversifying perils;

• A market discussion with ILS investors.

In all, the catastrophe bond market has seen $44.0 billion of cumulative issuance since 1996, demonstrating its importance as a strategic and efficient risk management tool.

We hope you will find this document both useful and informative. If you have any questions relating to the data herein, or indeed any queries regarding any aspect of the ILS sector, please contact me or my colleagues.

Paul Schultz Chief Executive Officer, Aon Benfield Securities

3

Aon Benfield Securities

Contents 5 Aon Benfield Securities Annual Review

of the Catastrophe Bond Market

14 ILS Investor Activity

19 The Aon Benfield ILS Indices

22 ILS-Related Markets

26 U.S. Perils

33 Europe

36 Asia / Pacific Region

41 A Market Discussion with ILS Investors

52 Appendix I Catastrophe Bond Issuance Statistics

59 Appendix II Property Catastrophe Bonds — Transaction Summary

78 Appendix III Life & Health Catastrophe Bonds — Transaction Summary

80 Appendix IV Summary of Sidecar Issuance

Insurance-Linked Securities 2012

4

Aon Benfield Securities Annual Review of the Catastrophe Bond Market

Overview

The year ending June 30, 2012 was a healthy period for the ILS market, characterized by an acceleration in annual issuance that was sparked by increased sponsor interest as well as strong investor inflows.

Annual issuance volume reached $6.4 billion (Figure 1) — an increase of more than $2.0 billion over the same period in 2011 — while at year end, total bonds on risk stood at $14.9 billion (Figure 2), an increase of $3.4 billion from the previous year.

Figure 1: Catastrophe Bond Issuance by Year (Years ending June 30)

Source: Aon Benfield Securities

0

1,000

2,000

3,000

4,000

5,000

6,000

7,000

8,000

9,000

20122011201020092008200720062005200420032002

8,145

5,914

1,780

4,661 4,382

6,430

3,279

1,499

1,958

1,011998

$ M

illio

ns

Property Issuance

Life / Health Issuance

5


Figure 2: Outstanding and Cumulative Catastrophe Bond Volume, 2002 – 2012 (Years ending June 30)


This excellent performance marks an important period of growth for the market. Over the three prior years, decreases had been witnessed in both total outstanding volume due to the higher notional amount of catastrophe bonds reaching maturity (Figure 3), and lower issuance volume following the global financial crisis.

Figure 3: Catastrophe Bonds Maturing by Year (Years ending June 30)


During the 12–month period under review, increasing numbers of sponsors considered the use of Bermuda-domiciled special purpose insurers (SPIs) to transfer risk. Notably, regular sponsors Allianz Argos GmbH 14 (Allianz) and Münchener Rückversicherungs-Gesellschaft Aktiengesellschaft in München (Munich Re) both utilized Bermuda SPIs, moving away from their prior Cayman Islands and Ireland based vehicles, respectively.

0

5,000

10,000

15,000

20,000

25,000

30,000

35,000

40,000

45,000

50,000

20122011201020092008200720062005200420032002

$ M

illio

ns

PropertyOutstanding

Life / HealthOutstanding

CumulativePropertyIssuance

TotalCumulativeBonds

2,589 3,005 3,876

7,9459,444

12,723

20,782

26,78228,562

33,223

37,605

44,035

4,7416,608

12,911

16,155

13,249 13,16711,504

14,923

0

1,000

2,000

3,000

4,000

5,000

6,000

20142013201220112010200920082007

4,157

100

425

3,900

329

2,483

5,674

3,939

155

804

371

1,442

2,670

400

4,531

$ M

illio

ns

PropertyMaturities

Life / HealthMaturities


6

Recent transactions have seen increased disclosures to investors, encompassing both exposure and modeling data. As the trend towards indemnity issuances has continued, it has been common for sponsors to provide more detailed exposure information — for example, county level data where state level data was previously the market standard.

This increased transparency has helped investors more thoroughly analyze new offerings and assess how these transactions may fit into their existing portfolios. Meanwhile, enhanced modeling information has also become more standard: for example, event loss tables and files for users of proprietary models (e.g. company loss files for AIR Worldwide Corporation’s (AIR) CATRADER subscribers) are now often provided to investors.

Key Market Drivers

• Supply and Demand In the 12 months ending June 30, 2012, investors kept pace with the active ILS issuance calendar. In the fourth quarter of 2011, several high expected loss transactions were issued, which somewhat limited investors’ appetite for that level of risk in the following quarter. However, investors remained keen to put their capital to work, as many continued to receive inflows from their own investors. As the second quarter of 2012 came to a close, a slower primary issuance market created a very active secondary market as investors looked to deploy capital.

• Enhanced CoverageIndemnity issuances became more prominent in the year under review. Several repeat sponsors, including Liberty Mutual Insurance Company (Liberty Mutual), The Travelers Indemnity Company (Travelers), Tokio Marine & Nichido Fire Insurance Co., Ltd. (TMNF) and the California Earthquake Authority (CEA), successfully moved from non-indemnity triggers to indemnity triggers. In addition, a number of new sponsors entered the market and also secured indemnity coverage. These included Louisiana Citizens Property Insurance Company (Louisiana Citizens), Citizens Property Insurance Company (Florida Citizens) and the dual-sponsors North Carolina Farm Bureau Mutual Insurance Company, Inc. (NC Farm Bureau) and COUNTRY Mutual Insurance Company (COUNTRY Mutual).

• Natural EventsOne of the most active severe weather seasons on record in the U.S. in 2011 led to full recoveries for the Mariah Re Ltd. (Mariah Re) industry index transactions totaling $200 million. The market has since remained strong and sponsors that sought the coverage have successfully continued to receive coverage for severe thunderstorms as part of their new issuances. Investors have sought to spread increases for transactions in which severe thunderstorms form a significant part of the overall risk.

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Transaction Review

Thirty transactions (including two deals from the life and health sector) closed during the 12-month period ending June 30, 2012, compared with 24 transactions during the prior year period. As expected, U.S. hurricane risk continued to dominate the market, accounting for more than 50 percent of natural catastrophe issuance. The proportion of catastrophe bonds covering U.S. earthquake risk increased slightly from 17 percent for the year ending June 30, 2011, to 20 percent for the same period in 2012. By comparison, Europe windstorm transactions decreased slightly from 21 percent to 17 percent in the same timeframe. Meanwhile, life and health issuance activity contributed $330 million of issuance.

Third Quarter 2011Traditionally, the third quarter of each calendar year is characterized by light issuance activity. However, the third quarter of 2011 was somewhat an anomaly, as five issuances closed totaling $853 million, compared to just $232 million for the third quarter of 2010. The issuances offered investors a diverse selection of perils including Europe windstorm, California earthquake, Japan typhoon and extreme mortality.

Transactions issued in Q3 2011 included:

• Queen Street III Capital Limited (Queen Street III), sponsored by Munich Re to provide Europe windstorm coverage, was the first bond to come to market in the third quarter. Investors responded favorably to the single region and peril coverage, enabling the transaction to be upsized to $150 million and close below the marketed price guidance.

• Pylon II Capital Limited (Pylon II) was the second Europe windstorm transaction to close during the third quarter of 2011. The corporate sponsor, Electricité Réseau Distribution France (ERDF), returned to the cat bond market for the first time in almost eight years. ERDF, a wholly-owned subsidiary of Electricité de France, operated the public electricity distribution network in mainland France. The transaction provides ERDF with €150 million of coverage across two classes against France windstorm on a parametric index basis. Similar to Queen Street III, investors found value in the diversification benefit of the coverage allowing both classes to price below their marketed price guidance. Interestingly, this is the only transaction that utilized a tri-party repo collateral solution in the 12 months ending June 30, 2012.

• TMNF returned to the market in August 2011 following the maturity of Fhu-Jin Ltd. earlier that month. Kizuna Re Ltd. Series 2011-1 (Kizuna Re) provides TMNF with $160 million in indemnity coverage against Japan typhoons. TMNF chose to face the market directly rather than utilize a transformer for this transaction and elected to place the coverage with select investors on a 4(2) basis rather than a more typical 144A placement.


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Table 1: Third Quarter 2011 Catastrophe Bond Issuance

Issue Series Class Sponsor Perils Issue Size (millions) Trigger Collateral

Queen Street III Capital Limited Munich Re EU Wind $150.0 Industry Index MMF

Embarcadero Reinsurance Ltd. Series 2011-I Class A CEA CAL EQ $150.0 Indemnity MMF

Vita Capital IV Ltd.

Series V Class D

Swiss Re

CA, DE Mortality $100.0

Industry Index IBRD Notes

Series VI Class ECA, DE, UK, US

Mortality$80.0

Pylon II Capital LimitedClass A

ERDF FR Wind€65.01

Parametric Index

Tri-Party RepoClass B €85.0

Kizuna Re Ltd. Series 2011-1 TMNF JP TY $160.0 Indemnity IBRD Notes

Total $853.4


Fourth Quarter 2011In the fourth quarter of 2011, issuance accelerated with nine transactions closing for a total of $2.0 billion. Although repeat sponsors dominated the quarter, a couple of new sponsors also entered the ILS space, namely Amlin AG (Amlin) and the State Compensation Insurance Fund (State Fund), with the following transactions:

• Golden State Re Ltd. Series 2011-1 (Golden State) marked the State Fund’s entrance into the cat bond space. The transaction provided the State Fund with $200 million coverage against workers’ compensation losses due to California earthquakes. The three year transaction provides recoveries on a modeled loss basis.

• Late in the fourth quarter, first time sponsor Amlin offered Tramline Re Ltd. Series 2011-1 (Tramline Re). The industry index transaction, which provides coverage against U.S. hurricanes, U.S. earthquakes and Europe windstorms on an annual aggregate basis, successfully achieved the targeted $150 million issuance size at an interest spread below marketed guidance.

Repeat sponsors that closed transactions in the fourth quarter of 2011 included AXA Global P&C (AXA), Munich Re, Swiss Reinsurance Company Ltd. (Swiss Re), United Services Automobile Association (USAA), National Union Fire Insurance Company of Pittsburgh (Chartis), SCOR Global P&C SE (SCOR) and Argo Re, Ltd. (Argo).

• After successfully securing $875 million in capacity during 2010, repeat sponsor Chartis returned to the market with Compass Re Ltd. The industry index transaction provides Chartis with $575 million in coverage against U.S. hurricanes and earthquakes, with $500 million of this coverage secured on an aggregate basis.

1 Converted at €1 = $1.4228 as of August 11, 2011

Legend CA – Canada CAL – California DE – Germany EQ – Earthquake EU – Europe

FR – France JP – Japan TY – Typhoon UK – United Kingdom US – United States

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• The €180 million Calypso Capital Limited Series 2011-1 (Calypso Capital) provides repeat sponsor AXA with France windstorm cover based on a PERILS trigger. Similar to AXA’s deal a year earlier, Calypso Capital received strong investor support and was subsequently upsized while pricing below the market guidance.

• Regular sponsor SCOR returned to the market with takedowns from the Atlas VI Capital Limited (Atlas VI) program. The Series 2011-1 bonds provide $170 million in coverage against U.S. hurricanes and earthquakes while the Series 2011-2 bond provides €50 million in coverage against Europe windstorms.

• USAA returned with its second issuance in 2011, utilizing a placement strategy of semi-annual issuances that began in 2010. The $150 million Residential Reinsurance 2011 Limited Series 2011-II bonds provide USAA with indemnity protection over four years against U.S. hurricanes, earthquakes, winter storms, severe convective storms and wildfires.

Table 2: Fourth Quarter 2011 Catastrophe Bond Issuance


Calypso Capital Limited Series 2011-1 Class A AXA EU Wind €180.02 Industry Index

EBRD Notes

Queen Street IV Capital Limited Munich Re US HU, EU Wind $100.0 Industry

Index MMF

Successor X Ltd. Series 2011-3Class V-F4

Swiss ReUS HU $80.0 Industry

Index MMFClass V-X4 US HU, EU Wind $50.0

Residential Reinsurance 2011 Limited Series 2011-II

Class 1USAA US HU, EQ, ST,

WS, WF

$100.0 Indemnity MMF

Class 2 $50.0

Compass Re Ltd. Series 2011-1

Class 1

Chartis US HU, EQ

$75.0

Industry Index MMFClass 2 $250.0

Class 3 $250.0

Golden State Re Ltd. Series 2011-1 State Fund US EQ $200.0 Modeled Loss MMF

Atlas VI Capital Limited

Series 2011-1 Class A

SCOR

US HU, EQ $125.0

Industry Index

EBRD NotesClass B $145.0

Series 2011-2 Class A EU Wind €50.03

Tramline Re Ltd. Series 2011-1 Class A Amlin US HU, EQ, EU Wind $150.0 Industry

Index MMF

Loma Reinsurance Ltd. Series 2011-2 Class A Argo US HU, EQ $100.0 Industry Index MMF

Total $1,988.3


2 Converted at €1 = $1.37 as of October 20, 20113 Converted at €1 = $1.32 as of December 12, 2011

Legend EQ – Earthquake EU – Europe HU – Hurricane ST – Severe Thunderstorm

US – United States WF – Wild Fire WS – Wind Storm


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First Quarter 2012Strong issuance continued into the first quarter of 2012 with almost $1.5 billion of capacity secured for sponsors across nine transactions. By the end of the quarter, issuance levels had reached peaks not seen since 2007. In addition, there was a notable trend away from industry index coverage towards indemnity. As is typical for this period, the majority of issuance was focused on U.S. hurricane risk. Despite this, investors were able to secure diversification from offerings that included California earthquake, Japan earthquake and medical benefits.

• Liberty Mutual sponsored its fifth transaction and successfully moved from an industry index to indemnity coverage. Mystic Re III Ltd. Series 2012-1 (Mystic Re III) provides Liberty Mutual with protection against U.S. hurricanes and earthquakes. The transaction was well received by investors and subsequently upsized substantially to $275 million.

• COUNTRY Mutual and NC Farm Bureau were new entrants to the cat bond market in the first quarter of 2012. The two companies are both beneficiaries of the $200 million Combine Re Ltd. transaction, which provides aggregate protection against U.S. hurricanes, earthquakes, severe convective storms and winter storms.

Table 3: First Quarter 2012 Catastrophe Bond Issuance


Vitality Re III Limited Series 2012-1Class A Aetna Life Insurance

Company Health MBR$105.0 Industry

Index MMFClass B $45.0

Ibis Re II Ltd. Series 2012-1Class A

Assurant, Inc. US HU$100.0 Industry

Index MMFClass B $30.0

Embarcadero Reinsurance Ltd. Series 2012-I Class A CEA CAL EQ $150.0 Indemnity MMF

Kibou Ltd. Series 2012-1 Class A Zenkyoren JP EQ $300.0 Parametric Index MMF

Successor X Ltd. Series 2012-1

Class V-AA3 Swiss Re

US HU, EU Wind $23.0 Industry Index MMF

Class V-D3 US HU $40.0

Queen Street V Re Limited Munich Re US HU, EU Wind $75.0 Industry

Index MMF

Mystic Re III Ltd. Series 2012-1Class A

Liberty Mutual

US HU, EQ (ex CAL) $100.0

Indemnity MMF

Class B US HU, EQ $175.0

East Lane Re V Ltd. Series 2012Class A

Chubb Group Southeast HU, ST$75.0

Indemnity MMFClass B $75.0

Combine Re Ltd.

Class A

COUNTRY Mutual and NC Farm Bureau US HU, EQ, ST, WS

$100.0

Indemnity MMFClass B $50.0

Class C $50.0

Total $1,493.0

Source: Aon Benfield Securities Legend CAL – California EQ – Earthquake EU – Europe HU – Hurricane

JP – Japan ST – Severe Thunderstorm US – United States WS – Wind Storm

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Second Quarter 2012Total issuance continued to accelerate into the second quarter of 2012 with $2.1 billion of capacity closing across nine transactions. Similar to the first quarter, hurricane risk dominated new issuances, although regional hurricane risks from Louisiana, Florida and the Northeast were in abundant supply.

New sponsors continued to enter the space including Louisiana Citizens and Florida Citizens. Repeat sponsors included Allianz, Mitsui Sumitomo Insurance Co. (Mitsui Sumitomo), Swiss Re, USAA and Travelers. Notably the trend of indemnity issuances continued as Travelers successfully moved to this coverage. Second quarter transactions included:

• Repeat sponsor Allianz returned to the market with Blue Danube Ltd., securing coverage against U.S., Caribbean and Mexico hurricanes, as well as U.S. and Canada earthquakes. The $240 million transaction saw Allianz utilize a Bermuda-domiciled SPI, despite prior issuances via the Cayman Islands-domiciled Blue Fin Ltd.

• Travelers successfully secured its first indemnity coverage in the cat bond market. Long Point Re III Ltd. Series 2012-1 (Long Point Re III), covering Northeast hurricanes was successfully upsized to close at $250 million and below marketed price guidance.

• Louisiana Citizens entered the cat bond market for the first time with Pelican Re Ltd. (Pelican Re). The indemnity transaction provides the sponsor with $125 million in coverage against regional hurricanes for three years.

Table 4: Second Quarter 2012 Catastrophe Bond Issuance


Blue Danube Ltd. Series 2012-1Class A

Allianz US, CB, MX HU, US, CAN EQ

$120.0 Industry Index IBRD Notes

Class B $120.0

Pelican Re Ltd. Series 2012-1 Class A Louisiana Citizens LA HU $125.0 Indemnity MMF

Akibare II Ltd. Series 2012-1 Class A Mitsui Sumitomo JP TY $130.0 Modeled Loss MMF

Everglades Re Ltd. Series 2012-1 Class A Florida Citizens FL HU $750.0 Indemnity MMF

Mythen Ltd. Series 2012-1

Class A

Swiss Re

US HU $50.0

Industry Index IBRD NotesClass E US HU $100.0

Class H US HU, EU Wind $250.0

Residential Reinsurance 2012 Limited Series 2012-I

Class 3

USAA US HU, EQ, ST, WS, CAL WF

$50.0

Indemnity MMFClass 5 $110.0

Class 7 $40.0

Long Point Re III Ltd. Series 2012-1 Class A Travelers Northeast HU $250.0 Indemnity MMF

Total $2,095.0

Source: Aon Benfield Securities LegendCAL – CaliforniaCAN – CanadaCB – CaribbeanEQ – EarthquakeEU – EuropeFL – FloridaHU – HurricaneJP – Japan

LA – LouisianaMX – MexicoST – Severe ThunderstormTY – TyphoonUS – United StatesWF – Wild FireWS – Wind Storm


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The second quarter of 2012 concluded the most active first half for five years, producing a total issuance of $3.6 billion4 (Figure 4), compared to a 2007 first half issuance of just under $5.0 billion.

Figure 4: Catastrophe Bond Issuance by Half-Year


Outlook

Conditions remain positive for catastrophe bond issuance for the remainder of the 2012 calendar year. There is strong demand for bonds, as investors seek to deploy funds. Both repeat and new sponsors are expected to engage with the ILS market for diversification and to complement overall reinsurance purchases. Combined with a solid pipeline for the second half of the year, annual issuance is on track to reach $6.0 billion.

0

1,000

2,000

3,000

4,000

5,000

6,000

7,000

8,000

9,000

2012201120102009200820072006

1,757

2,842

3,588

2,625

2,011320

3,404

2,650

1,4602,302

3,168

4,976

2,510

$ M

illio

ns

January - June

July - December

4 Excludes cat bond lite transactions

13


ILS Investor Activity

Capacity providers

The overall investment case for ILS products remained strong throughout much of the year under review. Participation increased from dedicated catastrophe funds, which were the dominant source of capacity, representing 51 percent of the total invested capital (Figure 5). These funds were able to increase their participation due to continued strong inflows from pension funds and other institutional investors.

Figure 5: Investor by Category (Years ending June 30)5


Direct participation from institutional investors remained strong at 34 percent, but decreased from a peak of 44 percent during the prior year period. Mutual fund participation decreased from 10 percent to five percent during the same timeframe, however there remains opportunity for this participation to increase in the coming years.

Investment from reinsurers decreased from seven percent at June 30, 2011, to just five percent in the current period, mainly due to the capital penalty associated with the collateralized nature of bonds. This can make the cat bond market less attractive than direct participation in the traditional reinsurance market.

Hedge fund participation remained flat, in line with the opportunistic nature of their participation and the prevailing rate environment.

Capital origins

The majority of ILS capital continued to be provided by U.S. investors (Figure 6), while participation from Swiss investors declined from a peak of 33 percent at June 30, 2011, to 19 percent in the current period — a figure more in line with historical averages.

Bermuda participation increased, as a large investor with strong capital inflows increased its bond purchases.

2011

Institutional

Hedge Fund

Mutual Fund

Reinsurer

Catastrophe Fund

2012

34%

5%

5%5%

51%

44%

5%

10%

7%

34%

5 Aon Benfield Securities’ analyses of investor category and geographic attributes include only those transactions in which the firm participated


14

Figure 6: Investor by Country (Years ending June 30)6


General Market Trends

Third Quarter 2011In the third quarter of 2011, several non-U.S. hurricane bonds were brought to market, which were met by overwhelming support from investors due to their much-needed diversification benefits. Diversified risks included California earthquake, France windstorm and Japan typhoon.

Secondary trading in the third quarter remained active, despite its being an historically slower period for the market. July was a particularly strong month of trading for U.S. hurricane bonds following a lighter than expected second quarter issuance due to global catastrophe losses and model changes. These factors combined to cause sponsors to delay issuance.

Third quarter investor inflows were strong with both large and small investors continuing to benefit from the increased demand from pension funds and other asset managers for the ILS asset class.

Ratings agency Standard & Poor’s (S&P) downgraded 11 tranches of U.S. hurricane cat bonds in July due to the update of Risk Management Solutions Version 11 U.S. Hurricane Model (RMS v11). This followed the initial placing of 16 catastrophe bonds on CreditWatch negative in April 2011. The downgrades, however, did not spur trading in the affected bonds, which included several classes of Assurant, Inc.’s (Assurant) Ibis Re Ltd. as well as Flagstone Reassurance Suisse, S.A.’s (Flagstone RE) Montana Re Ltd. transactions.

In late August, Hurricane Irene peaked at a Category 3 storm and appeared to be a potential loss event for a number of catastrophe bonds. As the storm moved towards North Carolina, the largest impact was on the four outstanding Johnston Re Ltd. notes. Aon Benfield Securities’ trading desk took several orders for the notes, with pricing as low as 50 cents on the dollar before one of the series — Johnston Re Ltd. Series 2010-1 Class B — finally traded in the mid-70s.

2011

U.S.

Other

Bermuda

UK

Switzerland

2012

47%

7%

5%8%

33%

46%19%

5%

11%

19%

6 Aon Benfield Securities’ analyses of investor category and geographic attributes include only those transactions in which the firm participated. Geography is based on fund managers’ domiciles.

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Ultimately, Irene was downgraded to a Category 1 storm as it moved up the eastern seaboard. According to Property Claim Services (PCS), Irene caused $4.3 billion of insured damage7, mostly due to inland flooding and not nearly enough to impact any of the existing catastrophe bonds on risk. Pricing quickly rebounded as the storm subsided.

Fourth Quarter 2011Strong investor demand for diversifying risks continued into the fourth quarter of 2011, as demonstrated with the upsizing of Calypso Capital which also closed below marketed price guidance. This was consistent with the trend from the third quarter where diversifying bond issuances achieved similar results. As this demand continued, several investors realized a quick gain on the new issues by selling them well above par shortly after they closed. The diversification that these bonds provided prompted a number of investors to pay higher prices (i.e. assume lower spreads) than the original issuance levels.

Both Mariah Re bonds began the fourth quarter of 2011 trading at large discounts, as the record year for severe thunderstorm activity impacted aggregate retentions. Further loss development throughout the quarter led to a full recovery to American Family Mutual Insurance Company for both the Series 2010-1 and Series 2010-2 notes.

Both primary and secondary markets remained very active throughout the fourth quarter. In line with historical trends, the primary market remained the main catalyst for secondary trading. The secondary market was dominated by activity around short-dated notes, as investors sought to free-up capital for new transactions. Several investors also secured new mandates for fresh capital, which was used in the secondary market to source bonds. Although the anticipated heavy primary pipeline prompted many investors to budget for new issuances, there was no shortage of investors willing to sell bonds and rebalance portfolios for this new capital at the end of the fourth quarter.

The final transaction to come to the market in the fourth quarter was the $100 million Loma Reinsurance Ltd. Series 2011-2 (Loma Re) — the second issuance of the year for Argo. At this stage, investors had almost filled their appetite for higher expected loss transactions. As a result, the interest spread was revised upward from the original guidance to achieve the desired capacity.

First Quarter 2012The first quarter of 2012 began on a cautious note following the spread increase on Loma Re. Additionally, industry loss warranty (ILW) markets had re-priced materially, largely due to the elevated level of global natural catastrophes in 2011, which produced an estimated $107 billion in insured losses8. Gradually the market regained its footing through the successful closing of transactions within launch guidance.

Secondary prices were under selling pressure throughout the first quarter of 2012 as catastrophe bond investors took mark-to-market losses on many of their positions. Several large investors lowered their allocations to bonds in order to take advantage

7 Source: PCS Catastrophe Serial No. 59 - Final Estimate of Insured Property Damage, dated January 23, 20128 “Annual Global Climate and Catastrophe Report,” Impact Forecasting — 2011


16

of opportunities in other collateralized markets, exacerbating selling pressure even further. Although several small to mid-sized investors had cash inflows at the beginning of the year and deployed capital at higher prices, the market lacked significant depth and selling pressure from large bid lists overshadowed the market. The majority of investors focused on the primary issuance pipeline and only looked to add positions opportunistically in the secondary market.

Trading volumes in the secondary market where high throughout the first quarter of 2012 as the market experienced broad declines in pricing. U.S. hurricane and multi-peril bonds were the most affected and experienced price declines of over two percent on average (excluding short-dated transactions) with some of the more actively traded issues being Johnston Re Ltd. Series 2010-1 Class A and multiple classes of Compass Re Ltd. Series 2011-1.

The declines were also felt in other perils with Japan declining 1.30 percent and US Earthquake declining one percent with actively traded issues being Kizuna Re and Embarcadero Reinsurance Ltd. (Embarcadero Re) Series 2011-1. Europe windstorm bonds fared the best as price declines were only 0.30 percent with the most actively traded issue being Calypso Capital.

On March 20, a 7.4 magnitude earthquake struck Mexico. Although no bonds were triggered, a payout on MultiCat Mexico 2009-I Ltd. Class A, which covers earthquake risk on a parametric basis, was narrowly avoided. If the earthquake had occurred only a small distance to the north, the bond would have triggered a full recovery. Shortly after the earthquake, a small number of the notes traded at par, below Aon Benfield Securities’ previously marked price of 101.94. The trade, however, confirmed confidence from investors that the bonds would not suffer any loss of principal and investors breathed a sigh of relief following the loss activity in 2011.

Spreads continued to widen at the end of the first quarter as many deals priced towards the high end of, or above, launch guidance. Investors called up additional capital to meet the new issuance demand and further cash inflows were beginning to come into the market. The quarter closed on a high note as the market posted the highest level of issuance on record for a first quarter. The secondary market also appeared to be stabilizing.

Second Quarter 2012This stabilization continued into the second quarter of 2012 as pricing remained relatively flat throughout April. In May, however, strong investor demand drove price increases, which first impacted diversifying non-U.S. hurricane bonds. By June, the price increases had spread broadly across the market.

Early in the second quarter, capital inflows were strong as both small and large investors alike had excess capital to deploy. Nearly $2.1 billion of new issues closed while under $1.4 billion matured in the quarter. Since the additional $700 million in primary issuances was not enough to absorb the amount of new capital coming into the space, investors looked to acquire bonds in the secondary market. Trading volumes were very strong; however, there were insufficient bonds to meet the increased demand. The majority of investors were hesitant to sell positions for fear

17


of being unable to deploy the cash proceeds. By the end of the second quarter, some investors began to pay higher prices for bonds, rather than waiting on the sidelines with uninvested funds.

As expected, U.S. hurricane bonds dominated new issuance in the second quarter. Investors, however, received some diversification with Mitsui Sumitomo’s Akibare II Ltd., covering Japan typhoon. Investors were also able to diversify their portfolios within the U.S. hurricane risk bucket, as several regional deals came to market including:

• Louisiana-exposed Pelican Re;

• Florida-exposed Everglades Re Ltd. (Everglades Re); and

• Northeast-exposed Long Point Re III.

As we enter the third quarter of 2012, earlier capacity concerns appear to have eased. Given the excess supply of capital, upcoming transactions are likely to be rewarded with lower spreads. We expect the narrowing of spreads to continue through the hurricane season.

Outlook

Investor sophistication continues to increase as evidenced by the growing participation in private transactions as well as direct participation in the traditional reinsurance market. Sponsors and investors are both benefitting from these relationships as investors become long term capital providers.

While the outlook is for a healthy and growing ILS market, in the past year we witnessed a market that can quickly shift between an oversupply and undersupply of capital. Sponsors need confidence that they can renew expiring programs with minimal execution risk. Equally, investors need an indication of the forward pipeline in order to coordinate their capital inflows with primary issuances.

The visibility of ILS continues to increase, with many funds benefitting from recent and significant inflows into the market. Traditional asset managers have become more comfortable with the sector and continue to source new mandates. In the past year, we have seen many small-to-mid sized funds increase dramatically in size, to even double or triple their assets under management.

Large funds have also continued to enjoy success in capital raising. Additional pension consultants have started to research and support ILS as an asset class. This is expected to continue driving more investment into the sector. We believe capital inflows will continue to be strong in the face of, or perhaps due to, the challenging economic environment.


18

The Aon Benfield ILS IndicesDespite losses from severe weather events in 2011, the ILS markets consistently provided competitive returns versus similarly rated corporate securities. At June 30, 2012, all Aon Benfield ILS Indices posted gains during the 12-month period. The U.S. Hurricane and U.S. Earthquake Bond indices returned 7.60 percent and 4.38 percent respectively, and the All Bond and BB rated Bond indices posted returns of 7.40 percent and 7.86 percent, respectively (Table 5), highlighting the importance of a balanced portfolio.

During the 12-month period, the All Bond index was impacted by a hardening of rates, which reduced returns by 1.05 percent. By mid-April 2012 pricing began to rebound and this trend is forecast to continue in the absence of severe catastrophes. Returns are also expected to move closer to their ten year annual average rates.

Table 5: Aon Benfield ILS Indices9

Index Title Index Value Return for Annual Period Ending June 30

Avg Annual Return

Aon Benfield ILS Indices 6/30/12 6/30/11 6/30/10 2012 2011 2002-2012

All Bond Bloomberg Ticker (AONCILS) 252.50 235.09 220.88 7.40% 6.43% 8.34%

BB-rated Bond Bloomberg Ticker (AONCBB) 239.33 221.89 211.90 7.86% 4.72% 7.85%

U.S. Hurricane Bond Bloomberg Ticker (AONCUSHU) 251.32 233.56 213.00 7.60% 9.66% 8.44%

U.S. Earthquake Bond Bloomberg Ticker (AONCUSEQ) 210.93 202.08 188.48 4.38% 7.21% 6.45%

Benchmarks

3-5 Year U.S. Treasury Notes 325.19 310.87 300.26 4.61% 3.53% 4.95%

3-Year U.S. Corporate BB+ 429.97 404.60 376.63 6.27% 7.43% 7.80%

S&P 500 1362.16 1320.64 1030.71 3.14% 28.13% 3.24%

ABS 3-5 Year, Fixed Rate 357.10 337.20 317.00 5.90% 6.37% 4.48%

CMBS Fixed Rate 3-5 Year 278.20 256.63 235.72 8.41% 8.87% 6.98%

9 The Aon Benfield ILS Indices are calculated by Thomson Reuters using month-end price data provided by Aon Benfield Securities.

The 3-5 Year US Treasury Note Index is calculated by Bloomberg and simulates the performance of US Treasury notes with maturities ranging from three to five years.

The 3-Year US Corporate BB Index is calculated by Bloomberg and simulates the performance of corporate bonds rated BB on a zero coupon basis. Zero coupon yields are derived by stripping the par coupon curve. The maturities of the BB rated bonds in this index are three years.

The S&P 500 is Standard & Poor's broad-based equity index representing the performance of a broad sample of 500 leading companies in leading industries. The S&P 500 Index represents price performance only, and does not include dividend reinvestments or advisory and trading costs.

The ABS 3-5 Year, Fixed Rate Index is calculated by Bank of America Merrill Lynch (BAML) and tracks the performance of US dollar denominated investment grade fixed rate asset backed securities publicly issued in the U.S. domestic market with terms ranging from three to five years. Qualifying securities must have an investment grade rating, a fixed rate coupon, at least one year remaining term to final stated maturity, a fixed coupon schedule, and an original deal size for the collateral group of at least $250 million.

The CMBS Fixed Rate 3-5 Year Index is calculated by BAML and tracks the performance of US dollar denominated investment grade fixed rate commercial mortgage backed securities publicly issued in the U.S. domestic market with terms ranging from three to five years. Qualifying securities must have an investment grade rating, at least one year remaining term to final maturity, a fixed coupon schedule, and an original deal size for the collateral group of at least $250 million. The performance of an index will vary based on the characteristics of, and risks inherent in, each of the various securities which comprise the index. As such, the relative performance of an index is likely to vary, often substantially, over time. Investors cannot invest directly in indices.

While the information in this table has been compiled from sources believed to be accurate, Aon Benfield Securities makes no representation or warranty as to the accuracy of such information, as such information should not be relied upon in making investment or other decisions.

Past performance is no guarantee of future results.

19


The ten year average annual return of the Aon Benfield All bond index was also superior to other benchmark returns (Figure 7), again demonstrating the value of a diversified book of pure insurance risks.

More pension funds and consultants, as well as institutional asset managers, are beginning to take note, bringing increased visibility to ILS as an alternative asset class.

Figure 7: Aon Benfield All Bond Indices versus Financial Benchmarks

Source: Aon Benfield Securities, Bloomberg

Figure 8: Historical Performance of Aon Benfield ILS Indices


All Bond

3 Year U.S.Corporate BB+

ABS 3-5 Yrs,Fixed Rate

CMBS FixedRate 3-5 Yrs

S&P 500

2010 2011 201220092008200720062005200420032002

Tota

l Ret

urn

-40%

-20%

0%

20%

40%

60%

80%

110%

120%

140%

2010 2011 201220092008200720062005200420032002

Tota

l Ret

urn

All Bond

U.S. Hurricane

U.S. EQ

BB-rated

0%

20%

40%

60%

80%

100%

120%

140%


20

Figure 9: Aon Benfield ILS Price Return Index


The investment case for ILS remained strong during the period under review, and as a result, new investors continued to show interest in the space, while a number of existing investors sought to dedicate additional capital to the market.

Tota

l Ret

urn

ILS PriceReturn Index

85

89

93

97

101

105

2010 2011 20122009200820072006 200520042003200220012000

21


ILS-Related Markets

Sidecar Market Review

Sidecars continued to play a role in the ILS market in the 12 months ending June 30, 2012, as capital market investors looked for diversifying risks in the sector. New capital continued to be secured despite the lack of rate increases.

While the reinsurance market enjoyed adequate capacity overall, dislocation in the retrocessional market from catastrophe events in 2011, catastrophe model changes, and regulatory changes, continued into 2012. Sponsors and investors capitalized on the opportunity presented by the retrenchment in the retrocessional market, resulting in the completion of four sidecars in 2011, with another eight (inclusive of additional equity raises) were completed during the first half of 2012.

Despite significant catastrophe losses in 2011, the need for fresh capital was not as severe as it was following the events of 2004 and 2005 (Figure 10).

Figure 10: Historical Sidecar Issuance


Due to stronger industry capitalization, improved risk modeling, enhanced risk management and lower risk tolerance, the insurance and reinsurance markets proved more resilient. Since the need for fresh capital was reduced, the 2011 catastrophe events did not lead to new company formations. As a result, collateralized capacity from sidecars became much more prominent in the retrocessional market, as demonstrated in Figure 11.

0

1,000

2,000

3,000

4,000

5,000

6,000

7,000

8,000

H1 201220112008-20092005-20071999-2001

Rated ReinsuranceCapacity


22

Figure 11: Type of Transacted Retrocession Capacity


Outlook

If the U.S. hurricane season is benign in 2012, we are unlikely to see significant new sidecar activity for the remainder of the year. However, many retro buyers rely on existing sidecars and funds for risk transfer capacity. Therefore, we are likely to see many of the existing vehicles continue to raise capital going forward.

Table 6: Sidecar Insurance in 2011 and 2012 (Year ending June 30)

Sponsor / Manager Vehicle / Type Inception / Close Size (millions)

AlterraNew Point Re IV Jul-11 $225.0

New Point Re V Jun-12 $210.0

Catlin10

SPS 2088 Jan-12 £50.0

SPS 6111 Jan-12 £60.0

SPS 6112 Jan-12 £27.0

LancashireAccordion Re Jul-11 $250.0

— Equity raise Apr-12 $75.0

Renaissance Re

DaVinci Re - Equity raise Jun-11 $100.0

Upsilon Re Jan-12 $73.7

Timicuan Re III Jun-12 $55.0

Validus11

AlphaCat Re 2011 May-11 $180.0

— Equity raise Dec-11 $71.0

— Equity raise (net of Validus’ investment reduction) Feb-12 $39.9

PacRe Mar-12 $500.0

AlphaCat Re 2012 Jun-12 $70.0

Total $2,061.8


0%

20%

40%

60%

80%

100%

2011201020092005/20072003/20042001/2002


Non-RatedCollateralized Capacity

10 Quota share of Catlin’s Lloyds operation, Syndicate 2003. Funds raised from China Re, Lloyd’s names and Everest Re, for SPS 2088, SPS 6111 and SPS 6112, respectively. Converted at £1 = $1.55 as of January 1, 2012

11 Source: Validus Holdings SEC filings. AlphaCat Re 2011 total size $290.9 million, after reduction in Validus’ investment.

23


Industry Loss Warranty (ILW) Market Review

ILW trading in the first half of 2012 remained strong as rating levels were commensurate with those achieved in 2011, driven by the active international loss environment. More than $100 billion of industry losses were recorded, including earthquakes in New Zealand and Japan, unprecedented tornado activity in the U.S. and devastating flooding in Thailand.

Meanwhile, the launch of RMS v11 covering U.S. hurricane risk had a dramatic impact on the near-term expected loss calculations for U.S. hurricane risks. This had an immediate effect on the pricing approach generally employed in the market.

Typically, volumes traded in the ILW market are directly proportional to the level of affordable supply in the traditional retrocessional market. Despite the above factors affecting both markets, traditional retrocessional capital remained consistent. Capital shortages arising from the 2011 loss activity were absorbed by new entrants who wanted to take advantage of the hardening market and improved terms and conditions. As a result, towards the end of the second quarter of 2012, a year-on-year marked reduction in ILW buying appetite was observed. Factors contributing to this included the relatively benign 2012 loss environment, reduced ILW budgets due to the availability of competitive traditional retrocessional capacity and the moderate increases on inwards reinsurance business.

In the third quarter, the ILW market historically hardens due to the U.S. and, in particular, Florida renewal season. The contrast, however, between continued growth in supply of ILW capacity and the reduction in demand resulted in a reduction in ILW pricing throughout the third quarter. Investors looked to deploy an influx of new capacity and collateralized markets increased their appetite for the space. U.S. cedents also purchased less catastrophe protection than expected following the launch of RMS v11.

Aon Benfield estimates that in the absence of a major catastrophe event over the 2012 hurricane season, the annual traded volume of ILWs will be significantly lower than initial market expectations. The continued flow of capacity from a variety of sources will continue to cause downward pressure on pricing and present buyers with an opportunistic trading environment, in particular towards year-end products. An interesting product of the current oversupply of capacity is the potential for increased ‘live cat’ trading during the U.S. hurricane season.

In relative terms, the market has observed low international trading volumes covering triggers such as Europe windstorms, Japan typhoons and Japan earthquakes. However, it is expected that volumes for these risks will increase in the fourth quarter of 2012 as buyers seek to take advantage of the competitive pricing environment.


24

Collateralized Reinsurance Market Overview

The collateralized reinsurance market continues to expand as new capital enters the market through new companies, ILS funds and non-traditional investors. Of note is that this capacity has come into the market on relatively soft U.S. pricing and following the second worst year as regards global insurance losses.

Newer index products, such as Index Non-indemnity Custom Reinsurance (INCR) contracts, have made significant progress in the market, with more than $2 billion overall placed. Average limits of $10–$200 million have been placed across the five peak perils. The products are structured for recoveries based on an index of industry losses. This facilitates pricing that is not loaded for underwriting factors. Basis risk, inherent in all non-indemnity covers, can also be mitigated relative to ILWs, by utilizing a more granular structure aligned to the cedent’s own portfolio and risk management constraints. The need for preparation and disclosure of underwriting information is obviated, which also creates greater flexibility to achieve optimum timing around placement. Other notable features include:

• Reduced frictional costs relative to larger, syndicated transactions;

• Single or multi-year coverage for residential, commercial, auto, workers’ compensation and agriculture risks; and

• Potential for significant price discounts relative to traditional rates on line.

Outlook

We believe the collateralized reinsurance market will continue to grow as capital inflows feed ILS funds and the list of new hedge fund backed vehicles expands.

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U.S. PerilsThe year ending June 30, 2012 was significant for U.S. perils as it demonstrated a continually evolving market. Firstly, the number of new sponsors more than doubled from previous years with six new cedents securing capacity from the cat bond market. Secondly, the amount of indemnity issuance increased, assisted by both new sponsors and several repeat sponsors successfully moving from indexed to ultimate net loss coverage. In addition, investors benefited from enhanced transparency across both exposure and modeling from many transactions, as the ILS market took a step closer to the disclosures provided in the traditional reinsurance markets.

Table 7: Issuance for U.S. Perils - July 1, 2011 to December 31, 2011

Issuance Date Issue Series Class Perils Issue Size

(millions) Trigger

Aug-11 Embarcadero Reinsurance Ltd. Series 2011-I Class A CAL EQ $150.0 Indemnity

Oct-11 Queen Street IV Capital Limited US HU, EU Wind $100.0 Industry Index

Nov-11 Successor X Ltd. Series 2011-3Class V-F4 US HU $80.0

Industry IndexClass V-X4 US HU, EU Wind $50.0

Nov-11 Residential Reinsurance 2011 Limited Series 2011-IIClass 1 US HU, EQ, ST,

WS, WF

$100.0 Indemnity

Class 2 $50.0

Dec-11 Compass Re Ltd. Series 2011-1

Class 1

US HU, EQ

$75.0

Industry IndexClass 2 $250.0

Class 3 $250.0

Dec-11 Golden State Re Ltd. Series 2011-1 US EQ $200.0 Modeled Loss

Dec-11 Atlas VI Capital Limited Series 2011-1Class A

US HU, EQ$125.0

Industry IndexClass B $145.0

Dec-11 Tramline Re Ltd. Series 2011-1 Class A US HU, EQ, EU Wind $150.0 Industry Index

Dec-11 Loma Reinsurance Ltd. Series 2011-2 Class A US HU, EQ $100.0 Industry Index

Total $1,825.0

Source: Aon Benfield Securities Legend CAL – California EQ – Earthquake EU – Europe HU – Hurricane

ST – Severe Thunderstorm US – United States WF – Wild Fire WS – Wind Storm


26

Nine transactions covering U.S. perils closed in the second half of 2011. The CEA became a direct sponsor for the first time, issuing Embarcadero Re Series 2011-I, which provides $150 million in coverage on an indemnity basis. Following the success of this transaction, the CEA returned to the market in February 2012 to secure an additional $150 million in coverage.

Repeat sponsor Chartis returned to the cat bond market with Compass Re Ltd., providing coverage against U.S. hurricanes and earthquakes. Investors responded very strongly to the second event aggregate tranches allowing Chartis to secure a total of $575 million in capacity.

The State Fund sponsored its first transaction in December 2011. The modeled loss transaction provides coverage for workers’ compensation losses arising from earthquakes. Strong investor demand allowed the State Fund to successfully upsize the transaction to $200 million and still close below the marketed price guidance.

The second new sponsor to the market was Amlin with Tramline Re Ltd. The transaction provides Amlin with coverage against U.S. hurricanes and earthquakes on an industry index basis. The $150 million transaction closed below marketed price guidance, with a signifcant increase from launch size.

The majority of transactions during the second half of 2011 closed within or even below price guidance. The last issuance of the year, Loma Re, however, needed a significant spread increase in order to achieve the targeted $100 million in capacity. This was partly driven by the fact that investors’ appetite for higher expected loss transactions became filled. The re-pricing added significant market uncertainty for both investors and sponsors. As a result, new issuances moved towards new market standards. This included structural changes, such as the use of independent directors, and increased disclosures across both underlying exposures and modeling. During this period of uncertainty, longer and more fluid marketing periods were also helpful to allow investors more time to absorb the increased information provided.

27


Table 8: Issuance for U.S. Perils - January 1, 2012 to June 30, 2012

Issuance Date Issue Series Class Perils Issue Size

(millions) Trigger

Jan-12 Ibis Re II Ltd. Series 2012-1Class A

US HU$100.0

Industry IndexClass B $30.0

Feb-12 Embarcadero Reinsurance Ltd. Series 2012-I Class A CAL EQ $150.0 Indemnity

Feb-12 Successor X Ltd. Series 2012-1Class V-AA3 US HU, EU Wind $23.0

Industry IndexClass V-D3 US HU $40.0

Feb-12 Queen Street V Re Limited US HU, EU Wind $75.0 Industry Index

Mar-12 Mystic Re III Ltd. Series 2012-1Class A US HU, EQ (ex CAL) $100.0

IndemnityClass B US HU, EQ $175.0

Mar-12 East Lane Re V Ltd. Series 2012Class A

Southeast HU, ST$75.0

IndemnityClass B $75.0

Mar-12 Combine Re Ltd.

Class A

US HU, EQ, ST, WS

$100.0

IndemnityClass B $50.0

Class C $50.0

Apr-12 Blue Danube Ltd. Series 2012-1Class A US, CB, MX HU, US,

CAN EQ

$120.0 Industry Index

Class B $120.0

Apr-12 Pelican Re Ltd. Series 2012-1 Class A LA HU $125.0 Indemnity

Apr-12 Everglades Re Ltd. Series 2012-1 Class A FL HU $750.0 Indemnity

May-12 Mythen Ltd. Series 2012-1

Class A US HU $50.0

Industry IndexClass E US HU $100.0

Class H US HU, EU Wind $250.0

May-12 Residential Reinsurance 2012 Limited Series 2012-I

Class 3US HU, EQ, ST, WS,

CAL WF

$50.0

IndemnityClass 5 $110.0

Class 7 $40.0

Jun-12 Long Point Re III Ltd. Series 2012-1 Class A Northeast HU $250.0 Indemnity

Total $3,008.0


Thirteen transactions covering U.S. perils closed during the first half of 2012, totaling just over $3.0 billion. As the ILS market continues to grow its cedent base, sponsors are increasingly realizing the value of including some form of ILS placement in their core program.

COUNTRY Mutual & NC Farm Bureau collaborated to issue their first ILS transaction together, Combine Re Ltd. This $200 million indemnity issuance featured three classes of notes. While Classes A and C closed within spread guidance, the Class B notes closed well above the high end of their marketed range.

Both Louisiana Citizens and Florida Citizens entered the market with successful indemnity transactions, Pelican Re and Everglades Re, respectively. Louisiana Citizens elected to upsize Pelican Re to $125 million due to the favorable pricing. Investors also responded well to the spreads offered for Everglades Re, allowing Florida Citizens to achieve significant upsize to $750 million in coverage.

Legend CAL – CaliforniaCAN – CanadaCB – CaribbeanEQ – EarthquakeEU – EuropeFL – FloridaHU – Hurricane

LA – LouisianaMX – MexicoST – Severe ThunderstormUS – United StatesWF – Wild FireWS – Wind Storm


28

Both Liberty Mutual and Travelers successfully sponsored industry index transactions prior to 2012. In March 2012, Liberty Mutual transitioned to indemnity coverage with Mystic Re III. The transaction was well received by investors and upsized to $275 million within marketed price guidance. Investors responded well to the level of disclosure in the transaction across both covered business and modeling output.

Following Mystic Re III’s success, Travelers also successfully switched to indemnity coverage with Long Point Re III. Similar to Mystic Re III, Long Point Re III was well received by investors, upsizing to $250 million and closing below marketed spread guidance.

Overall, indemnity issuance increased during the 12-month period, representing 42 percent of the total issuance compared to 37 percent for the prior 12 months. In addition to these first time sponsors, repeat indemnity sponsors USAA and Chubb Group also successfully placed transactions. We expect the trend towards indemnity issuance will continue.

Unprecedented Loss Activity

2011 was one of the most active tornado years on record in the U.S. The Storm Prediction Center (SPC) in Norman, Oklahoma counted approximately 1,718 tornadoes through late-December, compared to 1,282 in 2010, 1,156 in 2009 and a 25-year average of 1,203. 2011’s count was 43 percent above the 25-year average. There were six EF-5 tornadoes in 2011, tying 1974 for most F5 or EF-5 tornadoes on record in a single year. 2011 became the first year since 1998 that the U.S. saw more than one EF-5 tornado touchdown.

A total of 59 killer tornadoes (tornadoes that caused fatalities) occurred across the United States in 2011. This total represents a substantial increase from 2010, when 21 were recorded, and an even greater disparity when compared to the nine recorded in 2009. The killer tornadoes of 2011 caused 553 fatalities, which is tremendously higher than the 25-year average of approximately 75. The number of tornado-related fatalities in 2011 marks the deadliest year since official records began being kept by the National Weather Service in 1950, and tied for the second deadliest year overall since unofficial tallies began in 1875. The vast majority of the fatalities occurred in the months of April and May (540), following a series of historic tornado outbreaks that ravaged central and eastern sections of the country.

In a year with dozens of killer tornadoes, the single-deadliest came in Joplin, Missouri on May 22nd. At least 162 fatalities were blamed directly and indirectly on the EF-5 twister as winds reached 250 mph (405 kph) at their peak, causing catastrophic damage throughout the city. Joplin was the deadliest U.S. tornado since 1947 and also the costliest single tornado in world history. The next deadliest day in 2011 came on April 27th when no fewer than eight tornadoes left a minimum

29


of 10 people dead. In Alabama, the Hackleburg EF-5 tornado, with 210 mph (340 kph) winds, killed 72 people over a 106.9-mile (172.0-kilometer) path that covered five counties; while the Tuscaloosa/Birmingham EF-4 twister with 190 mph (305 kph) winds killed 64.12

Figure 12: Historical U.S. Tornado Activity

Source: Impact Forecasting LLC

During 2011, the ILS market suffered losses in excess of $500 million, the highest catastrophe loss in a calendar year that the market has ever experienced. In March 2011, the 9.0 magnitude Great East Japan Earthquake caused a full loss of $300 million to Muteki. Later in 2011, one of the costliest severe convective storm seasons in history resulted in full recoveries for the Mariah Re transactions. While these losses were unsettling and caused some brief market disruptions, the sheer magnitude of these events was so great that an absence of ILS recoveries would have been surprising.

Table 9: Catastrophe Bonds Impacted by Recent Events

Cause of Loss Issue Size (millions) Details

Great East Japan Earthquake Muteki Ltd. Series 2008-I $300.0 Full recovery

Great East Japan Earthquake Vega Capital Ltd. Series 2010-1 Class D $42.6 $16 million loss to reserve account

U.S. Severe Thunderstorms Mariah Re Ltd. Series 2010-2 $100.0 Full recovery

U.S. Severe Thunderstorms Mariah Re Ltd. Series 2010-1 $100.0 Full recovery


0

500

1,000

1,500

2,000

2,500

3,000

3,500

Normal

Tornadoes

0

100

200

300

400

500

600

Normal

Deaths

19871988

19891990

19911992

19931994

19951996

19971998

19992000

20012002

20032004

20052006

20072008

20092010

2011

12 Source: “Annual Global Climate and Catastrophe Report” – Impact Forecasting - 2011


30

Contrasting Views of U.S. Hurricane Risk

The release of RMS v11 in February 2011 proved to be another important learning step for the ILS market. Significant increases in modeled U.S. hurricane loss estimates were seen across the (re)insurance industry and RMS modeled probabilities for U.S. hurricane cat bonds rose dramatically. As a result, a number of RMS bonds were downgraded by S&P and the role of risk assessor for new bond issuances covering U.S. hurricanes has been dominated by AIR since the model release.

RMS contends that the advances in science incorporated in latest model reflect an enhanced view of the risk and has spent the last 18 months explaining its new assumptions to market participants in both the traditional and capital markets. Recently the company launched a new initiative which has been coined “Resilient Risk Management”. The strategy is in response to increased concern that companies can be exposed to model changes just as much as natural disasters. It aims to equip users with a deeper understanding of the uncertainties associated with catastrophe models.

Within the ILS market, two recent changes have been announced by RMS, as a part of this resilience strategy. First, the company has elected to use its long term rates (LTR) as the reference view of risk in offering circulars going forward — with the current medium term rates (MTR) presented as a sensitivity analysis. This change reverts to the pre-2006 view that the long term historical baseline is the more appropriate view on which to base transaction structures (e.g. resets) and as a basis for multi-year pricing and risk management decisions.

Figure 13: Long Term Rate vs. Medium Term Rate Expected Loss to Redemption for all Outstanding Cat Bonds13

Med

ium

Ter

m R

ate

Long Term Rate0% 10% 20% 30% 40% 50%

0%

10%

20%

30%

40%

50%

13 Source: RMS Miu

31


The explanation given for this is that the MTR forecast is volatile, and the results are expected to move, sometimes significantly, from year to year. RMS suggest that the MTR results are still an important consideration for sponsors and investors alike, but that the LTR results will provide a more stable base for ILS risk transfer purposes.

The second announcement by RMS is the introduction of an additional storm surge leakage sensitivity — a ten percent ground-up surge assumption which will allow direct comparison against the same approach used by AIR in recent risk analyses. This will serve as an interim step before the release of updated RMS surge leakage functions in 2013. Following the receipt of significant market feedback, the company anticipates that these updated functions will lead to a reduction in modeled storm surge leakage levels.

An important consideration for all market participants is how the approaches of each modeling firm differ and recent announcements by RMS should make this easier. Both RMS and AIR will now provide a long term historical average rate set, and both will provide a sensitivity case to represent the potential for elevated hurricane activity. However, the implementation of these sensitivities is quite different.

The AIR approach seeks to identify past years in which the sea surface temperatures were elevated, and use these years to calibrate a “warm sea surface temperature” (WSST) rate set. This analysis is therefore conditioned upon the use of historical data — no climactic conditions outside those seen in the past are considered.

In contrast, the RMS approach is to forecast a medium term view of risk. The modeling firm employs analyses of current and predicted sea surface temperatures to establish a forecast for hurricane activity over the next few years.


32

Europe The 12-month period ending June 30, 2012 saw strong growth in the number of deals issued by European sponsors. In total, 12 cat bonds closed, comparing to eight in the prior 12-month period. Repeat sponsors, Munich Re and Swiss Re, continue to be regular market participants. However, one new European sponsor, Amlin, also entered the ILS market in December 2011.

Other notable deals included the Atlas VI transaction on behalf of SCOR, the largest standalone deal for a European sponsor in the last 12 months. The $340 million transaction covered SCOR’s peak exposures across the U.S. and Europe.

Corporate sponsor ERDF also returned to the market with their second cat bond. The €150 million Pylon II provided ERDF coverage against France windstorms on a parametric index basis.

The majority of deals are multi-peril in nature with only five tranches out of a total of 20 covering Europe windstorm only. These five Europe windstorm only tranches over the last 12 months can be seen in the table below:

Table 10: Catastrophe Bond Transactions Covering Europe Exclusively


Queen Street III Capital Limited Munich Re EU Wind $150.0 Industry Index MMF

Pylon II Capital LimitedClass A Electricité Réseau

Distribution France FR Wind€65.014

Parametric Index Tri-Party RepoClass B €85.0

Calypso Capital Limited Series 2011-1 Class A AXA EU Wind €180.015 Industry Index EBRD Notes

Atlas VI Capital Limited Series 2011-2 Class A SCOR EU Wind €50.0 Industry Index EBRD Notes

$676.7


During the same period, a total of $638 million matured resulting in a small net increase in Europe windstorm transactions outstanding in the market.

14 Converted at €1 = $1.4228 as of August 11, 201115 Converted at €1 = $1.37 as of October 20, 2011

33


Transaction Review

In July 2011, Munich Re obtained $150 million of Europe windstorm capacity through Queen Street III. The transaction, which utilized a PERILS trigger was upsized and closed below the marketed price guidance.

Following closely behind in August 2011, ERDF, the subsidiary of the French energy company, came to market with their second cat bond issuance. The transaction provides ERDF with €150 million of protection over five years against France windstorms. Recoveries are based on a parametric trigger utilizing windspeed data from the reporting agency METNEXT, a subsidiary of Météo France. The deal was split into two classes and both priced below their marketed price guidance.

The €180 million Calypso Capital transaction for repeat sponsor AXA was the first deal to close in the fourth quarter of 2011. The PERILS based transaction again received strong support from investors, which enabled the deal to be upsized and close below the initial price guidance. The deal utilized a European Bank for Reconstruction and Development (EBRD) medium term note for collateral, so investors received a Euribor-based investment return in addition to the interest spread.

Finally in December 2011, SCOR sponsored a Europe windstorm transaction from the Atlas VI Capital program. The Series 2011-2 notes provide SCOR with €50million of annual aggregate protection through a PERILS trigger. This was the third deal since the third quarter of 2011 to use the EBRD medium term note structure as a collateral solution.

Collateral

Suitable collateral solutions for Euro-denominated transactions have become a more common discussion point in the last twelve months. Continued volatility and uncertainty around the breakup of the Eurozone led to a “flight to quality” by many investors to Germany and the United Kingdom. As a result, the yield of government securities in these countries hit record lows, with some bonds now in negative yield territory. Many investors are now focused solely on capital preservation rather than yield.

The impact on the cat bond market means that Euro-denominated government money market funds are no longer a viable option. Many of the big funds, including JP Morgan, Blackrock and Goldman Sachs, have recently restricted access to a number of their high quality funds to protect existing investors from yield dilutions.

Tri-party repo structures are now less common as investors are more reluctant to take on counterparty credit risk. In fact, only one transaction in the last twelve months utilized a tri-party repo as a collateral solution.


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Investors and sponsors both maintain confidence in the medium term note structures that have been used successfully on many transactions since 2009. The EBRD is the most prominent issuer for Euro-denominated transactions; however, the subsequent yield for the EBRD is now close to zero. This is a result of the rate cuts by the European Central Bank in July 2012 as well as the funding rate for EBRD medium term notes increasing. Despite this, investors’ preferences for collateral continue to be focused on minimizing credit risk.

Europe Windstorm Modeling

EQECAT and AIR continued to dominate the modeling of Europe windstorm only transactions, with no transactions utilizing RMS since the release of their updated model in July 2011. There has been mixed feedback since the release of the model. A number of sponsors experienced significant increases in their overall modeled losses due to the changes. In July 2012, RMS released an update (Version 11 Service Pack 3) which took into account several areas of concern.

The update includes the addition of vulnerability sensitivity tests enabling users to make “low” and “high” vulnerability selections. The vulnerability uncertainty is influenced by insights into both the quality and quantity of the underlying data used to calibrate the damage curves in the vulnerability module. From a cat bond perspective, however, the inclusion of vulnerability tests does not alter the default RMS view of Europe windstorm risk.

Other changes also include a correction to windspeeds across the offshore wind farm domains and to the high hazard at CRESTA boundaries in the high-frequency (summer thunderstorm) model.

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Asia / Pacific Region

Overview

In 2011, losses arising from natural catastrophes in the Asia Pacific region accounted for around 80 percent of total economic losses worldwide, and around 60 percent of insured losses worldwide (Table 11)16. The Great East Japan Earthquake and subsequent tsunami represented the largest economic loss from a catastrophe occurring between 1980 and 2011, while the flooding in Thailand was the fifth largest in the same period (Table 12)17. Other devastating natural disasters during 2011 included flooding in Australia and two powerful earthquakes in New Zealand.

Table 11: Top 10 Insured Loss Events in 2011

Event Date Event Name or Type Event Location No. of

DeathsStructures/

Claims

Economic Loss Estimates (USD billion)

Insured Loss Events

(USD billion)

March 11 Earthquake Japan 15,844 1,100,000 210.00 35.00

February 22 Earthquake New Zealand 182 156,313 30.00* 13.50

July 25-November 30 Flooding Thailand 790 4,000,000 45.00 10.78

April 22-28 Severe Weather US (Southeast, Plains, Midwest) 344 700,000 10.20 7.30

May 21-27 Severe Weather US (Plains, Midwest, Southeast) 181 750,000 9.10 6.75

August 22-30 HU Irene US Bahamas, Caribbean Islands 46 835,000 8.55 5.00

December 21- January 14 Flooding Australia (Queensland) 36 58,463 30.00 2.42

April 3-5 Severe Weather US (Midwest, Southeast, Plains) 9 225,000 2.80 2.00

June 13 Earthquake New Zealand 1 53,963 30.00* 1.80

April 14-16 Severe Weather US (Plains, Midwest, Southeast) 48 150,000 2.50 1.70

All Other Events 86.69 20.90

Totals 464.84 billion 107.15

* The NZ government has only released a combined USD30 billion economic loss total for the September 2010,

February 2011 and June 2011 EQ events

Table 12: Top 10 Economic Loss Events (1980 – 2011)

Date Event Country/Region Economic Loss (USD millions)

Insured Loss (USD millions) Fatalities

March 11, 2011 Earthquake/Tsunami Japan 210,000 35,000 15,844

August 25-30, 2005 Hurricane Katrina US 125,000 66,900 1,833

January 17, 1995 Earthquake Japan 102,500 3,075 6,434

May 12, 2008 Earthquake China 85,000 425 87,000

July-November 2011 Flooding Thailand 45,000 10,789 790

January 17, 1994 Earthquake US 41,800 15,300 57

September 6-14, 2008 Hurricane Ike US; Caribbean Islands 37,600 15,600 195

May-September, 1998 Flooding China 32,000 1,000 3,656

February 27, 1998 Earthquake/Tsunami Chile 30,000 8,500 525

December 2010-January 2011 Flooding Australia (Queensland) 30,000 2,420 36

Sources: Impact Forecasting, Insurance Information Institute, National Hurricane Center, National Climatic Data Center, USGS

Please note that the provided loss figures are the actual losses at the time of occurrence and have not been adjusted for inflation.

16 Source: “Annual Global Climate and Catastrophe Report,” Impact Forecasting — 201117 Ibid


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Update on the Flooding in Thailand

The 2011 Thailand floods, the worst for the country in at least five decades, killed more than 884 people and left millions of residents homeless or displaced. Economic losses reached THB1.4 trillion ($44.4 billion)18 according to World Bank estimates – the fifth highest in modern history for a natural disaster event. The most extensive flooding occurred between late July and early December, impacting 65 of 77 provinces. Many primary sectors in the Thai economy were significantly affected, resulting in disruption to the global supply chain for major industries such as automobiles and electronics, which lasted through the first half of 2012 and produced an insurance losses of THB480 billion ($15.2 billion)19,20.

Reinsurers have since increased their risk rating of Thailand, which could lead to significant changes in flood insurance policies — including increased pricing and decreased levels of coverage. The Thai government enacted a broad response that included a new natural disaster fund to help insurers in the event of a similar magnitude natural disaster21. The flooding, which affected both local insurers and Japanese insurers, has driven increased interest in ILS market capacity.

Updates of the Great East Japan Earthquake22

A year after the Great East Japan Earthquake, the Japanese government estimated total economic losses at JPY16.3 trillion ($204.2 billion)23, making it the costliest, single economic natural disaster ever recorded. Impact Forecasting estimates insured losses (including those covered by the Japan Earthquake Reinsurance Co. Ltd) are between JPY2.3 to 3.1 trillion ($28.8 to 38.8 billion)24.

The Japanese government estimates that the reconstruction period will last ten years with the first five years representing the most concentrated effort. The first and second supplemental budgets, which totaled around JPY6 trillion ($75.2 billion)25, were geared towards emergency relief and recovery. Around 97 percent of third supplementary budget approved in November 2011, which totaled around JPY12.1 trillion ($151.6 billion)26 is allocated towards reconstruction.

18 Converted at 1 THB = $0.0317 as of June 30, 201219 Ibid20 Source: Bangkok Post21 Source: “Aon Benfield Reinsurance Market Outlook April 2012”22 Source: “Aon Benfield Reinsurance Market Outlook April 2012”23 Converted at 1 ¥ = $0.0125 as of June 30, 201224 Ibid25 Ibid26 Ibid

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April 1 Renewals and Catastrophe Risk Management

The Thailand floods, which began in the second quarter of 2011, caused significant losses for Japanese insurers. Combined with losses from the Great East Japan Earthquake and tsunami, challenging April 1 renewals were anticipated by Japanese insurers in 2012. Pre-renewal discussions for Japan earthquake programs focused on whether insurers could renew pro-rata treaties at acceptable terms and conditions. Some Japanese insurers decided to broaden their capacity reach by purchasing collateralized reinsurance that could be aligned with traditional reinsurance layers. With some price increases, however, Japanese insurers continued to successfully secure reinsurance capacity for April 1 renewals. Capacity also continued to be available for earthquake pro-rata treaties, with modest reductions in event limits and ceding commissions27.

Insurance companies in Japan remained financially stable following the Great East Japan Earthquake. A number of companies actually experienced greater insured losses from the Thailand floods. Japanese insurers posted record highs for insurance payments in 2011, which totaled ¥5.5 trillion28 ($68.9 billion), an increase of 27.5 percent from a year prior29. Reinsurance coverage and pre-event catastrophe reserves, however, helped minimized volatility around earnings and capital. As a result, some Japanese insurers are beginning to reconsider their current risk management practices.

TMNF entered into a strategic partnership contract with RMS to share data and expertise on natural catastrophe risks, which both firms have uniquely accumulated over many years. The partnership is designed to help both TMNF and RMS improve their catastrophe modeling efforts. It will also help TMNF optimize its underwriting and pricing models. TMNF will gain access to international data and RMS’s modeling expertise; RMS will be given access to TMNF’s domestic data and claims assessment methodologies30.

Meanwhile, MS&AD Insurance Group Holdings, Inc. and NKSJ Holdings, Inc. are also strengthening their catastrophe risk management practices, particularly with aspect to Asia exposures.

27 Source: “Aon Benfield Reinsurance Market Outlook April 2012”28 Converted at 1 ¥ = $0.0125 as of June 30, 201229 Source: Sankei Business Eye article July 1630 Source: Nikkei article July 11


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Revision of Earthquake Insurance System

Japanese insurers revised premium rates upwards for commercial and industrial property earthquake insurance in response to the Great East Japan Earthquake. Earthquake insurance for residential properties in Japan is provided under the government-sponsored earthquake insurance system, in which the state acts as the ultimate backstop. No premium increases have been enacted despite the impact of the Great East Japan Earthquake, however, the system is currently under review. The review is expected to be completed over the next nine months. Revisions may include increases in the premiums and changes to terms and conditions, as well as include an adjustment to the definitions for degree of loss relative to the claims paid, reflecting the increased number of new contracts. In its annual report, Japan Earthquake Reinsurance Co., Ltd. stated that the percentage of households with earthquake insurance increased by 2.5 percent in 2011 from 23.7 percent in 2010.

Japan Model Updates

Various initiatives have been taken since the Great East Japan Earthquake, including moves to update catastrophe risk modeling for Japan risks. The Headquarters of Earthquake Research Promotion (HERP), a government organization that promotes and coordinates earthquake research including the data used by all the independent vendor models, has progressed as follows:

• Identified inland faults with possibly increased seismicity;

• Updated earthquake occurrence probabilities along Sanriku-Boso subduction area (east of Tohoku-Chiba);

• Released a long-period shaking intensity map for Nankai Earthquake; and

• Updated the occurrence probabilities for subduction earthquakes starting from those along the Nankai Trough.

The insights and data available from HERP are used by all three major modeling firms and integrated into their own earthquake models. The model updates will include:

• EQECAT’s new software RQE platform that can incorporate step policies and flood payouts;

• EQECAT’s earthquake model updates including tsunami footprint (inundation area only, not loss calculation);

• AIR’s disaggregation method update;

• AIR’s earthquake model updates including tsunami probabilistic model;

• RMS’s earthquake model updates for frequency along the Nankai Trough;

• RMS’s tsunami footprint.

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Japan Cat Bond Market Update

Following the Great East Japan Earthquake in March 2011, three cat bonds sponsored by Japanese insurers have come to market. Kizuna Re Ltd., sponsored by TMNF, provides $160 million in coverage against Japan typhoons on an indemnity basis. The transaction was privately distributed to a limited number of investors in the third quarter of 2011.

In the first half of 2012, two Japanese sponsors, Zenkyoren and Mitsui Sumitomo returned to the catastrophe bond market. The capacity secured formed an integral part of their overall risk transfer programs.

• Kibou Ltd., which was issued in February 2012, provides Zenkyoren with $300 million in protection against Japan earthquakes. The transaction was structured similarly to Muteki, with a top-and-drop feature. The parametric index transaction will recover based on peak ground accelerations observed at K-net stations.

• Akibare II Ltd. (Akibare II) was issued at the beginning of the second quarter of 2012. The transaction provides $130 million in cover against Japan typhoons for Mitsui Sumitomo. The cat bond replaced Akibare Ltd. (Akibare), which matured in May 2012. Akibare II utilized a modeled loss trigger, while the first Akibare transaction used a parametric index trigger.

Due to increased rates in the insurance market following the large catastrophe losses of 2011, and the need for additional reinsurance capacity, a more active participation in the ILS sector by existing Japanese sponsors as well as new entrants is anticipated in the coming years.


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A Market Discussion with ILS Investors

A Panel Interview Hosted by Aon Benfield Securities

Aon Benfield Securities recently discussed a number of issues on the ILS market with five active investors. The conversation, transcribed in this section, provides insight into their views and aspiration for the market as a whole. Our panel included:

• Luca Albertini, CEO, Leadenhall Capital Partners LLP

• Niklaus Hilti, Head of Insurance Linked Strategies, Credit Suisse Asset Management

• Kai H. Morgenstern, Managing Director, RenaissanceRe Ventures Ltd.

• Jeff Porter, Senior Portfolio Manager, Ensign Peak

• Caleb Wong, VP – Senior Portfolio Manager, Oppenheimer Funds

The transcript was edited for clarity and brevity.

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Luca Albertini, CEO, Leadenhall Capital Partners LLP

1. What brought you to the ILS Space? My first contact with the world of insurance linked securities was in 2001 while working at the capital markets unit of GE Capital. I was asked to work with GE’s European reinsurance arm to identify possible capital markets transactions on insurance linked risks. I left GE for CSFB’s asset finance unit, but when Swiss Re decided to open an ILS desk in Europe, I was asked to join. The idea of moving from main stream securitization to be 100 percent dedicated to the ILS space looked a crazy bet at the time, but now with hindsight it was the best decision I have ever made! I was attracted by Swiss Re as an institution and as a team, but also by the great potential I saw in the asset class for both investors and sponsors, and by the possibility to innovate and create the basis of a solid new asset class. All of those motivations are still valid today and the concept has been proven both by the market behavior after large events as well as after severe turmoil in the financial markets.

2. What do you find compelling about insurance linked securities? As an investor the key attractiveness is the low correlation of this asset class to the rest of the marketplace. This low correlation was tested during the last market turmoil, and the concept has proven itself. Also, the industry has been constantly improving the structuring of securities to ensure that the contamination from general market risks into the asset class remains as low as possible. The ILS market has developed a solid infrastructure to provide investors with secondary liquidity, and the work done by Aon Benfield in this respect - which includes a secondary trading desk and the release of weekly indicative secondary market pricing — has greatly contributed to the development of this market. In summary, ILS is a truly diversifying asset class for the general investor community, with robust structuring, a liquid secondary market and relatively attractive returns. No surprise that the sector is one of the very few with a net inflow of funds.

3. The ILS market seems to have a fair amount of capital to put to work. Do you expect in flows to continue?The industry worked for years to attract investors to the space and now that we have experienced severe market turmoil as well as large natural catastrophes, some of the questions of the most cautious ILS investors have been positively addressed. The investor money is there to provide capacity at a comparable price to potential sponsors. If the industry is able to produce fresh opportunities and in a wider range of perils, I believe the capital markets will be there to reward the effort with further increases in its allocations to the sector. On the other hand, if from time to time other opportunities become available, or the risk/reward balance suggests an investor should allocate funds elsewhere, ILS investors have the ability to allocate funds to other less liquid insurance linked assets and general investors will have the ability to allocate out of the insurance space altogether. These movements may help the industry to manage the pricing cycle and I would now suggest that in the future any capital leaving the ILS space will be ready to come back when the right risk and rewards and opportunities are there. We have seen this happen already and we believe that it is likely to happen again.


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4. Indemnity transactions have become an important part of the market. What factors form the basis of your investment decision?First of all we believe that the issuance of indemnity transactions is a positive sign for the ILS industry as it is delivering more types of cover that sponsors are happy to buy. Also the structuring process of ILS transactions and the greater level of transparency offered to investors have been important factors that have allowed the greater proportion of indemnity transactions to be successfully issued. Leadenhall invests in indemnity risks in non-liquid private placements which now form the majority of investments in its two open ended non-life funds, and so there should be no reason for us not being happy to take indemnity risk in ILS form. Of course the analysis of an indemnity transaction is very similar to the analysis performed for a traditional reinsurance layer. This requires additional work from non-indemnity transactions, which focuses on underwriting the protection buyer (to include its underwriting processes, data/records management and its claims paying processes). It also requires understanding books of business being securitized versus the general book of business of the protection buyer, as well as analyzing the available data on the actual exposures and on their historical developments, and in understanding the information time lag.

5. The majority of ILS Investors rely on AIR, RMS and EQE. Would you consider other modeling alternatives for a property cat issuance? If so, under what circumstances?At Leadenhall we do not take the outcome of any modeling for granted. We use modeling as a useful reference point, but our analysis goes well beyond that. The current material differences of risk assessment for some peak perils (which are supposedly the best modeled perils in the market) from different established modeling firms further underline the need of extreme caution in using modeling as the key reference point for pricing and underwriting. We do our own homework on the new issuance. We invest in private placements of collateralized reinsurance which we need to model ourselves. Therefore if a transaction comes with an alternative model we would not discard it, because we would carry out our own analysis and the new model would just be another data point. For a full investment consideration however, I would try and understand the possible adverse secondary market impacts of having a note carrying a model that is not generally accepted in the marketplace. As our funds mark to market their ILS investments, any factors that could adversely affect future marks (outside of an event affecting the security) will be important investment considerations.

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6. What other types of risks would you consider or are you looking for in a cat bond?At Leadenhall we are set up to analyze a wide range of risks both within and outside the property cat space. We would definitely welcome a wider range of investment options in the ILS space and have been prepared to work with the industry to comment and provide early commitments on new initiatives. Some risks do not naturally lend themselves to the capital markets (unless the structuring wizards manage to make the transaction transparent and reasonably short-tail), but there is so much in the insurance industry that can still be done that provides opportunity and energy for those seeking innovation. In addition there is a range of risks that are not adequately insured and for which the stakeholders will eventually seek greater protection than they currently have. The insurance linked investor community now has segments that are happy with very low yields for very remote risk, while others seek medium risk and returns, and other investors are prepared to take very high risk and returns - and so the capital is there to back new ideas. Modeling and legal considerations may be getting in the way of innovations, but this is where new models, or even...no model, could expedite the introduction of new risks to the capital markets. If the risk can be underwritten in the traditional markets we would draw on their experience to educate and eventually invest ourselves. Expanding the risk available to the capital markets investors would provide a benefit to the industry in our view and efforts are likely to be rewarded by investors.

7. What can be done to make capital more stable for repeat issuers that rely on the ILS market for coverage?In testing market conditions, repeat issuers have always had the best access to the available capital in the capital markets. Not only their experience helps them with the best timing of the issuance, but the investor community reacts quickly to invest in those opportunities they know well. Also I believe that in the current market capital will remain or increase if the balance of right risk and reward is maintained. Of course the ILS industry does need to relate itself to the pricing of other products that are available to protection buyers, and investors have to look at alternative investment opportunities. There is the possibility that a repeat ILS issuer might find materially cheaper cover in the traditional markets, and in this case it would not be right for a capital markets investor to chase the risk in a declining pricing environment if there are other opportunities out there. On the other hand, the protection buyer would not be left without cover as it would be able to choose the markets in which to buy cover. In a hardening market, given the low correlation between the general markets and the insurance linked sector, we believe that lack of capacity can now be plugged reasonably quickly by capital markets investors who constantly monitor reinsurance pricing and are ready to increase their allocation or make fresh allocations when pricing meets certain targets. Recent issuance has shown how quickly capital markets can respond to relatively large demand for capital from established players that are already known by capital markets investors, whether by issuance of ILS or the use of collateralized private placements. In summary, I do not believe any repeat issuer has remained without cover due to a capital markets investor retreating, but I have seen some established repeat issuers using alternative and complementary markets to satisfy their needs at a more competitive price, which is of course totally legitimate.


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Niklaus Hilti, Head of Insurance Linked Securities, Credit Suisse Asset Management

1. What brought you into the ILS space?As most people in our team, I have worked in the insurance/reinsurance industry before joining the ILS investor side. I had observed the development of the ILS market since the early days and saw great opportunities thanks to the low correlation of the asset class to traditional financial markets, the floater nature of returns, and the attractive return potential. We initially started with pure cat bond investments but later expanded also into direct reinsurance transactions which offered greater depth and diversification potential.

2. What do you find compelling about insurance linked securities?In addition to the general benefits of the ILS asset class mentioned above, we believe that insurance linked securities offer a number of attractive features which include clear structures, clean triggers and exposures, secondary market liquidity and ease of valuation of securities.

3. The ILS market seems to have a fair amount of capital to put to work. Do you expect in flows to continue?Yes, we expect the inflows in the ILS market to continue and maybe even to accelerate. Given the continued turbulences in the financial markets, investors are increasingly looking for true alternative investments and uncorrelated yields. ILS is one of the few asset classes that has proven its low correlation over the last years and, as a result, has gained acceptance and popularity in the investor community. As investors are becoming increasingly aware of and familiar with ILS, we expect to see significant new capital flowing into ILS.

4. Indemnity transactions have become an important part of the market. What factors form the basis of your investment decision?We generally have a preference for parametric or synthetic structures over indemnity. When investing in indemnity transactions, we focus on residential lines of direct insurance business rather than commercial lines and retro indemnity transactions, which we believe carry significant un-modeled risk. We clearly would like to see an additional risk premium offered for indemnity transactions vis-à-vis parametric transactions.

5. The majority of ILS Investors rely on AIR, RMS and EQE. Would you consider other modeling alternatives for a property cat issuance? If so, under what circumstances?For standard perils, we believe that the above models are sufficient and difficult to outperform. However, we prefer to form a multi-model view on transactions as output from the above models can differ significantly and we like to have the full, more balanced picture before making an investment decision. With regards to new modeling alternatives, we would certainly take a close look at new models covering perils that are currently not modeled by the three standard models.

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6. What other types of risks would you consider or are you looking for in a cat bond?As we follow a diversified investment approach, we certainly would like to see more diversifying perils in cat bonds. That means more frequency covers (i.e. 2nd or subsequent event) and more non-US covers (i.e. exposures in Japan, Europe and Australia and New Zealand). In addition, other perils such as crop exposures could also provide good diversification opportunities for ILS portfolios.

7. What can be done to make capital more stable for repeat issuers who rely on the ILS market for coverage?We see opportunities in more planning of and longer lead times for new issues. Given the investor inflows into ILS it is crucial for dedicated managers to be able to plan when new capital can be deployed. We regularly face the situation where we do not have sufficient capacity at the time of a new issue or - vice versa - when there are no or few issues but we would have capacity. In addition, better information on maximum upsize potential would help us to better plan a support of the market (i.e. providing capacity) based on our market share. And, as mentioned previously, a deeper market in terms of volumes and perils but also higher spreads for different perils would be beneficial for the long-term growth of the cat bond market.


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Kai Morgenstern, Managing Director, RenaissanceRe Ventures Ltd.

1. What brought you into the ILS space?RenaissanceRe has been an active participant in the ILS since the late 1990s. RenaissanceRe is a client focused franchise, and we continuously seek to find efficient capital sources to match our clients’ risk. We use ILS as an important complementary means to serve clients’ needs, as well an important component of our own general risk management strategy, if and when market terms are attractive. Currently, I am most active on the assumed side of our activities, although I also support our ceded strategies and with advising clients and partners more generally.

2. What do you find compelling about insurance linked securities.ILS products have gained substantial transparency and structural robustness since the financial crisis. Moreover, the large natural disasters of recent years have shown that the core products performed generally as expected to modeled natural catastrophes, affording market participants to refine some aspects of the structures in light of their performances. We believe that large institutional investors can find attractive opportunities to deploy capital with sophisticated managers, given the substantial differences that sometimes exist in risk estimation. We believe we can create alpha value by risk selection and portfolio management as long as our deployed capital remains small enough in comparison to the total outstanding ILS market.

3. The ILS market seems to have a fair amount of capital to put to work. Do you expect in flows to continue?We see continuing interest of institutional investors to diversify their asset allocation in the alternative space. Our expectation is that this trend will continue if the general economic environment does not change and the risk/return characteristics in the ILS space remain attractive. Despite the severe catastrophes in 2010 and 2011, the ILS market had only relatively minor losses since most issuances cover US Wind events. The investor response and their true long term commitment to this market will be seen after a major hurricane event.

4. Indemnity transactions have become an important part of the market. What factors form the basis of your investment decision?In general, we think the needs of our ceding clients are frequently best served with an indemnity-based, Ultimate Net Loss (UNL) product. From an investment perspective, we generally prefer UNL-triggered ILS mainly for two reasons: We believe we have a superior understanding of many of the UNL products based on our experience and analytics; and we see more diversification in a UNL-based portfolio. The random uncertainty component of losses results in different losses to UNL transactions with otherwise identical risk levels according to a probabilistic analysis. ILW triggered transactions for the same region are in contrast by definition highly correlated in their losses. That said, both indemnity and parametric transactions have a role to play in the market and, with appropriate structures and terms, can provide benefits to both issuers and investors.

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5. The majority of ILS Investors rely on AIR, RMS and EQE. Would you consider other modeling alternatives for a property cat issuance? If so, under what circumstances?Our risk management is based on our proprietary modeling system REMS(c), which has been developed over 19 years since we were founded. In the last five years we have significantly enhanced our system’s capabilities to meet some ILS specific needs resulting from the tradable nature of the securities and different terms and conditions. In addition to our proprietary model, we take into account the analyses of the existing modeling companies. An alternative model to the existing ones will provide yet another perspective on the risk and is therefore valuable to the extent that the quality of the analysis is comparable to the existing ones.

6. What other types of risks would you consider or are you looking for in a cat bond?Our business model is driven by finding the most efficient capital solution for our clients’ needs. We offer different balance sheets with different economical constraints to meet this target. New types of risks will be reviewed within the same spirit of risk culture we apply to any business we write. The most important investment criteria are: The capability to analyze the risk with an internal model and form an independent perspective; the risk / reward is attractive on a standalone and marginal capital allocation basis; the absolute return level is above our applicable threshold for this type of risk and the balance sheet on which we will take it. Modeling new risks and forming a perspective that meets our rigorous standards requires a significant investment of resources, so the economic investment needs are reflected in the spread levels.

7. What can be done to make capital more stable for repeat issuers who rely on the ILS market for coverage?Good examples of managing the risk transfer through the cycle are programs that issue every year with a term of three years. The steadiness of issuance is also helpful for both sides. The reliability of available investor capital/interest is a different question. Though the market tends to believe that the discovery of ILS as a profitable diversifying asset class for big institutional investors is a long term partnership, it may take only one unanticipated major change of conditions to shift this relatively minor allocation back to one of the other, much bigger asset classes. At the end of the day, institutional investors as differentiated from reinsurers as they are not dedicated to provide reinsurance.


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Jeff Porter, Senior Portfolio Manager, Ensign Peak

1. What brought you into the ILS space?Like most investors who find ILS an interesting asset class, we like the fact that ILS have a low level of correlation to other, more traditional, asset classes. Also, the returns from ILS to date have been impressive relative to the risk associated with a thoughtful approach.

2. What do you find compelling about insurance linked securities?The low correlation to other asset classes is very compelling. One can also approach the market in a variety of ways. For instance, one can try and build up a diversified risk approach by investing in perils around the globe. Alternatively, one might have the belief that peak perils (US Wind and Earthquake) provide the most interesting risk/reward characteristics and accumulate a less diversified but high returning portfolio of peak perils.

3. The ILS market seems to have a fair amount of capital to put to work. Do you expect in flows to continue? I do. I think that the ILS market has proven to be a robust way to put capital to work. It seems that there is new interest in the market which should continue to grow.

4. Indemnity transactions have become an important part of the market. What factors form the basis of your investment decision? The issuer and their history, or lack thereof, in the market and our analysis of the risk in the deal are the main factors we use to analyze an indemnity transaction. We are likely to give the benefit of the doubt to a repeat issuer, but we aren’t going to ‘pay-up’ for a risk just because we know one issuer a bit better than a new issuer.

5. The majority of ILS Investors rely on AIR, RMS and EQE. Would you consider other modeling alternatives for a property cat issuance? If so, under what circumstances?We rely pretty heavily on those modeling firms and, hopefully, understand how they approach the modeling process, so it would have to be a rather unique case to consider other alternatives.

6. What other types of risks would you consider or are you looking for in a cat bond?Our approach has been to be a little more peak peril centric, specifically US Wind. We like the risk/reward characteristics of peak perils, plus we use ILS as a diversified, non-correlated approach to a broader investment portfolio and don’t feel the need to diversify across risks within our ILS strategy.

7. What can be done to make capital more stable for repeat issuers that rely on the ILS market for coverage? I would defer this question to the issuers and cat bond structurers. However, I would say that capital is always going to be volatile and flighty. What we have seen in terms of ILS spreads over the last five years doesn’t appear to be going away anytime soon.

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Caleb Wong, VP — Senior Portfolio Manager, OppenheimerFunds, Inc.

1. What brought you into the ILS space?We became involved in the ILS space in 1997 because we are cross-over investors seeking diversification for our fixed income portfolios, which focus on investing in traditional fixed income securities such as government and corporate bonds.

2. What do you find compelling about insurance linked securities?We are attracted to insurance-linked securities for several reasons: Attractive yield as the instruments offer relatively high coupon potential when compared to other fixed income securities; diversification potential in that the bonds have historical demonstrated low correlation with traditional asset classes; and securities offer desirable risk-rewards in that we believe they have the potential to generate returns given their level of risk.

3. The ILS market seems to have a fair amount of capital to put to work. Do you expect in flows to continue?We do expect flows to continue but that any increase will be dependent on the relative pricing between reinsurance rates and the cost of issuing ILS in the capital markets. When the cost of acquiring reinsurance through the capital markets is lower than the acquisition of reinsurance through traditional channels, then flows in the ILS will increase.

4. Indemnity transactions have become an important part of the market. What factors form the basis of your investment decision?Our decision to invest in any particular ILS is based on our analysis of its return potential and risk. Whether the bond’s risk is based on indemnity transactions is not a concern because we have our measures of determining the valuation of such a trigger attribute.

5. What other types of risks would you consider or are you looking for in a cat bond?We want access to risks that are not associated with the peak peril risks that are commonly embedded in insurance-linked securities, such as south-east and north-east US Hurricane risks. We believe diversification of risks should be an important feature of this asset class.

6. What can be done to make capital more stable for repeat issuers who rely on the ILS market for coverage?There are many ways for repeat issuers to retain capital, such as simply issuing the new bonds at the time when old bonds mature, but a key reason why an investor is willing to redeploy capital with an issuer is valuation. So long as the new bond issue offers value from a return and risk measure, it will attract capital regardless of whether the issuer is new or is a repeat customer.


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Appendix ICatastrophe Bond Issuance Statistics

As of June 30, 2012



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Figure 1: Catastrophe Bond Issuance by Year (Years ending June 30)


Figure 2: Outstanding and Cumulative Catastrophe Bond Volume, 2002 – 2012 (Years ending June 30)


0

1,000

2,000

3,000

4,000

5,000

6,000

7,000

8,000

9,000

20122011201020092008200720062005200420032002

8,145

5,914

1,780

4,661 4,382

6,430

3,279

1,499

1,958

1,011998$

Mill

ions

Property Issuance

Life / Health Issuance

0

5,000

10,000

15,000

20,000

25,000

30,000

35,000

40,000

45,000

50,000

20122011201020092008200720062005200420032002

$ M

illio

ns

PropertyOutstanding

Life / HealthOutstanding

CumulativePropertyIssuance

TotalCumulativeBonds

2,589 3,005 3,876

7,9459,444

12,723

20,782

26,78228,562

33,223

37,605

44,035

4,7416,608

12,911

16,155

13,249 13,16711,504

14,923

53


Figure 3: Catastrophe Bonds Maturing by Year (Years ending June 30)


Figure 4: Catastrophe Bond Issuance by Half-Year


0

1,000

2,000

3,000

4,000

5,000

6,000

20142013201220112010200920082007

4,157

100

425

3,900

329

2,483

5,674

3,939

155

804

371

1,442

2,670

400

4,531

$ M

illio

ns

PropertyMaturities

Life / HealthMaturities

0

1,000

2,000

3,000

4,000

5,000

6,000

7,000

8,000

9,000

2012201120102009200820072006

1,757

2,842

3,588

2,625

2,011320

3,404

2,650

1,4602,302

3,168

4,976

2,510

$ M

illio

ns

January - June

July - December


54

Figure 5: Investor by Category (Years ending June 30)


Figure 6: Investor by Country (Years ending June 30)


Figure 7: Aon Benfield All Bond Indices versus Financial Benchmarks

Source: Aon Benfield Securities, Bloomberg

2011

Institutional

Hedge Fund

Mutual Fund

Reinsurer

Catastrophe Fund

2012

34%

5%

5%5%

51%

44%

5%

10%

7%

34%

2011

U.S.

Other

Bermuda

UK

Switzerland

2012

47%

7%

5%8%

33%

46%19%

5%

11%

19%

All Bond

3 Year U.S.Corporate BB+

ABS 3-5 Yrs,Fixed Rate

CMBS FixedRate 3-5 Yrs

S&P 500

2010 2011 201220092008200720062005200420032002

Tota

l Ret

urn

-40%

-20%

0%

20%

40%

60%

80%

110%

120%

140%

55


Figure 8: Historical Performance of Aon Benfield ILS Indices


Figure 9: Aon Benfield ILS Price Return Index


2010 2011 201220092008200720062005200420032002

Tota

l Ret

urn

All Bond

U.S. Hurricane

U.S. EQ

BB-rated

0%

20%

40%

60%

80%

100%

120%

140%

Tota

l Ret

urn

ILS PriceReturn Index

85

89

93

97

101

105

2010 2011 20122009200820072006 200520042003200220012000


56

Figure 10: Historical Sidecar Issuance


Figure 11: Type of Transacted Retrocession Capacity


0

1,000

2,000

3,000

4,000

5,000

6,000

7,000

8,000

H1 201220112008-20092005-20071999-2001


0%

20%

40%

60%

80%

100%

2011201020092005/20072003/20042001/2002


Non-RatedCollateralized Capacity

57


Figure 12: Historical U.S. Tornado Activity

Source: Impact Forecasting LLC

Figure 13: Long Term Rate vs. Medium Term Rate Expected Loss to Redemption for all Outstanding Cat Bonds

Source: RMS Miu

0

500

1,000

1,500

2,000

2,500

3,000

3,500

Normal

Tornadoes

0

100

200

300

400

500

600

Normal

Deaths

19871988

19891990

19911992

19931994

19951996

19971998

19992000

20012002

20032004

20052006

20072008

20092010

2011

Med

ium

Ter

m R

ate

Long Term Rate0% 10% 20% 30% 40% 50%

0%

10%

20%

30%

40%

50%


58

Appendix IIProperty Catastrophe Bonds – Transaction Summary

As of June 30, 2012


59


* Equity

Issuance Date Beneficiary Issuer Series Class Perils Trigger Collateral

Size (thousands) MIS S&P Fitch

Dec-96 St Paul Re U.K. George Town Re, Ltd.

Worldwide All Perils incl.

Marine & Aviation

Indemnity TRS $44,500

Dec-96 St Paul Re U.K.* George Town Re, Ltd.

Worldwide All Perils incl.

Marine & Aviation

Indemnity TRS $24,000 Aaa AAA

Jun-97United States Automobile Association

Residential Reinsurance Limited

Class A-1 US HU Indemnity TRS $163,800 Aaa AAA



Class A-2 US HU Indemnity TRS $313,180 Ba2 BB BB

Oct-97 Swiss Re SR Earthquake Fund, Ltd. Class A-1 US EQ Industry Index TRS $42,000 Baa3 BBB-

Oct-97 Swiss Re* SR Earthquake Fund, Ltd. Class A-2 US EQ Industry Index TRS $20,000 Baa3 BBB-

Oct-97 Swiss Re SR Earthquake Fund, Ltd. Class B US EQ Industry Index TRS $60,300 Ba1 BB

Oct-97 Swiss Re SR Earthquake Fund, Ltd. Class C US EQ Industry Index TRS $14,700 Ba3 B

Nov-97Tokio Marine & Nichido Fire Insurance Co., Ltd.

Parametric Re, Ltd. JP EQ Parametric TRS $80,000 Ba2

Nov-97Tokio Marine & Nichido Fire Insurance Co., Ltd.

Parametric Re, Ltd. JP EQ Parametric TRS $20,000 Baa3

Mar-98Centre Solutions (Bermuda) Limited (Zurich Group)

Trinity Re, Ltd. Class A-1 US HU Indemnity TRS $10,467 Aaa AAA

Mar-98Centre Solutions (Bermuda) Limited (Zurich Group)

Trinity Re, Ltd. Class A-2 US HU Indemnity TRS $61,533 Ba3 BB



US HU Indemnity TRS $450,000 Ba2 BB BB

Jun-98The Yasuda Fire and Marine Insurance Company Limited

Pacific Re, Ltd. JP TY Indemnity TRS $80,000 Ba3 BB-

Jul-98United States Fidelity and Guaranty Company

Mosaic Re, Ltd. Class A US HU, EQ, ST Indemnity TRS $24,000


Mosaic Re, Ltd. Class B US HU, EQ, ST Indemnity TRS $21,000


Mosaic Re, Ltd. US HU, EQ, ST Indemnity TRS $9,000

Dec-98Centre Solutions (Bermuda) Limited (Zurich Group)

Trinity Re 1999, Ltd. Class A-1 US HU Indemnity TRS $2,385 Aaa AAA

Dec-98Centre Solutions (Bermuda) Limited (Zurich Group)

Trinity Re 1999, Ltd. Class A-2 US HU Indemnity TRS $51,615 Ba3 BB

Feb-99United States Fidelity and Guaranty Company

Mosaic Re II, Ltd. Class A US HU, EQ, ST Indemnity TRS $25,000

Summary of Catastrophe Bonds — December 1996 through June 2012


60

* Equity



Feb-99United States Fidelity and Guaranty Company

Mosaic Re II, Ltd. Class B US HU, EQ, ST Indemnity TRS $20,000

Mar-99 Kemper Domestic, Inc. US EQ Indemnity TRS $80,000 Ba2 BB+

Mar-99 Kemper* Domestic, Inc. US EQ Indemnity TRS $20,000

Apr-99 Sorema S..A Halyard Re B.V. Series 1999 EU, JP EQ, TY Indemnity TRS $17,000

May-99 Oriental Land Co., Ltd. Concentric, Ltd. JP EQ Parametric TRS $100,000 Ba1 BB+



US HU Indemnity TRS $200,000 Ba2 BB

Jun-99

Gerling-Konzern Globale Rückversicherungs-Aktienfesellschaft

Juno Re, Ltd. US HU Indemnity TRS $80,000 BB BB+

Nov-99 American Re Gold Eagle Capital Limited Class A US HU, EQ Modeled Loss TRS $50,000 Baa3 BBB-

Nov-99 American Re Gold Eagle Capital Limited Class B US HU, EQ Modeled Loss TRS $126,600 Ba2 BB

Nov-99 American Re* Gold Eagle Capital Limited US HU, EQ Modeled Loss TRS $5,500 Ba1 BB+

Nov-99 American Re* Gold Eagle Capital Limited US HU, EQ Modeled Loss TRS $3,600 BB+

Nov-99

Gerling-Konzern Globale Rückversicherungs-Aktienfesellschaft

Namazu Re, Ltd. JP EQ Modeled Loss TRS $100,000 BB

Mar-00 Lehman Re Ltd. Seismic Limited US EQ Industry Index TRS $145,500 Ba2 BB+

Mar-00 Lehman Re Ltd.* Seismic Limited Industry Index TRS $4,500

Mar-00 SCORAtlas Reinsurance p.l.c.

Class A EU Wind, CA/JP EQ Indemnity TRS $70,000 BBB+ BBB+


Class B EU Wind, CA/JP EQ Indemnity TRS $30,000 BBB- BBB-


Class C EU Wind, CA/JP EQ Indemnity TRS $100,000 B- B-

Apr-00 Sorema S..A Halyard Re B.V. Series 2000 EU/JP Wind, JP EQ Indemnity TRS $17,000

May-00 State Farm Companies Alpha Wind 2000-A Ltd. US HU Indemnity TRS $52,500 BB+

May-00 State Farm Companies*

Alpha Wind 2000-A Ltd. US HU Indemnity TRS $37,500 BB


Residential Reinsurance 2000 Limited

US HU Indemnity TRS $200,000 Ba2 BB+

Jul-00 Vesta Fire Insurance Corporation NeHi, Inc. US HU Modeled Loss TRS $41,500 Ba3 BB

Jul-00 Vesta Fire Insurance Corporation* NeHi, Inc. US HU Modeled Loss TRS $8,500

Nov-00 Assurances Generales de France I.A.R.T.

Mediterranean Re p.l.c. Class A EU Wind, EQ Modeled Loss TRS $41,000 Baa3 BBB+ BBB


61


* Equity



Nov-00 Assurances Generales de France I.A.R.T.

Mediterranean Re p.l.c. Class B EU Wind, EQ Modeled Loss TRS $88,000 Ba3 BB+ BB+

Dec-00 Munich RePRIME Capital CalQuake & EuroWind Ltd.

US EQ, EU Wind Parametric Index TRS $129,000 Ba3 BB+ BB

Dec-00 Munich Re*PRIME Capital CalQuake & EuroWind Ltd.

Class B US EQ, EU Wind Parametric Index TRS $6,000

Dec-00 Munich Re PRIME Capital Hurricane Ltd. US HU Parametric Index TRS $159,000 Ba3 BB+ BB

Dec-00 Munich Re* PRIME Capital Hurricane Ltd. Class B US HU Parametric Index TRS $6,000

Feb-01 Swiss Re Western Capital Limited US EQ Industry Index TRS $97,000 Ba2 BB+

Feb-01 Swiss Re* Western Capital Limited US EQ Industry Index TRS $3,000

Mar-01 American ReGold Eagle Capital 2001 Limited

US HU, EQ Modeled Loss TRS $116,400 Ba2 BB+

Apr-01 Sorema SA Halyard Re B.V. EU Wind, JP EQ, TY Indemnity TRS $17,000

May-01 Swiss Re* SR Wind Ltd. Class B-1 US HU, EU Wind Parametric Index TRS $1,800 BB BB

May-01 Swiss Re* SR Wind Ltd. Class B-2 US HU, EU Wind Parametric Index TRS $1,800 BB BB

May-01 Swiss Re SR Wind Ltd. Class A-1 US HU, EU Wind Parametric Index TRS $58,200 BB+ BB+

May-01 Swiss Re SR Wind Ltd. Class A-2 US HU, EU Wind Parametric Index TRS $58,200 BB+ BB+




Jun-01 Zurich Insurance Company* Trinom Ltd. US HU, EQ,

EU Wind Modeled Loss TRS $4,856 B2 B+

Jun-01 Zurich Insurance Company Trinom Ltd. Class A-1 US HU, EQ,

EU Wind Modeled Loss TRS $60,000 Ba2 BB BB-

Jun-01 Zurich Insurance Company Trinom Ltd. Class A-2 US HU, EQ,

EU Wind Modeled Loss TRS $97,000 Ba1 BB+ BB

Dec-01 SCORAtlas Reinsurance II p.l.c.

Class A EU Wind, CA/JP EQ

Parmetric/Parametric Index TRS $50,000 A3 A

Dec-01 SCORAtlas Reinsurance II p.l.c.

Class B EU Wind, CA/JP EQ

Parmetric/Parametric Index TRS $100,000 Ba2 BB+

Dec-01 Lehman Re Ltd. Redwood Capital I, Ltd. US EQ Industry Index TRS $160,050 Ba2 BB+

Dec-01 Lehman Re Ltd.* Redwood Capital I, Ltd. US EQ Industry Index TRS $4,950

Mar-02 Lehman Re Ltd. Redwood Capital II, Ltd US EQ Industry Index TRS $194,000 Baa3 BBB-

Mar-02 Lehman Re Ltd.* Redwood Capital II, Ltd US EQ Industry Index TRS $6,000 Ba1 BBB-

Apr-02 Lloyd's Syndicate 33 (Hiscox)

St. Agatha Re Ltd. US EQ Modeled Loss Bank

Deposit $33,000 BB+



62

* Equity



May-02 Nissay Dowa General Insurance Co., Ltd. Fujiyama Ltd. JP EQ Parametric TRS $67,900 BB+

May-02 Nissay Dowa General Insurance Co., Ltd.* Fujiyama Ltd. JP EQ Parametric TRS $2,100 BB

May-02United States Automobile Association



Jun-02 Swiss Re PIONEER 2002 Ltd.

Series 2002-1 Class A US HU Parametric Index TRS $85,000 Ba3 BB+


Series 2002-1 Class B EU Wind Parametric Index TRS $50,000 Ba3 BB+


Series 2002-1 Class C US EQ Parametric Index TRS $30,000 Ba3 BB+


Series 2002-1 Class D US EQ Parametric Index TRS $40,000 Baa3 BBB-


Series 2002-1 Class E JP EQ Parametric Index TRS $25,000 Ba3 BB+


Series 2002-1 Class F US/EU Wind,

US/JP EQ Parametric Index TRS $25,000 Ba3 BB+

Sep-02 Swiss Re PIONEER 2002 Ltd.






Dec-02 Swiss Re PIONEER 2002 Ltd.













Dec-02 Vivendi Universal, S.A. Studio Re Ltd. US EQ Parametric Index TRS $150,000 Ba2 BB+

Dec-02 Vivendi Universal, S.A.* Studio Re Ltd. US EQ Parametric Index TRS $25,000 B1 BB

Mar-03 Swiss Re PIONEER 2002 Ltd.














63


* Equity





US HU, EQ Indemnity TRS $160,000 Ba2 BB+









Jun-03 Zenkyoren Phoenix Quake Ltd. JP EQ Parametric Index TRS $192,500 Baa3 BBB+

Jun-03 Zenkyoren Phoenix Quake Wind II Ltd. JP TY, EQ Parametric Index TRS $85,000 Ba1 BBB-

Jun-03 Zenkyoren Phoenix Quake Wind Ltd. JP TY, EQ Parametric Index TRS $192,500 Baa3 BBB+

Jul-03 Swiss Re Arbor I Ltd. Series 1 US/EU Wind, CA/JP EQ Parametric Index TRS $95,000 B

Jul-03 Swiss Re Arbor II Ltd. Series 1 US/EU Wind, CA/JP EQ Parametric Index TRS $26,500 A1 A+

Jul-03 Swiss Re Palm Capital Ltd. Series 1 US HU Parametric Index TRS $22,350 Ba3 BB+

Jul-03 Swiss Re Oak Capital Ltd. Series 1 EU Wind Parametric Index TRS $23,600 Ba3 BB+

Jul-03 Swiss Re Sequoia Capital Ltd. Series 1 US EQ Parametric Index TRS $22,500 Ba3 BB+

Jul-03 Swiss Re Sakura Capital Ltd. Series 1 JP EQ Parametric Index TRS $14,700 Ba3 BB+

Aug-03Central Reinsurance Corporation (for TREIP)

Formosa Re Ltd. Taiwan EQ Indemnity TRS $100,000 NR

Sep-03 Swiss Re Arbor I Ltd. Series 2 US/EU Wind, CA/JP EQ Parametric Index TRS $60,000 B

Dec-03 Swiss Re Palm Capital Ltd. Series 2 US HU Parametric Index TRS $19,000 Ba3 BB+

Dec-03 Swiss Re Arbor I Ltd. Series 3 US/EU Wind, CA/JP EQ Parametric Index TRS $8,850 B

Dec-03 Swiss Re PIONEER 2002 Ltd. US EQ Parametric Index TRS $51,000 Baa3 BBB-

Dec-03 Electricite de France Pylon Ltd. Class A EU Wind Parametric Index TRS € 70,000 A2 BBB+

Dec-03 Electricite de France Pylon Ltd. Class B EU Wind Parametric Index TRS € 120,000 Ba1 BB+

Dec-03 Swiss Re Redwood Capital III, Ltd. US EQ Industry Index TRS $150,000 Ba1 BB+

Dec-03 Swiss Re Redwood Capital IV, Ltd. US EQ Industry Index TRS $200,000 Baa3 BBB-

Mar-04 Swiss Re Oak Capital Ltd. Series 2 EU Wind Parametric Index TRS $24,000 Ba3 BB+

Mar-04 Swiss Re Sequoia Capital Ltd. Series 2 US EQ Parametric Index TRS $11,500 Ba3 BB+

Mar-04 Swiss Re Arbor Ltd. Series 4 US/EU Wind, CA/JP EQ Parametric Index TRS $21,000 B



Class A US HU, EQ Indemnity TRS $127,500 BB



64

* Equity





Class B US HU, EQ Indemnity TRS $100,000 B

Jun-04 Converium Ltd. Helix 04 Limited US/EU Wind, US/JP EQ Modeled Loss Bank

Deposit $100,000 BB+

Jun-04 Swiss Re Arbor Ltd. Series 5 US/EU Wind, CA/JP EQ Parametric Index TRS $18,000 B

Jun-04 Swiss Re Gi Capital Ltd. JP EQ Parametric Index TRS $125,000 BB+

Sep-04 Swiss Re Oak Capital Ltd. Series 3 EU Wind Parametric Index TRS $10,500 Ba3 BB+

Sep-04 Swiss Re Sequoia Capital Ltd. Series 3 US EQ Parametric Index TRS $11,000 Ba3 BB+

Sep-04 Swiss Re Arbor Ltd. Series 6 US/EU Wind, CA/JP EQ Parametric Index TRS $31,800 B

Nov-04 Hartford Fire Insurance Company

Foundation Re Ltd.

Series 2004-I Class A US HU Industry Index TRS $180,000 BB+


Foundation Re Ltd.

Series 2004-I Class B US HU, EQ Industry Index TRS $67,500 BBB+


Dec-04 Swiss Re Redwood Capital V, Ltd. US EQ Industry Index TRS $150,000 Ba2 BB+

Dec-04 Swiss Re Redwood Capital VI, Ltd. US EQ Industry Index TRS $150,000 Ba2 BB+

Mar-05 Swiss Re Arbor I Ltd. Series 8 US/EU Wind, CA/JP EQ Parametric Index TRS $20,000 B



Class A US HU, EQ Indemnity TRS $91,000 BB



Class B US HU, EQ Indemnity TRS $85,000 B

Jun-05 Factory Mutual Insurance Company Cascadia Limited US EQ Parametric TRS $300,000 BB+ BB

Jun-05 Swiss Re Arbor I Ltd. Series 9 US/EU Wind, CA/JP EQ Parametric Index TRS $25,000 B

Jul-05 Zurich American Insurance Company

KAMP Re 2005 Ltd. US HU, EQ Indemnity TRS $190,000 BB+

Nov-05 PXRE Reinsurance Ltd.Atlantic & Western Re Limited

Class A US/EU Wind Modeled Loss TRS $100,000 BB+ BB

Nov-05 PXRE Reinsurance Ltd.Atlantic & Western Re Limited

Class B US/EU Wind, US HU Modeled Loss TRS $200,000 B+ B

Nov-05 Munich Re Aiolos Ltd. EU Wind Parametric Index TRS € 110,000 BB+


Dec-05 PXRE Reinsurance Ltd.Atlantic & Western Re II Limited

Class A US/EU Wind, US EQ Modeled Loss TRS $125,000 BB+

Dec-05 PXRE Reinsurance Ltd.Atlantic & Western Re II Limited

Class B US/EU Wind, US EQ Modeled Loss TRS $125,000 BB+


65


* Equity



Dec-05 Montpelier Reinsurance Ltd.

Champlain Limited Class A US/JP EQ Modeled Loss TRS $75,000 B B-

Dec-05 Montpelier Reinsurance Ltd.

Champlain Limited Class B US HU, EQ Modeled Loss TRS $15,000 B+ B-

Jan-06 Swiss Re Australis Ltd. Series 1 AU CY, EQ Parametric Index TRS $100,000 BB

Feb-06 Swiss Re Redwood Capital VII, Ltd. US EQ Industry Index TRS $160,000 BB+

Feb-06 Swiss Re Redwood Capital VIII, Ltd. US EQ Industry Index TRS $65,000 BB+

Feb-06 Hartford Fire Insurance Company

Foundation Re Ltd.

Series 2006-I Class D US HU, EQ Industry Index TRS $105,000 BB

May-06 The Fund for Natural Disasters CAT-Mex Ltd. Class A Mexico EQ Parametric TRS $150,000 BB+

May-06 The Fund for Natural Disasters CAT-Mex Ltd. Class B Mexico EQ Parametric TRS $10,000 BB+

May-06 ACE American Insurance Company Calabash Re Ltd. Series

2006-I Class A-1 US HU Industry Index TRS $100,000 BB



Class A US HU, EQ Indemnity TRS $47,500 B



Class C US HU, EQ Indemnity TRS $75,000 BB+

Jun-06 Swiss ReSuccessor Hurricane Industry Ltd.

Series 2 Class D US HU Industry Index TRS $10,250 B


Series 2 Class E US HU Industry Index TRS $35,000 NR

Jun-06 Swiss Re Successor Japan Quake Ltd. Series 2 Class C JP EQ Modeled Loss TRS $3,000 B

Jun-06 Swiss Re Successor Euro Wind Ltd. Series 2 Class A EU Wind Parametric Index TRS $3,000 Ba3 BB

Jun-06 Swiss Re Successor Euro Wind Ltd. Series 2 Class C EU Wind Parametric Index TRS $3,000 B3 B


Series 1 Class B US HU Industry Index TRS $14,000 B1 BB-


Series 1 Class C US HU Industry Index TRS $7,250 B2 B






Series 1 Class F US HU Industry Index TRS $54,000 B2 B

Jun-06 Swiss ReSuccessor Hurricane Modeled Ltd.

Series 1 Class B US HU Modeled Loss TRS $42,250 B1 BB-



66

* Equity



Jun-06 Swiss ReSuccessor Cal Quake Parametric Ltd.

Series 1 Class A US EQ Parametric Index TRS $47,500 Ba3 BB

Jun-06 Swiss Re Successor Japan Quake Ltd. Series 1 Class A JP EQ Modeled Loss TRS $103,470 BB

Jun-06 Swiss Re Successor Japan Quake Ltd. Series 1 Class B JP EQ Modeled Loss TRS $26,250 BB-

Jun-06 Swiss Re Successor Japan Quake Ltd. Series 2 Class C JP EQ Modeled Loss TRS $70,750 B

Jun-06 Swiss Re Successor Euro Wind Ltd. Series 1 Class A EU Wind Parametric Index TRS $97,130 Ba3 BB

Jun-06 Swiss Re Successor Euro Wind Ltd. Series 1 Class B EU Wind Parametric Index TRS $18,500 B1 BB-

Jun-06 Swiss Re Successor Euro Wind Ltd. Series 1 Class C EU Wind Parametric Index TRS $110,750 B3 B

Jun-06 Swiss Re Successor II Ltd. Series 1 Class A US/EU Wind, US/JP EQ

Modeled Loss, Parametric Index TRS $73,200 B3 B

Jun-06 Swiss Re Successor II Ltd. Series 1 Class E US/EU Wind, US/JP EQ

Modeled Loss, Parametric Index TRS $154,250 NR

Jun-06 Swiss Re Successor III Ltd. Series 1 Class A US/EU Wind, JP EQ

Modeled Loss, Parametric Index TRS $7,200 NR

Jun-06 Swiss Re Successor IV Ltd. Series 1 Class A US/EU Wind, US/JP EQ

Modeled Loss, Parametric Index TRS $30,000 B

Jun-06 Munich Re Carillon Ltd. Series 1 Class A-2 US HU Industry Index TRS $23,500 B+

Jun-06 Munich Re Carillon Ltd. Series 1 Class B US HU Industry Index TRS $10,000 B

Jun-06 Munich Re Carillon Ltd. Series 1 Class A-1 US HU Industry Index TRS $51,000 B+

Jun-06 Liberty Mutual Insurance Company Mystic Re Ltd. Series

2006-1 Class A US HU Industry Index TRS $200,000 BB+

Jun-06 Balboa Insurance Group

VASCO Re 2006 Ltd. US HU Indemnity Bank

Deposit $50,000 BB+

Jun-06 Dominion Resources DREWCAT Capital, Ltd. Class A US HU Parametric Index TRS $50,000 NR

Jul-06 Hannover Re Eurus Ltd. EU Wind Parametric Index TRS $150,000 BB

Aug-06 Endurance Specialty Insurance Company

Shackleton Re Limited Class A US EQ Industry Index TRS $125,000 Ba3 BB


Shackleton Re Limited Class B US HU Industry Index TRS $60,000 Ba3 BB


Shackleton Re Limited Class C US HU, EQ Industry Index TRS $50,000 Ba2 BB+

Aug-06Tokio Marine & Nichido Fire Insurance Co., Ltd.

Fhu-Jin Ltd. Series 1 Class B JP TY Parametric Index TRS $200,000 BB+

Aug-06 Swiss ReSuccessor Hurricane Industry Ltd.


Aug-06 Factory Mutual Insurance Company

Cascadia II Limited US EQ Parametric Bank

Deposit $300,000 BB+ BB+


Foundation Re II Ltd.

Series 2006-I Class G US (HU, EQ, ST) Industry Index TRS $67,500 B


Foundation Re II Ltd.

Series 2006-I Class A US HU Industry Index TRS $180,000 BB+


67


* Equity



Nov-06 Liberty Mutual Insurance Company Mystic Re Ltd. Series

2006-2 Class A US HU Industry Index TRS $200,000 BB+

Nov-06 Liberty Mutual Insurance Company Mystic Re Ltd. Series

2006-2 Class B US HU Industry Index TRS $125,000 BB

Dec-06 Swiss Re Successor I Ltd. Series 1 Class B NA/EU W, CA/JP Q

Industry Index, Modeled Loss,

Parametric IndexTRS $4,000 NR

Dec-06 Swiss ReSuccessor Hurricane Industry Ltd.


Dec-06 Swiss Re Successor I Ltd. Series 2 Class B NA/EU W, CA/JP Q

Industry Index, Modeled Loss,

Parametric IndexTRS $24,500 NR



Dec-06 Swiss Re Successor Euro Wind Ltd. Series 3 Class A EU Wind Parametric Index TRS $118,000 Ba3 BB

Dec-06 Swiss Re Successor Euro Wind Ltd. Series 3 Class C EU Wind Parametric Index TRS $15,000 B3 B

Dec-06 Zurich American Insurance Company Lakeside Re Ltd. US EQ Indemnity Bank


Dec-06 SCORAtlas Reinsurance III p.l.c.

JP EQ, EU Wind Modeled Loss TRS € 120,000 BB+

Dec-06 Swiss Re Redwood Capital IX Ltd. Series 1 Class A US EQ Parametric Index TRS $125,000 Ba2 BB+

Dec-06 Swiss Re Redwood Capital IX Ltd. Series 1 Class B US EQ Parametric Index TRS $125,000 Ba2 BB+

Dec-06 Swiss Re Redwood Capital IX Ltd. Series 1 Class C US EQ Parametric Index TRS $18,000 Baa3 BBB-

Dec-06 Swiss Re Redwood Capital IX Ltd. Series 1 Class D US EQ Parametric Index TRS $20,000 Ba3 BB

Dec-06 Swiss Re Redwood Capital IX Ltd. Series 1 Class E US EQ Parametric Index TRS $12,000 B3 B

Jan-07 ACE American Insurance Company

Calabash Re II Ltd.

Series 2006-I Class A-1 US HU Modeled Loss TRS $100,000 BB


Calabash Re II Ltd.

Series 2006-I Class D-1 US EQ Modeled Loss TRS $50,000 B+


Calabash Re II Ltd.

Series 2006-I Class E-1 US HU, EQ Modeled Loss TRS $100,000 BB

Mar-07 Swiss Re Australis Ltd. Series 2 AU CY, EQ Parametric Index TRS $50,000 BB

Apr-07Allianz Global Corporate & Specialty AG

Blue Wings Ltd. Series 1 Class A US EQ, UK Flood

Modeled Loss, Parametric Index TRS $150,000 BB+

Apr-07 Aspen Insurance Limited Ajax Re Limited Series 1 Class A US EQ Industry Index TRS $100,000 BB

Apr-07 Chubb Group East Lane Re Ltd. Series 2007-I Class A US HU Indemnity TRS $135,000 BB+

Apr-07 Chubb Group East Lane Re Ltd. Series 2007-I Class B US HU Indemnity TRS $115,000 BB+

May-07 Munich Re Carillon Ltd. Series 2 Class E US HU Industry Index TRS $150,000 B



68

* Equity




May-07 The Travelers Indemnity Company

Longpoint Re Ltd.

Series 2007-1 Class A US HU Industry Index TRS $500,000 BB+

May-07 Swiss Re Successor II Ltd. Series 2 Class A NA/EU W, CA/JP Q

Modeled Loss, Parametric Index TRS $100,000 B

May-07 Mitsui Sumitomo Insurance Co., Ltd. AKIBARE Ltd. Series 1 Class A JP TY Parametric Index TRS $90,000 BB+

May-07 Mitsui Sumitomo Insurance Co., Ltd. AKIBARE Ltd. Series 1 Class B JP TY Parametric Index TRS $30,000 BB+

May-07 Swiss Re MedQuake Ltd. Series 1 Class A EU EQ Parametric Index TRS $50,000 BB-

May-07 Swiss Re MedQuake Ltd. Series 1 Class B EU EQ Parametric Index TRS $50,000 B

May-07 Liberty Mutual Insurance Company Mystic Re II Ltd. Series

2007-1 US HU Industry Index TRS $150,000 B+



Series 2007-I Class 1 US HU, EQ Indemnity TRS $145,000 BB



Series 2007-I Class 2 US HU, EQ Indemnity TRS $125,000 B






Series 2007-I Class 4 US HU, EQ Indemnity TRS $155,000 BB+



Series 2007-I Class 5 US HU, EQ Indemnity TRS $100,000 BB+

Jun-07 Glacier Reinsurance AG Nelson Re Ltd. Series 2007-I Class A US/EU W, US Q Industry Index,

Modeled Loss TRS $75,000 B

Jun-07 Allstate Insurance Company Willow Re Ltd. Series

2007-1 Class B US HU Industry Index TRS $250,000 BB+

Jun-07 Swiss Re Spinnaker Capital Ltd.

Series 1 2007 US HU Industry Index TRS $200,000 B1

Jun-07 Brit Insurance Limited Fremantle Limited

Series 2007-1 Class A US/EU/JP Wind,

US/JP EQ Industry Index TRS $60,000 Aa1 AAA


Series 2007-1 Class B US/EU/JP Wind,

US/JP EQ Industry Index TRS $60,000 A3 BBB+


Series 2007-1 Class C US/EU/JP Wind,

US/JP EQ Industry Index TRS $80,000 Ba2 BB-

Jun-07 Swiss Re Spinnaker Capital Ltd.

Series 2 2007 US HU Industry Index TRS $130,200 Ba2

Jun-07 Swiss Re FUSION 2007 Ltd. Class A JP TY, Mexico

EQ Parametric Index TRS $30,000 B

Jun-07 Swiss Re FUSION 2007 Ltd. Class B JP TY, Mexico

EQ Parametric Index TRS $80,000 B

Jun-07 Swiss Re FUSION 2007 Ltd. Class C Mexico EQ Parametric Index TRS $30,000 BB+

Jul-07State Farm Mutual Automobile Insurance Company

Merna Reinsurance Ltd. Tranche A

US/Canada (Wind, EQ, ST,

WS, WF)Indemnity TRS $350,000 Aa2 AAA


Merna Reinsurance Ltd. Tranche B


WS, WF)Indemnity TRS $666,600 A2 AA+

69


* Equity




Merna Reinsurance Ltd. Tranche C


WS, WF)Indemnity TRS $164,000 Baa2 A-

Jul-07Arrow Capital Reinsurance Company, Limited

Javelin Re Ltd. Class A Worldwide All Perils Indemnity TRS $94,500 A-

Jul-07Arrow Capital Reinsurance Company, Limited

Javelin Re Ltd. Class B Worldwide All Perils Indemnity TRS $30,750 BBB-

Jul-07 Swiss Re Spinnaker Capital Ltd.

Series 3 2007 US HU Industry Index TRS $50,000 NR

Oct-07 East Japan Railway Company MIDORI Ltd. JP EQ Parametric TRS $260,000 BB+

Nov-07 Allianz Argos 14 GmbH Blue Fin Ltd. Series 1 Class A EU Wind Parametric Index TRS € 155,000 BB+

Nov-07 Allianz Argos 14 GmbH Blue Fin Ltd. Series 1 Class B EU Wind Parametric Index TRS $65,000 BB+

Nov-07 SCOR Global P&C SEAtlas Reinsurance IV Limited

EU Wind, JP EQ Modeled Loss TRS € 160,000 B

Dec-07 Catlin Group Newton Re Limited

Series 2007-1 Class A US EQ Industry Index Bank

Deposit $87,500 BB+

Dec-07 Catlin Group Newton Re Limited

Series 2007-1 Class B US HU Industry Index Bank


Dec-07 Swiss Re GlobeCat Ltd. Series LAQ Class A-1 Latin America EQ Modeled Loss TRS $25,000 Ba3

Dec-07 Swiss Re GlobeCat Ltd. Series USW Class A-1 US HU Industry Index TRS $40,000 B3

Dec-07 Swiss Re GlobeCat Ltd. Series CAQ Class A-1 US EQ Industry Index TRS $20,000 B1

Dec-07 Groupama S.A. Green Valley Ltd. Series 1 Class A EU Wind Parametric Index TRS € 200,000 BB+


Series 6 Class C US HU Industry Index TRS $30,000 B2 B



Dec-07 Swiss Re Successor II Ltd. Series 3 Class C US/EU Wind, US/JP EQ Parametric Index TRS $50,000

Dec-07 Swiss Re Successor II Ltd. Series 3 Class E US/EU Wind, US/JP EQ Parametric Index TRS $50,000

Dec-07 Swiss Re Redwood Capital X Ltd. Series 1 Class A US EQ Parametric Index TRS $25,000 Baa3

Dec-07 Swiss Re Redwood Capital X Ltd. Series 1 Class B US EQ Parametric Index TRS $227,700 Ba2

Dec-07 Swiss Re Redwood Capital X Ltd. Series 1 Class C US EQ Parametric Index TRS $50,200 Ba3

Dec-07 Swiss Re Redwood Capital X Ltd. Series 2 Class D US EQ Industry Index TRS $130,500 Ba3

Dec-07 Swiss Re Redwood Capital X Ltd. Series 2 Class E US EQ Industry Index TRS $45,200 B2

Dec-07 Swiss Re Redwood Capital X Ltd. Series 2 Class F US EQ Industry Index TRS $20,000 NR

Feb-08 Catlin Group Newton Re Limited

Series 2008-1 Class A US/EU/JP Wind,

US/JP EQ Indemnity TRS $150,000 BB



70

* Equity



Mar-08 Munich Re Queen Street Ltd. Series 1 Class A EU Wind Parametric Index TRS € 70,000 BB+

Mar-08 Munich Re Queen Street Ltd. Series 1 Class B EU Wind Parametric Index TRS € 100,000 B

Mar-08 Chubb Group East Lane Re II Ltd.

Series 2008-I Class A

Northeast US All Natural

PerilsIndemnity TRS $75,000 BB


Series 2008-I Class B

Northeast US All Natural

PerilsIndemnity TRS $70,000 BB


Series 2008-I Class C US/Canada All

Natural Perils Indemnity TRS $55,000 B-

May-08 Zenkyoren Muteki Ltd. Series 2008-1 Class A JP EQ Parametric Index TRS $300,000 Ba2

May-08

HomeWise Preferred Insurance Company and HomeWise Insurance Company

Mangrove Re Ltd.

Series 2008-1 Class A US HU Indemnity TRS $150,000 Ba2

May-08

HomeWise Preferred Insurance Company and HomeWise Insurance Company

Mangrove Re Ltd.

Series 2008-1 Class B US HU Indemnity TRS $60,000 B1



Series 2008-I Class 1 US HU, EQ Indemnity TRS $125,000 BB






Series 2008-I Class 4 US (HU, EQ, ST,

WS, WF) Indemnity TRS $100,000 BB+

May-08Flagstone Reinsurance Limited and Flagstone Reassurance Suisse SA

Valais Re Ltd. Series 2008-1 Class A US/EU/JP Wind,

US/JP EQ Indemnity TRS $64,000 Ba2

May-08Flagstone Reinsurance Limited and Flagstone Reassurance Suisse SA

Valais Re Ltd. Series 2008-1 Class C US/EU/JP Wind,

US/JP EQ Indemnity TRS $40,000 B3

Jun-08 Glacier Reinsurance AG Nelson Re Ltd. Series 2008-I Class G US HU, EQ Indemnity TRS $67,500 B3

Jun-08 Glacier Reinsurance AG Nelson Re Ltd. Series 2008-I Class H EU Wind Indemnity TRS $45,000 B3

Jun-08 Glacier Reinsurance AG Nelson Re Ltd. Series 2008-I Class I EU Wind Indemnity TRS $67,500 B1

Jun-08 Allstate Insurance Company Willow Re Ltd. Series

2008-1 Class D US HU Industry Index TRS $250,000 BB+

Jun-08 Nationwide Mutual Insurance Company

Caelus Re Limited

Series 2008-1 Class A US HU, EQ Indemnity TRS $250,000 BB+

Jun-08 Swiss Re Vega Capital Ltd. Series 2008-I Class A US/EU/JP Wind,

US/JP EQ Parametric Index TRS $21,000 A3 A-

Jun-08 Swiss Re Vega Capital Ltd. Series 2008-I Class B US/EU/JP Wind,

US/JP EQ Parametric Index TRS $22,500 Baa2 BBB

Jun-08 Swiss Re Vega Capital Ltd. Series 2008-I Class C US/EU/JP Wind,

US/JP EQ Parametric Index TRS $63,900 Ba3

Jun-08 Swiss Re Vega Capital Ltd. Series 2008-I Class D US/EU/JP Wind,

US/JP EQ Parametric Index TRS $42,600


71


* Equity



Jul-08 Allianz Risk Transfer (Bermuda) Limited Blue Coast Ltd. Series

2008-1 Class A US HU Industry Index TRS $70,000 BB-


2008-1 Class B US HU Industry Index TRS $30,000 B+


2008-1 Class C US HU Industry Index TRS $20,000 B-

Aug-08 Platinum Underwriters Bermuda Ltd.

Topiary Capital Limited

Series 2008-1 Class A US/EU W, US/

JP EQ Industry Index TRS $200,000 BB+

Feb-09 SCOR Global P&C SE Atlas V Capital Limited Series 1 US HU, EQ Industry Index TRS $50,000 B+

Feb-09 SCOR Global P&C SE Atlas V Capital Limited Series 2 US HU, EQ Industry Index TRS $100,000 B+

Feb-09 SCOR Global P&C SE Atlas V Capital Limited Series 3 US HU, EQ Industry Index TRS $50,000 B

Mar-09 Chubb Group East Lane Re III Ltd.

Series 2009-I Class A US HU Indemnity TRS $150,000 BB

Mar-09 Liberty Mutual Insurance Company Mystic Re II Ltd. Series

2009-I US HU, EQ Industry Index TRS $225,000 BB

Apr-09 Allianz Argos 14 GmbH Blue Fin Ltd. Series 2 Class A US HU, EQ Modeled Loss MTN $180,000 BB-

Apr-09 Swiss Re Successor II Ltd. Series 4 Class F US HU, EQ Parametric Index MMF $60,000

May-09 Assurant Ibis Re Ltd. Series 2009-1 Class A US HU Industry Index TRS $75,000 BB

May-09 Assurant Ibis Re Ltd. Series 2009-1 Class B US HU Industry Index TRS $75,000 BB-



Series 2009-I Class 1 US HU, EQ Indemnity MMF $70,000 BB-



Series 2009-I Class 2 US HU, EQ Indemnity MMF $60,000 B-




WS, WF) Indemnity MMF $120,000 BB-

Jun-09 Munich Re Ianus Capital Ltd. EU Wind, EQ Parametric Index,

Modeled Loss MTN € 50,000 B2

Jun-09 ACE American Insurance Company

Calabash Re III Ltd.

Series 2009-I Class A US HU, EQ Modeled Loss MTN $86,000 BB-

Jun-09 ACE American Insurance Company

Calabash Re III Ltd.

Series 2009-I Class B US EQ Modeled Loss MTN $14,000 BB+

Jul-09 North Carolina JUA/IUA Parkton Re Ltd. Series

2009-1 NC Wind Indemnity MMF $200,000 B+

Jul-09 Hannover Re Eurus II Ltd. Series 2009-1 Class A EU Wind Parametric Index TPR € 150,000 BB

Oct-09 The Fund for Natural Disasters

MultiCat Mexico 2009 Limited

Series 2009-I Class A Mex EQ Parametric MMF $140,000 B



Series 2009-I Class B Mex, HU Pacific Parametric MMF $50,000 B



Series 2009-I Class C Mex, HU Pacific Parametric MMF $50,000 B



Series 2009-I Class D Mex, HU

Atlantic Parametric MMF $50,000 BB-



72

* Equity



Nov-09 Flagstone Reassurance Suisse SA Montana Re Ltd. Series

2009-1 Class A US HU, EQ Industry Index TPR $75,000 B-

Nov-09 Flagstone Reassurance Suisse SA Montana Re Ltd. Series

2009-1 Class B US HU Industry Index TPR $100,000 BB-

Dec-09 Swiss Re Successor X Ltd. Series 2009-1 Class I-S1 US HU, EQ, EU

WindIndustry Index,

Parametric Index MMF $50,000

Dec-09 Swiss Re Successor X Ltd. Series 2009-1 Class I-U1 US HU, EQ Industry Index,

Parametric Index MMF $50,000 B-

Dec-09 Swiss Re Successor X Ltd. Series 2009-1 Class I-X1 US HU, EQ Industry Index,

Parametric Index MMF $50,000

Dec-09 SCOR Global P&C SE Atlas VI Capital Limited

Series 2009-1 Class A EU Wind, JP EQ Parametric Index Repo € 75,000 BB-

Dec-09 The Travelers Indemnity Company

Longpoint Re II Ltd.

Series 2009-1 Class A US HU Industry Index MMF $250,000 BB+

Dec-09 The Travelers Indemnity Company

Longpoint Re II Ltd.

Series 2009-1 Class B US HU Industry Index MMF $250,000 BB+

Dec-09

Zurich American Insurance Company, Zurich Insurance Company Ltd

Lakeside Re II Ltd. CA EQ Indemnity MMF $225,000 BB-

Dec-09 Swiss Re Redwood Capital XI Ltd.

Series 2009-1 Class A CA EQ Industry Index MMF $150,000 B1

Jan-10 Hartford Fire Insurance Company

Foundation Re III Ltd.


Mar-10 Swiss Re Successor X Ltd. Series 2010-1

Class II-CN3

US HU, EU Wind

Industry Index, Modeled Loss MMF $45,000 B-


Class II-CL3

US HU, EU Wind

Industry Index, Modeled Loss MMF $35,000


Class II-BY3

US HU, EQ EU Wind, JP EQ

Industry Index, Modeled Loss MMF $40,000

Apr-10 State Farm Fire and Casualty Company

Merna Reinsurance II Ltd.

US EQ Indemnity MMF $350,000 BB+

Apr-10 Assurant Ibis Re Ltd. Series 2010-1 Class A US HU Industry Index MMF $90,000 BB

Apr-10 Assurant Ibis Re Ltd. Series 2010-1 Class B US HU Industry Index MMF $60,000 B+

May-10 North Carolina JUA/IUA Johnston Re Ltd. Series

2010-1 Class A US HU Indemnity MMF $200,000 BB-


2010-1 Class B US HU Indemnity MMF $105,000 BB-

May-10National Union Fire Insurance Company of Pittsburgh

Lodestone Re Ltd.

Series 2010-1 Class A US HU, EQ Industry Index MMF $175,000 BB+

May-10National Union Fire Insurance Company of Pittsburgh

Lodestone Re Ltd.

Series 2010-1 Class B US HU, EQ Industry Index MMF $250,000 BB

May-10 Munich Re EOS Wind Limited Class A US HU Industry Index MMF $50,000 Ba3

May-10 Munich Re EOS Wind Limited Class B US HU, EU

WindIndustry Index,

Parametric Index MMF $30,000 Ba3


73


* Equity



May-10 Nationwide Mutual Insurance Company

Caelus Re II Limited

Series 2010-1 Class A US HU, EQ Indemnity MMF $185,000 BB+

May-10 Allianz Argos 14 GmbH Blue Fin Ltd. Series 3 Class A US HU, EQ Modeled Loss MMF $90,000 B-

May-10 Allianz Argos 14 GmbH Blue Fin Ltd. Series 3 Class B US HU, EQ Modeled Loss MMF $60,000 BB




WS, WF) Indemnity MMF $162,500 BB




WS, WF) Indemnity MMF $72,500 B+




WS, WF) Indemnity MMF $52,500 B-




WS, WF) Indemnity MMF $117,500

Jun-10State Farm Mutual Automobile Insurance Company

Merna Reinsurance III Ltd


WS, WF)Indemnity MMF $250,000

Jul-10

Massachusetts Property Insurance Underwriting Association

Shore Re Ltd. Series 2010-1 Class A US HU Indemnity MMF $96,000 BB

Sep-10 Groupama S.A. Green Valley Ltd. Series 2 Class A EU Wind Parametric Index MTN € 100,000 BB+

Oct-10 AXA Global P&C Calypso Capital Limited

Series 2010-1 Class A EU Wind Industry Index TPR € 275,000 BB

Nov-10American Family Mutual Insurance Company

Mariah Re Ltd. Series 2010-1 US ST Industry Index MMF $100,000 B

Dec-10United States Automobile Association


Series 2010-II Class 1 US (HU, EQ, ST,

WS, WF) Indemnity MMF $210,000 BB










Series 2010-1 Class A EU Wind, JP EQ Parametric Index TPR € 75,000 B-

Dec-10 Swiss Re Vega Capital Ltd. Series 2010-I Class C US/EU/JP Wind,

US/JP EQ Multiple MTN $63,900 Ba3

Dec-10 Swiss Re Vega Capital Ltd. Series 2010-I Class D US/EU/JP Wind,

US/JP EQ Multiple MTN $42,600

Dec-10American Family Mutual Insurance Company

Mariah Re Ltd. Series 2010-2 US ST Industry Index MMF $100,000

Dec-10National Union Fire Insurance Company of Pittsburgh

Lodestone Re Ltd.

Series 2010-2 Class A-1 US HU, EQ Industry Index MMF $125,000 BB+


Lodestone Re Ltd.

Series 2010-2 Class A-2 US HU, EQ Industry Index MMF $325,000 BB



74




Dec-10 Flagstone Reassurance Suisse SA Montana Re Ltd. Series

2010-1 Class C US HU, EQ Multiple TPR $70,000 B


2010-1 Class D US HU, EQ Multiple TPR $80,000


2010-1 Class EUS HU, EQ/EU Wind, JP TY,

JP EQMultiple TPR $60,000 B-

Dec-10 Swiss Re Successor X Ltd. Series 2011-1

Class III-R3

US HU, EQ , AUS EQ

Modeled Loss, Parametric Index MTN $65,000 B-

Dec-10 Swiss Re Successor X Ltd. Series 2011-1 Class III-S3 US HU, EQ ,

AUS EQModeled Loss,

Parametric Index MTN $50,000 B-

Dec-10 Swiss Re Successor X Ltd. Series 2011-1 Class III-T3 US HU, EQ ,

AUS EQModeled Loss,

Parametric Index MTN $55,000

Dec-10 Groupama S.A. Green Fields Capital Limited

Series 2011-1 Class A EU Wind Industry Index MTN € 75,000 BB+

Feb-11 Hartford Fire Insurance Company

Foundation Re III Ltd.


Feb-11 Swiss Re Successor X Ltd. Series 2011-2 Class IV-E3 US HU, EQ Industry Index MTN $160,000 B

Feb-11 Swiss Re Successor X Ltd. Series 2011-2

Class IV-AL3 US HU, EQ Industry Index MTN $145,000

Mar-11 Chubb Group East Lane Re IV Ltd. Series 2011-I Class A US HU, EQ,

ST, WS Indemnity MMF $225,000 BB+

Mar-11 Chubb Group East Lane Re IV Ltd. Series 2011-I Class B US HU, EQ,

ST, WS Indemnity MMF $250,000 BB

Mar-11 Munich Re Queen Street II Capital Limited

US HU, EU Wind Industry Index MMF $100,000 BB-

Apr-11 Allianz Argos 14 GmbH Blue Fin Ltd. Series 4 Class B US HU, EQ Modeled Loss MMF $40,000


2011-1 Class A US HU Indemnity MMF $70,000 BB-


2011-1 Class B US HU Indemnity MMF $131,835 BB-



Series 2011-I Class 1 US (HU, EQ, ST, WS, WF) Indemnity MMF $57,000 B+



Series 2011-I Class 2 US (HU, EQ, ST, WS, WF) Indemnity MMF $33,000 B-



Series 2011-I Class 5 US (HU, EQ, ST, WS, WF) Indemnity MMF $160,000 B+

Jun-11 Argo Re, Ltd. Loma Reinsurance Ltd.

Series 2011-1 Class A US HU, EQ, EU

Wind, JP EQ Industry Index TPR $100,000 BB-

Jul-11 Munich Re Queen Street III Capital Limited EU Wind Industry Index MMF $150,000 B+

Aug-11 California Earthquake Authority

Embarcadero Reinsurance Ltd. Series 2011-I Class A CAL EQ Indemnity MMF $150,000 BB-

Aug-11 Electricité Réseau Distribution France

Pylon II Capital Limited Class A FR Wind Parametric Index TPR € 65,000 B+

Aug-11 Electricité Réseau Distribution France

Pylon II Capital Limited Class B FR Wind Parametric Index TPR € 85,000 B-


* Equity

75




Aug-11Tokio Marine & Nichido Fire Insurance Co., Ltd.

Kizuna Re Ltd. Series 2011-1 JP TY Indemnity MTN $160,000

Oct-11 AXA Global P&C Calypso Capital Limited

Series 2011-1 Class A EU Wind Industry Index MTN € 180,000 BB-

Oct-11 Munich Re Queen Street IV Capital Limited

US HU, EU Wind Industry Index MMF $100,000 BB-

Nov-11 Swiss Reinsurance Company Ltd. Successor X Ltd. Series

2011-3 Class V-F4 US HU Industry Index MMF $80,000

Nov-11 Swiss Reinsurance Company Ltd. Successor X Ltd. Series

2011-3 Class V-X4 US HU, EU W Industry Index MMF $50,000 B-

Nov-11United Services Automobile Association


Series 2011-II Class 1 US HU, EQ, ST,

WS, WF Indemnity MMF $100,000

Nov-11United Services Automobile Association


Series 2011-II Class 2 US HU, EQ, ST,

WS, WF Indemnity MMF $50,000


Compass Re Ltd. Series 2011-1 Class 1 US HU, EQ Industry Index MMF $75,000 BB-


Compass Re Ltd. Series 2011-1 Class 2 US HU, EQ Industry Index MMF $250,000 BB-


Compass Re Ltd. Series 2011-1 Class 3 US HU, EQ Industry Index MMF $250,000 B+

Dec-11 State Compensation Insurance Fund

Golden State Re Ltd.

Series 2011-1 US EQ Modeled Loss MMF $200,000 BB+


Series 2011-1 Class A US HU, EQ Industry Index MTN $125,000 B


Series 2011-1 Class B US HU, EQ Industry Index MTN $145,000 B+


Series 2011-2 Class A EU Wind Industry Index MTN € 50,000 B

Dec-11 Amlin AG Tramline Re Ltd. Series 2011-1 Class A US HU, EQ, EU

Wind Industry Index MMF $150,000 B-

Dec-11 Argo Re, Ltd. Loma Reinsurance Ltd.

Series 2011-2 Class A US HU, EQ Industry Index MMF $100,000

Jan-12 Assurant, Inc. Ibis Re II Ltd. Series 2012-1 Class A US HU Industry Index MMF $100,000 BB-

Jan-12 Assurant, Inc. Ibis Re II Ltd. Series 2012-1 Class B US HU Industry Index MMF $30,000 B-

Feb-12 California Earthquake Authority

Embarcadero Reinsurance Ltd. Series 2012-I Class A CAL EQ Indemnity MMF $150,000 BB-

Feb-12 ZENKYOREN Kibou Ltd. Series 2012-1 Class A JP EQ Parametric Index MMF $300,000 BB+

Feb-12 Swiss Reinsurance Company Ltd. Successor X Ltd. Series

2012-1Class

V-AA3US HU, EU

Wind Industry Index MMF $23,000

Feb-12 Swiss Reinsurance Company Ltd. Successor X Ltd. Series

2012-1 Class V-D3 US HU Industry Index MMF $40,000 B2

Feb-12 Munich Re Queen Street V Re Limited

US HU, EU Wind Industry Index MMF $75,000


* Equity


76



Mar-12 Liberty Mutual Insurance Company Mystic Re III Ltd. Series

2012-1 Class A US HU, EQ(ex CA) Indemnity MMF $100,000 BB

Mar-12 Liberty Mutual Insurance Company Mystic Re III Ltd. Series

2012-1 Class B US HU, EQ Indemnity MMF $175,000 B

Mar-12 Chubb Group East Lane Re V Ltd. Series 2012 Class A Southeast

HU, ST Indemnity MMF $75,000 BB

Mar-12 Chubb Group East Lane Re V Ltd. Series 2012 Class B Southeast

HU, ST Indemnity MMF $75,000 BB-

Mar-12COUNTRY Mutual & North Carolina Farm Bureau Mutual

Combine Re Ltd. Class A US HU, EQ, ST, WS Indemnity MMF $100,000 Baa1


Combine Re Ltd. Class B US HU, EQ, ST, WS Indemnity MMF $50,000 Ba3


Combine Re Ltd. Class C US HU, EQ, ST, WS Indemnity MMF $50,000

Apr-12 Allianz Argos 14 GmbH Blue Danube Ltd. Series 2012-1 Class A US, CB, MX HU,

US, CAN EQ Industry Index MTN $120,000 BB+

Apr-12 Allianz Argos 14 GmbH Blue Danube Ltd. Series 2012-1 Class B US, CB, MX HU,

US, CAN EQ Industry Index MTN $120,000 BB-

Apr-12Louisiana Citizens Property Insurance Corporation

Pelican Re Ltd. Series 2012-1 Class A LA HU Indemnity MMF $125,000

Apr-12 Mitsui Sumitomo Insurance Co., Ltd Akibare II Ltd. Series

2012-1 Class A JP TY Modeled Loss MMF $130,000 BB

Apr-12 Citizens Property Insurance Corporation

Everglades Re Ltd.

Series 2012-1 Class A FL HU Indemnity MMF $750,000 B+

May-12 Swiss Reinsurance Company Ltd. Mythen Ltd. Series

2012-1 Class A US HU Industry Index MTN $50,000 Ba3


2012-1 Class E US HU Industry Index MTN $100,000 Ba3


2012-1 Class H US HU, EU Wind Industry Index MTN $250,000 B2

May-12United Services Automobile Association


Series 2012-I Class 3 US HU, EQ, ST, WS, CAL WF Indemnity MMF $50,000 BB-



Series 2012-I Class 5 US HU, EQ, ST, WS, CAL WF Indemnity MMF $110,000 BB



Series 2012-I Class 7 US HU, EQ, ST, WS, CAL WF Indemnity MMF $40,000

Jun-12 The Travelers Indemnity Company

Long Point Re III Ltd.

Series 2012-1 Class A Northeast HU Indemnity MMF $250,000 BB+


* Equity

77


Appendix IIILife & Health Catastrophe Bonds – Transaction Summary

As of June 30, 2012



78

Issuance Date Beneficiary Issuer Series Class Perils Trigger Size ($MM) S&P

Dec-03 Swiss Re Vita Capital Ltd. Series 1 Extreme Mortality Index $400,000 A+

Apr-05 Swiss Re Vita Capital II Ltd. Series 1 Class B Extreme Mortality Index $62,000 A-

Apr-05 Swiss Re Vita Capital II Ltd. Series 1 Class C Extreme Mortality Index $200,000 BBB+

Apr-05 Swiss Re Vita Capital II Ltd. Series 1 Class D Extreme Mortality Index $100,000 BBB-

Apr-06 Scottish Annuity & Life Insurance Company (Cayman) Ltd. Tartan Capital Limited Series 1 Class A Extreme Mortality Index $75,000 AAA

Apr-06 Scottish Annuity & Life Insurance Company (Cayman) Ltd. Tartan Capital Limited Series 1 Class B Extreme Mortality Index $80,000 A-

Nov-06 AXA Cessions OSIRIS Capital plc Series 1 Class B Extreme Mortality Index € 100,000 BBB

Nov-06 AXA Cessions OSIRIS Capital plc Series 2 Class B Extreme Mortality Index € 50,000 BB+

Nov-06 AXA Cessions OSIRIS Capital plc Series 3 Class C Extreme Mortality Index $150,000 A

Nov-06 AXA Cessions OSIRIS Capital plc Series 3 Class D Extreme Mortality Index $100,000 A

Dec-06 Swiss Re Vita Capital III Ltd. Series 1 Class B Extreme Mortality Index $90,000 A

Dec-06 Swiss Re Vita Capital III Ltd. Series 2 Class B Extreme Mortality Index $50,000 AAA

Dec-06 Swiss Re Vita Capital III Ltd. Series 3 Class B Extreme Mortality Index € 30,000 AAA

Jan-07 Swiss Re Vita Capital III Ltd. Series 4 Class A Extreme Mortality Index $100,000 AAA

Jan-07 Swiss Re Vita Capital III Ltd. Series 5 Class A Extreme Mortality Index $100,000 AAA

Jan-07 Swiss Re Vita Capital III Ltd. Series 5 Class B Extreme Mortality Index $50,000 AAA

Jan-07 Swiss Re Vita Capital III Ltd. Series 6 Class A Extreme Mortality Index € 55,000 AAA

Jan-07 Swiss Re Vita Capital III Ltd. Series 6 Class B Extreme Mortality Index € 55,000 AAA

Jan-07 Swiss Re Vita Capital III Ltd. Series 7 Class A Extreme Mortality Index € 100,000 AA-

Feb-08 Munich Re Nathan Ltd. Series 1 Class A Extreme Mortality Index $100,000 A-

Jan-09 Swiss Re Vita Capital IV Ltd. Series 1 Class E Extreme Mortality Index $75,000 BB+

May-10 Swiss Re Vita Capital IV Ltd. Series III Class E Extreme Mortality Index $50,000 BB+

Oct-10 Swiss Re Vita Capital IV Ltd. Series III Class E Extreme Mortality Index $100,000 BB+

Oct-10 Swiss Re Vita Capital IV Ltd. Series IV Class E Extreme Mortality Index $75,000 BB+

Dec-10 Aetna Life Insurance Company Vitality Re Limited Series 2010-1 Class A Health Indemnity -

MBR $150,000 BBB-

Dec-10 Swiss Re Kortis Capital Ltd. Series 2010-1 Class E Longevity Index $50,000 BB+

Apr-11 Aetna Life Insurance Company Vitality Re II Limited Series 2011-1 Class A Health Indemnity -

MBR $110,000 BBB

Apr-11 Aetna Life Insurance Company Vitality Re II Limited Series 2011-1 Class B Health Indemnity -

MBR $40,000 BB+

Aug-11 Swiss Reinsurance Company Ltd. Vita Capital IV Ltd. Series V Class D Extreme Mortality Index $100,000 BBB-

Aug-11 Swiss Reinsurance Company Ltd. Vita Capital IV Ltd. Series VI Class E Extreme Mortality Index $80,000 BB+

Jan-12 Aetna Life Insurance Company Vitality Re III Limited Series 2012-1 Class A Health Indemnity -

MBR $105,000 BBB+

Jan-12 Aetna Life Insurance Company Vitality Re III Limited Series 2012-1 Class B Health Indemnity -

MBR $45,000 BB+


79


Appendix IVSummary of Sidecar Issuance

As of June 30, 2012



80

Sidecar Principal Sponsor Inception Line of BusinessSize

($Millions)

Top Layer Re Renaissance Re, SF Dec-99 High Excess U.S. Property Cat 100.0

Olympus Re White Mountains Re Dec-01 Property Cat, Property Risk, Retro, and Marine 500.0

DaVinci Re Renaissance Re, SF Dec-01 Property Cat Reinsurance 600.0

Rockridge Re Montpelier Re Jun-05 High Excess Cat Retrocessional 90.9

Blue Ocean Re Montpelier Re Dec-05 Property Cat Retrocessional 300.0

Cyrus Re XL Capital Dec-05 Property Cat Reinsurance and Retrocessional 525.0

Flatiron Re Arch Re Dec-05 Property and Marine Reinsurance 900.0

Helicon Re White Mountains Re Dec-05 Short-Tailed Property and Marine 146.0

Kaith/K5 Hannover Re Dec-05 Property Cat, Property Risk, Aviation and Marine 370.0

Olympus Re II White Mountains Re Jan-06 Property Cat, Property Risk, Retro and Marine 156.0

Petrel Re Validus May-06 Marine And Offshore Energy Reinsurance Contracts 125.0

Starbound Re Renaissance Re May-06 Short-Tailed Property and Marine 310.5

Bay Point Re Harbor Point Jun-06 U.S. Property, Marine, Retro, and Workers’ Comp 150.0

Sirocco Re Lancashire Jun-06 Marine and Offshore Energy Insurance Contracts 75.0

Timicuan Re Renaissance Re Jul-06 Reinstatement Premium Protection 70.0

Concord Re Lexington Insurance Co Aug-06 U.S. Commercial Property 730.0

Mont Fort Re Flagstone Re Aug-06 Peak Zone And ILW 60.0

Cyrus Re XL Capital Nov-06 Property Cat Reinsurance and Retrocessional 635.0

Panther Re Hiscox Dec-06 Property Cat Reinsurance 360.0

Syncro Ltd. Lloyd’s #4242 (Chaucer) Dec-06 Property Cat Reinsurance 100.0

Norton Re Brit Insurance Dec-06 Property Cat Retrocessional 107.7

New Point Re Harbor Point Dec-06 Property Cat Retrocessional 250.0

Triomphe Re Paris Re Dec-06 Property Cat Retrocessional 185.0

Sector Re Swiss Re Jan-07 Property Cat, Aviation 220.0

MaRI Ltd. ACE Jan-07 Property Cat Reinsurance 400.0

Syndicate 6105 Ark Underwriting Jan-07 Property Cat Reinsurance 40.0

Syndicate 6104 Hiscox Jan-07 Property Cat Reinsurance 69.0

Syndicate 6103 Mapfre Ltd. Jan-07 Property Cat Reinsurance 78.6

Bridge Re Swiss Re Apr-07 Property Cat, Aviation 182.5

Starbound Re II Ren Re Jun-07 Property Cat Reinsurance 341.5

Mont Gele Re Flagstone Re Jul-07 Property Cat Reinsurance 60.0

Norton Re II Brit Insurance Dec-07 Property Cat Retrocessional 118.2

Sector Re II Swiss Re Apr-08 Property Cat, Aviation 150.0

Cyrus Re ll XL Capital Dec-07 Property Cat Reinsurance and Retrocessional 140.0

New Point Re II Harbor Point Dec-07 Property Cat Retrocessional 100.0

Globe Re Hannover Re May-08 Property Cat Retrocessional 133.0

Kaith/K6 Hannover Re Mar-09 Property Cat, Property Risk, Aviation and Marine 180.0

Timicuan Re II Renaissance Re Jun-09 Property Cat Retrocessional, Primarily Florida 60.4

Fac Pool Re Hannover Re Sep-09 Worldwide Fac 60.0

Summary of Sidecar Issuance

81


Sidecar Principal Sponsor Inception Line of BusinessSize

($Millions)

AlphaCat Re Validus May-11 Property Cat Reinsurance and Retrocessional 180.0

DaVinci Re* Renaissance Re Jun-11 Property Cat, Specialty 100.0

Accordion Re Lancashire Re Jul-11 Property Cat 200.0

New Point Re IV Alterra Jul-11 Property Cat Retrocessional 225.0

AlphaCat Re 2011* Validus Dec-11 Property Cat Reinsurance and Retrocessional 71.0

Upsilon Re Renaissance Re Jan-12 Property Cat Retrocessional 73.7

SPS 20881 Catlin Jan-12 Various lines (Syndicate 2003 quota share) 77.5



AlphaCat Re 2011*2 Validus Feb-12 Property Cat Reinsurance and Retrocessional 39.9

PacRe Validus Mar-12 Property Cat Reinsurance (top layer) 500.0

Accordion Re* Lancashire Apr-12 Property Cat 75.0

Timicuan Re III Renaissance Re Jun-12 Property Cat Retrocessional, primarily Florida 73.7

New Point Re V Alterra Jun-12 Property Cat Retrocessional 210.0

AlphaCat Re 2012 Validus Jun-12 Property Cat Reinsurance and Retrocessional 70.0

* Additional equity raise for existing vehicle1 Converted at 1 £ = $1.55 as of January 1, 2012. Whole account quota share of the Catlin Syndicate at Lloyd's (Syndicate 2003)2 Net of Validus' investment reduction


82

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