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Insurance-Linked SecuritiesCapital Revolution — ILS Market Expands to New Heights 2013

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 sixth 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, 2013, during which time the ILS market received record capital inflows from both new and existing investors. In the first quarter of 2013, this drove spread decreases between 30 and 45 percent from the fourth quarter of 2012. This spurred an active issuance period for the first half of 2013, with the highest issuance levels since 2007.

Specifically, the 2013 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 $50.7 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

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Aon Benfield Securities

Contents 5 Aon Benfield Securities' Annual Review

of the Catastrophe Bond Market

13 ILS Investor Activity

19 The Aon Benfield ILS Indices

22 ILS-Related Markets

25 U.S. Perils

29 Europe Perils

31 Asia / Pacific Region

33 A Market Discussion with ILS Investors

44 Appendix I Catastrophe Bond Issuance Statistics

50 Appendix II Property Catastrophe Bonds — Transaction Summary

70 Appendix III Life & Health Catastrophe Bonds — Transaction Summary

72 Appendix IV Summary of Sidecar Issuance

Insurance-Linked Securities 2013

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Aon Benfield Securities' Annual Review of the Catastrophe Bond Market

Overview

The year ending June 30, 2013 was a dynamic period for the insurance-linked securities (ILS) market. Large investor inflows, from both new and existing participants, drove declining spreads which in turn sparked increasing sponsor interest.

As of June 30, annual issuance volume reached $6.7 billion (Figure 1) and total bonds on risk were at an all-time high of $17.5 billion (Figure 2), an increase of $2.6 billion from the previous year and surpassing the previous record of $16.2 billion at June 30, 2008.

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

20132012201120102009200820072006200520042003

5,914

1,780

4,6614,382

6,4306,665

8,145

3,279

1,499

1,958

1,011

USD

Mill

ions

Property Issuance

Life / Health Issuance

5


Figure 2: Outstanding and Cumulative Catastrophe Bond Volume, 2003 – 2013 (Years ending June 30)


The new record level of catastrophe bonds on risk highlights the recent expansion of the ILS market. An increasing number of bonds will mature over the next two years due to the increase in issuance following the global financial crisis. Aon Benfield Securities forecasts that the market expansion will continue, as new issuance volumes are expected to outweigh maturities in the coming years.

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


0

5,000

10,000

15,000

20,000

25,000

30,000

35,000

40,000

45,000

50,000

20132012201120102009200820072006200520042003

USD

Mill

ion

s

PropertyOutstanding

Life / HealthOutstanding

CumulativePropertyIssuance

TotalCumulativeBonds

3,005 3,876 4,7417,945

9,444

12,723

20,867

26,78228,562

33,223

37,605

44,035

50,700

6,608

12,911

16,155

13,249 13,16711,504

14,92317,513

0

1,000

2,000

3,000

4,000

5,000

6,000

20152014201320122011201020092008

5,585

425250

4,157

100

3,900

2,483

5,674

804

371 329

2,670

4,531

155

3,939

USD

Mill

ions

PropertyMaturities

Life / HealthMaturities


6

Key Market Drivers

• Supply and DemandIn the 18 months ending June 30, 2013, there were large capital inflows across the ILS sector from both existing and new investors. Since January 2012, an estimated $5 to 6 billion in new capital has entered the market, with around $3 billion flowing into the market in the last six months. This additional capital has created strong demand from investors for new issuance. In 2013, sponsors began benefitting from this demand, with transactions often closing at spreads below the rates expected in the traditional reinsurance markets. Spreads were down between 30 percent and 45 percent in the first half of 2013, compared to the fourth quarter of 2012. This spurred a very active period of issuance for the first half of 2013, which continued well into the third quarter. Investors kept pace with the primary activity, even during periods where many transactions were on offer simultaneously.

• Enhanced CoverageIndemnity issuances continued to be an important component of the catastrophe bond market, comprising 13 of the 27 issuances that closed in the year ending June 30, 2013. A number of sponsors securing U.S. hurricane coverage also locked in capacity for longer than the typical three years. These included Nationwide Mutual Insurance Company (Nationwide Mutual), Allstate Insurance Company (Allstate), Louisiana Citizens Property Insurance Company (Louisiana Citizens) and Amlin AG, which all secured coverage for four years.

American International Group (AIG) successfully moved to an indemnity trigger, following several industry index transactions. The ground-breaking indemnity transaction, which includes commercial property and energy risks, provides AIG with coverage for five years.

• Benign Loss ActivityThere was no loss activity that resulted in catastrophe bond payouts for the year ending June 30, 2013. Superstorm Sandy, which made landfall in the United States on October 29, 2012, gained significant attention due to the amount of Northeast exposure in the ILS market. As losses were reported over the following months, and as Property Claim Services’ (PCS) estimate of the total industry insured property losses stabilized, it became clear that Sandy was unlikely to impact the catastrophe bond market.

Transaction Review

Twenty seven transactions (including three deals covering life and health risks) closed during the 12-month period ending June 30, 2013. The average transaction size increased to $247 million for this period, compared to $211 million for the 12-month period ending June 30, 2012.

U.S. hurricane risk continued to be the main peril ceded to the ILS market, and comprised around two thirds of notional limit issued over the 12 months. The contribution to expected modeled loss from U.S. hurricane risk for new property

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catastrophe issuances increased from 51 percent for the year ending June 30, 2012 to 56 percent for the same period in 2013. By comparison, the contribution from Europe windstorms decreased from 17 percent to six percent in the same timeframe. The contribution to expected modeled loss from U.S. earthquakes increased slightly from 20 percent to 23 percent. Meanwhile, life and health issuance activity contributed $545 million of issuance across three transactions. This includes one class of notes from Mythen Re Ltd. Series 2012-2 (Mythen Re 2012-2), which provides Swiss Reinsurance Company Ltd. (Swiss Re) with coverage for both UK extreme mortality and U.S. hurricanes.

Third Quarter 2012Four transactions totaling $804 million closed during the third quarter of 2012. The issuances offered investors a diverse selection of perils including Europe windstorm, California earthquake, Japan typhoon and extreme mortality.

Transactions issued in the third quarter of 2012 include:

• Embarcadero Reinsurance Ltd. (Embarcadero Re), sponsored by the California Earthquake Authority (CEA), provides indemnity coverage on an annual aggregate basis. The transaction was upsized to $300 million, providing the CEA with $600 million of total capacity from cat bonds; and

• Eurus III Ltd. (Eurus III), sponsored by Hannover Rückversicherung AG (Hannover Re) provides €100 million coverage against Europe windstorms for four seasons on an industry index basis. The transaction utilize European Bank for Reconstruction and Development (EBRD) notes as collateral, which provide an investment yield of 3M Euribor less 38 basis points.

Table 1: Third Quarter 2012 Catastrophe Bond Issuance

Beneficiary Issuer Series Class Size (millions)

Covered Perils Trigger Collateral

Münchener Rückversicherungs-Gesellschaft Aktiengesellschaft in München (Munich Re)

Queen Street VI Re Limited $100.0 US HU, EU

Wind Industry Index MMF

Swiss Re Vita Capital V Ltd. Series 2012-I

Class D-1 $125.0 AUS, CAN Mortality

Industry Index IBRD Notes

Class E-1 $150.0AUS,

CAN, US Mortality

CEA Embarcadero Reinsurance Ltd. Series 2012-II Class A $300.0 CAL EQ Indemnity MMF

Hannover Re Eurus III Ltd. Series 2012-1 Class A €100.0* EU Wind Industry Index EBRD Notes

Total Closed During Q3 2012 $804.1

Source: Aon Benfield Securities* Converted at €1.00 = $1.29 as of September 13, 2012

Historically, the third quarter has been characterized by light issuance volumes. In the past couple of years, however, issuance volumes for the third quarter have increased; this trend continued in 2013.

Legend AUS – Australia CAL – California CAN – Canada EU – Europe

US – United States EQ – Earthquake HU – Hurricane


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Fourth Quarter 2012Seven transactions closed in the fourth quarter of 2012, totaling $1.9 billion. New issuances were sourced solely from repeat sponsors and included the following transactions:

• MultiCat Mexico Limited Series 2012-I, the second issuance from the existing program, provides $315 million in protection for The Fund for Natural Disasters on a parametric basis. The three classes of notes provide coverage against Mexico earthquakes as well as hurricanes from the Pacific and Atlantic.

• Compass Re Ltd. Series 2012-1 provides National Union Fire Insurance Company of Pittsburgh (AIG) with $400 million in coverage against hurricanes and earthquakes on an industry index basis. The two-year transaction was not initially broadly marketed, but is tradable in the secondary market.

Table 2: Fourth Quarter 2012 Catastrophe Bond Issuance



The Fund for Natural Disasters MultiCat Mexico Limited

Series 2012-I

Class A $140.0 MX EQ

Parametric MMFClass B $75.0 MX HU

Class C $100.0 MX HU

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

Index MMF

SCOR Global P&C SE (SCOR) Atlas Reinsurance VII Limited

Class A $60.0 US HU, EQ Industry Index EBRD Notes

Class B €130.0 * EU Wind

Swiss Re Mythen Re Ltd. Series 2012-2

Class A $120.0 US HU, UK Mortality Industry

IndexIBRD Notes

Class C $80.0 US HU

United Services Automobile Association (USAA)

Residential Reinsurance 2012 Limited

Series 2012-II

Class 1 $155.0

US HU, EQ, ST, WS, CAL WF Indemnity MMF

Class 2 $70.0

Class 3 $95.0

Class 4 $80.0

AIG Compass Re Ltd. Series 2012-1 Class 1 $400.0 US HU, EQ Industry

Index MMF

Zurich American Insurance Company and Zurich Insurance Company Ltd. (Zurich)

Lakeside Re III Ltd. $270.0 US, CAN EQ Indemnity MMF

Total Closed During Q4 2012 $1,888.2

Source: Aon Benfield Securities* Converted at €1.00 = $ 1.29 as of November 1, 2012

LegendCAL – CaliforniaCAN – CanadaEU – EuropeMX – Mexico UK – United KingdomUS – United States

EQ – EarthquakeHU – HurricaneST – Severe ThunderstormWF – WildfireWS – Winter Storm

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First Quarter 2013Catastrophe bond issuance for 2013 began with a relatively light first quarter. Three transactions closed totaling $670 million, including one health bond. The other transactions comprised:

• Caelus Re 2013 Limited Series 2013-1 (Caelus Re 2013-1), sponsored by Nationwide Mutual, provides coverage against U.S. hurricanes and earthquakes. The transaction closed well below marketed price guidance and was upsized to $270 million. Caelus Re 2013-1 was the first property catastrophe bond to close in 2013 and demonstrated the dramatic spread decreases from the fourth quarter 2012, as discussed earlier. Nationwide Mutual returned in the second quarter of 2013 with a subsequent issuance, bringing their total on-risk coverage from catastrophe bonds to $590 million.

• Everglades Re Ltd. Series 2013-1 (Everglades Re 2013), sponsored by Citizens Property Insurance Corporation (Florida Citizens), closed its second catastrophe bond transaction in two years. Everglades Re 2013 provides $250 million in indemnity coverage for Florida Citizens, bringing its total on-risk coverage to $1.0 billion from catastrophe bonds. Florida Citizens also benefitted from the large spread decreases since the prior issuance. Everglades Re 2013 closed at almost half the multiple of expected loss of the 2012 issuance.

Table 3: First Quarter 2013 Catastrophe Bond Issuance



Aetna Life Insurance Vitality Re IV Limited Series 2013-1

Class A $105.0 Health Indemnity (MBR)

MMF

Class B $45.0 Health Indemnity (MBR)

Nationwide Mutual Caelus Re 2013 Limited Series 2013-1 Class A $270.0 US HU, EQ Indemnity MMF

Florida Citizens Everglades Re Ltd. Series 2013-1 Class A $250.0 FL HU Indemnity MMF

Total Closed During Q1 2013 $670.0

Source: Aon Benfield Securities Legend FL – Florida US – United States

EQ – Earthquake HU – Hurricane


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Second Quarter 2013The second quarter of 2013 was a very active period, during which 13 transactions closed bringing a total of $3.3 billion of new issuance. Transactions included:

• Merna Re IV Ltd. (Merna Re IV), State Farm Fire and Casualty Company's (State Farm) fifth catastrophe bond issuance, provides coverage against earthquakes in the New Madrid region on an indemnity basis. The $300 million transaction closed at the low end of marketed price guidance and achieved the lowest absolute spread in five years.

• Sanders Re Ltd. (Sanders Re), Allstate’s first issuance since 2008, provides coverage against hurricanes and earthquake across two classes of notes. The industry index transaction was upsized to $350 million, with each class closing below initial marketed price guidance. Additionally, the transaction achieved the lowest absolute spreads for hurricane capacity since 2008.

• Armor Re Ltd. is the first issuance from American Coastal Insurance Company (America Coastal), which writes commercial residential property insurance in Florida. The transaction provides American Coastal with $183 million in coverage against Florida hurricanes for one season.

Table 4: Second Quarter 2013 Catastrophe Bond Issuance

Beneficiary Issuer Series Class Issue Size (millions)


State Farm Merna Re IV Ltd. $300.0 New Madrid EQ Indemnity MMF

Nationwide Mutual Caelus Re 2013 Limited Series 2013-2 Class A $320.0 US HU, EQ Indemnity MMF

North Carolina JUA/IUA Tar Heel Re Ltd. Series 2013-1 Class A $500.0 NC HU Indemnity MMF

Turkish Catastrophe Insurance Pool Bosphorus 1 Re Ltd. Series 2013-1 Class A $400.0 Turkey EQ Parametric Index MMF

Allstate Sanders Re Ltd. Series 2013-1Class A $200.0

US HU, EQ Industry Index MMFClass B $150.0

Louisiana Citizens Pelican Re Ltd. Series 2013-1 Class A $140.0 LA HU Indemnity MMF

American Coastal Armor Re Ltd. Series 2013-1 Class A $183.0 FL HU Indemnity MMF

The Travelers Indemnity Company Long Point Re III Ltd. Series 2013-1 Class A $300.0 Northeast HU Indemnity MMF

Allianz Argos 14 GmbH Blue Danube II Ltd. Series 2013-1 Class A $175.0 US, CB, MX HU & US, CAN EQ Industry Index IBRD Notes

USAA Residential Reinsurance 2013 Limited Series 2013-I

Class 3 $95.0 US HU, EQ, ST, WS, CAL WF Indemnity MMF

Class 11 $205.0

Assurant, Inc. Ibis Re II Ltd. Series 2013-1

Class A $110.0

US HU Industry Index MMFClass B $35.0

Class C $40.0

Munich Re Queen Street VIII Re Limited $75.0 US HU, AUS CY Industry Index,

Modeled Loss MMF

Amlin AG Tramline Re II Ltd. Series 2013-1 Class A $75.0 US, CAN EQ Industry Index MMF

Total Closed During Q2 2013 $3,303.0

Source: Aon Benfield Securities LegendAUS – AustraliaCAL – CaliforniaCAN – CanadaCB – CaribbeanFL – Florida

LA – LouisianaMX – MexicoNC – North CarolinaUS – United States CY – Cyclone


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The first half of 2013 produced a total of $4.0 billion1 in new issuance (Figure 4), an increase of $400 million over the first half of 2012, and the highest first half issuance level since 2007.

Figure 4: Catastrophe Bond Issuance by Half-Year


Outlook

As of August 23, new catastrophe bond issuance for the third quarter of 2013 had already reached $1.1 billion. This represents, and may ultimately exceed, the highest level of issuance during a third quarter since 2007, which included State Farm's $1.2 billion Merna Reinsurance Ltd., the largest ever single catastrophe bond issuance.

Repeat and, increasingly, new sponsors are accessing the ILS market to leverage the favorable market conditions. There is strong demand for catastrophe bonds for the remainder of the 2013 calendar year, with investors seeking to deploy capital. Conditions remain positive for the catastrophe bond market, with 2013 issuance on track to reach $7.0 to $8.0 billion in total.

0

1,000

2,000

3,000

4,000

5,000

6,000

7,000

8,000

9,000

2013201220112010200920082007

3,588

2,692

3,973

2,842

2,625

2,011320

1,7572,650

4,976

3,404

2,510

1,460

USD

Mill

ions

January - June

July - December

1 Excludes cat bond lite transactions


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ILS Investor Activity

Capacity Providers

Figure 5: Investor by Category (Years ending June 30)2


The potential effects of the recent record capital inflows to the ILS market have been heavily discussed. Strong investor demand for insurance risks has resulted in more competitive ILS pricing in comparison to the traditional reinsurance product, which in turn has encouraged sponsors to bring more issuances to market. More than ever, cedents are choosing to incorporate ILS into their overall risk transfer programs.

Over the year ending June 30, 2013 cat funds remained the leading source of ILS capacity. Cat funds’ participation, however, decreased to 43 percent for the year ending June 30, 2013, from 51 percent for the prior year period. Participation from hedge funds and reinsurers also declined in the period, each falling to just two percent in 2013, from five percent in the 2012 period. Of note, ILS spreads were more competitive than ever with traditional reinsurance rates. As such, the decreasing capacity from hedge funds and reinsurers is not surprising. The strong inflows to the sector far outweighed the reduced capacity from these two groups which, over the past three years have contributed less than eight percent to total catastrophe bond capacity for the period.

As initially stated in last year’s report, Insurance-Linked Securities: Evolving Strength 2012, we still see mutual funds as a future source for increased direct participation in the ILS sector. In the past year, Stone Ridge Asset Management LLC was formed (“Stone Ridge”) to become the first reinsurance-focused mutual fund. Stone Ridge helped to increase mutual fund contribution to ILS capacity to 12 percent in 2013 — up from five percent in 2012. Institutional investors also increased their participation in the sector, ending the period at 41 percent of total catastrophe bond capacity. This contribution is up from 34 percent for the period ending June 30, 2012.

2012

Institutional

Hedge Fund

Mutual Fund

Reinsurer

Catastrophe Fund

2013

41%

2%

12%

2%

43%

34%

5%5%

5%

51%

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

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Capital Origins

The majority of capital for ILS continues to come from U.S. investors. U.S. participation remained relatively stable at 44 percent in 2013, compared to 46 percent in 2012. Participation from Bermuda continued to decline to 14 percent in 2013 from 19 percent in 2012. This represents a decrease of more than 50 percent for Bermuda reinsurers from 2011 levels. Switzerland and the UK both saw notable increases in participation in 2013 from the prior year.

Figure 6: Investor by Country/Region (Years ending June 30)3


General Market Trends

Third Quarter 2012Most investors had their portfolios in place during the third quarter, and as U.S. hurricane season approached they prepared to watch how it would progress. Investors were also able to secure several non-U.S. hurricane-exposed new transactions; Swiss Re brought to market two classes of its extreme mortality series through Vita Capital V Ltd. The notes were upsized from an initial launch of $100 million to $275 million, with both classes closing at the low end of marketed price guidance. The CEA secured $300 million in capacity via Embarcadero Re, double the marketed transaction size. The last transaction to come to the market in the quarter was Hannover Re’s Eurus III. The transaction closed below the marketed price guidance and was upsized due to investor demand. Eurus III also set a new pricing benchmark for standalone Europe windstorm risk, highlighting investor demand for non-U.S. exposures.

Price increases were strong throughout the third quarter as it appeared the hurricane season would be less active than the historical average. Towards the end of the quarter, investors began to add positions with the expectation that prices would rise as the season was deemed loss-free. Demand for non-U.S. risks remained strong throughout the quarter.

2012

U.S.

Other

Bermuda

UK

Switzerland

2013

46%

19%

5%

11%

19%44%

25%

8%

9%

14%

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


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Fourth Quarter 2012Building on the momentum of third quarter issuances, several more diversifying transactions were issued during the fourth quarter. Issuances included both Mexico and Europe windstorm risks. The secondary market began the fourth quarter with many investors paying premiums to secure bonds. In October, U.S. hurricane bonds on their final risk season began trading at levels reflecting many investors’ views that the season would end without a loss.

Superstorm Sandy impacted the northeastern U.S. on October 29, after devastating parts of the Caribbean the week prior. This led to broad price decreases. U.S. hurricane bonds decreased 4.1 percent between October 19 and November 16, while U.S. multi-peril bonds decreased 7.9 percent over the same period. On November 21, PCS released a preliminary estimate of insured industry property damage from Sandy of $11 billion. This was at the low end of many investors' initial expectations, and secondary prices decreased to a lesser extent for the remainder of the quarter. U.S. hurricane bonds decreased 1.9 percent and U.S. multi-peril bonds decreased 3.8 percent between October 19 and December 31.

By the close of 2012, no catastrophe bonds had been impaired due to Sandy. The table below outlines the effect of Sandy on several select bonds' secondary market pricing during the fourth quarter.

Table 5: Superstorm Sandy's Impact on Select Cat Bond Secondary Prices

Transaction Peril(s) Trigger Price (10/19/2012)

Price (11/16/2012)

Price (12/31/2012)

Successor X V-F4 U.S. Hurricane Industry Index 98.01 25.00 75.00

Long Point Re III 2012 Northeast U.S. Hurricane Indemnity 100.73 92.50 100.22

East Lane Re IV B Northeast All Natural Perils Indemnity 103.48 75.00 98.47

Mystic Re III B U.S. Hurricane, U.S. Earthquake Indemnity 107.19 90.00 99.81


Long Point Re III Ltd. Series 2012-1 (Long Point Re III 2012), East Lane Re IV Ltd. Series 2011-I Class B (East Lane Re IV B) and Mystic Re III Ltd. Series 2012-1 Class B (Mystic Re III B), which utilize indemnity triggers, are sponsored by insurers with heavy exposure to the northeast. All three of these classes of notes recouped the majority of their initial mark-to-market losses by year-end (Table 5). The Successor X Ltd. Series 2011-3 Class V-F4 (Successor X V-F4) transaction, however, utilizes an industry index trigger and has a relatively high modeled probability of attachment. This transaction continued to trade at a discount at year end 2012, reflecting the likelihood of impairment if the PCS estimate were to increase significantly.

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Repeat sponsor United Services Automobile Association (USAA) was the first to come to market post-Sandy with a subsequent issuance from Residential Reinsurance 2012 Limited. The transaction was significantly upsized and the two classes also closed below marketed price guidance. Additionally, Compass Re Ltd. Series 2012-1 secured significant capacity consistent with pre-Sandy spreads.

Secondary trading in the fourth quarter has historically been active as investors rebalance their portfolios. In 2012, most investors had ample capital to participate in all primary issuances without having to make substantial portfolio changes. Additionally, trading throughout the quarter was relatively one-sided. More market participants were looking to purchase rather than sell bonds. One exception was in short-dated U.S. earthquake-exposed transactions, where there were more sellers than buyers. As the fourth quarter closed, investors had excess capacity and were anticipating an active 2013.

First Quarter 2013On January 18, PCS released a re-survey estimate of insured industry property damage for Sandy, revising the estimate from $11.00 billion to $18.75 billion. The calculated event index value for the Successor X V-F4 bonds was just below the attachment level. As such, the bonds were marked down to a bid price of 50.

Table 6: Superstorm Sandy Industry Insured Loss Estimates

AIR4 EQE5 RMS6 PCS7 Impact Forecasting8

USD16 – 22 USD10 - 20 USD20 - 25 USD18.75 USD28.2

PCS released a second re-survey estimate on March 22, 2013. The total insured industry loss estimate remained unchanged at $18.75 billion, with increases in Connecticut, New York, Pennsylvania and West Virginia offset by decreases in Maryland and Virginia. The Successor X-F4 bonds ended the first quarter of 2013 marked at a bid price of 65, as investors remained cautious that any further increase in the PCS insured industry loss estimate would likely impact the transaction.

Primary issuance for property catastrophe bonds began a little later than typical in 2013, forcing capital inflows to sit idle. Caelus Re 2013-1 was the first property catastrophe bond marketed in 2013, and benefited from a market with surplus capital. As a result, Caelus Re 2013-1 received broad market support. The transaction closed in March at a level reflecting an estimated 40 percent spread decrease from the fourth quarter of 2012. This set the tone for transactions that soon followed. One such transaction, Everglades Re 2013 closed at an interest spread of 10 percent. This represented a significant decrease from the Everglades Re 2012 interest spread of 17.75 percent, despite having a higher expected loss.

4 AIR Worldwide Corporation ("AIR") as of November 26, 20125 EQECAT, Inc. ("EQE") as of November 1, 20126 Risk Management Solutions, Inc. ("RMS") as of November 14, 20127 PCS as of March 22, 20138 Impact Forecasting’s Annual Global Climate and Catastrophe Report: 2012


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Given the later start to primary market issuance during the first quarter, investors looked to the secondary market for additions to their portfolios. Despite some reluctance from sellers, investors could secure positions in the secondary market for a premium. Investor demand for ILS products led to strong mark-to-market gains throughout the first quarter. The Aon Benfield All Bond Index increased by 3.1 percent — a notable increase since U.S. hurricane seasonality typically reduces absolute spread levels during the first half of the year. At the midpoint of the first quarter, secondary market trading slowed as investors’ focus shifted to the primary issuances in the market.

Second Quarter 2013Unprecedented demand for catastrophe bonds continued into the second quarter of 2013, with new issuance for the first half of 2013 totaling $4.0 billion — the largest issuance figure since the first half of 2007, where almost $5.0 billion of new catastrophe bonds closed. Despite such an active quarter, investor capital kept pace with primary market issuance. Many transactions were upsized, and oversubscription for issuances allowed a number of transactions to close at or below the low end of marketed price guidance.

Investors continued to find catastrophe bonds attractive throughout the second quarter, despite the ongoing decrease in interest spread levels relative to 2012. In many cases, the ILS market offered collateralized, multi-year protection at more aggressive levels than traditional reinsurance markets. The demand for ILS had a ripple effect across the traditional markets. Sponsors benefitted from the competition between reinsurers and alternative forms of capital, including catastrophe bonds and collateralized reinsurance.

Interest spreads remained competitive throughout the second quarter with some stabilization seen towards the end of the period. Over 75 percent of the catastrophe bond limit placed in the quarter was exposed to U.S. hurricanes. New transactions with hurricane exposure continued to come to market, despite the onset of the U.S. hurricane season.

Three non-U.S. hurricane-exposed bonds came to the market in the second quarter. These were also the lowest yielding bonds of the period. Minimum pricing was tested with State Farm’s Merna Re IV, covering New Madrid earthquake, and the Turkish Catastrophe Insurance Pool’s Bosphorus 1 Re Ltd., covering Turkey earthquake. Both transactions priced at 2.50 percent, the lowest absolute spread in five years. Additionally, Amlin’s Tramline Re II Ltd., covering U.S. and Canada earthquake, secured $75 million at 3.25 percent.

As minimum interest spread thresholds decreased, many sponsors found it attractive to issue catastrophe bonds for the more remote layers of their risk transfer programs. No transaction brought to market during the second quarter had a double-digit interest spread. This led to stronger investor demand for higher yielding bonds.

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In the secondary market, several investors began to take profits by selling recently issued bonds at a premium after a very short period of holding the securities. Many bonds issued in the second quarter were almost instantly trading at premium levels in the secondary market. As the quarter closed, sellers entered the secondary market to release capacity for new issuances and rebalance portfolios after an active period for ILS and the collateralized markets.

Outlook

Despite declines in ILS spreads, we continue to see new capital flowing into the market on a direct and indirect basis. Aon Benfield Securities believes that these investors are long term in nature and will tend to stay invested even if interest rates improve in traditional investments. Spread levels achieved in the first half of 2013 are expected to continue for the remainder of the year and into 2014. The willingness of ILS investors to broaden the risks available for securitization has already brought new interest from sponsors in ILS market initiatives. We expect the market will continue to broaden the scope of coverage beyond vanilla natural catastrophe risks, and find innovative ways to utilize the fresh new capital sources. We anticipate an active remainder of 2013 for new issuances that could rival the record set in 2007.


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

Table 7: Aon Benfield ILS Indices9

Index Title Return for Annual Period Ending June 30

5 yr Avg Annual Return

10 yr Avg Annual Return

Aon Benfield ILS Indices 2013 2012 2008-2013 2003-2013

All Bond Bloomberg Ticker (AONCILS) 12.14% 7.36% 8.41% 8.23%

BB-rated Bond Bloomberg Ticker (AONCBB) 8.16% 7.90% 7.17% 7.04%

U.S. Hurricane Bond Bloomberg Ticker (AONCUSHU) 13.19% 7.60% 9.10% 9.27%

U.S. Earthquake Bond Bloomberg Ticker (AONCUSEQ) 6.89% 4.37% 5.48% 6.59%

Benchmarks

3-5 Year U.S. Treasury Notes -0.61% 4.61% 4.22% 3.88%

3-Year U.S. Corporate BB 4.06% 6.27% 8.21% 6.83%

S&P 500 17.92% 3.14% 4.64% 5.12%

ABS 3-5 Year, Fixed Rate 1.55% 5.90% 5.91% 3.72%

CMBS Fixed Rate 3-5 Year 4.73% 8.41% 9.28% 6.29%

On an annual basis, through June 30, 2013, all Aon Benfield ILS Indices posted gains. The Aon Benfield All Bond and BB-rated Bond Indices posted returns of 12.14 percent and 8.16 percent, respectively. The U.S. Hurricane and U.S. Earthquake Bond Indices returned 13.19 percent and 6.89 percent, respectively. Each bond index benefitted from strong mark-to-market gains, especially throughout the first half of 2013 as investor demand drove spreads to historically low levels. On an annual basis, each Aon Benfield ILS Index outperformed comparable fixed income benchmarks; however, they did not outperform the S&P 500 index.

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

The 3-Year U.S. 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 U.S. 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 U.S. 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.

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The 10-year average annual return of the Aon Benfield All Bond Index was again superior to other benchmark returns. This demonstrates the value of a diversified book of pure insurance risks for long term investors, who continue to value the asset class as a true alternative. For the annual period to June 30, 2013 the market continued to expand as institutional investors allocated additional capital to ILS products.

The past year has been a watershed moment for the ILS market, as pricing came in line with, and in many cases was lower than traditional reinsurance. Aon Benfield expects the market conditions seen in the period under review to persist for the remainder of 2013, absent a large catastrophe event. This will have a negative effect on the index values, as new bonds will close at reduced spreads, and existing bonds have already experienced significant mark-to-market gains as they repriced to new levels. Despite these market dynamics, the ILS return profile relative to other fixed income markets is expected to remain strong into 2014. The diversifying nature of ILS, along with the low correlation of ILS to other markets, should entice investors to deploy additional capital even as the rates on new issuances and yields on existing bonds fall below the norms of previous years.

Figure 7: Aon Benfield All Bond Indices versus Financial Benchmarks

Source: Aon Benfield Securities, Bloomberg

All Bond

3 Year U.S.Corporate BB+

ABS 3-5 Yrs,Fixed Rate

CMBS FixedRate 3-5 Yrs

S&P 500

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Figure 8: Historical Performance of Aon Benfield ILS Indices


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ILS-Related Markets

Sidecar Market Review

A number of new sidecars were launched by first time sponsors for the 2013 reinsurance renewal season, along with a series of additional capital raises and renewals for existing sidecars. Despite losses from Superstorm Sandy and the drought-driven U.S. crop losses, the 2013 reinsurance renewal season did not experience noticeable capacity shortfalls. Sponsors subsequently marketed sidecars to a different class of investor than have traditionally predominated in the class, with certain sponsors offering a more diverse risk profile.

Table 8: Sidecars Launched During 12 Months to June 30, 2013

Sidecar Principal Sponsor Inception Line of Business Size (millions)

Saltire Re I Lancashire Re Nov-12 Combined exposure UNL aggregate reinsurance product $250

New Point Re V Alterra Capital Dec-12 Property cat retrocessional $37

Upsilon Re II RenaissanceRe Jan-13 Worldwide aggregate retrocessional reinsurance $185

Harambee Re Argo Group Jan-13 Portfolio for both insurance and reinsurance N/A

AlphaCat Re 2013 Validus Jan-13 Worldwide property catastrophe reinsurance and retrocession $230

Mt. Logan Re Everest Re Jan-13 Worldwide property catastrophe reinsurance $250

Lorenz Re PartnerRe Mar-13 Worldwide property catastrophe reinsurance for select accounts $75

Altair Re ACE Apr-13 Worldwide property catastrophe insurance and reinsurance $95

Total $1,122

Source: Aon Benfield Securities, company press releases

The reinsurance sector continued to see a gradual trend in companies diversifying their revenue streams and capital structure as they sought to respond to the increased profile of the wider ILS asset class among institutional investors. This shift in capital served to encourage sponsors to launch sidecars and accounted for a number of new launches in the first half of 2013.

In addition, over the last 12 months, a number of reinsurers have increased their efforts to raise third party capital, including Validus Re and Montpelier Re, among others.


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Figure 9: Form of Transaction


As illustrated in Figure 9, the perception and attraction of non-equity reinsurance investments led to increased capacity provided by collateralized markets within the property catastrophe markets during the 12 months under review.

2010 2011 2012 2013YTD

2009200820072006200520042003200275%

80%

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95%

100%ILW

Sidecar

Cat Bonds

Traditional UNL

Collateralized Re

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Industry Loss Warranty (ILW) Review

ILW trading for the first half of 2013 was relatively robust, comprising the traditional peaks in the first quarter and a seasonal increase as U.S. hurricane season approached. Trading volumes reduced year-on-year by an estimated 15 to 20 percent, coinciding with meaningful price reductions across all territories and perils, and resulting in reduced budgets and reduced spend.

Figure 10 below illustrates how pricing on U.S. All Natural Peril deals continued to come under pressure during the first half of 2013. This is partly due to additional capacity, particularly for U.S. hurricane and specifically Florida, but also due to the wider macro conditions being experienced in the reinsurance market.

Figure 10: Total U.S. ILW Trade Volume and Price Movement since 2011


Interest in structured ILWs remained strong by June 30, 2013 with many buyers opting for region-specific weighted solutions; however, the inherent basis risk prevalent in these structures remained a concern for many buyers. As a result, basis risk wraps became more commonplace to cover post event shortfalls.

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U.S. PerilsIn 12 months to June 30, 2013 many issuances that covered U.S. perils were brought to market by both new and repeat sponsors. In the second half of 2012, eight transactions closed covering U.S. perils (Table 9) – many at the low end of marketed price guidance or below. This was an early signal of the spread declines the market would experience in the months to follow.

Table 9: Second Half 2012 ILS Transactions Covering U.S. Perils

Beneficiary Issuer Series Class Size (millions) Covered Perils Trigger Rating Expected

Loss10Interest Spread

Munich Re Queen Street VI Re Limited $100 US HU, EU Wind Industry

Index B 2.91% 10.35%

CEAEmbarcadero Reinsurance Ltd.

Series 2012-II Class A $300 CAL EQ Indemnity BB+ 0.78% 5.0%

Munich Re Queen Street VII Re Limited $75 US HU, EU Wind Industry

Index B 2.87% 8.60%

SCORAtlas Reinsurance VII Limited

Class A $60 US HU, EQ Industry Index BB- 1.89% 8.00%

Swiss Re Mythen Re Ltd. Series 2012-2

Class A $120 US HU, UK Mortality Industry Index

B+ 2.20% 8.50%

Class C $80 US HU B- 4.28% 11.75%

USAAResidential Reinsurance 2012 Limited

Series 2012-II

Class 1 $155

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

BB+ 0.48% 4.50%

Class 2 $70 BB 0.91% 5.75%

Class 3 $95 Not Rated 3.67% 12.75%

Class 4 $80 Not Rated 7.61% 19.00%

AIG Compass Re Ltd.

Series 2012-1 Class 1 $400 US HU, EQ Industry

IndexNot Rated 4.14% 14.25%

Zurich Lakeside Re III Ltd. $270 US, CAN EQ Indemnity B+ 2.04% 8.00%


In the second half of 2012, transactions comprised regular market participants including Munich Re, which sponsored two issuances with a combined total capacity of $175 million for U.S. hurricane and Europe windstorm.

USAA continued its semi-annual issuance strategy. The insurer secured $400 million in protection against U.S. hurricanes, earthquakes, severe thunderstorms, winter storms and wildfires across four classes of notes.

10 Annualized modeled expected losses; sensitivity cases are used if U.S. hurricane is covered.

LegendCAL – CaliforniaCAN – CanadaEU – EuropeEQ – EarthquakeHU – Hurricane

ST – Severe ThunderstormWF – WildfireWS – Winter StormUK – United KingdomUS – United States

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Repeat sponsor AIG returned to the catastrophe bond market with a second issuance from Compass Re Ltd. The Series 2012-1 transaction provides $400 million in coverage against U.S. hurricanes and earthquakes. The industry index transaction was initially marketed and sold to select investors.

Lakeside Re III Ltd. (Lakeside Re III) was the final transaction to close in the calendar year 2012. The Zurich-sponsored transaction, which replaced the maturing Lakeside Re II Ltd., expanded the covered area to include earthquakes from Canada as well as the U.S. The $270 million transaction provides Zurich with annual aggregate coverage over three years on an indemnity basis.

Meanwhile, 14 transactions covering U.S. perils closed during the first half of 2013 (Table 10).

Table 10: First Half 2013 ILS Transactions Covering U.S. Perils

Beneficiary Issuer Series Class Size (millions) Covered Perils Trigger Rating Expected

Loss11Interest Spread

Nationwide Mutual

Caelus Re 2013 Limited

Series 2013-1 Class A $270 US HU, EQ Indemnity BB- 1.42% 5.25%

Florida Citizens Everglades Re Ltd.

Series 2013-1 Class A $250 FL HU Indemnity B 3.18% 10.00%

State Farm Merna Re IV Ltd. $300 New Madrid EQ Indemnity Not Rated 0.39% 2.50%

Nationwide Mutual


Series 2013-2 Class A $320 US HU, EQ Indemnity Not Rated 1.92% 6.85%

North Carolina JUA/IUA Tar Heel Re Ltd. Series

2013-1 Class A $500 NC HU Indemnity B+ 2.77% 8.50%

Allstate Sanders Re Ltd. Series 2013-1

Class A $200US HU, EQ Industry Index

BB+ 0.95% 3.50%

Class B $150 BB 1.22% 4.00%

Louisiana Citizens Pelican Re Ltd. Series 2013-1 Class A $140 LA HU Indemnity Not Rated 2.05% 6.00%

American Coastal Armor Re Ltd. Series 2013-1 Class A $183 FL HU Indemnity BB+ 0.40% 4.25%

Travelers Long Point Re III Ltd.

Series 2013-1 Class A $300 Northeast HU Indemnity BB 1.24% 4.00%

Allianz Argos 14 GmbH

Blue Danube II Ltd.

Series 2013-1 Class A $175 US, CB, MX HU

& US, CAN EQ Industry Index BB+ 0.96% 4.25%

USAAResidential Reinsurance 2013 Limited

Series 2013-I

Class 3 $95 US HU, EQ, ST, WS, CAL WF Indemnity

B- 3.68% 9.25%

Class 11 $205 Not Rated 2.60% 8.00%

Assurant, Inc. Ibis Re II Ltd. Series 2013-1

Class A $110

US HU Industry Index

BB+ 0.85% 4.00%

Class B $35 BB- 1.53% 4.50%

Class C $40 B 3.36% 8.00%

Munich Re Queen Street VIII Re Limited $75 US HU, AUS CY Industry Index,

Modeled Loss Not Rated 2.92% 6.50%

Amlin AG Tramline Re II Ltd.

Series 2013-1 Class A $75 US, CAN EQ Industry Index Not Rated 1.21% 3.25%


11 Annualized modeled expected losses; sensitivity cases if U.S hurricane is covered.

LegendAUS – Australia CAL – CaliforniaCAN – CanadaCB – CaribbeanFL – Florida

LA – LouisianaMX – MexicoNC – North CarolinaUS – United States CY – Cyclone



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Nationwide Mutual’s Caelus Re 2013-1 was the first U.S. perils transaction to market in 2013, benefitting from significant spread declines of around 40 percent since the fourth quarter of 2012. Several weeks after Caelus 2013-1 closed, the firm entered the market with a second series, Caelus 2013-2. In total, Nationwide Mutual secured $590 million in coverage against U.S. hurricanes and earthquakes across the two issuances.

Louisiana Citizens returned to the market with its second issuance from Pelican Re Ltd. The $140 million transaction provides the insurer of last resort with coverage against U.S. hurricanes for four years. The transaction also allows flexibility at reset for the insurer, which may adjust the attachment level and pay a commensurate adjusted interest spread.

Assurant, Inc. issued a subsequent series from the Ibis Re II Ltd. program, successfully securing $185 million in coverage against U.S. hurricanes. The index transaction utilizes county-weighted insured industry personal losses as reported in Verisk Catastrophe Index Reports.

Meanwhile, new benchmarks were set for minimum absolute spread levels during the first half of 2013. State Farm’s Merna Re IV closed with an interest spread of 2.50 percent, the lowest spread for any transaction in five years. Additionally, Allstate returned to the market for the first time since 2008 with Sanders Re. The Class A notes closed at a spread of 3.50 percent. This represents the lowest spread for a U.S. hurricane transaction in five years.

Superstorm Sandy12

Prior to making landfall in the U.S., Sandy began to lose its tropical characteristics and was downgraded by the National Hurricane Center (NHC) to a post-tropical cyclone. The system came ashore in the U.S. near Brigantine, New Jersey on October 29 with 80 mph (130 kph) sustained winds that were also accompanied by record storm tide heights (the combination of storm surge and astronomical tide).

The overall impact in the U.S. was extensive, as Sandy damaged or destroyed at least 650,000 housing units and 250,500 insured vehicles. More than 300,000 business properties were also affected. Catastrophic impacts to residential, commercial and governmental property were felt along the New Jersey, New York and Connecticut coastlines, where water inundation heights approached 10 feet (3 meters). Roughly 9.1 million customers lost electricity in the U.S.

Impact Forecasting, Aon Benfield’s catastrophe model development center of excellence, noted during its damage survey in New York and New Jersey that Sandy’s record storm surge and excessive wave heights were the predominant cause of damage, as opposed to wind.

Outside of the U.S., Sandy caused significant damage in eastern Cuba, particularly the city of Santiago de Cuba, as approximately 300,000 homes and other buildings were damaged or destroyed. An additional 75,000 homes and other structures were damaged in Hispaniola, Jamaica, the Bahamas and eastern Canada in addition to power outages and impacts to agriculture and infrastructure.

12 Impact Forecasting's "Hurricane Sandy Event Recap Report" dated May 14, 2013

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Sandy also highlighted complexities involving hurricane deductible triggers. Most insurance policies cite the issuance of tropical cyclone-based watches and warnings as a requirement for the deductible to activate. Some policies in the U.S. Northeast also mandate Category 2 wind speeds to be measured for the trigger to be initiated. In the case of Sandy, the NHC never issued tropical cyclone-based watches and warnings north of North Carolina due to its anticipated post-tropical transition before landfall.

From a catastrophe modeling point of view, the primary lesson from Sandy is that not every simulated event may trigger hurricane deductibles. This is especially true given the non-uniform and wide range of deductible triggers that different states require. Additionally, Sandy was a highly challenging storm for modelers, who did not have a similar historical or stochastic event to replicate the storm’s size and track.

In July, Property Claim Services (PCS) released the final insured industry loss estimate for Sandy. After several resurveys, PCS’s estimate remained unchanged at $18.75 billion.

Model Updates

In the summer of 2013, catastrophe modeling firm Risk Management Solutions, Inc. (RMS) released RiskLink 13.0. The updated model includes a new medium-term rate (MTR) forecast for hurricane activity in the North Atlantic between 2013 and 2017. For the 2013 MTR update, RMS added three additional years of HURDAT data to the forecast input since the 2011 forecast was completed. Additional storms incorporated included Irene, Isaac and Sandy.

In the medium term, RMS expects hurricane activity will remain above the long-term average, particularly for category 3, 4 and 5 storms. RMS research shows differences in where hurricanes form and track under warm SST conditions compared to cooler SST conditions. RMS expects that increased hurricane formation in the coming years will not translate directly into a proportional increase in landfalls; the 2013 MTR forecast is thus closer to the long-term historical average than the 2011 MTR forecast13.

In June, catastrophe modeling firm AIR Worldwide Corporation (AIR) released an updated version of its hurricane model, which incorporates the 2011 update of NOAA’s Atlantic basin hurricane database. The update includes storms through 2010, and reanalysis of data through 1930. AIR also released an updated industry exposure database. AIR estimates that 38 percent of the total exposure in coastal states is currently located in coastal counties of hurricane states, which in turn account for 16 percent of the total value of properties in the entire U.S.14

13 RMS's white paper "2013 Medium-Term Rate Forecast for the North Atlantic Basin" (dated March 11, 2013)14 AIR press release dated June 25, 2013 and AIR's "The Coastline at Risk: 2013 Update to the Estimated Insurance Value of U.S. Coastal

Properties."


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Europe Perils During the 12-month period ending June 30, 2013, a total of five property catastrophe bonds covering Europe perils were issued, compared to the 10 deals which closed in the prior year period.

The most frequent Europe sponsors continue to be the large reinsurers, with Munich Re and Swiss Re issuing three and two catastrophe bonds, respectively, in the 12 months under review.

In September 2012, Hannover Re returned to the market and secured €100 million in Europe windstorm capacity via Eurus III. This was the first standalone Europe windstorm deal of the year and utilized a PERILS trigger. The deal was upsized and closed below the marketed price guidance. Proceeds from the sale are invested in European Bank for Reconstruction and Development (EBRD) medium term notes.

In November 2012, SCOR came to market with a catastrophe bond issuance from the first Solvency II compliant Special Purpose Reinsurance Vehicle, Atlas Reinsurance VII Limited. The transaction provides SCOR with €130 million of protection against Europe windstorm and $60 million of protection against U.S. hurricane and earthquake events over three years.

Mythen Re 2012-2, sponsored by Swiss Re, raised $200 million in capacity across two classes of notes. Class A covers both U.S. hurricane and UK extreme mortality, and is the first deal to comprise property catastrophe and extreme mortality protection in a single tranche.

During the period, one new Europe sponsor entered the ILS market, the Turkish Catastrophe Insurance Pool (TCIP). Bosphorus I Re Ltd. was the largest standalone deal for a Europe sponsor in the past 12 months, and provides TCIP with $400 million in coverage for Turkey earthquake.

Amlin AG returned to the market and raised $75 million through Tramline Re II Ltd., an industry index transaction that provides cover for both U.S. and Canada earthquake.

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Table 11: Catastrophe Bond Transactions Covering Europe Perils



Munich Re Queen Street VI Re Limited $100.0 US HU, EU


Hannover Re Eurus III Ltd. Series 2012-1 Class A €100.0 EU Wind Industry Index EBRD Notes

Munich Re Queen Street VII Re Limited $75.0 US HU, EU


SCOR Atlas Reinsurance VII Limited Class B €130.0 EU Wind Industry Index EBRD Notes

Turkish Catastrophe Insurance Pool Bosphorus 1 Re Ltd. Series 2013-1 Class A $400.0 Turkey EQ Parametric Index MMF


Collateral

In the 12 months to June 30, 2013, the lack of choice for a suitable collateral solution for Euro-denominated transactions continued to present both sponsors and investors with a challenge.

The continued volatility and uncertainty in the Eurozone area led to a “flight to quality” by many investors, leaving European money market funds yielding very low returns. The collateral solution of choice was therefore medium term notes issued by the EBRD or International Bank for Reconstruction and Development (IBRD).

LegendEU – EuropeUS – United States

EQ – EarthquakeHU – Hurricane


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Asia / Pacific RegionAccording to the Special Evaluation Study on the Asian Development Bank’s Response to Natural Disasters and Disaster Risks, four of the five cities classified as extreme risks among the world’s fastest growing urban areas are situated in Asia.

The Asia region also accounts for six of the top 15 costliest global economic losses since 1950 (Table 12), but due to a relatively low insurance penetration, insured losses in Asia during this period are much lower than those seen in more mature economies, such as the U.S. Low levels of insurance can exacerbate the impact of natural disasters, and Asia’s rapid economic progress may become inhibited due to its preponderance of extreme natural disaster events.

Table 12: Top 15 Costliest Global Economic Loss Events 1950-2012 (Inflation adjusted: 2012 USD)

Date Event Country / Region Deaths Economic Loss (USD)

Insured Loss (USD)

March 2011 EQ/Tsunami Japan 15,854 217,000,000,000 36,000,000,000

January 1995 Earthquake Japan 5,502 156,500,000,000 4,700,000,000

August 2005 HU Katrina U.S., Bahamas 1,833 146,100,000,000 78,200,000,000

May 2008 Earthquake China 87,587 90,100,000,000 400,000,000

Summer 1988 Drought/Heatwave United States 7,500 79,400,000,000 1,900,000,000

January 1994 Earthquake United States 60 69,100,000,000 24,000,000,000

October 2012 HU Sandy U.S., Caribbean, Bahamas 254 *65,000,000,000 *28,200,000,000

Summer 1980 Drought/Heatwave United States 10,000 59,000,000,000 700,000,000

November 1980 Earthquake Italy 4,689 53,700,000,000 540,000,000

July/Dec. 2011 Flooding Thailand 813 45,800,000,000 15,800,000,000

August 1992 HU Andrew U.S., Bahamas 26 44,400,000,000 25,500,000,000

Summer 1998 Flooding China 3,656 42,900,000,000 1,400,000,000

September 2008 HU Ike U.S., Caribbean 153 35,200,000,000 16,400,000,000

Yearlong 2012 Drought/Heatwave United States 123 *35,000,000,000 *20,000,000,000

October 2004 Earthquake Japan 40 33,700,000,000 915,000,000

Source: Impact Forecasting, "Annual Global Climate and Catastrophe Report 2012 * Denotes preliminary losses which are subject to change

Despite the increased interest from Asia Pacific sponsors, there was no new issuance in the region for the 12-month period ending June 30, 2013. As discussions with potential sponsors continue, and concerns over adequate coverage persist, we expect new transactions will be brought to the ILS market in the near future.

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April 1 Renewals

The April 1, 2013 renewals in Japan were finalized in line with expectations. Insurers secured sufficient capacity from the traditional reinsurance market, both for their wind and earthquake risk transfer programs.

Japan cedents have become increasingly comfortable with the stability and capacity provided by the ILS market. However, they remain somewhat cautious with the use of new markets, typically preferring long-term and established business relationships. Additional challenges include issuances in local currency and lack of reinstatements.

The capacity provided by the ILS market remains a small part of the total Japan market reinsurance placement. In the coming years, we expect ILS will have a place in large insurers’ overall risk transfer programs.

Model Updates

In June 2013, modeling firm AIR released an updated earthquake model for Japan — Version 6.2.1, as implemented in CLASIC/2 Version 15.0.1 and CATRADER Version 15.0. The model incorporates knowledge gained from the 2011 Tohoku earthquake, including ground motion data, damage observations and detailed claims data. The damage functions for all lines of business have also been revisited.

In addition, the updated model incorporates the industry’s first fully probabilistic tsunami modeling capability, capturing both the nature of a tsunami’s development and its dynamic behavior as it nears the coast and moves onshore. AIR has also included explicit modeling of liquefaction, which produced severe damage in the Tohoku event.


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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:

• Christophe Fritsch, Head of Insurance-Linked Securities, AXA Investment Managers

• Nelson Seo, Co-Founder and Managing Principal, Fermat Capital Management, LLC

• Sandro Kriesch, Partner, Twelve Capital

• Rob Procter, Co-Founder and Managing Director, and Jonathan Barnes, Head of Origination Non-Life, Securis Investment Partners

• Jonathan Malawer, Managing Director, K2 Advisors

The transcript was edited for clarity and brevity.

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Christophe Fritsch, Head of Insurance-Linked Securities, AXA Investment Managers

1. What brought you to the ILS Market?The AXA Group created AXA Investment Managers (AXA IM) in 1994 as a specialist asset manager focused on delivering value to our clients in areas where we believe we have a competitive advantage. In this vein, AXA IM began AXA Structured Finance business in 1995 and, with the desire for uncorrelated investment options, we established a fully dedicated ILS team in 2007. An uncorrelated strategy, such as ILS, appealed to investors. Being part of AXA, one of the largest insurance groups, gives us access to information and thus represents a strong competitive advantage combined with our structured finance expertise.

2. How do you think about the market internally?We consider the ILS market an exciting growth opportunity given the disintermediation of the insurance sector. We study the types of risks, and as long as it does not include some level of credit or equity risk we can study the opportunity. We require modeling and pricing intelligence on the underlying risk; we have expertise and access to almost all types of models and intelligence on the risk. The type of vehicle is not an issue for us, as we can invest in all types of markets: cat bonds, collateralized reinsurance (by transforming the reinsurance contract into a financial asset), ILWs, etc.

Key to our decision making process is our capacity to access risk and price accordingly. This is often linked to a question of the data quality available and level of transparency by the cedent. Last but not least, for a given fund we want to match the assets and liabilities so the proportion of assets we manage (such as cat bonds which are more liquid) versus private transactions (such as collateralized insurance which are not liquid but short dated) differ depending on the level of liquidity we provide on the liability of that fund.

3. What do you hope to achieve for your clients? We manage funds and mandates for our clients who are mainly pension funds, life insurance companies, alternative funds of funds and family offices. Certain clients have different objectives in term of the risk / return they want to achieve and on the liquidity they need. We take into account their constraints and thus tailor funds or mandates to achieve the right level of performance sought by the client. Our aim is to provide clients with access to an asset class which diversifies their portfolio, while managing the downside thanks to the selection. Our clients invest in our funds and benefit from the fact we are an asset manager with both skills in capital markets and insurance markets.


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4. Much has been discussed on the influx of capital into the ILS market in 2013. How has this affected your business?This phenomenon led to a spread tightening, especially on cat bonds. We invested more intensively in other segments of the ILS market: namely, collateralized reinsurance, ILWs, and direct private transactions. The selection has to be more stringent during those periods too.

5. Should traditional fixed income rates increase further, would your investors continue to have interest in the market?Most of our investors are long term investors and invest in the ILS asset class within their strategic asset allocation for diversification reasons. So when they embrace ILS, it becomes part of their allocation for a long time even if another part of their investment in ILS can be tactical. Therefore the percentage invested in ILS can vary around the strategic allocation by increasing or decreasing depending on fixed income rates, but it represents a small part of the total investment portfolio.

6. In what ways will convergence of the traditional and capital markets direct the ILS market?It depends on how you define the ILS market, but we have seen some interesting developments over the past months. ILS asset managers are doing more reinsurance deals and reinsurers are launching asset management platforms.

Cat bonds still represent a small part of the ILS world. However, there is room for significant growth if more traditional reinsurance risks are transferred to the capital markets. I think that to develop the capital market segment the market would need more liquid ILS assets, such as cat bonds; if their size increases then the liquidity will increase, and therefore the number and size of potential institutional investors interested would also increase. As of today collateralized reinsurance and private transactions represent the most important part of the market. However, as they are illiquid, investors can only invest into them through less liquid funds formats, such as hedge funds, but for which traditional Institutional investors have a small allocation to.

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Nelson Seo, Co-Founder and Managing Principal, Fermat Capital Management, LLC

1. What brought you to the ILS Market?A few of the principals here, my brother John included, became involved in ILS via Lehman Brothers back in 1998 where they were instrumental in the development of the ILS market. Then in 2001, John and I started Fermat Capital with the idea of bringing this new asset class to institutional investors. All of us were attracted to being able to develop a new form of risk transfer, one with both good risk-reward and a societal benefit, for the capital markets.

2. How do you think about the market internally?Internally, I suppose we view ourselves as stewards of the market. We’re very proud to have been a key contributor in the development of the ILS market and are keen to see it continue to grow in innovation and robustness.

3. What do you hope to achieve for your clients/programs?Fermat Capital has always looked to provide the best risk-reward for our clients, and we seek to provide this in the most sophisticated manner possible. We also strive to deliver portfolios of risks that we believe in and not just ones that we believe clients might desire.

4. Much has been discussed on the influx of capital into the ILS market in 2013. How has this affected your business?The recent influx of capital has spurred a great deal of growth in our market, bringing in new cedents and risks, which is certainly beneficial to investors.

This additional capacity is also helping the market to mature even further and solidifying a permanent place for ILS in (re)insurer hedging programs.

5. Should traditional fixed income rates increase further, would your investors continue to have interest in the market?Most definitely. From everything we’ve seen, investors who are particularly sensitive to broader interest rates do not make up a large portion of the investor capacity. The vast majority of investors in this market are attracted to the uncorrelated risk premium that the ILS market generates.

6. In what ways will convergence of the traditional and capital markets direct the ILS market?

The main effect of this convergence is that it should help the ILS market to grow significantly in a number of ways. We expect some important trends to continue to accelerate:

• Continued increase in share of indemnity based trigger structures

• Inclusion of measured amounts of complex and non-modeled risks

• More flexible transaction structures which can react to changes to cedent’s book of business and capital structure.

All of these factors increase the value of issuing ILS for cedents by improving capital efficiency, paving the way for increased market growth.


36

Sandro Kriesch, Partner, Twelve Capital

1. What brought you to the ILS Market?Twelve Capital is a spin-off / management buyout from Horizon21, where the founding partners worked together. The firm combines a select set of individuals with (re)insurance expertise supporting the strategy of generating “return on insurance” for our investors. Twelve Capital does not only invest in ILS but also insurance debt. Our investors can profit from the unique combination of these different finance streams as our analysts combine credit and underwriting knowhow.

2. How do you think about the market internally?The ILS market is a convergence market which has gone through a number of cleansing events. As is the case in other industries these events foster the development of sounder, more risk-adjusted investment opportunities. While reinsurance has been around for a long time, cat bonds are yet a rather young security which generated some novelty premium in earlier days. Twelve Capital uses all available ILS instruments for its funds and mandate offerings, depending on client’s appetite. The convergence market will develop further because of the large groups of suppliers on one hand and demand on the other hand will bring about further innovation and new bonds/methods/trigger mechanisms will emanate.

3. What do you hope to achieve for your clients/programs?Twelve Capital has in-depth knowledge of the market. Our approach is one of fundamental analysis and alpha generation, not a pure beta play. We learned so far that this approach suits both investors and cedents at the same time as professionals speak to each other. Studying the market, keeping detailed information, evaluating options should bring our investors the best investment for the dollar. We concentrate both on asset allocation (per line of business) and stock picking (choosing the best within each line of business).

4. Much has been discussed on the influx of capital into the ILS market in 2013. How has this affected your business?We see stronger interest from institutional clients and increased attraction also for collateralized reinsurance. The hay days of blind cat bond buying may soon be part of the past. With more professional players entering the market traditional reinsurers are becoming more and more protective of “their” turf. A series of new ventures in this regards are proof of that.

We face deeper due diligences with institutional investors who use often third parties (also brokers) to help them understand. We are positive that this will bring about some Darwinism in the ILS sector.

37


5. Should traditional fixed income rates increase further, would your investors continue to have interest in the market?Most are not sensitive to this matter as the view is that the current level of cat bond spreads are still fine. If those will decrease further we trust that some clients will start to have second thoughts. Others are clearly sensitive to interest rate shifts, with treasury money market funds as the major underlying collateral some of the interest spike should be mitigated, though.

We believe that the ILS market will continue to be attractive because of its fundamental low correlation to financial markets in general. This fact will not go away even after a large catastrophe which will happen at some stage. At that time, we trust, investors will double up rather than redeem.

6. In what ways will convergence of the traditional and capital markets direct the ILS market?Traditional reinsurers will likely lose some of their existing business. We anticipate a growing cat bond market and an extension of the collateralized reinsurance market. The current approximate USD40 billion of the total convergence market may well go to USD80 billion by 2016. New transaction structures with more efficient transformers and lower transaction costs are almost certain by that time. Competition leads to efficiency which can only be good for investors and protection buyers at the same time.


38

Rob Procter, Co-Founder and Managing Director, and Jonathan Barnes, Head of Origination Non-Life, Securis Investment Partners

1. What brought you to the ILS Market?We established Securis Investment Partners back in 2005, as a specialist ILS fund manager, in response to what we saw at the time as a growing need for alternative capital to support many forms of insurance risk. We could see that many cedents were increasingly encouraged, perhaps by regulatory or rating agency requirements, to look to cede risks into the capital markets, while investors were increasingly looking for diversifying sources of return, a box that ILS clearly ticks. At the same time, there was relatively little by way of competitor businesses specializing in the ILS space.

2. How do you think about the market internally?The ILS market is fascinating. It is one that is continually evolving and growing quite quickly. In the particular instance of property catastrophe reinsurance risk, alternative capital will likely continue to make inroads into the share of the market held by traditional incumbents. This is partly as a result of the collateralized solution that the ILS market ordinarily provides to the protection buyer, in contrast to the traditional solution whereby the buyer usually bears perhaps undesirable counterpart credit risk. The market is also characterized by complexity, and one where we must always be wary of investments we are entering into. Pricing is important of course, but so are terms and conditions, especially in a softening market. We need to be very well-equipped to understand the risks that we run and to ensure that all risks we take on are properly modeled and priced for.

3. What do you hope to achieve for your clients/programs? In our more complex and higher-yielding private non-life transactions we work closely with clients and intermediaries, providing feed-back and suggestions concerning the structure of prospective transactions. In short, we seek to ‘add value’ by tailoring protections that meet our clients’ specific objectives and constraints. Whilst at times, this can be a time-consuming and iterative process, we believe our clients differentiate between price and value and that we are better rewarded when we provide this service than we are when investing in more commoditized risk transfer products. We also seek to develop long-term relationships based on continuity in which both parties benefit from taking a longer-term view of the pricing cycle.

4. Much has been discussed on the influx of capital into the ILS market in 2013. How has this affected your business?Although the recent influx of capital into the ILS market has resulted in tighter spreads, this in-turn appears to be stimulating the sponsorship of additional issues. The preparedness of ILS investors to accept lower absolute returns, should also make cat bonds a more appealing option to sponsors seeking protection for diversifying perils. As the ILS sector attracts business away from the reinsurance market, we would expect to see further reductions in the demand for retrocession protection. At the same time, we have seen new entrants specifically target retrocession risk, in pursuit of higher absolute returns. In summary, we see the retrocession sector becoming increasingly challenging relative to the larger reinsurance market.

39


5. Should traditional fixed income rates increase further, would your investors continue to have interest in the market?Yes, while higher fixed income rates may allow traditional reinsurers to deliver, all things equal, higher returns on capital due to their asset gearing; higher interest rates will also allow ILS funds to deliver higher returns. This is due to collateral being necessarily invested in a near risk-free structure of minimal duration, or cash. In either case, a rise in the risk-free rate will translate into higher returns, thus ILS funds are not at a competitive disadvantage. And the advantage of an ILS product offering goes well beyond the influence of interest rates, offering certain collateral as well as other innovative solutions to the benefit of the protection buyer.

6. In what ways will convergence of the traditional and capital markets direct the ILS market? The ILS market is just another form of capital support for (re)insurance risk. In the longer term, its ability to survive and prosper will depend on its merits as a solution provider for risk transfer, in comparison to the solution and products offered by the traditional markets. Many traditional players are setting up their own vehicles to try and harness the potential of the ILS market. But many if not most of these will fail in our view, given the difficulty in persuading external investors that they are not being selected against in comparison to the risks the reinsurer chooses to place on its own proprietary balance sheet. There is an inherent and obvious conflict. In contrast, independent and well-capitalized ILS market players should continue to grow and thrive, provided they have invested sufficiently in infrastructure — in particular, people and systems — such that their offerings are innovative, well-structured and appealing to buyers.


40

Jonathan Malawer, Managing Director, K2 Advisors

1. What brought you to the ILS Market?K2 was an early adopter of ILS through our initial allocation in 2003, driven by its diversification benefits. At that time there were only a handful of ILS managers representing this new asset class. We recognized the benefit of ILS through multiple lenses. First, the unique risk factors that are associated with the strategy allow the ability to diversify our risk profile from traditional hedge fund strategies. We also recognized that the inefficiencies in transferring insurance risk present opportunities for those that have the appropriate portfolio manager skill set. This was especially true in the early days of the market and we feel it remains in effect today.

2. How do you think about the market internally?We believe an allocation to ILS benefits our institutional client portfolios primarily through its relatively low correlation to traditional market factors. In addition, we are attracted to the market’s floating rate, short-term maturity features and its current relative attractiveness from a yield perspective when compared to other fixed income markets. Our approach is to maintain an ongoing dialogue with various market participants to form our independent opinion on the relative attractiveness of the ILS market at a given point in time. When pricing conditions are less attractive, we take a more conservative approach to how we allocate capital to ILS managers. The opposite may be true when there is material re-pricing in the market; in particular after a major event. In addition, there have been pricing dislocations across ILS instruments that have presented benefits to utilizing a tactical approach.

3. What do you hope to achieve for your clients/programs?Our main objective in utilizing the ILS strategy is to improve the risk and return characteristics of the overall portfolio for institutional investors. K2’s client base is global and primarily consists of corporate and government pension plans. As we provide the ability to tailor solutions for clients, the risk/return profile of each individual investor will influence our objectives for an ILS allocation. As a result, we access the market through a variety of ILS managers with low, moderate and high risk and return profiles and seek specialized managers that complement each other across the various ILS strategies. We believe this approach helps K2 to meet our clients’ needs.

4. Much has been discussed on the influx of capital into the ILS market in 2013. How has this affected your business?We recognize that the market is always changing. We saw this in 2008 when multi-strategy hedge funds were liquidating their ILS investments to meet redemptions, and now with pension investors that recognize the benefits of the asset class.

Capital flows are a component of the market we study carefully given their influence on reinsurance pricing and risk taking. Given the recent material flows into the market and its impact on pricing, we have become more conservative in our ILS allocations. Our underlying managers have a distinct market focus and investment style. This allows K2 the ability to provide capital based on the relative value attractiveness across market segments which may be impacted by flows.

41


5. Should traditional fixed income rates increase further, would your investors continue to have interest in the market?With ILS instruments primarily consisting of floating rate and short-term maturity features, we are attracted to the ILS market’s historically low sensitivity to interest rate risk and its short-term frequency in repricing risk. As a long-term ILS allocator, K2 has been invested in the strategy during higher interest rate environments. Looking back, we see the benefits of being invested from a diversification perspective and do not anticipate a material shift in pension investor sentiment should traditional fixed income rates increase further as the ILS floating rate feature will benefit from a rising interest rate environment.

6. In what ways will convergence of the traditional and capital markets direct the ILS market?From an allocator’s perspective, we see multiple benefits in the convergence of the market as it makes it more competitive to find the right solutions for our underlying pension clients allowing for greater market innovation. This trend also provides access to additional resources, business lines and should foster continued growth of the ILS market size. We recognize convergence also carries additional considerations including the potential conflicts and the appropriate alignment of interests when a traditional reinsurer manages third-party capital. In some cases, those issues may be difficult to address making the ILS manager with no affiliation to a traditional reinsurance company a more attractive solution. There are natural barriers to how far convergence will extend from various vantage points when considering the different participants and their roles in the market.


42

43


Appendix ICatastrophe Bond Issuance Statistics

As of June 30, 2013



44

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


Figure 2: Outstanding and Cumulative Catastrophe Bond Volume, 2003 – 2013 (Years ending June 30)


0

1,000

2,000

3,000

4,000

5,000

6,000

7,000

8,000

9,000

20132012201120102009200820072006200520042003

5,914

1,780

4,6614,382

6,4306,665

8,145

3,279

1,499

1,958

1,011U

SD M

illio

ns

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

20132012201120102009200820072006200520042003

USD

Mill

ion

s

PropertyOutstanding

Life / HealthOutstanding

CumulativePropertyIssuance

TotalCumulativeBonds

3,005 3,876 4,7417,945

9,444

12,723

20,867

26,78228,562

33,223

37,605

44,035

50,700

6,608

12,911

16,155

13,249 13,16711,504

14,92317,513

45


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

20152014201320122011201020092008

5,585

425250

4,157

100

3,900

2,483

5,674

804

371 329

2,670

4,531

155

3,939

USD

Mill

ions

PropertyMaturities

Life / HealthMaturities

0

1,000

2,000

3,000

4,000

5,000

6,000

7,000

8,000

9,000

2013201220112010200920082007

3,588

2,692

3,973

2,842

2,625

2,011320

1,7572,650

4,976

3,404

2,510

1,460

USD

Mill

ions

January - June

July - December


46

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


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


Figure 7: Aon Benfield All Bond Indices versus Financial Benchmarks

Source: Aon Benfield Securities, Bloomberg

2012

Institutional

Hedge Fund

Mutual Fund

Reinsurer

Catastrophe Fund

2013

41%

2%

12%

2%

43%

34%

5%5%

5%

51%

2012

U.S.

Other

Bermuda

UK

Switzerland

2013

46%

19%

5%

11%

19%44%

25%

8%

9%

14%

All Bond

3 Year U.S.Corporate BB+

ABS 3-5 Yrs,Fixed Rate

CMBS FixedRate 3-5 Yrs

S&P 500

2011 2012 201320102009200820072006200520042003

Tota

l Ret

urn

-40%

-20%

0%

20%

40%

60%

80%

100%

120%

140%

47


Figure 8: Historical Performance of Aon Benfield ILS Indices


Figure 9: Aon Benfield ILS Price Return Index


2011 2012 201320102009200820072006200520042003

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


48

Figure 9: Form of Transaction


Figure 10: Total U.S. ILW Trade Volume and Price Movement since 2011


2010 2011 2012 2013YTD

2009200820072006200520042003200275%

80%

85%

90%

95%

100%ILW

Sidecar

Cat Bonds

Traditional UNL

Collateralized Re

0

200

400

600

800

1,000

1,200

1,400

0

20

40

60

80

100

120

140

Pric

e M

ove

men

t b

y Q

uart

er

Total U

.S. Trade V

olum

e (USD

Millio

ns)

Total U.S. Trade Volume

$30bn ANP

$50bn ANP

$80bn ANP

Original Q3/4 Forecast

Forecast

2013 Q3/Q4

2013 Q2

2013 Q1

2012 Q4

2012 Q3

2012 Q2

2012 Q1

2011 Q4

2011 Q3

2011 Q2

2011 Q1

49


Appendix IIProperty Catastrophe Bonds – Transaction Summary

As of June 30, 2013



50

* 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-97 United Services Automobile Association

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


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

Oct-97 Swiss Reinsurance Company Ltd.

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

Oct-97 Swiss Reinsurance Company Ltd.*

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


SR Earthquake Fund, Ltd. Class B US EQ Industry Index TRS $60,300 Ba1 BB


SR Earthquake Fund, Ltd. Class C US EQ Industry Index TRS $14,700 Ba3 B

Nov-97 Tokio Marine & Nichido Fire Insurance Co., Ltd. Parametric Re, Ltd. JP EQ Parametric TRS $80,000 Ba2

Nov-97 Tokio 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


Residential Reinsurance Limited 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-98 United States Fidelity and Guaranty Company Mosaic Re, Ltd. Class A US HU, EQ, ST Indemnity TRS $24,000

Jul-98 United States Fidelity and Guaranty Company Mosaic Re, Ltd. Class B US HU, EQ, ST Indemnity TRS $21,000

Jul-98 United States Fidelity and Guaranty Company 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-99 United States Fidelity and Guaranty Company Mosaic Re II, Ltd. Class A US HU, EQ, ST Indemnity TRS $25,000

Feb-99 United 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

Summary of Catastrophe Bonds — December 1996 through June 2013

51


* Equity



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


Residential Reinsurance Limited US HU Indemnity TRS $200,000 Ba2 BB

Jun-99Gerling-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-99Gerling-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 SCOR Atlas Reinsurance p.l.c. Class A EU Wind, CA/

JP EQ Indemnity TRS $70,000 BBB+ BBB+

Mar-00 SCOR Atlas Reinsurance p.l.c. Class B EU Wind, CA/

JP EQ Indemnity TRS $30,000 BBB- BBB-

Mar-00 SCOR Atlas Reinsurance p.l.c. 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



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

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



52

* Equity



Feb-01 Swiss Reinsurance Company Ltd.

Western Capital Limited US EQ Industry Index TRS $97,000 Ba2 BB+

Feb-01 Swiss Reinsurance Company Ltd.*

Western Capital Limited US EQ Industry Index TRS $3,000

Mar-01 American Re Gold 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 Reinsurance Company Ltd.* SR Wind Ltd. Class B-1 US HU,

EU Wind Parametric Index TRS $1,800 BB BB

May-01 Swiss Reinsurance Company Ltd.* SR Wind Ltd. Class B-2 US HU,

EU Wind Parametric Index TRS $1,800 BB BB

May-01 Swiss Reinsurance Company Ltd. SR Wind Ltd. Class A-1 US HU,

EU Wind Parametric Index TRS $58,200 BB+ BB+

May-01 Swiss Reinsurance Company Ltd. 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 SCOR Atlas Reinsurance II p.l.c. Class A EU Wind, CA/

JP EQParametric/

Parametric Index TRS $50,000 A3 A

Dec-01 SCOR Atlas Reinsurance II p.l.c. Class B EU Wind, CA/

JP EQParametric/

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+

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-02 United Services Automobile Association



Jun-02 Swiss Reinsurance Company Ltd. PIONEER 2002 Ltd. Series

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


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


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


53


* Equity




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


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


2002-1 Class F US/EU Wind, US/JP EQ Parametric Index TRS $25,000 Ba3 BB+

Sep-02 Swiss Reinsurance Company Ltd. PIONEER 2002 Ltd. Series






Dec-02 Swiss Reinsurance Company Ltd. PIONEER 2002 Ltd. Series












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 Reinsurance Company Ltd. PIONEER 2002 Ltd. Series














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









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



54

* Equity



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 Reinsurance Company Ltd. Arbor I Ltd. Series 1 US/EU Wind,

CA/JP EQ Parametric Index TRS $95,000 B

Jul-03 Swiss Reinsurance Company Ltd. Arbor II Ltd. Series 1 US/EU Wind,

CA/JP EQ Parametric Index TRS $26,500 A1 A+

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

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

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

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

Aug-03 Central Reinsurance Corporation (for TREIP) Formosa Re Ltd. Taiwan EQ Indemnity TRS $100,000 NR

Sep-03 Swiss Reinsurance Company Ltd. Arbor I Ltd. Series 2 US/EU Wind,


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

Dec-03 Swiss Reinsurance Company Ltd. Arbor I Ltd. Series 3 US/EU Wind,


Dec-03 Swiss Reinsurance Company Ltd. 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 Reinsurance Company Ltd.

Redwood Capital III, Ltd. US EQ Industry Index TRS $150,000 Ba1 BB+


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

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

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

Mar-04 Swiss Reinsurance Company Ltd. Arbor Ltd. Series 4 US/EU Wind,




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



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 Reinsurance Company Ltd. Arbor Ltd. Series 5 US/EU Wind,


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

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


55


* Equity



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

Sep-04 Swiss Reinsurance Company Ltd. Arbor Ltd. Series 6 US/EU Wind,


Nov-04 Hartford Fire Insurance Company Foundation Re Ltd. Series

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

Nov-04 Hartford Fire Insurance Company Foundation Re Ltd. Series

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




Redwood Capital V, Ltd. US EQ Industry Index TRS $150,000 Ba2 BB+


Redwood Capital VI, Ltd. US EQ Industry Index TRS $150,000 Ba2 BB+

Mar-05 Swiss Reinsurance Company Ltd. Arbor I Ltd. Series 8 US/EU Wind,




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 Reinsurance Company Ltd. Arbor I Ltd. Series 9 US/EU Wind,


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+

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 Reinsurance Company Ltd. Australis Ltd. Series 1 AU CY, EQ Parametric Index TRS $100,000 BB


Redwood Capital VII, Ltd. US EQ Industry Index TRS $160,000 BB+


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



56

* Equity



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 Reinsurance Company Ltd.

Successor Hurricane Industry Ltd. Series 2 Class D US HU Industry Index TRS $10,250 B


Successor Hurricane Industry Ltd. Series 2 Class E US HU Industry Index TRS $35,000 NR


Successor Japan Quake Ltd. Series 2 Class C JP EQ Modeled Loss TRS $3,000 B


Successor Euro Wind Ltd. Series 2 Class A EU Wind Parametric Index TRS $3,000 Ba3 BB


Successor Euro Wind Ltd. Series 2 Class C EU Wind Parametric Index TRS $3,000 B3 B


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


Successor Hurricane Industry Ltd. Series 1 Class C US HU Industry Index TRS $7,250 B2 B






Successor Hurricane Industry Ltd. Series 1 Class F US HU Industry Index TRS $54,000 B2 B


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


Successor Cal Quake Parametric Ltd. Series 1 Class A US EQ Parametric Index TRS $47,500 Ba3 BB


Successor Japan Quake Ltd. Series 1 Class A JP EQ Modeled Loss TRS $103,470 BB


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


Successor Japan Quake Ltd. Series 2 Class C JP EQ Modeled Loss TRS $70,750 B




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



Jun-06 Swiss Reinsurance Company Ltd. Successor II Ltd. Series 1 Class A US/EU Wind,

US/JP EQModeled Loss,

Parametric Index TRS $73,200 B3 B


57


* Equity



Jun-06 Swiss Reinsurance Company Ltd. Successor II Ltd. Series 1 Class E US/EU Wind,


Parametric Index TRS $154,250 NR

Jun-06 Swiss Reinsurance Company Ltd. Successor III Ltd. Series 1 Class A US/EU Wind,

JP EQModeled Loss,

Parametric Index TRS $7,200 NR

Jun-06 Swiss Reinsurance Company Ltd. Successor IV Ltd. Series 1 Class A US/EU Wind,


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-06 Tokio Marine & Nichido Fire Insurance Co., Ltd. Fhu-Jin Ltd. Series 1 Class B JP TY Parametric Index TRS $200,000 BB+

Aug-06 Swiss Reinsurance Company Ltd.


Aug-06 Factory Mutual Insurance Company Cascadia II Limited US EQ Parametric Bank

Deposit $300,000 BB+ BB+

Nov-06 Hartford Fire Insurance Company

Foundation Re II Ltd.

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

Nov-06 Hartford Fire Insurance Company

Foundation Re II Ltd.

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

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


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 Reinsurance Company Ltd. 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 Reinsurance Company Ltd. Successor I Ltd. Series 2 Class B NA/EU W,

CA/JP Q

Industry Index, Modeled Loss,

Parametric IndexTRS $24,500 NR









58

* Equity



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


Dec-06 SCOR Atlas Reinsurance III p.l.c. JP EQ, EU Wind Modeled Loss TRS € 120,000 BB+


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


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


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


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


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


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


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-07 Allianz Global Corporate & Specialty AG Blue Wings Ltd. Series 1 Class A US EQ, UK

FloodModeled 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

May-07 The Travelers Indemnity Company Longpoint Re Ltd. Series


May-07 Swiss Reinsurance Company Ltd. Successor II Ltd. Series 2 Class A NA/EU W,

CA/JP QModeled 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 Reinsurance Company Ltd. MedQuake Ltd. Series 1 Class A EU EQ Parametric Index TRS $50,000 BB-

May-07 Swiss Reinsurance Company Ltd. 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


59


* Equity









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+


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

Jun-07 Brit Insurance Limited Fremantle Limited Series 2007-1 Class B US/EU/JP Wind,

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

Jun-07 Brit Insurance Limited Fremantle Limited Series 2007-1 Class C US/EU/JP Wind,

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



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

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

EQ Parametric Index TRS $30,000 B

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

EQ Parametric Index TRS $80,000 B

Jun-07 Swiss Reinsurance Company Ltd. 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+


Merna Reinsurance Ltd. Tranche C


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

Jul-07 Arrow Capital Reinsurance Company, Limited Javelin Re Ltd. Class A Worldwide All

Perils Indemnity TRS $94,500 A-

Jul-07 Arrow Capital Reinsurance Company, Limited Javelin Re Ltd. Class B Worldwide All

Perils Indemnity TRS $30,750 BBB-

Jul-07 Swiss Reinsurance Company 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 SE Atlas 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+


60

* Equity



Dec-07 Catlin Group Newton Re Limited Series 2007-1 Class B US HU Industry Index Bank


Dec-07 Swiss Reinsurance Company Ltd. GlobeCat Ltd. Series LAQ Class A-1 Latin America

EQ Modeled Loss TRS $25,000 Ba3

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

Dec-07 Swiss Reinsurance Company Ltd. 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+


Successor Hurricane Industry Ltd. Series 6 Class C US HU Industry Index TRS $30,000 B2 B



Dec-07 Swiss Reinsurance Company Ltd. Successor II Ltd. Series 3 Class C US/EU Wind,

US/JP EQ Parametric Index TRS $50,000

Dec-07 Swiss Reinsurance Company Ltd. Successor II Ltd. Series 3 Class E US/EU Wind,

US/JP EQ Parametric Index TRS $50,000


Redwood Capital X Ltd. Series 1 Class A US EQ Parametric Index TRS $25,000 Baa3


Redwood Capital X Ltd. Series 1 Class B US EQ Parametric Index TRS $227,700 Ba2


Redwood Capital X Ltd. Series 1 Class C US EQ Parametric Index TRS $50,200 Ba3


Redwood Capital X Ltd. Series 2 Class D US EQ Industry Index TRS $130,500 Ba3


Redwood Capital X Ltd. Series 2 Class E US EQ Industry Index TRS $45,200 B2


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

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

Mar-08 Chubb Group East Lane Re II Ltd. Series 2008-I Class B

Northeast US All Natural

PerilsIndemnity TRS $70,000 BB

Mar-08 Chubb Group East Lane Re II Ltd. 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


61


* Equity








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 Reinsurance Company Ltd. Vega Capital Ltd. Series

2008-I Class A US/EU/JP Wind, US/JP EQ Parametric Index TRS $21,000 A3 A-


2008-I Class B US/EU/JP Wind, US/JP EQ Parametric Index TRS $22,500 Baa2 BBB


2008-I Class C US/EU/JP Wind, US/JP EQ Parametric Index TRS $63,900 Ba3


2008-I Class D US/EU/JP Wind, US/JP EQ Parametric Index TRS $42,600

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 Reinsurance Company Ltd. Successor II Ltd. Series 4 Class F US HU, EQ Parametric Index MMF $60,000

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



62

* Equity



May-09 Assurant, Inc. 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-

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 Reinsurance Company Ltd. Successor X Ltd. Series

2009-1 Class I-S1 US HU, EQ, EU Wind

Industry Index, Parametric Index MMF $50,000


2009-1 Class I-U1 US HU, EQ Industry Index, Parametric Index MMF $50,000 B-


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-09Zurich American Insurance Company, Zurich Insurance Company Ltd

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


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.

Series 2010-1 Class A US HU Industry Index MMF $180,000 BB+


63


* Equity



Mar-10 Swiss Reinsurance Company Ltd. Successor X Ltd. Series

2010-1Class

II-CN3US HU, EU

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


2010-1Class II-CL3

US HU, EU Wind

Industry Index, Modeled Loss MMF $35,000


2010-1Class

II-BY3US 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, Inc. Ibis Re Ltd. Series 2010-1 Class A US HU Industry Index MMF $90,000 BB

Apr-10 Assurant, Inc. 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-

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

Industry Index, Parametric Index MMF $30,000 Ba3

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-10Massachusetts 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-10 American Family Mutual Insurance Company Mariah Re Ltd. Series

2010-1 US ST Industry Index MMF $100,000 B



64

* Equity



Dec-10 United Services 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 Reinsurance Company Ltd. Vega Capital Ltd. Series

2010-I Class C US/EU/JP Wind, US/JP EQ Multiple MTN $63,900 Ba3

Dec-10 Swiss Reinsurance Company Ltd. Vega Capital Ltd. Series

2010-I Class D US/EU/JP Wind, US/JP EQ Multiple MTN $42,600

Dec-10 American 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

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-


2011-1Class III-R3

US HU, EQ , AUS EQ

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


2011-1 Class III-S3 US HU, EQ , AUS EQ

Modeled Loss, Parametric Index MTN $50,000 B-


2011-1 Class III-T3 US HU, EQ , AUS EQ

Modeled 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.

Series 2011-1 Class A US HU Industry Index MMF $135,000 BB+

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

2011-2 Class IV-E3 US HU, EQ Industry Index MTN $160,000 B


2011-2Class

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

May-11 North Carolina JUA/IUA Johnston Re Ltd. Series 2011-1 Class A US HU Indemnity MMF $70,000 BB-


65





May-11 North Carolina JUA/IUA Johnston Re Ltd. Series 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-

Aug-11 Tokio 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-11 United Services Automobile Association


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

WS, WF Indemnity MMF $100,000




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


* Equity


66



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+


2012-1Class

V-AA3US HU, EU

Wind Industry Index MMF $23,000


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

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-12 Louisiana 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


* Equity

67






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+

Jul-12 Munich Re Queen Street VI Re Limited

US HU, EU Wind Industry Index MMF $100.00 B

Jul-12 California Earthquake Authority

Embarcadero Reinsurance Ltd.

Series 2012-II Class A CAL EQ Indemnity MMF $300.00 BB+

Sep-12 Hannover Re Eurus III Ltd. Series 2012-1 Class A EU Wind Industry Index MTN € 100.00 BB-

Oct-12 Fund for Natural Disasters MultiCat Mexico Limited

Series 2012-I Class A Mex EQ Parametric MMF $140.00 B


Series 2012-I Class B Mex HU

Atlantic Parametric MMF $75.00 B+


Series 2012-I Class C Mex HU Pacific Parametric MMF $100.00 B-

Oct-12 Munich Re Queen Street VII Re Limited

US HU, EU Wind Industry Index MMF $75.00 B

Nov-12 SCOR Global P&C SE Atlas Reinsurance VII Limited Class A US HU, EQ Industry Index MTN $60.00 BB-

Nov-12 SCOR Global P&C SE Atlas Reinsurance VII Limited Class B EU Wind Industry Index MTN € 130.00 BB

Nov-12 Swiss Reinsurance Company Ltd. Mythen Re Ltd. Series

2012-2 Class A US HU, UK Mortality Industry Index MTN $120.00 B+

Nov-12 Swiss Reinsurance Company Ltd. Mythen Re Ltd. Series

2012-2 Class C US HU Industry Index MTN $80.00 B-




WS, CAL WF Indemnity MMF $155.00 BB+




WS, CAL WF Indemnity MMF $70.00 BB




WS, CAL WF Indemnity MMF $95.00






Compass Re Ltd. Series 2012-1 Class 1 US HU, EQ Industry Index MMF $400.00

Dec-12Zurich American Insurance Company, Zurich Insurance Company, Ltd.

Lakeside Re III Ltd. US, CAN EQ Indemnity MMF $270.00 B+

Mar-13 Nationwide Mutual Insurance Company


Series 2013-1 Class A US HU, EQ Indemnity MMF $270.00 BB-


* Equity


68




Mar-13 Citizens Property Insurance Company Everglades Re Ltd. Series

2013-1 Class A FL HU Indemnity MMF $250.00 B

Apr-13 State Farm Fire and Casualty Company Merna Re IV Ltd. New Madrid

EQ Indemnity MMF $300.00

Apr-13 Nationwide Mutual Insurance Company


Series 2013-2 Class A US HU, EQ Indemnity MMF $320.00

Apr-13 North Carolina JUA/IUA Tar Heel Re Ltd. Series 2013-1 Class A NC Hurricane Parametric Index MMF $500.00 B+

Apr-13 Turkish Catastrophe Insurance Pool Bosphorus 1 Re Ltd. Series

2013-1 Class A Turkey EQ Industry Index MMF $400.00 BB+

May-13 Allstate Insurance Company Sanders Re Ltd. Series

2013-1 Class A US HU, EQ Industry Index MMF $200.00 BB+

May-13 Allstate Insurance Company Sanders Re Ltd. Series

2013-1 Class B US HU, EQ Indemnity MMF $150.00 BB

May-13 Louisiana Citizens Property Insurance Company Pelican Re Ltd. Series

2013-1 Class A LA HU Indemnity MMF $140.00

May-13 American Coastal Insurance Company Armor Re Ltd. Series

2013-1 Class A Florida HU Indemnity MMF $183.00 BB+

May-13 Travelers Indemnity Company

Long Point Re III Ltd.

Series 2013-1 Class A Northeast HU Indemnity MMF $300.00 BB

May-13 Allianz Argos 14 GmbH Blue Danube II Ltd. Series 2013-1 Class A US, CB, MX HU

& US, CAN EQ Industry Index MTN $175.00 BB+



Series 2013-I Class 11 US HU, EQ, ST,




Series 2013-I Class 3 US HU, EQ, ST,

WS, CAL WF Indemnity MMF $95.00 B-

Jun-13 Assurant, Inc. Ibis Re II Ltd. Series 2013-1 Class A US HU Industry Index MMF $110.00 BB+

Jun-13 Assurant, Inc. Ibis Re II Ltd. Series 2013-1 Class B US HU Industry Index MMF $35.00 BB-

Jun-13 Assurant, Inc. Ibis Re II Ltd. Series 2013-1 Class C US HU Industry Index MMF $40.00 B

Jun-13 Munich Re Queen Street VIII Re Limited US HU, AUS CY Industry Index,

Modeled Loss MMF $75.00

Jun-13 Amlin AG Tramline Re II Ltd. Series 2013-1 Class A US, CAN EQ Industry Index MMF $75.00

* Equity

69


Appendix IIILife & Health Catastrophe Bonds – Transaction Summary

As of June 30, 2013



70

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

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

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

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

Apr-05 Swiss Reinsurance Company, Ltd. 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 Reinsurance Company, Ltd. Vita Capital III Ltd. Series 1 Class B Extreme Mortality Index $90,000 A

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

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

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

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

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

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

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

Jan-07 Swiss Reinsurance Company, Ltd. 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 Reinsurance Company, Ltd. Vita Capital IV Ltd. Series 1 Class E Extreme Mortality Index $75,000 BB+

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

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

Oct-10 Swiss Reinsurance Company, Ltd. 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 Reinsurance Company, Ltd. 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+

Jul-12 Swiss Reinsurance Company Ltd. Vita Capital V Ltd. Series 2012-I Class D-1 Extreme Mortality Index $125.00 BBB-

Jul-12 Swiss Reinsurance Company Ltd. Vita Capital V Ltd. Series 2012-I Class E-1 Extreme Mortality Index $150.00 BB+

Jan-13 Aetna Life Insurance Company Vitality Re IV Limited Series 2013-1 Class A Health Indemnity - MBR $105.00 BBB+

Jan-13 Aetna Life Insurance Company Vitality Re IV Limited Series 2013-1 Class B Health Indemnity - MBR $45.00 BB+


71


Appendix IVSummary of Sidecar Issuance

As of June 30, 2013



72

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

Summary of Sidecar Issuance

73


Summary of Sidecar Issuance

Sidecar Principal Sponsor Inception Line of BusinessSize

($Millions)

Fac Pool Re Hannover Re Sep-09 Worldwide Fac 60.0

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

Saltire Re I Lancashire Re Nov-12 Combined exposure UNL aggregate reinsurance product 250

New Point Re V Alterra Capital Dec-12 Property cat retrocessional 37

Upsilon Re II RenaissanceRe Jan-13 Worldwide aggregate retrocessional reinsurance 185

Harambee Re Argo Group Jan-13 Portfolio for both insurance and reinsurance N/A

AlphaCat Re 2013 Validus Jan-13 Worldwide property catastrophe reinsurance and retrocession 230

Mt. Logan Re Everest Re Jan-13 Worldwide property catastrophe reinsurance 250

Lorenz Re PartnerRe Mar-13 Worldwide property catastrophe reinsurance for select accounts 75

Altair Re ACE Apr-13 Worldwide property catastrophe insurance and reinsurance 95

* 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


74

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About Aon BenfieldAon Benfield, a division of Aon plc (NYSE: AON), is the world’s leading reinsurance intermediary and full-service capital advisor. We empower our clients to better understand, manage and transfer risk through innovative solutions and personalized access to all forms of global reinsurance capital across treaty, facultative and capital markets. As a trusted advocate, we deliver local reach to the world’s markets, an unparalleled investment in innovative analytics, including catastrophe management, actuarial and rating agency advisory. Through our professionals’ expertise and experience, we advise clients in making optimal capital choices that will empower results and improve operational effectiveness for their business. With more than 80 offices in 50 countries, our worldwide client base has access to the broadest portfolio of integrated capital solutions and services. To learn how Aon Benfield helps empower results, please visit aonbenfield.com.

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