Insurance-Linked Securities - Aon Benfield

Insurance-Linked Securities

Capital Revolution — ILS Market Expands to New Heights 2013

Empower Results®

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.

Aon Benfield Securities

Foreword It 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: • O ur 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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Insurance-Linked Securities 2013

Contents 5 Aon Benfield Securities' Annual Review

of the Catastrophe Bond Market

13 ILS Investor Activity

The Aon Benfield ILS Indices 19 22 ILS-Related Markets 25 U.S. Perils 29 Europe Perils 31 Asia / Pacific Region 33 A Market Discussion with ILS Investors

Appendix I 44 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

4


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) 9,000

Property Issuance Life / Health Issuance

8,145

8,000

USD Millions

7,000

6,430

6,665

5,914

6,000 5,000

4,661

4,000

4,382

3,279

3,000 1,958

2,000 1,000 0

1,780

1,499 1,011

2003

2004

2005

2006

2007

2008

2009

2010

2011

2012

2013

Source: Aon Benfield Securities

5


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

45,000

Life / Health Outstanding

Total Cumulative Bonds

44,035

40,000

USD Millions

Cumulative Property Issuance

50,700

50,000

Property Outstanding

37,605

35,000

33,223

30,000

28,562 26,782

25,000 20,867

20,000 15,000

0

12,911

12,723

10,000 5,000

17,513

16,155

7,945

9,444

3,876

2003

2004

2005

13,167

2009

2010

11,504

6,608

4,741

3,005

13,249

14,923

2006

2007

2008

2011

2012

2013


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) 6,000

Property Maturities Life / Health Maturities

5,674

USD Millions

5,000

5,585

4,531

4,157 3,939

4,000

3,900

3,000 2,670

2,483

2,000

804

1,000

371 155

0


6

2008

2009

425

329 100

2010

2011

2012

2013

2014

250

2015


Key Market Drivers • Supply and Demand In 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 Coverage Indemnity 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 Activity There 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 2012 Four 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: • E mbarcadero 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 • E urus 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 Münchener RückversicherungsGesellschaft Aktiengesellschaft in München (Munich Re)

Swiss Re

Issuer

Series

Size (millions)

Covered Perils

Trigger

Collateral

$100.0

US HU, EU Wind

Industry Index

MMF

Class D-1

$125.0

AUS, CAN Mortality IBRD Notes

$150.0

AUS, CAN, US Mortality

Industry Index

Class E-1

$300.0

CAL EQ

Indemnity

MMF

€100.0*

EU Wind

Industry Index

EBRD Notes

Class

Queen Street VI Re Limited

Vita Capital V Ltd.

Series 2012-I

CEA

Embarcadero Reinsurance Ltd.

Series 2012-II

Class A

Hannover Re

Eurus III Ltd.

Series 2012-1

Class A

Total Closed During Q3 2012

$804.1

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

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

US – United States EQ – Earthquake HU – Hurricane

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.

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Fourth Quarter 2012 Seven 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: • M ultiCat 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. • C ompass 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 Beneficiary

Issuer

The Fund for Natural Disasters

MultiCat Mexico Limited

Munich Re

Queen Street VII Re Limited

SCOR Global P&C SE (SCOR)

Atlas Reinsurance VII Limited

Swiss Re

Mythen Re Ltd.

Series

Class

Size (millions)

Class A

$140.0

MX EQ

Series 2012-I

Class B

$75.0

MX HU

Class C

$100.0

MX HU

$75.0

US HU, EU Wind

Class A

$60.0

US HU, EQ

Class B

€130.0 *

EU Wind

Class A

$120.0

US HU, UK Mortality

Class C

$80.0

US HU

Class 1

$155.0

Series 2012-2

Residential Reinsurance 2012 Limited

Series 2012-II

AIG

Compass Re Ltd.

Series 2012-1

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

Lakeside Re III Ltd.

United Services Automobile Association (USAA)


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

Covered Perils

Trigger

Collateral

Parametric

MMF

Industry Index

MMF

Industry Index

EBRD Notes

Industry Index

IBRD Notes

US HU, EQ, ST, WS, CAL WF

Indemnity

MMF

Class 2

$70.0

Class 3

$95.0

Class 4

$80.0

Class 1

$400.0

US HU, EQ

Industry Index

MMF

$270.0

US, CAN EQ

Indemnity

MMF

$1,888.2 Legend CAL – California CAN – Canada EU – Europe MX – Mexico UK – United Kingdom US – United States

EQ – Earthquake HU – Hurricane ST – Severe Thunderstorm WF – Wildfire WS – Winter Storm

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First Quarter 2013 Catastrophe 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: • C aelus 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. • E verglades 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 Beneficiary

Aetna Life Insurance

Issuer

Vitality Re IV Limited

Class

Size (millions)

Covered Perils

Trigger

Class A

$105.0

Health

Indemnity (MBR)

Class B

$45.0

Health

Indemnity (MBR)

$270.0

US HU, EQ

Indemnity

MMF

$250.0

FL HU

Indemnity

MMF

Series 2013-1

Nationwide Mutual

Caelus Re 2013 Limited

Series 2013-1

Class A

Florida Citizens

Everglades Re Ltd.

Series 2013-1

Class A



10

Series

Collateral

MMF

$670.0 Legend FL – Florida US – United States

EQ – Earthquake HU – Hurricane


Second Quarter 2013 The 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: • M erna 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. • S anders 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. • A rmor 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 State Farm

Issuer

Series

Class

Merna Re IV Ltd.

Issue Size (millions)

Covered Perils

Trigger

Collateral

$300.0

New Madrid EQ

Indemnity

MMF

Nationwide Mutual


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 2013-1

Class A

$200.0

Class B

$150.0

US HU, EQ

Industry Index

MMF

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


Series 2013-I


Indemnity

MMF

Assurant, Inc.

Ibis Re II Ltd.

Series 2013-1

US HU

Industry Index

MMF

$75.0

US HU, AUS CY

Industry Index, Modeled Loss

MMF

$75.0

US, CAN EQ

Industry Index

MMF

Munich Re

Queen Street VIII Re Limited

Amlin AG

Tramline Re II Ltd.



Series 2013-1

Class 3

$95.0

Class 11

$205.0

Class A

$110.0

Class B

$35.0

Class C

$40.0

Class A

$3,303.0 Legend AUS – Australia CAL – California CAN – Canada CB – Caribbean FL – Florida

LA – Louisiana MX – Mexico NC – North Carolina US – 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 9,000

January - June July - December

8,000

USD Millions

7,000

3,404

6,000 5,000

2,692 2,625

4,000

2,842

3,000 4,976

320

2,011

2,000 1,000 0

2008

3,973

2012

2013

1,757

1,460

2007

3,588 2,650

2,510

2009

2010

2011


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.

1

12

Excludes cat bond lite transactions


ILS Investor Activity Capacity Providers Figure 5: Investor by Category (Years ending June 30)2 2%

2%

Catastrophe Fund Institutional

12%

5%

5%

5%

Mutual Fund Hedge Fund Reinsurer

43% 41%

51% 34%

2013

2012


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.

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

2

13


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 U.S. Bermuda

9% 8%

Switzerland UK Other

11% 5% 44%

25%

14%

2013

46% 19%

19%

2012


General Market Trends Third Quarter 2012 Most 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.

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

3

14


Fourth Quarter 2012 Building 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.

15


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 2013 On 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

EQE 5

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

16

AIR Worldwide Corporation ("AIR") as of November 26, 2012

5

EQECAT, Inc. ("EQE") as of November 1, 2012

6

Risk Management Solutions, Inc. ("RMS") as of November 14, 2012

7

PCS as of March 22, 2013

8

Impact Forecasting’s Annual Global Climate and Catastrophe Report: 2012


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 2013 Unprecedented 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.

17


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.

18


The Aon Benfield ILS Indices The 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 Return for Annual Period Ending June 30

Index Title Aon Benfield ILS Indices

5 yr Avg Annual Return

10 yr Avg Annual Return

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.

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.

9

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.

19


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 140% 120%

CMBS Fixed Rate 3-5 Yrs

100%

ABS 3-5 Yrs, Fixed Rate

80%

S&P 500

Total Return

All Bond 3 Year U.S. Corporate BB+

60% 40% 20% 0% -20% -40%

2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013

Source: Aon Benfield Securities, Bloomberg

20


Figure 8: Historical Performance of Aon Benfield ILS Indices All Bond

140%

U.S. Hurricane BB-rated

120%

U.S. EQ

Total Return

100% 80% 60% 40% 20% 0%

2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013


21


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

Saltire Re I

Lancashire Re

Nov-12

Combined exposure UNL aggregate reinsurance product

New Point Re V

Alterra Capital

Dec-12

Property cat retrocessional

Size (millions) $250 $37

Upsilon Re II

RenaissanceRe

Jan-13

Worldwide aggregate retrocessional reinsurance

Harambee Re

Argo Group

Jan-13

Portfolio for both insurance and reinsurance

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

$185 N/A

$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.

22


Figure 9: Form of Transaction ILW Sidecar

100%

Collateralized Re Cat Bonds

95%

Traditional UNL

90%

85%

80%

75%

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 YTD


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.

23


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 1,400

$30bn ANP

120

1,200

100

1,000

$50bn ANP $80bn ANP Original Q3/4 Forecast

Price Movement by Quarter

140

80

800

60

600

40

400

20

200

1

Q

4

Q

3

Q

2

Q

1

Q

4

Q

3

Q

2

Q

1

Q


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.

24

0

4 st /Q ca 3 re Q Fo 013 2 2 Q

13

20

13

20

12

20

12

20

12

20

12

20

11

20

11

20

11

20

11

20

0

Total U.S. Trade Volume (USD Millions)

Total U.S. Trade Volume


U.S. Perils In 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

Munich Re


CEA


Munich Re


SCOR


Swiss Re

Mythen Re Ltd.

USAA


AIG

Compass Re Ltd.

Zurich

Lakeside Re III Ltd.


Series

Series 2012-II

Series 2012-2

Series 2012-II

Series 2012-1

Class

Size (millions)

Covered Perils

Trigger

Rating

Expected Loss10

Interest Spread

$100

US HU, EU Wind

Industry Index

B

2.91%

10.35%

$300

CAL EQ

Indemnity

BB+

0.78%

5.0%

$75

US HU, EU Wind

Industry Index

B

2.87%

8.60%

Class A

$60

US HU, EQ

Industry Index

BB-

1.89%

8.00%

Class A

$120

US HU, UK Mortality

B+

2.20%

8.50%

Class C

$80

US HU

B-

4.28%

11.75%

Class 1

$155

BB+

0.48%

4.50%

Class 2

$70

BB

0.91%

5.75%

Not Rated

3.67%

12.75%

Not Rated

7.61%

19.00%

Class A


Industry Index

Indemnity

Class 3

$95

Class 4

$80

Class 1

$400

US HU, EQ

Industry Index

Not Rated

4.14%

14.25%

$270

US, CAN EQ

Indemnity

B+

2.04%

8.00%

Legend CAL – California CAN – Canada EU – Europe EQ – Earthquake HU – Hurricane

ST – Severe Thunderstorm WF – Wildfire WS – Winter Storm UK – United Kingdom US – United States

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.

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

10

25


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 Issuer

Series

Class

Size (millions)

Nationwide Mutual


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%


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

$200

0.95%

3.50%

$150

Industry Index

BB+

Class B

US HU, EQ

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


Series 2013-1

Class A

$300

Northeast HU

Indemnity

BB

1.24%

4.00%


Blue Danube II Ltd.

Series 2013-1

Class A

$175


Industry Index

BB+

0.96%

4.25%

USAA


Series 2013-I

Class 3

$95

3.68%

9.25%

$205

Indemnity

B-

Class 11


Not Rated

2.60%

8.00%

BB+

0.85%

4.00%

Assurant, Inc.

Ibis Re II Ltd.

Series 2013-1

US HU

Industry Index

BB-

1.53%

4.50%

B

3.36%

8.00%

Munich Re


$75

US HU, AUS CY


Not Rated

2.92%

6.50%

Amlin AG

Tramline Re II Ltd.

$75

US, CAN EQ

Industry Index

Not Rated

1.21%

3.25%

Beneficiary


11

26

Series 2013-1

Class A

$110

Class B

$35

Class C

$40

Class A

Covered Perils

Legend AUS – Australia CAL – California CAN – Canada CB – Caribbean FL – Florida

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

Trigger

Rating

LA – Louisiana MX – Mexico NC – North Carolina US – United States CY – Cyclone

Expected Interest Loss11 Spread



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

27


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

28

13

R MS's white paper "2013 Medium-Term Rate Forecast for the North Atlantic Basin" (dated March 11, 2013)

14

IR press release dated June 25, 2013 and AIR's "The Coastline at Risk: 2013 Update to the Estimated Insurance Value of U.S. Coastal A Properties."


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.

29


Table 11: Catastrophe Bond Transactions Covering Europe Perils Beneficiary Munich Re

Issuer

Series

Size (millions)

Covered Perils

Trigger

Collateral

$100.0

US HU, EU Wind

Industry Index

MMF

€100.0

EU Wind

Industry Index

EBRD Notes

$75.0

US HU, EU Wind

Industry Index

MMF

Class B

€130.0

EU Wind

Industry Index

EBRD Notes

Class A

$400.0

Turkey EQ

Parametric Index

MMF

Class


Hannover Re

Eurus III Ltd.

Munich Re


SCOR



Bosphorus 1 Re Ltd.


Series 2012-1

Series 2013-1

Class A

Legend EU – Europe US – United States

EQ – Earthquake HU – Hurricane

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).

30


Asia / Pacific Region According 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.

31


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.

32


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 • R ob 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.

33


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.

34


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.

35


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 multistrategy 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 I Catastrophe Bond Issuance Statistics As of June 30, 2013 Source: Aon Benfield Securities

44


Figure 1: Catastrophe Bond Issuance by Year (Years ending June 30) 9,000

Property Issuance Life / Health Issuance

8,145

8,000

USD Millions

7,000

6,430

6,665

5,914

6,000 5,000

4,661

4,000

4,382

3,279

3,000 1,958

2,000 1,000 0

1,780

1,499 1,011

2003

2004

2005

2006

2007

2008

2009

2010

2011

2012

2013


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

45,000

Life / Health Outstanding

Total Cumulative Bonds

44,035

40,000

USD Millions

Cumulative Property Issuance

50,700

50,000

Property Outstanding

37,605

35,000

33,223

30,000

28,562 26,782

25,000 20,867

20,000

10,000 5,000 0

17,513

16,155

15,000

12,911

12,723 7,945

9,444

3,005

3,876

2003

2004

4,741

2005

13,249

13,167

2009

2010

14,923 11,504

6,608

2006

2007

2008

2011

2012

2013


45


Figure 3: Catastrophe Bonds Maturing by Year (Years ending June 30) 6,000

Property Maturities Life / Health Maturities

5,674

USD Millions

5,000

5,585

4,531

4,157 3,939

4,000

3,900

3,000 2,670

2,483

2,000

804

1,000

371

0

2008

2009

425

329

155

100

2010

2011

2012

2013

2014

250

2015


Figure 4: Catastrophe Bond Issuance by Half-Year 9,000

January - June July - December

8,000

USD Millions

7,000

3,404

6,000 5,000

2,692 2,625

4,000

2,842

3,000 4,976

320

2,011

2,000 1,000 0


46

2008

3,973

2012

2013

1,757

1,460

2007

3,588 2,650

2,510

2009

2010

2011


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

2% Catastrophe Fund

12%

Institutional

5%

5%

5%

Mutual Fund Hedge Fund

51%

43%

Reinsurer

41%

34%

2012

2013 Source: Aon Benfield Securities

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

9%

11% 5%

8%

Bermuda Switzerland

44%

UK

25%

Other

14%

46% 19%

19%

2013

2012


Figure 7: Aon Benfield All Bond Indices versus Financial Benchmarks 140% 120%

CMBS Fixed Rate 3-5 Yrs

100%

ABS 3-5 Yrs, Fixed Rate

80%

S&P 500

Total Return

All Bond 3 Year U.S. Corporate BB+

60% 40% 20% 0% -20% -40%

2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013

Source: Aon Benfield Securities, Bloomberg

47


Figure 8: Historical Performance of Aon Benfield ILS Indices All Bond

140%

U.S. Hurricane BB-rated

120%

U.S. EQ

Total Return

100% 80% 60% 40% 20% 0%

2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013


Figure 9: Aon Benfield ILS Price Return Index ILS Price Return Index

105

Total Return

101

97

93

89

85


48

2000 2001 2002 2003 2004 2006 2005 2007 2008 2009 2010 2011 2012


Figure 9: Form of Transaction ILW

100%

Sidecar Collateralized Re Cat Bonds

95%

Traditional UNL

90%

85%

80%

75%

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 YTD


Figure 10: Total U.S. ILW Trade Volume and Price Movement since 2011 1,400

$30bn ANP

120

1,200

100

1,000

$50bn ANP $80bn ANP Original Q3/4 Forecast

Price Movement by Quarter

140

80

800

60

600

40

400

20

200

1

Q

4

Q

3

Q

2

Q

1

Q

4

Q

3

Q

2

Q

1

Q

4 st /Q ca 3 re Q Fo 013 2 2 Q

0

13

20

13

20

12

20

12

20

12

20

12

20

11

20

11

20

11

20

11

20

0

Total U.S. Trade Volume (USD Millions)

Total U.S. Trade Volume


49


Appendix II Property Catastrophe Bonds – Transaction Summary As of June 30, 2013 Source: Aon Benfield Securities

50


Summary of Catastrophe Bonds — December 1996 through June 2013 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

Jun-97



Class A-2

US HU

Indemnity

TRS

$313,180

Ba2

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.*


Class A-2

US EQ

Industry Index

TRS

$20,000

Baa3

BBB-

Oct-97



Class B

US EQ

Industry Index

TRS

$60,300

Ba1

BB

Oct-97



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


Parametric Re, Ltd.

JP EQ

Parametric

TRS

$20,000

Baa3

Mar-98

Centre Solutions (Bermuda) Limited (Zurich Group)

Trinity Re, Ltd.

Class A-1

US HU

Indemnity

TRS

$10,467

Aaa

AAA

Mar-98


Trinity Re, Ltd.

Class A-2

US HU

Indemnity

TRS

$61,533

Ba3

BB

Jun-98



US HU

Indemnity

TRS

$450,000

Ba2

Jun-98

The Yasuda Fire and Marine Insurance Company Pacific Re, Ltd. Limited

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


Mosaic Re, Ltd.

Class B

US HU, EQ, ST

Indemnity

TRS

$21,000

Jul-98


Mosaic Re, Ltd.

US HU, EQ, ST

Indemnity

TRS

$9,000

Dec-98


Trinity Re 1999, Ltd.

Class A-1

US HU

Indemnity

TRS

$2,385

Aaa

AAA

Dec-98


Trinity Re 1999, Ltd.

Class A-2

US HU

Indemnity

TRS

$51,615

Ba3

BB

Feb-99


Mosaic Re II, Ltd.

Class A

US HU, EQ, ST

Indemnity

TRS

$25,000

Feb-99


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

Mar-99

Kemper*

Domestic, Inc.

US EQ

Indemnity

TRS

$20,000

Apr-99

Sorema S..A

Halyard Re B.V.

EU, JP EQ, TY

Indemnity

TRS

$17,000

Series 1999

Ba2

BB

BB

BB

BB+

* Equity

51



Beneficiary

Issuer

Series

Class

Perils

Trigger

Collateral

Size (thousands)

MIS

S&P

Fitch

May-99

Oriental Land Co., Ltd.

Concentric, Ltd.

JP EQ

Parametric

TRS

$100,000

Ba1

BB+

Jun-99



US HU

Indemnity

TRS

$200,000

Ba2

BB

Jun-99

Gerling-Konzern Globale RückversicherungsAktienfesellschaft

Juno Re, Ltd.

US HU

Indemnity

TRS

$80,000

Nov-99

American Re

Gold Eagle Capital Limited

Class A

US HU, EQ

Modeled Loss

TRS

$50,000

Baa3

BBB-

Nov-99

American Re


Class B

US HU, EQ

Modeled Loss

TRS

$126,600

Ba2

BB

Nov-99

American Re*


US HU, EQ

Modeled Loss

TRS

$5,500

Ba1

BB+

Nov-99

American Re*


US HU, EQ

Modeled Loss

TRS

$3,600

BB+

Nov-99

Gerling-Konzern Globale RückversicherungsAktienfesellschaft

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

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


Class B

EU Wind, CA/ JP EQ

Indemnity

TRS

$30,000

BBB-

BBB-

Mar-00

SCOR


Class C

EU Wind, CA/ JP EQ

Indemnity

TRS

$100,000

B-

B-

Apr-00

Sorema S..A

Halyard Re B.V.

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

Jun-00



US HU

Indemnity

TRS

$200,000

Ba2

Jul-00

Vesta Fire Insurance Corporation

NeHi, Inc.

US HU

Modeled Loss

TRS

$41,500

Ba3

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 Re

PRIME 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.

US EQ, EU Wind Parametric Index

TRS

$6,000

Dec-00

Munich Re

PRIME Capital Hurricane Ltd.

Ba3

BB+

BB

Dec-00

Munich Re*

PRIME Capital Hurricane Ltd.

* Equity

52

Series 2000

Class B

Class B

US HU

Parametric Index

TRS

$159,000

US HU

Parametric Index

TRS

$6,000

BB

Ba2

BB+

BB+

BB+

BB



Beneficiary

Issuer

Series

Class

Perils

Trigger

Collateral

Size (thousands)

MIS

S&P

Ba2

BB+

Ba2

BB+

Fitch

Feb-01


Western Capital Limited

US EQ

Industry Index

TRS

$97,000

Feb-01


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

Apr-01

Sorema SA

Halyard Re B.V.

EU Wind, JP EQ, TY

Indemnity

TRS

$17,000

May-01


SR Wind Ltd.

Class B-1

US HU, EU Wind

Parametric Index

TRS

$1,800

BB

BB

May-01


SR Wind Ltd.

Class B-2

US HU, EU Wind

Parametric Index

TRS

$1,800

BB

BB

May-01


SR Wind Ltd.

Class A-1

US HU, EU Wind

Parametric Index

TRS

$58,200

BB+

BB+

May-01


SR Wind Ltd.

Class A-2

US HU, EU Wind

Parametric Index

TRS

$58,200

BB+

BB+

Jun-01



US HU

Indemnity

TRS

$150,000

Ba2

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 EQ

Parametric/ Parametric Index

TRS

$50,000

A3

A

Dec-01

SCOR

Atlas Reinsurance II p.l.c.

Class B

EU Wind, CA/ JP EQ

Parametric/ 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



US HU

Indemnity

TRS

$125,000

Ba3

BB+

Jun-02


PIONEER 2002 Ltd.

Series 2002-1

Class A

US HU

Parametric Index

TRS

$85,000

Ba3

BB+

Jun-02


PIONEER 2002 Ltd.

Series 2002-1

Class B

EU Wind

Parametric Index

TRS

$50,000

Ba3

BB+

Jun-02


PIONEER 2002 Ltd.

Series 2002-1

Class C

US EQ

Parametric Index

TRS

$30,000

Ba3

BB+

* Equity

53



Beneficiary

Issuer

Series

Class

Perils

Trigger

Collateral

Size (thousands)

MIS

S&P

Jun-02


PIONEER 2002 Ltd.

Series 2002-1

Class D

US EQ

Parametric Index

TRS

$40,000

Baa3

BBB-

Jun-02


PIONEER 2002 Ltd.

Series 2002-1

Class E

JP EQ

Parametric Index

TRS

$25,000

Ba3

BB+

Jun-02


PIONEER 2002 Ltd.

Series 2002-1

Class F

US/EU Wind, US/JP EQ

Parametric Index

TRS

$25,000

Ba3

BB+

Sep-02


PIONEER 2002 Ltd.

Series 2002-2

Class B

EU Wind

Parametric Index

TRS

$5,000

Ba3

BB+

Sep-02


PIONEER 2002 Ltd.

Series 2002-2

Class C

US EQ

Parametric Index

TRS

$20,500

Ba3

BB+

Sep-02


PIONEER 2002 Ltd.

Series 2002-2

Class D

US EQ

Parametric Index

TRS

$1,750

Baa3

BBB-

Dec-02


PIONEER 2002 Ltd.

Series 2002-3

Class A

US HU

Parametric Index

TRS

$8,500

Ba3

BB+

Dec-02


PIONEER 2002 Ltd.

Series 2002-3

Class B

EU Wind

Parametric Index

TRS

$21,000

Ba3

BB+

Dec-02


PIONEER 2002 Ltd.

Series 2002-3

Class C

US EQ

Parametric Index

TRS

$15,700

Ba3

BB+

Dec-02


PIONEER 2002 Ltd.

Series 2002-3

Class D

US EQ

Parametric Index

TRS

$25,500

Baa3

BBB-

Dec-02


PIONEER 2002 Ltd.

Series 2002-3

Class E

JP EQ

Parametric Index

TRS

$30,550

Ba3

BB+

Dec-02


PIONEER 2002 Ltd.

Series 2002-3

Class F


Parametric Index

TRS

$3,000

Ba3

BB+

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


Mar-03

PIONEER 2002 Ltd.

Series 2003-1

Class A

US HU

Parametric Index

TRS

$6,500

Ba3

BB+


PIONEER 2002 Ltd.

Series 2003-1

Class B

EU Wind

Parametric Index

TRS

$8,000

Ba3

BB+

Mar-03


PIONEER 2002 Ltd.

Series 2003-1

Class C

US EQ

Parametric Index

TRS

$6,500

Ba3

BB+

Mar-03


PIONEER 2002 Ltd.

Series 2003-1

Class D

US EQ

Parametric Index

TRS

$5,500

Baa3

BBB-

Mar-03


PIONEER 2002 Ltd.

Series 2003-1

Class E

JP EQ

Parametric Index

TRS

$8,000

Ba3

BB+

Mar-03


PIONEER 2002 Ltd.

Series 2003-1

Class F


Parametric Index

TRS

$8,140

Ba3

BB+

May-03



US HU, EQ

Indemnity

TRS

$160,000

Ba2

BB+

Jun-03


PIONEER 2002 Ltd.

Series 2003-2

Class A

US HU

Parametric Index

TRS

$9,750

Ba3

BB+

Jun-03


PIONEER 2002 Ltd.

Series 2003-2

Class B

EU Wind

Parametric Index

TRS

$12,250

Ba3

BB+

Jun-03


PIONEER 2002 Ltd.

Series 2003-2

Class C

US EQ

Parametric Index

TRS

$7,250

Ba3

BB+

Jun-03


PIONEER 2002 Ltd.

Series 2003-2

Class D

US EQ

Parametric Index

TRS

$2,600

Baa3

BBB-

Jun-03

Zenkyoren

Phoenix Quake Ltd.

JP EQ

Parametric Index

TRS

$192,500

Baa3

BBB+

* Equity

54

Fitch



Beneficiary

Issuer

Series

Class

Perils

Trigger

Collateral

Size (thousands)

MIS

S&P

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


Arbor I Ltd.

Series 1

US/EU Wind, CA/JP EQ

Parametric Index

TRS

$95,000

Jul-03


Arbor II Ltd.

Series 1


Parametric Index

TRS

$26,500

A1

A+

Jul-03


Palm Capital Ltd.

Series 1

US HU

Parametric Index

TRS

$22,350

Ba3

BB+

Jul-03


Oak Capital Ltd.

Series 1

EU Wind

Parametric Index

TRS

$23,600

Ba3

BB+

Jul-03


Sequoia Capital Ltd.

Series 1

US EQ

Parametric Index

TRS

$22,500

Ba3

BB+

Jul-03


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


Arbor I Ltd.

Series 2


Parametric Index

TRS

$60,000

B

Dec-03


Palm Capital Ltd.

Series 2

US HU

Parametric Index

TRS

$19,000

Dec-03


Arbor I Ltd.

Series 3


Parametric Index

TRS

$8,850

Dec-03


PIONEER 2002 Ltd.

US EQ

Parametric Index

TRS

$51,000

Dec-03

Electricite de France

Pylon Ltd.

Class A

EU Wind

Parametric Index

TRS

Dec-03

Electricite de France

Pylon Ltd.

Class B

EU Wind

Parametric Index

TRS

Dec-03


Redwood Capital III, Ltd.

US EQ

Industry Index

TRS

Dec-03


Redwood Capital IV, Ltd.

US EQ

Industry Index

Mar-04


Oak Capital Ltd.

Series 2

EU Wind

Mar-04



Series 2

Mar-04


Arbor Ltd.

Series 4

May-04



May-04



Jun-04

Converium Ltd.

Helix 04 Limited

Jun-04


Arbor Ltd.

Jun-04


Gi Capital Ltd.

Sep-04


Oak Capital Ltd.

Series 5

Series 3

Fitch

B

Ba3

BB+ B

Baa3

BBB-

€ 70,000

A2

BBB+

€ 120,000

Ba1

BB+

$150,000

Ba1

BB+

TRS

$200,000

Baa3

BBB-

Parametric Index

TRS

$24,000

Ba3

BB+

US EQ

Parametric Index

TRS

$11,500

Ba3

BB+


Parametric Index

TRS

$21,000

B

Class A

US HU, EQ

Indemnity

TRS

$127,500

BB

Class B

US HU, EQ

Indemnity

TRS

$100,000

B


Modeled Loss

Bank Deposit

$100,000

BB+


Parametric Index

TRS

$18,000

B

JP EQ

Parametric Index

TRS

$125,000

BB+

EU Wind

Parametric Index

TRS

$10,500

Ba3

BB+

* Equity

55



Beneficiary

Issuer

Series

Class

Perils

Trigger

Collateral

Size (thousands)

MIS

S&P

Ba3

BB+

Fitch

Sep-04



Series 3

US EQ

Parametric Index

TRS

$11,000

Sep-04


Arbor Ltd.

Series 6


Parametric Index

TRS

$31,800

B

Nov-04

Hartford Fire Insurance Company

Foundation Re Ltd.

Series 2004-I

Class A

US HU

Industry Index

TRS

$180,000

BB+

Nov-04


Foundation Re Ltd.

Series 2004-I

Class B

US HU, EQ

Industry Index

TRS

$67,500

BBB+

Dec-04


Arbor I Ltd.

Series 7


Parametric Index

TRS

$15,000

B

Dec-04


Redwood Capital V, Ltd.

US EQ

Industry Index

TRS

$150,000

Ba2

BB+

Dec-04


Redwood Capital VI, Ltd.

US EQ

Industry Index

TRS

$150,000

Ba2

BB+

Mar-05


Arbor I Ltd.


Parametric Index

TRS

$20,000

B

May-05



Class A

US HU, EQ

Indemnity

TRS

$91,000

BB

May-05



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+

Jun-05


Arbor I Ltd.


Parametric Index

TRS

$25,000

B

Jul-05

Zurich American Insurance Company

KAMP Re 2005 Ltd.

US HU, EQ

Indemnity

TRS

$190,000

BB+

Nov-05

PXRE Reinsurance Ltd.

Atlantic & Western Re Limited

Class A

US/EU Wind

Modeled Loss

TRS

$100,000

BB+

BB

Nov-05


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


Arbor I Ltd.


Parametric Index

TRS

$18,000

B

Dec-05


Atlantic & Western Re II Limited

Class A

US/EU Wind, US EQ

Modeled Loss

TRS

$125,000

BB+

Dec-05


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


Australis Ltd.

AU CY, EQ

Parametric Index

TRS

$100,000

BB

Feb-06


Redwood Capital VII, Ltd.

US EQ

Industry Index

TRS

$160,000

BB+

Feb-06


Redwood Capital VIII, Ltd.

US EQ

Industry Index

TRS

$65,000

BB+

Feb-06


Foundation Re Ltd.

US HU, EQ

Industry Index

TRS

$105,000

BB

* Equity

56

Series 8

Series 9

Series 10

Series 1

Series 2006-I

Class D

BB



Beneficiary

Issuer

Series

Class

Perils

Trigger

Collateral

Size (thousands)

MIS

S&P

May-06


CAT-Mex Ltd.

Class A

Mexico EQ

Parametric

TRS

$150,000

BB+

May-06


CAT-Mex Ltd.

Class B

Mexico EQ

Parametric

TRS

$10,000

BB+

May-06

ACE American Insurance Company

Calabash Re Ltd.

Class A-1

US HU

Industry Index

TRS

$100,000

BB

May-06



Class A

US HU, EQ

Indemnity

TRS

$47,500

B

May-06



Class C

US HU, EQ

Indemnity

TRS

$75,000

BB+

Jun-06


Successor Hurricane Industry Ltd.

Series 2

Class D

US HU

Industry Index

TRS

$10,250

B

Jun-06



Series 2

Class E

US HU

Industry Index

TRS

$35,000

NR

Jun-06


Successor Japan Quake Ltd.

Series 2

Class C

JP EQ

Modeled Loss

TRS

$3,000

B

Jun-06


Successor Euro Wind Ltd.

Series 2

Class A

EU Wind

Parametric Index

TRS

$3,000

Ba3

BB

Jun-06



Series 2

Class C

EU Wind

Parametric Index

TRS

$3,000

B3

B

Jun-06



Series 1

Class B

US HU

Industry Index

TRS

$14,000

B1

BB-

Jun-06



Series 1

Class C

US HU

Industry Index

TRS

$7,250

B2

B

Jun-06



Series 1

Class D

US HU

Industry Index

TRS

$34,250

B

Jun-06



Series 1

Class E

US HU

Industry Index

TRS

$5,000

NR

Jun-06



Series 1

Class F

US HU

Industry Index

TRS

$54,000

B2

B

Jun-06


Successor Hurricane Modeled Ltd.

Series 1

Class B

US HU

Modeled Loss

TRS

$42,250

B1

BB-

Jun-06


Successor Cal Quake Parametric Ltd.

Series 1

Class A

US EQ

Parametric Index

TRS

$47,500

Ba3

BB

Jun-06



Series 1

Class A

JP EQ

Modeled Loss

TRS

$103,470

BB

Jun-06



Series 1

Class B

JP EQ

Modeled Loss

TRS

$26,250

BB-

Jun-06



Series 2

Class C

JP EQ

Modeled Loss

TRS

$70,750

B

Jun-06



Series 1

Class A

EU Wind

Parametric Index

TRS

$97,130

Ba3

BB

Jun-06



Series 1

Class B

EU Wind

Parametric Index

TRS

$18,500

B1

BB-

Jun-06



Series 1

Class C

EU Wind

Parametric Index

TRS

$110,750

B3

B

Jun-06


Successor II Ltd.

Series 1

Class A


Modeled Loss, Parametric Index

TRS

$73,200

B3

B

Series 2006-I

Fitch

* Equity

57



Beneficiary

Issuer

Series

Class

Perils

Trigger

Collateral

Size (thousands)

MIS

S&P

Jun-06


Successor II Ltd.

Series 1

Class E



TRS

$154,250

NR

Jun-06


Successor III Ltd.

Series 1

Class A

US/EU Wind, JP EQ


TRS

$7,200

NR

Jun-06


Successor IV Ltd.

Series 1

Class A



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.

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

Aug-06



Class B

US HU

Industry Index

TRS

$60,000

Ba3

BB

Aug-06



Class C

US HU, EQ

Industry Index

TRS

$50,000

Ba2

BB+

Aug-06


Fhu-Jin Ltd.

Series 1

Class B

JP TY

Parametric Index

TRS

$200,000

BB+

Aug-06



Series 3

Class E

US HU

Industry Index

TRS

$50,000

NR

Aug-06

Factory Mutual Insurance Company

Cascadia II Limited

US EQ

Parametric

Bank Deposit

$300,000

BB+

Nov-06


Foundation Re II Ltd.

Series 2006-I

Class G

US (HU, EQ, ST)

Industry Index

TRS

$67,500

B

Nov-06


Foundation Re II Ltd.

Series 2006-I

Class A

US HU

Industry Index

TRS

$180,000

BB+

Nov-06


Mystic Re Ltd.

Series 2006-2

Class A

US HU

Industry Index

TRS

$200,000

BB+

Nov-06


Mystic Re Ltd.

Series 2006-2

Class B

US HU

Industry Index

TRS

$125,000

BB

Dec-06


Successor I Ltd.

Series 1

Class B

NA/EU W, CA/JP Q

Industry Index, Modeled Loss, Parametric Index

TRS

$4,000

NR

Dec-06



Series 4

Class E

US HU

Industry Index

TRS

$4,000

NR

Dec-06


Successor I Ltd.

Series 2

Class B

NA/EU W, CA/JP Q

Industry Index, Modeled Loss, Parametric Index

TRS

$24,500

NR

Dec-06



Series 5

Class E

US HU

Industry Index

TRS

$26,000

NR

Dec-06



Series 3

Class A

EU Wind

Parametric Index

TRS

$118,000

Ba3

BB

Dec-06



Series 3

Class C

EU Wind

Parametric Index

TRS

$15,000

B3

B

* Equity

58

Class A

Fitch

BB+



Beneficiary

Issuer

Series

Class

Size (thousands)

Perils

Trigger

Collateral

MIS

S&P

US EQ

Indemnity

Bank Deposit

$190,000

BB+

JP EQ, EU Wind

Modeled Loss

TRS

€ 120,000

BB+

Dec-06

Zurich American Insurance Company

Lakeside Re Ltd.

Dec-06

SCOR

Atlas Reinsurance III p.l.c.

Dec-06


Redwood Capital IX Ltd.

Series 1

Class A

US EQ

Parametric Index

TRS

$125,000

Ba2

BB+

Dec-06



Series 1

Class B

US EQ

Parametric Index

TRS

$125,000

Ba2

BB+

Dec-06



Series 1

Class C

US EQ

Parametric Index

TRS

$18,000

Baa3

BBB-

Dec-06



Series 1

Class D

US EQ

Parametric Index

TRS

$20,000

Ba3

BB

Dec-06



Series 1

Class E

US EQ

Parametric Index

TRS

$12,000

B3

B

Jan-07


Calabash Re II Ltd.

Series 2006-I

Class A-1

US HU

Modeled Loss

TRS

$100,000

BB

Jan-07


Calabash Re II Ltd.

Series 2006-I

Class D-1

US EQ

Modeled Loss

TRS

$50,000

B+

Jan-07


Calabash Re II Ltd.

Series 2006-I

Class E-1

US HU, EQ

Modeled Loss

TRS

$100,000

BB

Mar-07

Swiss Re

Australis Ltd.

Series 2

AU CY, EQ

Parametric Index

TRS

$50,000

BB

Apr-07

Allianz Global Corporate & Specialty AG

Blue Wings Ltd.

Series 1

Class A

US EQ, UK Flood


TRS

$150,000

BB+

Apr-07

Aspen Insurance Limited

Ajax Re Limited

Series 1

Class A

US EQ

Industry Index

TRS

$100,000

BB

Class A

US HU

Indemnity

TRS

$135,000

BB+

Apr-07

Chubb Group

East Lane Re Ltd.

Series 2007-I

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


Longpoint Re Ltd.

Series 2007-1

Class A

US HU

Industry Index

TRS

$500,000

BB+

May-07


Successor II Ltd.

Series 2

Class A

NA/EU W, CA/JP Q


TRS

$100,000

B

May-07

Mitsui Sumitomo Insurance AKIBARE Ltd. Co., Ltd.

Series 1

Class A

JP TY

Parametric Index

TRS

$90,000

BB+

May-07

Mitsui Sumitomo Insurance AKIBARE Ltd. Co., Ltd.

Series 1

Class B

JP TY

Parametric Index

TRS

$30,000

BB+

May-07


MedQuake Ltd.

Series 1

Class A

EU EQ

Parametric Index

TRS

$50,000

BB-

May-07


MedQuake Ltd.

Series 1

Class B

EU EQ

Parametric Index

TRS

$50,000

B

May-07


Mystic Re II Ltd.

Series 2007-1

US HU

Industry Index

TRS

$150,000

B+

May-07



Series 2007-I

Class 1

US HU, EQ

Indemnity

TRS

$145,000

BB

May-07



Series 2007-I

Class 2

US HU, EQ

Indemnity

TRS

$125,000

B

Fitch

* Equity

59



Beneficiary

Issuer

Series

Class

Perils

Trigger

Collateral

Size (thousands)

MIS

S&P

Fitch

May-07



Series 2007-I

Class 3

US HU, EQ

Indemnity

TRS

$75,000

B

May-07



Series 2007-I

Class 4

US HU, EQ

Indemnity

TRS

$155,000

BB+

May-07



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


TRS

$75,000

B

Jun-07

Allstate Insurance Company

Willow Re Ltd.

Series 2007-1

Class B

US HU

Industry Index

TRS

$250,000

BB+

Jun-07


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


Fremantle Limited

Series 2007-1

Class B


Industry Index

TRS

$60,000

A3

BBB+

Jun-07


Fremantle Limited

Series 2007-1

Class C


Industry Index

TRS

$80,000

Ba2

BB-

Jun-07



Series 2 2007

US HU

Industry Index

TRS

$130,200

Ba2

Jun-07


FUSION 2007 Ltd.

Class A

JP TY, Mexico EQ

Parametric Index

TRS

$30,000

B

Jun-07


FUSION 2007 Ltd.

Class B

JP TY, Mexico EQ

Parametric Index

TRS

$80,000

B

Jun-07


FUSION 2007 Ltd.

Class C

Mexico EQ

Parametric Index

TRS

$30,000

BB+

Jul-07

State Farm Mutual Automobile Insurance Company

Merna Reinsurance Ltd.

Tranche A

US/Canada (Wind, EQ, ST, WS, WF)

Indemnity

TRS

$350,000

Aa2

AAA

Jul-07



Tranche B


Indemnity

TRS

$666,600

A2

AA+

Jul-07



Tranche C


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



US HU

Industry Index

TRS

$50,000

NR

Oct-07

East Japan Railway Company

MIDORI Ltd.

JP EQ

Parametric

TRS

$260,000

BB+

Series 3 2007

Nov-07


Blue Fin Ltd.

Series 1

Class A

EU Wind

Parametric Index

TRS

€ 155,000

BB+

Nov-07


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

Dec-07

Catlin Group

Newton Re Limited

US EQ

Industry Index

Bank Deposit

* Equity

60

Series 2007-1

Class A

$87,500

B BB+



Beneficiary

Size (thousands)

Issuer

Series

Class

Perils

Trigger

Collateral

Series 2007-1

Class B

US HU

Industry Index

Bank Deposit

$137,500

MIS

S&P

Dec-07

Catlin Group

Newton Re Limited

Dec-07


GlobeCat Ltd.

Series LAQ

Class A-1

Latin America EQ

Modeled Loss

TRS

$25,000

Ba3

Dec-07


GlobeCat Ltd.

Series USW

Class A-1

US HU

Industry Index

TRS

$40,000

B3

Dec-07


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+

Dec-07



Series 6

Class C

US HU

Industry Index

TRS

$30,000

B2

Dec-07



Series 6

Class D

US HU

Industry Index

TRS

$30,000

Dec-07


Successor II Ltd.

Series 3

Class C


Parametric Index

TRS

$50,000

Dec-07


Successor II Ltd.

Series 3

Class E


Parametric Index

TRS

$50,000

Dec-07


Redwood Capital X Ltd.

Series 1

Class A

US EQ

Parametric Index

TRS

$25,000

Baa3

Dec-07



Series 1

Class B

US EQ

Parametric Index

TRS

$227,700

Ba2

Dec-07



Series 1

Class C

US EQ

Parametric Index

TRS

$50,200

Ba3

Dec-07



Series 2

Class D

US EQ

Industry Index

TRS

$130,500

Ba3

Dec-07



Series 2

Class E

US EQ

Industry Index

TRS

$45,200

B2

Dec-07



Series 2

Class F

US EQ

Industry Index

TRS

$20,000

NR

Feb-08

Catlin Group

Newton Re Limited

Series 2008-1

Class A


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 Perils

Indemnity

TRS

$75,000

BB

Mar-08

Chubb Group


Series 2008-I

Class B

Northeast US All Natural Perils

Indemnity

TRS

$70,000

BB

Mar-08

Chubb Group


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

May-08



Series 2008-I

Class 1

US HU, EQ

Indemnity

TRS

$125,000

Fitch

BB+

B B

BB

* Equity

61



Beneficiary

Issuer

Series

Class

Perils

Trigger

Collateral

Size (thousands)

MIS

S&P

May-08



Series 2008-I

Class 2

US HU, EQ

Indemnity

TRS

$125,000

B

May-08



Series 2008-I

Class 4

US (HU, EQ, ST, WS, WF)

Indemnity

TRS

$100,000

BB+

May-08

Flagstone Reinsurance Limited and Flagstone Reassurance Suisse SA

Valais Re Ltd.

Series 2008-1

Class A


Indemnity

TRS

$64,000

Ba2

May-08

Flagstone Reinsurance Limited and Flagstone Reassurance Suisse SA

Valais Re Ltd.

Series 2008-1

Class C


Indemnity

TRS

$40,000

B3

Jun-08


Nelson Re Ltd.

Series 2008-I

Class G

US HU, EQ

Indemnity

TRS

$67,500

B3

Jun-08


Nelson Re Ltd.

Series 2008-I

Class H

EU Wind

Indemnity

TRS

$45,000

B3

Jun-08


Nelson Re Ltd.

Series 2008-I

Class I

EU Wind

Indemnity

TRS

$67,500

B1

Jun-08


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


Vega Capital Ltd.

Series 2008-I

Class A


Parametric Index

TRS

$21,000

A3

A-

Jun-08


Vega Capital Ltd.

Series 2008-I

Class B


Parametric Index

TRS

$22,500

Baa2

BBB

Jun-08


Vega Capital Ltd.

Series 2008-I

Class C


Parametric Index

TRS

$63,900

Ba3

Jun-08


Vega Capital Ltd.

Series 2008-I

Class D


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-

Jul-08


Blue Coast Ltd.

Series 2008-1

Class B

US HU

Industry Index

TRS

$30,000

B+

Jul-08


Blue Coast Ltd.

Series 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


Series 2

US HU, EQ

Industry Index

TRS

$100,000

B+

Feb-09

SCOR Global P&C SE


Series 3

US HU, EQ

Industry Index

TRS

$50,000

B

Mar-09

Chubb Group

East Lane Re III Ltd.

Series 2009-I

US HU

Indemnity

TRS

$150,000

BB

Mar-09


Mystic Re II Ltd.

Series 2009-I

US HU, EQ

Industry Index

TRS

$225,000

BB

Apr-09


Blue Fin Ltd.

Series 2

Class A

US HU, EQ

Modeled Loss

MTN

$180,000

BB-

Apr-09


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

* Equity

62

Class A

BB

Fitch



Beneficiary

Issuer

Series

Class

Perils

Trigger

Collateral

Size (thousands)

MIS

S&P

May-09

Assurant, Inc.

Ibis Re Ltd.

Series 2009-1

Class B

US HU

Industry Index

TRS

$75,000

BB-

May-09



Series 2009-I

Class 1

US HU, EQ

Indemnity

MMF

$70,000

BB-

May-09



Series 2009-I

Class 2

US HU, EQ

Indemnity

MMF

$60,000

B-

May-09



Series 2009-I

Class 4


Indemnity

MMF

$120,000

BB-

Jun-09

Munich Re

Ianus Capital Ltd.

EU Wind, EQ

Parametric Index, Modeled Loss

MTN

€ 50,000

Jun-09


Calabash Re III Ltd.

Series 2009-I

Class A

US HU, EQ

Modeled Loss

MTN

$86,000

BB-

Jun-09


Calabash Re III Ltd.

Series 2009-I

Class B

US EQ

Modeled Loss

MTN

$14,000

BB+

Jul-09


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


MultiCat Mexico 2009 Limited

Series 2009-I

Class A

Mex EQ

Parametric

MMF

$140,000

B

Oct-09



Series 2009-I

Class B

Mex, HU Pacific

Parametric

MMF

$50,000

B

Oct-09



Series 2009-I

Class C

Mex, HU Pacific

Parametric

MMF

$50,000

B

Oct-09



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


Montana Re Ltd.

Series 2009-1

Class B

US HU

Industry Index

TPR

$100,000

BB-

Dec-09


Successor X Ltd.

Series 2009-1

Class I-S1

US HU, EQ, EU Wind

Industry Index, Parametric Index

MMF

$50,000

Dec-09


Successor X Ltd.

Series 2009-1

Class I-U1

US HU, EQ


MMF

$50,000

Dec-09


Successor X Ltd.

Series 2009-1

Class I-X1

US HU, EQ


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


Longpoint Re II Ltd.

Series 2009-1

Class A

US HU

Industry Index

MMF

$250,000

BB+

Dec-09


Longpoint Re II Ltd.

Series 2009-1

Class B

US HU

Industry Index

MMF

$250,000

BB+

Dec-09

Zurich American Insurance Company, Zurich Insurance Lakeside Re II Ltd. Company Ltd

CA EQ

Indemnity

MMF

$225,000

BB-

Dec-09


Redwood Capital XI Ltd.

Series 2009-1

Class A

CA EQ

Industry Index

MMF

$150,000

Jan-10


Foundation Re III Ltd.

Series 2010-1

Class A

US HU

Industry Index

MMF

$180,000

Fitch

B2

B-

B1 BB+

* Equity

63



Beneficiary

Issuer

Series

Class

Perils

Trigger

Collateral

Size (thousands)

MIS

S&P

Mar-10


Successor X Ltd.

Series 2010-1

Class II-CN3

US HU, EU Wind


MMF

$45,000

Mar-10


Successor X Ltd.

Series 2010-1

Class II-CL3

US HU, EU Wind


MMF

$35,000

Mar-10


Successor X Ltd.

Series 2010-1

Class II-BY3

US HU, EQ EU Wind, JP EQ


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


Johnston Re Ltd.

Series 2010-1

Class A

US HU

Indemnity

MMF

$200,000

BB-

May-10


Johnston Re Ltd.

Series 2010-1

Class B

US HU

Indemnity

MMF

$105,000

BB-

May-10

National Union Fire Insurance Company of Pittsburgh

Lodestone Re Ltd.

Series 2010-1

Class A

US HU, EQ

Industry Index

MMF

$175,000

BB+

May-10


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


MMF

$30,000

Ba3

May-10


Caelus Re II Limited

Series 2010-1

Class A

US HU, EQ

Indemnity

MMF

$185,000

May-10


Blue Fin Ltd.

Series 3

Class A

US HU, EQ

Modeled Loss

MMF

$90,000

B-

May-10


Blue Fin Ltd.

Series 3

Class B

US HU, EQ

Modeled Loss

MMF

$60,000

BB

May-10



Series 2010-I

Class 1


Indemnity

MMF

$162,500

BB

May-10



Series 2010-I

Class 2


Indemnity

MMF

$72,500

B+

May-10



Series 2010-I

Class 3


Indemnity

MMF

$52,500

B-

May-10



Series 2010-I

Class 4


Indemnity

MMF

$117,500

Jun-10


Merna Reinsurance III Ltd


Indemnity

MMF

$250,000

Jul-10

Massachusetts Property Insurance Underwriting Association

Shore Re Ltd.

Series 2010-1

Class A

US HU

Indemnity

MMF

$96,000

BB

Sep-10

Groupama S.A.

Green Valley Ltd.

Series 2

Class A

EU Wind

Parametric Index

MTN

€ 100,000

BB+

Oct-10

AXA Global P&C

Calypso Capital Limited

Series 2010-1

Class A

EU Wind

Industry Index

TPR

€ 275,000

BB

Nov-10

American Family Mutual Insurance Company

Mariah Re Ltd.

Series 2010-1

US ST

Industry Index

MMF

$100,000

B

* Equity

64

B-

BB+

Fitch



Beneficiary

Issuer

Series

Class

Perils

Trigger

Collateral

Size (thousands)

MIS

S&P

Dec-10



Series 2010-II

Class 1


Indemnity

MMF

$210,000

Dec-10



Series 2010-II

Class 2


Indemnity

MMF

$50,000

Dec-10



Series 2010-II

Class 3


Indemnity

MMF

$40,000

Dec-10

SCOR Global P&C SE


Series 2010-1

Class A

EU Wind, JP EQ

Parametric Index

TPR

€ 75,000

Dec-10


Vega Capital Ltd.

Series 2010-I

Class C


Multiple

MTN

$63,900

Dec-10


Vega Capital Ltd.

Series 2010-I

Class D


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-10


Lodestone Re Ltd.

Series 2010-2

Class A-1

US HU, EQ

Industry Index

MMF

$125,000

BB+

Dec-10


Lodestone Re Ltd.

Series 2010-2

Class A-2

US HU, EQ

Industry Index

MMF

$325,000

BB

Dec-10


Montana Re Ltd.

Series 2010-1

Class C

US HU, EQ

Multiple

TPR

$70,000

B

Dec-10


Montana Re Ltd.

Series 2010-1

Class D

US HU, EQ

Multiple

TPR

$80,000

Dec-10


Montana Re Ltd.

Series 2010-1

Class E

US HU, EQ/EU Wind, JP TY, JP EQ

Multiple

TPR

$60,000

B-

Dec-10


Successor X Ltd.

Series 2011-1

Class III-R3

US HU, EQ , AUS EQ


MTN

$65,000

B-

Dec-10


Successor X Ltd.

Series 2011-1

Class III-S3

US HU, EQ , AUS EQ


MTN

$50,000

B-

Dec-10


Successor X Ltd.

Series 2011-1

Class III-T3

US HU, EQ , AUS EQ


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


Foundation Re III Ltd.

Series 2011-1

Class A

US HU

Industry Index

MMF

$135,000

BB+

Feb-11


Successor X Ltd.

Series 2011-2

Class IV-E3

US HU, EQ

Industry Index

MTN

$160,000

B

Feb-11


Successor X Ltd.

Series 2011-2

Class IV-AL3

US HU, EQ

Industry Index

MTN

$145,000

Mar-11

Chubb Group

East Lane Re IV Ltd.

Series 2011-I

Class A

US HU, EQ, ST, WS

Indemnity

MMF

$225,000

BB+

Mar-11

Chubb Group

East Lane Re IV Ltd.

Series 2011-I

Class B

US HU, EQ, ST, WS

Indemnity

MMF

$250,000

BB

Mar-11

Munich Re

Queen Street II Capital Limited

US HU, EU Wind

Industry Index

MMF

$100,000

BB-

Apr-11


Blue Fin Ltd.

Series 4

Class B

US HU, EQ

Modeled Loss

MMF

$40,000

May-11


Johnston Re Ltd.

Series 2011-1

Class A

US HU

Indemnity

MMF

$70,000

Fitch

BB

BBa3

BB-

* Equity

65


2012 Summary of Catastrophe Bonds — December 1996 through June 2013 Issuance Date

Beneficiary

Issuer

Series

Class

Perils

Trigger

Collateral

Size (thousands)

MIS

S&P

May-11


Johnston Re Ltd.

Series 2011-1

Class B

US HU

Indemnity

MMF

$131,835

BB-

May-11



Series 2011-I

Class 1


Indemnity

MMF

$57,000

B+

May-11



Series 2011-I

Class 2


Indemnity

MMF

$33,000

B-

May-11



Series 2011-I

Class 5


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


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


Kizuna Re Ltd.

Series 2011-1

JP TY

Indemnity

MTN

$160,000

Oct-11

AXA Global P&C

Calypso Capital Limited

Series 2011-1

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


Successor X Ltd.

Series 2011-3

Class V-F4

US HU

Industry Index

MMF

$80,000

Nov-11


Successor X Ltd.

Series 2011-3

Class V-X4

US HU, EU W

Industry Index

MMF

$50,000

Nov-11



Series 2011-II

Class 1

US HU, EQ, ST, WS, WF

Indemnity

MMF

$100,000

Nov-11



Series 2011-II

Class 2

US HU, EQ, ST, WS, WF

Indemnity

MMF

$50,000

Dec-11


Compass Re Ltd.

Series 2011-1

Class 1

US HU, EQ

Industry Index

MMF

$75,000

BB-

Dec-11


Compass Re Ltd.

Series 2011-1

Class 2

US HU, EQ

Industry Index

MMF

$250,000

BB-

Dec-11


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+

Dec-11

SCOR Global P&C SE


Series 2011-1

Class A

US HU, EQ

Industry Index

MTN

$125,000

B

Dec-11

SCOR Global P&C SE


Series 2011-1

Class B

US HU, EQ

Industry Index

MTN

$145,000

B+

Dec-11

SCOR Global P&C SE


Series 2011-2

Class A

EU Wind

Industry Index

MTN

€ 50,000

B

* Equity

66

Series 2011-I

Class A

B-

Fitch



Beneficiary

Issuer

Series

Class

Perils

Trigger

Collateral

Size (thousands)

MIS

S&P

Dec-11

Amlin AG

Tramline Re Ltd.

Series 2011-1

Class A

US HU, EQ, EU Wind

Industry Index

MMF

$150,000

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



Series 2012-I

Class A

CAL EQ

Indemnity

MMF

$150,000

BB-

Feb-12

ZENKYOREN

Kibou Ltd.

Series 2012-1

Class A

JP EQ

Parametric Index

MMF

$300,000

BB+

Feb-12


Successor X Ltd.

Series 2012-1

Class V-AA3

US HU, EU Wind

Industry Index

MMF

$23,000

Feb-12


Successor X Ltd.

Series 2012-1

Class V-D3

US HU

Industry Index

MMF

$40,000

Feb-12

Munich Re

Queen Street V Re Limited

US HU, EU Wind

Industry Index

MMF

$75,000

Mar-12


Mystic Re III Ltd.

Series 2012-1

Class A

US HU, EQ(ex CA)

Indemnity

MMF

$100,000

BB

Mar-12


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-12

COUNTRY Mutual & North Carolina Farm Bureau Mutual

Combine Re Ltd.

Class A

US HU, EQ, ST, WS

Indemnity

MMF

$100,000

Baa1

Mar-12


Combine Re Ltd.

Class B

US HU, EQ, ST, WS

Indemnity

MMF

$50,000

Ba3

Mar-12


Combine Re Ltd.

Class C

US HU, EQ, ST, WS

Indemnity

MMF

$50,000

Apr-12


Blue Danube Ltd.

Series 2012-1

Class A

US, CB, MX HU, US, CAN EQ

Industry Index

MTN

$120,000

BB+

Apr-12


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 Pelican Re Ltd. Insurance Corporation

Series 2012-1

Class A

LA HU

Indemnity

MMF

$125,000

Apr-12

Mitsui Sumitomo Insurance Akibare II Ltd. Co., Ltd

Series 2012-1

Class A

JP TY

Modeled Loss

MMF

$130,000

BB

Apr-12

Citizens Property Insurance Everglades Re Ltd. Corporation

Series 2012-1

Class A

FL HU

Indemnity

MMF

$750,000

B+

May-12


Mythen Ltd.

Series 2012-1

Class A

US HU

Industry Index

MTN

$50,000

Ba3

May-12


Mythen Ltd.

Series 2012-1

Class E

US HU

Industry Index

MTN

$100,000

Ba3

May-12


Mythen Ltd.

Series 2012-1

Class H

US HU, EU Wind

Industry Index

MTN

$250,000

B2

Fitch

B-

B2

* Equity

67



Beneficiary

Issuer

Series

Class

Perils

Trigger

Collateral

Size (thousands)

MIS

S&P

May-12



Series 2012-I

Class 3


Indemnity

MMF

$50,000

BB-

May-12



Series 2012-I

Class 5


Indemnity

MMF

$110,000

BB

May-12



Series 2012-I

Class 7


Indemnity

MMF

$40,000

Jun-12



Series 2012-1

Class A

Northeast HU

Indemnity

MMF

$250,000

Jul-12

Munich Re


US HU, EU Wind

Industry Index

MMF

$100.00

B

Jul-12



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


Series 2012-I

Class A

Mex EQ

Parametric

MMF

$140.00

B

Oct-12



Series 2012-I

Class B

Mex HU Atlantic

Parametric

MMF

$75.00

B+

Oct-12



Series 2012-I

Class C

Mex HU Pacific

Parametric

MMF

$100.00

B-

Oct-12

Munich Re


US HU, EU Wind

Industry Index

MMF

$75.00

B

Nov-12

SCOR Global P&C SE


Class A

US HU, EQ

Industry Index

MTN

$60.00

BB-

Nov-12

SCOR Global P&C SE


Class B

EU Wind

Industry Index

MTN

€ 130.00

BB

Nov-12


Mythen Re Ltd.

Series 2012-2

Class A

US HU, UK Mortality

Industry Index

MTN

$120.00

B+

Nov-12


Mythen Re Ltd.

Series 2012-2

Class C

US HU

Industry Index

MTN

$80.00

B-

Nov-12



Series 2012-II

Class 1


Indemnity

MMF

$155.00

BB+

Nov-12



Series 2012-II

Class 2


Indemnity

MMF

$70.00

BB

Nov-12



Series 2012-II

Class 3


Indemnity

MMF

$95.00

Nov-12



Series 2012-II

Class 4


Indemnity

MMF

$80.00

Dec-12


Compass Re Ltd.

Series 2012-1

Class 1

US HU, EQ

Industry Index

MMF

$400.00

Dec-12

Zurich American Insurance Company, Zurich Lakeside Re III Ltd. Insurance Company, Ltd.

US, CAN EQ

Indemnity

MMF

$270.00

B+

Mar-13


US HU, EQ

Indemnity

MMF

$270.00

BB-

* Equity

68


Series 2013-1

Class A

BB+

Fitch



Beneficiary

Size (thousands)

Issuer

Series

Class

Perils

Trigger

Collateral

Series 2013-1

Class A

FL HU

Indemnity

MMF

$250.00

New Madrid EQ

Indemnity

MMF

$300.00

MIS

Mar-13

Citizens Property Insurance Company

Everglades Re Ltd.

Apr-13

State Farm Fire and Casualty Company

Merna Re IV Ltd.

Apr-13



Series 2013-2

Class A

US HU, EQ

Indemnity

MMF

$320.00

Apr-13


Tar Heel Re Ltd.

Series 2013-1

Class A

NC Hurricane

Parametric Index

MMF

$500.00

B+

Apr-13


Bosphorus 1 Re Ltd.

Series 2013-1

Class A

Turkey EQ

Industry Index

MMF

$400.00

BB+

May-13


Sanders Re Ltd.

Series 2013-1

Class A

US HU, EQ

Industry Index

MMF

$200.00

BB+

May-13


Sanders Re Ltd.

Series 2013-1

Class B

US HU, EQ

Indemnity

MMF

$150.00

BB

May-13

Louisiana Citizens Property Pelican Re Ltd. Insurance Company

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


Series 2013-1

Class A

Northeast HU

Indemnity

MMF

$300.00

BB

May-13


Blue Danube II Ltd.

Series 2013-1

Class A


Industry Index

MTN

$175.00

BB+

May-13



Series 2013-I

Class 11


Indemnity

MMF

$205.00

May-13



Series 2013-I

Class 3


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


US HU, AUS CY


MMF

$75.00

Jun-13

Amlin AG

Tramline Re II Ltd.

US, CAN EQ

Industry Index

MMF

$75.00

Series 2013-1

Class A

S&P

Fitch

B

* Equity

69


Appendix III Life & Health Catastrophe Bonds – Transaction Summary As of June 30, 2013 Source: Aon Benfield Securities

70



Beneficiary

Issuer

Series

Class

Perils

Trigger

Size ($MM)

S&P

Extreme Mortality

Index

$400,000

A+

Dec-03

Swiss Reinsurance Company, Ltd.

Vita Capital Ltd.

Series 1

Apr-05


Vita Capital II Ltd.

Series 1

Class B

Extreme Mortality

Index

$62,000

A-

Apr-05



Series 1

Class C

Extreme Mortality

Index

$200,000

BBB+

Apr-05



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


Vita Capital III Ltd.

Series 1

Class B

Extreme Mortality

Index

$90,000

A

Dec-06



Series 2

Class B

Extreme Mortality

Index

$50,000

AAA

Dec-06



Series 3

Class B

Extreme Mortality

Index

€ 30,000

AAA

Jan-07



Series 4

Class A

Extreme Mortality

Index

$100,000

AAA

Jan-07



Series 5

Class A

Extreme Mortality

Index

$100,000

AAA

Jan-07



Series 5

Class B

Extreme Mortality

Index

$50,000

AAA

Jan-07



Series 6

Class A

Extreme Mortality

Index

€ 55,000

AAA

Jan-07



Series 6

Class B

Extreme Mortality

Index

€ 55,000

AAA

Jan-07



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


Vita Capital IV Ltd.

Series 1

Class E

Extreme Mortality

Index

$75,000

BB+

May-10



Series III

Class E

Extreme Mortality

Index

$50,000

BB+

Oct-10



Series III

Class E

Extreme Mortality

Index

$100,000

BB+

Oct-10



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


Kortis Capital Ltd.

Series 2010-1

Class E

Longevity

Index

$50,000

BB+

Apr-11


Vitality Re II Limited

Series 2011-1

Class A

Health

Indemnity - MBR

$110,000

BBB

Apr-11


Vitality Re II Limited

Series 2011-1

Class B

Health

Indemnity - MBR

$40,000

BB+

Aug-11



Series V

Class D

Extreme Mortality

Index

$100,000

BBB-

Aug-11



Series VI

Class E

Extreme Mortality

Index

$80,000

BB+

Jan-12


Vitality Re III Limited

Series 2012-1

Class A

Health

Indemnity - MBR

$105,000

BBB+

Jan-12


Vitality Re III Limited

Series 2012-1

Class B

Health

Indemnity - MBR

$45,000

BB+

Jul-12


Vita Capital V Ltd.

Series 2012-I

Class D-1

Extreme Mortality

Index

$125.00

BBB-

Jul-12


Vita Capital V Ltd.

Series 2012-I

Class E-1

Extreme Mortality

Index

$150.00

BB+

Jan-13



Series 2013-1

Class A

Health

Indemnity - MBR

$105.00

BBB+

Jan-13



Series 2013-1

Class B

Health

Indemnity - MBR

$45.00

BB+

71


Appendix IV Summary of Sidecar Issuance As of June 30, 2013 Source: Aon Benfield Securities

72


Summary of Sidecar Issuance Size ($Millions)

Sidecar

Principal Sponsor

Inception

Line of Business

Top Layer Re

Renaissance Re, SF

Dec-99

High Excess U.S. Property Cat

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

Blue Ocean Re

Montpelier Re

Dec-05

Property Cat Retrocessional

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

Mont Fort Re

Flagstone Re

Aug-06

Peak Zone And ILW

Cyrus Re

XL Capital

Nov-06


635.0

Panther Re

Hiscox

Dec-06


360.0

Syncro Ltd.

Lloyd’s #4242 (Chaucer)

Dec-06


100.0

Norton Re

Brit Insurance

Dec-06


107.7

New Point Re

Harbor Point

Dec-06


250.0

Triomphe Re

Paris Re

Dec-06


185.0

Sector Re

Swiss Re

Jan-07

Property Cat, Aviation

220.0

MaRI Ltd.

ACE

Jan-07


400.0

Syndicate 6105

Ark Underwriting

Jan-07


40.0

Syndicate 6104

Hiscox

Jan-07


69.0

Syndicate 6103

Mapfre Ltd.

Jan-07


78.6

Bridge Re

Swiss Re

Apr-07


182.5

Starbound Re II

Ren Re

Jun-07


341.5

Mont Gele Re

Flagstone Re

Jul-07


Norton Re II

Brit Insurance

Dec-07


Sector Re II

Swiss Re

Apr-08


150.0

Cyrus Re ll

XL Capital

Dec-07


140.0

New Point Re II

Harbor Point

Dec-07


100.0

Globe Re

Hannover Re

May-08


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

100.0

90.9 300.0

730.0 60.0

60.0 118.2

60.4

73


Summary of Sidecar Issuance Size ($Millions)

Sidecar

Principal Sponsor

Inception

Line of Business

Fac Pool Re

Hannover Re

Sep-09

Worldwide Fac

AlphaCat Re

Validus

May-11


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


225.0

AlphaCat Re 2011*

Validus

Dec-11


71.0

Upsilon Re

Renaissance Re

Jan-12


73.7

SPS 20881

Catlin

Jan-12

Various lines (Syndicate 2003 quota share)

77.5

SPS 61111

Catlin

Jan-12


93.0

Catlin

Jan-12


41.9

SPS 61121 AlphaCat Re 2011*

60.0

Validus

Feb-12


PacRe

Validus

Mar-12

Property Cat Reinsurance (top layer)

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


AlphaCat Re 2012

Validus

Jun-12


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

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

2

* Additional equity raise for existing vehicle 1

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

39.9 500.0

210.0

37

About Aon Benfield Aon 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.

Aon Benfield Securities is providing Insurance-Linked Securities 2013 (ILS 2013) for informational purposes only. ILS 2013 is not intended as advice with respect to any specific situation, and should not be relied upon as such. In addition, readers should not place undue reliance on any forwardlooking statements. Aon Benfield Securities undertakes no obligation to review or update any such statements based on changes, new developments or otherwise. ILS 2013 is intended only for designated recipients, and it is not to be considered (1) an offer to sell any security, loan, or other financial product, (2) a solicitation or basis for any contract for purchase of any securities, loan, or other financial product, (3) an official confirmation, or (4) a statement of Aon Benfield Securities or its affiliates. With respect to indicative values, no representation is made that any transaction can be effected at the values provided and the values provided are not necessarily the value carried on Aon Benfield Securities’ books and records. Discussions of tax, accounting, legal or actuarial matters are intended as general observations only based on Aon Benfield Securities’ experience, and should not be relied upon as tax, accounting, legal or actuarial advice. Readers should consult their own professional advisors on these matters as Aon Benfield Securities does not provide such advice. Aon Benfield Securities makes no representation or warranty, whether express or implied, that the products or services described in ILS 2013 are suitable or appropriate for any issuer, investor or participant, or in any location or jurisdiction. The products and services described in ILS 2013 are complex and speculative, and are intended for sophisticated issuers, investors, or participants capable of assessing the significant risks involved. Except as otherwise noted, the information in the ILS 2013 was compiled by Aon Benfield Securities from sources it believes to be reliable. However, Aon Benfield Securities makes no representation or warranty as to the accuracy, reliability or completeness of such information, and the information should not be relied upon in making business, investment or other decisions. Aon Benfield Securities and/or its affiliates may have independent business relationships with, and may have been or in the future will be compensated for services provided to, companies mentioned in the ILS 2013.

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