Insurance-Linked Securities - Aon Benfield

Aon Benfield

Insurance-Linked Securities Capital Revolution—Alternative Markets Fuel Dynamic Environment September 2014

Risk. Reinsurance. Human Resources.

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.

Foreword It is my pleasure to bring to you the seventh 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, both for 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, 2014, during which time several records were set in the ILS market. In this period, $9.4 billion of catastrophe bond issuance was secured—the largest amount in the history of the sector and an increase of 41 percent from the prior year. Additional highlights included a record second quarter ILS issuance of $4.5 billion across 12 separate transactions, which produced a record first half issuance of $5.9 billion. Meanwhile, in the 12-month period under review, interest spreads reached historic lows. This encouraged even more sponsors to consider ILS solutions as part of their risk transfer strategies—a record 13 new sponsors secured coverage during this time. Specifically, the 2014 edition of this study offers: § Aon Benfield Securities’ 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 sidecar and ILW activity; § A review of the U.S., Europe and Asia activity; § A dedicated section on the Life and Health sector; § An in-depth discussion with the Impact Forecasting catastrophe model development team. In all, the catastrophe bond market has seen $60.1 billion of cumulative issuance since 1996, demonstrating its importance as a strategic and efficient risk management tool. The growth of the market has accelerated in the 12 months under review, and we expect the strong performance to continue for the remainder of 2014 and beyond. As of June 30, 2014, $22.4 billion of bonds were on-risk—a new peak for the sector and an increase of $4.6 billion from the prior year. 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 the ILS sector, please contact me or my colleagues.

Paul Schultz, Chief Executive Officer, Aon Benfield Securities

Aon Benfield

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Contents Aon Benfield Securities’ Annual Review of the Catastrophe Bond Market. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5 ILS Investor Activity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12 The Aon Benfield ILS Indices . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15 ILS-Related Markets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17 U.S. Perils . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19 Europe Perils. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23 Asia Pacific Perils. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24 Life and Health Perils . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26 An In-Depth Discussion with Impact Forecasting. . . . . . . . . . . . . . . . . . . 27 Appendix I. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 31 Catastrophe Bond Issuance Statistics Appendix II. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 37 Property Catastrophe Bonds—Transaction Summary Appendix III. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 58 Life & Health Catastrophe Bonds—Transaction Summary Appendix IV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 60 Summary of Sidecar Issuance Contact. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 63

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Insurance-Linked Securities

Aon Benfield Securities’ Annual Review of the Catastrophe Bond Market Overview The 12-month period ending June 30, 2014 was ground-breaking

Figure 1: Catastrophe Bond Issuance by Year, 2005 to 2014 ( Years ending June 30)

for the insurance-linked securities (“ILS”) market. Momentum

Property Issuance

continued from the previous year as significant investor inflows continued pushing interest spreads to new lows and resulted

Life / Health Issuance

10,000

9,400

in the highest issuance level in the market’s history. Annual catastrophe bond issuance reached $9.4 billion (Figure 1)—

8,145

an increase of 41 percent over the prior year period.

catastrophe bonds on risk reached an all-time high of $22.4 billion (Figure 2)—an increase of $4.6 billion from the prior year period and an all-time record for the sector. Interestingly, the average duration of catastrophe bonds has

USD Millions

For the 12-month period under review, the total volume of

8,000 6,665

6,431 5,914

6,000

4,736

4,382

4,000 3,279

increased steadily over the past three semi-annual issuance periods. However, the main driver in the market expansion is 2,000

the large amount of new issuance, secured by both new and

1,705

1,499

repeat sponsors. As of June 30, 2014, a total of $60.1 billion in catastrophe bonds has been issued since the market’s origin. 0 14

13

20

12

20

20

11

10

20

09

20

08

20

07

coming years.

20

issuance volumes are expected to outweigh maturities in the

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forecasts that this market expansion will continue, as new

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recent expansion of the ILS market. Aon Benfield Securities

20

05

20

The record level of catastrophe bonds on risk highlights the

Source: Aon Benfield Securities, Inc.

Figure 2: Outstanding and Cumulative Catastrophe Bond Volume, 2005-2014 (Years ending June 30) Property Outstanding

Total Cumulative Bonds

Cumulative Property Issuance

Life / Health Outstanding

65,000 58,500

60,102

USD Millions

52,000

50,702

45,500

44,037 37,605

39,000 33,223

32,500

28,487 26,782

26,000

22,422

20,867

19,500 12,723

13,000

9,444

6,500

4,741

17,788

16,155 13,174 13,167

12,911

15,123 11,504

6,558

0

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13

20

12

20

11

20

20

10 20 09

08

20

07

20

06

20

05

20

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Aon Benfield

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Key Market Drivers § Supply and Demand

capacity has been secured for U.S. hurricane. In addition,

Significant capital continued to flow into the ILS sector, with

Vitality Re V Limited secured five years of coverage for health

an estimated $5-6 billion of new capital having entered the

risk—up from four years in the prior issuance.

market over the 12 months to June 30, 2014. This brings total capital inflows to more than $10 billion for the last two years. In the traditional reinsurance market, capital grew to $570 billion by the end of the first quarter of 2014. The record 1

reinsurer capital levels and continually building strength from the ILS market pushed traditional margins for some

In the 12 months under review, investors showed a willingness to provide capacity for more complex coverages and certain non-modeled exposures. This is demonstrated by American International Group’s Tradewynd Re Ltd. and Great American Insurance Company’s Riverfront Re Ltd.

programs to levels not seen for a generation. In the catastrophe bond market, interest spreads continued to decrease in the 12 months ending June 30, 2014. Building on the declines seen in 2013, sponsors benefitted from interest spread reductions of 20 percent or higher during the period under review. These spreads were achieved despite record issuance levels. Minimum interest spreads for select risks in the last 12 months are listed below:

Table 1: Minimum Interest Spreads for Selected Risks Covered Risk

Minimum Interest Spread

U.S. hurricane / multi-peril

2.75 percent

U.S. earthquake

2.00 percent

Europe windstorm

2.25 percent

Japan typhoon

2.00 percent

Japan earthquake

2.25 percent

Health

1.75 percent


§ Enhanced Coverage The trend of enhanced coverage continued during the year ending June 30, 2014. Seventy percent of property catastrophe bonds utilized indemnity triggers, compared to 48 percent in the prior year. Indemnity coverage was not limited to the U.S. as sponsors in regions such as Australia, Europe and Japan also secured such coverage. Sponsors were able to secure coverage for longer risk periods, demonstrating investors’ demand for more issuance and comfort with the catastrophe bond market’s liquidity. Both Tradewynd Re Ltd. Series 2013-1 and Sanders Re Ltd. Series 2014-1 Class D, which included U.S. hurricane exposure, secured capacity for five years—the first time since 2007 such 1 2

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§ Benign Loss Activity In the calendar year 2013, global catastrophes caused insured losses of $45 billion—22 percent below the 10-year average of $58 billion and the lowest since 2009. This trend continued into the first half of 2014, where insured losses were $22 billion and down 19 percent from the 10-year average2. As such, it’s not surprising that the year ending June 30, 2014 remained loss free for the catastrophe bond market. Aon Benfield estimates that a $100 billion1, or greater, insured catastrophe event is required to meaningfully disrupt market pricing for any significant period of time.

Transaction Review Thirty-five transactions (including two with life and health exposures) closed during the year ending June 30, 2014. This represents an increase of 30 percent from the prior 12-month period, in which 27 issuances closed. U.S. exposures continue to be the main risk ceded to the catastrophe bond market, with 25 transactions in the past 12 months including such risks. Notably 70 percent of property catastrophe bonds utilized indemnity triggers, with the remainder predominantly industry index based. The use of this trigger expanded more broadly over the last 12 months to include Australia, Europe and Japan risks, in addition to the U.S. The contribution to expected modeled loss from U.S. hurricane risk for new property catastrophe issuances increased from 56 percent for the year ending June 30, 2013 to 60 percent for the same period in 2014. U.S. earthquake and Europe windstorm risk each contributed 13 percent of modeled expected loss during the past 12 months. Japan perils contributed 10 percent to the modeled expected loss across four new issuances.

Aon Benfield’s Reinsurance Market Outlook—September 2014 Impact Forecasting’s 1H 2014 Global Catastrophe Recap dated July 2014 and Annual Global Climate and Catastrophe Report


Third Quarter 2013 Eight transactions totaling $1.6 billion closed during the third

A selection of transactions issued in the third quarter of 2013

quarter of 2013, representing the greatest issuance volume

includes:

to date in the historically quiet quarter. The trend of third quarter issuances emerged recently in the catastrophe bond market and strengthened in 2013 with issuance more than doubling from the prior year’s third quarter. New sponsors included Renaissance Reinsurance Ltd. (“RenRe”), Metropolitan Transportation Authority (“MTA”) and AXIS Specialty Limited (“AXIS”) during this period. The issuances offered investors a diverse selection of perils— France windstorm, Japan earthquake, U.S. hurricane, U.S. earthquake, extreme mortality and New York storm surge.

§ Tradewynd Re Ltd., sponsored by American International Group, provides indemnity U.S. (including the Caribbean) hurricane and North America earthquake coverage over a five-year term. The transaction marks the first property catastrophe bond to include U.S. hurricane with a term longer than four years since 2007; § Nakama Re Ltd. (“Nakama Re”) is the first indemnity transaction sponsored by National Mutual Insurance Federation of Agricultural Cooperatives (“Zenkyoren”). This first issuance from the Nakama Re program provides Zenkyoren with $300 million in coverage for Japan earthquakes; and § Atlas IX Capital Limited (“Atlas IX”) is the first extreme mortality transaction for SCOR Global Life SE (“SCOR”). Atlas IX provides SCOR with $180 million in capacity and represents the lowest attachment level ever achieved for this type of risk in the ILS market.

Table 2: Third Quarter 2013 Catastrophe Bond Issuance Beneficiary

Issuer

Series

Class

Size (millions)

Covered Perils

Trigger

Collateral

Groupama S.A.

Green Fields II Capital Limited

Series 2013-1

Class A

€ 280*

FR Wind

Industry Index

EBRD

Swiss Reinsurance Company Ltd.

Mythen Re Ltd.

Series 2013-1

Class B-1

$100

US HU

Industry Index

MMF

Renaissance Reinsurance Ltd.

Mona Lisa Re Ltd.

Series 2013-2

Class A

$150

US HU, EQ

Industry Index

MMF

American International Group

Tradewynd Re Ltd.

Series 2013-1

Class 1

$125

US/CB HU, NA EQ

Indemnity

MMF

Metropolitan Transportation Authority

MetroCat Re Ltd.

Series 2013-1

Class A

$200

NY Storm Surge

Parametric Index

MMF

AXIS Specialty Limited

Northshore Re Limited

Series 2013-1

Class A

$200

US HU, EQ

Industry Index

MMF

National Mutual Insurance Federation of Agricultural Cooperatives

Nakama Re Ltd.

Series 2013-1

Class 1

$300

JP EQ

Indemnity

MMF

SCOR Global Life SE

Atlas IX Capital Limited

Series 2013-1

Class B

$180

US Extreme Mortality

Index

EBRD

Total Source: Aon Benfield Securities, Inc. * Converted at €1.000 = $1.306 as of July 1, 2013

$1,620.7 Legend CB – Caribbean EQ – Earthquake FR – France HU – Hurricane

JP – Japan NA – North America NY – New York US – United States

Aon Benfield

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Fourth Quarter 2013 § Windmill I Re Ltd., sponsored by Achmea Re, provides

Eight transactions closed during the fourth quarter of 2013 totaling $1.9 billion as market pricing conditions for ILS

€40 million indemnity Europe windstorm coverage.

remained in line with the historical lows seen in the first half

The transaction was marketed and placed with a limited

of 2013. Several new cedants secured coverage including

number investors. Achmea Re is the first company to sponsor

American Modern Insurance Group Inc., QBE Insurance Group

an indemnity catastrophe bond covering Europe risks since

Limited (“QBE”) and Achmea Reinsurance Company N.V.

the financial crisis.

(“Achmea Re”).

As 2013 came to a close, total new catastrophe bond issuance

A selection of transactions issued in the fourth quarter of 2013

for the trailing 12-month period was at its highest level since

includes:

2007. Total catastrophe bonds outstanding at calendar year end

§ VenTerra Re Ltd. (“VenTerra Re”) marks QBE’s entrance to the

set a new record of just over $20 billion.

catastrophe bond market. The transaction provides indemnity coverage for U.S. earthquakes, Australia cyclones and Australia earthquakes. VenTerra Re provides QBE with $250 million in capacity for three years. The transaction was wellreceived by investors and closed at the low end of marketed guidance. VenTerra Re is the first indemnity transaction to include a significant amount of Australia exposure; and

Table 3: Fourth Quarter 2013 Catastrophe Bond Issuance Beneficiary

Issuer

AXA Global P&C

Calypso Capital II Limited

Catlin Insurance Company Ltd.

Galileo Re Ltd.

Series 2013-1

United Services Automobile Association

Residential Reinsurance 2013 Limited

Series 2013-II


Tradewynd Re Ltd.

Series 2013-2

Class

Size (millions)

Class A

€ 185*

Class B

€ 165*

Class A

$300

Class 1

$80

Class 4

$70

Class 1-A

$100

Class 3-A

$160

Class 3-B

$140

Covered Perils

Trigger

Collateral

EU Wind

Industry Index

EBRD

US HU, EQ, EU Wind

Industry Index

MMF

US HU, EQ, ST, WS, WF

Indemnity

MMF

US, CB HU, NA EQ

Indemnity

MMF

Achmea Reinsurance Company N.V.

Windmill I Re Ltd.

Series 2013-1

Class A

€ 40**

EU Wind

Indemnity

MMF

American Modern Insurance Group, Inc.

Queen City Re Ltd.

Series 2013-1

Class A

$75

US HU

Indemnity

MMF

QBE Insurance Group Limited

VenTerra Re Ltd.

Series 2013-1

Class A

$250

US EQ, AUS CY, EQ

Indemnity

MMF

Argo Re, Ltd.

Loma Reinsurance (Bermuda) Ltd.

Series 2013-1

US, CB HU, US ST, NA, CB EQ

Indemnity, Industry Index

MMF

Total Source: Aon Benfield Securities, Inc. * Converted at €1.000 = $1.358 as of October 15, 2013 ** Converted at €1.000 = $1.367 as of December 23, 2013

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Series


Class A

$32

Class B

$75

Class C

$65 $1,877.0 Legend AUS – Australia CB – Caribbean CY – Cyclone EQ – Earthquake

EU – Europe US – United States HU – Hurricane WF – Wildfire NA – North America WS – Winter Storm ST – Severe Thunderstorm

First Quarter 2014 § Kizuna Re II Ltd. is the second indemnity catastrophe bond

Picking up where the strong 2013 year ended, seven transactions closed during the first quarter of 2014 totaling

for Tokio Marine & Nichido Fire Insurance Co., Ltd. (“Tokio

$1.4 billion, making it the second most active first quarter

Marine”). It is the first earthquake bond with significant

on record. Interest spreads continued to decline following

commercial and industrial exposures in Japan, and provides

the historic low rates seen in 2013, as strong demand for

the insurer with $245 million in coverage; and

catastrophe bonds continued among sponsors and investors.

§ Merna Re V Ltd. provides State Farm Fire and Casualty

Two new sponsors entered the market in the first quarter of

Company (“State Farm”) with $300 million of indemnity

2014—American Strategic Insurance Group and Great American

coverage against earthquakes in the New Madrid region.

Insurance Company (“GAIC”).

In total, State Farm now has $600 million in protection for these exposures. The offering closed in March with an

A selection of transactions issued in the first quarter of 2014

interest spread of 2.00 percent, 50 basis points lower than

includes:

Merna Re IV Ltd., which closed 12 months prior. This further demonstrates the lower rate environment.

§ Riverfront Re Ltd. (“Riverfront Re”) provides multi-peril coverage in the U.S. and Canada for GAIC. The transaction for the first time sponsor also includes some non-modeled risks. Riverfront Re was well-received by investors and priced at 4.00 percent, below marketed guidance.

Table 4: First Quarter 2014 Catastrophe Bond Issuance Beneficiary

Series Series 2014-1

Class

Size (millions)

Class A

$140

Covered Perils

Trigger

Collateral

Class B

$60

US Medical Benefits Ratio

Indemnity

MMF

$100

US HU, AUS CY

Industry Index, Modeled Loss

MMF

Aetna Life Insurance Company

Vitality Re V Limited

Münchener RückversicherungsGesellschaft Aktiengesellschaft in München

Queen Street IX Re Limited

Chubb Group

East Lane Re VI Ltd.

Series 2014-1

Class A

$270

NE US HU, EQ, ST, WS

Indemnity

MMF

American Strategic Insurance Group

Gator Re Ltd.

Series 2014-1

Class A

$200

US HU, ST

Indemnity

MMF

Tokio Marine & Nichido Fire Insurance Co., Ltd.

Kizuna Re II Ltd.

Series 2014-1

Class A

$200

Class B

$45

JP EQ

Indemnity

MMF

Great American Insurance Company

Riverfront Re Ltd.

$95

NA HU, EQ, ST, WS

Indemnity

MMF

State Farm Fire and Casualty Company

Merna Re V Ltd.

$300

NM EQ

Indemnity

MMF

Total Source: Aon Benfield Securities, Inc.

Issuer

$1,410.0 Legend AUS – Australia CY – Cyclone EQ – Earthquake HU – Hurricane

JP – Japan NA – North America NE – Northeast NM – New Madrid

ST – Severe Thunderstorm US – United States WS – Winter Storm

Aon Benfield

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Second Quarter 2014 In response to the continued advantageous market conditions

an aggregate and occurrence tranche, gives the reinsurer

witnessed in the first quarter of 2014, 12 catastrophe bond

North American index protection against hurricanes and

transactions closed during the second quarter of 2014,

earthquakes. The transaction was well received by investors,

representing $4.5 billion of issuance—the most of any quarter in

allowing Everest Re to upsize its issuance by 80 percent, while

the history of the ILS market. Notably, $2.1 billion—almost half

the interest spreads for each class of notes closed 50 basis

of the issuance in the quarter—covered Florida-only risks.

points below the low ends of initial price guidance.

A selection of transactions issued in the second quarter of 2014

Catastrophe bond pricing remained at historic lows during

includes:

the second quarter, as investor demand kept pace with the increased supply. This allowed sponsors to expand coverage

§ Sanders Re Ltd. Series 2014-1 provides Allstate Insurance

at competitive rates.

Company (“Allstate”) with $750 million in U.S. multi-peril coverage across three classes of notes. The Series 2014-2

New sponsors, Heritage Property & Casualty Insurance

notes, provide Allstate’s dedicated Florida property insurance

Company, Assicurazioni Generali S.p.A., Everest Re, Sompo

companies (Castle Key Insurance Company and Castle

Japan Nipponkoa Insurance Inc. and Texas Windstorm Insurance

Key Indemnity Company), with $200 million in indemnity

Association joined first quarter newcomers American Strategic

coverage; and

Insurance Group and GAIC, representing a total of seven new sponsors for the first half of 2014. This figure matches the total

§ Kilimanjaro Re Limited provides first time sponsor Everest

number of new sponsors for the full year 2013. During the

Reinsurance Company (“Everest Re”) with $450 million in coverage for four years. The transaction, which includes both

12-month period under review, a total of 13 new sponsors secured capacity.

Table 5: Second Quarter 2014 Catastrophe Bond Issuance Beneficiary

Issuer

Heritage Property & Casualty Insurance Company

Citrus Re Ltd.

Assicurazioni Generali S.p.A.

Lion I Re Limited

Everest Reinsurance Company

Kilimanjaro Re Limited

Class

Size (millions)

Series 2014-1

Class A

$150

Series 2014-2

Class 1

$50

Series 2014-1

Covered Perils

Trigger

Collateral

FL HU

Indemnity

MMF

Indemnity

EBRD

Industry Index

MMF

€ 190*

EU Wind

Class A

$250

US HU

Class B

$200

NA HU, EQ

Citizens Property Insurance Corporation

Everglades Re Ltd.

Series 2014-1

Class A

$1,500

FL HU

Indemnity

MMF

American Coastal Insurance Company

Armor Re Ltd.

Series 2014-1

Class A

$200

FL HU

Indemnity

MMF

Class B

$330

Allstate Insurance Company

Sanders Re Ltd.

Series 2014-1

Class C

$115

US HU, EQ

Industry Index

MMF

Class D

$305

Castle Key Insurance Company and Castle Key Indemnity Company

Sanders Re Ltd.

Series 2014-2

Class A

$200

FL HU, EQ, ST

Indemnity

MMF

Sompo Japan and Nipponkoa Insurance Inc.

Aozora Re Ltd.

Series 2014-1

Class B

¥10,125**

JP TY

Indemnity

MMF


Nakama Re Ltd.

Series 2014-1

$150

JP EQ

Indemnity

MMF



Series 2014-I


Indemnity

MMF

Texas Windstorm Insurance Association

Alamo Re Ltd.

Series 2014-1

TX HU

Indemnity

MMF

Total Source: Aon Benfield Securities, Inc. *For Lion Re: Converted at €1.000 = $1.383 as of April 24, 2014 **For Aozora Re: Converted at ¥1.000 = $0.009825 as of May 30, 2014

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Series


Class 1 Class 2 Class 10

$80

Class 11

$50

Class A

$400 $4,492.2 Legend EQ – Earthquake EU – Europe FL – Florida HU – Hurricane

JP – Japan NA – North America ST – Severe Thunderstorm TY – Typhoon

TX– Texas US – United States WF – Wildfire WS – Winter Storm

Outlook When combined with a near-record first quarter, catastrophe

As of June 30, 2014, total outstanding bonds remained at a record

bond issuance for the first half of 2014 was the highest on

high of $22.4 billion, reflecting the sustained deployment of

record, exceeding the prior year period by almost 50 percent.

additional investor capital into catastrophe bonds.

This reflects the increasing utilization by repeat and new sponsors of the capital markets and the ever-growing investor appetite for this sector. Catastrophe bond issuance for the 2014 calendar year is on track to exceed $8 billion.

Figure 3: Catastrophe Bond Issuance by Half-Year 2007-2014 January - June

July - December

9,000

8,000

USD Millions

7,000

3,404

6,000

3,498

5,000

2,692

2,625

4,000

3,000

2,842

4,976

5,902 320

2,086 3,588

2,000 2,650

2,510

1,000

3,973

1,757

1,385

0 2007

2008

2009

2010

2011

2012

2013

2014


Aon Benfield

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ILS Investor Activity Capacity Providers Figure 4: Investor by Category (Years ending June 30)3 Catastrophe Fund

Institutional

Mutual Fund

Reinsurer 2%

2% 6%

Hedge Fund

5% 12%

11% 43%

46%

41% 32%

2013

2014

Aon Benfield Securities’ analysis of investor category and geographic attributes includes only those transactions in which the firm participated Source: Aon Benfield Securities, Inc.

3

Dedicated catastrophe funds and institutional investors remained the largest providers of capacity for the year ending June 30, 2014, making up almost 80 percent of the total catastrophe bond market. Catastrophe funds increased their market share slightly to 46 percent in 2014. The market share for institutional investors decreased to 32 percent compared to 41 percent in the 2013 period, despite an increase in absolute participation in the catastrophe bond market. Hedge funds and reinsurers both increased their participation from two percent in the 2013 period to five percent and six percent, respectively, in 2014.

Capital Origins Figure 5: Investor By Country/Region (Years ending June 30)4 U.S.

U.K.

Switzerland

Bermuda

9%

11%

25% 26%

44%

47%

7%

14% 9% 2014

8% 2013

Aon Benfield Securities’ analysis of investor category and geographic attributes includes only those transactions in which the firm participated Source: Aon Benfield Securities, Inc.

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Other

Most regions increased their market share in the year ending

Fourth Quarter 2013

June 30, 2014, offset by the continued decrease in Bermuda’s

The ILS market remained strong as 2013 came to a close.

participation. In the 2012 period, Bermuda comprised 19

Investors secured $1.8 billion in the fourth quarter, bringing

percent of the market share; this decreased to 14 percent in

the second half of 2013 total issuance to $3.5 billion—the

the 2013 period and had dropped by half at June 30, 2014 to

largest amount issued during any second half year period.

7 percent. The U.S. continues to be the main source of capital,

Strong investor demand continued with the diverse range of

comprising 47 percent of the market in the 2014 period. The

transactions offered. Many transactions increased from initial

increase in capital deployed by catastrophe funds is the main

issuance sizes and priced at the low end of, or below, marketed

driver of the increase in market share for the U.S.. Other regions

price guidance. During the fourth quarter, secondary market

with increases in market share in 2014 included France, Canada,

buyers showed interest in accumulating higher yielding bonds

Italy, Germany and Japan.

and short-dated U.S. hurricane bonds.

General Market Trends

Investors sourced a variety of peril types during the fourth

Third Quarter 2013

quarter. In addition to U.S. exposures, there was a significant

The third quarter of 2013 was the largest issuance ever for a third quarter in the catastrophe bond market, with $1.6 billion in new issuance closing—double that of the 2012 period. Issuances included the first bond issued in August since 2011— Northshore Re Limited (“Northshore Re”). Investors welcomed the activity during the typically quiet quarter, as heightened demand for catastrophe bonds continued. New issues during the quarter provided a variety of peril types and geographic regions for investors. Perils included New York storm surge, France windstorm, Japan earthquake and U.S. extreme mortality. Reinsurers accessed the catastrophe bond market via PCS index transactions, drawing significant interest from investors via Mythen Re, Mona Lisa Re and Northshore Re.

amount of issuance including Europe and Australia risks. Each diversifying transaction, as well as most transactions that included peak perils, issued during the period were priced at the low end or below marketed price guidance. Traditional markets responded to the competition driven by spread compression in the ILS market with rate decreases, as well as enhanced terms and conditions. Given the amount of catastrophe bonds issued with low coupons throughout 2013, investor demand for high-yielding transactions was strong. The fourth quarter saw the issuance of several bonds with higher coupons. Loma Reinsurance (Bermuda) Ltd. Series 2013-1, covering U.S. multi-peril, included three tranches with yields ranging from 9.75 percent for the Class A notes to 17.00 percent for the Class C notes. The highest yielding transaction

As discussed in last year’s report, Insurance-Linked Securities:

of the year was also issued during the fourth quarter. Residential

Capital Revolution—ILS Market Expands to New Heights 2013, the

Reinsurance 2013 Limited Series 2013-II Class 1 notes, covering

catastrophe bond market has demonstrated an interest in

U.S. perils, pays investors a coupon of 20.00 percent. Strong

assuming complex commercial and some non-modeled risks.

demand for these notes pushed the interest spread below the

Tradewynd Re Ltd. Series 2013-1 demonstrated investors’

modeled sensitivity case attachment probability, a first for the

willingness to broaden the scope of indemnity coverage. The

catastrophe bond market.

transaction opened the door for more sponsors to utilize the catastrophe bond market for complex commercial business and non-modeled perils.

Despite compressing yields and increases in the size of new issuances, the secondary market was active during the fourth quarter. October and November were particularly active for

Secondary trading throughout the third quarter was relatively

trading as investors looked to round out portfolios, paying a

active compared to prior years. This was partly due to the

premium to secure bonds shortly after issuance. In December,

increase in new issuance in the period resulting in active

trading slowed as buyers focused on the multiple new issuances

rebalancing throughout the quarter. Many investors increased

in the market before the calendar year end.

exposure to diversifying risks by selling U.S. hurricane exposed bonds. There was ample demand from investors with excess capital looking to increase allocations to peak risks.

Aon Benfield

13

First Quarter 2014

For some sponsors, ILS became a more significant portion

The catastrophe bond market started with strength in 2014 as

of their reinsurance spend in 2014. For example, Allstate

capital continued to be allocated to ILS strategies. Investors

increased its catastrophe bond protection by 2.7x compared

secured $1.4 billion in new issuance during the period, up from

to 2013 and Florida Citizens purchased twice the amount

$670 million in the first quarter of 2013. Investors redeployed

of its maturing capacity.

capital from maturing catastrophe bonds. Many transactions increased in issuance size and priced at the lower end of, or below, marketed price guidance. However, even with the 110 percent year-over-year increase in issuance, new issuances did not keep pace with the $2.4 billion of bonds that matured during the quarter.

variety of perils and regions to their ILS portfolios, including Europe windstorm, Japan earthquake, Japan typhoon and Texas hurricane. Investors demonstrated interest in portfolio diversification for non-U.S. risks by pushing yields in these bonds to as low as 2.00 percent. Investors were also receptive

Many of the new issuances coming to market during the

to new currencies. Aozora Re Ltd. launched the first

quarter enabled investors to diversify portfolios with non-

catastrophe bond denominated in Japanese yen.

peak exposures. These risks included New Madrid earthquake, Japan earthquake, Australia cyclone and medical benefit reinsurance. The interest in assuming non-peak perils provides a good backdrop for expansion into new perils, as the market

However, there was a particular emphasis on Florida hurricane during the second quarter. A total of $2.1 billion was secured across five transactions with exposures solely in Florida.

continues to expand its coverage.

April and May were active months in the secondary market. The

Interest spreads were pushed to new lows with investors’

large volume of new bonds issued during this period resulted in

demand for portfolio diversification. Strong investor demand

some investors reallocating their portfolios to free-up capacity

in Merna Re V Ltd. reduced the interest spread to 2.00 percent,

for new purchases. Demand in the secondary market was strong

representing a 20 percent decline compared to the 2013

both for diversifying perils and higher yielding transactions. As

issuance and the lowest interest spread for a non-investment

we approached June, the secondary market began to slow as

grade bond in six years. Similarly, the investment grade Class

investors assessed their allocations from the primary issuance

A of Vitality Re V Limited closed at 1.75 percent—a 36 percent

market and focused their attention on the June 1 traditional

decline year-over-year. The ILS market’s interest in assuming

reinsurance renewal season. As the quarter closed, investors

some non-modeled risks continued, as demonstrated through

accessed a record amount of catastrophe bonds on the primary

Riverfront Re Ltd.

market and many put a large proportion of their capital to work.

To complement diversification, investors sought opportunities to increase absolute return on portfolios by sourcing higher yielding bonds in the secondary market. Investors holding an inventory of bonds demanded a premium to exit their positions. This drove secondary prices higher throughout the quarter. Interestingly, only one primary issuance provided an interest spread above 6.00 percent (Gator Re Ltd.)—the return target of a number of ILS funds. Given the recent high issuance volumes of low-yielding transactions, higher-yielding transactions are likely to be in demand going forward by portfolio managers as a means to improve portfolio returns.

Second Quarter 2014 Investors had many opportunities to put capital to work throughout the second quarter of 2014. A record of $4.5 billion in new catastrophe bond issuance was brought to market allowing investors to allocate capacity efficiently. New issuance outpaced the $1.4 billion of bonds maturing over the same period.

14

New issuance during the quarter enabled investors to add a


This led to small pricing declines in the secondary market in June.

Outlook Even with the reductions in spread levels witnessed since the first quarter of 2013, we continue to see new capital attracted to ILS strategies. As an example, Aon Benfield Securities has established several new trading relationships with start-up funds and established investors over the past year. These include new dedicated catastrophe funds, managed accounts with existing funds and large institutions looking to access the ILS market to add catastrophe risk into their broader portfolios. Spreads for ILS continue to be competitive with traditional reinsurance rates. In the absence of severe catastrophes, we believe spreads will continue to face downward pressure. Sponsors continue to have interest in accessing the catastrophe bond market, and we expect the coming year to see continued expansion as sponsors purchase a greater share of their reinsurance program via the ILS market, and new sponsors take advantage of investor demand for new issuance in the market.

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 6: Aon Benfield ILS Indices5 Return for Annual Period Ended June 30

Index title Aon Benfield ILS Indices

5 yr Avg Annual Return

10 yr Avg Annual Return

2014

2013

2009-2014

2004-2014

All Bond Bloomberg Ticker (AONCILS)

7.96%

12.14%

9.41%

8.28%

BB-rated Bond Bloomberg Ticker (AONCBB)

5.22%

8.16%

7.82%

6.79%

U.S. Hurricane Bond Bloomberg Ticker (AONCUSHU)

8.94%

13.19%

10.81%

9.35%

U.S. Earthquake Bond Bloomberg Ticker (AONCUSEQ)

4.33%

6.89%

5.99%

6.47%

1.75%

-0.61%

3.15%

4.13%

3-5 Year BB US High Yield Index

10.11%

7.50%

11.21%

7.67%

S&P 500

Benchmarks 3-5 Year U.S. Treasury Notes

22.04%

17.92%

16.34%

5.56%

ABS 3-5 Year, Fixed Rate

3.91%

1.55%

7.28%

3.93%

CMBS 3-5 Year, Fixed Rate

4.26%

4.73%

10.32%

6.72%

On an annual basis, through June 30, 2014, all Aon Benfield ILS

The annual returns for all Aon Benfield ILS Indices in the

Indices posted gains. The Aon Benfield All Bond and BB-rated

12 months ending June 30, 2014 underperformed the prior

Bond Indices posted returns of 7.96 percent and 5.22 percent,

one year, five-year average and ten-year average periods.

respectively. The U.S. Hurricane and U.S. Earthquake Bond

However, despite these decreases the ten-year average annual

Indices returned 8.94 percent and 4.33 percent, respectively.

return of the Aon Benfield All Bond Index again produced

For the 12 months ending June 30, 2014, each of the Aon

superior returns relative to the other benchmarks. This

Benfield ILS Indices outperformed most of the comparable

demonstrates the value a diversified book of pure insurance

fixed income benchmarks. The 3-5 Year BB High Yield Index and

risks can bring to long-term investors’ portfolios.

the S&P 500 index, however, produced superior returns with increases from the prior annual period of 10.11 percent and 22.04 percent, respectively.

5

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. T he 3-5 Year BB U.S. High Yield Index is calculated by Bank of America Merrill Lynch (BAML) and tracks the performance of U.S. dollar denominated corporate bonds with a remaining term to final maturity ranging from three to five years and are rated BB1 through BB3. Qualifying securities must have a rating of BB1 through BB3, a remaining term to final maturity ranging from three to five years, fixed coupon schedule and a minimum amount outstanding of $100 million. Fixed-to-floating rate securities are included provided they are callable within the fixed rate period and are at least one year from the last call prior to the date the bond transactions from a fixed to a floating rate security. T he 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. T he ABS 3-5 Year, Fixed Rate Index is calculated by 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. T he CMBS 3-5 Year, Fixed Rate 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. T he performance of an index will vary based on the characteristics of, and risks inherent in, each of the various securities that comprise the index. As such, the relative performance of an index is likely to vary, often substantially, over time. Investors cannot invest directly in the Aon Benfield ILS Indices. hile 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 W information should not be relied upon in making investment or other decisions. Past performance is no guarantee of future results.

Aon Benfield

15

Maintaining the average annual returns realized over the past five and ten years is challenging given current market dynamics. As spreads have continued tightening, interest payments to investors are lower than those received in prior years. Additionally, price increases in the secondary market will be muted relative to the previous periods—the ability for spreads to continue tightening to the same degree is reduced. This situation, however, is not limited to the ILS sector: fixed income investors face similar situations as interest rates have tightened over the past several years.

Figure 6: Aon Benfield All Bond Index versus Financial Benchmarks

Figure 7: Historical Performance of Aon Benfield ILS Indices

Aon ILS Index


CMBS Fixed Rate 3-5 Yrs.

ABS, 3-5 Yrs, Fixed Rate

S&P 500

Aon ILS US Hurricane

Aon ILS Index

Aon ILS BB Index

Aon ILS US EQ

150%

150% 120%

120%

90%

90%

60%

60%

30%

30% 0%

0% -30%

-30% ne

Ju

ne

Ju

ne

Ju

ne

Ju

ne

Ju

ne

Ju

14

13

20

12

20

20

11

10

20

09

20

20

08

07

20


ne

06

16

20

05

20

20

14

13

20

04

20

ne

11

12

20

20

10

20

09

20

08

20

20

07

06

20

05

20

20

04

20

Source: Aon Benfield Securities, Inc. Source: Aon Benfield Securities, Inc., Bloomberg

Ju

ne

Ju

ne

Ju

ne

Ju

Ju

ne

Ju

ne

Ju

ne

Ju

ne

Ju

ne

Ju

ne

Ju

ne

Ju

ne

Ju

ne

Ju

ne

Ju

ne

Ju

-60%

ILS-Related Markets In the 12 months to June 30, 2014, 11 side‑car transactions were completed, totaling $1.4 billion. During this period, capital was raised for new sidecars, established sidecars and the renewal of existing vehicles. The transactions provided plenty of opportunities for investors looking to expand their access to risks that were not available in the catastrophe bond market. The trend away from an opportunistic market, such as that seen post-Katrina, continued, with investors accepting lower returns than seen in prior years— a consequence of benign loss activity and increased competition seen in the traditional markets. In addition, different structures were available for investors. These ranged from whole account quota-share sidecars with fixed time horizons, to fund-like structures with the infrastructure to manage and underwrite risks.

Table 7: Sidecars Launched During 12 Months to June 30, 20146 Sidecar

Date

Principal Sponsor/ Manager

Size (millions)

Line of Business

6

Kinesis

Jul-13

Lancashire

New Ocean Capital Management

Jul-13

XL

$270

$306

Collateralized reinsurance and capital markets

Property, energy, marine, aviation

New Point VI

Jul-13

Markel

$215


Blue Capital Re Holdings

Nov-13

Montpelier

$175

Property catastrophe reinsurance business

Atlas Reinsurance X

Dec-13

SCOR

$56

Property catastrophe reinsurance for select regions

Silverton Re

Dec-13

Aspen Re

$65

Whole account property catastrophe reinsurance

Alpha Cat 2014

Dec-13

Validus

$160

Worldwide property catastrophe reinsurance

Eden Re

Jan-14

Munich Re

$63

Property catastrophe reinsurance business

Altair Re II

Jan-14

ACE

$95

Worldwide property catastrophe insurance and reinsurance

Harambee Re

Jan-14

Argo

Undisclosed

Property reinsurance

Upsilon RFO

Jan-14

RenaissanceRe

$265

Worldwide aggregate retrocessional reinsurance

Pangaea IX

May-14

TransRe

Undisclosed

Retrocessional

Total

1,394

Estimated capital as of June 30, 2014 Source: Press releases, public filings

6

The high volume of sidecars and catastrophe bond transactions allowed the alternative market to capture a 20 percent market share within the global catastrophe reinsurance market over the 12-month period under review. This market share was predominantly driven by catastrophe bonds and collateralized reinsurance. The significant growth of collateralized reinsurance demonstrated investors’ continued appetite for risks not available in the catastrophe bond market.

Figure 8: Form of Transaction Traditional UNL

Cat Bonds

Collateralized Re

Sidecar

ILW

100% 95% 90% 85% 80% 75% 70% 14 20 13 20 12 20 11 20 10 20 09 20 08 20 07 20 06 20 05 20 04 20 03 20 02

20

Source: Aon Benfield, Aon Benfield Securities, Inc.

Aon Benfield

17

Industry Loss Warranty (ILW) Review Collateralized markets continue to have appetite to deploy capital in the ILW market. Lloyd’s markets will remain an

Figure 9: Total U.S. ILW Trade Volume and Price Movement since 20117

important supply source—syndicates were willing to quote and support ILW buyers with increased line sizes towards year end 2013. This trend occurred at the same time as syndicates gained

to include crop, terrorism, marine and other risks. The current estimate of the ILW sector size is $3.5 billion. Interest in ILWs remained strong through June 30, 2014 as premiums reverted to pre-Katrina levels. This downward pricing pressure was present across the board; particularly for all-natural perils (“ANP”) aggregate cover. The heaviest pricing pressure was on peak U.S. and Europe triggers with buyers taking advantage of competitively priced capacity. Structured products gained

Price Movement by Quarter

markets continue to broaden their coverage in the ILW market

popularity among buyers, in particular aggregate, multi-section, multi-year and non-peak specific structures.7

$30 billion ANP

$50 billion ANP

$80 billion ANP

140

$1,400

120

$1,200

100

$1,000

80

$800

60

$600

40

$400

20

$200

0

$0 2 Q 14 1 20 Q 14 4 20 Q 13 3 20 Q 13 2 20 Q 13 1 20 Q 13 4 20 Q 12 3 20 Q 12 2 20 Q 12 1 20 Q 12 4 20 Q 11 3 20 Q 11 2 Q 11 1 Q

20

11

20

20

7

Total U.S. Trade Volume (USD Millions)

transparency on their inwards reinsurance portfolios. Generally,

Total U.S. Trade Volume

Source: The Global Re Specialty team of Aon UK Limited

Hedge Fund Reinsurers Review The activity seen in 2012 with the launch of Third Point Re, PaC Re, and SAC Re has continued with the formation of two additional hedge fund reinsurers in the past 12 months. Hamilton Re and Watford Re each raised roughly $1 billion of capital—both are domiciled in tax-advantaged Bermuda. These vehicles have introduced casualty risks to the alternative markets. The vehicles are set up to provide investors access to superior investment returns by leveraging assets, which are managed by select hedge funds.

Table 8: Recent Hedge Fund Re Activity Reinsurer

Date

Third Point Re

Jan-12

PaC Re

Jun-12

Hamilton Re

Dec-13

Watford Re

Jan-14

Source: Press releases, public filings

18


Principal Sponsor/Manager

Size (millions)

Lines of Business

Third Point and private equity investors

$780

Lower volatility property and catastrophe reinsurance

Paulson & Co. and Validus

$500

Top-layer property catastrophe

Former S.A.C. Capital and now Two Sigma

$1,000

High-margin property catastrophe and low-severity casualty reinsurance

Arch Capital Group and Highbridge Principal Strategies

$1,130

Primarily casualty reinsurance oriented, but considers also insurance opportunities

U.S. Perils For the 12 months to June 30, 2014, market pricing conditions remained in line with the lows seen in the first half of 2013. This led to strong demand for catastrophe bonds among sponsors and investors. Over 75 percent of new property issuances during the period included U.S. exposures. Eleven property transactions—as shown in Table 6 below—that closed in the second half of 2013 included U.S. coverage. During this period, there were a significant number of new sponsors that utilized capacity including RenRe, the MTA, AXIS, QBE and American Modern.

Table 9: Second Half of 2013 Property Catastrophe Bonds Covering U.S. Perils8 Series

Class

Size (millions)

Covered Perils

Trigger

Rating

Expected Loss8

Interest Spread

Mythen Re Ltd.

Series 2013-1

Class B-1

$100

US HU

Industry Index

Not Rated

2.98%

8.00%

Renaissance Reinsurance Ltd.

Mona Lisa Re Ltd.

Series 2013-2

Class A

$150

US HU, EQ

Industry Index

BB-

2.08%

7.30%


Tradewynd Re Ltd.

Series 2013-1

Class 1

$125

US, CB HU, NA EQ

Indemnity

B+

1.49%

8.25%

Metropolitan Transportation Authority

MetroCat Re Ltd.

Series 2013-1

Class A

$200

NY Storm Surge

Parametric Index

BB-

1.68%

4.50%



Series 2013-1

Class A

$200

US HU, EQ

Industry Index

BB-

2.17%

7.25%


Galileo Re Ltd.

Series 2013-1

Class A

$300

US HU, EQ, EU Wind

Industry Index

Not Rated

2.38%

7.40%



Series 2013-II

Class 1

$80


Indemnity

Not Rated

14.23%

20.00%

BB-

1.80%

5.25%

1.28%

6.25%

1.26%

6.25%

1.60%

7.00%

Beneficiary

Issuer


Class 4

$70

Class 1-A

$100

Class 3-A

$160

Tradewynd Re Ltd.

Series 2013-2

Class 3-B

$140


Queen City Re Ltd.

Series 2013-1

Class A

$75

US HU

Indemnity

Not Rated

0.57%

3.50%


VenTerra Re Ltd.

Series 2013-1

Class A

$250

US EQ, AUS CY, EQ

Indemnity

BB

1.34%

3.75%

Class A

$32

Series 2013-1

Class B

$75

Not Rated

5.26%

12.00%

Class C

$65


9.75%



3.94%

Argo Re, Ltd.

8.15%

17.00%


Annualized modeled expected losses; sensitivity cases if U.S. hurricane is covered peril Source: Aon Benfield Securities, Inc.

8

US, CB HU, NA EQ

Indemnity

Legend AUS – Australia CB – Caribbean CY – Cyclone EQ – Earthquake EU – Europe

Not Rated

FL – Florida US – United States HU – Hurricane WF – Wildfire NA – North America WS – Winter Storm NY – New York ST – Severe Thunderstorm

Sponsors secured coverage for a variety of U.S. perils in the

Also in July, American International Group (“AIG”) returned

second half of 2013. Hurricane and earthquake risks were well

to the market and secured indemnity coverage for the first

represented in addition to severe thunderstorm, winter storm,

time. The ground-breaking Tradewynd Re Ltd. Series 2013-1

wildfire and extreme mortality.

transaction, which includes commercial property and energy

RenRe sponsored its first broadly marketed catastrophe bond in July 2013. Mona Lisa Re Ltd. provides the reinsurer with four years’ coverage on an industry index basis for U.S. hurricanes and earthquakes. The annual aggregate transaction was upsized to $150 million and closed with an interest spread of 7.30 percent.

risks, provides AIG with $125 million in capacity. Tradewynd Re Ltd. provides AIG with protection from U.S. (including Caribbean) hurricanes and North America earthquakes for five years. In December, AIG returned to the market and secured an additional $400 million across three classes of notes. The risk periods for these additional classes ranges from one to three years—highlighting investors’ capacity constraints for the earlier transaction’s five-year risk period.

Aon Benfield

19

As July came to a close, the MTA’s captive insurance company

Thirteen property transactions covering U.S. perils closed

placed MetroCat Re Ltd. securing $200 million in coverage for

during the first half of 2014.

New York storm surge. The issuance, prompted by Superstorm Sandy, utilizes a parametric index mechanism based on measured surge heights at various points around New York. Notably, the MTA is the first U.S. corporate sponsor to utilize the catastrophe bond market since 2006—demonstrating the

sixth catastrophe bond—East Lane Re VI Ltd. (“East Lane Re VI”). The transaction provides the insurer with $270 million in indemnity coverage against hurricanes, earthquake, severe

competitiveness of rates in the current environment.

thunderstorms and winter storms in the Northeast. East Lane Re

AXIS’ first catastrophe bond issuance, Northshore Re, provides

at an interest spread of 2.75 percent.

the reinsurer with $200 million of protection against hurricane and earthquake events in the U.S. on an annual aggregate basis. Investors welcomed the issuance, which was upsized by $50 million and closed below marketed price guidance. The transaction, which closed in early August, was the last catastrophe bond to include hurricane exposure for the 2013 season. The last transaction with U.S. hurricane exposure to close in August was Topiary Capital Limited in 2008 for Platinum

VI set a new benchmark low for U.S hurricane coverage—closing

As the first quarter of 2014 closed, Great American Insurance Company (“Great American”) secured coverage for its first catastrophe bond—Riverfront Re Ltd. (“Riverfront Re”). The transaction provides Great American with $95 million in coverage for losses from North America hurricanes, earthquakes, severe thunderstorms and winter storms. Riverfront Re demonstrates the enhancements in coverage

Underwriters Bermuda, Ltd.

provided by the catastrophe bond market recently. The

In October, Catlin Insurance Company Ltd. (“Catlin”) returned

coverage and includes some non-modeled risks.

to the catastrophe bond market with its first issuance since 2008. Galileo Re Ltd. (“Galileo Re”) provides Catlin with coverage against U.S hurricanes, U.S. earthquakes and Europe windstorms on an industry index basis. The transaction was significantly upsized to $300 million and provides protection on

transaction is closely aligned to Great American’s traditional

Another first time sponsor entered the catastrophe bond market in April. Everest Reinsurance Company (“Everest Re”) secured $450 million in coverage on an industry index basis with Kilimanjaro Re Limited (“Kilimanjaro Re”). The transaction

an annual aggregate basis for three years.

includes two classes of notes—the first provides coverage on

One of the last transactions to close before 2013 year end was

provides coverage on an annual aggregate basis for North

for first time sponsor QBE. VenTerra Re is the first catastrophe

America hurricanes and earthquakes. Investors responded well

bond sponsored by an Australian insurer and provides QBE

to Everest Re’s first transaction, allowing both classes of notes

with $250 million in indemnity coverage for three years. The

to be significantly upsized and close below the low end of

transaction covers Australia cyclones, Australia earthquakes and

marketed price guidance.

U.S. earthquakes. VenTerra Re is the first catastrophe bond to include a significant amount of Australia risks on an indemnity basis. The transaction was well-received by investors and closed at the low end of marketed price guidance.

20

In March 2014, Chubb Group returned to the market with its


an occurrence basis for southeast U.S. hurricanes; the second

Table 10: First Half 2014 Property ILS Transactions Covering U.S. Perils9 Beneficiary

Issuer

Münchener RückversicherungsGesellschaft Aktiengesellschaft in München

Queen Street IX Re‑ Limited

Chubb Group


Series 2014-1


Gator Re Ltd.

Series 2014-1

Great American Insurance Company

Riverfront Re Ltd.


Merna Re V Ltd.

Series

Everglades Re Ltd.


Armor Re Ltd.


Alamo Re Ltd.

$100

US HU, AUS CY


Not Rated

2.92%

5.50%

Class A

$270

NE US HU, EQ, ST, WS

Indemnity

BB+

0.88%

2.75%

Class A

$200

US HU, ST

Indemnity

Not Rated

1.73%

6.50%

$95

NA HU, EQ, ST, WS

Indemnity

BB-

1.34%

4.00%

$300

NM EQ

Indemnity

2.00%

$50



Interest Spread

Class 1

Series 2014-1


Expected Loss9

Series 2014-2


Sanders Re Ltd.

Rating

$150



Trigger

Class A

Citrus Re Ltd.

Sanders Re Ltd.

Covered Perils

Series 2014-1



Size (millions)

Class

FL HU

Indemnity

Not Rated

0.40%

Not Rated

1.53%

4.25%

Not Rated

1.21%

3.75%

BB-

1.79%

4.75%

BB-

1.62%

4.50%

Class A

$250

US HU

Class B

$200

NA HU, EQ

Series 2014-1

Class A

$1,500

FL HU

Indemnity

B

2.68%

7.50%

Series 2014-1

Class A

$200

FL HU

Indemnity

Not Rated

0.62%

4.00%

Class B

$330

BB+

0.79%

3.00%

BB

0.97%

3.25%

BB

1.28%

3.90%

Not Rated

0.88%

3.90%

Not Rated

11.31%

15.00%

Not Rated

0.63%

3.50%

B

3.09%

6.35%

Series 2014-1

Series 2014-2

Series 2014-I

Series 2014-1


9

Class C

$115

Class D

$305

Class A

$200

Class 10

$80

Class 13

$50 $400

US HU, EQ

Industry Index

Industry Index

FL HU, EQ, ST

Indemnity


Indemnity

TX HU

Indemnity

Legend AUS – Australia CY – Cyclone EQ – Earthquake FL – Florida HU – Hurricane

NA – North America US – United States NE – Northeast WF – Wildfire NM – New Madrid WS – Winter Storm ST – Severe Thunderstorm TX – Texas

Two repeat sponsors, Allstate Insurance Company (“Allstate”)

Alamo Re Ltd. (“Alamo Re”) was the final transaction to close

and Citizens Property Reinsurance Company (“Florida Citizens”)

in the first half of 2014. Alamo Re is the first catastrophe bond

saw the favorable market environment as an opportunity

for the Texas Windstorm Insurance Association (“TWIA”).

to expand the share of ILS in their risk transfer programs.

The transaction provides $400 million in annual aggregate

Allstate, along with its dedicated Florida property insurance

indemnity coverage for Texas windstorms. Investors responded

companies (Castle Key Insurance Company and Castle Key

well the single state and peril coverage, allowing Alamo Re to

Indemnity Company), utilized Sanders Re Ltd. to secure $950

upsize and close below the low end of marketed price guidance.

million of capacity during the quarter. Florida Citizens doubled its previous largest issuance from 2012 with Everglades Re Ltd. 2014-1, which provides the sponsor with $1.5 billion in aggregate indemnity coverage. Notably, $2.1 billion in coverage was secured for Florida across five transactions on a standalone basis in the second quarter of 2014.

Aon Benfield

21

Model Updates A number of model updates were released recently for the U.S.

Also in July 2014, AIR announced enhancements to its Canada

and Canada. In February 2014, Risk Management Solutions,

Earthquake model. According to AIR, the model reflects an up-

Inc. (“RMS”) announced its new view of risk for U.S. and

to-date view of seismicity based on the latest hazard information

Canada Severe Convective Storms. According to RMS, the

from the Geological Survey of Canada and collaboration with

model shows that average annual losses from tornado and hail

leading academics. In addition to the ability to estimate losses

events now rank a close second to hurricane-driven losses,

from shake, fire following, and liquefaction, the release is the

proving this peril is a material risk to the industry. The new

first in the industry to include fully probabilistic landslide and

view of risk is calibrated with the results of the company’s

tsunami models for Canada.

extensive analysis into location-level claims and exposure data, together with thousands of hail and wind observations and radar images from more than 70 new industry events that occurred in the past five years. In July 2014, AIR Worldwide Corporation (“AIR”) announced updates to its Canada Earthquake and U.S. Severe Thunderstorm models. The updates to the Severe Thunderstorm model include enhancements to the hazard, engineering and financial components. These are based on a decade’s worth of new data and scientific research, including data from the major outbreaks in 2008, 2011 and 2013. To produce a more complete picture of risk from the severe thunderstorm peril, the AIR model not only captures the large outbreaks that produce insured losses in excess of $25 million but also the smaller events that may last only a day and produce much lower losses—but still impact a company’s portfolio on an aggregate basis. In addition to the standard 10,000-year simulation, AIR will release 50,000 and 100,000-year stochastic simulations and a historical catalogue containing several key recent events. AIR also released its Crop Hail model for the U.S. The fully probabilistic model captures the effects of hail on insured crops and uses the 10,000-year stochastic catalog from AIR’s Severe Thunderstorm Model for the United States, in which hailstorms are a modeled peril.

22


Europe Perils In the 12-month period ending June 30, 2014 five catastrophe bonds with Europe exposures came to market, as shown in Table 11 below. Primary insurers dominated the Europe issuances, with repeat reinsurer sponsors notably absent. First time sponsors Assicurazioni Generali S.p.A. (“Generali”) and Achmea Re both secured indemnity coverage for Europe windstorm. These milestone transactions are the first indemnity catastrophe bonds to cover Europe windstorm since 2008. This demonstrates investors’ increased acceptance of indemnity coverage outside the U.S. and is expected to lead to increased issuance by European cedants.

Table 11: Catastrophe Bond Transactions Covering Europe Perils10 Beneficiary

Issuer

Series

Groupama S.A.

Green Fields II Limited

Series 2013-1

AXA Global P&C


Class

Size (millions)

Covered Perils

Trigger

Class A

€ 280

FR Wind

Industry Index

Class A

€ 185

Rating

Expected Loss10

Interest Spread

BB

0.82%

2.75%

BB-

0.95%

2.60%

B+

1.56%

2.90%

Class B

€ 165

EU Wind

Industry Index

Industry Index

Not rated

2.59%

7.40%


Galileo Re Ltd.

Series 2013-1

Class A

US HU, NA EQ, $300 EU Wind


Windmill I Re Ltd.

Series 2013-1

Class A

€ 40

EU Wind

Indemnity

Not rated

1.35%

3.25%


Lion I Re Limited

€ 190

EU Wind

Indemnity

B+

1.01%

2.25%


10

Legend EQ – Earthquake EU – Europe FR – France

HU – Hurricane NA – North America US – United States

In July 2013, Groupama S.A. returned to the ILS bond market

Achmea Re sponsored its first catastrophe bond in December

for its fourth catastrophe bond issuance and its first since 2010.

2013. Windmill I Re Ltd. provides Achmea with €40 million in

Investors provided strong demand for the single peril and single

coverage for Europe windstorms on an indemnity basis. The

country issuance. Green Fields II Limited (“Green Fields II”)

transaction was marketed to a limited group of investors.

almost doubled in size from the initial guidance and provides Groupama S.A. with €280 million in coverage. In addition to the significant upsize, Green Fields II closed at the low end of marketed price guidance at 2.75 percent. The transaction utilizes PERILS AG as the reporting agency. In October 2013, AXA Global P&C (“AXA”) secured €350 million

A second new sponsor, Generali, secured coverage during this annual period. Lion I Re Limited closed in April 2014 and provides the Italian insurer with protection against Europe windstorms. The indemnity transaction was upsized to €190 million and provides Generali with coverage for three years.

in coverage across two classes of notes with Calypso Capital

Model Updates

II Limited (“Calypso Capital II”). The transaction is the largest

In July 2014, EQECAT, which was acquired by CoreLogic in

issuance ever secured for Europe windstorm. Class A and Class

December 2013, announced updates to its Europe Windstorm

B provide three and four years’ protection, respectively. The

Model, including the ability to analyze offshore wind farm

offering was well received by investors, with each class pricing

turbines. Spain and Portugal are newly included, extending

at the low end of marketed guidance.

the existing coverage to 24 countries. The model also includes two views of frequencies—the Empirical Model based on the

Also in October, Catlin returned to the catastrophe bond

historical record from 1960 to present, and the Analytic Model

market with its first issuance since the 2008 Newton Re Limited.

with a continuous 1200-year simulation of an Earth System

Galileo Re Ltd. provides Catlin and its subsidiaries with annual

Model driven by climatic background conditions to characterize

aggregate protection against U.S. named storms, North America

the frequency and severity of Europe windstorms.

earthquakes and Europe windstorms. The industry index transaction secured $300 million in capacity and closed below the low end of marketed price guidance.

Aon Benfield

23

Asia Pacific Perils During the 12-month period ending June 30 2014, four catastrophe bonds covering Japan perils were issued, compared to none in the prior year period, proving the strong and increased interest from Japanese sponsors in the use of the capital markets for risk transfer. Further, QBE Insurance Group Limited secured $250 million in indemnity coverage for U.S. earthquakes, as well Australia cyclones and earthquakes through VenTerra Re Ltd. The transaction represents the first issuance by an Australian insurer and is discussed in more detail in the “U.S. Perils” section of this report. Notably, all transactions for the Asia Pacific region secured indemnity coverage.

Table 12: Catastrophe Bond Transactions Covering Japan Perils11 Beneficiary

Issuer

Series

Class

Size (millions)

Covered Perils

Trigger

Rating

Expected Loss11

Interest Spread


Nakama Re Ltd.

Series 2013-1

Class 1

$300

JP EQ

Indemnity

BB+

0.90%

2.75%


Class A

$200

0.21%

2.25%

Kizuna Re II Ltd.

Series 2014-1

JP EQ

Indemnity

Not Rated 0.57%

2.50%

Sompo Japan and Nipponkoa Insurance Inc.

Aozora Re Ltd.

Series 2014-1

0.52%

2.00%


0.75%

2.25%

Nakama Re Ltd.

Series 2014-1

0.75%

2.50%

Class B

$45

Class B

¥10,125

Class 1

$150

Class 2

JP TY

Indemnity

BB

JP EQ

Indemnity

Not Rated

$150

Legend EQ – Earthquake JP – Japan TY – Typhoon


11

In September 2013, the National Mutual Insurance Federation of

A new sponsor, Sompo Japan and Nipponkoa Insurance Inc.

Agricultural Cooperatives (“Zenkyoren”) secured $300 million

(“SJNK”) entered the market with Aozora Re Ltd. (“Aozora

in capacity through Nakama Re Ltd. Series 2013-1 (“Nakama

Re”). The transaction is the first Japanese Yen-denominated

Re 2013”). The transaction provides coverage for Zenyoren’s

catastrophe bond and provides SJNK with ¥10.125 billion in

predominantly residential portfolio against Japan earthquakes

coverage for Japan typhoons. Aozora Re was the only Japan

on an indemnity basis. The deal is the first catastrophe bond to

typhoon risk offered to investors during the past 12 months.

solely cover Japan earthquake on an indemnity basis. Nakama Re

The transaction closed at an interest spread of 2.00 percent,

2013 is the sixth transaction for Zenkyoren that has utilized the

representing the lowest spread ever secured for a non-

catastrophe bond market; however, it is the first time the cedant

investment grade property catastrophe bond transaction.

has secured cover directly rather than using a separate legal sponsor. The deal was significantly oversubscribed, leading to a

In May 2014, Zenkyoren returned to the market and raised an

final issuance size that was double the initial guidance.

additional $300 million under its Nakama program. The Series

In March 2014, Tokio Marine & Nichido Fire Insurance Co., Ltd.

earthquake on an indemnity basis. The Class 1 and Class 2 notes

(“Tokio Marine”) successfully sponsored its second indemnity

cover the same layer of Zenkyoren’s traditional reinsurance

catastrophe bond. Kizuna Re II Ltd. (“Kizuna Re II”) represents

program, but recover on a per-occurrence and annual

the fourth time that Tokio Marine has utilized catastrophe bond

aggregate basis, respectively.

capacity and is the first indemnity Japan earthquake bond to cover significant commercial and industrial exposures. Kizuna Re II provides the insurer with $245 million in coverage was and priced at the low end of marketed price guidance.

2014-1 transaction again provides coverage against Japan

All the catastrophe bonds closed during this 12-month period were sponsored directly by cedants. Additionally, each transaction provided indemnity coverage, demonstrating the increased understanding of the risks by investors. This flexibility to fit into the cedants’ traditional reinsurance programs is likely to result in increased issuance going forward, with ILS becoming a fixed component of larger insurers’ overall risk transfer programs.

24


The current trend is for Japanese cedants to secure catastrophe bond protection for remote layers of their reinsurance

Model Updates In February 2014, RMS updated its China Typhoon model. The

programs. For investors seeking higher spreads for this

model covers losses from storm surge-driven coastal flooding

diversifying risk, less remote layers may become increasingly

and rainfall-driven flood and wind, in a region where flood

competitive compared to traditional markets.

can contribute up to 80 percent of the total risk. The model

April 1 Reinsurance Renewals The April 1, 2014 reinsurance renewal period marked an abrupt turn from the flat pricing of 2013. Placements for primary insurers secured risk-adjusted rate reductions as capacity was abundant, even for the largest programs. Exchange rates remained a positive influence. New capital applied pricing pressure at the April renewals. As Japanese cedants have become more comfortable with the ILS market, a few large ILS managers have secured an increased share in the traditional reinsurance programs of some large cedants. However, since many Japanese cedants prefer to have wellestablished business relationships with the traditional reinsurance markets, it is likely to take some time before the new ILS capacity more fully penetrates the Japanese reinsurance market.

includes coastal flood for the entire China coastline. In addition, the RMS industrial facilities model has been developed to enable property damage and business interruption from wind and flood-related Typhoon damage to be modelled for such complex risks. RMS has stated that the modeled losses have been calibrated using 10 years of event loss data from 50 percent of the market, in an effort to reduce model uncertainty. In July 2014, EQECAT announced updates to its Japan Earthquake and Singapore Earthquake models. The Japan Earthquake model utilizes December 2013 research released by the Japanese government and national research organizations. The model accounts for previously un-modeled, very large magnitude events with updated seismic source zones and increased maximum magnitudes. New damage and loss data from the 2011 Great East Japan Earthquake prompted a complete review and update to model vulnerability functions, including major changes to performance-based effects of deep building foundations and base isolation. In addition, tsunami is a sub-peril, with both a fully probabilistic and a scenario-based tsunami risk model, using 30-meter digital elevation maps for more granular evaluations. The update to the Singapore Earthquake model accounts for an increased probability of a near-term, large-magnitude earthquake on the Sunda (Java) megathrust fault. This new model accounts for seismic risk factors specific to Singapore, such as soft soils that amplify intermediate-period ground motions from distant large earthquakes and the existence of reinforced concrete high-rise buildings.

Aon Benfield

25

Life and Health Perils In the 12 months to June 30, 2014, two transactions closed in the life and health market which secured $380 million in capacity. SCOR Global Life SE (“SCOR”) sponsored its first extreme mortality transaction and Aetna Life Insurance Company (“Aetna”) closed its fifth health transaction.

Table 13: Life and Health Issuances in the 12 Months ending June 30, 2014 Beneficiary

Issuer

SCOR Global Life SE

Atlas IX Capital Limited


Series


Series 2013-1 Series 2014

Class

Size (millions)

Perils

Trigger

Collateral

Extreme Mortality

CDC Index

EBRD

Health

Indemnity—Medical Benefits Ratio

Class B

$180

Class A

$140

Class B

$60

MMF MMF


SCOR’s first extreme mortality catastrophe bond, Atlas IX

Aetna continued its annual issuance strategy with Vitality

Capital Limited (“Atlas IX”), was issued in September 2013 to

Re V Limited (“Vitality Re V”). Launched in December 2013,

become the first extreme mortality catastrophe bond brought

the bond provides the health insurer with $200 million of

to market by a new sponsor since 2008. The $180 million

coverage—an increase from its typical $150 million annual

transaction more than tripled in size from launch and closed

purchase—and brings the firm’s total historical issuance to

at a 3.25 percent interest spread—the low end of marketed

$800 million. Aetna has stated that the use of insurance-linked

price guidance. Recoveries for the index trigger transaction are

securities is part of its long-term capital management strategy;

based on data reported by the Centers for Disease Control and

Vitality Re V again utilizes Aetna’s Vermont captive insurance

Prevention (“CDC”), a U.S. governmental organization. Notably,

company, Health Re, Inc., which allows the company to

the attachment level for the bond is the lowest achieved

reduce its required capital and provides collateralized excess

for any extreme mortality transaction, at 102 percent of the

of loss reinsurance coverage. A number of features of Vitality

baseline mortality. Proceeds are invested in notes issued by the

Re V highlight the improved terms available as the market

European Bank for Reconstruction and Development (“EBRD”)

has developed. Firstly, Vitality Re V provides coverage for a

and provide investors with LIBOR returns in addition to the risk

five-year term, compared to Aetna’s 2013 issuance and pre-

interest spread. The transaction helped SCOR to manage an

2013 issuances, which were four and three years in duration,

increase in mortality exposures following an acquisition in its

respectively. Since its first issuance in 2010, which had an MBR

U.S. life reinsurance operations.

attachment point of 104 percent, Aetna has been reducing the remoteness of the attachment level for the coverage. The table below, which lists the complete range of Vitality issuances, highlights the substantial year-on-year reductions in interest spreads of around 35 percent since 2012.

Table 14: Health Catastrophe Bonds on Risk as of June 30, 2014 Issuance Date

Issuer

Class

Risk Period

Size (millions)

MBR Attachment Point

Attachment Probability

Interest Spread

Rating

Jan-12

Vatality Re III

Class A

3 years

$105

103%

0.05%

4.20%

BBB+

Jan-13

Vitality Re IV

Class A

4 years

$105

102%

0.06%

2.75%

BBB+

Jan-14

Vitality Re V

Class A

5 years

$140

102%

0.05%

1.75%

BBB+

Jan-12

Vitality Re III

Class B

3 years

$45

97%

0.59%

6.20%

BB+

Jan-13

Vitality Re IV

Class B

4 years

$45

96%

0.63%

3.75%

BB+

Jan-14

Vitality Re V

Class B

5 years

$60

96%

0.53%

2.50%

BB+

Sources: Standard & Poor’s reports dated January 11, 2012, January 23, 2013, and January 24, 2014

Investors continue to appreciate the diversification these risks bring to their portfolios. A number of ILS managers have dedicated funds to the space, reflecting the increased comfort investors have developed with these types of risks. As a result of the enhanced terms secured over the past 12 months, we expect more sponsors will utilize the life and health capital markets. 26


An In-Depth Discussion with Impact Forecasting Aon Benfield Securities recently spoke with Impact Forecasting’s President, Steven Jakubowski, and Global Head of R&D, Siamak Daneshvaran, about the latest developments in flood, wildfire and typhoon models, as well as leveraging their capabilities to support insurers and reinsurers worldwide.

1. What is Impact Forecasting and how does it support insurers and reinsurers? Impact Forecasting is Aon Benfield’s catastrophe modeling development team with offices in Chicago, London, Prague, Bangalore and Singapore. Our goal is to enable insurers and reinsurers to develop their own view of risk through our suite of over 100 catastrophe models for natural and human linked perils. In total, Impact Forecasting has around 70 team members’ worldwide including hazard experts and programmers.

2. Can you provide an overview of current model coverage in regard to geographies and perils? We have extensive model coverage for various regions worldwide and perils. In the U.S., we have a complete suite of models for hurricane, earthquake, severe thunderstorm, wildfire, terrorism and flood. We recently released a panEuropean windstorm model in cooperation with the University of Cologne in Germany, which now joins our broad suite of earthquake and flood models for Western, Central, and Eastern Europe. We also have an extensive suite of models

Impact Forecasting provides a broad suite of models on a platform that allows scientific simulation analysis using Monte Carlo methods. Our platform called ELEMENTS has many unique features, such as: openness, transparency and customization. The platform has a modular approach which allows users to embed their own internal models, if desired. In addition, model customization is very user friendly in a methodology called “Parameter Adjustment”, which allows the analyst to modify either the severity or the frequency of the model interactively at run-time. Sensitivity on vulnerability can be adjusted either up or down by 10 percent to see the effect on net losses after deductibles or other policy terms. Peril frequency rates can also apply “what if” analyses. For example, an active tropical cyclone season forecast which has increases in hurricane activity can be used to modify the existing or long term event occurrence rates by the increase factor. Thus expected losses for various return periods will be adapted for the season’s forecast occurrence rate.

for the Asia Pacific region, including Japanese typhoon and

Impact Forecasting has had many innovative features in

earthquake, and Thailand flood.

the development of its suite of peril models. The Impact

3. Could you describe your development methodology? The development of catastrophe models comprises a breadth of information and disciplines. Each model needs to incorporate information with regard to the hazard, vulnerability and exposure components. Our research and development team is comprised of civil and structural engineers, seismologists, meteorologists and other technical specialists who build scientific simulation models which represent historical and expected future behavior. Our research is derived on historical frequency and severity data from various governmental and public domain sources such as U.S. organizations including the National Hurricane Center, Storm Prediction Center, and U.S. Geological Survey, as well as university research forums. Our software development team incorporates the models and technology into our ELEMENTS catastrophe modeling platform, which accepts portfolio exposure information and determines expected losses based on the peril hazard and details of the exposure.

4. How is Impact Forecasting different from other third-party modeling companies?

Forecasting hurricane model was the first model to consider the entire lifecycle of a storm from inception to final dissipation. Following Hurricane Katrina, the Impact Forecasting model was one of the first models to incorporate the use of the National Hurricane Center SLOSH model on the entire catalogue of storm tracks to make a probabilistic surge model in ELEMENTS. Impact Forecasting was also the first model vendor to incorporate inland flooding due to riverine flooding for a U.S. model, for which will soon be updated. We have provided innovative solutions for the peril of wildfire; Impact Forecasting was the first model developer to consider questions of time and duration of wildfire losses on a portfolio, and we are currently the only model vendor to include wildfire modeling for the U.S. western states, as well as California. For the peril of severe thunderstorm, we recently produced RePlay, a new suite of scenario events based on data collected and processed from the Storm Prediction Center catalogue. This collection of historical scenarios can be used for recast analysis based on a 10-year span.

Aon Benfield

27

5. As one of the first modelers to develop an inland flood model, how does it differ from other commercially available models?

correlations across multiple risk locations. Impact Forecasting’s models account for both spatial and temporal correlation in

Impact Forecasting has been advising clients on flood risk

both river and coastal flood models. It incorporates the latest

since Hurricane Katrina. The team released its first storm

information on river network system, topography, full and

surge model in 2007, which was the first numerically-based

consistent analysis of historical river gauge data. It combines

storm surge model to employ SLOSH (NOAA’s forecast

more accurate information on river basins in a high resolution

model) both in the stochastic and scenario modes. SLOSH

grid system with an engineering application of both,

is a numerical model developed by NOAA to estimate

hydraulic and vulnerability models to estimate flood extents

storm surge depths resulting from historical, hypothetical

and provide more reliable portfolio and location-based flood

or predicted hurricanes by taking into account a storm’s

risk assessment to the clients.

pressure, size, forward speed, forecast track, wind speeds and topographical data. This numerical model incorporates information on coastline, bathymetry, barriers and channel flow. Impact Forecasting has combined its catalogue of storm tracks and data with the SLOSH model in order to produce a stochastic suite of likely hurricane surge scenarios in the Atlantic Basin. The simulation model incorporates the shallow water wave equations that are applied to various SLOSH basins using a polar grid mapping scheme in a finite difference analysis algorithm. The primary outputs of the hazard component include probabilistic and scenario-based event-sets and a series of flood extents; both generated using physical properties of the simulated/scenario hurricanes and SLOSH model. Flood depths are calculated by combining digital elevation model (DEM) data with flood heights (storm surge) based on SLOSH. Impact Forecasting is the first firm that used a fully hydrodynamic model to estimate inundation depth. In addition to the storm surge model, the team released the first complete U.S. model for the inland riverine risk to its clients.

6. When will your new model for riverine flood be released and how different it is from your current river model? Impact Forecasting’s new inland flood model will be released in September 2014. It will be a state-of-the-art river model which incorporates an engineering approach in estimating flood extents and stochastic event-set combined with the latest data available on river network and digital elevation data. The resolution of the new model in resolving inundation depth is superior to other vendor models in the market. The currently available static flood maps in the market do not

28

provide insured loss estimates and cannot account for loss


The updated model uses the 10-m (DEM) based on the U.S. Geological Survey (USGS) to evaluate the elevation of each risk. A hydraulic-based engineering model estimates the impact of flood on properties based on attributes including construction type, basement option, and building first occupied floor elevation. The initial 2008 version of the river model utilizes a stochastic event-set, which consists of 4,000 simulated consistent scenarios. In an effort to provide a reasonable evaluation of location-level risk, Impact Forecasting has leveraged its strong experience in flood modeling to come up with a richer event-set with better flood extent analysis. The 2014 Impact Forecasting flood event-set contains about 75,000 simulated events resulting in a 10,000-year catalogue of realistic simulated events. In comparison, the new model has a superior spatial coverage. The derived river discharge data from the simulated even-set is used as input to a hydraulic-based model to estimate flood extent and inundation depth. Impact Forecasting’s U.S. flood model covers 2.3 million kilometers of river network as part of 202 Hydrological Units that accounts for over 8.2 million squared kilometers of drainage, whereas the current model only covers about one million kilometers of river networks. Impact Forecasting’s inland flood model accounts for approximately 80 percent of all U.S. flood defense protection which incorporates extensive levee data covering about 53,000 km of rivers.

7. How much uncertainty is there in modeling river flood?

9. What kind of weather conditions affect wildfire hazard?

The overall uncertainty using Global Climate Models,

Severe fire weather is closely monitored by the National

Regional Climate Models and Statistical Downscaling, in

Weather Service and advisories are provided before and

general ranges from 20 to 50 percent, especially in the

during extreme conditions. Typically fire weather is comprised

extreme events associated with higher return periods. On

of the following: high temperatures (such as greater than 800

the other hand, the uncertainties in rainfall-runoff modeling

F), low humidity (relative humidity less than 20 percent) and

estimating discharge values on the stream networks are

strong winds (gusts higher than 30 mph).

somewhere between 20 and 35 percent. In order to avoid the difficulties and large uncertainties

10. W hat were some of the notable fire events in recent history?

associated with different components in GCM-based

Historically, California has experienced some of the largest

methodology, Impact Forecasting used the USGS stream

historical losses in 1991, 1993, 2003 and 2007. All of these

gauge historical discharge data (from 1940 to present) to

remarkable fire sieges experienced severe fire weather in the

simulate flooding events. The USGS stream flow data is

form of Santa Ana winds. Santa Ana winds are a condition

typically accurate to within 5 to 10 percent of actual observed

which often occur in late fall as a high pressure system

flows. As such, Impact Forecasting’s model begins with

develops inland across the high desert which causes low

more accurate discharge results and removes uncertainty

humidity, high temperatures and strong winds which travel

underlying the precipitation and runoff calculations by

offshore away from the normally cool Mediterranean climate

explicitly using historical measure data and develops

along the coast. In fact, the winds were so strong in 2007,

consistent simulated events using such measured data.

that ISO classified the event as a wind loss event. We also

Impact Forecasting’s stochastic event set is generated using perturbations of historical data and matching the tail at high return periods. This method preserves the natural correlation existing between the gauges in a given historical event while propagating the historical pattern through the simulated event set. This method helps by taking into account the inter- and intra-event uncertainty.

8. You mentioned that you have a unique approach to modeling wildfire. How does Impact Forecasting’s wildfire modeling compare to other peril models? Each peril model has its own characteristics and nuances that make them interesting. Unlike earthquakes, which can be a rare occurrence, especially for large events, wildfire occurs with some regularity. We gather intelligence on the hazard from various governmental bureaus like Cal Fire (California Dept. of Forestry and Fire) and the U.S. Forest Service. In addition, new tools like satellite data, such as MODIS, provide better understanding of the spatial extent of the fire in real-time. Wildfires are also similar to severe thunderstorm, in that it can occur in outbreaks, rather than just a single event. An outbreak of wildfires in a local region is called a fire complex. Sometimes multiple fires can grow and merge into one large event. Large wildfires are also

had large wildfire losses in Texas, Colorado, Florida and other regions.

11. W hat other characteristics are important to wildfire behavior? In addition to difficulties in fire suppression posed by hilly or mountainous terrain, fuel types are important characteristics. Timber, brush, or grassy fuels affect likely fire behavior. Fire behavior may be amplified by particularly dry conditions (such as those found in late season activity in the fall around October or November when Santa Ana winds may occur).

12. A re current conditions conducive to wildfire outbreaks? In 2013, California experienced the worst drought in history. With precipitation records for San Francisco dating back to 1849, data shows that California has not experienced a year as dry as 2013. In fact, a recent update to the U.S. Drought Monitor shows that some 82 percent of the state is suffering either “extreme” or “exceptional” drought. The lack of precipitation is creating dry conditions in fuel beds which may exacerbate a wildfire, should it occur. The drought is having the overall effect of lengthening the fire season by starting earlier and ending later than normal.

similar to severe thunderstorm, in that its behavior strongly correlated to weather conditions that drive the hazard.

Aon Benfield

29

13. Do you have a Japan typhoon model and what differentiates it from other models? Yes, we recently completed the development of our Japan

Our software modeling platform, called ELEMENTS, and

typhoon model in which we collaborated with SWISS ETH

the various peril models for the U.S. and worldwide are

group. The model provides a large number of simulated

available for licensing.

typhoon tracks using Markov Chain model, using sea surface temperature as one of the variables. In addition, it incorporates the effect of topography and terrain using a new approach which takes the direction of wind in to account.

14. Are there any other recent developments which you would like to mention? One of the newest models within Impact Forecasting’s ELEMENTS suite is RePlay for Severe Thunderstorm. The model incorporates the last ten years of historical severe thunderstorm data and runs them through the ELEMENTS Severe Thunderstorm (STS) model. Recent historic experience, which has been quite active, contains a richer catalogue of activity based on better data capture using Doppler radar and other technological advancements within the field of meteorology. The model helps address the concerns of model users when comparing AALs generated by stochastic models against recent experience. The STS RePlay model is not designed to be a replacement for a full stochastic analysis, but rather a rich historical scenario based model. The event set contains over 67,000 event days with over 6.5 million individual tornado, hail and thunderstorm wind occurrences. The RePlay model can be used in many different cases: § To recast historical severe thunderstorm events to quantify current loss expectations and to better understand current loss behavior § To obtain a view of average yearly losses as an alternative to Average Annual Losses (AAL) produced by stochastic models § To create a view of historical experience that represents a current underwriting paradigm § To create credible loss experience where none currently exists due to exposure expansion into new regions

30

15. Can someone license your software, or is this an internal model?


Appendix I Catastrophe Bond Issuance Statistics As of June 30, 2014 Source: Aon Benfield Securities, Inc.

Aon Benfield

31

Figure 1: Catastrophe Bond Issuance by Year, 2005 to 2014 ( Years ending June 30) Property Issuance

Life / Health Issuance

1,0000 9,400

8,145

USD Millions

8,000 6,665

6,431 5,914

6,000

4,736

4,382

4,000 3,279

2,000

1,705 1,499

0 2005

2006

2007

2008

2009

2010

2011

2012

2013

2014


Figure 2: Outstanding and Cumulative Catastrophe Bond Volume, 2005-2014 (Years ending June 30) Property Outstanding

Life / Health Outstanding

Total Cumulative Bonds

Cumulative Property Issuance

65,000 60,102

58,500 50,702

USD Millions

52,000 44,037

45,500 37,605

39,000 33,223

32,500 26,782

26,000

28,487

22,422

20,867

19,500 12,723

13,000

9,444

6,500

4,741

17,788

16,155 12,911

13,174

13,167

2009

2010

15,123 11,504

6,558

0 2005 Source: Aon Benfield Securities, Inc.

32


2006

2007

2008

2011

2012

2013

2014

Figure 3: Catastrophe Bond Issuance by Half-Year 2007-2014 January - June

July - December

9,000

8,000

USD Millions

7,000

3,404

6,000

3,498

5,000

2,692

2,625

4,000

2,842

4,976

3,000

5,902 320

2,086 3,973

3,588

2,000 2,650

2,510

1,000

1,757

1,385

0 2007

2008

2009

2010

2011

2012

2013

2014


Figure 4: Investor by Category (Years ending June 30)5 Catastrophe Fund

Institutional

Mutual Fund 2%

6%

Reinsurer

Hedge Fund

2%

5% 12%

11% 43%

46%

41% 32%

2014

2013

Source: Aon Benfield Securities, Inc. Aon Benfield Securities’ analysis of investor category and geographic attributes includes only those transactions in which the firm participated

5

Aon Benfield

33

Figure 5: Investor By Country/Region (Years ending June 30)4 U.S.

U.K.

Switzerland

Bermuda

Other

9%

11%

25% 26%

44%

47%

7%

14% 8%

9%

2013

2014

Source: Aon Benfield Securities, Inc. 4 Aon Benfield Securities’ analysis of investor category and geographic attributes includes only those transactions in which the firm participated

Figure 6: Aon Benfield All Bond Index versus Financial Benchmarks 150%

Aon ILS Index


CMBS Fixed Rate 3-5 Yrs.

ABS, 3-5 Yrs, Fixed Rate

S&P 500

120% 90% 60% 30% 0% -30% -60% Jun 2004

Jun 2005

Jun 2006

Source: Aon Benfield Securities, Inc., Bloomberg

34


Jun 2007

Jun 2008

Jun 2009

Jun 2010

Jun 2011

Jun 2012

Jun 2013

Jun 2014

Figure 7: Historical Performance of Aon Benfield ILS Indices 150%

Aon ILS Index

Aon ILS BB Index

Jun 2006

Jun 2008

Aon ILS US EQ

Aon ILS US Hurricane

120%

90%

60%

30%

0%

-30% Jun 2004

Jun 2005

Jun 2007

Jun 2009

Jun 2010

Jun 2011

Jun 2012

Jun 2013

Jun 2014

Sidecar

ILW


Figure 8: Form of Transaction Traditional UNL

Cat Bonds

Collateralized Re

100% 95% 90% 85% 80% 75% 70%

2002

2003

2004

2005

2006

2007

2008

2009

2010

2011

2012

2013

2014

Source: Aon Benfield

Aon Benfield

35

Figure 9: Total U.S. ILW Trade Volume and Price Movement since 2011 $50 billion ANP

$80 billion ANP

140

$1,400

120

$1,200

100

$1,000

80

$800

60

$600

40

$400

20

$200 $0

14

20

14

20

13

20

13

20

13

20

13

20

12

20

12

20

12

2

Q

1

Q

4

Q

3

Q

2

Q

1

Q

4

Q

3

Q

2

Q

1

Q


20

4

Q

3

Q

2

Q

1

Q

Source: The Global Re Specialty team of Aon UK Limited

12

20

11

20

11

20

11

20

11

20

0

36

$30 billion ANP

Total U.S. Trade Volume (USD Millions)

Price Movement by Quarter

Total U.S. Trade Volume

Appendix II Property Catastrophe Bonds—Transaction Summary As of June 30, 2014 Source: Aon Benfield Securities, Inc.

Aon Benfield

37

Summary of Catastrophe Bonds — December 1996 through June 2014 Issuance Date

Beneficiary

Issuer

Dec-96

St Paul Re U.K.

Dec-96

Trigger

Collateral

George Town Re, Ltd.

Worldwide All Perils incl. Marine & Aviation

Indemnity

TRS

$44,500

St Paul Re U.K.*

George Town Re, Ltd.

Worldwide All Perils incl. Marine & Aviation

Indemnity

TRS

$24,000

Aaa

AAA

Jun-97


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


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


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 Limited

Pacific Re, Ltd.

JP TY

Indemnity

TRS

$80,000

Ba3

BB-

Jul-98

United States Fidelity and Guaranty Company

Mosaic Re, Ltd.

Class A

US HU, EQ, ST

Indemnity

TRS

$24,000

Jul-98


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

May-99

Oriental Land Co., Ltd.

Concentric, Ltd.

JP EQ

Parametric

TRS

Jun-99



US HU

Indemnity

TRS

38


Series 1999

Class

Size (thousands)

Perils

*Equity

Series

MIS

S&P

BB

Ba2

BB+

$100,000

Ba1

BB+

$200,000

Ba2

BB

Fitch

BB

BB

Issuance Date

Beneficiary

Issuer

Gerling-Konzern Globale RückversicherungsAktienfesellschaft

Juno Re, Ltd.

Nov-99

American Re

Gold Eagle Capital Limited

Nov-99

American Re


Nov-99

American Re*

Nov-99

Nov-99

Class

Size (thousands)

Perils

Trigger

Collateral

US HU

Indemnity

TRS

$80,000

Class A

US HU, EQ

Modeled Loss

TRS

$50,000

Baa3

BBB-

Class B

US HU, EQ

Modeled Loss

TRS

$126,600

Ba2

BB


US HU, EQ

Modeled Loss

TRS

$5,500

Ba1

BB+

American Re*


US HU, EQ

Modeled Loss

TRS

$3,600

BB+

Gerling-Konzern Globale RückversicherungsAktienfesellschaft

Namazu Re, Ltd.

JP EQ

Modeled Loss

TRS

$100,000

BB

Mar-00

Lehman Re Ltd.

Seismic Limited

US EQ

Mar-00

Lehman Re Ltd.*

Seismic Limited

Mar-00

SCOR

Atlas Reinsurance p.l.c.

Class A

Mar-00

SCOR


Mar-00

SCOR


Apr-00

Sorema SA

Halyard Re B.V.

May-00

State Farm Companies

May-00

Jun-00

Jun-99

Series

MIS

Fitch

BB

BB+

Industry Index

TRS

$145,500

Industry Index

TRS

$4,500

EU Wind, CA/JP EQ

Indemnity

TRS

$70,000

BBB+

BBB+

Class B

EU Wind, CA/JP EQ

Indemnity

TRS

$30,000

BBB-

BBB-

Class C

EU Wind, CA/JP EQ

Indemnity

TRS

$100,000

B-

B-

EU/JP Wind, JP EQ

Indemnity

TRS

$17,000

Alpha Wind 2000-A Ltd.

US HU

Indemnity

TRS

$52,500

BB+

State Farm Companies*

Alpha Wind 2000-A Ltd.

US HU

Indemnity

TRS

$37,500

BB



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.

US HU

Parametric Index

TRS

$159,000

Ba3

BB+

BB

Dec-00

Munich Re*

PRIME Capital Hurricane Ltd.

US HU

Parametric Index

TRS

$6,000

Feb-01


Western Capital Limited

US EQ

Industry Index

TRS

$97,000

Ba2

BB+

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

Ba2

BB+

Series 2000

Class B

Class B

Ba2

S&P

BB+

BB+

BB

*Equity

Aon Benfield

39

Issuance Date

Beneficiary

Issuer

Apr-01

Sorema SA

Halyard Re B.V.

May-01


SR Wind Ltd.

May-01


May-01 May-01

Trigger

Collateral

S&P

Fitch

EU Wind, JP EQ, TY

Indemnity

TRS

$17,000

Class B-1

US HU, EU Wind

Parametric Index

TRS

$1,800

BB

BB

SR Wind Ltd.

Class B-2

US HU, EU Wind

Parametric Index

TRS

$1,800

BB

BB


SR Wind Ltd.

Class A-1

US HU, EU Wind

Parametric Index

TRS

$58,200

BB+

BB+


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-

Lloyd's Syndicate 33 (Hiscox) St. Agatha Re Ltd.

US EQ

Modeled Loss

Bank Deposit

$33,000

BB+

MIS

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+

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+

*Equity

40

Class

Size (thousands)

Perils

Apr-02

Series


Issuance Date

Size (thousands)

Beneficiary

Issuer

Series

Class

Perils

Trigger

Collateral

MIS

S&P

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


PIONEER 2002 Ltd.

Series 2003-1

Class A

US HU

Parametric Index

TRS

$6,500

Ba3

BB+

Mar-03


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+

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+

Fitch

B

*Equity

Aon Benfield

41

Issuance Date

Beneficiary

Issuer

Series

Jul-03


Oak Capital Ltd.

Jul-03


Jul-03

42

Size (thousands)

Perils

Trigger

Collateral

Series 1

EU Wind

Parametric Index

TRS

$23,600

Ba3

BB+

Sequoia Capital Ltd.

Series 1

US EQ

Parametric Index

TRS

$22,500

Ba3

BB+


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

Baa3

BBB-

Dec-03

Electricite de France

Pylon Ltd.

Class A

EU Wind

Parametric Index

TRS

€ 70,000

A2

BBB+

Dec-03

Electricite de France

Pylon Ltd.

Class B

EU Wind

Parametric Index

TRS

€ 120,000

Ba1

BB+

Dec-03


Redwood Capital III, Ltd.

US EQ

Industry Index

TRS

$150,000

Ba1

BB+

Dec-03


Redwood Capital IV, Ltd.

US EQ

Industry Index

TRS

$200,000

Baa3

BBB-

Mar-04


Oak Capital Ltd.

Series 2

EU Wind

Parametric Index

TRS

$24,000

Ba3

BB+

Mar-04



Series 2

US EQ

Parametric Index

TRS

$11,500

Ba3

BB+

Mar-04


Arbor Ltd.

Series 4


Parametric Index

TRS

$21,000

B

May-04



Class A

US HU, EQ

Indemnity

TRS

$127,500

BB

May-04



Class B

US HU, EQ

Indemnity

TRS

$100,000

B

Jun-04

Converium Ltd.

Helix 04 Limited


Modeled Loss

Bank Deposit

$100,000

BB+

Jun-04


Arbor Ltd.


Parametric Index

TRS

$18,000

B

Jun-04


Gi Capital Ltd.

JP EQ

Parametric Index

TRS

$125,000

BB+

Sep-04


Oak Capital Ltd.

Series 3

EU Wind

Parametric Index

TRS

$10,500

Ba3

BB+

Sep-04



Series 3

US EQ

Parametric Index

TRS

$11,000

Ba3

BB+

Sep-04


Arbor Ltd.

Series 6


Parametric Index

TRS

$31,800

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

Swiss Reinsurance Redwood Capital Company Ltd. V, Ltd.

US EQ

Industry Index

TRS

$150,000

*Equity


Class

Series 5

MIS

Ba3

S&P

BB+ B

B

Ba2

BB+

Fitch

Issuance Date

Beneficiary

Issuer

Series

Class

Size (thousands)

Perils

Trigger

Collateral

MIS

S&P

US EQ

Industry Index

TRS

$150,000


Parametric Index

TRS

$20,000

B

Fitch

Dec-04

Swiss Reinsurance Redwood Capital Company Ltd. VI, Ltd.

Mar-05


Arbor I Ltd.

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

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

Swiss Reinsurance Redwood Capital Company Ltd. VII, Ltd.

US EQ

Industry Index

TRS

$160,000

BB+

Feb-06

Swiss Reinsurance Redwood Capital Company Ltd. VIII, Ltd.

US EQ

Industry Index

TRS

$65,000

BB+

Class D

US HU, EQ

Industry Index

TRS

$105,000

BB

Jul-05

Series 8

Series 9

Series 10

Series 1

BB+

Feb-06


Foundation Re Ltd.

May-06

The Fund for Natural Disasters

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.

Series Class A-1 2006-I

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+


Successor Hurricane Industry Ltd.

Class D

US HU

Industry Index

TRS

$10,250

B

Jun-06

Series 2006-I

Ba2

Series 2

BB

*Equity

Aon Benfield

43

Issuance Date

Issuer

Series

Class

Perils

Trigger

Collateral

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

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

MIS

S&P

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+

*Equity

44

Size (thousands)

Beneficiary


Fitch

Issuance Date

Size (thousands)

Beneficiary

Issuer

Series

Class

Perils

Trigger

Collateral

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

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

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

Dec-06

Zurich American Insurance Company

Lakeside Re Ltd.

US EQ

Indemnity

Bank Deposit

$190,000

BB+

Dec-06

SCOR

Atlas Reinsurance III p.l.c.

JP EQ, EU Wind

Modeled Loss

TRS

€120,000

BB+

Jul-06

Class A

MIS

S&P

Fitch

BB+

B

Dec-06

Swiss Reinsurance Redwood Capital Company Ltd. 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-

*Equity

Aon Benfield

45

Issuance Date

Beneficiary

Series

Class

Perils

Trigger

Collateral

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

MIS

S&P

Jan-07


Calabash Re II Ltd.

Series Class A-1 2006-I

US HU

Modeled Loss

TRS

$100,000

BB

Jan-07


Calabash Re II Ltd.

Series Class D-1 2006-I

US EQ

Modeled Loss

TRS

$50,000

B+

Jan-07


Calabash Re II Ltd.

Series 2006-I

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

Apr-07

Chubb Group

East Lane Re Ltd.

Series 2007-I

Class A

US HU

Indemnity

TRS

$135,000

BB+

Apr-07

Chubb Group

East Lane Re Ltd.

Series 2007-I

Class B

US HU

Indemnity

TRS

$115,000

BB+

May-07

Munich Re

Carillon Ltd.

Series 2

Class E

US HU

Industry Index

TRS

$150,000

B

May-07

The Travelers Indemnity Company

Longpoint Re Ltd.

Series 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 Co., Ltd.

AKIBARE Ltd.

Series 1

Class A

JP TY

Parametric Index

TRS

$90,000

BB+

May-07

Mitsui Sumitomo Insurance Co., Ltd.

AKIBARE Ltd.

Series 1

Class B

JP TY

Parametric Index

TRS

$30,000

BB+

May-07


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

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

Jun-07


Willow Re Ltd.

Series 2007-1

Class B

US HU

Industry Index

TRS

$250,000

Swiss Reinsurance Spinnaker Capital Company Ltd. Ltd.

Series 1 2007

US HU

Industry Index

TRS

$200,000

Jun-07 *Equity

46

Size (thousands)

Issuer


Class E-1

B BB+ B1

Fitch

Issuance Date

Size (thousands)

Beneficiary

Issuer

Series

Class

Perils

Trigger

Collateral

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

Swiss Reinsurance Spinnaker Capital Company Ltd. Ltd.

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-

US HU

Industry Index

TRS

$50,000

NR

JP EQ

Parametric

TRS

$260,000

BB+

TRS

€155,000

BB+

Jul-07 Oct-07

Swiss Reinsurance Spinnaker Capital Company Ltd. Ltd. East Japan Railway Company

Series 3 2007

MIDORI Ltd.

MIS

S&P

Nov-07

Allianz Argos 14 GmbH

Blue Fin Ltd.

Series 1

Class A

EU Wind

Parametric Index

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

B

Dec-07

Catlin Group

Newton Re Limited

Series 2007-1

Class A

US EQ

Industry Index

Bank Deposit

$87,500

BB+

Dec-07

Catlin Group

Newton Re Limited

Series 2007-1

Class B

US HU

Industry Index

Bank Deposit

$137,500

BB+

Dec-07


GlobeCat Ltd.

Series Class A-1 LAQ

Latin America EQ

Modeled Loss

TRS

$25,000

Ba3

Dec-07


GlobeCat Ltd.

Series Class A-1 USW

US HU

Industry Index

TRS

$40,000

B3

Dec-07


GlobeCat Ltd.

Series Class A-1 CAQ

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

Fitch

B

B

*Equity

Aon Benfield

47

Issuance Date

Issuer

Series

Class

Perils

Trigger

Collateral

Dec-07


Successor II Ltd.

Series 3

Class E


Parametric Index

TRS

$50,000

Dec-07

Swiss Reinsurance Redwood Capital Company Ltd. 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

MIS

S&P

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

BB

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

*Equity

48

Size (thousands)

Beneficiary


BB+

Fitch

Issuance Date

Size (thousands)

Beneficiary

Issuer

Series

Class

Perils

Trigger

Collateral

Jun-08

Nationwide Mutual Insurance Company

Caelus Re Limited

Series 2008-1

Class A

US HU, EQ

Indemnity

TRS

$250,000

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

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

BB

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

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

Indemnity

MMF

$120,000

BB-

EU Wind, EQ

Parametric Index, Modeled Loss

MTN

€50,000

Jun-09

Class A

Class A

Munich Re Ianus Capital Ltd.

MIS

S&P BB+

B2

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

North Carolina JUA/IUA

Parkton Re Ltd.

Series 2009-1

NC Wind

Indemnity

MMF

$200,000

B+

Jul-09

Hannover Re

Eurus II Ltd.

Series 2009-1

Class A

EU Wind

Parametric Index

TPR

€150,000

BB


MultiCat Mexico 2009 Limited

Series 2009-I

Class A

Mex EQ

Parametric

MMF

$140,000

B

Oct-09

Fitch

*Equity

Aon Benfield

49

Issuance Date

Issuer

Series

Class

Perils

Trigger

Collateral

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 Class I-S1 2009-1

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 Company Ltd

Lakeside Re II Ltd.

CA EQ

Indemnity

MMF

$225,000

BB-

Dec-09

Swiss Reinsurance Redwood Capital Company Ltd. XI Ltd.

Series 2009-1

Class A

CA EQ

Industry Index

MMF

$150,000

MIS

S&P

B-

B1


Foundation Re III Ltd.

Series 2010-1

Class A

US HU

Industry Index

MMF

$180,000

BB+

Mar-10


Successor X Ltd.

Series 2010-1

Class II-CN3

US HU, EU Wind


MMF

$45,000

B-

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


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

Jan-10

*Equity

50

Size (thousands)

Beneficiary


Ba3

Fitch

Issuance Date

Beneficiary

Issuer

May-10

Munich Re

EOS Wind Limited

May-10


Caelus Re II Limited

Series

Size (thousands)

Class

Perils

Trigger

Collateral

Class B

US HU, EU Wind


MMF

$30,000

Series 2010-1

Class A

US HU, EQ

Indemnity

MMF

$185,000

MIS

S&P

Ba3

BB+

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

Residential United Services Reinsurance 2010 Automobile Association Limited

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

NA HU, EQ, ST, WS, WF

Indemnity

MMF

$250,000


Merna Reinsurance III Ltd

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

Dec-10


Series 2010-II

Class 1


Indemnity

MMF

$210,000

BB

Dec-10


Series 2010-II

Class 2


Indemnity

MMF

$50,000

Dec-10


Series 2010-II

Class 3


Indemnity

MMF

$40,000

Jun-10

Jul-10

Fitch

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 Class A-1 2010-2

US HU, EQ

Industry Index

MMF

$125,000

BB+

Dec-10


Lodestone Re Ltd.

Series Class A-2 2010-2

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

BBa3

*Equity

Aon Benfield

51

Issuance Date

Beneficiary

Issuer

Series

Class

Perils

Trigger

Collateral

Size (thousands)

Dec-10


Montana Re Ltd.

Series 2010-1

Class E

US HU, Q/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

Class A

US HU

Indemnity

MMF

$70,000

BB-

S&P

May-11


Johnston Re Ltd.

Series 2011-1

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+

Argo Re, Ltd.

Loma Reinsurance Ltd.

Series 2011-1

Class A

US HU, EQ, EU Wind, JP EQ

Industry Index

TPR

$100,000

BB-

Munich Re

Queen Street III Capital Limited

EU Wind

Industry Index

MMF

$150,000

B+

Aug-11

California Earthquake Authority

Embarcadero Reinsurance Ltd.

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-

Jun-11 Jul-11

*Equity

52

MIS


Series 2011-I

Class A

Fitch

Issuance Date

Beneficiary

Issuer

Series

Class

Perils

Trigger

Collateral

Size (thousands)

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


Indemnity

MMF

$100,000

Nov-11


Series 2011-II

Class 2


Indemnity

MMF

$50,000

MIS

S&P

Fitch

B-

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

Dec-11

Amlin AG

Tramline Re Ltd.

Series 2011-1

Class A

US HU, EQ, EU Wind

Industry Index

MMF

$150,000

B-

Dec-11

Argo Re, Ltd.

Loma Reinsurance Ltd.

Series 2011-2

Class A

US HU, EQ

Industry Index

MMF

$100,000

Jan-12

Assurant, Inc.

Ibis Re II Ltd.

Series 2012-1

Class A

US HU

Industry Index

MMF

$100,000

BB-

Jan-12

Assurant, Inc.

Ibis Re II Ltd.

Series 2012-1

Class B

US HU

Industry Index

MMF

$30,000

B-

Feb-12



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

B2

*Equity

Aon Benfield

53

Issuance Date Mar-12

Beneficiary

Issuer


Combine Re Ltd.

Class

Perils

Trigger

Collateral

Size (thousands)

Class C

US HU, EQ, ST, WS

Indemnity

MMF

$50,000

MIS

S&P

Apr-12

Allianz Argos 14 GmbH Blue Danube Ltd.

Series 2012-1

Class A

US, CB, MX HU, US, CAN EQ

Industry Index

MTN

$120,000

BB+

Apr-12

Allianz Argos 14 GmbH Blue Danube Ltd.

Series 2012-1

Class B

US, CB, MX HU, US, CAN EQ

Industry Index

MTN

$120,000

BB-

Apr-12

Louisiana Citizens Property Insurance Corporation

Pelican Re Ltd.

Series 2012-1

Class A

LA HU

Indemnity

MMF

$125,000

Apr-12

Mitsui Sumitomo Insurance Co., Ltd

Akibare II Ltd.

Series 2012-1

Class A

JP TY

Modeled Loss

MMF

$130,000

BB

Apr-12


Everglades Re Ltd.

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

May-12


Series 2012-I

Class 3

US HU, EQ, ST, WS, CAL WF

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

Series 2012-1

Class A

Northeast HU

Indemnity

MMF

$250,000

US HU, EU Wind

Industry Index

MMF

$100,000

B


Long Point Re III Ltd.

Jul-12

Munich Re

Queen Street VI Re Limited

Jul-12



Series 2012-II

Class A

CAL EQ

Indemnity

MMF

$300,000

BB+

Sep-12

Hannover Re

Eurus III Ltd.

Series 2012-1

Class A

EU Wind

Industry Index

MTN

€100,000

BB-

Oct-12

Fund for Natural Disasters

MultiCat Mexico Limited

Series 2012-I

Class A

Mex EQ

Parametric

MMF

$140,000

B

Oct-12



Series 2012-I

Class B

Mex HU Atlantic

Parametric

MMF

$75,000

B+

Oct-12



Series 2012-I

Class C

Mex HU Pacific

Parametric

MMF

$100,000

B-

Oct-12

Munich Re

Queen Street VII Re Limited

US HU, EU Wind

Industry Index

MMF

$75,000

B

Nov-12

SCOR Global P&C SE

Atlas Reinsurance VII Limited

Class A

US HU, EQ

Industry Index

MTN

$60,000

BB-

Nov-12

SCOR Global P&C SE

Atlas Reinsurance VII Limited

Class B

EU Wind

Industry Index

MTN

€130,000

BB

Nov-12


Mythen Re Ltd.

Series 2012-2

Class A

US HU, UK Mortality

Industry Index

MTN

$120,000

B+

Nov-12


Mythen Re Ltd.

Series 2012-2

Class C

US HU

Industry Index

MTN

$80,000

B-

Nov-12



Series 2012-II

Class 1


Indemnity

MMF

$155,000

BB+

Nov-12



Series 2012-II

Class 2


Indemnity

MMF

$70,000

BB

Jun-12

*Equity

54

Series


BB+

Fitch

Issuance Date

Beneficiary

Issuer

Series

Class

Perils

Trigger

Collateral

Size (thousands)

Nov-12



Series 2012-II

Class 3


Indemnity

MMF

$95,000

Nov-12



Series 2012-II

Class 4


Indemnity

MMF

$80,000

Dec-12


Compass Re Ltd.

Series 2012-1

Class 1

US HU, EQ

Industry Index

MMF

$400,000

Dec-12

Zurich American Insurance Company, Zurich Insurance Company, Ltd.

Lakeside Re III Ltd.

US, CAN EQ

Indemnity

MMF

$270,000

B+

Mar-13


Caelus Re 2013 Limited

Mar-13

Citizens Property Insurance Company

Apr-13


Merna Re IV Ltd.

Apr-13


Caelus Re 2013 Limited

Series 2013-2

Apr-13


Tar Heel Re Ltd.

Apr-13

Turkish Catastrophe Insurance Pool

May-13

MIS

S&P

Series 2013-1

Class A

US HU, EQ

Indemnity

MMF

$270,000

BB-

Series 2013-1

Class A

FL HU

Indemnity

MMF

$250,000

B

New Madrid EQ

Indemnity

MMF

$300,000

Class A

US HU, EQ

Indemnity

MMF

$320,000

Series 2013-1

Class A

NC Hurricane

Parametric Index

MMF

$500,000

B+

Bosphorus 1 Re Ltd.

Series 2013-1

Class A

Turkey EQ

Industry Index

MMF

$400,000

BB+


Sanders Re Ltd.

Series 2013-1

Class A

US HU, EQ

Industry Index

MMF

$200,000

BB+

May-13


Sanders Re Ltd.

Series 2013-1

Class B

US HU, EQ

Indemnity

MMF

$150,000

BB

May-13

Louisiana Citizens Property Insurance Company

Pelican Re Ltd.

Series 2013-1

Class A

LA HU

Indemnity

MMF

$140,000

May-13


Armor Re Ltd.

Series 2013-1

Class A

Florida HU

Indemnity

MMF

$183,000

BB+

May-13

Travelers Indemnity Company

Long Point Re III Ltd.

Series 2013-1

Class A

Northeast HU

Indemnity

MMF

$300,000

BB

May-13


Blue Danube II Ltd.

Series 2013-1

Class A

US, CB, MX HU & US, CAN EQ

Industry Index

MTN

$175,000

BB+

May-13


Series 2013-I

Class 11


Indemnity

MMF

$205,000

May-13


Series 2013-I

Class 3


Indemnity

MMF

$95,000

B-

Everglades Re Ltd.

Jun-13

Assurant, Inc.

Ibis Re II Ltd.

Series 2013-1

Class A

US HU

Industry Index

MMF

$110,000

BB+

Jun-13

Assurant, Inc.

Ibis Re II Ltd.

Series 2013-1

Class B

US HU

Industry Index

MMF

$35,000

BB-

Jun-13

Assurant, Inc.

Ibis Re II Ltd.

Series 2013-1

Class C

US HU

Industry Index

MMF

$40,000

B

Jun-13

Munich Re

Queen Street VIII Re Limited

US HU, AUS CY


MMF

$75,000

Jun-13

Amlin AG

Tramline Re II Ltd.

Series 2013-1

Class A

US, CAN EQ

Industry Index

MMF

$75,000

Jul-13

Groupama S.A.

Green Fields II Capital Limited

Series 2013-1

Class A

FR Wind

Industry Index

MTN

€280,000

Jul-13


Mythen Re Ltd.

Series Class B-1 2013-1

US HU

Industry Index

MMF

$100,000

US HU, EQ

Industry Index

MMF

$150,000

Jul-13

Renaissance Mona Lisa Re Ltd. Reinsurance Ltd.

Series 2013-2

Class A

Fitch

BB

BB-

*Equity

Aon Benfield

55

Issuance Date Jul-13 Jul-13

Beneficiary

Issuer

Series

Class

Perils

Trigger

Collateral

Size (thousands)


Tradewynd Re Ltd.

Series 2013-1

Class 1

US, CB HU, NA EQ

Indemnity

MMF

$125,000

B+

Metropolitan MetroCat Re Ltd. Transportation Authority

Series 2013-1

Class A

Northeast Storm Surge

Parametric Index

MMF

$200,000

BB-

S&P

Aug-13



Series 2013-1

Class A

US HU, EQ

Industry Index

MMF

$200,000

BB-

Sep-13


Nakama Re Ltd.

Series 2013-1

Class 1

JP EQ

Indemnity

MMF

$300,000

BB+

Oct-13

AXA Global P&C


Class A

EU Wind

Industry Index

MTN

€185,000

BB-

Oct-13

AXA Global P&C


Class B

EU Wind

Industry Index

MTN

€165,000

B+

Oct-13


Galileo Re Ltd.

Series 2013-1

Class A

US HU, EQ, EU Wind

Industry Index

MMF

$300,000

Dec-13


Series 2013-II

Class 1


Indemnity

MMF

$80,000

Dec-13


Series 2013-II

Class 4


Indemnity

MMF

$70,000

Dec-13


Tradewynd Re Ltd.

Series Class 1-A 2013-2

US, CB HU, NA EQ

Indemnity

MMF

$100,000

Dec-13


Tradewynd Re Ltd.

Series Class 3-A 2013-2

US, CB HU, NA EQ

Indemnity

MMF

$160,000

Dec-13


Tradewynd Re Ltd.

Series Class 3-B 2013-2

US, CB HU, NA EQ

Indemnity

MMF

$140,000

Dec-13


Windmill I Re Ltd.

Series 2013-1

Class A

EU Wind

Indemnity

MMF

€40,000

Dec-13


Queen City Re Ltd.

Series 2013-1

Class A

US HU

Indemnity

MMF

$75,000

Dec-13

Argo Re, Ltd.


Series 2013-1

Class A

US,CB HU, US ST, NA, CB EQ


MMF

$32,000

Dec-13

Argo Re, Ltd.


Series 2013-1

Class B

US,CB HU, US ST, NA, CB EQ


MMF

$75,000

Dec-13

Argo Re, Ltd.


Series 2013-1

Class C



MMF

$65,000

Dec-13


VenTerra Re Ltd.

Series 2013-1

Class A

US EQ, AUS CY, EQ

Indemnity

MMF

$250,000

Feb-14

Münchener RückversicherungsGesellschaft Aktiengesellschaft

Queen Street IX Re Limited

US HU, AUS CY

Multiple

MMF

$100,000

Mar-14

Chubb Group


Series 2014-1

Class A

Northeast US HU, EQ, ST, WS

Indemnity

MMF

$270,000

Mar-14


Gator Re Ltd.

Series 2014-1

Class A

US HU, ST

Indemnity

MMF

$200,000

Mar-14


Kizuna Re II Ltd.

Series 2014-1

Class A

JP EQ

Indemnity

MMF

$200,000

Mar-14


Kizuna Re II Ltd.

Series 2014-1

Class B

JP EQ

Indemnity

MMF

$45,000

NA HU, EQ, ST & WS

Indemnity

MMF

$95,000

New Madrid EQ

Indemnity

MMF

$300,000

Mar-14 Mar-14

Great American Riverfront Re Ltd. Insurance Company State Farm Fire and Casualty Company

*Equity

56

MIS


Merna Re V Ltd.

BB-

BB

BB+

BB-

Fitch

Issuance Date

Beneficiary

Issuer

Series

Class

Perils

Trigger

Collateral

Size (thousands)

Apr-14


Citrus Re Ltd.

Series 2014-1

Class A

FL HU

Indemnity

MMF

$150,000

Apr-14


Citrus Re Ltd.

Series 2014-2

Class 1

FL HU

Indemnity

MMF

$50,000

Apr-14


Lion I Re Limited

EU Wind

Indemnity

MTN

€190,000

Apr-14



Series 2014-1

Class A

SE HU

Industry Index

MMF

$250,000

BB-

Apr-14



Series 2014-1

Class B

NA HU, EQ

Industry Index

MMF

$200,000

BB-

May-14


Armor Re Ltd.

Series 2014-1

Class A

FL HU

Indemnity

MMF

$200,000

May-14


Everglades Re Ltd.

Series 2014-1

Class A

FL HU

Indemnity

MMF

$1,500,000

May-14


Sanders Re Ltd.

Series 2014-1

Class B

US HU, EQ

Industry Index

MMF

$330,000

BB+

May-14


Sanders Re Ltd.

Series 2014-1

Class C

US HU, EQ

Industry Index

MMF

$115,000

BB

May-14


Sanders Re Ltd.

Series 2014-1

Class D

US HU, EQ

Industry Index

MMF

$305,000

BB

May-14


Sanders Re Ltd.

Series 2014-2

Class A

FL HU, EQ, ST

Indemnity

MMF

$200,000

May-14


Nakama Re Ltd.

Series 2014-1

Class 1

JP EQ

Indemnity

MMF

$150,000

May-14


Nakama Re Ltd.

Series 2014-1

Class 2

JP EQ

Indemnity

MMF

$150,000

May-14



Series 2014-I

Class 10


Indemnity

MMF

$80,000

May-14



Series 2014-I

Class 13


Indemnity

MMF

$50,000

May-14

Sompo Japan and Nipponkoa Insurance Company

Aozora Re Ltd.

Series 2014-1

Class B

JP TY

Indemnity

MMF ¥10,125,000

Jun-14


Alamo Re Ltd.

Series 2014-1

Class A

TX HU

Indemnity

MMF

$400,000

MIS

S&P

Fitch

B+

B

BB

B

*Equity

Aon Benfield

57

Appendix III Life & Health Catastrophe Bonds— Transaction Summary As of June 30, 2014 Source: Aon Benfield Securities, Inc.

58


Summary of Life and Health Catastrophe Bonds — December 1996 through June 2014 Issuance date

Issuer

Series

Dec-03

Swiss Reinsurance Company, Ltd.

Vita Capital Ltd.

Series 1

Apr-05


Vita Capital II Ltd.

Series 1

Apr-05



Apr-05



Apr-06

Scottish Annuity & Life Insurance Company (Cayman) Ltd.

Apr-06

Class

Perils

Trigger

Size (thousands)

S&P

Extreme Mortality

Index

$400,000

A+

Class B

Extreme Mortality

Index

$62,000

A-

Series 1

Class C

Extreme Mortality

Index

$200,000

BBB+

Series 1

Class D

Extreme Mortality

Index

$100,000

BBB-

Tartan Capital Limited

Series 1

Class A

Extreme Mortality

Index

$75,000

AAA

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-

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


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+ BBB+

Feb-08

Jan-12


Vitality Re III Limited

Series 2012-1

Class A

Health

Indemnity - MBR

$105,000

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

$125,000

BBB-

Series 2012-I Class E-1

Extreme Mortality

Index

$150,000

BB+

Health

Indemnity - MBR

$105,000

BBB+

Jul-12


Vita Capital V Ltd.

Jan-13


Vitality Re IV Limited

Series 2013-1

Class A

Jan-13


Vitality Re IV Limited

Series 2013-1

Class B

Health

Indemnity - MBR

$45,000

BB+

SCOR Global Life SE Atlas IX Capital Limited

Series 2013-1

Class B

Extreme Mortality

Index

$180,000

BB

Sep-13

Beneficiary

Jan-14



Series 2014-1

Class A

Health

Indemnity

$140,000

BBB+

Jan-14



Series 2014-1

Class B

Health

Indemnity

$60,000

BB+

Aon Benfield

59

Appendix IV Summary of Sidecar Issuance As of June 30, 2014 Source: Aon Benfield Securities, Inc.

60


Summary of Sidecar Issuance Sidecar

Principal Sponsor

Inception

Lines of Business

Top Layer Re

RenaissanceRe, SF

Dec-99

High excess U.S. property cat

100.0

Olympus Re

White Mountains Re

Dec-01

Property cat, property risk, retro and marine

500.0

DaVinci Re

RenaissanceRe, SF

Dec-01

Property cat reinsurance

600.0

Rockridge Re

Montpelier Re

Jun-05

High excess cat retrocessional

90.9

Blue Ocean Re

Montpelier Re

Dec-05

Property cat retrocessional

300.0

XL Capital

Dec-05

Property cat reinsurance and retrocessional

525.0

Cyrus Re 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 Olympus Re II Petrel Re Starbound Re Bay Point Re Sirocco Re

Hannover Re

Dec-05

Property cat, property risk, aviation and marine

370.0

White Mountains Re

Jan-06

Property cat, property risk, retro and marine

156.0

Validus

May-06

Marine and offshore energy reinsurance contracts

125.0

RenaissanceRe

May-06

Short-tailed property and marine

310.5

Harbor Point

Jun-06

U.S. property, marine, retro and workers’ comp

150.0

Lancashire

Jun-06

Marine and offshore energy insurance contracts

75.0

Timicuan Re

RenaissanceRe

Jul-06

Reinstatement premium protection

70.0

Concord Re

Lexington Insurance Co

Aug-06

U.S. commercial property

730.0

Flagstone Re

Aug-06

Peak zone and ILW

60.0

Mont Fort Re 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

Brit Insurance

Dec-06


107.7

Norton Re 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

MAP Underwriting

Jan-07


78.6

Swiss Re

Apr-07


182.5

RennaisanceRe

Jun-07


341.5

Flagstone Re

Jul-07


60.0

Brit Insurance

Dec-07


118.2

Swiss Re

Apr-08


150.0

XL Capital

Dec-07


140.0

Bridge Re Starbound Re II Mont Gele Re Norton Re II Sector Re II Cyrus Re ll New Point Re II

Harbor Point

Dec-07


100.0

Globe Re

Hannover Re

May-08


133.0

Kaith/K6 Timicuan Re II Fac Pool Re AlphaCat Re

Size ($ millions)

Hannover Re

Mar-09

Property cat, property risk, aviation and marine

180.0

RenaissanceRe

Jun-09

Property cat retrocessional, primarily florida

60.4

Hannover Re

Sep-09

Worldwide facultative

60.0

Validus

May-11


180.0

Aon Benfield

61

Sidecar DaVinci Re* Accordion Re New Point Re IV AlphaCat Re 2011*

Principal Sponsor

Inception

Lines of Business

Size ($ millions)

RenaissanceRe

Jun-11

Property cat, specialty

100.0

Lancashire Re

Jul-11

Property cat

200.0

Alterra

Jul-11


225.0

Validus

Dec-11


71.0

RenaissanceRe

Jan-12


73.7

SPS 20881

Catlin

Jan-12

Various lines (Syndicate 2003 quota share)

77.5

SPS 61111

Catlin

Jan-12


93.0

Upsilon Re

SPS 61121 AlphaCat Re 2011*2 PacRe

Catlin

Jan-12


41.9

Validus

Feb-12


39.9

Validus

Mar-12

Property cat reinsurance (top layer)

500.0

Accordion Re*

Lancashire

Apr-12

Property cat

75.0

Timicuan Re III

RenaissanceRe

Jun-12

Property cat retrocessional, primarily Florida

73.7

Alterra

Jun-12


210.0

New Point Re V AlphaCat Re 2012

Validus

Jun-12


70.0

Lancashire Re

Nov-12

Combined exposure UNL aggregate reinsurance product

250.0

New Point Re V

Alterra Capital

Dec-12


37.0

Upsilon Re II

RenaissanceRe

Jan-13

Worldwide aggregate retrocessional reinsurance

185.0

Argo Group

Jan-13

Portfolio for both insurance and reinsurance

Undisclosed

Validus

Jan-13

Worldwide property catastrophe reinsurance and retrocession

230.0

Saltire Re I

Harambee Re AlphaCat Re 2013

Everest Re

Jan-13


250.0

K Cession

Mt. Logan Re

Hannover Re

Mar-13

Peak property cat and whole account XOL non-marine

328.0

Lorenz Re

PartnerRe

Mar-13

Worldwide property catastrophe reinsurance for select accounts

75.0

ACE

Apr-13

Worldwide property catastrophe insurance and reinsurance

95.0

Lancashire

Jul-13

Property, energy, marine, aviation and Lloyd’s

270.0

XL

Jul-13


30.0

Markel

Jul-13


215.0

Blue Capital Re. Holdings

Montpelier

Nov-13

Property catastrophe

175.0

Alpha Cat 2014

Validus

Dec-13


160.0

Altair Re Kinesis New Ocean Capital Management New Point VI

Atlas Reinsurance X Silverton Re Eden Re Altair Re II Harambee Re Upsilon RFO Pangaea IX

SCOR

Dec-13

Specific lines

56.0

Aspen Re

Dec-13

Whole account property catastrophe

65.0

Munich Re

Jan-14

Property catastrophe business

63.0

Jan-14 Worldwide property catastrophe insurance and reinsurance

95.0

ACE Argo

Jan-14

Property reinsurance

Undisclosed

RenaissanceRe

Jan-14

Worldwide aggregate retrocessional

265.0

TransRe

May-14

Retrocessional

Undisclosed

* Additional equity raise for existing vehicle

62

1

Converted at £1.00 = $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


Contact Paul Schultz Chief Executive Officer, Aon Benfield Securities +1.312.381.5256 [email protected]

About Aon Benfield Aon Benfield, a division of Aon plc (NYSE: AON), is the world‘s

Through our professionals’ expertise and experience, we advise

leading reinsurance intermediary and full-service capital

clients in making optimal capital choices that will empower

advisor. We empower our clients to better understand, manage

results and improve operational effectiveness for their business.

and transfer risk through innovative solutions and personalized

With more than 80 offices in 50 countries, our worldwide

access to all forms of global reinsurance capital across treaty,

client base has access to the broadest portfolio of integrated

facultative and capital markets. As a trusted advocate, we

capital solutions and services. To learn how Aon Benfield helps

deliver local reach to the world‘s markets, an unparalleled

empower results, please visit aonbenfield.com.

investment in innovative analytics, including catastrophe management, actuarial and rating agency advisory.

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