Insurance-Linked Securities - Aon Benfieldthoughtleadership.aonbenfield.com/Documents/20150909-ab...2015/09/09 · The 2015 edition of this annual ILS report, Alternative Markets

Risk. Reinsurance. Human Resources.

Aon Benfield

Insurance-Linked SecuritiesAlternative Markets Adapt to Competitive Landscape

September 2015

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

ForewordIt is my pleasure to bring to you the eighth edition of Aon Securities’ annual Insurance-Linked Securities

report. The study aims to offer an authoritative review and analysis of the ILS asset class, and an

overview of mergers and acquisitions activity, which represent two key areas of focus of our team.

Along with our quarterly ILS Updates, the report 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, its analyses cover the 12-month period ending June 30, 2015, during which time

substantial progress was made in the ILS market and, as per the prior year, records were established.

During the period under review, $7.0 billion of catastrophe bond issuance was secured—a decrease on

the record-breaking prior year ($9.4 billion), yet the third highest annual issuance in the sector’s history.

By June 30, 2015, catastrophe bonds on-risk had reached an all-time high, as of any June 30, of $23.5

billion, an impressive figure especially given that around $6 billion of bonds matured over the 12 months.

During this period, sponsors continued to extend coverage on catastrophe bond transactions, bringing

to market larger deal sizes, and offering investment opportunities in new territories and perils.

The 2015 edition of this annual ILS report, Alternative Markets Adapt to Competitive Landscape, covers

a wide range of topics in the ILS market, including:

§ Aon Securities’ comprehensive review of the catastrophe bond market and its key drivers;

§ A review of ILS investor activity;

§ Our exclusive Aon ILS Indices;

§ A summary of mergers and acquisitions (re)insurer activity;

§ An overview of ILS-related markets, including trends in ILW, sidecars, actively managed vehicles, surplus notes,

and subordinated debt;

§ A review of North America, Europe, and Asia Pacific activity;

§ A dedicated section on the Life and Health sector; and

§ In-depth discussions with our ILS investor panel.

In all, the catastrophe bond market has seen over $67 billion of cumulative issuance since 1996, demonstrating

its importance as a strategic and efficient risk management tool for insurers and reinsurers. Even amid an

environment of reduced spreads and increased competition from traditional (re)insurers that characterized

the period under review, ILS continues to strengthen its position within the (re)insurance industry.

We hope you will find this document useful and informative, and if you have any questions relating to the

data herein, or any queries regarding any aspect of the ILS sector, please contact me or my colleagues.

Paul Schultz,

Chief Executive Officer, Aon Securities Inc.

Contents

Aon Securities’ Annual Review of the Catastrophe Bond Market . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .1

ILS Investor Activity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .9

The Aon ILS Indices . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .13

Mergers and Acquisitions (Re)insurer Activity . . . . . . . . . . . . . . . . . . . . . .15

ILS-Related Markets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .16

North America Perils . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .22

Europe Perils . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .25

Asia Pacific Perils . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .27

Life and Health Perils . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .29

A Market Discussion with ILS Investors . . . . . . . . . . . . . . . . . . . . . . . . . . .31

Appendix I . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .41 Catastrophe Bond Issuance Statistics

Appendix II . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .47 Property Catastrophe Bonds—Transaction Summary

Appendix III . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .71 Life and Health Catastrophe Bonds—Transaction Summary

Appendix IV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .75 Summary of Sidecar Issuance

Contact . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .79

Aon Benfield 1

OverviewThe 12-month period ending June 30, 2015 was again notable

for the insurance linked-securities (ILS) market. The period

was characterized by enhanced coverage, an active mergers

and acquisitions environment and reactive traditional markets.

Annual catastrophe bond issuance totaled $7.0 billion

(Figure 1) and was the third highest of any year in market

history1. However, issuance was ultimately down 26 percent over

the prior record 12-month period, in part due to the reaction

of both traditional and collateralized reinsurance players to the

heightened competition from the catastrophe bond market.

The reduction in new catastrophe bond issuance compared

to 2014 was offset by a sizeable increase in collateralized

reinsurance participation.

Momentum from 2014, however, carried the total volume of

catastrophe bonds on-risk to a new all-time period high of

$23.5 billion (Figure 2), representing a $1 billion year-on-year

increase. Maturities for the year ending June 30, 2015 totaled

$5.9 billion, and Aon Securities remains bullish that market

growth will continue to outpace redemptions.

Aon Securities’ Annual Review of the Catastrophe Bond Market

1 Figures exclude private securitization

Figure 1: Catastrophe bond issuance by year, 2006 to 2015 (years ending June 30)

Source: Aon Securities Inc.

Figure 2: Outstanding and cumulative catastrophe bond volume, 2006 to 2015 (years ending June 30)


0

2,000

4,000

6,000

8,000

10,000

5,914

1,705

4,3824,736

6,4316,665

9,400

6,981

8,145

3,279

USD

mill

ions

Property issuance

Life and Health issuance

20142015

20132012

20112010

20092008

20072006

0

USD

mill

ion

s

Propertyoutstanding

Life and Healthoutstanding

Cumulative property issuance

Total cumulativebonds

6,558

20,867

26,78228,487

33,223

37,605

44,037

50,702

60,102

67,083

12,91116,155

13,174 13,16711,504

15,12317,788

22,42223,467

0

10,000

20,000

30,000

40,000

50,000

60,000

70,000

20142015

20132012

20112010

20092008

20072006

12,723

2 Insurance-Linked Securities

Key market drivers

Enhanced coverageSponsors continued to expand coverage on catastrophe

bond transactions. This took the form of more aggregate and

variable reset transactions, longer terms, larger transaction

sizes and new covered areas and perils, as discussed

throughout this report.

Supply and demandThe prevailing low yield environment motivated investors

to continue seeking returns in the ILS market, due to its

low correlation with the dynamics of the global economy.

In the 12 months ending June 30, 2015, there were moderate

capital inflows in aggregate across the ILS sector from

both existing and new investors. Growth in assets under

management (AUM) from some of the larger ILS managers,

such as Stone Ridge Asset Management, LLC and Elementum

Advisors, LLC, was softened by reductions in AUM from

other investors, such as Nephila Capital Ltd., Aeolus Capital

Management, Ltd., and Fermat Capital Management, LLC.

Overall, alternative capital increased modestly in Q2 2015 at

$68.4 billion2 deployed across all alternative market products.

The pause in rate decreases for some alternative markets allowed

traditional reinsurers to recapture some business. In the soft

market environment, characterized by record levels of industry

capital, insurers’ and traditional reinsurers’ operating results

have been under pressure. This has motivated some reinsurers to

consider further decreases in rates, while others have maintained

discipline in terms of price and/or coverage expansion.

Privatization of risk in peak catastrophe-exposed regionsOverall reinsurance demand in peak regions increased materially

for the second consecutive year. This was particularly notable

in Florida and other U.S. coastal areas, given the attractive risk

transfer margins offered in both the alternative and traditional

markets. As a result, a number of insurers reduced participation

in government risk transfer programs—such as the Florida

Hurricane Catastrophe Fund (FHCF)—and utilized reinsurance

capacity to depopulate policies from Citizens Property

Insurance Corporation (Florida Citizens)—a government entity

that provides insurance protection to Florida policyholders

who are entitled to, but are unable to find property insurance

coverage in the private market.

Interestingly, these same public entities have also turned to

private reinsurance capacity. Florida Citizens, a consistent

purchaser of reinsurance since 2011 is the largest beneficiary

of catastrophe bonds through its Everglades Re Ltd. and

Everglades Re II Ltd. programs based on outstanding notional

volume, as of June 30, 2015. It is also notable that the FHCF

elected to secure its first private market purchase of reinsurance

coverage, including collateralized reinsurance, for the 2015

hurricane season since the inception of the FHCF in 1994.

Below average catastrophe losses3

Global natural disasters in the calendar year 2014 combined to

cause economic losses of $132 billion—37 percent below the ten-

year average of $211 billion. In the same period, insured losses

reached $39 billion—38 percent below the ten-year average of

$63 billion and the lowest insured loss total since 2009. This trend

continued through the first half of 2015. The year 2014 was the

second consecutive calendar year with below average losses,

following 2013 losses that were 22 percent below the trailing

ten-year average.

Active mergers and acquisitions environmentGiven the organic pressure facing the P&C (re)insurance industry,

a number of companies turned to M&A to address their strategic

goals. Diversification, scale, and increased effectiveness of

capital utilization has been an important factor in recent M&A

transactions. With a number of (re)insurers focused on M&A,

some concluded it was untimely to dedicate resources to new

catastrophe bond issuances. Recent well-publicized mergers and

acquisitions in the reinsurance industry are listed on page 15—

“Mergers and Acquisitions (Re)insurer Activity.”

2 Source: Aon Securities Inc.3 Aon Benfield Impact Forecasting, “Global Catastrophe Recap: First Half of 2015”, dated July 2015 and “2014 Annual Global Climate and Catastrophe Report”, dated January 2015

Aon Benfield 3

Transaction reviewTwenty-five transactions (including one with life and one with

health exposures) closed during the 12-month period ending

June 30, 2015. This represented a decrease of 29 percent from

the prior year, in which 35 issuances closed. However, average

transaction size increased to $279 million—a new record for any

12-month period ending June 30.

U.S. exposures continued to dominate the catastrophe bond

market, with 22 of the 25 transactions comprising U.S. risk in

some capacity. From a modeled view (allocating total annual

limit by contribution to expected loss across covered regions),

North American perils represented a substantial 84 percent

of the total property issuance—a trend that is somewhat

unsurprising given that the U.S. is the world’s largest property

casualty insurance market, with an approximate 40 percent

share of global P&C written premium4. Outside of the U.S.,

dedicated Japan risk was covered in two transactions, and

stand-alone Europe risk in one transaction. As other regions

continue to develop economically and insurance penetration

increases, the alternative market is well-positioned to provide

catastrophe coverage and further its diversification. Indeed,

in July 2015 the first catastrophe bond to benefit a China (re)

insurer was issued, Panda Re Ltd. Series 2015-1, on behalf of

China Property and Casualty Reinsurance Company.

Hurricane risk continues to be the main risk ceded to the

alternative market, with the contribution to expected loss

from North America hurricane for new property catastrophe

issuances at 52 percent for the year ending June 30, 2015.

However, this figure is less than the 60 percent observed in

the prior year period due to a doubling in North America

earthquake coverage, which represented 30 percent of the

issuance for the period, based on contribution to expected

loss. Japan’s ILS share was flat at 10 percent relative to last year,

while Europe’s share decreased from 13 to 5 percent. North

America other perils, which includes severe thunderstorm,

winter storm, and wildfire, accounted for two percent of total

issuance, while the rest of the world totaled one percent.

In terms of recovery mechanisms, 70 percent of annual property

catastrophe bond deals utilized indemnity triggers. On a notional

limit basis this trend has steadily progressed from less than

50 percent of annual issuance in 2012, to 72 percent today—

an impressive increase over a short period of time. Aon Securities

views this trend as the result of investors’ deepening relationships

with those sponsors that have come to market year-after-year,

resulting in their increased confidence to accept indemnity risks.

Additionally, the soft market has also allowed other sponsors

to push the market in terms of indemnity coverage. With the

increasing prevalence of indemnity triggers, Aon Securities has

witnessed a growing sponsor comfort with catastrophe bond

subject business and expert risk analysis report disclosures and, in

turn, investor sophistication to interpret more robust information

under an underwriter’s lens.

Competitive market conditions for insurance risks also

manifested in the coverage period lengths sponsors secured

for transactions. The weighted average property catastrophe

bond risk period in a given issuance year climbed to 3.4 years

in 2015 from 3.3 in 2014, 3.2 in 2013, and 3.0 in 2012. Looking

specifically at transactions over four years, this shift is even

more apparent as 19 percent of property catastrophe bond

limit placed in the 12-month period under review was issued

with a scheduled redemption date more than four years away.

This figure was only 5 percent for the same period in 2014.

Although longer tenured bonds are not novel developments in

our market, they have re-emerged in the property catastrophe

sector since the financial crisis. Structural innovations such as

variable resets, which grant further flexibility over a bond’s

layer, provide more comfort to sponsors seeking a longer term;

additionally, the ability to lock-in multi-year known pricing in a

historically favorable rate environment may also be a factor in

the increase in weighted average term issuance.

In all, 23 different sponsors utilized catastrophe bonds in

the annual period under review, two of which, American

International Group, Inc. and United Services Automobile

Association, did so across multiple transactions. Of note,

issuance from government pools and trusts increased on a

notional basis to 32 percent of the total property catastrophe

issuance for the 12 months ending June 30, 2015—up from 21

percent last year. This growth is particularly impressive given

the $1.5 billion Florida Citizens transaction that closed in 2014

and its relatively smaller 2015 transaction of $300 million.

Other government-affiliated sponsors, such as the California

Earthquake Authority and the Texas Windstorm Insurance

Association, have also found value in alternative capital as

evidenced by their return to the market to utilize greater

capacity. As a result, in the period under review annual issuance

from governmental sponsors surpassed the $2 billion threshold

for the first time in market history and remains a key source of

growth for the market going forward.

4 Aon Benfield, Insurance Risk Study “Growth, profitability and opportunity”, ninth edition 2014, dated September 2014


Third quarter 2014Coinciding with the middle of the Atlantic hurricane season

and falling between major reinsurance renewals dates, the

third quarter typically sees the least catastrophe bond issuance

volume over a year.

In line with this trend, a single transaction closed during the

historically quiet third quarter of 2014.

Golden State Re II Ltd. Series 2014-1 (Golden State Re II)

replaced the maturing Golden State Re Ltd. Series 2011-1

transaction for the State Compensation Insurance Fund (SCIF).

Golden State Re II provides SCIF coverage with an increased

limit of $250 million and term of 4.3 years ($50 million and

1.2 years more than before). The bond’s trigger is again

based on modeled losses to a notional insurance portfolio

of workers’ compensation risks from the peril of earthquake.

Although the covered area is nationwide, the contribution

to expected loss from outside California is less than 0.01

percent. Pricing for the new issuance settled 40 percent

below the prior transaction at 2.20 percent, demonstrating

significant compression from the 2011 issuance.

Table 1: Third quarter 2014 catastrophe bond issuance

Beneficiary Issuer Series Class Size (millions) Covered perils Trigger Collateral

State Compensation Insurance Fund Golden State Re II Ltd. Series 2014-1 Class A $250 U.S. EQ Modeled loss MMF

Total $250

Source: Aon Securities Inc. LegendU.S. — United StatesEQ — Earthquake

Aon Benfield 5

Fourth quarter 2014Six transactions closed during the fourth quarter of 2014,

totaling $2.1 billion—the largest property issuance of any fourth

quarter to date. All sponsors were returners to the catastrophe

bond market, three for the second time that calendar year.

A selection of transactions issued in the fourth quarter of

2014 includes:

Everest Reinsurance Company’s (Everest Re) Kilimanjaro

Re Limited Series 2014-2 Class C, which was the sponsor’s

second time in the market during calendar year 2014. The

notes provide Everest Re with $500 million of earthquake

coverage in the U.S. and Canada, representing the largest

transaction with a term of five years, to exclusively cover

earthquakes, and equal to the largest transaction for a

reinsurer since the inception of the catastrophe bond market;

The California Earthquake Authority (CEA) return to the

catastrophe bond market via a new notes program, Ursa

Re Ltd. The latest transaction for the CEA is its largest by

$100 million and provides California earthquake indemnity

coverage on an annual aggregate basis. Further evidence

of rate compression is seen in comparison between past

Embarcadero Reinsurance Ltd. (Embarcadero Re) transactions

and the latest Ursa Re Ltd. issuances. Specifically, the multiple

of expected loss (interest spread over expected loss) dropped

from 3.3x in Embarcadero Re Series 2012-I Class A to 2.0x

in Ursa Re Ltd. Series 2014-1 Class B—both tranches having

similar levels of expected loss; and

Nakama Re Ltd.’s Series 2014-2 issuance, which provides

National Mutual Insurance Federation of Agricultural

Cooperatives (Zenkyoren) $375 million in coverage split

between a four-year per occurrence and five-year with

floating three-year term aggregate structure. The Class 2

notes are the market’s first Japan term aggregate tranche and

the first five-year tranche for Zenkyoren.

Table 2: Fourth quarter 2014 catastrophe bond issuance


Everest Reinsurance Company Kilimanjaro Re Limited Series 2014-2 Class C $500 NA EQ Industry index MMF

California Earthquake Authority Ursa Re Ltd. Series 2014-1Class A $200

CAL EQ Indemnity MMFClass B $200

United Services Automobile Association Residential Reinsurance 2014 Limited Series 2014-II Class 4 $100

U.S. HU, EQ, ST, WS, WF,

VE, MIIndemnity MMF

Amlin AG Tramline Re II Ltd. Series 2014-1 Class A $200 U.S. HU, EQ & EU Wind Industry index MMF

American International Group, Inc. Tradewynd Re Ltd. Series 2014-1

Class 1-B $100 NA/MEX/CB/

Gulf HU & NA/MEX/CB EQ

Indemnity MMFClass 3-A $100

Class 3-B $300

National Mutual Insurance Federation of Agricultural Cooperatives Nakama Re Ltd. Series 2014-2

Class 1 $175 JP EQ Indemnity MMF

Class 2 $200

Total $2,075

Source: Aon Securities Inc. Legend CAL — CaliforniaCB — CaribbeanEU — Europe JP — Japan MEX — MexicoNA — North AmericaU.S. — United States

EQ — EarthquakeHU — HurricaneMI — Meteorite ImpactST — Severe ThunderstormVE — Volcanic EruptionWF — WildfireWS — Winter Storm


First quarter 2015Catastrophe bond issuance for the calendar year 2015 began

with an active first quarter. Eight transactions resulted in a

combined $1.7 billion of coverage—the most of any first quarter

in the market’s history. Additionally, $3.9 billion of bonds came

off-risk during the period, which is also a record for the most

maturities in any quarter.

A selection of transactions issued in the first quarter of

2015 includes:

Atlas IX Capital Limited, which provides SCOR P&C SE

(SCOR) with $150 million in industry index coverage for

U.S. hurricane and North America earthquake coverage,

with Canada earthquake risk being a new addition. The

annual aggregate transaction utilizes European Bank of

Reconstruction Development Medium term notes as

collateral. The transaction closed at the low end of

marketed spread guidance;

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

Marine) again issuing under its Kizuna Re II Ltd. program in

the first quarter. The transaction provides ¥35.0 billion

($294 million) in Japan earthquake coverage at a more remote

level than the 2014 issuance. With an expected loss of 0.018

percent, the notes are rated “BBB-” by S&P, and for the first

time for the insurer are denominated in Japanese yen. This is

the largest Japanese yen transaction for the catastrophe bond

market to date;

New sponsor, Safe Point Insurance Company, entering the

market in March with the first Florida-only hurricane bond of

2015—a region which represented approximately a third of

the total issuance of calendar year 2014 on a contribution to

expected loss basis. The transaction, Manatee Re Ltd. Series

2015-1 provides $100 million in coverage on an indemnity

basis; and

State Farm Fire and Casualty Company (State Farm) raising

$300 million of New Madrid earthquake indemnity coverage

for the third consecutive year. This brings State Farm’s New

Madrid coverage to a total of $900 million. The latest issuance

from State Farm includes an innovative extension event,

which allows a reduced extension interest spread of ten basis

points if the loss estimate is within the reinsured layer or a loss

payment has been made. This feature subsequently appeared

in a number of transactions in the second quarter.

Table 3: First quarter 2015 catastrophe bond issuance


Aetna Life Insurance Company Vitality Re VI Limited Series 2015-1Class A $140 U.S. Medical

Benefits Ratio Indemnity MMFClass B $60

Catlin Insurance Company Ltd. Galileo Re Ltd. Series 2015-1 Class A $300 U.S. HU, NA EQ, EU Wind Industry index MMF

SCOR Global P&C SE Atlas IX Capital Limited Series 2015-1 Class A $150 U.S. HU, NA EQ Industry index EBRD

Chubb Group of Insurance Companies East Lane Re VI Ltd. Series 2015-1 Class A $250 Northeast HU,

EQ, ST, WS, WF, VE, MI

Indemnity MMF

Tokio Marine & Nichido Fire Insurance Co., Ltd. Kizuna Re II Ltd. Series 2015-1 Class A ¥35,000

($294)* JP EQ Indemnity MMF

Safepoint Insurance Company Manatee Re Ltd. Series 2015-1 Class A $100 FL HU Indemnity MMF

Münchener Rückversicherungs-Gesellschaft Aktiengesellschaft Queen Street X Re Limited $100 U.S. HU,

AUS CYIndustry index;

modeled loss MMF

State Farm Fire and Casualty Company Merna Re Ltd. Series 2015-1 Class A $300 New Madrid EQ Indemnity MMF

Total $1,694

Source: Aon Securities Inc. *converted at 1¥ = $0.0084 as of March 26, 2015

LegendAUS — Australia EU — Europe FL — Florida JP — JapanNA — North America U.S. — United States

CY — CycloneEQ — Earthquake HU — Hurricane MI — Meteorite ImpactST — Severe ThunderstormVE — Volcanic EruptionWF — WildfireWS — Winter Storm

Aon Benfield 7

Second quarter 2015The second quarter of 2015 saw $3.0 billion of catastrophe

bond issuance through ten transactions and the entrance of

first-time sponsor UnipolSai Assicurazioni S.p.A. Additionally, in

the second quarter life and health issuance for the first half of

the calendar year reached the highest level since 2007 with the

issuance of AXA Global Life’s (AXA) extreme mortality bond.

A selection of transactions issued in the second quarter of

2015 includes:

Heritage Property & Casualty Insurance Company’s (Heritage)

third transaction under its Citrus Re Ltd. program, which again

covers Florida hurricane risk on an indemnity basis. This time,

however, newly introduced Class B and C notes are positioned

relatively lower in the reinsurance tower to replace part of

Heritage’s FHCF reinsurance cover. Overall, Heritage was able

to reduce its reliance on the FHCF and secure competitive

coverage through use of the alternative markets;

AXA’s France, Japan, and U.S. extreme mortality transaction

Benu Capital Limited, which provides €285 million ($310

million) in coverage. This is AXA’s first extreme mortality

catastrophe bond since 2006 and its fifth issuance overall.

The trigger is mortality index-weighted by age and gender

over a five-year term; and

The Texas Windstorm Insurance Association (TWIA) again

returned to the catastrophe bond market with Alamo Re Ltd.

The indemnity-triggered annual aggregate Texas hurricane

transaction significantly increased in capacity compared

to the prior year’s transaction, closing at $700 million in

coverage across two classes and represents a 75 percent

increase in limit from 2014. TWIA receives coverage via a

reinsurance agreement with Hannover Rück SE, which in turn

has a retrocession agreement with Alamo Re Ltd.

Table 4: Second quarter 2015 catastrophe bond issuance


Heritage Property & Casualty Insurance Company Citrus Re Ltd. Series 2015-1

Class A $150

FL HU Indemnity MMFClass B $98

Class C $30

Louisiana Citizens Property Insurance Corporation Pelican III Re Ltd. Series 2015-1 Class A $100 LA HU Indemnity MMF

AXA Global Life Benu Capital LimitedClass A €135 ($147)* FR/JP/U.S.

Mortality Parametric index EBRDClass B €150 ($163)*

Massachusetts Property Insurance Underwriting Association Cranberry Re Ltd. Series 2015-1 Class A $300 MA HU, ST, WS Indemnity MMF

Citizens Property Insurance Corporation Everglades Re II Ltd. Series 2015-1 Class A $300 FL HU Indemnity MMF

Texas Windstorm Insurance Association Alamo Re Ltd. Series 2015-1Class A $300

TX HU Indemnity MMFClass B $400

The Travelers Indemnity Company Long Point Re III Ltd. Series 2015-1 Class A $300 Northeast HU, EQ, ST, WS Indemnity MMF

United Services Automobile Association Residential Reinsurance 2015 Limited Series 2015-I

Class 10 $50 U.S. HU, EQ, ST, WS, WF,

VE, MIIndemnity MMF

Class 11 $100

American International Group, Inc. Compass Re II Ltd. Series 2015-1 Class 1 $300 U.S. HU Parametric index MMF

UnipolSai Assicurazioni S.p.A Azzurro Re I Limited Class A €200 ($225)** EU EQ Indemnity EBRD

Total $2,962

Source: Aon Securities Inc. *converted at €1 = $1.0873 as of April 24, 2015 **converted at €1 = $1.1244 as of June 17, 2015

LegendEU — Europe FL — FloridaFR — FranceJP — JapanLA — Louisiana MA — Massachusetts TX — TexasU.S. — United States

EQ — EarthquakeHU — HurricaneST — Severe ThunderstormVE — Volcanic EruptionMI — Meteorite ImpactWF — WildfireWS — Winter Storm


OutlookThe traditional market responded to the recent progress of the

alternative market by providing competitive pricing and multi-

year expanded coverage. As a result, some key catastrophe bond

sponsors elected to turn to the traditional and/or collateralized

markets. On the investor side, we see continued growth in

allocations to collateralized reinsurance, driven by higher returns

and access to broader risks. These trends are a strong sign of the

role for alternative capital within the broader risk transfer market.

The lines drawn between traditional and alternative markets

have continued to blur as coverage converges. The efficiencies

of the capital markets to price risk have emerged as a driver of

the overall market. Sponsors have been the beneficiaries and we

expect they will continue to benefit from this competition, while

investors are finding more ways to participate and develop long-

term relationships.

Despite catastrophe bond issuance for the first half of 2015 trailing

the record first half of 2014, the market made positive steps

forward and is expected to end the calendar year 2015 with $6

to $7 billion in issuance. Current pricing trends are expected to

continue in 2016 in the absence of substantial catastrophic events

that disrupt the supply of capital.

Figure 3: Catastrophe bond issuance by half-year 2008 – 2015


0

1,000

2,000

3,000

4,000

5,000

6,000

7,000

8,000

9,000

20152014201320122011201020092008

3,588

2,692

3,973

5,902

4,656

3,498

2,325

2,843

2,625

2,086320

1,757

2,6502,510

1,385

USD

mill

ion

s

July - DecemberJanuary - June

Aon Benfield 9

Capacity providers5

Figure 4: Investor by category (years ending June 30)


ILS Investor Activity

5 Aon Securities’ analysis of investor category includes only those transactions in which the firm participated

6 Aon Securities’ analysis of geographic attributes includes only those transactions in which the firm participated

The source of capacity for ILS transactions was

fairly stable year-on-year. Dedicated catastrophe

funds remained the largest providers of capacity

and increased their market share slightly to

47 percent in the year ending June 30, 2015. The

market share for institutional investors was also

stable for the period. As expected, hedge fund

investors’ share decreased due to lower returns

expectations. Reinsurers slightly increased their

share of the catastrophe bond market to 10

percent compared to 6 percent in the prior year

period. Mutual funds decreased their market

share, with some focused on setting-up, or

growing interval fund structures, which allow

mutual funds to invest in less-liquid transactions

such as industry loss warranties (ILW),

collateralized reinsurance, and sidecars.

2014

Institutional ReinsurerMutual Fund Hedge FundCatastrophe Fund

2015

32%

2%

9%

10%

47%

32%

6%

11%

5%

46%

Capital origins6

Figure 5: Investor by country/region (years ending June 30)


20142015

28%

14%

13%

11%

34%

9%

26%

7%

11%

47%

UK SwitzerlandBermuda OtherU.S. The geographic mix of catastrophe bond

investors in 2015 varied significantly from 2014.

The U.S. continued to be the main source of

capital; however, its overall share decreased

considerably from 47 percent to 34 percent year-

on-year as a result of the reduced participation

from hedge funds and mutual funds. Bermuda

increased its participation in the 12 months

under review, which is in line with the increase

in participation from reinsurers and new

catastrophe bond mandates from dedicated

catastrophe funds domiciled on the island.

Other regions with increased market share

in 2015 included the UK and Germany, while

participation from Asia decreased.


General market trendsThird quarter 2014On June 30, 2014 the Financial Industry Regulatory Authority

(FINRA) began publicly disseminating trading activity of

Rule 144A transactions, of which most catastrophe bonds

are a subset. Although secondary market catastrophe bond

traders working for U.S. broker dealers had been required to

report trades for many years, this information had previously

never been disseminated to market participants. According to

FINRA, Rule 144A transactions comprised nearly 20 percent

of the average daily volume in the corporate debt market as

a whole. Steven Joachim, FINRA’s Executive Vice President,

Transparency Services commented: “We’re excited to increase

transparency in this opaque market. The information will help

professional investors and contribute to more efficient pricing of

these securities, as well as inform valuation for mark-to-market

purposes.”7 Although the new rule covers only U.S. broker

dealers and issuances with CUSIPs, and trade volume disclosures

are capped at $1 million for high yield securities or $5 million for

investment grade securities, this is no doubt a step in the right

direction for the market in terms of transparency.

In contrast to the third quarter of 2013—the most active issuance

for a third quarter on record—the third quarter of 2014 was

relatively quiet. One catastrophe bond, Golden State Re II,

closed in the quarter. Given the lack of primary issuances, most

investors employed a “buy and hold” strategy, reflected by

the low trading volumes in the secondary market. Buyers far

outnumbered sellers in the period and Aon Securities’ trading

desk received relatively strong bids for most bonds on risk.

However, investors as a whole were not inclined to sell given

the general lack of opportunity to replace bonds in the portfolio

with new issues. During the third quarter of 2014, Aon Securities

estimates $1.0 to $1.4 billion of catastrophe bonds were traded.

The quarter saw a healthy level of interest from new investors

entering the ILS market on a direct basis. One new Japanese

investor opened a trading account with Aon Securities and

participated in its first catastrophe bond trade during the

quarter. Additionally, five new investors worked to establish

a trading relationship with Aon Securities.

Hurricane Odile struck the Baja California Peninsula in

September. The storm became the strongest tropical cyclone to

make landfall on the peninsula since 1967’s Hurricane Olivia. The

market speculated the event could cause a 50 percent principal

reduction to the MultiCat Mexico Limited Series 2012-I

Class C notes. There was a lot of discussion around trading

the notes, with many investors reflecting on bids and offers.

Ultimately, however, trading was limited as the bid/ask spread

remained fairly wide. The market learned in the fourth quarter

that the notes would not suffer any loss of principal when

the National Hurricane Center’s Best Track data showed the

storm did not cross the covered area boundary at the required

barometric threshold to trigger the bond. As a result, pricing

quickly recovered.

Fourth quarter 2014 Demand from investors for new issuance in the catastrophe

bond market remained strong as 2014 came to a close.

Investors secured $2.3 billion in the second half of 2014 via the

primary market. With a record amount of bonds outstanding

in the catastrophe bond market and $5.47 billion maturing in

the first half of 2015, investors sought to make room for new

deals in their portfolios by selling short-dated positions in

the secondary market. The active secondary market enabled

investors to access more product and ultimately increased

support in the primary market.

After the U.S. hurricane season came to a close, most trading

throughout the quarter involved hurricane transactions with

less than six months until maturity. Specifically, institutional

investors sought to purchase these securities to achieve yields

higher than would be realized by holding cash or cash-like

instruments. Sellers used the liquidity provided to invest via

the new issue market and extend portfolio duration.

The liquidity witnessed for short-dated transactions in the

quarter did not translate across the entire secondary market.

Trading of longer-dated and low yielding transactions was

somewhat tepid. This reflected the lack of higher-yielding

primary issuance that closed over the prior 24 months. Investors

were able to source remote risks in the primary market, and as a

result had less demand to purchase similar risks in the secondary

market. As a result, investors looking to rebalance portfolios

away from remote risks had difficulty finding attractive bids. The

lack of supply for higher-yielding deals in the secondary market

allowed sponsors to upsize primary issuances, such as Amlin

AG upsizing its Tramline Re II Ltd. Series 2014-1 issuance below

initial interest guidance.

7 FINRA press release dated June 30, 2014

Aon Benfield 11

Strong demand from investors resulted in many sponsors

increasing the size of primary issuances from marketed

guidance. Despite no new sponsors accessing the market during

the fourth quarter, a number of returning sponsors brought

perils and terms not seen in their previous transactions. For

instance, Everest Re’s North America earthquake transaction,

Kilimanjaro Re Limited Series 2014-2 Class C, followed the

successful placement of its Southeast named storm transaction

and North America multi-peril transaction earlier in 2014. As

another example, Zenkyoren utilized a rolling term aggregate

structure to cover Japan earthquake exposures. Sponsors

maximized capacity by pursuing different coverages from their

previous transactions.

During the quarter, investors became concerned about a

potential loss on American Strategic Insurance Group’s Gator

Re Ltd. Series 2014-1 transaction. Estimated losses began

to approach the attachment level during the quarter. On

December 19, $20 million in aggregate, (10 percent of the

limit), traded at a price level of 80.00. By the end of the quarter,

however, the price began to rebound following the risk period

reset at year-end.

Several ILS investors were active in launching new vehicles.

Pioneer Investments launched its Pioneer ILS Interval Fund,

allowing them to participate in more illiquid reinsurance

investments such as collateralized reinsurance and sidecars,

in addition to catastrophe bonds. Interval funds have become

increasingly popular vehicles for mutual funds investing in

alternative assets. These funds offer redemptions only at specific

time frames (usually quarterly). Stone Ridge Asset Management

was the first ILS manager to set up this type of investment vehicle.

In contrast to Pioneer Investment’s launch targeting illiquid

investments, AlphaCat Managers Ltd. launched its BetaCat Fund

Ltd.—a low-cost, passive fund strategy which invests in all new

property catastrophe bond issuances.

Credit Suisse Asset Management became the first ILS asset

manager with a rated vehicle, with the launch of Kelvin Re

Limited (Guernsey). The $600 million carrier, which has a financial

strength rating of “A-” by A.M. Best, is funded by the Abu Dhabi

Investment Council. The carrier is targeting a lower expense

ratio compared to the industry in order to manage profitability.

Setting up a rated vehicle seems to be a natural evolution for ILS

investors seeking lines on traditional reinsurance programs. A

rated carrier provides flexibility for an asset manager to offer both

collateralized and rated options to cedants. This in turn provides

the manager with the ability to source broader risk opportunities.

First quarter 2015Given recent high volumes of transactions with low coupons,

investors were pleased to see two bonds with relatively high

coupons kick-start the year’s issuance. As a result of investor

demand for high yielding deals, both Galileo Re Ltd. Series 2015-1

A and Atlas IX Capital Limited closed at the low end of guidance.

Secondary markets continued to be active in the first quarter of

2015 as investors had excess capital to deploy from $3.9 billion

of catastrophe bond maturities throughout the quarter. Similar

to Q3, short-dated bonds were especially active as investors

sought to reallocate capital to primary issuances. A marked

decrease in demand for low yielding bonds was evident as

spreads for bonds with attachment probabilities less than 1.5

percent widened by an average of 20 basis points in the quarter.

Demand for Florida risks also decreased as a number of primary

issuances were marketed later in the quarter with the stand-

alone risk. Europe windstorm transactions saw strong demand,

due to a relatively limited supply of the risk in the market.

In late March, AQR Capital Management announced it

was closing the doors on its reinsurance platform, AQR Re

Management, due to concerns over the ability to deliver the

desired returns while participating in quality business. AQR

Re’s website stated that “While the diversification benefits and

relative returns of reinsurance as an asset class remain attractive,

we have come to the conclusion that consolidating market

dynamics will make it increasingly difficult to put larger amounts

of capital to work and achieve attractive risk-adjusted returns

for our investors”. AQR Re ceased writing new and renewal

business after April 1, 2015.

Second quarter 2015 In the primary market, investors sourced a variety of U.S.

regional risks and other diversifiers. Investors welcomed these

deals into portfolios, and the majority of transactions upsized

during the quarter. Regional catastrophe bonds enabled

investors to construct a diversified portfolio with more granular

risk profiles than investing in broadly exposed bonds. With the

primary issuance cycle focused in regional transactions during

the quarter, investors utilized the secondary market to rebalance

portfolios. U.S. multi-peril bonds were offered by funds looking

to redeploy their capital into new primary catastrophe bond

issuances and collateralized reinsurance transactions. U.S. multi-

peril bonds’ seasonally-adjusted spreads widened by 25 basis

points as a result of selling pressure during the quarter.


Florida-exposed transactions were under pressure in the

secondary market early in the quarter as investors anticipated

primary Florida-based transactions Everglades Re Ltd. Series

2014-1, in particular, traded an estimated $250 million in the

month as investors looked to diversify their holdings away

from this widely held bond (which at quarter-end represented

6 percent of the catastrophe bond market). However, after

the initial interest spread guidance of the Everglades Re II Ltd.

Series 2015-1 bond failed to attract investor interest, the 2014

transaction showed an increase in demand driving its yield lower.

Trading in the 2014 issuance represented approximately

10 percent of trading volume in the secondary market—estimated

between $2.4 billion and $2.6 billion during the quarter.

Aon Securities continued to see a general selling of remote

risk transactions as investors sought to boost portfolio

returns. Investors with lower return hurdles and/or well-

diversified portfolios were large buyers of these lower yielding

transactions. In the quarter, there were strong bids for life-

related transactions, with $70 million of mortality bonds

ultimately trading. After the issuance of Benu Capital Limited,

demand reduced slightly.

Outlook Secondary bid spreads closed slightly up for the period under

review, driven primarily by increases in spreads for low yielding

transactions. Of note, 70 percent of the primary market volume

for this 12-month period was issued with an interest spread of 5

percent or below. Aon Securities believes pricing for remote risks

has stabilized. However, investors are signaling that they would

like to see more risk in the market. Investors increasingly value the

ability to enhance portfolio yield and construct more granular risk

profiles. Further, we expect demand for regional risks to continue,

following the large volume of wind pools accessing the market

during the first half of 2015.

Institutional capital continues to enter the market particularly via

managed sidecar funds and hedge fund reinsurance strategies.

While some ILS funds that focus on collateralized reinsurance

and catastrophe bonds have returned capital to investors,

other funds advisors continue to attract assets signaling that

institutional investors find value in the low correlated returns that

ILS strategies provide.

Traditional reinsurance markets reported moderately decreasing

rates that seem to be stabilizing at the U.S. wind renewal

season in June/July 2015. Catastrophe bond issuance volumes

may be impacted if there is a decoupling of rates between the

competing markets.

Aon Benfield 13

The Aon ILS Indices are calculated by Bloomberg using month-end price data provided by Aon Securities Inc.

During the 12-month period under review, the Aon ILS Indices

posted positive results. The All Bond and BB-rated Bond

Indices were positive for the year with gains of 2.80 percent

and 1.29 percent, respectively. The U.S. Hurricane and U.S.

Earthquake posted positive results for the year of 5.61 percent

and 2.60 percent. The Aon All Bond Index outperformed

relative to comparable fixed income benchmarks. However,

the Aon ILS Indices underperformed the S&P 500 index

during the past year.

The annual returns for all Aon ILS Indices underperformed the

prior one year returns as keeping pace with the historic average

annual returns remains challenging given the current market

environment. However, the 10-year average annual return of

the Aon All Bond ILS Index was 8.23 percent—again producing

superior returns relative to the other benchmarks. This

demonstrates the value a diversified book of pure insurance

risks can bring long term to investors’ portfolios.

Table 5: Aon ILS Indices8

Index title Return for annual period ended June 30 5 yr average annual return 10 yr average annual return

Aon ILS Indices 2015 2014 2010-2015 2005-2015

All Bond Bloomberg Ticker (AONCILS)

2.80% 8.27% 7.57% 8.23%

BB-rated Bond Bloomberg Ticker (AONCBB)

1.29% 5.79% 5.57% 6.54%

US Hurricane Bond Bloomberg Ticker (AONCUSHU)

5.61% 8.74% 8.95% 9.73%

US Earthquake Bond Bloomberg Ticker (AONCUSEQ)

2.60% 4.28% 5.13% 6.33%

Benchmarks

3-5 Year U.S. Treasury Notes Index 2.05% 1.75% 2.25% 3.98%

3-5 Year BB Cash Pay U.S. High Yield Index 2.18% 10.11% 7.70% 7.15%

S&P 500 5.25% 22.04% 14.88% 5.64%

ABS 3-5 Year, Fixed Rate Index 2.36% 3.91% 4.00% 3.57%

CMBS 3-5 Year, Fixed Rate Index 2.21% 4.26% 5.66% 6.44%

The Aon ILS Indices

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

The 3-5 Year BB Cash Pay 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.

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

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

The CMBS 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.

The 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 indices.

While the information in this document has been compiled from sources believed to be reliable, Aon Securities has made no attempts to verify the information or sources. This information is made available “as is” and Aon Securities makes no representation or warranty as to the accuracy, completeness, timeliness or sufficiency of such information, and as such the information should not be relied upon in making any business, investment or other decisions. Aon Securities undertakes no obligation to update or revise the information based on changes, new developments or otherwise, nor any obligation to correct any errors or inaccuracies in the information. Past performance is no guarantee of future results. This document is not and shall not be construed as (i) an offer to sell or a solicitation of an offer to buy any security or any other financial product or asset, or (ii) a statement of fact, advice or opinion by Aon Securities.


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: Historical performance of Aon ILS Indices

Source: Aon Securities Inc., Bloomberg

Figure 7: Aon All Bond index versus financial benchmarks


Aon ILS U.S. EQAon ILS BB IndexAon ILS IndexAon ILS U.S. Hurricane

June 2005

June 2007

June 2006

June 2009

June 2008

June 2010

June 2011

June 2012

June 2013

June 2014

June 2015

-60%

20%

100%

180%

260%

CMBS 3-5 Year, Fixed Rate IndexS&P 500ABS 3-5 Year, Fixed Rate Index

3-5 Year BB Cash Pay U.S. High Yield IndexAon All Bond ILS Index

3-5 Year U.S. Treasury Notes Index

-60%

20%

100%

180%

260%

June 2005

June 2006

June 2007

June 2008

June 2009

June 2010

June 2011

June 2012

June 2013

June 2014

June 2015

Aon Benfield 15

A significant amount of M&A activity was seen in the

(re)insurance space over the 12 months to June 30, 2015,

across non-life, life and health companies, and lines of

businesses globally. According to Capital IQ, the global

insurance sector M&A deal volume through the first seven

months of 2015 totaled $73.3 billion with 461 deals, compared

to $16.8 billion and 387 deals for the same period of 2014—

a deal value increase of 336 percent. As discussed earlier

in this report, the focus on this activity led some (re)insurers

to conclude it was not the right time to dedicate resources

to a new catastrophe bond issuance.

The recent increase in M&A activity has been driven by the

acquirers’ desire to expand (i) geographically (e.g. Tokio Marine

Holdings/HCC Insurance Holdings), (ii) into new products or

distribution channels (e.g. RenaissanceRe Holdings/Platinum

Underwriters Holdings) and (iii) to achieve scale and stronger

client relationships (XL Group/Catlin Group). Additionally, the

challenging organic environment caused by low interest rates,

excess capital, fierce competition from new alternative capital,

among others, is driving acquirers to become more efficient and

effective in utilizing existing capital. Finally, hedge funds continue

to assess opportunities to expand into the insurance sector. These

asset managers’ unique investment expertise can mitigate the

risks associated with the current low interest rate environment.

Aon Securities believes that this acquisition motivation will

continue into the near future.

Table 6 highlights recent selected activity in the (re)insurance

space, and includes transactions that extend beyond the primary

period under review.

Table 6: Select (re)insurance M&A activity

Acquirer Target Rationale TimingPrice

(millions)

RenaissanceRe Holdings

Platinum Underwriters Holdings

Broader client base.

Accelerated U.S. platform growth.

The agreed offer was struck at a price-to-book multiple of 1.1x and a 24% premium to the prevailing share price.

Closed March 2,

2015

$1,900

XL Group Catlin Group XL Group plc is the ultimate parent, operating as ‘XL Catlin’.

Establishes a premier specialty insurance platform.

Closed May 1, 2015

$4,228

Endurance Specialty Holdings

Montpelier Re Increased scale and market presence, with new strategic capabilities added to Endurance (Lloyd’s and Blue Capital).

Equated to 1.21x Montpelier fully converted book value per common share at December 31, 2014.

Diversified platform across products and geographies.

Closed July 31, 2015

$1,830

Exor PartnerRe April 14: Italian investment manager EXOR made unsolicited all-cash offer to acquire 100% of PRE for $130 per share.

EXOR is PRE’s largest shareholder (spent ~$600 million to acquire 9.9%).

May 12: offer increased to $137.50 per share.

July 7: enhanced terms including promise to pay PRE shareholders the value of $315 million AXS/PRE break-up fee (~$6.39 per share), 100 basis point increase on preferred share dividend and extension not to redeem until at least 2021, and “go-shop” provision.

July 20: adds special dividend of $3.00 per share ($140.50 total offer).

Aug 3: Definitive agreement.

Expected close Q4

2015

$6,900

Tokio Marine Holdings

HCC Insurance Holdings

Enhancement of Tokio Marine Holdings’ specialty P&C business in U.S. and internationally

The purchase price represents a P/TBV multiple of 2.51x based on HCC Insurance Holdings’ Q1 2015 tangible book value

Expected close Q4

2015

$7,500

ACE Ltd Chubb Corp Creating a global leader in commercial and personal P&C insurance.

Balance sheet strength: combined total equity of almost $46bn and total assets of $150bn at the end of 2014.

Total consideration of $28.3bn represents a ~30% premium to the share price at June 30 and values Chubb at 1.76x book value.

Expected close Q1

2016

$28,300

Source: Company press releases

Mergers and Acquisitions (Re)insurer Activity

9 Source: Bloomberg


Current market trends affecting M&A activity(Re)insurer stock price performance and valuation multiples

continue to be positive. As summarized in the Aon Securities

Weekly Public Market Recap, most global reinsurers’ and

insurers’ stock prices and valuation multiples have continued

to appreciate. One reason for this positive performance is the

continued strength in earnings from a benign catastrophe

environment and stable loss reserve releases. Another

potential driver of the recent appreciation is investors’

increased M&A expectations.

Continued pressure on underlying organic results will drive

additional M&A. Whether the pressure on earnings and

returns is from new alternative capital market capacity or

from traditional challenges (e.g. low interest rates, reduced

favorable reserve development, excess capital, etc.), the need

for improved capital utilization and operational efficiencies will

increasingly stimulate buyers’ interest.

Investors are accepting TBV dilution for transactions with

compelling strategic rationale. Despite meaningful tangible

book value dilution, investors have been very supportive of

M&A transactions with meaningful strategic value.

Increasing foreign (especially Asian) interest in the (re)insurance

market stemming from these companies’ desire to achieve

diversification and augmented assets under management.

Increased competition and low global interest rates have

led foreign buyers to search for geographic and investment

diversification, as well as yield. This desire has driven them to

focus on (re)insurance companies in mature markets, such as

Tokio Marine Holdings’ acquisition of HCC Insurance Holdings.

Over the near term, Aon Securities expects M&A activity to

continue at historically high levels as companies seek to satisfy

their strategic, diversifying and asset gathering objectives

through acquisition.

Aon Benfield 17

Quota share sidecarsEight quota share sidecar transactions closed during the

12 months under review, totaling $955 million for the seven

that disclosed sizes, as shown in Table 7. The majority of these

transactions were renewals of existing sidecars, including the

expansion of Silverton Re Ltd. and Eden Re Ltd., which both

increased in size year-over-year. In addition to the renewal

of Eden Re Ltd., Münchener Rückversicherungs-Gesellschaft

Aktiengesellschaft (Munich Re) sponsored a second sidecar—

Eden Re II Ltd. during the 12-month period under review.

Validus Holdings, Ltd. returned for the fifth consecutive

year, securing $155 million for AlphaCat 2015, Ltd. The latest

sidecar is in addition to the $409 million in capital raised for its

managed sidecar—AlphaCat ILS Funds. The renewals of these

sidecars demonstrate the strengthening partnership between

reinsurers and alternative markets. In addition, Brit PLC (Brit)

re-joined the group of (re)insurance firms utilizing third-party

capital through its Versutus Ltd. sidecar. The transaction

provides investors with access to Brit’s worldwide property

catastrophe reinsurance business. In 2007, Brit accessed

alternative capital with its Fremantle Ltd. and Norton Re Ltd.

transactions. It is also worth noting that Hannover Re increased

its quota share facility to $400 million. For 2015, K-Cessions

includes non-proportional reinsurance treaties, aviation, marine

and energy risks.

Figure 8: Alternative market development

Figure 9: Global reinsurer capital

Table 7: Quota share sidecars launched during 12 months to June 30, 2015

Sidecar Date Principal sponsor/manager Size (millions) Subject business

Silverton Re Ltd. Series 2015-I Dec-14 Aspen Bermuda Limited $85 Property catastrophe reinsurance

Eden Re II Ltd. Dec-14 Munich Re $290 Property catastrophe reinsurance

Eden Re Ltd. Series 2015-I Dec-14 Munich Re $75 Property catastrophe reinsurance

Versutus Ltd. Jan-15 Brit PLC $75 Property catastrophe reinsurance

AlphaCat 2015 Jan-15 Validus Holdings, Ltd. $155 Property catastrophe reinsurance

Harambee Re 2015 Jan-15 Argo Group undisclosed Property reinsurance

Sector Re V Ltd. Apr-15 Swiss Re $191 Property catastrophe reinsurance

Lorenz Re Ltd. Apr-15 PartnerRe $84 Property catastrophe reinsurance

Total $955 Source: Press releases, public filings

0

10

20

30

40

50

60

70

80

1H2015201420132012201120102009200820072006U

SD b

illio

ns

ILWSidecarCatastrophe bondsCollateralized re and others

1722

1922 24

28

44

50

6468

0

100

200

300

400

500

600

700

800

1H2015201420132012201120102009200820072006

USD

bill

ion

s

Alternative capitalTraditional capital Global reinsurer capital

6%

385

368 388 321 378 447 428 461 490 511 497

17 22 19 22 24 28 44 50 64 68

410

340

400

470 455

505540

575 565

-17% 18%

18%-3%

11%

7%6% -2%

ILS-Related Markets

Source: Individual company reports, Aon Benfield Analytics, Aon Securities Inc.



Actively managed sidecars and start-up reinsurance vehiclesCapital growth deployed in sidecars was not limited to

quota shares arrangements. Actively managed sidecars also

experienced significant growth as of January 31, 2015. Using

fund structures, dedicated portfolio managers, and underwriting

teams, many reinsurers are now providing asset management

services. These structures are more permanent in nature

than quota share sidecars, which typically have a fixed term.

These arrangements can provide a reliable premium source

by providing market access and liquidity. These features have

allowed some vehicles to grow quickly in recent years. Table 8

highlights three select vehicles that in aggregate have grown by

more than $750 million between January 2014 and January 2015.

The trend of complementing underwriting results with an asset

management strategy continued in the period under review. This

was demonstrated by the announcement of two vehicles. Firstly,

ACE Limited (ACE) and BlackRock, Inc. (BlackRock) have partnered

to form ABR Reinsurance Ltd. (ABR Re).

ABR Re will initially act as an internal reinsurer for ACE and follow

terms set by the reinsurance market. It is possible that ABR Re

may write insurance for other cedants at a later date. BlackRock

is the exclusive investment manager of the vehicle. ABR Re is the

first of its kind to pursue this strategy without securing a financial

strength rating. The insurer is still to determine the impact on ABR

Re from the expected Chubb acquisition.

Secondly, a start-up specialty reinsurer—Fidelis Insurance Holdings

(Fidelis) was announced. Similar to Watford Re Ltd., high-net

worth and private equity investors were a key source of capital.

Fidelis is focused on property and short-tail specialty insurance

business through the open (re)insurance markets. The firm was

founded by former Lancashire executives Richard Brindle and Neil

McConachie, who will serve as CEO and CFO, respectively. Private

equity investors include Crestview Partners, Pine Brook Partners,

and CVC Capital Partners. In contrast to recent hedge fund

reinsurers, the vehicle’s assets will be allocated to a variety of asset

managers. The structure has the ability to tactically shift its capital

between insurance and investment strategies to maximize return

on equity across the market cycle. The start-up specialty reinsurer

received a financial strength rating of “A-” from A.M. Best.

Both ABR Re and Fidelis intend to pursue initial public offerings to

provide liquidity to investors.

Table 9: Select reinsurance vehicles launched since July 2014

Reinsurer Date Principal sponsor/managerLaunch size

(millions) Targeted IPO timeline Subject business

Fidelis Jun-15 Private Equity and Goldman Sachs $1,500 3 – 5 years Property and short-tail specialty lines

ABR Re Apr-15 ACE and BlackRock $800 3 – 6 years Broad selection of ACE’s reinsurance treaties

Source: Company filings, press releases

Table 8: Growth of selected managed sidecars between January 2014 and January 2015

Selected reinsurer-managed sidecars Sponsors

Size (millions)

As of Jan 31, 2014 As of Jan 31, 2015

Upsilon RFO RenRe $474 $621

Mt Logan Re Everest Re $370 $690

Kiskadee Hiscox $110 $400 Source: Company filings, press releases

Aon Benfield 19

Collateralized reinsurance market trendsCollateralized reinsurance was the largest growing component of

alternative capital during the 12-month period under review. As

discussed earlier, a number of mutual funds focused on setting-

up, or growing interval fund structures, which allow mutual

funds to invest in less-liquid transactions, such as collateralized

reinsurance. From investors’ perspective, it provides access to

risks that may not be available in the catastrophe bond market.

The illiquid product provides reinsurance capacity (typically on

an indemnity basis, similar to traditional reinsurance), without

the need for a rating.

A number of ILS managers have also developed partnerships

with fronting companies to offer more flexible solutions (e.g.

reinstatements, longer commutation periods) to clients. As a

result, a significant share of collateralized reinsurance capacity is

placed through fronting companies. Using fronting companies is

less prevalent in the retrocession market, where high rate-on-line

premiums make collateralizing the limit more viable. The Global

Re Specialty team of Aon U.K. Limited estimates that close to half

of the market’s retrocession capacity is provided in collateralized

form, the majority of which was deployed by Bermuda funds.

Over the past year, several ILS managers have found innovative

ways to incorporate additional operational leverage into

their business model. Examples include Credit Suisse Asset

Management’s (CSAM) rated vehicle Kelvin Re Limited, which

allows the underwriter to target a broader set of risks than

those typically covered by collateralized markets. The ILS

manager has indicated it will use the vehicle to write risk where

claims development may take a longer time than the standard

development period of collateralized contracts.

In order to expand their book beyond property catastrophe,

over past year several ILS managers followed the footsteps

of Nephila Capital (Nephila) by directly accessing Lloyd’s.

CSAM’s special purpose syndicate with Barbican provides the

manager with a whole-account quota share covering Barbican’s

underwriting divisions: property, specialty, marine, aviation, and

transport. Securis Investment Partners LLP (Securis) meanwhile

established its Lloyd’s Capital Provision fund, providing investors

access to the Lloyd’s platform. According to Securis, the strategy

is a way to maintain its diversification, of which Rob Procter,

CEO of Securis, stated “None of this is really targeting property

cat, it is more spread across typical Lloyd’s specialty business,

so helping Securis to reduce its reliance on property

catastrophe risks.”10

Another innovation in the market is the partnership between

Nephila and wholesale broker AmWINS Group (AmWINS).

Through this collaboration Nephila receives a share of property

insurance contracts brokered by AmWINS and in return

follows terms set by lead underwriters. This allows Nephila

to access the primary insurance market and allows AmWINS

to provide more meaningful capacity to its clients. Nephila’s

participation will be fronted through Allianz Risk Transfer.

This partnership, similar to its fronting relationship with State

National Companies, demonstrates Nephila’s continued focus

on growing its MGA platform.

Finally, another more recent trend in the collateralized

reinsurance market is the emergence of catastrophe bond

platforms that streamline private securitizations. These platforms,

which include Aon’s CATstream®, Kane SAC Limited and Market

Re, among others, aim to lower frictional transaction costs with

particular focus on lowering barriers to alternative capital for

sponsors. Our firm views private platform securitizations as a

natural development of the alternative market as access to the

capital markets notes capacity expands to the entire market for

risk transfer.

10 Source: Securis press release dated January 13, 2015


Industry loss warranty reviewLloyd’s syndicates, London and Bermudian reinsurers, as well

as ILS funds continue to be active in the ILW market. Existing

capital providers were joined by some new entrants prior

to the 2015 U.S. hurricane season and were able to offer

meaningful capacity. In conjunction with other market factors

such as an increase in demand Q2 2015, this allowed the

ILW market to increase to an estimated $4.0 billion from

$3.5 billion during the 12-month period under review.

From a recovery perspective, binary triggers remain the most

sought-after method of execution with multi-section and

corridor structures being popular with protection buyers.

Although indemnity coverage remains the product of choice

for retrocession buyers, there has been a noticeable increase

in the demand for ILWs for U.S. hurricane events, specifically

Florida, from both traditional reinsurers and ILS funds.

Following an increase in demand for U.S. hurricane capacity

at mid-year renewals, the market witnessed a noticeable uptick

in ILW pricing during this timeframe.

Figure 10: ILW trade volume and U.S. ANP price movement

Source: The Global Re Specialty team of Aon U.K. Limited

Surplus notes and subordinated debtWith interest rates at historically low levels, a number of insurers

were able to secure long-term financing via the debt capital

markets. Surplus notes, subordinated long-term debt instruments

issued by U.S. insurance companies, represent an interesting

opportunity for investors. In the 12 months under review,

insurers have issued surplus notes both on an investment grade

and on a private placement basis. Reasons for utilizing surplus

notes include supporting organic growth initiatives, financing

M&A activity and opportuistic purchases in the current rate

environment. Table 10 shows a selection of investment grade

surplus notes issued by insurance companies in 2014.

In addition to investment grade transactions, some insurance

companies placed surplus notes on a private basis. Table 11

shows a selection of surplus notes issued on a private basis.

Aon Securities anticipates more mutual and stock insurance

companies will follow this path.

With Solvency II scheduled to go live on January 1, 2016,

EU (re)insurance carriers across Europe are increasingly sourcing

capital solutions to ensure they remain solvent under the

new regulatory regime, have sufficient capital buffers in place

to comply with regulatory guidelines, and have capital to

underwrite opportunities that arise from potential disruptions in

the market following its implementation. Firms have achieved or

are looking to achieve these goals through a number of ways. In

addition to reinsurance, which looks to reduce a carrier’s required

underwriting solvency capital requirements, carriers are also

raising Solvency II compliant Tier 1, Tier 2, and Tier 3 capital in

the form of equity and debt that provides them with admissible

capital to cover their total solvency capital requirement.

Tables 12 and 13 show a select list of rated and unrated

subordinated debt issuances.Q2

2011Q2

2014Q2

2015Q2

2013Q2

2012

Total U.S. trade volume

$30 billion ANP$50 billion ANP$80 billion ANP

Tota

l U.S

. tra

de

volu

me

Price m

ovemen

t by q

uarter

0

300

600

900

1200

1500

30

60

90

120

150

LegendANP — All Natural Perils

Aon Benfield 21

Table 10: Select investment grade surplus notes

Insurance Company Issuance date Size (millions) Term (years) Coupon Call date Surplus note rating

Pinnacol Assurance Jun-14 $100 20 8.625% fixed 15 years BBB- (S&P)

Mutual of Omaha Ins. Co. Jul-14 $300 40 4.297% fixed 10 years A (S&P)

Farmers Exchanges Oct-14 $500 40 5.454% fixed (20 yrs) to floating 20 years A- (S&P)

Source: Bloomberg, SNL and company filings

Table 11: Select private surplus notes issuances

Insurance Company Issuance date Size (millions) Term (years) Coupon

Midwest Family Mutual Ins. Co. Dec-14 $0.8 10 6.00% +10 yr. UST

Palomar Specialty Ins. Co. Feb-15 $17.5 7 8.00% + LIBOR

Farmers Mutual Hail Ins. Co. Mar-15 $60.0 30 7.375% fixed

Source: SNL, company filings

Table 12: Select investment grade subordinated debt

Issuer name Country Issuance date Term (years) Size (millions) Coupon Debt rating Call date

Allianz SE Germany Apr-15 30 €1500 ($1600) 2.241% for 10 years then floating A+ (S&P) 10 years

SCOR SE France Jun-15 32 €250 ($278) 3.25% for 10 years, then reset A- (S&P) 10 years

Society of Lloyd's UK Oct-14 10 £500 ($800) 4.75% fixed A- (S&P) N/A

Source: Bloomberg

Table 13: Select unrated subordinated debt

Issuer name Country Issuance date Term (years) Size (millions) Coupon Debt rating Call date

CIS General Insurance Ltd. (The Co-operative Insurance) UK May-15 10 £70 ($108) 12.00% for 5 years, then reset Not rated 5 years

Vardia Insurance Group ASA Norway Jun-15 10 kr75 ($9.3) 6.70% + 3 month NIBOR* Not rated 5 years

* Norway Interbank Offer Rate Source: Bloomberg


Current market pricing conditions have generally stabilized

around the lows first witnessed in 2014. As of year-end 2014,

rates were almost universally down across all U.S. natural perils

and risk levels compared to the prior year. However, during the

second quarter of 2015 spreads surrounding lower risk profile

bonds began to tighten on the secondary market suggesting a

weakening in demand for such lower yielding bonds as discussed

in ILS Investor Activity—General Market Trends. Nevertheless,

demand for U.S. property catastrophe bonds from both sponsors

and investors remained strong over the period under review with

more than $5.5 billion in U.S.-exposed property risk coverage

secured through catastrophe bond capacity.

No trigger events occurred in the 12-month period ending June

30, 2015 to impact the catastrophe bond market, continuing

the trend of benign loss activity since 2011. However, two

transactions covering North America did come relatively close

to attaching. The first was Gator Re Ltd. Series 2014-1 Class A,

covering named storms and severe thunderstorms for American

Strategic Insurance Group.

During the year, severe thunderstorm events eroded a large

portion of the retention below the bond and although

ultimately not attaching, the secondary market pricing reflected

this near loss activity. The second transaction was MultiCat

Mexico Limited Series 2012-I on behalf of FONDEN, Mexico’s

natural disaster fund. The bond’s parametric trigger, which

is based on reported hurricane central pressure, was close to

activating when Hurricane Odile crossed the Class C notes’ zone

perimeter in the Baja California Peninsula.

As the core of the catastrophe bond market, the U.S. property

segment remains a central driver of ILS portfolio performance.

In fact, during the 12-month period under review 87 percent

of new property issuances, or 86 percent of the total notional

limit, covered U.S. exposures. Six U.S. property transactions—

as shown in Table 14—closed in the second half of 2014 and all

were returning sponsors to the catastrophe bond market.

Tradewynd Re Ltd. Series 2014-1 provides American International

Group, Inc. (AIG) with expanded indemnity coverage to

now include named storms in Canada and Mexico, as well as

earthquakes in Mexico. The $500 million transaction includes

three classes of notes with maturities ranging from one to three

years. The latest transaction brings the total from Tradewynd Re

Ltd. to over $1 billion.

Table 14: Second half of 2014 property catastrophe bonds covering U.S. perils

Beneficiary Issuer Series ClassSize

(millions)Covered

perils Trigger RatingExpected

loss11

Initial interest spread

State Compensation Insurance Fund Golden State Re II Ltd. Series 2014-1 Class A $250 U.S. EQ Modeled loss BB+ (S&P) 0.25% 2.20%

Everest Reinsurance Company Kilimanjaro Re Limited Series 2014-2 Class C $500 NA EQ Industry index BB- (S&P) 1.46% 3.75%

California Earthquake Authority Ursa Re Ltd. Series 2014-1Class A $200

CAL EQ Indemnity Not rated1.18% 3.50%

Class B $200 2.55% 5.00%

United Services Automobile Association Residential Reinsurance 2014 Limited Series 2014-II Class 4 $100

U.S. HU, EQ, ST, WS, WF,

VE, MIIndemnity Not rated 1.79% 4.80%

Amlin AG Tramline Re II Ltd. Series 2014-1 Class A $200 U.S. HU, EQ & EU Wind

Industry index Not rated 5.71% 9.75%

American International Group, Inc. Tradewynd Re Ltd. Series 2014-1

Class 1-B $100 NA/MEX/

CB/Gulf HU & NA/MEX/

CB EQ

Indemnity

B (Fitch) 2.41% 6.75%

Class 3-A $100 BB- (Fitch) 1.24% 5.00%

Class 3-B $300 B (Fitch) 2.36% 7.00%

Source: Aon Securities Inc. LegendCAL — CaliforniaCB — CaribbeanEU — EuropeMEX — Mexico

NA — North AmericaU.S. — United StatesEQ — EarthquakeHU — HurricaneST — Severe Thunderstorm

MI — Meteorite ImpactVE — Volcanic EruptionWF — WildfireWS — Winter Storm

North America Perils

11 Annualized modeled expected loss; sensitivity cases if U.S. hurricane is a covered peril.

Aon Benfield 23

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

half of 2015 as shown in Table 15.

East Lane VI Ltd. provides the Chubb Group of Insurance

Companies (Chubb) with $250 million of indemnity Northeast

multi-peril coverage for personal and commercial lines. The

transaction is Chubb’s ninth catastrophe bond, but the first

to provide coverage for the non-modeled perils of volcanic

eruption and meteorite impact. In addition, the latest issuance

provides coverage for Chubb for the longest term yet, with a

scheduled maturity in five years.

AIG’s second transaction in the 12-month period under review,

Compass Re II Ltd., utilizes a parametric index trigger based

on reported maximum sustained wind speed and radius of

windstorms crossing the boundary points of the covered area

over a six-month term. This is the first parametric U.S. hurricane

transaction since 2005 and delivers relative cost savings

versus AIG’s indemnity Tradewynd Re Ltd. Series 2014-1 North

America multi-peril transaction that was issued in the second

half of 2014. The two transactions exemplify the breadth of the

catastrophe bond market to provide both complex commercial

indemnity coverage as well as efficiently priced parametric

cover to the same sponsor.

Table 15: First half of 2015 property catastrophe bonds covering U.S. perils


(millions)Covered


loss12


Catlin Insurance Company Ltd. Galileo Re Ltd. Series 2015-1 Class A $300 U.S. HU, NA EQ, EU Wind Industry index Not rated 8.60% 13.50%

SCOR Global P&C SE Atlas IX Capital Limited Series 2015-1 Class A $150 U.S. HU, NA EQ Industry index Not rated 3.76% 7.00%

Chubb Group of Insurance Companies East Lane Re VI Ltd. Series 2015-I Class A $250

NE HU, EQ, ST, WS, WF,

VE, MIIndemnity BB (S&P) 1.34% 3.75%

Safepoint Insurance Company Manatee Re Ltd. Series 2015-1 Class A $100 FL HU Indemnity Not rated 1.15% 5.00%

Münchener Rückversicherungs-Gesellschaft Aktiengesellschaft

Queen Street X Re Limited $100 U.S. HU,

AUS CYIndustry index and

modeled loss Not rated 2.72% 5.75%

State Farm Fire and Casualty Company Merna Re Ltd. Series 2015-1 Class A $300 New Madrid EQ Indemnity Not rated 0.41% 2.00%

Heritage Property & Casualty Insurance Company Citrus Re Ltd. Series 2015-1

Class A $150

FL HU(Initially) Indemnity

Not rated 1.41% 4.75%

Class B $98 Not rated 2.79% 6.00%

Class C $30 Not rated 5.64% 9.00%

Louisiana Citizens Property Insurance Corporation Pelican III Re Ltd. Series 2015-1 Class A $100 LA HU Indemnity Not rated 3.51% 6.00%

Massachusetts Property Insurance Underwriting Association Cranberry Re Ltd. Series 2015-1 Class A $300 MA HU, ST, WS Indemnity B (Fitch) 1.38% 3.80%

Citizens Property Insurance Corporation Everglades Re II Ltd. Series 2015-1 Class A $300 FL HU Indemnity BB (S&P) 1.55% 5.15%

Texas Windstorm Insurance Association Alamo Re Ltd. Series 2015-1

Class A $300TX HU Indemnity

B+ (Fitch) 2.68% 5.90%

Class B $400 BB- (Fitch) 1.58% 4.60%

The Travelers Indemnity Company Long Point Re III Ltd. Series 2015-1 Class A $300 NE HU, EQ, ST, WS Indemnity BB- (Fitch) 1.18% 3.75%

United Services Automobile Association

Residential Reinsurance 2015 Limited Series 2015-I

Class 10 $50 U.S. HU, EQ, ST, WS, WF,

VE, MIIndemnity

Not rated 7.28% 11.00%

2.50% 6.00%Class 11 $100 Not rated

American International Group, Inc. Compass Re II Ltd. Series 2015-1 Class 1 $300 U.S. HU Parametric index B+ (Fitch) undisclosed undisclosed

Source: Aon Securities Inc. LegendAUS — AustraliaFL — FloridaLA — LouisianaNE — Northeast MA — Massachusetts

NA — North AmericaTX — TexasU.S. — United States CY — CycloneEQ — Earthquake

HU — HurricaneST — Severe ThunderstormMI — Meteorite ImpactVE — Volcanic EruptionWF — WildfireWS — Winter Storm

12 Annualized modeled expected loss; sensitivity cases if U.S. hurricane is a covered peril.


Model updates13,14

ILS modeling firms, Risk Management Solutions, Inc. (RMS)

and AIR Worldwide Corporation (AIR), both introduced model

updates during the first half of 2015 covering North America

and specific to the peril of storm surge.

In March 2015, RMS released its latest view of North Atlantic

hurricane risk. The new model along with software updates

incorporates, in RMS’ view, the latest science and data on

hurricane event rates, new insights to support wind-related

underwriting, new capabilities to manage coastal flood risk, and

a suite of vulnerability enhancements across several regions and

lines of business. Specifically, new features include advances to

the storm surge model to improve loss modeling for flooded

basements and high-value contents stored in basements. Such

updates include:

“Floors Occupied” field that captures the presence of

basements at the location level enabled for the U.S.,

Caribbean, and Hawaii Hurricane Models;

Ability to specify the percentage of total contents value

located at basement levels; and

Expands the functionality of the model to include the ability

to trigger business interruption based on content loss—

not just damage to structures.

In June 2015, AIR announced an updated hurricane model for

the United States. The latest view of risk from AIR features a

hydrodynamic location-specific storm surge module based

on storm parameters and elevation data. Inputs to the new

model include the U.S. Geological Survey (USGS) National

Elevation Dataset (also used in the AIR Inland Flood Model) as

well as the National Oceanic and Atmospheric Administration’s

(NOAA) Sea, Lake, and Overland Surges from Hurricanes

(SLOSH) model. Additionally, regional and seasonal data on tide

heights, levees, seawalls, floodgates, pump systems, and other

mitigating structures and equipment are also considered by AIR.

Further model updates include the incorporation of the most

recent North Atlantic hurricane database (HURDAT2) also from

NOAA, reanalysis of data from 1930 to 1945, and the 2011

release of the USGS National Land Cover Database. Additionally,

the vulnerability module incorporates the latest AIR view of

observational data on the impact of square footage on wind

losses for large, high-value homes and updates that reflect

findings on the vulnerability of manufactured homes.

13 Risk Management Solutions, Inc. “North Atlantic Hurricane Models – Storm Surge Model Best Practices Version 15.0”, May 26, 201514 Verisk Analytics, Inc. Press Release—“AIR Worldwide Releases Updated Hurricane Model for the United States”, June 29, 2015

Aon Benfield 25

In the 12-month period ending June 30, 2015 the market for

catastrophe bond transactions covering Europe perils was

relatively quiet with issuance limited to just three deals. A key

challenge for the capital markets has been the resilience of the

traditional markets, which continue to offer competitive terms

on both price and coverage. Traditional pricing for top layer

protections for many Europe primary programs has fallen below

2 percent—below the pricing floor we have observed in recent

catastrophe bond transactions.

In December 2014, Amlin returned to the market with its

second issuance from Tramline Re II Ltd. The transaction

provides Amlin with per occurrence protection against U.S.

named storms, U.S. earthquakes, and Europe windstorms

over a four-year period. The industry index deal was upsized

to $200 million and closed below initial guidance, reinforcing

investors’ strong demand for higher yielding deals.

In February 2015, Catlin returned to the capital markets with

the second issuance from Galileo Re. Ltd. The transaction

provides the sponsor with protection against U.S. named

storms, North America earthquake and Europe windstorms on

an annual aggregate basis.

Finally in June 2015, Unipol-Sai Assicurazioni S.p.A. entered the

catastrophe bond market for the first time with Azzurro Re I

Limited. The transaction provides the insurer with per-occurrence

coverage on an indemnity basis covering earthquakes occurring

across western Europe. The transaction closed at the low end of

guidance and was upsized to €200 million.

UK ILS taskforceIn the annual UK budget in March 2015, the UK Chancellor

of the Exchequer George Osborne announced that the UK

government would develop a corporate and tax structure

that allows for issuers of insurance-linked securities, such as

catastrophe bonds, to be domiciled locally.

In conjunction with the London Markets Group, an ILS task

force has been established with the aim of providing a working

paper to the UK Treasury by the fall of this year. It will include a

recommendation on how to achieve the goal of encouraging ILS

business to London.

The view is that the London Market could offer the ILS market

significant benefits in terms of insurance infrastructure and a

deep pool of capital and talent.

The UK faces competition from other European Union

jurisdictions, such as Malta and Gibraltar, that are competing

for a share of the ILS market. The latter completed its first ILS

transaction in April 2015, just 12 months after announcing its

intention to become an ILS jurisdiction.

Table 16: Property catastrophe bond transactions covering Europe perils


(millions)Covered


loss


Amlin AG Tramline Re II Ltd. Series 2014-1 Class A $200 U.S. HU & EQ and EU Wind Industry Index Not rated 5.12% 9.75%

Catlin Insurance Company Ltd. Galileo Re Ltd. Series 2015-1 Class A $300 U.S. HU, NA EQ, EU Wind Industry Index Not rated 7.93% 13.50%

UnipolSai Assicurazioni S.p.A. Azzurro Re I Limited Series 2015-1 Class A €200 EU EQ Indemnity Not rated 0.31% 2.15%

Source: Aon Securities Inc. LegendEU — EuropeNA — North AmericaU.S. — United States

EQ — EarthquakeHU — Hurricane

Europe Perils


Greek crisisDuring 2015, we witnessed a resurgence in market volatility

across the global markets with investors’ confidence again

being challenged. The drawn out uncertainty in Greece and

a significant market sell-off in China contributed to a weaker

global economic outlook.

On August 11, Greece reached a third bailout deal with its

international creditors. The arrangement provides up to

€86 billion in exchange for austerity measurements.

Currently, the impact to the ILS market has been almost

non-existent with the dedicated ILS managers relatively

unconcerned by the situation. However, some underlying

investors did contact their respective ILS fund to inquire about

any embedded Greek exposure. Since the overhaul of cat bond

collateral solutions a number of years ago, any exposure to

Greece within collateral solutions has been mitigated. The ILS

asset class has again demonstrated its inherently low correlation

to the performance of the broader financial markets.

Model updates15,16

Independent risk modeling firms, RMS and AIR, both introduced

model updates during the first half of 2015 covering Europe.

In April 2015, RMS released an updated Europe Windstorm

Model Version 15.0. Along with a new Europe windstorm

industry exposure database, the release incorporates data and

research from recent events.

Revisions include:

Stochastic hazard model—the event set includes updates to

both frequency and severity of the events based on enhanced

calibration and interpolation approaches, an improved

correlation model and the addition of recent wind data. The

calibration reflects the wind historical event set from 1972 to

2013 in an effort to better reflect low-frequency events; and

Wind vulnerability module—vulnerability curves and

occupancy relativities throughout Europe were updated.

Revisions were also made to the industrial facilities model,

and the post-event loss amplification model.

In March 2015, AIR released its Inland Flood Model for Central

Europe. AIR expanded the model beyond Germany to also

include Austria, Czech Republic and Switzerland.

Revisions include:

Precipitation patterns’ topography, soil type, snowmelt,

nonlinear dynamic soil saturation and the probabilistic

modeling of man-made flood defenses;

Expansion of the river network;

Inclusion of secondary modifiers include the existence of

a cellar (basement), the floor of interest, flood zoning and

custom flood defenses; and

Damage assessment for buildings (for all lines of businesses)

using a component-based approach to determine damage to

the building fabric, fixtures and fittings, and services.

15 Risk Management Solutions, Inc. “Executive Briefing #1 and 2: Europe Windstorm Model Version 15.0”, September 22, 2014 and February 11, 201516 AIR Worldwide, “Scope of Model and Software Updates: Touchstone Version 3.0 and CATRADER Version 17.0”, Summer 2015 Release

Aon Benfield 27

Two catastrophe bonds covering Japan earthquake risk came

to market from repeat sponsors during the 12-month period

ending June 30, 2015. The seasoned sponsors have become

increasingly sophisticated in the use of catastrophe bonds—

utilizing alternative capital to optimize their overall risk transfer

strategy. In addition, China Property and Casualty Reinsurance

Company (China Re) tapped the market with its first catastrophe

bond, covering its earthquake book of business.

In December 2014, the National Mutual Insurance Federation

of Agricultural Cooperatives (Zenkyoren) secured an additional

$375 million in coverage via Nakama Re Ltd. Zenkyoren is one of

the largest buyers of vertical catastrophe reinsurance protection

in the world. The Series 2014-2 issuance followed on the heels of

the $300 million Series 2014-1 issuance in May. The placement

included a per occurrence and aggregate tranche, with risk

periods of four and five years, respectively. Each class of notes,

originally marketed at $100 million, was subsequently upsized to

$175 million for the Class 1 notes and $200 million for the Class

2 notes. The Class 2 notes provide unique coverage through the

innovative floating three-year term aggregate structure. With

this latest transaction, the total issuance under the Nakama Re

Ltd. program has reached $975 million.

In March 2015, Tokio Marine & Nichido Fire Insurance Co.

Ltd. (TMNF) sponsored its second earthquake indemnity

catastrophe bond via Kizuna Re II Ltd. The transaction is the

second Japanese yen denominated catastrophe bond placement

and covers commercial as well as industrial exposures.

The Series 2015-1 notes provide TMNF with ¥35 billion of

earthquake coverage for four years in exchange for a 2.00

percent interest spread. Investor demand allowed TMNF to

increase the marketed size by 40 percent. Designed to protect

against remote events, the Series 2015-1 transaction secured

an investment grade rating “BBB-” from S&P—the first for a

property catastrophe bond since 2008.

In July 2015, China Re sponsored its first catastrophe bond.

Panda Re Ltd. Series 2015-1 (Panda Re) provides the sponsor

with $50 million in coverage for earthquakes across the

mainland of the People’s Republic of China (Hong Kong and

Macau are excluded). Panda Re, which provides indemnity

protection, closed with 4.05 percent risk spread and represents

continued evolution of the ILS market with this new peril.

Table 17: Property catastrophe bonds covering Asia Pacific perils


(millions)Covered


loss


National Mutual Insurance Federation of Agricultural Cooperatives Nakama Re Ltd. Series 2014-2

Class 1 $175 JP EQ Indemnity

Not rated 0.58% 2.13%

Class 2 $200 Not rated 0.70% 2.88%

Tokio Marine & Nichido Fire Insurance Co., Ltd. Kizuna Re II Ltd. Series 2015-1 Class A ¥35,000 JP EQ Indemnity BB- (S&P) 0.02% 2.00%


Queen Street X Re Limited $100 U.S. HU,

AUS CYIndustry index and

modeled loss Not rated 2.72% 5.75%

Source: Aon Securities Inc. LegendAUS — AustraliaJP — JapanU.S. — United States

CY — CycloneEQ — EarthquakeHU — Hurricane

Asia Pacific Perils


Loss activity17

Overall economic and insured losses from natural disaster

activity in Asia Pacific were below average in 2014, which was a

reversal from 2013 (slightly above the 10-year norm). The losses

in 2014 remain considerably lower than what was registered

during the record-breaking year of 2011. One consistent

story in Asia Pacific surrounds the large disparity between the

overall economic loss total and what percentage is covered

by insurance. The very high percentage of uninsured damage

further highlights the low levels of insurance penetration in

Asia Pacific, and particularly in regions that are often the most

vulnerable to significant natural catastrophes.

The costliest insured event in Asia Pacific during 2014 occurred

in Japan. A series of powerful snowstorms left the heaviest

accumulations in more than 45 years throughout several

prefectures, including the greater Tokyo metropolitan region.

The heavy weight of the snow and ice caused trees to snap and

roofs to collapse, causing extensive damage to residential and

commercial properties in addition to agricultural interests. Total

insured losses were at least $2.5 billion , making this the fourth-

costliest event in the Japanese insurance industry’s history.

Elsewhere, China endured Super Typhoon Rammasun which

was the costliest global tropical cyclone of the year. Damage

was listed at $7.2 billion. In Australia, Cyclone Ita made landfall

in Queensland and caused $1.0 billion in damage. Most of

the sustained damage affected the agriculture industry. In the

greater Brisbane metro region, a severe November hailstorm left

insured losses beyond $1.0 billion.

April 1, 2015 reinsurance renewalsOverall, the April 1 reinsurance renewal period concluded

in line with expectations. The influx of alternative capital

continued to play a role in the market’s softening. This was

witnessed on both earthquake and wind programs, despite the

adverse development of the February 2014 winter weather loss.

In Japan, although it is currently limited, the use of collateralized

reinsurance continues to gradually increase.

Table 18: Top five most significant events in Asia Pacific in 2014

Date(s) Event Location Economic loss (billions) Insured loss (millions)

September 2-15 Flooding India, Pakistan $18 $700

October 12-14 Cyclone Hudhud India $11 $650

July 15-20 Super Typhoon Rammasun China, Philippines, Vietnam $7.2 $300

February 8-16 Winter Weather Japan $5.0 $2,500

August 3 Earthquake China $3.3 $150

Source: Impact Forecasting’s 2014 Annual Global Climate and Catastrophe Report

17 Impact Forecasting’s 2014 Annual Global Climate and Catastrophe Report, dated January 2015

Aon Benfield 29

Extreme mortality and health catastrophe bondsIn the 12 months ending June 30, 2015, two non-property

catastrophe bonds came to market. ILS investors continue to

show strong demand for these types of diversifying risks. There

is currently over $1.5 billion in outstanding risk across health,

extreme mortality and longevity risks.

In January 2015, Aetna Life Insurance Company (Aetna)

continued its trend of annual issuance with the latest Vitality

Re offering. Vitality Re VI provides Aetna with $200 million in

capital for three years. Similar to prior issuances, the transaction

covers an increase in the medical benefit ratio (MBR) of

certain commercial group health insurance policies. The notes

are issued via Aetna’s Vermont-based captive and provides

significant capital benefit to the cedant. Investors were again

offered two classes of notes, with the more remote Class A

notes securing an investment grade rating of “BBB+” from S&P.

The $140 million Class A notes closed with a coupon of 1.75

percent—the same coupon as a similar class issued in 2014. The

$60 million Class B notes, which has an MBR attachment level

of 94 percent, closed with a coupon 2.10 percent. This reflects

a decrease of 16 percent compared to the 2014 Class B notes,

which were also more remote with an MBR attachment level of

96 percent.

AXA Global Life returned to the life capital markets for the first

time since Osiris Capital plc in 2006. The new issuance, Benu

Capital Limited, is the largest Euro-denominated ILS transaction

since the fourth quarter of 2013 and the second largest

such on record. The extreme mortality transaction provides

coverage across two tranches, each linked to France, Japan,

and U.S. mortality. The five-year transaction utilized one-year

measurement periods, rather than the more typical two-year

measurement periods seen in excess mortality transactions.

The one-year measurement periods incorporate one-year

Attachment Levels. This was structured to ensure utility from the

final year which otherwise encourages exercising an early call.

Embedded value securitizationsIn December 2014, Reinsurance Group of America (RGA)

raised $300 million in an embedded value securitization via its

subsidiary Chesterfield Financial Holdings. The notes cover a

closed book of U.S. life insurance policies assumed by RGA Re

between 2006 and 2010, consisting of around 600 reinsurance

treaties covering over 100 separate life insurance groups.

Investors received a fixed coupon of 4.50 percent for the notes,

which secured an “A-” rating from S&P. The notes are expected

to have an average life of 4.7 years based on independent

modeling. Investors included a mixture of insurance companies

and ILS funds18.

In January 2015, Aurigen Capital Limited (Aurigen) issued a

CAD210 million embedded value securitization via Valins I

Limited. A portion of the proceeds was used to fully redeem

Aurigen’s Vecta I notes—issued in December 2011 for a coupon of

8.00 percent. The latest notes, which are unrated, have a six-year

term and a coupon of three-month CDOR + 3.65 percent. The

block of business includes 26 Canadian life reinsurance treaties

written by Aurigen Reinsurance Limited between 2008 and 2013,

covering business from 12 life insurers. According to Aurigen,

the structure provides flexibility to add future new business and

continuous access to capital funding to support its growth19.

Longevity swaps / insuranceDefined benefit pension plans in the UK, parts of Western

Europe, and now Canada continued to de-risk their liabilities

by entering into longevity hedges. This involves passing on the

risk that the firms’ pension plan population lives longer than

currently expected. The transfer can take place via a swap or in

the form of (re)insurance via a captive or intermediary.

On the condition of the market, Martin Bird, senior partner and

head of risk settlement at Aon Hewitt said: “The longevity swap

market may well be perceived as having been rather stop-start.

But today, with over £50 billion of risk successfully transferred

to the reinsurance market, the outlook is very different. The

reinsurance market remains buoyant and is keen to capitalize

on the investments made in terms of building capability and

resource, in order to price, structure and execute deals. We see

no shortage of capacity and can already see a deal flow of more

than £20 billion during 2015.”

Life and Health Perils

18 Press release from Reinsurance Group of America dated December 16, 201419 Press released from Aurigen Capital Limited dated January 15, 2015


He continued: “Innovation is also happening at the smaller end

of the market. While there have been a number of ‘mega deals’,

this may not be indicative of where the market is going next.

After all, there are many more smaller-sized pension schemes

looking to de-risk and increase stability, so the significant

interest for longevity risk from the reinsurance market is trickling

down into that territory. Deals of around £50 million are being

priced and analyzed—a classic example of how smaller schemes

can capitalize on the knowledge gained from the big deals.”

Delta Lloyd entered into two longevity swaps over the past 12

months with Reinsurance Group of America to hedge €24 billion

of underlying longevity reserves. Both swaps are structured as

a derivative using Dutch population mortality results. The June

2015 swap has a duration of eight years, compared to six years

for the August 2014 transaction. These swaps are part of an

increase in the transfer of longevity risk by European companies

in the wake of Solvency II.

Some investors are gathering assets in the fixed annuities

business. Since costs for fixed annuities are generally fixed,

enhanced returns can be achieved from a wider spread between

investment returns. In August 2014, Knighthead Annuity and Life

Assurance Company was launched by hedge fund Knighthead

Capital Management, which specializes in distressed debt and

event-driven equity. The annuity company was capitalized with

around $220 million in equity and received an A.M. Best rating of

“B++” in March 2015.

In January 2015, Athene Holdings, a (re)insurer supported by

Apollo Global Management, announced the acquisition of Delta

Lloyd Deutschland AG. This added around €4.3 billion of assets

onto its balance sheet. Nassau Reinsurance Group was launched

in May 2015, supported by $750 million from Golden Gate

Capital, a private equity firm. The group, which intends to seek a

rating to meet its growth objectives, is focused on life, annuity,

and long-term care sectors.

Table 19: Publicly disclosed longevity transactions since July 2014

Pension plan Provider Size Date Form

BT Pension Scheme Prudential Insurance Company of America £16bn Jul-14 (Re)insurance20

AXA France Hannover Re €750mn Aug-14 Swap

Rothesay Life Prudential Retirement Insurance and Annuity Company $1.7bn Aug-14 Reinsurance

PGL Pension Scheme Phoenix Life £900m Aug-14 Swap & Reinsurance21

Delta Lloyd Levensverzekering RGA Re €12bn Aug-14 Swap

Legal & General Group Prudential Retirement Insurance and Annuity Company $2.2bn Oct-14 Reinsurance

Rothesay Life Pacific Life Re £1bn+ Dec-14 Reinsurance

Merchant Navy Officers Pension Fund Pacific Life Re £1.5bn Jan-15 (Re)insurance22

Rothesay Life Prudential Retirement Insurance and Annuity Company $450m Jan-15 Reinsurance

ScottishPower U.K. Pension Scheme Abbey Life Assurance Company ~£2bn Feb-15 Swap

BCE (Bell Canada Pension Plan) Sun Life Assurance Company of Canada CAD$5bn Mar-15 (Re)insurance23

Pension Insurance Corporation Prudential Insurance Company of America Undisclosed Apr-15 Reinsurance

Delta Lloyd Levensverzekering Reinsurance Group of America €12bn Jun-15 Swap

Pension Insurance Corporation Prudential Insurance Company of America £1.6bn Jun-15 Reinsurance

AXA U.K. Group Pension Scheme Reinsurance Group of America £2.8bn Jul-15 Swap

Source: Company press releases

20 BT Pension scheme transferred longevity risk to a wholly owned company, which acts as an intermediary with reinsurer Prudential Insurance Company of America21 Phoenix Life Limited is owned by the sponsor, Phoenix Group, and will act as an intermediary between the scheme and reinsurers22 Structured as an insurance agreement between MNOPF and MNOPF IC Limited (a specially established Guernsey company), and a reinsurance agreement between MNOPF IC Limited and Pacific Life Re23 Sun Life will reinsure a portion of the longevity risk to RGA Canada and SCOR Global Life

Aon Benfield 31

A panel interview hosted by Aon SecuritiesAon Securities recently discussed a number of topics on the ILS market with five active investors. The conversation,

transcribed in this section, provides insight into their views and aspirations for the market as a whole. Our panel included:

John DeCaro—Founding Principal, Elementum Advisors

Adolfo Pena—Principal, Nephila Capital

Caleb Wong—Portfolio Manager, Oppenheimer Funds Inc., Global Asset Management

Chin Liu—Vice President and Portfolio Manager, Pioneer Investments

Dirk Lohmann—Chief Executive Officer and Managing Partner, Secquaero Advisors AC.

A Market Discussion with ILS Investors


John DeCaro—Elementum Advisors Founding Principal

1. Please provide an overview of your firm and your roleI am a Founding Principal and lead portfolio manager for

catastrophe bond investments at Elementum Advisors.

Founded in 2009, Elementum is a leading investment

manager in the collateralized reinsurance and catastrophe

bond space.

2. Where are you finding alternative investment opportunities in today’s markets?We have identified several unique investment opportunities

within the past 18 months to provide meaningful capacity

directly to selected counterparties facing specific needs

resulting from regulatory or rating agency actions.

These opportunities have been less sensitive to overall

market conditions.

3. How has your decision-making process for ILS investments impacted your AUM?We deliberately attempt to match our AUM growth with

our ability to appropriately invest in accordance with client

investment objectives. As we deepened our understanding

of client interests and found broader investment

opportunities, we have been able to grow our AUM.

4. The ILS market has provided sponsors with broader coverage in the last couple of years (e.g. perils, types of risk, indemnity provisions).

a. Do you think this is a natural evolution based on better understanding of the covered risks?

To a certain extent, yes. We would posit that an

equally meaningful driver has been the natural expansion

of terms and conditions resulting from an excess of

capital seeking yield.

b. What new segments of (re)insurance will be supported by alternative capital next?

That’s a very difficult question to answer. Given the

abundance of capacity across virtually every line of

reinsurance, we believe that it’s more likely that alternative

capital will simply flow back into the markets most affected

by the next major catastrophe loss event.

5. There’s been plenty of news coverage recently on Greece’s issues with debt and potential Eurozone exit. Do you see the financial markets impacting the ILS market?Definitely. During the third phase of Quantitative Easing by

the Fed (9/13/12 to 10/31/14), the catastrophe bond market

grew by 48 percent while the market spread declined

by 254 bps. We believe that the global decline in yields

spurred incremental investments into the ILS market and

drove risk spreads materially lower. We believe that while

meaningful capital is invested in ILS for diversification

reasons, the marginal investment is impacted by the returns

in other financial markets. Over the past few years, the ILS

market looked attractive on a relative basis. This will not

always be the case.

6. If you could put together a hypothetical portfolio, what types of risks, geographies and sponsors would you consider?We focus exclusively on natural catastrophe risks, so our

hypothetical portfolio would consist largely of risks in peak

zones with significant capacity needs. We would consider

blending in smaller positions in non-peak areas where robust

catastrophe models exist. We are generally indifferent to the

type of sponsor as long as there is sufficient transparency of

the underlying portfolio of risks we are assuming and we feel

like we can perform adequate counterparty due diligence.

7. Did you download the movie “The Interview”? How do the risk transfer markets cover a growing global epidemic of cyber attacks? I did not. The traditional reinsurance markets are best suited

to be the primary providers of specialized, non-commodity

types of insurance coverages such as cyber and terrorism risk.

Aon Benfield 33

Adolfo Pena—Nephila Capital Principal

1. Please provide an overview of your firm and your roleNephila Capital Ltd is a leading investment manager

specializing in reinsurance risk, and is the largest institutional

asset manager of investment funds dedicated to natural

catastrophe and weather risk. Nephila offers a broad range

of investment products focusing on instruments such as

insurance-linked securities, catastrophe bonds, insurance

swaps, and weather derivatives. Nephila has assets under

management of approximately $9.5 billion as of June 30, 2015

and has been managing institutional assets in this space since

it was founded in 1998. The firm has over 100 employees

based in Bermuda (headquarters); San Francisco, CA;

Nashville, TN; and London.

My role within Nephila is the Chairman of the Investment

and Allocations committee which is the equivalent to the

Chief Underwriting Officer in a reinsurance company or

the Chief Investment Officer in a hedge fund. I oversee risk

pricing, portfolio construction and trading strategy on

behalf of our investors.

2. Where are you finding alternative investment opportunities in today’s markets?Nephila’s investment strategy focuses exclusively on

catastrophe and weather risk so we are a specialist in the

space and we don’t look at other alternatives.

3. How has your decision-making process for ILS investments impacted your AUM?Nephila had significant growth between 2008 and 2013 as

the asset class gained acceptance with institutional investors.

Nephila has remained for the most part closed to new

investments since 2013 as we don’t see the need to bring

more capital into the current reinsurance market. We have

seen new investors come in while older investors reduce their

allocations to the space but overall our AUM has remained

flat over the past 30 months and we intend to keep it this way

until we can find new opportunities to deploy capital.



By ILS I assume we are talking about catastrophe bonds

here. So yes, catastrophe bonds came to the market as an

alternative to the traditional reinsurance product and it is just

natural, as investors become more familiar with the asset class,

that catastrophe bonds become more like reinsurance.

The original parametric deals were issued as a way for the

pioneer investors in the asset class to get comfortable with

the risk and as they become more familiar with reinsurance

the market has migrated to indemnity; that being said, the

one type of coverage were indemnity is still not appropriate

is retrocessional coverage: the opacity of the portfolios and

information asymmetry between the issuer and the ultimate

holder of the risk is too great to use an indemnity trigger,

so we believe that that type of risk transfer is more safely

assumed on a parametric basis.


Hard to tell. We focus on catastrophe and weather risk that

isn’t fully supported by the reinsurance market so to the

extent that there is a shortage of capital to service a certain

segment, you can expect alternative capital to fill the void.

5. There’s been plenty of news coverage recently on Greece’s issues with debt and potential Eurozone exit. Do you see the financial markets impacting the ILS market?Not really. That being said, in our market as in any other

market, there are opportunistic players and long term players;

to the extent that the Eurozone crisis creates more attractive

opportunities elsewhere you can expect some investors

to redeploy the capital currently invested in ILS into these

opportunities. Another unlikely scenario is that the crisis

worsens to such extent that investors have to retrieve the

capital deployed to ILS to cover shortfalls elsewhere; we lived

this situation in 2008 and it just proved the non-correlation

argument we had been making, prompting investors to

allocate even more capital to ILS once the immediate shock of

the crisis passed.


6. If you could put together a hypothetical

portfolio, what types of risks, geographies a nd sponsors would you consider?At Nephila we believe that capital should go to where it’s

needed. As such, there should be ways for societies in

general to transfer risk to the market. At Nephila we talk a lot

about the concept of unmet demand—where there is a lot

of catastrophe risk that is being held by actors that would

be better off transferring risk: property owners holding

earthquake risk due to low insurance penetration rates in

California; government entities insuring large segments of the

population; state governments being implicitly dependent

on the federal government for disaster recovery and

reconstruction; sovereign governments assuming catastrophe

and weather risk. All of the above are risks that we would like

to put into a hypothetical portfolio. At Nephila we spend a

significant amount of effort trying to devise solutions for all

of the above and overall, we have been successful in helping

shape such risk transfer mechanisms.

7. Did you download the movie “The Interview”? How do the risk transfer markets cover a growing global epidemic of cyber-attacks?No, I didn’t download the movie. As mentioned above at

Nephila we focus on catastrophe risk. For now it seems like

transfer of cyber risk is well handled by the market and there

is no need for alternative forms of capital to step in. To the

extent that there is an industry need and we develop clear

ways to evaluate and price cyber risk we could consider

offering that coverage.

Caleb Wong—Oppenheimer Funds Inc. Global Asset Management Portfolio Manager

1. Please provide an overview of your firm and your roleOFI Global Asset Management is built upon the heritage

of OppenheimerFunds, and over five decades of global

investing. As of June 30, 2015, it has $234.4 billion in

assets under management. The firm offers a full range

of investment solutions across equity, fixed income and

alternative asset classes. OFI Global Asset Management

consists of OppenheimerFunds, Inc. and certain of its advisory

subsidiaries, including OFI Global Asset Management, Inc.,

OFI Global Institutional, Inc., OFI SteelPath, Inc. and OFI

Global Trust Company.

I am responsible for OFI Global’s portfolio management

capabilities in the insurance linked securities markets.

We invest primarily in the 144a catastrophe bond market

and have been active in this market since the asset class’s

inception in the late 1990s. At OFI Global, we combine highly

specialized quantitative portfolio management with intensive

credit analysis to implement value added risk-return profile for

our catastrophe bond investments.

2. Where are you finding alternative investment opportunities in today’s markets?We continue to believe that the insurance linked securities

markets offer alternative investment opportunities for

investors. There are three reasons: (1) the sector continues

to exhibit low correlation properties with traditional and

alternative asset classes, including equities, traditional

fixed income, real estate, to name a few; (2) the return/risk

reward is comparable to traditional fixed income securities

with default features, including high yield; (3) the insurance

linked market continues to grow as it reflects an ongoing

transformation of the traditional reinsurance market.

3. How has your decision-making process for ILS investments impacted your AUM?We have deployed ILS investments within our mutual fund

and institutional accounts. We believe that our investments

have enabled us to highlight and provide value-added returns

for our clients and further differentiate our product lines, thus

leading to AUM growth.

Aon Benfield 35



ILS investors continue to have access to improved modeling

technology and investors with traditional reinsurance

backgrounds are entering the asset management side. The

two trends have allowed dedicated ILS funds to elevate their

capability such that they are able to evaluate and invest in

securities with varying forms of reinsurance risks.


We believe that the capital markets will have a greater level of

role in specialized reinsurance markets. Again, the evolution

reflects the continued convergence of capital markets and

traditional reinsurance.

5. There’s been plenty of news coverage recently on Greece’s issues with debt and potential Eurozone exit. Do you see the financial markets impacting the ILS market?I do not believe that the current Greek debt crisis and its

possible impact to the European Union will have as much

impact on the ILS market as it would with traditional asset

markets. On the other hand, I believe that in a scenario where

if Greece were to exit the European Union, it could impact

the ILS and reinsurance market in a couple ways. First, if the

exit were to negatively impact the Euro currency, then ILS

securities denominated in that currency will be immediately

affected. It is important to note that investors can remedy

this risk by hedging the currency with their home currency.

Second, ILS securities with collateral in European short-term

investments, such as notes issued by the European Bank for

Reconstruction and Development (EBRD), could face credit

rating changes, triggering provisions requiring that the

collateral be re-invested. While reinvestment would be a non-

event, I would foresee some modest pricing impact on the

ILS securities as the market prices any uncertainty involving

collateral conversion. Finally, there is the longer term impact

of a Greek exit—especially one that triggers a collapse of the

European Union—on insurance and reinsurance markets in

Europe. It is unclear how it could unfold but we believe that

the ILS market would benefit in outcomes where there is a

greater demand for reinsurance that arises from the collapse

of a currency union.

6. If you could put together a hypothetical portfolio, what types of risks, geographies and sponsors would you consider?In our investment process, we deploy a quantitative portfolio

construction process to manage the peril and geographical

risks of the catastrophe bond market. As it is well known

today, the ILS and catastrophe bond markets continue to be

highly concentrated in peril-regions where there is structural

demand for insurance. Florida is the best example as home

owners are required by law to have homeowners insurance

against hurricane events. At the same time, there are a

great number of perils and regions where insurance and

reinsurance are not well-developed for economic, political

and cultural reasons. An ideal portfolio would have exposure

in peak perils such as U.S. windstorm and earthquake but also

diversify into risks that impact other parts of the world yet to

be introduced to the ILS marketplace.

7. Did you download the movie “The Interview”? How do the risk transfer markets cover a growing global epidemic of cyber attacks?I have not had the opportunity to see “The Interview” but

I do recognize the growing demand for insurance against

cyber-attack. I believe that the risk transfer markets will

continue to service this growing market and that there will

be efforts and investment toward measuring this risk so that

the broad audience of capital providers in the insurance and

reinsurance market place will be willing to take on this risk.


Chin Liu—Pioneer Investments Vice President and Portfolio Manager

1. Please provide an overview of your firm and your rolePioneer Investments is a global asset manager with about

€220bn under management. Charles Melchreit is a Senior

Vice President, Director of Investment Grade Management,

and Portfolio Manager. Chin Liu is a Vice President and

Portfolio Manager. Together they are responsible for the

management of Pioneer’s ILS positions. Supported by a

team that includes analysts from Risk Modeling and Risk

Management, Credit Research, and Equity Research, they

determine ILS risk allocations and source new deals for all of

Pioneer’s Boston-based portfolios.

2. Where are you finding alternative investment opportunities in today’s markets?In our mind, there are multiple approaches to alternative

investing. One is alternative investment strategies that seek

uncorrelated returns versus traditional asset classes, such as

long-short fixed-income; another is alternative asset classes

such as REITs, commodities and ILS. As valuation of the

general financial market gets more and more expensive,

investors are looking to diversify their portfolios and seeking

non-correlated returns. ILS fits investors’ need very well. We

think ILS is a very attractive allocation within our multi-sector

portfolios. Unlike many alternative asset classes or strategies,

we find that the ILS sector is characterized by relatively

transparent, measurable risks, and in contrast to financial

market risks, these exhibit relative intertemporal stability.

3. How has your decision-making process for ILS investments impacted your AUM?Not applicable.



Yes, we think so. New infrastructure and technology help

cedants gather portfolio information and aggregate risks

much more efficiently. Catastrophe modeling firms have

continuously improved their models, incorporating the latest

research. It provides more transparent analytics for investors.

Given the demand for more supply of diversifying assets and

a better-educated investor base, it is a natural evolution.


The continued increase in knowledge of, and comfort with,

insurance risk within the alternative capital community will

drive a higher demand for diversifying elements in deals.

Within the property space, investors may look to expand the

risk into the primary insurance lines or risk associated with

developing countries. We may also observe increase support

of non-property catastrophe risks, such as aviation, marine,

and agriculture.

5. There’s been plenty of news coverage recently on Greece’s issues with debt and potential Eurozone exit. Do you see the financial markets impacting the ILS market?Not in the short term. We believe the ILS market is very much

independent of financial markets. Current ILS investors are

in the market for the long term. However, after a massive

loss in the financial markets, there could be many attractive

investment opportunities as financial risk reprices. Crossover

investors may therefore demand higher return potential from

the ILS market as their potential investment returns in other

markets become more compelling.

Aon Benfield 37

6. If you could put together a hypothetical portfolio, what types of risks, geographies and sponsors would you consider?The current ILS market is at a soft point during the reinsurance

cycle. The risk curve has flattened. Investors are not being

compensated by owning significant risks down the risk tower.

Therefore, this is a time to stay defensive and disciplined. We

would be looking to reduce portfolio risks by taking more

remote risks, improving portfolio diversification, providing

coverage to larger cedants or seeking index-driven deals, and

avoiding transactions with adverse selection.

7. Did you download the movie “The Interview”? How do the risk transfer markets cover a growing global epidemic of cyber-attacks?No, I did not download the movie. Actually, I have not

watched the movie yet. However, I am aware of the incident.

Cyber risks have been discussed quite a lot these days. At this

moment, we are still waiting for a few developments before

we can fully evaluate the risk. First, some legal and regulatory

development is a prerequisite for insurers and investors

to better specify the coverage and identify the potential

liabilities and losses. Second, there needs to be a systematic

approach to model and analyze the potential losses, as we do

not have much historical loss information in this area.

Lastly, a demand surge from protection buyers creating

attractive return profiles will be needed to motivate investors

to invest in the required research before allocating capital.

Rather than cyber risk being another peril represented

in the risk transfer markets alongside traditional risks, it

seems more likely that we will see the emergence of a

specialized engineering/insurance discipline evolve to

support this risk-taking. An analogy here might be the

development of the steam boiler insurance industry in

the 1860s, where companies provided both engineering

services to mitigate risk and insurance services to protect

against unavoidable risks.

Dirk Lohmann—Secquaero Advisors AG Chief Executive Officer and Managing Partner

1. Please provide an overview of your firm and your roleSecquaero Advisors Ltd. is a specialist advisory firm in the

areas of Insurance Linked Securities and Risk Management

for (re)insurers.

As an Insurance Linked Securities (ILS) specialist, we provide

investment solutions to clients seeking exposure to insurance

linked risk assets within their portfolio. We are the exclusive

ILS investment advisor to Schroder Investment Management

(Switzerland) AG which acts as investment manager for a

range of ILS funds and mandates that cover a spectrum from

pure catastrophe bond mandates to all ILS solutions which

can include life transactions or man-made risk. Secquaero is

majority-owned by its founders and employees. Schroder

International Holdings Ltd. holds an equity stake in Secquaero

since June 2013. Through our cooperation with Schroder

Investment Management, Secquaero is able to provide its

clients with the regulatory, governance and compliance

framework needed for an institutional product offering

focused on alternative reinsurance business including

collateralized reinsurance.

At Secquaero we have a team of 14 professionals stemming

from the reinsurance industry, complemented by 8

professionals at the Schroders ILS desk which, for all intents

and purposes, operates as one integrated team. My role

as Chairman and CEO of Secquaero is primarily focused

on product development and origination of underwriting

opportunities for the funds that we advise.

2. Where are you finding alternative investment opportunities in today’s markets?The team at Secquaero bring decades of reinsurance industry

experience to the table and have established relationships

with many market participants. As a consequence, generating

deal flow per se is not that great a problem. Our ability to

look beyond simple catastrophe model outputs and to quote

complex risks, structure and execute private or syndicated

transactions developed entirely from a clean sheet to meet

a sponsor’s needs generates opportunities outside of the

narrowly defined property catastrophe field.


One area that we are looking to further develop is what I

would classify as portfolio linked securitizations as opposed

to event driven securitizations. These could be in the area of

financing the future profits of a block of in-force life insurance

policies (Value of In-Force) or potentially in providing capital

relief on broadly defined portfolios in a solvency or regulatory

capital context.

3. How has your decision-making process for ILS investments impacted your AUM?Early in the company’s development it actually hindered

our growth in assets. That was because our first fund

was an unconstrained ILS fund that could entertain all

classes of insurance risk, both on an event or a portfolio

based securitization and including life as well as non-life

catastrophe exposures. It turned out that this was perhaps

a bit ahead of its time as most investors initially wanted

a catastrophe only product. In the interim, we have

broadened our range of fund offerings so that we can offer a

full range of styles. Interestingly, now the unconstrained “All

ILS” strategy is beginning to find more favor with investors,

particularly those who have already been in the catastrophe

space for a longer period of time and are now beginning

to appreciate the appeal of being able to capture other

opportunities outside of catastrophe risk, which has become

an increasingly crowded space.

I also am convinced that our decision to link up with

Schroders as a partner was critical to our growth in AUM.

Before linking up with Schroders we faced an uphill battle

in winning mandates from larger institutional clients. As

a small boutique we ended up spending a lot of time

educating potential investors on the benefits of investing in

ILS only to see them allocate to a larger institutional branded

peer. Through our alliance with Schroders we now offer a

fully compliant framework that meets the needs of a large

institutional client and this is what I think it takes given the

increasing regulatory requirements and growing involvement

of institutional investors in this asset class. I would add

that the link-up with Schroders has not had an impact on

our assessment or decision making process on individual

transactions. Rather, it has relieved Secquaero from much of

the “burden” associated with managing a fund in terms of

compliance, mid/back-office, admin, trading and increased

our ability to entertain new opportunities with a meaningful

capacity to move the market forward. Together the combined

team has become a meaningful participant in the ILS

community which was confirmed when the combined team

won the ILS Investor of the Year award at this year’s Trading

Risk Awards dinner.



I think that it is a development driven by the increasing

importance of specialist managers in the space. Prior to

2009 the market from a capacity perspective was dominated

by multi-strat hedge funds as opposed to dedicated ILS

managers. The dedicated managers have drawn the bulk

of their staff from the reinsurance industry and bring with

them a far greater familiarity of the customs and practice in

the reinsurance industry as well as the needs of the ceding

insurers / sponsors. Having said that, I am also somewhat

concerned when I see transactions offering the sponsor

elements of optionality, such as variable resets or call features

and early funding without any compensation to the investor

for granting these.


Conceptually I think there are a number of areas where

alternative capital might be employed. The key issue is

that the structure and risks covered must be ones that

meet the needs of a collateralized market and support the

fundamental value proposition supporting an allocation

to this alternative asset. With respect to structure, the key

constraint is the need for certainty as to whether collateral

supporting a given transaction is impaired by losses or not.

The individual transactions are usually unlevered, unlike the

balance sheet of a traditional reinsurer, so we can only earn

a risk premium when the collateral is unencumbered and

free to be redeployed to support new risk once an existing

risk has expired. This gets tricky for longer tail insurance

classes and can only be resolved by agreeing some form

of crystallization of incurred losses that allows for a quick

discovery of whether the collateral is impaired or not.

This makes liability exposures on a per risk or per event

basis challenging. On the other hand, one could consider

protections on a portfolio basis using aggregate structures,

provided the both parties are willing to consider an accident

year basis for determining the performance.

Aon Benfield 39

With respect to my second point, that the risks covered

support the fundamental value proposition of allocating to

insurance risk as an asset class, I need to stress the point that

the key selling point of insurance risk is its low correlation to

other financial risk assets. This means that the line of insurance

subject to the transaction should not be influenced by, or

strongly correlate with, macro-economic trends or market

risk. In my opinion this rules out classes such as mortgage

insurance, credit and surety, certain lines of professional

liability (i.e. Bankers E&O / D&O) and possibly also cyber and

terror on a stand-alone basis. On cyber and terror I am just

not sure whether one can credibly argue that a major event

that would potentially impact ILS investors would not also

have repercussions on financial markets. Another challenge

with these two exposures is that we also represent to our

investor clients that we understand and can price the risk.

Here I remain skeptical as to whether there is really sufficient

data available to do this.

5. There’s been plenty of news coverage recently on Greece’s issues with debt and potential Eurozone exit. Do you see the financial markets impacting the ILS market?I think it is fair to say that fiscal policy (whether you call it QE

or financial repression) post 2008 and ensuing Euro Crisis has

had an impact in that it has inflated the price of all financial

assets and potentially pushed some investors into the space in

the search for yield. Probably more important though was the

impact on traditional reinsurers; there unrealized capital gains

expanded as yields dropped resulting in a substantial increase

in available capital. The persistently low yields on high quality

government bonds (U.S. treasuries and German Bunds) have

resulted in lower ROE hurdles for the reinsurers since these are

typically expressed as a spread (i.e. 750 bps) over a reference

risk free rate (rolling average of 5 year governments). This

increase in capital, coupled with lower absolute return hurdles

and a low level of catastrophe losses over the past several

years has put immense pressure on prices and has also been

reflected in the ILS market where spreads have compressed

considerably from their peaks in 2009.

Interestingly, the Catastrophe Bond market has been

experiencing a modest degree of spread widening since

about mid-October last year when looking at movements

in the secondary prices for outstanding bonds. This has had

a dampening impact on performance and AUM growth

particularly during the latter part of the first half of 2015.

During the second quarter we have also witnessed a reversal

in the trend for long term bond yields which began increasing

in early May. This shift has begun to make its mark in the

investment returns of many reinsurers second quarter results

and it will be interesting to see whether the drop in reported

earnings in an environment of otherwise low catastrophe

losses will stiffen the resolve of reinsurance markets come the

next renewal.

6. If you could put together a hypothetical portfolio, what types of risks, geographies and sponsors would you consider?My idea of an ideal portfolio would include a mix of

catastrophe and non-catastrophe risks, which could also

include portfolio based securitizations in addition to event

driven transactions. Adding non-catastrophe and portfolio

based transaction would add diversification and ameliorate

the inherent tail heavy risk contained in a catastrophe only

portfolio. The portfolio based transactions could be on life

(Value of In-Force financing) and for non-life may include

protections on movements in reserves to address capital /

solvency related issues. The key challenge will be to get such

deals structured in a manner which allows a capital market

investor the ability to achieve certainty with respect to a

potential impairment of his collateral, so that free collateral

can be redeployed quickly. On that catastrophe side, my wish

would be for more geographies, such as Latin America, Asia

and even Europe to be included in the portfolio to diversify

against the peak U.S. exposures, but realistically I feel that

chances for finding diversification at reasonable returns are

greater in the non-catastrophe portfolio based transactions

than they are in non-peak catastrophe risk. Pricing today on

most non-peak catastrophe is simply too competitive to write

on a stand-alone basis and buying expensive non-peak risk

simply for diversification doesn’t make sense.


7. Did you download the movie “The Interview”? How do the risk transfer markets cover a growing global epidemic of cyber attacks? No, I did not, but I did read about the attack on Sony

Pictures Entertainment and the consequences it had with

respect to how the film ultimately made its way to the

public. The issue of cyber risk and the potential damage that

these can unleash on the impacted entities or economies

are truly concerning. It appears that this is one area where

Hollywood’s fantasies can hardly stay ahead of reality. Only

a few months ago I saw a documentary about the potential

weaknesses in the cyber security of automobiles and now

we read about Chrysler and other manufacturers having

to recall their vehicles for a security patch. I’m a big fan of

Bruce Willis and the “Die Hard” series, but what is scary is

that many of the scenes in Die Hard 4.0 are probably not all

that far from the truth. The so-called internet of things has

resulted in an interconnected world where the potential for

wide spread contagion and resulting damage is huge. As I

stated previously, I question whether there is sufficient data

available to properly price this risk today.

Aon Benfield 41

Appendix I

Catastrophe Bond Issuance Statistics

As of June 30, 2015



Figure 1: Catastrophe bond issuance by year, 2006 to 2015 (years ending June 30)


Figure 2: Outstanding and cumulative catastrophe bond volume, 2006 to 2015 (years ending June 30)


0

2,000

4,000

6,000

8,000

10,000

2015201420132012201120102009200820072006

5,914

1,705

4,3824,736

6,4316,665

6,981

9,400

8,145

3,279

USD

mill

ion

s

Property issuance Life and Health issuance

0

10,000

20,000

30,000

40,000

50,000

60,000

70,000

2015201420132012201120102009200820072006

USD

mil

lio

ns

Propertyoutstanding

Life and Healthoutstanding

Cumulative propertyissuance

Total cumulativebonds

6,558

12,91116,155

13,174 13,16711,504

15,12317,788

22,422 23,467

12,723

20,867

26,78228,487

33,223

37,605

44,037

50,702

60,102

67,083

Aon Benfield 43

Figure 3: Catastrophe bond issuance by half-year 2008 – 2015


Figure 4: Investor by category (years ending June 30)5


0

1,000

2,000

3,000

4,000

5,000

6,000

7,000

8,000

9,000

20152014201320122011201020092008

3,588

2,692

3,973

5,902

4,656

3,498

2,325

2,843

2,625

2,086320

1,7572,6502,510

1,385

USD

mill

ion

s

July - DecemberJanuary - June

2014

Institutional ReinsurerMutual Fund Hedge FundCatastrophe Fund

2015

32%

2%

9%

10%

47%

32%

6%

11%

5%

46%

5 Aon Securities’ analysis of investor category includes only those transactions in which the firm participated


Figure 5: Investor by country/region (years ending June 30)6


Figure 6: Historical performance of Aon ILS Indices


20142015

28%

14%

13%

11%

34%

9%

26%

7%

11%

47%

UK SwitzerlandBermuda OtherU.S.

-60%

20%

100%

180%

260% Aon ILS U.S. EQAon ILS BB IndexAon ILS Index Aon ILS U.S. Hurricane

Jun2005

Jun2006

Jun2007

Jun2008

Jun2009

Jun2010

Jun2011

Jun2012

Jun2013

Jun2015

Jun2014

6 Aon Securities’ analysis of investor geographic attributes includes only those transactions in which the firm participated

Aon Benfield 45

Figure 7: Aon All Bond ILS index versus financial benchmarks


Figure 8: Alternative market development


-60%

20%

100%

180%

260%

Jun2005

Jun2006

Jun2007

Jun2008

Jun2009

Jun2010

Jun2011

Jun2012

Jun2013

Jun2015

Jun2014

CMBS 3-5 Year, Fixed Rate Index

S&P 500

ABS 3-5 Year, Fixed Rate Index

3-5 Year BB Cash Pay U.S. High Yield IndexAon All Bond ILS Index

3-5 Year U.S. Treasury Notes Index

0

10

20

30

40

50

60

70

80

1H2015201420132012201120102009200820072006

USD

mill

ion

s

Collateralized re and othersILWSidecarCatastrophe bonds

1722

1922

2428

44

50

64

68


Figure 9: Global reinsurer capital

Source: Individual company reports, Aon Benfield Analytics, Aon Securities

Figure 10: ILW trade volume and U.S. ANP price movement

Source: The Global Re Specialty team of Aon U.K. Limited

0

100

200

300

400

500

600

700

800

1H2015201420132012201120102009200820072006

USD

bill

ion

s

Alternative capitalTraditional capital Global reinsurer capital

6%

385

368 388 321 378 447 428 461 490 511 497

17 22 19 22 24 28 44 50 64 68

410

340

400

470 455

505540

575 565

-17% 18%

18%-3% 11%

7%6% -2%

Q22011

Q22014

Q22015

Q22013

Q22012

Total U.S. trade volume $30 billion ANP$50 billion ANP$80 billion ANP

Tota

l U.S

. tra

de

volu

me

Price m

ovemen

t by q

uarter

0

300

600

900

1200

1500

30

60

90

120

150

LegendANP — All Natural Perils

Aon Benfield 47

Appendix II

Property Catastrophe Bonds—Transaction Summary

As of June 30, 2015



Summary of catastrophe bonds — December 1996 through June 2015

Issuance Date Beneficiary Issuer Series Class Perils Trigger Collateral

Size (thousands) Moody’s S&P Fitch

Dec-96 St Paul Re UK George Town Re, Ltd.

Worldwide All Perils incl. Marine

& AviationIndemnity TRS $44,500

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

Worldwide All Perils incl. Marine

& AviationIndemnity TRS $24,000 Aaa AAA

Jun-97 United Services Automobile Association

Residential Reinsurance

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



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

Oct-97 Swiss Reinsurance Company Ltd.

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

Oct-97 Swiss Reinsurance Company Ltd.*

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


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


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

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

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

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

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

Mar-98 Centre Solutions (Bermuda) Limited (Zurich Group) Trinity Re, Ltd. Class A-1 US HU Indemnity TRS $10,467 Aaa AAA

Mar-98 Centre Solutions (Bermuda) Limited (Zurich Group) Trinity Re, Ltd. Class A-2 US HU Indemnity TRS $61,533 Ba3 BB



LimitedUS HU Indemnity TRS $450,000 Ba2 BB BB

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

Jul-98 United States Fidelity and Guaranty Company Mosaic Re, Ltd. US HU, EQ, ST Indemnity TRS $9,000

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

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

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

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

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

Feb-99 United States Fidelity and Guaranty Company Mosaic Re II, Ltd. Class B US HU, EQ, ST Indemnity TRS $20,000

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

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

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

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

*Equity

Aon Benfield 49





LimitedUS HU Indemnity TRS $200,000 Ba2 BB

Jun-99Gerling-Konzern Globale Rückversicherungs-Aktienfesellschaft

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

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

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

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

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

Nov-99Gerling-Konzern Globale Rückversicherungs-Aktienfesellschaft

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

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

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

Mar-00 SCOR Atlas Reinsurance p.l.c. Class A EU Wind,

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

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

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

Mar-00 SCOR Atlas Reinsurance p.l.c. Class C EU Wind,

CA/JP EQ Indemnity TRS $100,000 B- B-

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

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

May-00 State Farm Companies* Alpha Wind 2000-A Ltd. US HU Indemnity TRS $37,500 BB



2000 LimitedUS HU Indemnity TRS $200,000 Ba2 BB+

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

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

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

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

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

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

Dec-00 Munich RePRIME Capital

CalQuake & EuroWind Ltd.

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

Dec-00 Munich Re*PRIME Capital

CalQuake & EuroWind Ltd.

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

Dec-00 Munich Re PRIME Capital Hurricane Ltd. US HU Parametric

Index TRS $159,000 Ba3 BB+ BB

Dec-00 Munich Re* PRIME Capital Hurricane Ltd. Class B US HU Parametric

Index TRS $6,000

Feb-01 Swiss Reinsurance Company Ltd.

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

*Equity




Feb-01 Swiss Reinsurance Company Ltd.*

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

Mar-01 American ReGold Eagle

Capital 2001 Limited

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

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

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

EU WindParametric

Index TRS $1,800 BB BB

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

EU WindParametric

Index TRS $1,800 BB BB

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

EU WindParametric

Index TRS $58,200 BB+ BB+

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

EU WindParametric

Index TRS $58,200 BB+ BB+




Jun-01 Zurich Insurance Company* Trinom Ltd. US HU, EQ, EU Wind Modeled Loss TRS $4,856 B2 B+

Jun-01 Zurich Insurance Company Trinom Ltd. Class A-1 US HU, EQ, EU Wind Modeled Loss TRS $60,000 Ba2 BB BB-

Jun-01 Zurich Insurance Company Trinom Ltd. Class A-2 US HU, EQ, EU Wind Modeled Loss TRS $97,000 Ba1 BB+ BB

Dec-01 SCOR Atlas Reinsurance II p.l.c. Class A EU Wind,

CA/JP EQ

Parametric/Parametric

IndexTRS $50,000 A3 A

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

CA/JP EQ

Parametric/Parametric

IndexTRS $100,000 Ba2 BB+

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

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

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

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

Apr-02 Lloyd's Syndicate 33 (Hiscox) St. Agatha Re Ltd. US EQ Modeled Loss Bank Deposit $33,000 BB+

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

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

May-02 United Services Automobile Association



Jun-02 Swiss Reinsurance Company Ltd.

PIONEER 2002 Ltd.

Series 2002-1 Class A US HU Parametric

Index TRS $85,000 Ba3 BB+


PIONEER 2002 Ltd.

Series 2002-1 Class B EU Wind Parametric



PIONEER 2002 Ltd.

Series 2002-1 Class C US EQ Parametric



PIONEER 2002 Ltd.

Series 2002-1 Class D US EQ Parametric

Index TRS $40,000 Baa3 BBB-

*Equity

Aon Benfield 51




PIONEER 2002 Ltd.

Series 2002-1 Class E JP EQ Parametric



PIONEER 2002 Ltd.

Series 2002-1 Class F US/EU Wind,

US/JP EQParametric


Sep-02 Swiss Reinsurance Company Ltd.

PIONEER 2002 Ltd.




PIONEER 2002 Ltd.




PIONEER 2002 Ltd.



Dec-02 Swiss Reinsurance Company Ltd.

PIONEER 2002 Ltd.




PIONEER 2002 Ltd.




PIONEER 2002 Ltd.




PIONEER 2002 Ltd.




PIONEER 2002 Ltd.




PIONEER 2002 Ltd.


US/JP EQParametric


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

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

Mar-03 Swiss Reinsurance Company Ltd.

PIONEER 2002 Ltd.




PIONEER 2002 Ltd.




PIONEER 2002 Ltd.




PIONEER 2002 Ltd.




PIONEER 2002 Ltd.




PIONEER 2002 Ltd.


US/JP EQParametric




2003 LimitedUS HU, EQ Indemnity TRS $160,000 Ba2 BB+


PIONEER 2002 Ltd.




PIONEER 2002 Ltd.




PIONEER 2002 Ltd.




PIONEER 2002 Ltd.



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-

*Equity




Jun-03 Zenkyoren Phoenix Quake Wind Ltd. JP TY, EQ Parametric

Index TRS $192,500 Baa3 BBB+

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

CA/JP EQParametric

Index TRS $95,000 B

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

CA/JP EQParametric

Index TRS $26,500 A1 A+

Jul-03 Swiss Reinsurance Company Ltd. Palm Capital Ltd. Series 1 US HU Parametric


Jul-03 Swiss Reinsurance Company Ltd. Oak Capital Ltd. Series 1 EU Wind Parametric


Jul-03 Swiss Reinsurance Company Ltd.

Sequoia Capital Ltd. Series 1 US EQ Parametric



Sakura Capital Ltd. Series 1 JP EQ Parametric


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

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

CA/JP EQParametric

Index TRS $60,000 B

Dec-03 Swiss Reinsurance Company Ltd. Palm Capital Ltd. Series 2 US HU Parametric


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

CA/JP EQParametric

Index TRS $8,850 B


PIONEER 2002 Ltd. US EQ Parametric


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+


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


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

Mar-04 Swiss Reinsurance Company Ltd. Oak Capital Ltd. Series 2 EU Wind Parametric





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

CA/JP EQParametric

Index TRS $21,000 B



2004 LimitedClass A US HU, EQ Indemnity TRS $127,500 BB



2004 LimitedClass B US HU, EQ Indemnity TRS $100,000 B

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

Deposit $100,000 BB+

Jun-04 Swiss Reinsurance Company Ltd. Arbor Ltd. Series 5 US/EU Wind,

CA/JP EQParametric

Index TRS $18,000 B

Jun-04 Swiss Reinsurance Company Ltd. Gi Capital Ltd. JP EQ Parametric

Index TRS $125,000 BB+

Sep-04 Swiss Reinsurance Company Ltd. Oak Capital Ltd. Series 3 EU Wind Parametric





Aon Benfield 53



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

CA/JP EQParametric

Index TRS $31,800 B

Nov-04 Hartford Fire Insurance Company

Foundation Re Ltd.

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


Foundation Re Ltd.

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


CA/JP EQParametric

Index TRS $15,000 B


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


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

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

CA/JP EQParametric

Index TRS $20,000 B



2005 LimitedClass A US HU, EQ Indemnity TRS $91,000 BB



2005 LimitedClass B US HU, EQ Indemnity TRS $85,000 B

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

Jun-05 Swiss Reinsurance Company Ltd. Arbor I Ltd. Series 9 US/EU Wind,

CA/JP EQParametric

Index TRS $25,000 B

Jul-05 Zurich American Insurance Company

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

Nov-05 PXRE Reinsurance Ltd.Atlantic &

Western Re Limited

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

Nov-05 PXRE Reinsurance Ltd.Atlantic &

Western Re Limited

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

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


CA/JP EQParametric

Index TRS $18,000 B

Dec-05 PXRE Reinsurance Ltd.Atlantic &

Western Re II Limited

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

Dec-05 PXRE Reinsurance Ltd.Atlantic &

Western Re II Limited

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

Dec-05 Montpelier Reinsurance Ltd. Champlain Limited Class A US/JP EQ Modeled Loss TRS $75,000 B B-

Dec-05 Montpelier Reinsurance Ltd. Champlain Limited Class B US HU, EQ Modeled Loss TRS $15,000 B+ B-

Jan-06 Swiss Reinsurance Company Ltd. Australis Ltd. Series 1 AU CY, EQ Parametric

Index TRS $100,000 BB


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


Redwood Capital VIII, Ltd. US EQ Industry Index TRS $65,000 BB+

Feb-06 Hartford Fire Insurance Company

Foundation Re Ltd.

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

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




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

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

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



2006 LimitedClass A US HU, EQ Indemnity TRS $47,500 B



2006 LimitedClass C US HU, EQ Indemnity TRS $75,000 BB+


Successor Hurricane

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


Successor Hurricane

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


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


Successor Euro Wind Ltd. Series 2 Class A EU Wind Parametric

Index TRS $3,000 Ba3 BB


Successor Euro Wind Ltd. Series 2 Class C EU Wind Parametric

Index TRS $3,000 B3 B


Successor Hurricane

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


Successor Hurricane

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


Successor Hurricane



Successor Hurricane



Successor Hurricane

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


Successor Hurricane

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


Successor Cal Quake

Parametric Ltd.Series 1 Class A US EQ Parametric



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


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


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





Successor Euro Wind Ltd. Series 1 Class B EU Wind Parametric

Index TRS $18,500 B1 BB-




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

US/JP EQ

Modeled Loss, Parametric

IndexTRS $73,200 B3 B

Aon Benfield 55



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

US/JP EQ


IndexTRS $154,250

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

JP EQ


IndexTRS $7,200

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

US/JP EQ


IndexTRS $30,000 B

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

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

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

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

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

Jun-06 Balboa Insurance Group VASCO Re 2006 Ltd. US HU Indemnity Bank

Deposit $50,000 BB+

Jun-06 Dominion Resources DREWCAT Capital, Ltd. Class A US HU Parametric

Index TRS $50,000 NR

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

Aug-06 Endurance Specialty Insurance Company

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


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


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

Aug-06 Tokio Marine & Nichido Fire Insurance Co., Ltd. Fhu-Jin Ltd. Series 1 Class B JP TY Parametric


Aug-06 Swiss Reinsurance Company Ltd.

Successor Hurricane


Aug-06 Factory Mutual Insurance Company

Cascadia II Limited US EQ Parametric Bank

Deposit $300,000 BB+ BB+


Foundation Re II Ltd.

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


Foundation Re II Ltd.

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

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

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

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

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

Dec-06 Swiss Reinsurance Company Ltd. Successor I Ltd. Series 1 Class B NA/EU W,

CA/JP EQ

Industry Index, Modeled Loss,

Parametric Index

TRS $4,000


Successor Hurricane


Dec-06 Swiss Reinsurance Company Ltd. Successor I Ltd. Series 2 Class B NA/EU W,

CA/JP EQ

Industry Index, Modeled Loss,

Parametric Index

TRS $24,500


Successor Hurricane











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


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


Redwood Capital IX Ltd. Series 1 Class A US EQ Parametric



Redwood Capital IX Ltd. Series 1 Class B US EQ Parametric



Redwood Capital IX Ltd. Series 1 Class C US EQ Parametric



Redwood Capital IX Ltd. Series 1 Class D US EQ Parametric



Redwood Capital IX Ltd. Series 1 Class E US EQ Parametric


Jan-07 ACE American Insurance Company

Calabash Re II Ltd.

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


Calabash Re II Ltd.

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


Calabash Re II Ltd.

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

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

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

Flood


IndexTRS $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 Swiss Reinsurance Company Ltd. Successor II Ltd. Series 2 Class A NA/EU W,

CA/JP EQ


IndexTRS $100,000 B

May-07 Mitsui Sumitomo Insurance Co., Ltd. AKIBARE Ltd. Series 1 Class A JP TY Parametric


May-07 Mitsui Sumitomo Insurance Co., Ltd. AKIBARE Ltd. Series 1 Class B JP TY Parametric


May-07 Swiss Reinsurance Company Ltd. MedQuake Ltd. Series 1 Class A EU EQ Parametric

Index TRS $50,000 BB-

May-07 Swiss Reinsurance Company Ltd. MedQuake Ltd. Series 1 Class B EU EQ Parametric

Index TRS $50,000 B

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

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



2007 Limited

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

Aon Benfield 57





2007 Limited

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



2007 Limited




2007 Limited

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



2007 Limited

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, U.S. Q Industry Index,

Modeled Loss TRS $75,000 B

Jun-07 Allstate Insurance Company Willow Re Ltd. Series 2007-1 Class B US HU Industry Index TRS $250,000 BB+


Spinnaker Capital Ltd.

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

Jun-07 Brit Insurance Limited Fremantle Limited

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

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


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

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


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

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



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


FUSION 2007 Ltd. Class A JP TY, Mexico EQ Parametric

Index TRS $30,000 B


FUSION 2007 Ltd. Class B JP TY, Mexico EQ Parametric

Index TRS $80,000 B


FUSION 2007 Ltd. Class C Mexico EQ Parametric


Jul-07State Farm Mutual Automobile Insurance Company

Merna Reinsurance Ltd.

Tranche A

NA HU, EQ, ST, WS, WF Indemnity TRS $350,000 Aa2 AAA



Tranche B

NA HU, EQ, ST, WS, WF Indemnity TRS $666,600 A2 AA+



Tranche C

NA HU, EQ, ST, WS, WF Indemnity TRS $164,000 Baa2 A-

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

Perils Indemnity TRS $94,500 A-

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

Perils Indemnity TRS $30,750 BBB-



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

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

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

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

Nov-07 SCOR Global P&C SE Atlas Reinsurance IV Limited EU Wind, JP EQ Modeled Loss TRS €160,000 B

Dec-07 Catlin Group Newton Re Limited

Series 2007-1 Class A US EQ Industry Index Bank

Deposit $87,500 BB+




Dec-07 Catlin Group Newton Re Limited

Series 2007-1 Class B US HU Industry Index Bank


Dec-07 Swiss Reinsurance Company Ltd. GlobeCat Ltd. Series

LAQ Class A-1 Latin America EQ Modeled Loss TRS $25,000 Ba3


USW Class A-1 US HU Industry Index TRS $40,000 B3


CAQ Class A-1 US EQ Industry Index TRS $20,000 B1

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


Successor Hurricane

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


Successor Hurricane


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

US/JP EQParametric

Index TRS $50,000

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

US/JP EQParametric

Index TRS $50,000


Redwood Capital X Ltd. Series 1 Class A US EQ Parametric

Index TRS $25,000 Baa3


Redwood Capital X Ltd. Series 1 Class B US EQ Parametric

Index TRS $227,700 Ba2


Redwood Capital X Ltd. Series 1 Class C US EQ Parametric



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


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


Redwood Capital X Ltd. Series 2 Class F US EQ Industry Index TRS $20,000 NR

Feb-08 Catlin Group Newton Re Limited

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

US/JP EQ Indemnity TRS $150,000 BB

Mar-08 Munich Re Queen Street Ltd. Series 1 Class A EU Wind Parametric

Index TRS €70,000 BB+

Mar-08 Munich Re Queen Street Ltd. Series 1 Class B EU Wind Parametric

Index TRS €100,000 B

Mar-08 Chubb Group East Lane Re II Ltd.

Series 2008-I Class A Northeast U.S. All

Natural Perils Indemnity TRS $75,000 BB


Series 2008-I Class B Northeast U.S. All

Natural Perils Indemnity TRS $70,000 BB


Series 2008-I Class C NA All

Natural Perils Indemnity TRS $55,000 B-

May-08 Zenkyoren Muteki Ltd. Series 2008-1 Class A JP EQ Parametric


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



2008 Limited

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

Aon Benfield 59





2008 Limited




2008 Limited

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

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

May-08Flagstone Reinsurance Limited and Flagstone Reassurance Suisse SA

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

US/JP EQ Indemnity TRS $64,000 Ba2

May-08Flagstone Reinsurance Limited and Flagstone Reassurance Suisse SA

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

US/JP EQ Indemnity TRS $40,000 B3

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

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

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

Jun-08 Allstate Insurance Company Willow Re Ltd. Series 2008-1 Class D US HU Industry Index TRS $250,000 BB+

Jun-08 Nationwide Mutual Insurance Company

Caelus Re Limited

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

Jun-08 Swiss Reinsurance Company Ltd. Vega Capital Ltd. Series

2008-I Class A US/EU/JP Wind, US/JP EQ

Parametric Index TRS $21,000 A3 A-


2008-I Class B US/EU/JP Wind, US/JP EQ

Parametric Index TRS $22,500 Baa2 BBB


2008-I Class C US/EU/JP Wind, US/JP EQ

Parametric Index TRS $63,900 Ba3


2008-I Class D US/EU/JP Wind, US/JP EQ

Parametric Index TRS $42,600

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

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


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


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

Aug-08 Platinum Underwriters Bermuda Ltd.

Topiary Capital Limited

Series 2008-1 Class A US/EU W,

US/JP EQ Industry Index TRS $200,000 BB+

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

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

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

Mar-09 Chubb Group East Lane Re III Ltd.

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

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

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

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

Apr-09 Swiss Reinsurance Company Ltd. Successor II Ltd. Series 4 Class F US HU, EQ Parametric

Index MMF $60,000

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

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






2009 Limited

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



2009 Limited

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



2009 Limited

Series 2009-I Class 4 US (HU, EQ, ST,

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

Jun-09 Munich Re Ianus Capital Ltd. EU Wind, EQParametric

Index, Modeled Loss

MTN €50,000 B2

Jun-09 ACE American Insurance Company

Calabash Re III Ltd.

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

Jun-09 ACE American Insurance Company

Calabash Re III Ltd.

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

Jul-09 North Carolina JUA/IUA Parkton Re Ltd. Series 2009-1 NC Wind Indemnity MMF $200,000 B+

Jul-09 Hannover Re Eurus II Ltd. Series 2009-1 Class A EU Wind Parametric

Index TPR €150,000 BB

Oct-09 The Fund for Natural Disasters

MultiCat Mexico 2009 Limited

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



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



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



Series 2009-I Class D Mex, HU Atlantic Parametric MMF $50,000 BB-

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

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

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

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

Dec-09 Swiss Reinsurance Company Ltd. Successor X Ltd. Series

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

Industry Index, Parametric

IndexMMF $50,000


2009-1Class I-U1 US HU, EQ


IndexMMF $50,000 B-


2009-1Class I-X1 US HU, EQ


IndexMMF $50,000

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

Series 2009-1 Class A EU Wind, JP EQ Parametric

Index Repo €75,000 BB-

Dec-09 The Travelers Indemnity Company

Longpoint Re II Ltd.

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

Dec-09 The Travelers Indemnity Company

Longpoint Re II Ltd.

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

Dec-09Zurich American Insurance Company, Zurich Insurance Company Ltd

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


Redwood Capital XI Ltd.

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

Jan-10 Hartford Fire Insurance Company

Foundation Re III Ltd.


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

2010-1Class

II-CN3 US HU, EU Wind Industry Index, Modeled Loss MMF $45,000 B-

Aon Benfield 61




2010-1Class

II-CL3 US HU, EU Wind Industry Index, Modeled Loss MMF $35,000


2010-1Class

II-BY3US HU, EQ

EU Wind, JP EQIndustry Index,

Modeled Loss MMF $40,000

Apr-10 State Farm Fire and Casualty Company

Merna Reinsurance

II Ltd.US EQ Indemnity MMF $350,000 BB+

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

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

May-10 North Carolina JUA/IUA Johnston Re Ltd. Series 2010-1 Class A US HU Indemnity MMF $200,000 BB-

May-10 North Carolina JUA/IUA Johnston Re Ltd. Series 2010-1 Class B US HU Indemnity MMF $105,000 BB-

May-10National Union Fire Insurance Company of Pittsburgh

Lodestone Re Ltd.

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

May-10National Union Fire Insurance Company of Pittsburgh

Lodestone Re Ltd.

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

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

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


IndexMMF $30,000 Ba3

May-10 Nationwide Mutual Insurance Company

Caelus Re II Limited

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

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

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


Residential Reinsurance 2010

Limited

Series 2010-I Class 1 US HU, EQ, ST,

WS, WF Indemnity MMF $162,500 BB



Limited


WS, WF Indemnity MMF $72,500 B+



Limited


WS, WF Indemnity MMF $52,500 B-



Limited


WS, WF Indemnity MMF $117,500

Jun-10State Farm Mutual Automobile Insurance Company

Merna Reinsurance

III Ltd

NA HU, EQ, ST, WS, WF Indemnity MMF $250,000

Jul-10Massachusetts Property Insurance Underwriting Association

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

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

Oct-10 AXA Global P&C Calypso Capital Limited

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

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

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

Dec-10 United Services Automobile Association


Limited

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

WS, WF Indemnity MMF $210,000 BB






Limited





Limited




Series 2010-1 Class A EU Wind, JP EQ Parametric

Index TPR €75,000 B-

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

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

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

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

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

2010-2 US ST Industry Index MMF $100,000

Dec-10National Union Fire Insurance Company of Pittsburgh

Lodestone Re Ltd.

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


Lodestone Re Ltd.

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

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

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


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


2010-1 Class EUS HU, EQ,

EU Wind, JP TY, EQ

Multiple TPR $60,000 B-


2011-1Class III-R3

US HU, EQ , AUS EQ


IndexMTN $65,000 B-


2011-1Class III-S3

US HU, EQ , AUS EQ


IndexMTN $50,000 B-


2011-1Class III-T3

US HU, EQ , AUS EQ


IndexMTN $55,000

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

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

Feb-11 Hartford Fire Insurance Company

Foundation Re III Ltd.


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

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


2011-2Class

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

Mar-11 Chubb Group East Lane Re IV Ltd.

Series 2011-I Class A US HU, EQ,

ST, WS Indemnity MMF $225,000 BB+

Mar-11 Chubb Group East Lane Re IV Ltd.

Series 2011-I Class B US HU, EQ,

ST, WS Indemnity MMF $250,000 BB

Mar-11 Munich Re Queen Street II Capital Limited US HU, EU Wind Industry Index MMF $100,000 BB-

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

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

May-11 North Carolina JUA/IUA Johnston Re Ltd. Series 2011-1 Class B US HU Indemnity MMF $131,835 BB-

Aon Benfield 63





Limited





Limited


WS, WF Indemnity MMF $33,000 B-



Limited



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

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

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

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

Aug-11 California Earthquake Authority

Embarcadero Reinsurance Ltd.

Series 2011-I Class A CAL EQ Indemnity MMF $150,000 BB-

Aug-11 Electricité Réseau Distribution France

Pylon II Capital Limited Class A FR Wind Parametric

Index TPR €65,000 B+

Aug-11 Electricité Réseau Distribution France

Pylon II Capital Limited Class B FR Wind Parametric

Index TPR €85,000 B-

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

2011-1 JP TY Indemnity MTN $160,000

Oct-11 AXA Global P&C Calypso Capital Limited

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

Oct-11 Munich Re Queen Street IV Capital Limited US HU, EU Wind Industry Index MMF $100,000 BB-

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

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

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

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

Nov-11 United Services Automobile Association


Limited





Limited




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


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


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

Dec-11 State Compensation Insurance Fund

Golden State Re Ltd.

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


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


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


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

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

EU Wind Industry Index MMF $150,000 B-

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

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




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

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

Feb-12 California Earthquake Authority


Series 2012-I Class A CAL EQ Indemnity MMF $150,000 BB-

Feb-12 Zenkyoren Kibou Ltd. Series 2012-1 Class A JP EQ Parametric

Index MMF $300,000 BB+


2012-1Class

V-AA3 US HU, EU Wind Industry Index MMF $23,000


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

Feb-12 Munich Re Queen Street V Re Limited US HU, EU Wind Industry Index MMF $75,000

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

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

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

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

Mar-12 Chubb Group East Lane Re V Ltd.

Series 2012 Class A Southeast HU, ST Indemnity MMF $75,000 BB

Mar-12 Chubb Group East Lane Re V Ltd.

Series 2012 Class B Southeast HU, ST Indemnity MMF $75,000 BB-

Mar-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 COUNTRY Mutual & North Carolina Farm Bureau Mutual Combine Re Ltd. Class B US HU, EQ,

ST, WS Indemnity MMF $50,000 Ba3

Mar-12 COUNTRY Mutual & North Carolina Farm Bureau Mutual Combine Re Ltd. Class C US HU, EQ,

ST, WS Indemnity MMF $50,000

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

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

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

NA EQ Industry Index MTN $120,000 BB-

Apr-12 Louisiana Citizens Property Insurance Corporation Pelican Re Ltd. Series

2012-1 Class A LA HU Indemnity MMF $125,000

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

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

Apr-12 Citizens Property Insurance Corporation

Everglades Re Ltd.

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

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

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


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


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



Limited


WS, CAL WF Indemnity MMF $50,000 BB-



Limited


WS, CAL WF Indemnity MMF $110,000 BB



Limited


WS, CAL WF Indemnity MMF $40,000

Jun-12 The Travelers Indemnity Company

Long Point Re III Ltd.

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

Aon Benfield 65



Jul-12 Munich Re Queen Street VI Re Limited US HU, EU Wind Industry Index MMF $100,000 B

Jul-12 California Earthquake Authority


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


Series 2012-I Class B Mex HU Atlantic Parametric MMF $75,000 B+


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 Swiss Reinsurance Company Ltd. Mythen Re Ltd. Series

2012-2 Class A US HU, U.K. Mortality Industry Index MTN $120,000 B+

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

2012-2 Class C US HU Industry Index MTN $80,000 B-



2012 Limited


WS, CAL WF Indemnity MMF $155,000 BB+



2012 Limited


WS, CAL WF Indemnity MMF $70,000 BB



2012 Limited





2012 Limited




Compass Re Ltd. Series 2012-1 Class 1 US HU, EQ Industry Index MMF $400,000

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

Lakeside Re III Ltd. US, CAN EQ Indemnity MMF $270,000 B+

Mar-13 Nationwide Mutual Insurance Company

Caelus Re 2013 Limited

Series 2013-1 Class A US HU, EQ Indemnity MMF $270,000 BB-

Mar-13 Citizens Property Insurance Company

Everglades Re Ltd.

Series 2013-1 Class A FL HU Indemnity MMF $250,000 B

Apr-13 State Farm Fire and Casualty Company Merna Re IV Ltd. New Madrid EQ Indemnity MMF $300,000

Apr-13 Nationwide Mutual Insurance Company

Caelus Re 2013 Limited

Series 2013-2 Class A US HU, EQ Indemnity MMF $320,000

Apr-13 North Carolina JUA/IUA Tar Heel Re Ltd. Series 2013-1 Class A NC Hurricane Parametric

Index MMF $500,000 B+

Apr-13 Turkish Catastrophe Insurance Pool

Bosphorus 1 Re Ltd.

Series 2013-1 Class A Turkey EQ Industry Index MMF $400,000 BB+

May-13 Allstate Insurance Company Sanders Re Ltd. Series 2013-1 Class A US HU, EQ Industry Index MMF $200,000 BB+

May-13 Allstate Insurance Company 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


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

2013-1 Class A Florida HU Indemnity MMF $183,000 BB+

May-13 Travelers Indemnity Company


Series 2013-1 Class A Northeast HU Indemnity MMF $300,000 BB

May-13 Allianz Argos 14 GmbH Blue Danube II Ltd.

Series 2013-1 Class A US/CB/MX HU &

NA EQ Industry Index MTN $175,000 BB+



Limited





Limited


WS, CAL WF Indemnity MMF $95,000 B-

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 Industry Index,

Modeled Loss MMF $75,000

Jun-13 Amlin AG Tramline Re II Ltd.

Series 2013-1 Class A NA 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 BB

Jul-13 Swiss Reinsurance Company Ltd. Mythen Re Ltd. Series

2013-1 Class B-1 US HU Industry Index MMF $100,000

Jul-13 Renaissance Reinsurance Ltd. Mona Lisa Re Ltd. Series

2013-2 Class A US HU, EQ Industry Index MMF $150,000 BB-

Jul-13 American International Group

Tradewynd Re Ltd.

Series 2013-1 Class 1 US, CB HU,

NA EQ Indemnity MMF $125,000 B+

Jul-13 Metropolitan Transportation Authority MetroCat Re Ltd. Series

2013-1 Class A Northeast Storm Surge

Parametric Index MMF $200,000 BB-

Aug-13 AXIS Specialty Limited Northshore Re Limited

Series 2013-1 Class A US HU, EQ Industry Index MMF $200,000 BB-

Sep-13National Mutual Insurance Federation of Agricultural Cooperatives

Nakama Re Ltd. Series 2013-1 Class 1 JP EQ Indemnity MMF $300,000 BB+

Oct-13 AXA Global P&C Calypso Capital II Limited Class A EU Wind Industry Index MTN €185,000 BB-

Oct-13 AXA Global P&C Calypso Capital II Limited Class B EU Wind Industry Index MTN €165,000 B+

Oct-13 Catlin Insurance Company Ltd. Galileo Re Ltd. Series

2013-1 Class A US HU, EQ, EU Wind Industry Index MMF $300,000



Limited





Limited


WS, WF Indemnity MMF $70,000 BB-

Dec-13 American International Group

Tradewynd Re Ltd.

Series 2013-2 Class 1-A US/CB HU, NA

EQ Indemnity MMF $100,000


Tradewynd Re Ltd.

Series 2013-2 Class 3-A US/CB HU, NA


Aon Benfield 67




Tradewynd Re Ltd.

Series 2013-2 Class 3-B US/CB HU, NA


Dec-13 Achmea Reinsurance Company N.V.

Windmill I Re Ltd.

Series 2013-1 Class A EU Wind Indemnity MMF €40,000

Dec-13 American Modern Insurance Group, Inc.

Queen City Re Ltd.

Series 2013-1 Class A US HU Indemnity MMF $75,000

Dec-13 Argo Re, Ltd.Loma

Reinsurance (Bermuda) Ltd.

Series 2013-1 Class A US/CB HU, U.S.

ST, NA/CB EQIndemnity,

Industry Index MMF $32,000



Series 2013-1 Class B US/CB HU, U.S.





Series 2013-1 Class C US/CB HU, U.S.



Dec-13 QBE Insurance Group Limited VenTerra Re Ltd. Series

2013-1 Class A US EQ, AUS CY, EQ Indemnity MMF $250,000 BB

Feb-14


Queen Street IX Re Limited US HU, AUS CY Multiple MMF $100,000

Mar-14 Chubb Group East Lane Re VI Ltd.

Series 2014-1 Class A Northeast U.S.

HU, EQ, ST, WS Indemnity MMF $270,000 BB+

Mar-14 American Strategic Insurance Group Gator Re Ltd. Series

2014-1 Class A US HU, ST Indemnity MMF $200,000

Mar-14 Tokio Marine & Nichido Fire Insurance Co., Ltd. Kizuna Re II Ltd. Series

2014-1 Class A JP EQ Indemnity MMF $200,000


2014-1 Class B JP EQ Indemnity MMF $45,000

Mar-14 Great American Insurance Company Riverfront Re Ltd. NA HU, EQ,

ST & WS Indemnity MMF $95,000 BB-

Mar-14 State Farm Fire and Casualty Company Merna Re V Ltd. New Madrid EQ Indemnity MMF $300,000

Apr-14Heritage Property & Casualty Insurance Company

Citrus Re Ltd. Series 2014-1 Class A FL HU Indemnity MMF $150,000


Citrus Re Ltd. Series 2014-2 Class 1 FL HU Indemnity MMF $50,000

Apr-14 Assicurazioni Generali S.p.A. Lion I Re Limited EU Wind Indemnity MTN €190,000 B+

Apr-14 Everest Reinsurance Company

Kilimanjaro Re Limited

Series 2014-1 Class A SE HU Industry Index MMF $250,000 BB-

Apr-14 Everest Reinsurance Company


Series 2014-1 Class B NA HU, EQ Industry Index MMF $200,000 BB-

May-14 American Coastal Insurance Company Armor Re Ltd. Series

2014-1 Class A FL HU Indemnity MMF $200,000

May-14 Citizens Property Insurance Corporation

Everglades Re Ltd.

Series 2014-1 Class A FL HU Indemnity MMF $1,500,000 B

May-14 Allstate Insurance Company Sanders Re Ltd. Series 2014-1 Class B US HU, EQ Industry Index MMF $330,000 BB+

May-14 Allstate Insurance Company Sanders Re Ltd. Series 2014-1 Class C US HU, EQ Industry Index MMF $115,000 BB

May-14 Allstate Insurance Company Sanders Re Ltd. Series 2014-1 Class D US HU, EQ Industry Index MMF $305,000 BB




May-14Castle Key Insurance Company and Castle Key Indemnity Company

Sanders Re Ltd. Series 2014-2 Class A FL HU, EQ, ST Indemnity MMF $200,000

May-14National Mutual Insurance Federation of Agricultural Cooperatives

Nakama Re Ltd. Series 2014-1 Class 1 JP EQ Indemnity MMF $150,000

May-14National Mutual Insurance Federation of Agricultural Cooperatives




2014 Limited





2014 Limited



May-14Sompo Japan and Nipponkoa Insurance Company

Aozora Re Ltd. Series 2014-1 Class B JP TY Indemnity MMF ¥10,125,000 BB

Jun-14 Texas Windstorm Insurance Association Alamo Re Ltd. Series

2014-1 Class A TX HU Indemnity MMF $400,000 B

Sept-14 State Compensation Insurance Fund

Golden State Re II Ltd.

Series 2014-1 Class A US EQ Modeled Loss MMF $250,000 BB+

Nov-14 Everest Reinsurance Company


Series 2014-2 Class C NA EQ Industry Index MMF $500,000 BB-

Dec-14 California Earthquake Authority Ursa Re Ltd. Series

2014-1 Class A CAL EQ Indemnity MMF $200,000

Dec-14 California Earthquake Authority Ursa Re Ltd. Series

2014-1 Class B CAL EQ Indemnity MMF $200,000



2014 Limited


WS, WF, VE, MI Indemnity MMF $100,000

Dec-14 Amlin AG Tramline Re II Ltd.

Series 2014-1 Class A US HU, EQ & EU

Wind Industry Index MMF $200,000

Dec-14 American International Group, Inc.

Tradewynd Re Ltd.

Series 2014-1 Class 1-B

NA/MEX/CB/ Gulf HU & NA/

MEX/CB EQIndemnity MMF $100,000 B


Tradewynd Re Ltd.

Series 2014-1 Class 3-A


MEX/CB EQIndemnity MMF $100,000 BB-


Tradewynd Re Ltd.

Series 2014-1 Class 3-B


MEX/CB EQIndemnity MMF $300,000 B

Dec-14National Mutual Insurance Federation of Agricultural Cooperatives


Dec-14National Mutual Insurance Federation of Agricultural Cooperatives


Feb-15 Catlin Insurance Company Ltd. Galileo Re Ltd. Series

2015-1 Class A US HU, NA EQ, EU Wind Industry Index MMF $300,000

Feb-15 SCOR Global P&C SE Atlas IX Capital Limited

Series 2015-1 Class A US HU, NA EQ Industry Index MMF $150,000

Mar-15 Chubb Group of Insurance Companies

East Lane Re VI Ltd.

Series 2015-I Class A

Northest HU, EQ, ST, WS, WF,

VE, MIIndemnity MMF $250,000 BB


2015-1 Class A JP EQ Indemnity MMF ¥35,000,000 BBB-

Aon Benfield 69



Mar-15 Safepoint Insurance Company Manatee Re Ltd. Series

2015-1 Class A FL HU Indemnity MMF $100,000

Mar-15


Queen Street X Re Limited US HU, AUS CY

Industry Index and Modeled

LossMMF $100,000

Mar-15 State Farm Fire and Casualty Company Merna Re Ltd. Series

2015-1 Class A New Madrid EQ Indemnity MMF $300,000


Citrus Re Ltd. Series 2015-1 Class A FL HU Indemnity MMF $150,000


Citrus Re Ltd. Series 2015-1 Class B FL HU Indemnity MMF $97,500


Citrus Re Ltd. Series 2015-1 Class C FL HU Indemnity MMF $30,000

Apr-15 Louisiana Citizens Property Insurance Corporation Pelican III Re Ltd. Series


Apr-15Massachusetts Property Insurance Underwriting Associaton

Cranberry Re Ltd.

Series 2015-1 Class A MA HU, ST, WS Indemnity MMF $300,000 B

May-15 Citizens Property Insurance Corporation

Everglades Re Ltd.

Series 2015-1 Class A FL HU Indemnity MMF $300,000 BB

Apr-15 Texas Windstorm Insurance Association Alamo Re Ltd. Series

2015-1 Class A TX HU Indemnity MMF $300,000 B+

Apr-15 Texas Windstorm Insurance Association Alamo Re Ltd. Series

2015-1 Class B TX HU Indemnity MMF $400,000 BB-

May-15 The Travelers Indemnity Company


Series 2015-1 Class A Northeast HU,

EQ, ST, WS Indemnity MMF $300,000 BB-



2015 Limited





2015 Limited



Jun-15 American International Group, Inc.

Compass Re II Ltd.

Series 2015-1 Class 1 US HU Parametric

Index MMF $300,000 B+

Jun-15 UnipolSai Assicurazioni S.p.A

Azzurro Re I Limited Class A EU EQ Indemnity EBRD

Notes € 200,000 BB+


Aon Benfield 71

Appendix III

Life and Health Catastrophe Bonds— Transaction Summary

As of June 30, 2015



Summary of life and health catastrophe bonds — December 1996 through June 2015

Issuance date Beneficiary Issuer Series Class Perils TriggerSize

(thousands) S&P

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

Aon Benfield 73

Issuance date Beneficiary Issuer Series Class Perils TriggerSize

(thousands) S&P

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

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

Dec-10 Aetna Life Insurance Company Vitality Re Limited Series 2010-1 Class A Health Indemnity - MBR $150,000 BBB-

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

Apr-11 Aetna Life Insurance Company Vitality Re II Limited Series 2011-1 Class A Health Indemnity - MBR $110,000 BBB

Apr-11 Aetna Life Insurance Company Vitality Re II Limited Series 2011-1 Class B Health Indemnity - MBR $40,000 BB+

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

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

Jan-12 Aetna Life Insurance Company Vitality Re III Limited Series 2012-1 Class A Health Indemnity - MBR $105,000 BBB+

Jan-12 Aetna Life Insurance Company Vitality Re III Limited Series 2012-1 Class B Health Indemnity - MBR $45,000 BB+

Jul-12 Swiss Reinsurance Company Ltd. Vita Capital V Ltd. Series 2012-I Class D-1 Extreme Mortality Index $125,000 BBB-

Jul-12 Swiss Reinsurance Company Ltd. Vita Capital V Ltd. Series 2012-I Class E-1 Extreme Mortality Index $150,000 BB+

Jan-13 Aetna Life Insurance Company Vitality Re IV Limited Series 2013-1 Class A Health Indemnity - MBR $105,000 BBB+

Jan-13 Aetna Life Insurance Company Vitality Re IV Limited Series 2013-1 Class B Health Indemnity - MBR $45,000 BB+

Sep-13 SCOR Global Life SE Atlas IX Capital Limited Series 2013-1 Class B Extreme Mortality Index $180,000 BB

Jan-14 Aetna Life Insurance Company Vitality Re V Limited Series 2014-1 Class A Health Indemnity - MBR $140,000 BBB+

Jan-14 Aetna Life Insurance Company Vitality Re V Limited Series 2014-1 Class B Health Indemnity - MBR $60,000 BB+

Jan-14 Aetna Life Insurance Company Vitality Re V Limited Series 2014-1 Class A Health Indemnity - MBR $140,000 BBB+

Jan-14 Aetna Life Insurance Company Vitality Re V Limited Series 2014-1 Class B Health Indemnity - MBR $60,000 BB+

Jan-15 Aetna Life Insurance Company Vitality Re VI Limited Series 2015-1 Class A Health Indemnity - MBR $140,000 BBB+

Jan-15 Aetna Life Insurance Company Vitality Re VI Limited Series 2015-1 Class B Health Indemnity - MBR $60,000 BB+

Apr-15 Axa Global Life Benu Capital Limited Class A Extreme Mortality Index € 135,000 BB+

Apr-15 Axa Global Life Benu Capital Limited Class B Extreme Mortality Index € 150,000 BB


Aon Benfield 75

Appendix IV

Summary of Sidecar Issuance

As of June 30, 2015

Source: Aon Securities Inc., company filings, press releases


Summary of sidecar issuance

Sidecar Principal Sponsor Inception Lines of Business Size ($ millions)

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

Cyrus Re XL Capital Dec-05 Property cat reinsurance and retrocessional 525.0

Flatiron Re Arch Re Dec-05 Property and marine reinsurance 900.0

Helicon Re White Mountains Re Dec-05 Short-tailed property and marine 146.0

Kaith/K5 Hannover Re Dec-05 Property cat, property risk, aviation and marine 370.0

Olympus Re II White Mountains Re Jan-06 Property cat, property risk, retro and marine 156.0

Petrel Re Validus May-06 Marine and offshore energy reinsurance contracts 125.0

Starbound Re RenaissanceRe May-06 Short-tailed property and marine 310.5

Bay Point Re Harbor Point Jun-06 US property, marine, retro and workers’ comp 150.0

Sirocco Re 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 US commercial property 730.0

Mont Fort Re Flagstone Re Aug-06 Peak zone and ILW 60.0

Cyrus Re XL Capital Nov-06 Property cat reinsurance and retrocessional 635.0

Panther Re Hiscox Dec-06 Property cat reinsurance 360.0

Syncro Ltd. Lloyd’s #4242 (Chaucer) Dec-06 Property cat reinsurance 100.0

Norton Re Brit Insurance Dec-06 Property cat retrocessional 107.7

New Point Re Harbor Point Dec-06 Property cat retrocessional 250.0

Triomphe Re Paris Re Dec-06 Property cat retrocessional 185.0

Sector Re Swiss Re Jan-07 Property cat, aviation 220.0

MaRI Ltd. ACE Jan-07 Property cat reinsurance 400.0

Syndicate 6105 Ark Underwriting Jan-07 Property cat reinsurance 40.0

Syndicate 6104 Hiscox Jan-07 Property cat reinsurance 69.0

Syndicate 6103 MAP Underwriting Jan-07 Property cat reinsurance 78.6

Bridge Re Swiss Re Apr-07 Property cat, aviation 182.5

Starbound Re II RennaisanceRe Jun-07 Property cat reinsurance 341.5

Mont Gele Re Flagstone Re Jul-07 Property cat reinsurance 60.0

Norton Re II Brit Insurance Dec-07 Property cat retrocessional 118.2

Sector Re II Swiss Re Apr-08 Property cat, aviation 150.0

Cyrus Re ll XL Capital Dec-07 Property cat reinsurance and retrocessional 140.0

New Point Re II Harbor Point Dec-07 Property cat retrocessional 100.0

Globe Re Hannover Re May-08 Property cat retrocessional 133.0

Kaith/K6 Hannover Re Mar-09 Property cat, property risk, aviation and marine 180.0

Timicuan Re II RenaissanceRe Jun-09 Property cat retrocessional, primarily Florida 60.4

Fac Pool Re Hannover Re Sep-09 Worldwide facultative 60.0

AlphaCat Re Validus May-11 Property cat reinsurance and retrocessional 180.0

Aon Benfield 77

Sidecar Principal Sponsor Inception Lines of Business Size ($ millions)

Accordion Re Lancashire Re Jul-11 Property cat 200.0

New Point Re IV Alterra Jul-11 Property cat retrocessional 225.0

Upsilon Re RenaissanceRe Jan-12 Property cat retrocessional 73.7

SPS 20881 Catlin Jan-12 Various lines (Syndicate 2003 quota share) 77.5



PacRe Validus Mar-12 Property cat reinsurance (top layer) 500.0

Timicuan Re III RenaissanceRe Jun-12 Property cat retrocessional, primarily Florida 73.7

New Point Re V Alterra Jun-12 Property cat retrocessional 210.0

AlphaCat Re 2012 Validus Jun-12 Property cat reinsurance and retrocessional 70.0

Saltire Re I Lancashire Re Nov-12 Combined exposure UNL aggregate reinsurance product 250.0

New Point Re V Alterra Capital Dec-12 Property cat retrocessional 37.0

Upsilon Re II RenaissanceRe Jan-13 Worldwide aggregate retrocessional reinsurance 185.0

Harambee Re Argo Group Jan-13 Portfolio for both insurance and reinsurance Undisclosed

AlphaCat Re 2013 Validus Jan-13 Worldwide property cat reinsurance and retrocession 230.0

Mt. Logan Re Everest Re Jan-13 Worldwide property cat reinsurance 250.0

K Cession Hannover Re Mar-13 Peak property cat and whole account XOL non-marine 328.0

Lorenz Re PartnerRe Mar-13 Worldwide property cat reinsurance for select accounts 75.0

Altair Re ACE Apr-13 Worldwide property cat insurance and reinsurance 95.0

Kinesis Lancashire Jul-13 Property, energy, marine, aviation and Lloyd’s 270.0

New Ocean Capital Management XL Jul-13 Collateralized reinsurance and capital markets Est. 200

New Point VI Markel Jul-13 Property cat retrocessional 215.0

Blue Capital Re. Holdings Montpelier Nov-13 Property cat reinsurance 175.0

AlphaCat 2014 Validus Dec-13 Worldwide property cat reinsurance 160.0

Atlas Reinsurance X SCOR Dec-13 Property cat reinsurance 56.0

Silverton Re Aspen Re Dec-13 Property cat reinsurance 65.0

Eden Re Munich Re Jan-14 Property cat reinsurance 63.0

Altair Re II ACE Jan-14 Worldwide property cat insurance and reinsurance 95.0

Harambee Re Argo Jan-14 Property reinsurance Undisclosed

Upsilon RFO RenaissanceRe Jan-14 Worldwide aggregate cat retrocessional 265.0

Pangaea IX TransRe May-14 Retrocessional Undisclosed

Silverton Re Aspen Re Dec -14 Property cat reinsurance 85.0

Eden Re II Munich Re Dec-14 Property cat reinsurance 75.0

Eden Re I 2015-1 Munich Re Dec-14 Property cat reinsurance Undisclosed

Pangaea Re TransRe Dec-14 Property cat reinsurance Undisclosed

Versutus Brit Jan-15 Worldwide property cat reinsurance 75.0

AlphaCat 2015 Validus Jan-15 Property cat reinsurance 155.0

Sector Re V Ltd. Swiss Re Apr-15 Property cat reinsurance 190.7

Lorenz Re Ltd. PartnerRe Apr-15 Property cat reinsurance 84.0

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)


Contact

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