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Risk. Reinsurance. Human Resources.

Aon Benfield

Insurance-Linked SecuritiesCapital Revolution—Alternative Markets Fuel Dynamic Environment

September 2014

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

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

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

Aon Benfield 3

Foreword

Unless otherwise stated, this report covers the 12-month period ending June 30, 2014, during which

time several records were set in the ILS market. In this period, $9.4 billion of catastrophe bond

issuance was secured—the largest amount in the history of the sector and an increase of 41 percent

from the prior year. Additional highlights included a record second quarter ILS issuance of $4.5

billion across 12 separate transactions, which produced a record first half issuance of $5.9 billion.

Meanwhile, in the 12-month period under review, interest spreads reached historic lows.

This encouraged even more sponsors to consider ILS solutions as part of their risk

transfer strategies—a record 13 new sponsors secured coverage during this time.

Specifically, the 2014 edition of this study offers:

§ Aon Benfield Securities’ comprehensive review of the catastrophe

bond market and the drivers affecting the market;

§ Our exclusive Aon Benfield ILS Indices;

§ A review of investor activity;

§ An overview of sidecar and ILW activity;

§ A review of the U.S., Europe and Asia activity;

§ A dedicated section on the Life and Health sector;

§ An in-depth discussion with the Impact Forecasting catastrophe

model development team.

In all, the catastrophe bond market has seen $60.1 billion of cumulative issuance since 1996,

demonstrating its importance as a strategic and efficient risk management tool. The growth of the

market has accelerated in the 12 months under review, and we expect the strong performance

to continue for the remainder of 2014 and beyond. As of June 30, 2014, $22.4 billion of bonds

were on-risk—a new peak for the sector and an increase of $4.6 billion from the prior year.

We hope you will find this document both useful and informative. If you have any questions relating to

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

Paul Schultz,

Chief Executive Officer, Aon Benfield Securities

It is my pleasure to bring to you the seventh iteration of Aon Benfield Securities’ annual Insurance-Linked

Securities (ILS) report. As with all our research, this study aims to offer an authoritative review and analysis

of the ILS asset class and, along with our quarterly ILS updates, is intended to be an important and useful

reference document, both for ILS market participants and those with an active interest in the sector.

4 Insurance-Linked Securities

Contents

Aon Benfield Securities’ Annual Review of the Catastrophe Bond Market . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .5

ILS Investor Activity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .12

The Aon Benfield ILS Indices . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .15

ILS-Related Markets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .17

U.S. Perils . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .19

Europe Perils . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .23

Asia Pacific Perils . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .24

Life and Health Perils . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .26

An In-Depth Discussion with Impact Forecasting . . . . . . . . . . . . . . . . . . .27

Appendix I . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .31 Catastrophe Bond Issuance Statistics

Appendix II . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .37 Property Catastrophe Bonds—Transaction Summary

Appendix III . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .58 Life & Health Catastrophe Bonds—Transaction Summary

Appendix IV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .60 Summary of Sidecar Issuance

Contact . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .63

Aon Benfield 5

OverviewThe 12-month period ending June 30, 2014 was ground-breaking

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

continued from the previous year as significant investor inflows

continued pushing interest spreads to new lows and resulted

in the highest issuance level in the market’s history. Annual

catastrophe bond issuance reached $9.4 billion (Figure 1)—

an increase of 41 percent over the prior year period.

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

catastrophe bonds on risk reached an all-time high of $22.4

billion (Figure 2)—an increase of $4.6 billion from the prior year

period and an all-time record for the sector.

Interestingly, the average duration of catastrophe bonds has

increased steadily over the past three semi-annual issuance

periods. However, the main driver in the market expansion is

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

repeat sponsors. As of June 30, 2014, a total of $60.1 billion in

catastrophe bonds has been issued since the market’s origin.

The record level of catastrophe bonds on risk highlights the

recent expansion of the ILS market. Aon Benfield Securities

forecasts that this market expansion will continue, as new

issuance volumes are expected to outweigh maturities in the

coming years.

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

Source: Aon Benfield Securities, Inc.

Figure 2: Outstanding and Cumulative Catastrophe Bond Volume, 2005-2014 (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

8,145

3,279

1,499

USD

Mill

ions

Property Issuance Life / Health Issuance

20142013

20122011

20102009

20082007

20062005

0

USD

Mill

ion

s

PropertyOutstanding

Life / HealthOutstanding

Cumulative Property Issuance

Total CumulativeBonds

4,741

9,444

12,723

20,867

26,782

28,487

33,223

37,605

44,037

50,702

60,102

6,558

12,911

16,15513,174 13,167

11,504

15,12317,788

22,422

0

6,500

13,000

19,500

26,000

32,500

39,000

45,500

52,000

58,500

65,000

20142013

20122011

20102009

20082007

20062005

Aon Benfield Securities’ Annual Review of the Catastrophe Bond Market


Key Market Drivers

§ Supply and DemandSignificant capital continued to flow into the ILS sector, with

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

market over the 12 months to June 30, 2014. This brings total

capital inflows to more than $10 billion for the last two years.

In the traditional reinsurance market, capital grew to $570

billion1 by the end of the first quarter of 2014. The record

reinsurer capital levels and continually building strength

from the ILS market pushed traditional margins for some

programs to levels not seen for a generation.

In the catastrophe bond market, interest spreads continued

to decrease in the 12 months ending June 30, 2014. Building

on the declines seen in 2013, sponsors benefitted from

interest spread reductions of 20 percent or higher during

the period under review. These spreads were achieved

despite record issuance levels. Minimum interest spreads for

select risks in the last 12 months are listed below:

Table 1: Minimum Interest Spreads for Selected Risks

Covered Risk Minimum Interest Spread

U.S. hurricane / multi-peril 2.75 percent

U.S. earthquake 2.00 percent

Europe windstorm 2.25 percent

Japan typhoon 2.00 percent

Japan earthquake 2.25 percent

Health 1.75 percent


§ Enhanced CoverageThe trend of enhanced coverage continued during the

year ending June 30, 2014. Seventy percent of property

catastrophe bonds utilized indemnity triggers, compared

to 48 percent in the prior year. Indemnity coverage was not

limited to the U.S. as sponsors in regions such as Australia,

Europe and Japan also secured such coverage.

Sponsors were able to secure coverage for longer risk periods,

demonstrating investors’ demand for more issuance and

comfort with the catastrophe bond market’s liquidity. Both

Tradewynd Re Ltd. Series 2013-1 and Sanders Re Ltd. Series

2014-1 Class D, which included U.S. hurricane exposure,

secured capacity for five years—the first time since 2007 such

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

Vitality Re V Limited secured five years of coverage for health

risk—up from four years in the prior issuance.

In the 12 months under review, investors showed a

willingness to provide capacity for more complex coverages

and certain non-modeled exposures. This is demonstrated

by American International Group’s Tradewynd Re Ltd. and

Great American Insurance Company’s Riverfront Re Ltd.

§ Benign Loss ActivityIn the calendar year 2013, global catastrophes caused insured

losses of $45 billion—22 percent below the 10-year average

of $58 billion and the lowest since 2009. This trend continued

into the first half of 2014, where insured losses were

$22 billion and down 19 percent from the 10-year average2.

As such, it’s not surprising that the year ending June 30, 2014

remained loss free for the catastrophe bond market.

Aon Benfield estimates that a $100 billion1, or greater,

insured catastrophe event is required to meaningfully

disrupt market pricing for any significant period of time.

Transaction ReviewThirty-five transactions (including two with life and health

exposures) closed during the year ending June 30, 2014. This

represents an increase of 30 percent from the prior 12-month

period, in which 27 issuances closed. U.S. exposures continue

to be the main risk ceded to the catastrophe bond market, with

25 transactions in the past 12 months including such risks.

Notably 70 percent of property catastrophe bonds utilized

indemnity triggers, with the remainder predominantly industry

index based. The use of this trigger expanded more broadly

over the last 12 months to include Australia, Europe and Japan

risks, in addition to the U.S.

The contribution to expected modeled loss from U.S. hurricane

risk for new property catastrophe issuances increased from

56 percent for the year ending June 30, 2013 to 60 percent

for the same period in 2014. U.S. earthquake and Europe

windstorm risk each contributed 13 percent of modeled

expected loss during the past 12 months. Japan perils

contributed 10 percent to the modeled expected loss across

four new issuances.

1 Aon Benfield’s Reinsurance Market Outlook—September 20142 Impact Forecasting’s 1H 2014 Global Catastrophe Recap dated July 2014 and Annual Global Climate and Catastrophe Report

Aon Benfield 7

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

quarter of 2013, representing the greatest issuance volume

to date in the historically quiet quarter. The trend of third

quarter issuances emerged recently in the catastrophe bond

market and strengthened in 2013 with issuance more than

doubling from the prior year’s third quarter. New sponsors

included Renaissance Reinsurance Ltd. (“RenRe”), Metropolitan

Transportation Authority (“MTA”) and AXIS Specialty Limited

(“AXIS”) during this period.

The issuances offered investors a diverse selection of perils—

France windstorm, Japan earthquake, U.S. hurricane,

U.S. earthquake, extreme mortality and New York storm surge.

A selection of transactions issued in the third quarter of 2013

includes:

§ Tradewynd Re Ltd., sponsored by American International

Group, provides indemnity U.S. (including the Caribbean)

hurricane and North America earthquake coverage over

a five-year term. The transaction marks the first property

catastrophe bond to include U.S. hurricane with a term

longer than four years since 2007;

§ Nakama Re Ltd. (“Nakama Re”) is the first indemnity

transaction sponsored by National Mutual Insurance

Federation of Agricultural Cooperatives (“Zenkyoren”).

This first issuance from the Nakama Re program provides

Zenkyoren with $300 million in coverage for Japan

earthquakes; and

§ Atlas IX Capital Limited (“Atlas IX”) is the first extreme

mortality transaction for SCOR Global Life SE (“SCOR”). Atlas

IX provides SCOR with $180 million in capacity and represents

the lowest attachment level ever achieved for this type of risk

in the ILS market.

Table 2: Third Quarter 2013 Catastrophe Bond Issuance

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

Groupama S.A. Green Fields II Capital Limited Series 2013-1 Class A € 280* FR Wind Industry Index EBRD

Swiss Reinsurance Company Ltd. Mythen Re Ltd. Series 2013-1 Class B-1 $100 US HU Industry Index MMF

Renaissance Reinsurance Ltd. Mona Lisa Re Ltd. Series 2013-2 Class A $150 US HU, EQ Industry Index MMF

American International Group Tradewynd Re Ltd. Series 2013-1 Class 1 $125 US/CB HU, NA EQ Indemnity MMF

Metropolitan Transportation Authority MetroCat Re Ltd. Series 2013-1 Class A $200 NY Storm Surge Parametric Index MMF

AXIS Specialty Limited Northshore Re Limited Series 2013-1 Class A $200 US HU, EQ Industry Index MMF

National Mutual Insurance Federation of Agricultural Cooperatives Nakama Re Ltd. Series 2013-1 Class 1 $300 JP EQ Indemnity MMF

SCOR Global Life SE Atlas IX Capital Limited Series 2013-1 Class B $180 US Extreme

Mortality Index EBRD

Total $1,620.7

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

LegendCB – CaribbeanEQ – EarthquakeFR – FranceHU – Hurricane

JP – JapanNA – North AmericaNY – New YorkUS – United States


Fourth Quarter 2013Eight transactions closed during the fourth quarter of 2013

totaling $1.9 billion as market pricing conditions for ILS

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

of 2013. Several new cedants secured coverage including

American Modern Insurance Group Inc., QBE Insurance Group

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

(“Achmea Re”).

A selection of transactions issued in the fourth quarter of 2013

includes:

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

catastrophe bond market. The transaction provides indemnity

coverage for U.S. earthquakes, Australia cyclones and

Australia earthquakes. VenTerra Re provides QBE with $250

million in capacity for three years. The transaction was well-

received by investors and closed at the low end of marketed

guidance. VenTerra Re is the first indemnity transaction to

include a significant amount of Australia exposure; and

§ Windmill I Re Ltd., sponsored by Achmea Re, provides

€40 million indemnity Europe windstorm coverage.

The transaction was marketed and placed with a limited

number investors. Achmea Re is the first company to sponsor

an indemnity catastrophe bond covering Europe risks since

the financial crisis.

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

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

2007. Total catastrophe bonds outstanding at calendar year end

set a new record of just over $20 billion.

Table 3: Fourth Quarter 2013 Catastrophe Bond Issuance


AXA Global P&C Calypso Capital II LimitedClass A € 185*

EU Wind Industry Index EBRDClass B € 165*

Catlin Insurance Company Ltd. Galileo Re Ltd. Series 2013-1 Class A $300 US HU, EQ, EU Wind Industry Index MMF

United Services Automobile Association Residential Reinsurance 2013 Limited Series 2013-II

Class 1 $80 US HU, EQ, ST, WS, WF Indemnity MMF

Class 4 $70

American International Group Tradewynd Re Ltd. Series 2013-2

Class 1-A $100

US, CB HU, NA EQ Indemnity MMFClass 3-A $160

Class 3-B $140

Achmea Reinsurance Company N.V. Windmill I Re Ltd. Series 2013-1 Class A € 40** EU Wind Indemnity MMF

American Modern Insurance Group, Inc. Queen City Re Ltd. Series 2013-1 Class A $75 US HU Indemnity MMF

QBE Insurance Group Limited VenTerra Re Ltd. Series 2013-1 Class A $250 US EQ, AUS CY, EQ Indemnity MMF

Argo Re, Ltd. Loma Reinsurance (Bermuda) Ltd. Series 2013-1

Class A $32US, CB HU, US ST, NA,

CB EQ

Indemnity, Industry Index MMFClass B $75

Class C $65

Total $1,877.0

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

LegendAUS – AustraliaCB – CaribbeanCY – CycloneEQ – Earthquake

EU – EuropeHU – HurricaneNA – North AmericaST – Severe Thunderstorm

US – United StatesWF – WildfireWS – Winter Storm

Aon Benfield 9

First Quarter 2014

Picking up where the strong 2013 year ended, seven

transactions closed during the first quarter of 2014 totaling

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

on record. Interest spreads continued to decline following

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

catastrophe bonds continued among sponsors and investors.

Two new sponsors entered the market in the first quarter of

2014—American Strategic Insurance Group and Great American

Insurance Company (“GAIC”).

A selection of transactions issued in the first quarter of 2014

includes:

§ Riverfront Re Ltd. (“Riverfront Re”) provides multi-peril

coverage in the U.S. and Canada for GAIC. The transaction for

the first time sponsor also includes some non-modeled risks.

Riverfront Re was well-received by investors and priced at

4.00 percent, below marketed guidance.

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

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

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

commercial and industrial exposures in Japan, and provides

the insurer with $245 million in coverage; and

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

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

coverage against earthquakes in the New Madrid region.

In total, State Farm now has $600 million in protection

for these exposures. The offering closed in March with an

interest spread of 2.00 percent, 50 basis points lower than

Merna Re IV Ltd., which closed 12 months prior. This further

demonstrates the lower rate environment.

Table 4: First Quarter 2014 Catastrophe Bond Issuance


Aetna Life Insurance Company Vitality Re V Limited Series 2014-1Class A $140 US Medical

Benefits Ratio Indemnity MMFClass B $60

Münchener Rückversicherungs-Gesellschaft Aktiengesellschaft in München

Queen Street IX Re Limited $100 US HU, AUS CY Industry Index, Modeled Loss MMF

Chubb Group East Lane Re VI Ltd. Series 2014-1 Class A $270 NE US HU, EQ, ST, WS Indemnity MMF

American Strategic Insurance Group Gator Re Ltd. Series 2014-1 Class A $200 US HU, ST Indemnity MMF

Tokio Marine & Nichido Fire Insurance Co., Ltd. Kizuna Re II Ltd. Series 2014-1

Class A $200JP EQ Indemnity MMF

Class B $45

Great American Insurance Company Riverfront Re Ltd. $95 NA HU, EQ, ST, WS Indemnity MMF

State Farm Fire and Casualty Company Merna Re V Ltd. $300 NM EQ Indemnity MMF

Total $1,410.0

Source: Aon Benfield Securities, Inc. LegendAUS – AustraliaCY – CycloneEQ – EarthquakeHU – Hurricane

JP – JapanNA – North AmericaNE – NortheastNM – New Madrid

ST – Severe ThunderstormUS – United StatesWS – Winter Storm


Second Quarter 2014In response to the continued advantageous market conditions

witnessed in the first quarter of 2014, 12 catastrophe bond

transactions closed during the second quarter of 2014,

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

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

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

A selection of transactions issued in the second quarter of 2014

includes:

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

Company (“Allstate”) with $750 million in U.S. multi-peril

coverage across three classes of notes. The Series 2014-2

notes, provide Allstate’s dedicated Florida property insurance

companies (Castle Key Insurance Company and Castle

Key Indemnity Company), with $200 million in indemnity

coverage; and

§ Kilimanjaro Re Limited provides first time sponsor Everest

Reinsurance Company (“Everest Re”) with $450 million in

coverage for four years. The transaction, which includes both

an aggregate and occurrence tranche, gives the reinsurer

North American index protection against hurricanes and

earthquakes. The transaction was well received by investors,

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

the interest spreads for each class of notes closed 50 basis

points below the low ends of initial price guidance.

Catastrophe bond pricing remained at historic lows during

the second quarter, as investor demand kept pace with the

increased supply. This allowed sponsors to expand coverage

at competitive rates.

New sponsors, Heritage Property & Casualty Insurance

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

Japan Nipponkoa Insurance Inc. and Texas Windstorm Insurance

Association joined first quarter newcomers American Strategic

Insurance Group and GAIC, representing a total of seven new

sponsors for the first half of 2014. This figure matches the total

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

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

secured capacity.

Table 5: Second Quarter 2014 Catastrophe Bond Issuance


Heritage Property & Casualty Insurance Company Citrus Re Ltd.

Series 2014-1 Class A $150FL HU Indemnity MMF

Series 2014-2 Class 1 $50

Assicurazioni Generali S.p.A. Lion I Re Limited € 190* EU Wind Indemnity EBRD

Everest Reinsurance Company Kilimanjaro Re Limited Series 2014-1Class A $250 US HU

Industry Index MMFClass B $200 NA HU, EQ

Citizens Property Insurance Corporation Everglades Re Ltd. Series 2014-1 Class A $1,500 FL HU Indemnity MMF

American Coastal Insurance Company Armor Re Ltd. Series 2014-1 Class A $200 FL HU Indemnity MMF

Allstate Insurance Company Sanders Re Ltd. Series 2014-1

Class B $330

US HU, EQ Industry Index MMFClass C $115

Class D $305

Castle Key Insurance Company and Castle Key Indemnity Company Sanders Re Ltd. Series 2014-2 Class A $200 FL HU, EQ, ST Indemnity MMF

Sompo Japan and Nipponkoa Insurance Inc. Aozora Re Ltd. Series 2014-1 Class B ¥10,125** JP TY Indemnity MMF

National Mutual Insurance Federation of Agricultural Cooperatives Nakama Re Ltd. Series 2014-1

Class 1$150 JP EQ Indemnity MMF

Class 2

United Services Automobile Association Residential Reinsurance 2014 Limited Series 2014-I

Class 10 $80 US HU, EQ, ST, WS, WF Indemnity MMF

Class 11 $50

Texas Windstorm Insurance Association Alamo Re Ltd. Series 2014-1 Class A $400 TX HU Indemnity MMF

Total $4,492.2

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

LegendEQ – EarthquakeEU – EuropeFL – FloridaHU – Hurricane

JP – JapanNA – North AmericaST – Severe ThunderstormTY – Typhoon

TX– TexasUS – United StatesWF – WildfireWS – Winter Storm

Aon Benfield 11

OutlookWhen combined with a near-record first quarter, catastrophe

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

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

This reflects the increasing utilization by repeat and new

sponsors of the capital markets and the ever-growing investor

appetite for this sector. Catastrophe bond issuance for the 2014

calendar year is on track to exceed $8 billion.

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

high of $22.4 billion, reflecting the sustained deployment of

additional investor capital into catastrophe bonds.

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


0

1,000

2,000

3,000

4,000

5,000

6,000

7,000

8,000

9,000

20142013201220112010200920082007

3,588

2,692

3,973

5,902

3,498

2,842

2,625

2,086320

1,757

2,650

4,976

3,404

2,510

1,385

USD

Mill

ions

July - DecemberJanuary - June


Capacity ProvidersFigure 4: Investor by Category (Years ending June 30)3

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

Dedicated catastrophe funds and institutional investors remained the largest providers of capacity for the year ending June 30, 2014,

making up almost 80 percent of the total catastrophe bond market. Catastrophe funds increased their market share slightly to

46 percent in 2014. The market share for institutional investors decreased to 32 percent compared to 41 percent in the 2013 period,

despite an increase in absolute participation in the catastrophe bond market. Hedge funds and reinsurers both increased their

participation from two percent in the 2013 period to five percent and six percent, respectively, in 2014.

Capital OriginsFigure 5: Investor By Country/Region (Years ending June 30)4

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

2013

Institutional ReinsurerMutual Fund Hedge FundCatastrophe Fund

2014

32%

5%

11%

6%

46%

41%

2%

12%

2%

43%

20132014

26%

7%

11%

9%

47%

8%

25%

14%

9%

44%

U.K. SwitzerlandBermuda OtherU.S.

ILS Investor Activity

Aon Benfield 13

Most regions increased their market share in the year ending

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

participation. In the 2012 period, Bermuda comprised 19

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

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

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

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

increase in capital deployed by catastrophe funds is the main

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

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

Italy, Germany and Japan.

General Market TrendsThird Quarter 2013The third quarter of 2013 was the largest issuance ever for a

third quarter in the catastrophe bond market, with $1.6 billion

in new issuance closing—double that of the 2012 period.

Issuances included the first bond issued in August since 2011—

Northshore Re Limited (“Northshore Re”). Investors welcomed

the activity during the typically quiet quarter, as heightened

demand for catastrophe bonds continued.

New issues during the quarter provided a variety of peril types

and geographic regions for investors. Perils included New York

storm surge, France windstorm, Japan earthquake and U.S.

extreme mortality. Reinsurers accessed the catastrophe bond

market via PCS index transactions, drawing significant interest

from investors via Mythen Re, Mona Lisa Re and Northshore Re.

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

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

catastrophe bond market has demonstrated an interest in

assuming complex commercial and some non-modeled risks.

Tradewynd Re Ltd. Series 2013-1 demonstrated investors’

willingness to broaden the scope of indemnity coverage. The

transaction opened the door for more sponsors to utilize the

catastrophe bond market for complex commercial business and

non-modeled perils.

Secondary trading throughout the third quarter was relatively

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

increase in new issuance in the period resulting in active

rebalancing throughout the quarter. Many investors increased

exposure to diversifying risks by selling U.S. hurricane exposed

bonds. There was ample demand from investors with excess

capital looking to increase allocations to peak risks.

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

Investors secured $1.8 billion in the fourth quarter, bringing

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

largest amount issued during any second half year period.

Strong investor demand continued with the diverse range of

transactions offered. Many transactions increased from initial

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

price guidance. During the fourth quarter, secondary market

buyers showed interest in accumulating higher yielding bonds

and short-dated U.S. hurricane bonds.

Investors sourced a variety of peril types during the fourth

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

amount of issuance including Europe and Australia risks. Each

diversifying transaction, as well as most transactions that

included peak perils, issued during the period were priced at

the low end or below marketed price guidance.

Traditional markets responded to the competition driven by

spread compression in the ILS market with rate decreases, as

well as enhanced terms and conditions. Given the amount of

catastrophe bonds issued with low coupons throughout 2013,

investor demand for high-yielding transactions was strong.

The fourth quarter saw the issuance of several bonds with

higher coupons. Loma Reinsurance (Bermuda) Ltd. Series

2013-1, covering U.S. multi-peril, included three tranches with

yields ranging from 9.75 percent for the Class A notes to 17.00

percent for the Class C notes. The highest yielding transaction

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

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

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

demand for these notes pushed the interest spread below the

modeled sensitivity case attachment probability, a first for the

catastrophe bond market.

Despite compressing yields and increases in the size of new

issuances, the secondary market was active during the fourth

quarter. October and November were particularly active for

trading as investors looked to round out portfolios, paying a

premium to secure bonds shortly after issuance. In December,

trading slowed as buyers focused on the multiple new issuances

in the market before the calendar year end.


First Quarter 2014 The catastrophe bond market started with strength in 2014 as

capital continued to be allocated to ILS strategies. Investors

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

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

capital from maturing catastrophe bonds. Many transactions

increased in issuance size and priced at the lower end of, or

below, marketed price guidance. However, even with the

110 percent year-over-year increase in issuance, new issuances

did not keep pace with the $2.4 billion of bonds that matured

during the quarter.

Many of the new issuances coming to market during the

quarter enabled investors to diversify portfolios with non-

peak exposures. These risks included New Madrid earthquake,

Japan earthquake, Australia cyclone and medical benefit

reinsurance. The interest in assuming non-peak perils provides

a good backdrop for expansion into new perils, as the market

continues to expand its coverage.

Interest spreads were pushed to new lows with investors’

demand for portfolio diversification. Strong investor demand

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

representing a 20 percent decline compared to the 2013

issuance and the lowest interest spread for a non-investment

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

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

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

some non-modeled risks continued, as demonstrated through

Riverfront Re Ltd.

To complement diversification, investors sought opportunities

to increase absolute return on portfolios by sourcing higher

yielding bonds in the secondary market. Investors holding an

inventory of bonds demanded a premium to exit their positions.

This drove secondary prices higher throughout the quarter.

Interestingly, only one primary issuance provided an interest

spread above 6.00 percent (Gator Re Ltd.)—the return target of

a number of ILS funds. Given the recent high issuance volumes

of low-yielding transactions, higher-yielding transactions are

likely to be in demand going forward by portfolio managers as a

means to improve portfolio returns.

Second Quarter 2014 Investors had many opportunities to put capital to work

throughout the second quarter of 2014. A record of $4.5 billion in

new catastrophe bond issuance was brought to market allowing

investors to allocate capacity efficiently. New issuance outpaced

the $1.4 billion of bonds maturing over the same period.

For some sponsors, ILS became a more significant portion

of their reinsurance spend in 2014. For example, Allstate

increased its catastrophe bond protection by 2.7x compared

to 2013 and Florida Citizens purchased twice the amount

of its maturing capacity.

New issuance during the quarter enabled investors to add a

variety of perils and regions to their ILS portfolios, including

Europe windstorm, Japan earthquake, Japan typhoon and

Texas hurricane. Investors demonstrated interest in portfolio

diversification for non-U.S. risks by pushing yields in these

bonds to as low as 2.00 percent. Investors were also receptive

to new currencies. Aozora Re Ltd. launched the first

catastrophe bond denominated in Japanese yen.

However, there was a particular emphasis on Florida hurricane

during the second quarter. A total of $2.1 billion was secured

across five transactions with exposures solely in Florida.

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

large volume of new bonds issued during this period resulted in

some investors reallocating their portfolios to free-up capacity

for new purchases. Demand in the secondary market was strong

both for diversifying perils and higher yielding transactions. As

we approached June, the secondary market began to slow as

investors assessed their allocations from the primary issuance

market and focused their attention on the June 1 traditional

reinsurance renewal season. As the quarter closed, investors

accessed a record amount of catastrophe bonds on the primary

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

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

Outlook Even with the reductions in spread levels witnessed since the

first quarter of 2013, we continue to see new capital attracted

to ILS strategies. As an example, Aon Benfield Securities has

established several new trading relationships with start-up funds

and established investors over the past year. These include new

dedicated catastrophe funds, managed accounts with existing

funds and large institutions looking to access the ILS market

to add catastrophe risk into their broader portfolios. Spreads

for ILS continue to be competitive with traditional reinsurance

rates. In the absence of severe catastrophes, we believe spreads

will continue to face downward pressure. Sponsors continue to

have interest in accessing the catastrophe bond market, and we

expect the coming year to see continued expansion as sponsors

purchase a greater share of their reinsurance program via the ILS

market, and new sponsors take advantage of investor demand for

new issuance in the market.

Aon Benfield 15

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

Table 6: Aon Benfield ILS Indices5

Index titleReturn for Annual Period

Ended June 30 5 yr Avg Annual Return 10 yr Avg Annual Return

Aon Benfield ILS Indices 2014 2013 2009-2014 2004-2014

All Bond Bloomberg Ticker (AONCILS)

7.96% 12.14% 9.41% 8.28%

BB-rated Bond Bloomberg Ticker (AONCBB)

5.22% 8.16% 7.82% 6.79%

U.S. Hurricane Bond Bloomberg Ticker (AONCUSHU)

8.94% 13.19% 10.81% 9.35%

U.S. Earthquake Bond Bloomberg Ticker (AONCUSEQ)

4.33% 6.89% 5.99% 6.47%

Benchmarks

3-5 Year U.S. Treasury Notes 1.75% -0.61% 3.15% 4.13%

3-5 Year BB US High Yield Index 10.11% 7.50% 11.21% 7.67%

S&P 500 22.04% 17.92% 16.34% 5.56%

ABS 3-5 Year, Fixed Rate 3.91% 1.55% 7.28% 3.93%

CMBS 3-5 Year, Fixed Rate 4.26% 4.73% 10.32% 6.72%

The Aon Benfield ILS Indices

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

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

Bond Indices posted returns of 7.96 percent and 5.22 percent,

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

Indices returned 8.94 percent and 4.33 percent, respectively.

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

Benfield ILS Indices outperformed most of the comparable

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

the S&P 500 index, however, produced superior returns with

increases from the prior annual period of 10.11 percent and

22.04 percent, respectively.

The annual returns for all Aon Benfield ILS Indices in the

12 months ending June 30, 2014 underperformed the prior

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

However, despite these decreases the ten-year average annual

return of the Aon Benfield All Bond Index again produced

superior returns relative to the other benchmarks. This

demonstrates the value a diversified book of pure insurance

risks can bring to long-term investors’ portfolios.

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

The 3-5 Year BB U.S. High Yield Index is calculated by Bank of America Merrill Lynch (BAML) and tracks the performance of U.S. dollar denominated corporate bonds with a remaining term to final maturity ranging from three to five years and are rated BB1 through BB3. Qualifying securities must have a rating of BB1 through BB3, a remaining term to final maturity ranging from three to five years, fixed coupon schedule and a minimum amount outstanding of $100 million. Fixed-to-floating rate securities are included provided they are callable within the fixed rate period and are at least one year from the last call prior to the date the bond transactions from a fixed to a floating rate security.

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 the Aon Benfield ILS Indices.

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

Past performance is no guarantee of future results.


Maintaining the average annual returns realized over the past five and ten years is challenging given current market dynamics. As

spreads have continued tightening, interest payments to investors are lower than those received in prior years. Additionally, price

increases in the secondary market will be muted relative to the previous periods—the ability for spreads to continue tightening to

the same degree is reduced. This situation, however, is not limited to the ILS sector: fixed income investors face similar situations as

interest rates have tightened over the past several years.

Figure 6: Aon Benfield All Bond Index versus Financial Benchmarks

Source: Aon Benfield Securities, Inc., Bloomberg

Figure 7: Historical Performance of Aon Benfield ILS Indices


CMBS Fixed Rate 3-5 Yrs. ABS, 3-5 Yrs, Fixed Rate

3-5 Year BB US High Yield IndexAon ILS Index

S&P 500

June 2004

June 2005

June 2006

June 2007

June 2008

June 2009

June 2010

June 2011

June 2012

June 2013

June 2014

-60%

-30%

0%

30%

60%

90%

120%

150%

Aon ILS US EQAon ILS BB Index

Aon ILS IndexAon ILS US Hurricane

June 2004

June 2005

June 2006

June 2007

June 2008

June 2009

June 2010

June 2011

June 2012

June 2013

June 2014

-30%

0%

30%

60%

90%

120%

150%

Aon Benfield 17

In the 12 months to June 30, 2014, 11 side-car transactions were completed, totaling $1.4 billion. During this period, capital was

raised for new sidecars, established sidecars and the renewal of existing vehicles. The transactions provided plenty of opportunities

for investors looking to expand their access to risks that were not available in the catastrophe bond market. The trend away from an

opportunistic market, such as that seen post-Katrina, continued, with investors accepting lower returns than seen in prior years—

a consequence of benign loss activity and increased competition seen in the traditional markets.

In addition, different structures were available for investors. These ranged from whole account quota-share sidecars with fixed time

horizons, to fund-like structures with the infrastructure to manage and underwrite risks.

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

Sidecar Date Principal Sponsor/ Manager Size (millions) Line of Business

Kinesis Jul-13 Lancashire $2706 Property, energy, marine, aviation

New Ocean Capital Management Jul-13 XL $306 Collateralized reinsurance and capital markets

New Point VI Jul-13 Markel $215 Collateralized reinsurance and capital markets

Blue Capital Re Holdings Nov-13 Montpelier $175 Property catastrophe reinsurance business

Atlas Reinsurance X Dec-13 SCOR $56 Property catastrophe reinsurance for select regions

Silverton Re Dec-13 Aspen Re $65 Whole account property catastrophe reinsurance

Alpha Cat 2014 Dec-13 Validus $160 Worldwide property catastrophe reinsurance

Eden Re Jan-14 Munich Re $63 Property catastrophe reinsurance business

Altair Re II Jan-14 ACE $95 Worldwide property catastrophe insurance and reinsurance

Harambee Re Jan-14 Argo Undisclosed Property reinsurance

Upsilon RFO Jan-14 RenaissanceRe $265 Worldwide aggregate retrocessional reinsurance

Pangaea IX May-14 TransRe Undisclosed Retrocessional

Total 1,394

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

The high volume of sidecars and catastrophe bond transactions

allowed the alternative market to capture a 20 percent market

share within the global catastrophe reinsurance market over

the 12-month period under review. This market share was

predominantly driven by catastrophe bonds and collateralized

reinsurance. The significant growth of collateralized reinsurance

demonstrated investors’ continued appetite for risks not

available in the catastrophe bond market.

Figure 8: Form of Transaction

Source: Aon Benfield, Aon Benfield Securities, Inc.

20102011

20122013

20142009

20082007

20062005

20042003

2002

70%

75%

80%

85%

90%

95%

100%

ILWSidecarCat BondsTraditional UNL Collateralized Re

ILS-Related Markets


Industry Loss Warranty (ILW) ReviewCollateralized markets continue to have appetite to deploy

capital in the ILW market. Lloyd’s markets will remain an

important supply source—syndicates were willing to quote and

support ILW buyers with increased line sizes towards year end

2013. This trend occurred at the same time as syndicates gained

transparency on their inwards reinsurance portfolios. Generally,

markets continue to broaden their coverage in the ILW market

to include crop, terrorism, marine and other risks. The current

estimate of the ILW sector size is $3.5 billion.

Interest in ILWs remained strong through June 30, 2014 as

premiums reverted to pre-Katrina levels. This downward pricing

pressure was present across the board; particularly for all-natural

perils (“ANP”) aggregate cover. The heaviest pricing pressure was

on peak U.S. and Europe triggers with buyers taking advantage

of competitively priced capacity. Structured products gained

popularity among buyers, in particular aggregate, multi-section,

multi-year and non-peak specific structures.7

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

7 Source: The Global Re Specialty team of Aon UK Limited

Hedge Fund Reinsurers ReviewThe activity seen in 2012 with the launch of Third Point Re, PaC Re, and SAC Re has continued with the formation of two additional

hedge fund reinsurers in the past 12 months. Hamilton Re and Watford Re each raised roughly $1 billion of capital—both are

domiciled in tax-advantaged Bermuda. These vehicles have introduced casualty risks to the alternative markets. The vehicles are set

up to provide investors access to superior investment returns by leveraging assets, which are managed by select hedge funds.

Table 8: Recent Hedge Fund Re Activity

Reinsurer Date Principal Sponsor/ManagerSize

(millions) Lines of Business

Third Point Re Jan-12 Third Point and private equity investors $780 Lower volatility property and catastrophe reinsurance

PaC Re Jun-12 Paulson & Co. and Validus $500 Top-layer property catastrophe

Hamilton Re Dec-13 Former S.A.C. Capital and now Two Sigma $1,000 High-margin property catastrophe and low-severity casualty reinsurance

Watford Re Jan-14 Arch Capital Group and Highbridge Principal Strategies

$1,130 Primarily casualty reinsurance oriented, but considers also insurance opportunities

Source: Press releases, public filings

Pric

e M

ove

men

t b

y Q

uart

er

Total U

.S. Trade V

olum

e (USD

Millio

ns)

Total U.S. Trade Volume $30 billion ANP

$50 billion ANP $80 billion ANP

2013 Q2

2013 Q3

2013 Q4

2014 Q1

2014 Q2

2013 Q1

2012 Q4

2012 Q3

2012 Q2

2012 Q1

2011 Q4

2011 Q3

2011 Q2

2011 Q1

$0

$200

$400

$600

$800

$1,000

$1,200

$1,400

0

20

40

60

80

100

120

140

Aon Benfield 19

For the 12 months to June 30, 2014, market pricing conditions remained in line with the lows seen in the first half of 2013. This led to

strong demand for catastrophe bonds among sponsors and investors. Over 75 percent of new property issuances during the period

included U.S. exposures. Eleven property transactions—as shown in Table 6 below—that closed in the second half of 2013 included

U.S. coverage. During this period, there were a significant number of new sponsors that utilized capacity including RenRe, the MTA,

AXIS, QBE and American Modern.

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

Beneficiary Issuer Series ClassSize

(millions)Covered

Perils Trigger RatingExpected

Loss8Interest Spread

Swiss Reinsurance Company Ltd. Mythen Re Ltd. Series 2013-1 Class B-1 $100 US HU Industry

Index Not Rated 2.98% 8.00%

Renaissance Reinsurance Ltd. Mona Lisa Re Ltd. Series 2013-2 Class A $150 US HU, EQ Industry

Index BB- 2.08% 7.30%

American International Group Tradewynd Re Ltd. Series 2013-1 Class 1 $125 US, CB HU,

NA EQ Indemnity B+ 1.49% 8.25%

Metropolitan Transportation Authority MetroCat Re Ltd. Series

2013-1 Class A $200 NY Storm Surge

Parametric Index BB- 1.68% 4.50%

AXIS Specialty Limited Northshore Re Limited Series 2013-1 Class A $200 US HU, EQ Industry

Index BB- 2.17% 7.25%

Catlin Insurance Company Ltd. Galileo Re Ltd. Series 2013-1 Class A $300 US HU, EQ,

EU WindIndustry

Index Not Rated 2.38% 7.40%

United Services Automobile Association

Residential Reinsurance 2013 Limited

Series 2013-II

Class 1 $80 US HU, EQ, ST, WS, WF Indemnity

Not Rated 14.23% 20.00%

Class 4 $70 BB- 1.80% 5.25%

American International Group Tradewynd Re Ltd. Series 2013-2

Class 1-A $100

US, CB HU, NA EQ Indemnity Not Rated

1.28% 6.25%

Class 3-A $160 1.26% 6.25%

Class 3-B $140 1.60% 7.00%

American Modern Insurance Group, Inc. Queen City Re Ltd. Series

2013-1 Class A $75 US HU Indemnity Not Rated 0.57% 3.50%

QBE Insurance Group Limited VenTerra Re Ltd. Series 2013-1 Class A $250 US EQ,

AUS CY, EQ Indemnity BB 1.34% 3.75%

Argo Re, Ltd. Loma Reinsurance (Bermuda) Ltd.

Series 2013-1

Class A $32US, CB HU, US ST, NA,

CB EQ

Indemnity, Industry

IndexNot Rated

3.94% 9.75%

Class B $75 5.26% 12.00%

Class C $65 8.15% 17.00%

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

U.S. Perils

LegendAUS – AustraliaCB – CaribbeanCY – CycloneEQ – EarthquakeEU – Europe

FL – FloridaHU – HurricaneNA – North AmericaNY – New YorkST – Severe Thunderstorm


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

second half of 2013. Hurricane and earthquake risks were well

represented in addition to severe thunderstorm, winter storm,

wildfire and extreme mortality.

RenRe sponsored its first broadly marketed catastrophe bond

in July 2013. Mona Lisa Re Ltd. provides the reinsurer with four

years’ coverage on an industry index basis for U.S. hurricanes

and earthquakes. The annual aggregate transaction was

upsized to $150 million and closed with an interest spread of

7.30 percent.

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

to the market and secured indemnity coverage for the first

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

transaction, which includes commercial property and energy

risks, provides AIG with $125 million in capacity. Tradewynd

Re Ltd. provides AIG with protection from U.S. (including

Caribbean) hurricanes and North America earthquakes for five

years. In December, AIG returned to the market and secured an

additional $400 million across three classes of notes. The risk

periods for these additional classes ranges from one to three

years—highlighting investors’ capacity constraints for the earlier

transaction’s five-year risk period.


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

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

New York storm surge. The issuance, prompted by Superstorm

Sandy, utilizes a parametric index mechanism based on

measured surge heights at various points around New York.

Notably, the MTA is the first U.S. corporate sponsor to utilize

the catastrophe bond market since 2006—demonstrating the

competitiveness of rates in the current environment.

AXIS’ first catastrophe bond issuance, Northshore Re, provides

the reinsurer with $200 million of protection against hurricane

and earthquake events in the U.S. on an annual aggregate

basis. Investors welcomed the issuance, which was upsized

by $50 million and closed below marketed price guidance.

The transaction, which closed in early August, was the last

catastrophe bond to include hurricane exposure for the 2013

season. The last transaction with U.S. hurricane exposure to

close in August was Topiary Capital Limited in 2008 for Platinum

Underwriters Bermuda, Ltd.

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

to the catastrophe bond market with its first issuance since

2008. Galileo Re Ltd. (“Galileo Re”) provides Catlin with

coverage against U.S hurricanes, U.S. earthquakes and Europe

windstorms on an industry index basis. The transaction was

significantly upsized to $300 million and provides protection on

an annual aggregate basis for three years.

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

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

bond sponsored by an Australian insurer and provides QBE

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

transaction covers Australia cyclones, Australia earthquakes and

U.S. earthquakes. VenTerra Re is the first catastrophe bond to

include a significant amount of Australia risks on an indemnity

basis. The transaction was well-received by investors and closed

at the low end of marketed price guidance.

Thirteen property transactions covering U.S. perils closed

during the first half of 2014.

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

sixth catastrophe bond—East Lane Re VI Ltd. (“East Lane Re

VI”). The transaction provides the insurer with $270 million

in indemnity coverage against hurricanes, earthquake, severe

thunderstorms and winter storms in the Northeast. East Lane Re

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

at an interest spread of 2.75 percent.

As the first quarter of 2014 closed, Great American Insurance

Company (“Great American”) secured coverage for its first

catastrophe bond—Riverfront Re Ltd. (“Riverfront Re”).

The transaction provides Great American with $95 million

in coverage for losses from North America hurricanes,

earthquakes, severe thunderstorms and winter storms.

Riverfront Re demonstrates the enhancements in coverage

provided by the catastrophe bond market recently. The

transaction is closely aligned to Great American’s traditional

coverage and includes some non-modeled risks.

Another first time sponsor entered the catastrophe bond

market in April. Everest Reinsurance Company (“Everest Re”)

secured $450 million in coverage on an industry index basis

with Kilimanjaro Re Limited (“Kilimanjaro Re”). The transaction

includes two classes of notes—the first provides coverage on

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

provides coverage on an annual aggregate basis for North

America hurricanes and earthquakes. Investors responded well

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

to be significantly upsized and close below the low end of

marketed price guidance.

Aon Benfield 21

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

Beneficiary Issuer Series ClassSize

(millions)Covered



Münchener Rückversicherungs-Gesellschaft Aktiengesellschaft in München

Queen Street IX Re- Limited $100 US HU, AUS CY

Industry Index, Modeled Loss Not Rated 2.92% 5.50%

Chubb Group East Lane Re VI Ltd. Series 2014-1 Class A $270 NE US HU, EQ, ST, WS Indemnity BB+ 0.88% 2.75%

American Strategic Insurance Group Gator Re Ltd. Series 2014-1 Class A $200 US HU, ST Indemnity Not Rated 1.73% 6.50%

Great American Insurance Company Riverfront Re Ltd. $95 NA HU, EQ, ST, WS Indemnity BB- 1.34% 4.00%

State Farm Fire and Casualty Company Merna Re V Ltd. $300 NM EQ Indemnity Not Rated 0.40% 2.00%

Heritage Property & Casualty Insurance Company Citrus Re Ltd.

Series 2014-1 Class A $150FL HU Indemnity

Not Rated 1.53% 4.25%

Series 2014-2 Class 1 $50 Not Rated 1.21% 3.75%

Everest Reinsurance Company Kilimanjaro Re Limited Series 2014-1Class A $250 US HU

Industry IndexBB- 1.79% 4.75%

Class B $200 NA HU, EQ BB- 1.62% 4.50%

Citizens Property Insurance Corporation Everglades Re Ltd. Series 2014-1 Class A $1,500 FL HU Indemnity B 2.68% 7.50%

American Coastal Insurance Company Armor Re Ltd. Series 2014-1 Class A $200 FL HU Indemnity Not Rated 0.62% 4.00%

Allstate Insurance Company Sanders Re Ltd. Series 2014-1

Class B $330

US HU, EQ Industry Index

BB+ 0.79% 3.00%

Class C $115 BB 0.97% 3.25%

Class D $305 BB 1.28% 3.90%

Castle Key Insurance Company and Castle Key Indemnity Company Sanders Re Ltd. Series 2014-2 Class A $200 FL HU, EQ,

ST Indemnity Not Rated 0.88% 3.90%

United Services Automobile Association

Residential Reinsurance 2014 Limited Series 2014-I

Class 10 $80 US HU, EQ, ST, WS, WF Indemnity

Not Rated 11.31% 15.00%

Class 13 $50 Not Rated 0.63% 3.50%

Texas Windstorm Insurance Association Alamo Re Ltd. Series 2014-1 $400 TX HU Indemnity B 3.09% 6.35%


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

and Citizens Property Reinsurance Company (“Florida Citizens”)

saw the favorable market environment as an opportunity

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

Allstate, along with its dedicated Florida property insurance

companies (Castle Key Insurance Company and Castle Key

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

million of capacity during the quarter. Florida Citizens doubled

its previous largest issuance from 2012 with Everglades Re

Ltd. 2014-1, which provides the sponsor with $1.5 billion in

aggregate indemnity coverage. Notably, $2.1 billion in coverage

was secured for Florida across five transactions on a standalone

basis in the second quarter of 2014.

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

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

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

The transaction provides $400 million in annual aggregate

indemnity coverage for Texas windstorms. Investors responded

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

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

LegendAUS – AustraliaCY – CycloneEQ – EarthquakeFL – FloridaHU – Hurricane

NA – North AmericaNE – NortheastNM – New MadridST – Severe ThunderstormTX – Texas



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

and Canada. In February 2014, Risk Management Solutions,

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

Canada Severe Convective Storms. According to RMS, the

model shows that average annual losses from tornado and hail

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

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

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

extensive analysis into location-level claims and exposure

data, together with thousands of hail and wind observations

and radar images from more than 70 new industry events that

occurred in the past five years.

In July 2014, AIR Worldwide Corporation (“AIR”) announced

updates to its Canada Earthquake and U.S. Severe Thunderstorm

models. The updates to the Severe Thunderstorm model

include enhancements to the hazard, engineering and financial

components. These are based on a decade’s worth of new data

and scientific research, including data from the major outbreaks

in 2008, 2011 and 2013. To produce a more complete picture

of risk from the severe thunderstorm peril, the AIR model not

only captures the large outbreaks that produce insured losses

in excess of $25 million but also the smaller events that may last

only a day and produce much lower losses—but still impact a

company’s portfolio on an aggregate basis. In addition to the

standard 10,000-year simulation, AIR will release 50,000 and

100,000-year stochastic simulations and a historical catalogue

containing several key recent events. AIR also released its Crop

Hail model for the U.S. The fully probabilistic model captures

the effects of hail on insured crops and uses the 10,000-year

stochastic catalog from AIR’s Severe Thunderstorm Model for

the United States, in which hailstorms are a modeled peril.

Also in July 2014, AIR announced enhancements to its Canada

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

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

from the Geological Survey of Canada and collaboration with

leading academics. In addition to the ability to estimate losses

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

first in the industry to include fully probabilistic landslide and

tsunami models for Canada.

Aon Benfield 23

In the 12-month period ending June 30, 2014 five catastrophe bonds with Europe exposures came to market, as shown in

Table 11 below. Primary insurers dominated the Europe issuances, with repeat reinsurer sponsors notably absent. First time sponsors

Assicurazioni Generali S.p.A. (“Generali”) and Achmea Re both secured indemnity coverage for Europe windstorm. These milestone

transactions are the first indemnity catastrophe bonds to cover Europe windstorm since 2008. This demonstrates investors’ increased

acceptance of indemnity coverage outside the U.S. and is expected to lead to increased issuance by European cedants.

Table 11: Catastrophe Bond Transactions Covering Europe Perils10

Beneficiary Issuer Series Class Size (millions)Covered



Groupama S.A. Green Fields II Limited Series 2013-1 Class A € 280 FR Wind Industry Index BB 0.82% 2.75%

AXA Global P&C Calypso Capital II LimitedClass A € 185

EU Wind Industry IndexBB- 0.95% 2.60%

Class B € 165 B+ 1.56% 2.90%

Catlin Insurance Company Ltd. Galileo Re Ltd. Series 2013-1 Class A $300 US HU, NA EQ,

EU Wind Industry Index Not rated 2.59% 7.40%

Achmea Reinsurance Company N.V. Windmill I Re Ltd. Series 2013-1 Class A € 40 EU Wind Indemnity Not rated 1.35% 3.25%

Assicurazioni Generali S.p.A. Lion I Re Limited € 190 EU Wind Indemnity B+ 1.01% 2.25%


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

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

Investors provided strong demand for the single peril and single

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

almost doubled in size from the initial guidance and provides

Groupama S.A. with €280 million in coverage. In addition to

the significant upsize, Green Fields II closed at the low end

of marketed price guidance at 2.75 percent. The transaction

utilizes PERILS AG as the reporting agency.

In October 2013, AXA Global P&C (“AXA”) secured €350 million

in coverage across two classes of notes with Calypso Capital

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

issuance ever secured for Europe windstorm. Class A and Class

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

offering was well received by investors, with each class pricing

at the low end of marketed guidance.

Also in October, Catlin returned to the catastrophe bond

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

Galileo Re Ltd. provides Catlin and its subsidiaries with annual

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

earthquakes and Europe windstorms. The industry index

transaction secured $300 million in capacity and closed below

the low end of marketed price guidance.

Achmea Re sponsored its first catastrophe bond in December

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

coverage for Europe windstorms on an indemnity basis. The

transaction was marketed to a limited group of investors.

A second new sponsor, Generali, secured coverage during

this annual period. Lion I Re Limited closed in April 2014 and

provides the Italian insurer with protection against Europe

windstorms. The indemnity transaction was upsized to €190

million and provides Generali with coverage for three years.

Model UpdatesIn July 2014, EQECAT, which was acquired by CoreLogic in

December 2013, announced updates to its Europe Windstorm

Model, including the ability to analyze offshore wind farm

turbines. Spain and Portugal are newly included, extending

the existing coverage to 24 countries. The model also includes

two views of frequencies—the Empirical Model based on the

historical record from 1960 to present, and the Analytic Model

with a continuous 1200-year simulation of an Earth System

Model driven by climatic background conditions to characterize

the frequency and severity of Europe windstorms.

Europe Perils

LegendEQ – EarthquakeEU – EuropeFR – France

HU – HurricaneNA – North AmericaUS – United States


During the 12-month period ending June 30 2014, four catastrophe bonds covering Japan perils were issued, compared to none

in the prior year period, proving the strong and increased interest from Japanese sponsors in the use of the capital markets for risk

transfer. Further, QBE Insurance Group Limited secured $250 million in indemnity coverage for U.S. earthquakes, as well Australia

cyclones and earthquakes through VenTerra Re Ltd. The transaction represents the first issuance by an Australian insurer and

is discussed in more detail in the “U.S. Perils” section of this report. Notably, all transactions for the Asia Pacific region secured

indemnity coverage.

Table 12: Catastrophe Bond Transactions Covering Japan Perils11

Beneficiary Issuer Series Class Size (millions)

Covered Perils

Trigger Rating Expected Loss11

Interest Spread

National Mutual Insurance Federation of Agricultural Cooperatives Nakama Re Ltd. Series 2013-1 Class 1 $300 JP EQ Indemnity BB+ 0.90% 2.75%

Tokio Marine & Nichido Fire Insurance Co., Ltd. Kizuna Re II Ltd. Series 2014-1

Class A $200JP EQ Indemnity Not Rated

0.21% 2.25%

Class B $45 0.57% 2.50%

Sompo Japan and Nipponkoa Insurance Inc. Aozora Re Ltd. Series 2014-1 Class B ¥10,125 JP TY Indemnity BB 0.52% 2.00%

National Mutual Insurance Federation of Agricultural Cooperatives Nakama Re Ltd. Series 2014-1

Class 1 $150JP EQ Indemnity Not Rated

0.75% 2.25%

Class 2 $150 0.75% 2.50%


In September 2013, the National Mutual Insurance Federation of

Agricultural Cooperatives (“Zenkyoren”) secured $300 million

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

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

predominantly residential portfolio against Japan earthquakes

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

solely cover Japan earthquake on an indemnity basis. Nakama Re

2013 is the sixth transaction for Zenkyoren that has utilized the

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

has secured cover directly rather than using a separate legal

sponsor. The deal was significantly oversubscribed, leading to a

final issuance size that was double the initial guidance.

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

(“Tokio Marine”) successfully sponsored its second indemnity

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

the fourth time that Tokio Marine has utilized catastrophe bond

capacity and is the first indemnity Japan earthquake bond to

cover significant commercial and industrial exposures. Kizuna

Re II provides the insurer with $245 million in coverage was and

priced at the low end of marketed price guidance.

A new sponsor, Sompo Japan and Nipponkoa Insurance Inc.

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

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

catastrophe bond and provides SJNK with ¥10.125 billion in

coverage for Japan typhoons. Aozora Re was the only Japan

typhoon risk offered to investors during the past 12 months.

The transaction closed at an interest spread of 2.00 percent,

representing the lowest spread ever secured for a non-

investment grade property catastrophe bond transaction.

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

additional $300 million under its Nakama program. The Series

2014-1 transaction again provides coverage against Japan

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

cover the same layer of Zenkyoren’s traditional reinsurance

program, but recover on a per-occurrence and annual

aggregate basis, respectively.

All the catastrophe bonds closed during this 12-month period

were sponsored directly by cedants. Additionally, each

transaction provided indemnity coverage, demonstrating the

increased understanding of the risks by investors. This flexibility

to fit into the cedants’ traditional reinsurance programs is likely to

result in increased issuance going forward, with ILS becoming a

fixed component of larger insurers’ overall risk transfer programs.

LegendEQ – Earthquake JP – Japan TY – Typhoon

Asia Pacific Perils

Aon Benfield 25

The current trend is for Japanese cedants to secure catastrophe

bond protection for remote layers of their reinsurance

programs. For investors seeking higher spreads for this

diversifying risk, less remote layers may become increasingly

competitive compared to traditional markets.

April 1 Reinsurance RenewalsThe April 1, 2014 reinsurance renewal period marked an abrupt

turn from the flat pricing of 2013. Placements for primary

insurers secured risk-adjusted rate reductions as capacity

was abundant, even for the largest programs. Exchange rates

remained a positive influence.

New capital applied pricing pressure at the April renewals. As

Japanese cedants have become more comfortable with the ILS

market, a few large ILS managers have secured an increased share

in the traditional reinsurance programs of some large cedants.

However, since many Japanese cedants prefer to have well-

established business relationships with the traditional reinsurance

markets, it is likely to take some time before the new ILS capacity

more fully penetrates the Japanese reinsurance market.

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

model covers losses from storm surge-driven coastal flooding

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

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

includes coastal flood for the entire China coastline. In addition,

the RMS industrial facilities model has been developed to

enable property damage and business interruption from wind

and flood-related Typhoon damage to be modelled for such

complex risks. RMS has stated that the modeled losses have

been calibrated using 10 years of event loss data from 50

percent of the market, in an effort to reduce model uncertainty.

In July 2014, EQECAT announced updates to its Japan

Earthquake and Singapore Earthquake models. The Japan

Earthquake model utilizes December 2013 research released by

the Japanese government and national research organizations.

The model accounts for previously un-modeled, very large

magnitude events with updated seismic source zones and

increased maximum magnitudes. New damage and loss

data from the 2011 Great East Japan Earthquake prompted a

complete review and update to model vulnerability functions,

including major changes to performance-based effects of deep

building foundations and base isolation. In addition, tsunami is

a sub-peril, with both a fully probabilistic and a scenario-based

tsunami risk model, using 30-meter digital elevation maps for

more granular evaluations.

The update to the Singapore Earthquake model accounts

for an increased probability of a near-term, large-magnitude

earthquake on the Sunda (Java) megathrust fault. This new

model accounts for seismic risk factors specific to Singapore,

such as soft soils that amplify intermediate-period ground

motions from distant large earthquakes and the existence of

reinforced concrete high-rise buildings.


In the 12 months to June 30, 2014, two transactions closed in the life and health market which secured $380 million in capacity.

SCOR Global Life SE (“SCOR”) sponsored its first extreme mortality transaction and Aetna Life Insurance Company (“Aetna”) closed

its fifth health transaction.

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

Beneficiary Issuer Series Class Size (millions) Perils Trigger Collateral

SCOR Global Life SE Atlas IX Capital Limited Series 2013-1 Class B $180 Extreme Mortality CDC Index EBRD

Aetna Life Insurance Company Vitality Re V Limited Series 2014Class A $140

Health Indemnity—Medical Benefits Ratio

MMF

Class B $60 MMF


SCOR’s first extreme mortality catastrophe bond, Atlas IX

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

become the first extreme mortality catastrophe bond brought

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

transaction more than tripled in size from launch and closed

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

price guidance. Recoveries for the index trigger transaction are

based on data reported by the Centers for Disease Control and

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

the attachment level for the bond is the lowest achieved

for any extreme mortality transaction, at 102 percent of the

baseline mortality. Proceeds are invested in notes issued by the

European Bank for Reconstruction and Development (“EBRD”)

and provide investors with LIBOR returns in addition to the risk

interest spread. The transaction helped SCOR to manage an

increase in mortality exposures following an acquisition in its

U.S. life reinsurance operations.

Aetna continued its annual issuance strategy with Vitality

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

the bond provides the health insurer with $200 million of

coverage—an increase from its typical $150 million annual

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

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

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

Vitality Re V again utilizes Aetna’s Vermont captive insurance

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

reduce its required capital and provides collateralized excess

of loss reinsurance coverage. A number of features of Vitality

Re V highlight the improved terms available as the market

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

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

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

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

attachment point of 104 percent, Aetna has been reducing the

remoteness of the attachment level for the coverage. The table

below, which lists the complete range of Vitality issuances,

highlights the substantial year-on-year reductions in interest

spreads of around 35 percent since 2012.

Life and Health Perils

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

Issuance Date Issuer Class Risk Period Size (millions)MBR

Attachment PointAttachment Probability Interest Spread Rating

Jan-12 Vatality Re III Class A 3 years $105 103% 0.05% 4.20% BBB+

Jan-13 Vitality Re IV Class A 4 years $105 102% 0.06% 2.75% BBB+

Jan-14 Vitality Re V Class A 5 years $140 102% 0.05% 1.75% BBB+

Jan-12 Vitality Re III Class B 3 years $45 97% 0.59% 6.20% BB+

Jan-13 Vitality Re IV Class B 4 years $45 96% 0.63% 3.75% BB+

Jan-14 Vitality Re V Class B 5 years $60 96% 0.53% 2.50% BB+

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

Investors continue to appreciate the diversification these risks bring to their portfolios. A number of ILS managers have dedicated

funds to the space, reflecting the increased comfort investors have developed with these types of risks. As a result of the enhanced

terms secured over the past 12 months, we expect more sponsors will utilize the life and health capital markets.

Aon Benfield 27

Aon Benfield Securities recently spoke with Impact Forecasting’s President, Steven Jakubowski, and Global Head of R&D, Siamak

Daneshvaran, about the latest developments in flood, wildfire and typhoon models, as well as leveraging their capabilities to support

insurers and reinsurers worldwide.

1. What is Impact Forecasting and how does it support insurers and reinsurers?Impact Forecasting is Aon Benfield’s catastrophe modeling

development team with offices in Chicago, London,

Prague, Bangalore and Singapore. Our goal is to enable

insurers and reinsurers to develop their own view of

risk through our suite of over 100 catastrophe models

for natural and human linked perils. In total, Impact

Forecasting has around 70 team members’ worldwide

including hazard experts and programmers.

2. Can you provide an overview of current model coverage in regard to geographies and perils?We have extensive model coverage for various regions

worldwide and perils. In the U.S., we have a complete suite

of models for hurricane, earthquake, severe thunderstorm,

wildfire, terrorism and flood. We recently released a pan-

European windstorm model in cooperation with the

University of Cologne in Germany, which now joins our broad

suite of earthquake and flood models for Western, Central,

and Eastern Europe. We also have an extensive suite of models

for the Asia Pacific region, including Japanese typhoon and

earthquake, and Thailand flood.

3. Could you describe your development methodology?The development of catastrophe models comprises a

breadth of information and disciplines. Each model needs

to incorporate information with regard to the hazard,

vulnerability and exposure components. Our research

and development team is comprised of civil and structural

engineers, seismologists, meteorologists and other

technical specialists who build scientific simulation models

which represent historical and expected future behavior.

Our research is derived on historical frequency and severity

data from various governmental and public domain

sources such as U.S. organizations including the National

Hurricane Center, Storm Prediction Center, and U.S.

Geological Survey, as well as university research forums.

Our software development team incorporates the models

and technology into our ELEMENTS catastrophe modeling

platform, which accepts portfolio exposure information

and determines expected losses based on the peril hazard

and details of the exposure.

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

Impact Forecasting has had many innovative features in

the development of its suite of peril models. The Impact

Forecasting hurricane model was the first model to

consider the entire lifecycle of a storm from inception to

final dissipation. Following Hurricane Katrina, the Impact

Forecasting model was one of the first models to incorporate

the use of the National Hurricane Center SLOSH model on

the entire catalogue of storm tracks to make a probabilistic

surge model in ELEMENTS. Impact Forecasting was also

the first model vendor to incorporate inland flooding due

to riverine flooding for a U.S. model, for which will soon be

updated. We have provided innovative solutions for the peril

of wildfire; Impact Forecasting was the first model developer

to consider questions of time and duration of wildfire losses

on a portfolio, and we are currently the only model vendor to

include wildfire modeling for the U.S. western states, as well

as California. For the peril of severe thunderstorm, we recently

produced RePlay, a new suite of scenario events based on

data collected and processed from the Storm Prediction

Center catalogue. This collection of historical scenarios can be

used for recast analysis based on a 10-year span.

An In-Depth Discussion with Impact Forecasting


5. As one of the first modelers to develop an inland flood model, how does it differ from other commercially available models?Impact Forecasting has been advising clients on flood risk

since Hurricane Katrina. The team released its first storm

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

storm surge model to employ SLOSH (NOAA’s forecast

model) both in the stochastic and scenario modes. SLOSH

is a numerical model developed by NOAA to estimate

storm surge depths resulting from historical, hypothetical

or predicted hurricanes by taking into account a storm’s

pressure, size, forward speed, forecast track, wind speeds

and topographical data. This numerical model incorporates

information on coastline, bathymetry, barriers and channel

flow. Impact Forecasting has combined its catalogue of

storm tracks and data with the SLOSH model in order to

produce a stochastic suite of likely hurricane surge scenarios

in the Atlantic Basin. The simulation model incorporates the

shallow water wave equations that are applied to various

SLOSH basins using a polar grid mapping scheme in a finite

difference analysis algorithm. The primary outputs of the

hazard component include probabilistic and scenario-based

event-sets and a series of flood extents; both generated

using physical properties of the simulated/scenario

hurricanes and SLOSH model. Flood depths are calculated

by combining digital elevation model (DEM) data with flood

heights (storm surge) based on SLOSH.

Impact Forecasting is the first firm that used a fully

hydrodynamic model to estimate inundation depth. In

addition to the storm surge model, the team released the first

complete U.S. model for the inland riverine risk to its clients.

6. When will your new model for riverine flood be released and how different it is from your current river model?Impact Forecasting’s new inland flood model will be released

in September 2014. It will be a state-of-the-art river model

which incorporates an engineering approach in estimating

flood extents and stochastic event-set combined with the

latest data available on river network and digital elevation

data. The resolution of the new model in resolving inundation

depth is superior to other vendor models in the market. The

currently available static flood maps in the market do not

provide insured loss estimates and cannot account for loss

correlations across multiple risk locations. Impact Forecasting’s

models account for both spatial and temporal correlation in

both river and coastal flood models. It incorporates the latest

information on river network system, topography, full and

consistent analysis of historical river gauge data. It combines

more accurate information on river basins in a high resolution

grid system with an engineering application of both,

hydraulic and vulnerability models to estimate flood extents

and provide more reliable portfolio and location-based flood

risk assessment to the clients.

The updated model uses the 10-m (DEM) based on the U.S.

Geological Survey (USGS) to evaluate the elevation of each

risk. A hydraulic-based engineering model estimates the

impact of flood on properties based on attributes including

construction type, basement option, and building first

occupied floor elevation.

The initial 2008 version of the river model utilizes a

stochastic event-set, which consists of 4,000 simulated

consistent scenarios. In an effort to provide a reasonable

evaluation of location-level risk, Impact Forecasting has

leveraged its strong experience in flood modeling to come

up with a richer event-set with better flood extent analysis.

The 2014 Impact Forecasting flood event-set contains

about 75,000 simulated events resulting in a 10,000-year

catalogue of realistic simulated events. In comparison, the

new model has a superior spatial coverage. The derived

river discharge data from the simulated even-set is used as

input to a hydraulic-based model to estimate flood extent

and inundation depth. Impact Forecasting’s U.S. flood

model covers 2.3 million kilometers of river network as part

of 202 Hydrological Units that accounts for over 8.2 million

squared kilometers of drainage, whereas the current model

only covers about one million kilometers of river networks.

Impact Forecasting’s inland flood model accounts for

approximately 80 percent of all U.S. flood defense protection

which incorporates extensive levee data covering about

53,000 km of rivers.

Aon Benfield 29

7. How much uncertainty is there in modeling river flood?The overall uncertainty using Global Climate Models,

Regional Climate Models and Statistical Downscaling, in

general ranges from 20 to 50 percent, especially in the

extreme events associated with higher return periods. On

the other hand, the uncertainties in rainfall-runoff modeling

estimating discharge values on the stream networks are

somewhere between 20 and 35 percent.

In order to avoid the difficulties and large uncertainties

associated with different components in GCM-based

methodology, Impact Forecasting used the USGS stream

gauge historical discharge data (from 1940 to present) to

simulate flooding events. The USGS stream flow data is

typically accurate to within 5 to 10 percent of actual observed

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

more accurate discharge results and removes uncertainty

underlying the precipitation and runoff calculations by

explicitly using historical measure data and develops

consistent simulated events using such measured data.

Impact Forecasting’s stochastic event set is generated

using perturbations of historical data and matching the tail

at high return periods. This method preserves the natural

correlation existing between the gauges in a given historical

event while propagating the historical pattern through

the simulated event set. This method helps by taking into

account the inter- and intra-event uncertainty.

8. You mentioned that you have a unique approach to modeling wildfire. How does Impact Forecasting’s wildfire modeling compare to other peril models?Each peril model has its own characteristics and nuances

that make them interesting. Unlike earthquakes, which can

be a rare occurrence, especially for large events, wildfire

occurs with some regularity. We gather intelligence on the

hazard from various governmental bureaus like Cal Fire

(California Dept. of Forestry and Fire) and the U.S. Forest

Service. In addition, new tools like satellite data, such as

MODIS, provide better understanding of the spatial extent

of the fire in real-time. Wildfires are also similar to severe

thunderstorm, in that it can occur in outbreaks, rather than

just a single event. An outbreak of wildfires in a local region

is called a fire complex. Sometimes multiple fires can grow

and merge into one large event. Large wildfires are also

similar to severe thunderstorm, in that its behavior strongly

correlated to weather conditions that drive the hazard.

9. What kind of weather conditions affect wildfire hazard?Severe fire weather is closely monitored by the National

Weather Service and advisories are provided before and

during extreme conditions. Typically fire weather is comprised

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

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

strong winds (gusts higher than 30 mph).

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

Historically, California has experienced some of the largest

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

remarkable fire sieges experienced severe fire weather in the

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

which often occur in late fall as a high pressure system

develops inland across the high desert which causes low

humidity, high temperatures and strong winds which travel

offshore away from the normally cool Mediterranean climate

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

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

had large wildfire losses in Texas, Colorado, Florida and

other regions.

11. What other characteristics are important to wildfire behavior?In addition to difficulties in fire suppression posed by hilly or

mountainous terrain, fuel types are important characteristics.

Timber, brush, or grassy fuels affect likely fire behavior. Fire

behavior may be amplified by particularly dry conditions

(such as those found in late season activity in the fall around

October or November when Santa Ana winds may occur).

12. Are current conditions conducive to wildfire outbreaks?In 2013, California experienced the worst drought in history.

With precipitation records for San Francisco dating back to

1849, data shows that California has not experienced a year

as dry as 2013. In fact, a recent update to the U.S. Drought

Monitor shows that some 82 percent of the state is suffering

either “extreme” or “exceptional” drought. The lack of

precipitation is creating dry conditions in fuel beds which

may exacerbate a wildfire, should it occur. The drought is

having the overall effect of lengthening the fire season by

starting earlier and ending later than normal.


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

typhoon model in which we collaborated with SWISS ETH

group. The model provides a large number of simulated

typhoon tracks using Markov Chain model, using sea

surface temperature as one of the variables. In addition, it

incorporates the effect of topography and terrain using a new

approach which takes the direction of wind in to account.

14. Are there any other recent developments which you would like to mention?

One of the newest models within Impact Forecasting’s

ELEMENTS suite is RePlay for Severe Thunderstorm. The

model incorporates the last ten years of historical severe

thunderstorm data and runs them through the ELEMENTS

Severe Thunderstorm (STS) model. Recent historic

experience, which has been quite active, contains a richer

catalogue of activity based on better data capture using

Doppler radar and other technological advancements within

the field of meteorology. The model helps address the

concerns of model users when comparing AALs generated

by stochastic models against recent experience. The STS

RePlay model is not designed to be a replacement for a full

stochastic analysis, but rather a rich historical scenario based

model. The event set contains over 67,000 event days with

over 6.5 million individual tornado, hail and thunderstorm

wind occurrences. The RePlay model can be used in many

different cases:

§ To recast historical severe thunderstorm events to quantify

current loss expectations and to better understand current

loss behavior

§ To obtain a view of average yearly losses as an alternative to

Average Annual Losses (AAL) produced by stochastic models

§ To create a view of historical experience that represents a

current underwriting paradigm

§ To create credible loss experience where none currently

exists due to exposure expansion into new regions

15. Can someone license your software, or is this an internal model?Our software modeling platform, called ELEMENTS, and

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

available for licensing.

Aon Benfield 31

Appendix ICatastrophe Bond Issuance Statistics

As of June 30, 2014



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


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


0

2,000

4,000

6,000

8,000

1,0000

2014201320122011201020092008200720062005

5,914

1,705

4,3824,736

6,4316,665

9,400

8,145

3,279

1,499

USD

Mill

ions

Property Issuance Life / Health Issuance

USD

Mill

ion

s

PropertyOutstanding

Life / HealthOutstanding

Cumulative PropertyIssuance

Total CumulativeBonds

4,741

9,44412,723

20,867

26,78228,487

33,223

37,605

44,037

50,702

60,102

6,558

12,911

16,15513,174 13,167

11,504

15,12317,788

22,422

0

6,500

13,000

19,500

26,000

32,500

39,000

45,500

52,000

58,500

65,000

2014201320122011201020092008200720062005

Aon Benfield 33

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


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

Source: Aon Benfield Securities, Inc. 5 Aon Benfield Securities’ analysis of investor category and geographic attributes includes only those transactions in which the firm participated

0

1,000

2,000

3,000

4,000

5,000

6,000

7,000

8,000

9,000

20142013201220112010200920082007

3,588

2,692

3,973

5,902

3,498

2,842

2,625

2,086320

1,757

2,650

4,976

3,404

2,510

1,385

USD

Mill

ions

July - DecemberJanuary - June

2013

Institutional ReinsurerMutual Fund Hedge FundCatastrophe Fund

2014

32%

5%

11%

6%

46%

41%

2%

12%

2%

43%


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

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

Figure 6: Aon Benfield All Bond Index versus Financial Benchmarks

Source: Aon Benfield Securities, Inc., Bloomberg

20132014

26%

7%

11%

9%

47%

8%

25%

14%

9%

44%

U.K. SwitzerlandBermuda OtherU.S.

-60%

-30%

0%

30%

60%

90%

120%

150%CMBS Fixed Rate 3-5 Yrs. ABS, 3-5 Yrs, Fixed Rate

3-5 Year BB US High Yield IndexAon ILS Index

S&P 500

Jun2004

Jun2005

Jun2006

Jun2007

Jun2008

Jun2009

Jun2010

Jun2011

Jun2012

Jun2013

Jun2014

Aon Benfield 35

Figure 7: Historical Performance of Aon Benfield ILS Indices


Figure 8: Form of Transaction

Source: Aon Benfield

-30%

0%

30%

60%

90%

120%

150% Aon ILS US EQAon ILS BB IndexAon ILS Index Aon ILS US Hurricane

Jun2004

Jun2005

Jun2006

Jun2007

Jun2008

Jun2009

Jun2010

Jun2011

Jun2012

Jun2013

Jun2014

2010 2011 2012 2013 20142009200820072006200520042003200270%

75%

80%

85%

90%

95%

100%ILWSidecarCat BondsTraditional UNL Collateralized Re


Figure 9: Total U.S. ILW Trade Volume and Price Movement since 2011

Source: The Global Re Specialty team of Aon UK Limited

Pric

e M

ove

men

t b

y Q

uart

er

Total U

.S. Trade V

olum

e (USD

Millio

ns)

Total U.S. Trade Volume $30 billion ANP $50 billion ANP $80 billion ANP

2013 Q2

2013 Q3

2013 Q4

2014 Q1

2014 Q2

2013 Q1

2012 Q4

2012 Q3

2012 Q2

2012 Q1

2011 Q4

2011 Q3

2011 Q2

2011 Q1

$0

$200

$400

$600

$800

$1,000

$1,200

$1,400

0

20

40

60

80

100

120

140

Aon Benfield 37

Appendix IIProperty Catastrophe Bonds—Transaction Summary

As of June 30, 2014



Summary of Catastrophe Bonds — December 1996 through June 2014

Issuance Date Beneficiary Issuer Series Class Perils Trigger Collateral

Size (thousands) MIS S&P Fitch

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

Worldwide All Perils incl. Marine

& AviationIndemnity TRS $44,500

Dec-96 St Paul Re U.K.* 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+



LimitedUS HU Indemnity TRS $200,000 Ba2 BB

*Equity

Aon Benfield 39



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+

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+

*Equity




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-


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.



*Equity

Aon Benfield 41




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-

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


*Equity




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





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+

*Equity

Aon Benfield 43




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, US 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, US EQ Modeled Loss TRS $125,000 BB+

Dec-05 PXRE Reinsurance Ltd.Atlantic &

Western Re II Limited

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

Dec-05 Montpelier Reinsurance Ltd. Champlain Limited Class A US/JP EQ Modeled Loss TRS $75,000 B B-

Dec-05 Montpelier Reinsurance Ltd. Champlain Limited Class B US HU, EQ Modeled Loss TRS $15,000 B+ B-

Jan-06 Swiss Reinsurance Company Ltd. Australis Ltd. Series 1 AU CY, EQ Parametric

Index TRS $100,000 BB


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


Redwood Capital VIII, Ltd. US EQ Industry Index TRS $65,000 BB+

Feb-06 Hartford Fire Insurance Company

Foundation Re Ltd.

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

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

*Equity





Successor Hurricane

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


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


Successor Euro Wind Ltd. Series 2 Class A EU Wind Parametric

Index TRS $3,000 Ba3 BB


Successor Euro Wind Ltd. Series 2 Class C EU Wind Parametric

Index TRS $3,000 B3 B


Successor Hurricane

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


Successor Hurricane

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


Successor Hurricane



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

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

US/JP EQ


IndexTRS $154,250 NR

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

JP EQ


IndexTRS $7,200 NR

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+

*Equity

Aon Benfield 45



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 Q

Industry Index, Modeled Loss,

Parametric Index

TRS $4,000 NR


Successor Hurricane


Dec-06 Swiss Reinsurance Company Ltd. Successor I Ltd. Series 2 Class B NA/EU W,

CA/JP Q

Industry Index, Modeled Loss,

Parametric Index

TRS $24,500 NR


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


*Equity





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, UK 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 Q


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



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, US Q Industry Index,

Modeled Loss TRS $75,000 B

Jun-07 Allstate Insurance Company Willow Re Ltd. Series 2007-1 Class B US HU Industry Index TRS $250,000 BB+


Spinnaker Capital Ltd.

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

*Equity

Aon Benfield 47



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

US/Canada (Wind, EQ, ST,

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




Tranche B


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




Tranche C


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

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

Perils Indemnity TRS $94,500 A-

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

Perils Indemnity TRS $30,750 BBB-



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

*Equity




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 US All

Natural Perils Indemnity TRS $75,000 BB


Series 2008-I Class B Northeast US All

Natural Perils Indemnity TRS $70,000 BB


Series 2008-I Class C US/Canada All

Natural Perils Indemnity TRS $55,000 B-

May-08 Zenkyoren Muteki Ltd. Series 2008-1 Class A JP EQ Parametric


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



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+

*Equity

Aon Benfield 49



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

*Equity






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-


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


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

*Equity

Aon Benfield 51



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


Merna Reinsurance

III Ltd

NA HU, EQ, ST, WS, WF Indemnity MMF $250,000

Jul-10Massachusetts Property Insurance Underwriting

AssociationShore 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


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

*Equity





2010-1 Class EUS HU,

Q/EU Wind, JP TY, JP 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-



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-

*Equity

Aon Benfield 53



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

*Equity




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,

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

Apr-12 Louisiana Citizens Property Insurance Corporation Pelican Re Ltd. Series

2012-1 Class A LA HU Indemnity MMF $125,000

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

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

Apr-12 Citizens Property Insurance Corporation

Everglades Re Ltd.

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

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

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


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


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



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+

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, UK 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

*Equity

Aon Benfield 55





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

2013-1 Class A LA HU Indemnity MMF $140,000

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

Long Point Re III Ltd.

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 &

US, CAN 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 US, CAN EQ Industry Index MMF $75,000

Jul-13 Groupama S.A. Green Fields II Capital Limited

Series 2013-1 Class A FR Wind Industry Index MTN €280,000 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-

*Equity




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

CooperativesNakama 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,



Tradewynd Re Ltd.

Series 2013-2 Class 3-B US, CB HU,


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, US ST,

NA, CB EQIndemnity,

Industry Index MMF $32,000



Series 2013-1 Class B US,CB HU, US ST,

NA, CB EQIndemnity,




Series 2013-1 Class C US, CB HU, US

ST, NA, CB EQIndemnity,


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

Münchener Rückversicherungs-

Gesellschaft Aktiengesellschaft

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 US

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

Mar-14 Tokio Marine & Nichido Fire Insurance Co., Ltd. Kizuna Re II Ltd. Series

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

*Equity

Aon Benfield 57



Apr-14Heritage Property &

Casualty Insurance Company

Citrus Re Ltd. Series 2014-1 Class A FL HU Indemnity MMF $150,000

Apr-14Heritage Property &

Casualty Insurance Company

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

Kilimanjaro Re Limited

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


2014-1 Class 1 JP EQ Indemnity MMF $150,000

May-14National Mutual Insurance Federation of Agricultural


2014-1 Class 2 JP EQ Indemnity MMF $150,000



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

*Equity


Appendix IIILife & Health Catastrophe Bonds— Transaction Summary

As of June 30, 2014


Aon Benfield 59

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

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+

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 $140,000 BBB+

Jan-14 Aetna Life Insurance Company Vitality Re V Limited Series 2014-1 Class B Health Indemnity $60,000 BB+


Appendix IVSummary of Sidecar Issuance

As of June 30, 2014


Aon Benfield 61

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 U.S. property, marine, retro and workers’ comp 150.0

Sirocco Re Lancashire Jun-06 Marine and offshore energy insurance contracts 75.0

Timicuan Re RenaissanceRe Jul-06 Reinstatement premium protection 70.0

Concord Re Lexington Insurance Co Aug-06 U.S. commercial property 730.0

Mont Fort Re Flagstone Re Aug-06 Peak zone and ILW 60.0

Cyrus Re XL Capital Nov-06 Property cat reinsurance and retrocessional 635.0

Panther Re Hiscox Dec-06 Property cat reinsurance 360.0

Syncro Ltd. Lloyd’s #4242 (Chaucer) Dec-06 Property cat reinsurance 100.0

Norton Re Brit Insurance Dec-06 Property cat retrocessional 107.7

New Point Re Harbor Point Dec-06 Property cat retrocessional 250.0

Triomphe Re Paris Re Dec-06 Property cat retrocessional 185.0

Sector Re Swiss Re Jan-07 Property cat, aviation 220.0

MaRI Ltd. ACE Jan-07 Property cat reinsurance 400.0

Syndicate 6105 Ark Underwriting Jan-07 Property cat reinsurance 40.0

Syndicate 6104 Hiscox Jan-07 Property cat reinsurance 69.0

Syndicate 6103 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


Sidecar Principal Sponsor Inception Lines of Business Size ($ millions)

DaVinci Re* RenaissanceRe Jun-11 Property cat, specialty 100.0

Accordion Re Lancashire Re Jul-11 Property cat 200.0

New Point Re IV Alterra Jul-11 Property cat retrocessional 225.0

AlphaCat Re 2011* Validus Dec-11 Property cat reinsurance and retrocessional 71.0

Upsilon Re RenaissanceRe Jan-12 Property cat retrocessional 73.7

SPS 20881 Catlin Jan-12 Various lines (Syndicate 2003 quota share) 77.5



AlphaCat Re 2011*2 Validus Feb-12 Property cat reinsurance and retrocessional 39.9

PacRe Validus Mar-12 Property cat reinsurance (top layer) 500.0

Accordion Re* Lancashire Apr-12 Property cat 75.0

Timicuan Re III 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 catastrophe reinsurance and retrocession 230.0

Mt. Logan Re Everest Re Jan-13 Worldwide property catastrophe 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 catastrophe reinsurance for select accounts 75.0

Altair Re ACE Apr-13 Worldwide property catastrophe 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 30.0

New Point VI Markel Jul-13 Collateralized reinsurance and capital markets 215.0

Blue Capital Re. Holdings Montpelier Nov-13 Property catastrophe 175.0

Alpha Cat 2014 Validus Dec-13 Worldwide property catastrophe reinsurance 160.0

Atlas Reinsurance X SCOR Dec-13 Specific lines 56.0

Silverton Re Aspen Re Dec-13 Whole account property catastrophe 65.0

Eden Re Munich Re Jan-14 Property catastrophe business 63.0

Altair Re II ACE Jan-14 Worldwide property catastrophe insurance and reinsurance 95.0

Harambee Re Argo Jan-14 Property reinsurance Undisclosed

Upsilon RFO RenaissanceRe Jan-14 Worldwide aggregate retrocessional 265.0

Pangaea IX TransRe May-14 Retrocessional Undisclosed

* Additional equity raise for existing vehicle1 Converted at £1.00 = $1.55 as of January 1, 2012. Whole account quota share of the Catlin Syndicate at Lloyd's (Syndicate 2003)2 Net of Validus' investment reduction

ContactPaul SchultzChief Executive Officer, Aon Benfield [email protected]

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

leading reinsurance intermediary and full-service capital

advisor. We empower our clients to better understand, manage

and transfer risk through innovative solutions and personalized

access to all forms of global reinsurance capital across treaty,

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

investment in innovative analytics, including catastrophe

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Through our professionals’ expertise and experience, we advise

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