Insurance-Linked Securities Report 2008 - Aon

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Insurance-Linked Securities 2008 SUMMARY OF CATASTROPHE BONDS - 1997 THROUGH JUNE 30, 2008 21-Jun-06 44 Date Sponsor Issuer Class Territories/ Perils Trigger Issue Size ($000s) MIS S&P Fitch 30-Jun-06 Liberty Mutual Ins Co Dominion Resources Mystic Re Ltd. Series 2006-1 Class A US Wind Industry Index $200,000 BB+ Drewcat Capital Ltd. Class A US Wind Parametric Index $50,000 NR 28-Jul-06 Hannover Re Eurus Ltd. Europe Wind Parametric Index $150,000 BB 3-Aug-06 3-Aug-06 Endurance Specialty Ins Co Tokio Marine & Nichido Fire 4-Aug-06 Swiss Re 25-Aug-06 Factory Mutual Ins Co Shackleton Re Limited Class A US EQ Industry Index $125,000 Bz3 BB Class B US Wind Industry Index $60,000 Ba3 BB Class C US Wind/EQ Industry Index $50,000 Ba2 BB+ Fhu-Jin Ltd. Series 1 Class B Japan Wind Parametric Index $200,000 BB+ Successor Hurricane Industry Ltd. E-III US Wind Industry Index $50,000 NR Cascadia II Limited US EQ Parametric $300,000 BB+ BB+ 17-Nov-06 Catlin Ins Co Ltd. Bay Haven Limited Class A US/EU/JP Wind, US/JP EQ Multiple $133,500 AA Class B US/EU/JP Wind, US/JP EQ Multiple $66,750 BBB- 17-Nov-06 Hartford Fire Ins Foundation Re II Ltd. Class A US Wind Industry Index $180,000 BB+ 30-Nov-06 Liberty Mutual Ins Co Mystic Re Ltd. Series 2006-2 Class G US (HU, EQ, ST) Industry Index $67,500 B Class A US Wind Industry Index $200,000 BB+ Class B US Wind Industry Index $125,000 BB 8-Dec-06 Swiss Re Successor Euro Wind Ltd. C-III Europe Wind Parametric Index $15,000 B3 B 8-Dec-06 Swiss Re Successor Hurricane Industry Ltd. A-III Europe Wind Parametric Index $118,000 Ba3 BB E-IV US Wind Industry Index $4,000 NR E-V US Wind Industry Index $26,000 NR 8-Dec-06 Swiss Re Successor I Ltd. B-I NA/EU Wind, CA/JP EQ Multiple $4,000 NR B-II NA/EU Wind, CA/JP EQ Multiple $24,500 NR 20-Dec-06 Zurich Re Lakeside Re Ltd. US EQ Dual $190,000 BB+ 21-Dec-06 SCOR Atlas Reinsurance III p.l.c. Japan EQ, Euro Wind Modeled Loss € 120,000 BB+ 29-Dec-06 CEA 8-Jan-07 ACE INA Redwood Capital IX, Ltd. Series 1 Calabash Re II Ltd. Series 2006-I 1-Mar-07 Hannover Re Kepler Re Ltd. Class A California EQ Parametric Index $125,000 Ba2 BB+ Class B California EQ Parametric Index $125,000 Ba2 BB+ Class C California EQ Parametric Index $18,000 Baa3 BBB- Class D California EQ Parametric Index $20,000 Ba3 BB Class E California EQ Parametric Index $12,000 B3 B Class A-1 US Wind Modeled Loss $100,000 BB Class D-1 US EQ Modeled Loss $50,000 B+ Class E-1 US Wind, US EQ Modeled Loss $100,000 BB US/Europe/JP/Aus/NZ/ Canada Wind, EQ Indemnity $200,000 Ba2 14-Mar-07 Swiss Re Australis Ltd Series 2 Australia EQ/Wind Parametric Index $50,000 BB 3-Apr-07 Allianz SE Blue Wings Ltd. Series 1 Class A US EQ, UK Flood Multiple $150,000 BB+ 13-Apr-07 Aspen Insurance Limited Ajax Re Limited Series 1 Class A California EQ Industry Index $100,000 BB
SUMMARY OF CATASTROPHE BONDS - 1997 THROUGH JUNE 30, 2008 Date Sponsor Issuer Class Territories/ Perils Trigger Issue Size ($000s) MIS S&P Fitch 30-Apr-07 Chubb Group East Lane Re Ltd. Series 2007-I Class A US - Northeast Wind Indemnity $135,000 BB+ Class B US - Northeast Wind Indemnity $115,000 BB+ 8-May-07 Munich Re Carillon Ltd. Series 2 Class E US Wind Industry Index $150,000 B 8-May-07 Travelers Indemnity Co Longpoint Re Ltd. Series 2007-I Class A US - Northeast Wind Industry Index $500,000 BB+ 10-May-07 Swiss Re Successor II Ltd. Class A-2 NA/EU Wind, CA/JP EQ Multiple $100,000 B 14-May-07 Mitusui Sumitomo Ins Co AKIBARE Ltd. Series 1 Class A JP Wind Parametric Index $90,000 BB+ Class B JP Wind Parametric Index $30,000 BB+ 5/29/07 Nephila Gamut Reinsurance Limited Class A US/EU/JP Wind, US/JP EQ Indemnity $60,000 Aa3 A- 31-May-07 Liberty Mutual Ins Co Mystic Re II Ltd. Series 2007-1 31-May-07 Swiss Re MedQuake Ltd. Class A 31-May-07 USAA 11-Jun-07 Glacier Reinsurance AG 14-Jun-07 Allstate Ins Co 15-Jun-07 Swiss Re 20-Jun-07 CIG Reinsurance Ltd, New Castle Reinsurance Co Ltd 21-Jun-07 Brit Ins Limited 22-Jun-07 Swiss Re 25-Jun-07 Swiss Re/Kyoei Fire and Marine Ins Co Residential Reinsurance 2007 Limited, Series 2007-I Class B US/EU/JP Wind, US/JP EQ Indemnity $120,000 Baa3 BBB- Class C US/EU/JP Wind, US/JP EQ Indemnity $60,000 Ba3 BB- Class B FL/Northeast Wind Industry Index $150,000 B+ Turkey/Greece/Israel/ Portugal/Cyprus EQ Turkey/Greece/Israel/ Portugal/Cyprus EQ Parametric Index $50,000 BB- Parametric Index $50,000 B Class 1 US Wind, US EQ Indemnity $145,000 BB Class 2 US Wind, US EQ Indemnity $125,000 B Class 3 US Wind, US EQ Indemnity $75,000 B Class 4 US Wind, US EQ Indemnity $155,000 BB+ Class 5 US Wind, US EQ Indemnity $100,000 BB+ Nelson Re Ltd. Series 2007-I Class A US/EU Wind, US EQ Multiple $75,000 B Willow Re Ltd. Series 2007-1 Spinnaker Capital Ltd. Series 1 Emerson Reinsurance Ltd. Class A Fremantle Limited Series 2007-I Spinnaker Capital Ltd. Series 2 Class B US - Northeast Wind Industry Index $250,000 BB+ Class B Class C Class D US Wind Industry Index $200,000 B1 NA/EU/UK/JP/Aus/NZ All Natural Perils NA/EU/UK/JP/Aus/NZ All Natural Perils NA/EU/UK/JP/Aus/NZ All Natural Perils NA/EU/UK/JP/Aus/NZ All Natural Perils Indemnity $185,000 A2 Indemnity $140,000 Baa3 Indemnity $130,000 Ba2 Indemnity $45,000 Ba3 Class A US/EU/JP Wind, US/JP EQ Multiple $60,000 Aa1 AAA Class B US/EU/JP Wind, US/JP EQ Multiple $60,000 A3 BBB+ Class C US/EU/JP Wind, US/JP EQ Multiple $80,000 Ba2 BB- FL Wind Industry Index $130,200 Ba2 Fusion 2007 Ltd. Class A JP Wind, Mexico EQ Parametric Index $30,000 B Class B JP Wind, Mexico EQ Parametric Index $80,000 B Class C Mexico EQ Parametric Index $30,000 BB+ Aon Capital Markets 45
Page 1 and 2: Insurance-Linked Securities 2008 In
Page 3 and 4: Foreword I am pleased to present th
Page 5 and 6: $ MM Aon Capital Markets Review of
Page 7 and 8: While transaction volumes have fall
Page 9 and 10: CATASTROPHE BOND ISSUANCE BY LOSS T
Page 11 and 12: New Insight into Catastrophe Bond M
Page 13 and 14: AON CAT BOND INDICES BY SECTOR (Yea
Page 15 and 16: Indemnity Triggers Reach New Height
Page 17 and 18: • Longer recovery. Since indemnit
Page 19 and 20: The Buy Side A review of the ILS in
Page 21 and 22: The ILS Market: Beyond Cat Bonds As
Page 23 and 24: Just-in-Case Capital As a prearrang
Page 25 and 26: Aon Capital Markets • Repurchase
Page 27 and 28: Continued Innovation Options and fu
Page 29 and 30: Aon Capital Markets CME Group devel
Page 31 and 32: Aon Capital Markets Despite some gr
Page 33 and 34: Appendix I Catastrophe bond issuanc
Page 35 and 36: CATASTROPHE BOND ISSUANCE BY YEAR (
Page 37 and 38: CATASTROPHE BOND ISSUANCE BY TRIGGE
Page 39 and 40: Appendix II ILS market transaction
Page 41 and 42: SUMMARY OF CATASTROPHE BONDS - 1997
Page 43: SUMMARY OF CATASTROPHE BONDS - 1997
Page 47 and 48: SUMMARY OF CATASTROPHE BONDS - 1997
Page 49 and 50: SUMMARY OF SIDECAR ISSUANCE Aon Cap
Page 52: 200 E. Randolph Street, Chicago, Il

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