Insurance-Linked Securities Report 2008 - Aon

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Insurance-Linked Securities 2008 SUMMARY OF CATASTROPHE BONDS - 1997 THROUGH JUNE 30, 2008 46 Date Sponsor Issuer Class Territories/ Perils Trigger Issue Size ($000s) MIS S&P Fitch 5-Jul-07 18-Jul-07 State Farm Mutual Automobile Ins Co Arrow Capital Reinsurance Co, Ltd 20-Jul-07 Swiss Re 15-Oct-07 Japan Railway East Merna Reinsurance Ltd. Class A Class A (loan) Class B Class B (loan) Class C Class C (loan) US/Canada (Wind, EQ, ST, WS, WF) US/Canada (Wind, EQ, ST, WS, WF) US/Canada (Wind, EQ, ST, WS, WF) US/Canada (Wind, EQ, ST, WS, WF) US/Canada (Wind, EQ, ST, WS, WF) US/Canada (Wind, EQ, ST, WS, WF) Indemnity $256,000 Aa2 AAA Indemnity $94,000 Aa2 AAA Indemnity $647,600 A2 AA+ Indemnity $19,000 A2 AA+ Indemnity $155,000 Baa2 A- Indemnity $9,000 Baa2 A- Javelin Re Ltd. Class A Worldwide All Perils Indemnity $94,500 A- Spinnaker Capital Ltd. Series 3 Class B Worldwide All Perils Indemnity $30,750 BBB- US Wind Industry Index $50,000 NR MIDORI Ltd. Class A JP EQ Parametric $260,000 BB+ 7-Nov-07 Allianz SE Blue Fin Ltd. Series 1 Class A EU Wind Parametric Index € 155,000 BB+ 17-Nov-07 Catlin 29-Nov-07 SCOR Newton Re Limited; Series 2007-1 Atlas Reinsurance IV Limited Class B EU Wind Parametric Index $65,000 BB+ Class A US EQ Industry Index $87,500 BB+ Class B US Wind Industry Index $137,500 BB+ Class A EU Wind, JP EQ Modeled Loss € 160,000 B 21-Dec-07 Swiss Re GlobeCat Ltd. Series USW Class A-1 US Wind Industry Index $40,000 B3e Class A-1 US EQ Industry Index $20,000 B1e Class A-1 Latin America EQ Modeled Loss $25,000 Ba3e 27-Dec-07 Groupama SA Green Valley Ltd. Series 1 Class A France Wind Parametric Index € 200,000 BB+ 28-Dec-07 Swiss Re Successor Hurr Industry Ltd. C-VI US Wind Industry Index $30,000 B2 B D-VI US Wind Industry Index $30,000 B 28-Dec-07 Swiss Re Successor II Ltd.; Series 3 C-III US/EU Wind, US/JP EQ Multiple $50,000 28-Dec-07 Swiss Re Successor II Ltd.; Series 3 E-III US/EU Wind, US/JP EQ Multiple $50,000 31-Dec-07 CEA 31-Dec-07 CEA 21-Feb-08 Catlin Redwood Capital X Ltd. Series 1 Redwood Capital X Ltd. Series 2 Newton Re Ltd. Series 2008 - 1 Class A US EQ Parametric Index $25,000 Baa3 Class B US EQ Parametric Index $227,700 Ba2 Class C US EQ Parametric Index $50,200 Ba3 Class D US EQ Industry Index $130,500 Ba3 Class E US EQ Industry Index $45,200 B2 Class F US EQ Industry Index $20,000 NR Class A US/EU/JP Wind, US/JP EQ Indemnity $150,000 BB 14-Mar-08 Munich Re Queen Street Ltd. Series 1 Class A Europe Wind Parametric Index € 70,000 BB+ Class B Europe Wind Parametric Index € 100,000 B
SUMMARY OF CATASTROPHE BONDS - 1997 THROUGH JUNE 30, 2008 Date Sponsor Issuer Class Territories/ Perils Trigger Issue Size ($000s) MIS S&P Fitch 31-Mar-08 Chubb Group East Lane Re II Ltd. Series 2008-I Class A Class B Class C Northeast US All Natural Perils Northeast US All Natural Perils US/Canada All Natural Perils Indemnity $75,000 BB Indemnity $70,000 BB Indemnity $55,000 B- 14-May-08 Zenkyoren Muteki Ltd. Series 2008-1 Top JP EQ Parametric Index $300,000 Ba2 30-May-08 Flagstone Valais Re Ltd. Series 2008-1 Class A US/EU/JP Wind, US/JP EQ Indemnity $64,000 Ba2 30-May-08 Glacier Reinsurance AG 30-May-08 Homewise 30-May-08 USAA 17-Jun-08 Allstate Ins Co 25-Jun-08 Nationwide Mutual Ins Co 27-Jun-08 Swiss Re Nelson Re Ltd. Series 2008-I Mangrove Re Ltd. Series 2008-1 Residential Reinsurance 2008 Limited Series 2008-I Willow Re Limited Series 2008-1 Caelus Re Limited Series 2008-1 Vega Capital Ltd. Series 2008-I Class C US/EU/JP Wind, US/JP EQ Indemnity $40,000 B3 Class G US Wind, US EQ Indemnity $67,500 B3 Class H EU Wind Indemnity $45,000 B3 Class I EU Wind Indemnity $67,500 B1 Class A FL Wind Indemnity $150,000 Ba2 Class B FL Wind Indemnity $60,000 B1 Class 1 US Wind, US EQ Indemnity $125,000 BB Class 2 US Wind, US EQ Indemnity $125,000 B Class 4 US (Wind, EQ, ST, WS, WF) Indemnity $100,000 BB+ Class D Texas Wind Industry Index $250,000 BB+ Class A US Wind, US EQ Indemnity $250,000 BB+ Class A US/EU/JP Wind, US/JP EQ Multiple $21,000 A3 A- Class B US/EU/JP Wind, US/JP EQ Multiple $22,500 Baa2 BBB Class C US/EU/JP Wind, US/JP EQ Multiple $63,900 Ba3 Class D US/EU/JP Wind, US/JP EQ Multiple $42,600 Territory Abbreviation CA CALIFORNIA EU EUROPE FL FLORIDA JP JAPAN NA NORTH AMERICA US UNITED STATES Peril Abbreviation EQ EARTHQUAKE ST SEVERE THUNDERSTORM WF WILDFIRE WS WINTER STORM Aon Capital Markets 47
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 and 44: SUMMARY OF CATASTROPHE BONDS - 1997
Page 45: 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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