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Fujiyama. USAA. Res Re 2002. PIONEER A. PIONEER B. PIONEER C. PIONEER D. PIONEER E. PIONEER F ... Fujiyama. Pioneer (TC Atl, Cal EQ) Pioneer (EU Wind) Pioneer (Central ...

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3. Table of Contents Insurance-Linked Securities Market An Issuer’s perspective Workers Compensation CAT

5. ILS New Issue Volume

6. ILS Outstanding at Year End Since 1997

7. Secondary Markets Spread Trends

8. Selected Insurance-Linked Securities and Swaps

9. ILS Investor Segmentation

11. An Issuer’s Perspective

12. Securitization Creates Value

13. Basic Structure

14. Structuring Elements Multi-Year Transaction Allows amortizing up front transactional costs over several years. Lock in spreads for long term capacity in a market where reinsurance prices are increasing Investors prefer maturities of 2 to 4 years. Size Minimum meaningful size is USD 70 mm - USD 100 mm Increased size allows amortizing up front transactional costs over a larger amount of cover

15. PIONEER 2002 Ltd. Summary

16. Issuance Structure

17. New Risks So far, the majority of insurance-linked securities issued have been for natural perils. Reasons for this include Risk is relatively easy to isolate and understand Availability of historical data, scientific research and risk models Swiss Re continues to analyze portfolios of risk, looking for ways to optimize capital utilization. We think that there are areas outside of cat risk, where securitization could be a useful tool for capital management. As securitization technology and investor sophistication progress, other risk classes will join natural perils. In several areas substantial statistical information is already available. These new risk classes could include Life insurance related risks Auto insurance related risks Workers Compensation CAT

19. Potential Opportunities Considerations for an issuer ILS investors are looking for new issues, diversifying risks and transactions, and transparent triggers Workers’ compensation catastrophe reinsurance rates high relative to pre 9/11 levels Limited availability of traditional reinsurance Cost of Capital to support additional exposure may be a drag on ROE Potential to aggregate other portfolio risks, e.g., property catastrophe risks Modeling firms creating risk models for WC Cat, have database of housing stock, location and cat risk data Terrorism…with or without…segregating the risk

20. What Is Possible as an Issuer? An Illustrative Transaction

21. Trigger: Transparency vs. Basis Risk

22. Trigger: Modeled Loss

23. Issues to Consider Basis risk resulting from modeled loss trigger Potential size and term of deal $75 million 2-year deal is the minimum size to effectively spread costs or, 4-year shelf program amortizes costs with variable issuance capability Stability of book of business, ie., will current origination opportunity continue Revisions to FASB SPE consolidation rules

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