History of ILS that have incurred some natural catastrophe caused loss of principal (Listed in loss Event Sequence) Date of Event (Approx)

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1 TRADE NOTES Website: lanefinancialllc.com Lane Financial, L.L.C. December 31, 2017 Losses Recalibrated (i.e., Mr. Market Take 2) HIM Again Quarterly Market Performance Report Q By: Morton N. Lane, President; Roger G. Beckwith, Vice President At the official end of the hurricane season, Nov. 30 th, our Loss File Report showed 2017 ILS market losses in the order of $912 million, see - The Loss File after Harvey, Irma and Maria - spread over some 21 impaired bonds. This estimate was based upon the secondary market prices of all outstanding bonds as of that date. We believe the secondary market provides as good as, and maybe better, estimates of losses than any other single estimator, it being the collective wisdom of all stakeholders. We tried to separate out the assessment Table 1 History of ILS that have incurred some natural catastrophe caused loss of principal (Listed in loss Event Sequence) Issue Issue Date Date of Event (Approx) of known and implied permanent losses from mere mark-to-market losses which reflect changes due to premium increases. Permanent losses were defined as being reflected by ILS bond prices trading below $80 what we have called impaired bonds. Two months on, Mr. Market has recalibrated. Things do not appear to be as dire as he first thought. We reproduce and update two important exhibits from our first report to show the recalibration. In Table 1, the record of losses from HIM now shows only 13 bonds as impaired (down from 21). The collective loss is $706 million (down from DISCLAIMER This paper shall not be considered an offer to sell or the solicitation of an offer to buy securities. All information has been obtained from sources both public and private that are believed to be reliable but the authors make no representation as its ultimate accuracy. The views and opinions are those of the authors and are not intended to guarantee any level of financial performance, risk exposure or investment outcome. Original Maturity Extended Maturity Spread at issue Estimated Loss as a % of Par Estimated Loss USD million Loss Triggering Event Known Losses by deal Kamp Re 7/28/2005 8/25/2005 3/14/ /14/ % 76% $144 Hurricanes Katrina, Wilma Nelson Re Class G 2008-I 6/6/2008 9/13/2008 6/6/2011 6/6/ % 57% $38 Hurricane Ike Muteki Ltd. 5/24/2008 3/11/2011 5/24/ % 100% $300 Tohoku Earthquake Mariah Re 2010-I 11/15/2010 3/31/2011 1/8/ % 100% $100 US Windstorms - Tornado Loss Mariah Re 2010-II 12/16/2010 3/31/2011 1/8/ % 100% $100 US Windstorms - Tornado Loss MultiCat Mexico C 10/5/2012 9/23/ /4/2015 3/4/ % 50% $50 Hurricane Patricia Gator Re A 3/10/2014 1/9/2017 1/9/ /3/ % 18% $35 Aggregate Loss CAR 113 Class A (Mexico) 8/4/2017 9/7/2017 8/11/ % 100% $150 Chiapas EQ Manatee Re C 03/10/16 09/11/17 03/13/ % 100% $20 Irma, Maria 9 78% $937 Market Implied Principal Losses as of Deals Marked with Prices Less than or equal to $80.. 'Impaired' Deals Atlas IX /10/15 08/24/17 01/07/ % 25% $38 Harvey, Irma, Maria Aggregate Loss Loma Re B 12/30/13 08/24/17 01/08/ % 30% $23 Harvey, Irma, Maria Aggregate Loss Loma Re C 12/30/13 08/24/17 01/08/18 04/08/ % 100% $65 Harvey, Irma, Maria Aggregate Loss Residential Re /22/14 08/24/17 06/06/ % 80% $64 Harvey, Irma, CA WF Aggregate Loss Residential Re /29/15 08/24/17 06/06/ % 50% $25 Harvey, Irma, CA WF Aggregate Loss Residential Re /11/16 08/24/17 06/06/ % 60% $39 Harvey, Irma, CA WF Aggregate Loss Residential Re 2017-I 10 05/03/17 08/24/17 06/06/ % 95% $48 Harvey, Irma, CA WF Aggregate Loss Casablanca Re C 06/01/17 08/24/17 06/04/ % 30% $2 Harvey, Irma, CA WF Aggregate Loss Blue Halo B 06/16/16 09/11/17 06/21/ % 60% $33 Irma Citrus Re E 02/24/16 09/11/17 02/25/ % 20% $20 Irma Caelus Re V C 05/04/17 09/25/17 06/05/ % 60% $45 Maria Caelus Re V D 05/04/17 09/25/17 06/05/ % 100% $75 Maria Residential Re /02/13 10/08/17 12/06/17 03/06/ % 75% $60 California Wildfires Number of Issues with 2017 Losses 13 60% $536 Total Issues with Known or Implied Loss 22 64% $1,473

2 $912 million). Note, however, that two of the originally listed bond losses are now known (Mexico and Manatee) and have been moved to the top section of the table, so that only $536 million of the $706 losses are Implied. The second exhibit, Figure 1, shows this new loss calculation in the context of what cat models projected accumulated losses to be over time. We originally produced this graphic to address the question of whether to trust the models. The Nov. 30 th number came in higher than expected, but not inconsistent with the possible range of estimates. The revised number now sits conveniently between the SSST and the WSST expected totals the models would have predicted. It reinforces the idea that the models continue to provide a very good guide to reality. More important perhaps it gives credence to the idea that we are operating in a Warm Sea Figure 1 Surface environment and models are picking up that subtlety correctly. For those wishing to see the actual price path of the impaired bonds we reproduce and update individual price graphs for single peril and multiple peril bonds in Figures 2 and 3. Finally, lest we get carried away with this particular revision of the market viewpoint Mr. Market will continue to recalibrate for some time to come. He can revise up or down many times from here. To reinforce the point, we reproduce the price chart of KAMP Re under the title of The Long and Strange Journey of KAMP Re. Things are not final until all participants (cedents and investors combined) get proceeds that add up to par. Then the fact lady can sing. $1,600 $1,400 $1,200 $1,000 $800 $600 Cumulative "Known or Implied" CAT ILS Losses 1/ vs Cumulative Expected Losses 1/2001-1/2020 The expected loss line is calculated using four issuing periods to allow for issues becoming larger and more frequent and with higher expected lo Issued by 4 Yr blocks SSST WSST WSST $6, % 1.00% 0.00% $14, % 1.72% 0.14% $18, % 2.12% 0.17% $36, % 2.18% 0.20% The $1,473 million cumulative loss is based on losses being known [$937], or Implied {$536] i.e by all deals currenty priced at or below $80. If we make a less conservative assumption and count only those deals priced at or below $60, the cumulative total would be $1,390 million.. WSST Patrica Gator $1,473 $1,500 $1,381 Harvey,Irma Maria,Wildfire Implied $937 Known Mexico Manatee $400 Expected Smooth losses SSST $200 $0 Katrina Ike Tohoku US Tornados Note that the EL curve flattens to reflect no new i ssuance. The existing bonds will s i mply ma ture Lane Financial, L.L.C. 2

3 Figures 2 & 32 & 3 Harvey 8/24 Maria 9/25 100% US Hurricane Single Peril ILS Bid Price 90% Post Hurricanes 80% Harvey, Irma & Maria, Mexico EQ 70% 60% 50% 40% 30% 20% 10% 0% Casablanca Re C Citrus Re E Manatee Re C CAR 113 Class A Lane Financial, L.L.C. 3

4 $120 $100 $ High Katrina Landfall 8/29 The Long, Strange Price Ride of KAMP Re $190 Million Kamp Re was issued 7/8/05 with a coupon of 5.30% to mature 3/14/08 It was issued by Swiss Re on behalf of the The Zurich-America Insurers. The Expected Loss was 1.26% (0.94% for wind, 0.22% for quake) $80 $60 Rita 9/24 $40 $50... Risk period......"off Risk" - the period of extension(s)... Wilma 10/24 $24 Close $20 $7 bid $0 Comments on our Q Report For investors in ILS, 2017 was not a very good year. Annual returns hovered around zero our calculation shows insurance returns of -.03% plus the floating rate. It was the second worst annual return on record, slightly edged out of last place by Katrina, Rita, Wilma losses in Yields (from the secondary market price sheets) are considerably higher than they were a year ago. On non-impaired bonds, they are up by 50% (from 4.61% to 6.92%). But that simple measure does not account for shifting expected losses, or shifting perils on new bonds nor complete mark-to-market effects. Our Synthetic Rate on Line Index seeks to address some of these effects notably in including allowance for the price of a constant expected loss, difficult as that is to do. It shows that on a year-over-year basis the index has risen to (from 83.6 in Dec. 2016). This implies that Rates-on-Line could rise by 28% (call it 30%) year-over-year for 2018 renewals. Finally, the indications of a hard market that were first detected in September are still with us. The outstanding portfolio of ILS are trading at a discount to issue (which is how we define the soft/hard nature of a market) of just over 5%. Whether it continues is an open question. If the full loss evaluation evolves slowly and negatively (as in Katrina) it could take another year to show its full impact. Stay tuned Lane Financial, L.L.C. 4

5 Section 1: ILS Market Performance Lane Financial, L.L.C. 5

6 INDEX FEATURES INDEX RETURNS Market Value Weighted Price Weighted Indices overstate potential returns Multiple Price Sources Uses average available Price indications All CUSIP numbered ILS Included Monthly Rebalanced Unambiguous calculation rules Separate Insurance and Financial Returns Seasonality Identified Historical seasonal price patterns revealed Swap Losses Allocated to Floating Return and Other Adjusting Assumptions Described Herein Current Market Portfolio Index Characteristics December 31, 2017 All CAT ILS: Outstanding In Current Index No. of ILS Matured in December New in December Market Size: Outstanding In Current Index Par Value 25,393,844 $24,664,012 Market Value $24,405,864 $23,899, Lane Financial, L.L.C. 6

3.0% 2.0% 1.0% Percentage Returns (Monthly) 0.0% -1.0% -2.0% -3.0% -4.0% -5.0% -6.0% -7.0% Monthly All CAT ILS Total Return Performance 2002 - Q4,2017 Total Return Avg 0.610% Std Dev 0.

7 3.0% 2.0% 1.0% Percentage Returns (Monthly) 0.0% -1.0% -2.0% -3.0% -4.0% -5.0% -6.0% -7.0% Monthly All CAT ILS Total Return Performance Q4,2017 Total Return Avg 0.610% Std Dev 0.845% [Ann Avg 7.321% Ann Std Dev 2.927%].. Insurance Return Avg 0.475% Std Dev 0.817% [Ann Avg 5.705% Ann Std Dev 2.830%].. Total Return Insurance Return Floating Rate (LIBOR and/or Money Rate) (includes Price Loss on 4 Bonds which had Lehman as TRS Counterparty) Lane Financial, L.L.C. 7

8 Lane Financial Insurance Return Index (LFIRI) - Historical All Cat ILS Total Returns Rolling Returns - 3 Months 6 Months 9 Months 12 Months Index Level 100 End Mar % NA NA NA End Jun % 4.27% NA NA End Sep % 3.89% 6.67% NA End Dec % 4.45% 6.08% 8.91% End Mar % 3.61% 5.99% 7.65% End Jun % 2.89% 5.06% 7.47% End Sep % 3.80% 5.33% 7.55% End Dec % 4.39% 5.85% 7.41% End Mar % 4.04% 6.51% 7.99% End Jun % 2.40% 4.42% 6.90% End Sep % 1.92% 3.98% 6.04% End Dec % 3.34% 3.72% 5.82% End Mar % 3.47% 5.07% 5.46% End Jun % 3.40% 5.23% 6.85% End Sep % -0.28% 1.39% 3.18% End Dec % -1.51% 0.16% 1.84% End Mar % 2.78% 0.79% 2.50% End Jun % 3.57% 4.02% 2.00% End Sep % 5.24% 7.70% 8.17% End Dec % 7.84% 9.14% 11.69% End Mar % 8.72% 13.06% 14.42% End Jun % 7.39% 11.37% 15.81% End Sep % 6.28% 11.43% 15.55% End Dec % 6.96% 9.56% 14.86% End Mar % 5.17% 9.12% 11.78% End Jun % 3.52% 6.71% 10.72% End Sep % 1.57% 3.63% 6.82% End Dec % -0.84% 0.61% 2.65% End Mar % 0.37% 0.47% 1.94% End Jun % 2.97% 2.00% 2.10% End Sep % 8.54% 9.98% 8.94% End Dec % 9.96% 11.74% 13.22% End Mar % 6.76% 14.02% 15.87% End Jun % 4.41% 7.49% 14.81% End Sep % 5.14% 9.03% 12.25% End Dec % 7.09% 7.82% 11.81% End Mar % 0.33% 4.77% 5.50% End Jun % -0.88% 1.65% 6.14% End Sep % 3.98% 1.73% 4.33% End Dec % 4.55% 5.92% 3.63% End Mar % 2.35% 5.05% 6.43% End Jun % 3.51% 5.44% 8.22% End Sep % 7.54% 8.06% 10.07% End Dec % 6.54% 9.76% 10.28% End Mar % 5.40% 10.04% 13.35% End Jun % 5.48% 7.65% 12.38% End Sep % 5.49% 8.95% 11.19% End Dec % 5.31% 7.55% 11.07% End Mar % 3.70% 7.12% 9.40% End Jun % 2.42% 4.41% 7.85% End Sep % 3.34% 5.12% 7.16% End Dec % 3.99% 4.70% 6.50% End Mar % 2.08% 4.77% 5.49% End Jun % 1.02% 2.36% 5.05% End Sep % 2.89% 3.66% 5.03% End Dec % 3.14% 3.42% 4.19% End Mar % 1.71% 4.37% 4.65% End Jun % 2.85% 3.37% 6.07% End Sep % 4.31% 5.56% 6.10% End Dec % 4.10% 5.80% 7.07% End Mar % 2.40% 5.10% 6.81% End Jun % 2.21% 3.66% 6.40% End Sep % -4.23% -3.31% -1.93% End Dec % -1.44% -0.21% 0.74% Note: The difference between Total Return and the Insurance Return is the Floating Return. Calculated monthly these two components are additive, however when monthly returns are compounded over several months, component numbers must be similarly compounded. Because of differential compounding, addition of the components may diverge over time from compounded total returns Lane Financial, L.L.C. 8

9 Lane Financial Insurance Return Index (LFIRI) - Historical All Cat ILS Insurance Return Component Rolling Returns - 3 Months 6 Months 9 Months 12 Months 100 End Mar % NA NA NA End Jun % 3.25% NA NA End Sep % 2.88% 5.11% NA End Dec % 3.50% 4.59% 6.86% End Mar % 2.81% 4.67% 5.78% End Jun % 2.21% 3.91% 5.79% End Sep % 3.16% 4.33% 6.07% End Dec % 3.79% 4.90% 6.09% End Mar % 3.43% 5.58% 6.71% End Jun % 1.79% 3.50% 5.65% End Sep % 1.22% 2.96% 4.70% End Dec % 2.43% 2.50% 4.26% End Mar % 2.33% 3.50% 3.57% End Jun % 2.00% 3.29% 4.48% End Sep % -1.88% -0.85% 0.41% End Dec % -3.37% -2.46% -1.44% End Mar % 0.57% -2.24% -1.32% End Jun % 1.14% 0.54% -2.27% End Sep % 2.55% 3.75% 3.13% End Dec % 4.93% 4.90% 6.13% End Mar % 5.85% 8.58% 8.55% End Jun % 4.60% 7.00% 9.76% End Sep % 3.47% 7.07% 9.53% End Dec % 4.12% 5.25% 8.91% End Mar % 2.67% 5.09% 6.23% End Jun % 1.69% 3.44% 5.88% End Sep % 1.88% 2.83% 4.60% End Dec % -0.40% 0.35% 1.28% End Mar % -0.38% 0.74% 1.49% End Jun % 2.69% 1.14% 2.28% End Sep % 7.54% 8.77% 7.13% End Dec % 8.72% 10.39% 11.65% End Mar % 5.99% 12.26% 13.97% End Jun % 3.57% 6.31% 12.60% End Sep % 4.56% 7.96% 10.82% End Dec % 6.71% 7.04% 10.51% End Mar % 0.01% 4.25% 4.57% End Jun % -1.15% 1.19% 5.48% End Sep % 3.71% 1.32% 3.72% End Dec % 4.24% 5.47% 3.04% End Mar % 2.00% 4.56% 5.79% End Jun % 3.18% 4.92% 7.55% End Sep % 7.23% 7.56% 9.38% End Dec % 6.25% 9.30% 9.63% End Mar % 5.15% 9.61% 12.74% End Jun % 5.23% 7.26% 11.81% End Sep % 5.25% 8.58% 10.67% End Dec % 5.08% 7.20% 10.58% End Mar % 3.49% 6.78% 8.93% End Jun % 2.20% 4.08% 7.39% End Sep % 3.10% 4.77% 6.70% End Dec % 3.75% 4.34% 6.03% End Mar % 1.84% 4.41% 5.00% End Jun % 0.78% 1.99% 4.56% End Sep % 2.72% 3.37% 4.61% End Dec % 3.09% 3.24% 3.89% End Mar % 1.64% 4.26% 4.41% End Jun % 2.68% 3.20% 5.86% End Sep % 4.14% 5.31% 5.85% End Dec % 3.91% 5.51% 6.70% End Mar % 2.14% 4.75% 6.36% End Jun % 1.87% 3.21% 5.86% End Sep % -4.58% -3.81% -2.54% End Dec % -1.87% -0.83% -0.03% Note: The difference between Total Return and the Insurance Return is the Floating Return. Calculated monthly these two components are additive, however when monthly returns are compounded over several months, component numbers must be similarly compounded. Because of differential compounding, addition of the components may diverge over time from compounded total returns Lane Financial, L.L.C. 9

10 20.00% % Cumulative Probability of Exceedence 0.00% 0% 20% 40% 60% 80% % 2005 Historical Insurance Return Profile (Ranked Best to Worst) for the LFC Index (LFIRI) Q4, 2017 (Each year assumed to be equally likely) Average Annual Historical Insurance Return = 5.88% Standard Deviation = 3.88% Skewness = % % % % % R e t u r n o n E q u i t y % Lane Financial, L.L.C. 10

3.0% 2.0% 1.0% 0.0% 2017 2015 2006 2007 2016 2013 2014-0.433% -0.390% -0.428% 2012 2009 0.770% 2010 0.423% 2011-0.016% 2004-0.365% -0.096% 0.000% -1.

11 3.0% 2.0% 1.0% 0.0% % % % % % % % % 0.000% -1.0% Jan 2012 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec % % % -5.0% -6.0% -7.0% Seasonal Price Adjustments Average Month to Month Historical Patterns Average of 2002,03,06,07,09,10,12,13,14,15,16 (Benign Years) Average of 2004, 05, 08,11,17 (Years of Large Losses) ( Q4, All Cat) Lane Financial, L.L.C. 11

rates $18,483,244 $19,871,872 $20,000,000 $13,446,077 $15,000,000 $9,577,467 $10,000,000 $5,000,000 $0 Jan Jun Nov Apr Sep Feb Jul Dec May Oct

12 Market Value vs. Par Value of Outstanding ILS $21,824,673 $25,393,844 $24,405,864 $30,000,000 $25,000, Q4,2017 Note: Euro issues converted at current rates $18,483,244 $19,871,872 $20,000,000 $13,446,077 $15,000,000 $9,577,467 $10,000,000 $5,000,000 $0 Jan Jun Nov Apr Sep Feb Jul Dec May Oct Mar Aug Jan Jun Nov Apr Sep Feb Jul Dec May Oct Mar Aug Jan Jun Nov Apr Sep Feb Jul Dec May Oct Mar Aug Jan Jun Nov Apr Sep Feb Jul Dec May Oct $000's Lane Financial, L.L.C. 12

13 Section 2: ILS Market Prices (Premiums or Rates-on-Line) Lane Financial, L.L.C. 13

75% 60% 45% Synthetic Rate-on-Line Index and Q/Q % Changes (12/2000 =100) 2002 - Q4,2017 Average of Cat ILS, ILWs & Const EL * (*i.e. ArborI/SIIA/SHDVI series thru Q1 2009) Also ex 4 Lehman ILS Q3, 4 2008, thru 2010 175.

14 75% 60% 45% Synthetic Rate-on-Line Index and Q/Q % Changes (12/2000 =100) Q4,2017 Average of Cat ILS, ILWs & Const EL * (*i.e. ArborI/SIIA/SHDVI series thru Q1 2009) Also ex 4 Lehman ILS Q3, , thru Percentage Q/Q Change in Prices 30% 15% Index of Prices 0% % % Lane Financial, L.L.C. 14

Arithmetic Average Secondary Market Yield Spreads and Average Expected Losses (as Issued) All Outstanding (ex-lehman, ex-impaired and ex-maturing Issues) Cat ILS 2001 - Q4/2017 (12/31 ELs and EERs

15 Arithmetic Average Secondary Market Yield Spreads and Average Expected Losses (as Issued) All Outstanding (ex-lehman, ex-impaired and ex-maturing Issues) Cat ILS Q4/2017 (12/31 ELs and EERs shown) Yield Spreads Expected Excess Return Expected Loss Lane Financial, L.L.C. 15

16 Methodology A description of the methodology used in the calculation of our index can be found in Return Index Methodology dated December 31, It is located on our website, under Publications/View by Category/Return Indices. Please contact us with any questions Lane Financial, L.L.C. 16

Exhibit 1 Outstanding Catastrophe Bonds (P&C Related Risks)*

Exhibit 1 Outstanding Catastrophe Bonds (P&C Related Risks)* BEST S BRIEFING Our Insight, Your Advantage. September 12, 2017 One potential impact is a change in the behavior of traditional reinsurers and the use of alternative capital instruments Hurricane Irma