THE AON BENFIELD AGGREGATE

Transcription

1 THE AON BENFIELD AGGREGATE Nine months ended September 30, 2009 redefining Capital Access Advocacy Innovation

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3 AON BENFIELD Contents Capital Recovery 4 Balance Sheet 5 Shareholders Funds 5 Income 10 Premium Income 10 Premium Distribution 11 Pricing and Outlook 11 Earnings 12 Technical Performance 12 Investment Income 14 Financial Strength Ratings 15 Appendix 1 16 Aon Benfield Aggregate 16 3

4 THE AON BENFIELD AGGREGATE Capital Recovery For the nine months ended September 30, 2009 (9M 2009) the results and financial condition of the Aon Benfield Aggregate (ABA) reinsurers is a reversal of the year-ago period. The second and third quarters of 2009 were characterized by a rebound in financial markets. A recovery in asset values boosted investment income and partly offset the effects of low interest rates. A below-average catastrophe loss burden generated strong underwriting profits. Capitalization strengthened and is now approaching end 2007 levels. Last year, in contrast, the financial crisis took hold in the third quarter. Investment income was hit by widespread asset write-downs and underwriting results were buffeted by losses from Hurricanes Gustav and Ike and other significant catastrophes. Capitalization was further weakened after substantial capital repatriation in the first half. The ABA shareholders funds increased 21% on year end to USD152bn, close to the USD156bn reported at the end of The main contributors were net income of USD12.7bn (9M 2008: USD4.3bn) and USD12bn of unrealized appreciation of investments. Only partly offsetting these were USD3.3bn of dividends and share buy-backs. A strong underwriting performance and capital gains of USD1bn offset reduced investment income and weaker life results. Pre-tax profits doubled to USD15.9bn. The ABA combined ratio was 91.2%. The absence of large catastrophe losses and lower attritional losses were the drivers of a 5.7 percentage point (pp) improvement in the loss ratio which dropped to 62.2%. The effect of reserve releases was almost unchanged, giving a 3.2pp benefit. The expense ratio also remained broadly stable at 29.0% (29.2%). All but one company reported a combined ratio of under 100%. Total invested assets increased 9% on December The restructuring of portfolios to less volatile assets and short-term positions weighed on investment income, which reduced by 21%. Total premium income for the ABA group declined by 5% to USD94bn with ten of the companies reporting a decline in premiums. Foreign exchange movements and the withdrawal from certain lines of business due to inadequate margins were the main reasons behind the decline. Investment losses of USD29.5bn from the prior period were replaced with a gain of USD13.0bn as the ABA members benefitted from the continued rally in the world s financial markets and consequent tightening of credit spreads. Tensions were evident on the outlook for pricing at upcoming renewals. Reinsurers were conscious that a recovery in capitalization and a benign Atlantic hurricane season were seen as exerting downward pressure on pricing, but concerns over the effects of low interest rates and the potential threat from a resurgence of inflation were also evident. 4

5 AON BENFIELD Balance Sheet Shareholders funds (SHF) for the ABA group increased by 21% for the period to stand at USD152bn as capital levels recovered to close to FY 2007 levels. Net income, unrealized gains and foreign exchange gains contributed positively towards the development. Dividends and share buy-backs were the only reducing figures. Invested assets increased 9% from end 2008, and the mix was broadly unchanged. Shareholders Funds The development of SHF can be seen in Chart 1. USD13bn of net income was driven by low catastrophe losses and recovering financial markets. Unrealized gains reported through other comprehensive income of USD12bn were the second largest positive component behind the increase. ACE, Munich, Swiss and XL reported below-the-line net unrealized gains of USD7.4bn, in each case reversing losses recorded in the comparative period which totaled USD13.7bn. Foreign exchange movements also contributed favorably to SHF, adding USD3.3bn to the total. While dividend payments and share buy-backs were present, at USD3.3bn they were well below the levels of the previous year as companies continued to rebuild balance sheets. Chart 1 Aon Benfield Aggregate Development of 9M 2009 Shareholders Funds USD bn Dec Additional 2008 SHF capital Net income Dividends FX Investment gains Share buybacks Other 30 Sep 2009 SHF The development of SHF in 9M 2008 is shown for comparative purposes in Chart 2. At that time, net income and additional paid in capital were the only positives in a period which saw the ABA SHF decline by 14% to USD133bn. Unrealized capital losses of USD17.2bn, and the return of capital to shareholders in the form of dividends and sharebuybacks, totaling USD12.3bn were the largest drag on SHF. Negative foreign exchange movements also added to the reduction. The ABA companies started 2008 with a perceived position of surplus capital and were actively repatriating capital to the shareholders in the first half of the year, returning USD10.5bn. Activity slowed in 3Q with the onset of the financial crisis, bringing total capital returned by September 30 to USD12.3bn. In 2009, a mere USD3.3bn had been returned. Since the end of period a number of companies, such as Munich Re, have resumed share buy-backs, or authorized share repurchase programs, although with the financial crisis still very much in mind companies appear to be taking a more cautious stance to capital management. 5

6 THE AON BENFIELD AGGREGATE Chart 2 9M 2008 Shareholders Funds USD bn Dec Additional 2007 SHF capital Net income Dividends FX Investment losses Share buybacks Other 30 Sep 2008 SHF Chart 3 shows the total investment gains, included in net income and below the line in other comprehensive income, for the 9M 2009 as a percentage of shareholders funds at December 31, Total realized and unrealized gains for the ABA group swung from a loss of USD29.5bn for the nine months to September 30, 2008 to a gain of USD13.0bn for the current period, a swing of USD42.5bn. Odyssey reported total capital gains of USD698mn for the period. Unrealized appreciation on equities and fixed income securities of USD598mn was responsible for the vast majority of the increase. Chart 3 Total Investment Gains / Losses as % of Shareholders Funds Odyssey XL Capital White PartnerRe Transatlantic Montpelier Re Arch Capital Everest Re ACE Platinum Axis Capital Allied World Validus ABA* Max Capital Swiss Re Endurance Hannover Re Munich Re Aspen SCOR RenaissanceRe Paris Re Flagstone Re *Aon Benfield Aggregate (USD) 0% 5% 10% 15% 20% 25% 30% Realized & Unrealized Gains/Losses as % FY 2008 SHF (Reporting Currency) 6

7 AON BENFIELD The change in SHF for selected ABA companies during 9M 2009 is shown in Chart 4. Validus 105% growth largely reflects the capital increase to finance the acquisition of IPC, which completed in the third quarter. Validus issued USD1.3bn of common shares and paid cash consideration of USD420mn. In addition to the share issuance a strong net income figure of USD732mn also contributed to the growth in SHF. Unrealized gains of USD2.2bn and the issuance of share capital helped to bolster XL s SHF, which increased by 50%. This contrasts with the prior year comparative period, when XL recorded a 13% fall in SHF, caused by a net loss of USD1.1bn and the depreciation of investments totalling USD2.6bn, partly offset by a capital issuance. Partner Re s 30% increase in SHF was substantially due to USD1.2bn of net income for the period. Chart 4 9M 2009 Shareholders Funds, % Change Validus XL Capital Arch Capital ACE PartnerRe ABA* Flagstone Re Swiss Re SCOR Munich Re Paris Re *Aon Benfield Aggregate (USD) 0% 20% 40% 60% 80% 100% 120% % Change in Shareholders' Funds (Reporting Currency) Total invested assets were up 6% year on year at USD760bn, and up 9% on FY The ABA s appetite for equity and alternative investments remained subdued, and holdings in these investment classes had reduced from USD160bn in September 2008 to USD145bn by September The allocation declined from 22% to 19% of total invested assets. The risk aversion from the volatility of the stock markets and alternative investments was demonstrated by the fact that all the growth reported in total invested assets occurred within the fixed income securities and cash segments. The value of holdings in cash grew by 27% and fixed income securities by 8% compared with the position at the end of Chart 5 Aon Benfield Aggregate 9M 2009 Invested Asset Split Total Invested Assets 30 September 2009 USD760bn 9% 5% 14% Fixed interest investments Other investments Cash and cash equivalents Equity investments 72% 7

8 THE AON BENFIELD AGGREGATE The gearing of investments to shareholders funds has been of greater interest. At 8.8x, Swiss Re had the highest gearing, reflecting the company s relatively high funds held asset, its significant life and annuity business and its use of subordinated debt capital (which is not included in shareholders funds for this measure). RenaissanceRe had the lowest gearing at 1.5x. Chart 6 9M 2009 Invested Asset Leverage Swiss Re Hannover Re Munich Re SCOR XL Capital ABA* Aspen Montpelier Re Flagstone Re Validus RenaissanceRe *Aon Benfield Aggregate (USD) Munich Re had the highest gearing of corporate bonds to shareholders funds, reflecting the company s substantial primary life insurance operations. Of Munich Re s exposure to corporate bonds (which includes banks) 59% of the portfolio was rated A or higher. Chart 7 9M 2009 Corporate Bond Exposure Munich Re Hannover Re XL Capital Max Capital Swiss Re Everest Re Flagstone Re Montpelier Re Platinum Odyssey Re Invested Asset Leverage (Reporting Currency) 0% 20% 40% 60% 80% 100% 120% 140% 160% 180% Corporates as % SHF (Reporting Currency) XL capital had the highest gearing of mortgage-backed (MBS) and asset-backed securities (ABS) to shareholders funds (92%). Approximately 74% of XL s mortgage-backed and asset-backed credit portfolio was AAA rated. Exposure to topical assets, such as sub-prime first lien, Alt-A, second lien and ABS CDO s, comprised just under 9% of the ABS/MBS portfolio, and 2.7% of the total fixed income portfolio, equivalent to 8% of SHF. 8

9 AON BENFIELD Chart 8 9M 2009 MBS / ABS Exposure XL Capital Arch Capital Allied World Hannover Re Endurance Specialty SCOR Flagstone Re Transatlantic Holdings Paris Re Odyssey Re 0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 100% MBS & ABS as % SHF (Reporting Currency) 9

10 THE AON BENFIELD AGGREGATE Income Gross premiums written (GPW) by the ABA group decreased by 5% to USD94bn. Ten of the members recorded a decline in gross premiums written, with foreign exchange movements and the withdrawal from business deemed not to be of a good standard given as the main reasons behind the decline. There was also the non-recurrence of reinstatement premiums, which boosted 2008 premium income. Premium Income 9M 2009 ABA GPW for property and casualty (P&C) business was 5% lower than in the comparative period in In reporting currency, the spread of results was wide, ranging from a contraction of 22% to an expansion of 50%. Chart 9 9M 2009 P&C Gross Premiums Written, % Change Validus Max Capital Flagstone Re Allied World Hannover Re ABA* PartnerRe Endurance Specialty Paris Re Platinum XL Capital *Aon Benfield Aggregate (USD) -30% -20% -10% 0% 10% 20% 30% 40% 50% 60% % Change in P&C Gross Premiums Written (Reporting Currency) Validus figure shows 50% growth as it is the pro-forma consolidated account with IPC. Excluding IPC premium Validus posted a 17% increase in premium revenue. Allied World s GPW increased by 21%, largely due to premium growth from the US insurance segment which increased from USD166mn to USD426mn following the inclusion of premiums from the Darwin acquisition, which completed in The 2009 figure includes Darwin s premium for the full period, as opposed to only partially in prior period. Excluding premiums from the Darwin acquisition the company reported strong underlying growth in the US segment as Allied World expanded its operations. The growth of the US insurance segment masked a decline in the international reinsurance segment, which contracted from USD548mn to USD426mn. Hannover posted the strongest growth of the European companies represented in the ABA. Higher demand and better pricing boosted GPW by 16% from EUR3.8bn to EUR4.4bn. Max and Flagstone continued to post strong premium growth with the acquired Lloyd s syndicates contributing considerably. Max at Lloyd s contributed an additional USD111mn of premium equating to just over 10% of total P&C GPW. Flagstone s Lloyd s operation, Syndicate 1861, added USD110mn of gross premiums. Premiums written by Paris Re were down by 12%. The 28% contraction in credit and surety premium since January 2009, as a result of inadequate pricing, the cancellation of wind covers in the Gulf of Mexico and cancellation of non-profitable quota share treaties all contributed to the decline. On a constant currency basis the decline in premium was 7%. ACE s premium income reduced by just over USD500mn, with the company citing foreign exchange fluctuations as having a 10

11 AON BENFIELD significant impact on year-over-year growth. Excluding foreign exchange, a contraction within both insurance segments was partly offset by a 20% increase in reinsurance premiums written, which increased from USD791mn to USD953mn. Platinum s GPW was down 13% to USD719mn. Property & marine and casualty segments contracted by 11% and 18% respectively. The company cited fewer opportunities that met underwriting standards as the reason behind the casualty premium decline. XL s premium decreased by 22%. The reported figures are within the range of decline expected by the company. Premium Distribution Chart 10 shows the distribution for total P&C GPW by the ABA group for the nine months, including both insurance and reinsurance business. Munich Re continued to be the largest contributor of P&C GPW for the group. The inclusion of IPC s premium income figure has seen Validus share increase to 1.9%, climbing four places to the lower midfield of the table. Everest s premium increase in the period from USD2,782mn to USD3,100mn saw it jump into the highest ten contributors, relegating Arch Capital. Chart 10 Aon Benfield Aggregate 9M 2009 Total P&C Gross Premiums Written Split Pricing and Outlook 9M 2009 P&C GPW USD94.6bn Munich Re 22.7% ACE 14.3% Swiss Re 13.6% Hannover Re 6.4% XL Capital 5.2% SCOR 3.7% Transatlantic 3.4% Everest Re 3.3% White Mountains 3.2% Axis Capital 3.2% Arch Capital 3.0% PartnerRe 2.8% Endurance 1.9% Validus 1.9% Odyssey 1.8% Aspen Insurance 1.8% RenaissanceRe 1.8% Allied World 1.5% Paris Re 1.2% Max Capital 1.1% Flagstone Re 0.9% Platinum 0.8% Montpelier Re 0.6% Aviation was the significant renewal in the third quarter. The recent loss activity in the class was responsible for rate increases of between 20-25%, with both insurance and reinsurance lines hardening significantly in the renewal period. The casualty rates remained under pressure within both the primary and reinsurance segments, with competition within US primary seen as particularly fierce. Companies commented that reinsurance pricing was holding up better, with rates flat to up low single digits. A number of carriers continued to reduce casualty writing as business failed to meet underwriting requirements, and adequate margins could not be achieved. Some also commented that pricing models will be adjusted to reflect lower interest rates. Others expressed concern about the potential impact of inflation. Primary catastrophe-exposed property pricing continued to trend higher than non-exposed lines. Rates, which in 2009 were seen as being adequate, were reported as beginning to flatten. As within primary lines catastrophe-exposed reinsurance lines fared better than non-catastrophe exposed. With no large catastrophe events in 2009 pricing expectations for the segment ranged from downward corrections to an improvement on 2009 pricing. That said, it was generally the feeling that stable margins had been achieved in 2009 and that this would continue through in to Commenting on outlook for renewals, companies expected rates to be broadly flat. 11

12 THE AON BENFIELD AGGREGATE Earnings Pre-tax profits for the ABA group more than doubled year-on-year to USD15.9bn. A dramatically improved non-life underwriting performance and investment gains offset a 13% decline in ordinary investment income and a weaker life underwriting result. Chart 11 Aon Benfield Aggregate 9M 2009/08 Pre-Tax Profit Pre-tax profit USDbn M M 2009 Investment income Non-life underwriting result Life underwriting result Capital gains/losses Other Pre-tax profit Ordinary investment income, down 13% on the prior year, was still the largest component of pre-tax profits, contributing USD20.5bn. The non-life underwriting contribution increased from USD2.3bn to USD6.6bn, as a benign loss period and positive pricing generated better margins. Capital gains contributed USD1bn, a swing from a negative position in the comparative period of over USD12bn. The life contribution deteriorated from a loss of USD3.7bn to a loss of USD8.9bn. All of the companies reported a pre-tax profit, with a number of companies, including Flagstone Re and White Mountains reversing loss positions in Hannover s pre-tax profit figure of EUR787mn, stands in contrast to the EUR25mn loss recorded for the comparative period. Technical Performance The combined ratio reported by the ABA group reduced by 5.9 percentage points to 91.2%. Both expense and prior year reserve releases were broadly in line with 2008, with reserve releases benefiting the loss ratio by 3.2 percentage points (9M 2008: 3.3pp) and the expense ratio coming in at 29.0% (29.2%) The loss ratio reduced by 5.7pp compared to the prior year, following the absence of large catastrophe losses and a lower amount of attritional losses. The prior year period also included losses inflicted by Hurricanes Gustav and Ike which added 2.7pp to the loss ratio. 12

13 AON BENFIELD Chart 12 Aon Benfield Aggregate Development of Combined Ratio 110% 90% 97.1% -3.2% 91.2% 70% 50% 71.2% 65.3% 30% 10% 29.2% 29.0% -10% -3.3% 9M 2008 COR Expense ratio Loss ratio Prior year reserve adj 9M 2009 COR As shown in Chart 13, White Mountains was the only member of the ABA group to report a combined ratio of over 100%. The loss ratio benefited by 3pp from USD82mn of reserve releases, allowing the company to report a loss ratio of 59.6%, 2.6pp lower than the ABA average. However the expense ratio continued to trend substantially higher and at 40.5% was over 10pp higher than that of the ABA. At 73.5%, Hannover Re s was the highest loss ratio of the ABA group. Hannover Re s high loss ratio was in part offset by a lower expense ratio, which at 23.9% was 2.4pp lower than prior year. The European members all recorded loss ratios above the ABA. At 19.6% RenaissanceRe s loss ratio was the lowest of the ABA group with 17.3pp (USD169mn) of reserve releases. Excluding reserve releases the loss ratio still would have been within the lowest three reported by the group. Chart 13 9M 2009 Combined Ratios White Mountains Hannover Re Odyssey Munich Re Paris Re ABA* Allied World Flagstone Re Montpelier Re Validus RenaissanceRe *Aon Benfield Aggregate (USD) 40% 50% 60% 70% 80% 90% 100% 110% Combined Ratio (Reporting Currency) The benign nature of the third quarter is best demonstrated by the fact that property catastrophe specialists continue to congregate at the foot of Chart 13. In a hurricane season of below average intensity and severity, the third quarter saw six named storms, four of which made landfall. Bill and Fred were the only recorded hurricanes, neither of which made US 13

14 THE AON BENFIELD AGGREGATE landfall, and caused only minimal damage on the other hand saw Hurricanes Gustav and Ike, both Category Four hurricanes, hitting land and causing total insured losses of USD24bn. RenaissanceRe and Allied World topped the prior year release as a percentage of net premiums earned (NPE), both with 17.3%. Allied World released reserves from 2005 and prior, but added to 2006 and 2008 giving a net reserve release of USD170mn. Of those who reported on reserve adjustments, Everest was the only company to strengthen reserves, which increased the loss ratio by 1.1pp (USD33mn). Chart 14 9M 2009 Prior Year Reserve Adjustments RenaissanceRe Allied World PartnerRe Axis Capital Montpelier Re ABA* Flagstone Re Paris Re Odyssey Transatlantic Holdings Everest Re *Aon Benfield Aggregate (USD) -4% 0% 4% 8% 12% 16% 20% Prior Year Reserve Adj as % NPE (Reporting Currency) Investment Income Fifteen of the ABA members recorded a lower investment income, which fell by 13% to USD20.5bn from USD23.6bn for the group overall. Low yields and repositioning of investment portfolios were the main factors behind the decline. Common themes were the fall in income from fixed income securities due to lower interest rates, and a reallocation to cash and short-term investments with consequent lower yields. RenaissanceRe s investment income increased by 146% to USD263mn. The USD156mn rise was principally driven by increased investment income from senior secured bank loans and non-u.s. fixed income. Higher investment income from hedge funds and private equity investments also contributed. The increase was partly offset by a USD25mn and USD33mn decrease from fixed maturity and short-term investments. Endurance was another group which posted a strong increase in investment income. Gains on alternative investments totalling USD81mn and income from high yield loan funds were the drivers behind the 67% rise to USD225mn. The group recorded net realized gains of just under USD1bn. In the prior year there was a loss of over USD12bn for the group. 1 1 The use of different reporting methods limits company comparison, as some companies show realized and unrealized gains through the income statement, whereas others continue to report asset value movements below the line in other comprehensive income. 14

15 AON BENFIELD Financial Strength Ratings There have been several rating actions by the rating agencies in recent months; two upgrades, one downgrade, one new rating and one company withdrawal. Paris Re s operating subsidiaries were upgraded two notches to A+ with a positive outlook by Standard & Poor s (S&P) on December 4, 2009, recognizing the strategic importance of Paris Re to the soon to be enlarged PartnerRe group. Partner Reinsurance Co Ltd s AA rating received a negative outlook from Fitch on October 6, 2009, reflecting uncertainty over the combination of Partner Re and Paris Re and followed similar action by S&P in July. Renaissance Re was upgraded from A2 to A1 by Moody s on November 2, Moody s cited Renaissance Re s track record and strong capital adequacy as being the two most important factors in the decision to upgrade the ratings. Transatlantic Re was downgraded by Moody s from AA3 to A1 on September 30, The downgrade reflects concerns which Moody s has with regard to Transatlantic s risk to capital adequacy, the long term financial performance and mid-term inflationary risks to profitability. The operating entities of Max Capital Group, including Max Bermuda Ltd, were assigned an A- financial strength rating (FSR) by S&P on August 25, S&P noted the company s diversification, ERM, operating and underwriting performances as strengths, in addition to improvements in the group s capitalization and investment portfolio. White Mountains Group recently restructured its reinsurance operations and White Mountains Re Bermuda Ltd was converted to a branch of Sirius International Insurance Corporation. Consequently the ratings on this former separate legal entity were withdrawn. Table 1 Financial Strength Ratings Company A.M. Best Fitch Moody's S&P ACE Bermuda Insurance Ltd A+ AA- Aa3 A+ Allied World Assurance Co Ltd A NR A2 A- Arch Reinsurance Ltd A A+ A2 A Aspen Insurance Ltd A NR A2 A AXIS Specialty Ltd A NR A2 A+ Endurance Specialty Insurance Ltd A A A2 A Everest Reinsurance (Bermuda) Ltd A+ AA- Aa3 A+ Flagstone Reassurance Suisse SA A- A- A3 NR Hannover Rückversicherungs AG A A+ NR AA- Max Bermuda Ltd A- A A3 A- Montpelier Reinsurance Ltd A- A- NR A- Munich Reinsurance Co A+ AA- Aa3 AA- Odyssey America Reinsurance Corp A A- A3 A- PARIS RE A- NR NR A+ Partner Reinsurance Co Ltd A+ AA Aa3 AA- Platinum Underwriters Bermuda Ltd A A NR NR Renaissance Reinsurance Ltd A+ A A1 AA- SCOR SE A- A A2 A Sirius International Insurance Corp A A- A3 A- Swiss Reinsurance Co A NR A1 A+ Transatlantic Reinsurance Co A NR A1 A+ Validus Reinsurance Ltd A- NR A3 NR XL Re Ltd A A A2 A Source: A.M. Best, Fitch, Moody s, Standard & Poor s 15

16 THE AON BENFIELD AGGREGATE Appendix 1 Aon Benfield Aggregate Table 2 Aon Benfield Aggregate 9M 2009 Results Company Reporting Currency mn P&C GPW 9M 2008 P&C GPW 9M 2009 Change % Loss Ratio 9M 2009 COR 9M 2008 COR 9M 2009 COR Change pp ACE USD 14,009 13,505-4% 58.6% 90.3% 87.8% -2.5pp Allied World USD 1,135 1,374 21% 46.9% 87.2% 76.3% -10.9pp Arch Capital USD 2,844 2,874 1% 58.3% 93.4% 88.4% -5.0pp Aspen USD 1,566 1,661 6% 53.5% 96.5% 84.0% -12.5pp Axis Capital USD 2,864 3,013 5% 51.8% 97.1% 80.0% -17.1pp Endurance Specialty USD 2,011 1,812-10% 56.7% 96.7% 86.9% -9.8pp Everest Re USD 2,782 3,100 11% 60.2% 99.6% 88.8% -10.8pp Flagstone Re USD % 38.6% 94.9% 75.3% -19.6pp Hannover Re EUR 3,792 4,405 16% 73.5% 104.2% 97.4% -6.8pp Max Capital USD 788 1,055 34% 64.7% 89.1% 90.5% 1.4pp Montpelier Re USD % 28.9% 100.4% 67.1% -33.2pp Munich Re EUR 15,620 15,698 0% 67.1% 98.2% 96.6% -1.7pp Odyssey USD 1,800 1,697-6% 68.1% 103.6% 96.7% -6.9pp Paris Re USD 1,336 1,179-12% 70.0% 106.7% 96.5% -10.2pp PartnerRe USD 2,806 2,635-6% 52.7% 91.4% 82.5% -8.9pp Platinum USD % 51.9% 90.1% 76.6% -13.5pp RenaissanceRe USD 1,574 1,656 5% 19.6% 92.0% 47.6% -44.5pp SCOR EUR 2,371 2,530 7% 69.0% 97.9% 95.2% -2.8pp Swiss Re CHF 14,712 14,246-3% 66.4% 96.5% 93.9% -2.6pp Transatlantic Holdings USD 3,378 3,239-4% 66.8% 98.9% 93.5% -5.4pp Validus USD 1,171 1,753 50% 33.0% 93.0% 63.5% -29.6pp White Mountains USD 3,237 3,072-5% 59.6% 110.2% 100.1% -10.1pp XL Capital USD 6,387 4,964-22% 61.3% 97.7% 92.8% -4.9pp ABA* USD 99,200 94,569-5% 62.2% 97.1% 91.2% -5.9pp Reporting currency mn *Aon Benfield Aggregate 16

17 AON BENFIELD Table 2 Aon Benfield Aggregate 9M 2009 Results (cont d) Company Prior Year Reserve (Release) Strengthen 9M 2008 Prior Year Reserve (Release) Strengthen 9M 2009 Prior Year Reserve Adj as % NPE 9M 2009 Net Investment Income 9M 2008 Net Investment Income 9M 2009 Change % ACE % 1,541 1,519-1% Allied World % % Arch Capital % % Aspen % % Axis Capital % % Endurance Specialty % % Everest Re % % Flagstone Re % % Hannover Re % % Max Capital % % Montpelier Re % % Munich Re % 6,012 5,689-5% Odyssey % % Paris Re % % PartnerRe % % Platinum % % RenaissanceRe % % SCOR % % Swiss Re % 6,312 5,279-16% Transatlantic Holdings % % Validus % % White Mountains % % XL Capital % 1, % ABA* -2,585-2, % 23,648 20,480-13% Reporting currency mn *Aon Benfield Aggregate 17

18 THE AON BENFIELD AGGREGATE Table 2 Aon Benfield Aggregate 9M 2009 Results (cont d) Company Pre-tax Profit 9M 2008 Pre-tax Profit 9M 2009 Change % SHF 31/12/2008 SHF 30/9/2009 Change % Pre-tax Operating ROE 9M 2008 Pre-tax Operating ROE 9M 2009 ACE 1,460 1,916 31% 14,446 18,733 30% 20% 20% Allied World % 2,417 3,079 27% 18% 21% Arch Capital % 3,433 4,461 30% 18% 21% Aspen % 2,779 3,212 16% 8% 18% Axis Capital % 4,461 5,398 21% 8% 15% Endurance Specialty % 2,207 2,708 23% 7% 21% Everest Re % 4,960 6,085 23% 11% 16% Flagstone Re % 986 1,138 15% 6% 18% Hannover Re % 2,830 3,535 25% 14% 25% Max Capital % 1,280 1,547 21% 6% 12% Montpelier Re % 1,358 1,722 27% 3% 15% Munich Re 2,162 2,803 30% 20,966 22,508 7% 19% 16% Odyssey % 2,828 3,567 26% 5% 9% Paris Re % 2,172 2,276 5% 0% 7% PartnerRe -99 1, % 4,199 5,445 30% 16% 20% Platinum % 1,809 2,170 20% 13% 17% RenaissanceRe % 3,033 3,720 23% 6% 24% SCOR % 3,410 3,744 10% 15% 12% Swiss Re % 20,453 23,171 13% 33% -1% Transatlantic Holdings % 3,198 4,043 26% 14% 18% Validus % 1,939 3, % 6% 26% White Mountains % 2,899 3,577 23% 1% 9% XL Capital % 6,115 9,171 50% 13% 13% ABA* 7,575 15, % 125, ,912 21% 18% 14% Reporting currency mn *Aon Benfield Aggregate 18

19 AON BENFIELD Table 2 Aon Benfield Aggregate 9M 2009 Results (cont d) Company Total Investments 31/12/2008 Total Investments 30/9/2009 Invested Asset Leverage 31/12/2008 Invested Asset Leverage 30/9/2009 Total Gains/ Losses 9M 2009 Total Gains/ Losses as % FY 2008 SHF ACE 42,255 48, ,837 13% Allied World 7,097 7, % Arch Capital 10,800 12, % Aspen 5,839 6, % Axis Capital 10,925 12, % Endurance Specialty 5,502 6, % Everest Re 14,195 15, % Flagstone Re 1,723 1, % Hannover Re 30,080 33, % Max Capital 5,410 5, % Montpelier Re 2,379 2, % Munich Re 174, , ,362 6% Odyssey 8,088 9, % Paris Re 5,061 5, % PartnerRe 13,022 14, % Platinum 4,425 4, % RenaissanceRe 6,244 6, % SCOR 19,308 19, % Swiss Re 193, , ,981 10% Transatlantic Holdings 10,660 12, % Validus 3,401 5, % White Mountains 9,863 9, % XL Capital 32,641 35, ,495 24% ABA* 695, , ,994 10% Reporting currency mn *Aon Benfield Aggregate 19

20 THE AON BENFIELD AGGREGATE Table 3 Aon Benfield Aggregate Balance Sheet as at 30 September 2009 Invested Asset Split as % SHF Company Reporting Currency mn Fixed Income Securities Equities Cash Other SHF incl minorities Invested Assets ACE USD 224% 3% 4% 29% 18,733 48,702 Allied World USD 229% 0% 11% 8% 3,079 7,610 Arch Capital USD 230% 0% 10% 69% 4,030 12,437 Aspen USD 161% 0% 30% 17% 3,212 6,676 Axis Capital USD 179% 3% 23% 19% 5,398 12,101 Endurance Specialty USD 166% 1% 23% 44% 2,708 6,314 Everest Re USD 209% 3% 4% 41% 6,085 15,644 Flagstone Re USD 97% 2% 26% 24% 1,296 1,922 Hannover Re EUR 476% 0% 11% 332% 4,057 33,231 Max Capital USD 257% 0% 68% 29% 1,547 5,470 Montpelier Re USD 129% 9% 10% 9% 1,722 2,720 Munich Re EUR 684% 28% 12% 66% 22, ,050 Odyssey Re USD 130% 65% 43% 16% 3,567 9,077 Paris Re USD 204% 0% 25% 4% 2,276 5,309 PartnerRe USD 207% 16% 14% 28% 5,445 14,398 Platinum USD 182% 0% 19% 8% 2,170 4,532 RenaissanceRe USD 101% 0% 8% 39% 4,467 6,580 SCOR EUR 230% 28% 31% 236% 3,751 19,698 Swiss Re CHF 443% 88% 146% 205% 23, ,510 Transatlantic Holdings USD 259% 12% 8% 25% 4,043 12,299 Validus USD 116% 0% 10% 22% 3,966 5,851 White Mountains USD 140% 7% 6% 76% 4,248 9,737 XL Capital USD 305% 1% 43% 35% 9,174 35,107 ABA* USD 352% 23% 35% 83% 154, ,338 Reporting currency mn *Aon Benfield Aggregate 20

21 AON BENFIELD Table 3 Aon Benfield Aggregate Balance Sheet as at 30 September 2009 (cont d) Fixed Income Split as % SHF Fixed Income Split by Rating Category Company Govt Corp Municipal / State Other MBS & ABS as % SHF Other Total Fixed Income AAA AA A BBB Below Inv Grade/ Unrated ACE 81% 71% 13% 60% 0% 41,998 52% 9% 17% 11% 11% Allied World 59% 78% 11% 81% 0% 7,046 66% 8% 19% 5% 2% Arch Capital 62% 77% 23% 84% 0% 9,875 72% 13% 8% 3% 5% Aspen 46% 73% 1% 42% 0% 5,184 n.a. n.a. 95%* n.a. n.a. Axis Capital 46% 64% 12% 58% 0% 9,683 73% 6% 12% 8% 0% Endurance Specialty 36% 49% 3% 78% 0% 4,494 86% 4% 6% 1% 4% Everest Re 55% 40% 65% 49% 0% 12,690 50% 17% 21% 10% 2% Flagstone Re 48% 38% 0% 11% 0% 1,251 72% 6% 15% 7% 0% Hannover Re 137% 113% 135% 81% 10% 19,304 56% 19% 17% 5% 3% Max Capital 72% 103% 4% 72% 5% 3,973 62% 10% 20% 4% 3% Montpelier Re 43% 37% 1% 41% 7% 2,228 67% 4% 13% 10% 6% Munich Re 318% 159% 0% 0% 203% 226,663 53% 22% 12% 5% 8% Odyssey Re 31% 23% 74% 2% 0% 4,646 69% 9% 5% 7% 11% Paris Re 106% 91% 0% 4% 2% 4,636 47% 23% 25% 5% 0% PartnerRe 69% 83% 0% 55% 0% 11,252 51% 7% 26% 12% 4% Platinum 59% 30% 32% 59% 1% 3,950 64% 14% 14% 8% 2% RenaissanceRe 24% 45% 0% 32% 0% 4,505 81% 8% 6% 3% 2% SCOR 0% 0% 0% 16% 0% % n.a. n.a.** n.a. n.a. Swiss Re 253% 94% 0% 71% 26% 102,626 5% 8% 38% 42% 8% Transatlantic Holdings 17% 54% 177% 11% 0% 10,467 41% 42% 15% 2% 1% Validus 42% 50% 0% 23% 1% 4,590 62% 13% 21% 2% 3% White Mountains 40% 56% 0% 42% 2% 5,936 n.a. n.a. n.a. n.a. n.a. XL Capital 90% 110% 7% 92% 6% 27,965 56% 15% 17% 7% 5% ABA 144% 90% 18% 44% 49% 531,188 59% 13% 16% 8% 4% Reporting Currency mn Source: Company Data n.a. = segmented data not available; *95% rated A or higher; **88% rated A or higher 21

22 THE AON BENFIELD AGGREGATE Contacts Should you have questions about this report, please do not hesitate to contact a member of the Aon Benfield Analytics team, including: Jonny Eggins jonathan.eggins@aonbenfield.com T: +44 (0) Aon Benfield Research AonBenfieldResearch@aonbenfield.com T: +44 (0) About Aon Benfield As the industry leader in treaty, facultative and capital markets, Aon Benfield is redefining the role of the reinsurance intermediary and capital advisor. Through our unmatched talent and industry-leading proprietary tools and products, we help our clients to redefine themselves and their success. Aon Benfield offers unbiased capital advice and customized access to more reinsurance and capital markets than anyone else. As a trusted advocate, we provide local reach to the world s markets, an unparalleled investment in innovative analytics, including catastrophe management, actuarial, and rating agency advisory, and the right professionals to advise clients in making the optimal capital choice for their business. With an international network of more than 4,000 professionals in 50 countries, our worldwide client base is able to access the broadest portfolio of integrated capital solutions and services. Learn more at aonbenfield.com. 22

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