1. Weather Risk Management Association 2006 Survey Results June 2006

2. Agenda 1. Overview of Survey 2. Survey Design and Implementation 3. Participation 4. Results

3. PricewaterhouseCoopers June 2006 Slide 3 2006 Survey Results Objectives of Survey Establish size of market between April 2005 and March 2006 Provide a consistent measure of market developments over time. –PwC has conducted the survey since 2001. Increase awareness of market Overview

4. PricewaterhouseCoopers June 2006 Slide 4 2006 Survey Results Summary of Results Significant Growth in CME, which increased by a factor of 8 (measured by notional value) Decline in OTC Market by approximately half since last year A higher percentage of OTC trades were with counterparties that did not participate in the survey. Overview

5. PricewaterhouseCoopers June 2006 Slide 5 2006 Survey Results Pre-survey (sent in early April 2005) Sent to All WRMA members Will you participate? 17 companies responded affirmatively in 2006 (17 in 2005, 19 to 20 in previous years) Survey (sent April 21, 2005) 5 Pages in total General information about company -Inquiries by end-users -Information on Contracts Responses confidential Chicago Mercantile Exchange trades reported directly by CME Survey Design and Implementation

6. PricewaterhouseCoopers June 2006 Slide 6 2006 Survey Results Survey Page 1 Survey Design and Implementation

7. PricewaterhouseCoopers June 2006 Slide 7 2006 Survey Results Survey Page 2 Survey Design and Implementation

8. PricewaterhouseCoopers June 2006 Slide 8 2006 Survey Results Instructions for Reporting Contracts Begin dates between April 1, 2005 and March 31, 2006 The notional value for a swap contract is the maximum contingent payment to your company plus the maximum contingent payment to the counterparty. For trades without maximum contingent payments, one of the following methodologies used: -A notional value agreed to by both parties to the trade. -The maximum potential loss based on the appropriate weather measure over the last 25 years. Survey respondents instructed not to report CME trades Survey Design and Implementation

9. PricewaterhouseCoopers June 2006 Slide 9 2006 Survey Results Chicago Mercantile Exchange Contracts CME data collected directly from CME Beginning this year, we report the notional value of CME trades as calculated by CME –In prior surveys, PwC performed an independent calculation of notional value in an attempt to make the CME values conceptually closer to the OTC notional values –This methodology underestimated notional values for seasonal contracts –Historical values have been restated in PwC report for consistency Survey Design and Implementation

10. PricewaterhouseCoopers June 2006 Slide 10 2006 Survey Results Weather Measures Survey Design and Implementation Weather Events Determining Contingent Payments Weather Measures Depending Exclusively on Temperature Heating-degree-days measured in Fahrenheit Heating-degree-days measured in Celsius Cooling-degree-days measured in Fahrenheit Cooling-degree-days measured in Celsius Other exclusively temperature-based measures Weather Measures Not Depending Exclusively on Temperature Any measure based exclusively on rainfall Any measure based exclusively on snowfall Any measure based exclusively on wind Any other measure, including combinations of the above

11. PricewaterhouseCoopers June 2006 Slide 11 2006 Survey Results Geographic Regions Survey Design and Implementation Geographic Regions Where Weather Events are Measured Asia Australian Continent Europe North America, West North America, Midwest North America, East North America, South Other

12. PricewaterhouseCoopers June 2006 Slide 12 2006 Survey Results Survey Participants, 2005 ABN Amro Accord Energy Ltd AXA Re British Gas Trading Ltd Coriolis Capital Limited Galileo Weather GuaranteedWeather Hess Energy Trading LLC Merrill Lynch Commodities, Inc. Mitsubishi UFJ Securities Co.,Ltd. Mitsui Sumitomo Insurance Co., Ltd. Mizuho Corporate Bank.,Ltd. Nephila Capital Swiss Re Tokio Marine and Fire Insurance Vattenfall AB XL Weather & Energy Participation

13. PricewaterhouseCoopers June 2006 Slide 13 2006 Survey Results Change in Sample 2005 Survey Respondents17 - Drops from 20054 + New participants4 = 2006 Survey Respondents17 Participation

14. PricewaterhouseCoopers June 2006 Slide 14 2006 Survey Results Participant Characteristics 20022003200420052006 SurveySurveySurveySurveySurvey Participation by Main Line of Business Agriculture1---- Banking43334 Energy107645 Insurance55645 Other-4463 Participants by Location of Respondent Asia56664 Europe55446 North America107877 Other-11-- Participation

15. PricewaterhouseCoopers June 2006 Slide 15 2006 Survey Results Distribution of Inquiries about Weather Risk Instruments, by Sector of Potential End-User Participation Reported values weighted by number of trades reported by respondent. 2005 Survey2006 Survey

16. PricewaterhouseCoopers June 2006 Slide 16 2006 Survey Results Number of Reported Contracts by Survey Participants The number of trades reported by survey participants was 2,180 in this years survey The total from last years survey was 4,057 All figures exclude CME trades Results SurveySummerWinter 2000/11,1261,633 2001/28683,069 2002/32,4122,105 2003/41,1751,987 2004/51,9282,129 2005/61,0361,144

17. PricewaterhouseCoopers June 2006 Slide 17 2006 Survey Results Number of Trades on the CME The CME reports 1,041,439 trades in summer 2005 and winter 2005-6 combined 2005-6 CME trades are up over 300% compared to 223,139 trades in 2004-5 period Results Slightly more contracts sold in October to March period, similar to prior years, but differential smaller Data before March 2004 adjusted to reflect change in tick size

18. PricewaterhouseCoopers June 2006 Slide 18 2006 Survey Results Total Notional Value of weather risk contracts: 2000/1-2005/6 (in millions of U.S. dollars) Results Note: CME Notional Values for all years have been revised to reflect CME-reported values. $2,517 $4,339 $4,188 $ 4,709 $9,697 $45,244

19. PricewaterhouseCoopers June 2006 Slide 19 2006 Survey Results Average Notional Value of CME Contracts: 2004/5 – 2005/6 (Thousands of U.S. dollars) Results

20. PricewaterhouseCoopers June 2006 Slide 20 2006 Survey Results CME Seasonal Contracts as a Share of Total CME Contracts (Number of Seasonal CME Contracts / Total CME Contracts) Results

21. PricewaterhouseCoopers June 2006 Slide 21 2006 Survey Results Average Notional Value of OTC Contracts: 2000/1 – 2005/6 (Excludes CME trades, thousands of U.S. dollars) Results

22. PricewaterhouseCoopers June 2006 Slide 22 2006 Survey Results Distribution of Number of Contracts by Type: 2000/1 – 2005/6 (Excludes CME trades) Results

23. PricewaterhouseCoopers June 2006 Slide 23 2006 Survey Results Trades by Type of Contract, Number of Contracts: 2004/5 - 2005/6 (Excludes CME) Results

24. PricewaterhouseCoopers June 2006 Slide 24 2006 Survey Results Trades by Type of Contract, Notional Value of Contracts: 2004/5 – 2005/6 (Including CME) Results

25. PricewaterhouseCoopers June 2006 Slide 25 2006 Survey Results OTC Trades by Type of Contract, Notional Value of OTC Contracts: 2004/5 – 2005/6 (Excluding CME) Results

26. PricewaterhouseCoopers June 2006 Slide 26 2006 Survey Results Distribution of Total Number of Contracts by Region: 2000/1 – 2005/6 (Excluding CME Trades) Results

27. PricewaterhouseCoopers June 2006 Slide 27 2006 Survey Results Percent of Counterparties Not Participating in Survey: 2000/1 – 2005/6 (As a share of total number of contracts) Results

28. PricewaterhouseCoopers June 2006 Slide 28 2006 Survey Results Summary The total value of trades in the 2005/6 survey reached $45.2 billion, compared to $9.7 billion in the 2004/5 survey The CME experienced significant increases in both the number of trades (increasing by a factor of 4) and the value of those trades (increasing by a factor of 8) Increased purchases of seasonal contracts on the CME contributed to significant increase in notional value Declines in the OTC market offset some of this increase, but relative to the size of the market, these declines were small HDD remains most common type of trade Results

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